OMB APPROVAL
OMB Number: 3235-0578
Expires: April 30, 2010
Estimated average burden
hours per response.....
10.5
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22014
Pioneer Diversified High Income Trust
(Exact name of registrant as specified in charter)
60 State Street, Boston, MA 02109
(Address of principal executive offices) (ZIP code)
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, 2010
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 1/31/10 (unaudited)
Principal
Amount
USD ($) Value($)
ASSET BACKED SECURITIES - 2.8% of Net Assets
Consumer Services - 0.3%
Restaurants - 0.3%
100,000 DB Master Finance LLC, 5.779%, 6/20/31 (144A) 97,939
500,000 DB Master Finance LLC, 8.285%, 6/20/31 (144A) 427,510
Total Consumer Services 525,449
Banks - 2.1%
Thrifts & Mortgage Finance - 2.1%
246,741 (a) Ace Securities Corp., 0.831%, 12/25/34 176,397
861,421 (a) Bayview Financial Acquisition Trust, 0.816%, 8/28/44 749,040
1,460,1 (a) Bayview Financial Acquisition Trust, 0.861%, 5/28/44 1,294,853
200,000 (a) Carrington Mortgage Loan Trust, 0.331%, 10/25/36 164,371
699,000 (a) Carrington Mortgage Loan Trust, 0.431%, 2/25/37 383,081
70,153 (a) First Franklin Mortgage Loan Asset-Backed Certificate 50,010
250,000 (a) GSAMP Trust, 0.361%, 1/25/37 202,864
137,628 (a) GSAMP Trust, 0.661%, 3/25/35 134,332
653,901 (a) Lehman XS Trust, 0.581%, 12/25/35 181,442
Total Banks 3,336,390
Diversified Financials - 0.4%
Other Diversified Financial Services - 0.3%
933,725 (a) Aircraft Finance Trust, 0.713%, 5/15/24 (144A) 364,152
171,479 (a) Aircraft Finance Trust, 0.733%, 5/15/24 (144A) 116,606
480,758
Specialized Finance - 0.1%
150,000 Dominos Pizza Master Issuer LLC, 5.261%, 4/25/37 (144 132,384
Total Diversified Financials 613,142
TOTAL ASSET BACKED SECURITIES 4,474,981
(Cost $4,901,903)
COLLATERALIZED MORTGAGE OBLIGATIONS - 1.6% of Net Assets
Banks - 1.6%
Thrifts & Mortgage Finance - 1.6%
337,715 (a) Countrywide Alternative Loan Trust, 5.5%, 11/25/35 253,720
272,060 (a) Countrywide Home Loans, 0.581%, 3/25/35 69,836
549,472 (a) Downey Savings and Loan Association Mortgage Loan Tru 192,465
377,762 (a) Downey Savings and Loan Association Mortgage Loan Tru 75,552
1,215,5 (a) Impac CMB Trust, 0.991%, 1/25/35 835,558
172,765 (a) Impac Secured Assets CMN Owner Trust, 0.321%, 11/25/3 46,217
721,508 (a) Luminent Mortgage Trust, 0.577%, 7/25/36 79,859
422,845 (a) WaMu Mortgage Pass-Through Certificates, 0.461%, 4/25 311,750
1,413,3 (a) WaMu Mortgage Pass-Through Certificates, 0.711%, 7/25 635,185
Total Banks 2,500,142
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $3,603,421) 2,500,142
CORPORATE BONDS & NOTES - 86.2% of Net Assets
Energy - 8.7%
Oil & Gas Drilling - 0.1%
NOK 1,500,000 Petrolia Drilling ASA, 12.0%, 6/20/12 (144A) 122,167
Oil & Gas Equipment & Services - 0.0%
65,067 (c) Nexus 1 Pte., Ltd., 10.5%, 3/7/12 (144A) 651
Oil & Gas Equipment & Services - 1.4%
520,000 Expro Finance Luxembourg SCA, 8.5%, 12/15/16 (144A) 517,400
1,120,000 Oceanografia SA de CV, 11.25%, 7/15/15 (144A) 588,000
700,000 (a) Sevan Marine ASA, 3.524%, 5/14/13 (144A) 588,000
NOK 3,000,0 (a) Sevan Marine ASA, 7.76%, 10/24/12 (144A) 437,767
154,800 Skeie Drilling & Production ASA, 11.25%, 3/8/13 (144A 100,620
2,231,787
Oil & Gas Exploration & Production - 3.5%
505,000 Berry Petroleum Co., 10.25%, 6/1/14 552,975
125,000 Chesapeake Energy Corp., 9.5%, 2/15/15 136,250
970,000 Hilcorp Energy I LP, 9.0%, 6/1/16 (144A) 1,006,375
685,000 Linn Energy LLC, 11.75%, 5/15/17 (144A) 779,187
NOK 2,500,000 Norwegian Energy Co. AS, 12.9%, 11/20/14 437,767
NOK 3,000,0 (a) PA Resources AB, 9.52%, 3/9/11 512,849
650,000 Pacific Rubiales Energy Corp., 8.75%, 11/10/16 (144A) 676,000
225,000 PetroQuest Energy, Inc., 10.375%, 5/15/12 229,500
240,000 Quicksilver Resources, Inc., 7.125%, 4/1/16 227,700
335,000 SandRidge Energy, Inc., 8.0%, 6/1/18 (144A) 333,325
670,000 (b) SandRidge Energy, Inc., 8.625%, 4/1/15 673,350
5,565,278
Oil & Gas Refining & Marketing - 0.8%
1,310,000 Petroplus Finance, Ltd., 9.375%, 9/15/19 (144A) 1,296,900
Oil & Gas Storage & Transportation - 1.0%
500,000 Holly Energy Partners LP, 6.25%, 3/1/15 482,500
1,245,0 (a) Southern Union Co., 7.2%, 11/1/66 1,108,050
1,590,550
Coal & Consumable Fuels - 1.9%
850,000 Bumi Capital Pte, Ltd., 12.0%, 11/10/16 (144A) 873,375
738,000 Drummond Co., Inc., 9.0%, 10/15/14 (144A) 771,210
420,000 Indo Integrated Energy II BV, 9.75%, 11/5/16 (144A) 430,500
505,000 Massey Energy Co., 6.875%, 12/15/13 501,212
400,000 Murray Energy Corp., 10.25%, 10/15/15 (144A) 407,000
2,983,297
Total Energy 13,790,630
Materials - 10.6%
Commodity Chemicals - 0.3%
195,000 (c) ARCO Chemical Co., 9.8%, 2/1/20 154,050
300,000 (c) Montell Finance Co. BV, 8.1%, 3/15/27 (144A) 264,000
418,050
Diversified Chemicals - 0.0%
EURO 1,275,000 Ineos Group Holdings Plc, 7.875%, 2/15/16 (144A) 1,187,365
Construction Materials - 0.6%
865,000 AGY Holding Corp., 11.0%, 11/15/14 692,000
300,000(a)(d)C8 Capital SPV, Ltd., 6.64% (144A) 212,412
904,412
Metal & Glass Containers - 1.0%
1,145,000 AEP Industries, Inc., 7.875%, 3/15/13 1,122,100
EURO 255,000 Ardagh Glass Finance Plc, 9.25%, 7/1/16 (144A) 390,767
