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  811-5482

DWS High 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 High Income Trust**

 

 

|   | **Principal****Amount ($) (a)** |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | **Value ($)** |
|--------|---------------------------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------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|        |
|   | **Corporate Bonds 122.8%**      |  
**Consumer Discretionary 14.5%**

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

 

 

670,000 

 

536,000 

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

 

 

205,000 

 

164,000 

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

 

 

361,173 

 

79,458 

Asbury Automotive Group, Inc.:

 
 

7.625%, 3/15/2017  

 

 

475,000 

 

213,750 

 

8.0%, 3/15/2014  

 

 

200,000 

 

92,000 

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

 

 

515,000 

 

309,000 

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

 

 

345,000 

 

36,225 

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

 

 

215,000 

 

181,675 

CSC Holdings, Inc.:

 
 

6.75%, 4/15/2012 (b)

 

 

435,000 

 

417,600 

 

 

 

 

Series B, 7.625%, 4/1/2011  

 

 

375,000 

 

371,250 

 

144A, 8.5%, 6/15/2015  

 

 

390,000 

 

372,450 

 

144A, 8.625%, 2/15/2019  

 

 

135,000 

 

125,550 

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

 

 

135,000 

 

116,100 

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

 

 

770,000 

 

739,200 

DISH DBS Corp.:

 
 

6.375%, 10/1/2011  

 

 

720,000 

 

687,600 

 

6.625%, 10/1/2014  

 

 

590,000 

 

531,000 

 

7.125%, 2/1/2016  

 

 

550,000 

 

496,375 

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

 

 

350,000 

 

220,500 

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

 

 

455,000 

 

29,575 

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

 

 

410,000 

 

287,000 

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

 

 

200,000 

 

150,000 

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

 

 

860,000 

 

421,400 

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

 

 

960,000 

 

14,400 

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

 

 

265,000 

 

137,800 

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

 

 

140,000 

 

137,200 

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

 

 

232,000 

 

92,800 

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

 

 

735,000 

 

738,675 

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

 

 

285,000 

 

178,125 

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

 

 

295,000 

 

250,013 

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

 

 

205,000 

 

137,350 

MGM MIRAGE, 6.625%, 7/15/2015 

 

 

170,000 

 

66,300 

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

 

 

650,000 

 

481,000 

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

 

 

1,130,000 

 

946,375 

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

 

 

835,000 

 

400,800 

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

 

 

335,000 

 

298,150 

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

 

 

290,000 

 

236,350 

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

 

 

330,000 

 

14,025 

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

 

 

305,000 

 

25,925 

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

 

 

375,000 

 

120,000 

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

 

 

475,000 

 

223,250 

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

 

 

335,000 

 

195,975 

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

 

 

1,345,000 

 

13,450 

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

 

 

275,000 

 

118,250 

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

 

 

405,000 

 

125,550 

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

 

 

845,000 

 

883,420 

 

 
Travelport LLC:

 
 

6.828% ***, 9/1/2014  

 

 

315,000 

 

100,800 

 

9.875%, 9/1/2014  

 

 

75,000 

 

30,375 

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

 

 

120,000 

 

13,200 

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

 

 

70,000 

 

27,650 

Unity Media GmbH:

 
 

144A, 8.75%, 2/15/2015  

EUR

 

1,110,000 

 

1,238,338 

 

144A, 10.375%, 2/15/2015  

 

 

260,000 

 

227,500 

UPC Holding BV:

 
 

144A, 7.75%, 1/15/2014  

EUR

 

435,000 

 

471,508 

 

144A, 8.0%, 11/1/2016  

EUR

 

195,000 

 

203,949 

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

 

 

154,392 

 

1,158 

Videotron Ltd.:

 
 

6.875%, 1/15/2014  

 

 

70,000 

 

65,450 

 

144A, 9.125%, 4/15/2018  

 

 

160,000

 

161,600

 

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

 

 

235,000

 

237,644

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

 

 

2,020,000 

 

222 

 

**15,192,285**

 

 

