UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4975
-------------------------------------------------------------------------------
MFS MULTIMARKET INCOME TRUST
-------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
500 Boylston Street, Boston, Massachusetts 02116
-------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Susan S. Newton
Massachusetts Financial Services Company
500 Boylston Street
Boston, Massachusetts 02116
-------------------------------------------------------------------------------
(Name and address of agents for service)
Registrant's telephone number, including area code: (617) 954-5000
-------------------------------------------------------------------------------
Date of fiscal year end: October 31
-------------------------------------------------------------------------------
Date of reporting period: July 31, 2006
-------------------------------------------------------------------------------
ITEM 1. SCHEDULE OF INVESTMENTS.
MFS(R) Multimarket Income Trust
7/31/06
Quarterly portfolio holdings
[graphic omitted]
M F S(R)
INVESTMENT MANAGEMENT
MFS Multimarket Income Trust
PORTFOLIO OF INVESTMENTS (Unaudited) 07/31/2006
ISSUER SHARES/PAR VALUE ($)
---------------------------------------------------------------------------------------------------------------------------------
BONDS - 96.3%
---------------------------------------------------------------------------------------------------------------------------------
AEROSPACE - 0.3%
---------------------------------------------------------------------------------------------------------------------------------
DRS Technologies, Inc., 7.625%, 2018 $ 945,000 $ 942,638
---------------------------------------------------------------------------------------------------------------------------------
Rolls-Royce PLC, 6.375%, 2007 EUR 300,000 392,081
---------------------------------------------------------------------------------------------------------------------------------
$ 1,334,719
---------------------------------------------------------------------------------------------------------------------------------
AIRLINES - 0.2%
---------------------------------------------------------------------------------------------------------------------------------
Continental Airlines, Inc., 7.566%, 2020 $ 1,015,699 $ 996,361
---------------------------------------------------------------------------------------------------------------------------------
ASSET BACKED & SECURITIZED - 12.2%
---------------------------------------------------------------------------------------------------------------------------------
Amresco Commercial Mortgage Funding I, 7%, 2029 $ 3,570,000 $ 3,594,279
---------------------------------------------------------------------------------------------------------------------------------
ARCap REIT, Inc., "H", 6.1%, 2045 (a) 2,000,000 1,747,188
---------------------------------------------------------------------------------------------------------------------------------
Asset Securitization Corp., FRN, 8.2942%, 2029 1,877,956 1,945,426
---------------------------------------------------------------------------------------------------------------------------------
Banc of America Commercial Mortgage, Inc., FRN, 4.857%, 2043 1,375,626 1,296,816
---------------------------------------------------------------------------------------------------------------------------------
Banc of America Commercial Mortgage, Inc., FRN, 5.3539%, 2047 1,375,626 1,332,142
---------------------------------------------------------------------------------------------------------------------------------
Bayview Financial Acquisition Trust, FRN, 5.483%, 2041 1,130,000 1,102,280
---------------------------------------------------------------------------------------------------------------------------------
Bayview Financial Revolving Mortgage Loan Trust, FRN, 6.2%, 2040 (z) 4,000,000 4,000,000
---------------------------------------------------------------------------------------------------------------------------------
Chalet Finance 1 PLC, 3.317%, 2013 EUR 300,000 383,441
---------------------------------------------------------------------------------------------------------------------------------
Countrywide Asset-Backed Certificates, FRN, 4.575%, 2035 $ 614,000 607,001
---------------------------------------------------------------------------------------------------------------------------------
CPS Auto Receivables Trust, 2.89%, 2009 (z) 222,007 218,088
---------------------------------------------------------------------------------------------------------------------------------
Crest Ltd., 7%, 2040 (a) 2,000,000 1,810,640
---------------------------------------------------------------------------------------------------------------------------------
DEPFA Bank, 5.5%, 2010 EUR 960,000 1,293,001
---------------------------------------------------------------------------------------------------------------------------------
Deutsche Mortgage & Asset Receiving Corp., 7.5%, 2031 $ 1,847,000 2,007,902
---------------------------------------------------------------------------------------------------------------------------------
DLJ Commercial Mortgage Corp., 6.04%, 2031 2,000,000 2,015,407
---------------------------------------------------------------------------------------------------------------------------------
Falcon Franchise Loan LLC, FRN, 4.1039%, 2025 (i)(z) 7,886,321 1,268,387
---------------------------------------------------------------------------------------------------------------------------------
First Union National Bank Commercial Mortgage Trust, FRN, 1.1898%, 2043 (i)(a) 28,850,926 1,023,559
---------------------------------------------------------------------------------------------------------------------------------
First Union-Lehman Brothers Bank of America, FRN, 0.6865%, 2035 (i) 65,283,992 1,100,453
---------------------------------------------------------------------------------------------------------------------------------
First Union-Lehman Brothers Commercial Mortgage Trust, 7%, 2029 (a) 1,847,000 1,946,384
---------------------------------------------------------------------------------------------------------------------------------
First Union-Lehman Brothers Commercial Mortgage Trust, FRN, 7.5%, 2029 1,846,973 2,043,536
---------------------------------------------------------------------------------------------------------------------------------
GMAC Commercial Mortgage Securities, Inc., 6.02%, 2033 2,542,000 2,564,482
---------------------------------------------------------------------------------------------------------------------------------
GMAC Commercial Mortgage Securities, Inc., FRN, 7.9122%, 2034 (a) 1,853,000 1,998,330
---------------------------------------------------------------------------------------------------------------------------------
Granites Mortgages PLC, FRN, 5.15%, 2042 EUR 350,000 451,995
---------------------------------------------------------------------------------------------------------------------------------
J.P. Morgan Chase Commercial Mortgage Securities Corp., FRN, 5.4723%, 2043 $ 1,375,626 1,340,545
---------------------------------------------------------------------------------------------------------------------------------
J.P. Morgan Chase Commercial Mortgage Securities Corp., FRN, 5.53%, 2046 2,592,895 2,598,151
---------------------------------------------------------------------------------------------------------------------------------
Lehman Brothers Commercial Conduit Mortgage Trust, FRN, 1.1565%, 2030 (i) 17,547,265 383,776
---------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital I, Inc., 6.86%, 2010 2,215,000 2,220,398
---------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital I, Inc., FRN, 1.4476%, 2039 (a)(i) 14,915,475 1,001,813
---------------------------------------------------------------------------------------------------------------------------------
Mortgage Capital Funding, Inc., FRN, 0.889%, 2031 (i) 16,875,962 179,614
---------------------------------------------------------------------------------------------------------------------------------
Multi-Family Capital Access One, Inc., 6.65%, 2024 103,837 105,531
---------------------------------------------------------------------------------------------------------------------------------
Preferred Term Securities IV Ltd., CDO, FRN, 7.6456%, 2031 (z) 3,000,000 3,018,750
---------------------------------------------------------------------------------------------------------------------------------
Prudential Securities Secured Financing Corp., FRN, 7.4499%, 2013 (z) 2,581,000 2,694,539
---------------------------------------------------------------------------------------------------------------------------------
RMAC PLC, FRN, 3.19%, 2036 (a) EUR 184,558 235,680
---------------------------------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., FRN, 4.67%, 2035 $ 4,570,839 4,504,497
---------------------------------------------------------------------------------------------------------------------------------
TIAA Real Estate CDO Ltd., 7.17%, 2032 (a) 1,958,720 1,974,188
---------------------------------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust, 4.935%, 2042 2,000,000 1,895,014
---------------------------------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust, FRN, 5.083%, 2042 2,000,000 1,913,692
---------------------------------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust, FRN, 5.118%, 2042 1,375,626 1,319,199
---------------------------------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust, FRN, 5.4908%, 2044 2,777,000 2,699,786
---------------------------------------------------------------------------------------------------------------------------------
$ 63,835,910
---------------------------------------------------------------------------------------------------------------------------------
AUTOMOTIVE - 3.0%
---------------------------------------------------------------------------------------------------------------------------------
American Axle & Manufacturing, Inc., 5.25%, 2014 $ 1,085,000 $ 895,125
---------------------------------------------------------------------------------------------------------------------------------
Continental AG, 6.875%, 2008 EUR 100,000 136,031
---------------------------------------------------------------------------------------------------------------------------------
DaimlerChrysler N.A. Holdings Corp., 8.5%, 2031 $ 1,251,000 1,444,761
---------------------------------------------------------------------------------------------------------------------------------
DaimlerChrysler Note, 5.625%, 2007 EUR 100,000 128,882
---------------------------------------------------------------------------------------------------------------------------------
Ford Motor Credit Co., 6.625%, 2008 $ 422,000 406,516
---------------------------------------------------------------------------------------------------------------------------------
Ford Motor Credit Co., 5.8%, 2009 410,000 381,175
---------------------------------------------------------------------------------------------------------------------------------
Ford Motor Credit Co., 7.375%, 2009 2,115,000 1,995,025
---------------------------------------------------------------------------------------------------------------------------------
Ford Motor Credit Co., 5.7%, 2010 1,102,000 987,364
---------------------------------------------------------------------------------------------------------------------------------
Ford Motor Credit Co., 7%, 2013 1,064,000 934,539
---------------------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 6%, 2006 EUR 375,000 479,901
---------------------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 6.125%, 2008 $ 503,000 494,439
---------------------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 5.85%, 2009 962,000 924,461
---------------------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 6.75%, 2014 3,643,000 3,429,221
---------------------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 8%, 2031 1,155,000 1,132,712
---------------------------------------------------------------------------------------------------------------------------------
General Motors Corp., 8.375%, 2033 210,000 172,200
---------------------------------------------------------------------------------------------------------------------------------
Johnson Controls, Inc., 5.25%, 2011 1,180,000 1,157,083
---------------------------------------------------------------------------------------------------------------------------------
Lear Corp., 8.11%, 2009 594,000 577,665
---------------------------------------------------------------------------------------------------------------------------------
Lear Corp., 5.75%, 2014 5,000 4,050
--------------------------------------------------------------------------------------------------------------------------------
$ 15,681,150
---------------------------------------------------------------------------------------------------------------------------------
BANKS & CREDIT COMPANIES - 4.8%
---------------------------------------------------------------------------------------------------------------------------------
ATF Bank JSC, 9.25%, 2012 $ 14,000 $ 14,263
---------------------------------------------------------------------------------------------------------------------------------
Banco BMG S.A., 9.15%, 2016 (a) 714,000 705,075
---------------------------------------------------------------------------------------------------------------------------------
