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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22014
Pioneer Diversified High Income Trust
(Exact name of registrant as specified in charter)
60 State Street, Boston, MA 02109
(Address of principal executive offices) (ZIP code)
Dorothy E. Bourassa, Pioneer Investment Management, Inc.,
60 State Street, Boston, MA 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: (617) 742-7825
Date of fiscal year end: April 30
Date of reporting period: July 31, 2008
Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (239.24 and 274.5 of this
chapter), to file reports with the Commission, not later than 60 days after
close of the first and third fiscal quarters, pursuant to Rule 30b1-5under
the Investment Company Act of 1940 (17 CFR 270.30b-5). The Commission may
use the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-Q
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. Schedule of Investments.
Pioneer Diversified High Income Trust
SCHEDULE OF INVESTMENTS 7/31/08 (unaudited)
Principal
Amount
USD ($) Value ($)
ASSET BACKED SECURITIES - 0.1% of Net Assets
Banks - 0.1%
Thrifts & Mortgage Finance - 0.1%
246,741 (a) Ace Securities Corp., 3.061%, 12/25/34 188,805
TOTAL ASSET BACKED SECURITIES 188,805
(Cost $207,132)
COLLATERALIZED MORTGAGE OBLIGATIONS - 5.8% of Net Assets
Consumer Services - 0.2%
Restaurants - 0.2%
500,000 DB Master Finance LLC, 8.285%, 6/20/31 (144A) 375,995
Total Consumer Services 375,995
Banks - 4.5%
Thrifts & Mortgage Finance - 4.5%
500,000 (a) Adjustable Rate Mortgage Trust, 2.851%, 6/25/3 346,435
143,838 (a) Banc of America Funding Corp., 2.678%, 4/20/35 136,646
1,278,768(a) Bayview Financial Acquisition Trust, 2.85%, 8/ 1,088,710
1,967,915(a) Bayview Financial Acquisition Trust, 3.09%, 5/ 1,757,743
200,000 (a) Carrington Mortgage Loan Trust, 2.561%, 10/25/ 183,224
699,000 (a) Carrington Mortgage Loan Trust, 2.661%, 2/25/3 619,230
308,006 (a) Countrywide Home Loans, 2.811%, 3/25/35 164,296
250,000 (a) Credit-Based Asset Servicing and Securitizatio 217,685
1,527,007(a) Impac CMB Trust, 3.221%, 1/25/35 1,062,788
379,227 (a) Lehman XS Trust, 2.581%, 8/25/36 280,204
845,136 (a) Lehman XS Trust, 2.811%, 12/25/35 385,903
820,338 (a) Luminent Mortgage Trust, 2.721%, 7/25/36 231,615
221,220 (a) Residential Asset Mortgage Products, Inc., 2.6 211,177
495,429 (a) WaMu Mortgage Pass-Through Certificates, 2.691 326,150
1,656,970(a) WaMu Mortgage Pass-Through Certificates, 2.941 696,065
Total Banks 7,707,871
Diversified Financials - 1.1%
Other Diversified Financial Services - 0.6%
410,000 (a) Bear Stearns Asset Backed Securities Trust, 3. 314,845
815,279 (a) DSLA Mortgage Loan Trust, 2.828%, 10/19/45 372,896
560,505 (a) DSLA Mortgage Loan Trust, 2.878%, 10/19/45 269,042
81,808 (a) First Franklin Mortgage Loan Asset-Backed Cert 75,396
1,032,179
Investment Banking & Brokerage - 0.5%
250,000 (a) GSAMP Trust, 2.591%, 1/25/37 226,862
243,338 (a) GSAMP Trust, 2.891%, 3/25/35 215,642
446,351 (a) Option One Mortgage Loan Trust, 2.551%, 5/25/3 440,843
883,347
Total Diversified Financials 1,915,526
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $10,980,570) 9,999,392
CORPORATE BONDS & NOTES - 90.1% of Net Assets
Energy - 7.2%
Oil & Gas Drilling - 0.9%
NOK 5,000,000 Norwegian Energy Co. AS, 11.0%, 7/13/10 (144A) 930,237
NOK 1,500,000 Petrolia Drilling ASA, 12.0%, 6/20/12 (144A) 283,454
300,000 Skeie Drilling & Production ASA, 11.25%, 3/8/1 267,000
1,480,691
Oil & Gas Equipment & Services - 0.7%
350,000 Complete Production Services, Inc., 8.0%, 12/1 347,375
300,000 Nexus 1 Pte, Ltd., 10.5%, 3/7/12 (144A) 270,000
700,000 (a) Sevan Marine ASA, 5.78%, 5/14/13 (144A) 637,000
1,254,375
Oil & Gas Exploration & Production - 2.9%
500,000 Harvest Operations Corp., 7.875%, 10/15/11 452,500
970,000 Hilcorp Energy I L.P./Hilcorp Finance Co., 9.0 950,600
NOK 2,000,000 PA Resources AB, 8.75%, 3/10/10 366,250
675,000 Parallel Petroleum Corp., 10.25%, 8/1/14 669,938
NOK 3,000,000 Petromena AS, 9.75%, 5/24/12 (144A) 572,753
225,000 PetroQuest Energy, Inc., 10.375%, 5/15/12 231,750
250,000 (a) SandRidge Energy, Inc., 6.416%, 4/1/14 (144A) 245,384
335,000 SandRidge Energy, Inc., 8.0%, 6/1/18 (144A) 331,650
600,000 (b) SandRidge Energy, Inc., 8.625%, 4/1/15 (144A) 605,250
600,000 Tristan Oil, Ltd., 10.5%, 1/1/12 (144A) 588,000
150,000 Quicksilver Resources, Inc., 7.125%, 4/1/16 129,375
5,143,450
Oil & Gas Refining & Marketing - 0.6%
955,000 (j) Aventine Renewable Energy Holdings, Inc., 10.0 611,200
580,000 VeraSun Energy Corp., 9.375%, 6/1/17 304,500
50,000 VeraSun Energy Corp., 9.875%, 12/15/12 42,500
958,200
Oil & Gas Storage & Transportation - 0.9%
490,000 Inergy L.P., 8.25%, 3/1/16 471,625
