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: (201) 593-6408
Paul Schubert
100 Plaza One
Jersey City, NJ 07311
(Name and Address of Agent for Service)
Date of fiscal year end: | 11/30 |
Date of reporting period: | 5/31/2011 |
ITEM 1. | REPORT TO STOCKHOLDERS |
MAY 31, 2011 Semiannual Report to Shareholders |
DWS Multi-Market Income Trust Ticker Symbol: KMM |
![]() |
Contents
4 Performance Summary 6 Portfolio Summary 8 Investment Portfolio 27 Statement of Assets and Liabilities 29 Statement of Operations 30 Statement of Cash Flows 31 Statement of Changes in Net Assets 32 Financial Highlights 34 Notes to Financial Statements 44 Shareholder Meeting Results 45 Dividend Reinvestment Plan 47 Additional Information 48 Privacy Statement |
The fund's investment objective is to provide high current income consistent with prudent total return asset management.
Closed-end funds, unlike open-end funds, are not continuously offered. There is a one time public offering and once issued, shares of closed-end funds are sold in the open market through a stock exchange. Shares of closed-end funds frequently trade at a discount to net asset value. The price of the fund's shares is determined by a number of factors, several of which are beyond the control of the fund. Therefore, the fund cannot predict whether its shares will trade at, below or above net asset value.
Bond investments are subject to interest-rate and credit risks. When interest rates rise, bond prices generally fall. Credit risk refers to the ability of an issuer to make timely payments of principal and interest. Investments in lower-quality and non-rated securities present greater risk of loss than investments in higher-quality securities. Investing in derivatives entails special risks relating to liquidity, leverage and credit that may reduce returns and/or increase volatility. Leverage results in additional risks and can magnify the effect of any gains or losses. Investing in foreign securities, particularly those of emerging markets, presents certain risks, such as currency fluctuations, political and economic changes, and market risks.
DWS Investments is part of 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 is historical, assumes reinvestment of all dividend and capital gain distributions, and does not guarantee future results. Investment return and principal value fluctuate with changing market conditions so that, when sold, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Please visit www.dws-investments.com for the Fund's most recent month-end performance.
Fund specific data and performance are provided for informational purposes only and are not intended for trading purposes.
Average Annual Total Returns as of 5/31/11 | |||||
DWS Multi-Market Income Trust | 6-Month‡ | 1-Year | 3-Year | 5-Year | 10-Year |
Based on Net Asset Value(a) | 8.32% | 20.64% | 13.43% | 10.88% | 11.97% |
Based on Market Price(a) | 13.10% | 39.93% | 20.49% | 12.24% | 11.91% |
Credit Suisse High Yield Index(b) | 7.61% | 16.82% | 10.76% | 8.73% | 9.08% |
Lipper Closed-End General Bond Funds Category(c) | 7.48% | 16.51% | 10.08% | 7.75% | 8.94% |
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 price. Each figure assumes that dividend and capital gain distributions, if any, were reinvested. These figures will differ depending upon the level of any discount from or premium to NAV at which the Fund's shares traded during the period.
(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 assume reinvestment of all distributions. It is not possible to invest directly in a Lipper category.
Net Asset Value and Market Price | ||||||||
As of 5/31/11 | As of 11/30/10 | |||||||
Net Asset Value | $ | 10.09 | $ | 9.75 | ||||
Market Price | $ | 11.00 | $ | 10.17 |
Prices and net asset value fluctuate and are not guaranteed.
Distribution Information | ||||
Six Months as of 5/31/11: Income Dividends | $ | .45 | ||
May Income Dividend | $ | .0770 | ||
Current Annualized Distribution Rate (based on Net Asset Value) as of 5/31/11+ | 9.16 | % | ||
Current Annualized Distribution Rate (based on Market Price) as of 5/31/11+ | 8.40 | % |
+ Current annualized distribution rate is the latest monthly dividend shown as an annualized percentage of net asset value/market price on May 31, 2011. 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 5/31/11 | ||||
Period | Rank | Number of Funds Tracked | Percentile Ranking (%) | |
1-Year | 5 | of | 12 | 39 |
3-Year | 4 | of | 10 | 37 |
5-Year | 3 | of | 10 | 28 |
10-Year | 1 | of | 6 | 15 |
Source: Lipper Inc. Rankings are historical and do not guarantee future results. Rankings are based on net asset value total return with distributions reinvested.
Asset Allocation (As a % of Investment Portfolio excluding Securities Lending Collateral) | 5/31/11 | 11/30/10 |
Corporate Bonds | 84% | 80% |
Government & Agency Obligations | 7% | 9% |
Loan Participations and Assignments | 6% | 7% |
Cash Equivalents | 2% | 3% |
Preferred Securities | 1% | 1% |
100% | 100% |
Sector Diversification (As a % of Investment Portfolio excluding Cash Equivalents and Securities Lending Collateral) | 5/31/11 | 11/30/10 |
Consumer Discretionary | 16% | 14% |
Financials | 16% | 18% |
Telecommunication Services | 13% | 10% |
Materials | 12% | 12% |
Industrials | 11% | 8% |
Energy | 8% | 10% |
Emerging-Market Sovereign Bonds | 7% | 9% |
Information Technology | 5% | 4% |
Health Care | 5% | 8% |
Consumer Staples | 4% | 4% |
Utilities | 3% | 3% |
100% | 100% |
Quality (Excludes Cash Equivalents and Securities Lending Collateral) | 5/31/11 | 11/30/10 |
A | 1% | 1% |
BBB | 8% | 8% |
BB | 29% | 28% |
B | 44% | 48% |
Below B | 15% | 13% |
Not Rated | 3% | 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 and is subject to change.
Interest Rate Sensitivity | 5/31/11 | 11/30/10 |
Effective Maturity | 8.0 years | 9.0 years |
Effective Duration | 5.7 years | 5.6 years |
Effective maturity is the weighted average of the bonds held by the Fund taking into consideration any available maturity shortening features.
Effective duration is an approximate measure of the Fund's sensitivity to interest rate changes taking into consideration any maturity shortening features.
Interest rate sensitivity is subject to change.
For more complete details about the Fund's investment portfolio, see page 8. A 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. The Fund's portfolio holdings as of the month-end are 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.
Principal Amount ($) (a) | Value ($) | ||||||||
Corporate Bonds 113.7% | |||||||||
Consumer Discretionary 19.7% | |||||||||
Allison Transmission, Inc., 144A, 7.125%, 5/15/2019 | 195,000 | 193,538 | |||||||
AMC Entertainment, Inc.: | |||||||||
8.0%, 3/1/2014 | 355,000 | 358,550 | |||||||
8.75%, 6/1/2019 | 735,000 | 789,206 | |||||||
American Achievement Corp., 144A, 10.875%, 4/15/2016 | 180,000 | 168,750 | |||||||
Asbury Automotive Group, Inc.: | |||||||||
7.625%, 3/15/2017 | 255,000 | 257,550 | |||||||
144A, 8.375%, 11/15/2020 | 300,000 | 312,750 | |||||||
AutoNation, Inc., 6.75%, 4/15/2018 | 1,440,000 | 1,508,400 | |||||||
Avis Budget Car Rental LLC: | |||||||||
8.25%, 1/15/2019 | 365,000 | 378,231 | |||||||
9.625%, 3/15/2018 | 160,000 | 175,600 | |||||||
Beazer Homes USA, Inc., 9.125%, 6/15/2018 | 95,000 | 90,250 | |||||||
Bon-Ton Department Stores, Inc., 10.25%, 3/15/2014 | 280,000 | 284,900 | |||||||
Bresnan Broadband Holdings LLC, 144A, 8.0%, 12/15/2018 | 695,000 | 735,831 | |||||||
Burlington Coat Factory Warehouse Corp., 144A, 10.0%, 2/15/2019 | 310,000 | 310,775 | |||||||
Cablevision Systems Corp.: | |||||||||
7.75%, 4/15/2018 | 1,855,000 | 2,012,675 | |||||||
8.0%, 4/15/2020 | 85,000 | 93,288 | |||||||
Caesar's Entertainment Operating Co., Inc.: | |||||||||
10.0%, 12/15/2018 | 520,000 | 481,000 | |||||||
11.25%, 6/1/2017 | 1,745,000 | 1,963,125 | |||||||
12.75%, 4/15/2018 | 190,000 | 194,750 | |||||||
CanWest LP, 144A, 9.25%, 8/1/2015* | 205,000 | 34,850 | |||||||
Carrols Corp., 9.0%, 1/15/2013 | 130,000 | 130,325 | |||||||
CCO Holdings LLC: | |||||||||
7.0%, 1/15/2019 | 165,000 | 168,506 | |||||||
7.25%, 10/30/2017 | 690,000 | 717,600 | |||||||
7.875%, 4/30/2018 | 4,645,000 | 4,923,700 | |||||||
8.125%, 4/30/2020 | 95,000 | 102,719 | |||||||
Cequel Communications Holdings I LLC, 144A, 8.625%, 11/15/2017 | 2,075,000 | 2,204,687 | |||||||
Chrysler Group LLC, 144A, 8.0%, 6/15/2019 | 200,000 | 199,500 | |||||||
Cinemark USA, Inc., 144A, 7.375%, 6/15/2021 | 125,000 | 125,000 | |||||||
Claire's Stores, Inc.: | |||||||||
144A, 8.875%, 3/15/2019 | 235,000 | 225,600 | |||||||
9.625%, 6/1/2015 (PIK) | 80,000 | 75,650 | |||||||
Clear Channel Communications, Inc., 144A, 9.0%, 3/1/2021 | 100,000 | 100,250 | |||||||
Clear Channel Worldwide Holdings, Inc.: | |||||||||
Series A, 9.25%, 12/15/2017 | 115,000 | 125,350 | |||||||
Series B, 9.25%, 12/15/2017 | 175,000 | 191,188 | |||||||
CSC Holdings LLC, 8.5%, 6/15/2015 | 1,250,000 | 1,356,250 | |||||||
Cumulus Media, Inc., 144A, 7.75%, 5/1/2019 | 95,000 | 95,000 | |||||||
DineEquity, Inc., 144A, 9.5%, 10/30/2018 | 665,000 | 728,175 | |||||||
DISH DBS Corp.: | |||||||||
6.625%, 10/1/2014 | 355,000 | 378,075 | |||||||
144A, 6.75%, 6/1/2021 | 110,000 | 111,100 | |||||||
7.125%, 2/1/2016 | 345,000 | 368,288 | |||||||
Dunkin' Brands Inc., 144A, 9.625%, 12/1/2018 | 99,000 | 99,865 | |||||||
EH Holding Corp., 144A, 7.625%, 6/15/2021 (b) | 335,000 | 342,538 | |||||||
Fontainebleau Las Vegas Holdings LLC, 144A, 11.0%, 6/15/2015* | 290,000 | 145 | |||||||
Ford Motor Co., 7.45%, 7/16/2031 | 260,000 | 295,227 | |||||||
Gannett Co., Inc.: | |||||||||
