UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

**FORM N-Q**

**QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED**

**MANAGEMENT INVESTMENT COMPANY**

**_______________________________**

Investment Company Act file number  811-5482

DWS High Income Trust

(Exact name of registrant as specified in charter)

 

345 Park Avenue

New York, NY  10154

(Address of principal executive offices)             (Zip code)

 

Paul Schubert

345 Park Avenue

New York, NY  10154-0004

(Name and address of agent for service)

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

Date of fiscal year end:  11/30

Date of reporting period: 08/31/08

 

ITEM 1.  SCHEDULE OF INVESTMENTS

 

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

 

 

**DWS High Income Trust**

 

 

|   | **Principal****Amount ($) (a)** |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | **Value ($)** |
|--------|---------------------------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------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|        |
|   | **Corporate Bonds 133.6%**      |  
**Consumer Discretionary 20.5%**

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

 

 

1,055,000 

 

952,137

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

 

 

205,000 

 

200,900 

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

 

 

414,776 

 

395,074 

Asbury Automotive Group, Inc.:

 
 

7.625%, 3/15/2017 

 

 

475,000 

 

339,625 

 

8.0%, 3/15/2014 (b)

 

 

200,000 

 

156,000

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

 

 

515,000 

 

458,350 

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

 

 

205,000 

 

148,113 

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

 

 

240,000 

 

241,200 

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

 

 

345,000 

 

269,100 

 

 

 

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

 

 

215,000 

 

181,675 

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

 

 

1,380,000 

 

1,449,000 

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

EUR

 

205,000 

 

240,596 

CSC Holdings, Inc.:

 
 

6.75%, 4/15/2012 

 

 

435,000 

 

424,125 

 

Series B, 7.625%, 4/1/2011 

 

 

375,000 

 

376,875 

 

Series B, 8.125%, 7/15/2009 

 

 

1,300,000 

 

1,317,875 

 

Series B, 8.125%, 8/15/2009 

 

 

810,000 

 

822,150 

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

 

 

135,000 

 

129,600 

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

 

 

1,120,000 

 

1,117,200 

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

 

 

350,000 

 

325,500 

EchoStar DBS Corp.:

 
 

6.375%, 10/1/2011 

 

 

610,000 

 

596,275 

 

6.625%, 10/1/2014 

 

 

590,000 

 

542,800 

 

7.125%, 2/1/2016 

 

 

550,000 

 

506,000 

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

 

 

455,000 

 

214,988 

General Motors Corp.:

 
 

7.4%, 9/1/2025 

 

 

245,000 

 

110,250 

 

8.375%, 7/15/2033 

 

 

640,000 

 

316,800 

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

 

 

410,000 

 

386,425 

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

 

 

200,000 

 

182,000 

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

 

 

1,280,000 

 

1,198,400 

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

 

 

960,000 

 

434,400 

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

 

 

265,000 

 

210,675 

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

 

 

415,000 

 

296,725 

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

 

 

735,000 

 

755,212 

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

 

 

285,000 

 

252,581 

Liberty Media LLC:

 
 

5.7%, 5/15/2013 (b) 

 

 

60,000 

 

52,913 

 

8.25%, 2/1/2030 

 

 

500,000 

 

422,568 

 

8.5%, 7/15/2029 (b) 

 

 

675,000 

 

575,558 

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

 

 

205,000 

 

205,000 

MGM MIRAGE:

 
 

6.0%, 10/1/2009 

 

 

308,000 

 

301,840 

 

6.625%, 7/15/2015 

 

 

255,000 

 

203,363 

 

6.75%, 9/1/2012 

 

 

585,000 

 

503,100 

 

8.375%, 2/1/2011 (b) 

 

 

425,000 

 

385,687 

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

 

 

650,000 

 

632,125 

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

 

 

1,130,000 

 

1,005,700 

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

 

 

835,000 

 

677,394 

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

 

 

425,000 

 

419,687 

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

 

 

290,000 

 

272,600 

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

 

 

330,000 

 

148,500 

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

 

 

555,000 

 

445,387 

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

 

 

305,000 

 

180,713 

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

 

 

375,000 

 

255,000 

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

 

 

