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, 2007
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ITEM 1. SCHEDULE OF INVESTMENTS.
MFS(R) MULTIMARKET INCOME TRUST
7/31/07
QUARTERLY PORTFOLIO HOLDINGS
[graphic omitted]
M F S(R)
INVESTMENT MANAGEMENT
MFS Multimarket Income Trust
PORTFOLIO OF INVESTMENTS (Unaudited) 7/31/07
ISSUER SHARES/PAR VALUE ($)
BONDS - 89.2%
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AEROSPACE - 0.3%
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Bombardier, Inc., 8%, 2014 (n) $ 713,000 $ 705,870
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Hawker Beechcraft Acquisition Corp., 8.5%, 2015 (n) 600,000 600,000
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Hawker Beechcraft Acquisition Corp., 9.75%, 2017 (n) 365,000 361,350
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$ 1,667,220
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AIRLINES - 0.2%
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Continental Airlines, Inc., 7.566%, 2020 $ 860,979 $ 843,739
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ASSET BACKED & SECURITIZED - 10.0%
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ARCap REIT, Inc., "H", 6.1%, 2045 (n) $ 2,000,000 $ 1,619,063
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Asset Securitization Corp., FRN, 7.866%, 2029 1,877,956 1,984,735
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Banc of America Commercial Mortgage, Inc., "A4", FRN, 5.181%, 2047 1,375,626 1,323,592
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Banc of America Commercial Mortgage, Inc., FRN, 4.857%, 2043 1,375,626 1,294,439
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Bayview Financial Acquisition Trust, FRN, 5.483%, 2041 1,130,000 1,121,490
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Bayview Financial Revolving Mortgage Loan Trust, FRN, 6.12%, 2040 (z) 4,000,000 3,999,988
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Citigroup/Deutsche Bank Commercial Mortgage Trust, FRN, 5.366%, 2049 1,160,000 1,103,283
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Countrywide Asset-Backed Certificates, FRN, 4.575%, 2035 267,465 265,997
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Crest Ltd., 7%, 2040 2,000,000 1,812,200
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DEPFA Bank, 5.5%, 2010 EUR 960,000 1,342,579
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Deutsche Mortgage & Asset Receiving Corp., FRN, 7.5%, 2031 $ 1,847,000 1,963,816
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DLJ Commercial Mortgage Corp., 6.04%, 2031 (z) 2,000,000 2,010,051
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Falcon Franchise Loan LLC, FRN, 3.776%, 2025 (i)(z) 7,107,681 923,288
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First Union National Bank Commercial Mortgage Trust, FRN, 0.937%, 2043 (i)(n) 28,066,589 780,310
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First Union-Lehman Brothers Bank of America, FRN, 0.497%, 2035 (i) 58,328,392 785,415
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First Union-Lehman Brothers Commercial Mortgage Trust, 7%, 2029 (n) 1,847,000 1,950,199
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GMAC Commercial Mortgage Securities, Inc., FRN, 6.02%, 2033 (z) 2,542,000 2,538,414
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GMAC Commercial Mortgage Securities, Inc., FRN, 7.662%, 2034 (n) 1,853,000 1,944,444
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JPMorgan Chase Commercial Mortgage Securities Corp., 5.552%, 2045 1,590,000 1,547,749
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JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.294%, 2043 1,375,626 1,330,215
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JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.475%, 2043 1,590,000 1,543,188
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JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.875%, 2045 1,590,000 1,593,441
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Lehman Brothers Commercial Conduit Mortgage Trust, FRN, 0.876%, 2030 (i) 13,703,628 313,936
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Morgan Stanley Capital I, Inc., FRN, 1.41%, 2039 (i)(n) 14,915,475 785,393
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Mortgage Capital Funding, Inc., FRN, 0.642%, 2031 (i) 12,636,913 43,992
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Multi-Family Capital Access One, Inc., 6.65%, 2024 73,254 73,796
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Prudential Securities Secured Financing Corp., FRN, 7.312%, 2013 (z) 2,581,000 2,701,359
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RMAC PLC, FRN, 4.338%, 2036 (n) EUR 71,938 98,484
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Structured Asset Securities Corp., FRN, 4.67%, 2035 $ 3,448,307 3,416,448
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Wachovia Bank Commercial Mortgage Trust, 4.935%, 2042 2,000,000 1,888,712
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Wachovia Bank Commercial Mortgage Trust, FRN, 5.118%, 2042 1,375,626 1,312,507
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Wachovia Bank Commercial Mortgage Trust, FRN, 5.383%, 2043 2,660,000 2,523,658
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Wachovia Bank Commercial Mortgage Trust, FRN, 5.315%, 2044 2,777,000 2,676,831
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Wachovia Bank Commercial Mortgage Trust, FRN, 5.603%, 2048 1,500,000 1,459,087
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$ 52,072,099
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AUTOMOTIVE - 1.9%
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Continental AG, 6.875%, 2008 EUR 100,000 $ 141,022
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DaimlerChrysler N.A. Holdings Corp., 8.5%, 2031 $ 1,251,000 1,548,258
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Ford Motor Credit Co., 7.375%, 2009 2,115,000 2,041,855
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Ford Motor Credit Co., 9.75%, 2010 310,000 313,057
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Ford Motor Credit Co., 7%, 2013 1,325,000 1,192,349
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Ford Motor Credit Co., 8%, 2016 635,000 585,229
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Ford Motor Credit Co., FRN, 8.11%, 2012 400,000 381,937
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General Motors Corp., 8.375%, 2033 1,285,000 1,056,913
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Goodyear Tire & Rubber Co., 9%, 2015 619,000 634,475
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Johnson Controls, Inc., 5.25%, 2011 1,180,000 1,173,505
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TRW Automotive, Inc., 7%, 2014 (n) 690,000 645,150
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TRW Automotive, Inc., 7.25%, 2017 (n) 75,000 67,500
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$ 9,781,250
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BROADCASTING - 2.0%
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Allbritton Communications Co., 7.75%, 2012 $ 1,270,000 $ 1,238,250
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CBS Corp., 6.625%, 2011 1,043,000 1,071,458
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Clear Channel Communications, Inc., 6.25%, 2011 1,310,000 1,196,857
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Clear Channel Communications, Inc., 5.5%, 2014 1,210,000 949,038
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Grupo Televisa S.A., 8.5%, 2032 463,000 565,605
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Intelsat Bermuda Ltd., 11.25%, 2016 355,000 370,975
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Intelsat Subsidiary Holding Co. Ltd., 8.625%, 2015 305,000 305,763
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Lamar Media Corp., 7.25%, 2013 1,460,000 1,401,600
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News America Holdings, 7.7%, 2025 2,217,000 2,436,339
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Univision Communications, Inc., 9.75%, 2015 (n)(p) 755,000 687,050
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$ 10,222,935
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BROKERAGE & ASSET MANAGERS - 1.6%
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Goldman Sachs Group, Inc., 5.625%, 2017 $ 2,378,000 $ 2,253,305
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INVESCO PLC, 5.625%, 2012 1,450,000 1,435,343
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Lehman Brothers Holdings, Inc., 6.5%, 2017 1,270,000 1,247,308
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Morgan Stanley, 5.75%, 2016 668,000 651,658
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Morgan Stanley Dean Witter, Inc., 6.6%, 2012 2,538,000 2,636,335
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$ 8,223,949
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BUILDING - 0.6%
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American Standard Cos., Inc., 7.375%, 2008 $ 2,500,000 $ 2,516,738
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Nortek Holdings, Inc., 8.5%, 2014 595,000 511,700
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$ 3,028,438
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BUSINESS SERVICES - 0.2%
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SunGard Data Systems, Inc., 10.25%, 2015 $ 1,140,000 $ 1,140,000
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CABLE TV - 1.1%
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CCH II Holdings LLC, 10.25%, 2010 $ 610,000 $ 620,675
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CCO Holdings LLC, 8.75%, 2013 325,000 321,750
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Cox Communications, Inc., 4.625%, 2013 1,744,000 1,618,054
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Rogers Cable, Inc., 5.5%, 2014 1,975,000 1,903,434
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TCI Communications, Inc., 9.8%, 2012 1,135,000 1,305,572
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$ 5,769,485
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CHEMICALS - 0.5%
