Amended filing to include items 1 and 9, which were inadvertently omitted.
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) 454-7190
Paul Schubert
345 Park Avenue
New York, NY 10154-0004
(Name and Address of Agent for Service)
Date of fiscal year end: | 11/30 |
Date of reporting period: | 5/31/2010 |
ITEM 1. | REPORT TO STOCKHOLDERS |
| |
MAY 31, 2010 Semiannual Report
to Shareholders |
|
DWS Multi-Market Income Trust Ticker Symbol: KMM |
 |
Contents
4 Performance Summary 6 Portfolio Summary 8 Investment Portfolio 24 Statement of Assets and Liabilities 25 Statement of Operations 26 Statement of Cash Flows 27 Statement of Changes in Net Assets 28 Financial Highlights 30 Notes to Financial Statements 38 Other Information 39 Shareholder Meeting Results 40 Dividend Reinvestment Plan 42 Additional Information 43 Privacy Statement |
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 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 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 Deutsche Bank's Asset Management division and, within the US, represents the retail asset management activities of Deutsche Bank AG, Deutsche Bank Trust Company Americas, Deutsche Investment Management Americas Inc. and DWS Trust Company.
NOT FDIC/NCUA INSURED NO BANK GUARANTEE MAY LOSE VALUE NOT A DEPOSIT NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY
Performance Summary May 31, 2010
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.
Returns and rankings based on net asset value for the 3-year, 5-year and 10-year periods shown reflect fee reductions. Without these fee reductions, returns and rankings would have been lower.
Average Annual Total Returns as of 5/31/10 |
DWS Multi-Market Income Trust | 6-Month‡ | 1-Year | 3-Year | 5-Year | 10-Year |
Based on Net Asset Value(a) | 6.59% | 27.85% | 6.80% | 8.66% | 10.46% |
Based on Market Price(a) | 8.77% | 40.49% | 4.86% | 5.57% | 10.82% |
Credit Suisse High Yield Index(b) | 6.49% | 29.96% | 4.73% | 6.91% | 7.77% |
Lipper Closed-End General Bond Funds Category(c) | 6.17% | 29.84% | 4.02% | 5.14% | 8.24% |
Sources: Lipper Inc. and Deutsche Investment Management Americas Inc.
‡ 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 value. 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.
(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, unlike fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.
(c) Lipper's Closed-End General Bond Funds Category represents funds that have no quality or maturity restrictions, can use leverage and tend to invest in lower-grade debt issues. Lipper figures represent the average of the total returns based on net asset value reported by all of the closed-end funds designated by Lipper Inc. as falling into the Closed-End General Bond Funds Category. Category returns, unlike fund returns, do not reflect any fees or expenses. It is not possible to invest directly into a Lipper category.
Net Asset Value and Market Price |
| As of 5/31/10 | As of 11/30/09 |
Net Asset Value | $ 9.15 | $ 8.99 |
Market Price | $ 8.60 | $ 8.28 |
Prices and net asset value fluctuate and are not guaranteed.
Distribution Information |
Six Months as of 5/31/10: Income Dividends | $ .42 |
May Income Dividend | $ .07 |
Current Annualized Distribution Rate (based on Net Asset Value) as of 5/31/10+ | 9.18% |
Current Annualized Distribution Rate (based on Market Price) as of 5/31/10+ | 9.77% |
+ Current annualized distribution rate is the latest monthly dividend shown as an annualized percentage of net asset value/market price on May 31, 2010. 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.
Lipper Rankings — Closed-End General Bond Funds Category as of 5/31/10 |
Period | Rank | | Number of Funds Tracked | Percentile Ranking (%) |
1-Year | 5 | of | 11 | 42 |
3-Year | 6 | of | 10 | 55 |
5-Year | 2 | of | 9 | 20 |
10-Year | 2 | of | 6 | 29 |
Source: Lipper Inc. Rankings are historical and do not guarantee future results. Rankings are based on net asset value total return with distributions reinvested.
Portfolio Summary
Asset Allocation (As a % of Investment Portfolio excluding Securities Lending Collateral) | 5/31/10 | 11/30/09 |
| | |
Corporate Bonds | 81% | 79% |
Government & Agency Obligations | 10% | 13% |
Loan Participations and Assignments | 7% | 7% |
Cash Equivalents | 2% | 1% |
| 100% | 100% |
Sector Diversification (Excludes Cash Equivalents and Securities Lending Collateral) | 5/31/10 | 11/30/09 |
| | |
Financials | 18% | 17% |
Consumer Discretionary | 13% | 13% |
Materials | 12% | 12% |
Energy | 10% | 10% |
Emerging Market Sovereign Bonds | 10% | 13% |
Telecommunication Services | 10% | 9% |
Health Care | 8% | 6% |
Industrials | 7% | 7% |
Utilities | 5% | 6% |
Consumer Staples | 4% | 4% |
Information Technology | 3% | 3% |
| 100% | 100% |
Quality (Excludes Cash Equivalents and Securities Lending Collateral) | 5/31/10 | 11/30/09 |
| | |
A | 1% | 4% |
BBB | 9% | 8% |
BB | 28% | 32% |
B | 48% | 36% |
Below B | 12% | 18% |
Not Rated | 2% | 2% |
| 100% | 100% |
Asset allocation, sector diversification and quality are subject to change.
The quality ratings represent the lower of Moody's Investors Service, Inc. ("Moody's") or Standard & Poor's Corporation ("S&P") credit ratings. The ratings of Moody's and S&P represent their opinions as to the quality of the securities they rate. Ratings are relative and subjective and are not absolute standards of quality. The Fund's credit quality does not remove market risk.
Interest Rate Sensitivity | 5/31/10 | 11/30/09 |
| | |
Effective Maturity | 8.5 years | 8.3 years |
Effective Duration | 5.5 years | 5.3 years |
Effective maturity is the weighted average of the bonds held by the Fund taking into consideration any maturity shortening features.
Effective duration is the measurable change in the value of a security in response to a change in interest rates.
Interest rate sensitivity is subject to change.
For more complete details about the Fund's investment portfolio, see page 8. A quarterly Fact Sheet is available upon request. Please see the Additional Information section for contact information.
Following the Fund's fiscal first and third quarter-end, a complete portfolio holdings listing is filed with the SEC on Form N-Q. The 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. A complete list of the Fund's portfolio holdings as of the month-end is posted on www.dws-investments.com on or about 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 Portfolio as May 31, 2010 (Unaudited)
| Principal Amount ($) (a) | Value ($) |
| |
Corporate Bonds 111.0% |
Consumer Discretionary 14.2% |
AMC Entertainment, Inc.: |
| 8.0%, 3/1/2014 | | 355,000 | 351,450 |
| 8.75%, 6/1/2019 | | 735,000 | 742,350 |
American Achievement Corp., 144A, 8.25%, 4/1/2012 | | 110,000 | 108,625 |
Ameristar Casinos, Inc., 9.25%, 6/1/2014 | | 420,000 | 430,500 |
Arcos Dorados BV, 144A, 7.5%, 10/1/2019 | | 230,000 | 234,600 |
ArvinMeritor, Inc., 10.625%, 3/15/2018 | | 225,000 | 230,625 |
Asbury Automotive Group, Inc.: |
| 7.625%, 3/15/2017 | | 255,000 | 237,150 |
| 8.0%, 3/15/2014 | | 165,000 | 162,525 |
Ashtead Holdings PLC, 144A, 8.625%, 8/1/2015 | | 315,000 | 311,850 |
AutoNation, Inc., 6.75%, 4/15/2018 | | 1,440,000 | 1,411,200 |
Avis Budget Car Rental LLC, 144A, 9.625%, 3/15/2018 | | 160,000 | 160,000 |
Brunswick Corp., 144A, 11.25%, 11/1/2016 | | 275,000 | 308,000 |
Cablevision Systems Corp.: |
| 7.75%, 4/15/2018 | | 85,000 | 83,088 |
| 8.0%, 4/15/2020 | | 85,000 | 83,725 |
CanWest MediaWorks LP, 144A, 9.25%, 8/1/2015** | | 205,000 | 55,350 |
Carlson Wagonlit BV, 144A, 6.413%***, 5/1/2015 | EUR | 100,000 | 108,603 |
Carrols Corp., 9.0%, 1/15/2013 | | 130,000 | 128,375 |
CCO Holdings LLC: |
| 144A, 7.875%, 4/30/2018 | | 140,000 | 137,375 |
| 144A, 8.125%, 4/30/2020 | | 95,000 | 94,050 |
Cequel Communications Holdings I LLC, 144A, 8.625%, 11/15/2017 | | 1,560,000 | 1,505,400 |
