-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, QmpIbOs0QNK3+fROBTDHWs92OiLcNevWWPyJ36qXzOcDZrkmHM1CDjlHeJo/Q9wq zmhe5jvJQfrQfAYUFMgY5Q== 0000088053-10-001522.txt : 20101026 0000088053-10-001522.hdr.sgml : 20101026 20101026123354 ACCESSION NUMBER: 0000088053-10-001522 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20100831 FILED AS OF DATE: 20101026 DATE AS OF CHANGE: 20101026 EFFECTIVENESS DATE: 20101026 FILER: COMPANY DATA: COMPANY CONFORMED NAME: DWS MULTI-MARKET INCOME TRUST CENTRAL INDEX KEY: 0000842905 IRS NUMBER: 366894335 STATE OF INCORPORATION: MA FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-05689 FILM NUMBER: 101141463 BUSINESS ADDRESS: STREET 1: 345 PARK AVENUE CITY: NEW YORK STATE: NY ZIP: 10154-0004 BUSINESS PHONE: 212-454-6778 MAIL ADDRESS: STREET 1: 345 PARK AVENUE CITY: NEW YORK STATE: NY ZIP: 10154-0004 FORMER COMPANY: FORMER CONFORMED NAME: SCUDDER MULTI MARKET INCOME TRUST DATE OF NAME CHANGE: 20010123 FORMER COMPANY: FORMER CONFORMED NAME: KEMPER MULTI MARKET INCOME TRUST DATE OF NAME CHANGE: 19920703 N-Q 1 nq083110mmi.htm DWS MULTI-MARKET INCOME TRUST nq083110mmi.htm

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  811-05689
 
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
100 Plaza One
Jersey City, NJ 07311
(Name and address of agent for service)
 
Registrant's telephone number, including area code:  (201) 593-6408
 
Date of fiscal year end:  11/30
 
Date of reporting period: 8/31/10

ITEM 1.
SCHEDULE OF INVESTMENTS


Investment Portfolio
as of August 31, 2010  (Unaudited)


DWS Multi-Market Income Trust

 
Principal
Amount ($) (a)
 
Value ($)
 
 
 
Corporate Bonds 109.0%
 
Consumer Discretionary 12.1%
 
AMC Entertainment, Inc.:
             
 
8.0%, 3/1/2014
   
355,000
 
351,450
 
 
8.75%, 6/1/2019
   
735,000
 
758,887
 
American Achievement Corp., 144A, 8.25%, 4/1/2012
   
110,000
 
109,038
 
Ameristar Casinos, Inc., 9.25%, 6/1/2014
   
420,000
 
445,200
 
Asbury Automotive Group, Inc.:
             
 
7.625%, 3/15/2017
   
255,000
 
243,525
 
 
8.0%, 3/15/2014
   
165,000
 
165,000
 
Ashtead Holdings PLC, 144A, 8.625%, 8/1/2015
   
315,000
 
315,787
 
AutoNation, Inc., 6.75%, 4/15/2018
   
1,440,000
 
1,445,400
 
Avis Budget Car Rental LLC, 9.625%, 3/15/2018
   
160,000
 
167,200
 
Bon-Ton Department Stores, Inc., 10.25%, 3/15/2014
   
100,000
 
93,000
 
Brunswick Corp., 144A, 11.25%, 11/1/2016
   
275,000
 
314,187
 
Cablevision Systems Corp.:
             
 
7.75%, 4/15/2018
   
85,000
 
89,463
 
 
8.0%, 4/15/2020
   
85,000
 
90,738
 
CanWest MediaWorks LP, 144A, 9.25%, 8/1/2015 **
   
205,000
 
39,975
 
Carrols Corp., 9.0%, 1/15/2013
   
130,000
 
130,650
 
CCO Holdings LLC:
             
 
144A, 7.875%, 4/30/2018
   
140,000
 
144,900
 
 
144A, 8.125%, 4/30/2020
   
95,000
 
99,988
 
Cequel Communications Holdings I LLC, 144A, 8.625%, 11/15/2017
   
1,560,000
 
1,591,200
 
Clear Channel Worldwide Holdings, Inc.:
             
 
Series A, 9.25%, 12/15/2017
   
115,000
 
119,313
 
 
Series B, 9.25%, 12/15/2017
   
175,000
 
183,531
 
Cooper-Standard Automotive, Inc., 144A, 8.5%, 5/1/2018
   
95,000
 
97,138
 
DISH DBS Corp.:
             
 
6.625%, 10/1/2014
   
355,000
 
362,987
 
 
7.125%, 2/1/2016
   
345,000
 
352,762
 
Easton-Bell Sports, Inc., 9.75%, 12/1/2016
   
80,000
 
84,600
 
Fontainebleau Las Vegas Holdings LLC, 144A, 11.0%, 6/15/2015 **
   
290,000
 
754
 
Ford Motor Co., 7.45%, 7/16/2031
   
260,000
 
253,500
 
Gannett Co., Inc.:
             
 
144A, 8.75%, 11/15/2014
   
160,000
 
172,400
 
 
144A, 9.375%, 11/15/2017
   
320,000
 
350,400
 
Goodyear Tire & Rubber Co., 10.5%, 5/15/2016
   
160,000
 
177,600
 
Great Canadian Gaming Corp., 144A, 7.25%, 2/15/2015
   
220,000
 
220,825
 
Group 1 Automotive, Inc., 144A, 3.0%, 3/15/2020
   
235,000
 
205,919
 
Harrah's Operating Co., Inc.:
             
 
10.0%, 12/15/2018
   
150,000
 
117,000
 
 
11.25%, 6/1/2017
   
1,745,000
 
1,867,150
 
 
144A, 12.75%, 4/15/2018
   
190,000
 
173,850
 
Hertz Corp., 8.875%, 1/1/2014
   
960,000
 
986,400
 
Isle of Capri Casinos, Inc., 7.0%, 3/1/2014
   
375,000
 
323,437
 
Kabel Deutschland GmbH, 10.625%, 7/1/2014
   
255,000
 
265,200
 
Lear Corp.:
             
 
7.875%, 3/15/2018
   
145,000
 
150,075
 
 
8.125%, 3/15/2020
   
150,000
 
155,625
 
Levi Strauss & Co., 7.625%, 5/15/2020
   
480,000
 
488,400
 
Limited Brands, Inc., 7.0%, 5/1/2020
   
230,000
 
240,350
 
Macy's Retail Holdings, Inc., 8.375%, 7/15/2015
   
60,000
 
67,800
 
Mediacom Broadband LLC, 8.5%, 10/15/2015
   
235,000
 
233,237
 
Mediacom LLC, 9.125%, 8/15/2019
   
530,000
 
530,000
 
MGM Resorts International:
             
 
144A, 9.0%, 3/15/2020
   
590,000
 
612,125
 
 
10.375%, 5/15/2014
   
275,000
 
299,750
 
 
11.125%, 11/15/2017
   
345,000
 
385,537
 
Michaels Stores, Inc., Step-up Coupon, 0% to 11/1/2011, 13.0% to 11/1/2016
   
95,000
 
89,300
 
Neiman Marcus Group, Inc., 10.375%, 10/15/2015
   
100,000
 
101,750
 
Netflix, Inc., 8.5%, 11/15/2017
   
165,000
 
179,850
 
Norcraft Companies LP, 10.5%, 12/15/2015
   
620,000
 
640,150
 
Norcraft Holdings LP, 9.75%, 9/1/2012
   
309,000
 
288,915
 
Penn National Gaming, Inc., 8.75%, 8/15/2019
   
145,000
 
151,525
 
Penske Automotive Group, Inc., 7.75%, 12/15/2016
   
985,000
 
940,675
 
Phillips-Van Heusen Corp., 7.375%, 5/15/2020
   
300,000
 
309,000
 
Regal Entertainment Group, 9.125%, 8/15/2018
   
180,000
 
184,500
 
Sabre Holdings Corp., 8.35%, 3/15/2016
   
610,000
 
616,100
 
Seminole Indian Tribe of Florida, 144A, 7.804%, 10/1/2020
   
535,000
 
487,412
 
Simmons Bedding Co., 144A, 11.25%, 7/15/2015
   
190,000
 
203,775
 
Sirius XM Radio, Inc., 144A, 8.75%, 4/1/2015
   
425,000
 
437,750
 
Sonic Automotive, Inc.:
             
