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  811-8382

DWS 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

345 Park Avenue

New York, NY  10154-0004

(Name and address of agent for service)

Registrant's telephone number, including area code:  (212) 454-7190

Date of fiscal year end:  11/30

Date of reporting period: 2/28/09

 

ITEM 1.  SCHEDULE OF INVESTMENTS

 

| Investment Portfolio | **as of February 28, 2009  (Unaudited)** |
|----------------------|------------------------------------------|

 

 

**DWS Strategic Income Trust**

 

 

|   | **Principal****Amount ($) (a)** |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | **Value ($)** |
|--------|---------------------------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------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|        |
|   | **Corporate Bonds 81.9%**       |  
**Consumer Discretionary 8.4%**

 
AMC Entertainment, Inc., 8.0%, 3/1/2014 

 

 

125,000 

 

100,000 

American Achievement Corp., 144A, 8.25%, 4/1/2012 

 

 

25,000 

 

20,000 

American Achievement Group Holding Corp., 16.75%, 10/1/2012 (PIK)

 

 

54,912 

 

12,080 

Asbury Automotive Group, Inc.:

 
 

7.625%, 3/15/2017  

 

 

55,000 

 

24,750 

 

8.0%, 3/15/2014  

 

 

55,000 

 

25,300 

Ashtead Holdings PLC, 144A, 8.625%, 8/1/2015 

 

 

120,000 

 

72,000 

Cablevision Systems Corp., Series B, 8.334% ***, 4/1/2009 

 

 

40,000 

 

40,000 

CanWest MediaWorks LP, 144A, 9.25%, 8/1/2015 

 

 

55,000 

 

5,775 

Carrols Corp., 9.0%, 1/15/2013 

 

 

30,000 

 

25,350 

 

 

 

Cox Communications, Inc., 144A, 9.375%, 1/15/2019 

 

 

270,000 

 

284,713 

CSC Holdings, Inc.:

 
 

6.75%, 4/15/2012 (b)

 

 

75,000 

 

72,000 

 

Series B, 7.625%, 4/1/2011  

 

 

60,000 

 

59,400 

 

Series B, 8.125%, 7/15/2009  

 

 

310,000 

 

315,425 

 

Series B, 8.125%, 8/15/2009  

 

 

140,000 

 

142,450 

 

144A, 8.5%, 6/15/2015  

 

 

80,000 

 

76,400 

 

144A, 8.625%, 2/15/2019  

 

 

35,000 

 

32,550 

Denny's Holdings, Inc., 10.0%, 10/1/2012 

 

 

20,000 

 

17,200 

DirecTV Holdings LLC, 7.625%, 5/15/2016 

 

 

165,000 

 

158,400 

DISH DBS Corp.:

 
 

6.375%, 10/1/2011  

 

 

210,000 

 

200,550 

 

6.625%, 10/1/2014  

 

 

95,000 

 

85,500 

 

7.125%, 2/1/2016  

 

 

90,000 

 

81,225 

Dollarama Group Holdings LP, 8.073% ***, 8/15/2012 (c) 

 

 

57,000 

 

35,910 

Fontainebleau Las Vegas Holdings LLC, 144A, 11.0%, 6/15/2015 

 

 

70,000 

 

4,550 

Great Canadian Gaming Corp., 144A, 7.25%, 2/15/2015 

 

 

50,000 

 

35,000 

Group 1 Automotive, Inc., 8.25%, 8/15/2013 

 

 

35,000 

 

26,250 

Hertz Corp., 8.875%, 1/1/2014 

 

 

170,000 

 

83,300 

Idearc, Inc., 8.0%, 11/15/2016 

 

 

160,000 

 

2,400 

Indianapolis Downs LLC, 144A, 11.0%, 11/1/2012 

 

 

45,000 

 

23,400 

Inergy LP, 144A, 8.75%, 3/1/2015 

 

 

30,000 

 

29,400 

Isle of Capri Casinos, Inc., 7.0%, 3/1/2014 

 

 

36,000 

 

14,400 

Kabel Deutschland GmbH, 10.625%, 7/1/2014 

 

 

150,000 

 

150,750 

Lamar Media Corp., Series C, 6.625%, 8/15/2015 

 

 

45,000 

 

28,125 

Mediacom Broadband LLC, 8.5%, 10/15/2015 

 

 

65,000 

 

55,088 

MediMedia USA, Inc., 144A, 11.375%, 11/15/2014 

 

 

25,000 

 

16,750 

MGM MIRAGE, 6.625%, 7/15/2015 

 

 

35,000 

 

13,650 

MTR Gaming Group, Inc., Series B, 9.75%, 4/1/2010 

 

 

80,000 

 

59,200 

Norcraft Holdings LP, 9.75%, 9/1/2012 

 

 

185,000 

 

154,937 

Penske Automotive Group, Inc., 7.75%, 12/15/2016 

 

 

145,000 

 

69,600 

Pinnacle Entertainment, Inc., 8.75%, 10/1/2013 

 

 

50,000 

 

44,500 

Quebecor Media, Inc., 7.75%, 3/15/2016 

 

 

45,000 

 

36,675 

Quebecor World, Inc., 144A, 9.75%, 1/15/2015 ** 

 

 

55,000 

 

2,338 

Reader's Digest Association, Inc., 9.0%, 2/15/2017 

 

 

55,000 

 

4,675 

Sabre Holdings Corp., 8.35%, 3/15/2016 

 

 

60,000 

 

19,200 

Seminole Hard Rock Entertainment, Inc., 144A, 4.496% ***, 3/15/2014 

 

 

80,000 

 

37,600 

Shaw Communications, Inc., 8.25%, 4/11/2010 

 

 

100,000 

 

100,000 

Shingle Springs Tribal Gaming Authority, 144A, 9.375%, 6/15/2015 

 

 

55,000 

 

32,175 

Simmons Co., Step-up Coupon, 0% to 12/15/2009, 10.0% to 12/15/2014   

 

 

210,000 

 

2,100 

Sirius XM Radio, Inc., 9.625%, 8/1/2013 

 

 

55,000 

 

23,650 

Sonic Automotive, Inc., Series B, 8.625%, 8/15/2013 

 

 

65,000 

 

20,150 

Time Warner, Inc., 9.125%, 1/15/2013 

 

 

270,000 

 

282,276 

Travelport LLC:

 
 

6.828% ***, 9/1/2014  

 

 

50,000 

 

16,000 

 

9.875%, 9/1/2014  

 

 

10,000 

 

4,050 

Trump Entertainment Resorts, Inc., 8.5%, 6/1/2015 ** 

 

 

20,000 

 

2,200 

United Components, Inc., 9.375%, 6/15/2013 

 

 

10,000 

 

3,950 

Unity Media GmbH, 144A, 8.75%, 2/15/2015 

EUR

 

305,000 

 

340,264 

UPC Holding BV:

 
 

144A, 7.75%, 1/15/2014  

EUR

 

105,000 

 

113,812 

 

144A, 8.0%, 11/1/2016  

EUR

 