Clear Channel Worldwide Holdings, Inc.: |
| Series A, 144A, 9.25%, 12/15/2017 | | 115,000 | 116,438 |
| Series B, 144A, 9.25%, 12/15/2017 | | 175,000 | 178,063 |
Cooper-Standard Automotive, Inc., 144A, 8.5%, 5/1/2018 | | 95,000 | 93,575 |
CSC Holdings LLC, 144A, 8.5%, 6/15/2015 | | 1,250,000 | 1,293,750 |
DISH DBS Corp.: |
| 6.625%, 10/1/2014 | | 355,000 | 349,675 |
| 7.125%, 2/1/2016 | | 345,000 | 338,100 |
Dollarama Group Holdings LP, 7.206%***, 8/15/2012 (b) | | 216,000 | 214,920 |
Easton-Bell Sports, Inc., 144A, 9.75%, 12/1/2016 | | 80,000 | 82,600 |
Fontainebleau Las Vegas Holdings LLC, 144A, 11.0%, 6/15/2015** | | 290,000 | 3,263 |
Ford Motor Co., 7.45%, 7/16/2031 | | 260,000 | 231,400 |
Games Merger Corp., 144A, 11.0%, 6/1/2018 (c) | | 100,000 | 98,500 |
GameStop Corp., 8.0%, 10/1/2012 | | 545,000 | 558,625 |
Gannett Co., Inc.: |
| 144A, 8.75%, 11/15/2014 | | 160,000 | 168,000 |
| 144A, 9.375%, 11/15/2017 | | 320,000 | 335,200 |
Goodyear Tire & Rubber Co., 10.5%, 5/15/2016 | | 160,000 | 169,600 |
Gray Television, Inc., 144A, 10.5%, 6/29/2015 | | 215,000 | 203,175 |
Great Canadian Gaming Corp., 144A, 7.25%, 2/15/2015 | | 220,000 | 211,750 |
Group 1 Automotive, Inc., 144A, 3.0%, 3/15/2020 | | 235,000 | 207,681 |
Hanesbrands, Inc., 8.0%, 12/15/2016 | | 165,000 | 167,475 |
Harrah's Operating Co., Inc.: |
| 11.25%, 6/1/2017 | | 1,745,000 | 1,827,887 |
| 144A, 12.75%, 4/15/2018 (d) | | 190,000 | 175,750 |
Hertz Corp., 8.875%, 1/1/2014 | | 960,000 | 964,800 |
Isle of Capri Casinos, Inc., 7.0%, 3/1/2014 | | 375,000 | 323,906 |
Kabel Deutschland GmbH, 10.625%, 7/1/2014 | | 255,000 | 263,287 |
Lear Corp.: |
| 7.875%, 3/15/2018 | | 145,000 | 141,375 |
| 8.125%, 3/15/2020 | | 150,000 | 146,625 |
Levi Strauss & Co., 144A, 7.625%, 5/15/2020 | | 480,000 | 468,000 |
Libbey Glass, Inc., 144A, 10.0%, 2/15/2015 | | 95,000 | 98,563 |
Limited Brands, Inc., 7.0%, 5/1/2020 | | 230,000 | 228,850 |
Macy's Retail Holdings, Inc., 8.375%, 7/15/2015 | | 60,000 | 66,150 |
Mediacom Broadband LLC, 8.5%, 10/15/2015 | | 235,000 | 233,238 |
Mediacom LLC, 144A, 9.125%, 8/15/2019 | | 220,000 | 217,800 |
MGM MIRAGE: |
| 144A, 9.0%, 3/15/2020 | | 590,000 | 591,475 |
| 144A, 10.375%, 5/15/2014 | | 275,000 | 292,187 |
| 144A, 11.125%, 11/15/2017 | | 345,000 | 373,462 |
Michaels Stores, Inc., Step-up Coupon, 0% to 11/1/2011, 13.0% to 11/1/2016 | | 95,000 | 84,075 |
Netflix, Inc., 8.5%, 11/15/2017 | | 165,000 | 170,363 |
Nexstar Broadcasting, Inc., 144A, 8.875%, 4/15/2017 | | 190,000 | 188,100 |
Norcraft Companies LP, 144A, 10.5%, 12/15/2015 | | 620,000 | 651,000 |
Norcraft Holdings LP, 9.75%, 9/1/2012 | | 309,000 | 281,576 |
Penn National Gaming, Inc., 144A, 8.75%, 8/15/2019 | | 145,000 | 147,175 |
Penske Automotive Group, Inc., 7.75%, 12/15/2016 | | 985,000 | 928,362 |
Phillips-Van Heusen Corp., 7.375%, 5/15/2020 | | 300,000 | 301,500 |
Pinnacle Entertainment, Inc.: |
| 7.5%, 6/15/2015 | | 200,000 | 186,000 |
| 144A, 8.625%, 8/1/2017 | | 260,000 | 262,600 |
Sabre Holdings Corp., 8.35%, 3/15/2016 | | 610,000 | 561,200 |
Seminole Indian Tribe of Florida, 144A, 7.804%, 10/1/2020 | | 570,000 | 518,763 |
Simmons Bedding Co., 144A, 11.25%, 7/15/2015 | | 190,000 | 201,875 |
Simmons Co., 10.0%, 12/15/2014** | | 820,000 | 15,375 |
Sirius XM Radio, Inc., 144A, 8.75%, 4/1/2015 | | 425,000 | 412,250 |
Sonic Automotive, Inc., Series B, 9.0%, 3/15/2018 | | 350,000 | 352,625 |
Standard Pacific Corp.: |
| 8.375%, 5/15/2018 | | 35,000 | 33,513 |
| 10.75%, 9/15/2016 | | 300,000 | 325,500 |
Toys "R" Us, Inc., 7.375%, 10/15/2018 | | 330,000 | 312,675 |
Travelport LLC: |
| 4.877%***, 9/1/2014 | | 185,000 | 172,050 |
| 9.875%, 9/1/2014 | | 440,000 | 438,900 |
| 11.875%, 9/1/2016 | | 270,000 | 272,025 |
Trump Entertainment Resorts, Inc., 8.5%, 6/1/2015** | | 75,000 | 281 |
United Components, Inc., 9.375%, 6/15/2013 | | 45,000 | 44,775 |
Unitymedia GmbH, 144A, 9.625%, 12/1/2019 | EUR | 610,000 | 756,047 |
Unitymedia Hessen GmbH & Co., KG, 144A, 8.125%, 12/1/2017 | | 585,000 | 573,300 |
UPC Holding BV: |
| 144A, 7.75%, 1/15/2014 | EUR | 1,625,000 | 1,954,237 |
| 144A, 8.0%, 11/1/2016 | EUR | 655,000 | 771,632 |
Vertis, Inc., 13.5%, 4/1/2014 (PIK) | | 105,495 | 45,363 |
Videotron Ltd.: |
| 6.875%, 1/15/2014 | | 60,000 | 59,700 |
| 9.125%, 4/15/2018 | | 310,000 | 331,700 |
WMG Acquisition Corp., 144A, 9.5%, 6/15/2016 | | 300,000 | 310,500 |
Wynn Las Vegas LLC, 144A, 7.875%, 11/1/2017 | | 950,000 | 940,500 |
Young Broadcasting, Inc., 8.75%, 1/15/2014** | | 1,245,000 | 2,490 |
Ziggo Bond Co., BV, 144A, 8.0%, 5/15/2018 | EUR | 420,000 | 499,941 |
| 31,427,954 |
Consumer Staples 4.8% |
Alliance One International, Inc., 144A, 10.0%, 7/15/2016 | | 510,000 | 520,200 |
B&G Foods, Inc., 7.625%, 1/15/2018 | | 260,000 | 259,350 |
Central Garden & Pet Co., 8.25%, 3/1/2018 | | 280,000 | 277,200 |
Constellation Brands, Inc., 8.375%, 12/15/2014 | | 810,000 | 842,400 |
Cott Beverages, Inc., 144A, 8.375%, 11/15/2017 | | 165,000 | 166,650 |
Del Monte Corp., 144A, 7.5%, 10/15/2019 | | 1,560,000 | 1,587,300 |
Dole Food Co., Inc., 144A, 8.0%, 10/1/2016 | | 225,000 | 225,562 |
FAGE Dairy Industry SA, 144A, 9.875%, 2/1/2020 | | 330,000 | 292,462 |
General Nutrition Centers, Inc., 5.75%***, 3/15/2014 (PIK) | | 240,000 | 220,200 |
Kraft Foods, Inc., 5.375%, 2/10/2020 | | 2,570,000 | 2,669,079 |
North Atlantic Trading Co., 144A, 10.0%, 3/1/2012 | | 975,000 | 840,937 |
Reddy Ice Corp., 144A, 11.25%, 3/15/2015 | | 105,000 | 106,050 |
Rite Aid Corp., 7.5%, 3/1/2017 | | 170,000 | 153,000 |
Smithfield Foods, Inc.: |
| 7.75%, 7/1/2017 | | 365,000 | 343,100 |
| 144A, 10.0%, 7/15/2014 | | 510,000 | 546,019 |
SUPERVALU, Inc., 8.0%, 5/1/2016 | | 245,000 | 241,325 |
Tops Markets LLC, 144A, 10.125%, 10/15/2015 | | 440,000 | 454,300 |
TreeHouse Foods, Inc., 7.75%, 3/1/2018 | | 185,000 | 189,163 |
Tyson Foods, Inc.: |
| 7.85%, 4/1/2016 | | 280,000 | 300,300 |
| 10.5%, 3/1/2014 | | 275,000 | 323,125 |
| 10,557,722 |
Energy 13.3% |
Atlas Energy Operating Co., LLC: |
| 10.75%, 2/1/2018 | | 610,000 | 646,600 |
| 12.125%, 8/1/2017 | | 510,000 | 566,100 |
Belden & Blake Corp., 8.75%, 7/15/2012 | | 1,170,000 | 1,088,100 |
Berry Petroleum Co., 10.25%, 6/1/2014 | | 325,000 | 346,125 |
Bill Barrett Corp., 9.875%, 7/15/2016 | | 280,000 | 289,800 |
Bristow Group, Inc., 7.5%, 9/15/2017 | | 335,000 | 324,950 |
Chaparral Energy, Inc., 8.5%, 12/1/2015 | | 955,000 | 869,050 |
Chesapeake Energy Corp.: |
| 6.25%, 1/15/2018 | | 340,000 | 337,450 |
| 6.875%, 1/15/2016 | | 465,000 | 475,463 |
| 6.875%, 11/15/2020 | | 920,000 | 910,800 |
| 7.25%, 12/15/2018 | | 495,000 | 499,950 |
| 9.5%, 2/15/2015 | | 65,000 | 70,363 |
Cloud Peak Energy Resources LLC: |
| 144A, 8.25%, 12/15/2017 | | 165,000 | 162,938 |
| 144A, 8.5%, 12/15/2019 | | 165,000 | 164,175 |
Coffeyville Resources LLC, 144A, 9.0%, 4/1/2015 | | 515,000 | 509,850 |
Colorado Interstate Gas Co., 6.8%, 11/15/2015 | | 645,000 | 730,983 |
CONSOL Energy, Inc.: |
| 144A, 8.0%, 4/1/2017 | | 830,000 | 843,487 |
| 144A, 8.25%, 4/1/2020 | | 830,000 | 847,637 |
Continental Resources, Inc.: |
| 144A, 7.375%, 10/1/2020 | | 245,000 | 238,875 |
| 8.25%, 10/1/2019 | | 110,000 | 113,575 |
Crosstex Energy LP, 144A, 8.875%, 2/15/2018 | | 425,000 | 418,625 |
Dynegy Holdings, Inc., 7.75%, 6/1/2019 | | 235,000 | 169,788 |
El Paso Corp.: |
| 7.25%, 6/1/2018 | | 405,000 | 396,643 |
| 8.25%, 2/15/2016 | | 240,000 | 248,400 |
| 9.625%, 5/15/2012 | | 1,590,000 | 1,691,488 |
El Paso Pipeline Partners Operating Co., LLC, 6.5%, 4/1/2020 | | 1,135,000 | 1,147,263 |
EXCO Resources, Inc., 7.25%, 1/15/2011 | | 383,000 | 381,564 |
Frontier Oil Corp.: |
| 6.625%, 10/1/2011 | | 160,000 | 161,600 |
| 8.5%, 9/15/2016 | | 140,000 | 142,800 |
Global Geophysical Services, Inc., 144A, 10.5%, 5/1/2017 | | 475,000 | 456,000 |
Holly Corp., 144A, 9.875%, 6/15/2017 | | 620,000 | 626,200 |
Holly Energy Partners LP, 144A, 8.25%, 3/15/2018 | | 410,000 | 410,000 |
