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: January 31, 2007
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ITEM 1. SCHEDULE OF INVESTMENTS.
MFS(R) MFS MULTIMARKET INCOME TRUST
1/31/07
Quarterly portfolio holdings
[graphic omitted]
M F S(R)
INVESTMENT MANAGEMENT
MFS Multimarket Income Trust
PORTFOLIO OF INVESTMENTS (Unaudited) 01/31/2007
ISSUER SHARES/PAR VALUE ($)
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BONDS - 94.1%
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AEROSPACE - 0.3%
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Bombardier, Inc., 8%, 2014 (n) $ 613,000 $ 632,923
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DRS Technologies, Inc., 7.625%, 2018 655,000 666,462
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Rolls-Royce PLC, 6.375%, 2007 EUR 300,000 393,979
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$ 1,693,364
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AIRLINES - 0.2%
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Continental Airlines, Inc., 7.566%, 2020 $ 1,011,390 $ 1,031,617
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ASSET BACKED & SECURITIZED - 10.7%
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ARCap REIT, Inc., "H", 6.1%, 2045 (n) $ 2,000,000 $ 1,770,940
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Asset Securitization Corp., FRN, 8.147%, 2029 1,877,956 2,024,988
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Banc of America Commercial Mortgage, Inc. "A4", FRN, 5.1801%, 2047 1,375,626 1,350,324
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Banc of America Commercial Mortgage, Inc., FRN, 4.857%, 2043 1,375,626 1,318,700
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Bayview Financial Acquisition Trust, FRN, 5.483%, 2041 1,130,000 1,123,598
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Bayview Financial Revolving Mortgage Loan Trust, FRN, 6.12%, 2040 (z) 4,000,000 4,005,218
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Countrywide Asset-Backed Certificates, FRN, 4.575%, 2035 463,440 459,889
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CPS Auto Receivables Trust, 2.89%, 2009 (z) 136,810 134,907
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Crest Ltd., 7%, 2040 (n) 2,000,000 1,996,800
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DEPFA Bank, 5.5%, 2010 EUR 960,000 1,297,762
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Deutsche Mortgage & Asset Receiving Corp., 7.5%, 2031 $ 1,847,000 2,012,275
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DLJ Commercial Mortgage Corp., 6.04%, 2031 2,000,000 2,024,437
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Falcon Franchise Loan LLC, FRN, 3.797%, 2025 (i)(z) 7,303,216 1,114,398
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First Union National Bank Commercial Mortgage Trust, FRN, 0.942%, 2043 (i)(n) 28,405,774 897,145
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First Union-Lehman Brothers Bank of America, FRN, 0.5379%, 2035 (i) 60,137,129 923,869
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First Union-Lehman Brothers Commercial Mortgage Trust, 7%, 2029 (n) 1,847,000 1,978,900
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First Union-Lehman Brothers Commercial Mortgage Trust, FRN, 7.5%, 2029 1,846,973 2,036,234
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GMAC Commercial Mortgage Securities, Inc., 6.02%, 2033 2,542,000 2,570,794
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GMAC Commercial Mortgage Securities, Inc., FRN, 7.6617%, 2034 (n) 1,853,000 1,997,913
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Granite Mortgages PLC, FRN, 5.15%, 2042 EUR 350,000 457,063
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JPMorgan Chase Commercial Mortgage Securities Corp., 5.552%, 2045 $ 1,590,000 1,591,763
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JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.2943%, 2043 1,375,626 1,360,066
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JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.475%, 2043 1,590,000 1,583,596
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JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.8755%, 2045 1,590,000 1,639,669
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Lehman Brothers Commercial Conduit Mortgage Trust, FRN, 1.1414%, 2030 (i) 16,256,161 311,468
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Morgan Stanley Capital I, Inc., FRN, 1.4055%, 2039 (i)(n) 14,915,475 868,513
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Mortgage Capital Funding, Inc., FRN, 0.6685%, 2031 (i) 13,493,844 87,060
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Multi-Family Capital Access One, Inc., 6.65%, 2024 99,142 100,275
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Preferred Term Securities IV Ltd., CDO, FRN, 7.6106%, 2031 (z) 1,210,557 1,214,189
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Prudential Securities Secured Financing Corp., FRN, 7.4507%, 2013 (z) 2,581,000 2,711,154
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RMAC PLC, FRN, 3.869%, 2036 (n) EUR 145,342 189,343
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Structured Asset Securities Corp., FRN, 4.67%, 2035 $ 4,570,839 4,518,012
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TIAA Real Estate CDO Ltd., 7.17%, 2032 (n) 1,379,063 1,382,402
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Wachovia Bank Commercial Mortgage Trust, 4.935%, 2042 2,000,000 1,924,151
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Wachovia Bank Commercial Mortgage Trust, FRN, 5.083%, 2042 2,000,000 1,941,562
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Wachovia Bank Commercial Mortgage Trust, FRN, 5.118%, 2042 1,375,626 1,337,331
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Wachovia Bank Commercial Mortgage Trust, FRN, 5.316%, 2044 2,777,000 2,740,317
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$ 56,997,025
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AUTOMOTIVE - 1.6%
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Continental AG, 6.875%, 2008 EUR 100,000 $ 136,426
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DaimlerChrysler N.A. Holdings Corp., 8.5%, 2031 $ 1,251,000 1,482,221
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Ford Motor Credit Co., 5.8%, 2009 410,000 402,379
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Ford Motor Credit Co., 7.375%, 2009 2,115,000 2,128,401
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Ford Motor Credit Co., 9.75%, 2010 (n) 310,000 330,677
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Ford Motor Credit Co., 7%, 2013 1,325,000 1,263,989
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Ford Motor Credit Co., 8%, 2016 635,000 623,487
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Ford Motor Credit Co., FRN, 8.11%, 2012 400,000 401,644
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General Motors Corp., 8.375%, 2033 674,000 634,403
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Johnson Controls, Inc., 5.25%, 2011 1,180,000 1,168,803
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$ 8,572,430
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BROADCASTING - 2.1%
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Allbritton Communications Co., 7.75%, 2012 $ 875,000 $ 890,312
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CBS Corp., 6.625%, 2011 1,043,000 1,075,464
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Clear Channel Communications, Inc., 5.5%, 2014 840,000 742,757
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EchoStar DBS Corp., 6.375%, 2011 875,000 867,344
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Grupo Televisa S.A., 8.5%, 2032 463,000 565,833
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Intelsat Ltd., 9.25%, 2016 (n) 1,680,000 1,843,800
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Intelsat Ltd., 11.25%, 2016 (n) 355,000 401,150
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Intelsat Subsidiary Holding Co. Ltd., 8.625%, 2015 580,000 616,975
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Lamar Media Corp., 7.25%, 2013 1,460,000 1,478,250
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News America Holdings, 7.7%, 2025 2,217,000 2,486,272
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$ 10,968,157
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BROKERAGE & ASSET MANAGERS - 1.0%
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Goldman Sachs Group, Inc., 5.625%, 2017 $ 2,653,000 $ 2,618,880
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Morgan Stanley Dean Witter, Inc., 6.6%, 2012 2,538,000 2,670,349
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$ 5,289,229
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BUILDING - 0.9%
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American Standard Cos., Inc., 7.375%, 2008 $ 2,500,000 $ 2,534,217
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Masonite Corp., 11%, 2015 (z) 734,000 724,825
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Nortek Holdings, Inc., 8.5%, 2014 1,695,000 1,682,288
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$ 4,941,330
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BUSINESS SERVICES - 0.5%
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SunGard Data Systems, Inc., 10.25%, 2015 $ 1,440,000 $ 1,548,000
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Xerox Corp., 7.625%, 2013 1,105,000 1,149,200
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$ 2,697,200
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CABLE TV - 2.6%
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CCH II Holdings LLC, 10.25%, 2010 $ 800,000 $ 831,000
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CCO Holdings LLC, 8.75%, 2013 325,000 334,750
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Cox Communications, Inc., 4.625%, 2013 1,744,000 1,647,574
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CSC Holdings, Inc., 8.125%, 2009 1,939,000 2,009,289
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Mediacom LLC, 9.5%, 2013 240,000 247,200
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Rogers Cable, Inc., 5.5%, 2014 1,975,000 1,888,671
