|
ITEM 1.
|
SCHEDULE OF INVESTMENTS
|
| Investment Portfolio | as of August 31, 2012 (Unaudited) |
|
Principal
Amount ($) (a)
|
Value ($)
|
|||||||||
|
Corporate Bonds 106.0%
|
||||||||||
|
Consumer Discretionary 18.9%
|
||||||||||
|
AMC Entertainment, Inc., 8.75%, 6/1/2019
|
200,000
|
219,000
|
||||||||
|
AMC Networks, Inc., 7.75%, 7/15/2021
|
35,000
|
39,638
|
||||||||
|
Asbury Automotive Group, Inc.:
|
||||||||||
|
7.625%, 3/15/2017
|
55,000
|
57,063
|
||||||||
|
8.375%, 11/15/2020
|
80,000
|
88,400
|
||||||||
|
AutoNation, Inc., 6.75%, 4/15/2018
|
100,000
|
112,250
|
||||||||
|
Avis Budget Car Rental LLC:
|
||||||||||
|
8.25%, 1/15/2019
|
95,000
|
102,600
|
||||||||
|
9.625%, 3/15/2018
|
45,000
|
49,950
|
||||||||
|
Beazer Homes U.S.A., Inc., 9.125%, 6/15/2018
|
25,000
|
24,688
|
||||||||
|
Block Communications, Inc., 144A, 7.25%, 2/1/2020
|
155,000
|
163,137
|
||||||||
|
Bresnan Broadband Holdings LLC, 144A, 8.0%, 12/15/2018
|
185,000
|
196,100
|
||||||||
|
Cablevision Systems Corp.:
|
||||||||||
|
7.75%, 4/15/2018
|
475,000
|
514,187
|
||||||||
|
8.0%, 4/15/2020
|
25,000
|
27,688
|
||||||||
|
Caesar's Entertainment Operating Co., Inc.:
|
||||||||||
|
144A, 8.5%, 2/15/2020
|
155,000
|
152,869
|
||||||||
|
10.0%, 12/15/2018
|
80,000
|
50,400
|
||||||||
|
11.25%, 6/1/2017
|
470,000
|
506,425
|
||||||||
|
CCO Holdings LLC:
|
||||||||||
|
5.25%, 9/30/2022
|
535,000
|
529,650
|
||||||||
|
6.5%, 4/30/2021
|
1,115,000
|
1,195,837
|
||||||||
|
6.625%, 1/31/2022
|
175,000
|
189,437
|
||||||||
|
7.0%, 1/15/2019
|
45,000
|
48,938
|
||||||||
|
7.25%, 10/30/2017
|
425,000
|
465,375
|
||||||||
|
7.375%, 6/1/2020
|
20,000
|
22,200
|
||||||||
|
7.875%, 4/30/2018
|
40,000
|
43,400
|
||||||||
|
8.125%, 4/30/2020
|
25,000
|
28,125
|
||||||||
|
Cequel Communications Holdings I LLC, 144A, 8.625%, 11/15/2017
|
655,000
|
703,306
|
||||||||
|
Chester Downs & Marina LLC, 144A, 9.25%, 2/1/2020
|
30,000
|
30,300
|
||||||||
|
Clear Channel Communications, Inc., 9.0%, 3/1/2021
|
25,000
|
21,438
|
||||||||
|
Clear Channel Worldwide Holdings, Inc.:
|
||||||||||
|
Series A, 7.625%, 3/15/2020
|
20,000
|
19,100
|
||||||||
|
Series B, 7.625%, 3/15/2020
|
230,000
|
223,100
|
||||||||
|
Series A, 9.25%, 12/15/2017
|
30,000
|
32,475
|
||||||||
|
Series B, 9.25%, 12/15/2017
|
45,000
|
48,881
|
||||||||
|
Crown Media Holdings, Inc., 10.5%, 7/15/2019
|
60,000
|
66,150
|
||||||||
|
Cumulus Media Holdings, Inc., 7.75%, 5/1/2019
|
50,000
|
47,250
|
||||||||
|
DineEquity, Inc., 9.5%, 10/30/2018
|
115,000
|
129,088
|
||||||||
|
DISH DBS Corp.:
|
||||||||||
|
144A, 4.625%, 7/15/2017
|
400,000
|
404,000
|
||||||||
|
6.75%, 6/1/2021
|
30,000
|
31,950
|
||||||||
|
7.125%, 2/1/2016
|
90,000
|
99,000
|
||||||||
|
Fontainebleau Las Vegas Holdings LLC, 144A, 11.0%, 6/15/2015 *
|
70,000
|
44
|
||||||||
|
Harron Communications LP, 144A, 9.125%, 4/1/2020
|
110,000
|
119,075
|
||||||||
|
Hertz Corp.:
|
||||||||||
|
6.75%, 4/15/2019
|
30,000
|
31,500
|
||||||||
|
144A, 6.75%, 4/15/2019
|
90,000
|
94,500
|
||||||||
|
7.5%, 10/15/2018
|
320,000
|
345,200
|
||||||||
|
Lear Corp.:
|
||||||||||
|
7.875%, 3/15/2018
|
36,000
|
39,465
|
||||||||
|
8.125%, 3/15/2020
|
36,000
|
40,500
|
||||||||
|
Libbey Glass, Inc., 144A, 6.875%, 5/15/2020
|
50,000
|
53,313
|
||||||||
|
Limited Brands, Inc., 7.0%, 5/1/2020
|
65,000
|
73,206
|
||||||||
|
Lions Gate Entertainment, Inc., 144A, 10.25%, 11/1/2016
|
105,000
|
117,075
|
||||||||
|
Mediacom Broadband LLC:
|
||||||||||
|
144A, 6.375%, 4/1/2023
|
155,000
|
154,612
|
||||||||
|
8.5%, 10/15/2015
|
68,000
|
69,445
|
||||||||
|
Mediacom LLC:
|
||||||||||
|
7.25%, 2/15/2022
|
45,000
|
47,756
|
||||||||
|
9.125%, 8/15/2019
|
140,000
|
155,750
|
||||||||
|
MGM Resorts International:
|
||||||||||
|
7.5%, 6/1/2016
|
40,000
|
41,750
|
||||||||
|
7.625%, 1/15/2017
|
100,000
|
103,375
|
||||||||
|
144A, 8.625%, 2/1/2019
|
340,000
|
362,100
|
||||||||
|
9.0%, 3/15/2020
|
160,000
|
178,600
|
||||||||
|
10.0%, 11/1/2016
|
40,000
|
44,550
|
||||||||
|
10.375%, 5/15/2014
|
75,000
|
85,125
|
||||||||
|
11.125%, 11/15/2017
|
90,000
|
100,125
|
||||||||
|
Michaels Stores, Inc., 13.0%, 11/1/2016
|
15,000
|
15,881
|
||||||||
|
National CineMedia LLC:
|
||||||||||
|
144A, 6.0%, 4/15/2022
|
85,000
|
88,400
|
||||||||
|
7.875%, 7/15/2021
|
100,000
|
108,250
|
||||||||
|
Norcraft Companies LP, 10.5%, 12/15/2015
|
170,000
|
169,150
|
||||||||
|
Palace Entertainment Holdings LLC, 144A, 8.875%, 4/15/2017
|
75,000
|
78,563
|
||||||||
|
Penske Automotive Group, Inc., 144A, 5.75%, 10/1/2022
|
115,000
|
117,300
|
||||||||
|
PETCO Animal Supplies, Inc., 144A, 9.25%, 12/1/2018
|
60,000
|
66,750
|
||||||||
|
Regal Entertainment Group, 9.125%, 8/15/2018
|
65,000
|
72,475
|
||||||||
|
Seminole Indian Tribe of Florida:
|
||||||||||
|
144A, 7.75%, 10/1/2017
|
80,000
|
88,000
|
||||||||
|
144A, 7.804%, 10/1/2020
|
140,000
|
141,253
|
||||||||
|
Sirius XM Radio, Inc.:
|
||||||||||
|
144A, 5.25%, 8/15/2022
|
40,000
|
40,000
|
||||||||
|
144A, 8.75%, 4/1/2015
|
335,000
|
381,900
|
||||||||
|
Sonic Automotive, Inc.:
|
||||||||||
|
144A, 7.0%, 7/15/2022
|
40,000
|
42,650
|
||||||||
|
Series B, 9.0%, 3/15/2018
|
95,000
|
103,788
|
||||||||
|
Toys "R" US-Delaware, Inc., 144A, 7.375%, 9/1/2016
|
70,000
|
70,525
|
||||||||
|
UCI International, Inc., 8.625%, 2/15/2019
|
45,000
|
44,944
|
||||||||
|
Unitymedia Hessen GmbH & Co., KG:
|
||||||||||
|
144A, 7.5%, 3/15/2019
|
150,000
|
164,437
|
||||||||
|
144A, 8.125%, 12/1/2017
|
510,000
|
552,075
|
||||||||
|
Unitymedia KabelBW GmbH, 144A, 9.625%, 12/1/2019
|
EUR
|
160,000
|
226,152
|
|||||||
|
Univision Communications, Inc.:
|
||||||||||
