UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4975
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MFS MULTIMARKET INCOME TRUST
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(Exact name of registrant as specified in charter)
500 Boylston Street, Boston, Massachusetts 02116
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(Address of principal executive offices) (Zip code)
Susan S. Newton
Massachusetts Financial Services Company
500 Boylston Street
Boston, Massachusetts 02116
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(Name and address of agents for service)
Registrant's telephone number, including area code: (617) 954-5000
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Date of fiscal year end: October 31
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Date of reporting period: July 31, 2005
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ITEM 1. SCHEDULE OF INVESTMENTS.
MFS(R) Mutual Funds
QUARTERLY PORTFOLIO HOLDINGS 07/31/05
MFS(R) MULTIMARKET INCOME TRUST
[graphic omitted]
[logo] M F S(R)
INVESTMENT MANAGEMENT
MFS(R) MULTIMARKET INCOME TRUST
PORTFOLIO OF INVESTMENTS (Unaudited) 07/31/2005
ISSUER PAR AMOUNT $ VALUE
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BONDS - 90.8%
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ADVERTISING & BROADCASTING - 3.0%
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Allbritton Communications Co., 7.75%, 2012 $ 795,000 $ 795,994
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Azteca Holdings S.A. de C. V., 10.75%, 2008 15,185 15,488
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Azteca Holdings S.A. de C. V., 12.25%, 2008 11,250 12,038
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DIRECTV Holdings LLC, 8.375%, 2013 1,934,000 2,144,323
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Echostar DBS Corp., 6.375%, 2011 4,205,000 4,189,231
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Innova S. de R. L., 9.375%, 2013 469,000 529,970
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Intelsat Ltd., 8.625%, 2015# 580,000 617,700
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Lamar Media Corp., 7.25%, 2013 2,370,000 2,518,125
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Liberty Media Corp., 5.7%, 2013 2,799,000 2,590,410
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News America Holdings, 7.7%, 2025 2,217,000 2,635,665
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Paxson Communications Corp., 0% to 2006, 12.25% to 2009 1,000,000 950,000
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$ 16,998,944
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AEROSPACE - 0.1%
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Rolls-Royce PLC, 6.375%, 2007 EUR 300,000 $ 389,150
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AIRLINES - 0.6%
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Continental Airlines, Inc., 6.545%, 2019 $ 2,265,332 $ 2,259,363
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Continental Airlines, Inc., 7.566%, 2020 1,049,526 891,167
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$ 3,150,530
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APPAREL MANUFACTURERS - 0%
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Quicksilver, Inc., 6.875%, 2015# $ 110,000 $ 110,825
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ASSET BACKED & SECURITIZED - 10.8%
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Airplane Pass-Through Trust, 10.875%, 2019** $ 246,925 $ 741
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Amresco Commercial Mortgage Funding I, 7%, 2029 3,570,000 3,659,500
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ARCap, Inc., 6.1%, 2045# 2,000,000 1,880,000
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Asset Securitization Corp., FRN, 8.2914%, 2029 1,877,956 1,930,367
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Chalet Finance 1 PLC, 2.323%, 2013 EUR 300,000 364,247
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Commercial Mortgage Acceptance Corp., 5.44%, 2030# $ 3,500,000 3,521,121
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Countrywide Asset-Backed Certificates, 4.575%, 2035 614,000 610,788
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CPS Auto Receivables Trust, 2.89%, 2009# 481,646 476,228
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Credit Suisse First Boston Mortgage Securities Corp., 6.38%, 2035 2,384,781 2,555,019
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Crest Ltd., 7%, 2040# 2,000,000 1,903,029
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DEPFA Bank, 5.5%, 2010 EUR 960,000 1,302,246
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Deutsche Mortgage & Asset Receiving Corp., 7.5%, 2031 $ 1,847,000 1,763,885
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DLJ Commercial Mortgage Corp., 6.04%, 2031 2,000,000 2,001,589
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Europa Ltd., FRN, 2.431%, 2027 EUR 93,550 113,499
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Falcon Franchise Loan LLC, FRN, 4.1108%, 2025^ $ 8,875,217 1,514,186
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First Union National Bank Commercial Mortgage Trust, FRN, 1.2063%, 2043#^ 30,671,299 1,333,208
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First Union-Lehman Brothers Bank of America, FRN, 0.6976%, 2035^ 72,180,633 1,443,086
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First Union-Lehman Brothers Commercial Mortgage Trust, 7%, 2029# 1,847,000 2,037,900
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First Union-Lehman Brothers Commercial Mortgage Trust, FRN, 7.5%, 2029 1,846,973 2,123,392
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GE Capital Commercial Mortgage Corp., 6.496%, 2033 2,384,781 2,567,262
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GMAC Commercial Mortgage Securities, Inc., 6.02%, 2033 2,542,000 2,401,712
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GMAC Commercial Mortgage Securities, Inc., FRN, 7.9079%, 2034# 1,853,000 2,014,052
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Granites Mortgages PLC, 5.15% to 2007, FRN to 2042 EUR 350,000 443,600
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J. P. Morgan Chase Commercial Mortgage Securities Corp., FRN, 3.5881%, 2046 $ 2,592,895 2,592,984
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Lehman Brothers Commercial Conduit Mortgage Trust, FRN, 1.1567%, 2030^ 19,036,718 572,244
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Morgan Stanley Capital I, Inc., 6.86%, 2010 2,215,000 2,266,147
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Morgan Stanley Capital I, Inc., 1.3399%, 2039#^ 14,915,475 1,235,001
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Mortgage Capital Funding, Inc., 7.214%, 2007 2,250,000 2,341,410
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Mortgage Capital Funding, Inc., 6.337%, 2031 2,177,957 2,260,453
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Mortgage Capital Funding, Inc., FRN, 0.9824%, 2031^ 20,601,020 378,674
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Multi-Family Capital Access One, Inc., 6.65%, 2024 122,977 128,709
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Prudential Securities Secured Financing Corp., FRN, 7.4094%, 2013# 2,581,000 2,836,789
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RMAC PLC, 2.313%, 2036# EUR 230,000 279,048
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Structured Asset Securities Corp., FRN, 4.67%, 2035 $ 4,570,839 4,512,689
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TIAA Real Estate CDO Ltd., 7.17%, 2032# 3,053,959 3,156,534
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$ 60,521,339
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AUTOMOTIVE - 3.4%
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Affinia Group, Inc., 9%, 2014# $ 120,000 $ 96,000
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Continental AG, 6.875%, 2008 EUR 100,000 136,574
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DaimlerChrysler N. A. Holdings Corp., 8.5%, 2031 $ 1,251,000 1,603,464
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DaimlerChrysler N. A. Holdings Corp., 5.625%, 2007 EUR 100,000 126,518
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Ford Motor Credit Co., 5.625%, 2008 $ 410,000 391,858
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Ford Motor Credit Co., 5.7%, 2010 1,102,000 1,038,571
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Ford Motor Credit Co., 7.875%, 2010 2,058,000 2,077,158
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General Motors Acceptance Corp., 6%, 2006 EUR 375,000 466,358
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General Motors Acceptance Corp., 6.125%, 2008 $ 315,000 312,823
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General Motors Acceptance Corp., 5.85%, 2009 620,000 598,960
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General Motors Acceptance Corp., 6.75%, 2014 1,196,000 1,126,493
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General Motors Corp., 8.375%, 2033 2,581,000 2,329,353
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Lear Corp., 8.11%, 2009 5,290,000 5,482,053
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Navistar International Corp., 7.5%, 2011 1,155,000 1,192,538
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TRW Automotive, Inc., 9.375%, 2013 1,692,000 1,895,040
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TRW Automotive, Inc., 11%, 2013 130,000 150,800
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$ 19,024,561
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BANKS & CREDIT COMPANIES - 3.2%
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ATF Bank JSC, 9.25%, 2012# $ 17,000 $ 17,265
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Banco Mercantil del Norte S.A., 5.875% to 2009, FRN to 2014# 3,145,000 3,196,106
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Bank of Ireland, 7.4%, 2049 EUR 500,000 728,939
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BNP Paribas Capital Trust III, 6.625%, 2049 EUR 100,000 142,806
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BNP Paribas, 5.186% to 2015, FRN to 2049# $ 2,099,000 2,083,186
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Chuo Mitsui Trust & Banking Co., 5.506% to 2015, FRN to 2049# 642,000 620,116
