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 10154-0004
(Address of principal executive offices) (Zip code)
Paul Schubert
345 Park Avenue
New York, NY 10154-0004
(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: 8/31/2017
| ITEM 1. | SCHEDULE OF INVESTMENTS |
Investment Portfolio as of August 31, 2017 (Unaudited)
Deutsche Strategic Income Trust
| Principal Amount ($) (a) |
Value ($) | |||||||||||
| Corporate Bonds 92.5% | ||||||||||||
| Consumer Discretionary 24.3% | ||||||||||||
| 1011778 B.C. Unlimited Liability Co.: | ||||||||||||
| 144A, 4.25%, 5/15/2024 | 140,000 | 141,750 | ||||||||||
| 144A, 4.625%, 1/15/2022 | 40,000 | 40,888 | ||||||||||
| 144A, 5.0%, 10/15/2025 | 143,000 | 146,754 | ||||||||||
| Adient Global Holdings Ltd., 144A, 4.875%, 8/15/2026 | 400,000 | 409,620 | ||||||||||
| Ally Financial, Inc.: | ||||||||||||
| 3.25%, 2/13/2018 | 265,000 | 265,662 | ||||||||||
| 4.125%, 3/30/2020 | 590,000 | 606,962 | ||||||||||
| 5.75%, 11/20/2025 | 200,000 | 215,940 | ||||||||||
| Altice Financing SA, 144A, 7.5%, 5/15/2026 | 210,000 | 229,992 | ||||||||||
| Altice U.S. Finance I Corp., 144A, 5.5%, 5/15/2026 | 210,000 | 222,206 | ||||||||||
| AMC Entertainment Holdings, Inc., 5.875%, 11/15/2026 | 95,000 | 89,181 | ||||||||||
| AMC Networks, Inc.: | ||||||||||||
| 4.75%, 8/1/2025 | 110,000 | 110,413 | ||||||||||
| 5.0%, 4/1/2024 | 265,000 | 273,281 | ||||||||||
| American Axle & Manufacturing, Inc.: | ||||||||||||
| 144A, 6.25%, 4/1/2025 | 85,000 | 84,575 | ||||||||||
| 144A, 6.5%, 4/1/2027 | 70,000 | 68,950 | ||||||||||
| Arch Merger Sub, Inc., 144A, 8.5%, 9/15/2025 | 100,000 | 96,875 | ||||||||||
| Asbury Automotive Group, Inc., 6.0%, 12/15/2024 | 295,000 | 303,850 | ||||||||||
| Ashton Woods U.S.A. LLC: | ||||||||||||
| 144A, 6.75%, 8/1/2025 | 170,000 | 168,725 | ||||||||||
| 144A, 6.875%, 2/15/2021 | 78,000 | 80,243 | ||||||||||
| Boyd Gaming Corp., 6.875%, 5/15/2023 | 50,000 | 53,750 | ||||||||||
| CalAtlantic Group, Inc.: | ||||||||||||
| 5.0%, 6/15/2027 | 35,000 | 35,088 | ||||||||||
| 5.25%, 6/1/2026 | 119,000 | 122,570 | ||||||||||
| Caleres, Inc., 6.25%, 8/15/2023 | 40,000 | 42,000 | ||||||||||
| Carlson Travel, Inc., 144A, 9.5%, 12/15/2024 | 200,000 | 195,500 | ||||||||||
| CCO Holdings LLC: | ||||||||||||
| 144A, 5.0%, 2/1/2028 | 120,000 | 122,026 | ||||||||||
| 144A, 5.125%, 5/1/2027 | 160,000 | 164,800 | ||||||||||
| 144A, 5.5%, 5/1/2026 | 385,000 | 401,844 | ||||||||||
| 144A, 5.875%, 4/1/2024 | 105,000 | 111,562 | ||||||||||
| 144A, 5.875%, 5/1/2027 | 155,000 | 164,687 | ||||||||||
| Cequel Communications Holdings I LLC: | ||||||||||||
| 144A, 5.125%, 12/15/2021 | 214,000 | 217,745 | ||||||||||
| 144A, 6.375%, 9/15/2020 | 19,000 | 19,433 | ||||||||||
| Clear Channel Worldwide Holdings, Inc., Series A, 7.625%, 3/15/2020 | 20,000 | 19,700 | ||||||||||
| CSC Holdings LLC, 144A, 5.5%, 4/15/2027 | 310,000 | 323,562 | ||||||||||
| Cumberland Farms, Inc., 144A, 6.75%, 5/1/2025 | 32,000 | 34,360 | ||||||||||
| Dana Financing Luxembourg Sarl: | ||||||||||||
| 144A, 5.75%, 4/15/2025 | 205,000 | 213,969 | ||||||||||
| 144A, 6.5%, 6/1/2026 | 160,000 | 171,600 | ||||||||||
| Dana, Inc.: | ||||||||||||
| 5.375%, 9/15/2021 | 207,000 | 212,434 | ||||||||||
| 5.5%, 12/15/2024 | 55,000 | 57,338 | ||||||||||
| DISH DBS Corp.: | ||||||||||||
| 5.875%, 7/15/2022 | 450,000 | 486,562 | ||||||||||
| 6.75%, 6/1/2021 | 30,000 | 33,113 | ||||||||||
| Dollar Tree, Inc.: | ||||||||||||
| 5.25%, 3/1/2020 | 315,000 | 323,859 | ||||||||||
| 5.75%, 3/1/2023 | 105,000 | 110,775 | ||||||||||
| Eldorado Resorts, Inc., 6.0%, 4/1/2025 | 70,000 | 74,375 | ||||||||||
| Fiat Chrysler Automobiles NV, 4.5%, 4/15/2020 | 310,000 | 323,020 | ||||||||||
| Goodyear Tire & Rubber Co.: | ||||||||||||
| 5.0%, 5/31/2026 | 130,000 | 135,687 | ||||||||||
| 5.125%, 11/15/2023 | 60,000 | 62,774 | ||||||||||
| Group 1 Automotive, Inc.: | ||||||||||||
| 5.0%, 6/1/2022 | 150,000 | 153,375 | ||||||||||
| 144A, 5.25%, 12/15/2023 | 210,000 | 210,000 | ||||||||||
| H&E Equipment Services, Inc., 144A, 5.625%, 9/1/2025 | 45,000 | 46,463 | ||||||||||
| Hanesbrands, Inc., 144A, 4.625%, 5/15/2024 | 110,000 | 114,400 | ||||||||||
| HD Supply, Inc.: | ||||||||||||
| 144A, 5.25%, 12/15/2021 | 85,000 | 89,250 | ||||||||||
| 144A, 5.75%, 4/15/2024 | 55,000 | 58,988 | ||||||||||
| Hilton Worldwide Finance LLC, 4.625%, 4/1/2025 | 50,000 | 52,245 | ||||||||||
| Hot Topic, Inc., 144A, 9.25%, 6/15/2021 | 25,000 | 22,625 | ||||||||||
| KFC Holding Co., 144A, 4.75%, 6/1/2027 | 80,000 | 82,100 | ||||||||||
| Lennar Corp.: | ||||||||||||
| 4.125%, 1/15/2022 | 130,000 | 133,900 | ||||||||||