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Akzo Nobel N.V., 5.625%, 2009 EUR 100,000 $ 138,926
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Equistar Chemicals LP, 10.125%, 2008 $ 457,000 472,995
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Linde Finance B.V., 6% to 2013, FRN to 2049 EUR 101,000 140,685
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Momentive Performance Materials, Inc., 11.5%, 2016 (n) $ 680,000 644,300
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Mosaic Co., 7.625%, 2016 (n) 995,000 999,975
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Nalco Co., 8.875%, 2013 95,000 93,575
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$ 2,490,456
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COMPUTER SOFTWARE - 0.2%
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Seagate Technology HDD Holdings, 6.375%, 2011 $ 1,217,000 $ 1,180,490
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CONGLOMERATES - 0.3%
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Actuant Corp., 6.875%, 2017 (z) $ 1,495,000 $ 1,420,250
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Thyssenkrupp Finance B.V., 7%, 2009 EUR 100,000 141,514
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$ 1,561,764
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CONSUMER GOODS & SERVICES - 0.8%
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Corrections Corp. of America, 6.25%, 2013 $ 455,000 $ 428,838
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Fortune Brands, Inc., 5.125%, 2011 1,212,000 1,199,873
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Jarden Corp., 7.5%, 2017 525,000 472,500
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Service Corp. International, 7%, 2017 1,155,000 1,051,050
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Service Corp. International, 7.625%, 2018 250,000 238,125
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Sodexho Alliance S.A., 5.875%, 2009 EUR 100,000 139,427
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Visant Holding Corp., 8.75%, 2013 $ 387,000 383,130
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$ 3,912,943
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CONTAINERS - 1.2%
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Crown Americas LLC, 7.75%, 2015 $ 1,215,000 $ 1,196,775
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Greif, Inc., 6.75%, 2017 2,345,000 2,233,613
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Owens-Brockway Glass Container, Inc., 8.875%, 2009 453,000 458,663
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Owens-Brockway Glass Container, Inc., 8.25%, 2013 2,250,000 2,261,250
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$ 6,150,301
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DEFENSE ELECTRONICS - 0.2%
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L-3 Communications Corp., 5.875%, 2015 $ 1,030,000 $ 937,300
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ELECTRONICS - 0.1%
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Flextronics International Ltd., 6.25%, 2014 $ 205,000 $ 184,500
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NXP B.V./NXP Funding LLC, 7.875%, 2014 615,000 568,875
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$ 753,375
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EMERGING MARKET QUASI-SOVEREIGN - 2.2%
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Codelco, Inc., 5.625%, 2035 $ 1,950,000 $ 1,752,426
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Gazprom International S.A., 7.201%, 2020 1,754,908 1,795,798
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Gazprom International S.A., 6.51%, 2022 (n) 1,260,000 1,204,938
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Majapahit Holding B.V., 7.25%, 2017 (n) 1,469,000 1,362,498
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OAO Gazprom, 9.625%, 2013 550,000 625,625
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OAO Gazprom, 6.212%, 2016 1,148,000 1,093,240
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Pemex Project Funding Master Trust, 8.625%, 2022 878,000 1,044,651
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Ras Laffan Liquefied Natural Gas Co. Ltd., 8.294%, 2014 (n) 2,510,000 2,769,393
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$ 11,648,569
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EMERGING MARKET SOVEREIGN - 2.3%
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Federative Republic of Brazil, 6%, 2017 $ 3,299,000 $ 3,195,082
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Federative Republic of Brazil, 8%, 2018 615,000 666,968
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Federative Republic of Brazil, 7.125%, 2037 100,000 105,350
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Federative Republic of Brazil, CLN, 10%, 2012 (z) BRL 400,000 204,564
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Nota do Tesouro Nacional, 6%, 2015 BRL 47,999 24,260
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Republic of Argentina, 7%, 2013 $ 590,045 523,485
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Republic of Argentina, FRN, 5.475%, 2012 2,537,250 2,311,942
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Republic of Colombia, FRN, 7.16%, 2015 1,350,000 1,417,500
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Republic of Panama, 9.375%, 2029 1,241,000 1,607,095
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Republic of Panama, 6.7%, 2036 554,000 548,460
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Republic of Philippines, 9.375%, 2017 597,000 695,505
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Republic of South Africa, 5.875%, 2022 569,000 542,684
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Republic of Uruguay, 5%, 2018 UYU 5,140,000 249,783
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$ 12,092,678
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ENERGY - INDEPENDENT - 0.9%
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Anadarko Petroleum Corp., 5.95%, 2016 $ 610,000 $ 599,451
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Chaparral Energy, Inc., 8.875%, 2017 (n) 595,000 541,450
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Chesapeake Energy Corp., 6.375%, 2015 420,000 394,275
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Chesapeake Energy Corp., 6.875%, 2016 1,310,000 1,247,775
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Forest Oil Corp., 7.25%, 2019 (n) 345,000 321,713
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Hilcorp Energy I LP, 7.75%, 2015 (n) 255,000 238,425
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Newfield Exploration Co., 6.625%, 2014 435,000 415,425
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Plains Exploration & Production Co., 7%, 2017 675,000 602,438
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Quicksilver Resources, Inc., 7.125%, 2016 595,000 551,863
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$ 4,912,815
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ENERGY - INTEGRATED - 0.3%
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Petroleum Co. of Trinidad & Tobago Ltd., 6%, 2022 (n) $ 423,000 $ 419,366
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TNK-BP Finance S.A., 7.5%, 2016 (n) 1,083,000 1,087,061
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$ 1,506,427
ENTERTAINMENT - 0.2%
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AMC Entertainment, Inc., 11%, 2016 $ 435,000 $ 449,138
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Turner Broadcasting System, Inc., 8.375%, 2013 419,000 468,009
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$ 917,147
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FINANCIAL INSTITUTIONS - 2.6%
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Capmark Financial Group, Inc., 5.875%, 2012 (z) $ 1,180,000 $ 1,103,386
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Countrywide Financial Corp., 6.25%, 2016 2,250,000 2,115,684
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General Motors Acceptance Corp., 5.85%, 2009 962,000 929,831
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General Motors Acceptance Corp., 6.875%, 2011 817,000 759,727
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General Motors Acceptance Corp., 6.75%, 2014 2,591,000 2,328,705
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General Motors Acceptance Corp., 8%, 2031 175,000 164,339
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GMAC LLC, 6.125%, 2008 503,000 498,778
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ILFC E-Capital Trust I, FRN, 5.9%, 2065 (n) 2,500,000 2,469,598
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International Lease Finance Corp., 5.625%, 2013 1,248,000 1,251,925
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Residential Capital LLC, 6.5%, 2012 600,000 544,287
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Residential Capital LLC, 6.875%, 2015 1,520,000 1,345,802
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$ 13,512,062
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FOOD & BEVERAGES - 0.7%
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Allied Domecq Financial Services PLC, 5.875%, 2009 EUR 125,000 $ 174,376
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ARAMARK Corp., 8.5%, 2015 (n) $ 920,000 867,100
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B&G Foods Holding Corp., 8%, 2011 375,000 363,750
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Dean Foods Co., 7%, 2016 810,000 745,200
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Del Monte Corp., 6.75%, 2015 185,000 167,425
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Tyson Foods, Inc., 6.6%, 2016 1,520,000 1,542,181
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$ 3,860,032
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FOOD & DRUG STORES - 0.3%
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CVS Caremark Corp., 6.125%, 2016 $ 1,300,000 $ 1,285,350
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FOREST & PAPER PRODUCTS - 0.8%
