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  811-2786

DWS High Income Series

(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:  09/30

Date of reporting period: 06/30/08

 

ITEM 1.  SCHEDULE OF INVESTMENTS

 

| Investment Portfolio | **as of June 30, 2008  (Unaudited)** |
|----------------------|--------------------------------------|

 

 

**DWS High Income Fund**

 

|   | **Principal****Amount ($) (a)** |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | **Value ($)** |
|--------|---------------------------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------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|        |
|   | **Corporate Bonds 88.7%**       |  
**Consumer Discretionary 15.8%**

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

 

 

9,063,000 

 

8,043,412 

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

 

 

1,720,000 

 

1,685,600 

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

 

 

3,624,534 

 

3,334,571 

Asbury Automotive Group, Inc.:

 
 

7.625%, 3/15/2017 

 

 

3,990,000 

 

3,211,950 

 

8.0%, 3/15/2014 

 

 

1,710,000 

 

1,479,150 

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

 

 

4,040,000 

 

3,514,800 

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

 

 

1,675,000 

 

1,356,750 

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

 

 

2,107,000 

 

2,107,000 

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

 

 

2,875,000 

 

2,343,125 

Carrols Corp., 9.0%, 1/15/2013 (b) 

 

 

1,810,000 

 

1,574,700 

 

 

 

 

Charter Communications Holdings LLC, 11.0%, 10/1/2015 (b) 

 

 

2,324,000 

 

1,722,665 

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

 

 

7,670,000 

 

7,880,925 

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

EUR

 

1,645,000 

 

2,149,677 

Cooper-Standard Automotive, Inc., 7.0%, 12/15/2012 (b) 

 

 

2,070,000 

 

1,728,450 

CSC Holdings, Inc.:

 
 

7.25%, 7/15/2008 

 

 

3,315,000 

 

3,315,000 

 

Series B, 7.625%, 4/1/2011 

 

 

3,020,000 

 

2,959,600 

 

Series B, 8.125%, 7/15/2009 

 

 

3,290,000 

 

3,314,675 

 

Series B, 8.125%, 8/15/2009 

 

 

6,595,000 

 

6,644,462 

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

 

 

1,165,000 

 

1,130,050 

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

 

 

8,620,000 

 

8,490,700 

Dollarama Group LP, 8.883% ***, 8/15/2012 

 

 

2,705,000 

 

2,529,175 

EchoStar DBS Corp.:

 
 

6.375%, 10/1/2011 

 

 

3,990,000 

 

3,850,350 

 

6.625%, 10/1/2014 

 

 

4,985,000 

 

4,611,125 

 

7.125%, 2/1/2016 

 

 

3,820,000 

 

3,523,950 

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

 

 

3,640,000 

 

2,366,000 

General Motors Corp.:

 
 

7.2%, 1/15/2011 (b) 

 

 

11,380,000 

 

8,762,600 

 

7.4%, 9/1/2025 

 

 

1,995,000 

 

1,027,425 

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

 

 

3,395,000 

 

3,293,150 

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

 

 

1,700,000 

 

1,589,500 

Hanesbrands, Inc., Series B, 6.508% ***, 12/15/2014 

 

 

5,120,000 

 

4,761,600 

Hertz Corp.:

 
 

8.875%, 1/1/2014 

 

 

8,355,000 

 

7,644,825 

 

10.5%, 1/1/2016 (b) 

 

 

1,940,000 

 

1,765,400 

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

 

 

13,285,000 

 

8,352,944 

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

 

 

2,255,000 

 

2,052,050 

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

 

 

3,490,000 

 

2,460,450 

Jarden Corp., 7.5%, 5/1/2017 (b) 

 

 

2,870,000 

 

2,496,900 

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

 

 

3,588,000 

 

3,668,730 

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

 

 

2,270,000 

 

2,065,700 

Liberty Media LLC:

 
 

5.7%, 5/15/2013 

 

 

540,000 

 

483,935 

 

8.25%, 2/1/2030 (b) 

 

 

4,510,000 

 

3,928,733 

 

8.5%, 7/15/2029 (b) 

 

 

5,890,000 

 

5,268,505 

Mediacom Broadband LLC, 8.5%, 10/15/2015 (b) 

 

 

285,000 

 

254,719 

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

 

 

1,720,000 

 

1,720,000 

MGM MIRAGE:

 
 

6.75%, 9/1/2012 (b) 

 

 

4,775,000 

 

4,285,562 

 

8.375%, 2/1/2011 (b) 

 

 

3,205,000 

 

3,092,825 

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

 

 

6,390,000 

 

6,390,000 

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

 

 

9,580,000 

 

8,921,375 

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

 

 

6,750,000 

 

5,906,250 

Pinnacle Entertainment, Inc., 8.75%, 10/1/2013 (b) 

 

 

3,570,000 

 

3,570,000 

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

 

 

2,290,000 

 

2,129,700 

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

 

 

2,830,000 

 

1,372,550 

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

 

 

4,510,000 

 

3,833,500 

Reader's Digest Association, Inc., 144A, 9.0%, 2/15/2017 

 