50,000 

 

52,295 

Vertis, Inc., 13.5%, 4/1/2014 (PIK) 

 

 

21,214 

 

159 

Videotron Ltd.:

 
 

6.875%, 1/15/2014  

 

 

15,000 

 

14,025 

 

144A, 9.125%, 4/15/2018  

 

 

45,000 

 

45,450 

 

 

 

 

144A, 9.125%, 4/15/2018 (d)

 

 

45,000 

 

45,506 

Young Broadcasting, Inc., 8.75%, 1/15/2014 ** 

 

 

319,000 

 

35 

 

**3,896,863**

**Consumer Staples 4.7%**

 
Alliance One International, Inc., 8.5%, 5/15/2012 

 

 

50,000 

 

43,250 

Altria Group, Inc.:

 
 

8.5%, 11/10/2013  

 

 

55,000 

 

59,349 

 

9.7%, 11/10/2018  

 

 

30,000 

 

31,410 

Bottling Group LLC, 5.125%, 1/15/2019 (b) 

 

 

355,000 

 

353,488 

Delhaize America, Inc.:

 
 

8.05%, 4/15/2027  

 

 

15,000 

 

14,746 

 

9.0%, 4/15/2031  

 

 

156,000 

 

174,135 

General Nutrition Centers, Inc., 7.584% ***, 3/15/2014 (PIK)

 

 

55,000 

 

32,450 

North Atlantic Trading Co., 144A, 10.0%, 3/1/2012 

 

 

253,750 

 

114,188 

PepsiAmericas, Inc., 4.375%, 2/15/2014 

 

 

215,000 

 

215,240 

Philip Morris International, Inc., 6.875%, 3/17/2014 

 

 

275,000 

 

295,888 

Tyson Foods, Inc., 144A, 10.5%, 3/1/2014 (d) 

 

 

50,000 

 

47,125 

Viskase Companies, Inc., 11.5%, 6/15/2011 

 

 

630,000 

 

409,500 

Walgreen Co., 5.25%, 1/15/2019 

 

 

385,000 

 

379,444 

 

**2,170,213**

**Energy 11.6%**

 
Atlas Energy Resources LLC, 144A, 10.75%, 2/1/2018 

 

 

160,000 

 

129,600 

Belden & Blake Corp., 8.75%, 7/15/2012 

 

 

300,000 

 

210,000 

Chaparral Energy, Inc.:

 
 

8.5%, 12/1/2015  

 

 

100,000 

 

23,500 

 

8.875%, 2/1/2017  

 

 

65,000 

 

15,600 

Chesapeake Energy Corp.:

 
 

6.25%, 1/15/2018  

 

 

90,000 

 

69,975 

 

6.875%, 1/15/2016  

 

 

260,000 

 

213,850 

 

7.25%, 12/15/2018  

 

 

130,000 

 

105,625 

 

7.5%, 6/15/2014  

 

 

30,000 

 

26,325 

 

9.5%, 2/15/2015  

 

 

10,000 

 

9,300 

Cimarex Energy Co., 7.125%, 5/1/2017 

 

 

35,000 

 

28,700 

Colorado Interstate Gas Co., 6.8%, 11/15/2015 (b) 

 

 

170,000 

 

155,903 

ConocoPhillips, 4.75%, 2/1/2014 (b) 

 

 

630,000 

 

637,122 

Delta Petroleum Corp., 7.0%, 4/1/2015 

 

 

145,000 

 

56,550 

Denbury Resources, Inc., 9.75%, 3/1/2016 

 

 

80,000 

 

75,200 

Devon Energy Corp., 6.3%, 1/15/2019 

 

 

30,000 

 

29,372 

Dynegy Holdings, Inc., 6.875%, 4/1/2011 (b) 

 

 

15,000 

 

12,525 

El Paso Corp.:

 
 

7.25%, 6/1/2018  

 

 

165,000 

 

145,613 

 

7.75%, 6/15/2010  

 

 

210,000 

 

206,659 

 

8.25%, 2/15/2016  

 

 

65,000 

 

60,450 

 

9.625%, 5/15/2012  

 

 

45,000 

 

43,957 

Energy Transfer Partners LP, 6.0%, 7/1/2013 

 

 

205,000 

 

192,500 

EXCO Resources, Inc., 7.25%, 1/15/2011 

 

 

94,000 

 

75,083 

Forest Oil Corp.:

 
 

144A, 7.25%, 6/15/2019  

 

 

40,000 

 

32,000 

 

144A, 8.5%, 2/15/2014  

 

 

30,000 

 

27,300 

Frontier Oil Corp.:

 
 

6.625%, 10/1/2011  

 

 

40,000 

 

38,300 

 

8.5%, 9/15/2016  

 

 

120,000 

 

115,800 

GulfSouth Pipeline Co., LP, 144A, 5.75%, 8/15/2012 

 

 

210,000 

 

190,741 

KCS Energy, Inc., 7.125%, 4/1/2012 

 

 

355,000 

 

315,062 

Mariner Energy, Inc.:

 
 

 

 

 

7.5%, 4/15/2013  

 

 

70,000 

 

52,850 

 

8.0%, 5/15/2017  

 

 

70,000 

 

46,550 

Newfield Exploration Co., 7.125%, 5/15/2018 

 

 

115,000 

 

101,200 

OPTI Canada, Inc.:

 
 

7.875%, 12/15/2014  

 

 

90,000 

 

29,700 

 

8.25%, 12/15/2014  

 

 

225,000 

 

76,500 

Pemex Project Funding Master Trust, 5.75%, 3/1/2018 

 

 

200,000 

 

161,874 

Petrohawk Energy Corp.:

 
 

144A, 7.875%, 6/1/2015  

 

 

35,000 

 

30,100 

 

9.125%, 7/15/2013  

 

 

65,000 

 

61,425 

Petronas Capital Ltd., REG S, 7.875%, 5/22/2022 

 

 

145,000 

 

154,233 

Plains Exploration & Production Co.:

 
 

7.0%, 3/15/2017  

 

 

55,000 

 

46,888 

 

7.625%, 6/1/2018  

 

 

140,000 

 

121,800 

Quicksilver Resources, Inc., 7.125%, 4/1/2016 

 

 

165,000 

 

108,900 

SandRidge Energy, Inc., 144A, 8.0%, 6/1/2018 

 

 

55,000 

 

42,900 

Southwestern Energy Co., 144A, 7.5%, 2/1/2018 

 

 

80,000 

 

75,600 

Stallion Oilfield Services, 144A, 9.75%, 2/1/2015 

 

 

65,000 

 

7,800 

Stone Energy Corp.:

 
 

6.75%, 12/15/2014  

 

 

135,000 

 

62,100 

 

8.25%, 12/15/2011  

 

 

200,000 

 

126,000 

Tennessee Gas Pipeline Co., 7.625%, 4/1/2037 

 

 

30,000 

 

25,841 

TEPPCO Partners LP, 7.625%, 2/15/2012 

 

 

70,000 

 