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Credit Suisse Group, 7.974%, 2010 EUR 265,000 387,063
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HBOS Capital Funding LP, 6.071% to 2014, FRN to 2049# $ 1,543,000 1,631,681
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J. P. Morgan Chase & Co., 5.125%, 2014 2,755,000 2,771,530
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Kazkommerts International B. V., 10.125%, 2007# 122,000 132,248
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Kazkommerts International B. V., 10.125%, 2007 128,000 138,752
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Kazkommerts International B. V., 8.5%, 2013 84,000 89,544
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Mizuho Financial Group, Inc., 4.75%, 2014# EUR 127,000 162,652
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Mizuho Financial Group, Inc., 5.79%, 2014# $ 1,633,000 1,699,595
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National Westminster Bank PLC, 6.625% to 2009, FRN to 2049 EUR 330,000 456,087
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RBS Capital Trust II, 6.425% to 2034, FRN to 2049 $ 833,000 908,230
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SG Capital Trust I, 7.875%, 2049 EUR 300,000 435,485
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Turanalem Finance B. V., 8%, 2014# $ 940,000 943,525
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VTB Capital S.A., 7.5%, 2011 49,000 52,616
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VTB Capital S.A., 6.25%, 2035# 1,079,000 1,076,303
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$ 17,673,729
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BROADCAST & CABLE TV - 2.6%
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Charter Communications, Inc., 8.625%, 2009 $ 1,000,000 $ 800,000
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Cox Communications, Inc., 4.625%, 2013 1,744,000 1,666,997
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CSC Holdings, Inc., 8.125%, 2009 1,969,000 2,028,070
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Lenfest Communications, Inc., 10.5%, 2006 500,000 522,894
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Mediacom Broadband LLC, 9.5%, 2013 490,000 501,025
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Rogers Cable, Inc., 5.5%, 2014 1,975,000 1,886,125
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TCI Communications Financing III, 9.65%, 2027 5,000,000 5,529,385
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TCI Communications, Inc., 9.8%, 2012 1,135,000 1,416,403
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$ 14,350,899
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BROKERAGE & ASSET MANAGERS - 1.2%
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Goldman Sachs Group, Inc., 5.7%, 2012 $ 2,665,000 $ 2,781,085
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Morgan Stanley Dean Witter, Inc., 6.6%, 2012 2,538,000 2,768,113
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Refco Finance Holdings LLC, 9%, 2012 860,000 928,800
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$ 6,477,998
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BUILDING - 0%
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Texas Industries, Inc., 7.25%, 2013# $ 90,000 $ 94,950
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BUSINESS SERVICES - 0.5%
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Iron Mountain, Inc., 7.75%, 2015 $ 460,000 $ 473,800
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Xerox Corp., 7.625%, 2013 2,010,000 2,145,675
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$ 2,619,475
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CHEMICALS - 1.6%
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Akzo Nobel N. V., 5.625%, 2009 EUR 100,000 $ 132,791
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BCP Crystal Holdings Corp., 9.625%, 2014 $ 413,000 466,690
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Equistar Chemicals LP, 10.625%, 2011 1,225,000 1,365,875
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Hercules, Inc., 6.75%, 2029 1,890,000 1,887,638
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Huntsman International LLC, 10.125%, 2009 575,000 593,688
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Kronos International, Inc., 8.875%, 2009 EUR 95,000 122,174
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Linde Finance B. V., 6% to 2013, FRN to 2049 EUR 101,000 132,034
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Lyondell Chemical Co., 11.125%, 2012 $ 1,330,000 1,507,888
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Methanex Corp., 6%, 2015 461,000 459,709
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Nalco Co., 7.75%, 2011 695,000 739,306
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Nova Chemicals Corp., 6.5%, 2012 915,000 909,281
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Rhodia S.A., 8.875%, 2011 560,000 543,200
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Rockwood Specialties Group, Inc., 7.5%, 2014# 100,000 101,000
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$ 8,961,274
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CONGLOMERATES - 0%
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Thyssenkrupp Finance B. V., 7%, 2009 EUR 100,000 $ 137,073
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CONSTRUCTION - 0.6%
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D. R. Horton, Inc., 8%, 2009 $ 1,880,000 $ 2,045,041
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M/I Homes, Inc., 6.875%, 2012# 1,325,000 1,278,625
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$ 3,323,666
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CONSUMER GOODS & SERVICES - 0.3%
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ASSA ABLOY AB, 5.125%, 2006 EUR 30,000 $ 37,706
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Church & Dwight, Inc., 6%, 2012 $ 805,000 807,013
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Service Corp. International, 7%, 2017# 560,000 574,700
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Sodexho Alliance S.A., 5.875%, 2009 EUR 100,000 133,175
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$ 1,552,594
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CONTAINERS - 0.6%
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Crown European Holdings S.A., 9.5%, 2011 $ 1,580,000 $ 1,738,000
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Huntsman Packaging Corp., 13%, 2010 190,000 153,900
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Owens-Brockway Glass Container, Inc., 8.875%, 2009 515,000 544,613
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Owens-Brockway Glass Container, Inc., 8.25%, 2013 925,000 1,000,156
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$ 3,436,669
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DEFENSE ELECTRONICS - 0.3%
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L-3 Communications Holdings, Inc., 5.875%, 2015 $ 1,630,000 $ 1,593,325
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ELECTRONICS - 0.3%
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Flextronics International Ltd., 6.5%, 2013 $ 1,880,000 $ 1,936,400
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EMERGING MARKET QUASI-SOVEREIGN - 1.7%
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Gaz Capital S.A., 8.625%, 2034 $ 91,000 $ 111,966
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Gazprom OAO, 9.625%, 2013 990,000 1,202,850
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Gazprom OAO, 8.625%, 2034# 1,425,000 1,756,313
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Pemex Finance Ltd., 9.69%, 2009 769,250 847,137
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Pemex Project Funding Master Trust, 7.375%, 2014 1,221,000 1,349,205
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Pemex Project Funding Master Trust, 8.625%, 2022 690,000 837,660
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Pemex Project Funding Master Trust, 9.5%, 2027# 122,000 158,600
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Petronas Capital Ltd., 7.875%, 2022 1,604,000 2,005,864
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Petronas Capital Ltd., 7.875%, 2022# 987,000 1,234,282
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$ 9,503,877
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EMERGING MARKET SOVEREIGN - 5.5%
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Banco de La Republica Oriental del Uruguay, 10.5%, 2006 UYU 1,005,971 $ 44,506
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Dominican Republic, 9.5%, 2011 $ 26,000 28,080
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Federal Republic of Brazil, 4.3125%, 2012 3,363,337 3,258,401
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Federal Republic of Brazil, 8%, 2014 1,409,079 1,428,454
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Federal Republic of Brazil, 8.875%, 2019 1,074,000 1,110,516
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Federal Republic of Brazil, 4.25%, 2024 371,000 350,595
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Federal Republic of Brazil, 8.875%, 2024 89,000 90,335
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Federal Republic of Brazil, 11%, 2040 24,000 28,200
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Republic of Argentina, 3.01%, 2012 5,081,000 3,986,083
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Republic of Argentina, 5.83%, 2033 ARS 615,979 264,583
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Republic of Argentina, 8.28%, 2033 $ 79,954 77,276
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Republic of Colombia, 8.25%, 2014 21,000 22,050
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Republic of Colombia, 11.75%, 2020 8,000 10,320
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Republic of Colombia, 10.375%, 2033 52,000 61,620
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Republic of El Salvador, 8.25%, 2032 50,000 54,000
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Republic of El Salvador, 7.65%, 2035# 29,000 29,290
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Republic of Guatemala, 8.125%, 2034# 24,000 26,220