 
5.0%, 10/1/2029
   
100,000
 
100,250
 
 
Series B, 9.0%, 3/15/2018
   
350,000
 
356,125
 
Standard Pacific Corp.:
             
 
8.375%, 5/15/2018
   
35,000
 
33,688
 
 
10.75%, 9/15/2016
   
300,000
 
315,750
 
Tenneco, Inc., 144A, 7.75%, 8/15/2018
   
95,000
 
96,900
 
Toys "R" Us, Inc., 7.375%, 10/15/2018
   
330,000
 
314,325
 
Toys "R" Us-Delaware, Inc., 144A, 7.375%, 9/1/2016
   
260,000
 
262,600
 
Travelport LLC:
             
 
5.163% ***, 9/1/2014
   
185,000
 
171,588
 
 
144A, 9.0%, 3/1/2016
   
250,000
 
247,500
 
 
9.875%, 9/1/2014
   
350,000
 
357,875
 
 
11.875%, 9/1/2016
   
270,000
 
285,525
 
Trump Entertainment Resorts, Inc., 8.5%, 6/1/2015 **
   
75,000
 
94
 
United Components, Inc., 9.375%, 6/15/2013
   
45,000
 
45,563
 
Unitymedia GmbH, 144A, 9.625%, 12/1/2019
EUR
 
610,000
 
809,741
 
Unitymedia Hessen GmbH & Co., KG, 144A, 8.125%, 12/1/2017
   
1,285,000
 
1,320,337
 
UPC Holding BV, 144A, 8.0%, 11/1/2016
EUR
 
655,000
 
838,433
 
Vertis, Inc., 13.5%, 4/1/2014 (PIK)
   
105,495
 
40,352
 
Videotron Ltd.:
             
 
6.875%, 1/15/2014
   
60,000
 
60,300
 
 
9.125%, 4/15/2018
   
310,000
 
344,100
 
Wynn Las Vegas LLC:
             
 
144A, 7.75%, 8/15/2020
   
370,000
 
373,700
 
 
7.875%, 11/1/2017
   
950,000
 
976,125
 
Young Broadcasting, Inc., 8.75%, 1/15/2014 **
   
1,245,000
 
12
 
 
 
28,054,838
 
Consumer Staples 4.8%
 
Alliance One International, Inc., 10.0%, 7/15/2016
   
510,000
 
534,225
 
B&G Foods, Inc., 7.625%, 1/15/2018
   
260,000
 
267,475
 
Central Garden & Pet Co., 8.25%, 3/1/2018
   
280,000
 
282,100
 
Constellation Brands, Inc., 8.375%, 12/15/2014
   
810,000
 
880,875
 
Cott Beverages, Inc., 144A, 8.375%, 11/15/2017
   
165,000
 
172,631
 
Del Monte Corp., 7.5%, 10/15/2019
   
1,560,000
 
1,653,600
 
Dole Food Co., Inc., 144A, 8.0%, 10/1/2016
   
225,000
 
232,031
 
FAGE Dairy Industry SA, 144A, 9.875%, 2/1/2020
   
330,000
 
293,700
 
General Nutrition Centers, Inc., 5.75% ***, 3/15/2014 (PIK)
   
240,000
 
229,500
 
Kraft Foods, Inc., 5.375%, 2/10/2020
   
2,570,000
 
2,856,080
 
North Atlantic Trading Co., 144A, 10.0%, 3/1/2012
   
975,000
 
868,969
 
Reddy Ice Corp., 11.25%, 3/15/2015
   
105,000
 
106,444
 
Rite Aid Corp.:
             
 
7.5%, 3/1/2017
   
170,000
 
153,638
 
 
144A, 8.0%, 8/15/2020
   
375,000
 
372,656
 
Smithfield Foods, Inc.:
             
 
7.75%, 7/1/2017
   
515,000
 
500,837
 
 
144A, 10.0%, 7/15/2014
   
510,000
 
569,287
 
SUPERVALU, Inc., 8.0%, 5/1/2016 (b)
   
245,000
 
245,612
 
Tops Markets LLC, 144A, 10.125%, 10/15/2015
   
440,000
 
462,000
 
TreeHouse Foods, Inc., 7.75%, 3/1/2018
   
185,000
 
195,638
 
Tyson Foods, Inc., 10.5%, 3/1/2014
   
275,000
 
331,719
 
 
 
11,209,017
 
Energy 12.5%
 
Arch Coal, Inc., 7.25%, 10/1/2020
   
150,000
 
152,250
 
Atlas Energy Operating Co., LLC:
             
 
10.75%, 2/1/2018
   
610,000
 
672,525
 
 
12.125%, 8/1/2017
   
510,000
 
585,862
 
Belden & Blake Corp., 8.75%, 7/15/2012
   
1,170,000
 
1,129,050
 
Berry Petroleum Co., 10.25%, 6/1/2014
   
325,000
 
358,313
 
Bill Barrett Corp., 9.875%, 7/15/2016
   
280,000
 
303,800
 
Bristow Group, Inc., 7.5%, 9/15/2017
   
335,000
 
335,000
 
Chaparral Energy, Inc., 8.5%, 12/1/2015
   
955,000
 
907,250
 
Chesapeake Energy Corp.:
             
 
6.625%, 8/15/2020
   
705,000
 
707,644
 
 
6.875%, 8/15/2018
   
350,000
 
357,000
 
 
6.875%, 11/15/2020
   
920,000
 
938,400
 
 
7.25%, 12/15/2018
   
495,000
 
517,275
 
 
9.5%, 2/15/2015
   
65,000
 
73,125
 
CITGO Petroleum Corp., 144A, 11.5%, 7/1/2017
   
375,000
 
401,250
 
Cloud Peak Energy Resources LLC:
             
 
144A, 8.25%, 12/15/2017
   
165,000
 
170,569
 
 
144A, 8.5%, 12/15/2019
   
165,000
 
171,394
 
Coffeyville Resources LLC, 144A, 9.0%, 4/1/2015
   
515,000
 
529,162
 
Colorado Interstate Gas Co., 6.8%, 11/15/2015
   
645,000
 
762,465
 
CONSOL Energy, Inc.:
             
 
144A, 8.0%, 4/1/2017
   
830,000
 
875,650
 
 
144A, 8.25%, 4/1/2020
   
470,000
 
498,787
 
Continental Resources, Inc.:
             
 
144A, 7.375%, 10/1/2020
   
245,000
 
247,450
 
 
8.25%, 10/1/2019
   
110,000
 
117,288
 
Crosstex Energy LP, 8.875%, 2/15/2018
   
425,000
 
438,812
 
Dynegy Holdings, Inc., 7.75%, 6/1/2019
   
235,000
 
151,575
 
El Paso Corp.:
             
 
7.25%, 6/1/2018
   
405,000
 
433,896
 
 
8.25%, 2/15/2016
   
240,000
 
261,600
 
 
9.625%, 5/15/2012
   
1,590,000
 
1,708,612
 
El Paso Pipeline Partners Operating Co., LLC, 6.5%, 4/1/2020
   
1,135,000
 
1,211,687
 
EXCO Resources, Inc., 7.25%, 1/15/2011
   
383,000
 
383,479
 
Frontier Oil Corp., 8.5%, 9/15/2016
   
140,000
 
143,500
 
Global Geophysical Services, Inc., 144A, 10.5%, 5/1/2017
   
475,000
 
470,250
 
Holly Corp., 9.875%, 6/15/2017
   
620,000
 
651,000
 
Holly Energy Partners LP, 144A, 8.25%, 3/15/2018
   
410,000
 
421,275
 
KCS Energy, Inc., 7.125%, 4/1/2012
   
1,335,000
 
1,338,337
 
Linn Energy LLC:
             
