KMM Deutsche Multi-Market Income Trust Common Sshares of Beneficial Interest (delisted)

ITEM 1.	REPORT TO STOCKHOLDERS

Average Annual Total Returns as of 5/31/13
DWS Multi-Market Income Trust		6-Month ‡				1-Year				5-Year				10-Year
Based on Net Asset Value (a)			4.02	%			14.94	%			12.22	%			11.52	%
Based on Market Price (a)			3.33	%			10.06	%			14.70	%			11.40	%
Credit Suisse High Yield Index (b)			5.78	%			14.18	%			10.15	%			9.26	%
Morningstar Closed-End Multisector Bond Funds Category (based on Net Asset Value) (c)			6.04	%			18.51	%			11.58	%			9.05	%

Portfolio Summary (Unaudited)

 

 

Investment Portfolio as of May 31, 2013 (Unaudited)

			Principal Amount ($)(a)				Value ($)
Corporate Bonds 101.8%
Consumer Discretionary 16.3%
AMC Entertainment, Inc., 8.75%, 6/1/2019				735,000				806,662
AMC Networks, Inc., 7.75%, 7/15/2021				130,000				147,225
APX Group, Inc., 144A, 6.375%, 12/1/2019				295,000				294,262
Arcelik AS, 144A, 5.0%, 4/3/2023				815,000				819,075
Asbury Automotive Group, Inc.:
7.625%, 3/15/2017				255,000				262,334
8.375%, 11/15/2020				300,000				336,000
Avis Budget Car Rental LLC:
144A, 5.5%, 4/1/2023				290,000				292,900
8.25%, 1/15/2019				365,000				397,394
BC Mountain LLC, 144A, 7.0%, 2/1/2021				280,000				296,800
Block Communications, Inc., 144A, 7.25%, 2/1/2020				580,000				629,300
Boyd Gaming Corp., 9.0%, 7/1/2020				215,000				231,663
Bresnan Broadband Holdings LLC, 144A, 8.0%, 12/15/2018				695,000				752,337
Cablevision Systems Corp., 8.0%, 4/15/2020				85,000				96,263
Caesar's Entertainment Operating Co., Inc.:
8.5%, 2/15/2020				575,000				547,687
11.25%, 6/1/2017				1,075,000				1,123,375
Carlson Wagonlit BV, 144A, 6.875%, 6/15/2019				320,000				336,800
CCO Holdings LLC:
5.25%, 9/30/2022				2,035,000				2,035,000
5.75%, 1/15/2024				365,000				368,650
6.625%, 1/31/2022				675,000				725,625
7.375%, 6/1/2020				85,000				94,881
8.125%, 4/30/2020				95,000				106,163
CDR DB Sub, Inc., 144A, 7.75%, 10/15/2020				165,000				172,013
Cequel Communications Holdings I LLC:
144A, 5.125%, 12/15/2021				355,000				348,344
144A, 6.375%, 9/15/2020				1,630,000				1,703,350
144A, 8.625%, 11/15/2017				1,601,000				1,708,267
Chester Downs & Marina LLC, 144A, 9.25%, 2/1/2020				110,000				106,700
Clear Channel Communications, Inc., 144A, 11.25%, 3/1/2021				195,000				211,088
Clear Channel Worldwide Holdings, Inc.:
Series A, 144A, 6.5%, 11/15/2022				355,000				372,750
Series B, 144A, 6.5%, 11/15/2022				525,000				553,875
Series A, 7.625%, 3/15/2020				85,000				89,888
Series B, 7.625%, 3/15/2020				865,000				919,062
Cogeco Cable, Inc., 144A, 4.875%, 5/1/2020				35,000				34,913
Columbus International, Inc., 144A, 11.5%, 11/20/2014				1,000,000				1,112,500
Crown Media Holdings, Inc., 10.5%, 7/15/2019				215,000				245,100
Cumulus Media Holdings, Inc., 7.75%, 5/1/2019				265,000				271,625
DISH DBS Corp.:
4.625%, 7/15/2017				1,160,000				1,160,000
144A, 5.0%, 5/15/2017				375,000				375,000
6.75%, 6/1/2021				110,000				116,325
7.125%, 2/1/2016				345,000				377,775
Fontainebleau Las Vegas Holdings LLC, 144A, 11.0%, 6/15/2015*				290,000				0
Griffey Intermediate, Inc., 144A, 7.0%, 10/15/2020				290,000				293,625
Harron Communications LP, 144A, 9.125%, 4/1/2020				605,000				673,062
Hertz Corp., 144A, 4.25%, 4/1/2018				2,160,000				2,219,400
Jo-Ann Stores Holdings, Inc., 144A, 9.75%, 10/15/2019 (PIK)				520,000				553,150
L Brands, Inc., 7.0%, 5/1/2020				230,000				268,237
Libbey Glass, Inc., 6.875%, 5/15/2020				171,000				185,108
Lions Gate Entertainment, Inc., 144A, 10.25%, 11/1/2016				390,000				420,712
LKQ Corp., 144A, 4.75%, 5/15/2023				430,000				428,925
MDC Partners, Inc., 144A, 6.75%, 4/1/2020				215,000				219,838
Mediacom Broadband LLC, 6.375%, 4/1/2023				610,000				634,400
Mediacom LLC:
7.25%, 2/15/2022				165,000				179,438
9.125%, 8/15/2019				530,000				585,650
MGM Resorts International:
6.625%, 12/15/2021				870,000				942,862
144A, 6.75%, 10/1/2020				125,000				136,250
7.625%, 1/15/2017				390,000				445,087
8.625%, 2/1/2019				1,285,000				1,519,512
10.0%, 11/1/2016				160,000				193,400
National CineMedia LLC:
6.0%, 4/15/2022				320,000				343,200
7.875%, 7/15/2021				360,000				403,200
Norcraft Companies LP, 10.5%, 12/15/2015				620,000				647,900
Palace Entertainment Holdings LLC, 144A, 8.875%, 4/15/2017				285,000				304,237
Petco Holdings, Inc., 144A, 8.5%, 10/15/2017 (PIK)				85,000				87,019
Quebecor Media, Inc., 5.75%, 1/15/2023				295,000				302,375
Regal Entertainment Group, 5.75%, 2/1/2025				70,000				69,825
Rent-A-Center, Inc., 144A, 4.75%, 5/1/2021				215,000				210,700
SACI Falabella, 144A, 3.75%, 4/30/2023				500,000				478,750
Seminole Hard Rock Entertainment, Inc., 144A, 5.875%, 5/15/2021				180,000				178,875
Seminole Indian Tribe of Florida:
144A, 7.75%, 10/1/2017				330,000				352,275
144A, 7.804%, 10/1/2020				455,000				493,675
SIWF Merger Sub, Inc., 144A, 6.25%, 6/1/2021 (b)				415,000				412,925
Starz LLC, 5.0%, 9/15/2019				230,000				233,450
Taylor Morrison Communities, Inc., 144A, 5.25%, 4/15/2021				360,000				364,500
Toys "R" Us-Delaware, Inc., 144A, 7.375%, 9/1/2016				260,000				268,125
UCI International, Inc., 8.625%, 2/15/2019				165,000				170,775
Unitymedia Hessen GmbH & Co., KG:
144A, 5.5%, 1/15/2023				1,320,000				1,346,400
144A, 7.5%, 3/15/2019				300,000				325,500
Unitymedia KabelBW GmbH, 144A, 9.625%, 12/1/2019	EUR			610,000				883,073
Univision Communications, Inc.:
144A, 6.875%, 5/15/2019				85,000				90,313
144A, 7.875%, 11/1/2020				185,000				202,575
144A, 8.5%, 5/15/2021				105,000				113,663
UPC Holding BV, 144A, 8.375%, 8/15/2020	EUR			715,000				1,023,275
Viking Cruises Ltd., 144A, 8.5%, 10/15/2022				295,000				331,875
Visant Corp., 10.0%, 10/1/2017				305,000				292,037
Visteon Corp., 6.75%, 4/15/2019				244,000				260,470
Yonkers Racing Corp., 144A, 11.375%, 7/15/2016				240,000				255,000
								40,923,614
Consumer Staples 3.5%
Ajecorp BV, 144A, 6.5%, 5/14/2022				850,000				918,000
Alliance One International, Inc., 10.0%, 7/15/2016				195,000				204,994
B&G Foods, Inc., 4.625%, 6/1/2021 (b)				340,000				339,150
Chiquita Brands International, Inc., 144A, 7.875%, 2/1/2021				130,000				139,750
Constellation Brands, Inc.:
3.75%, 5/1/2021				360,000				351,000
6.0%, 5/1/2022				150,000				168,375
Controladora Mabe SA de CV, 144A, 7.875%, 10/28/2019				1,000,000				1,142,500
Del Monte Corp., 7.625%, 2/15/2019				580,000				601,025
FAGE Dairy Industry SA, 144A, 9.875%, 2/1/2020				500,000				552,500
JBS U.S.A. LLC, 144A, 8.25%, 2/1/2020				240,000				263,400
MHP SA, 144A, 8.25%, 4/2/2020				1,300,000				1,282,651
NBTY, Inc., 9.0%, 10/1/2018				185,000				203,500
Pilgrim's Pride Corp., 7.875%, 12/15/2018				220,000				239,250
Smithfield Foods, Inc.:
6.625%, 8/15/2022				570,000				648,375
7.75%, 7/1/2017				590,000				685,875
Sun Products Corp., 144A, 7.75%, 3/15/2021				505,000				510,050
Tops Holding Corp., 144A, 8.875%, 12/15/2017				145,000				159,500
U.S. Foods, Inc., 8.5%, 6/30/2019				290,000				310,662
								8,720,557
Energy 15.3%
Access Midstream Partners LP:
4.875%, 5/15/2023				355,000				350,563
6.125%, 7/15/2022				500,000				535,000
Afren PLC, 144A, 10.25%, 4/8/2019				700,000				823,438
Arch Coal, Inc.:
7.0%, 6/15/2019				165,000				148,500
7.25%, 10/1/2020				150,000				134,250
Berry Petroleum Co.:
6.375%, 9/15/2022				285,000				295,688
6.75%, 11/1/2020				615,000				662,662
BreitBurn Energy Partners LP:
7.875%, 4/15/2022				285,000				309,225
8.625%, 10/15/2020				150,000				165,000
Chaparral Energy, Inc., 7.625%, 11/15/2022				255,000				275,400
Chesapeake Energy Corp., 7.25%, 12/15/2018				1,975,000				2,276,187
Chesapeake Oilfield Operating LLC, 144A, 6.625%, 11/15/2019				315,000				330,750
CITGO Petroleum Corp., 144A, 11.5%, 7/1/2017				375,000				423,750
Cloud Peak Energy Resources LLC, 8.5%, 12/15/2019				80,000				88,000
Continental Resources, Inc.:
144A, 4.5%, 4/15/2023				85,000				85,850
5.0%, 9/15/2022				255,000				263,925
7.125%, 4/1/2021				230,000				258,175
7.375%, 10/1/2020				245,000				276,238
Crestwood Midstream Partners LP, 7.75%, 4/1/2019				445,000				475,038
Crosstex Energy LP, 7.125%, 6/1/2022				155,000				165,850
Denbury Resources, Inc., 4.625%, 7/15/2023				695,000				672,412
Dresser-Rand Group, Inc., 6.5%, 5/1/2021				585,000				633,262
Eagle Rock Energy Partners LP, 8.375%, 6/1/2019				115,000				120,463
El Paso LLC, 7.25%, 6/1/2018				405,000				470,228
EP Energy LLC:
6.875%, 5/1/2019				520,000				561,600
7.75%, 9/1/2022				125,000				139,375
9.375%, 5/1/2020				120,000				136,050
EPE Holdings LLC, 144A, 8.125%, 12/15/2017 (PIK)				635,000				677,862
EV Energy Partners LP, 8.0%, 4/15/2019				1,280,000				1,315,200
Frontier Oil Corp., 6.875%, 11/15/2018				270,000				292,950
Global Geophysical Services, Inc., 10.5%, 5/1/2017				330,000				295,350
Halcon Resources Corp.:
8.875%, 5/15/2021				565,000				574,888
9.75%, 7/15/2020				230,000				238,913
Holly Energy Partners LP:
6.5%, 3/1/2020				165,000				175,313
8.25%, 3/15/2018				410,000				441,775
HollyFrontier Corp., 9.875%, 6/15/2017				620,000				651,744
KazMunayGas National Co. JSC, 144A, 5.75%, 4/30/2043				200,000				191,000
Kodiak Oil & Gas Corp., 144A, 5.5%, 1/15/2021				350,000				363,125
Linn Energy LLC:
144A, 6.25%, 11/1/2019				855,000				861,412
6.5%, 5/15/2019				1,775,000				1,806,062
MEG Energy Corp.:
144A, 6.375%, 1/30/2023				1,175,000				1,204,375
144A, 6.5%, 3/15/2021				325,000				336,375
Memorial Production Partners LP, 144A, 7.625%, 5/1/2021				505,000				507,525
Midstates Petroleum Co., Inc.:
144A, 9.25%, 6/1/2021				670,000				666,650
144A, 10.75%, 10/1/2020				165,000				176,550
Murray Energy Corp., 144A, 8.625%, 6/15/2021				70,000				72,100
Newfield Exploration Co., 5.75%, 1/30/2022				305,000				326,350
Northern Oil & Gas, Inc., 8.0%, 6/1/2020				875,000				910,000
Oasis Petroleum, Inc.:
6.5%, 11/1/2021				240,000				259,200
6.875%, 1/15/2023				175,000				190,750
7.25%, 2/1/2019				750,000				808,125
Odebrecht Drilling Norbe VIII/IX Ltd., 144A, 6.35%, 6/30/2021				1,900,000				2,048,200
Offshore Group Investment Ltd.:
144A, 7.125%, 4/1/2023				580,000				598,850
7.5%, 11/1/2019				420,000				453,600
Pacific Drilling SA, 144A, 5.375%, 6/1/2020 (b)				340,000				336,600
Plains Exploration & Production Co.:
6.125%, 6/15/2019				345,000				378,638
6.75%, 2/1/2022				760,000				849,300
6.875%, 2/15/2023				740,000				837,125
Quicksilver Resources, Inc., 11.75%, 1/1/2016				565,000				598,900
Range Resources Corp., 144A, 5.0%, 3/15/2023				140,000				141,400
Regency Energy Partners LP, 144A, 4.5%, 11/1/2023				145,000				143,550
Reliance Holdings U.S.A., Inc., 144A, 5.4%, 2/14/2022				1,250,000				1,366,775
Sabine Pass Liquefaction LLC:
144A, 5.625%, 2/1/2021				980,000				983,675
144A, 5.625%, 4/15/2023				220,000				220,000
Sabine Pass LNG LP, 7.5%, 11/30/2016				145,000				161,675
SandRidge Energy, Inc., 7.5%, 3/15/2021				720,000				741,600
SESI LLC:
6.375%, 5/1/2019				335,000				361,800
7.125%, 12/15/2021				1,050,000				1,178,625
Swift Energy Co., 7.875%, 3/1/2022				410,000				428,450
Talos Production LLC, 144A, 9.75%, 2/15/2018				545,000				545,000
Tesoro Corp., 5.375%, 10/1/2022				215,000				225,750
Venoco, Inc., 8.875%, 2/15/2019				410,000				410,000
WPX Energy, Inc., 5.25%, 1/15/2017				955,000				1,014,687
								38,444,673
Financials 16.9%
Abengoa Finance SAU, 144A, 8.875%, 11/1/2017				130,000				124,800
AerCap Aviation Solutions BV, 6.375%, 5/30/2017				1,040,000				1,125,800
Akbank TAS, 144A, 5.125%, 7/22/2015				480,000				504,000
Ally Financial, Inc.:
6.25%, 12/1/2017				740,000				814,406
8.0%, 3/15/2020				870,000				1,035,300
Alphabet Holding Co., Inc., 144A, 7.75%, 11/1/2017 (PIK)				145,000				149,713
Altice Financing SA, 144A, 7.875%, 12/15/2019				335,000				370,594
AmeriGas Finance LLC:
6.75%, 5/20/2020				165,000				179,850
7.0%, 5/20/2022				165,000				179,025
Antero Resources Finance Corp., 7.25%, 8/1/2019				415,000				448,200
Ashtead Capital, Inc., 144A, 6.5%, 7/15/2022				455,000				491,400
Ashton Woods U.S.A. LLC, 144A, 6.875%, 2/15/2021				465,000				481,856
AWAS Aviation Capital Ltd., 144A, 7.0%, 10/17/2016				604,200				632,899
Banco Bradesco SA, 144A, 5.75%, 3/1/2022				1,420,000				1,490,290
Banco Santander Brasil SA, 144A, 8.0%, 3/18/2016	BRL			1,000,000				462,695
BOE Merger Corp., 144A, 9.5%, 11/1/2017 (PIK)				295,000				307,538
Braskem America Finance Co., 144A, 7.125%, 7/22/2041				1,000,000				1,010,000
Caesar's Operating Escrow LLC, 144A, 9.0%, 2/15/2020				365,000				351,313
Case New Holland, Inc., 7.875%, 12/1/2017				830,000				975,250
CIT Group, Inc., 4.25%, 8/15/2017				1,850,000				1,905,500
CNH Capital LLC, 144A, 3.625%, 4/15/2018				575,000				579,312
E*TRADE Financial Corp.:
6.0%, 11/15/2017				1,927,000				2,008,897
6.375%, 11/15/2019				1,002,000				1,052,100
6.75%, 6/1/2016				520,000				556,400
Fibria Overseas Finance Ltd., 144A, 6.75%, 3/3/2021				160,000				175,200
Ford Motor Credit Co., LLC, 5.875%, 8/2/2021				430,000				489,798
Fresenius Medical Care U.S. Finance II, Inc.:
144A, 5.625%, 7/31/2019				330,000				362,175
144A, 5.875%, 1/31/2022				285,000				319,200
Fresenius Medical Care U.S. Finance, Inc.:
144A, 5.75%, 2/15/2021				255,000				283,688
144A, 6.5%, 9/15/2018				170,000				193,800
General Motors Financial Co., Inc., 144A, 3.25%, 5/15/2018				145,000				143,731
Hellas Telecommunications Finance SCA, 144A, 8.21%**, 7/15/2015 (PIK)*	EUR			278,431				0
Hexion U.S. Finance Corp.:
6.625%, 4/15/2020				145,000				150,800
8.875%, 2/1/2018				595,000				621,031
International Lease Finance Corp.:
3.875%, 4/15/2018				1,060,000				1,061,325
4.625%, 4/15/2021				500,000				496,250
6.25%, 5/15/2019				465,000				508,012
8.625%, 1/15/2022				460,000				573,850
Kinder Morgan Finance Co., LLC, 144A, 6.0%, 1/15/2018				610,000				673,409
Level 3 Financing, Inc.:
7.0%, 6/1/2020				550,000				573,375
8.125%, 7/1/2019				290,000				313,925
8.625%, 7/15/2020				240,000				264,000
Metalloinvest Finance Ltd., 144A, 6.5%, 7/21/2016				1,000,000				1,053,750
MPT Operating Partnership LP:
(REIT), 6.375%, 2/15/2022				270,000				295,650
(REIT), 6.875%, 5/1/2021				415,000				458,575
National Money Mart Co., 10.375%, 12/15/2016				450,000				482,062
Neuberger Berman Group LLC:
144A, 5.625%, 3/15/2020				245,000				259,700
144A, 5.875%, 3/15/2022				405,000				431,325
Nielsen Finance LLC, 144A, 4.5%, 10/1/2020				70,000				70,175
NII Capital Corp., 7.625%, 4/1/2021				220,000				183,150
Odebrecht Finance Ltd., 144A, 7.125%, 6/26/2042				1,000,000				1,070,000
Qtel International Finance Ltd., 144A, 3.25%, 2/21/2023				1,000,000				951,250
Reynolds Group Issuer, Inc.:
5.75%, 10/15/2020				575,000				583,625
6.875%, 2/15/2021				760,000				811,300
7.125%, 4/15/2019				2,230,000				2,374,950
8.25%, 2/15/2021				155,000				158,100
8.5%, 5/15/2018				100,000				105,000
9.875%, 8/15/2019				100,000				109,000
Schaeffler Finance BV:
144A, 4.75%, 5/15/2021				390,000				383,175
144A, 7.75%, 2/15/2017				610,000				686,250
Serta Simmons Holdings LLC, 144A, 8.125%, 10/1/2020				165,000				174,488
Sky Growth Acquisition Corp., 144A, 7.375%, 10/15/2020				250,000				265,625
Toys "R" Us Property Co. I, LLC, 10.75%, 7/15/2017				360,000				381,600
Tronox Finance LLC, 144A, 6.375%, 8/15/2020				365,000				358,613
Turkiye Halk Bankasi AS, 144A, 4.875%, 7/19/2017				1,000,000				1,046,870
U.S. Coatings Acquisition, Inc., 144A, 7.375%, 5/1/2021				175,000				184,625
UPCB Finance III Ltd., 144A, 6.625%, 7/1/2020				2,115,000				2,252,475
UPCB Finance V Ltd., 144A, 7.25%, 11/15/2021				320,000				352,800
UPCB Finance VI Ltd., 144A, 6.875%, 1/15/2022				330,000				356,400
Vale Overseas Ltd., 6.875%, 11/10/2039				1,200,000				1,292,414
Wind Acquisition Finance SA:
144A, 6.5%, 4/30/2020				290,000				297,975
144A, 7.25%, 2/15/2018				365,000				380,513
WMG Acquisition Corp., 144A, 6.0%, 1/15/2021				131,000				138,205
								42,390,347
Health Care 6.6%
Aviv Healthcare Properties LP, 7.75%, 2/15/2019				730,000				797,525
Biomet, Inc.:
144A, 6.5%, 8/1/2020				500,000				526,250
144A, 6.5%, 10/1/2020				145,000				146,813
Community Health Systems, Inc.:
5.125%, 8/15/2018				2,405,000				2,507,212
7.125%, 7/15/2020				2,715,000				2,979,712
HCA Holdings, Inc., 7.75%, 5/15/2021				805,000				889,525
HCA, Inc.:
5.875%, 3/15/2022				415,000				455,463
6.5%, 2/15/2020				2,865,000				3,230,287
7.5%, 2/15/2022				1,245,000				1,450,425
Hologic, Inc., 6.25%, 8/1/2020				300,000				320,625
IMS Health, Inc., 144A, 6.0%, 11/1/2020				365,000				385,988
Physio-Control International, Inc., 144A, 9.875%, 1/15/2019				240,000				271,200
STHI Holding Corp., 144A, 8.0%, 3/15/2018				240,000				261,600
Tenet Healthcare Corp.:
144A, 4.375%, 10/1/2021				550,000				533,500
144A, 4.5%, 4/1/2021				70,000				68,775
6.25%, 11/1/2018				1,550,000				1,716,625
								16,541,525
Industrials 8.7%
Accuride Corp., 9.5%, 8/1/2018				235,000				244,988
Aguila 3 SA, 144A, 7.875%, 1/31/2018				685,000				737,231
Air Lease Corp.:
4.75%, 3/1/2020				415,000				421,225
6.125%, 4/1/2017				685,000				738,087
BE Aerospace, Inc., 6.875%, 10/1/2020				235,000				257,912
Belden, Inc., 144A, 5.5%, 9/1/2022				505,000				518,887
Bombardier, Inc.:
144A, 5.75%, 3/15/2022				650,000				676,000
144A, 7.75%, 3/15/2020				1,700,000				1,989,000
Casella Waste Systems, Inc., 7.75%, 2/15/2019				785,000				753,600
Clean Harbors, Inc., 5.125%, 6/1/2021				375,000				386,250
DigitalGlobe, Inc., 144A, 5.25%, 2/1/2021				210,000				211,575
Ducommun, Inc., 9.75%, 7/15/2018				250,000				277,500
DynCorp International, Inc., 10.375%, 7/1/2017				635,000				650,875
Ferreycorp SAA, 144A, 4.875%, 4/26/2020				1,300,000				1,288,950
Florida East Coast Railway Corp., 8.125%, 2/1/2017				155,000				165,075
FTI Consulting, Inc.:
144A, 6.0%, 11/15/2022				295,000				311,962
6.75%, 10/1/2020				1,095,000				1,171,650
Garda World Security Corp., 144A, 9.75%, 3/15/2017				235,000				252,038
GenCorp, Inc., 144A, 7.125%, 3/15/2021				1,040,000				1,112,800
Georgian Railway JSC, 144A, 7.75%, 7/11/2022				1,800,000				2,088,000
Grupo KUO SAB de CV, 144A, 6.25%, 12/4/2022				400,000				422,000
Huntington Ingalls Industries, Inc., 7.125%, 3/15/2021				85,000				93,288
Interline Brands, Inc., 7.5%, 11/15/2018				395,000				422,650
Iron Mountain, Inc., 5.75%, 8/15/2024				350,000				354,375
Kenan Advantage Group, Inc., 144A, 8.375%, 12/15/2018				575,000				615,250
Meritor, Inc.:
6.75%, 6/15/2021				260,000				256,750
10.625%, 3/15/2018				225,000				246,656
Navios Maritime Holdings, Inc.:
8.125%, 2/15/2019				290,000				282,025
8.875%, 11/1/2017				175,000				184,188
Navios South American Logistics, Inc.:
144A, 9.25%, 4/15/2019				40,000				43,500
9.25%, 4/15/2019				205,000				222,938
Nortek, Inc., 8.5%, 4/15/2021				315,000				344,925
Ply Gem Industries, Inc., 9.375%, 4/15/2017				72,000				78,480
Rexel SA, 144A, 5.25%, 6/15/2020				390,000				397,800
Spirit AeroSystems, Inc., 6.75%, 12/15/2020				330,000				353,100
Titan International, Inc.:
7.875%, 10/1/2017				685,000				732,950
144A, 7.875%, 10/1/2017				190,000				203,300
TransDigm, Inc., 7.75%, 12/15/2018				500,000				545,625
U.S. Airways Group, Inc., 6.125%, 6/1/2018				340,000				331,075
United Rentals North America, Inc.:
6.125%, 6/15/2023				35,000				36,663
7.375%, 5/15/2020				455,000				499,362
7.625%, 4/15/2022				455,000				503,912
Watco Companies LLC, 144A, 6.375%, 4/1/2023				220,000				231,550
Welltec A/S, 144A, 8.0%, 2/1/2019				200,000				216,000
								21,871,967
Information Technology 3.5%
Alliance Data Systems Corp., 144A, 5.25%, 12/1/2017				370,000				387,575
CDW LLC, 8.5%, 4/1/2019				625,000				691,406
CyrusOne LP, 144A, 6.375%, 11/15/2022				145,000				154,788
eAccess Ltd., 144A, 8.25%, 4/1/2018				235,000				260,263
EarthLink, Inc., 144A, 7.375%, 6/1/2020				345,000				339,825
Equinix, Inc.:
4.875%, 4/1/2020				375,000				381,562
5.375%, 4/1/2023				995,000				1,027,337
7.0%, 7/15/2021				335,000				372,688
First Data Corp.:
144A, 6.75%, 11/1/2020				1,010,000				1,055,450
144A, 7.375%, 6/15/2019				365,000				385,075
144A, 8.875%, 8/15/2020				635,000				701,675
144A, 10.625%, 6/15/2021				290,000				291,450
144A, 11.25%, 1/15/2021				190,000				194,275
Hughes Satellite Systems Corp.:
6.5%, 6/15/2019				700,000				764,750
7.625%, 6/15/2021				335,000				374,362
IAC/InterActiveCorp., 144A, 4.75%, 12/15/2022				285,000				280,013
Jabil Circuit, Inc., 5.625%, 12/15/2020				400,000				431,000
NXP BV, 144A, 3.75%, 6/1/2018				540,000				531,900
VeriSign, Inc., 144A, 4.625%, 5/1/2023				285,000				286,425
								8,911,819
Materials 10.0%
APERAM:
144A, 7.375%, 4/1/2016				150,000				151,125
144A, 7.75%, 4/1/2018				155,000				154,225
Axiall Corp., 144A, 4.875%, 5/15/2023				85,000				85,425
Berry Plastics Corp.:
9.5%, 5/15/2018				235,000				257,325
9.75%, 1/15/2021				305,000				352,275
Bluescope Steel Ltd., 144A, 7.125%, 5/1/2018				215,000				223,063
BOE Intermediate Holding Corp., 144A, 9.0%, 11/1/2017 (PIK)				430,000				423,550
Cemex SAB de CV, 144A, 9.5%, 6/15/2018				1,300,000				1,452,750
Clearwater Paper Corp., 7.125%, 11/1/2018				515,000				557,487
Compass Minerals International, Inc., 8.0%, 6/1/2019				325,000				352,625
Crown Americas LLC, 6.25%, 2/1/2021				70,000				76,475
Eagle Spinco, Inc., 144A, 4.625%, 2/15/2021				175,000				176,313
Essar Steel Algoma, Inc.:
144A, 9.375%, 3/15/2015				1,620,000				1,506,600
144A, 9.875%, 6/15/2015				150,000				115,500
Exopack Holding Corp., 10.0%, 6/1/2018				335,000				350,913
FMG Resources (August 2006) Pty Ltd.:
144A, 6.0%, 4/1/2017				490,000				496,125
144A, 6.875%, 4/1/2022				350,000				353,500
144A, 7.0%, 11/1/2015				515,000				530,450
144A, 8.25%, 11/1/2019				410,000				432,550
Greif, Inc., 7.75%, 8/1/2019				870,000				1,026,600
Huntsman International LLC:
4.875%, 11/15/2020				330,000				333,300
8.625%, 3/15/2020				455,000				502,775
8.625%, 3/15/2021				185,000				206,738
