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)

Christopher R. Bohane

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, 2017

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ITEM 1.

SCHEDULE OF INVESTMENTS.

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QUARTERLY REPORT

January 31, 2017

 

 

MFS® MULTIMARKET INCOME TRUST

 

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PORTFOLIO OF INVESTMENTS

1/31/17 (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 - 116.1%
Aerospace - 0.6%
CPI International, Inc., 8.75%, 2/15/2018		$	1,115,000			$	1,128,890
KLX, Inc., 5.875%, 12/01/2022 (z)			250,000				261,875
Lockheed Martin Corp., 3.55%, 1/15/2026			406,000				410,099
TransDigm, Inc., 6%, 7/15/2022			245,000				246,838
TransDigm, Inc., 6.5%, 7/15/2024			700,000				700,875
Transdigm, Inc., 6.375%, 6/15/2026 (z)			155,000				152,675
						$	2,901,252
Airlines - 0.1%
Ryanair Ltd., 1.125%, 3/10/2023		EUR	325,000			$	349,355
Apparel Manufacturers - 0.1%
Christian Dior SE, 0.75%, 6/24/2021		EUR	300,000			$	325,253
Asset-Backed & Securitized - 4.2%
Banc of America Commercial Mortgage, Inc., FRN, 5.751%, 2/10/2051		$	587,228			$	593,907
Bayview Financial Revolving Mortgage Loan Trust, FRN, 2.356%, 12/28/2040 (z)			1,797,428				1,378,639
Chesapeake Funding II LLC, 2016-1A, “A2”, FRN, 1.917%, 3/15/2028 (n)			1,550,000				1,559,483
Citigroup Commercial Mortgage Trust, FRN, 5.714%, 12/10/2049			390,311				30,054
Citigroup/Deutsche Bank Commercial Mortgage Trust, FRN, 5.366%, 12/11/2049			955,365				954,667
Credit Suisse Commercial Mortgage Trust, “AM”, FRN, 5.669%, 6/15/2039			1,781,000				1,792,866
Crest Ltd., CDO, 7%, 1/28/2040 (a)(p)			3,194,915				426,074
Dryden Senior Loan Fund, 2013-26A, “A”, CLO, FRN, 2.123%, 7/15/2025 (n)			1,500,000				1,494,497
Dryden Senior Loan Fund, 2014-31A, “C”, CLO, FRN, 3.873%, 4/18/2026 (n)			1,750,000				1,750,187
Enterprise Fleet Financing LLC, 2014-1, “A2”, 0.87%, 9/20/2019 (n)			48,801				48,784
First Union National Bank Commercial Mortgage Trust, FRN, 2.477%, 1/12/2043 (i)(q)(z)			129,230				626
First Union-Lehman Brothers Bank of America, FRN, 1.095%, 11/18/2035 (i)			2,664,570				22,550
Greenwich Capital Commercial Funding Corp., 5.475%, 3/10/2039			265,555				265,417
John Deere Owner Trust , “A2”, 1.15%, 10/15/2018			1,238,915				1,239,098
JPMorgan Chase Commercial Mortgage Securities Corp., “A4”, FRN, 5.759%, 6/15/2049			1,273,006				1,277,776
JPMorgan Chase Commercial Mortgage Trust, 2007-LD11, “AM”, FRN, 5.759%, 6/15/2049			2,243,253				2,272,290
Lehman Brothers Commercial Conduit Mortgage Trust, FRN, 1.152%, 2/18/2030 (i)			279,829				3
Loomis, Sayles & Co., CLO, “A1”, FRN, 2.553%, 10/15/2027 (z)			2,500,000				2,493,924
Mercedes-Benz Auto Lease Trust, 2015-B, “A2B”, 1.288%, 1/16/2018			433,238				433,356
Morgan Stanley Capital I Trust, “AM”, FRN, 5.706%, 4/15/2049			1,674,000				1,648,488
Morgan Stanley Capital I, Inc., FRN, 1.481%, 4/28/2039 (i)(z)			1,449,811				10,091
Wachovia Bank Commercial Mortgage Trust, “A4”, FRN, 5.965%, 2/15/2051			572,316				575,160
						$	20,267,937
Automotive - 2.0%
Allison Transmission, Inc., 5%, 10/01/2024 (n)		$	1,315,000			$	1,324,863
Delphi Automotive PLC, 1.5%, 3/10/2025		EUR	250,000				264,184
Ferrari N.V., 1.5%, 3/16/2023		EUR	400,000				429,110
FGA Capital Ireland PLC, 2%, 10/23/2019		EUR	700,000				782,503
Gates Global LLC, 6%, 7/15/2022 (n)		$	670,000				660,788
General Motors Financial Co., Inc., 3.45%, 4/10/2022			486,000				484,376
General Motors Financial Co., Inc., 4.35%, 1/17/2027			195,000				193,326
Hyundai Capital America, 4%, 6/08/2017 (n)			256,000				258,128
IHO Verwaltungs GmbH, 4.75%, 9/15/2026 (n)			970,000				953,025
Jaguar Land Rover Automotive PLC, 3.875%, 3/01/2023		GBP	500,000				646,612
Lear Corp., 5.25%, 1/15/2025		$	721,000				765,053
Volkswagen International Finance N.V., 3.875% to 9/04/2018, FRN to 9/29/2049		EUR	400,000				444,538

 

1

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Automotive - continued
Volkswagen International Finance N.V., FRN, 2.5%, 12/29/2049		EUR	230,000			$	240,414
ZF North America Capital, Inc., 4.5%, 4/29/2022 (n)		$	1,335,000				1,370,044
ZF North America Capital, Inc., 4.75%, 4/29/2025 (n)			1,052,000				1,069,568
						$	9,886,532
Biotechnology - 0.1%
Life Technologies Corp., 6%, 3/01/2020		$	363,000			$	396,548
Broadcasting - 2.0%
CBS Radio, Inc., 7.25%, 11/01/2024 (n)		$	545,000			$	567,819
Clear Channel Worldwide Holdings, Inc., “A”, 6.5%, 11/15/2022			400,000				403,600
Clear Channel Worldwide Holdings, Inc., “B”, 6.5%, 11/15/2022			1,095,000				1,143,180
iHeartMedia, Inc., 9%, 3/01/2021			721,000				538,948
Liberty Media Corp. - Liberty Formula One, 8.5%, 7/15/2029			1,280,000				1,420,800
Liberty Media Corp. - Liberty Formula One, 8.25%, 2/01/2030			50,000				52,500
Match Group, Inc., 6.375%, 6/01/2024			710,000				761,475
Netflix, Inc., 5.375%, 2/01/2021			945,000				1,014,694
Netflix, Inc., 5.875%, 2/15/2025			435,000				471,975
Netflix, Inc., 4.375%, 11/15/2026 (n)			480,000				471,000
Nexstar Broadcasting, Inc., 6.875%, 11/15/2020			900,000				933,390
Omnicom Group, Inc., 3.65%, 11/01/2024			154,000				155,524
Omnicom Group, Inc., 3.6%, 4/15/2026			444,000				440,036
ProSiebenSat.1 Media AG, 2.625%, 4/15/2021		EUR	485,000				555,046
SES S.A., 4.625% to 1/02/2022, FRN to 12/29/2049		EUR	500,000				548,764
Time Warner, Inc., 3.8%, 2/15/2027		$	504,000				491,590
						$	9,970,341
Brokerage & Asset Managers - 0.1%
Intercontinental Exchange, Inc., 2.75%, 12/01/2020		$	274,000			$	278,727
Intercontinental Exchange, Inc., 3.75%, 12/01/2025			450,000				462,557
						$	741,284
Building - 2.5%
ABC Supply Co., Inc., 5.75%, 12/15/2023 (z)		$	475,000			$	494,000
Allegion PLC, 5.875%, 9/15/2023			473,000				503,745
Allegion U.S. Holding Co., Inc., 5.75%, 10/01/2021			1,295,000				1,350,038
Beacon Roofing Supply, Inc., 6.375%, 10/01/2023			835,000				895,538
Cimpor Financial Operations B.V., 5.75%, 7/17/2024 (n)			284,000				246,938
Elementia S.A. de C.V., 5.5%, 1/15/2025 (n)			210,000				202,650
Gibraltar Industries, Inc., 6.25%, 2/01/2021			1,150,000				1,188,094
HD Supply, Inc., 5.75%, 4/15/2024 (n)			640,000				673,600
HeidelbergCement AG, 2.25%, 3/30/2023		EUR	400,000				459,325
Masco Corp., 4.45%, 4/01/2025		$	170,000				174,743
Masco Corp., 4.375%, 4/01/2026			791,000				812,056
Mohawk Industries, Inc., 3.85%, 2/01/2023			653,000				666,228
Owens Corning, 4.2%, 12/15/2022			184,000				191,235
Owens Corning, 3.4%, 8/15/2026			372,000				355,986
PriSo Acquisition Corp., 9%, 5/15/2023 (n)			975,000				994,500
Standard Industries, Inc., 5.375%, 11/15/2024 (n)			1,050,000				1,082,813
Standard Industries, Inc., 6%, 10/15/2025 (n)			635,000				669,925
Summit Materials LLC/Summit Materials Finance Co., 6.125%, 7/15/2023			1,155,000				1,192,538
Union Andina de Cementos S.A.A., 5.875%, 10/30/2021 (n)			270,000				278,802
						$	12,432,754

 

