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.