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: 2/29/2016

 

ITEM 1. SCHEDULE OF INVESTMENTS

 

 

Investment Portfolio                                     as of February 29, 2016 (Unaudited)

 

 

Deutsche Strategic Income Trust

 

  Principal
Amount ($) (a)		   Value ($)  
  Corporate Bonds 75.8%  
Consumer Discretionary 20.8%  
1011778 B.C. Unlimited Liability Co., 144A, 4.625%, 1/15/2022     40,000   40,700  
Ally Financial, Inc.:  
  3.25%, 2/13/2018     265,000   262,350  
  4.125%, 3/30/2020     590,000   587,050  
AMC Entertainment, Inc., 5.875%, 2/15/2022     80,000   82,800  
AmeriGas Finance LLC:  
  6.75%, 5/20/2020     165,000   167,475  
  7.0%, 5/20/2022     135,000   138,544  
APX Group, Inc., 6.375%, 12/1/2019     75,000   73,125  
Asbury Automotive Group, Inc.:  
  6.0%, 12/15/2024     150,000   148,500  
  144A, 6.0%, 12/15/2024     145,000   143,550  
Ashtead Capital, Inc., 144A, 6.5%, 7/15/2022     120,000   123,300  
Ashton Woods U.S.A. LLC, 144A, 6.875%, 2/15/2021     130,000   105,300  
Avis Budget Car Rental LLC:  
  144A, 5.25%, 3/15/2025     140,000   123,900  
  5.5%, 4/1/2023     215,000   203,712  
Beacon Roofing Supply, Inc., 144A, 6.375%, 10/1/2023     55,000   58,025  
Block Communications, Inc., 144A, 7.25%, 2/1/2020     155,000   151,125  
Boyd Gaming Corp., 6.875%, 5/15/2023     50,000   51,375  
Caleres, Inc., 6.25%, 8/15/2023     40,000   39,600  
CCO Holdings LLC:  
  144A, 5.125%, 5/1/2023     120,000   119,100  
  144A, 5.375%, 5/1/2025     90,000   89,100  
  144A, 5.875%, 4/1/2024     105,000   107,231  
  144A, 5.875%, 5/1/2027     155,000   155,000  
CCOH Safari LLC, 144A, 5.75%, 2/15/2026     200,000   200,526  
Cequel Communications Holdings I LLC:  
  144A, 5.125%, 12/15/2021     214,000   196,345  
  144A, 6.375%, 9/15/2020     140,000   137,025  
Churchill Downs, Inc., 144A, 5.375%, 12/15/2021     50,150   51,529  
Clear Channel Worldwide Holdings, Inc.:  
  Series A, 7.625%, 3/15/2020     20,000   16,275  
  Series B, 7.625%, 3/15/2020     130,000   114,400  
Cogeco Communications, Inc., 144A, 4.875%, 5/1/2020     10,000   10,100  
CSC Holdings LLC, 5.25%, 6/1/2024     80,000   68,400  
Dana Holding Corp.:  
  5.375%, 9/15/2021     500,000   483,435  
  5.5%, 12/15/2024     55,000   51,219  
DISH DBS Corp.:  
  4.625%, 7/15/2017     400,000   409,000  
  5.0%, 3/15/2023     125,000   110,625  
  6.75%, 6/1/2021     30,000   30,563  
Dollar Tree, Inc.:  
  144A, 5.25%, 3/1/2020     315,000   330,750  
  144A, 5.75%, 3/1/2023     105,000   111,694  
Fiat Chrysler Automobiles NV, 4.5%, 4/15/2020     310,000   305,350  
Global Partners LP, 7.0%, 6/15/2023     75,000   48,750  
Goodyear Tire & Rubber Co.:  
  5.125%, 11/15/2023     60,000   61,650  
  6.5%, 3/1/2021     150,000   157,969  
Group 1 Automotive, Inc.:  
  5.0%, 6/1/2022     150,000   140,250  
  144A, 5.25%, 12/15/2023     210,000   196,875  
HD Supply, Inc.:  
  144A, 5.25%, 12/15/2021     85,000   89,038  
  7.5%, 7/15/2020     30,000   31,575  
  11.5%, 7/15/2020     105,000   116,025  
Hot Topic, Inc., 144A, 9.25%, 6/15/2021     25,000   23,000  
Jaguar Land Rover Automotive PLC, 144A, 3.5%, 3/15/2020     305,000   300,044  
Lamar Media Corp., 144A, 5.75%, 2/1/2026     20,000   20,712  
Lennar Corp., 4.75%, 11/15/2022     150,000   148,125  
Live Nation Entertainment, Inc.:  
  144A, 5.375%, 6/15/2022     20,000   19,850  
  144A, 7.0%, 9/1/2020     130,000   136,337  
MDC Partners, Inc., 144A, 6.75%, 4/1/2020     90,000   91,575  
Mediacom Broadband LLC:  
  5.5%, 4/15/2021     20,000   19,300  
  6.375%, 4/1/2023     155,000   150,350  
Mediacom LLC, 7.25%, 2/15/2022     45,000   45,338  
MGM Resorts International:  
  6.0%, 3/15/2023     85,000   87,125  
  6.75%, 10/1/2020     163,000   174,410  
  7.625%, 1/15/2017     100,000   104,125  