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TCI Communications Financing III, 9.65%, 2027 5,000,000 5,262,030
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TCI Communications, Inc., 9.8%, 2012 1,135,000 1,334,598
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$ 13,555,112
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CHEMICALS - 1.2%
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Akzo Nobel N.V., 5.625%, 2009 EUR 100,000 $ 133,980
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BCP Crystal Holdings Corp., 9.625%, 2014 $ 413,000 456,365
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Equistar Chemicals LP, 10.125%, 2008 800,000 848,000
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Equistar Chemicals LP, 10.625%, 2011 1,225,000 1,298,500
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Linde Finance B.V., 6% to 2013, FRN to 2049 EUR 101,000 133,901
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Lyondell Chemical Co., 11.125%, 2012 $ 1,330,000 1,431,412
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Momentive Performance Materials, Inc., 11.5%, 2016 (n) 955,000 982,456
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Mosaic Co., 7.625%, 2016 (n) 995,000 1,017,387
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Nalco Co., 8.875%, 2013 95,000 100,819
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$ 6,402,820
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COMPUTER SOFTWARE - 0.2%
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Seagate Technology HDD Holdings, 6.375%, 2011 $ 380,000 $ 379,050
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Seagate Technology HDD Holdings, 6.8%, 2016 837,000 834,907
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$ 1,213,957
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CONGLOMERATES - 0.0%
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Thyssenkrupp Finance B.V., 7%, 2009 EUR 100,000 $ 137,109
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CONSTRUCTION - 0.2%
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Beazer Homes USA, Inc., 6.875%, 2015 $ 1,015,000 $ 976,937
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CONSUMER GOODS & SERVICES - 0.7%
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Church & Dwight Co., Inc., 6%, 2012 $ 805,000 $ 782,862
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Fortune Brands, Inc., 5.125%, 2011 1,212,000 1,186,811
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Service Corp. International, 7%, 2017 620,000 613,800
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Service Corp. International, 7.625%, 2018 250,000 262,500
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Sodexho Alliance S.A., 5.875%, 2009 EUR 100,000 134,325
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Visant Holding Corp., 8.75%, 2013 $ 830,000 871,500
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Vitro S.A., 9.125%, 2017 (z) 132,000 133,320
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$ 3,985,118
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CONTAINERS - 1.5%
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Ball Corp., 6.625%, 2018 $ 1,025,000 $ 1,013,469
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Berry Plastics Holding Corp., 8.875%, 2014 (n) 755,000 779,537
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Crown Americas LLC, 7.75%, 2015 1,215,000 1,257,525
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Greif, Inc., 6.75%, 2017 (z) 2,345,000 2,345,000
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Owens-Brockway Glass Container, Inc., 8.875%, 2009 453,000 463,192
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Owens-Brockway Glass Container, Inc., 8.25%, 2013 1,815,000 1,892,138
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$ 7,750,861
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DEFENSE ELECTRONICS - 0.3%
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L-3 Communications Corp., 5.875%, 2015 $ 1,630,000 $ 1,544,425
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ELECTRONICS - 0.2%
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NXP B.V./NXP Funding LLC, 7.875%, 2014 (n) $ 615,000 $ 634,988
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Sensata Technologies B.V., 8%, 2014 (n) 620,000 609,150
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$ 1,244,138
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EMERGING MARKET QUASI-SOVEREIGN - 2.1%
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Gaz Capital S.A., 8.625%, 2034 $ 124,000 $ 154,926
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Gazprom International S.A., 7.201%, 2020 1,793,755 1,863,352
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Gazprom OAO, 9.625%, 2013 550,000 646,250
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Gazprom OAO, 8.625%, 2034 (n) 713,000 893,389
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Majapahit Holding B.V., 7.75%, 2016 (n) 605,000 633,737
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Pemex Project Funding Master Trust, 8.625%, 2022 878,000 1,073,355
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Pemex Project Funding Master Trust, 9.5%, 2027 84,000 110,460
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Pemex Project Funding Master Trust, 6.625%, 2035 1,694,000 1,685,530
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Petronas Capital Ltd., 7.875%, 2022 1,153,000 1,396,752
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Ras Laffan Liquefied Natural Gas Co. Ltd., 8.294%, 2014 (n) 2,510,000 2,777,056
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$ 11,234,807
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EMERGING MARKET SOVEREIGN - 3.5%
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Arab Republic of Egypt, 0%, 2007 EGP 275,000 $ 48,247
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Arab Republic of Egypt, 0%, 2007 EGP 100,000 17,418
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Federative Republic of Brazil, 6%, 2017 $ 3,299,000 3,223,123
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Federative Republic of Brazil, 8%, 2018 615,000 679,882
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Federative Republic of Brazil, 8.875%, 2024 89,000 109,915
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Federative Republic of Brazil, 7.125%, 2037 100,000 105,650
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Federative Republic of Brazil, 11%, 2040 84,000 110,628
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Federative Republic of Brazil, CLN, 10%, 2012 BRL 100,000 42,928
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Federative Republic of Brazil, CLN, 10%, 2012 BRL 100,000 42,928
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Federative Republic of Brazil, CLN, 10%, 2012 BRL 100,000 42,928
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Federative Republic of Brazil, CLN, 10%, 2012 BRL 100,000 42,928
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Nota do Tesouro Nacional, 6%, 2015 BRL 47,086 19,883
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Nota do Tesouro Nacional, 10%, 2017 BRL 31,000 12,549
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Republic of Argentina, 7%, 2013 $ 1,666,499 1,594,191
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Republic of Argentina, 7%, 2015 86,000 80,004
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Republic of Argentina, FRN, 5.59%, 2012 1,653,750 1,569,960
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Republic of Bulgaria, 8.25%, 2015 242,000 283,382
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Republic of Colombia, 7.375%, 2037 100,000 106,000
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Republic of Colombia, FRN, 7.175%, 2015 1,350,000 1,420,200
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Republic of Indonesia, CLN, FRN, 12.8%, 2021 25,543 28,709
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Republic of Panama, 9.375%, 2029 1,241,000 1,619,505
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Republic of Philippines, 9.375%, 2017 597,000 731,325
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Republic of Philippines, 7.5%, 2024 100,000 108,625
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Republic of Turkey, 11%, 2013 20,000 24,425
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Republic of Turkey, 7.25%, 2015 784,000 809,480
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Republic of Turkey, 7.375%, 2025 80,000 81,600
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Republic of Venezuela, 8.5%, 2014 1,005,000 1,097,962
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Republic of Venezuela, 7%, 2018 590,000 585,575
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Republic of Venezuela, 7.65%, 2025 93,000 96,720
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Russian Federation, 3%, 2008 1,843,000 1,781,628
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United Mexican States, 6.375%, 2013 448,000 462,336
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United Mexican States, 5.625%, 2017 750,000 740,250
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United Mexican States, 8.3%, 2031 60,000 75,600
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United Mexican States, 6.75%, 2034 871,000 923,260
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$ 18,719,744
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ENERGY - INDEPENDENT - 1.1%
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Anadarko Petroleum Corp., 5.95%, 2016 $ 610,000 $ 604,684
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Chesapeake Energy Corp., 6.875%, 2016 2,495,000 2,470,050
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Forest Oil Corp., 7.75%, 2014 950,000 959,500
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Newfield Exploration Co., 6.625%, 2014 995,000 977,588
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Quicksilver Resources, Inc., 7.125%, 2016 1,060,000 1,030,850
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$ 6,042,672
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ENERGY - INTEGRATED - 0.2%
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TNK-BP Finance S.A., 7.5%, 2016 (n) $ 1,083,000 $ 1,130,869
