UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
_______________________________
Investment Company Act file number: 811-05689
Deutsche Multi-Market Income Trust
(Exact name of registrant as specified in charter)
345 Park Avenue
New York, NY 10154
(Address of principal executive offices) (Zip code)
Paul Schubert
60 Wall Street
New York, NY 10005
(Name and address of agent for service)
Registrant's telephone number, including area code: (212) 250-3220
Date of fiscal year end: 11/30
Date of reporting period: 8/31/2016
| ITEM 1. | SCHEDULE OF INVESTMENTS |
Investment Portfolio as of August 31, 2016 (Unaudited)
Deutsche Multi-Market Income Trust
| Principal Amount ($) (a) |
Value ($) | |||||||||||
| Corporate Bonds 85.8% | ||||||||||||
| Consumer Discretionary 24.1% | ||||||||||||
| 1011778 B.C. Unlimited Liability Co., 144A, 4.625%, 1/15/2022 | 140,000 | 144,900 | ||||||||||
| Adient Global Holdings Ltd., 144A, 4.875%, 8/15/2026 | 465,000 | 471,394 | ||||||||||
| Ally Financial, Inc.: | ||||||||||||
| 3.25%, 2/13/2018 | 935,000 | 944,350 | ||||||||||
| 4.125%, 3/30/2020 | 1,810,000 | 1,868,825 | ||||||||||
| 4.25%, 4/15/2021 | 575,000 | 592,250 | ||||||||||
| 5.75%, 11/20/2025 | 710,000 | 755,262 | ||||||||||
| Altice Financing SA: | ||||||||||||
| 144A, 6.5%, 1/15/2022 | 240,000 | 252,600 | ||||||||||
| 144A, 7.5%, 5/15/2026 | 755,000 | 794,637 | ||||||||||
| Altice Finco SA, 144A, 9.875%, 12/15/2020 | 335,000 | 358,869 | ||||||||||
| Altice U.S. Finance I Corp., 144A, 5.5%, 5/15/2026 | 755,000 | 796,525 | ||||||||||
| AMC Entertainment, Inc., 5.875%, 2/15/2022 | 295,000 | 303,850 | ||||||||||
| AMC Networks, Inc., 5.0%, 4/1/2024 | 1,000,000 | 1,025,000 | ||||||||||
| AmeriGas Finance LLC, 7.0%, 5/20/2022 | 485,000 | 516,525 | ||||||||||
| APX Group, Inc., 6.375%, 12/1/2019 | 295,000 | 302,741 | ||||||||||
| Asbury Automotive Group, Inc., 6.0%, 12/15/2024 | 1,050,000 | 1,092,000 | ||||||||||
| Ashtead Capital, Inc., 144A, 6.5%, 7/15/2022 | 255,000 | 269,025 | ||||||||||
| Ashton Woods U.S.A. LLC, 144A, 6.875%, 2/15/2021 | 480,000 | 458,400 | ||||||||||
| Avis Budget Car Rental LLC, 5.5%, 4/1/2023 | 770,000 | 797,912 | ||||||||||
| Beacon Roofing Supply, Inc., 6.375%, 10/1/2023 | 200,000 | 215,000 | ||||||||||
| Block Communications, Inc., 144A, 7.25%, 2/1/2020 | 580,000 | 597,400 | ||||||||||
| Boyd Gaming Corp., 6.875%, 5/15/2023 | 165,000 | 178,200 | ||||||||||
| CalAtlantic Group, Inc., 5.25%, 6/1/2026 | 859,000 | 871,885 | ||||||||||
| Caleres, Inc., 6.25%, 8/15/2023 | 140,000 | 145,600 | ||||||||||
| CCO Holdings LLC: | ||||||||||||
| 144A, 5.125%, 5/1/2023 | 445,000 | 468,225 | ||||||||||
| 144A, 5.5%, 5/1/2026 | 1,850,000 | 1,958,687 | ||||||||||
| 144A, 5.875%, 4/1/2024 | 385,000 | 414,838 | ||||||||||
| 144A, 5.875%, 5/1/2027 | 550,000 | 588,500 | ||||||||||
| Cequel Communications Holdings I LLC: | ||||||||||||
| 144A, 5.125%, 12/15/2021 | 815,000 | 824,169 | ||||||||||
| 144A, 6.375%, 9/15/2020 | 810,000 | 837,337 | ||||||||||
| Churchill Downs, Inc., 144A, 5.375%, 12/15/2021 | 187,000 | 194,480 | ||||||||||
| Clear Channel Worldwide Holdings, Inc., Series A, 7.625%, 3/15/2020 | 85,000 | 81,600 | ||||||||||
| Cogeco Communications, Inc., 144A, 4.875%, 5/1/2020 | 35,000 | 36,313 | ||||||||||
| CSC Holdings LLC: | ||||||||||||
| 5.25%, 6/1/2024 | 305,000 | 296,802 | ||||||||||
| 144A, 6.625%, 10/15/2025 | 200,000 | 217,250 | ||||||||||
| 144A, 10.125%, 1/15/2023 | 600,000 | 685,125 | ||||||||||
| 144A, 10.875%, 10/15/2025 | 630,000 | 738,675 | ||||||||||
| Dana, Inc.: | ||||||||||||
| 5.375%, 9/15/2021 | 2,000,000 | 2,080,000 | ||||||||||
| 5.5%, 12/15/2024 | 195,000 | 199,875 | ||||||||||
| DISH DBS Corp., 6.75%, 6/1/2021 | 110,000 | 118,181 | ||||||||||
| Dollar Tree, Inc.: | ||||||||||||
| 5.25%, 3/1/2020 | 1,110,000 | 1,155,787 | ||||||||||
| 5.75%, 3/1/2023 | 350,000 | 376,688 | ||||||||||
| Fiat Chrysler Automobiles NV: | ||||||||||||
| 4.5%, 4/15/2020 | 400,000 | 410,000 | ||||||||||
| 5.25%, 4/15/2023 | 600,000 | 618,900 | ||||||||||
| Global Partners LP, 7.0%, 6/15/2023 | 270,000 | 245,700 | ||||||||||
| GLP Capital LP: | ||||||||||||
| 4.375%, 4/15/2021 | 155,000 | 163,568 | ||||||||||
| 5.375%, 4/15/2026 | 500,000 | 546,250 | ||||||||||
| Goodyear Tire & Rubber Co.: | ||||||||||||
| 5.0%, 5/31/2026 | 925,000 | 968,355 | ||||||||||
| 5.125%, 11/15/2023 | 210,000 | 219,450 | ||||||||||
| Group 1 Automotive, Inc.: | ||||||||||||
| 5.0%, 6/1/2022 | 545,000 | 547,725 | ||||||||||
| 144A, 5.25%, 12/15/2023 | 755,000 | 764,437 | ||||||||||
| Hanesbrands, Inc., 144A, 4.625%, 5/15/2024 | 390,000 | 408,038 | ||||||||||
| HD Supply, Inc.: | ||||||||||||
| 144A, 5.25%, 12/15/2021 | 290,000 | 309,030 | ||||||||||
| 144A, 5.75%, 4/15/2024 | 185,000 | 197,025 | ||||||||||
| 7.5%, 7/15/2020 | 105,000 | 109,331 | ||||||||||
| Hilton Escrow Issuer LLC, 144A, 4.25%, 9/1/2024 | 165,000 | 168,197 | ||||||||||
| Hot Topic, Inc., 144A, 9.25%, 6/15/2021 | 110,000 | 116,325 | ||||||||||
| Jaguar Land Rover Automotive PLC, 144A, 3.5%, 3/15/2020 | 1,060,000 | 1,086,500 | ||||||||||
| Lennar Corp., 4.75%, 11/15/2022 | 500,000 | 526,250 | ||||||||||
| Live Nation Entertainment, Inc., 144A, 7.0%, 9/1/2020 | 470,000 | 488,213 | ||||||||||
| MDC Partners, Inc., 144A, 6.5%, 5/1/2024 | 170,000 | 161,500 | ||||||||||
| Mediacom Broadband LLC, 6.375%, 4/1/2023 | 610,000 | 646,600 | ||||||||||
| NCL Corp., Ltd., 144A, 4.625%, 11/15/2020 | 305,000 | 308,321 | ||||||||||
