N-Q 1 d25207dnq.htm MFS MULTIMARKET INCOME TRUST N-Q MFS MULTIMARKET INCOME TRUST N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-04975

MFS MULTIMARKET INCOME TRUST

(Exact name of registrant as specified in charter)

111 Huntington Avenue, Boston, Massachusetts 02199

(Address of principal executive offices) (Zip code)

Kristin V. Collins

Massachusetts Financial Services Company

111 Huntington Avenue

Boston, Massachusetts 02199

(Name and address of agents for service)

Registrant’s telephone number, including area code: (617) 954-5000

Date of fiscal year end: October 31

Date of reporting period: January 31, 2016


ITEM 1. SCHEDULE OF INVESTMENTS.


QUARTERLY REPORT

January 31, 2016

 

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MFS® MULTIMARKET INCOME TRUST

 

LOGO


PORTFOLIO OF INVESTMENTS

1/31/16 (unaudited)

The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.

 

Issuer    Shares/Par     Value ($)  
Bonds - 113.6%                 
Aerospace - 1.0%                 
Aerojet Rocketdyne Holdings, Inc., 7.125%, 3/15/21    $ 1,405,000      $ 1,426,075   
Bombardier, Inc., 6.125%, 1/15/23 (n)      885,000        606,225   
Bombardier, Inc., 7.5%, 3/15/25 (n)      515,000        354,062   
CPI International, Inc., 8.75%, 2/15/18      1,115,000        1,087,125   
Lockheed Martin Corp., 3.55%, 1/15/26      406,000        416,528   
TransDigm, Inc., 6%, 7/15/22      245,000        240,100   
TransDigm, Inc., 6.5%, 7/15/24      700,000        684,250   
    

 

 

 
             $ 4,814,365   
Airlines - 0.1%                 
Ryanair Ltd., 1.125%, 3/10/23    EUR 325,000      $ 339,221   
Apparel Manufacturers - 0.3%                 
Hanesbrands, Inc., 6.375%, 12/15/20    $ 845,000      $ 876,789   
PVH Corp., 4.5%, 12/15/22      720,000        698,400   
    

 

 

 
             $ 1,575,189   
Asset-Backed & Securitized - 4.7%                 
Banc of America Commercial Mortgage, Inc., FRN, 5.932%, 2/10/51    $ 1,352,926      $ 1,409,770   
Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.832%, 12/28/40 (z)      2,072,123        1,499,460   
Chesapeake Funding LLC, “A”, FRN, 0.872%, 5/07/24 (z)      890,046        889,720   
Citigroup Commercial Mortgage Trust, FRN, 5.898%, 12/10/49      390,311        39,007   
Citigroup/Deutsche Bank Commercial Mortgage Trust, FRN, 5.366%, 12/11/49      1,400,000        1,426,072   
Credit Suisse Commercial Mortgage Trust, “AM”, FRN, 5.888%, 6/15/39      1,781,000        1,817,468   
Crest Ltd., CDO, 7%, 1/28/40 (a)(d)(p)      2,980,723        256,700   
Dryden Senior Loan Fund, 2013-26A, “A”, CLO, FRN, 1.722%, 7/15/25 (n)      1,500,000        1,465,680   
Dryden Senior Loan Fund, 2014-31A, “C”, CLO, FRN, 3.47%, 4/18/26 (z)      1,750,000        1,638,438   
Enterprise Fleet Financing LLC, 2014-1, “A2”, 0.87%, 9/20/19 (n)      1,222,262        1,218,711   
Falcon Franchise Loan LLC, FRN, 44.017%, 1/05/25 (i)(z)      118,708        28,685   
First Union National Bank Commercial Mortgage Trust, FRN, 1.734%, 1/12/43 (i)(z)      273,691        792   
First Union-Lehman Brothers Bank of America, FRN, 1.023%, 11/18/35 (i)      3,320,165        56,704   
Greenwich Capital Commercial Funding Corp., 5.475%, 3/10/39      1,745,342        1,782,086   
JPMorgan Chase Commercial Mortgage Securities Corp., 5.552%, 5/12/45      1,147,782        1,159,379   
JPMorgan Chase Commercial Mortgage Securities Corp., “A4”, FRN, 5.959%, 6/15/49      2,000,000        2,041,692   
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 6.105%, 4/15/45      976,089        978,343   
JPMorgan Chase Commercial Mortgage Trust, 2007-LD11, “AM”, FRN, 5.959%, 6/15/49      2,243,253        2,286,574   
Lehman Brothers Commercial Conduit Mortgage Trust, FRN, 1.191%, 2/18/30 (i)      395,124        3,827   
Morgan Stanley Capital I Trust, “AM”, FRN, 5.865%, 4/15/49      1,674,000        1,699,863   
Morgan Stanley Capital I, Inc., FRN, 1.404%, 4/28/39 (i)(z)      2,854,458        13,815   
Wachovia Bank Commercial Mortgage Trust, “A4”, FRN, 6.149%, 2/15/51      939,910        973,156   
    

 

 

 
             $ 22,685,942   
Automotive - 2.8%                 
Accuride Corp., 9.5%, 8/01/18    $ 1,365,000      $ 1,064,700   
American Honda Finance Corp., 1.375%, 11/10/22    EUR 525,000        583,975   
Delphi Automotive PLC, 1.5%, 3/10/25    EUR 250,000        250,179   
Delphi Automotive PLC, 4.25%, 1/15/26    $ 480,000        480,355   
Ford Motor Credit Co. LLC, 1.7%, 5/09/16      1,000,000        1,001,486   
General Motors Financial Co., Inc., 3.45%, 4/10/22      486,000        466,759   
Goodyear Tire & Rubber Co., 6.5%, 3/01/21      1,070,000        1,123,500   
Goodyear Tire & Rubber Co., 7%, 5/15/22      420,000        449,190   
Grupo Antolin Dutch B.V., 5.125%, 6/30/22 (n)    EUR 120,000        133,246   

 

1


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Automotive - continued                 
Harley-Davidson Financial Services, Inc., 2.7%, 3/15/17 (n)    $ 600,000      $ 608,752   
Hyundai Capital America, 4%, 6/08/17 (n)      256,000        263,074   
Lear Corp., 4.75%, 1/15/23      730,000        737,300   
Lear Corp., 5.25%, 1/15/25      990,000        1,028,362   
Schaeffler Finance B.V., 6.875%, 8/15/18 (n)(p)      655,000        673,012   
Schaeffler Finance B.V., 3.25%, 5/15/19    EUR 470,000        506,605   
Schaeffler Finance B.V., 4.75%, 5/15/21 (n)    $ 565,000        565,000   
Schaeffler Holding Finance B.V., 6.25%, 11/15/19 (n)(p)      305,000        317,962   
Toyota Motor Credit Corp., 1%, 3/09/21    EUR 320,000        353,381   
Volkswagen Group of America Finance LLC, 2.4%, 5/22/20    $ 530,000        504,734   
Volkswagen International Finance N.V., 3.875% to 9/04/18, FRN to 9/29/49    EUR 400,000        416,984   
Volkswagen International Finance N.V., FRN, 2.5%, 12/29/49    EUR 230,000        206,802   
ZF North America Capital, Inc., 4.5%, 4/29/22 (n)    $ 1,335,000        1,286,606   
ZF North America Capital, Inc., 4.75%, 4/29/25 (n)      310,000        290,625   
    

 

 

 
             $ 13,312,589   
Biotechnology - 0.1%                 
Life Technologies Corp., 6%, 3/01/20    $ 363,000      $ 407,249   
Broadcasting - 2.2%                 
Activision Blizzard, Inc., 6.125%, 9/15/23 (n)    $ 1,485,000      $ 1,588,950   
AMC Networks, Inc., 7.75%, 7/15/21      884,000        937,040   
Clear Channel Worldwide Holdings, Inc., “A”, 6.5%, 11/15/22      245,000        218,050   
Clear Channel Worldwide Holdings, Inc., “B”, 6.5%, 11/15/22      945,000        875,306   
Discovery Communications, Inc., 1.9%, 3/19/27    EUR 700,000        645,562   
Grupo Televisa S.A.B., 6.125%, 1/31/46    $ 284,000        280,774   
iHeartMedia, Inc., 9%, 3/01/21      1,301,000        845,650   
Liberty Media Corp., 8.5%, 7/15/29      1,280,000        1,276,800   
Liberty Media Corp., 8.25%, 2/01/30      50,000        49,500   
Netflix, Inc., 5.375%, 2/01/21      945,000        1,015,875   
Netflix, Inc., 5.875%, 2/15/25 (n)      370,000        381,562   
Nexstar Broadcasting, Inc., 6.875%, 11/15/20      900,000        902,250   
Omnicom Group, Inc., 3.65%, 11/01/24      154,000        153,749   
ProSiebenSat.1 Media AG, 2.625%, 4/15/21    EUR 485,000        546,129   
Tribune Media Co., 5.875%, 7/15/22 (n)    $ 770,000        768,075   
    

 

 

 
             $ 10,485,272   
Brokerage & Asset Managers - 0.2%                 
Intercontinental Exchange, Inc., 2.75%, 12/01/20    $ 274,000      $ 278,362   
Intercontinental Exchange, Inc., 3.75%, 12/01/25      450,000        461,279   
    

 

 

 
             $ 739,641   
Building - 2.4%                 
Allegion PLC, 5.875%, 9/15/23    $ 255,000      $ 263,287   
Allegion U.S. Holding Co., Inc., 5.75%, 10/01/21      1,535,000        1,596,400   
Beacon Roofing Supply, Inc., 6.375%, 10/01/23 (n)      780,000        804,375   
Building Materials Corp. of America, 5.375%, 11/15/24 (n)      890,000        876,650   
Building Materials Corp. of America, 6%, 10/15/25 (n)      495,000        504,900   
CEMEX S.A.B. de C.V., 6.5%, 12/10/19 (n)      405,000        382,219   
CEMEX S.A.B. de C.V., 7.25%, 1/15/21 (n)      306,000        291,006   
Cimpor Financial Operations B.V., 5.75%, 7/17/24 (n)      284,000        174,660   
CRH Finance Ltd., 3.125%, 4/03/23    EUR 300,000        362,435   
Elementia S.A. de C.V., 5.5%, 1/15/25 (n)    $ 210,000        194,271   
Gibraltar Industries, Inc., 6.25%, 2/01/21      1,150,000        1,152,875   
HD Supply, Inc., 7.5%, 7/15/20      990,000        1,029,600   
Headwaters, Inc., 7.25%, 1/15/19      670,000        683,400   

 

2


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Building - continued                 
Masco Corp., 4.45%, 4/01/25    $ 170,000      $ 170,000   
Mohawk Industries, Inc., 2%, 1/14/22    EUR 525,000        573,303   
Mohawk Industries, Inc., 3.85%, 2/01/23    $ 653,000        671,449   
Owens Corning, Inc., 4.2%, 12/15/22      184,000        186,513   
PriSo Acquisition Corp., 9%, 5/15/23 (n)      765,000        711,450   
Summit Materials LLC/Summit Materials Finance Co., 6.125%, 7/15/23      865,000        834,725   
Union Andina de Cementos S.A.A., 5.875%, 10/30/21 (n)      270,000        259,740   
    

 

 

 
             $ 11,723,258   
Business Services - 1.8%                 
Equinix, Inc., 4.875%, 4/01/20    $ 855,000      $ 887,062   
Equinix, Inc., 5.375%, 1/01/22      290,000        301,600   
Equinix, Inc., 5.375%, 4/01/23      1,065,000        1,102,275   
Fidelity National Information Services, Inc., 3.875%, 6/05/24      664,000        648,001   
Fidelity National Information Services, Inc., 5%, 10/15/25      208,000        217,074   
Iron Mountain, Inc., REIT, 6%, 10/01/20 (n)      465,000        495,225   
Iron Mountain, Inc., REIT, 6%, 8/15/23      1,330,000        1,383,200   
MSCI, Inc., 5.75%, 8/15/25 (n)      280,000        296,100   
NeuStar, Inc., 4.5%, 1/15/23      1,050,000        861,000   
Tencent Holdings Ltd., 3.375%, 3/05/18 (n)      664,000        679,577   
Tencent Holdings Ltd., 3.375%, 5/02/19 (n)      965,000        986,940   
Tencent Holdings Ltd., 3.8%, 2/11/25 (n)      734,000        731,409   
    

