UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

_______________________________

Investment Company Act file number: 811-08382

Deutsche Strategic Income Trust

(Exact name of registrant as specified in charter)

 

345 Park Avenue
New York, NY 10154

(Address of principal executive offices) (Zip code)

 

Paul Schubert

60 Wall Street

New York, NY 10005

(Name and address of agent for service)

Registrant's telephone number, including area code: (212) 250-3220

Date of fiscal year end: 11/30

Date of reporting period: 8/31/2015

 

ITEM 1. SCHEDULE OF INVESTMENTS

 

 

Investment Portfolio as of August 31, 2015  (Unaudited)  

 

 

Deutsche Strategic Income Trust

  Principal
Amount ($) (a)		   Value ($)  
  Corporate Bonds 79.1%  
Consumer Discretionary 15.7%  
1011778 B.C. Unlimited Liability Co., 144A, 4.625%, 1/15/2022     40,000   40,200  
Ally Financial, Inc.:  
  3.25%, 2/13/2018     265,000   263,675  
  4.125%, 3/30/2020     90,000   90,243  
AMC Entertainment, Inc., 5.875%, 2/15/2022     80,000   81,200  
AmeriGas Finance LLC:  
  6.75%, 5/20/2020     165,000   170,362  
  7.0%, 5/20/2022     135,000   140,062  
APX Group, Inc., 6.375%, 12/1/2019     75,000   72,844  
Arcelik AS, 144A, 5.0%, 4/3/2023     220,000   203,188  
Asbury Automotive Group, Inc., 6.0%, 12/15/2024     150,000   156,375  
Ashtead Capital, Inc., 144A, 6.5%, 7/15/2022     120,000   124,800  
Ashton Woods U.S.A. LLC, 144A, 6.875%, 2/15/2021     125,000   116,875  
Avis Budget Car Rental LLC:  
  144A, 5.25%, 3/15/2025     140,000   132,650  
  5.5%, 4/1/2023     215,000   213,185  
Block Communications, Inc., 144A, 7.25%, 2/1/2020     155,000   155,775  
Boyd Gaming Corp., 6.875%, 5/15/2023     50,000   51,375  
Cablevision Systems Corp., 5.875%, 9/15/2022     75,000   72,000  
Caleres, Inc., 144A, 6.25%, 8/15/2023     40,000   40,400  
CCO Holdings LLC:  
  144A, 5.125%, 5/1/2023     120,000   120,000  
  144A, 5.375%, 5/1/2025     90,000   87,413  
  144A, 5.875%, 5/1/2027     155,000   151,900  
Cequel Communications Holdings I LLC:  
  144A, 5.125%, 12/15/2021     214,000   196,077  
  144A, 6.375%, 9/15/2020     340,000   333,795  
Clear Channel Worldwide Holdings, Inc.:  
  Series A, 6.5%, 11/15/2022     95,000   95,998  
  Series B, 6.5%, 11/15/2022     135,000   139,455  
  Series A, 7.625%, 3/15/2020     20,000   20,500  
  Series B, 7.625%, 3/15/2020     230,000   238,050  
Cogeco Cable, Inc., 144A, 4.875%, 5/1/2020     10,000   10,207  
CSC Holdings LLC, 5.25%, 6/1/2024     130,000   120,640  
Dana Holding Corp., 5.5%, 12/15/2024     55,000   54,038  
DISH DBS Corp.:  
  4.625%, 7/15/2017     400,000   408,500  
  5.0%, 3/15/2023     125,000   110,391  
  6.75%, 6/1/2021     30,000   30,117  
Dollar Tree, Inc.:  
  144A, 5.25%, 3/1/2020     315,000   329,962  
  144A, 5.75%, 3/1/2023     105,000   109,987  
Fiat Chrysler Automobiles NV, 4.5%, 4/15/2020     110,000   110,055  
Global Partners LP, 144A, 7.0%, 6/15/2023     75,000   69,750  
Goodyear Tire & Rubber Co., 6.5%, 3/1/2021     150,000   158,775  
Group 1 Automotive, Inc., 5.0%, 6/1/2022     150,000   148,875  
HD Supply, Inc.:  
  144A, 5.25%, 12/15/2021     85,000   87,338  
  7.5%, 7/15/2020     30,000   32,025  
  11.5%, 7/15/2020     105,000   120,225  
Hot Topic, Inc., 144A, 9.25%, 6/15/2021     55,000   55,550  
iHeartCommunications, Inc.:  
  9.0%, 12/15/2019     55,000   51,769  
  11.25%, 3/1/2021     25,000   22,906  
Jaguar Land Rover Automotive PLC, 144A, 3.5%, 3/15/2020     305,000   291,275  
Jo-Ann Stores Holdings, Inc., 144A, 9.75%, 10/15/2019 (PIK)     50,000   42,000  
Live Nation Entertainment, Inc.:  
  144A, 5.375%, 6/15/2022     20,000   20,050  
  144A, 7.0%, 9/1/2020     130,000   137,800  
MDC Partners, Inc., 144A, 6.75%, 4/1/2020     90,000   89,213  
Mediacom Broadband LLC:  
  5.5%, 4/15/2021     20,000   19,600  
  6.375%, 4/1/2023     155,000   154,225  
Mediacom LLC, 7.25%, 2/15/2022     45,000   45,900  
MGM Resorts International:  
  6.0%, 3/15/2023     85,000   86,275  
  6.75%, 10/1/2020     163,000   173,595  
  7.625%, 1/15/2017     100,000   105,250  
  8.625%, 2/1/2019     205,000   229,026  
Nielsen Finance LLC, 144A, 5.0%, 4/15/2022     45,000   44,381  
Numericable-SFR:  
  144A, 4.875%, 5/15/2019     195,000   196,219  
  144A, 6.0%, 5/15/2022     290,000   290,000  
Penske Automotive Group, Inc., 5.375%, 12/1/2024     200,000   200,500  
Pinnacle Entertainment, Inc., 6.375%, 8/1/2021     60,000   63,900  
Quebecor Media, Inc., 5.75%, 1/15/2023     80,000   80,800  
Sabre GLBL, Inc., 144A, 5.375%, 4/15/2023     5,000   4,900  
Seminole Hard Rock Entertainment, Inc., 144A, 5.875%, 5/15/2021     50,000   49,625  
Serta Simmons Bedding LLC, 144A, 8.125%, 10/1/2020     45,000   47,644  
Sirius XM Radio, Inc., 144A, 5.875%, 10/1/2020     80,000   83,400  
Spectrum Brands, Inc., 144A, 5.75%, 7/15/2025     40,000   41,200  
Springs Industries, Inc., 6.25%, 6/1/2021     115,000   114,137  
Starz LLC, 5.0%, 9/15/2019     60,000   60,150  