  8.625%, 2/1/2019     205,000   232,162  
NCL Corp., Ltd., 144A, 4.625%, 11/15/2020     85,000   82,663  
Nielsen Finance LLC, 144A, 5.0%, 4/15/2022     45,000   45,563  
Numericable-SFR:  
  144A, 4.875%, 5/15/2019     195,000   194,902  
  144A, 6.0%, 5/15/2022     290,000   287,100  
Penske Automotive Group, Inc., 5.375%, 12/1/2024     200,000   194,000  
Pinnacle Entertainment, Inc., 6.375%, 8/1/2021     60,000   63,675  
Quebecor Media, Inc., 5.75%, 1/15/2023     80,000   83,000  
Sabre GLBL, Inc.:  
  144A, 5.25%, 11/15/2023     20,000   20,300  
  144A, 5.375%, 4/15/2023     5,000   5,038  
Sally Holdings LLC, 5.625%, 12/1/2025     150,000   156,000  
Seminole Hard Rock Entertainment, Inc., 144A, 5.875%, 5/15/2021     50,000   49,750  
Serta Simmons Bedding LLC, 144A, 8.125%, 10/1/2020     45,000   46,238  
Sirius XM Radio, Inc., 144A, 5.875%, 10/1/2020     80,000   83,600  
Spectrum Brands, Inc., 5.75%, 7/15/2025     40,000   42,150  
Springs Industries, Inc., 6.25%, 6/1/2021     115,000   113,562  
Starz LLC, 5.0%, 9/15/2019     60,000   60,750  
Suburban Propane Partners LP, 5.75%, 3/1/2025     45,000   37,800  
Toll Brothers Finance Corp., 4.875%, 11/15/2025     95,000   92,150  
TRI Pointe Group, Inc., 4.375%, 6/15/2019     55,000   53,075  
Unitymedia Hessen GmbH & Co., KG, 144A, 5.5%, 1/15/2023     300,000   314,250  
UPCB Finance IV Ltd., 144A, 5.375%, 1/15/2025     305,000   301,950  
UPCB Finance V Ltd., 144A, 7.25%, 11/15/2021     90,000   95,287  
UPCB Finance VI Ltd., 144A, 6.875%, 1/15/2022     171,000   179,977  
Viking Cruises Ltd.:  
  144A, 6.25%, 5/15/2025     80,000   67,600  
  144A, 8.5%, 10/15/2022     80,000   74,200  
  10,737,263  
Consumer Staples 1.8%  
Aramark Services, Inc., 144A, 5.125%, 1/15/2024     60,000   62,850  
Constellation Brands, Inc., 4.75%, 12/1/2025     25,000   26,125  
Cott Beverages, Inc.:  
  5.375%, 7/1/2022     145,000   144,275  
  6.75%, 1/1/2020     55,000   57,888  
FAGE Dairy Industry SA, 144A, 9.875%, 2/1/2020     90,000   92,925  
JBS U.S.A. LLC:  
  144A, 5.75%, 6/15/2025     60,000   51,600  
  144A, 7.25%, 6/1/2021     205,000   198,337  
  144A, 8.25%, 2/1/2020     65,000   65,195  
Pilgrim's Pride Corp., 144A, 5.75%, 3/15/2025     60,000   58,350  
Pinnacle Foods Finance LLC, 144A, 5.875%, 1/15/2024     20,000   21,100  
Post Holdings, Inc., 144A, 6.75%, 12/1/2021     45,000   47,756  
Smithfield Foods, Inc., 6.625%, 8/15/2022     4,000   4,220  
The WhiteWave Foods Co., 5.375%, 10/1/2022     120,000   128,400  
  959,021  
Energy 4.7%  
Antero Resources Corp.:  
  5.125%, 12/1/2022     100,000   85,250  
  5.375%, 11/1/2021     85,000   73,525  
  144A, 5.625%, 6/1/2023     60,000   51,300  
Blue Racer Midstream LLC, 144A, 6.125%, 11/15/2022     65,000   48,750  
Carrizo Oil & Gas, Inc., 6.25%, 4/15/2023     75,000   53,250  
Concho Resources, Inc., 5.5%, 4/1/2023     160,000   148,800  
Continental Resources, Inc., 5.0%, 9/15/2022     310,000   235,290  
Delek & Avner Tamar Bond Ltd., 144A, 5.082%, 12/30/2023     200,000   196,750  
Gulfport Energy Corp., 6.625%, 5/1/2023     30,000   25,425  
Hilcorp Energy I LP, 144A, 5.75%, 10/1/2025     110,000   74,800  
Holly Energy Partners LP, 6.5%, 3/1/2020     45,000   42,525  
Laredo Petroleum, Inc., 6.25%, 3/15/2023     90,000   56,025  
Memorial Resource Development Corp., 5.875%, 7/1/2022     65,000   44,200  
Newfield Exploration Co.:  
  5.375%, 1/1/2026     45,000   38,925  
  5.75%, 1/30/2022     80,000   75,000  
Oasis Petroleum, Inc.:  
  6.875%, 3/15/2022     60,000   35,100  
  6.875%, 1/15/2023     20,000   11,550  
Range Resources Corp., 144A, 4.875%, 5/15/2025     165,000   142,725  
Ras Laffan Liquefied Natural Gas Co., Ltd. II, 144A, 5.298%, 9/30/2020     131,275   139,660  
Reliance Industries Ltd., 144A, 4.125%, 1/28/2025     250,000   248,843  