 

 

 
             $ 8,589,463   
Cable TV - 5.0%                 
Altice Financing S.A., 6.5%, 1/15/22 (n)    $ 1,477,000      $ 1,469,615   
Altice Financing S.A., 6.625%, 2/15/23 (n)      1,525,000        1,498,312   
Altice Finco S.A., 8.125%, 1/15/24 (n)      719,000        690,240   
CCO Holdings LLC, 5.25%, 9/30/22      500,000        506,250   
CCO Holdings LLC/CCO Holdings Capital Corp., 7.375%, 6/01/20      390,000        405,600   
CCO Holdings LLC/CCO Holdings Capital Corp., 6.5%, 4/30/21      1,015,000        1,058,767   
CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/23 (n)      730,000        730,000   
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 1/15/24      1,060,000        1,090,475   
CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/25 (n)      305,000        301,950   
CCO Safari II LLC, 6.384%, 10/23/35 (n)      371,000        372,760   
Cequel Communications Holdings, 6.375%, 9/15/20 (n)      970,000        937,262   
Comcast Corp., 4.65%, 7/15/42      700,000        714,238   
DISH DBS Corp., 6.75%, 6/01/21      890,000        907,800   
DISH DBS Corp., 5%, 3/15/23      1,010,000        878,700   
DISH DBS Corp., 5.875%, 11/15/24      360,000        320,850   
Intelsat Jackson Holdings S.A., 7.25%, 4/01/19      510,000        462,825   
Intelsat Jackson Holdings S.A., 6.625%, 12/15/22      1,710,000        1,107,225   
Intelsat Jackson Holdings S.A., 5.5%, 8/01/23      1,225,000        976,937   
Intelsat Luxembourg S.A., 8.125%, 6/01/23      1,020,000        420,750   
LGE Holdco VI B.V., 7.125%, 5/15/24 (n)    EUR 680,000        791,966   
Lynx I Corp., 5.375%, 4/15/21 (n)    $ 468,000        478,530   
Lynx II Corp., 6.375%, 4/15/23 (n)      675,000        691,875   
Neptune Finco Corp., 10.875%, 10/15/25 (n)      605,000        639,787   
Shaw Communications, Inc., 5.65%, 10/01/19    CAD 417,000        330,903   
SIRIUS XM Radio, Inc., 4.25%, 5/15/20 (n)    $ 290,000        294,350   
SIRIUS XM Radio, Inc., 5.875%, 10/01/20 (n)      125,000        130,312   
SIRIUS XM Radio, Inc., 5.75%, 8/01/21 (n)      195,000        202,351   
SIRIUS XM Radio, Inc., 4.625%, 5/15/23 (n)      540,000        529,200   
SIRIUS XM Radio, Inc., 6%, 7/15/24 (n)      560,000        586,600   
SIRIUS XM Radio, Inc., 5.375%, 4/15/25 (n)      730,000        733,650   

 

3


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Cable TV - continued                 
Sky PLC, 2.5%, 9/15/26    EUR 400,000      $ 447,013   
Time Warner Cable, Inc., 5.75%, 6/02/31    GBP 250,000        353,827   
Time Warner Cable, Inc., 4.5%, 9/15/42    $ 210,000        167,114   
Unitymedia Hessen, 5.5%, 1/15/23 (n)      950,000        993,301   
Unitymedia KabelBW GmbH, 6.125%, 1/15/25 (n)      700,000        710,640   
Virgin Media Secured Finance PLC, 5.25%, 1/15/26 (n)      710,000        702,900   
VTR Finance B.V., 6.875%, 1/15/24 (n)      207,000        193,027   
Ziggo Bond Finance B.V., 5.875%, 1/15/25 (n)      450,000        412,875   
    

 

 

 
             $ 24,240,777   
Chemicals - 2.3%                 
CF Industries, Inc., 3.45%, 6/01/23    $ 577,000      $ 526,053   
Consolidated Energy Finance S.A., 6.75%, 10/15/19 (n)      384,000        337,920   
Flash Dutch 2 B.V./U.S. Coatings Acquisition, 7.375%, 5/01/21 (n)      810,000        849,990   
GCP Applied Technologies Co., 9.5%, 2/01/23 (n)      440,000        465,300   
Hexion U.S. Finance Corp., 6.625%, 4/15/20      395,000        306,125   
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, 8.875%, 2/01/18      565,000        384,200   
Huntsman International LLC, 5.125%, 4/15/21    EUR 335,000        330,244   
INEOS Group Holdings S.A., 6.125%, 8/15/18 (n)    $ 920,000        918,850   
Israel Chemicals Ltd., 4.5%, 12/02/24 (n)      2,540,000        2,485,893   
LyondellBasell Industries N.V., 5.75%, 4/15/24      487,000        528,059   
LyondellBasell Industries N.V., 4.625%, 2/26/55      386,000        302,876   
Momentive Performance Materials, Inc., 3.88%, 10/24/21      380,000        255,550   
Solvay Finance S.A., FRN, 4.199%, 5/29/49    EUR 450,000        461,576   
SPCM S.A., 2.875%, 6/15/23 (n)    EUR 102,000        103,785   
The Chemours Co., 6.625%, 5/15/23 (n)    $ 775,000        474,687   
Tronox Finance LLC, 6.375%, 8/15/20      1,500,000        926,250   
Tronox Finance LLC, 7.5%, 3/15/22 (n)      805,000        485,012   
W.R. Grace & Co., 5.125%, 10/01/21 (n)      1,035,000        1,040,175   
    

 

 

 
             $ 11,182,545   
Computer Software - 0.4%                 
Oracle Corp., 3.4%, 7/08/24    $ 483,000      $ 494,872   
Syniverse Holdings, Inc., 9.125%, 1/15/19      436,000        165,680   
VeriSign, Inc., 4.625%, 5/01/23      1,165,000        1,141,700   
    

 

 

 
             $ 1,802,252   
Computer Software - Systems - 0.6%                 
Apple, Inc., 3.05%, 7/31/29    GBP 450,000      $ 629,554   
CDW LLC/CDW Finance Corp., 6%, 8/15/22    $ 485,000        509,856   
CDW LLC/CDW Finance Corp., 5.5%, 12/01/24      425,000        442,263   
Sabre GLBL, Inc., 5.375%, 4/15/23 (n)      1,115,000        1,120,575   
    

 

 

 
             $ 2,702,248   
Conglomerates - 1.9%                 
Accudyne Industries Borrower S.C.A., 7.75%, 12/15/20 (n)    $ 690,000      $ 472,650   
Amsted Industries Co., 5%, 3/15/22 (n)      1,510,000        1,494,900   
BC Mountain LLC, 7%, 2/01/21 (n)      1,170,000        848,250   
DH Europe Finance S.A., 1%, 7/08/19    EUR 420,000        463,151   
EnerSys, 5%, 4/30/23 (n)    $ 1,295,000        1,275,575   
Enpro Industries, Inc., 5.875%, 9/15/22      1,315,000        1,278,837   
Entegris, Inc., 6%, 4/01/22 (n)      1,275,000        1,294,125   
General Electric Capital Corp., 6.375% to 11/15/17, FRN to 11/15/67      300,000        318,000   
General Electric Co., 1.25%, 5/26/23    EUR 175,000        193,636   
Renaissance Acquisition, 6.875%, 8/15/21 (n)    $ 1,300,000        955,500   

 

4


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Conglomerates - continued                 
Smiths Group PLC, 1.25%, 4/28/23    EUR 450,000      $ 467,738   
    

 

 

 
             $ 9,062,362   
Construction - 0.1%                 
Empresas ICA S.A.B. de C.V., 8.9%, 2/04/21 (d)    $ 590,000      $ 109,150   
Empresas ICA S.A.B. de C.V., 8.875%, 5/29/24 (a)(d)(n)      914,000        169,090   
    

 

 

 
             $ 278,240   
Consumer Products - 0.9%                 
Alphabet Holding Co., Inc., 7.75%, 11/01/17    $ 105,000      $ 102,637   
Elizabeth Arden, Inc., 7.375%, 3/15/21      380,000        252,700   
Newell Rubbermaid, Inc., 4%, 12/01/24      450,000        425,089   
Prestige Brands, Inc., 8.125%, 2/01/20      373,000        386,987   
Prestige Brands, Inc., 5.375%, 12/15/21 (n)      845,000        823,875   
Reckitt Benckiser Treasury Services PLC, 3.625%, 9/21/23 (n)      500,000        517,449   
Spectrum Brands, Inc., 6.375%, 11/15/20      965,000        1,018,075   
Spectrum Brands, Inc., 6.125%, 12/15/24 (n)      165,000        171,600   
Spectrum Brands, Inc., 5.75%, 7/15/25 (n)      430,000        440,750   
    

 

 

 
             $ 4,139,162   
Consumer Services - 2.0%                 
ADT Corp., 6.25%, 10/15/21    $ 1,525,000      $ 1,582,187   
ADT Corp., 4.125%, 6/15/23      370,000        340,400   
CEB, Inc., 5.625%, 6/15/23 (n)      840,000        840,000   
Garda World Security Corp., 7.25%, 11/15/21 (n)      755,000        588,900   
Garda World Security Corp., 7.25%, 11/15/21 (n)      365,000        284,700   
Grupo Posadas S.A.B. de C.V., 7.875%, 6/30/22 (n)      700,000        661,500   
Interval Acquisition Corp., 5.625%, 4/15/23 (n)      1,635,000        1,626,825   
Monitronics International, Inc., 9.125%, 4/01/20      1,495,000        1,199,737   
Priceline Group, Inc., 2.15%, 11/25/22    EUR 170,000        183,949   
Priceline Group, Inc., 3.65%, 3/15/25    $ 314,000        311,171   
Priceline Group, Inc., 1.8%, 3/03/27    EUR 300,000        280,402   
Service Corp. International, 5.375%, 5/15/24    $ 1,134,000        1,199,205   
Visa, Inc., 4.15%, 12/14/35      599,000        619,005   
    

 

 

 
             $ 9,717,981   
Containers - 3.1%                 
Ardagh Packaging Finance PLC, 9.125%, 10/15/20 (n)    $ 2,200,000      $ 2,213,750   
Ball Corp., 5%, 3/15/22      1,303,000        1,348,605   
Ball Corp., 5.25%, 7/01/25      330,000        339,075   
Berry Plastics Group, Inc., 5.5%, 5/15/22      1,155,000        1,152,112   
Berry Plastics Group, Inc., 6%, 10/15/22 (n)      350,000        357,000   
Crown American LLC, 4.5%, 1/15/23      1,322,000        1,308,780   
Crown European Holdings S.A., 3.375%, 5/15/25 (z)    EUR 650,000        650,454   
Multi-Color Corp., 6.125%, 12/01/22 (n)    $ 1,240,000        1,230,700   
Plastipak Holdings, Inc., 6.5%, 10/01/21 (n)      858,000        821,535   
Reynolds Group, 9.875%, 8/15/19      151,000        147,602   
Reynolds Group, 5.75%, 10/15/20      600,000        600,750   
Reynolds Group, 8.25%, 2/15/21      1,560,000        1,454,700   
Sealed Air Corp., 4.875%, 12/01/22 (n)      1,110,000        1,117,626   
Sealed Air Corp., 4.5%, 9/15/23 (n)    EUR 450,000        502,110   
Sealed Air Corp., 5.125%, 12/01/24 (n)    $ 370,000        370,000   
Signode Industrial Group, 6.375%, 5/01/22 (n)      1,465,000        1,215,950   
    

 

 

 
             $ 14,830,749   

 

