UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
_______________________________
Investment Company Act file number 811-5689
DWS Multi-Market Income Trust
(Exact name of registrant as specified in charter)
345 Park Avenue
New York, NY 10154
(Address of principal executive offices) (Zip code)
Paul Schubert
345 Park Avenue
New York, NY 10154-0004
(Name and address of agent for service)
Registrant's telephone number, including area code: (212) 454-7190
Date of fiscal year end: 11/30
Date of reporting period: 08/31/08
ITEM 1. SCHEDULE OF INVESTMENTS
|
Investment Portfolio |
as of August 31, 2008 (Unaudited) |
DWS Multi-Market Income Trust
|
|
Principal |
|
Value ($) | |||||
|
| ||||||||
|
|
Corporate Bonds 64.5% |
| ||||||
|
Consumer Discretionary 9.6% |
| |||||||
|
AMC Entertainment, Inc., 8.0%, 3/1/2014 |
|
|
625,000 |
|
564,062 | |||
|
American Achievement Corp., 144A, 8.25%, 4/1/2012 |
|
|
110,000 |
|
107,800 | |||
|
American Achievement Group Holding Corp., 14.75%, 10/1/2012 (PIK) |
|
|
210,578 |
|
200,576 | |||
|
Asbury Automotive Group, Inc.: |
| |||||||
|
|
7.625%, 3/15/2017 (b) |
|
|
255,000 |
|
182,325 | ||
|
|
8.0%, 3/15/2014 (b) |
|
|
165,000 |
|
128,700 | ||
|
Ashtead Holdings PLC, 144A, 8.625%, 8/1/2015 |
|
|
315,000 |
|
280,350 | |||
|
Burlington Coat Factory Warehouse Corp., 11.125%, 4/15/2014 |
|
|
135,000 |
|
97,538 | |||
|
Cablevision Systems Corp., Series B, 7.133% ***, 4/1/2009 |
|
|
125,000 |
|
125,625 | |||
|
CanWest MediaWorks LP, 144A, 9.25%, 8/1/2015 |
|
|
205,000 |
|
159,900 | |||
|
Carrols Corp., 9.0%, 1/15/2013 |
|
|
130,000 |
|
109,850 | ||
|
Charter Communications Operating LLC, 144A, 10.875%, 9/15/2014 |
|
|
880,000 |
|
924,000 | ||
|
Cirsa Capital Luxembourg SA, 144A, 7.875%, 7/15/2012 |
EUR |
|
100,000 |
|
117,364 | ||
|
CSC Holdings, Inc.: |
| ||||||
|
|
6.75%, 4/15/2012 (b) |
|
|
275,000 |
|
268,125 | |
|
|
Series B, 7.625%, 4/1/2011 |
|
|
225,000 |
|
226,125 | |
|
|
Series B, 8.125%, 7/15/2009 |
|
|
985,000 |
|
998,544 | |
|
|
Series B, 8.125%, 8/15/2009 |
|
|
485,000 |
|
492,275 | |
|
Denny's Holdings, Inc., 10.0%, 10/1/2012 (b) |
|
|
80,000 |
|
76,800 | ||
|
DirecTV Holdings LLC, 144A, 7.625%, 5/15/2016 |
|
|
745,000 |
|
743,137 | ||
|
Dollarama Group LP, 8.883% ***, 8/15/2012 (c) |
|
|
216,000 |
|
200,880 | ||
|
EchoStar DBS Corp.: |
| ||||||
|
|
6.375%, 10/1/2011 |
|
|
365,000 |
|
356,787 | |
|
|
6.625%, 10/1/2014 |
|
|
355,000 |
|
326,600 | |
|
|
7.125%, 2/1/2016 |
|
|
345,000 |
|
317,400 | |
|
Fontainebleau Las Vegas Holdings LLC, 144A, 10.25%, 6/15/2015 |
|
|
290,000 |
|
137,025 | ||
|
General Motors Corp.: |
| ||||||
|
|
7.4%, 9/1/2025 |
|
|
150,000 |
|
67,500 | |
|
|
8.375%, 7/15/2033 |
|
|
410,000 |
|
202,950 | |
|
Great Canadian Gaming Corp., 144A, 7.25%, 2/15/2015 |
|
|
220,000 |
|
207,350 | ||
|
Group 1 Automotive, Inc., 8.25%, 8/15/2013 |
|
|
125,000 |
|
113,750 | ||
|
Hertz Corp., 8.875%, 1/1/2014 |
|
|
770,000 |
|
720,912 | ||
|
Idearc, Inc., 8.0%, 11/15/2016 |
|
|
625,000 |
|
282,813 | ||
|
Indianapolis Downs LLC, 144A, 11.0%, 11/1/2012 |
|
|
160,000 |
|
127,200 | ||
|
Isle of Capri Casinos, Inc., 7.0%, 3/1/2014 |
|
|
250,000 |
|
178,750 | ||
|
Kabel Deutschland GmbH, 10.625%, 7/1/2014 (b) |
|
|
490,000 |
|
503,475 | ||
|
Lamar Media Corp., Series C, 6.625%, 8/15/2015 |
|
|
170,000 |
|
150,663 | ||
|
Liberty Media LLC: |
| ||||||
|
|
5.7%, 5/15/2013 (b) |
|
|
35,000 |
|
30,866 | |
|
|
8.25%, 2/1/2030 |
|
|
320,000 |
|
270,444 | |
|
|
8.5%, 7/15/2029 (b) |
|
|
420,000 |
|
358,125 | |
|
MediMedia USA, Inc., 144A, 11.375%, 11/15/2014 |
|
|
110,000 |
|
110,000 | ||
|
MGM MIRAGE: |
| ||||||
|
|
6.0%, 10/1/2009 |
|
|
185,000 |
|
181,300 | |
|
|
6.625%, 7/15/2015 |
|
|
170,000 |
|
135,575 | |
|
|
6.75%, 9/1/2012 |
|
|
350,000 |
|
301,000 | |
|
|
8.375%, 2/1/2011 (b) |
|
|
265,000 |
|
240,488 | |
|
MTR Gaming Group, Inc., Series B, 9.75%, 4/1/2010 |
|
|
345,000 |
|
335,513 | ||
|
Norcraft Holdings LP, Step-up Coupon, 0% to 9/1/2008, 9.75% to 9/1/2012 |
|
|
680,000 |
|
605,200 | ||
|
Penske Automotive Group, Inc., 7.75%, 12/15/2016 |
|
|
560,000 |
|
454,300 | ||
|
Pinnacle Entertainment, Inc., 8.75%, 10/1/2013 |
|
|
260,000 |
|
256,750 | ||
|
Quebecor Media, Inc., 7.75%, 3/15/2016 |
|
|
170,000 |
|
159,800 | ||
|
Quebecor World, Inc., 144A, 9.75%, 1/15/2015 ** |
|
|
205,000 |
|
92,250 | ||
|
Quiksilver, Inc., 6.875%, 4/15/2015 (b) |
|
|
320,000 |
|
256,800 | ||
|
Reader's Digest Association, Inc., 9.0%, 2/15/2017 |
|
|
185,000 |
|
109,613 | ||
|
Sabre Holdings Corp., 8.35%, 3/15/2016 |
|
|
225,000 |
|
153,000 | ||
|
Seminole Hard Rock Entertainment, Inc., 144A, 5.276% ***, 3/15/2014 |
|
|
290,000 |
|
232,000 | ||
|
Shaw Communications, Inc., 8.25%, 4/11/2010 |
|
|
810,000 |
|
831,262 | ||
|
Shingle Springs Tribal Gaming Authority, 144A, 9.375%, 6/15/2015 |
|
|
210,000 |
|
170,625 | ||
|
Simmons Co.: |
| ||||||
|
|
Step-up Coupon, 0% to 12/15/2009, 10.0% to 12/15/2014 |
|
|
820,000 |
|
516,600 | |
|
|
7.875%, 1/15/2014 |
|
|
95,000 |
|
75,525 | |
|
Sinclair Television Group, Inc., 8.0%, 3/15/2012 (b) |
|
|
246,000 |
|
240,465 | ||
|
Sirius XM Radio, Inc., 9.625%, 8/1/2013 (b) |
|
|
585,000 |
|
457,762 | ||
|
Sonic Automotive, Inc., Series B, 8.625%, 8/15/2013 |
|
|
250,000 |
|
192,500 | ||
|
Time Warner, Inc., 9.125%, 1/15/2013 |
|
|
985,000 |
|
1,075,043 | ||
|
Travelport LLC: |
| |||||||
|
|
7.307% ***, 9/1/2014 |
|
|
185,000 |
|
145,688 | ||
|
|
9.875%, 9/1/2014 |
|
|
220,000 |
|
179,850 | ||
|
Trump Entertainment Resorts, Inc., 8.5%, 6/1/2015 |
