UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4975
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MFS MULTIMARKET INCOME TRUST
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(Exact name of registrant as specified in charter)
500 Boylston Street, Boston, Massachusetts 02116
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(Address of principal executive offices) (Zip code)
James R. Bordewick, Jr.
Massachusetts Financial Services Company
500 Boylston Street
Boston, Massachusetts 02116
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(Name and address of agents for service)
Registrant's telephone number, including area code: (617) 954-5000
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Date of fiscal year end: October 31
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Date of reporting period: January 31, 2005
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ITEM 1. SCHEDULE OF INVESTMENTS.
MFS(R) Mutual Funds
QUARTERLY PORTFOLIO HOLDINGS 1/31/05
MFS(R) MULTIMARKET
INCOME TRUST
[graphic omitted]
[logo] M F S(R)
INVESTMENT MANAGEMENT
THE TRUST IS A CLOSED-END INVESTMENT PRODUCT. SHARES OF THE TRUST ARE ONLY
AVAILABLE FOR PURCHASE/SALE ON THE NYSE AT THE CURRENT MARKET PRICE. SHARES MAY
TRADE AT A PREMIUM OR DISCOUNT TO NAV.
Visit MFS.COM for the latest information about your investment.
o Annual and semiannual reports contain information regarding the specific
securities held in the fund and how the fund has performed over the period.
o Week in Review provides a look at key events influencing U.S. and global
financial markets for the week.
o MFS Global Perspective is a commentary and analysis of markets around the
globe.
o Chief Investment Strategist Corner is a commentary by James Swanson, MFS'
Chief Investment Strategist.
A fact sheet, annual, and semiannual report for the fund can be accessed by
clicking "Closed End Funds" on the home page. Week in Review, MFS Global
Perspective, and Chief Investment Strategist Corner are located under "Updates
and Announcements."
The portfolio is actively managed, and current holdings may be different.
MFS Multimarket Income Trust
PORTFOLIO OF INVESTMENTS (Unaudited) 01/31/2005
ISSUER PAR AMOUNT $ VALUE
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BONDS - 96.2%
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ADVERTISING & BROADCASTING - 2.6%
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Allbritton Communications Co., 7.75%, 2012 $ 955,000 $ 983,650
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Azteca Holdings S.A. de C. V., 12.25%, 2008 15,000 16,088
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Clear Channel Communications, Inc., 6.5%, 2005 EUR 275,000 364,332
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DIRECTV Holdings LLC, 8.375%, 2013 $ 2,975,000 3,350,594
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Echostar DBS Corp., 6.375%, 2011 3,805,000 3,885,856
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Intelsat Ltd., 7.7938%, 2012## 245,000 252,350
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Intelsat Ltd., 8.625%, 2015## 580,000 603,925
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Lamar Media Corp., 7.25%, 2013 2,370,000 2,547,750
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News America Holdings, 7.7%, 2025## 517,000 626,475
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News America, Inc., 6.2%, 2034 533,000 549,821
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Paxson Communications Corp., 0% to 2006, 12.25% to 2009 1,000,000 965,000
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Young Broadcasting, Inc., 8.5%, 2008 615,000 654,975
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$ 14,800,816
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AEROSPACE - 0.1%
---------------------------------------------------------------------------------------------------------------------------
Rolls-Royce PLC, 6.375%, 2007 EUR 300,000 $ 422,978
---------------------------------------------------------------------------------------------------------------------------
Airlines - 0.6%
---------------------------------------------------------------------------------------------------------------------------
Continental Airlines, Inc., 6.545%, 2019 $ 2,318,765 $ 2,283,423
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Continental Airlines, Inc., 7.566%, 2020 1,073,054 869,007
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$ 3,152,430
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ASSET BACKED & SECURITIZED - 10.6%
---------------------------------------------------------------------------------------------------------------------------
ARCap REIT, Inc., 6.0996%, 2045## $ 2,000,000 $ 1,730,751
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Airplane Pass-Through Trust, 10.875%, 2019 246,925 741
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Amresco Commercial Mortgage Funding I, 7%, 2029 3,570,000 3,723,972
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Asset Securitization Corp., 8.2899%, 2029 1,877,956 1,964,354
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CPS Auto Receivables Trust, 2.89%, 2009## 677,695 669,436
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Chalet Finance 1 PLC, 2.344%, 2013 EUR 300,000 391,849
---------------------------------------------------------------------------------------------------------------------------
Commercial Mortgage Acceptance Corp., 5.44%, 2030## $ 3,500,000 3,540,361
---------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston Mortgage Securities Corp., 6.38%, 2035 2,384,781 2,621,419
---------------------------------------------------------------------------------------------------------------------------
Crest Ltd., 7%, 2040## 2,000,000 1,940,510
---------------------------------------------------------------------------------------------------------------------------
DEPFA Bank, 5.5%, 2010 EUR 960,000 1,391,580
---------------------------------------------------------------------------------------------------------------------------
DLJ Commercial Mortgage Corp., 6.04%, 2031 $ 2,000,000 2,001,775
---------------------------------------------------------------------------------------------------------------------------
Deutsche Mortgage & Asset Receiving Corp., 7.5%, 2031 1,847,000 1,740,745
---------------------------------------------------------------------------------------------------------------------------
Europa Ltd., 2.494%, 2027 EUR 114,909 150,037
---------------------------------------------------------------------------------------------------------------------------
Falcon Franchise Loan LLC, 3.54%, 2025^^ $ 9,052,627 1,608,675
---------------------------------------------------------------------------------------------------------------------------
First Union National Bank Commercial Mortgage Trust, 0.9651%, 2043##^^ 30,903,265 1,452,908
---------------------------------------------------------------------------------------------------------------------------
First Union-Lehman Brothers Bank of America, 0.5701%, 2035^^ 75,811,384 1,611,409
---------------------------------------------------------------------------------------------------------------------------
First Union-Lehman Brothers Commercial Mortgage Trust, 7%, 2029## 1,847,000 2,069,877
---------------------------------------------------------------------------------------------------------------------------
First Union-Lehman Brothers Commercial Mortgage Trust, 7.5%, 2029 1,846,973 2,158,687
---------------------------------------------------------------------------------------------------------------------------
GE Capital Commercial Mortgage Corp., 6.496%, 2033 2,384,781 2,638,225
---------------------------------------------------------------------------------------------------------------------------
GMAC Commercial Mortgage Securities, Inc., 6.02%, 2033 2,542,000 2,430,388
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GMAC Commercial Mortgage Securities, Inc., 7.653%, 2034## 1,853,000 2,074,195
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Granites Mortgages PLC, 5.15%, 2042 EUR 350,000 480,737
---------------------------------------------------------------------------------------------------------------------------
Lehman Brothers Commercial Conduit Mortgage Trust, 1.1511%, 2030^^ $ 19,827,932 671,671
---------------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital I, Inc., 6.86%, 2010 2,215,000 2,320,346
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Morgan Stanley Capital I, Inc., 1.5911%, 2039##^^ 14,915,475 1,134,605
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Mortgage Capital Funding, Inc., 7.214%, 2007 2,250,000 2,356,128
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Mortgage Capital Funding, Inc., 0.8641%, 2031^^ 22,453,468 506,317
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Mortgage Capital Funding, Inc., 6.337%, 2031 2,384,781 2,538,399
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Multi-Family Capital Access One, Inc., 6.65%, 2024 130,858 142,551
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Nationslink Funding Corp., 5%, 2009 4,560,000 4,628,899
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Prudential Securities Secured Financing Corp., 7.39%, 2013## 2,581,000 2,845,015
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RMAC PLC, 2.37%, 2036## EUR 230,000 300,012
---------------------------------------------------------------------------------------------------------------------------
Residential Accredit Loans, Inc., 7.75%, 2027 $ 1,096,680 1,094,445
---------------------------------------------------------------------------------------------------------------------------
TIAA Retail Estate CDO Ltd., 7.17%, 2032## 3,143,203 3,320,525
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$ 60,251,544
---------------------------------------------------------------------------------------------------------------------------
AUTOMOTIVE - 3.0%
---------------------------------------------------------------------------------------------------------------------------
Affinia Group, Inc., 9%, 2014## $ 120,000 $ 123,600
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Continental AG, 6.875%, 2008 EUR 100,000 147,918
---------------------------------------------------------------------------------------------------------------------------
DaimlerChrysler N. A. Holdings Corp., 8.5%, 2031 $ 1,251,000 1,602,411
---------------------------------------------------------------------------------------------------------------------------
DaimlerChrysler Note, 5.625%, 2007 EUR 100,000 137,266
---------------------------------------------------------------------------------------------------------------------------
Ford Motor Credit Co., 5.7%, 2010 $ 1,102,000 1,098,625
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Ford Motor Credit Co., 7.875%, 2010 2,058,000 2,239,149
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General Motors Acceptance Corp., 6%, 2006 EUR 375,000 503,141
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General Motors Acceptance Corp., 6.875%, 2011 $ 1,378,000 1,383,742
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General Motors Corp., 8.375%, 2033 919,000 925,409
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Lear Corp., 8.11%, 2009 4,725,000 5,327,409
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Navistar International Corp., 7.5%, 2011 1,270,000 1,355,725
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TRW Automotive, Inc., 9.375%, 2013 1,317,000 1,481,625