250,000 LPG International, Inc., 7.25%, 12/20/15 251,562
1,185,000 Transportadora de Gas del Sur SA, 7.875%, 5/14 912,450
1,635,637
Coal & Consumable Fuels - 1.2%
900,000 Massey Energy Co., 6.875%, 12/15/13 880,875
1,200,000 Oceanografia SA de CV, 11.25%, 7/15/15 (144A) 1,170,000
2,050,875
Total Energy 12,523,228
Materials - 9.7%
Commodity Chemicals - 1.1%
400,000 ARCO Chemical Co., 9.8%, 2/1/20 296,000
1,750,000(j) Georgia Gulf Corp., 10.75%, 10/15/16 910,000
500,000 Invista, 9.25%, 5/1/12 (144A) 505,000
EURO 200,000 Kronos International, Inc., 6.5%, 4/15/13 185,671
1,896,671
Diversified Chemicals - 1.0%
EURO 1,275,000 Ineos Group Holdings Plc, 7.875%, 2/15/16 (144 1,268,197
650,000 Montell Finance Co. BV, 8.1%, 3/15/27 (144A) 377,000
1,645,197
Specialty Chemicals - 0.1%
350,000 Tronox Worldwide LLC/Tronox Finance Corp., 9.5 217,000
Construction Materials - 0.5%
500,000 AGY Holding Corp., 11.0%, 11/15/14 447,500
500,000 U.S. Concrete, Inc., 8.375%, 4/1/14 415,000
862,500
Metal & Glass Containers - 0.6%
EURO 625,000 Impress Holdings BV, 9.25%, 9/15/14 (144A) 833,762
330,000 Vitro, S.A.B. de CV, 9.125%, 2/1/17 245,025
1,078,787
Paper Packaging - 1.8%
1,145,000 AEP Industries, Inc., 7.875%, 3/15/13 916,000
600,000 Exopack Holding Corp., 11.25%, 2/1/14 534,000
700,000 (j) Graham Packaging Co., Inc., 9.875%, 10/15/14 598,500
500,000 Graphic Packaging International, Inc., 9.5%, 8 465,000
750,000 U.S. Corrugated, Inc., 10.0%, 6/1/13 532,500
3,046,000
Aluminum - 1.5%
700,000 (j) Aleris International, Inc., 10.0%, 12/15/16 483,000
600,000 Asia Aluminum Holdings, Ltd., 8.0%, 12/23/11 ( 570,000
300,000 CII Carbon LLC, 11.125%, 11/15/15 (144A) 292,500
500,000 Indalex Holding Corp., 11.5%, 2/1/14 285,000
1,200,000(a) Noranda Aluminium Acquisition Corp., 6.828%, 5 1,038,000
2,668,500
Diversified Metals & Mining - 0.8%
350,000 American Rock Salt Co. LLC, 9.5%, 3/15/14 367,500
195,000 FMG Finance Pty., Ltd., 10.625%, 9/1/16 (144A) 226,200
750,000 Vedanta Resources Plc, 9.5%, 7/18/18 (144A) 742,500
1,336,200
Steel - 1.7%
1,245,000 Algoma Acquisition Corp., 9.875%, 6/15/15 (144 1,170,300
320,000 Blaze Recycling & Metals LLC, 10.875%, 7/15/12 319,200
EURO 600,000 (c) Bulgaria Steel Finance BV, 12.0%, 5/4/13 337,016
250,000 (j) Evraz Group SA, 9.5%, 4/24/18 (144A) 240,950
EURO 107,128 New Reclamation Group Pty., Ltd., 8.125%, 2/1/ 135,389
920,000 Ryerson, Inc., 12.0%, 11/1/15 (144A) 897,000
EURO 50,000 Zlomrex International Finance SA, 8.5%, 2/1/14 54,609
3,154,464
Forest Products - 0.5%
250,000 (c)(j)Ainsworth Lumber Co., Ltd., 7.25%, 10/1/12 (14 102,500
500,000 Mandra Forestry Holdings, Ltd., 12.0%, 5/15/13 465,000
250,000 Sino-Forest Corp., 9.125%, 8/17/11 (144A) 253,125
820,625
Total Materials 16,725,944
Capital Goods - 5.6%
Building Products - 0.2%
300,000 (a)(d)C8 Capital SPV, Ltd., 6.64% (144A) 273,948
Construction & Engineering - 1.0%
500,000 Cia Latinoamericana de Infraestructura & Servi 390,000
350,000 Dycom Industries, Inc., 8.125%, 10/15/15 330,750
1,220,000 Industrias Metalurgicas Pescarmona SA, 11.25%, 1,061,400
1,782,150
Electrical Components & Equipment - 0.5%
930,000 (d) Rede Empresas de Energia Eletrica SA, 11.125% 893,962
Construction & Farm Machinery & Heavy Trucks - 3.0%
850,000 Accuride Corp., 8.5%, 2/1/15 578,000
530,000 (j) Allison Transmission, Inc., 11.0%, 11/1/15 (14 479,650
500,000 (b) Allison Transmission, Inc., 11.25%, 11/1/15 (1 435,000
720,000 American Railcar Industries, Inc., 7.5%, 3/1/1 666,000
770,000 Commercial Vehicle Group, Inc., 8.0%, 7/1/13 654,500
500,000 Esco Corp., 8.625%, 12/15/13 (144A) 498,750
1,200,000 Greenbrier Companies, Inc., 8.375%, 5/15/15 1,087,500
500,000 (e) Stanadyne Corp., 0.0%, 2/15/15 378,750
160,000 Stanadyne Corp., 10.0%, 8/15/14 154,400
400,000 Titan International, Inc., 8.0%, 1/15/12 390,000
5,322,550
Industrial Machinery - 0.6%
1,175,000 Mueller Water Products, Inc., 7.375%, 6/1/17 963,500
Trading Companies & Distributors - 0.2%
125,000 United Rentals North America, Inc., 6.5%, 2/15 112,813
300,000 Wesco Distribution, Inc., 7.5%, 10/15/17 267,000
379,813
Total Capital Goods 9,615,923
Commercial Services & Supplies - 1.0%
Diversified Commercial & Professional Services - 1.0%
425,000 (a) NCO Group, Inc., 7.551%, 11/15/13 332,563
900,000 NCO Group, Inc., 11.875%, 11/15/14 717,750
740,000 Park-Ohio Industries, Inc., 8.375%, 11/15/14 610,500
Total Commercial Services & Supplies 1,660,813
Transportation - 0.6%
Air Freight & Logistics - 0.5%
775,000 CEVA Group Plc, 10.0%, 9/1/14 (144A) 782,750
Railroads - 0.1%
240,000 Kansas City Southern de Mexico, 7.625%, 12/1/1 235,200
Total Transportation 1,017,950
Automobiles & Components - 1.3%
Auto Parts & Equipment - 1.3%
