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  811-5689

DWS Multi-Market 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: 08/31/08

 

ITEM 1.  SCHEDULE OF INVESTMENTS

 

| Investment Portfolio | **as of August 31, 2008  (Unaudited)** |
|----------------------|----------------------------------------|

 

 

**DWS Multi-Market Income Trust**

 

 

|   | **Principal****Amount ($) (a)** |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | **Value ($)** |
|--------|---------------------------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------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|        |
|   | **Corporate Bonds 64.5%**       |  
**Consumer Discretionary 9.6%**

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

 

 

625,000 

 

564,062 

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

 

 

110,000 

 

107,800 

American Achievement Group Holding Corp., 14.75%, 10/1/2012 (PIK)

 

 

210,578 

 

200,576 

Asbury Automotive Group, Inc.:

 
 

7.625%, 3/15/2017 (b) 

 

 

255,000 

 

182,325 

 

8.0%, 3/15/2014 (b) 

 

 

165,000 

 

128,700 

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

 

 

315,000 

 

280,350 

Burlington Coat Factory Warehouse Corp., 11.125%, 4/15/2014 

 

 

135,000 

 

97,538 

Cablevision Systems Corp., Series B, 7.133% ***, 4/1/2009 

 

 

125,000 

 

125,625 

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

 

 

205,000 

 

159,900 

 

 

 

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

 

 

130,000 

 

109,850 

Charter Communications Operating LLC, 144A, 10.875%, 9/15/2014 

 

 

880,000 

 

924,000 

Cirsa Capital Luxembourg SA, 144A, 7.875%, 7/15/2012 

EUR

 

100,000 

 

117,364 

CSC Holdings, Inc.:

 
 

6.75%, 4/15/2012 (b) 

 

 

275,000 

 

268,125 

 

Series B, 7.625%, 4/1/2011 

 

 

225,000 

 

226,125 

 

Series B, 8.125%, 7/15/2009 

 

 

985,000 

 

998,544 

 

Series B, 8.125%, 8/15/2009 

 

 

485,000 

 

492,275 

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

 

 

80,000 

 

76,800 

DirecTV Holdings LLC, 144A, 7.625%, 5/15/2016 

 

 

745,000 

 

743,137 

Dollarama Group LP, 8.883% ***, 8/15/2012 (c)

 

 

216,000 

 

200,880 

EchoStar DBS Corp.:

 
 

6.375%, 10/1/2011 

 

 

365,000 

 

356,787 

 

6.625%, 10/1/2014 

 

 

355,000 

 

326,600 

 

7.125%, 2/1/2016 

 

 

345,000 

 

317,400 

Fontainebleau Las Vegas Holdings LLC, 144A, 10.25%, 6/15/2015 

 

 

290,000 

 

137,025 

General Motors Corp.:

 
 

7.4%, 9/1/2025 

 

 

150,000 

 

67,500 

 

8.375%, 7/15/2033 

 

 

410,000 

 

202,950 

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

 

 

220,000 

 

207,350 

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

 

 

125,000 

 

113,750 

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

 

 

770,000 

 

720,912 

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

 

 

625,000 

 

282,813 

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

 

 

160,000 

 

127,200 

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

 

 

250,000 

 

178,750 

Kabel Deutschland GmbH, 10.625%, 7/1/2014 (b) 

 

 

490,000 

 

503,475 

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

 

 

170,000 

 

150,663 

Liberty Media LLC:

 
 

5.7%, 5/15/2013 (b) 

 

 

35,000 

 

30,866 

 

8.25%, 2/1/2030 

 

 

320,000 

 

270,444 

 

8.5%, 7/15/2029 (b) 

 

 

420,000 

 

358,125 

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

 

 

110,000 

 

110,000 

MGM MIRAGE:

 
 

6.0%, 10/1/2009 

 

 

185,000 

 

181,300 

 

6.625%, 7/15/2015 

 

 

170,000 

 

135,575 

 

6.75%, 9/1/2012 

 

 

350,000 

 

301,000 

 

8.375%, 2/1/2011 (b) 

 

 

265,000 

 

240,488 

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

 

 

345,000 

 

335,513 

Norcraft Holdings LP, Step-up Coupon, 0% to 9/1/2008, 9.75% to 9/1/2012   

 

 

680,000 

 

605,200 

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

 

 

560,000 

 

454,300 

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

 

 

260,000 

 

256,750 

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

 

 

170,000 

 

159,800 

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

 

 

205,000 

 

92,250 

Quiksilver, Inc., 6.875%, 4/15/2015 (b) 

 

 

320,000 

 

256,800 

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

 

 

185,000 

 

109,613 

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

 

 

225,000 

 

153,000 

Seminole Hard Rock Entertainment, Inc., 144A, 5.276% ***, 3/15/2014 

 

 

290,000 

 

232,000 

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

 

 

810,000 

 

831,262 

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

 

 

210,000 

 

170,625 

Simmons Co.:

 
 

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

 

 

820,000 

 

516,600 

 

7.875%, 1/15/2014 

 

 

95,000 

 

75,525 

Sinclair Television Group, Inc., 8.0%, 3/15/2012 (b) 

 

 

246,000 

 

240,465 

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

 

 

585,000 

 

457,762 

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

 

 

250,000 

 

192,500 

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

 

 

985,000 

 

1,075,043 

 

 

 

Travelport LLC:

 
 

7.307% ***, 9/1/2014 

 

 

185,000 

 

145,688 

 

9.875%, 9/1/2014 

 

 

220,000 

 

179,850 

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

 

 

220,000 

 

100,650 

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

 

 

45,000 

 

40,050 

Unity Media GmbH:

 
 

144A, 8.75%, 2/15/2015 

EUR

 

615,000 

 

850,357 

 

144A, 10.375%, 2/15/2015 

 

 

165,000 

 