| Nielsen Finance LLC, 144A, 5.0%, 4/15/2022 | 155,000 | 159,242 | ||||||||||
| Penske Automotive Group, Inc.: | ||||||||||||
| 5.375%, 12/1/2024 | 700,000 | 712,250 | ||||||||||
| 5.5%, 5/15/2026 | 330,000 | 330,205 | ||||||||||
| PulteGroup, Inc., 4.25%, 3/1/2021 | 1,065,000 | 1,118,910 | ||||||||||
| Quebecor Media, Inc., 5.75%, 1/15/2023 | 295,000 | 310,119 | ||||||||||
| Rivers Pittsburgh Borrower LP, 144A, 6.125%, 8/15/2021 | 80,000 | 82,400 | ||||||||||
| Sabre GLBL, Inc.: | ||||||||||||
| 144A, 5.25%, 11/15/2023 | 70,000 | 71,925 | ||||||||||
| 144A, 5.375%, 4/15/2023 | 25,000 | 25,844 | ||||||||||
| Sally Holdings LLC, 5.625%, 12/1/2025 | 535,000 | 579,405 | ||||||||||
| Schaeffler Finance BV, 144A, 4.75%, 5/15/2023 | 400,000 | 416,000 | ||||||||||
| Seminole Hard Rock Entertainment, Inc., 144A, 5.875%, 5/15/2021 | 180,000 | 181,350 | ||||||||||
| Serta Simmons Bedding LLC, 144A, 8.125%, 10/1/2020 | 165,000 | 172,013 | ||||||||||
| SFR Group SA: | ||||||||||||
| 144A, 6.0%, 5/15/2022 | 1,070,000 | 1,093,540 | ||||||||||
| 144A, 7.375%, 5/1/2026 | 1,155,000 | 1,192,537 | ||||||||||
| Sirius XM Radio, Inc.: | ||||||||||||
| 144A, 5.375%, 7/15/2026 | 530,000 | 545,237 | ||||||||||
| 144A, 5.875%, 10/1/2020 | 310,000 | 320,075 | ||||||||||
| Springs Industries, Inc., 6.25%, 6/1/2021 | 415,000 | 432,119 | ||||||||||
| Starz LLC, 5.0%, 9/15/2019 | 230,000 | 233,450 | ||||||||||
| Suburban Propane Partners LP, 5.75%, 3/1/2025 | 150,000 | 151,500 | ||||||||||
| Tenneco, Inc., 5.0%, 7/15/2026 | 360,000 | 370,800 | ||||||||||
| Toll Brothers Finance Corp., 4.875%, 11/15/2025 | 345,000 | 361,819 | ||||||||||
| TRI Pointe Group, Inc.: | ||||||||||||
| 4.375%, 6/15/2019 | 185,000 | 190,088 | ||||||||||
| 4.875%, 7/1/2021 | 2,215,000 | 2,281,450 | ||||||||||
| Unitymedia Hessen GmbH & Co., KG, 144A, 5.5%, 1/15/2023 | 1,320,000 | 1,389,300 | ||||||||||
| UPCB Finance IV Ltd., 144A, 5.375%, 1/15/2025 | 1,075,000 | 1,104,562 | ||||||||||
| UPCB Finance VI Ltd., 144A, 6.875%, 1/15/2022 | 396,000 | 415,800 | ||||||||||
| Viking Cruises Ltd.: | ||||||||||||
| 144A, 6.25%, 5/15/2025 | 275,000 | 217,250 | ||||||||||
| 144A, 8.5%, 10/15/2022 | 295,000 | 259,600 | ||||||||||
| Virgin Media Secured Finance PLC: | ||||||||||||
| 144A, 5.25%, 1/15/2026 | 390,000 | 398,775 | ||||||||||
| 144A, 5.5%, 8/15/2026 | 350,000 | 365,750 | ||||||||||
| WMG Acquisition Corp., 144A, 5.0%, 8/1/2023 | 160,000 | 164,400 | ||||||||||
| 49,683,112 | ||||||||||||
| Consumer Staples 3.0% | ||||||||||||
| Aramark Services, Inc.: | ||||||||||||
| 144A, 4.75%, 6/1/2026 | 1,105,000 | 1,110,635 | ||||||||||
| 5.125%, 1/15/2024 | 220,000 | 228,113 | ||||||||||
| Cott Beverages, Inc.: | ||||||||||||
| 5.375%, 7/1/2022 | 515,000 | 531,737 | ||||||||||
| 6.75%, 1/1/2020 | 195,000 | 204,263 | ||||||||||
| FAGE International SA: | ||||||||||||
| 144A, 5.625%, 8/15/2026 | 235,000 | 242,931 | ||||||||||
| 144A, 9.875%, 2/1/2020 | 500,000 | 516,450 | ||||||||||
| JBS Investments GmbH, 144A, 7.25%, 4/3/2024 | 360,000 | 381,060 | ||||||||||
| JBS U.S.A. LLC: | ||||||||||||
| 144A, 5.75%, 6/15/2025 | 220,000 | 223,300 | ||||||||||
| 144A, 7.25%, 6/1/2021 | 775,000 | 802,125 | ||||||||||
| 144A, 8.25%, 2/1/2020 | 240,000 | 249,600 | ||||||||||
| Performance Food Group, Inc., 144A, 5.5%, 6/1/2024 | 315,000 | 326,813 | ||||||||||
| Pilgrim's Pride Corp., 144A, 5.75%, 3/15/2025 | 205,000 | 211,663 | ||||||||||
| Pinnacle Foods Finance LLC, 144A, 5.875%, 1/15/2024 | 65,000 | 70,038 | ||||||||||
| Post Holdings, Inc.: | ||||||||||||
| 144A, 5.0%, 8/15/2026 | 445,000 | 443,887 | ||||||||||
| 144A, 6.75%, 12/1/2021 | 155,000 | 166,431 | ||||||||||
| Smithfield Foods, Inc., 6.625%, 8/15/2022 | 15,000 | 15,900 | ||||||||||
| The WhiteWave Foods Co., 5.375%, 10/1/2022 | 410,000 | 462,275 | ||||||||||
| 6,187,221 | ||||||||||||
| Energy 6.9% | ||||||||||||
| Antero Resources Corp.: | ||||||||||||
| 5.125%, 12/1/2022 | 365,000 | 360,437 | ||||||||||
| 5.375%, 11/1/2021 | 320,000 | 320,400 | ||||||||||
| 5.625%, 6/1/2023 | 210,000 | 210,525 | ||||||||||
| Blue Racer Midstream LLC, 144A, 6.125%, 11/15/2022 | 235,000 | 226,188 | ||||||||||
| Carrizo Oil & Gas, Inc., 6.25%, 4/15/2023 | 275,000 | 271,562 | ||||||||||
| Cheniere Corpus Christi Holdings LLC, 144A, 7.0%, 6/30/2024 | 510,000 | 545,700 | ||||||||||
| Continental Resources, Inc.: | ||||||||||||
| 4.5%, 4/15/2023 | 200,000 | 188,500 | ||||||||||
| 5.0%, 9/15/2022 | 1,280,000 | 1,238,400 | ||||||||||
| Crestwood Midstream Partners LP, 6.25%, 4/1/2023 | 145,000 | 141,375 | ||||||||||
| DCP Midstream Operating LP, 2.7%, 4/1/2019 | 700,000 | 678,125 | ||||||||||
| Delek & Avner Tamar Bond Ltd., 144A, 5.082%, 12/30/2023 | 500,000 | 537,500 | ||||||||||
| Freeport-McMoran Oil & Gas LLC, 6.5%, 11/15/2020 | 500,000 | 501,250 | ||||||||||
| Gulfport Energy Corp., 6.625%, 5/1/2023 | 110,000 | 113,025 | ||||||||||
| Hilcorp Energy I LP, 144A, 5.75%, 10/1/2025 | 385,000 | 377,300 | ||||||||||
| Holly Energy Partners LP: | ||||||||||||
| 144A, 6.0%, 8/1/2024 | 265,000 | 270,300 | ||||||||||
| 6.5%, 3/1/2020 | 165,000 | 169,950 | ||||||||||
| Ithaca Energy, Inc., 144A, 8.125%, 7/1/2019 | 215,000 | 191,350 | ||||||||||
| Laredo Petroleum, Inc., 6.25%, 3/15/2023 | 310,000 | 295,275 | ||||||||||
| Memorial Resource Development Corp., 5.875%, 7/1/2022 | 245,000 | 247,450 | ||||||||||