KCS Energy, Inc., 7.125%, 4/1/2012 | | 1,335,000 | 1,333,331 |
Linn Energy LLC: |
| 144A, 8.625%, 4/15/2020 | | 390,000 | 386,100 |
| 11.75%, 5/15/2017 | | 475,000 | 524,875 |
Mariner Energy, Inc., 7.5%, 4/15/2013 | | 245,000 | 248,675 |
Newfield Exploration Co., 7.125%, 5/15/2018 | | 955,000 | 943,062 |
Niska Gas Storage US LLC, 144A, 8.875%, 3/15/2018 | | 205,000 | 206,025 |
OPTI Canada, Inc.: |
| 7.875%, 12/15/2014 | | 1,445,000 | 1,228,250 |
| 144A, 9.0%, 12/15/2012 | | 80,000 | 80,400 |
Petrohawk Energy Corp.: |
| 7.875%, 6/1/2015 | | 145,000 | 140,469 |
| 9.125%, 7/15/2013 | | 250,000 | 256,250 |
Plains Exploration & Production Co.: |
| 7.0%, 3/15/2017 | | 235,000 | 215,025 |
| 7.625%, 6/1/2018 | | 530,000 | 494,887 |
| 8.625%, 10/15/2019 | | 615,000 | 602,700 |
Quicksilver Resources, Inc.: |
| 7.125%, 4/1/2016 | | 220,000 | 198,550 |
| 11.75%, 1/1/2016 | | 565,000 | 615,850 |
Regency Energy Partners LP: |
| 8.375%, 12/15/2013 | | 320,000 | 329,600 |
| 144A, 9.375%, 6/1/2016 | | 650,000 | 676,000 |
Sabine Pass LNG LP, 7.25%, 11/30/2013 | | 1,125,000 | 1,035,000 |
Southwestern Energy Co., 7.5%, 2/1/2018 | | 530,000 | 556,500 |
Stone Energy Corp.: |
| 6.75%, 12/15/2014 | | 525,000 | 456,750 |
| 8.625%, 2/1/2017 | | 980,000 | 911,400 |
Whiting Petroleum Corp.: |
| 7.25%, 5/1/2012 | | 1,822,000 | 1,817,445 |
| 7.25%, 5/1/2013 | | 55,000 | 54,931 |
| 29,598,717 |
Financials 22.4% |
Algoma Acquisition Corp., 144A, 9.875%, 6/15/2015 | | 640,000 | 595,200 |
Ally Financial, Inc.: |
| 6.875%, 9/15/2011 | | 1,690,000 | 1,690,000 |
| 7.0%, 2/1/2012 | | 1,145,000 | 1,137,844 |
| 7.25%, 3/2/2011 | | 4,890,000 | 4,908,337 |
| 144A, 8.0%, 3/15/2020 | | 600,000 | 582,000 |
| 8.0%, 11/1/2031 | | 260,000 | 236,600 |
| 144A, 8.3%, 2/12/2015 | | 280,000 | 281,050 |
Anglo American Capital PLC, 144A, 9.375%, 4/8/2019 | | 250,000 | 313,851 |
Antero Resources Finance Corp., 144A, 9.375%, 12/1/2017 | | 255,000 | 249,900 |
Ashton Woods USA LLC, 144A, Step-up Coupon, 0% to 6/30/2012, 11.0% to 6/30/2015 | | 325,000 | 175,500 |
Buffalo Thunder Development Authority, 144A, 9.375%, 12/15/2014** | | 125,000 | 22,500 |
Calpine Construction Finance Co., LP, 144A, 8.0%, 6/1/2016 | | 420,000 | 424,200 |
Case New Holland, Inc., 7.75%, 9/1/2013 | | 640,000 | 651,200 |
Cemex Finance LLC, 144A, 9.5%, 12/14/2016 | | 255,000 | 232,688 |
CIT Group, Inc., 7.0%, 5/1/2017 | | 805,000 | 726,512 |
Conproca SA de CV, REG S, 12.0%, 6/16/2010 | | 254,410 | 255,459 |
DuPont Fabros Technology LP, (REIT), 144A, 8.5%, 12/15/2017 | | 495,000 | 499,950 |
E*TRADE Financial Corp.: |
| 7.375%, 9/15/2013 | | 1,175,000 | 1,081,000 |
| 12.5%, 11/30/2017 (PIK) | | 733,000 | 813,630 |
Express LLC, 144A, 8.75%, 3/1/2018 | | 345,000 | 347,588 |
Expro Finance Luxembourg SCA, 144A, 8.5%, 12/15/2016 | | 335,000 | 324,950 |
FCE Bank PLC, 9.375%, 1/17/2014 | EUR | 800,000 | 1,013,626 |
Fibria Overseas Finance Ltd., 144A, 7.5%, 5/4/2020 | | 293,000 | 287,140 |
Ford Motor Credit Co., LLC: |
| 7.25%, 10/25/2011 | | 2,785,000 | 2,835,272 |
| 7.375%, 2/1/2011 | | 280,000 | 285,588 |
| 8.125%, 1/15/2020 | | 1,410,000 | 1,411,335 |
| 9.875%, 8/10/2011 | | 1,475,000 | 1,538,161 |
Fresenius US Finance II, Inc., 144A, 9.0%, 7/15/2015 | | 300,000 | 327,000 |
Hellas Telecommunications Finance SCA, 144A, 8.644%***, 7/15/2015 (PIK) | EUR | 272,478 | 37 |
Hexion Finance Escrow LLC, 144A, 8.875%, 2/1/2018 | | 385,000 | 356,125 |
Holcim US Finance Sarl & Cie SCS, 144A, 6.0%, 12/30/2019 | | 1,000,000 | 1,055,599 |
Ineos Finance PLC: |
| 144A, 9.0%, 5/15/2015 | | 195,000 | 194,025 |
| 144A, 9.25%, 5/15/2015 | EUR | 75,000 | 91,116 |
Inmarsat Finance PLC, 144A, 7.375%, 12/1/2017 | | 955,000 | 952,612 |
International Lease Finance Corp.: |
| 144A, 8.625%, 9/15/2015 | | 300,000 | 276,000 |
| 144A, 8.75%, 3/15/2017 | | 600,000 | 549,000 |
iPayment, Inc., 9.75%, 5/15/2014 | | 225,000 | 199,125 |
Kinder Morgan Finance Co., ULC, 5.7%, 1/5/2016 | | 910,000 | 869,050 |
LBI Escrow Corp., 144A, 8.0%, 11/1/2017 | | 760,000 | 773,300 |
National Money Mart Co., 144A, 10.375%, 12/15/2016 | | 450,000 | 454,500 |
New ASAT (Finance) Ltd., 9.25%, 2/1/2011** | | 345,000 | 65,119 |
Nielsen Finance LLC: |
| Step-up Coupon, 0% to 8/1/2011, 12.5% to 8/1/2016 | | 775,000 | 716,875 |
| 11.5%, 5/1/2016 | | 110,000 | 116,600 |
NiSource Finance Corp., 6.125%, 3/1/2022 | | 1,580,000 | 1,646,379 |
Nuveen Investments, Inc., 10.5%, 11/15/2015 | | 215,000 | 193,500 |
Orascom Telecom Finance SCA, 144A, 7.875%, 2/8/2014 | | 625,000 | 562,500 |
Pinnacle Foods Finance LLC: |
| 9.25%, 4/1/2015 | | 370,000 | 369,075 |
| 144A, 9.25%, 4/1/2015 | | 415,000 | 413,963 |
Rainbow National Services LLC, 144A, 10.375%, 9/1/2014 | | 493,000 | 515,185 |
Reynolds Group Issuer, Inc.: |
| 144A, 7.75%, 10/15/2016 | | 620,000 | 613,800 |
| 144A, 8.5%, 5/15/2018 | | 100,000 | 95,000 |
SLM Corp., 8.0%, 3/25/2020 | | 170,000 | 151,215 |
Sprint Capital Corp.: |
| 7.625%, 1/30/2011 | | 1,905,000 | 1,938,337 |
| 8.375%, 3/15/2012 | | 1,040,000 | 1,071,200 |
Susser Holdings LLC, 144A, 8.5%, 5/15/2016 | | 215,000 | 212,313 |
TNK-BP Finance SA: |
| 144A, 6.25%, 2/2/2015 | | 1,180,000 | 1,168,200 |
| 144A, 7.25%, 2/2/2020 | | 395,000 | 384,138 |
Toys "R" Us Property Co. I, LLC, 144A, 10.75%, 7/15/2017 | | 360,000 | 398,700 |
Tropicana Entertainment LLC, 9.625%, 12/15/2014** | | 730,000 | 986 |
UCI Holdco, Inc., 8.257%***, 12/15/2013 (PIK) | | 302,923 | 287,777 |
Virgin Media Finance PLC, Series 1, 9.5%, 8/15/2016 | | 1,870,000 | 1,916,750 |
Virgin Media Secured Finance PLC, 144A, 6.5%, 1/15/2018 | | 3,695,000 | 3,630,337 |
Wind Acquisition Finance SA: |
| 144A, 11.0%, 12/1/2015 | EUR | 1,310,000 | 1,643,737 |
| 144A, 11.75%, 7/15/2017 | | 1,200,000 | 1,224,000 |
| 144A, 11.75%, 7/15/2017 | EUR | 425,000 | 539,793 |
| 144A, 12.0%, 12/1/2015 | | 75,000 | 77,250 |
Wind Acquisition Holdings Finance SA, 144A, 12.25%, 7/15/2017 (PIK) | EUR | 595,000 | 682,694 |
| 49,653,993 |
Health Care 9.2% |
Community Health Systems, Inc., 8.875%, 7/15/2015 | | 5,265,000 | 5,390,044 |
HCA, Inc.: |
| 144A, 7.875%, 2/15/2020 | | 3,805,000 | 3,871,587 |
| 144A, 8.5%, 4/15/2019 | | 270,000 | 282,150 |
| 9.125%, 11/15/2014 | | 685,000 | 720,963 |
| 9.25%, 11/15/2016 | | 3,145,000 | 3,294,387 |
| 9.625%, 11/15/2016 (PIK) | | 520,000 | 547,300 |
| 144A, 9.875%, 2/15/2017 | | 505,000 | 532,775 |
HEALTHSOUTH Corp., 10.75%, 6/15/2016 | | 180,000 | 194,400 |
IASIS Healthcare LLC, 8.75%, 6/15/2014 | | 2,255,000 | 2,255,000 |
Mylan, Inc., 144A, 7.625%, 7/15/2017 | | 1,945,000 | 1,959,588 |
Talecris Biotherapeutics Holdings Corp., 144A, 7.75%, 11/15/2016 | | 80,000 | 78,000 |
The Cooper Companies, Inc., 7.125%, 2/15/2015 | | 360,000 | 356,400 |
Valeant Pharmaceuticals International: |
| 144A, 7.625%, 3/15/2020 | | 370,000 | 361,675 |
| 8.375%, 6/15/2016 | | 240,000 | 245,400 |
Vanguard Health Holding Co. II, LLC, 8.0%, 2/1/2018 | | 405,000 | 384,750 |
| 20,474,419 |
Industrials 9.9% |
Acco Brands Corp., 10.625%, 3/15/2015 | | 110,000 | 119,075 |
Actuant Corp., 6.875%, 6/15/2017 | | 180,000 | 170,100 |
ARAMARK Corp., 8.5%, 2/1/2015 | | 525,000 | 523,687 |
BE Aerospace, Inc., 8.5%, 7/1/2018 | | 830,000 | 859,050 |
Belden, Inc.: |
| 7.0%, 3/15/2017 | | 185,000 | 176,675 |
| 144A, 9.25%, 6/15/2019 | | 425,000 | 444,125 |
Bombardier, Inc., 144A, 7.75%, 3/15/2020 | | 2,055,000 | 2,080,687 |
Cenveo Corp.: |
| 144A, 8.875%, 2/1/2018 | | 1,005,000 | 977,362 |
| 144A, 10.5%, 8/15/2016 | | 240,000 | 240,300 |
Clean Harbors, Inc., 7.625%, 8/15/2016 | | 225,000 | 230,625 |
Congoleum Corp., 8.625%, 8/1/2008** | | 395,000 | 87,888 |
Corrections Corp. of America, 7.75%, 6/1/2017 | | 625,000 | 645,312 |
Delta Air Lines, Inc., 144A, 9.5%, 9/15/2014 | | 130,000 | 133,250 |
Esco Corp., 144A, 4.132%***, 12/15/2013 | | 275,000 | 253,344 |
Garda World Security Corp., 144A, 9.75%, 3/15/2017 | | 235,000 | 241,463 |
Great Lakes Dredge & Dock Co., 7.75%, 12/15/2013 | | 185,000 | 184,769 |