|
144A, 6.875%, 5/15/2019
|
20,000
|
20,650
|
||||||||
|
144A, 7.875%, 11/1/2020
|
50,000
|
53,625
|
||||||||
|
144A, 8.5%, 5/15/2021
|
30,000
|
30,375
|
||||||||
|
UPC Holding BV:
|
||||||||||
|
144A, 8.375%, 8/15/2020
|
EUR
|
165,000
|
226,215
|
|||||||
|
144A, 9.75%, 4/15/2018
|
EUR
|
180,000
|
242,252
|
|||||||
|
Videotron Ltd., 9.125%, 4/15/2018
|
90,000
|
98,100
|
||||||||
|
Visant Corp., 10.0%, 10/1/2017
|
80,000
|
79,200
|
||||||||
|
Visteon Corp., 6.75%, 4/15/2019
|
160,000
|
162,600
|
||||||||
|
Yonkers Racing Corp., 144A, 11.375%, 7/15/2016
|
65,000
|
68,900
|
||||||||
|
12,494,871
|
||||||||||
|
Consumer Staples 2.3%
|
||||||||||
|
Alliance One International, Inc., 10.0%, 7/15/2016
|
55,000
|
55,894
|
||||||||
|
B&G Foods, Inc., 7.625%, 1/15/2018
|
90,000
|
97,594
|
||||||||
|
Central Garden & Pet Co., 8.25%, 3/1/2018
|
35,000
|
36,575
|
||||||||
|
Constellation Brands, Inc., 6.0%, 5/1/2022
|
40,000
|
44,950
|
||||||||
|
Darling International, Inc., 8.5%, 12/15/2018
|
165,000
|
186,862
|
||||||||
|
Del Monte Corp., 7.625%, 2/15/2019
|
155,000
|
154,806
|
||||||||
|
Dole Food Co., Inc., 144A, 8.0%, 10/1/2016
|
35,000
|
36,575
|
||||||||
|
FAGE Dairy Industry SA, 144A, 9.875%, 2/1/2020
|
90,000
|
84,375
|
||||||||
|
JBS U.S.A. LLC, 144A, 8.25%, 2/1/2020
|
65,000
|
62,075
|
||||||||
|
NBTY, Inc., 9.0%, 10/1/2018
|
50,000
|
55,875
|
||||||||
|
Pilgrim's Pride Corp., 7.875%, 12/15/2018
|
60,000
|
57,075
|
||||||||
|
Smithfield Foods, Inc.:
|
||||||||||
|
6.625%, 8/15/2022
|
95,000
|
97,256
|
||||||||
|
7.75%, 7/1/2017
|
150,000
|
167,438
|
||||||||
|
SUPERVALU, Inc., 8.0%, 5/1/2016
|
65,000
|
58,175
|
||||||||
|
Tops Holding Corp., 10.125%, 10/15/2015
|
120,000
|
126,675
|
||||||||
|
TreeHouse Foods, Inc., 7.75%, 3/1/2018
|
100,000
|
109,000
|
||||||||
|
U.S. Foods, Inc., 144A, 8.5%, 6/30/2019
|
80,000
|
81,800
|
||||||||
|
1,513,000
|
||||||||||
|
Energy 13.2%
|
||||||||||
|
Access Midstream Partners LP, 6.125%, 7/15/2022
|
135,000
|
140,062
|
||||||||
|
Alpha Natural Resources, Inc., 6.0%, 6/1/2019
|
135,000
|
121,500
|
||||||||
|
Arch Coal, Inc.:
|
||||||||||
|
7.0%, 6/15/2019
|
45,000
|
40,725
|
||||||||
|
7.25%, 10/1/2020
|
40,000
|
36,200
|
||||||||
|
7.25%, 6/15/2021
|
75,000
|
67,688
|
||||||||
|
Berry Petroleum Co., 6.75%, 11/1/2020
|
90,000
|
96,300
|
||||||||
|
BreitBurn Energy Partners LP, 8.625%, 10/15/2020
|
40,000
|
43,000
|
||||||||
|
Chesapeake Energy Corp.:
|
||||||||||
|
6.875%, 11/15/2020
|
70,000
|
72,625
|
||||||||
|
7.25%, 12/15/2018
|
535,000
|
560,412
|
||||||||
|
9.5%, 2/15/2015
|
905,000
|
993,237
|
||||||||
|
Chesapeake Oilfield Operating LLC, 144A, 6.625%, 11/15/2019
|
85,000
|
81,600
|
||||||||
|
Cimarex Energy Co., 5.875%, 5/1/2022
|
85,000
|
90,950
|
||||||||
|
CITGO Petroleum Corp., 144A, 11.5%, 7/1/2017
|
100,000
|
115,000
|
||||||||
|
Cloud Peak Energy Resources LLC:
|
||||||||||
|
8.25%, 12/15/2017
|
45,000
|
48,825
|
||||||||
|
8.5%, 12/15/2019
|
45,000
|
49,950
|
||||||||
|
CONSOL Energy, Inc.:
|
||||||||||
|
6.375%, 3/1/2021
|
30,000
|
29,700
|
||||||||
|
8.0%, 4/1/2017
|
100,000
|
107,750
|
||||||||
|
Continental Resources, Inc.:
|
||||||||||
|
144A, 5.0%, 9/15/2022
|
65,000
|
67,763
|
||||||||
|
7.125%, 4/1/2021
|
60,000
|
67,200
|
||||||||
|
7.375%, 10/1/2020
|
65,000
|
72,963
|
||||||||
|
8.25%, 10/1/2019
|
30,000
|
33,900
|
||||||||
|
Crestwood Midstream Partners LP, 7.75%, 4/1/2019
|
225,000
|
228,375
|
||||||||
|
Crosstex Energy LP:
|
||||||||||
|
144A, 7.125%, 6/1/2022
|
40,000
|
39,800
|
||||||||
|
8.875%, 2/15/2018
|
115,000
|
122,762
|
||||||||
|
Dresser-Rand Group, Inc., 6.5%, 5/1/2021
|
155,000
|
162,750
|
||||||||
|
Eagle Rock Energy Partners LP, 8.375%, 6/1/2019
|
105,000
|
102,375
|
||||||||
|
El Paso LLC, 7.25%, 6/1/2018
|
105,000
|
121,246
|
||||||||
|
EP Energy LLC:
|
||||||||||
|
144A, 6.875%, 5/1/2019
|
140,000
|
150,150
|
||||||||
|
144A, 7.75%, 9/1/2022
|
35,000
|
35,088
|
||||||||
|
144A, 9.375%, 5/1/2020
|
30,000
|
32,625
|
||||||||
|
EV Energy Partners LP, 8.0%, 4/15/2019
|
340,000
|
351,050
|
||||||||
|
Frontier Oil Corp.:
|
||||||||||
|
6.875%, 11/15/2018
|
70,000
|
74,375
|
||||||||
|
8.5%, 9/15/2016
|
40,000
|
41,752
|
||||||||
|
Genesis Energy LP, 7.875%, 12/15/2018
|
90,000
|
94,725
|
||||||||
|
Global Geophysical Services, Inc., 10.5%, 5/1/2017
|
130,000
|
119,925
|
||||||||
|
Halcon Resources Corp., 144A, 9.75%, 7/15/2020
|
60,000
|
61,200
|
||||||||
|
Holly Energy Partners LP:
|
||||||||||
|
144A, 6.5%, 3/1/2020
|
45,000
|
47,025
|
||||||||
|
8.25%, 3/15/2018
|
110,000
|
119,075
|
||||||||
|
HollyFrontier Corp., 9.875%, 6/15/2017
|
165,000
|
181,087
|
||||||||
|
Kodiak Oil & Gas Corp., 144A, 8.125%, 12/1/2019
|
65,000
|
69,063
|
||||||||
|
Linn Energy LLC:
|
||||||||||
|
144A, 6.25%, 11/1/2019
|
225,000
|
222,187
|
||||||||
|
144A, 6.5%, 5/15/2019
|
50,000
|
49,750
|
||||||||
|
MarkWest Energy Partners LP, 5.5%, 2/15/2023
|
95,000
|
97,138
|
||||||||
|
MEG Energy Corp.:
|
||||||||||
|
144A, 6.375%, 1/30/2023
|
155,000
|
161,587
|
||||||||
|
144A, 6.5%, 3/15/2021
|
85,000
|
89,463
|
||||||||
|
Newfield Exploration Co.:
|
||||||||||
|
5.75%, 1/30/2022
|
165,000
|
180,675
|
||||||||
|
7.125%, 5/15/2018
|
265,000
|
280,237
|
||||||||
|
Northern Oil & Gas, Inc., 144A, 8.0%, 6/1/2020
|
210,000
|
214,200
|
||||||||
|
Oasis Petroleum, Inc.:
|
||||||||||
|
6.5%, 11/1/2021
|
65,000
|
66,300
|
||||||||
|
7.25%, 2/1/2019
|
265,000
|
279,575
|
||||||||
|
Offshore Group Investment Ltd.:
|
||||||||||
|
11.5%, 8/1/2015
|
10,000
|
11,050
|
||||||||
|
144A, 11.5%, 8/1/2015
|
20,000
|
22,100
|
||||||||
|
Peabody Energy Corp.:
|
||||||||||
|
144A, 6.0%, 11/15/2018
