SEC Form N-CSRS filed by MFS Multimarket Income Trust
$MMT
Trusts Except Educational Religious and Charitable
Finance
Semiannual Report
April 30, 2023
MFS® Multimarket
Income Trust
Income Trust
MMT-SEM
MANAGED DISTRIBUTION POLICY
DISCLOSURE
The MFS Multimarket Income
Trust’s (the fund) Board of Trustees adopted a managed distribution policy. The fund seeks to pay monthly distributions based on an annual rate of 8.00% of the fund’s average monthly net asset value. The
primary purpose of the managed distribution policy is to provide shareholders with a constant, but not guaranteed, fixed rate of distribution each month. You should not draw any conclusions about the fund’s
investment performance from the amount of the current distribution or from the terms of the fund’s managed distribution policy. The Board may amend or terminate the managed distribution policy at any time
without prior notice to fund shareholders. The amendment or termination of the managed distribution policy could have an adverse effect on the market price of the fund’s shares.
With each distribution, the fund
will issue a notice to shareholders and an accompanying press release which will provide detailed information regarding the amount and composition of the distribution and other related information. The amounts and
sources of distributions reported in the notice to shareholders are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting purposes will
depend upon the fund’s investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. The fund will send you a Form 1099-DIV for the calendar year that will
tell you how to report these distributions for federal income tax purposes. Please refer to “Tax Matters and Distributions” under Note 2 of the Notes to Financial Statements for information regarding the
tax character of the fund’s distributions.
Under a managed distribution policy
the fund may at times distribute more than its net investment income and net realized capital gains; therefore, a portion of your distribution may result in a return of capital. A return of capital may occur, for
example, when some or all of the money that you invested in the fund is paid back to you. Any such returns of capital will decrease the fund’s total assets and, therefore, could have the effect of increasing the
fund’s expense ratio. In addition, in order to make the level of distributions called for under its managed distribution policy, the fund may have to sell portfolio securities at a less than opportune time. A
return of capital does not necessarily reflect the fund’s investment performance and should not be confused with ‘yield’ or ‘income’. The fund’s total return in relation to changes
in net asset value is presented in the Financial Highlights.
MFS® Multimarket
Income Trust
Income Trust
New York Stock Exchange Symbol: MMT
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| back cover |
NOT FDIC INSURED
• MAY LOSE VALUE • NO BANK GUARANTEE
Portfolio Composition - continued
Composition including fixed income
credit quality (a)(i)
| AAA | 5.2% |
| AA | 5.5% |
| A | 9.2% |
| BBB | 30.1% |
| BB | 38.6% |
| B | 28.7% |
| CCC | 9.1% |
| CC | 0.1% |
| C | 0.1% |
| D | 0.1% |
| U.S. Government | 2.7% |
| Not Rated | (46.9)% |
| Non-Fixed Income | 0.2% |
| Cash & Cash Equivalents (Less Liabilities) (b) | (30.3)% |
| Other (q) | 47.6% |
| (a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Not Rated includes fixed income securities and fixed income derivatives that have not been rated by any rating agency. |
Non-Fixed Income includes equity
securities (including convertible bonds and equity derivatives), ETFs, and/or commodity-linked derivatives. The fund may or may not have held all of these instruments on this date. The fund is not rated by these
agencies.
| (b) | Cash & Cash Equivalents (Less Liabilities) includes any cash, investments in money market funds, short-term securities, and other assets less liabilities. Liabilities include the value of outstanding borrowings made by the fund for leverage transactions. Cash & Cash Equivalents (Less Liabilities) is negative due to these borrowings. Please see the Statement of Assets and Liabilities for additional information related to the fund’s cash position and other assets and liabilities. Please see Note 6 in the Notes to Financial Statements for more information on the fund's outstanding borrowings. |
| (d) | Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value due to the interest rate move. The Average Duration calculation reflects the impact of the equivalent exposure of derivative positions, if any. |
2
Portfolio Composition - continued
| (i) | For purposes of this presentation, the components include the value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include any accrued interest amounts. |
| (m) | In determining each instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening device (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity. |
| (p) | For purposes of the presentation of Portfolio structure at value, Other includes market value from currency derivatives and may be negative. |
| (q) | For purposes of this presentation, Other includes equivalent exposure from currency derivatives and/or any offsets to derivative positions and may be negative. |
| (v) | For purposes of this presentation, market value of fixed income and/or equity derivatives, if any, is included in Cash & Cash Equivalents. |
Where the fund holds convertible
bonds, they are treated as part of the equity portion of the portfolio.
Percentages are based on net assets
as of April 30, 2023.
The portfolio is actively managed
and current holdings may be different.
3
Portfolio Managers' Profiles
| Portfolio Manager | Primary Role | Since | Title and Five Year History |
| Robert Spector | Lead Portfolio Manager | 2017 | Investment Officer of MFS; employed in the investment management area of MFS since 2011. |
| Neeraj Arora | Emerging Markets Debt Instruments Portfolio Manager | March 2023 | Investment Officer of MFS; employed in the investment management area of MFS since 2011. |
| Ward Brown | Emerging Markets Debt Instruments Portfolio Manager | 2012 | Investment Officer of MFS; employed in the investment management area of MFS since 2005. |
| David Cole | Below Investment Grade Debt Instruments Portfolio Manager | 2006 | Investment Officer of MFS; employed in the investment management area of MFS since 2004. |
| Pilar Gomez-Bravo | Debt Instruments Portfolio Manager | 2013 | Investment Officer of MFS; employed in the investment management area of MFS since 2013. |
| Andy Li | Investment Grade Debt Instruments Portfolio Manager | 2019 | Investment Officer of MFS; employed in the investment management area of MFS since 2018. |
| John Mitchell | Investment Grade Debt Instruments Portfolio Manager | January 2023 | Investment Officer of MFS; employed in the investment management area of MFS since 2007. |
| Matt Ryan | Emerging Markets Debt Instruments Portfolio Manager | 2004 | Investment Officer of MFS; employed in the investment management area of MFS since 1997. |
| Michael Skatrud | Below Investment Grade Debt Instruments Portfolio Manager | 2018 | Investment Officer of MFS; employed in the investment management area of MFS since 2013. |
Effective January 20, 2023, John
Mitchell was added as a Portfolio Manager and Henry Peabody is no longer a Portfolio Manager of the fund. Effective March 31, 2023, Neeraj Arora was added as a Portfolio Manager of the fund. Effective April 30, 2024,
Matt Ryan will no longer be a Portfolio Manager of the fund.
4
Other Notes
The fund’s shares may trade at
a discount or premium to net asset value. When fund shares trade at a premium, buyers pay more than the net asset value of the underlying fund shares, and shares purchased at a premium would receive less than the
amount paid for them in the event of the fund’s concurrent liquidation.
The fund's target annual
distribution rate is calculated based on an annual rate of 8.00% of the fund's average monthly net asset value, not a fixed share price, and the fund's dividend amount will fluctuate with changes in the fund's average
monthly net assets.
In accordance with Section 23(c)
of the Investment Company Act of 1940, the fund hereby gives notice that it may from time to time repurchase shares of the fund in the open market at the option of the Board of Trustees and on such terms as the
Trustees shall determine.
5
Portfolio of Investments
4/30/23 (unaudited)
The Portfolio of Investments is a
complete list of all securities owned by your fund. It is categorized by broad-based asset classes.
| Issuer | Shares/Par | Value ($) | ||
| Bonds – 128.3% | ||||
| Aerospace & Defense – 2.2% | ||||
| Boeing Co., 5.805%, 5/01/2050 | $ | 396,000 | $393,880 | |
| Bombardier, Inc., 7.5%, 3/15/2025 (n) | 136,000 | 136,010 | ||
| Bombardier, Inc., 7.125%, 6/15/2026 (n) | 375,000 | 373,821 | ||
| F-Brasile S.p.A./F-Brasile U.S. LLC, 7.375%, 8/15/2026 (n) | 805,000 | 674,188 | ||
| Moog, Inc., 4.25%, 12/15/2027 (n) | 892,000 | 838,649 | ||
| Raytheon Technologies Corp., 2.82%, 9/01/2051 | 1,026,000 | 706,051 | ||
| Spirit AeroSystems, Inc., 4.6%, 6/15/2028 | 496,000 | 420,794 | ||
| TransDigm, Inc., 6.25%, 3/15/2026 (n) | 620,000 | 622,931 | ||
| TransDigm, Inc., 6.375%, 6/15/2026 | 570,000 | 569,227 | ||
| TransDigm, Inc., 5.5%, 11/15/2027 | 613,000 | 588,284 | ||
| TransDigm, Inc., 6.75%, 8/15/2028 (n) | 516,000 | 524,019 | ||
| TransDigm, Inc., 4.625%, 1/15/2029 | 603,000 | 545,715 | ||
| $6,393,569 | ||||
| Airlines – 0.3% | ||||
| Air Canada, 3.875%, 8/15/2026 (n) | $ | 639,000 | $591,511 | |
| American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 4/20/2029 (n) | 385,946 | 366,759 | ||
| $958,270 | ||||
| Apparel Manufacturers – 0.1% | ||||
| Tapestry, Inc., 3.05%, 3/15/2032 | $ | 388,000 | $321,313 | |
| Asset-Backed & Securitized – 4.7% | ||||
| 3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.137%, 11/15/2054 (i) | $ | 3,726,811 | $202,381 | |
| AA Bond Co. Ltd., 3.25%, 7/31/2028 | GBP | 460,000 | 456,949 | |
| ACRES 2021-FL2 Issuer Ltd., “B”, FLR, 7.197% (LIBOR - 1mo. + 2.25%), 1/15/2037 (n) | $ | 387,000 | 373,255 | |
| Arbor Realty Trust, Inc., CLO, 2021-FL1, “C”, FLR, 6.937% (LIBOR - 1mo. + 2%), 12/15/2035 (n) | 100,000 | 93,319 | ||
| Arbor Realty Trust, Inc., CLO, 2021-FL2, “C”, FLR, 6.897% (LIBOR - 1mo. + 1.95%), 5/15/2036 (n) | 471,500 | 440,902 | ||
| Arbor Realty Trust, Inc., CLO, 2022-FL1, “D”, FLR, 7.75% (SOFR - 30 day + 3%), 1/15/2037 (n) | 600,000 | 549,227 | ||
| AREIT 2022-CRE6 Trust, “D”, FLR, 7.608% (SOFR - 30 day + 2.85%), 1/16/2037 (n) | 126,000 | 113,723 | ||
| Bayview Financial Revolving Mortgage Loan Trust, FLR, 6.625% (LIBOR - 1mo. + 1.6%), 12/28/2040 (n) | 406,512 | 526,368 | ||
| BBCMS Mortgage Trust, 2020-C7, “XA”, 1.734%, 4/15/2053 (i) | 988,875 | 70,435 | ||
| BBCMS Mortgage Trust, 2021-C10, “XA”, 1.417%, 7/15/2054 (i) | 989,620 | 67,328 | ||
6
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Asset-Backed & Securitized – continued | ||||
| BBCMS Mortgage Trust, 2021-C9, “XA”, 1.744%, 2/15/2054 (i) | $ | 6,555,909 | $586,096 | |
| Benchmark 2021-B23 Mortgage Trust, “XA”, 1.376%, 2/15/2054 (i) | 4,036,619 | 271,391 | ||
| Benchmark 2021-B24 Mortgage Trust, “XA”, 1.268%, 3/15/2054 (i) | 2,042,175 | 124,460 | ||
| Benchmark 2021-B26 Mortgage Trust, “XA”, 0.997%, 6/15/2054 (i) | 7,100,525 | 346,989 | ||
| Benchmark 2021-B27 Mortgage Trust, “XA”, 1.381%, 7/15/2054 (i) | 7,122,506 | 510,398 | ||
| Benchmark 2022-B36 Mortgage Trust, “XA”, 0.809%, 7/15/2055 (i) | 8,711,547 | 426,748 | ||
| BSPRT 2021-FL7 Issuer Ltd., “C”, FLR, 7.247% (LIBOR - 1mo. + 2.3%), 12/15/2038 (n) | 100,000 | 93,505 | ||
| Business Jet Securities LLC, 2020-1A, “A”, 2.981%, 11/15/2035 (n) | 153,364 | 145,030 | ||
| Business Jet Securities LLC, 2021-1A, “B”, 2.918%, 4/15/2036 (n) | 67,020 | 60,763 | ||
| Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 144,085 | 135,619 | ||
| Capital Automotive, 2020-1A, “B1”, REIT, 4.17%, 2/15/2050 (n) | 437,500 | 410,649 | ||
| CF Hippolyta Issuer LLC, 2020-1, “B1”, 2.28%, 7/15/2060 (n) | 89,945 | 81,072 | ||
| Chesapeake Funding II LLC, 2023-1A, “A1”, 5.65%, 5/15/2035 (n) | 218,000 | 218,300 | ||
| Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.887%, 4/15/2054 (i) | 3,616,938 | 154,374 | ||
| Crest Ltd., CDO, 7% (0.001% Cash or 7% PIK), 1/28/2040 (a)(p) | 4,413,047 | 44 | ||
| HarbourView CLO VII Ltd., 7RA, “B”, FLR, 6.962% (LIBOR - 3mo. + 1.7%), 7/18/2031 (n) | 2,500,000 | 2,396,357 | ||
| LoanCore 2021-CRE5 Ltd., “AS”, FLR, 6.698% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | 938,000 | 886,658 | ||
| LoanCore 2021-CRE5 Ltd., “B”, FLR, 6.948% (LIBOR - 1mo. + 2%), 7/15/2036 (n) | 464,500 | 435,564 | ||
| MF1 2021-FL5 Ltd., “C”, FLR, 6.704% (LIBOR - 1mo. + 1.7%), 7/15/2036 (n) | 401,500 | 375,248 | ||
| MF1 2021-FL5 Ltd., “D”, FLR, 7.504% (LIBOR - 1mo. + 2.5%), 7/15/2036 (n) | 745,000 | 703,227 | ||
| MF1 2021-FL6 Ltd., “B”, FLR, 6.609% (LIBOR - 1mo. + 1.65%), 7/16/2036 (n) | 1,000,000 | 949,607 | ||
| Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.417%, 5/15/2054 (i) | 1,820,905 | 123,560 | ||
| Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.34%, 6/15/2054 (i) | 2,765,615 | 171,879 | ||
| PFP III 2021-7 Ltd., “B”, FLR, 6.345% (LIBOR - 1mo. + 1.4%), 4/14/2038 (n) | 163,992 | 153,950 | ||
7
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Asset-Backed & Securitized – continued | ||||
| PFP III 2021-7 Ltd., “C”, FLR, 6.596% (LIBOR - 1mo. + 1.65%), 4/14/2038 (n) | $ | 199,990 | $183,550 | |
| RAC Bond Co. PLC, 4.87%, 5/06/2026 | GBP | 260,000 | 299,929 | |
| TPG Real Estate Finance, 2021-FL4, “B”, FLR, 6.797% (LIBOR - 1mo. + 1.85%), 3/15/2038 (n) | $ | 340,000 | 329,842 | |
| Wells Fargo Commercial Mortgage Trust, 2021-C59, “XA”, 1.663%, 4/15/2054 (i) | 2,308,605 | 194,757 | ||
| Wells Fargo Commercial Mortgage Trust, 2021-C60, “XA”, 1.658%, 8/15/2054 (i) | 1,966,661 | 162,730 | ||
| $13,826,183 | ||||
| Automotive – 1.9% | ||||
| Clarios Global LP/Clarios U.S. Finance Co., 8.5%, 5/15/2027 (n) | $ | 863,000 | $868,046 | |
| Clarios Global LP/Clarios U.S. Finance Co., 6.75%, 5/15/2028 (n) | 271,000 | 272,049 | ||
| Dana, Inc., 5.375%, 11/15/2027 | 536,000 | 503,772 | ||
| Dana, Inc., 4.25%, 9/01/2030 | 334,000 | 270,537 | ||
| Dornoch Debt Merger Sub, Inc., 6.625%, 10/15/2029 (n) | 688,000 | 509,691 | ||
| Ford Motor Co., 5.113%, 5/03/2029 | 880,000 | 819,959 | ||
| Ford Motor Credit Co. LLC, 4.134%, 8/04/2025 | 1,405,000 | 1,329,533 | ||
| Hyundai Capital America, 6.375%, 4/08/2030 (n) | 197,000 | 207,237 | ||
| Real Hero Merger Sub 2, Inc., 6.25%, 2/01/2029 (n) | 570,000 | 428,925 | ||
| RENK AG, 5.75%, 7/15/2025 | EUR | 400,000 | 430,922 | |
| $5,640,671 | ||||
| Broadcasting – 1.6% | ||||
| Discovery, Inc., 4.125%, 5/15/2029 | $ | 339,000 | $313,650 | |
| Gray Escrow II, Inc., 5.375%, 11/15/2031 (n) | 927,000 | 594,226 | ||
| iHeartCommunications, Inc., 8.375%, 5/01/2027 | 763,000 | 503,493 | ||
| Midas OpCo Holdings LLC, 5.625%, 8/15/2029 (n) | 546,000 | 474,692 | ||
| Prosus N.V., 3.68%, 1/21/2030 (n) | 281,000 | 239,314 | ||
| Prosus N.V., 3.061%, 7/13/2031 (n) | 325,000 | 255,996 | ||
| Summer (BC) Bidco B LLC, 5.5%, 10/31/2026 (n) | 765,000 | 642,090 | ||
| Summer (BC) Holdco S.à r.l., “A”, 9.25%, 10/31/2027 | EUR | 207,242 | 183,956 | |
| Ubisoft Entertainment S.A., 0.878%, 11/24/2027 | 1,000,000 | 796,233 | ||
| Warnermedia Holdings, Inc., 4.279%, 3/15/2032 | $ | 591,000 | 524,902 | |
| $4,528,552 | ||||
| Brokerage & Asset Managers – 1.4% | ||||
| AG Issuer LLC, 6.25%, 3/01/2028 (n) | $ | 111,000 | $103,156 | |
