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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22014
Pioneer Diversified High Income Trust
(Exact name of registrant as specified in charter)
60 State Street, Boston, MA 02109
(Address of principal executive offices) (ZIP code)
Dorothy E. Bourassa, Pioneer Investment Management, Inc.,
60 State Street, Boston, MA 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: (617) 742-7825
Date of fiscal year end: April 30
Date of reporting period: January 31, 2009
Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (239.24 and 274.5 of this
chapter), to file reports with the Commission, not later than 60 days after
close of the first and third fiscal quarters, pursuant to Rule 30b1-5under
the Investment Company Act of 1940 (17 CFR 270.30b-5). The Commission may
use the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-Q
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. Schedule of Investments.
Pioneer Diversified High Income Trust
SCHEDULE OF INVESTMENTS 1/31/09 (unaudited)
Principal
Amount
USD ($) Value
ASSET BACKED SECURITIES - 4.7% of Net Assets
Consumer Services - 0.3%
Restaurants - 0.3%
500,000 DB Master Finance LLC, 8.285%, 6/20/31 (144A) $ 301,915
Total Consumer Services $ 301,915
Banks - 3.6%
Thrifts & Mortgage Finance - 3.6%
246,741 (a) Ace Securities Corp., 0.989%, 12/25/34 $ 138,554
1,113,748(a) Bayview Financial Acquisition Trust, 0.799%, 8/28 988,083
1,718,670(a) Bayview Financial Acquisition Trust, 1.039%, 5/281,323,823
200,000 (a) Carrington Mortgage Loan Trust, 0.489%, 10/25/36 170,007
699,000 (a) Carrington Mortgage Loan Trust, 0.589%, 2/25/37 429,801
196,810 (a) Countrywide Asset-Backed Certificates, 0.569%, 7/ 151,227
97,621 (a) First Franklin Mortgage Loan Asset-Backed Certifi 73,904
354,279 (a) Lehman XS Trust, 0.509%, 8/25/36 154,438
787,300 (a) Lehman XS Trust, 0.739%, 12/25/35 239,001
231,844 (a) Option One Mortgage Loan Trust, 0.489%, 7/25/36 203,938
185,515 (a) Residential Asset Mortgage Products, Inc., 0.589% 131,415
Total Banks $4,004,191
Diversified Financials - 0.8%
Other Diversified Financial Services - 0.2%
410,000 (a) Bear Stearns Asset Backed Securities Trust, 1.06$ 242,225
Investment Banking & Brokerage - 0.6%
250,000 (a) GSAMP Trust, 0.519%, 1/25/37 $ 190,275
196,238 (a) GSAMP Trust, 0.819%, 3/25/35 180,772
338,427 (a) Option One Mortgage Loan Trust, 0.479%, 5/25/37 303,445
$ 674,492
Total Diversified Financials $ 916,717
TOTAL ASSET BACKED SECURITIES $5,222,823
(Cost $6,355,398)
COLLATERALIZED MORTGAGE OBLIGATIONS - 2.4% of Net Assets
Banks - 1.9%
Thrifts & Mortgage Finance - 1.9%
500,000 (a) Adjustable Rate Mortgage Trust, 0.779%, 6/25/35 $ 194,063
2,904 (a) Banc of America Funding Corp., 0.579%, 4/20/35 2,817
290,231 (a) Countrywide Home Loans, 0.739%, 3/25/35 101,339
488,802 (a) Downey Savings and Loan Association Mortgage Loan 195,521
1,408,800(a) Impac CMB Trust, 1.149%, 1/25/35 839,360
797,572 (a) Luminent Mortgage Trust, 0.649%, 7/25/36 125,822
471,731 (a) WaMu Mortgage Pass-Through Certificates, 0.619%, 223,701
1,570,599(a) WaMu Mortgage Pass-Through Certificates, 0.869%, 376,494
Total Banks $2,059,117
Diversified Financials - 0.5%
Other Diversified Financial Services - 0.5%
710,984 (a) Downey Savings and Loan Association Mortgage Loa$ 292,856
324,808 (a) Impac Secured Assets CMN Owner Trust, 0.479%, 11/ 286,130
Total Diversified Financials $ 578,986
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $4,256,113) $2,638,103
CORPORATE BONDS & NOTES - 80.5% of Net Assets
Energy - 5.4%
Oil & Gas Drilling - 0.2%
NOK 1,500,000 Petrolia Drilling ASA, 12.0%, 6/20/12 (144A) $ 75,962
NOK 3,000,000 Petromena AS, 9.75%, 5/24/12 (144A) 130,221
$ 206,183
Oil & Gas Equipment & Services - 1.2%
300,000 Nexus 1 Pte, Ltd., 10.5%, 3/7/12 (144A) $ 150,000
1,120,000 Oceanografia SA de CV, 11.25%, 7/15/15 (144A) 537,600
700,000 (a) Sevan Marine ASA, 5.525%, 5/14/13 (144A) 329,000
NOK 3,000,000(a) Sevan Marine ASA, 9.09%, 10/24/12 (144A) 260,441
300,000 Skeie Drilling & Production ASA, 11.25%, 3/8/13 ( 84,000
$1,361,041
Integrated Oil & Gas - 0.2%
600,000 Tristan Oil, Ltd., 10.5%, 1/1/12 (144A) $ 174,000
Oil & Gas Exploration & Production - 3.2%
125,000 Chesapeake Energy Corp., 9.5%, 2/15/15 $ 122,500
500,000 Harvest Operations Corp., 7.875%, 10/15/11 375,000
970,000 (m) Hilcorp Energy I L.P./Hilcorp Finance Co., 9.0%, 790,550
NOK 4,000,000 Norwegian Energy Co. AS, 11.0%, 7/13/10 (144A) 422,493
NOK 2,000,000 PA Resources AB, 8.75%, 3/10/10 231,503
580,000 Parallel Petroleum Corp., 10.25%, 8/1/14 371,200
225,000 PetroQuest Energy, Inc., 10.375%, 5/15/12 173,250
240,000 Quicksilver Resources, Inc., 7.125%, 4/1/16 165,600