Iron Mountain, Inc.: |
| 8.375%, 8/15/2021 | | 615,000 | 624,225 |
| 8.75%, 7/15/2018 | | 1,880,000 | 1,927,000 |
K. Hovnanian Enterprises, Inc.: |
| 8.875%, 4/1/2012 | | 290,000 | 277,675 |
| 10.625%, 10/15/2016 | | 255,000 | 260,738 |
Kansas City Southern de Mexico SA de CV: |
| 7.375%, 6/1/2014 | | 735,000 | 727,650 |
| 7.625%, 12/1/2013 | | 460,000 | 455,400 |
| 144A, 8.0%, 2/1/2018 | | 850,000 | 848,937 |
Kansas City Southern Railway Co., 8.0%, 6/1/2015 | | 455,000 | 455,000 |
McJunkin Red Man Corp., 144A, 9.5%, 12/15/2016 | | 360,000 | 349,200 |
Mobile Mini, Inc., 9.75%, 8/1/2014 | | 300,000 | 305,250 |
Navios Maritime Holdings, Inc., 9.5%, 12/15/2014 | | 755,000 | 734,237 |
Oshkosh Corp.: |
| 8.25%, 3/1/2017 | | 95,000 | 97,850 |
| 8.5%, 3/1/2020 | | 185,000 | 191,475 |
Owens Corning, Inc., 9.0%, 6/15/2019 | | 455,000 | 525,050 |
Ply Gem Industries, Inc., 144A, 13.125%, 7/15/2014 | | 280,000 | 282,800 |
RailAmerica, Inc., 9.25%, 7/1/2017 | | 264,000 | 274,560 |
RBS Global & Rexnord Corp.: |
| 144A, 8.5%, 5/1/2018 | | 885,000 | 840,750 |
| 11.75%, 8/1/2016 | | 130,000 | 135,850 |
Rearden G Holdings Eins GmbH, 144A, 7.875%, 3/30/2020 | | 170,000 | 165,750 |
Sitel LLC, 144A, 11.5%, 4/1/2018 | | 350,000 | 332,500 |
Spirit AeroSystems, Inc., 7.5%, 10/1/2017 | | 230,000 | 226,550 |
The Geo Group, Inc., 144A, 7.75%, 10/15/2017 | | 795,000 | 792,019 |
Titan International, Inc., 8.0%, 1/15/2012 | | 795,000 | 832,762 |
TransDigm, Inc.: |
| 7.75%, 7/15/2014 | | 200,000 | 199,500 |
| 144A, 7.75%, 7/15/2014 | | 265,000 | 265,000 |
Triumph Group, Inc., 8.0%, 11/15/2017 | | 80,000 | 76,800 |
United Rentals North America, Inc.: |
| 7.0%, 2/15/2014 | | 435,000 | 407,813 |
| 9.25%, 12/15/2019 | | 1,215,000 | 1,219,556 |
| 10.875%, 6/15/2016 | | 590,000 | 628,350 |
USG Corp., 144A, 9.75%, 8/1/2014 | | 200,000 | 209,500 |
| 22,037,459 |
Information Technology 4.7% |
Alcatel-Lucent USA, Inc., 6.45%, 3/15/2029 | | 455,000 | 309,400 |
Amkor Technology, Inc., 144A, 7.375%, 5/1/2018 | | 460,000 | 443,900 |
Aspect Software, Inc., 144A, 10.625%, 5/15/2017 | | 475,000 | 470,844 |
Equinix, Inc., 8.125%, 3/1/2018 | | 930,000 | 943,950 |
First Data Corp., 9.875%, 9/24/2015 | | 150,000 | 122,250 |
Freescale Semiconductor, Inc.: |
| 8.875%, 12/15/2014 | | 465,000 | 419,662 |
| 144A, 9.25%, 4/15/2018 | | 1,500,000 | 1,488,750 |
Jabil Circuit, Inc., 7.75%, 7/15/2016 | | 135,000 | 138,038 |
JDA Software Group, Inc., 144A, 8.0%, 12/15/2014 | | 165,000 | 167,063 |
L-3 Communications Corp.: |
| 5.875%, 1/15/2015 | | 1,635,000 | 1,622,737 |
| Series B, 6.375%, 10/15/2015 | | 650,000 | 650,000 |
ManTech International Corp., 144A, 7.25%, 4/15/2018 | | 230,000 | 230,575 |
MasTec, Inc., 7.625%, 2/1/2017 | | 430,000 | 415,487 |
NXP BV, 7.875%, 10/15/2014 | | 150,000 | 138,375 |
Seagate HDD Cayman, 144A, 6.875%, 5/1/2020 | | 230,000 | 218,500 |
Seagate Technology International, 144A, 10.0%, 5/1/2014 | | 165,000 | 185,006 |
SunGard Data Systems, Inc.: |
| 10.25%, 8/15/2015 | | 1,395,000 | 1,410,694 |
| 10.625%, 5/15/2015 | | 400,000 | 422,000 |
Unisys Corp., 144A, 12.75%, 10/15/2014 | | 360,000 | 412,200 |
Vangent, Inc., 9.625%, 2/15/2015 | | 160,000 | 150,000 |
| 10,359,431 |
Materials 14.8% |
Appleton Papers, Inc., 144A, 11.25%, 12/15/2015 | | 106,000 | 86,125 |
Ashland, Inc., 9.125%, 6/1/2017 | | 415,000 | 454,425 |
Ball Corp.: |
| 7.125%, 9/1/2016 | | 1,420,000 | 1,455,500 |
| 7.375%, 9/1/2019 | | 170,000 | 172,125 |
Berry Plastics Corp.: |
| 5.053%***, 2/15/2015 | | 1,965,000 | 1,842,187 |
| 8.25%, 11/15/2015 | | 745,000 | 731,963 |
| 144A, 9.5%, 5/15/2018 | | 235,000 | 210,325 |
Boise Paper Holdings LLC, 144A, 8.0%, 4/1/2020 | | 215,000 | 216,613 |
CF Industries, Inc., 6.875%, 5/1/2018 | | 290,000 | 290,363 |
Clondalkin Acquisition BV, 144A, 2.257%***, 12/15/2013 | | 1,795,000 | 1,694,031 |
Compass Minerals International, Inc., 144A, 8.0%, 6/1/2019 | | 325,000 | 338,000 |
CPG International I, Inc., 10.5%, 7/1/2013 | | 445,000 | 449,450 |
Crown Americas LLC, 144A, 7.625%, 5/15/2017 | | 1,590,000 | 1,597,950 |
Domtar Corp., 10.75%, 6/1/2017 | | 300,000 | 351,000 |
Dow Chemical Co., 8.55%, 5/15/2019 | | 270,000 | 320,222 |
Essar Steel Algoma, Inc., 144A, 9.375%, 3/15/2015 | | 1,680,000 | 1,722,000 |
Exopack Holding Corp., 11.25%, 2/1/2014 | | 685,000 | 713,256 |
Freeport-McMoRan Copper & Gold, Inc., 8.375%, 4/1/2017 | | 2,768,000 | 3,010,200 |
GEO Specialty Chemicals, Inc.: |
| 144A, 7.5%, 3/31/2015 (PIK) | | 428,424 | 364,160 |
| 10.0%, 3/31/2015 | | 421,120 | 357,952 |
Georgia-Pacific LLC: |
| 144A, 7.0%, 1/15/2015 | | 490,000 | 490,000 |
| 144A, 7.125%, 1/15/2017 | | 155,000 | 154,225 |
| 144A, 8.25%, 5/1/2016 | | 585,000 | 608,400 |
| 9.5%, 12/1/2011 | | 1,525,000 | 1,635,562 |
Graphic Packaging International, Inc., 9.5%, 6/15/2017 | | 765,000 | 795,600 |
Greif, Inc., 7.75%, 8/1/2019 | | 870,000 | 888,487 |
Hexcel Corp., 6.75%, 2/1/2015 | | 915,000 | 894,412 |
Innophos, Inc., 8.875%, 8/15/2014 | | 110,000 | 112,750 |
Koppers, Inc., 144A, 7.875%, 12/1/2019 | | 490,000 | 492,450 |
Kronos International, Inc., 6.5%, 4/15/2013 | EUR | 195,000 | 196,820 |
Lumena Resources Corp., 144A, 12.0%, 10/27/2014 | | 635,000 | 558,800 |
Millar Western Forest Products Ltd., 7.75%, 11/15/2013 | | 110,000 | 96,800 |
Momentive Performance Materials, Inc., 144A, 12.5%, 6/15/2014 | | 215,000 | 232,200 |
NewMarket Corp., 7.125%, 12/15/2016 | | 495,000 | 485,100 |
Novelis, Inc.: |
| 7.25%, 2/15/2015 | | 395,000 | 370,234 |
| 11.5%, 2/15/2015 | | 395,000 | 428,575 |
Owens-Brockway Glass Container, Inc.: |
| 144A, 3.0%, 6/1/2015 | | 140,000 | 135,100 |
| 7.375%, 5/15/2016 | | 2,030,000 | 2,065,525 |
Plastipak Holdings, Inc., 144A, 10.625%, 8/15/2019 | | 75,000 | 81,750 |
Radnor Holdings Corp., 11.0%, 3/15/2010** | | 90,000 | 9 |
Sealed Air Corp., 144A, 7.875%, 6/15/2017 | | 2,360,000 | 2,495,034 |
Silgan Holdings, Inc., 7.25%, 8/15/2016 | | 845,000 | 853,450 |
Solo Cup Co., 10.5%, 11/1/2013 | | 1,000,000 | 1,017,500 |
United States Steel Corp., 7.375%, 4/1/2020 | | 595,000 | 581,613 |
Viskase Companies, Inc., 144A, 9.875%, 1/15/2018 | | 545,000 | 550,450 |
Wolverine Tube, Inc., 15.0%, 3/31/2012 (PIK) | | 319,223 | 272,138 |
| 32,870,831 |
Telecommunication Services 11.8% |
CC Holdings GS V LLC, 144A, 7.75%, 5/1/2017 | | 1,015,000 | 1,075,900 |
Cincinnati Bell, Inc.: |
| 8.25%, 10/15/2017 | | 1,260,000 | 1,187,550 |
| 8.75%, 3/15/2018 | | 1,185,000 | 1,096,125 |
Cricket Communications, Inc.: |
| 9.375%, 11/1/2014 | | 1,355,000 | 1,365,162 |
| 10.0%, 7/15/2015 (d) | | 495,000 | 507,375 |
Crown Castle International Corp.: |
| 7.125%, 11/1/2019 | | 325,000 | 315,250 |
| 9.0%, 1/15/2015 | | 560,000 | 588,700 |
Digicel Group Ltd., 144A, 10.5%, 4/15/2018 | | 320,000 | 324,000 |
Digicel Ltd., 144A, 8.25%, 9/1/2017 | | 1,360,000 | 1,332,800 |
ERC Ireland Preferred Equity Ltd., 144A, 7.683%***, 2/15/2017 (PIK) | EUR | 243,384 | 54,298 |
Frontier Communications Corp., 6.25%, 1/15/2013 | | 224,000 | 222,880 |
GCI, Inc., 144A, 8.625%, 11/15/2019 | | 125,000 | 121,250 |
Grupo Iusacell Celular SA de CV, 10.0%, 3/31/2012** | | 97,606 | 34,162 |
Hughes Network Systems LLC, 9.5%, 4/15/2014 | | 1,215,000 | 1,208,925 |
Intelsat Corp.: |
| 9.25%, 8/15/2014 | | 1,060,000 | 1,078,550 |
| 9.25%, 6/15/2016 | | 2,165,000 | 2,219,125 |
Intelsat Jackson Holdings SA: |
| 144A, 8.5%, 11/1/2019 | | 410,000 | 407,950 |
| 11.25%, 6/15/2016 | | 455,000 | 480,025 |
Intelsat Subsidiary Holding Co. SA, 8.875%, 1/15/2015 | | 590,000 | 595,900 |
iPCS, Inc., 2.469%***, 5/1/2013 | | 115,000 | 105,800 |
MetroPCS Wireless, Inc., 9.25%, 11/1/2014 | | 2,020,000 | 2,075,900 |
Millicom International Cellular SA, 10.0%, 12/1/2013 (d) | | 2,020,000 | 2,085,650 |
New Communications Holdings, Inc.: |
| 144A, 7.875%, 4/15/2015 | | 85,000 | 84,363 |
| 144A, 8.25%, 4/15/2017 | | 500,000 | 495,000 |
| 144A, 8.5%, 4/15/2020 | | 665,000 | 655,025 |
