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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: July 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 7/31/09 (unaudited)
Principal
Amount
USD ($) Value ($)
ASSET BACKED SECURITIES - 3.2% of Net Assets
Consumer Services - 0.3%
Restaurants - 0.3%
500,000 DB Master Finance LLC, 8.285%, 6/20/31 (144A) 431,350
Total Consumer Services 431,350
Banks - 2.6%
Thrifts & Mortgage Finance - 2.6%
246,741 (a) Ace Securities Corp., 0.885%, 12/25/34 150,850
974,674 (a) Bayview Financial Acquisition Trust, 0.87%, 8/28 835,892
1,578,366 (a) Bayview Financial Acquisition Trust, 0.915%, 5/2 1,222,520
200,000 (a) Carrington Mortgage Loan Trust, 0.385%, 10/25/36 127,077
699,000 (a) Carrington Mortgage Loan Trust, 0.485%, 2/25/37 391,169
176,075 (a) Countrywide Asset-Backed Certificates, 0.465%, 7 121,557
80,990 (a) First Franklin Mortgage Loan Asset-Backed Certif 53,128
250,000 (a) GSAMP Trust, 0.415%, 1/25/37 173,876
162,947 (a) GSAMP Trust, 0.715%, 3/25/35 155,355
724,977 (a) Lehman XS Trust, 0.635%, 12/25/35 179,988
160,148 (a) Residential Asset Mortgage Products, Inc., 0.485 109,009
Total Banks 3,520,421
Diversified Financials - 0.3%
Other Diversified Financial Services - 0.3%
950,000 (a) Aircraft Finance Trust, 0.768%, 5/15/24 (144A) 256,500
233,734 (a) Aircraft Finance Trust, 0.788%, 5/15/24 (144A) 140,241
Total Diversified Financials 396,741
TOTAL ASSET BACKED SECURITIES 4,348,512
(Cost $5,273,787)
COLLATERALIZED MORTGAGE OBLIGATIONS - 1.5% of Net Assets
Banks - 1.5%
Thrifts & Mortgage Finance - 1.5%
280,534 (a) Countrywide Home Loans, 0.635%, 3/25/35 65,868
609,275 (a) Downey Savings and Loan Association Mortgage Loa 216,798
418,876 (a) Downey Savings and Loan Association Mortgage Loa 62,832
1,322,670 (a) Impac CMB Trust, 1.045%, 1/25/35 812,868
243,238 (a) Impac Secured Assets CMN Owner Trust, 0.375%, 11 100,503
755,118 (a) Luminent Mortgage Trust, 0.545%, 7/25/36 101,333
452,566 (a) WaMu Mortgage Pass-Through Certificates, 0.515%, 273,197
1,490,393 (a) WaMu Mortgage Pass-Through Certificates, 0.765%, 382,043
Total Banks 2,015,442
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $3,580,510) 2,015,442
CORPORATE BONDS & NOTES - 82.0% of Net Assets
Energy - 7.0%
Oil & Gas Drilling - 0.1%
NOK 1,500,000 Petrolia Drilling ASA, 12.0%, 6/20/12 (144A) 77,974
Oil & Gas Equipment & Services - 1.1%
300,000 (b) Nexus 1 Pte, Ltd., 10.5%, 3/7/12 (144A) 60,000
1,120,000 Oceanografia SA de CV, 11.25%, 7/15/15 (144A) 571,200
700,000 (a) Sevan Marine ASA, 4.43%, 5/14/13 (144A) 483,000
NOK 3,000,000 (a) Sevan Marine ASA, 7.38%, 10/24/12 (144A) 350,883
154,800 Skeie Drilling & Production ASA, 11.25%, 3/8/13 64,322
1,529,405
Oil & Gas Exploration & Production - 4.5%
505,000 Berry Petroleum Co., 10.25%, 6/1/14 527,725
125,000 Chesapeake Energy Corp., 9.5%, 2/15/15 132,656
500,000 (m) Harvest Operations Corp., 7.875%, 10/15/11 435,000
970,000 Hilcorp Energy I LP, 9.0%, 6/1/16 (144A) 892,400
685,000 Linn Energy LLC, 11.75%, 5/15/17 (144A) 691,850
855,000 Mariner Energy, Inc., 11.75%, 6/30/16 893,475
NOK 3,500,000 Norwegian Energy Co. AS, 11.0%, 7/13/10 (144A) 528,761
NOK 2,000,000 PA Resources AB, 8.75%, 3/10/10 308,647
530,000 Parallel Petroleum Corp., 10.25%, 8/1/14 376,300
225,000 PetroQuest Energy, Inc., 10.375%, 5/15/12 198,000
240,000 Quicksilver Resources, Inc., 7.125%, 4/1/16 201,600
335,000 SandRidge Energy, Inc., 8.0%, 6/1/18 (144A) 304,850
670,000 (c) SandRidge Energy, Inc., 8.625%, 4/1/15 636,500
6,127,764
Oil & Gas Storage & Transportation - 1.0%
500,000 Holly Energy Partners LP, 6.25%, 3/1/15 445,000
1,245,000 (a) Southern Union Co., 7.2%, 11/1/66 896,400
1,341,400
Coal & Consumable Fuels - 0.3%
505,000 Massey Energy Co., 6.875%, 12/15/13 487,325
Total Energy 9,563,868
Materials - 10.3%
Commodity Chemicals - 0.3%
195,000 (d) ARCO Chemical Co., 9.8%, 2/1/20 51,675
1,530,000 (d) Georgia Gulf Corp., 10.75%, 10/15/16 260,100
300,000 (d) Montell Finance Co. BV, 8.1%, 3/15/27 (144A) 157,500
469,275
Diversified Chemicals - 0.9%
380,000 Ashland, Inc., 9.125%, 6/1/17 (144A) 400,900
EURO 1,275,000 Ineos Group Holdings Plc, 7.875%, 2/15/16 (144A) 822,476
1,223,376
Specialty Chemicals - 0.1%
EURO 200,000 Kronos International, Inc., 6.5%, 4/15/13 144,611
Construction Materials - 0.9%
865,000 AGY Holding Corp., 11.0%, 11/15/14 696,325
300,000 (a)(e) C8 Capital SPV, Ltd., 6.64% (144A) 169,077
500,000 U.S. Concrete, Inc., 8.375%, 4/1/14 321,250
1,186,652
Metal & Glass Containers - 1.7%