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TRW Automotive, Inc., 11%, 2013 130,000 152,100
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Tenneco Automotive, Inc., 10.25%, 2013 470,000 552,250
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Tenneco Automotive, Inc., 8.625%, 2014## 165,000 171,600
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$ 17,201,970
---------------------------------------------------------------------------------------------------------------------------
BANKS & CREDIT COMPANIES - 2.7%
---------------------------------------------------------------------------------------------------------------------------
Banco Mercantil del Norte S.A., 5.875%, 2014## $ 3,174,000 $ 3,229,545
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Bank of Ireland, 7.4%, 2049 EUR 500,000 785,379
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Credit Suisse Group, 7.974%, 2010 EUR 265,000 417,979
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HBOS Capital Funding LP, 6.071% to 2014, 4.65% to 2049## $ 1,543,000 1,674,910
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J. P. Morgan Chase & Co., 5.125%, 2014 2,755,000 2,806,527
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Kazkommerts International B. V., 10.125%, 2007 128,000 138,560
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Kazkommerts International B. V., 10.125%, 2007## 122,000 132,065
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Kazkommerts International B. V., 7%, 2009## 40,000 39,400
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Kazkommerts International B. V., 8.5%, 2013 64,000 65,760
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Kazkommerts International B. V., 8.5%, 2013## 329,000 338,048
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Mizuho Financial Group, Inc., 4.75%, 2014## EUR 127,000 174,634
---------------------------------------------------------------------------------------------------------------------------
Mizuho Financial Group, Inc., 5.79%, 2014## $ 1,633,000 1,730,778
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National Westminster Bank PLC, 6.625% to 2009, 4.303% to 2049 EUR 330,000 489,402
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RBS Capital Trust II, 6.425% to 2034, 4.6925% to 2049 $ 833,000 913,125
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SG Capital Trust I, 7.875%, 2049 EUR 300,000 470,014
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Turanalem Finance B. V., 8%, 2014## $ 2,031,000 1,975,148
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$ 15,381,274
---------------------------------------------------------------------------------------------------------------------------
BROADCAST & CABLE TV - 4.2%
---------------------------------------------------------------------------------------------------------------------------
CSC Holdings, Inc., 8.125%, 2009 $ 1,969,000 $ 2,160,978
---------------------------------------------------------------------------------------------------------------------------
Charter Communications, Inc., 8.625%, 2009 1,000,000 800,000
---------------------------------------------------------------------------------------------------------------------------
Continental Cablevision, Inc., 9.5%, 2013 7,341,000 7,905,237
---------------------------------------------------------------------------------------------------------------------------
Cox Communications, Inc., 4.625%, 2013 1,744,000 1,680,222
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Lenfest Communications, Inc., 10.5%, 2006 500,000 542,479
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Mediacom Broadband LLC, 9.5%, 2013 490,000 488,775
---------------------------------------------------------------------------------------------------------------------------
Rogers Cable, Inc., 5.5%, 2014 3,500,000 3,290,000
---------------------------------------------------------------------------------------------------------------------------
TCI Communications Financing III, 9.65%, 2027 5,000,000 5,742,305
---------------------------------------------------------------------------------------------------------------------------
TCI Communications, Inc., 9.8%, 2012 1,135,000 1,470,362
---------------------------------------------------------------------------------------------------------------------------
$ 24,080,358
---------------------------------------------------------------------------------------------------------------------------
BROKERAGE & ASSET MANAGERS - 1.2%
---------------------------------------------------------------------------------------------------------------------------
Goldman Sachs Group, Inc., 5.7%, 2012 $ 2,665,000 $ 2,832,255
---------------------------------------------------------------------------------------------------------------------------
Morgan Stanley Dean Witter, Inc., 6.6%, 2012 2,538,000 2,834,664
---------------------------------------------------------------------------------------------------------------------------
Refco Finance Holdings LLC, 9%, 2012## 860,000 937,400
---------------------------------------------------------------------------------------------------------------------------
$ 6,604,319
---------------------------------------------------------------------------------------------------------------------------
BUILDING - 0.3%
---------------------------------------------------------------------------------------------------------------------------
Building Materials Corp. of America, 7.75%, 2014## $ 1,140,000 $ 1,151,400
---------------------------------------------------------------------------------------------------------------------------
Jacuzzi Brands, Inc., 9.625%, 2010 500,000 557,500
---------------------------------------------------------------------------------------------------------------------------
$ 1,708,900
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BUSINESS SERVICES - 0.4%
---------------------------------------------------------------------------------------------------------------------------
Iron Mountain, Inc., 7.75%, 2015 $ 460,000 $ 470,350
---------------------------------------------------------------------------------------------------------------------------
Xerox Corp., 7.625%, 2013 1,590,000 1,713,225
---------------------------------------------------------------------------------------------------------------------------
$ 2,183,575
---------------------------------------------------------------------------------------------------------------------------
CHEMICALS - 1.7%
---------------------------------------------------------------------------------------------------------------------------
Akzo Nobel N. V., 5.625%, 2009 EUR 100,000 $ 143,034
---------------------------------------------------------------------------------------------------------------------------
BCP Caylux Holdings Luxembourg S.A., 9.625%, 2014## $ 635,000 704,850
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Equistar Chemicals LP, 10.625%, 2011 1,225,000 1,408,750
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Hercules, Inc., 6.75%, 2029 1,905,000 1,952,625
---------------------------------------------------------------------------------------------------------------------------
Huntsman International LLC, 10.125%, 2009 575,000 603,750
---------------------------------------------------------------------------------------------------------------------------
Kronos International, Inc., 8.875%, 2009 EUR 95,000 133,831
---------------------------------------------------------------------------------------------------------------------------
Linde Finance B. V., 6%, 2049 EUR 101,000 148,120
---------------------------------------------------------------------------------------------------------------------------
Lyondell Chemical Co., 11.125%, 2012 $ 1,500,000 1,762,500
---------------------------------------------------------------------------------------------------------------------------
Nalco Co., 7.75%, 2011 695,000 745,388
---------------------------------------------------------------------------------------------------------------------------
Nova Chemicals Corp., 6.5%, 2012 1,350,000 1,409,063
---------------------------------------------------------------------------------------------------------------------------
Rhodia S.A., 8.875%, 2011 560,000 574,000
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Rockwood Specialties Group, Inc., 7.5%, 2014## 100,000 103,000
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$ 9,688,911
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CONGLOMERATES - 0.1%
---------------------------------------------------------------------------------------------------------------------------
Invensys PLC, 9.875%, 2011## $ 500,000 $ 553,125
---------------------------------------------------------------------------------------------------------------------------
Construction - 0.3%
---------------------------------------------------------------------------------------------------------------------------
D. R. Horton, Inc., 8%, 2009 $ 1,630,000 $ 1,821,879
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Consumer Cyclical - 0.2%
---------------------------------------------------------------------------------------------------------------------------
KinderCare Learning Centers, Inc., 9.5%, 2009 $ 1,113,000 $ 1,115,783
---------------------------------------------------------------------------------------------------------------------------
Sodexho Alliance S.A., 5.875%, 2009 EUR 100,000 142,426
---------------------------------------------------------------------------------------------------------------------------
$ 1,258,209
---------------------------------------------------------------------------------------------------------------------------
CONSUMER GOODS & SERVICES - 0.5%
---------------------------------------------------------------------------------------------------------------------------
ASSA ABLOY AB, 5.125%, 2006 EUR 30,000 $ 40,885
---------------------------------------------------------------------------------------------------------------------------
Church & Dwight Co., Inc., 6%, 2012## $ 805,000 813,050
---------------------------------------------------------------------------------------------------------------------------
K2, Inc., 7.375%, 2014 975,000 1,046,906
---------------------------------------------------------------------------------------------------------------------------
Remington Arms Co., Inc., 10.5%, 2011 500,000 481,250
---------------------------------------------------------------------------------------------------------------------------
Werner Holding Co., Inc., 10%, 2007 600,000 489,000
---------------------------------------------------------------------------------------------------------------------------
$ 2,871,091
---------------------------------------------------------------------------------------------------------------------------
CONTAINERS - 0.7%
---------------------------------------------------------------------------------------------------------------------------
Crown European Holdings S.A., 9.5%, 2011 $ 1,580,000 $ 1,761,700
---------------------------------------------------------------------------------------------------------------------------
Owens-Brockway Glass Container, Inc., 8.875%, 2009 515,000 556,844
---------------------------------------------------------------------------------------------------------------------------
