|
ITEM 1.
|
SCHEDULE OF INVESTMENTS
|
| Investment Portfolio | as of December 31, 2011 (Unaudited) |
|
Principal
Amount ($) (a)
|
Value ($)
|
|||||||||
|
Corporate Bonds 127.4%
|
||||||||||
|
Consumer Discretionary 30.0%
|
||||||||||
|
AMC Entertainment, Inc., 8.0%, 3/1/2014
|
2,255,000
|
2,226,812
|
||||||||
|
AMC Networks, Inc., 144A, 7.75%, 7/15/2021
|
165,000
|
179,438
|
||||||||
|
American Achievement Corp., 144A, 10.875%, 4/15/2016
|
255,000
|
196,350
|
||||||||
|
AutoNation, Inc., 6.75%, 4/15/2018
|
1,040,000
|
1,092,000
|
||||||||
|
Avis Budget Car Rental LLC, 8.25%, 1/15/2019
|
700,000
|
694,750
|
||||||||
|
Beazer Homes U.S.A., Inc., 9.125%, 6/15/2018
|
125,000
|
85,938
|
||||||||
|
Cablevision Systems Corp., 7.75%, 4/15/2018
|
7,250,000
|
7,685,000
|
||||||||
|
Caesar's Entertainment Operating Co., Inc.:
|
||||||||||
|
10.0%, 12/15/2018
|
1,710,000
|
1,171,350
|
||||||||
|
11.25%, 6/1/2017
|
3,900,000
|
4,138,875
|
||||||||
|
12.75%, 4/15/2018
|
875,000
|
695,625
|
||||||||
|
CCH II LLC, 13.5%, 11/30/2016
|
478,517
|
552,687
|
||||||||
|
CCO Holdings LLC:
|
||||||||||
|
7.0%, 1/15/2019
|
235,000
|
244,988
|
||||||||
|
7.25%, 10/30/2017
|
1,110,000
|
1,169,662
|
||||||||
|
7.375%, 6/1/2020
|
100,000
|
105,500
|
||||||||
|
7.875%, 4/30/2018
|
6,300,000
|
6,717,375
|
||||||||
|
Cequel Communications Holdings I LLC, 144A, 8.625%, 11/15/2017
|
2,940,000
|
3,116,400
|
||||||||
|
Clear Channel Communications, Inc., 9.0%, 3/1/2021
|
135,000
|
113,738
|
||||||||
|
Crown Media Holdings, Inc., 10.5%, 7/15/2019
|
275,000
|
289,438
|
||||||||
|
Cumulus Media, Inc., 144A, 7.75%, 5/1/2019
|
130,000
|
115,375
|
||||||||
|
DineEquity, Inc., 9.5%, 10/30/2018
|
1,115,000
|
1,197,231
|
||||||||
|
DISH DBS Corp.:
|
||||||||||
|
6.75%, 6/1/2021
|
145,000
|
156,238
|
||||||||
|
7.125%, 2/1/2016
|
2,500,000
|
2,693,750
|
||||||||
|
EH Holding Corp., 144A, 7.625%, 6/15/2021
|
435,000
|
456,750
|
||||||||
|
Gannett Co., Inc., 6.375%, 9/1/2015
|
1,830,000
|
1,857,450
|
||||||||
|
Hertz Corp.:
|
||||||||||
|
6.75%, 4/15/2019
|
350,000
|
350,875
|
||||||||
|
7.5%, 10/15/2018
|
6,000,000
|
6,270,000
|
||||||||
|
Jarden Corp., 6.125%, 11/15/2022
|
250,000
|
255,625
|
||||||||
|
Kabel BW GmbH, 144A, 7.5%, 3/15/2019
|
825,000
|
866,250
|
||||||||
|
Levi Strauss & Co., 7.625%, 5/15/2020
|
825,000
|
842,531
|
||||||||
|
Lions Gate Entertainment, Inc., 144A, 10.25%, 11/1/2016
|
505,000
|
507,525
|
||||||||
|
Mediacom Broadband LLC, 8.5%, 10/15/2015
|
425,000
|
437,750
|
||||||||
|
MGM Resorts International:
|
||||||||||
|
7.5%, 6/1/2016
|
550,000
|
526,625
|
||||||||
|
7.625%, 1/15/2017
|
385,000
|
366,712
|
||||||||
|
10.0%, 11/1/2016
|
445,000
|
467,250
|
||||||||
|
10.375%, 5/15/2014
|
1,900,000
|
2,170,750
|
||||||||
|
National CineMedia LLC, 7.875%, 7/15/2021
|
465,000
|
460,931
|
||||||||
|
Palace Entertainment Holdings LLC, 144A, 8.875%, 4/15/2017
|
390,000
|
387,075
|
||||||||
|
PETCO Animal Supplies, Inc., 144A, 9.25%, 12/1/2018
|
670,000
|
718,575
|
||||||||
|
Regal Entertainment Group, 9.125%, 8/15/2018
|
350,000
|
375,375
|
||||||||
|