| Murphy Oil Corp., 6.875%, 8/15/2024 | 235,000 | 245,751 | ||||||||||
| Newfield Exploration Co.: | ||||||||||||
| 5.375%, 1/1/2026 | 155,000 | 155,775 | ||||||||||
| 5.75%, 1/30/2022 | 305,000 | 316,437 | ||||||||||
| Oasis Petroleum, Inc.: | ||||||||||||
| 6.875%, 3/15/2022 | 110,000 | 102,300 | ||||||||||
| 6.875%, 1/15/2023 | 65,000 | 59,963 | ||||||||||
| Pertamina Persero PT, 144A, 5.25%, 5/23/2021 | 410,000 | 446,402 | ||||||||||
| Range Resources Corp., 4.875%, 5/15/2025 | 440,000 | 424,600 | ||||||||||
| Ras Laffan Liquefied Natural Gas Co., Ltd. II, 144A, 5.298%, 9/30/2020 | 1,072,350 | 1,152,937 | ||||||||||
| Reliance Industries Ltd., 144A, 4.125%, 1/28/2025 | 1,250,000 | 1,317,019 | ||||||||||
| Rice Energy, Inc., 7.25%, 5/1/2023 | 50,000 | 52,250 | ||||||||||
| Sabine Pass Liquefaction LLC: | ||||||||||||
| 5.625%, 2/1/2021 | 980,000 | 1,029,000 | ||||||||||
| 144A, 5.875%, 6/30/2026 | 560,000 | 599,200 | ||||||||||
| Sunoco LP: | ||||||||||||
| 144A, 5.5%, 8/1/2020 | 170,000 | 172,567 | ||||||||||
| 144A, 6.375%, 4/1/2023 | 155,000 | 159,650 | ||||||||||
| Tesoro Logistics LP: | ||||||||||||
| 6.125%, 10/15/2021 | 120,000 | 125,700 | ||||||||||
| 6.375%, 5/1/2024 | 270,000 | 288,225 | ||||||||||
| Whiting Petroleum Corp., 6.25%, 4/1/2023 | 235,000 | 205,625 | ||||||||||
| WPX Energy, Inc., 7.5%, 8/1/2020 | 545,000 | 559,647 | ||||||||||
| 14,297,660 | ||||||||||||
| Financials 5.8% | ||||||||||||
| AerCap Ireland Capital Ltd.: | ||||||||||||
| 3.95%, 2/1/2022 | 790,000 | 819,625 | ||||||||||
| 4.625%, 10/30/2020 | 2,375,000 | 2,517,203 | ||||||||||
| Alliance Data Systems Corp., 144A, 5.25%, 12/1/2017 | 370,000 | 378,325 | ||||||||||
| CIT Group, Inc.: | ||||||||||||
| 3.875%, 2/19/2019 | 1,475,000 | 1,507,730 | ||||||||||
| 5.0%, 8/15/2022 | 700,000 | 742,000 | ||||||||||
| CNO Financial Group, Inc.: | ||||||||||||
| 4.5%, 5/30/2020 | 520,000 | 525,200 | ||||||||||
| 5.25%, 5/30/2025 | 165,000 | 163,763 | ||||||||||
| Commonwealth Bank of Australia, 144A, 4.5%, 12/9/2025 | 2,105,000 | 2,254,914 | ||||||||||
| Corp. Financiera de Desarrollo SA, 144A, 4.75%, 2/8/2022 | 500,000 | 542,500 | ||||||||||
| Dana Financing Luxembourg Sarl, 144A, 6.5%, 6/1/2026 | 585,000 | 612,787 | ||||||||||
| E*TRADE Financial Corp.: | ||||||||||||
| 4.625%, 9/15/2023 | 205,000 | 212,761 | ||||||||||
| 5.375%, 11/15/2022 | 180,000 | 193,275 | ||||||||||
| Lincoln Finance Ltd., 144A, 7.375%, 4/15/2021 | 140,000 | 150,850 | ||||||||||
| National Savings Bank, 144A, 5.15%, 9/10/2019 | 500,000 | 501,900 | ||||||||||
| Neuberger Berman Group LLC, 144A, 5.875%, 3/15/2022 | 405,000 | 422,213 | ||||||||||
| The Goldman Sachs Group, Inc., Series L, 5.7%, 12/29/2049 | 360,000 | 367,740 | ||||||||||
| 11,912,786 | ||||||||||||
| Health Care 5.9% | ||||||||||||
| Alere, Inc., 144A, 6.375%, 7/1/2023 | 220,000 | 224,950 | ||||||||||
| Community Health Systems, Inc.: | ||||||||||||
| 5.125%, 8/1/2021 | 75,000 | 73,969 | ||||||||||
| 7.125%, 7/15/2020 | 1,090,000 | 974,874 | ||||||||||
| Concordia International Corp., 144A, 7.0%, 4/15/2023 | 110,000 | 85,250 | ||||||||||
| Endo Finance LLC: | ||||||||||||
| 144A, 5.375%, 1/15/2023 | 285,000 | 257,925 | ||||||||||
| 144A, 5.75%, 1/15/2022 | 305,000 | 284,222 | ||||||||||
| Endo Ltd.: | ||||||||||||
| 144A, 6.0%, 7/15/2023 | 240,000 | 217,800 | ||||||||||
| 144A, 6.5%, 2/1/2025 | 150,000 | 133,125 | ||||||||||
| Fresenius Medical Care U.S. Finance II, Inc., 144A, 6.5%, 9/15/2018 | 170,000 | 185,087 | ||||||||||
| HCA, Inc.: | ||||||||||||
| 4.5%, 2/15/2027 | 305,000 | 307,669 | ||||||||||
| 4.75%, 5/1/2023 | 1,000,000 | 1,046,250 | ||||||||||
| 5.25%, 6/15/2026 | 610,000 | 651,937 | ||||||||||
| 6.5%, 2/15/2020 | 1,700,000 | 1,878,500 | ||||||||||
| 7.5%, 2/15/2022 | 620,000 | 706,800 | ||||||||||
| Hologic, Inc., 144A, 5.25%, 7/15/2022 | 110,000 | 117,012 | ||||||||||
| IMS Health, Inc., 144A, 6.0%, 11/1/2020 | 365,000 | 371,844 | ||||||||||
| LifePoint Health, Inc.: | ||||||||||||
| 144A, 5.375%, 5/1/2024 | 435,000 | 446,419 | ||||||||||
| 5.5%, 12/1/2021 | 385,000 | 402,325 | ||||||||||
| 5.875%, 12/1/2023 | 310,000 | 326,275 | ||||||||||
| Mallinckrodt International Finance SA: | ||||||||||||
| 144A, 4.875%, 4/15/2020 | 90,000 | 92,025 | ||||||||||
| 144A, 5.625%, 10/15/2023 | 165,000 | 165,619 | ||||||||||
| Tenet Healthcare Corp., 4.153% **, 6/15/2020 | 205,000 | 205,256 | ||||||||||
| Valeant Pharmaceuticals International, Inc.: | ||||||||||||
| 144A, 5.375%, 3/15/2020 | 390,000 | 367,575 | ||||||||||
| 144A, 5.875%, 5/15/2023 | 360,000 | 316,800 | ||||||||||
| 144A, 6.125%, 4/15/2025 | 1,100,000 | 966,625 | ||||||||||
| 144A, 7.5%, 7/15/2021 | 1,455,000 | 1,429,989 | ||||||||||
| 12,236,122 | ||||||||||||
| Industrials 9.0% | ||||||||||||
| ADT Corp.: | ||||||||||||
| 3.5%, 7/15/2022 | 190,000 | 181,925 | ||||||||||
| 5.25%, 3/15/2020 | 320,000 | 345,600 | ||||||||||
| 6.25%, 10/15/2021 | 580,000 | 635,100 | ||||||||||
| Air Lease Corp., 4.75%, 3/1/2020 | 3,915,000 | 4,228,200 | ||||||||||
| Allegion PLC, 5.875%, 9/15/2023 | 110,000 | 118,800 | ||||||||||
| Artesyn Embedded Technologies, Inc., 144A, 9.75%, 10/15/2020 | 390,000 | 335,400 | ||||||||||
| Belden, Inc., 144A, 5.5%, 9/1/2022 | 505,000 | 526,462 | ||||||||||
| Bombardier, Inc.: | ||||||||||||
| 144A, 5.75%, 3/15/2022 | 480,000 | 453,600 | ||||||||||
| 144A, 6.0%, 10/15/2022 | 355,000 | 335,475 | ||||||||||
| Casella Waste Systems, Inc., 7.75%, 2/15/2019 | 521,000 | 532,722 | ||||||||||