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Buckeye Technologies, Inc., 8.5%, 2013 $ 795,000 $ 798,975
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MDP Acquisitions PLC, 9.625%, 2012 59,000 61,655
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MeadWestvaco Corp., 6.8%, 2032 679,000 599,015
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Norske Skog Canada Ltd., 7.375%, 2014 1,210,000 1,034,550
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Stora Enso Oyj, 6.404%, 2016 (n) 1,580,000 1,577,726
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UPM Kymmene Corp., 6.125%, 2012 EUR 100,000 140,408
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$ 4,212,329
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GAMING & LODGING - 1.4%
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Caesars Entertainment, Inc., 8.125%, 2011 $ 1,520,000 $ 1,428,800
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Great Canadian Gaming Corp., 7.25%, 2015 (n) 375,000 360,000
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Mandalay Resort Group, 9.375%, 2010 950,000 971,375
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MGM Mirage, Inc., 8.375%, 2011 1,530,000 1,549,125
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MGM Mirage, Inc., 6.75%, 2013 500,000 461,250
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Scientific Games Corp., 6.25%, 2012 825,000 781,688
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Station Casinos, Inc., 6.5%, 2014 630,000 533,925
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Wimar Opco LLC, 9.625%, 2014 (n) 690,000 579,600
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Wyndham Worldwide Corp., 6%, 2016 360,000 341,018
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Wynn Las Vegas LLC, 6.625%, 2014 545,000 505,488
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$ 7,512,269
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INDUSTRIAL - 0.2%
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JohnsonDiversey Holdings, Inc., "B", 9.625%, 2012 $ 1,080,000 $ 1,112,400
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INSURANCE - 0.9%
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Allianz AG, 5.5% to 2014, FRN to 2049 EUR 140,000 $ 189,468
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American International Group, Inc., 6.25%, 2037 $ 300,000 276,347
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ING Groep N.V., 5.775% to 2015, FRN to 2049 2,500,000 2,404,110
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Prudential Financial, Inc., 5.1%, 2014 1,985,000 1,911,077
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$ 4,781,002
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INSURANCE - HEALTH - 0.1%
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Centene Corp., 7.25%, 2014 $ 350,000 $ 332,500
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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 $ 2,644,774
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Fund American Cos., Inc., 5.875%, 2013 1,464,000 1,432,458
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USI Holdings Corp., FRN, 9.23%, 2014 (n) 1,495,000 1,420,250
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ZFS Finance USA Trust IV, FRN, 5.875%, 2032 (z) 500,000 495,236
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ZFS Finance USA Trust V, FRN, 6.5%, 2037 (z) 2,700,000 2,528,450
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$ 8,521,168
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INTERNATIONAL MARKET QUASI-SOVEREIGN - 3.6%
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Canada Housing Trust, 4.6%, 2011 CAD 389,000 $ 363,598
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Development Bank of Japan, 1.75%, 2010 JPY 183,000,000 1,566,539
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Development Bank of Japan, 1.4%, 2012 JPY 274,000,000 2,309,204
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Development Bank of Japan, 1.05%, 2023 JPY 390,000,000 2,782,244
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Development Bank of Japan, 2.3%, 2026 JPY 120,000,000 1,015,504
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Japan Finance Corp. for Municipal Enterprises, 1.55%, 2012 JPY 275,000,000 2,342,730
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Japan Finance Corp. for Municipal Enterprises, 2%, 2016 JPY 510,000,000 4,360,046
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KfW Bankengruppe, 1.35%, 2014 JPY 432,000,000 3,584,940
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Vattenfall Treasury AB, 6%, 2010 EUR 125,000 176,498
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$ 18,501,303
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INTERNATIONAL MARKET SOVEREIGN - 8.2%
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Federal Republic of Germany, 5.25%, 2010 EUR 3,867,000 $ 5,423,043
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Federal Republic of Germany, 3.75%, 2015 EUR 1,808,000 2,383,646
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Federal Republic of Germany, 6.25%, 2030 EUR 1,544,000 2,622,027
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Government of Canada, 5.5%, 2009 CAD 778,000 741,602
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Government of Canada, 4.5%, 2015 CAD 671,000 627,687
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Government of Canada, 5.75%, 2033 CAD 236,000 264,389
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Kingdom of Denmark, 4%, 2015 DKK 4,203,000 752,098
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Kingdom of Netherlands, 3.75%, 2009 EUR 5,181,000 7,008,096
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Kingdom of Netherlands, 3.75%, 2014 EUR 1,061,000 1,398,316
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Kingdom of Spain, 5.35%, 2011 EUR 2,725,000 3,865,832
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Republic of Austria, 4.65%, 2018 EUR 2,632,000 3,663,130
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Republic of France, 4.75%, 2012 EUR 760,000 1,057,920
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Republic of France, 5%, 2016 EUR 1,274,000 1,818,057
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Republic of France, 6%, 2025 EUR 511,000 824,689
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Republic of France, 4.75%, 2035 EUR 2,099,000 2,961,979
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Republic of Ireland, 4.6%, 2016 EUR 2,023,000 2,798,844
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United Kingdom Treasury, 8%, 2015 GBP 562,000 1,349,378
----------------------------------------------------------------------------------------------------------------------------
United Kingdom Treasury, 8%, 2021 GBP 583,000 1,523,653
----------------------------------------------------------------------------------------------------------------------------
United Kingdom Treasury, 4.25%, 2036 GBP 803,000 1,545,308
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$ 42,629,694
----------------------------------------------------------------------------------------------------------------------------
MACHINERY & TOOLS - 0.3%
----------------------------------------------------------------------------------------------------------------------------
Case Corp., 7.25%, 2016 $ 750,000 $ 738,750
----------------------------------------------------------------------------------------------------------------------------
Case New Holland, Inc., 7.125%, 2014 820,000 801,550
----------------------------------------------------------------------------------------------------------------------------
$ 1,540,300
----------------------------------------------------------------------------------------------------------------------------
MAJOR BANKS - 2.7%
----------------------------------------------------------------------------------------------------------------------------
Bank of Ireland, 7.4%, 2049 EUR 500,000 $ 737,275
----------------------------------------------------------------------------------------------------------------------------
BNP Paribas Capital Trust III, 6.625% to 2011, FRN to 2049 EUR 100,000 144,388
----------------------------------------------------------------------------------------------------------------------------
BNP Paribas, 5.186% to 2015, FRN to 2049(n) $ 2,099,000 1,964,444
----------------------------------------------------------------------------------------------------------------------------
Credit Suisse Group, 7.974%, 2010 EUR 265,000 390,683
----------------------------------------------------------------------------------------------------------------------------
HBOS Capital Funding LP, 6.071% to 2014, FRN to 2049(n) $ 1,543,000 1,540,918
----------------------------------------------------------------------------------------------------------------------------
JPMorgan Chase & Co., 5.125%, 2014 2,755,000 2,624,281
----------------------------------------------------------------------------------------------------------------------------
MUFG Capital Finance 1 Ltd., 6.346% to 2016, FRN to 2049 1,568,000 1,503,033
----------------------------------------------------------------------------------------------------------------------------
National Westminster Bank PLC, 6.625% to 2009, FRN to 2049 EUR 330,000 468,697
----------------------------------------------------------------------------------------------------------------------------
SG Capital Trust I, 7.875% to 2010, FRN to 2049 EUR 300,000 437,478
----------------------------------------------------------------------------------------------------------------------------
Wachovia Capital Trust III, 5.8% to 2011, FRN to 2042 $ 4,068,000 3,989,707
----------------------------------------------------------------------------------------------------------------------------
$ 13,800,904
----------------------------------------------------------------------------------------------------------------------------
MEDICAL & HEALTH TECHNOLOGY & SERVICES - 2.2%
----------------------------------------------------------------------------------------------------------------------------
Advanced Medical Optics, Inc., 7.5%, 2017 $ 615,000 $ 559,650