| AG TTMT Escrow Issuer LLC, 8.625%, 9/30/2027 (n) | 713,000 | 733,000 | ||
| Ameriprise Financial, Inc., 4.5%, 5/13/2032 | 161,000 | 156,247 | ||
| Aretec Escrow Issuer, Inc., 7.5%, 4/01/2029 (n) | 630,000 | 527,660 | ||
| Low Income Investment Fund, 3.386%, 7/01/2026 | 185,000 | 176,301 | ||
| Low Income Investment Fund, 3.711%, 7/01/2029 | 490,000 | 434,991 | ||
8
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Brokerage & Asset Managers – continued | ||||
| LPL Holdings, Inc., 4%, 3/15/2029 (n) | $ | 365,000 | $327,834 | |
| LPL Holdings, Inc., 4.375%, 5/15/2031 (n) | 429,000 | 380,737 | ||
| NFP Corp., 4.875%, 8/15/2028 (n) | 575,000 | 523,382 | ||
| NFP Corp., 6.875%, 8/15/2028 (n) | 764,000 | 666,496 | ||
| $4,029,804 | ||||
| Building – 2.4% | ||||
| ABC Supply Co., Inc., 4%, 1/15/2028 (n) | $ | 377,000 | $345,144 | |
| Foundation Building Materials LLC, 6%, 3/01/2029 (n) | 622,000 | 496,924 | ||
| GYP Holding III Corp., 4.625%, 5/01/2029 (n) | 1,020,000 | 900,150 | ||
| Holcim Sterling Finance (Netherlands) B.V., 2.25%, 4/04/2034 | GBP | 380,000 | 347,039 | |
| Interface, Inc., 5.5%, 12/01/2028 (n) | $ | 980,000 | 785,465 | |
| MIWD Holdco II LLC/MIWD Finance Co., 5.5%, 2/01/2030 (n) | 490,000 | 411,600 | ||
| New Enterprise Stone & Lime Co., Inc., 9.75%, 7/15/2028 (n) | 566,000 | 540,530 | ||
| Patrick Industries, Inc., 7.5%, 10/15/2027 (n) | 810,000 | 795,963 | ||
| SRS Distribution, Inc., 6.125%, 7/01/2029 (n) | 402,000 | 331,622 | ||
| Standard Industries, Inc., 2.25%, 11/21/2026 | EUR | 210,000 | 202,560 | |
| Standard Industries, Inc., 4.75%, 1/15/2028 (n) | $ | 355,000 | 331,798 | |
| Standard Industries, Inc., 4.375%, 7/15/2030 (n) | 647,000 | 558,457 | ||
| Vulcan Materials Co., 3.5%, 6/01/2030 | 550,000 | 504,788 | ||
| White Cap Buyer LLC, 6.875%, 10/15/2028 (n) | 649,000 | 562,788 | ||
| $7,114,828 | ||||
| Business Services – 1.6% | ||||
| Entegris Escrow Corp., 5.95%, 6/15/2030 (n) | $ | 291,000 | $276,579 | |
| Euronet Worldwide, Inc., 1.375%, 5/22/2026 | EUR | 420,000 | 415,836 | |
| Fiserv, Inc., 4.4%, 7/01/2049 | $ | 299,000 | 254,473 | |
| Iron Mountain, Inc., 4.875%, 9/15/2027 (n) | 525,000 | 500,376 | ||
| Iron Mountain, Inc., 5.25%, 3/15/2028 (n) | 385,000 | 370,317 | ||
| Mastercard, Inc., 3.85%, 3/26/2050 | 270,000 | 239,174 | ||
| Tencent Holdings Ltd., 3.8%, 2/11/2025 | 700,000 | 685,910 | ||
| Verscend Escrow Corp., 9.75%, 8/15/2026 (n) | 792,000 | 799,309 | ||
| Visa, Inc., 4.15%, 12/14/2035 | 465,000 | 457,738 | ||
| Visa, Inc., 3.65%, 9/15/2047 | 220,000 | 192,672 | ||
| ZI Technologies LLC/ZI Finance Corp. Co., 3.875%, 2/01/2029 (n) | 561,000 | 483,711 | ||
| $4,676,095 | ||||
| Cable TV – 5.7% | ||||
| Cable One, Inc., 4%, 11/15/2030 (n) | $ | 755,000 | $613,966 | |
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027 (n) | 498,000 | 469,898 | ||
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, 3/01/2030 (n) | 2,075,000 | 1,785,322 | ||
9
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Cable TV – continued | ||||
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, 8/15/2030 (n) | $ | 1,146,000 | $962,296 | |
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, 2/01/2031 (n) | 800,000 | 655,209 | ||
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, 1/15/2034 (n) | 547,000 | 416,672 | ||
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | 347,000 | 343,016 | ||
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.8%, 3/01/2050 | 282,000 | 213,555 | ||
| Comcast Corp., 3.75%, 4/01/2040 | 120,000 | 103,567 | ||
| CSC Holdings LLC, 5.375%, 2/01/2028 (n) | 700,000 | 574,138 | ||
| CSC Holdings LLC, 7.5%, 4/01/2028 (n) | 450,000 | 281,153 | ||
| CSC Holdings LLC, 5.75%, 1/15/2030 (n) | 800,000 | 408,275 | ||
| CSC Holdings LLC, 4.125%, 12/01/2030 (n) | 250,000 | 179,420 | ||
| DISH DBS Corp., 7.75%, 7/01/2026 | 378,000 | 218,367 | ||
| DISH DBS Corp., 5.25%, 12/01/2026 (n) | 590,000 | 450,661 | ||
| DISH DBS Corp., 5.125%, 6/01/2029 | 465,000 | 214,451 | ||
| DISH Network Corp., 11.75%, 11/15/2027 (n) | 260,000 | 245,608 | ||
| LCPR Senior Secured Financing DAC, 6.75%, 10/15/2027 (n) | 716,000 | 680,119 | ||
| LCPR Senior Secured Financing DAC, 5.125%, 7/15/2029 (n) | 220,000 | 188,432 | ||
| SES S.A., 3.5%, 1/14/2029 | EUR | 290,000 | 293,813 | |
| SES S.A., 2.875% to 8/27/2026, FLR (EUR Swap Rate - 5yr. + 3.19%) to 8/27/2031, FLR (EUR Swap Rate - 5yr. + 3.44%) to 8/27/2046, FLR (EUR Swap Rate - 5yr. + 4.19%) to 8/27/2171 | 580,000 | 519,155 | ||
| Sirius XM Radio, Inc., 4%, 7/15/2028 (n) | $ | 525,000 | 443,284 | |
| Sirius XM Radio, Inc., 5.5%, 7/01/2029 (n) | 1,482,000 | 1,320,063 | ||
| Sirius XM Radio, Inc., 3.875%, 9/01/2031 (n) | 293,000 | 221,412 | ||
| Telenet Finance Luxembourg S.A., 5.5%, 3/01/2028 (n) | 1,200,000 | 1,107,600 | ||
| Time Warner Cable, Inc., 4.5%, 9/15/2042 | 210,000 | 159,947 | ||
| Videotron Ltd., 5.125%, 4/15/2027 (n) | 466,000 | 449,690 | ||
| Videotron Ltd., 3.625%, 6/15/2029 (n) | 284,000 | 245,575 | ||
| Virgin Media Finance PLC, 5%, 7/15/2030 (n) | 1,015,000 | 855,319 | ||
| Virgin Media Vendor Financing Notes IV DAC, 5%, 7/15/2028 (n) | 1,220,000 | 1,093,715 | ||
| Ziggo Bond Finance B.V., 5.125%, 2/28/2030 (n) | 1,220,000 | 991,315 | ||
| $16,705,013 | ||||
| Chemicals – 2.0% | ||||
| Alpek SAB de C.V., 3.25%, 2/25/2031 (n) | $ | 400,000 | $325,987 | |
| Axalta Coating Systems Ltd., 4.75%, 6/15/2027 (n) | 412,000 | 397,912 | ||
| Axalta Coating Systems Ltd., 3.375%, 2/15/2029 (n) | 1,160,000 | 1,003,112 | ||
| Element Solutions, Inc., 3.875%, 9/01/2028 (n) | 860,000 | 758,840 | ||
10
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Chemicals – continued | ||||
| Ingevity Corp., 3.875%, 11/01/2028 (n) | $ | 817,000 | $716,964 | |
| LSF11 A5 HoldCo LLC, 6.625%, 10/15/2029 (n) | 662,000 | 570,147 | ||
| Nutrien Ltd., 4.9%, 3/27/2028 | 189,000 | 189,775 | ||
| S.P.C.M. S.A., 3.375%, 3/15/2030 (n) | 709,000 | 586,613 | ||
| Sasol Financing (USA) LLC, 4.375%, 9/18/2026 | 558,000 | 506,130 | ||
| Sasol Financing (USA) LLC, 8.75%, 5/03/2029 (n)(w) | 356,000 | 357,079 | ||
| Sasol Financing (USA) LLC, 5.5%, 3/18/2031 | 600,000 | 496,781 | ||
| $5,909,340 | ||||
| Computer Software – 1.1% | ||||
| Camelot Finance S.A., 4.5%, 11/01/2026 (n) | $ | 465,000 | $440,392 | |
| Clarivate Science Holdings Corp., 3.875%, 7/01/2028 (n) | 210,000 | 188,958 | ||
| Clarivate Science Holdings Corp., 4.875%, 7/01/2029 (n) | 630,000 | 567,373 | ||
| Dun & Bradstreet Corp., 5%, 12/15/2029 (n) | 690,000 | 605,868 | ||
| Microsoft Corp., 2.525%, 6/01/2050 | 529,000 | 375,327 | ||
| Neptune Bidco U.S., Inc., 9.29%, 4/15/2029 (n) | 607,000 | 571,339 | ||
| VeriSign, Inc., 4.75%, 7/15/2027 | 405,000 | 398,314 | ||
| $3,147,571 | ||||
| Computer Software - Systems – 1.4% | ||||
| Apple, Inc., 4.5%, 2/23/2036 | $ | 263,000 | $273,039 | |
| Fair Isaac Corp., 5.25%, 5/15/2026 (n) | 1,080,000 | 1,062,450 | ||
| Fair Isaac Corp., 4%, 6/15/2028 (n) | 56,000 | 52,166 | ||
| Sabre GLBL, Inc., 7.375%, 9/01/2025 (n) | 275,000 | 244,406 | ||
| Sabre GLBL, Inc., 11.25%, 12/15/2027 (n) | 285,000 | 250,444 | ||
| SS&C Technologies Holdings, Inc., 5.5%, 9/30/2027 (n) | 1,075,000 | 1,040,509 | ||
| Viavi Solutions, Inc., 3.75%, 10/01/2029 (n) | 786,000 | 656,310 | ||
| Virtusa Corp., 7.125%, 12/15/2028 (n) | 540,000 | 434,693 | ||
| $4,014,017 | ||||
| Conglomerates – 2.8% | ||||
| ABB Finance B.V., 3.375%, 1/16/2031 | EUR | 160,000 | $173,926 | |
| BWX Technologies, Inc., 4.125%, 6/30/2028 (n) | $ | 490,000 | 448,500 | |
| BWX Technologies, Inc., 4.125%, 4/15/2029 (n) | 1,147,000 | 1,038,035 | ||
| Chart Industries, Inc., 9.5%, 1/01/2031 (n) | 604,000 | 639,485 | ||
| Gates Global LLC, 6.25%, 1/15/2026 (n) | 804,000 | 795,960 | ||
| Griffon Corp., 5.75%, 3/01/2028 | 739,000 | 681,775 | ||
| Grupo KUO S.A.B. de C.V., 5.75%, 7/07/2027 (n) | 558,000 | 511,268 | ||
| Madison IAQ LLC, 5.875%, 6/30/2029 (n) | 690,000 | 540,139 | ||
| nVent Finance S.à r.l., 5.65%, 5/15/2033 (w) | 250,000 | 252,455 | ||
| Regal Rexnord Corp., 6.05%, 4/15/2028 (n) | 520,000 | 524,938 | ||
| Regal Rexnord Corp., 6.3%, 2/15/2030 (n) | 454,000 | 462,540 | ||
| TriMas Corp., 4.125%, 4/15/2029 (n) | 1,227,000 | 1,092,030 | ||
11
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Conglomerates – continued | ||||
| Westinghouse Air Brake Technologies Corp., 4.95%, 9/15/2028 | $ | 1,000,000 | $992,675 | |
| $8,153,726 | ||||
| Construction – 0.9% | ||||
| Empire Communities Corp., 7%, 12/15/2025 (n) | $ | 578,000 | $528,702 | |
| Mattamy Group Corp., 5.25%, 12/15/2027 (n) | 240,000 | 223,271 | ||
| Mattamy Group Corp., 4.625%, 3/01/2030 (n) | 600,000 | 525,735 | ||
| Meritage Homes Corp., 3.875%, 4/15/2029 (n) | 227,000 | 204,295 | ||
| Taylor Morrison Communities, Inc., 5.75%, 1/15/2028 (n) | 805,000 | 797,602 | ||
| Weekley Homes LLC/Weekley Finance Corp., 4.875%, 9/15/2028 (n) | 534,000 | 463,576 | ||
| $2,743,181 | ||||
| Consumer Products – 1.7% | ||||
| Energizer Gamma Acquisition B.V., 3.5%, 6/30/2029 | EUR | 335,000 | $290,234 | |
| Energizer Holdings, Inc., 4.375%, 3/31/2029 (n) | $ | 703,000 | 614,717 | |
| Kenvue, Inc., 5.05%, 3/22/2053 (n) | 516,000 | 535,670 | ||
| Mattel, Inc., 3.375%, 4/01/2026 (n) | 535,000 | 506,054 | ||
| Mattel, Inc., 5.875%, 12/15/2027 (n) | 342,000 | 342,421 | ||
| Mattel, Inc., 6.2%, 10/01/2040 | 50,000 | 47,122 | ||
| Newell Brands, Inc., 6.375%, 9/15/2027 | 392,000 | 386,120 | ||
| Newell Brands, Inc., 6.625%, 9/15/2029 | 454,000 | 448,473 | ||
| Prestige Consumer Healthcare, Inc., 5.125%, 1/15/2028 (n) | 655,000 | 635,265 | ||
| Reckitt Benckiser Treasury Services PLC, 3%, 6/26/2027 (n) | 396,000 | 373,807 | ||
| Spectrum Brands, Inc., 3.875%, 3/15/2031 (n) | 552,000 | 452,640 | ||
| SWF Escrow Issuer Corp., 6.5%, 10/01/2029 (n) | 585,000 | 356,850 | ||
| $4,989,373 | ||||
| Consumer Services – 2.9% | ||||
| Allied Universal Holdco LLC, 9.75%, 7/15/2027 (n) | $ | 699,000 | $650,233 | |
| Allied Universal Holdco LLC, 6%, 6/01/2029 (n) | 400,000 | 313,592 | ||
| ANGI Group LLC, 3.875%, 8/15/2028 (n) | 887,000 | 694,219 | ||
| Arches Buyer, Inc., 6.125%, 12/01/2028 (n) | 740,000 | 641,950 | ||
| Booking Holdings, Inc., 4.75%, 11/15/2034 | EUR | 134,000 | 156,842 | |
| Cushman & Wakefield PLC, 6.75%, 5/15/2028 (n) | $ | 220,000 | 205,319 | |
| GoDaddy, Inc., 3.5%, 3/01/2029 (n) | 1,116,000 | 966,773 | ||
| GW B-CR Security Corp., 9.5%, 11/01/2027 (n) | 532,000 | 509,810 | ||
| Match Group Holdings II LLC, 5%, 12/15/2027 (n) | 435,000 | 409,831 | ||
| Match Group Holdings II LLC, 4.625%, 6/01/2028 (n) | 965,000 | 890,213 | ||
| Match Group Holdings II LLC, 4.125%, 8/01/2030 (n) | 270,000 | 230,777 | ||
| Match Group Holdings II LLC, 3.625%, 10/01/2031 (n) | 55,000 | 44,930 | ||
| Realogy Group LLC/Realogy Co-Issuer Corp., 5.75%, 1/15/2029 (n) | 699,000 | 519,008 | ||
12
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Consumer Services – continued | ||||
| Realogy Group LLC/Realogy Co-Issuer Corp., 5.25%, 4/15/2030 (n) | $ | 420,000 | $299,442 | |
| Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2027 (n) | 753,000 | 590,996 | ||
| TriNet Group, Inc., 3.5%, 3/01/2029 (n) | 1,097,000 | 959,327 | ||
| WASH Multi-Family Acquisition, Inc., 5.75%, 4/15/2026 (n) | 538,000 | 504,384 | ||
| $8,587,646 | ||||
| Containers – 2.0% | ||||
| Ardagh Metal Packaging Finance USA LLC, 3.25%, 9/01/2028 (n) | $ | 375,000 | $328,334 | |
| Ardagh Metal Packaging Finance USA LLC, 4%, 9/01/2029 (n) | 1,065,000 | 867,512 | ||
| Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 5.25%, 8/15/2027 (n) | 940,000 | 803,887 | ||
| Can-Pack S.A./Eastern PA Land Investment Holding LLC, 3.875%, 11/15/2029 (n) | 1,176,000 | 942,062 | ||
| Crown Americas LLC, 5.25%, 4/01/2030 | 580,000 | 564,172 | ||
| Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/2026 | 1,025,000 | 981,233 | ||
| Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 2/01/2026 | 349,000 | 342,136 | ||
| LABL, Inc., 5.875%, 11/01/2028 (n) | 499,000 | 460,327 | ||
| Trivium Packaging Finance B.V., 8.5%, 8/15/2027 (n) | 640,000 | 617,874 | ||
| $5,907,537 | ||||
| Electrical Equipment – 0.5% | ||||
| CommScope Technologies LLC, 5%, 3/15/2027 (n) | $ | 652,000 | $450,440 | |
| Telefonaktiebolaget LM Ericsson, 1.125%, 2/08/2027 | EUR | 510,000 | 495,139 | |
| Telefonaktiebolaget LM Ericsson, 1%, 5/26/2029 | 680,000 | 593,311 | ||
| $1,538,890 | ||||
| Electronics – 1.0% | ||||
| Broadcom, Inc., 3.469%, 4/15/2034 (n) | $ | 155,000 | $128,056 | |
| Broadcom, Inc., 3.137%, 11/15/2035 (n) | 313,000 | 242,312 | ||
| Entegris, Inc., 4.375%, 4/15/2028 (n) | 211,000 | 192,439 | ||
| Entegris, Inc., 3.625%, 5/01/2029 (n) | 487,000 | 417,018 | ||
| Sensata Technologies B.V., 5.625%, 11/01/2024 (n) | 245,000 | 245,145 | ||
| Sensata Technologies B.V., 5%, 10/01/2025 (n) | 805,000 | 792,595 | ||
| Sensata Technologies B.V., 5.875%, 9/01/2030 (n) | 390,000 | 382,976 | ||
| Synaptics, Inc., 4%, 6/15/2029 (n) | 736,000 | 621,920 | ||
| $3,022,461 | ||||
13
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Emerging Market Quasi-Sovereign – 6.8% | ||||
| Abu Dhabi Crude Oil Pipeline, 3.65%, 11/02/2029 | $ | 1,100,000 | $1,039,887 | |
| Airport Authority Hong Kong, 3.25%, 1/12/2052 (n) | 376,000 | 292,547 | ||
| CEZ A.S. (Czech Republic), 2.375%, 4/06/2027 | EUR | 370,000 | 379,135 | |
| Empresa Nacional del Petroleo (Republic of Chile), 3.75%, 8/05/2026 (n) | $ | 423,000 | 399,148 | |
| Empresa Nacional del Petroleo (Republic of Chile), 3.75%, 8/05/2026 | 806,000 | 760,551 | ||
| EQUATE Petrochemical B.V. (State of Kuwait), 4.25%, 11/03/2026 | 534,000 | 520,364 | ||
| Eskom Holdings SOC Ltd. (Republic of South Africa), 6.35%, 8/10/2028 (n) | 1,052,000 | 988,880 | ||
| Export-Import Bank of India, 3.375%, 8/05/2026 | 1,366,000 | 1,294,956 | ||
| Indian Railway Finance Corp., 2.8%, 2/10/2031 (n) | 700,000 | 587,482 | ||
| Industrial & Commercial Bank of China Macau, 2.875% to 9/12/2024, FLR (CMT - 5yr. + 1.65%) to 9/12/2029 | 700,000 | 677,278 | ||
| Ipoteka Bank (Republic of Uzbekistan), 5.5%, 11/19/2025 | 1,000,000 | 906,300 | ||
| Korea Development Bank, 4.25%, 9/08/2032 | 771,000 | 763,247 | ||
| Korea Hydro & Nuclear Power Co. Ltd., 4.25%, 7/27/2027 (n) | 379,000 | 375,055 | ||
| Magyar Export-Import Bank PLC (Republic of Hungary), 6.125%, 12/04/2027 (n)(w) | 200,000 | 201,000 | ||
| MDGH - GMTN RSC Ltd. (United Arab Emirates), 2.5%, 11/07/2024 | 508,000 | 490,220 | ||
| MDGH - GMTN RSC Ltd. (United Arab Emirates), 2.875%, 11/07/2029 (n) | 1,091,000 | 997,822 | ||
| MDGH - GMTN RSC Ltd. (United Arab Emirates), 2.5%, 6/03/2031 | 367,000 | 320,823 | ||
| NAK Naftogaz Ukraine via Standard Bank London Holdings PLC, 7.625%, 11/08/2026 (a)(z) | 869,000 | 182,381 | ||
| Office Cherifien des Phosphates S.A. (Kingdom of Morocco), 6.875%, 4/25/2044 (n) | 373,000 | 343,160 | ||
| Office Cherifien des Phosphates S.A. (Kingdom of Morocco), 5.125%, 6/23/2051 (n) | 600,000 | 441,684 | ||
| Ooredoo International Finance Ltd. (State of Qatar), 2.625%, 4/08/2031 | 370,000 | 323,287 | ||
| Petroleos Mexicanos, 6.49%, 1/23/2027 | 904,000 | 809,602 | ||
| Petroleos Mexicanos, 6.7%, 2/16/2032 | 907,000 | 698,184 | ||
| Petroleos Mexicanos, 6.75%, 9/21/2047 | 1,593,000 | 981,716 | ||
| PT Freeport Indonesia, 6.2%, 4/14/2052 (n) | 336,000 | 309,345 | ||
| PT Pertamina (Persero) (Republic of Indonesia), 6.5%, 11/07/2048 (n) | 900,000 | 925,464 | ||
| Qatar Petroleum, 3.125%, 7/12/2041 | 355,000 | 279,119 | ||
| QNB Finance Ltd. (State of Qatar), 2.75%, 2/12/2027 | 547,000 | 507,867 | ||
| REC Ltd. (Republic of India), 5.625%, 4/11/2028 (n) | 336,000 | 337,486 | ||
14