2

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Business Services - 2.2%
Alliance Data Systems Corp., 5.875%, 11/01/2021 (n)		$	1,015,000			$	1,047,988
Cisco Systems, Inc., 2.2%, 2/28/2021			530,000				528,669
Equinix, Inc., 4.875%, 4/01/2020			855,000				878,513
Equinix, Inc., 5.375%, 1/01/2022			290,000				306,675
Equinix, Inc., 5.375%, 4/01/2023			1,065,000				1,114,341
Equinix, Inc., 5.75%, 1/01/2025			537,000				566,535
Fidelity National Information Services, Inc., 3.875%, 6/05/2024			664,000				677,460
Fidelity National Information Services, Inc., 5%, 10/15/2025			208,000				226,103
Fidelity National Information Services, Inc., 3%, 8/15/2026			504,000				474,285
Fidelity National Information Services, Inc., 4.5%, 8/15/2046			244,000				235,123
Iron Mountain, Inc., REIT, 6%, 10/01/2020 (n)			465,000				487,088
Iron Mountain, Inc., REIT, 6%, 8/15/2023			1,330,000				1,409,800
MSCI, Inc., 5.75%, 8/15/2025 (n)			595,000				630,331
Tencent Holdings Ltd., 3.375%, 3/05/2018 (n)			664,000				673,534
Tencent Holdings Ltd., 3.375%, 5/02/2019 (n)			965,000				986,681
Tencent Holdings Ltd., 3.8%, 2/11/2025 (n)			734,000				742,060
						$	10,985,186
Cable TV - 5.3%
Altice Financing S.A., 6.5%, 1/15/2022 (n)		$	1,477,000			$	1,539,773
Altice Financing S.A., 6.625%, 2/15/2023 (n)			1,525,000				1,597,438
Altice Finco S.A., 8.125%, 1/15/2024 (n)			719,000				763,938
Altice U.S. Finance I Corp., 5.5%, 5/15/2026 (n)			465,000				476,625
CCO Holdings LLC/CCO Holdings Capital Corp., 5.25%, 9/30/2022			500,000				517,610
CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023 (n)			1,040,000				1,079,000
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 1/15/2024			1,395,000				1,464,750
CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025 (n)			305,000				317,581
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 2/15/2026 (n)			505,000				535,142
Cequel Communications Holdings, 6.375%, 9/15/2020 (n)			725,000				744,938
Charter Communications Operating LLC, 6.384%, 10/23/2035			1,005,000				1,133,190
Comcast Corp., 2.75%, 3/01/2023			1,365,000				1,346,657
Comcast Corp., 4.65%, 7/15/2042			1,100,000				1,131,110
CSC Holdings LLC, 5.5%, 4/15/2027 (n)			870,000				883,050
DISH DBS Corp., 5%, 3/15/2023			1,010,000				993,588
DISH DBS Corp., 5.875%, 11/15/2024			1,105,000				1,117,431
Intelsat Jackson Holdings S.A., 7.25%, 4/01/2019			510,000				438,281
Intelsat Jackson Holdings S.A., 5.5%, 8/01/2023			645,000				451,500
Intelsat Jackson Holdings S.A., 8%, 2/15/2024 (n)			270,000				280,125
LGE Holdco VI B.V., 7.125%, 5/15/2024 (n)		EUR	680,000				835,911
Lynx II Corp., 6.375%, 4/15/2023 (n)		$	675,000				708,750
Shaw Communications, Inc., 5.65%, 10/01/2019		CAD	417,000				350,040
Sirius XM Radio, Inc., 4.625%, 5/15/2023 (n)		$	540,000				544,385
Sirius XM Radio, Inc., 6%, 7/15/2024 (n)			1,215,000				1,293,222
Sirius XM Radio, Inc., 5.375%, 4/15/2025 (n)			650,000				661,375
Sirius XM Radio, Inc., 5.375%, 7/15/2026 (n)			388,000				394,305
Sky PLC, 2.5%, 9/15/2026		EUR	400,000				458,977
Time Warner Cable, Inc., 5.75%, 6/02/2031		GBP	250,000				371,714
Time Warner Cable, Inc., 4.5%, 9/15/2042		$	210,000				188,664
Unitymedia Hessen, 5.5%, 1/15/2023 (n)			950,000				988,000
Unitymedia KabelBW GmbH, 6.125%, 1/15/2025 (n)			700,000				723,625
Virgin Media Secured Finance PLC, 5.25%, 1/15/2026 (n)			710,000				712,393
VTR Finance B.V., 6.875%, 1/15/2024 (n)			207,000				217,350
Ziggo Bond Finance B.V., 5.875%, 1/15/2025 (n)			450,000				453,094
						$	25,713,532

 

3

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Chemicals - 1.9%
Air Liquide Finance Co., 2.25%, 9/27/2023 (n)		$	493,000			$	471,487
Axalta Coating Systems Co., 4.875%, 8/15/2024 (n)			755,000				764,438
Chemours Co., 6.625%, 5/15/2023			745,000				741,275
Chemours Co., 7%, 5/15/2025			255,000				254,108
Consolidated Energy Finance S.A., 6.75%, 10/15/2019 (n)			784,000				785,960
GCP Applied Technologies Co., 9.5%, 2/01/2023 (n)			720,000				820,800
Huntsman International LLC, 5.125%, 4/15/2021		EUR	335,000				394,179
International Flavors & Fragrances, Inc., 1.75%, 3/14/2024		EUR	350,000				392,783
LANXESS AG, 4.5% to 6/06/2023, FRN to 12/06/2076		EUR	500,000				562,824
LyondellBasell Industries N.V., 5.75%, 4/15/2024		$	487,000				555,726
LyondellBasell Industries N.V., 4.625%, 2/26/2055			386,000				361,457
PPG Industries, Inc., 0.875%, 11/03/2025		EUR	350,000				365,999
Tronox Finance LLC, 6.375%, 8/15/2020		$	1,200,000				1,153,500
Tronox Finance LLC, 7.5%, 3/15/2022 (n)			805,000				784,875
W.R. Grace & Co., 5.125%, 10/01/2021 (n)			1,035,000				1,085,456
						$	9,494,867
Computer Software - 1.3%
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.02%, 6/15/2026 (n)		$	900,000			$	971,713
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.875%, 6/15/2021 (n)			355,000				374,476
Microsoft Corp., 1.55%, 8/08/2021			1,021,000				988,300
Microsoft Corp., 4.1%, 2/06/2037			922,000				933,128
Nuance Communications, Inc., 5.625%, 12/15/2026 (n)			955,000				953,806
Oracle Corp., 3.4%, 7/08/2024			483,000				492,563
VeriSign, Inc., 4.625%, 5/01/2023			1,629,000				1,646,756
						$	6,360,742
Computer Software - Systems – 1.0%
Apple, Inc., 3.05%, 7/31/2029		GBP	450,000			$	598,720
Apple, Inc., 3.85%, 8/04/2046		$	291,000				270,462
CDW LLC/CDW Finance Corp., 6%, 8/15/2022			485,000				511,675
CDW LLC/CDW Finance Corp., 5.5%, 12/01/2024			425,000				442,531
JDA Software Group, Inc., 7.375%, 10/15/2024 (n)			820,000				861,000
Sabre GLBL, Inc., 5.375%, 4/15/2023 (n)			1,145,000				1,164,680
Western Digital Corp., 10.5%, 4/01/2024 (n)			995,000				1,171,613
						$	5,020,681
Conglomerates - 1.8%
Amsted Industries Co., 5%, 3/15/2022 (n)		$	1,510,000			$	1,513,775
Apex Tool Group, 7%, 2/01/2021 (n)			965,000				892,625
EnerSys, 5%, 4/30/2023 (n)			1,435,000				1,460,113
Enpro Industries, Inc., 5.875%, 9/15/2022			1,415,000				1,471,600
Entegris, Inc., 6%, 4/01/2022 (n)			1,335,000				1,395,075
Gardner Denver, Inc., 6.875%, 8/15/2021 (n)			1,000,000				997,500
General Electric Co., 1.25%, 5/26/2023		EUR	175,000				195,982
SPX FLOW, Inc., 5.625%, 8/15/2024 (n)		$	895,000				912,900
						$	8,839,570
Construction - 0.1%
Empresas ICA S.A.B. de C.V., 8.9%, 2/04/2021 (a)(d)		$	590,000			$	124,638
Empresas ICA S.A.B. de C.V., 8.875%, 5/29/2024 (a)(d)(n)			914,000				201,880
						$	326,518
Consumer Products - 0.8%
NBTY, Inc., 7.625%, 5/15/2021 (n)		$	1,010,000			$	1,057,975
Newell Rubbermaid, Inc., 5.375%, 4/01/2036			165,000				185,110

 

4

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Consumer Products - continued
Prestige Brands, Inc., 5.375%, 12/15/2021 (n)		$	845,000			$	870,350
Reckitt Benckiser Treasury Services PLC, 3.625%, 9/21/2023 (n)			500,000				518,618
Spectrum Brands, Inc., 6.125%, 12/15/2024			165,000				174,488
Spectrum Brands, Inc., 5.75%, 7/15/2025			770,000				804,650
Spectrum Brands, Inc., 4%, 10/01/2026 (z)		EUR	280,000				311,745
						$	3,922,936
Consumer Services - 2.2%
ADT Corp., 6.25%, 10/15/2021		$	1,525,000			$	1,658,438
ADT Corp., 4.125%, 6/15/2023			370,000				352,888
G4S International Finance PLC, 1.5%, 1/09/2023		EUR	300,000				324,200
Garda World Security Corp., 7.25%, 11/15/2021 (n)		$	755,000				722,913
Garda World Security Corp., 7.25%, 11/15/2021 (n)			470,000				450,025
Grupo Posadas S.A.B. de C.V., 7.875%, 6/30/2022 (n)			455,000				456,706
Interval Acquisition Corp., 5.625%, 4/15/2023			1,635,000				1,667,700
Mobile Mini, Inc., 5.875%, 7/01/2024			1,115,000				1,162,388
Monitronics International, Inc., 9.125%, 4/01/2020			1,495,000				1,453,888
Priceline Group, Inc., 2.15%, 11/25/2022		EUR	170,000				194,455
Priceline Group, Inc., 1.8%, 3/03/2027		EUR	650,000				680,341
Service Corp. International, 5.375%, 5/15/2024		$	565,000				591,838
ServiceMaster Co. LLC, 5.125%, 11/15/2024 (n)			970,000				982,125
						$	10,697,905
Containers - 2.6%
Ball Corp., 5.25%, 7/01/2025		$	330,000			$	346,913
Berry Plastics Group, Inc., 5.5%, 5/15/2022			1,155,000				1,201,200
Berry Plastics Group, Inc., 6%, 10/15/2022			680,000				719,950
Crown American LLC, 4.5%, 1/15/2023			1,147,000				1,171,374
Crown American LLC, 4.25%, 9/30/2026 (n)			490,000				468,563
Crown European Holdings S.A., 3.375%, 5/15/2025 (z)		EUR	650,000				713,077
Multi-Color Corp., 6.125%, 12/01/2022 (n)		$	1,360,000				1,438,200
Plastipak Holdings, Inc., 6.5%, 10/01/2021 (n)			1,113,000				1,161,694
Reynolds Group, 5.75%, 10/15/2020			600,000				617,748
Reynolds Group, 8.25%, 2/15/2021			540,998				556,957
Reynolds Group, 5.125%, 7/15/2023 (n)			725,000				741,458
Reynolds Group, 7%, 7/15/2024 (n)			370,000				394,235
Sealed Air Corp., 4.875%, 12/01/2022 (n)			1,110,000				1,144,688
Sealed Air Corp., 4.5%, 9/15/2023 (n)		EUR	450,000				538,603
Sealed Air Corp., 5.125%, 12/01/2024 (n)		$	370,000				383,413
Signode Industrial Group, 6.375%, 5/01/2022 (n)			1,310,000				1,329,650
						$	12,927,723
Electronics - 0.7%
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.875%, 1/15/2027 (n)		$	767,000			$	761,151
Flextronics International Ltd., 4.625%, 2/15/2020			174,000				182,460
Sensata Technologies B.V., 5.625%, 11/01/2024 (n)			645,000				676,844
Sensata Technologies B.V., 5%, 10/01/2025 (n)			640,000				639,680
Tyco Electronics Group S.A., 6.55%, 10/01/2017			700,000				724,424
Tyco Electronics Group S.A., 1.1%, 3/01/2023		EUR	550,000				596,872
						$	3,581,431
Emerging Market Quasi-Sovereign - 5.2%
Autoridad del Canal de Panama, 4.95%, 7/29/2035 (n)		$	201,000			$	212,558
Banco de Reservas de la Republica Dominicana, 7%, 2/01/2023 (n)			946,000				947,712
Banco Nacional de Comercio Exterior, S.N.C., 3.8% to 8/11/2021, FRN to 8/11/2026 (n)			226,000				215,265