| CNH Industrial Capital LLC, 3.875%, 7/16/2018 | 400,000 | 410,600 | ||||||||||
| Covanta Holding Corp., 5.875%, 3/1/2024 | 295,000 | 296,475 | ||||||||||
| DigitalGlobe, Inc., 144A, 5.25%, 2/1/2021 | 210,000 | 208,950 | ||||||||||
| DR Horton, Inc., 4.0%, 2/15/2020 | 100,000 | 104,750 | ||||||||||
| EnerSys, 144A, 5.0%, 4/30/2023 | 55,000 | 54,863 | ||||||||||
| Florida East Coast Holdings Corp., 144A, 6.75%, 5/1/2019 | 300,000 | 309,000 | ||||||||||
| FTI Consulting, Inc., 6.0%, 11/15/2022 | 295,000 | 310,488 | ||||||||||
| Garda World Security Corp., 144A, 7.25%, 11/15/2021 | 400,000 | 365,000 | ||||||||||
| Huntington Ingalls Industries, Inc.: | ||||||||||||
| 144A, 5.0%, 12/15/2021 | 415,000 | 436,787 | ||||||||||
| 144A, 5.0%, 11/15/2025 | 213,000 | 228,709 | ||||||||||
| Manitowoc Foodservice, Inc., 144A, 9.5%, 2/15/2024 | 155,000 | 175,150 | ||||||||||
| Masonite International Corp., 144A, 5.625%, 3/15/2023 | 230,000 | 243,800 | ||||||||||
| Meritor, Inc.: | ||||||||||||
| 6.25%, 2/15/2024 | 285,000 | 266,589 | ||||||||||
| 6.75%, 6/15/2021 | 400,000 | 400,000 | ||||||||||
| Moog, Inc., 144A, 5.25%, 12/1/2022 | 175,000 | 180,250 | ||||||||||
| Nortek, Inc., 8.5%, 4/15/2021 | 315,000 | 329,963 | ||||||||||
| Novelis Corp., 144A, 6.25%, 8/15/2024 | 300,000 | 312,750 | ||||||||||
| OPE KAG Finance Sub, Inc., 144A, 7.875%, 7/31/2023 | 280,000 | 266,000 | ||||||||||
| Oshkosh Corp.: | ||||||||||||
| 5.375%, 3/1/2022 | 217,500 | 227,831 | ||||||||||
| 5.375%, 3/1/2025 | 803,000 | 843,150 | ||||||||||
| Ply Gem Industries, Inc., 6.5%, 2/1/2022 | 525,000 | 539,062 | ||||||||||
| Prime Security Services Borrower LLC, 144A, 9.25%, 5/15/2023 | 40,000 | 43,550 | ||||||||||
| SBA Communications Corp., 5.625%, 10/1/2019 | 285,000 | 293,550 | ||||||||||
| Spirit AeroSystems, Inc., 5.25%, 3/15/2022 | 390,000 | 411,712 | ||||||||||
| Summit Materials LLC: | ||||||||||||
| 6.125%, 7/15/2023 | 355,000 | 360,325 | ||||||||||
| 144A, 8.5%, 4/15/2022 | 155,000 | 169,338 | ||||||||||
| Titan International, Inc., 6.875%, 10/1/2020 | 335,000 | 315,738 | ||||||||||
| TransDigm, Inc., 144A, 6.375%, 6/15/2026 | 315,000 | 321,300 | ||||||||||
| Triumph Group, Inc., 5.25%, 6/1/2022 | 175,000 | 167,563 | ||||||||||
| United Rentals North America, Inc.: | ||||||||||||
| 6.125%, 6/15/2023 | 35,000 | 36,794 | ||||||||||
| 7.625%, 4/15/2022 | 455,000 | 485,144 | ||||||||||
| WESCO Distribution, Inc., 144A, 5.375%, 6/15/2024 | 300,000 | 306,750 | ||||||||||
| ZF North America Capital, Inc.: | ||||||||||||
| 144A, 4.0%, 4/29/2020 | 439,000 | 466,163 | ||||||||||
| 144A, 4.5%, 4/29/2022 | 610,000 | 645,075 | ||||||||||
| 144A, 4.75%, 4/29/2025 | 470,000 | 498,787 | ||||||||||
| 18,725,240 | ||||||||||||
| Information Technology 4.1% | ||||||||||||
| ACI Worldwide, Inc., 144A, 6.375%, 8/15/2020 | 140,000 | 144,550 | ||||||||||
| Cardtronics, Inc., 5.125%, 8/1/2022 | 175,000 | 177,625 | ||||||||||
| CDW LLC: | ||||||||||||
| 5.5%, 12/1/2024 | 355,000 | 380,453 | ||||||||||
| 6.0%, 8/15/2022 | 160,000 | 171,800 | ||||||||||
| Diamond 1 Finance Corp.: | ||||||||||||
| 144A, 4.42%, 6/15/2021 | 735,000 | 768,543 | ||||||||||
| 144A, 5.875%, 6/15/2021 | 235,000 | 248,475 | ||||||||||
| EarthLink Holdings Corp., 7.375%, 6/1/2020 | 345,000 | 360,956 | ||||||||||
| EMC Corp., 1.875%, 6/1/2018 | 1,200,000 | 1,196,975 | ||||||||||
| Entegris, Inc., 144A, 6.0%, 4/1/2022 | 215,000 | 223,600 | ||||||||||
| First Data Corp., 144A, 7.0%, 12/1/2023 | 355,000 | 371,862 | ||||||||||
| Freescale Semiconductor, Inc., 144A, 6.0%, 1/15/2022 | 380,000 | 400,520 | ||||||||||
| Jabil Circuit, Inc., 5.625%, 12/15/2020 | 400,000 | 429,000 | ||||||||||
| Match Group, Inc., 6.375%, 6/1/2024 | 180,000 | 195,975 | ||||||||||
| Micron Technology, Inc., 144A, 7.5%, 9/15/2023 | 600,000 | 661,500 | ||||||||||
| MSCI, Inc., 144A, 4.75%, 8/1/2026 | 395,000 | 405,369 | ||||||||||
| NCR Corp.: | ||||||||||||
| 5.875%, 12/15/2021 | 75,000 | 78,563 | ||||||||||
| 6.375%, 12/15/2023 | 190,000 | 200,925 | ||||||||||
| NXP BV: | ||||||||||||
| 144A, 4.125%, 6/1/2021 | 990,000 | 1,035,540 | ||||||||||
| 144A, 4.625%, 6/1/2023 | 300,000 | 316,500 | ||||||||||
| Riverbed Technology, Inc., 144A, 8.875%, 3/1/2023 | 155,000 | 166,238 | ||||||||||
| Western Digital Corp.: | ||||||||||||
| 144A, 7.375%, 4/1/2023 | 155,000 | 168,175 | ||||||||||
| 144A, 10.5%, 4/1/2024 | 275,000 | 310,750 | ||||||||||
| 8,413,894 | ||||||||||||
| Materials 13.3% | ||||||||||||
| AK Steel Corp., 7.5%, 7/15/2023 | 300,000 | 325,500 | ||||||||||
| Ardagh Packaging Finance PLC: | ||||||||||||
| 144A, 3.653% **, 12/15/2019 | 490,000 | 494,900 | ||||||||||
| 144A, 4.625%, 5/15/2023 | 245,000 | 249,288 | ||||||||||
| 144A, 6.75%, 1/31/2021 | 340,000 | 352,325 | ||||||||||
| 144A, 7.25%, 5/15/2024 | 435,000 | 462,731 | ||||||||||
| Axalta Coating Systems LLC, 144A, 4.875%, 8/15/2024 | 150,000 | 156,375 | ||||||||||
| Ball Corp.: | ||||||||||||
| 4.375%, 12/15/2020 | 155,000 | 166,819 | ||||||||||
| 5.25%, 7/1/2025 | 275,000 | 297,688 | ||||||||||
| Berry Plastics Corp., 5.5%, 5/15/2022 | 600,000 | 624,000 | ||||||||||
| Cascades, Inc., 144A, 5.5%, 7/15/2022 | 185,000 | 185,925 | ||||||||||
| Celanese U.S. Holdings LLC, 4.625%, 11/15/2022 | 1,500,000 | 1,635,000 | ||||||||||
| Cemex SAB de CV, 144A, 6.5%, 12/10/2019 | 1,300,000 | 1,391,000 | ||||||||||
| Chemours Co.: | ||||||||||||