144A, 6.375%, 9/1/2015 | 370,000 | 386,650 | |||||||
144A, 7.125%, 9/1/2018 | 370,000 | 373,700 | |||||||
8.75%, 11/15/2014 | 160,000 | 182,400 | |||||||
9.375%, 11/15/2017 | 320,000 | 359,200 | |||||||
Goodyear Tire & Rubber Co., 10.5%, 5/15/2016 | 104,000 | 117,780 | |||||||
Great Canadian Gaming Corp., 144A, 7.25%, 2/15/2015 | 220,000 | 224,950 | |||||||
Hertz Corp.: | |||||||||
144A, 6.75%, 4/15/2019 | 905,000 | 914,050 | |||||||
144A, 7.5%, 10/15/2018 | 1,195,000 | 1,254,750 | |||||||
8.875%, 1/1/2014 | 89,000 | 91,225 | |||||||
J. Crew Group, Inc., 144A, 8.125%, 3/1/2019 (c) | 285,000 | 273,600 | |||||||
Kabel BW Erste Beteiligungs GmbH, 144A, 7.5%, 3/15/2019 | 150,000 | 156,188 | |||||||
Lear Corp.: | |||||||||
7.875%, 3/15/2018 | 145,000 | 158,956 | |||||||
8.125%, 3/15/2020 | 150,000 | 164,813 | |||||||
Levi Strauss & Co., 7.625%, 5/15/2020 | 480,000 | 486,000 | |||||||
Limited Brands, Inc., 7.0%, 5/1/2020 | 230,000 | 247,250 | |||||||
Lions Gate Entertainment, Inc., 144A, 10.25%, 11/1/2016 | 390,000 | 401,212 | |||||||
Macy's Retail Holdings, Inc., 8.125%, 7/15/2015 | 60,000 | 72,000 | |||||||
Mediacom Broadband LLC, 8.5%, 10/15/2015 (c) | 835,000 | 867,356 | |||||||
Mediacom LLC, 9.125%, 8/15/2019 (c) | 530,000 | 575,050 | |||||||
MGM Resorts International: | |||||||||
7.5%, 6/1/2016 | 140,000 | 137,200 | |||||||
7.625%, 1/15/2017 | 390,000 | 381,225 | |||||||
9.0%, 3/15/2020 | 590,000 | 656,375 | |||||||
144A, 10.0%, 11/1/2016 | 160,000 | 173,600 | |||||||
10.375%, 5/15/2014 | 275,000 | 317,625 | |||||||
11.125%, 11/15/2017 | 345,000 | 400,200 | |||||||
Michaels Stores, Inc., Step-up Coupon, 0% to 11/1/2011, 13.0% to 11/1/2016 | 95,000 | 98,800 | |||||||
Musketeer GmbH, 144A, 9.5%, 3/15/2021 | EUR | 185,000 | 290,194 | ||||||
Needle Merger Sub Corp., 144A, 8.125%, 3/15/2019 | 195,000 | 197,438 | |||||||
Neiman Marcus Group, Inc., 10.375%, 10/15/2015 | 100,000 | 105,250 | |||||||
Norcraft Companies LP, 10.5%, 12/15/2015 | 620,000 | 649,450 | |||||||
Palace Entertainment Holdings LLC, 144A, 8.875%, 4/15/2017 | 285,000 | 294,975 | |||||||
Penske Automotive Group, Inc., 7.75%, 12/15/2016 | 985,000 | 1,014,550 | |||||||
PETCO Animal Supplies, Inc., 144A, 9.25%, 12/1/2018 | 225,000 | 241,313 | |||||||
Phillips-Van Heusen Corp., 7.375%, 5/15/2020 | 300,000 | 324,000 | |||||||
Regal Entertainment Group, 9.125%, 8/15/2018 | 250,000 | 265,625 | |||||||
Sabre Holdings Corp., 8.35%, 3/15/2016 | 375,000 | 339,375 | |||||||
Sears Holdings Corp., 144A, 6.625%, 10/15/2018 | 450,000 | 414,000 | |||||||
Seminole Indian Tribe of Florida: | |||||||||
144A, 7.75%, 10/1/2017 | 330,000 | 346,500 | |||||||
144A, 7.804%, 10/1/2020 | 535,000 | 540,928 | |||||||
Simmons Bedding Co., 144A, 11.25%, 7/15/2015 | 190,000 | 202,350 | |||||||
Sirius XM Radio, Inc., 144A, 8.75%, 4/1/2015 | 425,000 | 474,937 | |||||||
Sonic Automotive, Inc., Series B, 9.0%, 3/15/2018 | 350,000 | 373,625 | |||||||
Standard Pacific Corp.: | |||||||||
8.375%, 5/15/2018 | 375,000 | 381,562 | |||||||
10.75%, 9/15/2016 | 300,000 | 346,500 | |||||||
Toys "R" Us, Inc., 7.375%, 10/15/2018 | 330,000 | 330,000 | |||||||
Toys "R" Us-Delaware, Inc., 144A, 7.375%, 9/1/2016 | 260,000 | 270,400 | |||||||
Travelport LLC: | |||||||||
4.936%**, 9/1/2014 | 185,000 | 160,950 | |||||||
9.0%, 3/1/2016 | 250,000 | 219,375 | |||||||
11.875%, 9/1/2016 | 270,000 | 234,900 | |||||||
Unitymedia GmbH, 144A, 9.625%, 12/1/2019 | EUR | 610,000 | 970,025 | ||||||
Unitymedia Hessen GmbH & Co., KG, 144A, 8.125%, 12/1/2017 | 1,285,000 | 1,365,312 | |||||||
Univision Communications, Inc.: | |||||||||
144A, 6.875%, 5/15/2019 | 85,000 | 85,000 | |||||||
144A, 7.875%, 11/1/2020 | 185,000 | 196,100 | |||||||
UPC Holding BV: | |||||||||
144A, 8.375%, 8/15/2020 | EUR | 280,000 | 412,014 | ||||||
144A, 9.75%, 4/15/2018 | EUR | 595,000 | 924,765 | ||||||
Vail Resorts, Inc., 144A, 6.5%, 5/1/2019 | 180,000 | 183,825 | |||||||
Valassis Communications, Inc., 144A, 6.625%, 2/1/2021 | 245,000 | 243,469 | |||||||
Videotron Ltd., 9.125%, 4/15/2018 | 310,000 | 346,425 | |||||||
Visant Corp., 10.0%, 10/1/2017 | 305,000 | 322,538 | |||||||
Visteon Corp., 144A, 6.75%, 4/15/2019 | 610,000 | 591,700 | |||||||
Wynn Las Vegas LLC: | |||||||||
7.75%, 8/15/2020 | 370,000 | 405,612 | |||||||
7.875%, 11/1/2017 | 950,000 | 1,042,625 | |||||||
Yonkers Racing Corp., 144A, 11.375%, 7/15/2016 | 240,000 | 264,300 | |||||||
48,252,819 | |||||||||
Consumer Staples 5.0% | |||||||||
Alliance One International, Inc., 10.0%, 7/15/2016 | 195,000 | 196,463 | |||||||
American Rock Salt Co., LLC, 144A, 8.25%, 5/1/2018 | 240,000 | 243,000 | |||||||
B&G Foods, Inc., 7.625%, 1/15/2018 | 340,000 | 365,500 | |||||||
Central Garden & Pet Co., 8.25%, 3/1/2018 | 280,000 | 294,875 | |||||||
Constellation Brands, Inc., 8.375%, 12/15/2014 | 810,000 | 928,462 | |||||||
Darling International, Inc., 144A, 8.5%, 12/15/2018 | 620,000 | 675,800 | |||||||
Del Monte Foods Co., 144A, 7.625%, 2/15/2019 | 995,000 | 1,015,522 | |||||||
Dole Food Co., Inc., 144A, 8.0%, 10/1/2016 | 225,000 | 238,781 | |||||||
FAGE Dairy Industry SA, 144A, 9.875%, 2/1/2020 | 330,000 | 328,350 | |||||||
NBTY, Inc., 144A, 9.0%, 10/1/2018 | 185,000 | 198,412 | |||||||
North Atlantic Trading Co., 144A, 10.0%, 3/1/2012 | 975,000 | 965,250 | |||||||
Rite Aid Corp.: | |||||||||
7.5%, 3/1/2017 | 170,000 | 170,850 | |||||||
8.0%, 8/15/2020 | 375,000 | 403,594 | |||||||
10.25%, 10/15/2019 (c) | 160,000 | 178,400 | |||||||
Smithfield Foods, Inc.: | |||||||||
7.75%, 7/1/2017 | 940,000 | 996,400 | |||||||
10.0%, 7/15/2014 | 3,155,000 | 3,691,350 | |||||||
Stater Bros. Holdings, Inc., 144A, 7.375%, 11/15/2018 | 240,000 | 249,600 | |||||||
SUPERVALU, Inc., 8.0%, 5/1/2016 (c) | 245,000 | 255,106 | |||||||
Tops Holding Corp., 10.125%, 10/15/2015 | 440,000 | 470,250 | |||||||
TreeHouse Foods, Inc., 7.75%, 3/1/2018 | 185,000 | 199,800 | |||||||
U.S. Foodservice, 144A, 8.5%, 6/30/2019 | 145,000 | 146,088 | |||||||
12,211,853 | |||||||||
Energy 10.2% | |||||||||
Allis-Chalmers Energy, Inc., 9.0%, 1/15/2014 | 420,000 | 428,400 | |||||||
Alpha Natural Resources, Inc., 6.0%, 6/1/2019 (b) | 500,000 | 503,125 | |||||||
Arch Coal, Inc., 7.25%, 10/1/2020 | 150,000 | 158,250 | |||||||
Berry Petroleum Co.: | |||||||||
6.75%, 11/1/2020 | 330,000 | 340,725 | |||||||
10.25%, 6/1/2014 | 325,000 | 375,375 | |||||||
Bill Barrett Corp., 9.875%, 7/15/2016 | 280,000 | 317,800 | |||||||
BreitBurn Energy Partners LP, 8.625%, 10/15/2020 | 200,000 | 214,250 | |||||||
Brigham Exploration Co., 144A, 6.875%, 6/1/2019 | 165,000 | 165,825 | |||||||
Bristow Group, Inc., 7.5%, 9/15/2017 | 335,000 | 351,750 | |||||||
Calumet Specialty Products Partners LP, 144A, 9.375%, 5/1/2019 | 95,000 | 99,809 | |||||||
Chaparral Energy, Inc., 8.25%, 9/1/2021 | 450,000 | 465,750 | |||||||
Chesapeake Energy Corp.: | |||||||||
6.875%, 11/15/2020 | 190,000 | 199,975 | |||||||
9.5%, 2/15/2015 | 65,000 | 76,700 | |||||||
CITGO Petroleum Corp., 144A, 11.5%, 7/1/2017 | 375,000 | 433,125 | |||||||
Cloud Peak Energy Resources LLC: | |||||||||
8.25%, 12/15/2017 | 165,000 | 179,850 | |||||||
8.5%, 12/15/2019 | 165,000 | 183,975 | |||||||
CONSOL Energy, Inc.: | |||||||||
144A, 6.375%, 3/1/2021 | 125,000 | 126,250 | |||||||
8.0%, 4/1/2017 | 830,000 | 908,850 | |||||||
8.25%, 4/1/2020 | 470,000 | 521,700 | |||||||
Continental Resources, Inc.: | |||||||||
7.125%, 4/1/2021 | 230,000 | 244,950 | |||||||
7.375%, 10/1/2020 | 245,000 | 262,150 | |||||||
8.25%, 10/1/2019 | 110,000 | 121,000 | |||||||
Crestwood Midstream Partners LP, 144A, 7.75%, 4/1/2019 | 1,290,000 | 1,293,225 | |||||||
Crosstex Energy LP, 8.875%, 2/15/2018 | 425,000 | 461,125 | |||||||
Dresser-Rand Group, Inc., 144A, 6.5%, 5/1/2021 | 585,000 | 604,012 | |||||||
Eagle Rock Energy Partners LP, 144A, 8.375%, 6/1/2019 | 390,000 | 390,000 | |||||||
El Paso Corp., 7.25%, 6/1/2018 | 405,000 | 476,512 | |||||||
Energy Transfer Equity LP, 7.5%, 10/15/2020 | 280,000 | 305,200 | |||||||
Frontier Oil Corp.: | |||||||||
6.875%, 11/15/2018 | 270,000 | 282,150 | |||||||
8.5%, 9/15/2016 | 140,000 | 151,550 | |||||||
Genesis Energy LP, 144A, 7.875%, 12/15/2018 | 335,000 | 335,000 | |||||||
Global Geophysical Services, Inc., 10.5%, 5/1/2017 | 475,000 | 510,031 | |||||||
Harvest Operations Corp., 144A, 6.875%, 10/1/2017 | 180,000 | 189,900 | |||||||
Holly Corp., 9.875%, 6/15/2017 | 620,000 | 695,950 | |||||||
Holly Energy Partners LP, 144A, 8.25%, 3/15/2018 | 410,000 | 432,550 | |||||||
Inergy LP: | |||||||||
144A, 6.875%, 8/1/2021 | 110,000 | 113,300 | |||||||
144A, 7.0%, 10/1/2018 | 460,000 | 473,800 | |||||||
Linn Energy LLC: | |||||||||
144A, 6.5%, 5/15/2019 | 425,000 | 425,000 | |||||||
144A, 7.75%, 2/1/2021 | 465,000 | 490,575 | |||||||
8.625%, 4/15/2020 | 390,000 | 427,050 | |||||||
MEG Energy Corp., 144A, 6.5%, 3/15/2021 | 325,000 | 327,438 | |||||||
Newfield Exploration Co., 7.125%, 5/15/2018 | 955,000 | 1,023,044 | |||||||
Niska Gas Storage US LLC, 8.875%, 3/15/2018 | 205,000 | 220,375 | |||||||
Oasis Petroleum, Inc., 144A, 7.25%, 2/1/2019 | 370,000 | 372,775 | |||||||
Offshore Group Investments Ltd., 144A, 11.5%, 8/1/2015 (b) | 25,000 | 27,500 | |||||||
Petrohawk Energy Corp.: | |||||||||
7.25%, 8/15/2018 | 950,000 | 996,312 | |||||||
7.875%, 6/1/2015 | 145,000 | 152,975 | |||||||
Plains Exploration & Production Co., 7.625%, 6/1/2018 | 465,000 | 494,063 | |||||||
Quicksilver Resources, Inc., 11.75%, 1/1/2016 | 565,000 | 655,400 | |||||||
Range Resources Corp., 6.75%, 8/1/2020 | 140,000 | 147,700 | |||||||
Regency Energy Partners LP: | |||||||||
6.875%, 12/1/2018 | 275,000 | 289,438 | |||||||
9.375%, 6/1/2016 | 650,000 | 737,750 | |||||||