 

2,505,000 

 

1,828,650 

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

 

 

3,160,000 

 

2,393,700 

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

 

 

3,960,000 

 

3,326,400 

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

 

 

5,650,000 

 

5,805,375 

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

 

 

2,830,000 

 

2,299,375 

Simmons Co.:

 
 

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

 

 

11,875,000 

 

8,728,125 

 

7.875%, 1/15/2014 

 

 

1,150,000 

 

989,000 

 

 

 

 

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

 

 

1,772,000 

 

1,785,290 

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

 

 

5,190,000 

 

4,203,900 

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

 

 

3,420,000 

 

3,163,500 

Station Casinos, Inc., 6.5%, 2/1/2014 

 

 

5,900,000 

 

3,392,500 

Travelport LLC:

 
 

7.307% ***, 9/1/2014 

 

 

2,640,000 

 

2,112,000 

 

9.875%, 9/1/2014 

 

 

2,955,000 

 

2,622,562 

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

 

 

6,235,000 

 

3,881,287 

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

 

 

570,000 

 

532,950 

Unity Media GmbH:

 
 

144A, 8.75, 2/15/2015

EUR

 

5,250,000

 

7,418,617

 

144A, 10.375%, 2/15/2015

 

 

2,260,000

 

2,223,275

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

 

 

2,610,000 

 

1,918,350 

UPC Holding BV:

 
 

144A, 7.75%, 1/15/2014 

EUR

 

3,405,000 

 

4,757,893 

 

144A, 8.0%, 11/1/2016 

EUR

 

1,700,000 

 

2,335,305 

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

 

 

1,325,000 

 

1,384,625 

Vitro SAB de CV:

 
 

9.125%, 2/1/2017 

 

 

10,780,000 

 

8,543,150 

 

11.75%, 11/1/2013 

 

 

1,365,000 

 

1,358,175 

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

 

 

15,800,000 

 

8,532,000 

 

**271,502,794**

**Consumer Staples 2.7%**

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

 

 

1,715,000 

 

1,612,100 

Delhaize America, Inc.:

 
 

8.05%, 4/15/2027 

 

 

1,070,000 

 

1,154,590 

 

9.0%, 4/15/2031 

 

 

7,709,000 

 

9,075,058 

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

 

 

1,960,000 

 

1,656,200 

Harry & David Holdings, Inc., 7.682% ***, 3/1/2012 

 

 

2,615,000 

 

2,301,200 

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

 

 

13,632,250 

 

11,451,090 

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

 

 

2,175,000 

 

1,805,250 

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

 

 

18,895,000 

 

16,438,650 

 

**45,494,138**

**Energy 13.0%**

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

 

 

7,030,000 

 

7,311,200 

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

 

 

15,945,000 

 

16,303,762 

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

 

 

3,505,000 

 

3,513,763 

Chaparral Energy, Inc.:

 
 

8.5%, 12/1/2015 

 

 

5,225,000 

 

4,532,687 

 

8.875%, 2/1/2017 

 

 

1,925,000 

 

1,669,938 

Chesapeake Energy Corp.:

 
 

6.25%, 1/15/2018 

 

 

2,225,000 

 

2,047,000 

 

6.875%, 1/15/2016 

 

 

11,150,000 

 

10,759,750 

 

7.25%, 12/15/2018 

 

 

5,950,000 

 

5,786,375 

 

7.75%, 1/15/2015 

 

 

1,468,000 

 

1,523,050 

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

 

 

2,880,000 

 

2,829,600 

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

 

 

7,735,000 

 

6,613,425 

Dynegy Holdings, Inc.:

 
 

6.875%, 4/1/2011 (b) 

 

 

1,130,000 

 

1,117,288 

 

8.375%, 5/1/2016 

 

 

6,425,000 

 

6,232,250 

El Paso Corp.:

 
 

7.25%, 6/1/2018 

 

 

4,675,000 

 

4,604,875 

 

9.625%, 5/15/2012 

 

 

2,325,000 

 

2,521,265 

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

 

 

4,703,000 

 

4,620,697 

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

 

 

1,745,000 

 

1,675,200 

 

 

 

 

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

 

 

2,495,000 

 

2,457,575 

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

 

 

13,015,000 

 

12,494,400 

Mariner Energy, Inc.:

 
 

7.5%, 4/15/2013 

 

 

2,850,000 

 

2,764,500 

 

8.0%, 5/15/2017 

 

 

3,660,000 

 

3,541,050 

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

 

 

5,250,000 

 

4,974,375 

OPTI Canada, Inc.:

 
 

7.875%, 12/15/2014 (b) 

 

 

4,465,000 

 

4,409,188 

 

8.25%, 12/15/2014 

 

 

7,770,000 

 

7,731,150 

Petrohawk Energy Corp.:

 
 

144A, 7.875%, 6/1/2015 

 

 

3,495,000 

 

3,411,994 

 

9.125%, 7/15/2013 

 

 

3,295,000 

 

3,377,375 

Plains Exploration & Production Co.:

 
 

7.0%, 3/15/2017 

 