70,122 

Tesoro Corp., 6.5%, 6/1/2017 

 

 

165,000 

 

127,050 

TransCanada PipeLines Ltd.:

 
 

7.125%, 1/15/2019 (b)

 

 

45,000 

 

46,448 

 

7.625%, 1/15/2039  

 

 

25,000 

 

24,967 

Whiting Petroleum Corp.:

 
 

7.25%, 5/1/2012  

 

 

125,000 

 

105,000 

 

7.25%, 5/1/2013  

 

 

20,000 

 

16,300 

Williams Companies, Inc.:

 
 

8.125%, 3/15/2012  

 

 

235,000 

 

231,475 

 

8.75%, 3/15/2032  

 

 

140,000 

 

130,900 

 

**5,327,135**

**Financials 14.8%**

 
Algoma Acquisition Corp., 144A, 9.875%, 6/15/2015 

 

 

170,000 

 

66,300 

Ashton Woods USA LLC, 144A, Step-up Coupon, 0.0% to 12/24/2012, 11.0% to 6/30/2015   

 

 

85,800 

 

31,300 

Bank of America Corp., 5.75%, 12/1/2017 (b) 

 

 

670,000 

 

565,323 

Bank of New York Mellon Corp., 5.125%, 8/27/2013 (b) 

 

 

305,000 

 

302,836 

Buffalo Thunder Development Authority, 144A, 9.375%, 12/15/2014 

 

 

35,000 

 

1,750 

Caterpillar Financial Services Corp., 6.125%, 2/17/2014 (b) 

 

 

650,000 

 

633,365 

Citigroup, Inc., 6.5%, 8/19/2013 (b) 

 

 

165,000 

 

153,829 

Conproca SA de CV, REG S, 12.0%, 6/16/2010 

 

 

207,300 

 

215,592 

 

 

Ford Motor Credit Co., LLC:

 
 

7.25%, 10/25/2011  

 

 

450,000 

 

243,931 

 

7.875%, 6/15/2010  

 

 

150,000 

 

99,964 

Fresenius US Finance II, Inc., 144A, 9.0%, 7/15/2015 

 

 

85,000 

 

88,400 

General Electric Capital Corp., 5.625%, 5/1/2018 (b) 

 

 

673,000 

 

576,526 

GMAC LLC:

 
 

2.488% ***, 5/15/2009  

 

 

130,000 

 

114,725 

 

4.241% ***, 6/30/2009  

EUR

 

20,000 

 

18,129 

 

144A, 6.875%, 9/15/2011  

 

 

455,000 

 

296,204 

 

7.75%, 1/19/2010 (b)

 

 

45,000 

 

32,906 

 

 

 

 

144A, 7.75%, 1/19/2010  

 

 

150,000 

 

120,010 

Hawker Beechcraft Acquisition Co., LLC:

 
 

8.5%, 4/1/2015  

 

 

175,000 

 

33,250 

 

8.875%, 4/1/2015 (PIK) 

 

 

90,000 

 

7,650 

Hexion US Finance Corp., 9.75%, 11/15/2014 

 

 

30,000 

 

3,900 

Inmarsat Finance PLC, 10.375%, 11/15/2012 

 

 

195,000 

 

198,900 

iPayment, Inc., 9.75%, 5/15/2014 

 

 

60,000 

 

35,400 

JPMorgan Chase & Co., 5.375%, 1/15/2014 (b)

 

 

420,000 

 

411,475 

JPMorgan Chase Bank NA, 6.0%, 10/1/2017 

 

 

250,000 

 

236,528 

Local TV Finance LLC, 144A, 9.25%, 6/15/2015 (PIK)

 

 

55,000 

 

5,569 

New ASAT (Finance) Ltd., 9.25%, 2/1/2011 ** 

 

 

90,000 

 

1,350 

NiSource Finance Corp.:

 
 

6.15%, 3/1/2013  

 

 

210,000 

 

179,664 

 

7.875%, 11/15/2010  

 

 

135,000 

 

132,215 

Orascom Telecom Finance SCA, 144A, 7.875%, 2/8/2014 

 

 

100,000 

 

60,000 

Qwest Capital Funding, Inc., 7.0%, 8/3/2009 

 

 

75,000 

 

74,813 

Rainbow National Services LLC, 144A, 10.375%, 9/1/2014 

 

 

10,000 

 

10,238 

Sprint Capital Corp.:

 
 

7.625%, 1/30/2011  

 

 

275,000 

 

238,562 

 

8.375%, 3/15/2012  

 

 

115,000 

 

93,150 

Toyota Motor Credit Corp., Series B, 4.911% ***, 1/9/2012 

 

 

195,000 

 

192,716 

Tropicana Entertainment LLC, 9.625%, 12/15/2014 ** 

 

 

190,000 

 

1,900 

UCI Holdco, Inc., 9.996% ***, 12/15/2013 (PIK)

 

 

62,793 

 

5,023 

Universal City Development Partners Ltd., 11.75%, 4/1/2010 

 

 

200,000 

 

153,500 

Verizon Wireless Capital LLC, 144A, 5.55%, 2/1/2014 

 

 

925,000 

 

919,624 

Williams Companies, Inc., Credit Linked Certificate Trust, 144A, 6.75%, 4/15/2009 

 

 

10,000 

 

9,963 

Wind Acquisition Finance SA:

 
 

144A, 9.75%, 12/1/2015  

EUR

 

150,000 

 

165,441 

 

144A, 10.75%, 12/1/2015  

 

 

75,000 

 

75,187 

 

**6,807,108**

**Health Care 6.3%**

 
Abbott Laboratories, 5.125%, 4/1/2019 

 

 

230,000 

 

227,605 

Boston Scientific Corp., 6.0%, 6/15/2011 

 

 

85,000 

 

83,938 

Community Health Systems, Inc., 8.875%, 7/15/2015 

 

 

390,000 

 

369,037 

HCA, Inc.:

 
 

9.125%, 11/15/2014  

 

 

90,000 

 

84,375 

 

9.25%, 11/15/2016  

 

 

430,000 

 

393,450 

 

9.625%, 11/15/2016 (PIK) 

 

 

130,000 

 

108,550 

 

144A, 9.875%, 2/15/2017  

 

 

135,000 

 

129,600 

HEALTHSOUTH Corp., 10.75%, 6/15/2016 

 

 

50,000 

 

50,125 

IASIS Healthcare LLC, 8.75%, 6/15/2014 

 

 

110,000 

 

105,600 

Psychiatric Solutions, Inc., 7.75%, 7/15/2015 

 

 

65,000 

 

57,038 

Roche Holdings, Inc., 144A, 4.5%, 3/1/2012 

 

 

930,000 

 

945,285 

Surgical Care Affiliates, Inc., 144A, 8.875%, 7/15/2015 (PIK)

 

 

65,000 

 

39,000 

The Cooper Companies, Inc., 7.125%, 2/15/2015 

 

 

80,000 

 