1,145,000 AEP Industries, Inc., 7.875%, 3/15/13 1,033,362
EURO 255,000 Ardagh Glass Finance Plc, 9.25%, 7/1/16 (144A) 378,700
EURO 625,000 Impress Holdings BV, 9.25%, 9/15/14 (144A) 879,452
2,291,514
Paper Packaging - 1.2%
700,000 Graham Packaging Co., Inc., 9.875%, 10/15/14 670,250
500,000 Graphic Packaging International, Inc., 9.5%, 8/1 498,125
750,000 U.S. Corrugated, Inc., 10.0%, 6/1/13 525,000
1,693,375
Aluminum - 0.7%
600,000 (d) Asia Aluminum Holdings, Ltd., 8.0%, 12/23/11 (14 88,500
300,000 CII Carbon LLC, 11.125%, 11/15/15 (144A) 240,000
1,244,070(a)(c) Noranda Aluminum Acquisition Corp., 5.413%, 5/15 647,878
976,378
Diversified Metals & Mining - 1.4%
320,000 (c) Blaze Recycling & Metals LLC, 13.0%, 7/16/12 200,000
195,000 FMG Finance Pty., Ltd., 10.625%, 9/1/16 (144A) 201,338
745,000 Teck Resources, Ltd., 10.25%, 5/15/16 (144A) 843,712
750,000 Vedanta Resources Plc, 9.5%, 7/18/18 (144A) 684,375
1,929,425
Precious Metals & Minerals - 0.3%
500,000 ALROSA Finance SA, 8.875%, 11/17/14 (144A) 460,000
Steel - 1.4%
1,245,000 Algoma Acquisition Corp., 9.875%, 6/15/15 (144A) 846,600
250,000 Evraz Group SA, 9.5%, 4/24/18 (144A) 211,250
920,000 Ryerson, Inc., 12.0%, 11/1/15 818,800
EURO 50,000 Zlomrex International Finance SA, 8.5%, 2/1/14 ( 12,760
1,889,410
Forest Products - 0.5%
47,652 (m) Ainsworth Lumber Co., Ltd., 11.0%, 7/29/15 (144A 19,436
500,000 (d) Mandra Forestry Holdings, Ltd., 12.0%, 5/15/13 ( 350,000
250,000 Sino-Forest Corp., 10.25%, 7/28/14 (144A) 257,500
626,936
Paper Products - 0.9%
425,000 Cellu Tissue Holdings, Inc., 11.5%, 6/1/14 (144A 425,000
260,000 Clearwater Paper Corp., 10.625%, 6/15/16 (144A) 274,300
600,000 Exopack Holding Corp., 11.25%, 2/1/14 534,000
1,233,300
Total Materials 14,124,252
Capital Goods - 6.4%
Aerospace & Defense - 1.2%
750,000 Aeroflex. Inc., 11.75%, 2/15/15 607,500
EURO 500,000 Bombardier, Inc., 7.25%, 11/15/16 (144A) 637,990
405,000 DigitalGlobe, Inc., 10.5%, 5/1/14 (144A) 422,213
1,667,703
Building Products - 0.3%
365,000 USG Corp., 9.75%, 8/1/14 (144A) 372,300
Construction & Engineering - 0.6%
350,000 Dycom Industries, Inc., 8.125%, 10/15/15 288,750
100,000 (a) Esco Corp., 4.504%, 12/15/13 (144A) 84,000
500,000 Esco Corp., 8.625%, 12/15/13 (144A) 460,000
832,750
Industrial Conglomerates - 0.6%
671,898 (c)(f) American Achievement Group Holding Corp., 16.75% 117,022
500,000 Cia Latinoamericana de Infraestructura & Servici 340,625
500,000 (d) Indalex Holding Corp., 11.5%, 2/1/14 25,000
740,000 Park-Ohio Industries, Inc., 8.375%, 11/15/14 377,400
860,047
Construction & Farm Machinery & Heavy Trucks - 1.6%
720,000 American Railcar Industries, Inc., 7.5%, 3/1/14 658,800
770,000 Commercial Vehicle Group, Inc., 8.0%, 7/1/13 438,900
950,000 Greenbrier Companies, Inc., 8.375%, 5/15/15 693,500
400,000 Titan International, Inc., 8.0%, 1/15/12 368,000
2,159,200
Industrial Machinery - 1.0%
1,220,000 Industrias Metalurgicas Pescarmona SA, 11.25%, 1 780,800
875,000 Mueller Water Products, Inc., 7.375%, 6/1/17 640,938
1,421,738
Trading Companies & Distributors - 1.1%
500,000 (m) Intcomex, Inc., 11.75%, 1/15/11 195,625
500,000 KAR Holdings, Inc., 10.0%, 5/1/15 440,000
1,000,000 Wesco Distribution, Inc., 7.5%, 10/15/17 800,000
1,435,625
Total Capital Goods 8,749,363
Commercial & Professional Services - 0.4%
Commercial Printing - 0.1%
250,000 Sheridan Group, Inc., 10.25%, 8/15/11 167,500
Environmental & Facilities Services - 0.2%
700,000 (d)(m) Aleris International, Inc., 10.0%, 12/15/16 10,500
210,000 Casella Waste Systems, Inc., 11.0%, 7/15/14 (144 217,350
EURO 107,128 New Reclamation Group Pty., Ltd., 8.125%, 2/1/13 89,610
317,460
Diversified Support Services - 0.1%
400 (g) MSX International, Ltd., UK, 12.5%, 4/1/12 (144A 136,000
Total Commercial & Professional Services 620,960
Transportation - 0.6%
Air Freight & Logistics - 0.4%
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%, 12/1/13 216,000
Total Transportation 789,500
Automobiles & Components - 1.9%
Auto Parts & Equipment - 1.7%
980,000 (m) Allison Transmission, Inc., 11.0%, 11/1/15 (144A 891,800
1,140,000 (d) Lear Corp., 8.75%, 12/1/16 510,150
500,000 (f) Stanadyne Corp., 0.0%, 2/15/15 245,000
160,000 Stanadyne Corp., 10.0%, 8/15/14 129,600
700,000 Tenneco, Inc., 8.625%, 11/15/14 602,000
2,378,550
Tires & Rubber - 0.2%
235,000 Goodyear Tire & Rubber Co., 10.5%, 5/15/16 252,037
Total Automobiles & Components 2,630,587
Consumer Durables & Apparel - 1.4%
Homebuilding - 0.4%
695,000 Meritage Homes Corp., 6.25%, 3/15/15 568,163