475,000 

 

380,000 

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

 

 

750,000 

 

769,687 

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

 

 

335,000 

 

272,188 

Simmons Co.:

 
 

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

 

 

1,345,000 

 

847,350 

 

7.875%, 1/15/2014 

 

 

140,000 

 

111,300 

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

 

 

388,000 

 

379,270 

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

 

 

900,000 

 

704,250 

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

 

 

405,000 

 

311,850 

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

 

 

845,000 

 

922,245 

 

 

 

Travelport LLC:

 
 

7.307% ***, 9/1/2014 

 

 

315,000 

 

248,063 

 

9.875%, 9/1/2014 

 

 

360,000 

 

294,300 

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

 

 

340,000 

 

155,550 

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

 

 

70,000 

 

62,300 

Unity Media GmbH:

 

 

 

 

 

144A, 8.75%, 2/15/2015 

EUR

 

945,000 

 

1,306,646 

144A, 10.375%, 2/15/2015 

 

 

260,000 

 

250,900 

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

 

 

325,000 

 

232,375 

UPC Holding BV:

 
 

144A, 7.75%, 1/15/2014 

EUR

 

435,000 

 

583,923 

 

144A, 8.0%, 11/1/2016 

EUR

 

195,000 

 

251,746 

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

 

 

160,000 

 

168,200 

Vitro SAB de CV:

 
 

9.125%, 2/1/2017 

 

 

1,290,000 

 

999,750 

 

11.75%, 11/1/2013 

 

 

165,000 

 

153,863 

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

 

 

2,020,000 

 

661,550 

 

**32,303,067**

**Consumer Staples 3.5%**

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

 

 

205,000 

 

192,188 

Delhaize America, Inc.:

 
 

8.05%, 4/15/2027 

 

 

115,000 

 

122,595 

 

9.0%, 4/15/2031 

 

 

978,000 

 

1,134,079 

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

 

 

235,000 

 

204,156 

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

 

 

315,000 

 

198,450 

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

 

 

1,616,750 

 

1,244,897 

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

 

 

275,000 

 

246,125 

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

 

 

415,000 

 

419,731 

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

 

 

2,185,000 

 

1,769,850 

 

**5,532,071**

**Energy 19.9%**

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

 

 

910,000 

 

914,550 

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

 

 

1,940,000 

 

1,973,950 

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

 

 

450,000 

 

432,000 

Chaparral Energy, Inc.:

 
 

8.5%, 12/1/2015 

 

 

635,000 

 

552,450 

 

8.875%, 2/1/2017 

 

 

230,000 

 

199,525 

Chesapeake Energy Corp.:

 
 

6.25%, 1/15/2018 

 

 

260,000 

 

237,900 

 

6.875%, 1/15/2016 

 

 

1,549,000 

 

1,487,040 

 

7.25%, 12/15/2018 

 

 

725,000 

 

706,875 

 

7.5%, 6/15/2014 (b) 

 

 

190,000 

 

190,950 

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

 

 

360,000 

 

351,000 

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

 

 

1,020,000 

 

1,030,592 

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

 

 

850,000 

 

667,250 

Dynegy Holdings, Inc.:

 
 

6.875%, 4/1/2011 (b) 

 

 

130,000 

 

128,050 

 

8.375%, 5/1/2016 

 

 

825,000 

 

807,469 

El Paso Corp.:

 
 

7.25%, 6/1/2018 

 

 

620,000 

 

609,150 

 

9.625%, 5/15/2012 

 

 

275,000 

 

293,765 

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

 

 

1,145,000 

 

1,155,844 

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

 

 

628,000 

 

621,720 

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

 

 

230,000 

 

211,600 

Frontier Oil Corp., 6.625%, 10/1/2011 

 

 

320,000 

 

311,200 

 

 

 

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

 

 

1,150,000 

 

1,155,398 

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

 

 

1,735,000 

 

1,639,575 

Mariner Energy, Inc.:

 
 

7.5%, 4/15/2013 

 

 

400,000 

 

374,000 

 

8.0%, 5/15/2017 

 

 

445,000 

 

407,175 

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

 

 

685,000 

 

645,612 

OPTI Canada, Inc.:

 
 

7.875%, 12/15/2014 

 

 

540,000 

 

533,925 

 

8.25%, 12/15/2014 

 

 

1,305,000 

 

1,303,369 

Petrohawk Energy Corp.:

 
 

144A, 7.875%, 6/1/2015 

 

 

435,000 

 

405,638 

 

9.125%, 7/15/2013 

 

 

415,000 

 

412,925 

Plains Exploration & Production Co.:

 
 

7.0%, 3/15/2017 

 

 

380,000 

 

342,000 

 

7.625%, 6/1/2018 

 

 

765,000 

 

721,012 

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

 

 

1,060,000 

 

922,200 

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

 

 

75,000 

 

72,750 

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

 

 

1,215,000 

 

1,063,125 

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

 

 

300,000 

 

281,250 

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

 

 

525,000 

 

536,812 

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

 

 

230,000 

 

171,350 

Stone Energy Corp.:

 
 

6.75%, 12/15/2014 

 

 

740,000 

 

632,700 

 

8.25%, 12/15/2011 

 

 

1,155,000 

 

1,120,350 

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

 

 

340,000 

 

348,274 

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

 

 

295,000 

 

247,063 

Whiting Petroleum Corp.:

 
 

7.0%, 2/1/2014 

 

 

430,000 

 

408,500 

 

7.25%, 5/1/2012 

 

 

830,000 

 

800,950 

 

7.25%, 5/1/2013 

 

 

175,000 

 

168,000 

Williams Companies, Inc.:

 
 

8.125%, 3/15/2012 

 

 

1,440,000 

 

1,530,000 

 

8.75%, 3/15/2032 

 

 

1,695,000 

 

1,906,875 

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

 

 

335,000 

 

335,838 

 

**31,369,546**

**Financials 16.7%**

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

 

 

1,065,000 

 

1,022,400 

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

 

 

1,060,000 

 

583,000 

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

 

 

700,000 

 

653,003 

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

 

 

1,025,000 

 

1,027,908 

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

 

 

200,000 

 

112,000 

Citigroup, Inc., 6.5%, 8/19/2013 

 

 

1,160,000 

 

1,161,266 

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

 

 

1,646,500 

 

1,811,150 

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

 

 

5,807,673 

 

0 

Ford Motor Credit Co., LLC:

 
 

7.25%, 10/25/2011 

 

 

2,660,000 

 

2,037,669 

 

7.375%, 10/28/2009 

 

 

2,485,000 

 

2,309,619 

 

7.875%, 6/15/2010 

 

 

1,295,000 

 

1,116,328 

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

 

 

1,105,000 

 

1,074,304 

GMAC LLC, 6.875%, 9/15/2011 

 

 

5,570,000 

 

3,456,408 

Hawker Beechcraft Acquisition Co., LLC:

 
 

8.5%, 4/1/2015 

 

 

815,000 

 

821,112 

 

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

 

 

635,000 

 

633,413 

 

9.75%, 4/1/2017 

 

 

880,000 

 

862,400 

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

 

 

210,000 

 

174,825 

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

 

 

1,215,000 

 

1,237,781 

 

 

 

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

 

 

365,000 

 

305,688 

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

 

 

700,000 

 

677,597 

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

 

 

345,000 

 

255,300 

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

 

 

570,000 

 

363,375 

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

 

 

1,150,000 

 

1,142,229 

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

 

 

435,000 

 

434,456 

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

 

 

81,000 

 

86,164 

Sprint Capital Corp.:

 
 

7.625%, 1/30/2011 

 

 

425,000 

 

425,000 

 

8.375%, 3/15/2012 

 

 

170,000 

 

171,275 

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

 

 

1,100,000 

 

352,000 

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

 

 

494,867 

 

381,048 

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

 

 

1,695,000 

 

1,716,187 

 

**26,404,905**

**Health Care 6.9%**

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

 

 

835,000 

 

747,325 

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

 

 

515,000 

 

511,138 

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

 

 

2,990,000 

 

3,019,900 

HCA, Inc.:

 
 

9.125%, 11/15/2014 

 

 

535,000 

 

549,712 

 

9.25%, 11/15/2016 

 

 