159,225 

Univision Communications, Inc., 144A, 9.75%, 3/15/2015 (PIK)

 

 

220,000 

 

157,300 

UPC Holding BV:

 
 

144A, 7.75%, 1/15/2014 

EUR

 

255,000 

 

342,299 

 

144A, 8.0%, 11/1/2016 

EUR

 

120,000 

 

154,920 

Videotron Ltd., 144A, 9.125%, 4/15/2018 

 

 

175,000 

 

183,969 

Vitro SAB de CV:

 
 

9.125%, 2/1/2017 

 

 

770,000 

 

596,750 

 

11.75%, 11/1/2013 

 

 

100,000 

 

93,250 

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

 

 

1,245,000 

 

407,737 

 

**20,952,002**

**Consumer Staples 2.1%**

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

 

 

125,000 

 

117,187 

Delhaize America, Inc.:

 
 

8.05%, 4/15/2027 

 

 

65,000 

 

69,293 

 

9.0%, 4/15/2031 

 

 

585,000 

 

678,360 

General Nutrition Centers, Inc., 7.199% ***, 3/15/2014 (PIK)

 

 

240,000 

 

208,500 

Harry & David Operations Corp., 7.682% ***, 3/1/2012 

 

 

195,000 

 

122,850 

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

 

 

975,000 

 

750,750 

Smithfield Foods, Inc., 7.75%, 7/1/2017 

 

 

185,000 

 

165,575 

Tyson Foods, Inc., 8.25%, 10/1/2011 

 

 

465,000 

 

470,301 

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

 

 

2,430,000 

 

1,968,300 

 

**4,551,116**

**Energy 10.6%**

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

 

 

610,000 

 

613,050 

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

 

 

1,170,000 

 

1,190,475 

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

 

 

280,000 

 

268,800 

Chaparral Energy, Inc.:

 
 

8.5%, 12/1/2015 

 

 

385,000 

 

334,950 

 

8.875%, 2/1/2017 

 

 

255,000 

 

221,213 

Chesapeake Energy Corp.:

 
 

6.25%, 1/15/2018 

 

 

160,000 

 

146,400 

 

6.875%, 1/15/2016 

 

 

940,000 

 

902,400 

 

7.25%, 12/15/2018 

 

 

495,000 

 

482,625 

 

7.5%, 6/15/2014 (b) 

 

 

120,000 

 

120,600 

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

 

 

195,000 

 

190,125 

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

 

 

645,000 

 

651,698 

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

 

 

550,000 

 

431,750 

Dynegy Holdings, Inc.:

 
 

6.875%, 4/1/2011 (b) 

 

 

75,000 

 

73,875 

 

8.375%, 5/1/2016 

 

 

500,000 

 

489,375 

El Paso Corp.:

 
 

7.25%, 6/1/2018 

 

 

400,000 

 

393,000 

 

9.625%, 5/15/2012 

 

 

165,000 

 

176,259 

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

 

 

750,000 

 

757,103 

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

 

 

383,000 

 

379,170 

Forest Oil Corp., 144A, 7.25%, 6/15/2019 

 

 

155,000 

 

142,600 

Frontier Oil Corp., 6.625%, 10/1/2011 (b) 

 

 

160,000 

 

155,600 

 

 

 

GAZ Capital (Gazprom), 144A, 6.51%, 3/7/2022 

 

 

1,285,000 

 

1,088,909 

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

 

 

740,000 

 

743,474 

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

 

 

1,335,000 

 

1,261,575 

Mariner Energy, Inc.:

 
 

7.5%, 4/15/2013 

 

 

245,000 

 

229,075 

 

8.0%, 5/15/2017 

 

 

270,000 

 

247,050 

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

 

 

455,000 

 

428,837 

OPTI Canada, Inc.:

 
 

7.875%, 12/15/2014 

 

 

330,000 

 

326,287 

 

8.25%, 12/15/2014 

 

 

830,000 

 

828,962 

Pemex Project Funding Master Trust, 144A, 5.75%, 3/1/2018 

 

 

770,000 

 

756,490 

Petrobras International Finance Co., 5.875%, 3/1/2018 

 

 

470,000 

 

458,700 

Petrohawk Energy Corp.:

 
 

144A, 7.875%, 6/1/2015 

 

 

290,000 

 

270,425 

 

9.125%, 7/15/2013 

 

 

250,000 

 

248,750 

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

 

 

620,000 

 

757,789 

Plains Exploration & Production Co.:

 
 

7.0%, 3/15/2017 

 

 

235,000 

 

211,500 

 

7.625%, 6/1/2018 

 

 

530,000 

 

499,525 

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

 

 

640,000 

 

556,800 

Range Resources Corp., 7.25%, 5/1/2018 

 

 

50,000 

 

48,500 

Sabine Pass LNG LP, 7.5%, 11/30/2016 

 

 

770,000 

 

673,750 

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

 

 

205,000 

 

192,188 

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

 

 

320,000 

 

327,200 

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

 

 

255,000 

 

189,975 

Stone Energy Corp.:

 
 

6.75%, 12/15/2014 

 

 

525,000 

 

448,875 

 

8.25%, 12/15/2011 (b) 

 

 

770,000 

 

746,900 

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

 

 

180,000 

 

184,380 

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

 

 

330,000 

 

276,375 

Whiting Petroleum Corp.:

 
 

7.0%, 2/1/2014 

 

 

260,000 

 

247,000 

 

7.25%, 5/1/2012 

 

 

505,000 

 

487,325 

 

7.25%, 5/1/2013 

 

 

110,000 

 

105,600 

Williams Companies, Inc.:

 
 

8.125%, 3/15/2012 

 

 

870,000 

 

924,375 

 

8.75%, 3/15/2032 

 

 

1,020,000 

 

1,147,500 

Williams Partners LP, 7.25%, 2/1/2017 

 