Housewares & Specialties - 0.6%
1,000,000 Yankee Acquisition Corp., 9.75%, 2/15/17 830,000
Textiles - 0.4%
500,000 Invista, 9.25%, 5/1/12 (144A) 480,000
Total Consumer Durables & Apparel 1,878,163
Consumer Services - 2.6%
Casinos & Gaming - 2.6%
500,000 (d) Buffalo Thunder Development Authority, 9.375%, 1 73,750
EURO 1,155,000 Codere Finance Luxembourg SA, 8.25%, 6/15/15 (14 1,203,568
395,000 FireKeepers Development Authority, 13.875%, 5/1/ 395,000
95,000 Galaxy Entertainment Finance Co., Ltd., 9.875%, 90,250
275,000 (b) Little Traverse Bay Bands of Odawa Indians, 10.2 116,875
1,615,000 Mashantucket Western Pequot Tribe, 8.5%, 11/15/1 791,350
EURO 50,000 Peermont Global, Ltd., 7.75%, 4/30/14 (144A) 55,647
180,000 (m) Scientific Games International, Inc., 9.25%, 6/1 186,300
585,000 (d) Station Casinos, Inc., 6.625%, 3/15/18 13,163
750,000 (d) Trump Entertainment Resorts, Inc., 8.5%, 6/1/15 97,500
EURO 405,000 Unibet Group Plc, 9.7%, 12/21/10 579,933
Total Consumer Services 3,603,336
Media - 3.2%
Broadcasting - 2.8%
40,000 (d) CCH I LLC, 11.0%, 10/1/15 (144A) 4,950
250,000 (d) CCH II LLC, 10.25%, 9/15/10 266,250
840,000 Hughes Network Systems LLC, 9.5%, 4/15/14 840,000
800,000 (a)(c) Intelsat Bermuda, Ltd., 11.5%, 2/4/17 (144A) 623,558
500,000 Intelsat Subsidiary Holding Co., Ltd., 8.5%, 1/1 505,000
400,000 Kabel Deutschland GmbH, 10.625%, 7/1/14 419,000
430,000 Telesat Canada, 12.5%, 11/1/17 (144A) 438,600
1,245,000(c)(m) Univision Communications, Inc., 9.75%, 3/15/15 ( 821,700
3,919,058
Publishing - 0.4%
600,000 Cengage Learning Acquisitions, Inc., 10.5%, 1/15 516,000
Total Media 4,435,058
Retailing - 0.9%
Internet Retail - 0.3%
465,000 Ticketmaster Entertainment, Inc., 10.75%, 7/28/1 432,450
Apparel Retail - 0.0%
EURO 74,000 (a) Edcon Holdings Pty., Ltd., 6.777%, 6/15/15 (144A 52,457
Specialty Stores - 0.6%
800,000 (m) Sally Holdings LLC, 10.5%, 11/15/16 824,000
Total Retailing 1,308,907
Food, Beverage & Tobacco - 2.7%
Distillers & Vintners - 0.0%
EURO 330,000 (d)(h) Belvedere SA, 0.0%, 5/15/13 (144A) 70,179
Packaged Foods & Meats - 1.4%
490,000 (d) Arantes International, Ltd., 10.25%, 6/19/13 (14 19,600
400,000 Bertin Ltda, 10.25%, 10/5/16 (144A) 332,500
400,000 (d) Independencia International, Ltd., 9.875%, 5/15/ 44,000
700,000 Marfrig Overseas, Ltd., 9.625%, 11/16/16 (144A) 609,875
1,175,000 Minerva Overseas, Ltd., 9.5%, 2/1/17 (144A) 694,719
275,000 (f) SA Fabrica de Produtos Alimenticios Vigor, 9.25% 165,000
1,865,694
Tobacco - 1.3%
1,765,000 Alliance One International, Inc., 10.0%, 7/15/16 1,738,525
Total Food, Beverage & Tobacco 3,674,398
Household & Personal Products - 0.1%
Household Products - 0.1%
205,000 Central Garden and Pet Co., 9.125%, 2/1/13 204,488
Total Household & Personal Products 204,488
Health Care Equipment & Services - 4.9%
Health Care Equipment & Services - 0.5%
750,000 Accellent, Inc., 10.5%, 12/1/13 691,875
Health Care Supplies - 1.5%
750,000 Bausch & Lomb, Inc., 9.875%, 11/1/15 748,125
1,265,000 (c) Biomet, Inc., 10.375%, 10/15/17 1,350,387
2,098,512
Health Care Services - 2.4%
1,385,000 DASA Finance Corp., 8.75%, 5/29/18 (144A) 1,386,731
500,000 Rural/Metro Corp., 9.875%, 3/15/15 457,500
759,890 (c) Surgical Care Affiliates, Inc., 8.875%, 7/15/15 554,720
1,170,000 Surgical Care Affiliates, Inc., 10.0%, 7/15/17 ( 830,700
3,229,651
Health Care Facilities - 0.2%
225,000 HCA, Inc., 8.5%, 4/15/19 (144A) 230,625
Managed Health Care - 0.3%
500,000 Multiplan, Inc., 10.375%, 4/15/16 (144A) 480,000
Total Health Care Equipment & Services 6,730,663
Pharmaceuticals & Biotechnology & Life Sciences - 0.4%
Pharmaceuticals - 0.4%
260,000 Angiotech Pharmaceuticals, Inc., 7.75%, 4/1/14 148,200
250,000 Phibro Animal Health Corp., 10.0%, 8/1/13 (144A) 226,875
200,000 Phibro Animal Health Corp., 13.0%, 8/1/14 (144A) 180,500
Total Pharmaceuticals & Biotechnology & Life Sci 555,575
Banks - 1.9%
Diversified Banks - 1.1%
250,000 ATF Capital BV, 9.25%, 2/21/14 (144A) 192,500
500,000 (a) Banco Macro SA, 9.75%, 12/18/36 324,375
700,000 Banco Macro SA, 10.75%, 6/7/12 350,875
200,000 JSC TemirBank, 9.5%, 5/21/14 (144A) 46,000
550,000 Russian Standard Finance SA, 7.5%, 10/7/10 (144A 486,750
500,000 (b) TuranAlem Finance BV, 8.5%, 2/10/15 (144A) 115,000
1,515,500
Regional Banks - 0.8%
600,000 (a)(e) PNC Financial Services Group, Inc., 8.25% 542,201
500,000 (a)(e)(Wells Fargo Capital XV, 9.75% 508,750
1,050,951
Total Banks 2,566,451
Diversified Financials - 2.5%
Other Diversified Financial Services - 0.3%