Owens-Brockway Glass Container, Inc., 8.25%, 2013 1,090,000 1,185,375
---------------------------------------------------------------------------------------------------------------------------
Pliant Corp., 13%, 2010 190,000 186,200
---------------------------------------------------------------------------------------------------------------------------
$ 3,690,119
---------------------------------------------------------------------------------------------------------------------------
DEFENSE ELECTRONICS - 0.3%
---------------------------------------------------------------------------------------------------------------------------
L-3 Communications Holdings, Inc., 5.875%, 2015## $ 1,435,000 $ 1,427,825
---------------------------------------------------------------------------------------------------------------------------
Electronics - 0.3%
---------------------------------------------------------------------------------------------------------------------------
Flextronics International Ltd., 6.5%, 2013 $ 1,880,000 $ 1,903,500
---------------------------------------------------------------------------------------------------------------------------
Emerging Market Quasi-Sovereign - 1.8%
---------------------------------------------------------------------------------------------------------------------------
Gazprom OAO, 8.625%, 2034## $ 1,425,000 $ 1,670,813
---------------------------------------------------------------------------------------------------------------------------
Pemex Finance Ltd., 9.69%, 2009 859,750 975,816
---------------------------------------------------------------------------------------------------------------------------
Pemex Master Trust, 9.5%, 2027## 1,338,000 1,712,640
---------------------------------------------------------------------------------------------------------------------------
Pemex Project Funding Master Trust, 8.625%, 2022 1,821,000 2,162,438
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Petroliam Nasional Berhad, 7.75%, 2015 1,634,000 2,002,367
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Petronas Capital Ltd., 7.875%, 2022## 987,000 1,256,090
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Republic of Argentina, 1.98%, 2012 194,000 166,064
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$ 9,946,228
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EMERGING MARKET SOVEREIGN - 4.9%
---------------------------------------------------------------------------------------------------------------------------
Banco de La Republica Oriental del Uruguay, 10.5%, 2006 UYU 985,175 $ 42,462
---------------------------------------------------------------------------------------------------------------------------
Central Bank of Argentina, 2%, 2018 ARS 403,852 110,811
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Dominican Republic, 9.04%, 2013 $ 25,000 22,750
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Federal Republic of Brazil, 3.125%, 2012 59,118 56,531
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Federal Republic of Brazil, 8%, 2014 7,154,943 7,324,873
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Federal Republic of Brazil, 8.875%, 2019 - 2024 1,699,000 1,749,158
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Federal Republic of Brazil, 3.0625%, 2024 329,000 299,390
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Republic of Colombia, 11.75%, 2020 937,000 1,185,305
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Republic of Ecuador, 8%, 2030 99,000 91,328
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Republic of El Salvador, 8.25%, 2032 53,000 54,193
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Republic of Guatemala, 8.125%, 2034## 24,000 25,080
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Republic of Panama, 9.375%, 2023 - 2029 1,872,000 2,201,235
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Republic of Panama, 8.875%, 2027 195,000 216,450
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Republic of Peru, 9.125%, 2012 18,000 20,700
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Republic of Peru, 8.75%, 2033 147,000 157,290
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Republic of Philippines, 9.375%, 2017 96,000 102,240
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Republic of Philippines, 9.5%, 2030 51,000 50,681
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Republic of South Africa, 8.5%, 2017 944,000 1,196,520
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Republic of Turkey, 7.25%, 2015 60,000 61,800
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Republic of Turkey, 11.875%, 2030 56,000 80,080
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Republic of Turkey, 8%, 2034 102,000 105,315
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Republic of Ukraine, 6.875%, 2011 100,000 105,500
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Republic of Uruguay, 7.875%, 2033 23,000 20,585
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Republic of Venezeula, 8.5%, 2014 100,000 101,750
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Republic of Venezuela, 9.25%, 2027 34,000 35,020
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Republic of Vietnam, 3.75%, 2028 59,000 43,365
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Russian Federation, 3%, 2008 - 2011 3,748,000 3,434,034
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Russian Federation, 11%, 2018 2,590,000 3,680,649
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Russian Ministry of Finance, 12.75%, 2028 116,000 195,019
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State of Qatar, 9.75%, 2030 754,000 1,127,230
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United Mexican States, 8%, 2013 MXN 330,000 26,920
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United Mexican States, 6.625%, 2015 $ 875,000 948,500
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United Mexican States, 8.125%, 2019 43,000 51,751
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United Mexican States, 8%, 2022 713,000 843,836
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United Mexican States, 7.5%, 2033 2,015,000 2,253,778
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$ 28,022,129
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ENERGY - INDEPENDENT - 1.6%
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Chesapeake Energy Corp., 7.5%, 2014 $ 2,775,000 $ 3,024,750
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Chesapeake Energy Corp., 6.875%, 2016 1,500,000 1,560,000
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Forest Oil Corp., 7.75%, 2014 950,000 1,021,250
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Newfield Exploration Co., 6.625%, 2014## 390,000 411,450
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Ocean Energy, Inc., 4.375%, 2007 908,000 917,638
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Plains Exploration & Production Co., 7.125%, 2014 1,080,000 1,185,300
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Vintage Petroleum, Inc., 8.25%, 2012 950,000 1,045,000
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$ 9,165,388
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ENERGY - INTEGRATED - 1.1%
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Amerada Hess Corp., 7.3%, 2031 $ 1,555,000 $ 1,805,570
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Siberian Oil Co., 10.75%, 2009 359,000 393,554
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Triton Energy Ltd., 9.25%, 2005 3,500,000 3,534,689
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Tyumen Oil Co., 11%, 2007 614,000 696,890
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$ 6,430,703
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ENTERTAINMENT - 1.1%
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AMC Entertainment, Inc., 9.5%, 2011 $ 599,000 $ 618,468
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Liberty Media Corp., 5.7%, 2013 2,799,000 2,740,243
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Loews Cineplex Entertainment Corp., 9%, 2014## 1,165,000 1,220,338
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Six Flags, Inc., 9.75%, 2013 950,000 904,875
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Turner Broadcasting System, Inc., 8.375%, 2013 419,000 516,598
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$ 6,000,522
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FINANCIAL INSTITUTIONS - 1.1%
---------------------------------------------------------------------------------------------------------------------------
Berkshire Hathaway Financial Corp., 5.1%, 2014## $ 4,500,000 $ 4,643,235
---------------------------------------------------------------------------------------------------------------------------
Capital One Bank, 4.25%, 2008 1,296,000 1,298,518
---------------------------------------------------------------------------------------------------------------------------
MBNA Europe Funding PLC, 6.5%, 2007 EUR 150,000 210,506
---------------------------------------------------------------------------------------------------------------------------
$ 6,152,259
---------------------------------------------------------------------------------------------------------------------------
FOOD & NON-ALCOHOLIC BEVERAGES - 0.5%
---------------------------------------------------------------------------------------------------------------------------
Allied Domecq Financial Services PLC, 5.875%, 2009 EUR 125,000 $ 179,535
---------------------------------------------------------------------------------------------------------------------------
Burns, Philp & Co. Ltd., 9.75%, 2012 $ 590,000 643,100
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Coca-Cola Erfrischungsgetranke, 5.875%, 2005 EUR 600,000 791,395
---------------------------------------------------------------------------------------------------------------------------
Seminis Vegetable Seeds, Inc., 10.25%, 2013 $ 360,000 430,200
---------------------------------------------------------------------------------------------------------------------------
Smithfield Foods, Inc., 7%, 2011 285,000 303,169
---------------------------------------------------------------------------------------------------------------------------
Smithfield Foods, Inc., 7%, 2011## 665,000 707,394
---------------------------------------------------------------------------------------------------------------------------
$ 3,054,793
---------------------------------------------------------------------------------------------------------------------------
FOREST & PAPER PRODUCTS - 2.3%
---------------------------------------------------------------------------------------------------------------------------
Abitibi-Consolidated, Inc., 6.95%, 2006 $ 2,500,000 $ 2,578,125
---------------------------------------------------------------------------------------------------------------------------
Abitibi-Consolidated, Inc., 7.75%, 2011 1,585,000 1,640,475
---------------------------------------------------------------------------------------------------------------------------
Buckeye Technologies, Inc., 8.5%, 2013 795,000 854,625
---------------------------------------------------------------------------------------------------------------------------
Durango Corp. S.A. de C. V., 13.125%, 2006 22,000 16,170
---------------------------------------------------------------------------------------------------------------------------
Durango Corp. S.A. de C. V., 13.5%, 2008 8,000 5,880