IAMGOLD Corp., 144A, 6.75%, 10/1/2020				435,000				398,025
Inmet Mining Corp.:
144A, 7.5%, 6/1/2021				810,000				824,175
144A, 8.75%, 6/1/2020				475,000				511,812
Inversiones CMPC SA, 144A, 4.375%, 5/15/2023				500,000				490,696
Kaiser Aluminum Corp., 8.25%, 6/1/2020				395,000				445,362
KGHM International Ltd., 144A, 7.75%, 6/15/2019				900,000				940,500
Novelis, Inc., 8.75%, 12/15/2020				1,820,000				2,033,850
OI European Group BV, 144A, 6.75%, 9/15/2020	EUR			255,000				383,704
Packaging Dynamics Corp., 144A, 8.75%, 2/1/2016				370,000				387,113
Perstorp Holding AB, 144A, 8.75%, 5/15/2017				400,000				413,000
Polymer Group, Inc., 7.75%, 2/1/2019				415,000				447,162
PolyOne Corp., 144A, 5.25%, 3/15/2023				820,000				842,550
Polyus Gold International Ltd., 144A, 5.625%, 4/29/2020				1,800,000				1,836,000
Rain CII Carbon LLC:
144A, 8.0%, 12/1/2018				370,000				392,200
144A, 8.25%, 1/15/2021				225,000				240,750
Samarco Mineracao SA, 144A, 4.125%, 11/1/2022				1,200,000				1,131,000
Sealed Air Corp., 144A, 5.25%, 4/1/2023				70,000				70,700
Turkiye Sise ve Cam Fabrikalari AS, 144A, 4.25%, 5/9/2020				1,000,000				981,250
Viskase Companies, Inc., 144A, 9.875%, 1/15/2018				545,000				581,787
Volcan Cia Minera SAA, 144A, 5.375%, 2/2/2022				1,565,000				1,596,300
Wolverine Tube, Inc., 6.0%, 6/28/2014 (PIK)				14,673				14,673
								25,080,298
Telecommunication Services 15.5%
Altice Finco SA, 144A, 9.875%, 12/15/2020				335,000				380,225
CenturyLink, Inc., Series V, 5.625%, 4/1/2020				145,000				149,894
Cincinnati Bell, Inc.:
8.375%, 10/15/2020				1,360,000				1,445,000
8.75%, 3/15/2018				1,185,000				1,214,625
Colombia Telecomunicaciones SA ESP, 144A, 5.375%, 9/27/2022				1,500,000				1,473,750
CPI International, Inc., 8.0%, 2/15/2018				180,000				190,350
Cricket Communications, Inc., 7.75%, 10/15/2020				2,140,000				2,134,650
Crown Castle International Corp., 7.125%, 11/1/2019				325,000				352,625
Digicel Group Ltd.:
144A, 8.25%, 9/30/2020				625,000				665,625
144A, 10.5%, 4/15/2018				320,000				347,488
Digicel Ltd.:
144A, 7.0%, 2/15/2020				200,000				207,500
144A, 8.25%, 9/1/2017				2,015,000				2,095,600
ERC Ireland Preferred Equity Ltd., 144A, 7.69%**, 2/15/2017 (PIK)*	EUR			281,038				0
Frontier Communications Corp.:
7.125%, 1/15/2023				1,925,000				2,011,625
7.625%, 4/15/2024				155,000				162,362
8.25%, 4/15/2017				441,000				513,765
8.5%, 4/15/2020				665,000				761,425
8.75%, 4/15/2022				85,000				95,838
Intelsat Jackson Holdings SA:
144A, 5.5%, 8/1/2023 (b)				870,000				852,600
144A, 6.625%, 12/15/2022 (b)				340,000				354,025
7.25%, 10/15/2020				1,625,000				1,763,125
7.5%, 4/1/2021				1,605,000				1,763,494
8.5%, 11/1/2019				835,000				916,412
Intelsat Luxembourg SA:
144A, 7.75%, 6/1/2021				945,000				993,431
144A, 8.125%, 6/1/2023				145,000				155,150
11.25%, 2/4/2017				820,000				867,560
Level 3 Communications, Inc., 8.875%, 6/1/2019				45,000				48,825
Lynx I Corp., 144A, 5.375%, 4/15/2021				200,000				208,000
MetroPCS Wireless, Inc.:
6.625%, 11/15/2020				600,000				642,000
144A, 6.625%, 4/1/2023				360,000				380,700
7.875%, 9/1/2018				580,000				632,200
Millicom International Cellular SA, 144A, 4.75%, 5/22/2020				800,000				790,000
Pacnet Ltd., 144A, 9.25%, 11/9/2015				512,000				529,920
SBA Communications Corp., 144A, 5.625%, 10/1/2019				285,000				293,550
SBA Telecommunications, Inc., 8.25%, 8/15/2019				97,000				106,215
Sprint Nextel Corp.:
6.0%, 12/1/2016				2,950,000				3,186,000
6.0%, 11/15/2022				495,000				509,850
9.125%, 3/1/2017				235,000				274,950
Syniverse Holdings, Inc., 9.125%, 1/15/2019				90,000				98,325
Telemar Norte Leste SA, 144A, 5.5%, 10/23/2020				1,300,000				1,300,000
Telesat Canada, 144A, 6.0%, 5/15/2017				3,330,000				3,479,850
tw telecom holdings, Inc., 5.375%, 10/1/2022				400,000				414,000
Windstream Corp.:
6.375%, 8/1/2023				350,000				345,625
7.0%, 3/15/2019				340,000				346,800
7.5%, 6/1/2022				240,000				254,400
7.5%, 4/1/2023				590,000				619,500
7.75%, 10/15/2020				250,000				266,875
7.75%, 10/1/2021				490,000				526,750
7.875%, 11/1/2017				1,155,000				1,328,250
8.125%, 9/1/2018				535,000				580,475
								39,031,204
Utilities 5.5%
AES Corp.:
4.875%, 5/15/2023				145,000				142,463
8.0%, 10/15/2017				255,000				298,988
8.0%, 6/1/2020				375,000				450,000
Calpine Corp.:
144A, 7.5%, 2/15/2021				576,000				624,960
144A, 7.875%, 7/31/2020				639,000				702,900
Centrais Eletricas Brasileiras SA, 144A, 6.875%, 7/30/2019				2,545,000				2,844,035
DPL, Inc., 6.5%, 10/15/2016				1,885,000				2,031,087
Energy Future Holdings Corp., Series Q, 6.5%, 11/15/2024				400,000				292,000
Energy Future Intermediate Holding Co., LLC:
10.0%, 12/1/2020				100,000				113,875
11.0%, 10/1/2021				770,000				850,850
Instituto Costarricense de Electricidad, 144A, 6.95%, 11/10/2021				1,500,000				1,665,000
IPALCO Enterprises, Inc., 5.0%, 5/1/2018				662,392				712,072
Mexico Generadora de Energia S de rl, 144A, 5.5%, 12/6/2032				1,300,000				1,306,110
NRG Energy, Inc.:
7.625%, 1/15/2018				285,000				321,337
8.25%, 9/1/2020				90,000				100,913
Transportadora de Gas del Peru SA, 144A, 4.25%, 4/30/2028				1,400,000				1,326,500
								13,783,090
Total Corporate Bonds (Cost $246,432,013)								255,699,094
Government & Agency Obligations 16.7%
Sovereign Bonds
Dominican Republic, 144A, 7.5%, 5/6/2021				3,300,000				3,737,250
Federative Republic of Brazil, 12.5%, 1/5/2016	BRL			2,070,000				1,077,622
Mexican Bonos:
Series M, 7.75%, 5/29/2031	MXN			820,000				74,787
Series M 20, 8.5%, 5/31/2029	MXN			820,000				80,674
Republic of Argentina-Inflation Linked Bond, 5.83%, 12/31/2033	ARS			816				174
Republic of Belarus, REG S, 8.75%, 8/3/2015				1,500,000				1,560,000
Republic of Croatia:
144A, 6.25%, 4/27/2017				1,065,000				1,152,021
144A, 6.375%, 3/24/2021				3,560,000				3,887,413
Republic of El Salvador, 144A, 7.65%, 6/15/2035				1,235,000				1,321,450
Republic of Ghana, 144A, 8.5%, 10/4/2017				175,000				196,875
Republic of Hungary:
4.125%, 2/19/2018				1,640,000				1,634,260
5.375%, 2/21/2023				3,430,000				3,417,138
Republic of Lithuania, 144A, 7.375%, 2/11/2020				1,450,000				1,801,625
Republic of Panama, 9.375%, 1/16/2023				2,610,000				3,732,300
Republic of Poland, 5.125%, 4/21/2021				3,710,000				4,220,125
Republic of Serbia, 144A, 7.25%, 9/28/2021				1,740,000				1,929,660
Republic of South Africa, 6.875%, 5/27/2019				185,000				220,381
Republic of Venezuela, 9.25%, 9/15/2027				1,090,000				991,900
Russian Federation:
144A, 5.0%, 4/29/2020				8,005,000				8,905,562
REG S, 7.5%, 3/31/2030				1,561,315				1,896,998
Series 6207, 8.15%, 2/3/2027	RUB			2,000,000				66,550
Total Government & Agency Obligations (Cost $37,625,375)								41,904,765
Loan Participations and Assignments 24.4%
Senior Loans** 22.9%
Consumer Discretionary 8.3%
Buffets, Inc., Letter of Credit, First Lien, LIBOR plus, 9.25%, 4/22/2015*				36,046				16,852
Burger King Corp., Term Loan B, 3.75%, 9/27/2019				731,325				739,289
Caesars Entertainment Operating Co., Term Loan B6, 5.443%, 1/26/2018				122,153				109,508
Charter Communications Operating LLC, Term Loan E, 3.0%, 4/10/2020				2,345,000				2,336,945
Clear Channel Communications, Inc., Term Loan B, 3.844%, 1/29/2016				372,389				346,944
Cumulus Media Holdings, Inc., Second Lien Term Loan, 7.5%, 9/16/2019				495,000				514,387
Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.75%, 4/30/2019				3,520,000				3,551,785
PETCO Animal Supplies, Inc., Term Loan, 4.0%, 11/24/2017				546,207				552,352
Pilot Travel Centers LLC:
Term Loan B, 3.75%, 3/30/2018				1,015,740				1,004,952
Term Loan B2, 4.25%, 8/7/2019				2,512,375				2,497,929
Seminole Tribe of Florida, Term Loan, 3.0%, 4/29/2020				3,940,000				3,952,805
Tomkins LLC:
First Lien Term Loan, 5.0%, 11/9/2018				643,388				651,163
Term Loan B2, 3.75%, 9/29/2016				4,044,961				4,082,903
Univision Communications, Inc., Term Loan, 4.5%, 3/2/2020				583,601				583,342
								20,941,156
Consumer Staples 2.8%
Albertson's LLC:
Term Loan, 5.75%, 3/21/2016				1,290,000				1,299,882
Term Loan B1, 4.25%, 3/21/2016				440,967				444,345
Term Loan B2, 4.75%, 3/21/2019				839,033				842,703
Del Monte Foods Co., Term Loan, 4.0%, 3/8/2018				1,405,853				1,415,265
HJ Heinz Co., Term Loan B2, 3.5%, 3/27/2020				2,570,000				2,596,445
Pinnacle Foods Finance LLC, Term Loan G, 3.25%, 4/29/2020				445,000				446,159
								7,044,799
Energy 3.5%
Chesapeake Energy Corp., Term Loan, 5.75%, 12/1/2017				1,340,000				1,377,989
MEG Energy Corp., Term Loan, 3.75%, 3/31/2020				2,340,000				2,359,012
NRG Energy, Inc., Term Loan B, 2.75%, 7/2/2018				1,472,273				1,465,662
Ruby Western Pipeline Holdings LLC, Term Loan B, 3.5%, 3/27/2020				295,000				297,213
Samson Investment Co., Second Lien Term Loan, 6.0%, 9/25/2018				2,000,000				2,018,120
Tallgrass Operations LLC, Term Loan, 5.25%, 11/13/2018				1,118,539				1,129,725
								8,647,721
Financials 0.9%
Calpine Construction Finance Co., LP, Term Loan 1, 3.0%, 4/24/2020				2,345,000				2,336,206
Health Care 1.1%
Par Pharmaceutical Companies, Inc., Term Loan B, 4.25%, 9/30/2019				1,213,908				1,219,364
Warner Chilcott Co., LLC, Term Loan B2, 4.25%, 3/15/2018				142,811				144,132
Warner Chilcott Corp.:
Incremental Term Loan B1, 4.3%, 3/15/2018				175,439				177,061
Term Loan B1, 4.25%, 3/15/2018				403,022				406,751
WC Luxco SARL, Term Loan B3, 4.25%, 3/15/2018				317,586				320,524
WP Prism, Inc., Term Loan, 6.25%, 5/31/2018				450,000				452,250
								2,720,082
Industrials 1.8%
Buffalo Gulf Coast Terminals LLC, Term Loan, 5.25%, 10/31/2017				771,125				786,547
Transdigm, Inc., Term Loan C, 3.75%, 2/28/2020				2,056,734				2,084,500
WP CPP Holdings LLC, First Lien Term Loan, 4.75%, 12/27/2019				1,561,088				1,566,942
								4,437,989
Information Technology 1.1%
First Data Corp., Term Loan, 4.193%, 3/24/2017				2,840,000				2,838,765
Telecommunication Services 3.4%
Crown Castle International Corp., Term Loan, 3.25%, 1/31/2019				4,408,071				4,430,133
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/2020				55,000				55,440
Kabel Deutschland GmbH, Term Loan F1, 3.25%, 2/1/2019				3,990,000				3,998,978
								8,484,551
Sovereign Loans 1.5%
Financials 1.4%
Bank of Moscow, 144A, 6.699%, 3/11/2015				1,385,000				1,467,338
Sberbank of Russia, 144A, 5.125%, 10/29/2022				1,000,000				986,540
VTB Bank OJSC, 144A, 6.315%, 2/22/2018				985,000				1,067,937
								3,521,815
Materials 0.1%
Uralkali OJSC, 144A, 3.723%, 4/30/2018				200,000				194,000
Total Loan Participations and Assignments (Cost $60,727,944)								61,167,084
Convertible Bonds 0.4%
Consumer Discretionary 0.2%
Group 1 Automotive, Inc., 3.0%, 3/15/2020				235,000				421,678
Materials 0.2%
GEO Specialty Chemicals, Inc., 144A, 7.5%, 3/31/2015 (PIK)				428,424				663,543
Total Convertible Bonds (Cost $659,066)								1,085,221
Preferred Security 0.3%
Materials
Hercules, Inc., 6.5%, 6/30/2029 (Cost $449,395)				675,000				624,375