Suburban Propane Partners LP, 5.75%, 3/1/2025     45,000   43,088  
TRI Pointe Holdings, Inc., 4.375%, 6/15/2019     55,000   54,519  
UCI International, Inc., 8.625%, 2/15/2019     45,000   36,900  
Unitymedia Hessen GmbH & Co., KG, 144A, 5.5%, 1/15/2023     300,000   308,250  
Viking Cruises Ltd.:  
  144A, 6.25%, 5/15/2025     80,000   78,800  
  144A, 8.5%, 10/15/2022     80,000   88,000  
  8,820,129  
Consumer Staples 1.9%  
Chiquita Brands International, Inc., 7.875%, 2/1/2021     16,000   17,280  
Cott Beverages, Inc.:  
  5.375%, 7/1/2022     145,000   142,462  
  6.75%, 1/1/2020     55,000   57,063  
FAGE Dairy Industry SA, 144A, 9.875%, 2/1/2020     90,000   94,275  
JBS Investments GmbH, 144A, 7.25%, 4/3/2024     195,000   196,462  
JBS U.S.A. LLC:  
  144A, 5.75%, 6/15/2025     60,000   58,200  
  144A, 7.25%, 6/1/2021     205,000   213,969  
  144A, 8.25%, 2/1/2020     65,000   68,494  
Pilgrim's Pride Corp., 144A, 5.75%, 3/15/2025     60,000   61,350  
Post Holdings, Inc., 144A, 6.75%, 12/1/2021     45,000   45,338  
Roundy's Supermarkets, Inc., 144A, 10.25%, 12/15/2020     20,000   15,600  
Smithfield Foods, Inc., 6.625%, 8/15/2022     4,000   4,255  
The WhiteWave Foods Co., 5.375%, 10/1/2022     60,000   62,025  
  1,036,773  
Energy 10.7%  
Antero Resources Corp.:  
  5.125%, 12/1/2022     100,000   90,521  
  5.375%, 11/1/2021     85,000   78,200  
  144A, 5.625%, 6/1/2023     60,000   54,600  
Baytex Energy Corp.:  
  144A, 5.125%, 6/1/2021     25,000   21,300  
  144A, 5.625%, 6/1/2024     35,000   29,208  
Berry Petroleum Co., LLC:  
  6.375%, 9/15/2022     75,000   38,250  
  6.75%, 11/1/2020     107,000   56,710  
Blue Racer Midstream LLC, 144A, 6.125%, 11/15/2022     65,000   63,700  
California Resources Corp.:  
  5.0%, 1/15/2020     40,000   31,492  
  5.5%, 9/15/2021     102,000   79,089  
  6.0%, 11/15/2024     40,000   29,660  
Carrizo Oil & Gas, Inc., 6.25%, 4/15/2023     75,000   67,500  
Chaparral Energy, Inc., 7.625%, 11/15/2022     15,000   6,450  
Chesapeake Energy Corp.:  
  5.75%, 3/15/2023     195,000   145,374  
  6.125%, 2/15/2021     15,000   11,616  
  6.625%, 8/15/2020     75,000   59,812  
Concho Resources, Inc., 5.5%, 4/1/2023     160,000   158,066  
Continental Resources, Inc., 3.8%, 6/1/2024     35,000   29,443  
Crestwood Midstream Partners LP:  
  6.125%, 3/1/2022     60,000   54,600  
  144A, 6.25%, 4/1/2023     30,000   27,150  
Delek & Avner Tamar Bond Ltd., 144A, 5.082%, 12/30/2023     200,000   201,000  
Endeavor Energy Resources LP:  
  144A, 7.0%, 8/15/2021     195,000   182,366  
  144A, 8.125%, 9/15/2023     90,000   87,300  
EP Energy LLC, 6.375%, 6/15/2023     70,000   59,500  
EV Energy Partners LP, 8.0%, 4/15/2019     375,000   270,000  
Gulfport Energy Corp., 144A, 6.625%, 5/1/2023     30,000   27,900  
Hilcorp Energy I LP, 144A, 5.75%, 10/1/2025     110,000   99,000  
Holly Energy Partners LP, 6.5%, 3/1/2020     45,000   42,758  
Laredo Petroleum, Inc., 6.25%, 3/15/2023     90,000   82,350  
Linn Energy LLC, 6.25%, 11/1/2019     55,000   21,450  
MEG Energy Corp.:  
  144A, 6.5%, 3/15/2021     85,000   71,017  
  144A, 7.0%, 3/31/2024     235,000   192,112  
Memorial Resource Development Corp., 5.875%, 7/1/2022     65,000   59,150  
Murphy Oil U.S.A., Inc., 6.0%, 8/15/2023     110,000   113,300  
Newfield Exploration Co.:  
  5.375%, 1/1/2026     45,000   41,850  
  5.75%, 1/30/2022     80,000   78,900  
Northern Oil & Gas, Inc., 8.0%, 6/1/2020     230,000   174,800  
Oasis Petroleum, Inc.:  
  6.875%, 3/15/2022     175,000   145,250  
  6.875%, 1/15/2023     60,000   47,400  
Parsley Energy LLC, 144A, 7.5%, 2/15/2022     10,000   9,800  
Range Resources Corp., 144A, 4.875%, 5/15/2025     65,000   58,500  
Ras Laffan Liquefied Natural Gas Co., Ltd. II, 144A, 5.298%, 9/30/2020     143,175   153,018  
Regency Energy Partners LP:  
  5.0%, 10/1/2022     40,000   39,185  
  5.875%, 3/1/2022     10,000   10,291  
Reliance Industries Ltd., 144A, 4.125%, 1/28/2025     250,000   243,607  
Rice Energy, Inc., 144A, 7.25%, 5/1/2023     15,000   13,950  
RSP Permian, Inc., 144A, 6.625% ,  10/1/2022        170,000   166,600  
Sabine Pass Liquefaction LLC:  
  5.625%, 2/1/2021     260,000   256,100  
  5.625%, 4/15/2023     100,000   97,125  
  144A, 5.625%, 3/1/2025     75,000   72,516  
  5.75%, 5/15/2024     260,000   254,150  
Seven Generations Energy Ltd., 144A, 6.75%, 5/1/2023     25,000   23,000  
Sunoco LP:  
  144A, 5.5%, 8/1/2020     50,000   49,750  
  144A, 6.375%, 4/1/2023     45,000   45,225  
Talos Production LLC, 144A, 9.75%, 2/15/2018     145,000   105,850  
Targa Resources Partners LP:  
  144A, 4.125%, 11/15/2019     20,000   18,850  
  144A, 5.0%, 1/15/2018     155,000   153,450  
TerraForm Power Operating LLC, 144A, 5.875%, 2/1/2023     105,000   99,750  
Transportadora de Gas Internacional SA ESP, 144A, 5.7%, 3/20/2022     200,000   203,700  
Triangle U.S.A. Petroleum Corp., 144A, 6.75%, 7/15/2022     50,000   30,000  
