N-CSRS 1 sr53113mmi.htm DWS MULTI-MARKET INCOME TRUST sr53113mmi.htm
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D. C. 20549

FORM N-CSRS

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 10154-0004
 (Address of Principal Executive Offices) (Zip Code)

Registrant’s Telephone Number, including Area Code: (212) 250-3220

Paul Schubert
60 Wall Street
New York, NY 10005
 (Name and Address of Agent for Service)

Date of fiscal year end:
11/30
   
Date of reporting period:
5/31/2013

ITEM 1.
REPORT TO STOCKHOLDERS
   
MAY 31, 2013
Semiannual Report
to Shareholders
 
DWS Multi-Market Income Trust
Ticker Symbol: KMM
 
Contents
4 Performance Summary
6 Portfolio Management
6 Portfolio Summary
8 Investment Portfolio
34 Statement of Assets and Liabilities
36 Statement of Operations
37 Statement of Cash Flows
38 Statement of Changes in Net Assets
39 Financial Highlights
41 Notes to Financial Statements
53 Dividend Reinvestment Plan
55 Additional Information
57 Privacy Statement
 
The fund's investment objective is to provide high current income consistent with prudent total return asset management.
 
Closed-end funds, unlike open-end funds, are not continuously offered. There is a one time public offering and once issued, shares of closed-end funds are sold in the open market through a stock exchange. Shares of closed-end funds frequently trade at a discount to net asset value. The price of the fund's shares is determined by a number of factors, several of which are beyond the control of the fund. Therefore, the fund cannot predict whether its shares will trade at, below or above net asset value.
 
Bond investments are subject to interest-rate and credit risks. When interest rates rise, bond prices generally fall. Credit risk refers to the ability of an issuer to make timely payments of principal and interest. Investments in lower-quality ("junk bonds") and non-rated securities present greater risk of loss than investments in higher-quality securities. Investing in derivatives entails special risks relating to liquidity, leverage and credit that may reduce returns and/or increase volatility. Leverage results in additional risks and can magnify the effect of any gains or losses. Investing in foreign securities, particularly those of emerging markets, presents certain risks, such as currency fluctuations, political and economic changes, and market risks.
 
DWS Investments is part of the Deutsche Asset & Wealth Management division of Deutsche Bank AG.
 
NOT FDIC/NCUA INSURED NO BANK GUARANTEE MAY LOSE VALUE NOT A DEPOSIT NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY
 
Performance Summary May 31, 2013 (Unaudited)
 
Performance is historical, assumes reinvestment of all dividend and capital gain distributions, and does not guarantee future results. Investment return and principal value fluctuate with changing market conditions so that, when sold, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Please visit www.dws-investments.com for the Fund's most recent month-end performance.
 
Fund specific data and performance are provided for informational purposes only and are not intended for trading purposes.
 
Average Annual Total Returns as of 5/31/13
 
DWS Multi-Market Income Trust
 
6-Month
   
1-Year
   
5-Year
   
10-Year
 
Based on Net Asset Value(a)
    4.02 %     14.94 %     12.22 %     11.52 %
Based on Market Price(a)
    3.33 %     10.06 %     14.70 %     11.40 %
Credit Suisse High Yield Index(b)
    5.78 %     14.18 %     10.15 %     9.26 %
Morningstar Closed-End Multisector Bond Funds Category (based on Net Asset Value)(c)
    6.04 %     18.51 %     11.58 %     9.05 %
 
Total returns shown for periods less than one year are not annualized.
 
(a) Total return based on net asset value reflects changes in the Fund's net asset value during each period. Total return based on market price reflects changes in market price. Each figure assumes that dividend and capital gain distributions, if any, were reinvested. These figures will differ depending upon the level of any discount from or premium to NAV at which the Fund's shares traded during the period. Expenses of the Fund include management fee, interest expense and other fund expenses. Total returns shown take into account these fees and expenses. The annualized expense ratio of the Fund for the six months ended May 31, 2013 was 1.68% (1.00% excluding interest expense).
 
(b) The Credit Suisse High Yield Index is an unmanaged, unleveraged, trader-priced portfolio constructed to mirror the global high-yield debt market. Index returns do not reflect any fees or expenses and it is not possible to invest directly into an index.
 
(c) Morningstar's Closed-End Multisector Bond Funds category represents multisector-bond portfolios that seek income by diversifying their assets among several fixed-income sectors, usually U.S. government obligations, U.S. corporate bonds, foreign bonds and high-yield U.S. debt securities. These portfolios typically hold 35% to 65% of bond assets in securities that are not rated or are rated by a major agency such as Standard & Poor's or Moody's at the level of BB (considered speculative for taxable bonds). Morningstar figures represent the average of the total returns based on net asset value reported by all of the closed-end funds designated by Morningstar, Inc. as falling into the Closed-End Multisector Bond Funds category. Category returns assume reinvestment of all distributions. It is not possible to invest directly in a Morningstar category.
 
Net Asset Value and Market Price
 
   
As of 5/31/13
   
As of 11/30/12
 
Net Asset Value
  $ 10.26     $ 10.29  
Market Price
  $ 10.41     $ 10.51  
 
Prices and net asset value fluctuate and are not guaranteed.
 
Distribution Information
 
Six Months as of 5/31/13:
Income Dividends
  $ .46  
May Income Dividend
  $ .0700  
Current Annualized Distribution Rate (based on Net Asset Value) as of 5/31/13
    8.19 %
Current Annualized Distribution Rate (based on Market Price) as of 5/31/13
    8.07 %
 
Current annualized distribution rate is the latest monthly dividend shown as an annualized percentage of net asset value/market price on May 31, 2013. Distribution rate simply measures the level of dividends and is not a complete measure of performance. Distribution rates are historical, not guaranteed and will fluctuate.
 
Portfolio Management
 
Gary Russell, CFA, Managing Director
 
Portfolio Manager of the fund. Joined the fund in 2006.
 
Joined Deutsche Asset & Wealth Management in 1996. Served as the head of the High Yield group in Europe and as an Emerging Markets portfolio manager.
 
Prior to that, four years at Citicorp as a research analyst and structurer of collateralized mortgage obligations. Prior to Citicorp, served as an officer in the US Army from 1988 to 1991.
 
Head of US High Yield Bonds: New York.
 
BS, United States Military Academy (West Point); MBA, New York University, Stern School of Business.
 
Portfolio Summary (Unaudited)
 
 
Investment Portfolio as of May 31, 2013 (Unaudited)
   
Principal Amount ($)(a)
   
Value ($)
 
       
Corporate Bonds 101.8%
 
Consumer Discretionary 16.3%
 
AMC Entertainment, Inc., 8.75%, 6/1/2019
      735,000       806,662  
AMC Networks, Inc., 7.75%, 7/15/2021
      130,000       147,225  
APX Group, Inc., 144A, 6.375%, 12/1/2019
      295,000       294,262  
Arcelik AS, 144A, 5.0%, 4/3/2023
      815,000       819,075  
Asbury Automotive Group, Inc.:
 
7.625%, 3/15/2017
      255,000       262,334  
8.375%, 11/15/2020
      300,000       336,000  
Avis Budget Car Rental LLC:
 
144A, 5.5%, 4/1/2023
      290,000       292,900  
8.25%, 1/15/2019
      365,000       397,394  
BC Mountain LLC, 144A, 7.0%, 2/1/2021
      280,000       296,800  
Block Communications, Inc., 144A, 7.25%, 2/1/2020
      580,000       629,300  
Boyd Gaming Corp., 9.0%, 7/1/2020
      215,000       231,663  
Bresnan Broadband Holdings LLC, 144A, 8.0%, 12/15/2018
      695,000       752,337  
Cablevision Systems Corp., 8.0%, 4/15/2020
      85,000       96,263  
Caesar's Entertainment Operating Co., Inc.:
 
8.5%, 2/15/2020
      575,000       547,687  
11.25%, 6/1/2017
      1,075,000       1,123,375  
Carlson Wagonlit BV, 144A, 6.875%, 6/15/2019
      320,000       336,800  
CCO Holdings LLC:
 
5.25%, 9/30/2022
      2,035,000       2,035,000  
5.75%, 1/15/2024
      365,000       368,650  
6.625%, 1/31/2022
      675,000       725,625  
7.375%, 6/1/2020
      85,000       94,881  
8.125%, 4/30/2020
      95,000       106,163  
CDR DB Sub, Inc., 144A, 7.75%, 10/15/2020
      165,000       172,013  
Cequel Communications Holdings I LLC:
 
144A, 5.125%, 12/15/2021
      355,000       348,344  
144A, 6.375%, 9/15/2020
      1,630,000       1,703,350  
144A, 8.625%, 11/15/2017
      1,601,000       1,708,267  
Chester Downs & Marina LLC, 144A, 9.25%, 2/1/2020
      110,000       106,700  
Clear Channel Communications, Inc., 144A, 11.25%, 3/1/2021
      195,000       211,088  
Clear Channel Worldwide Holdings, Inc.:
 
Series A, 144A, 6.5%, 11/15/2022
      355,000       372,750  
Series B, 144A, 6.5%, 11/15/2022
      525,000       553,875  
Series A, 7.625%, 3/15/2020
      85,000       89,888  
Series B, 7.625%, 3/15/2020
      865,000       919,062  
Cogeco Cable, Inc., 144A, 4.875%, 5/1/2020
      35,000       34,913  
Columbus International, Inc., 144A, 11.5%, 11/20/2014
      1,000,000       1,112,500  
Crown Media Holdings, Inc., 10.5%, 7/15/2019
      215,000       245,100  
Cumulus Media Holdings, Inc., 7.75%, 5/1/2019
      265,000       271,625  
DISH DBS Corp.:
 
4.625%, 7/15/2017
      1,160,000       1,160,000  
144A, 5.0%, 5/15/2017
      375,000       375,000  
6.75%, 6/1/2021
      110,000       116,325  
7.125%, 2/1/2016
      345,000       377,775  
Fontainebleau Las Vegas Holdings LLC, 144A, 11.0%, 6/15/2015*
      290,000       0  
Griffey Intermediate, Inc., 144A, 7.0%, 10/15/2020
      290,000       293,625  
Harron Communications LP, 144A, 9.125%, 4/1/2020
      605,000       673,062  
Hertz Corp., 144A, 4.25%, 4/1/2018
      2,160,000       2,219,400  
Jo-Ann Stores Holdings, Inc., 144A, 9.75%, 10/15/2019 (PIK)
      520,000       553,150  
L Brands, Inc., 7.0%, 5/1/2020
      230,000       268,237  
Libbey Glass, Inc., 6.875%, 5/15/2020
      171,000       185,108  
Lions Gate Entertainment, Inc., 144A, 10.25%, 11/1/2016
      390,000       420,712  
LKQ Corp., 144A, 4.75%, 5/15/2023
      430,000       428,925  
MDC Partners, Inc., 144A, 6.75%, 4/1/2020
      215,000       219,838  
Mediacom Broadband LLC, 6.375%, 4/1/2023
      610,000       634,400  
Mediacom LLC:
 
7.25%, 2/15/2022
      165,000       179,438  
9.125%, 8/15/2019
      530,000       585,650  
MGM Resorts International:
 
6.625%, 12/15/2021
      870,000       942,862  
144A, 6.75%, 10/1/2020
      125,000       136,250  
7.625%, 1/15/2017
      390,000       445,087  
8.625%, 2/1/2019
      1,285,000       1,519,512  
10.0%, 11/1/2016
      160,000       193,400  
National CineMedia LLC:
 
6.0%, 4/15/2022
      320,000       343,200  
7.875%, 7/15/2021
      360,000       403,200  
Norcraft Companies LP, 10.5%, 12/15/2015
      620,000       647,900  
Palace Entertainment Holdings LLC, 144A, 8.875%, 4/15/2017
      285,000       304,237  
Petco Holdings, Inc., 144A, 8.5%, 10/15/2017 (PIK)
      85,000       87,019  
Quebecor Media, Inc., 5.75%, 1/15/2023
      295,000       302,375  
Regal Entertainment Group, 5.75%, 2/1/2025
      70,000       69,825  
Rent-A-Center, Inc., 144A, 4.75%, 5/1/2021
      215,000       210,700  
SACI Falabella, 144A, 3.75%, 4/30/2023
      500,000       478,750  
Seminole Hard Rock Entertainment, Inc., 144A, 5.875%, 5/15/2021
      180,000       178,875  
Seminole Indian Tribe of Florida:
 
144A, 7.75%, 10/1/2017
      330,000       352,275  
144A, 7.804%, 10/1/2020
      455,000       493,675  
SIWF Merger Sub, Inc., 144A, 6.25%, 6/1/2021 (b)
      415,000       412,925  
Starz LLC, 5.0%, 9/15/2019
      230,000       233,450  
Taylor Morrison Communities, Inc., 144A, 5.25%, 4/15/2021
      360,000       364,500  
Toys "R" Us-Delaware, Inc., 144A, 7.375%, 9/1/2016
      260,000       268,125  
UCI International, Inc., 8.625%, 2/15/2019
      165,000       170,775  
Unitymedia Hessen GmbH & Co., KG:
 
144A, 5.5%, 1/15/2023
      1,320,000       1,346,400  
144A, 7.5%, 3/15/2019
      300,000       325,500  
Unitymedia KabelBW GmbH, 144A, 9.625%, 12/1/2019
EUR
    610,000       883,073  
Univision Communications, Inc.:
 