Sabine Pass LNG LP: | |||||||||
7.25%, 11/30/2013 | 1,125,000 | 1,164,375 | |||||||
7.5%, 11/30/2016 | 615,000 | 631,912 | |||||||
SandRidge Energy, Inc., 144A, 7.5%, 3/15/2021 | 410,000 | 424,350 | |||||||
SESI LLC, 144A, 6.375%, 5/1/2019 | 335,000 | 334,163 | |||||||
Southwestern Energy Co., 7.5%, 2/1/2018 | 530,000 | 606,187 | |||||||
Stone Energy Corp.: | |||||||||
6.75%, 12/15/2014 | 525,000 | 523,688 | |||||||
8.625%, 2/1/2017 | 390,000 | 407,550 | |||||||
Venoco, Inc., 144A, 8.875%, 2/15/2019 | 410,000 | 415,125 | |||||||
Xinergy Corp., 144A, 9.25%, 5/15/2019 | 240,000 | 244,800 | |||||||
24,933,434 | |||||||||
Financials 18.6% | |||||||||
Abengoa Finance SAU, 144A, 8.875%, 11/1/2017 | 510,000 | 522,750 | |||||||
Akbank TAS, 144A, 5.125%, 7/22/2015 | 480,000 | 480,576 | |||||||
Algoma Acquisition Corp., 144A, 9.875%, 6/15/2015 | 540,000 | 503,550 | |||||||
Ally Financial, Inc.: | |||||||||
144A, 6.25%, 12/1/2017 | 740,000 | 762,317 | |||||||
8.0%, 3/15/2020 | 870,000 | 960,262 | |||||||
8.3%, 2/12/2015 | 280,000 | 312,200 | |||||||
Antero Resources Finance Corp., 9.375%, 12/1/2017 | 390,000 | 425,100 | |||||||
Ardagh Packaging Finance PLC: | |||||||||
144A, 7.375%, 10/15/2017 | 285,000 | 304,238 | |||||||
144A, 7.375%, 10/15/2017 | EUR | 180,000 | 266,161 | ||||||
Ashton Woods USA LLC, 144A, Step-up Coupon, 0% to 6/30/2012, 11.0% to 6/30/2015 | 325,000 | 195,813 | |||||||
AWAS Aviation Capital Ltd., 144A, 7.0%, 10/15/2016 | 756,840 | 785,221 | |||||||
Bumble Bee Acquisiton Corp., 144A, 9.0%, 12/15/2017 | 430,000 | 441,825 | |||||||
Calpine Construction Finance Co., LP, 144A, 8.0%, 6/1/2016 | 420,000 | 457,800 | |||||||
Case New Holland, Inc.: | |||||||||
7.75%, 9/1/2013 | 1,110,000 | 1,207,125 | |||||||
144A, 7.875%, 12/1/2017 | 830,000 | 923,375 | |||||||
CIT Group, Inc.: | |||||||||
Series C, 144A, 5.25%, 4/1/2014 | 2,225,000 | 2,266,405 | |||||||
7.0%, 5/1/2015 | 409,700 | 412,773 | |||||||
7.0%, 5/1/2017 | 1,370,000 | 1,375,137 | |||||||
CPI International Acquisition, Inc., 144A, 8.0%, 2/15/2018 | 180,000 | 181,125 | |||||||
DuPont Fabros Technology LP, (REIT), 8.5%, 12/15/2017 | 495,000 | 545,119 | |||||||
E*TRADE Financial Corp.: | |||||||||
6.75%, 6/1/2016 | 410,000 | 410,000 | |||||||
12.5%, 11/30/2017 (PIK) | 733,000 | 881,432 | |||||||
Elster Finance BV, 144A, 6.25%, 4/15/2018 | EUR | 510,000 | 734,007 | ||||||
FCE Bank PLC, 9.375%, 1/17/2014 | EUR | 800,000 | 1,291,160 | ||||||
FelCor Escrow Holdings LLC, (REIT), 144A, 6.75%, 6/1/2019 | 290,000 | 288,550 | |||||||
Fibria Overseas Finance Ltd.: | |||||||||
144A, 6.75%, 3/3/2021 | 160,000 | 170,200 | |||||||
144A, 7.5%, 5/4/2020 | 293,000 | 325,113 | |||||||
Ford Motor Credit Co., LLC: | |||||||||
5.0%, 5/15/2018 | 585,000 | 580,060 | |||||||
6.625%, 8/15/2017 | 465,000 | 506,796 | |||||||
8.125%, 1/15/2020 | 1,410,000 | 1,655,877 | |||||||
Fresenius Medical Care US Finance, Inc., 144A, 5.75%, 2/15/2021 | 255,000 | 250,538 | |||||||
Fresenius US Finance II, Inc., 144A, 9.0%, 7/15/2015 | 300,000 | 343,125 | |||||||
Giraffe Acquisition Corp., 144A, 9.125%, 12/1/2018 | 225,000 | 209,813 | |||||||
Hellas Telecommunications Finance SCA, 144A, 8.985%**, 7/15/2015 (PIK)* | EUR | 278,431 | 240 | ||||||
Hexion US Finance Corp., 8.875%, 2/1/2018 | 2,260,000 | 2,426,675 | |||||||
Host Hotels & Resorts, Inc., Series W, (REIT), 144A, 5.875%, 6/15/2019 | 335,000 | 336,675 | |||||||
Inmarsat Finance PLC, 144A, 7.375%, 12/1/2017 | 955,000 | 1,012,300 | |||||||
International Lease Finance Corp.: | |||||||||
5.75%, 5/15/2016 | 155,000 | 156,243 | |||||||
6.25%, 5/15/2019 | 390,000 | 391,468 | |||||||
8.625%, 9/15/2015 | 300,000 | 332,625 | |||||||
8.75%, 3/15/2017 | 1,365,000 | 1,545,862 | |||||||
iPayment, Inc., 9.75%, 5/15/2014 | 225,000 | 230,625 | |||||||
Kinder Morgan Finance Co., LLC, 144A, 6.0%, 1/15/2018 | 610,000 | 638,212 | |||||||
Kinder Morgan Finance Co., ULC, 5.7%, 1/5/2016 | 910,000 | 965,737 | |||||||
Level 3 Escrow, Inc., 144A, 8.125%, 7/1/2019 (b) | 290,000 | 292,900 | |||||||
MPT Operating Partnership LP, (REIT), 144A, 6.875%, 5/1/2021 | 415,000 | 417,075 | |||||||
National Money Mart Co., 10.375%, 12/15/2016 | 450,000 | 502,312 | |||||||
Navios Maritime Acquisition Corp., 8.625%, 11/1/2017 | 100,000 | 102,250 | |||||||
Nielsen Finance LLC: | |||||||||
144A, 7.75%, 10/15/2018 | 100,000 | 107,250 | |||||||
11.5%, 5/1/2016 | 71,000 | 83,958 | |||||||
NII Capital Corp., 7.625%, 4/1/2021 | 235,000 | 249,394 | |||||||
Nuveen Investments, Inc.: | |||||||||
10.5%, 11/15/2015 | 510,000 | 540,600 | |||||||
144A, 10.5%, 11/15/2015 | 365,000 | 385,075 | |||||||
OMEGA Healthcare Investors, Inc., (REIT), 144A, 6.75%, 10/15/2022 | 405,000 | 403,988 | |||||||
Pinafore LLC, 144A, 9.0%, 10/1/2018 | 150,000 | 164,625 | |||||||
Pinnacle Foods Finance LLC: | |||||||||
8.25%, 9/1/2017 | 700,000 | 742,875 | |||||||
9.25%, 4/1/2015 | 785,000 | 822,287 | |||||||
Rainbow National Services LLC, 144A, 10.375%, 9/1/2014 | 804,000 | 834,150 | |||||||
Reynolds Group Issuer, Inc.: | |||||||||
144A, 6.875%, 2/15/2021 | 760,000 | 783,750 | |||||||
144A, 7.125%, 4/15/2019 | 1,355,000 | 1,409,200 | |||||||
144A, 8.25%, 2/15/2021 | 155,000 | 157,713 | |||||||
144A, 8.5%, 10/15/2016 | 620,000 | 663,400 | |||||||
144A, 8.75%, 5/15/2018 | 100,000 | 104,000 | |||||||
144A, 9.0%, 4/15/2019 | 390,000 | 413,887 | |||||||
SLM Corp., 8.0%, 3/25/2020 | 170,000 | 187,477 | |||||||
Susser Holdings LLC, 8.5%, 5/15/2016 | 215,000 | 232,200 | |||||||
Toys "R" Us Property Co. I, LLC, 10.75%, 7/15/2017 | 360,000 | 406,800 | |||||||
Tropicana Entertainment LLC, 9.625%, 12/15/2014* | 730,000 | 365 | |||||||
Uncle Acquisition 2010 Corp., 144A, 8.625%, 2/15/2019 | 165,000 | 173,250 | |||||||
UPCB Finance III Ltd., 144A, 6.625%, 7/1/2020 | 255,000 | 254,363 | |||||||
Virgin Media Finance PLC, Series 1, 9.5%, 8/15/2016 | 1,870,000 | 2,136,475 | |||||||
Virgin Media Secured Finance PLC, 6.5%, 1/15/2018 | 3,695,000 | 4,069,119 | |||||||
45,652,943 | |||||||||
Health Care 6.0% | |||||||||
Aviv Healthcare Properties LP, 144A, 7.75%, 2/15/2019 | 325,000 | 332,313 | |||||||
Community Health Systems, Inc., 8.875%, 7/15/2015 | 615,000 | 634,987 | |||||||
HCA Holdings, Inc., 144A, 7.75%, 5/15/2021 | 805,000 | 842,231 | |||||||
HCA, Inc.: | |||||||||
7.875%, 2/15/2020 | 3,805,000 | 4,183,122 | |||||||
8.5%, 4/15/2019 | 270,000 | 302,063 | |||||||
9.25%, 11/15/2016 | 3,145,000 | 3,357,287 | |||||||
9.625%, 11/15/2016 (PIK) | 520,000 | 556,400 | |||||||
9.875%, 2/15/2017 | 328,000 | 366,950 | |||||||
Mylan, Inc.: | |||||||||
144A, 7.625%, 7/15/2017 | 1,945,000 | 2,141,931 | |||||||
144A, 7.875%, 7/15/2020 | 190,000 | 210,425 | |||||||
STHI Holding Corp., 144A, 8.0%, 3/15/2018 | 240,000 | 247,200 | |||||||
Vanguard Health Holding Co. II, LLC: | |||||||||
8.0%, 2/1/2018 | 405,000 | 422,213 | |||||||
144A, 8.0%, 2/1/2018 | 370,000 | 384,800 | |||||||
Vanguard Health Systems, Inc., 144A, Zero Coupon, 2/1/2016 | 340,000 | 219,725 | |||||||
Warner Chilcott Co., LLC, 144A, 7.75%, 9/15/2018 | 545,000 | 568,162 | |||||||
14,769,809 | |||||||||
Industrials 12.3% | |||||||||
Accuride Corp., 9.5%, 8/1/2018 | 270,000 | 296,325 | |||||||
Actuant Corp., 6.875%, 6/15/2017 | 180,000 | 186,300 | |||||||
Aguila 3 SA, 144A, 7.875%, 1/31/2018 | 435,000 | 444,787 | |||||||
American Airlines, Inc., 144A, 7.5%, 3/15/2016 (c) | 340,000 | 335,750 | |||||||
AMGH Merger Sub, Inc., 144A, 9.25%, 11/1/2018 | 125,000 | 134,219 | |||||||
ARAMARK Corp., 8.5%, 2/1/2015 | 525,000 | 546,000 | |||||||
ARAMARK Holdings Corp., 144A, 8.625%, 5/1/2016 (PIK) | 75,000 | 76,688 | |||||||
Armored Autogroup, Inc., 144A, 9.25%, 11/1/2018 | 400,000 | 405,500 | |||||||
B-Corp Merger Sub, Inc., 144A, 8.25%, 6/1/2019 (b) | 240,000 | 242,700 | |||||||
BE Aerospace, Inc.: | |||||||||
6.875%, 10/1/2020 | 275,000 | 290,125 | |||||||
8.5%, 7/1/2018 | 830,000 | 919,225 | |||||||
Belden, Inc.: | |||||||||
7.0%, 3/15/2017 | 185,000 | 191,013 | |||||||
9.25%, 6/15/2019 | 425,000 | 475,469 | |||||||
Boart Longyear Management Pty, Ltd., 144A, 7.0%, 4/1/2021 | 270,000 | 281,138 | |||||||
Bombardier, Inc., 144A, 7.75%, 3/15/2020 (c) | 2,055,000 | 2,322,150 | |||||||
Briggs & Stratton Corp., 6.875%, 12/15/2020 | 275,000 | 290,125 | |||||||
Casella Waste Systems, Inc., 144A, 7.75%, 2/15/2019 | 585,000 | 592,312 | |||||||
Cenveo Corp.: | |||||||||
8.875%, 2/1/2018 | 1,005,000 | 1,020,075 | |||||||
144A, 10.5%, 8/15/2016 | 240,000 | 241,800 | |||||||
CHC Helicopter SA, 144A, 9.25%, 10/15/2020 | 645,000 | 625,650 | |||||||
Clean Harbors, Inc., 7.625%, 8/15/2016 | 203,000 | 216,703 | |||||||
Congoleum Corp., 9.0%, 12/31/2017 (PIK) | 130,350 | 92,549 | |||||||
Corrections Corp. of America, 7.75%, 6/1/2017 | 625,000 | 684,375 | |||||||
Delta Air Lines, Inc., 144A, 9.5%, 9/15/2014 | 117,000 | 126,068 | |||||||
Deluxe Corp., 144A, 7.0%, 3/15/2019 | 250,000 | 251,250 | |||||||
DynCorp International, Inc., 144A, 10.375%, 7/1/2017 | 635,000 | 673,100 | |||||||
Esterline Technologies Corp., 7.0%, 8/1/2020 | 400,000 | 426,000 | |||||||
Florida East Coast Railway Corp., 144A, 8.125%, 2/1/2017 | 155,000 | 161,588 | |||||||
FTI Consulting, Inc., 144A, 6.75%, 10/1/2020 | 1,095,000 | 1,116,900 | |||||||
Garda World Security Corp., 144A, 9.75%, 3/15/2017 | 235,000 | 251,450 | |||||||
H&E Equipment Services, Inc., 8.375%, 7/15/2016 | 845,000 | 887,250 | |||||||
Heckler & Koch GmbH, 144A, 9.5%, 5/15/2018 | EUR | 420,000 | 568,156 | ||||||
Huntington Ingalls Industries, Inc.: | |||||||||
144A, 6.875%, 3/15/2018 | 250,000 | 260,625 | |||||||
144A, 7.125%, 3/15/2021 | 85,000 | 88,719 | |||||||
Interline Brands, Inc., 7.0%, 11/15/2018 | 395,000 | 404,381 | |||||||