----------------------------------------------------------------------------------------------------------------------------
Community Health Systems, Inc., 8.875%, 2015 (n) 890,000 864,413
----------------------------------------------------------------------------------------------------------------------------
Cooper Cos., Inc., 7.125%, 2015 1,260,000 1,212,750
----------------------------------------------------------------------------------------------------------------------------
DaVita, Inc., 6.625%, 2013 300,000 286,500
----------------------------------------------------------------------------------------------------------------------------
DaVita, Inc., 7.25%, 2015 900,000 852,750
----------------------------------------------------------------------------------------------------------------------------
HCA, Inc., 8.75%, 2010 1,315,000 1,278,838
----------------------------------------------------------------------------------------------------------------------------
HCA, Inc., 6.375%, 2015 500,000 387,500
----------------------------------------------------------------------------------------------------------------------------
HCA, Inc., 9.25%, 2016 (n) 1,645,000 1,632,663
----------------------------------------------------------------------------------------------------------------------------
Hospira, Inc., 5.55%, 2012 360,000 360,259
----------------------------------------------------------------------------------------------------------------------------
Hospira, Inc., 6.05%, 2017 1,248,000 1,228,192
----------------------------------------------------------------------------------------------------------------------------
Omnicare, Inc., 6.875%, 2015 590,000 532,475
----------------------------------------------------------------------------------------------------------------------------
Owens & Minor, Inc., 6.35%, 2016 1,420,000 1,422,650
----------------------------------------------------------------------------------------------------------------------------
Psychiatric Solutions, Inc., 7.75%, 2015 580,000 551,000
----------------------------------------------------------------------------------------------------------------------------
$ 11,169,640
----------------------------------------------------------------------------------------------------------------------------
METALS & MINING - 1.7%
----------------------------------------------------------------------------------------------------------------------------
Arch Western Finance LLC, 6.75%, 2013 $ 1,310,000 $ 1,192,100
----------------------------------------------------------------------------------------------------------------------------
Chaparral Steel Co., 10%, 2013 1,090,000 1,201,725
----------------------------------------------------------------------------------------------------------------------------
FMG Finance Ltd., 10.625%, 2016 (n) 1,405,000 1,608,725
----------------------------------------------------------------------------------------------------------------------------
Freeport-McMoRan Copper & Gold, Inc., 8.25%, 2015 595,000 623,263
----------------------------------------------------------------------------------------------------------------------------
Freeport-McMoRan Copper & Gold, Inc., 8.375%, 2017 1,445,000 1,517,250
----------------------------------------------------------------------------------------------------------------------------
International Steel Group, Inc., 6.5%, 2014 1,300,000 1,281,890
----------------------------------------------------------------------------------------------------------------------------
Peabody Energy Corp., 5.875%, 2016 720,000 637,200
----------------------------------------------------------------------------------------------------------------------------
Peabody Energy Corp., 7.375%, 2016 45,000 43,988
----------------------------------------------------------------------------------------------------------------------------
Peabody Energy Corp., "B", 6.875%, 2013 630,000 612,675
----------------------------------------------------------------------------------------------------------------------------
$ 8,718,816
----------------------------------------------------------------------------------------------------------------------------
MORTGAGE BACKED - 10.0%
----------------------------------------------------------------------------------------------------------------------------
Fannie Mae, 6%, 2017 - 2037 $ 8,284,211 $ 8,221,094
----------------------------------------------------------------------------------------------------------------------------
Fannie Mae, 4.78%, 2015 706,127 680,889
----------------------------------------------------------------------------------------------------------------------------
Fannie Mae, 5.5%, 2021 - 2035 10,423,933 10,168,744
----------------------------------------------------------------------------------------------------------------------------
Fannie Mae, 5%, 2027 - 2035 6,483,708 6,235,576
----------------------------------------------------------------------------------------------------------------------------
Fannie Mae, 6.5%, 2031 - 2032 1,429,121 1,454,903
----------------------------------------------------------------------------------------------------------------------------
Freddie Mac, 6%, 2021 - 2036 10,017,715 9,960,244
----------------------------------------------------------------------------------------------------------------------------
Freddie Mac, 5%, 2024 326,413 324,613
----------------------------------------------------------------------------------------------------------------------------
Freddie Mac, 5.5%, 2036 15,228,454 14,720,172
----------------------------------------------------------------------------------------------------------------------------
$ 51,766,235
----------------------------------------------------------------------------------------------------------------------------
NATURAL GAS - DISTRIBUTION - 0.3%
----------------------------------------------------------------------------------------------------------------------------
AmeriGas Partners LP, 7.25%, 2015 $ 1,030,000 $ 963,050
----------------------------------------------------------------------------------------------------------------------------
AmeriGas Partners LP, 7.125%, 2016 365,000 337,844
----------------------------------------------------------------------------------------------------------------------------
Inergy LP, 6.875%, 2014 400,000 372,000
----------------------------------------------------------------------------------------------------------------------------
$ 1,672,894
----------------------------------------------------------------------------------------------------------------------------
NATURAL GAS - PIPELINE - 2.2%
----------------------------------------------------------------------------------------------------------------------------
Atlas Pipeline Partners LP, 8.125%, 2015 $ 1,905,000 $ 1,876,425
----------------------------------------------------------------------------------------------------------------------------
CenterPoint Energy Resources Corp., 7.875%, 2013 1,250,000 1,365,700
----------------------------------------------------------------------------------------------------------------------------
El Paso Performance-Linked Trust, CLN, 7.75%, 2011 (n) 2,015,000 2,070,413
----------------------------------------------------------------------------------------------------------------------------
Intergas Finance B.V., 6.375%, 2017 (n) 670,000 633,150
----------------------------------------------------------------------------------------------------------------------------
Kinder Morgan Energy Partners LP, 5.125%, 2014 1,147,000 1,081,232
----------------------------------------------------------------------------------------------------------------------------
Magellan Midstream Partners LP, 5.65%, 2016 1,123,000 1,099,282
----------------------------------------------------------------------------------------------------------------------------
Spectra Energy Capital LLC, 8%, 2019 691,000 763,993
----------------------------------------------------------------------------------------------------------------------------
Williams Cos., Inc., 8.75%, 2032 1,750,000 1,933,750
----------------------------------------------------------------------------------------------------------------------------
Williams Partners LP, 7.25%, 2017 765,000 742,050
----------------------------------------------------------------------------------------------------------------------------
$ 11,565,995
----------------------------------------------------------------------------------------------------------------------------
NETWORK & TELECOM - 2.3%
----------------------------------------------------------------------------------------------------------------------------
BellSouth Corp., 6.55%, 2034 $ 3,213,000 $ 3,202,198
----------------------------------------------------------------------------------------------------------------------------
Citizens Communications Co., 9.25%, 2011 1,285,000 1,339,613
----------------------------------------------------------------------------------------------------------------------------
Citizens Communications Co., 9%, 2031 870,000 809,100
----------------------------------------------------------------------------------------------------------------------------
Deutsche Telekom International Finance B.V., 8.125%, 2012 EUR 130,000 200,440
----------------------------------------------------------------------------------------------------------------------------
Nordic Telephone Co. Holdings, 8.875%, 2016 (n) $ 640,000 633,600
----------------------------------------------------------------------------------------------------------------------------
Qwest Corp., 7.875%, 2011 295,000 299,425
----------------------------------------------------------------------------------------------------------------------------
Qwest Corp., 8.875%, 2012 950,000 998,688
----------------------------------------------------------------------------------------------------------------------------
Telefonica Europe B.V., 7.75%, 2010 1,500,000 1,586,712