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Emerging Market Quasi-Sovereign – continued | ||||
| Southern Gas Corridor CJSC (Republic of Azerbaijan), 6.875%, 3/24/2026 | $ | 1,367,000 | $1,404,483 | |
| State Oil Company of the Azerbaijan Republic, 6.95%, 3/18/2030 | 1,152,000 | 1,192,919 | ||
| $19,731,392 | ||||
| Emerging Market Sovereign – 11.9% | ||||
| Arab Republic of Egypt, 6.588%, 2/21/2028 | $ | 887,000 | $544,263 | |
| Arab Republic of Egypt, 7.903%, 2/21/2048 | 920,000 | 462,622 | ||
| Dominican Republic, 5.5%, 2/22/2029 (n) | 747,000 | 710,819 | ||
| Dominican Republic, 5.875%, 1/30/2060 (n) | 2,234,000 | 1,702,158 | ||
| Federal Republic of Nigeria, 8.747%, 1/21/2031 (n) | 920,000 | 729,100 | ||
| Hellenic Republic (Republic of Greece), 1.75%, 6/18/2032 (n) | EUR | 4,371,000 | 3,971,609 | |
| Hellenic Republic (Republic of Greece), 4.25%, 6/15/2033 (n) | 1,300,000 | 1,440,086 | ||
| Kingdom of Morocco, 1.375%, 3/30/2026 | 758,000 | 764,178 | ||
| Kingdom of Morocco, 3%, 12/15/2032 (n) | $ | 448,000 | 361,778 | |
| Oriental Republic of Uruguay, 8.25%, 5/21/2031 | UYU | 42,100,000 | 974,582 | |
| Republic of Angola, 8.25%, 5/09/2028 | $ | 491,000 | 429,350 | |
| Republic of Angola, 9.375%, 5/08/2048 | 400,000 | 305,920 | ||
| Republic of Argentina, 1.5%, 7/09/2035 | 1,047,289 | 231,687 | ||
| Republic of Benin, 6.875%, 1/19/2052 | EUR | 800,000 | 585,418 | |
| Republic of Chile, 3.1%, 1/22/2061 | $ | 672,000 | 448,748 | |
| Republic of Cote d'Ivoire, 5.25%, 3/22/2030 | EUR | 1,150,000 | 1,032,503 | |
| Republic of Ghana, 8.125%, 3/26/2032 (a)(n) | $ | 593,000 | 218,232 | |
| Republic of Guatemala, 6.125%, 6/01/2050 (n) | 1,392,000 | 1,302,382 | ||
| Republic of Hungary, 5.5%, 6/16/2034 (n) | 970,000 | 948,714 | ||
| Republic of Indonesia, 4.65%, 9/20/2032 | 859,000 | 860,696 | ||
| Republic of Kenya, 8%, 5/22/2032 (n) | 776,000 | 580,487 | ||
| Republic of Paraguay, 5.6%, 3/13/2048 | 1,049,000 | 917,813 | ||
| Republic of Philippines, 3.556%, 9/29/2032 | 327,000 | 303,729 | ||
| Republic of Romania, 2.124%, 7/16/2031 (n) | EUR | 1,200,000 | 976,740 | |
| Republic of Serbia, 2.05%, 9/23/2036 (n) | 800,000 | 533,584 | ||
| Republic of Sri Lanka, 6.125%, 6/03/2025 (a) | $ | 668,000 | 235,557 | |
| Republic of Turkey, 4.75%, 1/26/2026 | 521,000 | 473,771 | ||
| State of Qatar, 4.817%, 3/14/2049 (n) | 1,404,000 | 1,388,051 | ||
| State of Qatar, 4.4%, 4/16/2050 | 203,000 | 190,059 | ||
| Sultanate of Oman, 6%, 8/01/2029 | 750,000 | 765,720 | ||
| Sultanate of Oman, 7%, 1/25/2051 | 600,000 | 594,750 | ||
| United Mexican States, 7.5%, 6/03/2027 | MXN | 87,500,000 | 4,601,713 | |
| United Mexican States, 2.659%, 5/24/2031 | $ | 251,000 | 211,886 | |
| United Mexican States, 7.75%, 5/29/2031 | MXN | 50,000,000 | 2,608,916 | |
| United Mexican States, 4.75%, 4/27/2032 | $ | 736,000 | 715,541 | |
| United Mexican States, 4.875%, 5/19/2033 | 645,000 | 625,009 | ||
15
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Emerging Market Sovereign – continued | ||||
| United Mexican States, 6.338%, 5/04/2053 | $ | 463,000 | $477,379 | |
| United Mexican States, 3.771%, 5/24/2061 | 753,000 | 518,537 | ||
| $34,744,087 | ||||
| Energy - Independent – 3.2% | ||||
| Callon Petroleum Co., 8%, 8/01/2028 (n) | $ | 220,000 | $217,057 | |
| CNX Resources Corp., 6%, 1/15/2029 (n) | 397,000 | 367,246 | ||
| CNX Resources Corp., 7.375%, 1/15/2031 (n) | 157,000 | 151,476 | ||
| Comstock Resources, Inc., 6.75%, 3/01/2029 (n) | 843,000 | 763,233 | ||
| CrownRock LP/CrownRock Finance, Inc., “F”, 5%, 5/01/2029 (n) | 785,000 | 741,618 | ||
| Encino Acquisition Partners Holdings LLC, 8.5%, 5/01/2028 (n) | 500,000 | 443,335 | ||
| Energean Israel Finance Ltd., 4.875%, 3/30/2026 | 846,000 | 779,377 | ||
| Leviathan Bond Ltd., 6.125%, 6/30/2025 (n) | 1,270,000 | 1,235,075 | ||
| Matador Resources Co., 6.875%, 4/15/2028 (n) | 189,000 | 190,185 | ||
| Medco Bell Pte. Ltd., 6.375%, 1/30/2027 (n) | 498,000 | 453,861 | ||
| Moss Creek Resources Holdings, Inc., 7.5%, 1/15/2026 (n) | 485,000 | 453,375 | ||
| Permian Resources Operating LLC, 7.75%, 2/15/2026 (n) | 115,000 | 116,294 | ||
| Permian Resources Operating LLC, 5.875%, 7/01/2029 (n) | 614,000 | 581,015 | ||
| SM Energy Co., 6.75%, 9/15/2026 | 166,000 | 163,510 | ||
| SM Energy Co., 6.5%, 7/15/2028 | 545,000 | 516,388 | ||
| Southwestern Energy Co., 8.375%, 9/15/2028 | 255,000 | 266,991 | ||
| Southwestern Energy Co., 5.375%, 3/15/2030 | 515,000 | 479,280 | ||
| Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 (n) | 422,000 | 376,108 | ||
| Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 | 1,025,000 | 913,531 | ||
| $9,208,955 | ||||
| Energy - Integrated – 0.4% | ||||
| BP Capital Markets America, Inc., 4.812%, 2/13/2033 | $ | 257,000 | $261,453 | |
| BP Capital Markets PLC, 3.625% to 6/22/2029, FLR (EUR Swap Rate - 5yr. + 4.12%) to 6/22/2034, FLR (EUR Swap Rate - 5yr. + 4.37%) to 6/22/2049, FLR (EUR Swap Rate - 5yr. + 5.12%) to 6/22/2170 | EUR | 250,000 | 237,927 | |
| Eni S.p.A., 4.25%, 5/09/2029 (n) | $ | 379,000 | 365,080 | |
| Galp Energia SGPS S.A., 2%, 1/15/2026 | EUR | 400,000 | 415,604 | |
| $1,280,064 | ||||
| Engineering - Construction – 0.1% | ||||
| Arcadis N.V., 4.875%, 2/28/2028 | EUR | 258,000 | $287,979 | |
| Entertainment – 1.8% | ||||
| Carnival Corp., 7.625%, 3/01/2026 | EUR | 160,000 | $157,116 | |
| Carnival Corp. PLC, 7.625%, 3/01/2026 (n) | $ | 771,000 | 704,991 | |
| Carnival Corp. PLC, 5.75%, 3/01/2027 (n) | 405,000 | 333,315 | ||
| Carnival Corp. PLC, 9.875%, 8/01/2027 (n) | 340,000 | 348,579 | ||
16
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Entertainment – continued | ||||
| Life Time, Inc., 8%, 4/15/2026 (n) | $ | 390,000 | $387,799 | |
| Merlin Entertainments, 5.75%, 6/15/2026 (n) | 430,000 | 408,500 | ||
| Motion Bondco DAC, 6.625%, 11/15/2027 (n) | 409,000 | 370,215 | ||
| NCL Corp. Ltd., 5.875%, 3/15/2026 (n) | 530,000 | 456,525 | ||
| NCL Corp. Ltd., 5.875%, 2/15/2027 (n) | 145,000 | 136,775 | ||
| Royal Caribbean Cruises Ltd., 4.25%, 7/01/2026 (n) | 280,000 | 250,624 | ||
| Royal Caribbean Cruises Ltd., 5.375%, 7/15/2027 (n) | 416,000 | 369,325 | ||
| Royal Caribbean Cruises Ltd., 5.5%, 4/01/2028 (n) | 760,000 | 670,165 | ||
| SeaWorld Parks & Entertainment, 5.25%, 8/15/2029 (n) | 490,000 | 441,015 | ||
| VOC Escrow Ltd., 5%, 2/15/2028 (n) | 341,000 | 303,237 | ||
| $5,338,181 | ||||
| Financial Institutions – 4.0% | ||||
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.65%, 7/21/2027 | $ | 572,000 | $532,234 | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.85%, 10/29/2041 | 150,000 | 112,658 | ||
| Avation Capital S.A., 8.25% (8.25% Cash or 9% PIK), 10/31/2026 (p) | 611,485 | 530,463 | ||
| Avolon Holdings Funding Ltd., 5.25%, 5/15/2024 (n) | 640,000 | 631,052 | ||
| Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 363,000 | 342,830 | ||
| Corporacion Inmobiliaria Vesta S.A.B. de C.V., 3.625%, 5/13/2031 | 254,000 | 210,479 | ||
| Credit Acceptance Corp., 5.125%, 12/31/2024 (n) | 754,000 | 718,286 | ||
| Credit Acceptance Corp., 6.625%, 3/15/2026 | 78,000 | 74,542 | ||
| CTP N.V., 0.875%, 1/20/2026 | EUR | 360,000 | 332,782 | |
| EXOR N.V., 0.875%, 1/19/2031 | 275,000 | 236,991 | ||
| Global Aircraft Leasing Co. Ltd., 6.5% (6.5% Cash or 7.25% PIK), 9/15/2024 (p) | $ | 1,427,623 | 1,274,468 | |
| Grand City Properties S.A., 2.5% to 10/24/2023, FLR (EUR Swap Rate - 5yr. + 2.432%) to 10/24/2028, FLR (EUR Swap Rate - 5yr. + 2.682%) to 10/24/2043, FLR (EUR Swap Rate - 5yr. + 3.432%) to 10/24/2069 | EUR | 500,000 | 229,498 | |
| Howard Hughes Corp., 4.125%, 2/01/2029 (n) | $ | 932,000 | 783,477 | |
| Logicor Financing S.à r.l., 1.625%, 1/17/2030 | EUR | 400,000 | 322,989 | |
| Logicor Financing S.à r.l., 0.875%, 1/14/2031 | 175,000 | 126,712 | ||
| Nationstar Mortgage Holdings, Inc., 6%, 1/15/2027 (n) | $ | 956,000 | 905,810 | |
| OneMain Finance Corp., 6.875%, 3/15/2025 | 534,000 | 522,402 | ||
| OneMain Finance Corp., 7.125%, 3/15/2026 | 792,000 | 771,837 | ||
| P3 Group S.à r.l., 1.625%, 1/26/2029 | EUR | 370,000 | 312,604 | |
| Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029 (n) | $ | 670,000 | 566,498 | |
| Samhallsbyggnadsbolaget i Norden AB, 1.75%, 1/14/2025 | EUR | 610,000 | 589,960 | |
17
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Financial Institutions – continued | ||||
| Samhallsbyggnadsbolaget i Norden AB, 2.875% to 1/30/2027, FLR (EUR Swap Rate - 5yr. + 3.223%) to 1/30/2032, FLR (EUR Swap Rate - 5yr. + 3.473%) to 1/30/2047, FLR (EUR Swap Rate - 5yr. + 4.473%) to 1/30/2171 | EUR | 1,160,000 | $460,154 | |
| SLM Corp., 3.125%, 11/02/2026 | $ | 772,000 | 675,500 | |
| VGP N.V., 1.5%, 4/08/2029 | EUR | 500,000 | 374,677 | |
| $11,638,903 | ||||
| Food & Beverages – 3.6% | ||||
| Anheuser-Busch InBev Worldwide, Inc., 4%, 4/13/2028 | $ | 325,000 | $322,018 | |
| Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038 | 209,000 | 201,778 | ||
| Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | 331,000 | 357,608 | ||
| B&G Foods, Inc., 5.25%, 4/01/2025 | 455,000 | 429,907 | ||
| B&G Foods, Inc., 5.25%, 9/15/2027 | 170,000 | 148,891 | ||
| Bacardi Ltd., 5.15%, 5/15/2038 (n) | 425,000 | 410,371 | ||
| BellRing Brands, Inc., 7%, 3/15/2030 (n) | 792,000 | 811,387 | ||
| Central America Bottling Co., 5.25%, 4/27/2029 (n) | 691,000 | 644,378 | ||
| Constellation Brands, Inc., 3.15%, 8/01/2029 | 638,000 | 586,398 | ||
| Constellation Brands, Inc., 2.25%, 8/01/2031 | 393,000 | 326,240 | ||
| JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029 (n) | 270,000 | 230,828 | ||
| JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.625%, 1/15/2032 (n) | 1,000,000 | 839,690 | ||
| Kraft Heinz Foods Co., 3.875%, 5/15/2027 | 505,000 | 493,028 | ||
| Performance Food Group Co., 5.5%, 10/15/2027 (n) | 832,000 | 815,424 | ||
| Post Holdings, Inc., 5.625%, 1/15/2028 (n) | 563,000 | 550,105 | ||
| Post Holdings, Inc., 4.625%, 4/15/2030 (n) | 1,010,000 | 912,247 | ||
| Primo Water Holding, Inc., 4.375%, 4/30/2029 (n) | 1,009,000 | 889,863 | ||
| PT Indofood CBP Sukses Makmur Tbk, 3.398%, 6/09/2031 | 760,000 | 646,057 | ||
| U.S. Foods Holding Corp., 4.75%, 2/15/2029 (n) | 845,000 | 786,004 | ||
| $10,402,222 | ||||
| Gaming & Lodging – 2.9% | ||||
| Caesars Entertainment, Inc., 4.625%, 10/15/2029 (n) | $ | 298,000 | $261,434 | |
| Caesars Entertainment, Inc., 7%, 2/15/2030 (n) | 472,000 | 476,213 | ||
| Caesars Resort Collection LLC/CRC Finco, Inc., 8.125%, 7/01/2027 (n) | 640,000 | 652,961 | ||
| CCM Merger, Inc., 6.375%, 5/01/2026 (n) | 613,000 | 599,207 | ||
| Churchill Downs, Inc., 5.5%, 4/01/2027 (n) | 270,000 | 263,398 | ||
| International Game Technology PLC, 4.125%, 4/15/2026 (n) | 1,040,000 | 998,457 | ||
| International Game Technology PLC, 6.25%, 1/15/2027 (n) | 230,000 | 233,163 | ||
| Marriott International, Inc., 2.85%, 4/15/2031 | 440,000 | 375,164 | ||
| Penn National Gaming, Inc., 4.125%, 7/01/2029 (n) | 91,000 | 76,663 | ||
| Sands China Ltd., 4.3%, 1/08/2026 | 600,000 | 563,856 | ||
18
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Gaming & Lodging – continued | ||||
| Sands China Ltd., 4.875%, 6/18/2030 | $ | 500,000 | $454,672 | |
| Scientific Games Holdings LP/Scientific Games US Finco, Inc., 6.625%, 3/01/2030 (n) | 584,000 | 518,142 | ||
| VICI Properties LP, REIT, 4.95%, 2/15/2030 | 555,000 | 530,519 | ||
| Wyndham Hotels & Resorts, Inc., 4.375%, 8/15/2028 (n) | 803,000 | 746,621 | ||
| Wynn Macau Ltd., 5.5%, 10/01/2027 (n) | 680,000 | 606,050 | ||
| Wynn Macau Ltd., 5.625%, 8/26/2028 (n) | 650,000 | 567,502 | ||
| Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029 (n) | 688,000 | 633,475 | ||
| $8,557,497 | ||||
| Industrial – 1.4% | ||||
| Albion Financing 1 S.à r.l., 6.125%, 10/15/2026 (n) | $ | 210,000 | $191,416 | |
| Albion Financing 2 S.à r.l., 8.75%, 4/15/2027 (n) | 640,000 | 556,097 | ||
| APi Escrow Corp., 4.75%, 10/15/2029 (n) | 990,000 | 896,950 | ||
| CPI Property Group S.A., 3.75% to 7/27/2028, FLR (EUR Swap Rate - 5yr. + 4.338%) to 7/27/2033, FLR (EUR Swap Rate - 5yr. + 4.588%) to 7/27/2048, FLR (EUR Swap Rate - 5yr. + 5.338%) to 1/27/2170 | EUR | 420,000 | 152,723 | |
| Dar Al-Arkan Sukuk Co. Ltd., 6.875%, 2/26/2027 | $ | 1,000,000 | 986,270 | |
| Trustees of the University of Pennsylvania, 2.396%, 10/01/2050 | 966,000 | 630,833 | ||
| Williams Scotsman International, Inc., 4.625%, 8/15/2028 (n) | 873,000 | 801,595 | ||
| $4,215,884 | ||||
| Insurance – 1.1% | ||||
| AIA Group Ltd., 0.88% to 9/09/2028, FLR (EUR Swap Rate - 5yr. + 1.1%) to 9/09/2033 | EUR | 360,000 | $312,252 | |
| ASR Nederland N.V., 7% to 12/07/2033, FLR (EUR Swap Rate - 5yr. + 5.3%) to 12/07/2043 | 370,000 | 426,676 | ||
| Assicurazioni Generali S.p.A., 5.399%, 4/20/2033 | 480,000 | 530,764 | ||
| AXA S.A., 5.5% to 7/11/2033, FLR (EURIBOR - 3mo. + 3.6%) to 7/11/2043 | 490,000 | 539,553 | ||
| Corebridge Financial, Inc., 4.35%, 4/05/2042 (n) | $ | 651,000 | 537,728 | |
| Equitable Holdings, Inc., 5.594%, 1/11/2033 | 455,000 | 452,310 | ||
| NN Group N.V., 6.367% to 11/03/2033, FLR (EURIBOR - 3mo. + 4%) to 11/03/2043 | EUR | 300,000 | 330,585 | |
| $3,129,868 | ||||
| Insurance - Health – 0.4% | ||||
| Humana, Inc., 5.5%, 3/15/2053 | $ | 104,000 | $106,076 | |
| UnitedHealth Group, Inc., 5.3%, 2/15/2030 | 416,000 | 439,120 | ||
| UnitedHealth Group, Inc., 4.625%, 7/15/2035 | 509,000 | 513,744 | ||
| $1,058,940 | ||||
19
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Insurance - Property & Casualty – 1.4% | ||||
| Acrisure LLC/Acrisure Finance, Inc., 7%, 11/15/2025 (n) | $ | 373,000 | $356,196 | |
| Acrisure LLC/Acrisure Finance, Inc., 4.25%, 2/15/2029 (n) | 168,000 | 140,628 | ||
| Acrisure LLC/Acrisure Finance, Inc., 6%, 8/01/2029 (n) | 283,000 | 234,092 | ||
| Alliant Holdings Intermediate LLC, 6.75%, 10/15/2027 (n) | 285,000 | 266,046 | ||
| Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 5.875%, 11/01/2029 (n) | 70,000 | 60,385 | ||
| American International Group, Inc., 5.125%, 3/27/2033 | 317,000 | 318,491 | ||
| Aon Corp./Aon Global Holdings PLC, 2.6%, 12/02/2031 | 238,000 | 201,163 | ||
| Aon Corp./Aon Global Holdings PLC, 3.9%, 2/28/2052 | 387,000 | 311,610 | ||
| AssuredPartners, Inc., 5.625%, 1/15/2029 (n) | 530,000 | 458,841 | ||
| GTCR (AP) Finance, Inc., 8%, 5/15/2027 (n) | 325,000 | 317,694 | ||
| Hub International Ltd., 5.625%, 12/01/2029 (n) | 937,000 | 833,930 | ||
| Marsh & McLennan Cos., Inc., 2.25%, 11/15/2030 | 316,000 | 269,799 | ||
| QBE Insurance Group Ltd., 2.5% to 9/13/2028, FLR (GBP Government Yield - 5yr. + 2.061%) to 9/13/2038 | GBP | 335,000 | 332,684 | |
| $4,101,559 | ||||
| International Market Quasi-Sovereign – 1.0% | ||||
| Caixa Geral de Depositos S.A. (Republic of Portugal), 5.75%, 10/31/2028 | EUR | 200,000 | $227,166 | |
| Electricite de France S.A., 2.875% to 3/15/2027, FLR (EUR Swap Rate - 5yr. + 3.373%) to 3/15/2031, FLR (EUR Swap Rate - 5yr. + 3.623%) to 3/15/2047, FLR (EUR Swap Rate - 5yr. + 4.373%) to 3/15/2070 | 400,000 | 365,408 | ||
| EnBW International Finance B.V., 3.5%, 7/24/2028 | 305,000 | 333,805 | ||
| EnBW International Finance B.V., 4.049%, 11/22/2029 | 100,000 | 112,499 | ||
| La Banque Postale S.A., 4%, 5/03/2028 | 700,000 | 770,743 | ||
| La Banque Postale S.A., 4.375%, 1/17/2030 | 400,000 | 435,668 | ||
| NBN Co. Ltd. (Commonwealth of Australia), 4.375%, 3/15/2033 | 189,000 | 213,062 | ||
| Ontario Teachers' Cadillac Fairview Properties, 2.5%, 10/15/2031 (n) | $ | 425,000 | 345,297 | |
| RTE Reseau de Transport d'Electricite, 0.75%, 1/12/2034 | EUR | 200,000 | 166,299 | |
| $2,969,947 | ||||
| International Market Sovereign – 2.6% | ||||
