UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4975
MFS MULTIMARKET INCOME TRUST
(Exact name of registrant as specified in charter)
500 Boylston Street, Boston, Massachusetts 02116
(Address of principal executive offices) (Zip code)
Susan S. Newton
Massachusetts Financial Services Company
500 Boylston Street
Boston, Massachusetts 02116
(Name and address of agents for service)
Registrants telephone number, including area code: (617) 954-5000
Date of fiscal year end: October 31
Date
of reporting period: April 30, 2010
ITEM 1.
|
REPORTS TO STOCKHOLDERS.
|
Semiannual report
MFS
®
Multimarket Income Trust
4/30/10
MMT-SEM
MFS
®
Multimarket Income Trust
New York Stock Exchange Symbol:
MMT
NOT FDIC INSURED
MAY
LOSE VALUE
NO BANK GUARANTEE
LETTER FROM THE
CEO
Dear Shareholders:
After
having suffered their biggest declines since the Great Depression, most global markets experienced an impressive resurgence during the latter months of 2009 and the first quarter of 2010. The global economy was able to reap the benefits of two major
trends. The first of these was the massive efforts of governments and central banks to increase liquidity in the financial system as they sought to prevent the credit crisis from further affecting the banking system. The second was the move by
companies around the world to cut costs and operations to prepare for rapidly changing market conditions. We believe that these moves not only shortened the length of the downturn but also set the stage for recovery.
Even with the significant market gains of 2009 and the early part of 2010, the recovery is unrolling at a moderate pace, with rebounds in the
manufacturing sector and corporate America leading the way. Central bankers are proceeding with caution and have held benchmark interest rates unchanged as they debate the best way to withdraw stimulus measures without disrupting the fragile growth
process.
While hurdles remain, we believe that the global economy is on the road to recovery. As always, we continue to be
mindful of the many challenges faced at the individual, national, and international levels. It is at times such as these that we want to remind investors of the merits of maintaining a long-term view, adhering to basic investing principles such as
asset allocation and diversification, and working closely with advisors to identify and research investment opportunities. At MFS®, we take particular pride in how well mutual funds can help investors by providing the diversification that is
important in any type of market climate.
Respectfully,
Robert J. Manning
Chief Executive Officer and Chief Investment Officer
MFS Investment Management®
June 15, 2010
The opinions expressed in this letter are
subject to change, may not be relied upon for investment advice, and no forecasts can be guaranteed.
1
PORTFOLIO COMPOSITION
Portfolio structure (i)
|
|
|
Fixed income sectors (i)
|
|
|
High Yield Corporates
|
|
56.7%
|
Emerging Markets Bonds
|
|
24.0%
|
High Grade Corporates
|
|
14.2%
|
Non-U.S. Government Bonds
|
|
7.9%
|
Commercial Mortgage-Backed Securities
|
|
5.5%
|
Floating Rate Loans
|
|
1.3%
|
Asset-Backed Securities
|
|
0.6%
|
Collateralized Debt Obligations (o)
|
|
0.0%
|
U.S. Treasury Securities
|
|
(5.5)%
|
|
|
|
Composition including fixed income credit quality (a)(i)
|
|
|
AAA
|
|
10.6%
|
AA
|
|
6.2%
|
A
|
|
6.8%
|
BBB
|
|
19.8%
|
BB
|
|
27.7%
|
B
|
|
31.1%
|
CCC
|
|
11.4%
|
CC
|
|
0.1%
|
C
|
|
0.1%
|
D
|
|
0.1%
|
Equity
|
|
0.8%
|
Other
|
|
(14.7)%
|
|
|
Portfolio facts (i)
|
|
|
Average Duration (d)
|
|
5.6
|
Average Effective Maturity (m)
|
|
8.3 yrs.
|
|
|
Country weightings (i)
|
|
|
United States
|
|
59.2%
|
Brazil
|
|
3.9%
|
Mexico
|
|
3.2%
|
Indonesia
|
|
2.6%
|
Japan
|
|
2.5%
|
Russia
|
|
2.0%
|
United Kingdom
|
|
2.0%
|
Netherlands
|
|
1.9%
|
Peru
|
|
1.6%
|
Other Countries
|
|
21.1%
|
2
Portfolio Composition continued
(a)
|
Included in the rating categories are: (1) debt securities and fixed income structured products which have long-term public ratings; (2) U.S. Government Securities (all of which
are given AAA ratings); and (3) credit default swaps, if applicable, for which the underlying security has a long term public rating. U.S. Government Securities consist of U.S. Treasury securities, and certain securities issued by certain U.S.
government agencies or U.S. government-sponsored entities. All rated securities are assigned a rating in accordance with the following ratings hierarchy: If a security is rated by Moodys, then that rating is used; if not rated by Moodys,
then a Standard & Poors rating is used; if not rated by S&P, then a Fitch rating is used. Any equity securities are listed separately. The Other category includes cash, other assets, liabilities (including any derivative
offsets), short-term and unrated debt securities. Ratings from Moodys (e.g., Aaa) are shown in the S&P and Fitch scale (e.g. AAA). All ratings are subject to change.
|
(d)
|
Duration is a measure of how much a bonds price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is
likely to lose about 5.00% of its value.
|
(i)
|
For purposes of this presentation, the components include the market value of securities, and reflect the impact of the equivalent exposure of derivative positions, if
applicable. These amounts may be negative from time to time. The bond component will include any accrued interest amounts. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the
amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolios ownership of the derivative contract. When dealing with derivatives, equivalent
exposure is a more representative measure of the potential impact of a position on portfolio performance than market value.
|
(m)
|
In determining an instruments effective maturity for purposes of calculating the funds dollar-weighted average effective maturity, MFS uses the instruments
stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening device (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially
shorter than the instruments stated maturity.
|
From time to time Cash & Other Net
Assets may be negative due to borrowings for leverage transactions, timing of cash receipts, and/or equivalent exposure from any derivative holdings.
Percentages are based on net assets as of 4/30/10, unless otherwise noted.
The portfolio is actively managed and current holdings may be different.
3
MARKET ENVIRONMENT
After having suffered through one of the largest and most concentrated downturns since the 1930s, most asset markets staged a remarkable rebound during
2009 and early 2010. This recovery in global activity, which covers this reporting period, has been led importantly by emerging Asian economies, but broadening to include most of the global economy to varying degrees. Primary drivers of the recovery
included an unwinding of the inventory destocking that took place earlier, the production of manufacturing and capital goods, as well as massive fiscal and monetary stimulus.
During the worst of the credit crisis, policy makers globally loosened monetary and fiscal policy on a massive scale. Having reached their lower bound on
policy rates prior to the beginning of the reporting period, several central banks were implementing quantitative easing as a means to further loosen monetary policy to offset the continuing fall in global economic activity. However, by the
beginning of the period, there were ever-broadening signs that the global macroeconomic deterioration had passed, which caused the subsequent rise in asset valuations. As most asset prices rebounded during the period and the demand for liquidity
waned, the debate concerning the existence of asset bubbles and the need for monetary exit strategies had begun, creating added uncertainty regarding the forward path of policy rates. Nonetheless, risky-asset valuation generally hit secular highs by
the end of the period.
4
INVESTMENT OBJECTIVE, PRINCIPAL
INVESTMENT STRATEGIES AND RISKS
OF THE FUND
Investment
Objective
The funds investment objective is to seek high current income, but may also consider capital appreciation. The funds
objective may be changed without shareholder approval.
Principal Investment Strategies
MFS normally invests at least 80% of the funds net assets in fixed income securities. This policy may not be changed without shareholder approval.
MFS considers debt instruments of all types to be fixed income securities.
MFS normally invests the funds assets in U.S. Government securities, foreign government securities, mortgage-backed and other asset-backed
securities of U.S. and foreign issuers, corporate bonds of U.S. and/or foreign issuers, and/or debt instruments of issuers located in emerging market countries. MFS allocates the funds assets across these categories with a view toward broad
diversification across and within these categories. MFS may also invest the funds assets in equity securities.
MFS may invest up to 100%
of the funds assets in lower quality debt instruments.
MFS may invest the funds assets in U.S. and foreign securities, including
emerging market securities.
MFS may invest a relatively high percentage of the funds assets in a single country, a small number of
countries, or a particular geographic region.
MFS may invest the funds assets in mortgage dollar rolls.
MFS may use derivatives for different purposes, including to earn income and enhance returns, to increase or decrease exposure to a particular market, to
manage or adjust the risk profile of the fund, or as alternatives to direct investments.
MFS uses a bottom-up investment approach in buying
and selling investments for the fund. Investments are selected primarily based on fundamental analysis of issuers or instruments in light of market, economic, political, and regulatory conditions. Factors considered for debt instruments may include
the instruments credit quality, collateral characteristics and indenture provisions and the issuers management ability, capital structure, leverage, and ability to meet its current obligations. Quantitative analysis of the structure of a
debt instrument and its features may also be considered. Factors considered for equity securities may include analysis of earnings, cash flows, competitive position, and management ability. Quantitative analysis of these and other factors may also
be considered.
5
Investment Objective, Principal Investment Strategies and Risks of the Fund continued
The fund may use leverage by borrowing up to
33
1
/
3
% of the funds assets, including
borrowings for investment purposes, and investing the proceeds pursuant to its investment strategies. If approved by the funds Board of Trustees, the fund may use leverage by other methods.
MFS may engage in active and frequent trading in pursuing the funds principal investment strategies.
In response to market, economic, political, or other conditions, MFS may depart from the funds principal investment strategies by temporarily
investing for defensive purposes.
Principal Risks
Stock markets are volatile and can decline due to adverse issuer, market, industry, political, regulatory or economic conditions. The value of the
portfolios equity investments will fluctuate in response to many factors including company specific factors as well as general market, economic, political and regulatory conditions. Foreign investments can be more volatile than U.S.
investments. Changes in currency exchange rates can affect the U.S. dollar rate of foreign currency investments and investments denominated in foreign currency. Investing in emerging markets can involve risks in addition to those generally
associated with investing in more developed foreign markets. The portfolios yield and share prices change daily based on the credit quality of its investments and changes in interest rates. In general, the value of debt securities will decline
when interest rates rise and will increase when interest rates fall. Debt securities with longer maturity dates will generally be subject to greater price fluctuations than those with shorter maturities. Mortgage securities are subject to prepayment
risk which can offer less potential for gains in a declining interest rate environment and greater potential for loss in a rising interest rate environment. Derivatives can be highly volatile and involve risks in addition to those of the underlying
indicators in whose value the derivative is based. Gains or losses from derivatives can be substantially greater than the derivatives original cost. Lower quality debt securities involve substantially greater risk of default and their
value can decline significantly over time. To the extent that investments are purchased with the proceeds from borrowings from a bank, the funds net asset value will increase or decrease at a greater rate than a comparable unleveraged fund.
When you sell your shares, they may be worth more or less than the amount you paid for them. Please see the funds registration statement for further information regarding these and other risk considerations. A copy of the funds
registration statement on Form N-2 is available on the EDGAR database on the Securities and Exchange Commissions Internet Web site at http://sec.gov.
In accordance with Section 23(c) of the Investment Company Act of 1940, the fund hereby gives notice that it may from time to time repurchase common shares of the
fund in the open market at the option of the Board of Trustees and on such terms as the Trustees shall determine.
6
PORTFOLIO MANAGERS PROFILES
|
|
|
|
|
Richard Hawkins
|
|
|
|
Investment Officer of MFS; employed in the investment management area of MFS since 1988. Portfolio Manager of the Fund since April 2006.
|
|
|
|
John Addeo
|
|
|
|
Investment Officer of MFS; employed in the investment management area of MFS since 1998. Portfolio Manager of the Fund since February 2005.
|
|
|
|
David Cole
|
|
|
|
Investment Officer of MFS; employed in the investment management area of MFS since 2004. Portfolio Manager of the Fund since October 2006.
|
|
|
|
Matthew Ryan
|
|
|
|
Investment Officer of MFS; employed in the investment management area of MFS since 1997. Portfolio Manager of the Fund since September 2004.
|
OTHER NOTES
The
funds shares may trade at a discount or premium to net asset value. Shareholders do not have the right to cause the fund to repurchase their shares at net asset value. When fund shares trade at a premium, buyers pay more than the net asset
value underlying fund shares, and shares purchased at a premium would receive less than the amount paid for them in the event of the funds liquidation. As a result, the total return that is calculated based on the net asset value and New York
Stock Exchange price can be different.
The funds monthly distributions may include a return of capital to shareholders to the extent
that distributions are in excess of the funds net investment income and net capital gains, determined in accordance with federal income tax regulations. Distributions that are treated for federal income tax purposes as a return of capital will
reduce each shareholders basis in his or her shares and, to the extent the return of capital exceeds such basis, will be treated as gain to the shareholder from a sale of shares. In addition, distributions of current year long-term gains may
be recharacterized as ordinary income. Returns of shareholder capital have the effect of reducing the funds assets and may increase the funds expense ratio.
7
DIVIDEND REINVESTMENT AND
CASH PURCHASE PLAN
The fund offers a
Dividend Reinvestment and Cash Purchase Plan (the Plan) that allows common shareholders to reinvest either all of the distributions paid by the fund or only the long-term capital gains. Generally, purchases are made at the market price
unless that price exceeds the net asset value (the shares are trading at a premium). If the shares are trading at a premium, purchases will be made at a price of either the net asset value or 95% of the market price, whichever is greater. You can
also buy shares on a quarterly basis in any amount $100 and over. The Plan Agent will purchase shares under the Cash Purchase Plan on the 15th of January, April, July, and October or shortly thereafter.
If shares are registered in your own name, new shareholders will automatically participate in the Plan, unless you have indicated that you do not wish to
participate. If your shares are in the name of a brokerage firm, bank, or other nominee, you can ask the firm or nominee to participate in the Plan on your behalf. If the nominee does not offer the Plan, you may wish to request that your shares be
re-registered in your own name so that you can participate. There is no service charge to reinvest distributions, nor are there brokerage charges for shares issued directly by the fund. However, when shares are bought on the New York Stock Exchange
or otherwise on the open market, each participant pays a pro rata share of the transaction expenses, including commissions. Dividends and capital gains distributions are taxable whether received in cash or reinvested in additional shares the
automatic reinvestment of distributions does not relieve you of any income tax that may be payable (or required to be withheld) on the distributions.
You may withdraw from the Plan at any time by going to the Plan Agents website at www.computershare.com, by calling 1-800-637-2304 any business day
from 9 a.m. to 5 p.m. Eastern time or by writing to the Plan Agent at P.O. Box 43078, Providence, RI 02940-3078. Please have available the name of the fund and your account number. For certain types of registrations, such as corporate accounts,
instructions must be submitted in writing. Please call for additional details. When you withdraw from the Plan, you can receive the value of the reinvested shares in one of three ways: your full shares will be held in your account, the Plan Agent
will sell your shares and send the proceeds to you, or you may transfer your full shares to your investment professional who can hold or sell them. Additionally, the Plan Agent will sell your fractional shares and send the proceeds to you.
If you have any questions or for further information or a copy of the Plan, contact the Plan Agent Computershare Trust Company, N.A. (the
Transfer Agent for the fund) at 1-800-637-2304, at the Plan Agents website at www.computershare.com, or by writing to the Plan Agent at P.O. Box 43078, Providence, RI 02940-3078.
8
PORTFOLIO OF INVESTMENTS
4/30/10 (unaudited)
The Portfolio of Investments
is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.