----------------------------------------------------------------------------------------------------------------------------
TELUS Corp., 8%, 2011 1,309,000 1,401,706
----------------------------------------------------------------------------------------------------------------------------
Windstream Corp., 8.625%, 2016 1,040,000 1,053,000
----------------------------------------------------------------------------------------------------------------------------
Windstream Corp., 7%, 2019 195,000 175,500
----------------------------------------------------------------------------------------------------------------------------
$ 11,699,982
----------------------------------------------------------------------------------------------------------------------------
OIL SERVICES - 0.4%
----------------------------------------------------------------------------------------------------------------------------
Basic Energy Services, Inc., 7.125%, 2016 $ 720,000 655,200
----------------------------------------------------------------------------------------------------------------------------
Bristow Group, Inc., 7.5%, 2017 (n) 165,000 163,350
----------------------------------------------------------------------------------------------------------------------------
Compagnie Generale de Geophysique - Veritas, 7.75%, 2017 645,000 628,875
----------------------------------------------------------------------------------------------------------------------------
GulfMark Offshore, Inc., 7.75%, 2014 760,000 744,800
----------------------------------------------------------------------------------------------------------------------------
$ 2,192,225
----------------------------------------------------------------------------------------------------------------------------
OILS - 0.5%
----------------------------------------------------------------------------------------------------------------------------
Premcor Refining Group, Inc., 7.5%, 2015 $ 2,575,000 $ 2,657,995
----------------------------------------------------------------------------------------------------------------------------
OTHER BANKS & DIVERSIFIED FINANCIALS - 2.9%
----------------------------------------------------------------------------------------------------------------------------
Alfa Diversified Payment Rights Finance Co., FRN, 7.26%, 2011 (n) $ 2,258,100 $ 2,258,100
----------------------------------------------------------------------------------------------------------------------------
Banco BMG S.A., 9.15%, 2016 (n) 714,000 726,495
----------------------------------------------------------------------------------------------------------------------------
Banco do Estado de Sao Paulo S.A., 8.7%, 2010 15,000 15,600
----------------------------------------------------------------------------------------------------------------------------
Banco do Estado de Sao Paulo S.A., 8.7%, 2049 (n) 577,000 602,244
----------------------------------------------------------------------------------------------------------------------------
Banco Mercantil del Norte S.A., 5.875% to 2009, FRN to 2014(n) 655,000 656,638
----------------------------------------------------------------------------------------------------------------------------
Bosphorus Financial Services Ltd., FRN, 7.16%, 2012 2,000,000 2,020,286
----------------------------------------------------------------------------------------------------------------------------
Fifth Third Bancorp, 5.45%, 2017 1,500,000 1,449,795
----------------------------------------------------------------------------------------------------------------------------
Fortis Capital Co., 6.25% to 2009, FRN to 2049 EUR 155,000 216,963
----------------------------------------------------------------------------------------------------------------------------
HSBK Europe B.V., 7.25%, 2017 (n) $ 1,173,000 1,105,553
----------------------------------------------------------------------------------------------------------------------------
Mizuho Capital Investment 1 Ltd., 6.686% to 2016, FRN to 2049(n) 1,220,000 1,203,213
----------------------------------------------------------------------------------------------------------------------------
Mizuho Financial Group, Inc., 5.79%, 2014 (n) 1,633,000 1,609,766
----------------------------------------------------------------------------------------------------------------------------
Resona Bank Ltd., 5.85% to 2016, FRN to 2049(n) 626,000 594,341
----------------------------------------------------------------------------------------------------------------------------
Russian Standard Finance S.A., 7.5%, 2010 (n) 257,000 239,010
----------------------------------------------------------------------------------------------------------------------------
Russian Standard Finance S.A., 8.625%, 2011 (n) 769,000 726,705
----------------------------------------------------------------------------------------------------------------------------
Turanalem Finance B.V., 8.25%, 2037 (n) 363,000 321,255
----------------------------------------------------------------------------------------------------------------------------
Woori Bank, 6.125% to 2011, FRN to 2016(n) 1,510,000 1,504,990
----------------------------------------------------------------------------------------------------------------------------
$ 15,250,954
----------------------------------------------------------------------------------------------------------------------------
POLLUTION CONTROL - 0.1%
----------------------------------------------------------------------------------------------------------------------------
Veolia Environnement, 5.875%, 2008 EUR 250,000 $ 345,933
----------------------------------------------------------------------------------------------------------------------------
PRECIOUS METALS & MINERALS - 0.2%
----------------------------------------------------------------------------------------------------------------------------
Alrosa Finance S.A., 8.875%, 2014 $ 716,000 $ 784,092
----------------------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING - 1.2%
----------------------------------------------------------------------------------------------------------------------------
American Media Operations, Inc., 10.25%, 2009 $ 790,000 $ 718,900
----------------------------------------------------------------------------------------------------------------------------
Bertelsmann U.S. Finance, Inc., 4.625%, 2010 EUR 148,000 201,760
----------------------------------------------------------------------------------------------------------------------------
Dex Media East LLC, 9.875%, 2009 $ 145,000 147,900
----------------------------------------------------------------------------------------------------------------------------
Dex Media West LLC, 9.875%, 2013 567,000 595,350
----------------------------------------------------------------------------------------------------------------------------
Idearc, Inc., 8%, 2016 2,625,000 2,487,188
----------------------------------------------------------------------------------------------------------------------------
R.H. Donnelley Corp., 8.875%, 2016 1,890,000 1,838,025
----------------------------------------------------------------------------------------------------------------------------
Reed Elsevier Capital, Inc., 5.75%, 2008 EUR 125,000 172,751
----------------------------------------------------------------------------------------------------------------------------
$ 6,161,874
----------------------------------------------------------------------------------------------------------------------------
RAILROAD & SHIPPING - 0.3%
----------------------------------------------------------------------------------------------------------------------------
TFM S.A. de C.V., 9.375%, 2012 $ 1,424,000 $ 1,502,320
----------------------------------------------------------------------------------------------------------------------------
REAL ESTATE - 0.5%
----------------------------------------------------------------------------------------------------------------------------
HRPT Properties Trust, REIT, 6.25%, 2016 $ 663,000 $ 667,347
----------------------------------------------------------------------------------------------------------------------------
Kimco Realty Corp., REIT, 5.783%, 2016 720,000 708,370
----------------------------------------------------------------------------------------------------------------------------
Simon Property Group LP, REIT, 4.6%, 2010 1,375,000 1,341,619
----------------------------------------------------------------------------------------------------------------------------
$ 2,717,336
----------------------------------------------------------------------------------------------------------------------------
RESTAURANTS - 0.3%
----------------------------------------------------------------------------------------------------------------------------
YUM! Brands, Inc., 8.875%, 2011 $ 1,590,000 $ 1,761,590
----------------------------------------------------------------------------------------------------------------------------
RETAILERS - 0.9%
----------------------------------------------------------------------------------------------------------------------------
Couche-Tard, Inc., 7.5%, 2013 $ 905,000 $ 891,425
----------------------------------------------------------------------------------------------------------------------------
Federated Retail Holdings, Inc., 5.35%, 2012 300,000 297,926
----------------------------------------------------------------------------------------------------------------------------
Gap, Inc., 10.05%, 2008 2,710,000 2,838,950
----------------------------------------------------------------------------------------------------------------------------
Home Depot, Inc., 5.875%, 2036 1,000,000 868,253
----------------------------------------------------------------------------------------------------------------------------
$ 4,896,554
----------------------------------------------------------------------------------------------------------------------------
SPECIALTY STORES - 0.1%
----------------------------------------------------------------------------------------------------------------------------
GSC Holdings Corp., 8%, 2012 $ 440,000 $ 444,950