K. Hovnanian Enterprises, Inc., 10.625%, 10/15/2016 | 255,000 | 256,275 | |||||||
Kansas City Southern de Mexico SA de CV: | |||||||||
144A, 6.125%, 6/15/2021 | 305,000 | 306,525 | |||||||
8.0%, 2/1/2018 | 850,000 | 941,375 | |||||||
Kansas City Southern Railway Co., 8.0%, 6/1/2015 | 455,000 | 494,812 | |||||||
Meritor, Inc.: | |||||||||
8.125%, 9/15/2015 | 205,000 | 215,250 | |||||||
10.625%, 3/15/2018 | 225,000 | 255,375 | |||||||
Navios Maritime Holdings, Inc., 144A, 8.125%, 2/15/2019 | 530,000 | 530,000 | |||||||
Navios South American Logisitcs, Inc., 144A, 9.25%, 4/15/2019 | 205,000 | 209,100 | |||||||
Nortek, Inc., 144A, 8.5%, 4/15/2021 | 510,000 | 486,412 | |||||||
Oshkosh Corp.: | |||||||||
8.25%, 3/1/2017 | 95,000 | 103,550 | |||||||
8.5%, 3/1/2020 | 185,000 | 203,500 | |||||||
Owens Corning, Inc., 9.0%, 6/15/2019 | 455,000 | 544,843 | |||||||
Ply Gem Industries, Inc.: | |||||||||
144A, 8.25%, 2/15/2018 | 190,000 | 187,625 | |||||||
13.125%, 7/15/2014 | 355,000 | 386,950 | |||||||
RailAmerica, Inc., 9.25%, 7/1/2017 | 264,000 | 292,380 | |||||||
RBS Global & Rexnord Corp.: | |||||||||
8.5%, 5/1/2018 | 885,000 | 960,225 | |||||||
11.75%, 8/1/2016 (c) | 130,000 | 138,775 | |||||||
Rearden G Holdings EINS GmbH, 144A, 7.875%, 3/30/2020 | 170,000 | 186,354 | |||||||
Sitel LLC, 11.5%, 4/1/2018 | 350,000 | 329,875 | |||||||
Spirit AeroSystems, Inc.: | |||||||||
6.75%, 12/15/2020 | 330,000 | 336,600 | |||||||
7.5%, 10/1/2017 | 230,000 | 247,250 | |||||||
SPX Corp., 144A, 6.875%, 9/1/2017 | 250,000 | 267,500 | |||||||
The Geo Group, Inc., 7.75%, 10/15/2017 | 795,000 | 852,637 | |||||||
Titan International, Inc., 144A, 7.875%, 10/1/2017 | 1,230,000 | 1,322,250 | |||||||
TransDigm, Inc., 144A, 7.75%, 12/15/2018 | 500,000 | 531,250 | |||||||
Triumph Group, Inc.: | |||||||||
8.0%, 11/15/2017 | 80,000 | 85,700 | |||||||
8.625%, 7/15/2018 | 565,000 | 625,031 | |||||||
Tutor Perini Corp., 144A, 7.625%, 11/1/2018 | 435,000 | 432,281 | |||||||
United Rentals North America, Inc.: | |||||||||
9.25%, 12/15/2019 | 1,215,000 | 1,360,800 | |||||||
10.875%, 6/15/2016 | 590,000 | 676,287 | |||||||
USG Corp., 144A, 9.75%, 8/1/2014 | 200,000 | 215,000 | |||||||
30,108,252 | |||||||||
Information Technology 6.0% | |||||||||
Alcatel-Lucent USA, Inc., 6.45%, 3/15/2029 | 455,000 | 417,462 | |||||||
Allen Systems Group, Inc., 144A, 10.5%, 11/15/2016 | 140,000 | 144,200 | |||||||
Amkor Technology, Inc.: | |||||||||
144A, 6.625%, 6/1/2021 | 105,000 | 105,000 | |||||||
7.375%, 5/1/2018 | 460,000 | 479,550 | |||||||
Aspect Software, Inc., 10.625%, 5/15/2017 | 460,000 | 496,800 | |||||||
Avaya, Inc., 144A, 7.0%, 4/1/2019 | 1,150,000 | 1,124,125 | |||||||
CDW LLC: | |||||||||
144A, 8.5%, 4/1/2019 | 415,000 | 421,225 | |||||||
11.0%, 10/12/2015 | 36,000 | 38,700 | |||||||
CommScope, Inc., 144A, 8.25%, 1/15/2019 | 665,000 | 696,587 | |||||||
eAccess Ltd., 144A, 8.25%, 4/1/2018 | 235,000 | 237,644 | |||||||
Equinix, Inc., 8.125%, 3/1/2018 | 1,100,000 | 1,188,000 | |||||||
Fidelity National Information Services, Inc.: | |||||||||
7.625%, 7/15/2017 | 135,000 | 148,500 | |||||||
7.875%, 7/15/2020 | 175,000 | 192,938 | |||||||
First Data Corp.: | |||||||||
144A, 7.375%, 6/15/2019 | 245,000 | 249,288 | |||||||
144A, 8.25%, 1/15/2021 | 935,000 | 932,662 | |||||||
144A, 8.875%, 8/15/2020 | 635,000 | 688,975 | |||||||
Freescale Semiconductor, Inc., 144A, 9.25%, 4/15/2018 | 1,755,000 | 1,956,825 | |||||||
InterXion Holding NV, 144A, 9.5%, 2/12/2017 | EUR | 280,000 | 451,302 | ||||||
Jabil Circuit, Inc.: | |||||||||
5.625%, 12/15/2020 | 400,000 | 399,500 | |||||||
7.75%, 7/15/2016 | 135,000 | 152,888 | |||||||
MasTec, Inc., 7.625%, 2/1/2017 | 430,000 | 438,600 | |||||||
MEMC Electronic Materials, Inc., 144A, 7.75%, 4/1/2019 | 330,000 | 338,250 | |||||||
Sanmina-SCI Corp., 144A, 7.0%, 5/15/2019 | 175,000 | 170,406 | |||||||
Seagate HDD Cayman, 144A, 7.0%, 11/1/2021 | 415,000 | 421,225 | |||||||
Sensata Technologies BV, 144A, 6.5%, 5/15/2019 | 420,000 | 424,725 | |||||||
SunGard Data Systems, Inc.: | |||||||||
7.375%, 11/15/2018 | 185,000 | 188,700 | |||||||
10.25%, 8/15/2015 | 1,395,000 | 1,450,800 | |||||||
10.625%, 5/15/2015 | 400,000 | 437,000 | |||||||
Unisys Corp., 144A, 12.75%, 10/15/2014 | 185,000 | 218,531 | |||||||
Vangent, Inc., 9.625%, 2/15/2015 | 160,000 | 161,600 | |||||||
14,772,008 | |||||||||
Materials 15.6% | |||||||||
Aleris International, Inc., 144A, 7.625%, 2/15/2018 | 155,000 | 161,394 | |||||||
APERAM: | |||||||||
144A, 7.375%, 4/1/2016 | 305,000 | 316,056 | |||||||
144A, 7.75%, 4/1/2018 | 365,000 | 376,863 | |||||||
Appleton Papers, Inc., 11.25%, 12/15/2015 | 106,000 | 108,385 | |||||||
Ashland, Inc., 9.125%, 6/1/2017 | 415,000 | 473,100 | |||||||
Ball Corp.: | |||||||||
7.125%, 9/1/2016 | 1,420,000 | 1,554,900 | |||||||
7.375%, 9/1/2019 | 170,000 | 184,875 | |||||||
Berry Plastics Corp.: | |||||||||
5.028%**, 2/15/2015 | 1,965,000 | 1,945,350 | |||||||
8.25%, 11/15/2015 | 745,000 | 799,012 | |||||||
9.5%, 5/15/2018 | 235,000 | 239,113 | |||||||
9.75%, 1/15/2021 | 305,000 | 305,381 | |||||||
Boise Paper Holdings LLC, 8.0%, 4/1/2020 | 215,000 | 232,200 | |||||||
BWAY Parent Co., Inc., 144A, 10.125%, 11/1/2015 (PIK) | 158,382 | 165,905 | |||||||
Calcipar SA, 144A, 6.875%, 5/1/2018 | 350,000 | 362,250 | |||||||
Celanese US Holdings LLC: | |||||||||
5.875%, 6/15/2021 | 235,000 | 240,288 | |||||||
6.625%, 10/15/2018 | 260,000 | 273,975 | |||||||
China Lumena New Materials Corp., 144A, 12.0%, 10/27/2014 | 635,000 | 658,812 | |||||||
Clearwater Paper Corp., 144A, 7.125%, 11/1/2018 | 515,000 | 535,600 | |||||||
Clondalkin Acquisition BV, 144A, 2.31%**, 12/15/2013 | 1,795,000 | 1,741,150 | |||||||
Compass Minerals International, Inc., 8.0%, 6/1/2019 | 325,000 | 359,125 | |||||||
Crown Americas LLC: | |||||||||
144A, 6.25%, 2/1/2021 | 70,000 | 72,538 | |||||||
7.625%, 5/15/2017 | 1,590,000 | 1,745,025 | |||||||
Crown European Holdings SA, 144A, 7.125%, 8/15/2018 | EUR | 250,000 | 375,965 | ||||||
Domtar Corp., 10.75%, 6/1/2017 | 300,000 | 385,500 | |||||||
Essar Steel Algoma, Inc., 144A, 9.375%, 3/15/2015 | 1,770,000 | 1,789,912 | |||||||
Exopack Holding Corp., 144A, 10.0%, 6/1/2018 | 335,000 | 335,000 | |||||||
FMG Resources (August 2006) Pty Ltd., 144A, 7.0%, 11/1/2015 | 180,000 | 187,200 | |||||||
GEO Specialty Chemicals, Inc.: | |||||||||
144A, 7.5%, 3/31/2015 (PIK) | 428,424 | 394,150 | |||||||
10.0%, 3/31/2015 | 421,120 | 416,909 | |||||||
Georgia-Pacific LLC, 144A, 5.4%, 11/1/2020 | 1,665,000 | 1,730,911 | |||||||
Graham Packaging Co., LP, 8.25%, 10/1/2018 | 190,000 | 207,100 | |||||||
Graphic Packaging International, Inc.: | |||||||||
7.875%, 10/1/2018 | 90,000 | 98,100 | |||||||
9.5%, 6/15/2017 | 765,000 | 852,975 | |||||||
Greif, Inc., 7.75%, 8/1/2019 | 870,000 | 957,000 | |||||||
Hexcel Corp., 6.75%, 2/1/2015 | 405,000 | 413,606 | |||||||
Huntsman International LLC: | |||||||||
8.625%, 3/15/2020 | 455,000 | 508,462 | |||||||
8.625%, 3/15/2021 | 185,000 | 206,969 | |||||||
Ineos Finance PLC: | |||||||||
144A, 9.0%, 5/15/2015 | 195,000 | 211,331 | |||||||
144A, 9.25%, 5/15/2015 | EUR | 75,000 | 116,297 | ||||||
JMC Steel Group, 144A, 8.25%, 3/15/2018 | 240,000 | 247,800 | |||||||
Koppers, Inc., 7.875%, 12/1/2019 | 490,000 | 531,650 | |||||||
Longview Fibre Paper & Packaging, Inc, 144A, 8.0%, 6/1/2016 | 245,000 | 248,675 | |||||||
Lyondell Chemical Co., 144A, 8.0%, 11/1/2017 | 614,000 | 690,750 | |||||||
Momentive Performance Materials, Inc.: | |||||||||
144A, 9.0%, 1/15/2021 | 670,000 | 716,900 | |||||||
144A, 9.5%, 1/15/2021 | EUR | 255,000 | 387,154 | ||||||
Nalco Co., 144A, 6.625%, 1/15/2019 | 330,000 | 342,788 | |||||||
NewMarket Corp., 7.125%, 12/15/2016 | 495,000 | 516,037 | |||||||
Novelis, Inc.: | |||||||||
8.375%, 12/15/2017 | 1,070,000 | 1,166,300 | |||||||
8.75%, 12/15/2020 | 685,000 | 756,925 | |||||||
OI European Group BV, 144A, 6.75%, 9/15/2020 | EUR | 255,000 | 375,227 | ||||||
Owens-Brockway Glass Container, Inc., 7.375%, 5/15/2016 | 2,030,000 | 2,243,150 | |||||||
Packaging Dynamics Corp., 144A, 8.75%, 2/1/2016 | 370,000 | 387,112 | |||||||
Phibro Animal Health Corp., 144A, 9.25%, 7/1/2018 | 50,000 | 53,875 | |||||||
Polymer Group, Inc., 144A, 7.75%, 2/1/2019 | 415,000 | 427,450 | |||||||
Radnor Holdings Corp., 11.0%, 3/15/2010* | 90,000 | 9 | |||||||
Rain CII Carbon LLC, 144A, 8.0%, 12/1/2018 | 370,000 | 396,825 | |||||||
Sealed Air Corp., 7.875%, 6/15/2017 | 2,360,000 | 2,659,390 | |||||||
Silgan Holdings, Inc., 7.25%, 8/15/2016 | 845,000 | 904,150 | |||||||
Solo Cup Co., 10.5%, 11/1/2013 | 1,270,000 | 1,323,975 | |||||||
Styrolution GmbH, 144A, 7.625%, 5/15/2016 | EUR | 145,000 | 208,669 | ||||||
Texas Industries, Inc., 9.25%, 8/15/2020 | 305,000 | 322,919 | |||||||
United States Steel Corp., 7.375%, 4/1/2020 | 595,000 | 623,262 | |||||||
Verso Paper Holdings LLC, 144A, 8.75%, 2/1/2019 | 90,000 | 90,000 | |||||||
Viskase Companies, Inc., 144A, 9.875%, 1/15/2018 | 545,000 | 571,569 | |||||||
Wolverine Tube, Inc., 15.0%, 3/31/2012 (PIK)* | 328,799 | 158,646 | |||||||
38,389,891 | |||||||||
Telecommunication Services 15.9% | |||||||||
Buccaneer Merger Sub, Inc., 144A, 9.125%, 1/15/2019 | 90,000 | 96,413 | |||||||
CC Holdings GS V LLC, 144A, 7.75%, 5/1/2017 | 1,015,000 | 1,115,231 | |||||||
Cincinnati Bell, Inc.: | |||||||||
8.25%, 10/15/2017 | 1,680,000 | 1,711,500 | |||||||
8.375%, 10/15/2020 | 1,360,000 | 1,377,000 | |||||||
8.75%, 3/15/2018 | 1,185,000 | 1,143,525 | |||||||
Clearwire Communications LLC: | |||||||||
144A, 12.0%, 12/1/2015 | 70,000 | 76,563 | |||||||
144A, 12.0%, 12/1/2017 (c) | 300,000 | 327,375 | |||||||