| 4.75%, 11/15/2022 | 150,000 | 156,750 | ||||||||||
| Lithia Motors, Inc., 144A, 5.25%, 8/1/2025 | 100,000 | 102,250 | ||||||||||
| MDC Partners, Inc., 144A, 6.5%, 5/1/2024 | 45,000 | 44,831 | ||||||||||
| Mediacom Broadband LLC, 6.375%, 4/1/2023 | 155,000 | 161,394 | ||||||||||
| NCL Corp., Ltd., 144A, 4.75%, 12/15/2021 | 80,000 | 82,900 | ||||||||||
| Nielsen Finance LLC, 144A, 5.0%, 4/15/2022 | 45,000 | 46,575 | ||||||||||
| Penn National Gaming, Inc., 144A, 5.625%, 1/15/2027 | 105,000 | 108,938 | ||||||||||
| Penske Automotive Group, Inc., 5.5%, 5/15/2026 | 85,000 | 85,850 | ||||||||||
| PetSmart, Inc., 144A, 5.875%, 6/1/2025 | 45,000 | 40,163 | ||||||||||
| PulteGroup, Inc., 4.25%, 3/1/2021 | 320,000 | 332,448 | ||||||||||
| Quebecor Media, Inc., 5.75%, 1/15/2023 | 80,000 | 85,600 | ||||||||||
| Rivers Pittsburgh Borrower LP, 144A, 6.125%, 8/15/2021 | 25,000 | 25,250 | ||||||||||
| Sally Holdings LLC, 5.625%, 12/1/2025 | 150,000 | 153,189 | ||||||||||
| Scientific Games International, Inc., 144A, 7.0%, 1/1/2022 | 340,000 | 362,950 | ||||||||||
| Seminole Hard Rock Entertainment, Inc., 144A, 5.875%, 5/15/2021 | 50,000 | 50,125 | ||||||||||
| SFR Group SA: | ||||||||||||
| 144A, 6.0%, 5/15/2022 | 290,000 | 305,582 | ||||||||||
| 144A, 7.375%, 5/1/2026 | 315,000 | 340,206 | ||||||||||
| Sirius XM Radio, Inc.: | ||||||||||||
| 144A, 5.0%, 8/1/2027 | 50,000 | 51,375 | ||||||||||
| 144A, 5.375%, 7/15/2026 | 150,000 | 157,500 | ||||||||||
| Suburban Propane Partners LP, 5.75%, 3/1/2025 | 45,000 | 44,325 | ||||||||||
| Tenneco, Inc., 5.0%, 7/15/2026 | 110,000 | 111,100 | ||||||||||
| Tesla, Inc., 144A, 5.3%, 8/15/2025 | 415,000 | 409,273 | ||||||||||
| Toll Brothers Finance Corp., 4.875%, 11/15/2025 | 95,000 | 98,206 | ||||||||||
| TRI Pointe Group, Inc., 4.875%, 7/1/2021 | 610,000 | 637,450 | ||||||||||
| Unitymedia Hessen GmbH & Co., KG, 144A, 5.5%, 1/15/2023 | 270,000 | 279,450 | ||||||||||
| UPCB Finance IV Ltd., 144A, 5.375%, 1/15/2025 | 305,000 | 316,437 | ||||||||||
| Viking Cruises Ltd.: | ||||||||||||
| 144A, 6.25%, 5/15/2025 | 80,000 | 81,600 | ||||||||||
| 144A, 8.5%, 10/15/2022 | 80,000 | 83,700 | ||||||||||
| Virgin Media Secured Finance PLC, 144A, 5.5%, 8/15/2026 | 200,000 | 211,500 | ||||||||||
| WMG Acquisition Corp., 144A, 5.0%, 8/1/2023 | 45,000 | 46,463 | ||||||||||
| 13,766,726 | ||||||||||||
| Consumer Staples 2.6% | ||||||||||||
| Aramark Services, Inc.: | ||||||||||||
| 4.75%, 6/1/2026 | 305,000 | 319,579 | ||||||||||
| 5.125%, 1/15/2024 | 60,000 | 63,750 | ||||||||||
| B&G Foods, Inc., 5.25%, 4/1/2025 | 215,000 | 220,912 | ||||||||||
| Chobani LLC, 144A, 7.5%, 4/15/2025 | 25,000 | 27,188 | ||||||||||
| Cott Beverages, Inc., 5.375%, 7/1/2022 | 145,000 | 150,619 | ||||||||||
| JBS Investments GmbH, 144A, 7.25%, 4/3/2024 | 200,000 | 202,000 | ||||||||||
| JBS U.S.A. LUX SA: | ||||||||||||
| 144A, 5.75%, 6/15/2025 | 60,000 | 60,150 | ||||||||||
| 144A, 7.25%, 6/1/2021 | 205,000 | 210,043 | ||||||||||
| 144A, 8.25%, 2/1/2020 | 65,000 | 65,975 | ||||||||||
| Post Holdings, Inc.: | ||||||||||||
| 144A, 5.5%, 3/1/2025 | 60,000 | 62,400 | ||||||||||
| 144A, 5.75%, 3/1/2027 | 75,000 | 77,625 | ||||||||||
| 1,460,241 | ||||||||||||
| Energy 12.7% | ||||||||||||
| Andeavor: | ||||||||||||
| 144A, 4.75%, 12/15/2023 | 50,000 | 53,704 | ||||||||||
| 144A, 5.125%, 12/15/2026 | 125,000 | 135,602 | ||||||||||
| Andeavor Logistics LP: | ||||||||||||
| 5.25%, 1/15/2025 | 170,000 | 180,200 | ||||||||||
| 6.125%, 10/15/2021 | 30,000 | 31,013 | ||||||||||
| 6.375%, 5/1/2024 | 65,000 | 70,688 | ||||||||||
| Antero Midstream Partners LP, 5.375%, 9/15/2024 | 70,000 | 71,400 | ||||||||||
| Antero Resources Corp.: | ||||||||||||
| 5.375%, 11/1/2021 | 85,000 | 86,487 | ||||||||||
| 5.625%, 6/1/2023 | 60,000 | 61,050 | ||||||||||
| Blue Racer Midstream LLC, 144A, 6.125%, 11/15/2022 | 65,000 | 66,788 | ||||||||||
| Carrizo Oil & Gas, Inc.: | ||||||||||||
| 6.25%, 4/15/2023 | 40,000 | 38,800 | ||||||||||
| 8.25%, 7/15/2025 | 70,000 | 72,450 | ||||||||||
| Cheniere Corpus Christi Holdings LLC: | ||||||||||||
| 144A, 5.125%, 6/30/2027 | 105,000 | 108,675 | ||||||||||
| 5.875%, 3/31/2025 | 105,000 | 112,875 | ||||||||||
| 7.0%, 6/30/2024 | 100,000 | 113,750 | ||||||||||
| Chesapeake Energy Corp., 144A, 8.0%, 6/15/2027 | 40,000 | 38,000 | ||||||||||
| Continental Resources, Inc.: | ||||||||||||
| 4.5%, 4/15/2023 | 165,000 | 162,525 | ||||||||||
| 5.0%, 9/15/2022 | 580,000 | 582,900 | ||||||||||
| Crestwood Midstream Partners LP: | ||||||||||||
| 5.75%, 4/1/2025 | 80,000 | 81,000 | ||||||||||
| 6.25%, 4/1/2023 | 40,000 | 41,300 | ||||||||||
