Date of fiscal year end:
|
11/30
|
Date of reporting period:
|
5/31/2013
|
ITEM 1.
|
REPORT TO STOCKHOLDERS
|
MAY 31, 2013
Semiannual Report
to Shareholders
|
DWS Strategic Income Trust
Ticker Symbol: KST
|
4 Performance Summary
6 Portfolio Management
6 Portfolio Summary
8 Investment Portfolio
34 Statement of Assets and Liabilities
36 Statement of Operations
37 Statement of Cash Flows
38 Statement of Changes in Net Assets
39 Financial Highlights
41 Notes to Financial Statements
53 Dividend Reinvestment Plan
55 Additional Information
57 Privacy Statement
|
Average Annual Total Returns as of 5/31/13
|
||||||||||||||||
DWS Strategic Income Trust
|
6-Month‡
|
1-Year
|
5-Year
|
10-Year
|
||||||||||||
Based on Net Asset Value(a)
|
4.05 | % | 14.82 | % | 11.99 | % | 11.05 | % | ||||||||
Based on Market Price(a)
|
0.92 | % | 9.12 | % | 13.45 | % | 10.76 | % | ||||||||
Credit Suisse High Yield Index(b)
|
5.78 | % | 14.18 | % | 10.15 | % | 9.26 | % | ||||||||
Morningstar Closed-End Multisector Bond Funds Category (Based on Net Asset Value)(c)
|
6.04 | % | 18.51 | % | 11.58 | % | 9.05 | % |
Net Asset Value and Market Price
|
||||||||
As of 5/31/13
|
As of 11/30/12
|
|||||||
Net Asset Value
|
$ | 14.33 | $ | 14.32 | ||||
Market Price
|
$ | 13.84 | $ | 14.26 |
Distribution Information
|
||||
Six Months as of 5/31/13:
Income Dividends
|
$ | .57 | ||
May Income Dividend
|
$ | .0950 | ||
Current Annualized Distribution Rate (Based on Net Asset Value) as of 5/31/13†
|
7.96 | % | ||
Current Annualized Distribution Rate (Based on Market Price) as of 5/31/13†
|
8.24 | % |
Principal Amount ($)(a)
|
Value ($)
|
||||||||
Corporate Bonds 98.5%
|
|||||||||
Consumer Discretionary 18.1%
|
|||||||||
AMC Entertainment, Inc., 8.75%, 6/1/2019
|
200,000 | 219,500 | |||||||
AMC Networks, Inc., 7.75%, 7/15/2021
|
35,000 | 39,638 | |||||||
APX Group, Inc., 144A, 6.375%, 12/1/2019
|
75,000 | 74,813 | |||||||
Arcelik AS, 144A, 5.0%, 4/3/2023
|
220,000 | 221,100 | |||||||
Asbury Automotive Group, Inc.:
|
|||||||||
7.625%, 3/15/2017
|
55,000 | 56,582 | |||||||
8.375%, 11/15/2020
|
80,000 | 89,600 | |||||||
Avis Budget Car Rental LLC:
|
|||||||||
144A, 5.5%, 4/1/2023
|
80,000 | 80,800 | |||||||
8.25%, 1/15/2019
|
95,000 | 103,431 | |||||||
BC Mountain LLC, 144A, 7.0%, 2/1/2021
|
70,000 | 74,200 | |||||||
Block Communications, Inc., 144A, 7.25%, 2/1/2020
|
155,000 | 168,175 | |||||||
Boyd Gaming Corp., 9.0%, 7/1/2020
|
55,000 | 59,263 | |||||||
Bresnan Broadband Holdings LLC, 144A, 8.0%, 12/15/2018
|
185,000 | 200,262 | |||||||
Cablevision Systems Corp., 8.0%, 4/15/2020
|
25,000 | 28,313 | |||||||
Caesar's Entertainment Operating Co., Inc.:
|
|||||||||
8.5%, 2/15/2020
|
155,000 | 147,637 | |||||||
11.25%, 6/1/2017
|
290,000 | 303,050 | |||||||
CCO Holdings LLC:
|
|||||||||
5.25%, 9/30/2022
|
535,000 | 535,000 | |||||||
5.75%, 1/15/2024
|
100,000 | 101,000 | |||||||
6.5%, 4/30/2021
|
635,000 | 682,625 | |||||||
6.625%, 1/31/2022
|
175,000 | 188,125 | |||||||
7.0%, 1/15/2019
|
45,000 | 48,094 | |||||||
7.375%, 6/1/2020
|
20,000 | 22,325 | |||||||
8.125%, 4/30/2020
|
25,000 | 27,938 | |||||||
CDR DB Sub, Inc., 144A, 7.75%, 10/15/2020
|
45,000 | 46,913 | |||||||
Cequel Communications Holdings I LLC:
|
|||||||||
144A, 5.125%, 12/15/2021
|
95,000 | 93,219 | |||||||
144A, 6.375%, 9/15/2020
|
430,000 | 449,350 | |||||||
144A, 8.625%, 11/15/2017
|
420,000 | 448,140 | |||||||
Chester Downs & Marina LLC, 144A, 9.25%, 2/1/2020
|
30,000 | 29,100 | |||||||
Clear Channel Communications, Inc., 144A, 11.25%, 3/1/2021
|
50,000 | 54,125 | |||||||
Clear Channel Worldwide Holdings, Inc.:
|
|||||||||
Series A, 144A, 6.5%, 11/15/2022
|
95,000 | 99,750 | |||||||
Series B, 144A, 6.5%, 11/15/2022
|
135,000 | 142,425 | |||||||
Series A, 7.625%, 3/15/2020
|
20,000 | 21,150 | |||||||
Series B, 7.625%, 3/15/2020
|
230,000 | 244,375 | |||||||
Cogeco Cable, Inc., 144A, 4.875%, 5/1/2020
|
10,000 | 9,975 | |||||||
Columbus International, Inc., 144A, 11.5%, 11/20/2014
|
100,000 | 111,250 | |||||||
Crown Media Holdings, Inc., 10.5%, 7/15/2019
|
60,000 | 68,400 | |||||||
Cumulus Media Holdings, Inc., 7.75%, 5/1/2019
|
70,000 | 71,750 | |||||||
DISH DBS Corp.:
|
|||||||||
4.625%, 7/15/2017
|
400,000 | 400,000 | |||||||
144A, 5.0%, 5/15/2017
|
100,000 | 100,000 | |||||||
6.75%, 6/1/2021
|
30,000 | 31,725 | |||||||
7.125%, 2/1/2016
|
90,000 | 98,550 | |||||||
Fontainebleau Las Vegas Holdings LLC, 144A, 11.0%, 6/15/2015*
|
70,000 | 0 | |||||||
Griffey Intermediate, Inc., 144A, 7.0%, 10/15/2020
|
75,000 | 75,937 | |||||||
Harron Communications LP, 144A, 9.125%, 4/1/2020
|
155,000 | 172,437 | |||||||
Hertz Corp.:
|
|||||||||
144A, 4.25%, 4/1/2018
|
625,000 | 642,187 | |||||||
6.75%, 4/15/2019
|
120,000 | 130,350 | |||||||
7.5%, 10/15/2018
|
320,000 | 348,000 | |||||||
Jo-Ann Stores Holdings, Inc., 144A, 9.75%, 10/15/2019 (PIK)
|
140,000 | 148,925 | |||||||
L Brands, Inc., 7.0%, 5/1/2020
|
65,000 | 75,806 | |||||||
Lear Corp., 8.125%, 3/15/2020
|
32,000 | 35,520 | |||||||
Libbey Glass, Inc., 6.875%, 5/15/2020
|
45,000 | 48,713 | |||||||
Lions Gate Entertainment, Inc., 144A, 10.25%, 11/1/2016
|
105,000 | 113,269 | |||||||
LKQ Corp., 144A, 4.75%, 5/15/2023
|
110,000 | 109,725 | |||||||
MDC Partners, Inc., 144A, 6.75%, 4/1/2020
|
60,000 | 61,350 | |||||||
Mediacom Broadband LLC, 6.375%, 4/1/2023
|
155,000 | 161,200 | |||||||
Mediacom LLC:
|
|||||||||
7.25%, 2/15/2022
|
45,000 | 48,938 | |||||||
9.125%, 8/15/2019
|
140,000 | 154,700 | |||||||
MGM Resorts International:
|
|||||||||
6.625%, 12/15/2021
|
230,000 | 249,262 | |||||||
144A, 6.75%, 10/1/2020
|
35,000 | 38,150 | |||||||
7.625%, 1/15/2017
|
100,000 | 114,125 | |||||||
8.625%, 2/1/2019
|
340,000 | 402,050 | |||||||
10.0%, 11/1/2016
|
40,000 | 48,350 | |||||||
National CineMedia LLC:
|
|||||||||
6.0%, 4/15/2022
|
85,000 | 91,162 | |||||||
7.875%, 7/15/2021
|
100,000 | 112,000 | |||||||
Norcraft Companies LP, 10.5%, 12/15/2015
|
170,000 | 177,650 | |||||||
Palace Entertainment Holdings LLC, 144A, 8.875%, 4/15/2017
|
75,000 | 80,062 | |||||||
PETCO Animal Supplies, Inc., 144A, 9.25%, 12/1/2018
|
60,000 | 65,400 | |||||||
Petco Holdings, Inc., 144A, 8.5%, 10/15/2017 (PIK)
|
20,000 | 20,475 | |||||||
Quebecor Media, Inc., 5.75%, 1/15/2023
|
80,000 | 82,000 | |||||||
Regal Entertainment Group:
|
|||||||||
5.75%, 2/1/2025
|
20,000 | 19,950 | |||||||
9.125%, 8/15/2018
|
65,000 | 74,100 | |||||||
Rent-A-Center, Inc., 144A, 4.75%, 5/1/2021
|
60,000 | 58,800 | |||||||
SACI Falabella, 144A, 3.75%, 4/30/2023
|
200,000 | 191,500 | |||||||
Seminole Hard Rock Entertainment, Inc., 144A, 5.875%, 5/15/2021
|
50,000 | 49,688 | |||||||
Seminole Indian Tribe of Florida:
|
|||||||||
144A, 7.75%, 10/1/2017
|
80,000 | 85,400 | |||||||
144A, 7.804%, 10/1/2020
|
130,000 | 141,050 | |||||||
SIWF Merger Sub, Inc., 144A, 6.25%, 6/1/2021 (b)
|
115,000 | 114,425 | |||||||
Starz LLC, 5.0%, 9/15/2019
|
60,000 | 60,900 | |||||||
Taylor Morrison Communities, Inc., 144A, 5.25%, 4/15/2021
|
95,000 | 96,187 | |||||||
Toys "R" US-Delaware, Inc., 144A, 7.375%, 9/1/2016
|
70,000 | 72,188 | |||||||
UCI International, Inc., 8.625%, 2/15/2019