Cricket Communications, Inc.: | |||||||||
7.75%, 5/15/2016 | 1,825,000 | 1,939,062 | |||||||
7.75%, 10/15/2020 (c) | 2,415,000 | 2,390,850 | |||||||
10.0%, 7/15/2015 | 495,000 | 538,931 | |||||||
Crown Castle International Corp.: | |||||||||
7.125%, 11/1/2019 | 325,000 | 346,125 | |||||||
9.0%, 1/15/2015 | 560,000 | 621,600 | |||||||
Digicel Group Ltd., 144A, 10.5%, 4/15/2018 | 320,000 | 361,600 | |||||||
Digicel Ltd., 144A, 8.25%, 9/1/2017 | 2,015,000 | 2,115,750 | |||||||
ERC Ireland Preferred Equity Ltd., 144A, 8.42%**, 2/15/2017 (PIK) | EUR | 263,548 | 6,166 | ||||||
Frontier Communications Corp.: | |||||||||
6.25%, 1/15/2013 | 224,000 | 235,760 | |||||||
7.875%, 4/15/2015 | 85,000 | 92,438 | |||||||
8.25%, 4/15/2017 | 500,000 | 548,750 | |||||||
8.5%, 4/15/2020 | 665,000 | 729,006 | |||||||
8.75%, 4/15/2022 | 85,000 | 92,969 | |||||||
Hughes Network Systems LLC, 9.5%, 4/15/2014 | 1,215,000 | 1,251,450 | |||||||
Intelsat Jackson Holdings SA: | |||||||||
144A, 7.25%, 10/15/2020 | 920,000 | 922,300 | |||||||
144A, 7.5%, 4/1/2021 | 1,220,000 | 1,235,250 | |||||||
8.5%, 11/1/2019 | 835,000 | 893,450 | |||||||
11.25%, 6/15/2016 | 455,000 | 482,300 | |||||||
Intelsat Luxembourg SA: | |||||||||
11.25%, 2/4/2017 | 1,365,000 | 1,474,200 | |||||||
11.5%, 2/4/2017 (PIK) | 2,325,468 | 2,520,226 | |||||||
144A, 11.5%, 2/4/2017 (PIK) | 630,000 | 682,762 | |||||||
iPCS, Inc., 2.398%**, 5/1/2013 | 115,000 | 111,406 | |||||||
MetroPCS Wireless, Inc.: | |||||||||
6.625%, 11/15/2020 | 810,000 | 807,975 | |||||||
7.875%, 9/1/2018 | 580,000 | 624,225 | |||||||
Nextel Communications, Inc., Series E, 6.875%, 10/31/2013 | 1,990,000 | 2,007,412 | |||||||
Pacnet Ltd., 144A, 9.25%, 11/9/2015 | 200,000 | 201,000 | |||||||
Qwest Communications International, Inc.: | |||||||||
7.125%, 4/1/2018 | 3,380,000 | 3,663,075 | |||||||
8.0%, 10/1/2015 | 360,000 | 394,200 | |||||||
Qwest Corp., 8.375%, 5/1/2016 | 90,000 | 106,875 | |||||||
SBA Telecommunications, Inc.: | |||||||||
8.0%, 8/15/2016 | 115,000 | 124,919 | |||||||
8.25%, 8/15/2019 | 150,000 | 165,188 | |||||||
Sprint Nextel Corp., 8.375%, 8/15/2017 | 870,000 | 980,925 | |||||||
Telesat Canada, 11.0%, 11/1/2015 | 1,150,000 | 1,267,875 | |||||||
West Corp.: | |||||||||
144A, 7.875%, 1/15/2019 | 190,000 | 193,563 | |||||||
144A, 8.625%, 10/1/2018 | 50,000 | 52,688 | |||||||
Windstream Corp.: | |||||||||
7.0%, 3/15/2019 | 340,000 | 351,050 | |||||||
7.5%, 4/1/2023 | 465,000 | 478,950 | |||||||
7.75%, 10/15/2020 | 250,000 | 268,750 | |||||||
7.875%, 11/1/2017 | 1,155,000 | 1,263,281 | |||||||
8.125%, 9/1/2018 | 535,000 | 583,819 | |||||||
38,975,728 | |||||||||
Utilities 4.4% | |||||||||
AES Corp.: | |||||||||
8.0%, 10/15/2017 | 255,000 | 275,719 | |||||||
8.0%, 6/1/2020 | 375,000 | 405,937 | |||||||
Calpine Corp.: | |||||||||
144A, 7.5%, 2/15/2021 | 640,000 | 665,600 | |||||||
144A, 7.875%, 7/31/2020 | 745,000 | 789,700 | |||||||
Centrais Eletricas Brasileiras SA, 144A, 6.875%, 7/30/2019 | 2,545,000 | 2,875,850 | |||||||
Edison Mission Energy, 7.0%, 5/15/2017 | 1,105,000 | 914,387 | |||||||
Energy Future Holdings Corp., Series Q, 6.5%, 11/15/2024 | 805,000 | 426,650 | |||||||
Ferrellgas LP, 144A, 6.5%, 5/1/2021 | 160,000 | 159,400 | |||||||
Florida Gas Transmission Co., 144A, 7.9%, 5/15/2019 | 785,000 | 975,193 | |||||||
IPALCO Enterprises, Inc.: | |||||||||
144A, 5.0%, 5/1/2018 | 975,000 | 982,312 | |||||||
144A, 7.25%, 4/1/2016 | 185,000 | 207,663 | |||||||
NRG Energy, Inc.: | |||||||||
7.375%, 1/15/2017 | 1,145,000 | 1,207,975 | |||||||
144A, 7.625%, 1/15/2018 | 285,000 | 287,850 | |||||||
8.25%, 9/1/2020 | 285,000 | 292,125 | |||||||
Suburban Propane Partners LP, 7.375%, 3/15/2020 | 120,000 | 128,400 | |||||||
Texas Competitive Electric Holdings Co., LLC, Series A, 10.25%, 11/1/2015 | 195,000 | 124,313 | |||||||
10,719,074 | |||||||||
Total Corporate Bonds (Cost $264,656,578) | 278,785,811 | ||||||||
Commercial Mortgage-Backed Security 0.4% | |||||||||
Citigroup Commercial Mortgage Trust, "AMP3", Series 2006-C5, 144A, 5.501%**, 10/15/2049 (Cost $1,003,493) | 1,061,897 | 959,369 | |||||||
Government & Agency Obligations 9.7% | |||||||||
Other Government Related (d) 0.3% | |||||||||
Pemex Project Funding Master Trust, 5.75%, 3/1/2018 | 770,000 | 836,117 | |||||||
Sovereign Bonds 9.4% | |||||||||
Democratic Socialist Republic of Sri Lanka, 144A, 7.4%, 1/22/2015 | 565,000 | 617,969 | |||||||
Federative Republic of Brazil, 12.5%, 1/5/2016 | BRL | 2,070,000 | 1,538,314 | ||||||
Republic of Argentina-Inflation Linked Bond, 5.83%, 12/31/2033 | ARS | 788 | 261 | ||||||
Republic of El Salvador, 144A, 7.65%, 6/15/2035 | 1,235,000 | 1,274,520 | |||||||
Republic of Ghana, 144A, 8.5%, 10/4/2017 | 175,000 | 195,563 | |||||||
Republic of Lithuania: | |||||||||
144A, 5.125%, 9/14/2017 | 1,395,000 | 1,442,376 | |||||||
144A, 7.375%, 2/11/2020 | 1,450,000 | 1,696,847 | |||||||
Republic of Panama, 9.375%, 1/16/2023 | 2,610,000 | 3,543,075 | |||||||
Republic of Poland, 6.375%, 7/15/2019 | 2,550,000 | 2,906,538 | |||||||
Republic of South Africa, 6.875%, 5/27/2019 | 185,000 | 220,612 | |||||||
Republic of Uruguay: | |||||||||
7.875%, 1/15/2033 (PIK) | 685,000 | 852,825 | |||||||
9.25%, 5/17/2017 | 1,825,000 | 2,388,012 | |||||||
Republic of Venezuela, 9.25%, 9/15/2027 | 1,090,000 | 773,900 | |||||||
Russian Federation: | |||||||||
144A, 5.0%, 4/29/2020 | 1,345,000 | 1,371,093 | |||||||
REG S, 7.5%, 3/31/2030 | 3,551,452 | 4,184,072 | |||||||
23,005,977 | |||||||||
Total Government & Agency Obligations (Cost $21,438,937) | 23,842,094 | ||||||||
Loan Participations and Assignments 7.7% | |||||||||
Senior Loans** 6.3% | |||||||||
Buffets, Inc., Letter of Credit, First Lien, 7.557%, 4/22/2015 | 46,772 | 37,651 | |||||||
Charter Communications Operating LLC, Term Loan, 7.25%, 3/6/2014 | 26,594 | 26,713 | |||||||
Chrysler Group LLC, Term Loan, 4.98%, 6/2/2017 | 100,000 | 99,585 | |||||||
Clear Channel Communications, Inc., Term Loan B, 3.841%, 1/28/2016 | 848,342 | 745,481 | |||||||
Del Monte Foods Co., Term Loan, 4.5%, 3/8/2018 | 1,470,000 | 1,471,830 | |||||||
Dunkin' Brands, Inc., Term Loan B, 4.25%, 11/23/2017 | 518,700 | 520,225 | |||||||
Hawker Beechcraft Acquisition Co., LLC: | |||||||||
Term Loan, 2.191%, 3/26/2014 | 1,251,920 | 1,102,366 | |||||||
Letter of Credit, 2.307%, 3/26/2014 | 77,416 | 68,168 | |||||||
Kabel Deutschland GmbH, Term Loan, 8.712%, 11/19/2014 (PIK) | EUR | 1,736,539 | 2,507,992 | ||||||
PETCO Animal Supplies, Inc., Term Loan, 4.5%, 11/24/2017 | 594,000 | 594,140 | |||||||
Roundy's Supermarkets, Inc., Second Lien Term Loan, 10.0%, 4/18/2016 | 495,000 | 501,393 | |||||||
Syniverse Technologies, Inc., Term Loan B, 5.25%, 12/21/2017 | 369,075 | 372,382 | |||||||
Telesat Canada: | |||||||||
Term Loan I, 3.2%, 10/31/2014 | 1,392,005 | 1,389,137 | |||||||
Term Loan II, 3.2%, 10/31/2014 | 119,569 | 119,323 | |||||||
Tomkins LLC, Term Loan B, 4.25%, 9/29/2016 | 4,822,359 | 4,842,565 | |||||||
TowerCo Finance LLC, Term Loan B, 5.25%, 2/2/2017 | 500,000 | 503,957 | |||||||
Tribune Co., Term Loan B, LIBOR plus 3.0%, 6/4/2014* | 404,875 | 276,580 | |||||||
VML US Finance LLC: | |||||||||
Delayed Draw Term Loan B, 4.7%, 5/25/2012 | 112,431 | 112,564 | |||||||
Term Loan B, 4.7%, 5/27/2013 | 194,647 | 194,879 | |||||||
15,486,931 | |||||||||
Sovereign Loans 1.4% | |||||||||
BOM Capital PLC, 144A, 6.699%, 3/11/2015 | 1,385,000 | 1,465,261 | |||||||
JSC VTB Bank, 144A, 6.315%, 2/22/2018 | 985,000 | 1,021,564 | |||||||
VIP Finance Ireland Ltd.: | |||||||||
144A, 6.493%, 2/2/2016 | 200,000 | 208,318 | |||||||
144A, 7.748%, 2/2/2021 | 565,000 | 596,996 | |||||||
3,292,139 | |||||||||
Total Loan Participations and Assignments (Cost $18,593,285) | 18,779,070 | ||||||||
Convertible Bonds 0.2% | |||||||||
Consumer Discretionary | |||||||||
Group 1 Automotive, Inc., 144A, 3.0%, 3/15/2020 | 235,000 | 282,881 | |||||||
Sonic Automotive, Inc., 5.0%, 10/1/2029 | 100,000 | 124,000 | |||||||
Total Convertible Bonds (Cost $335,250) | 406,881 | ||||||||
Preferred Securities 0.7% | |||||||||
Financials 0.5% | |||||||||
Citigroup Capital XXI, 8.3%, 12/21/2057 | 1,235,000 | 1,268,962 | |||||||
Materials 0.2% | |||||||||
Hercules, Inc., 6.5%, 6/30/2029 | 675,000 | 580,500 | |||||||
Total Preferred Securities (Cost $1,679,629) | 1,849,462 |
Units | Value ($) | |||||||
Other Investments 0.0% | ||||||||
Consumer Discretionary | ||||||||
AOT Bedding Super Holdings LLC* (Cost $15,000) | 15 | 15,000 |
Shares | Value ($) | |||||||
Common Stocks 0.0% | ||||||||
Consumer Discretionary 0.0% | ||||||||
Buffets Restaurants Holdings, Inc.* | 8,911 | 35,644 | ||||||
Dex One Corp.* | 2,638 | 6,174 | ||||||
SuperMedia, Inc.* | 493 | 2,140 | ||||||
Trump Entertainment Resorts, Inc.* | 32 | 583 | ||||||
Vertis Holdings, Inc. | 294 | 5,216 | ||||||
49,757 | ||||||||
Industrials 0.0% | ||||||||
Congoleum Corp.* | 395,000 | 0 | ||||||
Quad Graphics, Inc. | 317 | 13,111 | ||||||
13,111 | ||||||||
Materials 0.0% | ||||||||
GEO Specialty Chemicals, Inc.* | 7,125 | 6,056 | ||||||
GEO Specialty Chemicals, Inc. 144A* | 649 | 552 | ||||||
6,608 | ||||||||
Total Common Stocks (Cost $1,525,539) | 69,476 | |||||||
Preferred Stock 0.2% | ||||||||
Financials | ||||||||
Ally Financial, Inc., Series G, 144A, 7.0% (Cost $378,187) | 415 | 400,903 | ||||||
Warrants 0.0% | ||||||||
Consumer Discretionary 0.0% | ||||||||
Reader's Digest Association, Inc., Expiration Date 2/19/2014* | 589 | 18 | ||||||
Materials 0.0% | ||||||||
Hercules Trust II, Expiration Date 3/31/2029* | 400 | 2,336 | ||||||
Total Warrants (Cost $87,876) | 2,354 | |||||||
Securities Lending Collateral 2.9% | ||||||||