250,000 (a) SandRidge Energy, Inc., 5.06%, 4/1/14 163,227
335,000 SandRidge Energy, Inc., 8.0%, 6/1/18 (144A) 264,650
670,000 (b) SandRidge Energy, Inc., 8.625%, 4/1/15 445,550
$3,525,523
Oil & Gas Refining & Marketing - 0.2%
755,000 (m) Aventine Renewable Energy Holdings, Inc., 10.0%,$ 173,650
460,000 (c) VeraSun Energy Corp., 9.375%, 6/1/17 46,000
50,000 (c) VeraSun Energy Corp., 9.875%, 12/15/12 29,250
$ 248,900
Coal & Consumable Fuels - 0.4%
505,000 Massey Energy Co., 6.875%, 12/15/13 $ 441,875
Total Energy $5,957,522
Materials - 6.3%
Commodity Chemicals - 0.2%
195,000 (c) ARCO Chemical Co., 9.8%, 2/1/20 $ 48,750
1,750,000(m) Georgia Gulf Corp., 10.75%, 10/15/16 52,500
650,000 (d) Montell Finance Co. BV, 8.1%, 3/15/27 (144A) 104,000
$ 205,250
Diversified Chemicals - 0.1%
EURO 1,275,000 Ineos Group Holdings Plc, 7.875%, 2/15/16 (144A)$ 89,865
Specialty Chemicals - 0.1%
EURO 200,000 Kronos International, Inc., 6.5%, 4/15/13 $ 56,386
Construction Materials - 0.6%
500,000 AGY Holding Corp., 11.0%, 11/15/14 $ 267,500
300,000 (a)(e)C8 Capital SPV, Ltd., 6.64% (144A) 125,964
500,000 U.S. Concrete, Inc., 8.375%, 4/1/14 275,000
$ 668,464
Metal & Glass Containers - 1.1%
1,145,000 AEP Industries, Inc., 7.875%, 3/15/13 $ 658,375
EURO 625,000 Impress Holdings BV, 9.25%, 9/15/14 (144A) 512,597
165,000 (d) Vitro, S.A.B. de CV, 9.125%, 2/1/17 39,600
$1,210,572
Paper Packaging - 1.0%
700,000 Graham Packaging Co., Inc., 9.875%, 10/15/14 $ 444,500
500,000 Graphic Packaging International, Inc., 9.5%, 8/15 380,000
750,000 U.S. Corrugated, Inc., 10.0%, 6/1/13 337,500
$1,162,000
Aluminum - 0.8%
600,000 Asia Aluminum Holdings, Ltd., 8.0%, 12/23/11 (14$ 180,000
300,000 CII Carbon LLC, 11.125%, 11/15/15 (144A) 207,000
1,200,000(a)(b)Noranda Aluminum Acquisition Corp., 6.595%, 5/15/ 456,000
$ 843,000
Diversified Metals & Mining - 0.7%
320,000 Blaze Recycling & Metals LLC, 10.875%, 7/15/12 ($ 217,600
195,000 FMG Finance Pty., Ltd., 10.625%, 9/1/16 (144A) 126,750
750,000 Vedanta Resources Plc, 9.5%, 7/18/18 (144A) 427,500
$ 771,850
Steel - 1.1%
1,245,000 Algoma Acquisition Corp., 9.875%, 6/15/15 (144A)$ 479,325
250,000 Evraz Group SA, 9.5%, 4/24/18 (144A) 150,000
920,000 (m) Ryerson, Inc., 12.25%, 11/1/15 (144A) 575,000
$1,204,325
Forest Products - 0.4%
46,489 (m) Ainsworth Lumber Co., Ltd., 11.0%, 7/29/15 (144A$ 23,711
500,000 Mandra Forestry Holdings, Ltd., 12.0%, 5/15/13 (1 225,000
250,000 Sino-Forest Corp., 9.125%, 8/17/11 (144A) 202,500
$ 451,211
Paper Products - 0.3%
600,000 Exopack Holding Corp., 11.25%, 2/1/14 $ 348,000
Total Materials $7,010,923
Capital Goods - 5.6%
Aerospace & Defense - 0.5%
750,000 Aeroflex, Inc., 11.75%, 2/15/15 (144A) $ 525,000
Construction & Engineering - 1.2%
750,000 Desarrolladora Metropolitana SA de CV, 10.875%, $ 655,313
350,000 Dycom Industries, Inc., 8.125%, 10/15/15 249,375
500,000 Esco Corp., 8.625%, 12/15/13 (144A) 390,000
$1,294,688
Industrial Conglomerates - 0.6%
620,106 (b)(f)American Achievement Group Holding Corp., 16.75%$ 161,849
500,000 Cia Latinoamericana de Infraestructura & Servicio 140,000
500,000 (d) Indalex Holding Corp., 11.5%, 2/1/14 66,250
740,000 Park-Ohio Industries, Inc., 8.375%, 11/15/14 327,450
$ 695,549
Construction & Farm Machinery & Heavy Trucks - 1.8%
1,150,000(m) Accuride Corp., 8.5%, 2/1/15 $ 327,750
720,000 American Railcar Industries, Inc., 7.5%, 3/1/14 500,400
770,000 Commercial Vehicle Group, Inc., 8.0%, 7/1/13 346,500
950,000 Greenbrier Companies, Inc., 8.375%, 5/15/15 513,000
400,000 Titan International, Inc., 8.0%, 1/15/12 336,000
$2,023,650
Industrial Machinery - 1.1%
1,220,000 Industrias Metalurgicas Pescarmona SA, 11.25%, 1$ 549,000
875,000 Mueller Water Products, Inc., 7.375%, 6/1/17 678,125
$1,227,125
Trading Companies & Distributors - 0.4%
500,000 Intcomex, Inc., 11.75%, 1/15/11 $ 195,000
300,000 Wesco Distribution, Inc., 7.5%, 10/15/17 210,000
$ 405,000
Total Capital Goods $6,171,012
Commercial & Professional Services - 0.5%
Commercial Printing - 0.1%
250,000 Sheridan Group, Inc., 10.25%, 8/15/11 $ 160,000
Diversified Commercial & Professional Services - 0.2%
400 (g) MSX International UK, 12.5%, 4/1/12 (144A) $ 160,000
125,000 United Rentals North America, Inc., 6.5%, 2/15/12 102,500
$ 262,500
Environmental & Facilities Services - 0.2%
700,000 (d)(m)Aleris International, Inc., 10.0%, 12/15/16 $ 113,750
EURO 107,128 New Reclamation Group Pty., Ltd., 8.125%, 2/1/13 57,659
$ 171,409
Total Commercial & Professional Services $ 593,909
Transportation - 0.7%
Air Freight & Logistics - 0.5%
775,000 CEVA Group Plc, 10.0%, 9/1/14 (144A) $ 573,500
Railroads - 0.2%
240,000 Kansas City Southern de Mexico, 7.625%, 12/1/13 $ 201,600
Total Transportation $ 775,100
Automobiles & Components - 1.4%