71,500 

Vanguard Health Holding Co. I, LLC, Step-up Coupon, 0% to 10/1/2009, 11.25% to 10/1/2015   

 

 

75,000 

 

64,125 

Vanguard Health Holding Co. II, LLC, 9.0%, 10/1/2014 

 

 

180,000 

 

164,700 

 

**2,893,928**

**Industrials 7.2%**

 
Actuant Corp., 6.875%, 6/15/2017 

 

 

50,000 

 

44,250 

Allied Waste North America, Inc., 6.5%, 11/15/2010 

 

 

95,000 

 

94,525 

ARAMARK Corp., 8.5%, 2/1/2015 (b) 

 

 

150,000 

 

136,500 

BE Aerospace, Inc., 8.5%, 7/1/2018 (b) 

 

 

150,000 

 

119,625 

Belden, Inc., 7.0%, 3/15/2017 

 

 

40,000 

 

31,400 

 

 

 

Bombardier, Inc., 144A, 6.75%, 5/1/2012 (b) 

 

 

220,000 

 

172,700 

Bristow Group, Inc., 7.5%, 9/15/2017 

 

 

75,000 

 

53,813 

Browning-Ferris Industries, Inc., 7.4%, 9/15/2035 

 

 

130,000 

 

115,700 

Cenveo Corp., 144A, 10.5%, 8/15/2016 

 

 

65,000 

 

39,650 

Congoleum Corp., 8.625%, 8/1/2008 ** 

 

 

100,000 

 

75,000 

Esco Corp., 144A, 8.625%, 12/15/2013 

 

 

245,000 

 

184,975 

General Cable Corp.:

 
 

3.81% ***, 4/1/2015  

 

 

65,000 

 

44,850 

 

7.125%, 4/1/2017  

 

 

55,000 

 

47,300 

Great Lakes Dredge & Dock Co., 7.75%, 12/15/2013 

 

 

50,000 

 

41,500 

K. Hovnanian Enterprises, Inc., 8.875%, 4/1/2012 

 

 

70,000 

 

25,200 

Kansas City Southern de Mexico SA de CV:

 
 

7.375%, 6/1/2014  

 

 

160,000 

 

141,600 

 

7.625%, 12/1/2013  

 

 

110,000 

 

99,000 

 

9.375%, 5/1/2012  

 

 

275,000 

 

269,500 

Kansas City Southern Railway Co., 8.0%, 6/1/2015 (b) 

 

 

115,000 

 

105,800 

Mobile Mini, Inc., 9.75%, 8/1/2014 

 

 

70,000 

 

54,950 

Moog, Inc., 144A, 7.25%, 6/15/2018 

 

 

25,000 

 

22,500 

Navios Maritime Holdings, Inc., 9.5%, 12/15/2014 

 

 

70,000 

 

42,000 

Ply Gem Industries, Inc., 11.75%, 6/15/2013 

 

 

20,000 

 

9,200 

R.H. Donnelley Corp., Series A-4, 8.875%, 10/15/2017 

 

 

210,000 

 

9,450 

RBS Global & Rexnord Corp., 9.5%, 8/1/2014 

 

 

55,000 

 

46,475 

Seitel, Inc., 9.75%, 2/15/2014 

 

 

35,000 

 

14,350 

Titan International, Inc., 8.0%, 1/15/2012 

 

 

205,000 

 

164,512 

TransDigm, Inc., 7.75%, 7/15/2014 

 

 

55,000 

 

50,600 

Union Pacific Corp., 5.125%, 2/15/2014 

 

 

420,000 

 

415,736 

United Rentals North America, Inc.:

 
 

6.5%, 2/15/2012  

 

 

120,000 

 

94,200 

 

7.0%, 2/15/2014  

 

 

150,000 

 

82,500 

US Concrete, Inc., 8.375%, 4/1/2014 

 

 

60,000 

 

22,650 

Vought Aircraft Industries, Inc., 8.0%, 7/15/2011 

 

 

35,000 

 

19,250 

Waste Management, Inc., 6.375%, 3/11/2015 (b) 

 

 

455,000 

 

450,608 

 

**3,341,869**

**Information Technology 3.3%**

 
Alcatel-Lucent USA, Inc., 6.45%, 3/15/2029 

 

 

205,000 

 

74,312 

Alion Science & Technology Corp., 10.25%, 2/1/2015 

 

 

95,000 

 

28,500 

Hewlett-Packard Co., 4.75%, 6/2/2014 (b) 

 

 

455,000 

 

452,679 

L-3 Communications Corp.:

 
 

5.875%, 1/15/2015  

 

 

180,000 

 

166,050 

 

Series B, 6.375%, 10/15/2015  

 

 

175,000 

 

165,375 

 

7.625%, 6/15/2012  

 

 

360,000 

 

361,800 

MasTec, Inc., 7.625%, 2/1/2017 

 

 

115,000 

 

92,575 

Seagate Technology HDD Holdings, 6.8%, 10/1/2016 (b) 

 

 

75,000 

 

41,250 

SunGard Data Systems, Inc., 10.25%, 8/15/2015 

 

 

140,000 

 

95,900 

Vangent, Inc., 9.625%, 2/15/2015 

 

 

45,000 

 

28,463 

 

**1,506,904**

**Materials 6.1%**

 
Appleton Papers, Inc., Series B, 8.125%, 6/15/2011 

 

 

25,000 

 

17,000 

ARCO Chemical Co., 9.8%, 2/1/2020 ** 

 

 

385,000 

 

64,487 

Cascades, Inc., 7.25%, 2/15/2013 

 

 

76,000 

 

43,510 

Chemtura Corp., 6.875%, 6/1/2016 

 

 

130,000 

 

58,500 

Clondalkin Acquisition BV, 144A, 3.996% ***, 12/15/2013 

 

 

75,000 

 

46,500 

CPG International I, Inc., 10.5%, 7/1/2013 

 

 

120,000 

 

63,600 

Exopack Holding Corp., 11.25%, 2/1/2014 

 

 

175,000 

 

101,937 

Freeport-McMoRan Copper & Gold, Inc.:

 
 

 

 

 

6.875%, 2/1/2014 (b)

 

 

15,000 

 

14,513 

 

8.25%, 4/1/2015 (b)

 

 

360,000 

 

320,400 

 

8.375%, 4/1/2017  

 

 

500,000 

 

431,250 

GEO Specialty Chemicals, Inc.:

 
 

144A, 7.5% ***, 3/31/2015 (PIK) 

 

 

100,803 

 

50,402 

 

144A, 9.968% ***, 12/31/2009  

 

 

163,000 

 

81,500 

Georgia-Pacific LLC:

 
 

144A, 7.125%, 1/15/2017  

 

 

40,000 

 

36,700 

 

9.5%, 12/1/2011  

 

 

45,000 

 

44,550 

Hexcel Corp., 6.75%, 2/1/2015 

 

 

250,000 

 

218,750 

Huntsman LLC, 11.625%, 10/15/2010 

 

 

201,000 

 

198,990 

Innophos, Inc., 8.875%, 8/15/2014 

 