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Republic of Indonesia, 7.25%, 2015# 23,000 23,230
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Republic of Panama, 9.375%, 2023 1,109,000 1,380,705
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Republic of Panama, 9.375%, 2029 319,000 399,867
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Republic of Peru, 8.75%, 2033 639,000 723,987
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Republic of Philippines, 9.375%, 2017 62,000 66,030
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Republic of Philippines, 9.5%, 2030 86,000 86,697
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Republic of South Africa, 9.125%, 2009 477,000 545,569
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Republic of South Africa, 8.5%, 2017 379,000 474,698
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Republic of Turkey, 7.25%, 2015 395,000 405,112
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Republic of Turkey, 7%, 2020 302,000 291,053
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Republic of Turkey, 11.875%, 2030 48,000 68,220
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Republic of Turkey, 8%, 2034 87,000 89,719
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Republic of Ukraine, 6.875%, 2011 100,000 105,125
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Republic of Uruguay, 7.5%, 2015 19,000 18,715
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Republic of Venezeula, 8.5%, 2014 108,000 112,050
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Republic of Venezuela, 9.25%, 2027 110,000 114,565
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Republic of Venezuela, 9.25%, 2027 24,000 24,996
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Russian Federation, 3%, 2008 2,998,000 2,819,319
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Russian Federation, 3%, 2011 3,270,000 2,861,250
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Russian Federation, 11%, 2018 1,175,000 1,740,410
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Russian Federation, 5% to 2007, 7.5% to 2030 870,000 964,656
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Russian Ministry of Finance, 12.75%, 2028 17,000 30,576
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State of Qatar, 9.75%, 2030 754,000 1,136,655
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United Mexican States, 6.625%, 2015 875,000 945,875
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United Mexican States, 8.125%, 2019 1,520,000 1,837,680
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United Mexican States, 8.3%, 2031 434,000 536,424
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United Mexican States, 7.5%, 2033 2,015,000 2,306,168
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$ 30,979,880
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ENERGY - INDEPENDENT - 1.2%
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Chesapeake Energy Corp., 7.5%, 2014 $ 580,000 $ 627,850
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Chesapeake Energy Corp., 6.875%, 2016 1,495,000 1,551,063
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Forest Oil Corp., 7.75%, 2014 950,000 1,016,500
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Newfield Exploration Co., 6.625%, 2014 390,000 408,525
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Ocean Energy, Inc., 4.375%, 2007 908,000 902,136
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Plains Exploration & Production Co., 7.125%, 2014 1,080,000 1,166,400
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Vintage Petroleum, Inc., 8.25%, 2012 950,000 1,029,563
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$ 6,702,037
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ENERGY - INTEGRATED - 0.5%
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Amerada Hess Corp., 7.3%, 2031 $ 1,555,000 $ 1,845,062
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Tyumen Oil Co., 11%, 2007 789,000 875,790
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$ 2,720,852
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ENTERTAINMENT - 0.5%
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AMC Entertainment, Inc., 9.5%, 2011 $ 599,000 $ 594,508
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Loews Cineplex Entertainment Corp., 9%, 2014# 935,000 911,625
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Six Flags, Inc., 9.75%, 2013 685,000 668,731
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Turner Broadcasting System, Inc., 8.375%, 2013 419,000 504,839
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$ 2,679,703
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Financial Institutions - 1.6%
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American General Finance Corp., 4.875%, 2012 $ 2,752,000 $ 2,726,442
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Berkshire Hathaway Finance Corp., 5.1%, 2014 4,500,000 4,522,478
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Capital One Bank, 4.25%, 2008 1,296,000 1,277,147
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MBNA Europe Funding PLC, 6.5%, 2007 EUR 150,000 193,168
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$ 8,719,235
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FOOD & NON-ALCOHOLIC BEVERAGES - 0.3%
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Allied Domecq Financial Services PLC, 5.875%, 2009 EUR 125,000 $ 165,093
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Burns, Philp & Co. Ltd., 9.75%, 2012 $ 590,000 643,100
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Chaoda Modern Agriculture Holdings, 7.75%, 2010# 53,000 51,808
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Smithfield Foods, Inc., 7%, 2011 950,000 995,125
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$ 1,855,126
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FOREST & PAPER PRODUCTS - 2.1%
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Abitibi-Consolidated, Inc., 6.95%, 2006 $ 1,563,000 $ 1,594,260
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Abitibi-Consolidated, Inc., 7.75%, 2011 1,580,000 1,611,600
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Buckeye Technologies, Inc., 8.5%, 2013 795,000 820,838
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Corporacion Durango S.A. de C. V., 7.5%, 2012 7,091 5,602
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Georgia-Pacific Corp., 9.375%, 2013 1,975,000 2,231,750
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International Paper Co., 5.375%, 2006 EUR 140,000 174,832
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MDP Acquisitions PLC, 9.625%, 2012 $ 640,000 646,400
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MeadWestvaco Corp., 6.8%, 2032 679,000 778,568
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Norske Skog Canada Ltd., 7.375%, 2014 1,210,000 1,197,900
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Packaging Corp. of America, 5.75%, 2013 2,500,000 2,456,098
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Sino-Forest Corp., 9.125%, 2011# 19,000 20,663
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UPM Kymmene Corp., 6.125%, 2012 EUR 100,000 138,803
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$ 11,677,314
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GAMING & LODGING - 3.0%
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Aztar Corp., 7.875%, 2014 $ 460,000 $ 489,900
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Boyd Gaming Corp., 6.75%, 2014 1,140,000 1,178,475
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Caesars Entertainment, Inc., 8.125%, 2011 1,520,000 1,734,700
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Harrah's Operating Co., Inc., 5.625%, 2015# 1,018,000 1,031,320
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Host Marriott LP, 7.125%, 2013 950,000 991,563
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Host Marriott LP, 6.375%, 2015 200,000 198,000
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Mandalay Resort Group, 9.375%, 2010 950,000 1,059,250
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MGM Mirage, Inc., 8.375%, 2011 2,530,000 2,773,513
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NCL Corp., 10.625%, 2014# 1,000,000 1,065,000
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Pinnacle Entertainment, Inc., 8.75%, 2013 505,000 544,138
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Royal Caribbean Cruises Ltd., 8%, 2010 1,720,000 1,892,000
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Royal Caribbean Cruises Ltd., 6.875%, 2013 370,000 396,825
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Scientific Games Corp., 6.25%, 2012# 125,000 126,563
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Starwood Hotels & Resorts Worldwide, Inc., 7.875%, 2012 1,955,000 2,189,600
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Station Casinos, Inc., 6.5%, 2014 870,000 891,750
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Wynn Las Vegas LLC, 6.625%, 2014 345,000 335,944
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$ 16,898,541
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INDUSTRIAL - 0.6%
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Amsted Industries, Inc., 10.25%, 2011# $ 575,000 $ 621,000
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JohnsonDiversey Holdings, Inc., 0% to 2007, 10.67% to 2013 1,465,000 1,047,475
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Valmont Industries, Inc., 6.875%, 2014 1,270,000 1,282,700
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Williams Scotsman, Inc., 9.875%, 2007 80,000 78,400
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Williams Scotsman, Inc., 10%, 2008 205,000 224,475
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$ 3,254,050
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INSURANCE - 1.3%
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AIG SunAmerica Global Financing X, 6.9%, 2032# $ 2,384,000 $ 2,858,843
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Genworth Financial, Inc., 6.5%, 2034 1,192,000 1,352,040
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Prudential Financial, Inc., 5.1%, 2014 1,985,000 1,999,483
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Prudential Funding Corp., 6.6%, 2008# 1,230,000 1,299,355
