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, 2019
| ITEM 1. | SCHEDULE OF INVESTMENTS. |
Quarterly Report
January 31, 2019
MFS® Multimarket Income Trust
Portfolio of Investments
1/31/19 (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 – 121.7% | ||||
| Aerospace – 1.0% | ||||
| Bombardier, Inc., 7.5%, 3/15/2025 (n) | $ | 425,000 | $ 409,594 | |
| Huntington Ingalls Industries, Inc., 3.483%, 12/01/2027 | 290,000 | 278,458 | ||
| L3 Technologies, Inc., 3.85%, 6/15/2023 | 600,000 | 606,255 | ||
| Lockheed Martin Corp., 3.55%, 1/15/2026 | 406,000 | 411,278 | ||
| TransDigm, Inc., 6.5%, 7/15/2024 | 800,000 | 789,000 | ||
| TransDigm, Inc., 6.25%, 3/15/2026 (z) | 1,302,000 | 1,321,530 | ||
| TransDigm, Inc., 6.375%, 6/15/2026 | 440,000 | 423,500 | ||
| $ 4,239,615 | ||||
| Apparel Manufacturers – 0.2% | ||||
| Coach, Inc., 4.125%, 7/15/2027 | $ | 673,000 | $ 631,681 | |
| Asset-Backed & Securitized – 2.2% | ||||
| Bayview Financial Revolving Mortgage Loan Trust, FLR, 4.102% (LIBOR - 1mo. + 1.6%), 12/28/2040 (z) | $ | 1,205,026 | $ 1,118,134 | |
| Chesapeake Funding II LLC, 2016-1A, “A2”, FLR, 3.659% (LIBOR - 1mo. + 1.15%), 3/15/2028 (n) | 335,242 | 335,881 | ||
| Crest Ltd., CDO, 7%, (0.001% cash or 7% PIK) 1/28/2040 (a)(p) | 3,209,183 | 383,497 | ||
| HarbourView CLO VII Ltd., 7RA, “B”, FLR, 4.48% (LIBOR - 3mo. + 1.7%), 7/18/2031 (z) | 2,500,000 | 2,457,873 | ||
| Lehman Brothers Commercial Conduit Mortgage Trust, 1.119%, 2/18/2030 (i) | 71,933 | 1 | ||
| Loomis, Sayles & Co., CLO, 2015-2A, “A1R”, FLR, 3.679% (LIBOR - 3mo. + 0.9%), 4/15/2028 (n) | 2,500,000 | 2,484,673 | ||
| Octagon Investment Partners XVII Ltd., 2013-1A, “BR2”, FLR, 4.17% (LIBOR - 3mo. + 1.4%), 1/25/2031 (n) | 2,139,000 | 2,085,437 | ||
| $ 8,865,496 | ||||
| Automotive – 1.7% | ||||
| Allison Transmission, Inc., 5%, 10/01/2024 (n) | $ | 1,715,000 | $ 1,687,131 | |
| Allison Transmission, Inc., 4.75%, 10/01/2027 (z) | 300,000 | 279,000 | ||
| FCA Bank S.p.A., 1%, 2/21/2022 | EUR | 275,000 | 311,613 | |
| Ferrari N.V., 1.5%, 3/16/2023 | 1,100,000 | 1,263,852 | ||
| General Motors Financial Co., Inc., 3.45%, 4/10/2022 | $ | 486,000 | 475,180 | |
| General Motors Financial Co., Inc., 4.35%, 1/17/2027 | 195,000 | 182,552 | ||
| IHO Verwaltungs GmbH, 4.75%, (4.75% cash or 5.5% PIK) 9/15/2026 (n)(p) | 970,000 | 877,850 | ||
| Jaguar Land Rover Automotive PLC, 4.5%, 10/01/2027 (n) | 240,000 | 177,600 | ||
| Lear Corp., 5.25%, 1/15/2025 | 721,000 | 738,148 | ||
| Volkswagen International Finance N.V., 1.875%, 3/30/2027 | EUR | 300,000 | 327,653 | |
| ZF North America Capital, Inc., 4.75%, 4/29/2025 (n) | $ | 592,000 | 570,577 | |
| $ 6,891,156 | ||||
| Banks & Diversified Financials (Covered Bonds) – 0.2% | ||||
| BPER Banca S.p.A., 5.125% to 5/31/2022, FLR (EUR Swap Rate - 5yr. + 4.910%) to 5/31/2027 | EUR | 800,000 | $ 879,974 | |
| Broadcasting – 2.1% | ||||
| Fox Corp., 4.709%, 1/25/2029 (z) | $ | 122,000 | $ 127,272 | |
| Liberty Media Corp. - Liberty Formula One, 8.5%, 7/15/2029 | 1,280,000 | 1,299,200 | ||
| Liberty Media Corp. - Liberty Formula One, 8.25%, 2/01/2030 | 150,000 | 151,875 | ||
| Match Group, Inc., 6.375%, 6/01/2024 | 1,060,000 | 1,107,700 | ||
| Netflix, Inc., 5.875%, 2/15/2025 | 1,160,000 | 1,201,702 | ||
| Netflix, Inc., 4.875%, 4/15/2028 | 280,000 | 266,350 | ||
| Netflix, Inc., 5.875%, 11/15/2028 (n) | 1,065,000 | 1,079,644 | ||
| Netflix, Inc., 4.625%, 5/15/2029 (n) | EUR | 305,000 | 351,721 | |
| SES S.A., 5.625% to 1/29/2024, FLR (EUR Swap Rate - 5yr. + 5.40%) to 1/29/2029, FLR (EUR Swap Rate - 5yr. + 5.65%) to 1/29/2044, FLR (EUR Swap Rate - 5yr. + 6.40%) to 12/29/2049 | 300,000 | 359,524 | ||
| WMG Acquisition Corp., 5%, 8/01/2023 (n) | $ | 250,000 | 248,125 | |
| WMG Acquisition Corp., 4.875%, 11/01/2024 (n) | 1,135,000 | 1,112,300 | ||
| WMG Acquisition Corp., 5.5%, 4/15/2026 (n) | 195,000 | 192,563 | ||
| WPP Finance, 3.75%, 9/19/2024 | 352,000 | 335,957 | ||
| WPP Finance, 2.875%, 9/14/2046 | GBP | 475,000 | 489,925 | |
1
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Broadcasting – continued | ||||
| WPP Finance 2016 Co., 1.375%, 3/20/2025 | EUR | 350,000 | $ 391,496 | |
| $ 8,715,354 | ||||
| Brokerage & Asset Managers – 0.3% | ||||
| E*TRADE Financial Corp., 2.95%, 8/24/2022 | $ | 335,000 | $ 325,976 | |
| Euroclear Investments S.A., 2.625%, 4/11/2048 | EUR | 300,000 | 334,795 | |
| Intercontinental Exchange, Inc., 2.75%, 12/01/2020 | $ | 274,000 | 272,632 | |
| Intercontinental Exchange, Inc., 3.75%, 12/01/2025 | 450,000 | 458,341 | ||
| $ 1,391,744 | ||||
| Building – 3.1% | ||||
| ABC Supply Co., Inc., 5.75%, 12/15/2023 (n) | $ | 1,350,000 | $ 1,387,125 | |
| ABC Supply Co., Inc., 5.875%, 5/15/2026 (n) | 695,000 | 696,494 | ||
| Beacon Escrow Corp., 4.875%, 11/01/2025 (n) | 1,085,000 | 1,010,406 | ||
| Core & Main LP, 6.125%, 8/15/2025 (z) | 360,000 | 342,900 | ||
| CRH America Finance, Inc., 4.5%, 4/04/2048 (n) | 451,000 | 398,774 | ||
| James Hardie International Finance Ltd., 4.75%, 1/15/2025 (n) | 210,000 | 199,500 | ||
| James Hardie International Finance Ltd., 5%, 1/15/2028 (n) | 830,000 | 747,000 | ||
| Martin Marietta Materials, Inc., 3.45%, 6/01/2027 | 225,000 | 207,415 | ||
| Martin Marietta Materials, Inc., 3.5%, 12/15/2027 | 357,000 | 328,284 | ||
| Masco Corp., 4.45%, 4/01/2025 | 170,000 | 171,585 | ||
| Masco Corp., 4.375%, 4/01/2026 | 791,000 | 790,850 | ||
| NCI Building Systems, Inc., 8%, 4/15/2026 (n) | 390,000 | 369,037 | ||
| New Enterprise Stone & Lime Co., Inc., 10.125%, 4/01/2022 (n) | 935,000 | 935,000 | ||
| New Enterprise Stone & Lime Co., Inc., 6.25%, 3/15/2026 (n) | 861,000 | 822,255 | ||
| PriSo Acquisition Corp., 9%, 5/15/2023 (n) | 384,000 | 384,000 | ||
| Standard Industries, Inc., 5.375%, 11/15/2024 (n) | 985,000 | 977,612 | ||
| Standard Industries, Inc., 6%, 10/15/2025 (n) | 1,030,000 | 1,035,150 | ||
| Standard Industries, Inc., 4.75%, 1/15/2028 (n) | 596,000 | 539,559 | ||
| Summit Materials LLC/Summit Materials Finance Co., 6.125%, 7/15/2023 | 995,000 | 1,002,164 | ||
| Summit Materials LLC/Summit Materials Finance Co., 5.125%, 6/01/2025 (n) | 405,000 | 380,194 | ||
| $ 12,725,304 | ||||
| Business Services – 3.1% | ||||
| Alliance Data Systems Corp., 5.875%, 11/01/2021 (n) | $ | 360,000 | $ 362,700 | |
| CDK Global, Inc., 4.875%, 6/01/2027 | 1,300,000 | 1,261,000 | ||
| Cisco Systems, Inc., 2.2%, 2/28/2021 | 530,000 | 524,734 | ||
| Equinix, Inc., 5.375%, 4/01/2023 | 1,065,000 | 1,076,981 | ||
| Equinix, Inc., 5.75%, 1/01/2025 | 862,000 | 890,015 | ||
| Equinix, Inc., 5.875%, 1/15/2026 | 530,000 | 547,384 | ||
| Equinix, Inc., 2.875%, 2/01/2026 | EUR | 600,000 | 675,291 | |
| Fidelity National Information Services, Inc., 3.875%, 6/05/2024 | $ | 180,000 | 180,006 | |
| Fidelity National Information Services, Inc., 5%, 10/15/2025 | 58,000 | 61,387 | ||
| Fidelity National Information Services, Inc., 3%, 8/15/2026 | 1,004,000 | 933,910 | ||
| Financial & Risk U.S. Holdings, Inc., 8.25%, 11/15/2026 (n) | 975,000 | 914,063 | ||
| First Data Corp., 5%, 1/15/2024 (n) | 1,760,000 | 1,798,500 | ||
| MSCI, Inc., 4.75%, 8/01/2026 (n) | 1,070,000 | 1,065,987 | ||
| Travelport Worldwide Ltd., 6%, 3/15/2026 (n) | 590,000 | 610,278 | ||
| Vantiv LLC/Vantiv Issuer Corp., 4.375%, 11/15/2025 (n) | 1,245,000 | 1,195,175 | ||
| Verscend Escrow Corp., 9.75%, 8/15/2026 (n) | 640,000 | 644,352 | ||
| $ 12,741,763 | ||||
| Cable TV – 5.8% | ||||
| Altice Financing S.A., 6.625%, 2/15/2023 (n) | $ | 525,000 | $ 527,783 | |
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 1/15/2024 | 1,545,000 | 1,575,900 | ||
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025 (n) | 1,025,000 | 1,030,433 | ||
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 2/15/2026 (n) | 1,705,000 | 1,730,575 | ||
