UNITED STATES
SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04975
MFS MULTIMARKET INCOME TRUST
(Exact name of registrant as specified in charter)
111 Huntington Avenue, Boston, Massachusetts 02199 (Address of principal executive offices) (Zip code)
Christopher R. Bohane
Massachusetts Financial Services Company
111Huntington Avenue Boston, Massachusetts 02199
(Name and address of agents for service)
Registrant’s telephone number, including area code: (617) 954-5000
Date of fiscal year end: October 31
Date of reporting period: April 30, 2024
ITEM 1. REPORTS TO STOCKHOLDERS.
Item 1(a):
Semiannual Report
April 30, 2024
MFS® Multimarket
Income Trust
MANAGED DISTRIBUTION POLICY DISCLOSURE
The MFS Multimarket Income Trust’s (the fund) Board of Trustees adopted a managed distribution policy. The fund seeks to pay monthly distributions based on an annual rate of 8.00% of the fund’s average monthly net asset value. The primary purpose of the managed distribution policy is to provide shareholders with a constant, but not guaranteed, fixed rate of distribution each month. You should not draw any conclusions about the fund’s investment performance from the amount of the current distribution or from the terms of the fund’s managed distribution policy. The Board may amend or terminate the managed distribution policy at any time without prior notice to fund shareholders. The amendment or termination of the managed distribution policy could have an adverse effect on the market price of the fund’s shares.
With each distribution, the fund will issue a notice to shareholders and an accompanying press release which will provide detailed information regarding the amount and composition of the distribution and other related information. The amounts and sources of distributions reported in the notice to shareholders are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting purposes will depend upon the fund’s investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. The fund will send you a Form 1099-DIV for the calendar year that will tell you how to report these distributions for federal income tax purposes. Please refer to “Tax Matters and Distributions” under Note 2 of the Notes to Financial Statements for information regarding the tax character of the fund’s distributions.
Under a managed distribution policy the fund may at times distribute more than its net investment income and net realized capital gains; therefore, a portion of your distribution may result in a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the fund is paid back to you. Any such returns of capital will decrease the fund’s total assets and, therefore, could have the effect of increasing the fund’s expense ratio. In addition, in order to make the level of distributions called for under its managed distribution policy, the fund may have to sell portfolio securities at a less than opportune time. A return of capital does not necessarily reflect the fund’s investment performance and should not be confused with ‘yield’ or ‘income’. The fund’s total return in relation to changes in net asset value is presented in the Financial Highlights.
MFS® Multimarket
Income Trust
New York Stock Exchange Symbol: MMT
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NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Portfolio structure at value (v)
Portfolio structure reflecting equivalent exposure of derivative positions (i)
Fixed income sectors (i)
| High Yield Corporates | 56.8% |
| Investment Grade Corporates | 30.9% |
| Emerging Markets Bonds | 26.4% |
| U.S. Treasury Securities | 4.3% |
| Commercial Mortgage-Backed Securities | 1.5% |
| Collateralized Loan Obligations | 1.3% |
| Asset-Backed Securities | 0.8% |
| Municipal Bonds | 0.6% |
| Residential Mortgage-Backed Securities | 0.2% |
| Non-U.S. Government Bonds | (9.1)% |
Portfolio facts
| Average Duration (d) | 5.6 |
| Average Effective Maturity (m) | 7.1 yrs. |
Portfolio Composition - continued
Composition including fixed income credit quality (a)(i)
| AAA | 5.6% |
| AA | 3.8% |
| A | 10.0% |
| BBB | 32.0% |
| BB | 35.8% |
| B | 28.5% |
| CCC | 8.3% |
| CC (o) | 0.0% |
| C | 0.2% |
| D | 0.2% |
| U.S. Government | 2.9% |
| Not Rated | (13.6)% |
| Non-Fixed Income | 1.2% |
Cash & Cash Equivalents
(Less Liabilities) (b) | (30.9)% |
| Other (q) | 16.0% |
| (a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Not Rated includes fixed income securities and fixed income derivatives that have not been rated by any rating agency. |
Non-Fixed Income includes equity securities (including convertible bonds and equity derivatives), ETFs and Options on ETFs, and/or commodity-linked derivatives. The fund may or may not have held all of these instruments on this date. The fund is not rated by these agencies.
| (b) | Cash & Cash Equivalents (Less Liabilities) includes any cash, investments in money market funds, short-term securities, and other assets less liabilities. Liabilities include the value of outstanding borrowings made by the fund for leverage transactions. Cash & Cash Equivalents (Less Liabilities) is negative due to these borrowings. Please see the Statement of Assets and Liabilities for additional information related to the fund’s cash position and other assets and liabilities. Please see Note 6 in the Notes to Financial Statements for more information on the fund's outstanding borrowings. |
| (d) | Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value due to the interest rate move. The Average Duration calculation reflects the impact of the equivalent exposure of derivative positions, if any. |
Portfolio Composition - continued
| (f) | The fund invests a portion of its assets in Exchange-Traded Funds (ETFs) or Options on ETFs to gain fixed income exposure. Percentages include the direct exposure from investing in ETFs or Options on ETFs and not the indirect exposure to the underlying holdings. |
| (i) | For purposes of this presentation, the components include the value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include any accrued interest amounts. |
| (m) | In determining each instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening feature (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity. |
| (p) | For purposes of the presentation of Portfolio structure at value, Other includes market value from currency derivatives and may be negative. |
| (q) | For purposes of this presentation, Other includes equivalent exposure from currency derivatives and/or any offsets to derivative positions and may be negative. |
| (v) | For purposes of this presentation, market value of fixed income and/or equity derivatives, if any, is included in Cash & Cash Equivalents (Less Liabilities). |
Where the fund holds convertible bonds, they are treated as part of the equity portion of the portfolio.
Percentages are based on net assets as of April 30, 2024.
The portfolio is actively managed and current holdings may be different.
Portfolio Managers' Profiles
| Portfolio Manager | Primary Role | Since | Title and Five Year History |
| Robert Spector | Lead Portfolio Manager | 2017 | Investment Officer of MFS; employed in the investment management area of MFS since 2011. |
| Neeraj Arora | Emerging Markets Debt Instruments Portfolio Manager | 2023 | Investment Officer of MFS; employed in the investment management area of MFS since 2011. |
| Ward Brown | Emerging Markets Debt Instruments Portfolio Manager | 2012 | Investment Officer of MFS; employed in the investment management area of MFS since 2005. |
| David Cole | Below Investment Grade Debt Instruments Portfolio Manager | 2006 | Investment Officer of MFS; employed in the investment management area of MFS since 2004. |
| Pilar Gomez-Bravo | Debt Instruments Portfolio Manager | 2013 | Investment Officer of MFS; employed in the investment management area of MFS since 2013. |
| Andy Li | Investment Grade Debt Instruments Portfolio Manager | 2019 | Investment Officer of MFS; employed in the investment management area of MFS since 2018. |
| John Mitchell | Investment Grade Debt Instruments Portfolio Manager | 2023 | Investment Officer of MFS; employed in the investment management area of MFS since 2007. |
| Michael Skatrud | Below Investment Grade Debt Instruments Portfolio Manager | 2018 | Investment Officer of MFS; employed in the investment management area of MFS since 2013. |
Effective April 30, 2024, Matt Ryan is no longer a Portfolio Manager of the fund.
Other Notes
The fund’s shares may trade at a discount or premium to net asset value. When fund shares trade at a premium, buyers pay more than the net asset value of the underlying fund shares, and shares purchased at a premium would receive less than the amount paid for them in the event of the fund’s concurrent liquidation.
The fund's target annual distribution rate is calculated based on an annual rate of 8.00% of the fund's average monthly net asset value, not a fixed share price, and the fund's dividend amount will fluctuate with changes in the fund's average monthly net assets.
In accordance with Section 23(c) of the Investment Company Act of 1940, the fund hereby gives notice that it may from time to time repurchase shares of the fund in the open market at the option of the Board of Trustees and on such terms as the Trustees shall determine.
Portfolio of Investments
4/30/24 (unaudited)
The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.
| Issuer | | | Shares/Par | Value ($) |
| Bonds – 128.0% |
| Aerospace & Defense – 2.9% |
| Boeing Co., 6.298%, 5/01/2029 (n)(w) | | $ | 543,000 | $545,157 |
| Boeing Co., 6.388%, 5/01/2031 (n)(w) | | | 171,000 | 171,768 |
| Boeing Co., 5.805%, 5/01/2050 | | | 708,000 | 626,526 |
| Bombardier, Inc., 7.5%, 2/01/2029 (n) | | | 430,000 | 439,860 |
| Bombardier, Inc., 8.75%, 11/15/2030 (n) | | | 185,000 | 196,819 |
| Bombardier, Inc., 7.25%, 7/01/2031 (n) | | | 247,000 | 247,608 |
| F-Brasile S.p.A./F-Brasile U.S. LLC, 7.375%, 8/15/2026 (n) | | | 405,000 | 402,975 |
| Moog, Inc., 4.25%, 12/15/2027 (n) | | | 765,000 | 714,002 |
| Spirit AeroSystems, Inc., 9.75%, 11/15/2030 (n) | | | 827,000 | 914,866 |
| Thales S.A., 4.25%, 10/18/2031 | | EUR | 400,000 | 441,112 |
| TransDigm, Inc., 5.5%, 11/15/2027 | | $ | 613,000 | 595,722 |
| TransDigm, Inc., 6.75%, 8/15/2028 (n) | | | 537,000 | 539,282 |
| TransDigm, Inc., 4.625%, 1/15/2029 | | | 554,000 | 507,458 |
| TransDigm, Inc., 6.375%, 3/01/2029 (n) | | | 302,000 | 299,694 |
| TransDigm, Inc., 6.875%, 12/15/2030 (n) | | | 1,325,000 | 1,334,009 |
| | | | | $7,976,858 |
| Airlines – 0.7% |
| Air Canada, 3.875%, 8/15/2026 (n) | | $ | 834,000 | $791,155 |
| American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 4/20/2029 (n) | | | 662,754 | 640,043 |
| easyJet PLC, 3.75%, 3/20/2031 | | EUR | 270,000 | 281,895 |
| Hawaiian Brand Intellectual Property Ltd., 5.75%, 1/20/2026 (n) | | $ | 203,000 | 190,392 |
| | | | | $1,903,485 |
| Apparel Manufacturers – 0.2% |
| Tapestry, Inc., 3.05%, 3/15/2032 | | $ | 257,000 | $204,127 |
| Wolverine World Wide, Inc., 4%, 8/15/2029 (n) | | | 505,000 | 403,356 |
| | | | | $607,483 |
| Asset-Backed & Securitized – 3.8% |
| 3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.126%, 11/15/2054 (i) | | $ | 3,697,518 | $170,130 |
| AmeriCredit Automobile Receivables Trust, 2024-1, “A”, 5.61%, 1/12/2027 (n) | | | 124,028 | 123,811 |
| Arbor Realty Trust, Inc., CLO, 2021-FL1, “C”, FLR, 7.435% ((SOFR - 1mo. + 0.11448%) + 2%), 12/15/2035 (n) | | | 100,000 | 97,492 |
| Arbor Realty Trust, Inc., CLO, 2021-FL2, “C”, FLR, 7.385% ((SOFR - 1mo. + 0.11448%) + 1.95%), 5/15/2036 (n) | | | 471,500 | 463,398 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Asset-Backed & Securitized – continued |
| Arbor Realty Trust, Inc., CLO, 2022-FL1, “D”, FLR, 8.33% (SOFR - 30 day + 3%), 1/15/2037 (n) | | $ | 600,000 | $566,147 |
| AREIT 2022-CRE6 Trust, “D”, FLR, 8.18% (SOFR - 30 day + 2.85%), 1/20/2037 (n) | | | 126,000 | 119,338 |
| ARI Fleet Lease Trust, 2023-B, “A2”, 6.05%, 7/15/2032 (n) | | | 100,000 | 100,290 |
| Bayview Financial Revolving Mortgage Loan Trust, FLR, 7.033% ((SOFR - 1mo. + 0.11448%) + 1.6%), 12/28/2040 (n) | | | 298,313 | 452,928 |
| BBCMS Mortgage Trust, 2020-C7, “XA”, 1.725%, 4/15/2053 (i) | | | 980,573 | 57,290 |
| BBCMS Mortgage Trust, 2021-C10, “XA”, 1.404%, 7/15/2054 (i) | | | 981,862 | 61,656 |
| BBCMS Mortgage Trust, 2021-C9, “XA”, 1.727%, 2/15/2054 (i) | | | 6,491,972 | 509,104 |
| Benchmark 2021-B23 Mortgage Trust, “XA”, 1.372%, 2/15/2054 (i) | | | 4,019,448 | 230,712 |
| Benchmark 2021-B24 Mortgage Trust, “XA”, 1.263%, 3/15/2054 (i) | | | 2,037,622 | 103,528 |
| Benchmark 2021-B26 Mortgage Trust, “XA”, 0.996%, 6/15/2054 (i) | | | 7,094,145 | 296,205 |
| Benchmark 2021-B27 Mortgage Trust, “XA”, 1.374%, 7/15/2054 (i) | | | 7,088,316 | 408,861 |
| Benchmark 2022-B36 Mortgage Trust, “XA”, 0.809%, 7/15/2055 (i) | | | 8,711,547 | 388,436 |
| BSPRT 2021-FL7 Issuer Ltd., “C”, FLR, 7.735% ((SOFR - 1mo. + 0.11448%) + 2.3%), 12/15/2038 (n) | | | 100,000 | 97,787 |
| Business Jet Securities LLC, 2021-1A, “B”, 2.918%, 4/15/2036 (n) | | | 46,155 | 43,146 |
| Business Jet Securities LLC, 2024-1A, “B”, 6.924%, 5/15/2039 (n) | | | 100,000 | 99,847 |
| Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | | | 143,358 | 139,110 |
| Capital Automotive, 2020-1A, “B1”, REIT, 4.17%, 2/15/2050 (n) | | | 437,500 | 423,366 |
| CF Hippolyta Issuer LLC, 2020-1, “B1”, 2.28%, 7/15/2060 (n) | | | 89,945 | 82,692 |
| Chesapeake Funding II LLC, 2023-1A, “A1”, 5.65%, 5/15/2035 (n) | | | 163,977 | 163,590 |
| Colt Fund LLC, 2024-1, “A2”, 5.987%, 2/25/2069 (n) | | | 141,609 | 139,388 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.88%, 4/15/2054 (i) | | | 3,605,818 | 132,326 |
| Crest Ltd., CDO, 7% (0.001% Cash or 7% PIK), 1/28/2040 (a)(p) | | | 4,586,320 | 46 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Asset-Backed & Securitized – continued |
| LoanCore 2021-CRE5 Ltd., “B”, FLR, 7.435% ((SOFR - 1mo. + 0.11448%) + 2.0%), 7/15/2036 (n) | | $ | 464,500 | $453,551 |
| MF1 2021-FL5 Ltd., “C”, FLR, 7.13% ((SOFR - 1mo. + 0.11448%) + 1.7%), 7/15/2036 (n) | | | 401,500 | 394,869 |
| MF1 2021-FL5 Ltd., “D”, FLR, 7.931% ((SOFR - 1mo. + 0.11448%) + 2.5%), 7/15/2036 (n) | | | 745,000 | 719,742 |
| MF1 2021-FL6 Ltd., “B”, FLR, 7.083% ((SOFR - 1mo. + 0.11448%) + 1.65%), 7/16/2036 (n) | | | 1,000,000 | 973,154 |
| MF1 2024-FL14 LLC, “A”, FLR, 7.055% (SOFR - 1mo. + 1.737%), 3/19/2039 (n) | | | 200,000 | 199,933 |
| MF1 2024-FL14 LLC, “AS”, FLR, 7.559% (SOFR - 1mo. + 2.24%), 3/19/2039 (n) | | | 100,000 | 99,966 |
| MF1 2024-FL14 LLC, “B”, FLR, 8.008% (SOFR - 1mo. + 2.689%), 3/19/2039 (n) | | | 328,594 | 328,149 |
| Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.411%, 5/15/2054 (i) | | | 1,814,836 | 106,110 |
| Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.319%, 6/15/2054 (i) | | | 2,729,058 | 143,788 |
| Navistar Financial Dealer Note Master Owner Trust, 2023-1, “A”, 6.18%, 8/25/2028 (n) | | | 239,000 | 239,442 |
| Navistar Financial Dealer Note Master Owner Trust, 2023-1, “B”, 6.48%, 8/25/2028 (n) | | | 56,000 | 55,943 |
| OBX Trust, 2023-NQM5, “A1”, 5.988%, 12/01/2064 (n) | | | 146,203 | 144,921 |
| OBX Trust, 2024-NQM1, “A1”, 5.928%, 11/25/2063 (n) | | | 116,141 | 115,054 |
| OBX Trust, 2024-NQM1, “A2”, 6.253%, 11/25/2063 (n) | | | 96,653 | 95,773 |
| RAC Bond Co. PLC, 4.87%, 5/06/2026 | | GBP | 260,000 | 316,585 |
| TPG Real Estate Finance, 2021-FL4, “B”, FLR, 7.281% ((SOFR - 1mo. + 0.11448%) + 1.85%), 3/15/2038 (n) | | $ | 340,000 | 323,496 |
| Wells Fargo Commercial Mortgage Trust, 2021-C59, “XA”, 1.647%, 4/15/2054 (i) | | | 2,290,155 | 165,149 |
| Wells Fargo Commercial Mortgage Trust, 2021-C60, “XA”, 1.646%, 8/15/2054 (i) | | | 1,952,244 | 142,313 |
| | | | | $10,488,562 |
| Automotive – 1.6% |
| Clarios Global LP/Clarios U.S. Finance Co., 8.5%, 5/15/2027 (n) | | $ | 583,000 | $583,768 |
| Clarios Global LP/Clarios U.S. Finance Co., 6.75%, 5/15/2028 (n) | | | 271,000 | 271,552 |
| Dana, Inc., 5.375%, 11/15/2027 | | | 467,000 | 451,265 |
| Dornoch Debt Merger Sub, Inc., 6.625%, 10/15/2029 (n) | | | 563,000 | 464,970 |
| Ford Motor Credit Co. LLC, 6.95%, 6/10/2026 | | | 281,000 | 285,269 |
| Ford Motor Credit Co. LLC, 5.8%, 3/08/2029 | | | 400,000 | 393,084 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Automotive – continued |
| Ford Motor Credit Co. LLC, 4.445%, 2/14/2030 | | EUR | 230,000 | $246,498 |
| Hyundai Capital America, 6.375%, 4/08/2030 (n) | | $ | 267,000 | 274,189 |
| LKQ Corp., 6.25%, 6/15/2033 | | | 213,000 | 214,267 |
| Real Hero Merger Sub 2, Inc., 6.25%, 2/01/2029 (n) | | | 449,000 | 384,655 |
| Volkswagen Leasing GmbH, 4%, 4/11/2031 | | EUR | 410,000 | 437,099 |
| Wabash National Corp., 4.5%, 10/15/2028 (n) | | $ | 357,000 | 320,778 |
| | | | | $4,327,394 |
| Broadcasting – 1.1% |
| AMC Networks, Inc., 10.25%, 1/15/2029 (n) | | $ | 206,000 | $205,625 |
| Banijay Group S.A.S., 8.125%, 5/01/2029 (n) | | | 600,000 | 613,912 |
| Discovery Communications LLC, 4.125%, 5/15/2029 | | | 182,000 | 166,403 |
| Midas OpCo Holdings LLC, 5.625%, 8/15/2029 (n) | | | 713,000 | 638,375 |
| Prosus N.V., 3.061%, 7/13/2031 (n) | | | 325,000 | 260,514 |
| Ubisoft Entertainment S.A., 0.878%, 11/24/2027 | | EUR | 1,100,000 | 990,181 |
| WarnerMedia Holdings, Inc., 4.279%, 3/15/2032 | | $ | 189,000 | 162,802 |
| | | | | $3,037,812 |
| Brokerage & Asset Managers – 1.6% |
| AG TTMT Escrow Issuer LLC, 8.625%, 9/30/2027 (n) | | $ | 607,000 | $625,240 |
| Aretec Escrow Issuer 2, Inc., 10%, 8/15/2030 (n) | | | 533,000 | 578,949 |
| Aretec Escrow Issuer, Inc., 7.5%, 4/01/2029 (n) | | | 371,000 | 349,804 |
| Charles Schwab Corp., 5.643% to 5/19/2028, FLR (SOFR - 1 day + 2.210%) to 5/19/2029 | | | 111,000 | 111,175 |
| Charles Schwab Corp., 6.136% to 8/24/2033, FLR (SOFR - 1 day + 2.01%) to 8/24/2034 | | | 216,000 | 219,019 |
