OMB APPROVAL
OMB Number: 3235-0578
Expires: April 30, 2013
Estimated average burden
hours per response.....
5.6
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-22014
Pioneer Diversified High Income Trust
(Exact name of registrant as specified in charter)
60 State Street, Boston, MA 02109
(Address of principal executive offices) (ZIP code)
Terrence J. Cullen, Pioneer Investment Management, Inc.,
60 State Street, Boston, MA 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: (617) 742-7825
Date of fiscal year end: April 30
Date of reporting period: July 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 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). 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 7/31/10 (unaudited)
Principal
Amount
USD ($) Value
($)
ASSET BACKED SECURITIES - 1.7% of Net Assets
Consumer Services - 0.3%
Restaurants - 0.3%
100,000 DB Master Finance LLC, 5.779%, 6/20/31 (144A) 97,664
500,000 DB Master Finance LLC, 8.285%, 6/20/31 (144A) 460,255
Total Consumer Services 557,919
Banks - 0.9%
Thrifts & Mortgage Finance - 0.9%
246,741 (a) Ace Securities Corp., 1.229%, 12/25/34 180,048
200,000 (a) Carrington Mortgage Loan Trust, 0.429%, 10/25/36 155,826
699,000 (a) Carrington Mortgage Loan Trust, 0.529%, 2/25/37 375,615
519,215 (a) Countrywide Asset-Backed Certificates, 0.779%, 3/25/47 239,692
233,025 (a) GSAMP Trust, 0.459%, 1/25/37 205,466
118,580 (a) GSAMP Trust, 0.759%, 3/25/35 112,439
607,539 (a) Lehman XS Trust, 0.679%, 12/25/35 198,403
Total Banks 1,467,489
Diversified Financials - 0.5%
Other Diversified Financial Services - 0.4%
1,191,14 (a) Aircraft Finance Trust, 0.821%, 5/15/24 (144A) 524,101
119,173 (a) Aircraft Finance Trust, 0.841%, 5/15/24 (144A) 91,763
615,864
Specialized Finance - 0.1%
150,000 Dominos Pizza Master Issuer LLC, 5.261%, 4/25/37 (144A 140,283
Total Diversified Financials 756,147
TOTAL ASSET BACKED SECURITIES 2,781,555
(Cost $3,097,531)
COLLATERALIZED MORTGAGE OBLIGATIONS - 1.0% of Net Assets
Banks - 1.0%
Thrifts & Mortgage Finance - 1.0%
261,354 (a) Countrywide Home Loans, 0.679%, 3/25/35 68,428
520,250 (a) Downey Savings and Loan Association Mortgage Loan Trus 181,302
284,112 (a) Downey Savings and Loan Association Mortgage Loan Trus 24,696
1,154,76 (a) Impac CMB Trust, 1.089%, 1/25/35 854,373
122,663 (a) Impac Secured Assets CMN Owner Trust, 0.419%, 11/25/36 109,478
591,658 (a) Luminent Mortgage Trust, 0.589%, 7/25/36 47,981
394,907 (a) WaMu Mortgage Pass-Through Certificates, 0.559%, 4/25/ 314,258
Total Banks 1,600,516
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $2,292,669) 1,600,516
CORPORATE BONDS & NOTES - 93.7% of Net Assets
Energy - 8.9%
Coal & Consumable Fuels - 1.6%
850,000 (m) Bumi Capital Pte, Ltd., 12.0%, 11/10/16 (144A) 873,375
738,000 Drummond Co., Inc., 9.0%, 10/15/14 (144A) 778,590
420,000 Indo Integrated Energy II BV, 9.75%, 11/5/16 (144A) 452,550
505,000 Massey Energy Co., 6.875%, 12/15/13 503,106
2,607,621
Oil & Gas Drilling - 0.3%
500,000 Pioneer Drilling Co., 9.875%, 3/15/18 (144A) 502,500
Oil & Gas Equipment & Services - 2.1%
1,500,000 American Petroleum Tankers LLC, 10.25%, 5/1/15 (144A)1,500,000
730,000 Expro Finance Luxembourg SCA, 8.5%, 12/15/16 (144A) 712,663
65,067 (b) Nexus 1 Pte., Ltd., 10.5%, 3/7/12 (144A) 65
600,000 (a) Sevan Marine ASA, 3.619%, 5/14/13 (144A) 486,000
NOK 3,000,00 (a) Sevan Marine ASA, 8.18%, 10/24/12 (144A) 489,026
154,800 Skeie Drilling & Production ASA, 11.25%, 3/8/13 (144A) 153,252
3,341,006
Oil & Gas Exploration & Production - 3.2%
505,000 Berry Petroleum Co., 10.25%, 6/1/14 558,025
125,000 Chesapeake Energy Corp., 9.5%, 2/15/15 140,313
970,000 Hilcorp Energy I LP, 9.0%, 6/1/16 (144A) 1,023,350
685,000 Linn Energy LLC, 11.75%, 5/15/17 791,175
NOK 2,500,000 Norwegian Energy Co. AS, 12.9%, 11/20/14 411,638
NOK 3,000,00 (a) PA Resources AB, 10.13%, 3/9/11 486,556
225,000 PetroQuest Energy, Inc., 10.375%, 5/15/12 229,500
240,000 Quicksilver Resources, Inc., 7.125%, 4/1/16 235,200
472,000 Rosetta Resources, Inc., 9.5%, 4/15/18 (144A) 487,340
670,000 (c) SandRidge Energy, Inc., 8.625%, 4/1/15 676,700
5,039,797
Oil & Gas Refining & Marketing - 0.7%
1,310,000 Petroplus Finance, Ltd., 9.375%, 9/15/19 (144A) 1,179,000
Oil & Gas Storage & Transportation - 1.0%
500,000 Holly Energy Partners LP, 6.25%, 3/1/15 485,000
1,245,00 (a) Southern Union Co., 7.2%, 11/1/66 1,104,938
1,589,938
Total Energy 14,259,862
Materials - 10.7%
Aluminum - 0.9%
600,000 (b) Asia Aluminum Holdings, Ltd., 8.0%, 12/23/11 (144A) 90,750
300,000 CII Carbon LLC, 11.125%, 11/15/15 (144A) 307,500
1,316,22(a)(cNoranda Aluminum Acquisition Corp., 5.373%, 5/15/15 1,039,815
1,438,065
Commodity Chemicals - 0.2%
300,000 Montell Finance Co. BV, 8.1%, 3/15/27 (144A) 283,500
Construction Materials - 0.6%
865,000 AGY Holding Corp., 11.0%, 11/15/14 735,250
300,000 (a)(dC8 Capital SPV, Ltd., 6.64% (144A) 196,292
931,542
Diversified Chemicals - 0.8%
EURO 1,275,000 Ineos Group Holdings Plc, 7.875%, 2/15/16 (144A) 1,316,394
Diversified Metals & Mining - 1.9%
371,096 (c) Blaze Recycling & Metals LLC, 13.0%, 7/16/12 303,835
195,000 FMG Finance Pty., Ltd., 10.625%, 9/1/16 (144A) 222,300
750,000 Prime Dig Pte, Ltd., 11.75%, 11/3/14 (144A) 774,450
745,000 Teck Resources, Ltd., 10.25%, 5/15/16 901,450
750,000 Vedanta Resources Plc, 9.5%, 7/18/18 (144A) 825,000
3,027,035
Forest Products - 0.5%
732,000 (m) Sino-Forest Corp., 10.25%, 7/28/14 (144A) 805,200
Metal & Glass Containers - 1.1%
1,145,000 AEP Industries, Inc., 7.875%, 3/15/13 1,133,550
EURO 255,000 Ardagh Glass Finance Plc, 9.25%, 7/1/16 (144A) 371,248
