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, 2018
| ITEM 1. | SCHEDULE OF INVESTMENTS. |
Quarterly Report
January 31, 2018
MFS® Multimarket Income Trust
PORTFOLIO OF INVESTMENTS
1/31/18 (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 - 118.8% | ||||||||
| Aerospace - 1.2% | ||||||||
| Dae Funding LLC, 5%, 8/01/2024 (n) | $ | 1,235,000 | $ | 1,225,738 | ||||
| Huntington Ingalls Industries, Inc., 3.483%, 12/01/2027 (n) | 290,000 | 286,160 | ||||||
| KLX, Inc., 5.875%, 12/01/2022 (n) | 1,160,000 | 1,207,850 | ||||||
| Leonardo S.p.A., 1.5%, 6/07/2024 | EUR | 500,000 | 616,677 | |||||
| Lockheed Martin Corp., 3.55%, 1/15/2026 | $ | 406,000 | 414,251 | |||||
| TransDigm, Inc., 6%, 7/15/2022 | 245,000 | 251,431 | ||||||
| TransDigm, Inc., 6.5%, 7/15/2024 | 800,000 | 823,000 | ||||||
| TransDigm, Inc., 6.375%, 6/15/2026 | 555,000 | 569,569 | ||||||
|
|
|
|||||||
| $ | 5,394,676 | |||||||
| Airlines - 0.1% | ||||||||
| Ryanair Ltd., 1.125%, 3/10/2023 | EUR | 425,000 | $ | 536,530 | ||||
| Apparel Manufacturers - 0.2% | ||||||||
| Coach, Inc., 4.125%, 7/15/2027 | $ | 673,000 | $ | 668,337 | ||||
| Asset-Backed & Securitized - 2.7% | ||||||||
| Bayview Financial Revolving Mortgage Loan Trust, FLR, 3.166% (U.S. LIBOR-1mo. + 1.6%), 12/28/2040 (z) | $ | 1,534,307 | $ | 1,364,447 | ||||
| Chesapeake Funding II LLC, 2016-1A, “A2”, FLR, 2.709% (U.S. LIBOR-1mo. + 1.15%), 3/15/2028 (n) | 932,665 | 936,416 | ||||||
| Crest Ltd., CDO, 7% (0.001% cash or 7% PIK), 1/28/2040 (a)(p) | 3,424,498 | 381,147 | ||||||
| Dryden Senior Loan Fund, 2013-26A, “A”, CLO, FLR, 2.821% (U.S. LIBOR-3mo. + 1.1%), 7/15/2025 (n) | 1,230,039 | 1,230,725 | ||||||
| Dryden Senior Loan Fund, 2014-34A, “CR”, CLO, FLR, 3.871% (LIBOR-3mo. + 2.15%), 10/15/2026 (n) | 260,616 | 262,391 | ||||||
| First Union-Lehman Brothers Bank of America, 1.142%, 11/18/2035 (i) | 1,000,767 | 17,553 | ||||||
| HarbourView CLO VII Ltd., “B1R”, FLR, 3.085% (U.S. LIBOR-3mo. + 1.65%), 11/18/2026 (n) | 2,500,000 | 2,497,950 | ||||||
| JPMorgan Chase Commercial Mortgage Trust, 2007-LD11, “AM”, 6.04%, 6/15/2049 | 706,534 | 716,524 | ||||||
| Lehman Brothers Commercial Conduit Mortgage Trust, 1.121%, 2/18/2030 (i) | 86,100 | 1 | ||||||
| Loomis, Sayles & Co., CLO, “A1”, FLR, 3.251% (U.S. LIBOR-3mo. + 1.53%), 10/15/2027 (n) | 2,500,000 | 2,521,852 | ||||||
| Morgan Stanley Capital I, Inc., 1.493%, 4/28/2039 (i)(z) | 1,042,755 | 7,286 | ||||||
| Octagon Investment Partners XV, Ltd., CLO, FLR, 3.195% (U.S. LIBOR-3mo. + 1.45%), 10/25/2025 (n) | 2,423,375 | 2,424,529 | ||||||
|
|
|
|||||||
| $ | 12,360,821 | |||||||
| Automotive - 1.9% | ||||||||
| Allison Transmission, Inc., 5%, 10/01/2024 (n) | $ | 1,715,000 | $ | 1,732,150 | ||||
| Ferrari N.V., 1.5%, 3/16/2023 | EUR | 800,000 | 1,009,877 | |||||
| General Motors Financial Co., Inc., 3.45%, 4/10/2022 | $ | 486,000 | 487,691 | |||||
| General Motors Financial Co., Inc., 4.35%, 1/17/2027 | 195,000 | 198,380 | ||||||
| IHO Verwaltungs GmbH, 4.75% (4.75% cash or 5.5% PIK), 9/15/2026 (n)(p) | 970,000 | 979,700 | ||||||
| Jaguar Land Rover Automotive PLC, 3.875%, 3/01/2023 | GBP | 600,000 | 883,516 | |||||
| Lear Corp., 5.25%, 1/15/2025 | $ | 721,000 | 765,001 | |||||
| Volkswagen Bank GmbH, 0.75%, 6/15/2023 | EUR | 330,000 | 406,953 | |||||
| Volkswagen Leasing GmbH, 1.375%, 1/20/2025 | EUR | 550,000 | 690,698 | |||||
| ZF North America Capital, Inc., 4.5%, 4/29/2022 (n) | $ | 727,000 | 748,810 | |||||
| ZF North America Capital, Inc., 4.75%, 4/29/2025 (n) | 592,000 | 609,760 | ||||||
|
|
|
|||||||
| $ | 8,512,536 | |||||||
| Banks & Diversified Financials (Covered Bonds) - 0.3% | ||||||||
| BPER Banca S.p.A., 5.125% to 5/31/2022, FLR to 5/31/2027 | EUR | 600,000 | $ | 785,655 | ||||
| CaixaBank S.A., 2.75%, 7/14/2028 | EUR | 300,000 | 388,501 | |||||
|
|
|
|||||||
| $ | 1,174,156 | |||||||
| Broadcasting - 2.0% | ||||||||
| Liberty Media Corp. – Liberty Formula One, 8.5%, 7/15/2029 | $ | 1,280,000 | $ | 1,427,200 | ||||
| Liberty Media Corp. – Liberty Formula One, 8.25%, 2/01/2030 | 50,000 | 54,875 | ||||||
1
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Broadcasting - continued | ||||||||
| Match Group, Inc., 6.375%, 6/01/2024 | $ | 1,060,000 | $ | 1,146,125 | ||||
| Meredith Corp., 6.875%, 2/01/2026 (n) | 555,000 | 568,181 | ||||||
| Netflix, Inc., 5.875%, 2/15/2025 | 1,465,000 | 1,567,960 | ||||||
| Netflix, Inc., 4.375%, 11/15/2026 | 480,000 | 469,051 | ||||||
| Netflix, Inc., 3.625%, 5/15/2027 | EUR | 365,000 | 456,628 | |||||
| Netflix, Inc., 4.875%, 4/15/2028 (n) | $ | 280,000 | 277,900 | |||||
| ProSiebenSat.1 Media AG, 2.625%, 4/15/2021 | EUR | 740,000 | 967,734 | |||||
| Sinclair Television Group Co., 5.125%, 2/15/2027 (n) | $ | 915,000 | 908,138 | |||||
| WMG Acquisition Corp., 5%, 8/01/2023 (n) | 250,000 | 256,250 | ||||||
| WMG Acquisition Corp., 4.875%, 11/01/2024 (n) | 935,000 | 953,700 | ||||||
|
|
|
|||||||
| $ | 9,053,742 | |||||||
| Brokerage & Asset Managers - 0.3% | ||||||||
| E*TRADE Financial Corp., 2.95%, 8/24/2022 | $ | 335,000 | $ | 329,173 | ||||
| Intercontinental Exchange, Inc., 2.75%, 12/01/2020 | 274,000 | 275,205 | ||||||
| Intercontinental Exchange, Inc., 3.75%, 12/01/2025 | 450,000 | 463,486 | ||||||
| TD Ameritrade Holding Corp., 3.3%, 4/01/2027 | 469,000 | 465,103 | ||||||
|
|
|
|||||||
| $ | 1,532,967 | |||||||
| Building - 3.4% | ||||||||
| ABC Supply Co., Inc., 5.75%, 12/15/2023 (n) | $ | 1,140,000 | $ | 1,202,700 | ||||
| Beacon Escrow Corp., 4.875%, 11/01/2025 (n) | 705,000 | 701,475 | ||||||
| Beacon Roofing Supply, Inc., 6.375%, 10/01/2023 | 835,000 | 887,188 | ||||||
| Elementia S.A. de C.V., 5.5%, 1/15/2025 (n) | 210,000 | 214,307 | ||||||
| Gibraltar Industries, Inc., 6.25%, 2/01/2021 | 1,150,000 | 1,167,250 | ||||||
| HD Supply, Inc., 5.75%, 4/15/2024 (n) | 1,070,000 | 1,144,900 | ||||||
| Imerys S.A., 1.5%, 1/15/2027 | EUR | 400,000 | 498,497 | |||||
| James Hardie International Finance Ltd., 4.75%, 1/15/2025 (n) | $ | 210,000 | 212,642 | |||||
| James Hardie International Finance Ltd., 5%, 1/15/2028 (n) | 830,000 | 838,300 | ||||||
| Martin Marietta Materials, Inc., 3.5%, 12/15/2027 | 357,000 | 347,518 | ||||||
| Martin Marietta Materials, Inc., 3.45%, 6/01/2027 | 225,000 | 217,672 | ||||||
| Masco Corp., 4.45%, 4/01/2025 | 170,000 | 177,548 | ||||||
| Masco Corp., 4.375%, 4/01/2026 | 791,000 | 822,640 | ||||||
| Mohawk Industries, Inc., 3.85%, 2/01/2023 | 653,000 | 669,073 | ||||||
| New Enterprise Stone & Lime Co., Inc., 10.125%, 4/01/2022 (n) | 1,045,000 | 1,135,131 | ||||||
| Owens Corning, 4.4%, 1/30/2048 | 365,000 | 360,458 | ||||||
| PriSo Acquisition Corp., 9%, 5/15/2023 (n) | 815,000 | 862,881 | ||||||
| Standard Industries, Inc., 4.75%, 1/15/2028 (n) | 844,000 | 837,670 | ||||||
| Standard Industries, Inc., 5.375%, 11/15/2024 (n) | 1,050,000 | 1,086,750 | ||||||
| Standard Industries, Inc., 6%, 10/15/2025 (n) | 735,000 | 780,938 | ||||||
| Summit Materials LLC/Summit Materials Finance Co., 6.125%, 7/15/2023 | 995,000 | 1,027,338 | ||||||
| Union Andina de Cementos S.A.A., 5.875%, 10/30/2021 (n) | 270,000 | 280,125 | ||||||
|
|
|
|||||||
| $ | 15,473,001 | |||||||
| Business Services - 2.6% | ||||||||
| Alliance Data Systems Corp., 5.875%, 11/01/2021 (n) | $ | 1,015,000 | $ | 1,042,913 | ||||
| Alliance Data Systems Corp., 5.375%, 8/01/2022 (n) | 140,000 | 141,540 | ||||||
| Ascend Learning LLC, 6.875%, 8/01/2025 (n) | 670,000 | 693,450 | ||||||
| CDK Global, Inc., 4.875%, 6/01/2027 (n) | 1,490,000 | 1,493,144 | ||||||
| Cisco Systems, Inc., 2.2%, 2/28/2021 | 530,000 | 523,916 | ||||||
| Equinix, Inc., 5.375%, 1/01/2022 | 290,000 | 300,513 | ||||||
| Equinix, Inc., 5.375%, 4/01/2023 | 1,065,000 | 1,094,288 | ||||||
| Equinix, Inc., 5.75%, 1/01/2025 | 537,000 | 566,535 | ||||||
| Equinix, Inc., 5.875%, 1/15/2026 | 530,000 | 563,125 | ||||||
| Fidelity National Information Services, Inc., 3.875%, 6/05/2024 | 180,000 | 185,295 | ||||||
2
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Business Services - continued | ||||||||
| Fidelity National Information Services, Inc., 5%, 10/15/2025 | $ | 58,000 | $ | 62,917 | ||||
| Fidelity National Information Services, Inc., 3%, 8/15/2026 | 504,000 | 478,816 | ||||||
| First Data Corp., 5%, 1/15/2024 (n) | 1,760,000 | 1,806,200 | ||||||
| MSCI, Inc., 4.75%, 8/01/2026 (n) | 800,000 | 816,000 | ||||||
