MFS MULTIMARKET INCOME TRUST N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-4975

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: July 31, 2017

ITEM 1. SCHEDULE OF INVESTMENTS.

QUARTERLY REPORT

July 31, 2017

 

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MFS® MULTIMARKET INCOME TRUST

 

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PORTFOLIO OF INVESTMENTS

7/31/17 (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 - 116.7%                 
Aerospace - 1.0%                 
Dae Funding LLC, 5%, 8/01/2024 (z)    $ 1,035,000     $ 1,056,994  
KLX, Inc., 5.875%, 12/01/2022 (n)      1,060,000       1,114,325  
Leonardo S.p.A., 1.5%, 6/07/2024    EUR 500,000       585,148  
Lockheed Martin Corp., 3.55%, 1/15/2026    $ 406,000       422,414  
TransDigm, Inc., 6%, 7/15/2022      245,000       256,025  
TransDigm, Inc., 6.5%, 7/15/2024      700,000       741,125  
TransDigm, Inc., 6.375%, 6/15/2026      555,000       579,975  
    

 

 

  
      $ 4,756,006  
Airlines - 0.1%                 
Ryanair Ltd., 1.125%, 3/10/2023    EUR 325,000     $ 391,525  
Apparel Manufacturers - 0.1%                 
Coach, Inc., 4.125%, 7/15/2027    $ 673,000     $ 677,520  
Asset-Backed & Securitized - 2.9%                 
Bayview Financial Revolving Mortgage Loan Trust, FRN, 2.833%, 12/28/2040 (z)    $ 1,657,715     $ 1,293,237  
Chesapeake Funding II LLC, 2016-1A, “A2”, FRN, 2.375%, 3/15/2028 (n)      1,262,639       1,270,727  
Citigroup Commercial Mortgage Trust, FRN, 5.691%, 12/10/2049      390,311       24,394  
Crest Ltd., CDO, 7%, 1/28/2040 (a)(p)      3,307,715       529,234  
Dryden Senior Loan Fund, 2013-26A, “A”, CLO, FRN, 2.403%, 7/15/2025 (n)      1,420,730       1,422,916  
Dryden Senior Loan Fund, 2014-34A, “CR”, FRN, 3.453%, 10/15/2026 (n)      260,616       262,821  
First Union National Bank Commercial Mortgage Trust, FRN, 2.187%, 1/12/2043 (i)(q)(z)      129,230       649  
First Union-Lehman Brothers Bank of America, FRN, 1.069%, 11/18/2035 (i)      2,358,177       9,258  
HarbourView CLO VII Ltd., “B1R”, FRN, 2.831%, 11/18/2026 (z)      2,500,000       2,499,847  
John Deere Owner Trust , “A2”, 1.15%, 10/15/2018      451,427       451,206  
JPMorgan Chase Commercial Mortgage Trust, 2007-LD11, “AM”, FRN, 5.947%, 6/15/2049      981,829       1,005,171  
Lehman Brothers Commercial Conduit Mortgage Trust, FRN, 0.986%, 2/18/2030 (i)      110,398       1  
Loomis, Sayles & Co., CLO, “A1”, FRN, 2.833%, 10/15/2027 (n)      2,500,000       2,511,467  
Morgan Stanley Capital I Trust, “AM”, FRN, 5.676%, 4/15/2049      28,467       28,886  
Morgan Stanley Capital I, Inc., FRN, 1.493%, 4/28/2039 (i)(z)      1,188,221       11,288  
Octagon Investment Partners XV, Ltd., FRN, 2.764%, 10/25/2025 (n)      2,423,375       2,423,365  
    

 

 

  
      $ 13,744,467  
Automotive - 2.2%                 
Allison Transmission, Inc., 5%, 10/01/2024 (n)    $ 1,315,000     $ 1,361,025  
Delphi Automotive PLC, 1.5%, 3/10/2025    EUR 250,000       295,844  
Ferrari N.V., 1.5%, 3/16/2023    EUR 600,000       719,642  
FGA Capital Ireland PLC, 2%, 10/23/2019    EUR 700,000       862,296  
Gates Global LLC, 6%, 7/15/2022 (n)    $ 960,000       980,400  
General Motors Financial Co., Inc., 3.45%, 4/10/2022      486,000       495,458  
General Motors Financial Co., Inc., 4.35%, 1/17/2027      195,000       198,722  
IHO Verwaltungs GmbH, 4.75%, 9/15/2026 (n)      970,000       988,188  
Jaguar Land Rover Automotive PLC, 3.875%, 3/01/2023    GBP 500,000       692,685  
Lear Corp., 5.25%, 1/15/2025    $ 721,000       772,379  
Nemak S.A.B. de C.V., 3.25%, 3/15/2024 (z)    EUR 500,000       599,595  
ZF North America Capital, Inc., 4.5%, 4/29/2022 (n)    $ 1,335,000       1,401,750  
ZF North America Capital, Inc., 4.75%, 4/29/2025 (n)      1,052,000       1,099,340  
    

 

 

  
             $ 10,467,324  
Biotechnology - 0.1%                 
Life Technologies Corp., 6%, 3/01/2020    $ 363,000     $ 395,575  

 

1

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Broadcasting - 2.1%                 
Clear Channel Worldwide Holdings, Inc., “A”, 6.5%, 11/15/2022    $ 400,000     $ 412,000  
Clear Channel Worldwide Holdings, Inc., “B”, 6.5%, 11/15/2022      1,095,000       1,134,694  
E. W. Scripps Co., 5.125%, 5/15/2025 (n)      765,000       791,775  
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       54,500  
Match Group, Inc., 6.375%, 6/01/2024      845,000       919,994  
Netflix, Inc., 5.875%, 2/15/2025      1,600,000       1,792,000  
Netflix, Inc., 4.375%, 11/15/2026 (n)      480,000       486,000  
Omnicom Group, Inc., 3.65%, 11/01/2024      154,000       159,080  
Omnicom Group, Inc., 3.6%, 4/15/2026      444,000       450,491  
ProSiebenSat.1 Media AG, 2.625%, 4/15/2021    EUR 485,000       611,410  
Time Warner, Inc., 3.8%, 2/15/2027    $ 504,000       509,551  
WMG Acquisition Corp., 5%, 8/01/2023 (z)      250,000       258,750  
WMG Acquisition Corp., 4.875%, 11/01/2024 (n)      935,000       960,713  
    

 

 

  
             $ 9,961,758  
Brokerage & Asset Managers - 0.3%                 
Intercontinental Exchange, Inc., 2.75%, 12/01/2020    $ 274,000     $ 277,359  
Intercontinental Exchange, Inc., 3.75%, 12/01/2025      450,000       474,639  
TD Ameritrade Holding Corp., 3.3%, 4/01/2027      469,000       472,923  
    

 

 

  
             $ 1,224,921  
Building - 3.3%                 
ABC Supply Co., Inc., 5.75%, 12/15/2023 (n)    $ 960,000     $ 1,020,000  
Allegion PLC, 5.875%, 9/15/2023      473,000       509,185  
Allegion U.S. Holding Co., Inc., 5.75%, 10/01/2021      1,295,000       1,337,088  
Beacon Roofing Supply, Inc., 6.375%, 10/01/2023      835,000       899,713  
Cimpor Financial Operations B.V., 5.75%, 7/17/2024 (n)      284,000       242,110  
Elementia S.A. de C.V., 5.5%, 1/15/2025 (n)      210,000       220,479  
Gibraltar Industries, Inc., 6.25%, 2/01/2021      1,150,000       1,188,813  
HD Supply, Inc., 5.75%, 4/15/2024 (n)      1,070,000       1,146,238  
HeidelbergCement AG, 2.25%, 3/30/2023    EUR 400,000       510,313  
Imerys S.A., 1.5%, 1/15/2027    EUR 400,000       472,626  
Martin Marietta Materials, Inc., 3.45%, 6/01/2027    $ 225,000       225,454  
Masco Corp., 4.45%, 4/01/2025      170,000       181,929  
Masco Corp., 4.375%, 4/01/2026      791,000       843,309  
Mohawk Industries, Inc., 3.85%, 2/01/2023      653,000       673,692  
New Enterprise Stone & Lime Co., Inc., 10.125%, 4/01/2022 (z)      945,000       1,025,712  
Owens Corning, 4.2%, 12/15/2022      184,000       195,398  
Owens Corning, 3.4%, 8/15/2026      372,000       367,119  
PriSo Acquisition Corp., 9%, 5/15/2023 (n)      975,000       1,033,500  
Standard Industries, Inc., 5.375%, 11/15/2024 (n)      1,050,000       1,105,125  
Standard Industries, Inc., 6%, 10/15/2025 (n)      735,000       785,531  
Summit Materials LLC/Summit Materials Finance Co., 6.125%, 7/15/2023      1,155,000       1,209,863  
Summit Materials LLC/Summit Materials Finance Co., 5.125%, 6/01/2025 (n)      300,000       308,250  
Union Andina de Cementos S.A.A., 5.875%, 10/30/2021 (n)      270,000       281,475  
    

 

 

  
             $ 15,782,922  
Business Services - 2.4%                 
Alliance Data Systems Corp., 5.875%, 11/01/2021 (n)    $ 1,015,000     $ 1,055,600  
Alliance Data Systems Corp., 5.375%, 8/01/2022 (n)      140,000       141,750  
Alpine Finance Merger Sub LLC, 6.875%, 8/01/2025      535,000       555,063  
CDK Global, Inc., 4.875%, 6/01/2027 (n)      1,005,000       1,032,638  
Cisco Systems, Inc., 2.2%, 2/28/2021      530,000       534,543  
Equinix, Inc., 4.875%, 4/01/2020      855,000       878,085  

 

2

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Business Services - continued                 
Equinix, Inc., 5.375%, 1/01/2022    $ 290,000     $ 303,775  
Equinix, Inc., 5.375%, 4/01/2023      1,065,000       1,107,600  
Equinix, Inc., 5.75%, 1/01/2025      537,000       577,275  
Fidelity National Information Services, Inc., 3.875%, 6/05/2024      180,000       188,772  
Fidelity National Information Services, Inc., 1.1%, 7/15/2024    EUR 110,000       130,001  
Fidelity National Information Services, Inc., 5%, 10/15/2025    $ 58,000       65,358  
Fidelity National Information Services, Inc., 3%, 8/15/2026      504,000       493,826  
Fidelity National Information Services, Inc., 4.5%, 8/15/2046      244,000       251,168  
First Data Corp., 5%, 1/15/2024 (n)      1,760,000       1,830,400  
MSCI, Inc., 5.75%, 8/15/2025 (n)      595,000       644,088  
Tencent Holdings Ltd., 3.375%, 3/05/2018 (n)      664,000       669,894  
Tencent Holdings Ltd., 3.8%, 2/11/2025 (n)      734,000       768,069  
    