Daily Assets Fund Institutional, 0.14% (e) (f) (Cost $7,041,862) | 7,041,862 | 7,041,862 | ||||||
Cash Equivalents 2.8% | ||||||||
Central Cash Management Fund, 0.13% (e) (Cost $6,876,766) | 6,876,766 | 6,876,766 |
% of Net Assets | Value ($) | |||||||
Total Investment Portfolio (Cost $323,632,402)+ | 138.3 | 339,029,048 | ||||||
Other Assets and Liabilities, Net | (0.8 | ) | (1,836,995 | ) | ||||
Notes Payable | (37.5 | ) | (92,000,000 | ) | ||||
Net Assets | 100.0 | 245,192,053 |
The following table represents bonds and senior loans that are in default:
Securities | Coupon | Maturity Date | Principal Amount ($) | Acquisition Cost ($) | Value ($) | |||||||||||||
CanWest LP* | 9.25 | % | 8/1/2015 | 205,000 | USD | 205,000 | 34,850 | |||||||||||
Fontainebleau Las Vegas Holdings LLC* | 11.0 | % | 6/15/2015 | 290,000 | USD | 292,813 | 145 | |||||||||||
Hellas Telecommunications Finance SCA* | 8.985 | % | 7/15/2015 | 278,431 | EUR | 79,885 | 240 | |||||||||||
Radnor Holdings Corp.* | 11.0 | % | 3/15/2010 | 90,000 | USD | 79,463 | 9 | |||||||||||
Tribune Co.* | LIBOR plus 3.0% | 6/4/2014 | 404,875 | USD | 404,622 | 276,580 | ||||||||||||
Tropicana Entertainment LLC* | 9.625 | % | 12/15/2014 | 730,000 | USD | 547,250 | 365 | |||||||||||
Wolverine Tube, Inc.* | 15.0 | % | 3/31/2012 | 328,799 | USD | 328,955 | 158,646 | |||||||||||
1,937,988 | 470,835 |
* Non-income producing security. In the case of a bond, generally denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.
** These securities are shown at their current rate as of May 31, 2011. 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 $324,364,257. At May 31, 2011, net unrealized appreciation for all securities based on tax cost was $14,664,791. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $19,390,230 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $4,725,439.
(a) Principal amount stated in US dollars unless otherwise noted.
(b) When-issued security.
(c) All or a portion of these securities were on loan (see Notes to Financial Statements). The value of all securities loaned at May 31, 2011 amounted to $6,804,060, which is 2.8% of net assets.
(d) Government-backed debt issued by financial companies or government sponsored enterprises.
(e) Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.
(f) Represents collateral held in connection with securities lending. Income earned by the Fund is net of borrower rebates.
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
LIBOR: London Interbank Offered Rate
PIK: Denotes that all or a portion of the income is paid in-kind.
REG S: Securities sold under Regulation S may not be offered, sold or delivered within the United States or to, or for the account or benefit of, US persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act.
REIT: Real Estate Investment Trust
At May 31, 2011, open credit default swap contracts sold were as follows:
Effective/ Expiration Date | Notional Amount ($) (g) | Fixed Cash Flows Received | Underlying Debt Obligation/ Quality Rating (h) | Value ($) | Upfront Payments Paid/ (Received) ($) | Unrealized Appreciation ($) | |||||||||||||||
6/21/2010 9/20/2013 | 1,285,000 | 1 | 5.0 | % | Ford Motor Co., 6.5%, 8/1/2018, B+ | 120,750 | (6,395 | ) | 127,145 | ||||||||||||
6/21/2010 9/20/2015 | 1,555,000 | 2 | 5.0 | % | Ford Motor Co., 6.5%, 8/1/2018, B+ | 176,716 | (35,560 | ) | 212,276 | ||||||||||||
Total unrealized appreciation | 339,421 |
(g) The maximum potential amount of future undiscounted payments that the Fund could be required to make under a credit default swap contract would be the notional amount of the contract. These potential amounts would be partially offset by any recovery values of the referenced debt obligation or net amounts received from the settlement of buy protection credit default swap contracts entered into by the Fund for the same referenced debt obligation.
(h) The quality ratings represent the lower of Moody's Investors Service, Inc. ("Moody's") or Standard & Poor's Corporation ("S&P") credit ratings and are unaudited.
Counterparties:
1 The Goldman Sachs & Co.
2 Bank of America
As of May 31, 2011, the Fund had the following open forward foreign currency exchange contracts:
Contracts to Deliver | In Exchange For | Settlement Date | Unrealized Depreciation ($) | Counterparty | |||||||||||
EUR | 6,868,000 | USD | 9,790,163 | 6/15/2011 | (89,897 | ) | JPMorgan Chase Securities, Inc. |
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 credit default swap contracts and forward foreign currency exchange contracts, please refer to Note B in the accompanying Notes to Financial Statements.
Fair Value Measurements
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds and credit risk). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of May 31, 2011 in valuing the Fund's investments. For information on the Fund's policy regarding the valuation of investments, please refer to Note A in the accompanying Notes to Financial Statements.
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Fixed Income Investments (i) | ||||||||||||||||
Corporate Bonds | $ | — | $ | 277,564,666 | $ | 1,221,145 | $ | 278,785,811 | ||||||||
Commercial Mortgage-Backed Security | — | 959,369 | — | 959,369 | ||||||||||||
Government & Agency Obligations | — | 23,842,094 | — | 23,842,094 | ||||||||||||
Loan Participations and Assignments | — | 18,779,070 | — | 18,779,070 | ||||||||||||
Convertible Bonds | — | 406,881 | — | 406,881 | ||||||||||||
Preferred Securities | — | 1,849,462 | — | 1,849,462 | ||||||||||||
Other Investments | — | — | 15,000 | 15,000 | ||||||||||||
Common Stocks (i) | 57,069 | — | 12,407 | 69,476 | ||||||||||||
Preferred Stock | — | 400,903 | — | 400,903 | ||||||||||||
Warrants (i) | — | — | 2,354 | 2,354 | ||||||||||||
Short-Term Investments (i) | 13,918,628 | — | — | 13,918,628 | ||||||||||||
Derivatives (j) | — | 339,421 | — | 339,421 | ||||||||||||
Total | $ | 13,975,697 | $ | 324,141,866 | $ | 1,250,906 | $ | 339,368,469 | ||||||||
Liabilities | ||||||||||||||||
Derivatives (j) | $ | — | $ | (89,897 | ) | $ | — | $ | (89,897 | ) | ||||||
Total | $ | — | $ | (89,897 | ) | $ | — | $ | (89,897 | ) |
There have been no transfers between Level 1 and Level 2 fair value measurements during the six months ended May 31, 2011.
(i) See Investment Portfolio for additional detailed categorizations.
(j) Derivatives include unrealized appreciation (depreciation) on open credit default swap contracts and 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 | Other Investments | Common Stocks | ||||||||||
Balance as of November 30, 2010 | $ | 1,228,821 | $ | 15,000 | $ | 7,191 | ||||||
Realized gain (loss) | (1,179,691 | ) | — | — | ||||||||
Change in unrealized appreciation (depreciation) | 1,253,538 | 0 | 2,508 | |||||||||
Amortization premium/discount | 8,339 | — | — | |||||||||
Net purchases (sales) | — | — | 2,708 | |||||||||
Transfers into Level 3 | — | — | — | |||||||||
Transfers (out) of Level 3 | (89,862 | ) (k) | — | — | ||||||||
Balance as of May 31, 2011 | $ | 1,221,145 | $ | 15,000 | $ | 12,407 | ||||||
Net change in unrealized appreciation (depreciation) from investments still held at May 31, 2011 | $ | 79,396 | $ | 0 | $ | 2,508 |
Preferred Stock | Warrants | Total | ||||||||||
Balance as of November 30, 2010 | $ | 89,287 | $ | 3,810 | $ | 1,344,109 | ||||||
Realized gain (loss) | — | — | (1,179,691 | ) | ||||||||
Change in unrealized appreciation (depreciation) | — | (1,456 | ) | 1,254,590 | ||||||||
Amortization premium/discount | — | — | 8,339 | |||||||||
Net purchases (sales) | — | — | 2,708 | |||||||||
Transfers into Level 3 | — | — | — | |||||||||
Transfers (out) of Level 3 | (89,287 | ) (k) | — | (179,149 | ) | |||||||
Balance as of Balance as of May 31, 2011 | $ | — | $ | 2,354 | $ | 1,250,906 | ||||||
Net change in unrealized appreciation (depreciation) from investments still held at May 31, 2011 | $ | — | $ | (1,456 | ) | $ | 80,448 |
Transfer between price levels are recognized at the beginning of the reporting period.
(k) The investment was transferred from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs.
The accompanying notes are an integral part of the financial statements.
as of May 31, 2011 (Unaudited) | ||||
Assets | ||||
Investments: Investments in non-affiliated securities, at value (cost $309,713,774) — including $6,804,060 of securities loaned | $ | 325,110,420 | ||
Investment in Daily Assets Fund Institutional (cost $7,041,862)* | 7,041,862 | |||
Investment in Central Cash Management Fund (cost $6,876,766) | 6,876,766 | |||
Total investments in securities, at value (cost $323,632,402) | 339,029,048 | |||
Cash | 821,552 | |||
Foreign currency, at value (cost $41,592) | 47,021 | |||
Receivable for investments sold | 647,182 | |||
Interest receivable | 5,923,951 | |||
Unrealized appreciation on swap contracts | 339,421 | |||
Foreign taxes recoverable | 23,331 | |||
Other assets | 74,376 | |||
Total assets | 346,905,882 | |||
Liabilities | ||||
Payable upon return of securities loaned | 7,041,862 | |||
Payable for investments purchased | 733,533 | |||
Payable for investments purchased — when-issued securities | 1,400,836 | |||
Notes payable | 92,000,000 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 89,897 | |||
Interest on notes payable | 60,989 | |||
Upfront payments received on closed swap contracts | 41,955 | |||
Accrued management fee | 180,716 | |||
Other accrued expenses and payables | 164,041 | |||
Total liabilities | 101,713,829 | |||
Net assets, at value | $ | 245,192,053 |
* Represents collateral on securities loaned.
The accompanying notes are an integral part of the financial statements.