---------------------------------------------------------------------------------------------------------------------------
Durango Corp. S.A. de C. V., 13.75%, 2009## 33,000 24,255
---------------------------------------------------------------------------------------------------------------------------
Georgia Pacific Corp., 9.375%, 2013 1,725,000 1,985,906
---------------------------------------------------------------------------------------------------------------------------
International Paper Co., 5.375%, 2006 EUR 140,000 189,494
---------------------------------------------------------------------------------------------------------------------------
MDP Acquisitions PLC, 9.625%, 2012 $ 895,000 988,975
---------------------------------------------------------------------------------------------------------------------------
MeadWestvaco Corp., 6.8%, 2032 679,000 777,243
---------------------------------------------------------------------------------------------------------------------------
Norske Skog Canada Ltd., 7.375%, 2014 1,210,000 1,222,100
---------------------------------------------------------------------------------------------------------------------------
Packaging Corp. of America, 5.75%, 2013 2,500,000 2,588,238
---------------------------------------------------------------------------------------------------------------------------
Sino Forest Corp., 9.125%, 2011## 19,000 20,924
---------------------------------------------------------------------------------------------------------------------------
UPM Kymmene Corp., 6.125%, 2012 EUR 100,000 149,089
---------------------------------------------------------------------------------------------------------------------------
$ 13,041,499
---------------------------------------------------------------------------------------------------------------------------
GAMING & LODGING - 3.0%
---------------------------------------------------------------------------------------------------------------------------
Aztar Corp., 7.875%, 2014 $ 1,110,000 $ 1,221,000
---------------------------------------------------------------------------------------------------------------------------
Boyd Gaming Corp., 6.75%, 2014 1,180,000 1,209,500
---------------------------------------------------------------------------------------------------------------------------
Caesars Entertainment, Inc., 8.125%, 2011 1,270,000 1,454,150
---------------------------------------------------------------------------------------------------------------------------
Hilton Hotels Corp., 7.625%, 2012 1,100,000 1,291,277
---------------------------------------------------------------------------------------------------------------------------
Host Marriott LP, 7.125%, 2013 950,000 999,875
---------------------------------------------------------------------------------------------------------------------------
MGM Mirage, Inc., 8.375%, 2011 2,550,000 2,856,000
---------------------------------------------------------------------------------------------------------------------------
Mandalay Resort Group, 9.375%, 2010 950,000 1,090,125
---------------------------------------------------------------------------------------------------------------------------
NCL Corp., 10.625%, 2014## 1,000,000 1,005,000
---------------------------------------------------------------------------------------------------------------------------
Pinnacle Entertainment, Inc., 8.75%, 2013 505,000 546,663
---------------------------------------------------------------------------------------------------------------------------
Royal Caribbean Cruises Ltd., 8%, 2010 1,720,000 1,943,600
---------------------------------------------------------------------------------------------------------------------------
Scientific Games Corp., 6.25%, 2012## 125,000 126,875
---------------------------------------------------------------------------------------------------------------------------
Starwood Hotels & Resorts Worldwide, Inc., 7.875%, 2012 1,965,000 2,240,100
---------------------------------------------------------------------------------------------------------------------------
Station Casinos, Inc., 6.5%, 2014 1,000,000 1,030,000
---------------------------------------------------------------------------------------------------------------------------
$ 17,014,165
---------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL - 0.6%
---------------------------------------------------------------------------------------------------------------------------
Amsted Industries, Inc., 10.25%, 2011## $ 575,000 $ 646,875
---------------------------------------------------------------------------------------------------------------------------
JohnsonDiversey Holding, Inc., 0% to 2007, 10.67% to 2013 1,465,000 1,270,888
---------------------------------------------------------------------------------------------------------------------------
Valmont Industries, Inc., 6.875%, 2014 1,270,000 1,308,100
---------------------------------------------------------------------------------------------------------------------------
Williams Scotsman, Inc., 9.875%, 2007 205,000 205,000
---------------------------------------------------------------------------------------------------------------------------
Williams Scotsman, Inc., 10%, 2008 205,000 223,450
---------------------------------------------------------------------------------------------------------------------------
$ 3,654,313
---------------------------------------------------------------------------------------------------------------------------
INSURANCE - 1.0%
---------------------------------------------------------------------------------------------------------------------------
MetLife, Inc., 6.375%, 2034 $ 2,140,000 $ 2,377,125
---------------------------------------------------------------------------------------------------------------------------
Prudential Financial, Inc., 5.1%, 2014 1,985,000 2,011,766
---------------------------------------------------------------------------------------------------------------------------
Prudential Funding Corp., 6.6%, 2008## 1,230,000 1,325,767
---------------------------------------------------------------------------------------------------------------------------
$ 5,714,658
---------------------------------------------------------------------------------------------------------------------------
INSURANCE - PROPERTY & CASUALTY - 0.3%
---------------------------------------------------------------------------------------------------------------------------
Allianz AG, 5.5%, 2049 EUR 140,000 $ 199,796
---------------------------------------------------------------------------------------------------------------------------
Fund American Cos., Inc., 5.875%, 2013 $ 1,464,000 1,498,878
---------------------------------------------------------------------------------------------------------------------------
$ 1,698,674
---------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL MARKET QUASI-SOVEREIGN - 0.6%
---------------------------------------------------------------------------------------------------------------------------
Kreditanstalt fur Wiederaufbau, 4.75%, 2006 EUR 750,000 $ 1,012,978
---------------------------------------------------------------------------------------------------------------------------
Kreditanstalt fur Wiederaufbau, 3.25%, 2008 EUR 1,705,000 2,260,416
---------------------------------------------------------------------------------------------------------------------------
$ 3,273,394
---------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL MARKET SOVEREIGN - 16.1%
---------------------------------------------------------------------------------------------------------------------------
Canada Housing Trust, 4.65%, 2009 CAD 435,000 $ 365,078
---------------------------------------------------------------------------------------------------------------------------
Central Bank of Dominican Republic, 9.5%, 2006 $ 25,000 24,344
---------------------------------------------------------------------------------------------------------------------------
Federal Republic of Germany, 4%, 2007 - 2009 EUR 2,312,000 3,122,540
---------------------------------------------------------------------------------------------------------------------------
Federal Republic of Germany, 3.5%, 2008 EUR 4,404,000 5,894,074
---------------------------------------------------------------------------------------------------------------------------
Federal Republic of Germany, 4.5%, 2009 EUR 15,660,000 21,784,354
---------------------------------------------------------------------------------------------------------------------------
Federal Republic of Germany, 3.75%, 2015 EUR 774,000 1,025,794
---------------------------------------------------------------------------------------------------------------------------
Federal Republic of Germany, 6.25%, 2030 EUR 425,000 746,745
---------------------------------------------------------------------------------------------------------------------------
Government of Australia, 5.75%, 2011 AUD 1,271,000 1,004,290
---------------------------------------------------------------------------------------------------------------------------
Government of Australia, 6.25%, 2015 AUD 809,000 667,431
---------------------------------------------------------------------------------------------------------------------------
Government of Canada, 5.5%, 2009 CAD 617,000 537,001
---------------------------------------------------------------------------------------------------------------------------
Government of Canada, 5.25%, 2012 CAD 585,000 508,073
---------------------------------------------------------------------------------------------------------------------------
Government of Canada, 8%, 2023 CAD 136,000 155,114
---------------------------------------------------------------------------------------------------------------------------
Government of New Zealand, 7%, 2009 NZD 902,000 663,096
---------------------------------------------------------------------------------------------------------------------------
Government of New Zealand, 6.5%, 2013 NZD 5,877,000 4,287,091
---------------------------------------------------------------------------------------------------------------------------
Kingdom of Belgium, 3.75%, 2009 EUR 686,000 927,030
---------------------------------------------------------------------------------------------------------------------------
Kingdom of Belgium, 5%, 2012 EUR 1,078,000 1,562,288
---------------------------------------------------------------------------------------------------------------------------
Kingdom of Netherlands, 5.75%, 2007 EUR 2,263,000 3,145,847
---------------------------------------------------------------------------------------------------------------------------
Kingdom of Netherlands, 3.75%, 2009 EUR 2,965,000 4,003,687
---------------------------------------------------------------------------------------------------------------------------
Kingdom of Spain, 6%, 2008 EUR 522,000 747,130
---------------------------------------------------------------------------------------------------------------------------
Kingdom of Spain, 5.35%, 2011 EUR 3,435,000 5,052,945
---------------------------------------------------------------------------------------------------------------------------
Republic of Austria, 5.5%, 2007 EUR 956,000 1,341,184
---------------------------------------------------------------------------------------------------------------------------
Republic of Austria, 5%, 2012 EUR 1,877,000 2,719,627