985,000 Cooper-Standard Automotive, Inc., 8.375%, 12/1 699,350
1,140,000 Lear Corp., 8.75%, 12/1/16 900,600
700,000 Tenneco, Inc., 8.625%, 11/15/14 588,000
Total Automobiles & Components 2,187,950
Consumer Durables & Apparel - 1.4%
Homebuilding - 0.8%
750,000 Desarrolladora Metropolitana SA de CV, 10.875% 757,500
695,000 Meritage Homes Corp., 6.25%, 3/15/15 538,625
1,296,125
Housewares & Specialties - 0.1%
200,000 (j) Jarden Corp., 7.5%, 5/1/17 174,000
Household Products - 0.5%
1,200,000(j) Yankee Acquisition Corp., 8.5%, 2/15/15 882,000
Total Consumer Durables & Apparel 2,352,125
Consumer Services - 3.1%
Casinos & Gaming - 3.1%
500,000 Buffalo Thunder Development Authority, 9.375%, 290,000
EURO 1,155,000 Codere Finance Luxembourg SA, 8.25%, 6/15/15 ( 1,504,751
305,000 FireKeepers Development Authority, 13.875%, 5/ 280,600
550,000 Fontainebleau Las Vegas Holdings LLC, 10.25%, 291,500
95,000 Galaxy Entertainment Finance Co., Ltd., 9.875% 91,675
275,000 Little Traverse Bay Bands of Odawa Indians, 10 228,250
1,615,000 Mashantucket Western Pequot Tribe, 8.5%, 11/15 1,243,550
EURO 50,000 Peermont Global, Ltd., 7.75%, 4/30/14 (144A) 61,435
750,000 (j) Station Casinos, Inc., 6.625%, 3/15/18 330,000
750,000 (j) Trump Entertainment Resorts, Inc., 8.5%, 6/1/1 369,375
EURO 405,000 Unibet Group Plc, 9.7%, 12/21/10 647,702
Total Consumer Services 5,338,838
Media - 1.8%
Broadcasting & Cable Television - 0.9%
40,000 (j) CCH I LLC, 11.0%, 10/1/15 30,300
250,000 CCH II LLC, 10.25%, 9/15/10 237,500
400,000 Kabel Deutschland GmbH, 10.625%, 7/1/14 409,000
1,245,000(b)(j)Univision Communications, Inc., 9.75%, 3/15/15 903,474
1,580,274
Educational Services - 0.3%
600,000 TL Acquisitions, Inc., 10.5%, 1/15/15 (144A) 528,000
Publishing - 0.6%
576,469 (b) AAC Group Holding Corp., 14.75%, 10/1/12 501,541
250,000 Sheridan Group, Inc., 10.25%, 8/15/11 230,000
250,000 (e) Visant Holding Corp., 0.0%, 12/1/13 241,250
972,791
Total Media 3,081,065
Retailing - 1.4%
Distributors - 0.3%
500,000 Intcomex, Inc., 11.75%, 1/15/11 450,000
Internet Retail - 0.3%
465,000 Ticketmaster, 10.75%, 8/1/16 (144A) 481,275
General Merchandise Stores - 0.1%
205,000 (j) Central Garden and Pet Co., 9.125%, 2/1/13 168,100
EURO 74,000 (a) Edcon Holdings Pty., Ltd., 10.458%, 6/15/15 (1 59,461
227,561
Auto Dealer Services - 0.2%
500,000 (j) KAR Holdings, Inc., 10.0%, 5/1/15 (144A) 415,000
Specialty Stores - 0.5%
950,000 (j) Sally Holdings LLC, 10.5%, 11/15/16 914,375
Total Retailing 2,488,211
Food & Staples Retailing - 0.1%
Drug Retail - 0.1%
275,000 (j) Duane Reade, Inc., 9.75%, 8/1/11 242,000
Total Food & Staples Retailing 242,000
Food, Beverage & Tobacco - 3.1%
Distillers & Vintners - 0.1%
EURO 330,000 (c) Belvedere SA, 8.106%, 5/15/13 (144A) 195,656
Agricultural Products - 0.2%
275,000 (e) SA Fabrica de Produtos Alimenticios Vigor, 9.2 269,500
269,500
Packaged Foods & Meats - 2.0%
1,000,000 Arantes International, Ltd., 10.25%, 6/19/13 ( 920,830
400,000 Bertin Ltda, 10.25%, 10/5/16 (144A) 418,000
400,000 Independencia International, Ltd., 9.875%, 5/1 391,500
700,000 Marfrig Overseas, Ltd., 9.625%, 11/16/16 (144A 674,625
1,175,000 Minerva Overseas, Ltd., 9.5%, 2/1/17 (144A) 1,089,812
3,494,767
Tobacco - 0.8%
1,360,000 Alliance One International, Inc., 8.5%, 5/15/1 1,275,000
125,000 Alliance One International, Inc., 11.0%, 5/15/ 127,812
1,402,812
Total Food, Beverage & Tobacco 5,362,735
Health Care Equipment & Services - 4.0%
Health Care Equipment & Services - 1.7%
750,000 Accellent, Inc., 10.5%, 12/1/13 690,000
400,000 Angiotech Pharmaceuticals, Inc., 7.75%, 4/1/14 300,000
1,265,000(b) Biomet, Inc., 10.375%, 10/15/17 1,334,575
535,000 DASA Finance Corp., 8.75%, 5/29/18 (144A) 529,650
2,854,225
Health Care Supplies - 0.3%
420,000 Hanger Orthopedic Group, Inc., 10.25%, 6/1/14 438,375
Health Care Services - 0.2%
500,000 Rural/Metro Corp., 9.875%, 3/15/15 452,500
Health Care Facilities - 1.2%
575,000 Community Health Systems, Inc., 8.875%, 7/15/1 579,312
725,000 (b) Surgical Care Affiliates, Inc., 8.875%, 7/15/1 632,563
1,170,000 Surgical Care Affiliates, Inc., 10.0%, 7/15/17 900,900
2,112,775
Managed Health Care - 0.6%
500,000 (a) Medical Services Co., 10.291%, 10/15/11 515,000
500,000 Multiplan, Inc., 10.375%, 4/15/16 (144A) 490,000
1,005,000
Total Health Care Equipment & Services 6,862,875
Pharmaceuticals & Biotechnology & Life Sciences - 0.3%
Pharmaceuticals - 0.3%
250,000 Phibro Animal Health Corp., 10.0%, 8/1/13 (144 247,500
200,000 Phibro Animal Health Corp., 13.0%, 8/1/14 (144 196,000
150,000 Warner Chilcott Corp., 8.75%, 2/1/15 152,250
Total Pharmaceuticals & Biotechnology & Life S 595,750
Banks - 1.7%
Diversified Banks - 1.7%
750,000 (a)(d)ALB Finance BV, 9.375% 413,730