| 6.625%, 5/15/2023 | 205,000 | 196,800 | ||||||||||
| 7.0%, 5/15/2025 | 95,000 | 90,903 | ||||||||||
| Clearwater Paper Corp., 144A, 5.375%, 2/1/2025 | 215,000 | 217,150 | ||||||||||
| Constellium NV, 144A, 7.875%, 4/1/2021 | 950,000 | 1,028,375 | ||||||||||
| Eagle Materials, Inc., 4.5%, 8/1/2026 | 300,000 | 305,285 | ||||||||||
| First Quantum Minerals Ltd.: | ||||||||||||
| 144A, 6.75%, 2/15/2020 | 200,000 | 176,000 | ||||||||||
| 144A, 7.0%, 2/15/2021 | 630,000 | 546,525 | ||||||||||
| Freeport-McMoRan, Inc.: | ||||||||||||
| 2.3%, 11/14/2017 | 800,000 | 786,000 | ||||||||||
| 2.375%, 3/15/2018 | 1,990,000 | 1,957,662 | ||||||||||
| Graphic Packaging International, Inc., 4.125%, 8/15/2024 | 790,000 | 797,900 | ||||||||||
| Greif, Inc., 7.75%, 8/1/2019 | 870,000 | 982,012 | ||||||||||
| Hexion, Inc., 6.625%, 4/15/2020 | 190,000 | 164,707 | ||||||||||
| Kaiser Aluminum Corp., 144A, 5.875%, 5/15/2024 | 295,000 | 312,700 | ||||||||||
| Novelis, Inc., 8.75%, 12/15/2020 | 1,820,000 | 1,906,450 | ||||||||||
| Perstorp Holding AB, 144A, 8.75%, 5/15/2017 | 400,000 | 400,000 | ||||||||||
| Plastipak Holdings, Inc., 144A, 6.5%, 10/1/2021 | 390,000 | 405,600 | ||||||||||
| Platform Specialty Products Corp.: | ||||||||||||
| 144A, 6.5%, 2/1/2022 | 235,000 | 222,663 | ||||||||||
| 144A, 10.375%, 5/1/2021 | 200,000 | 210,000 | ||||||||||
| Reynolds Group Issuer, Inc.: | ||||||||||||
| 144A, 5.125%, 7/15/2023 | 625,000 | 648,437 | ||||||||||
| 5.75%, 10/15/2020 | 3,720,000 | 3,836,250 | ||||||||||
| 6.875%, 2/15/2021 | 760,000 | 788,500 | ||||||||||
| 144A, 7.0%, 7/15/2024 | 75,000 | 80,344 | ||||||||||
| Sealed Air Corp.: | ||||||||||||
| 144A, 4.875%, 12/1/2022 | 120,000 | 126,000 | ||||||||||
| 144A, 5.125%, 12/1/2024 | 60,000 | 64,200 | ||||||||||
| Teck Resources Ltd.: | ||||||||||||
| 4.5%, 1/15/2021 | 1,000,000 | 952,500 | ||||||||||
| 144A, 8.0%, 6/1/2021 | 520,000 | 561,275 | ||||||||||
| 144A, 8.5%, 6/1/2024 | 115,000 | 129,375 | ||||||||||
| Tronox Finance LLC: | ||||||||||||
| 6.375%, 8/15/2020 | 275,000 | 248,875 | ||||||||||
| 144A, 7.5%, 3/15/2022 | 250,000 | 224,375 | ||||||||||
| United States Steel Corp., 144A, 8.375%, 7/1/2021 | 805,000 | 875,437 | ||||||||||
| Valvoline, Inc., 144A, 5.5%, 7/15/2024 | 150,000 | 157,425 | ||||||||||
| Volcan Cia Minera SAA, 144A, 5.375%, 2/2/2022 | 1,565,000 | 1,520,006 | ||||||||||
| WR Grace & Co-Conn: | ||||||||||||
| 144A, 5.125%, 10/1/2021 | 105,000 | 111,825 | ||||||||||
| 144A, 5.625%, 10/1/2024 | 55,000 | 59,400 | ||||||||||
| 27,432,507 | ||||||||||||
| Real Estate 2.2% | ||||||||||||
| CyrusOne LP, (REIT), 6.375%, 11/15/2022 | 395,000 | 419,687 | ||||||||||
| Equinix, Inc.: | ||||||||||||
| (REIT), 5.375%, 1/1/2022 | 240,000 | 256,349 | ||||||||||
| (REIT), 5.375%, 4/1/2023 | 995,000 | 1,052,212 | ||||||||||
| (REIT), 5.75%, 1/1/2025 | 180,000 | 192,600 | ||||||||||
| (REIT), 5.875%, 1/15/2026 | 180,000 | 196,087 | ||||||||||
| Iron Mountain, Inc., 144A, (REIT), 4.375%, 6/1/2021 | 220,000 | 227,150 | ||||||||||
| MGM Growth Properties Operating Partnership LP: | ||||||||||||
| 144A, (REIT), 4.5%, 9/1/2026 | 150,000 | 149,906 | ||||||||||
| 144A, (REIT), 5.625%, 5/1/2024 | 380,000 | 412,300 | ||||||||||
| MPT Operating Partnership LP: | ||||||||||||
| (REIT), 5.25%, 8/1/2026 | 70,000 | 74,375 | ||||||||||
| (REIT), 6.375%, 2/15/2022 | 415,000 | 435,231 | ||||||||||
| (REIT), 6.375%, 3/1/2024 | 390,000 | 428,025 | ||||||||||
| VEREIT Operating Partnership LP: | ||||||||||||
| (REIT), 4.125%, 6/1/2021 | 455,000 | 475,475 | ||||||||||
| (REIT), 4.875%, 6/1/2026 | 165,000 | 177,788 | ||||||||||
| 4,497,185 | ||||||||||||
| Telecommunication Services 9.3% | ||||||||||||
| Bharti Airtel International Netherlands BV, 144A, 5.125%, 3/11/2023 | 1,400,000 | 1,538,790 | ||||||||||
| CenturyLink, Inc.: | ||||||||||||
| Series V, 5.625%, 4/1/2020 | 145,000 | 154,425 | ||||||||||
| Series T, 5.8%, 3/15/2022 | 550,000 | 569,030 | ||||||||||
| Series S, 6.45%, 6/15/2021 | 600,000 | 644,625 | ||||||||||
| Series W, 6.75%, 12/1/2023 | 705,000 | 742,012 | ||||||||||
| Series Y, 7.5%, 4/1/2024 | 590,000 | 639,781 | ||||||||||
| CommScope, Inc.: | ||||||||||||
| 144A, 4.375%, 6/15/2020 | 135,000 | 139,725 | ||||||||||
| 144A, 5.0%, 6/15/2021 | 350,000 | 363,125 | ||||||||||
| Digicel Ltd.: | ||||||||||||
| 144A, 6.75%, 3/1/2023 | 390,000 | 355,875 | ||||||||||
| 144A, 7.0%, 2/15/2020 | 200,000 | 194,000 | ||||||||||
| Frontier Communications Corp.: | ||||||||||||
| 6.25%, 9/15/2021 | 160,000 | 156,051 | ||||||||||
| 7.125%, 1/15/2023 | 870,000 | 819,975 | ||||||||||
| 8.5%, 4/15/2020 | 130,000 | 140,238 | ||||||||||
| 10.5%, 9/15/2022 | 730,000 | 794,331 | ||||||||||
| 11.0%, 9/15/2025 | 200,000 | 216,000 | ||||||||||
| Hughes Satellite Systems Corp., 7.625%, 6/15/2021 | 335,000 | 357,613 | ||||||||||
| Intelsat Jackson Holdings SA, 144A, 8.0%, 2/15/2024 | 725,000 | 727,719 | ||||||||||
| Level 3 Financing, Inc.: | ||||||||||||
| 144A, 5.25%, 3/15/2026 | 270,000 | 279,788 | ||||||||||
| 5.375%, 8/15/2022 | 750,000 | 783,862 | ||||||||||
| 5.375%, 1/15/2024 | 210,000 | 220,238 | ||||||||||
| 5.375%, 5/1/2025 | 225,000 | 236,250 | ||||||||||
| 6.125%, 1/15/2021 | 230,000 | 238,625 | ||||||||||
| Millicom International Cellular SA, 144A, 6.0%, 3/15/2025 | 500,000 | 511,875 | ||||||||||
| Sprint Communications, Inc.: | ||||||||||||
| 144A, 7.0%, 3/1/2020 | 320,000 | 343,200 | ||||||||||
| 7.0%, 8/15/2020 | 2,000,000 | 1,970,000 | ||||||||||
