UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT
COMPANIES
Investment Company Act file number 811-4975
MFS MULTIMARKET INCOME TRUST
(Exact name of registrant as specified in charter)
500 Boylston Street,
Boston, Massachusetts 02116
(Address of principal executive offices) (Zip code)
Susan S. Newton
Massachusetts Financial Services Company
500 Boylston Street
Boston, Massachusetts 02116
(Name and address of agents for service)
Registrants telephone number, including
area code: (617) 954-5000
Date of fiscal year end: October 31
Date of reporting period: October 31, 2011
ITEM 1.
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REPORTS TO STOCKHOLDERS.
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MFS® Multimarket
Income Trust
ANNUAL REPORT
October 31, 2011
MMT-ANN
MFS® MULTIMARKET INCOME TRUST
New York Stock Exchange Symbol:
MMT
NOT FDIC INSURED
MAY LOSE VALUE
NO
BANK GUARANTEE
LETTER FROM
THE CHAIRMAN AND CEO
Dear Shareholders:
We are indeed living through some volatile times. Economic uncertainty is everywhere, as it seems no place in the world has been unmoved by crisis this
year. We have seen a devastating earthquake and tsunami that have led to disruptions in the Japanese markets and supply chains. Protests have changed the face of the Middle East and left in their wake
lingering tensions and resultant higher oil prices. We have seen debt limits tested in Europe and the United States and policymakers grappling to craft often unpopular monetary and fiscal
responses at a time when consumers and businesses struggle with what appears to be a slowing global economy. On top of all of that, we have seen long-term U.S. debt lose its Standard & Poors AAA rating.
When markets become volatile, managing risk becomes a top priority for investors and their
advisors. At MFS® risk management is foremost in our minds in all market climates. Our analysts and portfolio managers keep risks firmly in mind when evaluating securities. Additionally, we
have a team of quantitative analysts that measures and assesses the risk profiles of our portfolios and securities on an ongoing basis. The chief investment risk officer, who oversees the team, reports directly to the firms president and chief
investment officer so the risk associated with each portfolio can be assessed objectively and independently of the portfolio management team.
As always, we continue to be mindful of the many economic challenges faced at the local, national, and international levels. It is in times such as these
that we want to remind investors of the merits of maintaining a long-term view, adhering to basic investing principles such as asset allocation and diversification, and working closely with their advisors to research and identify appropriate
investment opportunities.
Respectfully,
Robert J. Manning
Chairman and Chief Executive Officer
MFS Investment Management®
December 16, 2011
The opinions
expressed in this letter are subject to change, may not be relied upon for investment advice, and no forecasts can be guaranteed.
1
PORTFOLIO COMPOSITION
Portfolio structure (i)
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Fixed income sectors (i)
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High Yield Corporates
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57.4%
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Emerging Markets Bonds
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24.4%
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High Grade Corporates
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14.8%
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Non-U.S. Government Bonds
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9.1%
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Commercial Mortgage-Backed Securities
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4.2%
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Mortgage-Backed Securities
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1.7%
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Collateralized Debt Obligations
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0.7%
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Asset-Backed Securities
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0.4%
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Floating Rate Loans
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0.3%
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U.S. Treasury Securities
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(8.6)%
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Composition including fixed income credit quality (a)(i)
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AAA
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6.1%
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AA
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3.3%
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A
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7.4%
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BBB
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24.1%
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BB
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29.1%
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B
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30.0%
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CCC
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9.7%
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CC
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0.4%
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C
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0.1%
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D
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0.5%
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U.S. Government
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2.5%
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Federal Agencies
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1.7%
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Not Rated
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(10.5)%
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Non-Fixed Income
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0.8%
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Cash & Other
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(5.2)%
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Portfolio facts (i)
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Average Duration (d)
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5.5
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Average Effective Maturity (m)
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8.2 yrs.
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Issuer country weightings (i)(x)
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United States
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55.5%
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Brazil
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4.6%
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Canada
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3.7%
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Russia
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3.1%
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Mexico
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2.8%
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United Kingdom
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2.5%
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Indonesia
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2.4%
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Japan
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2.1%
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Italy
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1.9%
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Other Countries
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21.4%
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Portfolio Composition continued
(a)
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For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moodys, Fitch, and
Standard & Poors 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. Ratings are shown in the S&P and Fitch scale (e.g., AAA). All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Federal Agencies includes
rated and unrated U.S. Agency fixed-income securities, U.S. Agency mortgage-backed securities, and collateralized mortgage obligations of U.S. Agency mortgage-backed securities. Not Rated includes fixed income securities, including fixed income
futures, which have not been rated by any rating agency. Non-Fixed Income includes equity securities (including convertible bonds and equity derivatives) and commodities. Cash & Other includes cash, other assets less liabilities, offsets to
derivative positions, and short-term securities. The fund may not hold all of these instruments. The fund itself has not been rated.
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(d)
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Duration is a measure of how much a bonds 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.
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(i)
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For purposes of this presentation, the components include the market value of securities, and reflect the impact of the equivalent exposure of derivative positions, if
applicable. These amounts may be negative from time to time. The bond component will include any accrued interest amounts. 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 portfolios 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 market value. Where the fund holds convertible bonds, these are treated as part of the equity portion of the portfolio.
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(m)
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In determining an instruments effective maturity for purposes of calculating the funds dollar-weighted average effective maturity, MFS uses the instruments
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 instruments stated maturity.
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(x)
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Represents the portfolios exposure to issuer countries as a percentage of a portfolios total net assets.
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From time to time Cash & Other Net Assets may be negative due to borrowings for leverage transactions, timing of cash receipts, and/or equivalent
exposure from any derivative holdings.
Percentages are based on net assets as of 10/31/11.
The portfolio is actively managed and current holdings may be different.
3
MANAGEMENT REVIEW
Summary of Results
MFS Multimarket Income Trust (the fund) is a closed-end fund and
maintains a portfolio that includes investments in high-yield and investment-grade corporate bonds, emerging markets debt securities, U.S. government securities, and international investment-grade debt securities.
For the twelve months ended October 31, 2011, shares of the MFS Multimarket Income Trust provided a total return of 4.73%, at net asset value. This
compares with a return of 5.16% for the funds benchmark, the Barclays Capital U.S. High-Yield Corporate Bond 2% Issuer Capped Index. Effective September 15, 2011 the Barclays Capital U.S. High-Yield Corporate Bond 2% Issuer Capped Index
replaced the Barclays Capital U.S. High-Yield Corporate Bond Index as the funds primary benchmark. The Barclays Capital U.S. High-Yield Corporate Bond Index generated a return of 5.17% over the reporting period. Over the same period, the
funds other benchmark, the MFS Multimarket Income Trust Blended Index Current (the Blended Index), generated a return of 4.70%. The Blended Index reflects the blended returns of various fixed income market indices, with
percentage allocations to each index designed to resemble the fixed income allocations of the fund. The market indices and related percentage allocations used to compile the Blended Index are set forth in the Performance Summary.
Market Environment
Early in the
period, the U.S. Federal Reserve (the Fed) indicated that further monetary loosening would be forthcoming if macroeconomic activity did not show signs of improvement. The prospects for, and subsequent implementation of, more easing by the Fed
improved market sentiment and drove risk-asset prices markedly higher. The December agreement on a surprisingly large (relative to expectations) expansionary U.S. fiscal package also boosted sentiment. During the subsequent several months, the
renewed positive market sentiment, coupled with better indications of global macroeconomic activity, pushed many asset valuations to post-crisis highs. At the same time, global sovereign bond yields rose amidst the more risk-seeking
environment.
However, towards the middle of the period, a weakening macroeconomic backdrop and renewed concerns over Greek debt sustainability
began to challenge equity valuations and pushed high-quality sovereign bond yields lower. Towards the end of the reporting period, uncertainty in financial markets continued to increase. European policy makers debated and disagreed over
elements of a new Greek bailout package, while Spanish and Italian bond yields increased markedly signaling a widening European crisis. In the U.S., concerns about sovereign debt default and the long-term sustainability of the trend in U.S. fiscal
policy resulted in one agency downgrading U.S. credit
4
Management Review continued
quality. Amidst this turmoil, global equity markets declined sharply. As a result of these developments, global consumer and producer sentiment indicators fell precipitously, highly-rated
sovereign bond yields hit multi-decade lows and, despite a more mixed picture emanating from the hard data, markets grew increasingly worried about a return to global recession.
Detractors from Performance
Relative to the Blended Index, the
funds greater exposure to lower-quality credit, particularly to B rated (r) securities, held back performance as these issuers performed poorly during the reporting period as credit spreads widened. A greater relative exposure
to bonds in the
financial
sector also weakened relative returns as holdings within this sector underperformed the Blended Index over the reporting period.
Contributors to Performance
The funds return from yield,
which was greater than that of the Blended Index, was a key contributor to relative performance. Yield curve positioning (y), particularly our greater exposure to shifts in the long end of the yield curve (centered around maturities of 30 or
more years), was another positive factor for the funds relative results.
The funds lesser exposure to Turkish bonds aided relative
performance as these bonds performed poorly over the reporting period.
Respectfully,
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William Adams
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David Cole
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Richard Hawkins
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Matthew Ryan
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Portfolio Manager
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Portfolio Manager
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Portfolio Manager
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Portfolio Manager
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Note to Shareholders: Effective May 1, 2011, William Adams replaced John Addeo as a co-manager of
the fund.
(r)
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Bonds rated BBB, Baa, or higher are considered investment grade; bonds rated BB, Ba, or below are considered non-investment grade.
The source for bond quality ratings is Moodys Investors Service, Standard & Poors and Fitch, Inc. and are applied using 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. Ratings are shown in the S&P and Fitch scale (e.g., AAA). For securities which are not rated by any of the three agencies, the
security is considered Not Rated.
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(y)
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A yield curve graphically depicts the yields of different maturity bonds of the same credit quality and type; a normal yield curve is upward sloping, with short-term rates lower
than long-term rates.
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The views expressed in this report are those of the portfolio managers only through the end of the period of the
report as stated on the cover and do not necessarily reflect the views of MFS or any other person in the MFS organization. These views are subject to change at any time based on market or other conditions, and MFS disclaims any responsibility to
update such views. These views may not be relied upon as investment advice or an indication of trading intent on behalf of any MFS portfolio. References to specific securities are not recommendations of such securities, and may not be representative
of any MFS portfolios current or future investments.
5
PERFORMANCE SUMMARY
THROUGH 10/31/1
1
The following chart represents the funds historical performance in comparison to
its benchmark(s). Investment return and principal value will fluctuate, and shares, when sold, may be worth more or less than their original cost; current performance may be lower or higher than quoted. The performance shown does not reflect the
deduction of taxes, if any, that a shareholder would pay on fund distributions or the sale of fund shares. Performance data shown represents past performance and is no guarantee of future results.
Price Summary for MFS Multimarket Income Trust
Year Ended 10/31/11
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Date
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Price
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Net Asset Value
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10/31/11
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$7.20
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10/31/10
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$7.44
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New York Stock Exchange Price
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10/31/11
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$6.68
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11/05/10
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(high) (t)
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$7.19
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10/04/11
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(low) (t)
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$6.05
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10/31/10
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$7.11
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Total Returns vs Benchmarks
Year Ended 10/31/11
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MFS Multimarket Income Trust at
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New York Stock Exchange Price (r)
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1.67%
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Net Asset Value (r)
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4.73%
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Barclays Capital U.S. High-Yield Corporate Bond 2% Issuer Capped Index (f)(s)
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5.16%
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Barclays Capital U.S. High-Yield Corporate Bond Index (f)(s)
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5.17%
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MFS Multimarket Income Trust Blended Index - Current (f)(s)(y)
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4.70%
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MFS Multimarket Income Trust Blended Index - Prior (f)(s)(x)
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4.70%
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(f)
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Source: FactSet Research Systems Inc.
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(r)
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Includes reinvestment of dividends and capital gain distributions.
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(s)
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Effective September 15, 2011, the Barclays Capital U.S. High-Yield Corporate Bond 2% Issuer Capped Index replaced the Barclays Capital U.S. High-Yield Corporate Bond Index as the
funds primary benchmark and the MFS Multimarket Income Trust Blended Index Current replaced the MFS Multimarket Income Trust Blended Index Prior as the funds other benchmark as the new benchmarks more appropriately align
with the funds investment strategy.
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(t)
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For the period November 1, 2010 through October 31, 2011.
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6
Performance Summary continued
(x)
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MFS Multimarket Income Trust Blended Index Prior is at a point in time and allocations during the period can change. As of October 31, 2011, the blended index was
comprised of 10% Barclays Capital U.S. Corporate Bond Index, 50% Barclays Capital U.S. High-Yield Corporate Bond Index, 20% JPMorgan Emerging Markets Bond Index Global, 10% Citigroup World Government Bond Non-Dollar Hedged Index, and 10% Barclays
Capital U.S. Government/Mortgage Bond Index.
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(y)
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MFS Multimarket Income Trust Blended Index Current is at a point in time and allocations during the period can change. As of October 31, 2011, the blended index was
comprised of 10% Barclays Capital U.S. Corporate Bond Index, 50% Barclays Capital U.S. High-Yield Corporate Bond 2% Issuer Capped Index, 20% JPMorgan Emerging Markets Bond Index Global, 10% Citigroup World Government Bond Non-Dollar Hedged Index,
and 10% Barclays Capital U.S. Government/Mortgage Bond Index.
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Benchmark Definitions
Barclays Capital U.S. Corporate Bond Index covers U.S. dollar-denominated, investment-grade, fixed-rate, taxable securities sold by industrial,
utility and financial issuers. It includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements. This index generated a total return of 6.14% for the year ended
October 31, 2011.
Barclays Capital U.S. Government/Mortgage Bond Index measures debt issued by the U.S. Government, and its agencies,
as well as mortgage-backed pass-through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). This index generated a total return of 4.70% for the year ended October 31, 2011.
Barclays Capital U.S. High-Yield Corporate Bond Index a market capitalization-weighted index that measures the performance of non-investment grade,
fixed rate debt. Eurobonds and debt issues from countries designated as emerging markets (e.g., Argentina, Brazil, Venezuela, etc.) are excluded.
Barclays Capital U.S. High-Yield Corporate Bond 2% Issuer Capped Index is a component of the Barclays Capital U.S. High-Yield Corporate Bond Index, which measures performance of
non-investment grade, fixed rate debt. The index limits the maximum exposure to any one issuer to 2%.
Citigroup World Government Bond
Non-Dollar Hedged Index a market capitalization-weighted index that is designed to represent the currency-hedged performance of the international developed government bond markets, excluding the United States. This index generated a
total return of 1.10% for the year ended October 31, 2011.
JPMorgan Emerging Markets Bond Index Global measures the performance of U.S.
dollar- denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities: Brady bonds, loans, Eurobonds. This index generated a total return of 4.05% for the year ended October 31, 2011.
It is not possible to invest directly in an index.
7
Performance Summary continued
Notes to Performance Summary
The funds shares may trade at a discount or premium to net asset value. Shareholders do not have the right to cause the fund to repurchase their shares at net asset value. When fund shares trade at
a premium, buyers pay more than the net asset value underlying fund shares, and shares purchased at a premium would receive less than the amount paid for them in the event of the funds liquidation. As a result, the total return that is
calculated based on the net asset value and New York Stock Exchange price can be different.
The funds monthly distributions may include
a return of capital to shareholders to the extent that distributions are in excess of the funds net investment income and net capital gains, determined in accordance with federal income tax regulations. Distributions that are treated for
federal income tax purposes as a return of capital will reduce each shareholders basis in his or her shares and, to the extent the return of capital exceeds such basis, will be treated as gain to the shareholder from a sale of shares. Returns
of shareholder capital have the effect of reducing the funds assets and increasing the funds expense ratio.