 

 

  
             $ 11,227,905  
Cable TV - 6.0%                 
Altice Financing S.A., 6.5%, 1/15/2022 (n)    $ 1,477,000     $ 1,539,329  
Altice Financing S.A., 6.625%, 2/15/2023 (n)      1,525,000       1,615,547  
Altice Finco S.A., 8.125%, 1/15/2024 (n)      719,000       780,115  
Altice U.S. Finance I Corp., 5.5%, 5/15/2026 (n)      665,000       704,900  
CCO Holdings LLC/CCO Holdings Capital Corp., 5.25%, 9/30/2022      500,000       515,625  
CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023 (n)      1,690,000       1,774,500  
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 1/15/2024      1,395,000       1,468,238  
CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025 (n)      305,000       324,444  
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 2/15/2026 (n)      705,000       757,875  
Cequel Communications Holdings, 6.375%, 9/15/2020 (n)      508,000       516,890  
Charter Communications Operating LLC, 6.384%, 10/23/2035      1,005,000       1,175,778  
Comcast Corp., 2.75%, 3/01/2023      1,365,000       1,384,294  
Comcast Corp., 4.65%, 7/15/2042      500,000       550,967  
Cox Communications, Inc., 4.6%, 8/15/2047 (z)      614,000       613,964  
CSC Holdings LLC, 5.5%, 4/15/2027 (n)      1,270,000       1,352,550  
DISH DBS Corp., 5%, 3/15/2023      1,010,000       1,047,562  
DISH DBS Corp., 5.875%, 11/15/2024      1,105,000       1,198,649  
Intelsat Jackson Holdings S.A., 5.5%, 8/01/2023      385,000       332,063  
Intelsat Jackson Holdings S.A., 8%, 2/15/2024 (n)      270,000       293,288  
LGE Holdco VI B.V., 7.125%, 5/15/2024 (n)    EUR 680,000       909,632  
Lynx II Corp., 6.375%, 4/15/2023 (n)    $ 675,000       708,750  
Shaw Communications, Inc., 5.65%, 10/01/2019    CAD 417,000       359,030  
Sirius XM Radio, Inc., 4.625%, 5/15/2023 (n)    $ 540,000       556,200  
Sirius XM Radio, Inc., 6%, 7/15/2024 (n)      1,215,000       1,310,681  
Sirius XM Radio, Inc., 5.375%, 4/15/2025 (n)      650,000       682,500  
Sirius XM Radio, Inc., 5.375%, 7/15/2026 (n)      388,000       406,643  
Sky PLC, 2.5%, 9/15/2026    EUR 600,000       767,154  
Time Warner Cable, Inc., 4.5%, 9/15/2042    $ 210,000       197,890  
Unitymedia Hessen, 5.5%, 1/15/2023 (n)      855,000       887,063  
Unitymedia KabelBW GmbH, 6.125%, 1/15/2025 (n)      700,000       752,500  
Videotron Ltd., 5.375%, 6/15/2024 (n)      215,000       229,244  
Videotron Ltd., 5.125%, 4/15/2027 (n)      960,000       988,800  
Virgin Media Secured Finance PLC, 5.25%, 1/15/2026 (n)      710,000       738,400  
VTR Finance B.V., 6.875%, 1/15/2024 (n)      207,000       220,714  
Ziggo Bond Finance B.V., 5.875%, 1/15/2025 (n)      750,000       776,250  
    

 

 

  
             $ 28,438,029  
Chemicals - 1.5%                 
Air Liquide Finance Co., 2.25%, 9/27/2023 (n)    $ 493,000     $ 479,861  
Axalta Coating Systems Co., 4.875%, 8/15/2024 (n)      755,000       779,538  

 

3

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Chemicals - continued                 
Chemours Co., 6.625%, 5/15/2023    $ 745,000     $ 800,026  
Chemours Co., 7%, 5/15/2025      255,000       284,325  
Consolidated Energy Finance S.A., 6.875%, 6/15/2025 (n)      440,000       462,000  
GCP Applied Technologies Co., 9.5%, 2/01/2023 (n)      1,075,000       1,224,156  
Huntsman International LLC, 5.125%, 4/15/2021    EUR 335,000       450,111  
International Flavors & Fragrances, Inc., 1.75%, 3/14/2024    EUR 350,000       432,242  
PPG Industries, Inc., 0.875%, 11/03/2025    EUR 350,000       406,512  
Tronox Finance LLC, 7.5%, 3/15/2022 (n)    $ 805,000       843,238  
W.R. Grace & Co., 5.125%, 10/01/2021 (n)      1,035,000       1,112,625  
    

 

 

  
      $ 7,274,634  
Computer Software - 1.4%                 
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.02%, 6/15/2026 (n)    $ 900,000     $ 1,002,447  
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.875%, 6/15/2021 (n)      840,000       880,950  
Microsoft Corp., 1.55%, 8/08/2021      1,021,000       1,004,387  
Microsoft Corp., 4.1%, 2/06/2037      922,000       993,485  
Nuance Communications, Inc., 5.625%, 12/15/2026 (n)      955,000       1,017,075  
Oracle Corp., 3.4%, 7/08/2024      483,000       503,478  
VeriSign, Inc., 4.75%, 7/15/2027 (z)      302,000       306,530  
VeriSign, Inc., 4.625%, 5/01/2023      1,005,000       1,032,638  
VeriSign, Inc., 5.25%, 4/01/2025      130,000       138,450  
    

 

 

  
      $ 6,879,440  
Computer Software - Systems - 1.2%                 
Apple, Inc., 3.05%, 7/31/2029    GBP 450,000     $ 652,515  
Apple, Inc., 4.25%, 2/09/2047    $ 135,000       142,873  
CDW LLC/CDW Finance Corp., 5.5%, 12/01/2024      425,000       465,375  
CDW LLC/CDW Finance Corp., 5%, 9/01/2025      270,000       281,983  
JDA Software Group, Inc., 7.375%, 10/15/2024 (n)      1,005,000       1,050,225  
Sabre GLBL, Inc., 5.375%, 4/15/2023 (n)      1,145,000       1,196,525  
SS&C Technologies Holdings, Inc., 5.875%, 7/15/2023      775,000       823,438  
Western Digital Corp., 10.5%, 4/01/2024      995,000       1,177,831  
    

 

 

  
      $ 5,790,765  
Conglomerates - 1.7%                 
Amsted Industries Co., 5%, 3/15/2022 (n)    $ 1,510,000     $ 1,562,850  
EnerSys, 5%, 4/30/2023 (n)      1,435,000       1,474,463  
Enpro Industries, Inc., 5.875%, 9/15/2022      1,415,000       1,476,906  
Entegris, Inc., 6%, 4/01/2022 (n)      1,335,000       1,397,932  
Johnson Controls International PLC, 1.375%, 2/25/2025    EUR 220,000       261,082  
Johnson Controls International PLC, 4.5%, 2/15/2047    $ 110,000       117,589  
Parker-Hannifin Corp., 4.1%, 3/01/2047 (n)      283,000       292,709  
Smiths Group PLC, 2%, 2/23/2027    EUR 400,000       485,511  
SPX FLOW, Inc., 5.625%, 8/15/2024 (n)    $ 985,000       1,019,475  
    

 

 

  
      $ 8,088,517  
Construction - 0.1%                 
Empresas ICA S.A.B. de C.V., 8.9%, 2/04/2021 (a)(d)    $ 590,000     $ 149,681  
Empresas ICA S.A.B. de C.V., 8.875%, 5/29/2024 (a)(d)(n)      914,000       230,785  
    

 

 

  
      $ 380,466  
Consumer Products - 1.1%                 
Essity AB, 1.125%, 3/27/2024    EUR 500,000     $ 598,786  
NBTY, Inc., 7.625%, 5/15/2021 (n)    $ 740,000       797,350  
Prestige Brands, Inc., 5.375%, 12/15/2021 (n)      845,000       868,238  

 

4

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Consumer Products - continued                 
Reckitt Benckiser Treasury Services PLC, 3.625%, 9/21/2023 (n)    $ 500,000     $ 528,085  
Reckitt Benckiser Treasury Services PLC, 3%, 6/26/2027 (n)      1,191,000       1,182,350  
Spectrum Brands, Inc., 6.125%, 12/15/2024      165,000       176,550  
Spectrum Brands, Inc., 5.75%, 7/15/2025      785,000       839,950  
    

 

 

  
      $ 4,991,309  
Consumer Services - 2.2%                 
ADT Corp., 6.25%, 10/15/2021    $ 1,050,000     $ 1,147,125  
G4S International Finance PLC, 1.5%, 1/09/2023    EUR 650,000       786,509  
Grupo Posadas S.A.B. de C.V., 7.875%, 6/30/2022 (n)    $ 455,000       476,567  
Interval Acquisition Corp., 5.625%, 4/15/2023      1,635,000       1,700,400  
Mobile Mini, Inc., 5.875%, 7/01/2024      1,115,000       1,165,175  
Monitronics International, Inc., 9.125%, 4/01/2020      1,025,000       960,938  
Priceline Group, Inc., 2.15%, 11/25/2022    EUR 170,000       215,178  
Priceline Group, Inc., 1.8%, 3/03/2027    EUR 650,000       774,041  
Service Corp. International, 5.375%, 5/15/2024    $ 565,000       599,606  
ServiceMaster Co. LLC, 5.125%, 11/15/2024 (n)      1,235,000       1,262,788  
Visa, Inc., 2.8%, 12/14/2022      1,099,000       1,123,157  
    

 

 