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$ 7,509,721
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INSURANCE - PROPERTY & CASUALTY - 0.8%
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Allianz AG, 5.5%, 2049 EUR 140,000 $ 186,141
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ASIF III, 3.5%, 2009 EUR 100,000 124,032
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AXIS Capital Holdings Ltd., 5.75%, 2014 $ 415,000 420,823
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Fund American Cos., Inc., 5.875%, 2013 1,464,000 1,493,697
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Willis Group North America, 5.125%, 2010 2,275,000 2,264,528
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$ 4,489,221
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International Market Quasi-Sovereign - 0.2%
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Kreditanstalt fur Wiederaufbau, 4.75%, 2006 EUR 750,000 $ 933,944
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Vattenfall Treasury AB, 6%, 2010 EUR 125,000 171,337
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$ 1,105,281
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INTERNATIONAL MARKET SOVEREIGN - 12.1%
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Canada Housing Trust, 4.65%, 2009 CAD 435,000 $ 371,891
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Federal Republic of Germany, 3.5%, 2008 EUR 5,506,000 6,902,561
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Federal Republic of Germany, 3.75%, 2015 EUR 770,000 973,880
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Federal Republic of Germany, 6.25%, 2030 EUR 425,000 723,622
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Government of Australia, 6.25%, 2015 AUD 1,201,000 988,105
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Government of Canada, 5.25%, 2012 CAD 891,000 795,255
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Government of Canada, 4.5%, 2015 CAD 189,000 161,634
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Government of New Zealand, 7%, 2009 NZD 902,000 643,318
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Government of New Zealand, 6.5%, 2013 NZD 6,747,000 4,839,587
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Government of New Zealand, 6%, 2015 NZD 2,207,000 1,538,911
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Kingdom of Netherlands, 5.75%, 2007 EUR 3,295,000 4,211,712
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Kingdom of Netherlands, 3.75%, 2009 EUR 2,965,000 3,762,310
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Kingdom of Norway, 6.5%, 2013 NOK 3,389,000 629,889
---------------------------------------------------------------------------------------------------------------------------------
Kingdom of Spain, 6%, 2008 EUR 3,232,000 4,264,961
---------------------------------------------------------------------------------------------------------------------------------
Kingdom of Spain, 5.35%, 2011 EUR 4,056,000 5,605,665
---------------------------------------------------------------------------------------------------------------------------------
Republic of Austria, 5.5%, 2007 EUR 2,454,000 3,180,254
---------------------------------------------------------------------------------------------------------------------------------
Republic of Finland, 3%, 2008 EUR 2,918,000 3,602,224
---------------------------------------------------------------------------------------------------------------------------------
Republic of Finland, 5.375%, 2013 EUR 2,255,000 3,174,639
---------------------------------------------------------------------------------------------------------------------------------
Republic of France, 4.75%, 2007 EUR 4,515,000 5,734,162
---------------------------------------------------------------------------------------------------------------------------------
Republic of France, 4%, 2009 EUR 215,000 275,712
---------------------------------------------------------------------------------------------------------------------------------
Republic of France, 5%, 2012 EUR 400,000 546,740
---------------------------------------------------------------------------------------------------------------------------------
Republic of France, 5%, 2016 EUR 207,000 289,751
---------------------------------------------------------------------------------------------------------------------------------
Republic of France, 6%, 2025 EUR 204,000 329,013
---------------------------------------------------------------------------------------------------------------------------------
Republic of Ireland, 4.25%, 2007 EUR 5,031,000 6,360,727
---------------------------------------------------------------------------------------------------------------------------------
Republic of Ireland, 4.6%, 2016 EUR 649,000 880,366
---------------------------------------------------------------------------------------------------------------------------------
United Kingdom Treasury, 5.75%, 2009 GBP 1,439,000 2,684,187
---------------------------------------------------------------------------------------------------------------------------------
United Kingdom Treasury, 8%, 2015 GBP 1,881,000 4,328,182
---------------------------------------------------------------------------------------------------------------------------------
$ 67,799,258
---------------------------------------------------------------------------------------------------------------------------------
MACHINERY & TOOLS - 0.6%
---------------------------------------------------------------------------------------------------------------------------------
Case New Holland, Inc., 6%, 2009 $ 1,200,000 $ 1,185,000
---------------------------------------------------------------------------------------------------------------------------------
Manitowoc Co., Inc., 10.5%, 2012 767,000 866,710
---------------------------------------------------------------------------------------------------------------------------------
Terex Corp., 9.25%, 2011 620,000 674,250
---------------------------------------------------------------------------------------------------------------------------------
United Rentals, Inc., 6.5%, 2012 405,000 393,863
---------------------------------------------------------------------------------------------------------------------------------
$ 3,119,823
---------------------------------------------------------------------------------------------------------------------------------
MEDICAL & HEALTH TECHNOLOGY & SERVICES - 1.6%
---------------------------------------------------------------------------------------------------------------------------------
AmerisourceBergen Corp., 7.25%, 2012 $ 950,000 $ 1,045,000
---------------------------------------------------------------------------------------------------------------------------------
Baxter International, Inc., 9.5%, 2008 2,296,000 2,572,110
---------------------------------------------------------------------------------------------------------------------------------
DaVita, Inc., 6.625%, 2013# 300,000 309,750
---------------------------------------------------------------------------------------------------------------------------------
Fisher Scientific International, Inc., 6.125%, 2015# 410,000 412,050
---------------------------------------------------------------------------------------------------------------------------------
HCA, Inc., 8.75%, 2010 2,400,000 2,693,287
---------------------------------------------------------------------------------------------------------------------------------
HCA, Inc., 6.375%, 2015 2,075,000 2,123,812
---------------------------------------------------------------------------------------------------------------------------------
$ 9,156,009
---------------------------------------------------------------------------------------------------------------------------------
METALS & MINING - 0.6%
---------------------------------------------------------------------------------------------------------------------------------
Foundation PA Coal Co., 7.25%, 2014 $ 1,015,000 $ 1,073,363
---------------------------------------------------------------------------------------------------------------------------------
Peabody Energy Corp., 6.875%, 2013 340,000 360,400
---------------------------------------------------------------------------------------------------------------------------------
Peabody Energy Corp., 5.875%, 2016 1,220,000 1,216,950
---------------------------------------------------------------------------------------------------------------------------------
U.S. Steel Corp., 9.75%, 2010 795,000 874,500
---------------------------------------------------------------------------------------------------------------------------------
$ 3,525,213
---------------------------------------------------------------------------------------------------------------------------------
MORTGAGE BACKED - 0.8%
---------------------------------------------------------------------------------------------------------------------------------
Fannie Mae, 6%, 2012 - 2016 $ 1,431,092 $ 1,478,859
---------------------------------------------------------------------------------------------------------------------------------
Fannie Mae, 6.5%, 2031 - 2032 2,664,249 2,759,129
---------------------------------------------------------------------------------------------------------------------------------
$ 4,237,988
---------------------------------------------------------------------------------------------------------------------------------
MUNICIPALS - 0.5%
---------------------------------------------------------------------------------------------------------------------------------
Honolulu, HI, City & County Rev., "A", 5%, 2015 $ 2,520,000 $ 2,774,293
---------------------------------------------------------------------------------------------------------------------------------
NATURAL GAS - DISTRIBUTION - 0.2%
---------------------------------------------------------------------------------------------------------------------------------
AmeriGas Partners LP, 7.25%, 2015# $ 1,030,000 $ 1,091,800
---------------------------------------------------------------------------------------------------------------------------------
NATURAL GAS - PIPELINE - 2.1%