|
45,000 | 46,575 | |||||||
Unitymedia Hessen GmbH & Co., KG:
|
|||||||||
144A, 5.5%, 1/15/2023
|
300,000 | 306,000 | |||||||
144A, 7.5%, 3/15/2019
|
150,000 | 162,750 | |||||||
Unitymedia KabelBW GmbH, 144A, 9.625%, 12/1/2019
|
EUR
|
160,000 | 231,626 | ||||||
Univision Communications, Inc.:
|
|||||||||
144A, 6.875%, 5/15/2019
|
20,000 | 21,250 | |||||||
144A, 7.875%, 11/1/2020
|
50,000 | 54,750 | |||||||
144A, 8.5%, 5/15/2021
|
30,000 | 32,475 | |||||||
UPC Holding BV, 144A, 8.375%, 8/15/2020
|
EUR
|
165,000 | 236,140 | ||||||
Viking Cruises Ltd., 144A, 8.5%, 10/15/2022
|
80,000 | 90,000 | |||||||
Visant Corp., 10.0%, 10/1/2017
|
80,000 | 76,600 | |||||||
Visteon Corp., 6.75%, 4/15/2019
|
64,000 | 68,320 | |||||||
Yonkers Racing Corp., 144A, 11.375%, 7/15/2016
|
65,000 | 69,063 | |||||||
12,159,148 | |||||||||
Consumer Staples 2.9%
|
|||||||||
Ajecorp BV, 144A, 6.5%, 5/14/2022
|
150,000 | 162,000 | |||||||
Alliance One International, Inc., 10.0%, 7/15/2016
|
55,000 | 57,819 | |||||||
B&G Foods, Inc., 4.625%, 6/1/2021 (b)
|
90,000 | 89,775 | |||||||
Chiquita Brands International, Inc., 144A, 7.875%, 2/1/2021
|
35,000 | 37,625 | |||||||
Constellation Brands, Inc.:
|
|||||||||
3.75%, 5/1/2021
|
95,000 | 92,625 | |||||||
6.0%, 5/1/2022
|
40,000 | 44,900 | |||||||
Controladora Mabe SA de CV, 144A, 7.875%, 10/28/2019
|
200,000 | 228,500 | |||||||
Del Monte Corp., 7.625%, 2/15/2019
|
155,000 | 160,619 | |||||||
FAGE Dairy Industry SA, 144A, 9.875%, 2/1/2020
|
90,000 | 99,450 | |||||||
JBS U.S.A. LLC, 144A, 8.25%, 2/1/2020
|
65,000 | 71,337 | |||||||
MHP SA, 144A, 8.25%, 4/2/2020
|
200,000 | 197,331 | |||||||
NBTY, Inc., 9.0%, 10/1/2018
|
50,000 | 55,000 | |||||||
Pilgrim's Pride Corp., 7.875%, 12/15/2018
|
60,000 | 65,250 | |||||||
Smithfield Foods, Inc.:
|
|||||||||
6.625%, 8/15/2022
|
150,000 | 170,625 | |||||||
7.75%, 7/1/2017
|
150,000 | 174,375 | |||||||
Sun Products Corp., 144A, 7.75%, 3/15/2021
|
135,000 | 136,350 | |||||||
Tops Holding Corp., 144A, 8.875%, 12/15/2017
|
40,000 | 44,000 | |||||||
U.S. Foods, Inc., 8.5%, 6/30/2019
|
80,000 | 85,700 | |||||||
1,973,281 | |||||||||
Energy 14.3%
|
|||||||||
Access Midstream Partners LP:
|
|||||||||
4.875%, 5/15/2023
|
95,000 | 93,813 | |||||||
6.125%, 7/15/2022
|
135,000 | 144,450 | |||||||
Afren PLC, 144A, 10.25%, 4/8/2019
|
200,000 | 235,268 | |||||||
Arch Coal, Inc.:
|
|||||||||
7.0%, 6/15/2019
|
45,000 | 40,500 | |||||||
7.25%, 10/1/2020
|
40,000 | 35,800 | |||||||
Berry Petroleum Co.:
|
|||||||||
6.375%, 9/15/2022
|
75,000 | 77,813 | |||||||
6.75%, 11/1/2020
|
165,000 | 177,787 | |||||||
BreitBurn Energy Partners LP:
|
|||||||||
7.875%, 4/15/2022
|
75,000 | 81,375 | |||||||
8.625%, 10/15/2020
|
40,000 | 44,000 | |||||||
Chaparral Energy, Inc., 7.625%, 11/15/2022
|
70,000 | 75,600 | |||||||
Chesapeake Energy Corp., 7.25%, 12/15/2018
|
535,000 | 616,587 | |||||||
Chesapeake Oilfield Operating LLC, 144A, 6.625%, 11/15/2019
|
85,000 | 89,250 | |||||||
CITGO Petroleum Corp., 144A, 11.5%, 7/1/2017
|
100,000 | 113,000 | |||||||
Cloud Peak Energy Resources LLC, 8.5%, 12/15/2019
|
20,000 | 22,000 | |||||||
Continental Resources, Inc.:
|
|||||||||
144A, 4.5%, 4/15/2023
|
25,000 | 25,250 | |||||||
5.0%, 9/15/2022
|
65,000 | 67,275 | |||||||
7.125%, 4/1/2021
|
60,000 | 67,350 | |||||||
7.375%, 10/1/2020
|
65,000 | 73,288 | |||||||
Crestwood Midstream Partners LP, 7.75%, 4/1/2019
|
115,000 | 122,763 | |||||||
Crosstex Energy LP, 7.125%, 6/1/2022
|
40,000 | 42,800 | |||||||
Denbury Resources, Inc., 4.625%, 7/15/2023
|
185,000 | 178,987 | |||||||
Dresser-Rand Group, Inc., 6.5%, 5/1/2021
|
155,000 | 167,788 | |||||||
Eagle Rock Energy Partners LP, 8.375%, 6/1/2019
|
30,000 | 31,425 | |||||||
El Paso LLC, 7.25%, 6/1/2018
|
105,000 | 121,911 | |||||||
EP Energy LLC:
|
|||||||||
6.875%, 5/1/2019
|
140,000 | 151,200 | |||||||
7.75%, 9/1/2022
|
35,000 | 39,025 | |||||||
9.375%, 5/1/2020
|
30,000 | 34,013 | |||||||
EPE Holdings LLC, 144A, 8.125%, 12/15/2017 (PIK)
|
165,000 | 176,137 | |||||||
EV Energy Partners LP, 8.0%, 4/15/2019
|
340,000 | 349,350 | |||||||
Frontier Oil Corp., 6.875%, 11/15/2018
|
70,000 | 75,950 | |||||||
Global Geophysical Services, Inc., 10.5%, 5/1/2017
|
90,000 | 80,550 | |||||||
Halcon Resources Corp.:
|
|||||||||
8.875%, 5/15/2021
|
150,000 | 152,625 | |||||||
9.75%, 7/15/2020
|
60,000 | 62,325 | |||||||
Holly Energy Partners LP:
|
|||||||||
6.5%, 3/1/2020
|
45,000 | 47,813 | |||||||
8.25%, 3/15/2018
|
110,000 | 118,525 | |||||||
HollyFrontier Corp., 9.875%, 6/15/2017
|
165,000 | 173,448 | |||||||
KazMunayGas National Co. JSC, 144A, 5.75%, 4/30/2043
|
200,000 | 191,000 | |||||||
Kodiak Oil & Gas Corp., 144A, 5.5%, 1/15/2021
|
90,000 | 93,375 | |||||||
Linn Energy LLC:
|
|||||||||
144A, 6.25%, 11/1/2019
|
225,000 | 226,687 | |||||||
6.5%, 5/15/2019
|
50,000 | 50,875 | |||||||
MEG Energy Corp.:
|
|||||||||
144A, 6.375%, 1/30/2023
|
310,000 | 317,750 | |||||||
144A, 6.5%, 3/15/2021
|
85,000 | 87,975 | |||||||
Memorial Production Partners LP, 144A, 7.625%, 5/1/2021
|
135,000 | 135,675 | |||||||
Midstates Petroleum Co., Inc.:
|
|||||||||
144A, 9.25%, 6/1/2021
|
185,000 | 184,075 | |||||||
144A, 10.75%, 10/1/2020
|
45,000 | 48,150 | |||||||
Murray Energy Corp., 144A, 8.625%, 6/15/2021
|
20,000 | 20,600 | |||||||
Newfield Exploration Co., 5.75%, 1/30/2022
|
80,000 | 85,600 | |||||||
Northern Oil & Gas, Inc., 8.0%, 6/1/2020
|
230,000 | 239,200 | |||||||
Oasis Petroleum, Inc.:
|
|||||||||
6.5%, 11/1/2021
|
65,000 | 70,200 | |||||||
6.875%, 1/15/2023
|
50,000 | 54,500 | |||||||
7.25%, 2/1/2019
|
265,000 | 285,537 | |||||||
Odebrecht Drilling Norbe VIII/IX Ltd., 144A, 6.35%, 6/30/2021
|
190,000 | 204,820 | |||||||
Offshore Group Investment Ltd.:
|
|||||||||
144A, 7.125%, 4/1/2023
|
155,000 | 160,038 | |||||||
7.5%, 11/1/2019
|
110,000 | 118,800 | |||||||
Pacific Drilling SA, 144A, 5.375%, 6/1/2020 (b)
|
90,000 | 89,100 | |||||||
Plains Exploration & Production Co.:
|
|||||||||
6.125%, 6/15/2019
|
90,000 | 98,775 | |||||||
6.75%, 2/1/2022
|
205,000 | 229,087 | |||||||
6.875%, 2/15/2023
|
195,000 | 220,594 | |||||||
Quicksilver Resources, Inc., 11.75%, 1/1/2016
|
155,000 | 164,300 | |||||||
Range Resources Corp., 144A, 5.0%, 3/15/2023
|
40,000 | 40,400 | |||||||
Regency Energy Partners LP, 144A, 4.5%, 11/1/2023
|
40,000 | 39,600 | |||||||
Reliance Holdings U.S.A., Inc., 144A, 5.4%, 2/14/2022
|
250,000 | 273,355 | |||||||
Sabine Pass Liquefaction LLC:
|
|||||||||
144A, 5.625%, 2/1/2021
|
260,000 | 260,975 | |||||||
144A, 5.625%, 4/15/2023
|
100,000 | 100,000 | |||||||
SandRidge Energy, Inc., 7.5%, 3/15/2021
|
190,000 | 195,700 | |||||||
SESI LLC:
|
|||||||||
6.375%, 5/1/2019
|
90,000 | 97,200 | |||||||
7.125%, 12/15/2021
|
275,000 | 308,687 | |||||||
Swift Energy Co., 7.875%, 3/1/2022
|
115,000 | 120,175 | |||||||
Talos Production LLC, 144A, 9.75%, 2/15/2018
|
145,000 | 145,000 | |||||||
Tesoro Corp., 5.375%, 10/1/2022
|
60,000 | 63,000 | |||||||
Venoco, Inc., 8.875%, 2/15/2019
|
110,000 | 110,000 | |||||||
WPX Energy, Inc., 5.25%, 1/15/2017
|
295,000 | 313,437 | |||||||
9,651,283 | |||||||||