Rent-A-Center, Inc., 6.625%, 11/15/2020
|
500,000
|
503,750
|
||||||||
|
Sirius XM Radio, Inc., 144A, 8.75%, 4/1/2015
|
1,015,000
|
1,111,425
|
||||||||
|
Standard Pacific Corp., 8.375%, 5/15/2018
|
745,000
|
707,750
|
||||||||
|
Stoneridge, Inc., 144A, 9.5%, 10/15/2017
|
5,100,000
|
5,227,500
|
||||||||
|
Toys "R" Us, Inc., 7.375%, 10/15/2018
|
2,235,000
|
2,005,912
|
||||||||
|
Travelport LLC, 9.0%, 3/1/2016
|
535,000
|
295,588
|
||||||||
|
UCI International, Inc., 8.625%, 2/15/2019
|
235,000
|
227,950
|
||||||||
|
Unitymedia GmbH, 144A, 9.625%, 12/1/2019
|
EUR
|
1,595,000
|
2,131,420
|
|||||||
|
Unitymedia Hessen GmbH & Co., KG, 144A, 8.125%, 12/1/2017
|
1,830,000
|
1,932,937
|
||||||||
|
Univision Communications, Inc.:
|
||||||||||
|
144A, 6.875%, 5/15/2019
|
110,000
|
106,150
|
||||||||
|
144A, 8.5%, 5/15/2021
|
135,000
|
122,850
|
||||||||
|
UPC Holding BV:
|
||||||||||
|
144A, 8.375%, 8/15/2020
|
580,000
|
707,502
|
||||||||
|
144A, 9.75%, 4/15/2018
|
795,000
|
1,046,935
|
||||||||
|
Valassis Communications, Inc., 6.625%, 2/1/2021
|
105,000
|
97,650
|
||||||||
|
Visant Corp., 10.0%, 10/1/2017
|
1,220,000
|
1,116,300
|
||||||||
|
Visteon Corp., 144A, 6.75%, 4/15/2019
|
820,000
|
817,950
|
||||||||
|
Wynn Las Vegas LLC, 7.75%, 8/15/2020
|
1,910,000
|
2,120,100
|
||||||||
|
XM Satellite Radio, Inc., 144A, 7.625%, 11/1/2018
|
3,000,000
|
3,150,000
|
||||||||
|
Yonkers Racing Corp., 144A, 11.375%, 7/15/2016
|
320,000
|
329,600
|
||||||||
|
75,715,838
|
||||||||||
|
Consumer Staples 2.9%
|
||||||||||
|
Alliance One International, Inc., 10.0%, 7/15/2016
|
500,000
|
450,000
|
||||||||
|
American Rock Salt Co., LLC, 144A, 8.25%, 5/1/2018
|
315,000
|
302,400
|
||||||||
|
B&G Foods, Inc., 7.625%, 1/15/2018
|
110,000
|
116,875
|
||||||||
|
Darling International, Inc., 8.5%, 12/15/2018
|
785,000
|
871,350
|
||||||||
|
Del Monte Corp., 7.625%, 2/15/2019
|
810,000
|
777,600
|
||||||||
|
NBTY, Inc., 9.0%, 10/1/2018
|
1,540,000
|
1,694,000
|
||||||||
|
Rite Aid Corp.:
|
||||||||||
|
7.5%, 3/1/2017
|
65,000
|
64,919
|
||||||||
|
8.0%, 8/15/2020
|
965,000
|
1,066,325
|
||||||||
|
Stater Bros. Holdings, Inc., 7.375%, 11/15/2018
|
385,000
|
406,175
|
||||||||
|
Tops Holding Corp., 10.125%, 10/15/2015
|
1,195,000
|
1,248,775
|
||||||||
|
U.S. Foodservice, 144A, 8.5%, 6/30/2019
|
385,000
|
372,487
|
||||||||
|
7,370,906
|
||||||||||
|
Energy 11.1%
|
||||||||||
|
Allis-Chalmers Energy, Inc., 9.0%, 1/15/2014
|
2,237,000
|
2,225,815
|
||||||||
|
Alpha Natural Resources, Inc., 6.0%, 6/1/2019
|
655,000
|
635,350
|
||||||||
|
Arch Coal, Inc.:
|
||||||||||
|
144A, 7.0%, 6/15/2019
|
220,000
|
224,400
|
||||||||
|
144A, 7.25%, 6/15/2021
|
350,000
|
359,625
|
||||||||
|
8.75%, 8/1/2016
|
930,000
|
1,016,025
|
||||||||
|
Bill Barrett Corp., 7.625%, 10/1/2019
|
105,000
|
109,725
|
||||||||
|
Chaparral Energy, Inc.:
|
||||||||||
|
8.25%, 9/1/2021
|
795,000
|
804,937
|
||||||||
|
9.875%, 10/1/2020
|
4,500,000
|
4,860,000
|
||||||||
|
Chesapeake Oilfield Operating LLC, 144A, 6.625%, 11/15/2019
|
400,000
|
416,000
|
||||||||
|
CONSOL Energy, Inc.:
|
||||||||||
|