Whiting Petroleum Corp.:  
  5.75%, 3/15/2021     110,000   98,450  
  6.25%, 4/1/2023     290,000   255,200  
WPX Energy, Inc.:  
  5.25%, 1/15/2017     295,000   289,100  
  7.5%, 8/1/2020     150,000   144,057  
  6,021,368  
Financials 5.6%  
Alliance Data Systems Corp., 144A, 5.25%, 12/1/2017     95,000   98,088  
BBVA Bancomer SA, 144A, 6.75%, 9/30/2022     200,000   216,600  
CIT Group, Inc.:  
  3.875%, 2/19/2019     415,000   415,000  
  5.0%, 5/15/2017     80,000   82,300  
CNO Financial Group, Inc.:  
  4.5%, 5/30/2020     150,000   154,500  
  5.25%, 5/30/2025     45,000   46,406  
Corp. Financiera de Desarrollo SA, 144A, 4.75%, 2/8/2022     250,000   256,875  
Corpbanca SA, 144A, 3.875%, 9/22/2019     500,000   505,838  
Credit Agricole SA, 144A, 7.875%, 1/29/2049     125,000   127,254  
Denali Borrower LLC, 144A, 5.625%, 10/15/2020     85,000   87,125  
E*TRADE Financial Corp.:  
  4.625%, 9/15/2023     60,000   60,000  
  5.375%, 11/15/2022     50,000   52,250  
Equinix, Inc.:  
  (REIT), 5.375%, 1/1/2022     70,000   70,700  
  (REIT), 5.375%, 4/1/2023     265,000   265,662  
  (REIT), 5.75%, 1/1/2025     50,000   50,000  
MPT Operating Partnership LP:  
  (REIT), 6.375%, 2/15/2022     110,000   115,913  
  (REIT), 6.875%, 5/1/2021     110,000   115,500  
Neuberger Berman Group LLC, 144A, 5.875%, 3/15/2022     110,000   116,050  
Societe Generale SA, 144A, 7.875%, 12/29/2049     190,000   190,712  
The Goldman Sachs Group, Inc., Series L, 5.7%, 12/29/2049     95,000   95,594  
  3,122,367  
Health Care 9.0%  
Alere, Inc., 144A, 6.375%, 7/1/2023     60,000   61,500  
Community Health Systems, Inc.:  
  5.125%, 8/15/2018     695,000   711,506  
  5.125%, 8/1/2021     20,000   20,550  
  6.875%, 2/1/2022     80,000   85,025  
  7.125%, 7/15/2020     750,000   793,125  
Concordia Healthcare Corp., 144A, 7.0%, 4/15/2023     30,000   30,978  
Endo Finance LLC:  
  144A, 5.375%, 1/15/2023     80,000   80,600  
  144A, 5.75%, 1/15/2022     80,000   81,800  
Endo Ltd., 144A, 6.0%, 2/1/2025     45,000   46,237  
Fresenius Medical Care U.S. Finance II, Inc., 144A, 6.5%, 9/15/2018     45,000   49,725  
HCA, Inc.:  
  6.5%, 2/15/2020     340,000   375,700  
  7.5%, 2/15/2022     170,000   195,022  
Hologic, Inc., 144A, 5.25%, 7/15/2022     30,000   30,563  
IMS Health, Inc., 144A, 6.0%, 11/1/2020     100,000   102,750  
LifePoint Health, Inc., 5.5%, 12/1/2021     105,000   109,397  
Mallinckrodt International Finance SA, 144A, 4.875%, 4/15/2020     50,000   50,500  
Par Pharmaceutical Companies, Inc., 7.375%, 10/15/2020     125,000   132,875  
Tenet Healthcare Corp.:  
  144A, 3.786% **, 6/15/2020     60,000   60,330  
  6.75%, 6/15/2023     125,000   128,750  
Valeant Pharmaceuticals International, Inc.:  
  144A, 5.375%, 3/15/2020     110,000   111,925  
  144A, 5.875%, 5/15/2023     105,000   107,100  
  144A, 6.125%, 4/15/2025     305,000   314,150  
  144A, 6.375%, 10/15/2020     90,000   93,825  
  144A, 6.75%, 8/15/2018     820,000   857,925  
  144A, 7.5%, 7/15/2021     385,000   413,394  
  5,045,252  
Industrials 9.2%  
ADT Corp.:  
  3.5%, 7/15/2022     55,000   49,242  
  4.125%, 4/15/2019     15,000   15,225  
  5.25%, 3/15/2020     90,000   92,025  
  6.25%, 10/15/2021     60,000   61,950  
Aerojet Rocketdyne Holdings, Inc., 7.125%, 3/15/2021     185,000   194,712  
Air Lease Corp., 4.75%, 3/1/2020     110,000   116,466  
Apex Tool Group LLC, 144A, 7.0%, 2/1/2021     70,000   58,800  
Artesyn Embedded Technologies, Inc., 144A, 9.75%, 10/15/2020     105,000   103,425  
Belden, Inc., 144A, 5.5%, 9/1/2022     135,000   132,975  
Bombardier, Inc.:  
  144A, 5.75%, 3/15/2022     90,000   67,050  
  144A, 6.0%, 10/15/2022     95,000   71,250  
  144A, 7.5%, 3/15/2025     30,000   22,725  
  144A, 7.75%, 3/15/2020     465,000   388,275  
Casella Waste Systems, Inc., 7.75%, 2/15/2019     140,000   139,650  
CNH Capital LLC, 3.25%, 2/1/2017     335,000   332,906  
CNH Industrial Capital LLC, 144A, 3.875%, 7/16/2018     60,000   59,775  
Covanta Holding Corp., 5.875%, 3/1/2024     85,000   82,875  
CTP Transportation Products LLC, 144A, 8.25%, 12/15/2019     105,000   111,562  
DigitalGlobe, Inc., 144A, 5.25%, 2/1/2021     55,000   52,800  
DP World Ltd., 144A, 6.85%, 7/2/2037     250,000   269,062  
DR Horton, Inc., 4.0%, 2/15/2020     30,000   30,150  
EnerSys, 144A, 5.0%, 4/30/2023     15,000   14,475  
Florida East Coast Holdings Corp., 144A, 6.75%, 5/1/2019     85,000   85,638  
FTI Consulting, Inc., 6.0%, 11/15/2022     80,000   84,000  
Garda World Security Corp., 144A, 7.25%, 11/15/2021     105,000   98,175  
Gates Global LLC, 144A, 6.0%, 7/15/2022     70,000   57,057  
Huntington Ingalls Industries, Inc., 144A, 5.0%, 12/15/2021     120,000   123,900  
Masonite International Corp., 144A, 5.625%, 3/15/2023     65,000   65,325  
Meritor, Inc.:  
  6.25%, 2/15/2024     80,000   77,500  
  6.75%, 6/15/2021     115,000   116,725  
Moog, Inc., 144A, 5.25%, 12/1/2022     50,000   50,500  