 

5

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Emerging Market Quasi-Sovereign - continued
CNPC (HK) Overseas Capital Ltd., 4.5%, 4/28/2021 (n)		$	1,242,000			$	1,318,231
CNPC General Capital Ltd., 3.4%, 4/16/2023 (n)			391,000				390,832
Comision Federal de Electricidad, 4.875%, 1/15/2024 (n)			517,000				520,102
Comision Federal de Electricidad, 4.875%, 1/15/2024			465,000				467,790
Comision Federal de Electricidad, 5.75%, 2/14/2042 (n)			915,000				857,813
Comision Federal de Electricidad, 6.125%, 6/16/2045 (n)			900,000				864,000
Corporacion Financiera de Desarrollo S.A., 4.75%, 7/15/2025 (n)			268,000				281,990
Empresa Nacional del Petroleo, 4.375%, 10/30/2024 (n)			296,000				299,751
Empresa Nacional del Petroleo, 3.75%, 8/05/2026 (n)			423,000				403,965
Gaz Capital S.A., 4.95%, 2/06/2028 (n)			492,000				481,107
Majapahit Holding B.V., 7.25%, 6/28/2017 (n)			1,029,000				1,049,580
Majapahit Holding B.V., 8%, 8/07/2019 (n)			1,197,000				1,343,932
Majapahit Holding B.V., 7.75%, 1/20/2020 (n)			1,045,000				1,172,490
Office Cherifien des Phosphates S.A., 4.5%, 10/22/2025 (n)			371,000				355,604
Office Cherifien des Phosphates S.A., 6.875%, 4/25/2044 (n)			373,000				382,325
Pertamina PT, 5.25%, 5/23/2021 (n)			511,000				540,379
Pertamina PT, 4.875%, 5/03/2022 (n)			540,000				558,739
Pertamina PT, 4.3%, 5/20/2023 (n)			323,000				325,066
Pertamina PT, 6%, 5/03/2042			680,000				670,805
Petrobras Global Finance B.V., 6.25%, 3/17/2024			1,043,000				1,047,172
Petrobras International Finance Co., 6.75%, 1/27/2041			1,159,000				1,031,858
Petroleos Mexicanos, 5.5%, 1/21/2021			1,199,000				1,246,720
Petroleos Mexicanos, 4.625%, 9/21/2023			221,000				215,475
Petroleos Mexicanos, 6.5%, 3/13/2027 (n)			186,000				191,292
Petroleos Mexicanos, 5.5%, 6/27/2044			82,000				67,257
Petroleos Mexicanos, 5.625%, 1/23/2046			213,000				177,695
Petroleos Mexicanos Co. Guar 08/26 6.875, 6.875%, 8/04/2026			205,000				217,054
Petroleos Mexicanos Co. Guar 09/47 6.75, 6.75%, 9/21/2047			161,000				151,936
PT Pelabuhan Indonesia III, 4.875%, 10/01/2024 (n)			200,000				204,500
PT Perusahaan Gas Negara (Persero) Tbk, 5.125%, 5/16/2024 (n)			438,000				454,865
PT Perusahaan Listrik Negara, 5.5%, 11/22/2021 (n)			752,000				810,566
Sinopec Capital (2013) Ltd., 3.125%, 4/24/2023 (n)			666,000				654,065
Sinopec Capital (2013) Ltd., 4.25%, 4/24/2043 (n)			548,000				521,230
Sinopec Group Overseas Development (2012) Ltd., 3.9%, 5/17/2022 (n)			544,000				561,704
Southern Gas Corridor CJSC, 6.875%, 3/24/2026			1,367,000				1,477,208
State Grid Overseas Investment (2014) Ltd., 4.125%, 5/07/2024 (n)			2,263,000				2,366,502
Three Gorges Finance I (Cayman Islands) Ltd., 3.7%, 6/10/2025 (n)			204,000				205,336
						$	25,262,471
Emerging Market Sovereign - 7.6%
Dominican Republic, 7.5%, 5/06/2021 (n)		$	879,000			$	966,900
Dominican Republic, 6.6%, 1/28/2024 (n)			188,000				201,160
Dominican Republic, 5.875%, 4/18/2024 (n)			206,000				211,290
Dominican Republic, 5.5%, 1/27/2025 (n)			211,000				209,517
Oriental Republic of Uruguay, 4.5%, 8/14/2024			213,714				225,682
Oriental Republic of Uruguay, 4.375%, 10/27/2027			377,731				386,740
Republic of Argentina, 6.875%, 4/22/2021 (n)			1,489,000				1,583,552
Republic of Colombia, 8.125%, 5/21/2024			679,000				855,540
Republic of Colombia, 6.125%, 1/18/2041			435,000				481,763
Republic of Croatia, 5.5%, 4/04/2023 (n)			1,362,000				1,448,555
Republic of Hungary, 5.375%, 2/21/2023			674,000				734,849
Republic of Hungary, 7.625%, 3/29/2041			488,000				680,155
Republic of Indonesia, 6.875%, 1/17/2018			838,000				878,567
Republic of Indonesia, 11.625%, 3/04/2019			733,000				876,400
Republic of Indonesia, 4.875%, 5/05/2021 (n)			336,000				357,609

 

6

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Emerging Market Sovereign - continued
Republic of Indonesia, 2.875%, 7/08/2021 (z)		EUR	375,000			$	424,749
Republic of Indonesia, 3.375%, 4/15/2023 (n)		$	517,000				508,389
Republic of Indonesia, 5.875%, 1/15/2024 (n)			225,000				251,060
Republic of Indonesia, 4.125%, 1/15/2025 (n)			339,000				340,960
Republic of Indonesia, 4.125%, 1/15/2025			1,422,000				1,430,221
Republic of Kazakhstan, 3.875%, 10/14/2024 (n)			427,000				427,521
Republic of Kazakhstan, 5.125%, 7/21/2025 (n)			983,000				1,055,101
Republic of Kazakhstan, 4.875%, 10/14/2044 (n)			207,000				199,238
Republic of Lithuania, 6.125%, 3/09/2021 (n)			499,000				558,880
Republic of Lithuania, 6.625%, 2/01/2022 (n)			1,425,000				1,654,251
Republic of Panama, 3.75%, 3/16/2025			231,000				233,310
Republic of Panama, 8.875%, 9/30/2027			1,273,000				1,772,653
Republic of Panama, 9.375%, 4/01/2029			873,000				1,250,573
Republic of Paraguay, 4.625%, 1/25/2023 (n)			212,000				215,263
Republic of Peru, 8.75%, 11/21/2033			629,000				932,493
Republic of Peru, 5.625%, 11/18/2050			217,000				250,635
Republic of Poland, 5%, 3/23/2022			609,000				663,932
Republic of Romania, 6.75%, 2/07/2022 (n)			1,074,000				1,227,045
Republic of Romania, 4.375%, 8/22/2023 (n)			486,000				502,281
Republic of Romania, 4.875%, 1/22/2024 (n)			328,000				348,767
Republic of Sri Lanka, 6.125%, 6/03/2025			1,336,000				1,281,192
Republic of Turkey, 7%, 3/11/2019			790,000				838,972
Republic of Turkey, 5.625%, 3/30/2021			670,000				689,564
Republic of Turkey, 6.25%, 9/26/2022			646,000				675,593
Republic of Turkey, 4.875%, 10/09/2026			1,229,000				1,145,281
Russian Federation, 4.875%, 9/16/2023 (n)			800,000				847,280
Russian Federation, 4.75%, 5/27/2026			1,000,000				1,032,720
Russian Federation, 7.5%, 3/31/2030			274,990				329,851
Russian Federation, 5.625%, 4/04/2042 (n)			600,000				650,148
Socialist Republic of Vietnam, 6.75%, 1/29/2020			273,000				297,550
State of Qatar, 4.625%, 6/02/2046			203,000				206,175
United Mexican States, 3.625%, 3/15/2022			1,710,000				1,726,245
United Mexican States, 4%, 10/02/2023			1,364,000				1,372,866
United Mexican States, 8.5%, 5/31/2029		MXN	29,290,000				1,490,570
United Mexican States, 5.75%, 10/12/2110		$	408,000				379,085
						$	37,308,693
Energy - Independent - 3.3%
Afren PLC, 11.5%, 2/01/2016 (a)(d)(n)		$	335,000			$	67
Afren PLC, 10.25%, 4/08/2019 (a)(d)(n)			219,000				44
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., 7.875%, 12/15/2024 (z)			1,015,000				1,091,125
Carrizo Oil & Gas, Inc., 6.25%, 4/15/2023			1,245,000				1,277,681
Concho Resources, Inc., 5.5%, 4/01/2023			1,115,000				1,156,813
Concho Resources, Inc., 4.375%, 1/15/2025			477,000				487,733
Consol Energy, Inc., 5.875%, 4/15/2022			485,000				469,238
Consol Energy, Inc., 8%, 4/01/2023			975,000				999,375
Continental Resources, Inc., 4.5%, 4/15/2023			1,110,000				1,096,125
Diamondback Energy, Inc., 5.375%, 5/31/2025 (n)			1,030,000				1,063,475
Gulfport Energy Corp., 6%, 10/15/2024 (n)			720,000				733,500
Gulfport Energy Corp., 6.375%, 5/15/2025 (z)			315,000				322,875
PDC Energy, Inc., 6.125%, 9/15/2024 (n)			1,035,000				1,081,575
Range Resources Corp., 4.875%, 5/15/2025			1,105,000				1,075,386
Rice Energy, Inc., 7.25%, 5/01/2023			940,000				1,008,150
Sanchez Energy Corp., 6.125%, 1/15/2023			1,300,000				1,248,000

 