| Commonwealth of Australia, 3.75%, 4/21/2037 | AUD | 10,002,000 | $6,737,981 | |
| Government of Bermuda, 2.375%, 8/20/2030 (n) | $ | 239,000 | 205,301 | |
| Government of Bermuda, 5%, 7/15/2032 (n) | 731,000 | 732,732 | ||
| $7,676,014 | ||||
20
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Local Authorities – 0.4% | ||||
| Province of Alberta, 4.5%, 12/01/2040 | CAD | 410,000 | $320,011 | |
| Province of British Columbia, 2.95%, 6/18/2050 | 315,000 | 193,492 | ||
| Province of Ontario, 1.9%, 12/02/2051 | 1,554,000 | 751,003 | ||
| $1,264,506 | ||||
| Machinery & Tools – 0.9% | ||||
| CNH Industrial Capital LLC, 1.875%, 1/15/2026 | $ | 255,000 | $236,508 | |
| Ritchie Bros Holdings, Inc., 6.75%, 3/15/2028 (n) | 495,000 | 512,325 | ||
| Ritchie Bros Holdings, Inc., 7.75%, 3/15/2031 (n) | 924,000 | 981,750 | ||
| Sarens Finance Co. N.V., 5.75%, 2/21/2027 | EUR | 241,000 | 211,145 | |
| Terex Corp., 5%, 5/15/2029 (n) | $ | 644,000 | 598,991 | |
| $2,540,719 | ||||
| Major Banks – 5.6% | ||||
| Australia and New Zealand Banking Group Ltd., 2.57% to 11/25/2030, FLR (CMT - 5yr. + 1.7%) to 11/25/2035 (n) | $ | 563,000 | $439,798 | |
| Banco de Sabadell S.A., 5.25% to 2/07/2028, FLR (EUR Swap Rate - 1yr. + 2.4%) to 2/07/2029 | EUR | 300,000 | 317,872 | |
| Banco de Sabadell S.A., 5% to 11/19/2027, FLR (EUR Swap Rate - 5yr. + 5.171%) to 2/19/2170 | 200,000 | 157,572 | ||
| Bank of America Corp., 5.202% to 4/25/2033, FLR (SOFR - 1 day + 1.63%) to 4/25/2029 | $ | 509,000 | 512,384 | |
| Bank of America Corp., 2.687% to 4/22/2031, FLR (SOFR - 1 day + 1.32%) to 4/22/2032 | 894,000 | 747,051 | ||
| Barclays Bank PLC, 8.407% to 11/14/2027, FLR (GBP Swap Rate - 5yr. + 4.75%) to 11/14/2032 | GBP | 155,000 | 202,095 | |
| Barclays Bank PLC, FLR, 5.235% (LIBOR - 6mo.), 8/14/2171 | $ | 490,000 | 436,100 | |
| BNP Paribas S.A., 4.25% to 4/13/2030, FLR (EURIBOR - 3mo. + 1.37%) to 4/13/2031 | EUR | 300,000 | 328,711 | |
| BNP Paribas S.A., 5.284%, 3/23/2172 | $ | 660,000 | 554,440 | |
| Commonwealth Bank of Australia, 2.688%, 3/11/2031 (n) | 688,000 | 547,519 | ||
| Credit Agricole S.A., 4.75%, 3/23/2171 (n) | 261,000 | 200,709 | ||
| Credit Suisse AG (London), 2.125%, 5/31/2024 | EUR | 380,000 | 405,275 | |
| Credit Suisse Group AG, 7.75% to 3/01/2028, FLR (EUR ICE Swap Rate - 1yr. + 4.95%) to 3/01/2029 | 440,000 | 528,472 | ||
| Erste Group Bank AG, 5.125% to 10/15/2025, FLR (EUR Swap Rate - 5yr. + 4.851%) to 10/15/2171 | 400,000 | 370,336 | ||
| Goldman Sachs Group, Inc., 2.383% to 7/21/2031, FLR (SOFR - 1 day + 1.248%) to 7/21/2032 | $ | 649,000 | 530,173 | |
| Goldman Sachs Group, Inc., 3.436% to 2/24/2042, FLR (SOFR - 1 day + 1.632%) to 2/24/2043 | 344,000 | 265,505 | ||
| HSBC Bank PLC, FLR, 5.251% (LIBOR - 6mo. + 0.10%), 6/11/2171 | 80,000 | 79,000 | ||
21
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Major Banks – continued | ||||
| HSBC Bank PLC, FLR, 5.401% (LIBOR - 6mo. + 0.25%), 12/19/2171 | $ | 220,000 | $217,178 | |
| HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR - 1 day + 1.929%) to 6/04/2026 | 298,000 | 277,479 | ||
| HSBC Holdings PLC, 4.787% to 3/10/2031, FLR (EURIBOR - 3mo. + 1.55%) to 3/10/2032 | EUR | 370,000 | 413,717 | |
| HSBC Holdings PLC, 4% to 9/09/2026, FLR (CMT - 1yr. + 3.222%) to 9/09/2170 | $ | 380,000 | 319,200 | |
| HSBC Holdings PLC, FLR, 5.459% (LIBOR - 6mo. + 0.25%), 3/18/2171 | 170,000 | 167,819 | ||
| ING Groep N.V., 1% to 11/16/2027, FLR (EUR Swap Rate - 5yr. + 1.15%) to 11/16/2032 | EUR | 400,000 | 364,451 | |
| ING Groep N.V., 6.25%, 5/20/2033 | GBP | 400,000 | 491,155 | |
| JPMorgan Chase & Co., 1.953% to 2/04/2031, FLR (SOFR - 1 day + 1.065%) to 2/04/2032 | $ | 622,000 | 501,367 | |
| JPMorgan Chase & Co., 3.109% to 4/22/2050, FLR (SOFR + 2.44%) to 4/22/2051 | 890,000 | 632,762 | ||
| mBank S.A., 0.966% to 9/21/2026, FLR (EURIBOR - 3mo. + 1.25%) to 9/21/2027 | EUR | 500,000 | 425,642 | |
| Morgan Stanley, 1.593% to 5/04/2026, FLR (SOFR - 1 day + 0.879%) to 5/04/2027 | $ | 902,000 | 811,262 | |
| Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR - 1 day + 3.12%) to 4/01/2031 | 556,000 | 508,554 | ||
| NatWest Group PLC, 5.763% to 2/28/2029, FLR (EUR Swap Rate - 5yr. + 2.6%) to 2/28/2034 | EUR | 260,000 | 288,345 | |
| NatWest Group PLC, 4.5% to 9/30/2028, FLR (GBP Swap Rate - 5yr. + 3.992%) to 3/31/2171 | GBP | 249,000 | 233,068 | |
| Standard Chartered PLC, 0.8% to 11/17/2028, FLR (EUR Swap Rate - 1yr. + 0.85%) to 11/17/2029 | EUR | 300,000 | 271,454 | |
| Toronto Dominion Bank, 8.125% to 10/31/2027, FLR (CMT - 5yr. + 4.075%) to 10/31/2082 | $ | 570,000 | 580,562 | |
| Toronto-Dominion Bank, 4.108%, 6/08/2027 | 719,000 | 699,700 | ||
| UBS Group AG, 2.746% to 2/11/2032, FLR (CMT - 1yr. + 1.1%) to 2/11/2033 (n) | 749,000 | 595,367 | ||
| Unicaja Banco S.A., 1% to 12/01/2025, FLR (EUR ICE Swap Rate - 1yr. + 1.15%) to 12/01/2026 | EUR | 400,000 | 394,790 | |
| Unicaja Banco S.A., 5.13% to 2/21/2028, FLR (EUR Swap Rate - 1yr. + 2.15%) to 2/21/2029 | 300,000 | 321,380 | ||
| UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n) | $ | 530,000 | 482,262 | |
| UniCredit S.p.A., 3.875% to 6/03/2027, FLR (EUR ICE Swap Rate - 5yr. + 4.081%) to 6/03/2070 | EUR | 400,000 | 315,144 | |
22
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Major Banks – continued | ||||
| Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033 | $ | 612,000 | $534,190 | |
| $16,469,860 | ||||
| Medical & Health Technology & Services – 4.6% | ||||
| 180 Medical, Inc., 3.875%, 10/15/2029 (n) | $ | 765,000 | $681,275 | |
| AdaptHealth LLC, 4.625%, 8/01/2029 (n) | 364,000 | 294,984 | ||
| Alcon Finance B.V., 2.375%, 5/31/2028 | EUR | 230,000 | 237,477 | |
| Alcon Finance Corp., 3.8%, 9/23/2049 (n) | $ | 200,000 | 158,763 | |
| Avantor Funding, Inc., 4.625%, 7/15/2028 (n) | 929,000 | 868,964 | ||
| Becton, Dickinson and Co., 4.298%, 8/22/2032 | 166,000 | 161,138 | ||
| Catalent, Inc., 3.125%, 2/15/2029 (n) | 874,000 | 743,797 | ||
| Charles River Laboratories International, Inc., 3.75%, 3/15/2029 (n) | 968,000 | 849,358 | ||
| CHS/Community Health Systems, Inc., 8%, 12/15/2027 (n) | 430,000 | 425,895 | ||
| CHS/Community Health Systems, Inc., 6.125%, 4/01/2030 (n) | 872,000 | 620,621 | ||
| CHS/Community Health Systems, Inc., 5.25%, 5/15/2030 (n) | 551,000 | 459,239 | ||
| CVS Health Corp., 5.625%, 2/21/2053 | 362,000 | 363,724 | ||
| DaVita, Inc., 4.625%, 6/01/2030 (n) | 645,000 | 561,840 | ||
| Encompass Health Corp., 5.75%, 9/15/2025 | 265,000 | 264,368 | ||
| Encompass Health Corp., 4.75%, 2/01/2030 | 728,000 | 671,345 | ||
| Encompass Health Corp., 4.625%, 4/01/2031 | 115,000 | 103,122 | ||
| HCA, Inc., 5.25%, 6/15/2026 | 209,000 | 209,754 | ||
| HCA, Inc., 5.125%, 6/15/2039 | 287,000 | 269,862 | ||
| IQVIA Holdings, Inc., 5%, 5/15/2027 (n) | 965,000 | 941,532 | ||
| Legacy LifePoint Health LLC, 4.375%, 2/15/2027 (n) | 255,000 | 216,957 | ||
| New York Society for the Relief of the Ruptured & Crippled, 2.667%, 10/01/2050 | 318,000 | 204,680 | ||
| ProMedica Toledo Hospital, “B”, AGM, 6.015%, 11/15/2048 | 205,000 | 200,032 | ||
| Regional Care/LifePoint Health, Inc., 9.75%, 12/01/2026 (n) | 545,000 | 453,230 | ||
| Syneos Health, Inc., 3.625%, 1/15/2029 (n) | 684,000 | 571,619 | ||
| Tenet Healthcare Corp., 6.125%, 10/01/2028 | 860,000 | 834,379 | ||
| Tenet Healthcare Corp., 4.375%, 1/15/2030 | 222,000 | 203,984 | ||
| Tenet Healthcare Corp., 6.125%, 6/15/2030 (n) | 564,000 | 557,859 | ||
| Thermo Fisher Scientific (Finance I) B.V., 2%, 10/18/2051 | EUR | 330,000 | 230,743 | |
| Thermo Fisher Scientific, Inc., 1.75%, 10/15/2028 | $ | 519,000 | 461,137 | |
| U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026 (n) | 543,000 | 484,627 | ||
| $13,306,305 | ||||
| Medical Equipment – 0.7% | ||||
| Embecta Corp., 5%, 2/15/2030 (n) | $ | 442,000 | $381,256 | |
| Garden SpinCo Corp., 8.625%, 7/20/2030 (n) | 751,000 | 807,325 | ||
| Mozart Debt Merger Sub, Inc., 5.25%, 10/01/2029 (n) | 400,000 | 345,985 | ||
23
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Medical Equipment – continued | ||||
| Teleflex, Inc., 4.625%, 11/15/2027 | $ | 664,000 | $639,100 | |
| $2,173,666 | ||||
| Metals & Mining – 2.7% | ||||
| Anglo American Capital PLC, 4.5%, 9/15/2028 | EUR | 100,000 | $112,046 | |
| Anglo American Capital PLC, 5.625%, 4/01/2030 (n) | $ | 371,000 | 376,382 | |
| Anglo American Capital PLC, 4.75%, 9/21/2032 | EUR | 200,000 | 220,314 | |
| Baffinland Iron Mines Corp./Baffinland Iron Mines LP, 8.75%, 7/15/2026 (n) | $ | 742,000 | 715,620 | |
| Coeur Mining, Inc., 5.125%, 2/15/2029 (n) | 615,000 | 507,191 | ||
| Compass Minerals International, Inc., 6.75%, 12/01/2027 (n) | 520,000 | 498,642 | ||
| Eldorado Gold Corp., 6.25%, 9/01/2029 (n) | 399,000 | 371,070 | ||
| Ero Copper Corp., 6.5%, 2/15/2030 (n) | 470,000 | 418,159 | ||
| FMG Resources Ltd., 4.375%, 4/01/2031 (n) | 1,023,000 | 888,607 | ||
| Glencore Funding LLC, 2.85%, 4/27/2031 (n) | 435,000 | 367,402 | ||
| GrafTech Finance, Inc., 4.625%, 12/15/2028 (n) | 811,000 | 681,654 | ||
| Kaiser Aluminum Corp., 4.625%, 3/01/2028 (n) | 922,000 | 814,163 | ||
| Kaiser Aluminum Corp., 4.5%, 6/01/2031 (n) | 441,000 | 349,479 | ||
| Novelis Corp., 3.25%, 11/15/2026 (n) | 351,000 | 321,328 | ||
| Novelis Corp., 4.75%, 1/30/2030 (n) | 656,000 | 593,597 | ||
| Novelis Corp., 3.875%, 8/15/2031 (n) | 358,000 | 299,790 | ||
| Petra Diamonds US$ Treasury PLC, 10.5% (10.5% PIK/9.75% Cash to 6/30/2023), 9.75% Cash to 3/08/2026 (n)(p) | 359,894 | 340,100 | ||
| TMS International Corp., 6.25%, 4/15/2029 (n) | 175,000 | 135,236 | ||
| $8,010,780 | ||||
| Midstream – 4.3% | ||||
| DT Midstream, Inc., 4.125%, 6/15/2029 (n) | $ | 632,000 | $560,112 | |
| DT Midstream, Inc., 4.375%, 6/15/2031 (n) | 903,000 | 785,172 | ||
| Enbridge, Inc., 5.7%, 3/08/2033 | 289,000 | 300,124 | ||
| Enbridge, Inc., 5.375%, 9/27/2077 | CAD | 570,000 | 393,638 | |
| Energy Transfer LP, 5.55%, 2/15/2028 | $ | 221,000 | 225,328 | |
| Energy Transfer LP, 7.125% to 5/15/2030, FLR (CMT - 5yr. + 5.306%) to 5/15/2171 | 343,000 | 288,977 | ||
| EQM Midstream Partners LP, 6%, 7/01/2025 (n) | 65,000 | 63,858 | ||
| EQM Midstream Partners LP, 6.5%, 7/01/2027 (n) | 60,000 | 58,500 | ||
| EQM Midstream Partners LP, 5.5%, 7/15/2028 | 1,317,000 | 1,200,476 | ||
| EQM Midstream Partners LP, 4.5%, 1/15/2029 (n) | 555,000 | 471,659 | ||
| Galaxy Pipeline Assets Bidco Ltd., 2.16%, 3/31/2034 (n) | 467,502 | 404,980 | ||
| Genesis Energy LP/Genesis Energy Finance Corp., 8%, 1/15/2027 | 227,000 | 226,528 | ||
| Genesis Energy LP/Genesis Energy Finance Corp., 8.875%, 4/15/2030 | 546,000 | 546,732 | ||
| GNL Quintero S.A., 4.634%, 7/31/2029 (n) | 405,344 | 394,500 | ||
24
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Midstream – continued | ||||
| Kinetik Holdings, Inc., 5.875%, 6/15/2030 (n) | $ | 1,097,000 | $1,050,893 | |
| NuStar Logistics, LP, 6.375%, 10/01/2030 | 68,000 | 65,485 | ||
| Peru LNG, 5.375%, 3/22/2030 | 1,047,000 | 845,452 | ||
| Plains All American Pipeline LP/PAA Finance Corp., 3.55%, 12/15/2029 | 233,000 | 210,420 | ||
| Sabine Pass Liquefaction LLC, 5%, 3/15/2027 | 285,000 | 285,026 | ||
| Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | 507,000 | 490,932 | ||
| Tallgrass Energy Partners LP, 6%, 3/01/2027 (n) | 127,000 | 122,533 | ||
| Tallgrass Energy Partners LP, 5.5%, 1/15/2028 (n) | 1,095,000 | 1,013,059 | ||
| Targa Resources Corp., 4.2%, 2/01/2033 | 48,000 | 43,609 | ||
| Targa Resources Corp., 4.95%, 4/15/2052 | 290,000 | 240,331 | ||
| Targa Resources Partners LP/Targa Resources Finance Corp., 6.875%, 1/15/2029 | 755,000 | 771,081 | ||
| Venture Global Calcasieu Pass LLC, 3.875%, 8/15/2029 (n) | 860,000 | 772,451 | ||
| Venture Global Calcasieu Pass LLC, 6.25%, 1/15/2030 (n) | 159,000 | 161,227 | ||
| Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031 (n) | 574,000 | 508,479 | ||
| $12,501,562 | ||||
| Municipals – 0.4% | ||||
| Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “M-A”, 2.641%, 7/01/2037 | $ | 565,000 | $520,397 | |
| Michigan Finance Authority Hospital Rev., Taxable (Trinity Health Credit Group), 3.384%, 12/01/2040 | 605,000 | 505,811 | ||
| Oklahoma Development Finance Authority, Health System Rev., Taxable (OU Medicine Project), “C”, 5.45%, 8/15/2028 | 209,000 | 177,549 | ||
| $1,203,757 | ||||
| Natural Gas - Distribution – 0.1% | ||||
| ENGIE S.A., 4.25%, 1/11/2043 | EUR | 100,000 | $109,135 | |
| NiSource, Inc., 5.25%, 3/30/2028 | $ | 77,000 | 78,647 | |
| $187,782 | ||||
| Natural Gas - Pipeline – 0.3% | ||||
| APA Infrastructure Ltd., 0.75%, 3/15/2029 | EUR | 340,000 | $306,864 | |
| APA Infrastructure Ltd., 2.5%, 3/15/2036 | GBP | 740,000 | 639,725 | |
| $946,589 | ||||
| Network & Telecom – 0.6% | ||||
| AT&T, Inc., 3.5%, 9/15/2053 | $ | 348,000 | $249,595 | |
| Iliad Holding S.A.S., 6.5%, 10/15/2026 (n) | 200,000 | 192,442 | ||
| Iliad Holding S.A.S., 7%, 10/15/2028 (n) | 854,000 | 808,026 | ||
| Total Play Telecomunicaciones S.A. de C.V., 7.5%, 11/12/2025 (n) | 358,000 | 250,245 | ||
25
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Network & Telecom – continued | ||||
| Verizon Communications, Inc., 2.1%, 3/22/2028 | $ | 273,000 | $244,053 | |
| $1,744,361 | ||||
| Oil Services – 0.7% | ||||
| MV24 Capital B.V., 6.748%, 6/01/2034 | $ | 856,500 | $764,833 | |
| Nabors Industries Ltd., 7.25%, 1/15/2026 (n) | 715,000 | 673,941 | ||
| Solaris Midstream Holding LLC, 7.625%, 4/01/2026 (n) | 496,000 | 476,160 | ||
| $1,914,934 | ||||
| Oils – 1.2% | ||||
| Neste Oyj, 0.75%, 3/25/2028 | EUR | 400,000 | $384,967 | |
| Parkland Corp., 4.625%, 5/01/2030 (n) | $ | 1,175,000 | 1,022,343 | |
| PBF Holding Co. LLC/PBF Finance Corp., 6%, 2/15/2028 | 444,000 | 408,413 | ||
| Puma International Financing S.A., 5%, 1/24/2026 | 1,616,000 | 1,451,772 | ||
| Thaioil Treasury Center Co. Ltd., 5.375%, 11/20/2048 (n) | 359,000 | 306,773 | ||
| $3,574,268 | ||||
| Other Banks & Diversified Financials – 3.0% | ||||
| AIB Group PLC, 5.75% to 2/16/2028, FLR (EUR Swap Rate - 1yr. + 2.85%) to 2/16/2029 | EUR | 265,000 | $303,554 | |
| Alpha Bank, 4.25%, 2/13/2030 | 490,000 | 433,688 | ||
| Arion Banki HF, 4.875%, 12/21/2024 | 560,000 | 602,452 | ||
| Bangkok Bank Public Co. Ltd., 3.466% to 9/23/2031, FLR (CMT - 5yr. + 2.15%) to 9/23/2036 | $ | 800,000 | 654,992 | |
| Bank Leumi le-Israel B.M., 5.125%, 7/27/2027 (n) | 744,000 | 736,560 | ||
| Bank of Cyprus PCL, 2.5% to 6/24/2026, FLR (EUR Swap Rate - 5yr. + 2.785%) to 6/24/2027 | EUR | 330,000 | 306,061 | |
| Banque Federative du Credit Mutuel S.A., 4.375%, 5/02/2030 | 400,000 | 442,714 | ||
| Belfius Bank S.A., 3.625% to 4/16/2025, FLR (EUR Swap Rate - 5yr. + 2.938%) to 4/16/2068 | 400,000 | 311,010 | ||
| BPCE S.A., 2.277% to 1/20/2031, FLR (SOFR - 1 day + 1.312%) to 1/20/2032 (n) | $ | 500,000 | 390,810 | |
| CaixaBank S.A., 6.875% to 10/25/2028, FLR (GBP Swap Rate - 5yr. + 3.7%) to 10/25/2033 | GBP | 200,000 | 245,341 | |
| CaixaBank S.A., 3.625% to 3/14/2029, FLR (EUR Swap Rate - 5yr. + 3.857%) to 12/14/2170 | EUR | 600,000 | 430,568 | |
| Deutsche Bank AG, 6.125% to 12/12/2029, FLR (SONIA + 2.621%) to 12/12/2030 | GBP | 300,000 | 362,743 | |
| Deutsche Bank AG, 4% to 6/24/2027, FLR (EUR ICE Swap Rate - 5yr. + 3.3%) to 6/24/2032 | EUR | 300,000 | 285,280 | |
| Deutsche Bank AG, 6.75% to 4/30/2029, FLR (EUR Swap Rate - 5yr. + 5.692%) to 4/04/2171 | 200,000 | 166,684 | ||
| Groupe BPCE S.A., 4.5%, 3/15/2025 (n) | $ | 278,000 | 268,774 | |
26
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Other Banks & Diversified Financials – continued | ||||
| Groupe BPCE S.A., 1.75% to 2/02/2029, FLR (EUR Swap Rate - 5yr. + 1.57%) to 2/02/2034 | EUR | 400,000 | $356,897 | |