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ENTERTAINMENT - 0.3%
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AMC Entertainment, Inc., 9.5%, 2011 $ 629,000 $ 630,572
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AMC Entertainment, Inc., 11%, 2016 435,000 491,550
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Turner Broadcasting System, Inc., 8.375%, 2013 419,000 474,954
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$ 1,597,076
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FINANCIAL INSTITUTIONS - 1.9%
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Countrywide Financial Corp., 6.25%, 2016 $ 2,250,000 $ 2,304,473
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General Motors Acceptance Corp., 5.85%, 2009 962,000 956,580
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General Motors Acceptance Corp., 6.875%, 2011 990,000 1,004,718
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General Motors Acceptance Corp., 6.75%, 2014 2,905,000 2,947,445
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GMAC LLC, 6.125%, 2008 503,000 502,195
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International Lease Finance Corp., 5.625%, 2013 1,248,000 1,250,359
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Residential Capital LLC, 6.875%, 2015 930,000 954,042
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$ 9,919,812
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FOOD & BEVERAGES - 0.6%
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Allied Domecq Financial Services PLC, 5.875%, 2009 EUR 125,000 $ 167,950
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ARAMARK Corp., 8.5%, 2015 (z) $ 730,000 747,337
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B&G Foods Holding Corp., 8%, 2011 375,000 378,750
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Dole Foods Co., Inc., 8.875%, 2011 795,000 791,025
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Michael Foods, Inc., 8%, 2013 485,000 494,700
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Tyson Foods, Inc., 6.6%, 2016 750,000 761,452
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$ 3,341,214
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FOOD & DRUG STORES - 0.3%
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CVS Corp., 6.125%, 2016 $ 1,300,000 $ 1,330,566
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FOREST & PAPER PRODUCTS - 1.0%
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Buckeye Technologies, Inc., 8.5%, 2013 $ 795,000 $ 846,675
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MDP Acquisitions PLC, 9.625%, 2012 640,000 680,000
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MeadWestvaco Corp., 6.8%, 2032 679,000 664,378
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Norske Skog Canada Ltd., 7.375%, 2014 1,210,000 1,179,750
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Stora Enso Oyj, 6.404%, 2016 (n) 1,580,000 1,612,798
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UPM Kymmene Corp., 6.125%, 2012 EUR 100,000 138,294
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Verso Paper Holdings LLC, 9.125%, 2014 (n) $ 340,000 357,000
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$ 5,478,895
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GAMING & LODGING - 2.3%
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Caesars Entertainment, Inc., 8.125%, 2011 $ 1,520,000 $ 1,609,300
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Harrah's Entertainment, Inc., 5.75%, 2017 2,725,000 2,313,111
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Mandalay Resort Group, 9.375%, 2010 950,000 1,012,937
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MGM Mirage, Inc., 8.375%, 2011 2,530,000 2,659,662
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MGM Mirage, Inc., 6.75%, 2013 500,000 490,625
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Scientific Games Corp., 6.25%, 2012 825,000 808,500
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Station Casinos, Inc., 6.5%, 2014 2,345,000 2,133,950
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Wyndham Worldwide Corp., 6%, 2016 (n) 360,000 354,989
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Wynn Las Vegas LLC, 6.625%, 2014 620,000 613,800
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$ 11,996,874
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INDUSTRIAL - 0.5%
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Amsted Industries, Inc., 10.25%, 2011 (z) $ 2,010,000 $ 2,153,213
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JohnsonDiversey Holdings, Inc., "B", 9.625%, 2012 690,000 723,638
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$ 2,876,851
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INSURANCE - 0.9%
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Allianz AG, 5.5% to 2014, FRN to 2049 EUR 140,000 $ 187,716
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ING Groep N.V., 5.775% to 2015, FRN to 2049 $ 2,500,000 2,474,545
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Prudential Financial, Inc., 5.1%, 2014 1,985,000 1,926,024
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$ 4,588,285
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INSURANCE - PROPERTY & CASUALTY - 1.6%
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AIG SunAmerica Global Financing X, 6.9%, 2032 (n) $ 2,384,000 $ 2,704,262
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Berkshire Hathaway Finance Corp., 5.1%, 2014 4,500,000 4,426,609
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Fund American Cos., Inc., 5.875%, 2013 1,464,000 1,446,977
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$ 8,577,848
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INTERNATIONAL MARKET QUASI-SOVEREIGN - 3.1%
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Canada Housing Trust, 4.6%, 2011 CAD 2,229,000 $ 1,925,303
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Development Bank of Japan, 1.4%, 2012 JPY 244,000,000 2,032,486
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Development Bank of Japan, 1.05%, 2023 JPY 334,000,000 2,354,992
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Development Bank of Japan, 2.3%, 2026 JPY 50,000,000 416,875
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Japan Finance Corp. for Municipal Enterprises, 1.55%, 2012 JPY 245,000,000 2,059,412
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Japan Finance Corp. for Municipal Enterprises, 2%, 2016 JPY 450,000,000 3,837,054
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KfW Bankengruppe, 1.35%, 2014 JPY 163,000,000 1,341,074
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KfW Bankengruppe, FRN, 3.528%, 2007 EUR 1,678,000 2,185,620
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Vattenfall Treasury AB, 6%, 2010 EUR 125,000 170,642
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$ 16,323,458
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INTERNATIONAL MARKET SOVEREIGN - 7.4%
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Commonwealth of Australia, 6.5%, 2013 AUD 987,000 $ 784,124
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Commonwealth of Australia, 6%, 2017 AUD 465,000 362,147
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Federal Republic of Germany, 5.25%, 2010 EUR 1,691,000 2,287,983
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Federal Republic of Germany, 3.75%, 2015 EUR 1,196,000 1,523,578
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Federal Republic of Germany, 6.25%, 2030 EUR 1,448,000 2,431,939
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Government of Canada, 5.5%, 2009 CAD 2,961,000 2,596,180
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Government of Canada, 4.5%, 2015 CAD 750,000 651,744
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Government of Canada, 8%, 2023 CAD 483,000 588,975
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Government of Canada, 5.75%, 2033 CAD 455,000 478,937
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Kingdom of Denmark, 4%, 2015 DKK 3,653,000 636,044
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Kingdom of Netherlands, 3.75%, 2009 EUR 3,478,000 4,503,606
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Kingdom of Netherlands, 3.75%, 2014 EUR 370,000 472,185
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Kingdom of Spain, 5.35%, 2011 EUR 2,575,000 3,538,419
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Republic of Austria, 4.65%, 2018 EUR 3,169,000 4,312,214
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Republic of France, 4%, 2009 EUR 215,000 280,207
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Republic of France, 5%, 2012 EUR 400,000 544,164
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Republic of France, 4.75%, 2012 EUR 612,000 824,773
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Republic of France, 5%, 2016 EUR 1,249,000 1,738,226
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Republic of France, 6%, 2025 EUR 442,000 706,001
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Republic of France, 4.75%, 2035 EUR 1,999,000 2,809,840
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Republic of Ireland, 3.25%, 2009 EUR 1,489,000 1,910,235
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Republic of Ireland, 4.6%, 2016 EUR 1,923,000 2,598,380
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United Kingdom Treasury, 8%, 2015 GBP 415,000 984,655
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United Kingdom Treasury, 8%, 2021 GBP 187,000 485,301
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United Kingdom Treasury, 4.25%, 2036 GBP 646,000 1,238,707
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$ 39,288,564
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MACHINERY & TOOLS - 0.8%
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Case Corp., 7.25%, 2016 $ 750,000 $ 767,812
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Case New Holland, Inc., 6%, 2009 1,200,000 1,200,000
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Case New Holland, Inc., 9.25%, 2011 340,000 360,400
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Case New Holland, Inc., 7.125%, 2014 820,000 840,500