---------------------------------------------------------------------------------------------------------------------------------
ANR Pipeline Co., 8.875%, 2010 $ 440,000 $ 480,121
---------------------------------------------------------------------------------------------------------------------------------
CenterPoint Energy Resources Corp., 7.875%, 2013 1,250,000 1,462,915
---------------------------------------------------------------------------------------------------------------------------------
Colorado Interstate Gas Co., 5.95%, 2015# 85,000 84,044
---------------------------------------------------------------------------------------------------------------------------------
Enterprise Products Operating LP, 6.65%, 2034 2,000,000 2,157,526
---------------------------------------------------------------------------------------------------------------------------------
Kinder Morgan Energy Partners LP, 7.4%, 2031 2,775,000 3,337,920
---------------------------------------------------------------------------------------------------------------------------------
Magellan Midstream Partners LP, 5.65%, 2016 1,123,000 1,145,317
---------------------------------------------------------------------------------------------------------------------------------
Southern Natural Gas Co., Inc., 8.875%, 2010 1,040,000 1,134,831
---------------------------------------------------------------------------------------------------------------------------------
Williams Cos., Inc., 8.75%, 2032 1,500,000 1,856,250
---------------------------------------------------------------------------------------------------------------------------------
$ 11,658,924
---------------------------------------------------------------------------------------------------------------------------------
NETWORK & TELECOM - 4.4%
---------------------------------------------------------------------------------------------------------------------------------
AT&T Corp., 9.05%, 2011 $ 450,000 $ 513,563
---------------------------------------------------------------------------------------------------------------------------------
AT&T Corp., 9.75%, 2031 1,715,000 2,220,925
---------------------------------------------------------------------------------------------------------------------------------
Axtel S.A. de C. V., 11%, 2013 27,000 29,633
---------------------------------------------------------------------------------------------------------------------------------
BellSouth Corp., 6.55%, 2034 3,213,000 3,580,535
---------------------------------------------------------------------------------------------------------------------------------
Citizens Communications Co., 9.25%, 2011 1,785,000 1,994,738
---------------------------------------------------------------------------------------------------------------------------------
Citizens Communications Co., 6.25%, 2013 1,420,000 1,380,950
---------------------------------------------------------------------------------------------------------------------------------
Deutsche Telekom International Finance B. V., 8.125%, 2012 EUR 130,000 203,026
---------------------------------------------------------------------------------------------------------------------------------
Deutsche Telekom International Finance B. V., 8.75%, 2030 $ 1,477,000 1,975,716
---------------------------------------------------------------------------------------------------------------------------------
Eircom Funding PLC, 8.25%, 2013 1,130,000 1,209,100
---------------------------------------------------------------------------------------------------------------------------------
Espirit Telecom Group PLC, 10.875%, 2008** 165,000 0
---------------------------------------------------------------------------------------------------------------------------------
France Telecom S.A., FRN, 7.2%, 2006 105,000 106,865
---------------------------------------------------------------------------------------------------------------------------------
OTE Telecommunications PLC, 6.125%, 2007 EUR 195,000 248,990
---------------------------------------------------------------------------------------------------------------------------------
Qwest Corp., 7.875%, 2011 $ 1,890,000 1,970,325
---------------------------------------------------------------------------------------------------------------------------------
Qwest Corp., 8.875%, 2012 950,000 1,040,250
---------------------------------------------------------------------------------------------------------------------------------
Qwest Services Corp., 13.5%, 2010 395,000 454,250
---------------------------------------------------------------------------------------------------------------------------------
Telecom Italia Capital, 6%, 2034# 2,020,000 2,049,460
---------------------------------------------------------------------------------------------------------------------------------
Telecom Italia S. p. A., 5.625%, 2007 EUR 300,000 380,176
---------------------------------------------------------------------------------------------------------------------------------
Verizon New York, Inc., 7.375%, 2032 $ 4,590,000 5,279,239
---------------------------------------------------------------------------------------------------------------------------------
$ 24,637,741
---------------------------------------------------------------------------------------------------------------------------------
OIL SERVICES - 0.2%
---------------------------------------------------------------------------------------------------------------------------------
Gulfmark Offshore, Inc., 7.75%, 2014 $ 760,000 $ 806,550
---------------------------------------------------------------------------------------------------------------------------------
Petroleum Export Peloil, 5.265%, 2011# 353,000 353,282
---------------------------------------------------------------------------------------------------------------------------------
$ 1,159,832
---------------------------------------------------------------------------------------------------------------------------------
OILS - 0.7%
---------------------------------------------------------------------------------------------------------------------------------
CITGO Petroleum Corp., 6%, 2011 $ 950,000 $ 954,750
---------------------------------------------------------------------------------------------------------------------------------
Hurricane Finance B. V., 9.625%, 2010 13,000 14,235
---------------------------------------------------------------------------------------------------------------------------------
Premcor Refining Group, Inc., 7.5%, 2015 1,200,000 1,296,000
---------------------------------------------------------------------------------------------------------------------------------
Valero Energy Corp., 6.875%, 2012 1,331,000 1,471,596
---------------------------------------------------------------------------------------------------------------------------------
$ 3,736,581
---------------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS - 0.2%
---------------------------------------------------------------------------------------------------------------------------------
Schering-Plough Corp., 6.5%, 2033 $ 1,002,000 $ 1,188,146
---------------------------------------------------------------------------------------------------------------------------------
POLLUTION CONTROL - 0.2%
---------------------------------------------------------------------------------------------------------------------------------
Allied Waste North America, Inc., 7.875%, 2013 $ 945,000 $ 982,800
---------------------------------------------------------------------------------------------------------------------------------
Veolia Environnement, 5.875%, 2008 EUR 250,000 330,053
---------------------------------------------------------------------------------------------------------------------------------
$ 1,312,853
---------------------------------------------------------------------------------------------------------------------------------
PRECIOUS METALS & MINERALS - 0%
---------------------------------------------------------------------------------------------------------------------------------
Freeport-McMoRan Copper & Gold, Inc., 6.875%, 2014 $ 28,000 $ 27,440
---------------------------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING - 0.8%
---------------------------------------------------------------------------------------------------------------------------------
Bertelsmann U.S. Finance, Inc., 4.625%, 2010 EUR 148,000 $ 191,075
---------------------------------------------------------------------------------------------------------------------------------
Cenveo, Inc., 9.625%, 2012 $ 1,050,000 1,134,000
---------------------------------------------------------------------------------------------------------------------------------
Dex Media East LLC, 9.875%, 2009 1,235,000 1,355,413
---------------------------------------------------------------------------------------------------------------------------------
Dex Media West LLC, 9.875%, 2013 567,000 646,380
---------------------------------------------------------------------------------------------------------------------------------
MediaNews Group, Inc., 6.875%, 2013 895,000 901,713
---------------------------------------------------------------------------------------------------------------------------------
Pearson PLC, 6.125%, 2007 EUR 135,000 172,299
---------------------------------------------------------------------------------------------------------------------------------
Reed Elsevier Capital, Inc., 5.75%, 2008 EUR 125,000 164,775
---------------------------------------------------------------------------------------------------------------------------------
$ 4,565,655
---------------------------------------------------------------------------------------------------------------------------------
RAILROAD & SHIPPING - 0.4%
---------------------------------------------------------------------------------------------------------------------------------
Societe Nationale des Chemins de Fer Francais, 7.5%, 2008 EUR 750,000 $ 1,027,931
---------------------------------------------------------------------------------------------------------------------------------
TFM S.A. de C. V., 10.25%, 2007 $ 21,000 22,418
---------------------------------------------------------------------------------------------------------------------------------