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027 (n) | 840,000 | 842,352 | ||
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | 347,000 | 370,529 | ||
2
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Cable TV – continued | ||||
| CSC Holdings LLC, 5.5%, 5/15/2026 (n) | $ | 665,000 | $ 658,350 | |
| CSC Holdings LLC, 5.5%, 4/15/2027 (n) | 2,295,000 | 2,243,317 | ||
| CSC Holdings LLC, 7.5%, 4/01/2028 (n) | 450,000 | 462,375 | ||
| DISH DBS Corp., 5.875%, 11/15/2024 | 755,000 | 625,706 | ||
| Intelsat Connect Finance, 9.5%, 2/15/2023 (n) | 310,000 | 289,850 | ||
| Intelsat Jackson Holdings S.A., 5.5%, 8/01/2023 | 1,190,000 | 1,082,900 | ||
| Shaw Communications, Inc., 5.65%, 10/01/2019 | CAD | 417,000 | 323,682 | |
| Sirius XM Radio, Inc., 4.625%, 5/15/2023 (n) | $ | 540,000 | 539,325 | |
| Sirius XM Radio, Inc., 6%, 7/15/2024 (n) | 1,215,000 | 1,262,081 | ||
| Sirius XM Radio, Inc., 5.375%, 4/15/2025 (n) | 650,000 | 658,125 | ||
| Sirius XM Radio, Inc., 5.375%, 7/15/2026 (n) | 388,000 | 384,605 | ||
| Sky PLC, 2.5%, 9/15/2026 | EUR | 600,000 | 734,969 | |
| Telenet Finance Luxembourg S.A., 5.5%, 3/01/2028 (n) | $ | 1,600,000 | 1,512,000 | |
| Time Warner Cable, Inc., 4.5%, 9/15/2042 | 210,000 | 175,055 | ||
| Unitymedia KabelBW GmbH, 6.125%, 1/15/2025 (n) | 1,230,000 | 1,269,975 | ||
| Videotron Ltd., 5.375%, 6/15/2024 (n) | 215,000 | 224,546 | ||
| Videotron Ltd., 5.125%, 4/15/2027 (n) | 1,635,000 | 1,639,087 | ||
| Virgin Media Finance PLC, 5.75%, 1/15/2025 (n) | 400,000 | 394,152 | ||
| Virgin Media Secured Finance PLC, 5.25%, 1/15/2026 (n) | 930,000 | 916,050 | ||
| VTR Finance B.V., 6.875%, 1/15/2024 (n) | 770,000 | 793,023 | ||
| Ziggo Bond Finance B.V., 5.875%, 1/15/2025 (n) | 1,305,000 | 1,223,437 | ||
| $ 23,490,182 | ||||
| Chemicals – 2.2% | ||||
| Air Liquide Finance Co., 2.25%, 9/27/2023 (n) | $ | 493,000 | $ 471,197 | |
| Axalta Coating Systems Co., 4.875%, 8/15/2024 (n) | 1,290,000 | 1,259,362 | ||
| Consolidated Energy Finance S.A., 6.875%, 6/15/2025 (n) | 805,000 | 792,925 | ||
| International Flavors & Fragrances, Inc., 0.5%, 9/25/2021 | EUR | 275,000 | 315,835 | |
| OCI N.V., 6.625%, 4/15/2023 (n) | $ | 1,215,000 | 1,248,413 | |
| PolyOne Corp., 5.25%, 3/15/2023 | 965,000 | 969,825 | ||
| Sasol Chemicals (USA) LLC, 5.875%, 3/27/2024 | 472,000 | 486,863 | ||
| Sasol Financing USA LLC, 6.5%, 9/27/2028 | 1,223,000 | 1,291,109 | ||
| SPCM S.A., 4.875%, 9/15/2025 (n) | 1,450,000 | 1,363,000 | ||
| Starfruit Finance Co./Starfruit U.S. Holding Co. LLC, 6.5%, 10/01/2026 (n) | EUR | 625,000 | 689,192 | |
| Starfruit Finco B.V./Starfruit US Holdco LLC, 6.5%, 10/01/2026 | 205,000 | 226,055 | ||
| $ 9,113,776 | ||||
| Computer Software – 0.7% | ||||
| Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.875%, 6/15/2021 (n) | $ | 840,000 | $ 853,702 | |
| Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.02%, 6/15/2026 (n) | 600,000 | 627,577 | ||
| Microsoft Corp., 4.1%, 2/06/2037 | 922,000 | 971,530 | ||
| VeriSign, Inc., 4.75%, 7/15/2027 | 405,000 | 403,380 | ||
| $ 2,856,189 | ||||
| Computer Software - Systems – 1.4% | ||||
| Apple, Inc., 3.05%, 7/31/2029 | GBP | 450,000 | $ 634,592 | |
| Apple, Inc., 4.5%, 2/23/2036 | $ | 1,100,000 | 1,179,015 | |
| Apple, Inc., 4.25%, 2/09/2047 | 135,000 | 138,292 | ||
| CDW LLC/CDW Finance Corp., 5.5%, 12/01/2024 | 160,000 | 165,520 | ||
| CDW LLC/CDW Finance Corp., 5%, 9/01/2025 | 445,000 | 441,663 | ||
| Fair Isaac Corp., 5.25%, 5/15/2026 (n) | 965,000 | 969,825 | ||
| JDA Software Group, Inc., 7.375%, 10/15/2024 (n) | 720,000 | 732,600 | ||
| Sabre GLBL, Inc., 5.375%, 4/15/2023 (n) | 1,555,000 | 1,574,438 | ||
| $ 5,835,945 | ||||
| Conglomerates – 2.8% | ||||
| Amsted Industries Co., 5%, 3/15/2022 (n) | $ | 1,510,000 | $ 1,494,900 | |
| BWX Technologies, Inc., 5.375%, 7/15/2026 (n) | 1,040,000 | 1,050,400 | ||
| CFX Escrow Corp., 6%, 2/15/2024 (z) | 155,000 | 155,000 | ||
3
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Conglomerates – continued | ||||
| CFX Escrow Corp., 6.375%, 2/15/2026 (z) | $ | 100,000 | $ 100,000 | |
| Colfax Corp., 3.25%, 5/15/2025 | EUR | 400,000 | 441,037 | |
| EnerSys, 5%, 4/30/2023 (n) | $ | 1,540,000 | 1,528,450 | |
| Entegris, Inc., 4.625%, 2/10/2026 (n) | 1,615,000 | 1,566,550 | ||
| Gates Global LLC, 6%, 7/15/2022 (n) | 457,000 | 459,422 | ||
| General Electric Co., 4.5%, 3/11/2044 | 214,000 | 184,232 | ||
| Roper Technologies, Inc., 4.2%, 9/15/2028 | 343,000 | 345,828 | ||
| Smiths Group PLC, 2%, 2/23/2027 | EUR | 300,000 | 340,111 | |
| Stevens Holding Co., Inc., 6.125%, 10/01/2026 (n) | $ | 820,000 | 828,512 | |
| Thyssenkrupp AG, 1.375%, 3/03/2022 | EUR | 650,000 | 738,328 | |
| TriMas Corp., 4.875%, 10/15/2025 (n) | $ | 1,280,000 | 1,241,600 | |
| United Technologies Corp., 4.625%, 11/16/2048 | 458,000 | 470,922 | ||
| Wabtec Corp., 4.7%, 9/15/2028 | 364,000 | 346,415 | ||
| $ 11,291,707 | ||||
| Construction – 0.7% | ||||
| Empresas ICA S.A.B. de C.V., 8.9%, 2/04/2021 (a)(d) | $ | 590,000 | $ 92,925 | |
| Empresas ICA S.A.B. de C.V., 8.875%, 5/29/2024 (a)(d)(n) | 914,000 | 143,955 | ||
| Mattamy Group Corp., 6.5%, 10/01/2025 (n) | 1,285,000 | 1,191,837 | ||
| Toll Brothers Finance Corp., 4.875%, 11/15/2025 | 345,000 | 335,513 | ||
| Toll Brothers Finance Corp., 4.35%, 2/15/2028 | 1,150,000 | 1,046,500 | ||
| $ 2,810,730 | ||||
| Consumer Products – 0.9% | ||||
| Coty, Inc., 4%, 4/15/2023 (z) | EUR | 300,000 | $ 317,747 | |
| Coty, Inc., 6.5%, 4/15/2026 (n) | $ | 570,000 | 513,000 | |
| Energizer Holdings, Inc., 6.375%, 7/15/2026 (n) | 1,010,000 | 982,225 | ||
| Energizer Holdings, Inc., 7.75%, 1/15/2027 (z) | 50,000 | 51,518 | ||
| JAB Holdings B.V., 2%, 5/18/2028 | EUR | 600,000 | 677,706 | |
| JAB Holdings B.V., 2.5%, 6/25/2029 | 300,000 | 349,353 | ||
| Reckitt Benckiser Treasury Services PLC, 3.625%, 9/21/2023 (n) | $ | 500,000 | 500,609 | |
| Reckitt Benckiser Treasury Services PLC, 3%, 6/26/2027 (n) | 396,000 | 374,870 | ||
| $ 3,767,028 | ||||
| Consumer Services – 2.3% | ||||
| Bookings Holdings, Inc., 1.8%, 3/03/2027 | EUR | 550,000 | $ 639,636 | |
| Cimpress N.V., 7%, 6/15/2026 (n) | $ | 815,000 | 794,625 | |
| Experian Finance PLC, 4.25%, 2/01/2029 (n) | 778,000 | 784,584 | ||
| Frontdoor, Inc., 6.75%, 8/15/2026 (n) | 850,000 | 843,625 | ||
| G4S International Finance PLC, 1.5%, 1/09/2023 | EUR | 450,000 | 515,036 | |
| IHS Markit Ltd., 4%, 3/01/2026 (n) | $ | 165,000 | 157,542 | |
| ManpowerGroup, 1.75%, 6/22/2026 | EUR | 450,000 | 520,486 | |
| Matthews International Corp., 5.25%, 12/01/2025 (n) | $ | 1,005,000 | 947,212 | |
| NVA Holdings, Inc., 6.875%, 4/01/2026 (n) | 880,000 | 840,136 | ||
| Priceline Group, Inc., 3.55%, 3/15/2028 | 238,000 | 229,328 | ||
| ServiceMaster Co. LLC, 5.125%, 11/15/2024 (n) | 1,015,000 | 992,162 | ||
| Toll Road Investors Partnership II LP, Capital Appreciation, 0%, 2/15/2027 (n) | 1,052,000 | 685,083 | ||
| Visa, Inc., 2.8%, 12/14/2022 | 542,000 | 543,439 | ||
| Visa, Inc., 4.15%, 12/14/2035 | 465,000 | 492,664 | ||
| Visa, Inc., 3.65%, 9/15/2047 | 273,000 | 263,315 | ||
| $ 9,248,873 | ||||
| Containers – 3.1% | ||||
| ARD Finance S.A., 6.625%, 9/15/2023 | EUR | 260,000 | $ 284,948 | |
| ARD Finance S.A., 7.125%, 9/15/2023 | $ | 970,000 | 936,050 | |
| ARD Securities Finance, 8.75%, (8.75% cash or 8.75% PIK) 1/31/2023 (n)(p) | 255,718 | 212,885 | ||
| Ball Corp., 5.25%, 7/01/2025 | 330,000 | 345,230 | ||
| Berry Global Group, Inc., 5.5%, 5/15/2022 | 215,000 | 216,406 | ||
| Berry Global Group, Inc., 6%, 10/15/2022 | 680,000 | 695,300 | ||
4
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Containers – continued | ||||
| BWAY Holding Co., Inc., 7.25%, 4/15/2025 (n) | $ | 420,000 | $ 387,450 | |
| Crown American LLC, 4.5%, 1/15/2023 | 1,147,000 | 1,152,735 | ||
| Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/2026 | 590,000 | 560,500 | ||
| Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 2/01/2026 | 420,000 | 411,600 | ||
| Flex Acquisition Co., Inc., 6.875%, 1/15/2025 (n) | 810,000 | 757,350 | ||
| Multi-Color Corp., 6.125%, 12/01/2022 (n) | 1,426,000 | 1,436,695 | ||
| Reynolds Group, 5.75%, 10/15/2020 | 581,465 | 583,674 | ||
| Reynolds Group, 5.125%, 7/15/2023 (n) | 725,000 | 726,341 | ||
| Reynolds Group, 7%, 7/15/2024 (n) | 195,000 | 199,388 | ||
| San Miguel Industrias PET S.A., 4.5%, 9/18/2022 | 839,000 | 822,681 | ||
| Sealed Air Corp., 4.875%, 12/01/2022 (n) | 1,110,000 | 1,121,100 | ||
| Silgan Holdings, Inc., 4.75%, 3/15/2025 | 890,000 | 854,400 | ||
| W/S Packaging Group, Inc., 9%, 4/15/2023 (n) | 800,000 | 804,000 | ||
| $ 12,508,733 | ||||
| Electrical Equipment – 0.4% | ||||
| CommScope Technologies LLC, 5%, 3/15/2027 (n) | $ | 2,085,000 | $ 1,777,254 | |
| Electronics – 1.1% | ||||
| ASML Holding N.V., 1.375%, 7/07/2026 | EUR | 800,000 | $ 930,014 | |
| Broadcom Corp./Broadcom Cayman Finance Ltd., 3.875%, 1/15/2027 | $ | 767,000 | 704,753 | |
| Qorvo, Inc., 5.5%, 7/15/2026 (n) | 965,000 | 957,763 | ||
| Sensata Technologies B.V., 5.625%, 11/01/2024 (n) | 965,000 | 1,001,187 | ||
| Sensata Technologies B.V., 5%, 10/01/2025 (n) | 890,000 | 894,450 | ||
| $ 4,488,167 | ||||
| Emerging Market Quasi-Sovereign – 8.7% | ||||
| Abu Dhabi Crude Oil Pipeline, 3.65%, 11/02/2029 | $ | 1,100,000 | $ 1,075,312 | |
| Aeropuerto Internacional de Tocumen S.A., 6%, 11/18/2048 (n) | 1,020,000 | 1,054,425 | ||
| Banco de Reservas de la Republica Dominicana, 7%, 2/01/2023 (n) | 946,000 | 951,212 | ||
| CNPC (HK) Overseas Capital Ltd., 4.5%, 4/28/2021 (n) | 1,242,000 | 1,272,532 | ||
| Corporacion Nacional del Cobre de Chile, 4.375%, 2/05/2049 (z) | 1,007,000 | 962,088 | ||
| DAE Funding LLC, 5.75%, 11/15/2023 (n) | 680,000 | 686,800 | ||
| DAE Funding LLC, 5%, 8/01/2024 (n) | 1,655,000 | 1,626,865 | ||
| Empresa Nacional del Petroleo, 3.75%, 8/05/2026 (n) | 423,000 | 408,829 | ||
| Empresa Nacional del Petroleo, 3.75%, 8/05/2026 | 1,306,000 | 1,262,249 | ||
| EQUATE Petrochemical B.V., 4.25%, 11/03/2026 | 1,034,000 | 1,028,739 | ||
| Eskom Holdings SOC Ltd., 6.35%, 8/10/2028 (n) | 1,052,000 | 1,077,827 | ||
| Export-Import Bank of India, 3.375%, 8/05/2026 | 1,366,000 | 1,273,109 | ||
| Gaz Capital S.A., 4.95%, 2/06/2028 (n) | 492,000 | 480,463 | ||
| KazMunayGas National Co., 5.375%, 4/24/2030 (n) | 1,002,000 | 1,036,469 | ||
| KazMunayGas National Co., 6.375%, 10/24/2048 (n) | 984,000 | 1,050,420 | ||
| KazTransGas JSC, 4.375%, 9/26/2027 | 558,000 | 537,075 | ||
| Lima Metro Line 2 Finance Ltd., 5.875%, 7/05/2034 | 1,010,000 | 1,030,200 | ||
| NTPC Ltd., 4.25%, 2/26/2026 | 1,313,000 | 1,281,947 | ||
| Office Cherifien des Phosphates, 4.5%, 10/22/2025 (n) | 371,000 | 363,202 | ||
| Office Cherifien des Phosphates, 6.875%, 4/25/2044 (n) | 373,000 | 394,691 | ||
| Petrobras Global Finance B.V., 5.299%, 1/27/2025 | 1,298,000 | 1,297,156 | ||
| Petrobras Global Finance B.V., 5.999%, 1/27/2028 | 1,330,000 | 1,327,340 | ||
| Petrobras Global Finance B.V., 5.75%, 2/01/2029 | 1,322,000 | 1,296,618 | ||
| Petroleos del Peru S.A., 4.75%, 6/19/2032 | 1,067,000 | 1,057,664 | ||
| Petroleos Mexicanos, 1.875%, 4/21/2022 | EUR | 450,000 | 493,179 | |
| Petroleos Mexicanos, 5.35%, 2/12/2028 | $ | 1,000,000 | 875,000 | |
| Petroleos Mexicanos, 6.5%, 1/23/2029 | 1,239,000 | 1,167,448 | ||
| PT Indonesia Asahan Aluminium (Persero), 6.757%, 11/15/2048 (n) | 753,000 | 827,709 | ||
| PT Pertamina Persero, 6.5%, 11/07/2048 (n) | 1,200,000 | 1,327,435 | ||
| PT Perusahaan Listrik Negara, 2.875%, 10/25/2025 (n) | EUR | 500,000 | 589,746 | |
| REC Ltd., 5.25%, 11/13/2023 (n) | $ | 241,000 | 242,321 | |
| Sinopec Capital (2013) Ltd., 3.125%, 4/24/2023 (n) | 666,000 | 652,144 | ||
5
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Emerging Market Quasi-Sovereign – continued | ||||
| Southern Gas Corridor CJSC, 6.875%, 3/24/2026 | $ | 1,367,000 | $ 1,517,370 | |
| State Grid Overseas Investment (2014) Ltd., 4.125%, 5/07/2024 (n) | 2,263,000 | 2,322,110 | ||
| State Oil Company of the Azerbaijan Republic, 6.95%, 3/18/2030 | 1,152,000 | 1,267,200 | ||
| $ 35,114,894 | ||||
| Emerging Market Sovereign – 9.4% | ||||
| Arab Republic of Egypt, 6.588%, 2/21/2028 | $ | 1,087,000 | $ 1,008,753 | |
| Arab Republic of Egypt, 7.903%, 2/21/2048 | 1,120,000 | 1,031,029 | ||
| Dominican Republic, 5.95%, 1/25/2027 | 997,000 | 1,024,418 | ||
| Dominican Republic, 6.85%, 1/27/2045 | 1,023,000 | 1,056,248 | ||
| Federal Republic of Nigeria, 8.747%, 1/21/2031 (n) | 1,415,000 | 1,495,429 | ||
| Gabonese Republic, 6.95%, 6/16/2025 | 883,000 | 847,680 | ||
| Government of Mongolia, 8.75%, 3/09/2024 | 941,000 | 1,031,041 | ||
| Government of Ukraine, 7.75%, 9/01/2023 | 1,061,000 | 1,010,868 | ||
| Government of Ukraine, 7.75%, 9/01/2024 | 1,289,000 | 1,205,130 | ||
| Government of Ukraine, 9.75%, 11/01/2028 (n) | 1,227,000 | 1,217,110 | ||
| Islamic Republic of Pakistan, 6.875%, 12/05/2027 | 1,092,000 | 1,064,918 | ||
| Kingdom of Saudi Arabia, 4.375%, 4/16/2029 (n) | 942,000 | 959,239 | ||
| Republic of Angola, 8.25%, 5/09/2028 | 991,000 | 1,020,492 | ||
| Republic of Argentina, 6.875%, 4/22/2021 | 1,489,000 | 1,421,995 | ||
| Republic of Argentina, 4.625%, 1/11/2023 | 1,232,000 | 1,056,440 | ||
| Republic of Argentina, 7.5%, 4/22/2026 | 1,184,000 | 1,049,628 | ||
| Republic of Argentina, 6.875%, 1/26/2027 | 1,469,000 | 1,243,523 | ||
| Republic of Colombia, 4.5%, 3/15/2029 | 1,216,000 | 1,244,588 | ||
| Republic of Colombia, 5%, 6/15/2045 | 1,050,000 | 1,064,186 | ||
| Republic of Colombia, 5.2%, 5/15/2049 | 1,003,000 | 1,037,604 | ||
| Republic of Cote d'Ivoire, 5.25%, 3/22/2030 | EUR | 750,000 | 795,113 | |
| Republic of El Salvador, 7.65%, 6/15/2035 | $ | 1,029,000 | 1,029,000 | |
| Republic of Hungary, 7.625%, 3/29/2041 | 488,000 | 701,964 | ||
| Republic of Indonesia, 4.125%, 1/15/2025 (n) | 339,000 | 340,838 | ||
| Republic of Paraguay, 5.6%, 3/13/2048 | 1,049,000 | 1,083,092 | ||
| Republic of South Africa, 4.875%, 4/14/2026 | 864,000 | 854,565 | ||
| Republic of South Africa, 5.875%, 6/22/2030 | 1,037,000 | 1,063,945 | ||
| Republic of Sri Lanka, 6.125%, 6/03/2025 | 668,000 | 637,217 | ||
| Republic of Turkey, 6.25%, 9/26/2022 | 1,292,000 | 1,311,380 | ||
| Republic of Turkey, 7.25%, 12/23/2023 | 1,244,000 | 1,304,222 | ||
| Republic of Turkey, 7.625%, 4/26/2029 | 856,000 | 898,769 | ||
| Republic of Turkey, 6.875%, 3/17/2036 | 1,122,000 | 1,101,380 | ||
| Russian Federation, 4.75%, 5/27/2026 | 1,000,000 | 1,018,400 | ||
| Russian Federation, 4.25%, 6/23/2027 | 1,000,000 | 977,418 | ||
| United Mexican States, 3.75%, 1/11/2028 | 1,450,000 | 1,381,850 | ||
| United Mexican States, 4.5%, 4/22/2029 | 1,300,000 | 1,303,250 | ||
| United Mexican States, 4.6%, 2/10/2048 | 397,000 | 366,435 | ||
| $ 38,259,157 | ||||
| Energy - Independent – 3.6% | ||||
| Afren PLC, 11.5%, 2/01/2016 (a)(d)(z) | $ | 326,905 | $ 268 | |
| Afren PLC, 10.25%, 4/08/2019 (a)(d)(z) | 213,708 | 175 | ||
| Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., 7.875%, 12/15/2024 | 920,000 | 635,076 | ||
| Callon Petroleum Co., 6.375%, 7/01/2026 | 1,090,000 | 1,092,725 | ||
| Carrizo Oil & Gas, Inc., 6.25%, 4/15/2023 | 505,000 | 498,688 | ||
| CrownRock LP/CrownRock Finance, Inc., 5.625%, 10/15/2025 (n) | 1,360,000 | 1,305,600 | ||
| Diamondback Energy, Inc., 5.375%, 5/31/2025 | 2,425,000 | 2,483,927 | ||
| Gulfport Energy Corp., 6%, 10/15/2024 | 720,000 | 676,800 | ||
| Hunt Oil Co. of Peru LLC, 6.375%, 6/01/2028 | 998,000 | 1,052,640 | ||
| Indigo Natural Resources LLC, 6.875%, 2/15/2026 (n) | 625,000 | 546,875 | ||
| Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6%, 8/01/2026 (n) | 1,060,000 | 1,049,400 | ||
| Oasis Petroleum, Inc., 6.25%, 5/01/2026 (n) | 845,000 | 801,694 | ||