144A, 6.375%, 3/1/2021
|
170,000
|
171,700
|
||||||||
|
8.0%, 4/1/2017
|
1,775,000
|
1,943,625
|
||||||||
|
Crestwood Midstream Partners LP, 144A, 7.75%, 4/1/2019
|
1,735,000
|
1,687,287
|
||||||||
|
Dresser-Rand Group, Inc., 144A, 6.5%, 5/1/2021
|
780,000
|
797,550
|
||||||||
|
Eagle Rock Energy Partners LP, 144A, 8.375%, 6/1/2019
|
510,000
|
510,000
|
||||||||
|
Frontier Oil Corp., 6.875%, 11/15/2018
|
630,000
|
645,750
|
||||||||
|
Genesis Energy LP, 7.875%, 12/15/2018
|
440,000
|
440,000
|
||||||||
|
Inergy LP, 6.875%, 8/1/2021
|
572,000
|
574,860
|
||||||||
|
Kodiak Oil & Gas Corp., 144A, 8.125%, 12/1/2019
|
300,000
|
310,875
|
||||||||
|
Linn Energy LLC, 144A, 6.5%, 5/15/2019
|
560,000
|
555,800
|
||||||||
|
MEG Energy Corp., 144A, 6.5%, 3/15/2021
|
435,000
|
444,788
|
||||||||
|
Newfield Exploration Co., 5.75%, 1/30/2022
|
770,000
|
831,600
|
||||||||
|
Oasis Petroleum, Inc.:
|
||||||||||
|
6.5%, 11/1/2021
|
300,000
|
297,750
|
||||||||
|
7.25%, 2/1/2019
|
230,000
|
238,050
|
||||||||
|
Offshore Group Investments Ltd., 11.5%, 8/1/2015
|
30,000
|
32,438
|
||||||||
|
Peabody Energy Corp.:
|
||||||||||
|
144A, 6.0%, 11/15/2018
|
255,000
|
260,100
|
||||||||
|
144A, 6.25%, 11/15/2021
|
295,000
|
305,325
|
||||||||
|
Plains Exploration & Production Co., 6.75%, 2/1/2022
|
770,000
|
806,575
|
||||||||
|
Sabine Pass LNG LP, 7.5%, 11/30/2016
|
565,000
|
567,825
|
||||||||
|
SandRidge Energy, Inc.:
|
||||||||||
|
7.5%, 3/15/2021
|
565,000
|
560,763
|
||||||||
|
144A, 8.0%, 6/1/2018
|
465,000
|
469,650
|
||||||||
|
SESI LLC:
|
||||||||||
|
6.375%, 5/1/2019
|
440,000
|
447,700
|
||||||||
|
144A, 7.125%, 12/15/2021
|
1,280,000
|
1,344,000
|
||||||||
|
Swift Energy Co., 144A, 7.875%, 3/1/2022
|
785,000
|
775,187
|
||||||||
|
Venoco, Inc., 8.875%, 2/15/2019
|
560,000
|
504,000
|
||||||||
|
WPX Energy, Inc.:
|
||||||||||
|
144A, 5.25%, 1/15/2017
|
845,000
|
849,225
|
||||||||
|
144A, 6.0%, 1/15/2022
|
620,000
|
634,725
|
||||||||
|
Xinergy Corp., 144A, 9.25%, 5/15/2019
|
320,000
|
270,400
|
||||||||
|
27,929,425
|
||||||||||
|
Financials 17.9%
|
||||||||||
|
Algoma Acquisition Corp., 144A, 9.875%, 6/15/2015
|
450,000
|
387,000
|
||||||||
|
Ally Financial, Inc., 6.25%, 12/1/2017
|
7,000,000
|
6,752,200
|
||||||||
|
Antero Resources Finance Corp.:
|
||||||||||
|
144A, 7.25%, 8/1/2019
|
540,000
|
553,500
|
||||||||
|
9.375%, 12/1/2017
|
225,000
|
243,000
|
||||||||
|
AWAS Aviation Capital Ltd., 144A, 7.0%, 10/17/2016
|
971,800
|
971,800
|
||||||||
|
Calpine Construction Finance Co., LP, 144A, 8.0%, 6/1/2016
|
810,000
|
874,800
|
||||||||
|
DPL, Inc., 144A, 6.5%, 10/15/2016
|
2,395,000
|
2,550,675
|
||||||||
|
DuPont Fabros Technology LP, (REIT), 8.5%, 12/15/2017
|
750,000
|
802,500
|
||||||||
|
E*TRADE Financial Corp.:
|
||||||||||
|
6.75%, 6/1/2016
|
545,000
|
528,650
|
||||||||
|
7.875%, 12/1/2015
|
2,000,000
|
2,010,000
|
||||||||
|
12.5%, 11/30/2017
|
3,095,000
|
3,497,350
|
||||||||
|
Felcor Lodging LP, (REIT), 6.75%, 6/1/2019
|
390,000
|
374,400
|
||||||||
|
Fibria Overseas Finance Ltd., 144A, 6.75%, 3/3/2021
|
220,000
|
200,750
|
||||||||