TFM S.A. de C. V., 9.375%, 2012# 817,000 874,190
---------------------------------------------------------------------------------------------------------------------------------
TFM S.A. de C. V., 12.5%, 2012 325,000 382,688
---------------------------------------------------------------------------------------------------------------------------------
$ 2,307,227
---------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE - 0.2%
---------------------------------------------------------------------------------------------------------------------------------
Simon Property Group LP, 4.6%, 2010# $ 1,375,000 $ 1,353,143
---------------------------------------------------------------------------------------------------------------------------------
RETAILERS - 1.1%
---------------------------------------------------------------------------------------------------------------------------------
Couche-Tard, Inc., 7.5%, 2013 $ 365,000 $ 386,900
---------------------------------------------------------------------------------------------------------------------------------
Gap, Inc., 9.55%, 2008 2,710,000 3,090,170
---------------------------------------------------------------------------------------------------------------------------------
Limited Brands, Inc., 5.25%, 2014 2,294,000 2,198,148
---------------------------------------------------------------------------------------------------------------------------------
Rite Aid Corp., 8.125%, 2010 635,000 654,844
---------------------------------------------------------------------------------------------------------------------------------
$ 6,330,062
---------------------------------------------------------------------------------------------------------------------------------
SPECIALTY STORES - 0%
---------------------------------------------------------------------------------------------------------------------------------
LVMH Moet Hennessy Louis Vuitton S.A., 4.625%, 2011 EUR 125,000 $ 162,363
---------------------------------------------------------------------------------------------------------------------------------
SUPERMARKETS - 0.2%
---------------------------------------------------------------------------------------------------------------------------------
Roundy's, Inc., 8.875%, 2012 $ 825,000 $ 874,500
---------------------------------------------------------------------------------------------------------------------------------
SUPRANATIONAL - 0.2%
---------------------------------------------------------------------------------------------------------------------------------
European Investment Bank, 5.375%, 2012 EUR 750,000 $ 1,048,916
---------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS - WIRELESS - 1.1%
---------------------------------------------------------------------------------------------------------------------------------
America Movil S.A. de C. V., 6.375%, 2035 $ 38,000 $ 36,940
---------------------------------------------------------------------------------------------------------------------------------
Centennial Communications Corp., 10.125%, 2013 520,000 585,650
---------------------------------------------------------------------------------------------------------------------------------
Dolphin Telecom PLC, 11.5%, 2008** 2,515,000 0
---------------------------------------------------------------------------------------------------------------------------------
Mobile TeleSystems OJSC, 9.75%, 2008# 19,000 20,435
---------------------------------------------------------------------------------------------------------------------------------
Mobile TeleSystems OJSC, 8.375%, 2010# 320,000 334,400
---------------------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 5.95%, 2014 2,760,000 2,853,150
---------------------------------------------------------------------------------------------------------------------------------
Rogers Wireless, Inc., 6.375%, 2014 950,000 964,250
---------------------------------------------------------------------------------------------------------------------------------
Rogers Wireless, Inc., 7.5%, 2015 980,000 1,070,650
---------------------------------------------------------------------------------------------------------------------------------
Telemig Cellular Participacoes S.A., 8.75%, 2009# 18,000 18,630
---------------------------------------------------------------------------------------------------------------------------------
Vodafone Group PLC, 5.75%, 2006 EUR 140,000 176,797
---------------------------------------------------------------------------------------------------------------------------------
$ 6,060,902
---------------------------------------------------------------------------------------------------------------------------------
TOBACCO - 0.5%
---------------------------------------------------------------------------------------------------------------------------------
Altria Group, Inc., 5.625%, 2008 EUR 75,000 $ 97,263
---------------------------------------------------------------------------------------------------------------------------------
R. J. Reynolds Tobacco Holdings, Inc., 7.25%, 2012 $ 2,508,000 2,570,700
---------------------------------------------------------------------------------------------------------------------------------
$ 2,667,963
---------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - SERVICES - 0.1%
---------------------------------------------------------------------------------------------------------------------------------
Stena AB, 7%, 2016 $ 552,000 $ 527,850
---------------------------------------------------------------------------------------------------------------------------------
Westinghouse Air Brake Technologies Corp., 6.875%, 2013 210,000 218,400
---------------------------------------------------------------------------------------------------------------------------------
$ 746,250
---------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES - 4.4%
---------------------------------------------------------------------------------------------------------------------------------
Freddic Mac, 4.2%, 2007 $ 14,300,000 $ 14,201,359
---------------------------------------------------------------------------------------------------------------------------------
Freddie Mac, 4.375%, 2015 8,830,000 8,666,230
---------------------------------------------------------------------------------------------------------------------------------
Small Business Administration, 5.34%, 2021 1,452,768 1,497,192
---------------------------------------------------------------------------------------------------------------------------------
$ 24,364,781
---------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY INFLATION PROTECTED OBLIGATIONS - 0.9%
---------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Notes, 2%, 2014 $ 5,266,261 $ 5,323,653
---------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS - 2.0%
---------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Notes, 3.625%, 2008## $ 10,461,417 $ 10,964,873
---------------------------------------------------------------------------------------------------------------------------------
UTILITIES - ELECTRIC POWER - 6.8%
---------------------------------------------------------------------------------------------------------------------------------
Beaver Valley Funding Corp., 9%, 2017 $ 4,562,000 $ 5,315,570
---------------------------------------------------------------------------------------------------------------------------------
BVPS II Funding Corp., 8.68%, 2017 799,000 894,169
---------------------------------------------------------------------------------------------------------------------------------
CenterPoint Energy, Inc., 7.25%, 2010 1,250,000 1,368,479
---------------------------------------------------------------------------------------------------------------------------------
CMS Energy Corp., 8.5%, 2011 550,000 618,063
---------------------------------------------------------------------------------------------------------------------------------
DPL, Inc., 6.875%, 2011 2,350,000 2,567,375
---------------------------------------------------------------------------------------------------------------------------------
Duke Capital Corp., 8%, 2019 691,000 843,875
---------------------------------------------------------------------------------------------------------------------------------
Dynegy Holdings, Inc., 9.875%, 2010# 410,000 453,050
---------------------------------------------------------------------------------------------------------------------------------
Empresa Nacional de Electricidad S.A., 8.35%, 2013 1,420,000 1,629,069
---------------------------------------------------------------------------------------------------------------------------------
Enersis S.A., 7.375%, 2014 1,735,000 1,845,872
---------------------------------------------------------------------------------------------------------------------------------
FirstEnergy Corp., 6.45%, 2011 2,355,000 2,532,501
---------------------------------------------------------------------------------------------------------------------------------
HQI Transelec Chile S.A., 7.875%, 2011 700,000 790,017
---------------------------------------------------------------------------------------------------------------------------------
MidAmerican Energy Holdings Co., 3.5%, 2008 2,437,000 2,354,693
---------------------------------------------------------------------------------------------------------------------------------
MSW Energy Holdings LLC, 7.375%, 2010 1,045,000 1,086,800
---------------------------------------------------------------------------------------------------------------------------------
National Grid Group Finance PLC, 5.25%, 2006 EUR 200,000 249,798
---------------------------------------------------------------------------------------------------------------------------------
Nevada Power Co., 5.875%, 2015# $ 1,965,000 2,014,125
---------------------------------------------------------------------------------------------------------------------------------
NorthWestern Corp., 5.875%, 2014# 1,695,000 1,745,850
---------------------------------------------------------------------------------------------------------------------------------
NRG Energy, Inc., 8%, 2013 960,000 1,027,200