 

25,000 

 

19,875 

Koppers Holdings, Inc., Step-up Coupon, 0% to 11/15/2009, 9.875% to 11/15/2014   

 

 

195,000 

 

159,900 

Metals USA Holding Corp., 7.435% ***, 7/1/2012 (PIK)

 

 

41,088 

 

9,039 

Millar Western Forest Products Ltd., 7.75%, 11/15/2013 

 

 

30,000 

 

14,700 

NewMarket Corp., 7.125%, 12/15/2016 

 

 

135,000 

 

105,975 

NewPage Corp., 10.0%, 5/1/2012 

 

 

105,000 

 

31,763 

OI European Group BV, 144A, 6.875%, 3/31/2017 

EUR

 

50,000 

 

53,879 

Pliant Corp., 11.85%, 6/15/2009 (PIK) **

 

 

10 

 

4 

Radnor Holdings Corp., 11.0%, 3/15/2010 ** 

 

 

20,000 

 

25 

Rhodia SA, 144A, 5.362% ***, 10/15/2013 

EUR

 

50,000 

 

31,377 

Terra Capital, Inc., Series B, 7.0%, 2/1/2017 

 

 

130,000 

 

118,300 

The Mosaic Co., 144A, 7.375%, 12/1/2014 

 

 

395,000 

 

384,137 

Witco Corp., 6.875%, 2/1/2026 

 

 

45,000 

 

14,850 

Wolverine Tube, Inc., 10.5%, 4/1/2009 

 

 

70,000 

 

56,000 

 

**2,792,413**

**Telecommunication Services 9.4%**

 
AT&T, Inc.:

 
 

4.85%, 2/15/2014 (b)

 

 

630,000 

 

624,907 

 

6.7%, 11/15/2013  

 

 

275,000 

 

290,960 

BCM Ireland Preferred Equity Ltd., 144A, 8.959% ***, 2/15/2017 (PIK)

EUR

 

62,852 

 

3,706

Centennial Communications Corp.:

 
 

10.0%, 1/1/2013  

 

 

50,000 

 

53,125 

 

10.125%, 6/15/2013  

 

 

225,000 

 

232,594 

Cincinnati Bell, Inc.:

 
 

7.25%, 7/15/2013  

 

 

175,000 

 

167,125 

 

8.375%, 1/15/2014 (b)

 

 

65,000 

 

59,475 

Cricket Communications, Inc.:

 
 

9.375%, 11/1/2014  

 

 

115,000 

 

104,938 

 

144A, 10.0%, 7/15/2015  

 

 

130,000 

 

119,925 

Crown Castle International Corp., 9.0%, 1/15/2015 

 

 

145,000 

 

141,375 

Frontier Communications Corp.:

 
 

6.25%, 1/15/2013  

 

 

70,000 

 

63,700 

 

9.25%, 5/15/2011  

 

 

45,000 

 

45,900 

Grupo Iusacell Celular SA de CV, 10.0%, 3/31/2012 

 

 

19,520 

 

13,274 

Hellas Telecommunications Luxembourg V, 144A, 6.112% ***, 10/15/2012 

EUR

 

200,000 

 

139,453 

Intelsat Corp.:

 
 

144A, 9.25%, 8/15/2014  

 

 

25,000 

 

23,313 

 

144A, 9.25%, 6/15/2016  

 

 

365,000 

 

333,062 

Intelsat Subsidiary Holding Co., Ltd., 144A, 8.875%, 1/15/2015 

 

 

155,000 

 

147,250 

iPCS, Inc., 3.295% ***, 5/1/2013 

 

 

30,000 

 

21,600 

MetroPCS Wireless, Inc.:

 
 

9.25%, 11/1/2014  

 

 

160,000 

 

151,200 

 

144A, 9.25%, 11/1/2014  

 

 

75,000 

 

70,500 

Millicom International Cellular SA, 10.0%, 12/1/2013 

 

 

530,000 

 

513,437 

Qwest Corp.:

 
 

 

 

 

7.25%, 9/15/2025  

 

 

20,000 

 

14,400 

 

7.875%, 9/1/2011  

 

 

210,000 

 

206,850 

 

8.875%, 3/15/2012  

 

 

40,000 

 

39,400 

Rogers Communications, Inc., 6.8%, 8/15/2018 

 

 

185,000 

 

185,207 

Sprint Nextel Corp., 6.0%, 12/1/2016 

 

 

90,000 

 

58,500 

Stratos Global Corp., 9.875%, 2/15/2013 

 

 

30,000 

 

28,650 

Telesat Canada, 144A, 11.0%, 11/1/2015 

 

 

205,000 

 

166,050 

Virgin Media Finance PLC:

 
 

8.75%, 4/15/2014  

 

 

150,000 

 

134,812 

 

8.75%, 4/15/2014  

EUR

 

90,000 

 

99,835 

Windstream Corp.:

 
 

7.0%, 3/15/2019  

 

 

90,000 

 

77,400 

 

8.625%, 8/1/2016  

 

 

10,000 

 

9,600 

 

**4,341,523**

**Utilities 10.1%**

 
AES Corp.:

 
 

8.0%, 10/15/2017  

 

 

75,000 

 

63,750 

 

144A, 8.0%, 6/1/2020  

 

 

125,000 

 

103,750 

 

144A, 8.75%, 5/15/2013  

 

 

393,000 

 

381,210 

 

9.5%, 6/1/2009  

 

 

115,000 

 

113,850 

Alabama Power Co., 6.0%, 3/1/2039 (d) 

 

 

210,000 

 

208,410 

Allegheny Energy Supply Co., LLC, 144A, 8.25%, 4/15/2012 

 

 

550,000 

 

558,250 

CenterPoint Energy Houston Electric LLC, Series U, 7.0%, 3/1/2014 

 

 

30,000 

 

30,970 

CenterPoint Energy, Inc., Series B, 7.25%, 9/1/2010 

 

 

125,000 

 

125,019 

CMS Energy Corp., 8.5%, 4/15/2011 

 

 

285,000 

 

287,636 

CP&L, Inc., 5.3%, 1/15/2019 (b) 

 

 

220,000 

 

220,437 

Duke Energy Corp., 6.3%, 2/1/2014 (b) 

 

 

215,000 

 

223,364 

Edison Mission Energy, 7.0%, 5/15/2017 

 

 

160,000 

 

135,200 

Energy Future Holdings Corp., 10.875%, 11/1/2017 

 

 

105,000 

 

59,850 

Intergas Finance BV, REG S, 6.875%, 11/4/2011 

 

 

425,000 

 

318,750 

IPALCO Enterprises, Inc., 144A, 7.25%, 4/1/2016 

 

 

50,000 

 

46,000 

Jersey Central Power & Light Co., 7.35%, 2/1/2019 (b) 

 

 

215,000 

 

215,833 

Knight, Inc., 6.5%, 9/1/2012 

 

 

110,000 

 

103,400 

Mirant Americas Generation LLC, 8.3%, 5/1/2011 

 