Financials 16.7%
|
|||||||||
AerCap Aviation Solutions BV, 6.375%, 5/30/2017
|
270,000 | 292,275 | |||||||
Akbank TAS, 144A, 5.125%, 7/22/2015
|
130,000 | 136,500 | |||||||
Ally Financial, Inc.:
|
|||||||||
5.5%, 2/15/2017
|
655,000 | 700,850 | |||||||
6.25%, 12/1/2017
|
195,000 | 214,607 | |||||||
8.0%, 3/15/2020
|
235,000 | 279,650 | |||||||
Alphabet Holding Co., Inc., 144A, 7.75%, 11/1/2017 (PIK)
|
40,000 | 41,300 | |||||||
AmeriGas Finance LLC:
|
|||||||||
6.75%, 5/20/2020
|
45,000 | 49,050 | |||||||
7.0%, 5/20/2022
|
45,000 | 48,825 | |||||||
Antero Resources Finance Corp., 7.25%, 8/1/2019
|
110,000 | 118,800 | |||||||
Ashtead Capital, Inc., 144A, 6.5%, 7/15/2022
|
120,000 | 129,600 | |||||||
Ashton Woods U.S.A. LLC, 144A, 6.875%, 2/15/2021
|
125,000 | 129,531 | |||||||
AWAS Aviation Capital Ltd., 144A, 7.0%, 10/17/2016
|
117,800 | 123,396 | |||||||
Banco Bradesco SA, 144A, 5.75%, 3/1/2022
|
380,000 | 398,810 | |||||||
Banco Santander Brasil SA, 144A, 8.0%, 3/18/2016
|
BRL
|
300,000 | 138,808 | ||||||
BOE Merger Corp., 144A, 9.5%, 11/1/2017 (PIK)
|
75,000 | 78,188 | |||||||
Braskem America Finance Co., 144A, 7.125%, 7/22/2041
|
200,000 | 202,000 | |||||||
Caesar's Operating Escrow LLC, 144A, 9.0%, 2/15/2020
|
95,000 | 91,438 | |||||||
Case New Holland, Inc., 7.875%, 12/1/2017
|
225,000 | 264,375 | |||||||
CIT Group, Inc.:
|
|||||||||
4.25%, 8/15/2017
|
515,000 | 530,450 | |||||||
5.0%, 5/15/2017
|
80,000 | 85,200 | |||||||
CNH Capital LLC, 144A, 3.625%, 4/15/2018
|
150,000 | 151,125 | |||||||
E*TRADE Financial Corp.:
|
|||||||||
6.0%, 11/15/2017
|
513,900 | 535,741 | |||||||
6.375%, 11/15/2019
|
265,000 | 278,250 | |||||||
6.75%, 6/1/2016
|
145,000 | 155,150 | |||||||
Fibria Overseas Finance Ltd., 144A, 6.75%, 3/3/2021
|
150,000 | 164,250 | |||||||
Fresenius Medical Care U.S. Finance II, Inc.:
|
|||||||||
144A, 5.625%, 7/31/2019
|
90,000 | 98,775 | |||||||
144A, 5.875%, 1/31/2022
|
75,000 | 84,000 | |||||||
Fresenius Medical Care U.S. Finance, Inc.:
|
|||||||||
144A, 5.75%, 2/15/2021
|
70,000 | 77,875 | |||||||
144A, 6.5%, 9/15/2018
|
45,000 | 51,300 | |||||||
General Motors Financial Co., Inc., 144A, 3.25%, 5/15/2018
|
35,000 | 34,694 | |||||||
Hellas Telecommunications Finance SCA, 144A, 8.21%**, 7/15/2015 (PIK)*
|
EUR
|
109,187 | 0 | ||||||
Hexion U.S. Finance Corp.:
|
|||||||||
6.625%, 4/15/2020
|
40,000 | 41,600 | |||||||
8.875%, 2/1/2018
|
155,000 | 161,781 | |||||||
International Lease Finance Corp.:
|
|||||||||
3.875%, 4/15/2018
|
285,000 | 285,356 | |||||||
4.625%, 4/15/2021
|
135,000 | 133,987 | |||||||
6.25%, 5/15/2019
|
125,000 | 136,562 | |||||||
8.625%, 1/15/2022
|
125,000 | 155,937 | |||||||
Kinder Morgan Finance Co., LLC, 144A, 6.0%, 1/15/2018
|
165,000 | 182,152 | |||||||
Level 3 Financing, Inc.:
|
|||||||||
7.0%, 6/1/2020
|
145,000 | 151,162 | |||||||
8.125%, 7/1/2019
|
80,000 | 86,600 | |||||||
8.625%, 7/15/2020
|
65,000 | 71,500 | |||||||
Metalloinvest Finance Ltd., 144A, 6.5%, 7/21/2016
|
200,000 | 210,750 | |||||||
MPT Operating Partnership LP:
|
|||||||||
(REIT), 6.375%, 2/15/2022
|
70,000 | 76,650 | |||||||
(REIT), 6.875%, 5/1/2021
|
110,000 | 121,550 | |||||||
National Money Mart Co., 10.375%, 12/15/2016
|
120,000 | 128,550 | |||||||
Neuberger Berman Group LLC:
|
|||||||||
144A, 5.625%, 3/15/2020
|
65,000 | 68,900 | |||||||
144A, 5.875%, 3/15/2022
|
110,000 | 117,150 | |||||||
Nielsen Finance LLC, 144A, 4.5%, 10/1/2020
|
20,000 | 20,050 | |||||||
NII Capital Corp., 7.625%, 4/1/2021
|
55,000 | 45,788 | |||||||
Odebrecht Finance Ltd., 144A, 7.125%, 6/26/2042
|
200,000 | 214,000 | |||||||
Qtel International Finance Ltd., 144A, 3.25%, 2/21/2023
|
200,000 | 190,250 | |||||||
Reynolds Group Issuer, Inc.:
|
|||||||||
5.75%, 10/15/2020
|
155,000 | 157,325 | |||||||
6.875%, 2/15/2021
|
205,000 | 218,837 | |||||||
7.125%, 4/15/2019
|
540,000 | 575,100 | |||||||
8.25%, 2/15/2021
|
100,000 | 102,000 | |||||||
8.5%, 5/15/2018
|
100,000 | 105,000 | |||||||
Schaeffler Finance BV, 144A, 7.75%, 2/15/2017
|
200,000 | 225,000 | |||||||
Serta Simmons Holdings LLC, 144A, 8.125%, 10/1/2020
|
45,000 | 47,588 | |||||||
Sky Growth Acquisition Corp., 144A, 7.375%, 10/15/2020
|
65,000 | 69,063 | |||||||
Toys "R" Us Property Co. I LLC, 10.75%, 7/15/2017
|
100,000 | 106,000 | |||||||
Tronox Finance LLC, 144A, 6.375%, 8/15/2020
|
95,000 | 93,338 | |||||||
Turkiye Halk Bankasi AS, 144A, 4.875%, 7/19/2017
|
200,000 | 209,374 | |||||||
UPCB Finance III Ltd., 144A, 6.625%, 7/1/2020
|
490,000 | 521,850 | |||||||
UPCB Finance VI Ltd., 144A, 6.875%, 1/15/2022
|
150,000 | 162,000 | |||||||
Vale Overseas Ltd., 6.875%, 11/10/2039
|
200,000 | 215,402 | |||||||
Wind Acquisition Finance SA, 144A, 6.5%, 4/30/2020
|
80,000 | 82,200 | |||||||
WMG Acquisition Corp., 144A, 6.0%, 1/15/2021
|
36,000 | 37,980 | |||||||
11,213,145 | |||||||||
Health Care 6.6%
|
|||||||||
Aviv Healthcare Properties LP, 7.75%, 2/15/2019
|
200,000 | 218,500 | |||||||
Biomet, Inc.:
|
|||||||||
144A, 6.5%, 8/1/2020
|
135,000 | 142,088 | |||||||
144A, 6.5%, 10/1/2020
|
40,000 | 40,500 | |||||||
Community Health Systems, Inc.:
|
|||||||||
5.125%, 8/15/2018
|
695,000 | 724,537 | |||||||
7.125%, 7/15/2020
|
750,000 | 823,125 | |||||||
HCA Holdings, Inc., 7.75%, 5/15/2021
|
215,000 | 237,575 | |||||||
HCA, Inc.:
|
|||||||||
5.875%, 3/15/2022
|
120,000 | 131,700 | |||||||
6.5%, 2/15/2020
|
675,000 | 761,062 | |||||||
7.5%, 2/15/2022
|
335,000 | 390,275 | |||||||
Hologic, Inc., 6.25%, 8/1/2020
|
80,000 | 85,500 | |||||||
IMS Health, Inc., 144A, 6.0%, 11/1/2020
|
100,000 | 105,750 | |||||||
Physio-Control International, Inc., 144A, 9.875%, 1/15/2019
|
65,000 | 73,450 | |||||||
STHI Holding Corp., 144A, 8.0%, 3/15/2018
|
65,000 | 70,850 | |||||||
Tenet Healthcare Corp.:
|
|||||||||
144A, 4.375%, 10/1/2021
|
150,000 | 145,500 | |||||||
144A, 4.5%, 4/1/2021
|
20,000 | 19,650 | |||||||
6.25%, 11/1/2018
|
415,000 | 459,613 | |||||||
4,429,675 | |||||||||
Industrials 7.8%
|
|||||||||
Accuride Corp., 9.5%, 8/1/2018
|
80,000 | 83,400 | |||||||
Air Lease Corp.:
|
|||||||||
4.75%, 3/1/2020
|
110,000 | 111,650 | |||||||
6.125%, 4/1/2017
|
175,000 | 188,562 | |||||||
BE Aerospace, Inc., 6.875%, 10/1/2020
|
65,000 | 71,338 | |||||||
Belden, Inc., 144A, 5.5%, 9/1/2022
|
135,000 | 138,712 | |||||||
Bombardier, Inc.:
|
|||||||||
144A, 5.75%, 3/15/2022
|
175,000 | 182,000 | |||||||
144A, 7.75%, 3/15/2020
|
465,000 | 544,050 | |||||||
Casella Waste Systems, Inc., 7.75%, 2/15/2019
|
210,000 | 201,600 | |||||||
Clean Harbors, Inc., 5.125%, 6/1/2021
|
100,000 | 103,000 | |||||||
DigitalGlobe, Inc., 144A, 5.25%, 2/1/2021
|
55,000 | 55,413 | |||||||
Ducommun, Inc., 9.75%, 7/15/2018
|
70,000 | 77,700 | |||||||
DynCorp International, Inc., 10.375%, 7/1/2017
|
170,000 | 174,250 | |||||||
Ferreycorp SAA, 144A, 4.875%, 4/26/2020
|
200,000 | 198,300 | |||||||
Florida East Coast Railway Corp., 8.125%, 2/1/2017
|
40,000 | 42,600 | |||||||
FTI Consulting, Inc.:
|
|||||||||
144A, 6.0%, 11/15/2022
|
80,000 | 84,600 | |||||||
6.75%, 10/1/2020
|
295,000 | 315,650 | |||||||
Garda World Security Corp., 144A, 9.75%, 3/15/2017
|
65,000 | 69,713 | |||||||