|
|
220,000 |
|
100,650 | |||
|
United Components, Inc., 9.375%, 6/15/2013 |
|
|
45,000 |
|
40,050 | |||
|
Unity Media GmbH: |
| |||||||
|
|
144A, 8.75%, 2/15/2015 |
EUR |
|
615,000 |
|
850,357 | ||
|
|
144A, 10.375%, 2/15/2015 |
|
|
165,000 |
|
159,225 | ||
|
Univision Communications, Inc., 144A, 9.75%, 3/15/2015 (PIK) |
|
|
220,000 |
|
157,300 | |||
|
UPC Holding BV: |
| |||||||
|
|
144A, 7.75%, 1/15/2014 |
EUR |
|
255,000 |
|
342,299 | ||
|
|
144A, 8.0%, 11/1/2016 |
EUR |
|
120,000 |
|
154,920 | ||
|
Videotron Ltd., 144A, 9.125%, 4/15/2018 |
|
|
175,000 |
|
183,969 | |||
|
Vitro SAB de CV: |
| |||||||
|
|
9.125%, 2/1/2017 |
|
|
770,000 |
|
596,750 | ||
|
|
11.75%, 11/1/2013 |
|
|
100,000 |
|
93,250 | ||
|
Young Broadcasting, Inc., 8.75%, 1/15/2014 |
|
|
1,245,000 |
|
407,737 | |||
|
| ||||||||
|
|
20,952,002 | |||||||
|
Consumer Staples 2.1% |
| |||||||
|
Alliance One International, Inc., 8.5%, 5/15/2012 |
|
|
125,000 |
|
117,187 | |||
|
Delhaize America, Inc.: |
| |||||||
|
|
8.05%, 4/15/2027 |
|
|
65,000 |
|
69,293 | ||
|
|
9.0%, 4/15/2031 |
|
|
585,000 |
|
678,360 | ||
|
General Nutrition Centers, Inc., 7.199% ***, 3/15/2014 (PIK) |
|
|
240,000 |
|
208,500 | |||
|
Harry & David Operations Corp., 7.682% ***, 3/1/2012 |
|
|
195,000 |
|
122,850 | |||
|
North Atlantic Trading Co., 144A, 10.0%, 3/1/2012 |
|
|
975,000 |
|
750,750 | |||
|
Smithfield Foods, Inc., 7.75%, 7/1/2017 |
|
|
185,000 |
|
165,575 | |||
|
Tyson Foods, Inc., 8.25%, 10/1/2011 |
|
|
465,000 |
|
470,301 | |||
|
Viskase Companies, Inc., 11.5%, 6/15/2011 |
|
|
2,430,000 |
|
1,968,300 | |||
|
| ||||||||
|
|
4,551,116 | |||||||
|
Energy 10.6% |
| |||||||
|
Atlas Energy Resources LLC, 144A, 10.75%, 2/1/2018 |
|
|
610,000 |
|
613,050 | |||
|
Belden & Blake Corp., 8.75%, 7/15/2012 |
|
|
1,170,000 |
|
1,190,475 | |||
|
Bristow Group, Inc., 7.5%, 9/15/2017 |
|
|
280,000 |
|
268,800 | |||
|
Chaparral Energy, Inc.: |
| |||||||
|
|
8.5%, 12/1/2015 |
|
|
385,000 |
|
334,950 | ||
|
|
8.875%, 2/1/2017 |
|
|
255,000 |
|
221,213 | ||
|
Chesapeake Energy Corp.: |
| |||||||
|
|
6.25%, 1/15/2018 |
|
|
160,000 |
|
146,400 | ||
|
|
6.875%, 1/15/2016 |
|
|
940,000 |
|
902,400 | ||
|
|
7.25%, 12/15/2018 |
|
|
495,000 |
|
482,625 | ||
|
|
7.5%, 6/15/2014 (b) |
|
|
120,000 |
|
120,600 | ||
|
Cimarex Energy Co., 7.125%, 5/1/2017 |
|
|
195,000 |
|
190,125 | |||
|
Colorado Interstate Gas Co., 6.8%, 11/15/2015 |
|
|
645,000 |
|
651,698 | |||
|
Delta Petroleum Corp., 7.0%, 4/1/2015 |
|
|
550,000 |
|
431,750 | |||
|
Dynegy Holdings, Inc.: |
| |||||||
|
|
6.875%, 4/1/2011 (b) |
|
|
75,000 |
|
73,875 | ||
|
|
8.375%, 5/1/2016 |
|
|
500,000 |
|
489,375 | ||
|
El Paso Corp.: |
| |||||||
|
|
7.25%, 6/1/2018 |
|
|
400,000 |
|
393,000 | ||
|
|
9.625%, 5/15/2012 |
|
|
165,000 |
|
176,259 | ||
|
Energy Transfer Partners, LP, 6.0%, 7/1/2013 |
|
|
750,000 |
|
757,103 | |||
|
EXCO Resources, Inc., 7.25%, 1/15/2011 |
|
|
383,000 |
|
379,170 | |||
|
Forest Oil Corp., 144A, 7.25%, 6/15/2019 |
|
|
155,000 |
|
142,600 | |||
|
Frontier Oil Corp., 6.625%, 10/1/2011 (b) |
|
|
160,000 |
|
155,600 | |||
|
GAZ Capital (Gazprom), 144A, 6.51%, 3/7/2022 |
|
|
1,285,000 |
|
1,088,909 | |||
|
GulfSouth Pipeline Co., LP, 144A, 5.75%, 8/15/2012 |
|
|
740,000 |
|
743,474 | |||
|
KCS Energy, Inc., 7.125%, 4/1/2012 |
|
|
1,335,000 |
|
1,261,575 | |||
|
Mariner Energy, Inc.: |
| |||||||
|
|
7.5%, 4/15/2013 |
|
|
245,000 |
|
229,075 | ||
|
|
8.0%, 5/15/2017 |
|
|
270,000 |
|
247,050 | ||
|
Newfield Exploration Co., 7.125%, 5/15/2018 |
|
|
455,000 |
|
428,837 | |||
|
OPTI Canada, Inc.: |
| |||||||
|
|
7.875%, 12/15/2014 |
|
|
330,000 |
|
326,287 | ||
|
|
8.25%, 12/15/2014 |
|
|
830,000 |
|
828,962 | ||
|
Pemex Project Funding Master Trust, 144A, 5.75%, 3/1/2018 |
|
|
770,000 |
|
756,490 | |||
|
Petrobras International Finance Co., 5.875%, 3/1/2018 |
|
|
470,000 |
|
458,700 | |||
|
Petrohawk Energy Corp.: |
| |||||||
|
|
144A, 7.875%, 6/1/2015 |
|
|
290,000 |
|
270,425 | ||
|
|
9.125%, 7/15/2013 |
|
|
250,000 |
|
248,750 | ||
|
Petronas Capital Ltd., Series REG S, 7.875%, 5/22/2022 |
|
|
620,000 |
|
757,789 | |||
|
Plains Exploration & Production Co.: |
| |||||||
|
|
7.0%, 3/15/2017 |
|
|
235,000 |
|
211,500 | ||
|
|
7.625%, 6/1/2018 |
|
|
530,000 |
|
499,525 | ||
|
Quicksilver Resources, Inc., 7.125%, 4/1/2016 |
|
|
640,000 |
|
556,800 | |||
|
Range Resources Corp., 7.25%, 5/1/2018 |
|
|
50,000 |
|
48,500 | |||
|
Sabine Pass LNG LP, 7.5%, 11/30/2016 |
|
|
770,000 |
|
673,750 | |||
|
SandRidge Energy, Inc., 144A, 8.0%, 6/1/2018 |
|
|
205,000 |
|
192,188 | |||
|
Southwestern Energy Co., 144A, 7.5%, 2/1/2018 |
|
|
320,000 |
|
327,200 | |||
|
Stallion Oilfield Services Ltd., 144A, 9.75%, 2/1/2015 |
|
|
255,000 |
|
189,975 | |||
|
Stone Energy Corp.: |
| |||||||
|
|
6.75%, 12/15/2014 |
|
|
525,000 |
|
448,875 | ||
|
|
8.25%, 12/15/2011 (b) |
|
|
770,000 |
|
746,900 | ||
|
Tennessee Gas Pipeline Co., 7.625%, 4/1/2037 |
|
|
180,000 |
|
184,380 | |||
|
Tesoro Corp., 6.5%, 6/1/2017 |
|
|
330,000 |
|
276,375 | |||
|
Whiting Petroleum Corp.: |
| |||||||
|
|
7.0%, 2/1/2014 |
|
|
260,000 |
|
247,000 | ||
|
|
7.25%, 5/1/2012 |
|
|
505,000 |
|
487,325 | ||
|
|
7.25%, 5/1/2013 |
|
|
110,000 |
|
105,600 | ||
|
Williams Companies, Inc.: |
| |||||||
|
|
8.125%, 3/15/2012 |
|
|
870,000 |
|
924,375 | ||
|
|
8.75%, 3/15/2032 |
|
|
1,020,000 |
|
1,147,500 | ||
|
Williams Partners LP, 7.25%, 2/1/2017 |
|
|
175,000 |
|
175,438 | |||
|
| ||||||||
|
|
23,210,597 | |||||||
|
Financials 7.7% |
| |||||||
|