Rice Energy, Inc., 7.25%, 5/1/2023     15,000   12,000  
RSP Permian, Inc.:  
  6.625%, 10/1/2022     70,000   62,650  
  144A, 6.625%, 10/1/2022     15,000   13,425  
Sabine Pass Liquefaction LLC, 5.625%, 2/1/2021     260,000   248,137  
Sunoco LP:  
  144A, 5.5%, 8/1/2020     50,000   47,750  
  144A, 6.375%, 4/1/2023     45,000   42,750  
Whiting Petroleum Corp., 6.25%, 4/1/2023     140,000   64,050  
WPX Energy, Inc., 7.5%, 8/1/2020     150,000   94,500  
  2,412,955  
Financials 6.5%  
AerCap Ireland Capital Ltd., 4.625%, 10/30/2020     670,000   680,887  
Alliance Data Systems Corp., 144A, 5.25%, 12/1/2017     95,000   95,713  
CIT Group, Inc.:  
  3.875%, 2/19/2019     415,000   412,925  
  5.0%, 5/15/2017     80,000   81,900  
CNO Financial Group, Inc.:  
  4.5%, 5/30/2020     150,000   149,437  
  5.25%, 5/30/2025     45,000   43,650  
Commonwealth Bank of Australia, 144A, 4.5%, 12/9/2025     560,000   551,875  
Corp. Financiera de Desarrollo SA, 144A, 4.75%, 2/8/2022     250,000   256,562  
E*TRADE Financial Corp.:  
  4.625%, 9/15/2023     60,000   58,800  
  5.375%, 11/15/2022     50,000   51,970  
Equinix, Inc.:  
  (REIT), 5.375%, 1/1/2022     70,000   72,625  
  (REIT), 5.375%, 4/1/2023     265,000   283,470  
  (REIT), 5.75%, 1/1/2025     50,000   51,750  
  (REIT), 5.875%, 1/15/2026     50,000   52,250  
MPT Operating Partnership LP:  
  (REIT), 6.375%, 2/15/2022     110,000   113,300  
  (REIT), 6.375%, 3/1/2024     105,000   107,625  
  (REIT), 6.875%, 5/1/2021     110,000   114,675  
Neuberger Berman Group LLC, 144A, 5.875%, 3/15/2022     110,000   114,400  
The Goldman Sachs Group, Inc., Series L, 5.7%, 12/29/2049     95,000   90,963  
  3,384,777  
Health Care 7.6%  
Alere, Inc., 144A, 6.375%, 7/1/2023     60,000   65,850  
Community Health Systems, Inc.:  
  5.125%, 8/15/2018     695,000   697,606  
  5.125%, 8/1/2021     20,000   20,100  
  7.125%, 7/15/2020     595,000   535,500  
Concordia Healthcare Corp., 144A, 7.0%, 4/15/2023     30,000   26,100  
Endo Finance LLC:  
  144A, 5.75%, 1/15/2022     80,000   80,800  
  144A, 5.875%, 1/15/2023     80,000   79,600  
Endo Ltd., 144A, 6.0%, 2/1/2025     45,000   44,775  
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   376,618  
  7.5%, 2/15/2022     170,000   192,066  
Hologic, Inc., 144A, 5.25%, 7/15/2022     30,000   31,422  
IMS Health, Inc., 144A, 6.0%, 11/1/2020     100,000   103,416  
LifePoint Health, Inc.:  
  5.5%, 12/1/2021     105,000   108,413  
  5.875%, 12/1/2023     85,000   88,400  
Mallinckrodt International Finance SA:  
  144A, 4.875%, 4/15/2020     50,000   49,500  
  144A, 5.625%, 10/15/2023     95,000   93,338  
Tenet Healthcare Corp.:  
  144A, 4.012% **, 6/15/2020     60,000   59,100  
  6.75%, 6/15/2023     125,000   113,281  
Valeant Pharmaceuticals International, Inc.:  
  144A, 5.375%, 3/15/2020     110,000   99,550  
  144A, 5.875%, 5/15/2023     105,000   88,594  
  144A, 6.125%, 4/15/2025     305,000   256,009  
  144A, 6.375%, 10/15/2020     90,000   82,575  
  144A, 6.75%, 8/15/2018     220,000   212,300  
  144A, 7.5%, 7/15/2021     385,000   362,862  
  3,917,500  
Industrials 9.8%  
ADT Corp.:  
  3.5%, 7/15/2022     55,000   46,063  
  4.125%, 4/15/2019     15,000   15,788  
  5.25%, 3/15/2020     90,000   88,650  
  6.25%, 10/15/2021     155,000   151,125  
Aerojet Rocketdyne Holdings, Inc., 7.125%, 3/15/2021     185,000   187,312  
Air Lease Corp., 4.75%, 3/1/2020     1,110,000   1,129,425  
Allegion PLC, 5.875%, 9/15/2023     30,000   31,425  
Artesyn Embedded Technologies, Inc., 144A, 9.75%, 10/15/2020     105,000   87,413  
Belden, Inc., 144A, 5.5%, 9/1/2022     135,000   130,275  
Bombardier, Inc.:  
  144A, 5.75%, 3/15/2022     130,000   91,000  
  144A, 6.0%, 10/15/2022     95,000   66,975  
Casella Waste Systems, Inc., 7.75%, 2/15/2019     140,000   137,550  