1,720,000 

 

1,769,450 

 

9.625%, 11/15/2016 (PIK)

 

 

565,000 

 

569,944 

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

 

 

305,000 

 

327,875 

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

 

 

440,000 

 

441,100 

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

 

 

390,000 

 

378,300 

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

 

 

410,000 

 

356,700 

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

 

 

680,000 

 

652,800 

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

 

 

480,000 

 

430,800 

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

 

 

1,140,000 

 

1,120,050 

 

**10,875,094**

**Industrials 15.1%**

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

 

 

290,000 

 

284,200 

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

 

 

590,000 

 

623,187 

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

 

 

575,000 

 

577,875 

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

 

 

655,000 

 

117,900 

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

 

 

39,300 

 

0 

ARAMARK Corp.:

 
 

6.301% ***, 2/1/2015 

 

 

475,000 

 

441,750 

 

8.5%, 2/1/2015 

 

 

175,000 

 

176,313 

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

 

 

360,000 

 

364,500 

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

 

 

880,000 

 

917,400 

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

 

 

340,000 

 

321,300 

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

 

 

1,270,000 

 

1,263,650 

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

 

 

1,095,000 

 

996,450 

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

 

 

470,000 

 

387,750 

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

 

 

360,000 

 

351,900 

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

 

 

715,000 

 

536,250 

DRS Technologies, Inc.:

 
 

6.625%, 2/1/2016 

 

 

265,000 

 

272,950 

 

6.875%, 11/1/2013 

 

 

1,405,000 

 

1,422,562 

 

7.625%, 2/1/2018 

 

 

1,175,000 

 

1,236,687 

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

 

 

345,000 

 

314,381 

Esco Corp.:

 
 

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

 

 

40,000 

 

37,600 

 

 

 

 

144A, 8.625%, 12/15/2013 

 

 

725,000 

 

728,625 

General Cable Corp.:

 
 

5.166% ***, 4/1/2015 

 

 

530,000 

 

458,450 

 

7.125%, 4/1/2017 (b) 

 

 

400,000 

 

380,000 

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

 

 

220,000 

 

187,550 

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

 

 

305,000 

 

282,887 

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

 

 

340,000 

 

266,900 

K. Hovnanian Enterprises, Inc.:

 
 

8.875%, 4/1/2012 

 

 

1,270,000 

 

863,600 

 

144A, 11.5%, 5/1/2013 

 

 

70,000 

 

71,488 

Kansas City Southern de Mexico SA de CV:

 
 

7.375%, 6/1/2014 

 

 

690,000 

 

672,750 

 

7.625%, 12/1/2013 

 

 

905,000 

 

886,900 

 

9.375%, 5/1/2012 

 

 

1,145,000 

 

1,196,525 

Kansas City Southern Railway Co.:

 
 

7.5%, 6/15/2009 

 

 

465,000 

 

470,231 

 

8.0%, 6/1/2015 

 

 

710,000 

 

725,975 

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

 

 

445,000 

 

422,750 

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

 

 

150,000 

 

147,000 

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

 

 

570,000 

 

544,350 

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

 

 

255,000 

 

232,050 

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

 

 

1,240,000 

 

638,600 

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

 

 

325,000 

 

316,875 

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

 

 

230,000 

 

204,125 

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

 

 

1,295,000 

 

1,282,050 

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

 

 

205,000 

 

199,363 

United Rentals North America, Inc.:

 
 

6.5%, 2/15/2012 (b) 

 

 

750,000 

 

669,375 

 

7.0%, 2/15/2014 

 

 

960,000 

 

724,800 

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

 

 

380,000 

 

315,400 

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

 

 

215,000 

 

198,338 

 

**23,731,562**

**Information Technology 5.8%**

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

 

 

345,000 

 

236,325 

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

 

 

1,120,000 

 

907,200 

L-3 Communications Corp.:

 
 

5.875%, 1/15/2015 

 

 

1,150,000 

 

1,083,875 

 

Series B, 6.375%, 10/15/2015 

 

 

1,085,000 

 

1,038,887 

 

7.625%, 6/15/2012 

 

 

2,060,000 

 

2,096,050 

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

 

 