  
      $ 10,211,484  
Containers - 2.7%                 
Ball Corp., 5.25%, 7/01/2025    $ 330,000     $ 363,000  
Berry Global Group, Inc., 5.5%, 5/15/2022      1,155,000       1,204,088  
Berry Global Group, Inc., 6%, 10/15/2022      680,000       722,500  
Crown American LLC, 4.5%, 1/15/2023      1,147,000       1,212,953  
Crown American LLC, 4.25%, 9/30/2026 (n)      590,000       594,425  
Multi-Color Corp., 6.125%, 12/01/2022 (n)      1,426,000       1,493,735  
Plastipak Holdings, Inc., 6.5%, 10/01/2021 (n)      1,113,000       1,151,955  
Reynolds Group, 5.75%, 10/15/2020      600,000       613,500  
Reynolds Group, 5.125%, 7/15/2023 (n)      725,000       763,063  
Reynolds Group, 7%, 7/15/2024 (n)      625,000       675,781  
Sealed Air Corp., 4.875%, 12/01/2022 (n)      1,110,000       1,176,600  
Sealed Air Corp., 4.5%, 9/15/2023 (n)    EUR 450,000       601,355  
Sealed Air Corp., 5.125%, 12/01/2024 (n)    $ 370,000       395,438  
Sealed Air Corp., 5.5%, 9/15/2025 (n)      195,000       212,550  
Signode Industrial Group, 6.375%, 5/01/2022 (n)      785,000       820,325  
Silgan Holdings, Inc., 5.5%, 2/01/2022      90,000       92,250  
Silgan Holdings, Inc., 4.75%, 3/15/2025 (n)      620,000       638,600  
    

 

 

  
      $ 12,732,118  
Electrical Equipment - 0.2%                 
CommScope Holding Company, Inc., 5.5%, 6/15/2024 (n)    $ 240,000     $ 252,900  
CommScope Technologies LLC, 5%, 3/15/2027 (n)      865,000       867,163  
    

 

 

  
      $ 1,120,063  
Electronics - 1.0%                 
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.875%, 1/15/2027 (n)    $ 767,000     $ 787,230  
Intel Corp., 3.15%, 5/11/2027      1,019,000       1,030,786  
Sensata Technologies B.V., 5.625%, 11/01/2024 (n)      645,000       701,438  
Sensata Technologies B.V., 5%, 10/01/2025 (n)      640,000       673,600  
Tyco Electronics Group S.A., 6.55%, 10/01/2017      700,000       705,768  
Tyco Electronics Group S.A., 1.1%, 3/01/2023    EUR 550,000       657,501  
    

 

 

  
      $ 4,556,323  

 

5

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Emerging Market Quasi-Sovereign - 4.9%                 
Autoridad del Canal de Panama, 4.95%, 7/29/2035 (n)    $ 201,000     $ 221,100  
Banco de Reservas de la Republica Dominicana, 7%, 2/01/2023 (n)      946,000       983,840  
Banco Nacional de Comercio Exterior, S.N.C., 3.8% to 8/11/2021, FRN to 8/11/2026 (n)      226,000       224,870  
CNPC (HK) Overseas Capital Ltd., 4.5%, 4/28/2021 (n)      1,242,000       1,322,631  
CNPC General Capital Ltd., 3.4%, 4/16/2023 (n)      391,000       398,502  
Comision Federal de Electricidad, 4.875%, 1/15/2024 (n)      517,000       549,313  
Comision Federal de Electricidad, 5.75%, 2/14/2042 (n)      915,000       941,306  
Corporacion Financiera de Desarrollo S.A., 4.75%, 7/15/2025 (n)      268,000       286,760  
Empresa Nacional del Petroleo, 4.375%, 10/30/2024 (n)      296,000       309,287  
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       491,185  
Majapahit Holding B.V., 8%, 8/07/2019 (n)      1,197,000       1,328,670  
Majapahit Holding B.V., 7.75%, 1/20/2020 (n)      1,045,000       1,171,759  
Office Cherifien des Phosphates S.A., 4.5%, 10/22/2025 (n)      371,000       374,378  
Office Cherifien des Phosphates S.A., 6.875%, 4/25/2044 (n)      373,000       414,694  
Pertamina PT, 5.25%, 5/23/2021 (n)      511,000       552,355  
Pertamina PT, 4.875%, 5/03/2022 (n)      540,000       578,189  
Pertamina PT, 4.3%, 5/20/2023 (n)      323,000       336,395  
Pertamina PT, 6%, 5/03/2042      680,000       749,882  
Petrobras Global Finance B.V., 6.125%, 1/17/2022      53,000       55,698  
Petrobras Global Finance B.V., 6.25%, 3/17/2024      1,043,000       1,087,328  
Petrobras Global Finance B.V., 7.375%, 1/17/2027      44,000       47,630  
Petrobras International Finance Co., 6.75%, 1/27/2041      1,159,000       1,112,640  
Petroleos Mexicanos, 5.5%, 1/21/2021      1,199,000       1,285,328  
Petroleos Mexicanos, 4.625%, 9/21/2023      221,000       227,520  
Petroleos Mexicanos, 6.5%, 3/13/2027 (n)      186,000       204,786  
Petroleos Mexicanos, 5.5%, 6/27/2044      82,000       75,030  
Petroleos Mexicanos, 6.75%, 9/21/2047      161,000       169,372  
PT Pelabuhan Indonesia III, 4.875%, 10/01/2024 (n)      200,000       213,000  
PT Perusahaan Gas Negara (Persero) Tbk, 5.125%, 5/16/2024 (n)      438,000       473,193  
Sinopec Capital (2013) Ltd., 3.125%, 4/24/2023 (n)      666,000       667,332  
Sinopec Capital (2013) Ltd., 4.25%, 4/24/2043 (n)      548,000       549,448  
Sinopec Group Overseas Development (2012) Ltd., 3.9%, 5/17/2022 (n)      544,000       570,587  
Southern Gas Corridor CJSC, 6.875%, 3/24/2026      1,367,000       1,503,017  
State Grid Overseas Investment (2014) Ltd., 4.125%, 5/07/2024 (n)      2,263,000       2,398,758  
State Grid Overseas Investment (2016) Ltd., 2.75%, 5/04/2022 (n)      776,000       776,276  
    

 

 

  
      $ 23,072,944  
Emerging Market Sovereign - 7.2%                 
Dominican Republic, 7.5%, 5/06/2021 (n)    $ 879,000     $ 973,493  
Dominican Republic, 6.6%, 1/28/2024 (n)      188,000       209,620  
Dominican Republic, 5.875%, 4/18/2024 (n)      206,000       221,450  
Dominican Republic, 5.5%, 1/27/2025 (n)      211,000       222,078  
Oriental Republic of Uruguay, 4.375%, 10/27/2027      377,731       403,794  
Republic of Argentina, 6.875%, 4/22/2021      1,489,000       1,602,909  
Republic of Colombia, 8.125%, 5/21/2024      679,000       865,725  
Republic of Colombia, 6.125%, 1/18/2041      435,000       503,730  
Republic of Croatia, 5.5%, 4/04/2023 (n)      1,362,000       1,511,820  
Republic of Hungary, 7.625%, 3/29/2041      488,000       740,274  
Republic of Indonesia, 6.875%, 1/17/2018      838,000       857,414  
Republic of Indonesia, 11.625%, 3/04/2019      733,000       842,929  
Republic of Indonesia, 2.875%, 7/08/2021 (z)    EUR 375,000       475,599  
Republic of Indonesia, 3.375%, 4/15/2023 (n)    $ 517,000       520,563  
Republic of Indonesia, 5.875%, 1/15/2024 (n)      225,000       257,357  
Republic of Indonesia, 2.15%, 7/18/2024 (z)    EUR 324,000       390,743  

 

6

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Emerging Market Sovereign - continued                 
Republic of Indonesia, 4.125%, 1/15/2025 (n)    $ 339,000     $ 352,122  
Republic of Indonesia, 4.125%, 1/15/2025      1,422,000       1,477,043  
Republic of Kazakhstan, 3.875%, 10/14/2024 (n)      427,000       437,675  
Republic of Kazakhstan, 5.125%, 7/21/2025 (n)      983,000       1,080,219  
Republic of Kazakhstan, 4.875%, 10/14/2044 (n)      207,000       208,822  
Republic of Lithuania, 6.625%, 2/01/2022 (n)      1,425,000       1,670,813  
Republic of Panama, 3.75%, 3/16/2025      231,000       240,240  
Republic of Panama, 8.875%, 9/30/2027      1,273,000       1,823,573  
Republic of Panama, 9.375%, 4/01/2029      873,000       1,300,770  
Republic of Paraguay, 4.625%, 1/25/2023 (n)      212,000       222,452  
Republic of Peru, 8.75%, 11/21/2033      629,000       973,378  
Republic of Peru, 5.625%, 11/18/2050      217,000       267,236  
Republic of Poland, 5%, 3/23/2022      609,000       674,163  
Republic of Romania, 6.75%, 2/07/2022 (n)      1,074,000       1,245,840  
Republic of Romania, 4.375%, 8/22/2023 (n)      486,000       520,020  
Republic of Sri Lanka, 6.125%, 6/03/2025      1,336,000       1,387,644  
Republic of Turkey, 6.25%, 9/26/2022      646,000       708,401  
Republic of Turkey, 4.875%, 10/09/2026      1,229,000       1,225,928  
Russian Federation, 4.875%, 9/16/2023 (n)      800,000       864,064  
Russian Federation, 4.75%, 5/27/2026      1,000,000       1,047,500  
Russian Federation, 7.5%, 3/31/2030      259,570       311,490  
Russian Federation, 5.625%, 4/04/2042 (n)      600,000       653,875  
United Mexican States, 3.625%, 3/15/2022      1,710,000       1,787,805  
United Mexican States, 4%, 10/02/2023      1,364,000       1,436,292  
United Mexican States, 8.5%, 5/31/2029    MXN 29,290,000       1,852,415  
    

 

 