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Manitowoc Co., Inc., 10.5%, 2012 767,000 819,731
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$ 3,988,443
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MAJOR BANKS - 2.6%
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Bank of Ireland, 7.4%, 2049 EUR 500,000 $ 719,294
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BNP Paribas Capital Trust III, 6.625% to 2011, FRN to 2049 EUR 100,000 141,526
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BNP Paribas, 5.186% to 2015, FRN to 2049 (n) $ 2,099,000 2,005,536
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Credit Suisse Group, 7.974%, 2010 EUR 265,000 381,985
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HBOS Capital Funding LP, 6.071% to 2014, FRN to 2049 (n) $ 1,543,000 1,567,404
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JPMorgan Chase & Co., 5.125%, 2014 2,755,000 2,687,538
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MUFG Capital Finance 1 Ltd., 6.346% to 2016, FRN to 2049 1,568,000 1,581,468
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National Westminster Bank PLC, 6.625% to 2009, FRN to 2049 EUR 330,000 453,453
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SG Capital Trust I, 7.875% to 2010, FRN to 2049 EUR 300,000 427,941
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Wachovia Capital Trust III, 5.8% to 2011, FRN to 2042 $ 4,068,000 4,096,045
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$ 14,062,190
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MEDICAL & HEALTH TECHNOLOGY & SERVICES - 1.4%
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DaVita, Inc., 6.625%, 2013 $ 300,000 $ 298,500
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DaVita, Inc., 7.25%, 2015 900,000 911,250
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HCA, Inc., 8.75%, 2010 1,315,000 1,370,887
---------------------------------------------------------------------------------------------------------------------------------
HCA, Inc., 6.375%, 2015 890,000 756,500
---------------------------------------------------------------------------------------------------------------------------------
HCA, Inc., 9.25%, 2016 (n) 1,645,000 1,747,813
---------------------------------------------------------------------------------------------------------------------------------
Omnicare, Inc., 6.875%, 2015 725,000 715,937
---------------------------------------------------------------------------------------------------------------------------------
Owens & Minor, Inc., 6.35%, 2016 1,420,000 1,414,953
---------------------------------------------------------------------------------------------------------------------------------
$ 7,215,840
---------------------------------------------------------------------------------------------------------------------------------
MEDICAL EQUIPMENT - 0.2%
---------------------------------------------------------------------------------------------------------------------------------
Cooper Cos., Inc., 7.125%, 2015 (z) $ 1,260,000 $ 1,272,600
---------------------------------------------------------------------------------------------------------------------------------
METALS & MINING - 2.2%
---------------------------------------------------------------------------------------------------------------------------------
Aleris International, Inc., 10%, 2016 (n) $ 255,000 $ 264,244
---------------------------------------------------------------------------------------------------------------------------------
Arch Western Finance LLC, 6.75%, 2013 1,310,000 1,293,625
---------------------------------------------------------------------------------------------------------------------------------
Chaparral Steel Co., 10%, 2013 1,090,000 1,215,350
---------------------------------------------------------------------------------------------------------------------------------
FMG Finance Ltd., 10.625%, 2016 (n) 1,480,000 1,631,700
---------------------------------------------------------------------------------------------------------------------------------
Foundation PA Coal Co., 7.25%, 2014 1,545,000 1,568,175
---------------------------------------------------------------------------------------------------------------------------------
Griffin Coal Mining Co., 9.5%, 2016 (z) 395,000 409,813
---------------------------------------------------------------------------------------------------------------------------------
International Steel Group, Inc., 6.5%, 2014 1,300,000 1,319,500
---------------------------------------------------------------------------------------------------------------------------------
Massey Energy Co., 6.875%, 2013 1,315,000 1,216,375
---------------------------------------------------------------------------------------------------------------------------------
Peabody Energy Corp., 5.875%, 2016 1,220,000 1,159,000
---------------------------------------------------------------------------------------------------------------------------------
Peabody Energy Corp., 7.375%, 2016 45,000 46,912
---------------------------------------------------------------------------------------------------------------------------------
Peabody Energy Corp., "B", 6.875%, 2013 630,000 633,150
---------------------------------------------------------------------------------------------------------------------------------
U.S. Steel Corp., 9.75%, 2010 795,000 840,713
---------------------------------------------------------------------------------------------------------------------------------
$ 11,598,557
---------------------------------------------------------------------------------------------------------------------------------
MORTGAGE BACKED - 9.5%
---------------------------------------------------------------------------------------------------------------------------------
Fannie Mae, 4.78%, 2015 $ 711,635 $ 689,414
---------------------------------------------------------------------------------------------------------------------------------
Fannie Mae, 6%, 2017 - 2036 3,085,924 3,103,778
---------------------------------------------------------------------------------------------------------------------------------
Fannie Mae, 5.5%, 2021 - 2035 11,148,568 11,023,919
---------------------------------------------------------------------------------------------------------------------------------
Fannie Mae, 5%, 2027 - 2035 7,228,735 7,035,287
---------------------------------------------------------------------------------------------------------------------------------
Fannie Mae, 6.5%, 2031 - 2032 1,526,483 1,561,119
---------------------------------------------------------------------------------------------------------------------------------
Freddie Mac, 6%, 2021 - 2036 11,034,408 11,082,370
---------------------------------------------------------------------------------------------------------------------------------
Freddie Mac, 5%, 2024 371,283 368,703
---------------------------------------------------------------------------------------------------------------------------------
Freddie Mac, 5.5%, 2036 16,040,169 15,786,990
---------------------------------------------------------------------------------------------------------------------------------
$ 50,651,580
---------------------------------------------------------------------------------------------------------------------------------
NATURAL GAS - DISTRIBUTION - 0.3%
---------------------------------------------------------------------------------------------------------------------------------
AmeriGas Partners LP, 7.25%, 2015 $ 1,030,000 $ 1,019,700
---------------------------------------------------------------------------------------------------------------------------------
AmeriGas Partners LP, 7.125%, 2016 365,000 356,787
---------------------------------------------------------------------------------------------------------------------------------
$ 1,376,487
---------------------------------------------------------------------------------------------------------------------------------
NATURAL GAS - PIPELINE - 2.3%
---------------------------------------------------------------------------------------------------------------------------------
Atlas Pipeline Partners LP, 8.125%, 2015 $ 1,455,000 $ 1,498,650
---------------------------------------------------------------------------------------------------------------------------------
CenterPoint Energy Resources Corp., 7.875%, 2013 1,250,000 1,380,892
---------------------------------------------------------------------------------------------------------------------------------
Colorado Interstate Gas Co., 5.95%, 2015 365,000 358,677
---------------------------------------------------------------------------------------------------------------------------------
El Paso Performance-Linked Trust, 7.75%, 2011 (n) 2,240,000 2,329,600
---------------------------------------------------------------------------------------------------------------------------------
Kinder Morgan Energy Partners LP, 5.125%, 2014 1,147,000 1,096,904
---------------------------------------------------------------------------------------------------------------------------------
Kinder Morgan Energy Partners LP, 7.4%, 2031 1,626,000 1,775,488
---------------------------------------------------------------------------------------------------------------------------------
Magellan Midstream Partners LP, 5.65%, 2016 1,123,000 1,095,116
---------------------------------------------------------------------------------------------------------------------------------
Williams Cos., Inc., 8.75%, 2032 1,750,000 1,990,625
---------------------------------------------------------------------------------------------------------------------------------
Williams Partners LP, 7.25%, 2017 (n) 765,000 786,038
---------------------------------------------------------------------------------------------------------------------------------
$ 12,311,990
---------------------------------------------------------------------------------------------------------------------------------
NETWORK & TELECOM - 2.4%
---------------------------------------------------------------------------------------------------------------------------------