Performance results do
not include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles and may differ from amounts reported in the financial highlights.
From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower.
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.
8
INVESTMENT OBJECTIVE, PRINCIPAL
INVESTMENT STRATEGIES AND RISKS
OF THE FUND
Investment
Objective
The funds investment objective is to seek high current income, but may also consider capital appreciation. The funds
objective may be changed without shareholder approval.
Principal Investment Strategies
MFS (Massachusetts Financial Services Company, the funds investment adviser) normally invests at least 80% of the funds net assets in fixed
income securities. This policy may not be changed without shareholder approval.
MFS considers debt instruments of all types to be fixed income
securities.
MFS normally invests the funds assets in U.S. Government securities, foreign government securities, mortgage-backed and
other asset-backed securities of U.S. and foreign issuers, corporate bonds of U.S. and/or foreign issuers, and/or debt instruments of issuers located in emerging market countries. MFS allocates the funds assets across these categories with a
view toward broad diversification across and within these categories. MFS may also invest the funds assets in equity securities.
MFS may
invest up to 100% of the funds assets in less than investment grade quality debt instruments (lower quality debt instruments).
MFS may
invest the funds assets in U.S. and foreign securities, including emerging market securities.
MFS may invest a relatively large
percentage of the funds assets in issuers in a single country, a small number of countries, or a particular geographic region.
While MFS
may use derivatives for any investment purpose, to the extent MFS uses derivatives, MFS expects to use derivatives primarily to increase or decrease exposure to a particular market, segment of the market, or security, to increase or decrease
interest rate or currency exposure, or as alternatives to direct investments.
MFS uses a bottom-up investment approach to buying and selling
investments for the fund. Investments are selected primarily based on fundamental analysis of individual issuers and/or instruments in light of issuers financial condition and market, economic, political, and regulatory conditions. Factors
considered for debt instruments may include the instruments credit quality, collateral characteristics and indenture provisions and the issuers management ability, capital structure, leverage, and ability to meet its current obligations.
Factors considered for equity securities may include analysis of an issuers earnings, cash flows, competitive position, and management ability. Quantitative models that systematically evaluate the structure of a debt instrument and its
features
9
Investment Objective, Principal Investment Strategies and Risks of the Fund continued
or the valuation, price and earnings momentum, earnings quality and other factors of the issuer of an equity security may also be considered.
The fund may use leverage by borrowing up to 33
1
/
3
% of the funds assets, including
borrowings for investment purposes, and investing the proceeds pursuant to its investment strategies. If approved by the funds Board of Trustees, the fund may use leverage by other methods.
MFS may engage in active and frequent trading in pursuing the funds principal investment strategies.
In response to market, economic, political, or other conditions, MFS may depart from the funds principal investment strategies by temporarily
investing for defensive purposes.
Principal Risks
The fund may not achieve its objective and/or you could lose money on your investment in the fund.
Investments in debt instruments may decline in value as the result of increases in interest rates, declines in the credit quality of the issuer, borrower,
counterparty or underlying collateral, or changes in economic, political, issuer-specific, or other conditions. Certain types of debt instruments can be more sensitive to these factors and therefore more volatile.
Investments in foreign markets through issuers or currencies can involve greater risk and volatility than U.S. investments because of adverse market,
economic, political, regulatory, geopolitical, or other conditions.
Emerging markets can have less market structure, depth, and regulatory
oversight and greater political, social, and economic instability than developed markets.
Investments in derivatives can be used to take both
long and short positions, be highly volatile, result in leverage (which can magnify losses), and involve risks in addition to the risks of the underlying indicator(s) on which the derivative is based, such as counterparty and liquidity risk.
Investments in lower-quality debt instruments can be more volatile and have greater risk of default than higher-quality debt instruments.
The funds performance could be more volatile than the performance of more diversified funds.
The market price of common shares of the fund will be based on factors such as the supply and demand for common shares in the market and general market,
economic, political or regulatory conditions. Whether shareholders will
10
Investment Objective, Principal Investment Strategies and Risks of the Fund continued
realize gains or losses upon the sale of common shares of the fund will depend on the market price of common shares at the time of the sale, not on the funds net asset value. The market
price may be lower or higher than the funds net asset value. Shares of closed-end funds frequently trade at a discount or premium to their net asset value.
Leverage involves investment exposure in an amount exceeding the initial investment. Leverage can cause increased volatility by magnifying gains or losses.
Please see the funds registration statement for further information regarding these and other risk considerations. A copy of the funds
registration statement on Form N-2 is available on the EDGAR database on the Securities and Exchange Commissions Internet Web site at
http://sec.gov
.
11
PORTFOLIO MANAGERS PROFILES
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Richard Hawkins
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Investment Officer of MFS; employed in the investment management area of MFS since 1988. Portfolio Manager of the Fund since April 2006.
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William Adams
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Investment Officer of MFS; employed in the investment management area of MFS since 2009. Portfolio Manager of the Fund since May 2011.
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David Cole
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Investment Officer of MFS; employed in the investment management area of MFS since 2004. Portfolio Manager of the Fund since October 2006.
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Matthew Ryan
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Investment Officer of MFS; employed in the investment management area of MFS since 1997. Portfolio Manager of the Fund since September 2004.
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12
DIVIDEND REINVESTMENT AND
CASH PURCHASE PLAN
The fund offers a
Dividend Reinvestment and Cash Purchase Plan (the Plan) that allows common shareholders to reinvest either all of the distributions paid by the fund or only the long-term capital gains. Generally, purchases are made at the market
price unless that price exceeds the net asset value (the shares are trading at a premium). If the shares are trading at a premium, purchases will be made at a price of either the net asset value or 95% of the market price, whichever is greater. You
can also buy shares on a quarterly basis in any amount $100 and over. The Plan Agent will purchase shares under the Cash Purchase Plan on the 15th of January, April, July, and October or shortly thereafter.
If shares are registered in your own name, new shareholders will automatically participate in the Plan, unless you have indicated that you do not wish to
participate. If your shares are in the name of a brokerage firm, bank, or other nominee, you can ask the firm or nominee to participate in the Plan on your behalf. If the nominee does not offer the Plan, you may wish to request that your shares be
re-registered in your own name so that you can participate. There is no service charge to reinvest distributions, nor are there brokerage charges for shares issued directly by the fund. However, when shares are bought on the New York Stock Exchange
or otherwise on the open market, each participant pays a pro rata share of the transaction expenses, including commissions. Dividends and capital gains distributions are taxable whether received in cash or reinvested in additional shares the
automatic reinvestment of distributions does not relieve you of any income tax that may be payable (or required to be withheld) on the distributions.
You may withdraw from the Plan at any time by going to the Plan Agents website at www.computershare.com, by calling 1-800-637-2304 any business day from 9 a.m. to 5 p.m. Eastern time or by writing
to the Plan Agent at P.O. Box 43078, Providence, RI 02940-3078. Please have available the name of the fund and your account number. For certain types of registrations, such as corporate accounts, instructions must be submitted in writing.
Please call for additional details. When you withdraw from the Plan, you can receive the value of the reinvested shares in one of three ways: your full shares will be held in your account, the Plan Agent will sell your shares and send the proceeds
to you, or you may transfer your full shares to your investment professional who can hold or sell them. Additionally, the Plan Agent will sell your fractional shares and send the proceeds to you.
If you have any questions or for further information or a copy of the Plan, contact the Plan Agent Computershare Trust Company, N.A. (the Transfer Agent
for the fund) at 1-800-637-2304, at the Plan Agents website at www.computershare.com, or by writing to the Plan Agent at P.O. Box 43078, Providence, RI 02940-3078.
13
PORTFOLIO OF INVESTMENTS
10/31/11
The Portfolio of Investments is a
complete list of all securities owned by your fund. It is categorized by broad-based asset classes.
|
|
|
|
|
|
|
|
|
Bonds - 113.2%
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Aerospace - 1.1%
|
|
|
|
|
|
|
|
|
BE Aerospace, Inc., 8.5%, 2018
|
|
$
|
1,135,000
|
|
|
$
|
1,239,987
|
|
Bombardier, Inc., 7.5%, 2018 (n)
|
|
|
1,285,000
|
|
|
|
1,400,650
|
|
Bombardier, Inc., 7.75%, 2020 (n)
|
|
|
485,000
|
|
|
|
533,500
|
|
CPI International, Inc., 8%, 2018
|
|
|
985,000
|
|
|
|
871,725
|
|
Hawker Beechcraft Acquisition Co. LLC, 8.5%, 2015
|
|
|
1,070,000
|
|
|
|
385,200
|
|
Heckler & Koch GmbH, 9.5%, 2018 (z)
|
|
EUR
|
580,000
|
|
|
|
625,986
|
|
Huntington Ingalls Industries, Inc., 7.125%, 2021 (n)
|
|
$
|
990,000
|
|
|
|
1,002,375
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,059,423
|