| 144A, 8.75%, 4/15/2022 | | 85,000 | 83,513 |
Nextel Communications, Inc., Series E, 6.875%, 10/31/2013 | | 470,000 | 450,025 |
Qwest Communications International, Inc.: |
| 144A, 7.125%, 4/1/2018 | | 425,000 | 414,375 |
| 144A, 8.0%, 10/1/2015 | | 360,000 | 360,900 |
Qwest Corp., 8.375%, 5/1/2016 | | 90,000 | 97,650 |
Rogers Communications, Inc., 6.8%, 8/15/2018 | | 715,000 | 828,101 |
SBA Telecommunications, Inc.: |
| 144A, 8.0%, 8/15/2016 | | 115,000 | 118,450 |
| 144A, 8.25%, 8/15/2019 | | 150,000 | 156,375 |
Sprint Nextel Corp., 8.375%, 8/15/2017 | | 870,000 | 854,775 |
Telesat Canada, 11.0%, 11/1/2015 | | 1,150,000 | 1,247,750 |
tw telecom holdings, Inc., 144A, 8.0%, 3/1/2018 | | 170,000 | 170,425 |
West Corp., 9.5%, 10/15/2014 | | 255,000 | 253,725 |
Windstream Corp.: |
| 7.0%, 3/15/2019 | | 340,000 | 309,400 |
| 7.875%, 11/1/2017 | | 1,155,000 | 1,088,587 |
| 8.625%, 8/1/2016 | | 45,000 | 44,550 |
| 26,196,266 |
Utilities 5.9% |
AES Corp.: |
| 8.0%, 10/15/2017 | | 255,000 | 250,538 |
| 8.0%, 6/1/2020 | | 375,000 | 363,750 |
| 144A, 8.75%, 5/15/2013 | | 677,000 | 687,155 |
CenterPoint Energy, Inc., Series B, 7.25%, 9/1/2010 | | 470,000 | 476,027 |
CMS Energy Corp., 8.5%, 4/15/2011 | | 1,200,000 | 1,249,804 |
Florida Gas Transmission Co., 144A, 7.9%, 5/15/2019 | | 785,000 | 944,474 |
IPALCO Enterprises, Inc., 144A, 7.25%, 4/1/2016 | | 185,000 | 188,238 |
Jersey Central Power & Light Co., 7.35%, 2/1/2019 | | 785,000 | 928,293 |
Kinder Morgan, Inc., 6.5%, 9/1/2012 | | 1,098,000 | 1,139,175 |
Mirant Americas Generation LLC, 8.3%, 5/1/2011 | | 1,060,000 | 1,078,550 |
Mirant North America LLC, 7.375%, 12/31/2013 | | 145,000 | 145,363 |
NRG Energy, Inc.: |
| 7.25%, 2/1/2014 | | 3,080,000 | 3,041,500 |
| 7.375%, 2/1/2016 | | 525,000 | 507,937 |
| 7.375%, 1/15/2017 | | 1,145,000 | 1,087,750 |
NV Energy, Inc.: |
| 6.75%, 8/15/2017 | | 520,000 | 523,193 |
| 8.625%, 3/15/2014 | | 108,000 | 111,105 |
RRI Energy, Inc., 7.875%, 6/15/2017 | | 95,000 | 87,875 |
Suburban Propane Partners LP, 7.375%, 3/15/2020 | | 120,000 | 119,400 |
Texas Competitive Electric Holdings Co., LLC, Series A, 10.25%, 11/1/2015 | | 220,000 | 147,400 |
| 13,077,527 |
Total Corporate Bonds (Cost $246,734,034) | 246,254,319 |
|
Government & Agency Obligations 14.1% |
Other Government Related 0.3% |
Pemex Project Funding Master Trust, 5.75%, 3/1/2018 | | 770,000 | 781,787 |
Sovereign Bonds 13.8% |
Democratic Socialist Republic of Sri Lanka, 144A, 7.4%, 1/22/2015 | | 565,000 | 576,300 |
Federative Republic of Brazil: |
| 8.875%, 10/14/2019 | | 2,015,000 | 2,599,350 |
| 12.5%, 1/5/2016 | BRL | 2,070,000 | 1,191,519 |
Republic of Argentina, 5.83%, 12/31/2033 | ARS | 774 | 146 |
Republic of Croatia, 144A, 6.75%, 11/5/2019 | | 1,345,000 | 1,402,660 |
Republic of El Salvador, 144A, 7.65%, 6/15/2035 | | 1,235,000 | 1,278,225 |
Republic of Ghana, 144A, 8.5%, 10/4/2017 | | 175,000 | 180,250 |
Republic of Indonesia, 144A, 6.875%, 3/9/2017 | | 3,385,000 | 3,774,275 |
Republic of Lithuania, 144A, 7.375%, 2/11/2020 | | 1,450,000 | 1,497,563 |
Republic of Panama, 9.375%, 1/16/2023 | | 2,610,000 | 3,497,400 |
Republic of Peru, 7.35%, 7/21/2025 | | 2,505,000 | 2,930,850 |
Republic of Poland, 6.375%, 7/15/2019 | | 2,550,000 | 2,776,953 |
Republic of South Africa, 6.875%, 5/27/2019 | | 185,000 | 206,506 |
Republic of Uruguay: |
| 7.625%, 3/21/2036 | | 615,000 | 691,875 |
| 9.25%, 5/17/2017 | | 1,825,000 | 2,267,563 |
Republic of Venezuela, 9.25%, 9/15/2027 | | 1,090,000 | 713,950 |
Russian Federation, REG S, 7.5%, 3/31/2030 | | 3,777,267 | 4,221,096 |
Socialist Republic of Vietnam, 144A, 6.875%, 1/15/2016 | | 645,000 | 680,475 |
| 30,486,956 |
Total Government & Agency Obligations (Cost $29,033,787) | 31,268,743 |
|
Loan Participations and Assignments 9.2% |
Senior Loans*** 8.6% |
Big West Oil LLC, Term Loan, LIBOR plus 9.5%, 2/19/2015 | | 135,000 | 136,097 |
Buffets, Inc.: |
| Letter of Credit Term Loan B, 7.44%, 5/1/2013 | | 43,435 | 29,536 |
| Term Loan B, 10.0%, 4/21/2015 | | 260,000 | 241,800 |
Charter Communications Operating LLC, |
| New Term Loan, 7.25%, 3/6/2014 | | 960,845 | 966,168 |
Clarke American Corp., Term Loan B, 2.79%, 6/30/2014 | | 181,648 | 159,591 |
Ford Motor Co., Term Loan, 3.34%, 12/16/2013 | | 4,668,868 | 4,378,511 |
Hawker Beechcraft Acquisition Co., LLC: |
| Letter of Credit, 2.29%, 3/26/2014 | | 77,416 | 64,062 |
| Term Loan, 2.354%, 3/26/2014 | | 1,301,618 | 1,077,089 |
Hexion Specialty Chemicals, Inc.: |
| Term Loan C1, 2.563%, 5/6/2013 | | 829,433 | 768,884 |
| Term Loan C2, 2.563%, 5/6/2013 | | 391,495 | 362,916 |
IASIS Healthcare LLC, Term Loan, 5.588%, 6/13/2014 (PIK) | | 652,250 | 593,547 |
Kabel Deutschland GmbH, Term Loan, 7.983%, 12/19/2014 (PIK) | EUR | 2,223,434 | 2,477,300 |
Nuveen Investments, Inc., Term Loan, 3.323%, 11/13/2014 | | 305,086 | 260,553 |
OSI Restaurant Partners LLC: |
| Term Loan, 2.507%, 6/14/2013 | | 77,050 | 67,227 |
| Term Loan B, 2.625%, 6/14/2014 | | 852,733 | 744,013 |
Sabre, Inc., Term Loan B, 2.354%, 9/30/2014 | | 197,406 | 178,000 |
Sbarro, Inc., Term Loan, 4.845%, 1/31/2014 | | 266,000 | 244,498 |
Scorpion Holding Ltd., Second Lien Term Loan, 7.845%, 11/29/2010 | | 740,000 | 736,300 |
Telesat Canada: |
| Term Loan I, 3.36%, 10/31/2014 | | 1,406,392 | 1,357,752 |
| Term Loan II, 3.36%, 10/31/2014 | | 120,799 | 116,621 |
Texas Competitive Electric Holdings Co., LLC: |
| Term Loan B3, 3.797%, 10/10/2014 | | 1,818,375 | 1,398,676 |
| Term Loan B2, 4.066%, 10/10/2014 | | 111,239 | 85,885 |
Tribune Co., Term Loan B, 5.25%, 6/4/2014** | | 404,875 | 248,676 |
US Foodservice, Inc., Term Loan B, 2.85%, 5/29/2012 | | 638,359 | 559,203 |
VML US Finance LLC: |
| Delayed Draw Term Loan B, 4.8%, 5/25/2012 | | 114,495 | 110,918 |
| Term Loan B, 4.8%, 5/27/2013 | | 198,222 | 192,027 |
Warner Chilcott Co., LLC, Term Loan B2, 5.75%, 4/30/2015 | | 405,288 | 405,434 |
Warner Chilcott PLC: |
| Term Loan A, 5.5%, 10/30/2014 | | 528,814 | 529,342 |
| Incremental Term Loan, 5.75%, 4/30/2015 | | 399,000 | 399,144 |
| Term Loan B1, 5.75%, 4/30/2015 | | 243,390 | 243,477 |
| 19,133,247 |
Sovereign Loans 0.6% |
BOM Capital PLC, 144A, 6.699%, 3/11/2015 | | 1,385,000 | 1,319,212 |
Total Loan Participations and Assignments (Cost $21,412,326) | 20,452,459 |
Preferred Security 0.2% |
Materials |
Hercules, Inc., 6.5%, 6/30/2029 (Cost $433,706) | | 675,000 | 526,500 |
|
Shares
| Value ($) |
| |
Common Stocks 0.2% |
Consumer Discretionary 0.1% |
Buffets Restaurants Holdings, Inc.* | 8,911 | 55,248 |
Dex One Corp.* | 2,638 | 54,026 |
SuperMedia, Inc.* | 493 | 14,854 |
Vertis Holdings, Inc.* | 4,349 | 0 |
| 124,128 |
Industrials 0.0% |
World Color Press, Inc.* | 1,472 | 17,620 |
Materials 0.1% |
GEO Specialty Chemicals, Inc.* | 7,125 | 6,056 |
GEO Specialty Chemicals, Inc. 144A* | 649 | 552 |
LyondellBasell Industries NV "A"* | 6,542 | 116,251 |
LyondellBasell Industries NV "B"* | 5,905 | 104,519 |
| 227,378 |
Total Common Stocks (Cost $1,924,264) | 369,126 |
|
Warrants 0.0% |
Consumer Discretionary 0.0% |
Reader's Digest Association, Inc., Expiration Date 2/15/2017* | 589 | 0 |
Financials 0.0% |
New ASAT (Finance) Ltd., Expiration Date 2/1/2011* | 52,000 | 0 |
Industrials 0.0% |
World Color Press, Inc., Expiration Date 7/20/2014* | 1,666 | 6,248 |
Materials 0.0% |
Ashland, Inc., Expiration Date 3/31/2029* | 400 | 0 |
Total Warrants (Cost $87,876) | 6,248 |
|
Securities Lending Collateral 1.2% |
Daily Assets Fund Institutional, 0.28% (e) (f) (Cost $2,788,761) | 2,788,761 | 2,788,761 |
Cash Equivalents 3.3% |
Central Cash Management Fund, 0.22% (e) (Cost $7,232,774) | 7,232,774 | 7,232,774 |
| % of Net Assets | Value ($) |
| |
Total Investment Portfolio (Cost $309,647,528)+ | 139.2 | 308,898,930 |
Other Assets and Liabilities, Net | 2.3 | 4,974,794 |
Notes Payable | (41.5) | (92,000,000) |
Net Assets | 100.0 | 221,873,724 |
* Non-income producing security.