BellSouth Corp., 6.55%, 2034 $ 3,213,000 $ 3,276,633
---------------------------------------------------------------------------------------------------------------------------------
Citizens Communications Co., 9.25%, 2011 1,285,000 1,423,137
---------------------------------------------------------------------------------------------------------------------------------
Citizens Communications Co., 9%, 2031 870,000 937,425
---------------------------------------------------------------------------------------------------------------------------------
Deutsche Telekom International Finance B.V., 8.125%, 2012 EUR 130,000 196,872
---------------------------------------------------------------------------------------------------------------------------------
Nordic Telephone Co. Holdings, 8.875%, 2016 (n) $ 640,000 688,000
---------------------------------------------------------------------------------------------------------------------------------
OTE Telecommunications PLC, 6.125%, 2007 EUR 195,000 254,104
---------------------------------------------------------------------------------------------------------------------------------
Qwest Corp., 7.875%, 2011 $ 1,890,000 2,008,125
---------------------------------------------------------------------------------------------------------------------------------
Qwest Corp., 8.875%, 2012 950,000 1,054,500
---------------------------------------------------------------------------------------------------------------------------------
Telefonica Europe B.V., 7.75%, 2010 1,500,000 1,608,135
---------------------------------------------------------------------------------------------------------------------------------
Windstream Corp., 8.625%, 2016 1,040,000 1,134,900
---------------------------------------------------------------------------------------------------------------------------------
$ 12,581,831
---------------------------------------------------------------------------------------------------------------------------------
OIL SERVICES - 0.3%
---------------------------------------------------------------------------------------------------------------------------------
Basic Energy Services, Inc., 7.125%, 2016 $ 630,000 $ 611,100
---------------------------------------------------------------------------------------------------------------------------------
GulfMark Offshore, Inc., 7.75%, 2014 760,000 767,600
---------------------------------------------------------------------------------------------------------------------------------
$ 1,378,700
---------------------------------------------------------------------------------------------------------------------------------
OILS - 0.5%
---------------------------------------------------------------------------------------------------------------------------------
Premcor Refining Group, Inc., 7.5%, 2015 $ 2,575,000 $ 2,641,360
---------------------------------------------------------------------------------------------------------------------------------
OTHER BANKS & DIVERSIFIED FINANCIALS - 3.0%
---------------------------------------------------------------------------------------------------------------------------------
Alfa Diversified Payment Rights Finance Co., FRN, 7.2465%, 2011 (z) $ 2,509,000 $ 2,509,000
---------------------------------------------------------------------------------------------------------------------------------
Banco BMG S.A., 9.15%, 2016 (n) 714,000 737,205
---------------------------------------------------------------------------------------------------------------------------------
Banco de Credito del Peru, FRN, 6.95%, 2021 (n) 316,000 311,620
---------------------------------------------------------------------------------------------------------------------------------
Banco do Estado de Sao Paulo S.A., 8.7%, 2010 15,000 15,975
---------------------------------------------------------------------------------------------------------------------------------
Banco do Estado de Sao Paulo S.A., 8.7%, 2049 (n) 577,000 610,178
---------------------------------------------------------------------------------------------------------------------------------
Banco Mercantil del Norte S.A., 5.875% to 2009, FRN to 2014 (n) 655,000 657,456
---------------------------------------------------------------------------------------------------------------------------------
CenterCredit International B.V., 8.625%, 2014 (n) 1,181,000 1,156,671
---------------------------------------------------------------------------------------------------------------------------------
Credit Suisse (USA), Inc., 4.875%, 2010 1,023,000 1,008,861
---------------------------------------------------------------------------------------------------------------------------------
Fifth Third Bancorp, 5.45%, 2017 1,500,000 1,476,478
---------------------------------------------------------------------------------------------------------------------------------
HSBK Europe B.V., 7.75%, 2013 (n) 497,000 515,638
---------------------------------------------------------------------------------------------------------------------------------
ICICI Bank Ltd., FRN, 6.375%, 2022 (z) 102,000 101,213
---------------------------------------------------------------------------------------------------------------------------------
Kazkommerts International B.V., 8%, 2015 588,000 595,762
---------------------------------------------------------------------------------------------------------------------------------
Mizuho Capital Investment 1 Ltd., 6.686% to 2016, FRN to 2049 (n) 1,220,000 1,220,905
---------------------------------------------------------------------------------------------------------------------------------
Mizuho Financial Group, Inc., 5.79%, 2014 (n) 1,633,000 1,631,504
---------------------------------------------------------------------------------------------------------------------------------
Resona Bank Ltd., 5.85% to 2016, FRN to 2049 (n) 626,000 608,511
---------------------------------------------------------------------------------------------------------------------------------
Russian Standard Finance S.A., 7.5%, 2010 (n) 257,000 249,547
---------------------------------------------------------------------------------------------------------------------------------
Russian Standard Finance S.A., 8.625%, 2011 (n) 769,000 769,000
---------------------------------------------------------------------------------------------------------------------------------
Turanalem Finance B.V., 8.25%, 2037 (z) 400,000 405,000
---------------------------------------------------------------------------------------------------------------------------------
Woori Bank, 6.125% to 2011, FRN to 2016 (n) 1,510,000 1,534,414
---------------------------------------------------------------------------------------------------------------------------------
$ 16,114,938
---------------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS - 0.2%
---------------------------------------------------------------------------------------------------------------------------------
Schering-Plough Corp., 6.75%, 2033 $ 1,002,000 $ 1,081,078
---------------------------------------------------------------------------------------------------------------------------------
POLLUTION CONTROL - 0.1%
---------------------------------------------------------------------------------------------------------------------------------
Veolia Environnement, 5.875%, 2008 EUR 250,000 $ 332,474
---------------------------------------------------------------------------------------------------------------------------------
PRECIOUS METALS & MINERALS - 0.2%
---------------------------------------------------------------------------------------------------------------------------------
Alrosa Finance S.A., 8.875%, 2014 $ 716,000 $ 817,028
---------------------------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING - 2.0%
---------------------------------------------------------------------------------------------------------------------------------
American Media Operations, Inc., 10.25%, 2009 $ 790,000 $ 758,400
---------------------------------------------------------------------------------------------------------------------------------
Bertelsmann U.S. Finance, Inc., 4.625%, 2010 EUR 148,000 193,971
---------------------------------------------------------------------------------------------------------------------------------
Dex Media East LLC, 9.875%, 2009 $ 1,235,000 1,296,750
---------------------------------------------------------------------------------------------------------------------------------
Dex Media West LLC, 9.875%, 2013 567,000 616,612
---------------------------------------------------------------------------------------------------------------------------------
Idearc, Inc., 8%, 2016 (n) 3,225,000 3,277,406
---------------------------------------------------------------------------------------------------------------------------------
MediaNews Group, Inc., 6.875%, 2013 1,060,000 964,600
---------------------------------------------------------------------------------------------------------------------------------
Pearson PLC, 6.125%, 2007 EUR 135,000 175,898
---------------------------------------------------------------------------------------------------------------------------------
R.H. Donnelley Corp., 8.875%, 2016 $ 2,790,000 2,922,525
---------------------------------------------------------------------------------------------------------------------------------
Reed Elsevier Capital, Inc., 5.75%, 2008 EUR 125,000 166,190
---------------------------------------------------------------------------------------------------------------------------------
$ 10,372,352
---------------------------------------------------------------------------------------------------------------------------------
RAILROAD & SHIPPING - 0.1%
---------------------------------------------------------------------------------------------------------------------------------
TFM S.A. de C.V., 9.375%, 2012 $ 717,000 $ 765,398
---------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE - 0.5%
---------------------------------------------------------------------------------------------------------------------------------