 

3,000,000 

 

2,880,000 

 

7.625%, 6/1/2018 

 

 

5,955,000 

 

5,955,000 

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

 

 

8,385,000 

 

7,808,531 

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

 

 

570,000 

 

565,725 

Sabine Pass LNG LP:

 
 

7.25%, 11/30/2013 (b) 

 

 

875,000 

 

796,250 

 

7.5%, 11/30/2016 

 

 

12,295,000 

 

11,065,500 

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

 

 

2,320,000 

 

2,331,600 

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

 

 

1,925,000 

 

1,636,250 

Stone Energy Corp.:

 
 

6.75%, 12/15/2014 

 

 

5,935,000 

 

5,207,962 

 

8.25%, 12/15/2011 

 

 

9,440,000 

 

9,204,000 

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

 

 

2,860,000 

 

2,976,634 

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

 

 

2,426,000 

 

2,177,335 

Whiting Petroleum Corp.:

 
 

7.0%, 2/1/2014 

 

 

3,505,000 

 

3,439,281 

 

7.25%, 5/1/2012 

 

 

6,195,000 

 

6,148,537 

 

7.25%, 5/1/2013 

 

 

1,445,000 

 

1,434,163 

Williams Companies, Inc.:

 
 

8.125%, 3/15/2012 

 

 

10,576,000 

 

11,104,800 

 

8.75%, 3/15/2032 

 

 

14,037,000 

 

15,931,995 

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

 

 

2,865,000 

 

2,865,000 

 

**222,352,295**

**Financials 11.4%**

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

 

 

9,115,000 

 

8,659,250 

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

 

 

9,125,000 

 

5,292,500 

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

 

 

1,705,000 

 

1,142,350 

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

 

 

14,101,160 

 

15,793,299 

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

 

 

2,363,417 

 

0 

 

Ford Motor Credit Co., LLC:

 
 

7.25%, 10/25/2011 

 

 

23,115,000 

 

17,913,224 

 

7.375%, 10/28/2009 

 

 

41,790,000 

 

38,061,454 

 

7.875%, 6/15/2010 

 

 

11,255,000 

 

9,714,832 

GMAC LLC, 6.875%, 9/15/2011 

 

 

45,345,000 

 

32,583,647 

Hawker Beechcraft Acquisition Co., LLC:

 
 

8.5%, 4/1/2015 

 

 

5,975,000 

 

6,019,813 

 

8.875%, 4/1/2015 (PIK)

 

 

5,440,000 

 

5,467,200 

 

9.75%, 4/1/2017 (b) 

 

 

6,795,000 

 

6,795,000 

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

 

 

1,675,000 

 

1,515,875 

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

 

 

9,996,000 

 

10,095,960 

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

 

 

3,155,000 

 

2,665,975 

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

 

 

2,890,000 

 

2,254,200 

 

 

 

 

Merrill Lynch & Co., Inc., 6.875%, 4/25/2018 

 

 

3,155,000 

 

3,002,696 

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

 

 

4,710,000 

 

3,014,400 

Residential Capital LLC, 144A, 8.5%, 5/15/2010 

 

 

2,859,000 

 

2,401,560 

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

 

 

8,975,000 

 

4,263,125 

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

 

 

4,117,193 

 

3,499,614 

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

 

 

15,045,000 

 

15,458,737 

 

**195,614,711**

**Health Care 5.3%**

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

 

 

6,685,000 

 

6,150,200 

Bausch & Lomb, Inc., 144A, 9.875%, 11/1/2015 (b) 

 

 

4,840,000 

 

4,864,200 

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

 

 

4,088,000 

 

3,996,020 

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

 

 

22,330,000 

 

22,469,563 

HCA, Inc.:

 
 

9.125%, 11/15/2014 

 

 

4,520,000 

 

4,621,700 

 

9.25%, 11/15/2016 

 

 

13,030,000 

 

13,420,900 

 

9.625%, 11/15/2016 (PIK)

 

 

4,750,000 

 

4,892,500 

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

 

 

2,380,000 

 

2,558,500 

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

 

 

3,590,000 

 

3,625,900 

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

 

 

2,870,000 

 

2,841,300 

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

 

 

3,435,000 

 

3,005,625 

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

 

 

5,700,000 

 

5,472,000 

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

 

 

3,940,000 

 

3,467,200 

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

 

 

9,430,000 

 

9,335,700 

 

**90,721,308**

**Industrials 10.3%**

 
Actuant Corp., 6.875%, 6/15/2017 (b) 

 

 

2,290,000 

 

2,249,925 

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

 

 

5,135,000 

 

4,416,100 

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

 

 

2,030,000 

 

2,030,000 

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

 

 

5,685,000

 

1,876,050

American Color Graphics, Inc., Promissory Note due 9/15/2008 (c)

 

 

341,100

 

0

American Railcar Industries, Inc., 7.5%, 3/1/2014 

 

 

2,820,000 

 

2,622,600 

ARAMARK Corp., 6.373% ***, 2/1/2015 

 

 

3,990,000 

 

3,730,650 

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

 