 
144A, 8.625%, 4/15/2020
   
390,000
 
411,450
 
 
11.75%, 5/15/2017
   
475,000
 
541,500
 
Mariner Energy, Inc., 7.5%, 4/15/2013
   
245,000
 
253,575
 
Newfield Exploration Co., 7.125%, 5/15/2018
   
955,000
 
999,169
 
Niska Gas Storage US LLC, 144A, 8.875%, 3/15/2018
   
205,000
 
215,763
 
OPTI Canada, Inc.:
             
 
7.875%, 12/15/2014
   
1,445,000
 
1,112,650
 
 
144A, 9.0%, 12/15/2012
   
80,000
 
80,200
 
Petrohawk Energy Corp.:
             
 
144A, 7.25%, 8/15/2018
   
370,000
 
367,225
 
 
7.875%, 6/1/2015
   
145,000
 
150,438
 
Plains Exploration & Production Co.:
             
 
7.0%, 3/15/2017
   
235,000
 
230,888
 
 
7.625%, 6/1/2018
   
530,000
 
537,287
 
 
8.625%, 10/15/2019
   
615,000
 
642,675
 
Quicksilver Resources, Inc., 11.75%, 1/1/2016
   
565,000
 
649,750
 
Range Resources Corp., 6.75%, 8/1/2020
   
140,000
 
141,050
 
Regency Energy Partners LP:
             
 
8.375%, 12/15/2013
   
320,000
 
334,400
 
 
144A, 9.375%, 6/1/2016
   
650,000
 
705,250
 
Sabine Pass LNG LP:
             
 
7.25%, 11/30/2013
   
1,125,000
 
1,057,500
 
 
7.5%, 11/30/2016
   
225,000
 
199,406
 
Southwestern Energy Co., 7.5%, 2/1/2018
   
530,000
 
597,575
 
Stone Energy Corp.:
             
 
6.75%, 12/15/2014
   
525,000
 
477,750
 
 
8.625%, 2/1/2017
   
980,000
 
960,400
 
Whiting Petroleum Corp., 7.25%, 5/1/2013
   
55,000
 
55,996
 
 
 
29,147,429
 
Financials 22.4%
 
Algoma Acquisition Corp., 144A, 9.875%, 6/15/2015
   
540,000
 
472,500
 
Ally Financial, Inc.:
             
 
6.875%, 9/15/2011
   
1,690,000
 
1,719,575
 
 
7.0%, 2/1/2012
   
1,145,000
 
1,167,900
 
 
7.25%, 3/2/2011
   
4,890,000
 
4,969,462
 
 
144A, 7.5%, 9/15/2020
   
905,000
 
895,950
 
 
144A, 8.0%, 3/15/2020
   
690,000
 
707,250
 
 
8.0%, 11/1/2031
   
555,000
 
546,675
 
 
144A, 8.3%, 2/12/2015
   
280,000
 
291,200
 
Anglo American Capital PLC, 144A, 9.375%, 4/8/2019
   
250,000
 
333,350
 
Antero Resources Finance Corp., 9.375%, 12/1/2017
   
255,000
 
263,288
 
Ashton Woods USA LLC, 144A, Step-up Coupon, 0% to 6/30/2012, 11.0% to 6/30/2015
   
325,000
 
173,063
 
Buffalo Thunder Development Authority, 144A, 9.375%, 12/15/2014 **
   
125,000
 
31,250
 
Calpine Construction Finance Co., LP, 144A, 8.0%, 6/1/2016
   
420,000
 
441,000
 
Case New Holland, Inc.:
             
 
7.75%, 9/1/2013
   
640,000
 
672,000
 
 
144A, 7.875%, 12/1/2017
   
830,000
 
873,575
 
CIT Group, Inc.:
             
 
7.0%, 5/1/2015
   
409,700
 
393,824
 
 
7.0%, 5/1/2017
   
1,370,000
 
1,288,227
 
DuPont Fabros Technology LP, (REIT), 8.5%, 12/15/2017
   
495,000
 
523,462
 
E*TRADE Financial Corp.:
             
 
7.375%, 9/15/2013
   
1,175,000
 
1,116,250
 
 
12.5%, 11/30/2017 (PIK)
   
733,000
 
817,295
 
Express LLC, 144A, 8.75%, 3/1/2018
   
345,000
 
357,075
 
FCE Bank PLC, 9.375%, 1/17/2014
EUR
 
800,000
 
1,115,180
 
Fibria Overseas Finance Ltd., 144A, 7.5%, 5/4/2020
   
293,000
 
302,523
 
Ford Motor Credit Co., LLC:
             
 
6.625%, 8/15/2017
   
465,000
 
472,613
 
 
7.25%, 10/25/2011
   
2,785,000
 
2,903,162
 
 
7.375%, 2/1/2011
   
280,000
 
285,004
 
 
8.125%, 1/15/2020
   
1,410,000
 
1,542,190
 
 
9.875%, 8/10/2011
   
1,475,000
 
1,556,865
 
Fresenius US Finance II, Inc., 144A, 9.0%, 7/15/2015
   
300,000
 
336,000
 
Hellas Telecommunications Finance SCA, 144A, 8.644% ***, 7/15/2015 (PIK)
EUR
 
278,431
 
212
 
Hexion US Finance Corp., 8.875%, 2/1/2018
   
920,000
 
851,000
 
Holcim US Finance Sarl & Cie SCS, 144A, 6.0%, 12/30/2019
   
1,000,000
 
1,081,547
 
Ineos Finance PLC:
             
 
144A, 9.0%, 5/15/2015
   
195,000
 
197,194
 
 
144A, 9.25%, 5/15/2015
EUR
 
75,000
 
96,232
 
Inmarsat Finance PLC, 144A, 7.375%, 12/1/2017
   
955,000
 
978,875
 
International Lease Finance Corp.:
             
 
144A, 8.625%, 9/15/2015
   
300,000
 
301,875
 
 
144A, 8.75%, 3/15/2017
   
600,000
 
605,250
 
iPayment, Inc., 9.75%, 5/15/2014
   
225,000
 
203,344
 
JBS Finance II Ltd., 144A, 8.25%, 1/29/2018
   
220,000
 
226,325
 
Kinder Morgan Finance Co., ULC, 5.7%, 1/5/2016
   
910,000
 
916,825
 
National Money Mart Co., 10.375%, 12/15/2016
   
450,000
 
472,500
 
New ASAT (Finance) Ltd., 9.25%, 2/1/2011 **
   
270,928
 
3,007
 
Nielsen Finance LLC:
             
 
Step-up Coupon, 0% to 8/1/2011, 12.5% to 8/1/2016
   
775,000
 
768,219
 
 
11.5%, 5/1/2016
   
110,000
 
123,338
 
NiSource Finance Corp., 6.125%, 3/1/2022
   
1,580,000
 
1,763,299
 
Nuveen Investments, Inc., 10.5%, 11/15/2015
   
215,000
 
204,250
 
Orascom Telecom Finance SCA, 144A, 7.875%, 2/8/2014
   
625,000
 
593,750
 
Pinnacle Foods Finance LLC:
             
 
144A, 8.25%, 9/1/2017
   
540,000
 
535,275
 
 
9.25%, 4/1/2015
   
370,000
 
379,713
 
 
144A, 9.25%, 4/1/2015
   
415,000
 
425,894
 
Rainbow National Services LLC, 144A, 10.375%, 9/1/2014
   
493,000
 
511,487
 
Reynolds Group Issuer, Inc.:
             
 
144A, 7.75%, 10/15/2016
   
620,000
 
624,650
 
 
144A, 8.5%, 5/15/2018
   
100,000
 
96,000
 
SLM Corp., 8.0%, 3/25/2020
   
170,000
 
148,750
 
Sprint Capital Corp.:
             