CNH Industrial Capital LLC:  
  3.25%, 2/1/2017     335,000   336,467  
  3.875%, 7/16/2018     60,000   58,950  
Covanta Holding Corp., 5.875%, 3/1/2024     85,000   73,100  
CTP Transportation Products LLC, 144A, 8.25%, 12/15/2019     105,000   104,711  
DigitalGlobe, Inc., 144A, 5.25%, 2/1/2021     55,000   47,850  
DR Horton, Inc., 4.0%, 2/15/2020     30,000   30,525  
EnerSys, 144A, 5.0%, 4/30/2023     15,000   14,288  
Florida East Coast Holdings Corp., 144A, 6.75%, 5/1/2019     85,000   85,106  
FTI Consulting, Inc., 6.0%, 11/15/2022     80,000   82,600  
Garda World Security Corp., 144A, 7.25%, 11/15/2021     105,000   73,500  
Gates Global LLC, 144A, 6.0%, 7/15/2022     70,000   52,063  
Huntington Ingalls Industries, Inc.:  
  144A, 5.0%, 12/15/2021     120,000   126,300  
  144A, 5.0%, 11/15/2025     60,000   62,887  
Masonite International Corp., 144A, 5.625%, 3/15/2023     65,000   67,275  
Meritor, Inc.:  
  6.25%, 2/15/2024     80,000   65,176  
  6.75%, 6/15/2021     115,000   98,900  
Moog, Inc., 144A, 5.25%, 12/1/2022     50,000   49,000  
MTW Foodservice Escrow Corp., 144A, 9.5%, 2/15/2024     43,000   45,311  
Nortek, Inc., 8.5%, 4/15/2021     85,000   87,763  
OPE KAG Finance Sub, Inc., 144A, 7.875%, 7/31/2023     80,000   77,600  
Oshkosh Corp.:  
  5.375%, 3/1/2022     60,000   60,450  
  5.375%, 3/1/2025     240,000   237,000  
Ply Gem Industries, Inc., 6.5% ,  2/1/2022        145,000   123,256  
SBA Communications Corp., 5.625%, 10/1/2019     75,000   78,000  
Spirit AeroSystems, Inc., 5.25%, 3/15/2022     105,000   107,363  
Summit Materials LLC:  
  6.125%, 7/15/2023     100,000   89,250  
  144A, 8.5%, 4/15/2022 (b)     45,000   44,775  
Titan International, Inc., 6.875%, 10/1/2020     85,000   62,050  
Triumph Group, Inc., 5.25%, 6/1/2022     45,000   36,000  
United Rentals North America, Inc.:  
  4.625%, 7/15/2023     50,000   50,000  
  6.125%, 6/15/2023     10,000   10,255  
  7.625%, 4/15/2022     120,000   127,574  
USG Corp., 144A, 5.5%, 3/1/2025     5,000   5,100  
Wise Metals Group LLC, 144A, 8.75%, 12/15/2018     75,000   63,000  
ZF North America Capital, Inc., 144A, 4.0%, 4/29/2020     150,000   150,937  
  5,047,383  
Information Technology 4.7%  
ACI Worldwide, Inc., 144A, 6.375%, 8/15/2020     35,000   35,744  
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   111,100  
  144A, 6.125%, 11/1/2023     35,000   35,350  
Cardtronics, Inc., 5.125%, 8/1/2022     50,000   48,500  
CDW LLC:  
  5.5%, 12/1/2024     100,000   103,250  
  6.0%, 8/15/2022     115,000   122,187  
Denali Borrower LLC, 144A, 5.625%, 10/15/2020     85,000   89,419  
EarthLink Holdings Corp., 7.375%, 6/1/2020     95,000   95,713  
EMC Corp., 1.875%, 6/1/2018     300,000   288,741  
Entegris, Inc., 144A, 6.0%, 4/1/2022     55,000   55,688  
First Data Corp.:  
  144A, 6.75%, 11/1/2020     435,000   459,142  
  144A, 7.0%, 12/1/2023     100,000   100,000  
Freescale Semiconductor, Inc., 144A, 6.0%, 1/15/2022     100,000   106,125  
Infor U.S., Inc., 144A, 6.5%, 5/15/2022     70,000   60,725  
Informatica LLC, 144A, 7.125%, 7/15/2023     30,000   27,600  
Jabil Circuit, Inc., 5.625%, 12/15/2020     105,000   108,675  
Micron Technology, Inc., 144A, 5.25%, 8/1/2023     70,000   59,850  
NCR Corp.:  
  5.875%, 12/15/2021     20,000   19,650  
  6.375%, 12/15/2023     50,000   49,000  
Open Text Corp., 144A, 5.625%, 1/15/2023     60,000   59,100  
Riverbed Technology, Inc., 144A, 8.875%, 3/1/2023     45,000   40,050  
Sanmina Corp., 144A, 4.375%, 6/1/2019     10,000   10,100  
  2,437,878  
Materials 8.7%  
ArcelorMittal SA, 5.125%, 6/1/2020     20,000   17,850  
Ball Corp.:  
  4.375%, 12/15/2020     45,000   47,025  
  5.25%, 7/1/2025     75,000   78,187  
Berry Plastics Corp., 5.5%, 5/15/2022     160,000   166,400  
Cascades, Inc., 144A, 5.5%, 7/15/2022     55,000   51,837  