 

**Consumer Staples 3.7%**

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

 

 

225,000 

 

194,625 

Delhaize America, Inc.:

 
 

8.05%, 4/15/2027  

 

 

115,000 

 

113,052 

 

9.0%, 4/15/2031  

 

 

978,000 

 

1,091,692 

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

 

 

235,000 

 

138,650 

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

 

 

1,616,750 

 

727,537 

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

 

 

220,000 

 

207,350 

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

 

 

2,185,000 

 

1,420,250 

 

**3,893,156**

**Energy 21.2%**

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

 

 

910,000 

 

737,100 

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

 

 

1,940,000 

 

1,358,000 

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

 

 

450,000 

 

322,875 

Chaparral Energy, Inc.:

 
 

8.5%, 12/1/2015  

 

 

635,000 

 

149,225 

 

8.875%, 2/1/2017  

 

 

230,000 

 

55,200 

Chesapeake Energy Corp.:

 
 

6.25%, 1/15/2018 (b)

 

 

260,000 

 

202,150 

 

6.875%, 1/15/2016  

 

 

1,549,000 

 

1,274,052 

 

7.25%, 12/15/2018 (b)

 

 

725,000 

 

589,063 

 

7.5%, 6/15/2014  

 

 

190,000 

 

166,725 

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

 

 

185,000 

 

151,700 

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

 

 

1,020,000 

 

935,419 

ConocoPhillips, 4.75%, 2/1/2014 

 

 

160,000 

 

161,809 

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

 

 

850,000 

 

331,500 

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

 

 

330,000 

 

310,200 

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

 

 

130,000 

 

108,550 

El Paso Corp.:

 
 

7.25%, 6/1/2018  

 

 

765,000 

 

675,112 

 

7.75%, 6/15/2010  

 

 

355,000 

 

349,352 

 

8.25%, 2/15/2016  

 

 

285,000 

 

265,050 

 

9.625%, 5/15/2012  

 

 

275,000 

 

268,625 

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

 

 

1,145,000 

 

1,075,185 

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

 

 

628,000 

 

501,615 

Forest Oil Corp.:

 
 

144A, 7.25%, 6/15/2019  

 

 

230,000 

 

184,000 

 

144A, 8.5%, 2/15/2014  

 

 

100,000 

 

91,000 

Frontier Oil Corp.:

 
 

6.625%, 10/1/2011  

 

 

320,000 

 

306,400 

 

8.5%, 9/15/2016  

 

 

690,000 

 

665,850 

KCS Energy, Inc., 7.125%, 4/1/2012 (b) 

 

 

1,735,000 

 

1,539,812 

Mariner Energy, Inc.:

 
 

7.5%, 4/15/2013  

 

 

400,000 

 

302,000 

 

8.0%, 5/15/2017  

 

 

445,000 

 

295,925 

Newfield Exploration Co., 7.125%, 5/15/2018 (b) 

 

 

685,000 

 

602,800 

OPTI Canada, Inc.:

 
 

7.875%, 12/15/2014  

 

 

540,000 

 

178,200 

 

8.25%, 12/15/2014  

 

 

1,305,000 

 

443,700 

Petrohawk Energy Corp.:

 
 

144A, 7.875%, 6/1/2015  

 

 

200,000 

 

172,000 

 

9.125%, 7/15/2013  

 

 

415,000 

 

392,175 

Plains Exploration & Production Co.:

 
 

7.0%, 3/15/2017  

 

 

380,000 

 

323,950 

 

7.625%, 6/1/2018 (b)

 

 

765,000 

 

665,550 

 

 

 

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

 

 

1,060,000 

 

699,600 

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

 

 

300,000 

 

234,000 

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

 

 

525,000 

 

496,125 

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

 

 

230,000 

 

27,600 

Stone Energy Corp.:

 
 

6.75%, 12/15/2014  

 

 

740,000 

 

340,400 

 

8.25%, 12/15/2011  

 

 

1,155,000 

 

727,650 

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

 

 

150,000 

 