Navios Maritime Holdings, Inc., 144A, 7.375%, 1/15/2022     310,000   257,300  
Nortek, Inc., 8.5%, 4/15/2021     85,000   91,056  
OPE KAG Finance Sub, Inc., 144A, 7.875%, 7/31/2023     80,000   81,600  
Oshkosh Corp.:  
  5.375%, 3/1/2022     60,000   60,600  
  5.375%, 3/1/2025     5,000   5,000  
Ply Gem Industries, Inc., 6.5% ,  2/1/2022        145,000   142,106  
SBA Communications Corp., 5.625%, 10/1/2019     75,000   78,703  
Spirit AeroSystems, Inc., 5.25%, 3/15/2022     105,000   108,281  
Titan International, Inc., 6.875%, 10/1/2020     185,000   165,575  
TransDigm, Inc.:  
  6.0%, 7/15/2022     95,000   93,589  
  6.5%, 7/15/2024     55,000   53,763  
  7.5%, 7/15/2021     305,000   324,825  
Triumph Group, Inc., 5.25%, 6/1/2022     45,000   44,100  
United Rentals North America, Inc.:  
  4.625%, 7/15/2023     50,000   49,188  
  6.125%, 6/15/2023     10,000   10,200  
  7.625%, 4/15/2022     120,000   129,300  
USG Corp., 144A, 5.5%, 3/1/2025     5,000   4,975  
Wise Metals Group LLC, 144A, 8.75%, 12/15/2018     75,000   71,063  
XPO Logistics, Inc.:  
  144A, 6.5%, 6/15/2022     75,000   73,875  
  144A, 7.875%, 9/1/2019     75,000   79,500  
  5,150,794  
Information Technology 4.1%  
ACI Worldwide, Inc., 144A, 6.375%, 8/15/2020     35,000   36,663  
Activision Blizzard, Inc., 144A, 5.625%, 9/15/2021     335,000   352,169  
Audatex North America, Inc.:  
  144A, 6.0%, 6/15/2021     110,000   107,411  
  144A, 6.125%, 11/1/2023     35,000   34,690  
BMC Software Finance, Inc., 144A, 8.125%, 7/15/2021     85,000   69,487  
Boxer Parent Co., Inc., 144A, 9.0%, 10/15/2019 (PIK)     115,000   85,100  
Cardtronics, Inc., 5.125%, 8/1/2022     50,000   48,125  
CDW LLC:  
  5.5%, 12/1/2024     100,000   99,000  
  6.0%, 8/15/2022     115,000   120,606  
EarthLink Holdings Corp., 7.375%, 6/1/2020     95,000   99,037  
Entegris, Inc., 144A, 6.0%, 4/1/2022     55,000   55,687  
First Data Corp.:  
  144A, 6.75%, 11/1/2020     435,000   457,837  
  144A, 8.75%, 1/15/2022     180,000   189,450  
Freescale Semiconductor, Inc., 144A, 6.0%, 1/15/2022     100,000   104,500  
Infor U.S., Inc., 144A, 6.5%, 5/15/2022     70,000   65,625  
Italics Merger Sub, Inc., 144A, 7.125%, 7/15/2023     30,000   29,019  
Jabil Circuit, Inc., 5.625%, 12/15/2020     105,000   111,037  
Micron Technology, Inc., 144A, 5.25%, 8/1/2023     70,000   65,275  
NCR Corp.:  
  5.875%, 12/15/2021     20,000   20,350  
  6.375%, 12/15/2023     50,000   51,313  
Open Text Corp., 144A, 5.625%, 1/15/2023     60,000   60,000  
Project Homestake Merger Corp., 144A, 8.875%, 3/1/2023     45,000   40,950  
Sanmina Corp., 144A, 4.375%, 6/1/2019     10,000   10,038  
  2,313,369  
Materials 7.6%  
ArcelorMittal SA, 5.125%, 6/1/2020     20,000   19,750  
Ball Corp., 5.25%, 7/1/2025     75,000   74,625  
Berry Plastics Corp., 5.5%, 5/15/2022     160,000   154,800  
Cascades, Inc., 144A, 5.5%, 7/15/2022     55,000   52,800  
Cemex SAB de CV, 144A, 6.5%, 12/10/2019     200,000   203,000  
Chemours Co.:  
  144A, 6.625%, 5/15/2023     145,000   126,150  
  144A, 7.0%, 5/15/2025     25,000   21,375  
Clearwater Paper Corp., 144A, 5.375%, 2/1/2025     60,000   58,650  
Coveris Holding Corp., 144A, 10.0%, 6/1/2018     90,000   93,600  
Coveris Holdings SA, 144A, 7.875%, 11/1/2019     215,000   208,550  
First Quantum Minerals Ltd.:  
  144A, 6.75%, 2/15/2020     45,000   32,175  
  144A, 7.0%, 2/15/2021     170,000   119,850  
Greif, Inc., 7.75%, 8/1/2019     230,000   253,287  
Hexion, Inc.:  
  6.625%, 4/15/2020     220,000   205,150  
  8.875%, 2/1/2018     60,000   52,200  
Huntsman International LLC, 8.625%, 3/15/2021     20,000   20,898  
Kaiser Aluminum Corp., 8.25%, 6/1/2020     100,000   106,500  
Novelis, Inc., 8.75%, 12/15/2020     490,000   488,775  
Plastipak Holdings, Inc., 144A, 6.5%, 10/1/2021     100,000   98,000  
Platform Specialty Products Corp., 144A, 6.5%, 2/1/2022     65,000   62,941  
Reynolds Group Issuer, Inc.:  
  5.75%, 10/15/2020     920,000   948,750  
  6.875%, 2/15/2021     205,000   214,738  
Sealed Air Corp.:  
  144A, 4.875%, 12/1/2022     35,000   35,000  
  144A, 5.125%, 12/1/2024     15,000   15,178  
Signode Industrial Group Lux SA, 144A, 6.375%, 5/1/2022     75,000   72,375  
Tronox Finance LLC:  
  6.375%, 8/15/2020     75,000   61,500  
  144A, 7.5%, 3/15/2022     70,000   56,350  
Volcan Cia Minera SAA, 144A, 5.375%, 2/2/2022     420,000   379,638  
WR Grace & Co-Conn:  
  144A, 5.125%, 10/1/2021     30,000   30,375  
  144A, 5.625%, 10/1/2024     15,000   15,469  
  4,282,449  
Telecommunication Services 12.8%  
B Communications Ltd., 144A, 7.375%, 2/15/2021     105,000   112,350  
Bharti Airtel International Netherlands BV, 144A, 5.125%, 3/11/2023     200,000   210,002  
CenturyLink, Inc.:  
  Series V, 5.625%, 4/1/2020     40,000   39,900  
  Series T, 5.8%, 3/15/2022     150,000   142,312  
  Series N, 6.0%, 4/1/2017     500,000   521,250  
  Series W, 6.75%, 12/1/2023     105,000   102,112  
CommScope, Inc.:  