|
Airlines - 0.1%
|
|
|
|
|
|
|
|
|
Continental Airlines, Inc., 7.25%, 2021
|
|
$
|
185,624
|
|
|
$
|
198,617
|
|
Tam Capital 3, Inc., 8.375%, 2021 (n)
|
|
|
547,000
|
|
|
|
555,205
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
753,822
|
|
Apparel Manufacturers - 0.4%
|
|
|
|
|
|
|
|
|
Hanesbrands, Inc., 8%, 2016
|
|
$
|
420,000
|
|
|
$
|
453,600
|
|
Hanesbrands, Inc., 6.375%, 2020
|
|
|
505,000
|
|
|
|
510,050
|
|
Phillips-Van Heusen Corp., 7.375%, 2020
|
|
|
1,185,000
|
|
|
|
1,285,725
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,249,375
|
|
Asset-Backed & Securitized - 5.2%
|
|
|
|
|
|
|
|
|
ARCap REIT, Inc., CDO, H, FRN, 6.032%, 2045 (a)(d)(z)
|
|
$
|
547,885
|
|
|
$
|
55
|
|
Banc of America Commercial Mortgage, Inc., FRN, 5.725%, 2051
|
|
|
2,000,000
|
|
|
|
2,147,838
|
|
Bayview Financial Acquisition Trust, FRN, 5.483%, 2041
|
|
|
661,272
|
|
|
|
654,882
|
|
Bayview Financial Revolving Mortgage Loan Trust, FRN,
1.845%, 2040 (z)
|
|
|
2,815,152
|
|
|
|
1,582,971
|
|
Citigroup Commercial Mortgage Trust, FRN, 5.697%, 2049
|
|
|
390,311
|
|
|
|
148,616
|
|
Citigroup/Deutsche Bank Commercial Mortgage Trust, FRN,
5.366%, 2049
|
|
|
1,160,000
|
|
|
|
959,776
|
|
Crest Ltd., CDO, 7%, 2040 (a)
|
|
|
2,219,405
|
|
|
|
110,970
|
|
Deutsche Mortgage & Asset Receiving Corp., FRN, 7.5%, 2031
|
|
|
126,390
|
|
|
|
126,221
|
|
Falcon Franchise Loan LLC, FRN, 5.12%, 2025 (i)(z)
|
|
|
2,671,284
|
|
|
|
193,134
|
|
First Union National Bank Commercial Mortgage Trust, FRN,
1.498%, 2043 (i)(z)
|
|
|
1,011,685
|
|
|
|
1,245
|
|
First Union-Lehman Brothers Bank of America, FRN,
0.441%, 2035 (i)
|
|
|
15,059,579
|
|
|
|
244,628
|
|
First Union-Lehman Brothers Commercial Mortgage Trust,
7%, 2029 (n)
|
|
|
380,709
|
|
|
|
395,129
|
|
14
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Asset-Backed & Securitized - continued
|
|
|
|
|
|
|
|
|
G-Force LLC, CDO, A2, 4.83%, 2036 (z)
|
|
$
|
2,009,029
|
|
|
$
|
1,878,442
|
|
GMAC LLC, FRN, 6.02%, 2033 (z)
|
|
|
1,123,647
|
|
|
|
1,152,687
|
|
GMAC LLC, FRN, 7.71%, 2034 (d)(n)(q)
|
|
|
1,853,000
|
|
|
|
1,542,204
|
|
JPMorgan Chase Commercial Mortgage Securities Corp.,
5.552%, 2045
|
|
|
1,590,000
|
|
|
|
1,732,182
|
|
JPMorgan Chase Commercial Mortgage Securities Corp.,
5.42%, 2049
|
|
|
2,130,000
|
|
|
|
2,263,336
|
|
JPMorgan Chase Commercial Mortgage Securities Corp., C, FRN,
6.058%, 2051
|
|
|
270,000
|
|
|
|
118,787
|
|
JPMorgan Chase Commercial Mortgage Securities Corp., FRN,
5.475%, 2043
|
|
|
1,590,000
|
|
|
|
1,772,359
|
|
JPMorgan Chase Commercial Mortgage Securities Corp., FRN,
5.878%, 2045
|
|
|
1,590,000
|
|
|
|
1,768,805
|
|
JPMorgan Chase Commercial Mortgage Securities Corp., FRN,
5.816%, 2049
|
|
|
2,000,000
|
|
|
|
2,112,498
|
|
Lehman Brothers Commercial Conduit Mortgage Trust, FRN,
0.887%, 2030 (i)
|
|
|
3,568,005
|
|
|
|
66,914
|
|
Morgan Stanley Capital I, Inc., FRN, 1.383%, 2039 (i)(z)
|
|
|
7,909,026
|
|
|
|
177,953
|
|
Multi Security Asset Trust, A3, 5%, 2035 (z)
|
|
|
1,950,537
|
|
|
|
1,892,021
|
|
Prudential Securities Secured Financing Corp., FRN,
7.289%, 2013 (z)
|
|
|
2,581,000
|
|
|
|
2,487,942
|
|
Wachovia Bank Commercial Mortgage Trust, A4, FRN,
5.899%, 2051
|
|
|
2,000,000
|
|
|
|
2,127,306
|
|
Wachovia Bank Commercial Mortgage Trust, FRN, 5.118%, 2042
|
|
|
1,375,626
|
|
|
|
1,524,382
|
|
Wachovia Bank Commercial Mortgage Trust, FRN, 5.685%, 2047
|
|
|
1,496,845
|
|
|
|
299,369
|
|
Wachovia Bank Commercial Mortgage Trust, FRN, 5.745%, 2047
|
|
|
229,557
|
|
|
|
39,025
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
29,521,677
|
|
Automotive - 2.4%
|
|
|
|
|
|
|
|
|
Accuride Corp., 9.5%, 2018
|
|
$
|
1,065,000
|
|
|
$
|
1,041,038
|
|
Allison Transmission, Inc., 7.125%, 2019 (n)
|
|
|
815,000
|
|
|
|
790,550
|
|
Automotores Gildemeister S.A., 8.25%, 2021 (n)
|
|
|
271,000
|
|
|
|
276,420
|
|
Chrysler Group LLC/CG Co-Issuer, Inc., 8.25%, 2021 (n)
|
|
|
715,000
|
|
|
|
654,225
|
|
Ford Motor Co., 7.45%, 2031
|
|
|
1,190,000
|
|
|
|
1,416,100
|
|
Ford Motor Credit Co. LLC, 8%, 2014
|
|
|
620,000
|
|
|
|
681,787
|
|
Ford Motor Credit Co. LLC, 12%, 2015
|
|
|
4,845,000
|
|
|
|
6,081,071
|
|
General Motors Financial Co., Inc., 6.75%, 2018 (n)
|
|
|
640,000
|
|
|
|
645,858
|
|
Jaguar Land Rover PLC, 7.75%, 2018 (n)
|
|
|
200,000
|
|
|
|
198,000
|
|
Jaguar Land Rover PLC, 8.125%, 2021 (n)
|
|
|
960,000
|
|
|
|
945,600
|
|
Lear Corp., 8.125%, 2020
|
|
|
345,000
|
|
|
|
377,775
|
|
RCI Banque S.A., 4.6%, 2016 (n)
|
|
|
266,000
|
|
|
|
258,370
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
13,366,794
|
|
15
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Basic Industry - 0.2%
|
|
|
|
|
|
|
|
|
Trimas Corp., 9.75%, 2017
|
|
$
|
1,045,000
|
|
|
$
|
1,118,150
|
|
|
|
|
Broadcasting - 3.5%
|
|
|
|
|
|
|
|
|
Allbritton Communications Co., 8%, 2018
|
|
$
|
790,000
|
|
|
$
|
793,950
|
|
AMC Networks, Inc., 7.75%, 2021 (n)
|
|
|
644,000
|
|
|
|
698,740
|
|
Clear Channel Communications, Inc., 9%, 2021
|
|
|
806,000
|
|
|
|
717,340
|
|
EH Holding Corp., 7.625%, 2021 (n)
|
|
|
650,000
|
|
|
|
672,750
|
|
Gray Television, Inc., 10.5%, 2015
|
|
|
250,000
|
|
|
|
236,250
|
|
Inmarsat Finance PLC, 7.375%, 2017 (n)
|
|
|
1,590,000
|
|
|
|
1,701,300
|
|
Intelsat Bermuda Ltd., 11.25%, 2017
|
|
|
1,255,000
|
|
|
|
1,245,588
|
|
Intelsat Jackson Holdings Ltd., 9.5%, 2016
|
|
|
4,080,000
|
|
|
|
4,258,500
|
|
Intelsat Jackson Holdings Ltd., 11.25%, 2016
|
|
|
790,000
|
|
|
|
833,450
|
|
Liberty Media Corp., 8.5%, 2029
|
|
|
1,095,000
|
|
|
|
1,062,150
|
|
Local TV Finance LLC, 9.25%, 2015 (p)(z)
|
|
|
1,335,561
|
|
|
|
1,242,072
|
|
Newport Television LLC, 13%, 2017 (n)(p)
|
|
|
417,339
|
|
|
|
376,301
|
|
Nexstar Broadcasting Group, Inc., 8.875%, 2017
|
|
|
410,000
|
|
|
|
416,150
|
|
Sinclair Broadcast Group, Inc., 9.25%, 2017 (n)
|
|
|
570,000
|
|
|
|
621,300
|
|
Sinclair Broadcast Group, Inc., 8.375%, 2018
|
|
|
175,000
|
|
|
|
180,250
|
|
SIRIUS XM Radio, Inc., 13%, 2013 (n)
|
|
|
250,000
|
|
|
|
284,375
|
|
SIRIUS XM Radio, Inc., 8.75%, 2015 (n)
|
|
|
1,010,000
|
|
|
|
1,118,575
|
|
SIRIUS XM Radio, Inc., 7.625%, 2018 (n)
|
|
|
860,000
|
|
|
|
926,650
|
|
Univision Communications, Inc., 6.875%, 2019 (n)
|
|
|
1,035,000
|
|
|
|
1,009,125
|
|
Univision Communications, Inc., 7.875%, 2020 (n)
|
|
|
745,000
|
|
|
|
752,450
|
|
Univision Communications, Inc., 8.5%, 2021 (n)
|
|
|
685,000
|
|
|
|
616,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
19,763,766
|
|
Brokerage & Asset Managers - 0.3%
|
|
|
|
|
|
|
|
|
E*TRADE Financial Corp., 7.875%, 2015
|
|
$
|
690,000
|
|
|
$
|
701,212
|
|
E*TRADE Financial Corp., 12.5%, 2017
|
|
|
1,050,000
|
|
|
|
1,210,125
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,911,337
|
|
Building - 1.6%
|
|
|
|
|
|
|
|
|
Associated Materials LLC, 9.125%, 2017
|
|
$
|
245,000
|
|
|
$
|
222,950
|
|
Building Materials Holding Corp., 6.875%, 2018 (n)
|
|
|
755,000
|
|
|
|
785,200
|
|
Building Materials Holding Corp., 7%, 2020 (n)
|
|
|
470,000
|
|
|
|
498,200
|
|
Building Materials Holding Corp., 6.75%, 2021 (n)
|
|
|
455,000
|
|
|
|
472,063
|
|
CEMEX Finance LLC, 9.5%, 2016 (n)
|
|
|
1,341,000
|
|
|
|
1,171,766
|
|
CEMEX S.A.B. de C.V., 9%, 2018 (n)
|
|
|
337,000
|
|
|
|
281,395
|
|
CEMEX S.A.B. de C.V., FRN, 5.368%, 2015 (n)
|
|
|
552,000
|
|
|
|
408,480
|
|
Masonite International Corp., 8.25%, 2021 (n)
|
|
|
600,000
|
|
|
|
592,500
|
|
Nortek, Inc., 10%, 2018 (n)
|
|
|
325,000
|
|
|
|
318,500
|
|
Nortek, Inc., 8.5%, 2021 (n)
|
|
|
1,100,000
|
|
|
|
976,250
|
|
16
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Building - continued
|
|
|
|
|
|
|
|
|
Odebrecht Finance Ltd., 6%, 2023 (n)
|
|
$
|
423,000
|
|
|
$
|
424,692
|
|
Owens Corning, 9%, 2019
|
|
|
2,070,000
|
|
|
|
2,448,466
|
|
Roofing Supply Group LLC/Roofing Supply Finance, Inc.,
8.625%, 2017 (n)
|
|
|
410,000
|
|
|
|
416,150
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
9,016,612
|
|
Business Services - 0.9%
|
|
|
|
|
|
|
|
|
Ceridian Corp., 12.25%, 2015 (p)
|
|
$
|
495,000
|
|
|
$
|
420,750
|
|
iGate Corp., 9%, 2016 (n)
|
|
|
1,492,000
|
|
|
|
1,484,540
|
|
Interactive Data Corp., 10.25%, 2018
|
|
|
1,115,000
|
|
|
|
1,198,625
|
|
Iron Mountain, Inc., 8.375%, 2021
|
|
|
680,000
|
|
|
|
712,300
|
|
SunGard Data Systems, Inc., 10.25%, 2015
|
|
|
560,000
|
|
|
|
581,000
|
|
SunGard Data Systems, Inc., 7.375%, 2018
|
|
|
470,000
|
|
|
|
480,575
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,877,790
|
|
Cable TV - 4.1%
|
|
|
|
|
|
|
|
|
Bresnan Broadband Holdings LLC, 8%, 2018 (n)
|
|
$
|
280,000
|
|
|
$
|
289,800
|
|
Cablevision Systems Corp., 8.625%, 2017
|
|
|
630,000
|
|
|
|
683,550
|
|
Cablevision Systems Corp., 8%, 2020
|
|
|
350,000
|
|
|
|
369,250
|
|
CCH II LLC, 13.5%, 2016
|
|
|
1,410,000
|
|
|
|
1,625,025
|
|
CCO Holdings LLC, 7.875%, 2018
|
|
|
715,000
|
|
|
|
761,475
|
|
CCO Holdings LLC, 8.125%, 2020
|
|
|
1,360,000
|
|
|
|
1,472,200
|
|
Cequel Communications Holdings, 8.625%, 2017 (n)
|
|
|
575,000
|
|
|
|
600,875
|
|
CSC Holdings LLC, 8.5%, 2014
|
|
|
1,325,000
|
|
|
|
1,454,188
|
|
DIRECTV Holdings LLC, 5.2%, 2020
|
|
|
3,340,000
|
|
|
|
3,681,104
|
|
EchoStar Corp., 7.125%, 2016
|
|
|
825,000
|
|
|
|
876,562
|
|
Insight Communications Co., Inc., 9.375%, 2018 (n)
|
|
|
895,000
|
|
|
|
1,015,825
|
|
Mediacom LLC, 9.125%, 2019
|
|
|
950,000
|
|
|
|
999,875
|
|
Myriad International Holdings B.V., 6.375%, 2017 (n)
|
|
|
1,181,000
|
|
|
|
1,266,623
|
|
TCI Communications, Inc., 9.8%, 2012
|
|
|
1,135,000
|
|
|
|
1,158,567
|
|
Telenet Finance Luxembourg, 6.375%, 2020 (n)
|
|
EUR
|
240,000
|
|
|
|
318,804
|
|
Time Warner Cable, Inc., 5%, 2020
|
|
$
|
2,630,000
|
|
|
|
2,889,518
|
|
UPCB Finance III Ltd., 6.625%, 2020 (n)
|
|
|
1,294,000
|
|
|
|
1,287,530
|
|
Videotron LTEE, 6.875%, 2014
|
|
|
924,000
|
|
|
|
930,930
|
|
Virgin Media Finance PLC, 9.5%, 2016
|
|
|
680,000
|
|
|
|
758,200
|
|
Virgin Media Finance PLC, 8.375%, 2019
|
|
|
290,000
|
|
|
|
322,625
|
|
Ziggo Bond Co. B.V., 8%, 2018 (n)
|
|
EUR
|
415,000
|
|
|
|
585,720
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
23,348,246
|
|
Chemicals - 3.2%
|
|
|
|
|
|
|
|
|
Celanese U.S. Holdings LLC, 6.625%, 2018
|
|
$
|
1,265,000
|
|
|
$
|
1,366,200
|
|
Dow Chemical Co., 8.55%, 2019
|
|
|
1,500,000
|
|
|
|
1,948,633
|
|
17
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Chemicals - continued
|
|
|
|
|
|
|
|
|
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance,
8.875%, 2018
|
|
$
|
1,515,000
|
|
|
$
|
1,496,063
|
|
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, 9%, 2020
|
|
|
280,000
|
|
|
|
244,300
|
|
Huntsman International LLC, 8.625%, 2021
|
|
|
1,795,000
|
|
|
|
1,844,363
|
|
Lyondell Chemical Co., 8%, 2017
|
|
|
387,000
|
|
|
|
435,375
|
|
Lyondell Chemical Co., 11%, 2018
|
|
|
4,382,686
|
|
|
|
4,881,217
|
|
Momentive Performance Materials, Inc., 12.5%, 2014
|
|
|
1,438,000
|
|
|
|
1,524,280
|
|
Momentive Performance Materials, Inc., 11.5%, 2016
|
|
|
789,000
|
|
|
|
662,760
|
|
Mosaic Co., 7.625%, 2016 (n)
|
|
|
695,000
|
|
|
|
723,341
|
|
Nalco Co., 8.25%, 2017
|
|
|
270,000
|
|
|
|
299,700
|
|
Polypore International, Inc., 7.5%, 2017
|
|
|
1,285,000
|
|