Banco do Estado de Banespa, 8.7%, 2049 15,000 15,225
---------------------------------------------------------------------------------------------------------------------------------
Banco do Estado de Sao Paulo S.A., 8.7%, 2049 (a) 577,000 585,655
---------------------------------------------------------------------------------------------------------------------------------
Banco Hipotecario S.A., 9.75%, 2016 (a) 35,000 35,000
---------------------------------------------------------------------------------------------------------------------------------
Banco Mercantil del Norte S.A., 5.875% to 2009, FRN to 2014 (a) 655,000 651,725
---------------------------------------------------------------------------------------------------------------------------------
Bank of Ireland, 7.4%, 2049 EUR 500,000 719,957
---------------------------------------------------------------------------------------------------------------------------------
BNP Paribas Capital Trust III, 6.625% to 2011, FRN to 2049 EUR 100,000 141,258
---------------------------------------------------------------------------------------------------------------------------------
BNP Paribas, 5.186% to 2015, FRN to 2049 (a) $ 2,099,000 1,940,129
---------------------------------------------------------------------------------------------------------------------------------
Chuo Mitsui Trust & Banking Co., 5.506% to 2015, FRN to 2049 (a) 642,000 599,327
---------------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston (USA), Inc., 4.875%, 2010 1,023,000 998,407
---------------------------------------------------------------------------------------------------------------------------------
Credit Suisse Group, 7.974%, 2010 EUR 265,000 382,931
---------------------------------------------------------------------------------------------------------------------------------
HBOS Capital Funding LP, 6.071% to 2014, FRN to 2049 (a) $ 1,543,000 1,528,797
---------------------------------------------------------------------------------------------------------------------------------
HSBK Europe B.V., 7.75%, 2013 (a) 597,000 605,209
---------------------------------------------------------------------------------------------------------------------------------
J.P. Morgan Chase & Co., 5.125%, 2014 2,755,000 2,623,788
---------------------------------------------------------------------------------------------------------------------------------
Mizuho Capital Investment 1 Ltd., 6.686% to 2016, FRN to 2049 (a) 1,220,000 1,196,336
---------------------------------------------------------------------------------------------------------------------------------
Mizuho Financial Group, Inc., 5.79%, 2014 (a) 1,633,000 1,615,529
---------------------------------------------------------------------------------------------------------------------------------
MUFG Capital Finance 1 Ltd., 6.346% to 2016, FRN to 2049 1,568,000 1,533,678
---------------------------------------------------------------------------------------------------------------------------------
National Westminster Bank PLC, 6.625% to 2009, FRN to 2049 EUR 330,000 453,394
---------------------------------------------------------------------------------------------------------------------------------
RBS Capital Trust II, 6.425% to 2034, FRN to 2049 $ 833,000 794,340
---------------------------------------------------------------------------------------------------------------------------------
Resona Bank Ltd., 5.85% to 2016, FRN to 2049 (a) 626,000 595,370
---------------------------------------------------------------------------------------------------------------------------------
Russian Standard Finance S.A., 7.5%, 2010 (a) 257,000 245,435
---------------------------------------------------------------------------------------------------------------------------------
Russian Standard Finance S.A., 8.625%, 2011 (a) 769,000 754,581
---------------------------------------------------------------------------------------------------------------------------------
SG Capital Trust I, 7.875% to 2010, FRN to 2049 EUR 300,000 429,216
---------------------------------------------------------------------------------------------------------------------------------
Turanalem Finance B.V., 7.875%, 2010 $ 15,000 15,281
---------------------------------------------------------------------------------------------------------------------------------
Turanalem Finance B.V., 7.75%, 2013 (a) 595,000 588,306
---------------------------------------------------------------------------------------------------------------------------------
VTB Capital S.A., 7.5%, 2011 68,000 71,312
---------------------------------------------------------------------------------------------------------------------------------
Wachovia Capital Trust III, 5.8% to 2011, FRN to 2042 4,068,000 4,002,090
---------------------------------------------------------------------------------------------------------------------------------
Woori Bank, 6.125% to 2011, FRN to 2016 (a) 1,510,000 1,504,137
---------------------------------------------------------------------------------------------------------------------------------
$ 25,345,751
---------------------------------------------------------------------------------------------------------------------------------
BROADCASTING - 2.3%
---------------------------------------------------------------------------------------------------------------------------------
Allbritton Communications Co., 7.75%, 2012 $ 795,000 $ 787,050
---------------------------------------------------------------------------------------------------------------------------------
EchoStar DBS Corp., 6.375%, 2011 4,205,000 4,110,388
---------------------------------------------------------------------------------------------------------------------------------
Intelsat Subsidiary Holding Co. Ltd., 8.625%, 2015 580,000 574,200
---------------------------------------------------------------------------------------------------------------------------------
Lamar Media Corp., 7.25%, 2013 1,460,000 1,434,450
---------------------------------------------------------------------------------------------------------------------------------
Liberty Media Corp., 5.7%, 2013 2,799,000 2,594,259
---------------------------------------------------------------------------------------------------------------------------------
News America Holdings, 7.7%, 2025 2,217,000 2,394,706
---------------------------------------------------------------------------------------------------------------------------------
$ 11,895,053
---------------------------------------------------------------------------------------------------------------------------------
BROKERAGE & ASSET MANAGERS - 1.0%
---------------------------------------------------------------------------------------------------------------------------------
Goldman Sachs Group, Inc., 5.7%, 2012 $ 2,665,000 $ 2,653,461
---------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley Dean Witter, Inc., 6.6%, 2012 2,538,000 2,653,355
---------------------------------------------------------------------------------------------------------------------------------
$ 5,306,816
---------------------------------------------------------------------------------------------------------------------------------
BUILDING - 0.5%
---------------------------------------------------------------------------------------------------------------------------------
American Standard Cos., Inc., 7.375%, 2008 $ 2,500,000 $ 2,550,253
---------------------------------------------------------------------------------------------------------------------------------
BUSINESS SERVICES - 0.5%
---------------------------------------------------------------------------------------------------------------------------------
Iron Mountain, Inc., 7.75%, 2015 $ 375,000 $ 365,625
---------------------------------------------------------------------------------------------------------------------------------
Xerox Corp., 7.625%, 2013 2,010,000 2,030,100
---------------------------------------------------------------------------------------------------------------------------------
$ 2,395,725
---------------------------------------------------------------------------------------------------------------------------------
CABLE TV - 2.7%
---------------------------------------------------------------------------------------------------------------------------------
CCH II Holdings LLC, 10.25%, 2010 $ 1,025,000 $ 1,035,250
---------------------------------------------------------------------------------------------------------------------------------
Cox Communications, Inc., 4.625%, 2013 1,744,000 1,583,161
---------------------------------------------------------------------------------------------------------------------------------
CSC Holdings, Inc., 8.125%, 2009 1,969,000 2,015,764
---------------------------------------------------------------------------------------------------------------------------------
Grupo Televisa S.A., 8.5%, 2032 463,000 542,016
---------------------------------------------------------------------------------------------------------------------------------
Mediacom LLC, 9.5%, 2013 490,000 496,125
---------------------------------------------------------------------------------------------------------------------------------
Rogers Cable, Inc., 5.5%, 2014 1,975,000 1,775,031
---------------------------------------------------------------------------------------------------------------------------------
TCI Communications Financing III, 9.65%, 2027 5,000,000 5,326,435
---------------------------------------------------------------------------------------------------------------------------------
TCI Communications, Inc., 9.8%, 2012 1,135,000 1,316,227
---------------------------------------------------------------------------------------------------------------------------------
$ 14,090,009
---------------------------------------------------------------------------------------------------------------------------------
CHEMICALS - 1.4%
---------------------------------------------------------------------------------------------------------------------------------
Akzo Nobel N.V., 5.625%, 2009 EUR 100,000 $ 133,021
---------------------------------------------------------------------------------------------------------------------------------
BCP Crystal Holdings Corp., 9.625%, 2014 $ 413,000 443,459
---------------------------------------------------------------------------------------------------------------------------------
Equistar Chemicals, 10.625%, 2011 1,225,000 1,316,875
---------------------------------------------------------------------------------------------------------------------------------
Equistar Chemicals, LP, 10.125%, 2008 520,000 547,300
---------------------------------------------------------------------------------------------------------------------------------
Hercules, Inc., 6.75%, 2029 1,530,000 1,430,550
---------------------------------------------------------------------------------------------------------------------------------
Huntsman International LLC, 10.125%, 2009 575,000 583,625
---------------------------------------------------------------------------------------------------------------------------------
Linde Finance B.V., 6% to 2013, FRN to 2049 EUR 101,000 127,694
---------------------------------------------------------------------------------------------------------------------------------
Lyondell Chemical Co., 11.125%, 2012 $ 1,330,000 1,448,038
---------------------------------------------------------------------------------------------------------------------------------
Nalco Co., 7.75%, 2011 1,410,000 1,417,050
---------------------------------------------------------------------------------------------------------------------------------
Nalco Co., 8.875%, 2013 150,000 151,500
---------------------------------------------------------------------------------------------------------------------------------
$ 7,599,112
---------------------------------------------------------------------------------------------------------------------------------
CONGLOMERATES - 0.0%
---------------------------------------------------------------------------------------------------------------------------------
Thyssenkrupp Finance B.V., 7%, 2009 EUR 100,000 $ 136,609
---------------------------------------------------------------------------------------------------------------------------------
CONSTRUCTION - 0.6%
---------------------------------------------------------------------------------------------------------------------------------
Beazer Homes USA, Inc., 6.875%, 2015 $ 2,050,000 $ 1,824,500
---------------------------------------------------------------------------------------------------------------------------------
M/I Homes, Inc., 6.875%, 2012 1,325,000 1,132,875
---------------------------------------------------------------------------------------------------------------------------------
Urbi Desarrollos Urbanos S.A. de C.V., 8.5%, 2016 (a) 28,000 28,700
---------------------------------------------------------------------------------------------------------------------------------
$ 2,986,075
---------------------------------------------------------------------------------------------------------------------------------
CONSUMER GOODS & SERVICES - 0.4%
---------------------------------------------------------------------------------------------------------------------------------
ASSA ABLOY AB, 5.125%, 2006 EUR 30,000 $ 38,517