| Groupe des Assurances du Credit Mutuel, 1.85% to 4/21/2032, FLR (EURIBOR - 3mo. + 2.65%) to 4/21/2042 | 300,000 | 242,008 | ||
| KBC Group N.V., 4.375% to 4/19/2029, FLR (EURIBOR - 3mo. + 1.38%) to 4/19/2030 | 200,000 | 221,720 | ||
| Macquarie AirFinance Ltd., 8.375%, 5/01/2028 (n) | $ | 426,000 | 426,281 | |
| Macquarie Group Ltd., 4.08%, 5/31/2029 | GBP | 470,000 | 537,827 | |
| Manufacturers and Traders Trust Co., 4.7%, 1/27/2028 | $ | 359,000 | 340,543 | |
| Skipton Building Society, 6.25%, 4/25/2029 | GBP | 400,000 | 498,442 | |
| Virgin Money UK PLC, 5.125% to 12/11/2025, FLR (GBP Government Yield - 5yr. + 5.25%) to 12/11/2030 | 275,000 | 320,701 | ||
| $8,885,650 | ||||
| Personal Computers & Peripherals – 0.4% | ||||
| NCR Corp., 5%, 10/01/2028 (n) | $ | 760,000 | $662,850 | |
| NCR Corp., 5.125%, 4/15/2029 (n) | 452,000 | 390,980 | ||
| $1,053,830 | ||||
| Pharmaceuticals – 1.2% | ||||
| 1375209 BC Ltd., 9%, 1/30/2028 (n) | $ | 395,000 | $391,050 | |
| Amgen, Inc., 5.25%, 3/02/2030 | 222,000 | 228,004 | ||
| Amgen, Inc., 5.6%, 3/02/2043 | 312,000 | 321,049 | ||
| Bausch Health Co., Inc., 11%, 9/30/2028 (n) | 447,000 | 360,394 | ||
| Bausch Health Co., Inc., 14%, 10/15/2030 (n) | 89,000 | 56,960 | ||
| Jazz Securities DAC, 4.375%, 1/15/2029 (n) | 985,000 | 905,279 | ||
| Organon Finance 1 LLC, 4.125%, 4/30/2028 (n) | 580,000 | 533,603 | ||
| Organon Finance 1 LLC, 5.125%, 4/30/2031 (n) | 715,000 | 637,096 | ||
| $3,433,435 | ||||
| Pollution Control – 1.0% | ||||
| GFL Environmental, Inc., 4.25%, 6/01/2025 (n) | $ | 255,000 | $248,036 | |
| GFL Environmental, Inc., 4%, 8/01/2028 (n) | 635,000 | 579,552 | ||
| GFL Environmental, Inc., 3.5%, 9/01/2028 (n) | 86,000 | 78,162 | ||
| GFL Environmental, Inc., 4.75%, 6/15/2029 (n) | 235,000 | 218,717 | ||
| GFL Environmental, Inc., 4.375%, 8/15/2029 (n) | 285,000 | 257,936 | ||
| Stericycle, Inc., 3.875%, 1/15/2029 (n) | 769,000 | 691,870 | ||
| Waste Connections, Inc., 4.2%, 1/15/2033 | 385,000 | 369,871 | ||
| Waste Management, Inc., 4.625%, 2/15/2033 | 426,000 | 431,320 | ||
| $2,875,464 | ||||
27
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Precious Metals & Minerals – 0.5% | ||||
| IAMGOLD Corp., 5.75%, 10/15/2028 (n) | $ | 705,000 | $556,964 | |
| Northern Star Resources Ltd. Co., 6.125%, 4/11/2033 (n) | 490,000 | 488,411 | ||
| Taseko Mines Ltd., 7%, 2/15/2026 (n) | 537,000 | 495,430 | ||
| $1,540,805 | ||||
| Printing & Publishing – 0.3% | ||||
| Cimpress PLC, 7%, 6/15/2026 | $ | 920,000 | $770,242 | |
| Real Estate - Healthcare – 0.3% | ||||
| MPT Operating Partnership LP/MPT Finance Corp., REIT, 0.993%, 10/15/2026 | EUR | 210,000 | $164,224 | |
| MPT Operating Partnership LP/MPT Finance Corp., REIT, 5%, 10/15/2027 | $ | 691,000 | 578,823 | |
| $743,047 | ||||
| Real Estate - Office – 0.2% | ||||
| Corporate Office Property LP, REIT, 2.25%, 3/15/2026 | $ | 298,000 | $266,088 | |
| Corporate Office Property LP, REIT, 2%, 1/15/2029 | 197,000 | 152,205 | ||
| Corporate Office Property LP, REIT, 2.75%, 4/15/2031 | 393,000 | 298,592 | ||
| $716,885 | ||||
| Real Estate - Other – 0.6% | ||||
| EPR Properties, REIT, 3.6%, 11/15/2031 | $ | 333,000 | $259,023 | |
| Lexington Realty Trust Co., 2.7%, 9/15/2030 | 506,000 | 410,014 | ||
| W.P. Carey, Inc., REIT, 2.4%, 2/01/2031 | 382,000 | 312,411 | ||
| XHR LP, REIT, 4.875%, 6/01/2029 (n) | 772,000 | 670,026 | ||
| $1,651,474 | ||||
| Real Estate - Retail – 0.2% | ||||
| Regency Centers Corp., 3.7%, 6/15/2030 | $ | 152,000 | $139,253 | |
| STORE Capital Corp., REIT, 2.75%, 11/18/2030 | 316,000 | 235,499 | ||
| WEA Finance LLC, 2.875%, 1/15/2027 (n) | 400,000 | 349,610 | ||
| $724,362 | ||||
| Restaurants – 0.3% | ||||
| Fertitta Entertainment LLC, 6.75%, 1/15/2030 (n) | $ | 635,000 | $514,408 | |
| McDonald's Corp., 4.25%, 3/07/2035 | EUR | 310,000 | 350,248 | |
| $864,656 | ||||
| Retailers – 1.3% | ||||
| Asbury Automotive Group, Inc., 4.625%, 11/15/2029 (n) | $ | 777,000 | $691,539 | |
| AutoZone, Inc., 4.75%, 8/01/2032 | 212,000 | 210,932 | ||
| Bath & Body Works, Inc., 5.25%, 2/01/2028 | 1,101,000 | 1,052,562 | ||
| Hanesbrands, Inc., 9%, 2/15/2031 (n) | 400,000 | 409,460 | ||
| Home Depot, Inc., 4.875%, 2/15/2044 | 248,000 | 246,839 | ||
28
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Retailers – continued | ||||
| Home Depot, Inc., 3.625%, 4/15/2052 | $ | 399,000 | $325,177 | |
| Macy's Retail Holdings LLC, 5.875%, 4/01/2029 (n) | 431,000 | 394,809 | ||
| Victoria's Secret & Co., 4.625%, 7/15/2029 (n) | 753,000 | 609,019 | ||
| $3,940,337 | ||||
| Specialty Chemicals – 0.1% | ||||
| International Flavors & Fragrances, Inc., 1.832%, 10/15/2027 (n) | $ | 356,000 | $303,268 | |
| Specialty Stores – 1.0% | ||||
| DICK'S Sporting Goods, 3.15%, 1/15/2032 | $ | 384,000 | $318,387 | |
| Group 1 Automotive, Inc., 4%, 8/15/2028 (n) | 553,000 | 490,711 | ||
| Lithia Motors, Inc., 3.875%, 6/01/2029 (n) | 220,000 | 190,435 | ||
| Michael Cos., Inc., 5.25%, 5/01/2028 (n) | 390,000 | 321,286 | ||
| Michael Cos., Inc., 7.875%, 5/01/2029 (n) | 455,000 | 305,014 | ||
| Penske Automotive Group Co., 3.75%, 6/15/2029 | 761,000 | 661,691 | ||
| PetSmart, Inc./PetSmart Finance Corp., 7.75%, 2/15/2029 (n) | 565,000 | 557,164 | ||
| $2,844,688 | ||||
| Supermarkets – 0.3% | ||||
| Albertsons Cos. LLC/Safeway, Inc., 4.625%, 1/15/2027 (n) | $ | 369,000 | $356,711 | |
| Albertsons Cos. LLC/Safeway, Inc., 3.5%, 3/15/2029 (n) | 560,000 | 496,158 | ||
| $852,869 | ||||
| Supranational – 1.8% | ||||
| Corporacion Andina de Fomento, 4.5%, 3/07/2028 | EUR | 440,000 | $493,999 | |
| European Stability Mechanism, 1%, 6/23/2027 | 1,040,000 | 1,059,228 | ||
| European Stability Mechanism, 0.5%, 3/05/2029 | 1,070,000 | 1,026,749 | ||
| European Stability Mechanism, 0.01%, 10/15/2031 | 1,860,000 | 1,601,572 | ||
| International Bank for Reconstruction and Development, 4.25%, 6/24/2025 | AUD | 405,000 | 271,222 | |
| West African Development Bank, 4.7%, 10/22/2031 (n) | $ | 806,000 | 658,341 | |
| $5,111,111 | ||||
| Telecommunications - Wireless – 2.1% | ||||
| Altice France S.A., 6%, 2/15/2028 (n) | $ | 1,185,000 | $729,688 | |
| Cellnex Finance Co. S.A., 3.875%, 7/07/2041 (n) | 295,000 | 219,478 | ||
| Cellnex Telecom S.A., 1.75%, 10/23/2030 | EUR | 500,000 | 452,214 | |
| Crown Castle, Inc., REIT, 3.7%, 6/15/2026 | $ | 314,000 | 303,502 | |
| Millicom International Cellular S.A., 4.5%, 4/27/2031 (n) | 625,000 | 483,816 | ||
| Rogers Communications, Inc., 3.8%, 3/15/2032 (n) | 336,000 | 302,547 | ||
| Rogers Communications, Inc., 3.7%, 11/15/2049 | 339,000 | 245,716 | ||
| SBA Communications Corp., 3.875%, 2/15/2027 | 512,000 | 477,544 | ||
| SBA Communications Corp., 3.125%, 2/01/2029 | 1,075,000 | 919,664 | ||
| Telefonica Celular del Paraguay S.A., 5.875%, 4/15/2027 (n) | 900,000 | 830,388 | ||
29
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Telecommunications - Wireless – continued | ||||
| T-Mobile USA, Inc., 3.875%, 4/15/2030 | $ | 664,000 | $625,191 | |
| Vodafone Group PLC, 3.375%, 8/08/2049 | GBP | 360,000 | 311,200 | |
| Vodafone Group PLC, 5.625%, 2/10/2053 | $ | 299,000 | 295,172 | |
| $6,196,120 | ||||
| Telephone Services – 0.4% | ||||
| Telstra Group Ltd., 3.75%, 5/04/2031 | EUR | 480,000 | $533,387 | |
| TELUS Corp., 2.85%, 11/13/2031 | CAD | 825,000 | 529,514 | |
| $1,062,901 | ||||
| Tobacco – 0.4% | ||||
| B.A.T. International Finance PLC, 2.25%, 1/16/2030 | EUR | 350,000 | $321,146 | |
| Philip Morris International, Inc., 5.125%, 11/17/2027 | $ | 509,000 | 521,214 | |
| Vector Group Ltd., 5.75%, 2/01/2029 (n) | 370,000 | 331,013 | ||
| $1,173,373 | ||||
| Transportation - Services – 0.9% | ||||
| Autostrade per L'Italia S.p.A., 4.75%, 1/24/2031 | EUR | 280,000 | $304,372 | |
| Holding d'Infrastructures de Transport, 1.475%, 1/18/2031 | 300,000 | 266,898 | ||
| Sydney Airport Finance Co. Pty Ltd., 4.375%, 5/03/2033 | 486,000 | 537,704 | ||
| Transurban Finance Co., 1.45%, 5/16/2029 | 300,000 | 288,733 | ||
| Transurban Finance Co. Pty Ltd., 4.225%, 4/26/2033 | 170,000 | 189,918 | ||
| Triton International Ltd., 3.15%, 6/15/2031 (n) | $ | 395,000 | 313,227 | |
| United Parcel Service, 5.05%, 3/03/2053 | 656,000 | 675,904 | ||
| $2,576,756 | ||||
| U.S. Treasury Obligations – 2.7% | ||||
| U.S. Treasury Bonds, 3.5%, 2/15/2033 | $ | 2,100,000 | $2,112,469 | |
| U.S. Treasury Bonds, 2.375%, 2/15/2042 (f) | 3,449,000 | 2,783,585 | ||
| U.S. Treasury Bonds, 2.375%, 11/15/2049 (f) | 3,775,000 | 2,919,874 | ||
| $7,815,928 | ||||
| Utilities - Electric Power – 5.7% | ||||
| Adani Green Energy (UP) Ltd./Prayatna Developers Private Ltd., 6.25%, 12/10/2024 (n) | $ | 1,096,000 | $1,045,097 | |
| American Electric Power Co., Inc., 5.625%, 3/01/2033 | 509,000 | 533,215 | ||
| American Transmission Systems, Inc., 2.65%, 1/15/2032 (n) | 86,000 | 72,714 | ||
| Bruce Power LP, 2.68%, 12/21/2028 | CAD | 750,000 | 505,257 | |
| Calpine Corp., 4.5%, 2/15/2028 (n) | $ | 913,000 | 850,284 | |
| Calpine Corp., 5.125%, 3/15/2028 (n) | 773,000 | 714,027 | ||
| Clearway Energy Operating LLC, 4.75%, 3/15/2028 (n) | 533,000 | 505,110 | ||
| Clearway Energy Operating LLC, 3.75%, 2/15/2031 (n) | 1,380,000 | 1,180,670 | ||
| E.ON International Finance B.V., 5.875%, 10/30/2037 | GBP | 550,000 | 697,663 | |
| Enel Finance International N.V., 2.25%, 7/12/2031 (n) | $ | 740,000 | 587,591 | |
30
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Utilities - Electric Power – continued | ||||
| Enel Finance International N.V., 4.5%, 2/20/2043 | EUR | 230,000 | $245,827 | |
| Enel Finance International N.V., 4.75%, 5/25/2047 (n) | $ | 271,000 | 234,859 | |
| Enel S.p.A., 2.25% to 3/10/2027, FLR (EUR Swap Rate - 5yr. + 2.679%) to 3/10/2032, FLR (EUR Swap Rate - 5yr. + 2.929%) to 3/10/2047, FLR (EUR Swap Rate - 5yr. + 3.679%) to 3/10/2070 | EUR | 325,000 | 308,266 | |
| Enel S.p.A., 1.875% to 9/08/2030, FLR (EUR Swap Rate - 5yr. + 2.011%) to 9/08/2035, FLR (EUR Swap Rate - 5yr. + 2.261%) to 9/08/2050, FLR (EUR Swap Rate - 5yr. + 3.011%) to 3/08/2170 | 315,000 | 250,779 | ||
| ENGIE Energía Chile S.A., 4.5%, 1/29/2025 (n) | $ | 1,023,000 | 985,165 | |
| Evergy, Inc., 2.9%, 9/15/2029 | 418,000 | 376,162 | ||
| Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | 186,000 | 157,783 | ||
| Listrindo Capital B.V., 4.95%, 9/14/2026 | 910,000 | 854,921 | ||
| Mong Duong Finance Holdings B.V., 5.125%, 5/07/2029 | 594,000 | 514,190 | ||
| National Grid Electricity Transmission PLC, 2%, 4/17/2040 | GBP | 420,000 | 328,426 | |
| National Grid PLC, 3.875%, 1/16/2029 | EUR | 210,000 | 232,057 | |
| National Grid PLC, 4.275%, 1/16/2035 | 200,000 | 219,159 | ||
| NextEra Energy Capital Holdings, Inc., 6.051%, 3/01/2025 | $ | 214,000 | 217,558 | |
| NextEra Energy, Inc., 4.25%, 9/15/2024 (n) | 107,000 | 102,720 | ||
| NextEra Energy, Inc., 4.5%, 9/15/2027 (n) | 735,000 | 690,900 | ||
| PPL Electric Utilities Corp, 1st Mortgage, 5.25%, 5/15/2053 | 511,000 | 532,245 | ||
| ReNew Power Private Ltd., 5.875%, 3/05/2027 | 379,000 | 350,007 | ||
| Southern California Edison Co., 3.65%, 2/01/2050 | 277,000 | 215,511 | ||
| Star Energy Geothermal (Wayang Windu) Ltd., 6.75%, 4/24/2033 | 696,477 | 683,044 | ||
| TerraForm Global Operating LLC, 6.125%, 3/01/2026 (n) | 565,000 | 540,270 | ||
| TerraForm Power Operating LLC, 5%, 1/31/2028 (n) | 768,000 | 735,360 | ||
| TerraForm Power Operating LLC, 4.75%, 1/15/2030 (n) | 541,000 | 501,772 | ||
| Virginia Electric & Power Co., 3.5%, 3/15/2027 | 279,000 | 269,874 | ||
| Virginia Electric & Power Co., 2.875%, 7/15/2029 | 175,000 | 160,010 | ||
| Xcel Energy, Inc., 4.6%, 6/01/2032 | 159,000 | 156,195 | ||
| $16,554,688 | ||||
| Utilities - Gas – 0.3% | ||||
| EP Infrastructure A.S., 1.698%, 7/30/2026 | EUR | 480,000 | $451,469 | |
| EP Infrastructure A.S., 2.045%, 10/09/2028 | 650,000 | 563,717 | ||
| $1,015,186 | ||||
| Total Bonds (Identified Cost, $409,259,546) | $375,095,696 | |||
| Common Stocks – 0.2% | ||||
| Cable TV – 0.1% | ||||
| Intelsat Emergence S.A. (a) | 7,339 | $181,640 | ||
31
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Common Stocks – continued | ||||
| Oil Services – 0.1% | ||||
| LTRI Holdings LP (a)(u) | 520 | $174,221 | ||
| Total Common Stocks (Identified Cost, $805,739) | $355,861 | |||
| Contingent Value Rights – 0.0% | ||||
| Cable TV – 0.0% | ||||
| Intelsat Jackson Holdings S.A. - Series A, 12/05/2025 (a) | 768 | $4,992 | ||
| Intelsat Jackson Holdings S.A. - Series B, 12/05/2025 (a) | 768 | 3,264 | ||
| Total Contingent Value Rights (Identified Cost, $0) | $8,256 | |||
| Strike Price | First Exercise | |||
| Warrants – 0.0% | ||||
| Other Banks & Diversified Financials – 0.0% | ||||
| Avation Capital S.A. (1 share for 1 warrant, Expiration 10/31/26) (a) (Identified Cost, $0) | GBP 1.14 | 3/16/21 | 7,000 | $4,399 |
| Investment Companies (h) – 2.7% | ||||
| Money Market Funds – 2.7% | ||||
| MFS Institutional Money Market Portfolio, 4.59% (v) (Identified Cost, $7,926,108) | 7,925,674 | $7,927,259 | ||
| Underlying/Expiration Date/Exercise Price | Put/Call | Counterparty | Notional Amount | Par Amount/ Number of Contracts | |
| Purchased Options – 0.0% | |||||
| Market Index Securities – 0.0% | |||||
| iTraxx Europe Crossover Series 39 Index Credit Default Swap-Fund pays 5%, Fund receives notional amount upon a defined credit event of an index constituent – May 2023 @ 5.5% | Put | BNP Paribas S.A. | $ 4,493,819 | EUR 3,950,000 | $2,502 |
| iTraxx Europe Crossover Series 39 Index Credit Default Swap-Fund pays 5%, Fund receives notional amount upon a defined credit event of an index constituent – May 2023 @ 5.5% | Put | Goldman Sachs International | 5,551,858 | 4,880,000 | 3,092 |
| Total Purchased Options (Premiums Paid, $58,116) | $5,594 | ||||
32
Portfolio of Investments (unaudited)
– continued
| Other Assets, Less Liabilities – (31.2)% | (91,079,808) | |||
| Net Assets – 100.0% | $292,317,257 | |||
| (a) | Non-income producing security. |
| (f) | All or a portion of the security has been segregated as collateral for open futures contracts. |
| (h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $7,927,259 and $375,469,806, respectively. |
| (i) | Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security. |
| (n) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $202,509,865, representing 69.3% of net assets. |
| (p) | Payment-in-kind (PIK) security for which interest income may be received in additional securities and/or cash. |
| (u) | The security was valued using significant unobservable inputs and is considered level 3 under the fair value hierarchy. For further information about the fund’s level 3 holdings, please see Note 2 in the Notes to Financial Statements. |
| (v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
| (w) | When-issued security. |
| (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 fund holds the following restricted securities: |
| Restricted Securities | Acquisition Date | Cost | Value |
| NAK Naftogaz Ukraine via Standard Bank London Holdings PLC, 7.625%, 11/08/2026 | 11/04/19 | $869,000 | $182,381 |
| % of Net assets | 0.1% |
| The following abbreviations are used in this report and are defined: | |
| AGM | Assured Guaranty Municipal |
| CDO | Collateralized Debt Obligation |
| CLO | Collateralized Loan Obligation |
| CMT | Constant Maturity Treasury |
| EURIBOR | Euro Interbank Offered Rate |
| FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
| ICE | Intercontinental Exchange |
| LIBOR | London Interbank Offered Rate |
| NPFG | National Public Finance Guarantee Corp. |
| PCL | Public Company Limited |
| REIT | Real Estate Investment Trust |
| SOFR | Secured Overnight Financing Rate |