Celanese U.S. Holdings LLC, 4.625%, 11/15/2022     500,000   495,000  
Cemex SAB de CV, 144A, 6.5%, 12/10/2019     200,000   198,000  
Chemours Co.:  
  144A, 6.625%, 5/15/2023     60,000   43,350  
  144A, 7.0%, 5/15/2025     25,000   18,125  
Clearwater Paper Corp., 144A, 5.375%, 2/1/2025     60,000   57,300  
Coveris Holding Corp., 144A, 10.0%, 6/1/2018     90,000   76,950  
Coveris Holdings SA, 144A, 7.875%, 11/1/2019     215,000   170,925  
First Quantum Minerals Ltd.:  
  144A, 6.75%, 2/15/2020     45,000   23,400  
  144A, 7.0%, 2/15/2021     170,000   87,550  
Freeport-McMoRan, Inc.:  
  2.3%, 11/14/2017     225,000   205,875  
  2.375%, 3/15/2018     140,000   120,750  
Greif, Inc., 7.75%, 8/1/2019     230,000   254,725  
Hexion, Inc., 6.625%, 4/15/2020     50,000   39,500  
Kaiser Aluminum Corp., 8.25%, 6/1/2020     100,000   104,000  
Novelis, Inc., 8.75%, 12/15/2020     490,000   454,475  
Plastipak Holdings, Inc., 144A, 6.5%, 10/1/2021     100,000   96,000  
Platform Specialty Products Corp., 144A, 6.5%, 2/1/2022     65,000   52,650  
Reynolds Group Issuer, Inc.:  
  5.75%, 10/15/2020     920,000   945,300  
  6.875%, 2/15/2021     205,000   212,175  
Sealed Air Corp.:  
  144A, 4.875%, 12/1/2022     35,000   36,050  
  144A, 5.125%, 12/1/2024     15,000   15,563  
Tronox Finance LLC:  
  6.375%, 8/15/2020     75,000   47,062  
  144A, 7.5%, 3/15/2022     70,000   43,225  
Volcan Cia Minera SAA, 144A, 5.375%, 2/2/2022     420,000   285,600  
WR Grace & Co-Conn:  
  144A, 5.125%, 10/1/2021     30,000   31,200  
  144A, 5.625%, 10/1/2024     15,000   15,638  
  4,491,687  
Telecommunication Services 9.7%  
B Communications Ltd., 144A, 7.375%, 2/15/2021     105,000   113,400  
Bharti Airtel International Netherlands BV, 144A, 5.125%, 3/11/2023     200,000   209,050  
CenturyLink, Inc.:  
  Series V, 5.625%, 4/1/2020     40,000   40,500  
  Series T, 5.8%, 3/15/2022     150,000   145,688  
  Series N, 6.0%, 4/1/2017     500,000   516,000  
  Series S, 6.45%, 6/15/2021     165,000   167,577  
  Series W, 6.75%, 12/1/2023     185,000   180,837  
CommScope, Inc.:  
  144A, 4.375%, 6/15/2020     40,000   40,700  
  144A, 5.0%, 6/15/2021     95,000   93,100  
CyrusOne LP, 6.375%, 11/15/2022     110,000   111,650  
Digicel Group Ltd.:  
  144A, 7.125%, 4/1/2022     95,000   67,925  
  144A, 8.25%, 9/30/2020     287,000   223,860  
Digicel Ltd., 144A, 7.0%, 2/15/2020     200,000   177,000  
Frontier Communications Corp.:  
  6.25%, 9/15/2021     45,000   39,881  
  7.125%, 1/15/2023     235,000   204,377  
  8.5%, 4/15/2020     35,000   35,613  
  144A, 10.5%, 9/15/2022     195,000   196,950  
Hughes Satellite Systems Corp., 7.625%, 6/15/2021     90,000   97,425  
Intelsat Jackson Holdings SA, 5.5%, 8/1/2023     115,000   74,750  
Level 3 Financing, Inc.:  
  5.375%, 8/15/2022     215,000   220,912  
  144A, 5.375%, 1/15/2024     60,000   61,500  
  5.375%, 5/1/2025     60,000   61,050  
  6.125%, 1/15/2021     60,000   62,700  
  7.0%, 6/1/2020     145,000   152,069  
Millicom International Cellular SA, 144A, 6.0%, 3/15/2025     200,000   175,500  
Plantronics, Inc., 144A, 5.5%, 5/31/2023     30,000   28,650  
Sprint Communications, Inc., 144A, 7.0%, 3/1/2020     85,000   83,513  
Sprint Corp., 7.125%, 6/15/2024     440,000   313,500  
T-Mobile U.S.A., Inc.:  
  6.125%, 1/15/2022     40,000   41,100  
  6.375%, 3/1/2025     151,000   152,510  
  6.5%, 1/15/2026     5,000   5,067  
  6.625%, 11/15/2020     65,000   67,600  
Turk Telekomunikasyon AS, 144A, 3.75%, 6/19/2019     500,000   495,160  
Wind Acquisition Finance SA, 144A, 6.5%, 4/30/2020     80,000   81,000  
Windstream Services LLC, 7.75%, 10/15/2020     30,000   24,779  
Zayo Group LLC:  
  6.0%, 4/1/2023     160,000   157,600  
  6.375%, 5/15/2025     75,000   71,625  
  4,992,118  
Utilities 1.5%  
Calpine Corp.:  