5


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Electrical Equipment - 0.0%                 
Avaya, Inc., 10.5%, 3/01/21 (n)    $ 405,000      $ 101,250   
Electronics - 1.3%                 
Advanced Micro Devices, Inc., 6.75%, 3/01/19    $ 740,000      $ 505,050   
Advanced Micro Devices, Inc., 7%, 7/01/24      460,000        285,200   
Micron Technology, Inc., 5.875%, 2/15/22      980,000        872,200   
Micron Technology, Inc., 5.5%, 2/01/25      615,000        485,850   
NXP B.V., 5.75%, 2/15/21 (n)      480,000        496,800   
NXP B.V., 5.75%, 3/15/23 (n)      1,070,000        1,092,063   
Sensata Technologies B.V., 5.625%, 11/01/24 (n)      645,000        657,900   
Sensata Technologies B.V., 5%, 10/01/25 (n)      445,000        428,312   
Tyco Electronics Group S.A., 6.55%, 10/01/17      700,000        754,583   
Tyco Electronics Group S.A., 1.1%, 3/01/23    EUR 550,000        588,403   
    

 

 

 
             $ 6,166,361   
Emerging Market Quasi-Sovereign - 4.9%                 
Autoridad del Canal de Panama, 4.95%, 7/29/35 (n)    $ 201,000      $ 207,030   
Banco de Reservas de la Republica Dominicana, 7%, 2/01/23 (n)      946,000        905,327   
CNPC (HK) Overseas Capital Ltd., 4.5%, 4/28/21 (n)      1,242,000        1,327,022   
CNPC General Capital Ltd., 3.4%, 4/16/23 (n)      391,000        383,515   
Comision Federal de Electricidad, 4.875%, 1/15/24 (n)      517,000        514,415   
Comision Federal de Electricidad, 4.875%, 1/15/24      465,000        462,675   
Comision Federal de Electricidad, 5.75%, 2/14/42 (n)      915,000        837,225   
Comision Federal de Electricidad, 6.125%, 6/16/45 (n)      900,000        848,250   
Corporacion Financiera de Desarrollo S.A., 4.75%, 7/15/25 (n)      268,000        260,871   
Empresa Nacional del Petroleo, 4.375%, 10/30/24 (n)      296,000        282,392   
Gaz Capital S.A., 4.95%, 2/06/28 (n)      492,000        420,340   
Kazakhstan Temir Zholy Co., 6.95%, 7/10/42 (n)      316,000        265,819   
Majapahit Holding B.V., 7.25%, 6/28/17 (n)      1,029,000        1,086,830   
Majapahit Holding B.V., 8%, 8/07/19 (n)      1,197,000        1,341,837   
Majapahit Holding B.V., 7.75%, 1/20/20 (n)      1,045,000        1,166,220   
NOVA Chemicals Corp., 5.25%, 8/01/23 (n)      372,000        364,095   
Office Cherifien des Phosphates, 4.5%, 10/22/25 (n)      371,000        333,944   
Office Cherifien des Phosphates, 6.875%, 4/25/44 (n)      373,000        349,688   
Oleoducto Central S.A., 4%, 5/07/21 (n)      205,000        186,550   
Pemex Project Funding Master Trust, 5.75%, 3/01/18      671,000        685,292   
Pertamina PT, 5.25%, 5/23/21 (n)      511,000        503,001   
Pertamina PT, 4.875%, 5/03/22 (n)      540,000        513,314   
Pertamina PT, 4.3%, 5/20/23 (n)      323,000        291,986   
Petroleos Mexicanos, 5.5%, 1/21/21      1,199,000        1,179,516   
Petroleos Mexicanos, 6.375%, 2/04/21 (z)      10,000        10,135   
Petroleos Mexicanos, 6.875%, 8/04/26 (z)      205,000        208,587   
Petroleos Mexicanos, 5.5%, 6/27/44 (n)      254,000        191,465   
Petroleos Mexicanos, 5.625%, 1/23/46 (n)      213,000        164,010   
Petroleum Co. of Trinidad & Tobago Ltd., 9.75%, 8/14/19 (n)      476,000        480,760   
Petroleum Co. of Trinidad & Tobago Ltd., 6%, 5/08/22      353,708        312,590   
PT Pelabuhan Indonesia III, 4.875%, 10/01/24 (n)      200,000        191,000   
PT Perusahaan Gas Negara (Persero) Tbk, 5.125%, 5/16/24 (n)      438,000        425,809   
PT Perusahaan Listrik Negara, 5.5%, 11/22/21 (n)      752,000        764,220   
Ras Laffan Liquefied Natural Gas Co. Ltd., 6.75%, 9/30/19 (n)      825,000        933,709   
Sinopec Capital (2013) Ltd., 3.125%, 4/24/23 (n)      666,000        643,551   
Sinopec Capital (2013) Ltd., 4.25%, 4/24/43 (n)      548,000        521,192   
Sinopec Group Overseas Development (2012) Ltd., 3.9%, 5/17/22 (n)      544,000        562,780   
State Grid Overseas Investment (2014) Ltd., 4.125%, 5/07/24 (n)      2,263,000        2,446,321   
Three Gorges Finance I (Cayman Islands) Ltd., 3.7%, 6/10/25 (n)      204,000        212,744   

 

6


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Emerging Market Quasi-Sovereign - continued                 
Turkiye Vakiflar Bankasi T.A.O., 6.875% to 2/03/20, FRN to 2/03/25 (n)    $ 900,000      $ 865,179   
    

 

 

 
             $ 23,651,206   
Emerging Market Sovereign - 7.0%                 
Dominican Republic, 7.5%, 5/06/21 (n)    $ 879,000      $ 929,542   
Dominican Republic, 6.6%, 1/28/24 (n)      188,000        189,410   
Dominican Republic, 5.875%, 4/18/24 (n)      206,000        198,790   
Dominican Republic, 5.5%, 1/27/25 (n)      211,000        198,340   
Oriental Republic of Uruguay, 4.5%, 8/14/24      213,714        216,920   
Oriental Republic of Uruguay, 4.375%, 10/27/27      377,731        369,232   
Republic of Chile, 3.125%, 1/21/26      201,000        197,985   
Republic of Colombia, 8.125%, 5/21/24      679,000        799,522   
Republic of Colombia, 6.125%, 1/18/41      435,000        404,550   
Republic of Croatia, 5.5%, 4/04/23 (n)      1,362,000        1,420,566   
Republic of Hungary, 5.375%, 2/21/23      674,000        736,817   
Republic of Indonesia, 6.875%, 1/17/18      838,000        911,753   
Republic of Indonesia, 11.625%, 3/04/19      733,000        921,536   
Republic of Indonesia, 4.875%, 5/05/21 (n)      336,000        352,690   
Republic of Indonesia, 2.875%, 7/08/21 (z)    EUR 375,000        402,890   
Republic of Indonesia, 3.375%, 4/15/23 (n)    $ 517,000        489,207   
Republic of Indonesia, 5.875%, 1/15/24 (n)      225,000        246,544   
Republic of Indonesia, 4.125%, 1/15/25 (n)      339,000        332,134   
Republic of Kazakhstan, 3.875%, 10/14/24 (n)      427,000        401,465   
Republic of Kazakhstan, 5.125%, 7/21/25 (n)      983,000        978,282   
Republic of Kazakhstan, 4.875%, 10/14/44 (n)      207,000        170,558   
Republic of Lithuania, 6.125%, 3/09/21 (n)      499,000        578,216   
Republic of Lithuania, 6.625%, 2/01/22 (n)      1,425,000        1,720,323   
Republic of Panama, 3.75%, 3/16/25      231,000        227,535   
Republic of Panama, 8.875%, 9/30/27      1,273,000        1,769,470   
Republic of Panama, 9.375%, 4/01/29      873,000        1,259,303   
Republic of Paraguay, 4.625%, 1/25/23 (n)      212,000        207,230   
Republic of Peru, 7.35%, 7/21/25      544,000        682,720   
Republic of Peru, 8.75%, 11/21/33      629,000        874,310   
Republic of Peru, 5.625%, 11/18/50      217,000        224,053   
Republic of Philippines, 3.95%, 1/20/40      960,000        1,023,461   
Republic of Poland, 5%, 3/23/22      609,000        672,957   
Republic of Romania, 6.75%, 2/07/22 (n)      1,074,000        1,268,985   
Republic of Romania, 4.375%, 8/22/23 (n)      486,000        510,985   
Republic of Romania, 4.875%, 1/22/24 (n)      328,000        355,552   
Republic of Slovakia, 4.375%, 5/21/22 (n)      1,047,000        1,171,227   
Republic of Turkey, 7%, 3/11/19      790,000        865,532   
Republic of Turkey, 5.625%, 3/30/21      670,000        712,813   
Republic of Turkey, 6.25%, 9/26/22      646,000        709,493   
Republic of Venezuela, 7.65%, 4/21/25      673,000        222,090   
Russian Federation, 4.875%, 9/16/23 (n)      800,000        814,000   
Russian Federation, 7.5%, 3/31/30      305,830        366,990   
Russian Federation, 5.625%, 4/04/42 (n)      600,000        573,974   
Socialist Republic of Vietnam, 6.75%, 1/29/20      273,000        297,345   
Socialist Republic of Vietnam, 4.8%, 11/19/24 (n)      300,000        286,461   
United Mexican States, 3.625%, 3/15/22      1,710,000        1,718,550   
United Mexican States, 4%, 10/02/23      1,364,000        1,381,050   
United Mexican States, 8.5%, 5/31/29    MXN 29,290,000        1,905,914   
United Mexican States, 5.75%, 10/12/10    $ 408,000        375,360   
    

 

 

 
             $ 33,644,632   

 

7


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Energy - Independent - 2.2%                 
Afren PLC, 11.5%, 2/01/16 (a)(d)(n)    $ 335,000      $ 1,675   
Afren PLC, 15%, 4/25/16 (d)(p)      388,334        116,500   
Afren PLC, 10.25%, 4/08/19 (a)(d)(n)      219,000        1,095   
Baytex Energy Corp., 5.625%, 6/01/24 (n)      540,000        313,200   
Bonanza Creek Energy, Inc., 6.75%, 4/15/21      795,000        312,038   
Bonanza Creek Energy, Inc., 5.75%, 2/01/23      230,000        82,800   
Chaparral Energy, Inc., 7.625%, 11/15/22      1,420,000        269,800   
Chesapeake Energy Corp., 5.75%, 3/15/23      1,570,000        431,750   
Concho Resources, Inc., 6.5%, 1/15/22      895,000        836,825   
Concho Resources, Inc., 5.5%, 4/01/23      1,215,000        1,101,993   
EP Energy LLC, 9.375%, 5/01/20      920,000        391,000   
EP Energy LLC, 7.75%, 9/01/22      2,590,000        906,500   
Halcon Resources Corp., 8.875%, 5/15/21      1,245,000        180,525   
Linn Energy LLC/Linn Energy Finance Corp., 8.625%, 4/15/20      150,000        22,500   
Linn Energy LLC/Linn Energy Finance Corp., 7.75%, 2/01/21      1,957,000        234,840   
Linn Energy LLC/Linn Energy Finance Corp., 6.5%, 9/15/21      605,000        68,075   
Northern Blizzard Resources, Inc., 7.25%, 2/01/22 (n)      710,000        507,650   
Oasis Petroleum, Inc., 6.875%, 3/15/22      1,115,000        646,700   
Pioneer Natural Resources Co., 3.95%, 7/15/22      272,000        253,040   
QEP Resources, Inc., 5.25%, 5/01/23      1,750,000        1,190,000   
RSP Permian, Inc., 6.625%, 10/01/22      970,000        863,300   
Sanchez Energy Corp., 6.125%, 1/15/23      1,290,000        516,000   
SM Energy Co., 6.5%, 11/15/21      1,315,000        765,593   
SM Energy Co., 6.125%, 11/15/22      585,000        336,375   
WPX Energy, Inc., 6%, 1/15/22      475,000        275,500   
    

 

 