| Hightower Holding LLC, 6.75%, 4/15/2029 (n) | | | 304,000 | 285,335 |
| Low Income Investment Fund, 3.386%, 7/01/2026 | | | 185,000 | 172,589 |
| Low Income Investment Fund, 3.711%, 7/01/2029 | | | 490,000 | 440,167 |
| LPL Holdings, Inc., 4%, 3/15/2029 (n) | | | 1,119,000 | 1,014,664 |
| LPL Holdings, Inc., 4.375%, 5/15/2031 (n) | | | 347,000 | 308,727 |
| LSEG US Financial Corp., 5.297%, 3/28/2034 (n) | | | 200,000 | 194,289 |
| | | | | $4,299,958 |
| Building – 2.8% |
| ABC Supply Co., Inc., 3.875%, 11/15/2029 (n) | | $ | 517,000 | $453,045 |
| Cornerstone Building Brands, Inc., 6.125%, 1/15/2029 (n) | | | 359,000 | 302,917 |
| CRH SMW Finance DAC, 4%, 7/11/2031 | | EUR | 310,000 | 335,630 |
| Foundation Building Materials LLC, 6%, 3/01/2029 (n) | | $ | 600,000 | 528,775 |
| GYP Holding III Corp., 4.625%, 5/01/2029 (n) | | | 773,000 | 714,074 |
| Holcim Sterling Finance (Netherlands) B.V., 2.25%, 4/04/2034 | | GBP | 380,000 | 355,602 |
| Interface, Inc., 5.5%, 12/01/2028 (n) | | $ | 276,000 | 258,844 |
| Miter Brands Acquisition Holdco, Inc., 6.75%, 4/01/2032 (n) | | | 152,000 | 150,955 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Building – continued |
| MIWD Holdco II LLC/MIWD Finance Co., 5.5%, 2/01/2030 (n) | | $ | 617,000 | $558,790 |
| New Enterprise Stone & Lime Co., Inc., 5.25%, 7/15/2028 (n) | | | 643,000 | 603,990 |
| New Enterprise Stone & Lime Co., Inc., 9.75%, 7/15/2028 (n) | | | 218,000 | 222,898 |
| Patrick Industries, Inc., 7.5%, 10/15/2027 (n) | | | 690,000 | 698,181 |
| SRM Concrete, 8.875%, 11/15/2031 (n) | | | 754,000 | 794,070 |
| Standard Industries, Inc., 4.75%, 1/15/2028 (n) | | | 298,000 | 281,083 |
| Standard Industries, Inc., 4.375%, 7/15/2030 (n) | | | 794,000 | 703,208 |
| White Cap Buyer LLC, 6.875%, 10/15/2028 (n) | | | 674,000 | 651,177 |
| | | | | $7,613,239 |
| Business Services – 1.2% |
| Euronet Worldwide, Inc., 1.375%, 5/22/2026 | | EUR | 420,000 | $423,954 |
| Fiserv, Inc., 4.4%, 7/01/2049 | | $ | 508,000 | 405,868 |
| Iron Mountain, Inc., 4.875%, 9/15/2027 (n) | | | 390,000 | 372,187 |
| Iron Mountain, Inc., 5.25%, 3/15/2028 (n) | | | 483,000 | 462,138 |
| Mastercard, Inc., 3.85%, 3/26/2050 | | | 270,000 | 209,106 |
| Sunoco LP, 7.25%, 5/01/2032 (n) | | | 305,000 | 309,776 |
| Tencent Holdings Ltd., 3.8%, 2/11/2025 | | | 700,000 | 690,340 |
| Wolters Kluwer N.V., 3.25%, 3/18/2029 | | EUR | 310,000 | 326,144 |
| | | | | $3,199,513 |
| Cable TV – 4.2% |
| Cable One, Inc., 4%, 11/15/2030 (n) | | $ | 933,000 | $711,790 |
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027 (n) | | | 507,000 | 475,146 |
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, 3/01/2030 (n) | | | 1,640,000 | 1,362,750 |
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, 8/15/2030 (n) | | | 1,032,000 | 838,656 |
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, 1/15/2034 (n) | | | 250,000 | 181,128 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | | | 111,000 | 104,884 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.8%, 3/01/2050 | | | 147,000 | 102,850 |
| Cox Communications, Inc., 5.45%, 9/15/2028 (n) | | | 285,000 | 283,495 |
| CSC Holdings LLC, 5.375%, 2/01/2028 (n) | | | 700,000 | 537,048 |
| CSC Holdings LLC, 7.5%, 4/01/2028 (n) | | | 250,000 | 135,260 |
| CSC Holdings LLC, 11.75%, 1/31/2029 (n) | | | 400,000 | 355,370 |
| CSC Holdings LLC, 5.75%, 1/15/2030 (n) | | | 800,000 | 350,816 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Cable TV – continued |
| CSC Holdings LLC, 4.125%, 12/01/2030 (n) | | $ | 250,000 | $158,805 |
| DIRECTV Financing LLC, 8.875%, 2/01/2030 (n) | | | 227,000 | 220,722 |
| DISH DBS Corp., 7.75%, 7/01/2026 | | | 348,000 | 218,397 |
| DISH DBS Corp., 5.25%, 12/01/2026 (n) | | | 434,000 | 341,290 |
| DISH DBS Corp., 5.125%, 6/01/2029 | | | 316,000 | 126,931 |
| DISH Network Corp., 11.75%, 11/15/2027 (n) | | | 229,000 | 230,841 |
| LCPR Senior Secured Financing DAC, 6.75%, 10/15/2027 (n) | | | 716,000 | 663,607 |
| SES S.A., 2.875% to 8/27/2026, FLR (EUR Swap Rate - 5yr. + 3.19%) to 8/27/2031, FLR (EUR Swap Rate - 5yr. + 3.44%) to 8/27/2046, FLR (EUR Swap Rate - 5yr. + 4.19%) to 8/27/2171 | | EUR | 440,000 | 434,285 |
| Sirius XM Radio, Inc., 4%, 7/15/2028 (n) | | $ | 614,000 | 547,333 |
| Sirius XM Radio, Inc., 5.5%, 7/01/2029 (n) | | | 753,000 | 698,963 |
| Videotron Ltd., 5.125%, 4/15/2027 (n) | | | 348,000 | 336,243 |
| Virgin Media Finance PLC, 5%, 7/15/2030 (n) | | | 515,000 | 421,757 |
| Virgin Media Vendor Financing Notes IV DAC, 5%, 7/15/2028 (n) | | | 769,000 | 684,581 |
| Ziggo Bond Finance B.V., 5.125%, 2/28/2030 (n) | | | 1,420,000 | 1,178,240 |
| | | | | $11,701,188 |
| Chemicals – 1.9% |
| Chemours Co., 4.625%, 11/15/2029 (n) | | $ | 535,000 | $458,426 |
| Consolidated Energy Finance S.A., 5.625%, 10/15/2028 (n) | | | 395,000 | 333,778 |
| Element Solutions, Inc., 3.875%, 9/01/2028 (n) | | | 685,000 | 616,559 |
| LSF11 A5 HoldCo LLC, 6.625%, 10/15/2029 (n) | | | 595,000 | 552,683 |
| Sasol Financing (USA) LLC, 4.375%, 9/18/2026 | | | 558,000 | 525,457 |
| Sasol Financing (USA) LLC, 5.5%, 3/18/2031 | | | 600,000 | 498,682 |
| SCIH Salt Holdings, Inc., 6.625%, 5/01/2029 (n) | | | 663,000 | 611,740 |
| SNF Group SACA, 3.375%, 3/15/2030 (n) | | | 909,000 | 781,638 |
| Windsor Holdings III, LLC, 8.5%, 6/15/2030 (n) | | | 721,000 | 750,939 |
| | | | | $5,129,902 |
| Computer Software – 0.7% |
| Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc., 8%, 6/15/2029 (n) | | $ | 503,000 | $517,490 |
| Dun & Bradstreet Corp., 5%, 12/15/2029 (n) | | | 541,000 | 492,701 |
| Microsoft Corp., 2.525%, 6/01/2050 | | | 529,000 | 323,735 |
| Neptune Bidco U.S., Inc., 9.29%, 4/15/2029 (n) | | | 360,000 | 339,795 |
| Oracle Corp., 4%, 7/15/2046 | | | 319,000 | 236,333 |
| | | | | $1,910,054 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Computer Software - Systems – 0.6% |
| Sabre GLBL, Inc., 8.625%, 6/01/2027 (n) | | $ | 283,000 | $250,420 |
| Sabre GLBL, Inc., 11.25%, 12/15/2027 (n) | | | 175,000 | 163,555 |
| SS&C Technologies Holdings, Inc., 5.5%, 9/30/2027 (n) | | | 1,081,000 | 1,050,751 |
| Virtusa Corp., 7.125%, 12/15/2028 (n) | | | 331,000 | 298,264 |
| | | | | $1,762,990 |
| Conglomerates – 2.9% |
| BWX Technologies, Inc., 4.125%, 6/30/2028 (n) | | $ | 490,000 | $447,615 |
| BWX Technologies, Inc., 4.125%, 4/15/2029 (n) | | | 923,000 | 840,827 |
| Chart Industries, Inc., 9.5%, 1/01/2031 (n) | | | 487,000 | 522,796 |
| Emerald Debt Merger, 6.625%, 12/15/2030 (n) | | | 954,000 | 945,452 |
| Gates Global LLC, 6.25%, 1/15/2026 (n) | | | 428,000 | 428,092 |
| Grupo KUO S.A.B. de C.V., 5.75%, 7/07/2027 (n) | | | 358,000 | 332,940 |
| Madison IAQ LLC, 5.875%, 6/30/2029 (n) | | | 586,000 | 543,717 |
| nVent Finance S.à r.l., 5.65%, 5/15/2033 | | | 534,000 | 527,061 |
| Regal Rexnord Corp., 6.05%, 4/15/2028 (n) | | | 667,000 | 665,711 |
| Regal Rexnord Corp., 6.3%, 2/15/2030 (n) | | | 175,000 | 175,748 |
| Siemens Financieringsmaatschappij N.V., 3.375%, 2/22/2037 | | EUR | 300,000 | 312,826 |
| SPX Flow, Inc., 8.75%, 4/01/2030 (n) | | $ | 254,000 | 259,990 |
| TriMas Corp., 4.125%, 4/15/2029 (n) | | | 1,181,000 | 1,060,061 |
| Veralto Corp., 4.15%, 9/19/2031 | | EUR | 273,000 | 292,651 |
| Westinghouse Air Brake Technologies Corp., 4.7%, 9/15/2028 | | $ | 398,000 | 383,077 |
| Westinghouse Air Brake Technologies Corp., 5.611%, 3/11/2034 | | | 215,000 | 211,356 |
| | | | | $7,949,920 |
| Construction – 0.8% |
| Beazer Homes USA, Inc., 7.5%, 3/15/2031 (n) | | $ | 510,000 | $504,098 |
| Empire Communities Corp., 9.75%, 5/01/2029 (n) | | | 412,000 | 419,943 |
| Mattamy Group Corp., 5.25%, 12/15/2027 (n) | | | 171,000 | 163,717 |
| Mattamy Group Corp., 4.625%, 3/01/2030 (n) | | | 508,000 | 454,916 |
| Weekley Homes LLC/Weekley Finance Corp., 4.875%, 9/15/2028 (n) | | | 634,000 | 579,840 |
| | | | | $2,122,514 |
| Consumer Products – 1.3% |
| Amer Sports Co., 6.75%, 2/16/2031 (n) | | $ | 698,000 | $687,409 |
| Energizer Gamma Acquisition B.V., 3.5%, 6/30/2029 | | EUR | 335,000 | 318,289 |
| Energizer Holdings, Inc., 4.375%, 3/31/2029 (n) | | $ | 377,000 | 333,033 |
| HFC Prestige Products, Inc./HFC Prestige International US LLC, 6.625%, 7/15/2030 (n) | | | 876,000 | 876,528 |
| Kenvue, Inc., 5.05%, 3/22/2053 | | | 459,000 | 423,841 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Consumer Products – continued |
| Prestige Consumer Healthcare, Inc., 5.125%, 1/15/2028 (n) | | $ | 827,000 | $793,969 |
| Prestige Consumer Healthcare, Inc., 3.75%, 4/01/2031 (n) | | | 293,000 | 249,250 |
| | | | | $3,682,319 |
| Consumer Services – 2.8% |
| Allied Universal Holdco LLC, 9.75%, 7/15/2027 (n) | | $ | 901,000 | $897,588 |
| Allied Universal Holdco LLC, 6%, 6/01/2029 (n) | | | 400,000 | 339,607 |
| Arches Buyer, Inc., 6.125%, 12/01/2028 (n) | | | 573,000 | 466,064 |
| Compass Group PLC, 3.25%, 2/06/2031 | | EUR | 160,000 | 167,406 |
| Cushman & Wakefield PLC, 6.75%, 5/15/2028 (n) | | $ | 417,000 | 411,192 |
| GoDaddy, Inc., 3.5%, 3/01/2029 (n) | | | 907,000 | 804,283 |
| GW B-CR Security Corp., 9.5%, 11/01/2027 (n) | | | 713,000 | 709,723 |
| Match Group Holdings II LLC, 5%, 12/15/2027 (n) | | | 383,000 | 362,640 |
| Match Group Holdings II LLC, 4.625%, 6/01/2028 (n) | | | 866,000 | 799,830 |
| Pluxee N.V., 3.75%, 9/04/2032 | | EUR | 300,000 | 314,541 |
| Realogy Group LLC/Realogy Co-Issuer Corp., 5.75%, 1/15/2029 (n) | | $ | 421,000 | 293,865 |
| Realogy Group LLC/Realogy Co-Issuer Corp., 5.25%, 4/15/2030 (n) | | | 420,000 | 281,921 |
| Securitas Treasury Ireland DAC, 3.875%, 2/23/2030 | | EUR | 196,000 | 207,853 |
| Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2027 (n) | | $ | 353,000 | 279,285 |
| TriNet Group, Inc., 3.5%, 3/01/2029 (n) | | | 967,000 | 846,679 |
| WASH Multi-Family Acquisition, Inc., 5.75%, 4/15/2026 (n) | | | 538,000 | 521,597 |
| | | | | $7,704,074 |
| Containers – 1.5% |
| ARD Finance S.A., 6.5% (6.5% Cash or 7.25% PIK), 6/30/2027 (n)(p) | | $ | 224,000 | $55,243 |
| Ardagh Metal Packaging Finance USA LLC, 3.25%, 9/01/2028 (n) | | | 725,000 | 627,980 |
| Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 5.25%, 8/15/2027 (n) | | | 546,000 | 278,460 |
| Can-Pack S.A./Eastern PA Land Investment Holding LLC, 3.875%, 11/15/2029 (n) | | | 962,000 | 842,997 |
| Crown Americas LLC, 5.25%, 4/01/2030 | | | 316,000 | 301,110 |
| Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/2026 | | | 539,000 | 516,326 |
| Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 2/01/2026 | | | 349,000 | 341,507 |
| Crown European Holdings S.A., 4.75%, 3/15/2029 (n) | | EUR | 321,000 | 347,282 |
| Titan Holdings II B.V., 5.125%, 7/15/2029 | | | 333,000 | 314,500 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Containers – continued |
| Trivium Packaging Finance B.V., 8.5%, 8/15/2027 (n) | | $ | 411,000 | $406,998 |
| | | | | $4,032,403 |
| Electrical Equipment – 0.2% |
| Arrow Electronics, Inc., 5.875%, 4/10/2034 | | $ | 494,000 | $476,161 |
| Electronics – 1.0% |
| Entegris Escrow Corp., 5.95%, 6/15/2030 (n) | | $ | 206,000 | $200,591 |
| Entegris, Inc., 4.375%, 4/15/2028 (n) | | | 359,000 | 334,674 |
| Entegris, Inc., 3.625%, 5/01/2029 (n) | | | 487,000 | 430,995 |
| Intel Corp., 5.7%, 2/10/2053 | | | 364,000 | 347,580 |
| NXP B.V./NXP Funding LLC/NXP USA, Inc., 3.4%, 5/01/2030 | | | 188,000 | 166,965 |
| NXP B.V./NXP Funding LLC/NXP USA, Inc., 5%, 1/15/2033 | | | 85,000 | 80,616 |
| Sensata Technologies B.V., 5%, 10/01/2025 (n) | | | 753,000 | 743,323 |
| Sensata Technologies B.V., 5.875%, 9/01/2030 (n) | | | 390,000 | 376,260 |
| Sensata Technologies, Inc., 4.375%, 2/15/2030 (n) | | | 134,000 | 119,968 |
| | | | | $2,800,972 |
| Emerging Market Quasi-Sovereign – 6.0% |
| Abu Dhabi Development Holding Co. PJSC, 5.375%, 5/08/2029 (n)(w) | | $ | 231,000 | $229,773 |
| Abu Dhabi Development Holding Co. PJSC, 5.5%, 5/08/2034 (n)(w) | | | 944,000 | 939,346 |
| Bank Gospodarstwa Krajowego (Republic of Poland), 5.375%, 5/22/2033 (n) | | | 200,000 | 193,367 |
| Corporación Nacional del Cobre de Chile, 5.95%, 1/08/2034 (n) | | | 333,000 | 322,822 |
| Empresa Nacional del Petroleo (Republic of Chile), 3.75%, 8/05/2026 (n) | | | 423,000 | 402,691 |
| Empresa Nacional del Petroleo (Republic of Chile), 3.75%, 8/05/2026 | | | 806,000 | 767,303 |
| EQUATE Petrochemical B.V. (State of Kuwait), 4.25%, 11/03/2026 | | | 534,000 | 509,628 |
| Eskom Holdings SOC Ltd. (Republic of South Africa), 6.35%, 8/10/2028 (n) | | | 1,052,000 | 992,867 |
| Eustream A.S. (Slovak Republic), 1.625%, 6/25/2027 | | EUR | 640,000 | 595,840 |
| Export-Import Bank of India, 3.375%, 8/05/2026 | | $ | 1,366,000 | 1,300,305 |
| First Abu Dhabi Bank PJSC, 6.32% to 4/04/2029, FLR (CMT - 5yr. + 1.7%) to 4/04/2034 | | | 416,000 | 419,178 |
| Indian Railway Finance Corp., 2.8%, 2/10/2031 (n) | | | 700,000 | 579,192 |
| Industrial & Commercial Bank of China Macau, 2.875% to 9/12/2024, FLR (CMT - 5yr. + 1.65%) to 9/12/2029 | | | 700,000 | 692,161 |
| Ipoteka Bank (Republic of Uzbekistan), 5.5%, 11/19/2025 | | | 1,000,000 | 960,000 |
| Korea Development Bank, 4.25%, 9/08/2032 | | | 771,000 | 717,012 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Emerging Market Quasi-Sovereign – continued |
| Magyar Export-Import Bank PLC (Republic of Hungary), 6.125%, 12/04/2027 (n) | | $ | 490,000 | $488,967 |
| Office Cherifien des Phosphates S.A. (Kingdom of Morocco), 6.75%, 5/02/2034 (n) | | | 285,000 | 280,013 |
| Office Cherifien des Phosphates S.A. (Kingdom of Morocco), 6.875%, 4/25/2044 (n) | | | 373,000 | 342,603 |
| Office Cherifien des Phosphates S.A. (Kingdom of Morocco), 5.125%, 6/23/2051 (n) | | | 600,000 | 432,132 |
| Petroleos Mexicanos, 6.49%, 1/23/2027 | | | 904,000 | 847,772 |
| Petroleos Mexicanos, 6.7%, 2/16/2032 | | | 907,000 | 741,663 |
| Petroleos Mexicanos, 6.75%, 9/21/2047 | | | 1,593,000 | 1,017,036 |
| Qatar Petroleum, 3.125%, 7/12/2041 | | | 355,000 | 253,503 |
| QNB Finance Ltd. (State of Qatar), 2.75%, 2/12/2027 | | | 547,000 | 506,523 |
| Southern Gas Corridor CJSC (Republic of Azerbaijan), 6.875%, 3/24/2026 | | | 767,000 | 769,915 |
| State Oil Company of the Azerbaijan Republic, 6.95%, 3/18/2030 | | | 1,152,000 | 1,161,216 |
| | | | | $16,462,828 |
| Emerging Market Sovereign – 10.8% |
| Arab Republic of Egypt, 6.588%, 2/21/2028 | | $ | 487,000 | $437,199 |
| Arab Republic of Egypt, 7.903%, 2/21/2048 | | | 920,000 | 665,896 |
| Dominican Republic, 5.5%, 2/22/2029 (n) | | | 747,000 | 709,769 |
| Dominican Republic, 5.875%, 1/30/2060 (n) | | | 2,006,000 | 1,633,508 |
| Federal Republic of Nigeria, 8.747%, 1/21/2031 (n) | | | 920,000 | 862,500 |
| Federative Republic of Brazil, 10%, 1/01/2029 | | BRL | 16,300,000 | 2,984,025 |
| Kingdom of Morocco, 1.375%, 3/30/2026 | | EUR | 758,000 | 757,975 |
| Kingdom of Morocco, 3%, 12/15/2032 (n) | | $ | 448,000 | 348,880 |
| Kingdom of Saudi Arabia, 5%, 1/18/2053 | | | 291,000 | 245,557 |
| Oriental Republic of Uruguay, 8.25%, 5/21/2031 | | UYU | 29,700,000 | 735,041 |
| Oriental Republic of Uruguay, 9.75%, 7/20/2033 | | | 10,000,000 | 271,375 |
| Republic of Albania, 5.9%, 6/09/2028 | | EUR | 620,000 | 679,463 |
| Republic of Angola, 8.25%, 5/09/2028 | | $ | 491,000 | 462,365 |
| Republic of Angola, 9.375%, 5/08/2048 | | | 400,000 | 339,452 |
| Republic of Argentina, 3.625%, 7/09/2035 | | | 1,047,289 | 480,475 |
| Republic of Benin, 6.875%, 1/19/2052 | | EUR | 800,000 | 692,434 |
| Republic of Chile, 3.1%, 1/22/2061 | | $ | 672,000 | 392,798 |
| Republic of Costa Rica, 7.3%, 11/13/2054 | | | 391,000 | 406,703 |
| Republic of Cote d'Ivoire, 5.25%, 3/22/2030 | | EUR | 1,150,000 | 1,116,457 |
| Republic of Ghana, 8.125%, 3/26/2032 (a)(d)(n) | | $ | 593,000 | 286,123 |
| Republic of Guatemala, 6.125%, 6/01/2050 (n) | | | 564,000 | 494,009 |
| Republic of Hungary, 5.5%, 6/16/2034 (n) | | | 970,000 | 921,985 |
| Republic of Kenya, 8%, 5/22/2032 (n) | | | 776,000 | 708,100 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Emerging Market Sovereign – continued |
| Republic of Korea, 1.375%, 6/10/2030 | | KRW | 8,300,000,000 | $5,291,457 |
| Republic of Paraguay, 5.6%, 3/13/2048 | | $ | 1,049,000 | 902,140 |
| Republic of Philippines, 3.556%, 9/29/2032 | | | 327,000 | 283,652 |
| Republic of Poland, 5.125%, 9/18/2034 | | | 466,000 | 447,150 |
| Republic of Romania, 2.124%, 7/16/2031 (n) | | EUR | 1,200,000 | 1,029,712 |
| Republic of Romania, 5.625%, 2/22/2036 | | | 349,000 | 366,821 |
| Republic of Serbia, 1.65%, 3/03/2033 | | | 115,000 | 90,456 |
| Republic of Serbia, 2.05%, 9/23/2036 (n) | | | 456,000 | 339,755 |
| Republic of Sri Lanka, 6.125%, 6/03/2025 (a)(d) | | $ | 668,000 | 381,710 |
| Republic of Turkey, 4.75%, 1/26/2026 | | | 521,000 | 508,990 |
| Sultanate of Oman, 6%, 8/01/2029 | | | 750,000 | 749,646 |
| Sultanate of Oman, 7%, 1/25/2051 | | | 600,000 | 611,398 |
| United Mexican States, 4.75%, 4/27/2032 | | | 736,000 | 669,433 |
| United Mexican States, 4.875%, 5/19/2033 | | | 645,000 | 587,859 |
| United Mexican States, 6.338%, 5/04/2053 | | | 463,000 | 430,697 |
| United Mexican States, 3.771%, 5/24/2061 | | | 753,000 | 456,183 |
| | | | | $29,779,148 |
| Energy - Independent – 3.6% |
| Civitas Resources, Inc., 8.375%, 7/01/2028 (n) | | $ | 443,000 | $462,131 |
| Civitas Resources, Inc., 8.625%, 11/01/2030 (n) | | | 160,000 | 170,261 |
| Civitas Resources, Inc., 8.75%, 7/01/2031 (n) | | | 325,000 | 344,741 |
| Comstock Resources, Inc., 6.75%, 3/01/2029 (n) | | | 964,000 | 917,836 |
| CrownRock LP/CrownRock Finance, Inc., “F”, 5%, 5/01/2029 (n) | | | 598,000 | 589,156 |
| Diamondback Energy, Inc., 5.75%, 4/18/2054 | | | 448,000 | 427,687 |
| Encino Acquisition partners Holdings LLC, 8.75%, 5/01/2031 (n) | | | 257,000 | 261,691 |
| Matador Resources Co., 6.875%, 4/15/2028 (n) | | | 562,000 | 566,306 |
| Matador Resources Co., 6.5%, 4/15/2032 (n) | | | 203,000 | 201,191 |
| Medco Bell Pte. Ltd., 6.375%, 1/30/2027 (n) | | | 498,000 | 483,589 |
| Occidental Petroleum Corp., 6.45%, 9/15/2036 | | | 538,000 | 555,212 |