---------------------------------------------------------------------------------------------------------------------------------
PSEG Energy Holdings LLC, 7.75%, 2007 863,000 895,363
---------------------------------------------------------------------------------------------------------------------------------
Reliant Resources, Inc., 9.25%, 2010 490,000 536,550
---------------------------------------------------------------------------------------------------------------------------------
Reliant Resources, Inc., 9.5%, 2013 20,000 22,250
---------------------------------------------------------------------------------------------------------------------------------
RWE Finance B. V., 5.375%, 2008 EUR 6,000 7,806
---------------------------------------------------------------------------------------------------------------------------------
System Energy Resources, Inc., 5.129%, 2014# $ 2,605,001 2,552,172
---------------------------------------------------------------------------------------------------------------------------------
TECO Energy, Inc., 7.5%, 2010 950,000 1,033,125
---------------------------------------------------------------------------------------------------------------------------------
Tenaska Alabama Partners LP, 7%, 2021# 225,000 233,438
---------------------------------------------------------------------------------------------------------------------------------
Texas Genco LLC, 6.875%, 2014# 600,000 630,000
---------------------------------------------------------------------------------------------------------------------------------
TXU Corp., 6.5%, 2024# 2,660,000 2,624,031
---------------------------------------------------------------------------------------------------------------------------------
W3A Funding Corp., 8.09%, 2017 1,937,760 2,114,212
---------------------------------------------------------------------------------------------------------------------------------
$ 37,985,453
---------------------------------------------------------------------------------------------------------------------------------
Total Bonds (Identified Cost, $498,879,003) $ 510,629,881
---------------------------------------------------------------------------------------------------------------------------------
ISSUER SHARES $ VALUE
---------------------------------------------------------------------------------------------------------------------------------
STOCKS - 0.2%
---------------------------------------------------------------------------------------------------------------------------------
CONGLOMERATES - 0%
---------------------------------------------------------------------------------------------------------------------------------
Daewoo International Corp. 2,150 $ 31,813
---------------------------------------------------------------------------------------------------------------------------------
ENGINEERING - CONSTRUCTION - 0%
---------------------------------------------------------------------------------------------------------------------------------
Daewoo Engineering & Construction Co., Ltd. 10,439 $ 93,444
---------------------------------------------------------------------------------------------------------------------------------
FOREST & PAPER PRODUCTS - 0%
---------------------------------------------------------------------------------------------------------------------------------
Corporacion Durango S.A. de C. V 2,068 $ 1,171
---------------------------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING - 0%
---------------------------------------------------------------------------------------------------------------------------------
Golden Books Family Entertainment, Inc.* 19,975 $ 0
---------------------------------------------------------------------------------------------------------------------------------
SPECIAL PRODUCTS & SERVICES - 0.1%
---------------------------------------------------------------------------------------------------------------------------------
Sind Holdings, Inc. 5,720 $ 602,888
---------------------------------------------------------------------------------------------------------------------------------
TOBACCO - 0.1%
---------------------------------------------------------------------------------------------------------------------------------
Reynolds American, Inc. 2,302 $ 191,780
---------------------------------------------------------------------------------------------------------------------------------
Total Stocks (Identified Cost, $2,183,531) $ 921,096
---------------------------------------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK - 0.2%
---------------------------------------------------------------------------------------------------------------------------------
AUTOMOTIVE - 0.2%
---------------------------------------------------------------------------------------------------------------------------------
Ford Motor Co. Capital Trust II, 6.5% (Identified Cost, $1,177,235) 22,511 $ 938,934
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCK - 0%
---------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE - 0%
---------------------------------------------------------------------------------------------------------------------------------
HRPT Properties Trust, "B", 8.75% (Identified Cost, $139,485) 5,100 $ 137,853
---------------------------------------------------------------------------------------------------------------------------------
WARRANTS - 0% STRIKE PRICE FIRST EXERCISE SHARES $ VALUE
---------------------------------------------------------------------------------------------------------------------------------
Banco Central del Uruguay (Emerging Market Sovereign)* N/A N/A 1,250,000 $ 0
---------------------------------------------------------------------------------------------------------------------------------
Loral Space & Communications Ltd. (Business Services)* $ 0.14 1/28/97 1,625 0
---------------------------------------------------------------------------------------------------------------------------------
Loral Space & Communications Ltd. (Business Services)* 0.14 1/28/97 700 0
---------------------------------------------------------------------------------------------------------------------------------
Thermadyne Holdings Corp. (Machinery & Tools)* 20.78 5/29/03 777 171
---------------------------------------------------------------------------------------------------------------------------------
Total Warrants (Identified Cost, $38,522) $ 171
---------------------------------------------------------------------------------------------------------------------------------
ISSUER PAR AMOUNT $ VALUE
---------------------------------------------------------------------------------------------------------------------------------
CONVERTIBLE BOND - 0%
---------------------------------------------------------------------------------------------------------------------------------
BANKS & CREDIT COMPANIES - 0%
---------------------------------------------------------------------------------------------------------------------------------
Fortis Capital Co., 6.25%, 2049 (Identified Cost, $135,348) EUR 155,000 $ 209,142
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
PAR VALUE
ISSUE/EXPIRATION/STRIKE PRICE OF CONTRACTS $ VALUE
---------------------------------------------------------------------------------------------------------------------------------
CALL OPTIONS PURCHASED - 0%
---------------------------------------------------------------------------------------------------------------------------------
Japanese Yen - August 2005 @ $111.90 (Premiums Paid, $56,820) $ 671,400,000 $ 50,355
---------------------------------------------------------------------------------------------------------------------------------
PUT OPTIONS PURCHASED - 0%
---------------------------------------------------------------------------------------------------------------------------------
Federal Republic of Brazil - August 2005 @ $114.75 (Premiums Paid, $3,443) $ 75,000 $ 270
---------------------------------------------------------------------------------------------------------------------------------
ISSUER PAR AMOUNT $ VALUE
---------------------------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS - 5.6%
---------------------------------------------------------------------------------------------------------------------------------
Goldman Sachs & Co., 3.3%, dated 7/29/05, due 8/1/05, total to be received
$22,325,138 (secured by various U.S. Treasury and Federal Agency obligations
in a jointly traded account) $ 22,319,000 $ 22,319,000
---------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley, 3.3%, dated 7/29/05, due 8/1/05, total to be received
$8,880,441 (secured by various U.S. Treasury and Federal Agency obligations
in a jointly traded account) 8,878,000 8,878,000
---------------------------------------------------------------------------------------------------------------------------------
Total Repurchase Agreements, at Cost $ 31,197,000
---------------------------------------------------------------------------------------------------------------------------------
Total Investments (Identified Cost, $533,810,387) ~ $ 544,084,702
---------------------------------------------------------------------------------------------------------------------------------
OTHER ASSETS, LESS LIABILITIES - 2.7% 15,137,693
---------------------------------------------------------------------------------------------------------------------------------
Net Assets - 100.0% $ 559,222,395
---------------------------------------------------------------------------------------------------------------------------------
* Non-income producing security.
** Non-income producing security - in default.
^ Interest only security for which the trust receives interest on notional principal (Par amount). Par amount shown is the
notional principal and does not reflect the cost of the security.
# SEC Rule 144A restriction.
## All or a portion of the security has been segregated as collateral for an open futures contract.
~ As of July 31, 2005, the trust had six securities representing $635,872 and 0.1% of net assets that were fair valued in
accordance with the policies adopted by the Board of Trustees.
FRN = Floating Rate Note.
N/A = Strike price and first exercise date have not been made available by the issuer.