HRPT Properties Trust, REIT, 6.25%, 2016 $ 663,000 $ 678,333
---------------------------------------------------------------------------------------------------------------------------------
Kimco Realty Corp., REIT, 5.783%, 2016 720,000 723,788
---------------------------------------------------------------------------------------------------------------------------------
Simon Property Group LP, REIT, 4.6%, 2010 1,375,000 1,340,265
---------------------------------------------------------------------------------------------------------------------------------
$ 2,742,386
---------------------------------------------------------------------------------------------------------------------------------
RESTAURANTS - 0.3%
---------------------------------------------------------------------------------------------------------------------------------
YUM! Brands, Inc., 8.875%, 2011 $ 1,590,000 $ 1,772,632
---------------------------------------------------------------------------------------------------------------------------------
RETAILERS - 1.1%
---------------------------------------------------------------------------------------------------------------------------------
Couche-Tard, Inc., 7.5%, 2013 $ 905,000 $ 920,837
---------------------------------------------------------------------------------------------------------------------------------
Dollar General Corp., 8.625%, 2010 685,000 724,387
---------------------------------------------------------------------------------------------------------------------------------
Gap, Inc., 9.8%, 2008 2,710,000 2,879,107
---------------------------------------------------------------------------------------------------------------------------------
Home Depot, Inc., 5.4%, 2016 1,250,000 1,207,365
---------------------------------------------------------------------------------------------------------------------------------
$ 5,731,696
---------------------------------------------------------------------------------------------------------------------------------
SPECIALTY STORES - 0.1%
---------------------------------------------------------------------------------------------------------------------------------
GSC Holdings Corp., 8%, 2012 $ 455,000 $ 481,163
---------------------------------------------------------------------------------------------------------------------------------
LVMH Moet Hennessy Louis Vuitton S.A., 4.625%, 2011 EUR 125,000 164,112
---------------------------------------------------------------------------------------------------------------------------------
Payless ShoeSource, Inc., 8.25%, 2013 $ 100,000 104,250
---------------------------------------------------------------------------------------------------------------------------------
$ 749,525
---------------------------------------------------------------------------------------------------------------------------------
SUPERMARKETS - 0.5%
---------------------------------------------------------------------------------------------------------------------------------
Safeway, Inc., 6.5%, 2008 $ 2,500,000 $ 2,539,685
---------------------------------------------------------------------------------------------------------------------------------
SUPRANATIONAL - 0.1%
---------------------------------------------------------------------------------------------------------------------------------
Central American Bank, 4.875%, 2012 (n) $ 521,000 $ 500,348
---------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS - WIRELESS - 0.6%
---------------------------------------------------------------------------------------------------------------------------------
Centennial Communications Corp., 10.125%, 2013 $ 520,000 $ 560,950
---------------------------------------------------------------------------------------------------------------------------------
OJSC Vimpel Communications, 8.25%, 2016 770,000 811,426
---------------------------------------------------------------------------------------------------------------------------------
Rogers Wireless, Inc., 6.375%, 2014 950,000 951,188
---------------------------------------------------------------------------------------------------------------------------------
Rogers Wireless, Inc., 7.5%, 2015 980,000 1,053,500
---------------------------------------------------------------------------------------------------------------------------------
$ 3,377,064
---------------------------------------------------------------------------------------------------------------------------------
TOBACCO - 0.4%
---------------------------------------------------------------------------------------------------------------------------------
Altria Group, Inc., 5.625%, 2008 EUR 75,000 $ 99,451
---------------------------------------------------------------------------------------------------------------------------------
Reynolds American, Inc., 7.25%, 2012 $ 1,988,000 2,078,965
---------------------------------------------------------------------------------------------------------------------------------
$ 2,178,416
---------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - SERVICES - 0.4%
---------------------------------------------------------------------------------------------------------------------------------
Hertz Corp., 8.875%, 2014 $ 685,000 $ 727,812
---------------------------------------------------------------------------------------------------------------------------------
Stena AB, 7%, 2016 562,000 554,975
---------------------------------------------------------------------------------------------------------------------------------
Westinghouse Air Brake Technologies Corp., 6.875%, 2013 795,000 787,050
---------------------------------------------------------------------------------------------------------------------------------
$ 2,069,837
---------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES - 0.2%
---------------------------------------------------------------------------------------------------------------------------------
Small Business Administration, 5.34%, 2021 $ 1,178,215 $ 1,183,875
---------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS - 4.7%
---------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds, 5.375%, 2031 $ 3,386,000 $ 3,572,758
---------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds, 4.5%, 2036 (f) 14,628,000 13,672,616
---------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Notes, 4.5%, 2016 2,718,000 2,654,084
---------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Notes, TIPS, 2.375%, 2017 4,996,150 4,984,829
---------------------------------------------------------------------------------------------------------------------------------
$ 24,884,287
---------------------------------------------------------------------------------------------------------------------------------
UTILITIES - ELECTRIC POWER - 6.1%
---------------------------------------------------------------------------------------------------------------------------------
Allegheny Energy Supply Co. LLC, 8.25%, 2012 (n) $ 805,000 $ 877,450
---------------------------------------------------------------------------------------------------------------------------------
Beaver Valley Funding Corp., 9%, 2017 4,599,000 5,155,801
---------------------------------------------------------------------------------------------------------------------------------
BVPS II Funding Corp., 8.68%, 2017 731,000 816,103
---------------------------------------------------------------------------------------------------------------------------------
Edison Mission Energy, 7.75%, 2016 1,585,000 1,676,138
---------------------------------------------------------------------------------------------------------------------------------
Enersis S.A., 7.375%, 2014 1,283,000 1,376,368
---------------------------------------------------------------------------------------------------------------------------------
Exelon Generation Co. LLC, 6.95%, 2011 1,246,000 1,310,275
---------------------------------------------------------------------------------------------------------------------------------
HQI Transelec Chile S.A., 7.875%, 2011 883,000 932,844
---------------------------------------------------------------------------------------------------------------------------------
ISA Capital do Brasil S.A., 7.875%, 2012 (z) 464,000 472,120
---------------------------------------------------------------------------------------------------------------------------------
ISA Capital do Brasil S.A., 8.8%, 2017 (z) 938,000 964,733
---------------------------------------------------------------------------------------------------------------------------------
MidAmerican Energy Holdings Co., 6.125%, 2036 2,000,000 2,010,660
---------------------------------------------------------------------------------------------------------------------------------
Midwest Generation LLC, 8.75%, 2034 250,000 270,000
---------------------------------------------------------------------------------------------------------------------------------
Mirant North American LLC, 7.375%, 2013 1,500,000 1,530,000
---------------------------------------------------------------------------------------------------------------------------------
NorthWestern Corp., 5.875%, 2014 1,695,000 1,658,912
---------------------------------------------------------------------------------------------------------------------------------
NRG Energy, Inc., 7.375%, 2016 3,450,000 3,454,312
---------------------------------------------------------------------------------------------------------------------------------
Reliant Resources, Inc., 9.25%, 2010 895,000 939,750
---------------------------------------------------------------------------------------------------------------------------------
RWE Finance B.V., 5.375%, 2008 EUR 6,000 7,921
---------------------------------------------------------------------------------------------------------------------------------
Spectra Energy Capital LLC, 8%, 2019 $ 691,000 784,968
---------------------------------------------------------------------------------------------------------------------------------
System Energy Resources, Inc., 5.129%, 2014 (n) 2,133,558 2,061,081
---------------------------------------------------------------------------------------------------------------------------------