400,000 (a) Ibis Re, Ltd., 10.874%, 5/10/12 (144A) 403,640
Specialized Finance - 1.3%
750,000 ACE Cash Express, Inc., 10.25%, 10/1/14 (144A) 345,000
500,000 Capital One Capital V, 10.25%, 8/15/39 508,750
525,000 (a) NCO Group, Inc., 5.758%, 11/15/13 351,750
900,000 NCO Group, Inc., 11.875%, 11/15/14 522,000
1,727,500
Asset Management & Custody Banks - 0.7%
375,000 Janus Capital Group, Inc., 6.5%, 6/15/12 363,873
665,000 Janus Capital Group, Inc., 6.95%, 6/15/17 594,160
958,033
Investment Banking & Brokerage - 0.2%
450,000 (a)(e) Goldman Sachs Capital II, 5.793% 315,000
Total Diversified Financials 3,404,173
Insurance - 22.6%
Insurance Brokers - 1.3%
250,000 Alliant Holdings I, Inc., 11.0%, 5/1/15 (144A) 220,000
1,050,000 HUB International Holdings, Inc., 10.25%, 6/15/1 832,125
500,000 (a) USI Holdings Corp., 4.758%, 11/15/14 (144A) 350,000
554,000 USI Holdings Corp., 9.75%, 5/15/15 (144A) 407,190
1,809,315
Multi-Line Insurance - 1.2%
1,000,000 (a) Liberty Mutual Group, Inc., 7.0%, 3/15/37 (144A) 645,711
1,000,000 (a) Liberty Mutual Group, Inc., 10.75%, 6/15/58 (144 842,500
65,000 Sul America Participacoes SA, 8.625%, 2/15/12 (1 67,031
1,555,242
Reinsurance - 20.1%
1,500,000 (a) AKIBARE, 3.666%, 5/22/12 (144A) 1,432,950
1,000,000 (a) AKIBARE, 3.866%, 5/22/12 (144A) 953,100
EURO 1,500,000 (a) Atlas Reinsurance Plc, 11.358%, 1/10/11 (144A) 2,020,302
2,000,000 (a) Blue Fin, Ltd., 4.948%, 4/10/12 (144A) 1,736,600
1,000,000 (a) Caelus Re, Ltd., 6.918%, 6/7/11 (144A) 910,300
1,000,000 (a) Calabash Re II, Ltd., 9.024%, 1/8/10 (144A) 948,600
1,500,000 (a) Calabash Re II, Ltd., 10.224%, 1/8/10 (144A) 1,505,100
1,000,000 (a) Carillon, Ltd., 15.879%, 1/10/11 (144A) 921,100
1,500,000 (a) East Lane Re, Ltd., 8.028%, 5/6/11 (144A) 1,401,600
1,750,000 (a) Fhu-Jin, Ltd., 4.916%, 8/10/11 (144A) 1,682,100
500,000 (a) Foundation Re, Ltd., 8.076%, 2/24/10 (144A) 483,050
1,000,000 (a) GlobeCat, Ltd., 6.595%, 1/2/13 (144A) 915,700
350,000 (a) GlobeCat, Ltd., 9.845%, 1/2/13 (144A) 274,540
EURO 1,500,000 (a) Green Valley, Ltd., 4.629%, 1/10/11 (144A) 2,035,401
820,000 (a)(m) MBIA Insurance Corp., 14.0%, 1/15/33 (144A) 290,075
2,500,000 (a) Muteki, Ltd., 5.283%, 5/24/11 (144A) 2,379,750
250,000 (a) Mystic Re, Ltd., 12.668%, 3/20/12 (144A) 255,500
1,000,000 (a) Nelson Re, Ltd., 5.383%, 6/6/11 (144A) 944,600
1,000,000 (a) Newton Re, Ltd., 5.26%, 12/24/10 (144A) 986,000
1,000,000 (a) Newton Re, Ltd., 7.56%, 12/24/10 (144A) 915,100
425,000 (a) Residential Reinsurance 2008, Ltd., 7.418%, 6/6/ 391,425
2,000,000 (a) Residential Reinsurance 2008, Ltd., 12.168%, 6/6 1,820,200
440,000 (a) Successor II, Ltd., 17.379%, 4/6/10 (144A) 407,132
2,000,000 (a) Successor II, Ltd., 25.629%, 4/6/10 (144A) 1,794,800
500,000 (a)(d) Willow Re, Ltd., 0.0%, 6/16/10 (144A) 257,500
27,662,525
Total Insurance 31,027,082
Real Estate - 0.2%
Real Estate Operating Companies - 0.2%
88,261 Alto Palermo SA, 11.0%, 6/11/12 (144A) 50,419
410,000 IRSA Inversiones y Representaciones SA, 8.5%, 2/ 281,875
Total Real Estate 332,294
Software & Services - 3.0%
Internet Software & Services - 0.7%
905,000 Terremark Worldwide, Inc., 12.0%, 6/15/17 (144A) 914,050
IT Consulting & Other Services - 0.2%
405,000 Activant Solutions, Inc., 9.5%, 5/1/16 329,569
Data Processing & Outsourced Services - 0.9%
1,465,000 (m) First Data Corp., 9.875%, 9/24/15 1,236,094
Application Software - 0.9%
1,390,000 Vangent, Inc., 9.625%, 2/15/15 1,237,100
Systems Software - 0.3%
1,110,000 Pegasus Solutions, Inc., 10.5%, 4/15/15 (144A) 355,200
Total Software & Services 4,072,013
Technology Hardware & Equipment - 0.5%
Computer Storage & Peripherals - 0.3%
430,000 Seagate Technology International, 10.0%, 5/1/14 470,850
Electronic Equipment & Instruments - 0.2%
250,000 Da-Lite Screen Co., Inc., 9.5%, 5/15/11 220,000
Electronic Manufacturing Services - 0.0%
70,000 (m) Sanmina-SCI Corp., 6.75%, 3/1/13 63,700
Total Technology Hardware & Equipment 754,550
Telecommunication Services - 6.0%
Integrated Telecommunication Services - 3.7%
910,000 Broadview Networks Holdings, Inc., 11.375%, 9/1/ 746,200
1,200,000 GC Impsat Holdings I Plc, 9.875%, 2/15/17 (144A) 1,128,000
1,250,000 GCI, Inc., 7.25%, 2/15/14 1,162,500
750,000 PAETEC Holding Corp., 8.875%, 6/30/17 (144A) 712,500
1,010,000 (m) PAETEC Holding Corp., 9.5%, 7/15/15 873,650
500,000 Windstream Corp., 8.625%, 8/1/16 507,500
5,130,350
Wireless Telecommunication Services - 2.3%
210,000 Cell C Property, Ltd., 11.0%, 7/1/15 (144A) 186,900
365,000 Cricket Communications, Inc., 7.75%, 5/15/16 (14 363,175