---------------------------------------------------------------------------------------------------------------------------
Republic of Austria, 4.65%, 2018 EUR 218,000 310,290
---------------------------------------------------------------------------------------------------------------------------
Republic of Finland, 3%, 2008 EUR 2,718,000 3,582,022
---------------------------------------------------------------------------------------------------------------------------
Republic of Finland, 5.375%, 2013 EUR 435,000 649,092
---------------------------------------------------------------------------------------------------------------------------
Republic of France, 4.75%, 2007 EUR 2,640,000 3,622,849
---------------------------------------------------------------------------------------------------------------------------
Republic of France, 4%, 2009 EUR 1,715,000 2,342,805
---------------------------------------------------------------------------------------------------------------------------
Republic of France, 5%, 2012 - 2016 EUR 607,000 883,656
---------------------------------------------------------------------------------------------------------------------------
Republic of Ireland, 4.25%, 2007 EUR 5,031,000 6,851,065
---------------------------------------------------------------------------------------------------------------------------
Republic of Ireland, 4.6%, 2016 EUR 499,000 711,171
---------------------------------------------------------------------------------------------------------------------------
Republic of Italy, 4.5%, 2005 EUR 4,745,000 6,230,302
---------------------------------------------------------------------------------------------------------------------------
United Kingdom Treasury, 7.25%, 2007 GBP 499,000 1,006,921
---------------------------------------------------------------------------------------------------------------------------
United Kingdom Treasury, 5.75%, 2009 GBP 716,000 1,417,571
---------------------------------------------------------------------------------------------------------------------------
United Kingdom Treasury, 8%, 2015 GBP 1,591,000 3,859,626
---------------------------------------------------------------------------------------------------------------------------
$ 91,752,133
---------------------------------------------------------------------------------------------------------------------------
Machinery & Tools - 1.0%
---------------------------------------------------------------------------------------------------------------------------
AGCO Corp., 9.5%, 2008 $ 2,000,000 $ 2,117,500
---------------------------------------------------------------------------------------------------------------------------
Case New Holland, Inc., 6%, 2009## 950,000 916,750
---------------------------------------------------------------------------------------------------------------------------
Manitowoc Co., Inc., 10.5%, 2012 767,000 882,050
---------------------------------------------------------------------------------------------------------------------------
Sun Sage B.V., 8.25%, 2009## 100,000 107,000
---------------------------------------------------------------------------------------------------------------------------
Terex Corp., 9.25%, 2011 910,000 1,007,825
---------------------------------------------------------------------------------------------------------------------------
United Rentals, Inc., 6.5%, 2012 590,000 579,675
---------------------------------------------------------------------------------------------------------------------------
$ 5,610,800
---------------------------------------------------------------------------------------------------------------------------
MEDICAL & HEALTH TECHNOLOGY & SERVICES - 1.7%
---------------------------------------------------------------------------------------------------------------------------
AmerisourceBergen Corp., 7.25%, 2012 $ 950,000 $ 1,047,375
---------------------------------------------------------------------------------------------------------------------------
Baxter International, Inc., 9.5%, 2008 2,296,000 2,649,455
---------------------------------------------------------------------------------------------------------------------------
Fisher Scientific International, Inc., 8.125%, 2012 1,643,000 1,813,461
---------------------------------------------------------------------------------------------------------------------------
HCA, Inc., 8.75%, 2010 1,900,000 2,163,141
---------------------------------------------------------------------------------------------------------------------------
HCA, Inc., 6.375%, 2015 1,265,000 1,272,437
---------------------------------------------------------------------------------------------------------------------------
InSight Health Services Corp., 9.875%, 2011 630,000 626,850
---------------------------------------------------------------------------------------------------------------------------
$ 9,572,719
---------------------------------------------------------------------------------------------------------------------------
METALS & MINING - 0.9%
---------------------------------------------------------------------------------------------------------------------------
Foundation PA Coal Co., 7.25%, 2014## $ 1,550,000 $ 1,623,625
---------------------------------------------------------------------------------------------------------------------------
Peabody Energy Corp., 6.875%, 2013 340,000 363,800
---------------------------------------------------------------------------------------------------------------------------
Peabody Energy Corp., 5.875%, 2016 1,770,000 1,761,150
---------------------------------------------------------------------------------------------------------------------------
Phelps Dodge Corp., 8.75%, 2011 501,000 614,503
---------------------------------------------------------------------------------------------------------------------------
U. S. Steel Corp., 9.75%, 2010 850,000 971,125
---------------------------------------------------------------------------------------------------------------------------
$ 5,334,203
---------------------------------------------------------------------------------------------------------------------------
MORTGAGE BACKED - 0.9%
---------------------------------------------------------------------------------------------------------------------------
Fannie Mae, 6%, 2012 - 2016 $ 1,649,686 $ 1,727,471
---------------------------------------------------------------------------------------------------------------------------
Fannie Mae, 6.5%, 2031 - 2032 3,139,830 3,287,311
---------------------------------------------------------------------------------------------------------------------------
$ 5,014,782
---------------------------------------------------------------------------------------------------------------------------
NATURAL GAS - DISTRIBUTION - 0.4%
---------------------------------------------------------------------------------------------------------------------------
AmeriGas Partners LP, 8.875%, 2011 $ 2,065,000 $ 2,230,200
---------------------------------------------------------------------------------------------------------------------------
Natural Gas - Pipeline - 2.4%
---------------------------------------------------------------------------------------------------------------------------
ANR Pipeline Co., 8.875%, 2010 $ 440,000 $ 489,500
---------------------------------------------------------------------------------------------------------------------------
CenterPoint Energy Resources Corp., 7.875%, 2013 3,683,000 4,394,902
---------------------------------------------------------------------------------------------------------------------------
Enterprise Products Operating LP, 6.65%, 2034## 2,000,000 2,161,368
---------------------------------------------------------------------------------------------------------------------------
Kinder Morgan Energy Partners LP, 7.4%, 2031 2,775,000 3,338,403
---------------------------------------------------------------------------------------------------------------------------
Magellan Midstream Partners LP, 5.65%, 2016 1,123,000 1,149,954
---------------------------------------------------------------------------------------------------------------------------
Southern Natural Gas Co., Inc., 8.875%, 2010 1,040,000 1,157,000
---------------------------------------------------------------------------------------------------------------------------
Williams Cos., Inc., 8.75%, 2032 1,000,000 1,200,000
---------------------------------------------------------------------------------------------------------------------------
$ 13,891,127
---------------------------------------------------------------------------------------------------------------------------
OIL SERVICES - 0.3%
---------------------------------------------------------------------------------------------------------------------------
Grant Prideco, Inc., 9%, 2009 $ 950,000 $ 1,052,125
---------------------------------------------------------------------------------------------------------------------------
GulfMark Offshore, Inc., 7.75%, 2014## 760,000 798,000
---------------------------------------------------------------------------------------------------------------------------
$ 1,850,125
---------------------------------------------------------------------------------------------------------------------------
OILS - 0.6%
---------------------------------------------------------------------------------------------------------------------------
CITGO Petroleum Corp., 6%, 2011## $ 950,000 $ 942,875
---------------------------------------------------------------------------------------------------------------------------
Hurricane Finance B. V., 9.625%, 2010 46,000 50,255
---------------------------------------------------------------------------------------------------------------------------
Premcor Refining Group, Inc., 7.5%, 2015 950,000 1,021,250
---------------------------------------------------------------------------------------------------------------------------
Valero Energy Corp., 6.875%, 2012 1,331,000 1,511,112
---------------------------------------------------------------------------------------------------------------------------
$ 3,525,492
---------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS - 0.2%
---------------------------------------------------------------------------------------------------------------------------
Schering-Plough Corp., 6.5%, 2033 $ 1,002,000 $ 1,156,406
---------------------------------------------------------------------------------------------------------------------------
POLLUTION CONTROL - 0.2%
---------------------------------------------------------------------------------------------------------------------------
Allied Waste North America, Inc., 7.875%, 2013 $ 955,000 $ 947,838
---------------------------------------------------------------------------------------------------------------------------
Veolia Environnement, 5.875%, 2008 EUR 250,000 355,793
---------------------------------------------------------------------------------------------------------------------------
$ 1,303,631
---------------------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING - 0.8%
---------------------------------------------------------------------------------------------------------------------------
Bertelsmann U. S. Finance, Inc., 4.625%, 2010 EUR 148,000 $ 203,214
---------------------------------------------------------------------------------------------------------------------------