| Sprint Corp., 7.125%, 6/15/2024 | 1,325,000 | 1,235,562 | ||||||||||
| T-Mobile U.S.A., Inc.: | ||||||||||||
| 6.0%, 4/15/2024 | 1,075,000 | 1,144,875 | ||||||||||
| 6.125%, 1/15/2022 | 155,000 | 163,525 | ||||||||||
| 6.375%, 3/1/2025 | 542,000 | 582,650 | ||||||||||
| 6.5%, 1/15/2026 | 20,000 | 21,888 | ||||||||||
| 6.625%, 11/15/2020 | 600,000 | 619,500 | ||||||||||
| Wind Acquisition Finance SA, 144A, 6.5%, 4/30/2020 | 290,000 | 303,595 | ||||||||||
| Windstream Services LLC: | ||||||||||||
| 7.75%, 10/15/2020 | 290,000 | 295,800 | ||||||||||
| 7.75%, 10/1/2021 | 500,000 | 498,750 | ||||||||||
| Zayo Group LLC: | ||||||||||||
| 6.0%, 4/1/2023 | 590,000 | 613,600 | ||||||||||
| 6.375%, 5/15/2025 | 500,000 | 527,605 | ||||||||||
| 19,144,503 | ||||||||||||
| Utilities 2.2% | ||||||||||||
| Calpine Corp.: | ||||||||||||
| 5.375%, 1/15/2023 | 290,000 | 290,180 | ||||||||||
| 5.75%, 1/15/2025 | 290,000 | 288,912 | ||||||||||
| Dynegy, Inc.: | ||||||||||||
| 7.375%, 11/1/2022 | 275,000 | 271,562 | ||||||||||
| 7.625%, 11/1/2024 | 485,000 | 475,300 | ||||||||||
| NGL Energy Partners LP, 5.125%, 7/15/2019 | 245,000 | 229,688 | ||||||||||
| NRG Energy, Inc.: | ||||||||||||
| 6.25%, 7/15/2022 | 1,000,000 | 1,021,250 | ||||||||||
| 6.25%, 5/1/2024 | 1,050,000 | 1,042,125 | ||||||||||
| 144A, 6.625%, 1/15/2027 | 165,000 | 165,309 | ||||||||||
| 144A, 7.25%, 5/15/2026 | 570,000 | 591,945 | ||||||||||
| 7.875%, 5/15/2021 | 76,000 | 79,230 | ||||||||||
| NRG Yield Operating LLC, 144A, 5.0%, 9/15/2026 | 70,000 | 69,825 | ||||||||||
| Talen Energy Supply LLC, 144A, 4.625%, 7/15/2019 | 125,000 | 117,500 | ||||||||||
| 4,642,826 | ||||||||||||
| Total Corporate Bonds (Cost $171,426,966) | 177,173,056 | |||||||||||
| Asset-Backed 3.6% | ||||||||||||
| Miscellaneous | ||||||||||||
| Apidos CLO XXI, "C", Series 2015-21A, 144A, 4.183% **, 7/18/2027 | 1,125,000 | 1,070,047 | ||||||||||
| Babson CLO Ltd., "D", Series 2015-2A, 144A, 4.434% **, 7/20/2027 | 2,000,000 | 1,958,786 | ||||||||||
| Cumberland Park CLO Ltd., "D", Series 2015-2A, 144A, 4.034% **, 7/20/2026 | 1,500,000 | 1,421,450 | ||||||||||
| Marea CLO Ltd., "DR", Series 2012-1A, 144A, 4.378% **, 10/15/2023 | 1,500,000 | 1,476,217 | ||||||||||
| Neuberger Berman CLO XVIII Ltd., "C", Series 2014-18A, 144A, 4.376% **, 11/14/2025 | 1,500,000 | 1,457,573 | ||||||||||
| Total Asset-Backed (Cost $7,449,233) | 7,384,073 | |||||||||||
| Collateralized Mortgage Obligation 0.4% | ||||||||||||
| Federal National Mortgage Association, "PZ", Series 2010-129, 4.5%, 11/25/2040 (Cost $865,759) | 827,342 | 867,926 | ||||||||||
| Government & Agency Obligations 7.0% | ||||||||||||
| Other Government Related (b) 0.5% | ||||||||||||
| VTB Bank OJSC, 144A, 6.315%, 2/22/2018 | 985,000 | 1,033,107 | ||||||||||
| Sovereign Bonds 6.5% | ||||||||||||
| Dominican Republic, 144A, 6.875%, 1/29/2026 | 300,000 | 346,500 | ||||||||||
| KazAgro National Management Holding JSC, 144A, 4.625%, 5/24/2023 | 1,250,000 | 1,193,750 | ||||||||||
| Perusahaan Penerbit SBSN, 144A, 4.325%, 5/28/2025 | 700,000 | 745,248 | ||||||||||
| Republic of Argentina-Inflation Linked Bond, 5.83%, 12/31/2033 | ARS | 654 | 290 | |||||||||
| Republic of Armenia, 144A, 7.15%, 3/26/2025 | 500,000 | 537,735 | ||||||||||
| Republic of Costa Rica, 144A, 7.158%, 3/12/2045 | 400,000 | 442,000 | ||||||||||
| Republic of Hungary, Series 19/A, 6.5%, 6/24/2019 | HUF | 51,600,000 | 211,956 | |||||||||
| Republic of Panama: | ||||||||||||
| 3.75%, 3/16/2025 | 1,030,000 | 1,114,975 | ||||||||||
| 9.375%, 1/16/2023 | 2,610,000 | 3,497,400 | ||||||||||
| Republic of Paraguay, 144A, 6.1%, 8/11/2044 | 200,000 | 230,000 | ||||||||||
| Republic of Slovenia, 144A, 5.5%, 10/26/2022 | 2,200,000 | 2,542,021 | ||||||||||
| Republic of Sri Lanka, 144A, 5.125%, 4/11/2019 | 1,000,000 | 1,012,501 | ||||||||||
| Republic of Uruguay, 5.1%, 6/18/2050 | 120,000 | 126,600 | ||||||||||
| United Mexican States: | ||||||||||||
| 3.6%, 1/30/2025 | 375,000 | 397,500 | ||||||||||
| 4.6%, 1/23/2046 | 800,000 | 865,000 | ||||||||||
| ZAR Sovereign Capital Fund Propriety Ltd., 144A, 3.903%, 6/24/2020 | 185,000 | 189,200 | ||||||||||
| 13,452,676 | ||||||||||||
| Total Government & Agency Obligations (Cost $13,727,169) | 14,485,783 | |||||||||||
| Loan Participations and Assignments 39.8% | ||||||||||||
| Senior Loans ** | ||||||||||||
| Consumer Discretionary 10.5% | ||||||||||||
| 1011778 B.C. Unlimited Liability Co., Term Loan B2, 3.75%, 12/10/2021 | 1,544,145 | 1,552,468 | ||||||||||
| Altice U.S. Finance I Corp., Term Loan, 4.25%, 12/14/2022 | 1,490,901 | 1,499,906 | ||||||||||
| Atlantic Broadband Finance LLC, Term Loan B, 3.25%, 11/30/2019 | 3,508,271 | 3,519,252 | ||||||||||
| Avis Budget Car Rental LLC, Term Loan, 3.25%, 3/15/2022 | 1,322,412 | 1,329,579 | ||||||||||
| Goodyear Tire & Rubber Co., Second Lien Term Loan, 3.75%, 4/30/2019 | 1,760,000 | 1,766,380 | ||||||||||
| Hilton Worldwide Finance LLC: | ||||||||||||
| Term Loan B2, 3.283%, 10/26/2023 | 2,914,900 | 2,933,482 | ||||||||||
| Term Loan B1, 3.5%, 10/26/2020 | 284,426 | 285,760 | ||||||||||
| Quebecor Media, Inc., Term Loan B1, 3.317%, 8/17/2020 | 3,209,121 | 3,200,440 | ||||||||||
| Seminole Tribe of Florida, Term Loan, 3.0%, 4/29/2020 | 3,043,650 | 3,055,825 | ||||||||||
| Visteon Corp., Term Delay Draw B, 3.5%, 4/9/2021 | 2,500,000 | 2,510,163 | ||||||||||
| 21,653,255 | ||||||||||||