500,000 Cricket Communications, Inc., 9.375%, 11/1/14 507,500
400,000 Digicel, Ltd., 9.25%, 9/1/12 (144A) 400,000
540,000 OJSC Vimpel Communications, 9.125%, 4/30/18 (144 488,700
1,330,000 True Move Co., Ltd., 10.375%, 8/1/14 (144A) 1,157,100
3,103,375
Total Telecommunication Services 8,233,725
Utilities - 2.5%
Electric Utilities - 1.0%
750,000 Cia de Transporte de Energia Electrica de Alta T 511,875
1,200,000 (m) Texas Competitive Electric Holdings Co. LLC, 10. 942,000
1,453,875
Gas Utilities - 1.0%
490,000 Inergy, L.P., 8.25%, 3/1/16 486,325
1,135,000 Transportadora de Gas del Sur SA, 7.875%, 5/14/1 852,669
1,338,994
Multi-Utilities - 0.2%
225,000 PNM Resources, Inc., 9.25%, 5/15/15 218,250
Independent Power Producers & Energy Traders - 0.3%
500,000 Intergen NV, 9.0%, 6/30/17 (144A) 492,500
Total Utilities 3,503,619
TOTAL CORPORATE BONDS & NOTES
(Cost $135,448,869) 112,763,025
CONVERTIBLE BONDS & NOTES - 3.7% of Net Assets
Materials - 0.4%
Diverified Chemicals - 0.4%
900,000 Hercules Inc, 6.5%, 6/30/29 490,500
Total Materials 490,500
Transportation - 0.5%
Marine - 0.5%
990,000 Horizon Lines, Inc., 4.25%, 8/15/12 693,000
Total Transportation 693,000
Media - 0.2%
Movies & Entertainment - 0.2%
559,000 Live Nation, Inc., 2.875%, 7/15/27 327,714
Total Media 327,714
Health Care Equipment & Services - 1.7%
Health Care Equipment & Services - 0.6%
1,040,000 Hologic, Inc., 2.0%, 12/15/37 798,200
Health Care Services - 0.8%
1,550,000 Omnicare, Inc., 3.25%, 12/15/35 1,148,937
Health Care Facilities - 0.3%
405,000 LifePoint Hospitals, Inc., 3.5%, 5/15/14 344,756
Total Health Care Equipment & Services 2,291,893
Technology Hardware & Equipment - 0.2%
Communications Equipment - 0.2%
850,000 (d) Nortel Networks Corp., 2.125%, 4/15/14 345,313
Total Technology Hardware & Equipment 345,313
Telecommunication Services - 0.7%
Wireless Telecommunication Services - 0.7%
1,150,000 NII Holdings, Inc., 3.125%, 6/15/12 958,812
Total Telecommunication Services 958,812
TOTAL CONVERTIBLE BONDS & NOTES
(Cost $5,346,835) 5,107,232
FLOATING RATE LOAN INTERESTS - 41.3% of Net Assets(i)
Energy - 0.4%
Integrated Oil & Gas - 0.2%
337,450 Hudson Products Holdings, Inc., Term Loan, 8.0%, 317,203
Oil & Gas Exploration & Production - 0.2%
320,588 Venoco, Inc., Second Lien Term Loan, 4.13%, 5/7/ 249,658
Total Energy 566,861
Materials - 4.3%
Diversified Chemicals - 0.7%
989,899 Huntsman International LLC, New Dollar Term Loan 920,111
Paper Packaging - 0.8%
53,022 Graham Packaging Co. LP, Term Loan B, 2.563%, 10 51,210
530,601 Graham Packaging Co. LP, Term Loan C, 6.75%, 4/5 530,506
492,500 Graphic Packaging International, Inc., Increment 475,468
1,057,184
Steel - 1.2%
1,297,689 Essar Steel Algoma, Inc., Term Loan, 2.79%, 6/20 1,077,082
1,296,846 Niagara Corp., Term Loan, 7.25%, 6/30/14 661,392
1,738,474
Forest Products - 0.8%
1,500,000 (c) Ainsworth Lumber Co., Ltd., Term Loan, 5.313%, 6 1,125,000
Paper Products - 0.8%
1,135,313 Georgia-Pacific LLC, Term Loan B, 2.3% - 2.65%, 1,098,415
Total Materials 5,939,184
Capital Goods - 3.3%
Aerospace & Defense - 1.5%
736,875 Aeroflex, Inc., Tranche B-2 Term Loan, 4.063% - 668,714
500,231 DAE Aviation Holdings, Inc., Tranche B-1 Term Lo 415,192
493,655 Spirit Aerosystems, Inc., Term Loan B-1, 2.255%, 482,548
490,629 Standard Aero, Ltd., Tranche B-2 Term Loan, 4.09 407,222
1,973,676
Construction & Engineering - 0.8%
1,158,000 Goodman Global, Inc., Term Loan, 6.5%, 2/13/14 1,134,116
Construction & Farm Machinery & Heavy Trucks - 1.0%
1,000,000 Accuride Corp., Advance Term Loan, 8.0%, 1/31/12 922,500
500,000 Manitowoc Co., Inc., Term Loan B, 7.5%, 8/25/14 454,584
1,377,084
Total Capital Goods 4,484,876
Commercial & Professional Services - 2.1%
Commercial Printing - 0.2%
6,940 Cenveo Corp., Delayed Draw Term Loan, 5.109%, 6/ 6,662
243,060 Cenveo Corp., Facility Term Loan C, 5.109%, 6/21 233,338
240,000
Diversified Commercial & Professional Services - 1.1%
722,863 Asset Acceptance Capital Corp., Tranche B Term L 675,877
1,000,000 Rental Service Corp., Second Lien Initial Term L 820,000
1,495,877
Environmental & Facilities Services - 0.8%
125,000 Casella Waste Systems, Inc., Term Loan B, 7.0%, 124,063
1,225,000 Synagro Technologies, Inc., First Lien Term Loan 988,167
1,112,230
Total Commercial & Professional Services 2,848,107
Transportation - 1.0%
Air Freight & Logistics - 1.0%
439,482 Ceva Group Plc, Pre-Funded LC Loan, 0.498%, 11/4 328,147
1,312,964 Ceva Group Plc, U.S. Term Loan, 3.285%, 11/4/13 980,347