 

175,000 

 

175,438 

 

**23,210,597**

**Financials 7.7%**

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

 

 

640,000 

 

614,400 

Ashton Woods USA LLC, 9.5%, 10/1/2015 

 

 

625,000 

 

343,750 

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

 

 

630,000 

 

587,703 

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

 

 

670,000 

 

671,901 

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

 

 

125,000 

 

70,000 

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

 

 

1,055,000 

 

1,056,151 

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

 

 

916,700 

 

1,008,370 

Ford Motor Credit Co., LLC:

 
 

7.25%, 10/25/2011 

 

 

1,635,000 

 

1,252,477 

 

7.375%, 10/28/2009 

 

 

1,600,000 

 

1,487,078 

 

7.875%, 6/15/2010 

 

 

805,000 

 

693,933 

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

 

 

705,000 

 

685,416 

GMAC LLC, 6.875%, 9/15/2011 

 

 

3,680,000 

 

2,283,587 

Hawker Beechcraft Acquisition Co., LLC:

 
 

8.5%, 4/1/2015 

 

 

505,000 

 

508,787 

 

8.875%, 4/1/2015 (PIK) (b)

 

 

350,000 

 

349,125 

 

 

 

 

9.75%, 4/1/2017 

 

 

590,000 

 

578,200 

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

 

 

130,000 

 

108,225 

Inmarsat Finance II PLC, Step-up Coupon, 0% to 11/15/2008, 10.375% to 11/15/2012   

 

 

725,000 

 

738,594 

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

 

 

225,000 

 

188,438 

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

 

 

550,000 

 

532,398 

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

 

 

200,000 

 

148,000 

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

 

 

345,000 

 

219,937 

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

 

 

740,000 

 

735,000 

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

 

 

280,000 

 

279,650 

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

 

 

45,000 

 

47,869 

Sprint Capital Corp.:

 
 

7.625%, 1/30/2011 

 

 

275,000 

 

275,000 

 

8.375%, 3/15/2012 

 

 

110,000 

 

110,825 

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

 

 

730,000 

 

233,600 

UCI Holdco, Inc., 10.276% ***, 12/15/2013 (PIK)

 

 

256,301 

 

197,352 

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

 

 

840,000 

 

850,500 

 

**16,856,266**

**Health Care 3.2%**

 
Advanced Medical Optics, Inc., 7.5%, 5/1/2017 

 

 

585,000 

 

523,575 

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

 

 

310,000 

 

307,675 

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

 

 

2,230,000 

 

2,252,300 

HCA, Inc.:

 
 

9.125%, 11/15/2014 

 

 

325,000 

 

333,937 

 

9.25%, 11/15/2016 

 

 

1,015,000 

 

1,044,181 

 

9.625%, 11/15/2016 (PIK)

 

 

340,000 

 

342,975 

HEALTHSOUTH Corp., 10.75%, 6/15/2016 (b) 

 

 

180,000 

 

193,500 

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

 

 

275,000 

 

275,688 

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

 

 

250,000 

 

242,500 

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

 

 

245,000 

 

213,150 

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

 

 

360,000 

 

345,600 

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

 

 

295,000 

 

264,763 

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

 

 

675,000 

 

663,187 

 

**7,003,031**

**Industrials 6.8%**

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

 

 

180,000 

 

176,400 

Allied Security Escrow Corp., 11.375%, 7/15/2011 

 

 

290,000 

 

306,312 

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

 

 

340,000 

 

341,700 

American Color Graphics, Inc., 10.0%, 6/15/2010 **

 

 

370,000 

 

66,600 

American Color Graphics, Inc., 144A, Promissory Note due 9/15/2008 (d)

 

 

22,200 

 

0 

ARAMARK Corp.:

 
 

6.301% ***, 2/1/2015 

 

 

290,000 

 

269,700 

 

8.5%, 2/1/2015 

 

 

110,000 

 

110,825 

Baldor Electric Co., 8.625%, 2/15/2017 (b) 

 

 

220,000 

 

222,750 

BE Aerospace, Inc., 8.5%, 7/1/2018 

 

 

560,000 

 

583,800 

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

 

 

185,000 

 

174,825 

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

 

 

810,000 

 

805,950 

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

 

 

555,000 

 

505,050 

Building Materials Corp. of America, 7.75%, 8/1/2014 

 

 

290,000 

 

239,250 

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

 

 

240,000 

 

234,600 

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

 

 

395,000 

 

296,250 

DRS Technologies, Inc.:

 
 

6.625%, 2/1/2016 

 

 

155,000 

 

159,650 

 

6.875%, 11/1/2013 

 

 

865,000 

 

875,812 

 

7.625%, 2/1/2018 

 

 

715,000 

 

752,537 

 

 

 

Education Management LLC, 8.75%, 6/1/2014 

 

 

200,000 

 

182,250 

Esco Corp.:

 
 

144A, 6.651% ***, 12/15/2013 

 

 

275,000 

 

258,500 

 

144A, 8.625%, 12/15/2013 

 

 

570,000 

 

572,850 

General Cable Corp.:

 
 

5.166% ***, 4/1/2015 

 

 

290,000 

 

250,850 

 

7.125%, 4/1/2017 (b) 

 

 

230,000 

 

218,500 

Gibraltar Industries, Inc., Series B, 8.0%, 12/1/2015 

 

 

135,000 

 

115,088 

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

 

 

185,000 

 

171,588 

Harland Clarke Holdings Corp., 9.5%, 5/15/2015 

 

 

200,000 

 

157,000 

K. Hovnanian Enterprises, Inc.:

 
 

8.875%, 4/1/2012 

 

 

790,000 

 

537,200 

 

144A, 11.5%, 5/1/2013 

 

 

50,000 

 

51,063 

Kansas City Southern de Mexico SA de CV:

 
 

7.375%, 6/1/2014 

 

 

590,000 

 

575,250 

 

7.625%, 12/1/2013 (b) 

 

 

460,000 

 

450,800 

 

9.375%, 5/1/2012 

 

 

725,000 

 

757,625 

Kansas City Southern Railway Co.:

 
 

7.5%, 6/15/2009 

 

 

300,000 

 

303,375 

 

8.0%, 6/1/2015 

 

 

455,000 

 

465,237 

Mobile Services Storage Group, Inc., 9.75%, 8/1/2014 

 

 

300,000 

 

285,000 

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

 

 

100,000 

 

98,000 

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

 

 

300,000 

 

286,500 

Ply Gem Industries, Inc., 144A, 11.75%, 6/15/2013 

 

 

175,000 

 

159,250 

R.H. Donnelley Corp., 8.875%, 10/15/2017 

 

 

805,000 

 

414,575 

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

 

 

195,000 

 

190,125 

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

 

 

150,000 

 

133,125 

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

 

 

795,000 

 

787,050 

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

 

 

200,000 

 

194,500 

United Rentals North America, Inc.:

 
 

6.5%, 2/15/2012 (b) 

 

 

460,000 

 

410,550 

 

7.0%, 2/15/2014 

 

 

580,000 

 

437,900 

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

 

 

235,000 

 

195,050 

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

 

 

130,000 

 

119,925 

 

**14,900,737**

**Information Technology 2.8%**

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

 

 

370,000 

 

253,450 

Freescale Semiconductor, Inc., 8.875%, 12/15/2014 

 

 

760,000 

 

615,600 

L-3 Communications Corp.:

 
 

5.875%, 1/15/2015 

 

 

690,000 

 

650,325 

 

Series B, 6.375%, 10/15/2015 

 

 

650,000 

 

622,375 

 

7.625%, 6/15/2012 

 

 

1,380,000 

 

1,404,150 

Lucent Technologies, Inc., 6.45%, 3/15/2029 

 

 

800,000 

 

556,000 

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

 

 

430,000 

 

367,650 

NXP BV, 7.713% ***, 10/15/2013 

EUR

 

345,000 

 

387,191 

Sanmina-SCI Corp., 144A, 5.526% ***, 6/15/2010 

 

 

105,000 

 

103,950 

Seagate Technology HDD Holdings, 6.8%, 10/1/2016 

 

 

420,000 

 

374,850 

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

 

 

535,000 

 

539,013 

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

 

 

160,000 

 

136,000 

 

**6,010,554**

**Materials 7.4%**

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

 

 

105,000 

 

96,075 

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

 

 

1,685,000 

 

1,221,625 

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

 

 

614,000 

 

518,830 

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

 

 

500,000 

 

422,500 

 

 

 

Clondalkin Acquisition BV, 144A, 4.776% ***, 12/15/2013 

 

 

290,000 

 

240,700 

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

 

 

445,000 

 

342,650 

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

 

 

685,000 

 

601,087 

Freeport-McMoRan Copper & Gold, Inc.:

 
 

8.25%, 4/1/2015 

 

 

1,320,000 

 

1,386,000 

 

8.375%, 4/1/2017 

 

 

1,843,000 

 

1,953,580 

GEO Specialty Chemicals, Inc.:

 
 

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

 

 

394,817 

 

295,619 

 

144A, 10.698% ***, 12/31/2009 

 

 

658,000 

 

492,678 

Georgia-Pacific LLC:

 
 

144A, 7.125%, 1/15/2017 

 

 

155,000 

 

143,763 

 

9.5%, 12/1/2011 

 

 

170,000 

 

172,550 

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

 

 

915,000 

 

887,550 

Huntsman LLC, 11.625%, 10/15/2010 

 

 

855,000 

 

884,925 

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

 

 

110,000 

 

112,750 

Jefferson Smurfit Corp., 8.25%, 10/1/2012 

 

 

520,000 

 

452,400 

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

 

 

605,000 

 

538,450 

Metals USA Holdings Corp., 8.791% ***, 7/1/2012 (PIK)

 

 

160,000 

 

144,400 

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

 

 

110,000 

 

67,100 

Momentive Performance Materials, Inc., 9.75%, 12/1/2014 (b) 

 

 

600,000 

 

541,500 

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

 

 

495,000 

 

480,150 

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

 

 

410,000 

 

397,700 

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

EUR

 

210,000 

 

283,434 

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

 

 

90,000 

 

113 

Rhodia SA, 144A, 7.713% ***, 10/15/2013 

EUR

 

200,000 

 

268,470 

Smurfit-Stone Container Enterprises, Inc.:

 
 

8.0%, 3/15/2017 (b) 

 

 

435,000 

 

348,000 

 

8.375%, 7/1/2012 

 

 

200,000 

 

175,500 

Steel Dynamics, Inc.:

 
 

6.75%, 4/1/2015 

 

 

190,000 

 

177,175 

 

7.375%, 11/1/2012 

 

 

80,000 

 

79,200 

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

 

 

475,000 

 

461,938 

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

 

 

1,450,000 

 

1,499,491 

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

 

 

170,000 

 

108,800 

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

 

 

305,000 

 

280,600 

 

**16,077,303**

**Telecommunication Services 6.9%**

 
BCM Ireland Preferred Equity Ltd., 144A, 11.964% ***, 2/15/2017 (PIK)

EUR

 

207,504 

 

147,533 

Centennial Communications Corp.:

 
 

10.0%, 1/1/2013 

 

 

175,000 

 

182,000 

 

10.125%, 6/15/2013 

 

 

830,000 

 

865,275 

Cincinnati Bell, Inc.:

 
 

7.25%, 7/15/2013 

 

 

465,000 

 

446,981 

 

8.375%, 1/15/2014 (b) 

 

 

240,000 

 