|
|
|
|
|
|
|
Bonds - 111.2%
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
Value ($)
|
|
|
|
|
|
|
|
Aerospace - 0.9%
|
|
|
|
|
|
|
BE Aerospace, Inc., 8.5%, 2018
|
|
$
|
1,135,000
|
|
$
|
1,214,450
|
Bombardier, Inc., 7.5%, 2018 (n)
|
|
|
700,000
|
|
|
742,000
|
Bombardier, Inc., 7.45%, 2034 (n)
|
|
|
210,000
|
|
|
198,450
|
Hawker Beechcraft Acquisition Co. LLC, 8.5%, 2015
|
|
|
1,220,000
|
|
|
1,070,550
|
Oshkosh Corp., 8.25%, 2017 (n)
|
|
|
155,000
|
|
|
163,137
|
Oshkosh Corp., 8.5%, 2020 (n)
|
|
|
435,000
|
|
|
457,837
|
Spirit AeroSystems Holdings, Inc., 7.5%, 2017 (n)
|
|
|
1,165,000
|
|
|
1,191,212
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,037,636
|
Airlines - 0.3%
|
|
|
|
|
|
|
American Airlines Pass-Through Trust, 7.377%, 2019
|
|
$
|
638,847
|
|
$
|
543,020
|
Continental Airlines, Inc., 7.339%, 2014
|
|
|
673,540
|
|
|
655,018
|
Continental Airlines, Inc., 7.25%, 2019
|
|
|
195,000
|
|
|
208,650
|
Delta Air Lines, Inc., 7.711%, 2011
|
|
|
415,000
|
|
|
415,000
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,821,688
|
Apparel Manufacturers - 0.4%
|
|
|
|
|
|
|
Hanesbrands, Inc., 8%, 2016
|
|
$
|
820,000
|
|
$
|
856,900
|
Levi Strauss & Co., 9.75%, 2015
|
|
|
575,000
|
|
|
604,469
|
Phillips-Van Heusen Corp., 7.375%, 2020
|
|
|
605,000
|
|
|
620,125
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,081,494
|
Asset Backed & Securitized - 6.1%
|
|
|
|
|
|
|
ARCap REIT, Inc., CDO, H, 6.088%, 2045 (z)
|
|
$
|
2,000,000
|
|
$
|
105,000
|
Banc of America Commercial Mortgage, Inc., FRN, 5.934%, 2051
|
|
|
2,000,000
|
|
|
2,049,009
|
Bayview Financial Acquisition Trust, FRN, 5.483%, 2041
|
|
|
1,130,000
|
|
|
1,100,794
|
Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.864%, 2040 (z)
|
|
|
3,137,801
|
|
|
1,137,453
|
Citigroup Commercial Mortgage Trust, FRN, 5.888%, 2049
|
|
|
390,311
|
|
|
80,443
|
Citigroup/Deutsche Bank Commercial Mortgage Trust, FRN, 5.366%, 2049
|
|
|
1,160,000
|
|
|
961,033
|
Crest Ltd., CDO, 7%, 2040
|
|
|
2,000,000
|
|
|
100,000
|
Deutsche Mortgage & Asset Receiving Corp., FRN, 7.5%, 2031
|
|
|
1,470,011
|
|
|
1,524,530
|
DLJ Commercial Mortgage Corp., 6.04%, 2031 (z)
|
|
|
2,000,000
|
|
|
2,049,110
|
Falcon Franchise Loan LLC, FRN, 3.968%, 2025 (i)(z)
|
|
|
5,349,267
|
|
|
188,294
|
First Union National Bank Commercial Mortgage Trust, FRN, 1.156%, 2043 (i)(n)
|
|
|
23,638,945
|
|
|
117,263
|
First Union-Lehman Brothers Bank of America, FRN, 0.577%, 2035 (i)
|
|
|
18,873,596
|
|
|
352,593
|
9
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
Value ($)
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
Asset Backed & Securitized - continued
|
|
|
|
|
|
|
First Union-Lehman Brothers Commercial Mortgage Trust,
7%, 2029 (n)
|
|
$
|
1,107,230
|
|
$
|
1,160,896
|
GMAC LLC, FRN, 6.02%, 2033 (z)
|
|
|
2,542,000
|
|
|
2,474,481
|
GMAC LLC, FRN, 7.912%, 2034 (n)
|
|
|
1,853,000
|
|
|
1,696,040
|
JPMorgan Chase Commercial Mortgage Securities Corp.,
5.552%, 2045
|
|
|
1,590,000
|
|
|
1,628,367
|
JPMorgan Chase Commercial Mortgage Securities Corp.,
5.42%, 2049
|
|
|
2,130,000
|
|
|
2,053,371
|
JPMorgan Chase Commercial Mortgage Securities Corp., FRN,
5.475%, 2043
|
|
|
1,590,000
|
|
|
1,652,103
|
JPMorgan Chase Commercial Mortgage Securities Corp., FRN,
6.064%, 2045
|
|
|
1,590,000
|
|
|
1,666,002
|
JPMorgan Chase Commercial Mortgage Securities Corp., FRN,
6.006%, 2049
|
|
|
2,000,000
|
|
|
1,965,216
|
JPMorgan Chase Commercial Mortgage Securities Corp., FRN,
6.26%, 2051
|
|
|
270,000
|
|
|
92,532
|
Lehman Brothers Commercial Conduit Mortgage Trust, FRN,
1.045%, 2030 (i)
|
|
|
4,057,283
|
|
|
111,146
|
Merrill Lynch Mortgage Trust, FRN, 6.019%, 2050
|
|
|
270,000
|
|
|
81,471
|
Morgan Stanley Capital I, Inc., FRN, 1.258%, 2039 (i)(z)
|
|
|
12,850,587
|
|
|
417,644
|
Mortgage Capital Funding, Inc., FRN, 1.97%, 2031 (i)
|
|
|
238,768
|
|
|
106
|
PNC Mortgage Acceptance Corp., FRN, 7.1%, 2032 (z)
|
|
|
2,490,000
|
|
|
2,479,666
|
Prudential Securities Secured Financing Corp., FRN,
7.254%, 2013 (z)
|
|
|
2,581,000
|
|
|
2,332,277
|
Structured Asset Securities Corp., FRN, 4.67%, 2035
|
|
|
914,935
|
|
|
888,037
|
Wachovia Bank Commercial Mortgage Trust, FRN, 5.118%, 2042
|
|
|
1,375,626
|
|
|
1,442,897
|
Wachovia Bank Commercial Mortgage Trust, FRN, 5.882%, 2047
|
|
|
1,496,845
|
|
|
300,625
|
Wachovia Bank Commercial Mortgage Trust, FRN, 5.942%, 2047
|
|
|
229,557
|
|
|
40,099
|
Wachovia Bank Commercial Mortgage Trust, FRN, 6.099%, 2051
|
|
|
2,000,000
|
|
|
1,966,367
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
34,214,865
|
Automotive - 2.1%
|
|
|
|
|
|
|
Allison Transmission, Inc., 11%, 2015 (n)
|
|
$
|
1,830,000
|
|
$
|
1,976,400
|
Ford Motor Credit Co. LLC, 12%, 2015
|
|
|
5,631,000
|
|
|
6,813,257
|
General Motors Corp., 7.125%, 2013 (d)
|
|
|
1,285,000
|
|
|
475,450
|
Goodyear Tire & Rubber Co., 9%, 2015
|
|
|
2,045,000
|
|
|
2,137,025
|
Goodyear Tire & Rubber Co., 10.5%, 2016
|
|
|
245,000
|
|
|
272,869
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
11,675,001
|
Basic Industry - 0.2%
|
|
|
|
|
|
|
TriMas Corp., 9.75%, 2017 (n)
|
|
$
|
1,045,000
|
|
$
|
1,077,656
|
10
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
Value ($)
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
Broadcasting - 2.5%
|
|
|
|
|
|
|
Allbritton Communications Co., 8%, 2018 (z)
|
|
$
|
595,000
|
|
$
|
595,000
|
Gray Television, Inc., 10.5%, 2015 (z)
|
|
|
405,000
|
|
|
406,519
|
Inmarsat Finance PLC, 7.375%, 2017 (n)
|
|
|
1,160,000
|
|
|
1,209,300
|
Intelsat Jackson Holdings Ltd., 9.5%, 2016
|
|
|
3,305,000
|
|
|
3,511,562
|
Lamar Media Corp., 6.625%, 2015
|
|
|
340,000
|
|
|
334,900
|
LIN TV Corp., 6.5%, 2013
|
|
|
1,840,000
|
|
|
1,821,600
|
Local TV Finance LLC, 9.25%, 2015 (p)(z)
|
|
|
672,525
|
|
|
471,515
|
Newport Television LLC, 13%, 2017 (n)(p)
|
|
|
862,380
|
|
|
742,425
|
Nexstar Broadcasting Group, Inc., 0.5% to 2011,
7% to 2014 (n)(p)
|
|
|
532,334
|
|
|
488,934
|
Nexstar Broadcasting Group, Inc., 7%, 2014
|
|
|
175,000
|
|
|
161,000
|
Salem Communications Corp., 9.625%, 2016
|
|
|
365,000
|
|
|
390,550
|
Sinclair Broadcast Group, Inc., 9.25%, 2017 (n)
|
|
|
570,000
|
|
|
605,625
|
SIRIUS XM Radio, Inc., 8.75%, 2015 (n)
|
|
|
1,010,000
|
|
|
1,030,200
|
Univision Communications, Inc., 12%, 2014 (n)
|
|
|
490,000
|
|
|
541,450
|
Univision Communications, Inc., 9.75%, 2015 (n)(p)
|
|
|
1,703,895
|
|
|
1,521,436
|
Young Broadcasting, Inc., 8.75%, 2014 (d)
|
|
|
215,000
|
|
|
495
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
13,832,511
|
Brokerage & Asset Managers - 0.7%
|
|
|
|
|
|
|
E*TRADE Financial Corp., 7.875%, 2015
|
|
$
|
360,000
|
|
$
|
347,850
|
Janus Capital Group, Inc., 6.95%, 2017
|
|
|
2,555,000
|
|
|
2,602,911
|
Nuveen Investments, Inc., 10.5%, 2015
|
|
|
940,000
|
|
|
940,000
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,890,761
|
Building - 1.5%
|
|
|
|
|
|
|
Building Materials Holding Corp., 7%, 2020 (n)
|
|
$
|
690,000
|
|
$
|
700,350
|
CEMEX Finance Europe B.V., 9.625%, 2017 (n)
|
|
EUR
|
660,000
|
|
|
907,316
|
CEMEX Finance LLC, 9.5%, 2016 (n)
|
|
$
|
2,960,000
|
|
|
2,989,600
|
Masco Corp., 7.125%, 2020
|
|
|
505,000
|
|
|
518,040
|
Nortek, Inc., 11%, 2013
|
|
|
1,762,644
|
|
|
1,903,655
|
Owens Corning, 9%, 2019
|
|
|
735,000
|
|
|
887,385
|
Ply Gem Industries, Inc., 11.75%, 2013
|
|
|
585,000
|
|
|
622,294
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
8,528,640
|
Business Services - 1.6%
|
|
|
|
|
|
|
First Data Corp., 9.875%, 2015
|
|
$
|
3,480,000
|
|
$
|
3,184,200
|
First Data Corp., 11.25%, 2016
|
|
|
675,000
|
|
|
563,625
|
Iron Mountain, Inc., 6.625%, 2016
|
|
|
1,250,000
|
|
|
1,251,563
|
Iron Mountain, Inc., 8.375%, 2021
|
|
|
420,000
|
|
|
443,625
|
SunGard Data Systems, Inc., 9.125%, 2013
|
|
|
1,510,000
|
|
|
1,549,638
|
11
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
Value ($)
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
Business Services - continued
|
|
|
|
|
|
|
SunGard Data Systems, Inc., 10.25%, 2015
|
|
$
|
1,020,000
|
|
$
|
1,074,825
|
Terremark Worldwide, Inc., 12.25%, 2017 (n)
|
|
|
705,000
|
|
|
810,750
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
8,878,226
|
Cable TV - 3.6%
|
|
|
|
|
|
|
Cablevision Systems Corp., 8.625%, 2017 (n)
|
|
$
|
365,000
|
|
$
|
385,075
|
Charter Communications Holding Co. LLC, 7.875%, 2018 (z)
|
|
|
300,000
|
|
|
305,250
|
Charter Communications Holding Co. LLC, 8.125%, 2020 (z)
|
|
|
200,000
|
|
|
204,500
|
Charter Communications, Inc., 10.875%, 2014 (n)
|
|
|
995,000
|
|
|
1,124,350
|
Cox Communications, Inc., 4.625%, 2013
|
|
|
1,744,000
|
|
|
1,854,629
|
CSC Holdings, Inc., 8.5%, 2014 (n)
|
|
|
1,325,000
|
|
|
1,421,062
|
CSC Holdings, Inc., 8.5%, 2015 (n)
|
|
|
2,070,000
|
|
|
2,204,550
|
DIRECTV Holdings LLC, 5.2%, 2020 (n)
|
|
|
3,340,000
|
|
|
3,367,735
|
Mediacom LLC, 9.125%, 2019 (n)
|
|
|
1,325,000
|
|
|
1,364,750
|
TCI Communications, Inc., 9.8%, 2012
|
|
|
1,135,000
|
|
|
1,283,581
|
Time Warner Cable, Inc., 5%, 2020
|
|
|
2,630,000
|
|
|
2,627,588
|
Videotron LTEE, 6.875%, 2014
|
|
|
1,520,000
|
|
|
1,539,000
|
Virgin Media Finance PLC, 9.125%, 2016
|
|
|
1,720,000
|
|
|
1,836,100
|
Virgin Media Finance PLC, 9.5%, 2016
|
|
|
680,000
|
|
|
746,300
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
20,264,470
|
Chemicals - 2.4%
|
|
|
|
|
|
|
Ashland, Inc., 9.125%, 2017 (n)
|
|
$
|
2,490,000
|
|
$
|
2,838,600
|
Dow Chemical Co., 8.55%, 2019
|
|
|
1,500,000
|
|
|
1,832,875
|
Hexion Finance Escrow LLC, 8.875%, 2018 (n)
|
|
|
1,100,000
|
|
|
1,082,125
|
Hexion Specialty Chemicals, Inc., 9.75%, 2014
|
|
|
830,000
|
|
|
856,975
|
Linde Finance B.V., 6% to 2013, FRN to 2049
|
|
EUR
|
101,000
|
|
|
139,855
|
Lumena Resources Corp., 12%, 2014 (n)
|
|
$
|
1,989,000
|
|
|
1,898,063
|
Lyondell Chemical Co., 11%, 2018
|
|
|
637,686
|
|
|
697,201
|
Momentive Performance Materials, Inc., 12.5%, 2014 (n)
|
|
|
1,438,000
|
|
|
1,617,750
|
Momentive Performance Materials, Inc., 11.5%, 2016
|
|
|
594,000
|
|
|
579,150
|
Mosaic Co., 7.625%, 2016 (n)
|
|
|
695,000
|
|
|
763,086
|
Sociedad Quimica y Minera de Chile, 5.5%, 2020 (z)
|
|
|
568,000
|
|
|
567,511
|
Solutia, Inc., 7.875%, 2020
|
|
|
910,000
|
|
|
939,575
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
13,812,766
|
Computer Software - 0.4%
|
|
|
|
|
|
|
Seagate Technology HDD Holdings, 6.375%, 2011
|
|
$
|
1,967,000
|
|
$
|
2,045,680
|
|
|
|
Computer Software - Systems - 0.3%
|
|
|
|
|
|
|
DuPont Fabros Technology, Inc., 8.5%, 2017 (n)
|
|
$
|
1,465,000
|
|
$
|
1,519,937
|
12
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
Value ($)
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
Conglomerates - 0.3%
|
|
|
|
|
|
|
Actuant Corp., 6.875%, 2017
|
|
$
|
1,495,000
|
|
$
|
1,478,181
|
|
|
|
Construction - 0.2%
|
|
|
|
|
|
|
Corporacion GEO S.A.B. de C.V., 8.875%, 2014 (n)
|
|
$
|
1,262,000
|
|
$
|
1,353,495
|
|
|
|
Consumer Products - 1.1%
|
|
|
|
|
|
|
ACCO Brands Corp., 10.625%, 2015 (n)
|
|
$
|
140,000
|
|
$
|
155,050
|
ACCO Brands Corp., 7.625%, 2015
|
|
|
435,000
|
|
|
414,338
|
Central Garden & Pet Co., 8.25%, 2018
|
|
|
765,000
|
|
|
782,212
|
Easton-Bell Sports, Inc., 9.75%, 2016 (n)
|
|
|
490,000
|
|
|
521,850
|
Fortune Brands, Inc., 5.125%, 2011
|
|
|
1,179,000
|
|
|
1,211,024
|
Jarden Corp., 7.5%, 2017
|
|
|
1,440,000
|
|
|
1,472,400
|
Libbey Glass, Inc., 10%, 2015 (n)
|
|
|
740,000
|
|
|
781,625
|
Visant Holding Corp., 8.75%, 2013
|
|
|
670,000
|
|
|
683,400
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,021,899
|
Consumer Services - 1.6%
|
|
|
|
|
|
|
Grupo Posadas S.A. de C.V., 9.25%, 2015 (n)
|
|
$
|
219,000
|
|
$
|
229,402
|
KAR Holdings, Inc., 10%, 2015
|
|
|
1,700,000
|
|
|
1,802,000
|
KAR Holdings, Inc., FRN, 4.344%, 2014
|
|
|
1,135,000
|
|
|
1,062,644
|
Realogy Corp., 10.5%, 2014
|
|
|
190,000
|
|
|
177,175
|
Service Corp. International, 7.375%, 2014
|
|
|
500,000
|
|
|
510,000
|
Service Corp. International, 7%, 2017
|
|
|
3,300,000
|
|
|
3,267,000
|
Ticketmaster Entertainment, Inc., 10.75%, 2016
|
|
|
1,890,000
|
|
|
2,126,250
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
9,174,471
|
Containers - 1.0%
|
|
|
|
|
|
|
Crown Americas LLC, 7.75%, 2015
|
|
$
|
1,215,000
|
|
$
|
1,260,563
|
Graham Packaging Holdings Co., 9.875%, 2014
|
|
|
1,625,000
|
|
|
1,694,063
|
Greif, Inc., 6.75%, 2017
|
|
|
1,515,000
|
|
|
1,526,363
|
Owens-Brockway Glass Container, Inc., 8.25%, 2013
|
|
|
905,000
|
|
|
918,575
|
Reynolds Group, 7.75%, 2016 (n)
|
|
|
470,000
|
|
|
486,450
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,886,014
|
Defense Electronics - 0.1%
|
|
|
|
|
|
|
ManTech International Corp., 7.25%, 2018 (z)
|
|
$
|
610,000
|
|
$
|
622,963
|
|
|
|
Electronics - 0.7%
|
|
|
|
|
|
|
Flextronics International Ltd., 6.25%, 2014
|
|
$
|
296,000
|
|
$
|
297,480
|
Freescale Semiconductor, Inc., 8.875%, 2014
|
|
|
865,000
|
|
|
852,025
|
Freescale Semiconductor, Inc., 10.125%, 2018 (n)
|
|
|
500,000
|
|
|
540,000
|
13
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
Value ($)
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
Electronics - continued
|
|
|
|
|
|
|
Freescale Semiconductor, Inc., 9.25%, 2018 (z)
|
|
$
|
710,000
|
|
$
|
738,400
|
Jabil Circuit, Inc., 7.75%, 2016
|
|
|
1,345,000
|
|
|
1,425,700
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,853,605
|
Emerging Market Quasi-Sovereign - 6.7%
|
|
|
|
|
|
|
Banco do Brasil (Cayman Branch), FRN, 8.5%, 2049
|
|
$
|
738,000
|
|
$
|
822,870
|
BNDES Participacoes S.A., 6.5%, 2019 (n)
|
|
|
607,000
|
|
|
644,937
|
BNDES Participacoes S.A., 5.5%, 2020 (n)
|
|
|
277,000
|
|
|
275,615
|
Citic Resources Holdings Ltd., 6.75%, 2014
|
|
|
1,078,000
|
|
|
1,099,560
|
Ecopetrol S.A., 7.625%, 2019
|
|
|
821,000
|
|
|
919,520
|
ELETROBRAS S.A., 6.875%, 2019 (n)
|
|
|
2,220,000