1,512,867
Paper Packaging - 1.4%
475,000(b)(f)Corporacion Durango SAB de CV, 6.0%, 8/27/16 365,750
700,000 Graham Packaging Co., Inc., 9.875%, 10/15/14 720,125
500,000 (m) Graphic Packaging International, Inc., 9.5%, 8/15/13 513,750
750,000 U.S. Corrugated, Inc., 10.0%, 6/1/13 645,000
2,244,625
Aluminum - 0.9%
600,000 (c) Asia Aluminum Holdings, Ltd., 8.0%, 12/23/11 (144A) 90,000
300,000 CII Carbon LLC, 11.125%, 11/15/15 (144A) 303,000
1,282,4(a)(b)Noranda Aluminum Acquisition Corp., 5.278%, 5/15/15 997,068
1,390,068
Diversified Metals & Mining - 1.8%
343,608 (b) Blaze Recycling & Metals LLC, 13.0%, 7/16/12 236,230
195,000 FMG Finance Pty., Ltd., 10.625%, 9/1/16 (144A) 220,838
750,000 Prime Dig Pte, Ltd., 11.75%, 11/3/14 (144A) 781,875
745,000 Teck Resources, Ltd., 10.25%, 5/15/16 851,162
750,000 Vedanta Resources Plc, 9.5%, 7/18/18 (144A) 798,750
2,888,855
Precious Metals & Minerals - 0.3%
500,000 ALROSA Finance SA, 8.875%, 11/17/14 (144A) 525,000
Steel - 1.9%
1,245,000 Algoma Acquisition Corp., 9.875%, 6/15/15 (144A) 1,126,725
450,000 (m) Essar Steel Algoma, Inc., 9.375%, 3/15/15 (144A) 452,250
250,000 Evraz Group SA, 8.875%, 4/24/13 (144A) 255,938
250,000 Evraz Group SA, 9.5%, 4/24/18 (144A) 258,438
920,000 Ryerson, Inc., 12.0%, 11/1/15 954,500
EURO 50,000 Zlomrex International Finance SA, 8.5%, 2/1/14 (144A) 22,934
3,070,785
Forest Products - 0.5%
500,000 (c) Mandra Forestry Holdings, Ltd., 12.0%, 5/15/13 (144A) 475,000
250,000 Sino-Forest Corp., 10.25%, 7/28/14 (144A) 275,000
750,000
Paper Products - 1.2%
500,000 Appleton Papers, Inc., 10.5%, 6/15/15 (144A) 490,175
425,000 Cellu Tissue Holdings, Inc., 11.5%, 6/1/14 471,750
260,000 Clearwater Paper Corp., 10.625%, 6/15/16 (144A) 288,600
600,000 Exopack Holding Corp., 11.25%, 2/1/14 619,500
1,870,025
Total Materials 16,762,052
Capital Goods - 6.3%
Aerospace & Defense - 0.8%
750,000 Aeroflex. Inc., 11.75%, 2/15/15 772,500
405,000 DigitalGlobe, Inc., 10.5%, 5/1/14 (144A) 435,375
90,000 GeoEye, Inc., 9.625%, 10/1/15 (144A) 91,800
1,299,675
Building Products - 0.4%
EURO 200,000(a)(d)C10 - EUR Capital SPV, Ltd., 6.277% 183,473
365,000 USG Corp., 9.75%, 8/1/14 (144A) 386,900
570,373
Construction & Engineering - 0.5%
350,000 Dycom Industries, Inc., 8.125%, 10/15/15 329,000
500,000 Esco Corp., 8.625%, 12/15/13 (144A) 501,875
830,875
Industrial Conglomerates - 0.6%
500,000 Cia Latinoamericana de Infraestructura & Servicios SA 413,750
500,000 (c) Indalex Holding Corp., 11.5%, 2/1/14 5,000
740,000 Park-Ohio Industries, Inc., 8.375%, 11/15/14 610,500
1,029,250
Construction & Farm Machinery & Heavy Trucks - 1.5%
720,000 American Railcar Industries, Inc., 7.5%, 3/1/14 680,400
770,000 Commercial Vehicle Group, Inc., 8.0%, 7/1/13 465,850
950,000 Greenbrier Companies, Inc., 8.375%, 5/15/15 818,188
400,000 Titan International, Inc., 8.0%, 1/15/12 398,000
2,362,438
Industrial Machinery - 1.2%
1,220,000 Industrias Metalurgicas Pescarmona SA, 11.25%, 10/22/1,033,950
875,000 Mueller Water Products, Inc., 7.375%, 6/1/17 787,500
1,821,450
Trading Companies & Distributors - 1.3%
1,090,000 Intcomex, Inc., 13.25%, 12/15/14 (144A) 1,076,375
1,000,000 Wesco Distribution, Inc., 7.5%, 10/15/17 975,000
2,051,375
Total Capital Goods 9,965,436
Commercial & Professional Services - 0.4%
Environmental & Facilities Services - 0.2%
700,000(c)(m)Aleris International, Inc., 10.0%, 12/15/16 7,000
210,000 Casella Waste Systems, Inc., 11.0%, 7/15/14 (144A) 227,850
EURO 107,128 New Reclamation Group Pty., Ltd., 8.125%, 2/1/13 (144 113,166
348,016
Diversified Support Services - 0.2%
400 (e) MSX International, Ltd., UK, 12.5%, 4/1/12 (144A) 328,000
Total Commercial & Professional Services 676,016
Transportation - 0.8%
Air Freight & Logistics - 0.5%
775,000 CEVA Group Plc, 10.0%, 9/1/14 (144A) 744,969
Airlines - 0.2%
305,000 Delta Air Lines, Inc., 9.5%, 9/15/14 (144A) 317,963
Railroads - 0.1%
240,000 Kansas City Southern de Mexico, 7.625%, 12/1/13 241,200
Total Transportation 1,304,132
Automobiles & Components - 1.6%
Auto Parts & Equipment - 1.4%
980,000 (m) Allison Transmission, Inc., 11.0%, 11/1/15 (144A) 1,033,900
160,000 Stanadyne Corp., 10.0%, 8/15/14 145,600
500,000 (f) Stanadyne Corp., 12.0%, 2/15/15 365,000
700,000 (m) Tenneco, Inc., 8.625%, 11/15/14 689,500
2,234,000
Tires & Rubber - 0.2%
235,000 Goodyear Tire & Rubber Co., 10.5%, 5/15/16 254,975
Total Automobiles & Components 2,488,975
Consumer Durables & Apparel - 1.3%
Homebuilding - 0.7%
430,000 Desarrolladora Homex SA de CV, 9.5%, 12/11/19 (144A) 441,863
695,000 Meritage Homes Corp., 6.25%, 3/15/15 651,563
1,093,426
Housewares & Specialties - 0.6%
1,000,000 Yankee Acquisition Corp., 9.75%, 2/15/17 1,000,000
Total Consumer Durables & Apparel 2,093,426
Consumer Services - 2.7%
Casinos & Gaming - 2.5%
500,000 (c) Buffalo Thunder Development Authority, 9.375%, 12/15/ 85,000
EURO 1,155,000 Codere Finance Luxembourg SA, 8.25%, 6/15/15 (144A) 1,446,860
395,000 FireKeepers Development Authority, 13.875%, 5/1/15 (1 452,275
95,000 Galaxy Entertainment Finance Co., Ltd., 9.875%, 12/15 97,375
275,000 (c) Little Traverse Bay Bands of Odawa Indians, 10.25%, 2 68,750