| Consumer Staples 2.7% | ||||||||||||
| Albertson's LLC, Term Loan B6, 4.75%, 6/22/2023 | 1,859,796 | 1,872,973 | ||||||||||
| Pinnacle Foods Finance LLC: | ||||||||||||
| Term Loan H, 3.25%, 4/29/2020 | 2,521,658 | 2,531,984 | ||||||||||
| Term Loan G, 3.252%, 4/29/2020 | 1,136,077 | 1,141,048 | ||||||||||
| 5,546,005 | ||||||||||||
| Energy 0.6% | ||||||||||||
| MEG Energy Corp., Term Loan, 3.75%, 3/31/2020 | 1,273,376 | 1,176,676 | ||||||||||
| Financials 0.8% | ||||||||||||
| Delos Finance Sarl, Term Loan B, 3.5%, 3/6/2021 | 1,575,000 | 1,582,733 | ||||||||||
| Health Care 4.8% | ||||||||||||
| AmSurg Corp., First Lien Term Loan B, 3.5%, 7/16/2021 | 788,900 | 790,655 | ||||||||||
| Community Health Systems, Inc.: | ||||||||||||
| Term Loan G, 3.75%, 12/31/2019 | 278,832 | 268,829 | ||||||||||
| Term Loan H, 4.0%, 1/27/2021 | 513,044 | 493,712 | ||||||||||
| Convatec, Inc., Term Loan, 4.25%, 6/15/2020 | 2,460,740 | 2,473,659 | ||||||||||
| DaVita HealthCare Partners, Inc., Term Loan B, 3.5%, 6/24/2021 | 3,923,920 | 3,956,783 | ||||||||||
| Valeant Pharmaceuticals International, Inc.: | ||||||||||||
| Term Loan B, 5.0%, 2/13/2019 | 1,055,622 | 1,055,949 | ||||||||||
| Term Loan B, 5.25%, 12/11/2019 | 984,897 | 987,768 | ||||||||||
| 10,027,355 | ||||||||||||
| Industrials 7.6% | ||||||||||||
| BE Aerospace, Inc., Term Loan B, 3.753%, 12/16/2021 | 3,344,364 | 3,382,005 | ||||||||||
| Ply Gem Industries, Inc., Term Loan, 4.0%, 2/1/2021 | 2,953,249 | 2,962,478 | ||||||||||
| Quikrete Holdings, Inc., First Lien Term Loan, 4.0%, 9/28/2020 | 3,000,000 | 3,014,310 | ||||||||||
| Sabre, Inc., Term Loan B, 4.0%, 2/19/2019 | 1,646,282 | 1,654,719 | ||||||||||
| TransDigm, Inc., Term Loan F, 3.75%, 6/9/2023 | 1,778,532 | 1,776,309 | ||||||||||
| Waste Industries U.S.A., Inc., Term Loan, 3.5%, 2/27/2020 | 2,977,387 | 2,989,952 | ||||||||||
| 15,779,773 | ||||||||||||
| Information Technology 1.4% | ||||||||||||
| First Data Corp., Term Loan, 4.522%, 3/24/2021 | 2,859,345 | 2,877,402 | ||||||||||
| Materials 5.3% | ||||||||||||
| American Rock Salt Holdings LLC, First Lien Term Loan, 4.75%, 5/20/2021 | 2,709,700 | 2,587,764 | ||||||||||
| Axalta Coating Systems U.S. Holdings, Inc., Term Loan, 3.75%, 2/1/2020 | 1,600,515 | 1,610,518 | ||||||||||
| Berry Plastics Holding Corp.: | ||||||||||||
| Term Loan D, 3.5%, 2/8/2020 | 2,909,774 | 2,909,323 | ||||||||||
| Term Loan G, 3.5%, 1/6/2021 | 1,098,075 | 1,097,822 | ||||||||||
| MacDermid, Inc.: | ||||||||||||
| First Lien Term Loan, 5.5%, 6/7/2020 | 800,250 | 801,379 | ||||||||||
| Term Loan B2, 5.5%, 6/7/2020 | 1,259,023 | 1,260,206 | ||||||||||
| PolyOne Corp., Term Loan B, 3.5%, 11/11/2022 | 582,079 | 586,444 | ||||||||||
| 10,853,456 | ||||||||||||
| Telecommunication Services 1.1% | ||||||||||||
| DigitalGlobe, Inc., Term Loan B, 4.75%, 1/31/2020 | 53,213 | 53,728 | ||||||||||
| Level 3 Financing, Inc.: | ||||||||||||
| Term Loan B2, 3.5%, 5/31/2022 | 620,000 | 623,875 | ||||||||||
| Term Loan B, 4.0%, 1/15/2020 | 1,670,000 | 1,681,273 | ||||||||||
| 2,358,876 | ||||||||||||
| Utilities 5.0% | ||||||||||||
| Calpine Corp., Term Loan B5, 3.5%, 5/27/2022 | 6,281,550 | 6,295,526 | ||||||||||
| NRG Energy, Inc., Term Loan B, 3.5%, 6/30/2023 | 3,955,983 | 3,956,280 | ||||||||||
| 10,251,806 | ||||||||||||
| Total Loan Participations and Assignments (Cost $82,056,108) | 82,107,337 | |||||||||||
| Convertible Bond 0.2% | ||||||||||||
| Materials | ||||||||||||
|
GEO Specialty Chemicals, Inc., 144A, 7.5% Cash, 7.5% PIK, 10/30/2018 (Cost $450,015) |
453,346 | 467,808 | ||||||||||
| Preferred Security 0.3% | ||||||||||||
| Materials | ||||||||||||
| Hercules, Inc., 6.5%, 6/30/2029 (Cost $472,210) | 675,000 | 595,687 | ||||||||||
| Shares | Value ($) | |||||||||||
| Common Stocks 0.0% | ||||||||||||
| Consumer Discretionary 0.0% | ||||||||||||
| Dawn Holdings, Inc.* (c) | 7 | 29,017 | ||||||||||
| Industrials 0.0% | ||||||||||||
| Congoleum Corp.* | 7,900 | 0 | ||||||||||
| Quad Graphics, Inc. | 121 | 3,278 | ||||||||||
| 3,278 | ||||||||||||
| Materials 0.0% | ||||||||||||
| GEO Specialty Chemicals, Inc.* | 46,639 | 18,473 | ||||||||||
| GEO Specialty Chemicals, Inc. 144A* | 649 | 257 | ||||||||||
| 18,730 | ||||||||||||
| Total Common Stocks (Cost $114,610) | 51,025 | |||||||||||
| Warrant 0.0% | ||||||||||||
| Materials | ||||||||||||
| Hercules Trust II, Expiration Date 3/31/2029* (Cost $87,876) | 400 | 2,658 | ||||||||||
| Cash Equivalents 2.2% | ||||||||||||
| Deutsche Central Cash Management Government Fund, 0.38% (d) (Cost $4,501,338) | 4,501,338 | 4,501,338 | ||||||||||
| % of Net Assets |
Value ($) | |||||||||||
| Total Investment Portfolio (Cost $281,151,284) † | 139.3 | 287,636,691 | ||||||||||
| Other Assets and Liabilities, Net | 1.4 | 2,814,224 | ||||||||||
| Notes Payable | (40.7) | (84,000,000) | ||||||||||
| Net Assets | 100.0 | 206,450,915 | ||||||||||
| For information on the Fund's policies regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual or annual financial statements. | |
| ** | Floating rate securities’ yields vary with a designated market index or market rate, such as the coupon-equivalent of the U.S. Treasury Bill rate. These securities are shown at their current rate as of August 31, 2016. |
| † | The cost for federal income tax purposes was $281,993,072. At August 31, 2016, net unrealized appreciation for all securities based on tax cost was $5,643,619. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $8,195,124 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $2,551,505. |