GenCorp, Inc., 144A, 7.125%, 3/15/2021
|
280,000 | 299,600 | |||||||
Georgian Railway JSC, 144A, 7.75%, 7/11/2022
|
200,000 | 232,000 | |||||||
Grupo KUO SAB de CV, 144A, 6.25%, 12/4/2022
|
200,000 | 211,000 | |||||||
Huntington Ingalls Industries, Inc.:
|
|||||||||
6.875%, 3/15/2018
|
105,000 | 114,450 | |||||||
7.125%, 3/15/2021
|
20,000 | 21,950 | |||||||
Interline Brands, Inc., 7.5%, 11/15/2018
|
105,000 | 112,350 | |||||||
Iron Mountain, Inc., 5.75%, 8/15/2024
|
90,000 | 91,125 | |||||||
Kenan Advantage Group, Inc., 144A, 8.375%, 12/15/2018
|
155,000 | 165,850 | |||||||
Meritor, Inc.:
|
|||||||||
6.75%, 6/15/2021
|
75,000 | 74,062 | |||||||
10.625%, 3/15/2018
|
60,000 | 65,775 | |||||||
Navios Maritime Holdings, Inc.:
|
|||||||||
8.125%, 2/15/2019
|
75,000 | 72,937 | |||||||
8.875%, 11/1/2017
|
45,000 | 47,363 | |||||||
Navios South American Logistics, Inc.:
|
|||||||||
9.25%, 4/15/2019
|
55,000 | 59,813 | |||||||
144A, 9.25%, 4/15/2019
|
10,000 | 10,875 | |||||||
Nortek, Inc., 8.5%, 4/15/2021
|
85,000 | 93,075 | |||||||
Ply Gem Industries, Inc., 9.375%, 4/15/2017
|
21,000 | 22,890 | |||||||
Spirit AeroSystems, Inc., 6.75%, 12/15/2020
|
95,000 | 101,650 | |||||||
Titan International, Inc.:
|
|||||||||
7.875%, 10/1/2017
|
185,000 | 197,950 | |||||||
144A, 7.875%, 10/1/2017
|
50,000 | 53,500 | |||||||
TransDigm, Inc., 7.75%, 12/15/2018
|
135,000 | 147,319 | |||||||
U.S. Airways Group, Inc., 6.125%, 6/1/2018
|
90,000 | 87,637 | |||||||
United Rentals North America, Inc.:
|
|||||||||
6.125%, 6/15/2023
|
10,000 | 10,475 | |||||||
7.375%, 5/15/2020
|
120,000 | 131,700 | |||||||
7.625%, 4/15/2022
|
120,000 | 132,900 | |||||||
Watco Companies LLC, 144A, 6.375%, 4/1/2023
|
60,000 | 63,150 | |||||||
5,263,934 | |||||||||
Information Technology 3.3%
|
|||||||||
Alliance Data Systems Corp., 144A, 5.25%, 12/1/2017
|
95,000 | 99,513 | |||||||
CDW LLC, 8.5%, 4/1/2019
|
165,000 | 182,531 | |||||||
CyrusOne LP, 144A, 6.375%, 11/15/2022
|
40,000 | 42,700 | |||||||
eAccess Ltd., 144A, 8.25%, 4/1/2018
|
60,000 | 66,450 | |||||||
EarthLink, Inc., 144A, 7.375%, 6/1/2020
|
95,000 | 93,575 | |||||||
Equinix, Inc.:
|
|||||||||
4.875%, 4/1/2020
|
100,000 | 101,750 | |||||||
5.375%, 4/1/2023
|
265,000 | 273,612 | |||||||
7.0%, 7/15/2021
|
90,000 | 100,125 | |||||||
First Data Corp.:
|
|||||||||
144A, 6.75%, 11/1/2020
|
275,000 | 287,375 | |||||||
144A, 7.375%, 6/15/2019
|
95,000 | 100,225 | |||||||
144A, 8.875%, 8/15/2020
|
170,000 | 187,850 | |||||||
144A, 10.625%, 6/15/2021
|
80,000 | 80,400 | |||||||
144A, 11.25%, 1/15/2021
|
50,000 | 51,125 | |||||||
Hughes Satellite Systems Corp.:
|
|||||||||
6.5%, 6/15/2019
|
185,000 | 202,112 | |||||||
7.625%, 6/15/2021
|
90,000 | 100,575 | |||||||
IAC/InterActiveCorp., 144A, 4.75%, 12/15/2022
|
75,000 | 73,688 | |||||||
Jabil Circuit, Inc., 5.625%, 12/15/2020
|
105,000 | 113,138 | |||||||
VeriSign, Inc., 144A, 4.625%, 5/1/2023
|
75,000 | 75,375 | |||||||
2,232,119 | |||||||||
Materials 9.4%
|
|||||||||
Axiall Corp., 144A, 4.875%, 5/15/2023
|
25,000 | 25,125 | |||||||
Berry Plastics Corp.:
|
|||||||||
9.5%, 5/15/2018
|
65,000 | 71,175 | |||||||
9.75%, 1/15/2021
|
80,000 | 92,400 | |||||||
Bluescope Steel Ltd., 144A, 7.125%, 5/1/2018
|
60,000 | 62,250 | |||||||
BOE Intermediate Holding Corp., 144A, 9.0%, 11/1/2017 (PIK)
|
110,000 | 108,350 | |||||||
Cemex SAB de CV, 144A, 9.5%, 6/15/2018
|
200,000 | 223,500 | |||||||
Clearwater Paper Corp., 7.125%, 11/1/2018
|
140,000 | 151,550 | |||||||
Compass Minerals International, Inc., 8.0%, 6/1/2019
|
85,000 | 92,225 | |||||||
Crown Americas LLC, 6.25%, 2/1/2021
|
20,000 | 21,850 | |||||||
Eagle Spinco, Inc., 144A, 4.625%, 2/15/2021
|
45,000 | 45,338 | |||||||
Essar Steel Algoma, Inc.:
|
|||||||||
144A, 9.375%, 3/15/2015
|
430,000 | 399,900 | |||||||
144A, 9.875%, 6/15/2015
|
40,000 | 30,800 | |||||||
Exopack Holding Corp., 10.0%, 6/1/2018
|
90,000 | 94,275 | |||||||
FMG Resources (August 2006) Pty Ltd.:
|
|||||||||
144A, 6.0%, 4/1/2017
|
130,000 | 131,625 | |||||||
144A, 6.875%, 4/1/2022
|
95,000 | 95,950 | |||||||
144A, 7.0%, 11/1/2015
|
135,000 | 139,050 | |||||||
144A, 8.25%, 11/1/2019
|
110,000 | 116,050 | |||||||
Greif, Inc., 7.75%, 8/1/2019
|
230,000 | 271,400 | |||||||
Huntsman International LLC:
|
|||||||||
4.875%, 11/15/2020
|
85,000 | 85,850 | |||||||
8.625%, 3/15/2020
|
120,000 | 132,600 | |||||||
8.625%, 3/15/2021
|
50,000 | 55,875 | |||||||
IAMGOLD Corp., 144A, 6.75%, 10/1/2020
|
110,000 | 100,650 | |||||||
Inmet Mining Corp.:
|
|||||||||
144A, 7.5%, 6/1/2021
|
220,000 | 223,850 | |||||||
144A, 8.75%, 6/1/2020
|
125,000 | 134,687 | |||||||
Inversiones CMPC SA, 144A, 4.375%, 5/15/2023
|
200,000 | 196,279 | |||||||
Kaiser Aluminum Corp., 8.25%, 6/1/2020
|
100,000 | 112,750 | |||||||
KGHM International Ltd., 144A, 7.75%, 6/15/2019
|
250,000 | 261,250 | |||||||
Novelis, Inc.:
|
|||||||||
8.375%, 12/15/2017
|
325,000 | 351,000 | |||||||
8.75%, 12/15/2020
|
490,000 | 547,575 | |||||||
OI European Group BV, 144A, 6.75%, 9/15/2020
|
EUR
|
70,000 | 105,330 | ||||||
Packaging Dynamics Corp., 144A, 8.75%, 2/1/2016
|
90,000 | 94,163 | |||||||
Polymer Group, Inc., 7.75%, 2/1/2019
|
110,000 | 118,525 | |||||||
PolyOne Corp., 144A, 5.25%, 3/15/2023
|
215,000 | 220,912 | |||||||
Polyus Gold International Ltd., 144A, 5.625%, 4/29/2020
|
200,000 | 204,000 | |||||||
Rain CII Carbon LLC, 144A, 8.0%, 12/1/2018
|
100,000 | 106,000 | |||||||
Samarco Mineracao SA, 144A, 4.125%, 11/1/2022
|
300,000 | 282,750 | |||||||
Sealed Air Corp., 144A, 5.25%, 4/1/2023
|
20,000 | 20,200 | |||||||
Turkiye Sise ve Cam Fabrikalari AS, 144A, 4.25%, 5/9/2020
|
200,000 | 196,250 | |||||||
Viskase Companies, Inc., 144A, 9.875%, 1/15/2018
|
145,000 | 154,787 | |||||||
Volcan Cia Minera SAA, 144A, 5.375%, 2/2/2022
|
420,000 | 428,400 | |||||||
Wolverine Tube, Inc., 6.0%, 6/28/2014 (PIK)
|
3,367 | 3,367 | |||||||
6,309,863 | |||||||||
Telecommunication Services 14.7%
|
|||||||||
CenturyLink, Inc., Series V, 5.625%, 4/1/2020
|
40,000 | 41,350 | |||||||
Cincinnati Bell, Inc.:
|
|||||||||
8.375%, 10/15/2020
|
365,000 | 387,812 | |||||||
8.75%, 3/15/2018
|
320,000 | 328,000 | |||||||
Colombia Telecomunicaciones SA ESP, 144A, 5.375%, 9/27/2022
|
200,000 | 196,500 | |||||||
CPI International, Inc., 8.0%, 2/15/2018
|
50,000 | 52,875 | |||||||
Cricket Communications, Inc., 7.75%, 10/15/2020
|
570,000 | 568,575 | |||||||
Crown Castle International Corp., 7.125%, 11/1/2019
|
90,000 | 97,650 | |||||||
Digicel Group Ltd.:
|
|||||||||
144A, 8.25%, 9/30/2020
|
200,000 | 213,000 | |||||||
144A, 10.5%, 4/15/2018
|
100,000 | 108,590 | |||||||
Digicel Ltd.:
|
|||||||||
144A, 7.0%, 2/15/2020
|
200,000 | 207,500 | |||||||
144A, 8.25%, 9/1/2017
|
530,000 | 551,200 | |||||||
ERC Ireland Preferred Equity Ltd., 144A, 7.69%**, 2/15/2017 (PIK)*
|
EUR
|
80,289 | 0 | ||||||
Frontier Communications Corp.:
|
|||||||||
7.125%, 1/15/2023
|
515,000 | 538,175 | |||||||
7.625%, 4/15/2024
|
40,000 | 41,900 | |||||||
8.25%, 4/15/2017
|
119,000 | 138,635 | |||||||
8.5%, 4/15/2020
|
180,000 | 206,100 | |||||||
8.75%, 4/15/2022
|
25,000 | 28,188 | |||||||