| Parsley Energy LLC/Parsley Finance Corp., 5.25%, 8/15/2025 (n) | 225,000 | 222,750 | ||
6
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Energy - Independent – continued | ||||
| Parsley Energy LLC/Parsley Finance Corp., 5.625%, 10/15/2027 (n) | $ | 1,700,000 | $ 1,685,125 | |
| Sanchez Energy Corp., 6.125%, 1/15/2023 | 710,000 | 124,250 | ||
| SM Energy Co., 6.75%, 9/15/2026 | 915,000 | 901,412 | ||
| Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 (n) | 422,000 | 406,175 | ||
| Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 | 1,025,000 | 986,563 | ||
| $ 14,470,143 | ||||
| Energy - Integrated – 0.1% | ||||
| Eni S.p.A., 4%, 9/12/2023 (n) | $ | 329,000 | $ 331,847 | |
| Entertainment – 1.0% | ||||
| AMC Entertainment Holdings, Inc., 5.75%, 6/15/2025 | $ | 390,000 | $ 359,736 | |
| Constellation Merger Sub, Inc., 8.5%, 9/15/2025 (z) | 240,000 | 230,700 | ||
| Live Nation Entertainment, Inc., 5.625%, 3/15/2026 (n) | 1,260,000 | 1,272,600 | ||
| Six Flags Entertainment Corp., 4.875%, 7/31/2024 (n) | 2,205,000 | 2,182,950 | ||
| $ 4,045,986 | ||||
| Financial Institutions – 1.6% | ||||
| AerCap Ireland Capital Ltd., 4.625%, 10/30/2020 | $ | 150,000 | $ 151,781 | |
| AerCap Ireland Capital Ltd., 3.65%, 7/21/2027 | 650,000 | 584,690 | ||
| Arrow Global Finance PLC, 5.125%, 9/15/2024 | GBP | 350,000 | 425,778 | |
| Avolon Holdings Funding Ltd., 5.125%, 10/01/2023 | $ | 975,000 | 989,820 | |
| Cabot Financial (Luxembourg) S.A., 7.5%, 10/01/2023 | GBP | 400,000 | 494,079 | |
| EXOR N.V., 1.75%, 1/18/2028 | EUR | 450,000 | 492,095 | |
| GE Capital International Funding Co., 3.373%, 11/15/2025 | $ | 1,086,000 | 1,035,033 | |
| Park Aerospace Holdings Ltd., 5.5%, 2/15/2024 (n) | 1,955,000 | 1,984,325 | ||
| Wand Merger Corp., 8.125%, 7/15/2023 (n) | 480,000 | 485,856 | ||
| $ 6,643,457 | ||||
| Food & Beverages – 3.2% | ||||
| Anheuser-Busch InBev N.V., 1.5%, 4/18/2030 | EUR | 325,000 | $ 357,677 | |
| Anheuser-Busch InBev Worldwide, Inc., 3.75%, 1/15/2022 | $ | 221,000 | 225,063 | |
| Anheuser-Busch InBev Worldwide, Inc., 3.3%, 2/01/2023 | 1,729,000 | 1,725,002 | ||
| Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038 | 209,000 | 191,053 | ||
| Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | 550,000 | 574,320 | ||
| Aramark Services, Inc., 4.75%, 6/01/2026 | 1,045,000 | 1,026,712 | ||
| Aramark Services, Inc., 5%, 2/01/2028 (n) | 655,000 | 639,444 | ||
| Constellation Brands, Inc., 4.25%, 5/01/2023 | 894,000 | 919,214 | ||
| Constellation Brands, Inc., 4.75%, 12/01/2025 | 313,000 | 328,146 | ||
| Cott Holdings, Inc., 5.5%, 4/01/2025 (n) | 1,450,000 | 1,435,500 | ||
| JBS USA LLC/JBS USA Finance, Inc., 6.75%, 2/15/2028 (n) | 852,000 | 871,170 | ||
| JBS USA Lux S.A./JBS USA Finance, Inc., 5.875%, 7/15/2024 (n) | 430,000 | 434,300 | ||
| Kraft Heinz Foods Co., 5.2%, 7/15/2045 | 60,000 | 56,622 | ||
| Kraft Heinz Foods Co., 4.375%, 6/01/2046 | 256,000 | 220,549 | ||
| Lamb Weston Holdings, Inc., 4.625%, 11/01/2024 (n) | 750,000 | 746,250 | ||
| Lamb Weston Holdings, Inc., 4.875%, 11/01/2026 (n) | 445,000 | 441,218 | ||
| Marfrig Holdings (Europe) B.V., 8%, 6/08/2023 (n) | 373,000 | 384,414 | ||
| Pilgrim's Pride Corp., 5.875%, 9/30/2027 (n) | 1,340,000 | 1,293,100 | ||
| U.S. Foods Holding Corp., 5.875%, 6/15/2024 (n) | 1,260,000 | 1,281,785 | ||
| $ 13,151,539 | ||||
| Gaming & Lodging – 2.9% | ||||
| CCM Merger, Inc., 6%, 3/15/2022 (n) | $ | 760,000 | $ 767,600 | |
| GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/01/2023 | 530,000 | 546,557 | ||
| GLP Capital LP/GLP Financing II, Inc., 5.25%, 6/01/2025 | 760,000 | 776,743 | ||
| GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026 | 160,000 | 163,413 | ||
| GLP Capital LP/GLP Financing II, Inc., 5.75%, 6/01/2028 | 640,000 | 667,098 | ||
| Hilton Domestic Operating Co., Inc., 5.125%, 5/01/2026 (n) | 800,000 | 806,000 | ||
| Hilton Worldwide Finance LLC, 4.625%, 4/01/2025 | 1,355,000 | 1,334,675 | ||
7
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Gaming & Lodging – continued | ||||
| Marriot Ownership Resorts, Inc., 5.625%, 4/15/2023 (z) | $ | 825,000 | $ 812,625 | |
| MGM Resorts International, 6.625%, 12/15/2021 | 465,000 | 491,133 | ||
| MGM Resorts International, 6%, 3/15/2023 | 480,000 | 498,000 | ||
| MGM Resorts International, 5.75%, 6/15/2025 | 1,110,000 | 1,115,550 | ||
| Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2021 | 1,030,000 | 1,031,287 | ||
| Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2023 | 685,000 | 687,569 | ||
| Sands China Ltd., 5.4%, 8/08/2028 | 1,047,000 | 1,034,031 | ||
| Wyndham Hotels Group, LLC, 5.375%, 4/15/2026 (n) | 1,015,000 | 1,015,000 | ||
| $ 11,747,281 | ||||
| Health Maintenance Organizations – 0.1% | ||||
| Halfmoon Parent, Inc., 4.125%, 11/15/2025 (n) | $ | 522,000 | $ 532,579 | |
| Industrial – 0.8% | ||||
| Cleaver Brooks, Inc., 7.875%, 3/01/2023 (n) | $ | 820,000 | $ 811,800 | |
| Investor AB, 1.5%, 9/12/2030 | EUR | 400,000 | 468,586 | |
| Kaefer Isoliertechnik GmbH & Co, 5.5%, 1/10/2024 (n) | 550,000 | 621,143 | ||
| KAR Auction Services, Inc., 5.125%, 6/01/2025 (n) | $ | 1,330,000 | 1,281,562 | |
| $ 3,183,091 | ||||
| Insurance – 0.3% | ||||
| American International Group, Inc., 1.875%, 6/21/2027 | EUR | 400,000 | $ 453,164 | |
| Argentum Zurich Insurance, 3.5%, 10/01/2046 | 500,000 | 616,630 | ||
| Unum Group, 4%, 3/15/2024 | $ | 259,000 | 257,504 | |
| $ 1,327,298 | ||||
| Insurance - Health – 1.0% | ||||
| Aetna, Inc., 2.8%, 6/15/2023 | $ | 460,000 | $ 447,362 | |
| Centene Corp., 6.125%, 2/15/2024 | 540,000 | 565,650 | ||
| Centene Corp., 5.375%, 6/01/2026 (n) | 1,689,000 | 1,743,893 | ||
| UnitedHealth Group, Inc., 4.625%, 7/15/2035 | 1,009,000 | 1,101,933 | ||
| $ 3,858,838 | ||||
| Insurance - Property & Casualty – 1.4% | ||||
| AssuredPartners Inc., 7%, 8/15/2025 (n) | $ | 950,000 | $ 907,250 | |
| Berkshire Hathaway, Inc., 2.75%, 3/15/2023 | 359,000 | 356,606 | ||
| Chubb INA Holdings, Inc., 2.3%, 11/03/2020 | 144,000 | 142,785 | ||
| Chubb INA Holdings, Inc., 2.875%, 11/03/2022 | 336,000 | 335,736 | ||
| Chubb INA Holdings, Inc., 1.55%, 3/15/2028 | EUR | 100,000 | 115,211 | |
| Chubb INA Holdings, Inc., 2.5%, 3/15/2038 | 227,000 | 261,509 | ||
| CNA Financial Corp., 5.875%, 8/15/2020 | $ | 700,000 | 726,320 | |
| Hiscox Ltd., 6.125%, 11/24/2045 | GBP | 350,000 | 485,621 | |
| Hub International Ltd., 7%, 5/01/2026 (n) | $ | 955,000 | 926,350 | |
| Marsh & McLennan Cos., Inc., 3.5%, 6/03/2024 | 315,000 | 314,390 | ||
| Marsh & McLennan Cos., Inc., 4.35%, 1/30/2047 | 197,000 | 189,500 | ||
| QBE Capital Funding III Ltd., 7.5% to 5/24/2021, FLR (GBP Swap Rate - 10yr. + 4.003%) to 5/24/2041 | GBP | 300,000 | 420,913 | |
| XLIT Ltd., 3.25%, 6/29/2047 | EUR | 500,000 | 578,195 | |
| $ 5,760,386 | ||||
| International Market Quasi-Sovereign – 0.2% | ||||
| Landsbanki Islands HF, 1.125%, 1/19/2024 | EUR | 550,000 | $ 604,374 | |
| International Market Sovereign – 0.1% | ||||
| Government of Japan, 2.4%, 3/20/2037 | JPY | 24,900,000 | $ 309,315 | |
| Leisure & Toys – 0.1% | ||||
| Ubisoft Entertainment S.A., 1.289%, 1/30/2023 | EUR | 500,000 | $ 568,289 | |
8
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Local Authorities – 0.2% | ||||
| Province of Alberta, 4.5%, 12/01/2040 | CAD | 410,000 | $ 378,232 | |
| Province of British Columbia, 2.3%, 6/18/2026 | 595,000 | 447,394 | ||
| $ 825,626 | ||||
| Machinery & Tools – 0.3% | ||||
| Ashtead Capital, Inc., 5.625%, 10/01/2024 (n) | $ | 1,125,000 | $ 1,153,125 | |
| Major Banks – 5.3% | ||||
| Bank of America Corp., 2.625%, 4/19/2021 | $ | 1,661,000 | $ 1,648,988 | |
| Bank of America Corp., 3.248%, 10/21/2027 | 1,532,000 | 1,465,897 | ||
| Bank of New York Mellon Corp., 2.95%, 1/29/2023 | 661,000 | 660,182 | ||