Auto Parts & Equipment - 1.2%
980,000 (m) Allison Transmission, Inc., 11.0%, 11/1/15 (144A$ 543,900
1,140,000 Lear Corp., 8.75%, 12/1/16 216,600
500,000 (f) Stanadyne Corp., 0.0%, 2/15/15 240,000
160,000 Stanadyne Corp., 10.0%, 8/15/14 108,800
700,000 Tenneco, Inc., 8.625%, 11/15/14 213,500
$1,322,800
Tires & Rubber - 0.2%
985,000 Cooper-Standard Automotive, Inc., 8.375%, 12/15/$ 177,300
Total Automobiles & Components $1,500,100
Consumer Durables & Apparel - 0.9%
Homebuilding - 0.4%
695,000 Meritage Homes Corp., 6.25%, 3/15/15 $ 427,425
Housewares & Specialties - 0.2%
500,000 (m) Yankee Acquisition Corp., 9.75%, 2/15/17 $ 205,000
Textiles - 0.3%
500,000 Invista, 9.25%, 5/1/12 (144A) $ 355,000
Total Consumer Durables & Apparel $ 987,425
Consumer Services - 3.0%
Casinos & Gaming - 2.0%
500,000 Buffalo Thunder Development Authority, 9.375%, 1$ 45,000
EURO 1,155,000 Codere Finance Luxembourg SA, 8.25%, 6/15/15 (144 703,059
550,000 Fontainebleau Las Vegas Holdings LLC, 10.25%, 6/1 60,500
95,000 Galaxy Entertainment Finance Co., Ltd., 9.875%, 1 49,400
275,000 Little Traverse Bay Bands of Odawa Indians, 10.25 143,000
1,615,000 Mashantucket Western Pequot Tribe, 8.5%, 11/15/15 557,175
EURO 50,000 Peermont Global, Ltd., 7.75%, 4/30/14 (144A) 34,600
750,000 (c) Station Casinos, Inc., 6.625%, 3/15/18 22,500
750,000 (d)(m)Trump Entertainment Resorts, Inc., 8.5%, 6/1/15 110,625
EURO 405,000 Unibet Group Plc, 9.7%, 12/21/10 513,814
$2,239,673
Hotels, Resorts & Casinos - 0.7%
1,110,000 Pegasus Solutions, Inc., 10.5%, 4/15/15 (144A) $ 782,550
Leisure Facilities - 0.3%
395,000 FireKeepers Development Authority, 13.875%, 5/1/$ 264,650
Total Consumer Services $3,286,873
Media - 1.6%
Broadcasting - 1.3%
40,000 (d) CCH I LLC, 11.0%, 10/1/15 $ 7,000
250,000 (d)(m)CCH II LLC, 10.25%, 9/15/10 147,500
500,000 Intelsat Subsidiary Holding Co., Ltd., 8.5%, 1/15 468,750
400,000 Kabel Deutschland GmbH, 10.625%, 7/1/14 386,000
430,000 Telesat Canada, 12.5%, 11/1/17 (144A) 288,100
1,245,000(b)(m)Univision Communications, Inc., 9.75%, 3/15/15 (1 192,975
$1,490,325
Publishing - 0.3%
600,000 TL Acquisitions, Inc., 10.5%, 1/15/15 (144A) $ 300,000
Total Media $1,790,325
Retailing - 2.2%
Internet Retail - 0.3%
465,000 Ticketmaster, 10.75%, 8/1/16 (144A) $ 279,000
Apparel Retail - 0.0%
EURO 74,000 (a) Edcon Holdings Pty., Ltd., 8.829%, 6/15/15 (144A$ 22,759
Specialty Stores - 0.9%
500,000 KAR Holdings, Inc., 10.0%, 5/1/15 $ 180,000
950,000 Sally Holdings LLC, 10.5%, 11/15/16 783,750
$ 963,750
Total Retailing $1,265,509
Food & Staples Retailing - 0.1%
Drug Retail - 0.1%
275,000 Duane Reade, Inc., 9.75%, 8/1/11 $ 148,500
Total Food & Staples Retailing $ 148,500
Food, Beverage & Tobacco - 3.1%
Distillers & Vintners - 0.1%
EURO 330,000 (c)(h)Belvedere SA, 8.106%, 5/15/13 (144A) $ 101,494
Agricultural Products - 0.3%
350,000 American Rock Salt Co. LLC, 9.5%, 3/15/14 $ 346,500
Packaged Foods & Meats - 1.6%
490,000 (c) Arantes International, Ltd., 10.25%, 6/19/13 (14$ 24,500
400,000 Bertin Ltda, 10.25%, 10/5/16 (144A) 208,000
400,000 (d) Independencia International, Ltd., 9.875%, 5/15/1 252,000
700,000 Marfrig Overseas, Ltd., 9.625%, 11/16/16 (144A) 488,250
1,175,000(m) Minerva Overseas, Ltd., 9.5%, 2/1/17 (144A) 681,500
275,000 (f) SA Fabrica de Produtos Alimenticios Vigor, 9.25%, 169,469
$1,823,719
Tobacco - 1.1%
1,360,000 Alliance One International, Inc., 8.5%, 5/15/12 $1,074,400
125,000 Alliance One International, Inc., 11.0%, 5/15/12 108,750
$1,183,150
Total Food, Beverage & Tobacco $3,454,863
Household & Personal Products - 0.1%
Household Products - 0.1%
205,000 (m) Central Garden and Pet Co., 9.125%, 2/1/13 $ 143,500
Total Household & Personal Products $ 143,500
Health Care Equipment & Services - 4.6%
Health Care Equipment & Services - 0.5%
750,000 Accellent, Inc., 10.5%, 12/1/13 $ 532,500
Health Care Supplies - 1.0%
1,265,000(b) Biomet, Inc., 10.375%, 10/15/17 $1,132,175
Health Care Services - 2.7%
1,385,000 DASA Finance Corp., 8.75%, 5/29/18 (144A) $1,121,850
320,000 Hanger Orthopedic Group, Inc., 10.25%, 6/1/14 312,000
500,000 Rural/Metro Corp., 9.875%, 3/15/15 415,000
725,000 (b) Surgical Care Affiliates, Inc., 8.875%, 7/15/15 ( 471,250
1,170,000 Surgical Care Affiliates, Inc., 10.0%, 7/15/17 (1 666,900
$2,987,000
Health Care Facilities - 0.1%
120,000 Fresenius US Finance II, Inc., 9.0%, 7/15/15 (14$ 120,600
Managed Health Care - 0.3%
500,000 Multiplan, Inc., 10.375%, 4/15/16 (144A) $ 385,000
Total Health Care Equipment & Services $5,157,275
Pharmaceuticals & Biotechnology & Life Sciences - 0.4%
Pharmaceuticals - 0.4%
260,000 Angiotech Pharmaceuticals, Inc., 7.75%, 4/1/14 $ 65,000
250,000 Phibro Animal Health Corp., 10.0%, 8/1/13 (144A) 200,000