Intelsat Jackson Holdings SA:
|
|||||||||
144A, 5.5%, 8/1/2023 (b)
|
235,000 | 230,300 | |||||||
144A, 6.625%, 12/15/2022 (b)
|
90,000 | 93,712 | |||||||
7.25%, 10/15/2020
|
435,000 | 471,975 | |||||||
7.5%, 4/1/2021
|
420,000 | 461,475 | |||||||
8.5%, 11/1/2019
|
220,000 | 241,450 | |||||||
Intelsat Luxembourg SA:
|
|||||||||
144A, 7.75%, 6/1/2021
|
255,000 | 268,069 | |||||||
144A, 8.125%, 6/1/2023
|
35,000 | 37,450 | |||||||
11.25%, 2/4/2017
|
205,000 | 216,890 | |||||||
Level 3 Communications, Inc., 8.875%, 6/1/2019
|
10,000 | 10,850 | |||||||
MetroPCS Wireless, Inc.:
|
|||||||||
6.625%, 11/15/2020
|
65,000 | 69,550 | |||||||
144A, 6.625%, 4/1/2023
|
95,000 | 100,462 | |||||||
7.875%, 9/1/2018
|
155,000 | 168,950 | |||||||
Millicom International Cellular SA, 144A, 4.75%, 5/22/2020
|
200,000 | 197,500 | |||||||
SBA Communications Corp., 144A, 5.625%, 10/1/2019
|
75,000 | 77,250 | |||||||
SBA Telecommunications, Inc., 8.25%, 8/15/2019
|
26,000 | 28,470 | |||||||
Sprint Nextel Corp.:
|
|||||||||
6.0%, 12/1/2016
|
775,000 | 837,000 | |||||||
6.0%, 11/15/2022
|
130,000 | 133,900 | |||||||
9.125%, 3/1/2017
|
65,000 | 76,050 | |||||||
Syniverse Holdings, Inc., 9.125%, 1/15/2019
|
25,000 | 27,313 | |||||||
Telemar Norte Leste SA, 144A, 5.5%, 10/23/2020
|
200,000 | 200,000 | |||||||
Telesat Canada, 144A, 6.0%, 5/15/2017
|
900,000 | 940,500 | |||||||
tw telecom holdings, Inc., 5.375%, 10/1/2022
|
115,000 | 119,025 | |||||||
Windstream Corp.:
|
|||||||||
6.375%, 8/1/2023
|
95,000 | 93,812 | |||||||
7.0%, 3/15/2019
|
90,000 | 91,800 | |||||||
7.5%, 6/1/2022
|
65,000 | 68,900 | |||||||
7.5%, 4/1/2023
|
150,000 | 157,500 | |||||||
7.75%, 10/15/2020
|
65,000 | 69,388 | |||||||
7.75%, 10/1/2021
|
130,000 | 139,750 | |||||||
7.875%, 11/1/2017
|
310,000 | 356,500 | |||||||
8.125%, 9/1/2018
|
145,000 | 157,325 | |||||||
9,849,166 | |||||||||
Utilities 4.7%
|
|||||||||
AES Corp.:
|
|||||||||
4.875%, 5/15/2023
|
40,000 | 39,300 | |||||||
8.0%, 10/15/2017
|
75,000 | 87,938 | |||||||
8.0%, 6/1/2020
|
105,000 | 126,000 | |||||||
Calpine Corp.:
|
|||||||||
144A, 7.5%, 2/15/2021
|
153,000 | 166,005 | |||||||
144A, 7.875%, 7/31/2020
|
168,000 | 184,800 | |||||||
Centrais Eletricas Brasileiras SA, 144A, 6.875%, 7/30/2019
|
655,000 | 731,962 | |||||||
DPL, Inc., 6.5%, 10/15/2016
|
505,000 | 544,137 | |||||||
Energy Future Holdings Corp., Series Q, 6.5%, 11/15/2024
|
110,000 | 80,300 | |||||||
Energy Future Intermediate Holding Co., LLC:
|
|||||||||
10.0%, 12/1/2020
|
30,000 | 34,163 | |||||||
11.0%, 10/1/2021
|
205,000 | 226,525 | |||||||
Instituto Costarricense de Electricidad, 144A, 6.95%, 11/10/2021
|
200,000 | 222,000 | |||||||
IPALCO Enterprises, Inc., 5.0%, 5/1/2018
|
175,608 | 188,778 | |||||||
Mexico Generadora de Energia S de rl, 144A, 5.5%, 12/6/2032
|
200,000 | 200,940 | |||||||
NRG Energy, Inc.:
|
|||||||||
7.625%, 1/15/2018
|
75,000 | 84,563 | |||||||
8.25%, 9/1/2020
|
25,000 | 28,031 | |||||||
Transportadora de Gas del Peru SA, 144A, 4.25%, 4/30/2028
|
200,000 | 189,500 | |||||||
3,134,942 | |||||||||
Total Corporate Bonds (Cost $63,550,319)
|
66,216,556 | ||||||||
Government & Agency Obligations 15.9%
|
|||||||||
Sovereign Bonds
|
|||||||||
Dominican Republic, 144A, 7.5%, 5/6/2021
|
900,000 | 1,019,250 | |||||||
Federative Republic of Brazil, 12.5%, 1/5/2016
|
BRL
|
625,000 | 325,369 | ||||||
Republic of Argentina-Inflation Linked Bond, 5.83%, 12/31/2033
|
ARS
|
481 | 125 | ||||||
Republic of Belarus, REG S, 8.75%, 8/3/2015
|
100,000 | 104,000 | |||||||
Republic of Croatia:
|
|||||||||
144A, 6.25%, 4/27/2017
|
285,000 | 308,287 | |||||||
144A, 6.375%, 3/24/2021
|
950,000 | 1,037,372 | |||||||
Republic of El Salvador, 144A, 7.65%, 6/15/2035
|
315,000 | 337,050 | |||||||
Republic of Ghana, 144A, 8.5%, 10/4/2017
|
100,000 | 112,500 | |||||||
Republic of Hungary:
|
|||||||||
4.125%, 2/19/2018
|
440,000 | 438,460 | |||||||
5.375%, 2/21/2023
|
680,000 | 677,450 | |||||||
Republic of Lithuania, 144A, 7.375%, 2/11/2020
|
375,000 | 465,938 | |||||||
Republic of Panama, 9.375%, 1/16/2023
|
665,000 | 950,950 | |||||||
Republic of Poland, 5.125%, 4/21/2021
|
1,050,000 | 1,194,375 | |||||||
Republic of Serbia, 144A, 7.25%, 9/28/2021
|
470,000 | 521,230 | |||||||
Republic of Venezuela, 9.25%, 9/15/2027
|
280,000 | 254,800 | |||||||
Russian Federation:
|
|||||||||
144A, 5.0%, 4/29/2020
|
2,145,000 | 2,386,312 | |||||||
REG S, 7.5%, 3/31/2030
|
402,114 | 488,568 | |||||||
Series 6207, 8.15%, 2/3/2027
|
RUB
|
1,000,000 | 33,275 | ||||||
United Mexican States:
|
|||||||||
Series M, 7.75%, 5/29/2031
|
MXN
|
270,000 | 24,625 | ||||||
Series M-20, 8.5%, 5/31/2029
|
MXN
|
270,000 | 26,563 | ||||||
Total Government & Agency Obligations (Cost $9,602,787)
|
10,706,499 | ||||||||
Loan Participations and Assignments 24.6%
|
|||||||||
Senior Loans** 23.0%
|
|||||||||
Consumer Discretionary 8.4%
|
|||||||||
9,671 | 4,521 | ||||||||
Burger King Corp., Term Loan B, 3.75%, 9/27/2019
|
189,050 | 191,109 | |||||||
Caesars Entertainment Operating Co., Term Loan B6, 5.44%, 1/26/2018
|
33,532 | 30,061 | |||||||
Charter Communications Operating LLC, Term Loan E, 3.0%, 4/10/2020
|
655,000 | 652,750 | |||||||
Clear Channel Communications, Inc., Term Loan B, 3.84%, 1/29/2016
|
99,771 | 92,954 | |||||||
Cumulus Media Holdings, Inc., Second Lien Term Loan, 7.5%, 9/16/2019
|
130,000 | 135,091 | |||||||
Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.75%, 4/30/2019
|
930,000 | 938,398 | |||||||
Petco Animal Supplies, Inc., Term Loan, 4.0%, 11/24/2017
|
145,655 | 147,294 | |||||||
Pilot Travel Centers LLC:
|
|||||||||
Term Loan B, 3.75%, 3/30/2018
|
271,535 | 268,651 | |||||||
Term Loan B2, 4.25%, 8/7/2019
|
676,600 | 672,710 | |||||||
Seminole Tribe of Florida, Term Loan, 3.0%, 4/29/2020
|
1,060,000 | 1,063,445 | |||||||
Tomkins LLC:
|
|||||||||
First Lien Term Loan, 5.0%, 11/9/2018
|
169,575 | 171,624 | |||||||
Term Loan B2, 3.75%, 9/29/2016
|
1,097,918 | 1,108,216 | |||||||
Univision Communications, Inc., Term Loan, 4.5%, 3/2/2020
|
155,894 | 155,824 | |||||||
5,632,648 | |||||||||
Consumer Staples 2.8%
|
|||||||||
Albertson's LLC, Term Loan, 5.75%, 3/21/2016
|
685,000 | 690,247 | |||||||
Del Monte Foods Co., Term Loan, 4.0%, 3/8/2018
|
382,545 | 385,106 | |||||||
HJ Heinz Co., Term Loan B2, 3.5%, 3/27/2020
|
690,000 | 697,100 | |||||||
Pinnacle Foods Finance LLC, Term Loan G, 3.25%, 4/29/2020
|
120,000 | 120,313 | |||||||
1,892,766 | |||||||||
Energy 3.5%
|
|||||||||
Chesapeake Energy Corp., Term Loan, 5.75%, 12/1/2017
|
355,000 | 365,064 | |||||||
MEG Energy Corp., Term Loan, 3.75%, 3/31/2020
|
660,000 | 665,363 | |||||||
NRG Energy, Inc., Term Loan B, 3.25%, 7/2/2018
|
397,955 | 396,168 | |||||||
Ruby Western Pipeline Holdings LLC, Term Loan B, 3.5%, 3/27/2020
|
80,000 | 80,600 | |||||||
Samson Investment Co., Second Lien Term Loan, 6.0%, 9/25/2018
|
540,000 | 544,892 | |||||||
Tallgrass Operations LLC, Term Loan, 5.25%, 11/13/2018
|
297,196 | 300,168 | |||||||
2,352,255 | |||||||||
Financials 1.0%
|
|||||||||
Calpine Construction Finance Co., LP, Term Loan 1, 3.0%, 4/24/2020
|
655,000 | 652,544 | |||||||