227,100 

Cricket Communications, Inc.:

 
 

9.375%, 11/1/2014 

 

 

480,000 

 

475,800 

 

144A, 10.0%, 7/15/2015 

 

 

495,000 

 

497,475 

Embratel, Series B, 11.0%, 12/15/2008 

 

 

165,000 

 

168,094 

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

 

 

96,164 

 

85,586 

Hellas Telecommunications Luxembourg V, 144A, 8.463% ***, 10/15/2012 

EUR

 

200,000 

 

259,668 

Intelsat Corp.:

 
 

144A, 9.25%, 8/15/2014 

 

 

100,000 

 

99,750 

 

144A, 9.25%, 6/15/2016 

 

 

1,350,000 

 

1,336,500 

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

 

 

590,000 

 

583,362 

iPCS, Inc., 4.926% ***, 5/1/2013 

 

 

115,000 

 

102,063 

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

 

 

610,000 

 

604,662 

 

 

 

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

 

 

2,020,000 

 

2,131,100 

Nortel Networks Ltd.:

 
 

7.041% ***, 7/15/2011 

 

 

360,000 

 

333,900 

 

144A, 10.75%, 7/15/2016 

 

 

320,000 

 

296,000 

Orascom Telecom Finance, 144A, 7.875%, 2/8/2014 (b) 

 

 

285,000 

 

261,117 

Qwest Corp.:

 
 

7.25%, 9/15/2025 

 

 

75,000 

 

60,375 

 

7.875%, 9/1/2011 

 

 

775,000 

 

769,187 

 

8.875%, 3/15/2012 

 

 

145,000 

 

146,088 

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

 

 

715,000 

 

725,064 

Rural Cellular Corp., 9.875%, 2/1/2010 

 

 

650,000 

 

666,250 

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

 

 

235,000 

 

214,438 

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

 

 

140,000 

 

145,600 

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

 

 

605,000 

 

556,600 

US Unwired, Inc., Series B, 10.0%, 6/15/2012 

 

 

385,000 

 

404,250 

Verizon Communications, Inc., 5.5%, 2/15/2018 

 

 

740,000 

 

707,727 

Virgin Media Finance PLC:

 
 

8.75%, 4/15/2014 

 

 

560,000 

 

534,800 

 

8.75%, 4/15/2014 

EUR

 

340,000 

 

451,411 

West Corp., 9.5%, 10/15/2014 

 

 

245,000 

 

208,863 

Windstream Corp., 7.0%, 3/15/2019 

 

 

340,000 

 

297,500 

 

**14,992,119**

**Utilities 7.4%**

 
AES Corp.:

 
 

8.0%, 10/15/2017 

 

 

550,000 

 

541,750 

 

144A, 8.0%, 6/1/2020 

 

 

470,000 

 

450,025 

 

144A, 8.75%, 5/15/2013 

 

 

1,514,000 

 

1,566,990 

 

9.5%, 6/1/2009 

 

 

405,000 

 

414,112 

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

 

 

2,115,000 

 

2,220,750 

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

 

 

470,000 

 

483,424 

CMS Energy Corp., 8.5%, 4/15/2011 (b) 

 

 

1,200,000 

 

1,261,933 

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

 

 

590,000 

 

564,925 

Energy Future Holdings Corp., 144A, 10.875%, 11/1/2017 

 

 

650,000 

 

665,437 

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

 

 

1,815,000 

 

1,751,475 

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

 

 

185,000 

 

185,463 

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

 

 

210,000 

 

207,900 

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

 

 

750,000 

 

765,000 

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

 

 

145,000 

 

143,913 

NRG Energy, Inc.:

 
 

7.25%, 2/1/2014 

 

 

530,000 

 

522,712 

 

7.375%, 2/1/2016 

 

 

385,000 

 

380,188 

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

 

 

165,000 

 

162,575 

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

 

 

1,275,000 

 

1,377,000 

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

 

 

320,000 

 

326,400 

Reliant Energy, Inc., 7.875%, 6/15/2017 (b) 

 

 

565,000 

 

545,225 

Sierra Pacific Resources:

 
 

6.75%, 8/15/2017 

 

 

535,000 

 

520,523 

 

8.625%, 3/15/2014 

 

 

108,000 

 

112,957 

Texas Competitive Electric Holdings Co., LLC, 144A, 10.25%, 11/1/2015 

 

 

950,000 

 

947,625 

 

**16,118,302**

**Total Corporate Bonds** (Cost $151,476,913)

 

**140,672,027**

 

**Government & Agency Obligations 48.4%**

 
**Sovereign Bonds**

 
Dominican Republic:

 
 

 

 

 

144A, 8.625%, 4/20/2027 

 

 

460,000 

 

427,800 

 

Series REG S, 9.5%, 9/27/2011 

 

 

1,002,883 

 

1,022,941 

Federative Republic of Brazil:

 
 

6.0%, 1/17/2017 

 

 

8,535,000 

 

8,739,840 

 

7.125%, 1/20/2037 

 

 

2,095,000 

 

2,332,782 

 

7.875%, 3/7/2015 

 

 

1,980,000 

 

2,249,478 

 

8.75%, 2/4/2025 

 

 

1,685,000 

 

2,106,250 

 

8.875%, 10/14/2019 

 

 

2,415,000 

 

2,997,015 

 

11.0%, 8/17/2040 (b) 

 

 

4,565,000 

 

6,030,365 

 

12.5%, 1/5/2016 

BRL

 

2,070,000 

 

1,308,742 

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

 

 

1,685,000 

 

1,617,280 

Republic of Argentina:

 
 

3.127% ***, 8/3/2012 (PIK)

 

 

3,185,000 

 

2,527,893 

 

5.83%, 12/31/2033 (PIK) 

ARS

 

749 

 

228 

Republic of Colombia:

 
 