| DCP Midstream Operating LP, 2.7%, 4/1/2019 | 200,000 | 198,750 | ||||||||||
| Diamondback Energy, Inc., 4.75%, 11/1/2024 | 70,000 | 70,175 | ||||||||||
| Energy Transfer Equity LP, 7.5%, 10/15/2020 | 500,000 | 564,375 | ||||||||||
| Extraction Oil & Gas, Inc., 144A, 7.375%, 5/15/2024 | 50,000 | 50,250 | ||||||||||
| Genesis Energy LP, 6.5%, 10/1/2025 | 225,000 | 220,500 | ||||||||||
| Gulfport Energy Corp.: | ||||||||||||
| 144A, 6.0%, 10/15/2024 | 35,000 | 34,300 | ||||||||||
| 144A, 6.375%, 5/15/2025 | 70,000 | 68,863 | ||||||||||
| 6.625%, 5/1/2023 | 30,000 | 29,850 | ||||||||||
| Hilcorp Energy I LP, 144A, 5.75%, 10/1/2025 | 110,000 | 106,150 | ||||||||||
| Holly Energy Partners LP, 144A, 6.0%, 8/1/2024 | 80,000 | 83,200 | ||||||||||
| Laredo Petroleum, Inc., 6.25%, 3/15/2023 | 90,000 | 92,025 | ||||||||||
| MEG Energy Corp.: | ||||||||||||
| 144A, 6.375%, 1/30/2023 | 150,000 | 119,812 | ||||||||||
| 144A, 6.5%, 1/15/2025 | 149,000 | 138,384 | ||||||||||
| Murphy Oil Corp., 5.75%, 8/15/2025 | 160,000 | 162,080 | ||||||||||
| Murphy Oil U.S.A., Inc., 5.625%, 5/1/2027 | 45,000 | 48,206 | ||||||||||
| Newfield Exploration Co., 5.375%, 1/1/2026 | 25,000 | 26,125 | ||||||||||
| NGPL PipeCo LLC, 144A, 4.875%, 8/15/2027 | 105,000 | 108,150 | ||||||||||
| NuStar Logistics LP, 5.625%, 4/28/2027 | 157,000 | 166,420 | ||||||||||
| Oasis Petroleum, Inc., 6.875%, 1/15/2023 | 10,000 | 9,570 | ||||||||||
| Parsley Energy LLC: | ||||||||||||
| 144A, 5.25%, 8/15/2025 | 35,000 | 35,000 | ||||||||||
| 144A, 5.375%, 1/15/2025 | 55,000 | 55,275 | ||||||||||
| PDC Energy, Inc., 144A, 6.125%, 9/15/2024 | 60,000 | 61,500 | ||||||||||
| Peabody Energy Corp.: | ||||||||||||
| 144A, 6.0%, 3/31/2022 | 15,000 | 15,375 | ||||||||||
| 144A, 6.375%, 3/31/2025 | 110,000 | 112,200 | ||||||||||
| Petrobras Global Finance BV, 6.125%, 1/17/2022 | 110,000 | 116,600 | ||||||||||
| Range Resources Corp.: | ||||||||||||
| 4.875%, 5/15/2025 | 165,000 | 157,987 | ||||||||||
| 144A, 5.0%, 8/15/2022 | 100,000 | 98,250 | ||||||||||
| 144A, 5.875%, 7/1/2022 | 65,000 | 66,300 | ||||||||||
| Ras Laffan Liquefied Natural Gas Co., Ltd. II, 144A, 5.298%, 9/30/2020 | 94,225 | 97,530 | ||||||||||
| Rice Energy, Inc., 7.25%, 5/1/2023 | 15,000 | 16,031 | ||||||||||
| Sabine Pass Liquefaction LLC: | ||||||||||||
| 5.625%, 2/1/2021 | 260,000 | 281,476 | ||||||||||
| 5.625%, 4/15/2023 | 150,000 | 165,786 | ||||||||||
| 5.875%, 6/30/2026 | 155,000 | 173,139 | ||||||||||
| Summit Midstream Holdings LLC, 5.75%, 4/15/2025 | 40,000 | 40,100 | ||||||||||
| Sunoco LP: | ||||||||||||
| 5.5%, 8/1/2020 | 50,000 | 51,465 | ||||||||||
| 6.25%, 4/15/2021 | 250,000 | 260,000 | ||||||||||
| 6.375%, 4/1/2023 | 45,000 | 47,419 | ||||||||||
| Targa Resources Partners LP, 144A, 5.375%, 2/1/2027 | 170,000 | 175,950 | ||||||||||
| Trinidad Drilling Ltd., 144A, 6.625%, 2/15/2025 | 35,000 | 32,375 | ||||||||||
| Weatherford International Ltd.: | ||||||||||||
| 4.5%, 4/15/2022 | 105,000 | 93,712 | ||||||||||
| 144A, 9.875%, 2/15/2024 | 170,000 | 173,825 | ||||||||||
| Whiting Petroleum Corp.: | ||||||||||||
| 5.75%, 3/15/2021 | 95,000 | 89,300 | ||||||||||
| 6.25%, 4/1/2023 | 70,000 | 64,925 | ||||||||||
| WildHorse Resource Development Corp., 144A, 6.875%, 2/1/2025 | 35,000 | 34,388 | ||||||||||
| WPX Energy, Inc.: | ||||||||||||
| 6.0%, 1/15/2022 | 150,000 | 154,687 | ||||||||||
| 7.5%, 8/1/2020 | 101,000 | 109,080 | ||||||||||
| 7,186,067 | ||||||||||||
| Financials 4.3% | ||||||||||||
| AerCap Ireland Capital DAC: | ||||||||||||
| 3.95%, 2/1/2022 | 200,000 | 208,622 | ||||||||||
| 4.625%, 10/30/2020 | 670,000 | 714,182 | ||||||||||
| Aircastle Ltd., 4.125%, 5/1/2024 | 155,000 | 160,084 | ||||||||||
| Alliance Data Systems Corp., 144A, 5.25%, 12/1/2017 | 95,000 | 95,594 | ||||||||||
| CIT Group, Inc.: | ||||||||||||
| 3.875%, 2/19/2019 | 415,000 | 424,337 | ||||||||||
| 5.0%, 8/15/2022 | 400,000 | 432,960 | ||||||||||
| Corp. Financiera de Desarrollo SA, 144A, 4.75%, 2/8/2022 | 250,000 | 267,500 | ||||||||||
| CSTN Merger Sub, Inc., 144A, 6.75%, 8/15/2024 | 90,000 | 88,538 | ||||||||||
| Tempo Acquisition LLC, 144A, 6.75%, 6/1/2025 | 45,000 | 46,013 | ||||||||||
| 2,437,830 | ||||||||||||
| Health Care 5.3% | ||||||||||||
| Alere, Inc., 144A, 6.375%, 7/1/2023 | 60,000 | 64,200 | ||||||||||
| Endo Finance LLC, 144A, 5.375%, 1/15/2023 | 80,000 | 67,000 | ||||||||||
| Fresenius Medical Care U.S. Finance II, Inc., 144A, 6.5%, 9/15/2018 | 45,000 | 46,913 | ||||||||||
| HCA, Inc.: | ||||||||||||
| 4.5%, 2/15/2027 | 150,000 | 152,063 | ||||||||||
| 4.75%, 5/1/2023 | 300,000 | 316,440 | ||||||||||
| 5.25%, 6/15/2026 | 170,000 | 182,962 | ||||||||||