1,615,0 (c) Mashantucket Western Pequot Tribe, 8.5%, 11/15/15 (14 492,575
EURO 500,000 Peermont Global, Ltd., 7.75%, 4/30/14 (144A) 620,265
180,000 Scientific Games International, Inc., 9.25%, 6/15/19 189,450
423,000 Scientific Games International, Inc., 9.25%, 6/15/19 445,208
585,000 (c) Station Casinos, Inc., 6.625%, 3/15/18 2,925
3,900,683
Specialized Consumer Services - 0.2%
350,000 StoneMor Operating LLC/Cornerstone Family Services/Os 364,000
Total Consumer Services 4,264,683
Media - 3.4%
Advertising - 0.5%
716,000 MDC Partners, Inc., 11.0%, 11/1/16 (144A) 755,380
Broadcasting - 2.6%
182,676 CCH II LLC, 13.5%, 11/30/16 219,668
840,000 Hughes Network Systems LLC, 9.5%, 4/15/14 858,900
850,000 (b) Intelsat Bermuda, Ltd., 11.5%, 2/4/17 862,750
500,000 Intelsat Subsidiary Holding Co., Ltd., 8.5%, 1/15/13 505,000
430,000 Telesat Canada, 12.5%, 11/1/17 492,350
1,310,3 (b) Univision Communications, Inc., 9.75%, 3/15/15 (144A)1,156,394
4,095,062
Publishing - 0.3%
600,000 Cengage Learning Acquisitions, Inc., 10.5%, 1/15/15 ( 580,500
Total Media 5,430,942
Retailing - 1.0%
Internet Retail - 0.5%
640,000 Ticketmaster Entertainment, Inc., 10.75%, 7/28/16 699,200
Apparel Retail - 0.0%
EURO 74,000 (a) Edcon Holdings Pty., Ltd., 6.214%, 6/15/15 (144A) 60,171
Specialty Stores - 0.5%
800,000 (m) Sally Holdings LLC, 10.5%, 11/15/16 856,000
Total Retailing 1,615,371
Food, Beverage & Tobacco - 3.8%
Packaged Foods & Meats - 2.4%
650,000 Bertin Ltda, 10.25%, 10/5/16 (144A) 666,250
750,000 FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc., 701,221
400,000(c)(m)Independencia International, Ltd., 9.875%, 5/15/15 (1 105,000
700,000 Marfrig Overseas, Ltd., 9.625%, 11/16/16 (144A) 714,000
1,175,000 Minerva Overseas, Ltd., 9.5%, 2/1/17 (144A) 1,122,125
275,000 Minerva Overseas II, Ltd., 10.875%, 11/15/19 (144A) 270,188
275,000 (f) SA Fabrica de Produtos Alimenticios Vigor, 9.25%, 2/2 262,209
3,840,993
Tobacco - 1.4%
250,000 Alliance One International, Inc., 10.0%, 7/15/16 (144 265,000
1,765,000 Alliance One International, Inc., 10.0%, 7/15/16 (1441,870,900
2,135,900
Total Food, Beverage & Tobacco 5,976,893
Household & Personal Products - 0.3%
Household Products - 0.1%
205,000 Central Garden and Pet Co., 9.125%, 2/1/13 208,588
Personal Products - 0.2%
300,000 Revlon Consumer Products Corp., 9.75%, 11/15/15 (144A 309,375
Total Household & Personal Products 517,963
Health Care Equipment & Services - 4.4%
Health Care Equipment & Services - 0.5%
750,000 Accellent, Inc., 10.5%, 12/1/13 751,875
Health Care Supplies - 1.4%
750,000 Bausch & Lomb, Inc., 9.875%, 11/1/15 787,500
1,265,0 (b) Biomet, Inc., 10.375%, 10/15/17 1,378,850
2,166,350
Health Care Services - 2.2%
125,000 (b) Catalent Pharma Solutions, Inc., 9.5%, 4/15/15 116,875
1,385,0 (m) DASA Finance Corp., 8.75%, 5/29/18 (144A) 1,436,937
796,459 (b) Surgical Care Affiliates, Inc., 8.875%, 7/15/15 (144A 780,530
1,170,000 Surgical Care Affiliates, Inc., 10.0%, 7/15/17 (144A)1,152,450
3,486,792
Managed Health Care - 0.3%
500,000 Multiplan, Inc., 10.375%, 4/15/16 (144A) 515,000
Total Health Care Equipment & Services 6,920,017
Pharmaceuticals & Biotechnology & Life Sciences - 0.3%
Pharmaceuticals - 0.3%
250,000 Phibro Animal Health Corp., 10.0%, 8/1/13 (144A) 260,000
200,000 Phibro Animal Health Corp., 13.0%, 8/1/14 (144A) 204,000
Total Pharmaceuticals & Biotechnology & Life Sciences 464,000
Banks - 2.1%
Diversified Banks - 1.4%
250,000 ATF Capital BV, 9.25%, 2/21/14 (144A) 250,625
500,000 (a) Banco Macro SA, 9.75%, 12/18/36 411,250
700,000 (a) Banco Macro SA, 10.75%, 6/7/12 470,750
BRL 350,000 International Finance Corp., 9.25%, 3/15/13 185,558
200,000 (c) JSC TemirBank, 9.5%, 5/21/14 (144A) 56,000
550,000 Russian Standard Finance SA, 7.5%, 10/7/10 (144A) 544,225
500,000 (c) TuranAlem Finance BV, 8.5%, 2/10/15 (144A) 202,500
2,120,908
Regional Banks - 0.7%
600,000(a)(d)PNC Financial Services Group, Inc., 8.25% 619,838
500,000(a)(d)Wells Fargo Capital XV, 9.75% 532,500
1,152,338
Total Banks 3,273,246
Diversified Financials - 4.9%
Other Diversified Financial Services - 1.3%
EURO 500,000 (a) ATLAS VI Capital, Ltd., 10.283%, 4/6/13 (144A) 703,941
400,000 (a) Ibis Re, Ltd., 10.504%, 5/10/12 (144A) 433,200
1,000,0 (a) Redwood Capital XI, Ltd., 6.26%, 1/7/11 (144A) 999,900
2,137,041
Specialized Finance - 2.5%
750,000 ACE Cash Express, Inc., 10.25%, 10/1/14 (144A) 585,000
500,000 Capital One Capital V, 10.25%, 8/15/39 572,404
1,000,0 (a) Montana Re, Ltd., 13.504%, 12/7/12 (144A) 997,800
425,000 National Money Mart Co., 10.375%, 12/15/16 (144A) 448,375
755,000 (a) NCO Group, Inc., 5.148%, 11/15/13 607,775
900,000 NCO Group, Inc., 11.875%, 11/15/14 742,500
3,953,854
Consumer Finance - 0.2%
EURO 200,000 (a) TVN Finance Corp. II AB, 10.75%, 11/15/17 (144A) 299,151
Asset Management & Custody Banks - 0.7%
375,000 Janus Capital Group, Inc., 6.5%, 6/15/12 375,099
665,000 Janus Capital Group, Inc., 6.95%, 6/15/17 658,370
1,033,469
Investment Banking & Brokerage - 0.2%
450,000(a)(d)Goldman Sachs Capital II, 5.793% 352,125
Total Diversified Financials 7,775,640
Insurance - 22.0%
Insurance Brokers - 1.5%