----------------------------------------------------------------------------------------------------------------------------
LVMH Moet Hennessy Louis Vuitton S.A., 4.625%, 2011 EUR 125,000 169,713
----------------------------------------------------------------------------------------------------------------------------
Payless ShoeSource, Inc., 8.25%, 2013 $ 100,000 97,000
----------------------------------------------------------------------------------------------------------------------------
$ 711,663
----------------------------------------------------------------------------------------------------------------------------
SUPERMARKETS - 0.2%
----------------------------------------------------------------------------------------------------------------------------
Stater Brothers Holdings, Inc., 7.75%, 2015 (n) $ 350,000 $ 325,500
----------------------------------------------------------------------------------------------------------------------------
SUPERVALU, Inc., 7.5%, 2014 470,000 448,850
----------------------------------------------------------------------------------------------------------------------------
$ 774,350
----------------------------------------------------------------------------------------------------------------------------
SUPRANATIONAL - 0.1%
----------------------------------------------------------------------------------------------------------------------------
Central American Bank, 4.875%, 2012 (n) $ 521,000 $ 505,649
----------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS - WIRELESS - 0.9%
----------------------------------------------------------------------------------------------------------------------------
Centennial Communications Corp., 10.125%, 2013 $ 520,000 $ 545,350
----------------------------------------------------------------------------------------------------------------------------
Globo Comunicacoes e Participacoes S.A., 7.25%, 2022 (n) 100,000 91,250
----------------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 5.95%, 2014 1,305,000 1,210,388
----------------------------------------------------------------------------------------------------------------------------
OJSC Vimpel-Communications, 8.25%, 2016 1,945,000 1,991,622
----------------------------------------------------------------------------------------------------------------------------
Rogers Wireless, Inc., 7.5%, 2015 980,000 1,045,670
----------------------------------------------------------------------------------------------------------------------------
$ 4,884,280
----------------------------------------------------------------------------------------------------------------------------
TELEPHONE SERVICES - 0.3%
----------------------------------------------------------------------------------------------------------------------------
Embarq Corp., 7.082%, 2016 $ 1,760,000 $ 1,758,386
----------------------------------------------------------------------------------------------------------------------------
TOBACCO - 0.6%
----------------------------------------------------------------------------------------------------------------------------
Altria Group, Inc., 5.625%, 2008 EUR 75,000 $ 103,476
----------------------------------------------------------------------------------------------------------------------------
Reynolds American, Inc., 6.75%, 2017 $ 3,016,000 3,008,460
----------------------------------------------------------------------------------------------------------------------------
$ 3,111,936
----------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - SERVICES - 0.4%
----------------------------------------------------------------------------------------------------------------------------
Hertz Corp., 8.875%, 2014 $ 685,000 $ 685,000
----------------------------------------------------------------------------------------------------------------------------
Stena AB, 7%, 2016 452,000 445,220
----------------------------------------------------------------------------------------------------------------------------
Westinghouse Air Brake Technologies Corp., 6.875%, 2013 795,000 755,250
----------------------------------------------------------------------------------------------------------------------------
$ 1,885,470
----------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS - 5.3%
----------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds, 7.5%, 2016 $ 4,012,000 $ 4,810,954
----------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds, 5.375%, 2031 3,386,000 3,574,610
----------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds, 4.5%, 2036 (f) 12,628,000 11,807,180
----------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Notes, 4.5%, 2016 2,718,000 2,665,975
----------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Notes, 6.375%, 2027 4,000,000 4,684,376
----------------------------------------------------------------------------------------------------------------------------
$ 27,543,095
----------------------------------------------------------------------------------------------------------------------------
UTILITIES - ELECTRIC POWER - 4.8%
----------------------------------------------------------------------------------------------------------------------------
AES Corp., 9.375%, 2010 $ 465,000 $ 476,625
----------------------------------------------------------------------------------------------------------------------------
Allegheny Energy Supply Co. LLC, 8.25%, 2012 (n) 805,000 843,238
----------------------------------------------------------------------------------------------------------------------------
Beaver Valley Funding Corp., 9%, 2017 2,509,000 2,825,460
----------------------------------------------------------------------------------------------------------------------------
Edison Mission Energy, 7%, 2017 (n) 1,385,000 1,249,963
----------------------------------------------------------------------------------------------------------------------------
Edison Mission Energy, 7.625%, 2027 (n) 105,000 91,613
----------------------------------------------------------------------------------------------------------------------------
Enersis S.A., 7.375%, 2014 1,283,000 1,328,095
----------------------------------------------------------------------------------------------------------------------------
Exelon Generation Co. LLC, 6.95%, 2011 2,506,000 2,605,892
----------------------------------------------------------------------------------------------------------------------------
HQI Transelec Chile S.A., 7.875%, 2011 883,000 933,437
----------------------------------------------------------------------------------------------------------------------------
Intergen N.V., 9%, 2017 (z) 895,000 881,575
----------------------------------------------------------------------------------------------------------------------------
ISA Capital do Brasil S.A., 7.875%, 2012 (n) 464,000 461,216
----------------------------------------------------------------------------------------------------------------------------
ISA Capital do Brasil S.A., 8.8%, 2017 (n) 761,000 766,708
----------------------------------------------------------------------------------------------------------------------------
Mirant Americas Generation LLC, 8.3%, 2011 200,000 196,000
----------------------------------------------------------------------------------------------------------------------------
Mirant North American LLC, 7.375%, 2013 1,500,000 1,492,500
----------------------------------------------------------------------------------------------------------------------------
NorthWestern Corp., 5.875%, 2014 1,695,000 1,646,337
----------------------------------------------------------------------------------------------------------------------------
NRG Energy, Inc., 7.375%, 2016 1,870,000 1,804,550
----------------------------------------------------------------------------------------------------------------------------
Reliant Energy, Inc., 7.875%, 2017 675,000 641,250
----------------------------------------------------------------------------------------------------------------------------
RWE Finance B.V., 5.375%, 2008 EUR 6,000 8,259
----------------------------------------------------------------------------------------------------------------------------
System Energy Resources, Inc., 5.129%, 2014 (n) $ 2,133,558 2,085,404
----------------------------------------------------------------------------------------------------------------------------
TXU Energy Co., 7%, 2013 2,670,000 2,731,469
----------------------------------------------------------------------------------------------------------------------------
Waterford 3 Funding Corp., 8.09%, 2017 1,872,870 1,934,844
----------------------------------------------------------------------------------------------------------------------------
$ 25,004,435
----------------------------------------------------------------------------------------------------------------------------
TOTAL BONDS $ 463,458,392
----------------------------------------------------------------------------------------------------------------------------
FLOATING RATE LOANS - 1.2% (g)(r)
----------------------------------------------------------------------------------------------------------------------------
AUTOMOTIVE - 0.3%
----------------------------------------------------------------------------------------------------------------------------
Ford Motor Co., Term Loan B, 8.36%, 2013 $ 1,181,954 $ 1,111,037
----------------------------------------------------------------------------------------------------------------------------
Goodyear Tire & Rubber Co., Second Lien Term Loan, 8.1%, 2014 383,100 366,100
----------------------------------------------------------------------------------------------------------------------------
$ 1,477,137
----------------------------------------------------------------------------------------------------------------------------
BROADCASTING - 0.1%
----------------------------------------------------------------------------------------------------------------------------
Gray Television, Inc., DD Term Loan, 6.86%, 2014 $ 289,535 $ 274,154