|
|
1,310,700
|
|
Sociedad Quimica y Minera de Chile S.A., 5.5%, 2020 (n)
|
|
|
568,000
|
|
|
|
608,647
|
|
Solutia, Inc., 7.875%, 2020
|
|
|
710,000
|
|
|
|
759,700
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
18,105,279
|
|
Computer Software - 0.4%
|
|
|
|
|
|
|
|
|
Lawson Software, Inc., 11.5%, 2018 (n)
|
|
$
|
1,185,000
|
|
|
$
|
1,137,600
|
|
Syniverse Holdings, Inc., 9.125%, 2019
|
|
|
1,025,000
|
|
|
|
1,066,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,203,600
|
|
Computer Software - Systems - 0.8%
|
|
|
|
|
|
|
|
|
Audatex North America, Inc., 6.75%, 2018 (n)
|
|
$
|
630,000
|
|
|
$
|
639,450
|
|
CDW LLC, 8.5%, 2019 (n)
|
|
|
1,435,000
|
|
|
|
1,391,950
|
|
CDW LLC/CDW Finance Corp., 12.535%, 2017
|
|
|
265,000
|
|
|
|
254,400
|
|
DuPont Fabros Technology, Inc., REIT, 8.5%, 2017
|
|
|
1,785,000
|
|
|
|
1,909,950
|
|
Eagle Parent, Inc., 8.625%, 2019 (n)
|
|
|
485,000
|
|
|
|
453,475
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,649,225
|
|
Conglomerates - 1.2%
|
|
|
|
|
|
|
|
|
Actuant Corp., 6.875%, 2017
|
|
$
|
1,495,000
|
|
|
$
|
1,532,375
|
|
Amsted Industries, Inc., 8.125%, 2018 (n)
|
|
|
1,505,000
|
|
|
|
1,587,775
|
|
Dynacast International LLC, 9.25%, 2019 (z)
|
|
|
755,000
|
|
|
|
694,600
|
|
Griffon Corp., 7.125%, 2018
|
|
|
1,415,000
|
|
|
|
1,347,788
|
|
Pinafore LLC, 9.25%, 2018 (n)
|
|
|
1,395,000
|
|
|
|
1,520,550
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,683,088
|
|
Construction - 0.1%
|
|
|
|
|
|
|
|
|
Corporacion GEO S.A.B. de C.V., 8.875%, 2014 (n)
|
|
$
|
477,000
|
|
|
$
|
472,230
|
|
|
|
|
Consumer Products - 0.7%
|
|
|
|
|
|
|
|
|
Easton-Bell Sports, Inc., 9.75%, 2016
|
|
$
|
735,000
|
|
|
$
|
787,369
|
|
Elizabeth Arden, Inc., 7.375%, 2021
|
|
|
765,000
|
|
|
|
774,563
|
|
Jarden Corp., 7.5%, 2020
|
|
|
970,000
|
|
|
|
1,037,900
|
|
18
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Consumer Products - continued
|
|
|
|
|
|
|
|
|
Libbey Glass, Inc., 10%, 2015
|
|
$
|
666,000
|
|
|
$
|
709,290
|
|
Visant Corp., 10%, 2017
|
|
|
930,000
|
|
|
|
902,100
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,211,222
|
|
Consumer Services - 0.8%
|
|
|
|
|
|
|
|
|
Realogy Corp., 11.5%, 2017
|
|
$
|
860,000
|
|
|
$
|
696,600
|
|
Service Corp. International, 6.75%, 2015
|
|
|
265,000
|
|
|
|
282,225
|
|
Service Corp. International, 7%, 2017
|
|
|
3,300,000
|
|
|
|
3,547,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,526,325
|
|
Containers - 1.0%
|
|
|
|
|
|
|
|
|
Exopack Holding Corp., 10%, 2018 (z)
|
|
$
|
520,000
|
|
|
$
|
509,600
|
|
Graham Packaging Co. LP/GPC Capital Corp., 9.875%, 2014
|
|
|
550,000
|
|
|
|
557,562
|
|
Greif, Inc., 6.75%, 2017
|
|
|
1,515,000
|
|
|
|
1,590,750
|
|
Packaging Dynamics Corp., 8.75%, 2016 (z)
|
|
|
330,000
|
|
|
|
334,950
|
|
Reynolds Group, 8.75%, 2016 (n)
|
|
|
445,000
|
|
|
|
467,806
|
|
Reynolds Group, 7.125%, 2019 (n)
|
|
|
910,000
|
|
|
|
928,200
|
|
Reynolds Group, 8.25%, 2021 (n)
|
|
|
635,000
|
|
|
|
582,613
|
|
Sealed Air Corp., 8.125%, 2019 (z)
|
|
|
190,000
|
|
|
|
206,150
|
|
Sealed Air Corp., 8.375%, 2021 (z)
|
|
|
190,000
|
|
|
|
205,675
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,383,306
|
|
Defense Electronics - 0.4%
|
|
|
|
|
|
|
|
|
Ducommun, Inc., 9.75%, 2018 (n)
|
|
$
|
1,017,000
|
|
|
$
|
1,047,510
|
|
ManTech International Corp., 7.25%, 2018
|
|
|
745,000
|
|
|
|
774,800
|
|
MOOG, Inc., 7.25%, 2018
|
|
|
445,000
|
|
|
|
462,800
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,285,110
|
|
Electrical Equipment - 0.1%
|
|
|
|
|
|
|
|
|
Avaya, Inc., 9.75%, 2015
|
|
$
|
360,000
|
|
|
$
|
318,600
|
|
|
|
|
Electronics - 0.5%
|
|
|
|
|
|
|
|
|
Freescale Semiconductor, Inc., 9.25%, 2018 (n)
|
|
$
|
1,060,000
|
|
|
$
|
1,147,450
|
|
Freescale Semiconductor, Inc., 8.05%, 2020
|
|
|
410,000
|
|
|
|
392,575
|
|
NXP B.V., 9.75%, 2018 (n)
|
|
|
107,000
|
|
|
|
117,700
|
|
Sensata Technologies B.V., 6.5%, 2019 (n)
|
|
|
1,285,000
|
|
|
|
1,285,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,942,725
|
|
Emerging Market Quasi-Sovereign - 8.4%
|
|
|
|
|
|
|
|
|
Banco del Estado de Chile, 4.125%, 2020 (n)
|
|
$
|
470,000
|
|
|
$
|
482,359
|
|
Banco do Brasil (Cayman Branch), FRN, 8.5%, 2049
|
|
|
738,000
|
|
|
|
863,460
|
|
Banco do Brasil S.A., 5.875%, 2022 (n)
|
|
|
3,148,000
|
|
|
|
3,163,740
|
|
Banco do Nordeste do Brasil (BNB), 3.625%, 2015 (n)
|
|
|
1,332,000
|
|
|
|
1,325,340
|
|
19
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Emerging Market Quasi-Sovereign - continued
|
|
|
|
|
|
|
|
|
BNDES Participacoes S.A., 6.5%, 2019 (n)
|
|
$
|
607,000
|
|
|
$
|
695,015
|
|
BNDES Participacoes S.A., 5.5%, 2020 (n)
|
|
|
277,000
|
|
|
|
298,606
|
|
Centrais Eletricas Brasileiras S.A., 5.75%, 2021 (z)
|
|
|
2,323,000
|
|
|
|
2,404,305
|
|
CNPC (HK) Overseas Capital Ltd., 4.5%, 2021 (n)
|
|
|
1,242,000
|
|
|
|
1,318,322
|
|
CNPC (HK) Overseas Capital Ltd., 5.95%, 2041 (n)
|
|
|
293,000
|
|
|
|
331,695
|
|
Corporacion Nacional del Cobre de Chile, 3.875%, 2021 (z)
|
|
|
399,000
|
|
|
|
397,363
|
|
Development Bank of Kazakhstan, 5.5%, 2015 (n)
|
|
|
1,930,000
|
|
|
|
2,007,200
|
|
Ecopetrol S.A., 7.625%, 2019
|
|
|
821,000
|
|
|
|
979,453
|
|
Gaz Capital S.A., 8.125%, 2014 (n)
|
|
|
1,540,000
|
|
|
|
1,713,250
|
|
Gaz Capital S.A., 9.25%, 2019
|
|
|
744,000
|
|
|
|
921,667
|
|
KazMunaiGaz Finance B.V., 8.375%, 2013
|
|
|
539,000
|
|
|
|
574,035
|
|
KazMunaiGaz Finance B.V., 11.75%, 2015 (n)
|
|
|
2,793,000
|
|
|
|
3,393,495
|
|
KazMunaiGaz Finance B.V., 9.125%, 2018 (n)
|
|
|
713,000
|
|
|
|
862,730
|
|
Majapahit Holding B.V., 7.25%, 2017 (n)
|
|
|
1,469,000
|
|
|
|
1,645,280
|
|
Majapahit Holding B.V., 8%, 2019 (n)
|
|
|
1,197,000
|
|
|
|
1,406,475
|
|
Majapahit Holding B.V., 7.75%, 2020 (n)
|
|
|
1,741,000
|
|
|
|
2,013,031
|
|
Novatek Finance Ltd., 5.326%, 2016 (n)
|
|
|
295,000
|
|
|
|
303,113
|
|
Novatek Finance Ltd., 6.604%, 2021 (n)
|
|
|
439,000
|
|
|
|
457,109
|
|
OAO Gazprom, 6.212%, 2016
|
|
|
1,886,000
|
|
|
|
2,036,880
|
|
OJSC Russian Agricultural Bank, FRN, 6%, 2021 (n)
|
|
|
1,168,000
|
|
|
|
1,130,040
|
|
Pemex Project Funding Master Trust, 5.75%, 2018
|
|
|
1,341,000
|
|
|
|
1,475,100
|
|
Pertamina PT, 5.25%, 2021 (n)
|
|
|
511,000
|
|
|
|
525,053
|
|
Pertamina PT, 6.5%, 2041 (n)
|
|
|
235,000
|
|
|
|
243,225
|
|
Petrobras International Finance Co., 7.875%, 2019
|
|
|
1,583,000
|
|
|
|
1,900,966
|
|
Petrobras International Finance Co., 6.75%, 2041
|
|
|
657,000
|
|
|
|
750,951
|
|
Petroleos Mexicanos, 8%, 2019
|
|
|
1,382,000
|
|
|
|
1,724,045
|
|
Petroleos Mexicanos, 6%, 2020
|
|
|
1,610,000
|
|
|
|
1,791,125
|
|
Petroleos Mexicanos, 5.5%, 2021
|
|
|
1,360,000
|
|
|
|
1,451,800
|
|
Petroleos Mexicanos, 6.5%, 2041
|
|
|
354,000
|
|
|
|
379,665
|
|
Petroleos Mexicanos, 6.5%, 2041 (z)
|
|
|
445,000
|
|
|
|
477,263
|
|
Petroleum Co. of Trinidad & Tobago Ltd., 9.75%, 2019 (n)
|
|
|
476,000
|
|
|
|
553,478
|
|
Petroleum Co. of Trinidad & Tobago Ltd., 6%, 2022
|
|
|
598,583
|
|
|
|
580,626
|
|
Ras Laffan Liquefied Natural Gas Co. Ltd., 6.75%, 2019 (n)
|
|
|
1,230,000
|
|
|
|
1,456,197
|
|
SCF Capital Ltd., 5.375%, 2017 (n)
|
|
|
1,134,000
|
|
|
|
1,034,775
|
|
Transnet Ltd., 4.5%, 2016 (n)
|
|
|
377,000
|
|
|
|
394,709
|
|
Turkiye Ihracat Kredi Bankasi A.S., 5.375%, 2016 (z)
|
|
|
215,000
|
|
|
|
215,280
|
|
VEB Finance Ltd., 6.902%, 2020 (n)
|
|
|
1,177,000
|
|
|
|
1,271,160
|
|
VTB Capital S.A., 6.465%, 2015 (n)
|
|
|
407,000
|
|
|
|
423,280
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
47,372,661
|
|
20
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Emerging Market Sovereign - 7.9%
|
|
|
|
|
|
|
|
|
Dominican Republic, 7.5%, 2021 (n)
|
|
$
|
765,000
|
|
|
$
|
794,070
|
|
Government of Ukraine, 6.875%, 2015
|
|
|
1,094,000
|
|
|
|
1,033,830
|
|
Government of Ukraine, 6.875%, 2015 (n)
|
|
|
698,000
|
|
|
|
659,610
|
|
Government of Ukraine, 7.95%, 2021 (n)
|
|
|
1,154,000
|
|
|
|
1,116,495
|
|
Republic of Argentina, 2.5% to 2019, 3.75% to 2029,
5.25% to 2038
|
|
|
1,888,000
|
|
|
|
703,280
|
|
Republic of Argentina, FRN, 8.28%, 2033
|
|
|
1,288,298
|
|
|
|
979,106
|
|
Republic of Colombia, 7.375%, 2019
|
|
|
716,000
|
|
|
|
902,160
|
|
Republic of Colombia, 4.375%, 2021
|
|
|
322,000
|
|
|
|
336,490
|
|
Republic of Colombia, 8.125%, 2024
|
|
|
679,000
|
|
|
|
925,477
|
|
Republic of Georgia, 6.875%, 2021 (n)
|
|
|
216,000
|
|
|
|
220,320
|
|
Republic of Indonesia, 6.875%, 2018
|
|
|
1,676,000
|
|
|
|
1,977,680
|
|
Republic of Indonesia, 11.625%, 2019 (n)
|
|
|
872,000
|
|
|
|
1,299,280
|
|
Republic of Indonesia, 11.625%, 2019
|
|
|
733,000
|
|
|
|
1,092,170
|
|
Republic of Indonesia, 4.875%, 2021 (n)
|
|
|
671,000
|
|
|
|
719,648
|
|
Republic of Indonesia, 7.75%, 2038 (n)
|
|
|
1,559,000
|
|
|
|
2,112,445
|
|
Republic of Namibia, 5.5%, 2021 (z)
|
|
|
386,000
|
|
|
|
386,000
|
|
Republic of Panama, 8.875%, 2027
|
|
|
1,273,000
|
|
|
|
1,877,675
|
|
Republic of Panama, 9.375%, 2029
|
|
|
1,746,000
|
|
|
|
2,697,570
|
|
Republic of Panama, 6.7%, 2036
|
|
|
265,000
|
|
|
|
334,562
|
|
Republic of Peru, 7.35%, 2025
|
|
|
544,000
|
|
|
|
709,920
|
|
Republic of Peru, 8.75%, 2033
|
|
|
1,966,000
|
|
|
|
2,953,915
|
|
Republic of Philippines, 6.5%, 2020
|
|
|
489,000
|
|
|
|
580,687
|
|
Republic of Philippines, 5.5%, 2026
|
|
|
802,000
|
|
|
|
876,185
|
|
Republic of Philippines, 6.375%, 2032
|
|
|
540,000
|
|
|
|
631,800
|
|
Republic of Philippines, 6.375%, 2034
|
|
|
2,781,000
|
|
|
|
3,295,485
|
|
Republic of Poland, 5%, 2022
|
|
|
605,000
|
|
|
|
597,438
|
|
Republic of Serbia, 7.25%, 2021 (n)
|
|
|
358,000
|
|
|
|
367,380
|
|
Republic of Serbia, FRN, 6.75%, 2024
|
|
|
369,900
|
|
|
|
365,276
|
|
Republic of South Africa, 5.5%, 2020
|
|
|
999,000
|
|
|
|
1,111,388
|
|
Republic of South Africa, 6.25%, 2041
|
|
|
1,151,000
|
|
|
|
1,335,160
|
|
Republic of Sri Lanka, 6.25%, 2020 (n)
|
|
|
285,000
|
|
|
|
288,563
|
|
Republic of Sri Lanka, 6.25%, 2021 (n)
|
|
|
248,000
|
|
|
|
252,637
|
|
Republic of Turkey, 7%, 2019
|
|
|
790,000
|
|
|
|
912,450
|
|
Republic of Turkey, 5.625%, 2021
|
|
|
670,000
|
|
|
|
706,850
|
|
Republic of Venezuela, 5.75%, 2016
|
|
|
3,742,000
|
|
|
|
2,909,405
|
|
Republic of Venezuela, 7.65%, 2025
|
|
|
1,345,000
|
|
|
|
837,262
|
|
Republic of Vietnam, 6.75%, 2020
|
|
|
1,074,000
|
|
|
|
1,084,740
|
|
Russian Federation, 7.5%, 2030
|
|
|
975,280
|
|
|
|
1,155,707
|
|
Ukraine Government International, 6.58%, 2016
|
|
|
1,418,000
|
|
|
|
1,347,100
|
|
United Mexican States, 5.625%, 2017
|
|
|
1,364,000
|
|
|
|
1,554,960
|
|
United Mexican States, 5.95%, 2019
|
|
|
268,000
|
|
|
|
313,962
|
|
21
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Emerging Market Sovereign - continued
|
|
|
|
|
|
|
|
|
United Mexican States, 5.75%, 2110
|
|
$
|
408,000
|
|
|
$
|
414,528
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
44,770,666
|
|
Energy - Independent - 5.6%
|
|
|
|
|
|
|
|
|
Anadarko Petroleum Corp., 6.45%, 2036
|
|
$
|
270,000
|
|
|
$
|
312,980
|
|
Anadarko Petroleum Corp., 6.2%, 2040
|
|
|
590,000
|
|
|
|
678,802
|
|
ATP Oil & Gas Corp., 11.875%, 2015
|
|
|
605,000
|
|
|
|
502,150
|
|
Bill Barrett Corp., 9.875%, 2016
|
|
|
805,000
|
|
|
|
889,525