250,000 Alliant Holdings I, Inc., 11.0%, 5/1/15 (144A) 253,750
1,050,000 HUB International Holdings, Inc., 10.25%, 6/15/15 (14 984,375
500,000 (a) U.S.I. Holdings Corp., 4.148%, 11/15/14 (144A) 422,500
804,000 (m) U.S.I. Holdings Corp., 9.75%, 5/15/15 (144A) 745,710
2,406,335
Multi-Line Insurance - 1.2%
1,000,0 (a) Liberty Mutual Group, Inc., 7.0%, 3/15/37 (144A) 803,841
1,000,0 (a) Liberty Mutual Group, Inc., 10.75%, 6/15/58 (144A) 1,100,000
65,000 Sul America Participacoes SA, 8.625%, 2/15/12 (144A) 69,225
1,973,066
Reinsurance - 19.3%
1,500,0 (a) AKIBARE, 3.217%, 5/22/12 (144A) 1,463,700
1,000,0 (a) AKIBARE, 3.417%, 5/22/12 (144A) 973,500
EURO 1,500,0 (a) Atlas Reinsurance Plc, 10.95%, 1/10/11 (144A) 2,027,591
2,000,0 (a) Blue Fin, Ltd., 4.65%, 4/10/12 (144A) 1,840,200
1,000,0 (a) Caelus Re, Ltd., 6.504%, 6/7/11 (144A) 994,500
1,500,0 (a) Carillon, Ltd., 15.504%, 1/10/11 (144A) 1,499,700
1,500,0 (a) East Lane Re, Ltd., 7.281%, 5/6/11 (144A) 1,508,700
1,750,0 (a) Fhu-Jin, Ltd., 4.181%, 8/10/11 (144A) 1,736,875
500,000 (a) Foundation Re, Ltd., 7.523%, 2/24/10 (144A) 500,500
1,000,0 (a) Foundation Re III, Ltd., 5.806%, 2/3/14 (144A) 999,200
1,000,0 (a) GlobeCat, Ltd., 6.251%, 1/2/13 (144A) 976,700
350,000 (a) GlobeCat, Ltd., 9.501%, 1/2/13 (144A) 315,945
EURO 1,500,0 (a) Green Valley, Ltd., 4.292%, 1/10/11 (144A) 2,064,911
250,000 (a) MultiCat Mexico, Ltd., Series 2009-I Class A, 11.52%, 260,800
250,000 (a) MultiCat Mexico, Ltd., Series 2009-I Class B, 10.27%, 252,300
250,000 (a) MultiCat Mexico, Ltd., Series 2009-I Class C, 10.27%, 252,300
250,000 (a) MultiCat Mexico, Ltd., Series 2009-I Class D, 10.27%, 249,900
2,500,0 (a) Muteki, Ltd., 4.673%, 5/24/11 (144A) 2,438,250
500,000 (a) Mystic Re II, Ltd., 12.254%, 3/20/12 (144A) 537,850
1,000,0 (a) Nelson Re, Ltd., 4.773%, 6/6/11 (144A) 971,100
1,000,0 (a) Newton Re, Ltd., 4.899%, 12/24/10 (144A) 992,100
1,000,0 (a) Newton Re, Ltd., 7.199%, 12/24/10 (144A) 989,400
425,000 (a) Residential Reinsurance 2008, Ltd., 7.001%, 6/6/11 (1 431,757
2,000,0 (a) Residential Reinsurance 2008, Ltd., 11.756%, 6/6/11 (2,025,200
440,000 (a) Successor II, Ltd., 17.005%, 4/6/10 (144A) 442,728
2,000,0 (a) Successor II, Ltd., 25.255%, 4/6/10 (144A) 2,018,600
1,000,000 Successor X, Ltd., 0.0%, 12/9/10 (144A) 830,400
600,000 Successor X, Ltd., 0.0%, 12/9/10 (144A) 518,940
500,000(a)(c)Willow Re, Ltd., 0.0%, 6/16/10 (144A) 375,000
30,488,647
Total Insurance 34,868,048
Real Estate - 0.2%
Real Estate Operating Companies - 0.2%
76,705 (a) Alto Palermo SA, 11.0%, 6/11/12 (144A) 39,311
410,000 IRSA Inversiones y Representaciones SA, 8.5%, 2/2/17 363,875
Total Real Estate 403,186
Software & Services - 2.7%
Internet Software & Services - 0.6%
905,000 Terremark Worldwide, Inc., 12.0%, 6/15/17 (144A) 1,002,287
IT Consulting & Other Services - 0.3%
405,000 Activant Solutions, Inc., 9.5%, 5/1/16 387,787
Data Processing & Outsourced Services - 0.8%
1,465,000 First Data Corp., 9.875%, 9/24/15 1,307,513
Application Software - 0.8%
1,390,000 Vangent, Inc., 9.625%, 2/15/15 1,285,750
Systems Software - 0.2%
666,000 (g) Pegasus Systems, Inc., 13.0%, 4/15/14 299,700
Total Software & Services 4,283,037
Technology Hardware & Equipment - 0.5%
Computer Storage & Peripherals - 0.3%
430,000 Seagate Technology International, 10.0%, 5/1/14 (144A 492,350
Electronic Equipment & Instruments - 0.2%
250,000 Da-Lite Screen Co., Inc., 9.5%, 5/15/11 248,750
Total Technology Hardware & Equipment 741,100
Telecommunication Services - 5.9%
Alternative Carriers - 0.6%
945,000 Global Crossing, Ltd., 12.0%, 9/15/15 (144A) 1,030,050
Integrated Telecommunication Services - 2.8%
910,000 Broadview Networks Holdings, Inc., 11.375%, 9/1/12 873,600
1,250,000 GCI, Inc., 7.25%, 2/15/14 1,250,000
750,000 PAETEC Holding Corp., 8.875%, 6/30/17 758,437
1,010,000 PAETEC Holding Corp., 9.5%, 7/15/15 977,175
500,000 Windstream Corp., 8.625%, 8/1/16 513,125
4,372,337
Wireless Telecommunication Services - 2.5%
365,000 Cricket Communications, Inc., 7.75%, 5/15/16 367,281
500,000 (m) Cricket Communications, Inc., 9.375%, 11/1/14 497,500
750,000 NII Capital Corp., 10.0%, 8/15/16 (144A) 783,750
790,000 OJSC Vimpel Communications, 9.125%, 4/30/18 (144A) 853,200
1,330,000 True Move Co., Ltd., 10.375%, 8/1/14 (144A) 1,316,700
100,000 True Move Co., Ltd., 10.75%, 12/16/13 (144A) 100,500
3,918,931
Total Telecommunication Services 9,321,318
Utilities - 2.3%
Electric Utilities - 0.6%
750,000 Cia de Transporte de Energia Electrica de Alta Tensio 628,125
500,000 (m) Texas Competitive Electric Holdings Co. LLC, 10.25%, 391,250
1,019,375
Gas Utilities - 1.0%
490,000 Inergy, L.P., 8.25%, 3/1/16 501,025
1,135,000 Transportadora de Gas del Sur SA, 7.875%, 5/14/17 (141,018,662
1,519,687
Multi-Utilities - 0.2%
225,000 PNM Resources, Inc., 9.25%, 5/15/15 241,594
Independent Power Producers & Energy Traders - 0.5%
500,000 Intergen NV, 9.0%, 6/30/17 (144A) 510,000
346,000 Listrindo Capital BV, 9.25%, 1/29/15 (144A) 355,518
865,518
Total Utilities 3,646,174
TOTAL CORPORATE BONDS & NOTES
(Cost $140,341,146) 136,582,285
CONVERTIBLE BONDS & NOTES - 3.3% of Net Assets
Materials - 0.8%