|
|
|
2,414,250
|
Gaz Capital S.A., 8.125%, 2014 (n)
|
|
|
1,540,000
|
|
|
1,699,775
|
KazMunaiGaz Finance B.V., 8.375%, 2013
|
|
|
1,078,000
|
|
|
1,192,538
|
KazMunaiGaz Finance B.V., 11.75%, 2015 (n)
|
|
|
3,491,000
|
|
|
4,398,660
|
KazMunaiGaz Finance B.V., 9.125%, 2018 (n)
|
|
|
713,000
|
|
|
839,558
|
KazMunaiGaz Finance B.V., 7%, 2020 (z)
|
|
|
497,000
|
|
|
505,698
|
Korea Development Bank, 4.375%, 2015
|
|
|
434,000
|
|
|
443,889
|
Majapahit Holding B.V., 7.25%, 2017
|
|
|
1,425,000
|
|
|
1,526,460
|
Majapahit Holding B.V., 7.25%, 2017 (n)
|
|
|
1,469,000
|
|
|
1,573,593
|
Majapahit Holding B.V., 8%, 2019 (n)
|
|
|
1,197,000
|
|
|
1,328,670
|
Majapahit Holding B.V., 7.75%, 2020 (n)
|
|
|
1,741,000
|
|
|
1,904,306
|
OAO Gazprom, 6.212%, 2016
|
|
|
1,886,000
|
|
|
1,923,909
|
Pemex Project Funding Master Trust, 5.75%, 2018
|
|
|
1,341,000
|
|
|
1,385,968
|
Petrobras International Finance Co., 7.875%, 2019
|
|
|
1,583,000
|
|
|
1,849,683
|
Petroleos Mexicanos, 8%, 2019
|
|
|
1,382,000
|
|
|
1,623,850
|
Petroleos Mexicanos, 6%, 2020 (n)
|
|
|
1,610,000
|
|
|
1,655,885
|
Petroleum Co. of Trinidad & Tobago Ltd., 9.75%, 2019 (n)
|
|
|
476,000
|
|
|
556,920
|
Petroleum Co. of Trinidad & Tobago Ltd., 6%, 2022
|
|
|
870,000
|
|
|
838,463
|
Qtel International Finance Ltd., 7.875%, 2019 (n)
|
|
|
974,000
|
|
|
1,124,854
|
Qtel International Finance Ltd., 7.875%, 2019
|
|
|
112,000
|
|
|
129,347
|
Ras Laffan Liquefied Natural Gas Co. Ltd., 8.294%, 2014 (n)
|
|
|
2,008,000
|
|
|
2,255,661
|
Ras Laffan Liquefied Natural Gas Co. Ltd., 6.75%, 2019 (n)
|
|
|
2,459,000
|
|
|
2,754,823
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
37,689,262
|
Emerging Market Sovereign - 8.3%
|
|
|
|
|
|
|
Dominican Republic, 7.5%, 2021 (z)
|
|
$
|
453,000
|
|
$
|
461,607
|
Kingdom of Bahrain, 5.5%, 2020 (n)
|
|
|
474,000
|
|
|
478,985
|
Republic of Argentina, 8.28%, 2033
|
|
|
3,570,690
|
|
|
2,651,238
|
Republic of Argentina, 2.5% to 2019, 3.75% to 2029,
5.25% to 2038
|
|
|
1,888,000
|
|
|
708,000
|
Republic of Argentina, FRN, 0.389%, 2012
|
|
|
1,953,150
|
|
|
1,755,957
|
Republic of Colombia, 7.375%, 2019
|
|
|
716,000
|
|
|
822,684
|
Republic of Colombia, 8.125%, 2024
|
|
|
679,000
|
|
|
816,498
|
14
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
Value ($)
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
Emerging Market Sovereign - continued
|
|
|
|
|
|
|
Republic of Colombia, 7.375%, 2037
|
|
$
|
946,000
|
|
$
|
1,054,790
|
Republic of Colombia, 6.125%, 2041
|
|
|
1,768,000
|
|
|
1,684,020
|
Republic of Indonesia, 6.875%, 2018
|
|
|
1,676,000
|
|
|
1,864,550
|
Republic of Indonesia, 6.875%, 2018 (n)
|
|
|
516,000
|
|
|
574,050
|
Republic of Indonesia, 11.625%, 2019 (n)
|
|
|
872,000
|
|
|
1,260,040
|
Republic of Indonesia, 11.625%, 2019
|
|
|
733,000
|
|
|
1,059,185
|
Republic of Indonesia, 5.875%, 2020 (n)
|
|
|
684,000
|
|
|
713,925
|
Republic of Indonesia, 7.75%, 2038 (n)
|
|
|
1,559,000
|
|
|
1,820,133
|
Republic of Panama, 8.875%, 2027
|
|
|
1,273,000
|
|
|
1,680,360
|
Republic of Panama, 9.375%, 2029
|
|
|
1,746,000
|
|
|
2,409,480
|
Republic of Panama, 6.7%, 2036
|
|
|
265,000
|
|
|
288,188
|
Republic of Peru, 7.35%, 2025
|
|
|
544,000
|
|
|
633,760
|
Republic of Peru, 8.75%, 2033
|
|
|
2,935,000
|
|
|
3,874,200
|
Republic of Philippines, 9.375%, 2017
|
|
|
1,576,000
|
|
|
2,011,291
|
Republic of Philippines, 6.5%, 2020
|
|
|
1,686,000
|
|
|
1,848,193
|
Republic of Philippines, 6.375%, 2034
|
|
|
2,181,000
|
|
|
2,172,712
|
Republic of Serbia, 6.75%, 2024
|
|
|
821,000
|
|
|
816,895
|
Republic of South Africa, 5.5%, 2020
|
|
|
999,000
|
|
|
1,013,985
|
Republic of Turkey, 7%, 2019
|
|
|
1,953,000
|
|
|
2,148,300
|
Republic of Venezuela, 5.75%, 2016
|
|
|
3,742,000
|
|
|
2,694,240
|
Republic of Venezuela, 7.65%, 2025
|
|
|
1,345,000
|
|
|
867,525
|
Republic of Vietnam, 6.75%, 2020
|
|
|
808,000
|
|
|
843,350
|
Russian Federation, 7.5%, 2030
|
|
|
2,071,840
|
|
|
2,373,500
|
Ukraine Government International, 6.58%, 2016
|
|
|
1,418,000
|
|
|
1,372,766
|
United Mexican States, 5.625%, 2017
|
|
|
1,364,000
|
|
|
1,462,890
|
United Mexican States, 5.95%, 2019
|
|
|
268,000
|
|
|
288,368
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
46,525,665
|
Energy - Independent - 3.6%
|
|
|
|
|
|
|
Anadarko Petroleum Corp., 6.45%, 2036
|
|
$
|
270,000
|
|
$
|
280,477
|
Anadarko Petroleum Corp., 6.2%, 2040
|
|
|
590,000
|
|
|
597,197
|
Chaparral Energy, Inc., 8.875%, 2017
|
|
|
1,200,000
|
|
|
1,170,000
|
Chesapeake Energy Corp., 9.5%, 2015
|
|
|
505,000
|
|
|
553,606
|
Chesapeake Energy Corp., 6.375%, 2015
|
|
|
695,000
|
|
|
688,050
|
Chesapeake Energy Corp., 6.875%, 2016
|
|
|
710,000
|
|
|
708,225
|
Forest Oil Corp., 8.5%, 2014
|
|
|
245,000
|
|
|
260,312
|
Hilcorp Energy I LP, 9%, 2016 (n)
|
|
|
1,415,000
|
|
|
1,457,450
|
McMoRan Exploration Co., 11.875%, 2014
|
|
|
1,045,000
|
|
|
1,115,538
|
Newfield Exploration Co., 6.625%, 2014
|
|
|
435,000
|
|
|
442,613
|
Newfield Exploration Co., 6.625%, 2016
|
|
|
400,000
|
|
|
405,000
|
OPTI Canada, Inc., 8.25%, 2014
|
|
|
1,040,000
|
|
|
998,400
|
Penn Virginia Corp., 10.375%, 2016
|
|
|
1,610,000
|
|
|
1,762,950
|
Petrohawk Energy Corp., 10.5%, 2014
|
|
|
845,000
|
|
|
933,725
|
15
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
Value ($)
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
Energy - Independent - continued
|
|
|
|
|
|
|
Pioneer Natural Resources Co., 6.875%, 2018
|
|
$
|
1,400,000
|
|
$
|
1,444,513
|
Pioneer Natural Resources Co., 7.5%, 2020
|
|
|
1,015,000
|
|
|
1,078,688
|
Plains Exploration & Production Co., 7%, 2017
|
|
|
1,795,000
|
|
|
1,777,050
|
Quicksilver Resources, Inc., 8.25%, 2015
|
|
|
1,120,000
|
|
|
1,153,600
|
Range Resources Corp., 8%, 2019
|
|
|
960,000
|
|
|
1,036,800
|
SandRidge Energy, Inc., 8%, 2018 (n)
|
|
|
845,000
|
|
|
830,213
|
Southwestern Energy Co., 7.5%, 2018
|
|
|
1,400,000
|
|
|
1,529,500
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
20,223,907
|
Energy - Integrated - 0.9%
|
|
|
|
|
|
|
CCL Finance Ltd., 9.5%, 2014 (n)
|
|
$
|
2,118,000
|
|
$
|
2,425,110
|
CCL Finance Ltd., 9.5%, 2014
|
|
|
471,000
|
|
|
539,295
|
Pacific Rubiales Energy Corp., 8.75%, 2016 (n)
|
|
|
1,327,000
|
|
|
1,463,017
|
TNK-BP Finance S.A., 6.25%, 2015 (n)
|
|
|
292,000
|
|
|
303,680
|
TNK-BP Finance S.A., 7.25%, 2020 (n)
|
|
|
357,000
|
|
|
367,710
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,098,812
|
Entertainment - 0.8%
|
|
|
|
|
|
|
AMC Entertainment, Inc., 11%, 2016
|
|
$
|
1,895,000
|
|
$
|
2,027,650
|
AMC Entertainment, Inc., 8.75%, 2019
|
|
|
890,000
|
|
|
943,400
|
Cinemark USA, Inc., 8.625%, 2019
|
|
|
1,220,000
|
|
|
1,293,200
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,264,250
|
Financial Institutions - 2.5%
|
|
|
|
|
|
|
CIT Group, Inc., 7%, 2014
|
|
$
|
1,090,000
|
|
$
|
1,051,850
|
CIT Group, Inc., 7%, 2017
|
|
|
3,250,000
|
|
|
3,091,562
|
CIT Group, Inc., 10.25%, 2017
|
|
|
600,000
|
|
|
622,500
|
GMAC, Inc., 7%, 2012
|
|
|
330,000
|
|
|
335,362
|
GMAC, Inc., 6.75%, 2014
|
|
|
1,870,000
|
|
|
1,865,325
|
GMAC, Inc., 8%, 2031
|
|
|
2,468,000
|
|
|
2,406,300
|
International Lease Finance Corp., 5.875%, 2013
|
|
|
1,248,000
|
|
|
1,178,340
|
International Lease Finance Corp., 5.625%, 2013
|
|
|
2,310,000
|
|
|
2,144,951
|
International Lease Finance Corp., 8.75%, 2017 (n)
|
|
|
845,000
|
|
|
838,662
|
Nationstar Mortgage LLC, 10.875%, 2015 (z)
|
|
|
390,000
|
|
|
376,350
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
13,911,202
|
Food & Beverages - 2.3%
|
|
|
|
|
|
|
Anheuser-Busch InBev, 7.75%, 2019 (n)
|
|
$
|
2,000,000
|
|
$
|
2,407,272
|
ARAMARK Corp., 8.5%, 2015
|
|
|
1,495,000
|
|
|
1,534,244
|
B&G Foods, Inc., 7.625%, 2018
|
|
|
395,000
|
|
|
405,862
|
CEDC Finance Corp. International, Inc., 9.125%, 2016 (n)
|
|
|
1,310,000
|
|
|
1,388,600
|
Constellation Brands, Inc., 7.25%, 2016
|
|
|
1,615,000
|
|
|
1,657,394
|
Del Monte Foods Co., 6.75%, 2015
|
|
|
1,825,000
|
|
|
1,877,469
|
16
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
Value ($)
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
Food & Beverages - continued
|
|
|
|
|
|
|
Pinnacle Foods Finance LLC, 9.25%, 2015
|
|
$
|
1,115,000
|
|
$
|
1,159,600
|
Smithfield Foods, Inc., 7.75%, 2017
|
|
|
460,000
|
|
|
454,825
|
TreeHouse Foods, Inc., 7.75%, 2018
|
|
|
685,000
|
|
|
714,112
|
Tyson Foods, Inc., 7.85%, 2016
|
|
|
1,520,000
|
|
|
1,649,200
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
13,248,578
|
Food & Drug Stores - 0.3%
|
|
|
|
|
|
|
CVS Caremark Corp., 6.125%, 2016
|
|
$
|
1,300,000
|
|
$
|
1,447,485
|
|
|
|
Forest & Paper Products - 2.1%
|
|
|
|
|
|
|
Boise, Inc., 8%, 2020 (n)
|
|
$
|
1,100,000
|
|
$
|
1,133,000
|
Buckeye Technologies, Inc., 8.5%, 2013
|
|
|
507,000
|
|
|
517,774
|
Cascades, Inc., 7.75%, 2017 (n)
|
|
|
1,025,000
|
|
|
1,042,937
|
Fibria, 9.25%, 2019 (n)
|
|
|
310,000
|
|
|
360,375
|
Fibria Overseas Finance Ltd., 7.5%, 2020 (z)
|
|
|
1,030,000
|
|
|
1,033,090
|
Georgia-Pacific Corp., 7.125%, 2017 (n)
|
|
|
2,395,000
|
|
|
2,526,725
|
Georgia-Pacific Corp., 8%, 2024
|
|
|
890,000
|
|
|
961,200
|
Georgia-Pacific Corp., 7.25%, 2028
|
|
|
270,000
|
|
|
274,050
|
Graphic Packaging International Corp., 9.5%, 2013
|
|
|
840,000
|
|
|
863,100
|
Grupo Papelero Scribe S.A., 8.875%, 2020 (n)
|
|
|
698,000
|
|
|
680,413
|
Jefferson Smurfit Corp., 8.25%, 2012 (d)
|
|
|
630,000
|
|
|
632,363
|
JSG Funding PLC, 7.75%, 2015
|
|
|
65,000
|
|
|
63,456
|
Smurfit Kappa Group PLC, 7.75%, 2019 (n)
|
|
EUR
|
600,000
|
|
|
830,825
|
UPM-Kymmene Corp., 6.125%, 2012
|
|
EUR
|
100,000
|
|
|
140,286
|
Votorantim Participacoes S.A., 6.75%, 2021 (n)
|
|
$
|
883,000
|
|
|
889,622
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
11,949,216
|
Gaming & Lodging - 3.3%
|
|
|
|
|
|
|
Ameristar Casinos, Inc., 9.25%, 2014
|
|
$
|
1,245,000
|
|
$
|
1,307,250
|
Boyd Gaming Corp., 6.75%, 2014
|
|
|
690,000
|
|
|
638,250
|
Firekeepers Development Authority, 13.875%, 2015 (n)
|
|
|
360,000
|
|
|
417,600
|
Fontainebleau Las Vegas Holdings LLC, 10.25%, 2015 (d)(n)
|
|
|
405,000
|
|
|
5,569
|
Gaylord Entertainment Co., 6.75%, 2014
|
|
|
1,115,000
|
|
|
1,078,763
|
GWR Operating Partnership LLP, 10.875%, 2017 (z)
|
|
|
710,000
|
|
|
706,450
|
Harrahs Operating Co., Inc., 11.25%, 2017
|
|
|
1,500,000
|
|
|
1,635,000
|
Harrahs Operating Co., Inc., 10%, 2018
|
|
|
2,000
|
|
|
1,730
|
Harrahs Operating Co., Inc., 10%, 2018
|
|
|
490,000
|
|
|
423,850
|
Host Hotels & Resorts, Inc., 6.75%, 2016
|
|
|
990,000
|
|
|
1,009,800
|
Host Hotels & Resorts, Inc., 9%, 2017 (n)
|
|
|
745,000
|
|
|
812,050
|
MGM Mirage, 10.375%, 2014 (n)
|
|
|
190,000
|
|
|
208,050
|
MGM Mirage, 7.5%, 2016
|
|
|
1,020,000
|
|
|
900,150
|
MGM Mirage, 11.125%, 2017 (n)
|
|
|
470,000
|
|
|
534,037
|
17
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
Value ($)
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
Gaming & Lodging - continued
|
|
|
|
|
|
|
MGM Mirage, 11.375%, 2018 (n)
|
|
$
|
1,295,000
|
|
$
|
1,330,612
|
MGM Mirage, 9%, 2020 (n)
|
|
|
545,000
|
|
|
572,250
|
Midwest Gaming, Inc., 11.625%, 2016 (n)
|
|
|
305,000
|
|
|
313,387
|
Penn National Gaming, Inc., 8.75%, 2019 (n)
|
|
|
1,555,000
|
|
|
1,621,087
|
Pinnacle Entertainment, Inc., 7.5%, 2015
|
|
|
720,000
|
|
|
693,000
|
Royal Caribbean Cruises Ltd., 7%, 2013
|
|
|
320,000
|
|
|
332,000
|
Royal Caribbean Cruises Ltd., 11.875%, 2015
|
|
|
1,425,000
|
|
|
1,717,125
|
Starwood Hotels & Resorts Worldwide, Inc., 6.75%, 2018
|
|
|
990,000
|
|
|
1,019,700
|
Station Casinos, Inc., 6%, 2012 (d)
|
|
|
1,080,000
|
|
|
78,300
|
Station Casinos, Inc., 6.5%, 2014 (d)
|
|
|
325,000
|
|
|
2,844
|
Station Casinos, Inc., 6.875%, 2016 (d)
|
|
|
1,450,000
|
|
|
12,760
|
Wyndham Worldwide Corp., 6%, 2016
|
|
|
1,415,000
|
|
|
1,409,090
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
18,780,704
|
Industrial - 0.8%
|
|
|
|
|
|
|
Altra Holdings, Inc., 8.125%, 2016 (n)
|
|
$
|
595,000
|
|
$
|
604,670
|
Aquilex Corp., 11.125%, 2016 (n)
|
|
|
270,000
|
|
|
292,950
|
Baldor Electric Co., 8.625%, 2017
|
|
|
1,760,000
|
|
|
1,861,200
|
Great Lakes Dredge & Dock Corp., 7.75%, 2013
|
|
|
725,000
|
|
|
733,156
|
Johnsondiversey Holdings, Inc., 8.25%, 2019 (n)
|
|
|
720,000
|
|
|
756,000
|
RBS Global, Inc. & Rexnord LLC, 8.5%, 2018 (z)
|
|
|
510,000
|
|
|
511,275
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,759,251
|
Insurance - 2.1%
|
|
|
|
|
|
|
AIG SunAmerica Global Financing X, 6.9%, 2032 (n)
|
|
$
|
2,384,000
|
|
$
|
2,375,728
|
Allianz AG, 5.5% to 2014, FRN to 2049
|
|
EUR
|
140,000
|
|
|
182,675
|
American International Group, Inc., 8.175%, to 2038,
FRN to 2058
|
|
$
|
1,670,000
|
|
|
1,446,637
|
ING Groep N.V., 5.775% to 2015, FRN to 2049
|
|
|
4,595,000
|
|
|
3,965,163
|
MetLife, Inc., 9.25% to 2038, FRN to 2068 (n)
|
|
|
1,500,000
|
|
|
1,755,000
|
Unum Group, 7.125%, 2016
|
|
|
1,829,000
|
|
|
2,009,361
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
11,734,564
|
Insurance - Property & Casualty - 1.1%
|
|
|
|
|
|
|
Liberty Mutual Group, Inc., 10.75% to 2038, FRN to 2058 (n)
|
|
$
|
1,615,000
|
|
$
|
1,881,475
|
USI Holdings Corp., FRN, 4.31%, 2014 (n)
|
|
|
1,495,000
|
|
|
1,274,488
|
ZFS Finance USA Trust II, 6.45% to 2016, FRN to 2065 (n)
|
|
|
2,310,000
|
|
|
2,229,150
|
ZFS Finance USA Trust IV, 5.875% to 2012, FRN to 2032 (n)
|
|
|
146,000
|
|
|
139,485
|
ZFS Finance USA Trust V, 6.5% to 2017, FRN to 2037 (n)
|
|
|
680,000
|
|
|
651,100
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,175,698
|
International Market Quasi-Sovereign - 0.8%
|
|
|
|
|
|
|
Bank of Ireland, 2.75%, 2012 (n)
|
|
$
|
1,520,000
|
|
$
|
1,516,599
|
18
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
Value ($)
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
International Market Quasi-Sovereign - continued