  
             $ 34,369,278  
Energy - Independent - 3.3%                 
Afren PLC, 11.5%, 2/01/2016 (a)(d)(n)    $ 326,905     $ 98  
Afren PLC, 10.25%, 4/08/2019 (a)(d)(n)      213,708       64  
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., 7.875%, 12/15/2024 (n)      1,140,000       1,197,000  
Carrizo Oil & Gas, Inc., 6.25%, 4/15/2023      1,345,000       1,336,594  
Concho Resources, Inc., 4.375%, 1/15/2025      477,000       491,906  
Consol Energy, Inc., 5.875%, 4/15/2022      640,000       642,800  
Consol Energy, Inc., 8%, 4/01/2023      620,000       658,750  
Continental Resources, Inc., 4.5%, 4/15/2023      1,395,000       1,360,125  
Diamondback Energy, Inc., 5.375%, 5/31/2025      1,030,000       1,066,050  
Gulfport Energy Corp., 6%, 10/15/2024 (n)      720,000       711,000  
Gulfport Energy Corp., 6.375%, 5/15/2025 (n)      315,000       314,606  
Laredo Petroleum, Inc., 6.25%, 3/15/2023      1,060,000       1,093,125  
PDC Energy, Inc., 6.125%, 9/15/2024 (n)      1,135,000       1,164,794  
Rice Energy, Inc., 7.25%, 5/01/2023      595,000       638,881  
Seven Generations Energy, 8.25%, 5/15/2020 (n)      470,000       491,150  
Seven Generations Energy, 6.75%, 5/01/2023 (z)      735,000       771,750  
SM Energy Co., 6.75%, 9/15/2026      1,255,000       1,248,725  
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026      1,025,000       1,004,705  
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 (n)      422,000       413,644  
Whiting Petroleum Corp., 6.25%, 4/01/2023      1,175,000       1,107,438  
    

 

 

  
             $ 15,713,205  
Energy - Integrated - 0.3%                 
BP Capital Markets PLC, 1.117%, 1/25/2024    EUR 400,000     $ 484,266  
LUKOIL International Finance B.V., 4.563%, 4/24/2023 (n)    $ 698,000       718,100  
    

 

 

  
             $ 1,202,366  

 

7

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Entertainment - 1.2%                 
Carnival Corp., 1.875%, 11/07/2022    EUR 550,000     $ 693,678  
Cedar Fair LP, 5.375%, 6/01/2024    $ 415,000       435,750  
Cedar Fair LP, 5.375%, 4/15/2027 (n)      555,000       585,525  
Cinemark USA, Inc., 5.125%, 12/15/2022      1,045,000       1,077,656  
Cinemark USA, Inc., 4.875%, 6/01/2023      1,035,000       1,052,595  
Six Flags Entertainment Corp., 4.875%, 7/31/2024 (n)      1,805,000       1,836,588  
    

 

 

  
             $ 5,681,792  
Financial Institutions - 2.0%                 
AerCap Ireland Capital Co., 3.65%, 7/21/2027    $ 650,000     $ 645,630  
AerCap Ireland Capital Ltd., 4.625%, 10/30/2020      150,000       159,989  
Aircastle Ltd., 5.125%, 3/15/2021      250,000       265,000  
Aircastle Ltd., 5.5%, 2/15/2022      980,000       1,063,300  
International Lease Finance Corp., 7.125%, 9/01/2018 (n)      337,000       355,787  
Nationstar Mortgage LLC/Capital Corp., 6.5%, 8/01/2018      785,000       784,019  
Nationstar Mortgage LLC/Capital Corp., 7.875%, 10/01/2020      1,410,000       1,446,096  
Nationstar Mortgage LLC/Capital Corp., 6.5%, 7/01/2021      345,000       353,625  
Navient Corp., 7.25%, 1/25/2022      1,670,000       1,828,650  
Navient Corp., 7.25%, 9/25/2023      375,000       410,269  
Navient Corp., 6.125%, 3/25/2024      352,000       365,200  
Park Aerospace Holdings Ltd., 5.5%, 2/15/2024 (n)      1,580,000       1,608,638  
    

 

 

  
             $ 9,286,203  
Food & Beverages - 2.8%                 
Anheuser-Busch InBev N.V., 1.5%, 4/18/2030    EUR 325,000     $ 381,142  
Anheuser-Busch InBev Worldwide, Inc., 3.75%, 1/15/2022    $ 221,000       234,557  
Anheuser-Busch InBev Worldwide, Inc., 3.3%, 2/01/2023      631,000       654,738  
Anheuser-Busch InBev Worldwide, Inc., 4.7%, 2/01/2036      334,000       369,256  
Aramark Services, Inc., 4.75%, 6/01/2026      775,000       811,495  
Coca-Cola Co., 1.1%, 9/02/2036    EUR 110,000       115,823  
Coca-Cola Enterprises, Inc., 1.875%, 3/18/2030    EUR 325,000       391,359  
Constellation Brands, Inc., 4.25%, 5/01/2023    $ 894,000       960,729  
Constellation Brands, Inc., 4.75%, 12/01/2025      313,000       344,410  
Cott Holdings, Inc., 5.5%, 4/01/2025 (n)      950,000       998,688  
Gruma S.A.B. de C.V., 4.875%, 12/01/2024 (n)      202,000       220,725  
JB Y Co. S.A. de C.V., 3.75%, 5/13/2025 (n)      150,000       151,586  
JBS Investments GmbH, 7.75%, 10/28/2020 (n)      201,000       200,498  
JBS Investments GmbH, 7.25%, 4/03/2024      450,000       437,625  
JBS USA LLC/JBS USA Finance, Inc., 5.875%, 7/15/2024 (n)      1,180,000       1,171,150  
Kraft Heinz Foods Co., 5.2%, 7/15/2045      60,000       65,053  
Kraft Heinz Foods Co., 4.375%, 6/01/2046      256,000       248,743  
Lamb Weston Holdings, Inc., 4.625%, 11/01/2024 (n)      600,000       626,250  
Lamb Weston Holdings, Inc., 4.875%, 11/01/2026 (n)      445,000       465,207  
PepsiCo, Inc., 2.15%, 10/14/2020      1,936,000       1,954,061  
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.875%, 1/15/2024      1,085,000       1,163,663  
U.S. Foods Holding Corp., 5.875%, 6/15/2024 (n)      995,000       1,038,531  
Wm. Wrigley Jr. Co., 2.9%, 10/21/2019 (n)      239,000       243,217  
Wm. Wrigley Jr. Co., 3.375%, 10/21/2020 (n)      124,000       128,147  
    

 

 

  
             $ 13,376,653  
Food & Drug Stores - 0.1%                 
Walgreens Boots Alliance, Inc., 2.7%, 11/18/2019    $ 580,000     $ 590,428  
Forest & Paper Products - 0.0%                 
Appvion, Inc., 9%, 6/01/2020 (n)    $ 340,000     $ 175,100  

 

8

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Gaming & Lodging - 1.4%                 
CCM Merger, Inc., 6%, 3/15/2022 (n)    $ 860,000     $ 901,151  
GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/01/2023      895,000       966,824  
GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026      160,000       174,400  
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.625%, 4/01/2025 (n)      935,000       968,894  
MGM Resorts International, 6.625%, 12/15/2021      1,105,000       1,243,125  
MGM Resorts International, 6%, 3/15/2023      745,000       825,088  
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2021      1,030,000       1,051,888  
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2023      450,000       463,500  
    

 

 

  
             $ 6,594,870  
Industrial - 0.2%                 
KAR Auction Services, Inc., 5.125%, 6/01/2025 (n)    $ 1,020,000     $ 1,063,350  
Insurance - 0.3%                 
American International Group, Inc., 1.875%, 6/21/2027    EUR 180,000     $ 216,003  
Bupa Finance PLC, 2%, 4/05/2024    GBP 300,000       397,013  
Old Mutual PLC, 7.875%, 11/03/2025    GBP 450,000       705,935  
Unum Group, 4%, 3/15/2024    $ 259,000       271,741  
    

 

 

  
             $ 1,590,692  
Insurance - Health - 0.4%                 
Aetna, Inc., 2.8%, 6/15/2023    $ 460,000     $ 465,069  
Centene Corp., 5.625%, 2/15/2021      460,000       478,400  
Centene Corp., 6.125%, 2/15/2024      765,000       831,938  
    

 

 

  
             $ 1,775,407  
Insurance - Property & Casualty - 1.0%                 
Berkshire Hathaway, Inc., 2.75%, 3/15/2023    $ 359,000     $ 366,298  
Berkshire Hathaway, Inc., 1.625%, 3/16/2035    EUR 325,000       356,522  
Chubb INA Holdings, Inc., 2.3%, 11/03/2020    $ 144,000       145,650  
Chubb INA Holdings, Inc., 2.875%, 11/03/2022      336,000       345,074  
CNA Financial Corp., 5.875%, 8/15/2020      700,000       775,116  
Liberty Mutual Group, Inc., 4.25%, 6/15/2023      567,000       608,564  
Liberty Mutual Group, Inc., 2.75%, 5/04/2026 (z)    EUR 120,000       153,419  
Liberty Mutual Group, Inc., 2.75%, 5/04/2026    EUR 200,000       255,699  
Marsh & McLennan Cos., Inc., 2.55%, 10/15/2018    $ 330,000       333,084  
Marsh & McLennan Cos., Inc., 3.5%, 6/03/2024      315,000       326,266  
Marsh & McLennan Cos., Inc., 4.35%, 1/30/2047      197,000       209,042  
QBE Capital Funding III Ltd., 7.5% to 5/24/2021, FRN to 5/24/2041    GBP 300,000       443,602  
XLIT Ltd. Co., 3.25% to 6/29/2027, FRN to 6/29/2047    EUR 500,000       592,640  
    

 

 

  
      $ 4,910,976  
International Market Sovereign - 0.1%                 
Government of Japan, 0.3%, 12/20/2025    JPY 25,450,000     $ 236,027  
Government of Japan, 2.4%, 3/20/2037    JPY 12,200,000       147,933  
    

 

 

  
      $ 383,960  
Internet - 0.3%                 
Baidu, Inc., 4.125%, 6/30/2025    $ 240,000     $ 251,838  
Baidu, Inc., 3.25%, 8/06/2018      1,316,000       1,331,583  
    

 

 

  
      $ 1,583,421  
Local Authorities - 0.2%                 
Province of Alberta, 4.5%, 12/01/2040    CAD 410,000     $ 388,690  
Province of British Columbia, 2.3%, 6/18/2026      595,000       464,866  
    

 

 

  
      $ 853,556  

 

9

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Machinery & Tools - 1.0%                 
Ashtead Capital, Inc., 5.625%, 10/01/2024 (n)    $ 1,125,000     $ 1,209,375  
CNH Industrial Capital LLC, 4.375%, 11/06/2020      1,760,000       1,843,600  
CNH Industrial N.V., 4.5%, 8/15/2023      730,000       773,800  
H&E Equipment Services Co., 7%, 9/01/2022      1,065,000       1,102,275  
    

 

 