| Permian Resources Operating LLC, 7.75%, 2/15/2026 (n) | | | 115,000 | 116,027 |
| Permian Resources Operating LLC, 5.875%, 7/01/2029 (n) | | | 749,000 | 727,922 |
| Permian Resources Operating LLC, 7%, 1/15/2032 (n) | | | 333,000 | 339,465 |
| Pioneer Natural Resources Co., 2.15%, 1/15/2031 | | | 410,000 | 337,576 |
| Santos Finance Ltd., 6.875%, 9/19/2033 (n) | | | 547,000 | 562,180 |
| Sitio Royalties Operating Partnership, LP, 7.875%, 11/01/2028 (n) | | | 652,000 | 670,480 |
| SM Energy Co., 6.5%, 7/15/2028 | | | 532,000 | 527,675 |
| Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 (n) | | | 422,000 | 397,138 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Energy - Independent – continued |
| Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 | | $ | 1,025,000 | $964,613 |
| Vital Energy, Inc., 7.875%, 4/15/2032 (n) | | | 406,000 | 411,972 |
| | | | | $10,034,849 |
| Energy - Integrated – 0.7% |
| BP Capital Markets America, Inc., 4.812%, 2/13/2033 | | $ | 336,000 | $321,180 |
| BP Capital Markets B.V., 4.323%, 5/12/2035 | | EUR | 340,000 | 374,566 |
| BP Capital Markets B.V., 0.933%, 12/04/2040 | | | 190,000 | 127,570 |
| Citgo Petroleum Corp., 8.375%, 1/15/2029 (n) | | $ | 527,000 | 545,386 |
| Eni S.p.A., 3.875%, 1/15/2034 | | EUR | 270,000 | 285,576 |
| Exxon Mobil Corp., 1.408%, 6/26/2039 | | | 450,000 | 338,714 |
| | | | | $1,992,992 |
| Entertainment – 2.3% |
| Carnival Corp., 5.75%, 1/15/2030 | | EUR | 276,000 | $296,775 |
| Carnival Corp., 5.75%, 1/15/2030 (n) | | | 235,000 | 252,689 |
| Carnival Corp. PLC, 7.625%, 3/01/2026 (n) | | $ | 511,000 | 514,169 |
| Carnival Corp. PLC, 5.75%, 3/01/2027 (n) | | | 915,000 | 893,005 |
| Carnival Corp. PLC, 4%, 8/01/2028 (n) | | | 332,000 | 303,549 |
| Carnival Corp. PLC, 6%, 5/01/2029 (n) | | | 334,000 | 323,660 |
| Merlin Entertainments, 7.375%, 2/15/2031 (n) | | | 637,000 | 639,985 |
| NCL Corp. Ltd., 5.875%, 3/15/2026 (n) | | | 576,000 | 564,377 |
| NCL Corp. Ltd., 7.75%, 2/15/2029 (n) | | | 311,000 | 317,680 |
| Royal Caribbean Cruises Ltd., 5.375%, 7/15/2027 (n) | | | 416,000 | 404,837 |
| Royal Caribbean Cruises Ltd., 5.5%, 4/01/2028 (n) | | | 406,000 | 395,187 |
| SeaWorld Parks & Entertainment, 5.25%, 8/15/2029 (n) | | | 505,000 | 465,644 |
| Six Flags Entertainment Corp., 6.625%, 5/01/2032 (n) | | | 354,000 | 352,588 |
| Viking Cruises Ltd. Co., 5.875%, 9/15/2027 (n) | | | 210,000 | 203,609 |
| Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/2029 (n) | | | 345,000 | 330,148 |
| | | | | $6,257,902 |
| Financial Institutions – 4.7% |
| Avation Capital S.A., 8.25% (8.25% Cash or 9% PIK), 10/31/2026 (n)(p) | | $ | 626,867 | $539,253 |
| Citycon Oyj, 3.625% to 9/10/2026, FLR (EUR ICE Swap Rate - 5yr. + 4.179%) to 9/10/2031, FLR (EUR ICE Swap Rate - 5yr. + 4.429%) to 9/10/2046, FLR (EUR ICE Swap Rate - 5yr. + 5.179%) to 9/10/2172 | | EUR | 300,000 | 222,895 |
| Citycon Treasurey B.V., 6.5%, 3/08/2029 | | | 135,000 | 144,599 |
| Corporacion Inmobiliaria Vesta S.A.B. de C.V., 3.625%, 5/13/2031 | | $ | 320,000 | 272,480 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Financial Institutions – continued |
| CPI Property Group S.A., 3.75% to 7/27/2028, FLR (EUR Swap Rate - 5yr. + 4.338%) to 7/27/2033, FLR (EUR Swap Rate - 5yr. + 4.588%) to 7/27/2048, FLR (EUR Swap Rate - 5yr. + 5.338%) to 1/27/2170 | | EUR | 420,000 | $227,250 |
| Credit Acceptance Corp., 9.25%, 12/15/2028 (n) | | $ | 627,000 | 664,777 |
| CTP N.V., 4.75%, 2/05/2030 | | EUR | 120,000 | 128,458 |
| Encore Capital Group, Inc., 9.25%, 4/01/2029 (n) | | $ | 496,000 | 506,737 |
| Freedom Mortgage Corp., 7.625%, 5/01/2026 (n) | | | 509,000 | 506,716 |
| Freedom Mortgage Holdings LLC, 9.25%, 2/01/2029 (n) | | | 129,000 | 129,683 |
| FTAI Aviation Ltd., 5.5%, 5/01/2028 (n) | | | 574,000 | 550,912 |
| FTAI Aviation Ltd., 7.875%, 12/01/2030 (n) | | | 368,000 | 382,263 |
| Global Aircraft Leasing Co. Ltd., 6.5% (6.5% Cash or 7.25% PIK), 9/15/2024 (n)(p) | | | 1,628,594 | 1,540,604 |
| Grand City Properties S.A., 5.901% to 10/24/2023, FLR (EUR Swap Rate - 5yr. + 2.432%) to 10/24/2028, FLR (EUR Swap Rate - 5yr. + 2.682%) to 10/24/2043, FLR (EUR Swap Rate - 5yr. + 3.432%) to 10/24/2169 | | EUR | 500,000 | 400,200 |
| Heimstaden Bostad Treasury B.V., 1.375%, 7/24/2028 | | | 530,000 | 454,586 |
| Howard Hughes Corp., 4.125%, 2/01/2029 (n) | | $ | 736,000 | 649,938 |
| Jefferson Capital Holdings LLC, 9.5%, 2/15/2029 (n) | | | 789,000 | 802,776 |
| Macquarie AirFinance Holdings Ltd., 8.375%, 5/01/2028 (n) | | | 663,000 | 696,051 |
| Macquarie AirFinance Holdings Ltd., 6.4%, 3/26/2029 (n) | | | 95,000 | 94,725 |
| Macquarie AirFinance Holdings Ltd., 8.125%, 3/30/2029 (n) | | | 116,000 | 121,302 |
| Macquarie AirFinance Holdings Ltd., 6.5%, 3/26/2031 (n) | | | 184,000 | 184,137 |
| Nationstar Mortgage Holdings, Inc., 6%, 1/15/2027 (n) | | | 878,000 | 860,341 |
| OneMain Finance Corp., 6.875%, 3/15/2025 | | | 465,000 | 468,046 |
| OneMain Finance Corp., 7.125%, 3/15/2026 | | | 706,000 | 712,425 |
| OneMain Finance Corp., 5.375%, 11/15/2029 | | | 362,000 | 334,765 |
| Samhallsbyggnadsbolaget i Norden AB, 3%, 1/14/2025 | | EUR | 610,000 | 587,370 |
| Samhallsbyggnadsbolaget i Norden AB, 2.875% to 1/30/2027, FLR (EUR Swap Rate - 5yr. + 3.223%) to 1/30/2032, FLR (EUR Swap Rate - 5yr. + 3.473%) to 1/30/2047, FLR (EUR Swap Rate - 5yr. + 4.473%) to 1/30/2171 | | | 1,160,000 | 303,677 |
| Samhallsbyggnadsbolaget i Norden AB, 2.624% to 4/30/2025, FLR (EUR Swap Rate - 5yr. + 2.814%) to 4/30/30, FLR (EUR Swap Rate - 5yr. + 3.064%) to 4/30/45, FLR (EUR Swap Rate - 5yr. + 3.814%) to 4/30/2172 (a) | | | 420,000 | 110,792 |
| VGP N.V., 1.5%, 4/08/2029 | | | 300,000 | 268,157 |
| | | | | $12,865,915 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Food & Beverages – 4.3% |
| Anheuser-Busch InBev S.A./N.V., 2%, 1/23/2035 | | EUR | 340,000 | $313,461 |
| Anheuser-Busch InBev S.A/N.V., 3.95%, 3/22/2044 | | | 280,000 | 295,028 |
| Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038 | | $ | 367,000 | 325,201 |
| Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | | | 331,000 | 325,899 |
| B&G Foods, Inc., 5.25%, 9/15/2027 | | | 472,000 | 435,706 |
| B&G Foods, Inc., 8%, 9/15/2028 (n) | | | 189,000 | 195,852 |
| Bacardi Ltd., 5.15%, 5/15/2038 (n) | | | 530,000 | 483,548 |
| Bacardi-Martini B.V., 5.4%, 6/15/2033 (n) | | | 325,000 | 312,255 |
| Carlsberg Breweries A.S., 4.25%, 10/05/2033 | | EUR | 192,000 | 211,995 |
| Central American Bottling Corp., 5.25%, 4/27/2029 (n) | | $ | 691,000 | 645,110 |
| Chobani LLC/Chobani Finance Corp., 7.625%, 7/01/2029 (n) | | | 260,000 | 262,750 |
| Constellation Brands, Inc., 2.25%, 8/01/2031 | | | 290,000 | 232,223 |
| Fiesta Purchaser, Inc., 7.875%, 3/01/2031 (n) | | | 414,000 | 421,851 |
| JBS USA Food Co., 6.5%, 12/01/2052 | | | 241,000 | 228,142 |
| JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029 | | | 439,000 | 381,809 |
| JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.625%, 1/15/2032 | | | 1,000,000 | 832,820 |
| Kraft Heinz Foods Co., 3.5%, 3/15/2029 | | EUR | 300,000 | 318,271 |
| Kraft Heinz Foods Co., 4.375%, 6/01/2046 | | $ | 486,000 | 389,353 |
| Performance Food Group Co., 5.5%, 10/15/2027 (n) | | | 678,000 | 656,283 |
| Pernod Ricard S.A., 3.375%, 11/07/2030 (w) | | EUR | 600,000 | 631,490 |
| Post Holdings, Inc., 5.625%, 1/15/2028 (n) | | $ | 433,000 | 420,207 |
| Post Holdings, Inc., 4.625%, 4/15/2030 (n) | | | 901,000 | 813,711 |
| Primo Water Holding, Inc., 4.375%, 4/30/2029 (n) | | | 961,000 | 877,160 |
| PT Indofood CBP Sukses Makmur Tbk, 3.398%, 6/09/2031 | | | 360,000 | 303,749 |
| TreeHouse Foods, Inc., 4%, 9/01/2028 | | | 403,000 | 356,834 |
| U.S. Foods Holding Corp., 4.75%, 2/15/2029 (n) | | | 699,000 | 651,224 |
| United Natural Foods, Inc., 6.75%, 10/15/2028 (n) | | | 381,000 | 292,393 |
| Viterra Finance B.V., 3.2%, 4/21/2031 (n) | | | 263,000 | 221,671 |
| | | | | $11,835,996 |
| Gaming & Lodging – 3.2% |
| Caesars Entertainment, Inc., 4.625%, 10/15/2029 (n) | | $ | 255,000 | $227,546 |
| Caesars Entertainment, Inc., 7%, 2/15/2030 (n) | | | 560,000 | 563,933 |
| Caesars Resort Collection LLC/CRC Finco, Inc., 8.125%, 7/01/2027 (n) | | | 629,000 | 637,490 |
| CCM Merger, Inc., 6.375%, 5/01/2026 (n) | | | 532,000 | 530,711 |
| CDI Escrow Issuer, Inc., 5.75%, 4/01/2030 (n) | | | 823,000 | 783,123 |
| Flutter Treasury DAC, 5%, 4/29/2029 (n) | | EUR | 200,000 | 216,443 |
| Flutter Treasury DAC, 6.375%, 4/29/2029 (n) | | $ | 200,000 | 200,542 |
| Hilton Domestic Operating Co., Inc., 4.875%, 1/15/2030 | | | 807,000 | 758,604 |
| IHG Finance LLC, 4.375%, 11/28/2029 | | EUR | 120,000 | 130,277 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Gaming & Lodging – continued |
| Marriott International, Inc., 2.85%, 4/15/2031 | | $ | 463,000 | $388,356 |
| Melco Resorts Finance Ltd., 7.625%, 4/17/2032 (n) | | | 217,000 | 212,269 |
| Penn National Gaming, Inc., 4.125%, 7/01/2029 (n) | | | 453,000 | 379,446 |
| Sands China Ltd., 4.625%, 6/18/2030 | | | 520,000 | 468,147 |
| Studio City Finance Ltd., 5%, 1/15/2029 (n) | | | 304,000 | 258,541 |
| Wyndham Hotels & Resorts, Inc., 4.375%, 8/15/2028 (n) | | | 920,000 | 843,563 |
| Wynn Macau Ltd., 5.5%, 10/01/2027 (n) | | | 680,000 | 640,712 |
| Wynn Macau Ltd., 5.625%, 8/26/2028 (n) | | | 850,000 | 783,978 |
| Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029 (n) | | | 645,000 | 598,481 |
| Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 7.125%, 2/15/2031 (n) | | | 253,000 | 256,608 |
| | | | | $8,878,770 |
| Industrial – 1.4% |
| Albion Financing 1 S.à r.l., 6.125%, 10/15/2026 (n) | | $ | 210,000 | $205,569 |
| Albion Financing 2 S.à r.l., 8.75%, 4/15/2027 (n) | | | 640,000 | 639,992 |
| APi Escrow Corp., 4.75%, 10/15/2029 (n) | | | 924,000 | 839,414 |
| Arcadis N.V., 4.875%, 2/28/2028 | | EUR | 478,000 | 524,186 |
| Artera Services LLC, 8.5%, 2/15/2031 (n) | | $ | 412,000 | 421,580 |
| Trustees of the University of Pennsylvania, 2.396%, 10/01/2050 | | | 966,000 | 569,467 |
| Williams Scotsman International, Inc., 4.625%, 8/15/2028 (n) | | | 785,000 | 724,539 |
| | | | | $3,924,747 |
| Insurance – 0.8% |
| Allianz SE, 3.2% to 4/30/2028, FLR (CMT - 5yr. + 2.165%) to 4/30/2171 (n) | | $ | 400,000 | $322,194 |
| Corebridge Financial, Inc., 4.35%, 4/05/2042 | | | 636,000 | 509,906 |
| Groupe des Assurances du Credit Mutuel, 1.85% to 4/21/2032, FLR (EURIBOR - 3mo. + 2.65%) to 4/21/2042 | | EUR | 300,000 | 258,424 |
| Lincoln National Corp., 5.852%, 3/15/2034 | | $ | 604,000 | 580,292 |
| Sammons Financial Group, Inc., 6.875%, 4/15/2034 (n) | | | 460,000 | 453,756 |
| | | | | $2,124,572 |
| Insurance - Health – 0.4% |
| Bupa Finance PLC, 4% to 3/24/2032, FLR (GBP Government Yield - 5yr. + 3.17%) to 3/24/2172 | | GBP | 1,010,000 | $902,363 |
| UnitedHealth Group, Inc., 4.625%, 7/15/2035 | | $ | 339,000 | 317,941 |
| | | | | $1,220,304 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Insurance - Property & Casualty – 3.2% |
| Acrisure LLC/Acrisure Finance, Inc., 8.25%, 2/01/2029 (n) | | $ | 308,000 | $305,470 |
| Acrisure LLC/Acrisure Finance, Inc., 6%, 8/01/2029 (n) | | | 100,000 | 90,478 |
| Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/2027 (n) | | | 441,000 | 432,453 |
| Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 5.875%, 11/01/2029 (n) | | | 613,000 | 562,883 |
| Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 7%, 1/15/2031 (n) | | | 400,000 | 401,253 |
| American International Group, Inc., 5.125%, 3/27/2033 | | | 317,000 | 304,057 |
| AmWINS Group Benefits, Inc., 4.875%, 6/30/2029 (n) | | | 512,000 | 465,450 |
| Ardonagh Finco Ltd., 7.75%, 2/15/2031 (n) | | | 615,000 | 605,190 |
| Arthur J. Gallagher & Co., 6.5%, 2/15/2034 | | | 260,000 | 270,774 |
| Arthur J. Gallagher & Co., 6.75%, 2/15/2054 | | | 309,000 | 332,732 |
| AssuredPartners, Inc., 5.625%, 1/15/2029 (n) | | | 455,000 | 414,905 |
| Fairfax Financial Holdings Ltd., 4.25%, 12/06/2027 | | CAD | 790,000 | 555,448 |
| Fairfax Financial Holdings Ltd., 6.35%, 3/22/2054 (n) | | $ | 402,000 | 397,418 |
| GTCR (AP) Finance, Inc., 8%, 5/15/2027 (n) | | | 397,000 | 397,150 |
| Howden UK Refinance PLC/Howden UK Refinance 2 PLC/Howden US Refinance LLC, 7.25%, 2/15/2031 (n) | | | 347,000 | 342,565 |
| Hub International Ltd., 5.625%, 12/01/2029 (n) | | | 255,000 | 234,698 |
| Hub International Ltd., 7.25%, 6/15/2030 (n) | | | 760,000 | 771,148 |
| Hub International Ltd., 7.375%, 1/31/2032 (n) | | | 325,000 | 322,006 |
| Panther Escrow Issuer, 7.125%, 6/01/2031 (n) | | | 911,000 | 915,725 |
| QBE Insurance Group Ltd., 2.5% to 9/13/2028, FLR (GBP Government Yield - 5yr. + 2.061%) to 9/13/2038 | | GBP | 335,000 | 354,484 |
| RenaissanceRe Holdings Ltd., 5.75%, 6/05/2033 | | $ | 444,000 | 432,796 |
| | | | | $8,909,083 |
| International Market Quasi-Sovereign – 1.5% |
| Belfius Bank S.A. (Kingdom of Belgium), 3.75%, 1/22/2029 | | EUR | 200,000 | $210,220 |
| Deutsche Bahn Finance GmbH (Federal Republic of Germany), 3.375%, 1/29/2038 | | | 100,000 | 103,408 |
| Enbw International Finance B.V. (Federal Republic of Germany), 4.3%, 5/23/2034 | | | 215,000 | 236,055 |
| EnBW International Finance B.V. (Federal Republic of Germany), 3.5%, 7/24/2028 | | | 510,000 | 542,899 |
| ESB Finance DAC (Republic of Ireland), 1.875%, 6/14/2031 | | | 100,000 | 94,349 |
| La Banque Postale (Republic of France), 3.5%, 6/13/2030 | | | 400,000 | 421,461 |
| Landsbankinn hf. (Republic of Iceland), 5%, 5/13/2028 | | | 420,000 | 449,340 |
| Logicor Financing S.à r.l. (Grand Duchy of Luxembourg), 1.625%, 1/17/2030 | | | 400,000 | 363,039 |
| NBN Co. Ltd. (Commonwealth of Australia), 5.75%, 10/06/2028 (n) | | $ | 475,000 | 481,390 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| International Market Quasi-Sovereign – continued |
| NBN Co. Ltd. (Commonwealth of Australia), 3.75%, 3/22/2034 | | EUR | 520,000 | $550,854 |
| Ontario Teachers' Cadillac Fairview Properties, 2.5%, 10/15/2031 (n) | | $ | 425,000 | 336,058 |
| P3 Group S.à r.l. (Grand Duchy of Luxembourg), 1.625%, 1/26/2029 | | EUR | 370,000 | 346,335 |
| | | | | $4,135,408 |
| International Market Sovereign – 4.6% |
| Commonwealth of Australia, 3.75%, 4/21/2037 | | AUD | 9,252,000 | $5,536,963 |
| Government of Bermuda, 2.375%, 8/20/2030 (n) | | $ | 239,000 | 196,339 |
| Government of Bermuda, 5%, 7/15/2032 (n) | | | 731,000 | 689,333 |
| Republic of Italy, 4.2%, 3/01/2034 | | EUR | 5,607,000 | 6,153,015 |
| | | | | $12,575,650 |
| Local Authorities – 0.1% |
| Province of British Columbia, 2.95%, 6/18/2050 | | CAD | 315,000 | $168,720 |
| Machinery & Tools – 1.2% |
| AGCO Corp., 5.8%, 3/21/2034 | | $ | 576,000 | $563,585 |
| Ashtead Capital, Inc., 5.95%, 10/15/2033 (n) | | | 508,000 | 500,195 |
| CNH Industrial Capital LLC, 1.875%, 1/15/2026 | | | 237,000 | 222,348 |
| CNH Industrial Capital LLC, 5.5%, 1/12/2029 | | | 435,000 | 433,509 |
| Ritchie Bros Holdings, Inc., 7.75%, 3/15/2031 (n) | | | 997,000 | 1,034,011 |
| Terex Corp., 5%, 5/15/2029 (n) | | | 605,000 | 566,007 |
| | | | | $3,319,655 |
| Major Banks – 4.4% |
| Bank of America Corp., 5.202% to 4/25/2028, FLR (SOFR - 1 day + 1.63%) to 4/25/2029 | | $ | 528,000 | $519,828 |
| Bank of America Corp., 2.687% to 4/22/2031, FLR (SOFR - 1 day + 1.32%) to 4/22/2032 | | | 541,000 | 445,749 |
| Capital One Financial Corp., 6.377% to 6/08/2033, FLR (SOFR - 1 day + 2.860%) to 6/08/2034 | | | 219,000 | 220,427 |
| Commonwealth Bank of Australia, 2.688%, 3/11/2031 (n) | | | 688,000 | 558,433 |
| Credit Agricole S.A., 6.316% to 10/03/2028, FLR (SOFR - 1 day + 1.86%) to 10/03/2029 (n) | | | 545,000 | 555,295 |
| Danske Bank A.S., 1.549%, 9/10/2027 (n) | | | 361,000 | 327,673 |
| HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR - 1 day + 1.929%) to 6/04/2026 | | | 471,000 | 451,438 |
| JPMorgan Chase & Co., 5.04% to 1/23/2027, FLR (SOFR - 1 day + 1.19%) to 1/23/2028 | | | 343,000 | 338,134 |
| JPMorgan Chase & Co., 5.581% to 4/22/2029, FLR (SOFR - 1 day + 1.16%) to 4/22/2030 | | | 237,000 | 236,790 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Major Banks – continued |
| JPMorgan Chase & Co., 1.953% to 2/04/2031, FLR (SOFR - 1 day + 1.065%) to 2/04/2032 | | $ | 639,000 | $507,015 |
| JPMorgan Chase & Co., 3.761% to 3/21/2033, FLR (EURIBOR - 3mo. + 0.98%) to 3/21/2034 | | EUR | 310,000 | 328,113 |
| Lloyds Banking Group PLC, 4.75% to 9/21/2030, FLR (EUR Swap Rate - 1yr. + 1.6%) to 9/21/2031 | | | 270,000 | 299,048 |
| Mitsubishi UFJ Financial Group, Inc., 2.494% to 10/13/2031, FLR (CMT - 1yr. + 0.97%) to 10/13/2032 | | $ | 550,000 | 446,836 |
| Morgan Stanley, 1.593% to 5/04/2026, FLR (SOFR - 1 day + 0.879%) to 5/04/2027 | | | 527,000 | 485,729 |
| Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR - 1 day + 3.12%) to 4/01/2031 | | | 462,000 | 415,248 |
| Morgan Stanley, 5.424% to 7/21/2033, FLR (SOFR - 1 day + 1.88%) to 7/21/2034 | | | 222,000 | 215,415 |
| Morgan Stanley, 3.955% to 3/21/2034, FLR (EURIBOR - 3mo. + 1.242%) to 3/21/2035 | | EUR | 420,000 | 444,388 |
| National Bank of Greece S.A., 5.875% to 6/28/2030, FLR (EUR ICE Swap Rate - 5yr. + 3.154%) to 6/28/2035 | | | 260,000 | 278,166 |
| Nationwide Building Soceity, 4.015%, 5/02/2027 (w) | | | 190,000 | 202,865 |
| PNC Financial Services Group, Inc., 5.3% to 1/21/2027, FLR (SOFR - 1 day + 1.342%) to 1/21/2028 | | $ | 241,000 | 238,904 |
| PNC Financial Services Group, Inc., 5.676% to 1/22/2034, FLR (SOFR - 1 day + 1.902%) to 1/22/2035 | | | 287,000 | 281,181 |
| Toronto-Dominion Bank, 3.563%, 4/16/2031 | | EUR | 480,000 | 505,350 |
| Toronto-Dominion Bank, 8.125% to 10/31/2027, FLR (CMT - 5yr. + 4.075%) to 10/31/2082 | | $ | 770,000 | 791,793 |
| UBS Group AG, 2.746% to 2/11/2032, FLR (CMT - 1yr. + 1.1%) to 2/11/2033 (n) | | | 956,000 | 759,217 |
| UBS Group AG, 4.125% to 6/09/2032, FLR (EUR ICE Swap Rate - 1yr. + 1.75%) to 6/09/2033 | | EUR | 350,000 | 372,875 |