 

195,000 

 

188,175 

Mirant North America LLC, 7.375%, 12/31/2013 

 

 

35,000 

 

32,025 

NRG Energy, Inc.:

 
 

7.25%, 2/1/2014  

 

 

140,000 

 

131,950 

 

7.375%, 2/1/2016  

 

 

125,000 

 

115,313 

 

7.375%, 1/15/2017  

 

 

110,000 

 

101,750 

NV Energy, Inc.:

 
 

6.75%, 8/15/2017  

 

 

140,000 

 

110,436 

 

8.625%, 3/15/2014  

 

 

33,000 

 

31,819 

Oncor Electric Delivery Co., 7.0%, 9/1/2022 

 

 

45,000 

 

42,619 

Orion Power Holdings, Inc., 12.0%, 5/1/2010 

 

 

330,000 

 

338,662 

PacifiCorp:

 
 

5.5%, 1/15/2019  

 

 

15,000 

 

15,120 

 

6.0%, 1/15/2039  

 

 

10,000 

 

9,883 

Regency Energy Partners LP, 8.375%, 12/15/2013 

 

 

85,000 

 

70,763 

Reliant Energy, Inc., 7.875%, 6/15/2017 

 

 

155,000 

 

112,763 

Texas Competitive Electric Holdings Co., LLC, Series A, 10.25%, 11/1/2015 

 

 

330,000 

 

166,650 

 

**4,663,607**

**Total Corporate Bonds** (Cost $45,553,599)

 

**37,741,563**

 

 

 

 

**Government & Agency Obligations 34.7%**

 
**Sovereign Bonds 33.8%**

 
Federative Republic of Brazil:

 
 

7.875%, 3/7/2015  

 

 

540,000 

 

581,850 

 

8.875%, 10/14/2019  

 

 

660,000 

 

757,350 

 

12.5%, 1/5/2016  

BRL

 

625,000 

 

260,845 

Government of Ukraine, REG S, 7.65%, 6/11/2013 

 

 

460,000 

 

170,200 

Republic of Argentina, 5.83%, 12/31/2033 

ARS

 

559 

 

69

Republic of Bulgaria, 144A, 8.25%, 1/15/2015 

 

 

425,000 

 

423,938 

Republic of Colombia:

 
 

8.25%, 12/22/2014  

 

 

80,000 

 

87,280 

 

10.0%, 1/23/2012 (b)

 

 

665,000 

 

751,450 

 

10.75%, 1/15/2013  

 

 

200,000 

 

234,700 

Republic of El Salvador, 144A, 7.65%, 6/15/2035 

 

 

885,000 

 

628,350 

Republic of Ghana, 144A, 8.5%, 10/4/2017 

 

 

100,000 

 

64,000 

Republic of Indonesia, 144A, 6.875%, 3/9/2017 

 

 

625,000 

 

481,250 

Republic of Panama:

 
 

7.125%, 1/29/2026  

 

 

407,000 

 

389,703 

 

9.375%, 1/16/2023  

 

 

665,000 

 

715,706 

Republic of Peru, 7.35%, 7/21/2025 

 

 

2,015,000 

 

2,055,300 

Republic of Philippines, 8.375%, 2/15/2011 

 

 

205,000 

 

219,863 

Republic of South Africa, 6.5%, 6/2/2014 

 

 

1,960,000 

 

1,940,400 

Republic of Turkey:

 
 

7.0%, 9/26/2016  

 

 

565,000 

 

525,450 

 

7.25%, 3/15/2015  

 

 

180,000 

 

171,450 

 

11.75%, 6/15/2010  

 

 

1,175,000 

 

1,266,062 

Republic of Uruguay:

 
 

7.625%, 3/21/2036  

 

 

120,000 

 

98,700 

 

9.25%, 5/17/2017  

 

 

415,000 

 

445,087 

Republic of Venezuela, 10.75%, 9/19/2013 

 

 

1,645,000 

 

1,135,050 

Socialist Republic of Vietnam, 144A, 6.875%, 1/15/2016 (b) 

 

 

965,000 

 

829,900 

United Mexican States:

 
 

5.625%, 1/15/2017 (b)

 

 

870,000 

 

839,115 

 

Series A, 5.875%, 1/15/2014  

 

 

485,000 

 

492,275 

 

**15,565,343**

**US Government Sponsored Agencies 0.9%**

 
JPMorgan Chase & Co., Series 2, FDIC Guaranteed, 2.125%, 6/22/2012 (b)

 

 

10,000 

 

9,953 

PNC Funding Corp., FDIC Guaranteed, 2.3%, 6/22/2012 (b) 

 

 

420,000 

 

420,064 

 

**430,017**

**Total Government & Agency Obligations** (Cost $18,611,833)

 

**15,995,360**

 

**Loan Participations and Assignments 7.9%**

 
**Senior Loans*** 7.4%**

 
Aspect Software, Inc., First Lien Term Loan, LIBOR plus 3.0%, 5.119%, 7/11/2011 

 

 

110,600 

 

70,231 

Buffets, Inc.:

 
 

Debtor in Possession Term Loan, LIBOR plus 7.25%, 9.369%, 4/30/2009 (PIK) 

 

 

48,499 

 

6,790 

 

Tranche 3, LIBOR plus 7.25%, 9.369%, 4/30/2009 (PIK) 

 

 

4,829 

 

676 

 

Letter of Credit, LIBOR plus 7.25%, 9.369%, 5/1/2013 (PIK)

 

 

14,849 

 

2,078 

 

Term Loan B, LIBOR plus 7.25%, 9.369%, 11/1/2013 (PIK)

 

 

100,886 

 

14,124 

Charter Communications Operating LLC:

 
 

Term Loan, LIBOR plus 2.0%, 4.119%, 3/6/2014  

 

 

432,621 

 

345,853 

 

Incremental Term Loan, LIBOR plus 5.0%, 7.119%, 3/6/2014  

 

 

259,213 

 

236,315 

 

 

Community Health Systems, Inc.:

 
 

Term Delayed Draw, LIBOR plus 2.25%, 4.369%, 7/25/2014  

 

 

22,912 

 

19,494 

 

 

 

 

Term Loan B, LIBOR plus 2.25%, 4.369%, 7/25/2014  

 

 

447,994 

 

381,167 

Cricket Communications, Inc., Term Loan B, LIBOR plus 3.5%, 5.619%, 6/16/2013 

 

 

268,779 

 

251,057 

Energy Future Holdings Corp.:

 
 

Term Loan B2, LIBOR plus 3.5%, 5.619%, 10/14/2014  

 

 

31,770 

 

19,572 

 

Term Loan B3, LIBOR plus 3.5%, 5.619%, 10/14/2014  

 

 

488,813 

 

304,591 

Essar Steel Algoma, Inc., Term Loan B, LIBOR plus 2.5%, 4.619%, 12/31/2013 

 

 

57,468 

 

35,199 

General Nutrition Centers, Inc., Term Loan B, LIBOR plus 2.25%, 4.369%, 9/16/2013 