 

		Units				Value ($)
Other Investments 0.1%
Consumer Discretionary
AOT Bedding Super Holdings LLC* (c) (Cost $15,000)			45				156,492

 

		Shares				Value ($)
Common Stocks 0.0%
Consumer Discretionary 0.0%
Buffets Restaurants Holdings, Inc.*			323				1,938
Trump Entertainment Resorts, Inc.*			32				0
Vertis Holdings, Inc.*			294				0
							1,938
Industrials 0.0%
Congoleum Corp.*			7,900				0
Materials 0.0%
GEO Specialty Chemicals, Inc.*			7,125				4,236
GEO Specialty Chemicals, Inc. 144A*			649				386
Wolverine Tube, Inc.*			2,790				50,555
							55,177
Total Common Stocks (Cost $164,008)							57,115
Preferred Stock 0.2%
Financials
Ally Financial, Inc. 144A, 7.0% (Cost $563,169)			600				588,263
Warrants 0.0%
Consumer Discretionary 0.0%
Reader's Digest Association, Inc., Expiration Date 2/19/2014*			589				0
Materials 0.0%
GEO Specialty Chemicals, Inc., Expiration Date 3/31/2015*			39,514				23,199
Hercules Trust II, Expiration Date 3/31/2029*			400				5,972
							29,171
Total Warrants (Cost $87,876)							29,171

 

		Contracts				Value ($)
Call Options Purchased 0.0%
Options on Interest Rate Swap Contracts
Pay Fixed Rate — 3.583% - Receive Floating — LIBOR, Swap Expiration Date 5/11/2026, Option Expiration Date 5/9/2016			300,000				14,227
Pay Fixed Rate — 3.635% - Receive Floating — LIBOR, Swap Expiration Date 4/27/2026, Option Expiration Date 4/25/2016			900,000				40,534
Pay Fixed Rate — 3.72% - Receive Floating — LIBOR, Swap Expiration Date 4/22/2026, Option Expiration Date 4/20/2016			900,000				37,829
Total Call Options Purchased (Cost $103,005)							92,590