 
7.625%, 1/30/2011
   
1,905,000
 
1,938,337
 
 
8.375%, 3/15/2012
   
1,040,000
 
1,099,800
 
Susser Holdings LLC, 144A, 8.5%, 5/15/2016
   
215,000
 
220,375
 
Toys "R" Us Property Co. I, LLC, 10.75%, 7/15/2017
   
360,000
 
405,900
 
Tropicana Entertainment LLC, 9.625%, 12/15/2014 **
   
730,000
 
533
 
UCI Holdco, Inc., 8.537% ***, 12/15/2013 (PIK)
   
309,928
 
303,729
 
Umbrella Acquisition, Inc., 144A, 9.75%, 3/15/2015 (PIK)
   
155,000
 
139,500
 
Virgin Media Finance PLC, Series 1, 9.5%, 8/15/2016
   
1,870,000
 
2,094,400
 
Virgin Media Secured Finance PLC, 6.5%, 1/15/2018
   
3,695,000
 
3,842,800
 
Wind Acquisition Finance SA:
             
 
144A, 11.0%, 12/1/2015
EUR
 
1,115,000
 
1,469,504
 
 
144A, 11.75%, 7/15/2017
   
900,000
 
990,000
 
 
144A, 11.75%, 7/15/2017
EUR
 
280,000
 
385,434
 
 
144A, 12.0%, 12/1/2015
   
75,000
 
79,125
 
Wind Acquisition Holdings Finance SA, 144A, 12.25%, 7/15/2017 (PIK)
EUR
 
132,870
 
171,747
 
WMG Acquisition Corp., 9.5%, 6/15/2016
   
300,000
 
313,500
 
 
 
52,131,203
 
Health Care 8.8%
 
Community Health Systems, Inc., 8.875%, 7/15/2015
   
5,265,000
 
5,462,437
 
HCA, Inc.:
             
 
7.875%, 2/15/2020
   
3,805,000
 
4,099,887
 
 
8.5%, 4/15/2019
   
270,000
 
295,988
 
 
9.125%, 11/15/2014
   
685,000
 
719,250
 
 
9.25%, 11/15/2016
   
3,145,000
 
3,373,012
 
 
9.625%, 11/15/2016 (PIK)
   
520,000
 
558,350
 
 
9.875%, 2/15/2017
   
505,000
 
551,713
 
IASIS Healthcare LLC, 8.75%, 6/15/2014
   
2,255,000
 
2,300,100
 
Mylan, Inc.:
             
 
144A, 7.625%, 7/15/2017
   
1,945,000
 
2,008,213
 
 
144A, 7.875%, 7/15/2020
   
190,000
 
198,075
 
The Cooper Companies, Inc., 7.125%, 2/15/2015
   
360,000
 
360,900
 
Vanguard Health Holding Co. II, LLC, 8.0%, 2/1/2018
   
405,000
 
397,406
 
 
 
20,325,331
 
Industrials 10.1%
 
Acco Brands Corp., 10.625%, 3/15/2015
   
110,000
 
121,000
 
Accuride Corp., 144A, 9.5%, 8/1/2018
   
270,000
 
276,750
 
Actuant Corp., 6.875%, 6/15/2017
   
180,000
 
181,350
 
Aircastle Ltd., 144A, 9.75%, 8/1/2018
   
100,000
 
101,250
 
ARAMARK Corp., 8.5%, 2/1/2015
   
525,000
 
541,406
 
ArvinMeritor, Inc.:
             
 
8.125%, 9/15/2015
   
205,000
 
205,513
 
 
10.625%, 3/15/2018
   
225,000
 
244,125
 
BE Aerospace, Inc., 8.5%, 7/1/2018
   
830,000
 
888,100
 
Belden, Inc.:
             
 
7.0%, 3/15/2017
   
185,000
 
185,925
 
 
144A, 9.25%, 6/15/2019
   
425,000
 
458,469
 
Bombardier, Inc., 144A, 7.75%, 3/15/2020
   
2,055,000
 
2,209,125
 
Cenveo Corp.:
             
 
8.875%, 2/1/2018
   
1,005,000
 
957,262
 
 
144A, 10.5%, 8/15/2016
   
240,000
 
239,700
 
Clean Harbors, Inc., 7.625%, 8/15/2016
   
203,000
 
208,075
 
Congoleum Corp., 8.625%, 8/1/2008 **
   
395,000
 
89,863
 
Corrections Corp. of America, 7.75%, 6/1/2017
   
625,000
 
664,062
 
CSC Holdings LLC, 8.5%, 6/15/2015
   
1,250,000
 
1,356,250
 
Delta Air Lines, Inc., 144A, 9.5%, 9/15/2014
   
117,000
 
125,483
 
DynCorp International, Inc., 144A, 10.375%, 7/1/2017
   
635,000
 
631,825
 
Esco Corp., 144A, 4.412% ***, 12/15/2013
   
275,000
 
250,250
 
Esterline Technologies Corp., 144A, 7.0%, 8/1/2020
   
400,000
 
407,000
 
Garda World Security Corp., 144A, 9.75%, 3/15/2017
   
235,000
 
242,638
 
Great Lakes Dredge & Dock Co., 7.75%, 12/15/2013
   
185,000
 
187,081
 
K. Hovnanian Enterprises, Inc.:
             
 
8.875%, 4/1/2012
   
290,000
 
270,788
 
 
10.625%, 10/15/2016
   
255,000
 
247,350
 
Kansas City Southern de Mexico SA de CV:
             
 
7.375%, 6/1/2014
   
735,000
 
755,212
 
 
7.625%, 12/1/2013
   
460,000
 
473,800
 
 
144A, 8.0%, 2/1/2018
   
850,000
 
903,125
 
Kansas City Southern Railway Co., 8.0%, 6/1/2015
   
455,000
 
485,712
 
McJunkin Red Man Corp., 144A, 9.5%, 12/15/2016
   
150,000
 
132,375
 
Mobile Mini, Inc., 9.75%, 8/1/2014
   
300,000
 
310,875
 
Navios Maritime Holdings, Inc., 9.5%, 12/15/2014
   
755,000
 
753,112
 
Oshkosh Corp.:
             
 
8.25%, 3/1/2017
   
95,000
 
99,988
 
 
8.5%, 3/1/2020
   
185,000
 
196,563
 
Owens Corning, Inc., 9.0%, 6/15/2019
   
455,000
 
542,603
 
Ply Gem Industries, Inc., 13.125%, 7/15/2014
   
280,000
 
280,700
 
RailAmerica, Inc., 9.25%, 7/1/2017
   
264,000
 
286,440
 
RBS Global & Rexnord Corp.:
             
 
8.5%, 5/1/2018
   
885,000
 
891,637
 
 
11.75%, 8/1/2016
   
130,000
 
139,100
 
Rearden G Holdings Eins GmbH, 144A, 7.875%, 3/30/2020
   
170,000
 
178,713
 
Sitel LLC, 144A, 11.5%, 4/1/2018
   
350,000
 
262,500
 
Spirit AeroSystems, Inc., 7.5%, 10/1/2017
   
230,000
 
236,325
 
SPX Corp., 144A, 6.875%, 9/1/2017
   
250,000
 
257,500
 
The Geo Group, Inc., 144A, 7.75%, 10/15/2017
   
795,000
 
818,850
 
Titan International, Inc., 8.0%, 1/15/2012
   
795,000
 
826,800
 
TransDigm, Inc., 7.75%, 7/15/2014
   
465,000
 
478,950
 
Triumph Group, Inc.:
             
 
8.0%, 11/15/2017
   
80,000
 
80,600
 
 
144A, 8.625%, 7/15/2018
   
565,000
 
598,900
 
United Rentals North America, Inc.:
             
 
9.25%, 12/15/2019
   
1,215,000
 
1,290,937
 
 
10.875%, 6/15/2016
   
590,000
 
654,900
 
USG Corp., 144A, 9.75%, 8/1/2014
   
200,000
 
207,250
 
 
 