---------------------------------------------------------------------------------------------------------------------------------
Church & Dwight Co., Inc., 6%, 2012 $ 805,000 751,669
---------------------------------------------------------------------------------------------------------------------------------
Fortune Brands, Inc., 5.125%, 2011 632,000 612,094
---------------------------------------------------------------------------------------------------------------------------------
Service Corp. International, 7%, 2017 (a) 560,000 522,900
---------------------------------------------------------------------------------------------------------------------------------
Sodexho Alliance S.A., 5.875%, 2009 EUR 100,000 133,841
---------------------------------------------------------------------------------------------------------------------------------
$ 2,059,021
---------------------------------------------------------------------------------------------------------------------------------
CONTAINERS - 0.8%
---------------------------------------------------------------------------------------------------------------------------------
Ball Corp., 6.625%, 2018 $ 1,025,000 $ 968,625
---------------------------------------------------------------------------------------------------------------------------------
Crown Americas, 7.75%, 2015 (a) 1,215,000 1,198,294
---------------------------------------------------------------------------------------------------------------------------------
Owens-Brockway Glass Container, Inc., 8.875%, 2009 453,000 467,156
---------------------------------------------------------------------------------------------------------------------------------
Owens-Brockway Glass Container, Inc., 8.25%, 2013 1,815,000 1,837,688
---------------------------------------------------------------------------------------------------------------------------------
$ 4,471,763
---------------------------------------------------------------------------------------------------------------------------------
DEFENSE ELECTRONICS - 0.3%
---------------------------------------------------------------------------------------------------------------------------------
L-3 Communications Corp., 5.875%, 2015 $ 1,630,000 $ 1,528,125
---------------------------------------------------------------------------------------------------------------------------------
ELECTRONICS - 0.3%
---------------------------------------------------------------------------------------------------------------------------------
Flextronics International Ltd., 6.5%, 2013 $ 1,660,000 $ 1,610,200
---------------------------------------------------------------------------------------------------------------------------------
EMERGING MARKET QUASI-SOVEREIGN - 0.6%
---------------------------------------------------------------------------------------------------------------------------------
Banco Nacional de Desenvolvi, FRN, 5.873%, 2008 $ 75,000 $ 73,973
---------------------------------------------------------------------------------------------------------------------------------
Gazprom International S.A., 7.201%, 2020 154,000 159,775
---------------------------------------------------------------------------------------------------------------------------------
Gazprom OAO, 9.625%, 2013 620,000 725,400
---------------------------------------------------------------------------------------------------------------------------------
Gazprom OAO, 8.625%, 2034 (a) 713,000 860,056
---------------------------------------------------------------------------------------------------------------------------------
National Power Corp., FRN, 9.4438%, 2011 19,000 20,735
---------------------------------------------------------------------------------------------------------------------------------
Pemex Project Funding Master Trust, 8.625%, 2022 428,000 498,088
---------------------------------------------------------------------------------------------------------------------------------
Pemex Project Funding Master Trust, 9.5%, 2027 84,000 106,344
---------------------------------------------------------------------------------------------------------------------------------
Pemex Project Funding Master Trust, 6.625%, 2035 73,000 70,053
---------------------------------------------------------------------------------------------------------------------------------
Pemex Project Funding Master Trust, FRN, 6.6294%, 2010 14,000 14,336
---------------------------------------------------------------------------------------------------------------------------------
Petronas Capital Ltd., 7.875%, 2022 602,000 703,921
---------------------------------------------------------------------------------------------------------------------------------
$ 3,232,681
---------------------------------------------------------------------------------------------------------------------------------
EMERGING MARKET SOVEREIGN - 1.7%
---------------------------------------------------------------------------------------------------------------------------------
Banco de La Republica Oriental del Uruguay, 10.5%, 2006 UYU 1,073,370 $ 45,743
---------------------------------------------------------------------------------------------------------------------------------
Banque Centrale de Tunisie, 7.375%, 2012 $ 28,000 29,540
---------------------------------------------------------------------------------------------------------------------------------
Federative Republic of Brazil, 7.875%, 2015 36,000 38,826
---------------------------------------------------------------------------------------------------------------------------------
Federative Republic of Brazil, 8%, 2018 141,000 152,703
---------------------------------------------------------------------------------------------------------------------------------
Federative Republic of Brazil, 8.875%, 2019 132,000 153,120
---------------------------------------------------------------------------------------------------------------------------------
Federative Republic of Brazil, 8.875%, 2024 89,000 103,418
---------------------------------------------------------------------------------------------------------------------------------
Federative Republic of Brazil, 8.25%, 2034 52,000 57,772
---------------------------------------------------------------------------------------------------------------------------------
Federative Republic of Brazil, 11%, 2040 84,000 107,772
---------------------------------------------------------------------------------------------------------------------------------
Federative Republic of Brazil CLN, 10%, 2012 BRL 100,000 37,623
---------------------------------------------------------------------------------------------------------------------------------
Pemex Project Funding Master Trust, 7.3069%, 2009 $ 108,000 111,456
---------------------------------------------------------------------------------------------------------------------------------
Republic of Algeria, FRN, 5.8125%, 2010 75,911 75,721
---------------------------------------------------------------------------------------------------------------------------------
Republic of Algeria, FRN, 5.8125%, 2010 8,889 8,867
---------------------------------------------------------------------------------------------------------------------------------
Republic of Argentina, 7%, 2011 6,000 5,820
---------------------------------------------------------------------------------------------------------------------------------
Republic of Argentina, 8.28%, 2033 70,087 65,707
---------------------------------------------------------------------------------------------------------------------------------
Republic of Argentina, FRN, 11.3611%, 2008 ARS 53,000 16,968
---------------------------------------------------------------------------------------------------------------------------------
Republic of Argentina, FRN, 5.59%, 2012 $ 848,250 786,611
---------------------------------------------------------------------------------------------------------------------------------
Republic of Argentina, FRN, 0%, 2035 (i) 438,383 40,770
---------------------------------------------------------------------------------------------------------------------------------
Republic of Bulgaria, 8.25%, 2015 242,000 278,034
---------------------------------------------------------------------------------------------------------------------------------
Republic of Colombia, 11.75%, 2010 COP29,000,000 12,851
---------------------------------------------------------------------------------------------------------------------------------
Republic of Colombia, 8.25%, 2014 $ 18,000 19,485
---------------------------------------------------------------------------------------------------------------------------------
Republic of Colombia, 12%, 2015 COP26,000,000 12,502
---------------------------------------------------------------------------------------------------------------------------------
Republic of Colombia, 8.125%, 2024 $ 46,000 49,680
---------------------------------------------------------------------------------------------------------------------------------
Republic of Colombia, FRN, 7.2163%, 2015 563,000 575,685
---------------------------------------------------------------------------------------------------------------------------------
Republic of Costa Rica, 9.995%, 2020 17,000 20,987
---------------------------------------------------------------------------------------------------------------------------------
Republic of Croatia, FRN, 6.3556%, 2010 22,182 22,265
---------------------------------------------------------------------------------------------------------------------------------
Republic of Ecuador, 9% to 2006, 10% to 2030 60,000 60,600
---------------------------------------------------------------------------------------------------------------------------------
Republic of El Salvador, 7.65%, 2035 (a) 38,000 38,475
---------------------------------------------------------------------------------------------------------------------------------
Republic of El Salvador, 7.65%, 2035 42,000 42,525
---------------------------------------------------------------------------------------------------------------------------------
Republic of Guatemala, 9.25%, 2013 11,000 12,447
---------------------------------------------------------------------------------------------------------------------------------
Republic of Indonesia, 7.25%, 2015 36,000 36,945
---------------------------------------------------------------------------------------------------------------------------------
Republic of Indonesia, 6.875%, 2017 (a) 100,000 99,375
---------------------------------------------------------------------------------------------------------------------------------
Republic of Indonesia CLN, 12.8%, 2021 25,543 26,381
---------------------------------------------------------------------------------------------------------------------------------
Republic of Panama, 7.25%, 2015 44,000 45,474
---------------------------------------------------------------------------------------------------------------------------------
Republic of Panama, 9.375%, 2029 800,000 984,000
---------------------------------------------------------------------------------------------------------------------------------
Republic of Panama, 6.7%, 2036 9,000 8,550
---------------------------------------------------------------------------------------------------------------------------------
Republic of Peru, 5%, 2017 33,950 33,101
---------------------------------------------------------------------------------------------------------------------------------
Republic of Peru, 5%, 2017 47,400 46,452
---------------------------------------------------------------------------------------------------------------------------------
Republic of Philippines, 9.375%, 2017 184,000 210,910
---------------------------------------------------------------------------------------------------------------------------------
Republic of Philippines, 9.875%, 2019 42,000 49,875
---------------------------------------------------------------------------------------------------------------------------------
Republic of Philippines, 9.5%, 2030 32,000 37,840
---------------------------------------------------------------------------------------------------------------------------------
Republic of South Africa, 7.375%, 2012 39,000 41,340
---------------------------------------------------------------------------------------------------------------------------------
Republic of Trinidad & Tobago, 9.75%, 2020 13,000 17,118
---------------------------------------------------------------------------------------------------------------------------------
Republic of Turkey, 11.5%, 2012 57,000 67,973
---------------------------------------------------------------------------------------------------------------------------------
Republic of Turkey, 11%, 2013 20,000 23,650
---------------------------------------------------------------------------------------------------------------------------------
Republic of Turkey, 9.5%, 2014 30,000 33,525
---------------------------------------------------------------------------------------------------------------------------------
Republic of Turkey, 7.25%, 2015 123,000 122,231
---------------------------------------------------------------------------------------------------------------------------------
Republic of Turkey, 7.375%, 2025 34,000 33,320
---------------------------------------------------------------------------------------------------------------------------------