 

 

29,623 

 

21,847 

Georgia-Pacific Corp., First Lien Term Loan, LIBOR plus 2.0%, 4.119%, 12/20/2012 

 

 

124,621 

 

107,922 

Golden Nugget, Inc., Second Lien Term Loan, LIBOR plus 3.25%, 5.369%, 12/31/2014 

 

 

60,000 

 

9,300 

Graphic Packaging International, Inc., Incremental Term Loan, LIBOR plus 2.75%, 4.869%, 5/16/2014 

 

 

138,625 

 

118,948 

Hawker Beechcraft, Inc.:

 
 

Letter of Credit, LIBOR plus 2.0%, 4.119%, 3/26/2014  

 

 

12,600 

 

5,918 

 

Term Loan, LIBOR plus 2.0%, 4.119%, 3/26/2014  

 

 

214,579 

 

100,786 

HCA, Inc., Term Loan A, LIBOR plus 1.5%, 3.619%, 11/17/2012 

 

 

854,743 

 

749,648 

Hexion Specialty Chemicals:

 
 

Term Loan C1, LIBOR plus 2.25%, 4.369%, 5/6/2013  

 

 

215,012 

 

83,854 

 

Term Loan C2, LIBOR plus 2.25%, 4.369%, 5/6/2013  

 

 

63,366 

 

24,713 

IASIS Healthcare LLC, Term Loan, LIBOR plus 5.25%, 7.369%, 6/15/2014 (PIK)

 

 

85,174 

 

38,009 

Longview Power LLC:

 
 

Term Delayed Draw, LIBOR plus 2.25%, 4.369%, 2/28/2014  

 

 

14,000 

 

10,080 

 

Term Loan, LIBOR plus 2.25%, 4.369%, 2/28/2014  

 

 

12,000 

 

8,640 

 

Letter of Credit, LIBOR plus 2.4%, 4.519%, 2/28/2014  

 

 

4,000 

 

2,880 

NewPage Corp., Term Loan, LIBOR plus 3.75%, 5.869%, 12/19/2014 

 

 

14,850 

 

9,359 

Sabre, Inc., Term Loan B, LIBOR plus 2.0%, 4.119%, 9/30/2014 

 

 

53,449 

 

25,776 

Symbion, Inc.:

 
 

Term Loan A, LIBOR plus 3.25%, 5.369%, 8/23/2013  

 

 

23,588 

 

13,150 

 

Term Loan B, LIBOR plus 3.25%, 5.369%, 8/23/2014  

 

 

23,588 

 

13,268 

Telesat Canada:

 
 

Term Delayed Draw, LIBOR plus 3.0%, 5.119%, 10/31/2014  

 

 

12,533 

 

10,785 

 

Term Loan B, LIBOR plus 3.0%, 5.119%, 10/31/2014  

 

 

145,928 

 

125,571 

Tribune Co., Tranche B, 2.119%, 5/19/2014 ** 

 

 

108,625 

 

28,939 

Wm. Wrigley Jr. Co., Tranche B, LIBOR plus 3.5%, 5.619%, 10/6/2014 

 

 

200,000 

 

198,323 

 

**3,394,863**

**Sovereign Loans 0.5%**

 
Export-Import Bank of Ukraine, 6.8%, 10/4/2012 

 

 

290,000 

 

67,147****

Gazprom, 144A, 6.51%, 3/7/2022 

 

 

300,000 

 

175,140****

 

 

**242,287**

**Total Loan Participations and Assignments** (Cost $4,991,218)

 

**3,637,150**

 

**Preferred Security 0.1%**

 
**Financials**

 
Xerox Capital Trust I, 8.0%, 2/1/2027 (b) (Cost $31,275)

 

 

30,000 

 

**22,430**

 

**Units**

 

**Value ($)**

 

**Other Investments 0.1%**

 
**Materials**

 
Hercules, Inc., (Bond Unit), 6.5%, 6/30/2029 (Cost $81,226)

 

 

95,000 

 

**41,800**

 

 

 

 

**Shares**

 

**Value ($)**

 

**Common Stocks 0.0%**

 
**Consumer Discretionary 0.0%**

 
Vertis Holdings, Inc.*  

 

1,058 

 

**0**

**Materials 0.0%**

 
GEO Specialty Chemicals, Inc.*  

 

1,741 

 

**1,480**

**Total Common Stocks** (Cost $19,453)

 

**1,480**

 

**Warrants 0.0%**

 
**Financials**

 
New ASAT (Finance) Ltd., Expiration Date 2/1/2011*  (Cost $0)

 

11,700 

 

**471**

 

**Convertible Preferred Stocks 0.0%**

 
**Consumer Discretionary**

 
ION Media Networks, Inc.:

 
 

144A, 12.0%*

 

 

10,000

 

0

 

Series AI, 144A, 12.0%*

 

 

25,000

 

0

**Convertible Preferred Stocks** (Cost $4,905)

 

**0**

 

**Securities Lending Collateral 16.8%**

 
Daily Assets Fund Institutional, 1.05% (e) (f)(Cost $7,745,830)

 

 

7,745,830

 

**7,745,830**

 

**Cash Equivalents 3.7%**

 
Cash Management QP Trust, 0.85% (e)(Cost $1,677,052)

 

 

1,677,052

 

**1,677,052**

 

 

 

 

 

 

 

**% of****Net Assets**

 

**Value ($)**

**Total Investment Portfolio** (Cost $78,716,391) †

145.2

 

**66,863,136**

**Other Assets and Liabilities, Net** (b)

(16.1)

 

**(7,409,346)**

**Notes Payable**

(29.1)

 

**(13,390,000)**

**Net Assets**

100.0

 

**46,063,790**

*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.*

****

*Non-income producing security.  Issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.  The following table represents bonds that are in default:*

**Securities**

 

**Coupon**

 

**Maturity****Date**

 

**Principal Amount ($)**

**Acquisition****Cost ($)**

 

**Value ($)**

 
ARCO Chemical Co.

 

9.8%

 

2/1/2020

 

385,000

 

USD

 

404,836

 

64,487

 
Congoleum Corp.

 

8.625%

 

8/1/2008

 

100,000

 

USD

 

86,244

 

75,000

 
New ASAT (Finance) Ltd.

 

9.25%

 

2/1/2011

 

90,000

 

USD

 

77,438

 

1,350

 
Pliant Corp.

 

11.85%

 

6/15/2009

 

10

 

USD

 

10

 

4

 
Quebecor World, Inc.

 

9.75%

 

1/15/2015

 

55,000

 

USD

 

55,975

 

2,338

 
Radnor Holdings Corp.

 

11.0%

 

3/15/2010

 

20,000

 

USD

 

17,688

 

25

 
Tribune Co.

 

5.119%

 

5/24/2014

 

108,625

 

USD

 

108,557

 

28,939

 
Tropicana Entertainment LLC

 

9.625%

 

12/15/2014

 

190,000

 

USD

 

142,075

 

1,900

 
Trump Entertainment Resorts, Inc.