Health Care 1.1%
|
|||||||||
Par Pharmaceutical Companies, Inc., Term Loan B, 4.25%, 9/30/2019
|
323,377 | 324,830 | |||||||
Warner Chilcott Co., LLC, Term Loan B2, 4.25%, 3/15/2018
|
38,242 | 38,596 | |||||||
Warner Chilcott Corp.:
|
|||||||||
Incremental Term Loan B1, 4.25%, 3/15/2018
|
46,979 | 47,414 | |||||||
Term Loan B1, 4.25%, 3/15/2018
|
107,922 | 108,921 | |||||||
WC Luxco S.a.r.l., Term Loan B3, 4.25%, 3/15/2018
|
85,044 | 85,831 | |||||||
WP Prism, Inc., Term Loan, 6.25%, 5/31/2018
|
120,000 | 120,600 | |||||||
726,192 | |||||||||
Industrials 1.7%
|
|||||||||
Buffalo Gulf Coast Terminals LLC, Term Loan, 5.25%, 10/31/2017
|
203,975 | 208,055 | |||||||
Transdigm, Inc., Term Loan C, 3.75%, 2/28/2020
|
544,502 | 551,853 | |||||||
WP CPP Holdings LLC, First Lien Term Loan, 4.75%, 12/27/2019
|
418,950 | 420,521 | |||||||
1,180,429 | |||||||||
Information Technology 1.2%
|
|||||||||
First Data Corp., Term Loan, 4.199%, 3/24/2017
|
790,000 | 789,656 | |||||||
Telecommunication Services 3.3%
|
|||||||||
Crown Castle International Corp., Term Loan, 3.25%, 1/31/2019
|
1,186,042 | 1,191,978 | |||||||
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/2020
|
15,000 | 15,120 | |||||||
Kabel Deutschland GmbH, Term Loan F1, 3.25%, 2/1/2019
|
1,055,000 | 1,057,374 | |||||||
2,264,472 | |||||||||
Sovereign Loans 1.6%
|
|||||||||
Financials 1.3%
|
|||||||||
Bank of Moscow, 144A, 6.699%, 3/11/2015
|
360,000 | 381,402 | |||||||
Sberbank of Russia, 144A, 5.125%, 10/29/2022
|
200,000 | 197,308 | |||||||
VTB Bank OJSC, 144A, 6.315%, 2/22/2018
|
265,000 | 287,313 | |||||||
866,023 | |||||||||
Materials 0.3%
|
|||||||||
Uralkali OJSC, 144A, 3.723%, 4/30/2018
|
200,000 | 194,000 | |||||||
Total Loan Participations and Assignments (Cost $16,435,591)
|
16,550,985 | ||||||||
Convertible Bonds 0.4%
|
|||||||||
Consumer Discretionary 0.2%
|
|||||||||
Group 1 Automotive, Inc., 3.0%, 3/15/2020
|
65,000 | 116,634 | |||||||
Materials 0.2%
|
|||||||||
GEO Specialty Chemicals, Inc., 144A, 7.5%, 3/31/2015 (PIK)
|
105,307 | 163,100 | |||||||
Total Convertible Bonds (Cost $169,625)
|
279,734 | ||||||||
Preferred Security 0.2%
|
|||||||||
Materials
|
|||||||||
Hercules, Inc., 6.5%, 6/30/2029 (Cost $116,916)
|
175,000 | 161,875 |
Units
|
Value ($)
|
|||||||
Other Investments 0.1%
|
||||||||
Consumer Discretionary
|
||||||||
AOT Bedding Super Holdings LLC* (c) (Cost $4,000)
|
11 | 38,254 |
Shares
|
Value ($)
|
|||||||
Common Stocks 0.0%
|
||||||||
Consumer Discretionary 0.0%
|
||||||||
Buffets Restaurants Holdings, Inc.*
|
87 | 522 | ||||||
Trump Entertainment Resorts, Inc.*
|
8 | 0 | ||||||
Vertis Holdings, Inc.*
|
71 | 0 | ||||||
522 | ||||||||
Industrials 0.0%
|
||||||||
Congoleum Corp.*
|
2,000 | 0 | ||||||
Materials 0.0%
|
||||||||
GEO Specialty Chemicals, Inc.*
|
1,741 | 1,035 | ||||||
Wolverine Tube, Inc.*
|
640 | 11,597 | ||||||
12,632 | ||||||||
Total Common Stocks (Cost $37,095)
|
13,154 | |||||||
Preferred Stock 0.2%
|
||||||||
Financials
|
||||||||
Ally Financial, Inc., 144A, 7.0% (Cost $150,350)
|
160 | 156,870 | ||||||
Warrants 0.0%
|
||||||||
Consumer Discretionary 0.0%
|
||||||||
Reader's Digest Association, Inc., Expiration Date 2/19/2014*
|
175 | 0 | ||||||
Materials 0.0%
|
||||||||
GEO Specialty Chemicals, Inc., Expiration Date 3/31/2015*
|
9,761 | 5,731 | ||||||
Hercules Trust II, Expiration Date 3/31/2029*
|
95 | 1,418 | ||||||
7,149 | ||||||||
Total Warrants (Cost $20,981)
|
7,149 |
Contract
Amount
|
Value ($)
|
|||||||
Call Options Purchased 0.0%
|
||||||||
Options on Interest Rate Swap Contracts
|
||||||||
Pay Fixed Rate — 3.583% - Receive Floating — LIBOR, Swap Expiration Date 5/11/2026, Option Expiration Date 5/9/2016
|
100,000 | 4,742 | ||||||
Pay Fixed Rate — 3.635% - Receive Floating — LIBOR, Swap Expiration Date 4/27/2026, Option Expiration Date 4/25/2016
|
200,000 | 9,007 | ||||||
Pay Fixed Rate — 3.72% - Receive Floating — LIBOR, Swap Expiration Date 4/22/2026, Option Expiration Date 4/20/2016
|
200,000 | 8,407 | ||||||
Total Call Options Purchased (Cost $24,460)
|
22,156 |
Shares
|
Value ($)
|
|||||||
Cash Equivalents 12.6%
|
||||||||
Central Cash Management Fund, 0.07% (d) (Cost $8,440,963)
|
8,440,963 | 8,440,963 |
% of Net Assets
|
Value ($)
|
|||||||
Total Investment Portfolio (Cost $98,553,087)†
|
152.5 | 102,594,195 | ||||||
Notes Payable
|
(47.6 | ) | (32,000,000 | ) | ||||
Other Assets and Liabilities, Net
|
(4.9 | ) | (3,305,729 | ) | ||||
Net Assets
|
100.0 | 67,288,466 |
Securities
|
Coupon
|
Maturity Date
|
Principal Amount
|
Cost ($)
|
Value ($)
|
|||||||||||||
Buffets, Inc.*
|
LIBOR plus 9.25%
|
4/22/2015
|
USD
|
9,671 | 9,433 | 4,521 | ||||||||||||
ERC Ireland Preferred Equity Ltd.*
|
7.69 | % |
2/15/2017
|
EUR
|
80,289 | 109,298 | 0 | |||||||||||
Fontainebleau Las Vegas Holdings LLC*
|
11.0 | % |
6/15/2015
|
USD
|
70,000 | 70,788 | 0 | |||||||||||
Hellas Telecommunications Finance SCA*
|
8.21 | % |
7/15/2015
|
EUR
|
109,187 | 32,169 | 0 | |||||||||||
221,688 | 4,521 |
Schedule of Restricted Securities
|
Acquisition Date
|
Cost ($)
|
Value ($)
|
Value as % of Net Assets
|
|||||||||
AOT Bedding Super Holdings LLC*
|
June 2010
|
4,000 | 38,254 | 0.06 |
Borrower
|
Unfunded Loan Commitment ($)
|
Value ($)
|
Unrealized Appreciation/
(Depreciation) ($)
|
|||||||||
Tallgrass Operations LLC, Term Delay Draw, 11/13/2017
|
135,000 | 135,000 | — |
Options on Interest Rate Swap Contracts
|
||||||||||||||
Swap Effective/ Expiration Date
|
Contract Amount
|
Option Expiration Date
|
Premiums Received ($)
|
Value ($) (e)
|
||||||||||
Call Options
Receive Fixed — 4.22% - Pay Floating — LIBOR
|
4/22/2016
4/22/2026
|
200,000 |
4/20/2016
|
7,130 | (5,789 | ) | ||||||||
Receive Fixed — 4.135% - Pay Floating — LIBOR
|
4/27/2016
4/27/2026
|
200,000 |
4/25/2016
|
7,400 | (6,210 | ) | ||||||||
Receive Fixed — 4.083% - Pay Floating — LIBOR
|
5/11/2016
5/11/2026
|
100,000 |
5/9/2016
|
3,400 | (3,290 | ) | ||||||||
Total Call Options
|
17,930 | (15,289 | ) |
Effective/
Expiration Date
|
Notional Amount ($) (f)
|
Fixed Cash Flows Received
|
Underlying Debt Obligation/ Quality Rating (g)
|
Value ($)
|
Upfront Payments Paid/ (Received) ($)
|
Unrealized Appreciation ($)
|
|||||||||||||||
6/21/2010
9/20/2013
|
350,000 | 1 | 5.0 | % |
Ford Motor Co., 6.5%, 8/1/2018, BBB-
|
8,760 | (1,742 | ) | 10,502 | ||||||||||||
6/21/2010
9/20/2015
|
425,000 | 2 | 5.0 | % |
Ford Motor Co., 6.5%, 8/1/2018, BBB-
|
47,060 | (9,714 | ) | 56,774 | ||||||||||||
12/20/2011
3/20/2017
|
150,000 | 3 | 5.0 | % |
CIT Group, Inc., 5.5%, 2/15/2019, BB-
|
21,781 | 4,809 | 16,972 | |||||||||||||
9/20/2012
12/20/2017
|
190,000 | 4 | 5.0 | % |
General Motors Corp., 3.3%, 12/20/2017, BB+
|
27,577 | 12,864 | 14,713 | |||||||||||||
12/20/2012
12/20/2017
|
500,000 | 2 | 5.0 | % |
Markit Dow Jones CDX North America High Yield Index
|
34,749 | 9,966 | 24,783 | |||||||||||||
Total unrealized appreciation
|
123,744 |
Contracts to Deliver
|
In Exchange For
|
Settlement Date
|
Unrealized Depreciation ($)
|
Counterparty
|
|||||||||||
EUR
|
280,736 |
USD
|
364,157 |
6/19/2013
|
(767 | ) |
Citigroup, Inc.