129,205 

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

 

 

715,000 

 

550,550 

Whiting Petroleum Corp.:

 
 

7.25%, 5/1/2012  

 

 

830,000 

 

697,200 

 

7.25%, 5/1/2013  

 

 

105,000 

 

85,575 

Williams Companies, Inc.:

 
 

8.125%, 3/15/2012  

 

 

1,440,000 

 

1,418,400 

 

8.75%, 3/15/2032  

 

 

730,000 

 

682,550 

 

**22,240,724**

**Financials 12.3%**

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

 

 

1,065,000 

 

415,350 

Ashton Woods USA LLC, Step-up Coupon, 0% to 2/24/2012, 11.0% to 6/30/2015 

 

 

551,200 

 

201,078 

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

 

 

200,000 

 

10,000 

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

 

 

1,278,350 

 

1,329,484 

Eaton Vance Corp., CDO II, Series C-X, 13.68%, 7/15/2012 ** 

 

 

6,204,918 

 

0 

Ford Motor Credit Co., LLC:

 
 

7.25%, 10/25/2011  

 

 

2,660,000 

 

1,441,901 

 

7.875%, 6/15/2010  

 

 

340,000 

 

226,585 

GMAC LLC:

 
 

144A, 6.875%, 9/15/2011  

 

 

2,011,000 

 

1,309,157 

 

144A, 7.75%, 1/19/2010  

 

 

1,870,000 

 

1,496,131 

Hawker Beechcraft Acquisition Co., LLC:

 
 

8.5%, 4/1/2015  

 

 

1,070,000 

 

203,300 

 

8.875%, 4/1/2015 (PIK) 

 

 

635,000 

 

53,975 

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

 

 

210,000 

 

27,300 

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

 

 

1,215,000 

 

1,239,300 

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

 

 

365,000 

 

215,350 

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

 

 

345,000 

 

34,931 

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

 

 

570,000 

 

8,550 

NiSource Finance Corp., 6.15%, 3/1/2013 

 

 

575,000 

 

491,936 

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

 

 

435,000 

 

261,000 

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

 

 

81,000 

 

82,924 

Sprint Capital Corp.:

 
 

7.625%, 1/30/2011  

 

 

1,155,000 

 

1,001,962 

 

8.375%, 3/15/2012  

 

 

515,000 

 

417,150 

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

 

 

1,100,000 

 

11,000 

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

 

 

520,673 

 

41,654 

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

 

 

1,695,000 

 

1,300,912 

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

 

 

35,000 

 

34,797 

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

 

845,000 

 

931,986 

 

144A, 10.75%, 12/1/2015  

 

 

85,000 

 

85,213 

 

**12,882,889**

**Health Care 8.0%**

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

 

 

1,920,000 

 

1,816,800 

HCA, Inc.:

 
 

9.125%, 11/15/2014  

 

 

535,000 

 

501,562 

 

 

 

 

9.25%, 11/15/2016  

 

 

2,045,000 

 

1,871,175 

 

9.625%, 11/15/2016 (PIK) 

 

 

565,000 

 

471,775 

 

144A, 9.875%, 2/15/2017 (b)

 

 

345,000 

 

331,200 

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

 

 

305,000 

 

305,763 

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

 

 

440,000 

 

422,400 

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

 

 

390,000 

 

342,225 

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

 

 

50,000 

 

50,822 

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

 

 

410,000 

 

246,000 

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

 

 

680,000 

 

607,750 

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

 

 

480,000 

 

410,400 

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

 

 

1,140,000 

 

1,043,100 

 

**8,420,972**

**Industrials 12.5%**

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

 

 

575,000 

 

572,125 

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

 

 

635,000 

 

577,850 

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

 

 

880,000 

 

701,800 

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

 

 

340,000 

 

266,900 

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

 

 

1,270,000 

 

996,950 

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

 

 

635,000 

 

565,151 

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

 

 

360,000 

 

219,600 

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

 

 

715,000 

 

536,250 

Esco Corp.:

 
 