 
             $ 10,625,274   
Energy - Integrated - 0.3%                 
Chevron Corp., 3.326%, 11/17/25    $ 79,000      $ 78,282   
Listrindo Capital B.V., 6.95%, 2/21/19 (n)      239,000        242,585   
LUKOIL International Finance B.V., 4.563%, 4/24/23 (n)      698,000        632,563   
Pacific Exploration and Production Corp., 7.25%, 12/12/21 (d)(n)      1,145,000        143,125   
Pacific Exploration and Production Corp., 5.125%, 3/28/23 (d)(n)      419,000        52,166   
Pacific Exploration and Production Corp., 5.625%, 1/19/25 (d)(n)      272,000        34,680   
TOTAL S.A., 2.625% to 2/26/25, FRN to 12/29/49    EUR 300,000        282,984   
    

 

 

 
             $ 1,466,385   
Entertainment - 1.5%                 
Carmike Cinemas, Inc., 6%, 6/15/23 (n)    $ 460,000      $ 476,675   
Carnival Corp., 1.2%, 2/05/16      500,000        500,011   
Carnival Corp., 1.875%, 11/07/22    EUR 550,000        599,934   
Cedar Fair LP, 5.25%, 3/15/21    $ 1,130,000        1,158,250   
Cedar Fair LP, 5.375%, 6/01/24      415,000        417,075   
Cinemark USA, Inc., 5.125%, 12/15/22      1,045,000        1,050,225   
Cinemark USA, Inc., 4.875%, 6/01/23      780,000        766,350   
NCL Corp. Ltd., 5.25%, 11/15/19 (n)      790,000        793,950   
Six Flags Entertainment Corp., 5.25%, 1/15/21 (n)      1,325,000        1,349,248   
    

 

 

 
             $ 7,111,718   
Financial Institutions - 3.6%                 
Aercap Ireland Capital Ltd., 4.625%, 10/30/20    $ 150,000      $ 147,750   
Aircastle Ltd., 4.625%, 12/15/18      790,000        796,913   
Aircastle Ltd., 5.125%, 3/15/21      550,000        543,125   
Aircastle Ltd., 5.5%, 2/15/22      665,000        661,675   
CIT Group, Inc., 5.25%, 3/15/18      1,615,000        1,668,489   

 

8


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Financial Institutions - continued                 
CIT Group, Inc., 6.625%, 4/01/18 (n)    $ 1,447,000      $ 1,529,479   
CIT Group, Inc., 5.5%, 2/15/19 (n)      1,269,000        1,310,243   
CIT Group, Inc., 5%, 8/15/22      365,000        369,115   
Credit Acceptance Co., 7.375%, 3/15/23 (n)      955,000        923,963   
Icahn Enterprises LP, 6%, 8/01/20      1,060,000        994,969   
Icahn Enterprises LP, 5.875%, 2/01/22      1,405,000        1,255,719   
International Lease Finance Corp., 7.125%, 9/01/18 (n)      337,000        364,803   
Nationstar Mortgage LLC/Capital Corp., 6.5%, 8/01/18      785,000        757,525   
Nationstar Mortgage LLC/Capital Corp., 7.875%, 10/01/20      1,560,000        1,485,900   
Navient Corp., 8%, 3/25/20      1,815,000        1,787,775   
Navient Corp., 5.875%, 3/25/21      395,000        341,675   
Navient Corp., 7.25%, 1/25/22      1,225,000        1,090,250   
Navient Corp., 6.125%, 3/25/24      455,000        373,669   
PHH Corp., 6.375%, 8/15/21      955,000        828,463   
    

 

 

 
             $ 17,231,500   
Food & Beverages - 2.3%                 
Anheuser-Busch InBev Worldwide, Inc., 3.3%, 2/01/23    $ 631,000      $ 640,438   
Anheuser-Busch InBev Worldwide, Inc., 4.7%, 2/01/36      826,000        836,834   
Coca-Cola Co., 0.75%, 3/09/23    EUR 325,000        348,660   
Coca-Cola Co., 1.125%, 3/09/27    EUR 250,000        259,896   
Coca-Cola Enterprises, Inc., 1.875%, 3/18/30    EUR 325,000        322,206   
Darling Ingredients, Inc., 5.375%, 1/15/22    $ 1,035,000        1,014,300   
Gruma S.A.B. de C.V., 4.875%, 12/01/24 (n)      202,000        209,323   
J.M. Smucker Co., 2.5%, 3/15/20      121,000        121,627   
J.M. Smucker Co., 4.375%, 3/15/45      130,000        126,510   
JB Y Co. S.A. de C.V., 3.75%, 5/13/25 (n)      150,000        144,534   
JBS Investments GmbH, 7.75%, 10/28/20 (n)      201,000        177,885   
Kraft Foods Group, Inc., 2.25%, 6/05/17      700,000        706,049   
Kraft Heinz Co., 5%, 7/15/35 (n)      173,000        177,387   
Kraft Heinz Foods Co., 3.5%, 7/15/22 (n)      340,000        346,091   
Mead Johnson Nutrition Co., 3%, 11/15/20      441,000        447,626   
Minerva Luxembourg S.A., 7.75%, 1/31/23 (n)      204,000        190,230   
PepsiCo, Inc., 2.15%, 10/14/20      1,336,000        1,345,508   
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.875%, 1/15/24 (n)      270,000        279,450   
SABMiller Holdings, Inc., 1.875%, 1/20/20    EUR 100,000        113,619   
SABMiller Holdings, Inc., 3.75%, 1/15/22 (n)    $ 221,000        229,071   
Sun Merger Sub, Inc., 5.875%, 8/01/21 (n)      1,590,000        1,613,850   
Tyson Foods, Inc., 6.6%, 4/01/16      820,000        827,572   
Tyson Foods, Inc., 5.15%, 8/15/44      156,000        162,975   
Wm. Wrigley Jr. Co., 2.9%, 10/21/19 (n)      239,000        243,456   
Wm. Wrigley Jr. Co., 3.375%, 10/21/20 (n)      124,000        127,719   
    

 

 

 
             $ 11,012,816   
Food & Drug Stores - 0.3%                 
CVS Health Corp., 3.375%, 8/12/24    $ 354,000      $ 353,863   
CVS Health Corp., 4.875%, 7/20/35      202,000        209,700   
Walgreens Boots Alliance, Inc., 2.7%, 11/18/19      580,000        584,837   
Walgreens Boots Alliance, Inc., 2.875%, 11/20/20    GBP 200,000        285,583   
    

 

 

 
             $ 1,433,983   
Forest & Paper Products - 0.2%                 
Appvion, Inc., 9%, 6/01/20 (n)    $ 795,000      $ 258,375   
Smurfit Kappa Acquisitions, 2.75%, 2/01/25 (z)    EUR 525,000        533,187   
Tembec Industries, Inc., 9%, 12/15/19 (n)    $ 480,000        303,600   
    

 

 

 
             $ 1,095,162   

 

9


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Gaming & Lodging - 2.0%                 
CCM Merger, Inc., 9.125%, 5/01/19 (n)    $ 935,000      $ 963,050   
Eldorado Resorts, Inc., 7%, 8/01/23 (n)      305,000        300,425   
GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/01/23      745,000        713,338   
Greektown Holdings LLC, 8.875%, 3/15/19 (n)      950,000        935,750   
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.625%, 10/15/21      1,125,000        1,158,750   
Isle of Capri Casinos, Inc., 8.875%, 6/15/20      280,000        295,400   
Isle of Capri Casinos, Inc., 5.875%, 3/15/21      960,000        981,600   
MGM Resorts International, 6.625%, 12/15/21      1,105,000        1,135,388   
MGM Resorts International, 6%, 3/15/23      1,000,000        996,875   
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/21      1,030,000        1,042,875   
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/23      325,000        323,781   
Wyndham Worldwide Corp., 2.5%, 3/01/18      650,000        645,720   
Wyndham Worldwide Corp., 5.625%, 3/01/21      132,000        141,854   
    

 

 

 
             $ 9,634,806   
Industrial - 0.7%                 
Anixter, Inc., 5.125%, 10/01/21    $ 970,000      $ 945,750   
Dematic S.A., 7.75%, 12/15/20 (n)      1,395,000        1,377,563   
Howard Hughes Corp., 6.875%, 10/01/21 (n)      1,260,000        1,260,000   
    

 

 

 
             $ 3,583,313   
Insurance - 1.0%                 
AIG SunAmerica Global Financing X, 6.9%, 3/15/32 (n)    $ 484,000      $ 615,114   
Allianz SE, 2.241%, 7/07/45    EUR 400,000        400,849   
American International Group, Inc., 3.75%, 7/10/25    $ 642,000        615,792   
Aviva PLC, 3.375%, 12/04/45    EUR 400,000        403,320   
CNP Assurances S.A., 6% to 9/14/20, FRN to 9/14/40    EUR 400,000        467,986   
Delta Lloyd N.V., FRN, 9%, 8/29/42    EUR 450,000        522,526   
Old Mutual PLC, 7.875%, 11/03/25    GBP 350,000        468,616   
Unum Group, 7.125%, 9/30/16    $ 829,000        859,027   
Unum Group, 4%, 3/15/24      259,000        261,217   
    

 

 

 
             $ 4,614,447   
Insurance - Health - 0.4%                 
Centene Escrow Corp., 5.625%, 2/15/21 (n)    $ 460,000      $ 468,050   
Centene Escrow Corp., 6.125%, 2/15/24 (n)      460,000        472,650   
UnitedHealth Group, Inc., 2.7%, 7/15/20      834,000        853,444   
    

 

 

 
             $ 1,794,144   
Insurance - Property & Casualty - 0.6%                 
ACE INA Holdings, Inc., 2.3%, 11/03/20    $ 144,000      $ 144,446   
ACE INA Holdings, Inc., 2.875%, 11/03/22      336,000        340,398   
Amlin PLC, 6.5% to 12/19/16, FRN to 12/19/26    GBP 200,000        287,402   
Berkshire Hathaway, Inc., 1.625%, 3/16/35    EUR 325,000        305,388   
CNA Financial Corp., 5.875%, 8/15/20    $ 700,000        782,322   
Marsh & McLennan Cos., Inc., 2.55%, 10/15/18      330,000        333,798   
Marsh & McLennan Cos., Inc., 3.5%, 6/03/24      315,000        316,801   
QBE Capital Funding III Ltd., 7.5% to 5/24/21, FRN to 5/24/41    GBP 300,000        457,405   
    

 

 

 
             $ 2,967,960   
International Market Quasi-Sovereign - 0.1%                 
Electricite de France S.A., 5.375% to 1/29/2025, FRN to 1/29/49    EUR 300,000      $ 306,378   
International Market Sovereign - 0.3%                 
Government of Japan, 1.1%, 6/20/20    JPY 66,100,000      $ 573,675   
Government of Japan, 2.1%, 9/20/24    JPY 35,850,000        348,891   

 

10


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
International Market Sovereign - continued                 
Republic of Iceland, 4.875%, 6/16/16 (n)    $ 553,000      $ 561,307   
    

 

 

 
             $ 1,483,873   
Internet - 0.4%                 
Baidu, Inc., 4.125%, 6/30/25    $ 240,000      $ 240,550   
Baidu, Inc., 3.25%, 8/06/18      1,316,000        1,341,422   
Baidu, Inc., 3.5%, 11/28/22      475,000        474,700   
    

 

 

 
             $ 2,056,672   
Local Authorities - 0.1%                 
Province of Alberta, 1.25%, 6/01/20    CAD 302,000      $ 214,815   
Province of Manitoba, 4.15%, 6/03/20    CAD 266,000        212,418   
    

 

 

 
             $ 427,233   
Machinery & Tools - 0.8%                 
Ashtead Capital, Inc., 5.625%, 10/01/24 (n)    $ 1,125,000      $ 1,082,813   
CNH Industrial Capital LLC, 4.375%, 11/06/20      1,115,000        1,059,250   
H&E Equipment Services Co., 7%, 9/01/22      1,065,000        974,475   
Jurassic Holdings III, Inc., 6.875%, 2/15/21 (n)      1,000,000        600,000   
Light Tower Rentals, Inc., 8.125%, 8/01/19 (n)      745,000        329,663   
    

 

 