1,235,000 

 

858,325 

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

 

 

475,000 

 

406,125 

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

EUR

 

535,000 

 

600,427 

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

 

 

171,000 

 

169,290 

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

 

 

695,000 

 

620,288 

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

 

 

890,000 

 

896,675 

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

 

 

275,000 

 

233,750 

 

**9,147,217**

**Materials 16.4%**

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

 

 

200,000 

 

183,000 

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

 

 

2,955,000 

 

2,142,375 

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

 

 

1,002,000 

 

846,690 

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

 

 

745,000 

 

629,525 

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

 

 

465,000 

 

385,950 

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

 

 

760,000 

 

585,200 

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

 

 

1,125,000 

 

987,187 

 

 

 

Freeport-McMoRan Copper & Gold, Inc.:

 
 

8.25%, 4/1/2015 

 

 

1,650,000 

 

1,732,500 

 

8.375%, 4/1/2017 

 

 

2,510,000 

 

2,660,600 

GEO Specialty Chemicals, Inc.:

 
 

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

 

 

715,527 

 

535,751 

 

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

 

 

1,194,000 

 

894,007 

Georgia-Pacific LLC:

 
 

144A, 7.125%, 1/15/2017 

 

 

260,000 

 

241,150 

 

9.5%, 12/1/2011 

 

 

285,000 

 

289,275 

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

 

 

1,510,000 

 

1,464,700 

Huntsman LLC, 11.625%, 10/15/2010 

 

 

1,738,000 

 

1,798,830 

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

 

 

175,000 

 

179,375 

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

 

 

785,000 

 

682,950 

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

 

 

995,000 

 

885,550 

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

 

 

235,000 

 

212,088 

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

 

 

180,000 

 

109,800 

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

 

 

915,000 

 

825,787 

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

 

 

810,000 

 

785,700 

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

 

 

680,000 

 

659,600 

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

EUR

 

400,000 

 

539,874 

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

 

 

3 

 

3 

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

 

 

180,000 

 

225 

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

EUR

 

410,000 

 

550,364 

Smurfit-Stone Container Enterprises, Inc.:

 
 

8.0%, 3/15/2017 (b) 

 

 

655,000 

 

524,000 

 

8.375%, 7/1/2012 

 

 

340,000 

 

298,350 

Steel Dynamics, Inc.:

 
 

6.75%, 4/1/2015 

 

 

295,000 

 

275,088 

 

7.375%, 11/1/2012 

 

 

125,000 

 

123,750 

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

 

 

790,000 

 

768,275 

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

 

 

2,220,000 

 

2,295,773 

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

 

 

275,000 

 

176,000 

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

 

 

600,000 

 

552,000 

 

**25,821,292**

**Telecommunication Services 14.5%**

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

EUR

 

391,295 

 

278,206 

Centennial Communications Corp.:

 
 

10.0%, 1/1/2013 

 

 

260,000 

 

270,400 

 

10.125%, 6/15/2013 

 

 

570,000 

 

594,225 

Cincinnati Bell, Inc.:

 
 

7.25%, 7/15/2013 

 

 

755,000 

 

725,744 

 

8.375%, 1/15/2014 (b) 

 

 

395,000 

 

373,769 

Cricket Communications, Inc.:

 
 

9.375%, 11/1/2014 

 

 

800,000 

 

793,000 

 

144A, 10.0%, 7/15/2015 

 

 

730,000 

 

733,650 

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

 

 

235,000 

 

239,406 

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

 

 

168,288 

 

149,776 

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

EUR

 

220,000 

 

285,635 

 

 

 

 

 

 

 

Intelsat Corp.:

 
 

144A, 9.25%, 8/15/2014 

 

 

145,000 

 

144,638 

 

144A, 9.25%, 6/15/2016 

 

 

2,065,000 

 

2,044,350 

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

 

 

870,000 

 

860,212 

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

 

 

180,000 

 

159,750 

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

 

 

1,010,000 

 

1,001,162 

 

 

 

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

 

 

2,985,000 

 

3,149,175 

Nortel Networks Ltd.:

 
 

7.041% ***, 7/15/2011 

 

 

680,000 

 

630,700 

 