  5.375%, 1/15/2023     85,000   79,263  
  5.75%, 1/15/2025     85,000   76,500  
Dynegy, Inc.:  
  7.375%, 11/1/2022     75,000   62,625  
  7.625%, 11/1/2024     140,000   115,850  
Energy Future Holdings Corp., Series Q, 6.5%, 11/15/2024 *     110,000   77,000  
NGL Energy Partners LP, 5.125%, 7/15/2019     70,000   41,125  
NRG Energy, Inc.:  
  6.25%, 5/1/2024     285,000   236,550  
  7.875%, 5/15/2021     80,000   75,500  
Talen Energy Supply LLC, 144A, 4.625%, 7/15/2019     35,000   28,175  
  792,588  
Total Corporate Bonds (Cost $40,895,810)   39,173,170  
  Asset-Backed 4.6%  
Miscellaneous  
Apidos CLO XXI, "C", Series 2015-21A, 144A, 3.867% **, 7/18/2027     375,000   313,912  
Babson CLO Ltd., "D", Series 2015-2A, 144A, 4.098% **, 7/20/2027     1,000,000   872,892  
Cumberland Park CLO Ltd., "D", Series 2015-2A, 144A, 3.699% **, 7/20/2026     500,000   423,893  
Marea CLO Ltd., "DR", Series 2012-1A, 144A, 4.071% **, 10/15/2023     500,000   393,311  
Neuberger Berman CLO XVIII Ltd., "C", Series 2014-18A, 144A, 4.112% **, 11/14/2025     500,000   397,453  
Total Asset-Backed (Cost $2,811,978)   2,401,461  
  Collateralized Mortgage Obligation 0.5%  
Federal National Mortgage Association, "PZ", Series 2010-129, 4.5%, 11/25/2040 (Cost $235,221)     224,557   239,235  
  Government & Agency Obligations 6.4%  
Other Government Related (c) 0.5%  
VTB Bank OJSC, 144A, 6.315%, 2/22/2018     265,000   273,597  
Sovereign Bonds 5.9%  
Dominican Republic, 144A, 6.875%, 1/29/2026     100,000   103,250  
KazAgro National Management Holding JSC, 144A, 4.625%, 5/24/2023     250,000   206,565  
Perusahaan Penerbit SBSN, 144A, 4.325%, 5/28/2025     200,000   195,260  
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   63,563  
  144A, 7.65%, 6/15/2035     100,000   82,750  
Republic of Hungary:  
  4.0%, 3/25/2019     200,000   207,776  
  Series 19/A, 6.5%, 6/24/2019 HUF   11,600,000   46,725  
Republic of Panama, 9.375%, 1/16/2023     665,000   892,762  
Republic of Slovenia:  
  144A, 4.75%, 5/10/2018     200,000   211,538  
  144A, 5.5%, 10/26/2022     500,000   562,500  
Republic of South Africa, Series R204, 8.0%, 12/21/2018 ZAR   900,000   55,731  
Republic of Sri Lanka, 144A, 5.125%, 4/11/2019     200,000   192,471  
Republic of Uruguay, 5.1%, 6/18/2050     40,000   35,900  
United Mexican States, 4.6%, 1/23/2046     200,000   183,500  
  3,040,460  
Total Government & Agency Obligations (Cost $3,353,435)   3,314,057  
  Loan Participations and Assignments 49.9%  
Senior Loans **  
Consumer Discretionary 13.5%  
1011778 B.C. Unlimited Liability Co., Term Loan B2, 3.75%, 12/10/2021     431,387   429,734  
Altice U.S. Finance I Corp., Term Loan, 4.25%, 12/14/2022     410,388   403,500  
Atlantic Broadband Finance LLC, Term Loan B, 3.25%, 11/30/2019     987,203   981,137  
Avis Budget Car Rental LLC, Term Loan B, 3.0%, 3/15/2019     361,633   358,769  
CSC Holdings, Inc., Term Loan B, 2.939%, 4/17/2020     976,896   970,385  
Goodyear Tire & Rubber Co., Second Lien Term Loan, 3.75%, 4/30/2019     465,000   466,890  
Hilton Worldwide Finance LLC, Term Loan B2, 3.5%, 10/26/2020     896,886   895,330  
Quebecor Media, Inc., Term Loan B1, 3.25%, 8/17/2020     938,469   913,543  
Seminole Tribe of Florida, Term Loan, 3.0%, 4/29/2020     855,950   852,740  
Visteon Corp., Term Delay Draw B, 3.5%, 4/9/2021     700,000   695,916  
  6,967,944  
Consumer Staples 5.1%  
Albertson's LLC, Term Loan B2, 5.5%, 3/21/2019     707,644   700,175  
Pinnacle Foods Finance LLC:  
  Term Loan G, 3.0%, 4/29/2020     317,792   315,344  
  Term Loan H, 3.0%, 4/29/2020     722,073   716,376  
U.S. Foods, Inc., Term Loan, 4.5%, 3/31/2019     748,082   739,786  
Vogue International, Inc., Term Loan, 5.75%, 2/14/2020     162,113   161,099  
  2,632,780  
Energy 0.5%  