|
Ford Motor Credit Co., LLC:
|
||||||||||
|
5.0%, 5/15/2018
|
780,000
|
782,023
|
||||||||
|
5.875%, 8/2/2021
|
560,000
|
583,636
|
||||||||
|
6.625%, 8/15/2017
|
1,000,000
|
1,088,559
|
||||||||
|
8.7%, 10/1/2014
|
2,000,000
|
2,233,208
|
||||||||
|
Fresenius Medical Care U.S. Finance, Inc.:
|
||||||||||
|
144A, 5.75%, 2/15/2021
|
235,000
|
234,706
|
||||||||
|
144A, 6.5%, 9/15/2018
|
210,000
|
219,975
|
||||||||
|
Hexion U.S. Finance Corp., 8.875%, 2/1/2018
|
4,720,000
|
4,425,000
|
||||||||
|
International Lease Finance Corp.:
|
||||||||||
|
5.75%, 5/15/2016
|
205,000
|
190,146
|
||||||||
|
6.25%, 5/15/2019
|
510,000
|
471,133
|
||||||||
|
8.75%, 3/15/2017
|
1,840,000
|
1,895,200
|
||||||||
|
Level 3 Financing, Inc., 144A, 8.125%, 7/1/2019
|
375,000
|
369,375
|
||||||||
|
MPT Operating Partnership LP, (REIT), 6.875%, 5/1/2021
|
550,000
|
545,188
|
||||||||
|
NII Capital Corp., 7.625%, 4/1/2021
|
375,000
|
372,188
|
||||||||
|
Nuveen Investments, Inc.:
|
||||||||||
|
10.5%, 11/15/2015
|
1,420,000
|
1,409,350
|
||||||||
|
144A, 10.5%, 11/15/2015
|
895,000
|
879,337
|
||||||||
|
Odebrecht Finance Ltd., 144A, 6.0%, 4/5/2023
|
800,000
|
802,000
|
||||||||
|
OMEGA Healthcare Investors, Inc., (REIT), 6.75%, 10/15/2022
|
135,000
|
135,675
|
||||||||
|
Pinnacle Foods Finance LLC, 9.25%, 4/1/2015
|
1,950,000
|
2,001,187
|
||||||||
|
Reynolds Group Issuer, Inc.:
|
||||||||||
|
144A, 9.0%, 4/15/2019
|
2,330,000
|
2,213,500
|
||||||||
|
144A, 9.25%, 5/15/2018
|
3,715,000
|
3,557,112
|
||||||||
|
UPCB Finance III Ltd., 144A, 6.625%, 7/1/2020
|
345,000
|
339,825
|
||||||||
|
UPCB Finance V Ltd., 144A, 7.25%, 11/15/2021
|
405,000
|
410,063
|
||||||||
|
Wind Acquisition Finance SA, 144A, 7.25%, 2/15/2018
|
400,000
|
364,000
|
||||||||
|
45,269,011
|
||||||||||
|
Health Care 4.0%
|
||||||||||
|
Aviv Healthcare Properties LP, 7.75%, 2/15/2019
|
455,000
|
445,900
|
||||||||
|
Community Health Systems, Inc., 8.875%, 7/15/2015
|
518,000
|
534,835
|
||||||||
|
HCA Holdings, Inc., 7.75%, 5/15/2021
|
1,275,000
|
1,297,313
|
||||||||
|
HCA, Inc.:
|
||||||||||
|
6.5%, 2/15/2020
|
2,155,000
|
2,235,812
|
||||||||
|
7.5%, 2/15/2022
|
1,615,000
|
1,651,337
|
||||||||
|
7.875%, 2/15/2020
|
2,110,000
|
2,278,800
|
||||||||
|
STHI Holding Corp., 144A, 8.0%, 3/15/2018
|
325,000
|
333,938
|
||||||||
|
Tenet Healthcare Corp., 144A, 6.25%, 11/1/2018
|
1,200,000
|
1,221,000
|
||||||||
|
9,998,935
|
||||||||||
|
Industrials 19.4%
|
||||||||||
|
Accuride Corp., 9.5%, 8/1/2018
|
6,000,000
|
5,790,000
|
||||||||
|
Aguila 3 SA, 144A, 7.875%, 1/31/2018
|
605,000
|
586,850
|
||||||||
|
Armored Autogroup, Inc., 144A, 9.25%, 11/1/2018
|
500,000
|
386,250
|
||||||||
|
B-Corp Merger Sub, Inc., 144A, 8.25%, 6/1/2019
|
320,000
|
300,800
|
||||||||
|
BE Aerospace, Inc., 6.875%, 10/1/2020
|
8,000,000
|
8,720,000
|
||||||||
|
Boart Longyear Management Pty Ltd., 144A, 7.0%, 4/1/2021
|
360,000
|
365,400
|
||||||||
|
Briggs & Stratton Corp., 6.875%, 12/15/2020
|
370,000
|
379,250
|
||||||||
|
Building Materials Corp. of America, 144A, 7.5%, 3/15/2020
|
6,000,000
|
6,480,000
|
||||||||