175,000 (m) BWAY Holding Co., 10.0%, 6/15/18 (144A) 185,500
1,690,298
Paper Packaging - 1.2%
750,103 (c)(eBio-PAPPEL SAB De CV, 6.0%, 8/27/16 606,646
700,000 Graham Packaging Co., Inc., 9.875%, 10/15/14 726,250
750,000 U.S. Corrugated, Inc., 10.0%, 6/1/13 667,500
2,000,396
Paper Products - 1.0%
500,000 Appleton Papers, Inc., 10.5%, 6/15/15 (144A) 495,000
425,000 Cellu Tissue Holdings, Inc., 11.5%, 6/1/14 462,187
260,000 Clearwater Paper Corp., 10.625%, 6/15/16 287,300
339,000 Exopack Holding Corp., 11.25%, 2/1/14 344,509
1,588,996
Precious Metals & Minerals - 0.3%
500,000 ALROSA Finance SA, 8.875%, 11/17/14 (144A) 544,450
Steel - 2.2%
1,245,000 Algoma Acquisition Corp., 9.875%, 6/15/15 (144A) 1,098,713
450,000 Essar Steel Algoma, Inc., 9.375%, 3/15/15 (144A) 432,563
250,000 Evraz Group SA, 8.875%, 4/24/13 (144A) 264,825
250,000 Evraz Group SA, 9.5%, 4/24/18 (144A) 269,125
500,000 Metinvest BV, 10.25%, 5/20/15 (144A) 518,268
920,000 Ryerson, Inc., 12.0%, 11/1/15 963,700
EURO 50,000 Zlomrex International Finance SA, 8.5%, 2/1/14 (144A) 31,267
3,578,461
Total Materials 17,204,337
Capital Goods - 6.6%
Aerospace & Defense - 0.3%
405,000 DigitalGlobe, Inc., 10.5%, 5/1/14 441,956
90,000 GeoEye, Inc., 9.625%, 10/1/15 (144A) 94,500
536,456
Building Products - 0.4%
EURO 200,000 (a)(dC10 - EUR Capital SPV, Ltd., 6.277% 156,335
365,000 USG Corp., 9.75%, 8/1/14 (144A) 381,425
537,760
Construction & Engineering - 0.5%
350,000 Dycom Industries, Inc., 8.125%, 10/15/15 348,688
500,000 Esco Corp., 8.625%, 12/15/13 (144A) 496,250
844,938
Construction & Farm Machinery & Heavy Trucks - 1.6%
720,000 American Railcar Industries, Inc., 7.5%, 3/1/14 705,600
770,000 Commercial Vehicle Group, Inc., 8.0%, 7/1/13 652,575
950,000 Greenbrier Companies, Inc., 8.375%, 5/15/15 914,375
300,000 Titan International, Inc., 8.0%, 1/15/12 312,000
2,584,550
Electrical Components & Equipment - 0.5%
750,000 WireCo WorldGroup, 9.5%, 5/15/17 (144A) 758,438
Industrial Conglomerates - 0.7%
500,000 Cia Latinoamericana de Infraestructura & Servicios SA, 450,000
500,000 (b) Indalex Holding Corp., 11.5%, 2/1/14 5,888
740,000 Park-Ohio Industries, Inc., 8.375%, 11/15/14 699,300
1,155,188
Industrial Machinery - 1.2%
1,220,000 Industrias Metalurgicas Pescarmona SA, 11.25%,10/22/11,159,000
875,000 Mueller Water Products, Inc., 7.375%, 6/1/17 797,344
1,956,344
Trading Companies & Distributors - 1.4%
150,000 Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 156,375
1,090,000 Intcomex, Inc., 13.25%, 12/15/14 (144A) 1,136,325
1,000,000 Wesco Distribution, Inc., 7.5%, 10/15/17 1,000,000
2,292,700
Total Capital Goods 10,666,374
Commercial & Professional Services - 0.4%
Diversified Support Services - 0.2%
400 (f) MSX International, Ltd., UK, 12.5%, 4/1/12 (144A) 328,000
Environmental & Facilities Services - 0.2%
700,000 (b) Aleris International, Inc., 10.0%, 12/15/16 280
210,000 Casella Waste Systems, Inc., 11.0%, 7/15/14 229,163
EURO 107,128 New Reclamation Group Pty., Ltd., 8.125%, 2/1/13 (144A 101,185
330,628
Total Commercial & Professional Services 658,628
Transportation - 1.4%
Air Freight & Logistics - 0.6%
929,000 (m) CEVA Group PLC, 11.5%, 4/1/18 (144A) 962,513
Airlines - 0.2%
305,000 Delta Air Lines, Inc., 9.5%, 9/15/14 (144A) 330,163
Marine Ports & Services - 0.4%
1,120,000 Oceanografia SA de CV, 11.25%, 7/15/15 (144A) 700,000
Railroads - 0.2%
240,000 Kansas City Southern de Mexico, 7.625%, 12/1/13 247,800
Total Transportation 2,240,476
Automobiles & Components - 1.6%
Auto Parts & Equipment - 1.4%
980,000 (m) Allison Transmission, Inc., 11.0%, 11/1/15 (144A) 1,053,500
160,000 Stanadyne Corp., 10.0%, 8/15/14 150,400
500,000 (e) Stanadyne Corp., 12.0%, 2/15/15 410,000
700,000 (m) Tenneco, Inc., 8.625%, 11/15/14 721,000
2,334,900
Tires & Rubber - 0.2%
235,000 Goodyear Tire & Rubber Co., 10.5%, 5/15/16 263,200
Total Automobiles & Components 2,598,100
Consumer Durables & Apparel - 1.3%
Homebuilding - 0.7%
430,000 Desarrolladora Homex SA de CV, 9.5%, 12/11/19 (144A) 462,699
695,000 Meritage Homes Corp., 6.25%, 3/15/15 661,987
1,124,686
Housewares & Specialties - 0.6%
1,000,00 (m) Yankee Acquisition Corp., 9.75%, 2/15/17 1,040,000
Total Consumer Durables & Apparel 2,164,686
Consumer Services - 2.5%
Casinos & Gaming - 2.2%
500,000 (b) Buffalo Thunder Development Authority, 9.375%, 12/15/1 90,000
EURO 1,155,000 Codere Finance Luxembourg SA, 8.25%, 6/15/15 (144A) 1,440,778
395,000 FireKeepers Development Authority, 13.875%, 5/1/15 (14 462,150
275,000 (b) Little Traverse Bay Bands of Odawa Indians, 10.25%, 2/ 93,500
1,615,00 (b) Mashantucket Western Pequot Tribe, 8.5%, 11/15/15 (144 274,550
EURO 500,000 Peermont Global, Ltd., 7.75%, 4/30/14 (144A) 566,716
603,000 Scientific Games International, Inc., 9.25%, 6/15/19 639,180
585,000 (b) Station Casinos, Inc., 6.625%, 3/15/18 1,463
3,568,337
Specialized Consumer Services - 0.3%
350,000 StoneMor Operating LLC/Cornerstone Family Services/Osi 371,000
Total Consumer Services 3,939,337
Media - 4.1%
Advertising - 0.9%
716,000 MDC Partners, Inc., 11.0%, 11/1/16 (144A) 780,440
800,000 Sitel LLC/Sitel Finance Corp, 11.5%, 4/1/18 (144A) 640,000
1,420,440
Broadcasting - 2.7%
182,676 CCH II LLC, 13.5%, 11/30/16 216,928
840,000 Hughes Network Systems LLC, 9.5%, 4/15/14 873,600
903,125 (c) Intelsat Bermuda, Ltd., 11.5%, 2/4/17 957,312
500,000 Intelsat Subsidiary Holding Co., Ltd., 8.5%, 1/15/13 507,500
430,000 Telesat Canada, 12.5%, 11/1/17 500,950
1,379,15(c)(mUnivision Communications, Inc., 9.75%, 3/15/15 (144A)1,255,031
4,311,321
Publishing - 0.5%
600,000 Cengage Learning Acquisitions, Inc., 10.5%, 1/15/15 (1 580,500