|
55,000
|
56,238
|
||||||||
|
144A, 6.25%, 11/15/2021
|
60,000
|
61,050
|
||||||||
|
Plains Exploration & Production Co.:
|
||||||||||
|
6.125%, 6/15/2019
|
90,000
|
94,950
|
||||||||
|
6.75%, 2/1/2022
|
205,000
|
221,400
|
||||||||
|
7.625%, 6/1/2018
|
125,000
|
134,375
|
||||||||
|
Quicksilver Resources, Inc., 11.75%, 1/1/2016
|
155,000
|
151,900
|
||||||||
|
Regency Energy Partners LP, 6.875%, 12/1/2018
|
75,000
|
81,000
|
||||||||
|
SandRidge Energy, Inc., 7.5%, 3/15/2021
|
45,000
|
45,563
|
||||||||
|
SESI LLC:
|
||||||||||
|
6.375%, 5/1/2019
|
90,000
|
95,400
|
||||||||
|
7.125%, 12/15/2021
|
275,000
|
305,937
|
||||||||
|
Stone Energy Corp., 8.625%, 2/1/2017
|
110,000
|
115,500
|
||||||||
|
Swift Energy Co., 7.875%, 3/1/2022
|
170,000
|
176,800
|
||||||||
|
Venoco, Inc., 8.875%, 2/15/2019
|
110,000
|
98,450
|
||||||||
|
WPX Energy, Inc.:
|
||||||||||
|
5.25%, 1/15/2017
|
180,000
|
189,450
|
||||||||
|
6.0%, 1/15/2022
|
130,000
|
137,800
|
||||||||
|
8,731,873
|
||||||||||
|
Financials 19.9%
|
||||||||||
|
AerCap Aviation Solutions BV, 144A, 6.375%, 5/30/2017
|
270,000
|
275,400
|
||||||||
|
Akbank TAS, 144A, 5.125%, 7/22/2015
|
130,000
|
134,387
|
||||||||
|
Ally Financial, Inc.:
|
||||||||||
|
4.625%, 6/26/2015
|
365,000
|
374,586
|
||||||||
|
5.5%, 2/15/2017
|
155,000
|
161,217
|
||||||||
|
6.25%, 12/1/2017
|
195,000
|
210,699
|
||||||||
|
8.0%, 3/15/2020
|
235,000
|
274,950
|
||||||||
|
8.3%, 2/12/2015
|
295,000
|
327,450
|
||||||||
|
AmeriGas Finance LLC:
|
||||||||||
|
6.75%, 5/20/2020
|
45,000
|
47,925
|
||||||||
|
7.0%, 5/20/2022
|
45,000
|
48,038
|
||||||||
|
Antero Resources Finance Corp.:
|
||||||||||
|
7.25%, 8/1/2019
|
110,000
|
117,425
|
||||||||
|
9.375%, 12/1/2017
|
150,000
|
165,375
|
||||||||
|
AWAS Aviation Capital Ltd., 144A, 7.0%, 10/17/2016
|
132,680
|
139,977
|
||||||||
|
Banco Bradesco SA, 144A, 5.75%, 3/1/2022
|
380,000
|
400,900
|
||||||||
|
Calpine Construction Finance Co., LP, 144A, 8.0%, 6/1/2016
|
290,000
|
313,562
|
||||||||
|
Case New Holland, Inc., 7.875%, 12/1/2017
|
225,000
|
264,375
|
||||||||
|
CIT Group, Inc.:
|
||||||||||
|
4.25%, 8/15/2017
|
515,000
|
522,271
|
||||||||
|
144A, 4.75%, 2/15/2015
|
640,000
|
665,600
|
||||||||
|
5.0%, 5/15/2017
|
80,000
|
83,400
|
||||||||
|
5.25%, 3/15/2018
|
220,000
|
229,350
|
||||||||
|
144A, 7.0%, 5/2/2017
|
140,127
|
140,268
|
||||||||
|
DPL, Inc., 144A, 6.5%, 10/15/2016
|
505,000
|
555,500
|
||||||||
|
DuPont Fabros Technology LP, (REIT), 8.5%, 12/15/2017
|
130,000
|
143,650
|
||||||||
|
E*TRADE Financial Corp.:
|
||||||||||
|
6.75%, 6/1/2016
|
145,000
|
150,800
|
||||||||
|
12.5%, 11/30/2017
|
240,000
|
273,900
|
||||||||
|
Fibria Overseas Finance Ltd., 144A, 6.75%, 3/3/2021
|
150,000
|
156,000
|
||||||||
|
Ford Motor Credit Co., LLC:
|
||||||||||
|
5.0%, 5/15/2018
|
200,000
|
215,257
|
||||||||
|
6.625%, 8/15/2017
|
125,000
|
143,698
|
||||||||
|
8.125%, 1/15/2020
|
365,000
|
451,927
|
||||||||
|
Fresenius Medical Care U.S. Finance II, Inc.:
|
||||||||||
|
144A, 5.625%, 7/31/2019
|
90,000
|
96,187
|
||||||||
|
144A, 5.875%, 1/31/2022
|
75,000
|
79,687
|
||||||||
|
Fresenius Medical Care U.S. Finance, Inc.:
|
||||||||||
|
144A, 5.75%, 2/15/2021
|
70,000
|
73,763
|
||||||||
|
144A, 6.5%, 9/15/2018
|
45,000
|
50,456
|
||||||||
|
Fresenius U.S. Finance II, Inc., 144A, 9.0%, 7/15/2015
|
85,000
|
97,856
|
||||||||
|
Hellas Telecommunications Finance SCA, 144A, 8.985% **, 7/15/2015 (PIK) *
|
EUR
|
109,187
|
82
|
|||||||
|
Hexion U.S. Finance Corp.:
|
||||||||||
|
6.625%, 4/15/2020
|
40,000
|
40,400
|
||||||||
|
8.875%, 2/1/2018
|
575,000
|
579,312
|
||||||||
|
International Lease Finance Corp.:
|
||||||||||
|
5.75%, 5/15/2016
|
45,000
|
46,956
|
||||||||
|
6.25%, 5/15/2019
|
105,000
|
109,725
|
||||||||
|
8.625%, 9/15/2015
|
80,000
|
89,700
|
||||||||
|
8.625%, 1/15/2022
|
125,000
|
147,187
|
||||||||
|
8.75%, 3/15/2017
|
360,000
|
416,700
|
||||||||
|
Kinder Morgan Finance Co., LLC, 144A, 6.0%, 1/15/2018
|
165,000
|
175,962
|
||||||||
|
Kinder Morgan Finance Co., ULC, 5.7%, 1/5/2016
|
255,000
|
274,675
|
||||||||
|
Level 3 Financing, Inc.:
|
||||||||||
|
144A, 7.0%, 6/1/2020
|
90,000
|
89,550
|
||||||||
|
8.125%, 7/1/2019
|
80,000
|
83,800
|
||||||||
|
8.625%, 7/15/2020
|
65,000
|
69,550
|
||||||||
|
MPT Operating Partnership LP:
|
||||||||||
|
(REIT), 6.375%, 2/15/2022
|
70,000
|
73,850
|
||||||||
|
(REIT), 6.875%, 5/1/2021
|
110,000
|
119,625
|
||||||||
|
National Money Mart Co., 10.375%, 12/15/2016
|
120,000
|
133,950
|
||||||||
|
Neuberger Berman Group LLC:
|
||||||||||
|
144A, 5.625%, 3/15/2020
|
65,000
|
68,738
|
||||||||
|
144A, 5.875%, 3/15/2022
|
110,000
|
116,875
|
||||||||
|
NII Capital Corp., 7.625%, 4/1/2021
|
75,000
|
57,938
|
||||||||
|
Nuveen Investments, Inc., 10.5%, 11/15/2015
|
190,000
|
193,325
|
||||||||
|
Pinnacle Foods Finance LLC:
|
||||||||||
|
8.25%, 9/1/2017
|
185,000
|
196,100
|
||||||||
|
9.25%, 4/1/2015
|
79,000
|
81,074
|
||||||||
|
Reynolds Group Issuer, Inc.:
|
||||||||||
|
6.875%, 2/15/2021
|
205,000
|
221,912
|
||||||||
|
7.125%, 4/15/2019
|
290,000
|
312,475
|
||||||||
|
8.25%, 2/15/2021
|
100,000
|
98,250
|
||||||||
|
8.5%, 5/15/2018
|
100,000
|
101,250
|
||||||||
|
Schaeffler Finance BV:
|
||||||||||
|
144A, 7.75%, 2/15/2017
|
200,000
|
216,500
|
||||||||
|
144A, 7.75%, 2/15/2017
|
EUR
|
100,000
|
135,845
|
|||||||
|
144A, 8.75%, 2/15/2019
|
EUR
|
100,000
|
138,986
|
|||||||
|
Toys "R" Us Property Co. I LLC, 10.75%, 7/15/2017
|
100,000
|
110,250
|
||||||||
|
Tronox Finance LLC, 144A, 6.375%, 8/15/2020
|
95,000
|
95,950
|
||||||||
|
UR Merger Sub Corp.:
|
||||||||||
|
144A, 5.75%, 7/15/2018