200,000 Phibro Animal Health Corp., 13.0%, 8/1/14 (144A) 156,000
Total Pharmaceuticals & Biotechnology & Life Sci$ 421,000
Banks - 1.9%
Diversified Banks - 1.7%
750,000 (a)(e)ALB Finance BV, 9.375% $ 112,500
250,000 ATF Capital BV, 9.25%, 2/21/14 (144A) 162,500
500,000 (a) Banco Macro SA, 9.75%, 12/18/36 170,000
700,000 Banco Macro SA, 10.75%, 6/7/12 210,000
200,000 JSC TemirBank, 9.5%, 5/21/14 (144A) 70,000
300,000 Petrocommerce Finance SA, 8.75%, 12/17/09 288,000
550,000 Russian Standard Finance SA, 7.5%, 10/7/10 (144A) 253,000
500,000 (m) TuranAlem Finance BV, 8.5%, 2/10/15 (144A) 195,000
EURO 445,000 URSA Bank, 7.0%, 5/21/10 471,696
$1,932,696
Regional Banks - 0.2%
250,000 (a)(e)Wells Fargo Capital XV, 9.75% $ 235,000
Total Banks $2,167,696
Diversified Financials - 0.7%
Other Diversified Financial Services - 0.2%
500,000 (a)(e)Citigroup, Inc., 8.4% $ 182,615
Multi-Sector Holdings - 0.0%
EURO 50,000 Zlomrex International Finance SA, 8.5%, 2/1/14 ($ 14,097
Specialized Finance - 0.5%
750,000 ACE Cash Express, Inc., 10.25%, 10/1/14 (144A) $ 142,500
425,000 (a) NCO Group, Inc., 7.024%, 11/15/13 148,750
900,000 NCO Group, Inc., 11.875%, 11/15/14 315,000
$ 606,250
Total Diversified Financials $ 802,962
Insurance - 31.5%
Insurance Brokers - 1.1%
250,000 Alliant Holdings I, Inc., 11.0%, 5/1/15 (144A) $ 163,750
1,050,000 HUB International Holdings, Inc., 10.25%, 6/15/15 567,000
500,000 (a) USI Holdings Corp., 6.024%, 11/15/14 (144A) 237,500
500,000 USI Holdings Corp., 9.75%, 5/15/15 (144A) 230,000
$1,198,250
Multi-Line Insurance - 1.0%
1,000,000(a) Liberty Mutual Group, Inc., 7.0%, 3/15/37 (144A)$ 465,463
1,000,000(a) Liberty Mutual Group, Inc., 10.75%, 6/15/58 (144A 600,000
65,000 Sul America Participacoes SA, 8.625%, 2/15/12 (14 62,400
$1,127,863
Property & Casualty Insurance - 2.0%
625,000 (a)(m)AMBAC Financial Group, Inc., 6.15%, 2/15/37 $ 56,124
2,000,000(a) Blue Fin, Ltd., 5.811%, 4/10/12 (144A) 1,716,600
820,000 (a)(m)MBIA Insurance Corp., 14.0%, 1/15/33 (144A) 475,600
$2,248,324
Reinsurance - 27.4%
1,750,000(a) Australis, Ltd., 6.843%, 3/24/09 (144A) $1,734,600
1,250,000(a) Australis, Ltd., 7.193%, 2/3/09 (144A) 1,250,000
1,500,000(a) AKIBARE, 5.103%, 5/22/12 (144A) 1,423,950
1,000,000(a) AKIBARE, 5.303%, 5/22/12 (144A) 948,600
EURO 1,500,000(a) Atlas Reinsurance Plc, 13.178%, 1/10/11 (144A) 1,826,127
1,000,000(a) Caelus Re, Ltd., 8.453%, 6/7/11 (144A) 944,600
1,000,000(a) Calabash Re II, Ltd., 10.396%, 1/8/10 (144A) 970,000
1,500,000(a) Calabash Re II, Ltd., 11.596%, 1/8/10 (144A) 1,480,500
2,000,000(a) Calabash Re, Ltd., 10.653%, 6/1/09 (144A) 1,992,400
1,000,000(a) Carillon, Ltd., 17.246%, 1/10/11 (144A) 934,900
1,500,000(a) East Lane Re, Ltd., 10.193%, 5/6/11 (144A) 1,444,500
1,750,000(a) Fhu-Jin, Ltd., 7.093%, 8/10/11 (144A) 1,664,425
1,000,000(a) GlobeCat, Ltd., 7.435%, 1/2/13 (144A) 929,500
350,000 (a) GlobeCat, Ltd., 10.685%, 1/2/13 (144A) 328,965
EURO 1,500,000(a) Green Valley, Ltd., 6.329%, 1/10/11 (144A) 1,853,807
2,000,000(a) Muteki, Ltd., 6.549%, 5/24/11 (144A) 1,880,400
1,000,000(a) Nelson Re, Ltd., 6.649%, 6/6/11 (144A) 961,800
1,000,000(a) Newton Re, Ltd., 6.116%, 12/24/10 (144A) 985,700
1,000,000(a) Newton Re, Ltd., 8.416%, 12/24/10 (144A) 948,800
1,500,000(a) Residential Reinsurance 2006, Ltd., 12.203%,6/5/ 1,491,450
2,000,000(a) Residential Reinsurance 2008, Ltd., 13.703%,6/6/ 1,898,000
440,000 (a) Successor II, Ltd., 18.943%, 4/6/10 (144A) 419,232
2,000,000(a) Successor II, Ltd., 27.193%, 4/6/10 (144A) 1,876,800
500,000 (a)(d)Willow Re, Ltd., 8.545%, 6/16/10 (144A) 260,000
$30,449,056
Total Insurance $35,023,493
Real Estate - 0.4%
Real Estate Operating Companies - 0.2%
100,000 (a) Alto Palermo SA, 11.0%, 6/11/12 (144A) $ 40,000
410,000 (m) IRSA Inversiones y Representaciones SA, 8.5%, 2/2 172,200
$ 212,200
Real Estate Development - 0.2%
105,000 China Properties Group, Ltd., 9.125%, 5/4/14 (14$ 48,300
955,000 Neo-China Group Holdings, Ltd., 9.75%, 7/23/14 (1 143,250
$ 191,550
Total Real Estate $ 403,750
Software & Services - 1.8%
IT Consulting & Other Services - 0.2%
405,000 Activant Solutions, Inc., 9.5%, 5/1/16 $ 210,600
Data Processing & Outsourced Services - 0.7%
1,465,000(m) First Data Corp., 9.875%, 9/24/15 $ 820,400
Application Software - 0.9%
500,000 Open Solutions, Inc., 9.75%, 2/1/15 (144A) $ 70,000
1,390,000 Vangent, Inc., 9.625%, 2/15/15 875,700
$ 945,700
Total Software & Services $1,976,700
Technology Hardware & Equipment - 0.2%
Electronic Manufacturing Services - 0.0%
70,000 Sanmina-SCI Corp., 6.75%, 3/1/13 $ 34,300
Technology Distributors - 0.2%
250,000 Da-Lite Screen Co., Inc., 9.5%, 5/15/11 $ 222,500
Total Technology Hardware & Equipment $ 256,800