144A, 5.871% ***, 12/15/2013  

 

 

40,000 

 

24,800 

 

144A, 8.625%, 12/15/2013  

 

 

725,000 

 

547,375 

General Cable Corp.:

 
 

3.81% ***, 4/1/2015  

 

 

530,000 

 

365,700 

 

7.125%, 4/1/2017  

 

 

400,000 

 

344,000 

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

 

 

305,000 

 

253,150 

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

 

 

380,000 

 

136,800 

Kansas City Southern de Mexico SA de CV:

 
 

7.375%, 6/1/2014  

 

 

690,000 

 

610,650 

 

7.625%, 12/1/2013  

 

 

905,000 

 

814,500 

 

9.375%, 5/1/2012  

 

 

1,265,000 

 

1,239,700 

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

 

 

710,000 

 

653,200 

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

 

 

445,000 

 

349,325 

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

 

 

150,000 

 

135,000 

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

 

 

570,000 

 

342,000 

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

 

 

100,000 

 

46,000 

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

 

 

1,240,000 

 

55,800 

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

 

 

325,000 

 

274,625 

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

 

 

230,000 

 

94,300 

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

 

 

995,000 

 

798,487 

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

 

 

205,000 

 

188,600 

United Rentals North America, Inc.:

 
 

6.5%, 2/15/2012  

 

 

750,000 

 

588,750 

 

7.0%, 2/15/2014  

 

 

960,000 

 

528,000 

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

 

 

380,000 

 

143,450 

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

 

 

215,000 

 

118,250 

 

**13,089,088**

**Information Technology 3.0%**

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

 

 

1,235,000 

 

447,687 

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

 

 

345,000 

 

103,500 

L-3 Communications Corp.:

 
 

5.875%, 1/15/2015  

 

 

1,150,000 

 

1,060,875 

 

 

 

 

Series B, 6.375%, 10/15/2015  

 

 

1,085,000 

 

1,025,325 

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

 

 

475,000 

 

382,375 

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

 

 

275,000 

 

173,938 

 

**3,193,700**

**Materials 15.0%**

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

 

 

200,000 

 

136,000 

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

 

 

2,955,000 

 

494,963 

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

 

 

397,000 

 

227,283 

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

 

 

745,000 

 

335,250 

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

 

 

465,000 

 

288,300 

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

 

 

760,000 

 

402,800 

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

 

 

1,125,000 

 

655,312 

Freeport-McMoRan Copper & Gold, Inc.:

 
 

8.25%, 4/1/2015 (b)

 

 

1,450,000 

 

1,290,500 

 

8.375%, 4/1/2017  

 

 

2,110,000 

 

1,819,875 

GEO Specialty Chemicals, Inc.:

 
 

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

 

 

743,218 

 

371,609 

 

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

 

 

1,194,000 

 

597,000 

Georgia-Pacific LLC:

 
 

144A, 7.125%, 1/15/2017  

 

 

260,000 

 

238,550 

 

9.5%, 12/1/2011  

 

 

285,000 

 

282,150 

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

 

 

1,510,000 

 

1,321,250 

Huntsman LLC, 11.625%, 10/15/2010 

 

 

1,738,000 

 

1,720,620 

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

 

 

590,000 

 

483,800 

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

 

 

241,393 

 

53,106 

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

 

 

180,000 

 

88,200 

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

 

 

810,000 

 

635,850 

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

 

 

680,000 

 

205,700 

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

EUR

 

400,000 

 

431,035 

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

 

 

3 

 

1 

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

 

 

180,000 

 

225 

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

EUR

 

410,000 

 

257,290 

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

 

 

790,000 

 

718,900 

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

 

 

2,220,000 

 

2,158,950 

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

 

 

275,000 

 

90,750 

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

 

 

600,000 

 

480,000 

 

**15,785,269**

**Telecommunication Services 14.5%**

 
AT&T, Inc., 4.85%, 2/15/2014 

 

 

160,000 

 

158,707 

BCM Ireland Preferred Equity Ltd., 144A, 8.595% ***, 2/15/2017 (PIK)