Dex Media East LLC, 9.875%, 2009 $ 1,270,000 1,422,400
---------------------------------------------------------------------------------------------------------------------------
Dex Media West LLC, 9.875%, 2013 567,000 642,836
---------------------------------------------------------------------------------------------------------------------------
Mail-Well Corp., 9.625%, 2012 1,050,000 1,128,750
---------------------------------------------------------------------------------------------------------------------------
MediaNews Group, Inc., 6.875%, 2013 895,000 890,525
---------------------------------------------------------------------------------------------------------------------------
Pearson PLC, 6.125%, 2007 EUR 135,000 187,439
---------------------------------------------------------------------------------------------------------------------------
Reed Elsevier Capital, Inc., 5.75%, 2008 EUR 125,000 177,746
---------------------------------------------------------------------------------------------------------------------------
$ 4,652,910
---------------------------------------------------------------------------------------------------------------------------
RAILROAD & SHIPPING - 0.2%
---------------------------------------------------------------------------------------------------------------------------
Societe Nationale des Chemins de Fer Francais, 7.5%, 2008 EUR 750,000 $ 1,117,314
---------------------------------------------------------------------------------------------------------------------------
RETAILERS - 1.6%
---------------------------------------------------------------------------------------------------------------------------
Couche-Tard, Inc., 7.5%, 2013 $ 365,000 $ 385,988
---------------------------------------------------------------------------------------------------------------------------
Gap, Inc., 10.05%, 2008 2,710,000 3,262,163
---------------------------------------------------------------------------------------------------------------------------
JC Penney Co., Inc., 7.4%, 2037 953,000 1,043,535
---------------------------------------------------------------------------------------------------------------------------
Limited Brands, Inc., 5.25%, 2014 2,294,000 2,278,252
---------------------------------------------------------------------------------------------------------------------------
Rite Aid Corp., 8.125%, 2010 635,000 658,813
---------------------------------------------------------------------------------------------------------------------------
Saks, Inc., 7%, 2013 1,585,000 1,624,625
---------------------------------------------------------------------------------------------------------------------------
$ 9,253,376
---------------------------------------------------------------------------------------------------------------------------
SPECIAL PRODUCTS & SERVICES
---------------------------------------------------------------------------------------------------------------------------
Telemig Celular Participacoes S.A., 8.75%, 2009## $ 28,000 $ 29,155
---------------------------------------------------------------------------------------------------------------------------
STEEL
---------------------------------------------------------------------------------------------------------------------------
Thyssenkrupp Finance B. V., 7%, 2009 EUR 100,000 $ 147,880
---------------------------------------------------------------------------------------------------------------------------
SUPERMARKETS - 0.2%
---------------------------------------------------------------------------------------------------------------------------
Roundy's, Inc., 8.875%, 2012 $ 825,000 $ 891,000
---------------------------------------------------------------------------------------------------------------------------
SUPRANATIONAL - 0.2%
---------------------------------------------------------------------------------------------------------------------------
European Investment Bank, 5.375%, 2012 EUR 750,000 $ 1,111,093
---------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS - WIRELESS - 1.5%
---------------------------------------------------------------------------------------------------------------------------
Centennial Communications Corp., 10.125%, 2013 $ 645,000 $ 730,463
---------------------------------------------------------------------------------------------------------------------------
Crown Castle International Corp., 7.5%, 2013 635,000 673,894
---------------------------------------------------------------------------------------------------------------------------
Innova S. de R. L., 9.375%, 2013 484,000 549,340
---------------------------------------------------------------------------------------------------------------------------
Mobile TeleSystems OJSC, 9.75%, 2008## 19,000 20,425
---------------------------------------------------------------------------------------------------------------------------
Mobile TeleSystems OJSC, 8.375%, 2010## 320,000 332,000
---------------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 7.375%, 2015 2,360,000 2,601,900
---------------------------------------------------------------------------------------------------------------------------
Rogers Wireless, Inc., 6.375%, 2014 950,000 957,125
---------------------------------------------------------------------------------------------------------------------------
Rogers Wireless, Inc., 7.5%, 2015## 1,035,000 1,110,038
---------------------------------------------------------------------------------------------------------------------------
Vimpel-Communications, 10.45%, 2005## 1,551,000 1,566,510
---------------------------------------------------------------------------------------------------------------------------
Vodafone Group PLC, 5.75%, 2006 EUR 140,000 192,276
---------------------------------------------------------------------------------------------------------------------------
$ 8,733,971
---------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS - WIRELINE - 5.6%
---------------------------------------------------------------------------------------------------------------------------
AT&T Corp., 7.3%, 2011 $ 950,000 $ 1,102,000
---------------------------------------------------------------------------------------------------------------------------
AT&T Corp., 8%, 2031 1,745,000 2,222,694
---------------------------------------------------------------------------------------------------------------------------
Axtel S.A. de C. V., 11%, 2013 45,000 48,319
---------------------------------------------------------------------------------------------------------------------------
BellSouth Corp., 6.55%, 2034 3,213,000 3,565,813
---------------------------------------------------------------------------------------------------------------------------
Citizens Communications Co., 9.25%, 2011 1,805,000 2,107,338
---------------------------------------------------------------------------------------------------------------------------
Citizens Communications Co., 6.25%, 2013 1,470,000 1,466,325
---------------------------------------------------------------------------------------------------------------------------
Deutsche Telekom International Finance B. V., 8.125%, 2012 EUR 130,000 216,240
---------------------------------------------------------------------------------------------------------------------------
Deutsche Telekom International Finance B. V., 8.75%, 2030 $ 3,313,000 4,481,813
---------------------------------------------------------------------------------------------------------------------------
Eircom Funding PLC, 8.25%, 2013 1,250,000 1,365,625
---------------------------------------------------------------------------------------------------------------------------
France Telecom S.A., 7.95%, 2006 105,000 109,668
---------------------------------------------------------------------------------------------------------------------------
OTE Telecommunications PLC, 6.125%, 2007## EUR 195,000 270,231
---------------------------------------------------------------------------------------------------------------------------
Qwest Corp., 7.875%, 2011## $ 1,900,000 2,033,000
---------------------------------------------------------------------------------------------------------------------------
Qwest Corp., 8.875%, 2012## 950,000 1,080,625
---------------------------------------------------------------------------------------------------------------------------
Qwest Services Corp., 13.5%, 2010## 395,000 469,063
---------------------------------------------------------------------------------------------------------------------------
SBC Communications, Inc., 5.1%, 2014 3,395,000 3,419,447
---------------------------------------------------------------------------------------------------------------------------
Telecom Italia Capital, 6%, 2034## 2,020,000 2,039,721
---------------------------------------------------------------------------------------------------------------------------
Telecom Italia S. p. A., 5.625%, 2007 EUR 300,000 412,942
---------------------------------------------------------------------------------------------------------------------------
Verizon New York, Inc., 7.375%, 2032 $ 4,590,000 5,403,128
---------------------------------------------------------------------------------------------------------------------------
$ 31,813,992
---------------------------------------------------------------------------------------------------------------------------
TOBACCO - 0.4%
---------------------------------------------------------------------------------------------------------------------------
Philip Morris Finance, 5.625%, 2008 EUR 75,000 $ 103,533
---------------------------------------------------------------------------------------------------------------------------
R. J. Reynolds Tobacco Holdings, Inc., 7.25%, 2012 $ 2,008,000 2,078,280
---------------------------------------------------------------------------------------------------------------------------
$ 2,181,813
---------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - SERVICES - 0.2%
---------------------------------------------------------------------------------------------------------------------------
Stena AB, 7%, 2016## $ 552,000 $ 534,060
---------------------------------------------------------------------------------------------------------------------------
TFM S.A. de C. V., 10.25%, 2007 21,000 22,418
---------------------------------------------------------------------------------------------------------------------------
TFM S.A. de C. V., 11.75%, 2009 16,000 16,120
---------------------------------------------------------------------------------------------------------------------------
TFM S.A. de C. V., 12.5%, 2012 344,000 400,760
---------------------------------------------------------------------------------------------------------------------------
$ 973,358
---------------------------------------------------------------------------------------------------------------------------
U. S. GOVERNMENT AGENCIES - 0.3%
---------------------------------------------------------------------------------------------------------------------------
Small Business Administration, 5.34%, 2021 $ 1,559,996 $ 1,624,151
---------------------------------------------------------------------------------------------------------------------------
U. S. TREASURY OBLIGATIONS - 2.9%
---------------------------------------------------------------------------------------------------------------------------