Total Transportation 1,308,494
Automobiles & Components - 1.0%
Tires & Rubber - 0.7%
1,000,000 Goodyear Tire & Rubber Co., Second Lien Term Loa 926,667
Automobile Manufacturers - 0.3%
500,000 Ford Motor Co., Term Loan, 3.29% - 3.51%, 12/15/ 426,875
Total Automobiles & Components 1,353,542
Consumer Durables & Apparel - 0.9%
Housewares & Specialties - 0.6%
876,651 Yankee Candle Co., Inc., Term Loan, 2.29%, 2/6/1 802,136
Apparel, Accessories & Luxury Goods - 0.3%
441,192 Hanesbrands, Inc., Term Loan B, 5.039% - 5.254%, 444,460
Total Consumer Durables & Apparel 1,246,596
Consumer Services - 0.6%
Casinos & Gaming - 0.5%
500,000 Fontainebleau Las Vegas LLC, Delayed Draw Term L 165,000
1,000,000 Fontainebleau Las Vegas LLC, Initial Term Loan, 330,000
1,000,000 Gateway Casinos & Entertainment, Inc., Advance S 207,500
702,500
Hotels, Resorts & Cruise Lines - 0.1%
168,000 Travelport LLC, Incremental Term Loan C, 10.5%, 169,155
Total Consumer Services 871,655
Media - 2.2%
Broadcasting - 1.1%
1,000,000 Insight Midwest Holdings LLC, Term Loan B, 2.31% 949,286
675,000 Univision Communications, Inc., Initial Term Loa 546,610
1,495,896
Cable & Satellite - 0.1%
157,712 Knology, Inc., Term Loan, 2.535%, 6/30/12 147,461
Movies & Entertainment - 0.5%
881,219 Lodgenet Entertainment Corp., Closing Date Term 760,051
Publishing - 0.5%
871,967 RH Donnelley, Inc., Tranche D-1 Term Loan, 6.75% 667,055
Total Media 3,070,463
Retailing - 0.2%
Catalog Retail - 0.2%
250,000 QVC, Inc., Tranche 2-W Term Loan, 3.5%, 10/4/11 247,500
Total Retailing 247,500
Food & Staples Retailing - 0.8%
Drug Retail - 0.8%
1,000,000 Rite Aid Corp., Tranche 4 Term Loan, 9.5%, 6/10/ 1,030,000
Total Food & Staples Retailing 1,030,000
Food, Beverage & Tobacco - 0.5%
Packaged Foods & Meats - 0.5%
738,665 Dean Foods Co., Tranche B Term Loan, 1.665% - 1. 712,504
Total Food, Beverage & Tobacco 712,504
Household & Personal Products - 0.5%
Personal Products - 0.5%
780,228 Brickman Group Holdings, Inc., Tranche B Term Lo 716,835
Total Household & Personal Products 716,835
Health Care Equipment & Services - 5.7%
Health Care Equipment & Services - 1.2%
1,714,824 Talecris Biotherapeutics Holdings Corp., First L 1,603,361
Health Care Supplies - 1.0%
90,000 Bausch & Lomb, Inc., Delayed Draw Term Loan, 3.5 85,516
354,599 Bausch & Lomb, Inc., Parent Term Loan, 3.848%, 4 336,933
490,000 IM US Holdings LLC, First Lien Term Loan, 2.285% 472,033
600,000 IM US Holdings LLC, Second Lien Term Loan, 4.535 558,750
1,453,232
Health Care Services - 1.5%
1,355,208 Catalent Pharma Solutions, Inc., Dollar Term Loa 1,160,962
954,671 HealthSouth Corp., Term Loan, 2.54%, 3/10/13 912,393
2,073,355
Health Care Facilities - 2.0%
45,457 Community Health Systems, Inc., Delayed Draw Ter 42,815
891,053 Community Health Systems, Inc., Term Loan, 2.535 839,260
713,997 Hanger Orthopedic Group, Inc., Tranche B Term Lo 667,587
375,000 HCA, Inc., Tranche B-1 Term Loan, 6.012%, 11/18/ 352,712
162,256 Sun Healthcare Group, Inc., Synthetic LC Loan, 0 146,436
766,711 Sun Healthcare Group, Inc., Term Loan, 2.502% - 691,957
2,740,767
Total Health Care Equipment & Services 7,870,715
Pharmaceuticals & Biotechnology & Life Sciences - 0.7%
Pharmaceuticals - 0.5%
727,500 Mylan, Inc., U.S. Tranche B Term Loan, 3.563% - 708,730
Life Sciences Tools & Services - 0.2%
198,125 Life Technologies Corp., Facility Term Loan B, 5 200,189
Total Pharmaceuticals & Biotechnology & Life Sci 908,919
Diversified Financials - 3.9%
Other Diversified Financial Services - 1.2%
987,500 Metavante Corp., Term Loan, 2.778%, 11/3/14 970,631
794,000 SRAM LLC., Term Loan, 7.0% - 8.0%, 9/30/14 722,540
1,693,171
Specialized Finance - 1.1%
839,141 Ace Cash Express, Inc., Term Loan, 3.598%, 10/5/ 604,181
944,837 Collect Acquisition Corp., Advance Term Loan B, 859,801
1,463,982
Consumer Finance - 1.1%
988,153 Dollar Financial Corp., Canadian Borrower Term L 906,630
726,583 Dollar Financial Corp., Delayed Draw Term Loan, 666,640
1,573,270
Investment Banking & Brokerage - 0.5%
689,500 MSCI, Inc., Term Loan B, 2.785% - 3.174%, 11/20/ 668,815
Total Diversified Financials 5,399,238
Insurance - 3.2%
Insurance Brokers - 2.6%
1,473,750 Alliant Holdings I, Inc., Term Loan, 3.598%, 8/2 1,344,797
108,061 HUB International, Ltd., Delay Draw Term Loan, 2 99,619
480,761 HUB International, Ltd., Initial Term Loan, 2.78 443,201
1,960,000 USI Holdings Corp., Tranche B Term Loan, 3.35%, 1,666,000
3,553,617
Multi-Line Insurance - 0.6%
785,477 AmWins Group, Inc., Initial Term Loan, 3.11% - 3 505,651