Republic of Turkey, 8%, 2034 11,000 11,248
---------------------------------------------------------------------------------------------------------------------------------
Republic of Uruguay, 7.5%, 2015 87,000 88,088
---------------------------------------------------------------------------------------------------------------------------------
Republic of Venezuela, 8.5%, 2014 87,000 95,265
---------------------------------------------------------------------------------------------------------------------------------
Republic of Venezuela, 7%, 2018 188,000 187,060
---------------------------------------------------------------------------------------------------------------------------------
Republic of Venezuela, 9.375%, 2034 29,000 35,815
---------------------------------------------------------------------------------------------------------------------------------
Russian Federation, 3%, 2008 1,983,000 1,885,635
---------------------------------------------------------------------------------------------------------------------------------
United Mexican States, 6.375%, 2013 448,000 460,544
---------------------------------------------------------------------------------------------------------------------------------
United Mexican States, 8.125%, 2019 739,000 861,674
---------------------------------------------------------------------------------------------------------------------------------
United Mexican States, 8%, 2022 39,000 45,104
---------------------------------------------------------------------------------------------------------------------------------
United Mexican States, 10%, 2024 MXN 230,000 23,256
---------------------------------------------------------------------------------------------------------------------------------
United Mexican States, 8.3%, 2031 $ 60,000 72,150
---------------------------------------------------------------------------------------------------------------------------------
$ 8,667,872
---------------------------------------------------------------------------------------------------------------------------------
ENERGY - INDEPENDENT - 1.5%
---------------------------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp., 6.875%, 2016 $ 2,550,000 $ 2,460,750
---------------------------------------------------------------------------------------------------------------------------------
Forest Oil Corp., 7.75%, 2014 950,000 957,125
---------------------------------------------------------------------------------------------------------------------------------
Newfield Exploration Co., 6.625%, 2014 1,605,000 1,554,844
---------------------------------------------------------------------------------------------------------------------------------
Ocean Energy, Inc., 4.375%, 2007 908,000 894,927
---------------------------------------------------------------------------------------------------------------------------------
Quicksilver Resources, Inc., 7.125%, 2016 1,060,000 1,001,700
---------------------------------------------------------------------------------------------------------------------------------
Vintage Petroleum, Inc., 8.25%, 2012 950,000 1,004,967
---------------------------------------------------------------------------------------------------------------------------------
$ 7,874,313
---------------------------------------------------------------------------------------------------------------------------------
ENERGY - INTEGRATED - 0.2%
---------------------------------------------------------------------------------------------------------------------------------
TNK-BP Finance S.A., 7.5%, 2016 (a) $ 1,083,000 $ 1,096,538
---------------------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT - 0.3%
---------------------------------------------------------------------------------------------------------------------------------
AMC Entertainment, Inc., 9.5%, 2011 $ 484,000 $ 481,580
---------------------------------------------------------------------------------------------------------------------------------
AMC Entertainment, Inc., 11%, 2016 435,000 469,800
---------------------------------------------------------------------------------------------------------------------------------
Six Flags, Inc., 9.75%, 2013 475,000 436,406
---------------------------------------------------------------------------------------------------------------------------------
Turner Broadcasting System, Inc., 8.375%, 2013 419,000 463,150
---------------------------------------------------------------------------------------------------------------------------------
$ 1,850,936
---------------------------------------------------------------------------------------------------------------------------------
FINANCIAL INSTITUTIONS - 1.8%
---------------------------------------------------------------------------------------------------------------------------------
American General Finance Corp., 4.875%, 2012 $ 2,752,000 $ 2,632,071
---------------------------------------------------------------------------------------------------------------------------------
Berkshire Hathaway Finance Corp., 5.1%, 2014 4,500,000 4,330,508
---------------------------------------------------------------------------------------------------------------------------------
Capital One Bank, 4.25%, 2008 1,296,000 1,260,775
---------------------------------------------------------------------------------------------------------------------------------
Countrywide Financial Corp., 6.25%, 2016 1,250,000 1,243,919
---------------------------------------------------------------------------------------------------------------------------------
$ 9,467,273
---------------------------------------------------------------------------------------------------------------------------------
FOOD & BEVERAGES - 0.2%
---------------------------------------------------------------------------------------------------------------------------------
Allied Domecq Financial Services PLC, 5.875%, 2009 EUR 125,000 $ 166,627
---------------------------------------------------------------------------------------------------------------------------------
B&G Foods Holding Corp., 8%, 2011 $ 375,000 375,938
---------------------------------------------------------------------------------------------------------------------------------
Chaoda Modern Agriculture Holdings, 7.75%, 2010 (a) 28,000 26,600
---------------------------------------------------------------------------------------------------------------------------------
Michael Foods, Inc., 8%, 2013 685,000 676,438
---------------------------------------------------------------------------------------------------------------------------------
$ 1,245,603
---------------------------------------------------------------------------------------------------------------------------------
FOREST & PAPER PRODUCTS - 1.6%
---------------------------------------------------------------------------------------------------------------------------------
Buckeye Technologies, Inc., 8.5%, 2013 $ 795,000 $ 775,125
---------------------------------------------------------------------------------------------------------------------------------
International Paper Co., 5.375%, 2006 EUR 140,000 178,881
---------------------------------------------------------------------------------------------------------------------------------
Jefferson Smurfit Corp., 8.25%, 2012 $ 395,000 373,275
---------------------------------------------------------------------------------------------------------------------------------
MDP Acquisitions PLC, 9.625%, 2012 640,000 662,400
---------------------------------------------------------------------------------------------------------------------------------
MeadWestvaco Corp., 6.8%, 2032 679,000 645,299
---------------------------------------------------------------------------------------------------------------------------------
Norske Skog Canada Ltd., 7.375%, 2014 1,210,000 1,076,900
---------------------------------------------------------------------------------------------------------------------------------
Packaging Corp. of America, 5.75%, 2013 2,500,000 2,412,195
---------------------------------------------------------------------------------------------------------------------------------
Sino-Forest Corp., 9.125%, 2011 (a) 10,000 10,325
---------------------------------------------------------------------------------------------------------------------------------
Stora Enso Oyj, 6.404%, 2016 (a) 1,580,000 1,566,892
---------------------------------------------------------------------------------------------------------------------------------
UPM Kymmene Corp., 6.125%, 2012 EUR 100,000 136,900
---------------------------------------------------------------------------------------------------------------------------------
Verso Paper Holdings LLC, 9.125%, 2014 (a) $ 340,000 340,000
---------------------------------------------------------------------------------------------------------------------------------
$ 8,178,192
---------------------------------------------------------------------------------------------------------------------------------
GAMING & LODGING - 3.6%
---------------------------------------------------------------------------------------------------------------------------------
Boyd Gaming Corp., 6.75%, 2014 $ 1,140,000 $ 1,068,750
---------------------------------------------------------------------------------------------------------------------------------
Caesars Entertainment, Inc., 8.125%, 2011 1,520,000 1,596,000
---------------------------------------------------------------------------------------------------------------------------------
Grupo Posadas S.A. de C.V., 8.75%, 2011 13,000 13,228
---------------------------------------------------------------------------------------------------------------------------------
GTECH Holdings Corp., 5.25%, 2014 515,000 499,428
---------------------------------------------------------------------------------------------------------------------------------
Harrah's Operating Co., Inc., 5.625%, 2015 1,018,000 949,702
---------------------------------------------------------------------------------------------------------------------------------
Host Marriott LP, 7.125%, 2013 950,000 951,188
---------------------------------------------------------------------------------------------------------------------------------
Host Marriott LP, 6.375%, 2015 540,000 510,975
---------------------------------------------------------------------------------------------------------------------------------
Mandalay Resort Group, 9.375%, 2010 950,000 1,002,250
---------------------------------------------------------------------------------------------------------------------------------
MGM Mirage, Inc., 8.375%, 2011 2,530,000 2,599,575
---------------------------------------------------------------------------------------------------------------------------------
MGM Mirage, Inc., 6.75%, 2013 (a) 500,000 480,000
---------------------------------------------------------------------------------------------------------------------------------
MGM Mirage, Inc., 6.875%, 2016 (a) 420,000 395,850
---------------------------------------------------------------------------------------------------------------------------------
NCL Corp. Ltd., 10.625%, 2014 1,000,000 975,000
---------------------------------------------------------------------------------------------------------------------------------
Royal Caribbean Cruises Ltd., 7.25%, 2016 1,690,000 1,673,529
---------------------------------------------------------------------------------------------------------------------------------
Scientific Games Corp., 6.25%, 2012 825,000 769,313
---------------------------------------------------------------------------------------------------------------------------------
Starwood Hotels & Resorts Worldwide, Inc., 7.875%, 2012 3,460,000 3,650,300
---------------------------------------------------------------------------------------------------------------------------------
Station Casinos, Inc., 6.5%, 2014 945,000 869,400
---------------------------------------------------------------------------------------------------------------------------------
Wynn Las Vegas LLC, 6.625%, 2014 830,000 782,275
---------------------------------------------------------------------------------------------------------------------------------
$ 18,786,763
---------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL - 0.4%
---------------------------------------------------------------------------------------------------------------------------------
Amsted Industries, Inc., 10.25%, 2011 (z) $ 1,510,000 $ 1,623,250
---------------------------------------------------------------------------------------------------------------------------------
JohnsonDiversey Holdings, Inc., "B", 9.625%, 2012 690,000 683,100
---------------------------------------------------------------------------------------------------------------------------------
$ 2,306,350
---------------------------------------------------------------------------------------------------------------------------------
INSURANCE - 1.1%
---------------------------------------------------------------------------------------------------------------------------------
Allianz AG, 5.5% to 2014, FRN to 2049 EUR 140,000 $ 184,179
---------------------------------------------------------------------------------------------------------------------------------
ING Groep N.V., 5.775% to 2015, FRN to 2049 $ 2,500,000 2,398,188