| Bank of New York Mellon Corp., 3.442%, 2/07/2028 | 647,000 | 647,379 | ||
| Bankia S.A., 6%, 7/18/2065 | EUR | 600,000 | 673,025 | |
| Barclays Bank PLC, 6%, 1/14/2021 | 500,000 | 621,368 | ||
| Credit Suisse Group AG, 1.25% to 7/17/2024, FLR (EUR Swap Rate - 1yr. + 0.75%) to 7/17/2025 | 500,000 | 564,518 | ||
| Goldman Sachs Group, Inc., 3%, 4/26/2022 | $ | 1,250,000 | 1,236,325 | |
| HSBC Holdings PLC, 4.375%, 11/23/2026 | 399,000 | 400,275 | ||
| JPMorgan Chase & Co., 3.25%, 9/23/2022 | 1,918,000 | 1,933,383 | ||
| JPMorgan Chase & Co., 2.95%, 10/01/2026 | 1,137,000 | 1,086,155 | ||
| JPMorgan Chase & Co., 4.26%, 2/22/2048 | 600,000 | 590,995 | ||
| Morgan Stanley, 2.5%, 4/21/2021 | 1,250,000 | 1,233,974 | ||
| Morgan Stanley, 3.125%, 7/27/2026 | 572,000 | 548,619 | ||
| Morgan Stanley, 3.95%, 4/23/2027 | 988,000 | 964,062 | ||
| Nationwide Building Society, 1.5%, 3/08/2026 | EUR | 200,000 | 223,852 | |
| PNC Bank N.A., 2.6%, 7/21/2020 | $ | 1,067,000 | 1,062,184 | |
| Royal Bank of Scotland Group PLC, 3.875%, 9/12/2023 | 479,000 | 470,518 | ||
| Sumitomo Mitsui Financial Group, Inc., 3.544%, 1/17/2028 | 1,027,000 | 1,013,377 | ||
| UBS Group AG, 6.875% to 8/07/2025, FLR (Swap Rate - 5yr. + 4.59%) to 12/29/2049 | 990,000 | 991,368 | ||
| UBS Group Funding (Jersey) Ltd., 1.5%, 11/30/2024 | EUR | 500,000 | 579,854 | |
| UBS Group Funding (Switzerland) AG, 2.859% to 8/15/2022, FLR (LIBOR - 3mo. + 0.954%) to 8/15/2023 (n) | $ | 1,250,000 | 1,216,203 | |
| UBS Group Funding (Switzerland) AG, 7% to 1/31/2024, FLR (Swap Rate - 5yr. + 4.34%) to 7/28/2060 (n) | 1,043,000 | 1,049,519 | ||
| Wells Fargo & Co., 4.15%, 1/24/2029 | 494,000 | 507,320 | ||
| $ 21,389,340 | ||||
| Medical & Health Technology & Services – 4.1% | ||||
| Acadia Healthcare Co., Inc., 5.625%, 2/15/2023 | $ | 945,000 | $ 928,462 | |
| Avantor, Inc., 9%, 10/01/2025 (n) | 860,000 | 885,800 | ||
| Becton, Dickinson and Co., 1.401%, 5/24/2023 | EUR | 700,000 | 808,815 | |
| Becton, Dickinson and Co., 3.734%, 12/15/2024 | $ | 66,000 | 65,789 | |
| Becton, Dickinson and Co., 4.685%, 12/15/2044 | 270,000 | 266,919 | ||
| DaVita, Inc., 5%, 5/01/2025 | 590,000 | 567,875 | ||
| Encompass Health Corp., 5.75%, 9/15/2025 | 370,000 | 373,700 | ||
| HCA, Inc., 7.5%, 2/15/2022 | 835,000 | 914,325 | ||
| HCA, Inc., 5%, 3/15/2024 | 785,000 | 816,793 | ||
| HCA, Inc., 5.375%, 2/01/2025 | 1,820,000 | 1,878,586 | ||
| HCA, Inc., 5.875%, 2/15/2026 | 805,000 | 849,275 | ||
| HCA, Inc., 5.25%, 6/15/2026 | 471,000 | 494,256 | ||
| HealthSouth Corp., 5.125%, 3/15/2023 | 1,120,000 | 1,126,664 | ||
| HealthSouth Corp., 5.75%, 11/01/2024 | 245,000 | 247,756 | ||
| Heartland Dental, LLC, 8.5%, 5/01/2026 (n) | 775,000 | 724,625 | ||
| Laboratory Corp. of America Holdings, 4.7%, 2/01/2045 | 364,000 | 340,863 | ||
| Life Technologies Corp., 6%, 3/01/2020 | 363,000 | 373,114 | ||
| Northwell Healthcare, Inc., 4.26%, 11/01/2047 | 532,000 | 510,352 | ||
| Polaris, 8.5%, (8.5% cash or 8.5% PIK) 12/01/2022 (n)(p) | 565,000 | 546,638 | ||
| Quintiles IMS Holdings, Inc., 5%, 10/15/2026 (n) | 625,000 | 625,781 | ||
| Regional Care/LifePoint Health, Inc., 9.75%, 12/01/2026 (n) | 920,000 | 917,976 | ||
| Thermo Fisher Scientific, Inc., 3%, 4/15/2023 | 367,000 | 361,795 | ||
| Thermo Fisher Scientific, Inc., 2.95%, 9/19/2026 | 245,000 | 232,031 | ||
| Thermo Fisher Scientific, Inc., 3.2%, 8/15/2027 | 938,000 | 894,625 | ||
9
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Medical & Health Technology & Services – continued | ||||
| West Street Merger Sub, Inc., 6.375%, 9/01/2025 (n) | $ | 985,000 | $ 891,425 | |
| $ 16,644,240 | ||||
| Medical Equipment – 0.7% | ||||
| Abbott Laboratories, 4.9%, 11/30/2046 | $ | 750,000 | $ 834,960 | |
| Teleflex, Inc., 5.25%, 6/15/2024 | 1,005,000 | 1,012,537 | ||
| Teleflex, Inc., 4.875%, 6/01/2026 | 445,000 | 447,092 | ||
| Teleflex, Inc., 4.625%, 11/15/2027 | 695,000 | 677,625 | ||
| $ 2,972,214 | ||||
| Metals & Mining – 3.4% | ||||
| Baffinland Iron Mines Corp./Baffinland Iron Mines LP, 8.75%, 7/15/2026 (n) | $ | 910,000 | $ 903,175 | |
| Cameco Corp., 5.67%, 9/02/2019 | CAD | 420,000 | 324,524 | |
| Cleveland-Cliffs, Inc., 5.75%, 3/01/2025 | $ | 340,000 | 328,950 | |
| First Quantum Minerals Ltd., 7.25%, 4/01/2023 (n) | 670,000 | 641,532 | ||
| Freeport-McMoRan Copper & Gold, Inc., 5.4%, 11/14/2034 | 1,410,000 | 1,251,375 | ||
| Freeport-McMoRan, Inc., 6.875%, 2/15/2023 | 1,707,000 | 1,783,815 | ||
| Glencore Funding LLC, 3%, 10/27/2022 (n) | 885,000 | 856,158 | ||
| Kaiser Aluminum Corp., 5.875%, 5/15/2024 | 1,315,000 | 1,334,725 | ||
| Northwest Acquisitions ULC/Dominion Finco, Inc., 7.125%, 11/01/2022 (n) | 1,025,000 | 1,021,105 | ||
| Novelis Corp., 5.875%, 9/30/2026 (n) | 1,640,000 | 1,582,600 | ||
| Petra Diamonds U.S. Treasury PLC, 7.25%, 5/01/2022 (n) | 975,000 | 916,500 | ||
| Southern Copper Corp., 5.875%, 4/23/2045 | 753,000 | 795,172 | ||
| Steel Dynamics, Inc., 4.125%, 9/15/2025 | 505,000 | 479,750 | ||
| Steel Dynamics, Inc., 5%, 12/15/2026 | 348,000 | 346,260 | ||
| TMS International Corp., 7.25%, 8/15/2025 (n) | 790,000 | 742,600 | ||
| Vale S.A., 3.75%, 1/10/2023 | EUR | 400,000 | 480,730 | |
| $ 13,788,971 | ||||
| Midstream – 4.5% | ||||
| AI Candelaria Spain SLU, 7.5%, 12/15/2028 (n) | $ | 1,248,000 | $ 1,228,032 | |
| APT Pipelines Ltd., 5%, 3/23/2035 (n) | 542,000 | 538,823 | ||
| Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022 (n) | 490,000 | 494,900 | ||
| Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.625%, 7/15/2026 (n) | 785,000 | 772,244 | ||
| Cheniere Energy, Inc., 5.875%, 3/31/2025 | 1,140,000 | 1,200,944 | ||
| DCP Midstream Operating LP, 4.95%, 4/01/2022 | 410,000 | 414,100 | ||
| DCP Midstream Operating LP, 3.875%, 3/15/2023 | 770,000 | 748,825 | ||
| DCP Midstream Operating LP, 5.375%, 7/15/2025 (n) | 895,000 | 912,900 | ||
| DCP Midstream Operating LP, 5.6%, 4/01/2044 | 440,000 | 399,300 | ||
| Dominion Gas Holdings LLC, 2.8%, 11/15/2020 | 415,000 | 412,506 | ||
| Energy Transfer Equity LP, 5.875%, 1/15/2024 | 1,175,000 | 1,248,437 | ||
| EnLink Midstream Partners LP, 4.4%, 4/01/2024 | 1,375,000 | 1,320,000 | ||
| MPLX LP, 4.5%, 4/15/2038 | 371,000 | 340,560 | ||
| ONEOK, Inc., 4.95%, 7/13/2047 | 928,000 | 879,040 | ||
| Sabine Pass Liquefaction LLC, 5%, 3/15/2027 | 500,000 | 516,836 | ||
| Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 | 400,000 | 392,565 | ||
| Tallgrass Energy LP, 4.75%, 10/01/2023 (n) | 660,000 | 658,350 | ||
| Tallgrass Energy Partners LP, 5.5%, 1/15/2028 (n) | 1,975,000 | 1,924,934 | ||
| Targa Resources Partners LP/Targa Resources Finance Corp., 5.25%, 5/01/2023 | 665,000 | 665,831 | ||
| Targa Resources Partners LP/Targa Resources Finance Corp., 5.125%, 2/01/2025 (n) | 625,000 | 614,062 | ||
| Targa Resources Partners LP/Targa Resources Finance Corp., 5.375%, 2/01/2027 | 2,305,000 | 2,224,325 | ||
| Targa Resources Partners LP/Targa Resources Finance Corp., 6.875%, 1/15/2029 (n) | 511,000 | 531,736 | ||
| $ 18,439,250 | ||||
| Mortgage-Backed – 1.3% | ||||
| Freddie Mac, 3.002%, 1/25/2024 | $ | 1,500,000 | $ 1,506,705 | |
| Freddie Mac, 3.329%, 5/25/2025 | 2,000,000 | 2,036,987 | ||
| Freddie Mac, 2.673%, 3/25/2026 | 1,099,000 | 1,075,980 | ||
10
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Mortgage-Backed – continued | ||||
| Freddie Mac, 3.194%, 7/25/2027 | $ | 850,000 | $ 849,596 | |
| $ 5,469,268 | ||||
| Municipals – 0.1% | ||||
| Commonwealth of Puerto Rico, Public Improvement, “C-7”, 6%, 7/01/2027 | $ | 50,000 | $ 51,748 | |
| Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), “C”, 5.45%, 8/15/2028 | 209,000 | 222,815 | ||
| $ 274,563 | ||||
| Natural Gas - Distribution – 0.4% | ||||
| Boston Gas Co., 3.15%, 8/01/2027 (n) | $ | 420,000 | $ 401,579 | |
| GNL Quintero S.A., 4.634%, 7/31/2029 (n) | 1,030,000 | 1,022,275 | ||