Algoma Acquisition Corp., 144A, 9.875%, 6/15/2015 |
|
|
640,000 |
|
614,400 | |||
|
Ashton Woods USA LLC, 9.5%, 10/1/2015 |
|
|
625,000 |
|
343,750 | |||
|
Bank of America Corp., 5.75%, 12/1/2017 |
|
|
630,000 |
|
587,703 | |||
|
Bank of New York Mellon Corp., 5.125%, 8/27/2013 (b) |
|
|
670,000 |
|
671,901 | |||
|
Buffalo Thunder Development Authority, 144A, 9.375%, 12/15/2014 |
|
|
125,000 |
|
70,000 | |||
|
Citigroup, Inc., 6.5%, 8/19/2013 (b) |
|
|
1,055,000 |
|
1,056,151 | |||
|
Conproca SA de CV, Series REG S, 12.0%, 6/16/2010 |
|
|
916,700 |
|
1,008,370 | |||
|
Ford Motor Credit Co., LLC: |
| |||||||
|
|
7.25%, 10/25/2011 |
|
|
1,635,000 |
|
1,252,477 | ||
|
|
7.375%, 10/28/2009 |
|
|
1,600,000 |
|
1,487,078 | ||
|
|
7.875%, 6/15/2010 |
|
|
805,000 |
|
693,933 | ||
|
General Electric Capital Corp., 5.625%, 5/1/2018 (b) |
|
|
705,000 |
|
685,416 | |||
|
GMAC LLC, 6.875%, 9/15/2011 |
|
|
3,680,000 |
|
2,283,587 | |||
|
Hawker Beechcraft Acquisition Co., LLC: |
| |||||||
|
|
8.5%, 4/1/2015 |
|
|
505,000 |
|
508,787 | ||
|
|
8.875%, 4/1/2015 (PIK) (b) |
|
|
350,000 |
|
349,125 | ||
|
|
9.75%, 4/1/2017 |
|
|
590,000 |
|
578,200 | ||
|
Hexion US Finance Corp., 9.75%, 11/15/2014 |
|
|
130,000 |
|
108,225 | |||
|
Inmarsat Finance II PLC, Step-up Coupon, 0% to 11/15/2008, 10.375% to 11/15/2012 |
|
|
725,000 |
|
738,594 | |||
|
iPayment, Inc., 9.75%, 5/15/2014 |
|
|
225,000 |
|
188,438 | |||
|
JPMorgan Chase Bank NA, 6.0%, 10/1/2017 |
|
|
550,000 |
|
532,398 | |||
|
Local TV Finance LLC, 144A, 9.25%, 6/15/2015 (PIK) |
|
|
200,000 |
|
148,000 | |||
|
New ASAT (Finance) Ltd., 9.25%, 2/1/2011 |
|
|
345,000 |
|
219,937 | |||
|
NiSource Finance Corp., 6.15%, 3/1/2013 |
|
|
740,000 |
|
735,000 | |||
|
Qwest Capital Funding, Inc., 7.0%, 8/3/2009 |
|
|
280,000 |
|
279,650 | |||
|
Rainbow National Services LLC, 144A, 10.375%, 9/1/2014 |
|
|
45,000 |
|
47,869 | |||
|
Sprint Capital Corp.: |
| |||||||
|
|
7.625%, 1/30/2011 |
|
|
275,000 |
|
275,000 | ||
|
|
8.375%, 3/15/2012 |
|
|
110,000 |
|
110,825 | ||
|
Tropicana Entertainment LLC, 9.625%, 12/15/2014 ** |
|
|
730,000 |
|
233,600 | |||
|
UCI Holdco, Inc., 10.276% ***, 12/15/2013 (PIK) |
|
|
256,301 |
|
197,352 | |||
|
Universal City Development Partners, 11.75%, 4/1/2010 |
|
|
840,000 |
|
850,500 | |||
|
| ||||||||
|
|
16,856,266 | |||||||
|
Health Care 3.2% |
| |||||||
|
Advanced Medical Optics, Inc., 7.5%, 5/1/2017 |
|
|
585,000 |
|
523,575 | |||
|
Boston Scientific Corp., 6.0%, 6/15/2011 |
|
|
310,000 |
|
307,675 | |||
|
Community Health Systems, Inc., 8.875%, 7/15/2015 |
|
|
2,230,000 |
|
2,252,300 | |||
|
HCA, Inc.: |
| |||||||
|
|
9.125%, 11/15/2014 |
|
|
325,000 |
|
333,937 | ||
|
|
9.25%, 11/15/2016 |
|
|
1,015,000 |
|
1,044,181 | ||
|
|
9.625%, 11/15/2016 (PIK) |
|
|
340,000 |
|
342,975 | ||
|
HEALTHSOUTH Corp., 10.75%, 6/15/2016 (b) |
|
|
180,000 |
|
193,500 | |||
|
IASIS Healthcare LLC, 8.75%, 6/15/2014 |
|
|
275,000 |
|
275,688 | |||
|
Psychiatric Solutions, Inc., 7.75%, 7/15/2015 |
|
|
250,000 |
|
242,500 | |||
|
Surgical Care Affiliates, Inc., 144A, 8.875%, 7/15/2015 (PIK) |
|
|
245,000 |
|
213,150 | |||
|
The Cooper Companies, Inc., 7.125%, 2/15/2015 |
|
|
360,000 |
|
345,600 | |||
|
Vanguard Health Holding Co. I, LLC, Step-up Coupon, 0% to 10/1/2009, 11.25% to 10/1/2015 |
|
|
295,000 |
|
264,763 | |||
|
Vanguard Health Holding Co. II, LLC, 9.0%, 10/1/2014 (b) |
|
|
675,000 |
|
663,187 | |||
|
| ||||||||
|
|
7,003,031 | |||||||
|
Industrials 6.8% |
| |||||||
|
Actuant Corp., 6.875%, 6/15/2017 |
|
|
180,000 |
|
176,400 | |||
|
Allied Security Escrow Corp., 11.375%, 7/15/2011 |
|
|
290,000 |
|
306,312 | |||
|
Allied Waste North America, Inc., 6.5%, 11/15/2010 (b) |
|
|
340,000 |
|
341,700 | |||
|
American Color Graphics, Inc., 10.0%, 6/15/2010 ** |
|
|
370,000 |
|
66,600 | |||
|
American Color Graphics, Inc., 144A, Promissory Note due 9/15/2008 (d) |
|
|
22,200 |
|
0 | |||
|
ARAMARK Corp.: |
| |||||||
|
|
6.301% ***, 2/1/2015 |
|
|
290,000 |
|
269,700 | ||
|
|
8.5%, 2/1/2015 |
|
|
110,000 |
|
110,825 | ||
|
Baldor Electric Co., 8.625%, 2/15/2017 (b) |
|
|
220,000 |
|
222,750 | |||
|
BE Aerospace, Inc., 8.5%, 7/1/2018 |
|
|
560,000 |
|
583,800 | |||
|
Belden, Inc., 7.0%, 3/15/2017 |
|
|
185,000 |
|
174,825 | |||
|
Bombardier, Inc., 144A, 6.75%, 5/1/2012 |
|
|
810,000 |
|
805,950 | |||
|
Browning-Ferris Industries, Inc., 7.4%, 9/15/2035 |
|
|
555,000 |
|
505,050 | |||
|
Building Materials Corp. of America, 7.75%, 8/1/2014 |
|
|
290,000 |
|
239,250 | |||
|
Cenveo Corp., 144A, 10.5%, 8/15/2016 |
|
|
240,000 |
|
234,600 | |||
|
Congoleum Corp., 8.625%, 8/1/2008 ** |
|
|
395,000 |
|
296,250 | |||
|
DRS Technologies, Inc.: |
| |||||||
|
|
6.625%, 2/1/2016 |
|
|
155,000 |
|
159,650 | ||
|
|
6.875%, 11/1/2013 |
|
|
865,000 |
|
875,812 | ||
|
|
7.625%, 2/1/2018 |
|
|
715,000 |
|
752,537 | ||
|
Education Management LLC, 8.75%, 6/1/2014 |
|
|
200,000 |
|
182,250 | |||
|
Esco Corp.: |
| |||||||
|
|
144A, 6.651% ***, 12/15/2013 |
|
|
275,000 |
|
258,500 | ||
|
|
144A, 8.625%, 12/15/2013 |
|
|
570,000 |
|
572,850 | ||
|
General Cable Corp.: |
| |||||||
|
|
5.166% ***, 4/1/2015 |
|
|
290,000 |
|
250,850 | ||
|
|
7.125%, 4/1/2017 (b) |
|
|
230,000 |
|
218,500 | ||
|
Gibraltar Industries, Inc., Series B, 8.0%, 12/1/2015 |
|
|
135,000 |
|
115,088 | |||
|
Great Lakes Dredge & Dock Co., 7.75%, 12/15/2013 |
|
|
185,000 |
|
171,588 | |||
|
Harland Clarke Holdings Corp., 9.5%, 5/15/2015 |
|
|
200,000 |
|
157,000 | |||
|
K. Hovnanian Enterprises, Inc.: |