---------------------------------------------------------------------------------------------------------------------------------
Prudential Financial, Inc., 5.1%, 2014 1,985,000 1,883,832
---------------------------------------------------------------------------------------------------------------------------------
UnumProvident Corp., 7.625%, 2011 241,000 251,985
---------------------------------------------------------------------------------------------------------------------------------
UnumProvident Corp., 6.85%, 2015 (a) 1,251,000 1,237,410
---------------------------------------------------------------------------------------------------------------------------------
$ 5,955,594
---------------------------------------------------------------------------------------------------------------------------------
INSURANCE - PROPERTY & CASUALTY - 0.8%
---------------------------------------------------------------------------------------------------------------------------------
AIG SunAmerica Global Financing X, 6.9%, 2032 (a) $ 2,384,000 $ 2,545,475
---------------------------------------------------------------------------------------------------------------------------------
Fund American Cos., Inc., 5.875%, 2013 1,464,000 1,421,368
---------------------------------------------------------------------------------------------------------------------------------
$ 3,966,843
---------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL MARKET QUASI-SOVEREIGN - 1.7%
---------------------------------------------------------------------------------------------------------------------------------
KfW Bankengruppe, 4.75%, 2006 EUR 750,000 $ 958,417
---------------------------------------------------------------------------------------------------------------------------------
KfW Bankengruppe, FRN, 2.844%, 2007 EUR 1,678,000 2,141,585
---------------------------------------------------------------------------------------------------------------------------------
Landesbank Baden-Wurttemberg, FRN, 2.879%, 2007 EUR 521,000 665,402
---------------------------------------------------------------------------------------------------------------------------------
Landesbank Baden-Wurttemberg, 2.961%, 2007 EUR 990,000 1,264,488
---------------------------------------------------------------------------------------------------------------------------------
Landesbank Baden-Wurttemberg, FRN, 3.092%, 2007 EUR 557,000 711,298
---------------------------------------------------------------------------------------------------------------------------------
Network Rail MTN Finance PLC, FRN, 2.913%, 2007 EUR 1,698,000 2,168,509
---------------------------------------------------------------------------------------------------------------------------------
Societe Nationale des Chemins de Fer Francais, 7.5%, 2008 EUR 750,000 1,016,785
---------------------------------------------------------------------------------------------------------------------------------
Vattenfall Treasury AB, 6%, 2010 EUR 125,000 170,331
---------------------------------------------------------------------------------------------------------------------------------
$ 9,096,815
---------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL MARKET SOVEREIGN - 10.5%
---------------------------------------------------------------------------------------------------------------------------------
Federal Republic of Germany, 3.5%, 2008 EUR 2,097,000 $ 2,677,838
---------------------------------------------------------------------------------------------------------------------------------
Federal Republic of Germany, 3.75%, 2015 EUR 1,959,000 2,479,856
---------------------------------------------------------------------------------------------------------------------------------
Federal Republic of Germany, 6.25%, 2030 EUR 393,000 652,926
---------------------------------------------------------------------------------------------------------------------------------
Government of Canada, 4.5%, 2015 CAD 371,000 332,105
---------------------------------------------------------------------------------------------------------------------------------
Government of New Zealand, 6%, 2017 NZD 503,000 314,513
---------------------------------------------------------------------------------------------------------------------------------
Kingdom of Denmark, 4%, 2015 DKK 1,864,000 320,181
---------------------------------------------------------------------------------------------------------------------------------
Kingdom of Netherlands, 5.75%, 2007 EUR 2,331,000 3,014,527
---------------------------------------------------------------------------------------------------------------------------------
Kingdom of Netherlands, 3.75%, 2009 EUR 2,649,000 3,397,390
---------------------------------------------------------------------------------------------------------------------------------
Kingdom of Spain, 6%, 2008 EUR 2,667,000 3,526,417
---------------------------------------------------------------------------------------------------------------------------------
Kingdom of Spain, 5.35%, 2011 EUR 2,352,000 3,230,638
---------------------------------------------------------------------------------------------------------------------------------
Republic of Austria, 5.5%, 2007 EUR 2,749,000 3,594,658
---------------------------------------------------------------------------------------------------------------------------------
Republic of Finland, 5.375%, 2013 EUR 4,476,000 6,252,324
---------------------------------------------------------------------------------------------------------------------------------
Republic of France, 4.75%, 2007 EUR 4,716,000 6,097,787
---------------------------------------------------------------------------------------------------------------------------------
Republic of France, 4%, 2009 EUR 215,000 277,820
---------------------------------------------------------------------------------------------------------------------------------
Republic of France, 5%, 2012 EUR 400,000 543,438
---------------------------------------------------------------------------------------------------------------------------------
Republic of France, 4.75%, 2012 EUR 612,000 823,266
---------------------------------------------------------------------------------------------------------------------------------
Republic of France, 5%, 2016 EUR 207,000 287,623
---------------------------------------------------------------------------------------------------------------------------------
Republic of France, 6%, 2025 EUR 442,000 701,155
---------------------------------------------------------------------------------------------------------------------------------
Republic of Ireland, 4.25%, 2007 EUR 4,742,000 6,112,442
---------------------------------------------------------------------------------------------------------------------------------
Republic of Ireland, 4.6%, 2016 EUR 1,921,000 2,585,327
---------------------------------------------------------------------------------------------------------------------------------
United Kingdom Treasury, 5.75%, 2009 GBP 1,567,000 3,018,077
---------------------------------------------------------------------------------------------------------------------------------
United Kingdom Treasury, 5%, 2012 GBP 1,607,000 3,050,396
---------------------------------------------------------------------------------------------------------------------------------
United Kingdom Treasury, 8%, 2015 GBP 813,000 1,906,232
---------------------------------------------------------------------------------------------------------------------------------
$ 55,196,936
---------------------------------------------------------------------------------------------------------------------------------
MACHINERY & TOOLS - 0.7%
---------------------------------------------------------------------------------------------------------------------------------
Case New Holland, Inc., 6%, 2009 $ 1,200,000 $ 1,176,000
---------------------------------------------------------------------------------------------------------------------------------
Case New Holland, Inc., 9.25%, 2011 340,000 358,275
---------------------------------------------------------------------------------------------------------------------------------
Case New Holland, Inc., 7.125%, 2014 820,000 797,450
---------------------------------------------------------------------------------------------------------------------------------
Manitowoc Co., Inc., 10.5%, 2012 767,000 828,360
---------------------------------------------------------------------------------------------------------------------------------
Terex Corp., 9.25%, 2011 570,000 604,200
---------------------------------------------------------------------------------------------------------------------------------
$ 3,764,285
---------------------------------------------------------------------------------------------------------------------------------
MEDICAL & HEALTH TECHNOLOGY & SERVICES - 2.3%
---------------------------------------------------------------------------------------------------------------------------------
AmerisourceBergen Corp., 5.875%, 2015 $ 1,010,000 $ 954,468
---------------------------------------------------------------------------------------------------------------------------------
Baxter International, Inc., 9.5%, 2008 2,331,000 2,481,541
---------------------------------------------------------------------------------------------------------------------------------
DaVita, Inc., 6.625%, 2013 300,000 285,750
---------------------------------------------------------------------------------------------------------------------------------
DaVita, Inc., 7.25%, 2015 1,150,000 1,099,688
---------------------------------------------------------------------------------------------------------------------------------
HCA, Inc., 8.75%, 2010 2,085,000 2,100,638
---------------------------------------------------------------------------------------------------------------------------------
HCA, Inc., 6.375%, 2015 1,540,000 1,235,850
---------------------------------------------------------------------------------------------------------------------------------
Omnicare, Inc., 6.875%, 2015 1,585,000 1,529,525
---------------------------------------------------------------------------------------------------------------------------------
Owens & Minor, Inc., 6.35%, 2016 1,420,000 1,385,745
---------------------------------------------------------------------------------------------------------------------------------
Triad Hospitals, Inc., 7%, 2013 1,175,000 1,122,125
---------------------------------------------------------------------------------------------------------------------------------
$ 12,195,330
---------------------------------------------------------------------------------------------------------------------------------
METALS & MINING - 1.0%
---------------------------------------------------------------------------------------------------------------------------------
Arch Western Finance LLC, 6.75%, 2013 $ 215,000 $ 204,788
---------------------------------------------------------------------------------------------------------------------------------
Foundation PA Coal Co., 7.25%, 2014 1,545,000 1,498,650
---------------------------------------------------------------------------------------------------------------------------------
Massey Energy Co., 6.875%, 2013 1,635,000 1,508,288
---------------------------------------------------------------------------------------------------------------------------------
Peabody Energy Corp., 5.875%, 2016 1,220,000 1,101,050
---------------------------------------------------------------------------------------------------------------------------------
Peabody Energy Corp., "B", 6.875%, 2013 340,000 330,650
---------------------------------------------------------------------------------------------------------------------------------
U.S. Steel Corp., 9.75%, 2010 795,000 846,675
---------------------------------------------------------------------------------------------------------------------------------
$ 5,490,101
---------------------------------------------------------------------------------------------------------------------------------
MORTGAGE BACKED - 4.8%
---------------------------------------------------------------------------------------------------------------------------------
Fannie Mae, 6%, 2017 - 2036 $ 3,257,470 $ 3,250,051
---------------------------------------------------------------------------------------------------------------------------------
Fannie Mae, 5.5%, 2021 - 2035 11,838,947 11,594,106
---------------------------------------------------------------------------------------------------------------------------------
Fannie Mae, 5%, 2027 - 2035 8,001,173 7,720,586
---------------------------------------------------------------------------------------------------------------------------------
Fannie Mae, 6.5%, 2031 - 2032 1,649,180 1,675,337
---------------------------------------------------------------------------------------------------------------------------------
Freddie Mac, 6%, 2021 332,574 334,874
---------------------------------------------------------------------------------------------------------------------------------
Freddie Mac, 5%, 2024 396,000 391,990
---------------------------------------------------------------------------------------------------------------------------------
$ 24,966,944