 

8.5%

 

6/1/2015

 

20,000

 

USD

 

20,213

 

2,200

 
Young Broadcasting, Inc.

 

8.75%

 

1/15/2014

 

319,000

 

USD

 

282,265

 

35

 
 

 

 

 

 

 

 

 

**1,195,301**

 

**176,278**

 
 

 

 

*****

*Floating rate notes are securities whose yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate.  These securities are shown at their current rate as of February 28, 2009.*

*†*

*The cost for federal income tax purposes was $79,508,531.  At February 28, 2009, net unrealized depreciation for all securities based on tax cost was $12,645,395.  This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $199,353 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $12,844,748.*

*(a)*

*Principal amount stated in US dollars unless otherwise noted.*

*(b)*

*All or a portion of these securities were on loan amounting to $7,464,413. In addition, included in other assets and liabilities, net is a pending sale, amounting to $42,906, that is also on loan. The value of all securities loaned at February 28, 2009 amounted to $7,507,319 which is 16.3% of net assets.*

*(c)*

*Security has deferred its 6/15/2008 and 12/15/2008 interest payments until 6/30/2009.*

*(d)*

*When-issued security.*

*(e)*

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

*(f)*

*Represents collateral held in connection with securities lending.  Income earned by the Fund is net of borrower rebates.*

*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.*

*FDIC: Federal Deposit Insurance Corp.*

*LIBOR: Represents the London InterBank Offered Rate.*

*PIK: Denotes that all or a portion of the income is paid in kind.*

*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, US persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.*

*At February 28, 2009, open credit default swap contracts sold were as follows:*

**Effective/****Expiration****Dates**

**Notional****Amount ($) (g)**

**Fixed****Cash****Flows****Received**

**Underlying Debt****Obligation/****Quality Rating (h)**

**Value ($)**

**Upfront Premiums****Paid/****(Received) ($)**

**Unrealized****Appreciation ($)**

 

2/14/2008

3/20/2009

170,0001

3.8%

HCA, Inc.,6.375%, 1/15/2015, B-

33

—

33

 
2/26/2008

3/20/2009

130,0001

5.0%

Tenet Healthcare Corp.,7.375%, 2/1/2013, B

100

—

100

 
**Total unrealized appreciation**

**133**

 
*(g)*

*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.*

*(h)*

*The quality ratings represent the lower of Moody's Investors Service, Inc. ("Moody's") or Standard & Poor's Corporation ("S&P") credit ratings.*

*Counterparty:*

*1*

*Merrill Lynch, Pierce, Fenner & Smith, Inc.*

 

 
*As of February 28, 2009, the Fund had the following open forward foreign currency exchange contracts:*

 
**Contracts to Deliver**

 

**In Exchange For**

 

**Settlement****Date**

 

**Unrealized****Depreciation ($)**

 
 
 
 
USD

19,256

 

EUR

15,100

 

3/20/2009

 

(116)

 
 
EUR

834,900

 

USD

1,052,191

 

3/20/2009

 

(6,109)

 
 
**Total unrealized depreciation**

 

 

 

 

 

**(6,225)**

 
 
 
***Currency Abbreviations*****

 **

 **

 
*ARS***

*Argentine Peso***

*EUR***

*Euro***

 
*BRL***

*Brazilian Real***

*USD*

*United States Dollar***

 
 

 

 

***Fair Value Measurements***

 

*Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements,” establishes a three-tier hierarchy for measuring fair value and requires additional disclosure about the classification of 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 28, 2009 in valuing the Fund's investments. Please see below for information on the Fund’s policy regarding valuation inputs, and their aggregate levels used in the table below:*

 

**Valuation Inputs**

**Investments in  Securities**

**Other Financial Instruments***††*

Level 1 

$                   7,745,830   

$                              -   

Level 2 

58,707,600   

(6,092)   

Level 3 

409,706   

-   

**Total**

**$                 66,863,136**

**$                    (6,092)**

 

*†† Other financial instruments are derivative instruments not reflected in the Investment Portfolio, such as forward foreign currency exchange contracts and swap contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.*

 

*The following is a reconciliation of the Fund's Level 3 investments for which significant unobservable inputs were used in determining the value at February 28, 2009:*

 

 

**Investments in  Securities**

**Balance as of November 30, 2008**

$                     123,369

Total realized gain (loss)

(24,824)   

Change in unrealized appreciation (depreciation)

26,072   

Amortization premium/discount

1,619

Net purchases (sales)

(183,346)                                       

Net transfers in (out) of Level 3 

466,816   

**Balance as of February 28, 2009**

**$                     409,706**

**Net change in unrealized appreciation (depreciation) from investments still held as of February 28, 2009**

**$                       (30,714)**

 

***Derivative Instruments and Hedging Activities***

 

*Financial Accounting Standards Board Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities,” requires enhanced disclosure about an entity’s derivative and hedging activities.*

 

*The following is a summary of the fair valuations of the Fund's derivative instruments categorized by risk exposure at February 28, 2009.  Please see below for information on the Fund’s policy regarding the objectives and strategies for using credit default swaps and forward foreign exchange currency contracts.*

 

 

 

**Primary Underlying Risk Disclosure**

**Forward Currency Contracts**

 

 

**Swaps**

Interest Rate Contracts

 

 

Foreign Exchange Contracts

(6,225)

 

Credit Contracts

 

133

Equity Contracts

 

 

Other Contracts

 

 

 

 

*Credit Default Swaps.  The Fund is subject to credit risk.  The Fund may sell credit default swap contracts to obtain long exposure to certain bonds.  Under certain circumstances, this may be a more efficient way for the fund to create exposure to an issuer than trading for the actual underlying bonds themselves.  The maximum counterparty credit risk to the Fund is measured by the current value of the contract, in addition to any related collateral posted to the counterparty by the Fund.  This risk may be partially reduced by a master netting arrangement between the Fund and the counterparty.*

 

*Forward Foreign Currency Exchange Contracts.  The Fund is subject to foreign exchange rate risk in its securities denominated in foreign currencies.  Changes in exchange rates between foreign currencies and the US dollar may affect the US dollar value of foreign securities or the income or gains received on these securities.  To reduce the effect of currency fluctuations, the Fund may enter into forward foreign currency exchange contracts.  Certain risks may arise upon entering into forward currency contracts from the potential inability of counterparties to meet the terms of their contracts.  The maximum counterparty credit risk to the Fund is measured by the current value of the forward currency contract, to the extent that this amount is beneficial to the fund.*

 

 

**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: 

DWS Strategic Income Trust

 

By:

/s/Michael G. Clark

 

Michael G. Clark

President

 

Date:

April 22, 2009

 

 

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.

 

Registrant: 

DWS Strategic Income Trust

 

By:

/s/Michael G. Clark

 

Michael G. Clark

President

 

Date:

April 22, 2009

 

 

By:

/s/Paul Schubert

 

Paul Schubert

Chief Financial Officer and Treasurer

 

Date:                                        April 22, 2009

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