|
|
|
|
|
|
|
Canada Housing Trust, 4.6%, 2011 (n)
|
|
CAD
|
294,000
|
|
$
|
300,851
|
Irish Life & Permanent PLC, 3.6%, 2013 (n)
|
|
$
|
2,500,000
|
|
|
2,519,785
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,337,235
|
International Market Sovereign - 6.7%
|
|
|
|
|
|
|
Federal Republic of Germany, 5.25%, 2010
|
|
EUR
|
1,342,000
|
|
$
|
1,801,172
|
Federal Republic of Germany, 3.75%, 2015
|
|
EUR
|
1,318,000
|
|
|
1,897,696
|
Federal Republic of Germany, 4.25%, 2018
|
|
EUR
|
357,000
|
|
|
526,297
|
Federal Republic of Germany, 6.25%, 2030
|
|
EUR
|
489,000
|
|
|
887,023
|
Government of Canada, 4.5%, 2015
|
|
CAD
|
531,000
|
|
|
559,861
|
Government of Canada, 5.75%, 2033
|
|
CAD
|
96,000
|
|
|
118,409
|
Government of Japan, 1.5%, 2012
|
|
JPY
|
318,000,000
|
|
|
3,480,241
|
Government of Japan, 1.3%, 2014
|
|
JPY
|
131,000,000
|
|
|
1,448,001
|
Government of Japan, 1.7%, 2017
|
|
JPY
|
372,600,000
|
|
|
4,215,598
|
Government of Japan, 2.2%, 2027
|
|
JPY
|
358,200,000
|
|
|
3,967,110
|
Kingdom of Belgium, 5.5%, 2017
|
|
EUR
|
218,000
|
|
|
338,192
|
Kingdom of Spain, 5.35%, 2011
|
|
EUR
|
1,307,000
|
|
|
1,830,521
|
Kingdom of Sweden, 4.5%, 2015
|
|
SEK
|
1,965,000
|
|
|
300,914
|
Kingdom of the Netherlands, 3.75%, 2014
|
|
EUR
|
770,000
|
|
|
1,105,347
|
Kingdom of the Netherlands, 5.5%, 2028
|
|
EUR
|
262,000
|
|
|
431,340
|
Republic of Austria, 4.65%, 2018
|
|
EUR
|
774,000
|
|
|
1,144,232
|
Republic of Finland, 3.875%, 2017
|
|
EUR
|
531,000
|
|
|
756,589
|
Republic of France, 4.75%, 2012
|
|
EUR
|
406,000
|
|
|
589,431
|
Republic of France, 4.75%, 2035
|
|
EUR
|
789,000
|
|
|
1,194,960
|
Republic of Ireland, 4.6%, 2016
|
|
EUR
|
939,000
|
|
|
1,256,920
|
Republic of Italy, 4.75%, 2013
|
|
EUR
|
3,231,000
|
|
|
4,606,705
|
Republic of Italy, 5.25%, 2017
|
|
EUR
|
1,575,000
|
|
|
2,358,324
|
United Kingdom Treasury, 8%, 2015
|
|
GBP
|
943,000
|
|
|
1,824,959
|
United Kingdom Treasury, 8%, 2021
|
|
GBP
|
304,000
|
|
|
631,026
|
United Kingdom Treasury, 4.25%, 2036
|
|
GBP
|
432,000
|
|
|
638,178
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
37,909,046
|
Machinery & Tools - 0.6%
|
|
|
|
|
|
|
Case Corp., 7.25%, 2016
|
|
$
|
440,000
|
|
$
|
458,700
|
Case New Holland, Inc., 7.125%, 2014
|
|
|
1,735,000
|
|
|
1,774,038
|
Rental Service Corp., 9.5%, 2014
|
|
|
1,120,000
|
|
|
1,150,800
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,383,538
|
Major Banks - 3.1%
|
|
|
|
|
|
|
Banco Internacional del Peru, 8.5% to 2020, FRN to 2070 (z)
|
|
$
|
249,000
|
|
$
|
256,470
|
Banco PanAmericano S.A., 8.5%, 2020 (z)
|
|
|
665,000
|
|
|
660,013
|
Bank of America Corp., 5.65%, 2018
|
|
|
2,000,000
|
|
|
2,024,288
|
Bank of America Corp., 8% to 2018, FRN to 2049
|
|
|
3,040,000
|
|
|
3,060,277
|
19
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
Value ($)
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
Major Banks - continued
|
|
|
|
|
|
|
Bank of Ireland, 7.4%, 2049
|
|
EUR
|
250,000
|
|
$
|
282,933
|
BNP Paribas, 5.186% to 2015, FRN to 2049 (n)
|
|
$
|
2,099,000
|
|
|
1,931,080
|
BNP Paribas Capital Trust III, 6.625% to 2011, FRN to 2049
|
|
EUR
|
100,000
|
|
|
131,880
|
Credit Suisse (USA), Inc., 6%, 2018
|
|
$
|
1,500,000
|
|
|
1,603,242
|
Goldman Sachs Group, Inc., 7.5%, 2019
|
|
|
2,000,000
|
|
|
2,220,612
|
JPMorgan Chase Capital XXVII, 7%, 2039
|
|
|
410,000
|
|
|
421,489
|
Morgan Stanley, 6.625%, 2018
|
|
|
2,000,000
|
|
|
2,120,496
|
MUFG Capital Finance 1 Ltd., 6.346% to 2016, FRN to 2049
|
|
|
599,000
|
|
|
595,176
|
National Westminster Bank PLC, FRN, 2.784%, 2049
|
|
EUR
|
330,000
|
|
|
342,715
|
Royal Bank of Scotland Group PLC, 6.99% to 2017,
FRN to 2049 (n)
|
|
$
|
435,000
|
|
|
319,725
|
Royal Bank of Scotland Group PLC, FRN, 7.648%, 2049
|
|
|
835,000
|
|
|
713,925
|
UniCredito Luxembourg Finance S.A., 6%, 2017 (n)
|
|
|
990,000
|
|
|
1,020,583
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
17,704,904
|
Medical & Health Technology & Services - 5.2%
|
|
|
|
|
|
|
Biomet, Inc., 10%, 2017
|
|
$
|
560,000
|
|
$
|
616,000
|
Biomet, Inc., 11.625%, 2017
|
|
|
925,000
|
|
|
1,036,000
|
Community Health Systems, Inc., 8.875%, 2015
|
|
|
2,955,000
|
|
|
3,102,750
|
Cooper Cos., Inc., 7.125%, 2015
|
|
|
1,020,000
|
|
|
1,023,825
|
Dasa Finance Corp., 8.75%, 2018
|
|
|
800,000
|
|
|
864,000
|
DaVita, Inc., 6.625%, 2013
|
|
|
198,000
|
|
|
199,980
|
DaVita, Inc., 7.25%, 2015
|
|
|
1,356,000
|
|
|
1,383,120
|
Fisher Scientific International, Inc., 6.125%, 2015
|
|
|
1,500,000
|
|
|
1,556,250
|
Fresenius Medical Care AG & Co. KGaA, 9%, 2015 (n)
|
|
|
875,000
|
|
|
984,375
|
HCA, Inc., 8.75%, 2010
|
|
|
1,220,000
|
|
|
1,244,400
|
HCA, Inc., 9.25%, 2016
|
|
|
4,555,000
|
|
|
4,925,094
|
HCA, Inc., 8.5%, 2019 (n)
|
|
|
765,000
|
|
|
840,544
|
HealthSouth Corp., 8.125%, 2020
|
|
|
1,810,000
|
|
|
1,828,100
|
Owens & Minor, Inc., 6.35%, 2016
|
|
|
1,420,000
|
|
|
1,376,081
|
Psychiatric Solutions, Inc., 7.75%, 2015
|
|
|
410,000
|
|
|
418,200
|
Psychiatric Solutions, Inc., 7.75%, 2015 (n)
|
|
|
440,000
|
|
|
448,800
|
Tenet Healthcare Corp., 9.25%, 2015
|
|
|
1,560,000
|
|
|
1,669,200
|
U.S. Oncology, Inc., 10.75%, 2014
|
|
|
1,090,000
|
|
|
1,136,325
|
United Surgical Partners International, Inc., 8.875%, 2017
|
|
|
325,000
|
|
|
338,406
|
United Surgical Partners International, Inc., 9.25%, 2017 (p)
|
|
|
415,000
|
|
|
435,750
|
Universal Hospital Services, Inc., 8.5%, 2015 (p)
|
|
|
1,300,000
|
|
|
1,290,250
|
Vanguard Health Systems, Inc., 8%, 2018 (n)
|
|
|
965,000
|
|
|
955,350
|
VWR Funding, Inc., 10.25%, 2015 (p)
|
|
|
1,690,000
|
|
|
1,782,950
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
29,455,750
|
Metals & Mining - 2.7%
|
|
|
|
|
|
|
Arch Western Finance LLC, 6.75%, 2013
|
|
$
|
1,410,000
|
|
$
|
1,420,575
|
20
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
Value ($)
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
Metals & Mining - continued
|
|
|
|
|
|
|
Bumi Capital Pte Ltd., 12%, 2016 (n)
|
|
$
|
734,000
|
|
$
|
810,189
|
Cloud Peak Energy, Inc., 8.25%, 2017 (n)
|
|
|
725,000
|
|
|
743,125
|
Cloud Peak Energy, Inc., 8.5%, 2019 (n)
|
|
|
725,000
|
|
|
746,750
|
CONSOL Energy, Inc., 8%, 2017 (n)
|
|
|
755,000
|
|
|
797,469
|
CONSOL Energy, Inc., 8.25%, 2020 (n)
|
|
|
505,000
|
|
|
537,825
|
FMG Finance Ltd., 10.625%, 2016 (n)
|
|
|
960,000
|
|
|
1,128,000
|
Gerdau Holdings, Inc., 7%, 2020 (n)
|
|
|
1,226,000
|
|
|
1,282,702
|
International Steel Group, Inc., 6.5%, 2014
|
|
|
1,300,000
|
|
|
1,429,708
|
Peabody Energy Corp., 5.875%, 2016
|
|
|
1,420,000
|
|
|
1,412,900
|
Rearden G Holdings Eins GmbH, 7.875%, 2020 (n)
|
|
|
213,000
|
|
|
220,135
|
Southern Copper Corp., 5.375%, 2020
|
|
|
220,000
|
|
|
221,746
|
Southern Copper Corp., 7.5%, 2035
|
|
|
2,746,000
|
|
|
2,938,127
|
Southern Copper Corp., 6.75%, 2040
|
|
|
744,000
|
|
|
749,896
|
U.S. Steel Corp., 7.375%, 2020
|
|
|
760,000
|
|
|
780,900
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
15,220,047
|
Natural Gas - Distribution - 0.6%
|
|
|
|
|
|
|
AmeriGas Partners LP, 7.25%, 2015
|
|
$
|
1,830,000
|
|
$
|
1,866,600
|
AmeriGas Partners LP, 7.125%, 2016
|
|
|
15,000
|
|
|
15,338
|
Ferrellgas Partners LP, 8.625%, 2020
|
|
|
895,000
|
|
|
910,662
|
Inergy LP, 6.875%, 2014
|
|
|
650,000
|
|
|
650,000
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,442,600
|
Natural Gas - Pipeline - 1.7%
|
|
|
|
|
|
|
Atlas Pipeline Partners LP, 8.125%, 2015
|
|
$
|
1,800,000
|
|
$
|
1,773,000
|
Atlas Pipeline Partners LP, 8.75%, 2018
|
|
|
375,000
|
|
|
369,375
|
CenterPoint Energy, Inc., 7.875%, 2013
|
|
|
1,250,000
|
|
|
1,433,750
|
Crosstex Energy, Inc., 8.875%, 2018 (n)
|
|
|
500,000
|
|
|
520,000
|
El Paso Corp., 8.25%, 2016
|
|
|
925,000
|
|
|
1,003,625
|
El Paso Corp., 7%, 2017
|
|
|
1,330,000
|
|
|
1,366,425
|
El Paso Corp., 7.75%, 2032
|
|
|
749,000
|
|
|
750,511
|
Kinder Morgan Energy Partners LP, 5.125%, 2014
|
|
|
1,147,000
|
|
|
1,236,360
|
MarkWest Energy Partners LP, 6.875%, 2014
|
|
|
925,000
|
|
|
906,500
|
MarkWest Energy Partners LP, 8.75%, 2018
|
|
|
220,000
|
|
|
227,975
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
9,587,521
|
Network & Telecom - 3.2%
|
|
|
|
|
|
|
Axtel S.A.B. de C.V., 9%, 2019 (n)
|
|
$
|
1,530,000
|
|
$
|
1,545,300
|
BellSouth Corp., 6.55%, 2034
|
|
|
3,213,000
|
|
|
3,402,917
|
Cincinnati Bell, Inc., 8.25%, 2017
|
|
|
1,080,000
|
|
|
1,096,200
|
Cincinnati Bell, Inc., 8.75%, 2018
|
|
|
1,220,000
|
|
|
1,235,250
|
Citizens Communications Co., 9%, 2031
|
|
|
1,230,000
|
|
|
1,242,300
|
New Communications Holdings, Inc., 8.25%, 2017 (z)
|
|
|
290,000
|
|
|
298,700
|
21
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
Value ($)
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
Network & Telecom - continued
|
|
|
|
|
|
|
New Communications Holdings, Inc., 8.5%, 2020 (z)
|
|
$
|
670,000
|
|
$
|
690,100
|
Nordic Telephone Co. Holdings, 8.875%, 2016 (n)
|
|
|
715,000
|
|
|
765,944
|
Qwest Communications International, Inc., 8%, 2015 (n)
|
|
|
1,480,000
|
|
|
1,587,300
|
Qwest Communications International, Inc., 7.125%, 2018 (n)
|
|
|
950,000
|
|
|
980,875
|
Qwest Corp., 8.375%, 2016
|
|
|
457,000
|
|
|
520,980
|
Telefonica Emisiones S.A.U., 2.582%, 2013
|
|
|
1,050,000
|
|
|
1,052,779
|
Telemar Norte Leste S.A., 9.5%, 2019 (n)
|
|
|
1,753,000
|
|
|
2,086,070
|
Windstream Corp., 8.625%, 2016
|
|
|
1,545,000
|
|
|
1,581,694
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
18,086,409
|
Oil Services - 0.8%
|
|
|
|
|
|
|
Allis-Chalmers Energy, Inc., 8.5%, 2017
|
|
$
|
930,000
|
|
$
|
855,600
|
Basic Energy Services, Inc., 7.125%, 2016
|
|
|
335,000
|
|
|
297,313
|
Edgen Murray Corp., 12.25%, 2015 (z)
|
|
|
360,000
|
|
|
354,600
|
Expro Finance Luxembourg, 8.5%, 2016 (n)
|
|
|
620,000
|
|
|
635,500
|
McJunkin Red Man Holding Corp., 9.5%, 2016 (n)
|
|
|
1,095,000
|
|
|
1,140,169
|
Pioneer Drilling Co., 9.875%, 2018 (n)
|
|
|
790,000
|
|
|
813,700
|
Trico Shipping A.S., 11.875%, 2014 (n)
|
|
|
335,000
|
|
|
338,769
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,435,651
|
Oils - 0.1%
|
|
|
|
|
|
|
Petroplus Holdings AG, 9.375%, 2019 (n)
|
|
$
|
650,000
|
|
$
|
620,750
|
|
|
|
Other Banks & Diversified Financials - 4.4%
|
|
|
|
|
|
|
Banco ABC Brasil S.A., 7.875%, 2020 (n)
|
|
$
|
505,000
|
|
$
|
491,112
|
Banco BMG S.A., 9.95%, 2019 (n)
|
|
|
1,594,000
|
|
|
1,731,809
|
Banco Votorantim S.A., 7.375%, 2020 (n)
|
|
|
1,329,000
|
|
|
1,368,870
|
Bank of China (Hong Kong) Ltd., 5.55%, 2020 (z)
|
|
|
1,957,000
|
|
|
1,965,456
|
Bank of Moscow Capital PLC, 6.699%, 2015 (n)
|
|
|
2,483,000
|
|
|
2,492,311
|
Bosphorus Financial Services Ltd., FRN, 2.05%, 2012
|
|
|
1,000,000
|
|
|
977,447
|
Capital One Financial Corp., 10.25%, 2039
|
|
|
1,110,000
|
|
|
1,332,000
|
Citigroup Capital XXI, FRN, 8.3%, 2057
|
|
|
1,250,000
|
|
|
1,250,000
|
Citigroup, Inc., 6.125%, 2018
|
|
|
1,500,000
|
|
|
1,555,449
|
Financiera Independencia, 10%, 2015 (n)
|
|
|
1,127,000
|
|
|
1,135,452
|
Groupe BPCE S.A., 12.5% to 2019, FRN to 2049 (n)
|
|
|
1,958,000
|
|
|
2,354,299
|
Grupo Financiero BBVA Bancomer S.A. de C.V., 7.25%, 2020 (z)
|
|
|
2,209,000
|
|
|
2,241,572
|
LBG Capital No.1 PLC, 7.875%, 2020 (n)
|
|
|
1,140,000
|
|
|
1,043,100
|
Resona Bank Ltd., 5.85% to 2016, FRN to 2049 (n)
|
|
|
626,000
|
|
|
622,245
|
Santander UK PLC, 8.963% to 2030, FRN to 2049
|
|
|
855,000
|
|
|
949,548
|
VTB Capital S.A., 6.465%, 2015 (n)
|
|
|
1,445,000
|
|
|
1,463,062
|
Woori Bank, 6.125% to 2011, FRN to 2016 (n)
|
|
|
1,510,000
|
|
|
1,541,168
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
24,514,900
|
22
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
Value ($)
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
Pollution Control - 0.1%
|
|
|
|
|
|
|
Allied Waste North America, Inc., 7.125%, 2016
|
|
$
|
625,000
|
|
$
|
682,031
|
|
|
|
Precious Metals & Minerals - 0.6%
|
|
|
|
|
|
|
Alrosa Finance S.A., 8.875%, 2014
|
|
$
|
358,000
|
|
$
|
391,115
|
Teck Resources Ltd., 9.75%, 2014
|
|
|
985,000
|
|
|
1,196,775
|
Teck Resources Ltd., 10.25%, 2016
|
|
|
745,000
|
|
|
897,725
|
Teck Resources Ltd., 10.75%, 2019
|
|
|
750,000
|
|
|
933,750
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,419,365
|
Printing & Publishing - 0.6%
|
|
|
|
|
|
|
American Media Operations, Inc., 9%, 2013 (p)(z)
|
|
$
|
31,123
|
|
$
|
18,798
|
American Media Operations, Inc., 14%, 2013 (p)(z)
|
|
|
318,400
|
|
|
184,177
|
McClatchy Co., 11.5%, 2017 (n)
|
|
|
505,000
|
|
|
540,350
|
Nielsen Finance LLC, 10%, 2014
|
|
|
1,835,000
|
|
|
1,926,750
|
Nielsen Finance LLC, 11.5%, 2016
|
|
|
725,000
|
|
|
822,875
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,492,950
|
Railroad & Shipping - 0.3%
|
|
|
|
|
|
|
Kansas City Southern Railway, 8%, 2015
|
|
$
|
1,580,000
|
|
$
|
1,670,850
|
|
|
|
Real Estate - 0.6%
|
|
|
|
|
|
|
CB Richard Ellis Group, Inc., 11.625%, 2017
|
|
$
|
365,000
|
|
$
|
414,275
|
Country Garden Holdings Co. Ltd., 11.25%, 2017 (z)
|
|
|
296,000
|
|
|
292,300
|
Simon Property Group, Inc., REIT, 10.35%, 2019
|
|
|
2,200,000
|
|
|
2,850,828
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,557,403
|
Retailers - 2.5%
|
|
|
|
|
|
|
Couche-Tard, Inc., 7.5%, 2013
|
|
$
|
715,000
|
|
$
|
729,300
|
Dollar General Corp., 11.875%, 2017 (p)
|
|
|
454,000
|
|
|
533,450
|
Express Parent LLC, 8.75%, 2018 (n)
|
|
|
550,000
|
|
|
566,500
|
Home Depot, Inc., 5.875%, 2036
|
|
|
846,000
|
|
|
846,503
|
Limited Brands, Inc., 6.9%, 2017
|
|
|
630,000
|
|
|
655,200
|
Limited Brands, Inc., 6.95%, 2033
|
|
|
360,000
|
|
|
324,000
|
Macys, Inc., 5.75%, 2014
|
|
|
1,725,000
|
|
|
1,804,781
|
Macys, Inc., 5.9%, 2016
|
|
|
1,080,000
|
|
|
1,112,400
|
Neiman Marcus Group, Inc., 10.375%, 2015
|
|
|
2,250,000
|
|
|
2,370,938
|
QVC, Inc., 7.375%, 2020 (z)
|
|
|
800,000
|
|
|
812,000