|
Casella Waste Systems, Inc., 7.75%, 2/15/2019
|
820,000
|
801,550
|
||||||||
|
Cenveo Corp., 8.875%, 2/1/2018
|
2,140,000
|
1,867,150
|
||||||||
|
CHC Helicopter SA, 144A, 9.25%, 10/15/2020
|
1,560,000
|
1,404,000
|
||||||||
|
Deluxe Corp., 144A, 7.0%, 3/15/2019
|
335,000
|
325,788
|
||||||||
|
Ducommun, Inc., 144A, 9.75%, 7/15/2018
|
320,000
|
324,800
|
||||||||
|
DynCorp International, Inc., 10.375%, 7/1/2017
|
3,000,000
|
2,610,000
|
||||||||
|
Florida East Coast Railway Corp., 8.125%, 2/1/2017
|
435,000
|
429,563
|
||||||||
|
H&E Equipment Services, Inc., 8.375%, 7/15/2016
|
9,000,000
|
9,202,500
|
||||||||
|
Heckler & Koch GmbH, 144A, 9.5%, 5/15/2018
|
EUR
|
355,000
|
291,756
|
|||||||
|
Huntington Ingalls Industries, Inc.:
|
||||||||||
|
144A, 6.875%, 3/15/2018
|
335,000
|
328,300
|
||||||||
|
144A, 7.125%, 3/15/2021
|
110,000
|
107,800
|
||||||||
|
Interline Brands, Inc., 7.0%, 11/15/2018
|
200,000
|
207,000
|
||||||||
|
Kansas City Southern de Mexico SA de CV:
|
||||||||||
|
6.625%, 12/15/2020
|
3,000,000
|
3,180,000
|
||||||||
|
8.0%, 2/1/2018
|
1,220,000
|
1,335,900
|
||||||||
|
Navios Maritime Holdings, Inc.:
|
||||||||||
|
8.125%, 2/15/2019
|
770,000
|
573,650
|
||||||||
|
8.875%, 11/1/2017
|
815,000
|
776,287
|
||||||||
|
Spirit AeroSystems, Inc., 6.75%, 12/15/2020
|
955,000
|
997,975
|
||||||||
|
United Rentals North America, Inc., 10.875%, 6/15/2016
|
1,145,000
|
1,270,950
|
||||||||
|
49,043,519
|
||||||||||
|
Information Technology 6.9%
|
||||||||||
|
Allen Systems Group, Inc., 144A, 10.5%, 11/15/2016
|
225,000
|
195,750
|
||||||||
|
Amkor Technology, Inc.:
|
||||||||||
|
6.625%, 6/1/2021
|
140,000
|
134,750
|
||||||||
|
7.375%, 5/1/2018
|
660,000
|
674,850
|
||||||||
|
Avaya, Inc., 144A, 7.0%, 4/1/2019
|
1,605,000
|
1,556,850
|
||||||||
|
CDW LLC:
|
||||||||||
|
8.5%, 4/1/2019
|
2,950,000
|
2,972,125
|
||||||||
|
11.0%, 10/12/2015
|
256,000
|
268,800
|
||||||||
|
CommScope, Inc., 144A, 8.25%, 1/15/2019
|
940,000
|
940,000
|
||||||||
|
eAccess Ltd., 144A, 8.25%, 4/1/2018
|
315,000
|
299,250
|
||||||||
|
Equinix, Inc.:
|
||||||||||
|
7.0%, 7/15/2021
|
440,000
|
464,200
|
||||||||
|
8.125%, 3/1/2018
|
230,000
|
250,700
|
||||||||
|
Fidelity National Information Services, Inc., 144A, 7.625%, 7/15/2017
|
105,000
|
113,138
|
||||||||
|
First Data Corp.:
|
||||||||||
|
144A, 7.375%, 6/15/2019
|
325,000
|
305,500
|
||||||||
|
144A, 8.25%, 1/15/2021
|
380,000
|
340,100
|
||||||||
|
Freescale Semiconductor, Inc., 144A, 9.25%, 4/15/2018
|
1,995,000
|
2,132,156
|
||||||||
|
Jabil Circuit, Inc., 5.625%, 12/15/2020
|
3,750,000
|
3,815,625
|
||||||||
|
Sanmina-SCI Corp., 144A, 7.0%, 5/15/2019
|
230,000
|
224,250
|
||||||||
|
Seagate HDD Cayman, 144A, 7.0%, 11/1/2021
|
550,000
|
563,750
|
||||||||
|
Sensata Technologies BV, 144A, 6.5%, 5/15/2019
|
555,000
|
548,062
|
||||||||
|
SunGard Data Systems, Inc., 10.25%, 8/15/2015
|
1,600,000
|
1,658,000
|
||||||||
|
17,457,856
|
||||||||||
|
Materials 11.0%
|
||||||||||
|
APERAM:
|
||||||||||
|
144A, 7.375%, 4/1/2016
|
405,000
|
346,275
|
||||||||
|
144A, 7.75%, 4/1/2018
|
495,000