** Non-income producing security. Issuer has defaulted on the payment of principal or interest or has filed for bankruptcy. The following table represents bonds and senior loans that are in default:
Securities | Coupon | Maturity Date | Principal Amount ($) | Acquisition Cost ($) | Value ($) |
Buffalo Thunder Development Authority | 9.375% | 12/15/2014 | 125,000 | USD | 125,747 | 22,500 |
CanWest MediaWorks LP | 9.25% | 8/1/2015 | 205,000 | USD | 205,000 | 55,350 |
Congoleum Corp. | 8.625% | 8/1/2008 | 395,000 | USD | 392,755 | 87,888 |
Fontainebleau Las Vegas Holdings LLC | 11.0% | 6/15/2015 | 290,000 | USD | 292,813 | 3,263 |
Grupo Iusacell Celular SA de CV | 10.0% | 3/31/2012 | 97,606 | USD | 92,881 | 34,162 |
New ASAT (Finance) Ltd. | 9.25% | 2/1/2011 | 345,000 | USD | 298,650 | 65,119 |
Radnor Holdings Corp. | 11.0% | 3/15/2010 | 90,000 | USD | 79,463 | 9 |
Simmons Co. | 10.0% | 12/15/2014 | 820,000 | USD | 690,325 | 15,375 |
Tribune Co. | 5.25% | 6/4/2014 | 404,875 | USD | 404,622 | 248,676 |
Tropicana Entertainment LLC | 9.625% | 12/15/2014 | 730,000 | USD | 547,250 | 986 |
Trump Entertainment Resorts, Inc. | 8.5% | 6/1/2015 | 75,000 | USD | 75,994 | 281 |
Young Broadcasting, Inc. | 8.75% | 1/15/2014 | 1,245,000 | USD | 1,111,306 | 2,490 |
| | | | 4,316,806 | 536,099 |
*** These securities are shown at their current rate as of May 31, 2010. Floating rate securities' yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate.
+ The cost for federal income tax purposes was $310,600,887. At May 31, 2010, net unrealized depreciation for all securities based on tax cost was $1,701,957. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $9,668,425 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $11,370,382.
(a) Principal amount stated in US dollars unless otherwise noted.
(b) Security has deferred its 6/15/2008, 12/15/2008 and 6/15/2009 interest payments until 8/15/2012.
(c) When-issued security.
(d) All or a portion of these securities were on loan (see Notes to Financial Statements). The value of all securities loaned at May 31, 2010 amounted to $2,629,618, which is 1.2% of net assets.
(e) Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.
(f) Represents collateral held in connection with securities lending. Income earned by the Fund is net of borrower rebates.
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
LIBOR: London InterBank Offered Rate
PIK: Denotes that all or a portion of the income is paid in-kind.
REG S: Securities sold under Regulation S may not be offered, sold or delivered within the United States or to, or for the account or benefit of, US persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act.
REIT: Real Estate Investment Trust
As of May 31, 2010, the Fund had entered into the following open forward foreign currency exchange contracts:
Contracts to Deliver | | In Exchange For | | Settlement Date | Unrealized Appreciation ($) | Counterparty |
EUR | 6,745,925 | | USD | 8,489,477 | | 6/25/2010 | 194,574 | Citigroup, Inc. |
EUR | 1,792,123 | | USD | 2,255,315 | | 6/25/2010 | 51,691 | Citigroup, Inc. |
EUR | 74,852 | | USD | 92,714 | | 6/25/2010 | 675 | Citigroup, Inc. |
EUR | 3,300 | | USD | 4,079 | | 6/25/2010 | 22 | JPMorgan Chase Securities, Inc. |
EUR | 45,100 | | USD | 55,750 | | 6/25/2010 | 294 | JPMorgan Chase Securities, Inc. |
Total unrealized appreciation | | | 247,256 |
Contracts to Deliver | | In Exchange For | | Settlement Date | Unrealized Depreciation ($) | Counterparty |
EUR | 68,700 | | USD | 84,027 | | 6/25/2010 | (447) | JPMorgan Chase Securities, Inc. |
EUR | 82,900 | | USD | 101,395 | | 6/25/2010 | (540) | JPMorgan Chase Securities, Inc. |
Total unrealized depreciation | | | (987) |
Currency Abbreviations |
ARS Argentine Peso BRL Brazilian Real EUR Euro USD United States Dollar |
For information on the Fund's policy and additional disclosures regarding forward foreign currency exchange contracts, please refer to the Derivatives section of Note A 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, 2010 in valuing the Fund's investments. For information on the Fund's policy regarding the valuation of investments, please refer to the Security Valuation section of Note A in the accompanying Notes to Financial Statements.
Assets | Level 1 | Level 2 | Level 3 | Total |
|
Fixed Income Investments (g) | | | |
Corporate Bonds | $ — | $ 245,532,207 | $ 722,112 | $ 246,254,319 |
Government & Agency Obligations | — | 31,268,743 | — | 31,268,743 |
Loan Participations and Assignments | — | 20,452,459 | — | 20,452,459 |
Preferred Security | — | 526,500 | — | 526,500 |
Common Stocks (g) | 307,270 | 55,248 | 6,608 | 369,126 |
Warrants (g) | — | 6,248 | 0 | 6,248 |
Short-Term Investments (g) | 10,021,535 | — | — | 10,021,535 |
Derivatives (h) | — | 247,256 | — | 247,256 |
Total | $ 10,328,805 | $ 298,088,661 | $ 728,720 | $ 309,146,186 |
Liabilities | | | | |
Derivatives (h) | $ — | $ (987) | $ — | $ (987) |
Total | $ — | $ (987) | $ — | $ (987) |
(g) See Investment Portfolio for additional detailed categorizations.
(h) Derivatives include unrealized appreciation (depreciation) on open forward foreign currency exchange contracts.
Level 3 Reconciliation
The following is a reconciliation of the Fund's Level 3 investments for which significant unobservable inputs were used in determining value:
| Corporate Bonds | Loan Participations and Assignments | Convertible Preferred Stocks |
Balance as of November 30, 2009 | $ 872,385 | $ 1,083,906 | $ 0 |
Net realized gain (loss) | — | (116,178) | (12,580) |
Change in unrealized appreciation (depreciation) | 41,195 | 141,936 | 12,580 |
Amortization premium/discount | 1,282 | 2,063 | — |
Net purchases (sales) | — | (384,058) | 0 |
Net transfers in (out) of Level 3 | (192,750) | (727,669) | — |
Balance as of May 31, 2010 | $ 722,112 | $ — | $ — |
Net change in unrealized appreciation (depreciation) from investments still held as of May 31, 2010 | $ 41,195 | $ — | $ — |
| Common Stocks | Warrants | Total |
Balance as of November 30, 2009 | $ 6,608 | $ 5,404 | $ 1,968,303 |
Net realized gain (loss) | — | — | (128,758) |
Change in unrealized appreciation (depreciation) | 0 | (5,404) | 190,307 |
Amortization premium/discount | — | — | 3,345 |
Net purchases (sales) | — | — | (384,058) |
Net transfers in (out) of Level 3 | — | — | (920,419) |
Balance as of May 31, 2010 | $ 6,608 | $ 0 | $ 728,720 |
Net change in unrealized appreciation (depreciation) from investments still held as of May 31, 2010 | $ 0 | $ (5,404) | $ 35,791 |
The accompanying notes are an integral part of the financial statements.
Statement of Assets and Liabilities
as of May 31, 2010 (Unaudited) |
Assets |
Investments: Investments in securities, at value (cost $299,625,993) — including $2,629,618 of securities loaned | $ 298,877,395 |
Investment in Daily Assets Fund Institutional (cost $2,788,761)* | 2,788,761 |
Investment in Central Cash Management Fund (cost $7,232,774) | 7,232,774 |
Total investments, at value (cost $309,647,528) | 308,898,930 |
Cash | 9,488 |
Foreign currency, at value (cost $200) | 195 |
Receivable for investments sold | 5,004,064 |
Interest receivable | 6,431,043 |
Unrealized appreciation on forward foreign currency exchange contracts | 247,256 |
Net receivable on closed forward foreign currency exchange contracts | 15,415 |
Foreign taxes recoverable | 1,076 |
Other assets | 2,254 |
Total assets | 320,609,721 |
Liabilities |
Notes payable | 92,000,000 |
Payable upon return of securities loaned | 2,788,761 |
Payable for investments purchased | 3,484,543 |
Payable for investments purchased — when-issued securities | 100,000 |
Interest on notes payable | 75,294 |
Unrealized depreciation on forward foreign currency exchange contracts | 987 |
Accrued management fee | 165,152 |
Other accrued expenses and payables | 121,260 |
Total liabilities | 98,735,997 |
Net assets, at value | $ 221,873,724 |
Net Assets Consist of: |
Undistributed net investment income | 3,377,972 |
Net unrealized appreciation (depreciation) on: Investments | (748,598) |
Foreign currency | 217,883 |
Accumulated net realized gain (loss) | (33,968,452) |
Paid-in capital | 252,994,919 |
Net assets, at value | $ 221,873,724 |
Net Asset Value |
Net Asset Value per share ($221,873,724 ÷ 24,256,668 outstanding shares of beneficial interest, $.01 par value, unlimited shares authorized) | $ 9.15 |
* Represents collateral on securities loaned.
The accompanying notes are an integral part of the financial statements.