144A, 10.75%, 7/15/2016 

 

 

500,000 

 

462,500 

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

 

 

435,000 

 

398,547 

Qwest Corp.:

 
 

7.25%, 9/15/2025 

 

 

120,000 

 

96,600 

 

7.875%, 9/1/2011 

 

 

1,210,000 

 

1,200,925 

 

8.875%, 3/15/2012 

 

 

260,000 

 

261,950 

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

 

 

1,100,000 

 

1,115,484 

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

 

 

950,000 

 

973,750 

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

 

 

360,000 

 

328,500 

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

 

 

260,000 

 

270,400 

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

 

 

1,010,000 

 

929,200 

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

 

 

775,000 

 

813,750 

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

 

 

1,150,000 

 

1,099,846 

Virgin Media Finance PLC:

 
 

8.75%, 4/15/2014 

 

 

905,000 

 

864,275 

 

8.75%, 4/15/2014 

EUR

 

570,000 

 

756,778 

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

 

 

405,000 

 

345,262 

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

 

 

515,000 

 

450,625 

 

**22,802,190**

**Utilities 14.3%**

 
AES Corp.:

 
 

8.0%, 10/15/2017 

 

 

890,000 

 

876,650 

 

144A, 8.0%, 6/1/2020 

 

 

710,000 

 

679,825 

 

144A, 8.75%, 5/15/2013 

 

 

2,288,000 

 

2,368,080 

 

9.5%, 6/1/2009 

 

 

635,000 

 

649,287 

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

 

 

3,285,000 

 

3,449,250 

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

 

 

405,000 

 

416,568 

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

 

 

2,045,000 

 

2,150,544 

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

 

 

930,000 

 

890,475 

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

 

 

1,080,000 

 

1,105,650 

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

 

 

315,000 

 

315,788 

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

 

 

325,000 

 

321,750 

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

 

 

1,250,000 

 

1,275,000 

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

 

 

280,000 

 

277,900 

NRG Energy, Inc.:

 
 

7.25%, 2/1/2014 

 

 

825,000 

 

813,656 

 

7.375%, 2/1/2016 

 

 

600,000 

 

592,500 

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

 

 

285,000 

 

280,811 

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

 

 

1,990,000 

 

2,149,200 

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

 

 

520,000 

 

530,400 

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

 

 

880,000 

 

849,200 

Sierra Pacific Resources:

 
 

6.75%, 8/15/2017 

 

 

880,000 

 

856,187 

 

8.625%, 3/15/2014 

 

 

155,000 

 

162,115 

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

 

 

1,590,000 

 

1,586,025 

 

**22,596,861**

**Total Corporate Bonds** (Cost $231,418,379)

 

**210,583,805**

 

**Loan Participation and Assignments 13.4%**

 
**Senior Loans *****

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

 

 

197,500 

 

180,465 

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

 

 

338,662 

 

322,152 

 

 

 

Alliance Mortgage Cycle Loan, Term Loan, LIBOR plus 7.25%, 10.457% , 6/4/2010** 

 

 

466,667 

 

0 

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

 

 

2,495,000 

 

2,491,357 

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

 

 

394,343 

 

368,218 

Bausch & Lomb, Inc.:

 
 

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

 

 

81,000 

 

79,046 

 

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

 

 

532,325 

 

519,485 

Buffets, Inc.:

 
 

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

 

 

90,341 

 

44,794 

 

Term Loan, 9.719%, 5/1/2013 

 

 

28,865 

 

14,312 

 

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

 

 

892,389 

 

442,478 

Charter Communications Operations:

 
 

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

 

 

638,400 

 

631,483 

 

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

 

 

975,998 

 

856,072 

Community Health Systems, Inc.:

 
 

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

 

 

29,993 

 

28,421 

 

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

 

 

586,450 

 

555,702 

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

 

 

538,626 

 

533,240 

Energy Future Holdings Corp.:

 
 

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

 

 

3,086,675 

 

2,880,068 

 

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

 

 

2,004,850 

 

1,867,017 

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

 

 

390,000 

 

303,984 

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

 

 

198,492 

 

181,621 

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

 

 

830,000 

 