144A, 6.875%, 5/15/2019
      85,000       90,313  
144A, 7.875%, 11/1/2020
      185,000       202,575  
144A, 8.5%, 5/15/2021
      105,000       113,663  
UPC Holding BV, 144A, 8.375%, 8/15/2020
EUR
    715,000       1,023,275  
Viking Cruises Ltd., 144A, 8.5%, 10/15/2022
      295,000       331,875  
Visant Corp., 10.0%, 10/1/2017
      305,000       292,037  
Visteon Corp., 6.75%, 4/15/2019
      244,000       260,470  
Yonkers Racing Corp., 144A, 11.375%, 7/15/2016
      240,000       255,000  
        40,923,614  
Consumer Staples 3.5%
 
Ajecorp BV, 144A, 6.5%, 5/14/2022
      850,000       918,000  
Alliance One International, Inc., 10.0%, 7/15/2016
      195,000       204,994  
B&G Foods, Inc., 4.625%, 6/1/2021 (b)
      340,000       339,150  
Chiquita Brands International, Inc., 144A, 7.875%, 2/1/2021
      130,000       139,750  
Constellation Brands, Inc.:
 
3.75%, 5/1/2021
      360,000       351,000  
6.0%, 5/1/2022
      150,000       168,375  
Controladora Mabe SA de CV, 144A, 7.875%, 10/28/2019
      1,000,000       1,142,500  
Del Monte Corp., 7.625%, 2/15/2019
      580,000       601,025  
FAGE Dairy Industry SA, 144A, 9.875%, 2/1/2020
      500,000       552,500  
JBS U.S.A. LLC, 144A, 8.25%, 2/1/2020
      240,000       263,400  
MHP SA, 144A, 8.25%, 4/2/2020
      1,300,000       1,282,651  
NBTY, Inc., 9.0%, 10/1/2018
      185,000       203,500  
Pilgrim's Pride Corp., 7.875%, 12/15/2018
      220,000       239,250  
Smithfield Foods, Inc.:
 
6.625%, 8/15/2022
      570,000       648,375  
7.75%, 7/1/2017
      590,000       685,875  
Sun Products Corp., 144A, 7.75%, 3/15/2021
      505,000       510,050  
Tops Holding Corp., 144A, 8.875%, 12/15/2017
      145,000       159,500  
U.S. Foods, Inc., 8.5%, 6/30/2019
      290,000       310,662  
        8,720,557  
Energy 15.3%
 
Access Midstream Partners LP:
 
4.875%, 5/15/2023
      355,000       350,563  
6.125%, 7/15/2022
      500,000       535,000  
Afren PLC, 144A, 10.25%, 4/8/2019
      700,000       823,438  
Arch Coal, Inc.:
 
7.0%, 6/15/2019
      165,000       148,500  
7.25%, 10/1/2020
      150,000       134,250  
Berry Petroleum Co.:
 
6.375%, 9/15/2022
      285,000       295,688  
6.75%, 11/1/2020
      615,000       662,662  
BreitBurn Energy Partners LP:
 
7.875%, 4/15/2022
      285,000       309,225  
8.625%, 10/15/2020
      150,000       165,000  
Chaparral Energy, Inc., 7.625%, 11/15/2022
      255,000       275,400  
Chesapeake Energy Corp., 7.25%, 12/15/2018
      1,975,000       2,276,187  
Chesapeake Oilfield Operating LLC, 144A, 6.625%, 11/15/2019
      315,000       330,750  
CITGO Petroleum Corp., 144A, 11.5%, 7/1/2017
      375,000       423,750  
Cloud Peak Energy Resources LLC, 8.5%, 12/15/2019
      80,000       88,000  
Continental Resources, Inc.:
 
144A, 4.5%, 4/15/2023
      85,000       85,850  
5.0%, 9/15/2022
      255,000       263,925  
7.125%, 4/1/2021
      230,000       258,175  
7.375%, 10/1/2020
      245,000       276,238  
Crestwood Midstream Partners LP, 7.75%, 4/1/2019
      445,000       475,038  
Crosstex Energy LP, 7.125%, 6/1/2022
      155,000       165,850  
Denbury Resources, Inc., 4.625%, 7/15/2023
      695,000       672,412  
Dresser-Rand Group, Inc., 6.5%, 5/1/2021
      585,000       633,262  
Eagle Rock Energy Partners LP, 8.375%, 6/1/2019
      115,000       120,463  
El Paso LLC, 7.25%, 6/1/2018
      405,000       470,228  
EP Energy LLC:
 
6.875%, 5/1/2019
      520,000       561,600  
7.75%, 9/1/2022
      125,000       139,375  
9.375%, 5/1/2020
      120,000       136,050  
EPE Holdings LLC, 144A, 8.125%, 12/15/2017 (PIK)
      635,000       677,862  
EV Energy Partners LP, 8.0%, 4/15/2019
      1,280,000       1,315,200  
Frontier Oil Corp., 6.875%, 11/15/2018
      270,000       292,950  
Global Geophysical Services, Inc., 10.5%, 5/1/2017
      330,000       295,350  
Halcon Resources Corp.:
 
8.875%, 5/15/2021
      565,000       574,888  
9.75%, 7/15/2020
      230,000       238,913  
Holly Energy Partners LP:
 
6.5%, 3/1/2020
      165,000       175,313  
8.25%, 3/15/2018
      410,000       441,775  
HollyFrontier Corp., 9.875%, 6/15/2017
      620,000       651,744  
KazMunayGas National Co. JSC, 144A, 5.75%, 4/30/2043
      200,000       191,000  
Kodiak Oil & Gas Corp., 144A, 5.5%, 1/15/2021
      350,000       363,125  
Linn Energy LLC:
 
144A, 6.25%, 11/1/2019
      855,000       861,412  
6.5%, 5/15/2019
      1,775,000       1,806,062  
MEG Energy Corp.:
 
144A, 6.375%, 1/30/2023
      1,175,000       1,204,375  
144A, 6.5%, 3/15/2021
      325,000       336,375  
Memorial Production Partners LP, 144A, 7.625%, 5/1/2021
      505,000       507,525  
Midstates Petroleum Co., Inc.:
 
144A, 9.25%, 6/1/2021
      670,000       666,650  
144A, 10.75%, 10/1/2020
      165,000       176,550  
Murray Energy Corp., 144A, 8.625%, 6/15/2021
      70,000       72,100  
Newfield Exploration Co., 5.75%, 1/30/2022
      305,000       326,350  
Northern Oil & Gas, Inc., 8.0%, 6/1/2020
      875,000       910,000  
Oasis Petroleum, Inc.:
 
6.5%, 11/1/2021
      240,000       259,200  
6.875%, 1/15/2023
      175,000       190,750  
7.25%, 2/1/2019
      750,000       808,125  
Odebrecht Drilling Norbe VIII/IX Ltd., 144A, 6.35%, 6/30/2021
      1,900,000       2,048,200  
Offshore Group Investment Ltd.:
 
144A, 7.125%, 4/1/2023
      580,000       598,850  
7.5%, 11/1/2019
      420,000       453,600  
Pacific Drilling SA, 144A, 5.375%, 6/1/2020 (b)
      340,000       336,600  
Plains Exploration & Production Co.:
 
6.125%, 6/15/2019
      345,000       378,638  
6.75%, 2/1/2022
      760,000       849,300  
6.875%, 2/15/2023
      740,000       837,125  
Quicksilver Resources, Inc., 11.75%, 1/1/2016
      565,000       598,900  
Range Resources Corp., 144A, 5.0%, 3/15/2023
      140,000       141,400  
Regency Energy Partners LP, 144A, 4.5%, 11/1/2023
      145,000       143,550  
Reliance Holdings U.S.A., Inc., 144A, 5.4%, 2/14/2022
      1,250,000       1,366,775  
Sabine Pass Liquefaction LLC:
 
144A, 5.625%, 2/1/2021
      980,000       983,675  
144A, 5.625%, 4/15/2023
      220,000       220,000  
Sabine Pass LNG LP, 7.5%, 11/30/2016
      145,000       161,675  
SandRidge Energy, Inc., 7.5%, 3/15/2021
      720,000       741,600  
SESI LLC:
 
6.375%, 5/1/2019
      335,000       361,800  
7.125%, 12/15/2021
      1,050,000       1,178,625  
Swift Energy Co., 7.875%, 3/1/2022
      410,000       428,450  
Talos Production LLC, 144A, 9.75%, 2/15/2018
      545,000       545,000  
Tesoro Corp., 5.375%, 10/1/2022
      215,000       225,750  
Venoco, Inc., 8.875%, 2/15/2019
      410,000       410,000  
WPX Energy, Inc., 5.25%, 1/15/2017
      955,000       1,014,687  
        38,444,673  
Financials 16.9%
 
Abengoa Finance SAU, 144A, 8.875%, 11/1/2017
      130,000       124,800  
AerCap Aviation Solutions BV, 6.375%, 5/30/2017
      1,040,000       1,125,800  
Akbank TAS, 144A, 5.125%, 7/22/2015
      480,000       504,000  
Ally Financial, Inc.:
 
6.25%, 12/1/2017
      740,000       814,406  
8.0%, 3/15/2020
      870,000       1,035,300  
Alphabet Holding Co., Inc., 144A, 7.75%, 11/1/2017 (PIK)
      145,000       149,713  
Altice Financing SA, 144A, 7.875%, 12/15/2019
      335,000       370,594  
AmeriGas Finance LLC:
 
6.75%, 5/20/2020
      165,000       179,850  
7.0%, 5/20/2022
      165,000       179,025  
Antero Resources Finance Corp., 7.25%, 8/1/2019
      415,000       448,200  
Ashtead Capital, Inc., 144A, 6.5%, 7/15/2022
      455,000       491,400  
Ashton Woods U.S.A. LLC, 144A, 6.875%, 2/15/2021
      465,000       481,856  
AWAS Aviation Capital Ltd., 144A, 7.0%, 10/17/2016
      604,200       632,899  
Banco Bradesco SA, 144A, 5.75%, 3/1/2022
      1,420,000       1,490,290  
Banco Santander Brasil SA, 144A, 8.0%, 3/18/2016
BRL
    1,000,000       462,695  
BOE Merger Corp., 144A, 9.5%, 11/1/2017 (PIK)
      295,000       307,538  
Braskem America Finance Co., 144A, 7.125%, 7/22/2041
      1,000,000       1,010,000  
Caesar's Operating Escrow LLC, 144A, 9.0%, 2/15/2020
      365,000       351,313  
Case New Holland, Inc., 7.875%, 12/1/2017
      830,000       975,250  
CIT Group, Inc., 4.25%, 8/15/2017
      1,850,000       1,905,500  
CNH Capital LLC, 144A, 3.625%, 4/15/2018
      575,000       579,312  
E*TRADE Financial Corp.:
 
6.0%, 11/15/2017
      1,927,000       2,008,897  
6.375%, 11/15/2019
      1,002,000       1,052,100  
6.75%, 6/1/2016
      520,000       556,400  
Fibria Overseas Finance Ltd., 144A, 6.75%, 3/3/2021
      160,000       175,200  
Ford Motor Credit Co., LLC, 5.875%, 8/2/2021
      430,000       489,798  
Fresenius Medical Care U.S. Finance II, Inc.:
 
144A, 5.625%, 7/31/2019
      330,000       362,175  
144A, 5.875%, 1/31/2022
      285,000       319,200  
Fresenius Medical Care U.S. Finance, Inc.:
 
144A, 5.75%, 2/15/2021
      255,000       283,688  
144A, 6.5%, 9/15/2018
      170,000       193,800  
General Motors Financial Co., Inc., 144A, 3.25%, 5/15/2018
      145,000       143,731  
Hellas Telecommunications Finance SCA, 144A, 8.21%**, 7/15/2015 (PIK)*
EUR
    278,431       0  
Hexion U.S. Finance Corp.:
 
6.625%, 4/15/2020
      145,000       150,800  
8.875%, 2/1/2018
      595,000       621,031  
International Lease Finance Corp.:
 
3.875%, 4/15/2018
      1,060,000       1,061,325  
4.625%, 4/15/2021
      500,000       496,250  
6.25%, 5/15/2019
      465,000       508,012  
8.625%, 1/15/2022
      460,000       573,850  
Kinder Morgan Finance Co., LLC, 144A, 6.0%, 1/15/2018
      610,000       673,409  
Level 3 Financing, Inc.:
 
7.0%, 6/1/2020
      550,000       573,375  
8.125%, 7/1/2019
      290,000       313,925  
8.625%, 7/15/2020
      240,000       264,000  
Metalloinvest Finance Ltd., 144A, 6.5%, 7/21/2016
      1,000,000       1,053,750  
MPT Operating Partnership LP:
 
(REIT), 6.375%, 2/15/2022
      270,000       295,650  
(REIT), 6.875%, 5/1/2021
      415,000       458,575  
National Money Mart Co., 10.375%, 12/15/2016
      450,000       482,062  
Neuberger Berman Group LLC:
 
144A, 5.625%, 3/15/2020
      245,000       259,700  
144A, 5.875%, 3/15/2022
      405,000       431,325  
Nielsen Finance LLC, 144A, 4.5%, 10/1/2020
      70,000       70,175  
NII Capital Corp., 7.625%, 4/1/2021
      220,000       183,150  
Odebrecht Finance Ltd., 144A, 7.125%, 6/26/2042
      1,000,000       1,070,000  
Qtel International Finance Ltd., 144A, 3.25%, 2/21/2023
      1,000,000       951,250  
Reynolds Group Issuer, Inc.:
 
5.75%, 10/15/2020
      575,000       583,625  
6.875%, 2/15/2021
      760,000       811,300  
7.125%, 4/15/2019
      2,230,000       2,374,950  
8.25%, 2/15/2021
      155,000       158,100  
8.5%, 5/15/2018
      100,000       105,000  
9.875%, 8/15/2019
      100,000       109,000  
Schaeffler Finance BV:
 