EUR

 

414,847 

 

24,464 

Centennial Communications Corp.:

 
 

10.0%, 1/1/2013  

 

 

260,000 

 

276,250 

 

10.125%, 6/15/2013  

 

 

570,000 

 

589,237 

Cincinnati Bell, Inc.:

 
 

7.25%, 7/15/2013  

 

 

1,060,000 

 

1,012,300 

 

8.375%, 1/15/2014 (b)

 

 

395,000 

 

361,425 

Cricket Communications, Inc.:

 
 

9.375%, 11/1/2014 (b)

 

 

800,000 

 

730,000 

 

144A, 10.0%, 7/15/2015  

 

 

730,000 

 

673,425 

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

 

 

690,000 

 

672,750 

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

 

 

170,812 

 

116,152 

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

EUR

 

220,000 

 

153,398 

Intelsat Corp.:

 
 

144A, 9.25%, 8/15/2014  

 

 

145,000 

 

135,213 

 

144A, 9.25%, 6/15/2016  

 

 

1,665,000 

 

1,519,312 

 

 

 

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

 

 

870,000 

 

826,500 

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

 

 

180,000 

 

129,600 

MetroPCS Wireless, Inc., 9.25%, 11/1/2014 

 

 

1,010,000 

 

954,450 

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

 

 

1,985,000 

 

1,922,969 

Qwest Corp.:

 
 

7.25%, 9/15/2025  

 

 

120,000 

 

86,400 

 

7.875%, 9/1/2011  

 

 

1,210,000 

 

1,191,850 

 

8.875%, 3/15/2012  

 

 

260,000 

 

256,100 

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

 

 

360,000 

 

234,000 

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

 

 

260,000 

 

248,300 

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

 

 

1,255,000 

 

1,016,550 

Virgin Media Finance PLC:

 
 

8.75%, 4/15/2014  

 

 

905,000 

 

813,369 

 

8.75%, 4/15/2014  

EUR

 

570,000 

 

632,290 

Windstream Corp.:

 
 

7.0%, 3/15/2019  

 

 

515,000 

 

442,900 

 

8.625%, 8/1/2016  

 

 

80,000 

 

76,800 

 

**15,254,711**

**Utilities 18.1%**

 
AES Corp.:

 
 

8.0%, 10/15/2017  

 

 

440,000 

 

374,000 

 

144A, 8.0%, 6/1/2020  

 

 

710,000 

 

589,300 

 

144A, 8.75%, 5/15/2013  

 

 

2,288,000 

 

2,219,360 

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

 

 

3,285,000 

 

3,334,275 

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

 

 

405,000 

 

405,063 

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

 

 

2,045,000 

 

2,063,914 

Edison Mission Energy, 7.0%, 5/15/2017 (b) 

 

 

930,000 

 

785,850 

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

 

 

495,000 

 

282,150 

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

 

 

315,000 

 

289,800 

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

 

 

325,000 

 

305,500 

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

 

 

1,250,000 

 

1,206,250 

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

 

 

280,000 

 

256,200 

NRG Energy, Inc.:

 
 

7.25%, 2/1/2014  

 

 

825,000 

 

777,563 

 

7.375%, 2/1/2016  

 

 

780,000 

 

719,550 

 

7.375%, 1/15/2017  

 

 

290,000 

 

268,250 

NV Energy, Inc.:

 
 

6.75%, 8/15/2017  

 

 

880,000 

 

694,170 

 

8.625%, 3/15/2014  

 

 

155,000 

 

149,451 

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

 

 

285,000 

 

269,919 

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

 

 

1,990,000 

 

2,042,237 

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

 

 

520,000 

 

432,900 

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

 

 

880,000 

 

640,200 

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

 

 

1,785,000 

 

901,425 

 

**19,007,327**

**Total Corporate Bonds** (Cost $177,243,035)

 

**128,960,121**

 