|
150,000
|
158,625
|
||||||||
|
144A, 7.375%, 5/15/2020
|
120,000
|
127,200
|
||||||||
|
144A, 7.625%, 4/15/2022
|
120,000
|
129,600
|
||||||||
|
10.875%, 6/15/2016
|
100,000
|
111,875
|
||||||||
|
Virgin Media Finance PLC, Series 1, 9.5%, 8/15/2016
|
201,000
|
224,617
|
||||||||
|
Virgin Media Secured Finance PLC, 6.5%, 1/15/2018
|
440,000
|
479,600
|
||||||||
|
13,213,845
|
||||||||||
|
Health Care 8.0%
|
||||||||||
|
Aviv Healthcare Properties LP, 7.75%, 2/15/2019
|
200,000
|
208,000
|
||||||||
|
Community Health Systems, Inc.:
|
||||||||||
|
5.125%, 8/15/2018
|
440,000
|
453,750
|
||||||||
|
7.125%, 7/15/2020
|
155,000
|
162,363
|
||||||||
|
HCA Holdings, Inc., 7.75%, 5/15/2021
|
215,000
|
233,812
|
||||||||
|
HCA, Inc.:
|
||||||||||
|
5.875%, 3/15/2022
|
120,000
|
127,650
|
||||||||
|
6.5%, 2/15/2020
|
675,000
|
741,656
|
||||||||
|
7.5%, 2/15/2022
|
335,000
|
372,687
|
||||||||
|
7.875%, 2/15/2020
|
1,120,000
|
1,250,200
|
||||||||
|
8.5%, 4/15/2019
|
70,000
|
78,925
|
||||||||
|
9.875%, 2/15/2017
|
88,000
|
95,040
|
||||||||
|
Hologic, Inc., 144A, 6.25%, 8/1/2020
|
80,000
|
84,700
|
||||||||
|
Mylan, Inc.:
|
||||||||||
|
144A, 7.625%, 7/15/2017
|
525,000
|
582,750
|
||||||||
|
144A, 7.875%, 7/15/2020
|
50,000
|
56,500
|
||||||||
|
Physio-Control International, Inc., 144A, 9.875%, 1/15/2019
|
65,000
|
70,200
|
||||||||
|
STHI Holding Corp., 144A, 8.0%, 3/15/2018
|
65,000
|
69,225
|
||||||||
|
Tenet Healthcare Corp., 6.25%, 11/1/2018
|
510,000
|
553,669
|
||||||||
|
Warner Chilcott Co., LLC, 7.75%, 9/15/2018
|
150,000
|
161,625
|
||||||||
|
5,302,752
|
||||||||||
|
Industrials 6.7%
|
||||||||||
|
Accuride Corp., 9.5%, 8/1/2018
|
90,000
|
91,125
|
||||||||
|
Air Lease Corp., 144A, 5.625%, 4/1/2017
|
175,000
|
174,562
|
||||||||
|
ARAMARK Corp., 8.5%, 2/1/2015
|
150,000
|
153,751
|
||||||||
|
ARAMARK Holdings Corp., 144A, 8.625%, 5/1/2016 (PIK)
|
20,000
|
20,475
|
||||||||
|
BE Aerospace, Inc., 6.875%, 10/1/2020
|
65,000
|
71,906
|
||||||||
|
Belden, Inc., 144A, 5.5%, 9/1/2022
|
135,000
|
135,338
|
||||||||
|
Bombardier, Inc.:
|
||||||||||
|
144A, 5.75%, 3/15/2022
|
130,000
|
131,625
|
||||||||
|
144A, 7.75%, 3/15/2020
|
465,000
|
523,125
|
||||||||
|
Briggs & Stratton Corp., 6.875%, 12/15/2020
|
75,000
|
81,375
|
||||||||
|
Casella Waste Systems, Inc., 7.75%, 2/15/2019
|
210,000
|
207,900
|
||||||||
|
Cenveo Corp., 8.875%, 2/1/2018
|
230,000
|
209,300
|
||||||||
|
CHC Helicopter SA, 9.25%, 10/15/2020
|
100,000
|
102,000
|
||||||||
|
Ducommun, Inc., 9.75%, 7/15/2018
|
70,000
|
73,238
|
||||||||
|
DynCorp International, Inc., 10.375%, 7/1/2017
|
170,000
|
143,650
|
||||||||
|
Florida East Coast Railway Corp., 8.125%, 2/1/2017
|
40,000
|
42,000
|
||||||||
|
FTI Consulting, Inc., 6.75%, 10/1/2020
|
295,000
|
314,912
|
||||||||
|
Garda World Security Corp., 144A, 9.75%, 3/15/2017
|
65,000
|
68,575
|
||||||||
|
Huntington Ingalls Industries, Inc.:
|
||||||||||
|
6.875%, 3/15/2018
|
105,000
|
112,350
|
||||||||
|
7.125%, 3/15/2021
|
20,000
|
21,650
|
||||||||
|
Interline Brands, Inc., 7.0%, 11/15/2018
|
105,000
|
111,694
|
||||||||
|
Iron Mountain, Inc., 5.75%, 8/15/2024
|
135,000
|
136,350
|
||||||||
|
Kansas City Southern de Mexico SA de CV, 8.0%, 2/1/2018
|
235,000
|
262,025
|
||||||||
|
Meritor, Inc.:
|
||||||||||
|
8.125%, 9/15/2015
|
55,000
|
56,994
|
||||||||
|
10.625%, 3/15/2018
|
60,000
|
62,175
|
||||||||
|
Navios Maritime Holdings, Inc.:
|
||||||||||
|
8.125%, 2/15/2019
|
140,000
|
122,150
|
||||||||
|
144A, 8.875%, 11/1/2017
|
45,000
|
45,394
|
||||||||
|
Navios South American Logistics, Inc., 9.25%, 4/15/2019
|
55,000
|
50,875
|
||||||||
|
Nortek, Inc., 8.5%, 4/15/2021
|
135,000
|
143,438
|
||||||||
|
Ply Gem Industries, Inc., 13.125%, 7/15/2014
|
30,000
|
31,200
|
||||||||
|
RBS Global, Inc. & Rexnord Corp., 8.5%, 5/1/2018
|
240,000
|
264,000
|
||||||||
|
Spirit AeroSystems, Inc.:
|
||||||||||
|
6.75%, 12/15/2020
|
95,000
|
103,313
|
||||||||
|
7.5%, 10/1/2017
|
55,000
|
59,675
|
||||||||
|
Titan International, Inc., 7.875%, 10/1/2017
|
185,000
|
193,787
|
||||||||
|
TransDigm, Inc., 7.75%, 12/15/2018
|
135,000
|
150,356
|
||||||||
|
4,472,283
|
||||||||||
|
Information Technology 5.0%
|
||||||||||
|
Aspect Software, Inc., 10.625%, 5/15/2017
|
120,000
|
124,800
|
||||||||
|
Avaya, Inc., 144A, 7.0%, 4/1/2019
|
310,000
|
283,650
|
||||||||
|
CDW LLC, 8.5%, 4/1/2019
|
165,000
|
180,675
|
||||||||
|
CommScope, Inc., 144A, 8.25%, 1/15/2019
|
175,000
|
187,469
|
||||||||
|
eAccess Ltd., 144A, 8.25%, 4/1/2018
|
60,000
|
54,600
|
||||||||
|
Equinix, Inc.:
|
||||||||||
|
7.0%, 7/15/2021
|
90,000
|
101,025
|
||||||||
|
8.125%, 3/1/2018
|
295,000
|
327,450
|
||||||||
|
Fidelity National Information Services, Inc.:
|
||||||||||
|
5.0%, 3/15/2022
|
45,000
|
46,800
|
||||||||
|
7.625%, 7/15/2017
|
20,000
|
22,000
|
||||||||
|
First Data Corp.:
|
||||||||||
|
144A, 6.75%, 11/1/2020
|
40,000
|
39,700
|
||||||||
|
144A, 7.375%, 6/15/2019
|
95,000
|
98,088
|
||||||||
|
144A, 8.875%, 8/15/2020
|
170,000
|
185,300
|
||||||||
|
Freescale Semiconductor, Inc., 144A, 9.25%, 4/15/2018
|
420,000
|
454,650
|
||||||||
|
Hughes Satellite Systems Corp.:
|
||||||||||
|
6.5%, 6/15/2019
|
185,000
|
198,181
|
||||||||
|
7.625%, 6/15/2021
|
90,000
|
99,450
|
||||||||
|
Jabil Circuit, Inc.:
|
||||||||||
|
5.625%, 12/15/2020
|
105,000
|
113,138
|
||||||||
|
7.75%, 7/15/2016
|
35,000
|
40,425
|
||||||||
|
MasTec, Inc., 7.625%, 2/1/2017
|
100,000
|
104,000
|
||||||||
|
Nuance Communications, Inc., 144A, 5.375%, 8/15/2020
|
70,000
|
71,575
|
||||||||
|
Sanmina-SCI Corp., 144A, 7.0%, 5/15/2019
|
50,000
|
50,250
|
||||||||
|