Semiconductors & Semiconductor Equipment - 0.4%
Semiconductor Equipment - 0.4%
1,750,000 Freescale Semiconductor, Inc., 8.875%, 12/15/14 $ 385,000
650,000 (b) Freescale Semiconductor, Inc., 9.125%, 12/15/14 86,125
Total Semiconductors & Semiconductor Equipment $ 471,125
Telecommunication Services - 5.7%
Integrated Telecommunication Services - 3.5%
910,000 Broadview Networks Holdings, Inc., 11.375%, 9/1/$ 404,950
400,000 Digicel, Ltd., 9.25%, 9/1/12 (144A) 352,000
1,200,000 GC Impsat Holdings I Plc, 9.875%, 2/15/17 (144A) 780,000
1,250,000 GCI, Inc., 7.25%, 2/15/14 1,090,625
1,010,000(m) PAETEC Holding Corp., 9.5%, 7/15/15 656,500
142,000 Tele Norte Leste Participacoes SA, 8.0%, 12/18/13 140,907
500,000 Windstream Corp., 8.625%, 8/1/16 492,500
$3,917,482
Wireless Telecommunication Services - 2.2%
380,000 Cell C Property, Ltd., 11.0%, 7/1/15 (144A) $ 302,100
500,000 Cricket Communications, Inc., 9.375%, 11/1/14 455,000
EURO 500,000 (a) Hellas Telecommunications Luxembourg II, 8.612%, 108,927
840,000 Hughes Network Systems LLC, 9.5%, 4/15/14 697,200
540,000 OJSC Vimpel Communications, 9.125%, 4/30/18 (144A 340,200
1,330,000 True Move Co., Ltd., 10.375%, 8/1/14 (144A) 492,100
$2,395,527
Total Telecommunication Services $6,313,009
Utilities - 3.1%
Electric Utilities - 1.6%
750,000 Cia de Transporte de Energia Electrica de Alta T$ 285,000
250,000 Mirant JPSCo. Finance, Ltd., 11.0%, 7/6/16 (144A) 175,000
930,000 (e) Rede Empresas de Energia Eletrica SA, 11.125% (14 441,750
1,200,000(f) Texas Competitive Electric Holdings Co. LLC, 10.2 888,000
$1,789,750
Gas Utilities - 0.9%
490,000 Inergy, L.P., 8.25%, 3/1/16 $ 443,450
1,185,000 Transportadora de Gas del Sur SA, 7.875%, 5/14/17 592,500
$1,035,950
Multi-Utilities - 0.2%
225,000 PNM Resources, Inc., 9.25%, 5/15/15 $ 202,500
Independent Power Producers & Energy Traders - 0.4%
500,000 Intergen NV, 9.0%, 6/30/17 (144A) $ 465,000
Total Utilities $3,493,200
TOTAL CORPORATE BONDS & NOTES
(Cost $140,201,108) $89,572,571
CONVERTIBLE BONDS & NOTES - 2.4% of Net Assets
Transportation - 0.4%
Marine - 0.4%
990,000 Horizon Lines, Inc., 4.25%, 8/15/12 $ 475,200
Total Transportation $ 475,200
Health Care Equipment & Services - 1.3%
Health Care Services - 1.0%
1,550,000 Omnicare, Inc., 3.25%, 12/15/35 $1,061,750
Health Care Facilities - 0.3%
120,000 LifePoint Hospitals, Inc., 3.25%, 8/15/25 $ 88,650
405,000 LifePoint Hospitals, Inc., 3.5%, 5/15/14 286,538
$ 375,188
Total Health Care Equipment & Services $1,436,938
Technology Hardware & Equipment - 0.1%
Communications Equipment - 0.1%
850,000 (c)(m)Nortel Networks Corp., 2.125%, 4/15/14 $ 140,250
Total Technology Hardware & Equipment $ 140,250
Telecommunication Services - 0.6%
Wireless Telecommunication Services - 0.6%
900,000 NII Holdings, Inc., 3.125%, 6/15/12 $ 599,625
Total Telecommunication Services $ 599,625
TOTAL CONVERTIBLE BONDS & NOTES
(Cost $3,644,917) $2,652,013
FLOATING RATE LOAN INTERESTS - 40.3% of Net Assets(i)
Energy - 0.4%
Integrated Oil & Gas - 0.2%
339,150 Hudson Products Holdings, Inc., Term Loan, 8.0%,$ 252,667
Oil & Gas Exploration & Production - 0.2%
400,000 Venoco, Inc., Second Lien Term Loan, 6.813%, 5/7$ 189,000
Total Energy $ 441,667
Materials - 4.8%
Diversified Chemicals - 0.6%
1,000,000 Huntsman International LLC, New Dollar Term Loan$ 710,469
Paper Packaging - 0.8%
593,955 Graham Packaging Co., L.P., New Term Loan, 2.75%$ 479,453
492,613 Graphic Packaging International, Inc., Incrementa 424,109
$ 903,562
Steel - 1.4%
1,304,310 Essar Steel Algoma, Inc., Term Loan, 4.42%, 6/20$ 838,019
1,303,463 Niagara Corp., Term Loan, 5.461%, 6/30/14 684,318
$1,522,337
Forest Products - 1.0%
1,500,000 Ainsworth Lumber Co., Ltd., Term Loan, 5.438%, 6$1,080,000
Paper Products - 1.0%
1,321,668 Georgia-Pacific LLC, Term Loan B, 2.081% - 4.446$1,144,069
Total Materials $5,360,437
Capital Goods - 1.9%
Aerospace & Defense - 1.3%
738,482 Aeroflex, Inc., Tranche B-2 Term Loan, 6.563%, 8$ 457,859
500,231 DAE Aviation Holdings, Inc., Tranche B-1 Term Loa 237,610
496,193 Spirit Aerosystems, Inc., Term Loan B-1, 2.91%, 9 442,852
493,126 Standard Aero, Ltd., Tranche B-2 Term Loan, 7.17% 308,204
$1,446,525
Construction & Farm Machinery & Heavy Trucks - 0.6%
1,000,000 Accuride Corp., Term Loan, 6.0% - 6.688%, 1/31/1$ 714,286
Total Capital Goods $2,160,811
Commercial & Professional Services - 1.7%
Diversified Commercial & Professional Services - 1.0%
738,750 Asset Acceptance Capital Corp., Tranche B Term L$ 498,656
1,000,000 Rental Service Corp., Second Lien Initial Term Lo 630,000
$1,128,656
Environmental & Facilities Services - 0.7%
1,231,250 Synagro Technologies, Inc., First Lien Term Loan$ 794,156
Total Commercial & Professional Services $1,922,812