U. S. Treasury Notes, 3.625%, 2008### $ 10,277,212 $ 11,074,498
---------------------------------------------------------------------------------------------------------------------------
U. S. Treasury Notes, 2%, 2014 5,173,568 5,352,419
---------------------------------------------------------------------------------------------------------------------------
$ 16,426,917
---------------------------------------------------------------------------------------------------------------------------
UTILITIES - ELECTRIC POWER - 7.9%
---------------------------------------------------------------------------------------------------------------------------
BVPS II Funding Corp., 8.68%, 2017 $ 820,000 $ 935,087
---------------------------------------------------------------------------------------------------------------------------
Beaver Valley Funding Corp., 9%, 2017 4,562,000 5,407,139
---------------------------------------------------------------------------------------------------------------------------
CMS Energy Corp., 8.5%, 2011 550,000 613,938
---------------------------------------------------------------------------------------------------------------------------
Calpine Corp., 8.75%, 2013## 755,000 573,800
---------------------------------------------------------------------------------------------------------------------------
CenterPoint Energy, Inc., 7.25%, 2010 1,250,000 1,391,400
---------------------------------------------------------------------------------------------------------------------------
Compania Nacional de Transmision Electrica S.A. (Transelec), 7.875%, 2011 700,000 806,723
---------------------------------------------------------------------------------------------------------------------------
DPL, Inc., 6.875%, 2011 3,532,000 3,830,433
---------------------------------------------------------------------------------------------------------------------------
Duke Capital Corp., 8%, 2019 1,652,000 2,031,646
---------------------------------------------------------------------------------------------------------------------------
Dynegy Holdings, Inc., 9.875%, 2010## 410,000 448,950
---------------------------------------------------------------------------------------------------------------------------
Empresa Nacional de Electricidad S.A., 8.35%, 2013 1,852,000 2,171,483
---------------------------------------------------------------------------------------------------------------------------
Enersis S.A., 7.375%, 2014 1,272,000 1,380,338
---------------------------------------------------------------------------------------------------------------------------
FirstEnergy Corp., 6.45%, 2011 1,955,000 2,121,576
---------------------------------------------------------------------------------------------------------------------------
MSW Energy Holdings LLC, 7.375%, 2010 1,045,000 1,092,025
---------------------------------------------------------------------------------------------------------------------------
MidAmerican Energy Holdings Co., 3.5%, 2008 2,437,000 2,389,028
---------------------------------------------------------------------------------------------------------------------------
National Grid Group Finance PLC, 5.25%, 2006 EUR 200,000 271,185
---------------------------------------------------------------------------------------------------------------------------
Nevada Power Co., 5.875%, 2015## $ 1,975,000 1,979,938
---------------------------------------------------------------------------------------------------------------------------
NorthWestern Corp., 5.875%, 2014## 1,725,000 1,775,222
---------------------------------------------------------------------------------------------------------------------------
PSEG Energy Holdings LLC, 7.75%, 2007 863,000 900,756
---------------------------------------------------------------------------------------------------------------------------
RWE Finance B. V., 5.375%, 2008 EUR 6,000 8,419
---------------------------------------------------------------------------------------------------------------------------
Reliant Resources, Inc., 9.25%, 2010 $ 490,000 545,125
---------------------------------------------------------------------------------------------------------------------------
Reliant Resources, Inc., 9.5%, 2013 575,000 644,000
---------------------------------------------------------------------------------------------------------------------------
System Energy Resources, Inc., 5.129%, 2014## 2,605,001 2,595,832
---------------------------------------------------------------------------------------------------------------------------
TECO Energy, Inc., 7.5%, 2010 950,000 1,045,000
---------------------------------------------------------------------------------------------------------------------------
TXU Corp., 6.375%, 2006 3,943,000 4,075,154
---------------------------------------------------------------------------------------------------------------------------
TXU Corp., 6.5%, 2024## 3,322,000 3,388,952
---------------------------------------------------------------------------------------------------------------------------
Texas Genco LLC, 6.875%, 2014## 265,000 274,275
---------------------------------------------------------------------------------------------------------------------------
Vattenfall Treasury AB, 6%, 2010 EUR 125,000 183,812
---------------------------------------------------------------------------------------------------------------------------
W3A Funding Corp., 8.09%, 2017 $ 1,937,760 2,149,886
---------------------------------------------------------------------------------------------------------------------------
$ 45,031,122
---------------------------------------------------------------------------------------------------------------------------
Total Bonds (Identified Cost, $517,685,780) $ 547,401,218
---------------------------------------------------------------------------------------------------------------------------
ISSUER SHARES $ VALUE
---------------------------------------------------------------------------------------------------------------------------
STOCKS - 0.1%
---------------------------------------------------------------------------------------------------------------------------
APPAREL MANUFACTURERS - 0.1%
---------------------------------------------------------------------------------------------------------------------------
Sind Holdings, Inc.* 5,720 $ 562,848
---------------------------------------------------------------------------------------------------------------------------
TOBACCO
---------------------------------------------------------------------------------------------------------------------------
Reynolds American, Inc. 2,302 $ 185,127
---------------------------------------------------------------------------------------------------------------------------
Total Stocks (Identified Cost, $2,128,573) $ 747,975
---------------------------------------------------------------------------------------------------------------------------
ISSUER SHARES $ VALUE
---------------------------------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK - 0.2%
---------------------------------------------------------------------------------------------------------------------------
AUTOMOTIVE - 0.2%
---------------------------------------------------------------------------------------------------------------------------
Ford Motor Co. Capital Trust II, 6.5% (Identified Cost, $1,177,235) 22,511 $ 1,125,100
---------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCK
---------------------------------------------------------------------------------------------------------------------------
REAL ESTATE
---------------------------------------------------------------------------------------------------------------------------
HRPT Properties Trust, 8.75% (Identified Cost, $139,485) 5,100 $ 138,720
---------------------------------------------------------------------------------------------------------------------------
FIRST
WARRANTS STRIKE PRICE EXERCISE SHARES $ VALUE
---------------------------------------------------------------------------------------------------------------------------
Banco Central del Uruguay (Emerging Market Sovereign)* N/A N/A 1,250,000 $ 0
---------------------------------------------------------------------------------------------------------------------------
DWC Construction Co., Inc. (Utilities - Other)* KRW 373.00 6/29/01 112,911 26,996
---------------------------------------------------------------------------------------------------------------------------
DWC Trading (Utilities - Other)* KRW 166.00 6/29/01 44,711 14,468
---------------------------------------------------------------------------------------------------------------------------
Loral Space & Communications Ltd., (Business Services)* $ 0.14 1/28/97 2,325 0
---------------------------------------------------------------------------------------------------------------------------
Thermadyne Holdings Corp. (Machinery & Tools)* 20.78 5/29/03 777 389
---------------------------------------------------------------------------------------------------------------------------
Total Warrants (Identified Cost, $38,522) $ 41,853
---------------------------------------------------------------------------------------------------------------------------
ISSUER PAR AMOUNT $ VALUE
---------------------------------------------------------------------------------------------------------------------------
CONVERTIBLE BOND - 0.1%
---------------------------------------------------------------------------------------------------------------------------
BANKS & CREDIT COMPANIES - 0.1%
---------------------------------------------------------------------------------------------------------------------------
Fortis Capital Co., 6.25%, 2049 (Identified Cost, $135,348) EUR 155,000 $ 218,357
---------------------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT - 1.7%
---------------------------------------------------------------------------------------------------------------------------
Goldman Sachs & Co., 2.48%, dated 1/31/05, due 2/1/05, total to
be received $9,703,668 (secured by various U. S. Treasury and
Federal Agency obligations in a jointly traded account), at Cost $ 9,703,000 $ 9,703,000
---------------------------------------------------------------------------------------------------------------------------
Total Investments ~ (Identified Cost, $528,344,365) $ 559,376,223
---------------------------------------------------------------------------------------------------------------------------
ISSUE/EXPIRATION MONTH/STRIKE PRICE
PAR AMOUNT $ VALUE
CALL OPTIONS WRITTEN OF CONTRACTS
---------------------------------------------------------------------------------------------------------------------------
Republic of Turkey Bonds - March 2005 @ $104.25 (Premiums Received, $1,864) $ (80,000) $ (1,360)
---------------------------------------------------------------------------------------------------------------------------
OTHER ASSETS, LESS LIABILITIES - 1.7% 9,811,425
---------------------------------------------------------------------------------------------------------------------------
Net Assets - 100.0% $ 569,186,288
---------------------------------------------------------------------------------------------------------------------------
~ As of January 31, 2005, one security representing $562,848 and 0.01% of net assets was fair valued in accordance with
the policies adopted by the Board of Trustees.
* Non-income producing security.