33
Portfolio of Investments (unaudited)
– continued
| SONIA | Sterling Overnight Index Average |
| Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below: | |
| AUD | Australian Dollar |
| CAD | Canadian Dollar |
| CHF | Swiss Franc |
| CNH | Chinese Yuan Renminbi (Offshore) |
| CZK | Czech Koruna |
| EUR | Euro |
| GBP | British Pound |
| IDR | Indonesian Rupiah |
| JPY | Japanese Yen |
| KRW | South Korean Won |
| MXN | Mexican Peso |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| SEK | Swedish Krona |
| SGD | Singapore Dollar |
| THB | Thai Baht |
| TWD | Taiwan Dollar |
| UYU | Uruguayan Peso |
Derivative Contracts at 4/30/23
| Forward Foreign Currency Exchange Contracts | ||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
| Asset Derivatives | ||||||
| CHF | 390,729 | USD | 439,965 | Merrill Lynch International | 7/21/2023 | $1,064 |
| EUR | 400,144 | USD | 440,769 | Brown Brothers Harriman | 7/21/2023 | 2,097 |
| EUR | 677,089 | USD | 746,532 | HSBC Bank | 7/21/2023 | 2,848 |
| EUR | 2,164,452 | USD | 2,390,419 | Merrill Lynch International | 7/21/2023 | 5,129 |
| EUR | 418,081 | USD | 461,228 | State Street Bank Corp. | 7/21/2023 | 1,490 |
| EUR | 99,948 | USD | 110,509 | UBS AG | 7/21/2023 | 110 |
| GBP | 87,392 | USD | 109,352 | HSBC Bank | 7/21/2023 | 647 |
| GBP | 273,422 | USD | 341,419 | JPMorgan Chase Bank N.A. | 7/21/2023 | 2,731 |
| GBP | 586,677 | USD | 729,690 | Merrill Lynch International | 7/21/2023 | 8,746 |
| GBP | 6,231,448 | USD | 7,767,643 | State Street Bank Corp. | 7/21/2023 | 75,736 |
| IDR | 21,679,309,893 | USD | 1,465,630 | Barclays Bank PLC | 5/10/2023 | 11,831 |
| SEK | 1,162,151 | USD | 112,920 | State Street Bank Corp. | 7/21/2023 | 857 |
| THB | 115,942,071 | USD | 3,391,598 | JPMorgan Chase Bank N.A. | 6/13/2023 | 17,358 |
| USD | 671,700 | AUD | 996,375 | HSBC Bank | 7/21/2023 | 10,171 |
| USD | 582,947 | AUD | 866,240 | Merrill Lynch International | 7/21/2023 | 7,821 |
| USD | 12,581,199 | AUD | 18,626,812 | State Street Bank Corp. | 7/21/2023 | 214,212 |
| USD | 6,811,827 | CAD | 9,131,962 | HSBC Bank | 7/21/2023 | 60,982 |
| USD | 2,222,443 | CAD | 2,979,664 | State Street Bank Corp. | 7/21/2023 | 19,713 |
| USD | 2,960,082 | CNH | 20,206,753 | Barclays Bank PLC | 7/21/2023 | 24,988 |
| USD | 11,019 | CZK | 235,838 | HSBC Bank | 7/21/2023 | 15 |
| USD | 27,820 | EUR | 25,039 | Barclays Bank PLC | 7/21/2023 | 108 |
| USD | 586,211 | EUR | 528,014 | HSBC Bank | 7/21/2023 | 1,822 |
34
Portfolio of Investments (unaudited)
– continued
| Forward Foreign Currency Exchange Contracts - continued | ||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
| Asset Derivatives - continued | ||||||
| USD | 110,853 | EUR | 99,871 | JPMorgan Chase Bank N.A. | 7/21/2023 | $319 |
| USD | 1,682,724 | EUR | 1,519,630 | State Street Bank Corp. | 7/21/2023 | 847 |
| USD | 1,381,867 | JPY | 183,678,812 | Merrill Lynch International | 7/21/2023 | 17,251 |
| USD | 2,400,392 | KRW | 3,092,459,964 | Barclays Bank PLC | 5/10/2023 | 89,050 |
| USD | 3,960,253 | KRW | 5,261,638,640 | Barclays Bank PLC | 7/10/2023 | 13,089 |
| USD | 666,838 | NOK | 7,020,948 | State Street Bank Corp. | 7/21/2023 | 5,525 |
| USD | 120,060 | NZD | 193,461 | State Street Bank Corp. | 7/21/2023 | 470 |
| USD | 1,460,957 | SGD | 1,942,735 | Merrill Lynch International | 7/21/2023 | 679 |
| USD | 4,712,307 | TWD | 139,847,142 | Barclays Bank PLC | 5/05/2023 | 162,300 |
| $760,006 | ||||||
| Liability Derivatives | ||||||
| AUD | 1,270,696 | USD | 857,991 | Merrill Lynch International | 7/21/2023 | $(14,331) |
| CAD | 695,146 | USD | 518,479 | Merrill Lynch International | 7/21/2023 | (4,589) |
| EUR | 438,520 | USD | 487,123 | Brown Brothers Harriman | 7/21/2023 | (1,782) |
| EUR | 297,354 | USD | 329,804 | State Street Bank Corp. | 7/21/2023 | (703) |
| JPY | 966,015,962 | USD | 7,351,865 | UBS AG | 7/21/2023 | (174,985) |
| KRW | 409,100,714 | USD | 311,843 | Citibank N.A. | 7/10/2023 | (4,945) |
| NOK | 45,164,206 | USD | 4,303,001 | HSBC Bank | 7/21/2023 | (48,920) |
| NOK | 7,573,944 | USD | 733,039 | Merrill Lynch International | 7/21/2023 | (19,639) |
| NZD | 153,817 | USD | 95,450 | UBS AG | 7/21/2023 | (367) |
| SGD | 2,106,550 | USD | 1,583,916 | BNP Paribas S.A. | 7/21/2023 | (505) |
| USD | 427,481 | CHF | 379,592 | HSBC Bank | 7/21/2023 | (978) |
| USD | 223 | EUR | 202 | Brown Brothers Harriman | 7/21/2023 | (1) |
| USD | 35,266,600 | EUR | 32,003,128 | HSBC Bank | 7/21/2023 | (153,428) |
| USD | 368,020 | EUR | 334,186 | JPMorgan Chase Bank N.A. | 7/21/2023 | (1,846) |
| USD | 4,205,923 | EUR | 3,819,791 | State Street Bank Corp. | 7/21/2023 | (21,697) |
| USD | 1,100,353 | EUR | 998,342 | UBS AG | 7/21/2023 | (4,580) |
| USD | 324,307 | GBP | 261,153 | HSBC Bank | 7/21/2023 | (4,401) |
| USD | 495,873 | GBP | 398,428 | JPMorgan Chase Bank N.A. | 7/21/2023 | (5,619) |
| USD | 14,527,404 | GBP | 11,609,645 | State Street Bank Corp. | 7/21/2023 | (85,389) |
| USD | 1,238,630 | MXN | 22,805,757 | HSBC Bank | 7/21/2023 | (9,651) |
| USD | 116,694 | SEK | 1,202,012 | HSBC Bank | 7/21/2023 | (985) |
| USD | 151,755 | THB | 5,170,301 | Barclays Bank PLC | 7/19/2023 | (808) |
| $(560,149) | ||||||
| Futures Contracts | ||||||
| Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
| Asset Derivatives | ||||||
| Interest Rate Futures | ||||||
| Australian Bond 10 yr | Short | AUD | 92 | $7,454,690 | June – 2023 | $13,581 |
| Canadian Treasury Bond 5 yr | Long | CAD | 170 | 14,289,109 | June – 2023 | 204,371 |
| Euro-Bund 10 yr | Long | EUR | 3 | 448,121 | June – 2023 | 1,516 |
35
Portfolio of Investments (unaudited)
– continued
| Futures Contracts - continued | ||||||
| Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
| Asset Derivatives - continued | ||||||
| Interest Rate Futures - continued | ||||||
| Euro-Buxl 30 yr | Long | EUR | 18 | $2,766,872 | June – 2023 | $155,063 |
| U.S. Treasury Bond | Long | USD | 125 | 16,457,031 | June – 2023 | 730,874 |
| U.S. Treasury Note 2 yr | Short | USD | 196 | 40,408,156 | June – 2023 | 53 |
| $1,105,458 | ||||||
| Liability Derivatives | ||||||
| Interest Rate Futures | ||||||
| Canadian Treasury Bond 10 yr | Short | CAD | 17 | $1,581,991 | June – 2023 | $(20,127) |
| Euro-Bobl 5 yr | Short | EUR | 320 | 41,597,166 | June – 2023 | (991,794) |
| Euro-Schatz 2 yr | Short | EUR | 298 | 34,700,098 | June – 2023 | (261,406) |
| Long Gilt 10 yr | Short | GBP | 11 | 1,402,609 | June – 2023 | (4,929) |
| U.S. Treasury Note 10 yr | Short | USD | 189 | 21,773,390 | June – 2023 | (644,512) |
| U.S. Treasury Note 5 yr | Short | USD | 260 | 28,532,969 | June – 2023 | (624,448) |
| U.S. Treasury Ultra Bond | Short | USD | 9 | 1,272,656 | June – 2023 | (8,799) |
| U.S. Treasury Ultra Note 10 yr | Long | USD | 47 | 5,708,297 | June – 2023 | (107,646) |
| $(2,663,661) | ||||||
36
Portfolio of Investments (unaudited)
– continued
| Uncleared Swap Agreements | ||||||||||
| Maturity Date | Notional Amount | Counterparty | Cash Flows to Receive/ Frequency | Cash Flows to Pay/ Frequency | Unrealized Appreciation (Depreciation) | Net Unamortized Upfront Payments (Receipts) | Value | |||
| Asset Derivatives | ||||||||||
| Credit Default Swaps | ||||||||||
| 6/20/28 | EUR | 560,000 | Barclays Bank PLC | 5.00%/Quarterly | 1 | $3,067 | $84,295 | $87,362 | ||
| (1) | Fund, as protection seller, to pay notional amount upon a defined credit event by Glencore PLC, 1.875%, 9/13/23, a BBB+ rated bond. The fund entered into the contract to gain issuer exposure. |
The credit ratings presented here
are an indicator of the current payment/performance risk of the related swap agreement, the reference obligation for which may be either a single security or, in the case of a credit default swap index, a basket of
securities issued by corporate or sovereign issuers. Ratings are assigned to each reference security, including each individual security within a reference basket of securities, utilizing ratings from Moody's, Fitch,
and Standard & Poor's rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the
three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If
none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g.,
AAA). The ratings for a credit default swap index are calculated by MFS as a weighted average of the external credit ratings of the individual securities that compose the index's reference basket of securities.
At April 30, 2023, the fund had
liquid securities with an aggregate value of $3,527,802 to cover any collateral or margin obligations for certain derivative contracts.
See Notes to Financial Statements
37
Financial Statements
Statement of Assets and
Liabilities
At 4/30/23 (unaudited)
This statement represents your
fund’s balance sheet, which details the assets and liabilities comprising the total value of the fund.
| Assets | |
| Investments in unaffiliated issuers, at value (identified cost, $410,123,401) | $375,469,806 |
| Investments in affiliated issuers, at value (identified cost, $7,926,108) | 7,927,259 |
| Cash | 231,565 |
| Receivables for | |
| Forward foreign currency exchange contracts | 760,006 |
| Investments sold | 5,561,117 |
| Interest | 5,139,218 |
| Uncleared swaps, at value (net of unamortized premiums paid, $84,295) | 87,362 |
| Other assets | 39,415 |
| Total assets | $395,215,748 |
| Liabilities | |
| Notes payable | $95,000,000 |
| Payables for | |
| Distributions | 159,325 |
| Forward foreign currency exchange contracts | 560,149 |
| Net daily variation margin on open futures contracts | 317,940 |
| Investments purchased | 5,622,921 |
| When-issued investments purchased | 803,775 |
| Capital shares reacquired | 22,210 |
| Payable to affiliates | |
| Investment adviser | 24,232 |
| Administrative services fee | 570 |
| Transfer agent and dividend disbursing costs | 5,278 |
| Payable for independent Trustees' compensation | 3,386 |
| Accrued interest expense | 106,018 |
| Deferred country tax expense payable | 134,409 |
| Accrued expenses and other liabilities | 138,278 |
| Total liabilities | $102,898,491 |
| Net assets | $292,317,257 |
38
Statement of Assets and Liabilities (unaudited) – continued
| Net assets consist of | |
| Paid-in capital | $363,353,931 |
| Total distributable earnings (loss) | (71,036,674) |
| Net assets | $292,317,257 |
| Shares of beneficial interest outstanding (58,489,688 shares authorized less 28,657 capital shares to be retired) | 58,461,031 |
| Net asset value per share (net assets of $292,317,257 / 58,461,031 shares of beneficial interest outstanding) | $5.00 |
See Notes to Financial Statements
39
Financial Statements
Statement of Operations
Six months ended 4/30/23
(unaudited)
This statement describes how much
your fund earned in investment income and accrued in expenses. It also describes any gains and/or losses generated by fund operations.
| Net investment income (loss) | |
| Income | |
| Interest | $11,807,192 |
| Dividends from affiliated issuers | 134,903 |
| Dividends | 46,943 |
| Other | 7,531 |
| Total investment income | $11,996,569 |
| Expenses | |
| Management fee | $1,150,936 |
| Transfer agent and dividend disbursing costs | 45,190 |
| Administrative services fee | 26,433 |
| Independent Trustees' compensation | 7,088 |
| Stock exchange fee | 29,241 |
| Custodian fee | 21,386 |
| Shareholder communications | 74,729 |
| Audit and tax fees | 46,908 |
| Legal fees | 3,486 |
| Interest expense and fees | 2,567,656 |
| Miscellaneous | 26,031 |
| Total expenses | $3,999,084 |
| Net investment income (loss) | $7,997,485 |
40
Statement of Operations (unaudited)
– continued
| Realized and unrealized gain (loss) | |
| Realized gain (loss) (identified cost basis) | |
| Unaffiliated issuers (net of $27,020 country tax) | $(12,320,462) |
| Affiliated issuers | 203 |
| Written options | 203,480 |
| Futures contracts | 2,443,803 |
| Swap agreements | 135,935 |
| Forward foreign currency exchange contracts | (5,242,243) |
| Foreign currency | (335,976) |
| Net realized gain (loss) | $(15,115,260) |
| Change in unrealized appreciation or depreciation | |
| Unaffiliated issuers (net of $5,985 decrease in deferred country tax) | $36,899,157 |
| Affiliated issuers | 918 |
| Written options | (41,385) |
| Futures contracts | (3,905,365) |
| Swap agreements | 13,023 |
| Forward foreign currency exchange contracts | 1,122,954 |
| Translation of assets and liabilities in foreign currencies | 47,666 |
| Net unrealized gain (loss) | $34,136,968 |
| Net realized and unrealized gain (loss) | $19,021,708 |
| Change in net assets from operations | $27,019,193 |
See Notes to Financial Statements
41
Financial Statements
Statements of Changes in Net
Assets
These statements describe the
increases and/or decreases in net assets resulting from operations, any distributions, and any shareholder transactions.
| Six months ended | Year ended | |
| 4/30/23 (unaudited) | 10/31/22 | |
| Change in net assets | ||
| From operations | ||
| Net investment income (loss) | $7,997,485 | $14,832,828 |
| Net realized gain (loss) | (15,115,260) | 3,828,966 |
| Net unrealized gain (loss) | 34,136,968 | (76,301,247) |
| Change in net assets from operations | $27,019,193 | $(57,639,453) |
| Distributions to shareholders | $(3,373,593) | $(23,699,603) |
| Tax return of capital distributions to shareholders | $— | $(2,886,930) |
| Distributions from other sources | $(8,240,627) | $— |
| Change in net assets from fund share transactions | $(4,901,741) | $(3,778,163) |
| Total change in net assets | $10,503,232 | $(88,004,149) |
| Net assets | ||
| At beginning of period | 281,814,025 | 369,818,174 |
| At end of period | $292,317,257 | $281,814,025 |
See Notes to Financial Statements
42
Financial Statements
Statement of Cash Flows
Six months ended 4/30/23
(unaudited)
This statement provides a summary
of cash flows from investment activity for the fund.
| Cash flows from operating activities: | |
| Change in net assets from operations | $27,019,193 |
| Adjustments to reconcile change in net assets from operations to net cash provided by operating activities: | |
| Purchase of investment securities | (127,778,513) |
| Proceeds from disposition of investment securities | 145,105,527 |
| Proceeds from disposition of short-term investments, net | 2,743,988 |
| Realized gain/loss on investments | 12,293,442 |
| Unrealized appreciation/depreciation on investments | (36,894,090) |
| Unrealized appreciation/depreciation on foreign currency contracts | (1,122,954) |
| Unrealized appreciation/depreciation on swaps | (13,023) |
| Net amortization/accretion of income | (637,406) |
| Decrease in interest receivable | 165,106 |
| Decrease in accrued expenses and other liabilities | (7,743) |
| Decrease in receivable for net daily variation margin on open futures contracts | 220,802 |
| Increase in payable for net daily variation margin on open futures contracts | 317,940 |
| Increase in other assets | (29,507) |
| Decrease in interest payable | (47,167) |
| Net cash provided by operating activities | $21,335,595 |
| Cash flows from financing activities: | |
| Distributions paid in cash | $(11,614,833) |
| Decrease in notes payable | (5,000,000) |
| Repurchase of shares of beneficial interest | (5,059,066) |
| Decrease in payable to custodian | (4) |
| Net cash used by financing activities | $(21,673,903) |
| Net decrease in cash and restricted cash | $(338,308) |
| Cash and restricted cash: | |
| Beginning of period (including foreign currency of $94,945) | $569,873 |
| End of period | $231,565 |
Supplemental disclosure of cash flow
information:
Cash paid during the six months
ended April 30, 2023 for interest was $2,614,823.