| |||||||
|
|
8.875%, 4/1/2012 |
|
|
790,000 |
|
537,200 | ||
|
|
144A, 11.5%, 5/1/2013 |
|
|
50,000 |
|
51,063 | ||
|
Kansas City Southern de Mexico SA de CV: |
| |||||||
|
|
7.375%, 6/1/2014 |
|
|
590,000 |
|
575,250 | ||
|
|
7.625%, 12/1/2013 (b) |
|
|
460,000 |
|
450,800 | ||
|
|
9.375%, 5/1/2012 |
|
|
725,000 |
|
757,625 | ||
|
Kansas City Southern Railway Co.: |
| |||||||
|
|
7.5%, 6/15/2009 |
|
|
300,000 |
|
303,375 | ||
|
|
8.0%, 6/1/2015 |
|
|
455,000 |
|
465,237 | ||
|
Mobile Services Storage Group, Inc., 9.75%, 8/1/2014 |
|
|
300,000 |
|
285,000 | |||
|
Moog, Inc., 144A, 7.25%, 6/15/2018 |
|
|
100,000 |
|
98,000 | |||
|
Navios Maritime Holdings, Inc., 9.5%, 12/15/2014 (b) |
|
|
300,000 |
|
286,500 | |||
|
Ply Gem Industries, Inc., 144A, 11.75%, 6/15/2013 |
|
|
175,000 |
|
159,250 | |||
|
R.H. Donnelley Corp., 8.875%, 10/15/2017 |
|
|
805,000 |
|
414,575 | |||
|
RBS Global & Rexnord Corp., 9.5%, 8/1/2014 |
|
|
195,000 |
|
190,125 | |||
|
Seitel, Inc., 9.75%, 2/15/2014 |
|
|
150,000 |
|
133,125 | |||
|
Titan International, Inc., 8.0%, 1/15/2012 |
|
|
795,000 |
|
787,050 | |||
|
TransDigm, Inc., 7.75%, 7/15/2014 |
|
|
200,000 |
|
194,500 | |||
|
United Rentals North America, Inc.: |
| |||||||
|
|
6.5%, 2/15/2012 (b) |
|
|
460,000 |
|
410,550 | ||
|
|
7.0%, 2/15/2014 |
|
|
580,000 |
|
437,900 | ||
|
US Concrete, Inc., 8.375%, 4/1/2014 |
|
|
235,000 |
|
195,050 | |||
|
Vought Aircraft Industries, Inc., 8.0%, 7/15/2011 |
|
|
130,000 |
|
119,925 | |||
|
| ||||||||
|
|
14,900,737 | |||||||
|
Information Technology 2.8% |
| |||||||
|
Alion Science & Technology Corp., 10.25%, 2/1/2015 |
|
|
370,000 |
|
253,450 | |||
|
Freescale Semiconductor, Inc., 8.875%, 12/15/2014 |
|
|
760,000 |
|
615,600 | |||
|
L-3 Communications Corp.: |
| |||||||
|
|
5.875%, 1/15/2015 |
|
|
690,000 |
|
650,325 | ||
|
|
Series B, 6.375%, 10/15/2015 |
|
|
650,000 |
|
622,375 | ||
|
|
7.625%, 6/15/2012 |
|
|
1,380,000 |
|
1,404,150 | ||
|
Lucent Technologies, Inc., 6.45%, 3/15/2029 |
|
|
800,000 |
|
556,000 | |||
|
MasTec, Inc., 7.625%, 2/1/2017 |
|
|
430,000 |
|
367,650 | |||
|
NXP BV, 7.713% ***, 10/15/2013 |
EUR |
|
345,000 |
|
387,191 | |||
|
Sanmina-SCI Corp., 144A, 5.526% ***, 6/15/2010 |
|
|
105,000 |
|
103,950 | |||
|
Seagate Technology HDD Holdings, 6.8%, 10/1/2016 |
|
|
420,000 |
|
374,850 | |||
|
SunGard Data Systems, Inc., 10.25%, 8/15/2015 |
|
|
535,000 |
|
539,013 | |||
|
Vangent, Inc., 9.625%, 2/15/2015 |
|
|
160,000 |
|
136,000 | |||
|
| ||||||||
|
|
6,010,554 | |||||||
|
Materials 7.4% |
| |||||||
|
Appleton Papers, Inc., Series B, 8.125%, 6/15/2011 (b) |
|
|
105,000 |
|
96,075 | |||
|
ARCO Chemical Co., 9.8%, 2/1/2020 |
|
|
1,685,000 |
|
1,221,625 | |||
|
Cascades, Inc., 7.25%, 2/15/2013 |
|
|
614,000 |
|
518,830 | |||
|
Chemtura Corp., 6.875%, 6/1/2016 |
|
|
500,000 |
|
422,500 | |||
|
Clondalkin Acquisition BV, 144A, 4.776% ***, 12/15/2013 |
|
|
290,000 |
|
240,700 | |||
|
CPG International I, Inc., 10.5%, 7/1/2013 |
|
|
445,000 |
|
342,650 | |||
|
Exopack Holding Corp., 11.25%, 2/1/2014 |
|
|
685,000 |
|
601,087 | |||
|
Freeport-McMoRan Copper & Gold, Inc.: |
| |||||||
|
|
8.25%, 4/1/2015 |
|
|
1,320,000 |
|
1,386,000 | ||
|
|
8.375%, 4/1/2017 |
|
|
1,843,000 |
|
1,953,580 | ||
|
GEO Specialty Chemicals, Inc.: |
| |||||||
|
|
144A, 7.5% ***, 3/31/2015 (PIK) |
|
|
394,817 |
|
295,619 | ||
|
|
144A, 10.698% ***, 12/31/2009 |
|
|
658,000 |
|
492,678 | ||
|
Georgia-Pacific LLC: |
| |||||||
|
|
144A, 7.125%, 1/15/2017 |
|
|
155,000 |
|
143,763 | ||
|
|
9.5%, 12/1/2011 |
|
|
170,000 |
|
172,550 | ||
|
Hexcel Corp., 6.75%, 2/1/2015 |
|
|
915,000 |
|
887,550 | |||
|
Huntsman LLC, 11.625%, 10/15/2010 |
|
|
855,000 |
|
884,925 | |||
|
Innophos, Inc., 8.875%, 8/15/2014 |
|
|
110,000 |
|
112,750 | |||
|
Jefferson Smurfit Corp., 8.25%, 10/1/2012 |
|
|
520,000 |
|
452,400 | |||
|
Koppers Holdings, Inc., Step-up Coupon, 0% to 11/15/2009, 9.875% to 11/15/2014 |
|
|
605,000 |
|
538,450 | |||
|
Metals USA Holdings Corp., 8.791% ***, 7/1/2012 (PIK) |
|
|
160,000 |
|
144,400 | |||
|
Millar Western Forest Products Ltd., 7.75%, 11/15/2013 |
|
|
110,000 |
|
67,100 | |||
|
Momentive Performance Materials, Inc., 9.75%, 12/1/2014 (b) |
|
|
600,000 |
|
541,500 | |||
|
NewMarket Corp., 7.125%, 12/15/2016 |
|
|
495,000 |
|
480,150 | |||
|
NewPage Corp., 10.0%, 5/1/2012 |
|
|
410,000 |
|
397,700 | |||
|
OI European Group BV, 144A, 6.875%, 3/31/2017 |
EUR |
|
210,000 |
|
283,434 | |||
|
Radnor Holdings Corp., 11.0%, 3/15/2010 ** |
|
|
90,000 |
|
113 | |||
|
Rhodia SA, 144A, 7.713% ***, 10/15/2013 |
EUR |
|
200,000 |
|
268,470 | |||
|
Smurfit-Stone Container Enterprises, Inc.: |
| |||||||
|
|
8.0%, 3/15/2017 (b) |
|
|
435,000 |
|
348,000 | ||
|
|
8.375%, 7/1/2012 |
|
|
200,000 |
|
175,500 | ||
|
Steel Dynamics, Inc.: |
| |||||||
|
|
6.75%, 4/1/2015 |
|
|
190,000 |
|
177,175 | ||
|
|
7.375%, 11/1/2012 |
|
|
80,000 |
|
79,200 | ||
|
Terra Capital, Inc., Series B, 7.0%, 2/1/2017 |
|
|
475,000 |
|
461,938 | |||
|
The Mosaic Co., 144A, 7.375%, 12/1/2014 |
|
|
1,450,000 |
|
1,499,491 | |||
|
Witco Corp., 6.875%, 2/1/2026 |
|
|
170,000 |
|
108,800 | |||
|
Wolverine Tube, Inc., 10.5%, 4/1/2009 |
|
|
305,000 |
|
280,600 | |||
|
| ||||||||
|
|
16,077,303 | |||||||
|
Telecommunication Services 6.9% |
| |||||||
|
BCM Ireland Preferred Equity Ltd., 144A, 11.964% ***, 2/15/2017 (PIK) |
EUR |
|
207,504 |
|
147,533 | |||
|
Centennial Communications Corp.: |
| |||||||
|
|
10.0%, 1/1/2013 |
|
|
175,000 |
|
182,000 | ||
|
|
10.125%, 6/15/2013 |