## SEC Rule 144A restriction.
### Security segregated as collateral for open futures contracts.
^^ Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the
notional principal and does not reflect the cost of the security.
N/A = Strike price and first exercise date have not been made available by issuer.
All amounts are stated in U.S. dollars unless otherwise indicated.
Abbreviations have been used throughout this report to indicate amounts shown in currencies other than the U. S. dollar. A
list of abbreviations is shown below
ARS= Argentine Peso
AUD= Australian Dollar
BRL= Brazilian Real
CAD= Canadian Dollar
CHF= Swiss Franc
CLP= Chilean Peso
CNY= Chinese Yuan Renminbi
COP= Colombian Peso
CZK= Czech Koruna
DKK= Danish Krone
EUR= Euro
GBP= British Pound
HUF= Hungarian Forint
JPY= Japanese Yen
KRW= Korean Won
MXN= Mexican Peso
NZD= New Zealand Dollar
PHP= Philippine Peso
PLN= Polish Zloty
RUB= Russian Ruble
SEK= Swedish Krona
SGD= Singapore Dollar
SKK= Slovakian Koruna
THB= Thailand Baht
TRY= Turkish Lira
TWD= Taiwan Dollar
UYU= Uruguayan Peso
ZAR= South African Rand
See attached schedules. For more information see notes to financial statements as disclosed in the most recent semiannual or
annual report.
MFS Multimarket Income Trust
Supplemental Schedules (Unaudited) 01/31/2005
(1) PORTFOLIO SECURITIES
The cost and unrealized appreciation and depreciation in the value of the
investments owned by the trust, as computed on a federal income tax basis, are
as follows:
Aggregate cost $531,050,503
============
Gross unrealized appreciation $33,441,130
Gross unrealized depreciation (5,115,410)
------------
Net unrealized appreciation (depreciation) $28,325,720
============
(2) FINANCIAL INSTRUMENTS
The trust trades financial instruments with off-balance-sheet risk in the normal
course of its investing activities in order to manage exposure to market risks
such as interest rates and foreign currency exchange rates. These financial
instruments include forward foreign currency exchange contracts, and futures
contracts. The notional or contractual amounts of these instruments represent
the investment the trust has in particular classes of financial instruments and
does not necessarily represent the amounts potentially subject to risk. The
measurement of the risks associated with these instruments is meaningful only
when all related and offsetting transactions are considered.
Forward Foreign Currency Exchange Contracts
NET UNREALIZED
CONTRACTS TO CONTRACTS APPRECIATION
SETTLEMENT DATE DELIVER/RECEIVE IN EXCHANGE FOR AT VALUE (DEPRECIATION)
-------------------------------------------------------------------------------------------------------
SALES
-----
2/24/2005 ARS 315,813 $ 107,428 $ 108,386 $ (958)
2/10/2005 AUD 1,880,234 1,407,597 1,454,844 (47,247)
2/14/2005 BRL 752,665 275,613 288,363 (12,750)
3/7/2005 CAD 2,456,418 1,985,000 1,982,680 2,320
2/22/2005 COP 236,500,000 99,579 99,626 (47)
2/14/2005 CZK 7,716,969 330,000 334,546 (4,546)
2/14/2005 DKK 16,740,442 2,908,852 2,934,873 (26,021)
2/14/05-2/28/05 EUR 77,692,222 101,502,122 101,366,503 135,619
3/10/2005 GBP 3,351,850 6,267,960 6,296,135 (28,175)
2/7/05-2/14/05 MXN 4,347,399 385,000 388,285 (3,285)
2/10/2005 NZD 7,068,481 4,957,195 5,019,719 (62,524)
2/14/2005 SKK 7,451,214 250,000 254,547 (4,547)
2/14/2005 TRY 200,000 145,773 148,520 (2,747)
2/18/2005 ZAR 911,625 150,000 152,681 (2,681)
-----------------------------------------------------
$ 120,772,119 $ 120,829,708 $ (57,589)
=====================================================
PURCHASES
---------
2/10/2005 ARS 295,500 $ 100,000 $ 101,263 $ 1,263
2/14/2005 BRL 1,559,965 576,512 597,658 21,146
2/14/2005 CHF 1,653,052 1,389,517 1,392,114 2,597
2/28/2005 CLP 35,125,000 59,940 60,495 555
6/1/2005 CNY 1,830,988 227,198 225,028 (2,170)
2/22/2005 COP 236,500,000 99,579 99,626 47
2/14/2005 CZK 18,696,078 809,989 810,513 524
2/14/2005 DKK 17,191,386 3,036,856 3,013,931 (22,925)
2/14/05-2/28/05 EUR 7,204,311 9,492,221 9,399,145 (93,076)
2/28/2005 HUF 64,454,860 337,922 340,634 2,712
3/4/2005 JPY 10,354,010 100,000 100,197 197
2/14/2005 KRW 371,983,500 356,259 361,905 5,646
2/7/2005 MXN 9,909,371 866,332 885,414 19,082
2/10/05-2/24/05 PHP 16,813,000 301,318 304,915 3,597
2/18/2005 PLN 1,666,461 537,913 534,241 (3,672)
2/18/2005 RUB 2,805,000 100,250 100,158 (92)
2/14/2005 SEK 20,130,911 2,925,157 2,885,067 (40,090)
2/22/2005 SGD 896,225 548,569 547,846 (723)
2/14/2005 SKK 15,023,869 509,539 513,242 3,703
2/24/2005 THB 7,910,000 205,428 205,180 (248)
2/14/05-2/28/05 TRY 1,093,547 801,810 808,791 6,981
2/14/2005 TWD 3,404,000 106,375 107,280 905
2/22/2005 ZAR 2,691,617 445,230 450,557 5,327
-----------------------------------------------------
$ 23,933,914 $ 23,845,200 $ (88,714)
=====================================================
At January 31, 2005, forward foreign currency purchases and sales under master
netting agreements excluded above amounted to a net receivable of $26,900 with
Merrill Lynch International.
At January 31, 2005, the trust had sufficient cash and/or securities to cover
any commitments under these contracts.
Futures Contracts
Unrealized
Appreciation
Description Expiration Contracts Position (Depreciation)
----------------------------------------------------------------------------------------------------------------
Eurodollar Futures June 2005 44 Long $(18,887)
Eurodollar Futures June 2006 44 Short 23,117
U. S. Treasury Notes 10 Year Futures March 2005 58 Short (96,392)
U. S. Treasury Notes 2 Year Futures March 2005 243 Short 67,343
U. S. Treasury Notes 5 Year Futures March 2005 2 Short 301
--------
$(24,518)
========
At January 31, 2005, the trust had sufficient cash and/or securities to cover
any margin requirements under these contracts.
(3) COUNTRY WEIGHTINGS
---------------------------------------
United States 65.4%
---------------------------------------
Germany 8.2%
---------------------------------------
Great Britain 2.6%
---------------------------------------
Canada 2.5%
---------------------------------------
Mexico 2.4%
---------------------------------------
Russia 2.1%
---------------------------------------
Ireland 2.0%
---------------------------------------
France 1.7%
---------------------------------------
Brazil 1.7%
---------------------------------------
Other 11.4%
---------------------------------------
Percentages as based on total net assets as of January 31, 2005.
(C)2005 MFS Investment Management
ITEM 2. CONTROLS AND PROCEDURES.
(a) Based upon their evaluation of the registrant's disclosure controls and
procedures as conducted within 90 days of the filing date of this Form N-Q,
the registrant's principal financial officer and principal executive
officer have concluded that those disclosure controls and procedures
provide reasonable assurance that the material information required to be
disclosed by the registrant on this report is recorded, processed,
summarized and reported within the time periods specified in the Securities
and Exchange Commission's rules and forms.
(b) There were no changes in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of
1940 (the "Act")) that occurred during the registrant's last fiscal quarter
that has materially affected, or is reasonably likely to materially affect,
the registrant's internal control over financial reporting.
ITEM 3. EXHIBITS.
File as exhibits as part of this Form a separate certification for each
principal executive officer and principal financial officer of the registrant as
required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: MFS MULTIMARKET INCOME TRUST
------------------------------------------------------------------
By (Signature and Title)* ROBERT J. MANNING
-----------------------------------------------------
Robert J. Manning, President
Date: March 24, 2005
--------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* ROBERT J. MANNING
-----------------------------------------------------
Robert J. Manning, President
(Principal Executive Officer)
Date: March 24, 2005
-------------
By (Signature and Title)* RICHARD M. HISEY
-----------------------------------------------------
Richard M. Hisey, Treasurer (Principal Financial
Officer and Accounting Officer)
Date: March 24, 2005
--------------
* Print name and title of each signing officer under his or her signature.