Transportation - 0.9%
Air Freight & Logistics - 0.9%
439,482 Ceva Group Plc, Pre-Funded LC Loan, 2.701%, 11/4$ 254,167
1,320,052 Ceva Group Plc, U.S. Term Loan, 5.046%, 11/4/13 763,430
Total Transportation $1,017,597
Automobiles & Components - 0.7%
Tires & Rubber - 0.7%
1,000,000 Goodyear Tire & Rubber Co., Second Lien Term Loa$ 740,000
Total Automobiles & Components $ 740,000
Consumer Durables & Apparel - 0.9%
Homebuilding - 0.0%
2,000,000(c) LandSource Communities Development LLC, Second L$ 62,142
Housewares & Specialties - 0.5%
925,583 Yankee Candle Company, Inc., Term Loan, 2.41% - $ 509,071
Apparel, Accessories & Luxury Goods - 0.4%
441,192 Hanesbrands, Inc., Term Loan B, 4.545% - 4.551%,$ 399,279
Total Consumer Durables & Apparel $ 970,492
Consumer Services - 1.0%
Casinos & Gaming - 1.0%
1,000,000 Fontainebleau Las Vegas LLC, Initial Term Loan, $ 275,000
220,458 Gateway Casinos & Entertainment, First Lien Delay 101,686
1,091,269 Gateway Casinos & Entertainment, First Lien Term 503,348
1,000,000 Gateway Casinos & Entertainment, Second Lien Term 266,667
Total Consumer Services $1,146,701
Media - 2.2%
Broadcasting - 1.1%
1,000,000 Insight Midwest Holdings LLC, Term Loan B, 2.45%$ 875,000
675,000 Univision Communications, Inc., Initial Term Loan 358,956
$1,233,956
Cable & Satellite - 0.1%
158,517 Knology, Inc., Term Loan, 6.4%, 6/30/12 $ 107,791
Movies & Entertainment - 0.5%
941,000 Lodgenet Entertainment Corp., Closing Date Term $ 494,025
Publishing - 0.5%
923,995 RH Donnelley, Inc., Tranche D-1 Term Loan, 6.75%$ 592,127
Total Media $2,427,899
Food, Beverage & Tobacco - 0.6%
Packaged Foods & Meats - 0.6%
742,443 Dean Foods Co., Tranche B Term Loan, 1.91% - 2.9$ 671,498
Total Food, Beverage & Tobacco $ 671,498
Household & Personal Products - 0.5%
Personal Products - 0.5%
791,940 Brickman Group Holdings, Inc., Tranche B Term Lo$ 543,469
Total Household & Personal Products $ 543,469
Health Care Equipment & Services - 6.0%
Health Care Equipment & Services - 1.4%
1,723,618 Talecris Biotherapeutics Holdings Corp., First L$1,557,720
Health Care Supplies - 1.1%
54,000 Bausch & Lomb, Inc., Delayed Draw Term Loan, 6.0$ 45,379
356,399 Bausch & Lomb, Inc., Parent Term Loan, 4.709%, 4/ 299,503
492,500 IM US Holdings LLC, First Lien Term Loan, 2.436% 424,781
600,000 IM US Holdings LLC, Second Lien Term Loan, 4.686% 418,500
$1,188,163
Health Care Services - 2.1%
1,362,123 Catalent Pharma Solutions, Inc., Dollar Term Loa$ 866,083
713,997 Hanger Orthopedic Group, Inc., Tranche B Term Loa 635,457
990,657 HealthSouth Corp., Term Loan, 2.84% - 4.7%, 3/11/ 870,953
$2,372,493
Health Care Facilities - 1.4%
46,404 Community Health Systems, Inc., Delayed Draw Ter$ 39,461
907,327 Community Health Systems, Inc., Term Loan, 4.439% 771,568
162,256 Sun Healthcare Group, Inc., Synthetic LC Loan, 2. 133,861
790,414 Sun Healthcare Group, Inc., Term Loan, 3.159% - 5 652,091
$1,596,981
Total Health Care Equipment & Services $6,715,357
Pharmaceuticals & Biotechnology & Life Sciences - 0.8%
Pharmaceuticals - 0.6%
735,000 Mylan, Inc., U.S. Tranche B Term Loan, 3.75% - 6$ 674,363
Life Sciences Tools & Services - 0.2%
249,375 Life Technologies Corp., Facility Term Loan B, 5$ 245,323
Total Pharmaceuticals & Biotechnology & Life Sci$ 919,686
Diversified Financials - 3.7%
Other Diversified Financial Services - 1.4%
992,500 Metavante Corp., Term Loan, 4.943%, 11/1/14 $ 836,181
798,000 SRAM LLC., Term Loan, 8.75%, 9/30/14 710,220
$1,546,401
Specialized Finance - 1.0%
843,453 Ace Cash Express, Inc., Term Loan, 6.77%, 10/5/1$ 417,509
974,688 Collect Acquisition Corp., Term Loan B, 5.72% - 6 706,649
$1,124,158
Consumer Finance - 0.8%
993,233 Dollar Financial Corp., Canadian Borrower Term L$ 496,617
730,318 Dollar Financial Corp., Delayed Draw Term Loan, 4 365,159
$ 861,776
Investment Banking & Brokerage - 0.5%
693,000 MSCI, Inc., Term Loan B, 4.696%, 11/20/14 $ 632,362
Total Diversified Financials $4,164,697
Insurance - 3.2%
Insurance Brokers - 2.5%
1,481,250 Alliant Holdings I, Inc., Term Loan, 4.459%, 8/2$1,170,187
108,611 HUB International, Ltd., Delay Draw Term Loan, 3. 80,643
483,214 HUB International, Ltd., Initial Term Loan, 3.959 358,786
1,970,000 USI Holdings Corp., Tranche B Term Loan, 4.21%, 1,142,600
$2,752,216
Multi-Line Insurance - 0.7%
789,485 AmWins Group, Inc., Initial Term Loan, 2.84% - 4. 461,849
1,000,000 AmWins Group, Inc., Second Lien Initial Term Loan 325,000
$ 786,849
Total Insurance $3,539,065
Software & Services - 3.0%
IT Consulting & Other Services - 1.4%
1,964,912 SunGard Data Systems, Inc., New U.S.Term Loan, $1,536,842
Application Software - 0.7%
989,822 Nuance Communications, Inc., Term Loan, 2.41%, 3$ 819,078
Systems Software - 0.9%