| UBS Group AG, 9.25% to 11/13/2028, FLR (CMT - 5yr. + 4.745%) to 5/13/2172 (n) | | $ | 272,000 | 290,286 |
| UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n) | | | 530,000 | 505,413 |
| UniCredit S.p.A., 4.3%, 1/23/2031 | | EUR | 730,000 | 779,614 |
| Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033 | | $ | 540,000 | 455,847 |
| | | | | $12,257,070 |
| Medical & Health Technology & Services – 4.5% |
| 180 Medical, Inc., 3.875%, 10/15/2029 (n) | | $ | 765,000 | $677,335 |
| Avantor Funding, Inc., 4.625%, 7/15/2028 (n) | | | 991,000 | 921,235 |
| Bausch & Lomb Escrow Corp., 8.375%, 10/01/2028 (n) | | | 438,000 | 452,345 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Medical & Health Technology & Services – continued |
| Charles River Laboratories International, Inc., 3.75%, 3/15/2029 (n) | | $ | 951,000 | $854,272 |
| CHS/Community Health Systems, Inc., 8%, 12/15/2027 (n) | | | 383,000 | 374,876 |
| CHS/Community Health Systems, Inc., 6.125%, 4/01/2030 (n) | | | 606,000 | 428,450 |
| CHS/Community Health Systems, Inc., 5.25%, 5/15/2030 (n) | | | 1,015,000 | 829,849 |
| CVS Health Corp., 5.625%, 2/21/2053 | | | 281,000 | 259,208 |
| Encompass Health Corp., 5.75%, 9/15/2025 | | | 184,000 | 182,571 |
| Encompass Health Corp., 4.75%, 2/01/2030 | | | 643,000 | 589,658 |
| Encompass Health Corp., 4.625%, 4/01/2031 | | | 115,000 | 103,266 |
| HCA, Inc., 5.125%, 6/15/2039 | | | 235,000 | 211,575 |
| ICON Investments Six DAC, 5.809%, 5/08/2027 (w) | | | 470,000 | 470,000 |
| ICON Investments Six DAC, 5.849%, 5/08/2029 (w) | | | 200,000 | 200,000 |
| IQVIA Holdings, Inc., 6.25%, 2/01/2029 | | | 319,000 | 324,192 |
| IQVIA, Inc., 5%, 5/15/2027 (n) | | | 965,000 | 931,616 |
| IQVIA, Inc., 6.5%, 5/15/2030 (n) | | | 400,000 | 401,815 |
| Lifepoint Health, Inc., 9.875%, 8/15/2030 (n) | | | 255,000 | 265,531 |
| Lifepoint Health, Inc., 11%, 10/15/2030 (n) | | | 303,000 | 322,511 |
| New York Society for the Relief of the Ruptured & Crippled, 2.667%, 10/01/2050 | | | 318,000 | 191,073 |
| ProMedica Toledo Hospital, “B”, AGM, 6.015%, 11/15/2048 | | | 205,000 | 199,189 |
| Star Parent, Inc., 9%, 10/01/2030 (n) | | | 460,000 | 481,183 |
| Surgery Center Holdings, Inc., 7.25%, 4/15/2032 (n) | | | 455,000 | 454,379 |
| Tenet Healthcare Corp., 6.125%, 10/01/2028 | | | 411,000 | 405,843 |
| Tenet Healthcare Corp., 4.375%, 1/15/2030 | | | 393,000 | 356,867 |
| Tenet Healthcare Corp., 6.125%, 6/15/2030 | | | 645,000 | 633,969 |
| Tenet Healthcare Corp., 6.75%, 5/15/2031 (n) | | | 271,000 | 271,537 |
| Thermo Fisher Scientific (Finance I) B.V., 2%, 10/18/2051 | | EUR | 330,000 | 243,266 |
| U.S. Acute Care Solutions LLC, 9.75%, 5/15/2029 (n) | | $ | 411,000 | 403,041 |
| | | | | $12,440,652 |
| Medical Equipment – 0.6% |
| American Medical Systems Europe B.V., 3.5%, 3/08/2032 | | EUR | 340,000 | $356,282 |
| Garden SpinCo Corp., 8.625%, 7/20/2030 (n) | | $ | 569,000 | 599,945 |
| Medline Borrower LP, 5.25%, 10/01/2029 (n) | | | 794,000 | 739,197 |
| | | | | $1,695,424 |
| Metals & Mining – 2.5% |
| Anglo American Capital PLC, 5.625%, 4/01/2030 (n) | | $ | 371,000 | $369,611 |
| Anglo American Capital PLC, 4.125%, 3/15/2032 | | EUR | 800,000 | 851,356 |
| Baffinland Iron Mines Corp./Baffinland Iron Mines LP, 8.75%, 7/15/2026 (n) | | $ | 571,000 | 524,931 |
| FMG Resources Ltd., 4.375%, 4/01/2031 (n) | | | 1,564,000 | 1,377,013 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Metals & Mining – continued |
| Glencore Capital Finance DAC, 4.154%, 4/29/2031 | | EUR | 670,000 | $710,542 |
| GrafTech Finance, Inc., 4.625%, 12/15/2028 (n) | | $ | 723,000 | 465,609 |
| GrafTech Finance, Inc., 9.875%, 12/15/2028 (n) | | | 138,000 | 103,750 |
| Kaiser Aluminum Corp., 4.625%, 3/01/2028 (n) | | | 660,000 | 614,498 |
| Novelis Corp., 3.25%, 11/15/2026 (n) | | | 444,000 | 415,124 |
| Novelis Corp., 4.75%, 1/30/2030 (n) | | | 626,000 | 572,803 |
| Novelis Corp., 3.875%, 8/15/2031 (n) | | | 279,000 | 236,261 |
| Petra Diamonds US$ Treasury PLC, 9.75%, 3/08/2026 (n) | | | 367,032 | 271,604 |
| Taseko Mines Ltd., 8.25%, 5/01/2030 (n) | | | 405,000 | 411,471 |
| | | | | $6,924,573 |
| Midstream – 4.6% |
| Columbia Pipelines Operating Co. LLC, 6.036%, 11/15/2033 (n) | | $ | 219,000 | $219,697 |
| Columbia Pipelines Operating Co. LLC, 6.544%, 11/15/2053 (n) | | | 411,000 | 423,912 |
| DT Midstream, Inc., 4.125%, 6/15/2029 (n) | | | 571,000 | 517,537 |
| DT Midstream, Inc., 4.375%, 6/15/2031 (n) | | | 788,000 | 699,552 |
| Enbridge, Inc., 5.7%, 3/08/2033 | | | 218,000 | 215,499 |
| Enbridge, Inc., 8.5% to 1/15/2034, FLR (CMT - 5yr. + 4.431%) to 1/15/2054, FLR (CMT - 5yr. + 5.181%) to 1/15/2084 | | | 369,000 | 389,313 |
| Energy Transfer LP, 5.55%, 2/15/2028 | | | 164,000 | 163,830 |
| Energy Transfer LP, 5.95%, 5/15/2054 | | | 309,000 | 291,223 |
| Energy Transfer LP, 7.125% to 5/15/2030, FLR (CMT - 5yr. + 5.306%) to 5/15/2171 | | | 330,000 | 316,838 |
| EQM Midstream Partners LP, 5.5%, 7/15/2028 | | | 849,000 | 826,985 |
| EQM Midstream Partners LP, 6.375%, 4/01/2029 (n) | | | 204,000 | 202,098 |
| Galaxy Pipeline Assets Bidco Ltd., 2.16%, 3/31/2034 (n) | | | 427,081 | 356,277 |
| GNL Quintero S.A., 4.634%, 7/31/2029 (n) | | | 343,016 | 330,963 |
| Kinetik Holdings, Inc., 5.875%, 6/15/2030 (n) | | | 730,000 | 705,818 |
| NuStar Logistics, LP, 6.375%, 10/01/2030 | | | 605,000 | 598,122 |
| Peru LNG, 5.375%, 3/22/2030 | | | 1,047,000 | 893,620 |
| Prairie Acquiror LP, 9%, 8/01/2029 (n) | | | 154,000 | 157,297 |
| Tallgrass Energy Partners LP, 5.5%, 1/15/2028 (n) | | | 838,000 | 795,615 |
| Tallgrass Energy Partners LP, 7.375%, 2/15/2029 (n) | | | 305,000 | 305,335 |
| Targa Resources Corp., 4.2%, 2/01/2033 | | | 201,000 | 177,420 |
| Targa Resources Corp., 4.95%, 4/15/2052 | | | 325,000 | 270,598 |
| Venture Global Calcasieu Pass LLC, 3.875%, 8/15/2029 (n) | | | 549,000 | 485,059 |
| Venture Global Calcasieu Pass LLC, 6.25%, 1/15/2030 (n) | | | 218,000 | 215,540 |
| Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031 (n) | | | 885,000 | 772,404 |
| Venture Global LNG, Inc., 8.125%, 6/01/2028 (n) | | | 674,000 | 689,143 |
| Venture Global LNG, Inc., 9.5%, 2/01/2029 (n) | | | 739,000 | 794,323 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Midstream – continued |
| Venture Global LNG, Inc., 8.375%, 6/01/2031 (n) | | $ | 790,000 | $810,708 |
| | | | | $12,624,726 |
| Municipals – 0.5% |
| Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, Issue M, “A”, 2.641%, 7/01/2037 | | $ | 545,000 | $478,712 |
| Michigan Finance Authority Hospital Rev., Taxable (Trinity Health Credit Group), 3.384%, 12/01/2040 | | | 605,000 | 473,072 |
| National Finance Authority, NH, Utility Refunding Rev., Taxable (Wheeling Power Co. Project), “A”, 6.89%, 4/01/2034 | | | 365,000 | 364,818 |
| Oklahoma Development Finance Authority, Health System Rev., Taxable (OU Medicine Project), “C”, 5.45%, 8/15/2028 | | | 209,000 | 193,814 |
| | | | | $1,510,416 |
| Natural Gas - Distribution – 0.2% |
| ENGIE S.A., 3.875%, 3/06/2036 | | EUR | 200,000 | $212,735 |
| ENGIE S.A., 4.5%, 9/06/2042 | | | 200,000 | 219,636 |
| ENGIE S.A., 4.25%, 1/11/2043 | | | 200,000 | 212,723 |
| | | | | $645,094 |
| Natural Gas - Pipeline – 0.4% |
| APA Infrastructure Ltd., 3.125%, 7/18/2031 | | GBP | 570,000 | $598,290 |
| APA Infrastructure Ltd., 2.5%, 3/15/2036 | | | 740,000 | 645,390 |
| | | | | $1,243,680 |
| Network & Telecom – 0.5% |
| Iliad Holding S.A.S., 6.5%, 10/15/2026 (n) | | $ | 200,000 | $199,021 |
| Iliad Holding S.A.S., 7%, 10/15/2028 (n) | | | 854,000 | 834,937 |
| Iliad Holding S.A.S., 6.875%, 4/15/2031 (n)(w) | | EUR | 103,000 | 109,922 |
| TDC Net A/S, 5.186%, 8/02/2029 (w) | | | 150,000 | 160,286 |
| | | | | $1,304,166 |
| Oil Services – 0.7% |
| MV24 Capital B.V., 6.748%, 6/01/2034 | | $ | 806,360 | $741,797 |
| Nabors Industries Ltd., 7.25%, 1/15/2026 (n) | | | 310,000 | 307,039 |
| Nabors Industries Ltd., 7.5%, 1/15/2028 (n) | | | 154,000 | 146,015 |
| Nabors Industries Ltd., 9.125%, 1/31/2030 (n) | | | 253,000 | 260,890 |
| U.S.A. Compression Partners LP/Finance Co., 7.125%, 3/15/2029 (n) | | | 494,000 | 490,840 |
| | | | | $1,946,581 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Oils – 0.5% |
| Neste Oyj, 3.875%, 5/21/2031 | | EUR | 135,000 | $144,716 |
| PBF Holding Co. LLC/PBF Finance Corp., 6%, 2/15/2028 | | $ | 603,000 | 588,100 |
| Raizen Fuels Finance S.A., 6.45%, 3/05/2034 (n) | | | 402,000 | 400,543 |
| Thaioil Treasury Center Co. Ltd., 5.375%, 11/20/2048 (n) | | | 359,000 | 322,364 |
| | | | | $1,455,723 |
| Other Banks & Diversified Financials – 3.0% |
| AIB Group PLC, 6.608% to 9/13/2028, FLR (SOFR - 1 day + 2.33%) to 9/13/2029 (n) | | $ | 621,000 | $632,969 |
| AIB Group PLC, 5.871% to 3/28/2034, FLR (SOFR - 1 day + 1.91%) to 3/28/2035 (n) | | | 400,000 | 387,052 |
| Banque Federative du Credit Mutuel S.A., 5%, 10/22/2029 | | GBP | 300,000 | 369,919 |
| Banque Federative du Credit Mutuel S.A., 4.375%, 1/11/2034 | | EUR | 300,000 | 312,962 |
| Banque Federative du Credit Mutuel S.A., 3.75%, 2/03/2034 | | | 200,000 | 212,751 |
| BPCE S.A., 4.5%, 3/15/2025 (n) | | $ | 544,000 | 535,634 |
| BPCE S.A., 2.277% to 1/20/2031, FLR (SOFR - 1 day + 1.312%) to 1/20/2032 (n) | | | 750,000 | 595,844 |
| BPCE S.A., 4.125%, 3/08/2033 | | EUR | 500,000 | 533,723 |
| BPCE S.A., 4.25% to 1/11/2034, FLR (EURIBOR - 3mo. + 1.85%) to 1/11/2035 | | | 500,000 | 539,133 |
| Commerzbank AG, 4.625%, 1/17/2031 | | | 100,000 | 108,142 |
| Commerzbank AG, 4.875% to 10/16/2029, FLR (EUR ICE Swap Rate - 5yr. + 2.15%) to 10/16/2034 | | | 300,000 | 315,303 |
| Credit Mutuel Arkea S.A., 3.625%, 10/03/2033 | | | 300,000 | 315,536 |
| Deutsche Bank AG, 6.125% to 12/12/2029, FLR (SONIA + 2.621%) to 12/12/2030 | | GBP | 300,000 | 372,293 |
| Deutsche Bank AG, 4% to 6/24/2027, FLR (EUR ICE Swap Rate - 5yr. + 3.3%) to 6/24/2032 | | EUR | 300,000 | 307,621 |
| Intesa Sanpaolo S.p.A., 7.2%, 11/28/2033 (n) | | $ | 529,000 | 552,820 |
| KBC Group N.V., 3.75%, 3/27/2032 | | EUR | 400,000 | 425,043 |
| KBC Group N.V., 6.151% to 3/19/2029, FLR (GBP Government Yield - 5yr. + 2.25%) to 3/19/2034 | | GBP | 200,000 | 247,079 |
| M&T Bank Corp., 4.553% to 8/16/2027, FLR (SOFR - 1 day + 1.78%) to 8/16/2028 | | $ | 180,000 | 169,667 |
| M&T Bank Corp., 6.082% to 3/13/2031, FLR (SOFR - 1 day + 2.26%) to 3/13/2032 | | | 166,000 | 162,185 |
| Macquarie Group Ltd., 6.255% to 12/07/2033, FLR (SOFR - 1 day + 2.303%) to 12/07/2034 (n) | | | 302,000 | 305,987 |
| Manufacturers and Traders Trust Co., 4.7%, 1/27/2028 | | | 359,000 | 339,875 |
| Truist Financial Corp., 5.435% to 1/24/2029, FLR (SOFR - 1 day + 1.62%) to 1/24/2030 | | | 239,000 | 234,118 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Other Banks & Diversified Financials – continued |
| Truist Financial Corp., 5.711% to 1/24/2034, FLR (SOFR - 1 day + 1.922%) to 1/24/2035 | | $ | 205,000 | $198,950 |
| | | | | $8,174,606 |
| Pharmaceuticals – 1.2% |
| 1375209 BC Ltd., 9%, 1/30/2028 (n) | | $ | 407,000 | $399,560 |
| AbbVie, Inc., 5.35%, 3/15/2044 | | | 226,000 | 218,560 |
| AbbVie, Inc., 5.4%, 3/15/2054 | | | 282,000 | 273,024 |
| Bausch Health Co., Inc., 11%, 9/30/2028 (n) | | | 416,000 | 324,684 |
| Bausch Health Co., Inc., 14%, 10/15/2030 (n) | | | 89,000 | 57,405 |
| Bayer US Finance LLC, 6.375%, 11/21/2030 (n) | | | 444,000 | 445,193 |
| Bristol-Myers Squibb Co., 5.5%, 2/22/2044 | | | 188,000 | 182,383 |
| Bristol-Myers Squibb Co., 5.55%, 2/22/2054 | | | 230,000 | 221,977 |
| Grifols S.A., 3.2%, 5/01/2025 | | EUR | 255,000 | 270,695 |
| Organon Finance 1 LLC, 4.125%, 4/30/2028 (n) | | $ | 380,000 | 346,088 |
| Organon Finance 1 LLC, 5.125%, 4/30/2031 (n) | | | 515,000 | 445,321 |
| Roche Finance Europe B.V., 3.564%, 5/03/2044 (w) | | EUR | 230,000 | 242,611 |
| | | | | $3,427,501 |
| Pollution Control – 1.0% |
| GFL Environmental, Inc., 4.25%, 6/01/2025 (n) | | $ | 92,000 | $90,665 |
| GFL Environmental, Inc., 4%, 8/01/2028 (n) | | | 641,000 | 580,993 |
| GFL Environmental, Inc., 3.5%, 9/01/2028 (n) | | | 179,000 | 160,905 |
| GFL Environmental, Inc., 4.75%, 6/15/2029 (n) | | | 176,000 | 162,358 |
| GFL Environmental, Inc., 4.375%, 8/15/2029 (n) | | | 285,000 | 257,240 |
| GFL Environmental, Inc., 6.75%, 1/15/2031 (n) | | | 337,000 | 339,724 |
| Stericycle, Inc., 3.875%, 1/15/2029 (n) | | | 817,000 | 725,940 |
| Waste Management, Inc., 4.625%, 2/15/2033 | | | 451,000 | 429,308 |
| | | | | $2,747,133 |
| Precious Metals & Minerals – 0.6% |
| Eldorado Gold Corp., 6.25%, 9/01/2029 (n) | | $ | 568,000 | $534,906 |
| IAMGOLD Corp., 5.75%, 10/15/2028 (n) | | | 720,000 | 665,605 |
| Northern Star Resources Ltd. Co., 6.125%, 4/11/2033 (n) | | | 439,000 | 433,210 |
| | | | | $1,633,721 |
| Printing & Publishing – 0.1% |
| Cimpress PLC, 7%, 6/15/2026 | | $ | 417,000 | $413,772 |
| Real Estate - Office – 0.4% |
| Boston Properties LP, REIT, 3.65%, 2/01/2026 | | $ | 363,000 | $348,198 |
| COPT Defense Property LP, REIT, 2.25%, 3/15/2026 | | | 298,000 | 279,309 |
| COPT Defense Property LP, REIT, 2%, 1/15/2029 | | | 197,000 | 164,070 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Real Estate - Office – continued |
| COPT Defense Property LP, REIT, 2.75%, 4/15/2031 | | $ | 346,000 | $277,960 |
| | | | | $1,069,537 |
| Real Estate - Other – 0.8% |
| EPR Properties, REIT, 3.6%, 11/15/2031 | | $ | 630,000 | $511,427 |
| Lexington Realty Trust Co., 2.7%, 9/15/2030 | | | 395,000 | 323,588 |
| RHP Hotel Properties, LP/RHP Finance Corp., 7.25%, 7/15/2028 (n) | | | 851,000 | 864,193 |
| XHR LP, REIT, 4.875%, 6/01/2029 (n) | | | 530,000 | 483,763 |
| | | | | $2,182,971 |
| Real Estate - Retail – 0.3% |
| STORE Capital Corp., REIT, 2.75%, 11/18/2030 | | $ | 316,000 | $252,281 |
| STORE Capital Corp., REIT, 2.7%, 12/01/2031 | | | 371,000 | 286,856 |
| WEA Finance LLC, 2.875%, 1/15/2027 (n) | | | 400,000 | 364,150 |
| | | | | $903,287 |
| Restaurants – 0.3% |
| 1011778 B.C. ULC / New Red Finance, Inc., 4%, 10/15/2030 (n) | | $ | 257,000 | $221,630 |
| Fertitta Entertainment LLC, 6.75%, 1/15/2030 (n) | | | 612,000 | 532,464 |
| | | | | $754,094 |
| Retailers – 1.6% |
| Alimentation Couche-Tard, Inc., 4.011%, 2/12/2036 | | EUR | 130,000 | $136,405 |
| Asbury Automotive Group, Inc., 4.625%, 11/15/2029 (n) | | $ | 480,000 | 434,023 |
| Home Depot, Inc., 4.875%, 2/15/2044 | | | 129,000 | 116,794 |
| Home Depot, Inc., 3.625%, 4/15/2052 | | | 379,000 | 273,844 |
| Lithia Motors, Inc., 3.875%, 6/01/2029 (n) | | | 558,000 | 492,847 |
| Macy's Retail Holdings LLC, 5.875%, 4/01/2029 (n) | | | 452,000 | 435,805 |
| Maxeda DIY Holding B.V., 5.875%, 10/01/2026 | | EUR | 310,000 | 257,476 |
| NMG Holding Co. Inc./Neiman Marcus Group LLC, 7.125%, 4/01/2026 (n) | | $ | 441,000 | 438,954 |
| Parkland Corp., 4.625%, 5/01/2030 (n) | | | 828,000 | 748,299 |
| Penske Automotive Group Co., 3.75%, 6/15/2029 | | | 761,000 | 668,877 |
| Victoria's Secret & Co., 4.625%, 7/15/2029 (n) | | | 374,000 | 293,839 |
| | | | | $4,297,163 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Specialty Chemicals – 0.3% |
| Covestro AG, 1.375%, 6/12/2030 | | EUR | 400,000 | $374,528 |
| International Flavors & Fragrances, Inc., 1.832%, 10/15/2027 (n) | | $ | 356,000 | 312,176 |
| International Flavors & Fragrances, Inc., 4.375%, 6/01/2047 | | | 320,000 | 235,348 |
| | | | | $922,052 |
| Specialty Stores – 0.8% |
| DICK'S Sporting Goods, 4.1%, 1/15/2052 | | $ | 642,000 | $435,625 |
| Michael Cos., Inc., 5.25%, 5/01/2028 (n) | | | 390,000 | 330,087 |
| Michael Cos., Inc., 7.875%, 5/01/2029 (n) | | | 371,000 | 271,837 |
| PetSmart, Inc./PetSmart Finance Corp., 7.75%, 2/15/2029 (n) | | | 815,000 | 774,644 |
| Richemont International S.A., 1.5%, 3/26/2030 | | EUR | 460,000 | 441,998 |
| | | | | $2,254,191 |
| Supermarkets – 0.5% |
| KeHE Distributors LLC/KeHE Finance Corp., 9%, 2/15/2029 (n) | | $ | 666,000 | $672,472 |
| Ocado Group PLC, 3.875%, 10/08/2026 | | GBP | 360,000 | 391,096 |
| Picard Bondco S.A., 5.375%, 7/01/2027 | | EUR | 382,000 | 389,325 |
| | | | | $1,452,893 |
| Supranational – 2.0% |
| European Union, 1.625%, 12/04/2029 | | EUR | 5,660,000 | $5,625,020 |
| Telecommunications - Wireless – 1.8% |
| Altice France S.A., 5.5%, 1/15/2028 (n) | | $ | 483,000 | $326,315 |
| Altice France S.A., 5.125%, 7/15/2029 (n) | | | 200,000 | 130,273 |
| American Tower Corp., 5.45%, 2/15/2034 | | | 464,000 | 450,796 |
| Cellnex Finance Co. S.A., 2%, 2/15/2033 | | EUR | 300,000 | 269,072 |
| Millicom International Cellular S.A., 4.5%, 4/27/2031 (n) | | $ | 625,000 | 521,564 |
| Rogers Communications, Inc., 3.8%, 3/15/2032 | | | 451,000 | 393,480 |
| SBA Communications Corp., 3.875%, 2/15/2027 | | | 512,000 | 481,176 |
| SBA Communications Corp., 3.125%, 2/01/2029 | | | 977,000 | 850,828 |
| Telefónica Celular del Paraguay S.A., 5.875%, 4/15/2027 (n) | | | 900,000 | 887,256 |
| T-Mobile USA, Inc., 3.875%, 4/15/2030 | | | 181,000 | 165,616 |
| T-Mobile USA, Inc., 5.75%, 1/15/2034 | | | 164,000 | 165,166 |
| Vodafone Group PLC, 5.625%, 2/10/2053 | | | 340,000 | 318,261 |
| | | | | $4,959,803 |
| Telephone Services – 0.2% |
| TELUS Corp., 2.85%, 11/13/2031 | | CAD | 825,000 | $512,217 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Tobacco – 0.3% |
| B.A.T. International Finance PLC, 4.125%, 4/12/2032 | | EUR | 800,000 | $833,936 |
| Transportation - Services – 1.3% |
| Aeroporti di Roma S.p.A., 4.875%, 7/10/2033 | | EUR | 380,000 | $427,095 |
| Autostrade per l’Italia S.p.A., 5.125%, 6/14/2033 | | | 170,000 | 188,990 |
| Autostrade per l'Italia S.p.A., 4.75%, 1/24/2031 | | | 280,000 | 304,893 |
| Element Fleet Management Corp., 6.271%, 6/26/2026 (n) | | $ | 306,000 | 307,604 |
| Element Fleet Management Corp., 6.319%, 12/04/2028 (n) | | | 274,000 | 278,072 |
| GXO Logistics, Inc., 6.25%, 5/06/2029 (w) | | | 327,000 | 327,372 |
| Heathrow Funding Ltd., 6%, 3/05/2032 | | GBP | 300,000 | 368,644 |
| Transurban Finance Co Pty Ltd., 3.974%, 3/12/2036 | | EUR | 200,000 | 210,480 |