---------------------------------------------------------------------------------------------------------------------------------
NATURAL GAS - DISTRIBUTION - 0.3%
---------------------------------------------------------------------------------------------------------------------------------
AmeriGas Partners LP, 7.25%, 2015 $ 1,030,000 $ 999,100
---------------------------------------------------------------------------------------------------------------------------------
AmeriGas Partners LP, 7.125%, 2016 365,000 352,225
---------------------------------------------------------------------------------------------------------------------------------
$ 1,351,325
---------------------------------------------------------------------------------------------------------------------------------
NATURAL GAS - PIPELINE - 1.9%
---------------------------------------------------------------------------------------------------------------------------------
ANR Pipeline Co., 8.875%, 2010 $ 440,000 $ 464,971
---------------------------------------------------------------------------------------------------------------------------------
Atlas Pipeline Partners LP, 8.125%, 2015 (a) 810,000 816,075
---------------------------------------------------------------------------------------------------------------------------------
CenterPoint Energy Resources Corp., 7.875%, 2013 1,250,000 1,363,466
---------------------------------------------------------------------------------------------------------------------------------
Colorado Interstate Gas Co., 5.95%, 2015 365,000 336,729
---------------------------------------------------------------------------------------------------------------------------------
El Paso Performance-Linked, 7.75%, 2011 (a) 480,000 483,000
---------------------------------------------------------------------------------------------------------------------------------
Kinder Morgan Energy Partners LP, 5.125%, 2014 1,147,000 1,066,539
---------------------------------------------------------------------------------------------------------------------------------
Kinder Morgan Energy Partners LP, 7.4%, 2031 1,626,000 1,715,480
---------------------------------------------------------------------------------------------------------------------------------
Magellan Midstream Partners LP, 5.65%, 2016 1,123,000 1,077,522
---------------------------------------------------------------------------------------------------------------------------------
Southern Natural Gas Co., Inc., 8.875%, 2010 1,040,000 1,099,022
---------------------------------------------------------------------------------------------------------------------------------
Williams Cos., Inc., 8.75%, 2032 1,500,000 1,620,000
---------------------------------------------------------------------------------------------------------------------------------
$ 10,042,804
---------------------------------------------------------------------------------------------------------------------------------
NETWORK & TELECOM - 2.9%
---------------------------------------------------------------------------------------------------------------------------------
BellSouth Corp., 6.55%, 2034 $ 3,213,000 $ 3,101,207
---------------------------------------------------------------------------------------------------------------------------------
Citizens Communications Co., 9.25%, 2011 1,785,000 1,936,725
---------------------------------------------------------------------------------------------------------------------------------
Citizens Communications Co., 9%, 2031 870,000 891,750
---------------------------------------------------------------------------------------------------------------------------------
Deutsche Telekom International Finance B.V., 8.125%, 2012 EUR 130,000 197,249
---------------------------------------------------------------------------------------------------------------------------------
Deutsche Telekom International Finance B.V., 8.25%, 2030 $ 1,477,000 1,727,905
---------------------------------------------------------------------------------------------------------------------------------
Nordic Telephone Co. Holdings, 8.875%, 2016 (a) 370,000 381,100
---------------------------------------------------------------------------------------------------------------------------------
OTE Telecommunications PLC, 6.125%, 2007 EUR 195,000 252,283
---------------------------------------------------------------------------------------------------------------------------------
Qwest Corp., 7.875%, 2011 $ 1,890,000 1,956,150
---------------------------------------------------------------------------------------------------------------------------------
Qwest Corp., 8.875%, 2012 950,000 1,023,625
---------------------------------------------------------------------------------------------------------------------------------
Telecom Italia Capital, 6%, 2034 2,020,000 1,788,504
---------------------------------------------------------------------------------------------------------------------------------
Telefonica Europe B.V., 7.75%, 2010 1,500,000 1,601,832
---------------------------------------------------------------------------------------------------------------------------------
Windstream Corp., 8.625%, 2016 (a) 340,000 353,600
---------------------------------------------------------------------------------------------------------------------------------
$ 15,211,930
---------------------------------------------------------------------------------------------------------------------------------
OIL SERVICES - 0.2%
---------------------------------------------------------------------------------------------------------------------------------
Basic Energy Services, Inc., 7.125%, 2016 (a) $ 445,000 $ 414,963
---------------------------------------------------------------------------------------------------------------------------------
GulfMark Offshore, Inc., 7.75%, 2014 760,000 739,100
---------------------------------------------------------------------------------------------------------------------------------
$ 1,154,063
---------------------------------------------------------------------------------------------------------------------------------
OILS - 0.5%
---------------------------------------------------------------------------------------------------------------------------------
Premcor Refining Group, Inc., 7.5%, 2015 $ 2,575,000 $ 2,675,863
---------------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS - 0.2%
---------------------------------------------------------------------------------------------------------------------------------
Schering-Plough Corp., 6.75%, 2033 $ 1,002,000 $ 1,052,222
---------------------------------------------------------------------------------------------------------------------------------
POLLUTION CONTROL - 0.1%
---------------------------------------------------------------------------------------------------------------------------------
Veolia Environnement, 5.875%, 2008 EUR 250,000 $ 331,227
---------------------------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING - 0.6%
---------------------------------------------------------------------------------------------------------------------------------
Bertelsmann U.S. Finance, Inc., 4.625%, 2010 EUR 148,000 $ 191,398
---------------------------------------------------------------------------------------------------------------------------------
Dex Media East LLC, 9.875%, 2009 $ 1,235,000 1,304,469
---------------------------------------------------------------------------------------------------------------------------------
Dex Media West LLC, 9.875%, 2013 567,000 610,943
---------------------------------------------------------------------------------------------------------------------------------
MediaNews Group, Inc., 6.875%, 2013 1,060,000 971,225
---------------------------------------------------------------------------------------------------------------------------------
Pearson PLC, 6.125%, 2007 EUR 135,000 174,538
---------------------------------------------------------------------------------------------------------------------------------
Reed Elsevier Capital, Inc., 5.75%, 2008 EUR 125,000 165,420
---------------------------------------------------------------------------------------------------------------------------------
$ 3,417,993
---------------------------------------------------------------------------------------------------------------------------------
RAILROAD & SHIPPING - 0.1%
---------------------------------------------------------------------------------------------------------------------------------
TFM S.A. de C.V., 9.375%, 2012 $ 717,000 $ 761,813
---------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE - 0.3%
---------------------------------------------------------------------------------------------------------------------------------
Simon Property Group LP, REIT, 4.6%, 2010 $ 1,375,000 $ 1,327,230
---------------------------------------------------------------------------------------------------------------------------------
RESTAURANTS - 0.3%
---------------------------------------------------------------------------------------------------------------------------------
YUM! Brands, Inc., 6.25%, 2016 $ 1,630,000 $ 1,633,327
---------------------------------------------------------------------------------------------------------------------------------
RETAILERS - 1.4%
---------------------------------------------------------------------------------------------------------------------------------
Couche-Tard, Inc., 7.5%, 2013 $ 905,000 $ 902,738
---------------------------------------------------------------------------------------------------------------------------------
Dollar General Corp., 8.625%, 2010 685,000 724,388
---------------------------------------------------------------------------------------------------------------------------------
Gap, Inc., 9.55%, 2008 2,710,000 2,920,627
---------------------------------------------------------------------------------------------------------------------------------
Limited Brands, Inc., 5.25%, 2014 2,294,000 2,100,611
---------------------------------------------------------------------------------------------------------------------------------
Steinway Musical Instruments, Inc., 7%, 2014 (a) 655,000 627,163
---------------------------------------------------------------------------------------------------------------------------------
$ 7,275,527
---------------------------------------------------------------------------------------------------------------------------------
SPECIALTY STORES - 0.2%
---------------------------------------------------------------------------------------------------------------------------------
GSC Holdings Corp., 8%, 2012 $ 655,000 $ 664,825
---------------------------------------------------------------------------------------------------------------------------------
LVMH Moet Hennessy Louis Vuitton S.A., 4.625%, 2011 EUR 125,000 162,065
---------------------------------------------------------------------------------------------------------------------------------
$ 826,890
---------------------------------------------------------------------------------------------------------------------------------
STEEL - 0.2%
---------------------------------------------------------------------------------------------------------------------------------
Chaparral Steel Co., 10%, 2013 $ 1,090,000 $ 1,201,725
---------------------------------------------------------------------------------------------------------------------------------
SUPERMARKETS - 0.5%
---------------------------------------------------------------------------------------------------------------------------------
Safeway, Inc., 6.5%, 2008 $ 2,500,000 $ 2,541,190
---------------------------------------------------------------------------------------------------------------------------------
SUPRANATIONAL - 0.3%
---------------------------------------------------------------------------------------------------------------------------------
Central American Bank, 4.875%, 2012 (a) $ 521,000 $ 491,833
---------------------------------------------------------------------------------------------------------------------------------
European Investment Bank, 5.375%, 2012 EUR 750,000 1,035,968
---------------------------------------------------------------------------------------------------------------------------------
$ 1,527,801
---------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS - WIRELESS - 1.0%
---------------------------------------------------------------------------------------------------------------------------------
Centennial Communications Corp., 10.125%, 2013 $ 520,000 $ 548,600
---------------------------------------------------------------------------------------------------------------------------------
Mobile TeleSystems Finance S.A., 8.375%, 2010 19,000 19,380
---------------------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 5.95%, 2014 2,760,000 2,674,680
---------------------------------------------------------------------------------------------------------------------------------
Rogers Wireless, Inc., 6.375%, 2014 950,000 912,000
---------------------------------------------------------------------------------------------------------------------------------
Rogers Wireless, Inc., 7.5%, 2015 980,000 1,004,500
---------------------------------------------------------------------------------------------------------------------------------
$ 5,159,160
---------------------------------------------------------------------------------------------------------------------------------