See Notes to Financial Statements
43
Financial Statements
Financial Highlights
The financial highlights table is
intended to help you understand the fund's financial performance for the semiannual period and the past 5 fiscal years. Certain information reflects financial results for a single fund share. The total returns in the
table represent the rate that an investor would have earned (or lost) on an investment in the fund share class (assuming reinvestment of all distributions) held for the entire period.
| Six months ended | Year ended | |||||
| 4/30/23 (unaudited) | 10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | |
| Net asset value, beginning of period | $4.73 | $6.12 | $6.19 | $6.37 | $6.06 | $6.67 |
| Income (loss) from investment operations | ||||||
| Net investment income (loss) (d) | $0.14 | $0.25 | $0.28 | $0.29 | $0.28 | $0.25 |
| Net realized and unrealized gain (loss) | 0.32 | (1.21) | 0.15 | (0.01) | 0.50 | (0.38) |
| Total from investment operations | $0.46 | $(0.96) | $0.43 | $0.28 | $0.78 | $(0.13) |
| Less distributions declared to shareholders | ||||||
| From net investment income | $(0.06) | $(0.39) | $(0.30) | $(0.34) | $(0.29) | $(0.29) |
| From tax return of capital | — | (0.05) | (0.20) | (0.15) | (0.21) | (0.22) |
| From other sources | (0.14) | — | — | — | — | — |
| Total distributions declared to shareholders | $(0.20) | $(0.44) | $(0.50) | $(0.49) | $(0.50) | $(0.51) |
| Net increase from repurchase of capital shares | $0.01 | $0.01 | $— | $0.03 | $0.03 | $0.03 |
| Net asset value, end of period (x) | $5.00 | $4.73 | $6.12 | $6.19 | $6.37 | $6.06 |
| Market value, end of period | $4.59 | $4.32 | $6.58 | $5.67 | $6.01 | $5.24 |
| Total return at market value (%) | 10.84(n) | (28.43) | 25.80 | 2.77 | 25.05 | (7.01) |
| Total return at net asset value (%) (j)(s)(x) | 10.28(n) | (15.74) | 7.18 | 5.86 | 14.60 | (0.68) |
| Ratios (%) (to average net assets) and Supplemental data: | ||||||
| Expenses | 2.75(a) | 1.40 | 1.01 | 1.17 | 1.56 | 1.33 |
| Net investment income (loss) | 5.50(a) | 4.57 | 4.40 | 4.63 | 4.54 | 4.00 |
| Portfolio turnover | 33(n) | 56 | 70 | 78 | 65 | 47 |
| Net assets at end of period (000 omitted) | $292,317 | $281,814 | $369,818 | $372,635 | $407,859 | $407,535 |
| Supplemental Ratios (%): | ||||||
| Ratios of expenses to average net assets excluding interest expense and fees | 0.98(a) | 0.86 | 0.81 | 0.84 | 0.84 | 0.80 |
| Senior Securities: | ||||||
| Total notes payable outstanding (000 omitted) | $95,000 | $100,000 | $100,000 | $100,000 | $100,000 | $100,000 |
| Asset coverage per $1,000 of indebtedness (k) | $4,077 | $3,818 | $4,698 | $4,726 | $5,079 | $5,075 |
See Notes to Financial Statements
44
Financial Highlights – continued
| (a) | Annualized. |
| (d) | Per share data is based on average shares outstanding. |
| (j) | Total return at net asset value is calculated using the net asset value of the fund, not the publicly traded price and therefore may be different than the total return at market value. |
| (k) | Calculated by subtracting the fund's total liabilities (not including notes payable) from the fund's total assets and dividing this number by the notes payable outstanding and then multiplying by 1,000. |
| (n) | Not annualized. |
| (s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
| (x) | The net asset values and total returns at net asset value have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
See Notes to Financial Statements
45
Notes to Financial Statements
(unaudited)
(1) Business and
Organization
MFS Multimarket Income Trust (the
fund) is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as a diversified closed-end management investment company.
The fund is an investment company
and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment
Companies.
(2) Significant Accounting
Policies
General — The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the
reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations
during the reporting period. Actual results could differ from those estimates. In the preparation of these financial statements, management has evaluated subsequent events occurring after the date of the fund’s
Statement of Assets and Liabilities through the date that the financial statements were issued. The fund invests in high-yield securities rated below investment grade. Investments in below investment grade quality securities can involve a substantially greater risk of default or can
already be in default, and their values can decline significantly. Below investment grade quality securities tend to be more sensitive to adverse news about the issuer, or the market or economy in general, than higher
quality debt instruments. The fund invests in foreign securities, including securities of emerging market issuers. Investments in foreign securities are vulnerable to the effects of changes in the relative values
of the local currency and the U.S. dollar and to the effects of changes in each country’s market, economic, industrial, political, regulatory, geopolitical, environmental, public health, and other conditions.
Investments in emerging markets can involve additional and greater risks than the risks associated with investments in developed foreign markets. Emerging markets can have less developed markets, greater custody and
operational risk, less developed legal, regulatory, accounting, and auditing systems, greater government involvement in the economy, greater risk of new or inconsistent government treatment of or restrictions on
issuers and instruments, and greater political, social, and economic instability than developed markets.
Balance Sheet Offsetting — The fund's accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the International
Swaps and Derivatives Association (ISDA) Master Agreement, or similar agreement, does not result in an offset of reported amounts of financial assets and financial liabilities in the Statement of Assets and
Liabilities across transactions between the fund and the applicable counterparty. The fund's right to setoff may be restricted or prohibited by the bankruptcy or insolvency laws of the particular jurisdiction to which
a specific master netting agreement counterparty is subject. Balance sheet offsetting disclosures, to the extent applicable to the fund, have been included in the fund’s Significant Accounting Policies note
under the captions for each of the fund’s in-scope financial instruments and transactions.
46
Notes to Financial
Statements (unaudited) - continued
Investment Valuations — Subject to its oversight, the fund's Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments to MFS as
the fund's adviser, pursuant to the fund’s valuation policy and procedures which have been adopted by the adviser and approved by the Board. In accordance with Rule 2a-5 under the Investment Company Act of
1940, the Board of Trustees designated the adviser as the “valuation designee” of the fund. If the adviser, as valuation designee, determines that reliable market quotations are not readily available for
an investment, the investment is valued at fair value as determined in good faith by the adviser in accordance with the adviser’s fair valuation policy and procedures.
Under the fund's valuation policy
and procedures, equity securities, including restricted equity securities, are generally valued at the last sale or official closing price on their primary market or exchange as provided by a third-party pricing
service. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation on their primary market or exchange as provided by a third-party pricing
service. Debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with
a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value.
Exchange-traded options are generally valued at the
last sale or official closing price on their primary exchange as provided by a third-party pricing service. Exchange-traded options for which there were no sales reported that day are generally valued at the last
daily bid quotation on their primary exchange as provided by a third-party pricing service. For put options, the position may be valued at the last daily ask quotation if there are no trades reported during the day.
Options not traded on an exchange are generally valued at a broker/dealer bid quotation. Foreign currency options are generally valued at valuations provided by a third-party pricing service. Futures contracts are
generally valued at last posted settlement price on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are
generally valued at the closing bid quotation on their primary exchange as provided by a third-party pricing service.
Forward foreign currency exchange contracts are
generally valued at the mean of bid and asked prices for the time period interpolated from rates provided by a third-party pricing service for proximate time periods. Swap agreements are generally valued using
valuations provided by a third-party pricing service, which for cleared swaps includes an evaluation of any trading activity at the clearinghouses. Open-end investment companies are generally valued at net asset value
per share. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party
pricing service.
Under the fund’s valuation
policy and procedures, market quotations are not considered to be readily available for debt instruments, floating rate loans, and many types of derivatives. These investments are generally valued at fair value based
on information from third-party pricing services or otherwise determined by the adviser in accordance with the adviser’s fair valuation policy and procedures. Securities and other assets generally valued on the
basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. In determining values, third-party pricing services can utilize both transaction data and market information
such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, spreads and other
47
Notes to Financial
Statements (unaudited) - continued
market data. An investment may also be valued at
fair value if the adviser determines that the investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as
foreign exchange or market) and prior to the determination of the fund’s net asset value, or after the halt of trading of a specific security where trading does not resume prior to the close of the exchange or
market on which the security is principally traded. Events that occur after foreign markets close (such as developments in foreign markets and significant movements in the U.S. markets) and prior to the determination
of the fund’s net asset value may be deemed to have a material effect on the value of securities traded in foreign markets. Accordingly, the fund’s foreign equity securities may often be valued at fair
value. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment
characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The
value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used
to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it
were to sell the investment at the same time at which the fund determines its net asset value per share.
Various inputs are used in
determining the value of the fund's assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value
hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund's assessment of the significance of a
particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or
liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes significant
unobservable inputs, which may include the adviser's own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts, forward foreign
currency exchange contracts, and swap agreements. The following is a summary of the levels used as of April 30, 2023 in valuing the fund's assets and liabilities:
48
Notes to Financial
Statements (unaudited) - continued
| Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
| Equity Securities: | ||||
| Luxembourg | $— | $189,896 | $— | $189,896 |
| United States | — | — | 174,221 | 174,221 |
| United Kingdom | — | 4,399 | — | 4,399 |
| U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 7,815,928 | — | 7,815,928 |
| Non - U.S. Sovereign Debt | — | 70,232,551 | — | 70,232,551 |
| Municipal Bonds | — | 1,203,757 | — | 1,203,757 |
| U.S. Corporate Bonds | — | 183,458,018 | — | 183,458,018 |
| Commercial Mortgage-Backed Securities | — | 5,186,971 | — | 5,186,971 |
| Asset-Backed Securities (including CDOs) | — | 8,639,212 | — | 8,639,212 |
| Foreign Bonds | — | 98,564,853 | — | 98,564,853 |
| Mutual Funds | 7,927,259 | — | — | 7,927,259 |
| Total | $7,927,259 | $375,295,585 | $174,221 | $383,397,065 |
| Other Financial Instruments | ||||
| Futures Contracts – Assets | $1,105,458 | $— | $— | $1,105,458 |
| Futures Contracts – Liabilities | (2,663,661) | — | — | (2,663,661) |
| Forward Foreign Currency Exchange Contracts – Assets | — | 760,006 | — | 760,006 |
| Forward Foreign Currency Exchange Contracts – Liabilities | — | (560,149) | — | (560,149) |
| Swap Agreements – Assets | — | 87,362 | — | 87,362 |
For further information regarding
security characteristics, see the Portfolio of Investments.
The following is a reconciliation of
level 3 assets for which significant unobservable inputs were used to determine fair value. The table presents the activity of level 3 securities held at the beginning and the end of the period.
| Equity Securities | |
| Balance as of 10/31/22 | $323,557 |
| Realized gain (loss) | 120,538 |
| Change in unrealized appreciation or depreciation | (149,336) |
| Disposed of as part of a corporate action | (120,538) |
| Balance as of 4/30/23 | $174,221 |
The net change in unrealized
appreciation or depreciation from investments held as level 3 at April 30, 2023 is $(39,639). At April 30, 2023, the fund held one level 3 security.
Foreign Currency Translation — Purchases and sales of foreign investments, income, and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such
transactions or on the reporting date for foreign denominated receivables and payables. Gains and losses attributable to foreign
49
Notes to Financial
Statements (unaudited) - continued
currency exchange rates on sales of securities are
recorded for financial statement purposes as net realized gains and losses on investments. Gains and losses attributable to foreign exchange rate movements on receivables, payables, income and expenses are recorded
for financial statement purposes as foreign currency transaction gains and losses. That portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency
exchange rates is not separately disclosed.
Derivatives — The fund uses derivatives primarily to increase or decrease exposure to a particular market or segment of the market, or security, to increase or decrease interest rate or currency
exposure, or as alternatives to direct investments. Derivatives are used for hedging or non-hedging purposes. While hedging can reduce or eliminate losses, it can also reduce or eliminate gains. When the fund uses
derivatives as an investment to increase market exposure, or for hedging purposes, gains and losses from derivative instruments may be substantially greater than the derivative’s original cost.
The derivative instruments used by
the fund during the period were written options, purchased options, futures contracts, forward foreign currency exchange contracts, and swap agreements. Depending on the type of derivative, a fund may exit a
derivative position by entering into an offsetting transaction with a counterparty or exchange, negotiating an agreement with the derivative counterparty, or novating the position to a third party. The fund may be
unable to promptly close out a futures position in instances where the daily fluctuation in the price for that type of future exceeds the daily limit set by the exchange. The fund's period end derivatives, as
presented in the Portfolio of Investments and the associated Derivative Contract tables, generally are indicative of the volume of its derivative activity during the period.
The following table presents, by
major type of derivative contract, the fair value, on a gross basis, of the asset and liability components of derivatives held by the fund at April 30, 2023 as reported in the Statement of Assets and Liabilities:
| Fair Value (a) | |||
| Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
| Credit | Purchased Option Contracts | $5,594 | $— |
| Interest Rate | Futures Contracts | 1,105,458 | (2,663,661) |
| Foreign Exchange | Forward Foreign Currency Exchange Contracts | 760,006 | (560,149) |
| Credit | Uncleared Swap Agreements | 87,362 | — |
| Total | $1,958,420 | $(3,223,810) | |
| (a) | The value of purchased options outstanding is included in investments in unaffiliated issuers, at value, within the Statement of Assets and Liabilities. Values presented in this table for futures contracts correspond to the values reported in the Portfolio of Investments. Only the current day net variation margin for futures contracts is reported separately within the Statement of Assets and Liabilities. |
50
Notes to Financial
Statements (unaudited) - continued
The following table presents, by
major type of derivative contract, the realized gain (loss) on derivatives held by the fund for the six months ended April 30, 2023 as reported in the Statement of Operations:
| Risk | Futures Contracts | Swap Agreements | Forward Foreign Currency Exchange Contracts | Unaffiliated Issuers (Purchased Options) | Written Options |
| Interest Rate | $2,443,803 | $— | $— | $— | $— |
| Foreign Exchange | — | — | (5,242,243) | — | — |
| Credit | — | 135,935 | — | 185,592 | 203,480 |
| Total | $2,443,803 | $135,935 | $(5,242,243) | $185,592 | $203,480 |
The following table presents, by
major type of derivative contract, the change in unrealized appreciation or depreciation on derivatives held by the fund for the six months ended April 30, 2023 as reported in the Statement of Operations:
| Risk | Futures Contracts | Swap Agreements | Forward Foreign Currency Exchange Contracts | Unaffiliated Issuers (Purchased Options) | Written Options |
| Interest Rate | $(3,905,365) | $— | $— | $— | $— |
| Foreign Exchange | — | — | 1,122,954 | — | — |
| Credit | — | 13,023 | — | (112,759) | (41,385) |
| Total | $(3,905,365) | $13,023 | $1,122,954 | $(112,759) | $(41,385) |
Derivative counterparty credit risk
is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain, but not all, uncleared derivatives, the fund attempts to reduce its exposure to counterparty credit risk
whenever possible by entering into an ISDA Master Agreement on a bilateral basis. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if
there is a specified deterioration in the credit quality of the other party. Upon an event of default or a termination of the ISDA Master Agreement, the non-defaulting party has the right to close out all transactions
traded under such agreement and to net amounts owed under each agreement to one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the ISDA
Master Agreement could result in a reduction of the fund's credit risk to such counterparty equal to any amounts payable by the fund under the applicable transactions, if any.
Collateral and margin requirements
differ by type of derivative. For cleared derivatives (e.g., futures contracts, cleared swaps, and exchange-traded options), margin requirements are set by the clearing broker and the clearing house and collateral, in
the form of cash or securities, is posted by the fund directly with the clearing broker. Collateral terms are counterparty agreement specific for uncleared derivatives (e.g., forward foreign currency exchange
contracts, uncleared swap agreements, and uncleared options) and collateral, in the form of cash and securities, is held in segregated accounts with the fund's custodian in connection with these agreements. For
derivatives traded under an ISDA Master Agreement, which contains a credit support annex, the collateral requirements are netted across all transactions traded under such counterparty-specific agreement and an amount
is posted from one party to the other to collateralize such obligations. Cash that has been segregated or
51
Notes to Financial
Statements (unaudited) - continued
delivered to cover the fund's collateral or margin
obligations under derivative contracts, if any, will be reported separately in the Statement of Assets and Liabilities as restricted cash for uncleared derivatives and/or deposits with brokers for cleared derivatives.
Securities pledged as collateral or margin for the same purpose, if any, are noted in the Portfolio of Investments. The fund may be required to make payments of interest on uncovered collateral or margin obligations
with the broker. Any such payments are included in “Interest expense and fees” in the Statement of Operations.
Written Options — In exchange for a premium, the fund wrote put options on securities for which it anticipated the price would increase. At the time the option was written, the fund believed the
premium received exceeded the potential loss that could result from adverse price changes in the options’ underlying securities. In a written option, the fund as the option writer grants the buyer the right to
purchase from, or sell to, the fund a specified number of shares or units of a particular security, currency or index at a specified price within a specified period of time.
The premium received is initially
recorded as a liability in the Statement of Assets and Liabilities. The option is subsequently marked-to-market daily with the difference between the premium received and the market value of the written option being
recorded as unrealized appreciation or depreciation. When a written option expires, the fund realizes a gain equal to the amount of the premium received. The difference between the premium received and the amount paid
on effecting a closing transaction is considered a realized gain or loss. When a written put option is exercised, the premium reduces the cost basis of the security purchased by the fund.
At the initiation of the written
option contract, for exchange traded options, the fund is required to deposit securities or cash as collateral with the custodian for the benefit of the broker or directly with the clearing broker, based on the type
of option. For uncleared options, the fund may post collateral subject to the terms of an ISDA Master Agreement as generally described above if the market value of the options contract moves against it. The fund, as
writer of an option, may have no control over whether the underlying securities may be sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the securities
underlying the written option. Losses from writing options can exceed the premium received and can exceed the potential loss from an ordinary buy and sell transaction. Although the fund’s market risk may be
significant, the maximum counterparty credit risk to the fund is equal to the market value of any collateral posted to the broker. For uncleared options, this risk is mitigated in cases where there is an ISDA Master
Agreement between the fund and the counterparty providing for netting as described above.
Purchased Options — The fund purchased call and put options for a premium. Purchased call and put options entitle the holder to buy and sell a specified number of shares or units of a particular
security, currency or index at a specified price at a specified date or within a specified period of time. Purchasing call options may hedge against an anticipated increase in the dollar cost of securities or currency
to be acquired or increase the fund’s exposure to an underlying instrument. Purchasing put options may hedge against an anticipated decline in the value of portfolio securities or currency or decrease the fund's
exposure to an underlying instrument.
The premium paid is initially
recorded as an investment in the Statement of Assets and Liabilities. That investment is subsequently marked-to-market daily with the difference between the premium paid and the market value of the purchased option
being recorded as unrealized appreciation or depreciation. Premiums paid for purchased call
52
Notes to Financial
Statements (unaudited) - continued
and put options which have expired are treated as
realized losses on investments in the Statement of Operations. Upon the exercise or closing of a purchased call option, the premium paid is added to the cost of the security or financial instrument purchased. Upon the
exercise or closing of a purchased put option, the premium paid is offset against the proceeds on the sale of the underlying security or financial instrument in order to determine the realized gain or loss on
investments.
Whether or not the option is
exercised, the fund's maximum risk of loss from purchasing an option is the amount of premium paid. All option contracts involve credit risk if the counterparty to the option contract fails to perform. For uncleared
options, this risk is mitigated in cases where there is an ISDA Master Agreement between the fund and the counterparty providing for netting as described above and, where applicable, by the posting of collateral by
the counterparty to the fund to cover the fund’s exposure to the counterparty under such ISDA Master Agreement.
Futures Contracts — The fund entered into futures contracts which may be used to hedge against or obtain broad market exposure, interest rate exposure, currency exposure, or to manage duration. A
futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a futures
contract, the fund is required to deposit with the broker, either in cash or securities, an initial margin in an amount equal to a specified percentage of the notional amount of the contract. Subsequent payments
(variation margin) are made or received by the fund each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gain or loss by the fund
until the contract is closed or expires at which point the gain or loss on futures contracts is realized.
The fund bears the risk of interest
rates, exchange rates or securities prices moving unexpectedly, in which case, the fund may not achieve the anticipated benefits of the futures contracts and may realize a loss. While futures contracts may present
less counterparty risk to the fund since the contracts are exchange traded and the exchange’s clearinghouse guarantees payments to the broker, there is still counterparty credit risk due to the insolvency of the
broker. The fund’s maximum risk of loss due to counterparty credit risk is equal to the margin posted by the fund to the broker plus any gains or minus any losses on the outstanding futures contracts.
Forward Foreign Currency Exchange
Contracts — The fund entered into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. These contracts may be
used to hedge the fund’s currency risk or for non-hedging purposes. For hedging purposes, the fund may enter into contracts to deliver or receive foreign currency that the fund will receive from or use in its
normal investment activities. The fund may also use contracts to hedge against declines in the value of foreign currency denominated securities due to unfavorable exchange rate movements. For non-hedging purposes, the
fund may enter into contracts with the intent of changing the relative exposure of the fund’s portfolio of securities to different currencies to take advantage of anticipated exchange rate changes.
53
Notes to Financial
Statements (unaudited) - continued
Forward foreign currency exchange
contracts are adjusted by the daily exchange rate of the underlying currency and any unrealized gains or losses are recorded as a receivable or payable for forward foreign currency exchange contracts until the
contract settlement date. On contract settlement date, any gain or loss on the contract is recorded as realized gains or losses on forward foreign currency exchange contracts.
Risks may arise upon entering into
these contracts from unanticipated movements in the value of the contract and from the potential inability of counterparties to meet the terms of their contracts. Generally, the fund’s maximum risk due to
counterparty credit risk is the unrealized gain on the contract due to the use of Continuous Linked Settlement, a multicurrency cash settlement system for the centralized settlement of foreign transactions. This risk
is mitigated in cases where there is an ISDA Master Agreement between the fund and the counterparty providing for netting as described above and, where applicable, by the posting of collateral by the counterparty to
the fund to cover the fund’s exposure to the counterparty under such ISDA Master Agreement.
Swap Agreements — The fund entered into swap agreements which generally involve a periodic exchange of cash payments on a net basis, at specified intervals or upon the occurrence of specified
events, between the fund and a counterparty. Certain swap agreements may be entered into as a bilateral contract (“uncleared swaps”) while others are required to be centrally cleared (“cleared
swaps”).
Both cleared and uncleared swap
agreements are marked to market daily. The value of uncleared swap agreements is reported in the Statement of Assets and Liabilities as “Uncleared swaps, at value” which includes any related interest
accruals to be paid or received by the fund. For cleared swaps, payments (variation margin) are made or received by the fund each day, depending on the daily fluctuations in the value of the cleared swap, such that
only the current day net receivable or payable for variation margin is reported in the Statement of Assets and Liabilities.