7

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Energy - Independent - continued
Seven Generations Energy, 8.25%, 5/15/2020 (n)		$	470,000			$	498,788
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 (n)			422,000				395,576
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026			1,025,000				960,819
Whiting Petroleum Corp., 6.25%, 4/01/2023			1,175,000				1,186,750
						$	16,153,095
Energy - Integrated - 0.3%
Cenovus Energy, Inc., 6.75%, 11/15/2039		$	632,000			$	709,993
LUKOIL International Finance B.V., 4.563%, 4/24/2023 (n)			698,000				703,375
						$	1,413,368
Entertainment - 1.3%
Carnival Corp., 1.875%, 11/07/2022		EUR	550,000			$	623,133
Cedar Fair LP, 5.25%, 3/15/2021		$	1,130,000				1,164,380
Cedar Fair LP, 5.375%, 6/01/2024			415,000				427,450
Cinemark USA, Inc., 5.125%, 12/15/2022			1,045,000				1,073,738
Cinemark USA, Inc., 4.875%, 6/01/2023			935,000				941,919
Six Flags Entertainment Corp., 5.25%, 1/15/2021 (n)			1,325,000				1,361,438
Six Flags Entertainment Corp., 4.875%, 7/31/2024 (z)			555,000				550,838
						$	6,142,896
Financial Institutions - 3.2%
AerCap Ireland Capital Ltd., 4.625%, 10/30/2020		$	150,000			$	157,554
Aircastle Ltd., 4.625%, 12/15/2018			790,000				819,625
Aircastle Ltd., 5.125%, 3/15/2021			550,000				578,188
Aircastle Ltd., 5.5%, 2/15/2022			980,000				1,028,902
CIT Group, Inc., 5.25%, 3/15/2018			1,115,000				1,152,353
CIT Group, Inc., 6.625%, 4/01/2018 (n)			1,447,000				1,520,074
CIT Group, Inc., 5.5%, 2/15/2019 (n)			1,014,000				1,066,809
Credit Acceptance Corp., 6.125%, 2/15/2021			106,000				107,590
Credit Acceptance Corp., 7.375%, 3/15/2023			1,035,000				1,061,972
International Lease Finance Corp., 7.125%, 9/01/2018 (n)			337,000				362,511
Nationstar Mortgage LLC/Capital Corp., 6.5%, 8/01/2018			785,000				796,775
Nationstar Mortgage LLC/Capital Corp., 7.875%, 10/01/2020			1,410,000				1,466,400
Nationstar Mortgage LLC/Capital Corp., 6.5%, 7/01/2021			345,000				351,469
Navient Corp., 8%, 3/25/2020			1,815,000				1,951,125
Navient Corp., 7.25%, 1/25/2022			1,570,000				1,615,138
Navient Corp., 7.25%, 9/25/2023			375,000				377,813
Navient Corp., 6.125%, 3/25/2024			455,000				430,544
Park Aerospace Holdings Ltd., 5.5%, 2/15/2024 (z)			780,000				801,060
						$	15,645,902
Food & Beverages - 3.0%
Anheuser-Busch InBev N.V., 1.5%, 4/18/2030		EUR	325,000			$	333,346
Anheuser-Busch InBev Worldwide, Inc., 3.75%, 1/15/2022		$	221,000				231,379
Anheuser-Busch InBev Worldwide, Inc., 3.3%, 2/01/2023			631,000				641,436
Anheuser-Busch InBev Worldwide, Inc., 4.7%, 2/01/2036			826,000				864,670
Aramark Services, Inc., 4.75%, 6/01/2026 (z)			660,000				657,360
Coca-Cola Co., 1.1%, 9/02/2036		EUR	110,000				103,527
Coca-Cola Enterprises, Inc., 1.875%, 3/18/2030		EUR	325,000				344,685
Constellation Brands, Inc., 4.25%, 5/01/2023		$	894,000				938,441
Constellation Brands, Inc., 4.75%, 12/01/2025			313,000				333,736
Gruma S.A.B. de C.V., 4.875%, 12/01/2024 (n)			202,000				209,262
J.M. Smucker Co., 2.5%, 3/15/2020			121,000				122,065
J.M. Smucker Co., 4.375%, 3/15/2045			130,000				129,209

 

8

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Food & Beverages - continued
JB Y Co. S.A. de C.V., 3.75%, 5/13/2025 (n)		$	150,000			$	143,482
JBS Investments GmbH, 7.75%, 10/28/2020 (n)			201,000				212,558
JBS Investments GmbH, 7.25%, 4/03/2024			450,000				471,938
JBS USA LLC/JBS USA Finance, Inc., 5.875%, 7/15/2024 (n)			1,080,000				1,115,100
Kraft Foods Group, Inc., 2.25%, 6/05/2017			700,000				702,447
Kraft Heinz Foods Co., 3.5%, 7/15/2022			340,000				345,802
Kraft Heinz Foods Co., 5%, 7/15/2035			173,000				181,386
Lamb Weston Holdings, Inc., 4.625%, 11/01/2024 (n)			470,000				471,175
Lamb Weston Holdings, Inc., 4.875%, 11/01/2026 (n)			245,000				245,306
PepsiCo, Inc., 2.15%, 10/14/2020			1,936,000				1,943,947
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.875%, 1/15/2024			735,000				777,123
Sun Merger Sub, Inc., 5.875%, 8/01/2021 (n)			1,440,000				1,503,230
Tyson Foods, Inc., 5.15%, 8/15/2044			156,000				163,757
U.S. Foods Holding Corp., 5.875%, 6/15/2024 (n)			910,000				950,950
Wm. Wrigley Jr. Co., 2.9%, 10/21/2019 (n)			239,000				243,124
Wm. Wrigley Jr. Co., 3.375%, 10/21/2020 (n)			124,000				127,845
						$	14,508,286
Food & Drug Stores - 0.3%
Walgreens Boots Alliance, Inc., 2.7%, 11/18/2019		$	580,000			$	587,945
Walgreens Boots Alliance, Inc., 2.875%, 11/20/2020		GBP	200,000				262,210
Walgreens Boots Alliance, Inc., 4.65%, 6/01/2046		$	614,000				614,683
						$	1,464,838
Forest & Paper Products - 0.1%
Appvion, Inc., 9%, 6/01/2020 (n)		$	550,000			$	305,250
Gaming & Lodging - 1.9%
CCM Merger, Inc., 9.125%, 5/01/2019 (n)		$	680,000			$	703,922
GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/01/2023			895,000				959,888
GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026			160,000				166,800
Greektown Holdings LLC, 8.875%, 3/15/2019 (n)			950,000				995,125
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.625%, 10/15/2021			1,125,000				1,159,960
Isle of Capri Casinos, Inc., 8.875%, 6/15/2020			280,000				292,250
Isle of Capri Casinos, Inc., 5.875%, 3/15/2021			960,000				992,448
MGM Resorts International, 6.625%, 12/15/2021			1,105,000				1,232,075
MGM Resorts International, 6%, 3/15/2023			745,000				800,875
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2021			1,030,000				1,050,600
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2023			350,000				353,500
Wyndham Worldwide Corp., 2.5%, 3/01/2018			650,000				653,979
						$	9,361,422
Industrial - 0.3%
Howard Hughes Corp., 6.875%, 10/01/2021 (n)		$	1,260,000			$	1,327,725
Insurance - 0.8%
AIG SunAmerica Global Financing X, 6.9%, 3/15/2032 (n)		$	484,000			$	616,706
American International Group, Inc., 1.5%, 6/08/2023		EUR	230,000				250,773
American International Group, Inc., 3.75%, 7/10/2025		$	642,000				644,177
Aviva PLC, 3.375%, 12/04/2045		EUR	300,000				313,932
CNP Assurances S.A., 6% to 9/14/2020, FRN to 9/14/2040		EUR	400,000				489,013
Delta Lloyd N.V., FRN, 9%, 8/29/2042		EUR	450,000				608,247
Old Mutual PLC, 7.875%, 11/03/2025		GBP	450,000				663,882
Unum Group, 4%, 3/15/2024		$	259,000				260,574
						$	3,847,304

 

9

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Insurance - Health - 0.4%
Aetna, Inc., 2.8%, 6/15/2023		$	460,000			$	456,316
Centene Corp., 5.625%, 2/15/2021			460,000				482,908
Centene Corp., 6.125%, 2/15/2024			765,000				812,813
						$	1,752,037
Insurance - Property & Casualty - 0.9%
Berkshire Hathaway, Inc., 2.75%, 3/15/2023		$	359,000			$	358,427
Berkshire Hathaway, Inc., 2.15%, 3/15/2028		EUR	360,000				408,934
Berkshire Hathaway, Inc., 1.625%, 3/16/2035		EUR	325,000				319,254
Chubb INA Holdings, Inc., 2.3%, 11/03/2020		$	144,000				144,397
Chubb INA Holdings, Inc., 2.875%, 11/03/2022			336,000				338,693
CNA Financial Corp., 5.875%, 8/15/2020			700,000				778,075
Liberty Mutual Group, Inc., 4.25%, 6/15/2023			567,000				595,067
Liberty Mutual Group, Inc., 2.75%, 5/04/2026 (z)		EUR	120,000				132,886
Marsh & McLennan Cos., Inc., 2.55%, 10/15/2018		$	330,000				333,689
Marsh & McLennan Cos., Inc., 3.5%, 6/03/2024			315,000				320,050
Marsh & McLennan Cos., Inc., 4.35%, 1/30/2047			197,000				193,039
QBE Capital Funding III Ltd., 7.5% to 5/24/2021, FRN to 5/24/2041		GBP	300,000				416,453
						$	4,338,964
International Market Quasi-Sovereign - 0.1%
Electricite de France S.A., 5.375% to 1/29/2025, FRN to 1/29/2049		EUR	300,000			$	325,515
International Market Sovereign - 0.1%
Government of Japan, 2.1%, 9/20/2024		JPY	11,350,000			$	116,406
Government of Japan, 0.3%, 12/20/2025		JPY	25,450,000				230,191
Government of Japan, 2.4%, 3/20/2037		JPY	12,200,000				143,110
						$	489,707
Internet - 0.4%
Baidu, Inc., 4.125%, 6/30/2025		$	240,000			$	244,895
Baidu, Inc., 3.25%, 8/06/2018			1,316,000				1,338,043
Baidu, Inc., 3.5%, 11/28/2022			475,000				477,609
						$	2,060,547
Local Authorities - 0.2%
Province of Alberta, 1.25%, 6/01/2020		CAD	302,000			$	230,861
Province of Alberta, 4.5%, 12/01/2040		CAD	410,000				369,124
Province of Manitoba, 4.15%, 6/03/2020		CAD	266,000				222,543
						$	822,528
Machinery & Tools - 1.0%
Ashtead Capital, Inc., 5.625%, 10/01/2024 (n)		$	1,125,000			$	1,181,250
CNH Industrial Capital LLC, 4.375%, 11/06/2020			1,760,000				1,823,800
CNH Industrial N.V., 4.5%, 8/15/2023			630,000				630,378
H&E Equipment Services Co., 7%, 9/01/2022			1,065,000				1,122,254
Light Tower Rentals, Inc., 8.125%, 8/01/2019 (a)(d)(n)			520,000				233,955
						$	4,991,637
Major Banks - 3.5%
ABN AMRO North America Finance, Inc., 7.125%, 7/06/2022		EUR	250,000			$	341,732
Bank of America Corp., 2.625%, 4/19/2021		$	563,000				558,767
Bank of America Corp., 3.248%, 10/21/2027			1,532,000				1,446,245
Bank of America Corp., FRN, 6.1%, 12/29/2049			2,167,000				2,259,098
Bank of New York Mellon Corp., 3.442 to 2/07/2027, FRN to 2/07/2028			647,000				647,000
Barclays Bank PLC, 6%, 1/14/2021		EUR	350,000				438,792
Barclays Bank PLC, 6.75% to 1/16/2018, FRN to 1/16/2023		GBP	200,000				261,849