| Transurban Finance Co. Pty Ltd., 4.225%, 4/26/2033 | | | 170,000 | 185,524 |
| Triton International Ltd., 3.15%, 6/15/2031 (n) | | $ | 486,000 | 389,473 |
| United Parcel Service, 5.05%, 3/03/2053 | | | 571,000 | 526,732 |
| | | | | $3,514,879 |
| U.S. Treasury Obligations – 2.9% |
| U.S. Treasury Bonds, 2.375%, 2/15/2042 (f) | | $ | 3,832,000 | $2,686,741 |
| U.S. Treasury Bonds, 4.375%, 8/15/2043 | | | 836,000 | 780,745 |
| U.S. Treasury Bonds, 3.625%, 5/15/2053 | | | 201,000 | 164,286 |
| U.S. Treasury Notes, 4.125%, 8/31/2030 (f) | | | 4,458,000 | 4,313,986 |
| | | | | $7,945,758 |
| Utilities - Electric Power – 5.6% |
| Adani Electricity Mumbai Ltd., 3.949%, 2/12/2030 (n) | | $ | 520,000 | $429,047 |
| Algonquin Power & Utilities Corp., 5.365%, 6/15/2026 | | | 157,000 | 155,360 |
| American Transmission Systems, Inc., 2.65%, 1/15/2032 (n) | | | 86,000 | 69,533 |
| Berkshire Hathaway Energy Co., 5.15%, 11/15/2043 | | | 94,000 | 87,075 |
| Berkshire Hathaway Energy Co., 4.6%, 5/01/2053 | | | 79,000 | 63,882 |
| Bruce Power LP, 2.68%, 12/21/2028 | | CAD | 750,000 | 496,183 |
| Calpine Corp., 4.5%, 2/15/2028 (n) | | $ | 854,000 | 797,523 |
| Calpine Corp., 5.125%, 3/15/2028 (n) | | | 442,000 | 419,266 |
| Clearway Energy Operating LLC, 4.75%, 3/15/2028 (n) | | | 453,000 | 426,884 |
| Clearway Energy Operating LLC, 3.75%, 2/15/2031 (n) | | | 1,184,000 | 1,000,972 |
| Clearway Energy Operating LLC, 3.75%, 1/15/2032 (n) | | | 146,000 | 120,890 |
| Duke Energy Corp., 3.75%, 4/01/2031 | | EUR | 560,000 | 586,178 |
| Duke Energy Florida LLC, 6.2%, 11/15/2053 | | $ | 287,000 | 298,907 |
| E.ON International Finance B.V., 5.875%, 10/30/2037 | | GBP | 550,000 | 693,703 |
| Enel Finance International N.V., 2.25%, 7/12/2031 (n) | | $ | 484,000 | 388,926 |
| Enel Finance International N.V., 3.875%, 1/23/2035 | | EUR | 460,000 | 481,143 |
| Enel Finance International N.V., 4.5%, 2/20/2043 | | | 230,000 | 245,545 |
| ENGIE Energia Chile S.A., 6.375%, 4/17/2034 (n) | | $ | 200,000 | 197,720 |
| EPH Financing International A.S., 6.651%, 11/13/2028 | | EUR | 574,000 | 629,473 |
| Eversource Energy, 5.5%, 1/01/2034 | | $ | 289,000 | 278,181 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Utilities - Electric Power – continued |
| Georgia Power Co., 4.95%, 5/17/2033 | | $ | 404,000 | $384,610 |
| Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | | | 186,000 | 151,069 |
| Listrindo Capital B.V., 4.95%, 9/14/2026 | | | 910,000 | 872,298 |
| Mercury Chile Holdco LLC, 6.5%, 1/24/2027 | | | 448,000 | 430,413 |
| National Grid PLC, 4.275%, 1/16/2035 | | EUR | 200,000 | 215,429 |
| NextEra Energy, Inc., 4.25%, 9/15/2024 (n) | | $ | 107,000 | 105,513 |
| NextEra Energy, Inc., 4.5%, 9/15/2027 (n) | | | 735,000 | 684,848 |
| NextEra Energy, Inc., 7.25%, 1/15/2029 (n) | | | 611,000 | 618,875 |
| Pacific Gas & Electric Co., 6.1%, 1/15/2029 | | | 266,000 | 268,167 |
| Pacific Gas & Electric Co., 6.4%, 6/15/2033 | | | 218,000 | 221,820 |
| PPL Electric Utilities Corp, 1st Mortgage, 5.25%, 5/15/2053 | | | 512,000 | 478,395 |
| Star Energy Geothermal (Wayang Windu) Ltd., 6.75%, 4/24/2033 | | | 672,597 | 663,230 |
| TerraForm Global Operating LLC, 6.125%, 3/01/2026 (n) | | | 565,000 | 556,614 |
| TerraForm Power Operating LLC, 5%, 1/31/2028 (n) | | | 673,000 | 628,024 |
| TerraForm Power Operating LLC, 4.75%, 1/15/2030 (n) | | | 541,000 | 482,209 |
| Xcel Energy, Inc., 4.6%, 6/01/2032 | | | 237,000 | 217,458 |
| Xcel Energy, Inc., 5.5%, 3/15/2034 | | | 483,000 | 465,781 |
| | | | | $15,311,144 |
| Utilities - Gas – 0.7% |
| EP Infrastructure A.S., 1.698%, 7/30/2026 | | EUR | 560,000 | $548,261 |
| EP Infrastructure A.S., 2.045%, 10/09/2028 | | | 1,260,000 | 1,166,864 |
| EP Infrastructure A.S., 1.816%, 3/02/2031 | | | 168,000 | 142,730 |
| | | | | $1,857,855 |
| Utilities - Other – 0.3% |
| Aegea Finance S.à r.l., 9%, 1/20/2031 (n) | | $ | 448,000 | $468,807 |
| United Utilities Water Finance PLC, 3.75%, 5/23/2034 | | EUR | 280,000 | 288,657 |
| | | | | $757,464 |
| Total Bonds (Identified Cost, $373,735,156) | | $352,812,442 |
| Exchange-Traded Funds – 0.9% |
| Special Products & Services – 0.9% | |
| Invesco Senior Loan Fund ETF (Identified Cost, $2,519,958) | | 119,092 | $2,506,887 |
| Common Stocks – 0.2% |
| Cable TV – 0.1% | |
| Intelsat Emergence S.A. (a) | | 7,354 | $261,067 |
| Oil Services – 0.1% | |
| LTRI Holdings LP (a)(u) | | 520 | $188,006 |
| Total Common Stocks (Identified Cost, $805,649) | | $449,073 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Convertible Bonds – 0.1% |
| Utilities - Electric Power – 0.1% | |
| Pacific Gas and Electric Corp., 4.25%, 12/01/2027 (n) (Identified Cost, $241,000) | | $ | 241,000 | $241,361 |
| | Strike
Price | First
Exercise | | |
| Warrants – 0.0% | | | | |
| Other Banks & Diversified Financials – 0.0% |
| Avation Capital S.A. (1 share for 1 warrant, Expiration 10/31/26) (a) (Identified Cost, $0) | GBP 1.14 | N/A | 7,000 | $1,312 |
| | | | | |
| Investment Companies (h) – 4.4% |
| Money Market Funds – 4.4% | |
| MFS Institutional Money Market Portfolio, 5.38% (v) (Identified Cost, $12,207,827) | | | 12,207,778 | $12,207,778 |
Portfolio of Investments (unaudited) – continued
| Underlying/Expiration Date/Exercise Price | Put/Call | Counterparty | Notional
Amount | Par Amount/
Number of
Contracts | Value ($) |
| Purchased Options – 0.0% | |
| Market Index Securities – 0.0% | |
| iTraxx Europe Crossover Series 40 Index Credit Default Swap – Fund receives 5%, Fund pays notional amount upon a defined credit event of an index constituent – May 2024 @ 3% | Call | Merrill Lynch International | $ 25,722,276 | EUR 22,450,000 | $10,806 |
| iTraxx Europe Crossover Series 41 Index Credit Default Swap – Fund pays 5%, Fund receives notional amount upon a defined credit event of an index constituent – September 2024 @ 3.75% | Put | BNP Paribas S.A. | 6,296,864 | 5,450,000 | 66,028 |
| iTraxx Europe Crossover Series 41 Index Credit Default Swap – Fund pays 5%, Fund receives notional amount upon a defined credit event of an index constituent – September 2024 @ 3.75% | Put | Goldman Sachs International | 6,296,864 | 5,450,000 | 66,028 |
Total Purchased Options
(Premiums Paid, $252,959) | | $142,862 |
|
|
| Other Assets, Less Liabilities – (33.6)% | | (92,632,418) |
| Net Assets – 100.0% | $275,729,297 |
| (a) | Non-income producing security. | | | |
| (d) | In default. | | | |
| (f) | All or a portion of the security has been segregated as collateral for open futures contracts and cleared swap agreements. | | | |
| (h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $12,207,778 and $356,153,937, respectively. | | | |
| (i) | Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security. | | | |
Portfolio of Investments (unaudited) – continued
| (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 $190,080,420, representing 68.9% of net assets. | | | |
| (p) | Payment-in-kind (PIK) security for which interest income may be received in additional securities and/or cash. | | | |
| (u) | The security was valued using significant unobservable inputs and is considered level 3 under the fair value hierarchy. For further information about the fund’s level 3 holdings, please see Note 2 in the Notes to Financial Statements. | | | |
| (v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. | | | |
| (w) | When-issued security. | | | |
| The following abbreviations are used in this report and are defined: |
| AGM | Assured Guaranty Municipal |
| BZDIOVRA | Brazil Interbank Deposit Rate |
| CDI | Interbank Deposit Certificates |
| CDO | Collateralized Debt Obligation |
| CLO | Collateralized Loan Obligation |
| CMT | Constant Maturity Treasury |
| ETF | Exchange-Traded Fund |
| EURIBOR | Euro Interbank Offered Rate |
| FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
| ICE | Intercontinental Exchange |
| NPFG | National Public Finance Guarantee Corp. |
| REIT | Real Estate Investment Trust |
| SOFR | Secured Overnight Financing Rate |
| SONIA | Sterling Overnight Index Average |
| 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 |
| CNH | Chinese Yuan Renminbi (Offshore) |
| CZK | Czech Koruna |
| EUR | Euro |
| GBP | British Pound |
| IDR | Indonesian Rupiah |
| JPY | Japanese Yen |
| KRW | South Korean Won |
| MXN | Mexican Peso |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| PEN | Peruvian Nuevo Sol |
| SEK | Swedish Krona |
| THB | Thai Baht |
| UYU | Uruguayan Peso |
Portfolio of Investments (unaudited) – continued
Derivative Contracts at 4/30/24
| Forward Foreign Currency Exchange Contracts |
Currency
Purchased | Currency
Sold | Counterparty | Settlement
Date | Unrealized
Appreciation
(Depreciation) |
| Asset Derivatives |
| CAD | 1,623,778 | USD | 1,180,029 | State Street Bank Corp. | 7/19/2024 | $1,045 |
| CZK | 14,308,287 | USD | 601,328 | Deutsche Bank AG | 7/19/2024 | 6,066 |
| EUR | 426,980 | USD | 456,170 | Barclays Bank PLC | 7/19/2024 | 1,012 |
| EUR | 1,112,374 | USD | 1,189,028 | Deutsche Bank AG | 7/19/2024 | 2,029 |
| EUR | 458,609 | USD | 490,219 | HSBC Bank | 7/19/2024 | 829 |
| EUR | 31,050 | USD | 33,158 | Merrill Lynch International | 7/19/2024 | 89 |
| EUR | 72,076 | USD | 77,155 | Morgan Stanley Capital Services, Inc. | 7/19/2024 | 19 |
| EUR | 1,492,591 | USD | 1,593,352 | NatWest Markets PLC | 7/19/2024 | 4,816 |
| EUR | 21,450 | USD | 22,959 | State Street Bank Corp. | 7/19/2024 | 8 |
| GBP | 258,751 | USD | 322,255 | State Street Bank Corp. | 7/19/2024 | 1,206 |
| USD | 2,819,481 | AUD | 4,299,964 | Barclays Bank PLC | 7/19/2024 | 27,645 |
| USD | 9,837,262 | AUD | 15,054,575 | HSBC Bank | 7/19/2024 | 62,787 |
| USD | 89,366 | BRL | 462,737 | Citibank N.A. | 5/03/2024 | 251 |
| USD | 89,473 | BRL | 462,737 | Goldman Sachs International | 5/03/2024 | 358 |
| USD | 1,627,315 | BRL | 8,489,540 | Goldman Sachs International | 7/02/2024 | 2,073 |
| USD | 2,871,773 | CAD | 3,923,695 | State Street Bank Corp. | 7/19/2024 | 17,830 |
| USD | 1,420,343 | CHF | 1,278,739 | Citibank N.A. | 7/19/2024 | 17,072 |
| USD | 419,643 | CHF | 379,592 | HSBC Bank | 7/19/2024 | 3,084 |
| USD | 161,214 | EUR | 149,996 | BNP Paribas S.A. | 7/19/2024 | 609 |
| USD | 873,504 | EUR | 805,433 | Brown Brothers Harriman | 7/19/2024 | 11,100 |
| USD | 585,366 | EUR | 543,090 | HSBC Bank | 7/19/2024 | 3,862 |
| USD | 421,105 | EUR | 391,763 | JPMorgan Chase Bank N.A. | 7/19/2024 | 1,630 |
| USD | 108,848 | EUR | 99,849 | Morgan Stanley Capital Services, Inc. | 7/19/2024 | 1,936 |
| USD | 478,993 | EUR | 439,380 | NatWest Markets PLC | 7/19/2024 | 8,534 |
| USD | 2,695,246 | EUR | 2,509,399 | State Street Bank Corp. | 7/19/2024 | 8,346 |
| USD | 639,940 | EUR | 594,834 | UBS AG | 7/19/2024 | 3,031 |
| USD | 90,842 | GBP | 72,635 | Brown Brothers Harriman | 7/19/2024 | 43 |
| USD | 12,640 | IDR | 199,289,571 | Barclays Bank PLC | 5/06/2024 | 384 |
| USD | 12,232 | IDR | 199,289,571 | Citibank N.A. | 8/05/2024 | 3 |
| USD | 1,329,421 | JPY | 207,167,441 | Morgan Stanley Capital Services, Inc. | 7/19/2024 | 264 |
| USD | 5,948,158 | KRW | 7,997,773,980 | Barclays Bank PLC | 6/28/2024 | 144,539 |
| USD | 7,140,473 | MXN | 121,091,527 | State Street Bank Corp. | 7/19/2024 | 157,738 |
| USD | 141,954 | NZD | 237,711 | State Street Bank Corp. | 7/19/2024 | 1,882 |
| USD | 44,767 | SEK | 479,871 | Deutsche Bank AG | 7/19/2024 | 1,068 |
| USD | 689,292 | SEK | 7,557,924 | Morgan Stanley Capital Services, Inc. | 7/19/2024 | 1,028 |
| USD | 158,233 | THB | 5,732,624 | Barclays Bank PLC | 6/28/2024 | 3,670 |
| USD | 1,240,921 | THB | 45,037,646 | JPMorgan Chase Bank N.A. | 6/28/2024 | 26,613 |
| | | | | | | $524,499 |
Portfolio of Investments (unaudited) – continued
| Forward Foreign Currency Exchange Contracts - continued |
Currency
Purchased | Currency
Sold | Counterparty | Settlement
Date | Unrealized
Appreciation
(Depreciation) |
| Liability Derivatives |
| AUD | 589,561 | USD | 383,184 | Goldman Sachs International | 7/19/2024 | $(400) |
| AUD | 1,864,576 | USD | 1,218,388 | HSBC Bank | 7/19/2024 | (7,776) |
| BRL | 462,737 | USD | 89,473 | Citibank N.A. | 5/03/2024 | (358) |
| BRL | 462,737 | USD | 88,861 | Citibank N.A. | 7/02/2024 | (275) |
| BRL | 462,737 | USD | 93,147 | Goldman Sachs International | 5/03/2024 | (4,032) |
| CHF | 390,729 | USD | 431,955 | HSBC Bank | 7/19/2024 | (3,174) |
| CZK | 16,215,697 | USD | 688,565 | Merrill Lynch International | 7/19/2024 | (201) |
| EUR | 595,000 | USD | 648,610 | HSBC Bank | 7/19/2024 | (11,523) |
| EUR | 415,070 | USD | 444,906 | Morgan Stanley Capital Services, Inc. | 7/19/2024 | (476) |
| EUR | 296,052 | USD | 317,115 | State Street Bank Corp. | 7/19/2024 | (122) |
| GBP | 254,582 | USD | 319,535 | State Street Bank Corp. | 7/19/2024 | (1,286) |
| IDR | 199,289,571 | USD | 12,270 | Citibank N.A. | 5/06/2024 | (14) |
| JPY | 208,025,625 | USD | 1,376,784 | JPMorgan Chase Bank N.A. | 7/19/2024 | (42,121) |
| KRW | 727,555,847 | USD | 530,207 | Barclays Bank PLC | 6/28/2024 | (2,253) |
| MXN | 122,643,868 | USD | 7,099,806 | UBS AG | 7/19/2024 | (27,556) |
| NOK | 7,581,380 | USD | 701,901 | Brown Brothers Harriman | 7/19/2024 | (18,096) |
| NOK | 29,544,445 | USD | 2,718,463 | HSBC Bank | 7/19/2024 | (53,693) |
| NZD | 4,933,501 | USD | 2,959,553 | Deutsche Bank AG | 7/19/2024 | (52,482) |
| PEN | 140,575 | USD | 38,027 | Goldman Sachs International | 7/26/2024 | (720) |
| SEK | 590,731 | USD | 55,110 | Deutsche Bank AG | 7/19/2024 | (1,315) |
| USD | 1,489,668 | BRL | 7,811,000 | JPMorgan Chase Bank N.A. | 7/02/2024 | (5,674) |
| USD | 2,936,184 | CAD | 4,040,336 | State Street Bank Corp. | 7/19/2024 | (2,599) |
| USD | 2,800,873 | CNH | 20,279,721 | State Street Bank Corp. | 7/19/2024 | (5,317) |
| USD | 3,338,182 | CZK | 78,885,577 | Barclays Bank PLC | 7/19/2024 | (10,552) |
| USD | 562,321 | EUR | 527,151 | HSBC Bank | 7/19/2024 | (2,118) |
| USD | 55,022,836 | EUR | 51,521,781 | JPMorgan Chase Bank N.A. | 7/19/2024 | (143,298) |
| USD | 546,178 | EUR | 511,000 | NatWest Markets PLC | 7/19/2024 | (967) |
| USD | 97,267 | EUR | 91,004 | State Street Bank Corp. | 7/19/2024 | (174) |
| USD | 215,326 | EUR | 201,250 | UBS AG | 7/19/2024 | (159) |
| USD | 6,240,429 | GBP | 5,009,476 | BNP Paribas S.A. | 7/19/2024 | (21,851) |
| | | | | | | $(420,582) |
| Futures Contracts |
| Description | Long/
Short | Currency | Contracts | Notional
Amount | Expiration
Date | Value/Unrealized
Appreciation
(Depreciation) |
| Asset Derivatives |
| Interest Rate Futures | | |
| Australian Bond 10 yr | Short | AUD | 49 | $3,571,965 | June – 2024 | $119,452 |
| Euro-Bobl 5 yr | Short | EUR | 35 | 4,348,896 | June – 2024 | 50,349 |
| Euro-Bund 10 yr | Short | EUR | 62 | 8,606,930 | June – 2024 | 133,606 |
| Euro-Buxl 30 yr | Short | EUR | 2 | 275,167 | June – 2024 | 9,302 |
| Euro-Schatz 2 yr | Short | EUR | 248 | 27,819,016 | June – 2024 | 149,095 |
Portfolio of Investments (unaudited) – continued
| Futures Contracts - continued |
| Description | Long/
Short | Currency | Contracts | Notional
Amount | Expiration
Date | Value/Unrealized
Appreciation
(Depreciation) |
| Asset Derivatives - continued |
| Interest Rate Futures - continued |
| Long Gilt 10 yr | Short | GBP | 27 | $3,231,412 | June – 2024 | $70,087 |
| U.S. Treasury Note 10 yr | Short | USD | 12 | 1,289,250 | June – 2024 | 31,831 |
| U.S. Treasury Note 5 yr | Short | USD | 210 | 21,995,859 | June – 2024 | 329,629 |
| U.S. Treasury Ultra Note 10 yr | Short | USD | 42 | 4,629,187 | June – 2024 | 119,223 |
| | | | | | | $1,012,574 |
| Liability Derivatives |
| Interest Rate Futures | | |
| U.S. Treasury Bond 30 yr | Long | USD | 48 | $5,463,000 | June – 2024 | $(235,670) |
| U.S. Treasury Note 2 yr | Long | USD | 128 | 25,940,000 | June – 2024 | (28,195) |
| U.S. Treasury Ultra Bond 30 yr | Long | USD | 4 | 478,250 | June – 2024 | (15,562) |
| | | | | | | $(279,427) |
Portfolio of Investments (unaudited) – continued
| Cleared Swap Agreements |
Maturity
Date | Notional
Amount | Counterparty | Cash Flows
to Receive/
Frequency | Cash Flows
to Pay/
Frequency | Unrealized
Appreciation
(Depreciation) | | Net Unamortized
Upfront Payments
(Receipts) | | Value |
| Liability Derivatives | | | | | |
| Interest Rate Swaps | | | | | |
| 1/04/27 | BRL | 4,800,000 | centrally cleared | 10.3625% / At Maturity | Average Daily BZDIOVRA / At Maturity | $(19,480) | | $— | | $(19,480) |
| 1/03/28 | BRL | 9,400,000 | centrally cleared | 10.63% / At Maturity | Average Daily BZDIOVRA / At Maturity | (29,727) | | 5,058 | | (24,669) |
| | | | | | | $(49,207) | | $5,058 | | $(44,149) |
| Uncleared Swap Agreements |
Maturity
Date | Notional
Amount | Counterparty | Cash Flows
to Receive/
Frequency | Cash Flows
to Pay/
Frequency | Unrealized
Appreciation
(Depreciation) | | Net Unamortized
Upfront Payments
(Receipts) | | Value |
| Asset Derivatives | | | | | |
| Credit Default Swaps | | | | | |
| 6/20/28 | EUR | 560,000 | Barclays Bank PLC | 5.00% / Quarterly | 1 | $35,734 | | $63,698 | | $99,432 |
| (1) | Fund, as protection seller, to pay notional amount upon a defined credit event by Glencore PLC, 1.75%, 3/17/25, a BBB+ rated bond. The fund entered into the contract to gain issuer exposure. |
The credit ratings presented here are an indicator of the current payment/performance risk of the related swap agreement, the reference obligation for which may be either a single security or, in the case of a credit default swap index, a basket of securities issued by corporate or sovereign issuers. Ratings are assigned to each reference security, including each individual security within a reference basket of securities, utilizing ratings from Moody's, Fitch, and Standard & Poor's rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). The ratings for a credit default swap index are calculated by MFS as a weighted average of the external credit ratings of the individual securities that compose the index's reference basket of securities.