| Tencent Holdings Ltd., 3.375%, 3/05/2018 (n) | 664,000 | 664,559 | ||||||
| Tencent Holdings Ltd., 3.8%, 2/11/2025 (n) | 734,000 | 745,803 | ||||||
| Vantiv LLC/Vantiv Issuer Corp., 4.375%, 11/15/2025 (n) | 625,000 | 620,313 | ||||||
|
|
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|||||||
| $ | 11,799,327 | |||||||
| Cable TV - 5.4% | ||||||||
| Altice Financing S.A., 6.625%, 2/15/2023 (n) | $ | 1,325,000 | $ | 1,342,093 | ||||
| Altice Financing S.A., 7.5%, 5/15/2026 (n) | 200,000 | 207,750 | ||||||
| Altice Finco S.A., 8.125%, 1/15/2024 (n) | 719,000 | 740,570 | ||||||
| Altice U.S. Finance I Corp., 5.5%, 5/15/2026 (n) | 665,000 | 679,963 | ||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.25%, 9/30/2022 | 500,000 | 511,875 | ||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023 (n) | 1,075,000 | 1,095,828 | ||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 1/15/2024 | 1,395,000 | 1,436,850 | ||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025 (n) | 305,000 | 309,575 | ||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 2/15/2026 (n) | 705,000 | 729,675 | ||||||
| Charter Communications Operating LLC, 6.384%, 10/23/2035 | 555,000 | 644,690 | ||||||
| Comcast Corp., 2.75%, 3/01/2023 | 1,365,000 | 1,353,202 | ||||||
| Cox Communications, Inc., 4.6%, 8/15/2047 (n) | 614,000 | 614,410 | ||||||
| CSC Holdings LLC, 5.5%, 4/15/2027 (n) | 1,270,000 | 1,285,875 | ||||||
| DISH DBS Corp., 5%, 3/15/2023 | 1,010,000 | 947,229 | ||||||
| DISH DBS Corp., 5.875%, 11/15/2024 | 755,000 | 715,834 | ||||||
| Intelsat Jackson Holdings S.A., 5.5%, 8/01/2023 | 530,000 | 416,050 | ||||||
| Intelsat Jackson Holdings S.A., 8%, 2/15/2024 (n) | 270,000 | 283,500 | ||||||
| Lynx II Corp., 6.375%, 4/15/2023 (n) | 675,000 | 695,250 | ||||||
| Shaw Communications, Inc., 5.65%, 10/01/2019 | CAD | 417,000 | 357,196 | |||||
| Sirius XM Radio, Inc., 4.625%, 5/15/2023 (n) | $ | 540,000 | 546,750 | |||||
| Sirius XM Radio, Inc., 6%, 7/15/2024 (n) | 1,215,000 | 1,272,713 | ||||||
| Sirius XM Radio, Inc., 5.375%, 4/15/2025 (n) | 650,000 | 669,500 | ||||||
| Sirius XM Radio, Inc., 5.375%, 7/15/2026 (n) | 388,000 | 397,215 | ||||||
| Sky PLC, 2.5%, 9/15/2026 | EUR | 600,000 | 810,873 | |||||
| Telenet Finance Lux S.A., 5.5%, 3/01/2028 (n) | $ | 800,000 | 796,000 | |||||
| Time Warner Cable, Inc., 4.5%, 9/15/2042 | 210,000 | 193,320 | ||||||
| Unitymedia KabelBW GmbH, 6.125%, 1/15/2025 (n) | 1,230,000 | 1,294,206 | ||||||
| Videotron Ltd., 5.375%, 6/15/2024 (n) | 215,000 | 228,438 | ||||||
| Videotron Ltd., 5.125%, 4/15/2027 (n) | 1,615,000 | 1,675,563 | ||||||
| Virgin Media Secured Finance PLC, 5.25%, 1/15/2026 (n) | 710,000 | 722,425 | ||||||
| VTR Finance B.V., 6.875%, 1/15/2024 (n) | 207,000 | 217,868 | ||||||
| Ziggo Bond Finance B.V., 5.875%, 1/15/2025 (n) | 1,105,000 | 1,096,370 | ||||||
|
|
|
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| $ | 24,288,656 | |||||||
| Chemicals - 1.0% | ||||||||
| Air Liquide Finance Co., 2.25%, 9/27/2023 (n) | $ | 493,000 | $ | 471,632 | ||||
| Axalta Coating Systems Co., 4.875%, 8/15/2024 (n) | 925,000 | 955,063 | ||||||
| Consolidated Energy Finance S.A., 6.875%, 6/15/2025 (n) | 655,000 | 692,663 | ||||||
| GCP Applied Technologies Co., 9.5%, 2/01/2023 (n) | 1,215,000 | 1,339,538 | ||||||
| SPCM S.A., 4.875%, 9/15/2025 (n) | 1,100,000 | 1,102,750 | ||||||
|
|
|
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| $ | 4,561,646 | |||||||
| Computer Software - 1.2% | ||||||||
| Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.02%, 6/15/2026 (n) | $ | 600,000 | $ | 656,160 | ||||
| Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.875%, 6/15/2021 (n) | 840,000 | 871,500 | ||||||
3
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Computer Software - continued | ||||||||
| Microsoft Corp., 4.1%, 2/06/2037 | $ | 922,000 | $ | 1,002,045 | ||||
| Nuance Communications Co., 5.625%, 12/15/2026 | 740,000 | 764,716 | ||||||
| Oracle Corp., 3.4%, 7/08/2024 | 483,000 | 490,906 | ||||||
| VeriSign, Inc., 4.625%, 5/01/2023 | 1,005,000 | 1,030,125 | ||||||
| VeriSign, Inc., 5.25%, 4/01/2025 | 130,000 | 137,800 | ||||||
| VeriSign, Inc., 4.75%, 7/15/2027 | 302,000 | 304,265 | ||||||
|
|
|
|||||||
| $ | 5,257,517 | |||||||
| Computer Software - Systems - 1.5% | ||||||||
| Apple, Inc., 3.05%, 7/31/2029 | GBP | 450,000 | $ | 693,981 | ||||
| Apple, Inc., 4.5%, 2/23/2036 | $ | 1,100,000 | 1,232,792 | |||||
| Apple, Inc., 4.25%, 2/09/2047 | 135,000 | 145,094 | ||||||
| CDW LLC/CDW Finance Corp., 5.5%, 12/01/2024 | 425,000 | 458,734 | ||||||
| CDW LLC/CDW Finance Corp., 5%, 9/01/2025 | 270,000 | 274,388 | ||||||
| JDA Software Group, Inc., 7.375%, 10/15/2024 (n) | 1,005,000 | 1,056,506 | ||||||
| Sabre GLBL, Inc., 5.375%, 4/15/2023 (n) | 1,145,000 | 1,162,519 | ||||||
| SS&C Technologies Holdings, Inc., 5.875%, 7/15/2023 | 775,000 | 812,781 | ||||||
| Western Digital Corp., 10.5%, 4/01/2024 | 995,000 | 1,163,155 | ||||||
|
|
|
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| $ | 6,999,950 | |||||||
| Conglomerates - 2.4% | ||||||||
| Amsted Industries Co., 5%, 3/15/2022 (n) | $ | 1,510,000 | $ | 1,540,200 | ||||
| Colfax Corp., 3.25%, 5/15/2025 | EUR | 400,000 | 512,000 | |||||
| EnerSys, 5%, 4/30/2023 (n) | $ | 1,540,000 | 1,603,525 | |||||
| Enpro Industries, Inc., 5.875%, 9/15/2022 | 1,415,000 | 1,471,600 | ||||||
| Entegris, Inc., 4.625%, 2/10/2026 (n) | 1,075,000 | 1,079,031 | ||||||
| Gates Global LLC, 6%, 7/15/2022 (n) | 960,000 | 980,400 | ||||||
| Parker-Hannifin Corp., 4.1%, 3/01/2047 | 283,000 | 299,509 | ||||||
| Smiths Group PLC, 2%, 2/23/2027 | EUR | 400,000 | 514,010 | |||||
| SPX FLOW, Inc., 5.625%, 8/15/2024 (n) | $ | 985,000 | 1,021,938 | |||||
| Thyssenkrupp AG, 1.375%, 3/03/2022 | EUR | 650,000 | 821,456 | |||||
| TriMas Corp., 4.875%, 10/15/2025 (n) | $ | 1,180,000 | 1,185,900 | |||||
|
|
|
|||||||
| $ | 11,029,569 | |||||||
| Construction - 0.4% | ||||||||
| Empresas ICA S.A.B. de C.V., 8.9%, 2/04/2021 (a)(d) | $ | 590,000 | $ | 89,012 | ||||
| Empresas ICA S.A.B. de C.V., 8.875%, 5/29/2024 (a)(d)(n) | 914,000 | 151,953 | ||||||
| Mattamy Group Corp., 6.5%, 10/01/2025 (n) | 870,000 | 916,763 | ||||||
| Toll Bros Finance Corp., 4.35%, 2/15/2028 | 670,000 | 663,300 | ||||||
|
|
|
|||||||
| $ | 1,821,028 | |||||||
| Consumer Products - 1.0% | ||||||||
| Essity AB, 1.125%, 3/27/2024 | EUR | 500,000 | $ | 626,667 | ||||
| Prestige Brands, Inc., 5.375%, 12/15/2021 (n) | $ | 845,000 | 855,563 | |||||
| Prestige Brands, Inc., 6.375%, 3/01/2024 (n) | 560,000 | 576,800 | ||||||
| Reckitt Benckiser Treasury Services PLC, 3.625%, 9/21/2023 (n) | 500,000 | 507,285 | ||||||
| Reckitt Benckiser Treasury Services PLC, 3%, 6/26/2027 (n) | 596,000 | 566,460 | ||||||
| Spectrum Brands, Inc., 6.125%, 12/15/2024 | 165,000 | 174,900 | ||||||
| Spectrum Brands, Inc., 5.75%, 7/15/2025 | 995,000 | 1,047,238 | ||||||
|
|
|
|||||||
| $ | 4,354,913 | |||||||
| Consumer Services - 1.8% | ||||||||
| G4S International Finance PLC, 1.5%, 1/09/2023 | EUR | 650,000 | $ | 823,863 | ||||
| IHS Markit Ltd., 4%, 3/01/2026 (n) | $ | 165,000 | 160,256 | |||||
| Interval Acquisition Corp., 5.625%, 4/15/2023 | 1,635,000 | 1,688,138 | ||||||
| Matthews International Corp., 5.25%, 12/01/2025 (n) | 845,000 | 857,675 | ||||||
4
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Consumer Services - continued | ||||||||
| Priceline Group, Inc., 3.55%, 3/15/2028 | $ | 238,000 | $ | 232,961 | ||||
| Priceline Group, Inc., 2.15%, 11/25/2022 | EUR | 170,000 | 225,607 | |||||
| Priceline Group, Inc., 1.8%, 3/03/2027 | EUR | 650,000 | 822,202 | |||||
| Service Corp. International, 4.625%, 12/15/2027 | $ | 485,000 | 480,756 | |||||
| ServiceMaster Co. LLC, 5.125%, 11/15/2024 (n) | 690,000 | 691,725 | ||||||
| Visa, Inc., 2.8%, 12/14/2022 | 542,000 | 540,170 | ||||||
| Visa, Inc., 4.15%, 12/14/2035 | 465,000 | 503,412 | ||||||
| Visa, Inc., 3.65%, 9/15/2047 | 273,000 | 271,733 | ||||||
| West Corp., 8.5%, 10/15/2025 (n) | 805,000 | 792,925 | ||||||
|
|
|
|||||||
| $ | 8,091,423 | |||||||
| Containers - 2.8% | ||||||||
| Ball Corp., 5.25%, 7/01/2025 | $ | 330,000 | $ | 349,800 | ||||
| Berry Global Group, Inc., 5.5%, 5/15/2022 | 1,155,000 | 1,192,641 | ||||||
| Berry Global Group, Inc., 6%, 10/15/2022 | 680,000 | 708,900 | ||||||