|
Sally Beauty Holdings, Inc., 10.5%, 2016
|
|
|
1,255,000
|
|
|
1,377,363
|
Toys R Us, Inc., 7.625%, 2011
|
|
|
370,000
|
|
|
383,875
|
Toys R Us, Inc., 10.75%, 2017 (n)
|
|
|
1,545,000
|
|
|
1,753,575
|
Toys R Us, Inc., 8.5%, 2017 (n)
|
|
|
660,000
|
|
|
697,950
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
13,967,835
|
23
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
Value ($)
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
Specialty Stores - 0.1%
|
|
|
|
|
|
|
GSC Holdings Corp., 8%, 2012
|
|
$
|
440,000
|
|
$
|
456,500
|
Payless ShoeSource, Inc., 8.25%, 2013
|
|
|
227,000
|
|
|
232,108
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
688,608
|
Supermarkets - 0.3%
|
|
|
|
|
|
|
Delhaize America, Inc., 9%, 2031
|
|
$
|
983,000
|
|
$
|
1,306,119
|
SUPERVALU, Inc., 8%, 2016
|
|
|
575,000
|
|
|
585,062
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,891,181
|
Supranational - 0.4%
|
|
|
|
|
|
|
Central American Bank, 4.875%, 2012 (n)
|
|
$
|
521,000
|
|
$
|
543,534
|
Eurasian Development Bank, 7.375%, 2014 (n)
|
|
|
260,000
|
|
|
279,500
|
European Investment Bank, 5.125%, 2017
|
|
|
1,500,000
|
|
|
1,667,523
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,490,557
|
Telecommunications - Wireless - 2.8%
|
|
|
|
|
|
|
Clearwire Corp., 12%, 2015 (n)
|
|
$
|
855,000
|
|
$
|
887,062
|
Cricket Communications, Inc., 7.75%, 2016
|
|
|
735,000
|
|
|
762,562
|
Crown Castle International Corp., 9%, 2015
|
|
|
2,330,000
|
|
|
2,501,838
|
Crown Castle International Corp., 7.75%, 2017 (n)
|
|
|
470,000
|
|
|
511,125
|
Crown Castle International Corp., 7.125%, 2019
|
|
|
370,000
|
|
|
371,850
|
Crown Castle Towers LLC, 6.113%, 2020 (n)
|
|
|
420,000
|
|
|
446,467
|
Digicel Group Ltd., 12%, 2014 (n)
|
|
|
400,000
|
|
|
458,000
|
Digicel Group Ltd., 8.25%, 2017 (n)
|
|
|
1,140,000
|
|
|
1,165,650
|
Digicel Group Ltd., 10.5%, 2018 (n)
|
|
|
195,000
|
|
|
208,162
|
Net Servicos de Comunicacao S.A., 7.5%, 2020 (n)
|
|
|
1,055,000
|
|
|
1,105,112
|
Nextel Communications, Inc., 6.875%, 2013
|
|
|
665,000
|
|
|
653,363
|
NII Holdings, Inc., 10%, 2016 (n)
|
|
|
820,000
|
|
|
910,200
|
Pontis Ltd., 6.25%, 2010 (z)
|
|
|
322,000
|
|
|
320,390
|
SBA Communications Corp., 8%, 2016 (n)
|
|
|
340,000
|
|
|
358,700
|
SBA Communications Corp., 8.25%, 2019 (n)
|
|
|
295,000
|
|
|
316,387
|
Sprint Capital Corp., 6.875%, 2028
|
|
|
440,000
|
|
|
382,800
|
Sprint Nextel Corp., 8.375%, 2017
|
|
|
1,185,000
|
|
|
1,224,994
|
Sprint Nextel Corp., 8.75%, 2032
|
|
|
1,610,000
|
|
|
1,610,000
|
Wind Acquisition Finance S.A., 12%, 2015 (n)
|
|
|
1,602,000
|
|
|
1,710,135
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
15,904,797
|
Telephone Services - 0.2%
|
|
|
|
|
|
|
Frontier Communications Corp., 8.125%, 2018
|
|
$
|
985,000
|
|
$
|
1,009,625
|
|
|
|
Tobacco - 0.6%
|
|
|
|
|
|
|
Alliance One International, Inc., 10%, 2016 (n)
|
|
$
|
765,000
|
|
$
|
810,900
|
Alliance One International, Inc., 10%, 2016 (n)
|
|
|
365,000
|
|
|
386,900
|
24
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
Value ($)
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
Tobacco - continued
|
|
|
|
|
|
|
Reynolds American, Inc., 6.75%, 2017
|
|
$
|
2,016,000
|
|
$
|
2,175,470
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,373,270
|
Transportation - Services - 1.0%
|
|
|
|
|
|
|
Commercial Barge Line Co., 12.5%, 2017
|
|
$
|
1,445,000
|
|
$
|
1,582,275
|
Erac USA Finance Co., 7%, 2037 (n)
|
|
|
878,000
|
|
|
936,260
|
Hertz Corp., 8.875%, 2014
|
|
|
2,130,000
|
|
|
2,199,225
|
Westinghouse Air Brake Technologies Corp., 6.875%, 2013
|
|
|
795,000
|
|
|
810,900
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,528,660
|
U.S. Treasury Obligations - 4.4%
|
|
|
|
|
|
|
U.S. Treasury Bonds, 8%, 2021
|
|
$
|
7,000,000
|
|
$
|
9,677,500
|
U.S. Treasury Bonds, 5.375%, 2031
|
|
|
3,386,000
|
|
|
3,844,166
|
U.S. Treasury Bonds, 4.5%, 2036 (f)
|
|
|
11,029,000
|
|
|
11,087,586
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
24,609,252
|
Utilities - Electric Power - 4.0%
|
|
|
|
|
|
|
AES Corp., 8%, 2017
|
|
$
|
2,810,000
|
|
$
|
2,894,300
|
Allegheny Energy Supply Co. LLC, 8.25%, 2012 (n)
|
|
|
805,000
|
|
|
890,240
|
Beaver Valley Funding Corp., 9%, 2017
|
|
|
1,699,000
|
|
|
1,870,055
|
Calpine Corp., 8%, 2016 (n)
|
|
|
940,000
|
|
|
972,900
|
CenterPoint Energy, Inc., 6.5%, 2018
|
|
|
600,000
|
|
|
654,100
|
Colbun S.A., 6%, 2020 (n)
|
|
|
997,000
|
|
|
1,010,731
|
Dubai Electricity & Water Authority, 8.5%, 2015 (z)
|
|
|
595,000
|
|
|
613,291
|
Dynegy Holdings, Inc., 7.5%, 2015
|
|
|
2,085,000
|
|
|
1,834,800
|
Dynegy Holdings, Inc., 7.75%, 2019
|
|
|
450,000
|
|
|
360,000
|
Edison Mission Energy, 7%, 2017
|
|
|
2,115,000
|
|
|
1,541,306
|
Energy Future Holdings Corp., 10%, 2020 (n)
|
|
|
1,135,000
|
|
|
1,191,750
|
Mirant North America LLC, 7.375%, 2013
|
|
|
1,630,000
|
|
|
1,674,825
|
NRG Energy, Inc., 7.375%, 2016
|
|
|
1,710,000
|
|
|
1,692,900
|
System Energy Resources, Inc., 5.129%, 2014 (z)
|
|
|
1,147,839
|
|
|
1,180,862
|
Texas Competitive Electric Holdings LLC, 10.25%, 2015
|
|
|
3,110,000
|
|
|
2,332,500
|
Waterford 3 Funding Corp., 8.09%, 2017
|
|
|
1,516,224
|
|
|
1,561,302
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
22,275,862
|
Total Bonds (Identified Cost, $594,298,574)
|
|
|
|
|
$
|
626,141,150
|
|
|
|
Convertible Bonds - 0.0%
|
|
|
|
|
|
|
Automotive - 0.0%
|
|
|
|
|
|
|
Accuride Corp., 7.5%, 2020 (Identified Cost, $99,273)
|
|
$
|
99,273
|
|
$
|
254,139
|
25
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
Floating Rate Loans (g)(r) - 1.3%
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
Value ($)
|
|
|
|
|
|
|
|
Aerospace - 0.1%
|
|
|
|
|
|
|
Hawker Beechcraft Acquisition Co. LLC, Term Loan, 10.5%, 2014
|
|
$
|
465,990
|
|
$
|
466,863
|
|
|
|
Automotive - 0.5%
|
|
|
|
|
|
|
Accuride Corp., Term Loan, 9.75%, 2012
|
|
$
|
62,041
|
|
$
|
61,979
|
Allison Transmission, Inc., Term Loan B, 3.01%, 2014
|
|
|
747,742
|
|
|
713,886
|
Ford Motor Co., Term Loan, 3.28%, 2013
|
|
|
1,920,889
|
|
|
1,851,858
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,627,723
|
Broadcasting - 0.0%
|
|
|
|
|
|
|
Gray Television, Inc., Term Loan B, 3.8%, 2014
|
|
$
|
205,914
|
|
$
|
201,625
|
Local TV Finance LLC, Term Loan B, 2.3%, 2013
|
|
|
82,973
|
|
|
75,851
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
277,476
|
Consumer Services - 0.1%
|
|
|
|
|
|
|
Realogy Corp., Letter of Credit, 2013 (o)
|
|
$
|
112,060
|
|
$
|
101,259
|
Realogy Corp., Term Loan, 2013 (o)
|
|
|
416,223
|
|
|
376,104
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
477,363
|
Financial Institutions - 0.0%
|
|
|
|
|
|
|
American General Financial Corp., Term Loan B, 7.25%, 2015
|
|
$
|
146,115
|
|
$
|
146,370
|
|
|
|
Gaming & Lodging - 0.1%
|
|
|
|
|
|
|
Motorcity Casino, Term Loan B, 2012 (o)
|
|
$
|
746,273
|
|
$
|
737,256
|
|
|
|
Specialty Stores - 0.1%
|
|
|
|
|
|
|
Michaels Stores, Inc., Term Loan B1, 2.53%, 2013
|
|
$
|
440,733
|
|
$
|
422,063
|
|
|
|
Utilities - Electric Power - 0.4%
|
|
|
|
|
|
|
Texas Competitive Electric Holdings Co. LLC, Term Loan B-2,
3.75%, 2014 (o)
|
|
$
|
1,535,241
|
|
$
|
1,257,171
|
Texas Competitive Electric Holdings Co. LLC, Term Loan B-3,
3.75%, 2014
|
|
|
1,103,091
|
|
|
897,180
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,154,351
|
Total Floating Rate Loans (Identified Cost, $7,132,994)
|
|
|
|
|
$
|
7,309,465
|
|
|
|
Preferred Stocks - 0.2%
|
|
|
|
|
|
|
Financial Institutions - 0.2%
|
|
|
|
|
|
|
GMAC, Inc., 7% (z) (Identified Cost, $803,688)
|
|
|
1,064
|
|
$
|
903,635
|
26
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
Common Stocks - 0.6%
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
Value ($)
|
|
|
|
|
|
|
|
|
Automotive - 0.0%
|
|
|
|
|
|
|
Accuride Corp. (a)
|
|
69,490
|
|
$
|
95,201
|
|
|
|
|
Broadcasting - 0.1%
|
|
|
|
|
|
|
Dex One Corp. (a)
|
|
11,859
|
|
$
|
359,446
|
|
Supermedia, Inc. (a)
|
|
394
|
|
|
17,691
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
377,137
|
|
Chemicals - 0.4%
|
|
|
|
|
|
|
LyondellBasell Industries N.V., A (a)
|
|
57,558
|
|
$
|
1,283,543
|
|
LyondellBasell Industries N.V., B (a)
|
|
43,532
|
|
|
979,470
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,263,013
|
|
Construction - 0.1%
|
|
|
|
|
|
|
Nortek, Inc. (a)
|
|
16,882
|
|
$
|
793,454
|
|
|
|
|
Printing & Publishing - 0.0%
|
|
|
|
|
|
|
American Media, Inc. (a)
|
|
5,455
|
|
$
|
33,385
|
|
Golden Books Family Entertainment, Inc. (a)
|
|
19,975
|
|
|
0
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
33,385
|
|
Total Common Stocks (Identified Cost, $2,696,961)
|
|
|
|
$
|
3,562,190
|
|
|
|
|
Rights - 0.0%
|
|
|
|
|
|
|
Emerging Market Sovereign - 0.0%
|
|
|
|
|
|
|
Banco Central del Uruguay, Value Recovery Rights,
Expiring January 2021 (a) (Identified Cost, $0)
|
|
1,250,000
|
|
$
|
0
|
|
|
|
|
Money Market Funds (v) - 1.8%
|
|
|
|
|
|
|
MFS Institutional Money Market Portfolio, 0.19%,
at Cost and Net Asset Value
|
|
10,202,895
|
|
$
|
10,202,895
|
|
Total Investments (Identified Cost, $615,234,385)
|
|
|
|
$
|
648,373,474
|
|
|
|
|
Other Assets, Less Liabilities - (15.1)%
|
|
|
|
|
(85,217,082
|
)
|
Net Assets - 100.0%
|
|
|
|
$
|
563,156,392
|
|
27
Portfolio of Investments (unaudited) continued
(a)
|
Non-income producing security.
|
(d)
|
Non-income producing security 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 $170,017,953, representing 30.19% of net assets.
|
(o)
|
All or a portion of this position has not settled. Upon settlement date, interest rates for unsettled amounts will be determined. The rate shown represents the weighted average
coupon rate for settled amounts.
|
(p)
|
Payment-in-kind security.
|
(r)
|
Remaining maturities of floating rate loans may be less than stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot
be predicted with certainty. These loans may be subject to restrictions on resale. Floating rate loans generally have rates of interest which are determined periodically by reference to a base lending rate plus a premium.
|
(v)
|
Underlying fund that is available only to investment companies managed by MFS. The rate quoted 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
|
|
Current
Market
Value
|
ARCap REIT, Inc., CDO, H, 6.088%, 2045
|
|
9/21/04
|
|
$1,744,270
|
|
$105,000
|
Allbritton Communications Co., 8%, 2018
|
|
4/22/10
|
|
595,000
|
|
595,000
|
American Media Operations, Inc., 9%, 2013
|
|
1/29/09-10/15/09
|
|
22,288
|
|
18,798
|
American Media Operations, Inc., 14%, 2013
|
|
1/29/09-10/15/09
|
|
194,627
|
|
184,177
|
Banco Internacional del Peru, 8.5% to 2020, FRN to 2070
|
|
4/16/10
|
|
249,000
|
|
256,470
|
Banco PanAmericano S.A., 8.5%, 2020
|
|
4/19/10
|
|
659,507
|
|
660,013
|
Bank of China (Hong Kong) Ltd., 5.55%, 2020
|
|
4/12/10
|
|
1,947,626
|
|
1,965,456
|
Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.864%, 2040
|
|
3/01/06
|
|
3,137,801
|
|
1,137,453
|
Charter Communications Holding Co. LLC,
7.875%, 2018
|
|
4/14/10
|
|
300,000
|
|
305,250
|
Charter Communications Holding Co. LLC,
8.125%, 2020
|
|
4/14/10
|
|
200,000
|
|
204,500
|
Country Garden Holdings Co. Ltd., 11.25%, 2017
|
|
4/15/10
|
|
294,248
|
|
292,300
|
DLJ Commercial Mortgage Corp., 6.04%, 2031
|
|
7/23/04
|
|
1,969,453
|
|
2,049,110
|
Dominican Republic, 7.5%, 2021
|
|
4/29/10
|
|
453,000
|
|
461,607
|
Dubai Electricity & Water Authority, 8.5%, 2015
|
|
4/15/10
|
|
595,000
|
|
613,291
|
28
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
Restricted Securities - continued
|
|
Acquisition
Date
|
|
Cost
|
|
Current
Market
Value
|
Edgen Murray Corp., 12.25%, 2015
|
|
4/13/10-4/14/10
|
|
$354,409
|
|
$354,600
|
Falcon Franchise Loan LLC, FRN, 3.968%, 2025
|
|
1/29/03
|
|
549,877
|
|
188,294
|
Fibria Overseas Finance Ltd., 7.5%, 2020
|
|
4/29/10
|
|
1,021,101
|
|
1,033,090
|
Freescale Semiconductor, Inc., 9.25%, 2018
|
|
4/07/10
|
|
710,000
|
|
738,400
|
GMAC LLC, FRN, 6.02%, 2033
|
|
11/17/00
|
|
2,518,192
|
|
2,474,481
|
GMAC, Inc., 7% (Preferred Stock)
|
|
12/26/08-3/12/10
|
|
803,688
|
|
903,635
|
GWR Operating Partnership LLP,
10.875%, 2017
|
|
3/30/10-3/31/10
|
|
683,291
|
|
706,450
|
Gray Television, Inc., 10.5%, 2015
|
|
4/21/10
|
|
397,250
|
|
406,519
|
Grupo Financiero BBVA Bancomer S.A. de C.V.,
7.25%, 2020
|
|
4/15/10
|
|
2,209,000
|
|
2,241,572
|
KazMunaiGaz Finance B.V., 7%, 2020
|
|
4/28/10
|
|
488,268
|
|
505,698
|
Local TV Finance LLC, 9.25%, 2015
|
|
11/09/07-11/30/09
|
|
651,419
|
|
471,515
|
ManTech International Corp., 7.25%, 2018
|
|
4/08/10-4/16/10
|
|
618,450
|
|
622,963
|
Morgan Stanley Capital I, Inc., FRN, 1.258%, 2039
|
|
7/20/04
|
|
327,694
|
|
417,644
|
Nationstar Mortgage LLC, 10.875%, 2015
|
|
3/23/10
|
|
379,263
|
|
376,350
|
New Communications Holdings, Inc., 8.25%, 2017
|
|
3/26/10
|
|
290,000
|
|
298,700
|
New Communications Holdings, Inc., 8.5%, 2020
|
|
4/20/10
|
|
687,587
|
|
690,100
|
PNC Mortgage Acceptance Corp., FRN, 7.1%, 2032
|
|
3/25/08
|
|
2,490,000
|
|
2,479,666
|
Pontis Ltd., 6.25%, 2010
|
|
4/14/10
|
|
322,000
|
|
320,390
|
Prudential Securities Secured Financing Corp., FRN, 7.254%, 2013
|
|
12/06/04
|
|
2,865,414
|
|
2,332,277
|
QVC, Inc., 7.375%, 2020
|
|
3/17/10-3/26/10
|
|
802,212
|
|
812,000
|
RBS Global, Inc. & Rexnord LLC, 8.5%, 2018
|
|
4/21/10
|
|
510,000
|
|
511,275
|
Sociedad Quimica y Minera de Chile, 5.5%, 2020
|
|
4/14/10
|
|
566,960
|
|
567,511
|
System Energy Resources, Inc., 5.129%, 2014
|
|
4/16/04
|
|
1,147,839
|
|
1,180,862
|
Total Restricted Securities
|
|
|
|
|
|
$29,482,417
|
% of Net Assets
|
|
|
|
|
|
5.2%
|
The following abbreviations are used in this report and are
defined:
CDO
|
|
Collateralized Debt Obligation
|
FRN
|
|
Floating Rate Note. Interest rate resets periodically and may not be the rate reported at period end.