|
|
830,000 |
|
865,275 | ||
|
Cincinnati Bell, Inc.: |
| |||||||
|
|
7.25%, 7/15/2013 |
|
|
465,000 |
|
446,981 | ||
|
|
8.375%, 1/15/2014 (b) |
|
|
240,000 |
|
227,100 | ||
|
Cricket Communications, Inc.: |
| |||||||
|
|
9.375%, 11/1/2014 |
|
|
480,000 |
|
475,800 | ||
|
|
144A, 10.0%, 7/15/2015 |
|
|
495,000 |
|
497,475 | ||
|
Embratel, Series B, 11.0%, 12/15/2008 |
|
|
165,000 |
|
168,094 | |||
|
Grupo Iusacell Celular SA de CV, 10.0%, 3/31/2012 |
|
|
96,164 |
|
85,586 | |||
|
Hellas Telecommunications Luxembourg V, 144A, 8.463% ***, 10/15/2012 |
EUR |
|
200,000 |
|
259,668 | |||
|
Intelsat Corp.: |
| |||||||
|
|
144A, 9.25%, 8/15/2014 |
|
|
100,000 |
|
99,750 | ||
|
|
144A, 9.25%, 6/15/2016 |
|
|
1,350,000 |
|
1,336,500 | ||
|
Intelsat Subsidiary Holding Co., Ltd., 144A, 8.875%, 1/15/2015 |
|
|
590,000 |
|
583,362 | |||
|
iPCS, Inc., 4.926% ***, 5/1/2013 |
|
|
115,000 |
|
102,063 | |||
|
MetroPCS Wireless, Inc., 9.25%, 11/1/2014 |
|
|
610,000 |
|
604,662 | |||
|
Millicom International Cellular SA, 10.0%, 12/1/2013 |
|
|
2,020,000 |
|
2,131,100 | ||||
|
Nortel Networks Ltd.: |
| ||||||||
|
|
7.041% ***, 7/15/2011 |
|
|
360,000 |
|
333,900 | |||
|
|
144A, 10.75%, 7/15/2016 |
|
|
320,000 |
|
296,000 | |||
|
Orascom Telecom Finance, 144A, 7.875%, 2/8/2014 (b) |
|
|
285,000 |
|
261,117 | ||||
|
Qwest Corp.: |
| ||||||||
|
|
7.25%, 9/15/2025 |
|
|
75,000 |
|
60,375 | |||
|
|
7.875%, 9/1/2011 |
|
|
775,000 |
|
769,187 | |||
|
|
8.875%, 3/15/2012 |
|
|
145,000 |
|
146,088 | |||
|
Rogers Communications, Inc., 6.8%, 8/15/2018 |
|
|
715,000 |
|
725,064 | ||||
|
Rural Cellular Corp., 9.875%, 2/1/2010 |
|
|
650,000 |
|
666,250 | ||||
|
Sprint Nextel Corp., 6.0%, 12/1/2016 |
|
|
235,000 |
|
214,438 | ||||
|
Stratos Global Corp., 9.875%, 2/15/2013 |
|
|
140,000 |
|
145,600 | ||||
|
Telesat Canada, 144A, 11.0%, 11/1/2015 |
|
|
605,000 |
|
556,600 | ||||
|
US Unwired, Inc., Series B, 10.0%, 6/15/2012 |
|
|
385,000 |
|
404,250 | ||||
|
Verizon Communications, Inc., 5.5%, 2/15/2018 |
|
|
740,000 |
|
707,727 | ||||
|
Virgin Media Finance PLC: |
| ||||||||
|
|
8.75%, 4/15/2014 |
|
|
560,000 |
|
534,800 | |||
|
|
8.75%, 4/15/2014 |
EUR |
|
340,000 |
|
451,411 | |||
|
West Corp., 9.5%, 10/15/2014 |
|
|
245,000 |
|
208,863 | ||||
|
Windstream Corp., 7.0%, 3/15/2019 |
|
|
340,000 |
|
297,500 | ||||
|
| |||||||||
|
|
14,992,119 | ||||||||
|
Utilities 7.4% |
| ||||||||
|
AES Corp.: |
| ||||||||
|
|
8.0%, 10/15/2017 |
|
|
550,000 |
|
541,750 | |||
|
|
144A, 8.0%, 6/1/2020 |
|
|
470,000 |
|
450,025 | |||
|
|
144A, 8.75%, 5/15/2013 |
|
|
1,514,000 |
|
1,566,990 | |||
|
|
9.5%, 6/1/2009 |
|
|
405,000 |
|
414,112 | |||
|
Allegheny Energy Supply Co., LLC, 144A, 8.25%, 4/15/2012 |
|
|
2,115,000 |
|
2,220,750 | ||||
|
CenterPoint Energy, Inc., Series B, 7.25%, 9/1/2010 |
|
|
470,000 |
|
483,424 | ||||
|
CMS Energy Corp., 8.5%, 4/15/2011 (b) |
|
|
1,200,000 |
|
1,261,933 | ||||
|
Edison Mission Energy, 7.0%, 5/15/2017 |
|
|
590,000 |
|
564,925 | ||||
|
Energy Future Holdings Corp., 144A, 10.875%, 11/1/2017 |
|
|
650,000 |
|
665,437 | ||||
|
Intergas Finance BV, Series REG S, 6.875%, 11/4/2011 |
|
|
1,815,000 |
|
1,751,475 | ||||
|
IPALCO Enterprises, Inc., 144A, 7.25%, 4/1/2016 |
|
|
185,000 |
|
185,463 | ||||
|
Knight, Inc., 6.5%, 9/1/2012 |
|
|
210,000 |
|
207,900 | ||||
|
Mirant Americas Generation LLC, 8.3%, 5/1/2011 |
|
|
750,000 |
|
765,000 | ||||
|
Mirant North America LLC, 7.375%, 12/31/2013 |
|
|
145,000 |
|
143,913 | ||||
|
NRG Energy, Inc.: |
| ||||||||
|
|
7.25%, 2/1/2014 |
|
|
530,000 |
|
522,712 | |||
|
|
7.375%, 2/1/2016 |
|
|
385,000 |
|
380,188 | |||
|
Oncor Electric Delivery Co., 7.0%, 9/1/2022 |
|
|
165,000 |
|
162,575 | ||||
|
Orion Power Holdings, Inc., 12.0%, 5/1/2010 |
|
|
1,275,000 |
|
1,377,000 | ||||
|
Regency Energy Partners LP, 8.375%, 12/15/2013 |
|
|
320,000 |
|
326,400 | ||||
|
Reliant Energy, Inc., 7.875%, 6/15/2017 (b) |
|
|
565,000 |
|
545,225 | ||||
|
Sierra Pacific Resources: |
| ||||||||
|
|
6.75%, 8/15/2017 |
|
|
535,000 |
|
520,523 | |||
|
|
8.625%, 3/15/2014 |
|
|
108,000 |
|
112,957 | |||
|
Texas Competitive Electric Holdings Co., LLC, 144A, 10.25%, 11/1/2015 |
|
|
950,000 |
|
947,625 | ||||
|
| |||||||||
|
|
16,118,302 | ||||||||
|
| |||||||||
|
Total Corporate Bonds (Cost $151,476,913) |
|
140,672,027 | |||||||
|
|
Government & Agency Obligations 48.4% |
| |||||||
|
Sovereign Bonds |
| ||||||||
|
Dominican Republic: |
| ||||||||
|
|
144A, 8.625%, 4/20/2027 |
|
|
460,000 |
|
427,800 | |||
|
|
Series REG S, 9.5%, 9/27/2011 |
|
|
1,002,883 |
|
1,022,941 | |||
|
Federative Republic of Brazil: |
| ||||||||
|
|
6.0%, 1/17/2017 |
|
|
8,535,000 |
|
8,739,840 | |||
|
|
7.125%, 1/20/2037 |
|
|
2,095,000 |
|
2,332,782 | |||
|
|
7.875%, 3/7/2015 |
|
|
1,980,000 |
|
2,249,478 | |||
|
|
8.75%, 2/4/2025 |
|
|
1,685,000 |
|
2,106,250 | |||
|
|
8.875%, 10/14/2019 |
|
|
2,415,000 |
|
2,997,015 | |||
|
|
11.0%, 8/17/2040 (b) |
|
|
4,565,000 |
|
6,030,365 | |||
|
|
12.5%, 1/5/2016 |
BRL |
|
2,070,000 |
|
1,308,742 | |||
|
Government of Ukraine, Series REG S, 7.65%, 6/11/2013 |
|
|
1,685,000 |
|
1,617,280 | ||||
|
Republic of Argentina: |
| ||||||||
|
|
3.127% ***, 8/3/2012 (PIK) |
|
|
3,185,000 |
|
2,527,893 | |||
|
|
5.83%, 12/31/2033 (PIK) |
ARS |
|
749 |
|
228 | |||
|
Republic of Colombia: |
| ||||||||
|
|
7.375%, 1/27/2017 (b) |
|
|
1,035,000 |
|
1,138,500 | |||
|
|
8.25%, 12/22/2014 |
|
|
690,000 |
|
786,600 | |||
|
|
10.0%, 1/23/2012 |
|
|
2,375,000 |
|
2,755,000 | |||
|
|
10.75%, 1/15/2013 |