For both cleared and uncleared
swaps, premiums paid or received at the inception of the agreements are amortized over the term of the agreement as realized gain or loss on swap agreements in the Statement of Operations. The periodic exchange of net
cash payments, as well as any liquidation payment received or made upon early termination, are recorded as a realized gain or loss on swap agreements in the Statement of Operations. The change in unrealized
appreciation or depreciation on swap agreements in the Statement of Operations reflects the aggregate change over the reporting period in the value of swaps net of any unamortized premiums paid or received.
Risks related to swap agreements
include the possible lack of a liquid market, unfavorable market and interest rate movements of the underlying instrument and the failure of the counterparty to perform under the terms of the agreements. The fund's
maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the contract's remaining life, to the extent that the amount is
positive. To address counterparty risk, uncleared swap agreements are limited to only highly-rated counterparties. Risk is further reduced by having an ISDA Master Agreement (“ISDA”) between the fund and
the counterparty and, where applicable, by the posting of collateral by the counterparty to the fund to
54
Notes to Financial
Statements (unaudited) - continued
cover the fund’s exposure to the counterparty
under such ISDA. The fund's counterparty risk due to cleared swaps is mitigated by the fact that the clearinghouse is the true counterparty to the transaction and the regulatory requirement safeguards in the event of
a clearing broker bankruptcy.
The fund entered into credit default
swap agreements in order to manage its exposure to the market or certain sectors of the market, to reduce its credit risk exposure to defaults of corporate and sovereign issuers or to create exposure to corporate or
sovereign issuers to which it is not otherwise exposed. A credit default swap’s reference obligation may be either a single security or a basket of securities issued by corporate or sovereign issuers. At the
inception of the agreement, the protection buyer may make an upfront payment to or receive an upfront payment from the protection seller. Over the term of the agreement, the protection buyer will make a series of
periodic payments to the protection seller based on a fixed percentage applied to the agreement’s notional amount in exchange for a promise from the protection seller to make a specific payment should a defined
credit event occur with respect to the reference obligation. Although agreement-specific, credit events generally consist of a combination of the following: bankruptcy, failure to pay, restructuring, obligation
acceleration, obligation default, or repudiation/moratorium. If a defined credit event occurs, the protection buyer will either (i) receive from the protection seller an amount equal to the agreement’s notional
amount and deliver the reference obligation (i.e., physical settlement) or (ii) receive from the protection seller a net settlement of cash equal to the agreement’s notional amount less the recovery value of the
reference obligation. Upon determination of the final price for the reference obligation (or upon delivery of the reference obligation in the case of physical settlement), the difference between the recovery value of
the reference obligation and the agreement’s notional amount is recorded as realized gain or loss on swap agreements in the Statement of Operations.
Credit default swap agreements are
considered to have credit-risk-related contingent features since they trigger payment by the protection seller to the protection buyer upon the occurrence of a defined credit event. The maximum amount of future,
undiscounted payments that the fund, as protection seller, could be required to make is equal to the swap agreement’s notional amount. The protection seller’s payment obligation would be offset to the
extent of the value of the agreement’s deliverable obligation. At April 30, 2023, the fund did not hold any credit default swap agreements at an unrealized loss where it is the protection seller. The
fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the agreement.
Statement of Cash Flows — Information on financial transactions which have been settled through the receipt or disbursement of cash or restricted cash is presented in the Statement of Cash Flows. Cash as
presented in the fund's Statement of Assets and Liabilities includes cash on hand at the fund's custodian bank and does not include any short-term investments. Restricted cash is presented in the fund's Statement of
Assets and Liabilities as restricted cash for uncleared derivatives and/or deposits with brokers for cleared derivatives and represents cash that has been segregated or delivered to cover the fund's collateral or
margin obligations under derivative contracts.
55
Notes to Financial
Statements (unaudited) - continued
The following table provides a
reconciliation of cash and restricted cash reported within the Statement of Assets and Liabilities with that shown in the Statement of Cash Flows:
| 4/30/23 | |
| Cash | $231,565 |
| Restricted cash | — |
| Restricted cash included in deposits with brokers | — |
| Total cash and restricted cash in the Statement of Cash Flows | $231,565 |
Indemnifications — Under the fund's organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to
the fund. Additionally, in the normal course of business, the fund enters into agreements with service providers that may contain indemnification clauses. The fund's maximum exposure under these agreements is unknown
as this would involve future claims that may be made against the fund that have not yet occurred.
Investment Transactions and
Income — Investment transactions are recorded on the trade date. Some securities may be purchased or sold on an extended settlement basis, which means that the receipt or delivery of the securities by the fund and related payments occur at a future
date, usually beyond the customary settlement period.
Interest income is recorded on the accrual basis.
All premium and discount is amortized or accreted for financial statement purposes in accordance with U.S. generally accepted accounting principles. Dividends received in cash are recorded on the ex-dividend date.
Certain dividends from foreign securities will be recorded when the fund is informed of the dividend if such information is obtained subsequent to the ex-dividend date. Dividend and interest payments received in
additional securities are recorded on the ex-dividend or ex-interest date in an amount equal to the value of the security on such date. In determining the net gain or loss on securities sold, the cost of securities is
determined on the identified cost basis.
The fund may receive proceeds from
litigation settlements. Any proceeds received from litigation involving portfolio holdings are reflected in the Statement of Operations in realized gain/loss if the security has been disposed of by the fund or in
unrealized gain/loss if the security is still held by the fund. Any other proceeds from litigation not related to portfolio holdings are reflected as other income in the Statement of Operations.
The fund may purchase or sell
securities on a when-issued or delayed delivery basis. In these extended settlement transactions, the receipt or delivery of the securities by the fund and related payments occur at a future date, usually beyond the
normal settlement period. The price of such security and the date that the security will be settled are generally fixed at the time the transaction is negotiated. The value of the security varies with market
fluctuations and for debt securities no interest accrues to the fund until settlement takes place. When the fund sells securities on a when-issued or delayed delivery basis, the fund typically owns or has the right to
acquire securities equivalent in kind and amount to the securities sold. Purchase and sale commitments for when-issued or delayed delivery securities are held at carrying amount, which approximates fair value and are
categorized as level 2 within the fair value hierarchy, and included in When-issued investments purchased in the Statement of Assets and
56
Notes to Financial
Statements (unaudited) - continued
Liabilities. Losses may arise due to changes in the
value of the underlying securities prior to settlement date or if the counterparty does not perform under the contract’s terms, or if the issuer does not issue the securities due to political, economic or other
factors.
To mitigate the counterparty credit
risk on TBA transactions, mortgage dollar rolls, and other types of forward settling mortgage-backed and asset-backed security transactions, the fund whenever possible enters into a Master Securities Forward
Transaction Agreement (“MSFTA”) on a bilateral basis with each of the counterparties with whom it undertakes a significant volume of transactions. The MSFTA gives each party to the agreement the right to
terminate all transactions traded under such agreement if there is a specified deterioration in the credit quality of the other party. Upon an event of default or a termination of the MSFTA, the non-defaulting party
has the right to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net amount payable by one party to the other. This right to close out and net payments
across all transactions traded under the MSFTA could result in a reduction of the fund's credit risk to such counterparty equal to any amounts payable by the fund under the applicable transactions, if any.
For mortgage-backed and asset-backed
securities traded under a MSFTA, the collateral and margining requirements are contract specific. Collateral amounts across all transactions traded under such agreement are netted and an amount is posted from one
party to the other to collateralize such obligations. Cash that has been pledged to cover the fund's collateral or margin obligations under a MSFTA, if any, will be reported separately on the Statement of Assets and
Liabilities as restricted cash. Securities pledged as collateral or margin for the same purpose, if any, are noted in the Portfolio of Investments.
Tax Matters and Distributions — The fund intends to qualify as a regulated investment company, as defined under Subchapter M of the Internal Revenue Code, and to distribute all of its taxable income, including
realized capital gains. As a result, no provision for federal income tax is required. The fund’s federal tax returns, when filed, will remain subject to examination by the Internal Revenue Service for a three
year period. Management has analyzed the fund’s tax positions taken on federal and state tax returns for all open tax years and does not believe that there are any uncertain tax positions that require
recognition of a tax liability. Foreign taxes, if any, have been accrued by the fund in the accompanying financial statements in accordance with the applicable foreign tax law. Foreign income taxes may be withheld by
certain countries in which the fund invests. Additionally, capital gains realized by the fund on securities issued in or by certain foreign countries may be subject to capital gains tax imposed by those
countries.
Distributions to shareholders are
recorded on the ex-dividend date. The fund employs a managed distribution policy whereby the fund seeks to pay monthly distributions based on an annual rate of 8.00% of the fund’s average monthly net asset
value. As a result, distributions may exceed actual earnings which may result in a tax return of capital. Distributions in any year may include a substantial return of capital component. Please refer to the Financial
Highlights for distributions of tax returns of capital made during the prior five years. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S.
generally accepted accounting principles. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments
57
Notes to Financial
Statements (unaudited) - continued
have no impact on net assets or net asset value per
share. Temporary differences which arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future.
Book/tax differences primarily
relate to defaulted bonds, amortization and accretion of debt securities, wash sale loss deferrals, and derivative transactions.
For the six months ended April 30,
2023, the amount of distributions estimated to be a tax return of capital was approximately $8,240,627 which is reported as distributions from other sources in the Statements of Changes in Net Assets. All or a portion
of this amount may be redesignated as capital gains at fiscal year end.
The tax character of distributions
made during the current period will be determined at fiscal year end. The tax character of distributions declared to shareholders for the last fiscal year is as follows:
| Year ended 10/31/22 | |
| Ordinary income (including any short-term capital gains) | $23,699,603 |
| Tax return of capital (b) | 2,886,930 |
| Total distributions | $26,586,533 |
| (b) | Distributions in excess of tax basis earnings and profits are reported in the financial statements as a tax return of capital. |
The federal tax cost and the tax
basis components of distributable earnings were as follows:
| As of 4/30/23 | |
| Cost of investments | $419,539,667 |
| Gross appreciation | 5,347,178 |
| Gross depreciation | (41,489,780) |
| Net unrealized appreciation (depreciation) | $(36,142,602) |
| As of 10/31/22 | |
| Capital loss carryforwards | (10,323,878) |
| Other temporary differences | (267,082) |
| Net unrealized appreciation (depreciation) | (75,850,687) |
The aggregate cost above includes
prior fiscal year end tax adjustments, if applicable.
As of October 31, 2022, the fund had
capital loss carryforwards available to offset future realized gains. These net capital losses may be carried forward indefinitely and their character is retained as short-term and/or long-term losses. Such losses are
characterized as follows:
| Short-Term | $(3,110,551) |
| Long-Term | (7,213,327) |
| Total | $(10,323,878) |
(3) Transactions with
Affiliates
Investment Adviser — The fund has an investment advisory agreement with MFS to provide overall investment management and related administrative services and facilities to the fund. The management fee is computed daily and paid monthly at an
58
Notes to Financial
Statements (unaudited) - continued
annual rate of 0.34% of the fund’s average
daily net assets and 5.40% of gross income. Gross income is calculated based on tax elections that generally include the accretion of discount and exclude the amortization of premium, which may differ from investment
income reported in the Statement of Operations. The management fee, from net assets and gross income, incurred for the six months ended April 30, 2023 was equivalent to an annual effective rate of 0.79% of the
fund’s average daily net assets.
Transfer Agent — The fund engages Computershare Trust Company, N.A. (“Computershare”) as the sole transfer agent for the fund. MFS Service Center, Inc. (MFSC) monitors and supervises
the activities of Computershare for an agreed upon fee approved by the Board of Trustees. For the six months ended April 30, 2023, these fees paid to MFSC amounted to $16,331.
Administrator — MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to the fund. Under an administrative services agreement, the fund
reimburses MFS the costs incurred to provide these services. The fund is charged an annual fixed amount of $17,500 plus a fee based on average daily net assets. The administrative services fee incurred for the six
months ended April 30, 2023 was equivalent to an annual effective rate of 0.0182% of the fund's average daily net assets.
Trustees’ and Officers’
Compensation — The fund pays compensation to independent Trustees in the form of a retainer, attendance fees, and additional compensation to Board and Committee chairpersons. The fund does not
pay compensation directly to Trustees or officers of the fund who are also officers of the investment adviser, all of whom receive remuneration from MFS for their services to the fund. Certain officers and Trustees of
the fund are officers or directors of MFS and MFSC.
Prior to December 31, 2001, the fund
had an unfunded defined benefit plan (“DB plan”) for independent Trustees. As of December 31, 2001, the Board took action to terminate the DB plan with respect to then-current and any future independent
Trustees, such that the DB plan covers only certain of those former independent Trustees who retired on or before December 31, 2001. The DB plan resulted in a pension expense of $2,708 and is included in
“Independent Trustees’ compensation” in the Statement of Operations for the six months ended April 30, 2023. The liability for deferred retirement benefits payable to those former independent
Trustees under the DB plan amounted to $2,495 at April 30, 2023, and is included in “Payable for independent Trustees’ compensation” in the Statement of Assets and Liabilities.
Other — The fund invests in the MFS Institutional Money Market Portfolio which is managed by MFS and seeks current income consistent with preservation of capital and liquidity. This money
market fund does not pay a management fee to MFS but does incur investment and operating costs.
59
Notes to Financial
Statements (unaudited) - continued
(4) Portfolio Securities
For the six months ended April 30,
2023, purchases and sales of investments, other than purchased options with an expiration date of less than one year from the time of purchase and short-term obligations, were as follows:
| Purchases | Sales | |
| U.S. Government securities | $17,358,903 | $23,002,935 |
| Non-U.S. Government securities | 108,945,859 | 121,148,586 |
(5) Shares of Beneficial
Interest
The fund's Declaration of Trust
permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest. The Trustees have authorized the repurchase by the fund of up to 10% annually of its own shares of beneficial
interest.
The fund repurchased 1,087,274 shares of beneficial
interest during the six months ended April 30, 2023 at an average price per share of $4.51 and a weighted average discount of 8.58% per share. The fund repurchased 938,371 shares of beneficial interest during the year
ended October 31, 2022 at an average price per share of $4.44 and a weighted average discount of 9.10% per share. Transactions in fund shares were as follows:
| Six months ended 4/30/23 | Year ended 10/31/22 | ||||
| Shares | Amount | Shares | Amount | ||
| Shares issued to shareholders in reinvestment of distributions | — | $— | 63,638 | $386,633 | |
| Capital shares repurchased | (1,087,274) | (4,901,741) | (938,371) | (4,164,796) | |
| Net change | (1,087,274) | $(4,901,741) | (874,733) | $(3,778,163) | |
(6) Loan Agreement
The fund has a credit agreement with
a bank for a revolving secured line of credit that can be drawn upon up to $100,000,000. At April 30, 2023, the fund had outstanding borrowings under this agreement in the amount of $95,000,000, which are secured by a
lien on the fund’s assets. The loan’s carrying value in the fund’s Statement of Assets and Liabilities approximates its fair value. The loan value as of the reporting date is considered level 2 under
the fair value hierarchy. The credit agreement matures on August 19, 2023. Borrowings under the agreement can be made for liquidity or leverage purposes. Interest is charged at a rate per annum equal to SOFR plus
0.10% plus an agreed upon spread with the option to choose SOFR periods of 1 or 3 months, or at the option of the borrower an alternate base rate plus an agreed upon spread. The fund incurred interest expense of
$2,536,862 during the period, which is included in “Interest expense and fees” in the Statement of Operations. The fund may also be charged a commitment fee based on the average daily unused portion of the
line of credit. The fund paid a commitment fee of $543 during the period, which is included in “Interest expense and fees” in the Statement of Operations. For the six months ended April 30, 2023, the
average loan balance was $98,922,652 at a weighted average annual interest rate of 5.17%. The fund is subject to certain covenants including, but not limited to, requirements with respect to asset coverage, portfolio
diversification and liquidity.
60
Notes to Financial
Statements (unaudited) - continued
(7) Investments in Affiliated
Issuers
An affiliated issuer may be
considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the following were affiliated issuers:
| Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
| MFS Institutional Money Market Portfolio | $10,670,329 | $86,485,754 | $89,229,945 | $203 | $918 | $7,927,259 |
| Affiliated Issuers | Dividend Income | Capital Gain Distributions |
| MFS Institutional Money Market Portfolio | $134,903 | $— |
(8) LIBOR Transition
Certain of the fund's investments,
including investments in certain debt instruments and derivatives (if any), as well as borrowings by the fund and certain other contractual arrangements of the fund, may be based on the London Interbank Offered Rate
(“LIBOR”). In 2017, the regulatory authority that oversees financial services firms in the United Kingdom announced plans to transition away from LIBOR by the end of 2021. In March 2021, the administrator
of LIBOR announced the extension of the publication of the more commonly used U.S. dollar LIBOR settings to the end of June 2023. Although the full impacts of the transition away from LIBOR are not fully known, the
transition may result in, among other things, an increase in volatility or illiquidity of the markets for instruments that currently rely on LIBOR to determine interest rates and this could have an adverse impact on
the fund's performance. With respect to the fund's accounting for investments, including investments in certain debt instruments and derivatives, as well as borrowings by the fund and any other contractual
arrangements of the fund that undergo reference rate-related modifications as a result of the transition, management will rely upon the relief provided by FASB Codification Topic 848 – Reference Rate Reform
(Topic 848). The guidance in Topic 848 permits the fund to account for those modified contracts as a continuation of the existing contracts. The situation remains fluid, and management believes, based on best
available information, that the impact of the transition will not be material to the fund.
(9) Russia and Ukraine
Conflict
The fund invests in securities
and/or derivative instruments that are economically tied to Russia and/or Ukraine. Escalation of the conflict between Russia and Ukraine in late February 2022 caused market volatility and disruption in the tradability
of Russian securities, including closure of the local securities market, temporary restriction on securities sales by non-residents, and disruptions to clearance and payment systems. To the extent that the fund is
unable to sell securities, whether due to market constraints or to the sanctions imposed on Russia by the United States and other countries, those securities are considered illiquid and the value of those securities
reflects their illiquid classification. Management continues to monitor these events and to evaluate the related impacts on fund performance.
61
Report of Independent Registered Public
Accounting Firm
To the Shareholders and the Board
of Trustees of MFS Multimarket Income Trust
Results of Review of Interim Financial
Statements
We have reviewed the accompanying
statement of assets and liabilities of MFS Multimarket Income Trust (the “Fund”), including the portfolio of investments, as of April 30, 2023, and the related statements of operations, changes in net
assets, cash flows and financial highlights for the six-month period then ended and the related notes (collectively referred to as the “interim financial statements”). Based on our review, we are not aware
of any material modifications that should be made to the interim financial statements for them to be in conformity with U.S. generally accepted accounting principles.
We have previously audited, in
accordance with the standards of the Public Company Accounting Oversight Board (United States) (“PCAOB”), the statement of changes in net assets for the year ended October 31, 2022 and the financial
highlights for each of the five years in the period then ended; and in our report dated December 15, 2022, we expressed an unqualified opinion on those financial statements.
Basis for Review Results
These financial statements are the
responsibility of the Fund's management. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and
the applicable rules and regulations of the SEC and the PCAOB. We conducted our review in accordance with the standards of the PCAOB. A review of interim financial statements consists principally of applying
analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with the standards of the PCAOB, the
objective of which is the expression of an opinion regarding the financial statements taken as a whole. Accordingly, we do not express such an opinion.
Boston, Massachusetts
June 15, 2023
June 15, 2023
62
Proxy Voting Policies and
Information
MFS votes proxies on behalf of the
fund pursuant to proxy voting policies and procedures that are available without charge, upon request, by calling 1-800-225-2606, by visiting mfs.com/proxyvoting, or by visiting the SEC’s Web site at http://www.sec.gov.
Information regarding how the fund
voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available by August 31 of each year without charge by visiting mfs.com/proxyvoting, or by visiting the SEC’s Web site at http://www.sec.gov.
Quarterly Portfolio
Disclosure
The fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s Web site at
http://www.sec.gov. A shareholder can obtain the portfolio holdings report for the first and third quarters of the fund's fiscal year at mfs.com/closedendfunds by choosing the fund's name and then scrolling to the “Resources” section and clicking on the “Prospectus and Reports” tab.
Further Information
From time to time, MFS may post
important information about the fund or the MFS Funds on the MFS Web site (mfs.com). This information is available at https://www.mfs.com/announcements or at mfs.com/closedendfunds by choosing the fund's name and then scrolling to the “Resources” section and clicking on the “Announcements” tab, if any.
Additional information about the
fund (e.g., performance, dividends and the fund’s price history) is also available at mfs.com/closedendfunds by choosing the fund's name, if any.
INFORMATION ABOUT FUND
CONTRACTS AND LEGAL CLAIMS
The fund has entered into
contractual arrangements with an investment adviser, administrator, transfer agent, and custodian who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended
beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them
against the service providers, either directly or on behalf of the fund.
Under the Trust’s By-Laws and
Declaration of Trust, any claims asserted against or on behalf of the MFS Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of
Massachusetts.
63
CONTACT US
TRANSFER AGENT, REGISTRAR, AND
DIVIDEND DISBURSING AGENT
DIVIDEND DISBURSING AGENT
CALL
1-800-637-2304
9 a.m. to 5 p.m. Eastern time
WRITE
Computershare Trust Company, N.A.
P.O. Box 43078
Providence, RI 02940-3078
New York Stock Exchange Symbol:
MMT