| 6.5%, 2/15/2020 | 340,000 | 370,253 | ||||||||||
| Hill-Rom Holdings, Inc., 144A, 5.0%, 2/15/2025 | 50,000 | 51,250 | ||||||||||
| Hologic, Inc., 144A, 5.25%, 7/15/2022 | 30,000 | 31,584 | ||||||||||
| LifePoint Health, Inc.: | ||||||||||||
| 5.375%, 5/1/2024 | 120,000 | 124,200 | ||||||||||
| 5.5%, 12/1/2021 | 105,000 | 108,990 | ||||||||||
| 5.875%, 12/1/2023 | 85,000 | 89,542 | ||||||||||
| Mallinckrodt International Finance SA, 144A, 5.625%, 10/15/2023 | 50,000 | 47,875 | ||||||||||
| Tenet Healthcare Corp.: | ||||||||||||
| 144A, 4.625%, 7/15/2024 | 180,000 | 179,964 | ||||||||||
| 144A, 5.125%, 5/1/2025 | 70,000 | 70,434 | ||||||||||
| 144A, 7.5%, 1/1/2022 | 70,000 | 75,425 | ||||||||||
| Valeant Pharmaceuticals International, Inc.: | ||||||||||||
| 144A, 5.375%, 3/15/2020 | 110,000 | 108,625 | ||||||||||
| 144A, 5.875%, 5/15/2023 | 105,000 | 89,513 | ||||||||||
| 144A, 6.125%, 4/15/2025 | 155,000 | 130,781 | ||||||||||
| 144A, 6.5%, 3/15/2022 | 70,000 | 73,413 | ||||||||||
| 144A, 7.0%, 3/15/2024 | 165,000 | 175,106 | ||||||||||
| 144A, 7.5%, 7/15/2021 | 385,000 | 377,781 | ||||||||||
| West Street Merger Sub, Inc., 144A, 6.375%, 9/1/2025 | 55,000 | 54,794 | ||||||||||
| 2,989,108 | ||||||||||||
| Industrials 8.7% | ||||||||||||
| ADT Corp.: | ||||||||||||
| 3.5%, 7/15/2022 | 55,000 | 54,824 | ||||||||||
| 5.25%, 3/15/2020 | 90,000 | 94,500 | ||||||||||
| 6.25%, 10/15/2021 | 155,000 | 168,493 | ||||||||||
| Air Lease Corp., 4.75%, 3/1/2020 | 1,110,000 | 1,179,124 | ||||||||||
| Bombardier, Inc.: | ||||||||||||
| 144A, 5.75%, 3/15/2022 | 130,000 | 132,437 | ||||||||||
| 144A, 6.0%, 10/15/2022 | 95,000 | 96,425 | ||||||||||
| 144A, 8.75%, 12/1/2021 | 36,000 | 40,893 | ||||||||||
| Booz Allen Hamilton, Inc., 144A, 5.125%, 5/1/2025 | 20,000 | 20,018 | ||||||||||
| CNH Industrial Capital LLC, 3.875%, 7/16/2018 | 60,000 | 60,675 | ||||||||||
| Covanta Holding Corp.: | ||||||||||||
| 5.875%, 3/1/2024 | 85,000 | 85,000 | ||||||||||
| 5.875%, 7/1/2025 | 55,000 | 54,588 | ||||||||||
| DAE Funding LLC: | ||||||||||||
| 144A, 4.5%, 8/1/2022 | 7,000 | 7,140 | ||||||||||
| 144A, 5.0%, 8/1/2024 | 17,000 | 17,383 | ||||||||||
| DR Horton, Inc., 4.0%, 2/15/2020 | 30,000 | 31,221 | ||||||||||
| FTI Consulting, Inc., 6.0%, 11/15/2022 | 80,000 | 82,800 | ||||||||||
| GFL Environmental, Inc., 144A, 5.625%, 5/1/2022 | 55,000 | 56,925 | ||||||||||
| Huntington Ingalls Industries, Inc.: | ||||||||||||
| 144A, 5.0%, 12/15/2021 | 120,000 | 123,600 | ||||||||||
| 144A, 5.0%, 11/15/2025 | 60,000 | 64,950 | ||||||||||
| Koppers, Inc., 144A, 6.0%, 2/15/2025 | 135,000 | 143,100 | ||||||||||
| Masonite International Corp., 144A, 5.625%, 3/15/2023 | 65,000 | 67,763 | ||||||||||
| Moog, Inc., 144A, 5.25%, 12/1/2022 | 50,000 | 51,875 | ||||||||||
| Novelis Corp.: | ||||||||||||
| 144A, 5.875%, 9/30/2026 | 165,000 | 172,012 | ||||||||||
| 144A, 6.25%, 8/15/2024 | 85,000 | 89,781 | ||||||||||
| Oshkosh Corp.: | ||||||||||||
| 5.375%, 3/1/2022 | 60,000 | 62,400 | ||||||||||
| 5.375%, 3/1/2025 | 240,000 | 252,000 | ||||||||||
| Park Aerospace Holdings Ltd.: | ||||||||||||
| 144A, 5.25%, 8/15/2022 | 175,000 | 182,437 | ||||||||||
| 144A, 5.5%, 2/15/2024 | 165,000 | 171,600 | ||||||||||
| Ply Gem Industries, Inc., 6.5% , 2/1/2022 | 145,000 | 151,106 | ||||||||||
| Prime Security Services Borrower LLC, 144A, 9.25%, 5/15/2023 | 10,000 | 11,050 | ||||||||||
| Ritchie Bros Auctioneers, Inc., 144A, 5.375%, 1/15/2025 | 60,000 | 62,400 | ||||||||||
| Spirit AeroSystems, Inc., 5.25%, 3/15/2022 | 105,000 | 109,099 | ||||||||||
| Summit Materials LLC: | ||||||||||||
| 144A, 5.125%, 6/1/2025 | 20,000 | 20,400 | ||||||||||
| 6.125%, 7/15/2023 | 100,000 | 104,750 | ||||||||||
| 8.5%, 4/15/2022 | 45,000 | 50,738 | ||||||||||
| Tennant Co., 144A, 5.625%, 5/1/2025 | 20,000 | 20,875 | ||||||||||
| United Rentals North America, Inc.: | ||||||||||||
| 4.875%, 1/15/2028 | 215,000 | 217,150 | ||||||||||
| 5.5%, 5/15/2027 | 153,000 | 162,180 | ||||||||||
| 5.875%, 9/15/2026 | 110,000 | 119,735 | ||||||||||
| 7.625%, 4/15/2022 | 20,000 | 20,860 | ||||||||||
| USG Corp., 144A, 4.875%, 6/1/2027 | 110,000 | 112,750 | ||||||||||
| WESCO Distribution, Inc., 5.375%, 6/15/2024 | 80,000 | 83,600 | ||||||||||
| ZF North America Capital, Inc., 144A, 4.0%, 4/29/2020 | 150,000 | 154,125 | ||||||||||
| 4,964,782 | ||||||||||||
| Information Technology 3.9% | ||||||||||||
| ACI Worldwide, Inc., 144A, 6.375%, 8/15/2020 | 35,000 | 35,656 | ||||||||||
| Cardtronics, Inc.: | ||||||||||||
| 5.125%, 8/1/2022 | 50,000 | 51,000 | ||||||||||
| 144A, 5.5%, 5/1/2025 | 120,000 | 122,776 | ||||||||||