250,000 ATF Capital BV, 9.25%, 2/21/14 (144A) 248,750
500,000 (a) Banco Macro SA, 9.75%, 12/18/36 317,500
700,000 (a) Banco Macro SA, 10.75%, 6/7/12 455,000
200,000 JSC TemirBank, 9.5%, 5/21/14 (144A) 163,000
300,000 Petrocommerce Finance SA, 8.75%, 12/17/09 298,500
500,000 TuranAlem Finance BV, 8.5%, 2/10/15 (144A) 392,500
EURO 445,000 URSA Bank, 7.0%, 5/21/10 646,754
Total Banks 2,935,734
Diversified Financials - 0.6%
Consumer Finance - 0.6%
750,000 ACE Cash Express, Inc., 10.25%, 10/1/14 (144A) 558,750
550,000 Russian Standard Finance SA, 7.5%, 10/7/10 (14 506,000
1,064,750
Total Diversified Financials 1,064,750
Insurance - 34.2%
Insurance Brokers - 1.1%
250,000 Alliant Holdings I, Inc., 11.0%, 5/1/15 (144A) 222,500
1,050,000 HUB International Holdings, Inc., 10.25%, 6/15 840,000
500,000 (a) USI Holdings Corp., 6.551%, 11/15/14 (144A) 400,000
500,000 USI Holdings Corp., 9.75%, 5/15/15 (144A) 403,750
1,866,250
Monoline Insurance - 0.3%
860,000 (a) MBIA Insurance Corp., 14.0%, 1/15/33 (144A) 473,000
Multi-Line Insurance - 1.0%
1,000,000(a) Liberty Mutual Group, Inc., 7.0%, 3/15/37 (144 812,689
1,000,000(a) Liberty Mutual Group, Inc., 10.75%, 6/15/58 (1 920,000
65,000 Sul America Participacoes SA, 8.625%, 2/15/12 67,113
1,799,802
Property & Casualty Insurance - 0.1%
625,000 (a)(j)AMBAC Financial Group, Inc., 6.15%, 2/15/37 142,399
Reinsurance - 31.7%
2,250,000(a) AKIBARE, 5.608%, 5/22/12 (144A) 2,265,300
1,500,000(a) AKIBARE, 5.808%, 5/22/12 (144A) 1,507,050
3,000,000(a) Atlantic & Western Re, Ltd., 9.041%, 1/9/09 (1 2,979,600
EURO 1,500,000(a) Atlas Reinsurance Plc, 15.197%, 1/10/11 (144A) 2,375,491
3,500,000(a) Australis, Ltd., 6.434%, 3/24/09 (144A) 3,504,900
3,000,000(a)(j)Australis, Ltd., 6.748%, 2/3/09 (144A) 3,015,900
4,500,000(a) Blue Fin, Ltd., 7.189%, 4/10/12 (144A) 4,423,950
1,000,000(a) Caelus Re, Ltd., 8.923%, 6/7/11 (144A) 997,200
2,000,000(a) Calabash Re, Ltd., 11.138%, 6/1/09 (144A) 2,005,400
1,000,000(a) Calabash Re II, Ltd., 11.214%, 1/8/10 (144A) 991,300
1,500,000(a) Calabash Re II, Ltd., 12.414%, 1/8/10 (144A) 1,577,850
1,000,000(a) Carillon, Ltd., 18.026%, 1/10/11 (144A) 993,900
1,500,000(a) East Lane Re, Ltd., 9.873%, 5/6/11 (144A) 1,488,450
3,000,000(a) Fhu-Jin, Ltd., 6.684%, 8/10/11 (144A) 3,054,300
3,750,000(a) Foundation Re, Ltd., 6.795%, 11/24/08 (144A) 3,659,625
1,000,000(a) GlobeCat, Ltd., 8.783%, 1/2/13 (144A) 1,020,600
350,000 (a) GlobeCat, Ltd., 12.033%, 1/2/13 (144A) 350,035
EURO 1,500,000(a) Green Valley, Ltd., 8.562%, 1/10/11 (144A) 2,341,790
2,000,000(a) Muteki, Ltd., 7.078%, 5/24/11 (144A) 1,985,400
1,000,000(a) Nelson Re, Ltd., 7.069%, 6/6/11 (144A) 1,000,200
1,000,000(a) Newton Re, Ltd., 6.452%, 12/24/10 (144A) 1,002,100
1,000,000(a) Newton Re, Ltd., 9.752%, 12/24/10 (144A) 972,700
2,500,000(a) Redwood Capital X, Ltd., 12.041%, 1/9/09 (144A 2,502,250
2,000,000(a) Redwood Capital X, Ltd., 16.041%, 1/9/09 (144A 2,002,400
1,500,000(a) Residential Reinsurance 2006, Ltd., 12.682%, 6 1,486,050
2,000,000(a) Residential Reinsurance 2008, Ltd., 14.149%, 6 1,987,600
440,000 (a) Successor II, Ltd., 19.422%, 4/6/10 (144A) 432,784
2,500,000(a) Successor II, Ltd., 27.672%, 4/6/10 (144A) 2,412,250
500,000 (a) Willow Re, Ltd., 7.924%, 6/16/10 (144A) 499,750
54,836,125
Total Insurance 59,117,576
Real Estate - 0.5%
Real Estate Management & Development - 0.5%
100,000 (a) Alto Palermo SA, 11.0%, 6/11/12 (144A) 75,500
105,000 China Properties Group, Ltd., 9.125%, 5/4/14 ( 70,350
410,000 IRSA Inversiones y Representaciones SA, 8.5%, 283,925
955,000 Neo-China Group Holdings, Ltd., 9.75%, 7/23/14 401,100
Total Real Estate 830,875
Software & Services - 2.6%
IT Consulting & Other Services - 0.8%
400 (f) MSX International UK, 12.5%, 4/1/12 (144A) 272,000
1,390,000 Vangent, Inc., 9.625%, 2/15/15 1,172,813
1,444,813
Data Processing & Outsourced Services - 1.4%
1,690,000 First Data Corp., 9.875%, 9/24/15 (144A) 1,495,650
1,110,000 Pegasus Solutions, Inc., 10.5%, 4/15/15 (144A) 832,500
2,328,150
Application Software - 0.4%
405,000 Activant Solutions, Inc., 9.5%, 5/1/16 307,800
500,000 Open Solutions, Inc., 9.75%, 2/1/15 (144A) 387,500
695,300
Total Software & Services 4,468,263
Technology Hardware & Equipment - 0.2%
Electronic Manufacturing Services - 0.0%
70,000 Sanmina-SCI Corp., 6.75%, 3/1/13 62,300
Technology Distributors - 0.2%
250,000 Da-Lite Screen Co., Inc., 9.5%, 5/15/11 240,000
Total Technology Hardware & Equipment 302,300
Semiconductors & Semiconductor Equipment - 1.1%
Semiconductors - 1.1%
650,000 (b) Freescale Semiconductor, Inc., 9.125%, 12/15/1 526,500
1,750,000(j) Freescale Semiconductor, Inc., 10.125%, 12/15/ 1,373,750
Total Semiconductors & Semiconductor Equipment 1,900,250