|
|
Bill Barrett Corp., 7.625%, 2019
|
|
|
285,000
|
|
|
|
301,388
|
|
Carrizo Oil & Gas, Inc., 8.625%, 2018
|
|
|
375,000
|
|
|
|
380,625
|
|
Chaparral Energy, Inc., 8.875%, 2017
|
|
|
1,655,000
|
|
|
|
1,704,650
|
|
Chesapeake Energy Corp., 6.875%, 2020
|
|
|
440,000
|
|
|
|
482,900
|
|
Concho Resources, Inc., 8.625%, 2017
|
|
|
540,000
|
|
|
|
588,600
|
|
Concho Resources, Inc., 6.5%, 2022
|
|
|
1,125,000
|
|
|
|
1,181,250
|
|
Connacher Oil & Gas Ltd., 8.5%, 2019 (n)
|
|
|
650,000
|
|
|
|
474,500
|
|
Continental Resources, Inc., 8.25%, 2019
|
|
|
815,000
|
|
|
|
900,575
|
|
Denbury Resources, Inc., 8.25%, 2020
|
|
|
1,150,000
|
|
|
|
1,270,750
|
|
Energy XXI Gulf Coast, Inc., 9.25%, 2017
|
|
|
1,445,000
|
|
|
|
1,538,925
|
|
EXCO Resources, Inc., 7.5%, 2018
|
|
|
1,325,000
|
|
|
|
1,311,750
|
|
Harvest Operations Corp., 6.875%, 2017 (n)
|
|
|
1,715,000
|
|
|
|
1,770,738
|
|
Hilcorp Energy I/Hilcorp Finance Co., 8%, 2020 (z)
|
|
|
350,000
|
|
|
|
376,250
|
|
Laredo Petroleum, Inc., 9.5%, 2019 (z)
|
|
|
730,000
|
|
|
|
773,800
|
|
LINN Energy LLC, 6.5%, 2019 (n)
|
|
|
450,000
|
|
|
|
452,250
|
|
LINN Energy LLC, 8.625%, 2020
|
|
|
160,000
|
|
|
|
176,400
|
|
LINN Energy LLC, 7.75%, 2021
|
|
|
792,000
|
|
|
|
845,460
|
|
Newfield Exploration Co., 6.625%, 2014
|
|
|
435,000
|
|
|
|
439,350
|
|
Newfield Exploration Co., 6.625%, 2016
|
|
|
845,000
|
|
|
|
869,294
|
|
Newfield Exploration Co., 6.875%, 2020
|
|
|
610,000
|
|
|
|
654,225
|
|
Oasis Petroleum, Inc., 6.5%, 2021
|
|
|
290,000
|
|
|
|
291,450
|
|
OGX Petroleo e Gas Participacoes S.A., 8.5%, 2018 (n)
|
|
|
2,860,000
|
|
|
|
2,831,400
|
|
OPTI Canada, Inc., 8.25%, 2014 (a)(d)
|
|
|
1,795,000
|
|
|
|
1,166,750
|
|
Pioneer Natural Resources Co., 6.875%, 2018
|
|
|
610,000
|
|
|
|
659,603
|
|
Pioneer Natural Resources Co., 7.5%, 2020
|
|
|
1,015,000
|
|
|
|
1,149,212
|
|
QEP Resources, Inc., 6.875%, 2021
|
|
|
2,045,000
|
|
|
|
2,208,600
|
|
Quicksilver Resources, Inc., 9.125%, 2019
|
|
|
875,000
|
|
|
|
931,875
|
|
Range Resources Corp., 8%, 2019
|
|
|
900,000
|
|
|
|
1,003,500
|
|
SandRidge Energy, Inc., 8%, 2018 (n)
|
|
|
1,785,000
|
|
|
|
1,785,000
|
|
Whiting Petroleum Corp., 6.5%, 2018
|
|
|
495,000
|
|
|
|
516,038
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
31,420,565
|
|
Energy - Integrated - 0.8%
|
|
|
|
|
|
|
|
|
CCL Finance Ltd., 9.5%, 2014 (n)
|
|
$
|
2,118,000
|
|
|
$
|
2,382,750
|
|
22
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Energy - Integrated - continued
|
|
|
|
|
|
|
|
|
CCL Finance Ltd., 9.5%, 2014
|
|
$
|
471,000
|
|
|
$
|
529,875
|
|
Pacific Rubiales Energy Corp., 8.75%, 2016 (n)
|
|
|
1,327,000
|
|
|
|
1,472,970
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,385,595
|
|
Engineering - Construction - 0.1%
|
|
|
|
|
|
|
|
|
B-Corp. Merger Sub, Inc., 8.25%, 2019 (n)
|
|
$
|
710,000
|
|
|
$
|
670,950
|
|
|
|
|
Entertainment - 0.6%
|
|
|
|
|
|
|
|
|
AMC Entertainment, Inc., 8.75%, 2019
|
|
$
|
890,000
|
|
|
$
|
941,175
|
|
AMC Entertainment, Inc., 9.75%, 2020
|
|
|
750,000
|
|
|
|
727,500
|
|
Cinemark USA, Inc., 8.625%, 2019
|
|
|
1,220,000
|
|
|
|
1,323,700
|
|
NAI Entertainment Holdings LLC, 8.25%, 2017 (n)
|
|
|
440,000
|
|
|
|
463,100
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,455,475
|
|
Financial Institutions - 3.4%
|
|
|
|
|
|
|
|
|
CIT Group, Inc., 5.25%, 2014 (n)
|
|
$
|
1,245,000
|
|
|
$
|
1,238,775
|
|
CIT Group, Inc., 7%, 2016
|
|
|
1,570,000
|
|
|
|
1,571,962
|
|
CIT Group, Inc., 7%, 2017
|
|
|
5,775,000
|
|
|
|
5,775,000
|
|
CIT Group, Inc., 6.625%, 2018 (n)
|
|
|
1,212,000
|
|
|
|
1,266,540
|
|
Credit Acceptance Corp., 9.125%, 2017
|
|
|
595,000
|
|
|
|
617,313
|
|
GMAC, Inc., 8%, 2031
|
|
|
180,000
|
|
|
|
179,550
|
|
International Lease Finance Corp., 8.75%, 2017
|
|
|
1,475,000
|
|
|
|
1,554,650
|
|
International Lease Finance Corp., 7.125%, 2018 (n)
|
|
|
1,937,000
|
|
|
|
1,999,953
|
|
International Lease Finance Corp., 8.25%, 2020
|
|
|
280,000
|
|
|
|
289,800
|
|
Nationstar Mortgage LLC, 10.875%, 2015
|
|
|
1,500,000
|
|
|
|
1,522,500
|
|
SLM Corp., 8.45%, 2018
|
|
|
1,330,000
|
|
|
|
1,409,800
|
|
SLM Corp., 8%, 2020
|
|
|
1,105,000
|
|
|
|
1,149,200
|
|
Springleaf Finance Corp., 6.9%, 2017
|
|
|
580,000
|
|
|
|
442,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
19,017,293
|
|
Food & Beverages - 1.6%
|
|
|
|
|
|
|
|
|
ARAMARK Corp., 8.5%, 2015
|
|
$
|
1,495,000
|
|
|
$
|
1,551,062
|
|
B&G Foods, Inc., 7.625%, 2018
|
|
|
1,020,000
|
|
|
|
1,081,200
|
|
Constellation Brands, Inc., 7.25%, 2016
|
|
|
1,615,000
|
|
|
|
1,766,406
|
|
Pinnacle Foods Finance LLC, 9.25%, 2015
|
|
|
1,115,000
|
|
|
|
1,154,025
|
|
Pinnacle Foods Finance LLC, 10.625%, 2017
|
|
|
330,000
|
|
|
|
341,550
|
|
Pinnacle Foods Finance LLC, 8.25%, 2017
|
|
|
245,000
|
|
|
|
248,675
|
|
Sigma Alimentos S.A., 5.625%, 2018 (n)
|
|
|
462,000
|
|
|
|
470,085
|
|
TreeHouse Foods, Inc., 7.75%, 2018
|
|
|
710,000
|
|
|
|
763,250
|
|
Tyson Foods, Inc., 6.85%, 2016
|
|
|
1,520,000
|
|
|
|
1,641,600
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
9,017,853
|
|
23
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Forest & Paper Products - 1.4%
|
|
|
|
|
|
|
|
|
Boise, Inc., 8%, 2020
|
|
$
|
1,100,000
|
|
|
$
|
1,157,750
|
|
Cascades, Inc., 7.75%, 2017
|
|
|
1,025,000
|
|
|
|
1,004,500
|
|
Fibria Overseas Finance, 6.75%, 2021 (n)
|
|
|
356,000
|
|
|
|
352,440
|
|
Georgia-Pacific Corp., 8%, 2024
|
|
|
780,000
|
|
|
|
1,027,576
|
|
Graphic Packaging Holding Co., 7.875%, 2018
|
|
|
615,000
|
|
|
|
658,050
|
|
Inversiones CMPC S.A., 4.75%, 2018 (n)
|
|
|
841,000
|
|
|
|
877,219
|
|
Millar Western Forest Products Ltd., 8.5%, 2021 (z)
|
|
|
190,000
|
|
|
|
144,400
|
|
Smurfit Kappa Group PLC, 7.75%, 2019 (n)
|
|
EUR
|
600,000
|
|
|
|
855,127
|
|
Tembec Industries, Inc., 11.25%, 2018
|
|
$
|
360,000
|
|
|
|
370,800
|
|
UPM-Kymmene Corp., 6.125%, 2012
|
|
EUR
|
100,000
|
|
|
|
139,228
|
|
Votorantim Participacoes S.A., 6.75%, 2021 (n)
|
|
$
|
883,000
|
|
|
|
924,943
|
|
Xerium Technologies, Inc., 8.875%, 2018 (z)
|
|
|
420,000
|
|
|
|
357,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
7,869,033
|
|
Gaming & Lodging - 3.5%
|
|
|
|
|
|
|
|
|
American Casinos, Inc., 7.5%, 2021 (n)
|
|
$
|
575,000
|
|
|
$
|
589,375
|
|
Boyd Gaming Corp., 7.125%, 2016
|
|
|
1,095,000
|
|
|
|
980,025
|
|
FelCor Escrow Holdings LLC, 6.75%, 2019 (z)
|
|
|
265,000
|
|
|
|
244,463
|
|
Firekeepers Development Authority, 13.875%, 2015 (n)
|
|
|
760,000
|
|
|
|
866,400
|
|
Fontainebleau Las Vegas Holdings LLC, 10.25%, 2015 (a)(d)(n)
|
|
|
405,000
|
|
|
|
506
|
|
GWR Operating Partnership LLP, 10.875%, 2017
|
|
|
405,000
|
|
|
|
431,325
|
|
Harrahs Operating Co., Inc., 11.25%, 2017
|
|
|
1,745,000
|
|
|
|
1,867,150
|
|
Harrahs Operating Co., Inc., 10%, 2018
|
|
|
2,000
|
|
|
|
1,440
|
|
Harrahs Operating Co., Inc., 10%, 2018
|
|
|
470,000
|
|
|
|
354,263
|
|
Host Hotels & Resorts, Inc., 6.75%, 2016
|
|
|
3,260,000
|
|
|
|
3,374,100
|
|
MGM Mirage, 10.375%, 2014
|
|
|
190,000
|
|
|
|
211,850
|
|
MGM Mirage, 7.5%, 2016
|
|
|
180,000
|
|
|
|
171,000
|
|
MGM Resorts International, 11.375%, 2018
|
|
|
1,460,000
|
|
|
|
1,587,750
|
|
MGM Resorts International, 9%, 2020
|
|
|
1,470,000
|
|
|
|
1,624,350
|
|
Penn National Gaming, Inc., 8.75%, 2019
|
|
|
1,555,000
|
|
|
|
1,679,400
|
|
Seven Seas Cruises S. de R.L., 9.125%, 2019 (n)
|
|
|
625,000
|
|
|
|
637,500
|
|
Starwood Hotels & Resorts Worldwide, Inc., 6.75%, 2018
|
|
|
990,000
|
|
|
|
1,098,900
|
|
Wyndham Worldwide Corp., 6%, 2016
|
|
|
1,175,000
|
|
|
|
1,242,696
|
|
Wyndham Worldwide Corp., 7.375%, 2020
|
|
|
850,000
|
|
|
|
956,762
|
|
Wynn Las Vegas LLC, 7.75%, 2020
|
|
|
1,550,000
|
|
|
|
1,705,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
19,624,255
|
|
Industrial - 0.6%
|
|
|
|
|
|
|
|
|
Altra Holdings, Inc., 8.125%, 2016
|
|
$
|
595,000
|
|
|
$
|
620,288
|
|
Dematic S.A., 8.75%, 2016 (z)
|
|
|
790,000
|
|
|
|
778,150
|
|
Hillman Group, Inc., 10.875%, 2018 (z)
|
|
|
570,000
|
|
|
|
585,675
|
|
Hyva Global B.V., 8.625%, 2016 (n)
|
|
|
702,000
|
|
|
|
631,800
|
|
24
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Industrial - continued
|
|
|
|
|
|
|
|
|
Mueller Water Products, Inc., 7.375%, 2017
|
|
$
|
241,000
|
|
|
$
|
212,080
|
|
Mueller Water Products, Inc., 8.75%, 2020
|
|
|
767,000
|
|
|
|
816,855
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,644,848
|
|
Insurance - 2.1%
|
|
|
|
|
|
|
|
|
AIG SunAmerica Global Financing X, 6.9%, 2032 (n)
|
|
$
|
2,384,000
|
|
|
$
|
2,595,370
|
|
Allianz AG, 5.5% to 2014, FRN to 2049
|
|
EUR
|
140,000
|
|
|
|
185,969
|
|
American International Group, Inc., 4.875%, 2016
|
|
$
|
1,550,000
|
|
|
|
1,514,824
|
|
ING Groep N.V., 5.775% to 2015, FRN to 2049
|
|
|
5,000,000
|
|
|
|
3,962,500
|
|
MetLife, Inc., 9.25% to 2038, FRN to 2068 (n)
|
|
|
1,500,000
|
|
|
|
1,755,000
|
|
Unum Group, 7.125%, 2016
|
|
|
1,829,000
|
|
|
|
2,098,013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
12,111,676
|
|
Insurance - Property & Casualty - 1.4%
|
|
|
|
|
|
|
|
|
Liberty Mutual Group, Inc., 10.75% to 2038, FRN to 2088 (n)
|
|
$
|
1,615,000
|
|
|
$
|
1,962,225
|
|
USI Holdings Corp., FRN, 4.161%, 2014 (n)
|
|
|
1,495,000
|
|
|
|
1,345,500
|
|
XL Group PLC, 6.5% to 2017, FRN to 2049
|
|
|
1,775,000
|
|
|
|
1,491,000
|
|
ZFS Finance USA Trust II, 6.45% to 2016, FRN to 2065 (n)
|
|
|
2,310,000
|
|
|
|
2,217,600
|
|
ZFS Finance USA Trust IV, 5.875% to 2012, FRN to 2062 (n)
|
|
|
146,000
|
|
|
|
141,620
|
|
ZFS Finance USA Trust V, 6.5% to 2017, FRN to 2067 (n)
|
|
|
680,000
|
|
|
|
629,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
7,786,945
|
|
International Market Quasi-Sovereign - 0.7%
|
|
|
|
|
|
|
|
|
Bank of Ireland, 2.75%, 2012 (e)(n)
|
|
$
|
1,520,000
|
|
|
$
|
1,478,461
|
|
Irish Life & Permanent PLC, 3.6%, 2013 (e)(n)
|
|
|
2,500,000
|
|
|
|
2,178,902
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,657,363
|
|
International Market Sovereign - 8.1%
|
|
|
|
|
|
|
|
|
Commonwealth of Australia, 5.75%, 2021
|
|
AUD
|
214,000
|
|
|
$
|
246,881
|
|
Federal Republic of Germany, 3.75%, 2015
|
|
EUR
|
1,954,000
|
|
|
|
2,955,223
|
|
Federal Republic of Germany, 6.25%, 2030
|
|
EUR
|
489,000
|
|
|
|
1,005,471
|
|
Government of Canada, 4.5%, 2015
|
|
CAD
|
531,000
|
|
|
|
591,241
|
|
Government of Canada, 4.25%, 2018
|
|
CAD
|
8,251,000
|
|
|
|
9,502,039
|
|
Government of Canada, 5.75%, 2033
|
|
CAD
|
96,000
|
|
|
|
139,032
|
|
Government of Japan, 1.3%, 2014
|
|
JPY
|
131,000,000
|
|
|
|
1,730,601
|
|
Government of Japan, 1.7%, 2017
|
|
JPY
|
372,600,000
|
|
|
|
5,088,401
|
|
Government of Japan, 2.2%, 2027
|
|
JPY
|
358,200,000
|
|
|
|
4,980,263
|
|
Kingdom of Belgium, 5.5%, 2017
|
|
EUR
|
610,000
|
|
|
|
909,505
|
|
Kingdom of Spain, 4.6%, 2019
|
|
EUR
|
912,000
|
|
|
|
1,213,471
|
|
Kingdom of Sweden, 4.5%, 2015
|
|
SEK
|
1,965,000
|
|
|
|
335,055
|
|
Kingdom of the Netherlands, 5.5%, 2028
|
|
EUR
|
262,000
|
|
|
|
484,104
|
|
Republic of Austria, 4.65%, 2018
|
|
EUR
|
774,000
|
|
|
|
1,205,071
|
|
Republic of Finland, 3.875%, 2017
|
|
EUR
|
531,000
|
|
|
|
816,448
|
|
25
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
