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

 

 

MFS® MULTIMARKET INCOME TRUST

 

---

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.