23,434,107
 
Information Technology 5.3%
 
Alcatel-Lucent USA, Inc., 6.45%, 3/15/2029
   
455,000
 
307,125
 
Amkor Technology, Inc., 144A, 7.375%, 5/1/2018
   
460,000
 
458,850
 
Aspect Software, Inc., 144A, 10.625%, 5/15/2017
   
460,000
 
472,075
 
Equinix, Inc., 8.125%, 3/1/2018
   
930,000
 
971,850
 
Fidelity National Information Services, Inc.:
             
 
144A, 7.625%, 7/15/2017
   
135,000
 
140,738
 
 
144A, 7.875%, 7/15/2020
   
175,000
 
183,750
 
First Data Corp.:
             
 
144A, 8.875%, 8/15/2020 (b)
   
635,000
 
636,587
 
 
9.875%, 9/24/2015
   
150,000
 
114,000
 
Freescale Semiconductor, Inc.:
             
 
8.875%, 12/15/2014
   
255,000
 
236,512
 
 
144A, 9.25%, 4/15/2018
   
1,500,000
 
1,503,750
 
Jabil Circuit, Inc., 7.75%, 7/15/2016
   
135,000
 
145,463
 
JDA Software Group, Inc., 144A, 8.0%, 12/15/2014
   
165,000
 
172,013
 
L-3 Communications Corp.:
             
 
5.875%, 1/15/2015
   
1,635,000
 
1,665,656
 
 
Series B, 6.375%, 10/15/2015
   
650,000
 
665,437
 
MasTec, Inc., 7.625%, 2/1/2017
   
430,000
 
413,875
 
NXP BV:
             
 
3.276% ***, 10/15/2013
   
510,000
 
476,850
 
 
7.875%, 10/15/2014
   
375,000
 
376,875
 
 
144A, 9.75%, 8/1/2018
   
100,000
 
103,000
 
Seagate HDD Cayman, 144A, 6.875%, 5/1/2020
   
230,000
 
225,400
 
Seagate Technology International, 144A, 10.0%, 5/1/2014
   
165,000
 
192,638
 
STATS ChipPAC Ltd., 144A, 7.5%, 8/12/2015
   
375,000
 
390,000
 
SunGard Data Systems, Inc.:
             
 
10.25%, 8/15/2015
   
1,395,000
 
1,464,750
 
 
10.625%, 5/15/2015
   
400,000
 
442,000
 
Unisys Corp., 144A, 12.75%, 10/15/2014
   
360,000
 
419,400
 
Vangent, Inc., 9.625%, 2/15/2015
   
160,000
 
146,800
 
 
 
12,325,394
 
Materials 14.1%
 
Appleton Papers, Inc., 144A, 11.25%, 12/15/2015
   
106,000
 
78,970
 
Ashland, Inc., 9.125%, 6/1/2017
   
415,000
 
474,138
 
Ball Corp.:
             
 
7.125%, 9/1/2016
   
1,420,000
 
1,522,950
 
 
7.375%, 9/1/2019
   
170,000
 
182,325
 
Berry Plastics Corp.:
             
 
5.276% ***, 2/15/2015
   
1,965,000
 
1,837,275
 
 
8.25%, 11/15/2015
   
745,000
 
746,862
 
 
144A, 9.5%, 5/15/2018
   
235,000
 
216,200
 
Boise Paper Holdings LLC, 8.0%, 4/1/2020
   
215,000
 
218,763
 
CF Industries, Inc., 6.875%, 5/1/2018
   
290,000
 
305,225
 
Chemtura Corp., 144A, 7.875%, 9/1/2018
   
180,000
 
183,825
 
Clondalkin Acquisition BV, 144A, 2.537% ***, 12/15/2013
   
1,795,000
 
1,566,137
 
Compass Minerals International, Inc., 8.0%, 6/1/2019
   
325,000
 
338,000
 
CPG International I, Inc., 10.5%, 7/1/2013
   
445,000
 
444,444
 
Crown Americas LLC, 144A, 7.625%, 5/15/2017
   
1,590,000
 
1,697,325
 
Crown European Holdings SA, 144A, 7.125%, 8/15/2018
EUR
 
250,000
 
324,733
 
Domtar Corp., 10.75%, 6/1/2017
   
300,000
 
369,750
 
Dow Chemical Co., 8.55%, 5/15/2019
   
270,000
 
338,441
 
Essar Steel Algoma, Inc., 144A, 9.375%, 3/15/2015
   
1,770,000
 
1,747,875
 
Exopack Holding Corp., 11.25%, 2/1/2014
   
685,000
 
688,425
 
GEO Specialty Chemicals, Inc.:
             
 
144A, 7.5%, 3/31/2015 (PIK)
   
428,424
 
377,013
 
 
10.0%, 3/31/2015
   
421,120
 
370,586
 
Georgia-Pacific LLC:
             
 
144A, 7.0%, 1/15/2015
   
490,000
 
507,150
 
 
144A, 7.125%, 1/15/2017
   
155,000
 
163,525
 
 
144A, 8.25%, 5/1/2016
   
585,000
 
640,575
 
 
9.5%, 12/1/2011
   
1,525,000
 
1,631,750
 
Graphic Packaging International, Inc., 9.5%, 6/15/2017
   
765,000
 
814,725
 
Greif, Inc., 7.75%, 8/1/2019
   
870,000
 
913,500
 
Hexcel Corp., 6.75%, 2/1/2015
   
1,215,000
 
1,208,925
 
Huntsman International LLC, 144A, 8.625%, 3/15/2020
   
775,000
 
768,219
 
Innophos, Inc., 8.875%, 8/15/2014
   
110,000
 
112,750
 
Koppers, Inc., 7.875%, 12/1/2019
   
490,000
 
501,638
 
Kronos International, Inc., 6.5%, 4/15/2013
EUR
 
195,000
 
222,402
 
Lumena Resources Corp., 144A, 12.0%, 10/27/2014
   
635,000
 
585,787
 
Lyondell Chemical Co.., 144A, 8.0%, 11/1/2017
   
760,000
 
816,050
 
Millar Western Forest Products Ltd., 7.75%, 11/15/2013
   
110,000
 
94,875
 
NewMarket Corp., 7.125%, 12/15/2016
   
495,000
 
490,050
 
Novelis, Inc., 11.5%, 2/15/2015
   
395,000
 
434,500
 
Owens-Brockway Glass Container, Inc.:
             
 
144A, 3.0%, 6/1/2015
   
140,000
 
132,825
 
 
7.375%, 5/15/2016
   
2,030,000
 
2,182,250
 
Plastipak Holdings, Inc., 144A, 10.625%, 8/15/2019
   
75,000
 
83,250
 
Radnor Holdings Corp., 11.0%, 3/15/2010 **
   
90,000
 
9
 
Sealed Air Corp., 7.875%, 6/15/2017
   
2,360,000
 
2,550,258
 
Silgan Holdings, Inc., 7.25%, 8/15/2016
   
845,000
 
878,800
 
Solo Cup Co., 10.5%, 11/1/2013
   
1,270,000
 
1,284,287
 
Texas Industries, Inc., 144A, 9.25%, 8/15/2020
   
305,000
 
310,338
 
United States Steel Corp., 7.375%, 4/1/2020
   
595,000
 
602,437
 
Viskase Companies, Inc., 144A, 9.875%, 1/15/2018
   
545,000
 
551,813
 
Wolverine Tube, Inc., 15.0%, 3/31/2012 (PIK)
   
319,223
 
166,794
 
 
 
32,678,744
 
Telecommunication Services 13.1%
 
CC Holdings GS V LLC, 144A, 7.75%, 5/1/2017
   
1,015,000
 
1,106,350
 
Cincinnati Bell, Inc.:
             
 
8.25%, 10/15/2017
   
1,260,000
 
1,234,800
 
 
8.75%, 3/15/2018
   
1,185,000
 
1,131,675
 
Cricket Communications, Inc.:
             