Statement of Operations
for the six months ended May 31, 2010 (Unaudited) |
Investment Income |
Income: Interest (net of foreign taxes withheld of $6,436) | $ 12,792,593 |
Interest — Central Cash Management Fund | 5,121 |
Securities lending income, including income from Daily Assets Fund Institutional, net of borrower rebates | 11,050 |
Total Income | 12,808,764 |
Expenses: Management fee | 952,332 |
Services to shareholders | 25,906 |
Custodian fee | 29,468 |
Professional fees | 61,809 |
Trustees' fees and expenses | 4,371 |
Reports to shareholders | 41,772 |
Interest expense | 674,467 |
Stock exchange listing fees | 13,050 |
Other | 26,823 |
Total expenses | 1,829,998 |
Net investment income (loss) | 10,978,766 |
Realized and Unrealized Gain (Loss) |
Net realized gain (loss) from: Investments | 5,404,213 |
Futures | 14,238 |
Foreign currency | 2,777,063 |
| 8,195,514 |
Change in net unrealized appreciation (depreciation) on: Investments | (5,570,281) |
Unfunded loan commitments | 297 |
Futures | (930) |
Foreign currency | 261,883 |
| (5,309,031) |
Net gain (loss) | 2,886,483 |
Net increase (decrease) in net assets resulting from operations | $ 13,865,249 |
The accompanying notes are an integral part of the financial statements.
Statement of Cash Flows
as of May 31, 2010 (Unaudited) |
Increase (Decrease) in Cash: Cash Flows from Operating Activities |
Net increase (decrease) in net assets resulting from operations | $ 13,865,249 |
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 | (145,184,831) |
Net purchases, sales and maturities of short-term investments | (5,784,833) |
Net amortization/accretion of premium (discount) | (737,817) |
Proceeds from sales and maturities of long-term investments | 147,024,139 |
(Increase) decrease in interest receivable | (257,822) |
Increase (decrease) in daily variation margin on open futures contracts | (3,039) |
(Increase) decrease in net receivable on closed forward foreign currency exchange contracts | (15,415) |
(Increase) decrease in other assets | (1,434) |
(Increase) decrease in receivable for investments sold | (1,356,147) |
Increase (decrease) in interest on notes payable | (4,908) |
Increase (decrease) in payable for investments and when-issued securities purchased | (1,190,065) |
Increase (decrease) in accrued expenses and payables | (24,617) |
Change in net unrealized (appreciation) depreciation on investments | 5,570,281 |
Change in net unrealized (appreciation) depreciation on forward foreign currency exchange contracts | (298,838) |
Change in net unrealized (appreciation) depreciation in unfunded loan commitments | (297) |
Net realized (gain) loss from investments | (5,404,213) |
Cash provided (used) by operating activities | 6,195,393 |
Cash Flows from Financing Activities |
Net increase (decrease) in foreign currency overdraft | (330,090) |
Net increase (decrease) in notes payable | 3,500,000 |
Distributions paid | (10,090,774) |
Cash provided (used) by financing activities | (6,920,864) |
Increase (decrease) in cash | (725,471) |
Cash at beginning of period | 735,154 |
Cash at end of period (including foreign currency) | $ 9,683 |
Supplemental Disclosure |
Interest paid on notes | $ (679,375) |
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, 2010 (Unaudited) | Year Ended November 30, 2009 |
Operations: Net investment income | $ 10,978,766 | $ 18,392,143 |
Net realized gain (loss) | 8,195,514 | (9,464,467) |
Change in net unrealized appreciation (depreciation) | (5,309,031) | 70,072,512 |
Net increase (decrease) in net assets resulting from operations | 13,865,249 | 79,000,188 |
Distributions to shareholders from: Net investment income | (10,090,774) | (18,992,975) |
Increase (decrease) in net assets | 3,774,475 | 60,007,213 |
Net assets at beginning of period | 218,099,249 | 158,092,036 |
Net assets at end of period (including undistributed net investment income of $3,377,972 and $2,489,980, respectively) | $ 221,873,724 | $ 218,099,249 |
Other Information |
Shares outstanding at beginning of period | 24,256,668 | 24,256,668 |
Shares outstanding at end of period | 24,256,668 | 24,256,668 |
The accompanying notes are an integral part of the financial statements.
Financial Highlights
Years Ended November 30, | 2010a | 2009 | 2008 | 2007 | 2006 | 2005 |
Selected Per Share Data |
Net asset value, beginning of period | $ 8.99 | $ 6.52 | $ 9.61 | $ 10.09 | $ 9.75 | $ 9.53 |
Income (loss) from investment operations: Net investment incomeb | .45 | .76 | .67 | .68 | .72 | .78 |
Net realized and unrealized gain (loss) | .13 | 2.49 | (2.98) | (.38) | .40 | .22 |
Total from investment operations | .58 | 3.25 | (2.31) | .30 | 1.12 | 1.00 |
Less distributions from: Net investment income | (.42) | (.78) | (.78) | (.78) | (.78) | (.78) |
Rights offering costs | — | — | — | (.01)c | — | — |
Advisor reimbursement | — | — | — | .01 | — | — |
Net asset value, end of period | $ 9.15 | $ 8.99 | $ 6.52 | $ 9.61 | $ 10.09 | $ 9.75 |
Market value, end of period | $ 8.60 | $ 8.28 | $ 5.10 | $ 8.45 | $ 10.73 | $ 10.15 |
Total Return |
Based on net asset value (%)d | 6.59** | 54.34 | (24.55)e | 3.12c,e,g | 11.87e | 10.85 |
Based on market value (%)d | 8.77** | 81.73 | (32.88) | (14.74) | 14.28 | 21.12 |
Ratios to Average Net Assets and Supplemental Data |
Net assets, end of period ($ millions) | 222 | 218 | 158 | 233 | 208 | 200 |
Ratio of expenses before fee reductions (including interest expense) (%) | 1.63* | 1.53 | 1.49 | 2.15 | 2.55 | 2.14 |
Ratio of expenses after fee reductions (including interest expense) (%) | 1.63* | 1.53 | 1.48 | 2.14 | 2.54 | 2.14 |
Ratio of expenses after fee reductions (excluding interest expense) (%) | 1.03* | 1.04 | 1.04 | 1.02 | 1.03 | 1.11 |
Ratio of net investment income (%) | 9.80* | 9.69 | 7.56 | 6.85 | 7.28 | 8.12 |
Portfolio turnover rate (%) | 46** | 113 | 35 | 53 | 79 | 143 |
Total debt outstanding end of period ($ thousands) | 92,000 | 88,500 | 41,500 | 20,000 | 52,750 | 60,000 |
Asset coverage per $1,000 of debtf | 3,412 | 3,464 | 4,810 | 12,652 | 4,934 | 4,331 |
a For the six months ended May 31, 2010 (Unaudited). b Based on average shares outstanding during the period. c During the period ending November 30, 2007, the Fund issued 3,647,934 shares in connection with a rights offering of the Fund's shares. Without the effect of the rights offering costs, total return based on net asset value would have been 0.10% higher. d Total return based on net asset value reflects changes in the Fund's net asset value during each period. Total return based on market value reflects changes in market value. 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. e Total return would have been lower had certain fees not been reduced. f Asset coverage equals the total net assets plus borrowings of the Fund divided by the borrowings outstanding at period end. g Includes a non-recurring reimbursement from the Advisor for a fee previously charged to the Fund. Excluding this non-recurring reimbursement, total return would have been 0.09% lower. * 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. Debt securities are valued by independent pricing services approved by the Trustees of the Fund. If the pricing services are unable to provide valuations, the securities are valued at the most recent bid quotation or evaluated price, 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. Equity securities are valued at the most recent sale price or official closing price reported on the exchange (US or foreign) or over-the-counter market on which the security is traded. 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.
Money market instruments purchased with an original or remaining maturity of sixty days or less, maturing at par, are valued at amortized cost. Investments in open-end investment companies are valued at their net asset value each business day.
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 Trustees. 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.
Securities Lending. The Fund may lend securities to certain financial institutions. The Fund retains beneficial ownership of the securities it has loaned and continues to receive interest and dividends paid by the issuer of securities and to participate in any changes in their market value. 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.
Foreign Currency Translations. The books and records of the Fund are maintained in US dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into US dollars at the prevailing exchange rates at period end. Purchases and sales of investment securities, income and expenses are translated into US 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 disposition of forward foreign currency exchange contracts and foreign currencies, and the difference between the amount of net investment income accrued and the US 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 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 a security, the transaction is recorded and the value of the security 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. No interest accrues to the Fund until payment takes place. At the time the Fund enters into this type of 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 securities 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. Loan Participations and Assignments are portions of loans originated by banks and sold in pieces to investors. These US 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. All Loan Participations and Assignments involve interest rate risk, liquidity risk and credit risk, including the potential default or insolvency of the borrower.
Derivatives. Authoritative accounting guidance requires that disclosures about the Fund's derivative and hedging activities and derivatives accounted for as hedging instruments must be disclosed separately from derivatives that do not qualify for hedge accounting. Because investment companies account for their derivatives at fair value and record any changes in fair value in current period earnings, the Fund's derivatives are not accounted for as hedging instruments. As such, even though the Fund may use derivatives in an attempt to achieve an economic hedge, the Fund's derivatives are not considered to be hedging instruments. The disclosure below is presented in accordance with authoritative accounting guidance.
Futures Contracts. A futures contract is an agreement between a buyer or seller and an established futures exchange or its clearinghouse in which the buyer or seller agrees to take or make a delivery of a specific amount of a financial instrument at a specified price on a specific date (settlement date). The Fund uses futures contracts to gain exposure to different parts of the yield curve while managing overall duration.
Futures contracts are valued at the most recent settlement price. Upon entering into a futures contract, the Fund is required to deposit with a financial intermediary cash or securities ("initial margin") in an amount equal to a certain percentage of the face value indicated in the futures contract. Subsequent payments ("variation margin") are made or received by the Fund dependent upon the daily fluctuations in the value and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. Gains or losses are realized when the contract expires or is closed. Since all futures contracts are exchange traded, counterparty risk is minimized as the exchange's clearinghouse acts as the counterparty, and guarantees the futures against default.
Certain risks may arise upon entering into futures contracts, including the risk that an illiquid market will limit the Fund's ability to close out a futures contract prior to the settlement date and that a change in the value of a futures contract may not correlate exactly with the changes in the value of the underlying hedged security, index or currency. Risk of loss may exceed amounts recognized in the Statement of Assets and Liabilities.
There are no open future contracts as of May 31, 2010. For the six months ended May 31, 2010, the Fund invested in open futures contracts with a total notional value generally indicative of a range from $0 to approximately $3,838,000.
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 US dollar may affect the US 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. The Fund enters 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. 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, 2010 is included at the end of the Fund's Investment Portfolio. For the six months ended May 31, 2010, the Fund invested in forward currency contracts with a total contract value generally indicative of a range from approximately $11,083,000 to $18,586,000.