----------------------------------------------------------------------------------------------------------------------------
Univision Communications, DD Term Loan, 6.34%, 2014 10,845 9,966
----------------------------------------------------------------------------------------------------------------------------
Univision Communications, Term Loan B, 7.89%, 2014 168,693 155,020
----------------------------------------------------------------------------------------------------------------------------
$ 439,140
----------------------------------------------------------------------------------------------------------------------------
CABLE TV - 0.2%
----------------------------------------------------------------------------------------------------------------------------
Charter Communications Operating LLC, Term Loan, 7.36%, 2014 $ 167,554 $ 159,080
----------------------------------------------------------------------------------------------------------------------------
CSC Holdings, Inc., Incremental Term Loan, 7.07%, 2013 498,539 477,247
----------------------------------------------------------------------------------------------------------------------------
Mediacom Illinois LLC, Term Loan A, 6.84%, 2012 448,333 430,680
----------------------------------------------------------------------------------------------------------------------------
$ 1,067,007
----------------------------------------------------------------------------------------------------------------------------
CHEMICALS - 0.1%
----------------------------------------------------------------------------------------------------------------------------
Celanese AG, Term Loan B, 7.11%, 2014 $ 566,637 $ 535,472
----------------------------------------------------------------------------------------------------------------------------
CONSUMER GOODS & SERVICES - 0.0%
----------------------------------------------------------------------------------------------------------------------------
Jarden Corp., Term Loan, 8.36%, 2008 $ 163,491 $ 159,063
----------------------------------------------------------------------------------------------------------------------------
FOOD & BEVERAGES - 0.1%
----------------------------------------------------------------------------------------------------------------------------
Dean Foods Co., Term Loan B, 6.86%, 2014 $ 443,012 $ 425,153
----------------------------------------------------------------------------------------------------------------------------
MEDICAL & HEALTH TECHNOLOGY & SERVICES - 0.2%
----------------------------------------------------------------------------------------------------------------------------
Community Health Systems, Inc., DD Term Loan, 5.86%, 2014 $ 22,501 $ 21,387
----------------------------------------------------------------------------------------------------------------------------
Community Health Systems, Inc., Term Loan B, 7.36%, 2012 339,598 322,788
----------------------------------------------------------------------------------------------------------------------------
HCA, Inc., Term Loan B, 7.61%, 2012 867,680 834,141
----------------------------------------------------------------------------------------------------------------------------
$ 1,178,316
----------------------------------------------------------------------------------------------------------------------------
NATURAL GAS - PIPELINE - 0.0%
----------------------------------------------------------------------------------------------------------------------------
Kinder Morgan, Inc., Term Loan, 6.82%, 2014 $ 154,611 $ 147,461
----------------------------------------------------------------------------------------------------------------------------
POLLUTION CONTROL - 0.1%
----------------------------------------------------------------------------------------------------------------------------
Allied Waste North America, Inc., A, Credit Linked Deposit, 7.07%, 2012 $ 199,980 $ 190,669
----------------------------------------------------------------------------------------------------------------------------
Allied Waste North America, Inc., Term Loan, 7.09%, 2012 349,705 334,624
----------------------------------------------------------------------------------------------------------------------------
$ 525,293
----------------------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING - 0.1%
----------------------------------------------------------------------------------------------------------------------------
Idearc, Inc., Term Loan B, 7.36%, 2014 $ 666,302 $ 634,838
----------------------------------------------------------------------------------------------------------------------------
TOTAL FLOATING RATE LOANS $ 6,588,880
----------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS - 0.0%
----------------------------------------------------------------------------------------------------------------------------
REAL ESTATE - 0.0%
----------------------------------------------------------------------------------------------------------------------------
HRPT Properties Trust, "B", REIT, 8.75% 5,100 $ 126,990
----------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS - 0.0%
----------------------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING - 0.0%
----------------------------------------------------------------------------------------------------------------------------
Golden Books Family Entertainment, Inc. (a) 19,975 $ 0
----------------------------------------------------------------------------------------------------------------------------
RIGHTS - 0.0%
----------------------------------------------------------------------------------------------------------------------------
EMERGING MARKET SOVEREIGN - 0.0%
----------------------------------------------------------------------------------------------------------------------------
Banco Central del Uruguay, Value Recovery Rights, Expiring January 2021 (a) 1,250,000 $ 0
----------------------------------------------------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS - 8.9% (y)
----------------------------------------------------------------------------------------------------------------------------
Abbey National North America LLC, 5.35%, due 8/01/07 $ 20,738,000 $ 20,738,000
----------------------------------------------------------------------------------------------------------------------------
Cargill, Inc., 5.35%, due 8/01/07 (t) 20,738,000 20,738,000
----------------------------------------------------------------------------------------------------------------------------
General Electric Capital Corp., 5.34%, due 8/01/07 4,619,000 4,619,000
----------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM OBLIGATIONS $ 46,095,000
----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS(k) $ 516,269,262
----------------------------------------------------------------------------------------------------------------------------
OTHER ASSETS, LESS LIABILITIES - 0.7% 3,425,324
----------------------------------------------------------------------------------------------------------------------------
NET ASSETS - 100.0% $ 519,694,586
----------------------------------------------------------------------------------------------------------------------------
(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 July 31, 2007, the trust held securities fair valued in accordance with the policies adopted by the Board of
Trustees, aggregating $450,021,799 and 87.17% of market value. An independent pricing service provided an evaluated bid
for 86.12% 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 $58,833,507, representing 11.3% of net assets.
(p) Payment-in-kind security.
(r) Remaining maturities of floating rate loans may be less than stated maturities shown as a result of contractual or
optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. These loans may be subject to
restrictions on resale. Floating rate loans generally have rates of interest which are determined periodically by
reference to a base lending rate plus a premium.
(t) Security exempt from registration with the U.S. Securities and Exchange Commission under Section 4(2) of the Securities
Act of 1933.
(y) The rate shown represents an annualized yield at time of purchase.
(z) Restrificult. The trust holds the following restricted securities:
ACQUISITION ACQUISITION CURRENT TOTAL % OF
RESTRICTED SECURITIES DATE COST MARKET VALUE NET ASSETS
------------------------------------------------------------------------------------------------------------------------
Actuant Corp., 6.875%, 2017 6/6/07 $ 1,489,125 $ 1,420,250
Bayview Financial Revolving Mortgage Loan
Trust, FRN, 6.12%, 2040 3/1/06 4,000,000 3,999,988
Capmark Financial Group, Inc., 5.875%, 2012 5/3/07 1,179,493 1,103,386
DLJ Commercial Mortgage Corp., 6.04%, 2031 7/23/04 1,969,453 2,010,051
Falcon Franchise Loan LLC, FRN, 3.776%, 2025 1/29/03 1,350,197 923,288
Federative Republic of Brazil, CLN, 10%, 2012 7/10/06 - 9/21/06 155,930 204,564
GMAC Commercial Mortgage Securities, Inc.,
FRN, 6.02%, 2033 11/17/00 1,991,746 2,538,414
Intergen N.V., 9%, 2017 7/23/07 887,742 881,575
Prudential Securities Secured Financing Corp.,
FRN, 7.312%, 2013 12/6/04 2,865,414 2,701,359
ZFS Finance USA Trust IV, FRN, 5.875%, 2032 5/3/07 499,850 495,236
ZFS Finance USA Trust V, FRN, 6.5%, 2037 5/3/07 2,714,112 2,528,450
------------------------------------------------------------------------------------------------------------------------
Total Restricted Securities $18,806,561 3.6%
===========================
The following abbreviations are used in this report and are defined:
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
Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless
otherwise indicated. A list of abbreviations is shown below:
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CNY Chinese Yuan Renminbi
DKK Danish Krone
EUR Euro
GBP British Pound
IDR Indonesian Rupiah
JPY Japanese Yen
MXN Mexican Peso
MYR Malaysian Ringgit
PEN Peruvian Nuevo Sol
PHP Philippine Peso
PLN Polish Zloty
SGD Singapore Dollar
UYU Uruguayan Peso
See attached supplemental information. For more information see notes to financial statements as disclosed in the most recent
semiannual or annual report.