| (a) | Principal amount stated in U.S. dollars unless otherwise noted. |
| (b) | Government-backed debt issued by financial companies or government sponsored enterprises. |
| (c) | The Fund may purchase securities that are subject to legal or contractual restrictions on resale ("restricted securities"). Restricted securities are securities which have not been registered with the Securities and Exchange Commission under the Securities Act of 1933. The Fund may be unable to sell a restricted security and it may be more difficult to determine a market value for a restricted security. Moreover, if adverse market conditions were to develop during the period between the Fund's decision to sell a restricted security and the point at which the Fund is permitted or able to sell such security, the Fund might obtain a price less favorable than the price that prevailed when it decided to sell. This investment practice, therefore, could have the effect of increasing the level of illiquidity of the Fund. The future value of these securities is uncertain and there may be changes in the estimated value of these securities. |
| Schedule of Restricted Securities | Acquisition Date | Cost ($) | Value ($) | Value as % of Net Assets | ||||||||||
| Dawn Holdings, Inc.* | August 2013 | 26,381 | 29,017 | .01 | ||||||||||
| (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. | |
| CLO: Collateralized Loan Obligation | |
| JSC: Joint State Company | |
| MSCI: Morgan Stanley Capital International | |
| OJSC: Open Joint Stock Company | |
| PIK: Denotes that all or a portion of the income is paid in-kind in the form of additional principal. | |
| REIT: Real Estate Investment Trust | |
| SBSN: Surat Berharga Syariah Negara (Islamic Based Government Securities) | |
| Currency Abbreviations | |||
| ARS | Argentine Peso | ||
| HUF | Hungarian Forint | ||
Fair Value Measurements
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of August 31, 2016 in valuing the Fund's investments.
| Assets | Level 1 | Level 2 | Level 3 | Total | |||||
| Fixed Income Investments (e) | |||||||||
| Corporate Bonds | $ | — | $ | 177,173,056 | $ | — | $ | 177,173,056 | |
| Asset-Backed | — | 7,384,073 | — | 7,384,073 | |||||
| Collateralized Mortgage Obligation | — | 867,926 | — | 867,926 | |||||
| Government & Agency Obligations | — | 14,485,783 | — | 14,485,783 | |||||
| Loan Participations and Assignments | — | 82,107,337 | — | 82,107,337 | |||||
| Convertible Bond | — | — | 467,808 | 467,808 | |||||
| Preferred Security | — | 595,687 | — | 595,687 | |||||
| Common Stocks (e) | 3,278 | — | 47,747 | 51,025 | |||||
| Warrant | — | — | 2,658 | 2,658 | |||||
| Short-Term Investments | 4,501,338 | — | — | 4,501,338 | |||||
| Total | $ | 4,504,616 | $ | 282,613,862 | $ | 518,213 | $ | 287,636,691 | |
| There have been no transfers between fair value measurement levels during the period ended August 31, 2016. | |
| (e) | See Investment Portfolio for additional detailed categorizations. |
| ITEM 2. | CONTROLS AND PROCEDURES |
| (a) The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report. | |
| (b) There have been no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting. | |
| ITEM 3. | EXHIBITS |
| Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| Registrant: | Deutsche Multi-Market Income Trust |
| By: |
/s/Brian E. Binder Brian E. Binder President |
| Date: | October 21, 2016 |
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/Brian E. Binder Brian E. Binder President |
| Date: | October 21, 2016 |
| By: |
/s/Paul Schubert Paul Schubert Chief Financial Officer and Treasurer |
| Date: | October 21, 2016 |
CERTIFICATIONS
I, Brian E. Binder, certify that:
| 1. | I have reviewed this report on Form N-Q of Deutsche Multi-Market Income Trust; |
| 2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
| 3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
| 4. | The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
| (a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
| (b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
| (c) | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
| (d) | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
| 5. | The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
| (a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and |
| (b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
| By: |
/s/Brian E. Binder Brian E. Binder President |
| Date: | October 21, 2016 |
CERTIFICATIONS
I, Paul Schubert, certify that:
| 1. | I have reviewed this report on Form N-Q of Deutsche Multi-Market Income Trust; |
| 2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
| 3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
| 4. | The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
| (a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
| (b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
| (c) | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
| (d) | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
| 5. | The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
| (a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and |
| (b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
| By: |
/s/Paul Schubert Paul Schubert Chief Financial Officer and Treasurer |
| Date: | October 21, 2016 |