245,000 Interactive Data Corp., 10.25%, 8/1/18 (144A) 253,575
834,075
Total Media 6,565,836
Retailing - 1.0%
Apparel Retail - 0.1%
EURO 75,000 (a) Edcon Holdings Pty., Ltd., 3.969%, 6/15/14 (144A) 73,282
EURO 74,000 (a) Edcon Holdings Pty., Ltd., 6.219%, 6/15/15 (144A) 62,664
135,946
Internet Retail - 0.4%
640,000 Ticketmaster Entertainment, Inc., 10.75%, 7/28/16 678,400
Specialty Stores - 0.5%
800,000 (m) Sally Holdings LLC, 10.5%, 11/15/16 872,000
Total Retailing 1,686,346
Food, Beverage & Tobacco - 5.0%
Agricultural Products - 0.7%
1,127,000 Southern States Cooperative, Inc., 11.25%, 5/15/15(141,127,000
Packaged Foods & Meats - 3.0%
650,000 Bertin Ltda, 10.25%, 10/5/16 (144A) 710,125
491,000 Corporacion Pesquera Inca SAC, 9.0%, 2/10/17 (144A) 491,614
750,000 FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc., 651,284
209,088 Independencia International, Ltd., 12.0%, 12/30/16 (14 50,181
475,000 Marfrig Overseas, Ltd., 9.5%, 5/4/20 (144A) 488,775
700,000 Marfrig Overseas, Ltd., 9.625%, 11/16/16 (144A) 741,125
1,175,000 Minerva Overseas, Ltd., 9.5%, 2/1/17 (144A) 1,192,625
275,000 Minerva Overseas II, Ltd., 10.875%, 11/15/19 (144A) 290,813
275,000 (e) SA Fabrica de Produtos Alimenticios Vigor, 9.25%, 2/23 279,021
4,895,563
Tobacco - 1.3%
2,015,000 Alliance One International, Inc., 10.0%, 7/15/16 2,083,006
Total Food, Beverage & Tobacco 8,105,569
Household & Personal Products - 0.2%
Personal Products - 0.2%
300,000 Revlon Consumer Products Corp., 9.75%, 11/15/15 312,000
Total Household & Personal Products 312,000
Health Care Equipment & Services - 4.1%
Health Care Equipment & Services - 0.5%
750,000 Accellent, Inc., 10.5%, 12/1/13 755,625
Health Care Services - 2.3%
378,000 BioScrip, Inc., 10.25%, 10/1/15 (144A) 383,670
1,185,00 (m) DASA Finance Corp., 8.75%, 5/29/18 (144A) 1,285,725
796,459 (c) Surgical Care Affiliates, Inc., 8.875%, 7/15/15 (144A) 794,468
1,170,00 (m) Surgical Care Affiliates, Inc., 10.0%, 7/15/17 (144A)1,172,925
3,636,788
Health Care Supplies - 1.0%
750,000 Bausch & Lomb, Inc., 9.875%, 11/1/15 791,250
815,000 (c) Biomet, Inc., 10.375%, 10/15/17 902,612
1,693,862
Managed Health Care - 0.3%
500,000 Multiplan, Inc., 10.375%, 4/15/16 (144A) 550,000
Total Health Care Equipment & Services 6,636,275
Pharmaceuticals & Biotechnology & Life Sciences - 0.7%
Biotechnology - 0.4%
543,000 Lantheus Medical Imaging, Inc., 9.75%, 5/15/17 (144A) 551,145
Life Sciences Tools & Services - 0.3%
131,406 (c) Catalent Pharma Solutions, Inc., 9.5%, 4/15/15 131,077
420,000 PharmaNet Development Group, Inc., 10.875%, 4/15/17 (1 417,900
548,977
Total Pharmaceuticals & Biotechnology & Life Sciences1,100,122
Banks - 2.0%
Diversified Banks - 1.3%
250,000 ATF Capital BV, 9.25%, 2/21/14 (144A) 264,025
400,000 (a)(dABN Amro NA Holding Preferred Capital Repackage Trust 340,000
500,000 (a) Banco Macro SA, 9.75%, 12/18/36 450,000
700,000 Banco Macro SA, 10.75%, 6/7/12 500,500
BRL 350,000 International Finance Corp., 9.25%, 3/15/13 199,555
15,747 JSC Temirbank, 14.0%, 6/30/22 (144A) 16,141
500,000 (b) TuranAlem Finance BV, 8.5%, 2/10/15 (144A) 237,500
2,007,721
Regional Banks - 0.7%
600,000 (a)(dPNC Financial Services Group, Inc., 8.25% 622,330
500,000 (a)(dWells Fargo Capital XV, 9.75% 543,150
1,165,480
Total Banks 3,173,201
Diversified Financials - 6.8%
Asset Management & Custody Banks - 0.7%
375,000 Janus Capital Group, Inc., 6.5%, 6/15/12 393,683
665,000 Janus Capital Group, Inc., 6.95%, 6/15/17 682,690
1,076,373
Consumer Finance - 0.2%
EURO 200,000 TVN Finance Corp II AB, 10.75%, 11/15/17 (144A) 280,101
Investment Banking & Brokerage - 0.2%
450,000 (a)(dGoldman Sachs Capital II, 5.793% 360,900
Multi-Sector Holdings - 0.4%
670,000 Offshore Group Investments, Ltd., 11.5%, 8/1/15 (144A) 666,650
Other Diversified Financial Services - 3.2%
EURO 500,000 (a) ATLAS VI Capital, Ltd., 10.261%, 4/6/13 (144A) 673,285
186,000 Grupo Papelero Scribe SA, 8.875%, 4/7/20 (144A) 166,470
1,000,00 (a) Ibis Re, Ltd., 9.25%, 5/3/13 (144A) 940,000
400,000 (a) Ibis Re, Ltd., 10.787%, 5/10/12 (144A) 420,000
2,000,00 (a) Lodestone Re, Ltd., 8.39%, 5/17/13 (144A) 1,950,400
1,000,00 (a) Redwood Capital XI, Ltd., 6.39%, 1/7/11 (144A) 1,007,900
5,158,055
Specialized Finance - 2.1%
500,000 Capital One Capital V, 10.25%, 8/15/39 541,250
1,000,00 (a) Montana Re, Ltd., 13.788%, 12/7/12 (144A) 948,100
425,000 National Money Mart Co., 10.375%, 12/15/16 445,187
755,000 (a) NCO Group, Inc., 5.311%, 11/15/13 649,300
900,000 NCO Group, Inc., 11.875%, 11/15/14 855,000
3,438,837
Total Diversified Financials 10,980,916
Insurance - 23.0%
Insurance Brokers - 1.7%
250,000 Alliant Holdings I, Inc., 11.0%, 5/1/15 (144A) 256,250
1,050,000 HUB International Holdings, Inc., 10.25%, 6/15/15 (144 989,625
827,000 (a) U.S.I. Holdings Corp., 4.311%, 11/15/14 (144A) 694,680
804,000 U.S.I. Holdings Corp., 9.75%, 5/15/15 (144A) 755,760
2,696,315
Multi-Line Insurance - 1.3%
1,000,00 (a) Liberty Mutual Group, Inc., 7.0%, 3/15/37 (144A) 831,032
1,000,00 (a) Liberty Mutual Group, Inc., 10.75%, 6/15/58 (144A) 1,095,000
65,000 Sul America Participacoes SA, 8.625%, 2/15/12 (144A) 68,819
1,994,851
Reinsurance - 20.0%
1,500,00 (a) AKIBARE, 3.447%, 5/22/12 (144A) 1,489,950
1,000,00 (a) AKIBARE, 3.647%, 5/22/12 (144A) 991,800
EURO 1,500,00 (a) Atlas Reinsurance Plc, 11.011%, 1/10/11 (144A) 1,954,194
2,000,00 (a) Blue Fin, Ltd., 4.931%, 4/10/12 (144A) 1,898,000
1,000,00 (a) Blue Fin, Ltd., 14.026%, 4/16/12 (144A) 1,049,400
1,500,00 (a) Caelus Re II, Ltd., 6.5%, 5/24/13 (144A) 1,467,750
1,000,00 (a) Caelus Re, Ltd., 6.788%, 6/7/11 (144A) 978,300