  
      $ 4,929,050  
Major Banks - 4.8%                 
Allied Irish Banks PLC, 4.125% to 11/26/2020, FRN to 11/26/2025    EUR 600,000     $ 765,327  
Bank of America Corp., 2.625%, 4/19/2021    $ 563,000       568,013  
Bank of America Corp., 3.248%, 10/21/2027      1,532,000       1,491,877  
Bank of America Corp., FRN, 6.1%, 12/29/2049      1,110,000       1,223,775  
Bank of New York Mellon Corp., 3.442 to 2/07/2027, FRN to 2/07/2028      647,000       662,263  
Barclays Bank PLC, 6%, 1/14/2021    EUR 350,000       486,479  
Barclays Bank PLC, 6.75% to 1/16/2018, FRN to 1/16/2023    GBP 200,000       270,097  
Credit Agricole S.A., 7.375%, 12/18/2023    GBP 200,000       347,834  
Credit Agricole S.A., 7.875% to 10/26/2019, FRN to 10/29/2049    EUR 350,000       478,957  
Goldman Sachs Group, Inc., 7.5%, 2/15/2019    $ 1,200,000       1,300,606  
Goldman Sachs Group, Inc., 2.625%, 4/25/2021      1,275,000       1,280,556  
Goldman Sachs Group, Inc., 3%, 4/26/2022      1,250,000       1,266,526  
HSBC Holdings PLC, 4.375%, 11/23/2026      399,000       419,179  
HSBC Holdings PLC, 6% to 5/22/2027, FRN to 11/22/2065      500,000       524,425  
JPMorgan Chase & Co., 4.25%, 10/15/2020      1,250,000       1,332,751  
JPMorgan Chase & Co., 3.25%, 9/23/2022      765,000       789,925  
JPMorgan Chase & Co., 2.95%, 10/01/2026      1,137,000       1,110,668  
JPMorgan Chase & Co., 4.26% to 2/22/2047, FRN to 2/22/2048      600,000       625,800  
JPMorgan Chase & Co., 6% to 8/01/2023, FRN to 12/29/2049      1,040,000       1,128,400  
Morgan Stanley, 6.625%, 4/01/2018      1,000,000       1,031,830  
Morgan Stanley, 2.5%, 4/21/2021      1,250,000       1,253,913  
Morgan Stanley, 3.125%, 7/27/2026      572,000       560,224  
Morgan Stanley, 2.625%, 3/09/2027    GBP 250,000       335,192  
Morgan Stanley, 3.95%, 4/23/2027    $ 423,000       430,695  
Nationwide Building Society, 1.25%, 3/03/2025    EUR 380,000       459,306  
PNC Bank N.A., 2.6%, 7/21/2020    $ 1,067,000       1,085,555  
UBS Group AG, 6.875% to 8/07/2025, FRN to 12/29/2049      990,000       1,085,288  
UBS Group Funding (Jersey) Ltd., 1.5%, 11/30/2024    EUR 500,000       612,501  
    

 

 

  
      $ 22,927,962  
Medical & Health Technology & Services - 4.6%                 
AmSurg Corp., 5.625%, 7/15/2022    $ 765,000     $ 793,688  
Baxter International, Inc., 1.3%, 5/30/2025    EUR 350,000       415,887  
Becton, Dickinson and Co., 3.734%, 12/15/2024    $ 66,000       68,172  
Becton, Dickinson and Co., 4.685%, 12/15/2044      270,000       284,969  
CHS/Community Health Systems, Inc., 6.875%, 2/01/2022      955,000       818,913  
DaVita, Inc., 5.125%, 7/15/2024      525,000       539,766  
DaVita, Inc., 5%, 5/01/2025      1,185,000       1,202,538  
HCA, Inc., 7.5%, 2/15/2022      1,080,000       1,247,400  
HCA, Inc., 5.875%, 3/15/2022      935,000       1,034,110  
HCA, Inc., 5%, 3/15/2024      1,705,000       1,809,858  
HCA, Inc., 5.375%, 2/01/2025      2,550,000       2,715,750  
HCA, Inc., 5.875%, 2/15/2026      505,000       550,450  
HCA, Inc., 5.25%, 6/15/2026      471,000       509,858  
HealthSouth Corp., 5.125%, 3/15/2023      1,020,000       1,045,500  
HealthSouth Corp., 5.75%, 11/01/2024      860,000       877,200  
Laboratory Corp. of America Holdings, 4.7%, 2/01/2045      364,000       377,986  
MEDNAX, Inc., 5.25%, 12/01/2023 (n)      635,000       654,050  

 

10

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Medical & Health Technology & Services - continued                 
Quintiles IMS Holdings, Inc., 5%, 10/15/2026 (n)    $ 1,025,000     $ 1,073,688  
Quorum Health Corp., 11.625%, 4/15/2023      830,000       688,900  
Tenet Healthcare Corp., 8%, 8/01/2020      712,000       723,570  
Tenet Healthcare Corp., 8.125%, 4/01/2022      1,600,000       1,721,600  
THC Escrow Corp. III, 5.125%, 5/01/2025 (n)      865,000       870,406  
Thermo Fisher Scientific, Inc., 3%, 4/15/2023      367,000       373,377  
Thermo Fisher Scientific, Inc., 2.95%, 9/19/2026      245,000       240,323  
Universal Health Services, Inc., 7.625%, 8/15/2020      1,010,000       1,027,675  
Universal Health Services, Inc., 5%, 6/01/2026 (n)      359,000       373,360  
    

 

 

  
      $ 22,038,994  
Medical Equipment - 0.8%  
Hologic, Inc., 5.25%, 7/15/2022 (n)    $ 1,000,000     $ 1,056,250  
Medtronic, Inc., 3.5%, 3/15/2025      1,437,000       1,506,434  
Teleflex, Inc., 5.25%, 6/15/2024      955,000       997,975  
Teleflex, Inc., 4.875%, 6/01/2026      445,000       458,350  
    

 

 

  
      $ 4,019,009  
Metals & Mining - 3.1%  
Barrick Gold Corp., 4.1%, 5/01/2023    $ 369,000     $ 399,782  
Cameco Corp., 5.67%, 9/02/2019    CAD 420,000       355,074  
First Quantum Minerals Ltd., 7%, 2/15/2021 (n)    $ 345,000       357,938  
First Quantum Minerals Ltd., 7.25%, 4/01/2023 (n)      870,000       896,100  
Freeport-McMoRan, Inc., 6.5%, 11/15/2020      130,000       133,738  
Freeport-McMoRan, Inc., 6.875%, 2/15/2023      1,472,000       1,597,120  
Freeport-McMoRan, Inc., 3.875%, 3/15/2023      840,000       811,650  
Glencore Finance (Europe) S.A., 1.25%, 3/17/2021    EUR 400,000       486,159  
Glencore Finance (Europe) S.A., 1.75%, 3/17/2025    EUR 300,000       358,514  
GrafTech International Co., 6.375%, 11/15/2020    $ 845,000       768,950  
Kaiser Aluminum Corp., 5.875%, 5/15/2024      1,000,000       1,062,500  
Kinross Gold Corp., 4.5%, 7/15/2027 (n)      805,000       801,981  
Kinross Gold Corp., 5.125%, 9/01/2021      410,000       435,496  
Kinross Gold Corp., 5.95%, 3/15/2024      920,000       1,002,800  
Lundin Mining Corp., 7.5%, 11/01/2020 (n)      310,000       325,190  
Lundin Mining Corp., 7.875%, 11/01/2022 (n)      445,000       485,050  
Novelis Corp., 5.875%, 9/30/2026 (z)      1,320,000       1,389,300  
Southern Copper Corp., 5.875%, 4/23/2045      753,000       828,951  
Steel Dynamics, Inc., 5.125%, 10/01/2021      435,000       448,050  
Steel Dynamics, Inc., 5.25%, 4/15/2023      195,000       203,044  
Steel Dynamics, Inc., 5.5%, 10/01/2024      735,000       786,450  
Suncoke Energy, Inc., 7.625%, 8/01/2019      130,000       129,838  
TMS International Corp., 7.625%, 10/15/2021 (n)      850,000       890,375  
    

 

 

  
      $ 14,954,050  
Midstream - 3.6%  
APT Pipelines Ltd., 5%, 3/23/2035 (n)    $ 542,000     $ 560,986  
Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022 (n)      1,420,000       1,451,950  
DCP Midstream LP, 4.95%, 4/01/2022      410,000       420,763  
DCP Midstream LP, 5.6%, 4/01/2044      250,000       237,500  
DCP Midstream LP, 3.875%, 3/15/2023      525,000       511,875  
Dominion Gas Holdings LLC, 2.8%, 11/15/2020      415,000       421,774  
Enbridge, Inc., 6% to 1/15/2027, FRN to 1/15/2077      476,000       504,560  
Energy Transfer Equity LP, 7.5%, 10/15/2020      1,795,000       2,028,350  
Enterprise Products Operating LLC, 3.9%, 2/15/2024      287,000       300,092  
Kinder Morgan (Delaware), Inc., 7.75%, 1/15/2032      1,434,000       1,835,397  

 

11

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued  
Midstream - continued  
ONEOK, Inc., 4.95%, 7/13/2047    $ 928,000     $ 930,672  
Sabine Pass Liquefaction, 4.2%, 3/15/2028      400,000       406,292  
Sabine Pass Liquefaction LLC, 5.625%, 2/01/2021      1,185,000       1,292,891  
Sabine Pass Liquefaction LLC, 5.625%, 4/15/2023      1,465,000       1,631,285  
Sabine Pass Liquefaction LLC, 5%, 3/15/2027      500,000       535,455  
Targa Resources Partners LP/Targa Resources Finance Corp., 4.125%, 11/15/2019      775,000       785,656  
Targa Resources Partners LP/Targa Resources Finance Corp., 5.25%, 5/01/2023      415,000       427,969  
Targa Resources Partners LP/Targa Resources Finance Corp., 5.375%, 2/01/2027 (n)      1,530,000       1,587,375  
Williams Cos., Inc., 4.55%, 6/24/2024      1,050,000       1,088,063  
    

 

 