7.375%, 1/27/2017 (b) 

 

 

1,035,000 

 

1,138,500 

 

8.25%, 12/22/2014 

 

 

690,000 

 

786,600 

 

10.0%, 1/23/2012 

 

 

2,375,000 

 

2,755,000 

 

10.75%, 1/15/2013 

 

 

780,000 

 

944,580 

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

 

 

3,780,000 

 

3,893,400 

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

 

 

175,000 

 

174,125 

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

 

 

2,615,000 

 

2,628,075 

Republic of Panama:

 
 

7.125%, 1/29/2026 

 

 

2,005,000 

 

2,145,350 

 

9.375%, 1/16/2023 

 

 

2,610,000 

 

3,314,700 

Republic of Peru, 7.35%, 7/21/2025 (b) 

 

 

7,395,000 

 

8,282,400 

Republic of Philippines:

 
 

7.75%, 1/14/2031 (b) 

 

 

610,000 

 

667,950 

 

8.0%, 1/15/2016 

 

 

3,860,000 

 

4,255,650 

 

8.375%, 2/15/2011 

 

 

780,000 

 

827,814 

 

9.375%, 1/18/2017 

 

 

1,535,000 

 

1,834,325 

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

 

 

7,040,000 

 

7,233,600 

Republic of Turkey:

 
 

7.0%, 9/26/2016 

 

 

3,170,000 

 

3,245,287 

 

7.25%, 3/15/2015 

 

 

665,000 

 

691,600 

 

11.75%, 6/15/2010 

 

 

4,495,000 

 

5,034,400 

Republic of Uruguay:

 
 

7.625%, 3/21/2036 

 

 

615,000 

 

622,688 

 

8.0%, 11/18/2022 

 

 

1,395,000 

 

1,485,675 

 

9.25%, 5/17/2017 

 

 

1,825,000 

 

2,144,375 

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

 

 

6,035,000 

 

6,185,875 

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

 

 

3,770,000 

 

3,666,325 

United Mexican States:

 
 

5.625%, 1/15/2017 (b) 

 

 

3,195,000 

 

3,225,352 

 

Series A, 5.875%, 1/15/2014 

 

 

6,225,000 

 

6,436,650 

 

Series A, 6.75%, 9/27/2034 

 

 

662,000 

 

711,650 

**Total Government & Agency Obligations** (Cost $105,398,346)

 

**105,692,560**

 

**Loan Participations and Assignments 7.3%**

 
**Senior Loans*** 6.8%**

 
Advanced Medical Optics, Inc., Term Loan B, LIBOR plus 1.75%, 4.957%, 4/2/2014

 

 

128,375

 

117,302

Algoma Steel, Inc., Term Loan, LIBOR plus 2.5%, 5.707%, 6/30/2013 

 

 

221,039 

 

210,263 

Alltel Communication, Inc., Term Loan B1, LIBOR plus 2.75%, 5.957%, 5/15/2015 

 

 

1,635,000 

 

1,632,613 

Aspect Software, Inc., Term Loan B, LIBOR plus 2.5%, 5.707%, 6/29/2011 

 

 

437,103 

 

408,145 

Bausch & Lomb, Inc.:

 
 

Term Delay Draw, LIBOR plus 3.25%, 6.457%, 4/11/2015 

 

 

51,000 

 

49,770 

 

 

 

 

Term Loan B, LIBOR plus 3.25%, 6.457%, 4/11/2015 

 

 

319,200 

 

311,501 

Buffets, Inc.:

 
 

Letter of Credit, 4.73%, 5/1/2013 

 

 

54,739 

 

27,141 

 

Term Loan, 9.719%, 5/1/2013 

 

 

17,490 

 

8,672 

 

Term Loan B, 9.719%, 11/1/2013 

 

 

540,709 

 

268,102 

Charter Communications Operations:

 
 

Term Loan, LIBOR plus 2.0%, 5.207%, 3/6/2014 

 

 

380,000 

 

375,883 

 

Term Loan B, LIBOR plus 3.25%, 6.457%, 4/27/2011 

 

 

1,087,270 

 

953,672 

Community Health Systems, Inc.:

 
 

Term Delay Draw, LIBOR plus 2.25%, 5.457%, 7/25/2014 

 

 

33,944 

 

32,164 

 

Term Loan, LIBOR plus 2.25%, 5.457%, 7/25/2014 

 

 

663,707 

 

628,909 

Cricket Communications, Inc., Term Loan B, LIBOR plus 3.0%, 6.207%, 6/16/2013 

 

 

598,473 

 

592,489 

Energy Future Holdings Corp.:

 
 

Term Loan B1, LIBOR plus 3.5%, 6.707%, 10/10/2014 

 

 

1,195,963 

 

1,113,740 

 

Term Loan B3, LIBOR plus 3.5%, 6.707%, 10/10/2014 

 

 

1,855,675 

 

1,731,465 

Ford Motor Co., Term Loan, LIBOR plus 3.0%, 6.207%, 12/16/2013 

 

 

250,000 

 

194,861 

General Nutrition Centers, Inc., Term Loan B, LIBOR plus 2.25%, 5.457%, 9/16/2013 

 

 

124,058 

 

113,513 

Georgia-Pacific Corp., Term Loan B1, LIBOR plus 2.0%, 5.207%, 12/20/2012 

 

 

530,000 

 

501,650 

Golden Nugget, 5.73%, 6/16/2014 

 

 

230,000 

 

144,900 

Graphic Packaging International, Inc., Tern Loan, LIBOR plus 2.75%, 5.957%, 5/16/2014 

 

 

530,000 

 

513,143 

Hawker Beechcraft, Inc.:

 
 

Letter of Credit, LIBOR plus 2.0%, 5.207%, 3/26/2014 

 

 

47,680 

 

44,681 

 