Portfolio of Investments (unaudited) – continued
At April 30, 2024, the fund had cash collateral of $320,000 and other liquid securities with an aggregate value of $1,257,347 to cover any collateral or margin obligations for certain derivative contracts. Restricted cash and/or deposits with brokers in the Statement of Assets and Liabilities are comprised of cash collateral.
See Notes to Financial Statements
Financial Statements
Statement of Assets and Liabilities
At 4/30/24 (unaudited)
This statement represents your fund’s balance sheet, which details the assets and liabilities comprising the total value of the fund.
| Assets | |
| Investments in unaffiliated issuers, at value (identified cost, $377,554,722) | $356,153,937 |
| Investments in affiliated issuers, at value (identified cost, $12,207,827) | 12,207,778 |
| Cash | 1,425,633 |
| Restricted cash for | |
| Forward foreign currency exchange contracts | 320,000 |
| Receivables for | |
| Forward foreign currency exchange contracts | 524,499 |
| Net daily variation margin on open futures contracts | 149,906 |
| Investments sold | 1,896,211 |
| Interest and dividends | 4,872,404 |
| Uncleared swaps, at value (net of unamortized premiums paid, $63,698) | 99,432 |
| Other assets | 37,085 |
| Total assets | $377,686,885 |
| Liabilities | |
| Notes payable | $95,000,000 |
| Payables for | |
| Distributions | 170,458 |
| Net daily variation margin on open cleared swap agreements | 8,071 |
| Forward foreign currency exchange contracts | 420,582 |
| Investments purchased | 1,517,138 |
| When-issued investments purchased | 4,237,019 |
| Capital shares reacquired | 182,386 |
| Payable to affiliates | |
| Investment adviser | 12,126 |
| Administrative services fee | 272 |
| Transfer agent and dividend disbursing costs | 2,804 |
| Payable for independent Trustees' compensation | 2,909 |
| Accrued interest expense | 149,992 |
| Deferred foreign capital gains tax expense payable | 130,751 |
| Accrued expenses and other liabilities | 123,080 |
| Total liabilities | $101,957,588 |
| Net assets | $275,729,297 |
Statement of Assets and Liabilities (unaudited) – continued
| Net assets consist of | |
| Paid-in capital | $340,177,874 |
| Total distributable earnings (loss) | (64,448,577) |
| Net assets | $275,729,297 |
| Shares of beneficial interest outstanding (55,550,251 shares issued less 127,013 capital shares to be retired) (unlimited number of shares authorized) | 55,423,238 |
| Net asset value per share (net assets of $275,729,297 / 55,423,238 shares of beneficial interest outstanding) | $4.97 |
See Notes to Financial Statements
Financial Statements
Statement of Operations
Six months ended 4/30/24 (unaudited)
This statement describes how much your fund earned in investment income and accrued in expenses. It also describes any gains and/or losses generated by fund operations.
| Net investment income (loss) | |
| Income | |
| Interest | $11,281,627 |
| Dividends from affiliated issuers | 155,281 |
| Dividends | 38,137 |
| Other | 29 |
| Total investment income | $11,475,074 |
| Expenses | |
| Management fee | $1,103,568 |
| Transfer agent and dividend disbursing costs | 46,913 |
| Administrative services fee | 24,977 |
| Independent Trustees' compensation | 7,907 |
| Stock exchange fee | 28,320 |
| Custodian fee | 24,152 |
| Shareholder communications | 71,145 |
| Audit and tax fees | 49,712 |
| Legal fees | 3,511 |
| Interest expense and fees | 3,093,575 |
| Miscellaneous | 27,152 |
| Total expenses | $4,480,932 |
| Net investment income (loss) | $6,994,142 |
Statement of Operations (unaudited) – continued
| Realized and unrealized gain (loss) |
| Realized gain (loss) (identified cost basis) | |
| Unaffiliated issuers | $(933,723) |
| Affiliated issuers | (989) |
| Futures contracts | 528,944 |
| Swap agreements | 104,478 |
| Forward foreign currency exchange contracts | (994,963) |
| Foreign currency | (40,424) |
| Net realized gain (loss) | $(1,336,677) |
| Change in unrealized appreciation or depreciation | |
| Unaffiliated issuers | $22,887,260 |
| Affiliated issuers | (25) |
| Futures contracts | 328,559 |
| Swap agreements | 29,807 |
| Forward foreign currency exchange contracts | (373,647) |
| Translation of assets and liabilities in foreign currencies | 20,650 |
| Net unrealized gain (loss) | $22,892,604 |
| Net realized and unrealized gain (loss) | $21,555,927 |
| Change in net assets from operations | $28,550,069 |
See Notes to Financial Statements
Financial Statements
Statements of Changes in Net Assets
These statements describe the increases and/or decreases in net assets resulting from operations, any distributions, and any shareholder transactions.
| | Six months ended | Year ended |
| | 4/30/24
(unaudited) | 10/31/23 |
| Change in net assets | | |
| From operations | | |
| Net investment income (loss) | $6,994,142 | $14,966,204 |
| Net realized gain (loss) | (1,336,677) | (23,619,052) |
| Net unrealized gain (loss) | 22,892,604 | 26,649,339 |
| Change in net assets from operations | $28,550,069 | $17,996,491 |
| Distributions to shareholders | $(7,009,808) | $(13,436,563) |
| Tax return of capital distributions to shareholders | $— | $(9,565,816) |
| Distributions from other sources | $(4,107,119) | $— |
| Change in net assets from fund share transactions | $(6,158,716) | $(12,353,266) |
| Total change in net assets | $11,274,426 | $(17,359,154) |
| Net assets | | |
| At beginning of period | 264,454,871 | 281,814,025 |
| At end of period | $275,729,297 | $264,454,871 |
See Notes to Financial Statements
Financial Statements
Statement of Cash Flows
Six months ended 4/30/24 (unaudited)
This statement provides a summary of cash flows from investment activity for the fund.
| Cash flows from operating activities: | |
| Change in net assets from operations | $28,550,069 |
| Adjustments to reconcile change in net assets from operations to net cash provided by operating activities: | |
| Purchase of investment securities | (145,544,127) |
| Proceeds from disposition of investment securities | 165,234,597 |
| Purchase of short-term investments, net | (6,462,521) |
| Realized gain/loss on investments | 933,723 |
| Unrealized appreciation/depreciation on investments | (22,887,235) |
| Unrealized appreciation/depreciation on foreign currency contracts | 373,647 |
| Unrealized appreciation/depreciation on swaps | (29,807) |
| Net amortization/accretion of income | (1,020,017) |
| Amortization of debt issuance costs | 36,532 |
| Decrease in interest and dividend receivable | 334,059 |
| Decrease in accrued expenses and other liabilities | (102,391) |
| Increase in receivable for net daily variation margin on open futures contracts | (81,244) |
| Increase in other assets | (10,309) |
| Decrease in interest payable | (84,041) |
| Net cash provided by operating activities | $19,240,935 |
| Cash flows from financing activities: | |
| Adjustment for debt issuance costs | $10,397 |
| Distributions paid in cash | (11,111,551) |
| Repurchase of shares of beneficial interest | (6,421,137) |
| Decrease in payable to custodian | (3,024) |
| Net cash used by financing activities | $(17,525,315) |
| Net increase in cash and restricted cash | $1,715,620 |
| Cash and restricted cash: | |
| Beginning of period (including foreign currency of $13) | $30,013 |
| End of period | $1,745,633 |
Supplemental disclosure of cash flow information:
Cash paid during the six months ended April 30, 2024 for interest was $3,141,084.
See Notes to Financial Statements
Financial Statements
Financial Highlights
The financial highlights table is intended to help you understand the fund's financial performance for the semiannual period and the past 5 fiscal years. Certain information reflects financial results for a single fund share. The total returns in the table represent the rate that an investor would have earned (or lost) on an investment in the fund share class (assuming reinvestment of all distributions) held for the entire period.
| | Six months
ended | Year ended |
| | 4/30/24
(unaudited) | 10/31/23 | 10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 |
| Net asset value, beginning of period | $4.66 | $4.73 | $6.12 | $6.19 | $6.37 | $6.06 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.12 | $0.26 | $0.25 | $0.28 | $0.29 | $0.28 |
| Net realized and unrealized gain (loss) | 0.38 | 0.04 | (1.21) | 0.15 | (0.01) | 0.50 |
| Total from investment operations | $0.50 | $0.30 | $(0.96) | $0.43 | $0.28 | $0.78 |
| Less distributions declared to shareholders |
| From net investment income | $(0.13) | $(0.23) | $(0.39) | $(0.30) | $(0.34) | $(0.29) |
| From tax return of capital | — | (0.16) | (0.05) | (0.20) | (0.15) | (0.21) |
| From other sources | (0.07) | — | — | — | — | — |
| Total distributions declared to shareholders | $(0.20) | $(0.39) | $(0.44) | $(0.50) | $(0.49) | $(0.50) |
| Net increase from repurchase of capital shares | $0.01 | $0.02 | $0.01 | $— | $0.03 | $0.03 |
| Net asset value, end of period (x) | $4.97 | $4.66 | $4.73 | $6.12 | $6.19 | $6.37 |
| Market value, end of period | $4.54 | $4.22 | $4.32 | $6.58 | $5.67 | $6.01 |
| Total return at market value (%) | 12.31(n) | 6.53 | (28.43) | 25.80 | 2.77 | 25.05 |
| Total return at net asset value (%) (j)(s)(x) | 11.34(n) | 7.44 | (15.74) | 7.18 | 5.86 | 14.60 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses | 3.21(a) | 2.92 | 1.40 | 1.01 | 1.17 | 1.56 |
| Net investment income (loss) | 5.01(a) | 5.21 | 4.57 | 4.40 | 4.63 | 4.54 |
| Portfolio turnover | 39(n) | 67 | 56 | 70 | 78 | 65 |
| Net assets at end of period (000 omitted) | $275,729 | $264,455 | $281,814 | $369,818 | $372,635 | $407,859 |
| Supplemental Ratios (%): |
| Ratios of expenses to average net assets excluding interest expense and fees | 0.99(a) | 0.99 | 0.86 | 0.81 | 0.84 | 0.84 |
| Senior Securities: |
| Total notes payable outstanding (000 omitted) | $95,000 | $95,000 | $100,000 | $100,000 | $100,000 | $100,000 |
| Asset coverage per $1,000 of indebtedness (k) | $3,902 | $3,784 | $3,818 | $4,698 | $4,726 | $5,079 |
See Notes to Financial Statements
Financial Highlights – continued
| (a) | Annualized. |
| (d) | Per share data is based on average shares outstanding. |
| (j) | Total return at net asset value is calculated using the net asset value of the fund, not the publicly traded price and therefore may be different than the total return at market value. |
| (k) | Calculated by subtracting the fund's total liabilities (not including notes payable) from the fund's total assets and dividing this number by the notes payable outstanding and then multiplying by 1,000. |
| (n) | Not annualized. |
| (s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
| (x) | The net asset values and total returns at net asset value have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
See Notes to Financial Statements
Notes to Financial Statements
(unaudited)
(1) Business and Organization
MFS Multimarket Income Trust (the fund) is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as a diversified closed-end management investment company.
The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies.
(2) Significant Accounting Policies
General — The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. In the preparation of these financial statements, management has evaluated subsequent events occurring after the date of the fund’s Statement of Assets and Liabilities through the date that the financial statements were issued. The fund invests in high-yield securities rated below investment grade. Investments in below investment grade quality securities can involve a substantially greater risk of default or can already be in default, and their values can decline significantly. Below investment grade quality securities tend to be more sensitive to adverse news about the issuer, or the market or economy in general, than higher quality debt instruments. The fund invests in foreign securities, including securities of emerging market issuers. Investments in foreign securities are vulnerable to the effects of changes in the relative values of the local currency and the U.S. dollar and to the effects of changes in each country’s market, economic, industrial, political, regulatory, geopolitical, environmental, public health, and other conditions. Investments in emerging markets can involve additional and greater risks than the risks associated with investments in developed foreign markets. Emerging markets can have less developed markets, greater custody and operational risk, less developed legal, regulatory, accounting, and auditing systems, greater government involvement in the economy, greater risk of new or inconsistent government treatment of or restrictions on issuers and instruments, and greater political, social, and economic instability than developed markets.
Balance Sheet Offsetting — The fund's accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the International Swaps and Derivatives Association (ISDA) Master Agreement, or similar agreement, does not result in an offset of reported amounts of financial assets and financial liabilities in the Statement of Assets and Liabilities across transactions between the fund and the applicable counterparty. The fund's right to setoff may be restricted or prohibited by the bankruptcy or insolvency laws of the particular jurisdiction to which a specific master netting agreement counterparty is subject. Balance sheet offsetting disclosures, to the extent applicable to the fund, have been included in the fund’s Significant Accounting Policies note under the captions for each of the fund’s in-scope financial instruments and transactions.
Notes to Financial Statements (unaudited) - continued
Investment Valuations — Subject to its oversight, the fund's Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments to MFS as the fund's adviser, pursuant to the fund’s valuation policy and procedures which have been adopted by the adviser and approved by the Board. In accordance with Rule 2a-5 under the Investment Company Act of 1940, the Board of Trustees designated the adviser as the “valuation designee” of the fund. If the adviser, as valuation designee, determines that reliable market quotations are not readily available for an investment, the investment is valued at fair value as determined in good faith by the adviser in accordance with the adviser’s fair valuation policy and procedures.
Under the fund's valuation policy and procedures, equity securities, including restricted equity securities, are generally valued at the last sale or official closing price on their primary market or exchange as provided by a third-party pricing service. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation on their primary market or exchange as provided by a third-party pricing service. Debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value.
Exchange-traded options are generally valued at the last sale or official closing price on their primary exchange as provided by a third-party pricing service. Exchange-traded options for which there were no sales reported that day are generally valued at the last daily bid quotation on their primary exchange as provided by a third-party pricing service. For put options, the position may be valued at the last daily ask quotation if there are no trades reported during the day. Options not traded on an exchange are generally valued at a broker/dealer bid quotation. Foreign currency options are generally valued at valuations provided by a third-party pricing service. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party pricing service.
Forward foreign currency exchange contracts are generally valued at the mean of bid and asked prices for the time period interpolated from rates provided by a third-party pricing service for proximate time periods. Swap agreements are generally valued using valuations provided by a third-party pricing service, which for cleared swaps includes an evaluation of any trading activity at the clearinghouses. Open-end investment companies are generally valued at net asset value per share. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.
Under the fund’s valuation policy and procedures, market quotations are not considered to be readily available for debt instruments, floating rate loans, and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services or otherwise determined by the adviser in accordance with the adviser’s fair valuation policy and procedures. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. In determining values, third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, spreads and other
Notes to Financial Statements (unaudited) - continued
market data. An investment may also be valued at fair value if the adviser determines that the investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund’s net asset value, or after the halt of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. Events that occur after foreign markets close (such as developments in foreign markets and significant movements in the U.S. markets) and prior to the determination of the fund’s net asset value may be deemed to have a material effect on the value of securities traded in foreign markets. Accordingly, the fund’s foreign equity securities may often be valued at fair value. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.
Various inputs are used in determining the value of the fund's assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund's assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes significant unobservable inputs, which may include the adviser's own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts, forward foreign currency exchange contracts, and swap agreements. The following is a summary of the levels used as of April 30, 2024 in valuing the fund's assets and liabilities:
Notes to Financial Statements (unaudited) - continued
| Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
| Equity Securities: | | | | |
| United States | $2,506,887 | $— | $188,006 | $2,694,893 |
| Luxembourg | — | 261,067 | — | 261,067 |
| United Kingdom | — | 1,312 | — | 1,312 |
| U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 7,945,758 | — | 7,945,758 |
| Non - U.S. Sovereign Debt | — | 68,578,054 | — | 68,578,054 |
| Municipal Bonds | — | 1,510,416 | — | 1,510,416 |
| U.S. Corporate Bonds | — | 172,983,137 | — | 172,983,137 |
| Residential Mortgage-Backed Securities | — | 495,136 | — | 495,136 |
| Commercial Mortgage-Backed Securities | — | 4,149,603 | — | 4,149,603 |
| Asset-Backed Securities (including CDOs) | — | 5,843,823 | — | 5,843,823 |
| Foreign Bonds | — | 91,690,738 | — | 91,690,738 |
| Mutual Funds | 12,207,778 | — | — | 12,207,778 |
| Total | $14,714,665 | $353,459,044 | $188,006 | $368,361,715 |
| Other Financial Instruments | | | | |
| Futures Contracts – Assets | $1,012,574 | $— | $— | $1,012,574 |
| Futures Contracts – Liabilities | (279,427) | — | — | (279,427) |
| Forward Foreign Currency Exchange Contracts – Assets | — | 524,499 | — | 524,499 |
| Forward Foreign Currency Exchange Contracts – Liabilities | — | (420,582) | — | (420,582) |
| Swap Agreements – Assets | — | 99,432 | — | 99,432 |
| Swap Agreements – Liabilities | — | (44,149) | — | (44,149) |
For further information regarding security characteristics, see the Portfolio of Investments.