144A, 4.75%, 5/15/2021
      390,000       383,175  
144A, 7.75%, 2/15/2017
      610,000       686,250  
Serta Simmons Holdings LLC, 144A, 8.125%, 10/1/2020
      165,000       174,488  
Sky Growth Acquisition Corp., 144A, 7.375%, 10/15/2020
      250,000       265,625  
Toys "R" Us Property Co. I, LLC, 10.75%, 7/15/2017
      360,000       381,600  
Tronox Finance LLC, 144A, 6.375%, 8/15/2020
      365,000       358,613  
Turkiye Halk Bankasi AS, 144A, 4.875%, 7/19/2017
      1,000,000       1,046,870  
U.S. Coatings Acquisition, Inc., 144A, 7.375%, 5/1/2021
      175,000       184,625  
UPCB Finance III Ltd., 144A, 6.625%, 7/1/2020
      2,115,000       2,252,475  
UPCB Finance V Ltd., 144A, 7.25%, 11/15/2021
      320,000       352,800  
UPCB Finance VI Ltd., 144A, 6.875%, 1/15/2022
      330,000       356,400  
Vale Overseas Ltd., 6.875%, 11/10/2039
      1,200,000       1,292,414  
Wind Acquisition Finance SA:
 
144A, 6.5%, 4/30/2020
      290,000       297,975  
144A, 7.25%, 2/15/2018
      365,000       380,513  
WMG Acquisition Corp., 144A, 6.0%, 1/15/2021
      131,000       138,205  
        42,390,347  
Health Care 6.6%
 
Aviv Healthcare Properties LP, 7.75%, 2/15/2019
      730,000       797,525  
Biomet, Inc.:
 
144A, 6.5%, 8/1/2020
      500,000       526,250  
144A, 6.5%, 10/1/2020
      145,000       146,813  
Community Health Systems, Inc.:
 
5.125%, 8/15/2018
      2,405,000       2,507,212  
7.125%, 7/15/2020
      2,715,000       2,979,712  
HCA Holdings, Inc., 7.75%, 5/15/2021
      805,000       889,525  
HCA, Inc.:
 
5.875%, 3/15/2022
      415,000       455,463  
6.5%, 2/15/2020
      2,865,000       3,230,287  
7.5%, 2/15/2022
      1,245,000       1,450,425  
Hologic, Inc., 6.25%, 8/1/2020
      300,000       320,625  
IMS Health, Inc., 144A, 6.0%, 11/1/2020
      365,000       385,988  
Physio-Control International, Inc., 144A, 9.875%, 1/15/2019
      240,000       271,200  
STHI Holding Corp., 144A, 8.0%, 3/15/2018
      240,000       261,600  
Tenet Healthcare Corp.:
 
144A, 4.375%, 10/1/2021
      550,000       533,500  
144A, 4.5%, 4/1/2021
      70,000       68,775  
6.25%, 11/1/2018
      1,550,000       1,716,625  
        16,541,525  
Industrials 8.7%
 
Accuride Corp., 9.5%, 8/1/2018
      235,000       244,988  
Aguila 3 SA, 144A, 7.875%, 1/31/2018
      685,000       737,231  
Air Lease Corp.:
 
4.75%, 3/1/2020
      415,000       421,225  
6.125%, 4/1/2017
      685,000       738,087  
BE Aerospace, Inc., 6.875%, 10/1/2020
      235,000       257,912  
Belden, Inc., 144A, 5.5%, 9/1/2022
      505,000       518,887  
Bombardier, Inc.:
 
144A, 5.75%, 3/15/2022
      650,000       676,000  
144A, 7.75%, 3/15/2020
      1,700,000       1,989,000  
Casella Waste Systems, Inc., 7.75%, 2/15/2019
      785,000       753,600  
Clean Harbors, Inc., 5.125%, 6/1/2021
      375,000       386,250  
DigitalGlobe, Inc., 144A, 5.25%, 2/1/2021
      210,000       211,575  
Ducommun, Inc., 9.75%, 7/15/2018
      250,000       277,500  
DynCorp International, Inc., 10.375%, 7/1/2017
      635,000       650,875  
Ferreycorp SAA, 144A, 4.875%, 4/26/2020
      1,300,000       1,288,950  
Florida East Coast Railway Corp., 8.125%, 2/1/2017
      155,000       165,075  
FTI Consulting, Inc.:
 
144A, 6.0%, 11/15/2022
      295,000       311,962  
6.75%, 10/1/2020
      1,095,000       1,171,650  
Garda World Security Corp., 144A, 9.75%, 3/15/2017
      235,000       252,038  
GenCorp, Inc., 144A, 7.125%, 3/15/2021
      1,040,000       1,112,800  
Georgian Railway JSC, 144A, 7.75%, 7/11/2022
      1,800,000       2,088,000  
Grupo KUO SAB de CV, 144A, 6.25%, 12/4/2022
      400,000       422,000  
Huntington Ingalls Industries, Inc., 7.125%, 3/15/2021
      85,000       93,288  
Interline Brands, Inc., 7.5%, 11/15/2018
      395,000       422,650  
Iron Mountain, Inc., 5.75%, 8/15/2024
      350,000       354,375  
Kenan Advantage Group, Inc., 144A, 8.375%, 12/15/2018
      575,000       615,250  
Meritor, Inc.:
 
6.75%, 6/15/2021
      260,000       256,750  
10.625%, 3/15/2018
      225,000       246,656  
Navios Maritime Holdings, Inc.:
 
8.125%, 2/15/2019
      290,000       282,025  
8.875%, 11/1/2017
      175,000       184,188  
Navios South American Logistics, Inc.:
 
144A, 9.25%, 4/15/2019
      40,000       43,500  
9.25%, 4/15/2019
      205,000       222,938  
Nortek, Inc., 8.5%, 4/15/2021
      315,000       344,925  
Ply Gem Industries, Inc., 9.375%, 4/15/2017
      72,000       78,480  
Rexel SA, 144A, 5.25%, 6/15/2020
      390,000       397,800  
Spirit AeroSystems, Inc., 6.75%, 12/15/2020
      330,000       353,100  
Titan International, Inc.:
 
7.875%, 10/1/2017
      685,000       732,950  
144A, 7.875%, 10/1/2017
      190,000       203,300  
TransDigm, Inc., 7.75%, 12/15/2018
      500,000       545,625  
U.S. Airways Group, Inc., 6.125%, 6/1/2018
      340,000       331,075  
United Rentals North America, Inc.:
 
6.125%, 6/15/2023
      35,000       36,663  
7.375%, 5/15/2020
      455,000       499,362  
7.625%, 4/15/2022
      455,000       503,912  
Watco Companies LLC, 144A, 6.375%, 4/1/2023
      220,000       231,550  
Welltec A/S, 144A, 8.0%, 2/1/2019
      200,000       216,000  
        21,871,967  
Information Technology 3.5%
 
Alliance Data Systems Corp., 144A, 5.25%, 12/1/2017
      370,000       387,575  
CDW LLC, 8.5%, 4/1/2019
      625,000       691,406  
CyrusOne LP, 144A, 6.375%, 11/15/2022
      145,000       154,788  
eAccess Ltd., 144A, 8.25%, 4/1/2018
      235,000       260,263  
EarthLink, Inc., 144A, 7.375%, 6/1/2020
      345,000       339,825  
Equinix, Inc.:
 
4.875%, 4/1/2020
      375,000       381,562  
5.375%, 4/1/2023
      995,000       1,027,337  
7.0%, 7/15/2021
      335,000       372,688  
First Data Corp.:
 
144A, 6.75%, 11/1/2020
      1,010,000       1,055,450  
144A, 7.375%, 6/15/2019
      365,000       385,075  
144A, 8.875%, 8/15/2020
      635,000       701,675  
144A, 10.625%, 6/15/2021
      290,000       291,450  
144A, 11.25%, 1/15/2021
      190,000       194,275  
Hughes Satellite Systems Corp.:
 
6.5%, 6/15/2019
      700,000       764,750  
7.625%, 6/15/2021
      335,000       374,362  
IAC/InterActiveCorp., 144A, 4.75%, 12/15/2022
      285,000       280,013  
Jabil Circuit, Inc., 5.625%, 12/15/2020
      400,000       431,000  
NXP BV, 144A, 3.75%, 6/1/2018
      540,000       531,900  
VeriSign, Inc., 144A, 4.625%, 5/1/2023
      285,000       286,425  
        8,911,819  
Materials 10.0%
 
APERAM:
 
144A, 7.375%, 4/1/2016
      150,000       151,125  
144A, 7.75%, 4/1/2018
      155,000       154,225  
Axiall Corp., 144A, 4.875%, 5/15/2023
      85,000       85,425  
Berry Plastics Corp.:
 
9.5%, 5/15/2018
      235,000       257,325  
9.75%, 1/15/2021
      305,000       352,275  
Bluescope Steel Ltd., 144A, 7.125%, 5/1/2018
      215,000       223,063  
BOE Intermediate Holding Corp., 144A, 9.0%, 11/1/2017 (PIK)
      430,000       423,550  
Cemex SAB de CV, 144A, 9.5%, 6/15/2018
      1,300,000       1,452,750  
Clearwater Paper Corp., 7.125%, 11/1/2018
      515,000       557,487  
Compass Minerals International, Inc., 8.0%, 6/1/2019
      325,000       352,625  
Crown Americas LLC, 6.25%, 2/1/2021
      70,000       76,475  
Eagle Spinco, Inc., 144A, 4.625%, 2/15/2021
      175,000       176,313  
Essar Steel Algoma, Inc.:
 
144A, 9.375%, 3/15/2015
      1,620,000       1,506,600  
144A, 9.875%, 6/15/2015
      150,000       115,500  
Exopack Holding Corp., 10.0%, 6/1/2018
      335,000       350,913  
FMG Resources (August 2006) Pty Ltd.:
 
144A, 6.0%, 4/1/2017
      490,000       496,125  
144A, 6.875%, 4/1/2022
      350,000       353,500  
144A, 7.0%, 11/1/2015
      515,000       530,450  
144A, 8.25%, 11/1/2019
      410,000       432,550  
Greif, Inc., 7.75%, 8/1/2019
      870,000       1,026,600  
Huntsman International LLC:
 
4.875%, 11/15/2020
      330,000       333,300  
8.625%, 3/15/2020
      455,000       502,775  
8.625%, 3/15/2021
      185,000       206,738  
IAMGOLD Corp., 144A, 6.75%, 10/1/2020
      435,000       398,025  
Inmet Mining Corp.:
 
144A, 7.5%, 6/1/2021
      810,000       824,175  
144A, 8.75%, 6/1/2020
      475,000       511,812  
Inversiones CMPC SA, 144A, 4.375%, 5/15/2023
      500,000       490,696  
Kaiser Aluminum Corp., 8.25%, 6/1/2020
      395,000       445,362  
KGHM International Ltd., 144A, 7.75%, 6/15/2019
      900,000       940,500  
Novelis, Inc., 8.75%, 12/15/2020
      1,820,000       2,033,850  
OI European Group BV, 144A, 6.75%, 9/15/2020
EUR
    255,000       383,704  
Packaging Dynamics Corp., 144A, 8.75%, 2/1/2016
      370,000       387,113  
Perstorp Holding AB, 144A, 8.75%, 5/15/2017
      400,000       413,000  
Polymer Group, Inc., 7.75%, 2/1/2019
      415,000       447,162  
PolyOne Corp., 144A, 5.25%, 3/15/2023
      820,000       842,550  
Polyus Gold International Ltd., 144A, 5.625%, 4/29/2020
      1,800,000       1,836,000  
Rain CII Carbon LLC:
 
144A, 8.0%, 12/1/2018
      370,000       392,200  
144A, 8.25%, 1/15/2021
      225,000       240,750  
Samarco Mineracao SA, 144A, 4.125%, 11/1/2022
      1,200,000       1,131,000  
Sealed Air Corp., 144A, 5.25%, 4/1/2023
      70,000       70,700  
Turkiye Sise ve Cam Fabrikalari AS, 144A, 4.25%, 5/9/2020
      1,000,000       981,250  
Viskase Companies, Inc., 144A, 9.875%, 1/15/2018
      545,000       581,787  
Volcan Cia Minera SAA, 144A, 5.375%, 2/2/2022
      1,565,000       1,596,300  
Wolverine Tube, Inc., 6.0%, 6/28/2014 (PIK)
      14,673       14,673  
        25,080,298  
Telecommunication Services 15.5%
 
Altice Finco SA, 144A, 9.875%, 12/15/2020
      335,000       380,225  
CenturyLink, Inc., Series V, 5.625%, 4/1/2020
      145,000       149,894  
Cincinnati Bell, Inc.:
 
8.375%, 10/15/2020
      1,360,000       1,445,000  
8.75%, 3/15/2018
      1,185,000       1,214,625  
Colombia Telecomunicaciones SA ESP, 144A, 5.375%, 9/27/2022
      1,500,000       1,473,750  
CPI International, Inc., 8.0%, 2/15/2018
      180,000       190,350  
Cricket Communications, Inc., 7.75%, 10/15/2020
      2,140,000       2,134,650  
Crown Castle International Corp., 7.125%, 11/1/2019
      325,000       352,625  
Digicel Group Ltd.:
 
144A, 8.25%, 9/30/2020
      625,000       665,625  
144A, 10.5%, 4/15/2018
      320,000       347,488  
Digicel Ltd.:
 