 

		Shares				Value ($)
Cash Equivalents 6.5%
Central Cash Management Fund, 0.07% (d) (Cost $16,362,639)			16,362,639				16,362,639

 

		% of Net Assets				Value ($)
Total Investment Portfolio (Cost $363,189,490) †			150.4				377,766,809
Other Assets and Liabilities, Net			(4.6	)			(11,573,056	)
Notes Payable			(45.8	)			(115,000,000	)
Net Assets			100.0				251,193,753

Securities		Coupon			Maturity Date	Principal Amount						Cost ($)				Value ($)
Buffets, Inc.*		LIBOR plus 9.25%			4/22/2015	USD			36,046				35,155				16,852
ERC Ireland Preferred Equity Ltd.*			7.69	%	2/15/2017	EUR			281,038				382,577				0
Fontainebleau Las Vegas Holdings LLC*			11.0	%	6/15/2015	USD			290,000				292,813				0
Hellas Telecommunications Finance SCA*			8.21	%	7/15/2015	EUR			278,431				79,885				0
													790,430				16,852

Schedule of Restricted Securities

Acquisition Date

Cost ($)

Value ($)

Value as % of Net Assets

AOT Bedding Super Holdings LLC

June 2010

15,000

156,492

0.06

Borrower

Unfunded Loan Commitment ($)

Value ($)

Unrealized Appreciation ($)

Tallgrass Operations LLC, Term Delay Draw, 11/13/2017

520,000

520,000

—

Effective/ Expiration Date		Notional Amount ($) (f)				Fixed Cash Flows Received			Underlying Debt Obligation/ Quality Rating (g)		Value ($)				Upfront Payments Paid/ (Received) ($)				Unrealized Appreciation ($)
6/21/2010 9/20/2013			1,285,000	1			5.0	%	Ford Motor Co., 6.5%, 8/1/2018, BBB-			32,161				(6,395	)			38,556
6/21/2010 9/20/2015			1,555,000	2			5.0	%	Ford Motor Co., 6.5%, 8/1/2018, BBB-			172,182				(35,560	)			207,742
12/20/2011 3/20/2017			565,000	3			5.0	%	CIT Group, Inc., 5.5%, 2/15/2019, BB-			82,039				18,113				63,926
9/20/2012 12/20/2017			720,000	4			5.0	%	General Motors Co., 3.3%, 12/20/2017, BB+			104,504				48,750				55,754
12/20/2012 12/20/2017			1,500,000	2			5.0	%	Markit Dow Jones CDX North America High Yield Index			104,248				29,897				74,351
Total unrealized appreciation																				440,329

 

(f) The maximum potential amount of future undiscounted payments that the Fund could be required to make under a credit default swap contract would be the notional amount of the contract. These potential amounts would be partially offset by any recovery values of the referenced debt obligation or net amounts received from the settlement of buy protection credit default swap contracts entered into by the Fund for the same referenced debt obligation, if any.

 

(g) The quality ratings represent the higher of Moody's Investors Service, Inc. ("Moody's") or Standard & Poor's Corporation ("S&P") credit ratings and are unaudited.

 

Counterparties:

 

1 The Goldman Sachs & Co.

 

2 Bank of America

 

3 Credit Suisse

 

4 UBS AG

 

At May 31, 2013, the Fund had the following open forward foreign currency exchange contracts:

Assets		Level 1				Level 2				Level 3				Total
Fixed Income Investments (h)
Corporate Bonds		$	—			$	255,684,421			$	14,673			$	255,699,094
Government & Agency Obligations			—				41,904,765				—				41,904,765
Loan Participations and Assignments			—				61,167,084				—				61,167,084
Convertible Bonds			—				421,678				663,543				1,085,221
Preferred Securities			—				624,375				—				624,375
Other Investments			—				—				156,492				156,492
Common Stocks (h)			—				1,938				55,177				57,115
Preferred Stock			—				588,263				—				588,263
Warrants (h)			—				—				29,171				29,171
Short-Term Investments			16,362,639				—				—				16,362,639
Derivatives (i)
Purchased Options			—				92,590				—				92,590
Credit Default Swaps			—				440,329				—				440,329
Total		$	16,362,639			$	360,925,443			$	919,056			$	378,207,138
Liabilities
Derivatives (i)
Written Options		$	—			$	(63,865	)		$	—			$	(63,865	)
Forward Foreign Currency Exchange Contracts			—				(4,890	)			—				(4,890	)
Total		$	—			$	(68,755	)		$	—			$	(68,755	)

Statement of Assets and Liabilities

as of May 31, 2013 (Unaudited)
Assets
Investments: Investments in non-affiliated securities, at value (cost $346,826,851)		$	361,404,170
Investment in Central Cash Management Fund (cost $16,362,639)			16,362,639
Total investments in securities, at value (cost $363,189,490)			377,766,809
Cash			3,492,947
Foreign currency, at value (cost $350)			318
Receivable for investments sold			3,872,767
Receivable for investments sold — when-issued securities			2,039,444
Interest receivable			4,971,490
Unrealized appreciation on swap contracts			440,329
Upfront payments paid on swap contracts			96,760
Other assets			5,046
Total assets			392,685,910
Liabilities
Payable for investments purchased			21,565,536
Payable for investments purchased — when-issued securities			4,372,377
Notes payable			115,000,000
Interest on notes payable			153,700
Options written, at value (premiums received $75,585)			63,865
Unrealized depreciation on forward foreign currency exchange contracts			4,890
Upfront payments received on swap contracts			41,955
Accrued management fee			179,030
Accrued Trustees' fees			7,667
Other accrued expenses and payables			103,137
Total liabilities			141,492,157
Net assets, at value		$	251,193,753

 

The accompanying notes are an integral part of the financial statements.

 

Statement of Assets and Liabilities as of May 31, 2013 (Unaudited) (continued)
Net Assets Consist of
Undistributed net investment income			1,496,188
Net unrealized appreciation (depreciation) on: Investments			14,577,319
Swap contracts			440,329
Foreign currency			(9,513	)
Written options			11,720
Accumulated net realized gain (loss)			(12,788,402	)
Paid-in capital			247,466,112
Net assets, at value		$	251,193,753
Net Asset Value
Net Asset Value per share ($251,193,753 ÷ 24,488,347 outstanding shares of beneficial interest, $.01 par value, unlimited shares authorized)		$	10.26

 

The accompanying notes are an integral part of the financial statements.

 

Statement of Operations

for the six months ended May 31, 2013 (Unaudited)
Investment Income
Income: Interest		$	11,070,346
Dividends			18,457
Income distributions — Central Cash Management Fund			6,511
Total income			11,095,314
Expenses: Management fee			1,079,576
Services to shareholders			10,555
Custodian fee			34,216
Professional fees			38,926
Reports to shareholders			51,023
Trustees' fees and expenses			8,315
Interest expense			866,307
Stock exchange listing fees			11,888
Other			30,744
Total expenses			2,131,550
Net investment income			8,963,764
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from: Investments			6,799,620
Swap contracts			104,441
Written options			30,441
Foreign currency			(77,490	)
			6,857,012
Change in net unrealized appreciation (depreciation) on: Investments			(5,661,083	)
Swap contracts			134,542
Unfunded loan commitments			(2,600	)
Written options			(30,069	)
Foreign currency			72,874
			(5,486,336	)
Net gain (loss)			1,370,676
Net increase (decrease) in net assets resulting from operations		$	10,334,440

 

The accompanying notes are an integral part of the financial statements.

 

Statement of Cash Flows

for the six months ended May 31, 2013 (Unaudited)
Increase (Decrease) in Cash: Cash Flows from Operating Activities
Net increase (decrease) in net assets resulting from operations		$	10,334,440
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided (used) by operating activities: Purchases of long-term investments			(174,405,224	)
Net purchases, sales and maturities of short-term investments			(3,858,850	)
Net amortization of premium/(accretion of discount)			193,879
Proceeds from sales and maturities of long-term investments			157,717,305
(Increase) decrease in interest receivable			274,367
(Increase) decrease in other assets			5,217
Increase (decrease) in written options, at value			(3,981	)
(Increase) decrease in receivable for investments sold			(1,478,252	)
(Increase) decrease in receivable for investments sold — when-issued securities			(1,810,881	)
Increase (decrease) in interest on notes payable			(16,962	)
Increase (decrease) in payable for investments purchased			13,918,558
Increase (decrease) in payable for investments purchased — when-issued securities			2,652,377
(Increase) decrease in upfront payments paid/received on swap contracts			(76,272	)
Increase (decrease) in other accrued expenses and payables			12,990
Change in unrealized (appreciation) depreciation on investments			5,661,083
Change in unrealized (appreciation) depreciation on swaps			(134,542	)
Change in unrealized (appreciation) depreciation on forward foreign currency exchange contracts			(77,481	)
Change in unrealized (appreciation) depreciation in unfunded commitments			2,600
Net realized (gain) loss from investments			(6,799,620	)
Cash provided (used) by operating activities		$	2,110,751
Cash Flows from Financing Activities
Net increase (decrease) in notes payable			12,000,000
Distributions paid (net of reinvestment of distributions)			(10,670,059	)
Cash provided (used) by financing activities			1,329,941
Increase (decrease) in cash			3,440,692
Cash at beginning of period (including foreign currency)			52,573
Cash at end of period (including foreign currency)		$	3,493,265
Supplemental Disclosure
Reinvestment of distributions		$	460,786
Interest paid on notes		$	(883,269	)

 

The accompanying notes are an integral part of the financial statements.

 

Statement of Changes in Net Assets

Increase (Decrease) in Net Assets		Six Months Ended May 31, 2013 (Unaudited)				Year Ended November 30, 2012
Operations: Net investment income		$	8,963,764			$	19,724,007
Net realized gain (loss)			6,857,012				5,581,569
Change in net unrealized appreciation (depreciation)			(5,486,336	)			19,493,194
Net increase (decrease) in net assets resulting from operations			10,334,440				44,798,770
Distributions to shareholders from: Net investment income			(11,130,845	)			(22,541,628	)
Fund share transactions: Net proceeds from reinvestment of distributions			460,786				929,263
Net increase (decrease) in net assets from Fund share transactions			460,786				929,263
Increase (decrease) in net assets			(335,619	)			23,186,405
Net assets at beginning of period			251,529,372				228,342,967
Net assets at end of period (including undistributed net investment income of $1,496,188 and $3,663,269, respectively)		$	251,193,753			$	251,529,372
Other Information
Shares outstanding at beginning of period			24,445,323				24,353,061
Shares issued to shareholders from reinvestment of distributions			43,024				92,262
Shares outstanding at end of period			24,488,347				24,445,323

 

The accompanying notes are an integral part of the financial statements.