| Berry Global, Inc., 4.5%, 2/15/2026 (n) | 365,000 | 363,978 | ||||||
| Crown American LLC, 4.5%, 1/15/2023 | 1,147,000 | 1,172,808 | ||||||
| Crown Americas LLC/Crown Americas Capital Corp., 4.75%, 2/01/2026 (n) | 320,000 | 321,600 | ||||||
| Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/2026 | 590,000 | 573,775 | ||||||
| DS Smith PLC, 1.375%, 7/26/2024 | EUR | 500,000 | 621,170 | |||||
| Multi-Color Corp., 6.125%, 12/01/2022 (n) | $ | 1,426,000 | 1,483,040 | |||||
| Multi-Color Corp., 4.875%, 11/01/2025 (n) | 100,000 | 100,375 | ||||||
| Reynolds Group, 5.75%, 10/15/2020 | 581,465 | 591,640 | ||||||
| Reynolds Group, 5.125%, 7/15/2023 (n) | 725,000 | 744,503 | ||||||
| Reynolds Group, 7%, 7/15/2024 (n) | 625,000 | 664,844 | ||||||
| Sealed Air Corp., 4.875%, 12/01/2022 (n) | 1,110,000 | 1,159,950 | ||||||
| Sealed Air Corp., 5.125%, 12/01/2024 (n) | 370,000 | 391,275 | ||||||
| Sealed Air Corp., 5.5%, 9/15/2025 (n) | 195,000 | 210,113 | ||||||
| Signode Industrial Group, 6.375%, 5/01/2022 (n) | 1,190,000 | 1,237,600 | ||||||
| Silgan Holdings, Inc., 5.5%, 2/01/2022 | 90,000 | 91,800 | ||||||
| Silgan Holdings, Inc., 4.75%, 3/15/2025 | 890,000 | 910,025 | ||||||
|
|
|
|||||||
| $ | 12,889,837 | |||||||
| Electrical Equipment - 0.3% | ||||||||
| CommScope Holding Company, Inc., 5.5%, 6/15/2024 (n) | $ | 240,000 | $ | 248,700 | ||||
| CommScope Technologies LLC, 5%, 3/15/2027 (n) | 1,205,000 | 1,200,481 | ||||||
|
|
|
|||||||
| $ | 1,449,181 | |||||||
| Electronics - 0.9% | ||||||||
| Broadcom Corp./Broadcom Cayman Finance Ltd., 3.875%, 1/15/2027 (n) | $ | 767,000 | $ | 746,421 | ||||
| Intel Corp., 3.15%, 5/11/2027 | 1,019,000 | 1,010,020 | ||||||
| Sensata Technologies B.V., 5.625%, 11/01/2024 (n) | 645,000 | 702,244 | ||||||
| Sensata Technologies B.V., 5%, 10/01/2025 (n) | 890,000 | 923,375 | ||||||
| Tyco Electronics Group S.A., 1.1%, 3/01/2023 | EUR | 550,000 | 694,229 | |||||
|
|
|
|||||||
| $ | 4,076,289 | |||||||
| Emerging Market Quasi-Sovereign - 5.0% | ||||||||
| Autoridad del Canal de Panama, 4.95%, 7/29/2035 (n) | $ | 201,000 | $ | 223,613 | ||||
| Banco de Reservas de la Republica Dominicana, 7%, 2/01/2023 (n) | 946,000 | 1,002,793 | ||||||
| CNPC (HK) Overseas Capital Ltd., 4.5%, 4/28/2021 (n) | 1,242,000 | 1,295,748 | ||||||
| CNPC General Capital Ltd., 3.4%, 4/16/2023 (n) | 391,000 | 389,637 | ||||||
| Comision Federal de Electricidad, 5.75%, 2/14/2042 (n) | 915,000 | 957,319 | ||||||
| Corporacion Financiera de Desarrollo S.A., 4.75%, 7/15/2025 (n) | 268,000 | 284,777 | ||||||
| Empresa Nacional del Petroleo, 4.375%, 10/30/2024 (n) | 296,000 | 309,179 | ||||||
| Empresa Nacional del Petroleo, 3.75%, 8/05/2026 (n) | 423,000 | 420,885 | ||||||
| Gaz Capital S.A., 4.95%, 2/06/2028 (n) | 492,000 | 512,910 | ||||||
5
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Emerging Market Quasi-Sovereign - continued | ||||||||
| KazTransGas JSC, 4.375%, 9/26/2027 | $ | 913,000 | $ | 915,465 | ||||
| Majapahit Holding B.V., 8%, 8/07/2019 (n) | 1,197,000 | 1,287,733 | ||||||
| Majapahit Holding B.V., 7.75%, 1/20/2020 (n) | 1,045,000 | 1,136,542 | ||||||
| Office Cherifien des Phosphates S.A., 4.5%, 10/22/2025 (n) | 371,000 | 373,842 | ||||||
| Office Cherifien des Phosphates S.A., 6.875%, 4/25/2044 (n) | 373,000 | 436,485 | ||||||
| Pertamina PT, 5.25%, 5/23/2021 (n) | 511,000 | 543,786 | ||||||
| Pertamina PT, 4.875%, 5/03/2022 (n) | 540,000 | 570,276 | ||||||
| Pertamina PT, 4.3%, 5/20/2023 (n) | 323,000 | 334,677 | ||||||
| Pertamina PT, 6%, 5/03/2042 | 680,000 | 766,795 | ||||||
| Petrobras Global Finance B.V., 6.125%, 1/17/2022 | 53,000 | 56,498 | ||||||
| Petrobras Global Finance B.V., 6.25%, 3/17/2024 | 1,043,000 | 1,114,811 | ||||||
| Petrobras Global Finance B.V., 7.375%, 1/17/2027 | 44,000 | 48,803 | ||||||
| Petrobras International Finance Co., 6.75%, 1/27/2041 | 1,159,000 | 1,176,385 | ||||||
| Petroleos Mexicanos, 5.5%, 1/21/2021 | 1,199,000 | 1,271,300 | ||||||
| Petroleos Mexicanos, 4.625%, 9/21/2023 | 221,000 | 227,190 | ||||||
| Petroleos Mexicanos, 6.75%, 9/21/2047 | 161,000 | 168,245 | ||||||
| PT Perusahaan Gas Negara (Persero) Tbk, 5.125%, 5/16/2024 (n) | 438,000 | 469,303 | ||||||
| Sinopec Capital (2013) Ltd., 3.125%, 4/24/2023 (n) | 666,000 | 653,767 | ||||||
| Sinopec Capital (2013) Ltd., 4.25%, 4/24/2043 (n) | 548,000 | 555,195 | ||||||
| Sinopec Group Overseas Development (2012) Ltd., 3.9%, 5/17/2022 (n) | 544,000 | 556,545 | ||||||
| Southern Gas Corridor CJSC, 6.875%, 3/24/2026 | 1,367,000 | 1,563,233 | ||||||
| State Grid Overseas Investment (2014) Ltd., 4.125%, 5/07/2024 (n) | 2,263,000 | 2,341,436 | ||||||
| State Grid Overseas Investment (2016) Ltd., 2.75%, 5/04/2022 (n) | 776,000 | 759,976 | ||||||
|
|
|
|||||||
| $ | 22,725,149 | |||||||
| Emerging Market Sovereign - 6.1% | ||||||||
| Dominican Republic, 7.5%, 5/06/2021 (n) | $ | 879,000 | $ | 954,155 | ||||
| Dominican Republic, 6.6%, 1/28/2024 (n) | 188,000 | 208,680 | ||||||
| Dominican Republic, 5.875%, 4/18/2024 (n) | 206,000 | 220,420 | ||||||
| Dominican Republic, 5.5%, 1/27/2025 (n) | 211,000 | 220,495 | ||||||
| Oriental Republic of Uruguay, 4.375%, 10/27/2027 | 377,731 | 400,773 | ||||||
| Republic of Argentina, 6.875%, 4/22/2021 | 1,489,000 | 1,588,019 | ||||||
| Republic of Colombia, 8.125%, 5/21/2024 | 679,000 | 855,540 | ||||||
| Republic of Colombia, 6.125%, 1/18/2041 | 435,000 | 523,088 | ||||||
| Republic of Croatia, 5.5%, 4/04/2023 (n) | 1,362,000 | 1,483,948 | ||||||
| Republic of Hungary, 7.625%, 3/29/2041 | 488,000 | 743,170 | ||||||
| Republic of Indonesia, 11.625%, 3/04/2019 | 733,000 | 803,816 | ||||||
| Republic of Indonesia, 2.875%, 7/08/2021 (z) | EUR | 375,000 | 503,759 | |||||
| Republic of Indonesia, 3.375%, 4/15/2023 (n) | $ | 517,000 | 518,185 | |||||
| Republic of Indonesia, 5.875%, 1/15/2024 (n) | 225,000 | 253,852 | ||||||
| Republic of Indonesia, 2.15%, 7/18/2024 (z) | EUR | 324,000 | 424,958 | |||||
| Republic of Indonesia, 4.125%, 1/15/2025 (n) | $ | 339,000 | 349,577 | |||||
| Republic of Indonesia, 4.125%, 1/15/2025 | 1,422,000 | 1,466,366 | ||||||
| Republic of Kazakhstan, 3.875%, 10/14/2024 (n) | 427,000 | 443,013 | ||||||
| Republic of Kazakhstan, 4.875%, 10/14/2044 (n) | 207,000 | 219,862 | ||||||
| Republic of Panama, 8.875%, 9/30/2027 | 1,273,000 | 1,826,755 | ||||||
| Republic of Panama, 9.375%, 4/01/2029 | 423,000 | 636,192 | ||||||
| Republic of Paraguay, 4.625%, 1/25/2023 (n) | 212,000 | 220,745 | ||||||
| Republic of Peru, 8.75%, 11/21/2033 | 629,000 | 990,046 | ||||||
| Republic of Peru, 5.625%, 11/18/2050 | 217,000 | 273,095 | ||||||
| Republic of Poland, 5%, 3/23/2022 | 609,000 | 657,570 | ||||||
| Republic of Romania, 6.75%, 2/07/2022 (n) | 1,074,000 | 1,217,916 | ||||||
| Republic of Sri Lanka, 6.125%, 6/03/2025 | 1,336,000 | 1,405,631 | ||||||
| Republic of Turkey, 6.25%, 9/26/2022 | 646,000 | 697,969 | ||||||
| Republic of Turkey, 4.875%, 10/09/2026 | 1,229,000 | 1,197,783 | ||||||
6
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Emerging Market Sovereign - continued | ||||||||
| Russian Federation, 4.875%, 9/16/2023 (n) | $ | 800,000 | $ | 854,368 | ||||
| Russian Federation, 4.75%, 5/27/2026 | 1,000,000 | 1,062,750 | ||||||
| Russian Federation, 5.625%, 4/04/2042 (n) | 600,000 | 672,000 | ||||||
| United Mexican States, 3.625%, 3/15/2022 | 856,000 | 879,112 | ||||||
| United Mexican States, 3.75%, 1/11/2028 | 1,450,000 | 1,422,450 | ||||||
| United Mexican States, 8.5%, 5/31/2029 | MXN | 29,290,000 | 1,673,779 | |||||
|
|
|
|||||||
| $ | 27,869,837 | |||||||
| Energy - Independent - 4.1% | ||||||||
| Afren PLC, 11.5%, 2/01/2016 (a)(d)(z) | $ | 326,905 | $ | 817 | ||||
| Afren PLC, 10.25%, 4/08/2019 (a)(d)(z) | 213,708 | 534 | ||||||
| Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., 7.875%, 12/15/2024 | 1,265,000 | 1,391,500 | ||||||
| Continental Resources, Inc., 4.5%, 4/15/2023 | 1,625,000 | 1,645,313 | ||||||
| CrownRock LP/CrownRock Finance, Inc., 5.625%, 10/15/2025 (n) | 1,055,000 | 1,065,550 | ||||||
| Diamondback Energy, Inc., 5.375%, 5/31/2025 | 1,145,000 | 1,189,369 | ||||||
| Diamondback Energy, Inc., 5.375%, 5/31/2025 (n) | 490,000 | 508,988 | ||||||
| Gulfport Energy Corp., 6%, 10/15/2024 | 720,000 | 725,400 | ||||||
| Gulfport Energy Corp., 6.375%, 5/15/2025 | 415,000 | 423,300 | ||||||