 
             $ 4,046,201   
Major Banks - 3.7%                 
ABN AMRO North America Finance, Inc., 7.125%, 7/06/22    EUR 250,000      $ 339,320   
Bank of America Corp., 3.95%, 4/21/25    $ 582,000        567,439   
Bank of America Corp., FRN, 6.1%, 12/29/49      3,147,000        3,199,555   
Bank of America Corp., FRN, 5.2%, 12/31/49      549,000        513,315   
Barclays Bank PLC, 6%, 1/14/21    EUR 300,000        387,694   
Barclays Bank PLC, 6.75% to 1/16/18, FRN to 1/16/23    GBP 200,000        304,255   
Credit Agricole S.A., 7.375%, 12/18/23    GBP 200,000        349,750   
Credit Agricole S.A., 7.875% to 10/26/19, FRN to 10/29/49    EUR 350,000        440,768   
Goldman Sachs Group, Inc., 7.5%, 2/15/19    $ 1,200,000        1,367,216   
Huntington National Bank, 2.4%, 4/01/20      320,000        316,522   
JPMorgan Chase & Co., 3.25%, 9/23/22      765,000        770,349   
JPMorgan Chase & Co., 3.125%, 1/23/25      581,000        563,407   
JPMorgan Chase & Co., 6.75% to 2/01/24, FRN to 8/29/49      486,000        526,095   
JPMorgan Chase & Co., 6% to 8/01/23, FRN to 12/31/49      1,515,000        1,512,159   
Morgan Stanley, 3.875%, 4/29/24      500,000        507,545   
Morgan Stanley, 6.625%, 4/01/18      1,000,000        1,092,277   
Morgan Stanley, 3.95%, 4/23/27      423,000        408,300   
Nationwide Building Society, 1.25%, 3/03/25    EUR 380,000        404,506   
PNC Bank N.A., 2.6%, 7/21/20    $ 467,000        473,578   
Regions Financial Corp., 2%, 5/15/18      421,000        418,581   
Royal Bank of Scotland Group PLC, 5.5%, 3/23/20    EUR 300,000        390,812   
Royal Bank of Scotland Group PLC, 8% to 2025, FRN to 12/29/49    $ 288,000        295,560   
Royal Bank of Scotland Group PLC, 7.5% to 8/10/20, FRN to 12/29/65      1,190,000        1,210,825   
Royal Bank of Scotland Group PLC, FRN, 3.625%, 3/25/24    EUR 500,000        551,683   
Wells Fargo & Co., 5.9% to 6/15/24, FRN to 12/29/49    $ 509,000        513,454   
Wells Fargo & Co., 5.875% to 6/15/25, FRN to 12/31/49      291,000        306,743   
    

 

 

 
             $ 17,731,708   
Medical & Health Technology & Services - 3.7%                 
Becton, Dickinson and Co., 3.734%, 12/15/24    $ 142,000      $ 145,271   
Becton, Dickinson and Co., 4.685%, 12/15/44      270,000        273,585   
CHS/Community Health Systems, Inc., 6.875%, 2/01/22      1,855,000        1,678,775   
Davita Healthcare Partners, Inc., 5%, 5/01/25      1,175,000        1,155,906   

 

11


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Medical & Health Technology & Services - continued                 
Davita, Inc., 5.125%, 7/15/24    $ 780,000      $ 784,388   
Fresenius US Finance II, Inc., 4.25%, 2/01/21 (n)      84,000        84,840   
HCA, Inc., 4.25%, 10/15/19      785,000        804,625   
HCA, Inc., 7.5%, 2/15/22      980,000        1,087,800   
HCA, Inc., 5.875%, 3/15/22      890,000        954,525   
HCA, Inc., 5%, 3/15/24      690,000        698,625   
HCA, Inc., 5.375%, 2/01/25      1,525,000        1,542,156   
HCA, Inc., 5.875%, 2/15/26      505,000        515,100   
HealthSouth Corp., 5.125%, 3/15/23      1,020,000        989,400   
HealthSouth Corp., 5.75%, 11/01/24 (n)      860,000        848,897   
Laboratory Corp. of America Holdings, 4.7%, 2/01/45      364,000        340,586   
LifePoint Hospitals, Inc., 5.5%, 12/01/21      705,000        715,575   
TeamHealth, Inc., 7.25%, 12/15/23 (n)      200,000        209,000   
Tenet Healthcare Corp., 8%, 8/01/20      2,135,000        2,140,338   
Tenet Healthcare Corp., 4.5%, 4/01/21      755,000        739,900   
Tenet Healthcare Corp., 8.125%, 4/01/22      665,000        666,663   
Tenet Healthcare Corp., 6.75%, 6/15/23      655,000        605,875   
Universal Health Services, Inc., 7.625%, 8/15/20      1,010,000        888,800   
    

 

 

 
             $ 17,870,630   
Medical Equipment - 0.9%                 
Alere, Inc., 6.375%, 7/01/23 (n)    $ 833,000      $ 787,185   
DJO Finco, Inc., 8.125%, 6/15/21 (n)      835,000        701,400   
Hologic, Inc., 5.25%, 7/15/22 (n)      1,000,000        1,035,000   
Medtronic, Inc., 3.5%, 3/15/25      437,000        448,694   
Teleflex, Inc., 5.25%, 6/15/24      955,000        955,000   
Zimmer Holdings, Inc., 4.25%, 8/15/35      274,000        253,566   
    

 

 

 
             $ 4,180,845   
Metals & Mining - 2.3%                 
Barrick North America Finance LLC, 5.75%, 5/01/43    $ 365,000      $ 254,281   
Cameco Corp., 5.67%, 9/02/19    CAD 420,000        326,334   
Century Aluminum Co., 7.5%, 6/01/21 (n)    $ 775,000        505,688   
Commercial Metals Co., 4.875%, 5/15/23      828,000        688,275   
Consol Energy, Inc., 5.875%, 4/15/22      1,010,000        652,713   
Consol Energy, Inc., 8%, 4/01/23      770,000        515,900   
First Quantum Minerals Ltd., 7.25%, 10/15/19 (n)      1,191,000        553,815   
First Quantum Minerals Ltd., 7.25%, 5/15/22 (n)      810,000        364,500   
Freeport-McMoRan Oil & Gas LLC, 6.875%, 2/15/23      650,000        310,375   
Glencore Finance (Europe) S.A., 6.5%, 2/27/19    GBP 150,000        188,618   
Glencore Finance (Europe) S.A., 1.25%, 3/17/21    EUR 500,000        394,061   
GrafTech International Co., 6.375%, 11/15/20    $ 940,000        535,800   
Hudbay Minerals, Inc., 9.5%, 10/01/20      1,190,000        731,850   
Kinross Gold Corp., 5.95%, 3/15/24      572,000        354,640   
Lundin Mining Corp., 7.5%, 11/01/20 (n)      455,000        386,750   
Lundin Mining Corp., 7.875%, 11/01/22 (n)      445,000        359,338   
Southern Copper Corp., 5.25%, 11/08/42      700,000        510,719   
Southern Copper Corp., 5.875%, 4/23/45      753,000        578,288   
Steel Dynamics, Inc., 5.125%, 10/01/21      435,000        405,638   
Steel Dynamics, Inc., 5.25%, 4/15/23      195,000        176,963   
Steel Dynamics, Inc., 5.5%, 10/01/24      435,000        392,588   
Suncoke Energy Partners LP/Suncoke Energy Partners Finance Corp., 7.375%, 2/01/20 (n)      375,000        212,813   
Suncoke Energy Partners LP/Suncoke Energy Partners Finance Corp., 7.375%, 2/01/20 (n)      585,000        331,988   
Suncoke Energy, Inc., 7.625%, 8/01/19      130,000        123,825   
TMS International Corp., 7.625%, 10/15/21 (n)      850,000        656,625   

 

12


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Metals & Mining - continued                 
Xstrata Finance (Canada) Ltd., 5.25%, 6/13/17    EUR 300,000      $ 321,611   
    

 

 

 
             $ 10,833,996   
Midstream - 4.0%                 
AmeriGas Finance LLC, 6.75%, 5/20/20    $ 1,550,000      $ 1,534,500   
APT Pipelines Ltd., 5%, 3/23/35 (n)      542,000        497,196   
Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/22 (n)      1,060,000        792,350   
Crestwood Midstream Partners LP, 6%, 12/15/20      625,000        396,094   
Crestwood Midstream Partners LP, 6.125%, 3/01/22      565,000        340,413   
Dominion Gas Holdings LLC, 2.8%, 11/15/20      415,000        421,852   
Energy Transfer Equity LP, 7.5%, 10/15/20      1,815,000        1,597,200   
Energy Transfer Partners LP, 3.6%, 2/01/23      591,000        480,565   
Energy Transfer Partners LP, 5.15%, 3/15/45      541,000        370,558   
Enterprise Products Operating LLC, 3.9%, 2/15/24      287,000        266,670   
Enterprise Products Operating LLC, 4.85%, 3/15/44      148,000        121,650   
Ferrellgas LP/Ferrellgas Finance Corp., 6.5%, 5/01/21      845,000        666,494   
Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, 1/15/22      1,180,000        929,250   
Kinder Morgan (Delaware), Inc., 7.75%, 1/15/32      2,394,000        2,247,602   
Kinder Morgan (Delaware), Inc., 5.55%, 6/01/45      76,000        59,484   
Kinder Morgan Energy Partners LP, 4.15%, 2/01/24      341,000        290,525   
Kinder Morgan Energy Partners LP, 5.4%, 9/01/44      281,000        210,932   
Kinder Morgan, Inc., 2.25%, 3/16/27    EUR 275,000        226,311   
MPLX LP, 5.5%, 2/15/23 (n)    $ 810,000        673,126   
MPLX LP, 4.5%, 7/15/23 (n)      761,000        595,916   
Pembina Pipeline Corp., 4.81%, 3/25/44    CAD 491,000        310,344   
Sabine Pass Liquefaction LLC, 5.625%, 2/01/21    $ 1,185,000        1,084,275   
Sabine Pass Liquefaction LLC, 5.625%, 4/15/23      1,285,000        1,127,588   
Sabine Pass Liquefaction LLC, 5.75%, 5/15/24      545,000        478,238   
Sabine Pass Liquefaction LLC, 5.625%, 3/01/25      1,209,000        1,039,740   
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.5%, 7/01/21      580,000        423,400   
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.5%, 8/15/22      495,000        311,850   
Targa Resources Partners LP/Targa Resources Finance Corp., 5%, 1/15/18      325,000        303,469   
Targa Resources Partners LP/Targa Resources Finance Corp., 4.125%, 11/15/19      775,000        651,000   
Targa Resources Partners LP/Targa Resources Finance Corp., 5.25%, 5/01/23      260,000        201,500   
Williams Cos., Inc., 3.7%, 1/15/23      600,000        391,827   
Williams Partners LP, 4.875%, 3/15/24      240,000        179,953   
    

 

 

 
             $ 19,221,872   
Mortgage-Backed - 5.6%                 
Fannie Mae, 4%, 9/01/40 - 7/01/43    $ 702,120      $ 752,144   
Fannie Mae, 5.5%, 1/01/37 - 8/01/37      1,929,893        2,178,417   
Fannie Mae, 4%, 11/01/41 - 2/01/45      2,949,492        3,156,402   
Fannie Mae, 3.5%, 3/01/45      1,346,586        1,411,362   
Fannie Mae, FRN, 0.464%, 5/25/18      6,016,948        5,974,375   
Freddie Mac, 4%, 4/01/44      259,587        277,407   
Freddie Mac, 3.5%, 9/01/45      5,932,854        6,206,751   
Ginnie Mae, 3.5%, 12/20/45      6,475,001        6,840,246   
    

 

 

 
             $ 26,797,104   
Natural Gas - Distribution - 0.1%                 
GNL Quintero S.A., 4.634%, 7/31/29 (n)    $ 377,000      $ 358,188   
Network & Telecom - 1.8%                 
British Telecom PLC, 5.75%, 12/07/28    GBP 300,000      $ 519,012   
Centurylink, Inc., 6.45%, 6/15/21    $ 970,000        945,149   
Centurylink, Inc., 7.65%, 3/15/42      890,000        667,500   

 