|
410,850
|
||||||||
|
Berry Plastics Corp.:
|
||||||||||
|
8.25%, 11/15/2015
|
1,225,000
|
1,304,625
|
||||||||
|
9.75%, 1/15/2021
|
1,290,000
|
1,286,775
|
||||||||
|
Beverage Packaging Holdings Luxembourg II SA, 144A, 8.0%, 12/15/2016
|
EUR
|
1,910,000
|
2,101,216
|
|||||||
|
Crown Americas LLC, 6.25%, 2/1/2021
|
105,000
|
109,725
|
||||||||
|
Essar Steel Algoma, Inc., 144A, 9.375%, 3/15/2015
|
3,345,000
|
3,244,650
|
||||||||
|
Exopack Holding Corp., 144A, 10.0%, 6/1/2018
|
435,000
|
435,000
|
||||||||
|
FMG Resources August 2006 Pty Ltd.:
|
||||||||||
|
144A, 7.0%, 11/1/2015
|
200,000
|
202,000
|
||||||||
|
144A, 8.25%, 11/1/2019
|
1,045,000
|
1,063,287
|
||||||||
|
Huntsman International LLC, 8.625%, 3/15/2020
|
585,000
|
620,100
|
||||||||
|
Ineos Finance PLC, 144A, 9.0%, 5/15/2015
|
3,250,000
|
3,298,750
|
||||||||
|
JMC Steel Group, 144A, 8.25%, 3/15/2018
|
325,000
|
316,875
|
||||||||
|
Koppers, Inc., 7.875%, 12/1/2019
|
750,000
|
795,000
|
||||||||
|
Longview Fibre Paper & Packaging, Inc., 144A, 8.0%, 6/1/2016
|
320,000
|
320,000
|
||||||||
|
LyondellBasell Industries NV, 144A, 6.0%, 11/15/2021
|
200,000
|
207,500
|
||||||||
|
Momentive Performance Materials, Inc., 9.0%, 1/15/2021
|
380,000
|
288,800
|
||||||||
|
Nalco Co., 144A, 6.625%, 1/15/2019
|
289,000
|
334,518
|
||||||||
|
Novelis, Inc.:
|
||||||||||
|
8.375%, 12/15/2017
|
1,595,000
|
1,694,687
|
||||||||
|
8.75%, 12/15/2020
|
1,550,000
|
1,662,375
|
||||||||
|
Owens-Brockway Glass Container, Inc., 7.375%, 5/15/2016
|
3,135,000
|
3,432,825
|
||||||||
|
Packaging Dynamics Corp., 144A, 8.75%, 2/1/2016
|
610,000
|
610,000
|
||||||||
|
Phibro Animal Health Corp., 144A, 9.25%, 7/1/2018
|
65,000
|
56,388
|
||||||||
|
Polymer Group, Inc., 144A, 7.75%, 2/1/2019
|
590,000
|
610,650
|
||||||||
|
Quadra FNX Mining Ltd., 144A, 7.75%, 6/15/2019
|
1,180,000
|
1,334,875
|
||||||||
|
SunCoke Energy, Inc., 144A, 7.625%, 8/1/2019
|
320,000
|
320,000
|
||||||||
|
Verso Paper Holdings LLC, 8.75%, 2/1/2019
|
255,000
|
155,550
|
||||||||
|
Vulcan Materials Co., 6.5%, 12/1/2016
|
1,105,000
|
1,140,912
|
||||||||
|
27,704,208
|
||||||||||
|
Telecommunication Services 18.2%
|
||||||||||
|
Cincinnati Bell, Inc., 8.25%, 10/15/2017
|
5,575,000
|
5,602,875
|
||||||||
|
CPI International, Inc., 8.0%, 2/15/2018
|
500,000
|
416,250
|
||||||||
|
Cricket Communications, Inc.:
|
||||||||||
|
7.75%, 10/15/2020
|
4,500,000
|
3,937,500
|
||||||||
|
10.0%, 7/15/2015
|
1,000,000
|
1,000,000
|
||||||||
|
Digicel Group Ltd., 144A, 10.5%, 4/15/2018
|
1,170,000
|
1,175,850
|
||||||||
|
Digicel Ltd., 144A, 8.25%, 9/1/2017
|
835,000
|
839,175
|
||||||||
|
Frontier Communications Corp., 8.5%, 4/15/2020
|
1,900,000
|
1,945,125
|
||||||||
|
Intelsat Jackson Holdings SA:
|
||||||||||
|
7.25%, 10/15/2020
|
5,000,000
|
5,075,000
|
||||||||
|
144A, 7.5%, 4/1/2021
|
1,640,000
|
1,658,450
|
||||||||
|
8.5%, 11/1/2019
|
1,100,000
|
1,166,000
|
||||||||
|
Intelsat Luxembourg SA, 11.5%, 2/4/2017 (PIK)
|
3,191,718
|
3,080,008
|
||||||||
|
MetroPCS Wireless, Inc.:
|
||||||||||
|
6.625%, 11/15/2020
|
3,000,000
|
2,797,500