|
Currency Abbreviations
|
ARS Argentine Peso
BRL Brazilian Real
EUR Euro
MXN Mexican Peso
RUB Russian Ruble
USD United States Dollar
|
Assets
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Fixed Income Investments (h)
|
||||||||||||||||
Corporate Bonds
|
$ | — | $ | 66,213,189 | $ | 3,367 | $ | 66,216,556 | ||||||||
Government & Agency Obligations
|
— | 10,706,499 | — | 10,706,499 | ||||||||||||
Loan Participations and Assignments
|
— | 16,550,985 | — | 16,550,985 | ||||||||||||
Convertible Bonds
|
— | 116,634 | 163,100 | 279,734 | ||||||||||||
Preferred Security
|
— | 161,875 | — | 161,875 | ||||||||||||
Other Investments
|
— | — | 38,254 | 38,254 | ||||||||||||
Common Stocks (h)
|
— | 522 | 12,632 | 13,154 | ||||||||||||
Preferred Stock
|
— | 156,870 | — | 156,870 | ||||||||||||
Warrants (h)
|
— | — | 7,149 | 7,149 | ||||||||||||
Short-Term Investments
|
8,440,963 | — | — | 8,440,963 | ||||||||||||
Derivatives (i)
|
||||||||||||||||
Purchased Options
|
— | 22,156 | — | 22,156 | ||||||||||||
Credit Default Swap Contracts
|
— | 123,744 | — | 123,744 | ||||||||||||
Total
|
$ | 8,440,963 | $ | 94,052,474 | $ | 224,502 | $ | 102,717,939 | ||||||||
Liabilities
|
||||||||||||||||
Derivatives (i)
|
||||||||||||||||
Written Options
|
$ | — | $ | (15,289 | ) | $ | — | $ | (15,289 | ) | ||||||
Forward Foreign Currency Exchange Contracts
|
— | (767 | ) | — | (767 | ) | ||||||||||
Total
|
$ | — | $ | (16,056 | ) | $ | — | $ | (16,056 | ) |
as of May 31, 2013 (Unaudited)
|
||||
Assets
|
||||
Investments:
Investments in non-affiliated securities, at value (cost $90,112,124)
|
$ | 94,153,232 | ||
Investment in Central Cash Management Fund (cost $8,440,963)
|
8,440,963 | |||
Total investments in securities, at value (cost $98,553,087)
|
102,594,195 | |||
Cash
|
118,409 | |||
Foreign currency, at value (cost $219)
|
207 | |||
Receivable for investments sold
|
1,022,802 | |||
Receivable for investments sold — when-issued securities
|
344,506 | |||
Interest receivable
|
1,291,657 | |||
Unrealized appreciation on swap contracts
|
123,744 | |||
Upfront payments paid on swap contracts
|
27,639 | |||
Other assets
|
1,954 | |||
Total assets
|
105,525,113 | |||
Liabilities
|
||||
Payable for investments purchased
|
5,049,277 | |||
Payable for investments purchased — when-issued securities
|
973,601 | |||
Notes payable
|
32,000,000 | |||
Interest on notes payable
|
62,774 | |||
Options written, at value (premiums received $17,930)
|
15,289 | |||
Unrealized depreciation on forward foreign currency exchange contracts
|
767 | |||
Upfront payments received on swap contracts
|
11,456 | |||
Accrued management fee
|
49,786 | |||
Accrued Trustees' fees
|
4,404 | |||
Other accrued expenses and payables
|
69,293 | |||
Total liabilities
|
38,236,647 | |||
Net assets, at value
|
$ | 67,288,466 |
Statement of Assets and Liabilities as of May 31, 2013 (Unaudited) (continued)
|
||||
Net Assets Consist of
|
||||
Undistributed net investment income
|
$ | 669,504 | ||
Net unrealized appreciation (depreciation) on:
Investments
|
4,041,108 | |||
Swap contracts
|
123,744 | |||
Foreign currency
|
(2,159 | ) | ||
Written options
|
2,641 | |||
Accumulated net realized gain (loss)
|
(1,024,567 | ) | ||
Paid-in capital
|
63,478,195 | |||
Net assets, at value
|
67,288,466 | |||
Net Asset Value
|
||||
Net Asset Value per share ($67,288,466 ÷ 4,694,846 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized)
|
$ | 14.33 |
for the six months ended May 31, 2013 (Unaudited)
|
||||
Investment Income
|
||||
Income:
Interest
|
$ | 2,937,028 | ||
Dividends
|
4,900 | |||
Income distributions — Central Cash Management Fund
|
2,465 | |||
Total income
|
2,944,393 | |||
Expenses:
Management fee
|
288,684 | |||
Services to shareholders
|
2,178 | |||
Custodian fee
|
31,352 | |||
Audit and tax fees
|
32,760 | |||
Legal fees
|
21,498 | |||
Reports to shareholders
|
32,165 | |||
Trustees' fees and expenses
|
4,794 | |||
Interest expense
|
184,348 | |||
Stock exchange listing fees
|
11,838 | |||
Other
|
28,201 | |||
Total expenses
|
637,818 | |||
Net investment income
|
2,306,575 | |||
Realized and Unrealized Gain (Loss)
|
||||
Net realized gain (loss) from:
Investments
|
1,700,865 | |||
Swap contracts
|
28,819 | |||
Written options
|
7,278 | |||
Foreign currency
|
(22,961 | ) | ||
1,714,001 | ||||
Change in net unrealized appreciation (depreciation):
Investments
|
(1,361,629 | ) | ||
Unfunded loan commitment
|
(675 | ) | ||
Swap contracts
|
40,577 | |||
Written options
|
(7,415 | ) | ||
Foreign currency
|
22,118 | |||
(1,307,024 | ) | |||
Net gain (loss)
|
406,977 | |||
Net increase (decrease) in net assets resulting from operations
|
$ | 2,713,552 |
for the six months ended May 31, 2013 (Unaudited)
|
||||
Increase (Decrease) in Cash:
Cash Flows from Operating Activities
|
||||
Net increase (decrease) in net assets resulting from operations
|
$ | 2,713,552 | ||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided (used) in operating activities:
Purchases of long-term investments
|
(39,228,707 | ) | ||
Net purchases, sales and maturities of short-term investments
|
(3,393,138 | ) | ||
Net amortization of premium/(accretion of discount)
|
53,674 | |||
Proceeds from sales and maturities of long-term investments
|
37,403,556 | |||
(Increase) decrease in interest receivable
|
108,161 | |||
(Increase) decrease in other assets
|
2,002 | |||
Increase (decrease) in written options, at value
|
(685 | ) | ||
(Increase) decrease in receivable for investments and when-issued securities sold
|
(579,949 | ) | ||
Increase (decrease) in interest on notes payable
|
26,753 | |||
Increase (decrease) in payable for investments and when-issued securities purchased
|
3,540,518 | |||
(Increase) decrease in upfront payments paid/received on swap contracts
|
(22,200 | ) | ||
Increase (decrease) in other accrued expenses and payables
|
13,542 | |||
Change in unrealized (appreciation) depreciation on investments
|
1,361,629 | |||
Change in unrealized (appreciation) depreciation in unfunded commitment
|
675 | |||
Change in net unrealized (appreciation) depreciation on forward foreign currency exchange contracts
|
(23,241 | ) | ||
Change in unrealized (appreciation) depreciation on swaps
|
(40,577 | ) | ||
Net realized (gain) loss from investments
|
(1,700,865 | ) | ||
Cash provided (used) by operating activities
|
234,700 | |||
Cash Flows from Financing Activities
|
||||
Net increase (decrease) in notes payable
|
2,500,000 | |||
Distributions paid (net of reinvestment of distributions)
|
(2,640,434 | ) | ||
Cash provided (used) by financing activities
|
(140,434 | ) | ||
Increase (decrease) in cash
|
94,266 | |||
Cash at beginning of period (including foreign currency)
|
24,350 | |||
Cash at end of period (including foreign currency)
|
$ | 118,616 | ||
Supplemental Disclosure
|
||||
Reinvestment of distributions
|
$ | 34,732 | ||
Interest paid on notes
|
$ | (157,595 | ) |
Increase (Decrease) in Net Assets
|
Six Months Ended May 31, 2013 (Unaudited)
|
Year Ended November 30, 2012
|
||||||
Operations:
Net investment income
|
$ | 2,306,575 | $ | 5,054,053 | ||||
Net realized gain (loss)
|
1,714,001 | 1,568,287 | ||||||
Change in net unrealized appreciation (depreciation)
|
(1,307,024 | ) | 5,152,191 | |||||
Net increase (decrease) in net assets resulting from operations
|
2,713,552 | 11,774,531 | ||||||
Distributions to shareholders from:
Net investment income
|
(2,675,166 | ) | (5,573,798 | ) | ||||
Fund share transactions:
Reinvestment of distributions
|
34,732 | 77,289 | ||||||
Increase (decrease) in net assets
|
73,118 | 6,278,022 | ||||||
Net assets at beginning of period
|
67,215,348 | 60,937,326 | ||||||
Net assets at end of period (including undistributed net investment income of $669,504 and $1,038,095, respectively)
|
$ | 67,288,466 | $ | 67,215,348 | ||||
Other Information
|
||||||||
Shares outstanding at beginning of period
|
4,692,468 | 4,686,882 | ||||||
Shares issued to shareholders in reinvestment of distributions
|
2,378 | 5,586 | ||||||
Shares outstanding at end of period
|
4,694,846 | 4,692,468 |
Years Ended November 30,
|
||||||||||||||||||||||||
|
Six Months Ended 5/31/13 (Unaudited)
|
2012
|
2011
|
2010
|
2009
|
2008
|
||||||||||||||||||
Selected Per Share Data
|
||||||||||||||||||||||||
Net asset value, beginning of period
|
$ | 14.32 | $ | 13.00 | $ | 13.66 | $ | 12.68 | $ | 9.06 | $ | 13.10 | ||||||||||||
Income (loss) from investment operations:
Net investment incomea
|
.49 | 1.08 | 1.14 | 1.18 | 1.02 | .90 | ||||||||||||||||||
Net realized and unrealized gain (loss)
|
.09 | 1.43 | (.46 | ) | .95 | 3.46 | (4.03 | ) | ||||||||||||||||
Total from investment operations
|
.58 | 2.51 | .68 | 2.13 | 4.48 | (3.13 | ) | |||||||||||||||||
Less distributions from:
Net investment income
|
(.57 | ) | (1.19 | ) | (1.34 | ) | (1.15 | ) | (.86 | ) | (.91 | ) | ||||||||||||
NAV accretion resulting from repurchases of shares at a discount to NAVa
|
— | — | .00 | *** | — | — | — | |||||||||||||||||
Net asset value, end of period
|
$ | 14.33 | $ | 14.32 | $ | 13.00 | $ | 13.66 | $ | 12.68 | $ | 9.06 | ||||||||||||
Market price, end of period
|
$ | 13.84 | $ | 14.26 | $ | 12.83 | $ | 13.21 | $ | 11.09 | $ | 7.09 | ||||||||||||
Total Return
|
||||||||||||||||||||||||
Based on net asset value (%)b
|
4.05 | ** | 19.96 | 5.33 | 18.32 | 53.36 | (24.27 | )c | ||||||||||||||||
Based on market price (%)b
|
.92 | ** | 21.04 | 7.50 | 30.72 | 71.54 | (32.55 | ) | ||||||||||||||||
Ratios to Average Net Assets and Supplemental Data
|
||||||||||||||||||||||||
Net assets, end of period ($ millions)
|
67 | 67 | 61 | 64 | 60 | 43 | ||||||||||||||||||
Ratio of expenses before fee reductions (including interest expense) (%)
|
1.88 | * | 1.94 | 1.96 | 2.19 | 1.86 | 1.49 | |||||||||||||||||
Ratio of expenses after fee reductions (including interest expense) (%)
|
1.88 | * | 1.94 | 1.96 | 2.19 | 1.86 | 1.48 | |||||||||||||||||
Ratio of expenses after fee reductions (excluding interest expense) (%)
|
1.34 | * | 1.30 | 1.33 | 1.53 | 1.40 | 1.21 | |||||||||||||||||
Ratio of net investment income (%)
|
6.79 | * | 7.77 | 8.42 | 8.95 | 9.26 | 7.39 | |||||||||||||||||
Portfolio turnover rate (%)
|
39 | ** | 45 | 56 | 77 | 115 | 39 | |||||||||||||||||
Total debt outstanding, end of period ($ thousands)
|
32,000 | 29,500 | 27,000 | 25,000 | 22,000 | 10,090 | ||||||||||||||||||
Asset coverage per $1,000 of debtd
|
3,103 | 3,278 | 3,257 | 3,565 | 3,705 | 5,215 |
a Based on average shares outstanding during the period.
b Total return based on net asset value reflects changes in the Fund's net asset value during each period. Total return based on market price reflects changes in market price. Each figure assumes that dividend and capital gain distributions, if any, were reinvested. These figures will differ depending upon the level of any discount from or premium to net asset value at which the Fund's shares traded during the period.
c Total return would have been lower had certain fees not been reduced.
d Asset coverage equals the total net assets plus borrowings of the Fund divided by the borrowings outstanding at period end.