1,439,787 Vangent, Inc., Term Loan, 4.16%, 2/14/13 $ 971,857
Total Software & Services $3,327,777
Technology Hardware & Equipment - 1.4%
Electronic Equipment & Instruments - 1.4%
1,410,294 H3C Holdings, Ltd., Tranche B Term Loan, 6.701%,$1,158,580
490,061 Scitor Corp., Term Loan, 4.66%, 9/26/14 433,704
Total Technology Hardware & Equipment $1,592,284
Semiconductors & Semiconductor Equipment - 0.5%
Semiconductor Equipment - 0.5%
984,925 Freescale Semiconductor, Inc., Term Loan, 3.931%$ 509,698
Total Semiconductors & Semiconductor Equipment $ 509,698
Telecommunication Services - 3.7%
Alternative Carriers - 0.7%
1,206,576 PAETEC Holding Corp., Replacement Term Loan, 2.9$ 774,220
Integrated Telecommunication Services - 0.4%
438,230 Telesat Canada, U.S. Term I Loan, 3.47% - 6.42%,$ 354,653
37,640 Telesat Canada, U.S. Term II Loan, 4.46%, 10/31/1 30,461
$ 385,114
Wireless Telecommunication Services - 2.6%
984,848 Cricket Communications, Inc., Term Loan B, 6.5%$ 904,522
1,723,552 MetroPCS Wireless, Inc., New Tranche B Term Loan$1,508,611
593,434 Stratos Global Corp., Facility Term Loan B, 3.3% 510,354
$2,923,487
Total Telecommunication Services $4,082,821
Utilities - 2.3%
Multi-Utilities - 0.8%
1,158,000 Goodman Global, Inc., Term Loan, 7.708%, 2/13/14$ 953,541
Independent Power Producers & Energy Traders - 1.5%
1,965,150 Calpine Corp., First Priority Term Loan, 4.335%,$1,518,283
184,378 Mach Gen LLC, First Lien Synthetic LC Loan, 1.218 137,362
$1,655,645
Total Utilities $2,609,186
TOTAL FLOATING RATE LOAN INTERESTS
(Cost $64,284,052) $44,863,954
Shares COMMON STOCK - 0.0% of Net Assets
Materials - 0.0%
Forest Products - 0.0%
13,963 (j) Ainsworth Lumber Co., Ltd. $ 9,573
TOTAL COMMON STOCK
(Cost $97,187) $ 9,573
CONVERTIBLE PREFERRED STOCK - 0.3% of Net Assets
Diversified Financials - 0.3%
Other Diversified Financial Services - 0.3%
595 Bank of America Corp. $ 300,178
TOTAL CONVERTIBLE PREFERRED STOCK
(Cost $490,737) $ 300,178
WARRANTS - 0.0% of Net Assets
Real Estate - 0.0%
Real Estate Development - 0.0%
750,000 (j) Neo-China Group Holdings, Ltd., Expires 7/22/12 $ 24,179
TOTAL WARRANTS
(Cost $17,012) $ 24,179
Principal
Amount
USD ($) Value
TEMPORARY CASH INVESTMENTS - 4.9% of Net Assets
Securities Lending Collateral - 4.9%(k)
Certificates of Deposit:
124,705 Abbey National Plc, 2.52%, 8/13/09 $ 124,705
124,693 Bank of Nova Scotia, 3.21%, 5/5/09 124,693
199,335 Bank of Scotland NY, 2.92%, 6/5/09 199,335
224,470 Barclays Bank, 1.2%, 5/27/09 224,470
249,411 CBA, 1.31%, 7/16/09 249,411
224,470 DNB NOR Bank ASA NY, 2.41%, 6/5/09 224,470
228,460 Intesa SanPaolo S.p.A., 1.1%, 5/22/09 228,460
14,452 NORDEA NY, 0.39%, 4/9/09 14,452
187,058 Royal Bank of Canada NY, 2.7%, 8/7/09 187,058
124,705 Royal Bank of Scotland, 2.45%, 3/5/09 124,705
24,938 Skandinavian Enskilda Bank NY, 2.17%, 2/13/09 24,938
249,411 Societe Generale, 2.62%, 9/4/09 249,411
224,470 Svenska Bank NY, 1.73%, 7/8/09 224,470
249,411 U.S. Bank NA, 2.25%, 8/24/09 249,411
$2,449,989
Commercial Paper:
244,921 American Honda Finance Corp., 1.29%, 7/14/09 $ 244,921
23,773 BBVA U.S., 2.83%, 3/12/09 23,773
124,705 CME Group, Inc., 2.9%, 8/6/09 124,705
124,698 General Electric Capital Corp., 1.96%, 3/16/09 124,698
249,411 HSBC Bank, Inc., 2.5%, 8/14/09 249,411
124,705 IBM, 2.39%, 9/25/09 124,705
224,470 Met Life Global Funding, 2.47%, 6/12/09 224,470
249,411 Monumental Global Funding, Ltd., 2.55%, 8/17/09 249,411
224,470 New York Life Global, 2.31%, 9/4/09 224,470
211,999 Westpac Banking Corp., 1.01%, 6/1/09 211,999
$1,802,563
Tri-party Repurchase Agreements:
238,743 Barclays Capital Markets, 0.26%, 2/2/09 $ 238,743
249,411 Deutsche Bank, 0.27%, 2/2/09 249,411
498,822 Merrill Lynch, 0.28%, 2/2/09 498,822
$ 986,976
Money Market Mutual Fund:
62,353 Columbia Government Reserves Fund $ 62,353
187,058 JPMorgan, U.S. Government Money Market Fund 187,058
$ 249,411
TOTAL SECURITIES LENDING COLLATERAL
(Cost $5,488,939) $5,488,939
TOTAL INVESTMENTS IN SECURITIES - 135.5%
(Cost $224,835,463) (l) $150,772,333
OTHER ASSETS AND LIABILITIES - (35.5)% $(39,529,725)
NET ASSETS APPLICABLE TO COMMON SHAREOWNERS - 100.0 % $111,242,608
(144A) Security is exempt from registration under
Rule 144A of the Securities Act of 1933. Such
securities may be resold normally to qualified
institutional buyers in a transaction exempt from
registration. At January 31, 2009, the value of these
securities amounted to $60,852,319 or 54.7% of total
net assets applicable to common shareowners.
(a) Floating rate note. The rate shown is the
coupon rate at January 31, 2009.
(b) Payment-in-Kind (PIK) security which may
pay interest in additional principal amount.
(c) Security is in default and is non-income producing.