| Parsley Energy LLC/Parsley Finance Corp., 5.625%, 10/15/2027 (n) | 1,250,000 | 1,284,375 | ||||||
| PDC Energy, Inc., 6.125%, 9/15/2024 | 1,325,000 | 1,378,000 | ||||||
| QEP Resources, Inc., 5.25%, 5/01/2023 | 1,230,000 | 1,254,600 | ||||||
| QEP Resources, Inc., 5.625%, 3/01/2026 | 480,000 | 489,600 | ||||||
| Seven Generations Energy, 6.75%, 5/01/2023 (n) | 890,000 | 942,288 | ||||||
| Seven Generations Energy, 5.375%, 9/30/2025 (n) | 640,000 | 646,400 | ||||||
| SM Energy Co., 6.75%, 9/15/2026 | 1,315,000 | 1,370,888 | ||||||
| SRC Energy, Inc., 6.25%, 12/01/2025 (n) | 680,000 | 700,400 | ||||||
| Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 (n) | 422,000 | 420,288 | ||||||
| Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 | 1,025,000 | 1,020,841 | ||||||
| Whiting Petroleum Corp., 6.25%, 4/01/2023 | 1,175,000 | 1,210,250 | ||||||
| WPX Energy, Inc., 6%, 1/15/2022 | 880,000 | 926,200 | ||||||
|
|
|
|||||||
| $ | 18,594,901 | |||||||
| Entertainment - 1.3% | ||||||||
| Carnival Corp., 1.875%, 11/07/2022 | EUR | 550,000 | $ | 724,162 | ||||
| Cedar Fair LP, 5.375%, 6/01/2024 | $ | 415,000 | 431,600 | |||||
| Cedar Fair LP, 5.375%, 4/15/2027 (n) | 555,000 | 578,588 | ||||||
| Cinemark USA, Inc., 5.125%, 12/15/2022 | 1,045,000 | 1,071,125 | ||||||
| Cinemark USA, Inc., 4.875%, 6/01/2023 | 1,130,000 | 1,144,125 | ||||||
| Six Flags Entertainment Corp., 4.875%, 7/31/2024 (n) | 1,970,000 | 1,997,088 | ||||||
|
|
|
|||||||
| $ | 5,946,688 | |||||||
| Financial Institutions - 1.8% | ||||||||
| AerCap Ireland Capital Ltd., 4.625%, 10/30/2020 | $ | 150,000 | $ | 156,495 | ||||
| AerCap Ireland Capital Ltd., 3.65%, 7/21/2027 | 650,000 | 626,340 | ||||||
| Aircastle Ltd., 5.125%, 3/15/2021 | 250,000 | 262,265 | ||||||
| Aircastle Ltd., 5.5%, 2/15/2022 | 755,000 | 801,553 | ||||||
| International Lease Finance Corp., 7.125%, 9/01/2018 (n) | 337,000 | 346,230 | ||||||
| Nationstar Mortgage LLC/Capital Corp., 6.5%, 8/01/2018 | 785,000 | 785,981 | ||||||
| Nationstar Mortgage LLC/Capital Corp., 7.875%, 10/01/2020 | 1,410,000 | 1,445,250 | ||||||
| Nationstar Mortgage LLC/Capital Corp., 6.5%, 7/01/2021 | 345,000 | 349,021 | ||||||
| Navient Corp., 7.25%, 1/25/2022 | 1,010,000 | 1,093,628 | ||||||
| Navient Corp., 7.25%, 9/25/2023 | 375,000 | 404,063 | ||||||
| Park Aerospace Holdings Ltd., 5.5%, 2/15/2024 (n) | 1,910,000 | 1,890,900 | ||||||
|
|
|
|||||||
| $ | 8,161,726 | |||||||
7
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Food & Beverages - 3.0% | ||||||||
| Anheuser-Busch InBev N.V., 1.5%, 4/18/2030 | EUR | 325,000 | $ | 394,755 | ||||
| Anheuser-Busch InBev Worldwide, Inc., 3.75%, 1/15/2022 | $ | 221,000 | 227,957 | |||||
| Anheuser-Busch InBev Worldwide, Inc., 3.3%, 2/01/2023 | 1,729,000 | 1,742,604 | ||||||
| Anheuser-Busch InBev Worldwide, Inc., 4.7%, 2/01/2036 | 334,000 | 368,612 | ||||||
| Aramark Services, Inc., 4.75%, 6/01/2026 | 955,000 | 960,969 | ||||||
| Aramark Services, Inc., 5%, 2/01/2028 (n) | 655,000 | 668,100 | ||||||
| Coca-Cola Enterprises, Inc., 1.875%, 3/18/2030 | EUR | 325,000 | 413,090 | |||||
| Constellation Brands, Inc., 4.25%, 5/01/2023 | $ | 894,000 | 933,636 | |||||
| Constellation Brands, Inc., 4.75%, 12/01/2025 | 313,000 | 337,202 | ||||||
| Cott Holdings, Inc., 5.5%, 4/01/2025 (n) | 1,135,000 | 1,156,281 | ||||||
| Gruma S.A.B. de C.V., 4.875%, 12/01/2024 (n) | 202,000 | 214,625 | ||||||
| JBS Investments GmbH, 7.75%, 10/28/2020 (n) | 201,000 | 206,528 | ||||||
| JBS USA Lux S.A./JBS USA Finance, Inc., 5.875%, 7/15/2024 (n) | 1,185,000 | 1,187,963 | ||||||
| Kraft Heinz Foods Co., 5.2%, 7/15/2045 | 60,000 | 64,859 | ||||||
| Kraft Heinz Foods Co., 4.375%, 6/01/2046 | 256,000 | 250,275 | ||||||
| Lamb Weston Holdings, Inc., 4.625%, 11/01/2024 (n) | 750,000 | 761,250 | ||||||
| Lamb Weston Holdings, Inc., 4.875%, 11/01/2026 (n) | 445,000 | 453,900 | ||||||
| Pilgrim’s Pride Corp., 5.875%, 9/30/2027 (n) | 835,000 | 837,088 | ||||||
| Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.875%, 1/15/2024 | 1,085,000 | 1,148,809 | ||||||
| U.S. Foods Holding Corp., 5.875%, 6/15/2024 (n) | 995,000 | 1,037,288 | ||||||
| Wm. Wrigley Jr. Co., 2.9%, 10/21/2019 (n) | 239,000 | 240,449 | ||||||
| Wm. Wrigley Jr. Co., 3.375%, 10/21/2020 (n) | 124,000 | 126,583 | ||||||
|
|
|
|||||||
| $ | 13,732,823 | |||||||
| Forest & Paper Products - 0.0% | ||||||||
| Appvion, Inc., 9%, 6/01/2020 (d)(n) | $ | 340,000 | $ | 17,000 | ||||
| Gaming & Lodging - 1.5% | ||||||||
| CCM Merger, Inc., 6%, 3/15/2022 (n) | $ | 860,000 | $ | 881,500 | ||||
| GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/01/2023 | 895,000 | 962,125 | ||||||
| GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026 | 160,000 | 171,200 | ||||||
| Hilton Worldwide Finance LLC, 4.625%, 4/01/2025 | 1,160,000 | 1,167,981 | ||||||
| MGM Resorts International, 6.625%, 12/15/2021 | 1,105,000 | 1,205,831 | ||||||
| Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2021 | 1,030,000 | 1,040,300 | ||||||
| Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2023 | 450,000 | 461,250 | ||||||
| Wynn Macau Ltd., 4.875%, 10/01/2024 (n) | 485,000 | 480,150 | ||||||
| Wynn Macau Ltd., 5.5%, 10/01/2027 (n) | 475,000 | 473,813 | ||||||
|
|
|
|||||||
| $ | 6,844,150 | |||||||
| Industrial - 0.5% | ||||||||
| Cleaver Brooks, Inc., 7.875%, 3/01/2023 (n) | $ | 830,000 | $ | 871,500 | ||||
| KAR Auction Services, Inc., 5.125%, 6/01/2025 (n) | 1,250,000 | 1,265,625 | ||||||
|
|
|
|||||||
| $ | 2,137,125 | |||||||
| Insurance - 0.5% | ||||||||
| American International Group, Inc., 1.875%, 6/21/2027 | EUR | 180,000 | $ | 225,107 | ||||
| AssuredPartners, Inc., 7%, 8/15/2025 (n) | $ | 810,000 | 830,250 | |||||
| Old Mutual PLC, 7.875%, 11/03/2025 | GBP | 450,000 | 796,216 | |||||
| Unum Group, 4%, 3/15/2024 | $ | 259,000 | 265,308 | |||||
|
|
|
|||||||
| $ | 2,116,881 | |||||||
| Insurance - Health - 0.6% | ||||||||
| Aetna, Inc., 2.8%, 6/15/2023 | $ | 460,000 | $ | 448,473 | ||||
| Centene Corp., 5.625%, 2/15/2021 | 460,000 | 472,940 | ||||||
| Centene Corp., 6.125%, 2/15/2024 | 765,000 | 812,813 | ||||||
8
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Insurance - Health - continued | ||||||||
| UnitedHealth Group, Inc., 4.625%, 7/15/2035 | $ | 1,009,000 | $ | 1,145,013 | ||||
|
|
|
|||||||
| $ | 2,879,239 | |||||||
| Insurance - Property & Casualty - 1.0% | ||||||||
| Berkshire Hathaway, Inc., 2.75%, 3/15/2023 | $ | 359,000 | $ | 357,048 | ||||
| Chubb INA Holdings, Inc., 2.3%, 11/03/2020 | 144,000 | 142,922 | ||||||
| Chubb INA Holdings, Inc., 2.875%, 11/03/2022 | 336,000 | 335,837 | ||||||
| CNA Financial Corp., 5.875%, 8/15/2020 | 700,000 | 749,921 | ||||||
| Liberty Mutual Group, Inc., 4.25%, 6/15/2023 | 567,000 | 588,650 | ||||||
| Liberty Mutual Group, Inc., 2.75%, 5/04/2026 (z) | EUR | 120,000 | 161,580 | |||||
| Liberty Mutual Group, Inc., 2.75%, 5/04/2026 | EUR | 200,000 | 269,299 | |||||
| Marsh & McLennan Cos., Inc., 2.55%, 10/15/2018 | $ | 330,000 | 330,800 | |||||
| Marsh & McLennan Cos., Inc., 3.5%, 6/03/2024 | 315,000 | 319,565 | ||||||
| Marsh & McLennan Cos., Inc., 4.35%, 1/30/2047 | 197,000 | 213,450 | ||||||
| QBE Capital Funding III Ltd., 7.5% to 5/24/2021, FLR to 5/24/2041 | GBP | 300,000 | 482,867 | |||||
| XLIT Ltd., 3.25% to 6/29/2027, FLR to 6/29/2047 | EUR | 500,000 | 622,997 | |||||
|
|
|
|||||||
| $ | 4,574,936 | |||||||
| International Market Quasi-Sovereign - 0.2% | ||||||||
| Bank of Iceland, 1.75%, 9/07/2020 | EUR | 600,000 | $ | 771,472 | ||||
| International Market Sovereign - 0.0% | ||||||||
| Government of Japan, 2.4%, 3/20/2037 | JPY | 12,200,000 | $ | 148,893 | ||||
| Internet - 0.3% | ||||||||
| Baidu, Inc., 4.125%, 6/30/2025 | $ | 240,000 | $ | 245,123 | ||||
| Baidu, Inc., 3.25%, 8/06/2018 | 1,316,000 | 1,319,793 | ||||||
|
|
|
|||||||
| $ | 1,564,916 | |||||||
| Local Authorities - 0.2% | ||||||||
| Province of Alberta, 4.5%, 12/01/2040 | CAD | 410,000 | $ | 407,587 | ||||
| Province of British Columbia, 2.3%, 6/18/2026 | CAD | 595,000 | 467,002 | |||||
|
|
|
|||||||
| $ | 874,589 | |||||||
| Machinery & Tools - 0.3% | ||||||||
| Ashtead Capital, Inc., 5.625%, 10/01/2024 (n) | $ | 1,125,000 | $ | 1,189,350 | ||||
| Major Banks - 5.4% | ||||||||
| Allied Irish Banks PLC, 4.125% to 11/26/2020, FLR to 11/26/2025 | EUR | 600,000 | $ | 811,042 | ||||