* Annualized
** Not annualized
*** Amount is less than $.005.
|
Asset Derivatives
|
Purchased Options
|
Swap Contracts
|
Total
|
|||||||||
Interest Rate Contracts (a)
|
$ | 22,156 | $ | — | $ | 22,156 | ||||||
Credit Contracts (a)
|
— | 123,744 | 123,744 | |||||||||
$ | 22,156 | $ | 123,744 | $ | 145,900 |
Liability Derivatives
|
Written Options
|
Forward Contracts
|
Total
|
|||||||||
Interest Rate Contracts (a)
|
$ | (15,289 | ) | $ | — | $ | (15,289 | ) | ||||
Foreign Exchange Contracts (b)
|
— | (767 | ) | (767 | ) | |||||||
$ | (15,289 | ) | $ | (767 | ) | $ | (16,056 | ) |
Realized Gain (Loss)
|
Written Options
|
Forward Contracts
|
Swap Contracts
|
Total
|
||||||||||||
Interest Rate Contracts (a)
|
$ | 7,278 | $ | — | $ | — | $ | 7,278 | ||||||||
Credit Contracts (a)
|
— | — | 28,819 | 28,819 | ||||||||||||
Foreign Exchange Contracts (b)
|
— | (25,431 | ) | — | (25,431 | ) | ||||||||||
$ | 7,278 | $ | (25,431 | ) | $ | 28,819 | $ | 10,666 |
Change in Net Unrealized Appreciation (Depreciation)
|
Purchased Options
|
Written Options
|
Forward Contracts
|
Swap Contracts
|
Total
|
|||||||||||||||
Interest Rate Contracts (a)
|
$ | 9,215 | $ | (7,415 | ) | $ | — | $ | — | $ | 1,800 | |||||||||
Credit Contracts (a)
|
— | — | — | 40,577 | 40,577 | |||||||||||||||
Foreign Exchange Contracts (b)
|
— | — | 23,241 | — | 23,241 | |||||||||||||||
$ | 9,215 | $ | (7,415 | ) | $ | 23,241 | $ | 40,577 | $ | 65,618 |
Contract Amount
|
Premiums
|
|||||||
Outstanding, beginning of period
|
1,000,000 | $ | 26,030 | |||||
Options closed
|
(500,000 | ) | (8,100 | ) | ||||
Outstanding, end of period
|
500,000 | $ | 17,930 |
Automated Information Line
|
DWS Investments Closed-End Fund Info Line
(800) 349-4281
|
|
Web Site
|
www.dws-investments.com
Obtain fact sheets, financial reports, press releases and webcasts when available.
|
|
Written Correspondence
|
Deutsche Investment Management Americas Inc.
345 Park Avenue
New York, NY 10154
|
|
Legal Counsel
|
Vedder Price P.C.
222 North LaSalle Street
Chicago, IL 60601
|
|
Dividend Reinvestment Plan Agent
|
Computershare Inc.
P.O. Box 43078
Providence, RI 02940-3078
|
|
Shareholder Service Agent and Transfer Agent
|
DWS Investments Service Company
P.O. Box 219066
Kansas City, MO 64121-9066
(800) 294-4366
|
|
Custodian
|
State Street Bank and Trust Company
Lafayette Corporate Center
2 Avenue De Lafayette
Boston, MA 02111
|
|
Independent Registered Public Accounting Firm
|
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
|
|
Proxy Voting
|
The fund's policies and procedures for voting proxies for portfolio securities and information about how the fund voted proxies related to its portfolio securities during the 12-month period ended June 30 are available on our Web site — www.dws-investments.com (click on "proxy voting"at the bottom of the page) — or on the SEC's Web site — www.sec.gov. To obtain a written copy of the fund's policies and procedures without charge, upon request, call us toll free at (800) 728-3337.
|
Portfolio Holdings
|
Following the fund's fiscal first and third quarter-end, a complete portfolio holdings listing is filed with the SEC on Form N-Q. This form will be available on the SEC's Web site at www.sec.gov, and it also may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. Information on the operation of the SEC's Public Reference Room may be obtained by calling (800) SEC-0330. The fund's portfolio holdings as of the month-end are posted on www.dws-investments.com on or after the last day of the following month. More frequent posting of portfolio holdings information may be made from time to time on www.dws-investments.com.
|
|
Investment Management
|
Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor"), which is part of Deutsche Asset & Wealth Management, is the investment advisor for the fund. DIMA and its predecessors have more than 80 years of experience managing mutual funds and DIMA provides a full range of investment advisory services to both institutional and retail clients.
DIMA is an indirect, wholly owned subsidiary of Deutsche Bank AG. Deutsche Bank AG is a major global banking institution engaged in a wide variety of financial services, including investment management, retail, private and commercial banking, investment banking and insurance.
DWS Investments is the retail brand name in the U.S. for the asset management activities of Deutsche Bank AG and DIMA. As such, DWS is committed to delivering the investing expertise, insight and resources of this global investment platform to American investors.
|
|
NYSE Symbol
|
KST
|
|
CUSIP Number
|
23338N 104
|
FACTS
|
What Does DWS Investments Do With Your Personal Information?
|
|
Why?
|
Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share and protect your personal information. Please read this notice carefully to understand what we do.
|
|
What?
|
The types of personal information we collect and share can include:
• Social Security number
• Account balances
• Purchase and transaction history
• Bank account information
• Contact information such as mailing address, e-mail address and telephone number
|
|
How?
|
All financial companies need to share customers' personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers' personal information, the reasons DWS Investments chooses to share and whether you can limit this sharing.
|
Reasons we can share your personal information
|
Does DWS Investments share?
|
Can you limit this sharing?
|
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders or legal investigations
|
Yes
|
No
|
For our marketing purposes — to offer our products and services to you
|
Yes
|
No
|
For joint marketing with other financial companies
|
No
|
We do not share
|
For our affiliates' everyday business purposes — information about your transactions and experiences
|
No
|
We do not share
|
For our affiliates' everyday business purposes — information about your creditworthiness
|
No
|
We do not share
|
For non-affiliates to market to you
|
No
|
We do not share
|
Questions?
|
Call (800) 728-3337 or e-mail us at dws-investments.info@dws.com
|
Who we are
|
||
Who is providing this notice?
|
DWS Investments Distributors, Inc.; Deutsche Investment Management Americas Inc.; DeAM Investor Services, Inc.; DWS Trust Company; the DWS Funds
|
|
What we do
|
||
How does DWS Investments protect my personal information?
|
To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.
|
|
How does DWS Investments collect my personal information?
|
We collect your personal information, for example. When you:
• open an account
• give us your contact information
• provide bank account information for ACH or wire transactions
• tell us where to send money
• seek advice about your investments
|
|
Why can't I limit all sharing?
|
Federal law gives you the right to limit only
• sharing for affiliates' everyday business purposes — information about your creditworthiness
• affiliates from using your information to market to you
• sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing.
|
|
Definitions
|
||
Affiliates
|
Companies related by common ownership or control. They can be financial or non-financial companies. Our affiliates include financial companies with the DWS or Deutsche Bank ("DB") name, such as DB AG Frankfurt and DB Alex Brown.
|
|
Non-affiliates
|
Companies not related by common ownership or control. They can be financial and non-financial companies.
Non-affiliates we share with include account service providers, service quality monitoring services, mailing service providers and verification services to help in the fight against money laundering and fraud.
|
|
Joint marketing
|
A formal agreement between non-affiliated financial companies that together market financial products or services to you. DWS Investments does not jointly market.
|
Rev. 09/2012
|
ITEM 2.
|
CODE OF ETHICS
|
Not applicable.
|
|
ITEM 3.
|
AUDIT COMMITTEE FINANCIAL EXPERT
|
Not applicable
|
|
ITEM 4.
|
PRINCIPAL ACCOUNTANT FEES AND SERVICES
|
Not applicable
|
|
ITEM 5.
|
AUDIT COMMITTEE OF LISTED REGISTRANTS
|
Not applicable
|
|
ITEM 6.
|
SCHEDULE OF INVESTMENTS
|
Not applicable
|
|
ITEM 7.
|
DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
|
Not applicable
|
|
ITEM 8.
|
PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
|
Not applicable
|
|
ITEM 9.
|
PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS
|
Period
|
(a)
|
(b)
|
(c)
|
(d)
|
|||
Total Number of
Shares Purchased
|
Average Price Paid
per Share
|
Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs
|
Maximum Number of Shares that May Yet Be Purchased Under the Plans or Programs
|
||||
December 1 through December 31
|
-
|
n/a
|
n/a
|
n/a
|
|||
January 1 through January 31
|
-
|
n/a
|
n/a
|
n/a
|
|||
February 1 through February 28
|
-
|
n/a
|
n/a
|
n/a
|
|||
March 1 through March 31
|
-
|
n/a
|
n/a
|
n/a
|
|||
April 1 through April 30
|
-
|
n/a
|
n/a
|
n/a
|
|||
May 1 through May 31
|
-
|
n/a
|
n/a
|
n/a
|
|||
Total
|
-
|
n/a
|
n/a
|
|
|||
The Fund may from time to time repurchase shares in the open market.
|
ITEM 10.
|
SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
|
|
There were no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board. The primary function of the Nominating and Governance Committee is to identify and recommend individuals for membership on the Board and oversee the administration of the Board Governance Guidelines. Shareholders may recommend candidates for Board positions by forwarding their correspondence by U.S. mail or courier service to Kenneth C. Froewiss, Independent Chairman, DWS Mutual Funds, P.O. Box 78, Short Hills, NJ 07078.
|
||
ITEM 11.
|
CONTROLS AND PROCEDURES
|
|
(a)
|
The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
|
|
(b)
|
There have been no changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting.
|
|
ITEM 12.
|
EXHIBITS
|
|
(a)(1)
|
Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.
|
|
(b)
|
Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.
|
Registrant:
|
DWS Strategic Income Trust
|
By:
|
/s/W. Douglas Beck
W. Douglas Beck
President
|
Date:
|
July 29, 2013
|
By:
|
/s/W. Douglas Beck
W. Douglas Beck
President
|
Date:
|
July 29, 2013
|
By:
|
/s/Paul Schubert
Paul Schubert
Chief Financial Officer and Treasurer
|
Date:
|
July 29, 2013
|