144A, 7.0%, 2/15/2020
      200,000       207,500  
144A, 8.25%, 9/1/2017
      2,015,000       2,095,600  
ERC Ireland Preferred Equity Ltd., 144A, 7.69%**, 2/15/2017 (PIK)*
EUR
    281,038       0  
Frontier Communications Corp.:
 
7.125%, 1/15/2023
      1,925,000       2,011,625  
7.625%, 4/15/2024
      155,000       162,362  
8.25%, 4/15/2017
      441,000       513,765  
8.5%, 4/15/2020
      665,000       761,425  
8.75%, 4/15/2022
      85,000       95,838  
Intelsat Jackson Holdings SA:
 
144A, 5.5%, 8/1/2023 (b)
      870,000       852,600  
144A, 6.625%, 12/15/2022 (b)
      340,000       354,025  
7.25%, 10/15/2020
      1,625,000       1,763,125  
7.5%, 4/1/2021
      1,605,000       1,763,494  
8.5%, 11/1/2019
      835,000       916,412  
Intelsat Luxembourg SA:
 
144A, 7.75%, 6/1/2021
      945,000       993,431  
144A, 8.125%, 6/1/2023
      145,000       155,150  
11.25%, 2/4/2017
      820,000       867,560  
Level 3 Communications, Inc., 8.875%, 6/1/2019
      45,000       48,825  
Lynx I Corp., 144A, 5.375%, 4/15/2021
      200,000       208,000  
MetroPCS Wireless, Inc.:
 
6.625%, 11/15/2020
      600,000       642,000  
144A, 6.625%, 4/1/2023
      360,000       380,700  
7.875%, 9/1/2018
      580,000       632,200  
Millicom International Cellular SA, 144A, 4.75%, 5/22/2020
      800,000       790,000  
Pacnet Ltd., 144A, 9.25%, 11/9/2015
      512,000       529,920  
SBA Communications Corp., 144A, 5.625%, 10/1/2019
      285,000       293,550  
SBA Telecommunications, Inc., 8.25%, 8/15/2019
      97,000       106,215  
Sprint Nextel Corp.:
 
6.0%, 12/1/2016
      2,950,000       3,186,000  
6.0%, 11/15/2022
      495,000       509,850  
9.125%, 3/1/2017
      235,000       274,950  
Syniverse Holdings, Inc., 9.125%, 1/15/2019
      90,000       98,325  
Telemar Norte Leste SA, 144A, 5.5%, 10/23/2020
      1,300,000       1,300,000  
Telesat Canada, 144A, 6.0%, 5/15/2017
      3,330,000       3,479,850  
tw telecom holdings, Inc., 5.375%, 10/1/2022
      400,000       414,000  
Windstream Corp.:
 
6.375%, 8/1/2023
      350,000       345,625  
7.0%, 3/15/2019
      340,000       346,800  
7.5%, 6/1/2022
      240,000       254,400  
7.5%, 4/1/2023
      590,000       619,500  
7.75%, 10/15/2020
      250,000       266,875  
7.75%, 10/1/2021
      490,000       526,750  
7.875%, 11/1/2017
      1,155,000       1,328,250  
8.125%, 9/1/2018
      535,000       580,475  
        39,031,204  
Utilities 5.5%
 
AES Corp.:
 
4.875%, 5/15/2023
      145,000       142,463  
8.0%, 10/15/2017
      255,000       298,988  
8.0%, 6/1/2020
      375,000       450,000  
Calpine Corp.:
 
144A, 7.5%, 2/15/2021
      576,000       624,960  
144A, 7.875%, 7/31/2020
      639,000       702,900  
Centrais Eletricas Brasileiras SA, 144A, 6.875%, 7/30/2019
      2,545,000       2,844,035  
DPL, Inc., 6.5%, 10/15/2016
      1,885,000       2,031,087  
Energy Future Holdings Corp., Series Q, 6.5%, 11/15/2024
      400,000       292,000  
Energy Future Intermediate Holding Co., LLC:
 
10.0%, 12/1/2020
      100,000       113,875  
11.0%, 10/1/2021
      770,000       850,850  
Instituto Costarricense de Electricidad, 144A, 6.95%, 11/10/2021
      1,500,000       1,665,000  
IPALCO Enterprises, Inc., 5.0%, 5/1/2018
      662,392       712,072  
Mexico Generadora de Energia S de rl, 144A, 5.5%, 12/6/2032
      1,300,000       1,306,110  
NRG Energy, Inc.:
 
7.625%, 1/15/2018
      285,000       321,337  
8.25%, 9/1/2020
      90,000       100,913  
Transportadora de Gas del Peru SA, 144A, 4.25%, 4/30/2028
      1,400,000       1,326,500  
        13,783,090  
Total Corporate Bonds (Cost $246,432,013)
      255,699,094  
   
Government & Agency Obligations 16.7%
 
Sovereign Bonds
 
Dominican Republic, 144A, 7.5%, 5/6/2021
      3,300,000       3,737,250  
Federative Republic of Brazil, 12.5%, 1/5/2016
BRL
    2,070,000       1,077,622  
Mexican Bonos:
 
Series M, 7.75%, 5/29/2031
MXN
    820,000       74,787  
Series M 20, 8.5%, 5/31/2029
MXN
    820,000       80,674  
Republic of Argentina-Inflation Linked Bond, 5.83%, 12/31/2033
ARS
    816       174  
Republic of Belarus, REG S, 8.75%, 8/3/2015
      1,500,000       1,560,000  
Republic of Croatia:
 
144A, 6.25%, 4/27/2017
      1,065,000       1,152,021  
144A, 6.375%, 3/24/2021
      3,560,000       3,887,413  
Republic of El Salvador, 144A, 7.65%, 6/15/2035
      1,235,000       1,321,450  
Republic of Ghana, 144A, 8.5%, 10/4/2017
      175,000       196,875  
Republic of Hungary:
 
4.125%, 2/19/2018
      1,640,000       1,634,260  
5.375%, 2/21/2023
      3,430,000       3,417,138  
Republic of Lithuania, 144A, 7.375%, 2/11/2020
      1,450,000       1,801,625  
Republic of Panama, 9.375%, 1/16/2023
      2,610,000       3,732,300  
Republic of Poland, 5.125%, 4/21/2021
      3,710,000       4,220,125  
Republic of Serbia, 144A, 7.25%, 9/28/2021
      1,740,000       1,929,660  
Republic of South Africa, 6.875%, 5/27/2019
      185,000       220,381  
Republic of Venezuela, 9.25%, 9/15/2027
      1,090,000       991,900  
Russian Federation:
 
144A, 5.0%, 4/29/2020
      8,005,000       8,905,562  
REG S, 7.5%, 3/31/2030
      1,561,315       1,896,998  
Series 6207, 8.15%, 2/3/2027
RUB
    2,000,000       66,550  
Total Government & Agency Obligations (Cost $37,625,375)
      41,904,765  
   
Loan Participations and Assignments 24.4%
 
Senior Loans** 22.9%
 
Consumer Discretionary 8.3%
 
Buffets, Inc., Letter of Credit, First Lien, LIBOR plus, 9.25%, 4/22/2015*
      36,046       16,852  
Burger King Corp., Term Loan B, 3.75%, 9/27/2019
      731,325       739,289  
Caesars Entertainment Operating Co., Term Loan B6, 5.443%, 1/26/2018
      122,153       109,508  
Charter Communications Operating LLC, Term Loan E, 3.0%, 4/10/2020
      2,345,000       2,336,945  
Clear Channel Communications, Inc., Term Loan B, 3.844%, 1/29/2016
      372,389       346,944  
Cumulus Media Holdings, Inc., Second Lien Term Loan, 7.5%, 9/16/2019
      495,000       514,387  
Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.75%, 4/30/2019
      3,520,000       3,551,785  
PETCO Animal Supplies, Inc., Term Loan, 4.0%, 11/24/2017
      546,207       552,352  
Pilot Travel Centers LLC:
 
Term Loan B, 3.75%, 3/30/2018
      1,015,740       1,004,952  
Term Loan B2, 4.25%, 8/7/2019
      2,512,375       2,497,929  
Seminole Tribe of Florida, Term Loan, 3.0%, 4/29/2020
      3,940,000       3,952,805  
Tomkins LLC:
                 
First Lien Term Loan, 5.0%, 11/9/2018
      643,388       651,163  
Term Loan B2, 3.75%, 9/29/2016
      4,044,961       4,082,903  
Univision Communications, Inc., Term Loan, 4.5%, 3/2/2020
      583,601       583,342  
        20,941,156  
Consumer Staples 2.8%
 
Albertson's LLC:
 
Term Loan, 5.75%, 3/21/2016
      1,290,000       1,299,882  
Term Loan B1, 4.25%, 3/21/2016
      440,967       444,345  
Term Loan B2, 4.75%, 3/21/2019
      839,033       842,703  
Del Monte Foods Co., Term Loan, 4.0%, 3/8/2018
      1,405,853       1,415,265  
HJ Heinz Co., Term Loan B2, 3.5%, 3/27/2020
      2,570,000       2,596,445  
Pinnacle Foods Finance LLC, Term Loan G, 3.25%, 4/29/2020
    445,000       446,159  
        7,044,799  
Energy 3.5%
 
Chesapeake Energy Corp., Term Loan, 5.75%, 12/1/2017
    1,340,000       1,377,989  
MEG Energy Corp., Term Loan, 3.75%, 3/31/2020
    2,340,000       2,359,012  
NRG Energy, Inc., Term Loan B, 2.75%, 7/2/2018
      1,472,273       1,465,662  
Ruby Western Pipeline Holdings LLC, Term Loan B, 3.5%, 3/27/2020
      295,000       297,213  
Samson Investment Co., Second Lien Term Loan, 6.0%, 9/25/2018
      2,000,000       2,018,120  
Tallgrass Operations LLC, Term Loan, 5.25%, 11/13/2018
    1,118,539       1,129,725  
        8,647,721  
Financials 0.9%
 
Calpine Construction Finance Co., LP, Term Loan 1, 3.0%, 4/24/2020
      2,345,000       2,336,206  
Health Care 1.1%
 
Par Pharmaceutical Companies, Inc., Term Loan B, 4.25%, 9/30/2019
      1,213,908       1,219,364  
Warner Chilcott Co., LLC, Term Loan B2, 4.25%, 3/15/2018
    142,811       144,132  
Warner Chilcott Corp.:
 
Incremental Term Loan B1, 4.3%, 3/15/2018
      175,439       177,061  
Term Loan B1, 4.25%, 3/15/2018
      403,022       406,751  
WC Luxco SARL, Term Loan B3, 4.25%, 3/15/2018
      317,586       320,524  
WP Prism, Inc., Term Loan, 6.25%, 5/31/2018
      450,000       452,250  
        2,720,082  
Industrials 1.8%
 
Buffalo Gulf Coast Terminals LLC, Term Loan, 5.25%, 10/31/2017
      771,125       786,547  
Transdigm, Inc., Term Loan C, 3.75%, 2/28/2020
      2,056,734       2,084,500  
WP CPP Holdings LLC, First Lien Term Loan, 4.75%, 12/27/2019
      1,561,088       1,566,942  
        4,437,989  
Information Technology 1.1%
 
First Data Corp., Term Loan, 4.193%, 3/24/2017
      2,840,000       2,838,765  
Telecommunication Services 3.4%
 
Crown Castle International Corp., Term Loan, 3.25%, 1/31/2019
      4,408,071       4,430,133  
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/2020
      55,000       55,440  
Kabel Deutschland GmbH, Term Loan F1, 3.25%, 2/1/2019
    3,990,000       3,998,978  
        8,484,551  
Sovereign Loans 1.5%
 
Financials 1.4%
 
Bank of Moscow, 144A, 6.699%, 3/11/2015
      1,385,000       1,467,338  
Sberbank of Russia, 144A, 5.125%, 10/29/2022
      1,000,000       986,540  
VTB Bank OJSC, 144A, 6.315%, 2/22/2018
      985,000       1,067,937  
        3,521,815  
Materials 0.1%
 
Uralkali OJSC, 144A, 3.723%, 4/30/2018
      200,000       194,000  
Total Loan Participations and Assignments (Cost $60,727,944)
      61,167,084  
   
Convertible Bonds 0.4%
 
Consumer Discretionary 0.2%
 
Group 1 Automotive, Inc., 3.0%, 3/15/2020
      235,000       421,678  
Materials 0.2%
 
GEO Specialty Chemicals, Inc., 144A, 7.5%, 3/31/2015 (PIK)
    428,424       663,543  
Total Convertible Bonds (Cost $659,066)
      1,085,221  
   
Preferred Security 0.3%
 
Materials
 
Hercules, Inc., 6.5%, 6/30/2029 (Cost $449,395)
      675,000       624,375  
 

   
Units
   
Value ($)
 
       
Other Investments 0.1%
 
Consumer Discretionary
 
AOT Bedding Super Holdings LLC* (c) (Cost $15,000)
    45       156,492  
 

   
Shares
   
Value ($)
 
       
Common Stocks 0.0%
 
Consumer Discretionary 0.0%
 
Buffets Restaurants Holdings, Inc.*
    323       1,938  
Trump Entertainment Resorts, Inc.*
    32       0  
Vertis Holdings, Inc.*
    294       0  
              1,938  
Industrials 0.0%
 
Congoleum Corp.*
    7,900       0  
Materials 0.0%
 
GEO Specialty Chemicals, Inc.*
    7,125       4,236  
GEO Specialty Chemicals, Inc. 144A*
    649       386  
Wolverine Tube, Inc.*
    2,790       50,555  
              55,177  
Total Common Stocks (Cost $164,008)
      57,115  
   