| Bank of America Corp., 2.625%, 4/19/2021 | $ | 1,661,000 | 1,652,092 | |||||
| Bank of America Corp., 3.248%, 10/21/2027 | 1,532,000 | 1,496,617 | ||||||
| Bank of New York Mellon Corp., 2.95%, 1/29/2023 | 661,000 | 658,720 | ||||||
| Bank of New York Mellon Corp., 3.442% to 2/07/2027, FLR to 2/07/2028 | 647,000 | 648,535 | ||||||
| Barclays Bank PLC, 6%, 1/14/2021 | EUR | 500,000 | 716,871 | |||||
| Credit Agricole S.A., 7.375%, 12/18/2023 | GBP | 200,000 | 362,457 | |||||
| Credit Suisse Group AG, 1.25% to 7/17/2024, FLR to 7/17/2025 | EUR | 500,000 | 619,859 | |||||
| Goldman Sachs Group, Inc., 7.5%, 2/15/2019 | $ | 1,200,000 | 1,262,417 | |||||
| Goldman Sachs Group, Inc., 2.625%, 4/25/2021 | 1,275,000 | 1,263,369 | ||||||
| Goldman Sachs Group, Inc., 3%, 4/26/2022 | 1,250,000 | 1,241,371 | ||||||
| HSBC Holdings PLC, 4.375%, 11/23/2026 | 399,000 | 410,888 | ||||||
| JPMorgan Chase & Co., 3.25%, 9/23/2022 | 1,918,000 | 1,936,629 | ||||||
| JPMorgan Chase & Co., 2.95%, 10/01/2026 | 1,137,000 | 1,091,971 | ||||||
| JPMorgan Chase & Co., 4.26% to 2/22/2047, FLR to 2/22/2048 | 600,000 | 633,860 | ||||||
| Morgan Stanley, 6.625%, 4/01/2018 | 1,000,000 | 1,007,720 | ||||||
| Morgan Stanley, 2.5%, 4/21/2021 | 1,250,000 | 1,234,325 | ||||||
9
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Major Banks - continued | ||||||||
| Morgan Stanley, 3.125%, 7/27/2026 | $ | 572,000 | $ | 552,861 | ||||
| Morgan Stanley, 2.625%, 3/09/2027 | GBP | 250,000 | 357,547 | |||||
| Morgan Stanley, 3.95%, 4/23/2027 | $ | 988,000 | 994,794 | |||||
| Nationwide Building Society, 1.25%, 3/03/2025 | EUR | 380,000 | 480,020 | |||||
| PNC Bank N.A., 2.6%, 7/21/2020 | $ | 1,067,000 | 1,066,595 | |||||
| Sumitomo Mitsui Financial Group, Inc., 3.544%, 1/17/2028 | 1,027,000 | 1,012,972 | ||||||
| UBS Group AG, 6.875% to 8/07/2025, FLR to 12/29/2049 | 990,000 | 1,101,658 | ||||||
| UBS Group Funding (Jersey) Ltd., 1.5%, 11/30/2024 | EUR | 500,000 | 639,835 | |||||
| UBS Group Funding (Switzerland) AG, 2.859% to 8/15/2022, FLR to 8/15/2023 (n) | $ | 1,250,000 | 1,222,951 | |||||
|
|
|
|||||||
| $ | 24,477,976 | |||||||
| Medical & Health Technology & Services - 4.4% | ||||||||
| AmSurg Corp., 5.625%, 7/15/2022 | $ | 765,000 | $ | 778,388 | ||||
| Baxter International, Inc., 1.3%, 5/30/2025 | EUR | 450,000 | 561,270 | |||||
| Becton, Dickinson and Co., 3.734%, 12/15/2024 | $ | 66,000 | 66,155 | |||||
| Becton, Dickinson and Co., 4.685%, 12/15/2044 | 270,000 | 286,541 | ||||||
| Community Health Systems, Inc., 6.875%, 2/01/2022 | 730,000 | 519,213 | ||||||
| DaVita, Inc., 5.125%, 7/15/2024 | 525,000 | 528,953 | ||||||
| DaVita, Inc., 5%, 5/01/2025 | 655,000 | 652,544 | ||||||
| HCA, Inc., 7.5%, 2/15/2022 | 835,000 | 937,288 | ||||||
| HCA, Inc., 5.875%, 3/15/2022 | 690,000 | 740,456 | ||||||
| HCA, Inc., 5%, 3/15/2024 | 1,705,000 | 1,775,331 | ||||||
| HCA, Inc., 5.375%, 2/01/2025 | 1,820,000 | 1,858,675 | ||||||
| HCA, Inc., 5.25%, 6/15/2026 | 471,000 | 492,784 | ||||||
| HealthSouth Corp., 5.125%, 3/15/2023 | 1,120,000 | 1,151,976 | ||||||
| HealthSouth Corp., 5.75%, 11/01/2024 | 25,000 | 25,500 | ||||||
| IQVIA Holdings, Inc., 2.875%, 9/15/2025 (z) | EUR | 550,000 | 683,399 | |||||
| IQVIA Holdings, Inc., 5%, 10/15/2026 (n) | $ | 1,025,000 | 1,044,219 | |||||
| Laboratory Corp. of America Holdings, 4.7%, 2/01/2045 | 364,000 | 383,398 | ||||||
| Life Technologies Corp., 6%, 3/01/2020 | 363,000 | 386,695 | ||||||
| Northwell Healthcare, Inc., 3.979%, 11/01/2046 | 81,000 | 77,867 | ||||||
| Northwell Healthcare, Inc., 4.26%, 11/01/2047 | 532,000 | 532,661 | ||||||
| Polaris, 8.5%, 12/01/2022 (n) | 725,000 | 754,906 | ||||||
| Quorum Health Corp., 11.625%, 4/15/2023 | 590,000 | 607,700 | ||||||
| Tenet Healthcare Corp., 8.125%, 4/01/2022 | 850,000 | 877,098 | ||||||
| Tenet Healthcare Corp., 6.75%, 6/15/2023 | 300,000 | 295,530 | ||||||
| THC Escrow Corp. III, 5.125%, 5/01/2025 (n) | 865,000 | 853,106 | ||||||
| Thermo Fisher Scientific, Inc., 3%, 4/15/2023 | 367,000 | 365,279 | ||||||
| Thermo Fisher Scientific, Inc., 2.95%, 9/19/2026 | 245,000 | 233,774 | ||||||
| Thermo Fisher Scientific, Inc., 3.2%, 8/15/2027 | 938,000 | 913,837 | ||||||
| Universal Health Services, Inc., 7.625%, 8/15/2020 | 1,010,000 | 1,015,050 | ||||||
| West Street Merger Sub, Inc., 6.375%, 9/01/2025 (n) | 705,000 | 712,050 | ||||||
|
|
|
|||||||
| $ | 20,111,643 | |||||||
| Medical Equipment - 0.7% | ||||||||
| Hologic, Inc., 5.25%, 7/15/2022 (n) | $ | 1,000,000 | $ | 1,038,000 | ||||
| Teleflex, Inc., 5.25%, 6/15/2024 | 1,005,000 | 1,040,175 | ||||||
| Teleflex, Inc., 4.875%, 6/01/2026 | 445,000 | 453,344 | ||||||
| Teleflex, Inc., 4.625%, 11/15/2027 | 695,000 | 692,394 | ||||||
|
|
|
|||||||
| $ | 3,223,913 | |||||||
| Metals & Mining - 3.9% | ||||||||
| Cameco Corp., 5.67%, 9/02/2019 | CAD | 420,000 | $ | 354,401 | ||||
| First Quantum Minerals Ltd., 7%, 2/15/2021 (n) | $ | 675,000 | 698,625 | |||||
| First Quantum Minerals Ltd., 7.25%, 4/01/2023 (n) | 870,000 | 921,113 | ||||||
10
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Metals & Mining - continued | ||||||||
| Freeport-McMoRan, Inc., 6.875%, 2/15/2023 | $ | 1,707,000 | $ | 1,873,433 | ||||
| Freeport-McMoRan, Inc., 3.875%, 3/15/2023 | 435,000 | 432,281 | ||||||
| Freeport-McMoRan, Inc., 5.4%, 11/14/2034 | 405,000 | 422,415 | ||||||
| Glencore Finance (Europe) S.A., 1.25%, 3/17/2021 | EUR | 400,000 | 508,095 | |||||
| Glencore Funding LLC, 3%, 10/27/2022 (n) | $ | 885,000 | 869,913 | |||||
| GrafTech International Co., 6.375%, 11/15/2020 | 945,000 | 960,120 | ||||||
| Kaiser Aluminum Corp., 5.875%, 5/15/2024 | 1,155,000 | 1,232,963 | ||||||
| Kinross Gold Corp., 4.5%, 7/15/2027 (n) | 805,000 | 813,050 | ||||||
| Kinross Gold Corp., 5.125%, 9/01/2021 | 285,000 | 299,250 | ||||||
| Kinross Gold Corp., 5.95%, 3/15/2024 | 1,112,000 | 1,221,955 | ||||||
| Lundin Mining Corp., 7.875%, 11/01/2022 (n) | 445,000 | 473,925 | ||||||
| Northwest Acquisitions ULC/Dominion Finco, Inc., 7.125%, 11/01/2022 (n) | 1,095,000 | 1,127,850 | ||||||
| Novelis Corp., 5.875%, 9/30/2026 (n) | 1,320,000 | 1,360,379 | ||||||
| Petra Diamonds U.S. Treasury PLC, 7.25%, 5/01/2022 (n) | 575,000 | 585,063 | ||||||
| Southern Copper Corp., 5.875%, 4/23/2045 | 753,000 | 923,390 | ||||||
| Steel Dynamics, Inc., 5.125%, 10/01/2021 | 435,000 | 445,875 | ||||||
| Steel Dynamics, Inc., 5.25%, 4/15/2023 | 195,000 | 200,119 | ||||||
| Steel Dynamics, Inc., 5.5%, 10/01/2024 | 735,000 | 764,400 | ||||||
| Steel Dynamics, Inc., 4.125%, 9/15/2025 | 112,000 | 110,846 | ||||||
| TMS International Corp., 7.25%, 8/15/2025 (n) | 875,000 | 918,750 | ||||||
|
|
|
|||||||
| $ | 17,518,211 | |||||||
| Midstream - 2.4% | ||||||||
| APT Pipelines Ltd., 5%, 3/23/2035 (n) | $ | 542,000 | $ | 578,716 | ||||
| Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022 (n) | 1,520,000 | 1,577,000 | ||||||
| DCP Midstream LP, 4.95%, 4/01/2022 | 410,000 | 427,425 | ||||||
| DCP Midstream LP, 5.6%, 4/01/2044 | 440,000 | 457,050 | ||||||
| DCP Midstream LP, 3.875%, 3/15/2023 | 675,000 | 673,313 | ||||||
| Dominion Gas Holdings LLC, 2.8%, 11/15/2020 | 415,000 | 415,316 | ||||||
| ONEOK, Inc., 4.95%, 7/13/2047 | 928,000 | 987,979 | ||||||
| Plains All American Pipeline LP, 6.125% to 11/15/2022, FLR to 12/31/2059 | 206,000 | 207,288 | ||||||
| Sabine Pass Liquefaction LLC, 5%, 3/15/2027 | 500,000 | 530,918 | ||||||
| Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 | 400,000 | 402,355 | ||||||
| Tallgrass Energy GP, LP, 5.5%, 1/15/2028 (n) | 1,840,000 | 1,835,400 | ||||||
| Targa Resources Partners LP/Targa Resources Finance Corp., 5.25%, 5/01/2023 | 665,000 | 679,131 | ||||||
| Targa Resources Partners LP/Targa Resources Finance Corp., 5.125%, 2/01/2025 (z) | 625,000 | 629,688 | ||||||
| Targa Resources Partners LP/Targa Resources Finance Corp., 5.375%, 2/01/2027 | 1,530,000 | 1,556,775 | ||||||
|
|
|
|||||||
| $ | 10,958,354 | |||||||
| Mortgage-Backed - 5.5% | ||||||||
| Fannie Mae, 5.5%, 1/01/2037 - 8/01/2037 | $ | 1,145,138 | $ | 1,260,288 | ||||
| Fannie Mae, 4%, 9/01/2040 - 2/01/2045 | 2,273,960 | 2,359,576 | ||||||
| Fannie Mae, 3.5%, 3/01/2045 - 1/01/2047 | 5,739,266 | 5,804,915 | ||||||
| Fannie Mae, FLR, 1.745% (LIBOR-1mo. + 0.25%), 5/25/2018 | 412,388 | 411,958 | ||||||
| Freddie Mac, 3.527%, 10/25/2023 | 1,400,000 | 1,450,848 | ||||||