 

10

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Major Banks - continued
Credit Agricole S.A., 7.375%, 12/18/2023		GBP	200,000			$	320,109
Credit Agricole S.A., 7.875% to 10/26/2019, FRN to 10/29/2049		EUR	350,000				439,104
Goldman Sachs Group, Inc., 7.5%, 2/15/2019		$	1,200,000				1,326,929
HSBC Holdings PLC, 4.375%, 11/23/2026			399,000				401,125
JPMorgan Chase & Co., 3.25%, 9/23/2022			765,000				774,781
JPMorgan Chase & Co., 2.95%, 10/01/2026			1,137,000				1,075,205
JPMorgan Chase & Co., 6.75% to 2/01/2024, FRN to 8/29/2049			486,000				531,883
JPMorgan Chase & Co., 6% to 8/01/2023, FRN to 12/29/2049			1,515,000				1,556,663
Morgan Stanley, 6.625%, 4/01/2018			1,000,000				1,054,692
Morgan Stanley, 3.125%, 7/27/2026			572,000				543,108
Morgan Stanley, 3.95%, 4/23/2027			423,000				413,596
Nationwide Building Society, 1.25%, 3/03/2025		EUR	380,000				412,589
PNC Bank N.A., 2.6%, 7/21/2020		$	1,067,000				1,078,280
Royal Bank of Scotland Group PLC, 8.625% to 8/15/2021, FRN to 12/29/2049			435,000				449,138
Royal Bank of Scotland Group PLC, 7.5% to 8/10/2020, FRN to 12/29/2065			710,000				688,700
						$	17,019,385
Medical & Health Technology & Services - 4.7%
AmSurg Corp., 5.625%, 7/15/2022		$	765,000			$	787,950
Becton, Dickinson and Co., 3.734%, 12/15/2024			66,000				67,650
Becton, Dickinson and Co., 4.685%, 12/15/2044			270,000				278,916
CHS/Community Health Systems, Inc., 6.875%, 2/01/2022			1,080,000				785,700
DaVita, Inc., 5.125%, 7/15/2024			425,000				419,688
DaVita, Inc., 5%, 5/01/2025			985,000				961,360
Envision Healthcare Corp., 6.25%, 12/01/2024 (n)			385,000				405,213
Fresenius U.S. Finance II, Inc., 4.25%, 2/01/2021 (n)			84,000				87,465
HCA, Inc., 4.25%, 10/15/2019			785,000				812,475
HCA, Inc., 7.5%, 2/15/2022			980,000				1,114,750
HCA, Inc., 5.875%, 3/15/2022			935,000				1,015,644
HCA, Inc., 5%, 3/15/2024			950,000				989,188
HCA, Inc., 5.375%, 2/01/2025			2,075,000				2,116,500
HCA, Inc., 5.875%, 2/15/2026			505,000				525,200
HCA, Inc., 5.25%, 6/15/2026			471,000				491,018
HealthSouth Corp., 5.125%, 3/15/2023			1,020,000				1,014,900
HealthSouth Corp., 5.75%, 11/01/2024			860,000				873,975
Laboratory Corp. of America Holdings, 4.7%, 2/01/2045			364,000				361,097
LifePoint Health, Inc., 5.375%, 5/01/2024 (n)			905,000				866,538
MEDNAX, Inc., 5.25%, 12/01/2023 (n)			760,000				784,700
Quintiles IMS Holdings, Inc., 5%, 10/15/2026 (n)			770,000				775,128
Quorum Health Corp., 11.625%, 4/15/2023 (n)			830,000				780,200
Tenet Healthcare Corp., 8%, 8/01/2020			2,135,000				2,148,344
Tenet Healthcare Corp., 8.125%, 4/01/2022			1,500,000				1,515,000
Tenet Healthcare Corp., 6.75%, 6/15/2023			995,000				940,275
Thermo Fisher Scientific, Inc., 3%, 4/15/2023			367,000				362,635
Thermo Fisher Scientific, Inc., 2.95%, 9/19/2026			245,000				231,577
Universal Health Services, Inc., 7.625%, 8/15/2020			1,010,000				1,002,425
Universal Health Services, Inc., 5%, 6/01/2026 (n)			359,000				357,205
						$	22,872,716
Medical Equipment - 0.7%
Hologic, Inc., 5.25%, 7/15/2022 (n)		$	1,000,000			$	1,042,500
Medtronic, Inc., 3.5%, 3/15/2025			437,000				446,630
Teleflex, Inc., 5.25%, 6/15/2024			955,000				983,650
Teleflex, Inc., 4.875%, 6/01/2026			445,000				442,775
Zimmer Biomet Holdings, Inc., 2.425%, 12/13/2026		EUR	300,000				332,945
						$	3,248,500

 

11

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Metals & Mining - 2.6%
Barrick Gold Corp., 4.1%, 5/01/2023		$	369,000			$	387,781
Cameco Corp., 5.67%, 9/02/2019		CAD	420,000				346,861
Commercial Metals Co., 4.875%, 5/15/2023		$	828,000				844,560
First Quantum Minerals Ltd., 7%, 2/15/2021 (n)			375,000				384,375
Freeport-McMoRan, Inc., 3.875%, 3/15/2023			840,000				774,900
Freeport-McMoRan, Inc., 6.5%, 11/15/2020 (z)			130,000				133,250
Freeport-McMoRan, Inc., 6.875%, 2/15/2023 (z)			882,000				919,485
Freeport-McMoRan, Inc., 5.45%, 3/15/2043			375,000				322,500
Glencore Finance (Europe) S.A., 6.5%, 2/27/2019		GBP	150,000				207,219
Glencore Finance (Europe) S.A., 1.25%, 3/17/2021		EUR	400,000				437,370
Glencore Finance (Europe) S.A., 1.75%, 3/17/2025		EUR	300,000				315,197
GrafTech International Co., 6.375%, 11/15/2020		$	845,000				695,013
Kaiser Aluminum Corp., 5.875%, 5/15/2024			680,000				712,300
Kinross Gold Corp., 5.125%, 9/01/2021			410,000				426,400
Kinross Gold Corp., 5.95%, 3/15/2024			795,000				834,154
Lundin Mining Corp., 7.5%, 11/01/2020 (n)			310,000				328,730
Lundin Mining Corp., 7.875%, 11/01/2022 (n)			445,000				485,050
Southern Copper Corp., 5.25%, 11/08/2042			700,000				663,978
Southern Copper Corp., 5.875%, 4/23/2045			753,000				767,381
Steel Dynamics, Inc., 5.125%, 10/01/2021			435,000				450,225
Steel Dynamics, Inc., 5.25%, 4/15/2023			195,000				203,044
Steel Dynamics, Inc., 5.5%, 10/01/2024			435,000				461,644
Steel Dynamics, Inc., 5%, 12/15/2026 (n)			100,000				101,750
Suncoke Energy Partners LP/Suncoke Energy Partners Finance Corp., 7.375%, 2/01/2020			560,000				558,600
Suncoke Energy, Inc., 7.625%, 8/01/2019			130,000				129,009
TMS International Corp., 7.625%, 10/15/2021 (n)			700,000				698,250
						$	12,589,026
Midstream - 3.8%
APT Pipelines Ltd., 5%, 3/23/2035 (n)		$	542,000			$	527,949
Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022 (n)			1,320,000				1,353,000
Crestwood Midstream Partners LP, 6%, 12/15/2020			625,000				643,750
Crestwood Midstream Partners LP, 6.125%, 3/01/2022			300,000				310,200
Dominion Gas Holdings LLC, 2.8%, 11/15/2020			415,000				420,784
Enbridge, Inc., 6% to 1/15/2027, FRN to 1/15/2077			476,000				481,950
Energy Transfer Equity LP, 7.5%, 10/15/2020			1,795,000				2,014,888
Enterprise Products Operating LLC, 3.9%, 2/15/2024			287,000				295,829
Enterprise Products Operating LLC, 4.85%, 3/15/2044			148,000				150,895
Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, 1/15/2022			925,000				929,625
Kinder Morgan (Delaware), Inc., 7.75%, 1/15/2032			1,614,000				2,014,766
Kinder Morgan Energy Partners LP, 5.4%, 9/01/2044			281,000				291,507
ONEOK, Inc., 7.5%, 9/01/2023			475,000				552,188
Sabine Pass Liquefaction LLC, 5.625%, 2/01/2021			1,185,000				1,279,800
Sabine Pass Liquefaction LLC, 5.625%, 4/15/2023			1,465,000				1,589,525
Sabine Pass Liquefaction LLC, 5.75%, 5/15/2024			545,000				593,369
Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025			1,125,000				1,222,031
Sabine Pass Liquefaction LLC, 5%, 3/15/2027 (n)			500,000				524,375
Targa Resources Partners LP/Targa Resources Finance Corp., 4.125%, 11/15/2019			775,000				786,625
Targa Resources Partners LP/Targa Resources Finance Corp., 5.25%, 5/01/2023			415,000				425,375
Targa Resources Partners LP/Targa Resources Finance Corp., 5.375%, 2/01/2027 (n)			1,280,000				1,326,400
Williams Cos., Inc., 4.55%, 6/24/2024			1,050,000				1,063,125
						$	18,797,956

 