Term Loan B, LIBOR plus 2.0%, 5.207%, 3/26/2014 

 

 

816,115 

 

764,789 

HCA, Inc., Term Loan A1, 4.301%, 11/18/2012 

 

 

1,732,049 

 

1,623,206 

Hexion Specialty Chemicals:

 
 

Term Loan C1, LIBOR plus 2.25%, 5.457%, 5/5/2013 

 

 

205,371 

 

177,292 

 

Term Loan C2, LIBOR plus 2.25%, 5.457%, 5/5/2013 

 

 

832,487 

 

718,669 

IASIS Healthcare LLC, 8.043%, 6/15/2014 

 

 

311,293 

 

273,938 

Longview Power LLC:

 
 

Demand Draw, 5.063%, 4/1/2014 

 

 

53,667 

 

47,763 

 

Letter of Credit, 5.063%, 4/1/2014 

 

 

15,333 

 

13,647 

 

Term Loan B, 5.063%, 4/1/2014 

 

 

46,000 

 

40,940 

NewPage Corp., Term Loan B, LIBOR plus 3.0%, 6.207%, 11/5/2014 

 

 

49,750 

 

48,710 

Sabre, Inc., Term Loan B, LIBOR plus 2.25%, 5.457%, 9/30/2014 

 

 

199,221 

 

152,653 

Symbion, Inc.:

 
 

Term Loan A, 6.149%, 8/23/2013 

 

 

94,850 

 

85,365 

 

Term Loan B, 6.149%, 8/23/2014 

 

 

94,850 

 

85,365 

Telesat Canada, Inc.:

 
 

Term Loan, 5.9%, 9/1/2014 

 

 

142,913 

 

137,579 

 

Term Loan B, LIBOR plus 3.0%, 6.207%, 10/31/2014 

 

 

459,262

 

442,121

Tribune Co., Term Loan B, 5.786%, 5/24/2014 

 

 

405,900 

 

280,883 

 

**14,867,499**

**Sovereign Loans 0.5%**

 
CSFB International (Exim Ukraine), 6.8%, 10/4/2012 

 

 

1,215,000 

 

**1,092,042**

**Total Loan Participations and Assignments** (Cost $16,917,434)

 

**15,959,541**

 

 

 

 

**Preferred Securities 0.2%**

 
**Financials**

 
Citigroup, Inc., Series E, 8.4%, 4/30/2018 (e) 

 

 

425,000 

 

360,834 

Xerox Capital Trust I, 8.0%, 2/1/2027

 

 

120,000 

 

114,259 

**Total Preferred Securities** (Cost $550,175)

 

**475,093**

 

 

 

 

**Units**

 

**Value ($)**

 

**Other Investments 0.2%**

 
Hercules, Inc., (Bond Unit), 6.5%, 6/30/2029  (Cost $339,704)

 

400,000 

 

**320,000**

 

 

 

 

**Shares**

 

**Value ($)**

 

**Common Stocks 0.0%**

 
**Materials**

 
GEO Specialty Chemicals, Inc.*  

 

7,125 

 

6,056 

GEO Specialty Chemicals, Inc. 144A*  

 

649 

 

552 

**Total Common Stocks** (Cost $87,834)

 

**6,608**

 

**Warrants 0.0%**

 
**Financials 0.0%**

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

 

52,000 

 

**17,297**

**Industrials 0.0%**

 
DeCrane Aircraft Holdings, Inc., 144A, Expiration Date 9/30/2008*  

 

350 

 

**0**

**Materials 0.0%**

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

 

25 

 

**0**

**Total Warrants** (Cost $0)

 

**17,297**

 

**Convertible Preferred Stock 0.0%**

 
**Consumer Discretionary**

 
ION Media Networks, Inc.:

 
 

144A, 12.0%*  

 

 

75,000 

 

487 

 

Series AI, 144A, 12.0%*  

 

 

15,000 

 

98 

**Total Convertible Preferred Stocks** (Cost $12,580)

 

**585**

 

**Securities Lending Collateral 10.2%**

 
Daily Assets Fund Institutional, 2.65% (f) (g)(Cost $22,304,741)

 

 

22,304,741

 

**22,304,741**

 

**Cash Equivalents 1.6%**

 
Cash Management QP Trust, 2.44% (f)(Cost $3,487,928)

 

 

3,487,928

 

**3,487,928**

 

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

 

**Value ($)**

**Total Investment Portfolio** (Cost $300,575,655) †

132.4

 

**288,936,380**

**Other Assets and Liabilities, Net**

(9.3)

 

**(20,263,284)**

**Notes Payable**

(23.1)

 

**(50,500,000)**

**Net Assets**

100.0

 

**218,173,096**

*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. In the case of a bond, generally denotes that the 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 ($)**

American Color Graphics, Inc.

10.0%

6/15/2010

370,000

USD

273,644

66,600

Congoleum Corp.

8.625%

8/1/2008

395,000

USD

392,755

296,250

Quebecor World, Inc.

9.75%

1/15/2015

205,000

USD

206,950

92,250

Radnor Holdings Corp.