 

2,850,000 

 

2,864,250 

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

 

 

1,000,000 

 

1,002,500 

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

 

 

2,840,000 

 

2,726,400 

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

 

 

9,568,000 

 

9,089,600 

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

 

 

3,990,000 

 

3,271,800 

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

 

 

910,000 

 

900,900 

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

 

 

6,765,000 

 

5,073,750 

 

 

 

DRS Technologies, Inc.:

 
 

6.625%, 2/1/2016 

 

 

1,435,000 

 

1,456,525 

 

6.875%, 11/1/2013 

 

 

8,120,000 

 

8,120,000 

 

7.625%, 2/1/2018 

 

 

9,875,000 

 

10,442,812 

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

 

 

2,990,000 

 

2,780,700 

Esco Corp.:

 
 

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

 

 

1,875,000 

 

1,762,500 

 

144A, 8.625%, 12/15/2013 

 

 

5,665,000 

 

5,721,650 

General Cable Corp.:

 
 

5.073% ***, 4/1/2015 

 

 

4,305,000 

 

3,820,687 

 

7.125%, 4/1/2017 (b) 

 

 

3,025,000 

 

2,881,312 

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

 

 

2,850,000 

 

2,379,750 

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

 

 

2,365,000 

 

2,240,838 

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

 

 

2,870,000 

 

2,353,400 

K. Hovnanian Enterprises, Inc.:

 
 

8.875%, 4/1/2012 

 

 

11,060,000 

 

8,073,800 

 

144A, 11.5%, 5/1/2013 

 

 

575,000 

 

596,563 

Kansas City Southern de Mexico SA de CV:

 
 

7.375%, 6/1/2014 

 

 

4,875,000 

 

4,728,750 

 

7.625%, 12/1/2013 

 

 

7,670,000 

 

7,439,900 

 

9.375%, 5/1/2012 

 

 

8,785,000 

 

9,136,400 

Kansas City Southern Railway Co.:

 
 

7.5%, 6/15/2009 

 

 

2,235,000 

 

2,257,350 

 

8.0%, 6/1/2015 (b) 

 

 

5,425,000 

 

5,479,250 

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

 

 

3,435,000 

 

3,297,600 

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

 

 

1,170,000 

 

1,158,300 

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

 

 

4,505,000 

 

4,606,362 

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

 

 

2,075,000 

 

1,903,813 

R.H. Donnelley Corp., 144A, 8.875%, 10/15/2017 

 

 

15,980,000 

 

9,508,100 

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

 

 

740,000 

 

786,250 

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

 

 

2,575,000 

 

2,484,875 

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

 

 

1,750,000 

 

1,564,063 

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

 

 

10,105,000 

 

9,902,900 

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

 

 

1,705,000 

 

1,683,688 

U.S. Concrete, Inc., 8.375%, 4/1/2014 

 

 

3,219,000 

 

2,856,862 

United Rentals North America, Inc.:

 
 

6.5%, 2/15/2012 (b) 

 

 

5,955,000 

 

5,359,500 

 

7.0%, 2/15/2014 (b) 

 

 

8,020,000 

 

6,215,500 

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

 

 

1,820,000 

 

1,692,600 

 

**176,547,125**

**Information Technology 3.8%**

 
Alion Science and Technology, 10.25%, 2/1/2015 

 

 

2,790,000 

 

1,953,000 

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

 

 

9,080,000 

 

7,377,500 

L-3 Communications Corp.:

 
 

5.875%, 1/15/2015 

 

 

9,690,000 

 

8,939,025 

 

Series B, 6.375%, 10/15/2015 

 

 

4,430,000 

 

4,142,050 

 

7.625%, 6/15/2012 

 

 

10,340,000 

 

10,443,400 

Lucent Technologies, Inc., 6.45%, 3/15/2029 (b) 

 

 

10,785,000 

 

8,250,525 

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

 

 

3,985,000 

 

3,387,250 

NXP BV/NXP Funding LLC, 7.497% ***, 10/15/2013 

EUR

 

4,135,000 

 

5,468,698 

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

 

 

1,425,000 

 

1,410,750 

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

 

 

5,410,000 

 

4,936,625 

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

 

 

7,495,000 

 

7,532,475 

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

 

 

2,270,000 

 

1,974,900 

 

**65,816,198**

 

 

 

 

**Materials 10.6%**

 
AMH Holdings, Inc., Step-up Coupon, 0% to 3/1/2009, 11.25% to 3/1/2014 (b) 

 

 

5,730,000 

 

3,781,800 

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

 

 

1,665,000 

 

1,573,425 

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

 

 

24,081,000 

 

19,144,395 

Cascades, Inc., 7.25%, 2/15/2013 (b) 

 

 

8,433,000 

 

7,336,710 

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

 

 

6,120,000 

 

5,293,800 

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

 

 

3,860,000 

 

3,338,900 

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

 

 

6,415,000 

 

5,356,525 

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

 

 

9,845,000 

 

9,131,237 

Freeport-McMoRan Copper & Gold, Inc.:

 
 

8.25%, 4/1/2015 

 