|
||||||||
|
7.875%, 9/1/2018
|
835,000
|
846,481
|
||||||||
|
Nextel Communications, Inc., Series E, 6.875%, 10/31/2013
|
2,790,000
|
2,776,050
|
||||||||
|
Sprint Nextel Corp., 144A, 9.0%, 11/15/2018
|
1,420,000
|
1,491,000
|
||||||||
|
Syniverse Holdings, Inc., 9.125%, 1/15/2019
|
255,000
|
269,025
|
||||||||
|
Telesat Canada, 11.0%, 11/1/2015
|
95,000
|
102,006
|
||||||||
|
West Corp., 7.875%, 1/15/2019
|
285,000
|
282,863
|
||||||||
|
Windstream Corp.:
|
||||||||||
|
7.75%, 10/15/2020
|
355,000
|
366,981
|
||||||||
|
8.125%, 9/1/2018
|
10,500,000
|
11,248,125
|
||||||||
|
46,076,264
|
||||||||||
|
Utilities 6.0%
|
||||||||||
|
AES Corp.:
|
||||||||||
|
7.75%, 10/15/2015
|
1,930,000
|
2,098,875
|
||||||||
|
8.0%, 10/15/2017
|
2,200,000
|
2,420,000
|
||||||||
|
Calpine Corp., 144A, 7.875%, 7/31/2020
|
4,545,000
|
4,897,238
|
||||||||
|
Edison Mission Energy, 7.0%, 5/15/2017
|
1,995,000
|
1,296,750
|
||||||||
|
Energy Future Holdings Corp., Series Q, 6.5%, 11/15/2024
|
1,065,000
|
473,925
|
||||||||
|
Energy Future Intermediate Holding Co., LLC, 10.0%, 12/1/2020
|
130,000
|
137,150
|
||||||||
|
Ferrellgas LP, 6.5%, 5/1/2021
|
245,000
|
215,600
|
||||||||
|
IPALCO Enterprises, Inc., 5.0%, 5/1/2018
|
1,290,000
|
1,264,200
|
||||||||
|
NRG Energy, Inc.:
|
||||||||||
|
7.625%, 1/15/2018
|
380,000
|
380,000
|
||||||||
|
8.25%, 9/1/2020
|
1,820,000
|
1,829,100
|
||||||||
|
Texas Competitive Electric Holdings Co., LLC, Series A, 10.25%, 11/1/2015
|
130,000
|
46,150
|
||||||||
|
15,058,988
|
||||||||||
|
Total Corporate Bonds (Cost $324,335,437)
|
321,624,950
|
|||||||||
|
Loan Participations and Assignments 7.8%
|
||||||||||
|
Senior Loans *
|
||||||||||
|
Clear Channel Communication, Inc., Term Loan B, 3.946%, 1/28/2016
|
485,068
|
360,316
|
||||||||
|
Del Monte Foods Co., Term Loan, 4.5%, 3/8/2018
|
2,019,850
|
1,923,907
|
||||||||
|
Dunkin' Brands, Inc., Term Loan B2, 4.0%, 11/23/2017
|
716,992
|
707,356
|
||||||||
|
First Data Corp.:
|
||||||||||
|
Term Loan B3, 3.044%, 9/24/2014
|
424,306
|
386,121
|
||||||||
|
Term Loan B, 4.294%, 3/23/2018
|
3,987,082
|
3,350,245
|
||||||||
|
Lord & Taylor Ltd., Term Loan B, 5.75%, 12/21/2018
|
1,150,000
|
1,148,562
|
||||||||
|
PETCO Animal Supplies, Inc., Term Loan, 4.5%, 11/24/2017
|
782,100
|
763,724
|
||||||||
|
Roundy's Supermarkets, Inc., Second Lien Term Loan, 10.0%, 4/18/2016
|
3,000,000
|
3,009,375
|
||||||||
|
Sealed Air Corp., Term Loan B, 4.75%, 10/3/2018
|
770,250
|
779,012
|
||||||||
|
Syniverse Technologies, Inc., Term Loan B, 5.25%, 12/21/2017
|
499,950
|
500,785
|
||||||||
|
Tomkins LLC, Term Loan B, 4.25%, 9/29/2016
|
4,257,038
|
4,250,844
|
||||||||
|
Volume Services America, Inc., Term Loan A, 10.0%, 9/16/2015
|
2,550,000
|
2,562,750
|
||||||||
|
Total Loan Participations and Assignments (Cost $20,317,315)
|
19,742,997
|
|||||||||
|
Shares
|
Value ($)
|
||||||||
|
Cash Equivalents 3.9%
|
|||||||||
|
Central Cash Management Fund, 0.07% (b)
(Cost $9,788,991)
|
9,788,991
|
9,788,991
|
|||||||
|
% of
Net Assets
|
Value ($)
|
||||||||
|
Total Investment Portfolio (Cost $354,441,743) †