| CDW LLC, 5.0%, 9/1/2025 | 60,000 | 62,550 | ||||||||||
| Change Healthcare Holdings LLC, 144A, 5.75%, 3/1/2025 | 135,000 | 138,881 | ||||||||||
| Dell International LLC: | ||||||||||||
| 144A, 4.42%, 6/15/2021 | 195,000 | 205,477 | ||||||||||
| 144A, 5.875%, 6/15/2021 | 65,000 | 68,149 | ||||||||||
| EMC Corp., 1.875%, 6/1/2018 | 300,000 | 298,917 | ||||||||||
| First Data Corp., 144A, 7.0%, 12/1/2023 | 100,000 | 107,750 | ||||||||||
| Gartner, Inc., 144A, 5.125%, 4/1/2025 | 40,000 | 42,150 | ||||||||||
| j2 Cloud Services LLC, 144A, 6.0%, 7/15/2025 | 85,000 | 87,656 | ||||||||||
| Jabil, Inc., 5.625%, 12/15/2020 | 105,000 | 113,725 | ||||||||||
| Match Group, Inc., 6.375%, 6/1/2024 | 50,000 | 54,313 | ||||||||||
| NCR Corp.: | ||||||||||||
| 5.875%, 12/15/2021 | 20,000 | 20,775 | ||||||||||
| 6.375%, 12/15/2023 | 50,000 | 53,438 | ||||||||||
| Netflix, Inc., 5.875%, 2/15/2025 | 150,000 | 162,375 | ||||||||||
| Nielsen Co. Luxembourg SARL, 144A, 5.0%, 2/1/2025 | 100,000 | 103,250 | ||||||||||
| NXP BV, 144A, 4.125%, 6/1/2021 | 200,000 | 209,200 | ||||||||||
| Riverbed Technology, Inc., 144A, 8.875%, 3/1/2023 | 45,000 | 43,988 | ||||||||||
| Symantec Corp., 144A, 5.0%, 4/15/2025 | 100,000 | 104,720 | ||||||||||
| Western Digital Corp.: | ||||||||||||
| 144A, 7.375%, 4/1/2023 | 45,000 | 49,331 | ||||||||||
| 10.5%, 4/1/2024 | 75,000 | 89,062 | ||||||||||
| 2,225,139 | ||||||||||||
| Materials 16.5% | ||||||||||||
| AK Steel Corp.: | ||||||||||||
| 6.375%, 10/15/2025 | 65,000 | 64,188 | ||||||||||
| 7.0%, 3/15/2027 | 415,000 | 422,262 | ||||||||||
| 7.5%, 7/15/2023 | 300,000 | 324,750 | ||||||||||
| Anglo American Capital PLC: | ||||||||||||
| 144A, 4.125%, 9/27/2022 | 200,000 | 207,500 | ||||||||||
| 144A, 4.75%, 4/10/2027 | 200,000 | 210,000 | ||||||||||
| 144A, 4.875%, 5/14/2025 | 300,000 | 318,360 | ||||||||||
| Ardagh Packaging Finance PLC: | ||||||||||||
| 144A, 6.0%, 2/15/2025 | 200,000 | 213,000 | ||||||||||
| 144A, 7.25%, 5/15/2024 | 200,000 | 220,620 | ||||||||||
| Ball Corp., 4.375%, 12/15/2020 | 45,000 | 47,025 | ||||||||||
| Berry Plastics Corp., 5.5%, 5/15/2022 | 160,000 | 166,000 | ||||||||||
| BWAY Holding Co., 144A, 5.5%, 4/15/2024 | 235,000 | 245,281 | ||||||||||
| Cascades, Inc., 144A, 5.5%, 7/15/2022 | 55,000 | 56,925 | ||||||||||
| Chemours Co.: | ||||||||||||
| 5.375%, 5/15/2027 | 145,000 | 151,162 | ||||||||||
| 6.625%, 5/15/2023 | 60,000 | 63,675 | ||||||||||
| 7.0%, 5/15/2025 | 25,000 | 27,563 | ||||||||||
| Clearwater Paper Corp., 144A, 5.375%, 2/1/2025 | 55,000 | 53,900 | ||||||||||
| Constellium NV: | ||||||||||||
| 144A, 6.625%, 3/1/2025 | 250,000 | 262,500 | ||||||||||
| 144A, 7.875%, 4/1/2021 | 250,000 | 265,625 | ||||||||||
| FMG Resources (August 2006) Pty Ltd., 144A, 5.125%, 5/15/2024 | 70,000 | 72,625 | ||||||||||
| Freeport-McMoRan, Inc.: | ||||||||||||
| 2.3%, 11/14/2017 | 225,000 | 225,000 | ||||||||||
| 2.375%, 3/15/2018 | 495,000 | 495,000 | ||||||||||
| 3.55%, 3/1/2022 | 150,000 | 147,563 | ||||||||||
| 3.875%, 3/15/2023 | 100,000 | 99,000 | ||||||||||
| 5.4%, 11/14/2034 | 110,000 | 105,875 | ||||||||||
| Greif, Inc., 7.75%, 8/1/2019 | 230,000 | 250,125 | ||||||||||
| Hexion, Inc.: | ||||||||||||
| 6.625%, 4/15/2020 | 50,000 | 45,500 | ||||||||||
| 144A, 10.375%, 2/1/2022 | 25,000 | 24,375 | ||||||||||
| Hudbay Minerals, Inc.: | ||||||||||||
| 144A, 7.25%, 1/15/2023 | 120,000 | 129,000 | ||||||||||
| 144A, 7.625%, 1/15/2025 | 30,000 | 33,075 | ||||||||||
| Huntsman International LLC, 5.125%, 11/15/2022 | 250,000 | 264,375 | ||||||||||
| Kaiser Aluminum Corp., 5.875%, 5/15/2024 | 80,000 | 85,600 | ||||||||||
| Mercer International, Inc., 144A, 6.5%, 2/1/2024 | 70,000 | 72,975 | ||||||||||
| NOVA Chemicals Corp.: | ||||||||||||
| 144A, 4.875%, 6/1/2024 | 250,000 | 250,000 | ||||||||||
| 144A, 5.25%, 6/1/2027 | 165,000 | 164,587 | ||||||||||
| Plastipak Holdings, Inc., 144A, 6.5%, 10/1/2021 | 100,000 | 103,250 | ||||||||||
| Reynolds Group Issuer, Inc.: | ||||||||||||
| 144A, 5.125%, 7/15/2023 | 175,000 | 182,383 | ||||||||||
| 5.75%, 10/15/2020 | 920,000 | 937,149 | ||||||||||
| 6.875%, 2/15/2021 | 132,868 | 136,356 | ||||||||||
| 144A, 7.0%, 7/15/2024 | 20,000 | 21,425 | ||||||||||
| Sealed Air Corp.: | ||||||||||||
| 144A, 4.875%, 12/1/2022 | 35,000 | 36,838 | ||||||||||
| 144A, 5.125%, 12/1/2024 | 15,000 | 15,938 | ||||||||||
| Teck Resources Ltd.: | ||||||||||||
| 3.75%, 2/1/2023 | 250,000 | 251,737 | ||||||||||
| 4.75%, 1/15/2022 | 500,000 | 523,750 | ||||||||||
| 5.4%, 2/1/2043 | 150,000 | 149,625 | ||||||||||
| 144A, 8.5%, 6/1/2024 | 30,000 | 34,575 | ||||||||||