1,000,000 AmWins Group, Inc., Second Lien Initial Term Loa 400,000
905,651
Total Insurance 4,459,268
Software & Services - 3.6%
IT Consulting & Other Services - 2.0%
425,000 Activant Solutions Inc., Term Loan, 2.313% - 2.6 384,625
557,346 Keane International, Inc., Closing Date Term Loa 452,844
42,654 Keane International, Inc., Synthetic LC Loan, 2. 34,656
1,954,887 SunGard Data Systems, Inc., Tranche A U.S.Term L 1,857,143
2,729,268
Application Software - 0.7%
984,733 Nuance Communications, Inc., Term Loan, 2.29%, 3 934,265
Systems Software - 0.9%
1,439,788 Vangent, Inc., Term Loan, 2.92%, 2/14/13 1,328,204
Total Software & Services 4,991,737
Technology Hardware & Equipment - 1.1%
Electronic Equipment & Instruments - 1.1%
1,258,775 H3C Holdings, Ltd., Tranche B Term Loan, 4.794%, 1,136,044
488,773 Scitor Corp., Term Loan, 4.54%, 9/26/14 432,564
Total Technology Hardware & Equipment 1,568,608
Semiconductors & Semiconductor Equipment - 0.5%
Semiconductor Equipment - 0.5%
973,152 Freescale Semiconductor, Inc., Term Loan, 2.059% 722,912
Total Semiconductors & Semiconductor Equipment 722,912
Telecommunication Services - 3.2%
Alternative Carriers - 0.9%
750,000 Murray Energy Corp., Second Lien Term Loan, 8.5% 735,000
502,611 PAETEC Holding Corp., Replacement Term Loan, 2.7 476,852
1,211,852
Integrated Telecommunication Services - 0.7%
436,017 Telesat Canada, U.S. Term I Loan, 3.29%, 10/31/1 419,471
37,450 Telesat Canada, U.S. Term II Loan, 3.29%, 10/31/ 36,029
250,000 Wind Telecomunicazioni S.P.A., Facility Term Loa 238,333
250,000 Wind Telecomunicazioni S.P.A., Facility Term Loa 238,333
932,166
Wireless Telecommunication Services - 1.6%
1,714,736 MetroPCS Wireless, Inc.,Tranche B Term Loan, 2.5 1,643,360
587,121 Stratos Global Corp., Facility Term Loan B, 3.09 569,508
2,212,868
Total Telecommunication Services 4,356,886
Utilities - 1.6%
Electric Utilities - 0.1%
250,000 Texas Competitive Electric Holdings Co. LLC, Ini 193,680
Independent Power Producers & Energy Traders - 1.5%
1,955,225 Calpine Corp., First Priority Term Loan, 3.475%, 1,799,622
184,378 Mach Gen LLC, First Lien Synthetic LC Loan, 0.34 167,170
1,966,792
Total Utilities 2,160,472
TOTAL FLOATING RATE LOAN INTERESTS
(Cost $64,280,377)
56,835,372
FIXED RATE LOAN INTERESTS - 0.6% of Net Assets
Materials - 0.1%
Diversified Metals & Mining - 0.1%
100,000 Blaze Recycling & Metals, LLC, Term Loan, 15.0%, 100,000
Total Materials 100,000
Semiconductors & Semiconductor Equipment - 0.5%
Semiconductor Equipment - 0.5%
824,876 (m) Freescale Semiconductor, Inc., Incremental Term 761,979
Total Semiconductors & Semiconductor Equipment 761,979
TOTAL FIXED RATE LOAN INTERESTS
(Cost $1,032,152) 861,979
Shares COMMON STOCK - 0.0% of Net Assets
Materials - 0.0%
Forest Products - 0.0%
13,963 (j) Ainsworth Lumber Co., Ltd. 12,916
Total Materials 12,916
Energy - 0.0%
Oil & Gas Equipment & Services - 0.0%
383,316 (j) Skeie Drilling & Production ASA 34,870
Total Energy 34,870
TOTAL COMMON STOCK
(Cost $137,186) 47,786
CONVERTIBLE PREFERRED STOCK - 0.4% of Net Assets
Diversified Financials - 0.4%
Other Diversified Financial Services - 0.4%
595 Bank of America Corp. 499,800
TOTAL CONVERTIBLE PREFERRED STOCK
(Cost $490,737) 499,800
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 24,193
TOTAL WARRANTS
(Cost $17,011) 24,193
TEMPORARY CASH INVESTMENTS - 8.8% of Net Assets
Repurchase Agreements - 4.4%
3,000,000 Bank of America, 0.19%, dated 7/31/09, repurchase price of
$3,000,000 plus accrued interest
on 8/3/09 collateralized by $3,060,000 Federa 3,000,000
3,000,000 JPMorgan, 0.20%, dated 7/31/09, repurchase price of
$3,000,000 plus accrued interest
on 8/3/09 collateralized by $3,047,453 Freddi 3,000,000
Total Repurchase Agreements 6,000,000
Securities Lending Collateral - 4.4%(k)
Certificates of Deposit:
142,288 Abbey National Plc, 1.27%, 8/13/09 142,288
284,382 Cafco, 0.40%, 10/1/09 284,382
71,096 Char FD, 0.28%, 10/26/09 71,096
213,316 Char FD, 0.30%, 10/5/09 213,316
199,116 Ciesco, 0.40%, 9/9/09 199,116
284,414 Kithaw, 0.40%, 9/21/09 284,414
284,555 Merrill Lynch, 0.38%, 8/14/09 284,555
179,135 Old LLC, 0.30%, 10/16/09 179,135
113,865 Old LLC, 0.32%, 10/15/09 113,865
213,431 Royal Bank of Canada NY, 1.19%, 8/7/09 213,431
284,575 Societe Generale, 1.06%, 9/4/09 284,575
51,769 TB LLC, 0.25%, 8/12/09 51,769
284,575 U.S. Bank NA, 0.76%, 8/24/09 284,575
2,606,517
Commercial Paper:
142,288 CME Group, Inc., 1.21%, 8/6/09 142,288
57,461 GE, 0.32%, 10/26/09 57,461