 
9.375%, 11/1/2014
   
1,355,000
 
1,371,937
 
 
10.0%, 7/15/2015 (b)
   
495,000
 
518,513
 
Crown Castle International Corp.:
             
 
7.125%, 11/1/2019
   
325,000
 
337,188
 
 
9.0%, 1/15/2015
   
560,000
 
607,600
 
Digicel Group Ltd., 144A, 10.5%, 4/15/2018
   
320,000
 
343,200
 
Digicel Ltd., 144A, 8.25%, 9/1/2017
   
1,360,000
 
1,412,700
 
ERC Ireland Preferred Equity Ltd., 144A, 7.683% ***, 2/15/2017 (PIK)
EUR
 
248,162
 
42,924
 
Frontier Communications Corp.:
             
 
6.25%, 1/15/2013
   
224,000
 
231,840
 
 
7.875%, 4/15/2015
   
85,000
 
89,675
 
 
8.25%, 4/15/2017
   
500,000
 
528,750
 
 
8.5%, 4/15/2020
   
665,000
 
705,731
 
 
8.75%, 4/15/2022
   
85,000
 
89,675
 
Grupo Iusacell Celular SA de CV, 10.0%, 3/31/2012 **
   
97,606
 
33,186
 
Hughes Network Systems LLC, 9.5%, 4/15/2014
   
1,215,000
 
1,254,487
 
Intelsat Corp.:
             
 
9.25%, 8/15/2014
   
1,060,000
 
1,091,800
 
 
9.25%, 6/15/2016
   
2,165,000
 
2,294,900
 
Intelsat Jackson Holdings SA:
             
 
144A, 8.5%, 11/1/2019
   
410,000
 
433,575
 
 
11.25%, 6/15/2016
   
455,000
 
489,694
 
Intelsat Subsidiary Holding Co. SA, 8.875%, 1/15/2015
   
590,000
 
609,175
 
iPCS, Inc., 2.591% ***, 5/1/2013
   
115,000
 
107,525
 
MetroPCS Wireless, Inc., 9.25%, 11/1/2014
   
2,020,000
 
2,100,800
 
Millicom International Cellular SA, 10.0%, 12/1/2013 (b)
   
2,020,000
 
2,085,650
 
Nextel Communications, Inc., Series E, 6.875%, 10/31/2013
   
470,000
 
468,825
 
Qwest Communications International, Inc.:
             
 
144A, 7.125%, 4/1/2018
   
3,380,000
 
3,515,200
 
 
144A, 8.0%, 10/1/2015
   
360,000
 
387,000
 
Qwest Corp., 8.375%, 5/1/2016
   
90,000
 
104,850
 
Rogers Communications, Inc., 6.8%, 8/15/2018
   
715,000
 
879,783
 
SBA Telecommunications, Inc.:
             
 
8.0%, 8/15/2016
   
115,000
 
122,619
 
 
8.25%, 8/15/2019
   
150,000
 
162,750
 
Sprint Nextel Corp., 8.375%, 8/15/2017
   
870,000
 
898,275
 
Telesat Canada, 11.0%, 11/1/2015
   
1,150,000
 
1,302,375
 
West Corp., 9.5%, 10/15/2014
   
255,000
 
260,100
 
Windstream Corp.:
             
 
7.0%, 3/15/2019
   
340,000
 
329,800
 
 
7.875%, 11/1/2017
   
1,155,000
 
1,172,325
 
 
144A, 8.125%, 9/1/2018
   
535,000
 
544,362
 
 
8.625%, 8/1/2016
   
45,000
 
46,463
 
 
 
30,448,077
 
Utilities 5.8%
 
AES Corp.:
             
 
8.0%, 10/15/2017
   
255,000
 
268,388
 
 
8.0%, 6/1/2020
   
375,000
 
393,750
 
 
144A, 8.75%, 5/15/2013
   
677,000
 
688,001
 
Calpine Corp., 144A, 7.875%, 7/31/2020
   
745,000
 
746,862
 
CenterPoint Energy, Inc., Series B, 7.25%, 9/1/2010
   
470,000
 
470,000
 
Florida Gas Transmission Co., 144A, 7.9%, 5/15/2019
   
785,000
 
977,883
 
IPALCO Enterprises, Inc., 144A, 7.25%, 4/1/2016
   
185,000
 
193,325
 
Jersey Central Power & Light Co., 7.35%, 2/1/2019
   
785,000
 
978,922
 
Kinder Morgan, Inc., 6.5%, 9/1/2012
   
1,098,000
 
1,163,880
 
Mirant Americas Generation LLC, 8.3%, 5/1/2011
   
1,060,000
 
1,083,850
 
Mirant North America LLC, 7.375%, 12/31/2013
   
145,000
 
148,263
 
NRG Energy, Inc.:
             
 
7.25%, 2/1/2014
   
3,080,000
 
3,141,600
 
 
7.375%, 2/1/2016
   
525,000
 
528,938
 
 
7.375%, 1/15/2017
   
1,145,000
 
1,153,587
 
 
144A, 8.25%, 9/1/2020
   
635,000
 
638,969
 
NV Energy, Inc.:
             
 
6.75%, 8/15/2017
   
520,000
 
536,548
 
 
8.625%, 3/15/2014
   
108,000
 
111,105
 
RRI Energy, Inc., 7.875%, 6/15/2017
   
95,000
 
87,638
 
Suburban Propane Partners LP, 7.375%, 3/15/2020
   
120,000
 
125,100
 
Texas Competitive Electric Holdings Co., LLC, Series A, 10.25%, 11/1/2015
   
220,000
 
140,250
 
 
 
13,576,859
 
 
Total Corporate Bonds (Cost $246,389,905)
 
253,330,999
 
 
 
Government & Agency Obligations 14.3%
 
Other Government Related (c) 0.3%
 
Pemex Project Funding Master Trust, 5.75%, 3/1/2018
   
770,000
 
840,422
 
Sovereign Bonds 14.0%
 
Democratic Socialist Republic of Sri Lanka, 144A, 7.4%, 1/22/2015
   
565,000
 
607,375
 
Federative Republic of Brazil:
             
 
8.875%, 10/14/2019
   
2,015,000
 
2,765,588
 
 
12.5%, 1/5/2016
BRL
 
2,070,000
 
1,326,633
 
Republic of Argentina, 5.83%, 12/31/2033
ARS
 
781
 
220
 
Republic of El Salvador, 144A, 7.65%, 6/15/2035
   
1,235,000
 
1,346,150
 
Republic of Ghana, 144A, 8.5%, 10/4/2017
   
175,000
 
196,875
 
Republic of Indonesia, 144A, 6.875%, 3/9/2017
   
3,385,000
 
4,062,000
 
Republic of Lithuania, 144A, 7.375%, 2/11/2020
   
1,450,000
 
1,633,350
 
Republic of Panama, 9.375%, 1/16/2023
   
2,610,000
 
3,627,900
 
Republic of Peru, 7.35%, 7/21/2025
   
2,505,000
 
3,212,662
 
Republic of Poland, 6.375%, 7/15/2019
   
2,550,000
 
3,005,300
 
Republic of South Africa, 6.875%, 5/27/2019
   
185,000
 
224,544
 
Republic of Uruguay:
             
 
7.625%, 3/21/2036
   
615,000
 
793,350
 
 
9.25%, 5/17/2017
   
1,825,000
 
2,372,500
 
Republic of Venezuela, 9.25%, 9/15/2027
   
1,090,000
 
773,900
 
Russian Federation:
             
 
144A, 5.0%, 4/29/2020
   
1,345,000
 
1,371,900
 
 
REG S, 7.5%, 3/31/2030
   
3,777,267
 
4,485,882
 
Socialist Republic of Vietnam, 144A, 6.875%, 1/15/2016
   
645,000
 
712,725
 
 
 
32,518,854
 
 
Total Government & Agency Obligations (Cost $29,012,797)
 