International Market Sovereign - continued
|
|
|
|
|
|
|
|
|
Republic of France, 4.75%, 2035
|
|
EUR
|
789,000
|
|
|
$
|
1,237,486
|
|
Republic of Iceland, 4.875%, 2016 (n)
|
|
$
|
2,804,000
|
|
|
|
2,768,653
|
|
Republic of Italy, 4.75%, 2013
|
|
EUR
|
2,812,000
|
|
|
|
3,877,852
|
|
Republic of Italy, 5.25%, 2017
|
|
EUR
|
1,784,000
|
|
|
|
2,393,478
|
|
Republic of Italy, 5%, 2040
|
|
EUR
|
490,000
|
|
|
|
533,257
|
|
United Kingdom Treasury, 8%, 2015
|
|
GBP
|
943,000
|
|
|
|
1,939,345
|
|
United Kingdom Treasury, 8%, 2021
|
|
GBP
|
304,000
|
|
|
|
723,211
|
|
United Kingdom Treasury, 4.25%, 2036
|
|
GBP
|
432,000
|
|
|
|
800,125
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
45,476,213
|
|
Machinery & Tools - 0.8%
|
|
|
|
|
|
|
|
|
Case Corp., 7.25%, 2016
|
|
$
|
1,065,000
|
|
|
$
|
1,144,875
|
|
Case New Holland, Inc., 7.875%, 2017
|
|
|
1,960,000
|
|
|
|
2,209,900
|
|
Rental Service Corp., 9.5%, 2014
|
|
|
180,000
|
|
|
|
184,050
|
|
RSC Equipment Rental, Inc., 8.25%, 2021
|
|
|
975,000
|
|
|
|
989,625
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,528,450
|
|
Major Banks - 2.0%
|
|
|
|
|
|
|
|
|
Bank of America Corp., 5.65%, 2018
|
|
$
|
2,000,000
|
|
|
$
|
2,002,680
|
|
BNP Paribas, 5.186% to 2015, FRN to 2049 (n)
|
|
|
2,099,000
|
|
|
|
1,616,230
|
|
Credit Suisse (USA), Inc., 6%, 2018
|
|
|
1,500,000
|
|
|
|
1,545,261
|
|
Goldman Sachs Group, Inc., 7.5%, 2019
|
|
|
1,200,000
|
|
|
|
1,355,732
|
|
JPMorgan Chase Capital XXII, 6.45%, 2087
|
|
|
324,000
|
|
|
|
332,621
|
|
JPMorgan Chase Capital XXVII, 7%, 2039
|
|
|
85,000
|
|
|
|
85,425
|
|
Morgan Stanley, 6.625%, 2018
|
|
|
2,000,000
|
|
|
|
2,084,452
|
|
National Westminster Bank PLC, FRN, 3.707%, 2049
|
|
EUR
|
330,000
|
|
|
|
319,863
|
|
Royal Bank of Scotland Group PLC, 7.648% to 2031,
FRN to 2049
|
|
$
|
1,420,000
|
|
|
|
997,550
|
|
Royal Bank of Scotland Group PLC, 6.99% to 2017,
FRN to 2049 (a)(d)(n)
|
|
|
435,000
|
|
|
|
304,500
|
|
UniCredito Luxembourg Finance S.A., 6%, 2017 (n)
|
|
|
990,000
|
|
|
|
805,534
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
11,449,848
|
|
Medical & Health Technology & Services - 3.6%
|
|
|
|
|
|
|
|
|
Beagle Acquisition Corp., 11%, 2019 (z)
|
|
$
|
245,000
|
|
|
$
|
254,800
|
|
Biomet, Inc., 10%, 2017
|
|
|
560,000
|
|
|
|
604,800
|
|
Biomet, Inc., 10.375%, 2017 (p)
|
|
|
420,000
|
|
|
|
453,600
|
|
Biomet, Inc., 11.625%, 2017
|
|
|
530,000
|
|
|
|
577,700
|
|
CDRT Merger Sub, Inc., 8.125%, 2019 (n)
|
|
|
360,000
|
|
|
|
360,000
|
|
Davita, Inc., 6.375%, 2018
|
|
|
1,275,000
|
|
|
|
1,287,750
|
|
Davita, Inc., 6.625%, 2020
|
|
|
480,000
|
|
|
|
483,600
|
|
Examworks Group, Inc., 9%, 2019 (z)
|
|
|
440,000
|
|
|
|
423,500
|
|
Fresenius Medical Care AG & Co. KGaA, 9%, 2015 (n)
|
|
|
875,000
|
|
|
|
988,750
|
|
HCA, Inc., 8.5%, 2019
|
|
|
3,335,000
|
|
|
|
3,668,500
|
|
26
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Medical & Health Technology & Services - continued
|
|
|
|
|
|
|
|
|
HCA, Inc., 7.5%, 2022
|
|
$
|
940,000
|
|
|
$
|
958,800
|
|
HealthSouth Corp., 8.125%, 2020
|
|
|
1,325,000
|
|
|
|
1,344,875
|
|
Owens & Minor, Inc., 6.35%, 2016
|
|
|
1,420,000
|
|
|
|
1,530,169
|
|
Teleflex, Inc., 6.875%, 2019
|
|
|
800,000
|
|
|
|
828,000
|
|
Tenet Healthcare Corp., 9.25%, 2015
|
|
|
580,000
|
|
|
|
619,150
|
|
United Surgical Partners International, Inc., 8.875%, 2017
|
|
|
560,000
|
|
|
|
571,900
|
|
United Surgical Partners International, Inc., 9.25%, 2017 (p)
|
|
|
650,000
|
|
|
|
666,250
|
|
Universal Health Services, Inc., 7%, 2018
|
|
|
650,000
|
|
|
|
674,375
|
|
Universal Hospital Services, Inc., 8.5%, 2015 (p)
|
|
|
1,640,000
|
|
|
|
1,689,200
|
|
Vanguard Health Systems, Inc., 0%, 2016
|
|
|
4,000
|
|
|
|
2,620
|
|
Vanguard Health Systems, Inc., 8%, 2018
|
|
|
1,495,000
|
|
|
|
1,528,638
|
|
VWR Funding, Inc., 10.25%, 2015 (p)
|
|
|
735,000
|
|
|
|
768,075
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
20,285,052
|
|
Metals & Mining - 3.4%
|
|
|
|
|
|
|
|
|
AK Steel Corp., 7.625%, 2020
|
|
$
|
810,000
|
|
|
$
|
757,350
|
|
ArcelorMittal, 6.5%, 2014
|
|
|
1,300,000
|
|
|
|
1,367,786
|
|
ArcelorMittal, 9.85%, 2019
|
|
|
1,790,000
|
|
|
|
2,123,556
|
|
Arch Coal, Inc., 7%, 2019 (n)
|
|
|
830,000
|
|
|
|
859,050
|
|
Arch Coal, Inc., 7.25%, 2020
|
|
|
490,000
|
|
|
|
508,375
|
|
Bumi Investment Pte Ltd., 10.75%, 2017 (n)
|
|
|
500,000
|
|
|
|
517,500
|
|
Cloud Peak Energy, Inc., 8.25%, 2017
|
|
|
1,475,000
|
|
|
|
1,578,250
|
|
Cloud Peak Energy, Inc., 8.5%, 2019
|
|
|
1,135,000
|
|
|
|
1,214,450
|
|
Consol Energy, Inc., 8%, 2017
|
|
|
1,255,000
|
|
|
|
1,374,225
|
|
Consol Energy, Inc., 8.25%, 2020
|
|
|
505,000
|
|
|
|
552,975
|
|
Fortescue Metals Group Ltd., 6.875%, 2018 (z)
|
|
|
265,000
|
|
|
|
254,400
|
|
Fortescue Metals Group Ltd., 8.25%, 2019 (z)
|
|
|
640,000
|
|
|
|
646,400
|
|
Gold Fields Orogen Holding Ltd., 4.875%, 2020 (n)
|
|
|
1,752,000
|
|
|
|
1,631,547
|
|
Metinvest B.V., 8.75%, 2018 (n)
|
|
|
320,000
|
|
|
|
304,000
|
|
Novelis, Inc., 8.375%, 2017
|
|
|
530,000
|
|
|
|
572,400
|
|
Novelis, Inc., 8.75%, 2020
|
|
|
280,000
|
|
|
|
305,200
|
|
Southern Copper Corp., 7.5%, 2035
|
|
|
1,648,000
|
|
|
|
1,825,160
|
|
Southern Copper Corp., 6.75%, 2040
|
|
|
744,000
|
|
|
|
779,787
|
|
Teck Resources Ltd., 9.75%, 2014
|
|
|
366,000
|
|
|
|
435,954
|
|
Vale Overseas Ltd., 5.625%, 2019
|
|
|
218,000
|
|
|
|
235,207
|
|
Vale Overseas Ltd., 4.625%, 2020
|
|
|
681,000
|
|
|
|
688,375
|
|
Vale Overseas Ltd., 6.875%, 2039
|
|
|
474,000
|
|
|
|
546,253
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
19,078,200
|
|
Mortgage-Backed - 1.7%
|
|
|
|
|
|
|
|
|
Fannie Mae, 6%, 2037
|
|
$
|
863,422
|
|
|
$
|
948,415
|
|
Fannie Mae, 5.5%, 2038
|
|
|
7,893,191
|
|
|
|
8,575,212
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
9,523,627
|
|
27
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Natural Gas - Pipeline - 1.6%
|
|
|
|
|
|
|
|
|
Atlas Pipeline Partners LP, 8.75%, 2018
|
|
$
|
375,000
|
|
|
$
|
393,750
|
|
Crosstex Energy, Inc., 8.875%, 2018
|
|
|
1,175,000
|
|
|
|
1,245,500
|
|
El Paso Corp., 7%, 2017
|
|
|
1,770,000
|
|
|
|
1,982,400
|
|
El Paso Corp., 7.75%, 2032
|
|
|
1,824,000
|
|
|
|
2,102,160
|
|
Energy Transfer Equity LP, 7.5%, 2020
|
|
|
1,165,000
|
|
|
|
1,258,200
|
|
Enterprise Products Partners LP, 8.375% to 2016, FRN to 2066
|
|
|
527,000
|
|
|
|
545,445
|
|
Enterprise Products Partners LP, 7.034% to 2018, FRN to 2068
|
|
|
340,000
|
|
|
|
350,200
|
|
Kinder Morgan Energy Partners LP, 5.125%, 2014
|
|
|
1,147,000
|
|
|
|
1,252,082
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
9,129,737
|
|
Network & Telecom - 2.6%
|
|
|
|
|
|
|
|
|
BellSouth Corp., 6.55%, 2034
|
|
$
|
3,213,000
|
|
|
$
|
3,818,798
|
|
CenturyLink, Inc., 7.6%, 2039
|
|
|
296,000
|
|
|
|
293,219
|
|
Cincinnati Bell, Inc., 8.25%, 2017
|
|
|
1,350,000
|
|
|
|
1,360,125
|
|
Cincinnati Bell, Inc., 8.75%, 2018
|
|
|
1,070,000
|
|
|
|
1,027,200
|
|
Citizens Communications Co., 9%, 2031
|
|
|
1,440,000
|
|
|
|
1,411,200
|
|
Frontier Communications Corp., 8.25%, 2017
|
|
|
290,000
|
|
|
|
309,575
|
|
Frontier Communications Corp., 8.125%, 2018
|
|
|
985,000
|
|
|
|
1,051,487
|
|
Frontier Communications Corp., 8.5%, 2020
|
|
|
355,000
|
|
|
|
378,075
|
|
Qwest Communications International, Inc., 7.125%, 2018 (n)
|
|
|
1,500,000
|
|
|
|
1,533,750
|
|
Telefonica Emisiones S.A.U., 2.582%, 2013
|
|
|
1,050,000
|
|
|
|
1,036,771
|
|
Windstream Corp., 8.125%, 2018
|
|
|
220,000
|
|
|
|
235,400
|
|
Windstream Corp., 7.75%, 2020
|
|
|
1,820,000
|
|
|
|
1,901,900
|
|
Windstream Corp., 7.75%, 2021
|
|
|
445,000
|
|
|
|
463,913
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
14,821,413
|
|
Oil Services - 0.9%
|
|
|
|
|
|
|
|
|
Afren PLC, 11.5%, 2016 (n)
|
|
$
|
335,000
|
|
|
$
|
336,675
|
|
Chesapeake Energy Corp., 6.625%, 2019 (z)
|
|
|
390,000
|
|
|
|
400,725
|
|
Edgen Murray Corp., 12.25%, 2015
|
|
|
530,000
|
|
|
|
500,850
|
|
Expro Finance Luxembourg, 8.5%, 2016 (n)
|
|
|
615,000
|
|
|
|
593,475
|
|
McJunkin Red Man Holding Corp., 9.5%, 2016
|
|
|
520,000
|
|
|
|
530,400
|
|
Pioneer Drilling Co., 9.875%, 2018
|
|
|
1,140,000
|
|
|
|
1,185,600
|
|
QGOG Atlantic/Alaskan Rigs Ltd., 5.25%, 2018 (n)
|
|
|
1,467,000
|
|
|
|
1,478,003
|
|
Unit Corp., 6.625%, 2021
|
|
|
225,000
|
|
|
|
220,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,246,228
|
|
Oils - 0.5%
|
|
|
|
|
|
|
|
|
LUKOIL International Finance B.V., 6.125%, 2020 (n)
|
|
$
|
2,005,000
|
|
|
$
|
2,035,075
|
|
Petroplus Holdings AG, 9.375%, 2019 (n)
|
|
|
650,000
|
|
|
|
513,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,548,575
|
|
28
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Other Banks & Diversified Financials - 2.7%
|
|
|
|
|
|
|
|
|
Alfa Bank, 7.75%, 2021 (n)
|
|
$
|
1,449,000
|
|
|
$
|
1,399,734
|
|
Banco PanAmericano S.A., 8.5%, 2020 (n)
|
|
|
665,000
|
|
|
|
694,925
|
|
Banco Santander U.S. Debt S.A.U., 3.781%, 2015 (n)
|
|
|
1,500,000
|
|
|
|
1,396,919
|
|
Banco Votorantim S.A., 5.25%, 2016 (n)
|
|
|
408,000
|
|
|
|
408,000
|
|
Bancolombia S.A., 5.95%, 2021
|
|
|
1,094,000
|
|
|
|
1,115,880
|
|
Bangkok Bank (Hong Kong), 4.8%, 2020 (n)
|
|
|
1,293,000
|
|
|
|
1,263,084
|
|
BBVA Bancomer S.A. Texas, 6.5%, 2021 (n)
|
|
|
1,207,000
|
|
|
|
1,200,965
|
|
Bosphorus Financial Services Ltd., FRN, 2.257%, 2012
|
|
|
250,000
|
|
|
|
249,463
|
|
Capital One Financial Corp., 10.25%, 2039
|
|
|
1,110,000
|
|
|
|
1,148,850
|
|
Citigroup, Inc., 6.125%, 2018
|
|
|
1,500,000
|
|
|
|
1,662,109
|
|
Groupe BPCE S.A., 12.5% to 2019, FRN to 2049 (n)
|
|
|
2,583,000
|
|
|
|
2,400,356
|
|
LBG Capital No.1 PLC, 7.875%, 2020 (n)
|
|
|
805,000
|
|
|
|
692,300
|
|
Santander UK PLC, 8.963% to 2030, FRN to 2049
|
|
|
1,911,000
|
|
|
|
1,815,450
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
15,448,035
|
|
Pharmaceuticals - 0.2%
|
|
|
|
|
|
|
|
|
Capsugel FinanceCo. SCA, 9.875%, 2019 (n)
|
|
EUR
|
670,000
|
|
|
$
|
945,621
|
|
Hypermarcas S.A., 6.5%, 2021 (n)
|
|
$
|
452,000
|
|
|
|
438,440
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,384,061
|
|
Pollution Control - 0.1%
|
|
|
|
|
|
|
|
|
WCA Waste Corp., 7.5%, 2019 (n)
|
|
$
|
845,000
|
|
|
$
|
819,650
|
|
|
|
|
Precious Metals & Minerals - 0.1%
|
|
|
|
|
|
|
|
|
ALROSA Finance S.A., 7.75%, 2020 (n)
|
|
$
|
384,000
|
|
|
$
|
397,920
|
|
|
|
|
Printing & Publishing - 0.3%
|
|
|
|
|
|
|
|
|
American Media, Inc., 13.5%, 2018 (z)
|
|
$
|
32,653
|
|
|
$
|
28,735
|
|
Nielsen Finance LLC, 11.5%, 2016
|
|
|
471,000
|
|
|
|
540,472
|
|
Nielsen Finance LLC, 7.75%, 2018
|
|
|
835,000
|
|
|
|
920,588
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,489,795
|
|
Railroad & Shipping - 0.4%
|
|
|
|
|
|
|
|
|
Kansas City Southern de Mexico S.A. de C.V., 6.125%, 2021
|
|
$
|
425,000
|
|
|
$
|
442,000
|
|
Kansas City Southern Railway, 8%, 2015
|
|
|
1,580,000
|
|
|
|
1,682,700
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,124,700
|
|
Real Estate - 1.2%
|
|
|
|
|
|
|
|
|
CB Richard Ellis Group, Inc., 11.625%, 2017
|
|
$
|
545,000
|
|
|
$
|
630,838
|
|
CNL Lifestyle Properties, Inc., REIT, 7.25%, 2019
|
|
|
410,000
|
|
|
|
369,000
|
|
Country Garden Holdings Co. Ltd., 11.125%, 2018 (n)
|
|
|
319,000