| Tronox Finance LLC, 6.375%, 8/15/2020 | 275,000 | 279,469 | ||||||||||
| United States Steel Corp.: | ||||||||||||
| 6.875%, 8/15/2025 | 185,000 | 188,237 | ||||||||||
| 144A, 8.375%, 7/1/2021 | 185,000 | 204,425 | ||||||||||
| Volcan Cia Minera SAA, 144A, 5.375%, 2/2/2022 | 420,000 | 437,514 | ||||||||||
| WR Grace & Co-Conn: | ||||||||||||
| 144A, 5.125%, 10/1/2021 | 30,000 | 32,625 | ||||||||||
| 144A, 5.625%, 10/1/2024 | 15,000 | 16,275 | ||||||||||
| 9,336,582 | ||||||||||||
| Real Estate 2.8% | ||||||||||||
| CyrusOne LP: | ||||||||||||
| 144A, (REIT), 5.0%, 3/15/2024 | 55,000 | 57,475 | ||||||||||
| 144A, (REIT), 5.375%, 3/15/2027 | 70,000 | 74,025 | ||||||||||
| Equinix, Inc.: | ||||||||||||
| (REIT), 5.375%, 1/1/2022 | 70,000 | 73,325 | ||||||||||
| (REIT), 5.375%, 4/1/2023 | 265,000 | 276,262 | ||||||||||
| (REIT), 5.375%, 5/15/2027 | 210,000 | 226,013 | ||||||||||
| (REIT), 5.75%, 1/1/2025 | 50,000 | 53,750 | ||||||||||
| (REIT), 5.875%, 1/15/2026 | 50,000 | 54,875 | ||||||||||
| Howard Hughes Corp., 144A, 5.375%, 3/15/2025 | 260,000 | 260,172 | ||||||||||
| Iron Mountain, Inc., 144A, (REIT), 4.375%, 6/1/2021 | 60,000 | 62,196 | ||||||||||
| MPT Operating Partnership LP: | ||||||||||||
| (REIT), 5.25%, 8/1/2026 | 20,000 | 20,750 | ||||||||||
| (REIT), 6.375%, 2/15/2022 | 110,000 | 113,988 | ||||||||||
| (REIT), 6.375%, 3/1/2024 | 105,000 | 114,056 | ||||||||||
| VEREIT Operating Partnership LP: | ||||||||||||
| (REIT), 4.125%, 6/1/2021 | 125,000 | 131,257 | ||||||||||
| (REIT), 4.875%, 6/1/2026 | 50,000 | 53,705 | ||||||||||
| 1,571,849 | ||||||||||||
| Telecommunication Services 8.8% | ||||||||||||
| CenturyLink, Inc.: | ||||||||||||
| Series V, 5.625%, 4/1/2020 | 40,000 | 41,550 | ||||||||||
| Series T, 5.8%, 3/15/2022 | 150,000 | 149,062 | ||||||||||
| Series S, 6.45%, 6/15/2021 | 165,000 | 172,631 | ||||||||||
| Series W, 6.75%, 12/1/2023 | 185,000 | 188,931 | ||||||||||
| Series Y, 7.5%, 4/1/2024 | 165,000 | 172,837 | ||||||||||
| CommScope Technologies LLC, 144A, 5.0%, 3/15/2027 | 70,000 | 69,759 | ||||||||||
| CommScope, Inc., 144A, 5.0%, 6/15/2021 | 95,000 | 97,494 | ||||||||||
| Frontier Communications Corp.: | ||||||||||||
| 6.25%, 9/15/2021 | 45,000 | 38,363 | ||||||||||
| 7.125%, 1/15/2023 | 235,000 | 184,475 | ||||||||||
| 8.5%, 4/15/2020 | 35,000 | 34,606 | ||||||||||
| 10.5%, 9/15/2022 | 220,000 | 198,000 | ||||||||||
| Hughes Satellite Systems Corp., 7.625%, 6/15/2021 | 90,000 | 102,488 | ||||||||||
| Intelsat Jackson Holdings SA, 144A, 8.0%, 2/15/2024 | 186,000 | 200,238 | ||||||||||
| Level 3 Financing, Inc.: | ||||||||||||
| 5.375%, 8/15/2022 | 215,000 | 221,192 | ||||||||||
| 5.375%, 1/15/2024 | 60,000 | 61,332 | ||||||||||
| 6.125%, 1/15/2021 | 60,000 | 61,432 | ||||||||||
| Millicom International Cellular SA, 144A, 6.0%, 3/15/2025 | 200,000 | 214,040 | ||||||||||
| Sprint Capital Corp., 8.75%, 3/15/2032 | 80,000 | 99,200 | ||||||||||
| Sprint Communications, Inc.: | ||||||||||||
| 144A, 7.0%, 3/1/2020 | 85,000 | 93,075 | ||||||||||
| 7.0%, 8/15/2020 | 500,000 | 548,125 | ||||||||||
| Sprint Corp., 7.125%, 6/15/2024 | 440,000 | 484,000 | ||||||||||
| T-Mobile U.S.A., Inc.: | ||||||||||||
| 6.0%, 4/15/2024 | 351,000 | 373,376 | ||||||||||
| 6.125%, 1/15/2022 | 40,000 | 41,700 | ||||||||||
| 6.375%, 3/1/2025 | 151,000 | 162,608 | ||||||||||
| 6.5%, 1/15/2026 | 5,000 | 5,538 | ||||||||||
| Telesat Canada, 144A, 8.875%, 11/15/2024 | 80,000 | 89,600 | ||||||||||
| Wind Acquisition Finance SA, 144A, 6.5%, 4/30/2020 | 80,000 | 83,100 | ||||||||||
| Zayo Group LLC: | ||||||||||||
| 144A, 5.75%, 1/15/2027 | 390,000 | 413,880 | ||||||||||
| 6.0%, 4/1/2023 | 205,000 | 216,982 | ||||||||||
| 6.375%, 5/15/2025 | 139,000 | 149,382 | ||||||||||
| 4,968,996 | ||||||||||||
| Utilities 2.6% | ||||||||||||
| AmeriGas Partners LP: | ||||||||||||
| 5.5%, 5/20/2025 | 160,000 | 162,000 | ||||||||||
| 5.75%, 5/20/2027 | 145,000 | 146,450 | ||||||||||
| Calpine Corp., 5.75%, 1/15/2025 | 55,000 | 50,446 | ||||||||||
| Dynegy, Inc.: | ||||||||||||
| 7.375%, 11/1/2022 | 100,000 | 103,500 | ||||||||||
| 7.625%, 11/1/2024 | 140,000 | 144,375 | ||||||||||
| 144A, 8.125%, 1/30/2026 | 65,000 | 67,112 | ||||||||||
| NGL Energy Partners LP, 5.125%, 7/15/2019 | 70,000 | 68,950 | ||||||||||
| NRG Energy, Inc.: | ||||||||||||
| 6.25%, 7/15/2022 | 500,000 | 523,750 | ||||||||||
| 6.625%, 1/15/2027 | 45,000 | 47,250 | ||||||||||
| 7.25%, 5/15/2026 | 160,000 | 171,600 | ||||||||||
| 7.875%, 5/15/2021 | 6,000 | 6,195 | ||||||||||
| 1,491,628 | ||||||||||||
| Total Corporate Bonds (Cost $50,623,581) | 52,398,948 | |||||||||||
| Asset-Backed 3.3% | ||||||||||||