MEG Energy Corp., Term Loan, 3.75%, 3/31/2020     343,181   246,919  
Financials 0.8%  
Delos Finance SARL, Term Loan B, 3.5%, 3/6/2021     425,000   422,743  
Health Care 5.3%  
AmSurg Corp., First Lien Term Loan B, 3.5%, 7/16/2021     216,700   215,932  
Community Health Systems, Inc.:  
  Term Loan G, 3.75%, 12/31/2019     72,655   69,461  
  Term Loan H, 4.0%, 1/27/2021     133,683   127,348  
Convatec, Inc., Term Loan, 4.25%, 6/15/2020     698,246   683,408  
DaVita HealthCare Partners, Inc., Term Loan B, 3.5%, 6/24/2021     1,118,960   1,119,519  
Valeant Pharmaceuticals International, Inc.:  
  Term Loan B, 3.5%, 2/13/2019     291,407   274,234  
  Term Loan B, 3.75%, 12/11/2019     275,431   259,663  
  2,749,565  
Industrials 10.9%  
BE Aerospace, Inc., Term Loan B, 4.0%, 12/16/2021     834,545   836,557  
Booz Allen Hamilton, Inc., Term Loan, 3.75%, 7/31/2019     700,000   702,117  
Hertz Corp., Term Loan B, 3.75%, 3/11/2018     398,972   395,794  
Ply Gem Industries, Inc., Term Loan, 4.0%, 2/1/2021     983,707   936,159  
Quikrete Holdings, Inc., First Lien Term Loan, 4.0%, 9/28/2020     750,000   733,830  
Sabre, Inc., Term Loan B, 4.0%, 2/19/2019     598,458   593,670  
TransDigm, Inc., Term Loan C, 3.75%, 2/28/2020     472,068   459,558  
Waste Industries U.S.A., Inc., Term Loan B, 4.25%, 2/27/2020     698,241   697,368  
WP CPP Holdings LLC, Term Loan B3, 4.5%, 12/28/2019     281,467   257,895  
  5,612,948  
Information Technology 1.4%  
First Data Corp.:  
  Term Loan, 3.934%, 3/24/2018     250,000   247,219  
  Term Loan, 4.434%, 3/24/2021     490,000   483,752  
  730,971  
Materials 5.6%  
American Rock Salt Holdings LLC, First Lien Term Loan, 4.75%, 5/20/2021     733,825   670,687  
Axalta Coating Systems U.S. Holdings, Inc., Term Loan, 3.75%, 2/1/2020     498,965   493,586  
Berry Plastics Holding Corp.:  
  Term Loan D, 3.5%, 2/8/2020     731,203   718,948  
  Term Loan E, 3.75%, 1/6/2021     304,001   299,536  
MacDermid, Inc.:  
  First Lien Term Loan, 5.5%, 6/7/2020     224,250   204,535  
  Term Loan B2, 5.5%, 6/7/2020     347,368   317,408  
PolyOne Corp., Term Loan B, 3.75%, 11/11/2022     165,000   165,026  
  2,869,726  
Telecommunication Services 1.3%  
DigitalGlobe, Inc., Term Loan B, 4.75%, 1/31/2020     14,588   14,451  
Level 3 Financing, Inc.:  
  Term Loan B2, 3.5%, 5/31/2022     180,000   177,930  
  Term Loan B, 4.0%, 1/15/2020     485,000   485,102  
  677,483  
Utilities 5.5%  
Calpine Corp., Term Loan B5, 3.5%, 5/27/2022     1,845,725   1,752,866  
NRG Energy, Inc., Term Loan B, 2.75%, 7/2/2018     1,113,930   1,097,394  
  2,850,260  
Total Loan Participations and Assignments (Cost $26,354,481)   25,761,339  
  Convertible Bond 0.2%  
Materials  
GEO Specialty Chemicals, Inc., 144A, 7.5%, 10/30/2018 (PIK) (Cost $106,516)     107,325   125,924  
  Preferred Security 0.3%  
Materials  
Hercules, Inc., 6.5%, 6/30/2029 (Cost $121,769)     175,000   131,250  
  Shares   Value ($)  
  Common Stocks 0.0%  
Consumer Discretionary 0.0%  
Dawn Holdings, Inc.* (d)   2   3,283  
Industrials 0.0%  
Congoleum Corp.*     2,000   0  
Quad Graphics, Inc.     29   367  
  367  
Materials 0.0%  
GEO Specialty Chemicals, Inc.*     11,502   5,181  
Total Common Stocks (Cost $25,413)   8,831  
  Warrant 0.0%  
Materials  
Hercules Trust II, Expiration Date 3/31/2029*  (Cost $20,981)   95   74  
  Contract
Amount		   Value ($)  
  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 $9,870)   200,000   0  
  Shares   Value ($)  
  Cash Equivalents 3.4%  
Central Cash Management Fund, 0.33% (e) (Cost $1,737,896)     1,737,896   1,737,896  
  % of
Net Assets		   Value ($)  
Total Investment Portfolio (Cost $75,673,370) † 141.1   72,893,237  
Other Assets and Liabilities, Net 1.7   868,116  
Notes Payable (42.8)   (22,100,000)  
Net Assets 100.0   51,661,353  
                           