|
|
780,000 |
|
944,580 | |||
|
Republic of El Salvador, 144A, 7.65%, 6/15/2035 |
|
|
3,780,000 |
|
3,893,400 | ||||
|
Republic of Ghana, 144A, 8.5%, 10/4/2017 |
|
|
175,000 |
|
174,125 | ||||
|
Republic of Indonesia, 144A, 6.875%, 3/9/2017 |
|
|
2,615,000 |
|
2,628,075 | ||||
|
Republic of Panama: |
| ||||||||
|
|
7.125%, 1/29/2026 |
|
|
2,005,000 |
|
2,145,350 | |||
|
|
9.375%, 1/16/2023 |
|
|
2,610,000 |
|
3,314,700 | |||
|
Republic of Peru, 7.35%, 7/21/2025 (b) |
|
|
7,395,000 |
|
8,282,400 | ||||
|
Republic of Philippines: |
| ||||||||
|
|
7.75%, 1/14/2031 (b) |
|
|
610,000 |
|
667,950 | |||
|
|
8.0%, 1/15/2016 |
|
|
3,860,000 |
|
4,255,650 | |||
|
|
8.375%, 2/15/2011 |
|
|
780,000 |
|
827,814 | |||
|
|
9.375%, 1/18/2017 |
|
|
1,535,000 |
|
1,834,325 | |||
|
Republic of South Africa, 6.5%, 6/2/2014 |
|
|
7,040,000 |
|
7,233,600 | ||||
|
Republic of Turkey: |
| ||||||||
|
|
7.0%, 9/26/2016 |
|
|
3,170,000 |
|
3,245,287 | |||
|
|
7.25%, 3/15/2015 |
|
|
665,000 |
|
691,600 | |||
|
|
11.75%, 6/15/2010 |
|
|
4,495,000 |
|
5,034,400 | |||
|
Republic of Uruguay: |
| ||||||||
|
|
7.625%, 3/21/2036 |
|
|
615,000 |
|
622,688 | |||
|
|
8.0%, 11/18/2022 |
|
|
1,395,000 |
|
1,485,675 | |||
|
|
9.25%, 5/17/2017 |
|
|
1,825,000 |
|
2,144,375 | |||
|
Republic of Venezuela, 10.75%, 9/19/2013 |
|
|
6,035,000 |
|
6,185,875 | ||||
|
Socialist Republic of Vietnam, 144A, 6.875%, 1/15/2016 |
|
|
3,770,000 |
|
3,666,325 | ||||
|
United Mexican States: |
| ||||||||
|
|
5.625%, 1/15/2017 (b) |
|
|
3,195,000 |
|
3,225,352 | |||
|
|
Series A, 5.875%, 1/15/2014 |
|
|
6,225,000 |
|
6,436,650 | |||
|
|
Series A, 6.75%, 9/27/2034 |
|
|
662,000 |
|
711,650 | |||
|
| |||||||||
|
Total Government & Agency Obligations (Cost $105,398,346) |
|
105,692,560 | |||||||
|
|
Loan Participations and Assignments 7.3% |
| |||||||
|
Senior Loans*** 6.8% |
| ||||||||
|
Advanced Medical Optics, Inc., Term Loan B, LIBOR plus 1.75%, 4.957%, 4/2/2014 |
|
|
128,375 |
|
117,302 | ||||
|
Algoma Steel, Inc., Term Loan, LIBOR plus 2.5%, 5.707%, 6/30/2013 |
|
|
221,039 |
|
210,263 | ||||
|
Alltel Communication, Inc., Term Loan B1, LIBOR plus 2.75%, 5.957%, 5/15/2015 |
|
|
1,635,000 |
|
1,632,613 | ||||
|
Aspect Software, Inc., Term Loan B, LIBOR plus 2.5%, 5.707%, 6/29/2011 |
|
|
437,103 |
|
408,145 | ||||
|
Bausch & Lomb, Inc.: |
| ||||||||
|
|
Term Delay Draw, LIBOR plus 3.25%, 6.457%, 4/11/2015 |
|
|
51,000 |
|
49,770 | |||
|
|
Term Loan B, LIBOR plus 3.25%, 6.457%, 4/11/2015 |
|
|
319,200 |
|
311,501 | |||
|
Buffets, Inc.: |
| ||||||||
|
|
Letter of Credit, 4.73%, 5/1/2013 |
|
|
54,739 |
|
27,141 | |||
|
|
Term Loan, 9.719%, 5/1/2013 |
|
|
17,490 |
|
8,672 | |||
|
|
Term Loan B, 9.719%, 11/1/2013 |
|
|
540,709 |
|
268,102 | |||
|
Charter Communications Operations: |
| ||||||||
|
|
Term Loan, LIBOR plus 2.0%, 5.207%, 3/6/2014 |
|
|
380,000 |
|
375,883 | |||
|
|
Term Loan B, LIBOR plus 3.25%, 6.457%, 4/27/2011 |
|
|
1,087,270 |
|
953,672 | |||
|
Community Health Systems, Inc.: |
| ||||||||
|
|
Term Delay Draw, LIBOR plus 2.25%, 5.457%, 7/25/2014 |
|
|
33,944 |
|
32,164 | |||
|
|
Term Loan, LIBOR plus 2.25%, 5.457%, 7/25/2014 |
|
|
663,707 |
|
628,909 | |||
|
Cricket Communications, Inc., Term Loan B, LIBOR plus 3.0%, 6.207%, 6/16/2013 |
|
|
598,473 |
|
592,489 | ||||
|
Energy Future Holdings Corp.: |
| ||||||||
|
|
Term Loan B1, LIBOR plus 3.5%, 6.707%, 10/10/2014 |
|
|
1,195,963 |
|
1,113,740 | |||
|
|
Term Loan B3, LIBOR plus 3.5%, 6.707%, 10/10/2014 |
|
|
1,855,675 |
|
1,731,465 | |||
|
Ford Motor Co., Term Loan, LIBOR plus 3.0%, 6.207%, 12/16/2013 |
|
|
250,000 |
|
194,861 | ||||
|
General Nutrition Centers, Inc., Term Loan B, LIBOR plus 2.25%, 5.457%, 9/16/2013 |
|
|
124,058 |
|
113,513 | ||||
|
Georgia-Pacific Corp., Term Loan B1, LIBOR plus 2.0%, 5.207%, 12/20/2012 |
|
|
530,000 |
|
501,650 | ||||
|
Golden Nugget, 5.73%, 6/16/2014 |
|
|
230,000 |
|
144,900 | ||||
|
Graphic Packaging International, Inc., Tern Loan, LIBOR plus 2.75%, 5.957%, 5/16/2014 |
|
|
530,000 |
|
513,143 | ||||
|
Hawker Beechcraft, Inc.: |
| ||||||||
|
|
Letter of Credit, LIBOR plus 2.0%, 5.207%, 3/26/2014 |
|
|
47,680 |
|
44,681 | |||
|
|
Term Loan B, LIBOR plus 2.0%, 5.207%, 3/26/2014 |
|
|
816,115 |
|
764,789 | |||
|
HCA, Inc., Term Loan A1, 4.301%, 11/18/2012 |
|
|
1,732,049 |
|
1,623,206 | ||||
|
Hexion Specialty Chemicals: |
| ||||||||
|
|
Term Loan C1, LIBOR plus 2.25%, 5.457%, 5/5/2013 |
|
|
205,371 |
|
177,292 | |||
|
|
Term Loan C2, LIBOR plus 2.25%, 5.457%, 5/5/2013 |
|
|
832,487 |
|
718,669 | |||
|
IASIS Healthcare LLC, 8.043%, 6/15/2014 |
|
|
311,293 |
|
273,938 | ||||
|
Longview Power LLC: |
| ||||||||
|
|
Demand Draw, 5.063%, 4/1/2014 |
|
|
53,667 |
|
47,763 | |||
|
|
Letter of Credit, 5.063%, 4/1/2014 |
|
|
15,333 |
|
13,647 | |||
|
|
Term Loan B, 5.063%, 4/1/2014 |
|
|
46,000 |
|
40,940 | |||
|
NewPage Corp., Term Loan B, LIBOR plus 3.0%, 6.207%, 11/5/2014 |
|
|
49,750 |
|
48,710 | ||||
|
Sabre, Inc., Term Loan B, LIBOR plus 2.25%, 5.457%, 9/30/2014 |
|
|
199,221 |
|
152,653 | ||||
|
Symbion, Inc.: |
| ||||||||
|
|
Term Loan A, 6.149%, 8/23/2013 |
|
|
94,850 |
|
85,365 | |||
|
|
Term Loan B, 6.149%, 8/23/2014 |
|
|
94,850 |
|
85,365 | |||
|
Telesat Canada, Inc.: |
| ||||||||
|
|
Term Loan, 5.9%, 9/1/2014 |
|
|
142,913 |
|
137,579 | |||
|
|
Term Loan B, LIBOR plus 3.0%, 6.207%, 10/31/2014 |
|
|
459,262 |
|
442,121 | |||
|
Tribune Co., Term Loan B, 5.786%, 5/24/2014 |
|
|
405,900 |
|
280,883 | ||||
|
| |||||||||
|
|
14,867,499 | ||||||||
|