Telecommunication Services - 6.2%
Integrated Telecommunication Services - 3.3%
910,000 Broadview Networks Holdings, Inc., 11.375%, 9/ 809,900
1,200,000 GC Impsat Holdings I Plc, 9.875%, 2/15/17 (144 1,080,000
1,250,000 GCI, Inc., 7.25%, 2/15/14 1,087,500
1,000,000 Intelsat Subsidiary Holding Co., Ltd., 8.5%, 1 990,000
1,260,000 PAETEC Holding Corp., 9.5%, 7/15/15 1,148,175
142,000 Tele Norte Leste Participacoes SA, 8.0%, 12/18 146,828
500,000 Windstream Corp., 8.625%, 8/1/16 506,250
5,768,653
Wireless Telecommunication Services - 2.8%
125,000 Alamosa Delaware, Inc., 8.5%, 1/31/12 122,500
500,000 Cell C Property, Ltd., 11.0%, 7/1/15 (144A) 511,250
500,000 (a) Cricket Communications, Inc., 9.375%, 11/1/14 490,000
400,000 Digicel, Ltd., 9.25%, 9/1/12 (144A) 408,000
EURO 500,000 (a) Hellas Telecommunications Luxembourg II, 10.96 577,295
840,000 Hughes Network Systems LLC/HNS Finance Corp., 849,450
540,000 (j) OJSC Vimpel Communications, 9.125%, 4/30/18 (1 528,143
1,330,000 True Move Co., Ltd., 10.375%, 8/1/14 (144A) 1,382,241
4,868,879
Total Telecommunication Services 10,637,532
Utilities - 2.5%
Electric Utilities - 1.6%
750,000 Cia de Transporte de Energia Electrica de Alta 519,375
2,000,000 Intergen NV, 9.0%, 6/30/17 (144A) 2,040,000
250,000 Mirant JPSCo. Finance, Ltd., 11.0%, 7/6/16 (14 263,750
2,823,125
Multi-Utilities - 0.1%
225,000 PNM Resources, Inc., 9.25%, 5/15/15 228,938
Independent Power Producers & Energy Traders - 0.8%
1,340,000 Texas Competitive Electric Holdings Co. LLC, 1 1,340,000
Total Utilities 4,392,063
TOTAL CORPORATE BONDS & NOTES
(Cost $166,972,553) 155,704,750
CONVERTIBLE BONDS & NOTES - 1.8% of Net Assets
Transportation - 0.4%
Marine - 0.4%
880,000 Horizon Lines, Inc., 4.25%, 8/15/12 696,300
Total Transportation 696,300
Health Care Equipment & Services - 0.7%
Health Care Services - 0.7%
1,550,000 Omnicare, Inc., 3.25%, 12/15/35 1,158,625
Total Health Care Equipment & Services 1,158,625
Technology Hardware & Equipment - 0.3%
Communications Equipment - 0.3%
850,000 Nortel Networks Corp., 2.125%, 4/15/14 549,312
Total Technology Hardware & Equipment 549,312
Telecommunication Services - 0.4%
Wireless Telecommunication Services - 0.4%
900,000 NII Holdings, Inc., 3.125%, 6/15/12 771,750
Total Telecommunication Services 771,750
TOTAL CONVERTIBLE BONDS & NOTES
(Cost $3,163,610) 3,175,987
FLOATING RATE LOAN INTERESTS - 39.9% of Net Assets (g)
Energy - 0.2%
Oil & Gas Exploration & Production - 0.2%
400,000 Venoco, Inc., Second Lien Term Loan, 6.688%, 9 385,750
Total Energy 385,750
Materials - 4.1%
Diversified Chemicals - 0.5%
1,000,000 Huntsman International LLC, New Dollar Term Lo 940,536
Paper Packaging - 1.1%
1,484,772 Georgia-Pacific LLC, Term Loan B, 4.399% - 4.5 1,403,963
497,500 Graphic Packaging International, Inc., Increme 478,648
1,882,611
Steel - 1.4%
1,310,930 Algoma Steel, Inc., Term Loan, 4.96%, 6/20/13 1,238,829
1,310,079 Niagara Corp., Term Loan, 7.465%, 6/29/14 1,152,870
2,391,699
Forest Products - 1.1%
1,500,000 Ainsworth Lumber Co., Ltd., Term Loan, 7.5%, 6 1,333,125
596,977 Graham Packaging Co., L.P., New Term Loan, 4.8 569,972
1,903,097
Total Materials 7,117,943
Capital Goods - 3.2%
Aerospace & Defense - 1.7%
750,000 Aeroflex, Inc., Sr. Unsecured Bridge Loan, 11. 693,750
744,375 Aeroflex, Inc., Tranche B-2 Term Loan, 6.438%, 705,295
500,231 DAE Aviation Holdings, Inc., Tranche B-1 Term 473,969
498,731 Spirit Aerosystems, Inc., Term Loan B, 4.538%, 486,574
495,623 Standard Aero, Ltd., Tranche B-2 Term Loan, 6. 493,145
2,852,733
Construction & Farm Machinery & Heavy Trucks - 1.5%
1,000,000 Accuride Corp., Term Loan, 6.0% - 6.188%, 1/31 960,417
2,000,000 Rental Service Corp., Second Lien Initial Term 1,645,000
2,605,417
Total Capital Goods 5,458,150
Commercial Services & Supplies - 1.6%
Diversified Commercial & Professional Services - 0.4%
742,500 Asset Acceptance Capital Corp., Tranche B Term 694,238
Environmental & Facilities Services - 1.2%
1,237,500 Synagro Technologies, Inc., First Lien Term Lo 1,051,875
1,033,331 Waste Services, Inc., Tranche E Term Loan, 5.1 1,026,873
2,078,748
Total Commercial Services & Supplies 2,772,986
Transportation - 1.0%
Air Freight & Logistics - 1.0%
439,482 Ceva Group Plc, Pre-Funded LC Loan, 2.596%, 11 404,323
1,327,141 Ceva Group Plc, U.S. Term Loan, 5.463%, 11/4/1 1,220,970
Total Transportation 1,625,293
Automobiles & Components - 0.5%
Tires & Rubber - 0.5%
1,000,000 Goodyear Tire & Rubber Co., Second Lien Term L 922,250
Total Automobiles & Components 922,250
Consumer Durables & Apparel - 0.7%
Homebuilding - 0.2%
2,000,000(c) LandSource Communities Development LLC, Second 271,250
Housewares & Specialties - 0.5%
925,583 Yankee Candle Company, Inc., Term Loan, 4.46% 837,653