13


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Network & Telecom - continued                 
Columbus International, Inc., 7.375%, 3/30/21 (n)    $ 200,000      $ 200,500   
Frontier Communications Corp., 8.125%, 10/01/18      245,000        250,206   
Frontier Communications Corp., 6.25%, 9/15/21      305,000        256,963   
Frontier Communications Corp., 7.125%, 1/15/23      410,000        341,325   
Frontier Communications Corp., 11%, 9/15/25 (n)      840,000        809,550   
Frontier Communications Corp., 9%, 8/15/31      530,000        421,350   
OTE PLC, 3.5%, 7/09/20    EUR 500,000        501,785   
Telecom Italia Capital, 6%, 9/30/34    $ 320,000        286,400   
Telecom Italia Finance S.A., 7.75%, 1/24/33    EUR 170,000        237,244   
Telecom Italia S.p.A., 5.375%, 1/29/19    EUR 400,000        480,647   
Telecom Italia S.p.A., 5.303%, 5/30/24 (n)    $ 900,000        877,500   
Verizon Communications, Inc., 6.4%, 9/15/33      1,000,000        1,129,938   
Verizon Communications, Inc., 6.55%, 9/15/43      478,000        558,044   
    

 

 

 
             $ 8,483,113   
Oil Services - 0.5%                 
Bristow Group, Inc., 6.25%, 10/15/22    $ 1,620,000      $ 1,113,750   
Odebrecht Offshore Drilling Finance Ltd., 6.75%, 10/01/22 (n)      1,381,745        297,075   
Pacific Drilling S.A., 5.375%, 6/01/20 (n)      885,000        212,400   
QGOG Constellation S.A., 6.25%, 11/09/19 (n)      438,000        166,440   
Shale-Inland Holdings LLC/Finance Co., 8.75%, 11/15/19 (n)      605,000        378,125   
    

 

 

 
             $ 2,167,790   
Oils - 0.4%                 
CITGO Holding, Inc., 10.75%, 2/15/20 (n)    $ 630,000      $ 598,500   
CITGO Petroleum Corp., 6.25%, 8/15/22 (n)      880,000        842,600   
Valero Energy Corp., 4.9%, 3/15/45      440,000        357,493   
    

 

 

 
             $ 1,798,593   
Other Banks & Diversified Financials - 2.3%                 
Banco Inbursa S.A. Institucion de Banca Multiple Grupo Financiero Inbursa, 4.125%, 6/06/24 (n)    $ 583,000      $ 545,105   
Banco Popolare Societa Cooperativa, 3.5%, 3/14/19    EUR 500,000        534,860   
Bancolombia S.A., 5.95%, 6/03/21    $ 1,094,000        1,133,329   
Bankia S.A., 3.5%, 1/17/19    EUR 400,000        451,173   
Banque Federative du Credit Mutuel S.A., 3%, 5/21/24    EUR 300,000        340,891   
BBVA Banco Continental S.A., 5.25% to 9/22/24, FRN to 9/22/29 (n)    $ 104,000        99,710   
BBVA Bancomer S.A. de C.V., 6.5%, 3/10/21 (n)      1,207,000        1,297,308   
BBVA Bancomer S.A. de C.V., 6.75%, 9/30/22 (n)      424,000        456,436   
BBVA Continental, 5.75%, 1/18/17 (n)      518,000        532,245   
BPCE S.A., 4.5%, 3/15/25 (n)      302,000        288,216   
CaixaBank S.A., 5% to 9/04/18, FRN to 11/14/23    EUR 400,000        442,808   
Discover Bank, 7%, 4/15/20    $ 249,000        285,191   
Discover Bank, 4.25%, 3/13/26      312,000        313,710   
Groupe BPCE S.A., 12.5% to 9/30/19, FRN to 8/29/49 (n)      2,583,000        3,276,096   
Industrial Senior Trust Co., 5.5%, 11/01/22 (n)      220,000        203,500   
Intesa Sanpaolo S.p.A., 5.25%, 1/28/22    GBP 250,000        393,662   
Intesa Sanpaolo S.p.A., 5.71%, 1/15/26 (z)    $ 430,000        422,481   
    

 

 

 
             $ 11,016,721   
Pharmaceuticals - 2.9%                 
AbbVie, Inc., 2.5%, 5/14/20    $ 607,000      $ 602,485   
Actavis Funding SCS, 3.8%, 3/15/25      313,000        317,576   
Actavis Funding SCS, 4.85%, 6/15/44      102,000        102,480   
Allergan PLC, 1.875%, 10/01/17      700,000        699,871   
Bayer AG, 3.00% to 7/01/20, FRN to 7/01/75    EUR 360,000        391,773   
Biogen, Inc., 5.2%, 9/15/45    $ 400,000        405,176   

 

14


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Pharmaceuticals - continued                 
Capsugel S.A., 7%, 5/15/19 (n)(p)    $ 310,000      $ 303,025   
Celgene Corp., 2.875%, 8/15/20      600,000        604,897   
Endo Finance LLC/Endo Finco, Inc., 6%, 7/15/23 (n)      340,000        341,700   
Endo Finance LLC/Endo Finco, Inc., 7.75%, 1/15/22 (n)      1,440,000        1,503,000   
Endo Finance LLC/Endo Finco, Inc., 6%, 2/01/25 (n)      275,000        271,596   
Forest Laboratories, Inc., 4.375%, 2/01/19 (n)      618,000        651,793   
Gilead Sciences, Inc., 2.35%, 2/01/20      67,000        67,625   
Gilead Sciences, Inc., 3.7%, 4/01/24      545,000        565,920   
Gilead Sciences, Inc., 4.75%, 3/01/46      292,000        297,878   
Mallinckrodt International Finance S.A., 5.75%, 8/01/22 (n)      690,000        658,950   
Mallinckrodt International Finance S.A., 5.5%, 4/15/25 (n)      275,000        244,750   
Mylan, Inc., 2.6%, 6/24/18      1,000,000        988,819   
Valeant Pharmaceuticals International, Inc., 7%, 10/01/20 (n)      1,725,000        1,699,125   
Valeant Pharmaceuticals International, Inc., 7.25%, 7/15/22 (n)      1,003,000        977,925   
Valeant Pharmaceuticals International, Inc., 5.5%, 3/01/23 (n)      245,000        216,213   
Vantage Point Imaging, 7.5%, 7/15/21 (n)      525,000        520,734   
VRX Escrow Corp., 5.875%, 5/15/23 (n)      1,455,000        1,302,225   
    

 

 

 
             $ 13,735,536   
Precious Metals & Minerals - 0.4%                 
Aurico Gold, Inc., 7.75%, 4/01/20 (n)    $ 1,025,000      $ 853,313   
Eldorado Gold Corp., 6.125%, 12/15/20 (n)      1,540,000        1,289,750   
    

 

 

 
             $ 2,143,063   
Printing & Publishing - 0.8%                 
American Media, Inc., 13.5%, 6/15/18 (z)    $ 32,653      $ 32,204   
Nielsen Finance LLC, 5%, 4/15/22 (n)      1,295,000        1,306,331   
Outdoor Americas Capital LLC/Outfront Media Capital Corp., 5.625%, 2/15/24      870,000        889,575   
TEGNA, Inc., 5.125%, 7/15/20      460,000        476,100   
TEGNA, Inc., 4.875%, 9/15/21 (n)      420,000        422,100   
TEGNA, Inc., 6.375%, 10/15/23      840,000        886,200   
    

 

 

 
             $ 4,012,510   
Railroad & Shipping - 0.1%                 
Canadian Pacific Railroad Co., 4.8%, 9/15/35    $ 500,000      $ 493,397   
Real Estate - Apartment - 0.2%                 
Vonovia Finance B.V., FRN, 4.625%, 4/08/74    EUR 400,000      $ 433,320   
Vonovia SE, 2.125%, 7/09/22    EUR 450,000        496,980   
    

 

 

 
             $ 930,300   
Real Estate - Healthcare - 0.5%                 
HCP, Inc., REIT, 3.4%, 2/01/25    $ 400,000      $ 376,284   
MPT Operating Partnership LP, REIT, 6.875%, 5/01/21      760,000        786,600   
MPT Operating Partnership LP, REIT, 6.375%, 2/15/22      1,255,000        1,273,825   
    

 

 

 
             $ 2,436,709   
Real Estate - Other - 0.6%                 
DuPont Fabros Technology LP, REIT, 5.875%, 9/15/21    $ 1,915,000      $ 1,972,450   
Felcor Lodging LP, REIT, 5.625%, 3/01/23      1,130,000        1,128,588   
    

 

 

 
             $ 3,101,038   
Real Estate - Retail - 0.4%                 
DDR Corp., REIT, 3.625%, 2/01/25    $ 692,000      $ 660,987   
Hammerson PLC, REIT, 2.75%, 9/26/19    EUR 300,000        347,108   
Simon Property Group, Inc., REIT, 10.35%, 4/01/19    $ 900,000        1,107,576   
    

 

 

 
             $ 2,115,671   

 

15


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Restaurants - 0.1%                 
McDonald’s Corp., 4.875%, 12/09/45    $ 480,000      $ 484,911   
YUM! Brands, Inc., 5.35%, 11/01/43      189,000        139,860   
    

 

 

 
             $ 624,771   
Retailers - 2.0%                 
Best Buy Co., Inc., 5.5%, 3/15/21    $ 1,175,000      $ 1,186,750   
Bon Ton Stores, Inc., 8%, 6/15/21      190,000        73,150   
Dollar General Corp., 4.125%, 7/15/17      831,000        858,231   
DriveTime Automotive Group, Inc./DT Acceptance Corp., 8%, 6/01/21 (n)      630,000        562,275   
Family Tree Escrow LLC, 5.75%, 3/01/23 (n)      1,350,000        1,422,563   
Gap, Inc., 5.95%, 4/12/21      1,000,000        1,039,787   
Home Depot, Inc., 2.625%, 6/01/22      585,000        591,593   
Home Depot, Inc., 4.875%, 2/15/44      378,000        413,031   
L Brands, Inc., 6.875%, 11/01/35 (n)      152,000        157,130   
Marks & Spencer Group PLC, 4.75%, 6/12/25    GBP 300,000        455,384   
Neiman Marcus Group Ltd., 8%, 10/15/21 (n)    $ 1,120,000        840,000   
Rite Aid Corp., 9.25%, 3/15/20      320,000        337,200   
Rite Aid Corp., 6.75%, 6/15/21      265,000        280,238   
Rite Aid Corp., 6.125%, 4/01/23 (n)      700,000        738,500   
S.A.C.I. Falabella, 4.375%, 1/27/25 (n)      389,000        382,436   
Sally Beauty Holdings, Inc., 5.625%, 12/01/25      310,000        320,075   
Wesfarmers Ltd., 1.874%, 3/20/18 (n)      156,000        155,496   
    

 

 

 
             $ 9,813,839   
Specialty Chemicals - 0.7%                 
Chemtura Corp., 5.75%, 7/15/21    $ 1,430,000      $ 1,419,275   
Ecolab, Inc., 2.625%, 7/08/25    EUR 175,000        202,798   
Mexichem S.A.B. de C.V., 5.875%, 9/17/44 (n)    $ 540,000        438,750   
Univar USA, Inc., 6.75%, 7/15/23 (n)      1,475,000        1,305,375   
    

 

 

 
             $ 3,366,198   
Specialty Stores - 0.7%                 
Argos Merger Sub, Inc., 7.125%, 3/15/23 (n)    $ 1,300,000      $ 1,309,750   
Group 1 Automotive, Inc., 5%, 6/01/22      1,150,000        1,093,938   
Michaels Stores, Inc., 5.875%, 12/15/20 (n)      820,000        844,600   
    

 

 

 
             $ 3,248,288   
Supermarkets - 0.2%                 
Casino Guichard Perrachon S.A., 4.726%, 5/26/21    EUR 200,000      $ 217,257   
Loblaw Cos. Ltd., 4.86%, 9/12/23    CAD 421,000        337,049   
William Morrison Supermarkets PLC, 3.5%, 7/27/26    GBP 150,000        190,749   
    

 

 