| $ 1,423,854 | ||||
| Natural Gas - Pipeline – 0.3% | ||||
| Peru LNG, 5.375%, 3/22/2030 | $ | 1,047,000 | $ 1,051,240 | |
| Network & Telecom – 1.1% | ||||
| AT&T, Inc., 4.75%, 5/15/2046 | $ | 1,175,000 | $ 1,099,193 | |
| British Telecommunications PLC, 3.125%, 11/21/2031 | GBP | 400,000 | 515,215 | |
| Telecom Italia S.p.A., 3%, 9/30/2025 | EUR | 550,000 | 591,245 | |
| Telefonica Celular del Paraguay S.A., 6.75%, 12/13/2022 | $ | 961,000 | 971,638 | |
| Zayo Group LLC/Zayo Capital, Inc., 6.375%, 5/15/2025 | 455,000 | 444,194 | ||
| Zayo Group LLC/Zayo Capital, Inc., 5.75%, 1/15/2027 (n) | 920,000 | 888,895 | ||
| $ 4,510,380 | ||||
| Oil Services – 0.6% | ||||
| Apergy Corp., 6.375%, 5/01/2026 | $ | 1,160,000 | $ 1,141,150 | |
| Diamond Offshore Drill Co., 5.7%, 10/15/2039 | 965,000 | 661,025 | ||
| Nabors Industries, Inc., 5.75%, 2/01/2025 | 540,000 | 469,800 | ||
| $ 2,271,975 | ||||
| Oils – 1.0% | ||||
| Neste Oyj, 1.5%, 6/07/2024 | EUR | 500,000 | $ 580,888 | |
| Parkland Fuel Corp., 6%, 4/01/2026 (n) | $ | 1,740,000 | 1,661,700 | |
| PBF Holding Co. LLC/PBF Finance Corp., 7%, 11/15/2023 | 160,000 | 160,352 | ||
| Phillips 66, 4.875%, 11/15/2044 | 606,000 | 627,518 | ||
| Thaioil Treasury Center Co. Ltd., 5.375%, 11/20/2048 (n) | 1,025,000 | 1,091,950 | ||
| $ 4,122,408 | ||||
| Other Banks & Diversified Financials – 2.2% | ||||
| AIB Group PLC, 1.5%, 3/29/2023 | EUR | 550,000 | $ 625,671 | |
| Bangkok Bank (Hong Kong), 4.05%, 3/19/2024 (n) | $ | 1,046,000 | 1,064,155 | |
| Belfius Bank S.A., 3.125%, 5/11/2026 | EUR | 400,000 | 479,002 | |
| BPCE S.A., 5.25%, 4/16/2029 | GBP | 400,000 | 607,729 | |
| Caixa Geral de Depositos, 5.75%, 6/28/2028 | EUR | 500,000 | 599,919 | |
| Deutsche Bank AG, 1.875%, 2/28/2020 | GBP | 400,000 | 519,559 | |
| Groupe BPCE S.A., 4.5%, 3/15/2025 (n) | $ | 302,000 | 299,681 | |
| Intesa Sanpaolo S.p.A., 5.25%, 1/28/2022 | GBP | 250,000 | 345,156 | |
| Intesa Sanpaolo S.p.A., 2.125%, 8/30/2023 | EUR | 300,000 | 347,234 | |
| JSC Kazkommertsbank, 5.5%, 12/21/2022 | $ | 1,243,000 | 1,236,785 | |
| Macquarie Group Ltd., 1.25%, 3/05/2025 | EUR | 300,000 | 336,673 | |
| UBS AG, 5.125%, 5/15/2024 | $ | 981,000 | 992,313 | |
| UniCredit S.p.A., 1%, 1/18/2023 | EUR | 800,000 | 865,347 | |
| UniCredito Italiano S.p.A., 6.572%, 1/14/2022 (n) | $ | 412,000 | 420,888 | |
| $ 8,740,112 | ||||
11
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Pharmaceuticals – 1.2% | ||||
| Bayer Capital Corp. B.V., 1.5%, 6/26/2026 | EUR | 400,000 | $ 453,398 | |
| Celgene Corp., 2.875%, 8/15/2020 | $ | 600,000 | 598,883 | |
| Endo Finance LLC/Endo Finco, Inc., 5.375%, 1/15/2023 (n) | 270,000 | 220,388 | ||
| Mallinckrodt International Finance S.A., 5.75%, 8/01/2022 (n) | 575,000 | 521,812 | ||
| Takeda Pharmaceutical Co. Ltd., 1.125%, 11/21/2022 (z) | EUR | 500,000 | 578,819 | |
| Takeda Pharmaceutical Co. Ltd., 2.25%, 11/21/2026 (z) | 400,000 | 476,121 | ||
| Valeant Pharmaceuticals International, Inc., 5.5%, 3/01/2023 (n) | $ | 885,000 | 858,450 | |
| Valeant Pharmaceuticals International, Inc., 6.125%, 4/15/2025 (n) | 1,365,000 | 1,289,925 | ||
| $ 4,997,796 | ||||
| Pollution Control – 0.1% | ||||
| Republic Services, Inc., 3.95%, 5/15/2028 | $ | 552,000 | $ 561,470 | |
| Precious Metals & Minerals – 0.3% | ||||
| Teck Resources Ltd., 6%, 8/15/2040 | $ | 290,000 | $ 290,725 | |
| Teck Resources Ltd., 6.25%, 7/15/2041 | 730,000 | 761,025 | ||
| $ 1,051,750 | ||||
| Printing & Publishing – 0.3% | ||||
| Nielsen Finance LLC, 5%, 4/15/2022 (n) | $ | 1,021,000 | $ 1,019,468 | |
| Real Estate - Apartment – 0.2% | ||||
| Grand City Properties S.A., 3.75% to 2/18/2022, FLR (EUR Swap Rate - 5yr. + 3.888%) to 2/18/2027, FLR (EUR Swap Rate - 5yr. +4.138 %) to 2/18/2042, FLR (EUR Swap Rate - 5yr. + 4.888%) to 12/31/2049 | EUR | 600,000 | $ 698,455 | |
| Real Estate - Healthcare – 0.5% | ||||
| MPT Operating Partnership LP/MPT Financial Co., REIT, 5.25%, 8/01/2026 | $ | 980,000 | $ 984,900 | |
| MPT Operating Partnership LP/MPT Financial Co., REIT, 5%, 10/15/2027 | 1,255,000 | 1,221,742 | ||
| $ 2,206,642 | ||||
| Real Estate - Office – 0.3% | ||||
| Merlin Properties SOCIMI S.A., REIT, 2.225%, 4/25/2023 | EUR | 550,000 | $ 651,889 | |
| Merlin Properties SOCIMI S.A., REIT, 1.875%, 11/02/2026 | 350,000 | 389,600 | ||
| $ 1,041,489 | ||||
| Real Estate - Other – 0.5% | ||||
| CyrusOne LP/CyrusOne Finance Corp., REIT, 5%, 3/15/2024 | $ | 1,245,000 | $ 1,254,337 | |
| CyrusOne LP/CyrusOne Finance Corp., REIT, 5.375%, 3/15/2027 | 785,000 | 786,963 | ||
| $ 2,041,300 | ||||
| Restaurants – 0.4% | ||||
| Golden Nugget, Inc., 6.75%, 10/15/2024 (n) | $ | 410,000 | $ 410,000 | |
| KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, 6/01/2026 (n) | 1,105,000 | 1,118,812 | ||
| $ 1,528,812 | ||||
| Retailers – 1.2% | ||||
| Best Buy Co., Inc., 5.5%, 3/15/2021 | $ | 1,329,000 | $ 1,381,609 | |
| Best Buy Co., Inc., 4.45%, 10/01/2028 | 585,000 | 556,573 | ||
| DriveTime Automotive Group, Inc./DT Acceptance Corp., 8%, 6/01/2021 (n) | 490,000 | 488,775 | ||
| Hanesbrands, Inc., 4.875%, 5/15/2026 (n) | 795,000 | 761,213 | ||
| Home Depot, Inc., 2.625%, 6/01/2022 | 585,000 | 583,134 | ||
| Home Depot, Inc., 3%, 4/01/2026 | 475,000 | 466,753 | ||
| Sally Beauty Holdings, Inc., 5.625%, 12/01/2025 | 500,000 | 487,250 | ||
| $ 4,725,307 | ||||
| Specialty Chemicals – 0.4% | ||||
| Univar USA, Inc., 6.75%, 7/15/2023 (n) | $ | 1,760,000 | $ 1,808,400 | |
12
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Specialty Stores – 0.5% | ||||
| Penske Automotive Group Co., 5.375%, 12/01/2024 | $ | 190,000 | $ 187,625 | |
| Penske Automotive Group Co., 5.5%, 5/15/2026 | 520,000 | 508,300 | ||
| Rallye S.A., 4.25%, 3/11/2019 | EUR | 500,000 | 566,577 | |
| Richemont International S.A., 1.5%, 3/26/2030 | 500,000 | 583,446 | ||
| $ 1,845,948 | ||||
| Supermarkets – 0.6% | ||||
| Albertsons Cos. LLC/Safeway Co., 6.625%, 6/15/2024 | $ | 445,000 | $ 439,437 | |
| Casino Guichard Perracho, 4.498%, 3/07/2024 | EUR | 500,000 | 551,785 | |
| Esselunga S.p.A., 0.875%, 10/25/2023 | 100,000 | 110,731 | ||
| Eurotorg LLC Via Bonitron DAC, 8.75%, 10/30/2022 | $ | 1,003,000 | 1,008,918 | |
| Loblaw Cos. Ltd., 4.86%, 9/12/2023 | CAD | 421,000 | 342,471 | |
| $ 2,453,342 | ||||
| Supranational – 0.2% | ||||
| International Bank for Reconstruction and Development, 2.8%, 1/13/2021 | AUD | 270,000 | $ 198,516 | |
| International Bank for Reconstruction and Development, 4.25%, 6/24/2025 | 405,000 | 324,464 | ||
| International Finance Corp., 3.25%, 7/22/2019 | 585,000 | 427,311 | ||
| $ 950,291 | ||||
| Telecommunications - Wireless – 3.9% | ||||
| Altice France S.A., 6.25%, 5/15/2024 (n) | $ | 400,000 | $ 392,120 | |
| Altice France S.A., 8.125%, 2/01/2027 (n) | 650,000 | 638,560 | ||
| Altice Luxembourg S.A., 7.75%, 5/15/2022 (n) | 525,000 | 509,250 | ||
| Altice Luxembourg S.A., 7.625%, 2/15/2025 (n) | 895,000 | 760,750 | ||
| American Tower Corp., REIT, 3.5%, 1/31/2023 | 743,000 | 739,572 | ||
| American Tower Corp., REIT, 4%, 6/01/2025 | 514,000 | 516,251 | ||
| Crown Castle International Corp., 3.7%, 6/15/2026 | 741,000 | 719,239 | ||
| Digicel Group Ltd., 6.75%, 3/01/2023 (n) | 1,338,000 | 1,093,413 | ||
| Millicom International Cellular S.A., 6.625%, 10/15/2026 (n) | 1,018,000 | 1,040,905 | ||
| SBA Communications Corp., 4%, 10/01/2022 | 1,180,000 | 1,165,250 | ||
| SBA Communications Corp., 4.875%, 9/01/2024 | 645,000 | 645,806 | ||
| SBA Tower Trust, 2.898%, 10/15/2044 (n) | 439,000 | 437,480 | ||
| SFR Group S.A., 7.375%, 5/01/2026 (n) | 400,000 | 385,496 | ||
| Sprint Corp., 7.875%, 9/15/2023 | 1,570,000 | 1,668,125 | ||
| Sprint Corp., 7.125%, 6/15/2024 | 1,230,000 | 1,258,444 | ||
| Sprint Nextel Corp., 6%, 11/15/2022 | 1,050,000 | 1,061,812 | ||
| T-Mobile USA, Inc., 6.5%, 1/15/2024 | 405,000 | 419,175 | ||