Statement of Assets and Liabilities as of May 31, 2011 (Unaudited) (continued) | ||||
Net Assets Consist of: | ||||
Undistributed net investment income | 6,209,573 | |||
Net unrealized appreciation (depreciation) on: Investments | 15,396,646 | |||
Swap contracts | 339,421 | |||
Foreign currency | (78,550 | ) | ||
Accumulated net realized gain (loss) | (22,297,230 | ) | ||
Paid-in capital | 245,622,193 | |||
Net assets, at value | $ | 245,192,053 | ||
Net Asset Value | ||||
Net Asset Value per share ($245,192,053 ÷ 24,305,781 outstanding shares of beneficial interest, $.01 par value, unlimited shares authorized) | $ | 10.09 |
The accompanying notes are an integral part of the financial statements.
for the six months ended May 31, 2011 (Unaudited) | ||||
Investment Income | ||||
Income: Interest | $ | 12,850,533 | ||
Income distributions — Central Cash Management Fund | 5,241 | |||
Dividends | 14,667 | |||
Securities lending income, including income from Daily Assets Fund Institutional, net of borrower rebates | 10,548 | |||
Total income | 12,880,989 | |||
Expenses: Management fee | 1,028,133 | |||
Services to shareholders | 23,911 | |||
Custodian fee | 25,840 | |||
Professional fees | 48,839 | |||
Trustees' fees and expenses | 5,574 | |||
Reports to shareholders | 61,078 | |||
Interest expense | 506,126 | |||
Stock exchange listing fees | 12,558 | |||
Other | 32,531 | |||
Total expenses | 1,744,590 | |||
Net investment income (loss) | 11,136,399 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) from: Investments | 3,886,637 | |||
Swap contracts | 26,163 | |||
Foreign currency | (459,387 | ) | ||
3,453,413 | ||||
Change in net unrealized appreciation (depreciation) on: Investments | 4,899,915 | |||
Swap contracts | 74,789 | |||
Foreign currency | (328,943 | ) | ||
4,645,761 | ||||
Net gain (loss) | 8,099,174 | |||
Net increase (decrease) in net assets resulting from operations | $ | 19,235,573 |
The accompanying notes are an integral part of the financial statements.
for the six months ended May 31, 2011 (Unaudited) | ||||
Increase (Decrease) in Cash: Cash Flows from Operating Activities | ||||
Net increase (decrease) in net assets resulting from operations | $ | 19,235,573 | ||
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 | (116,628,551 | ) | ||
Net purchases, sales and maturities of short-term investments | 4,375,158 | |||
Net amortization/accretion of premium (discount) | (217,225 | ) | ||
Proceeds from sales and maturities of long-term investments | 111,108,433 | |||
(Increase) decrease in interest receivable | 37,680 | |||
(Increase) decrease in upfront payments paid on swap contracts | 10,753 | |||
(Increase) decrease in other assets | (2,946 | ) | ||
(Increase) decrease in receivable for investments sold | 1,307,673 | |||
Increase (decrease) in interest on notes payable | (15,571 | ) | ||
Increase (decrease) in payable for investments and when-issued securities purchased | 653,920 | |||
Increase (decrease) in net payable for closed swap contracts | (5,203 | ) | ||
Increase (decrease) in accrued expenses and payables | 12,294 | |||
Change in net unrealized (appreciation) depreciation on investments | (4,899,915 | ) | ||
Change in net unrealized (appreciation) depreciation on swap contracts | (74,789 | ) | ||
Change in net unrealized (appreciation) depreciation on forward foreign currency exchange contracts | 344,981 | |||
Net realized (gain) loss from investments | (3,886,637 | ) | ||
Cash provided (used) by operating activities | 11,355,628 | |||
Cash Flows from Financing Activities | ||||
Distributions paid (net of reinvestment of distributions) | (10,684,487 | ) | ||
Cash provided (used) by financing activities | (10,684,487 | ) | ||
Increase (decrease) in cash | 671,141 | |||
Cash at beginning of period (including foreign currency) | 197,432 | |||
Cash at end of period (including foreign currency) | $ | 868,573 | ||
Supplemental Disclosure | ||||
Reinvestment of distributions | $ | 280,224 | ||
Interest paid on notes | $ | (521,697 | ) |
The accompanying notes are an integral part of the financial statements.
Increase (Decrease) in Net Assets | Six Months Ended May 31, 2011 (Unaudited) | Year Ended November 30, 2010 | ||||||
Operations: Net investment income | $ | 11,136,399 | $ | 21,906,916 | ||||
Net realized gain (loss) | 3,453,413 | 10,813,259 | ||||||
Change in net unrealized appreciation (depreciation) | 4,645,761 | 6,233,440 | ||||||
Net increase (decrease) in net assets resulting from operations | 19,235,573 | 38,953,615 | ||||||
Distributions to shareholders from: Net investment income | (10,964,711 | ) | (20,620,259 | ) | ||||
Fund share transactions: Net proceeds from reinvestment of distributions | 280,224 | 208,362 | ||||||
Net increase (decrease) in net assets from Fund share transactions | 280,224 | 208,362 | ||||||
Increase (decrease) in net assets | 8,551,086 | 18,541,718 | ||||||
Net assets at beginning of period | 236,640,967 | 218,099,249 | ||||||
Net assets at end of period (including undistributed net investment income of $6,209,573 and $6,037,885, respectively) | $ | 245,192,053 | $ | 236,640,967 | ||||
Other Information | ||||||||
Shares outstanding at beginning of period | 24,277,999 | 24,256,668 | ||||||
Shares issued to shareholders from reinvestment of distributions | 27,782 | 21,331 | ||||||
Shares outstanding at end of period | 24,305,781 | 24,277,999 |
The accompanying notes are an integral part of the financial statements.
Years Ended November 30, | ||||||||||||||||||||||||
Six Months Ended 5/31/11 (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||
Selected Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.75 | $ | 8.99 | $ | 6.52 | $ | 9.61 | $ | 10.09 | $ | 9.75 | ||||||||||||
Income (loss) from investment operations: Net investment incomea | .46 | .90 | .76 | .67 | .68 | .72 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .33 | .71 | 2.49 | (2.98 | ) | (.38 | ) | .40 | ||||||||||||||||
Total from investment operations | .79 | 1.61 | 3.25 | (2.31 | ) | .30 | 1.12 | |||||||||||||||||
Less distributions from: Net investment income | (.45 | ) | (.85 | ) | (.78 | ) | (.78 | ) | (.78 | ) | (.78 | ) | ||||||||||||
Rights offering costs | — | — | — | — | (.01 | )b | — | |||||||||||||||||
Advisor reimbursement | — | — | — | — | .01 | — | ||||||||||||||||||
Net asset value, end of period | $ | 10.09 | $ | 9.75 | $ | 8.99 | $ | 6.52 | $ | 9.61 | $ | 10.09 | ||||||||||||
Market price, end of period | $ | 11.00 | $ | 10.17 | $ | 8.28 | $ | 5.10 | $ | 8.45 | $ | 10.73 | ||||||||||||
Total Return | ||||||||||||||||||||||||
Based on net asset value (%)c | 8.32 | ** | 18.71 | 54.34 | (24.55 | )d | 3.12 | b,d,f | 11.87 | d | ||||||||||||||
Based on market price (%)c | 13.10 | ** | 34.58 | 81.73 | (32.88 | ) | (14.74 | ) | 14.28 | |||||||||||||||
Ratios to Average Net Assets and Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period ($ millions) | 245 | 237 | 218 | 158 | 233 | 208 | ||||||||||||||||||
Ratio of expenses before fee reductions (including interest expense) (%) | 1.44 | * | 1.62 | 1.53 | 1.49 | 2.15 | 2.55 | |||||||||||||||||
Ratio of expenses after fee reductions (including interest expense) (%) | 1.44 | * | 1.62 | 1.53 | 1.48 | 2.14 | 2.54 | |||||||||||||||||
Ratio of expenses after fee reductions (excluding interest expense) (%) | 1.02 | * | 1.07 | 1.04 | 1.04 | 1.02 | 1.03 | |||||||||||||||||
Ratio of net investment income (%) | 9.21 | * | 9.57 | 9.69 | 7.56 | 6.85 | 7.28 | |||||||||||||||||
Portfolio turnover rate (%) | 34 | 78 | 113 | 35 | 53 | 79 | ||||||||||||||||||
Total debt outstanding end of period ($ thousands) | 92,000 | 92,000 | 88,500 | 41,500 | 20,000 | 52,750 | ||||||||||||||||||
Asset coverage per $1,000 of debte | 3,665 | 3,572 | 3,464 | 4,810 | 12,652 | 4,934 |
a Based on average shares outstanding during the period. b 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. c Total return based on net asset value reflects changes in the Fund's net asset value during each period. Total return based on market price reflects changes in market price. Each figure assumes that dividend and capital gain distributions, if any, were reinvested. These figures will differ depending upon the level of any discount from or premium to NAV at which the Fund's shares trade during the period. d Total return would have been lower had certain fees not been reduced. e Asset coverage equals the total net assets plus borrowings of the Fund divided by the borrowings outstanding at period end. f 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 |
A. Organization and Significant Accounting Policies
DWS Multi-Market Income Trust (the "Fund") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a closed-end, diversified management investment company organized as a Massachusetts business trust.
The Fund's financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates. Actual results could differ from those estimates. The policies described below are followed consistently by the Fund in the preparation of its financial statements.
Security Valuation. Investments are stated at value determined as of the close of regular trading on the New York Stock Exchange on each day the exchange is open for trading.
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Debt securities and senior loans are valued by independent pricing services approved by the Fund's Board. If the pricing services are unable to provide valuations, 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. These securities are generally categorized as Level 2.
Equity securities are valued at the most recent sale price or official closing price reported on the exchange (US or foreign) or over-the-counter market on which they trade and are categorized as Level 1 securities. Securities for which no sales are reported are valued at the calculated mean between the most recent bid and asked quotations on the relevant market or, if a mean cannot be determined, at the most recent bid quotation.
Money market instruments purchased with an original or remaining maturity of sixty days or less, maturing at par, are valued at amortized cost, which approximates value, and are categorized as Level 2. Investments in open-end investment companies are valued at their net asset value each business day and are categorized as Level 1.
Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and are categorized as Level 2.
Swap contracts are valued daily based upon prices supplied by a Board approved pricing vendor, if available, and otherwise are valued at the price provided by the broker-dealer. Swap contracts are generally categorized as Level 2.
Securities and other assets for which market quotations are not readily available or for which the above valuation procedures are deemed not to reflect fair value are valued in a manner that is intended to reflect their fair value as determined in accordance with procedures approved by the Board and are generally categorized as Level 3. In accordance with the Fund's valuation procedures, factors used in determining value may include, but are not limited to, the type of the security; the size of the holding; the initial cost of the security; the existence of any contractual restrictions on the security's disposition; the price and extent of public trading in similar securities of the issuer or of comparable companies; quotations or evaluated prices from broker-dealers and/or pricing services; information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities); an analysis of the company's or issuer's financial statements; an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold and with respect to debt securities; the maturity, coupon, creditworthiness, currency denomination and the movement of the market in which the security is normally traded. The value determined under these procedures may differ from published values for the same securities.
Disclosure about the classification of fair value measurements is included in a table following the Fund's Investment Portfolio.
Securities Lending. The Fund lends 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 price. The Fund requires the borrowers of the securities to maintain collateral with the Fund consisting of either cash or liquid, unencumbered assets having a value at least equal to the value of the securities loaned. When the collateral falls below specified amounts, the lending agent will use its best efforts to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. The Fund may invest the cash collateral into a joint trading account in an affiliated money market fund pursuant to Exemptive Orders issued by the SEC. The Fund receives compensation for lending its securities either in the form of fees or by earning interest on invested cash collateral net of borrower rebates and fees paid to a lending agent. Either the Fund or the borrower may terminate the loan. There may be risks of delay and costs in recovery of securities or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund is also subject to all investment risks associated with the reinvestment of any cash collateral received, including, but not limited to, interest rate, credit and liquidity risk associated with such investments.
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 acquisition and disposition of 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 or sell securities with delivery or payment to occur at a later date beyond the normal settlement period. At the time the Fund enters into a commitment to purchase or sell a security, the transaction is recorded and the value of the transaction is reflected in the net asset value. The price of such security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The value of the security may vary with market fluctuations. At the time the Fund enters into a purchase 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 transactions from the potential inability of counterparties to meet the terms of their contracts or if the issuer does not issue the securities due to political, economic, or other factors. Additionally, losses may arise due to changes in the value of the underlying securities.
Loan Participations and Assignments. Loan Participations and Assignments are portions of loans originated by banks and sold in pieces to investors. These 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.
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, 2010, the Fund had a net tax basis capital loss carryforward of approximately $24,924,000, which may be applied against any realized net taxable capital gains of each succeeding year until fully utilized or until 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.
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the "Act") was enacted. Under the Act, net capital losses may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. Previously, net capital losses were carried forward for eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses. As a result of this ordering rule, pre-enactment capital loss carryforwards may expire unused, whereas under the previous rules these losses may have been utilized. This change is effective for fiscal years beginning after the date of enactment.
The Fund has reviewed the tax positions for the open tax years as of November 30, 2010 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, swap contracts, certain securities sold at a loss and premium amortization on debt securities. As a result, net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. Accordingly, the Fund may periodically make reclassifications among certain of its capital accounts without impacting the net asset value of the Fund.
The tax character of current year distributions will be determined at the end of the current fiscal year.
Statement of Cash Flows. Information on financial transactions which have been settled through the receipt and disbursement of cash is presented in the Statement of Cash Flows. The cash amount shown in the Statement of Cash Flows represents the foreign currency positions and cash position at the Fund's custodian bank at May 31, 2011.
Contingencies. In the normal course of business, the Fund may enter into contracts with service providers that contain general indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet been made. However, based on experience, the Fund expects the risk of loss to be remote.
Other. Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculations. However, for financial reporting purposes, investment transactions are reported on trade date. Interest income is recorded on the accrual basis net of foreign withholding taxes. Dividend income is recorded on the ex-dividend date net of foreign withholding taxes. Realized gains and losses from investment transactions are recorded on an identified cost basis. All premiums and discounts are amortized/accreted for financial reporting purposes, with the exception of securities in default of principal.