  
      $ 16,958,905  
Mortgage-Backed - 5.5%  
Fannie Mae, 5.5%, 1/01/2037 - 8/01/2037    $ 1,298,051     $ 1,452,570  
Fannie Mae, 4%, 9/01/2040 - 2/01/2045      2,499,818       2,641,560  
Fannie Mae, 3.5%, 3/01/2045 - 1/01/2047      6,035,194       6,225,732  
Fannie Mae, FRN, 1.253%, 5/25/2018      1,078,828       1,078,132  
Freddie Mac, 3.527%, 10/25/2023      1,400,000       1,487,422  
Freddie Mac, 3.062%, 11/25/2023      600,000       622,207  
Freddie Mac, 3.002%, 1/25/2024      1,500,000       1,554,277  
Freddie Mac, 3.329%, 5/25/2025      5,000,000       5,253,586  
Freddie Mac, 2.673%, 3/25/2026      1,099,000       1,097,074  
Freddie Mac, 4%, 4/01/2044      180,574       190,287  
Freddie Mac, 3.5%, 9/01/2045      4,417,656       4,555,011  
    

 

 

  
      $ 26,157,858  
Natural Gas - Distribution - 0.2%  
Boston Gas Co., 3.15%, 8/01/2027 (z)    $ 420,000     $ 419,622  
GNL Quintero S.A., 4.634%, 7/31/2029 (n)      377,000       388,781  
    

 

 

  
      $ 808,403  
Network & Telecom - 2.0%  
AT&T, Inc., 1.8%, 9/04/2026    EUR 200,000     $ 239,743  
AT&T, Inc., 4.9%, 8/14/2037    $ 833,000       828,679  
AT&T, Inc., 4.25%, 6/01/2043    GBP 230,000       324,283  
AT&T, Inc., 4.75%, 5/15/2046    $ 1,110,000       1,065,899  
British Telecom PLC, 5.75%, 12/07/2028    GBP 300,000       518,984  
CenturyLink, Inc., 6.45%, 6/15/2021    $ 470,000       507,454  
CenturyLink, Inc., 7.65%, 3/15/2042      615,000       570,216  
Columbus International, Inc., 7.375%, 3/30/2021 (n)      200,000       213,500  
Deutsche Telekom International Finance B.V., 1.5%, 4/03/2028    EUR 400,000       473,949  
Telecom Italia Capital, 6%, 9/30/2034    $ 320,000       353,920  
Telecom Italia S.p.A., 3.625%, 1/19/2024    EUR 500,000       667,351  
Telecom Italia S.p.A., 5.303%, 5/30/2024 (n)    $ 1,165,000       1,284,413  
Verizon Communications, Inc., 1.75%, 8/15/2021      281,000       274,253  
Verizon Communications, Inc., 4.812%, 3/15/2039      539,000       539,844  
Zayo Group LLC/Zayo Capital, Inc., 6.375%, 5/15/2025      530,000       574,388  
Zayo Group LLC/Zayo Capital, Inc., 5.75%, 1/15/2027 (n)      1,035,000       1,097,100  
    

 

 

  
      $ 9,533,976  
Oil Services - 0.6%  
Bristow Group, Inc., 6.25%, 10/15/2022    $ 860,000     $ 556,850  
Diamond Offshore Drilling, Inc., 5.7%, 10/15/2039      965,000       728,575  
Odebrecht Offshore Drilling Finance Ltd., 6.75%, 10/01/2022 (a)(d)(n)      1,113,007       392,892  
Trinidad Drilling Ltd., 6.625%, 2/15/2025 (n)      985,000       928,363  
Weatherford International Ltd., 8.25%, 6/15/2023      208,000       211,120  
    

 

 

  
             $ 2,817,800  

 

12

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Oils - 0.5%                 
CITGO Holding, Inc., 10.75%, 2/15/2020 (n)    $ 730,000     $ 768,325  
CITGO Petroleum Corp., 6.25%, 8/15/2022 (n)      880,000       895,400  
Phillips 66, 4.875%, 11/15/2044      606,000       656,708  
    

 

 

  
             $ 2,320,433  
Other Banks & Diversified Financials - 1.6%                 
Bancolombia S.A., 5.95%, 6/03/2021    $ 1,094,000     $ 1,204,768  
Bank of Iceland, 1.75%, 9/07/2020    EUR 600,000       732,938  
BBVA Banco Continental S.A., 5.25% to 9/22/2024, FRN to 9/22/2029 (n)    $ 104,000       112,320  
BBVA Bancomer S.A. de C.V., 6.75%, 9/30/2022 (n)      424,000       481,240  
Belfius Bank S.A., 3.125%, 5/11/2026    EUR 300,000       380,266  
BPCE S.A., 4.5%, 3/15/2025 (n)    $ 302,000       313,167  
Citizens Bank N.A., 2.55%, 5/13/2021      256,000       256,914  
Deutsche Bank AG, 1.875%, 2/28/2020    GBP 400,000       532,596  
Groupe BPCE S.A., 12.5% to 9/30/2019, FRN to 8/29/2049 (n)      1,883,000       2,280,784  
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       437,859  
Intesa Sanpaolo S.p.A., 5.25%, 1/28/2022    GBP 250,000       370,471  
U.S. Bancorp, 0.85%, 6/07/2024    EUR 270,000       318,971  
    

 

 

  
             $ 7,644,494  
Personal Computers & Peripherals - 0.1%                 
Equifax, Inc., 2.3%, 6/01/2021    $ 240,000     $ 238,791  
Pharmaceuticals - 0.9%                 
Celgene Corp., 2.875%, 8/15/2020    $ 600,000     $ 615,527  
Endo Finance LLC/Endo Finco, Inc., 7.25%, 1/15/2022 (n)      1,020,000       1,004,700  
Forest Laboratories, Inc., 4.375%, 2/01/2019 (n)      164,000       168,977  
Gilead Sciences, Inc., 2.35%, 2/01/2020      667,000       676,359  
Mallinckrodt International Finance S.A., 5.75%, 8/01/2022 (n)      790,000       772,225  
Valeant Pharmaceuticals International, Inc., 7%, 10/01/2020 (n)      1,020,000       1,007,250  
    

 

 

  
             $ 4,245,038  
Precious Metals & Minerals - 0.3%                 
Eldorado Gold Corp., 6.125%, 12/15/2020 (n)    $ 1,485,000     $ 1,514,700  
Printing & Publishing - 0.5%                 
Nielsen Finance LLC, 5%, 4/15/2022 (n)    $ 1,295,000     $ 1,335,469  
Outdoor Americas Capital LLC/Outfront Media Capital Corp., 5.625%, 2/15/2024      1,075,000       1,122,031  
    

 

 

  
             $ 2,457,500  
Real Estate - Apartment - 0.3%                 
Grand City Properties S.A., 3.75% to 2/18/2022, FRN to 12/29/2049    EUR 600,000     $ 745,176  
Vonovia SE, REIT, 2.125%, 7/09/2022    EUR 450,000       571,878  
    

 

 

  
             $ 1,317,054  
Real Estate - Healthcare - 0.5%                 
MPT Operating Partnership LP, REIT, 6.375%, 2/15/2022    $ 1,335,000     $ 1,378,388  
MPT Operating Partnership LP, REIT, 5.25%, 8/01/2026      1,090,000       1,139,050  
    

 

 

  
             $ 2,517,438  
Real Estate - Office - 0.1%                 
Merlin Properties SOCIMI S.A., REIT, 2.225%, 4/25/2023    EUR 450,000     $ 562,828  

 

13

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Real Estate - Other - 1.1%                 
CyrusOne LP/CyrusOne Finance Corp., REIT, 5.375%, 3/15/2027 (z)    $ 280,000     $ 295,750  
CyrusOne LP/CyrusOne Finance Corp., REIT, 5%, 3/15/2024 (n)      1,145,000       1,190,800  
DuPont Fabros Technology LP, REIT, 5.875%, 9/15/2021      1,725,000       1,787,747  
Felcor Lodging LP, REIT, 5.625%, 3/01/2023      1,130,000       1,173,788  
Starwood Property Trust, Inc., 5%, 12/15/2021      885,000       922,613  
    

 

 

  
             $ 5,370,698  
Restaurants - 0.1%                 
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, 6/01/2026 (n)    $ 580,000     $ 614,800  
Retailers - 1.6%                 
Best Buy Co., Inc., 5.5%, 3/15/2021    $ 1,329,000     $ 1,445,209  
Dollar Tree, Inc., 5.75%, 3/01/2023      1,350,000       1,429,313  
Hanesbrands Finance Luxembourg S.C.A., 3.5%, 6/15/2024 (z)    EUR 200,000       248,016  
Hanesbrands, Inc., 4.625%, 5/15/2024 (n)    $ 300,000       306,375  
Hanesbrands, Inc., 4.875%, 5/15/2026 (n)      990,000       1,009,800  
Home Depot, Inc., 2.625%, 6/01/2022      585,000       596,850  
Home Depot, Inc., 3%, 4/01/2026      475,000       479,154  
Home Depot, Inc., 4.875%, 2/15/2044      378,000       438,863  
S.A.C.I. Falabella, 4.375%, 1/27/2025 (n)      389,000       407,466  
Sally Beauty Holdings, Inc., 5.625%, 12/01/2025      975,000       994,500  
Wesfarmers Ltd., 1.874%, 3/20/2018 (n)      156,000       156,216  
    

 

 

  
             $ 7,511,762  
Specialty Chemicals - 1.0%                 
A Schulman, Inc., 6.875%, 6/01/2023    $ 1,215,000     $ 1,269,675  
Ecolab, Inc., 2.625%, 7/08/2025    EUR 275,000       359,721  
Koppers, Inc., 6%, 2/15/2025 (n)    $ 990,000       1,054,350  
Mexichem S.A.B. de C.V., 5.875%, 9/17/2044 (n)      540,000       548,910  
Univar USA, Inc., 6.75%, 7/15/2023 (n)      1,660,000       1,738,850  
    

 

 

  
             $ 4,971,506  
Specialty Stores - 0.6%                 
Argos Merger Sub, Inc., 7.125%, 3/15/2023 (n)    $ 1,300,000     $ 1,176,500  
Group 1 Automotive, Inc., 5%, 6/01/2022      1,150,000       1,173,000  
Rallye S.A., 4.25%, 3/11/2019    EUR 300,000       370,033  
    

 

 

  
             $ 2,719,533  
Supermarkets - 0.4%                 
Albertsons Cos. LLC/Safeway, Inc., 6.625%, 6/15/2024 (n)    $ 1,200,000     $ 1,128,000  
Loblaw Cos. Ltd., 4.86%, 9/12/2023    CAD 421,000       372,520  
William Morrison Supermarkets PLC, 3.5%, 7/27/2026    GBP 150,000       210,989  
    

 

 