Sovereign Loans 0.5% |
| ||||||||
|
CSFB International (Exim Ukraine), 6.8%, 10/4/2012 |
|
|
1,215,000 |
|
1,092,042 | ||||
|
| |||||||||
|
Total Loan Participations and Assignments (Cost $16,917,434) |
|
15,959,541 | |||||||
|
|
|
| |||||||
|
|
Preferred Securities 0.2% |
| |||||||
|
Financials |
| ||||||||
|
Citigroup, Inc., Series E, 8.4%, 4/30/2018 (e) |
|
|
425,000 |
|
360,834 | ||||
|
Xerox Capital Trust I, 8.0%, 2/1/2027 |
|
|
120,000 |
|
114,259 | ||||
|
| |||||||||
|
Total Preferred Securities (Cost $550,175) |
|
475,093 | |||||||
|
|
Units |
|
Value ($) | ||||||||||
|
| |||||||||||||
|
|
Other Investments 0.2% |
| |||||||||||
|
Hercules, Inc., (Bond Unit), 6.5%, 6/30/2029 (Cost $339,704) |
|
400,000 |
|
320,000 | |||||||||
|
|
|
| |||||||||||
|
|
Shares |
|
Value ($) | ||||||||||
|
| |||||||||||||
|
|
Common Stocks 0.0% |
| |||||||||||
|
Materials |
| ||||||||||||
|
GEO Specialty Chemicals, Inc.* |
|
7,125 |
|
6,056 | |||||||||
|
GEO Specialty Chemicals, Inc. 144A* |
|
649 |
|
552 | |||||||||
|
| |||||||||||||
|
Total Common Stocks (Cost $87,834) |
|
6,608 | |||||||||||
|
|
Warrants 0.0% |
| |||||||||||
|
Financials 0.0% |
| ||||||||||||
|
New ASAT (Finance) Ltd., Expiration Date 2/1/2011* |
|
52,000 |
|
17,297 | |||||||||
|
Industrials 0.0% |
| ||||||||||||
|
DeCrane Aircraft Holdings, Inc., 144A, Expiration Date 9/30/2008* |
|
350 |
|
0 | |||||||||
|
Materials 0.0% |
| ||||||||||||
|
Dayton Superior Corp., 144A, Expiration Date 6/15/2009* |
|
25 |
|
0 | |||||||||
|
| |||||||||||||
|
Total Warrants (Cost $0) |
|
17,297 | |||||||||||
|
|
Convertible Preferred Stock 0.0% |
| |||||||||||
|
Consumer Discretionary |
| ||||||||||||
|
ION Media Networks, Inc.: |
| ||||||||||||
|
|
144A, 12.0%* |
|
|
75,000 |
|
487 | |||||||
|
|
Series AI, 144A, 12.0%* |
|
|
15,000 |
|
98 | |||||||
|
| |||||||||||||
|
Total Convertible Preferred Stocks (Cost $12,580) |
|
585 | |||||||||||
|
|
Securities Lending Collateral 10.2% |
| |||||||||||
|
Daily Assets Fund Institutional, 2.65% (f) (g) |
|
|
22,304,741 |
|
22,304,741 | ||||||||
|
|
Cash Equivalents 1.6% |
| |||||||||||
|
Cash Management QP Trust, 2.44% (f) |
|
|
3,487,928 |
|
3,487,928 | ||||||||
|
|
% of |
|
Value ($) | ||||||||||
|
| |||||||||||||
|
Total Investment Portfolio (Cost $300,575,655) † |
132.4 |
|
288,936,380 | ||||||||||
|
Other Assets and Liabilities, Net |
(9.3) |
|
(20,263,284) | ||||||||||
|
Notes Payable |
(23.1) |
|
(50,500,000) | ||||||||||
|
| |||||||||||||
|
Net Assets |
100.0 |
|
218,173,096 | ||||||||||
|
For information on the Fund's policies regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual or annual financial statements. | |||||||||||||
|
* |
Non-income producing security. | ||||||||||||
|
|
| ||||||||||||
|
|
| ||||||||||||
|
|
| ||||||||||||
|
|
** |
Non-income producing security. In the case of a bond, generally denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy. The following table represents bonds that are in default: |
| |||||||||||
|
Securities |
Coupon |
Maturity |
Principal Amount |
Acquisition |
Value ($) | |||||||||
|
American Color Graphics, Inc. |
10.0% |
6/15/2010 |
370,000 |
USD |
273,644 |
66,600 | ||||||||
|
Congoleum Corp. |
8.625% |
8/1/2008 |
395,000 |
USD |
392,755 |
296,250 | ||||||||
|
Quebecor World, Inc. |
9.75% |
1/15/2015 |
205,000 |
USD |
206,950 |
92,250 | ||||||||
|
Radnor Holdings Corp. |
11.0% |
3/15/2010 |
90,000 |
USD |
79,463 |
113 | ||||||||
|
Tropicana Entertainment LLC |
9.625% |
12/15/2014 |
730,000 |
USD |
547,250 |
233,600 | ||||||||
|
|
|
|
|
|
1,500,062 |
688,813 | ||||||||
|
|
*** |
Floating rate notes are securities whose yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate These securities are shown at their current rate as of August 31, 2008. |
| |||||||||||
|
|
† |
The cost for federal income tax purposes was $302,936,753. At August 31, 2008, net unrealized depreciation for all securities based on tax cost was $14,000,373. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $3,248,563 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $17,248,936. |
| |||||||||||
|
|
(a) |
Principal amount stated in US dollars unless otherwise noted. |
| |||||||||||
|
|
(b) |
All or a portion of these securities were on loan. The value of all securities loaned at August 31, 2008 amounted to $21,574,570 which is 9.9% of net assets. |
| |||||||||||
|
|
(c) |
Security has deferred its 6/15/2008 interest payment until 12/15/2008. |
| |||||||||||
|
|
(d) |
Security issued in lieu of interest payment due 12/15/2007, which has been deferred until 9/15/2008. This security is deemed to be non-income producing. |
| |||||||||||
|
|
(e) |
Date shown is call date; not a maturity date for the perpetual preferred securities. |
| |||||||||||
|
|
(f) |
Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end. |
| |||||||||||
|
|
(g) |
Represents collateral held in connection with securities lending Income earned by the Fund is net of borrower rebates. |
| |||||||||||
|
|
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| ||||||||||||
|
|
LIBOR: Represents the London InterBank Offered Rate. |
| ||||||||||||
|
|
PIK: Denotes that all or a portion of the income is paid in kind. |
| ||||||||||||
|
|
At August 31, 2008, the Fund had unfunded loan commitments of $33,830 which could be extended at the option of the borrower, pursuant to the following loan agreement: |
| ||||||||||||
|
|
|
Unfunded Loan |
|
Unrealized |
| |||||||||
|
|
Borrower |
Commitment ($) |
Value ($) |