 

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 a bond that is in default:  

 

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

Energy Future Holdings Corp.*

6.5%

11/15/2024

110,000

67,995

77,000

                     

 

* 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 February 29, 2016.
† The cost for federal income tax purposes was $75,950,505.  At February 29, 2016, net unrealized depreciation for all securities based on tax cost was $3,057,268.  This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $685,255 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $3,742,523.
(a) Principal amount stated in U.S. dollars unless otherwise noted.
(b) When-issued security.
(c) Government-backed debt issued by financial companies or government sponsored enterprises.
(d) 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

3,283

0.01

 

(e) 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
LIBOR: London Interbank Offered Rate;3-Month LIBOR rate at February 29, 2016 is 0.63%.
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)

 

At February 29, 2016, open written options contracts were as follows:

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

4/22/2016

4/22/2026

   200,0001   4/20/2016   7,130   0
                       

 

(f) Unrealized appreciation on written options on interest rate swap contracts at February 29, 2016 was $7,130.

 

Counterparty:

 

1 Nomura International PLC

 

Currency Abbreviations

 

ARS Argentine Peso    
HUF Hungarian Forint    
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 February 29, 2016 in valuing the Fund's investments.

Assets   Level 1   Level 2   Level 3   Total
Fixed Income Investments (g)                
  Corporate Bonds $ — $ 39,173,170 $ — $ 39,173,170
  Asset-Backed   —   2,401,461   —   2,401,461
  Collateralized Mortgage Obligation   —   239,235   —   239,235
  Government & Agency Obligations   —   3,314,057   —   3,314,057
  Loan Participations and Assignments   —   25,761,339   —   25,761,339
  Convertible Bond   —   —   125,924   125,924
  Preferred Security   —   131,250   —   131,250
Common Stocks (g)   367   —   8,464   8,831
Warrant   —   —   74   74
Short-Term Investments   1,737,896   —   —   1,737,896
Derivatives (h)                
       Purchased Options   —   0   —   0
Total $ 1,738,263 $ 71,020,512 $ 134,462 $ 72,893,237
Liabilities   Level 1   Level 2   Level 3   Total
Derivatives (h)                
  Written Options $ — $ 0 $ — $ 0
Total $ — $ 0 $ — $ 0

 

There have been no transfers between fair value measurement levels during the period ended February 29, 2016.

 

(g) See Investment Portfolio for additional detailed categorizations.
(h) Derivatives include value of options purchased 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 February 29, 2016 categorized by the primary underlying risk exposure. 

 

Primary Underlying Risk Disclosure

 Options
Interest Rate Contracts $    (2,740)

  

 

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: April 22, 2016

 

 

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: April 22, 2016
   
   
   
By:

/s/Paul Schubert

Paul Schubert

Chief Financial Officer and Treasurer

   
Date: April 22, 2016