 

Financial Highlights

						Years Ended November 30,
		Six Months Ended 5/31/13 (Unaudited)				2012				2011				2010				2009				2008
Selected Per Share Data
Net asset value, beginning of period		$	10.29			$	9.38			$	9.75			$	8.99			$	6.52			$	9.61
Income (loss) from investment operations: Net investment income a			.37				.81				.87				.90				.76				.67
Net realized and unrealized gain (loss)			.06				1.02				(.33	)			.71				2.49				(2.98	)
Total from investment operations			.43				1.83				.54				1.61				3.25				(2.31	)
Less distributions from: Net investment income			(.46	)			(.92	)			(.91	)			(.85	)			(.78	)			(.78	)
Net asset value, end of period		$	10.26			$	10.29			$	9.38			$	9.75			$	8.99			$	6.52
Market price, end of period		$	10.41			$	10.51			$	9.98			$	10.17			$	8.28			$	5.10
Total Return
Based on net asset value (%) b			4.02	**			20.20				5.64				18.71				54.34				(24.55	) c
Based on market price (%) b			3.33	**			15.39				7.65				34.58				81.73				(32.88	)
Ratios to Average Net Assets and Supplemental Data
Net assets, end of period ($ millions)			251				252				228				237				218				158
Ratio of expenses before fee reductions (including interest expense) (%)			1.68	*			1.66				1.49				1.62				1.53				1.49
Ratio of expenses after fee reductions (including interest expense) (%)			1.68	*			1.66				1.49				1.62				1.53				1.48
Ratio of expenses after fee reductions (excluding interest expense) (%)			1.00	*			1.00				1.02				1.07				1.04				1.04
Ratio of net investment income (%)			7.06	*			8.09				8.84				9.57				9.69				7.56
Portfolio turnover rate (%)			44	**			45				55				78				113				35
Total debt outstanding end of period ($ thousands)			115,000				103,000				98,247				92,000				88,500				41,500
Asset coverage per $1,000 of debt d			3,184				3,442				3,324				3,572				3,464				4,810

 

a Based on average shares outstanding during the period. b Total return based on net asset value reflects changes in the Fund's net asset value during each period. Total return based on market price reflects changes in market price. Each figure assumes that dividend and capital gain distributions, if any, were reinvested. These figures will differ depending upon the level of any discount from or premium to NAV at which the Fund's shares trade during the period. c Total return would have been lower had certain fees not been reduced. d Asset coverage equals the total net assets plus borrowings of the Fund divided by the borrowings outstanding at period end. * Annualized ** Not annualized

 

Notes to Financial Statements (Unaudited)

 

A. Organization and Significant Accounting Policies

 

DWS Multi-Market Income Trust (the "Fund") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a closed-end, diversified management investment company organized as a Massachusetts business trust.

 

The Fund's financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates. Actual results could differ from those estimates. The policies described below are followed consistently by the Fund in the preparation of its financial statements.

 

Security Valuation. Investments are stated at value determined as of the close of regular trading on the New York Stock Exchange on each day the exchange is open for trading.

 

Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

Debt securities and loan participations and assignments are valued at prices supplied by independent pricing services approved by the Fund's Board. If the pricing services are unable to provide valuations, debt securities are valued at the most recent bid quotation or evaluated price and loan participations and assignments are valued at the mean of the most recent bid and ask quotations, as applicable, obtained from one or more broker-dealers. Such services may use various pricing techniques which take into account appropriate factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as broker quotes. These securities are generally categorized as Level 2.

 

Equity securities are valued at the most recent sale price or official closing price reported on the exchange (U.S. or foreign) or over-the-counter market on which they trade and are categorized as Level 1 securities. Securities for which no sales are reported are valued at the calculated mean between the most recent bid and asked quotations on the relevant market or, if a mean cannot be determined, at the most recent bid quotation.

 

Investments in open-end investment companies are valued at their net asset value each business day and are categorized as Level 1.

 

Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and are categorized as Level 2.

 

Swap contracts are valued daily based upon prices supplied by a Board approved pricing vendor, if available, and otherwise are valued at the price provided by the broker-dealer. Swap contracts are generally categorized as Level 2.

 

Over-the-counter written or purchased options are valued at prices supplied by a Board-approved pricing vendor, if available, and otherwise are valued at the price provided by the broker-dealer with which the option was traded and are generally categorized as Level 2.

 

Securities and other assets for which market quotations are not readily available or for which the above valuation procedures are deemed not to reflect fair value are valued in a manner that is intended to reflect their fair value as determined in accordance with procedures approved by the Board and are generally categorized as Level 3. In accordance with the Fund's valuation procedures, factors used in determining value may include, but are not limited to, the type of the security; the size of the holding; the initial cost of the security; the existence of any contractual restrictions on the security's disposition; the price and extent of public trading in similar securities of the issuer or of comparable companies; quotations or evaluated prices from broker-dealers and/or pricing services; information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities); an analysis of the company's or issuer's financial statements; an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold; and with respect to debt securities, the maturity, coupon, creditworthiness, currency denomination and the movement of the market in which the security is normally traded. The value determined under these procedures may differ from published values for the same securities.

 

Disclosure about the classification of fair value measurements is included in a table following the Fund's Investment Portfolio.

 

New Accounting Pronouncement. In January 2013, Accounting Standard Update 2013-01 (ASU 2013-01), Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities, replaced Accounting Standards Update 2011-11 (ASU 2011-11), Disclosures about Offsetting Assets and Liabilities. ASU 2013-01 is effective for fiscal years beginning on or after January 1, 2013, and interim periods within those annual periods. ASU 2011-11 was intended to enhance disclosure requirements on the offsetting of financial assets and liabilities. The ASU 2013-01 limits the scope of the new balance sheet offsetting disclosures to derivatives, repurchase agreements, and securities lending transactions to the extent that they are (1) offset in the financial statements or (2) subject to an enforceable master netting arrangement or similar agreement. Management is currently evaluating the application of ASU 2013-01 and its impact, if any, on the Fund's financial statements.

 

Securities Lending. The Fund lends securities to certain financial institutions. The Fund retains the benefits of owning the securities it has loaned and continues to receive interest and dividends generated by the securities and to participate in any changes in their market price. The Fund requires the borrowers of the securities to maintain collateral with the Fund consisting of either cash or liquid, unencumbered assets having a value at least equal to the value of the securities loaned. When the collateral falls below specified amounts, the lending agent will use its best efforts to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. The Fund may invest the cash collateral into a joint trading account in an affiliated money market fund pursuant to Exemptive Orders issued by the SEC. The Fund receives compensation for lending its securities either in the form of fees or by earning interest on invested cash collateral net of borrower rebates and fees paid to a lending agent. Either the Fund or the borrower may terminate the loan. There may be risks of delay and costs in recovery of securities or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund is also subject to all investment risks associated with the reinvestment of any cash collateral received, including, but not limited to, interest rate, credit and liquidity risk associated with such investments. The Fund had no securities on loan during the six months ended May 31, 2013.

 

Foreign Currency Translations. The books and records of the Fund are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the prevailing exchange rates at period end. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars at the prevailing exchange rates on the respective dates of the transactions.

 

Net realized and unrealized gains and losses on foreign currency transactions represent net gains and losses between trade and settlement dates on securities transactions, the acquisition and disposition of foreign currencies, and the difference between the amount of net investment income accrued and the U.S. dollar amount actually received. That portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed, but is included with net realized and unrealized gain/appreciation and loss/depreciation on investments.

 

When-Issued/Delayed Delivery Securities. The Fund may purchase or sell securities with delivery or payment to occur at a later date beyond the normal settlement period. At the time the Fund enters into a commitment to purchase or sell a security, the transaction is recorded and the value of the transaction is reflected in the net asset value. The price of such security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The value of the security may vary with market fluctuations. At the time the Fund enters into a purchase transaction it is required to segregate cash or other liquid assets at least equal to the amount of the commitment.

 

Certain risks may arise upon entering into when-issued or delayed delivery transactions from the potential inability of counterparties to meet the terms of their contracts or if the issuer does not issue the securities due to political, economic, or other factors. Additionally, losses may arise due to changes in the value of the underlying securities.

 

Loan Participations and Assignments. Senior loans are portions of loans originated by banks and sold in pieces to investors. These U.S. dollar-denominated fixed and floating rate loans ("Loans") in which the Fund invests, are arranged between the borrower and one or more financial institutions ("Lenders"). These Loans may take the form of Senior Loans, which are corporate obligations often issued in connection with recapitalizations, acquisitions, leveraged buy-outs and refinancings, and Sovereign Loans, which are debt instruments between a foreign sovereign entity and one or more financial institutions. The Fund invests in such Loans in the form of participations in Loans ("Participations") or assignments of all or a portion of Loans from third parties ("Assignments"). Participations typically result in the Fund having a contractual relationship only with the Lender, not with the borrower. The Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participation and only upon receipt by the Lender of the payments from the borrower. In connection with purchasing Participations, the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement relating to the Loan, or any rights of set-off against the borrower, and the Fund will not benefit directly from any collateral supporting the Loan in which it has purchased the Participation. As a result, the Fund assumes the credit risk of both the borrower and the Lender that is selling the Participation. Assignments typically result in the Fund having a direct contractual relationship with the borrower, and the Fund may enforce compliance by the borrower with the terms of the loan agreement. Loans held by the Fund are generally in the form of Assignments, but the Fund may also invest in Participations. All Loan Participations and Assignments involve interest rate risk, liquidity risk and credit risk, including the potential default or insolvency of the borrower.

 

Federal Income Taxes. The Fund's policy is to comply with the requirements of the Internal Revenue Code, as amended, which are applicable to regulated investment companies, and to distribute all of its taxable income to its shareholders.

 

Under the Regulated Investment Company Modernization Act of 2010, net capital losses incurred post-enactment may be carried forward indefinitely, and their character is retained as short-term and/or long-term. Previously, net capital losses were carried forward for eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

 

At November 30, 2012, the Fund had a net tax basis capital loss carryforward of approximately $18,784,000 of pre-enactment losses, which may be applied against any realized net taxable capital gains of each succeeding year until fully utilized or until November 30, 2016 ($5,659,000) and November 30, 2017 ($13,125,000), the respective expiration dates, whichever occurs first.

 

The Fund has reviewed the tax positions for the open tax years as of November 30, 2012 and has determined that no provision for income tax is required in the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain open subject to examination by the Internal Revenue Service.

 

Distribution of Income and Gains. Distributions from net investment income of the Fund are declared and distributed to shareholders monthly. Net realized gains from investment transactions, in excess of available capital loss carryforwards, would be taxable to the Fund if not distributed, and, therefore, will be distributed to shareholders at least annually. The Fund may also make additional distributions for tax purposes if necessary.

 

The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences primarily relate to forward currency contracts, swap contracts, certain securities sold at a loss and premium amortization on debt securities. As a result, net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. Accordingly, the Fund may periodically make reclassifications among certain of its capital accounts without impacting the net asset value of the Fund.

 

The tax character of current year distributions will be determined at the end of the current fiscal year.

 

Statement of Cash Flows. Information on financial transactions which have been settled through the receipt and disbursement of cash is presented in the Statement of Cash Flows. The cash amount shown in the Statement of Cash Flows represents the foreign currency position and cash position at the Fund's custodian bank at May 31, 2013.

 

Contingencies. In the normal course of business, the Fund may enter into contracts with service providers that contain general indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet been made. However, based on experience, the Fund expects the risk of loss to be remote.

 

Other. Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculations. However, for financial reporting purposes, investment transactions are reported on trade date. Interest income is recorded on the accrual basis net of foreign withholding taxes. Dividend income is recorded on the ex-dividend date net of foreign withholding taxes. Realized gains and losses from investment transactions are recorded on an identified cost basis and may include proceeds from litigation. All premiums and discounts are amortized/accreted for financial reporting purposes, with the exception of securities in default of principal.