Preferred Stock 0.2%
 
Financials
 
Ally Financial, Inc. 144A, 7.0% (Cost $563,169)
    600       588,263  
   
Warrants 0.0%
 
Consumer Discretionary 0.0%
 
Reader's Digest Association, Inc., Expiration Date 2/19/2014*
    589       0  
Materials 0.0%
 
GEO Specialty Chemicals, Inc., Expiration Date 3/31/2015*
    39,514       23,199  
Hercules Trust II, Expiration Date 3/31/2029*
    400       5,972  
              29,171  
Total Warrants (Cost $87,876)
      29,171  
 

   
Contracts
   
Value ($)
 
       
Call Options Purchased 0.0%
 
Options on Interest Rate Swap Contracts
 
Pay Fixed Rate — 3.583% - Receive Floating — LIBOR, Swap Expiration Date 5/11/2026, Option Expiration Date 5/9/2016
    300,000       14,227  
Pay Fixed Rate — 3.635% - Receive Floating — LIBOR, Swap Expiration Date 4/27/2026, Option Expiration Date 4/25/2016
    900,000       40,534  
Pay Fixed Rate — 3.72% - Receive Floating — LIBOR, Swap Expiration Date 4/22/2026, Option Expiration Date 4/20/2016
    900,000       37,829  
Total Call Options Purchased (Cost $103,005)
      92,590  
 

   
Shares
   
Value ($)
 
       
Cash Equivalents 6.5%
 
Central Cash Management Fund, 0.07% (d) (Cost $16,362,639)
    16,362,639       16,362,639  
 

   
% of Net Assets
   
Value ($)
 
       
Total Investment Portfolio (Cost $363,189,490)
    150.4       377,766,809  
Other Assets and Liabilities, Net
    (4.6 )     (11,573,056 )
Notes Payable
    (45.8 )     (115,000,000 )
Net Assets
    100.0       251,193,753  
 
The following table represents bonds and senior loans that are in default:
Securities
 
Coupon
 
Maturity Date
Principal Amount
   
Cost ($)
   
Value ($)
 
Buffets, Inc.*
 
LIBOR plus 9.25%
 
4/22/2015
USD
    36,046       35,155       16,852  
ERC Ireland Preferred Equity Ltd.*
    7.69 %
2/15/2017
EUR
    281,038       382,577       0  
Fontainebleau Las Vegas Holdings LLC*
    11.0 %
6/15/2015
USD
    290,000       292,813       0  
Hellas Telecommunications Finance SCA*
    8.21 %
7/15/2015
EUR
    278,431       79,885       0  
                          790,430       16,852  
 
* Non-income producing security.
 
** 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 May 31, 2013.
 
The cost for federal income tax purposes was $363,814,440. At May 31, 2013, net unrealized appreciation for all securities based on tax cost was $13,952,369. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $17,249,132 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $3,296,763.
 
(a) Principal amount stated in U.S. dollars unless otherwise noted.
 
(b) When-issued security.
 
(c) The Fund may purchase securities that are subject to legal or contractual restrictions on resale ("restricted securities"). Restricted securities are securities which have not been registered with the Securities and Exchange Commission under the Securities Act of 1933. The Fund may be unable to sell a restricted security and it may be more difficult to determine a market value for a restricted security. Moreover, if adverse market conditions were to develop during the period between the Fund's decision to sell a restricted security and the point at which the Fund is permitted or able to sell such security, the Fund might obtain a price less favorable than the price that prevailed when it decided to sell. This investment practice, therefore, could have the effect of increasing the level of illiquidity of the Fund. The future value of these securities is uncertain and there may be changes in the estimated value of these securities.
 
Schedule of Restricted Securities
Acquisition Date
 
Cost ($)
   
Value ($)
   
Value as % of Net Assets
 
AOT Bedding Super Holdings LLC
June 2010
    15,000       156,492       0.06  
 
(d) 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.
 
LIBOR: London Interbank Offered Rate
 
PIK: Denotes that all or a portion of the income is paid in-kind in the form of additional principal.
 
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, U.S. 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
 
The Fund can invest in certain Senior Loan agreements that include the obligation to make additional loans in certain circumstances. The Fund reserves against such contingent obligations by segregating cash, liquid securities and liquid Senior Loans. At May 31, 2013, the Fund had an unfunded loan commitment of $520,000, which could be extended at the option of the borrower, pursuant to the following loan agreement:
Borrower
 
Unfunded Loan Commitment ($)
   
Value ($)
   
Unrealized Appreciation ($)
 
Tallgrass Operations LLC, Term Delay Draw, 11/13/2017
    520,000       520,000        
 
At May 31, 2013, open written options contracts were as follows:
Options on Interest Rate Swap Contracts
 
 
Swap Effective/
Expiration
Date
 
Contract Amount
 
Option Expiration Date
 
Premiums Received ($)
   
Value ($) (e)
 
Call Options
Receive Fixed — 4.083% - Pay Floating — LIBOR
5/11/2016
5/11/2026
    300,000  
5/9/2016
    10,200       (9,869 )
Receive Fixed — 4.135% - Pay Floating — LIBOR
4/27/2016
4/27/2026
    900,000  
4/25/2016
    33,300       (27,944 )
Receive Fixed — 4.22% - Pay Floating — LIBOR
4/22/2016
4/22/2026
    900,000  
4/20/2016
    32,085       (26,052 )
Total
    75,585       (63,865 )
 
(e) Unrealized appreciation on written options on interest rate swap contracts at May 31, 2013 was $11,720.
 
At May 31, 2013, 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 ($)
 
6/21/2010
9/20/2013
    1,285,000 1     5.0 %
Ford Motor Co., 6.5%, 8/1/2018, BBB-
    32,161       (6,395 )     38,556  
6/21/2010
9/20/2015
    1,555,000 2     5.0 %
Ford Motor Co., 6.5%, 8/1/2018, BBB-
    172,182       (35,560 )     207,742  
12/20/2011
3/20/2017
    565,000 3     5.0 %
CIT Group, Inc., 5.5%, 2/15/2019, BB-
    82,039       18,113       63,926  
9/20/2012
12/20/2017
    720,000 4     5.0 %
General Motors Co., 3.3%, 12/20/2017, BB+
    104,504       48,750       55,754  
12/20/2012
12/20/2017
    1,500,000 2     5.0 %
Markit Dow Jones CDX North America High Yield Index
    104,248       29,897       74,351  
Total unrealized appreciation
      440,329  
 
(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, if any.
 
(g) The quality ratings represent the higher of Moody's Investors Service, Inc. ("Moody's") or Standard & Poor's Corporation ("S&P") credit ratings and are unaudited.
 
Counterparties:
 
1 The Goldman Sachs & Co.
 
2 Bank of America
 
3 Credit Suisse
 
4 UBS AG
 
At May 31, 2013, the Fund had the following open forward foreign currency exchange contracts:
Contracts to Deliver
 
In Exchange For
 
Settlement Date
 
Unrealized Depreciation ($)
 
Counterparty
EUR
    1,789,623  
USD
    2,321,409  
6/19/2013
    (4,890 )
Citigroup, Inc.
 

Currency Abbreviations
ARS Argentine Peso
BRL Brazilian Real
EUR Euro
MXN Mexican Peso
RUB Russian Ruble
USD United States Dollar
 
For information on the Fund's policy and additional disclosures regarding options purchased, credit default swap contracts, forward foreign currency exchange contracts and written options contracts, please refer to Note B in the accompanying Notes to Financial Statements.
 
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 May 31, 2013 in valuing the Fund's investments. For information on the Fund's policy regarding the valuation of investments, please refer to Note A in the accompanying Notes to Financial Statements.
Assets
 
Level 1
   
Level 2
   
Level 3
   
Total
 
   
Fixed Income Investments (h)
 
Corporate Bonds
  $     $ 255,684,421     $ 14,673     $ 255,699,094  
Government & Agency Obligations
          41,904,765             41,904,765  
Loan Participations and Assignments
          61,167,084             61,167,084  
Convertible Bonds
          421,678       663,543       1,085,221  
Preferred Securities
          624,375             624,375  
Other Investments
                156,492       156,492  
Common Stocks (h)
          1,938       55,177       57,115  
Preferred Stock
          588,263             588,263  
Warrants (h)
                29,171       29,171  
Short-Term Investments
    16,362,639                   16,362,639  
Derivatives (i)
 
Purchased Options
          92,590             92,590  
Credit Default Swaps
          440,329             440,329  
Total
  $ 16,362,639     $ 360,925,443     $ 919,056     $ 378,207,138  
Liabilities
 
Derivatives (i)
 
Written Options
  $     $ (63,865 )   $     $ (63,865 )
Forward Foreign Currency Exchange Contracts
          (4,890 )           (4,890 )
Total
  $     $ (68,755 )   $     $ (68,755 )
 
During the period ended May 31, 2013, the amount of transfers between Level 2 and Level 3 was $291. Investments were transferred from Level 2 to Level 3 because of the lack of observable market data due to a decrease in market activity.
 
Transfers between price levels are recognized at the beginning of the reporting period.
 
(h) See Investment Portfolio for additional detailed categorizations.
 
(i) Derivatives include value of options purchased, unrealized appreciation (depreciation) on open credit default swap contracts, forward foreign currency exchange contracts and written options, at value.
 
The accompanying notes are an integral part of the financial statements.
 
Statement of Assets and Liabilities
as of May 31, 2013 (Unaudited)
 
Assets
 
Investments:
Investments in non-affiliated securities, at value (cost $346,826,851)
  $ 361,404,170  
Investment in Central Cash Management Fund (cost $16,362,639)
    16,362,639  
Total investments in securities, at value (cost $363,189,490)
    377,766,809  
Cash
    3,492,947  
Foreign currency, at value (cost $350)
    318  
Receivable for investments sold
    3,872,767  
Receivable for investments sold — when-issued securities
    2,039,444  
Interest receivable
    4,971,490  
Unrealized appreciation on swap contracts
    440,329  
Upfront payments paid on swap contracts
    96,760  
Other assets
    5,046  
Total assets
    392,685,910  
Liabilities
 
Payable for investments purchased
    21,565,536  
Payable for investments purchased — when-issued securities
    4,372,377  
Notes payable
    115,000,000  
Interest on notes payable
    153,700  
Options written, at value (premiums received $75,585)
    63,865  
Unrealized depreciation on forward foreign currency exchange contracts
    4,890  
Upfront payments received on swap contracts
    41,955  
Accrued management fee
    179,030  
Accrued Trustees' fees
    7,667  
Other accrued expenses and payables
    103,137  
Total liabilities
    141,492,157  
Net assets, at value
  $ 251,193,753  
 
The accompanying notes are an integral part of the financial statements.
 
Statement of Assets and Liabilities as of May 31, 2013 (Unaudited) (continued)
 
Net Assets Consist of
 
Undistributed net investment income
    1,496,188  
Net unrealized appreciation (depreciation) on:
Investments
    14,577,319  
Swap contracts
    440,329  
Foreign currency
    (9,513 )
Written options
    11,720  
Accumulated net realized gain (loss)
    (12,788,402 )
Paid-in capital
    247,466,112  
Net assets, at value
  $ 251,193,753  
Net Asset Value
 
Net Asset Value per share ($251,193,753 ÷ 24,488,347 outstanding shares of beneficial interest, $.01 par value, unlimited shares authorized)
  $ 10.26  
 
The accompanying notes are an integral part of the financial statements.
 
Statement of Operations
for the six months ended May 31, 2013 (Unaudited)
 
Investment Income
 
Income:
Interest
  $ 11,070,346  
Dividends
    18,457  
Income distributions — Central Cash Management Fund
    6,511  
Total income
    11,095,314  
Expenses:
Management fee
    1,079,576  
Services to shareholders
    10,555  
Custodian fee
    34,216  
Professional fees
    38,926  
Reports to shareholders
    51,023  
Trustees' fees and expenses
    8,315  
Interest expense
    866,307  
Stock exchange listing fees
    11,888  
Other
    30,744  
Total expenses
    2,131,550  
Net investment income
    8,963,764  
Realized and Unrealized Gain (Loss)
 
Net realized gain (loss) from:
Investments
    6,799,620  
Swap contracts
    104,441  
Written options
    30,441  
Foreign currency
    (77,490 )
      6,857,012  
Change in net unrealized appreciation (depreciation) on:
Investments
    (5,661,083 )
Swap contracts
    134,542  
Unfunded loan commitments
    (2,600 )
Written options
    (30,069 )
Foreign currency
    72,874  
      (5,486,336 )
Net gain (loss)
    1,370,676  
Net increase (decrease) in net assets resulting from operations
  $ 10,334,440  
 
The accompanying notes are an integral part of the financial statements.
 