Diverified Chemicals - 0.8%
1,900 (e) Hercules Inc, 6.5%, 6/30/29 1,225,500
Total Materials 1,225,500
Transportation - 0.5%
Marine - 0.5%
990,000 Horizon Lines, Inc., 4.25%, 8/15/12 846,450
Total Transportation 846,450
Media - 0.3%
Movies & Entertainment - 0.3%
659,000 Live Nation, Inc., 2.875%, 7/15/27 551,912
Total Media 551,912
Health Care Equipment & Services - 0.8%
Health Care Equipment & Services - 0.6%
1,040,0 (f) Hologic, Inc., 2.0%, 12/15/37 873,600
Health Care Services - 0.0%
50,000 Omnicare, Inc., 3.25%, 12/15/35 40,750
Health Care Facilities - 0.2%
405,000 LifePoint Hospitals, Inc., 3.5%, 5/15/14 367,031
Total Health Care Equipment & Services 1,281,381
Technology Hardware & Equipment - 0.2%
Communications Equipment - 0.2%
450,000 (c) Nortel Networks Corp., 2.125%, 4/15/14 306,000
Total Technology Hardware & Equipment 306,000
Telecommunication Services - 0.7%
Wireless Telecommunication Services - 0.7%
1,150,000 NII Holdings, Inc., 3.125%, 6/15/12 1,053,688
Total Telecommunication Services 1,053,688
TOTAL CONVERTIBLE BONDS & NOTES
(Cost $4,703,914) 5,264,931
FLOATING RATE LOAN INTERESTS - 36.4% of Net Assets (i)
Energy - 1.7%
Oil & Gas Equipment& Services - 0.6%
847,605 Coffeyville Resources LLC, Tranche D Term Loan, 8.5%, 857,494
Integrated Oil & Gas - 0.2%
335,750 Hudson Products Holdings, Inc., Term Loan, 8.0%, 8/24 334,071
Oil & Gas Exploration & Production - 0.6%
700,000 (g) Denbury Resources, Inc., Term Loan, 4.0%, 1/15/11 700,000
320,588 Venoco, Inc., Second Lien Term Loan, 4.25%, 5/7/14 296,645
996,645
Coal & Consumable Fuels - 0.3%
500,000 PT Bukit Mutiara, Term Loan, 8.251%, 12/29/10 500,000
Total Energy 2,688,210
Materials - 3.5%
Diversified Chemicals - 1.0%
989,899 Huntsman International LLC, New Dollar Term Loan B, 1 948,712
100,000 Ineos US Finance LLC, Facility Term Loan B-2, 7.501%, 93,275
100,000 Ineos US Finance LLC, Facility Term Loan C-2, 8.001%, 93,275
370,558 Solutia, Inc., Term Loan, 7.25%, 2/28/14 376,977
1,512,239
Paper Packaging - 0.6%
52,750 Graham Packaging Co. LP, Term Loan B, 2.5%, 10/7/11 52,443
527,941 Graham Packaging Co. LP, Term Loan C, 6.75%, 4/5/14 533,513
438,525 Graphic Packaging International, Inc., Incremental Te 432,067
1,018,023
Steel - 0.5%
1,290,230 Niagara Corp., Term Loan, 9.25%, 6/30/14 851,552
Forest Products - 0.8%
1,500,0 (b) Ainsworth Lumber Co., Ltd., Term Loan, 5.25%, 6/26/141,261,252
Paper Products - 0.6%
1,003,550 Georgia-Pacific LLC, Term Loan B, 2.251% - 2.256%, 12 985,612
Total Materials 5,628,678
Capital Goods - 3.3%
Aerospace & Defense - 1.4%
731,144 Aeroflex, Inc., Tranche B-2 Term Loan, 4.063%, 8/15/1 685,449
525,506 DAE Aviation Holdings, Inc., Tranche B-1 Term Loan, 4 495,727
491,117 Spirit Aerosystems, Inc., Term Loan B-1, 2.001%, 9/30 482,983
512,795 Standard Aero, Ltd., Tranche B-2 Term Loan, 3.99% - 4 483,737
2,147,896
Construction & Engineering - 0.7%
1,131,000 Goodman Global, Inc., Term Loan, 6.25%, 2/13/14 1,142,777
Construction & Farm Machinery & Heavy Trucks - 1.1%
1,000,000 Accuride Corp., Advance Term Loan, 10.0%, 1/31/12 1,003,571
435,930 Manitowoc Co., Inc., Term Loan B, 7.5%, 11/16/14 434,930
251,894 Oshkosh Truck Corp., Term Loan B, 6.26%, 12/6/13 253,368
1,691,869
Industrial Machinery - 0.1%
EURO 125,000 SIG Euro Holding AG & Co. KGaA, European Term Loan, 6 174,034
Total Capital Goods 5,156,576
Commercial & Professional Services - 2.2%
Commercial Printing - 0.2%
6,904 Cenveo Corp., Delayed Draw Term Loan, 4.753%, 6/21/13 6,880
241,818 Cenveo Corp., Facility Term Loan C, 4.753%, 6/21/13 240,987
247,867
Diversified Commercial & Professional Services - 0.6%
719,113 Asset Acceptance Capital Corp., Tranche B Term Loan, 697,539
300,004 Rental Service Corp., Second Lien Initial Term Loan, 283,879
981,418
Environmental & Facilities Services - 1.2%
815,228 Brickman Group Holdings, Inc., Tranche B Term Loan, 2 775,826
124,375 Casella Waste Systems, Inc., Term Loan B, 7.0%, 4/9/1 125,619
1,218,750 Synagro Technologies, Inc., First Lien Term Loan, 2.21,046,602
1,948,047
Security & Alarm Services - 0.2%
249,375 Protection One Alarm Monitoring, Inc., Tranche B-2 Te 239,920
Total Commercial & Professional Services 3,417,252
Transportation - 1.0%
Air Freight & Logistics - 1.0%
439,482 Ceva Group Plc, Pre-Funded LC Loan, 0.151%, 11/4/13 385,645
1,305,876 Ceva Group Plc, U.S. Term Loan, 3.231%, 11/4/13 1,145,906
Total Transportation 1,531,551
Automobiles & Components - 1.0%
Auto Parts & Equipment - 0.1%
99,324 Federal-Mogul Corp., Tranche B Term Loan, 2.168%, 12/ 84,426
50,676 Federal-Mogul Corp., Tranche C Term Loan, 2.168%, 12/ 43,074
127,500
Tires & Rubber - 0.6%
1,000,000 Goodyear Tire & Rubber Co., Second Lien Term Loan, 2. 934,167
Automobile Manufacturers - 0.3%
496,174 Ford Motor Co., Term Loan, 3.24% - 3.26%, 12/15/13 465,252
Total Automobiles & Components 1,526,919
Consumer Durables & Apparel - 0.8%
Housewares & Specialties - 0.4%
717,370 Yankee Candle Co., Inc., Term Loan, 2.24%, 2/6/14 696,248
Lesiure Products - 0.4%
625,333 SRAM LLC., Term Loan, 7.0% - 8.0%, 9/30/14 626,115
Total Consumer Durables & Apparel 1,322,363
Consumer Services - 0.5%
Casinos & Gaming - 0.4%