|
PLC
|
|
Public Limited Company
|
REIT
|
|
Real Estate Investment Trust
|
29
Portfolio of Investments (unaudited) continued
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:
CNY
|
|
Chinese Yuan Renminbi
|
Derivative Contracts at 4/30/10
Forward Foreign Currency Exchange Contracts at 4/30/10
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type
|
|
Currency
|
|
Counterparty
|
|
Contracts
to
Deliver/
Receive
|
|
Settlement
Date Range
|
|
In
Exchange
For
|
|
Contracts at
Value
|
|
Net
Unrealized
Appreciation
(Depreciation)
|
Asset Derivatives
|
|
|
|
|
|
|
|
|
BUY
|
|
AUD
|
|
UBS AG
|
|
3,020,000
|
|
7/12/10
|
|
$
|
2,763,662
|
|
$
|
2,772,269
|
|
$
|
8,607
|
BUY
|
|
BRL
|
|
Deutsche Bank AG
|
|
2,478,430
|
|
5/04/10
|
|
|
1,361,775
|
|
|
1,425,819
|
|
|
64,044
|
SELL
|
|
BRL
|
|
Deutsche Bank AG
|
|
2,478,430
|
|
5/04/10
|
|
|
1,430,964
|
|
|
1,425,819
|
|
|
5,145
|
BUY
|
|
CAD
|
|
HSBC Bank
|
|
395,580
|
|
5/10/10
|
|
|
385,180
|
|
|
389,434
|
|
|
4,254
|
SELL
|
|
CNY
|
|
Deutsche Bank AG
|
|
6,082,000
|
|
5/17/10
|
|
|
894,017
|
|
|
891,701
|
|
|
2,316
|
SELL
|
|
CNY
|
|
HSBC Bank
|
|
12,127,000
|
|
5/17/10
|
|
|
1,783,382
|
|
|
1,777,978
|
|
|
5,404
|
BUY
|
|
EUR
|
|
UBS AG
|
|
892,643
|
|
5/04/10
|
|
|
1,182,574
|
|
|
1,188,510
|
|
|
5,936
|
SELL
|
|
EUR
|
|
Deutsche Bank AG
|
|
892,643
|
|
5/04/10
|
|
|
1,203,609
|
|
|
1,188,510
|
|
|
15,099
|
SELL
|
|
EUR
|
|
Goldman Sachs International
|
|
2,100,000
|
|
6/14/10
|
|
|
2,834,685
|
|
|
2,796,438
|
|
|
38,247
|
SELL
|
|
EUR
|
|
UBS AG
|
|
17,363,748
|
|
6/14/10
|
|
|
23,726,261
|
|
|
23,122,215
|
|
|
604,046
|
BUY
|
|
INR
|
|
Deutsche Bank AG
|
|
55,677,065
|
|
5/28/10
|
|
|
1,251,170
|
|
|
1,252,305
|
|
|
1,135
|
SELL
|
|
JPY
|
|
Goldman Sachs International
|
|
120,724,240
|
|
7/12/10
|
|
|
1,294,033
|
|
|
1,286,034
|
|
|
7,999
|
SELL
|
|
JPY
|
|
JPMorgan Chase Bank N.A
|
|
1,176,759,332
|
|
7/12/10
|
|
|
12,616,291
|
|
|
12,535,612
|
|
|
80,679
|
SELL
|
|
JPY
|
|
Merrill Lynch International Bank
|
|
179,255,486
|
|
7/12/10
|
|
|
1,922,435
|
|
|
1,909,547
|
|
|
12,888
|
30
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type
|
|
Currency
|
|
Counterparty
|
|
Contracts
to
Deliver/
Receive
|
|
Settlement
Date Range
|
|
In
Exchange
For
|
|
Contracts at
Value
|
|
Net
Unrealized
Appreciation
(Depreciation)
|
|
Asset Derivatives - continued
|
|
|
|
|
|
|
|
|
|
BUY
|
|
KRW
|
|
Deutsche Bank AG London
|
|
3,132,532,000
|
|
5/03/10-6/28/10
|
|
$
|
2,776,736
|
|
$
|
2,824,170
|
|
$
|
47,434
|
|
BUY
|
|
KRW
|
|
Merrill Lynch International Bank
|
|
3,117,192,000
|
|
5/03/10-6/28/10
|
|
|
2,768,167
|
|
|
2,810,340
|
|
|
42,173
|
|
BUY
|
|
MXN
|
|
Merrill Lynch International Bank
|
|
17,090,000
|
|
5/04/10
|
|
|
1,332,658
|
|
|
1,388,048
|
|
|
55,390
|
|
SELL
|
|
MXN
|
|
Merrill Lynch International Bank
|
|
17,090,000
|
|
5/04/10
|
|
|
1,397,841
|
|
|
1,388,048
|
|
|
9,793
|
|
BUY
|
|
PHP
|
|
JPMorgan Chase Bank N.A
|
|
124,976,000
|
|
5/14/10-5/28/10
|
|
|
2,786,076
|
|
|
2,805,684
|
|
|
19,608
|
|
BUY
|
|
PLN
|
|
Barclays Bank PLC
|
|
3,735
|
|
5/04/10
|
|
|
1,263
|
|
|
1,267
|
|
|
4
|
|
BUY
|
|
PLN
|
|
Citibank N.A.
|
|
4,163,000
|
|
6/30/10
|
|
|
1,403,324
|
|
|
1,406,225
|
|
|
2,901
|
|
SELL
|
|
PLN
|
|
HSBC Bank
|
|
3,682,500
|
|
5/04/10
|
|
|
1,306,130
|
|
|
1,249,046
|
|
|
57,084
|
|
SELL
|
|
SEK
|
|
Credit Suisse Group
|
|
2,223,895
|
|
7/12/10
|
|
|
307,869
|
|
|
307,119
|
|
|
750
|
|
BUY
|
|
TRY
|
|
HSBC Bank
|
|
2,014,000
|
|
5/11/10
|
|
|
1,297,764
|
|
|
1,351,286
|
|
|
53,522
|
|
BUY
|
|
TRY
|
|
JPMorgan Chase Bank N.A
|
|
2,117,000
|
|
5/11/10
|
|
|
1,412,181
|
|
|
1,420,393
|
|
|
8,212
|
|
BUY
|
|
TWD
|
|
JPMorgan Chase Bank N.A
|
|
43,109,000
|
|
5/10/10
|
|
|
1,369,409
|
|
|
1,376,784
|
|
|
7,375
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,160,045
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liability Derivatives
|
|
|
|
|
|
|
|
|
|
BUY
|
|
BRL
|
|
Deutsche Bank AG
|
|
2,478,430
|
|
6/02/10
|
|
$
|
1,422,177
|
|
$
|
1,417,390
|
|
$
|
(4,787
|
)
|
BUY
|
|
CNY
|
|
Deutsche Bank AG
|
|
12,164,000
|
|
5/17/10-4/18/11
|
|
|
1,823,799
|
|
|
1,800,439
|
|
|
(23,360
|
)
|
BUY
|
|
CNY
|
|
HSBC Bank
|
|
24,254,000
|
|
5/17/10-4/18/11
|
|
|
3,635,128
|
|
|
3,589,926
|
|
|
(45,202
|
)
|
BUY
|
|
EUR
|
|
Barclays Bank PLC
|
|
2,052,000
|
|
6/14/10
|
|
|
2,803,783
|
|
|
2,732,520
|
|
|
(71,263
|
)
|
BUY
|
|
EUR
|
|
HSBC Bank
|
|
329,383
|
|
6/14/10
|
|
|
447,326
|
|
|
438,619
|
|
|
(8,707
|
)
|
BUY
|
|
EUR
|
|
UBS AG
|
|
1,943,000
|
|
6/14/10
|
|
|
2,671,042
|
|
|
2,587,371
|
|
|
(83,671
|
)
|
SELL
|
|
EUR
|
|
HSBC Bank
|
|
2,035,000
|
|
6/14/10
|
|
|
2,691,939
|
|
|
2,709,882
|
|
|
(17,943
|
)
|
SELL
|
|
EUR
|
|
Royal Bank of Scotland PLC
|
|
1,061,305
|
|
6/14/10
|
|
|
1,405,000
|
|
|
1,413,273
|
|
|
(8,273
|
)
|
SELL
|
|
EUR
|
|
UBS AG
|
|
1,960,643
|
|
6/14/10
|
|
|
2,594,091
|
|
|
2,610,865
|
|
|
(16,774
|
)
|
SELL
|
|
GBP
|
|
Barclays Bank PLC
|
|
1,018,551
|
|
7/12/10
|
|
|
1,554,013
|
|
|
1,558,009
|
|
|
(3,996
|
)
|
SELL
|
|
GBP
|
|
Deutsche Bank AG
|
|
1,018,551
|
|
7/12/10
|
|
|
1,554,024
|
|
|
1,558,009
|
|
|
(3,985
|
)
|
BUY
|
|
IDR
|
|
HSBC Bank
|
|
12,584,069,000
|
|
6/17/10
|
|
|
1,396,678
|
|
|
1,385,679
|
|
|
(10,999
|
)
|
31
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type
|
|
Currency
|
|
Counterparty
|
|
Contracts
to
Deliver/
Receive
|
|
Settlement
Date Range
|
|
In
Exchange
For
|
|
Contracts at
Value
|
|
Net
Unrealized
Appreciation
(Depreciation)
|
|
Liability Derivatives - continued
|
|
|
|
|
|
|
|
|
|
SELL
|
|
KRW
|
|
Deutsche Bank AG
|
|
1,566,266,000
|
|
5/03/10
|
|
$
|
1,394,716
|
|
$
|
1,413,151
|
|
$
|
(18,435
|
)
|
SELL
|
|
KRW
|
|
Merrill Lynch International Bank
|
|
1,558,596,000
|
|
5/03/10
|
|
|
1,390,362
|
|
|
1,406,231
|
|
|
(15,869
|
)
|
BUY
|
|
MXN
|
|
Merrill Lynch International Bank
|
|
17,090,000
|
|
8/03/10
|
|
|
1,384,254
|
|
|
1,374,759
|
|
|
(9,495
|
)
|
BUY
|
|
PLN
|
|
Deutsche Bank AG
|
|
3,678,765
|
|
5/04/10
|
|
|
1,256,100
|
|
|
1,247,779
|
|
|
(8,321
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(351,080
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Outstanding at 4/30/10
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Currency
|
|
Contracts
|
|
Value
|
|
Expiration
Date
|
|
Unrealized
Appreciation
(Depreciation)
|
|
Asset Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Futures
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Note 10 yr (Short)
|
|
USD
|
|
477
|
|
$56,241,281
|
|
Jun-10
|
|
$(595,291
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
At April 30, 2010, the fund had sufficient cash and/or other liquid securities to cover any commitments under these derivative
contracts.
See Notes to Financial Statements
32
Financial Statements
STATEMENT OF ASSETS AND LIABILITIES
At 4/30/10 (unaudited)
This statement represents
your funds balance sheet, which details the assets and liabilities comprising the total value of the fund.
|
|
|
|
|
|
Assets
|
|
|
|
|
|
Investments-
|
|
|
|
|
|
Non-affiliated issuers, at value (identified cost, $605,031,490)
|
|
$638,170,579
|
|
|
|
Underlying funds, at cost and value
|
|
10,202,895
|
|
|
|
Total investments, at value (identified cost, $615,234,385)
|
|
|
|
|
$648,373,474
|
Cash
|
|
$1,457,215
|
|
|
|
Receivables for
|
|
|
|
|
|
Forward foreign currency exchange contracts
|
|
1,160,045
|
|
|
|
Investments sold
|
|
13,730,566
|
|
|
|
Interest and dividends
|
|
12,342,999
|
|
|
|
Other assets
|
|
112,782
|
|
|
|
Total assets
|
|
|
|
|
$677,177,081
|
Liabilities
|
|
|
|
|
|
Notes payable
|
|
$100,000,000
|
|
|
|
Payables for
|
|
|
|
|
|
Distributions
|
|
229,627
|
|
|
|
Forward foreign currency exchange contracts
|
|
351,080
|
|
|
|
Daily variation margin on open futures contracts
|
|
223,594
|
|
|
|
Investments purchased
|
|
12,652,177
|
|
|
|
Payable to affiliates
|
|
|
|
|
|
Investment adviser
|
|
26,520
|
|
|
|
Transfer agent and dividend disbursing costs
|
|
7,057
|
|
|
|
Administrative services fee
|
|
472
|
|
|
|
Payable for independent Trustees compensation
|
|
259,178
|
|
|
|
Accrued interest expense
|
|
127,082
|
|
|
|
Accrued expenses and other liabilities
|
|
143,902
|
|
|
|
Total liabilities
|
|
|
|
|
$114,020,689
|
Net assets
|
|
|
|
|
$563,156,392
|
Net assets consist of
|
|
|
|
|
|
Paid-in capital
|
|
$574,685,014
|
|
|
|
Unrealized appreciation (depreciation) on investments and translation of assets and liabilities in foreign currencies
|
|
33,327,940
|
|
|
|
Accumulated net realized gain (loss) on investments and foreign currency transactions
|
|
(41,062,013
|
)
|
|
|
Accumulated distributions in excess of net investment income
|
|
(3,794,549
|
)
|
|
|
Net assets
|
|
|
|
|
$563,156,392
|
Shares of beneficial interest outstanding
|
|
|
|
|
78,378,104
|
Net asset value per share (net assets of
$563,156,392 / 78,378,104 shares of
beneficial
interest outstanding)
|
|
|
|
|
$7.19
|
See Notes to
Financial Statements
33
Financial Statements
STATEMENT OF OPERATIONS
Six months ended 4/30/10 (unaudited)
This
statement describes how much your fund earned in investment income and accrued in expenses. It also describes any gains and/or losses generated by fund operations.
|
|
|
|
|
|
Net investment income
|
|
|
|
|
|
Income
|
|
|
|
|
|
Interest
|
|
$24,553,712
|
|
|
|
Dividends
|
|
31,879
|
|
|
|
Dividends from underlying funds
|
|
17,034
|
|
|
|
Total investment income
|
|
|
|
|
$24,602,625
|
Expenses
|
|
|
|
|
|
Management fee
|
|
$2,285,587
|
|
|
|
Transfer agent and dividend disbursing costs
|
|
86,162
|
|
|
|
Administrative services fee
|
|
43,896
|
|
|
|
Independent Trustees compensation
|
|
54,207
|
|
|
|
Stock exchange fee
|
|
34,674
|
|
|
|
Custodian fee
|
|
63,791
|
|
|
|
Interest expense
|
|
772,413
|
|
|
|
Shareholder communications
|
|
40,356
|
|
|
|
Auditing fees
|
|
32,926
|
|
|
|
Legal fees
|
|
9,721
|
|
|
|
Miscellaneous
|
|
31,309
|
|
|
|
Total expenses
|
|
|
|
|
$3,455,042
|
Fees paid indirectly
|
|
(196
|
)
|
|
|
Reduction of expenses by investment adviser
|
|
(1,199
|
)
|
|
|
Net expenses
|
|
|
|
|
$3,453,647
|
Net investment income
|
|
|
|
|
$21,148,978
|
Realized and unrealized gain (loss) on investments
and foreign currency transactions
|
|
|
|
|
|
Realized gain (loss) (identified cost basis)
|
|
|
|
|
|
Investment transactions
|
|
$18,798,083
|
|
|
|
Futures contracts
|
|
(134,383
|
)
|
|
|
Swap transactions
|
|
(9,513
|
)
|
|
|
Foreign currency transactions
|
|
3,259,314
|
|
|
|
Net realized gain (loss) on investments
and foreign currency transactions
|
|
|
|
|
$21,913,501
|
Change in unrealized appreciation (depreciation)
|
|
|
|
|
|
Investments
|
|
$5,682,713
|
|
|
|
Futures contracts
|
|
(818,418
|
)
|
|
|
Swap transactions
|
|
(7,075
|
)
|
|
|
Translation of assets and liabilities in foreign currencies
|
|
949,195
|
|
|
|
Net unrealized gain (loss) on investments
and foreign currency translation
|
|
|
|
|
$5,806,415
|
Net realized and unrealized gain (loss) on investments
and foreign currency
|
|
|
|
|
$27,719,916
|
Change in net assets from operations
|
|
|
|
|
$48,868,894
|
See Notes
to Financial Statements
34
Financial Statements
STATEMENTS OF CHANGES IN NET ASSETS
These statements describe the increases and/or decreases in net assets resulting from operations, any distributions, and any shareholder transactions.
|
|
|
|
|
|
|
|
|
Six months ended
4/30/10
(unaudited)
|
|
|
Year ended
10/31/09
|
|
|
|
|
|
|
Change in net assets
|
|
|
|
|
|
|
From operations
|
|
|
|
|
|
|
Net investment income
|
|
$21,148,978
|
|
|
$36,525,666
|
|
Net realized gain (loss) on investments
and foreign currency transactions
|
|
21,913,501
|
|
|
(3,052,548
|
)
|
Net unrealized gain (loss) on investments
and foreign currency translation
|
|
5,806,415
|
|
|
111,817,197
|
|
Change in net assets from operations
|
|
$48,868,894
|
|
|
$145,290,315
|
|
Distributions declared to shareholders
|
|
|
|
|
|
|
From net investment income
|
|
$(21,162,096
|
)
|
|
$(39,751,012
|
)
|
Change in net assets from fund share transactions
|
|
$
|
|
|
$(1,838,958
|
)
|
Total change in net assets
|
|
$27,706,798
|
|
|
$103,700,345
|
|
Net assets
|
|
|
|
|
|
|
At beginning of period
|
|
535,449,594
|
|
|
431,749,249
|
|
At end of period (including accumulated distributions in excess of net investment income of
$3,794,549 and $3,781,431, respectively)
|
|
$563,156,392
|
|
|
$535,449,594
|
|
See
Notes to Financial Statements
35
Financial Statements
STATEMENT OF CASH FLOWS
This statement provides a summary of cash flows from investment activity for the fund.
|
|
|
|
Cash flows from operating activities:
|
|
|
|
Net increase in net assets from operations
|
|
$48,868,894
|
|
Adjustments to reconcile change in net assets from operations to net cash provided by operating activities:
|
|
|
|
Purchase of investment securities
|
|
(233,461,293
|
)
|
Proceeds from disposition of investment securities
|
|
237,040,932
|
|
Proceeds from future and swap transactions
|
|
(143,896
|
)
|
Proceeds from disposition of short-term investments, net
|
|
4,994,066
|
|
Realized gain/loss on investments
|
|
(18,798,083
|
)
|
Realized gain/loss on futures and swaps transactions
|
|
143,896
|
|
Unrealized appreciation/depreciation on investments
|
|
(5,682,713
|
)
|
Unrealized appreciation/depreciation on foreign currency contracts
|
|
(1,011,632
|
)
|
Unrealized appreciation/depreciation on swaps
|
|
7,075
|
|
Net amortization/accretion of income
|
|
(1,194,718
|
)
|
Decrease in payable for investments purchased
|
|
(6,554,331
|
)
|
Increase in receivable for investments sold
|
|
(3,728,044
|
)
|
Decrease in payable for daily variation margin on open futures contracts
|
|
(201,234
|
)
|
Decrease in dividends and interest receivable
|
|
84,933
|
|
Decrease in accrued expenses and other liabilities
|
|
(24,610
|
)
|
Increase in other assets
|
|
(36,863
|
)
|
Net cash provided by operating activities
|
|
$20,302,379
|
|
Cash flows from financing activities:
|
|
|
|
Distributions paid in cash
|
|
(21,134,120
|
)
|
Increase in interest payable
|
|
88,687
|
|
Net cash used by financing activities
|
|
$(21,045,433
|
)
|
Net decrease in cash
|
|
$(743,054
|
)
|
Cash:
|
|
|
|
Beginning of period (including foreign currency of $3)
|
|
$2,200,269
|
|
End of period
|
|
$1,457,215
|
|
Supplementary disclosure of cash flow information: cash paid during the year for interest $683,726.
See Notes to Financial Statements
36
Financial Statements
FINANCIAL HIGHLIGHTS
The financial highlights table is intended to help you understand the funds financial performance for the semiannual period and the past 5 fiscal years.