 
             $ 745,055   
Supranational - 0.2%                 
International Bank for Reconstruction and Development, 4.25%, 6/24/25    AUD 405,000      $ 314,039   
International Finance Corp., 3.25%, 7/22/19    AUD 585,000        424,935   
    

 

 

 
             $ 738,974   
Telecommunications - Wireless - 3.9%                 
America Movil S.A.B. de C.V., 4.75%, 6/28/22    EUR 525,000      $ 690,493   
American Tower Corp., REIT, 3.5%, 1/31/23    $ 743,000        725,489   
American Tower Corp., REIT, 4%, 6/01/25      514,000        508,548   
Crown Castle International Corp., 5.25%, 1/15/23      735,000        782,775   
Digicel Group Ltd., 8.25%, 9/30/20 (n)      815,000        659,233   
Digicel Group Ltd., 6%, 4/15/21 (n)      1,279,000        1,114,329   
Digicel Group Ltd., 7.125%, 4/01/22 (n)      756,000        563,598   

 

16


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Telecommunications - Wireless - continued                 
Digicel Group Ltd., 6.75%, 3/01/23 (n)    $ 1,138,000      $ 978,680   
Digicel Group Ltd., 6.75%, 3/01/23      253,000        217,580   
Millicom International Cellular S.A., 4.75%, 5/22/20 (n)      446,000        389,001   
Millicom International Cellular S.A., 6.625%, 10/15/21 (n)      412,000        366,680   
MTS International Funding Ltd., 5%, 5/30/23 (n)      201,000        185,933   
SBA Tower Trust, 2.898%, 10/15/44 (n)      439,000        440,135   
Sprint Capital Corp., 6.875%, 11/15/28      1,210,000        797,088   
Sprint Corp., 7.875%, 9/15/23      1,985,000        1,414,313   
Sprint Corp., 7.125%, 6/15/24      1,230,000        830,250   
Sprint Corp., 7%, 8/15/20      160,000        117,600   
Sprint Nextel Corp., 9%, 11/15/18 (n)      470,000        479,400   
Sprint Nextel Corp., 6%, 11/15/22      1,050,000        706,125   
T-Mobile USA, Inc., 6.125%, 1/15/22      145,000        147,538   
T-Mobile USA, Inc., 6.5%, 1/15/24      405,000        409,050   
T-Mobile USA, Inc., 6.464%, 4/28/19      395,000        407,344   
T-Mobile USA, Inc., 6.25%, 4/01/21      1,675,000        1,704,313   
T-Mobile USA, Inc., 6.633%, 4/28/21      540,000        558,225   
T-Mobile USA, Inc., 6.5%, 1/15/26      800,000        800,000   
VimpelCom Ltd., 5.95%, 2/13/23 (n)      255,000        237,150   
Wind Acquisition Finance S.A., 4%, 7/15/20 (n)    EUR 300,000        317,678   
Wind Acquisition Finance S.A., 4.75%, 7/15/20 (n)    $ 795,000        781,088   
Wind Acquisition Finance S.A., 7.375%, 4/23/21 (n)      1,635,000        1,554,264   
    

 

 

 
             $ 18,883,900   
Telephone Services - 0.7%                 
B Communications Ltd., 7.375%, 2/15/21 (n)    $ 1,459,000      $ 1,581,702   
Level 3 Financing, Inc., 5.375%, 1/15/24 (n)      390,000        393,900   
Level 3 Financing, Inc., 5.375%, 5/01/25      1,170,000        1,177,313   
TELUS Corp., 5.05%, 7/23/20    CAD 425,000        337,397   
    

 

 

 
             $ 3,490,312   
Tobacco - 0.6%                 
Imperial Tobacco Finance PLC, 4.25%, 7/21/25 (n)    $ 742,000      $ 761,461   
Philip Morris International, Inc., 4.875%, 11/15/43      356,000        379,821   
Reynolds American, Inc., 6.75%, 6/15/17      816,000        868,049   
Reynolds American, Inc., 8.125%, 6/23/19      257,000        304,596   
Reynolds American, Inc., 3.25%, 6/12/20      128,000        131,316   
Reynolds American, Inc., 4%, 6/12/22      228,000        241,232   
Reynolds American, Inc., 4.45%, 6/12/25      169,000        179,275   
Reynolds American, Inc., 5.7%, 8/15/35      202,000        221,290   
    

 

 

 
             $ 3,087,040   
Transportation - Services - 1.2%                 
Heathrow Funding Ltd., 4.625%, 10/31/48    GBP 200,000      $ 311,710   
HIT Finance B.V., 4.875%, 10/27/21    EUR 300,000        389,025   
Jack Cooper Holdings Corp., 10.25%, 6/01/20 (n)    $ 995,000        786,050   
Navios Maritime Acquisition Corp., 8.125%, 11/15/21 (n)      946,000        752,070   
Navios Maritime Holding, Inc., 7.375%, 1/15/22 (n)      1,270,000        457,200   
SPL Logistics Escrow LLC, 8.875%, 8/01/20 (n)      795,000        723,450   
Stagecoach Group PLC, 4%, 9/29/25    GBP 450,000        650,480   
Stena AB, 7%, 2/01/24 (n)    $ 1,415,000        1,075,400   
Syncreon Group BV/Syncre, 8.625%, 11/01/21 (n)      585,000        453,375   
Topaz Marine S.A., 8.625%, 11/01/18 (n)      208,000        172,640   
Ultrapetrol (Bahamas) Ltd., 8.875%, 6/15/21 (a)(d)      246,000        41,820   
    

 

 

 
             $ 5,813,220   

 

17


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
U.S. Government Agencies and Equivalents - 4.5%                 
Fannie Mae, 1.125%, 4/27/17    $ 10,877,000      $ 10,929,634   
Freddie Mac, 0.875%, 2/22/17      10,902,000        10,919,410   
    

 

 

 
             $ 21,849,044   
U.S. Treasury Obligations - 2.7%                 
U.S. Treasury Bonds, 3.125%, 11/15/41 (f)    $ 12,069,000      $ 13,090,617   
Utilities - Electric Power - 2.9%                 
AES Gener S.A., 5%, 7/14/25 (n)    $ 674,000      $ 638,963   
Calpine Corp., 5.5%, 2/01/24      920,000        805,000   
CMS Energy Corp., 5.05%, 3/15/22      500,000        555,029   
Covanta Holding Corp., 7.25%, 12/01/20      1,815,000        1,836,553   
Covanta Holding Corp., 6.375%, 10/01/22      320,000        301,600   
Covanta Holding Corp., 5.875%, 3/01/24      340,000        296,650   
E.CL S.A., 4.5%, 1/29/25 (n)      609,000        596,556   
E.ON International Finance B.V., 6.375%, 6/07/32    GBP 200,000        337,940   
EDP Finance B.V., 5.25%, 1/14/21 (n)    $ 200,000        205,306   
EDP Finance B.V., 4.125%, 1/20/21    EUR 350,000        405,364   
Empresa de Energia de Bogota S.A., 6.125%, 11/10/21 (n)    $ 303,000        299,061   
Empresa Electrica Angamos S.A., 4.875%, 5/25/29 (n)      245,000        212,105   
Enel S.p.A., 6.25%, 6/20/19    GBP 250,000        403,418   
Enel S.p.A., 8.75% to 9/24/23, FRN to 9/24/73 (n)    $ 500,000        550,000   
Enel S.p.A., 6.625% to 9/15/2021, FRN to 9/15/76    GBP 230,000        329,333   
Greenko Dutch B.V., 8%, 8/01/19 (n)    $ 410,000        429,363   
NRG Energy, Inc., 8.25%, 9/01/20      1,860,000        1,687,950   
NRG Energy, Inc., 6.25%, 7/15/22      130,000        107,250   
NRG Energy, Inc., 6.625%, 3/15/23      1,530,000        1,266,075   
PPL Capital Funding, Inc., 5%, 3/15/44      270,000        280,508   
PPL WEM Holdings PLC, 5.375%, 5/01/21 (n)      183,000        202,035   
Southern Electric Power Co. Ltd., 4.625%, 2/20/37    GBP 200,000        317,792   
TerraForm Power Operating Co., 5.875%, 2/01/23 (n)    $ 744,000        593,340   
Transelec S.A., 4.25%, 1/14/25 (n)      535,000        522,414   
Waterford 3 Funding Corp., 8.09%, 1/02/17      654,102        653,592   
    

 

 

 
             $ 13,833,197   
Utilities - Gas - 0.1%                 
Transport de Gas Peru, 4.25%, 4/30/28 (n)    $ 387,000      $ 357,975   
Total Bonds            $ 545,455,033   
Floating Rate Loans (g)(r) - 1.9%                 
Aerospace - 0.1%                 
TransDigm, Inc., Term Loan C, 3.75%, 2/28/20    $ 584,532      $ 570,162   
Building - 0.1%                 
ABC Supply Co., Inc., Term Loan, 3.5%, 4/16/20    $ 694,298      $ 686,314   
Cable TV - 0.1%                 
Cequel Communications LLC, Term Loan B, 3.5%, 2/14/19    $ 454,809      $ 445,469   
Conglomerates - 0.1%                 
Entegris, Inc., Term Loan B, 3.5%, 4/30/21    $ 552,088      $ 547,257   
Consumer Services - 0.1%                 
Realogy Corp., Term Loan B, 3.75%, 3/05/20    $ 582,144      $ 577,293   

 

18


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Floating Rate Loans (g)(r) - continued                 
Containers - 0.1%                 
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21    $ 414,191      $ 408,841   
Electronics - 0.2%                 
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21    $ 810,129      $ 805,741   
Energy - Independent - 0.1%                 
MEG Energy Corp., Term Loan, 3.75%, 3/31/20    $ 521,023      $ 404,054   
Entertainment - 0.1%                 
Cedar Fair LP, Term Loan B, 3.25%, 3/06/20    $ 362,333      $ 363,012   
Gaming & Lodging - 0.1%                 
Hilton Worldwide Finance LLC, Term Loan B2, 3.5%, 10/25/20    $ 692,355      $ 690,710   
Medical & Health Technology & Services - 0.2%                 
DaVita HealthCare Partners, Inc., Term Loan B, 3.5%, 6/24/21    $ 702,857      $ 700,221   
Printing & Publishing - 0.1%                 
CBS Outdoor Americas Capital LLC, Term Loan B, 3%, 1/31/21    $ 538,639      $ 531,232   
Retailers - 0.1%                 
Rite Aid Corp., Second Lien Term Loan, 4.87%, 6/21/21    $ 328,597      $ 327,879   
Transportation - Services - 0.2%                 
Commercial Barge Line Co., First Lien Term Loan, 9.75%, 11/12/20    $ 1,237,162      $ 1,082,517   
Utilities - Electric Power - 0.2%                 
Calpine Construction Finance Co. LP, Term Loan B1, 3%, 5/03/20    $ 915,272      $ 858,449   
Total Floating Rate Loans            $ 8,999,151   
Common Stocks - 0.6%                 
Automotive - 0.0%                 
Accuride Corp. (a)      20,680      $ 17,392   
Special Products & Services - 0.6%                 
iShares iBoxx $ High Yield Corporate Bond ETF      40,200      $ 3,187,056   
Total Common Stocks            $ 3,204,448   
Money Market Funds - 2.5%                 
MFS Institutional Money Market Portfolio, 0.28%, at Net Asset Value (v)      11,910,142      $ 11,910,142   
Total Investments            $ 569,568,774   
Other Assets, Less Liabilities - (18.6)%              (89,431,221
Net Assets - 100.0%            $ 480,137,553   

 

(a) Non-income producing security.
(d) In default.
(f) All or a portion of the security has been segregated as collateral for open futures contracts.
(g) The rate shown represents a weighted average coupon rate on settled positions at period end, unless otherwise indicated.
(i) Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security.
(n) Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $181,072,648, representing 37.7% of net assets.