| T-Mobile USA, Inc., 5.125%, 4/15/2025 | 730,000 | 737,300 | ||
| T-Mobile USA, Inc., 6.5%, 1/15/2026 | 800,000 | 846,000 | ||
| T-Mobile USA, Inc., 5.375%, 4/15/2027 | 620,000 | 624,650 | ||
| $ 15,659,598 | ||||
| Telephone Services – 0.5% | ||||
| 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 | 1,155,375 | ||
| TELUS Corp., 5.05%, 7/23/2020 | CAD | 425,000 | 335,006 | |
| $ 1,878,431 | ||||
| Tobacco – 0.2% | ||||
| B.A.T. International Finance PLC, 0.875%, 10/13/2023 | EUR | 300,000 | $ 338,357 | |
| Reynolds American, Inc., 8.125%, 6/23/2019 | $ | 257,000 | 261,977 | |
| Reynolds American, Inc., 3.25%, 6/12/2020 | 69,000 | 69,006 | ||
| $ 669,340 | ||||
| Transportation - Services – 1.2% | ||||
| Autostrade per l'Italia S.p.A., 6.25%, 6/09/2022 | GBP | 300,000 | $ 423,578 | |
| Compagnie Financial et Indus Unternehmensanleihe, 0.75%, 9/09/2028 | EUR | 500,000 | 541,436 | |
| Heathrow Funding Ltd., 1.875%, 7/12/2032 | 300,000 | 341,764 | ||
13
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Transportation - Services – continued | ||||
| Heathrow Funding Ltd., 4.625%, 10/31/2046 | GBP | 200,000 | $ 326,452 | |
| Navios South American Logistics, Inc./Navios Logistics Finance (U.S.), Inc., 7.25%, 5/01/2022 | $ | 1,158,000 | 1,082,730 | |
| Rumo Luxembourg S.à r.l., 5.875%, 1/18/2025 | 1,212,000 | 1,202,189 | ||
| Syncreon Group BV/Syncre, 8.625%, 11/01/2021 (n) | 385,000 | 308,000 | ||
| Transurban Finance Co., 1.75%, 3/29/2028 | EUR | 500,000 | 570,936 | |
| $ 4,797,085 | ||||
| U.S. Treasury Obligations – 9.9% | ||||
| U.S. Treasury Bond, 3.75%, 11/15/2043 | $ | 14,000,000 | $ 15,867,031 | |
| U.S. Treasury Bonds, 3%, 5/15/2047 | 1,960,000 | 1,957,550 | ||
| U.S. Treasury Notes, 2.75%, 2/15/2024 (f) | 14,000,000 | 14,194,141 | ||
| U.S. Treasury Notes, 2%, 11/15/2026 | 8,605,000 | 8,259,119 | ||
| $ 40,277,841 | ||||
| Utilities - Electric Power – 4.0% | ||||
| Clearway Energy Operating LLC, 5.75%, 10/15/2025 (n) | $ | 1,280,000 | $ 1,182,400 | |
| Covanta Holding Corp., 5.875%, 3/01/2024 | 1,175,000 | 1,172,063 | ||
| Covanta Holding Corp., 5.875%, 7/01/2025 | 555,000 | 543,900 | ||
| Covanta Holding Corp., 6%, 1/01/2027 | 910,000 | 871,325 | ||
| Drax Finco PLC, 6.625%, 11/01/2025 (n) | 890,000 | 885,550 | ||
| Duke Energy Florida LLC, 3.2%, 1/15/2027 | 589,000 | 574,846 | ||
| EDP Finance B.V., 5.25%, 1/14/2021 (n) | 200,000 | 204,436 | ||
| Emera U.S. Finance LP, 2.7%, 6/15/2021 | 142,000 | 139,116 | ||
| Emera U.S. Finance LP, 3.55%, 6/15/2026 | 162,000 | 154,423 | ||
| Enel Finance International N.V., 3.5%, 4/06/2028 (z) | 430,000 | 379,032 | ||
| Enel S.p.A., 8.75% to 9/24/2023, FLR (Swap Rate - 5yr. + 5.880%) to 9/24/2043, FLR (Swap Rate - 5yr. + 6.63%) to 9/24/2073 (n) | 500,000 | 535,000 | ||
| Enel S.p.A., 6.625% to 9/15/2021, FLR (GBP Swap Rate - 5yr. + 4.089%) to 9/15/2026, FLR (GBP Swap Rate - 5yr. + 4.339%) to 9/15/2041, FLR (GBP Swap Rate - 5yr. + 5.089%) to 9/15/2076 | GBP | 230,000 | 320,103 | |
| Engie Energia Chile S.A., 4.5%, 1/29/2025 (n) | $ | 1,023,000 | 1,031,988 | |
| Exelon Corp., 3.497%, 6/01/2022 | 259,000 | 257,008 | ||
| FirstEnergy Corp., 3.9%, 7/15/2027 | 115,000 | 112,522 | ||
| Greenko Dutch B.V., 5.25%, 7/24/2024 | 902,000 | 836,244 | ||
| Innogy Finance B.V., 4.75%, 1/31/2034 | GBP | 300,000 | 464,897 | |
| Listrindo Capital B.V., 4.95%, 9/14/2026 | $ | 910,000 | 857,675 | |
| LLPL Capital Pte. Ltd., 6.875%, 2/04/2039 (z) | 918,000 | 959,003 | ||
| NextEra Energy Capital Holdings, Inc., 3.55%, 5/01/2027 | 628,000 | 609,376 | ||
| NextEra Energy Operating Co., 4.25%, 9/15/2024 (n) | 1,315,000 | 1,252,932 | ||
| NextEra Energy Operating Co., 4.5%, 9/15/2027 (n) | 355,000 | 322,828 | ||
| PPL Capital Funding, Inc., 5%, 3/15/2044 | 270,000 | 280,001 | ||
| PPL WEM Holdings PLC, 5.375%, 5/01/2021 (n) | 183,000 | 188,420 | ||
| Star Energy Geothermal Pte Ltd., 6.75%, 4/24/2033 | 844,397 | 819,616 | ||
| TerraForm Global Operating LLC, 6.125%, 3/01/2026 (n) | 20,000 | 19,100 | ||
| Transelec S.A., 4.25%, 1/14/2025 (n) | 535,000 | 527,644 | ||
| Virginia Electric & Power Co., 3.5%, 3/15/2027 | 839,000 | 834,557 | ||
| $ 16,336,005 | ||||
| Total Bonds | $ 493,804,481 | |||
| Floating Rate Loans (r) – 0.4% | ||||
| Broadcasting – 0.0% | ||||
| Warner Music Group, Term Loan F, 4.896%, 11/01/2023 | $ | 137,000 | $ 133,860 | |
| Conglomerates – 0.0% | ||||
| Gates Global LLC, Term Loan B2, 5.248%, 3/31/2024 | $ | 162,588 | $ 158,885 | |
| Entertainment – 0.1% | ||||
| Live Nation Entertainment, Inc., Term Loan B3, 4.125%, 10/31/2023 | $ | 210,464 | $ 209,237 | |
14
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Floating Rate Loans (r) – continued | ||||
| Food & Beverages – 0.0% | ||||
| U.S. Foods, Inc., Term Loan B, 1%, 6/27/2023 | $ | 136,650 | $ 134,293 | |
| Medical & Health Technology & Services – 0.2% | ||||
| DaVita Healthcare Partners, Inc., Term Loan B, 5.248%, 6/24/2021 | $ | 681,450 | $ 679,746 | |
| Oil Services – 0.1% | ||||
| Apergy Corp., Term Loan B, 5.16%, 5/09/2025 | $ | 197,646 | $ 193,075 | |
| Total Floating Rate Loans | $ 1,509,096 | |||
| Common Stocks – 0.2% | ||||
| Energy - Independent – 0.1% | ||||
| Frontera Energy Corp. | 20,290 | $ 181,784 | ||
| Oil Services – 0.1% | ||||
| LTRI Holdings LP (a)(u) | 520 | $ 462,498 | ||
| Total Common Stocks | $ 644,282 | |||
| Convertible Bonds – 0.0% | ||||
| Cable TV – 0.0% | ||||
| DISH Network Corp., 3.375%, 8/15/2026 | $ | 270,000 | $ 229,365 | |
| Strike
Price |
First
Exercise |
|||
| Warrants – 0.0% | ||||
| Forest & Paper Products – 0.0% | ||||
| Appvion Holdings Corp. - Tranche A (1 share for 1 warrant) (a) | $27.17 | 8/24/18 | 332 | $ 332 |
| Appvion Holdings Corp. - Tranche B (1 share for 1 warrant) (a) | 31.25 | 8/24/18 | 332 | 166 |
| Total Warrants | $ 498 | |||
| Investment Companies (h) – 0.8% | ||||
| Money Market Funds – 0.8% | ||||
| MFS Institutional Money Market Portfolio, 2.47% (v) | 3,197,463 | $ 3,197,143 | ||
| Other Assets, Less Liabilities – (23.1)% | (93,817,073) | |||
| Net Assets – 100.0% | $ 405,567,792 | |||
| (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. |
| (h) | An affiliated issuer, which 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 $3,197,143 and $496,187,722, 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 $184,475,843, representing 45.5% of net assets. |
| (p) | Payment-in-kind (PIK) security for which interest income may be received in additional securities and/or cash. |
| (r) | The remaining maturities of floating rate loans may be less than the 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. The interest rate shown represents the weighted average of the floating interest rates on settled contracts within the loan facility at period end, unless otherwise indicated. The floating interest rates on settled contracts are determined periodically by reference to a base lending rate and a spread. |
| (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. |
15
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 | $268 |
| Afren PLC, 10.25%, 4/08/2019 | 3/01/12 | 209,874 | 175 |
| Allison Transmission, Inc., 4.75%, 10/01/2027 | 1/16/19 | 278,693 | 279,000 |
| Bayview Financial Revolving Mortgage Loan Trust, FLR, 4.102% (LIBOR - 1mo. + 1.6%), 12/28/2040 | 3/01/06 | 1,205,026 | 1,118,134 |
| CFX Escrow Corp., 6%, 2/15/2024 | 1/31/19 | 155,000 | 155,000 |
| CFX Escrow Corp., 6.375%, 2/15/2026 | 1/31/19 | 100,000 | 100,000 |
| Constellation Merger Sub, Inc., 8.5%, 9/15/2025 | 1/29/19-1/30/19 | 230,570 | 230,700 |
| Core & Main LP, 6.125%, 8/15/2025 | 1/04/19-1/25/19 | 337,157 | 342,900 |
| Corporacion Nacional del Cobre de Chile, 4.375%, 2/05/2049 | 1/28/19 | 937,054 | 962,088 |
| Coty, Inc., 4%, 4/15/2023 | 3/28/18 | 369,030 | 317,747 |