12

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Mortgage-Backed - 5.4%
Fannie Mae, 5.5%, 1/01/2037 - 8/01/2037		$	1,473,684			$	1,648,847
Fannie Mae, 4%, 9/01/2040 - 2/01/2045			2,724,457				2,867,305
Fannie Mae, 3.5%, 3/01/2045 - 7/01/2046			3,366,476				3,448,778
Fannie Mae, FRN, 0.814%, 5/25/2018			4,202,619				4,195,563
Freddie Mac, 3.329%, 5/25/2025			5,000,000				5,197,326
Freddie Mac, 2.673%, 3/25/2026			1,099,000				1,080,499
Freddie Mac, 4%, 4/01/2044			195,955				205,821
Freddie Mac, 3.5%, 9/01/2045			4,680,158				4,783,651
Ginnie Mae, 3.5%, 5/20/2046			2,997,946				3,109,745
						$	26,537,535
Natural Gas - Distribution - 0.1%
GNL Quintero S.A., 4.634%, 7/31/2029 (n)		$	377,000			$	378,282
Network & Telecom - 2.0%
AT&T, Inc., 4.75%, 5/15/2046		$	1,593,000			$	1,455,073
British Telecom PLC, 5.75%, 12/07/2028		GBP	300,000				489,562
Centurylink, Inc., 6.45%, 6/15/2021		$	970,000				1,030,625
Centurylink, Inc., 7.65%, 3/15/2042			890,000				809,344
Columbus International, Inc., 7.375%, 3/30/2021 (n)			200,000				212,500
Deutsche Telekom International Finance B.V., 1.5%, 4/03/2028		EUR	400,000				425,490
Frontier Communications Corp., 6.25%, 9/15/2021		$	540,000				504,900
Frontier Communications Corp., 7.125%, 1/15/2023			665,000				595,175
Frontier Communications Corp., 9%, 8/15/2031			680,000				586,289
Telecom Italia Capital, 6%, 9/30/2034			320,000				315,200
Telecom Italia S.p.A., 3.625%, 1/19/2024		EUR	500,000				567,266
Telecom Italia S.p.A., 5.303%, 5/30/2024 (n)		$	1,165,000				1,171,408
Verizon Communications, Inc., 1.75%, 8/15/2021			281,000				268,263
Verizon Communications, Inc., 6.4%, 9/15/2033			500,000				606,250
Zayo Group LLC/Zayo Capital, Inc., 5.75%, 1/15/2027 (n)			595,000				609,161
						$	9,646,506
Oil Services - 0.5%
Bristow Group, Inc., 6.25%, 10/15/2022		$	860,000			$	768,625
Odebrecht Offshore Drilling Finance Ltd., 6.75%, 10/01/2022 (n)			1,302,178				426,463
Trinidad Drilling Ltd., 6.625%, 2/15/2025 (z)			250,000				255,625
Weatherford International Ltd., 8.25%, 6/15/2023			1,005,000				1,025,100
						$	2,475,813
Oils - 0.4%
CITGO Holding, Inc., 10.75%, 2/15/2020 (n)		$	730,000			$	779,859
CITGO Petroleum Corp., 6.25%, 8/15/2022 (n)			880,000				910,800
Valero Energy Corp., 4.9%, 3/15/2045			440,000				435,382
						$	2,126,041
Other Banks & Diversified Financials - 2.5%
Banco Popolare Societa Cooperativa, 3.5%, 3/14/2019		EUR	600,000			$	668,860
Bancolombia S.A., 5.95%, 6/03/2021		$	1,094,000				1,201,321
Bank of Iceland, 1.75%, 9/07/2020		EUR	600,000				661,127
BBVA Banco Continental S.A., 5.25% to 9/22/2024, FRN to 9/22/2029 (n)		$	104,000				107,900
BBVA Bancomer S.A. de C.V., 6.5%, 3/10/2021 (n)			1,207,000				1,291,104
BBVA Bancomer S.A. de C.V., 6.75%, 9/30/2022 (n)			424,000				461,100
Belfius Bank S.A., 3.125%, 5/11/2026		EUR	300,000				324,430
BPCE S.A., 4.5%, 3/15/2025 (n)		$	302,000				295,064
Citigroup, Inc., 3.2%, 10/21/2026			871,000				825,040

 

13

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Other Banks & Diversified Financials - continued
Citizens Bank N.A., 2.55%, 5/13/2021		$	256,000			$	254,872
Discover Bank, 7%, 4/15/2020			249,000				276,981
Discover Bank, 4.25%, 3/13/2026			312,000				317,876
Groupe BPCE S.A., 12.5% to 9/30/2019, FRN to 8/29/2049 (n)			2,233,000				2,735,425
Industrial Senior Trust Co., 5.5%, 11/01/2022 (n)			220,000				212,945
Intesa Sanpaolo S.p.A., 5.25%, 1/28/2022		GBP	250,000				343,854
UBS Group AG, 6.875%, 12/29/2049		$	990,000				985,981
UBS Group Funding (Jersey) Ltd., 1.5%, 11/30/2024		EUR	500,000				537,657
UniCredit S.p.A., 4.375% to 1/03/2022, FRN to 1/03/2027		EUR	600,000				654,365
						$	12,155,902
Personal Computers & Peripherals - 0.0%
Equifax, Inc., 2.3%, 6/01/2021		$	240,000			$	236,290
Pharmaceuticals - 1.4%
Celgene Corp., 2.875%, 8/15/2020		$	600,000			$	609,505
Endo Finance LLC/Endo Finco, Inc., 7.25%, 1/15/2022 (n)			1,440,000				1,303,200
Forest Laboratories, Inc., 4.375%, 2/01/2019 (n)			618,000				641,742
Gilead Sciences, Inc., 2.35%, 2/01/2020			667,000				672,629
Mallinckrodt International Finance S.A., 5.75%, 8/01/2022 (n)			790,000				732,725
Mallinckrodt International Finance S.A., 5.5%, 4/15/2025 (n)			640,000				551,200
Valeant Pharmaceuticals International, Inc., 7%, 10/01/2020 (n)			1,570,000				1,420,850
Valeant Pharmaceuticals International, Inc., 7.5%, 7/15/2021 (n)			525,000				456,094
Valeant Pharmaceuticals International, Inc., 7.25%, 7/15/2022 (n)			780,000				655,294
						$	7,043,239
Precious Metals & Minerals - 0.5%
Eldorado Gold Corp., 6.125%, 12/15/2020 (n)		$	1,335,000			$	1,365,038
Teck Resources Ltd., 4.5%, 1/15/2021			415,000				422,263
Teck Resources Ltd., 8%, 6/01/2021 (n)			395,000				435,488
Teck Resources Ltd., 3.75%, 2/01/2023			255,000				247,669
						$	2,470,458
Printing & Publishing - 0.9%
Nielsen Finance LLC, 5%, 4/15/2022 (n)		$	1,295,000			$	1,322,519
Outdoor Americas Capital LLC/Outfront Media Capital Corp., 5.625%, 2/15/2024			1,075,000				1,122,031
TEGNA, Inc., 5.125%, 7/15/2020			460,000				476,100
TEGNA, Inc., 4.875%, 9/15/2021 (n)			420,000				430,500
TEGNA, Inc., 6.375%, 10/15/2023			840,000				888,300
						$	4,239,450
Real Estate - Apartment - 0.2%
Grand City Properties S.A., 3.75% to 2/18/2022, FRN to 12/29/2049		EUR	300,000			$	326,428
Vonovia SE, REIT, 2.125%, 7/09/2022		EUR	450,000				516,604
						$	843,032
Real Estate - Healthcare - 0.5%
MPT Operating Partnership LP, REIT, 6.375%, 2/15/2022		$	1,335,000			$	1,381,725
MPT Operating Partnership LP, REIT, 5.25%, 8/01/2026			990,000				972,675
						$	2,354,400
Real Estate - Office - 0.1%
Merlin Properties SOCIMI S.A., REIT, 2.225%, 4/25/2023		EUR	450,000			$	496,306
Real Estate - Other - 0.9%
DuPont Fabros Technology LP, REIT, 5.875%, 9/15/2021		$	1,915,000			$	2,001,175
Felcor Lodging LP, REIT, 5.625%, 3/01/2023			1,130,000				1,169,550

 

14

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Real Estate - Other - continued
Fibra Uno, REIT, 6.95%, 1/30/2044 (n)		$	390,000			$	355,875
Starwood Property Trust, Inc., REIT, 5%, 12/15/2021 (n)			655,000				665,644
						$	4,192,244
Real Estate - Retail - 0.1%
DDR Corp., REIT, 3.625%, 2/01/2025		$	692,000			$	669,608
Restaurants - 0.1%
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, 6/01/2026 (n)		$	580,000			$	586,763
Retailers - 1.6%
Best Buy Co., Inc., 5.5%, 3/15/2021		$	734,000			$	797,662
Dollar Tree, Inc., 5.75%, 3/01/2023			1,350,000				1,429,650
DriveTime Automotive Group, Inc./DT Acceptance Corp., 8%, 6/01/2021 (n)			585,000				577,688
Hanesbrands Finance Luxembourg S.C.A., 3.5%, 6/15/2024 (z)		EUR	200,000				222,884
Hanesbrands, Inc., 4.875%, 5/15/2026 (n)		$	740,000				728,900
Home Depot, Inc., 2.625%, 6/01/2022			585,000				589,017
Home Depot, Inc., 3%, 4/01/2026			475,000				470,959
Home Depot, Inc., 4.875%, 2/15/2044			378,000				422,015
Rite Aid Corp., 9.25%, 3/15/2020			320,000				330,816
Rite Aid Corp., 6.75%, 6/15/2021			265,000				275,600
Rite Aid Corp., 6.125%, 4/01/2023 (n)			700,000				728,875
S.A.C.I. Falabella, 4.375%, 1/27/2025 (n)			389,000				398,341
Sally Beauty Holdings, Inc., 5.625%, 12/01/2025			550,000				574,750
Wesfarmers Ltd., 1.874%, 3/20/2018 (n)			156,000				156,176
						$	7,703,333
Specialty Chemicals - 1.2%
A. Schulman, Inc., 6.875%, 6/01/2023 (z)		$	960,000			$	1,012,800
Chemtura Corp., 5.75%, 7/15/2021			1,430,000				1,487,200
Ecolab, Inc., 2.625%, 7/08/2025		EUR	275,000				326,062
Koppers, Inc., 6%, 2/15/2025 (z)		$	725,000				750,375
Mexichem S.A.B. de C.V., 5.875%, 9/17/2044 (n)			540,000				487,339
Univar USA, Inc., 6.75%, 7/15/2023 (n)			1,660,000				1,726,400
						$	5,790,176
Specialty Stores - 0.7%
Argos Merger Sub, Inc., 7.125%, 3/15/2023 (n)		$	1,300,000			$	1,277,250
Group 1 Automotive, Inc., 5%, 6/01/2022			1,150,000				1,164,375
Michaels Stores, Inc., 5.875%, 12/15/2020 (n)			820,000				842,550
Rallye S.A., 4.25%, 3/11/2019		EUR	300,000				336,098
						$	3,620,273
Supermarkets - 0.4%
Albertsons Cos. LLC/Safeway, Inc., 6.625%, 6/15/2024 (n)		$	1,200,000			$	1,250,640
Loblaw Cos. Ltd., 4.86%, 9/12/2023		CAD	421,000				363,194
William Morrison Supermarkets PLC, 3.5%, 7/27/2026		GBP	150,000				196,232
						$	1,810,066
Supranational - 0.3%
International Bank for Reconstruction and Development, 2.8%, 1/13/2021		AUD	270,000			$	206,530
International Bank for Reconstruction and Development, 4.25%, 6/24/2025		AUD	405,000				331,379
International Finance Corp., 3.25%, 7/22/2019		AUD	585,000				454,306
West African Development Bank, 5.5%, 5/06/2021 (n)		$	543,000				562,439
						$	1,554,654