 

5,825,000 

 

6,123,531 

 

8.375%, 4/1/2017 

 

 

10,805,000 

 

11,399,275 

GEO Specialty Chemicals, Inc.:

 
 

144A, 7.5% ***, 3/31/2015 

 

 

6,702,681 

 

5,018,632

 

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

 

 

11,210,000 

 

8,393,488 

Georgia-Pacific LLC:

 
 

144A, 7.125%, 1/15/2017 

 

 

1,995,000 

 

1,875,300 

 

9.5%, 12/1/2011 

 

 

2,385,000 

 

2,423,756 

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

 

 

11,780,000 

 

11,456,050 

Huntsman LLC, 11.625%, 10/15/2010 

 

 

15,191,000 

 

15,684,707 

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

 

 

1,310,000 

 

1,310,000 

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

 

 

4,280,000 

 

3,734,300 

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

 

 

8,255,000 

 

7,470,775 

Metals USA Holdings Corp., 8.698% ***, 7/1/2012 (PIK)

 

 

1,920,000 

 

1,766,400 

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

 

 

1,450,000 

 

942,500 

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

 

 

5,865,000 

 

5,014,575 

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

 

 

6,860,000 

 

6,808,550 

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

 

 

5,620,000 

 

5,690,250 

Pliant Corp., 11.625%, 6/15/2009 (PIK)

 

 

7 

 

7 

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

 

 

1,510,000 

 

1,888 

Rhodia SA, 144A, 7.497% ***, 10/15/2013 

EUR

 

265,000 

 

369,770 

Smurfit-Stone Container Enterprises, Inc.:

 
 

8.0%, 3/15/2017 (b) 

 

 

2,800,000 

 

2,240,000 

 

8.375%, 7/1/2012 

 

 

2,880,000 

 

2,527,200 

Steel Dynamics, Inc.:

 
 

6.75%, 4/1/2015 

 

 

4,575,000 

 

4,380,563 

 

144A, 7.375%, 11/1/2012 

 

 

1,065,000 

 

1,065,000 

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

 

 

6,249,000 

 

6,124,020 

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

 

 

8,885,000 

 

9,284,824 

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

 

 

2,370,000 

 

1,516,800 

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

 

 

5,130,000 

 

4,770,900 

 

**182,349,853**

**Telecommunication Services 7.3%**

 
BCM Ireland Preferred Equity Ltd., 144A, 11.856% ***, 2/15/2017 (PIK)

EUR

 

3,262,740 

 

3,054,071 

Centennial Communications Corp.:

 
 

10.0%, 1/1/2013 

 

 

2,155,000 

 

2,187,325 

 

10.125%, 6/15/2013 

 

 

4,550,000 

 

4,686,500 

Cincinnati Bell, Inc.:

 
 

7.25%, 7/15/2013 

 

 

5,875,000 

 

5,728,125 

 

8.375%, 1/15/2014 (b) 

 

 

3,295,000 

 

3,187,913 

Cricket Communications, Inc.:

 
 

9.375%, 11/1/2014 

 

 

6,565,000 

 

6,318,812 

 

144A, 10.0%, 7/15/2015 

 

 

5,880,000 

 

5,762,400 

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

 

 

1,296,000 

 

1,341,360 

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

 

 

1,543,457

 

1,497,154 

Hellas Telecom III, 144A, 8.5%, 10/15/2013 

EUR

 

665,000 

 

884,723 

 

 

 

 

Hellas Telecom V, 144A, 8.247% ***, 10/15/2012 

EUR

 

960,000 

 

1,382,998 

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

 

 

7,115,000 

 

6,919,337 

iPCS, Inc., 4.998% ***, 5/1/2013 

 

 

1,465,000 

 

1,318,500 

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

 

 

8,270,000 

 

7,959,875 

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

 

 

12,015,000 

 

12,735,900 

Nortel Networks Ltd.:

 
 

6.963% ***, 7/15/2011 

 

 

5,405,000 

 

5,107,725 

 

144A, 10.75%, 7/15/2016 (b) 

 

 

4,095,000 

 

4,054,050 

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

 

 

2,115,000 

 

1,961,663 

Qwest Corp.:

 
 

7.25%, 9/15/2025 

 

 

1,005,000 

 

889,425 

 

7.875%, 9/1/2011 (b) 

 

 

5,425,000 

 

5,425,000 

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

 

 

5,265,000 

 

5,357,137 

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

 

 

2,900,000 

 

2,494,000 

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

 

 

2,205,000 

 

2,331,788 

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

 

 

8,575,000 

 

8,575,000 

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

 

 

7,026,000 

 

7,184,085 

Virgin Media Finance PLC, 8.75%, 4/15/2014 (b) 

 

 

14,366,000 

 

13,504,040 

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

 

 

3,420,000 

 

3,078,000 

 

**124,926,906**

**Utilities 8.5%**

 
AES Corp.:

 
 

8.0%, 10/15/2017 

 

 

5,715,000 

 

5,600,700 

 

144A, 8.0%, 6/1/2020 

 

 

5,840,000 

 