Statement of Cash Flows
for the six months ended May 31, 2013 (Unaudited)
 
Increase (Decrease) in Cash:
Cash Flows from Operating Activities
 
Net increase (decrease) in net assets resulting from operations
  $ 10,334,440  
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided (used) by operating activities:
Purchases of long-term investments
    (174,405,224 )
Net purchases, sales and maturities of short-term investments
    (3,858,850 )
Net amortization of premium/(accretion of discount)
    193,879  
Proceeds from sales and maturities of long-term investments
    157,717,305  
(Increase) decrease in interest receivable
    274,367  
(Increase) decrease in other assets
    5,217  
Increase (decrease) in written options, at value
    (3,981 )
(Increase) decrease in receivable for investments sold
    (1,478,252 )
(Increase) decrease in receivable for investments sold — when-issued securities
    (1,810,881 )
Increase (decrease) in interest on notes payable
    (16,962 )
Increase (decrease) in payable for investments purchased
    13,918,558  
Increase (decrease) in payable for investments purchased — when-issued securities
    2,652,377  
(Increase) decrease in upfront payments paid/received on swap contracts
    (76,272 )
Increase (decrease) in other accrued expenses and payables
    12,990  
Change in unrealized (appreciation) depreciation on investments
    5,661,083  
Change in unrealized (appreciation) depreciation on swaps
    (134,542 )
Change in unrealized (appreciation) depreciation on forward foreign currency exchange contracts
    (77,481 )
Change in unrealized (appreciation) depreciation in unfunded commitments
    2,600  
Net realized (gain) loss from investments
    (6,799,620 )
Cash provided (used) by operating activities
  $ 2,110,751  
Cash Flows from Financing Activities
 
Net increase (decrease) in notes payable
    12,000,000  
Distributions paid (net of reinvestment of distributions)
    (10,670,059 )
Cash provided (used) by financing activities
    1,329,941  
Increase (decrease) in cash
    3,440,692  
Cash at beginning of period (including foreign currency)
    52,573  
Cash at end of period (including foreign currency)
  $ 3,493,265  
Supplemental Disclosure
 
Reinvestment of distributions
  $ 460,786  
Interest paid on notes
  $ (883,269 )
 
The accompanying notes are an integral part of the financial statements.
 
Statement of Changes in Net Assets
Increase (Decrease) in Net Assets
 
Six Months Ended May 31, 2013 (Unaudited)
   
Year Ended November 30, 2012
 
Operations:
Net investment income
  $ 8,963,764     $ 19,724,007  
Net realized gain (loss)
    6,857,012       5,581,569  
Change in net unrealized appreciation (depreciation)
    (5,486,336 )     19,493,194  
Net increase (decrease) in net assets resulting from operations
    10,334,440       44,798,770  
Distributions to shareholders from:
Net investment income
    (11,130,845 )     (22,541,628 )
Fund share transactions:
Net proceeds from reinvestment of distributions
    460,786       929,263  
Net increase (decrease) in net assets from Fund share transactions
    460,786       929,263  
Increase (decrease) in net assets
    (335,619 )     23,186,405  
Net assets at beginning of period
    251,529,372       228,342,967  
Net assets at end of period (including undistributed net investment income of $1,496,188 and $3,663,269, respectively)
  $ 251,193,753     $ 251,529,372  
Other Information
 
Shares outstanding at beginning of period
    24,445,323       24,353,061  
Shares issued to shareholders from reinvestment of distributions
    43,024       92,262  
Shares outstanding at end of period
    24,488,347       24,445,323  
 
The accompanying notes are an integral part of the financial statements.
 
Financial Highlights
         
Years Ended November 30,
 
   
Six Months Ended 5/31/13 (Unaudited)
   
2012
   
2011
   
2010
   
2009
   
2008
 
Selected Per Share Data
 
Net asset value, beginning of period
  $ 10.29     $ 9.38     $ 9.75     $ 8.99     $ 6.52     $ 9.61  
Income (loss) from investment operations:
Net investment incomea
    .37       .81       .87       .90       .76       .67  
Net realized and unrealized gain (loss)
    .06       1.02       (.33 )     .71       2.49       (2.98 )
Total from investment operations
    .43       1.83       .54       1.61       3.25       (2.31 )
Less distributions from:
Net investment income
    (.46 )     (.92 )     (.91 )     (.85 )     (.78 )     (.78 )
Net asset value, end of period
  $ 10.26     $ 10.29     $ 9.38     $ 9.75     $ 8.99     $ 6.52  
Market price, end of period
  $ 10.41     $ 10.51     $ 9.98     $ 10.17     $ 8.28     $ 5.10  
Total Return
 
Based on net asset value (%)b
    4.02 **     20.20       5.64       18.71       54.34       (24.55 )c
Based on market price (%)b
    3.33 **     15.39       7.65       34.58       81.73       (32.88 )
Ratios to Average Net Assets and Supplemental Data
 
Net assets, end of period ($ millions)
    251       252       228       237       218       158  
Ratio of expenses before fee reductions (including interest expense) (%)
    1.68 *     1.66       1.49       1.62       1.53       1.49  
Ratio of expenses after fee reductions (including interest expense) (%)
    1.68 *     1.66       1.49       1.62       1.53       1.48  
Ratio of expenses after fee reductions (excluding interest expense) (%)
    1.00 *     1.00       1.02       1.07       1.04       1.04  
Ratio of net investment income (%)
    7.06 *     8.09       8.84       9.57       9.69       7.56  
Portfolio turnover rate (%)
    44 **     45       55       78       113       35  
Total debt outstanding end of period ($ thousands)
    115,000       103,000       98,247       92,000       88,500       41,500  
Asset coverage per $1,000 of debtd
    3,184       3,442       3,324       3,572       3,464       4,810  
 

a Based on average shares outstanding during the period.
b Total return based on net asset value reflects changes in the Fund's net asset value during each period. Total return based on market price reflects changes in market price. Each figure assumes that dividend and capital gain distributions, if any, were reinvested. These figures will differ depending upon the level of any discount from or premium to NAV at which the Fund's shares trade during the period.
c Total return would have been lower had certain fees not been reduced.
d Asset coverage equals the total net assets plus borrowings of the Fund divided by the borrowings outstanding at period end.
* Annualized
** Not annualized
 
Notes to Financial Statements (Unaudited)
 
A. Organization and Significant Accounting Policies
 
DWS Multi-Market Income Trust (the "Fund") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a closed-end, diversified management investment company organized as a Massachusetts business trust.
 
The Fund's financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates. Actual results could differ from those estimates. The policies described below are followed consistently by the Fund in the preparation of its financial statements.
 
Security Valuation. Investments are stated at value determined as of the close of regular trading on the New York Stock Exchange on each day the exchange is open for trading.
 
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.
 
Debt securities and loan participations and assignments are valued at prices supplied by independent pricing services approved by the Fund's Board. If the pricing services are unable to provide valuations, debt securities are valued at the most recent bid quotation or evaluated price and loan participations and assignments are valued at the mean of the most recent bid and ask quotations, as applicable, obtained from one or more broker-dealers. Such services may use various pricing techniques which take into account appropriate factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as broker quotes. These securities are generally categorized as Level 2.
 
Equity securities are valued at the most recent sale price or official closing price reported on the exchange (U.S. or foreign) or over-the-counter market on which they trade and are categorized as Level 1 securities. Securities for which no sales are reported are valued at the calculated mean between the most recent bid and asked quotations on the relevant market or, if a mean cannot be determined, at the most recent bid quotation.
 
Investments in open-end investment companies are valued at their net asset value each business day and are categorized as Level 1.
 
Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and are categorized as Level 2.
 
Swap contracts are valued daily based upon prices supplied by a Board approved pricing vendor, if available, and otherwise are valued at the price provided by the broker-dealer. Swap contracts are generally categorized as Level 2.
 
Over-the-counter written or purchased options are valued at prices supplied by a Board-approved pricing vendor, if available, and otherwise are valued at the price provided by the broker-dealer with which the option was traded and are generally categorized as Level 2.
 
Securities and other assets for which market quotations are not readily available or for which the above valuation procedures are deemed not to reflect fair value are valued in a manner that is intended to reflect their fair value as determined in accordance with procedures approved by the Board and are generally categorized as Level 3. In accordance with the Fund's valuation procedures, factors used in determining value may include, but are not limited to, the type of the security; the size of the holding; the initial cost of the security; the existence of any contractual restrictions on the security's disposition; the price and extent of public trading in similar securities of the issuer or of comparable companies; quotations or evaluated prices from broker-dealers and/or pricing services; information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities); an analysis of the company's or issuer's financial statements; an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold; and with respect to debt securities, the maturity, coupon, creditworthiness, currency denomination and the movement of the market in which the security is normally traded. The value determined under these procedures may differ from published values for the same securities.
 
Disclosure about the classification of fair value measurements is included in a table following the Fund's Investment Portfolio.
 
New Accounting Pronouncement. In January 2013, Accounting Standard Update 2013-01 (ASU 2013-01), Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities, replaced Accounting Standards Update 2011-11 (ASU 2011-11), Disclosures about Offsetting Assets and Liabilities. ASU 2013-01 is effective for fiscal years beginning on or after January 1, 2013, and interim periods within those annual periods. ASU 2011-11 was intended to enhance disclosure requirements on the offsetting of financial assets and liabilities. The ASU 2013-01 limits the scope of the new balance sheet offsetting disclosures to derivatives, repurchase agreements, and securities lending transactions to the extent that they are (1) offset in the financial statements or (2) subject to an enforceable master netting arrangement or similar agreement. Management is currently evaluating the application of ASU 2013-01 and its impact, if any, on the Fund's financial statements.
 
Securities Lending. The Fund lends securities to certain financial institutions. The Fund retains the benefits of owning the securities it has loaned and continues to receive interest and dividends generated by the securities and to participate in any changes in their market price. The Fund requires the borrowers of the securities to maintain collateral with the Fund consisting of either cash or liquid, unencumbered assets having a value at least equal to the value of the securities loaned. When the collateral falls below specified amounts, the lending agent will use its best efforts to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. The Fund may invest the cash collateral into a joint trading account in an affiliated money market fund pursuant to Exemptive Orders issued by the SEC. The Fund receives compensation for lending its securities either in the form of fees or by earning interest on invested cash collateral net of borrower rebates and fees paid to a lending agent. Either the Fund or the borrower may terminate the loan. There may be risks of delay and costs in recovery of securities or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund is also subject to all investment risks associated with the reinvestment of any cash collateral received, including, but not limited to, interest rate, credit and liquidity risk associated with such investments. The Fund had no securities on loan during the six months ended May 31, 2013.
 
Foreign Currency Translations. The books and records of the Fund are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the prevailing exchange rates at period end. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars at the prevailing exchange rates on the respective dates of the transactions.
 
Net realized and unrealized gains and losses on foreign currency transactions represent net gains and losses between trade and settlement dates on securities transactions, the acquisition and disposition of foreign currencies, and the difference between the amount of net investment income accrued and the U.S. dollar amount actually received. That portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed, but is included with net realized and unrealized gain/appreciation and loss/depreciation on investments.
 
When-Issued/Delayed Delivery Securities. The Fund may purchase or sell securities with delivery or payment to occur at a later date beyond the normal settlement period. At the time the Fund enters into a commitment to purchase or sell a security, the transaction is recorded and the value of the transaction is reflected in the net asset value. The price of such security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The value of the security may vary with market fluctuations. At the time the Fund enters into a purchase transaction it is required to segregate cash or other liquid assets at least equal to the amount of the commitment.
 
Certain risks may arise upon entering into when-issued or delayed delivery transactions from the potential inability of counterparties to meet the terms of their contracts or if the issuer does not issue the securities due to political, economic, or other factors. Additionally, losses may arise due to changes in the value of the underlying securities.
 
Loan Participations and Assignments. Senior loans are portions of loans originated by banks and sold in pieces to investors. These U.S. dollar-denominated fixed and floating rate loans ("Loans") in which the Fund invests, are arranged between the borrower and one or more financial institutions ("Lenders"). These Loans may take the form of Senior Loans, which are corporate obligations often issued in connection with recapitalizations, acquisitions, leveraged buy-outs and refinancings, and Sovereign Loans, which are debt instruments between a foreign sovereign entity and one or more financial institutions. The Fund invests in such Loans in the form of participations in Loans ("Participations") or assignments of all or a portion of Loans from third parties ("Assignments"). Participations typically result in the Fund having a contractual relationship only with the Lender, not with the borrower. The Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participation and only upon receipt by the Lender of the payments from the borrower. In connection with purchasing Participations, the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement relating to the Loan, or any rights of set-off against the borrower, and the Fund will not benefit directly from any collateral supporting the Loan in which it has purchased the Participation. As a result, the Fund assumes the credit risk of both the borrower and the Lender that is selling the Participation. Assignments typically result in the Fund having a direct contractual relationship with the borrower, and the Fund may enforce compliance by the borrower with the terms of the loan agreement. Loans held by the Fund are generally in the form of Assignments, but the Fund may also invest in Participations. All Loan Participations and Assignments involve interest rate risk, liquidity risk and credit risk, including the potential default or insolvency of the borrower.
 
Federal Income Taxes. The Fund's policy is to comply with the requirements of the Internal Revenue Code, as amended, which are applicable to regulated investment companies, and to distribute all of its taxable income to its shareholders.
 
Under the Regulated Investment Company Modernization Act of 2010, net capital losses incurred post-enactment may be carried forward indefinitely, and their character is retained as short-term and/or long-term. Previously, net capital losses were carried forward for eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.
 
At November 30, 2012, the Fund had a net tax basis capital loss carryforward of approximately $18,784,000 of pre-enactment losses, which may be applied against any realized net taxable capital gains of each succeeding year until fully utilized or until November 30, 2016 ($5,659,000) and November 30, 2017 ($13,125,000), the respective expiration dates, whichever occurs first.
 
The Fund has reviewed the tax positions for the open tax years as of November 30, 2012 and has determined that no provision for income tax is required in the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain open subject to examination by the Internal Revenue Service.
 
Distribution of Income and Gains. Distributions from net investment income of the Fund are declared and distributed to shareholders monthly. Net realized gains from investment transactions, in excess of available capital loss carryforwards, would be taxable to the Fund if not distributed, and, therefore, will be distributed to shareholders at least annually. The Fund may also make additional distributions for tax purposes if necessary.
 
The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences primarily relate to forward currency contracts, swap contracts, certain securities sold at a loss and premium amortization on debt securities. As a result, net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. Accordingly, the Fund may periodically make reclassifications among certain of its capital accounts without impacting the net asset value of the Fund.
 