  144A, 4.375%, 6/15/2020     40,000   40,350  
  144A, 5.0%, 6/15/2021     95,000   93,832  
CyrusOne LP:  
  6.375%, 11/15/2022     40,000   40,900  
  144A, 6.375%, 11/15/2022     70,000   71,575  
Digicel Group Ltd.:  
  144A, 7.125%, 4/1/2022     95,000   82,769  
  144A, 8.25%, 9/30/2020     487,000   450,475  
Digicel Ltd., 144A, 7.0%, 2/15/2020     200,000   199,000  
Frontier Communications Corp.:  
  6.25%, 9/15/2021     45,000   41,081  
  6.875%, 1/15/2025     195,000   165,019  
  7.125%, 1/15/2023     515,000   465,045  
  8.25%, 4/15/2017     119,000   127,627  
  8.5%, 4/15/2020     35,000   35,963  
Hughes Satellite Systems Corp.:  
  6.5%, 6/15/2019     247,000   269,230  
  7.625%, 6/15/2021     90,000   98,437  
Intelsat Jackson Holdings SA:  
  5.5%, 8/1/2023     165,000   145,200  
  7.5%, 4/1/2021     465,000   450,469  
Level 3 Financing, Inc.:  
  5.375%, 8/15/2022     215,000   215,761  
  144A, 5.375%, 5/1/2025     60,000   57,975  
  6.125%, 1/15/2021     60,000   62,850  
  7.0%, 6/1/2020     145,000   152,612  
Millicom International Cellular SA, 144A, 6.0%, 3/15/2025     200,000   189,000  
Plantronics, Inc., 144A, 5.5%, 5/31/2023     30,000   30,150  
Sprint Communications, Inc.:  
  144A, 7.0%, 3/1/2020     85,000   90,287  
  144A, 9.0%, 11/15/2018     305,000   339,694  
Sprint Corp., 7.125%, 6/15/2024     440,000   406,864  
T-Mobile U.S.A., Inc.:  
  6.125%, 1/15/2022     40,000   41,250  
  6.375%, 3/1/2025     151,000   154,322  
  6.625%, 11/15/2020     65,000   67,275  
Turk Telekomunikasyon AS, 144A, 3.75%, 6/19/2019     500,000   492,838  
UPCB Finance IV Ltd., 144A, 5.375%, 1/15/2025     305,000   295,850  
UPCB Finance V Ltd., 144A, 7.25%, 11/15/2021     90,000   96,638  
UPCB Finance VI Ltd., 144A, 6.875%, 1/15/2022     171,000   181,901  
Wind Acquisition Finance SA, 144A, 6.5%, 4/30/2020     80,000   84,200  
Windstream Services LLC:  
  7.75%, 10/15/2020     30,000   26,700  
  7.75%, 10/1/2021     165,000   134,477  
Zayo Group LLC:  
  144A, 6.0%, 4/1/2023     60,000   59,922  
  144A, 6.375%, 5/15/2025     75,000   74,250  
  7,159,714  
Utilities 2.5%  
Calpine Corp.:  
  5.375%, 1/15/2023     85,000   82,000  
  5.75%, 1/15/2025     85,000   82,344  
Dynegy, Inc.:  
  7.375%, 11/1/2022     75,000   77,625  
  7.625%, 11/1/2024     140,000   145,712  
Energy Future Holdings Corp., Series Q, 6.5%, 11/15/2024 *     110,000   108,350  
Hrvatska Elektroprivreda, 144A, 6.0%, 11/9/2017     200,000   207,838  
Lamar Funding Ltd., 144A, 3.958%, 5/7/2025     250,000   234,062  
NGL Energy Partners LP, 5.125%, 7/15/2019     70,000   64,750  
NRG Energy, Inc.:  
  6.25%, 5/1/2024     285,000   270,750  
  7.875%, 5/15/2021     80,000   82,600  
Talen Energy Supply LLC, 144A, 4.625%, 7/15/2019     35,000   33,075  
  1,389,106  
Total Corporate Bonds (Cost $45,965,418)   44,341,321  
  Asset-Backed 4.1%  
Miscellaneous  
Apidos CLO XXI, "C", Series 2015-21A, 144A, 3.827%, 7/18/2027     375,000   354,496  
Babson CLO Ltd., "D", Series 2015-2A, 144A, 3.894%, 7/20/2027     1,000,000   993,120  
Cumberland Park CLO Ltd., "D", Series 2015-2A, 144A, 3.672%, 7/20/2026     500,000   469,705  
Marea CLO Ltd., "DR", Series 2012-1A, 144A, 4.039% **, 10/15/2023     500,000   499,986  
Total Asset-Backed (Cost $2,331,977)   2,317,307  
  Collateralized Mortgage Obligations 0.8%  
Federal Home Loan Mortgage Corp., "ZP", Series 4490, 4.0%, 7/15/2045     202,494   202,480  
Federal National Mortgage Association, "PZ", Series 2010-129, 4.5%, 11/25/2040     219,570   255,109  
Total Collateralized Mortgage Obligations (Cost $432,981)   457,589  
  Government & Agency Obligations 6.3%  
Other Government Related (b) 0.8%  
VTB Bank OJSC, 144A, 6.315%, 2/22/2018     265,000   266,590  
Sovereign Bonds 5.5%  
Dominican Republic, 144A, 5.5%, 1/27/2025     100,000   99,000  
KazAgro National Management Holding JSC, 144A, 4.625%, 5/24/2023     250,000   209,750  
Perusahaan Penerbit SBSN, 144A, 4.325%, 5/28/2025     200,000   187,000  
Republic of Argentina-Inflation Linked Bond, 5.83%, 12/31/2033 ARS   481   169  
Republic of El Salvador:  
  144A, 6.375%, 1/18/2027     75,000   70,875  
  144A, 7.65%, 6/15/2035     100,000   96,750  
Republic of Hungary:  
  4.0%, 3/25/2019     200,000   207,770  
  Series 19/A, 6.5%, 6/24/2019 HUF   11,600,000   47,614  
Republic of Panama, 9.375%, 1/16/2023     665,000   909,388  
Republic of Slovenia:  
  144A, 4.75%, 5/10/2018     200,000   212,490  
  144A, 5.5%, 10/26/2022     500,000   561,198  
Republic of South Africa, Series R204, 8.0%, 12/21/2018 ZAR   900,000   68,612  
Republic of Sri Lanka, 144A, 5.125%, 4/11/2019     200,000   197,250  
Republic of Uruguay, 5.1%, 6/18/2050     40,000   36,650  
Republic of Vietnam, 144A, 4.8%, 11/19/2024     200,000   192,000  
United Mexican States, 4.6%, 1/23/2046     200,000   182,500  
  3,279,016  
Total Government & Agency Obligations (Cost $3,554,556)   3,545,606  
  Loan Participations and Assignments 39.7%  
Senior Loans **  