**Loan Participations and Assignments 10.6%**

 
**Senior Loans *****

 
Alliance Mortgage Cycle Loan, Term Loan A, LIBOR plus 7.25%, 9.369%,     6/1/2010 ** 

 

 

466,667 

 

0 

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

 

 

367,193 

 

233,168 

Buffets, Inc.:

 
 

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

 

 

298,145 

 

41,740 

 

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

 

 

29,704

 

4,159

 

 

 

 

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

 

 

91,343 

 

12,788

 

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

 

 

620,168 

 

86,823 

Charter Communications Operating LLC:

 
 

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

 

 

1,541,093 

 

1,232,004 

 

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

 

 

1,270,200 

 

1,157,997 

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

 

 

535,878 

 

500,545 

Energy Future Holdings Corp., Term Loan B3, LIBOR plus 3.5%, 5.619%, 10/14/2014 

 

 

3,071,125 

 

1,913,695 

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

 

 

336,952 

 

206,383 

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

 

 

197,487 

 

145,647 

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

 

 

738,824 

 

639,825 

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

 

 

390,000 

 

60,450 

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

 

 

821,847 

 

705,190 

Hawker Beechcraft, Inc.:

 
 

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

 

 

43,427 

 

20,397 

 

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

 

 

739,570 

 

347,368 

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

 

 

2,675,128 

 

2,346,207 

Hexion Specialty Chemicals:

 
 

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

 

 

963,781 

 

375,875 

 

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

 

 

249,653 

 

97,365 

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

 

 

481,097 

 

214,690 

Longview Power LLC:

 
 

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

 

 

131,000 

 

94,320 

 

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

 

 

113,000 

 

81,360 

 

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

 

 

41,000 

 

29,520 

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

 

 

79,200 

 

49,916 

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

 

 

330,415 

 

159,342 

Symbion, Inc.:

 
 

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

 

 

150,960 

 

84,160 

 

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

 

 

150,960 

 

84,915 

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

 

 

671,500 

 

178,894 

**Total Loan Participations and Assignments** (Cost $16,784,925)

 

**11,104,743**

 

**Preferred Security 0.2%**

 
**Financials**

 
Xerox Capital Trust I, 8.0%, 2/1/2027 (b) (Cost $240,950)

 

 

235,000 

 

**175,704**

 

**Units**

 

**Value ($)**

 

**Other Investments 0.3%**

 
**Materials**

 
Hercules, Inc., (Bond Unit), 6.5%, 6/30/2029 (Cost $483,240)

 

 

775,000 

 

**341,000**

 

**Shares**

 

**Value ($)**

 

**Common Stocks 0.0%**

 
**Consumer Discretionary 0.0%**

 
Vertis Holdings, Inc.* 

 

7,700 

 

**0**

**Materials 0.0%**

 
GEO Specialty Chemicals, Inc.* 

 

14,091 

 

11,977 

GEO Specialty Chemicals, Inc. 144A* 

 

1,283 

 

1,091 

 

**13,068**

**Total Common Stocks** (Cost $154,244)

 

**13,068**

 

 

 

 

**Warrants 0.0%**

 
**Financials 0.0%**

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

 

105,300 

 

**4,238**

**Industrials 0.0%**

 
Dayton Superior Corp., 144A, Expiration Date 6/15/2009*  

 

60 

 

**0**

**Total Warrants** (Cost $1)

 

**4,238**

 

**Convertible Preferred Stocks 0.0%**

 
**Consumer Discretionary**

 
ION Media Networks, Inc.:

 
 

144A, 12.0% *

 

 

2

 

0

 

Series AI, 144A, 12.0% *

 

 

15,000

 

0

**Convertible Preferred Stocks** (Cost $38,785)

 

**0**

 

**Securities Lending Collateral 6.5%**

 
Daily Assets Fund Institutional, 1.05% (e) (f)(Cost $6,843,315)

 

 

6,843,315

 

**6,843,315**

 

**Cash Equivalents 4.0%**

 
Cash Management QP Trust, 0.85% (e)(Cost $4,235,595)

 

 

4,235,595

 

**4,235,595**

 

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

 

**Value ($)**

**Total Investment Portfolio** (Cost $206,024,090) †

144.4

 

**151,677,784**

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

(2.9)

 

**(3,024,301)**

**Notes Payable**

(41.5)

 

**(43,600,000)**

**Net Assets**

100.0

 

**105,053,483**

*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:*

**Security**

 

**Coupon**

 

**Maturity****Date**

 

**Principal Amount ($)**

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

 

**Value ($)**

 
ARCO Chemical Co.