MFS MULTIMARKET INCOME TRUST
SUPPLEMENTAL INFORMATION (UNAUDITED) 7/31/07
(1) PORTFOLIO SECURITIES
Aggregate Cost $ 526,253,451
=============
Gross unrealized appreciation $ 4,275,659
Gross unrealized depreciation (14,259,848)
-------------
Net unrealized appreciation (depreciation) $ (9,984,189)
=============
The aggregate cost above includes prior fiscal year end tax adjustments.
(2) FINANCIAL INSTRUMENTS
DERIVATIVES
-----------
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS AT 7/31/07
Appreciation and Depreciation in the table below are reported by currency.
NET UNREALIZED
CONTRACTS TO SETTLEMENT CONTRACTS APPRECIATION
TYPE CURRENCY DELIVER/RECEIVE DATE RANGE IN EXCHANGE FOR AT VALUE (DEPRECIATION)
---------------------------------------------------------------------------------------------------------
APPRECIATION
------------
BUY AUD 337,384 08/03/2007 $ 283,376 $ 288,876 $ 5,500
SELL AUD 31,202 08/03/2007 26,746 26,716 30
SELL CAD 2,200,323 09/17/2007 2,094,860 2,068,360 26,500
BUY CHF 1,624,565 08/03/2007 1,331,229 1,351,479 20,250
BUY CNY 41,418,000 09/28/2007 5,518,794 5,533,630 14,836
BUY EUR 3,211,570 09/17/2007 - 09/19/2007 4,284,046 4,403,617 119,571
SELL EUR 2,305,103 09/19/2007 3,190,530 3,160,857 29,673
SELL GBP 662,125 09/19/2007 1,363,540 1,346,240 17,300
SELL IDR 4,850,468,210 08/27/2007 531,558 525,449 6,109
BUY JPY 160,252,150 08/20/2007 1,307,540 1,352,600 45,060
SELL MXN 11,248,549 08/06/2007 1,044,822 1,026,277 18,545
SELL MYR 6,896,459 08/20/2007 2,007,672 1,998,329 9,343
BUY PHP 58,390,379 08/17/2007 1,286,132 1,286,635 503
SELL PHP 58,390,579 08/17/2007 1,299,301 1,286,640 12,661
BUY PLN 3,693,308 08/31/2007 1,312,420 1,334,394 21,974
------------
$ 347,855
============
DEPRECIATION
------------
BUY AUD 31,202 09/19/2007 $ 26,707 $ 26,677 $ (30)
SELL AUD 306,182 08/03/2007 251,314 262,159 (10,845)
SELL CHF 1,642,565 08/03/2007 1,308,723 1,351,479 (42,756)
SELL DKK 4,128,887 08/13/2007 743,210 760,001 (16,791)
SELL EUR 33,327,621 09/17/2007 - 09/19/2007 44,504,287 45,700,199 (1,195,912)
BUY GBP 143,459 09/19/2007 294,361 291,682 (2,679)
SELL GBP 1,563,900 09/19/2007 3,084,245 3,179,738 (95,493)
BUY IDR 11,364,149,074 08/20/2007 1,260,582 1,231,283 (29,299)
SELL JPY 2,308,314,941 09/18/2007 18,996,444 19,553,855 (557,411)
BUY MXN 11,284,549 08/06/2007 1,046,726 1,029,561 (17,165)
BUY MYR 8,834,977 08/20/2007 2,576,385 2,560,037 (16,348)
BUY PEN 2,458,170 08/16/2007 780,000 778,224 (1,776)
BUY SGD 4,005,140 08/13/2007 2,648,727 2,645,079 (3,648)
------------
$ (1,990,153)
============
FUTURES CONTRACTS OUTSTANDING AT 7/31/07
UNREALIZED
EXPIRATION APPRECIATION
DESCRIPTION CONTRACTS VALUE DATE (DEPRECIATION)
----------------------------------------------------------------------------------------------------------------
U.S. Treasury Bond (Long) 50 $ 5,503,125 Sep-07 $ 39,669
U.S. Treasury Note 10 yr (Long) 91 9,775,391 Sep-07 66,509
----------------------------------------------------------------------------------------------------------------
$106,178
========
UNREALIZED
NOTATIONAL CASH FLOWS CASH FLOWS APPRECIATION
EXPIRATION AMOUNT COUNTERPARTY TO RECEIVE TO PAY (DEPRECIATION)
-----------------------------------------------------------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS
4/20/12 USD 1,330,000 Morgan Stanley Capital Services, Inc. (1) 2.08% (fixed rate) $ 81,771
4/1/15 USD 300,000 JPMorgan Chase Bank 4.1% (fixed rate) (2) (10,635)
3/20/17 USD 1,370,000 JPMorgan Chase Bank 0.49% (fixed rate) (3) (9,724)
3/20/17 USD 1,250,000 Merrill Lynch International (4) 0.81% (fixed rate) 31
3/20/17 USD 1,370,000 JPMorgan Chase Bank (5) 0.38% (fixed rate) 19,171
3/20/17 USD 1,040,000 Goldman Sachs International (6) 0.40% (fixed rate) 7,787
6/20/17 USD 1,150,000 Merrill Lynch International (7) 0.91% (fixed rate) 16,381
9/20/17 USD 1,300,000 Goldman Sachs International (8) 0.2125% (fixed rate) 3,897
---------
$ 108,679
=========
(1) Trust to receive notional amount upon a defined credit default event by Republic of Argentina, 8.28%, 12/31/33.
(2) Trust to pay notional amount upon a defined credit default event by Abitibi - Consolidated, 8.375%, 4/01/15.
(3) Trust to pay notional amount upon a defined credit default event by Burlington Northern Santa Fe Corp., 6.75, 7/15/11.
(4) Trust to receive notional amount upon a defined credit default event by Waste Management, Inc., 7.375%, 8/01/10.
(5) Trust to receive notional amount upon a defined credit default event by PPG Industries, Inc., 7.05%, 8/15/09.
(6) Trust to receive notional amount upon a defined credit default event by Dover Corp., 6.25%, 6/01/08.
(7) Trust to receive notional amount upon a defined credit default event by New York Times Co., 4.61%, 9/26/12.
(8) Trust to receive notional amount upon a defined credit default event by United Parcel Service, Inc., 8.375%, 4/01/30.
At July 31, 2007, the trust had sufficient cash and/or other liquid 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 July 31, 2007, are as follows:
-------------------------------
United States 69.2%
-------------------------------
United Kingdom 5.6%
-------------------------------
Japan 3.5%
-------------------------------
Germany 3.4%
-------------------------------
Russia 2.3%
-------------------------------
Netherlands 2.3%
-------------------------------
France 2.1%
-------------------------------
Canada 1.7%
-------------------------------
Brazil 1.3%
-------------------------------
Other Countries 8.6%
-------------------------------
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: September 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: September 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: September 13, 2007
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* Print name and title of each signing officer under his or her signature.