5,635,600 

 

144A, 8.75%, 5/15/2013 

 

 

18,610,000 

 

19,307,875 

 

9.5%, 6/1/2009 

 

 

3,180,000 

 

3,267,450 

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

 

 

25,320,000 

 

26,396,100 

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

 

 

13,575,000 

 

14,171,295 

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

 

 

5,170,000 

 

4,833,950 

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

 

 

8,555,000 

 

8,640,550 

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

 

 

2,675,000 

 

2,634,875 

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

 

 

1,605,000 

 

1,564,875 

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

 

 

6,675,000 

 

6,891,937 

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

 

 

2,235,000 

 

2,215,444 

NRG Energy, Inc.:

 
 

7.25%, 2/1/2014 

 

 

6,795,000 

 

6,489,225 

 

7.375%, 2/1/2016 

 

 

4,945,000 

 

4,654,481 

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

 

 

2,415,000 

 

2,354,903 

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

 

 

4,020,000 

 

4,110,450 

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

 

 

6,830,000 

 

6,676,325 

Sierra Pacific Resources:

 
 

6.75%, 8/15/2017 

 

 

6,710,000 

 

6,519,537 

 

8.625%, 3/15/2014 

 

 

1,263,000 

 

1,324,022 

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

 

 

12,535,000 

 

12,284,300 

 

**145,573,894**

**Total Corporate Bonds** (Cost $1,667,596,332)

 

**1,520,899,222**

 

**Senior Loans*** 7.2%**

 
Advanced Medical Optics, Inc., Term Loan B, LIBOR plus 1.75%, 5.061%, 4/2/2014

 

 

1,712,700

 

1,579,966

Algoma Steel, Inc., Term Loan, LIBOR plus 2.5%, 5.811%, 6/30/2013 

 

 

948,367 

 

900,948 

Alliance Mortgage Cycle Loan, Term Loan, LIBOR plus 7.25%, 10.561%, 6/4/2010 ** 

 

 

3,500,000 

 

175,000 

Bausch & Lomb, Inc.:

 
 

Term Delay Draw, LIBOR plus 3.25%, 6.561%, 4/11/2015 

 

 

684,000 

 

671,220

 

Term Loan B, LIBOR plus 3.25%, 6.561%, 4/11/2015 

 

 

4,558,575 

 

4,473,398 

Buffets, Inc.:

 
 

Letter of Credit, 9.733%, 5/1/2013 

 

 

3,206,762 

 

1,894,651

 

 

 

 

 

Term Loan B, 7.74%, 11/1/2013 

 

 

5,329,302 

 

3,148,712

Charter Communications Operations:

 
 

Term Loan, LIBOR plus 2.0%, 5.311%, 3/6/2014 

 

 

5,525,000 

 

5,502,541 

 

Term Loan B, LIBOR plus 3.25%, 6.561%, 4/27/2011 

 

 

8,101,988 

 

7,138,378 

Energy Future Holdings Corp.:

 
 

Term Loan B1, LIBOR plus 3.5%, 6.811%, 10/10/2014 

 

 

26,073,975 

 

24,203,298 

 

Term Loan B3, LIBOR plus 3.5%, 6.811%, 10/10/2014 

 

 

17,034,400 

 

15,794,551 

General Nutrition Centers, Inc., Term Loan B, LIBOR plus 2.25%, 5.561%, 9/16/2013 

 

 

1,701,407 

 

1,573,801 

Golden Nugget, Term Loan, 5.74%, 6/16/2014 

 

 

3,314,692 

 

2,353,431 

Hawker Beechcraft, Inc.:

 
 

Letter of Credit, LIBOR plus 2.0%, 5.311%, 3/26/2014 

 

 

94,318 

 

88,821 

 

Term Loan B, LIBOR plus 2.0%, 5.311%, 3/26/2014 

 

 

1,618,493 

 

1,524,167 

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

 

 

9,357,613 

 

8,780,950 

Hexion Specialty Chemicals:

 
 

Term Loan C1, LIBOR plus 2.25%, 5.561%, 5/5/2013 

 

 

9,503,427 

 

8,680,335 

 

Term Loan C2, LIBOR plus 2.25%, 5.561%, 5/5/2013 

 

 

2,808,255 

 

2,565,032 

IASIS Healthcare LLC, Term Loan, 8.131%, 6/15/2014 

 

 

3,656,003 

 

3,249,273 

Intelstat Corp., Term Loan, LIBOR plus 9.25%, 12.561%, 8/15/2014 

 

 

1,180,000 

 

1,183,198 

Longview Power LLC:

 
 

Demand Draw, 5.063%, 4/1/2014 

 

 

1,141,000 

 

1,058,277 

 

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

 

 

321,000 

 

297,728 

 

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

 

 

983,000 

 

911,732 

NewPage Corp., Term Loan B, LIBOR plus 3.0%, 6.311%, 11/5/2014 

 

 

658,350 

 

655,223 

Rail America, Inc., Term Loan, 5.32%, 10/2/2008 

 

 

4,400,000 

 