 

9.8%

 

2/1/2020

 

2,955,000

 

USD

 

2,769,455

 

494,963

 
Alliance Mortgage Cycle Loan

 

9.369%

 

6/1/2010

 

466,667

 

USD

 

467,631

 

0

 
Congoleum Corp.

 

8.625%

 

8/1/2008

 

715,000

 

USD

 

600,300

 

536,250

 
Eaton Vance Corp., 

CDO II, Series C-X

 

13.68%

 

7/15/2012

 

6,204,918

 

USD

 

3,904,801

 

0

 
New ASAT (Finance) Ltd.

 

9.25%

 

2/1/2011

 

570,000

 

USD

 

494,231

 

8,550

 
Pliant Corp.

 

11.85%

 

6/15/2009

 

3

 

USD

 

3

 

1

 
Quebecor World, Inc.

 

9.75%

 

1/15/2015

 

330,000

 

USD

 

330,000

 

14,025

 
Radnor Holdings Corp.

 

11.0%

 

3/15/2010

 

180,000

 

USD

 

117,163

 

225

 
Tribune Co.

 

2.119%

 

5/19/2014

 

671,500

 

USD

 

671,080

 

178,894

 
Tropicana Entertainment LLC

 

9.625%

 

12/15/2014

 

1,100,000

 

USD

 

827,274

 

11,000

 
Trump Entertainment Resorts, Inc.

 

8.5%

 

6/1/2015

 

120,000

 

USD

 

115,163

 

13,200

 
Young Broadcasting, Inc.

 

8.75%

 

1/15/2014

 

2,020,000

 

USD

 

1,743,963

 

222

 
 

 

 

 

 

 

 

 

**12,041,064**

 

**1,257,330**

 
*****

*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 $207,489,705.  At February 28, 2009, net unrealized depreciation for all securities based on tax cost was $55,811,921.  This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $224,657 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $56,036,578.*

*(a)*

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

*(b)*

*All or a portion of these securities were on loan amounting to $6,069,910. In addition, included in other assets and liabilities, net are pending sales, amounting to $316,775, that is also on loan. The value of all securities loaned at February 28, 2009 amounted to $6,386,685 which is 6.1% 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.*

*CDO: Collateralized Debt Obligation*

*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

1,110,0001

3.8%

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

212

—

212

 
2/26/2008

3/20/2009

850,0001

5.0%

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

654

—

654

 
**Total unrealized appreciation**

**866**

 
*(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*

*Merill 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

105,846

 

EUR

83,000

 

3/20/2009

 

(637)

 
EUR

3,578,900

 

USD

4,510,345

 

3/20/2009

 

(26,186)

 
**Total unrealized depreciation**

 

 

 

 

 

**(26,823)**

 
 

 

***Currency Abbreviations*****

 **

 **

*EUR***

*Euro***

*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 

$                                 -   

$                              -   

Level 2 

150,632,099   

(25,957)   

Level 3 

1,045,685   

-   

**Total**

**$               151,677,784**

**$                  (25,957)**

 

*†† 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**

$                   803,508

Total realized gain (loss)

89   

Change in unrealized appreciation (depreciation)

(317,407)   

Amortization premium/discount

3,778

Net purchases (sales)

12,776   

Net transfers in (out) of Level 3 

542,941   

**Balance as of February 28, 2009**

**$                   1,045,685**

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

**$                   (324,017)**

 

***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

(26,823)

 

Credit Contracts

 

866

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 Contract.  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 High 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 High 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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