| Miscellaneous | ||||||||||||
| Apidos CLO XXI, "C", Series 2015-21A, 144A, 3-month USD-LIBOR + 3.550%, 4.708% **, 7/18/2027 | 375,000 | 375,715 | ||||||||||
| Babson CLO Ltd., "D", Series 2015-2A, 144A, 3-month USD-LIBOR + 3.800%, 4.956% **, 7/20/2027 | 1,000,000 | 1,000,013 | ||||||||||
| Cumberland Park CLO Ltd., "D", Series 2015-2A, 144A, 3-month USD-LIBOR + 3.400%, 4.556% **, 7/20/2026 | 500,000 | 499,368 | ||||||||||
| Total Asset-Backed (Cost $1,831,978) | 1,875,096 | |||||||||||
| Government & Agency Obligations 4.5% | ||||||||||||
| Other Government Related (b) 0.9% | ||||||||||||
| Southern Gas Corridor CJSC, 144A, 6.875%, 3/24/2026 | 200,000 | 223,620 | ||||||||||
| VTB Bank OJSC, 144A, 6.315%, 2/22/2018 | 265,000 | 269,350 | ||||||||||
| 492,970 | ||||||||||||
| Sovereign Bonds 3.6% | ||||||||||||
| Dominican Republic, 144A, 6.875%, 1/29/2026 | 100,000 | 115,000 | ||||||||||
| KazAgro National Management Holding JSC, 144A, 4.625%, 5/24/2023 | 250,000 | 250,870 | ||||||||||
| Perusahaan Penerbit SBSN, 144A, 4.325%, 5/28/2025 | 200,000 | 211,000 | ||||||||||
| Republic of Argentina-Inflation Linked Bond, 5.83%, 12/31/2033 | ARS | 481 | 215 | |||||||||
| Republic of Hungary, Series 19/A, 6.5%, 6/24/2019 | HUF | 11,600,000 | 50,367 | |||||||||
| Republic of Panama, 9.375%, 1/16/2023 | 665,000 | 847,875 | ||||||||||
| Republic of Sri Lanka: | ||||||||||||
| 144A, 5.125%, 4/11/2019 | 200,000 | 205,498 | ||||||||||
| 144A, 5.75%, 1/18/2022 | 365,000 | 385,611 | ||||||||||
| 2,066,436 | ||||||||||||
| Total Government & Agency Obligations (Cost $2,479,456) | 2,559,406 | |||||||||||
| Loan Participations and Assignments 28.5% | ||||||||||||
| Senior Loans ** | ||||||||||||
| Consumer Discretionary 7.6% | ||||||||||||
| 1011778 B.C. Unlimited Liability Co., Term Loan B3, 1-month USD-LIBOR + 2.250%, 3.511%, 2/16/2024 | 425,064 | 424,333 | ||||||||||
| Altice U.S. Finance I Corp., Term Loan, 1-month USD-LIBOR + 2.250%, 3.484%, 7/28/2025 | 406,292 | 404,134 | ||||||||||
| Atlantic Broadband Finance LLC, Term Loan B, 1-month USD-LIBOR + 2.500%, 3.739%, 11/30/2019 | 967,575 | 962,012 | ||||||||||
| Hilton Worldwide Finance LLC, Term Loan B2, 1-month USD-LIBOR + 2.000%, 3.234%, 10/25/2023 | 870,684 | 874,576 | ||||||||||
| Quebecor Media, Inc., Term Loan B1, 3-month USD-LIBOR + 2.250%, 3.565%, 8/17/2020 | 924,031 | 930,000 | ||||||||||
| Visteon Corp., Term Delay Draw B, 3-month USD-LIBOR + 2.250%, 3.546%, 3/24/2024 | 700,000 | 703,206 | ||||||||||
| 4,298,261 | ||||||||||||
| Consumer Staples 2.4% | ||||||||||||
| Albertson's LLC, Term Loan B6, 3-month USD-LIBOR + 3.000%, 4.317%, 6/22/2023 | 329,538 | 321,230 | ||||||||||
| Pinnacle Foods Finance LLC, Term Loan B, 1-month USD-LIBOR + 2.000%, 3.232%, 2/2/2024 | 1,039,775 | 1,044,163 | ||||||||||
| 1,365,393 | ||||||||||||
| Energy 0.1% | ||||||||||||
| MEG Energy Corp., Term Loan B, 1-month USD-LIBOR + 3.500%, 4.734%, 12/31/2023 | 40,100 | 39,861 | ||||||||||
| Health Care 2.8% | ||||||||||||
| Community Health Systems, Inc.: | ||||||||||||
| Term Loan G, 3-month USD-LIBOR + 2.750%, 4.067% 12/31/2019 | 59,525 | 59,462 | ||||||||||
| Term Loan H, 3-month USD-LIBOR + 3.000%, 4.317% 1/27/2021 | 103,348 | 102,972 | ||||||||||
| DaVita HealthCare Partners, Inc., Term Loan B, 1-month USD-LIBOR + 2.750%, 3.989%, 6/24/2021 | 1,101,920 | 1,111,286 | ||||||||||
| Valeant Pharmaceuticals International, Inc., Term Loan B, 1-month USD-LIBOR + 4.750%, 5.99%, 4/1/2022 | 296,145 | 301,529 | ||||||||||
| 1,575,249 | ||||||||||||
| Industrials 4.0% | ||||||||||||
| Ply Gem Industries, Inc., Term Loan, 3-month USD-LIBOR + 3.000%, 4.296%, 2/1/2021 | 596,138 | 601,357 | ||||||||||
| Sabre GLBL, Inc., Term Loan B, 3-month USD-LIBOR + 2.750%, 3.984%, 2/22/2024 | 491,415 | 493,951 | ||||||||||
| TransDigm, Inc., Term Loan F, 1-month USD-LIBOR + 3.000%, 4.239%, 6/9/2023 | 466,142 | 467,469 | ||||||||||
| Waste Industries U.S.A., Inc., Term Loan, 1-month USD-LIBOR + 2.750%, 3.989%, 2/27/2020 | 687,688 | 689,731 | ||||||||||
| 2,252,508 | ||||||||||||
| Information Technology 1.1% | ||||||||||||
| First Data Corp., Term Loan, 1-month USD-LIBOR + 2.500%, 3.736%, 4/26/2024 | 611,043 | 612,060 | ||||||||||
| Materials 3.8% | ||||||||||||
| American Rock Salt Co., LLC, First Lien Term Loan, 1-month USD-LIBOR + 3.750%, 4.989%, 5/20/2021 | 721,943 | 723,449 | ||||||||||
| Berry Plastics Group, Inc.: | ||||||||||||
| Term Loan K, 1-month USD-LIBOR + 2.250%, 3.481% 2/8/2020 | 562,567 | 564,010 | ||||||||||
| Term Loan L, 1-month USD-LIBOR + 2.250%, 3.481% 1/6/2021 | 304,001 | 304,477 | ||||||||||