TOBACCO - 0.5%
---------------------------------------------------------------------------------------------------------------------------------
Altria Group, Inc., 5.625%, 2008 EUR 75,000 $ 98,530
---------------------------------------------------------------------------------------------------------------------------------
Reynolds American, Inc., 7.25%, 2012 (a) $ 2,508,000 2,526,649
---------------------------------------------------------------------------------------------------------------------------------
$ 2,625,179
---------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - SERVICES - 0.4%
---------------------------------------------------------------------------------------------------------------------------------
Hertz Corp., 8.875%, 2014 (a) $ 685,000 $ 714,113
---------------------------------------------------------------------------------------------------------------------------------
Stena AB, 7%, 2016 $ 812,000 $ 755,160
---------------------------------------------------------------------------------------------------------------------------------
Westinghouse Air Brake Technologies Corp., 6.875%, 2013 795,000 783,075
---------------------------------------------------------------------------------------------------------------------------------
$ 2,252,348
---------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES - 0.8%
---------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Bank, 4.625%, 2008 $ 2,730,000 $ 2,703,019
---------------------------------------------------------------------------------------------------------------------------------
Small Business Administration, 5.34%, 2021 1,259,737 1,254,344
---------------------------------------------------------------------------------------------------------------------------------
$ 3,957,363
---------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS - 11.6%
---------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds, 5.375%, 2031 $ 4,514,000 $ 4,667,404
---------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds, 4.5%, 2036 5,000,000 4,563,670
---------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Notes, 6.5%, 2010 (f) 34,605,000 36,348,781
---------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Notes, 4.25%, 2013 8,745,000 8,374,361
---------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Notes, 4.5%, 2016 2,718,000 2,617,986
---------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Notes, TIPS, 3.875%, 2009 3,899,975 4,037,083
---------------------------------------------------------------------------------------------------------------------------------
$ 60,609,285
---------------------------------------------------------------------------------------------------------------------------------
UTILITIES - ELECTRIC POWER - 5.9%
---------------------------------------------------------------------------------------------------------------------------------
Allegheny Energy Supply Co. LLC, 8.25%, 2012 (a) $ 805,000 $ 857,325
---------------------------------------------------------------------------------------------------------------------------------
Beaver Valley Funding Corp., 9%, 2017 4,599,000 5,139,245
---------------------------------------------------------------------------------------------------------------------------------
BVPS II Funding Corp., 8.68%, 2017 755,000 845,811
---------------------------------------------------------------------------------------------------------------------------------
DPL, Inc., 6.875%, 2011 1,393,000 1,443,925
---------------------------------------------------------------------------------------------------------------------------------
Duke Capital Corp., 8%, 2019 691,000 778,356
---------------------------------------------------------------------------------------------------------------------------------
Edison Mission Energy, 7.75%, 2016 (a) 795,000 785,063
---------------------------------------------------------------------------------------------------------------------------------
Enersis S.A., 7.375%, 2014 844,000 869,524
---------------------------------------------------------------------------------------------------------------------------------
HQI Transelec Chile S.A., 7.875%, 2011 383,000 400,565
---------------------------------------------------------------------------------------------------------------------------------
MidAmerican Energy Holdings Co., 6.125%, 2036 (a) 2,000,000 1,924,550
---------------------------------------------------------------------------------------------------------------------------------
Midwest Generation LLC, 8.75%, 2034 685,000 728,669
---------------------------------------------------------------------------------------------------------------------------------
Mirant North American LLC, 7.375%, 2013 1,155,000 1,110,244
---------------------------------------------------------------------------------------------------------------------------------
MSW Energy Holdings LLC, 7.375%, 2010 1,045,000 1,045,000
---------------------------------------------------------------------------------------------------------------------------------
National Grid Group Finance PLC, 5.25%, 2006 EUR 200,000 255,690
---------------------------------------------------------------------------------------------------------------------------------
Nevada Power Co., 5.875%, 2015 $ 1,965,000 1,893,553
---------------------------------------------------------------------------------------------------------------------------------
NorthWestern Corp., 5.875%, 2014 1,695,000 1,676,969
---------------------------------------------------------------------------------------------------------------------------------
NRG Energy, Inc., 7.375%, 2016 2,405,000 2,350,888
---------------------------------------------------------------------------------------------------------------------------------
Reliant Resources, Inc., 9.25%, 2010 490,000 502,250
---------------------------------------------------------------------------------------------------------------------------------
Reliant Resources, Inc., 9.5%, 2013 20,000 20,500
---------------------------------------------------------------------------------------------------------------------------------
RWE Finance B.V., 5.375%, 2008 EUR 6,000 7,871
---------------------------------------------------------------------------------------------------------------------------------
System Energy Resources, Inc., 5.129%, 2014 (a) $ 2,371,044 2,297,447
---------------------------------------------------------------------------------------------------------------------------------
TXU Corp., 5.55%, 2014 1,250,000 1,141,822
---------------------------------------------------------------------------------------------------------------------------------
TXU Energy Co., 7%, 2013 2,670,000 2,749,411
---------------------------------------------------------------------------------------------------------------------------------
Waterford 3 Funding Corp., 8.09%, 2017 1,907,493 1,945,491
---------------------------------------------------------------------------------------------------------------------------------
$ 30,770,169
---------------------------------------------------------------------------------------------------------------------------------
TOTAL BONDS $504,868,455
---------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS - 0.1%
---------------------------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING - 0.0%
---------------------------------------------------------------------------------------------------------------------------------
Golden Books Family Entertainment, Inc. (n) 19,975 $ 0
---------------------------------------------------------------------------------------------------------------------------------
TOBACCO - 0.1%
---------------------------------------------------------------------------------------------------------------------------------
Reynolds American, Inc. 2,302 $ 291,848
---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS $ 291,848
---------------------------------------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS - 0.1%
---------------------------------------------------------------------------------------------------------------------------------
AUTOMOTIVE - 0.1%
---------------------------------------------------------------------------------------------------------------------------------
General Motors Corp., "B", 5.25% 38,350 $ 753,578
---------------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS - 0.0%
---------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE - 0.0%
---------------------------------------------------------------------------------------------------------------------------------
HRPT Properties Trust, REIT, "B", 8.75% 5,100 $ 131,733
---------------------------------------------------------------------------------------------------------------------------------
ISSUER STRIKE PRICE FIRST EXERCISE SHARES/PAR VALUE ($)
---------------------------------------------------------------------------------------------------------------------------------
WARRANTS - 0.0%
---------------------------------------------------------------------------------------------------------------------------------
BUSINESS SERVICES - 0.0%
---------------------------------------------------------------------------------------------------------------------------------
Loral Space & Communications Ltd. (n) $0.14 1/28/97 1,625 $ 0
---------------------------------------------------------------------------------------------------------------------------------
Loral Space & Communications Ltd. (n) 0.14 1/28/97 700 0
---------------------------------------------------------------------------------------------------------------------------------
$ 0
---------------------------------------------------------------------------------------------------------------------------------
EMERGING MARKET SOVEREIGN - 0.0%
---------------------------------------------------------------------------------------------------------------------------------
Republic of Venezuela, Oil-Indexed Payment Obligation, N/A N/A 1,250 $ 43,750
expires 2020 (n)
---------------------------------------------------------------------------------------------------------------------------------
TOTAL WARRANTS $ 43,750
---------------------------------------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS - 0.0%
---------------------------------------------------------------------------------------------------------------------------------
BANKS & CREDIT COMPANIES - 0.0%
---------------------------------------------------------------------------------------------------------------------------------
Fortis Capital Co., 6.25% to 2009, FRN to 2049 EUR 155,000 $ 208,638
---------------------------------------------------------------------------------------------------------------------------------
PAR AMOUNT
ISSUE/EXPIRATION DATE/STRIKE PRICE OF CONTRACTS VALUE ($)
---------------------------------------------------------------------------------------------------------------------------------
CALL OPTIONS PURCHASED - 0.0%
---------------------------------------------------------------------------------------------------------------------------------
MXN Currency - August 2006 @ $0.09163 MXN 545,675 $ 222
---------------------------------------------------------------------------------------------------------------------------------
PUT OPTIONS PURCHASED - 0.0%
---------------------------------------------------------------------------------------------------------------------------------
TRY Currency - August 2006 @ $0.63775 TRY 117,600 $ 290
---------------------------------------------------------------------------------------------------------------------------------
ZAR Currency - August 2006 @ $0.14275 ZAR 350,250 708
---------------------------------------------------------------------------------------------------------------------------------
TOTAL PUT OPTIONS PURCHASED $ 998
---------------------------------------------------------------------------------------------------------------------------------
ISSUER SHARES/PAR VALUE ($)
---------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS - 2.0%
---------------------------------------------------------------------------------------------------------------------------------
Abbey National North America LLC, 5.3%, due 8/01/06 (y) $10,213,000 $ 10,213,000
---------------------------------------------------------------------------------------------------------------------------------
RIGHTS - 0.0%
---------------------------------------------------------------------------------------------------------------------------------
EMERGING MARKET SOVEREIGN - 0.0%
---------------------------------------------------------------------------------------------------------------------------------
Banco Central del Uruguay, Value Recovery Rights, Expiring January 2021 (n) 1,250,000 $ 0
---------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS(K) $516,512,222
---------------------------------------------------------------------------------------------------------------------------------
OTHER ASSETS, LESS LIABILITIES - 1.5% 7,729,272
---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS - 100.0% $524,241,494
---------------------------------------------------------------------------------------------------------------------------------
(a) 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 $48,008,164, representing 9.2% of net assets.