 

B. Derivative Instruments

 

Credit Default Swap Contracts. A credit default swap is a contract between a buyer and a seller of protection against pre-defined credit events for the reference entity. The Fund may enter into credit default swap contracts to gain exposure to an underlying issuer's credit quality characteristics without directly investing in that issuer or to hedge against the risk of a credit event on debt securities. As a seller in the credit default swap contract, the Fund is required to pay the par (or other agreed-upon) value of the referenced entity to the counterparty with the occurrence of a credit event by a third party, such as a U.S. or foreign corporate issuer, on the reference entity, which would likely result in a loss to the Fund. In return, the Fund receives from the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Fund keeps the stream of payments with no payment obligations. This involves the risk that the contract may expire worthless. It also involves counterparty risk that the seller may fail to satisfy its payment obligations to the Fund with the occurrence of a credit event. When the Fund sells a credit default swap contract it will cover its commitment. This is achieved by, among other methods, maintaining cash or liquid assets equal to the aggregate notional value of the reference entities for all outstanding credit default swap contracts sold by the Fund. For the six months ended May 31, 2013, the Fund entered into credit default swap contracts to gain exposure to the underlying issuer's credit quality characteristics.

 

The value of the credit default swap is adjusted daily and the change in value, if any, is recorded daily as unrealized appreciation or depreciation in the Statement of Assets and Liabilities. An upfront payment, if any, made by the Fund is recorded as an asset in the Statement of Assets and Liabilities. An upfront payment, if any, received by the Fund is recorded as a liability in the Statement of Assets and Liabilities. Under the terms of the credit default swap contracts, the Fund receives or makes quarterly payments based on a specified interest rate on a fixed notional amount. These payments are recorded as a realized gain or loss in the Statement of Operations. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses in the Statement of Operations.

 

A summary of the open credit default swap contracts as of May 31, 2013 is included in a table following the Fund's Investment Portfolio. For the six months ended May 31, 2013, the investment in credit default swap contracts sold had a total notional value generally indicative of a range from $3,405,000 to $5,625,000.

 

Options. An option contract is a contract in which the writer (seller) of the option grants the buyer of the option, upon payment of a premium, the right to purchase from (call option), or sell to (put option), the writer a designated instrument at a specified price within a specified period of time. Certain options, including options on indices and interest rate options, will require cash settlement by the Fund if exercised. For the six months ended May 31, 2013, the Fund entered into options on interest rate swaps in order to hedge against potential adverse interest rate movements of portfolio assets.

 

If the Fund writes a covered call option, the Fund foregoes, in exchange for the premium, the opportunity to profit during the option period from an increase in the market value of the underlying security above the exercise price. If the Fund writes a put option it accepts the risk of a decline in the value of the underlying security below the exercise price. Over-the-counter options have the risk of the potential inability of counterparties to meet the terms of their contracts. The Fund's maximum exposure to purchased options is limited to the premium initially paid. In addition, certain risks may arise upon entering into option contracts including the risk that an illiquid secondary market will limit the Fund's ability to close out an option contract prior to the expiration date and that a change in the value of the option contract may not correlate exactly with changes in the value of the securities hedged.

 

A summary of the open purchased option contracts as of May 31, 2013 is included in the Fund's Investment Portfolio. A summary of open written option contracts is included in a table following the Fund's Investment Portfolio. For the six months ended May 31, 2013, the investment in written option contracts had a total value generally indicative of a range from approximately $54,000 to $68,000, and purchased option contracts had a total value generally indicative of a range from approximately $54,000 to $93,000.

 

Forward Foreign Currency Exchange Contracts. The Fund is subject to foreign exchange rate risk in its securities denominated in foreign currencies. Changes in exchange rates between foreign currencies and the U.S. dollar may affect the U.S. dollar value of foreign securities or the income or gains received on these securities. A forward foreign currency exchange contract (forward currency contract) is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. For the six months ended May 31, 2013, the Fund entered into forward currency contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign currency denominated portfolio holdings and to facilitate transactions in foreign currency denominated securities.

 

Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and unrealized gain (loss) is recorded daily. On the settlement date of the forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was closed. Certain risks may arise upon entering into forward currency contracts from the potential inability of counterparties to meet the terms of their contracts. The maximum counterparty credit risk to the Fund is measured by the unrealized gain on appreciated contracts. Additionally, when utilizing forward currency contracts to hedge, the Fund gives up the opportunity to profit from favorable exchange rate movements during the term of the contract.

 

A summary of the open forward currency contracts as of May 31, 2013 is included in a table following the Fund's Investment Portfolio. For the six months ended May 31, 2013, the investment in forward currency contracts short vs. U.S. dollars had a total contract value generally indicative of a range from approximately $2,321,000 to $4,014,000, and the investment in forward currency contracts long vs. U.S. dollars had a total contract value generally indicative of a range from $0 to approximately $769,000.

 

The following tables summarize the value of the Fund's derivative instruments held as of May 31, 2013 and the related location in the accompanying Statement of Assets and Liabilities presented by the primary underlying risk exposure:

Asset Derivatives		Purchased Options				Swap Contracts				Total
Interest Rate Contracts (a)		$	92,590			$	—			$	92,590
Credit Contracts (a)			—				440,329				440,329
		$	92,590			$	440,329			$	532,919

 

Each of the above derivatives is located in the following Statement of Assets and Liabilities accounts:

 

(a) Investment in securities, at value (includes purchased options) and unrealized appreciation on swap contracts, respectively

 

Liability Derivatives		Written Options				Forward Contracts				Total
Interest Rate Contracts (a)		$	(63,865	)		$	—			$	(63,865	)
Foreign Exchange Contracts (b)			—				(4,890	)			(4,890	)
		$	(63,865	)		$	(4,890	)		$	(68,755	)

 

Each of the above derivatives is located in the following Statement of Assets and Liabilities accounts:

 

(a) Options written, at value

 

(b) Unrealized depreciation on forward foreign currency exchange contracts

 

Additionally, the amount of unrealized and realized gains and losses on derivative instruments recognized in Fund earnings during the six months ended May 31, 2013, and the related location in the accompanying Statement of Operations is summarized in the following tables by primary underlying risk exposure:

Realized Gain (Loss)		Written Options				Forward Contracts				Swap Contracts				Total
Interest Rate Contracts (a)		$	30,441			$	—			$	—			$	30,441
Credit Contracts (a)			—								104,441				104,441
Foreign Exchange Contracts (b)			—				(59,193	)			—				(59,193	)
		$	30,441			$	(59,193	)		$	104,441			$	75,689

 

Each of the above derivatives is located in the following Statement of Operations accounts:

 

(a) Net realized gain (loss) from written options and swap contracts, respectively

 

(b) Net realized gain (loss) from foreign currency (Statement of Operations includes both forward currency contracts and foreign currency transactions)

 

Change in Net Unrealized Appreciation (Depreciation)		Purchased Options				Written Options				Forward Contracts				Swap Contracts				Total
Credit Contracts (a)		$	—			$	—			$	—			$	134,542			$	134,542
Foreign Exchange Contracts (b)			—				—				77,481				—				77,481
Interest Rate Contracts (a)			38,524				(30,069	)			—				—				8,455
		$	38,524			$	(30,069	)		$	77,481			$	134,542			$	220,478

 

Each of the above derivatives is located in the following Statement of Operations accounts:

 

(a) Change in net unrealized appreciation (depreciation) on investments (includes purchased options), written options and swap contracts, respectively

 

(b) Change in net unrealized appreciation (depreciation) on foreign currency (Statement of Operations includes both forward currency contracts and foreign currency transactions)

 

C. Purchases and Sales of Securities

 

During the six months ended May 31, 2013, purchases and sales of investment securities (excluding short-term investments) aggregated $174,405,224 and $157,717,305, respectively.

 

For the six months ended May 31, 2013, transactions for written options on interest rate swaps were as follows:

		Contract Amount				Premiums
Outstanding, beginning of period			4,200,000			$	109,635
Options closed			(2,100,000	)			(34,050	)
Outstanding, end of period			2,100,000			$	75,585

 

D. Related Parties

 

Management Agreement. Under the Investment Management Agreement with Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor"), an indirect, wholly owned subsidiary of Deutsche Bank AG, the Advisor directs the investments of the Fund in accordance with its investment objectives, policies and restrictions. The Advisor determines the securities, instruments and other contracts relating to investments to be purchased, sold or entered into by the Fund. In addition to portfolio management services, the Advisor provides certain administrative services in accordance with the Investment Management Agreement. The management fee payable under the Investment Management Agreement is equal to an annualized rate of 0.85% of the Fund's average weekly net assets, computed and accrued daily and payable monthly.

 

Service Provider Fees. DWS Investments Service Company ("DISC"), an affiliate of the Advisor, is the transfer agent, dividend-paying agent and shareholder service agent for the Fund. Pursuant to a sub-transfer agency agreement between DISC and DST Systems, Inc. ("DST"), DISC has delegated certain transfer agent, dividend-paying agent and shareholder service agent functions to DST. DISC compensates DST out of the shareholder servicing fee it receives from the Fund. For the six months ended May 31, 2013, the amount charged to the Fund by DISC aggregated $6,491, of which $3,324 is unpaid.

 

Typesetting and Filing Service Fees. Under an agreement with DIMA, DIMA is compensated for providing typesetting and certain regulatory filing services to the Fund. For the six months ended May 31, 2013, the amount charged to the Fund by DIMA included in the Statement of Operations under "reports to shareholders" aggregated $10,872, of which $10,614 is unpaid.

 

Trustees' Fees and Expenses. The Fund paid retainer fees to each Trustee not affiliated with the Advisor, plus specified amounts to the Board Chairperson and Vice Chairperson and to each committee Chairperson.

 

Affiliated Cash Management Vehicle. The Fund may invest uninvested cash balances in Central Cash Management Fund, which is managed by the Advisor. The Fund indirectly bears its proportionate share of the expenses of Central Cash Management Fund. Central Cash Management Fund does not pay the Advisor an investment management fee. Central Cash Management Fund seeks a high level of current income consistent with liquidity and the preservation of capital.

 

E. Investing in High-Yield Securities

 

The Fund's performance could be hurt if a security declines in credit quality or goes into default, or if an issuer does not make timely payments of interest or principal. Because the issuers of high-yield debt securities or junk bonds (debt securities rated below the fourth-highest category) may be in uncertain financial health, the risk of loss from default by the issuer is significantly greater. Prices and yields of high-yield securities will fluctuate over time and, during periods of economic uncertainty, volatility of high-yield securities may adversely affect a fund's net asset value. Because the Fund may invest in securities not paying current interest or in securities already in default, these risks may be more pronounced.

 

F. Investing in Emerging Markets

 

Investing in emerging markets may involve special risks and considerations not typically associated with investing in developed markets. These risks include revaluation of currencies, high rates of inflation or deflation, repatriation restrictions on income and capital, and future adverse political, social and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls or delayed settlements, and may have prices that are more volatile or less easily assessed than those of comparable securities of issuers in developed markets.

 

G. Borrowings

 

During the period covered by the report, the Fund was party to a secured revolving line of credit with a commercial bank (the "Lender") in an amount up to $115,000,000 (the "Credit Facility"). The Credit Facility has an initial scheduled maturity date of June 21, 2013 (the "Initial Scheduled Maturity Date"). Unless the Credit Facility is terminated by either party or not extended by the Lender in accordance with its terms, (i) the Initial Scheduled Maturity Date automatically extends by six months on the date that is six months after June 21, 2012; and (ii) each subsequent Scheduled Maturity Date (as defined in the Credit Facility) automatically extends by six months on each date occurring every six months thereafter. Effective June 21, 2013, the Credit Facility was amended to increase the aggregate facility size to $125,000,000 and to modify the renewal terms as amended. The Credit Facility will automatically be renewed for a six-month period on each day after June 21, 2013 unless it is terminated by either party or not extended by the Lender in accordance with its terms.