| Freddie Mac, 3.062%, 11/25/2023 | 600,000 | 607,223 | ||||||
| Freddie Mac, 3.002%, 1/25/2024 | 1,500,000 | 1,512,517 | ||||||
| Freddie Mac, 3.329%, 5/25/2025 | 5,000,000 | 5,121,628 | ||||||
| Freddie Mac, 2.673%, 3/25/2026 | 1,099,000 | 1,071,847 | ||||||
| Freddie Mac, 3.194%, 7/25/2027 | 850,000 | 856,370 | ||||||
| Freddie Mac, 3.244%, 8/25/2027 | 138,000 | 139,361 | ||||||
| Freddie Mac, 4%, 4/01/2044 | 162,577 | 168,114 | ||||||
| Freddie Mac, 3.5%, 9/01/2045 | 4,085,715 | 4,132,177 | ||||||
|
|
|
|||||||
| $ | 24,896,822 | |||||||
11
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Municipals - 0.0% | ||||||||
| Commonwealth of Puerto Rico, Public Improvement, “C-7”, NATL, 6%, 7/01/2027 | $ | 50,000 | $ | 50,117 | ||||
| Natural Gas - Distribution - 0.2% | ||||||||
| Boston Gas Co., 3.15%, 8/01/2027 (n) | $ | 420,000 | $ | 409,918 | ||||
| GNL Quintero S.A., 4.634%, 7/31/2029 (n) | 377,000 | 393,965 | ||||||
|
|
|
|||||||
| $ | 803,883 | |||||||
| Network & Telecom - 1.5% | ||||||||
| AT&T, Inc., 1.8%, 9/04/2026 | EUR | 200,000 | $ | 251,416 | ||||
| AT&T, Inc., 4.9%, 8/14/2037 | $ | 833,000 | 844,267 | |||||
| AT&T, Inc., 4.25%, 6/01/2043 | GBP | 230,000 | 352,978 | |||||
| AT&T, Inc., 4.75%, 5/15/2046 | $ | 666,000 | 645,132 | |||||
| British Telecommunications PLC, 3.125%, 11/21/2031 | GBP | 350,000 | 501,724 | |||||
| CenturyLink, Inc., 7.65%, 3/15/2042 | $ | 615,000 | 538,433 | |||||
| Deutsche Telekom International Finance B.V., 1.5%, 4/03/2028 | EUR | 400,000 | 498,686 | |||||
| Telecom Italia S.p.A., 5.303%, 5/30/2024 (n) | $ | 780,000 | 823,875 | |||||
| Verizon Communications, Inc., 1.75%, 8/15/2021 | 281,000 | 270,805 | ||||||
| Verizon Communications, Inc., 4.812%, 3/15/2039 | 539,000 | 563,369 | ||||||
| Zayo Group LLC/Zayo Capital, Inc., 6.375%, 5/15/2025 | 630,000 | 660,713 | ||||||
| Zayo Group LLC/Zayo Capital, Inc., 5.75%, 1/15/2027 (n) | 1,035,000 | 1,051,871 | ||||||
|
|
|
|||||||
| $ | 7,003,269 | |||||||
| Oil Services - 1.0% | ||||||||
| Bristow Group, Inc., 6.25%, 10/15/2022 | $ | 1,055,000 | $ | 891,475 | ||||
| Diamond Offshore Drilling, Inc., 7.875%, 8/15/2025 | 440,000 | 466,400 | ||||||
| Diamond Offshore Drilling, Inc., 5.7%, 10/15/2039 | 965,000 | 832,313 | ||||||
| Ensco PLC, 7.75%, 2/01/2026 | 560,000 | 556,850 | ||||||
| Schlumberger Ltd., 2.65%, 11/20/2022 (n) | 720,000 | 709,906 | ||||||
| Trinidad Drilling Ltd., 6.625%, 2/15/2025 (n) | 1,055,000 | 1,033,900 | ||||||
|
|
|
|||||||
| $ | 4,490,844 | |||||||
| Oils - 0.2% | ||||||||
| Phillips 66, 4.875%, 11/15/2044 | $ | 606,000 | $ | 683,778 | ||||
| Other Banks & Diversified Financials - 1.0% | ||||||||
| Bancolombia S.A., 5.95%, 6/03/2021 | $ | 547,000 | $ | 592,346 | ||||
| BBVA Banco Continental S.A., 5.25% to 9/22/2024, FLR to 9/22/2029 (n) | 104,000 | 111,800 | ||||||
| BBVA Bancomer S.A. de C.V., 6.75%, 9/30/2022 (n) | 424,000 | 471,806 | ||||||
| Belfius Bank S.A., 3.125%, 5/11/2026 | EUR | 400,000 | 546,832 | |||||
| BPCE S.A., 5.25%, 4/16/2029 | GBP | 400,000 | 689,908 | |||||
| BPCE S.A., 4.5%, 3/15/2025 (n) | $ | 302,000 | 310,986 | |||||
| Citizens Bank N.A., 2.55%, 5/13/2021 | 256,000 | 253,375 | ||||||
| Deutsche Bank AG, 1.875%, 2/28/2020 | GBP | 400,000 | 572,212 | |||||
| Industrial Senior Trust Co., 5.5%, 11/01/2022 (n) | $ | 220,000 | 222,200 | |||||
| ING Groep N.V., 3.95%, 3/29/2027 | 418,000 | 427,626 | ||||||
| Intesa Sanpaolo S.p.A., 5.25%, 1/28/2022 | GBP | 250,000 | 400,413 | |||||
|
|
|
|||||||
| $ | 4,599,504 | |||||||
| Personal Computers & Peripherals - 0.1% | ||||||||
| Equifax, Inc., 2.3%, 6/01/2021 | $ | 240,000 | $ | 235,024 | ||||
| Pharmaceuticals - 0.9% | ||||||||
| Celgene Corp., 2.875%, 8/15/2020 | $ | 600,000 | $ | 602,490 | ||||
| Celgene Corp., 2.75%, 2/15/2023 | 711,000 | 694,108 | ||||||
| Gilead Sciences, Inc., 2.35%, 2/01/2020 | 667,000 | 666,503 | ||||||
12
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Pharmaceuticals - continued | ||||||||
| Mallinckrodt International Finance S.A., 5.75%, 8/01/2022 (n) | $ | 575,000 | $ | 527,563 | ||||
| Mallinckrodt International Finance S.A., 5.625%, 10/15/2023 (n) | 300,000 | 256,500 | ||||||
| Valeant Pharmaceuticals International, Inc., 5.5%, 3/01/2023 (n) | 500,000 | 447,345 | ||||||
| Valeant Pharmaceuticals International, Inc., 6.125%, 4/15/2025 (n) | 1,050,000 | 939,960 | ||||||
|
|
|
|||||||
| $ | 4,134,469 | |||||||
| Printing & Publishing - 0.2% | ||||||||
| Nielsen Finance LLC, 5%, 4/15/2022 (n) | $ | 1,051,000 | $ | 1,068,079 | ||||
| Real Estate - Apartment - 0.2% | ||||||||
| Grand City Properties S.A., 3.75% to 2/18/2022, FLR to 12/31/2049 | EUR | 600,000 | $ | 801,396 | ||||
| Real Estate - Healthcare - 0.5% | ||||||||
| MPT Operating Partnership LP/MPT Financial Co., REIT, 5.25%, 8/01/2026 | $ | 1,090,000 | $ | 1,122,700 | ||||
| MPT Operating Partnership LP/MPT Financial Co., REIT, 5%, 10/15/2027 | 1,135,000 | 1,123,877 | ||||||
|
|
|
|||||||
| $ | 2,246,577 | |||||||
| Real Estate - Office - 0.3% | ||||||||
| Merlin Properties SOCIMI S.A., REIT, 2.225%, 4/25/2023 | EUR | 550,000 | $ | 719,461 | ||||
| Merlin Properties SOCIMI S.A., REIT, 1.875%, 11/02/2026 | EUR | 350,000 | 435,942 | |||||
|
|
|
|||||||
| $ | 1,155,403 | |||||||
| Real Estate - Other - 1.0% | ||||||||
| CyrusOne LP/CyrusOne Finance Corp., REIT, 5%, 3/15/2024 | $ | 1,245,000 | $ | 1,269,900 | ||||
| CyrusOne LP/CyrusOne Finance Corp., REIT, 5.375%, 3/15/2027 | 685,000 | 712,400 | ||||||
| Felcor Lodging LP, REIT, 5.625%, 3/01/2023 | 1,130,000 | 1,158,250 | ||||||
| Starwood Property Trust, Inc., REIT, 5%, 12/15/2021 | 885,000 | 922,055 | ||||||
| Starwood Property Trust, Inc., REIT, 4.75%, 3/15/2025 (n) | 550,000 | 543,125 | ||||||
|
|
|
|||||||
| $ | 4,605,730 | |||||||
| Restaurants - 0.6% | ||||||||
| Golden Nugget, Inc., 6.75%, 10/15/2024 (n) | $ | 875,000 | $ | 904,531 | ||||
| IRB Holding Corp., 6.75%, 2/15/2026 (n) | 585,000 | 592,313 | ||||||
| KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, 6/01/2026 (n) | 1,105,000 | 1,127,100 | ||||||
|
|
|
|||||||
| $ | 2,623,944 | |||||||
| Retailers - 1.4% | ||||||||
| Best Buy Co., Inc., 5.5%, 3/15/2021 | $ | 1,329,000 | $ | 1,424,532 | ||||
| Dollar Tree, Inc., 5.75%, 3/01/2023 | 1,350,000 | 1,410,750 | ||||||
| Hanesbrands Finance Luxembourg S.C.A., 3.5%, 6/15/2024 (z) | EUR | 200,000 | 268,187 | |||||
| Hanesbrands, Inc., 4.625%, 5/15/2024 (n) | $ | 300,000 | 303,750 | |||||
| Hanesbrands, Inc., 4.875%, 5/15/2026 (n) | 990,000 | 999,900 | ||||||
| Home Depot, Inc., 2.625%, 6/01/2022 | 585,000 | 582,322 | ||||||
| Home Depot, Inc., 3%, 4/01/2026 | 475,000 | 466,446 | ||||||
| Sally Beauty Holdings, Inc., 5.625%, 12/01/2025 | 905,000 | 900,475 | ||||||
| Wesfarmers Ltd., 1.874%, 3/20/2018 (n) | 156,000 | 156,002 | ||||||
|
|
|
|||||||
| $ | 6,512,364 | |||||||
| Specialty Chemicals - 1.1% | ||||||||
| A Schulman, Inc., 6.875%, 6/01/2023 | $ | 1,315,000 | $ | 1,387,325 | ||||
| Koppers, Inc., 6%, 2/15/2025 (n) | 990,000 | 1,044,450 | ||||||
| Mexichem S.A.B. de C.V., 5.875%, 9/17/2044 (n) | 540,000 | 553,500 | ||||||
| Univar USA, Inc., 6.75%, 7/15/2023 (n) | 1,760,000 | 1,839,200 | ||||||
|
|
|
|||||||
| $ | 4,824,475 | |||||||
13
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Specialty Stores - 0.4% | ||||||||
| Group 1 Automotive, Inc., 5%, 6/01/2022 | $ | 1,150,000 | $ | 1,182,545 | ||||
| PetSmart, Inc., 7.125%, 3/15/2023 (n) | 685,000 | 430,694 | ||||||
| Rallye S.A., 4.25%, 3/11/2019 | EUR | 300,000 | 382,708 | |||||
|
|
|
|||||||
| $ | 1,995,947 | |||||||
| Supermarkets - 0.5% | ||||||||
| Albertsons Cos. LLC/Safeway Co., 6.625%, 6/15/2024 | $ | 1,085,000 | $ | 1,030,750 | ||||
| Esselunga S.p.A., 1.875%, 10/25/2027 | EUR | 350,000 | 436,949 | |||||
| Loblaw Cos. Ltd., 4.86%, 9/12/2023 | CAD | 421,000 | 371,815 | |||||
| Tesco PLC, 6.15%, 11/15/2037 (n) | $ | 483,000 | 523,708 | |||||
|
|
|
|||||||
| $ | 2,363,222 | |||||||
| Supranational - 0.2% | ||||||||
| International Bank for Reconstruction and Development, 2.8%, 1/13/2021 | AUD | 270,000 | $ | 219,791 | ||||
| International Bank for Reconstruction and Development, 4.25%, 6/24/2025 | AUD | 405,000 | 351,271 | |||||
| International Finance Corp., 3.25%, 7/22/2019 | AUD | 585,000 | 479,535 | |||||
|
|
|
|||||||
| $ | 1,050,597 | |||||||
| Telecommunications - Wireless - 3.5% | ||||||||