4,400,000 

Sabre, Inc., Term Loan B, LIBOR plus 2.25%, 5.561%, 9/30/2014 

 

 

2,784,229 

 

2,294,678 

Symbion, Inc.:

 
 

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

 

 

1,298,115 

 

1,165,058 

 

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

 

 

1,298,115 

 

1,165,058 

Telesat Canada, Inc.:

 
 

Term Loan, 5.9%, 9/1/2014 

 

 

2,024,409 

 

1,956,632 

 

Term Loan B, LIBOR plus 3.0%, 6.311%, 10/31/2014 

 

 

6,309,916 

 

6,098,659

Toys "R" Us, Term Loan, 6.969%, 7/1/2012 

 

 

3,980,100 

 

3,853,254 

Tribune Co., Term Loan B, 5.482%, 5/24/2014 

 

 

5,692,500 

 

4,347,647 

**Total Senior Loans** (Cost $137,150,213)

 

**123,685,617**

 

**Preferred Securities 0.3%**

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

 

 

3,155,000 

 

2,999,175 

Xerox Capital Trust I, 8.0%, 2/1/2027 (d)

 

 

2,025,000 

 

1,976,523 

**Total Preferred Securities** (Cost $5,267,300)

 

**4,975,698**

 

**Units**

 

**Value ($)**

 

**Other Investments 0.3%**

 
Hercules, Inc., (Bond Unit), 6.5%, 6/30/2029  (Cost $5,737,630)

 

6,700,000 

 

**5,494,000**

 

**Shares**

 

**Value ($)**

 

**Common Stocks 0.0%**

 
GEO Specialty Chemicals, Inc.*  

 

136,705 

 

116,199 

GEO Specialty Chemicals, Inc. 144A*  

 

12,448 

 

10,581 

**Total Common Stocks** (Cost $1,635,755)

 

**126,780**

 

**Preferred Stocks 0.0%**

 
ION Media Networks, Inc.:

 

 

 

 

 

Series AI, 12.0%*  

 

 

30,003 

 

2,145

 

144A, 12.0%*  

 

 

65,016 

 

10,823 

**Total Preferred Stocks** (Cost $272,427)

 

**12,968**

 

 

 

 

 
 

**Warrants 0.0%**

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

 

560 

 

0 

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

 

16,090 

 

0****

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

 

911,300 

 

180,065 

 
 
**Total Warrants** (Cost $6)

 

**180,065**

 
 

**Securities Lending Collateral 4.9%**

 
 
Daily Assets Fund Institutional, 2.74% (e) (f)(Cost $84,550,600)

 

 

84,550,600

 

**84,550,600**

 
 

**Cash Equivalents 1.3%**

 
 
Cash Management QP Trust, 2.49% (e)(Cost $22,163,591)

 

 

22,163,591

 

**22,163,591**

 
 

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

 

**Value ($)**

 
 
**Total Investment Portfolio** (Cost $1,924,373,854) †

102.7

 

**1,762,088,541**

 
**Other Assets and Liabilities, Net**

(2.7)

 

**(47,460,224)**

 
 
**Net Assets**

100.0

 

**1,714,628,317**

 
*For information on the Fund's policies regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual or annual financial statements.*

 
***

*Non-income producing security.*

 
****

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

* *

* *

* *

* *

***Acquisition*****

* *

 
***Securities*****

***Coupon*****

***Maturity Date*****

***Principal Amount*****

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

***Value ($)*****

 
*Alliance Mortgage Cycle Loan***

*10.561%***

*6/4/2010***

*3,500,000***

*USD***

*3,508,969***

*175,000***

 
*Congoleum Corp.***

*8.625%***

*8/1/2008***

*6,765,000***

*USD***

*6,665,724***

*5,073,750***

 
*Eaton Vance Corp., CDO***

*13.68%***

*7/15/2012***

*2,363,417***

*USD***

*1,697,739***

*0***

 
*Quebecor World, Inc.***

*9.75%***

*1/15/2015***

*2,830,000***

*USD***

*2,830,000***

*1,372,550***

 
*Radnor Holdings Corp.***

*11.0%***

*3/15/2010***

*1,510,000***

*USD***

*1,333,438***

*1,888***

 
*Tropicana Entertainment LLC***

*9.625%***

*12/15/2014***

*8,975,000***

*USD***

*7,018,944***

*4,263,125***

 
 **

 **

 **

 **

 **

***23,054,814*****

***10,886,313*****

 
 
*****

*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 June 30, 2008.*

 
*†*

*The cost for federal income tax purposes was $1,934,698,730.  At June 30, 2008, net unrealized depreciation for all securities based on tax cost was $172,610,189.  This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $5,316,547 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $177,926,736.*

 
*(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 June 30, 2008 amounted to $80,922,770 which is 4.7% of net assets.*

 
*(c)*

*Security issued in lieu of interest payment due December 15, 2007 deferred until September 15, 2008.  The security is deemed to be non-income producing.*

 
*(d)*

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

 
*(e)*

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

 
*(f)*

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

 
*144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.*

 

 

 

 