B. Derivative Instruments
Credit Default Swap Contracts. A credit default swap is a contract between a buyer and a seller of protection against pre-defined credit events for the reference entity. For the six months ended May 31, 2011, the Fund bought or sold credit default swap contracts to gain exposure to an underlying issuer's credit quality characteristics without directly investing in that issuer, or to hedge portfolio credit risk. As a seller in the credit default swap contract, the Fund is required to pay the par (or other agreed-upon) value of the referenced entity to the counterparty with the occurrence of a credit event by a third party, such as a US or foreign corporate issuer, on the reference entity, which would likely result in a loss to the Fund. In return, the Fund receives from the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Fund keeps the stream of payments with no payment obligations. The Fund may also buy credit default swap contracts in order to hedge against the risk of a credit event on debt securities, in which case the Fund functions as the counterparty referenced above. This involves the risk that the contract may expire worthless. It also involves counterparty risk that the seller may fail to satisfy its payment obligations to the Fund with the occurrence of a credit event. When the Fund sells a credit default swap contract it will cover its commitment. This may be achieved by, among other methods, maintaining cash or liquid assets equal to the aggregate notional value of the reference entities for all outstanding credit default swap contracts sold by the Fund.
The value of the credit default swap is adjusted daily and the change in value, if any, is recorded daily as unrealized appreciation or depreciation in the Statement of Assets and Liabilities. An upfront payment, if any, made by the Fund is recorded as an asset in the Statement of Assets and Liabilities. An upfront payment, if any, received by the Fund is recorded as a liability in the Statement of Assets and Liabilities. Under the terms of the credit default swap contracts, the Fund receives or makes quarterly payments based on a specified interest rate on a fixed notional amount. These payments are recorded as a realized gain or loss in the Statement of Operations. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses in the Statement of Operations.
A summary of the open credit default swap contracts as of May 31, 2011 is included in a table following the Fund's Investment Portfolio. For the six months ended May 31, 2011, the investment in credit default swap contracts purchased had a total notional value generally indicative of a range from $0 to approximately $555,000, and the investment in credit default swap contracts sold had a total notional value generally indicative of approximately $2,840,000.
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. For the six months ended May 31, 2011, the Fund entered into forward currency contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign currency denominated portfolio holdings and to facilitate transactions in foreign currency denominated securities.
Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and unrealized gain (loss) is recorded daily. On the settlement date of the forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was closed. Certain risks may arise upon entering into forward currency contracts from the potential inability of counterparties to meet the terms of their contracts. The maximum counterparty credit risk to the Fund is measured by the unrealized gain on appreciated contracts. Additionally, when utilizing forward currency contracts to hedge, the Fund gives up the opportunity to profit from favorable exchange rate movements during the term of the contract.
A summary of the open forward currency contracts as of May 31, 2011 is included in a table following the Fund's Investment Portfolio. For the six months ended May 31, 2011, the investment in forward currency contracts short vs. US dollars had a total contract value generally indicative of a range from approximately $7,727,000 to $9,790,000.
The following tables summarize the value of the Fund's derivative instruments held as of May 31, 2011 and the related location in the accompanying Statement of Assets and Liabilities presented by the primary underlying risk exposure:
Asset Derivative | Swap Contracts | |||
Credit Contracts (a) | $ | 339,421 |
The above derivative is located in the following Statement of Assets and Liabilities account:
(a) Unrealized appreciation on swap contracts
Liability Derivative | Forward Contracts | |||
Foreign Exchange Contracts (a) | $ | (89,897 | ) |
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, 2011 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 | Swap Contracts | Total | |||||||||
Credit Contracts (a) | $ | — | $ | 26,163 | $ | 26,163 | ||||||
Foreign Exchange Contracts (b) | (217,177 | ) | — | (217,177 | ) | |||||||
$ | (217,177 | ) | $ | 26,163 | $ | (191,014 | ) |
Each of the above derivatives is located in the following Statement of Operations accounts:
(a) Net realized gain (loss) from swap contracts
(b) Net realized gain (loss) from foreign currency (Statement of Operations includes both forward currency contracts and foreign currency transactions)
Change in Net Unrealized Appreciation (Depreciation) | Forward Contracts | Swap Contracts | Total | |||||||||
Credit Contracts (a) | $ | — | $ | 74,789 | $ | 74,789 | ||||||
Foreign Exchange Contracts (b) | (344,981 | ) | — | (344,981 | ) | |||||||
$ | (344,981 | ) | $ | 74,789 | $ | (270,192 | ) |
Each of the above derivatives is located in the following Statement of Operations accounts:
(a) Change in net unrealized appreciation (depreciation) on swap contracts
(b) Change in net unrealized appreciation (depreciation) on foreign currency (Statement of Operations includes both forward currency contracts and foreign currency transactions)
C. Purchases and Sales of Securities
During the six months ended May 31, 2011, purchases and sales of investment securities (excluding short-term investments) aggregated $116,628,551 and $111,108,433, respectively.
D. Related Parties
Management Agreement. Under the Investment Management Agreement with Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor"), an indirect, wholly owned subsidiary of Deutsche Bank AG, the Advisor directs the investments of the Fund in accordance with its investment objectives, policies and restrictions. The Advisor determines the securities, instruments and other contracts relating to investments to be purchased, sold or entered into by the Fund. In addition to portfolio management services, the Advisor provides certain administrative services in accordance with the 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, 2011, the amount charged to the Fund by DISC aggregated $15,640, of which $10,785 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, 2011, the amount charged to the Fund by DIMA included in the Statement of Operations under "reports to shareholders" aggregated $8,304, of which $7,604 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 Vehicle. The Fund may invest uninvested cash balances in Central Cash Management Fund, which is managed by the Advisor. The Fund indirectly bears its proportionate share of the expenses of Central Cash Management Fund. Central Cash Management Fund does not pay the Advisor an investment management fee. Central Cash Management Fund seeks a high level of current income consistent with liquidity and the preservation of capital.
E. Investing in High-Yield Securities
The Fund's performance could be hurt if a security declines in credit quality or goes into default, or if an issuer does not make timely payments of interest or principal. Because the issuers of high-yield debt securities or junk bonds (debt securities rated below the fourth-highest category) may be in uncertain financial health, the 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.
F. Investing in Emerging Markets
Investing in emerging markets may involve special risks and considerations not typically associated with investing in developed markets. These risks include revaluation of currencies, high rates of inflation or deflation, repatriation restrictions on income and capital, and future adverse political, social and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls or delayed settlements, and may have prices that are more volatile or less easily assessed than those of comparable securities of issuers in developed markets.
G. Borrowings
The Fund has entered into a revolving credit agreement with a commercial bank (the "Lender"), which allows the Fund to borrow against a secured line of credit in an aggregate amount up to $115,000,000 ($92,000,000 prior to June 23, 2011). 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 21, 2012 subject to early termination discussed below. There is no assurance the facility will be renewed in 2012. The notes payable represent a secured loan of $92,000,000, which is the amount drawn on the facility at May 31, 2011. 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" in the Statement of Operations. The loan amounts and rates are reset periodically under the revolving credit agreement.
At May 31, 2011, the Fund had a notes payable outstanding of $92,000,000. The weighted average outstanding daily balance of all loans during the six months ended May 31, 2011 was approximately $92,000,000, with a weighted average borrowing cost of 1.10%. The borrowings were valued at cost, which approximates fair value.
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.
Leverage involves risks and special considerations for the Fund's stockholders, including the likelihood of greater volatility of net asset value and market price of, and dividends on, the Fund's shares than a comparable portfolio without leverage; the risk that fluctuations in interest rates on such borrowings will reduce the return to stockholders; and the effect of leverage in a declining market, which is likely to cause a greater decline in the net asset value of the Fund's shares than if the Fund were not leveraged, which may result in a greater decline in the market price of the Fund's shares.
Changes in the value of the Fund's portfolio will be borne entirely by the stockholders. If there is a net decrease (or increase) in the value of the Fund's investment portfolio, leverage will decrease (or increase) the net asset value per share to a greater extent than if leverage were not used. It is also possible that the Fund will be required to sell assets at a time when it would otherwise not do so, possibly at a loss, in order to redeem or meet payment obligations on borrowings to comply with asset coverage or other restrictions imposed by the lender. The Fund is subject to certain restrictions on its investments under the terms of its credit agreement. Moreover, certain covenants contained in the credit agreement impose asset coverage or portfolio composition requirements that are more stringent than those imposed on the Fund by the 1940 Act.
There is no assurance that the Fund's leveraging strategy will be successful.
H. Share Repurchases
The Fund is authorized to effect periodic repurchases of its outstanding shares in the open market from time to time when the Fund's shares trade at a discount to their net asset value. During the six months ended May 31, 2011, the Fund did not repurchase shares.
The Annual Meeting of Shareholders (the "Meeting") of DWS Multi-Market Income Trust (the "Fund") was held on June 3, 2011 at the offices of Deutsche Investment Management Americas Inc., 24th Floor, 345 Park Avenue, New York, New York 10154. At the close of business on April 8, 2011, the record date for the determination of shareholders entitled to vote at the Meeting, there were issued and outstanding 24,291,831 shares of beneficial interest, each share being entitled to one vote, constituting all of the Fund's outstanding voting securities. At the Meeting, the holders of 21,884,425 shares of beneficial interest were represented in person or by proxy, constituting a quorum. The following matter was voted upon by the shareholders (the resulting votes are presented below).
1. Election of Trustees — Class III
Number of Votes: | ||
For | Withheld | |
John W. Ballantine | 21,305,934 | 578,492 |
Dawn-Marie Driscoll | 21,349,124 | 535,302 |
Kenneth C. Froewiss | 21,323,132 | 561,293 |
Rebecca W. Rimel | 21,351,669 | 532,757 |
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. If Shares are issued at a discount to the price at market on the Record Date, shareholders are treated for federal income tax purposes as having received a taxable distribution equal to the fair market value of the shares. In effect, the discount from market price is added to the amount of the distribution. Such amount is considered taxable income and is added to the cost basis of the issued Shares.
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.
Automated Information Line | DWS Investments Closed-End Fund Info Line (800) 349-4281 | |
Web Site | www.dws-investments.com Obtain fact sheets, financial reports, press releases and webcasts when available. | |
Written Correspondence | Deutsche Investment Management Americas Inc. 345 Park Avenue New York, NY 10154 | |
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 Lafayette Corporate Center 2 Avenue De Lafayette Boston, MA 02111 | |
Independent Registered Public Accounting Firm | Ernst & Young LLP 200 Clarendon Street Boston, MA 02116 | |
NYSE Symbol | KMM | |
CUSIP Number | 23338L 108 |
FACTS | What Does DWS Investments Do With Your Personal Information? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share can include: • Social Security number • Account balances • Purchase and transaction history • Bank account information • Contact information such as mailing address, e-mail address and telephone number |
How? | All financial companies need to share customers' personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers' personal information, the reasons DWS Investments chooses to share and whether you can limit this sharing. |
Reasons we can share your personal information | Does DWS Investments share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders or legal investigations | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We do not share |
For our affiliates' everyday business purposes — information about your transactions and experiences | No | We do not share |
For our affiliates' everyday business purposes — information about your creditworthiness | No | We do not share |
For non-affiliates to market to you | No | We do not share |
Questions? | Call (800) 621-1048 or e-mail us at dws-investments.info@dws.com |
Who we are | |
Who is providing this notice? | DWS Investments Distributors, Inc.; Deutsche Investment Management Americas, Inc.; DeAM Investor Services, Inc.; DWS Trust Company; the DWS Funds |
What we do | |
How does DWS Investments protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. |
How does DWS Investments collect my personal information? | We collect your personal information, for example. When you: • open an account • give us your contact information • provide bank account information for ACH or wire transactions • tell us where to send money • seek advice about your investments |
Why can't I limit all sharing? | Federal law gives you the right to limit only • sharing for affiliates' everyday business purposes — information about your creditworthiness • affiliates from using your information to market to you • sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial or non-financial companies. Our affiliates include financial companies with the DWS or Deutsche Bank ("DB") name, such as DB AG Frankfurt and DB Alex Brown. |
Non-affiliates | Companies not related by common ownership or control. They can be financial and non-financial companies. Non-affiliates we share with include account service providers, service quality monitoring services, mailing service providers and verification services to help in the fight against money laundering and fraud. |
Joint marketing | A formal agreement between non-affiliated financial companies that together market financial products or services to you. DWS Investments does not jointly market. |
Rev. 09/2010 |
Notes
Notes
Notes
![](https://capedge.com/proxy/N-CSRS/0000088053-11-001043/mmit_backcover0.jpg)
ITEM 2. | CODE OF ETHICS |
Not applicable. | |
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT |
Not applicable | |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES |
Not applicable | |
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS |
Not applicable | |
ITEM 6. | SCHEDULE OF INVESTMENTS |
Not applicable | |
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
Not applicable | |
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
Not applicable | |
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS |
Period | (a) | (b) | (c) | (d) |
Total Number of Shares Purchased | Average Price Paid per Share | Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs | Maximum Number of Shares that May Yet Be Purchased Under the Plans or Programs | |
December 1 through December 31 | 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. |
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS | |
There were no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board. The primary function of the Nominating and Governance Committee is to identify and recommend individuals for membership on the Board and oversee the administration of the Board Governance Guidelines. Shareholders may recommend candidates for Board positions by forwarding their correspondence by U.S. mail or courier service to Paul K. Freeman, Independent Chairman, DWS Funds, P.O. Box 101833, Denver, CO 80250-1833. | ||
ITEM 11. | CONTROLS AND PROCEDURES | |
(a) | The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report. | |
(b) | There have been no changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting. | |
ITEM 12. | EXHIBITS | |
(a)(1) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. | |
(b) | Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
Form N-CSRS Item F
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | DWS Multi-Market Income Trust |
By: | /s/W. Douglas Beck W. Douglas Beck President |
Date: | July 27, 2011 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/W. Douglas Beck W. Douglas Beck President |
Date: | July 27, 2011 |
By: | /s/Paul Schubert Paul Schubert Chief Financial Officer and Treasurer |
Date: | July 27, 2011 |