Consumer Discretionary 12.9%  
1011778 B.C. Unlimited Liability Co., Term Loan B, 3.75%, 12/12/2021     433,570   433,624  
Atlantic Broadband Finance LLC, Term Loan B, 3.25%, 11/30/2019     1,005,709   1,004,331  
Avis Budget Car Rental LLC, Term Loan B, 3.0%, 3/15/2019     363,492   363,354  
Cequel Communications LLC, Term Loan B, 3.5%, 2/14/2019     411,477   410,193  
CSC Holdings, Inc., Term Loan B, 2.698%, 4/17/2020     981,906   970,555  
Goodyear Tire & Rubber Co., Second Lien Term Loan, 3.75%, 4/30/2019     775,000   778,387  
Hilton Worldwide Finance LLC, Term Loan B2, 3.5%, 10/26/2020     918,114   918,160  
Petco Animal Supplies, Inc., Term Loan, 4.0%, 11/24/2017     142,302   142,263  
Polymer Group, Inc., First Lien Term Loan, 5.25%, 12/19/2019     413,739   414,602  
Quebecor Media, Inc., Term Loan B1, 3.25%, 8/17/2020     943,282   927,369  
Seminole Tribe of Florida, Term Loan, 3.0%, 4/29/2020     893,050   892,679  
  7,255,517  
Consumer Staples 3.4%  
Albertson's LLC, Term Loan B2, 5.375%, 3/21/2019     707,771   708,655  
Pinnacle Foods Finance LLC:  
  Term Loan G, 3.0%, 4/29/2020     317,792   316,563  
  Term Loan H, 3.0%, 4/29/2020     725,766   721,865  
Vogue International, Inc., Term Loan, 5.75%, 2/14/2020     162,938   163,854  
  1,910,937  
Energy 1.1%  
MEG Energy Corp., Term Loan, 3.75%, 3/31/2020     644,968   605,060  
Financials 1.0%  
Asurion LLC, Second Lien Term Loan, 8.5%, 3/3/2021     140,000   137,666  
Delos Finance SARL, Term Loan B, 3.5%, 3/6/2021     425,000   425,372  
  563,038  
Health Care 4.3%  
Amsurg Corp., First Lien Term Loan B, 3.75%, 7/16/2021     217,800   218,099  
Community Health Systems, Inc.:  
  Term Loan G, 3.75%, 12/31/2019     73,020   73,047  
  Term Loan H, 4.0%, 1/27/2021     134,355   134,867  
DaVita HealthCare Partners, Inc., Term Loan B, 3.5%, 6/24/2021     1,124,640   1,124,876  
Par Pharmaceutical Companies, Inc., Term Loan B2, 4.0%, 9/30/2019     314,867   314,946  
Valeant Pharmaceuticals International, Inc.:  
  Term Loan B, 3.5%, 2/13/2019     291,407   291,015  
  Term Loan B, 3.75%, 12/11/2019     275,431   274,992  
  2,431,842  
Industrials 4.0%  
BE Aerospace, Inc., Term Loan B, 4.0%, 12/16/2021     234,545   236,099  
Ply Gem Industries, Inc., Term Loan, 4.0%, 2/1/2021     988,713   980,556  
Transdigm, Inc., Term Loan C, 3.75%, 2/28/2020     474,501   470,520  
WP CPP Holdings LLC, Term Loan B3, 4.5%, 12/28/2019     535,830   533,655  
  2,220,830  
Information Technology 1.1%  
First Data Corp., Term Loan, 4.2%, 3/24/2021     490,000   490,086  
Freescale Semiconductor, Inc., Term Loan B4, 4.25%, 2/28/2020     138,245   138,245  
  628,331  
Materials 5.1%  
American Rock Salt Holdings LLC, First Lien Term Loan, 4.75%, 5/20/2021     737,550   733,401  
Axalta Coating Systems U.S. Holdings, Inc., Term Loan, 3.75%, 2/1/2020     526,203   525,087  
Berry Plastics Holding Corp.:  
  Term Loan D, 3.5%, 2/8/2020     734,962   725,368  
  Term Loan E, 3.75%, 1/6/2021     304,001   302,033  
MacDermid, Inc.:  
  First Lien Term Loan, 4.5%, 6/7/2020     225,400   225,329  
  Term Loan B2, 4.75%, 6/7/2020     349,123   349,996  
  2,861,214  
Telecommunication Services 1.6%  
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/2020     14,663   14,632  
Level 3 Financing, Inc.:  
  Term Loan B2, 3.5%, 5/31/2022     180,000   178,482  
  Term Loan B, 4.0%, 1/15/2020     485,000   485,531  
Syniverse Holdings, Inc., Term Loan B, 4.0%, 4/23/2019     208,447   193,595  
  872,240  
Utilities 5.2%  
Calpine Corp., Term Loan B5, 3.5%, 5/27/2022     1,855,000   1,835,587  
NRG Energy, Inc., Term Loan B, 2.75%, 7/2/2018     1,119,657   1,105,897  
  2,941,484  
Total Loan Participations and Assignments (Cost $22,432,241)   22,290,493  
  Convertible Bond 0.3%  
Materials  
GEO Specialty Chemicals, Inc., 144A, 7.5%, 10/30/2018 (Cost $104,168)     105,307   146,503  
  Preferred Security 0.3%  
Materials  
Hercules, Inc., 6.5%, 6/30/2029 (Cost $120,797)     175,000   161,437  
  Shares   Value ($)  
  Common Stocks 0.0%  
Consumer Discretionary 0.0%  
Dawn Holdings, Inc.* (c)   2   2,351  
Industrials 0.0%  
Congoleum Corp.*     2,000   0  
Quad Graphics, Inc.     29   419  
  419  
Materials 0.0%  
GEO Specialty Chemicals, Inc.*     11,502   6,143  
Total Common Stocks (Cost $25,413)   8,913  
  Preferred Stock 0.2%  
Consumer Discretionary  
Ally Financial, Inc., Series G, 144A, 7.0%  (Cost $113,300)   122   123,971  
  Warrants 0.0%  
Materials  
Hercules Trust II, Expiration Date 3/31/2029*  (Cost $20,981)   95   265  
  Contract
Amount		   Value ($)  
  Call Options Purchased 0.0%  
Options on Interest Rate Swap Contracts  
Pay Fixed Rate - 3.72% - Receive Floating - 3-Month LIBOR, Swap Expiration Date 4/22/2026, Option Expiration Date 4/20/20161  (Cost $9,870)   200,000   222  
  Shares   Value ($)  
  Cash Equivalents 2.3%  
Central Cash Management Fund, 0.11% (d) (Cost $1,274,010)     1,274,010   1,274,010  
                         