Certain information reflects financial results for a single fund share. The total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the fund share class (assuming reinvestment of all
distributions) held for the entire period.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six months
ended
4/30/10
(unaudited)
|
|
|
Years ended 10/31
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
2006
|
|
|
2005
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$6.83
|
|
|
$5.48
|
|
|
$6.68
|
|
|
$6.74
|
|
|
$6.74
|
|
|
$6.94
|
|
Income (loss) from investment operations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (d)
|
|
$0.27
|
|
|
$0.47
|
|
|
$0.34
|
|
|
$0.35
|
|
|
$0.33
|
|
|
$0.34
|
|
Net realized and unrealized gain (loss) on investments and foreign currency
|
|
0.36
|
|
|
1.38
|
|
|
(1.16
|
)
|
|
(0.05
|
)
|
|
0.03
|
|
|
(0.16
|
)
|
Total from investment operations
|
|
$0.63
|
|
|
$1.85
|
|
|
$(0.82
|
)
|
|
$0.30
|
|
|
$0.36
|
|
|
$0.18
|
|
Less distributions declared to shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
From net investment income
|
|
$(0.27
|
)
|
|
$(0.51
|
)
|
|
$(0.38
|
)
|
|
$(0.36
|
)
|
|
$(0.38
|
)
|
|
$(0.39
|
)
|
Net increase from repurchase of capital shares
|
|
$
|
|
|
$0.01
|
|
|
$0.00
|
(w)
|
|
$
|
|
|
$0.02
|
|
|
$0.01
|
|
Net asset value, end of period
|
|
$7.19
|
|
|
$6.83
|
|
|
$5.48
|
|
|
$6.68
|
|
|
$6.74
|
|
|
$6.74
|
|
Per share market value,
end of period
|
|
$6.77
|
|
|
$6.06
|
|
|
$4.71
|
|
|
$5.84
|
|
|
$6.00
|
|
|
$6.15
|
|
Total return at market value (%)
|
|
16.41
|
(n)
|
|
41.15
|
|
|
(13.80
|
)
|
|
3.30
|
|
|
3.82
|
|
|
3.78
|
|
Total return at net asset
value (%) (j)(r)(s)
|
|
9.69
|
(n)
|
|
36.73
|
|
|
(12.32
|
)
|
|
5.19
|
|
|
6.42
|
|
|
3.25
|
|
Ratios (%) (to average net assets)
and Supplemental data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses before expense reductions (f)
|
|
1.28
|
(a)
|
|
1.07
|
|
|
0.88
|
|
|
0.84
|
|
|
0.88
|
|
|
0.93
|
|
Expenses after expense reductions (f)
|
|
1.28
|
(a)
|
|
1.06
|
|
|
0.88
|
|
|
0.84
|
|
|
0.88
|
|
|
0.93
|
|
Expenses after expense reductions and excluding interest expense (f)
|
|
0.99
|
(a)
|
|
1.02
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
Net investment income
|
|
7.81
|
(a)
|
|
7.76
|
|
|
5.22
|
|
|
5.29
|
|
|
4.93
|
|
|
4.97
|
|
Portfolio turnover
|
|
35
|
|
|
67
|
|
|
47
|
|
|
61
|
|
|
70
|
|
|
67
|
|
Net assets at end of period (000 omitted)
|
|
$563,156
|
|
|
$535,450
|
|
|
$431,749
|
|
|
$528,058
|
|
|
$533,146
|
|
|
$545,645
|
|
37
Financial Statements continued
(d)
|
Per share data is based on average shares outstanding.
|
(f)
|
Ratios do not reflect reductions from fees paid indirectly, if applicable.
|
(j)
|
Total return at net asset value is calculated using the net asset value of the fund, not the publicly traded price and therefore may be different than the total return at market
value.
|
(r)
|
Certain expenses have been reduced without which performance would have been lower.
|
(s)
|
From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower.
|
(w)
|
Per share amount was less than $0.01.
|
See Notes to Financial
Statements
38
NOTES TO FINANCIAL STATEMENTS
(unaudited)
(1)
|
|
Business and Organization
|
MFS Multimarket Income
Trust (the fund) is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as a closed-end management investment company.
(2)
|
|
Significant Accounting Policies
|
General
The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of
contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. In the preparation of these financial
statements, management has evaluated subsequent events occurring after the date of the funds Statement of Assets and Liabilities through the date that the financial statements were issued. The fund may invest up to 100% of its portfolio in
high-yield securities rated below investment grade. Investments in high-yield securities involve greater degrees of credit and market risk than investments in higher-rated securities and tend to be more sensitive to economic conditions. The fund can
invest in foreign securities, including securities of emerging market issuers. Investments in foreign securities are vulnerable to the effects of changes in the relative values of the local currency and the U.S. dollar and to the effects of changes
in each countrys legal, political, and economic environment. The markets of emerging markets countries are generally more volatile than the markets of developed countries with more mature economies. All of the risks of investing in foreign
securities previously described are heightened when investing in emerging markets countries.
Investment Valuations
Equity
securities, including restricted equity securities, are generally valued at the last sale or official closing price as provided by a third-party pricing service on the market or exchange on which they are primarily traded. Equity securities, for
which there were no sales reported that day, are generally valued at the last quoted daily bid quotation as provided by a third-party pricing service on the market or exchange on which such securities are primarily traded. Equity securities held
short, for which there were no sales reported for that day, are generally valued at the last quoted daily ask quotation as provided by a third-party pricing service on the market or exchange on which such securities are primarily traded. Debt
instruments and floating rate loans (other than short-term instruments), including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term
39
Notes to Financial Statements (unaudited) continued
instruments with a maturity at issuance of 60 days or less generally are valued at amortized cost, which approximates market value. Futures contracts are generally valued at last posted
settlement price as provided by a third-party pricing service on the market on which they are primarily traded. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation as
provided by a third-party pricing service on the market on which such futures contracts are primarily traded. Forward foreign currency 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. Swaps are generally valued at valuations provided by a third-party pricing service. 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 funds 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 funds 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 investments 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 funds net asset value, or after the halting of trading of a specific security where trading does not resume prior to the close of the
exchange or market on which the security is principally traded. Events that occur on a frequent basis after foreign markets close (such as developments in foreign markets and significant movements in the U.S. markets) and prior to the determination
of the funds net asset value may be deemed to have a material effect on the value of securities traded in foreign markets. Accordingly, the funds foreign equity securities may often be valued at fair value. The adviser generally relies
on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type,
40
Notes to Financial Statements (unaudited) continued
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 funds 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 funds 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 funds 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 investments
level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The funds 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 advisers own assumptions in determining the fair value of investments. Other financial instruments
are derivative instruments not reflected in total investments, such as futures, forwards, swap contracts, and written options. The following is a summary of the levels used as of April 30, 2010 in valuing the funds assets
or liabilities:
|
|
|
|
|
|
|
|
|
|
|
Investments at Value
|
|
Level 1
|
|
|
Level 2
|
|
Level 3
|
|
Total
|
|
Equity Securities
|
|
$2,735,351
|
|
|
$1,697,089
|
|
$33,385
|
|
$4,465,825
|
|
U.S. Treasury Bonds & U.S. Government Agency & Equivalents
|
|
|
|
|
24,609,252
|
|
|
|
24,609,252
|
|
Non-U.S. Sovereign Debt
|
|
|
|
|
128,951,765
|
|
|
|
128,951,765
|
|
Corporate Bonds
|
|
|
|
|
344,211,715
|
|
|
|
344,211,715
|
|
Residential Mortgage-Backed Securities
|
|
|
|
|
1,988,831
|
|
|
|
1,988,831
|
|
Commercial Mortgage-Backed Securities
|
|
|
|
|
30,883,581
|
|
|
|
30,883,581
|
|
Asset-Backed Securities
(including CDOs)
|
|
|
|
|
1,342,453
|
|
|
|
1,342,453
|
|
Foreign Bonds
|
|
|
|
|
94,407,692
|
|
|
|
94,407,692
|
|
Floating Rate Loans
|
|
|
|
|
7,309,465
|
|
|
|
7,309,465
|
|
Mutual Funds
|
|
10,202,895
|
|
|
|
|
|
|
10,202,895
|
|
Total Investments
|
|
$12,938,246
|
|
|
$635,401,843
|
|
$33,385
|
|
$648,373,474
|
|
|
|
|
|
|
Other Financial Instruments
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$(595,291
|
)
|
|
$
|
|
$
|
|
$(595,291
|
)
|
Forward Currency Contracts
|
|
|
|
|
808,965
|
|
|
|
808,965
|
|
41
Notes to Financial Statements (unaudited) continued
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 table presents the activity of Level 3 securities held at the beginning and the end of the period.
|
|
|
|
|
Equity
Securities
|
Balance as of 10/31/09
|
|
$7,310
|
Accrued discounts/premiums
|
|
|
Realized gain (loss)
|
|
|
Change in unrealized appreciation (depreciation)
|
|
26,075
|
Net purchases (sales)
|
|
|
Transfers in and/or out of Level 3
|
|
|
Balance as of 4/30/10
|
|
$33,385
|
The net change in unrealized
(depreciation) from investments still held as Level 3 at April 30, 2010 is $26,075.
Foreign Currency Translation
Purchases and sales of foreign investments, income, and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions or on the reporting date for foreign denominated receivables
and payables. Gains and losses attributable to foreign currency exchange rates on sales of securities are recorded for financial statement purposes as net realized gains and losses on investments. Gains and losses attributable to foreign exchange
rate movements on receivables, payables, income and expenses are recorded for financial statement purposes as foreign currency transaction gains and losses. That portion of both realized and unrealized gains and losses on investments that results
from fluctuations in foreign currency exchange rates is not separately disclosed.
Derivatives
The fund may use derivatives
for different purposes, including to earn income and enhance returns, to increase or decrease exposure to a particular market, to manage or adjust the risk profile of the fund, or as alternatives to direct investments. Derivatives may be used for
hedging or non-hedging purposes. While hedging can reduce or eliminate losses, it can also reduce or eliminate gains. When the fund uses derivatives as an investment to increase market exposure, or for hedging purposes, gains and losses from
derivative instruments may be substantially greater than the derivatives original cost.
Derivative instruments include written options,
purchased options, futures contracts, forward foreign currency exchange contracts, and swap agreements. The funds period end derivatives, as presented in the Portfolio of Investments and the associated Derivative Contract Tables, generally are
indicative of the volume of its derivative activity during the period.
42
Notes to Financial Statements (unaudited) continued
The following table presents, by major type of derivative contract, the fair
value, on a gross basis, of the asset and liability components of derivatives held by the fund at April 30, 2010:
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value (a)
|
|
Risk
|
|
Derivative
|
|
Asset Derivatives
|
|
Liability Derivatives
|
|
Interest Rate Contracts
|
|
Interest Rate Futures
|
|
$
|
|
$(595,291
|
)
|
Foreign Exchange Contracts
|
|
Forward Foreign Currency Exchange Contracts
|
|
1,160,045
|
|
(351,080
|
)
|
Total
|
|
|
|
$1,160,045
|
|
$(946,371
|
)
|
(a)
|
All derivative valuations are specifically referenced within the funds Statement of Assets and Liabilities except for futures contracts. The value of futures contracts
outstanding includes cumulative appreciation/depreciation as reported in the funds Portfolio of Investments. Only the current day variation margin for futures contracts is separately reported within the funds Statement of Assets and
Liabilities.
|
The following table presents, by major type of derivative contract, the realized gain (loss) on derivatives held by
the fund for the six months ended April 30, 2010 as reported in the Statement of Operations:
|
|
|
|
|
|
|
|
|
|
|
Futures
Contracts
|
|
|
Swap
Transactions
|
|
|
Foreign
Currency
Transactions
|
Interest Rate Contracts
|
|
$(134,383
|
)
|
|
$
|
|
|
$
|
Foreign Exchange Contracts
|
|
|
|
|
|
|
|
3,287,817
|
Credit Contracts
|
|
|
|
|
(9,513
|
)
|
|
|
Total
|
|
$(134,383
|
)
|
|
$(9,513
|
)
|
|
$3,287,817
|
The following table presents, by major type
of derivative contract, the change in unrealized appreciation (depreciation) on derivatives held by the fund for the six months ended April 30, 2010 as reported in the Statement of Operations:
|
|
|
|
|
|
|
|
|
|
|
Futures
Contracts
|
|
|
Swap
Transactions
|
|
|
Translation
of Assets
and
Liabilities in
Foreign
Currencies
|
Interest Rate Contracts
|
|
$(818,418
|
)
|
|
$
|
|
|
$
|
Foreign Exchange Contracts
|
|
|
|
|
|
|
|
1,011,632
|
Credit Contracts
|
|
|
|
|
(7,075
|
)
|
|
|
Total
|
|
$(818,418
|
)
|
|
$(7,075
|
)
|
|
$1,011,632
|
Derivative counterparty credit risk is
managed through formal evaluation of the creditworthiness of all potential counterparties. On certain over-the-counter derivatives, the fund attempts to reduce its exposure to counterparty credit risk whenever possible by entering
into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of the
43
Notes to Financial Statements (unaudited) continued
counterparties with whom it undertakes a significant volume of transactions. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under
such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close
out all transactions traded under such agreement and to net amounts owed under each transaction to one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the
ISDA Master Agreement could result in a reduction of the funds credit risk to such counterparty equal to any amounts payable by the fund under the applicable transactions, if any. However, absent an event of default by the
counterparty or a termination of the agreement, the ISDA Master Agreement does not result in an offset of reported balance sheet assets and liabilities across transactions between the fund and the applicable counterparty.
Collateral requirements differ by type of derivative. Collateral or margin requirements are set by the broker or exchange clearing house for exchange
traded derivatives (i.e., futures and exchange-traded options) while collateral terms are contract specific for over-the-counter traded derivatives (i.e., forwards, swaps and over-the-counter options). For derivatives traded under an ISDA Master
Agreement, the collateral requirements are netted across all transactions traded under such agreement and one amount is posted from one party to the other to collateralize such obligations. Cash collateral that has been pledged to cover obligations
of the fund under derivative contracts will be reported separately on the Statement of Assets and Liabilities as restricted cash. Securities collateral pledged for the same purpose is noted in the Portfolio of Investments.
Futures Contracts
The fund may use futures contracts to gain or to hedge against broad market, interest rate or currency exposure. A futures
contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a
futures contract, the fund is required to deposit with the broker, either in cash or securities, an initial margin in an amount equal to a certain percentage of the notional amount of the contract. Subsequent payments (variation margin) are made or
received by the fund each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gain or loss by the fund until the contract is closed or expires at which point the gain
or loss on futures is realized.
The fund bears the risk of interest rates, exchange rates or securities prices moving unexpectedly, in which
case, the fund may not achieve the anticipated
44
Notes to Financial Statements (unaudited) continued
benefits of the futures contracts and may realize a loss. While futures may present less counterparty risk to the fund since the contracts are exchange traded and the exchanges
clearinghouse guarantees payments to the broker, there is still counterparty credit risk due to the insolvency of the broker. The funds maximum risk of loss due to counterparty credit risk is equal to the margin posted by the fund to the
broker plus any gains or minus any losses on the outstanding futures contracts.
Forward Foreign Currency Exchange Contracts
The
fund may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date to hedge the funds currency risk or for non-hedging purposes. For hedging purposes, the
fund may enter into contracts to deliver or receive foreign currency that the fund will receive from or use in its normal investment activities. The fund may also use contracts to hedge against declines in the value of foreign currency denominated
securities due to unfavorable exchange rate movements. For non-hedging purposes, the fund may enter into contracts with the intent of changing the relative exposure of the funds portfolio of securities to different currencies to take advantage
of anticipated exchange rate changes.
Forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying
currency and any unrealized gains or losses are recorded as a receivable or payable for forward foreign currency exchange contracts until the contract settlement date. On contract settlement date, any gain or loss on the contract is recorded as
realized gains or losses on foreign currency transactions.
Risks may arise upon entering into these contracts from unanticipated movements in
the value of the contract and from the potential inability of counterparties to meet the terms of their contracts. The funds maximum risk due to counterparty credit risk is the notional amount of the contract. This risk is mitigated in cases
where there is an ISDA Master Agreement between the fund and the counterparty providing for netting as described above and for posting of collateral by the counterparty to the fund to cover the funds exposure to the counterparty under such
ISDA Master Agreement.
Swap Agreements
The fund may enter into swap agreements. A swap is generally an exchange of cash
payments, at specified intervals or upon the occurrence of specified events, between the fund and a counterparty. The net cash payments exchanged are recorded as a realized gain or loss on swap transactions in the Statement of Operations. The value
of the swap, which is adjusted daily and includes any related interest accruals to be paid or received by the fund, is recorded on the Statement of Assets and Liabilities. The daily change in value, including any related interest accruals to be paid
or received, is recorded as unrealized appreciation or depreciation on swap transactions in
45
Notes to Financial Statements (unaudited) continued
the Statement of Operations. Amounts paid or received at the inception of the swap are reflected as premiums paid or received on the Statement of Assets and Liabilities and are amortized using
the effective interest method over the term of the agreement. A liquidation payment received or made upon early termination is recorded as a realized gain or loss on swap transactions in the Statement of Operations.
Risks related to swap agreements include the possible lack of a liquid market, unfavorable market and interest rate movements of the underlying instrument
and the failure of the counterparty to perform under the terms of the agreements. To address counterparty risk, swap transactions are limited to only highly-rated counterparties. The risk is further mitigated by having an ISDA Master Agreement
between the fund and the counterparty providing for netting as described above and by the posting of collateral by the counterparty to the fund to cover the funds exposure to the counterparty under such ISDA Master Agreement.
The fund may enter into credit default swaps to manage its exposure to the market or certain sectors of the market, to reduce its credit risk exposure to
defaults of corporate and sovereign issuers or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. In a credit default swap, the protection buyer can make an upfront payment and will make a stream of payments
based on a fixed percentage applied to the contract notional amount to the protection seller in exchange for the right to receive a specified return upon the occurrence of a defined credit event on the reference obligation (which may be either a
single security or a basket of securities issued by corporate or sovereign issuers) and, with respect to the rare cases where physical settlement applies, the delivery by the buyer to the seller of a defined deliverable obligation. Although
contract-specific, credit events generally consist of a combination of the following: bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium, each as defined in the 2003 ISDA Credit
Derivatives Definitions as amended by the relevant contract. Restructuring is generally not applicable when the reference obligation is issued by a North American corporation and obligation acceleration, obligation default, or repudiation/moratorium
are generally only applicable when the reference obligation is issued by a sovereign entity or an entity in an emerging country. Upon determination of the final price for the deliverable obligation (or upon delivery of the deliverable obligation in
the case of physical settlement), the difference between the value of the deliverable obligation and the swaps notional amount is recorded as realized gain or loss on swap transactions in the Statement of Operations.
The funds maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the
contract.
46
Notes to Financial Statements (unaudited) continued
This risk is mitigated by having an ISDA Master Agreement between the fund and the counterparty providing for netting as described above and by the posting of collateral by the counterparty to
the fund to cover the funds exposure to the counterparty under such ISDA Master Agreement.
Hybrid Instruments
The fund may
invest in indexed or hybrid securities on which any combination of interest payments, the principal or stated amount payable at maturity is determined by reference to prices of other securities, currencies, indices, economic factors or other
measures, including interest rates, currency exchange rates, or securities indices. The risks of investing in hybrid instruments reflect a combination of the risks of investing in securities, swaps, options, futures and currencies. Hybrid
instruments are potentially more volatile and carry greater market risks than traditional debt instruments. Depending on the structure of the particular hybrid instrument, changes in a benchmark, underlying assets or economic indicator may be
magnified by the terms of the hybrid instrument and have an even more dramatic and substantial effect upon the value of the hybrid instrument. Also, the prices of the hybrid instrument and the benchmark, underlying asset or economic indicator may
not move in the same direction or at the same time.
Loans and Other Direct Debt Instruments
The fund may invest in loans and
loan participations or other receivables. These investments may include standby financing commitments, including revolving credit facilities, which obligate the fund to supply additional cash to the borrower on demand. Loan participations involve a
risk of insolvency of the lending bank or other financial intermediary.
Statement of Cash Flows
Information on financial
transactions which have been settled through the receipt or disbursement of cash is presented in the Statement of Cash Flows. The cash amount shown in the Statement of Cash Flows is the amount included within the funds Statement of Assets and
Liabilities and includes cash on hand at its custodian bank and does not include any short term investments.
Indemnifications
Under the funds organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the fund. Additionally, in the normal course of business, the
fund enters into agreements with service providers that may contain indemnification clauses. The funds maximum exposure under these agreements is unknown as this would involve future claims that may be made against the fund that have not yet
occurred.