 

15

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Telecommunications - Wireless - 3.8%
Altice Luxembourg S.A., 7.75%, 5/15/2022 (n)		$	585,000			$	620,831
Altice Luxembourg S.A., 7.625%, 2/15/2025 (n)			725,000				766,688
America Movil S.A.B. de C.V., 1.5%, 3/10/2024		EUR	420,000				450,850
American Tower Corp., REIT, 3.5%, 1/31/2023		$	743,000				745,122
American Tower Corp., REIT, 4%, 6/01/2025			514,000				514,995
Crown Castle International Corp., 3.7%, 6/15/2026			232,000				226,058
Digicel Group Ltd., 8.25%, 9/30/2020 (n)			615,000				545,044
Digicel Group Ltd., 6%, 4/15/2021 (n)			1,279,000				1,192,412
Digicel Group Ltd., 7.125%, 4/01/2022 (n)			756,000				604,467
Digicel Group Ltd., 6.75%, 3/01/2023 (n)			1,338,000				1,243,504
Digicel Group Ltd., 6.75%, 3/01/2023			253,000				235,132
Millicom International Cellular S.A., 6.625%, 10/15/2021 (n)			412,000				430,540
SBA Tower Trust, 2.898%, 10/15/2044 (n)			439,000				442,041
SFR Group S.A., 7.375%, 5/01/2026 (n)			765,000				785,081
Sprint Capital Corp., 6.875%, 11/15/2028			1,210,000				1,246,300
Sprint Corp., 7.875%, 9/15/2023			1,470,000				1,605,975
Sprint Corp., 7.125%, 6/15/2024			1,230,000				1,285,350
Sprint Nextel Corp., 9%, 11/15/2018 (n)			470,000				514,650
Sprint Nextel Corp., 6%, 11/15/2022			1,130,000				1,146,950
T-Mobile USA, Inc., 6.125%, 1/15/2022			145,000				153,338
T-Mobile USA, Inc., 6.5%, 1/15/2024			405,000				436,428
T-Mobile USA, Inc., 6.25%, 4/01/2021			1,675,000				1,735,635
T-Mobile USA, Inc., 6.633%, 4/28/2021			540,000				562,950
T-Mobile USA, Inc., 6.5%, 1/15/2026			800,000				879,000
VimpelCom Ltd., 5.95%, 2/13/2023 (n)			255,000				266,781
						$	18,636,122
Telephone Services - 0.4%
Level 3 Financing, Inc., 5.375%, 1/15/2024		$	390,000			$	394,388
Level 3 Financing, Inc., 5.375%, 5/01/2025			1,170,000				1,194,137
TELUS Corp., 5.05%, 7/23/2020		CAD	425,000				360,201
						$	1,948,726
Tobacco - 0.5%
B.A.T. International Finance PLC, 0.875%, 10/13/2023		EUR	300,000			$	319,336
Imperial Tobacco Finance PLC, 4.25%, 7/21/2025 (n)		$	742,000				763,767
Philip Morris International, Inc., 4.875%, 11/15/2043			356,000				379,377
Reynolds American, Inc., 8.125%, 6/23/2019			257,000				291,875
Reynolds American, Inc., 3.25%, 6/12/2020			69,000				70,769
Reynolds American, Inc., 4.45%, 6/12/2025			169,000				177,139
Reynolds American, Inc., 5.7%, 8/15/2035			202,000				231,110
						$	2,233,373
Transportation - Services - 0.5%
Compagnie Financial et Indus Unternehmensanleihe, 0.75%, 9/09/2028		EUR	400,000			$	395,644
Delhi International Airport, 6.125%, 10/31/2026 (n)		$	200,000				207,689
Heathrow Funding Ltd., 4.625%, 10/31/2046		GBP	200,000				316,180
Navios Maritime Acquisition Corp., 8.125%, 11/15/2021 (n)		$	396,000				359,370
Navios Maritime Holding, Inc., 7.375%, 1/15/2022 (n)			870,000				596,494
Navios South American Logistics, Inc./Navios Logistics Finance (U.S.), Inc., 7.25%, 5/01/2022			180,000				166,275
Syncreon Group BV/Syncre, 8.625%, 11/01/2021 (n)			585,000				429,975
Ultrapetrol (Bahamas) Ltd., 8.875%, 6/15/2021 (a)(d)			246,000				43,050
						$	2,514,677

 

16

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
U.S. Government Agencies and Equivalents - 4.5%
Fannie Mae, 1.125%, 4/27/2017		$	10,877,000			$	10,892,369
Freddie Mac, 0.875%, 2/22/2017			10,902,000				10,904,431
						$	21,796,800
U.S. Treasury Obligations - 6.2%
U.S. Treasury Bonds, 3.125%, 11/15/2041 (f)		$	12,069,000			$	12,275,489
U.S. Treasury Notes, 0.875%, 11/30/2017			12,000,000				12,007,032
U.S. Treasury Notes, 2.25%, 11/15/2025			6,000,000				5,916,798
						$	30,199,319
Utilities - Electric Power - 3.0%
Calpine Corp., 5.5%, 2/01/2024		$	920,000			$	897,000
Calpine Corp., 5.75%, 1/15/2025			730,000				713,575
CMS Energy Corp., 5.05%, 3/15/2022			500,000				547,759
Covanta Holding Corp., 7.25%, 12/01/2020			1,815,000				1,868,543
Covanta Holding Corp., 6.375%, 10/01/2022			320,000				330,000
Covanta Holding Corp., 5.875%, 3/01/2024			595,000				592,025
Duke Energy Florida LLC, 3.2%, 1/15/2027			589,000				590,131
Dynegy, Inc., 7.375%, 11/01/2022			380,000				375,250
Dynegy, Inc., 8%, 1/15/2025 (n)			255,000				244,800
E.ON International Finance B.V., 6.375%, 6/07/2032		GBP	200,000				346,350
EDP Finance B.V., 5.25%, 1/14/2021 (n)		$	200,000				212,873
Emera U.S. Finance LP, 2.7%, 6/15/2021			142,000				140,910
Emera U.S. Finance LP, 3.55%, 6/15/2026			162,000				158,791
Empresa de Energia de Bogota S.A., 6.125%, 11/10/2021 (n)			303,000				312,848
Enel S.p.A., 8.75% to 9/24/2023, FRN to 9/24/2073 (n)			500,000				570,000
Enel S.p.A., 6.625% to 9/15/2021, FRN to 9/15/2076		GBP	230,000				307,424
Energias de Portugal S.A., 5.375%, 9/16/2075		EUR	500,000				561,124
Engie Energia Chile S.A., 4.5%, 1/29/2025 (n)		$	609,000				609,075
Greenko Dutch B.V., 8%, 8/01/2019 (n)			410,000				435,113
Innogy Finance B.V., 4.75%, 1/31/2034		GBP	100,000				146,857
NRG Energy, Inc., 6.625%, 3/15/2023		$	1,530,000				1,575,900
NRG Energy, Inc., 7.25%, 5/15/2026 (n)			745,000				779,456
PPL Capital Funding, Inc., 3.1%, 5/15/2026			561,000				538,264
PPL Capital Funding, Inc., 5%, 3/15/2044			270,000				282,554
PPL WEM Holdings PLC, 5.375%, 5/01/2021 (n)			183,000				198,475
Southern Co., 2.95%, 7/01/2023			333,000				328,209
Southern Co., 4.4%, 7/01/2046			502,000				496,751
Transelec S.A., 4.25%, 1/14/2025 (n)			535,000				542,684
						$	14,702,741
Utilities - Gas - 0.1%
Transport de Gas Peru, 4.25%, 4/30/2028 (n)		$	387,000			$	386,033
Total Bonds						$	566,540,277
Floating Rate Loans (g)(r) - 1.9%
Aerospace - 0.1%
TransDigm, Inc., Term Loan C, 3.95%, 2/28/2020		$	578,506			$	577,060
Broadcasting - 0.1%
Mission Broadcasting Inc. Term Loan B, 3.76%, 9/26/2023 (o)		$	30,353			$	30,619
Nexstar Broadcasting Inc. Term Loan B, 3.76%, 9/26/2023 (o)			329,435				332,318
						$	362,937

 

17

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Floating Rate Loans (g)(r) - continued
Building - 0.2%
ABC Supply Co., Inc., Term Loan B, 3.5%, 10/31/2023		$	961,019			$	967,175
HD Supply, Inc., Term Loan B, 3.74%, 8/13/2021			291,343				292,872
						$	1,260,047
Chemicals - 0.1%
GCP Applied Technologies, Inc., Term Loan B, 4.24%, 2/03/2022		$	315,359			$	318,119
Computer Software - Systems - 0.1%
CDW LLC, Term Loan B, 3.25%, 8/17/2023		$	382,478			$	384,709
Sabre, Inc., Term Loan B, 4%, 2/19/2019			293,900				295,308
						$	680,017
Conglomerates - 0.1%
Entegris, Inc., Term Loan B, 3.52%, 4/30/2021		$	497,111			$	500,218
Consumer Products - 0.1%
Spectrum Brands, Inc., Term Loan, 3.37%, 6/23/2022		$	277,309			$	280,159
Entertainment - 0.1%
Cedar Fair LP, Term Loan B, 3.27%, 3/06/2020		$	358,762			$	360,556
Six Flags Theme Parks, Inc., Term Loan B, 6/30/2022 (o)			293,900				296,380
						$	656,936
Food & Beverages - 0.1%
Pinnacle Foods Finance LLC, Term Loan I, 3.52%, 1/13/2023		$	292,423			$	293,474
Gaming & Lodging - 0.1%
Hilton Worldwide Finance LLC, Term Loan B1, 3.5%, 10/25/2020		$	519,266			$	523,068
Medical & Health Technology & Services - 0.1%
DaVita HealthCare Partners, Inc., Term Loan B, 3.53%, 6/24/2021		$	695,721			$	703,766
Printing & Publishing - 0.1%
CBS Outdoor Americas Capital LLC, Term Loan B, 3%, 1/31/2021		$	474,002			$	474,496
Retailers - 0.1%
Rite Aid Corp., Second Lien Term Loan, 4.87%, 6/21/2021		$	328,597			$	329,076
Telephone Services - 0.1%
Level 3 Financing, Inc., Term Loan B, 4%, 1/15/2020		$	352,300			$	354,502
Transportation - Services - 0.2%
Commercial Barge Line Co., First Lien Term Loan, 9.75%, 11/12/2020		$	1,335,144			$	1,265,049
Utilities - Electric Power - 0.2%
Calpine Construction Finance Co. LP, Term Loan B1, 3.03%, 5/03/2020		$	905,884			$	905,507
Total Floating Rate Loans						$	9,484,431
Common Stocks - 0.1%
Energy - Independent - 0.1%
Pacific Exploration & Production Corp.			10,145			$	405,962

 

18

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Money Market Funds - 1.9%
MFS Institutional Money Market Portfolio, 0.62% (v)			9,192,522			$	9,192,522
Total Investments						$	585,623,192
Other Assets, Less Liabilities - (20.0)%							(97,683,707	)
Net Assets - 100.0%						$	487,939,485

 

(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 $174,086,704, representing 35.7% of net assets.