33,359,276
 
 
 
Loan Participations and Assignments 9.4%
 
Senior Loans*** 8.8%
 
Big West Oil LLC, Term Loan, 12.0%, 2/19/2015
   
135,000
 
137,362
 
Buffets, Inc.:
             
 
Letter of Credit, First Lien, 7.525%, 4/22/2015
   
44,245
 
33,073
 
 
Term Loan B, 12.0%, 4/21/2015
   
259,372
 
236,028
 
Charter Communications Operating LLC, New Term Loan, 7.25%, 3/6/2014
   
962,382
 
989,189
 
Cincinnati Bell, Inc., Term Loan, 6.5%, 6/9/2017
   
1,461,338
 
1,459,058
 
Clarke American Corp., Term Loan B, 2.76%, 6/30/2014
   
181,181
 
156,798
 
Ford Motor Co., Term Loan B1, 3.03%, 12/16/2013
   
4,353,394
 
4,199,132
 
Hawker Beechcraft Acquisition Co., LLC:
             
 
Term Loan, 2.26%, 3/26/2014
   
1,298,263
 
1,040,097
 
 
Letter of Credit, 2.633%, 3/26/2014
   
77,416
 
62,013
 
Hexion Specialty Chemicals, Inc.:
             
 
Term Loan C1, 2.813%, 5/6/2013
   
825,263
 
791,959
 
 
Term Loan C2, 2.813%, 5/6/2013
   
390,478
 
375,021
 
IASIS Healthcare LLC, Term Loan, 5.725%, 6/13/2014 (PIK)
   
661,462
 
628,885
 
Kabel Deutschland GmbH, Term Loan, 7.983%, 11/19/2014 (PIK)
EUR
 
2,223,434
 
2,778,581
 
Nuveen Investments, Inc., First Lien Term Loan, 3.533%, 11/13/2014
   
695,086
 
616,527
 
OSI Restaurant Partners LLC:
             
 
Term Loan, 2.786%, 6/14/2013
   
77,050
 
68,422
 
 
Term Loan B, 2.875%, 6/14/2014
   
850,209
 
755,224
 
Sabre, Inc., Term Loan B, 2.26%, 9/30/2014
   
197,406
 
177,956
 
Sbarro, Inc., Term Loan, 4.775%, 1/31/2014
   
266,000
 
242,060
 
Telesat Canada:
             
 
Term Loan I, 3.27%, 10/31/2014
   
1,402,796
 
1,362,956
 
 
Term Loan II, 3.27%, 10/31/2014
   
120,491
 
117,069
 
Texas Competitive Electric Holdings Co., LLC:
             
 
Term Loan B3, 3.795%, 10/10/2014
   
1,813,713
 
1,375,456
 
 
Term Loan B2, 4.066%, 10/10/2014
   
110,953
 
84,417
 
Tribune Co., Term Loan B, LIBOR plus 3.0%, 6/4/2014 **
   
404,875
 
256,628
 
US Foodservice, Inc., Term Loan B, 2.76%, 5/29/2012
   
636,718
 
570,184
 
VML US Finance LLC:
             
 
Delayed Draw Term Loan B, 5.04%, 5/25/2012
   
114,151
 
112,411
 
 
Term Loan B, 5.04%, 5/27/2013
   
197,626
 
195,156
 
Warner Chilcott Co., LLC:
             
 
Term Loan A, 6.0%, 10/30/2014
   
515,254
 
512,637
 
 
Term Loan B2, 6.25%, 4/30/2015
   
404,275
 
404,871
 
Warner Chilcott Corp.:
             
 
Term Loan, 6.25%, 4/30/2015
   
398,000
 
398,605
 
 
Term Loan B1, 6.25%, 4/30/2015
   
242,781
 
243,129
 
 
 
20,380,904
 
Sovereign Loans 0.6%
 
BOM Capital PLC, 144A, 6.699%, 3/11/2015
   
1,385,000
 
1,410,900
 
 
Total Loan Participations and Assignments (Cost $22,316,411)
 
21,791,804
 
 
 
Preferred Securities 1.3%
 
Financials 1.1%
 
Citigroup Capital XXI, 8.3%, 12/21/2057
   
2,465,000
 
2,557,437
 
Materials 0.2%
 
Hercules, Inc., 6.5%, 6/30/2029
   
675,000
 
540,000
 
 
Total Preferred Securities (Cost $2,912,188)
 
3,097,437
 
 
 
Units
 
Value ($)
 
 
 
Other Investments 0.0%
 
Consumer Discretionary
   
AOT Bedding Super Holdings LLC* (Cost $15,000)
   
15
 
15,000
 

 
Shares
 
Value ($)
 
 
 
Common Stocks 0.0%
 
Consumer Discretionary 0.0%
 
Buffets Restaurants Holdings, Inc.*
 
8,911
 
37,426
 
Dex One Corp.*
 
2,638
 
22,476
 
SuperMedia, Inc.*
 
493
 
4,457
 
Vertis Holdings, Inc.*
 
4,349
 
0
 
 
 
64,359
 
Industrials 0.0%
 
Quad Graphics, Inc.*
 
317
 
13,374
 
Materials 0.0%
 
GEO Specialty Chemicals, Inc.*
 
7,125
 
6,056
 
GEO Specialty Chemicals, Inc. 144A*
 
649
 
552
 
 
 
6,608
 
 
Total Common Stocks (Cost $1,522,182)
 
84,341
 
 
 
Warrants 0.0%
 
Consumer Discretionary 0.0%
 
Reader's Digest Association, Inc., Expiration Date 2/19/2014*
 
589
 
18
 
Financials 0.0%
 
New ASAT (Finance) Ltd., Expiration Date 2/1/2011*
 
52,000
 
0
 
Materials 0.0%
 
Ashland, Inc., Expiration Date 3/31/2029*
 
400
 
0
 
 
Total Warrants (Cost $87,876)
 
18
 
 
 
Securities Lending Collateral 1.5%
 
Daily Assets Fund Institutional, 0.30% (d) (e)
(Cost $3,436,043)
   
3,436,043
 
3,436,043
 
 
 
Cash Equivalents 3.0%
 
Central Cash Management Fund, 0.25% (d)
(Cost $6,890,867)
   
6,890,867
 
6,890,867
 

 
% of
Net Assets
 
Value ($)
 
 
Total Investment Portfolio (Cost $312,583,269) †
138.5
 
322,005,785
 
Other Assets and Liabilities, Net
1.0
 
2,421,837
 
Notes Payable
(39.5)
 
(92,000,000)
 
 
Net Assets
100.0
 
232,427,622
 

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.  Issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.  The following table represents bonds and senior loans that are in default:

Security
 
Coupon
 
Maturity
Date
 
Principal Amount ($)
 
Acquisition
Cost ($)
   
Value ($)
 
Buffalo Thunder Development Authority
    9.375 %
12/15/2014
    125,000  
USD
    125,747       31,250  
CanWest MediaWorks LP
    9.25 %
8/1/2015
    205,000  
USD
    205,000       39,975  
Congoleum Corp.
    8.625 %
8/1/2008
    395,000  
USD
    392,755       89,863  
Fontainebleau Las Vegas Holdings LLC
    11.0 %
6/15/2015
    290,000  
USD
    292,813       754  
Grupo Iusacell Celular SA de CV
    10.0 %
3/31/2012
    97,606  
USD
    92,881       33,186  
New ASAT (Finance) Ltd.
    9.25 %
2/1/2011
    270,928  
USD
    238,281       3,007  
Radnor Holdings Corp.
    11.0 %
3/15/2010
    90,000  
USD
    79,463       9  
Tribune Co.
LIBOR plus 3.0%
6/4/2014
    404,875  
USD
    404,622       256,628  
Tropicana Entertainment LLC
    9.625 %
12/15/2014
    730,000  
USD
    547,250       533  
Trump Entertainment Resorts, Inc.
    8.5 %
6/1/2015
    75,000  
USD
    75,994       94  
Young Broadcasting, Inc.
    8.75 %
1/15/2014
    1,245,000  
USD
    1,111,306       12  
                    3,566,112       455,311  