1,750,00 (a) Carillon, Ltd., 15.787%, 1/10/11 (144A) 1,616,125
1,500,00 (a) East Lane Re, Ltd., 7.344%, 5/6/11 (144A) 1,474,650
1,750,00 (a) Fhu-Jin, Ltd., 4.244%, 8/10/11 (144A) 1,768,725
1,000,00 (a) Foundation Re III, Ltd., 5.907%, 2/3/14 (144A) 961,200
1,000,00 (a) GlobeCat, Ltd., 6.534%, 1/2/13 (144A) 1,014,900
350,000 (a) GlobeCat, Ltd., 9.784%, 1/2/13 (144A) 313,740
EURO 1,500,00 (a) Green Valley, Ltd., 4.41%, 1/10/11 (144A) 1,946,181
600,000 (a) Merna Reinsurance II, Ltd., 3.8%, 4/8/13 (144A) 597,420
250,000 (a) MultiCat Mexico, Ltd., Series 2009-I Class A, 11.64%, 266,850
250,000 (a) MultiCat Mexico, Ltd., Series 2009-I Class B, 10.39%, 249,850
250,000 (a) MultiCat Mexico, Ltd., Series 2009-I Class C, 10.39%, 249,850
250,000 (a) MultiCat Mexico, Ltd., Series 2009-I Class D, 10.39%, 244,450
2,500,00 (a) Muteki, Ltd., 4.845%, 5/24/11 (144A) 2,493,750
500,000 (a) Mystic Re II, Ltd., 12.538%, 3/20/12 (144A) 525,350
1,000,00 (a) Nelson Re, Ltd., 4.945%, 6/6/11 (144A) 992,000
1,000,00 (a) Newton Re, Ltd., 5.188%, 12/24/10 (144A) 999,800
1,000,00 (a) Newton Re, Ltd., 7.488%, 12/24/10 (144A) 937,400
425,000 (a) Residential Reinsurance 2008, Ltd., 7.288%, 6/6/11 (14 413,312
2,000,00 (a) Residential Reinsurance 2008, Ltd., 12.038%, 6/6/11(11,940,400
1,000,00 (a) Successor X, Ltd., 0.19%, 12/9/10 (144A) 861,700
600,000 (a) Successor X, Ltd., 0.19%, 12/9/10 (144A) 526,560
500,000 (a) Successor X, Ltd., 9.89%, 4/4/13 (144A) 447,200
1,250,00 (a) Successor X, Ltd., 11.89%, 4/4/13 (144A) 1,088,750
500,000 (a) Successor X, Ltd., 16.89%, 4/4/13 (144A) 437,300
32,196,857
Total Insurance 36,888,023
Real Estate - 0.3%
Real Estate Operating Companies - 0.3%
65,489 Alto Palermo SA, 11.0%, 6/11/12 (144A) 30,943
410,000 IRSA Inversiones y Representaciones SA, 8.5%, 2/2/17 ( 384,375
Total Real Estate 415,318
Software & Services - 2.8%
Application Software - 0.8%
1,390,000 Vangent, Inc., 9.625%, 2/15/15 1,327,450
Data Processing & Outsourced Services - 0.7%
1,465,00 (m) First Data Corp., 9.875%, 9/24/15 1,179,325
Internet Software & Services - 0.7%
905,000 Terremark Worldwide, Inc., 12.0%, 6/15/17 1,031,700
IT Consulting & Other Services - 0.3%
405,000 Activant Solutions, Inc., 9.5%, 5/1/16 392,850
Systems Software - 0.3%
684,999 (c)(gPegasus Solutions, Inc., 13.0%, 4/15/14 (144A) 513,749
Total Software & Services 4,445,074
Technology Hardware & Equipment - 0.6%
Computer Storage & Peripherals - 0.3%
430,000 Seagate Technology International, 10.0%, 5/1/14 (144A) 503,100
Electronic Equipment & Instruments - 0.3%
486,000 Da-Lite Screen Co., Inc., 12.5%, 4/1/15 488,430
Total Technology Hardware & Equipment 991,530
Semiconductors & Semiconductor Equipment - 0.5%
Semiconductor Equipment - 0.5%
750,000 Aeroflex. Inc., 11.75%, 2/15/15 803,437
Total Semiconductors & Semiconductor Equipment 803,437
Telecommunication Services - 6.5%
Alternative Carriers - 0.7%
945,000 Global Crossing , Ltd., 12.0%, 9/15/15 1,048,950
Integrated Telecommunication Services - 3.0%
910,000 Broadview Networks Holdings, Inc., 11.375%, 9/1/12 887,250
388,000 Cincinnati Bell, Inc., 8.75%, 3/15/18 379,270
1,250,000 GCI, Inc., 7.25%, 2/15/14 1,271,875
750,000 PAETEC Holding Corp., 8.875%, 6/30/17 775,312
1,010,000 PAETEC Holding Corp., 9.5%, 7/15/15 1,010,000
500,000 Windstream Corp., 8.625%, 8/1/16 521,250
4,844,957
Wireless Telecommunication Services - 2.8%
550,000 Bakrie Telecom Tbk PT, 11.5%, 5/7/15 (144A) 539,000
500,000 (m) Cricket Communications, Inc., 9.375%, 11/1/14 516,875
300,000 (m) Digicel Group, Ltd., 10.5%, 4/15/18 (144A) 321,000
750,000 NII Capital Corp., 10.0%, 8/15/16 828,750
790,000 (m) OJSC Vimpel Communications, 9.125%, 4/30/18 (144A) 903,562
1,330,000 True Move Co., Ltd., 10.375%, 8/1/14 (144A) 1,346,625
100,000 True Move Co., Ltd., 10.75%, 12/16/13 (144A) 102,250
4,558,062
Total Telecommunication Services 10,451,969
Utilities - 2.7%
Electric Utilities - 0.6%
750,000 Cia de Transporte de Energia Electrica de Alta Tension 690,000
500,000 (m) Texas Competitive Electric Holdings Co. LLC, 10.25%, 1 335,000
1,025,000
Gas Utilities - 1.0%
490,000 Inergy, L.P., 8.25%, 3/1/16 514,500
1,135,000 Transportadora de Gas del Sur SA, 7.875%, 5/14/17(1441,112,300
1,626,800
Independent Power Producers & Energy Traders - 0.9%
500,000 Intergen NV, 9.0%, 6/30/17 (144A) 521,250
346,000 Listrindo Capital BV, 9.25%, 1/29/15 (144A) 380,240
500,000 Star Energy Geothermal (Wayang Windu), Ltd., 11.5%, 2/ 534,451
1,435,941
Multi-Utilities - 0.2%
225,000 PNM Resources, Inc., 9.25%, 5/15/15 239,906
Total Utilities 4,327,647
TOTAL CORPORATE BONDS & NOTES
(Cost $152,766,382) 150,615,063
CONVERTIBLE BONDS & NOTES - 3.1% of Net Assets
Materials - 0.8%
Diverified Chemicals - 0.8%
1,900 (f) Hercules Inc, 6.5%, 6/30/29 1,349,000
Total Materials 1,349,000
Capital Goods - 0.2%
Electrical Components & Equipment - 0.2%
150,000 JA Solar Holdings Co., Ltd., 4.5%, 5/15/13 131,437
271,000 Suntech Power Holdings Co., Ltd., 3.0%, 3/15/13 219,171
Total Capital Goods 350,608
Transportation - 0.5%
Marine - 0.5%
990,000 Horizon Lines, Inc., 4.25%, 8/15/12 831,600
Total Transportation 831,600
Media - 0.4%
Movies & Entertainment - 0.4%
659,000 Live Nation, Inc., 2.875%, 7/15/27 552,736
Total Media 552,736
Health Care Equipment & Services - 0.8%
Health Care Equipment & Services - 0.6%
1,040,00 (e) Hologic, Inc., 2.0%, 12/15/37 916,500
Health Care Facilities - 0.2%
405,000 LifePoint Hospitals, Inc., 3.5%, 5/15/14 382,725
Health Care Services - 0.0%
50,000 Omnicare, Inc., 3.25%, 12/15/35 42,688
Total Health Care Equipment & Services 1,341,913
Technology Hardware & Equipment - 0.2%
Communications Equipment - 0.2%