The tax character of current year distributions will be determined at the end of the current fiscal year.
 
Statement of Cash Flows. Information on financial transactions which have been settled through the receipt and disbursement of cash is presented in the Statement of Cash Flows. The cash amount shown in the Statement of Cash Flows represents the foreign currency position and cash position at the Fund's custodian bank at May 31, 2013.
 
Contingencies. In the normal course of business, the Fund may enter into contracts with service providers that contain general indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet been made. However, based on experience, the Fund expects the risk of loss to be remote.
 
Other. Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculations. However, for financial reporting purposes, investment transactions are reported on trade date. Interest income is recorded on the accrual basis net of foreign withholding taxes. Dividend income is recorded on the ex-dividend date net of foreign withholding taxes. Realized gains and losses from investment transactions are recorded on an identified cost basis and may include proceeds from litigation. All premiums and discounts are amortized/accreted for financial reporting purposes, with the exception of securities in default of principal.
 
B. Derivative Instruments
 
Credit Default Swap Contracts. A credit default swap is a contract between a buyer and a seller of protection against pre-defined credit events for the reference entity. The Fund may enter into credit default swap contracts to gain exposure to an underlying issuer's credit quality characteristics without directly investing in that issuer or to hedge against the risk of a credit event on debt securities. As a seller in the credit default swap contract, the Fund is required to pay the par (or other agreed-upon) value of the referenced entity to the counterparty with the occurrence of a credit event by a third party, such as a U.S. or foreign corporate issuer, on the reference entity, which would likely result in a loss to the Fund. In return, the Fund receives from the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Fund keeps the stream of payments with no payment obligations. This involves the risk that the contract may expire worthless. It also involves counterparty risk that the seller may fail to satisfy its payment obligations to the Fund with the occurrence of a credit event. When the Fund sells a credit default swap contract it will cover its commitment. This is achieved by, among other methods, maintaining cash or liquid assets equal to the aggregate notional value of the reference entities for all outstanding credit default swap contracts sold by the Fund. For the six months ended May 31, 2013, the Fund entered into credit default swap contracts to gain exposure to the underlying issuer's credit quality characteristics.
 
The value of the credit default swap is adjusted daily and the change in value, if any, is recorded daily as unrealized appreciation or depreciation in the Statement of Assets and Liabilities. An upfront payment, if any, made by the Fund is recorded as an asset in the Statement of Assets and Liabilities. An upfront payment, if any, received by the Fund is recorded as a liability in the Statement of Assets and Liabilities. Under the terms of the credit default swap contracts, the Fund receives or makes quarterly payments based on a specified interest rate on a fixed notional amount. These payments are recorded as a realized gain or loss in the Statement of Operations. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses in the Statement of Operations.
 
A summary of the open credit default swap contracts as of May 31, 2013 is included in a table following the Fund's Investment Portfolio. For the six months ended May 31, 2013, the investment in credit default swap contracts sold had a total notional value generally indicative of a range from $3,405,000 to $5,625,000.
 
Options. An option contract is a contract in which the writer (seller) of the option grants the buyer of the option, upon payment of a premium, the right to purchase from (call option), or sell to (put option), the writer a designated instrument at a specified price within a specified period of time. Certain options, including options on indices and interest rate options, will require cash settlement by the Fund if exercised. For the six months ended May 31, 2013, the Fund entered into options on interest rate swaps in order to hedge against potential adverse interest rate movements of portfolio assets.
 
If the Fund writes a covered call option, the Fund foregoes, in exchange for the premium, the opportunity to profit during the option period from an increase in the market value of the underlying security above the exercise price. If the Fund writes a put option it accepts the risk of a decline in the value of the underlying security below the exercise price. Over-the-counter options have the risk of the potential inability of counterparties to meet the terms of their contracts. The Fund's maximum exposure to purchased options is limited to the premium initially paid. In addition, certain risks may arise upon entering into option contracts including the risk that an illiquid secondary market will limit the Fund's ability to close out an option contract prior to the expiration date and that a change in the value of the option contract may not correlate exactly with changes in the value of the securities hedged.
 
A summary of the open purchased option contracts as of May 31, 2013 is included in the Fund's Investment Portfolio. A summary of open written option contracts is included in a table following the Fund's Investment Portfolio. For the six months ended May 31, 2013, the investment in written option contracts had a total value generally indicative of a range from approximately $54,000 to $68,000, and purchased option contracts had a total value generally indicative of a range from approximately $54,000 to $93,000.
 
Forward Foreign Currency Exchange Contracts. The Fund is subject to foreign exchange rate risk in its securities denominated in foreign currencies. Changes in exchange rates between foreign currencies and the U.S. dollar may affect the U.S. dollar value of foreign securities or the income or gains received on these securities. A forward foreign currency exchange contract (forward currency contract) is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. For the six months ended May 31, 2013, the Fund entered into forward currency contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign currency denominated portfolio holdings and to facilitate transactions in foreign currency denominated securities.
 
Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and unrealized gain (loss) is recorded daily. On the settlement date of the forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was closed. Certain risks may arise upon entering into forward currency contracts from the potential inability of counterparties to meet the terms of their contracts. The maximum counterparty credit risk to the Fund is measured by the unrealized gain on appreciated contracts. Additionally, when utilizing forward currency contracts to hedge, the Fund gives up the opportunity to profit from favorable exchange rate movements during the term of the contract.
 
A summary of the open forward currency contracts as of May 31, 2013 is included in a table following the Fund's Investment Portfolio. For the six months ended May 31, 2013, the investment in forward currency contracts short vs. U.S. dollars had a total contract value generally indicative of a range from approximately $2,321,000 to $4,014,000, and the investment in forward currency contracts long vs. U.S. dollars had a total contract value generally indicative of a range from $0 to approximately $769,000.
 
The following tables summarize the value of the Fund's derivative instruments held as of May 31, 2013 and the related location in the accompanying Statement of Assets and Liabilities presented by the primary underlying risk exposure:
Asset Derivatives
 
Purchased Options
   
Swap Contracts
   
Total
 
Interest Rate Contracts (a)
  $ 92,590     $     $ 92,590  
Credit Contracts (a)
          440,329       440,329  
    $ 92,590     $ 440,329     $ 532,919  
 
Each of the above derivatives is located in the following Statement of Assets and Liabilities accounts:
 
(a) Investment in securities, at value (includes purchased options) and unrealized appreciation on swap contracts, respectively
 
Liability Derivatives
 
Written Options
   
Forward Contracts
   
Total
 
Interest Rate Contracts (a)
  $ (63,865 )   $     $ (63,865 )
Foreign Exchange Contracts (b)
          (4,890 )     (4,890 )
    $ (63,865 )   $ (4,890 )   $ (68,755 )
 
Each of the above derivatives is located in the following Statement of Assets and Liabilities accounts:
 
(a) Options written, at value
 
(b) Unrealized depreciation on forward foreign currency exchange contracts
 
Additionally, the amount of unrealized and realized gains and losses on derivative instruments recognized in Fund earnings during the six months ended May 31, 2013, and the related location in the accompanying Statement of Operations is summarized in the following tables by primary underlying risk exposure:
Realized Gain (Loss)
 
Written Options
   
Forward Contracts
   
Swap Contracts
   
Total
 
Interest Rate Contracts (a)
  $ 30,441     $     $     $ 30,441  
Credit Contracts (a)
                  104,441       104,441  
Foreign Exchange Contracts (b)
          (59,193 )           (59,193 )
    $ 30,441     $ (59,193 )   $ 104,441     $ 75,689  
 
Each of the above derivatives is located in the following Statement of Operations accounts:
 
(a) Net realized gain (loss) from written options and swap contracts, respectively
 
(b) Net realized gain (loss) from foreign currency (Statement of Operations includes both forward currency contracts and foreign currency transactions)
 
Change in Net Unrealized Appreciation (Depreciation)
 
Purchased Options
   
Written Options
   
Forward Contracts
   
Swap Contracts
   
Total
 
Credit Contracts (a)
  $     $     $     $ 134,542     $ 134,542  
Foreign Exchange Contracts (b)
                77,481             77,481  
Interest Rate Contracts (a)
    38,524       (30,069 )                 8,455  
    $ 38,524     $ (30,069 )   $ 77,481     $ 134,542     $ 220,478  
 
Each of the above derivatives is located in the following Statement of Operations accounts:
 
(a) Change in net unrealized appreciation (depreciation) on investments (includes purchased options), written options and swap contracts, respectively
 
(b) Change in net unrealized appreciation (depreciation) on foreign currency (Statement of Operations includes both forward currency contracts and foreign currency transactions)
 
C. Purchases and Sales of Securities
 
During the six months ended May 31, 2013, purchases and sales of investment securities (excluding short-term investments) aggregated $174,405,224 and $157,717,305, respectively.
 
For the six months ended May 31, 2013, transactions for written options on interest rate swaps were as follows:
   
Contract Amount
   
Premiums
 
Outstanding, beginning of period
    4,200,000     $ 109,635  
Options closed
    (2,100,000 )     (34,050 )
Outstanding, end of period
    2,100,000     $ 75,585  
 
D. Related Parties
 
Management Agreement. Under the Investment Management Agreement with Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor"), an indirect, wholly owned subsidiary of Deutsche Bank AG, the Advisor directs the investments of the Fund in accordance with its investment objectives, policies and restrictions. The Advisor determines the securities, instruments and other contracts relating to investments to be purchased, sold or entered into by the Fund. In addition to portfolio management services, the Advisor provides certain administrative services in accordance with the Investment Management Agreement. The management fee payable under the Investment Management Agreement is equal to an annualized rate of 0.85% of the Fund's average weekly net assets, computed and accrued daily and payable monthly.
 
Service Provider Fees. DWS Investments Service Company ("DISC"), an affiliate of the Advisor, is the transfer agent, dividend-paying agent and shareholder service agent for the Fund. Pursuant to a sub-transfer agency agreement between DISC and DST Systems, Inc. ("DST"), DISC has delegated certain transfer agent, dividend-paying agent and shareholder service agent functions to DST. DISC compensates DST out of the shareholder servicing fee it receives from the Fund. For the six months ended May 31, 2013, the amount charged to the Fund by DISC aggregated $6,491, of which $3,324 is unpaid.
 
Typesetting and Filing Service Fees. Under an agreement with DIMA, DIMA is compensated for providing typesetting and certain regulatory filing services to the Fund. For the six months ended May 31, 2013, the amount charged to the Fund by DIMA included in the Statement of Operations under "reports to shareholders" aggregated $10,872, of which $10,614 is unpaid.
 
Trustees' Fees and Expenses. The Fund paid retainer fees to each Trustee not affiliated with the Advisor, plus specified amounts to the Board Chairperson and Vice Chairperson and to each committee Chairperson.
 
Affiliated Cash Management Vehicle. The Fund may invest uninvested cash balances in Central Cash Management Fund, which is managed by the Advisor. The Fund indirectly bears its proportionate share of the expenses of Central Cash Management Fund. Central Cash Management Fund does not pay the Advisor an investment management fee. Central Cash Management Fund seeks a high level of current income consistent with liquidity and the preservation of capital.
 
E. Investing in High-Yield Securities
 
The Fund's performance could be hurt if a security declines in credit quality or goes into default, or if an issuer does not make timely payments of interest or principal. Because the issuers of high-yield debt securities or junk bonds (debt securities rated below the fourth-highest category) may be in uncertain financial health, the risk of loss from default by the issuer is significantly greater. Prices and yields of high-yield securities will fluctuate over time and, during periods of economic uncertainty, volatility of high-yield securities may adversely affect a fund's net asset value. Because the Fund may invest in securities not paying current interest or in securities already in default, these risks may be more pronounced.
 
F. Investing in Emerging Markets
 
Investing in emerging markets may involve special risks and considerations not typically associated with investing in developed markets. These risks include revaluation of currencies, high rates of inflation or deflation, repatriation restrictions on income and capital, and future adverse political, social and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls or delayed settlements, and may have prices that are more volatile or less easily assessed than those of comparable securities of issuers in developed markets.
 
G. Borrowings
 
During the period covered by the report, the Fund was party to a secured revolving line of credit with a commercial bank (the "Lender") in an amount up to $115,000,000 (the "Credit Facility"). The Credit Facility has an initial scheduled maturity date of June 21, 2013 (the "Initial Scheduled Maturity Date"). Unless the Credit Facility is terminated by either party or not extended by the Lender in accordance with its terms, (i) the Initial Scheduled Maturity Date automatically extends by six months on the date that is six months after June 21, 2012; and (ii) each subsequent Scheduled Maturity Date (as defined in the Credit Facility) automatically extends by six months on each date occurring every six months thereafter. Effective June 21, 2013, the Credit Facility was amended to increase the aggregate facility size to $125,000,000 and to modify the renewal terms as amended. The Credit Facility will automatically be renewed for a six-month period on each day after June 21, 2013 unless it is terminated by either party or not extended by the Lender in accordance with its terms.
 
Loans under the Credit Facility, at the option of the Fund and subject to certain conditions, typically bear interest with reference to LIBOR (a "LIBOR Loan") or, less frequently, with reference to a base rate (a "Base Rate Loan"). Each LIBOR Loan shall bear interest at a rate per annum equal to the applicable LIBOR rate (as defined in the Credit Facility) plus 1.25% (0.85% effective June 21, 2013). As a general matter, each Base Rate Loan shall bear interest at a rate per annum equal to the greatest of certain specified rates as set forth in the Credit Facility. At May 31, 2013, under the Credit Facility, the outstanding loans balance was $115,000,000. The borrowings were valued at cost, which approximates fair value.
 