Total Consumer Durables & Apparel 1,108,903
Consumer Services - 1.5%
Casinos & Gaming - 1.5%
1,000,000 Fontainebleau Las Vegas LLC, Initial Term Loan 821,667
189,496 Gateway Casinos & Entertainment, First Lien De 163,677
1,096,781 Gateway Casinos & Entertainment, First Lien Te 947,344
1,000,000 Gateway Casinos & Entertainment, Second Lien T 632,500
Total Consumer Services 2,565,188
Media - 2.6%
Broadcasting & Cable Television - 1.6%
1,990,000 Charter Communications Operating LLC, Replacem 1,755,968
1,000,000 Insight Midwest Holdings LLC, Term Loan B, 4.4 964,528
2,720,496
Movies & Entertainment - 0.5%
982,000 Lodgenet Entertainment Corp., Closing Date Ter 886,869
Publishing - 0.5%
948,655 RH Donnelley, Inc., Tranche D-1 Term Loan, 6.7 905,728
Total Media 4,513,093
Retailing - 0.8%
Apparel, Accessories & Luxury Goods - 0.8%
1,505,978 Hanesbrands, Inc., First Lien Term Loan B, 4.5 1,452,850
Total Retailing 1,452,850
Food, Beverage & Tobacco - 0.4%
Packaged Foods & Meats - 0.4%
746,222 Dean Foods Co., Tranche B Term Loan, 3.99% - 4 706,812
Total Food, Beverage & Tobacco 706,812
Household & Personal Products - 0.4%
Personal Products - 0.4%
795,970 Brickman Group Holdings, Inc., Tranche B Term 728,312
Total Household & Personal Products 728,312
Health Care Equipment & Services - 6.0%
Health Care Equipment & Services - 0.9%
1,732,412 Talecris Biotherapeutics Holdings Corp., First 1,598,150
Health Care Supplies - 1.5%
36,000 Bausch & Lomb, Inc., Delayed Draw Term Loan, 6 35,115
358,200 Bausch & Lomb, Inc., Parent Term Loan, 6.051%, 349,394
1,369,037 Cardinal Health, Inc., Dollar Term Loan, 5.051 1,201,330
495,000 IM US Holdings LLC, First Lien Term Loan, 4.80 467,775
600,000 IM US Holdings LLC, Second Lien Term Loan, 7.0 565,500
2,619,114
Health Care Services - 0.6%
1,037,648 HealthSouth Corp., Term Loan, 5.29%, 3/11/13 982,986
Health Care Facilities - 3.0%
907,326 Community Health Systems, Inc., Term Loan, 4.7 860,382
1,713,997 Hanger Orthopedic Group, Inc., Tranche B Term 1,654,007
1,289,190 HCA, Inc., Tranche B Term Loan, 5.051%, 11/18/ 1,214,077
496,411 Psychiatric Solutions, Inc., Term Loan, 4.208% 471,900
100,253 Sun Healthcare Group, Inc., Delayed Draw Term 93,862
162,256 Sun Healthcare Group, Inc., Synthetic LC Loan, 151,912
706,608 Sun Healthcare Group, Inc., Term Loan, 4.649% 661,562
5,107,702
Total Health Care Equipment & Services 10,307,952
Pharmaceuticals & Biotechnology & Life Sciences - 0.4%
Pharmaceuticals - 0.4%
746,250 Mylan, Inc., U.S. Tranche B Term Loan, 5.75%, 740,093
Total Pharmaceuticals & Biotechnology & Life S 740,093
Diversified Financials - 2.8%
Other Diversified Financial Services - 0.6%
997,500 Metavante Corp., Term Loan, 4.621%, 11/1/14 936,403
Consumer Finance - 1.8%
871,201 Ace Cash Express, Inc., Term Loan, 5.46% - 6.1 690,427
979,701 Collect Acquisition Corp., Facility Term Loan 953,371
998,314 Dollar Financial Corp., Canadian Borrower Term 848,567
734,054 Dollar Financial Corp., Delayed Draw Term Loan 623,946
3,116,311
Investment Banking & Brokerage - 0.4%
696,500 MSCI, Inc., Term Loan B, 5.399%, 11/20/14 696,500
Total Diversified Financials 4,749,214
Insurance - 2.9%
Insurance Brokers - 2.9%
1,488,750 Alliant Holdings I, Inc., Term Loan, 5.801%, 8 1,377,094
793,492 AmWins Group, Inc., Initial Term Loan, 4.96% - 646,696
1,000,000 AmWins Group, Inc., Second Lien Initial Term L 655,000
84,828 HUB International, Ltd., Delay Draw Term Loan, 78,094
485,667 HUB International, Ltd., Initial Term Loan, 5. 447,111
1,980,000 USI. Holdings Corp., Tranche B Term Loan, 5.56 1,831,500
Total Insurance 5,035,495
Software & Services - 1.3%
Application Software - 0.5%
994,911 Nuance Communications, Inc., Term Loan, 4.99%, 938,118
Systems Software - 0.8%
1,439,787 Vangent, Inc., Term Loan, 4.64%, 2/14/13 1,353,400
Total Software & Services 2,291,518
Technology Hardware & Equipment - 2.6%
Communications Equipment - 0.3%
675,000 Univision Communications, Inc., Initial Term L 554,239
Computer Storage & Peripherals - 1.1%
1,974,937 SunGard Data Systems, Inc., New U.S.Term Loan, 1,866,806
Electronic Equipment Manufacturers - 1.2%
1,899,818 H3C Holdings, Ltd., Tranche B Term Loan, 5.632 1,643,342
511,137 Scitor Corp., Term Loan, 6.74%, 9/26/14 500,915
2,144,257
Total Technology Hardware & Equipment 4,565,302
Semiconductors & Semiconductor Equipment - 0.5%
Semiconductors - 0.5%
989,950 Freescale Semiconductor, Inc., Term Loan, 4.22 893,603
Total Semiconductors & Semiconductor Equipment 893,603
Telecommunication Services - 2.9%
Integrated Telecommunication Services - 1.0%
161,698 Knology, Inc., Term Loan, 5.038%, 6/30/12 150,379
1,212,851 PAETEC Holding Corp., Replacement Term Loan, 4 1,165,095