***
These securities are shown at their current rate as of August 31, 2010.  Floating rate securities’ yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate.
The cost for federal income tax purposes was $312,660,531.  At August 31, 2010, net unrealized appreciation for all securities based on tax cost was $9,345,254.  This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $17,688,199 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $8,342,945.
(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, 2010 amounted to $3,307,772 which is 1.4% of net assets.
(c)
Government-backed debt issued by financial companies or government sponsored enterprises.
(d)
Affiliated fund managed by Deutsche Investment Management Americas Inc.  The rate shown is the annualized seven-day yield at period end.
(e)
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: London InterBank Offered Rate
PIK: Denotes that all or a portion of the income is paid in kind.
REG S: Securities sold under Regulation S may not be offered, sold or delivered within the United States or to, or for the account or benefit of, US persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
REIT: Real Estate Investment Trust
 
At August 31, 2010, open credit default swap contracts sold were as follows:

Effective/
Expiration
Date
Notional
Amount ($) (f)
Fixed
Cash
Flows
Received
Underlying Debt
Obligation/
Quality Rating (g)
Value ($)
Upfront Payments
Paid/
(Received) ($)
Unrealized
Appreciation/
(Depreciation) ($)
 
 
   
6/21/2010
9/20/2013
1,285,0001
5.0%
Ford Motor Co.,
6.5%, 8/1/2018, B
11,454
(6,396)
17,850
   
6/21/2010
9/20/2015
825,0002
5.0%
Ford Motor Co.,
6.5%, 8/1/2018, B
(39,646)
(22,547)
(17,099)
   
Total net unrealized appreciation
751
   
 

(f)
The maximum potential amount of future undiscounted payments that the Fund could be required to make under a credit default swap contract would be the notional amount of the contract.  These potential amounts would be partially offset by any recovery values of the referenced debt obligation or net amounts received from the settlement of buy protection credit default swap contracts entered into by the Fund for the same referenced debt obligation.
(g)
The quality ratings represent the lower of Moody's Investors Service, Inc. ("Moody's") or Standard & Poor's Corporation ("S&P") credit ratings.

Counterparties:
1
The Goldman Sachs & Co.
2
Bank of America

As of August 31, 2010, the Fund had the following open forward foreign currency exchange contracts:

Contracts to Deliver
 
In Exchange For
 
Settlement
Date
 
Unrealized
Appreciation ($)
 
Counterparty
 
 
EUR
6,691,200
 
USD
8,493,909
 
9/27/2010
 
14,784
 
JPMorgan Chase Securities, Inc.
 
 
Contracts to Deliver
 
In Exchange For
 
Settlement
Date
 
Unrealized
Depreciation ($)
 
Counterparty
 
 
USD
230,167
 
EUR
181,100
 
9/27/2010
 
(676)
 
Citigroup, Inc.
 

Currency Abbreviations
 
 
ARS
Argentine Peso
EUR
Euro
 
BRL
Brazilian Real
USD
United States Dollar
 




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, and credit risk). 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.

The following is a summary of the inputs used as of August 31, 2010 in valuing the Fund's investments.

   
Level 1
   
Level 2
 
Level 3
 
Total
 
Assets
               
Fixed Income Investments(h)
                   
Corporate Bonds
  $     $ 252,583,388   $ 747,611   $ 253,330,999  
Government & Agency Obligations
          33,359,276         33,359,276  
Loan Participations and Assignments
          21,791,804         21,791,804  
Preferred Securities
          3,097,437         3,097,437  
Other Investments
              15,000     15,000  
Common Stocks(h)
    40,307       37,426     6,608     84,341  
Warrants(h)
              18     18  
Short-Term Investments(h)
    10,326,910               10,326,910  
Derivatives(i)
          32,634         32,634  
Total
  $ 10,367,217     $ 310,901,965   $ 769,237   $ 322,038,419  
Liabilities
                           
Derivatives(i)
  $     $ (17,775 ) $   $ (17,775 )
Total
  $     $ (17,775 ) $   $ (17,775 )

There have been no significant transfers in and out of Level 1 and Level 2 fair value measurements during the period ended August 31, 2010.
(h)
See Investment Portfolio for additional detailed categorizations.
(i)
Derivatives include unrealized appreciation (depreciation) on credit default swap contracts and forward foreign currency exchange contracts.

 

 
Level 3 Reconciliation

The following is a reconciliation of the Fund's Level 3 investments for which significant unobservable inputs were used in determining value:

   
Corporate Bonds
   
Loan Participations and Assignments
   
Other Investments
   
Common Stocks
   
Convertible
Preferred Stocks
   
Warrants
   
Total
 
Balance as of
November 30, 2009
  $ 872,385     $ 1,083,906     $     $ 6,608     $ 0     $ 5,404     $ 1,968,303  
Realized gain (loss)
          (58,306 )                 (12,580 )           (70,886 )
Change in unrealized appreciation (depreciation)
    52,334       125,671                   12,580       (5,386 )     185,199  
Amortization premium/discount
    3,192       11,798                               14,990  
Net purchases (sales)
          (1,163,069 )     15,000             0             (1,148,069 )
Transfers into Level 3
    12,450 (j)                                   12,450  
Transfers (out) of Level 3
    (192,750 )(k)                                   (192,750 )
Balance as of
August 31, 2010
  $ 747,611     $     $ 15,000     $ 6,608     $     $ 18     $ 769,237  
Net change in unrealized appreciation (depreciation) from investments still held at August 31, 2010
  $ 52,334     $     $     $     $     $ (5,386 )   $ 46,948  

(j)
The investment was transferred from Level 2 to Level 3 because of the lack of observable market data due to a decrease in market activity.
(k)
The investment was transferred from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs.

Derivatives

The following table presents, by major type of derivative contract, the unrealized appreciation (depreciation) of the Fund's derivative instruments as of August 31, 2010 categorized by the primary underlying risk exposure. 

 
 
Primary Underlying Risk Disclosure
 
Swaps
   
Forward Currency Contracts
 
Credit Contracts
  $ 751     $  
Foreign Exchange Contracts
  $     $ 14,108  


 

 

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.



 

 
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.

Registrant:
DWS Multi-Market Income Trust
   
By:
/s/Michael G. Clark
Michael G. Clark
President
   
Date:
October 21, 2010


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By:
/s/Michael G. Clark
Michael G. Clark
President
   
Date:
October 21, 2010
   
   
   
By:
/s/Paul Schubert
Paul Schubert
Chief Financial Officer and Treasurer
   
Date:
October 21, 2010


EX-99.CERT 2 ex-99cert.htm CERTIFICATION ex-99cert.htm


 
CERTIFICATIONS
 
 
I, Michael G. Clark, certify that:
 
 
1.
I have reviewed this report on Form N-Q of DWS Multi-Market Income Trust;
 
 
2.
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
 
 
3.
Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
 
 
4.
The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
 
 
(a)
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
 
 
(b)
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
 
 
(c)
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
 
 
(d)
Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
 
 
5.
The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
 
 
(a)
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
 
 
(b)
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

   
By:
/s/Michael G. Clark
Michael G. Clark
President
   
Date:
October 21, 2010


 
 

 

CERTIFICATIONS
 
 
I, Paul Schubert, certify that:
 
 
1.
I have reviewed this report on Form N-Q of DWS Multi-Market Income Trust;
 
 
2.
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
 
 
3.
Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
 
 
4.
The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
 
 
(a)
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
 
 
(b)
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
 
 
(c)
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
 
 
(d)
Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
 
 
5.
The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
 
 
(a)
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
 
 
(b)
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
 

   
By:
/s/Paul Schubert
Paul Schubert
Chief Financial Officer and Treasurer
   
Date:
October 21, 2010

-----END PRIVACY-ENHANCED MESSAGE-----