*CDO: Collateralized Debt Obligation*

*LIBOR: Represents the London InterBank Offered Rate.*

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

 

 

 

*At June 30, 2008, the Fund had unfunded loan commitments of $665,965 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***

*453,150***

*447,480***

*(5,670)***

 
*Telesat Canada, Inc., Term Loan B, 10/31/2014***

*212,815***

*208,707***

*(4,108)***

 
***Total*****

***665,965*****

***656,187*****

***(9,778)*****

 
* *

 
*At June 30, 2008, open credit default swaps contracts sold were as follows:*

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

 

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

 

**Cash Flows  Received by the Fund**

 

**Underlying Debt Obligation**

 

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

 

10/5/200712/20/2008

 

2,855,0001

 

Fixed — 3.2%

 

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

 

 

(118,905)

 
10/9/200712/20/2008

 

3,005,0002

 

Fixed — 2.6%

 

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

 

 

(133,506)

 
10/22/2007

12/20/2008

 

5,640,0003

 

Fixed — 3.06%

 

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

 

(238,553)

 
10/9/200712/20/2008

 

 

2,855,0004

 

Fixed —3.1%

 

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

 

 

(95,757)

 
10/10/200712/20/2008

 

 

1,715,0001

 

Fixed — 3.15%

 

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

 

 

(57,119)

 
10/22/200712/20/2008

 

5,640,0003

 

Fixed — 3.05%

 

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

 

 

(190,486)

 
10/23/200712/20/2008

 

533,0001

 

Fixed — 3.4%

 

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

 

 

(17,128)

 
11/21/200712/20/2008

 

3,055,0005

 

Fixed — 4.02%

 

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

 

 

28,271

 
12/19/200712/20/2008

 

4,000,0003

 

Fixed — 2.9%

 

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

 

15,527

 
3/20/2008

3/20/2009

 

4,005,0006

 

Fixed — 2.65%

 

HCA, Inc.,

7.7%, 3/20/2009

 

(16,843)

 
2/19/2008

3/20/2009

 

2,985,0005

 

Fixed — 3.8%

 

HCA, Inc.,

7.7%, 3/20/2009

 

35,353

 
2/26/2008

3/20/2009

 

3,150,0005

 

Fixed — 5.0%

 

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

 

65,286

 
10/17/200712/20/2009

 

3,220,0005

 

Fixed — 3.85%

 

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

 

 

(432,062)

 
12/13/200712/20/2009

 

 

2,995,0005

 

Fixed — 5.05%

 

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

 

 

(256,728)

 
1/29/2008

3/20/2013

 

2,400,0003

 

Fixed — 3.0%

 

HCA, Inc.,

7.7%, 3/20/2009

 

19,818

 
**Total net unrealized depreciation**

 

**(1,392,832)**

 
* *

 
*At June 30, 2008, open credit default swap contract purchased was as follows:*

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

 

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

 

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

 

**Underlying Debt Obligation**

 

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

 

5/6/2008

6/20/2013

 

2,940,0005

 

Fixed — 7.25%

 

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

 

**140,847**

 
*Counterparties:*

 
*1*

*Morgan Stanley Co., Inc.*

 
*2*

*Citigroup Global Markets, Inc.*

 
*3*

*Lehman Brothers, Inc.*

 
*4*

*Goldman Sachs & Co.*

 
*5*

*Merrill Lynch & Co., Inc.*

 
*6*

*JPMorgan Chase Securities, Inc.*

 
 

 

 

 

*As of June 30, 2008, the Fund had the following open  forward foreign currency exchange contracts:*

***Contracts to Deliver*****

***In Exchange For*****

***Settlement Date*****

***Unrealized***

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

 
*USD***

*3,611,382***

*EUR***

*2,320,000***

*7/11/2008***

*39,182***

 
*USD***

*2,990,559***

*EUR***

*1,916,300***

*7/11/2008***

*24,775***

 
***Total unrealized appreciation*****

 **

 **

***63,957*****

 
 

 

 

 

 

 

 
***Contracts to Deliver*****

***In Exchange For*****

***Settlement Date*****

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

 
*EUR***

*22,626,000***

*USD***

*34,858,747***

*7/11/2008***

***(743,689)*****

 
 

***Currency Abbreviations:*****

 

 

*EUR***

*Euro***

*USD***

*United States Dollar***

 
 

 

**ITEM 2.**

**CONTROLS AND PROCEDURES**

 

 

 

(a)          The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.

 

 

 

(b)         There have been no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting.

 

 

**ITEM 3.**

**EXHIBITS**

 

 

 

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

 

 

**SIGNATURES**

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Registrant: 

DWS High Income Fund, a series of DWS High Income Series

 

By:

/s/Michael G. Clark

 

Michael G. Clark

President

 

Date:

August 20, 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 High Income Fund, a series of DWS High Income Series

 

By:

/s/Michael G. Clark

 

Michael G. Clark

President

 

Date:

August 20, 2008

 

 

By:

/s/Paul Schubert

 

Paul Schubert

Chief Financial Officer and Treasurer

 

Date:                                        August 20, 2008

 

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