Investment Transactions and Income
Investment transactions are recorded on the trade date. Interest income is recorded
on the accrual basis. All premium and discount is amortized or accreted for financial statement purposes in accordance with U.S. generally accepted accounting principles. The
47
Notes to Financial Statements (unaudited) continued
fund earns certain fees in connection with its floating rate loan purchasing activities. These fees are in addition to interest payments earned and may include amendment fees, commitment fees,
facility fees, consent fees, and prepayment fees. Commitment fees are recorded on an accrual basis as income in the accompanying financial statements. Dividends received in cash are recorded on the ex-dividend date. Certain dividends from foreign
securities will be recorded when the fund is informed of the dividend if such information is obtained subsequent to the ex-dividend date. Dividend and interest payments received in additional securities are recorded on the ex-dividend or ex-interest
date in an amount equal to the value of the security on such date. Debt obligations may be placed on non-accrual status or set to accrue at a rate of interest less than the contractual coupon when the collection of all or a portion of interest has
become doubtful. Interest income for those debt obligations may be further reduced by the write-off of the related interest receivables.
The fund may receive proceeds from litigation settlements. Any proceeds received from litigation involving portfolio holdings are reflected in the
Statement of Operations in realized gain/loss if the security has been disposed of by the fund or in unrealized gain/loss if the security is still held by the fund. Any other proceeds from litigation not related to portfolio holdings are reflected
as other income in the Statement of Operations.
Fees Paid Indirectly
The funds custody fee may be reduced according to an
arrangement that measures the value of cash deposited with the custodian by the fund. This amount, for the six months ended April 30, 2010, is shown as a reduction of total expenses on the Statement of Operations.
Tax Matters and Distributions
The fund intends to qualify as a regulated investment company, as defined under Subchapter M of the Internal
Revenue Code, and to distribute all of its taxable income, including realized capital gains. As a result, no provision for federal income tax is required. The funds federal tax returns for the prior three fiscal years remain subject to
examination by the Internal Revenue Service. Foreign taxes, if any, have been accrued by the fund in the accompanying financial statements.
Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax
regulations, which may differ from U.S. generally accepted accounting principles. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments
have no impact on net assets or net asset value per share. Temporary differences which arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in
the future. Distributions in excess of net investment income or net realized gains are temporary overdistributions for
48
Notes to Financial Statements (unaudited) continued
financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.
Book/tax differences primarily relate to expiration of capital loss carryforwards, amortization and accretion of debt securities, straddle loss deferrals,
and foreign currency transactions.
The tax character of distributions made during the current period will be determined at fiscal year end.
The tax character of distributions declared to shareholders for the last fiscal year is as follows:
|
|
|
|
|
10/31/09
|
Ordinary income (including any short-term capital gains)
|
|
$39,751,012
|
The federal tax cost and the tax
basis components of distributable earnings were as follows:
|
|
|
|
As of 4/30/10
|
|
|
|
Cost of investments
|
|
$617,572,313
|
|
Gross appreciation
|
|
47,180,342
|
|
Gross depreciation
|
|
(16,379,181
|
)
|
Net unrealized appreciation (depreciation)
|
|
$30,801,161
|
|
|
|
As of 10/31/09
|
|
|
|
Undistributed ordinary income
|
|
1,483,129
|
|
Capital loss carryforwards
|
|
(60,320,974
|
)
|
Other temporary differences
|
|
(5,667,005
|
)
|
Net unrealized appreciation (depreciation)
|
|
25,269,430
|
|
The aggregate cost above includes
prior fiscal year end tax adjustments, if applicable.
As of October 31, 2009, the fund had capital loss carryforwards available to
offset future realized gains. Such losses expire as follows:
|
|
|
|
10/31/10
|
|
$(38,291,079
|
)
|
10/31/14
|
|
(7,878,924
|
)
|
10/31/15
|
|
(2,289,608
|
)
|
10/31/16
|
|
(9,141,808
|
)
|
10/31/17
|
|
(2,719,555
|
)
|
|
|
$(60,320,974
|
)
|
49
Notes to Financial Statements (unaudited) continued
(3)
|
|
Transactions with Affiliates
|
Investment
Adviser
The fund has an investment advisory agreement with MFS to provide overall investment management and related administrative services and facilities to the fund. The management fee is computed daily and paid monthly at an annual
rate of 0.34% of the funds average daily net assets and 5.40% of gross income. Gross income is calculated based on tax elections that generally include the accretion of discount and exclude the amortization of premium, which may differ from
investment income reported in the Statement of Operations. The management fee, from net assets and gross income, incurred for the six months ended April 30, 2010 was equivalent to an annual effective rate of 0.84% of the funds average
daily net assets.
Transfer Agent
The fund engages Computershare Trust Company, N.A. (Computershare) as the sole
transfer agent for the fund. MFS Service Center, Inc. (MFSC) monitors and supervises the activities of Computershare for an agreed upon fee approved by the Board of Trustees. For the six months ended April 30, 2010, these fees paid to MFSC
amounted to $32,543. MFSC also receives payment from the fund for out-of-pocket expenses paid by MFSC on behalf of the fund. For the six months ended April 30, 2010, the fund did not pay any out-of-pocket expenses to MFSC.
Administrator
MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to the fund.
Under an administrative services agreement, the fund partially reimburses MFS the costs incurred to provide these services. The fund is charged an annual fixed amount of $17,500 plus a fee based on average daily net assets. The administrative
services fee incurred for the six months ended April 30, 2010 was equivalent to an annual effective rate of 0.0162% of the funds average daily net assets.
Trustees and Officers Compensation
The fund pays compensation to independent Trustees in the form of a retainer, attendance
fees, and additional compensation to Board and Committee chairpersons. The fund does not pay compensation directly to Trustees or to officers of the fund who are also officers of the investment adviser, all of whom receive remuneration for their
services to the fund from MFS. Certain officers and Trustees of the fund are officers or directors of MFS and MFSC.
Prior to December 31,
2001, the fund had an unfunded defined benefit plan (DB plan) for independent Trustees. As of December 31, 2001, the Board took action to terminate the DB plan with respect to then-current and any future independent Trustees, such
that the DB Plan covers only certain of those former independent Trustees who retired on or before December 31, 2001. Effective January 1, 2002, accrued benefits under the DB Plan for then-current independent Trustees who continued were
credited to an unfunded retirement
50
Notes to Financial Statements (unaudited) continued
deferral plan (the Retirement Deferral plan), which was established for and exists solely with respect to these credited amounts, and is not available for other deferrals by these or
other independent Trustees. Although the Retirement Deferral plan is unfunded, amounts deferred under the plan are periodically adjusted for investment experience as if they had been invested in shares of the fund. The DB Plan resulted in a pension
expense of $5,598 and the Retirement Deferral plan resulted in an expense of $9,825. Both amounts are included in independent Trustees compensation for the six months ended April 30, 2010. The liability for deferred retirement benefits
payable to certain independent Trustees under both plans amounted to $192,321 at April 30, 2010, and is included in payable for independent Trustees compensation on the Statement of Assets and Liabilities.
Deferred Trustee Compensation
Under a Deferred Compensation Plan (the Plan), independent Trustees previously were allowed to
elect to defer receipt of all or a portion of their annual compensation. Effective January 1, 2005, the Board elected to no longer allow Trustees to defer receipt of future compensation under the Plan. Amounts deferred under the Plan are
invested in shares of certain MFS Funds selected by the independent Trustees as notional investments. Deferred amounts represent an unsecured obligation of the fund until distributed in accordance with the Plan. Included in other assets and payable
for independent Trustees compensation on the Statement of Assets and Liabilities is $56,489 of deferred Trustees compensation. There is no current year expense associated with the Plan.
Other
This fund and certain other funds managed by MFS (the funds) have entered into services agreements (the Agreements) which provide for
payment of fees by the funds to Tarantino LLC and Griffin Compliance LLC in return for the provision of services of an Independent Chief Compliance Officer (ICCO) and Assistant ICCO, respectively, for the funds. The ICCO and Assistant ICCO are
officers of the funds and the sole members of Tarantino LLC and Griffin Compliance LLC, respectively. The funds can terminate the Agreements with Tarantino LLC and Griffin Compliance LLC at any time under the terms of the Agreements. For the six
months ended April 30, 2010, the aggregate fees paid by the fund to Tarantino LLC and Griffin Compliance LLC were $3,342 and are included in miscellaneous expense on the Statement of Operations. MFS has agreed to reimburse the fund for a
portion of the payments made by the fund in the amount of $1,199, which is shown as a reduction of total expenses in the Statement of Operations. Additionally, MFS has agreed to bear all expenses associated with office space, other administrative
support, and supplies provided to the ICCO and Assistant ICCO.
51
Notes to Financial Statements (unaudited) continued
The fund may invest in the MFS Institutional Money Market Portfolio which is
managed by MFS and seeks a high level of current income consistent with preservation of capital and liquidity. Income earned on this investment is included in dividends from underlying funds on the Statement of Operations. This money market fund
does not pay a management fee to MFS.
Purchases and sales of
investments, other than purchased option transactions, and short-term obligations, were as follows:
|
|
|
|
|
|
|
Purchases
|
|
Sales
|
U.S. Government securities
|
|
$9,551,719
|
|
$0
|
Investments (non-U.S. Government securities)
|
|
$199,615,421
|
|
$213,282,901
|
(5)
|
|
Shares of Beneficial Interest
|
The funds
Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest. The Trustees have authorized the repurchase by the fund of up to 10% annually of its own shares of beneficial interest.
During the six months ended April 30, 2010, the fund did not repurchase any shares. The fund repurchased and retired 416,000 shares of beneficial interest during the year ended October 31, 2009 at an average price per share of $4.42 and a
weighted average discount of 17.89% per share. Transactions in fund shares were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Six months ended
4/30/10
|
|
Year ended
10/31/09
|
|
|
|
Shares
|
|
Amount
|
|
Shares
|
|
|
Amount
|
|
Treasury shares reacquired
|
|
|
|
$
|
|
(416,000
|
)
|
|
$(1,838,958
|
)
|
The fund has a credit agreement
with a bank for a revolving secured line of credit that can be drawn upon up to $100,000,000. At April 30, 2010, the fund had outstanding borrowings under this agreement in the amount of $100,000,000, which are secured by a lien on the
funds assets. The loans carrying value on the funds Statement of Assets and Liabilities approximates its fair value. The credit agreement matures on August 27, 2010. Borrowing under the agreement can be made for liquidity or
leverage purposes. Interest is charged at a rate per annum equal to LIBOR plus an agreed upon spread or an alternate rate, at the option of the borrower, stated as the greater of Overnight LIBOR or the Federal Funds Rate each plus an agreed upon
spread or the banks prime lending rate. The fund incurred interest expense of $772,413 during the period. The fund may also be charged a commitment fee based on the average daily unused portion of the line of credit. The fund did not incur a
commitment fee during the period. For the six months ended April 30, 2010, the average loan balance was $100,000,000 at a weighted average annual interest rate of 1.56%.
52
Notes to Financial Statements (unaudited) continued
The fund is subject to certain covenants including, but not limited to, requirements with respect to asset coverage, portfolio diversification and liquidity.
(7)
|
|
Transactions in Underlying 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 affiliated issuers:
|
|
|
|
|
|
|
|
|
|
Underlying Funds
|
|
Beginning
Shares/Par
Amount
|
|
Acquisitions
Shares/Par
Amount
|
|
Dispositions
Shares/Par
Amount
|
|
|
Ending
Shares/Par
Amount
|
MFS Institutional Money
Market Portfolio
|
|
15,196,961
|
|
110,306,413
|
|
(115,300,479
|
)
|
|
10,202,895
|
|
|
|
|
|
Underlying Funds
|
|
Realized
Gain (Loss)
|
|
Capital Gain
Distributions
|
|
Dividend
Income
|
|
|
Ending
Value
|
MFS Institutional Money
Market Portfolio
|
|
$
|
|
$
|
|
$17,034
|
|
|
$10,202,895
|
53
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Trustees and Shareholders of MFS Multimarket Income Trust:
We have reviewed the accompanying statement of assets and liabilities of MFS Multimarket Income Trust (the Fund), including the portfolio of investments,
as of April 30, 2010, and the related statements of operations, changes in net assets, cash flows, and financial highlights for the six-month period ended April 30, 2010. These interim financial statements and financial highlights are the
responsibility of the Funds management.
We conducted our review in accordance with the standards of the Public Company Accounting
Oversight Board (United States). A review of interim financial information consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope
than an audit conducted in accordance with the standards of the Public Company Accounting Oversight Board, the objective of which is the expression of an opinion regarding the financial statements taken as a whole. Accordingly, we do not express
such an opinion.
Based on our review, we are not aware of any material modifications that should be made to the accompanying interim
financial statements and financial highlights for them to be in conformity with U.S. generally accepted accounting principles.
We have
previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the statement of changes in net assets for the year ended October 31, 2009, and financial highlights for each of the five
years in the period ended October 31, 2009, and in our report dated December 17, 2009, we expressed an unqualified opinion on such statement of changes in net assets and financial highlights.
Boston, Massachusetts
June 16, 2010
54
BOARD REVIEW OF INVESTMENT ADVISORY AGREEMENT
A discussion regarding the Boards most recent review and renewal of the funds Investment Advisory Agreement with MFS is available by clicking
on the funds name under Closed End Funds in the Products and Performance section of the MFS Web site
(mfs.com)
.
PROXY VOTING POLICIES AND INFORMATION
A general description of the MFS funds proxy voting policies and procedures is available without charge, upon request, by calling 1-800-225-2606, by
visiting the Proxy Voting section of
mfs.com
or by visiting the SECs Web site at
http://www.sec.gov
.
Information regarding
how the fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available without charge by visiting the Proxy Voting section of
mfs.com
or by visiting the SECs Web site at
http://www.sec.gov.
QUARTERLY PORTFOLIO DISCLOSURE
The fund will file a complete schedule of portfolio holdings with the Securities and Exchange Commission (the Commission) for the first and third quarters
of each fiscal year on Form N-Q. The funds Form N-Q may be reviewed and copied at the:
Public Reference Room
Securities and Exchange Commission
100 F Street, NE, Room 1580
Washington, D.C. 20549
Information on the operation of the Public Reference Room may be obtained by calling the Commission at 1-800-SEC-0330. The funds Form N-Q is
available on the EDGAR database on the Commissions Internet Web site at
http://www.sec.gov,
and copies of this information may be obtained, upon payment of a duplicating fee, by electronic request at the following e-mail address:
publicinfo@sec.gov or by writing the Public Reference Section at the above address.
A shareholder can also obtain the quarterly portfolio
holdings report at
mfs.com
.
FURTHER INFORMATION
From time to time, MFS may post important information about the fund or the MFS funds on the MFS web site (
mfs.com
). This information is available
by visiting the News & Commentary section of
mfs.com
or by clicking on the funds name under Closed End Funds in the Products and Performance section of
mfs.com
.
55
CONTACT US
Transfer Agent, Registrar and Dividend Disbursing Agent
Call
1-800-637-2304
9 a.m. to 5 p.m. Eastern time
Write
Computershare Trust Company, N.A.
P.O. Box 43078
Providence, RI 02940-3078
|
|
|
500 Boylston Street, Boston, MA 02116
|
|
New York Stock Exchange Symbol: MMT
|
The Registrant has not
amended any provision in its Code of Ethics (the Code) that relates to any element of the Codes definition enumerated in paragraph (b) of Item 2 of this Form N-CSR.
ITEM 3.
|
AUDIT COMMITTEE FINANCIAL EXPERT.
|
Not
applicable for semi-annual reports.
ITEM 4.
|
PRINCIPAL ACCOUNTANT FEES AND SERVICES.
|
Not applicable for semi-annual reports.
ITEM 5.
|
AUDIT COMMITTEE OF LISTED REGISTRANTS.
|
Not applicable for semi-annual reports.
ITEM 6.
|
SCHEDULE OF INVESTMENTS
|
A schedule of
investments for each series of the Registrant is included as part of the report to shareholders of such series under Item 1 of this Form N-CSR.
ITEM 7.
|
DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
|
Not applicable for semi-annual reports.
ITEM 8.
|
PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
|
There were no changes during this period.
ITEM 9.
|
PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
|
MFS Multimarket Income Trust
|
|
|
|
|
|
|
|
|
Period
|
|
(a) Total number of
Shares Purchased
|
|
(b) Average Price
Paid per Share
|
|
(c) Total Number of
Shares Purchased as
Part of Publicly
Announced Plans
or
Programs
|
|
(d) Maximum Number
(or
Approximate
Dollar Value) of
Shares that May
Yet Be Purchased under
the Plans or Programs
|
11/01/09-11/30/09
|
|
0
|
|
N/A
|
|
0
|
|
7,837,810
|
12/01/09-12/31/09
|
|
0
|
|
N/A
|
|
0
|
|
7,837,810
|
1/01/10-1/31/10
|
|
0
|
|
N/A
|
|
0
|
|
7,837,810
|
2/01/10-2/28/10
|
|
0
|
|
N/A
|
|
0
|
|
7,837,810
|
3/01/10-3/31/10
|
|
0
|
|
N/A
|
|
0
|
|
7,837,810
|
4/01/10-4/30/10
|
|
0
|
|
N/A
|
|
0
|
|
7,837,810
|
Total
|
|
0
|
|
|
|
0
|
|
|
Note: The Board of Trustees approves procedures to repurchase shares annually. The
notification to shareholders of the program is part of the semi-annual and annual reports sent to shareholders. These annual programs begin on
March 1
st
of each year. The programs conform to the
conditions of Rule 10b-18 of the securities Exchange Act of 1934 and limit the aggregate number of shares that may be purchased in each annual period (March 1 through the following February 28) to 10% of the Registrants outstanding shares
as of the first day of the plan year (March 1). The aggregate number of shares available for purchase for the March 1, 2010 plan year is 7,837,810.
ITEM 10.
|
SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
|
There were no material changes to the procedures by which shareholders may send recommendations to the Board for nominees to the Registrants Board
since the Registrant last provided disclosure as to such procedures in response to the requirements of Item 407 (c)(2)(iv) of Regulation S-K or this Item.
ITEM 11.
|
CONTROLS AND PROCEDURES.
|
(a)
|
Based upon their evaluation of the registrants 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-CSR, the registrants 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 Commissions rules and forms.
|
(b)
|
There were no changes in the registrants internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second
fiscal quarter covered by the report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting.
|
(a)
|
File the exhibits listed below as part of this form. Letter or number the exhibits in the sequence indicated.
|
|
(1)
|
Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the
Item 2 requirements through filing of an exhibit.
|
|
(2)
|
A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR
270.30a-2): Attached hereto.
|
(b)
|
If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)),
Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this
paragraph will not be deemed filed for the purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into
any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference: Attached hereto.
|
Notice
A copy of the Amended and Restated Declaration of Trust 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)*
|
|
MARIA F. DWYER
|
|
|
Maria F. Dwyer, President
|
Date:
June 16, 2010
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)*
|
|
MARIA F. DWYER
|
|
|
Maria F. Dwyer, President (Principal Executive Officer)
|
Date: June 16, 2010
|
|
|
By (Signature and Title)*
|
|
JOHN M. CORCORAN
|
|
|
John M. Corcoran, Treasurer (Principal Financial Officer and Accounting Officer)
|
Date: June 16, 2010
*
|
Print name and title of each signing officer under his or her signature.
|
MFS Multimarket Income (NYSE:MMT)
Historical Stock Chart
From Jul 2024 to Aug 2024
MFS Multimarket Income (NYSE:MMT)
Historical Stock Chart
From Aug 2023 to Aug 2024