450,000 (b) Nortel Networks Corp., 2.125%, 4/15/14 351,000
Total Technology Hardware & Equipment 351,000
Telecommunication Services - 0.2%
Wireless Telecommunication Services - 0.2%
250,000 NII Holdings, Inc., 3.125%, 6/15/12 240,313
Total Telecommunication Services 240,313
TOTAL CONVERTIBLE BONDS & NOTES
(Cost $4,299,457) 5,017,170
SOVEREIGN DEBT OBLIGATIONS - 0.6% of Net Assets
Brazil - 0.6%
BRL 1,750,000 Brazilian Government International Bond, 10.25%,1/10/1,007,425
TOTAL SOVEREIGN DEBT OBLIGATIONS 1,007,425
(Cost $947,488)
FLOATING RATE LOAN INTERESTS - 35.5% of Net Assets (h)
Energy - 0.9%
Integrated Oil & Gas - 0.8%
950,000 Big West Oil LLC, Term Loan, 12.0%, 7/23/15 957,916
288,536 Hudson Products Holdings, Inc., Term Loan, 8.5%, 8/24/ 265,453
1,223,369
Oil & Gas Exploration & Production - 0.1%
299,818 Venoco, Inc., Second Lien Term Loan, 4.375%, 5/7/14 271,772
Total Energy 1,495,141
Materials - 4.0%
Diversified Chemicals - 1.1%
845,768 Huntsman International LLC, New Dollar Term Loan B, 2. 795,683
333,688 Ineos US Finance LLC, Facility Term Loan B-2, 7.5%, 12 328,961
365,000 Ineos US Finance LLC, Facility Term Loan C-2, 8.0%, 12 359,829
249,375 Solutia, Inc., Term Loan, 4.75%, 3/17/17 250,176
1,734,649
Forest Products - 0.9%
1,500,00 (c) Ainsworth Lumber Co., Ltd., Term Loan, 5.375%,6/26/141,423,125
Paper Packaging - 0.6%
48,698 Graham Packaging Co. LP, Term Loan B, 2.625% - 2.813%, 48,644
460,188 Graham Packaging Co. LP, Term Loan C, 6.75%, 4/5/14 464,718
438,525 Graphic Packaging International, Inc., Incremental Ter 430,988
944,350
Paper Products - 0.9%
475,000 Exopack, Term Loan, 9.25%, 7/12/18 446,500
964,927 Georgia-Pacific LLC, Term Loan B, 2.475% - 2.537%, 12/ 950,837
1,397,337
Specialty Chemicals - 0.0%
100,000 Chemtura Corp., Facility Term Loan, 6.0%, 2/11/11 99,938
Steel - 0.5%
900,843 (c) Niagara Corp., New Term Loan, 10.5%, 6/29/14 828,775
Total Materials 6,428,174
Capital Goods - 2.8%
Aerospace & Defense - 1.4%
605,843 DAE Aviation Holdings, Inc., Tranche B-1 Term Loan, 4. 549,802
248,656 Hunter Defense Technologies, Inc., Term Loan, 3.79%, 8 233,115
488,579 Spirit Aerosystems, Inc., Term Loan B-1, 2.276%, 9/30/ 478,400
588,165 Standard Aero, Ltd., Tranche B-2 Term Loan, 4.14% - 4. 533,760
393,590 TASC, Inc., Tranche A Term Loan, 5.5%, 12/18/14 394,738
2,189,815
Construction & Engineering - 0.7%
1,113,172 Goodman Global, Inc., Term Loan, 6.25%, 2/13/14 1,118,042
Construction & Farm Machinery & Heavy Trucks - 0.6%
498,771 Bucyrus International, Inc., Tranche C Dollar Term Loa 501,005
344,712 Manitowoc Co., Inc., Term Loan B, 8.0%, 11/6/14 345,429
143,064 Oshkosh Truck Corp., Term Loan B, 6.54%, 12/6/13 143,735
990,169
Industrial Machinery - 0.1%
EURO 123,437 SIG Euro Holding AG & Co. KGaA, European Term Loan, 6. 159,206
Total Capital Goods 4,457,232
Commercial & Professional Services - 1.9%
Commercial Printing - 0.3%
3,752 Cenveo Corp., Delayed Draw Term Loan, 5.039%, 6/21/13 3,695
131,423 Cenveo Corp., Facility Term Loan C, 5.039%, 6/21/13 129,410
400,000 John Henry Holdings, Inc., Advance Term Loan, 7.0%, 5/ 397,500
530,605
Diversified Support Services - 0.2%
300,004 Rental Service Corp., Second Lien Initial Term Loan, 4 284,910
Environmental & Facilities Services - 1.2%
811,004 Brickman Group Holdings, Inc., Tranche B Term Loan, 2. 762,343
123,750 Casella Waste Systems, Inc., Term Loan B, 7.0%, 4/9/14 124,214
1,212,500 Synagro Technologies, Inc., First Lien Term Loan, .321,021,531
1,908,088
Security & Alarm Services - 0.2%
250,000 Protection One, Inc., Term Loan, 6.0%, 6/4/16 247,812
Total Commercial & Professional Services 2,971,415
Transportation - 1.1%
Air Freight & Logistics - 1.0%
439,482 Ceva Group Plc, Pre-Funded LC Loan, 0.433%, 11/4/13 388,941
1,298,787 Ceva Group Plc, U.S. Term Loan, 3.316%, 11/4/13 1,149,427
1,538,368
Airlines - 0.1%
248,718 Delta Air Lines, Inc., Second Lien Term Loan, 3.591%, 225,919
Total Transportation 1,764,287
Automobiles & Components - 1.2%
Auto Parts & Equipment - 0.3%
141,638 Federal-Mogul Corp., Tranche B Term Loan, 2.238% - 2.2 126,792
72,265 Federal-Mogul Corp., Tranche C Term Loan, 2.238% - 2.2 64,690
246,875 HHI Group Holdings, LLC, Term Loan, 10.5%, 3/30/15 248,727
440,209
Automobile Manufacturers - 0.3%
591,577 Ford Motor Co., Tranche B-1 Term Loan, 3.35%, 12/15/13 575,925
Tires & Rubber - 0.6%
1,000,000 Goodyear Tire & Rubber Co., Second Lien Term Loan, 2.2 930,156
Total Automobiles & Components 1,946,290
Consumer Durables & Apparel - 0.3%
Lesiure Products - 0.3%
555,172 SRAM LLC., Term Loan, 5.0% - 5.5%, 4/30/15 556,560
Total Consumer Durables & Apparel 556,560
Consumer Services - 0.2%
Casinos & Gaming - 0.1%
945,000 (b) Gateway Casinos & Entertainment, Inc., Advance Second 177,582
Hotels, Resorts & Cruise Lines - 0.1%
166,320 Travelport LLC, Incremental Term Loan C, 10.5%, 8/23/1 167,290
Total Consumer Services 344,872
Media - 3.6%
Advertising - 0.6%
997,500 Affinion Group, Inc., Tranche B Term Loan, 5.0%, 10/9/ 956,353
Broadcasting - 1.5%
496,038 FoxCo Acquisition LLC, Term Loan, 7.5%, 7/14/15 477,437
1,000,000 Insight Midwest Holdings LLC, Term Loan B, 2.06% - 2.2 950,536
418,326 TWCC Holding Corp., Replacement Term Loan, 5.0%, 9/14/ 419,215
670,742 Univision Communications, Inc., Initial Term Loan, 2.5 587,364
2,434,552
Cable & Satellite - 0.4%
153,230 Knology, Inc., Term Loan, 2.562%, 6/30/12 146,718
553,026 WideOpenWest Finance LLC, Series A New Term Loan, 6.83 546,113
692,831
Movies & Entertainment - 0.6%
244,166 Cinedigm Digital Funding I LLC, Term Loan, 5.25%, 4/2 242,488