422,502 (c) Fontainebleau Las Vegas LLC, Delayed Draw Term Loan, 102,457
845,005 (c) Fontainebleau Las Vegas LLC, Initial Term Loan, 6.0%, 204,914
945,000 (c) Gateway Casinos & Entertainment, Inc., Advance Second 256,331
563,702
Hotels, Resorts & Cruise Lines - 0.1%
167,160 Travelport LLC, Incremental Term Loan C, 10.5%, 8/23/ 167,996
Total Consumer Services 731,698
Media - 2.7%
Broadcasting - 1.4%
628,417 Discovery Communications Holding LLC, Term Loan C, 5. 636,796
1,000,000 Insight Midwest Holdings LLC, Term Loan B, 2.25%, 4/7 967,188
675,000 Univision Communications, Inc., Initial Term Loan, 2. 589,612
2,193,596
Cable & Satellite - 0.4%
156,924 Knology, Inc., Term Loan, 2.481%, 6/30/12 152,216
560,000 WideOpenWest Finance LLC, Series A New Term Loan, 6.7 562,450
714,666
Movies & Entertainment - 0.5%
795,225 Lodgenet Entertainment Corp., Closing Date Term Loan, 733,098
Publishing - 0.4%
739,022 RH Donnelley, Inc., Tranche D-1 Term Loan, 6.75%, 6/3 720,546
Total Media 4,361,906
Retailing - 0.2%
Catalog Retail - 0.2%
250,000 QVC, Inc., Tranche 2-W Term Loan, 3.749%, 10/4/11 250,306
Total Retailing 250,306
Food & Staples Retailing - 0.7%
Drug Retail - 0.7%
1,000,000 Rite Aid Corp., Tranche 4 Term Loan, 9.5%, 6/10/15 1,048,750
Total Food & Staples Retailing 1,048,750
Health Care Equipment & Services - 4.2%
Health Care Supplies - 1.0%
112,593 Bausch & Lomb, Inc., Delayed Draw Term Loan, 3.501%, 109,109
463,644 Bausch & Lomb, Inc., Parent Term Loan, 3.501%, 4/24/1 449,300
487,500 IM US Holdings LLC, First Lien Term Loan, 2.231% - 2. 466,781
600,000 IM US Holdings LLC, Second Lien Term Loan, 4.481%, 6/ 581,625
1,606,815
Health Care Services - 1.4%
1,348,294 Catalent Pharma Solutions, Inc., Dollar Term Loan, 2.1,233,689
520,989 HealthSouth Corp., Tranche 1 Term Loan, 2.51%, 3/10/1 509,266
428,796 HealthSouth Corp., Tranche 2 Term Loan, 4.01%, 3/15/1 425,669
2,168,624
Health Care Facilities - 1.8%
47,885 Community Health Systems, Inc., Delayed Draw Term Loa 45,323
936,855 Community Health Systems, Inc., Term Loan, 2.506%, 7/ 886,732
710,430 Hanger Orthopedic Group, Inc., Tranche B Term Loan, 2 694,889
330,914 HCA, Inc., Tranche B-1 Term Loan, 2.501%, 11/18/13 315,196
162,256 Sun Healthcare Group, Inc., Synthetic LC Loan, 0.151% 153,778
762,819 Sun Healthcare Group, Inc., Term Loan, 2.249% - 2.825 722,962
2,818,880
Total Health Care Equipment & Services 6,594,319
Pharmaceuticals & Biotechnology & Life Sciences - 1.3%
Biotechnology - 0.7%
396,610 Warner Chilcott Co. LLC, Term Loan A, 5.5%, 10/30/14 398,296
198,305 Warner Chilcott Co. LLC, Term Loan B-1, 5.75, 4/30/15 199,061
436,271 Warner Chilcott Co. LLC, Term Loan B-2, 5.75%, 4/30/1 437,933
120,000 Warner Chilcott Co. LLC, Term Loan B-3, 5.75%, 4/30/1 120,483
1,155,773
Pharmaceuticals - 0.5%
720,000 Mylan, Inc., U.S. Tranche B Term Loan, 3.5% - 3.563%, 712,898
Life Sciences Tools & Services - 0.1%
160,625 Life Technologies Corp., Facility Term Loan B, 5.25%, 161,729
Total Pharmaceuticals & Biotechnology & Life Sciences2,030,400
Diversified Financials - 1.3%
Other Diversified Financial Services - 0.3%
434,221 Metavante Corp., Term Loan, 3.531%, 11/3/14 434,583
Specialized Finance - 1.0%
834,829 Ace Cash Express, Inc., Term Loan, 3.251%, 10/5/13 726,301
909,535 Collect Acquisition Corp., Advance Term Loan B, 7.5%, 901,008
1,627,309
Consumer Finance - 0.0%
51,728 Dollar Financial Corp., Canadian Borrower Term Loan, 50,262
38,035 Dollar Financial Corp., Delayed Draw Term Loan, 7.0%, 36,958
87,220
Total Diversified Financials 2,149,112
Insurance - 3.4%
Insurance Brokers - 2.4%
1,466,250 Alliant Holdings I, Inc., Term Loan, 3.251%, 8/21/14 1,388,050
118,769 HUB International, Ltd., Delay Draw Term Loan, 2.751% 111,346
528,390 HUB International, Ltd., Initial Term Loan, 2.751%, 6 495,366
99,750 U.S.I. Holdings Corp., Add-on Term Loan, 7.0%, 5/5/14 98,441
1,950,000 U.S.I. Holdings Corp., Tranche B Term Loan, 3.01%, 5/1,798,875
3,892,078
Multi-Line Insurance - 1.0%
781,470 AmWins Group, Inc., Initial Term Loan, 2.76%, 6/8/13 725,790
1,000,000 AmWins Group, Inc., Second Lien Initial Term Loan, 5. 835,000
1,560,790
Total Insurance 5,452,868
Software & Services - 3.6%
Internet Software & Services - 0.3%
447,733 Web Service Co. LLC, Term Loan, 7.0%, 8/28/14 447,733
IT Consulting & Other Services - 1.8%
398,602 Activant Solutions, Inc., Term Loan, 2.25% - 2.313%, 381,163
554,502 Keane International, Inc., Closing Date Term Loan, 2. 523,312
42,654 Keane International, Inc., Synthetic LC Loan, 2.51%, 40,255
1,944,862 SunGard Data Systems, Inc., Tranche A U.S.Term Loan, 1,885,128
2,829,858
Data Processing & Outsourced Services - 0.1%
119,009 Fidelity National Information Services, Inc., Tranche 119,679
Application Software - 0.6%
979,644 Nuance Communications, Inc., Term Loan, 2.24%, 3/29/1 948,724
Systems Software - 0.8%
1,439,788 Vangent, Inc., Term Loan, 2.52%, 2/14/13 1,346,201
Total Software & Services 5,692,195
Technology Hardware & Equipment - 0.9%
Systems Software - 0.2%
250,000 Towerco Finance LLC, Term Loan, 6.0%, 11/24/14 253,437
Electronic Equipment & Instruments - 0.7%