440,443 Telesat Canada, U.S. Term I Loan, 5.49% - 5.9% 420,451
25,691 Telesat Canada, U.S. Term II Loan, 5.57% - 5.9 24,525
1,760,450
Wireless Telecommunication Services - 1.9%
989,899 Cricket Communications, Inc., Term Loan B, 6. 969,963
1,732,368 MetroPCS Wireless, Inc., New Tranche B Term Lo 1,650,297
593,434 Stratos Global Corp./Stratos Funding L.P., Fac 561,537
3,181,797
Total Telecommunication Services 4,942,247
Utilities - 3.5%
Multi-Utilities - 0.6%
1,158,000 Goodman Global, Inc., Term Loan, 7.5%, 2/13/14 1,145,696
Independent Power Producers & Energy Traders - 2.9%
1,975,075 Calpine Corp., First Priority Term Loan, 5.685 1,857,805
187,926 Mach Gen LLC, First Lien Synthetic LC Loan, 2. 180,456
1,786,671 Mach Gen LLC, First Lien Term Loan B, 4.638%, 1,715,651
418,256 NRG Energy, Inc., Credit-Linked Deposit Loan, 398,912
853,867 NRG Energy, Inc., Term Loan, 4.301%, 2/1/13 814,376
4,967,200
Total Utilities 6,112,896
TOTAL FLOATING RATE LOAN INTERESTS
(Cost $75,360,238) 68,995,850
Shares WARRANTS - 0.0% of Net Assets
Real Estate - 0.0%
Real Estate Management & Development - 0.0%
750,000 (h) Neo-China Group Holdings, Ltd., Expires 7/22/1 28,838
TOTAL WARRANTS
(Cost $17,012) 28,838
Principal
Amount
USD ($)
TEMPORARY CASH INVESTMENTS - 7.4% of Net Assets
Securities Lending Collateral - 7.4%
Certificates of Deposit:
233,646 American Express, 2.72%, 8/8/08 233,646
62,970 Banco Santander NY, 2.8%, 10/7/08 62,970
175,029 Banco Santander NY, 3.09%, 12/22/08 175,029
262,328 Bank Bovespa NY, 2.705%, 8/8/08 262,328
174,885 Bank of America, 2.88%, 8/11/08 174,885
174,832 Bank of Nova Scotia, 3.18%, 5/5/09 174,832
104,931 Bank of Scotland NY, 2.7%, 8/1/08 104,931
87,442 Bank of Scotland NY, 2.72%, 8/15/08 87,442
62,905 Bank of Scotland NY, 2.89%, 11/4/08 62,905
104,986 Bank of Scotland NY, 2.96%, 11/3/08 104,986
87,405 Bank of Scotland NY, 3.03%, 9/26/08 87,405
314,792 Barclays Bank, 3.18%, 5/27/09 314,792
146,903 Calyon NY, 2.64%, 9/29/08 146,903
55,491 Calyon NY, 2.69%, 1/16/09 55,491
104,932 Calyon NY, 2.85%, 8/25/08 104,932
349,769 CBA, 3.02%, 7/16/09 349,769
174,885 Citibank, 2.85%, 7/29/08 174,885
69,954 Deutsche Bank Financial, 2.72%, 8/4/08 69,954
129,647 Dexia Bank NY, 3.37%, 9/29/08 129,647
314,792 DNB NOR Bank ASA NY, 2.9%, 6/8/09 314,792
15,029 Fortis, 3.11%, 9/30/08 15,029
320,389 Intesa SanPaolo S.p.A., 2.72%, 5/22/09 320,389
87,442 Lloyds Bank, 2.61%, 8/18/08 87,442
118,922 Natixis, 2.83%, 8/4/08 118,922
20,216 NORDEA NY, 2.72%, 4/9/09 20,216
16,766 NORDEA NY, 2.73%, 12/1/08 16,766
174,885 NORDEA NY, 2.81%, 8/29/08 174,885
27,979 Rabobank Nederland NY, 2.37%, 8/29/08 27,979
174,886 Royal Bank of Canada NY, 2.6%, 9/5/08 174,886
34,903 Skandinavian Enskilda Bank NY, 3.06%, 2/13/09 34,903
20,277 Skandinavian Enskilda Bank NY, 3.18%, 9/22/08 20,277
314,792 Svenska Bank NY, 2.7%, 7/8/09 314,792
104,931 Toronto Dominion Bank NY, 2.75%, 11/5/08 104,931
220,355 Toronto Dominion Bank NY, 2.77%, 9/5/08 220,355
34,921 Wachovia, 3.62%, 10/28/08 34,921
4,879,217
Commercial Paper:
33,282 Bank Bovespa NY, 2.79%, 3/12/09 33,282
69,904 Bank of America, 2.6%, 8/11/08 69,904
53,872 Bank of America, 2.7%, 8/26/08 53,872
173,738 Citigroup, 2.83%, 10/24/08 173,738
157,366 General Electric Capital Corp., 2.77%, 1/5/09 157,366
174,828 General Electric Capital Corp., 2.82%, 3/16/09 174,828
343,474 Honda Finance Corp., 2.92%, 7/14/09 343,474
174,142 HSBC Securities, Inc., 2.88%, 9/29/08 174,142
64,678 IBM, 3.18%, 2/13/09 64,678
174,885 IBM, 3.18%, 6/26/09 174,885
139,787 ING Funding, 2.7%, 8/13/08 139,787
314,120 Macquarie Bank, 2.75%, 8/29/08 314,120
314,792 Met Life Global Funding, 3.16%, 6/12/09 314,792
43,197 PARFIN, 3.18%, 8/1/08 43,197
278,508 Rabobank, 2.68%, 10/3/08 278,508
69,488 Royal Bank of Scotland, 2.66%, 10/21/08 69,488
139,694 Societe Generale, 3.18%, 8/22/08 139,694
69,931 Societe Generale, 3.18%, 8/5/08 69,931
69,904 SVSS NY, 3.18%, 8/11/08 69,904
297,304 WestPac, 3.18%, 6/1/09 297,304
3,156,894
Mutual Funds:
524,654 AIM Short Term Investment Trust, 2.47% 524,654
524,654 BlackRock Liquidity Money Market Fund, 3.18% 524,654
524,654 Dreyfus Preferred Money Market Fund, 3.18% 524,654
1,573,962
Tri-party Repurchase Agreements:
8,234 Barclays Capital Markets, 2.15%, 8/1/08 8,234
585,497 Deutsche Bank, 2.18%, 8/1/08 585,497
2,448,386 Lehman Brothers, 2.13%, 8/1/08 2,448,386
3,042,117
Other:
69,048 ABS CFAT 2008-A A1, 3.005%, 4/27/09 69,048
TOTAL SECURITIES LENDING COLLATERAL
(Cost $12,721,238 ) 12,721,238
TOTAL INVESTMENTS IN SECURITIES - 145.1%
(Cost $269,422,353) (i) 250,814,860
OTHER ASSETS AND LIABILITIES - (45.1)% (77,965,572)
NET ASSETS APPLICABLE TO COMMON SHAREOWNERS - 172,849,288
NR Security not rated by S&P or Moody's.