685,408 Lodgenet Entertainment Corp., Closing Date Term Loan, 634,859
877,347
Publishing - 0.5%
888,570 RH Donnelley, Inc., Term Loan, 9.25%, 10/24/14 787,125
Total Media 5,748,208
Retailing - 0.5%
Automotive Retail - 0.2%
250,000 Autotrader.com, Inc., Tranche B Term Loan, 4.5%, 6/14/ 250,622
Specialty Stores - 0.3%
548,625 Savers, Inc., Term Loan, 5.75%, 3/11/16 551,368
Total Retailing 801,990
Food & Staples Retailing - 0.9%
Drug Retail - 0.6%
996,502 Rite Aid Corp., Tranche 4 Term Loan, 9.5%, 6/10/15 1,018,051
Food Retail - 0.3%
493,750 Bi-Lo LLC, Facility Term Loan, 9.5%, 5/12/15 492,516
Total Food & Staples Retailing 1,510,567
Food, Beverage & Tobacco - 0.2%
Packaged Foods & Meats - 0.2%
246,875 Pierre Foods, Inc., Term Loan, 7.0%, 3/3/16 247,081
Total Food, Beverage & Tobacco 247,081
Household & Personal Products - 0.3%
Household Products - 0.2%
250,000 Reynolds Group Holdings, Inc., Incremental U.S. Term L 249,813
Personal Products - 0.1%
249,375 Revlon Consumer Products Corp., Term Loan, 6.0%, 3/11/ 245,167
Total Household & Personal Products 494,980
Health Care Equipment & Services - 4.0%
Health Care Facilities - 1.8%
249,375 Ardent Medical Services, Inc., Term Loan, 6.5%, 9/15/1 243,296
49,830 Community Health Systems, Inc., Delayed Draw Term Loan 47,285
971,225 Community Health Systems, Inc., Term Loan, 2.788%, 7/2 921,629
706,749 Hanger Orthopedic Group, Inc., Tranche B Term Loan, 2. 688,196
82,579 HCA, Inc., Tranche B-1 Term Loan, 2.783%, 11/18/13 79,885
198,040 HCA, Inc., Tranche B-2 Term Loan, 3.783%, 3/31/17 193,136
104,307 Sun Healthcare Group, Inc., Synthetic LC Loan, 0.433%, 101,543
715,159 Sun Healthcare Group, Inc., Term Loan, 2.533% - 3.7%, 696,207
2,971,177
Health Care Services - 0.8%
518,377 HealthSouth Corp., Tranche 1 Term Loan, 2.79%, 3/10/13 504,122
426,647 HealthSouth Corp., Tranche 2 Term Loan, 4.29%, 9/10/15 422,304
374,062 Prime Healthcare Services, Inc., Term Loan B, 7.25%, 4 359,100
1,285,526
Health Care Supplies - 1.0%
112,295 Bausch & Lomb, Inc., Delayed Draw Term Loan, 3.566%, 4 107,852
463,644 Bausch & Lomb, Inc., Parent Term Loan, 3.566% - 3.783% 445,300
485,000 IM US Holdings LLC, First Lien Term Loan, 2.295% - 2.5 464,994
600,000 IM US Holdings LLC, Second Lien Term Loan, 4.566%, 6/2 581,813
1,599,959
Health Care Technology - 0.2%
247,560 IMS Health, Inc., Tranche B Dollar Term Loan, 5.25%, 2 248,396
Managed Health Care - 0.2%
323,810 MultiPlan, Inc., Incremental Term Loan D, 6.0%, 4/12/1 323,270
Total Health Care Equipment & Services 6,428,328
Pharmaceuticals & Biotechnology & Life Sciences - 1.8%
Biotechnology - 0.6%
376,780 Warner Chilcott Co. LLC, Term Loan A, 5.5%, 10/30/14 376,921
177,534 Warner Chilcott Co. LLC, Term Loan B-1, 5.75, 4/30/15 177,675
295,626 Warner Chilcott Co. LLC, Term Loan B-2, 5.75%, 4/30/15 295,861
119,400 Warner Chilcott Co. LLC, Term Loan B-3, 5.75%, 4/30/15 119,557
970,014
Life Sciences Tools & Services - 0.9%
1,341,380 Catalent Pharma Solutions, Inc., Dollar Term Loan,2.51,213,949
265,000 inVentiv Health, Inc., Term Loan B, 4.75%, 7/31/16 261,025
1,474,974
Pharmaceuticals - 0.3%
426,573 Mylan, Inc., U.S. Tranche B Term Loan, 3.625% - 3.813% 425,212
Total Pharmaceuticals & Biotechnology & Life Sciences2,870,200
Diversified Financials - 1.5%
Specialized Finance - 1.5%
830,516 Ace Cash Express, Inc., Term Loan, 3.533%, 10/5/13 722,549
670,550 Asset Acceptance Capital Corp., Tranche B Term Loan, 3 647,081
853,189 Collect Acquisition Corp., Advance Term Loan B, 7.5%, 831,859
250,000 MSCI, Inc., Term Loan, 4.75%, 6/1/16 251,563
Total Diversified Financials 2,453,052
Insurance - 3.4%
Insurance Brokers - 2.4%
1,434,600 Alliant Holdings I, Inc., Term Loan, 3.533%, 8/21/14 1,352,111
128,204 HUB International, Ltd., Delay Draw Term Loan, 3.033%, 117,147
570,356 HUB International, Ltd., Initial Term Loan, 3.033%, 6/ 521,163
99,250 U.S.I. Holdings Corp., Series C Term Loan, 7.0%, 5/5/1 95,677
1,940,000 U.S.I. Holdings Corp., Tranche B Term Loan, 3.29%, /51,773,888
3,859,986
Multi-Line Insurance - 1.0%
790,101 AmWins Group, Inc., Initial Term Loan, 3.04%, 6/8/13 731,337
1,000,000 AmWins Group, Inc., Second Lien Initial Term Loan, 6.0 850,000
1,581,337
Total Insurance 5,441,323
Real Estate - 0.2%
Real Estate Development - 0.2%
249,375 Ozburn-Hessey Holding Co. LLC, First Lien Term Loan, 7 250,622
Total Real Estate 250,622
Software & Services - 3.7%
Application Software - 0.6%
974,555 Nuance Communications, Inc., Term Loan, 2.32%, 3/29/13 938,314
Internet Software & Services - 0.6%
565,000 Savvis Communications Corp., Term Loan, 5.0%, 8/1/16 548,050
445,466 Web Service Co. LLC, Term Loan, 7.0%, 8/28/14 440,733
988,783
IT Consulting & Other Services - 1.7%
398,602 Activant Solutions, Inc., Term Loan, 2.563%, 5/2/13 375,350
546,710 Keane International, Inc., Closing Date Term Loan, 2.7 501,607
42,654 Keane International, Inc., Synthetic LC Loan, 2.665%, 39,135
1,934,837 SunGard Data Systems, Inc., Tranche A U.S.Term Loan, 1,836,402
2,752,494
Systems Software - 0.8%
1,354,712 Vangent, Inc., Term Loan, 2.75%, 2/14/13 1,286,977
Total Software & Services 5,966,568
Technology Hardware & Equipment - 0.5%
Communications Equipment - 0.2%
248,750 TowerCo Finance LLC, Term Loan, 6.0% - 6.25%, 11/24/14 248,543
Electronic Equipment & Instruments - 0.3%
488,773 Scitor Corp., Term Loan, 4.57%, 9/26/14 480,220
Total Technology Hardware & Equipment 728,763
Semiconductors & Semiconductor Equipment - 0.9%
Semiconductor Equipment - 0.9%
729,375 Aeroflex, Inc., Tranche B-2 Term Loan, 4.188%, 8/15/14 684,701
777,760 Freescale Semiconductor, Inc., Extended Maturity Term 716,619