769,251 H3C Holdings, Ltd., Tranche B Term Loan, 3.639%, 9/28 747,456
488,773 Scitor Corp., Term Loan, 4.48%, 9/26/14 432,564
1,180,020
Total Technology Hardware & Equipment 1,433,457
Semiconductors & Semiconductor Equipment - 0.5%
Semiconductor Equipment - 0.5%
968,126 Freescale Semiconductor, Inc., Term Loan, 1.979%, 11/ 871,414
Total Semiconductors & Semiconductor Equipment 871,414
Telecommunication Services - 2.0%
Integrated Telecommunication Services - 0.6%
433,803 Telesat Canada, U.S. Term I Loan, 3.24%, 10/31/14 425,824
37,261 Telesat Canada, U.S. Term II Loan, 3.24%, 10/31/14 36,576
250,000 Wind Telecomunicazioni S.p.A., Facility Term Loan B-2 244,688
250,000 Wind Telecomunicazioni S.p.A., Facility Term Loan C-2 244,688
951,776
Wireless Telecommunication Services - 1.4%
1,705,919 MetroPCS Wireless, Inc.,Tranche B Term Loan, 2.5%, 111,652,222
587,121 Stratos Global Corp., Facility Term Loan B, 2.74% - 2 579,782
2,232,004
Total Telecommunication Services 3,183,780
Utilities - 1.6%
Electric Utilities - 0.3%
661,781 Texas Competitive Electric Holdings Co. LLC, Initial 543,579
Independent Power Producers & Energy Traders - 1.3%
1,944,026 Calpine Corp., First Priority Term Loan, 3.135%, 3/291,841,965
184,378 Mach Gen LLC, First Lien Synthetic LC Loan, 0.001%, 2 171,472
2,013,437
Total Utilities 2,557,016
TOTAL FLOATING RATE LOAN INTERESTS
(Cost $60,917,306) 57,628,770
FIXED RATE LOAN INTERESTS - 0.6% of Net Assets
Materials - 0.1%
Diversified Metals & Mining - 0.1%
100,000 (g) Blaze Recycling & Metals LLC, Term Loan, 15.0%, 5/14/ 100,000
Total Materials 100,000
Semiconductors & Semiconductor Equipment - 0.5%
Semiconductor Equipment - 0.5%
823,789 (m) Freescale Semiconductor, Inc., Incremental Term Loan, 850,906
Total Semiconductors & Semiconductor Equipment 850,906
TOTAL FIXED RATE LOAN INTERESTS
(Cost $1,042,966) 950,906
Shares COMMON STOCK - 1.0% of Net Assets
Energy - 0.0%
Oil & Gas Equipment & Services - 0.0%
383,316 (j) Skeie Drilling & Production ASA 46,829
Total Energy 46,829
Materials - 0.3%
Commodity Chemicals - 0.3%
26,341 (j) Georgia Gulf Corp. 404,334
Forest Products - 0.0%
13,963 (j) Ainsworth Lumber Co., Ltd. 28,044
Total Materials 432,378
Automobiles & Components - 0.7%
Auto Parts & Equipment - 0.7%
15,071 (j) Lear Corp. 1,036,885
Total Automobiles & Components 1,036,885
Media - 0.0%
Cable & Satellite - 0.0%
213 (j) Charter Communications, Inc. 6,524
Total Media 6,524
Software & Services - 0.0%
Systems Software - 0.0%
2,114 (g)(j)Perseus Holding Corp. 0
Total Software & Services 0
TOTAL COMMON STOCK
(Cost $1,425,880) 1,522,616
CONVERTIBLE PREFERRED STOCK - 0.4% of Net Assets
Diversified Financials - 0.4%
Other Diversified Financial Services - 0.4%
595 Bank of America Corp. 538,475
Total Diversified Financials 538,475
TOTAL CONVERTIBLE PREFERRED STOCK
(Cost $490,737) 538,475
PREFERRED STOCK - 0.0% of Net Assets
Software & Services - 0.0%
Systems Software - 0.0%
1,110 (g)(j)Perseus Holding Corp. 0
Total Software & Services 0
TOTAL PREFERRED STOCK
(Cost $0) 0
WARRANTS - 0.0% of Net Assets
Real Estate - 0.0%
Real Estate Development - 0.0%
750,000(h)(j)Neo-China Group Holdings, Ltd., Expires 7/22/12 (144A 24,144
TOTAL WARRANTS
(Cost $17,012) 24,144
TEMPORARY CASH INVESTMENTS - 3.9% of Net Assets
Securities Lending Collateral - 3.9%(k)
Certificates of Deposit:
181,144 Bank of Nova Scotia, 0.19%, 2/17/10 181,144
50,140 BNP Paribas, 0.70%, 6/4/10 50,140
181,143 CBA Financial, 0.27%, 1/3/11 181,143
181,144 DnB NOR Bank ASA NY, 0.2%, 2/17/10 181,144
197,611 Rabobank Nederland NY, 0.19%, 3/2/10 197,611
164,676 Royal Bank of Canada, 0.23%, 1/21/11 164,676
164,676 Societe Generale, 0.21%, 3/4/10 164,676
164,679 Svenska NY, 0.20%, 3/30/10 164,679
116,900 Wachovia Bank NA, 1.17%, 5/14/10 116,900
17,647 Westpac Banking NY, 1.35%, 3/19/10 17,647
1,419,760
Commercial Paper:
33,158 American Honda Finance, 0.68%, 2/5/10 33,158
187,807 Bank of America, 0.87%, 5/12/10 187,807
131,693 BBVA London, 0.28%, 3/18/10 131,693
32,938 BBVA Senior US, 0.30%, 3/12/10 32,938
164,636 Cafco, 0.20%, 3/15/10 164,636
181,113 Char FD, 0.18%, 3/5/10 181,113
82,329 Ciesco, 0.20%, 2/18/10 82,329
98,785 Ciesco, 0.20%, 3/8/10 98,785
17,947 GE Capital Corp, 0.29%, 10/6/10 17,947
17,827 GE Capital Corp, 0.29%, 10/21/10 17,827
49,441 GE Capital Corp, 0.81%, 8/20/10 49,441
82,323 GE, 0.30%, 1/26/11 82,323
131,720 HND AF, 0.18%, 3/2/10 131,720
181,123 HSBC, 0.20%, 2/19/10 181,123
18,367 John Deer Capital Corp., 0.33%, 7/6/10 18,367
139,447 JPMorgan Chase & Co., 0.57%, 9/24/10 139,447
84,477 Kithaw, 0.20%, 2/23/10 84,477
82,468 Kithaw, 0.21%, 3/2/10 82,468
164,645 NABPP, 0.19%, 3/8/10 164,645
46,184 Old LLC, 0.18%, 2/17/10 46,184
113,102 Old LLC, 0.19%, 3/17/10 113,102
128,377 PARFIN, 0.25%, 4/19/10 128,377
56,227 Ranger, 0.20%, 3/12/10 56,227
65,840 Ranger, 0.20%, 5/3/10 65,840
186,737 Santander, 0.30%, 7/23/10 186,737
115,266 SRCPP, 0.19%, 2/3/10 115,266
30,377 STRAIT, 0.19%, 4/1/10 30,377
32,957 TB LLC, 0.10%, 2/9/10 32,957
49,367 TB LLC, 0.19%, 2/8/10 49,367
90,536 TB LLC, 0.20%, 3/5/10 90,536
164,676 Toyota Motor Credit Corp., 0.23%, 1/10/11 164,676
35,330 US Bancorp, 0.68%, 5/6/10 35,330