The following is a reconciliation of level 3 assets for which significant unobservable inputs were used to determine fair value. The table presents the activity of level 3 securities held at the beginning and the end of the period.
| | Equity
Securities |
| Balance as of 10/31/23 | $185,208 |
| Change in unrealized appreciation or depreciation | 2,798 |
| Balance as of 4/30/24 | $188,006 |
At April 30, 2024, the fund held one level 3 security.
Foreign Currency Translation — Purchases and sales of foreign investments, income, and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions or on the reporting date for foreign denominated receivables and payables. Gains and losses attributable to foreign currency exchange rates on sales of securities are recorded for financial statement
Notes to Financial Statements (unaudited) - continued
purposes as net realized gains and losses on investments. Gains and losses attributable to foreign exchange rate movements on receivables, payables, income and expenses are recorded for financial statement purposes as foreign currency transaction gains and losses. That portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
Derivatives — The fund uses derivatives primarily to increase or decrease exposure to a particular market or segment of the market, or security, to increase or decrease interest rate or currency exposure, or as alternatives to direct investments. Derivatives are used for hedging or non-hedging purposes. While hedging can reduce or eliminate losses, it can also reduce or eliminate gains. When the fund uses derivatives as an investment to increase market exposure, or for hedging purposes, gains and losses from derivative instruments may be substantially greater than the derivative’s original cost.
The derivative instruments used by the fund during the period were purchased options, futures contracts, forward foreign currency exchange contracts, and swap agreements. Depending on the type of derivative, a fund may exit a derivative position by entering into an offsetting transaction with a counterparty or exchange, negotiating an agreement with the derivative counterparty, or novating the position to a third party. The fund may be unable to promptly close out a futures position in instances where the daily fluctuation in the price for that type of future exceeds the daily limit set by the exchange. The fund's period end derivatives, as presented in the Portfolio of Investments and the associated Derivative Contract tables, generally are indicative of the volume of its derivative activity during the period.
The following table presents, by major type of derivative contract, the fair value, on a gross basis, of the asset and liability components of derivatives held by the fund at April 30, 2024 as reported in the Statement of Assets and Liabilities:
| | | Fair Value (a) |
| Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
| Credit | Purchased Option Contracts | $142,862 | $— |
| Interest Rate | Futures Contracts | 1,012,574 | (279,427) |
| Foreign Exchange | Forward Foreign Currency Exchange Contracts | 524,499 | (420,582) |
| Interest Rate | Cleared Swap Agreements | — | (44,149) |
| Credit | Uncleared Swap Agreements | 99,432 | — |
| Total | | $1,779,367 | $(744,158) |
| (a) | The value of purchased options outstanding is included in investments in unaffiliated issuers, at value, within the Statement of Assets and Liabilities. Values presented in this table for futures contracts and cleared swap agreements correspond to the values reported in the Portfolio of Investments. Only the current day net variation margin for futures contracts and cleared swap agreements is reported separately within the Statement of Assets and Liabilities. |
Notes to Financial Statements (unaudited) - continued
The following table presents, by major type of derivative contract, the realized gain (loss) on derivatives held by the fund for the six months ended April 30, 2024 as reported in the Statement of Operations:
| Risk | Futures
Contracts | Swap
Agreements | Forward Foreign
Currency
Exchange
Contracts | Unaffiliated Issuers
(Purchased
Options) |
| Interest Rate | $528,944 | $9,066 | $— | $— |
| Foreign Exchange | — | — | (994,963) | — |
| Credit | — | 95,412 | — | 150,352 |
| Total | $528,944 | $104,478 | $(994,963) | $150,352 |
The following table presents, by major type of derivative contract, the change in unrealized appreciation or depreciation on derivatives held by the fund for the six months ended April 30, 2024 as reported in the Statement of Operations:
| Risk | Futures
Contracts | Swap
Agreements | Forward Foreign
Currency
Exchange
Contracts | Unaffiliated Issuers
(Purchased
Options) |
| Interest Rate | $328,559 | $2,881 | $— | $— |
| Foreign Exchange | — | — | (373,647) | — |
| Credit | — | 26,926 | — | (106,051) |
| Total | $328,559 | $29,807 | $(373,647) | $(106,051) |
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain, but not all, uncleared derivatives, the fund attempts to reduce its exposure to counterparty credit risk whenever possible by entering into an ISDA Master Agreement on a bilateral basis. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a specified deterioration in the credit quality of the other party. Upon an event of default or a termination of the ISDA Master Agreement, the non-defaulting party has the right to close out all transactions traded under such agreement and to net amounts owed under each agreement to one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the fund's credit risk to such counterparty equal to any amounts payable by the fund under the applicable transactions, if any.
Collateral and margin requirements differ by type of derivative. For cleared derivatives (e.g., futures contracts, cleared swaps, and exchange-traded options), margin requirements are set by the clearing broker and the clearing house and collateral, in the form of cash or securities, is posted by the fund directly with the clearing broker. Collateral terms are counterparty agreement specific for uncleared derivatives (e.g., forward foreign currency exchange contracts, uncleared swap agreements, and uncleared options) and collateral, in the form of cash and securities, is held in segregated accounts with the fund's custodian in connection with these agreements. For derivatives traded under an ISDA Master Agreement, which contains a credit support annex, the collateral requirements are netted across all transactions traded under such counterparty-specific agreement and an amount is posted from one party to the other to collateralize such obligations. Cash that has been segregated or
Notes to Financial Statements (unaudited) - continued
delivered to cover the fund's collateral or margin obligations under derivative contracts, if any, will be reported separately in the Statement of Assets and Liabilities as restricted cash for uncleared derivatives and/or deposits with brokers for cleared derivatives. Securities pledged as collateral or margin for the same purpose, if any, are noted in the Portfolio of Investments. The fund may be required to make payments of interest on uncovered collateral or margin obligations with the broker. Any such payments are included in “Interest expense and fees” in the Statement of Operations.
Purchased Options — The fund purchased call and put options for a premium. Purchased call and put options entitle the holder to buy and sell a specified number of shares or units of a particular security, currency or index at a specified price at a specified date or within a specified period of time. Purchasing call options may hedge against an anticipated increase in the dollar cost of securities or currency to be acquired or increase the fund’s exposure to an underlying instrument. Purchasing put options may hedge against an anticipated decline in the value of portfolio securities or currency or decrease the fund's exposure to an underlying instrument.
The premium paid is initially recorded as an investment in the Statement of Assets and Liabilities. That investment is subsequently marked-to-market daily with the difference between the premium paid and the market value of the purchased option being recorded as unrealized appreciation or depreciation. Premiums paid for purchased call and put options which have expired are treated as realized losses on investments in the Statement of Operations. Upon the exercise or closing of a purchased call option, the premium paid is added to the cost of the security or financial instrument purchased. Upon the exercise or closing of a purchased put option, the premium paid is offset against the proceeds on the sale of the underlying security or financial instrument in order to determine the realized gain or loss on investments.
Whether or not the option is exercised, the fund's maximum risk of loss from purchasing an option is the amount of premium paid. All option contracts involve credit risk if the counterparty to the option contract fails to perform. For uncleared options, this risk is mitigated in cases where there is an ISDA Master Agreement between the fund and the counterparty providing for netting as described above and, where applicable, by the posting of collateral by the counterparty to the fund to cover the fund’s exposure to the counterparty under such ISDA Master Agreement.
Futures Contracts — The fund entered into futures contracts which may be used to hedge against or obtain broad market exposure, interest rate exposure, currency exposure, or to manage duration. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a futures contract, the fund is required to deposit with the broker, either in cash or securities, an initial margin in an amount equal to a specified percentage of the notional amount of the contract. Subsequent payments (variation margin) are made or received by the fund each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gain or loss by the fund until the contract is closed or expires at which point the gain or loss on futures contracts is realized.
The fund bears the risk of interest rates, exchange rates or securities prices moving unexpectedly, in which case, the fund may not achieve the anticipated benefits of the futures contracts and may realize a loss. While futures contracts may present less counterparty risk to the fund since the contracts are exchange traded and the
Notes to Financial Statements (unaudited) - continued
exchange’s clearinghouse guarantees payments to the broker, there is still counterparty credit risk due to the insolvency of the broker. The fund’s maximum risk of loss due to counterparty credit risk is equal to the margin posted by the fund to the broker plus any gains or minus any losses on the outstanding futures contracts.
Forward Foreign Currency Exchange Contracts — The fund entered into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. These contracts may be used to hedge the fund’s currency risk or for non-hedging purposes. For hedging purposes, the fund may enter into contracts to deliver or receive foreign currency that the fund will receive from or use in its normal investment activities. The fund may also use contracts to hedge against declines in the value of foreign currency denominated securities due to unfavorable exchange rate movements. For non-hedging purposes, the fund may enter into contracts with the intent of changing the relative exposure of the fund’s portfolio of securities to different currencies to take advantage of anticipated exchange rate changes.
Forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any unrealized gains or losses are recorded as a receivable or payable for forward foreign currency exchange contracts until the contract settlement date. On contract settlement date, any gain or loss on the contract is recorded as realized gains or losses on forward foreign currency exchange contracts.
Risks may arise upon entering into these contracts from unanticipated movements in the value of the contract and from the potential inability of counterparties to meet the terms of their contracts. Generally, the fund’s maximum risk due to counterparty credit risk is the unrealized gain on the contract due to the use of Continuous Linked Settlement, a multicurrency cash settlement system for the centralized settlement of foreign transactions. This risk is mitigated in cases where there is an ISDA Master Agreement between the fund and the counterparty providing for netting as described above and, where applicable, by the posting of collateral by the counterparty to the fund to cover the fund’s exposure to the counterparty under such ISDA Master Agreement.
Swap Agreements — The fund entered into swap agreements which generally involve a periodic exchange of cash payments on a net basis, at specified intervals or upon the occurrence of specified events, between the fund and a counterparty. Certain swap agreements may be entered into as a bilateral contract (“uncleared swaps”) while others are required to be centrally cleared (“cleared swaps”).
Both cleared and uncleared swap agreements are marked to market daily. The value of uncleared swap agreements is reported in the Statement of Assets and Liabilities as “Uncleared swaps, at value” which includes any related interest accruals to be paid or received by the fund. For cleared swaps, payments (variation margin) are made or received by the fund each day, depending on the daily fluctuations in the value of the cleared swap, such that only the current day net receivable or payable for variation margin is reported in the Statement of Assets and Liabilities.
For both cleared and uncleared swaps, premiums paid or received at the inception of the agreements are amortized over the term of the agreement as realized gain or loss on swap agreements in the Statement of Operations. The periodic exchange of net cash payments, as well as any liquidation payment received or made upon early termination, are recorded as a realized gain or loss on swap agreements in the
Notes to Financial Statements (unaudited) - continued
Statement of Operations. The change in unrealized appreciation or depreciation on swap agreements in the Statement of Operations reflects the aggregate change over the reporting period in the value of swaps net of any unamortized premiums paid or received.
Risks related to swap agreements include the possible lack of a liquid market, unfavorable market and interest rate movements of the underlying instrument and the failure of the counterparty to perform under the terms of the agreements. The fund's maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the contract's remaining life, to the extent that the amount is positive. To address counterparty risk, uncleared swap agreements are limited to only highly-rated counterparties. Risk is further reduced by having an ISDA Master Agreement (“ISDA”) between the fund and the counterparty and, where applicable, by the posting of collateral by the counterparty to the fund to cover the fund’s exposure to the counterparty under such ISDA. The fund's counterparty risk due to cleared swaps is mitigated by the fact that the clearinghouse is the true counterparty to the transaction and the regulatory requirement safeguards in the event of a clearing broker bankruptcy.
The fund entered into interest rate swap agreements in order to manage its exposure to interest rate fluctuations. Interest rate swap agreements involve the periodic exchange of cash flows, between the fund and a counterparty, based on the difference between two interest rates applied to a notional principal amount. The two interest rates exchanged may either be a fixed rate and a floating rate or two floating rates based on different indices.
The fund entered into credit default swap agreements in order to manage its exposure to the market or certain sectors of the market, to reduce its credit risk exposure to defaults of corporate and sovereign issuers or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. A credit default swap’s reference obligation may be either a single security or a basket of securities issued by corporate or sovereign issuers. At the inception of the agreement, the protection buyer may make an upfront payment to or receive an upfront payment from the protection seller. Over the term of the agreement, the protection buyer will make a series of periodic payments to the protection seller based on a fixed percentage applied to the agreement’s notional amount in exchange for a promise from the protection seller to make a specific payment should a defined credit event occur with respect to the reference obligation. Although agreement-specific, credit events generally consist of a combination of the following: bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. If a defined credit event occurs, the protection buyer will either (i) receive from the protection seller an amount equal to the agreement’s notional amount and deliver the reference obligation (i.e., physical settlement) or (ii) receive from the protection seller a net settlement of cash equal to the agreement’s notional amount less the recovery value of the reference obligation. Upon determination of the final price for the reference obligation (or upon delivery of the reference obligation in the case of physical settlement), the difference between the recovery value of the reference obligation and the agreement’s notional amount is recorded as realized gain or loss on swap agreements in the Statement of Operations.
Notes to Financial Statements (unaudited) - continued
Credit default swap agreements are considered to have credit-risk-related contingent features since they trigger payment by the protection seller to the protection buyer upon the occurrence of a defined credit event. The maximum amount of future, undiscounted payments that the fund, as protection seller, could be required to make is equal to the swap agreement’s notional amount. The protection seller’s payment obligation would be offset to the extent of the value of the agreement’s deliverable obligation. At April 30, 2024, the fund did not hold any credit default swap agreements at an unrealized loss where it is the protection seller. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the agreement.
Statement of Cash Flows — Information on financial transactions which have been settled through the receipt or disbursement of cash or restricted cash is presented in the Statement of Cash Flows. Cash as presented in the fund's Statement of Assets and Liabilities includes cash on hand at the fund's custodian bank and does not include any short-term investments. Restricted cash is presented in the fund's Statement of Assets and Liabilities as restricted cash for uncleared derivatives and/or deposits with brokers for cleared derivatives and represents cash that has been segregated or delivered to cover the fund's collateral or margin obligations under derivative contracts.
The following table provides a reconciliation of cash and restricted cash reported within the Statement of Assets and Liabilities with that shown in the Statement of Cash Flows:
| | 4/30/24 |
| Cash | $1,425,633 |
| Restricted cash | 320,000 |
| Restricted cash included in deposits with brokers | — |
| Total cash and restricted cash in the Statement of Cash Flows | $1,745,633 |
Indemnifications — Under the fund's organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the fund. Additionally, in the normal course of business, the fund enters into agreements with service providers that may contain indemnification clauses. The fund's maximum exposure under these agreements is unknown as this would involve future claims that may be made against the fund that have not yet occurred.
Investment Transactions and Income — Interest income is recorded on the accrual basis. All premium and discount is amortized or accreted for financial statement purposes in accordance with U.S. generally accepted accounting principles. Dividends received in cash are recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded when the fund is informed of the dividend if such information is obtained subsequent to the ex-dividend date. Dividend and interest payments received in additional securities are recorded on the ex-dividend or ex-interest date in an amount equal to the value of the security on such date. Debt obligations may be placed on non-accrual status or set to accrue at a rate of interest less than the contractual coupon when the collection of all or a portion of interest has become doubtful. Interest income for those debt obligations may be further reduced by the write-off of the related interest receivables when deemed uncollectible.
Notes to Financial Statements (unaudited) - continued
The fund may receive proceeds from litigation settlements. Any proceeds received from litigation involving portfolio holdings are reflected in the Statement of Operations in realized gain/loss if the security has been disposed of by the fund or in unrealized gain/loss if the security is still held by the fund. Any other proceeds from litigation not related to portfolio holdings are reflected as other income in the Statement of Operations.
Investment transactions are recorded on the trade date. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
The fund may purchase or sell securities on a when-issued or delayed delivery basis. In these extended settlement transactions, the receipt or delivery of the securities by the fund and related payments occur at a future date, usually beyond the customary settlement period. The price of such security and the date that the security will be settled are generally fixed at the time the transaction is negotiated. The value of the security varies with market fluctuations and for debt securities no interest accrues to the fund until settlement takes place. When the fund sells securities on a when-issued or delayed delivery basis, the fund typically owns or has the right to acquire securities equivalent in kind and amount to the securities sold. Purchase and sale commitments for when-issued or delayed delivery securities are held at carrying amount, which approximates fair value and are categorized as level 2 within the fair value hierarchy, and included in When-issued investments purchased and When-issued investments sold in the Statement of Assets and Liabilities, as applicable. Losses may arise due to changes in the value of the underlying securities prior to settlement date or if the counterparty does not perform under the contract’s terms, or if the issuer does not issue the securities due to political, economic or other factors.
To mitigate the counterparty credit risk on TBA transactions, mortgage dollar rolls, and other types of forward settling mortgage-backed and asset-backed security transactions, the fund whenever possible enters into a Master Securities Forward Transaction Agreement (“MSFTA”) on a bilateral basis with each of the counterparties with whom it undertakes a significant volume of transactions. The MSFTA gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a specified deterioration in the credit quality of the other party. Upon an event of default or a termination of the MSFTA, the non-defaulting party has the right to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the MSFTA could result in a reduction of the fund's credit risk to such counterparty equal to any amounts payable by the fund under the applicable transactions, if any.
For mortgage-backed and asset-backed securities traded under a MSFTA, the collateral and margining requirements are contract specific. Collateral amounts across all transactions traded under such agreement are netted and an amount is posted from one party to the other to collateralize such obligations. Cash that has been pledged to cover the fund's collateral or margin obligations under a MSFTA, if any, will be reported separately on the Statement of Assets and Liabilities as restricted cash. Securities pledged as collateral or margin for the same purpose, if any, are noted in the Portfolio of Investments.
Tax Matters and Distributions — The fund intends to qualify as a regulated investment company, as defined under Subchapter M of the Internal Revenue Code, and to distribute all of its taxable income, including realized capital gains. As a result,
Notes to Financial Statements (unaudited) - continued
no provision for federal income tax is required. The fund’s federal tax returns, when filed, will remain subject to examination by the Internal Revenue Service for a three year period. Management has analyzed the fund’s tax positions taken on federal and state tax returns for all open tax years and does not believe that there are any uncertain tax positions that require recognition of a tax liability. Foreign taxes, if any, have been accrued by the fund in the accompanying financial statements in accordance with the applicable foreign tax law. Foreign income taxes may be withheld by certain countries in which the fund invests. Additionally, capital gains realized by the fund on securities issued in or by certain foreign countries may be subject to capital gains tax imposed by those countries.
Distributions to shareholders are recorded on the ex-dividend date. The fund employs a managed distribution policy whereby the fund seeks to pay monthly distributions based on an annual rate of 8.00% of the fund’s average monthly net asset value. As a result, distributions may exceed actual earnings which may result in a tax return of capital. Distributions in any year may include a substantial return of capital component. For the six months ended April 30, 2024, the amount of distributions estimated to be a tax return of capital was approximately $4,107,119 which is reported as distributions from other sources in the Statements of Changes in Net Assets. All or a portion of this amount may be redesignated as ordinary income and/or capital gains at fiscal year end. Please refer to the Financial Highlights for distributions of tax returns of capital made during the prior five years. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences which arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future.
Book/tax differences primarily relate to defaulted bonds, amortization of premium and accretion of discount of debt securities, wash sale loss deferrals, and derivative transactions.
The tax character of distributions made during the current period will be determined at fiscal year end. The tax character of distributions declared to shareholders for the last fiscal year is as follows:
| | Year ended
10/31/23 |
| Ordinary income (including any short-term capital gains) | $13,436,563 |
| Tax return of capital (b) | 9,565,816 |
| Total distributions | $23,002,379 |
| (b) | Distributions in excess of tax basis earnings and profits are reported in the financial statements as a tax return of capital. |
Notes to Financial Statements (unaudited) - continued
The federal tax cost and the tax basis components of distributable earnings were as follows:
| As of 4/30/24 | |
| Cost of investments | $392,732,901 |
| Gross appreciation | 3,676,821 |
| Gross depreciation | (28,048,007) |
| Net unrealized appreciation (depreciation) | $(24,371,186) |
| As of 10/31/23 | |
| Capital loss carryforwards | (33,547,163) |
| Other temporary differences | (338,037) |
| Net unrealized appreciation (depreciation) | (47,996,519) |
The aggregate cost above includes prior fiscal year end tax adjustments, if applicable.
As of October 31, 2023, the fund had capital loss carryforwards available to offset future realized gains. These net capital losses may be carried forward indefinitely and their character is retained as short-term and/or long-term losses. Such losses are characterized as follows:
| Short-Term | $(4,955,604) |
| Long-Term | (28,591,559) |
| Total | $(33,547,163) |
(3) Transactions with Affiliates
Investment Adviser — The fund has an investment advisory agreement with MFS to provide overall investment management and related administrative services and facilities to the fund. The management fee is computed daily and paid monthly at an annual rate of 0.34% of the fund’s average daily net assets and 5.40% of gross income. Gross income is calculated based on tax elections that generally include the accretion of discount and exclude the amortization of premium, which may differ from investment income reported in the Statement of Operations. The management fee, from net assets and gross income, incurred for the six months ended April 30, 2024 was equivalent to an annual effective rate of 0.79% of the fund’s average daily net assets.
Transfer Agent — The fund engages Computershare Trust Company, N.A. (“Computershare”) as the sole transfer agent for the fund. MFS Service Center, Inc. (MFSC) monitors and supervises the activities of Computershare for an agreed upon fee approved by the Board of Trustees. For the six months ended April 30, 2024, these fees paid to MFSC amounted to $16,492.
Administrator — MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to the fund. Under an administrative services agreement, the fund reimburses MFS the costs incurred to provide these services. The fund is charged an annual fixed amount of $17,500 plus a fee based on average daily net assets. The administrative services fee is computed daily and paid monthly. The administrative services fee incurred for the six months ended April 30, 2024 was equivalent to an annual effective rate of 0.0179% of the fund's average daily net assets.
Notes to Financial Statements (unaudited) - continued
Trustees’ and Officers’ Compensation — The fund pays compensation to independent Trustees in the form of a retainer, attendance fees, and additional compensation to Board and Committee chairpersons. Independent Trustees’ compensation is accrued daily and paid subsequent to each Trustee Board meeting. The fund does not pay compensation directly to Trustees or officers of the fund who are also officers of the investment adviser, all of whom receive remuneration from MFS for their services to the fund. Certain officers and Trustees of the fund are officers or directors of MFS and MFSC.