Total Semiconductors & Semiconductor Equipment 1,401,320
Telecommunication Services - 0.4%
Integrated Telecommunication Services - 0.4%
249,375 Cincinnati Bell, Inc., Tranche B Term Loan, 6.5%, 6/11 245,367
431,590 Telesat Canada, U.S. Term I Loan, 3.32%, 10/31/14 418,642
37,072 Telesat Canada, U.S. Term II Loan, 3.32%, 10/31/14 35,960
Total Telecommunication Services 699,969
Utilities - 1.2%
Electric Utilities - 0.3%
658,396 Texas Competitive Electric Holdings Co. LLC, Initial T 512,490
Independent Power Producers & Energy Traders - 0.9%
1,321,465 Calpine Corp., First Priority Term Loan, 3.415%, /29/1,257,044
184,378 Mach Gen LLC, First Lien Synthetic LC Loan, 2.25%, 2/2 170,703
1,427,747
Total Utilities 1,940,237
TOTAL FLOATING RATE LOAN INTERESTS
(Cost $59,204,395) 56,947,179
Shares COMMON STOCKS - 1.0% of Net Assets
Energy - 0.0%
Oil & Gas Equipment & Services - 0.0%
193,316 (j) Skeie Drilling & Production ASA 26,101
Total Energy 26,101
Materials - 0.4%
Commodity Chemicals - 0.3%
19,670 (j) Georgia Gulf Corp. 301,934
6,542 (j) Lyondell Basell Industries (Class A) 117,756
5,905 (j) Lyondell Basell Industries (Class B) 106,290
525,980
Forest Products - 0.0%
13,963 (j) Ainsworth Lumber Co., Ltd. 38,231
Steel - 0.1%
15,083 (g)(jNiagara Corp. 117,044
Total Materials 681,255
Automobiles & Components - 0.6%
Auto Parts & Equipment - 0.6%
10,904 (j) Lear Corp. 852,366
Total Automobiles & Components 852,366
Media - 0.0%
Cable & Satellite - 0.0%
213 (j) Charter Communications, Inc. 7,774
Total Media 7,774
Software & Services - 0.0%
Systems Software - 0.0%
2,114 (g)(jPerseus Holding Corp. 0
Total Software & Services 0
TOTAL COMMON STOCKS
(Cost $1,375,008) 1,567,496
CONVERTIBLE PREFERRED STOCK - 0.4% of Net Assets
Diversified Financials - 0.4%
Other Diversified Financial Services - 0.4%
595 Bank of America Corp. 547,400
TOTAL CONVERTIBLE PREFERRED STOCK
(Cost $490,737) 547,400
PREFERRED STOCK - 0.0% of Net Assets
Software & Services - 0.0%
Systems Software - 0.0%
1,110 (g)(jPerseus Holding Corp. (144A) 0
TOTAL PREFERRED STOCK
(Cost $0) 0
RIGHTS/WARRANTS - 0.0% of Net Assets
Real Estate - 0.0%
Real Estate Development - 0.0%
750,000 (i)(jNeo-China Group Holdings, Ltd., Expires 7/22/12 (144A) 14,487
TOTAL RIGHTS/WARRANTS
(Cost $17,012) 14,487
ESCROW HOLDINGS - 0.0% of Net Assets
Energy - 0.0%
Oil & Gas Refining & Marketing - 0.0%
1,140,00(g)(jVerasun Energy Corp. 0
Total Energy 0
Automobiles & Components - 0.0%
Auto Parts & Equipment - 0.0%
50,000 (g)(jLear Corp. 0
Total Automobiles & Components 0
TOTAL ESCROW HOLDINGS
(Cost $0) 0
TEMPORARY CASH INVESTMENTS - 7.9% of Net Assets
Repurchase Agreements - 2.5%(k)
4,000,000 BNP Paribas, 0.21% dated 7/30/10, repurchase price of
$4,000,000 plus accrued interest
on 8/2/10 collateralized by the following:
$1,529,283 Federal Home Loan Mortgage Corp., 2.416% -
6.858%, 6/1/24
$2,594,684 Federal National Mortgage Association (ARM),
1.452% - 6.
$71,975 Freddie Mac Giant, 4.0%, 1/20/40 4,000,000
Total Repurchase Agreements 4,000,000
Securities Lending Collateral - 5.4%(k)
Certificates of Deposit:
245,134 Bank of Nova Scotia, 0.47%, 9/7/10 245,134
171,594 BBVA NY, 0.539%, 7/26/11 171,594
245,134 BBVA NY, 0.55%, 8/16/10 245,134
269,648 CBA, 0.558%, 1/3/11 269,648
147,081 DNB Nor Bank ASA NY, 0.485%, 8/26/10 147,081
245,134 Nordea NY, 0.5%, 12/10/10 245,134
245,134 Royal Bank of Canada NY, 0.337%, 1/21/11 245,134
1,568,859
Commercial Paper:
98,054 American Honda Finance, 0.371%, 4/15/11 98,054
147,081 American Honda Finance, 0.378%, 5/4/11 147,081
32,428 Caterpillar Financial Services Corp., 0.555%, 8/20/10 32,428
196,050 CHARFD, 8/23/10 196,050
48,988 CHARFD, 10/15/10 48,988
147,022 CLIPPR, 9/1/10 147,022
97,969 CLIPPR, 10/8/10 97,969
221,504 CME, 1.00% 8/6/10 221,504
102,071 FAIRPP, 8/16/10 102,071
122,515 FASCO, 9/2/10 122,515
112,705 FASCO, 9/9/10 112,705
245,176 Federal Home Loan Bank, 0.37%, 6/1/11 245,176
122,556 General Electric Capital Corp., 0.548% 1/26/11 122,556
26,718 General Electric Capital Corp., 0.594%, 10/6/10 26,718
26,534 General Electric Capital Corp., 0.602%, 10/21/10 26,534
24,494 General Electric Capital Corp., 0.618%, 6/6/11 24,494
73,546 General Electric Capital Corp., 0.645%, 8/20/10 73,546
207,241 JPMorgan Chase & Co., 0.858%, 9/24/10 207,241
122,556 OLDLLC, 8/12/10 122,556
115,938 OLDLLC, 8/16/10 115,938
122,553 PARFIN, 8/11/10 122,553
245,118 RANGER, 8/9/10 245,118
147,022 SANTANDER, 8/23/10 147,022
367,693 SOCNAM, 8/3/10 367,693
196,052 SRCPP, 8/30/10 196,052
48,989 SRCPP, 10/12/10 48,989
172,057 STRAIT, 8/23/10 172,057
73,493 STRAIT, 10/4/10 73,493
118,300 TBLLC, 8/9/10 118,300
122,473 TBLLC, 10/12/10 122,473
245,134 Toyota Motor Credit Corp., 0.343%, 1/10/11 245,134
244,929 VARFUN, 10/25/10 244,929
147,088 Wachovia Corp., 0.638%, 3/22/11 147,088
245,134 Westpac, 0.501%, 7/29/11 245,134
98,040 WFC, 0.606%, 12/2/10 98,040
4,885,221
Tri-party Repurchase Agreements:
433,648 Barclays Capital Markets, 0.21%, 8/2/10 433,648
367,701 Deutsche Bank Securities, Inc., 0.20%, 8/2/10 367,701
735,403 RBS Securities, Inc., 0.21%, 8/2/10 735,403
1,536,752
Shares Money Market Mutual Funds
367,702 Blackrock Liquidity Temporary Cash Fund 367,702
367,702 Dreyfus Preferred Money Market Fund 367,702
735,404
Total Securities Lending Collateral 8,726,236
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $12,726,236) 12,726,236
TOTAL INVESTMENTS IN SECURITIES - 144.9%
(Cost $237,216,915)(l) 232,824,527
OTHER ASSETS AND LIABILITIES - (44.9)% -72,107,470
NET ASSETS APPLICABLE TO COMMON SHAREOWNERS - 100.0%60,717,057
NR Security not rated by S&P or Moody's.