|
139.1
|
351,156,938
|
|||||||
|
Notes Payable
|
(40.8)
|
(103,000,000)
|
|||||||
|
Other Assets and Liabilities, Net
|
1.7
|
4,326,551
|
|||||||
|
Net Assets
|
100.0
|
252,483,489
|
|||||||
|
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.
|
|
|
*
|
Floating rate securities’ yields vary with a designated market index or market rate, such as the coupon-equivalent of the U.S. Treasury Bill rate. These securities are shown at their current rate as of December 31, 2011.
|
|
†
|
The cost for federal income tax purposes was $377,624,691. At December 31, 2011, net unrealized depreciation for all securities based on tax cost was $26,467,753. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $6,524,028 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $32,991,781.
|
|
(a)
|
Principal amount stated in U.S. dollars unless otherwise noted.
|
|
(b)
|
Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.
|
|
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
|
|
|
PIK: Denotes that all or a portion of the income is paid in-kind in the form of additional principle.
|
|
|
REIT: Real Estate Investment Trust
|
|
|
As of December 31, 2011, the Fund had the following open forward foreign currency exchange contracts:
|
|
Contracts to Deliver
|
In Exchange For
|
Settlement
Date
|
Unrealized
Appreciation ($)
|
Counterparty
|
|||||||||||
|
EUR
|
4,838,000 |
USD
|
6,332,019 |
1/25/2012
|
55,701 |
JPMorgan Chase Securities, Inc.
|
|||||||||
|
Currency Abbreviations
|
||||
|
EUR
|
Euro
|
|||
|
USD
|
United States Dollar
|
|||
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
|
Assets
|
||||||||||||||||
|
Fixed Income Investments(c)
|
||||||||||||||||
|
Corporate Bonds
|
$ | — | $ | 321,624,950 | $ | — | $ | 321,624,950 | ||||||||
|
Loan Participations and Assignments
|
— | 19,742,997 | — | 19,742,997 | ||||||||||||
|
Short-Term Investments
|
9,788,991 | — | — | 9,788,991 | ||||||||||||
|
Derivatives(d)
|
— | 55,701 | — | 55,701 | ||||||||||||
|
Total
|
$ | 9,788,991 | $ | 341,423,648 | $ | — | $ | 351,212,639 | ||||||||
|
There have been no transfers between Level 1 and Level 2 fair value measurements during the period ended December 31, 2011.
|
|
|
(c)
|
See Investment Portfolio for additional detailed categorizations.
|
|
(d)
|
Derivatives include unrealized appreciation (depreciation) on forward foreign currency exchange contracts.
|
|
Primary Underlying Risk Disclosure
|
Forward Currency Contracts
|
|||
|
Foreign Exchange Contracts
|
$ | 55,701 | ||
|
ITEM 2.
|
CONTROLS AND PROCEDURES
|
|
(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.
|
|
|
(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.
|
|
|
ITEM 3.
|
EXHIBITS
|
|
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.
|
|
Registrant:
|
DWS High Income Opportunities Fund, Inc.
|
|
By:
|
/s/W. Douglas Beck
W. Douglas Beck
President
|
|
Date:
|
February 21, 2012
|
|
By:
|
/s/W. Douglas Beck
W. Douglas Beck
President
|
|
Date:
|
February 21, 2012
|
|
By:
|
/s/Paul Schubert
Paul Schubert
Chief Financial Officer and Treasurer
|
|
Date:
|
February 21, 2012
|