 

Loans under the Credit Facility, at the option of the Fund and subject to certain conditions, typically bear interest with reference to LIBOR (a "LIBOR Loan") or, less frequently, with reference to a base rate (a "Base Rate Loan"). Each LIBOR Loan shall bear interest at a rate per annum equal to the applicable LIBOR rate (as defined in the Credit Facility) plus 1.25% (0.85% effective June 21, 2013). As a general matter, each Base Rate Loan shall bear interest at a rate per annum equal to the greatest of certain specified rates as set forth in the Credit Facility. At May 31, 2013, under the Credit Facility, the outstanding loans balance was $115,000,000. The borrowings were valued at cost, which approximates fair value.

 

Under the Credit Facility, the weighted average outstanding daily balance of all loans during the six months ended May 31, 2013 was approximately $113,478,000, with a weighted average annual borrowing cost of 1.53%. In addition, a commitment fee was charged to the Fund on the unused portion of the credit lines and is included with "interest expense" in the Statement of Operations.

 

Leverage involves risks and special considerations for the Fund's stockholders, including the likelihood of greater volatility of net asset value and market price of, and dividends on, the Fund's shares than a comparable portfolio without leverage; the risk that fluctuations in interest rates on such borrowings will reduce the return to stockholders; and the effect of leverage in a declining market, which is likely to cause a greater decline in the net asset value of the Fund's shares than if the Fund were not leveraged, which may result in a greater decline in the market price of the Fund's shares.

 

Changes in the value of the Fund's portfolio will be borne by the stockholders. If there is a net decrease (or increase) in the value of the Fund's investment portfolio, leverage will decrease (or increase) the net asset value per share to a greater extent than if leverage were not used. It is also possible that the Fund will be required to sell assets at a time when it would otherwise not do so, possibly at a loss, in order to meet payment obligations on borrowings to comply with asset coverage or other restrictions imposed by the Lender. The Fund is subject to certain restrictions on its investments, including asset coverage and portfolio composition requirements, under the terms of the Credit Facility. Such restrictions and covenants contained in the Credit Facility impose asset coverage and portfolio composition requirements that are more stringent than those imposed on the Fund by the 1940 Act.

 

There is no assurance that the Fund's leveraging strategy will be successful.

 

H. Share Repurchases

 

The Board has authorized the Fund to effect periodic repurchases of its outstanding shares in the open market from time to time when the Fund's shares trade at a discount to their net asset value. During the six months ended May 31, 2013 and the year ended November 30, 2012, the Fund did not repurchase shares in the open market.

 

Dividend Reinvestment Plan

 

A summary of the Fund's Dividend Reinvestment Plan (the "Plan") is set forth below. Shareholders may obtain a copy of the entire Plan by visiting the Fund's Web site at www.dws-investments.com or by writing or calling DWS Investment Service Company ("DISC") at:

 

P.O. Box 219066

 

Kansas City, Missouri 64121-9066

 

(800) 294-4366

 

If you wish to participate in the Plan and your shares are held in your own name, simply contact DISC for the appropriate form. If your shares are held in the name of a broker or other nominee, you should contact the broker or nominee in whose name your shares are held to determine whether and how you may participate in the Plan. The Fund's transfer agent and dividend disbursing agent (the "Transfer Agent") will establish a Dividend Investment Account (the "Account") for each shareholder participating in the Plan. The Transfer Agent will credit to the Account of each participant any cash dividends and capital gains distributions (collectively, "Distributions") paid on shares of the Fund (the "Shares"). Shares in a participant's Account are transferable upon proper written instructions to the Transfer Agent. Upon request to the Transfer Agent, a certificate for any or all full Shares in a participant's Account will be sent to the participant.

 

If, on the record date for a Distribution (the "Record Date"), Shares are trading at a discount from net asset value per Share, funds credited to a participant's Account will be used to purchase Shares (the "Purchase"). The Plan Agent (currently Computershare Inc.) will attempt, commencing five days prior to the Payment Date and ending at the close of business on the Payment Date ("Payment Date" as used herein shall mean the last business day of the month in which such Record Date occurs), to acquire Shares in the open market. If and to the extent that the Plan Agent is unable to acquire sufficient Shares to satisfy the Distribution by the close of business on the Payment Date, the Fund will issue to the Plan Agent, Shares valued at net asset value per Share in the aggregate amount of the remaining value of the Distribution. If, on the Record Date, Shares are trading at a premium over net asset value per Share, the Fund will issue on the Payment Date Shares valued at net asset value per Share on the Record Date to the Transfer Agent in the aggregate amount of the funds credited to the participants' Accounts. The Fund will increase the price at which Shares may be issued under the Plan to 95% of the fair market value of the shares on the Record Date if the net asset value per Share of the Shares on the Record Date is less than 95% of the fair market value of the Shares on the Record Date.

 

The reinvestment of Distributions does not relieve the participant of any tax that many be payable on the Distributions. The Transfer Agent will report to each participant the taxable amount of Distributions credited to his or her account. Participants will be treated for federal income tax purposes as receiving the amount of the Distributions made by the Fund, which amount generally will be either equal to the amount of the cash distribution the shareholder would have received if the shareholder had elected to receive cash or, for shares issued by the Fund, the fair market value of the shares issued to the shareholder.

 

The cost of Shares acquired for each participant's Account in connection with a Purchase shall be determined by the average cost per Share, including brokerage commissions, of the Shares acquired in connection with that Purchase. There will be no brokerage charges with respect to Shares issued directly by the Fund as a result of Distributions. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to open market purchases. Brokerage charges for purchasing small amounts of Shares for individual Accounts through the Plan probably will be less than the usual brokerage charges for such transactions, as the Plan Agent will be purchasing Shares for all participants in blocks and prorating the lower commission thus attainable.

 

A participant may from time to time make voluntary cash contributions to his Account in a minimum amount of $100 (no more than $500 may be contributed per month). Participants making voluntary cash investments will be charged a $0.75 service fee for each such investment and will be responsible for their pro rata share of brokerage commissions. Please contact DISC for more information on voluntary cash contributions.

 

The Fund reserves the right to amend the Plan, including provisions with respect to any Distribution paid, subsequent to notice thereof sent to participants in the Plan at least ninety days before the record date for such Distribution, except when such amendment is necessary or appropriate to comply with applicable law or the rules or policies of the Securities and Exchange Commission or any other regulatory authority, in which case such amendment shall be effective as soon as practicable. The Plan may be terminated by the Fund.

 

Shareholders may withdraw from the Plan at any time by giving the Transfer Agent a written notice. A notice of withdrawal will be effective for the next Distribution following receipt of the notice by the Transfer Agent provided the notice is received by the Transfer Agent at least ten days prior to the Record Date for the Distribution. When a participant withdraws from the Plan, or when the Plan is terminated by the Fund, the participant will receive a certificate for full Shares in the Account, plus a check for any fractional Shares based on market price; or, if a participant so desires, the Transfer Agent will notify the Plan Agent to sell his Shares in the Plan and send the proceeds to the participant, less brokerage commissions and a $2.50 service fee.

 

Shareholders will receive tax information annually for personal records and to assist in preparation of their federal income tax returns.

 

Additional Information

Automated Information Line		DWS Investments Closed-End Fund Info Line (800) 349-4281
Web Site		www.dws-investments.com Obtain fact sheets, financial reports, press releases and webcasts when available.
Written Correspondence		Deutsche Investment Management Americas Inc. 345 Park Avenue New York, NY 10154
Legal Counsel		Vedder Price P.C. 222 North LaSalle Street Chicago, IL 60601
Dividend Reinvestment Plan Agent		Computershare Inc. P.O. Box 43078 Providence, RI 02940-3078
Shareholder Service Agent and Transfer Agent		DWS Investments Service Company P.O. Box 219066 Kansas City, MO 64121-9066 (800) 294-4366
Custodian		State Street Bank and Trust Company Lafayette Corporate Center 2 Avenue De Lafayette Boston, MA 02111
Independent Registered Public Accounting Firm		Ernst & Young LLP 200 Clarendon Street Boston, MA 02116
Proxy Voting		The fund's policies and procedures for voting proxies for portfolio securities and information about how the fund voted proxies related to its portfolio securities during the 12-month period ended June 30 are available on our Web site — www.dws-investments.com (click on "proxy voting"at the bottom of the page) — or on the SEC's Web site — www.sec.gov. To obtain a written copy of the fund's policies and procedures without charge, upon request, call us toll free at (800) 728-3337.

 

Portfolio Holdings		Following the fund's fiscal first and third quarter-end, a complete portfolio holdings listing is filed with the SEC on Form N-Q. This form will be available on the SEC's Web site at www.sec.gov, and it also may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. Information on the operation of the SEC's Public Reference Room may be obtained by calling (800) SEC-0330. The fund's portfolio holdings as of the month-end are posted on www.dws-investments.com on or after the last day of the following month. More frequent posting of portfolio holdings information may be made from time to time on www.dws-investments.com.
Investment Management		Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor"), which is part of Deutsche Asset & Wealth Management, is the investment advisor for the fund. DIMA and its predecessors have more than 80 years of experience managing mutual funds and DIMA provides a full range of investment advisory services to both institutional and retail clients. DIMA is an indirect, wholly owned subsidiary of Deutsche Bank AG. Deutsche Bank AG is a major global banking institution engaged in a wide variety of financial services, including investment management, retail, private and commercial banking, investment banking and insurance. DWS Investments is the retail brand name in the U.S. for the asset management activities of Deutsche Bank AG and DIMA. As such, DWS is committed to delivering the investing expertise, insight and resources of this global investment platform to American investors.
NYSE Symbol		KMM
CUSIP Number		23338L 108

 

Privacy Statement

FACTS		What Does DWS Investments Do With Your Personal Information?
Why?		Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share and protect your personal information. Please read this notice carefully to understand what we do.
What?		The types of personal information we collect and share can include: • Social Security number • Account balances • Purchase and transaction history • Bank account information • Contact information such as mailing address, e-mail address and telephone number
How?		All financial companies need to share customers' personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers' personal information, the reasons DWS Investments chooses to share and whether you can limit this sharing.

 

Reasons we can share your personal information	Does DWS Investments share?	Can you limit this sharing?
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders or legal investigations	Yes	No
For our marketing purposes — to offer our products and services to you	Yes	No
For joint marketing with other financial companies	No	We do not share
For our affiliates' everyday business purposes — information about your transactions and experiences	No	We do not share
For our affiliates' everyday business purposes — information about your creditworthiness	No	We do not share
For non-affiliates to market to you	No	We do not share

 

Questions?

Call (800) 728-3337 or e-mail us at dws-investments.info@dws.com

 

Who we are
Who is providing this notice?		DWS Investments Distributors, Inc.; Deutsche Investment Management Americas Inc.; DeAM Investor Services, Inc.; DWS Trust Company; the DWS Funds
What we do
How does DWS Investments protect my personal information?		To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.
How does DWS Investments collect my personal information?		We collect your personal information, for example. When you: • open an account • give us your contact information • provide bank account information for ACH or wire transactions • tell us where to send money • seek advice about your investments
Why can't I limit all sharing?		Federal law gives you the right to limit only • sharing for affiliates' everyday business purposes — information about your creditworthiness • affiliates from using your information to market to you • sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing.
Definitions
Affiliates		Companies related by common ownership or control. They can be financial or non-financial companies. Our affiliates include financial companies with the DWS or Deutsche Bank ("DB") name, such as DB AG Frankfurt and DB Alex Brown.
Non-affiliates		Companies not related by common ownership or control. They can be financial and non-financial companies. Non-affiliates we share with include account service providers, service quality monitoring services, mailing service providers and verification services to help in the fight against money laundering and fraud.
Joint marketing		A formal agreement between non-affiliated financial companies that together market financial products or services to you. DWS Investments does not jointly market.

 

Rev. 09/2012

 

Notes