| Altice Luxembourg S.A., 7.75%, 5/15/2022 (n) | $ | 985,000 | $ | 945,600 | ||||
| Altice Luxembourg S.A., 7.625%, 2/15/2025 (n) | 1,095,000 | 1,004,663 | ||||||
| American Tower Corp., REIT, 3.5%, 1/31/2023 | 743,000 | 748,274 | ||||||
| American Tower Corp., REIT, 4%, 6/01/2025 | 514,000 | 521,112 | ||||||
| Crown Castle International Corp., 3.7%, 6/15/2026 | 232,000 | 226,737 | ||||||
| Digicel Group Ltd., 8.25%, 9/30/2020 (n) | 324,000 | 321,165 | ||||||
| Digicel Group Ltd., 6%, 4/15/2021 (n) | 1,279,000 | 1,266,210 | ||||||
| Digicel Group Ltd., 7.125%, 4/01/2022 (n) | 756,000 | 712,530 | ||||||
| Digicel Group Ltd., 6.75%, 3/01/2023 (n) | 1,338,000 | 1,331,310 | ||||||
| Digicel Group Ltd., 6.75%, 3/01/2023 | 253,000 | 251,735 | ||||||
| SBA Communications Corp., 4%, 10/01/2022 (n) | 1,180,000 | 1,162,300 | ||||||
| SBA Communications Corp., 4.875%, 9/01/2024 | 300,000 | 298,500 | ||||||
| SBA Tower Trust, 2.898%, 10/15/2044 (n) | 439,000 | 440,110 | ||||||
| Sprint Corp., 7.875%, 9/15/2023 | 1,470,000 | 1,556,980 | ||||||
| Sprint Corp., 7.125%, 6/15/2024 | 1,230,000 | 1,247,429 | ||||||
| Sprint Nextel Corp., 6%, 11/15/2022 | 1,340,000 | 1,334,975 | ||||||
| T-Mobile USA, Inc., 6.5%, 1/15/2024 | 405,000 | 430,333 | ||||||
| T-Mobile USA, Inc., 5.125%, 4/15/2025 | 730,000 | 753,725 | ||||||
| T-Mobile USA, Inc., 6.5%, 1/15/2026 | 800,000 | 867,000 | ||||||
| T-Mobile USA, Inc., 5.375%, 4/15/2027 | 620,000 | 651,000 | ||||||
|
|
|
|||||||
| $ | 16,071,688 | |||||||
| Telephone Services - 0.4% | ||||||||
| Level 3 Financing, Inc., 5.375%, 1/15/2024 | $ | 390,000 | $ | 388,050 | ||||
| Level 3 Financing, Inc., 5.375%, 5/01/2025 | 1,170,000 | 1,165,320 | ||||||
| TELUS Corp., 5.05%, 7/23/2020 | CAD | 425,000 | 367,051 | |||||
|
|
|
|||||||
| $ | 1,920,421 | |||||||
| Tobacco - 0.5% | ||||||||
| B.A.T. Capital Corp., 3.557%, 8/15/2027 (n) | $ | 550,000 | $ | 537,647 | ||||
| B.A.T. International Finance PLC, 0.875%, 10/13/2023 | EUR | 300,000 | 371,645 | |||||
| Reynolds American, Inc., 8.125%, 6/23/2019 | $ | 257,000 | 276,012 | |||||
| Reynolds American, Inc., 3.25%, 6/12/2020 | 69,000 | 69,783 | ||||||
| Reynolds American, Inc., 4.45%, 6/12/2025 | 788,000 | 825,387 | ||||||
| Reynolds American, Inc., 5.7%, 8/15/2035 | 202,000 | 237,623 | ||||||
|
|
|
|||||||
| $ | 2,318,097 | |||||||
14
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Transportation - Services - 0.8% | ||||||||
| Brambles Finance PLC, 1.5%, 10/04/2027 | EUR | 350,000 | $ | 435,950 | ||||
| Compagnie Financial et Indus Unternehmensanleihe, 0.75%, 9/09/2028 | EUR | 500,000 | 585,044 | |||||
| Heathrow Funding Ltd., 1.875%, 7/12/2032 | EUR | 300,000 | 377,299 | |||||
| Heathrow Funding Ltd., 4.625%, 10/31/2046 | GBP | 200,000 | 364,530 | |||||
| Navios Maritime Holding, Inc., 7.375%, 1/15/2022 (n) | $ | 560,000 | 460,600 | |||||
| Navios South American Logistics, Inc./Navios Logistics Finance (U.S.), Inc., 7.25%, 5/01/2022 | 180,000 | 175,050 | ||||||
| Syncreon Group BV/Syncre, 8.625%, 11/01/2021 (n) | 585,000 | 473,850 | ||||||
| Transurban Finance Co., 1.75%, 3/29/2028 | EUR | 500,000 | 627,814 | |||||
|
|
|
|||||||
| $ | 3,500,137 | |||||||
| U.S. Treasury Obligations - 16.9% | ||||||||
| U.S. Treasury Bonds, 3.125%, 11/15/2041 (f) | $ | 12,069,000 | $ | 12,531,016 | ||||
| U.S. Treasury Notes, 0.75%, 10/31/2018 | 18,000,000 | 17,858,672 | ||||||
| U.S. Treasury Notes, 0.875%, 5/15/2019 | 11,000,000 | 10,840,156 | ||||||
| U.S. Treasury Notes, 2.75%, 2/15/2024 (f) | 24,000,000 | 24,177,187 | ||||||
| U.S. Treasury Notes, 2.25%, 11/15/2025 | 11,514,000 | 11,152,388 | ||||||
|
|
|
|||||||
| $ | 76,559,419 | |||||||
| Utilities - Electric Power - 3.2% | ||||||||
| Calpine Corp., 5.5%, 2/01/2024 | $ | 920,000 | $ | 874,000 | ||||
| Calpine Corp., 5.75%, 1/15/2025 | 855,000 | 810,113 | ||||||
| Calpine Corp., 5.25%, 6/01/2026 (n) | 580,000 | 569,125 | ||||||
| CMS Energy Corp., 5.05%, 3/15/2022 | 500,000 | 536,221 | ||||||
| Covanta Holding Corp., 6.375%, 10/01/2022 | 320,000 | 327,600 | ||||||
| Covanta Holding Corp., 5.875%, 3/01/2024 | 595,000 | 603,925 | ||||||
| Covanta Holding Corp., 5.875%, 7/01/2025 | 555,000 | 564,713 | ||||||
| Duke Energy Florida LLC, 3.2%, 1/15/2027 | 589,000 | 582,595 | ||||||
| EDP Finance B.V., 5.25%, 1/14/2021 (n) | 200,000 | 212,698 | ||||||
| Emera U.S. Finance LP, 2.7%, 6/15/2021 | 142,000 | 140,481 | ||||||
| Emera U.S. Finance LP, 3.55%, 6/15/2026 | 162,000 | 158,303 | ||||||
| Enel Finance International N.V., 4.75%, 5/25/2047 (n) | 709,000 | 754,819 | ||||||
| Enel S.p.A., 8.75% to 9/24/2023, FLR to 9/24/2073 (n) | 500,000 | 618,750 | ||||||
| Enel S.p.A., 6.625% to 9/15/2021, FLR to 9/15/2076 | GBP | 230,000 | 376,367 | |||||
| Engie Energia Chile S.A., 4.5%, 1/29/2025 (n) | $ | 609,000 | 634,896 | |||||
| Exelon Corp., 3.497%, 6/01/2022 | 259,000 | 260,762 | ||||||
| FirstEnergy Corp., 3.9%, 7/15/2027 | 115,000 | 116,181 | ||||||
| Innogy Finance B.V., 4.75%, 1/31/2034 | GBP | 400,000 | 691,735 | |||||
| NextEra Energy Capital Holdings, Inc., 3.55%, 5/01/2027 | $ | 628,000 | 626,925 | |||||
| NextEra Energy Operating Co., 4.25%, 9/15/2024 (n) | 1,115,000 | 1,120,575 | ||||||
| NextEra Energy Operating Co., 4.5%, 9/15/2027 (n) | 355,000 | 350,119 | ||||||
| Pattern Energy Group, Inc., 5.875%, 2/01/2024 (n) | 1,135,000 | 1,194,588 | ||||||
| PPL Capital Funding, Inc., 3.1%, 5/15/2026 | 561,000 | 539,181 | ||||||
| PPL Capital Funding, Inc., 5%, 3/15/2044 | 270,000 | 308,506 | ||||||
| PPL WEM Holdings PLC, 5.375%, 5/01/2021 (n) | 183,000 | 194,146 | ||||||
| Transelec S.A., 4.25%, 1/14/2025 (n) | 535,000 | 551,937 | ||||||
| Virginia Electric & Power Co., 3.5%, 3/15/2027 | 839,000 | 845,289 | ||||||
|
|
|
|||||||
| $ | 14,564,550 | |||||||
| Utilities - Gas - 0.1% | ||||||||
| Transport de Gas Peru, 4.25%, 4/30/2028 (n) | $ | 387,000 | $ | 396,147 | ||||
| Total Bonds | $ | 539,241,777 | ||||||
| Floating Rate Loans (g)(r) - 0.9% | ||||||||
| Building - 0.2% | ||||||||
| ABC Supply Co., Inc., Term Loan B, 3.881%, 10/31/2023 | $ | 953,811 | $ | 960,369 | ||||
15
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Floating Rate Loans (g)(r) - continued | ||||||||
| Computer Software - Systems - 0.1% | ||||||||
| CDW LLC, Term Loan B, 3.487%, 8/17/2023 | $ | 378,634 | $ | 381,000 | ||||
| Sabre GLBL, Inc., Term Loan B, 3.712%, 2/22/2024 | 290,968 | 292,878 | ||||||
|
|
|
|||||||
| $ | 673,878 | |||||||
| Conglomerates - 0.1% | ||||||||
| Entegris, Inc., Term Loan B, 3.838%, 4/30/2021 | $ | 284,534 | $ | 285,601 | ||||
| Consumer Products - 0.1% | ||||||||
| Spectrum Brands, Inc., Term Loan B, 3.436%, 6/23/2022 | $ | 274,530 | $ | 275,560 | ||||
| Entertainment - 0.1% | ||||||||
| Cedar Fair LP, Term Loan B, 3.972%, 4/13/2024 | $ | 351,587 | $ | 353,784 | ||||
| Six Flags Theme Parks, Inc., Term Loan B, 3.658%, 6/30/2022 | 293,900 | 296,013 | ||||||
|
|
|
|||||||
| $ | 649,797 | |||||||
| Gaming & Lodging - 0.1% | ||||||||
| Hilton Worldwide Finance LLC, Term Loan B2, 3.613%, 10/25/2023 | $ | 515,372 | $ | 519,108 | ||||
| Medical & Health Technology & Services - 0.2% | ||||||||
| DaVita HealthCare Partners, Inc., Term Loan B, 4.436%, 6/24/2021 | $ | 688,586 | $ | 696,676 | ||||
| Total Floating Rate Loans | $ | 4,060,989 | ||||||
| Common Stocks - 0.2% | ||||||||
| Energy - Independent - 0.1% | ||||||||
| Frontera Energy Corp. (a) | 10,145 | $ | 360,858 | |||||
| Oil Services - 0.1% | ||||||||
| LTRI Holdings LP (a)(u) | 520 | $ | 462,498 | |||||
| Total Common Stocks | $ | 823,356 | ||||||
| Investment Companies (h) - 0.7% | ||||||||
| Money Market Funds - 0.7% | ||||||||
| MFS Institutional Money Market Portfolio, 1.44% (v) | 3,029,627 | $ | 3,029,324 | |||||
| Other Assets, Less Liabilities - (20.6)% | (93,322,460 | ) | ||||||
| Net Assets - 100.0% | $ | 453,832,986 | ||||||
| (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. |
| (h) | 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. At period end, the aggregate values of the fund’s investments in affiliated issuers and in unaffiliated issuers were $3,029,324 and $544,126,122, respectively. |
| (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 $183,117,433, representing 40.3% of net assets. |
| (p) | Payment-in-kind security for which interest income may be received in additional securities and/or cash. |