| MacDermid, Inc., Term Loan B6, 1-month USD-LIBOR + 3.000%, 4.234%, 6/7/2023 | 423,951 | 426,205 | ||||||||||
| PolyOne Corp., Term Loan B3, 1-month USD-LIBOR + 2.000%, 3.227%, 11/11/2022 | 162,526 | 163,288 | ||||||||||
| 2,181,429 | ||||||||||||
| Telecommunication Services 1.6% | ||||||||||||
| DigitalGlobe, Inc., Term Loan B, 1-month USD-LIBOR + 2.750%, 3.989%, 1/15/2024 | 218,900 | 219,140 | ||||||||||
| Level 3 Financing, Inc., Term Loan B, 1-month USD-LIBOR + 2.250%, 3.485%, 2/22/2024 | 665,000 | 665,778 | ||||||||||
| 884,918 | ||||||||||||
| Utilities 5.1% | ||||||||||||
| Calpine Corp., Term Loan B5, 3-month USD-LIBOR + 2.750%, 4.05%, 1/15/2024 | 1,817,900 | 1,814,910 | ||||||||||
| NRG Energy, Inc., Term Loan B, 3-month USD-LIBOR + 2.250%, 3.546%, 6/30/2023 | 1,099,956 | 1,100,159 | ||||||||||
| 2,915,069 | ||||||||||||
| Total Loan Participations and Assignments (Cost $16,095,782) | 16,124,748 | |||||||||||
| Convertible Bond 0.2% | ||||||||||||
| Materials | ||||||||||||
| GEO Specialty Chemicals, Inc., 144A, 7.5%, 10/30/2018 (PIK) (c) (Cost $120,515) | 120,148 | 116,484 | ||||||||||
| Shares | Value ($) | |||||||||||
| Common Stocks 0.0% | ||||||||||||
| Industrials 0.0% | ||||||||||||
| Quad Graphics, Inc. | 31 | 591 | ||||||||||
| Materials 0.0% | ||||||||||||
| GEO Specialty Chemicals, Inc.* (c) | 11,502 | 4,281 | ||||||||||
| Total Common Stocks (Cost $19,550) | 4,872 | |||||||||||
| Warrant 0.0% | ||||||||||||
| Materials | ||||||||||||
| Hercules Trust II, Expiration Date 3/31/2029* (c) (Cost $20,981) | 95 | 881 | ||||||||||
| Cash Equivalents 3.3% | ||||||||||||
| Deutsche Central Cash Management Government Fund, 1.06% (d) (Cost $1,893,239) | 1,893,239 | 1,893,239 | ||||||||||
| % of Net Assets |
Value ($) | |||||||||||
| Total Investment Portfolio (Cost $73,085,082) | 132.3 | 74,973,674 | ||||||||||
| Other Assets and Liabilities, Net | 1.2 | 703,808 | ||||||||||
| Notes Payable | (33.5) | (19,000,000) | ||||||||||
| Net Assets | 100.0 | 56,677,482 | ||||||||||
| 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. | |
| * | Non-income producing security. |
| ** | Floating rate security. These securities are shown at their current rate as of August 31, 2017. |
| (a) | Principal amount stated in U.S. dollars unless otherwise noted. |
| (b) | Government-backed debt issued by financial companies or government sponsored enterprises. |
| (c) | Investment was valued using significant unobservable inputs. |
| (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. | |
| CJSC: Closed Joint Stock Company | |
| CLO: Collateralized Loan Obligation | |
| JSC: Joint Stock Company | |
| LIBOR: London Interbank Offered Rate | |
| OJSC: Open Joint Stock Company | |
| PIK: Denotes that all or a portion of the income is paid in-kind in the form of additional principal. | |
| REIT: Real Estate Investment Trust | |
| SBSN: Surat Berharga Syariah Negara (Islamic Based Government Securities) | |
| Currency Abbreviations | |||
| ARS | Argentine Peso | ||
| HUF | Hungarian Forint | ||
Fair Value Measurements
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities.
The following is a summary of the inputs used as of August 31, 2017 in valuing the Fund's investments.
| Assets | Level 1 | Level 2 | Level 3 | Total | |||||
| Fixed Income Investments (e) | |||||||||
| Corporate Bonds | $ | — | $ | 52,398,948 | $ | — | $ | 52,398,948 | |
| Asset-Backed | — | 1,875,096 | — | 1,875,096 | |||||
| Government & Agency Obligations | — | 2,559,406 | — | 2,559,406 | |||||
| Loan Participations and Assignments | — | 16,124,748 | — | 16,124,748 | |||||
| Convertible Bond | — | — | 116,484 | 116,484 | |||||
| Common Stocks | 591 | — | 4,281 | 4,872 | |||||
| Warrant | — | — | 881 | 881 | |||||
| Short-Term Investments (d) | 1,893,239 | — | — | 1,893,239 | |||||
| Total | $ | 1,893,830 | $ | 72,958,198 | $ | 121,646 | $ | 74,973,674 | |
| There have been no transfers between fair value measurement levels during the period ended August 31, 2017. | |
| (e) | See Investment Portfolio for additional detailed categorizations. |
| ITEM 2. | CONTROLS AND PROCEDURES |
| (a) The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report. | |
| (b) There have been no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting. | |
| ITEM 3. | EXHIBITS |
| Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| Registrant: | Deutsche Strategic Income Trust |
| By: |
/s/Brian E. Binder Brian E. Binder President |
| Date: | October 23, 2017 |
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, 2017 |
| By: |
/s/Paul Schubert Paul Schubert Chief Financial Officer and Treasurer |
| Date: | October 23, 2017 |