11.0%

3/15/2010

90,000

USD

79,463

113

Tropicana Entertainment LLC

9.625%

12/15/2014

730,000

USD

547,250

233,600

 

 

 

 

 

**1,500,062**

**688,813**

 
*****

*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 August 31, 2008.*

 
 
*†*

*The cost for federal income tax purposes was $302,936,753. At August 31, 2008, net unrealized depreciation for all securities based on tax cost was $14,000,373. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $3,248,563 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $17,248,936.*

 
 
*(a)*

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

 
 
*(b)*

*All or a portion of these securities were on loan. The value of all securities loaned at August 31, 2008 amounted to $21,574,570 which is 9.9% of net assets.*

 
 
*(c)*

*Security has deferred its 6/15/2008 interest payment until 12/15/2008.*

 
 
*(d)*

*Security issued in lieu of interest payment due 12/15/2007, which has been deferred until 9/15/2008.  This security is deemed to be non-income producing.*

 
 
*(e)*

*Date shown is call date; not a maturity date for the perpetual preferred securities.*

 
 
*(f)*

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

 
 
*(g)*

*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.*

 
 
*LIBOR: Represents the London InterBank Offered Rate.*

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

 
 
*At August 31, 2008, the Fund had unfunded loan commitments of $33,830 which could be extended at the option of the borrower, pursuant to the following loan agreement:*

 
 
 

**Unfunded Loan**

 

**Unrealized**

 
 
**Borrower**

**Commitment ($)**

**Value ($)**

**Depreciation ($)**

 
 
Bausch & Lomb, Inc., Term Delay Draw, 4/11/2015

33,830

33,180

**(650)**

 
 
 

 

 

 

 

 

 

 

 

 

 

 

 
 
*At August 31, 2008, open credit default swap contracts sold were as follows:*

 
 

 

 

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

 

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

 

**Cash Flows****Received               by the Fund**

 

**Underlying Debt Obligation**

 

**Unrealized****Appreciation/****(Depreciation) ($)**

 

10/3/2007  12/20/2008

 

200,0001

 

Fixed — 3.2%

 

General Motors Corp., 7.125%, 7/15/2013    

 

(4,175)

 
10/23/2007 12/20/2008

 

440,0002

 

Fixed — 3.0%

 

General Motors Corp., 7.125%, 7/15/2013     

 

(9,461)

 
10/4/2007 12/20/2008

 

200,0003

 

Fixed — 3.1%

 

Ford Motor Co.,      6.5%, 8/1/2018

 

(2,816)

 
10/5/2007 12/20/2008

 

125,0001

 

Fixed — 3.15%

 

Ford Motor Co.,      6.5%, 8/1/2018

 

(1,740)

 
10/23/2007 12/20/2008

 

435,0002

 

Fixed — 3.4%

 

Ford Motor Co.,      6.5%, 8/1/2018

 

(5,715)

 
11/21/2007 12/20/2008

 

220,0004

 

Fixed — 4.02%

 

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

 

1,235

 
2/19/2008 3/20/2009

 

665,0004

 

Fixed — 3.8%

 

HCA, Inc.,               7.7%, 3/20/2009

 

6,135

 
2/26/2008 3/20/2009

 

515,0004

 

Fixed — 5.0%

 

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

 

7,805

 
10/13/2007 12/20/2009

 

230,0004

 

Fixed — 3.85%

 

Ford Motor Co.,      6.5%, 8/1/2018

 

(38,705)

 
12/13/2007 12/20/2009

 

220,0004

 

Fixed — 5.05%

 

Ford Motor Co.,      6.5%, 8/1/2018

 

(20,004)

 
11/5/2007 12/20/2012

 

6,000,0001

 

Fixed — 0.77%

 

Government of Russia, 7.5%, 3/21/2010 

 

(116,538)

 
**Total net unrealized depreciation**

 

 

 

 

**(183,979)**

 
 

*At August 31,2008, open credit default swap contracts purchased were as follows:***

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

 

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

 

**Cash Flows****Paid by                the Fund**

 

**Underlying Debt Obligation**

 

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

 
 
 
 
 

 
 
5/6/2008 6/20/2013

 

240,0004

 

Fixed — 7.25%

 

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

 

**20,184**

 
 

*Counterparties:*

*1*

*JPMorgan Chase Securities, Inc.*

*2*

*Morgan Stanley Co., Inc.*

*3*

*The Goldman Sachs & Co.*

*4*

*Merrill Lynch & Co., Inc.*

 

*As of August 31, 2008, the Fund had the following open forward foreign exchange contracts:***

 

 

 

 

**Settlement**

**Unrealized**

 
**Contracts to Deliver**

**In Exchange For**

**Date**

**Appreciation ($)**

 
EUR

2,171,300

USD

3,324,586

9/18/2008

142,153

 
EUR

87,900

USD

128,991

9/18/2008

157

 
**Total unrealized appreciation**

 

 

**142,310**

 
 

***Currency Abbreviations*****

 **

 **

*ARS***

*Argentine Peso***

*EUR***

*Euro***

*BRL***

*Brazilian Real***

*USD***

*United States Dollar***

 

 

 

***Fair Value Measurements***

 

*The following is a summary of the inputs used as of August 31, 2008 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 

$                25,792,669   

$                              -   

Level 2

261,851,302   

(22,135)   

Level 3

1,292,409                                       

-                                 

**Total**

**$              288,936,380**

**$                 (22,135)**

 

*†† Other financial instruments are derivative instruments not reflected in the Investment Portfolio, such as forward foreign currency exchange contracts, unfunded loan commitments 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 August 31, 2008.*

 

 

**Investments in  Securities**

**Balance as of December 1, 2007**

$                      440,173

Total realized gain (loss)

1,436   

Change in unrealized appreciation (depreciation)

(186,814)   

Amortization Premium/Discount

2,472

Net purchases (sales)

695,142   

Net transfers in (out) of Level 3 

340,000

**Balance as of August 31, 2008**

**$                   1,292,409**

**

*The Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("FAS* *157"), effective at the beginning of the Fund’s fiscal year. FAS* *157 establishes a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs 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, credit risk, etc.).  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.*

 

 

**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 Multi-Market Income Trust

 

By:

/s/Michael G. Clark

 

Michael G. Clark

President

 

Date:

October 22, 2008

 

 

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 Multi-Market Income Trust

 

By:

/s/Michael G. Clark

 

Michael G. Clark

President

 

Date:

October 22, 2008

 

 

By:

/s/Paul Schubert

 

Paul Schubert

Chief Financial Officer and Treasurer

 

Date:                                        October 22, 2008

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