|
|
|
|
283,910
|
|
Entertainment Properties Trust, REIT, 7.75%, 2020
|
|
|
990,000
|
|
|
|
1,039,500
|
|
Kennedy Wilson, Inc., 8.75%, 2019 (n)
|
|
|
550,000
|
|
|
|
539,000
|
|
29
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Real Estate - continued
|
|
|
|
|
|
|
|
|
Longfor Properties Co. Ltd., 9.5%, 2016 (n)
|
|
$
|
553,000
|
|
|
$
|
530,880
|
|
MPT Operating Partnership, 6.875%, 2021 (n)
|
|
|
610,000
|
|
|
|
606,950
|
|
Simon Property Group, Inc., REIT, 10.35%, 2019
|
|
|
2,200,000
|
|
|
|
2,990,805
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,990,883
|
|
Retailers - 2.1%
|
|
|
|
|
|
|
|
|
Academy Ltd., 9.25%, 2019 (z)
|
|
$
|
480,000
|
|
|
$
|
482,400
|
|
Burlington Coat Factory Warehouse Corp., 10%, 2019 (n)
|
|
|
810,000
|
|
|
|
801,900
|
|
Home Depot, Inc., 5.875%, 2036
|
|
|
846,000
|
|
|
|
999,842
|
|
J. Crew Group, Inc., 8.125%, 2019
|
|
|
670,000
|
|
|
|
643,200
|
|
Limited Brands, Inc., 6.9%, 2017
|
|
|
630,000
|
|
|
|
672,525
|
|
Limited Brands, Inc., 7%, 2020
|
|
|
415,000
|
|
|
|
441,975
|
|
Limited Brands, Inc., 6.95%, 2033
|
|
|
360,000
|
|
|
|
331,200
|
|
Neiman Marcus Group, Inc., 10.375%, 2015
|
|
|
1,650,000
|
|
|
|
1,716,000
|
|
QVC, Inc., 7.375%, 2020 (n)
|
|
|
620,000
|
|
|
|
675,800
|
|
Rite Aid Corp., 9.375%, 2015
|
|
|
765,000
|
|
|
|
719,100
|
|
Sally Beauty Holdings, Inc., 10.5%, 2016
|
|
|
1,255,000
|
|
|
|
1,322,456
|
|
Toys R Us Property Co. II LLC, 8.5%, 2017
|
|
|
660,000
|
|
|
|
697,125
|
|
Toys R Us, Inc., 10.75%, 2017
|
|
|
1,545,000
|
|
|
|
1,714,950
|
|
Yankee Aquisition Corp., 8.5%, 2015
|
|
|
220,000
|
|
|
|
224,400
|
|
YCC Holdings LLC/Yankee Finance, Inc., 10.25%, 2016 (p)
|
|
|
430,000
|
|
|
|
395,600
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
11,838,473
|
|
Specialty Stores - 0.3%
|
|
|
|
|
|
|
|
|
GSC Holdings Corp., 8%, 2012
|
|
$
|
130,000
|
|
|
$
|
130,013
|
|
Michaels Stores, Inc., 11.375%, 2016
|
|
|
625,000
|
|
|
|
651,569
|
|
Michaels Stores, Inc., 7.75%, 2018
|
|
|
725,000
|
|
|
|
735,875
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,517,457
|
|
Steel - 0.2%
|
|
|
|
|
|
|
|
|
JSC Severstal, 6.25%, 2016 (n)
|
|
$
|
1,119,000
|
|
|
$
|
1,087,608
|
|
|
|
|
Supermarkets - 0.3%
|
|
|
|
|
|
|
|
|
Delhaize Group, 5.7%, 2040
|
|
$
|
1,395,000
|
|
|
$
|
1,438,986
|
|
|
|
|
Supranational - 0.3%
|
|
|
|
|
|
|
|
|
European Investment Bank, 5.125%, 2017
|
|
$
|
1,500,000
|
|
|
$
|
1,778,281
|
|
|
|
|
Telecommunications - Wireless - 3.6%
|
|
|
|
|
|
|
|
|
America Movil S.A.B. de C.V., 2.375%, 2016
|
|
$
|
738,000
|
|
|
$
|
736,814
|
|
America Movil S.A.B. de C.V., 6.125%, 2040
|
|
|
466,000
|
|
|
|
549,732
|
|
Clearwire Corp., 12%, 2015 (n)
|
|
|
1,510,000
|
|
|
|
1,291,050
|
|
Cricket Communications, Inc., 7.75%, 2016
|
|
|
735,000
|
|
|
|
762,562
|
|
30
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Telecommunications - Wireless - continued
|
|
|
|
|
|
|
|
|
Cricket Communications, Inc., 7.75%, 2020
|
|
$
|
425,000
|
|
|
$
|
363,375
|
|
Crown Castle International Corp., 9%, 2015
|
|
|
2,330,000
|
|
|
|
2,539,700
|
|
Crown Castle International Corp., 7.125%, 2019
|
|
|
370,000
|
|
|
|
400,525
|
|
Crown Castle Towers LLC, 6.113%, 2020 (n)
|
|
|
420,000
|
|
|
|
464,097
|
|
Digicel Group Ltd., 12%, 2014 (n)
|
|
|
400,000
|
|
|
|
452,000
|
|
Digicel Group Ltd., 8.25%, 2017 (n)
|
|
|
1,330,000
|
|
|
|
1,356,600
|
|
Digicel Group Ltd., 10.5%, 2018 (n)
|
|
|
880,000
|
|
|
|
906,400
|
|
Globo Comunicacoes e Participacoes S.A., 6.25% to 2015, 9.375% to 2049 (n)
|
|
|
322,000
|
|
|
|
334,880
|
|
MetroPCS Wireless, Inc., 7.875%, 2018
|
|
|
800,000
|
|
|
|
814,000
|
|
MetroPCS Wireless, Inc., 6.625%, 2020
|
|
|
210,000
|
|
|
|
197,400
|
|
Net Servicos de Comunicacao S.A., 7.5%, 2020
|
|
|
1,055,000
|
|
|
|
1,200,063
|
|
NII Holdings, Inc., 10%, 2016
|
|
|
820,000
|
|
|
|
922,500
|
|
NII Holdings, Inc., 8.875%, 2019
|
|
|
495,000
|
|
|
|
519,750
|
|
NII Holdings, Inc., 7.625%, 2021
|
|
|
445,000
|
|
|
|
458,350
|
|
Sprint Capital Corp., 6.875%, 2028
|
|
|
2,210,000
|
|
|
|
1,613,300
|
|
Sprint Nextel Corp., 6%, 2016
|
|
|
385,000
|
|
|
|
334,950
|
|
VimpelCom Ltd., 7.748%, 2021 (n)
|
|
|
593,000
|
|
|
|
569,280
|
|
VimpelCom Ltd., 7.504%, 2022 (n)
|
|
|
1,423,000
|
|
|
|
1,334,063
|
|
Wind Acquisition Finance S.A., 11.75%, 2017 (n)
|
|
|
1,560,000
|
|
|
|
1,544,400
|
|
Wind Acquisition Finance S.A., 7.25%, 2018 (n)
|
|
|
940,000
|
|
|
|
907,100
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
20,572,891
|
|
Telephone Services - 0.2%
|
|
|
|
|
|
|
|
|
Cogent Communications Group, Inc., 8.375%, 2018 (n)
|
|
$
|
460,000
|
|
|
$
|
478,400
|
|
Level 3 Financing, Inc., 9.375%, 2019
|
|
|
615,000
|
|
|
|
642,675
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,121,075
|
|
Tobacco - 0.4%
|
|
|
|
|
|
|
|
|
Reynolds American, Inc., 6.75%, 2017
|
|
$
|
2,016,000
|
|
|
$
|
2,329,579
|
|
|
|
|
Transportation - 0.1%
|
|
|
|
|
|
|
|
|
Navios South American Logistics, Inc., 9.25%, 2019 (n)
|
|
$
|
405,000
|
|
|
$
|
357,413
|
|
|
|
|
Transportation - Services - 1.9%
|
|
|
|
|
|
|
|
|
ACL I Corp., 10.625%, 2016 (n)(p)
|
|
$
|
787,371
|
|
|
$
|
600,649
|
|
AE Escrow Corp., 9.75%, 2020 (z)
|
|
|
420,000
|
|
|
|
436,800
|
|
Aguila American Resources Ltd., 7.875%, 2018 (n)
|
|
|
930,000
|
|
|
|
911,400
|
|
American Petroleum Tankers LLC, 10.25%, 2015
|
|
|
702,000
|
|
|
|
721,305
|
|
Atlas Airlines, Inc. Pass-Through Certificates, A-1, 7.2%, 2019
|
|
|
501,726
|
|
|
|
466,605
|
|
Atlas Airlines, Inc. Pass-Through Certificates, B, 7.68%, 2014
|
|
|
534,093
|
|
|
|
480,684
|
|
Commercial Barge Line Co., 12.5%, 2017
|
|
|
1,785,000
|
|
|
|
1,921,106
|
|
Erac USA Finance Co., 7%, 2037 (n)
|
|
|
878,000
|
|
|
|
1,026,183
|
|
31
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Transportation - Services - continued
|
|
|
|
|
|
|
|
|
Hertz Corp., 7.5%, 2018
|
|
$
|
655,000
|
|
|
$
|
682,838
|
|
Hertz Corp., 7.375%, 2021
|
|
|
435,000
|
|
|
|
446,963
|
|
Navios Maritime Acquisition Corp., 8.625%, 2017
|
|
|
1,095,000
|
|
|
|
848,625
|
|
Navios Maritime Holdings, Inc., 8.875%, 2017
|
|
|
620,000
|
|
|
|
593,650
|
|
Swift Services Holdings, Inc., 10%, 2018
|
|
|
935,000
|
|
|
|
967,725
|
|
Westinghouse Air Brake Technologies Corp., 6.875%, 2013
|
|
|
795,000
|
|
|
|
830,775
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
10,935,308
|
|
U.S. Treasury Obligations - 2.5%
|
|
|
|
|
|
|
|
|
U.S. Treasury Bonds, 4.5%, 2039 (f)
|
|
$
|
11,103,000
|
|
|
$
|
13,847,528
|
|
|
|
|
Utilities - Electric Power - 4.0%
|
|
|
|
|
|
|
|
|
AES Corp., 8%, 2017
|
|
$
|
1,495,000
|
|
|
$
|
1,640,762
|
|
Allegheny Energy Supply Co. LLC, 8.25%, 2012 (n)
|
|
|
805,000
|
|
|
|
829,035
|
|
Atlantic Power Corp., 9%, 2018 (z)
|
|
|
430,000
|
|
|
|
427,850
|
|
Calpine Corp., 8%, 2016 (n)
|
|
|
940,000
|
|
|
|
1,001,100
|
|
Calpine Corp., 7.875%, 2020 (n)
|
|
|
1,150,000
|
|
|
|
1,233,375
|
|
CenterPoint Energy, Inc., 6.5%, 2018
|
|
|
600,000
|
|
|
|
699,023
|
|
Covanta Holding Corp., 7.25%, 2020
|
|
|
990,000
|
|
|
|
1,027,262
|
|
Dolphin Subsidiary ll, Inc., 7.25%, 2021 (z)
|
|
|
680,000
|
|
|
|
729,300
|
|
Dynegy Holdings, Inc., 7.5%, 2015
|
|
|
695,000
|
|
|
|
481,287
|
|
Dynegy Holdings, Inc., 7.75%, 2019
|
|
|
725,000
|
|
|
|
471,250
|
|
Edison Mission Energy, 7%, 2017
|
|
|
885,000
|
|
|
|
619,500
|
|
EDP Finance B.V., 6%, 2018 (n)
|
|
|
1,060,000
|
|
|
|
950,638
|
|
Enel Finance International S.A., 6%, 2039 (n)
|
|
|
310,000
|
|
|
|
285,253
|
|
Energy Future Holdings Corp., 10%, 2020
|
|
|
1,370,000
|
|
|
|
1,431,650
|
|
Energy Future Holdings Corp., 10%, 2020
|
|
|
2,955,000
|
|
|
|
3,102,750
|
|
GenOn Energy, Inc., 9.5%, 2018
|
|
|
615,000
|
|
|
|
648,825
|
|
GenOn Energy, Inc., 9.875%, 2020
|
|
|
1,410,000
|
|
|
|
1,487,550
|
|
NRG Energy, Inc., 7.375%, 2017
|
|
|
495,000
|
|
|
|
515,419
|
|
NRG Energy, Inc., 8.25%, 2020
|
|
|
2,460,000
|
|
|
|
2,546,100
|
|
System Energy Resources, Inc., 5.129%, 2014 (z)
|
|
|
804,460
|
|
|
|
824,700
|
|
Texas Competitive Electric Holdings Co. LLC, 11.5%, 2020 (n)
|
|
|
415,000
|
|
|
|
356,900
|
|
Waterford 3 Funding Corp., 8.09%, 2017
|
|
|
1,245,420
|
|
|
|
1,247,649
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
22,557,178
|
|
Total Bonds (Identified Cost, $617,726,477)
|
|
|
|
|
|
$
|
638,697,044
|
|
|
|
|
Floating Rate Loans (g)(r) - 0.3%
|
|
|
|
|
|
|
|
|
Aerospace - 0.1%
|
|
|
|
|
|
|
|
|
Hawker Beechcraft Acquisition Co. LLC, Term Loan, 10.5%, 2014
|
|
$
|
446,657
|
|
|
$
|
367,375
|
|
32
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loans (g)(r) - continued
|
|
|
|
|
|
|
|
|
Broadcasting - 0.0%
|
|
|
|
|
|
|
|
|
Gray Television, Inc., Term Loan B, 3.74%, 2014
|
|
$
|
195,145
|
|
|
$
|
190,364
|
|
Local TV Finance LLC, Term Loan B, 2.25%, 2013
|
|
|
70,295
|
|
|
|
66,956
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
257,320
|
|
Financial Institutions - 0.1%
|
|
|
|
|
|
|
|
|
Springleaf Finance Corp., Term Loan, 5.5%, 2017
|
|
$
|
401,312
|
|
|
$
|
367,033
|
|
|
|
|
Gaming & Lodging - 0.1%
|
|
|
|
|
|
|
|
|
MGM Mirage, Term Loan, 7%, 2014
|
|
$
|
599,177
|
|
|
$
|
582,400
|
|
|
|
|
Utilities - Electric Power - 0.0%
|
|
|
|
|
|
|
|
|
Dynegy Holdings, Inc., GasCo. Term Loan, 9.25%, 2017
|
|
$
|
173,737
|
|
|
$
|
173,364
|
|
Dynegy Holdings, Inc., CoalCo. Term Loan, 9.25%, 2017
|
|
|
115,824
|
|
|
|
113,761
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
287,125
|
|
Total Floating Rate Loans (Identified Cost, $1,839,167)
|
|
|
|
|
|
$
|
1,861,253
|
|
|
|
|
Common Stocks - 0.0%
|
|
|
|
|
|
|
|
|
Automotive - 0.0%
|
|
|
|
|
|
|
|
|
Accuride Corp. (a)
|
|
|
20,680
|
|
|
$
|
130,698
|
|
|
|
|
Printing & Publishing - 0.0%
|
|
|
|
|
|
|
|
|
American Media Operations, Inc. (a)
|
|
|
8,368
|
|
|
$
|
109,872
|
|
Golden Books Family Entertainment, Inc. (a)
|
|
|
19,975
|
|
|
|
0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
109,872
|
|
Total Common Stocks (Identified Cost, $399,733)
|
|
|
|
|
|
$
|
240,570
|
|
|
|
|
Preferred Stocks - 0.5%
|
|
|
|
|
|
|
|
|
Other Banks & Diversified Financials - 0.5%
|
|
|
|
|
|
|
|
|
Ally Financial, Inc., 7% (n)
|
|
|
480
|
|
|
$
|
357,975
|
|
Ally Financial, Inc., A, 8.5%
|
|
|
82,686
|
|
|
|
1,604,108
|
|
GMAC Capital Trust I, 8.125%
|
|
|
28,250
|
|
|
|
592,120
|
|
Total Preferred Stocks (Identified Cost, $3,129,949)
|
|
|
|
|
|
$
|
2,554,203
|
|
|
|
|
Convertible Preferred Stocks - 0.3%
|
|
|
|
|
|
|
|
|
Automotive - 0.2%
|
|
|
|
|
|
|
|
|
General Motors Co., 4.75%
|
|
|
21,770
|
|
|
$
|
904,761
|
|
|
|
|
Insurance - 0.1%
|
|
|
|
|
|
|
|
|
MetLife, Inc., 5%
|
|
|
11,590
|
|
|
$
|
787,077
|
|
Total Convertible Preferred Stocks (Identified Cost, $2,046,045)
|
|
|
|
|
|
$
|
1,691,838
|
|
33
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Money Market Funds (v) - 2.5%
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
MFS Institutional Money Market Portfolio, 0.07%,
at Cost and Net Asset Value
|
|
|
14,126,104
|
|
|
$
|
14,126,104
|
|
Total Investments (Identified Cost, $639,267,475)
|
|
|
|
|
|
$
|
659,171,012
|
|
|
|
|
Other Assets, Less Liabilities - (16.8)%
|
|
|
|
|
|
|
(94,724,540
|
)
|
Net Assets - 100.0%
|
|
|
|
|
|
$
|
564,446,472
|
|
(a)
|
Non-income producing security.