213,479 GE, 0.59%, 9/18/09 213,479
284,575 HSBC Bank, Inc., 1.31%, 8/14/09 284,575
71,144 IBM, 0.90%, 9/25/09 71,144
284,575 Monumental Global Funding, Ltd., 1.28%, 8/17/09 284,575
256,118 New York Life Global, 0.75%, 9/4/09 256,118
1,309,640
Tri-party Repurchase Agreements:
832,158 Barclays Capital Markets, 0.19%, 8/3/09 832,158
996,013 Deutsche Bank, 0.19%, 8/3/09 996,013
1,828,171
Shares Money Market Mutual Fund:
142,288 Dreyfus Prefferred Money Market Fund 142,288
142,288 Fidelity Prime Money Market Fund 142,288
284,576
Total Securities Lending Collateral 6,028,904
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $12,028,904) 12,028,904
TOTAL INVESTMENTS IN SECURITIES - 141.5%
(Cost $227,636,368) (l) 194,532,245
OTHER ASSETS AND LIABILITIES - (41.5)% (57,079,131)
NET ASSETS APPLICABLE TO COMMON SHAREOWNERS - 100% 137,453,114
(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 July 31, 2009, the value of these
securities amounted to $71,662,302 or 52.1% of total
net assets applicable to common shareowners.
(a) Floating rate note. The rate shown is the coupon
rate at July 31, 2009.
(b) On July 31, 2009, the security was not in default
but defaulted after the period end.
(c) Payment-in-Kind (PIK) security which may pay
interest in additional principal amount.
(d) Security is in default and is non-income producing.
(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 July 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
$466,209. The aggregate value $94,372 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 July 31, 2009.
(j) Non-income producing.
(k) Securities lending collateral is managed by Credit Suisse,
New York branch.
(l) At July 31, 2009, the net unrealized loss on investments
based on cost for federal income tax purposes
of $228,703,732 was as follows:
Aggregate gross unrealized gain for all investments in
which
there is an excess of value over tax cost
$3,034,421
Aggregate gross unrealized loss for all investments in
which
there is an excess of tax cost over value
(37,205,908)
Net unrealized loss
($34,171,487)
For financial reporting purposes net unrealized loss
was $33,104,123 and cost of
investments aggregated $227,636,368.
(m) At July 31, 2009, the following securities were out on
loan:
Principal
Amount
USD ($) Description Value
($)
47,092 Ainsworth Lumber Co., Ltd., 11.0%, 7/29/15 (144A 19,661
379,000 Aleris International, Inc., 10.0%, 12/15/16 5,685
970,000 Allison Transmission, Inc., 11.0%, 11/1/15 (144A 882,700
970,000 First Data Corp., 9.875%, 9/24/15 818,438
608,000 Freescale Semiconductor, Inc., Incremental Term 561,640
495,000 Harvest Operations Corp., 7.875%, 10/15/11 430,650
5,000 Intcomex, Inc., 11.75%, 1/15/11 1,956
610,000 MBIA Insurance Corp., 14.0%, 1/15/33 (144A) 215,788
305,000 PAETEC Holding Corp., 9.5%, 7/15/15 263,825
775,000 Sally Holdings LLC, 10.5%, 11/15/16 798,250
67,000 Sanmina-SCI Corp., 6.75%, 3/1/13 60,970
178,000 Scientific Games International, Inc., 9.25%, 6/1 184,230
1,100,000 Texas Competitive Electric Holdings Co. LLC, 10. 863,500
1,232,000 Univision Communications, Inc., 9.75%, 3/15/15 ( 813,120
495,000 Wells Fargo Capital XV, 9.75% 503,663
6,424,076
Glossary of Terms:
LC - Letter of Credit
Note: Principal amounts are denominated in U.S.
dollars unless otherwise denoted.
EURO Euro
NOK Norwegian Krone
Level 1 Level 2 Level 3 Total
Asset backed $ - $4,348,512 $- $4,348,512
Collateralized mortga - 2,015,442 2,015,442
Corporate bonds & not - 112,563,025 200,000 112,763,025
Convertible bonds & n - 5,107,232 - 5,107,232
Floating rate loan in - 761,979 (100,000) 861,979
Common stocks 47,786 - 47,786
Convertible preferred 499,800 - - 499,800
Warrants - 24,193 - 24,193
Temporary cash invest - 12,028,904 - 12,028,904
Total $547,586 $193,684,659 $300,000 $194,532,245
Other Financial Instr ($63,549) $ - $- ($63,549)
*Other financial instruments include foreign exchange contracts
Corporate bonds Fixed rate
& notes loan Total
Beginning balance 4/30/09 $- $- $-
Total gains or losses (realized/unrealized)
Included in earn
assets) - - -
Purchases, issuance, 200,000 100,000 300,000
Transfers in and/or o - - -
Ending balance 7/31/09 $200,000 $100,000 $300,000
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 September 28, 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 September 28, 2009
By (Signature and Title)* /s/ Mark Bradley
Mark Bradley, Treasurer
Date September 28, 2009
* Print the name and title of each signing officer under his or her signature.