(144A) Security is exempt from registration under Rule 144A of the
securities
securities may be resold normally to qualified institutional
buyers in
from registration. At July 31, 2010, the fair value of these
securities amounted to
$98,162,696 or 61.1% of total net assets applicable to common
Shareowners
(a) Floating rate note. The rate shown is the coupon rate at July
31, 2010
(b)
(b) Security is in default and is non-income producing.
(c) Payment-in-Kind (PIK) security which may pay interest in
(d) additional pri
(e) Security is a perpetual bond and has no definite maturity
(f) date.
(e) Debt obligation initially issued at one coupon rate which
(f) converts to a
The coupon rate shown is the coupon rate at July 31, 2010.
(f) Security is priced as a unit.
(g) Security is fair valued using fair value methods (other than
(h) prices sup
(i) Floating rate loan interests in which the Trust invests
(j) generally pay i
reference to a base lending rate plus a premium. These base l
lending rate
European banks, such as LIBOR (London InterBank Offered
Rate),(ii) the
(iii) the certificate of deposit (iv) other base lending rates
used by
rate accruing at July 31, 2010.
(i) Indicates a security that has been deemed illiquid. The
(ii) aggregate cost
$17,012. The aggregate fair value $14,487 represents 0.0% of
total net
(j) Non-income producing.
(k) Securities lending collateral is managed by Credit Suisse AG,
York
(k) At July 31, 2010, the net unrealized loss on investments based
(l) on cost of $238,299,793 was as follows:
Aggregate gross unrealized gain for all investments in which
there is an excess of value over tax cost $9,487,844
Aggregate gross unrealized loss for all investments in which
there is an excess of tax cost over value (14,963,110)
Net unrealized loss $(5,475,266)
For financial reporting purposes net unrealized loss was
$4,392,388 and investments aggregated $237,216,915.
(m) At July 31, 2010, the following securities were out on loan:
Principal
Amount
USD ($) Description Value
970,000 Allison Transmission, Inc., 11.0%, 11/1/15 (144A) 1,042,750
100,000 Bumi Capital Pte, Ltd., 12.0%, 11/10/16 (144A) 102,750
170,000 BWAY Holding Co., 10.0%, 6/15/18 (144A) 180,200
348,000 CEVA Group PLC, 11.5%, 4/1/18 (144A) 360,554
495,000 Cricket Communications, Inc., 9.375%, 11/1/14 511,706
874,000 DASA Finance Corp., 8.75%, 5/29/18 (144A) 948,290
250,000 Digicel Group, Ltd., 10.5%, 4/15/18 (144A) 267,500
1,130,000 First Data Corp., 9.875%, 9/24/15 909,650
782,000 OJSC Vimpel Communications, 9.125%, 4/30/18 (144A) 894,413
400,000 Sally Holdings LLC, 10.5%, 11/15/16 436,000
247,000 Sino-Forest Corp., 10.25%, 7/28/14 (144A) 271,700
210,000 Surgical Care Affiliates, Inc., 10.0%, 7/15/17 (144A) 210,525
600,000 Tenneco, Inc., 8.625%, 11/15/14 618,000
495,000 Texas Competitive Electric Holdings Co. LLC, 10.25%, 331,650
1,000,000 Univision Communications, Inc., 9.75%, 3/15/15 (144A) 910,000
300,000 Yankee Acquisition Corp., 9.75%, 2/15/17 312,000
$8,307,688
Glossary of Terms:
LC - Letter of Credit
Note: Principal amounts are denominated in U.S.
dollars unless otherwise denoted.
BRL - Brazilian Real
EURO - Euro
NOK - Norwegian Krone
Purchases and sales of securities (excluding temporary cash
investments $14,191,279 and $15,880,201, respectively.
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 July
31, 2010, in valuing the Fund's assets:
Level 1 Level 2 Level 3 Total
Asset Backed Secururities $0 $2,781,555 $0 $2,781,555
Collateralized Mort oblig 0 1,600,516 0 1,600,516
Corporate Bonds(sys.software) 0 0 513,749 513,749
Corporate Bonds(other) 0 150,101,314 0 150,101,314
Convertible Bonds & Notes 0 5,017,170 0 5,017,170
Sovereign debt. obligations 0 1,007,425 0 1,007,425
Floating Rate Loan interests 0 56,947,179 0 56,947,179
Common Stock (steel) 0 0 117,044 117,044
Common Stock (other industries) 1,424,351 26,101 0 1,450,452
Convertible Preferred stock 547,400 0 0 547,400
Preferred stock 0 0 0 0
Rights/ Warrants 0 14,487 0 14,487
Escrow holdings 0 0 0 0
Temporary Cash Investments 0 11,990,832 0 11,990,832
Money Market Mutual funds 735,404 0 0 735,404
Total $2,707,155 $229,486,579 $ 630,793 $232,824,527
Other Financial Instruments ($14,335) $0 $0 ($14,335)
* Other financial instruments Include foreign exchange contracts.
Following is a reconciliation of assets valued using
significant unobservable inputs (Level 3):
Fixed
Corp. Bonds Floating
& Notes Rate Loans Common Stock
(systems software) (steel) (steel)
Balance as of 4/30/10 $513,749 $891,034 $117,044
Realized gain (loss) 0 0 0
Change in unrealized app/(dep) 0 (63,090) 0
Net purchases (sales) 0 830 0
Transfers in and out of level 3* 0 (828,774) 0
Balance as of 7/31/10 $513,749 $0 $117,044
ITEM 2. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant's principal executive
and principal financial officers, or persons performing similar functions,
regarding the effectiveness of the registrant's disclosure
controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR
270.30a-3(c))) as of a date within 90 days of the filing date of the report
that includes the disclosure required by this paragraph, based on the
evaluation of these controls and procedures required by Rule 30a-3(b)
under the Act (17 CFR 270.30a-3(b))) and Rule 13a-15(b) or 15d-15(b)
under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
The registrant's principal executive officer and principal financial officer
have concluded that the registrant's disclosure controls and procedures are
effective based on 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 CFR 270.30a-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(a) under the Act
(17 CFR 270.30a-2(a)).
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 29, 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 September 29, 2010
By (Signature and Title)* /s/ Mark Bradley
Mark Bradley, Treasurer
Date September 29, 2010
* Print the name and title of each signing officer under his or her signature.