 

19


Portfolio of Investments (unaudited) – continued

 

(p) Payment-in-kind security.
(r) Remaining maturities of floating rate loans may be less than stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. These loans may be subject to restrictions on resale. Floating rate loans generally have rates of interest which are determined periodically by reference to a base lending rate plus a premium.
(v) Underlying affiliated fund that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end.
(z) Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities:

 

Restricted Securities    Acquisition
Date
    
Cost
     Value  
American Media, Inc., 13.5%, 6/15/18      12/22/10         $32,874         $32,204   
Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.832%, 12/28/40      3/01/06         2,072,123         1,499,460   
Chesapeake Funding LLC, “A”, FRN, 0.872%, 5/07/24      1/29/15         889,921         889,720   
Crown European Holdings S.A., 3.375%, 5/15/25      4/28/15         713,278         650,454   
Dryden Senior Loan Fund, 2014-31A, “C”, CLO, FRN, 3.47%, 4/18/26      9/26/14         1,638,438         1,638,438   
Falcon Franchise Loan LLC, FRN, 44.017%, 1/05/25      1/29/03         9,949         28,685   
First Union National Bank Commercial Mortgage Trust, FRN, 1.734%, 1/12/43      12/11/03         7         792   
Intesa Sanpaolo S.p.A., 5.71%, 1/15/26      1/08/16         430,000         422,481   
Morgan Stanley Capital I, Inc., FRN, 1.404%, 4/28/39      7/20/04         37,551         13,815   
Petroleos Mexicanos, 6.375%, 2/04/21      1/28/16         10,000         10,135   
Petroleos Mexicanos, 6.875%, 8/04/26      1/28/16         204,621         208,587   
Republic of Indonesia, 2.875%, 7/08/21      7/02/14         509,384         402,890   
Smurfit Kappa Acquisitions, 2.75%, 2/01/25      2/11/15         592,988         533,187   
Total Restricted Securities            $6,330,848   
% of Net assets            1.3%   

The following abbreviations are used in this report and are defined:

 

CDO   Collateralized Debt Obligation
CLO   Collateralized Loan Obligation
ETF   Exchange-Traded Fund
FRN   Floating Rate Note. Interest rate resets periodically and the current rate may not be the rate reported at period end.
PLC   Public Limited Company
REIT   Real Estate Investment Trust

Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below:

 

AUD   Australian Dollar
CAD   Canadian Dollar
CHF   Swiss Franc
DKK   Danish Krone
EUR   Euro
GBP   British Pound
JPY   Japanese Yen
KRW   Korean Won
MXN   Mexican Peso
NOK   Norwegian Krone
NZD   New Zealand Dollar
SEK   Swedish Krona
SGD   Singapore Dollar
ZAR   South African Rand

 

20


Portfolio of Investments (unaudited) – continued

 

Derivative Contracts at 1/31/16

Forward Foreign Currency Exchange Contracts at 1/31/16

 

Type    Currency      Counterparty   Contracts to
Deliver/Receive
 

Settlement

Date Range

  In Exchange
For
   

Contracts

at Value

   

Net Unrealized

Appreciation

(Depreciation)

 
Asset Derivatives                
SELL      CHF      

UBS AG

  110,919   4/15/16     $111,519        $108,620        $2,899   
BUY      EUR      

Brown Brothers Harriman

  419,096   4/15/16     454,303        454,908        605   
BUY      EUR      

Citibank N.A.

  110,000   4/15/16     119,060        119,400        340   
SELL      EUR      

Deutsche Bank AG

  9,002,755   3/17/16     9,949,394        9,763,644        185,750   
SELL      EUR      

Goldman Sachs International

  15,982,959   4/15/16     17,359,667        17,348,729        10,938   
SELL      GBP      

BNP Paribas S.A.

  5,372,241   4/15/16     7,758,940        7,656,155        102,785   
SELL      JPY      

Goldman Sachs International

  11,852,733   4/15/16     100,000        98,092        1,908   
SELL      JPY      

UBS AG

  522,109   4/15/16     4,449        4,321        128   
BUY      KRW      

JPMorgan Chase Bank N.A.

  112,535,000   2/05/16     93,123        93,857        734   
SELL      MXN      

JPMorgan Chase Bank N.A.

  32,899,000   4/15/16     1,831,497        1,804,749        26,748   
SELL      NZD      

Westpac Banking Corp.

  73,000   4/15/16     47,405        47,071        334   
BUY      SGD      

Deutsche Bank AG

  102,000   4/15/16     71,001        71,485        484   
BUY      ZAR      

UBS AG

  1,099,000   4/15/16     64,824        68,223        3,399   
               

 

 

 
                  $337,052   
               

 

 

 
Liability Derivatives                
SELL      AUD      

Westpac Banking Corp.

  1,224,733   4/15/16     $851,968        $863,832        $(11,864
SELL      CAD      

Merrill Lynch International

  3,062,244   4/15/16     2,153,870        2,186,020        (32,150
BUY      DKK      

Credit Suisse Group

  11,054   4/15/16     1,608        1,608        0   
BUY      EUR      

Goldman Sachs International

  102,146   4/15/16     110,937        110,874        (63
BUY      GBP      

Goldman Sachs International

  99,000   4/15/16     141,477        141,088        (389
SELL      NOK      

Goldman Sachs International

  6,710   4/15/16     756        772        (16
BUY      SEK      

Goldman Sachs International

  272   4/15/16     32        32        0   
               

 

 

 
                  $(44,482
               

 

 

 

Futures Contracts at 1/31/16

 

Description    Currency      Contracts      Value    Expiration Date   

Unrealized

Appreciation

(Depreciation)

 
Asset Derivatives               
Interest Rate Futures               
Euro Bond 10 yr (Long)      EUR         10       $1,769,571    March - 2016      $65,845   
              

 

 

 
Liability Derivatives               
Interest Rate Futures               
U.S. Treasury Note 10 yr (Short)      USD         462       $59,865,094    March - 2016      $(1,446,402
U.S. Treasury Bond 30 yr (Short)      USD         5       805,156    March - 2016      (36,836
              

 

 

 
                 $(1,483,238
              

 

 

 

At January 31, 2016, the fund had cash collateral of $50,000 and other liquid securities with an aggregate value of $812,509 to cover any commitments for certain derivative contracts.

See attached supplemental information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.

 

21


Supplemental Information

1/31/16 (unaudited)

The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

(1) Investment Valuations

Debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Equity securities, including restricted equity securities, are generally valued at the last sale or official closing price on their primary market or exchange as provided by a third-party pricing service. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation on their primary market or exchange as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party pricing service. Forward foreign currency exchange contracts are generally valued at the mean of bid and asked prices for the time period interpolated from rates provided by a third-party pricing service for proximate time periods. Open-end investment companies are generally valued at net asset value per share. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. Values obtained from third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.

The Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments (including any fair valuation) to the adviser pursuant to valuation policies and procedures approved by the Board. If the adviser determines that reliable market quotations are not readily available, investments are valued at fair value as determined in good faith by the adviser in accordance with such procedures under the oversight of the Board of Trustees. Under the fund’s valuation policies and procedures, market quotations are not considered to be readily available for most types of debt instruments and floating rate loans and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services. In addition, investments may be valued at fair value if the adviser determines that an investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund’s net asset value, or after the halting of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. Events that occur on a frequent basis after foreign markets close (such as developments in foreign markets and significant movements in the U.S. markets) and prior to the determination of the fund’s net asset value may be deemed to have a material effect on the value of securities traded in foreign markets. Accordingly, the fund’s foreign equity securities may often be valued at fair value. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.

Various inputs are used in determining the value of the fund’s assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. Other

 

22


Supplemental Information (unaudited) – continued

 

financial instruments are derivative instruments not reflected in total investments, such as futures contracts and forward foreign currency exchange contracts. The following is a summary of the levels used as of January 31, 2016 in valuing the fund’s assets or liabilities:

 

Investments at Value    Level 1      Level 2      Level 3      Total  
Equity Securities      $3,204,448         $—         $—         $3,204,448   
U.S. Treasury Bonds & U.S. Government Agency & Equivalents              34,939,661                 34,939,661   
Non-U.S. Sovereign Debt              59,825,062                 59,825,062   
U.S. Corporate Bonds              297,043,198                 297,043,198   
Residential Mortgage-Backed Securities              26,797,103                 26,797,103   
Commercial Mortgage-Backed Securities              15,717,236                 15,717,236   
Asset-Backed Securities (including CDOs)              6,968,708                 6,968,708   
Foreign Bonds              104,164,065                 104,164,065   
Floating Rate Loans              8,999,151                 8,999,151   
Mutual Funds      11,910,142                         11,910,142   
Total Investments      $15,114,590         $554,454,184         $—         $569,568,774   
Other Financial Instruments                            
Futures Contracts      $(1,417,393      $—         $—         $(1,417,393
Forward Foreign Currency Exchange Contracts              292,570                 292,570   

For further information regarding security characteristics, see the Portfolio of Investments.

The following is a reconciliation of level 3 assets for which significant unobservable inputs were used to determine fair value. The fund’s policy is to recognize transfers between the levels as of the end of the period. The table presents the activity of level 3 securities held at the beginning and the end of the period.

 

     Foreign Bonds  
Balance as of 10/31/15      $270,914   

Accrued discounts/premiums

     6,110   

Change in unrealized appreciation (depreciation)

     (160,524

Transfers out of level 3

     (116,500
Balance as of 1/31/16      $—   

(2) Portfolio Securities

The cost and unrealized appreciation and depreciation in the value of the investments owned by the fund, as computed on a federal income tax basis, are as follows:

 

Aggregate cost      $621,100,858   
Gross unrealized appreciation      8,407,716   
Gross unrealized depreciation      (59,939,800
Net unrealized appreciation (depreciation)      $(51,532,084

The aggregate cost above includes prior fiscal year end tax adjustments, if applicable.

(3) Transactions in Underlying Affiliated Funds – Affiliated Issuers

An affiliated issuer may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the fund assumes the following to be an affiliated issuer:

 

Underlying Affiliated Fund    Beginning
Shares/Par
Amount
     Acquisitions
Shares/Par
Amount
     Dispositions
Shares/Par
Amount
     Ending
Shares/Par
Amount
 
MFS Institutional Money Market Portfolio      24,750,988         22,682,317         (35,523,163      11,910,142   
Underlying Affiliated Fund    Realized
Gain (Loss)
     Capital Gain
Distributions
     Dividend
Income
     Ending
Value
 
MFS Institutional Money Market Portfolio      $—         $—         $9,843         $11,910,142   

 

23


Supplemental Information (unaudited) – continued

 

(4) Issuer Country Weightings

Issuer country weighting percentages of portfolio holdings based on net assets, as of January 31, 2016, are as follows:

 

United States     64.8%   
Mexico     3.7%   
United Kingdom     2.9%   
Canada     2.9%   
Germany     2.3%   
China     2.2%   
Indonesia     2.2%   
Luxembourg     1.8%   
France     1.5%   
Other Countries     15.7%   

The issuer country weighting percentages include both accrued interest amounts and the equivalent exposure from any derivative holdings, if applicable.

 

24


ITEM 2. CONTROLS AND PROCEDURES.

 

(a) Based upon their evaluation of the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as conducted within 90 days of the filing date of this Form N-Q, the registrant’s principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

 

(b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

ITEM 3. EXHIBITS.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto.


Notice

A copy of the Amended and Restated Declaration of Trust, as amended, of the Registrant is on file with the Secretary of State of The Commonwealth of Massachusetts and notice is hereby given that this instrument is executed on behalf of the Registrant by an officer of the Registrant as an officer and not individually and the obligations of or arising out of this instrument are not binding upon any of the Trustees or shareholders individually, but are binding only upon the assets and property of the respective constituent series of the Registrant.


SIGNATURES

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

Registrant: MFS MULTIMARKET INCOME TRUST

 

By (Signature and Title)*    ROBIN A. STELMACH
  Robin A. Stelmach, President

Date: March 17, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)*    ROBIN A. STELMACH
  Robin A. Stelmach, President (Principal Executive Officer)

Date: March 17, 2016

 

By (Signature and Title)*    DAVID L. DILORENZO
  David L. DiLorenzo, Treasurer (Principal Financial Officer and Accounting Officer)

Date: March 17, 2016

 

* Print name and title of each signing officer under his or her signature.