Prior to December 31, 2001, the fund had an unfunded defined benefit plan (“DB plan”) for independent Trustees. As of December 31, 2001, the Board took action to terminate the DB plan with respect to then-current and any future independent Trustees, such that the DB plan covers only certain of those former independent Trustees who retired on or before December 31, 2001. The DB plan resulted in a pension expense of $2,934 and is included in “Independent Trustees’ compensation” in the Statement of Operations for the six months ended April 30, 2024. The liability for deferred retirement benefits payable to those former independent Trustees under the DB plan amounted to $1,894 at April 30, 2024, and is included in “Payable for independent Trustees’ compensation” in the Statement of Assets and Liabilities. The deferred retirement benefits compensation fee is accrued daily and paid monthly.
Other — The fund invests in the MFS Institutional Money Market Portfolio which is managed by MFS and seeks current income consistent with preservation of capital and liquidity. This money market fund does not pay a management fee to MFS but does incur investment and operating costs.
(4) Portfolio Securities
For the six months ended April 30, 2024, purchases and sales of investments, other than purchased options with an expiration date of less than one year from the time of purchase and short-term obligations, were as follows:
| | Purchases | Sales |
| U.S. Government securities | $7,447,299 | $7,974,995 |
| Non-U.S. Government securities | 135,542,709 | 152,090,037 |
(5) Shares of Beneficial Interest
The fund's Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest. The Trustees have authorized the repurchase by the fund of up to 10% annually of its own shares of beneficial interest.
The fund repurchased 1,349,688 shares of beneficial interest during the six months ended April 30, 2024 at an average price per share of $4.56 and a weighted average discount of 8.82% per share. The fund repurchased 2,775,379 shares of beneficial interest during the year ended October 31, 2023 at an average price per share of $4.45 and a weighted average discount of 8.73% per share. Transactions in fund shares were as follows:
| | Six months ended
4/30/24 | | Year ended
10/31/23 |
| | Shares | Amount | | Shares | Amount |
| Capital shares repurchased | (1,349,688) | $(6,158,716) | | (2,775,379) | $(12,353,266) |
Notes to Financial Statements (unaudited) - continued
(6) Loan Agreement
The fund has a credit agreement with a bank for a revolving secured line of credit that can be drawn upon up to $100,000,000. At April 30, 2024, the fund had outstanding borrowings under this agreement in the amount of $95,000,000, which are secured by a lien on the fund’s assets. Costs directly related to the closing of the credit agreement are considered debt issuance costs, which are being amortized into interest expense over twelve months from the closing date. The loan’s carrying value in the fund’s Statement of Assets and Liabilities approximates its fair value. The loan value as of the reporting date is considered level 2 under the fair value hierarchy. The credit agreement has no explicit maturity date but may be terminated with appropriate notice by either party. Borrowings under the agreement can be made for liquidity or leverage purposes. Interest is charged at a rate per annum equal to the one-month term SOFR (Secured Overnight Financing Rate) plus 0.10% plus an agreed upon spread, or at the option of the borrower, an alternate base rate plus an agreed upon spread. The fund incurred interest expense of $3,042,269 during the period, which is included in “Interest expense and fees” in the Statement of Operations. The fund may also be charged a commitment fee based on the average daily unused portion of the line of credit. The fund paid a commitment fee of $3,100 during the period, which is included in “Interest expense and fees” in the Statement of Operations. For the six months ended April 30, 2024, the average loan balance was $95,000,000 at a weighted average annual interest rate of 6.44%. The fund is subject to certain covenants including, but not limited to, requirements with respect to asset coverage, portfolio diversification and liquidity.
(7) Investments in Affiliated Issuers
An affiliated issuer may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the following were affiliated issuers:
| Affiliated Issuers | Beginning
Value | Purchases | Sales
Proceeds | Realized
Gain
(Loss) | Change in
Unrealized
Appreciation or
Depreciation | Ending
Value |
| MFS Institutional Money Market Portfolio | $5,745,282 | $75,887,035 | $69,423,525 | $(989) | $(25) | $12,207,778 |
| Affiliated Issuers | Dividend
Income | Capital Gain
Distributions |
| MFS Institutional Money Market Portfolio | $155,281 | $— |
Report of Independent Registered Public Accounting Firm
To the Shareholders and the Board of Trustees of MFS Multimarket Income Trust
Results of Review of Interim Financial Statements
We have reviewed the accompanying statement of assets and liabilities of MFS Multimarket Income Trust (the “Fund”), including the portfolio of investments, as of April 30, 2024, and the related statements of operations, changes in net assets, cash flows and financial highlights for the six-month period then ended and the related notes (collectively referred to as the “interim financial statements”). Based on our review, we are not aware of any material modifications that should be made to the interim financial statements for them to be in conformity with U.S. generally accepted accounting principles.
We have previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (“PCAOB”), the statement of changes in net assets for the year ended October 31, 2023 and the financial highlights for each of the five years in the period then ended; and in our report dated December 14, 2023, we expressed an unqualified opinion on those financial statements.
Basis for Review Results
These financial statements are the responsibility of the Fund's management. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the SEC and the PCAOB. We conducted our review in accordance with the standards of the PCAOB. A review of interim financial statements consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with the standards of the PCAOB, the objective of which is the expression of an opinion regarding the financial statements taken as a whole. Accordingly, we do not express such an opinion.
/s/ Ernst & Young LLP
Boston, Massachusetts
June 14, 2024
Proxy Voting Policies and Information
MFS votes proxies on behalf of the fund pursuant to proxy voting policies and procedures that are available without charge, upon request, by calling 1-800-225-2606, by visiting mfs.com/proxyvoting, or by visiting the SEC’s Web site at http://www.sec.gov.
Information regarding how the fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available by August 31 of each year without charge by visiting mfs.com/proxyvoting, or by visiting the SEC’s Web site at http://www.sec.gov.
Quarterly Portfolio Disclosure
The fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s Web site at http://www.sec.gov. A shareholder can obtain the portfolio holdings report for the first and third quarters of the fund's fiscal year at mfs.com/closedendfunds by choosing the fund's name and then scrolling to the “Resources” section and clicking on the “Reports and Other Documents” tab.
Further Information
From time to time, MFS may post important information about the fund or the MFS Funds on the MFS Web site (mfs.com). This information is available at https://www.mfs.com/announcements or at mfs.com/closedendfunds by choosing the fund's name and then scrolling to the “Resources” section and clicking on the “Announcements” tab, if any.
Additional information about the fund (e.g., performance, dividends and the fund’s price history) is also available at mfs.com/closedendfunds by choosing the fund's name, if any.
INFORMATION ABOUT FUND CONTRACTS AND LEGAL CLAIMS
The fund has entered into contractual arrangements with an investment adviser, administrator, transfer agent, and custodian who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
Under the Trust’s By-Laws and Declaration of Trust, any claims asserted against or on behalf of the MFS Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.
CONTACT US
TRANSFER AGENT, REGISTRAR, AND
DIVIDEND DISBURSING AGENT
CALL
1-800-637-2304
9 a.m. to 5 p.m. Eastern time
WRITE
Computershare Trust Company, N.A.
P.O. Box 43078
Providence, RI 02940-3078
New York Stock Exchange Symbol: MMT
Item 1(b):
A copy of the notice transmitted to the Registrant’s shareholders in reliance on Rule 30e-3 of the Investment Company Act of 1940, as amended that contains disclosure specified by paragraph (c)(3) of Rule 30e-3 is attached hereto as EX-99.30e-3Notice.
ITEM 2. CODE OF ETHICS.
The Registrant has adopted a Code of Ethics (the “Code”) pursuant to Section 406 of the Sarbanes-Oxley Act and as defined in Form N-CSR that applies to the Registrant’s principal executive officer and principal financial and accounting officer. During the period covered by this report, the Registrant has not amended any provision in the Code that relates to an element of the Code’s definition enumerated in paragraph
(b)of Item 2 of this Form N-CSR. During the period covered by this report, the Registrant did not grant a waiver, including an implicit
waiver, from any provision of the Code. David L. DiLorenzo (Principal Executive Officer) and James O. Yost (Principal Financial Officer) were the two persons covered by the Code prior to April 1, 2024. Beginning April 1, 2024, David L. DiLorenzo (Principal Executive Officer) and Kasey L. Phillips (Principal Financial Officer) are the two persons covered by the Code.
A copy of the Code is attached hereto as EX-99.COE.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual reports.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable for semi-annual reports.
ITEM 6. INVESTMENTS
A schedule of investments of the Registrant is included as part of the report to shareholders of the Registrant under Item 1(a) of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable for semi-annual reports.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Portfolio Manager(s)
Information regarding the portfolio manager(s) of the MFS Multimarket Income Trust (the "Fund") is set forth below. Each portfolio manager is primarily responsible for the day-to-day management of the Fund.
Portfolio Manager | Primary Role | Since | Title and Five Year History |
Robert Spector | Lead Portfolio Manager | 2017 | Investment Officer of MFS; employed in the investment area |
| | | of MFS since 2011 |
Neeraj Arora | Emerging Markets Debt Instruments Portfolio Manager | 2023 | Investment Officer of MFS; employed in the investment area |
| | | of MFS since 2011 |
Ward Brown | Emerging Markets Debt Instruments Portfolio Manager | 2012 | Investment Officer of MFS; employed in the investment area |
| | | of MFS since 2005 |
David Cole | Below Investment Grade Debt Instruments Portfolio | 2006 | Investment Officer of MFS; employed in the investment area |
| Manager | | of MFS since 2004 |
Pilar Gomez-Bravo | Debt Instruments Portfolio Manager | 2013 | Co-Chief Investment Officer-Global Fixed Income of MFS; |
| | | employed in the investment area of MFS since 2013 |
Andy Li | Investment Grade Debt Instruments Portfolio Manager | 2019 | Investment Officer of MFS; employed in the investment area |
| | | of MFS since 2018 |
John Mitchell | Investment Grade Debt Instruments Portfolio Manager | 2023 | Investment Officer of MFS; employed in the investment area |
| | | of MFS since 2003 |
Michael Skatrud | Below Investment Grade Debt Instruments Portfolio | 2018 | Investment Officer of MFS; employed in the investment area |
| Manager | | of MFS since 2013 |
Compensation
MFS’ philosophy is to align portfolio manager compensation with the goal to provide shareholders with long-term value through a collaborative investment process. Therefore, MFS uses long-term investment performance as well as contribution to the overall investment process and collaborative culture as key factors in determining portfolio manager compensation. In addition, MFS seeks to maintain total compensation programs that are competitive in the asset management industry in each geographic market where it has employees. MFS uses competitive compensation data to ensure that compensation practices are aligned with its goals of attracting, retaining, and motivating the highest-quality professionals.
MFS reviews portfolio manager compensation annually. In determining portfolio manager compensation, MFS uses quantitative means and qualitative means to help ensure a durable investment process. As of December 31, 2023, portfolio manager total cash compensation is a combination of base salary and performance bonus:
Base Salary – Base salary generally represents a smaller percentage of portfolio manager total cash compensation than performance bonus. Performance Bonus – Generally, the performance bonus represents more than a majority of portfolio manager total cash compensation.
The performance bonus is based on a combination of quantitative and qualitative factors, generally with more weight given to the former and less weight given to the latter. The quantitative portion is primarily based on the pre-tax performance of accounts managed by the portfolio manager over a range of fixed-length time periods, intended to provide the ability to assess performance over time periods consistent with a full market cycle and a strategy's investment horizon. The fixed-length time periods include the portfolio manager's full tenure on each Fund/strategy and, when available, 10-, 5-, and 3-year periods. For portfolio managers who have served for less than three years, shorter- term periods, including the one-year period, will also be considered, as will performance in previous roles, if any, held at the firm. Emphasis is generally placed on longer performance periods when multiple performance periods are available. Performance is evaluated across the full set of strategies and portfolios managed by a given portfolio manager, relative to appropriate peer group universes and/or representative indices (“benchmarks”). As of December 31, 2023, the following benchmarks were used to measure the following portfolio manager's performance for the Fund, unless otherwise indicated:
Fund | Portfolio Manager | Benchmark(s) |
MFS Multimarket Income Trust | Robert Spector | Bloomberg Global Aggregate Credit Index |
| | JPMorgan Emerging Markets Bond Index Global |
| | Bloomberg U.S. Corporate High-Yield 2% Issuer Capped Index |
| | Bloomberg U.S. Government/Mortgage Index |
| Neeraj Arora | JPMorgan Emerging Markets Bond Index Global |
| Ward Brown | JPMorgan Emerging Markets Bond Index Global |
| David Cole | Bloomberg U.S. Corporate High-Yield 2% Issuer Capped Index |
| Andy Li | Bloomberg Global Aggregate Credit Index |
| John Mitchell | Bloomberg Global Aggregate Credit Index |
| Michael Skatrud | Bloomberg U.S. Corporate High-Yield 2% Issuer Capped Index |
Benchmarks may include versions and components of indices, custom indices, and linked indices that combine performance of different indices for different portions of the time period, where appropriate.
The qualitative portion is based on the results of an annual internal peer review process (where portfolio managers are evaluated by other portfolio managers, analysts, and traders) and management’s assessment of overall portfolio manager contributions to the MFS investment process and the client experience (distinct from fund and other account performance).
The performance bonus may be in the form of cash and/or a deferred cash award, at the discretion of management. A deferred cash award is issued for a cash value and becomes payable over a three-year vesting period if the portfolio manager remains in the continuous employ of MFS or its affiliates. During the vesting period, the value of the unfunded deferred cash award will fluctuate as though the portfolio manager had invested the cash value of the award in an MFS fund(s) selected by the portfolio manager. A selected fund may, but is not required to, be a fund that is managed by the portfolio manager.
With respect to Ms. Pilar Gomez-Bravo, her compensation reflects her broader role within MFS as Co-Chief Investment Officer-Global Fixed Income in addition to being a portfolio manager. Her performance bonus is based on a combination of quantitative and qualitative factors, generally with more weight given to the former and less weight given to the latter. The quantitative portion is based on overall group investment performance and business performance metrics. The qualitative portion is based on the results of an annual internal review process conducted by the Chief Investment Officer which takes into account her broad leadership responsibilities. This performance bonus may be in the form of cash and/or a deferred cash award, at the discretion of management. A deferred cash award is issued for a cash value and becomes payable over a three-year vesting period if the portfolio manager remains in the continuous employ of MFS or its affiliates. During the vesting period, the value of the unfunded deferred cash award will fluctuate as though the portfolio manager had invested the cash value of the award in an MFS fund(s) selected by the portfolio manager. A selected fund may, but is not required to, be a fund that is managed by the portfolio manager.
MFS Equity Plan – Portfolio managers also typically benefit from the opportunity to participate in the MFS Equity Plan. Equity interests are awarded by management, on a discretionary basis, taking into account tenure at MFS, contribution to the investment process, and other factors.
Finally, portfolio managers also participate in benefit plans (including a defined contribution plan and health and other insurance plans) and programs available generally to other employees of MFS. The percentage such benefits represent of any portfolio manager’s compensation depends upon the length of the individual’s tenure at MFS and salary level, as well as other factors.
Ownership of Fund Shares
The following table shows the dollar range of equity securities of the Fund beneficially owned by the Fund’s portfolio manager(s) as of the Fund's fiscal year ended October 31, 2023. The following dollar ranges apply:
N. None
A. $1 – $10,000
B. $10,001 – $50,000
C. $50,001 – $100,000
D. $100,001 – $500,000
E. $500,001 – $1,000,000
F. Over $1,000,000
Name of Portfolio Manager | Dollar Range of Equity Securities in Fund |
Robert Spector | N |
Neeraj Arora | N |
Ward Brown | N |
David Cole | N |
Pilar Gomez-Bravo | N |
Andy Li | N |
John Mitchell | N |
Michael Skatrud | N |
Other Accounts
In addition to the Fund, each portfolio manager of the Fund is named as a portfolio manager of certain other accounts managed or sub- advised by MFS or an affiliate. The number and assets of these accounts were as follows as of the Fund's fiscal year ended October 31, 2023:
| Registered Investment Companies* | Other Pooled Investment Vehicles | Other Accounts |
Name | Number of Accounts | Total | Number of Accounts | Total Assets | Number of | Total Assets |
| | Assets | | | Accounts | |
Robert Spector | 7 | $3.3 billion | 12 | $4.3 billion | 39 | $1.9 billion |
| | | | | | |
Neeraj Arora | 9 | $13.1 billion | 9 | $2.9 billion | 7 | $2.2 billion |
| | | | | | |
Ward Brown | 6 | $8.1 billion | 8 | $2.8 billion | 6 | $2.0 billion |
| | | | | | |
David Cole | 14 | $9.2 billion | 10 | $7.0 billion | 7 | $658.5 million |
| | | | | | |
Pilar Gomez-Bravo | 5 | $3.0 billion | 8 | $2.4 billion | 5 | $939.1 million |
| | | | | | |
Andy Li | 5 | $3.0 billion | 8 | $2.4 billion | 4 | $915.3 million |
| | | | | | |
John Mitchell | 8 | $9.4 billion | 9 | $2.8 billion | 7 | $1.1 billion |
| | | | | | |
Michael Skatrud | 12 | $9.1 billion | 6 | $901.7 million | 4 | $368.3 million |
| | | | | | |
* Includes the Fund. | | | | | | |
Advisory fees are not based upon performance of any of the accounts identified in the table above.
Potential Conflicts of Interest
MFS seeks to identify potential conflicts of interest resulting from a portfolio manager’s management of both the Fund and other accounts, and has adopted policies and procedures designed to address such potential conflicts. There is no guarantee that MFS will be successful in identifying or mitigating conflicts of interest.
The management of multiple funds and accounts (including accounts in which MFS or an affiliate has an interest) gives rise to conflicts of interest if the funds and accounts have different objectives and strategies, benchmarks, time horizons, and fees, as a portfolio manager must allocate his or her time and investment ideas across multiple funds and accounts. In certain instances, there are securities which are suitable for the Fund’s portfolio as well as for one or more other accounts advised by MFS or its subsidiaries (including accounts in which MFS or an affiliate has an interest) with similar investment objectives. MFS' trade allocation policies could have a detrimental effect on the Fund if the Fund’s orders do not get fully executed or are delayed in getting executed due to being aggregated with those of other accounts advised by MFS or its subsidiaries. A portfolio manager may execute transactions for another fund or account that may adversely affect the value of the Fund’s investments. Investments selected for funds or accounts other than the Fund may outperform investments selected for the Fund.
When two or more accounts are simultaneously engaged in the purchase or sale of the same security, the securities are allocated among clients in a manner believed by MFS to be fair and equitable to each over time. Allocations may be based on many factors and may not always be pro rata based on assets managed. The allocation methodology could have a detrimental effect on the price or availability of a security with respect to the Fund.
MFS and/or a portfolio manager may have a financial incentive to allocate favorable or limited opportunity investments or structure the timing of investments to favor accounts other than the Fund; for instance, those that pay a higher advisory fee and/or have a performance adjustment, those that include an investment by the portfolio manager, and/or those in which MFS, its officers and/or employees, and/or its affiliates own or have an interest.
To the extent permitted by applicable law, certain accounts may invest their assets in other accounts advised by MFS or its affiliates, including accounts that are advised by one or more of the same portfolio manager(s), which could result in conflicts of interest relating to asset allocation, timing of purchases and redemptions, and increased profitability for MFS, its affiliates, and/or its personnel, including portfolio managers.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
MFS Multimarket Income Trust
| | | | (c) Total Number of | (d) Maximum Number |
| | | | Shares Purchased as | (or Approximate |
| | (a) Total number of | (b) Average | Part of Publicly | Dollar Value) of |
| Period | Shares Purchased | Price Paid | Announced Plans or | Shares that May Yet |
| | | per Share | Programs | Be Purchased under |
| | | | | the Plans or Programs |
| | | | | |
| 11/01/23-11/30/23 | 206,730 | 4.37 | 206,730 | 5,133,993 |
| 12/01/23-12/31/23 | 229,020 | 4.55 | 229,020 | 4,904,973 |
| 01/01/24-01/31/24 | 296,635 | 4.62 | 296,635 | 4,608,338 |
| 02/01/24-02/28/24 | 206,831 | 4.63 | 206,831 | 4,401,507 |
| 03/01/24-03/31/24 | 209,374 | 4.62 | 209,374 | 4,192,133 |
| 04/01/24-04/30/24 | 201,098 | 4.57 | 201,098 | 3,991,035 |
| Total | 1,349,688 | 4.56 | 1,349,688 | |
| | | | | |
Note: The Board approved procedures to repurchase shares and reviews the results periodically. The notification to shareholders of the program is part of the semi-annual and annual reports sent to shareholders. These annual programs begin on October 1st of each year. The programs conform to the conditions of Rule 10b-18 of the Securities Exchange Act of 1934 and limit the aggregate number of shares that may be purchased in each annual period (October 1 through the following September 30) to 10% of the Registrant’s outstanding shares as of the first day of the plan year (October 1). The aggregate number of shares available for purchase for the October 1, 2023 plan year is 5,714,689.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There were no material changes to the procedures by which shareholders may send recommendations to the Board for nominees to the Registrant’s Board since the Registrant last provided disclosure as to such procedures in response to the requirements of Item 407 (c)(2)(iv) of Regulation S-K or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a)Based upon their evaluation of the 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 report on Form N-CSR, 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 period covered by the report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable for semi-annual reports.
ITEM 13. RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION.
Not Applicable.
ITEM 14. EXHIBITS.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Attached hereto as EX-99.COE.
(2)A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto as EX-99.302CERT.
(3)Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable.
(4)Change in the registrant’s independent public accountant. Not applicable.
(b)If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for the purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Attached hereto as EX-99.906CERT.
(c)Registrant’s Rule 30e-3 Notice pursuant to Item 1(b) of Form N-CSR. Attached hereto as EX-99.30e-3Notice.
(d)Notices to Trust’s common shareholders in accordance with Investment Company Act Section 19(a) and Rule 19a-1. Attached hereto as Ex-99.19a-1.
Notice
A copy of the Amended and Restated Declaration of Trust, as amended, of the Registrant is on file with the Secretary of State of The Commonwealth of Massachusetts and notice is hereby given that this instrument is executed on behalf of the Registrant by an officer of the Registrant as an officer and not individually and the obligations of or arising out of this instrument are not binding upon any of the Trustees or shareholders individually, but are binding only upon the assets and property of the respective constituent series of the Registrant.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) MFS MULTIMARKET INCOME TRUST
By (Signature and Title)*
/S/ DAVID L. DILORENZO
David L. DiLorenzo, President
Date: June 14, 2024
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)*
/S/ DAVID L. DILORENZO
David L. DiLorenzo, President (Principal Executive Officer)
Date: June 14, 2024
By (Signature and Title)*
/S/ KASEY L. PHILLIPS
Kasey L. Phillips, Treasurer (Principal Financial Officer and Accounting Officer) Date: June 14, 2024
* Print name and title of each signing officer under his or her signature.