Seagate HDD Cayman, 7.0%, 11/1/2021
|
25,000
|
26,750
|
||||||||
|
Sensata Technologies BV, 144A, 6.5%, 5/15/2019
|
110,000
|
116,050
|
||||||||
|
SunGard Data Systems, Inc., 10.25%, 8/15/2015
|
370,000
|
378,787
|
||||||||
|
ViaSat, Inc., 6.875%, 6/15/2020
|
20,000
|
20,525
|
||||||||
|
3,325,338
|
||||||||||
|
Materials 13.3%
|
||||||||||
|
Aleris International, Inc., 7.625%, 2/15/2018
|
40,000
|
41,700
|
||||||||
|
APERAM, 144A, 7.375%, 4/1/2016
|
150,000
|
130,875
|
||||||||
|
Appleton Papers, Inc., 11.25%, 12/15/2015
|
25,000
|
25,000
|
||||||||
|
Ball Corp., 7.375%, 9/1/2019
|
45,000
|
50,288
|
||||||||
|
Berry Plastics Corp.:
|
||||||||||
|
5.205% **, 2/15/2015
|
535,000
|
535,267
|
||||||||
|
8.25%, 11/15/2015
|
200,000
|
210,500
|
||||||||
|
9.5%, 5/15/2018
|
65,000
|
70,200
|
||||||||
|
9.75%, 1/15/2021
|
80,000
|
88,600
|
||||||||
|
Beverage Packaging Holdings Luxembourg II SA, 144A, 8.0%, 12/15/2016
|
EUR
|
70,000
|
86,285
|
|||||||
|
BWAY Parent Co., Inc., 10.125%, 11/1/2015 (PIK)
|
46,952
|
47,656
|
||||||||
|
Clearwater Paper Corp., 7.125%, 11/1/2018
|
140,000
|
152,950
|
||||||||
|
Compass Minerals International, Inc., 8.0%, 6/1/2019
|
85,000
|
92,225
|
||||||||
|
Crown Americas LLC:
|
||||||||||
|
6.25%, 2/1/2021
|
20,000
|
22,100
|
||||||||
|
7.625%, 5/15/2017
|
415,000
|
446,125
|
||||||||
|
CSN Resources SA, 144A, 6.5%, 7/21/2020
|
590,000
|
637,200
|
||||||||
|
Essar Steel Algoma, Inc.:
|
||||||||||
|
144A, 9.375%, 3/15/2015
|
470,000
|
455,900
|
||||||||
|
144A, 9.875%, 6/15/2015
|
95,000
|
76,475
|
||||||||
|
Exopack Holding Corp., 10.0%, 6/1/2018
|
90,000
|
88,200
|
||||||||
|
FMG Resources (August 2006) Pty Ltd.:
|
||||||||||
|
144A, 6.0%, 4/1/2017
|
130,000
|
122,525
|
||||||||
|
144A, 6.875%, 4/1/2022
|
95,000
|
87,400
|
||||||||
|
144A, 7.0%, 11/1/2015
|
150,000
|
147,375
|
||||||||
|
144A, 8.25%, 11/1/2019
|
110,000
|
109,450
|
||||||||
|
GEO Specialty Chemicals, Inc., 10.0%, 3/31/2015
|
104,320
|
104,195
|
||||||||
|
Graphic Packaging International, Inc.:
|
||||||||||
|
7.875%, 10/1/2018
|
25,000
|
27,875
|
||||||||
|
9.5%, 6/15/2017
|
210,000
|
231,525
|
||||||||
|
Greif, Inc., 7.75%, 8/1/2019
|
230,000
|
263,350
|
||||||||
|
Huntsman International LLC:
|
||||||||||
|
8.625%, 3/15/2020
|
120,000
|
136,800
|
||||||||
|
8.625%, 3/15/2021
|
50,000
|
57,250
|
||||||||
|
JMC Steel Group, 144A, 8.25%, 3/15/2018
|
65,000
|
66,463
|
||||||||
|
Kaiser Aluminum Corp., 144A, 8.25%, 6/1/2020
|
100,000
|
106,000
|
||||||||
|
KGHM International Ltd., 144A, 7.75%, 6/15/2019
|
250,000
|
257,500
|
||||||||
|
Koppers, Inc., 7.875%, 12/1/2019
|
130,000
|
142,025
|
||||||||
|
Kraton Polymers LLC, 6.75%, 3/1/2019
|
85,000
|
87,125
|
||||||||
|
Longview Fibre Paper & Packaging, Inc., 144A, 8.0%, 6/1/2016
|
65,000
|
67,275
|
||||||||
|
LyondellBasell Industries NV, 6.0%, 11/15/2021
|
40,000
|
45,600
|
||||||||
|
Molycorp, Inc., 144A, 10.0%, 6/1/2020
|
80,000
|
76,000
|
||||||||
|
Momentive Performance Materials, Inc., 9.5%, 1/15/2021
|
EUR
|
100,000
|
83,015
|
|||||||
|
Novelis, Inc.:
|
||||||||||
|
8.375%, 12/15/2017
|
325,000
|
359,125
|
||||||||
|
8.75%, 12/15/2020
|
185,000
|
206,737
|
||||||||
|
OI European Group BV, 144A, 6.75%, 9/15/2020
|
EUR
|
70,000
|
96,851
|
|||||||
|
Owens-Brockway Glass Container, Inc., 7.375%, 5/15/2016
|
560,000
|
638,400
|
||||||||
|
Packaging Dynamics Corp., 144A, 8.75%, 2/1/2016
|
90,000
|
95,512
|
||||||||
|
Polymer Group, Inc., 7.75%, 2/1/2019
|
110,000
|
117,975
|
||||||||
|
Rain CII Carbon LLC, 144A, 8.0%, 12/1/2018
|
100,000
|
102,750
|
||||||||
|
Sealed Air Corp., 7.875%, 6/15/2017
|
640,000
|
689,600
|
||||||||
|
United States Steel Corp., 7.375%, 4/1/2020
|
160,000
|
158,000
|
||||||||
|
Viskase Companies, Inc., 144A, 9.875%, 1/15/2018
|
145,000
|
151,525
|
||||||||
|
Volcan Cia Minera SAA, 144A, 5.375%, 2/2/2022
|
420,000
|
451,500
|
||||||||
|
Vulcan Materials Co., 6.5%, 12/1/2016
|
235,000
|
252,625
|
||||||||
|
Wolverine Tube, Inc., 6.0%, 6/28/2014
|
14,448
|
14,145
|
||||||||
|
8,811,039
|
||||||||||
|
Telecommunication Services 14.5%
|
||||||||||
|
CC Holdings GS V LLC, 144A, 7.75%, 5/1/2017
|
260,000
|
279,500
|
||||||||
|
Cincinnati Bell, Inc.:
|
||||||||||
|
8.25%, 10/15/2017
|
445,000
|
476,150
|
||||||||
|
8.375%, 10/15/2020
|
365,000
|
386,900
|
||||||||
|
8.75%, 3/15/2018
|
320,000
|
323,200
|
||||||||
|
CPI International, Inc., 8.0%, 2/15/2018
|
50,000
|
47,000
|
||||||||
|
Cricket Communications, Inc.:
|
||||||||||
|
7.75%, 5/15/2016
|
475,000
|
501,125
|
||||||||
|
7.75%, 10/15/2020
|
640,000
|
620,800
|
||||||||
|
10.0%, 7/15/2015
|
130,000
|
134,225
|
||||||||
|
Crown Castle International Corp., 7.125%, 11/1/2019
|
90,000
|
97,875
|
||||||||
|
Digicel Group Ltd., 144A, 10.5%, 4/15/2018
|
100,000
|
108,000
|
||||||||
|
Digicel Ltd.:
|
||||||||||
|
144A, 7.0%, 2/15/2020
|
200,000
|
199,000
|
||||||||
|
144A, 8.25%, 9/1/2017
|
530,000
|
561,800
|
||||||||
|
ERC Ireland Preferred Equity Ltd., 144A, 7.69% **, 2/15/2017 (PIK) *
|
EUR
|
80,289
|
30
|
|||||||
|
Frontier Communications Corp.:
|
||||||||||
|
7.125%, 1/15/2023
|
145,000
|
147,538
|
||||||||
|
7.875%, 4/15/2015
|
13,000
|
14,463
|
||||||||
|
8.25%, 4/15/2017
|
135,000
|
150,525
|
||||||||
|
8.5%, 4/15/2020
|
180,000
|
200,700
|
||||||||
|
8.75%, 4/15/2022
|
25,000
|
27,875
|
||||||||
|
Intelsat Jackson Holdings SA:
|
||||||||||
|
7.25%, 10/15/2020
|
245,000
|
264,600
|
||||||||
|
7.5%, 4/1/2021
|
320,000
|
347,200
|
||||||||
|
8.5%, 11/1/2019
|
220,000
|
243,100
|
||||||||
|
Intelsat Luxembourg SA:
|
||||||||||
|
11.25%, 2/4/2017
|
340,000
|
357,000
|
||||||||
|
11.5%, 2/4/2017 (PIK)
|
793,750
|
833,437
|