Abbreviations have been used throughout this report to 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:
ARS= Argentine Peso
AUD= Australian Dollar
BRL= Brazilian Real
CAD= Canadian Dollar
CHF= Swiss Franc
CLP= Chilean Peso
CNY= Chinese Yuan Renminbi
COP= Colombian Peso
CZK= Czech Koruna
DKK= Danish Krone
EUR= Euro
GBP= British Pound
HUF= Hungarian Forint
ILS= Israeli Sheqel
INR= Indian Rupee
JPY= Japanese Yen
KRW= Korean Won
MXN= Mexican Peso
NOK= Norwegian Krone
NZD= New Zealand Dollar
PLN= Polish Zloty
RUB= Russian Ruble
SGD= Singapore Dollar
SKK= Slovakian Koruna
THB= Thailand Baht
TRY= Turkish Lira
TWD= Taiwan Dollar
UYU= Uruguayan Peso
ZAR= South African Rand
Country weighting percentages of portfolio holdings based on total net assets as of July 31, 2005, are as follows:
-----------------------------
United States 69.6%
-----------------------------
Great Britain 3.0%
-----------------------------
Germany 2.9%
-----------------------------
Mexico 2.5%
-----------------------------
Russia 2.5%
-----------------------------
France 2.2%
-----------------------------
Canada 2.0%
-----------------------------
Ireland 1.9%
-----------------------------
Spain 1.8%
-----------------------------
Other 11.6%
-----------------------------
See attached schedules. For more information see notes to financial statements as disclosed in the most recent semiannual or
annual report.
MFS MULTIMARKET INCOME TRUST
SUPPLEMENTAL SCHEDULES (UNAUDITED) 7/31/2005
(1) Portfolio Securities
The cost and unrealized appreciation and depreciation in the value of the
investments owned by the trust as computed on a federal income tax basis, are as
follows:
Aggregate Cost $ 536,693,548
=============
Gross unrealized appreciation $ 16,957,766
Gross unrealized depreciation (9,566,612)
-------------
Net unrealized appreciation (depreciation) $ 7,391,154
=============
(2) Financial Instruments
The trust trades financial instruments with off-balance-sheet risk in the normal
course of its investing activities in order to manage exposure to market risks
such as interest rates and foreign currency exchange rates. These financial
instruments include forward foreign currency exchange contracts and futures
contracts. The notional or contractual amounts of these instruments represent
the investment the trust has in particular classes of financial instruments and
does not necessarily represent the amounts potentially subject to risk. The
measurement of the risks associated with these instruments is meaningful only
when all related and offsetting transactions are considered.
Forward Foreign Currency Exchange Contracts
NET UNREALIZED
CONTRACTS TO CONTRACTS APPRECIATION
SETTLEMENT DATE DELIVER/RECEIVE IN EXCHANGE FOR AT VALUE (DEPRECIATION)
-------------------------------------------------------------------------------------------------------------------------
SALES
8/29/05-9/19/05 ARS 766,179 $ 266,262 $ 267,510 $ (1,248)
8/8/05 AUD 1,202,024 901,147 911,240 (10,093)
8/8/05-8/24/05 EUR 77,089,412 93,974,053 93,588,208 385,845
9/6/05 GBP 3,963,960 7,059,428 6,964,815 94,613
8/25/05 MXN 1,617,720 150,000 151,909 (1,909)
8/8/05-9/1/05 NZD 10,246,915 7,094,386 6,990,906 103,480
8/11/05-8/29/05 PLN 338,080 98,901 100,710 (1,809)
8/1/05 TRY 50,000 37,202 37,676 (474)
------------- ------------- -------------
$ 109,581,379 $ 109,012,974 $ 568,405
============= ============= =============
PURCHASES
8/16/05-9/19/05 ARS 689,100 $ 240,000 $ 240,557 $ 557
8/25/05-8/29/05 BRL 170,580 70,000 71,423 1,423
09/07/05 CHF 1,653,052 1,325,836 1,287,203 (38,633)
8/5/05-8/22/05 CLP 75,034,500 130,000 133,924 3,924
08/26/05 CNY 1,833,975 225,000 226,778 1,778
08/29/05 COP 232,500,000 100,302 100,685 383
08/11/05 CZK 6,265,197 247,636 252,093 4,457
08/15/05 DKK 450,944 72,354 73,381 1,027
8/8/05-8/24/05 EUR 23,987,363 29,141,828 29,114,492 (27,336)
08/26/05 HUF 54,885,360 270,291 271,151 860
08/08/05 ILS 1,200,000 261,097 265,381 4,284
08/31/05 INR 2,179,500 50,219 50,123 (96)
08/22/05 KRW 62,100,000 60,000 60,688 688
08/08/05 MXN 6,483,375 600,813 610,670 9,857
09/07/05 NOK 4,677,083 706,508 722,473 15,965
08/22/05 PLN 1,308,357 384,811 389,719 4,908
08/22/05 RUB 2,805,000 97,582 97,933 351
8/26/05-8/29/05 SGD 880,951 531,013 530,688 (325)
08/08/05 SKK 7,572,655 235,857 235,776 (81)
08/25/05 THB 4,265,000 103,119 102,255 (864)
8/1/05-9/1-05 TRY 829,237 616,012 621,857 5,845
08/11/05 TWD 3,200,000 100,000 100,492 492
8/24/05-8/25/05 ZAR 1,494,290 225,129 226,662 1,533
------------- ------------- -------------
$ 35,795,407 $ 35,786,404 $ (9,003)
============= ============= =============
At July 31, 2005, forward foreign currency purchases and sales under master netting agreements excluded above amounted to a net
payable of $661,312 with Merrill Lynch International.
At July 31, 2005, the trust had sufficient cash and/or securities to cover any commitments under these contracts.
Futures Contracts
Unrealized
Appreciation
Description Expiration Contracts Position (Depreciation)
---------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Notes 10 Year Futures September 2005 134 Short $ 125,154
U.S. Treasury Notes 2 Year Futures September 2005 243 Short 295,154
U.S. Treasury Notes 5 Year Futures September 2005 1 Short 1,543
---------------
$ 421,851
===============
At July 31, 2005, the trust had sufficient cash and/or securities to cover any
margin requirements under these contracts.
The Trust is a closed-end investment product. Shares of the Trust are only
available for purchase/sale on the NYSE at the current market price. Shares may
trade at a premium or discount to NAV.
(C)2005 MFS Investment Management
ITEM 2. CONTROLS AND PROCEDURES.
(a) Based upon their evaluation of the registrant's disclosure controls and
procedures as conducted within 90 days of the filing date of this Form N-Q,
the registrant's principal financial officer and principal executive
officer have concluded that those disclosure controls and procedures
provide reasonable assurance that the material information required to be
disclosed by the registrant on this report is recorded, processed,
summarized and reported within the time periods specified in the Securities
and Exchange Commission's rules and forms.
(b) There were no changes in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of
1940 (the "Act")) that occurred during the registrant's last fiscal quarter
that has materially affected, or is reasonably likely to materially affect,
the registrant's internal control over financial reporting.
ITEM 3. EXHIBITS.
File as exhibits as part of this Form a separate certification for each
principal executive officer and principal financial officer of the registrant
as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto.
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)* ROBERT J. MANNING
-----------------------------------------------------
Robert J. Manning, President
Date: September 20, 2005
------------------
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)* ROBERT J. MANNING
-----------------------------------------------------
Robert J. Manning, President (Principal Executive
Officer)
Date: September 20, 2005
------------------
By (Signature and Title)* TRACY ATKINSON
-----------------------------------------------------
Tracy Atkinson, Treasurer (Principal Financial Officer
and Accounting Officer)
Date: September 20, 2005
------------------
* Print name and title of each signing officer under his or her signature.