(o)	All or a portion of this position has not settled. Upon settlement date, interest rates for unsettled amounts will be determined. The rate shown, if any, represents the weighted average coupon rate for settled amounts.

(p)	Payment-in-kind security.

(q)	Interest received was less than stated coupon rate.

(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
A. Schulman, Inc., 6.875%, 6/01/2023			12/02/16-1/19/17				$1,009,393				$1,012,800
ABC Supply Co., Inc., 5.75%, 12/15/2023			1/26/17-1/30/17				494,872				494,000
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., 7.875%, 12/15/2024			12/02/16-1/05/17				1,026,989				1,091,125
Aramark Services, Inc., 4.75%, 6/01/2026			12/20/16-1/19/17				654,965				657,360
Bayview Financial Revolving Mortgage Loan Trust, FRN, 2.356%, 12/28/2040			3/01/06				1,797,428				1,378,639
Crown European Holdings S.A., 3.375%, 5/15/2025			4/28/15				713,278				713,077
First Union National Bank Commercial Mortgage Trust, FRN, 2.477%, 1/12/2043			12/11/03				458				626
Freeport-McMoRan, Inc., 6.5%, 11/15/2020			5/25/16				124,621				133,250
Freeport-McMoRan, Inc., 6.875%, 2/15/2023			10/07/16-1/24/17				924,107				919,485
Gulfport Energy Corp., 6.375%, 5/15/2025			12/15/16				315,000				322,875
Hanesbrands Finance Luxembourg S.C.A., 3.5%, 6/15/2024			5/19/16				223,940				222,884
KLX, Inc., 5.875%, 12/01/2022			1/09/17-1/13/17				260,427				261,875
Koppers, Inc., 6%, 2/15/2025			1/19/17-1/26/17				727,749				750,375
Liberty Mutual Group, Inc., 2.75%, 5/04/2026			4/26/16				134,533				132,886
Loomis, Sayles & Co., CLO, “A1”, FRN, 2.553%, 10/15/2027			7/27/16				2,488,028				2,493,924
Morgan Stanley Capital I, Inc., FRN, 1.481%, 4/28/2039			7/20/04				18,177				10,091
Park Aerospace Holdings Ltd., 5.5%, 2/15/2024			1/20/17-1/23/17				786,344				801,060
Republic of Indonesia, 2.875%, 7/08/2021			7/02/14				509,741				424,749
Six Flags Entertainment Corp., 4.875%, 7/31/2024			12/08/16-1/12/17				551,045				550,838
Spectrum Brands, Inc., 4%, 10/01/2026			9/14/16				314,972				311,745
Transdigm, Inc., 6.375%, 6/15/2026			1/23/17				154,613				152,675
Trinidad Drilling Ltd., 6.625%, 2/15/2025			1/27/17				250,000				255,625
Total Restricted Securities											$13,091,964
% of Net assets											2.7%

 

19

---

Portfolio of Investments (unaudited) – continued

 

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

 

CDO		Collateralized Debt Obligation
CLO		Collateralized Loan Obligation
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
HKD		Hong Kong Dollar
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

Derivative Contracts at 1/31/17

Forward Foreign Currency Exchange Contracts at 1/31/17

 

Type		Currency				Counterparty		Contracts to Deliver/Receive		Settlement Date Range		In Exchange For				Contracts at Value				Unrealized Appreciation (Depreciation)
Asset Derivatives
BUY			CAD			Citibank N.A.		487,516		3/10/17			$365,833				$374,790				$8,957
BUY			CHF			Goldman Sachs International		200,000		3/10/17			198,517				202,504				3,987
BUY			DKK			Citibank N.A.		11,054		3/10/17			1,606				1,607				1
BUY			EUR			Citibank N.A.		1,143,746		3/10/17			1,216,953				1,236,497				19,544
BUY			EUR			Goldman Sachs International		834,898		3/10/17			896,777				902,603				5,826
BUY			EUR			Morgan Stanley Capital Services, Inc.		2,025,848		3/10/17			2,137,186				2,190,133				52,947
BUY			GBP			Citibank N.A.		518,493		3/10/17			639,194				652,739				13,545
BUY			GBP			Goldman Sachs International		1,045,803		3/10/17			1,291,557				1,316,579				25,022
SELL			GBP			Merrill Lynch International		6,397,639		3/10/17			8,126,600				8,054,093				72,507
BUY			KRW			JPMorgan Chase Bank N.A.		112,535,000		3/16/17			95,587				96,876				1,289
SELL			MXN			JPMorgan Chase Bank N.A.		32,899,000		3/10/17			1,601,633				1,569,509				32,124
BUY			NOK			Morgan Stanley Capital Services, Inc.		6,390,000		3/10/17			736,977				774,950				37,973
BUY			NZD			JPMorgan Chase Bank N.A.		47,000		3/10/17			33,561				34,446				885
BUY			SEK			Barclays Bank PLC		6,864,000		3/10/17			747,691				786,047				38,356
BUY			SEK			Citibank N.A.		54,272		3/10/17			5,973				6,215				242
BUY			SGD			Barclays Bank PLC		102,000		3/10/17			71,958				72,397				439
BUY			ZAR			JPMorgan Chase Bank N.A.		1,099,000		3/10/17			79,936				81,039				1,103
																					$314,747
Liability Derivatives
SELL			AUD			Westpac Banking Corp.		1,360,795		3/10/17			$1,012,646				$1,031,139				$(18,493	)
SELL			CAD			Citibank N.A.		479,965		3/10/17			360,008				368,985				(8,977	)
SELL			CAD			Merrill Lynch International		2,988,168		3/10/17			2,255,077				2,297,227				(42,150	)
SELL			CHF			UBS AG		205,919		3/10/17			204,981				208,497				(3,516	)
SELL			EUR			Brown Brothers Harriman		282,000		3/10/17			295,216				304,869				(9,653	)
SELL			EUR			Citibank N.A.		16,484,931		3/10/17			17,737,515				17,821,762				(84,247	)

 

20

---

Portfolio of Investments (unaudited) – continued

 

Forward Foreign Currency Exchange Contracts at 1/31/17 - continued

 

Type		Currency				Counterparty		Contracts to Deliver/Receive		Settlement Date Range		In Exchange For				Contracts at Value				Unrealized Appreciation (Depreciation)
Liability Derivatives – continued
SELL			EUR			Goldman Sachs International		1,874,748		3/10/17			$2,005,520				$2,026,779				$(21,259	)
SELL			EUR			JPMorgan Chase Bank N.A.		9,946,101		3/10/17-4/18/17			10,628,358				10,772,198				(143,840	)
BUY			HKD			JPMorgan Chase Bank N.A.		19,818,000		3/10/17			2,556,796				2,555,267				(1,529	)
SELL			JPY			Citibank N.A.		15,428,000		3/10/17			131,915				136,799				(4,884	)
SELL			JPY			Goldman Sachs International		63,181,239		3/10/17			557,333				560,223				(2,890	)
SELL			NOK			Citibank N.A.		3,412,710		3/10/17			401,315				413,878				(12,563	)
SELL			NOK			JPMorgan Chase Bank N.A.		1,659,000		3/10/17			194,494				201,196				(6,702	)
SELL			NOK			UBS AG		1,374,000		3/10/17			161,302				166,631				(5,329	)
																					$(366,032	)

Futures Contracts at 1/31/17

 

Description

Currency

Contracts

Value

Expiration Date

Unrealized Appreciation (Depreciation)

Asset Derivatives

Interest Rate Futures

U.S. Treasury Note 10 yr (Short)

USD

467

$58,126,906

March - 2017

$158,836

U.S. Treasury Bond 30 yr (Short)

USD

5

754,219

March - 2017

2,989

$161,825

At January 31, 2017, the fund had cash collateral of $225,016 and other liquid securities with an aggregate value of $788,571 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

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Supplemental Information

1/31/17 (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

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. 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. 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. 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, 2017 in valuing the fund’s assets or liabilities:

 

Investments at Value		Level 1				Level 2				Level 3				Total
Equity Securities			$405,962				$—				$—				$405,962
U.S. Treasury Bonds & U.S. Government Agency & Equivalents			—				51,996,119				—				51,996,119
Non-U.S. Sovereign Debt			—				64,941,040				—				64,941,040
U.S. Corporate Bonds			—				313,800,012				—				313,800,012
Residential Mortgage-Backed Securities			—				26,537,535				—				26,537,535
Commercial Mortgage-Backed Securities			—				9,443,895				—				9,443,895
Asset-Backed Securities (including CDOs)			—				10,824,042				—				10,824,042
Foreign Bonds			—				88,997,634				—				88,997,634
Floating Rate Loans			—				9,484,431				—				9,484,431
Mutual Funds			9,192,522				—				—				9,192,522
Total Investments			$9,598,484				$576,024,708				$—				$585,623,192
Other Financial Instruments
Futures Contracts – Assets			$161,825				$—				$—				$161,825
Forward Foreign Currency Exchange Contracts – Assets			—				314,747				—				314,747
Forward Foreign Currency Exchange Contracts – Liabilities			—				(366,032	)			—				(366,032	)

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

(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			$589,663,929
Gross unrealized appreciation			14,411,092
Gross unrealized depreciation			(18,451,829	)
Net unrealized appreciation (depreciation)			$(4,040,737	)

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			19,203,537				41,699,747				(51,710,762	)			9,192,522
Underlying Affiliated Fund		Realized Gain (Loss)				Capital Gain Distributions				Dividend Income				Ending Value
MFS Institutional Money Market Portfolio			$(139	)			$—				$19,331				$9,192,522

 

23

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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.

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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.

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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)*		/S/ DAVID L. DILORENZO
		David L. DiLorenzo, President

Date: March 20, 2017

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)*		/S/ DAVID L. DILORENZO
		David L. DiLorenzo, President (Principal Executive Officer)

Date: March 20, 2017

 

By (Signature and Title)*		/S/ JAMES O. YOST
		James O. Yost, Treasurer (Principal Financial Officer and Accounting Officer)

Date: March 20, 2017

 

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