Depreciation ($) |
| |||||||||
|
|
Bausch & Lomb, Inc., Term Delay Draw, 4/11/2015 |
33,830 |
33,180 |
(650) |
| |||||||||
|
|
|
| ||||||||||||
|
|
At August 31, 2008, open credit default swap contracts sold were as follows: |
| ||||||||||||
|
Effective/ |
|
Notional |
|
Cash Flows |
|
Underlying Debt Obligation |
|
Unrealized | |||
|
| |||||||||||
|
| |||||||||||
|
10/3/2007 12/20/2008 |
|
200,0001 |
|
Fixed — 3.2% |
|
General Motors Corp., 7.125%, 7/15/2013 |
|
(4,175) |
| ||
|
10/23/2007 12/20/2008 |
|
440,0002 |
|
Fixed — 3.0% |
|
General Motors Corp., 7.125%, 7/15/2013 |
|
(9,461) |
| ||
|
10/4/2007 12/20/2008 |
|
200,0003 |
|
Fixed — 3.1% |
|
Ford Motor Co., 6.5%, 8/1/2018 |
|
(2,816) |
| ||
|
10/5/2007 12/20/2008 |
|
125,0001 |
|
Fixed — 3.15% |
|
Ford Motor Co., 6.5%, 8/1/2018 |
|
(1,740) |
| ||
|
10/23/2007 12/20/2008 |
|
435,0002 |
|
Fixed — 3.4% |
|
Ford Motor Co., 6.5%, 8/1/2018 |
|
(5,715) |
| ||
|
11/21/2007 12/20/2008 |
|
220,0004 |
|
Fixed — 4.02% |
|
Tenet Healthcare Corp., 7.375%, 2/1/2013 |
|
1,235 |
| ||
|
2/19/2008 3/20/2009 |
|
665,0004 |
|
Fixed — 3.8% |
|
HCA, Inc., 7.7%, 3/20/2009 |
|
6,135 |
| ||
|
2/26/2008 3/20/2009 |
|
515,0004 |
|
Fixed — 5.0% |
|
Tenet Healthcare Corp., 7.375%, 2/1/2013 |
|
7,805 |
| ||
|
10/13/2007 12/20/2009 |
|
230,0004 |
|
Fixed — 3.85% |
|
Ford Motor Co., 6.5%, 8/1/2018 |
|
(38,705) |
| ||
|
12/13/2007 12/20/2009 |
|
220,0004 |
|
Fixed — 5.05% |
|
Ford Motor Co., 6.5%, 8/1/2018 |
|
(20,004) |
| ||
|
11/5/2007 12/20/2012 |
|
6,000,0001 |
|
Fixed — 0.77% |
|
Government of Russia, 7.5%, 3/21/2010 |
|
(116,538) |
| ||
|
Total net unrealized depreciation |
|
|
|
|
(183,979) |
| |||||
|
At August 31,2008, open credit default swap contracts purchased were as follows: | |||||||||||||
|
|
Effective/ |
|
Notional |
|
Cash Flows |
|
Underlying Debt Obligation |
|
Unrealized |
| |||
|
|
|
| |||||||||||
|
|
|
| |||||||||||
|
|
5/6/2008 6/20/2013 |
|
240,0004 |
|
Fixed — 7.25% |
|
ARCO Chemical Co., 9.8%, 2/1/2020 |
|
20,184 |
| |||
|
Counterparties: | |
|
1 |
JPMorgan Chase Securities, Inc. |
|
2 |
Morgan Stanley Co., Inc. |
|
3 |
The Goldman Sachs & Co. |
|
4 |
Merrill Lynch & Co., Inc. |
|
As of August 31, 2008, the Fund had the following open forward foreign exchange contracts: | ||||||
|
|
|
|
|
Settlement |
Unrealized |
|
|
Contracts to Deliver |
In Exchange For |
Date |
Appreciation ($) |
| ||
|
EUR |
2,171,300 |
USD |
3,324,586 |
9/18/2008 |
142,153 |
|
|
EUR |
87,900 |
USD |
128,991 |
9/18/2008 |
157 |
|
|
Total unrealized appreciation |
|
|
142,310 |
| ||
|
Currency Abbreviations |
|
| |
|
ARS |
Argentine Peso |
EUR |
Euro |
|
BRL |
Brazilian Real |
USD |
United States Dollar |
Fair Value Measurements
The following is a summary of the inputs used as of August 31, 2008 in valuing the Fund's investments. Please see below for information on the Fund’s policy regarding valuation inputs, and their aggregate levels used in the table below:
|
Valuation Inputs |
Investments in Securities |
Other Financial Instruments†† |
|
Level 1 |
$ 25,792,669 |
$ - |
|
Level 2 |
261,851,302 |
(22,135) |
|
Level 3 |
1,292,409 |
- |
|
Total |
$ 288,936,380 |
$ (22,135) |
†† Other financial instruments are derivative instruments not reflected in the Investment Portfolio, such as forward foreign currency exchange contracts, unfunded loan commitments and swap contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.
The following is a reconciliation of the Fund's Level 3 investments for which significant unobservable inputs were used in determining the value at August 31, 2008.
|
|
Investments in Securities |
|
Balance as of December 1, 2007 |
$ 440,173 |
|
Total realized gain (loss) |
1,436 |
|
Change in unrealized appreciation (depreciation) |
(186,814) |
|
Amortization Premium/Discount |
2,472 |
|
Net purchases (sales) |
695,142 |
|
Net transfers in (out) of Level 3 |
340,000 |
|
Balance as of August 31, 2008 |
$ 1,292,409 |
The Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("FAS 157"), effective at the beginning of the Fund’s fiscal year. FAS 157 establishes a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and requires additional disclosure about the classification of fair value measurements.
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
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ITEM 2. |
CONTROLS AND PROCEDURES |
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(a) The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report. |
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(b) There have been no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting. |
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ITEM 3. |
EXHIBITS |
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Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
SIGNATURES
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.
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Registrant: |
DWS Multi-Market Income Trust |
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By: |
/s/Michael G. Clark |
|
|
Michael G. Clark |
President
|
Date: |
October 22, 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.
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Registrant: |
DWS Multi-Market Income Trust |
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By: |
/s/Michael G. Clark |
|
|
Michael G. Clark |
President
|
Date: |
October 22, 2008 |
|
By: |
/s/Paul Schubert |
|
|
Paul Schubert |
Chief Financial Officer and Treasurer
Date: October 22, 2008