Under the Credit Facility, the weighted average outstanding daily balance of all loans during the six months ended May 31, 2013 was approximately $113,478,000, with a weighted average annual borrowing cost of 1.53%. In addition, a commitment fee was charged to the Fund on the unused portion of the credit lines and is included with "interest expense" in the Statement of Operations.
 
Leverage involves risks and special considerations for the Fund's stockholders, including the likelihood of greater volatility of net asset value and market price of, and dividends on, the Fund's shares than a comparable portfolio without leverage; the risk that fluctuations in interest rates on such borrowings will reduce the return to stockholders; and the effect of leverage in a declining market, which is likely to cause a greater decline in the net asset value of the Fund's shares than if the Fund were not leveraged, which may result in a greater decline in the market price of the Fund's shares.
 
Changes in the value of the Fund's portfolio will be borne by the stockholders. If there is a net decrease (or increase) in the value of the Fund's investment portfolio, leverage will decrease (or increase) the net asset value per share to a greater extent than if leverage were not used. It is also possible that the Fund will be required to sell assets at a time when it would otherwise not do so, possibly at a loss, in order to meet payment obligations on borrowings to comply with asset coverage or other restrictions imposed by the Lender. The Fund is subject to certain restrictions on its investments, including asset coverage and portfolio composition requirements, under the terms of the Credit Facility. Such restrictions and covenants contained in the Credit Facility impose asset coverage and portfolio composition requirements that are more stringent than those imposed on the Fund by the 1940 Act.
 
There is no assurance that the Fund's leveraging strategy will be successful.
 
H. Share Repurchases
 
The Board has authorized the Fund to effect periodic repurchases of its outstanding shares in the open market from time to time when the Fund's shares trade at a discount to their net asset value. During the six months ended May 31, 2013 and the year ended November 30, 2012, the Fund did not repurchase shares in the open market.
 
Dividend Reinvestment Plan
 
A summary of the Fund's Dividend Reinvestment Plan (the "Plan") is set forth below. Shareholders may obtain a copy of the entire Plan by visiting the Fund's Web site at www.dws-investments.com or by writing or calling DWS Investment Service Company ("DISC") at:
 
P.O. Box 219066
 
Kansas City, Missouri 64121-9066
 
(800) 294-4366
 
If you wish to participate in the Plan and your shares are held in your own name, simply contact DISC for the appropriate form. If your shares are held in the name of a broker or other nominee, you should contact the broker or nominee in whose name your shares are held to determine whether and how you may participate in the Plan. The Fund's transfer agent and dividend disbursing agent (the "Transfer Agent") will establish a Dividend Investment Account (the "Account") for each shareholder participating in the Plan. The Transfer Agent will credit to the Account of each participant any cash dividends and capital gains distributions (collectively, "Distributions") paid on shares of the Fund (the "Shares"). Shares in a participant's Account are transferable upon proper written instructions to the Transfer Agent. Upon request to the Transfer Agent, a certificate for any or all full Shares in a participant's Account will be sent to the participant.
 
If, on the record date for a Distribution (the "Record Date"), Shares are trading at a discount from net asset value per Share, funds credited to a participant's Account will be used to purchase Shares (the "Purchase"). The Plan Agent (currently Computershare Inc.) will attempt, commencing five days prior to the Payment Date and ending at the close of business on the Payment Date ("Payment Date" as used herein shall mean the last business day of the month in which such Record Date occurs), to acquire Shares in the open market. If and to the extent that the Plan Agent is unable to acquire sufficient Shares to satisfy the Distribution by the close of business on the Payment Date, the Fund will issue to the Plan Agent, Shares valued at net asset value per Share in the aggregate amount of the remaining value of the Distribution. If, on the Record Date, Shares are trading at a premium over net asset value per Share, the Fund will issue on the Payment Date Shares valued at net asset value per Share on the Record Date to the Transfer Agent in the aggregate amount of the funds credited to the participants' Accounts. The Fund will increase the price at which Shares may be issued under the Plan to 95% of the fair market value of the shares on the Record Date if the net asset value per Share of the Shares on the Record Date is less than 95% of the fair market value of the Shares on the Record Date.
 
The reinvestment of Distributions does not relieve the participant of any tax that many be payable on the Distributions. The Transfer Agent will report to each participant the taxable amount of Distributions credited to his or her account. Participants will be treated for federal income tax purposes as receiving the amount of the Distributions made by the Fund, which amount generally will be either equal to the amount of the cash distribution the shareholder would have received if the shareholder had elected to receive cash or, for shares issued by the Fund, the fair market value of the shares issued to the shareholder.
 
The cost of Shares acquired for each participant's Account in connection with a Purchase shall be determined by the average cost per Share, including brokerage commissions, of the Shares acquired in connection with that Purchase. There will be no brokerage charges with respect to Shares issued directly by the Fund as a result of Distributions. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to open market purchases. Brokerage charges for purchasing small amounts of Shares for individual Accounts through the Plan probably will be less than the usual brokerage charges for such transactions, as the Plan Agent will be purchasing Shares for all participants in blocks and prorating the lower commission thus attainable.
 
A participant may from time to time make voluntary cash contributions to his Account in a minimum amount of $100 (no more than $500 may be contributed per month). Participants making voluntary cash investments will be charged a $0.75 service fee for each such investment and will be responsible for their pro rata share of brokerage commissions. Please contact DISC for more information on voluntary cash contributions.
 
The Fund reserves the right to amend the Plan, including provisions with respect to any Distribution paid, subsequent to notice thereof sent to participants in the Plan at least ninety days before the record date for such Distribution, except when such amendment is necessary or appropriate to comply with applicable law or the rules or policies of the Securities and Exchange Commission or any other regulatory authority, in which case such amendment shall be effective as soon as practicable. The Plan may be terminated by the Fund.
 
Shareholders may withdraw from the Plan at any time by giving the Transfer Agent a written notice. A notice of withdrawal will be effective for the next Distribution following receipt of the notice by the Transfer Agent provided the notice is received by the Transfer Agent at least ten days prior to the Record Date for the Distribution. When a participant withdraws from the Plan, or when the Plan is terminated by the Fund, the participant will receive a certificate for full Shares in the Account, plus a check for any fractional Shares based on market price; or, if a participant so desires, the Transfer Agent will notify the Plan Agent to sell his Shares in the Plan and send the proceeds to the participant, less brokerage commissions and a $2.50 service fee.
 
Shareholders will receive tax information annually for personal records and to assist in preparation of their federal income tax returns.
 
Additional Information
 
Automated Information Line
 
DWS Investments Closed-End Fund Info Line
(800) 349-4281
Web Site
 
www.dws-investments.com
Obtain fact sheets, financial reports, press releases and webcasts when available.
Written Correspondence
 
Deutsche Investment Management Americas Inc.
345 Park Avenue
New York, NY 10154
Legal Counsel
 
Vedder Price P.C.
222 North LaSalle Street
Chicago, IL 60601
Dividend Reinvestment Plan Agent
 
Computershare Inc.
P.O. Box 43078
Providence, RI 02940-3078
Shareholder Service Agent and Transfer Agent
 
DWS Investments Service Company
P.O. Box 219066
Kansas City, MO 64121-9066
(800) 294-4366
Custodian
 
State Street Bank and Trust Company
Lafayette Corporate Center
2 Avenue De Lafayette
Boston, MA 02111
Independent Registered Public Accounting Firm
 
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Proxy Voting
 
The fund's policies and procedures for voting proxies for portfolio securities and information about how the fund voted proxies related to its portfolio securities during the 12-month period ended June 30 are available on our Web site — www.dws-investments.com (click on "proxy voting"at the bottom of the page) — or on the SEC's Web site — www.sec.gov. To obtain a written copy of the fund's policies and procedures without charge, upon request, call us toll free at (800) 728-3337.
 

 
Portfolio Holdings
 
Following the fund's fiscal first and third quarter-end, a complete portfolio holdings listing is filed with the SEC on Form N-Q. This form will be available on the SEC's Web site at www.sec.gov, and it also may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. Information on the operation of the SEC's Public Reference Room may be obtained by calling (800) SEC-0330. The fund's portfolio holdings as of the month-end are posted on www.dws-investments.com on or after the last day of the following month. More frequent posting of portfolio holdings information may be made from time to time on www.dws-investments.com.
Investment Management
 
Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor"), which is part of Deutsche Asset & Wealth Management, is the investment advisor for the fund. DIMA and its predecessors have more than 80 years of experience managing mutual funds and DIMA provides a full range of investment advisory services to both institutional and retail clients.
DIMA is an indirect, wholly owned subsidiary of Deutsche Bank AG. Deutsche Bank AG is a major global banking institution engaged in a wide variety of financial services, including investment management, retail, private and commercial banking, investment banking and insurance.
DWS Investments is the retail brand name in the U.S. for the asset management activities of Deutsche Bank AG and DIMA. As such, DWS is committed to delivering the investing expertise, insight and resources of this global investment platform to American investors.
NYSE Symbol
 
KMM
CUSIP Number
 
23338L 108
 
Privacy Statement
FACTS
 
What Does DWS Investments Do With Your Personal Information?
Why?
 
Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share and protect your personal information. Please read this notice carefully to understand what we do.
What?
 
The types of personal information we collect and share can include:
Social Security number
• Account balances
Purchase and transaction history
Bank account information
Contact information such as mailing address, e-mail address and telephone number
How?
 
All financial companies need to share customers' personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers' personal information, the reasons DWS Investments chooses to share and whether you can limit this sharing.
 

Reasons we can share your personal information
Does DWS Investments share?
Can you limit this sharing?
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders or legal investigations
Yes
No
For our marketing purposes — to offer our products and services to you
Yes
No
For joint marketing with other financial companies
No
We do not share
For our affiliates' everyday business purposes — information about your transactions and experiences
No
We do not share
For our affiliates' everyday business purposes — information about your creditworthiness
No
We do not share
For non-affiliates to market to you
No
We do not share
 

Questions?
Call (800) 728-3337 or e-mail us at dws-investments.info@dws.com
 

Who we are
Who is providing this notice?
 
DWS Investments Distributors, Inc.; Deutsche Investment Management Americas Inc.; DeAM Investor Services, Inc.; DWS Trust Company; the DWS Funds
What we do
How does DWS Investments protect my personal information?
 
To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.
How does DWS Investments collect my personal information?
 
We collect your personal information, for example. When you:
open an account
give us your contact information
provide bank account information for ACH or wire transactions
tell us where to send money
seek advice about your investments
Why can't I limit all sharing?
 
Federal law gives you the right to limit only
sharing for affiliates' everyday business purposes — information about your creditworthiness
affiliates from using your information to market to you
sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing.
Definitions
Affiliates
 
Companies related by common ownership or control. They can be financial or non-financial companies. Our affiliates include financial companies with the DWS or Deutsche Bank ("DB") name, such as DB AG Frankfurt and DB Alex Brown.
Non-affiliates
 
Companies not related by common ownership or control. They can be financial and non-financial companies.
Non-affiliates we share with include account service providers, service quality monitoring services, mailing service providers and verification services to help in the fight against money laundering and fraud.
Joint marketing
 
A formal agreement between non-affiliated financial companies that together market financial products or services to you. DWS Investments does not jointly market.
 

 
Rev. 09/2012
 
Notes
 
 
   
ITEM 2.
CODE OF ETHICS
   
 
Not applicable.
   
ITEM 3.
AUDIT COMMITTEE FINANCIAL EXPERT
   
 
Not applicable
   
ITEM 4.
PRINCIPAL ACCOUNTANT FEES AND SERVICES
   
 
Not applicable
   
ITEM 5.
AUDIT COMMITTEE OF LISTED REGISTRANTS
   
 
Not applicable
   
ITEM 6.
SCHEDULE OF INVESTMENTS
   
 
Not applicable
   
ITEM 7.
DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
   
 
Not applicable
   
ITEM 8.
PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
   
 
Not applicable
   
ITEM 9.
PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS
   
Period
(a)
 
(b)
 
(c)
 
(d)
Total Number of
Shares Purchased
 
Average Price Paid
per Share
 
Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs
 
Maximum Number of Shares that May Yet Be Purchased Under the Plans or Programs
December 1 through December 31
 -
 
n/a
 
n/a
 
 n/a
January 1 through January 31
 -
 
n/a
 
n/a
 
 n/a
February 1 through February 28
 -
 
n/a
 
n/a
 
 n/a
March 1 through March 31
 -
 
n/a
 
n/a
 
 n/a
April 1 through April 30
 -
 
n/a
 
n/a
 
 n/a
May 1 through May 31
 -
 
n/a
 
n/a
 
 n/a
Total
 -
 
n/a
 
n/a
 
 
               
The Fund may from time to time repurchase shares in the open market.
   
ITEM 10.
SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
   
 
There were no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board. The primary function of the Nominating and Governance Committee is to identify and recommend individuals for membership on the Board and oversee the administration of the Board Governance Guidelines. Shareholders may recommend candidates for Board positions by forwarding their correspondence by U.S. mail or courier service to Kenneth C. Froewiss, Independent Chairman, DWS Mutual Funds, P.O. Box 78, Short Hills, NJ 07078.
   
ITEM 11.
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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting.
   
ITEM 12.
EXHIBITS
   
 
(a)(1)
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.
   
 
(b)
Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.


Form N-CSRS Item F

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/W. Douglas Beck
W. Douglas Beck
President
   
Date:
July 29, 2013

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/W. Douglas Beck
W. Douglas Beck
President
   
Date:
July 29, 2013
   
   
   
By:
/s/Paul Schubert
Paul Schubert
Chief Financial Officer and Treasurer
   
Date:
July 29, 2013