  
             $ 1,711,509  
Supranational - 0.2%                 
International Bank for Reconstruction and Development, 2.8%, 1/13/2021    AUD 270,000     $ 219,215  
International Bank for Reconstruction and Development, 4.25%, 6/24/2025    AUD 405,000       353,519  
International Finance Corp., 3.25%, 7/22/2019    AUD 585,000       478,707  
    

 

 

  
             $ 1,051,441  
Telecommunications - Wireless - 3.5%                 
Altice Luxembourg S.A., 7.75%, 5/15/2022 (n)    $ 585,000     $ 621,563  
Altice Luxembourg S.A., 7.625%, 2/15/2025 (n)      725,000       793,875  
America Movil S.A.B. de C.V., 1.5%, 3/10/2024    EUR 420,000       508,816  
American Tower Corp., REIT, 3.5%, 1/31/2023    $ 743,000       764,638  
American Tower Corp., REIT, 4%, 6/01/2025      514,000       533,425  
Crown Castle International Corp., 3.7%, 6/15/2026      232,000       235,031  

 

14

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Telecommunications - Wireless - continued                 
Digicel Group Ltd., 8.25%, 9/30/2020 (n)    $ 324,000     $ 310,635  
Digicel Group Ltd., 6%, 4/15/2021 (n)      1,279,000       1,243,188  
Digicel Group Ltd., 7.125%, 4/01/2022 (n)      756,000       671,328  
Digicel Group Ltd., 6.75%, 3/01/2023      253,000       241,931  
Digicel Group Ltd., 6.75%, 3/01/2023 (n)      1,338,000       1,279,463  
SBA Tower Trust, 2.898%, 10/15/2044 (n)      439,000       441,497  
SFR Group S.A., 7.375%, 5/01/2026 (n)      975,000       1,055,438  
Sprint Capital Corp., 6.875%, 11/15/2028      1,210,000       1,318,900  
Sprint Corp., 7.875%, 9/15/2023      1,470,000       1,668,450  
Sprint Corp., 7.125%, 6/15/2024      1,230,000       1,348,388  
Sprint Nextel Corp., 6%, 11/15/2022      695,000       733,225  
T-Mobile USA, Inc., 6.125%, 1/15/2022      145,000       151,888  
T-Mobile USA, Inc., 6.5%, 1/15/2024      405,000       435,375  
T-Mobile USA, Inc., 5.125%, 4/15/2025      730,000       773,800  
T-Mobile USA, Inc., 6.5%, 1/15/2026      800,000       890,000  
T-Mobile USA, Inc., 5.375%, 4/15/2027      620,000       669,600  
    

 

 

  
             $ 16,690,454  
Telephone Services - 0.4%                 
Level 3 Financing, Inc., 5.375%, 1/15/2024    $ 390,000     $ 410,475  
Level 3 Financing, Inc., 5.375%, 5/01/2025      1,170,000       1,243,125  
TELUS Corp., 5.05%, 7/23/2020    CAD 425,000       368,720  
    

 

 

  
             $ 2,022,320  
Tobacco - 0.6%                 
B.A.T. International Finance PLC, 0.875%, 10/13/2023    EUR 300,000     $ 349,087  
Imperial Tobacco Finance PLC, 4.25%, 7/21/2025 (n)    $ 742,000       783,782  
Philip Morris International, Inc., 4.875%, 11/15/2043      356,000       402,431  
Reynolds American, Inc., 8.125%, 6/23/2019      257,000       286,249  
Reynolds American, Inc., 3.25%, 6/12/2020      69,000       71,181  
Reynolds American, Inc., 4.45%, 6/12/2025      788,000       847,278  
Reynolds American, Inc., 5.7%, 8/15/2035      202,000       240,652  
    

 

 

  
             $ 2,980,660  
Transportation - Services - 0.5%                 
Compagnie Financial et Indus Unternehmensanleihe, 0.75%, 9/09/2028    EUR 400,000     $ 443,661  
Delhi International Airport, 6.125%, 10/31/2026 (n)    $ 200,000       213,500  
Heathrow Funding Ltd., 4.625%, 10/31/2046    GBP 200,000       345,534  
Navios Maritime Holding, Inc., 7.375%, 1/15/2022 (n)    $ 685,000       534,300  
Navios South American Logistics, Inc./Navios Logistics Finance (U.S.), Inc., 7.25%, 5/01/2022      180,000       175,275  
Syncreon Group BV/Syncre, 8.625%, 11/01/2021 (n)      585,000       468,000  
    

 

 

  
             $ 2,180,270  
U.S. Treasury Obligations - 13.3%                 
U.S. Treasury Bonds, 3.125%, 11/15/2041 (f)    $ 12,069,000     $ 12,668,202  
U.S. Treasury Notes, 0.75%, 10/31/2018      18,000,000       17,883,288  
U.S. Treasury Notes, 0.875%, 11/30/2017      15,593,000       15,580,338  
U.S. Treasury Notes, 0.875%, 5/15/2019      11,000,000       10,909,767  
U.S. Treasury Notes, 2.25%, 11/15/2025      6,000,000       6,013,596  
    

 

 

  
             $ 63,055,191  
Utilities - Electric Power - 3.0%                 
Calpine Corp., 5.5%, 2/01/2024    $ 920,000     $ 863,650  
Calpine Corp., 5.75%, 1/15/2025      730,000       681,638  
CMS Energy Corp., 5.05%, 3/15/2022      500,000       549,552  
Covanta Holding Corp., 6.375%, 10/01/2022      320,000       328,000  

 

15

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Utilities - Electric Power - continued                 
Covanta Holding Corp., 5.875%, 3/01/2024    $ 595,000     $ 580,125  
Covanta Holding Corp., 5.875%, 7/01/2025      555,000       541,819  
Duke Energy Florida LLC, 3.2%, 1/15/2027      589,000       599,897  
EDP Finance B.V., 5.25%, 1/14/2021 (n)      200,000       215,008  
Emera U.S. Finance LP, 2.7%, 6/15/2021      142,000       142,898  
Emera U.S. Finance LP, 3.55%, 6/15/2026      162,000       164,295  
Empresa de Energia de Bogota S.A., 6.125%, 11/10/2021 (n)      303,000       312,242  
Enel Finance International N.V., 4.75%, 5/25/2047 (n)      709,000       755,644  
Enel S.p.A., 8.75% to 9/24/2023, FRN to 9/24/2073 (n)      500,000       602,500  
Enel S.p.A., 6.625% to 9/15/2021, FRN to 9/15/2076    GBP 230,000       339,922  
Engie Energia Chile S.A., 4.5%, 1/29/2025 (n)    $ 609,000       637,058  
Exelon Corp., 3.497%, 6/01/2022      447,000       462,836  
FirstEnergy Corp., 3.9%, 7/15/2027      200,000       201,587  
Greenko Dutch B.V., 8%, 8/01/2019 (n)      410,000       426,400  
Innogy Finance B.V., 4.75%, 1/31/2034    GBP 100,000       162,556  
NextEra Energy Capital Holdings, Inc., 3.55%, 5/01/2027    $ 628,000       649,501  
NRG Energy, Inc., 6.625%, 3/15/2023      1,530,000       1,584,506  
NRG Energy, Inc., 7.25%, 5/15/2026      745,000       787,838  
Pattern Energy Group, Inc., 5.875%, 2/01/2024 (z)      135,000       142,425  
PPL Capital Funding, Inc., 3.1%, 5/15/2026      561,000       554,462  
PPL Capital Funding, Inc., 5%, 3/15/2044      270,000       304,555  
PPL WEM Holdings PLC, 5.375%, 5/01/2021 (n)      183,000       198,669  
Transelec S.A., 4.25%, 1/14/2025 (n)      535,000       552,296  
Virginia Electric & Power Co., 3.5%, 3/15/2027      839,000       866,818  
    

 

 

  
             $ 14,208,697  
Utilities - Gas - 0.1%                 
Transport de Gas Peru, 4.25%, 4/30/2028 (n)    $ 387,000     $ 401,029  
Total Bonds            $ 554,771,425  
Floating Rate Loans (g)(r) - 1.3%                 
Aerospace - 0.1%                 
TransDigm, Inc., Term Loan C, 4.29%, 2/28/2020    $ 575,493     $ 577,363  
Building - 0.3%                 
ABC Supply Co., Inc., Term Loan B, 3.49%, 10/31/2023    $ 958,616     $ 963,192  
HD Supply, Inc., Term Loan B1, 4.05%, 8/13/2021      243,860       244,241  
    

 

 

  
             $ 1,207,433  
Computer Software - Systems - 0.1%                 
CDW LLC, Term Loan B, 3.42%, 8/17/2023    $ 380,556     $ 382,385  
Sabre GLBL, Inc., Term Loan B, 3.94%, 2/22/2024      292,431       294,571  
    

 

 

  
             $ 676,956  
Conglomerates - 0.1%                 
Entegris, Inc., Term Loan B, 3.38%, 4/30/2021    $ 390,822     $ 392,776  
Consumer Products - 0.1%                 
Spectrum Brands, Inc., Term Loan B, 3.18%, 6/23/2022    $ 275,913     $ 277,120  
Entertainment - 0.1%                 
Cedar Fair LP, Term Loan B, 3.55%, 4/13/2024    $ 351,587     $ 353,960  
Six Flags Theme Parks, Inc., Term Loan B, 3.53%, 6/30/2022      293,900       295,829  
    

 

 

  
             $ 649,789  

 

16

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Floating Rate Loans (g)(r) - continued                 
Gaming & Lodging - 0.1%                 
Hilton Worldwide Finance LLC, Term Loan B2, 3.15%, 10/25/2023    $ 517,968     $ 520,040  
Medical & Health Technology & Services - 0.1%                 
DaVita HealthCare Partners, Inc., Term Loan B, 4.04%, 6/24/2021    $ 692,153     $ 697,345  
Printing & Publishing - 0.1%                 
CBS Outdoor Americas Capital LLC, Term Loan B, 3.52%, 3/16/2024    $ 474,002     $ 476,273  
Utilities - Electric Power - 0.2%                 
Calpine Construction Finance Co. LP, Term Loan B1, 3.47%, 5/03/2020    $ 901,191     $ 901,191  
Total Floating Rate Loans            $ 6,376,286  
Common Stocks - 0.2%                 
Energy - Independent - 0.1%                 
Frontera Energy Corp. (a)      10,145     $ 280,002  
Oil Services - 0.1%                 
LTRI Holdings LP (a)      520     $ 462,498  
Total Common Stocks            $ 742,500  
Issuer/Expiration Date/Strike Price    Number
of
Contracts		         
Put Options Purchased - 0.0%                 
Markit CDX North American Investment Grade Index - October 2017 @ $70      52,000,000     $ 45,628  
Issuer    Shares/Par         
Money Market Funds - 2.3%                 
MFS Institutional Money Market Portfolio, 1.08% (v)      10,785,038     $ 10,785,038  
Total Investments            $ 572,720,877  
Other Assets, Less Liabilities - (20.5)%              (97,252,248 ) 
Net Assets - 100.0%            $ 475,468,629  