 

  % of
Net Assets		   Value ($)
Total Investment Portfolio (Cost $76,385,712) † 133.1   74,667,637
Other Assets and Liabilities, Net 2.7   1,517,855
Notes Payable (35.8)   (20,100,000)
Net Assets 100.0   56,085,492
           

 

For information on the Fund's policies regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual or annual financial statements.
The following table represents bonds that are in default:  

 

Security   Coupon   Maturity
Date		   Principal Amount Cost ($)   Value ($)

Energy Future Holdings Corp.*

  

6.5%

  

11/15/2024

  

USD

  

110,000

  

66,796

  

108,350

                         

 

* Non-income producing security.
** Floating rate securities’ yields vary with a designated market index or market rate, such as the coupon-equivalent of the U.S. Treasury Bill rate. These securities are shown at their current rate as of August 31, 2015.
† The cost for federal income tax purposes was $76,375,336.  At August 31, 2015, net unrealized depreciation for all securities based on tax cost was $1,707,699.  This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $807,634 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $2,515,333.
(a) Principal amount stated in U.S. dollars unless otherwise noted.
(b) Government-backed debt issued by financial companies or government sponsored enterprises.
(c) The Fund may purchase securities that are subject to legal or contractual restrictions on resale ("restricted securities").  Restricted securities are securities which have not been registered with the Securities and Exchange Commission under the Securities Act of 1933.  The Fund may be unable to sell a restricted security and it may be more difficult to determine a market value for a restricted security.  Moreover, if adverse market conditions were to develop during the period between the Fund's decision to sell a restricted security and the point at which the Fund is permitted or able to sell such security, the Fund might obtain a price less favorable than the price that prevailed when it decided to sell.  This investment practice, therefore, could have the effect of increasing the level of illiquidity of the Fund.  The future value of these securities is uncertain and there may be changes in the estimated value of these securities.