(d) On January 31, 2009, the security was not in
default but defaulted after the period end.
(e) Security is a perpetual bond and has no definite maturity
date.
(f) Debt obligation initially issued at one coupon which
converts to a higher coupon at a specific date.
The rate shown is the coupon rate at January 31, 2009.
(g) Security is priced as a unit.
(h) Indicates a security that has been deemed illiquid.
The aggregate cost of illiquid securities is
$444,015. The aggregate value $101,494 represents
0.1% of total net assets applicable to common shareowners.
(i) Floating rate loan interests in which the Trust invests
generally pay interest at rates that are periodically
redetermined by
reference to a base lending rate plus a premium. These
base lending rates are generally (i) the lending rate
offered by one
or more major European banks, such as LIBOR (London
InterBank
Offered Rate), (ii) the prime rate offered by one or more
major
United States banks, (iii) the certificate of deposit (iv)
other base
lending rates used by commercial lenders. The interest rate
shown
is the coupon rate accruing at January 31, 2009.
(j) Non-income producing.
(k) Security lending collateral is managed by Credit Suisse.
(l) At January 31, 2009, the net unrealized loss on investments
based on cost for federal income tax purposes
of $225,661,198 was as follows:
Aggregate gross unrealized gain for all investments in which
there is an excess of value over tax cost $256,768
Aggregate gross unrealized loss for all investments in which
there is an excess of tax cost over value (75,145,633)
Net unrealized loss $(74,888,865)
For financial reporting purposes net unrealized loss was
$74,063,130 and cost of investments aggregated $224,835,463.
(m) At January 31, 2009, the following securities were out on
loan:
Principal
Amount
USD ($) Description Value
1,131,000 Accuride Corp., 8.5%, 2/1/15 $322,602
45,944 Ainsworth Lumber Co., Ltd., 11.0%, 7/29/15 (144A) 22,555
379,000 Aleris International, Inc., 10.0%, 12/15/16 66,325
970,000 Allison Transmission, Inc., 11.0%, 11/1/15 (144A) 556,429
450,000 AMBAC Financial Group, Inc., 6.15%, 2/15/37 53,248
694,000 Aventine Renewable Energy Holdings, Inc., 10.0%, 116,727
100,000 CCH II LLC, 10.25%, 9/15/10 62,844
202,000 Central Garden and Pet Co., 9.125%, 2/1/13 141,451
1,450,000 First Data Corp., 9.875%, 9/24/15 859,730
1,580,000 Freescale Semiconductor, Inc., 10.125%, 12/15/16* 297,386
1,500,000 Georgia Gulf Corp., 10.75%, 10/15/16 92,031
52,000 Hilcorp Energy I L.P./Hilcorp Finance Co., 9.0%, 43,147
210,000 IRSA Inversiones y Representaciones SA, 8.5%, 2/2 91,174
810,000 MBIA Insurance Corp., 14.0%, 1/15/33 (144A) 474,525
400,000 Minerva Overseas, Ltd., 9.5%, 2/1/17 (144A) 250,894
380,000 Nortel Networks Corp., 2.125%, 4/15/14 65,033
500,000 PAETEC Holding Corp., 9.5%, 7/15/15 326,979
834,000 Ryerson, Inc., 12.25%, 11/1/15 (144A) 545,992
576,000 Trump Entertainment Resorts, Inc., 8.5%, 6/1/15 71,384
450,000 TuranAlem Finance BV, 8.5%, 2/10/15 (144A) 193,562
500,000 Univision Communications, Inc., 9.75%, 3/15/15 (1 101,052
247,000 Wells Fargo Capital XV, 9.75% 241,545
495,000 Yankee Acquisition Corp., 9.75%, 2/15/17 225,070
$5,221,685
*Awaiting pending sales, portion not part of portfolio at
period end.
Glossary of Terms:
LC - Letter of Credit
Note: Principal amounts are denominated in
U.S. dollars unless otherwise denoted.
EURO - Euro
NOK - Norwegian Krone
Various inputs are used in determining the value of the
Fund's
investments. These inputs are summarized in the three broad
levels listed below.
Highest priority is given to Level 1 inputs and lowest
priority
is given to Level 3.
Level 1 - quoted prices in active markets for identical
securities
Level 2 - other significant observable inputs (including
quoted
prices for similar securities, interest rates,
prepayment speeds,
credit risk, etc.)
Level 3 - significant unobservable inputs (including the
Fund's
own assumptions in determining fair value of
investments)
The following is a summary of the inputs used as of January
31, 2009, in valuing the Fund's assets:
Valuation Inputs Investments Other Financial
in Securities Instruments
Level 1 - Quoted Prices $ 309,750 106,824
Level 2 - Other Significant Observable Inputs 150,462,583 0
Level 3 - Significant Unobservable Inputs 0 0
Total $150,772,333 106,824
* Other financial instruments include foreign exchange contracts.
ITEM 2. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant's principal executive officer or
officers and principal financial officer or officers, or persons performing
similar functions, about the effectiveness of the registrant's disclosure
controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR
270.30a-3(c))) as of a date within 90 days of the filing date of the report
that includes the disclosure required by this paragraph, based on their
evaluation of these controls and procedures required by Rule 30a-3(b)
under the Act (17 CFR270.30a-3(b))) and Rule 13a-15(b) or 15d-15(b)
under the Exchange Act (17 CFR240.13a-15(b) or 240.15d-15(b)).
The registrant's principal executive officer and principal financial officer
have concluded that the registrant's disclosure controls and procedures are
effective based on their evaluation of these controls and procedures as of
a date within 90 days of the filing date of this report.
(b) Disclose any change in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Act (17 CFR270.30a-3(d))
that occurred during the registrant's last fiscal quarter that has materially
affected, or is reasonably likely to materially affect, the registrant's
internal control over financial reporting.
There were no significant changes in the registrant's internal control over
financial reporting that occurred during the second fiscal quarter of the
period covered by this report that have materially affected, or are
reasonably likely to materially affect, the registrant's internal control
over financial reporting.
ITEM 3. EXHIBITS.
(a) A separate certification for each principal executive officer and principal
financial officer of the registrant as required by Rule 30a-2 under the Act
(17 CFR 270.30a-2).
Filed herewith.
SIGNATURES
[See General Instruction F]
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Pioneer Diversified High Income Trust
By (Signature and Title)* /s/ John F. Cogan, Jr.
John F. Cogan, Jr, President
Date March 31, 2009
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ John F. Cogan, Jr.
John F. Cogan, Jr., President
Date March 31, 2009
By (Signature and Title)* /s/ Mark Bradley
Mark Bradley, Treasurer
Date March 31, 2009
* Print the name and title of each signing officer under his or her signature.