| Enel Finance International N.V., 3.5%, 4/06/2028 | 10/02/18 | 378,697 | 379,032 |
| Energizer Holdings, Inc., 7.75%, 1/15/2027 | 1/17/19 | 50,000 | 51,518 |
| Fox Corp., 4.709%, 1/25/2029 | 1/15/19 | 122,000 | 127,272 |
| HarbourView CLO VII Ltd., 7RA, “B”, FLR, 4.48% (LIBOR - 3mo. + 1.7%), 7/18/2031 | 5/17/18 | 2,500,000 | 2,457,873 |
| LLPL Capital Pte. Ltd., 6.875%, 2/04/2039 | 1/29/19 | 918,000 | 959,003 |
| Marriot Ownership Resorts, Inc., 5.625%, 4/15/2023 | 8/30/18 | 829,660 | 812,625 |
| Takeda Pharmaceutical Co. Ltd., 1.125%, 11/21/2022 | 11/15/18 | 564,584 | 578,819 |
| Takeda Pharmaceutical Co. Ltd., 2.25%, 11/21/2026 | 11/15/18 | 452,729 | 476,121 |
| TransDigm, Inc., 6.25%, 3/15/2026 | 1/30/19 | 1,302,000 | 1,321,530 |
| Total Restricted Securities | $10,669,805 | ||
| % of Net assets | 2.6% |
| The following abbreviations are used in this report and are defined: | |
| CDO | Collateralized Debt Obligation |
| CJSC | Closed Joint Stock Company |
| 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. All reference rates are USD unless otherwise noted. |
| JSC | Joint Stock Company |
| LIBOR | London Interbank Offered Rate |
| 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 | South Korean Won |
| MXN | Mexican Peso |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| SGD | Singapore Dollar |
| ZAR | South African Rand |
16
Portfolio of Investments (unaudited) – continued
| Derivative Contracts at 1/31/19 | ||||||
| Forward Foreign Currency Exchange Contracts | ||||||
| Currency
Purchased |
Currency
Sold |
Counterparty | Settlement
Date |
Unrealized
Appreciation (Depreciation) | ||
| Asset Derivatives | ||||||
| EUR | 547,592 | USD | 625,173 | Brown Brothers Harriman | 4/12/2019 | $5,250 |
| EUR | 400,047 | USD | 459,762 | Citibank N.A. | 4/12/2019 | 798 |
| EUR | 780,823 | USD | 895,781 | Deutsche Bank AG | 4/12/2019 | 3,153 |
| EUR | 234,916 | USD | 269,786 | JPMorgan Chase Bank N.A. | 4/12/2019 | 666 |
| EUR | 327,245 | USD | 375,665 | NatWest Markets PLC | 4/12/2019 | 1,082 |
| GBP | 63,000 | USD | 82,898 | Citibank N.A. | 4/12/2019 | 19 |
| GBP | 80,000 | USD | 103,384 | NatWest Markets PLC | 4/12/2019 | 1,908 |
| GBP | 246,854 | USD | 319,521 | UBS AG | 4/12/2019 | 5,374 |
| KRW | 42,694,000 | USD | 38,213 | JPMorgan Chase Bank N.A. | 3/11/2019 | 193 |
| NOK | 1,421,290 | USD | 167,161 | JPMorgan Chase Bank N.A. | 4/12/2019 | 1,864 |
| SGD | 54,000 | USD | 39,921 | JPMorgan Chase Bank N.A. | 4/12/2019 | 253 |
| ZAR | 823,000 | USD | 58,559 | UBS AG | 4/12/2019 | 3,007 |
| USD | 286,944 | CHF | 278,919 | UBS AG | 4/12/2019 | 4,631 |
| USD | 833,743 | EUR | 719,761 | Deutsche Bank AG | 4/12/2019 | 5,108 |
| USD | 27,697,434 | EUR | 23,939,692 | Goldman Sachs International | 4/12/2019 | 136,493 |
| USD | 117,669 | EUR | 101,573 | NatWest Markets PLC | 4/12/2019 | 731 |
| USD | 159,246 | JPY | 17,239,477 | Goldman Sachs International | 4/12/2019 | 93 |
| USD | 336,997 | JPY | 36,389,752 | JPMorgan Chase Bank N.A. | 4/12/2019 | 1,052 |
| $ 171,675 | ||||||
| Liability Derivatives | ||||||
| DKK | 11,054 | USD | 1,706 | NatWest Markets PLC | 4/12/2019 | $(0) |
| EUR | 994,909 | USD | 1,149,287 | Brown Brothers Harriman | 4/12/2019 | (3,883) |
| EUR | 100,388 | USD | 116,131 | Deutsche Bank AG | 4/12/2019 | (558) |
| HKD | 19,818,000 | USD | 2,536,460 | Deutsche Bank AG | 4/12/2019 | (4,359) |
| USD | 901,301 | AUD | 1,259,795 | Deutsche Bank AG | 4/12/2019 | (15,310) |
| USD | 1,216,237 | CAD | 1,617,261 | Citibank N.A. | 4/12/2019 | (16,660) |
| USD | 475,729 | EUR | 413,863 | Citibank N.A. | 4/12/2019 | (737) |
| USD | 225,129 | EUR | 196,168 | Deutsche Bank AG | 4/12/2019 | (713) |
| USD | 10,308,632 | EUR | 9,002,755 | JPMorgan Chase Bank N.A. | 3/18/2019 | (33,175) |
| USD | 6,875,376 | GBP | 5,360,834 | JPMorgan Chase Bank N.A. | 4/12/2019 | (180,244) |
| USD | 283,480 | GBP | 219,000 | UBS AG | 4/12/2019 | (4,755) |
| USD | 1,687,327 | MXN | 32,899,000 | JPMorgan Chase Bank N.A. | 4/12/2019 | (15,897) |
| USD | 11,509 | NZD | 17,000 | Goldman Sachs International | 4/12/2019 | (258) |
| $(276,549) | ||||||
| Futures Contracts | ||||||
| Description | Long/
Short |
Currency | Contracts | Notional
Amount |
Expiration
Date |
Value/Unrealized
Appreciation (Depreciation) |
| Liability Derivatives | ||||||
| Interest Rate Futures | ||||||
| German Euro-Bobl 5 yr | Short | EUR | 102 | $15,519,465 | March – 2019 | $(84,295) |
| German Euro-Bund 10 yr | Short | EUR | 28 | 5,309,523 | March – 2019 | (103,583) |
| U.S. Treasury Bond 30 yr | Short | USD | 5 | 733,437 | March – 2019 | (37,362) |
| U.S. Treasury Note 10 yr | Short | USD | 458 | 56,090,687 | March – 2019 | (1,590,350) |
17
Portfolio of Investments (unaudited) – continued
| Futures Contracts − continued | ||||||
| Description | Long/
Short |
Currency | Contracts | Notional
Amount |
Expiration
Date |
Value/Unrealized
Appreciation (Depreciation) |
| Liability Derivatives − continued | ||||||
| Interest Rate Futures − continued | ||||||
| U.S. Treasury Note 5 yr | Short | USD | 87 | $9,992,766 | March – 2019 | $ (185,182) |
| $(2,000,772) | ||||||
At January 31, 2019, the fund had
cash collateral of $89,000 and other liquid securities with an aggregate value of $854,000 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
1/31/19 (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. In determining values, 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).
19
Supplemental Information (unaudited) – continued
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, such as futures contracts and forward foreign currency exchange contracts. The
following is a summary of the levels used as of January 31, 2019 in valuing the fund's assets or liabilities:
| Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
| Equity Securities | $181,784 | $498 | $462,498 | $644,780 |
| U.S. Treasury Bonds & U.S. Government Agency & Equivalents | — | 40,277,841 | — | 40,277,841 |
| Non-U.S. Sovereign Debt | — | 75,238,032 | — | 75,238,032 |
| Municipal Bonds | — | 274,563 | — | 274,563 |
| U.S. Corporate Bonds | — | 252,030,919 | — | 252,030,919 |
| Residential Mortgage-Backed Securities | — | 5,469,268 | — | 5,469,268 |
| Commercial Mortgage-Backed Securities | — | 1 | — | 1 |
| Asset-Backed Securities (including CDOs) | — | 8,865,495 | — | 8,865,495 |
| Foreign Bonds | — | 111,877,727 | — | 111,877,727 |
| Floating Rate Loans | — | 1,509,096 | — | 1,509,096 |
| Mutual Funds | 3,197,143 | — | — | 3,197,143 |
| Total | $3,378,927 | $495,543,440 | $462,498 | $499,384,865 |
| Other Financial Instruments | ||||
| Futures Contracts - Liabilities | $(2,000,772) | $— | $— | $(2,000,772) |
| Forward Foreign Currency Exchange Contracts - Assets | — | 171,675 | — | 171,675 |
| Forward Foreign Currency Exchange Contracts - Liabilities | — | (276,549) | — | (276,549) |
For further information regarding
security characteristics, see the Portfolio of Investments. At January 31, 2019, the fund held one level 3 security valued at $462,498, which was also held and valued at $462,498 at October 31, 2018.
(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 | 7,353,431 | 32,155,008 | (36,310,976) | 3,197,463 |
| Affiliated Issuers | Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Capital
Gain Distributions |
Dividend
Income |
Ending
Value |
| MFS Institutional Money Market Portfolio | $(672) | $(79) | $— | $39,237 | $3,197,143 |
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 as EX-99.CERT.
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, 2019
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, 2019
| By (Signature and Title)* | /S/ JAMES O. YOST | |
| James O. Yost, Treasurer (Principal Financial Officer and Accounting Officer) |
Date: March 19, 2019
| * | Print name and title of each signing officer under his or her signature. |