The following tables summarize the value of the Fund's derivative instruments held as of May 31, 2010 and the related location in the accompanying Statement of Assets and Liabilities presented by the primary underlying risk exposure:
Asset Derivatives | Forward Contracts |
Foreign Exchange Contracts (a) | $ 262,671 |
The above derivative is located in the following Statement of Assets and Liabilities accounts:
(a) Unrealized appreciation on forward foreign currency exchange contracts and net receivable on closed forward foreign currency exchange contracts
Liability Derivatives | Forward Contracts |
Foreign Exchange Contracts (a) | $ 987 |
The above derivative is located in the following Statement of Assets and Liabilities account:
(a) 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, 2010 and the related location in the accompanying Statement of Operations is summarized in the following tables by primary underlying risk exposure:
Realized Gain (Loss) | Forward Contracts | Futures Contracts | Total |
Foreign Exchange Contracts (a) | $ 3,137,786 | $ — | $ 3,137,786 |
Interest Rate Contracts (b) | — | 14,238 | 14,238 |
| $ 3,137,786 | $ 14,238 | $ 3,152,024 |
Each of the above derivatives is located in the following Statement of Operations accounts:
(a) Net realized gain (loss) from foreign currency (Statement of Operations includes both forward currency contracts and foreign currency transactions)
(b) Net realized gain (loss) from futures
Change in Net Unrealized Appreciation (Depreciation) | Forward Contracts | Futures Contracts | Total |
Foreign Exchange Contracts (a) | $ 298,838 | $ — | $ 298,838 |
Interest Rate Contracts (b) | — | (930) | (930) |
| $ 298,838 | $ (930) | $ 297,908 |
Each of the above derivatives is located in the following Statement of Operations accounts:
(a) Change in net unrealized appreciation (depreciation) on foreign currency (Statement of Operations includes both forward currency contracts and foreign currency transactions)
(b) Change in net unrealized appreciation (depreciation) on futures
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.
At November 30, 2009, the Fund had a net tax basis capital loss carryforward of approximately $40,864,000, which may be applied against any realized net taxable capital gains of each succeeding year until fully utilized or until November 30, 2010 ($15,940,000), November 30, 2015 ($813,000), November 30, 2016 ($10,986,000) and November 30, 2017 ($13,125,000), the respective expiration dates, whichever occurs first.
In addition, from November 1, 2009 through November 30, 2009, the Fund incurred approximately $40,000 of net realized capital losses. As permitted by tax regulations, the Fund intends to elect to defer these losses and treat them as arising in the fiscal year ending November 30, 2010.
The Fund has reviewed the tax positions for the open tax years as of November 30, 2009 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. Net investment income of the Fund, if any, is 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 timing and characterization of certain income and capital gains 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, 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 positions and cash position at the Fund's custodian bank at May 31, 2010.
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 security 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. All premiums and discounts are amortized/accreted for financial reporting purposes, with the exception of securities in default of principal.
B. Purchases and Sales of Securities
During the six months ended May 31, 2010, purchases and sales of investment securities (excluding short-term investments) aggregated $145,184,831 and $147,024,139, respectively.
C. 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 Management Agreement. The Fund pays a monthly investment management fee of 1/12 of the annualized rate of 0.85% of the Fund's average weekly net assets.
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, 2010, the amount charged to the Fund by DISC aggregated $17,775, of which $9,109 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, 2010, the amount charged to the Fund by DIMA included in the Statement of Operations under "reports to shareholders" aggregated $7,706, of which $6,923 is unpaid.
Trustees' Fees and Expenses. The Fund paid each Trustee not affiliated with the Advisor retainer fees plus specified amounts for various committee services and for the Board Chairperson.
Affiliated Cash Management Vehicles. The Fund may invest uninvested cash balances in Central Cash Management Fund and other affiliated money market funds managed by the Advisor. The Fund indirectly bears its proportionate share of the expenses of the underlying money market funds. 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.
D. 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 prices of their debt securities can be more vulnerable to bad economic news, or even the expectation of bad news, than investment-grade debt securities. Because the Fund may invest in securities not paying current interest or in securities already in default, these risks may be more pronounced.
E. 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.
F. Borrowings
The Fund has entered into a revolving credit agreement dated May 31, 2002 with a commercial bank (the "Lender"), which allows the Fund to borrow against a secured line of credit in an aggregate amount up to $92,000,000. The borrowings under the line of credit are secured by a pledge of the Fund's portfolio securities. The revolving credit agreement facility has a maturity date of June 23, 2011 subject to early termination discussed below. There is no assurance the facility will be renewed in 2011. The notes payable represents a secured loan of $92,000,000, which is the amount drawn on the facility at May 31, 2010. The note bears interest at the commercial paper rate plus program fees. A commitment fee on any unused portion of the credit line is charged to the Fund and is included with "interest expense" on the Statement of Operations. The loan amounts and rates are reset periodically under the revolving credit agreement.
The weighted average outstanding daily balance of all loans (based on the 182 days the loans were outstanding) during the six months ended May 31, 2010 was approximately $91,448,000, with a weighted average borrowing cost of 1.47%.
Draws on the line of credit are funded by the issuance of commercial paper. The Lender's obligation under the revolving credit agreement is supported by a Standby Purchase Agreement between the Lender and a commercial bank. The Lender's commitment under the revolving credit agreement is subject to early termination on the scheduled termination date of the Standby Purchase Agreement. The Standby Purchase Agreement had an initial term of 364 days, and is renewable for additional periods, which may be shorter than 364 days. As such, the revolving credit agreement may be terminated by the Lender upon ninety (90) days notice if the Standby Purchase Agreement is not renewed at any time, and is also subject to other customary termination events.
G. Review for Subsequent Events
Management has evaluated the events and transactions subsequent to period end through the date the financial statements were available to be issued, and has determined that there were no material events that would require disclosure in the Fund's financial statements.
Other Information
Notice of Possible Share Repurchases
In accordance with Section 23(c) of the Investment Company Act of 1940, the Fund may from time to time repurchase shares of the Fund in the open market at the option of the Board of Trustees and on such terms as the Trustees may determine.
Portfolio Manager
Gary Sullivan, CFA, lead portfolio manager of the Fund, has changed his name to Gary Russell.
Shareholder Meeting Results (Unaudited)
The Annual Meeting of Shareholders (the "Meeting") of DWS Multi-Market Income Trust (the "Fund") was held on May 24, 2010 at the New York Marriott East Side, 525 Lexington Avenue, New York, New York 10017. At the Meeting, the following matter was voted upon by the shareholders. Final results certified by the Independent Inspector of Election indicate that a quorum was present but none of the nominees received a sufficient number of votes to be elected as Board Member (the vote of a majority of outstanding shares is required to elect Board Members). Therefore, the incumbent Board Members (Ms. Jean Gleason Stromberg and Messrs. Henry P. Becton, Jr., Paul K. Freeman and William McClayton) will continue as Class II Board Members until 2013 and until such time as successors are elected and qualify. Vote results are indicated below.
1. Election of four Class II Board Members of the Fund:
Number of Votes: |
| For | Withheld |
Henry P. Becton, Jr. | 7,360,697 | 3,496,803 |
Paul K. Freeman | 7,372,452 | 3,485,048 |
William McClayton | 7,362,029 | 3,495,471 |
Jean Gleason Stromberg | 7,371,903 | 3,485,597 |
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 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 can be expected to 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. If Shares are purchased at a discount, the amount of the discount is considered taxable income and is added to the cost basis of the purchased Shares.
Additional Information
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Automated Information Line | DWS Investments Closed-End Fund Info Line (800) 349-4281 |
Web Site | www.dws-investments.com Obtain quarterly fact sheets, financial reports, press releases and webcasts when available. |
Written Correspondence | Deutsche Investment Management Americas Inc. 345 Park Avenue New York, NY 10154 |
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) 621-1048. |
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 225 Franklin Street Boston, MA 02110 |
Independent Registered Public Accounting Firm | Ernst & Young LLP 200 Clarendon Street Boston, MA 02116 |
NYSE Symbol | KMM |
CUSIP Number | 23338L 108 |
Privacy Statement
Dear Valued Client:
Your confidence is important to us. So we want to make sure you know our policies regarding the handling of our clients' private information. The following information is issued by DWS Investments Distributors, Inc., Deutsche Investment Management Americas Inc., DeAM Investor Services, Inc., DWS Trust Company and the DWS Funds.
We consider privacy fundamental to our client relationships and adhere to the policies and practices described below to protect current and former clients' information. We never sell customer lists or individual client information. Internal policies are in place to protect confidentiality, while allowing client needs to be served. Only individuals who need to do so in carrying out their job responsibilities may access client information. We maintain physical, electronic and procedural safeguards that comply with federal and state standards to protect confidentiality. These safeguards extend to all forms of interaction with us, including the Internet.
In the normal course of business, clients give us nonpublic personal information on applications and other forms, on our Web sites, and through transactions with us or our affiliates. Examples of the nonpublic personal information collected are name, address, Social Security number, and transaction and balance information. To be able to serve our clients, certain of this client information is shared with affiliated and nonaffiliated third-party service providers such as transfer agents, custodians and broker-dealers to assist us in processing transactions and servicing your account.
In addition, we may disclose the information we collect to companies that perform marketing services on our behalf or to other financial institutions with which we have joint marketing agreements. These organizations may only use client information for the purpose designated by the companies listed above. Additional requirements beyond federal law may be imposed by certain states. To the extent that these state laws apply, we will comply with them before we share information about you.
We may also disclose nonpublic personal information about you to other parties as required or permitted by law. For example, we are required to or may provide information to government entities or regulatory bodies in response to requests for information or subpoenas, to private litigants in certain circumstances, to law enforcement authorities, or any time we believe it necessary to protect the firm.
At any time, if you have questions about our policy, please write to us at:
DWS Investments
Attention: Correspondence — Chicago
P.O. Box 219415
Kansas City, MO 64121-9415 | Rev. 09/2009 |
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ITEM 2. | CODE OF ETHICS |
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| Not applicable. |
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ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT |
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| Not applicable. |
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ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES |
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| Not applicable. |
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ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS |
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| Not Applicable |
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ITEM 6. | SCHEDULE OF INVESTMENTS |
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| Not Applicable |
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ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
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| Not applicable. |
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ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
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| Not applicable. |
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ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS |
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Period | (a) Total Number of Shares Purchased | (b) Average Price Paid per Share | (c) Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs | (d) Maximum Number of Shares that May Yet Be Purchased Under the Plans or Programs |
December 1 through December 31 | 0 | n/a | n/a | n/a |
January 1 through January 31 | 0 | n/a | n/a | n/a |
February 1 through February 28 | 0 | n/a | n/a | n/a |
March 1 through March 31 | 0 | n/a | n/a | n/a |
April 1 through April 30 | 0 | n/a | n/a | n/a |
May 1 through May 31 | 0 | n/a | n/a | n/a |
Total | 0 | n/a | n/a | n/a |
The Fund may from time to time repurchase shares in the open market at the option of the Board of Trustees and on such terms as the Trustee may determine. |
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ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS |
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| 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 Paul K. Freeman, Independent Chairman, DWS Funds, P.O. Box 101833, Denver, CO 80250-1833. |
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ITEM 11. | CONTROLS AND PROCEDURES |
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| (a) The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report. |
| (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. |
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ITEM 12. | EXHIBITS |
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| (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 |
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By: | /s/Michael G. Clark Michael G. Clark President |
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Date: | July 30, 2010 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
Registrant: | DWS Multi-Market Income Trust |
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By: | /s/Michael G. Clark Michael G. Clark President |
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Date: | July 30, 2010 |
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By: | /s/Paul Schubert Paul Schubert Chief Financial Officer and Treasurer |
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Date: | July 30, 2010 |