TXU Corp., 5.55%, 2014 1,574,000 1,481,463
---------------------------------------------------------------------------------------------------------------------------------
TXU Energy Co., 7%, 2013 2,670,000 2,794,422
---------------------------------------------------------------------------------------------------------------------------------
Waterford 3 Funding Corp., 8.09%, 2017 1,872,870 1,871,672
---------------------------------------------------------------------------------------------------------------------------------
$ 32,446,993
---------------------------------------------------------------------------------------------------------------------------------
TOTAL BONDS $500,187,954
---------------------------------------------------------------------------------------------------------------------------------
FLOATING RATE LOANS - 0.7% (g)(r)
---------------------------------------------------------------------------------------------------------------------------------
AUTOMOTIVE - 0.4%
---------------------------------------------------------------------------------------------------------------------------------
Ford Motor Co., Term Loan B, 8.36%, 2013 $ 1,187,893 $ 1,202,317
---------------------------------------------------------------------------------------------------------------------------------
General Motors Corp., Term Loan B, 7.745%, 2013 742,855 751,096
---------------------------------------------------------------------------------------------------------------------------------
$ 1,953,413
---------------------------------------------------------------------------------------------------------------------------------
MEDICAL & HEALTH TECHNOLOGY & SERVICES - 0.1%
---------------------------------------------------------------------------------------------------------------------------------
HCA, Inc., Term Loan B, 8.1138%, 2013 $ 655,963 $ 661,753
---------------------------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING - 0.2%
---------------------------------------------------------------------------------------------------------------------------------
Idearc, Inc., Term Loan B, 7.33%, 2014 $ 1,350,605 $ 1,360,523
---------------------------------------------------------------------------------------------------------------------------------
TOTAL FLOATING RATE LOANS $ 3,975,689
---------------------------------------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS - 0.2%
---------------------------------------------------------------------------------------------------------------------------------
AUTOMOTIVE - 0.1%
---------------------------------------------------------------------------------------------------------------------------------
Ford Motor Co., 4.25%, 2036 $ 535,000 $ 607,225
---------------------------------------------------------------------------------------------------------------------------------
OTHER BANKS & DIVERSIFIED FINANCIALS - 0.1%
---------------------------------------------------------------------------------------------------------------------------------
Fortis Capital Co., 6.25% to 2009, FRN to 2049 EUR 155,000 $ 209,421
---------------------------------------------------------------------------------------------------------------------------------
TOTAL CONVERTIBLE BONDS $ 816,646
---------------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS - 0.0%
---------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE - 0.0%
---------------------------------------------------------------------------------------------------------------------------------
HRPT Properties Trust, REIT, "B", 8.75% 5,100 $ 129,540
---------------------------------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS $ 129,540
---------------------------------------------------------------------------------------------------------------------------------
PAR AMOUNT
ISSUE/EXPIRATION DATE/STRIKE PRICE OF CONTRACTS VALUE ($)
---------------------------------------------------------------------------------------------------------------------------------
PUT OPTIONS PURCHASED - 0.0%
---------------------------------------------------------------------------------------------------------------------------------
ARS Currency - February 2007 @ $15.8551 (a) ARS 102,000 $ 10
---------------------------------------------------------------------------------------------------------------------------------
ARS Currency - March 2007 @ $17.6258 (a) ARS 95,000 1,415
---------------------------------------------------------------------------------------------------------------------------------
BRL Currency - February 2007 @ $1.0263 (a) BRL 217,930 14
---------------------------------------------------------------------------------------------------------------------------------
TRY Currency - February 2007 @ $1.0632 (a) TRY 148,571 25
---------------------------------------------------------------------------------------------------------------------------------
TRY Currency - February 2007 @ $1.0426(a) TRY 151,500 2
---------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds Futures - February 2007 @ $114 (a) 1 16
---------------------------------------------------------------------------------------------------------------------------------
TOTAL PUT OPTIONS PURCHASED $ 1,482
---------------------------------------------------------------------------------------------------------------------------------
ISSUER SHARES/PAR VALUE ($)
---------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS - 0.0%
---------------------------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING - 0.0%
---------------------------------------------------------------------------------------------------------------------------------
Golden Books Family Entertainment, Inc. (a) 19,975 $ 0
---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS $ 0
---------------------------------------------------------------------------------------------------------------------------------
RIGHTS - 0.0%
---------------------------------------------------------------------------------------------------------------------------------
EMERGING MARKET SOVEREIGN - 0.0%
---------------------------------------------------------------------------------------------------------------------------------
Banco Central del Uruguay, Value Recovery Rights, Expiring January 2021 (a) 1,250,000 $ 0
---------------------------------------------------------------------------------------------------------------------------------
TOTAL RIGHTS $ 0
---------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS - 4.9% (y)
---------------------------------------------------------------------------------------------------------------------------------
Dexia Delaware LLC, 5.265%, due 2/01/07 $ 21,222,000 $ 21,222,000
---------------------------------------------------------------------------------------------------------------------------------
General Electric Capital Corp., 5.27%, due 2/01/07 4,690,000 4,690,000
---------------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM OBLIGATIONS $ 25,912,000
---------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (k) $531,023,311
---------------------------------------------------------------------------------------------------------------------------------
OTHER ASSETS, LESS LIABILITIES - 0.1% 279,845
---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS - 100.0% $531,303,156
---------------------------------------------------------------------------------------------------------------------------------
(a) Non-income producing security.
(f) All or a portion of the security has been segregated as collateral for an open futures contract.
(g) The rate shown represents a weighted average coupon rate on settled positions at period end.
(i) 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.
(k) As of January 31, 2007, the trust held securities fair valued in accordance with the policies adopted by the Board of
Trustees, aggregating $484,636,050 and 91.26% of market value. An independent pricing service provided an evaluated bid for
89.95% of the market value.
(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 $56,517,396, representing 10.6% of net assets.
(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.
(y) The rate shown represents an annualized yield at time of purchase.
(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 trust holds the following restricted securities:
ACQUISITION ACQUISITION CURRENT TOTAL % OF
RESTRICTED SECURITIES DATE COST MARKET VALUE NET ASSETS
--------------------------------------------------------------------------------------------------------------
Alfa Diversified Payment Rights
Finance Co., FRN, 7.2465%, 2011 12/04/06 $2,509,000 $ 2,509,000
Amsted Industries, Inc., 10.25%, 2011 8/08/03-12/04/06 2,135,156 2,153,213
ARAMARK Corp., 8.5%, 2015 1/17/07-1/26/07 739,581 747,337
Bayview Financial Revolving Mortgage
Loan Trust, FRN, 6.12%, 2040 3/01/06 4,000,000 4,005,218
Cooper Cos., Inc., 7.125%, 2015 1/26/07 1,260,000 1,272,600
CPS Auto Receivables Trust, 2.89%, 2009 3/27/03 136,810 134,907
Falcon Franchise Loan LLC, FRN,
3.797%, 2023 1/29/03 1,449,383 1,114,398
Greif, Inc., 6.75%, 2017 1/26/07 2,345,000 2,345,000
Griffin Coal Mining Co., 9.5%, 2016 11/10/06 395,000 409,813
ICICI Bank Ltd., FRN, 6.375%, 2022 1/09/07 101,761 101,213
ISA Capital do Brasil S.A., 7.875%, 2012 1/19/07 468,550 472,120
ISA Capital do Brasil S.A., 8.8%, 2017 1/19/07 949,900 964,733
Masonite Corp., 11%, 2015 12/05/06-1/05/07 687,772 724,825
Preferred Term Securities IV
Ltd., CDO, FRN, 7.6106%, 2031 9/13/05 1,231,512 1,214,189
Prudential Securities Secured
Financing Corp., FRN, 7.4507%, 2013 12/06/04 2,865,414 2,711,154
Turanalem Finance B.V., 8.25%, 2037 1/11/07 396,660 405,000
Vitro S.A., 9.125%, 2017 1/25/07 129,888 133,320
--------------------------------------------------------------------------------------------------------------
Total Restricted Securities $ 21,418,040 4.0%
=============================
The following abbreviations are used in this report and are defined:
CDO Collateralized Debt Obligation
CLN Credit-Linked Note
FRN Floating Rate Note. Interest rate resets periodically and may not be the rate reported at period end.