 

Schedule of
Restricted Securities		   Acquisition Date   Cost ($)   Value ($)   Value as %
of Net Assets

Dawn Holdings, Inc. *

August 2013

5,863

  

2,351

0.0

 

(d) Affiliated fund managed by Deutsche Investment Management Americas Inc.  The rate shown is the annualized seven-day yield at period end.

 

144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
CLO: Collateralized Loan Obligation
PIK: Denotes that all or a portion of the income is paid in-kind in the form of additional principal.
REIT: Real Estate Investment Trust
SBSN: Surat Berharga Syariah Negara (Islamic Based Government Securities)
At August 31, 2015, open written options contracts were as follows:

 

Options on Interest Rate Swap Contracts

 

    Swap
Effective/
Expiration
Date		   Contract
Amount		   Option
Expiration
Date		   Premiums
Received ($)		   Value ($) (e)
Call Options  
Receive Fixed - 4.22% - Pay Floating - 3-Month LIBOR  

4/22/2016

4/22/2026

   200,0001   4/20/2016   7,130   (49)
                       

 

(e) Unrealized appreciation on written options on interest rate swap contracts at August 31, 2015 was $7,081.

 

At August 31, 2015, open credit default swap contracts sold were as follows:
Bilateral Swaps  

 

Effective/
Expiration
Date		 Notional
Amount ($) (f)		 Fixed
Cash
Flows
Received		 Underlying Debt
Obligation/
Quality Rating (g)		 Value ($) Upfront Payments
Paid/
(Received) ($)		 Unrealized
Appreciation ($)		  
   

6/20/2013
9/20/2018

260,0002

5.0%

Sprint Communications, Inc.,
6.0%, 12/1/2016, B+

15,827

9,432

6,395

  

1/21/2015
3/20/2020

100,0003

5.0%

General Motors Corp.,
6.25%, 10/2/2043, BBB-

15,751

14,487

1,264

  

3/20/2015
6/20/2020

75,0004

5.0%

CCO Holdings LLC,
7.375%, 6/1/2020, BB-

7,400

6,924

476

  
Total unrealized appreciation 8,135  
                   

 

(f) The maximum potential amount of future undiscounted payments that the Fund could be required to make under a credit default swap contract would be the notional amount of the contract.  These potential amounts would be partially offset by any recovery values of the referenced debt obligation or net amounts received from the settlement of buy protection credit default swap contracts entered into by the Fund for the same referenced debt obligation, if any.
(g) The quality ratings represent the higher of Moody's Investors Service, Inc. ("Moody's") or Standard & Poor's Corporation ("S&P") credit ratings and are unaudited.
Counterparties:
1 Nomura International PLC
2 Bank of America
3 Credit Suisse
4 Barclays Bank PLC
LIBOR: London Interbank Offered Rate; 3 Month LIBOR rate at August 31, 2015 is 0.33%.
Currency Abbreviations  
ARS Argentine Peso      
HUF Hungarian Forint      
USD United States Dollar      
ZAR South African Rand      
           

 

 

Fair Value Measurements

 

Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used as of August 31, 2015 in valuing the Fund's investments.

 

Assets   Level 1   Level 2   Level 3   Total  
Fixed Income Investments (h)                  
  Corporate Bonds $ — $ 44,341,321 $ — $ 44,341,321  
  Asset-Backed   —   2,317,307   —   2,317,307  
  Collateralized Mortgage Obligations   —   457,589   —   457,589  
  Government & Agency Obligations   —   3,545,606   —   3,545,606  
  Loan Participations and Assignments   —   22,290,493   —   22,290,493  
  Convertible Bond   —   —   146,503   146,503  
  Preferred Security   —   161,437   —   161,437  
Common Stocks (h)   419   —   8,494   8,913  
Preferred Stock   —   123,971   —   123,971  
Warrants   —   —   265   265  
Short-Term Investments   1,274,010   —   —   1,274,010  
Derivatives (i)                  
  Purchased Options   —   222   —   222  
  Credit Default Swap Contracts   —   8,135   —   8,135  
Total $ 1,274,429 $ 73,246,081 $ 155,262 $ 74,675,772  
Liabilities   Level 1   Level 2   Level 3   Total  
Derivatives (i)                  
  Written Options $ — $ (49) $ — $ (49)  
Total $ — $ (49) $ — $ (49)  

 

During the period ended August 31, 2015, the amount of transfers between Level 3 and Level 2 was $163,970. Investments were transferred from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs.

 

(h) See Investment Portfolio for additional detailed categorizations.
(i) Derivatives include value of options purchased, unrealized appreciation (depreciation) on credit default swap contracts, and written options, at value.

 

Derivatives

 

The following table presents, by major type of derivative contract, the unrealized appreciation (depreciation) of the Fund's derivative instruments as of August 31, 2015 categorized by the primary underlying risk exposure. 

 

 Primary Underlying Risk Disclosure

 Swaps Options
Credit Contracts   $    8,135   $         —
Interest Rate Contracts   $         —   $    (2,567)

 

 

 

ITEM 2. CONTROLS AND PROCEDURES
   
  (a) The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
   
  (b) There have been no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting.
   
ITEM 3. EXHIBITS
   
  Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

 

 

 

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Registrant: Deutsche Strategic Income Trust
   
By:

/s/Brian E. Binder

Brian E. Binder

President

   
Date: October 23, 2015

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

 

By:

/s/Brian E. Binder

Brian E. Binder

President

   
Date: October 23, 2015
   
   
   
By:

/s/Paul Schubert

Paul Schubert

Chief Financial Officer and Treasurer

   
Date: October 23, 2015