| (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. |
| (u) | The security was valued using significant unobservable inputs and is considered level 3 under the fair value hierarchy. |
| (v) | Affiliated issuer 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. |
16
Portfolio of Investments (unaudited) – continued
| (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 | |||||||||
| Afren PLC, 11.5%, 2/01/2016 | 1/27/11 | $315,788 | $817 | |||||||||
| Afren PLC, 10.25%, 4/08/2019 | 3/01/12 | 209,874 | 534 | |||||||||
| Bayview Financial Revolving Mortgage Loan Trust, FLR, 3.166% (U.S. LIBOR-1mo. + 1.6%), 12/28/2040 | 3/01/06 | 1,534,307 | 1,364,447 | |||||||||
| Hanesbrands Finance Luxembourg S.C.A., 3.5%, 6/15/2024 | 5/19/16 | 223,940 | 268,187 | |||||||||
| IQVIA Holdings, Inc., 2.875%, 9/15/2025 | 10/18/17 | 658,888 | 683,399 | |||||||||
| Liberty Mutual Group, Inc., 2.75%, 5/04/2026 | 4/26/16 | 134,622 | 161,580 | |||||||||
| Morgan Stanley Capital I, Inc., 1.493%, 4/28/2039 | 7/20/04 | 7,491 | 7,286 | |||||||||
| Republic of Indonesia, 2.875%, 7/08/2021 | 7/02/14 | 510,121 | 503,759 | |||||||||
| Republic of Indonesia, 2.15%, 7/18/2024 | 7/11/17 | 370,782 | 424,958 | |||||||||
| Targa Resources Partners LP/Targa Resources Finance Corp., 5.125%, 2/01/2025 |
1/23/18 | 635,912 | 629,688 | |||||||||
| Total Restricted Securities | $4,044,655 | |||||||||||
| % of Net assets | 0.9% | |||||||||||
The following abbreviations are used in this report and are defined:
| CDO | Collateralized Debt Obligation | |
| CLO | Collateralized Loan Obligation | |
| FLR | Floating rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. | |
| PLC | Public Limited Company | |
| REIT | Real Estate Investment Trust |
| Insurers | ||
| NATL | National Public Finance Guarantee Corp. | |
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 |
17
Portfolio of Investments (unaudited) – continued
Derivative Contracts at 1/31/18
Forward Foreign Currency Exchange Contracts
| Currency Purchased |
Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| Asset Derivatives | ||||||||||||||||||||
| DKK | 11,054 | USD | 1,787 | Citibank N.A. | 3/28/2018 | $64 | ||||||||||||||
| EUR | 1,470,519 | USD | 1,829,366 | Deutsche Bank AG | 3/28/2018 | 2,945 | ||||||||||||||
| GBP | 229,000 | USD | 316,486 | BNP Paribas S.A. | 3/28/2018 | 9,351 | ||||||||||||||
| GBP | 691,917 | USD | 961,921 | Deutsche Bank AG | 3/28/2018 | 22,587 | ||||||||||||||
| KRW | 42,694,000 | USD | 39,914 | JPMorgan Chase Bank N.A. | 3/22/2018 | 99 | ||||||||||||||
| NZD | 119,000 | USD | 85,335 | Deutsche Bank AG | 3/28/2018 | 2,312 | ||||||||||||||
| SEK | 24,272 | USD | 2,973 | Deutsche Bank AG | 3/28/2018 | 119 | ||||||||||||||
| SGD | 54,000 | USD | 40,587 | JPMorgan Chase Bank N.A. | 3/28/2018 | 625 | ||||||||||||||
| ZAR | 823,000 | USD | 65,887 | JPMorgan Chase Bank N.A. | 3/28/2018 | 3,028 | ||||||||||||||
|
|
|
|||||||||||||||||||
| $41,130 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
|
|
|
|||||||||||||||||||
| Liability Derivatives | ||||||||||||||||||||
| HKD | 19,818,000 | USD | 2,538,284 | JPMorgan Chase Bank N.A. | 3/28/2018 | $(1,623 | ) | |||||||||||||
| USD | 466,129 | EUR | 374,782 | Brown Brothers Harriman | 3/26/2018 | (794 | ) | |||||||||||||
| USD | 2,071,125 | CAD | 2,578,261 | Deutsche Bank AG | 3/28/2018 | (26,366 | ) | |||||||||||||
| USD | 8,663,573 | GBP | 6,362,732 | Deutsche Bank AG | 3/28/2018 | (389,761 | ) | |||||||||||||
| USD | 1,041,631 | AUD | 1,329,795 | Goldman Sachs International | 3/28/2018 | (29,730 | ) | |||||||||||||
| USD | 130,234 | JPY | 14,596,752 | Goldman Sachs International | 3/28/2018 | (3,893 | ) | |||||||||||||
| USD | 1,688,060 | MXN | 32,899,000 | Goldman Sachs International | 3/28/2018 | (63,920 | ) | |||||||||||||
| USD | 6,872 | NOK | 55,710 | Goldman Sachs International | 3/28/2018 | (367 | ) | |||||||||||||
| USD | 200,752 | CHF | 194,919 | JPMorgan Chase Bank N.A. | 3/28/2018 | (9,566 | ) | |||||||||||||
| USD | 19,221,805 | EUR | 15,975,137 | JPMorgan Chase Bank N.A. | 3/28/2018 | (683,695 | ) | |||||||||||||
| USD | 11,068,932 | EUR | 9,002,755 | Morgan Stanley Capital Services, Inc. | 4/19/2018 | (165,549 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| $(1,375,264 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
Futures Contracts
| Description | Long/ Short |
Currency | Contracts | Notional Amount |
Expiration Date |
Value/Unrealized Appreciation (Depreciation) |
||||||||||||||||
| Asset Derivatives | ||||||||||||||||||||||
| Interest Rate Futures | ||||||||||||||||||||||
| German Euro-Bund 10 yr |
Short | EUR | 2 | $394,366 | March - 2018 | $4,365 | ||||||||||||||||
| U.S. Treasury Note 10 yr |
Short | USD | 458 | 55,682,781 | March - 2018 | 1,560,032 | ||||||||||||||||
| Ultra U.S. Treasury Note 10 yr |
Short | USD | 10 | 1,302,031 | March - 2018 | 41,117 | ||||||||||||||||
| U.S. Treasury Bond 30 yr |
Short | USD | 5 | 739,063 | March - 2018 | 29,357 | ||||||||||||||||
|
|
|
|||||||||||||||||||||
| $1,634,871 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||
At January 31, 2018, the fund had cash collateral of $910,000 and other liquid securities with an aggregate value of $502,312 to cover any collateral or margin obligations 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.
18
Supplemental Information
1/31/18 (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
19
Supplemental Information (unaudited) – continued
financial instruments are derivative instruments, such as futures contracts and forward foreign currency exchange contracts. The following is a summary of the levels used as of January 31, 2018 in valuing the fund’s assets or liabilities:
| Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Equities Securities |
$360,858 | $— | $462,498 | $823,356 | ||||||||||||
| U.S. Treasury Bonds & U.S. Government Agency & Equivalents | — | 76,559,419 | — | 76,559,419 | ||||||||||||
| Non-U.S. Sovereign Debt | — | 52,565,941 | — | 52,565,941 | ||||||||||||
| Municipal Bonds | — | 50,117 | — | 50,117 | ||||||||||||
| U.S. Corporate Bonds | — | 280,567,321 | — | 280,567,321 | ||||||||||||
| Residential Mortgage-Backed Securities | — | 24,896,821 | — | 24,896,821 | ||||||||||||
| Commercial Mortgage-Backed Securities | — | 741,363 | — | 741,363 | ||||||||||||
| Asset-Backed Securities (including CDOs) | — | 11,619,456 | — | 11,619,456 | ||||||||||||
| Foreign Bonds | — | 92,241,339 | — | 92,241,339 | ||||||||||||
| Floating Rate Loans | — | 4,060,989 | — | 4,060,989 | ||||||||||||
| Mutual Funds | 3,029,324 | — | — | 3,029,324 | ||||||||||||
| Total | $3,390,182 | $543,302,766 | $462,498 | $547,155,446 | ||||||||||||
| Other Financial Instruments | ||||||||||||||||
| Futures Contracts – Assets | $1,634,871 | $— | $— | $1,634,871 | ||||||||||||
| Forward Foreign Currency Exchange Contracts – Assets | — | 41,130 | — | 41,130 | ||||||||||||
| Forward Foreign Currency Exchange Contracts – Liabilities | — | (1,375,264 | ) | — | (1,375,264 | ) | ||||||||||
For further information regarding security characteristics, see the Portfolio of Investments. At January 31, 2018, the fund held one level 3 security valued at $462,498, which was also held and valued at $462,498 at October 31, 2017.
(2) Investments in 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 affiliated issuers:
| Affiliated Issuers | Beginning Shares/Par Amount |
Acquisitions Shares/Par Amount |
Dispositions Shares/Par Amount |
Ending Shares/Par Amount |
||||||||||||||||
| MFS Institutional Money Market Portfolio | 9,285,804 | 34,967,486 | (41,223,663 | ) | 3,029,627 | |||||||||||||||
| Affiliated Issuers | Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Capital Gain Distributions |
Dividend Income |
Ending Value |
|||||||||||||||
| MFS Institutional Money Market Portfolio | $(189 | ) | $(578 | ) | $— | $23,668 | $3,029,324 | |||||||||||||
20
| 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)* | /S/ DAVID L. DILORENZO | |
| David L. DiLorenzo, President |
Date: March 19, 2018
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 19, 2018
| By (Signature and Title)* | /S/ JAMES O. YOST | |
| James O. Yost, Treasurer (Principal Financial Officer and Accounting Officer) |
Date: March 19, 2018
| * | Print name and title of each signing officer under his or her signature. |