||||||||
|
iPCS, Inc., 2.57% **, 5/1/2013
|
30,000
|
29,775
|
||||||||
|
Level 3 Communications, Inc., 144A, 8.875%, 6/1/2019
|
10,000
|
10,200
|
||||||||
|
MetroPCS Wireless, Inc.:
|
||||||||||
|
6.625%, 11/15/2020
|
85,000
|
87,975
|
||||||||
|
7.875%, 9/1/2018
|
155,000
|
166,625
|
||||||||
|
Nextel Communications, Inc., Series D, 7.375%, 8/1/2015
|
109,000
|
109,545
|
||||||||
|
Qwest Communications International, Inc., 7.125%, 4/1/2018
|
920,000
|
978,420
|
||||||||
|
SBA Telecommunications, Inc., 8.25%, 8/15/2019
|
26,000
|
28,860
|
||||||||
|
Sprint Nextel Corp.:
|
||||||||||
|
6.0%, 12/1/2016
|
775,000
|
790,500
|
||||||||
|
9.125%, 3/1/2017
|
65,000
|
72,800
|
||||||||
|
Syniverse Holdings, Inc., 9.125%, 1/15/2019
|
25,000
|
27,000
|
||||||||
|
Telesat Canada, 144A, 6.0%, 5/15/2017
|
105,000
|
109,200
|
||||||||
|
West Corp.:
|
||||||||||
|
7.875%, 1/15/2019
|
30,000
|
29,700
|
||||||||
|
8.625%, 10/1/2018
|
15,000
|
15,225
|
||||||||
|
Windstream Corp.:
|
||||||||||
|
7.0%, 3/15/2019
|
90,000
|
91,125
|
||||||||
|
7.5%, 4/1/2023
|
120,000
|
121,800
|
||||||||
|
7.75%, 10/15/2020
|
65,000
|
68,250
|
||||||||
|
7.875%, 11/1/2017
|
310,000
|
337,125
|
||||||||
|
8.125%, 9/1/2018
|
145,000
|
154,425
|
||||||||
|
Zayo Group LLC, 8.125%, 1/1/2020
|
40,000
|
42,500
|
||||||||
|
9,593,093
|
||||||||||
|
Utilities 4.2%
|
||||||||||
|
AES Corp.:
|
||||||||||
|
7.75%, 10/15/2015
|
410,000
|
463,300
|
||||||||
|
8.0%, 10/15/2017
|
75,000
|
87,563
|
||||||||
|
8.0%, 6/1/2020
|
105,000
|
122,325
|
||||||||
|
Calpine Corp.:
|
||||||||||
|
144A, 7.5%, 2/15/2021
|
170,000
|
188,700
|
||||||||
|
144A, 7.875%, 7/31/2020
|
120,000
|
135,000
|
||||||||
|
Centrais Eletricas Brasileiras SA, 144A, 6.875%, 7/30/2019
|
655,000
|
777,812
|
||||||||
|
Edison Mission Energy, 7.0%, 5/15/2017
|
185,000
|
97,125
|
||||||||
|
Energy Future Holdings Corp., Series Q, 6.5%, 11/15/2024
|
220,000
|
125,400
|
||||||||
|
Energy Future Intermediate Holding Co., LLC, 10.0%, 12/1/2020
|
30,000
|
33,675
|
||||||||
|
IPALCO Enterprises, Inc.:
|
||||||||||
|
5.0%, 5/1/2018
|
255,000
|
265,837
|
||||||||
|
144A, 7.25%, 4/1/2016
|
50,000
|
56,000
|
||||||||
|
NRG Energy, Inc.:
|
||||||||||
|
7.375%, 1/15/2017
|
305,000
|
317,200
|
||||||||
|
7.625%, 1/15/2018
|
75,000
|
80,250
|
||||||||
|
8.25%, 9/1/2020
|
25,000
|
26,938
|
||||||||
|
2,777,125
|
||||||||||
|
Total Corporate Bonds (Cost $66,921,594)
|
70,235,219
|
|||||||||
|
Government & Agency Obligations 16.9%
|
||||||||||
|
Other Government Related (b) 0.4%
|
||||||||||
|
Pemex Project Funding Master Trust, 5.75%, 3/1/2018
|
200,000
|
231,000
|
||||||||
|
Sovereign Bonds 16.5%
|
||||||||||
|
Dominican Republic, 144A, 7.5%, 5/6/2021
|
900,000
|
1,023,750
|
||||||||
|
Federative Republic of Brazil, 12.5%, 1/5/2016
|
BRL
|
625,000
|
378,713
|
|||||||
|
Republic of Argentina-Inflation Linked Bond, 5.83%, 12/31/2033
|
ARS
|
595
|
120
|
|||||||
|
Republic of Croatia:
|
||||||||||
|
144A, 6.25%, 4/27/2017
|
285,000
|
300,892
|
||||||||
|
144A, 6.375%, 3/24/2021
|
950,000
|
997,500
|
||||||||
|
Republic of El Salvador, 144A, 7.65%, 6/15/2035
|
315,000
|
355,163
|
||||||||
|
Republic of Ghana, 144A, 8.5%, 10/4/2017
|
100,000
|
115,250
|
||||||||
|
Republic of Lithuania:
|
||||||||||
|
144A, 5.125%, 9/14/2017
|
355,000
|
387,837
|
||||||||
|
144A, 7.375%, 2/11/2020
|
375,000
|
456,562
|
||||||||
|
Republic of Panama, 9.375%, 1/16/2023
|
665,000
|
964,250
|
||||||||
|
Republic of Poland:
|
||||||||||
|
5.125%, 4/21/2021
|
1,050,000
|
1,218,000
|
||||||||
|
6.375%, 7/15/2019
|
665,000
|
817,119
|
||||||||
|
Republic of Serbia, 144A, 7.25%, 9/28/2021
|
470,000
|
472,350
|
||||||||
|
Republic of Uruguay, 7.875%, 1/15/2033 (PIK)
|
135,000
|
209,588
|
||||||||
|
Republic of Venezuela, 9.25%, 9/15/2027
|
280,000
|
244,300
|
||||||||
|
Russian Federation:
|
||||||||||
|
144A, 5.0%, 4/29/2020
|
2,145,000
|
2,445,300
|
||||||||
|
REG S, 7.5%, 3/31/2030
|
434,499
|
542,037
|
||||||||
|
10,928,731
|
||||||||||
|
Total Government & Agency Obligations (Cost $9,710,142)
|
11,159,731
|
|||||||||
|
Loan Participations and Assignments 15.0%
|
||||||||||
|
Senior Loans ** 13.7%
|
||||||||||
|
Buffets, Inc., Letter of Credit, First Lien, LIBOR plus 9.25%, 4/22/2015 *
|
13,337
|
6,202
|
||||||||
|
Caesars Entertainment Operating Co., Term Loan B6, 5.486%, 1/26/2018
|
42,000
|
37,052
|
||||||||
|
Charter Communications Operating LLC, Term Loan C, 3.49%, 9/6/2016
|
996,559
|
996,793
|
||||||||
|
Clear Channel Communication, Inc., Term Loan B, 3.882%, 1/28/2016
|
99,771
|
77,760
|
||||||||
|
Crown Castle International Corp., Term Loan B, 4.0%, 1/31/2019
|
1,195,050
|
1,196,275
|
||||||||
|
Cumulus Media Holdings, Inc., Second Lien Term Loan, 7.5%, 9/16/2019
|
130,000
|
130,812
|
||||||||
|
Del Monte Foods Co., Term Loan, 4.5%, 3/8/2018
|
383,504
|
379,669
|
||||||||
|
First Data Corp., Term Loan, LIBOR plus 2.75%, 9/24/2014
|
320,000
|
316,526
|
||||||||
|
Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.75%, 4/30/2019
|
670,000
|
669,162
|
||||||||
|
Ineos U.S. Finance LLC, 6 Year Term Loan, 6.5%, 5/4/2018
|
408,975
|
410,637
|
||||||||
|
Kabel Deutschland GmbH, Term Loan F, 4.25%, 2/1/2019
|
1,055,000
|
1,056,757
|
||||||||
|
Lord & Taylor Holdings LLC, Term Loan B, 6.75%, 1/11/2019
|
248,750
|
251,031
|
||||||||
|
MetroPCS Wireless, Inc., Term Loan B3, 4.0%, 3/16/2018
|
335,000
|
335,120
|
||||||||
|
PETCO Animal Supplies, Inc., Term Loan, 4.5%, 11/24/2017
|
156,800
|
157,291
|
||||||||
|
Pilot Travel Centers LLC:
|
||||||||||
|
Term Loan B, 4.25%, 3/30/2018
|
135,000
|
135,405
|
||||||||
|
Term Loan B2, 4.25%, 8/7/2019
|