65,848 WFC, 0.33%, 12/2/10 65,848
164,542 WSTPAC, 0.25%, 5/27/10 164,542
3,227,610
Tri-party Repurchase Agreements:
568,744 Barclays Capital Markets, 0.11%, 2/1/10 568,744
658,704 Deutsche Bank, 0.1%, 2/1/10 658,704
1,227,448
Shares Money Market Mutual Fund:
131,740 Blackrock Liquidity Temporary Cash Fund 131,740
131,741 Dreyfus Preferred Money Market Fund 131,741
263,481
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $6,138,299) 6,138,299
TOTAL INVESTMENTS IN SECURITIES - 136.2%
(Cost $223,582,584)(l) 215,625,549
OTHER ASSETS AND LIABILITIES - (36.2)% (57,254,592)
NET ASSETS APPLICABLE TO COMMON SHAREOWNERS - 100.0% 158,370,957
(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, 2010, the value of these securities amounted to
$91,387,296 or
57.7% of total net assets applicable to common shareowners.
(a) Floating rate note. The rate shown is the coupon
rate at January 31, 2010.
(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) Security is a perpetual bond and has no definite maturity
date.
(e) Security is priced as a unit.
(f) Debt obligation initially issued at one coupon which
converts to another coupon at a specific date.
The rate shown is the coupon rate at January 31, 2010.
(g) Security is valued using fair value methods (other
than prices supplied by independent pricing services).
(h) Indicates a security that has been deemed illiquid.
The aggregate cost of illiquid securities is
$17,012. The aggregate value $24,144 represents 0.0% 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,
commercial lenders. The interest rate shown is the
(iii) the certificate of deposit (iv) other base lending rates
used by
coupon rate accruing at January 31, 2010.
(j) Non-income producing.
(k) Securities lending collateral is managed by Credit
Suisse AG, New York branch.
(l) At January 31, 2010, the net unrealized loss on investments
based on cost for federal income tax purposes
of $224,307,687 was as follows:
Aggregate gross unrealized gain for all investments in which
there is an excess of value over tax cost 8,193,907
Aggregate gross unrealized loss for all investments in which
there is an excess of tax cost over value (16,876,045)
Net unrealized loss (8,682,138)
For financial reporting purposes net unrealized loss was
$7,957,035
and cost of investments aggregated $223,582,584.
(m) At January 31, 2010, the following securities were out on
loan:
Principal
Amount
USD ($) Description Value
379,000 Aleris International, Inc., 10.0%, 12/15/16 3,790
970,000 Allison Transmission, Inc., 11.0%, 11/1/15 (144A) 1,023,350
495,000 Cricket Communications, Inc., 9.375%, 11/1/14 492,525
874,000 DASA Finance Corp., 8.75%, 5/29/18 (144A) 906,775
440,000 Essar Steel Algoma, Inc., 9.375%, 3/15/15 (144A) 442,200
608,000 Freescale Semiconductor, Inc., Incremental Term Loan, 628,014
137,000 Graphic Packaging International, Inc., 9.5%, 8/15/13 140,768
164,000 Independencia International, Ltd., 9.875%, 5/15/15 (1 43,050
463,400 Sally Holdings LLC, 10.5%, 11/15/16 495,838
683,000 Tenneco, Inc., 8.625%, 11/15/14 672,755
495,000 Texas Competitive Electric Holdings Co. LLC, 10.25%, 387,337
795,000 U.S.I. Holdings Corp., 9.75%, 5/15/15 (144A) 737,362
495,000 Wells Fargo Capital XV, 9.75% 527,175
6,500,939
Glossary of Terms:
LC - Letter of Credit
Note: Principal amounts are denominated in U.S.
dollars unless otherwise denoted.
BRL - Brazilian Real
EURO - Euro
NOK - Norwegian Krone
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, 2010, in valuing the Fund's assets:
Level 1 Level 2 Level 3 Total
Asset Backed Secur $0 $4,474,981 $0 $4,474,981
Collateralized Mort oblig 0 2,500,142 0 2,500,142
Corporate Bonds(sys software) 0 0 299,700 299,700
Corporate Bonds(other) 0 136,282,585 0 136,282,585
Convertible Bonds 0 5,264,931 0 5,264,931
Floating Rate Loans(oil&gas) 0 296,645 700,000 996,645
Floating Rate Loans(other) 0 56,632,125 0 56,632,125
Fixed Rate Loans
(div metals&mining) 0 0 100,000 100,000
Fixed Rate Loans(other) 0 850,906 0 850,906
Common Stock 1,522,616 0 0 1,522,616
Convertible Preferred stock 538,475 0 0 538,475
Warrants 0 24,144 0 24,144
Temporary Cash Investments 0 5,874,817 0 5,874,817
Money Market Mutual funds 263,482 0 0 263,482
Total $2,324,573 $212,201,276 $1,099,700 $215,625,549
Other Financial Instruments ($136,913) $0 $0 ($136,913)
* Other financial instruments Include foreign exchange contracts.
Following is a reconciliation of assets valued using
significant unobservable inputs (Level 3):
Fixed
Corp. Bonds Floating Rate Loans
& Notes Rate Loans (diversfied
(systems software) (oil&gas) metals & mining)
Balance as of 4/30/10 $0 $0 $0
Realized gain (loss) 0 0 0
Change in unrealized app/(dep) (774,895) 0 0
Net purchases (sales) 1,074,595 700,000 100,000
Transfers in and out of level 3 0 0 0
Balance as of 1/31/10 $299,700 $700,000 $100,000
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, 2010
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, 2010
By (Signature and Title)* /s/ Mark Bradley
Mark Bradley, Treasurer
Date March 31, 2010
* Print the name and title of each signing officer under his or her signature.