 

(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 $176,441,796, representing 37.1% of net assets.
(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  
Bayview Financial Revolving Mortgage Loan Trust, FRN, 2.833%, 12/28/2040    3/01/06      $1,657,715        $1,293,237  
Boston Gas Co., 3.15%, 8/01/2027    7/31/17      419,605        419,622  

 

17

Portfolio of Investments (unaudited) – continued

 

Restricted Securities - continued    Acquisition
Date		   
Cost		      Value  
Cox Communications, Inc., 4.6%, 8/15/2047    7/24/17-7/27/17      $613,909        $613,964  
CyrusOne LP/CyrusOne Finance Corp., REIT, 5.375%, 3/15/2027    6/22/17-6/23/17      291,809        295,750  
Dae Funding LLC, 5%, 8/01/2024    7/21/17-7/26/17      1,046,256        1,056,994  
First Union National Bank Commercial Mortgage Trust, FRN, 2.187%, 1/12/2043    12/11/03      649        649  
Hanesbrands Finance Luxembourg S.C.A., 3.5%, 6/15/2024    5/19/16      223,940        248,016  
HarbourView CLO VII Ltd., “B1R”, FRN, 2.831%, 11/18/2026    2/09/17      2,500,000        2,499,847  
Liberty Mutual Group, Inc., 2.75%, 5/04/2026    4/26/16      134,575        153,419  
Morgan Stanley Capital I, Inc., FRN, 1.493%, 4/28/2039    7/20/04      11,518        11,288  
Nemak S.A.B. de C.V., 3.25%, 3/15/2024    3/16/17      542,498        599,595  
New Enterprise Stone & Lime Co., Inc., 10.125%, 4/01/2022    3/09/17-6/28/17      990,906        1,025,712  
Novelis Corp., 5.875%, 9/30/2026    5/12/17-6/14/17      1,367,750        1,389,300  
Pattern Energy Group, Inc., 5.875%, 2/01/2024    7/19/17      142,067        142,425  
Republic of Indonesia, 2.875%, 7/08/2021    7/02/14      509,922        475,599  
Republic of Indonesia, 2.15%, 7/18/2024    7/11/17      370,736        390,743  
Seven Generations Energy, 6.75%, 5/01/2023    4/20/17-4/27/17      777,946        771,750  
VeriSign, Inc., 4.75%, 7/15/2027    6/29/17      302,000        306,530  
WMG Acquisition Corp., 5%, 8/01/2023    5/11/17-5/12/17      255,773        258,750  
Total Restricted Securities        $11,953,190  
% of Net assets        2.5%  

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

 

18

Portfolio of Investments (unaudited) – continued

 

Derivative Contracts at 7/31/17

Forward Foreign Currency Exchange Contracts at 7/31/17

 

      Currency Purchased      Currency Sold      Counterparty    Settlement Date      Unrealized
Appreciation/
(Depreciation)		  
Asset Derivatives                 
     AUD        188,000        USD        142,482      Brown Brothers Harriman      8/10/2017        $7,903  
     CAD        95,000        USD        73,467      JPMorgan Chase Bank N.A.      8/10/2017        2,742  
     CAD        97,000        USD        72,149      Royal Bank of Scotland Group PLC      8/10/2017        5,665  
     DKK        11,054        USD        1,674      Goldman Sachs International      8/10/2017        86  
     EUR        341,140        USD        400,903      Citibank N.A.      8/10/2017        3,105  
     EUR        772,825        USD        894,651      Goldman Sachs International      8/10/2017        20,600  
     EUR        1,200,227        USD        1,378,501      JPMorgan Chase Bank N.A.      8/10/2017        42,917  
     GBP        89,000        USD        115,495      Deutsche Bank AG      8/10/2017        1,962  
     KRW        112,535,000        USD        99,399      JPMorgan Chase Bank N.A.      8/14/2017        1,171  
     NZD        119,000        USD        85,554      JPMorgan Chase Bank N.A.      8/10/2017        3,801  
     SEK        8,003,272        USD        927,446      Goldman Sachs International      8/10/2017        64,262  
     SGD        102,000        USD        74,025      Deutsche Bank AG      8/10/2017        1,250  
     USD        1,764,177        JPY        192,550,750      Deutsche Bank AG      8/10/2017        17,022  
                    

 

 

  
                       $172,486  
                    

 

 

  
Liability Derivatives                 
     CAD        1,355        USD        1,089      JPMorgan Chase Bank N.A.      8/10/2017        $(2 ) 
     CHF        120,081        USD        124,852      Deutsche Bank AG      8/10/2017        (612 ) 
     HKD        19,818,000        USD        2,546,658      Brown Brothers Harriman      8/10/2017        (8,879 ) 
     JPY        144,565,258        USD        1,324,811      Goldman Sachs International      8/10/2017        (13,064 ) 
     USD        702,096        GBP        539,939      Brown Brothers Harriman      8/10/2017        (10,485 ) 
     USD        703,530        EUR        627,175      Citibank N.A.      8/10/2017        (39,228 ) 
     USD        1,074,553        EUR        929,876      Deutsche Bank AG      8/10/2017        (26,691 ) 
     USD        15,914,838        EUR        14,059,776      Goldman Sachs International      8/10/2017        (736,034 ) 
     USD        6,593        NOK        55,710      Goldman Sachs International      8/10/2017        (494 ) 
     USD        1,252,298        AUD        1,657,795      JPMorgan Chase Bank N.A.      8/10/2017        (73,806 ) 
     USD        749,376        EUR        669,352      JPMorgan Chase Bank N.A.      8/10/2017        (43,332 ) 
     USD        1,782,902        MXN        32,899,000      JPMorgan Chase Bank N.A.      8/10/2017        (62,711 ) 
     USD        2,213,718        CAD        2,980,617      Merrill Lynch International      8/10/2017        (177,349 ) 
     USD        5,874,587        GBP        4,550,328      Merrill Lynch International      8/10/2017        (130,680 ) 
     USD        10,372,299        EUR        9,002,755      Morgan Stanley Capital Services, Inc.      10/19/2017        (329,749 ) 
     ZAR        1,099,000        USD        84,756      JPMorgan Chase Bank N.A.      8/10/2017        (1,473 ) 
                    

 

 

  
                       $(1,654,589 ) 
                    

 

 

  

Futures Contracts at 7/31/17

 

Description    Long/Short      Currency      Contracts      Notional
Amount		      Expiration Date      Value/Unrealized
Appreciation
(Depreciation)		  
Liability Derivatives                  
Interest Rate Futures                  
U.S. Treasury Note 10 yr      Short        USD        477        $60,049,828        September - 2017        $(20,505 ) 
U.S. Treasury Bond 30 yr      Short        USD        5               764,844        September - 2017        (3,458 ) 
                 

 

 

  
                    $(23,963 ) 
                 

 

 

  

At July 31, 2017, the fund had cash collateral of $280,000 and other liquid securities with an aggregate value of $907,691 to cover any collateral or margin obligations for derivative contracts.

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

 

19

Supplemental Information

7/31/17 (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. Exchange-traded options are generally valued at the last sale or official closing price on their primary exchange as provided by a third-party pricing service. Exchange-traded options for which there were no sales reported that day are generally valued at the last daily bid quotation on their primary exchange as provided by a third-party pricing service. Options not traded on an exchange are generally valued at a broker/dealer bid quotation. Foreign currency options are generally valued at valuations provided by a third-party pricing service. 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 financial instruments are derivative instruments not reflected in total investments, such as futures contracts and forward foreign currency exchange contracts.

 

20

Supplemental Information (unaudited) – continued

 

The following is a summary of the levels used as of July 31, 2017 in valuing the fund’s assets or liabilities:

 

Investments at Value    Level 1     Level 2     Level 3      Total  
Equity Securities      $280,002       $—       $462,498        $742,500  
U.S. Treasury Bonds & U.S. Government Agency & Equivalents      —       63,055,191       —        63,055,191  
Non-U.S. Sovereign Debt      —       58,877,618       —        58,877,618  
U.S. Corporate Bonds      —       299,876,580       —        299,876,580  
Residential Mortgage-Backed Securities      —       26,157,860       —        26,157,860  
Commercial Mortgage-Backed Securities      —       1,079,648       —        1,079,648  
Asset-Backed Securities (including CDOs)      —       12,664,859       —        12,664,859  
Foreign Bonds      —       93,105,297       —        93,105,297  
Floating Rate Loans      —       6,376,286       —        6,376,286  
Mutual Funds      10,785,038       —       —        10,785,038  
Total Investments      $11,065,040       $561,193,339       $462,498        $572,720,877  
Other Financial Instruments                          
Futures Contracts – Liabilities      $(23,963 )      $—       $—        $(23,963 ) 
Forward Foreign Currency Exchange Contracts – Assets      —       172,486       —        172,486  
Forward Foreign Currency Exchange Contracts – Liabilities      —       (1,654,589 )      —        (1,654,589 ) 

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

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

 

     Equity Securities  
Balance as of 10/31/16      $—  

Received as part of a corporate action

      462,498  
Balance as of 7/31/17      $462,498  

At July 31, 2017, the fund held one level 3 security.

(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      $564,437,971  
Gross unrealized appreciation      20,652,657  
Gross unrealized depreciation      (12,369,751 ) 
Net unrealized appreciation (depreciation)      $8,282,906  

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        134,458,509        (142,877,008 )       10,785,038  
Underlying Affiliated Fund    Realized
Gain (Loss)		      Capital Gain
Distributions		      Dividend
Income		     

Ending

Value

  
MFS Institutional Money Market Portfolio      $586        $—        $65,303        $10,785,038  

 

21

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

Date: September 15, 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)*    DAVID L. DILORENZO
  David L. DiLorenzo, President (Principal Executive Officer)

Date: September 15, 2017

 

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

Date: September 15, 2017

 

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