130,000
|
130,610
|
||||||||
|
Pinnacle Foods Finance LLC, Term Loan F, 4.75%, 10/17/2018
|
270,000
|
269,325
|
||||||||
|
Sealed Air Corp., Term Loan B, 4.75%, 10/3/2018
|
161,700
|
163,031
|
||||||||
|
Tomkins LLC, Term Loan B, 4.25%, 9/29/2016
|
1,126,653
|
1,132,991
|
||||||||
|
TowerCo Finance LLC, Term Loan B, 4.5%, 2/2/2017
|
123,438
|
123,643
|
||||||||
|
Transdigm, Inc., Term Loan B2, 4.0%, 2/14/2017
|
548,622
|
552,851
|
||||||||
|
Univision Communications, Inc., Term Loan, 4.815%, 3/31/2017
|
175,329
|
170,015
|
||||||||
|
Warner Chilcott Co., LLC, Term Loan B2, 4.25%, 3/15/2018
|
62,324
|
62,155
|
||||||||
|
Warner Chilcott Corp.:
|
||||||||||
|
Incremental Term Loan B1, 4.25%, 3/15/2018
|
47,334
|
47,206
|
||||||||
|
Term Loan B1, 4.25%, 3/15/2018
|
124,647
|
124,309
|
||||||||
|
WC Luxco SARL, Term Loan B3, 4.25%, 3/15/2018
|
85,695
|
85,463
|
||||||||
|
9,018,091
|
||||||||||
|
Sovereign Loans 1.3%
|
||||||||||
|
Bank of Moscow, 144A, 6.699%, 3/11/2015
|
360,000
|
379,800
|
||||||||
|
Sberbank of Russia, 144A, 6.125%, 2/7/2022
|
200,000
|
218,760
|
||||||||
|
VTB Bank OJSC, 144A, 6.315%, 2/22/2018
|
265,000
|
273,008
|
||||||||
|
871,568
|
||||||||||
|
Total Loan Participations and Assignments (Cost $9,764,741)
|
9,889,659
|
|||||||||
|
Convertible Bonds 0.3%
|
||||||||||
|
Consumer Discretionary 0.2%
|
||||||||||
|
Group 1 Automotive, Inc., 3.0%, 3/15/2020
|
65,000
|
104,325
|
||||||||
|
Industrials 0.0%
|
||||||||||
|
Meritor, Inc., Step-down Coupon, 4.625% to 3/1/2016, 0% to 3/1/2026
|
25,000
|
21,969
|
||||||||
|
Materials 0.1%
|
||||||||||
|
GEO Specialty Chemicals, Inc., 144A, 7.5%, 3/31/2015 (PIK)
|
105,307
|
102,853
|
||||||||
|
Total Convertible Bonds (Cost $190,885)
|
229,147
|
|||||||||
|
Preferred Security 0.2%
|
||||||||||
|
Materials
|
||||||||||
|
Hercules, Inc., 6.5%, 6/30/2029 (Cost $115,798)
|
175,000
|
147,000
|
||||||||
|
Units
|
Value ($)
|
|||||||
|
Other Investments 0.0%
|
||||||||
|
Consumer Discretionary
|
||||||||
|
AOT Bedding Super Holdings LLC* (c) (Cost $4,000)
|
4
|
3,870
|
||||||
|
Shares
|
Value ($)
|
||||||||||
|
Common Stocks 0.0%
|
|||||||||||
|
Consumer Discretionary 0.0%
|
|||||||||||
|
Postmedia Network Canada Corp.*
|
1,373
|
1,915
|
|||||||||
|
Trump Entertainment Resorts, Inc.*
|
8
|
0
|
|||||||||
|
Vertis Holdings, Inc.*
|
71
|
0
|
|||||||||
|
1,915
|
|||||||||||
|
Industrials 0.0%
|
|||||||||||
|
Congoleum Corp.*
|
2,000
|
0
|
|||||||||
|
Quad Graphics, Inc.
|
7
|
128
|
|||||||||
|
128
|
|||||||||||
|
Materials 0.0%
|
|||||||||||
|
GEO Specialty Chemicals, Inc.*
|
1,741
|
653
|
|||||||||
|
Wolverine Tube, Inc.*
|
640
|
15,456
|
|||||||||
|
16,109
|
|||||||||||
|
Total Common Stocks (Cost $51,711)
|
18,152
|
||||||||||
|
Preferred Stock 0.1%
|
|||||||||||
|
Financials
|
|||||||||||
|
Ally Financial, Inc., 144A, 7.0% (Cost $72,600)
|
80
|
72,852
|
|||||||||
|
Warrants 0.0%
|
|||||||||||
|
Consumer Discretionary 0.0%
|
|||||||||||
|
Reader's Digest Association, Inc., Expiration Date 2/19/2014*
|
175
|
30
|
|||||||||
|
Materials 0.0%
|
|||||||||||
|
GEO Specialty Chemicals, Inc., Expiration Date 3/31/2015*
|
9,761
|
3,572
|
|||||||||
|
Hercules Trust II, Expiration Date 3/31/2029*
|
95
|
1,244
|
|||||||||
|
4,816
|
|||||||||||
|
Total Warrants (Cost $20,981)
|
4,846
|
||||||||||
|
Contract
Amount
|
Value ($)
|
|||||||||
|
Call Options Purchased 0.0%
|
||||||||||
|
Options on Interest Rate Swap Contracts
|
||||||||||
|
Fixed Rate - 3.583% - Floating - LIBOR, Swap Expiration Date 5/11/2026, Option Expiration Date 5/9/2016
|
100,000
|
3,391
|
||||||||
|
Fixed Rate - 3.635% - Floating - LIBOR, Swap Expiration Date 4/27/2026, Option Expiration Date 4/25/2016
|
200,000
|
6,472
|
||||||||
|
Fixed Rate - 3.72% - Floating - LIBOR, Swap Expiration Date 4/22/2026, Option Expiration Date 4/20/2016
|
200,000
|
6,107
|
||||||||
|
Total Call Options Purchased (Cost $24,460)
|
15,970
|
|||||||||
|
Shares
|
Value ($)
|
|||||||
|
Cash Equivalents 1.3%
|
||||||||
|
Central Cash Management Fund, 0.14% (d)
(Cost $860,475)
|
860,475
|
860,475
|
||||||
|
% of
Net Assets
|
Value ($)
|
|||||
|
Total Investment Portfolio (Cost $87,737,387) †
|
139.8
|
92,636,921
|
||||
|
Notes Payable
|
(38.5)
|
(25,500,000)
|
||||
|
Other Assets and Liabilities, Net
|
(1.3)
|
(866,034)
|
||||
|
Net Assets
|
100.0
|
66,270,887
|
||||
|
For information on the Fund's policies regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual or annual financial statements.
|
|
The following table represents bonds and senior loans that are in default:
|
|
Security
|
Coupon
|
Maturity
Date
|
Principal Amount
|
Cost ($)
|
Value ($)
|
|||||||||||||
|
Buffets, Inc.*
|
LIBOR plus 9.25%
|
4/22/2015
|
13,337 |
USD
|
12,935 | 6,202 | ||||||||||||
|
ERC Ireland Preferred Equity Ltd.*
|
7.69 | % |
2/15/2017
|
80,289 |
EUR
|
109,298 | 30 | |||||||||||
|
Fontainebleau Las Vegas Holdings LLC*
|
11.0 | % |
6/15/2015
|
70,000 |
USD
|
70,788 | 44 | |||||||||||
|
Hellas Telecommunications Finance SCA*
|
8.985 | % |
7/15/2015
|
109,187 |
EUR
|
32,169 | 82 | |||||||||||
| 225,190 | 6,358 | |||||||||||||||||
|
*
|
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, 2012.
|
|
†
|
The cost for federal income tax purposes was $87,966,798. At August 31, 2012, net unrealized appreciation for all securities based on tax cost was $4,670,123. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $5,584,821 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $914,698.
|
|
(a)
|
Principal amount stated in U.S. dollars unless otherwise noted.
|
|
(b)
|
Government-backed debt issued by financial companies or government sponsored enterprises.