(f) All or a portion of the security has been segregated as collateral for an open futures contract.
(i) Interest only security for which the trust receives interest on notional principal (Par amount). Par amount shown is the
notional principal and does not reflect the cost of the security.
(k) As of July 31, 2006, the trust held securities fair valued in accordance with the policies adopted by the Board of Trustees,
aggregating $488,325,558 and 94.54% of market value. An independent pricing service provided an evaluated bid for 94.20% of
the market value.
(n) Non-income producing security.
(y) The rate shown represents an annualized yield at time of purchase.
(z) Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale.
These securities generally may be resold in transactions exempt from registration or to the public if the securities are
subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an
acceptable price may be difficult. The trust holds the following restricted securities:
TOTAL % OF
ACQUISITION ACQUISITION CURRENT NET
RESTRICTED SECURITIES DATE COST MARKET VALUE ASSETS
------------------------------------------------------------------------------------------------------------------------------
Amsted Industries, Inc., 10.25%, 2011 8/8/2003 $ 1,597,656 $ 1,623,250
Bayview Financial Revolving Mortgage Loan Trust,
FRN, 6.2%, 2040 3/1/2006 4,000,000 4,000,000
CPS Auto Receivables Trust, 2.89%, 2009 3/27/2003 222,007 218,088
Falcon Franchise Loan LLC, FRN, 4.1039%, 2025 1/29/2003 1,537,851 1,268,387
Preferred Term Securities IV Ltd., CDO, FRN, 7.6456%,
2031 9/13/2005 3,051,930 3,018,750
Prudential Securities Secured Financing Corp., FRN,
7.4499%, 2013 12/6/2004 2,865,414 2,694,539
------------------------------------------------------------------------------------------------------------------------------
Total Restricted Securities $ 12,823,014 2.4%
==================================
The following abbreviations are used in this report and are defined:
CDO Collateralized Debt Obligation
CLN Credit Linked Notes
FRN Floating Rate Note. The interest rate is the rate in effect as of period end.
REIT Real Estate Investment Trust
TIPS Treasury Inflation Protected Security
------------------------------------------------------------------------------------------------------------------------------
Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless
otherwise indicated. A list of abbreviations is shown below:
ARS Argentine Peso
BRL Brazilian Real
CAD Canadian Dollar
CLP Chilean Peso
CNY Chinese Yuan Renminbi
COP Colombian Peso
CZK Czech Koruna
DKK Danish Krone
EUR Euro
GBP British Pound
HUF Hungarian Forint
IDR Indonesian Rupiah
ILS Israeli Sheqel
KRW Korean Won
MXN Mexican Peso
MYR Malaysian Ringgit
NZD New Zealand Dollar
PHP Philippine Peso
PLN Polish Zloty Russian
RUB Ruble
SGD Singapore Dollar
SKK Slovakian Koruna
THB Thailand Baht
TRY Turkish Lira
UYU Uruguayan Peso South
ZAR African Rand
See attached schedules. For more information see notes to financial statements as disclosed in the most recent semiannual or
annual report.
MFS MULTIMARKET INCOME TRUST
SUPPLEMENTAL SCHEDULES (UNAUDITED) 07/31/2006
(1) PORTFOLIO SECURITIES
The cost and unrealized appreciation and depreciation in the value of the
investments owned by the trust, as computed on a federal income tax basis, are
as follows:
Aggregate Cost $ 526,200,048
=============
Gross unrealized appreciation $ 6,104,830
Gross unrealized depreciation (15,792,656)
-------------
Net unrealized appreciation (depreciation) $ (9,687,826)
=============
The aggregate cost above includes prior fiscal year end tax adjustments.
(2) FINANCIAL INSTRUMENTS
DERIVATIVES
-----------
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Sales and Purchases in the table below are reported by currency.
NET UNREALIZED
CONTRACTS TO CONTRACTS APPRECIATION
DELIVER/RECEIVE SETTLEMENT DATE IN EXCHANGE FOR AT VALUE (DEPRECIATION)
----------------------------------------------------------------------------------------------------
SALES
-----
CAD 376,241 8/10/06 $ 329,457 $ 332,546 $ (3,089)
COP 50,000,000 8/22/06 20,425 20,568 (143)
DKK 1,894,677 8/28/06 319,243 324,929 (5,686)
EUR 54,686,150 8/7/20-8/21/06 69,474,091 69,944,435 (470,344)
GBP 8,824,576 8/2/06-10/2/06 16,512,393 16,493,321 19,072
KRW 47,362,500 8/7/06 49,934 49,597 337
MXN 546,569 8/7/06 50,000 49,830 170
NZD 9,137,139 8/8/06 5,695,577 5,636,697 58,880
SGD 40,321 8/3/06 25,555 25,546 9
ZAR 216,219 8/7/06 30,000 31,160 (1,160)
----------- ----------- ---------
$92,506,675 $92,908,629 $(401,954)
=========== =========== =========
PURCHASES
---------
BRL 357,897 8/21/06-8/31/06 $ 162,879 $ 163,438 $ 559
CLP 54,524,500 8/31/06 100,775 100,822 47
CNY 43,212,375 8/7/06-8/21/06 5,425,071 5,426,708 1,637
COP 247,285,000 8/17/06-8/22/06 97,998 101,743 3,745
CZK 9,495,980 8/14/06 424,068 426,360 2,292
EUR 3,722,095 8/7/06 4,738,008 4,756,230 18,222
GBP 4,412,288 8/2/06 8,225,388 8,241,427 16,039
HUF 56,508,804 8/14/06 258,314 265,051 6,737
IDR 93,400,000 8/24/06 10,152 10,218 66
ILS 654,865 9/5/06 147,476 149,063 1,587
KRW 71,900,000 8/7/06-8/14/06 75,922 75,298 (624)
MXN 6,283,876 8/7/06-9/11/06 568,372 572,643 4,271
MYR 4,734,536 8/24/06 1,283,072 1,296,807 13,735
NZD 8,586,516 8/8/06 5,283,199 5,297,018 13,819
PHP 4,245,500 8/17/06 81,254 82,391 1,137
PLN 1,464,952 8/7/06 459,997 474,801 14,804
RUB 3,554,500 8/10/06 132,384 132,732 348
SGD 3,133,362 8/3/06-10/2/06 1,982,982 1,988,676 5,694
SKK 3,544,216 8/10/06 117,826 118,817 991
THB 3,285,500 9/5/06 86,030 86,820 790
TRY 719,646 8/7/06 459,475 479,360 19,885
ZAR 2,040,211 8/7/06 283,700 294,018 10,318
----------- ----------- ---------
$30,404,342 $30,540,441 $ 136,099
=========== =========== =========
At July 31, 2006, forward foreign currency purchases and sales under master netting agreements excluded above amounted
to a net receivable of $20,542 with Merrill Lynch International Bank.
FUTURES CONTRACTS
UNREALIZED
EXPIRATION APPRECIATION
CONTRACTS VALUE DATE (DEPRECIATION)
-------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bond (Long) 50 $ 5,414,063 Sep-06 $ 70,761
U.S. Treasury Note 10 yr (Short) 95 10,072,969 Sep-06 (55,965)
-------------------------------------------------------------------------------------------------------------------------
$ 14,796
=========
At July 31, 2006, the trust had sufficient cash and/or securities to cover any commitments under these derivative contracts.
ITEM 2. CONTROLS AND PROCEDURES.
(a) Based upon their evaluation of the effectiveness of the registrant's
disclosure controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940 (the "Act")) as conducted within 90 days of
the filing date of this Form N-Q, the registrant's principal financial
officer and principal executive officer have concluded that those
disclosure controls and procedures provide reasonable assurance that the
material information required to be disclosed by the registrant on this
report is recorded, processed, summarized and reported within the time
periods specified in the Securities and Exchange Commission's rules and
forms.
(b) There were no changes in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Act) that occurred during
the registrant's last fiscal quarter that have materially affected, or are
reasonably likely to materially affect, the registrant's internal control
over financial reporting.
ITEM 3. EXHIBITS.
File as exhibits as part of this Form a separate certification for each
principal executive officer and principal financial officer of the registrant
as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto.
NOTICE
A copy of the Amended and Restated Declaration of Trust of the Registrant is on
file with the Secretary of State of the Commonwealth of Massachusetts and
notice is hereby given that this instrument is executed on behalf of the
Registrant by an officer of the Registrant as an officer and not individually
and the obligations of or arising out of this instrument are not binding upon
any of the Trustees or shareholders individually, but are binding only upon the
assets and property of the respective constituent series of the Registrant.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to
be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: MFS MULTIMARKET INCOME TRUST
-------------------------------------------------------------------
By (Signature and Title)* MARIA F. DWYER
-----------------------------------------------------
Maria F. Dwyer, President
Date: September 25, 2006
------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* MARIA F. DWYER
-----------------------------------------------------
Maria F. Dwyer, President (Principal Executive
Officer)
Date: September 25, 2006
------------------
By (Signature and Title)* TRACY ATKINSON
-----------------------------------------------------
Tracy Atkinson, Treasurer (Principal Financial Officer
and Accounting Officer)
Date: September 25, 2006
------------------
* Print name and title of each signing officer under his or her signature.