REIT Real Estate Investment Trust
TIPS Treasury Inflation Protected Security
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:
ARS Argentine Peso
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CNY Chinese Yuan Renminbi
COP Colombian Peso
CZK Czech Koruna
DKK Danish Krone
EGP Egyptian Pound
EUR Euro
GBP British Pound
HUF Hungarian Forint
ILS Israeli Sheqel
JPY Japanese Yen
MXN Mexican Peso
MYR Malaysian Ringgit
NOK Norwegian Krone
NZD New Zealand Dollar
PEN Peru Nuevo Sol
PHP Philippine Peso
PLN Polish Zloty
RUB Russian Ruble
SEK Swedish Krona
SGD Singapore Dollar
SKK Slovakian Koruna
THB Thailand Baht
TRY Turkish Lira
ZAR South African Rand
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) 01/31/2007
(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 $529,449,597
============
Gross unrealized appreciation $ 8,440,413
Gross unrealized depreciation (6,866,699)
------------
Net unrealized appreciation (depreciation) $ 1,573,714
============
The aggregate cost above includes prior fiscal year end tax adjustments.
(2) FINANCIAL INSTRUMENTS
DERIVATIVES
-----------
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Sales and Purchases in the table below are reported by currency.
NET UNREALIZED
CONTRACTS TO CONTRACTS APPRECIATION
DELIVER/RECEIVE SETTLEMENT DATE IN EXCHANGE FOR AT VALUE (DEPRECIATION)
----------------------------------------------------------------------------------------------------------------
SALES
-----
ARS 66,652 2/05/07 $ 21,431 $ 21,444 $ (13)
AUD 2,595,593 2/06/07 2,030,486 2,012,176 18,310
BRL 77,598 2/16/07 36,050 36,431 (381)
CAD 7,047,151 2/06/07 6,131,092 5,995,318 135,774
CZK 8,150,022 2/05/07 377,700 377,713 (13)
DKK 11,171,428 2/15/07 1,984,268 1,953,420 30,848
EUR 38,982,974 3/26/07 50,629,917 50,916,088 (286,171)
GBP 3,857,924 2/26/07-2/28/07 7,397,874 7,575,849 (177,975)
HUF 56,508,804 2/05/07 288,222 288,302 (80)
ILS 654,865 2/05/07 153,995 154,034 (39)
JPY 688,314,504 3/16/07 5,725,279 5,735,298 (10,019)
NZD 67,149 2/05/07-4/02/07 46,094 46,162 (68)
PEN 165,514 2/05/07 51,772 51,771 1
PHP 4,245,500 2/16/07 86,785 86,844 (59)
SKK 3,544,216 2/05/07 132,050 131,919 131
----------- ----------- ---------
$75,093,015 $75,382,769 $(289,754)
=========== =========== =========
PURCHASES
---------
ARS 133,303 2/05/07-3/05/07 $ 42,991 $ 42,911 $ (80)
CAD 1,624,753 2/06/07 1,384,631 1,382,248 (2,383)
CNY 43,212,375 2/12/07-2/28/07 5,564,586 5,570,122 5,536
COP 197,285,000 2/12/07 87,585 87,528 (57)
CZK 16,300,044 2/05/07-3/02/07 768,687 756,442 (12,245)
DKK 7,051,356 2/15/07 1,248,594 1,232,990 (15,604)
EUR 3,595,169 2/28/07-3/26/07 4,710,892 4,692,299 (18,593)
GBP 1,588,199 2/28/07 3,104,047 3,118,761 14,714
HUF 113,017,607 2/05/07-3/02/07 581,559 575,918 (5,641)
ILS 1,309,730 2/05/07-3/02/07 310,062 308,195 (1,867)
MXN 16,597,286 2/06/07 1,537,996 1,507,955 (30,041)
MYR 4,991,436 2/16/07-2/26/07 1,428,409 1,427,695 (714)
NZD 33,574 2/05/07 23,193 23,114 (79)
NOK 8,391,682 3/05/07 1,331,046 1,345,707 14,661
PEN 331,028 2/05/07-3/05/07 103,795 103,580 (215)
PHP 8,491,000 2/16/07 173,996 173,688 (308)
PLN 1,556,645 3/05/07 534,214 520,317 (13,897)
RUB 3,554,500 2/12/07 134,386 134,276 (110)
SEK 8,752,153 2/26/07 1,255,689 1,261,547 5,858
SGD 719,376 3/05/07 471,058 469,172 (1,886)
SKK 7,088,432 2/05/07-3/02/07 267,990 264,050 (3,940)
THB 3,285,500 2/09/07 91,391 94,468 3,077
TRY 76,166 3/01/07 52,696 53,589 893
ZAR 1,665,825 3/05/07 236,294 229,786 (6,508)
----------- ----------- ---------
$25,445,787 $25,376,358 $ (69,429)
=========== =========== =========
At January 31, 2007, forward foreign currency purchases and sales under master netting agreements excluded
above amounted to a net receivable of $72,310 with Merrill Lynch International Bank.
FUTURES CONTRACTS OUTSTANDING AT 1/31/07:
UNREALIZED
EXPIRATION APPRECIATION
DESCRIPTION CONTRACTS VALUE DATE (DEPRECIATION)
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U.S. Treasury Bond (Long) 50 $ 5,506,250 Mar-07 $ (167,084)
U.S. Treasury Note 10 yr (Long) 141 15,051,750 Mar-07 (264,868)
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$ (431,952)
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At January 31, 2007, the trust had sufficient cash and/or securities to cover any commitments under these
derivative contracts.
(3) COUNTRY WEIGHTINGS
Country weighting percentages of portfolio holdings based on total net assets
as of January 31, 2007, are as follows:
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United States 69.4%
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Belgium 4.0%
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Japan 2.7%
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Germany 2.6%
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Canada 2.3%
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Russia 2.2%
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France 1.9%
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Netherlands 1.6%
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Mexico 1.4%
---------------------------------
Other Countries 11.9%
---------------------------------
The country weighting percentages include both accrued interest amounts and the
equivalent exposure from any derivative holdings, if applicable.
ITEM 2. CONTROLS AND PROCEDURES.
(a) Based upon their evaluation of the effectiveness of the registrant's
disclosure controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940 (the "Act")) as conducted within 90 days of
the filing date of this Form N-Q, the registrant's principal financial
officer and principal executive officer have concluded that those
disclosure controls and procedures provide reasonable assurance that the
material information required to be disclosed by the registrant on this
report is recorded, processed, summarized and reported within the time
periods specified in the Securities and Exchange Commission's rules and
forms.
(b) There were no changes in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Act) that occurred during
the registrant's last fiscal quarter that have materially affected, or are
reasonably likely to materially affect, the registrant's internal control
over financial reporting.
ITEM 3. EXHIBITS.
File as exhibits as part of this Form a separate certification for each
principal executive officer and principal financial officer of the registrant
as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto.
NOTICE
A copy of the Amended and Restated Declaration of Trust 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
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By (Signature and Title)* MARIA F. DWYER
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Maria F. Dwyer, President
Date: March 13, 2007
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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
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Maria F. Dwyer, President (Principal Executive
Officer)
Date: March 13, 2007
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By (Signature and Title)* TRACY ATKINSON
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Tracy Atkinson, Treasurer (Principal Financial Officer
and Accounting Officer)
Date: March 13, 2007
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* Print name and title of each signing officer under his or her signature.