|
|
(c)
|
The Fund may purchase securities that are subject to legal or contractual restrictions on resale ("restricted securities"). Restricted securities are securities which have not been registered with the Securities and Exchange Commission under the Securities Act of 1933. The Fund may be unable to sell a restricted security and it may be more difficult to determine a market value for a restricted security. Moreover, if adverse market conditions were to develop during the period between the Fund's decision to sell a restricted security and the point at which the Fund is permitted or able to sell such security, the Fund might obtain a price less favorable than the price that prevailed when it decided to sell. This investment practice, therefore, could have the effect of increasing the level of illiquidity of the Fund. The future value of these securities is uncertain and there may be changes in the estimated value of these securities.
|
|
Schedule of
Restricted Securities
|
Acquisition Date
|
Cost ($)
|
Value ($)
|
Value as %
of Net Assets
|
|||||||||
|
AOT Bedding Super Holdings LLC*
|
June 2010
|
4,000 | 3,870 | 0.01 | |||||||||
|
(d)
|
Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.
|
|
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
|
|
|
LIBOR: London Interbank Offered Rate
|
|
|
PIK: Denotes that all or a portion of the income is paid in-kind in the form of additional principal.
|
|
|
REG S: Securities sold under Regulation S may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
|
|
|
REIT: Real Estate Investment Trust
|
|
|
At August 31, 2012, open written options contracts were as follows:
|
|
|
Options on Interest Rate Swap Contracts
|
|
|
Swap
Effective/
Expiration
Date
|
Contract
Amount
|
Option
Expiration
Date
|
Premiums
Received ($)
|
Value ($) (e)
|
|||||||||
|
Call Options
|
|||||||||||||
|
Fixed - 4.22% - Floating - LIBOR
|
4/22/2016
4/22/2026
|
200,000
|
4/20/2016
|
7,130
|
(4,474)
|
||||||||
|
Fixed - 4.135% - Floating - LIBOR
|
4/27/2016
4/27/2026
|
200,000
|
4/25/2016
|
7,400
|
(4,737)
|
||||||||
|
Fixed - 4.083% - Floating - LIBOR
|
5/11/2016
5/11/2026
|
100,000
|
5/9/2016
|
3,400
|
(2,484)
|
||||||||
|
Total Call Options
|
17,930
|
(11,695)
|
|||||||||||
|
Put Options
|
|||||||||||||
|
Fixed - 1.9% - Floating - LIBOR
|
4/24/2013
4/24/2023
|
200,000
|
4/22/2013
|
2,740
|
(5,540)
|
||||||||
|
Fixed - 2.09% - Floating - LIBOR
|
4/25/2013
4/25/2043
|
200,000
|
4/23/2013
|
3,760
|
(4,787)
|
||||||||
|
Fixed - 2.07% - Floating - LIBOR
|
5/10/2013
5/10/2043
|
100,000
|
5/8/2013
|
1,600
|
(2,411)
|
||||||||
|
Total Put Options
|
8,100
|
(12,738)
|
|||||||||||
|
Total
|
26,030
|
(24,433)
|
|||||||||||
|
(e)
|
Unrealized appreciation on written options on interest rate swap contracts at August 31, 2012 was $1,597.
|
||||||||||||
|
At August 31, 2012, open credit default swap contracts sold were as follows:
|
|
Effective/
Expiration
Date
|
Notional
Amount ($) (f)
|
Fixed
Cash
Flows
Received
|
Underlying Debt
Obligation/
Quality Rating (g)
|
Value ($)
|
Upfront Payments
Paid/
(Received) ($)
|
Unrealized
Appreciation ($)
|
|||
|
6/21/2010
9/20/2013
|
350,0001
|
5.0%
|
Ford Motor Co.,
6.5%, 8/1/2018, BBB-
|
18,071
|
(1,742)
|
19,813
|
|||
|
6/21/2010
9/20/2015
|
425,0002
|
5.0%
|
Ford Motor Co.,
6.5%, 8/1/2018, BBB-
|
38,778
|
(9,714)
|
48,492
|
|||
|
12/20/2011
3/20/2017
|
150,0003
|
5.0%
|
CIT Group, Inc.,
5.5%, 2/15/2019, BB-
|
13,364
|
5,754
|
7,610
|
|||
|
Total unrealized appreciation
|
75,915
|
||||||||
|
(f)
|
The maximum potential amount of future undiscounted payments that the Fund could be required to make under a credit default swap contract would be the notional amount of the contract. These potential amounts would be partially offset by any recovery values of the referenced debt obligation or net amounts received from the settlement of buy protection credit default swap contracts entered into by the Fund for the same referenced debt obligation.
|
|
(g)
|
The quality ratings represent the higher of Moody's Investors Service, Inc. ("Moody's") or Standard & Poor's Corporation ("S&P") credit ratings.
|
|
Counterparties:
|
|
|
1
|
The Goldman Sachs & Co.
|
|
2
|
Bank of America
|
|
3
|
Credit Suisse
|
|
As of August 31, 2012, the Fund had the following open forward foreign currency exchange contracts:
|
|
Contracts to Deliver
|
In Exchange For
|
Settlement
Date
|
Unrealized
Appreciation ($)
|
Counterparty
|
|||||||
|
USD
|
71,281
|
EUR
|
58,400
|
9/6/2012
|
2,179
|
JPMorgan Chase Securities, Inc.
|
|||||
|
Contracts to Deliver
|
In Exchange For
|
Settlement
Date
|
Unrealized
Depreciation ($)
|
Counterparty
|
|||||||
|
EUR
|
1,028,600
|
USD
|
1,257,803
|
9/6/2012
|
(36,048)
|
JPMorgan Chase Securities, Inc.
|
|||||
|
EUR
|
12,400
|
USD
|
15,375
|
9/6/2012
|
(223)
|
Citigroup, Inc.
|
|||||
|
Total unrealized depreciation
|
(36,271)
|
||||||||||
|
Currency Abbreviations
|
||||
|
ARS
|
Argentine Peso
|
EUR
|
Euro
|
|
|
BRL
|
Brazilian Real
|
USD
|
United States Dollar
|
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
|
Assets
|
||||||||||||||||
|
Fixed Income Investments(h)
|
||||||||||||||||
|
Corporate Bonds
|
$ | — | $ | 70,116,879 | $ | 118,340 | $ | 70,235,219 | ||||||||
|
Government & Agency Obligations
|
— | 11,159,731 | — | 11,159,731 | ||||||||||||
|
Loan Participations and Assignments
|
— | 9,889,659 | — | 9,889,659 | ||||||||||||
|
Convertible Bonds
|
— | 126,294 | 102,853 | 229,147 | ||||||||||||
|
Preferred Security
|
— | 147,000 | — | 147,000 | ||||||||||||
|
Other Investments
|
— | — | 3,870 | 3,870 | ||||||||||||
|
Common Stocks(h)
|
2,043 | — | 16,109 | 18,152 | ||||||||||||
|
Preferred Stock
|
— | 72,852 | — | 72,852 | ||||||||||||
|
Warrants(h)
|
— | — | 4,846 | 4,846 | ||||||||||||
|
Short-Term Investments
|
860,475 | — | — | 860,475 | ||||||||||||
|
Derivatives(i)
|
— | 94,064 | — | 94,064 | ||||||||||||
|
Total
|
$ | 862,518 | $ | 91,606,479 | $ | 246,018 | $ | 92,715,015 | ||||||||
|
Liabilities
|
||||||||||||||||
|
Derivatives(i)
|
$ | — | $ | (60,704 | ) | $ | — | $ | (60,704 | ) | ||||||
|
Total
|
$ | — | $ | (60,704 | ) | $ | — | $ | (60,704 | ) | ||||||
|
There have been no transfers between Level 1 and Level 2 fair value measurements during the period ended August 31, 2012.
|
|
|
(h)
|
See Investment Portfolio for additional detailed categorizations.
|
|
(i)
|
Derivatives include value of options purchased, written options, at value, unrealized appreciation (depreciation) on credit default swap contracts and forward foreign currency exchange contracts.
|
|
Primary Underlying Risk Disclosure
|
Swaps
|
Forward Currency Contracts
|
Options
|
|||||||||
|
Credit Contracts
|
$ | 75,915 | $ | — | $ | — | ||||||
|
Foreign Exchange Contracts
|
$ | — | $ | (34,092 | ) | $ | — | |||||
|
Interest Rate Contracts
|
$ | — | $ | — | $ | (6,893 | ) | |||||
|
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.
|
|
Registrant:
|
DWS Strategic Income Trust
|
|
By:
|
/s/W. Douglas Beck
W. Douglas Beck
President
|
|
Date:
|
October 24, 2012
|
|
By:
|
/s/W. Douglas Beck
W. Douglas Beck
President
|
|
Date:
|
October 24, 2012
|
|
By:
|
/s/Paul Schubert
Paul Schubert
Chief Financial Officer and Treasurer
|
|
Date:
|
October 24, 2012
|