(144A) Security is exempt from registration under Rule 144A
of the Securities Act of 1933. Such securities may be
resold
normally to qualified institutional buyers in a transaction
exempt
from registration. At July 31, 2008, the value of these
securities
amounted to $110,025,428 or 63.7% of total
net assets applicable to common shareowners.
(a) Floating rate note. The rate shown is the
coupon rate at July 31, 2008.
(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) Debt obligation initially issued at one coupon which
converts to a higher coupon at a specific date.
The rate shown is the coupon rate at July 31, 2008.
(f) Security is priced as a unit.
(g) Floating rate loan interests in which the Trust invests
generally pay interest at rates that are periodically
redetermined by
reference to a base lending rate plus a premium. These base
lending
rates are generally (i) the lending rate offered by one or
more major
European banks, such as LIBOR (London InterBank Offered
Rate), (ii) the prime rate offered by one or more major
United States banks,
(iii) the certificate of deposit (iv) other base lending
rates used
by commercial lenders. The interest rate shown is the
coupon rate accruing at July 31, 2008.
(h) Non-income producing.
(i) At July 31, 2008, the net unrealized loss on investments
based
on cost for federal income tax purposes
of $270,251,599 was as follows:
Aggregate gross unrealized gain for all investments in which
there is an excess of value over tax cost 1,657,380
Aggregate gross unrealized loss for all investments in which
there is an excess of tax cost over value (21,094,119)
Net unrealized loss (19,436,739)
For financial reporting purposes net unrealized loss was
$18,607,493 and cost of
investments aggregated $269,422,353.
(j) At July 31, 2008, the following securities were out on loan:
Principal
Amount
USD ($) Description Value
841,000 Accuride Corp., 8.5%, 2/1/15 607,460
247,000 Ainsworth Lumber Co., Ltd., 7.25%, 10/1/12 (14 101,270
693,000 Aleris International, Inc., 10.0%, 12/15/16 487,025
524,000 Allison Transmission, Inc., 11.0%, 11/1/15 (14 488,630
600,000 AMBAC Financial Group, Inc., 6.15%, 2/15/37 153,702
2,000,000 Australis, Ltd., 6.748%, 2/3/09 (144A) 2,032,116
325,000 Aventine Renewable Energy Holdings, Inc., 10.0 218,833
39,000 CCH I LLC, 11.0%, 10/1/15 30,900
297,000 C8 Capital SPV, Ltd., 6.64% (144A) 272,907
202,000 Central Garden and Pet Co., 9.125%, 2/1/13 165,640
272,000 Duane Reade, Inc., 9.75%, 8/1/11 239,360
247,000 Evraz Group SA, 9.5%, 4/24/18 (144A) 244,369
1,732,000 Freescale Semiconductor, Inc., 10.125%, 12/15/ 1,382,029
1,470,000 Georgia Gulf Corp., 10.75%, 10/15/16 810,930
600,000 Graham Packaging Co., Inc., 9.875%, 10/15/14 532,657
198,000 Jarden Corp., 7.5%, 5/1/17 175,849
490,000 KAR Holdings, Inc., 10.0%, 5/1/15 (144A) 418,950
940,000 Sally Holdings LLC, 10.5%, 11/15/16 924,210
742,000 Station Casinos, Inc., 6.625%, 3/15/18 331,906
710,000 Trump Entertainment Resorts, Inc., 8.5%, 6/1/1 359,734
1,225,000 Univision Communications, Inc., 9.75%, 3/15/15 979,183
500,000 OJSC Vimpel Communications, 9.125%, 4/30/18 (1 502,607
1,188,000 Yankee Acquisition Corp., 8.5%, 2/15/15 919,742
12,380,009
Glossary of Terms:
LC - Letter of Credit
Note: Principal amounts are denominated in U.S.
dollars unless otherwise denoted.
EURO
NOK
As of July 31, 2008, the Trust had unfunded loan
commitments of
approximately $668,000 which would be extended at the option
of the borrower, pursuant to the following loan agreements:
Unfunded
Commitment
Borrower (in thousands)
Bausch & Lomb, Inc., Delayed Draw Term Loan 54
Community Health Systems, Inc., Delayed Draw T 47
Fontainebleau Las Vegas LLC, Delayed Draw Term 500
HUB International, Ltd., Delayed Draw Term Loa 24
Gateway Casinos & Entertainment, Delayed Draw 31
Telesat Canada, U.S. Term II Loan 12
668
Various inputs are used in determining the value of the Trust'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 Trust's
own assumptions in determining fair value of investments)
The following is a summary of the inputs used as of July
31, 2008, in valuing the Trust's assets:
Valuation Inputs Investments
in Securities
Level 1 - Quoted Prices 0
Level 2 - Other Significant Observable Inputs 250,814,860
Level 3 - Significant Unobservable Inputs 0
Total 250,814,860
ITEM 2. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant's principal executive officer or
officers and principal financial officer or officers, or persons performing
similar functions, about the effectiveness of the registrant's disclosure
controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR
270.30a-3(c))) as of a date within 90 days of the filing date of the report
that includes the disclosure required by this paragraph, based on their
evaluation of these controls and procedures required by Rule 30a-3(b)
under the Act (17 CFR270.30a-3(b))) and Rule 13a-15(b) or 15d-15(b)
under the Exchange Act (17 CFR240.13a-15(b) or 240.15d-15(b)).
The registrant's principal executive officer and principal financial officer
have concluded that the registrant's disclosure controls and procedures are
effective based on their evaluation of these controls and procedures as of
a date within 90 days of the filing date of this report.
(b) Disclose any change in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Act (17 CFR270.30a-3(d))
that occurred during the registrant's last fiscal quarter that has materially
affected, or is reasonably likely to materially affect, the registrant's
internal control over financial reporting.
There were no significant changes in the registrant's internal control over
financial reporting that occurred during the second fiscal quarter of the
period covered by this report that have materially affected, or are
reasonably likely to materially affect, the registrant's internal control
over financial reporting.
ITEM 3. EXHIBITS.
(a) A separate certification for each principal executive officer and principal
financial officer of the registrant as required by Rule 30a-2 under the Act
(17 CFR 270.30a-2).
Filed herewith.
SIGNATURES
[See General Instruction F]
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Pioneer Diversified High Income Trust
By (Signature and Title)* /s/ John F. Cogan, Jr.
John F. Cogan, Jr, President
Date September 29, 2008
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, 2008
By (Signature and Title)* /s/ Mark Bradley
Mark Bradley, Treasurer
Date September 29, 2008
* Print the name and title of each signing officer under his or her signature.