785,603 

Golden Nugget, Term Loan, 5.73%, 6/16/2014 

 

 

390,000 

 

245,700 

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

 

 

830,000 

 

803,602 

Hawker Beechcraft, Inc.:

 
 

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

 

 

43,427 

 

40,696 

 

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

 

 

743,333 

 

696,585 

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

 

 

2,734,722 

 

2,562,872 

Hexion Specialty Chemicals:

 
 

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

 

 

965,448 

 

833,452 

 

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

 

 

251,448 

 

217,070 

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

 

 

461,198 

 

405,854 

Longview Power LLC:

 
 

Demand Draw, 5.063%, 4/1/2014 

 

 

131,000 

 

116,590 

 

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

 

 

41,000 

 

36,490 

 

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

 

 

113,000 

 

100,570 

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

 

 

79,600 

 

77,936 

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

 

 

330,415 

 

253,180 

Symbion, Inc.:

 
 

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

 

 

153,680 

 

138,312 

 

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

 

 

153,680 

 

138,312 

Telesat Canada, Inc.:

 
 

Term Loan, 5.9%, 9/1/2014 

 

 

238,583 

 

229,678 

 

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

 

 

764,362

 

735,833 

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

 

 

673,200 

 

465,855 

**Total Loan Participation and Assignments**(Cost $23,062,633)

 

**21,184,105**

 

**Preferred Securities 0.5%**

 
**Financials**

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

 

 

685,000 

 

581,579 

 

 

 

 

 

 

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

 

 

235,000 

 

223,757 

**Total Preferred Securities** (Cost $891,641)

 

**805,336**

 

 

 

 

**Units**

 

**Value ($)**

 

**Other Investments 0.4%**

 
Hercules, Inc., (Bond Unit), 6.5%, 6/30/2029 (Cost $480,970)

 

775,000 

 

**620,000**

 

**Shares**

 

**Value ($)**

 

**Common Stocks 0.0%**

 
**Materials**

 
GEO Specialty Chemicals, Inc.*

 

14,091 

 

11,977 

GEO Specialty Chemicals, Inc. 144A*

 

1,283 

 

1,091 

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

 

**13,068**

 

**Warrants 0.0%**

 
**Financials 0.0%**

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

 

105,300 

 

**35,027**

**Industrials 0.0%**

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

 

1,640 

 

**0**

**Materials 0.0%**

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

 

60 

 

**0**

**Total Warrants** (Cost $1)

 

**35,027**

 

**Convertible Preferred Stock 0.0%**

 
**Consumer Discretionary**

 
ION Media Networks, Inc.:

 

 

 

 

144A, 12.0% * 

 

2 

 

1,300 

Series AI, 144A, 12.0% * 

 

15,000 

 

97 

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

 

**1,397**

 

**Securities Lending Collateral 7.0%**

 
Daily Assets Fund Institutional, 2.65% (f) (g)(Cost $11,048,748)

 

 

11,048,748

 

**11,048,748**

 

**Cash Equivalents 0.8%**

 
Cash Management QP Trust, 2.44% (f)(Cost $1,210,999)

 

 

1,210,999

 

**1,210,999**

 

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

 

**Value ($)**

**Total Investment Portfolio** (Cost $268,306,400) †

155.7

 

**245,502,485**

**Other Assets and Liabilities, Net**

(6.7)

 

**(10,569,922)**

**Notes Payable**

(49.0)

 

**(77,300,000)**

**Net Assets**

100.0

 

**157,632,563**

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

***

*Non-income producing security.*

 

 

 

 

 

 

 

 

 

 

 

 
****

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

**Security**

**Coupon**

**Maturity****Date**

**Principal Amount ($)**

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

**Value ($)**

 
Alliance Mortgage Cycle Loan

10.457%

6/4/2010

466,667

USD

467,631

0

 
American Color Graphics, Inc.

10.0%

6/15/2010

655,000

USD

445,400

117,900

 
Congoleum Corp.

8.625%

8/1/2008

715,000

USD

600,300

536,250

 
Eaton Vance Corp.,CDO II, Series C-X

13.68%

7/15/2012

5,807,673

USD

3,904,801

0

 
Quebecor World, Inc.

9.75%

1/15/2015

330,000

USD

330,000

148,500

 
Radnor Holdings Corp.

11.0%

3/15/2010

180,000

USD

117,163

225

 
Tropicana Entertainment LLC

9.625%

12/15/2014

1,100,000

USD

827,274

352,000

 
 

 

 

 

 

**6,692,569**

**1,154,875**

 
 
*****

*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 August 31, 2008.*

 
*†*

*The cost for federal income tax purposes was $269,506,502. At August 31, 2008, net unrealized depreciation for all securities based on tax cost was $24,004,017. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $1,167,063 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $25,171,080.*

 
*(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 $10,552,904 which is 6.7% 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.*

 
*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 August 31, 2008, the Fund had unfunded loan commitments of $53,662 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

53,662

52,698

**(964)**

 
 

 
 

 

 

 
 

 

 

 

*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

10/20/2008

 

335,0001

 

Fixed — 3.2%

 

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

(6,993)

 
10/4/2007

12/20/2008

 

355,0002

 

Fixed — 2.6%

 

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

(8,078)

 
10/23/2007

12/20/2008

 

560,0001

 

Fixed — 3.0%

 

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

(12,041)

 
10/4/2007

12/20/2008

 

335,0003

 

Fixed — 3.1%

 

Ford Motor Co.,

6.5%, 8/1/2018

(4,717)

 
10/5/2007

12/20/2008

 

200,0001

 

Fixed — 3.15%

 

Ford Motor Co.,

6.5%, 8/1/2018

(2,785)

 
10/23/2007

12/20/2008

 

810,0001

 

Fixed — 3.4%

 

Ford Motor Co.,

6.5%, 8/1/2018

(10,641)

 
11/20/2007

12/20/2008

 

370,0004

 

Fixed — 4.02%

 

Tenet Healthcare Corp.,

7.375%, 2/1/2013

2,076

 
2/14/2008

3/20/2009

 

1,110,0004

 

Fixed — 3.8%

 

HCA, Inc.,

7.7%, 3/20/2009

10,241

 
2/26/2008

3/20/2009

 

850,0004

 

Fixed — 5.0%

 

Tenet Healthcare Corp.,

7.375%, 2/1/2013

12,881

 
10/23/2007

12/20/2009

 

299,0001

 

Fixed — 4.65%

 

Ford Motor Co.,

6.5%, 8/1/2018

(47,549)

 
12/10/2007

12/20/2009

 

360,0004

 

Fixed — 5.05%

 

Ford Motor Co.,

6.5%, 8/1/2018

(32,734)

 
**Total net unrealized depreciation**

**(100,340)**

 
 

*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 ($)**

 
 
 
 

 
5/2/2008

6/20/2013

 

360,0004

 

Fixed — 7.25%

 

ARCO Chemical Co.,

9.8%, 2/1/2020

**30,276**

 
 

*Counterparties:*

*1*

*Morgan Stanley Co., Inc.*

*2*

*Citigroup Global Markets, Inc.*

*3*

*The Goldman Sachs & Co.*

*4*

*Merrill Lynch Pierce, Fenner & Smith*

 

 

 
*At August 31, 2008, the Fund had the following forward foreign currency exchange contracts:*

**Contracts to Deliver**

**In Exchange For**

**Settlement Date**

**Unrealized**

**Appreciation ($)**

 
EUR

3,471,400

USD

5,315,234

9/18/2008

227,268

 
EUR

265,900

USD

390,200

9/18/2008

476

 
**Total unrealized appreciation**

 

 

**227,744**

 
 

***Currency Abbreviations***

 

 

*EUR***

*Euro***

*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 

$                12,259,747   

$                              -   

Level 2

231,047,000

156,716

Level 3

2,195,738

-

**Total**

**$              245,502,485**

**$                 156,716**

 

*†† 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**

$                     787,625

Total realized gain (loss)

2,705  

Change in unrealized appreciation (depreciation)

(348,631)  

Amortization Premium/Discount

8,988

Net purchases (sales)

1,086,301   

Net transfers in (out) of Level 3 

658,750   

**Balance as of August 31, 2008**

**$                2,195,738**

**

*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 High 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 High 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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