|
(d)
|
In default. Interest and/or scheduled principal payment(s) have been missed.
|
(e)
|
Guaranteed by Minister for Finance of Ireland.
|
(f)
|
All or a portion of the security has been segregated as collateral for open futures contracts.
|
(g)
|
The rate shown represents a weighted average coupon rate on settled positions at period end, unless otherwise indicated.
|
(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 $169,657,881, representing 30.06% of net assets.
|
(p)
|
Payment-in-kind security.
|
(r)
|
Remaining maturities of floating rate loans may be less than stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot
be predicted with certainty. These loans may be subject to restrictions on resale. Floating rate loans generally have rates of interest which are determined periodically by reference to a base lending rate plus a premium.
|
(v)
|
Underlying affiliated fund that is available only to investment companies managed by MFS. The rate quoted is the annualized seven-day yield of the fund at period end.
|
(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
|
|
AE Escrow Corp., 9.75%, 2020
|
|
9/21/11
|
|
|
$420,000
|
|
|
|
$436,800
|
|
Academy Ltd., 9.25%, 2019
|
|
8/29/11-10/14/11
|
|
|
460,015
|
|
|
|
482,400
|
|
American Media, Inc., 13.5%, 2018
|
|
12/22/10
|
|
|
33,137
|
|
|
|
28,735
|
|
ARCap REIT, Inc., CDO, H, FRN, 6.032%, 2045
|
|
6/21/11
|
|
|
20,494
|
|
|
|
55
|
|
Atlantic Power Corp., 9%, 2018
|
|
10/26/11
|
|
|
419,125
|
|
|
|
427,850
|
|
Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.845%, 2040
|
|
3/01/06
|
|
|
2,815,231
|
|
|
|
1,582,971
|
|
Beagle Acquisition Corp., 11%, 2019
|
|
10/14/11
|
|
|
245,000
|
|
|
|
254,800
|
|
Centrais Eletricas Brasileiras S.A., 5.75%, 2021
|
|
10/20/11
|
|
|
2,323,000
|
|
|
|
2,404,305
|
|
Chesapeake Energy Corp., 6.625%, 2019
|
|
10/25/11
|
|
|
390,000
|
|
|
|
400,725
|
|
34
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
|
|
Restricted Securities (continued)
|
|
Acquisition
Date
|
|
Cost
|
|
|
Value
|
|
Corporacion Nacional del Cobre de Chile, 3.875%, 2021
|
|
10/27/11
|
|
|
$393,370
|
|
|
|
$397,363
|
|
Dematic S.A., 8.75%, 2016
|
|
4/19/11-4/20/11
|
|
|
798,577
|
|
|
|
778,150
|
|
Dolphin Subsidiary ll, Inc., 7.25%, 2021
|
|
9/26/11
|
|
|
680,000
|
|
|
|
729,300
|
|
Dynacast International LLC, 9.25%, 2019
|
|
7/12/11-7/15/11
|
|
|
762,737
|
|
|
|
694,600
|
|
Examworks Group, Inc., 9%, 2019
|
|
7/14/11-7/15/11
|
|
|
446,140
|
|
|
|
423,500
|
|
Exopack Holding Corp., 10%, 2018
|
|
5/25/11
|
|
|
521,722
|
|
|
|
509,600
|
|
Falcon Franchise Loan LLC, FRN, 5.12%, 2025
|
|
1/29/03
|
|
|
224,561
|
|
|
|
193,134
|
|
FelCor Escrow Holdings LLC, 6.75%, 2019
|
|
10/14/11
|
|
|
239,581
|
|
|
|
244,463
|
|
First Union National Bank Commercial Mortgage Trust, FRN, 1.498%, 2043
|
|
12/11/03
|
|
|
4,379
|
|
|
|
1,245
|
|
Fortescue Metals Group Ltd., 6.875%, 2018
|
|
10/03/11-10/04/11
|
|
|
230,784
|
|
|
|
254,400
|
|
Fortescue Metals Group Ltd., 8.25%, 2019
|
|
10/25/11-10/27/11
|
|
|
645,250
|
|
|
|
646,400
|
|
G-Force LLC, CDO, A2, 4.83%, 2036
|
|
1/20/11
|
|
|
1,950,110
|
|
|
|
1,878,442
|
|
GMAC LLC, FRN, 6.02%, 2033
|
|
11/17/00
|
|
|
695,542
|
|
|
|
1,152,687
|
|
Heckler & Koch GmbH, 9.5%, 2018
|
|
5/06/11-5/10/11
|
|
|
821,447
|
|
|
|
625,986
|
|
Hilcorp Energy I/Hilcorp Finance Co., 8%, 2020
|
|
9/07/11-9/12/11
|
|
|
365,362
|
|
|
|
376,250
|
|
Hillman Group, Inc., 10.875%, 2018
|
|
3/11/11
|
|
|
619,327
|
|
|
|
585,675
|
|
Laredo Petroleum, Inc., 9.5%, 2019
|
|
10/12/11
|
|
|
737,275
|
|
|
|
773,800
|
|
Local TV Finance LLC, 9.25%, 2015
|
|
11/09/07-2/16/11
|
|
|
1,304,428
|
|
|
|
1,242,072
|
|
Millar Western Forest Products Ltd., 8.5%, 2021
|
|
7/27/11
|
|
|
156,011
|
|
|
|
144,400
|
|
Morgan Stanley Capital I, Inc., FRN, 1.383%, 2039
|
|
7/20/04
|
|
|
188,754
|
|
|
|
177,953
|
|
Multi Security Asset Trust, A3, 5%, 2035
|
|
10/12/10
|
|
|
1,908,022
|
|
|
|
1,892,021
|
|
Packaging Dynamics Corp., 8.75%, 2016
|
|
1/25/11-2/01/11
|
|
|
333,948
|
|
|
|
334,950
|
|
Petroleos Mexicanos, 6.5%, 2041
|
|
10/12/11
|
|
|
454,479
|
|
|
|
477,263
|
|
Prudential Securities Secured Financing Corp., FRN, 7.289%, 2013
|
|
12/06/04
|
|
|
2,635,779
|
|
|
|
2,487,942
|
|
Republic of Namibia, 5.5%, 2021
|
|
10/27/11
|
|
|
378,739
|
|
|
|
386,000
|
|
Sealed Air Corp., 8.125%, 2019
|
|
9/16/11
|
|
|
190,000
|
|
|
|
206,150
|
|
Sealed Air Corp., 8.375%, 2021
|
|
9/16/11
|
|
|
190,000
|
|
|
|
205,675
|
|
System Energy Resources, Inc., 5.129%, 2014
|
|
4/16/04
|
|
|
804,460
|
|
|
|
824,700
|
|
Turkiye Ihracat Kredi Bankasi A.S., 5.375%, 2016
|
|
10/28/11
|
|
|
213,904
|
|
|
|
215,280
|
|
Xerium Technologies, Inc., 8.875%, 2018
|
|
5/20/11
|
|
|
420,000
|
|
|
|
357,000
|
|
Total Restricted Securities
|
|
|
|
|
|
|
|
|
$25,235,042
|
|
% of Net assets
|
|
|
|
|
|
|
|
|
4.5%
|
|
The following abbreviations are used in this report and are defined:
CDO
|
|
Collateralized Debt Obligation
|
FRN
|
|
Floating Rate Note. Interest rate resets periodically and may not be the rate reported at period end.
|
PLC
|
|
Public Limited Company
|
REIT
|
|
Real Estate Investment Trust
|
35
Portfolio of Investments continued
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
|
CNY
|
|
Chinese Yuan Renminbi
|
EUR
|
|
Euro
|
GBP
|
|
British Pound
|
JPY
|
|
Japanese Yen
|
NOK
|
|
Norwegian Krone
|
SEK
|
|
Swedish Krona
|
Derivative Contracts at 10/31/11
Forward Foreign Currency Exchange Contracts at 10/31/11
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type
|
|
Currency
|
|
Counterparty
|
|
Contracts
to
Deliver/
Receive
|
|
|
Settlement
Date Range
|
|
In
Exchange
For
|
|
|
Contracts at
Value
|
|
|
Net
Unrealized
Appreciation
(Depreciation)
|
|
Asset Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
BUY
|
|
CAD
|
|
Merrill Lynch International Bank
|
|
|
294,000
|
|
|
1/12/12
|
|
$
|
280,631
|
|
|
$
|
294,478
|
|
|
$
|
13,847
|
|
BUY
|
|
CNY
|
|
Deutsche Bank AG
|
|
|
16,934,000
|
|
|
5/16/12
|
|
|
2,657,356
|
|
|
|
2,670,738
|
|
|
|
13,382
|
|
BUY
|
|
CNY
|
|
HSBC Bank
|
|
|
18,209,000
|
|
|
11/16/11
|
|
|
2,824,414
|
|
|
|
2,865,369
|
|
|
|
40,955
|
|
SELL
|
|
EUR
|
|
Barclays Bank PLC
|
|
|
206,718
|
|
|
1/12/12
|
|
|
287,739
|
|
|
|
285,893
|
|
|
|
1,846
|
|
SELL
|
|
EUR
|
|
Credit Suisse Group
|
|
|
394,808
|
|
|
1/12/12
|
|
|
549,164
|
|
|
|
546,022
|
|
|
|
3,142
|
|
SELL
|
|
JPY
|
|
Credit Suisse Group
|
|
|
36,371,488
|
|
|
1/12/12
|
|
|
474,316
|
|
|
|
465,878
|
|
|
|
8,438
|
|
SELL
|
|
JPY
|
|
JPMorgan Chase Bank N.A.
|
|
|
891,529,567
|
|
|
1/12/12
|
|
|
11,616,020
|
|
|
|
11,419,495
|
|
|
|
196,525
|
|
BUY
|
|
NOK
|
|
Credit Suisse Group
|
|
|
14,185
|
|
|
1/12/12
|
|
|
2,412
|
|
|
|
2,538
|
|
|
|
126
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
278,261
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liability Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
SELL
|
|
AUD
|
|
Westpac Banking Corp.
|
|
|
221,189
|
|
|
1/12/12
|
|
$
|
210,877
|
|
|
$
|
231,137
|
|
|
$
|
(20,260
|
)
|
SELL
|
|
CAD
|
|
Merrill Lynch International Bank
|
|
|
10,397,395
|
|
|
1/12/12
|
|
|
9,924,587
|
|
|
|
10,414,305
|
|
|
|
(489,718
|
)
|
SELL
|
|
CNY
|
|
HSBC Bank
|
|
|
18,209,000
|
|
|
11/16/11
|
|
|
2,850,724
|
|
|
|
2,865,369
|
|
|
|
(14,645
|
)
|
SELL
|
|
EUR
|
|
Credit Suisse Group
|
|
|
1,324,867
|
|
|
1/12/12
|
|
|
1,788,875
|
|
|
|
1,832,302
|
|
|
|
(43,427
|
)
|
SELL
|
|
EUR
|
|
HSBC Bank
|
|
|
1,324,867
|
|
|
1/12/12
|
|
|
1,786,424
|
|
|
|
1,832,302
|
|
|
|
(45,878
|
)
|
SELL
|
|
EUR
|
|
UBS AG
|
|
|
12,158,082
|
|
|
12/15/11
|
|
|
16,573,046
|
|
|
|
16,816,895
|
|
|
|
(243,849
|
)
|
SELL
|
|
GBP
|
|
Barclays Bank PLC
|
|
|
1,044,051
|
|
|
1/12/12
|
|
|
1,604,717
|
|
|
|
1,677,453
|
|
|
|
(72,736
|
)
|
SELL
|
|
GBP
|
|
Deutsche Bank AG
|
|
|
1,044,051
|
|
|
1/12/12
|
|
|
1,604,920
|
|
|
|
1,677,453
|
|
|
|
(72,533
|
)
|
SELL
|
|
SEK
|
|
Barclays Bank PLC
|
|
|
1,094,947
|
|
|
1/12/12
|
|
|
160,413
|
|
|
|
167,379
|
|
|
|
(6,966
|
)
|
SELL
|
|
SEK
|
|
Deutsche Bank AG
|
|
|
1,094,947
|
|
|
1/12/12
|
|
|
160,448
|
|
|
|
167,379
|
|
|
|
(6,931
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(1,016,943
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
36
Portfolio of Investments continued
Futures Contracts Outstanding at 10/31/11
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Currency
|
|
|
Contracts
|
|
|
Value
|
|
|
Expiration Date
|
|
Unrealized
Appreciation
(Depreciation)
|
|
Liability Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Futures
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Note 10 yr (Short)
|
|
|
USD
|
|
|
|
477
|
|
|
|
$61,562,813
|
|
|
December - 2011
|
|
|
$(9,123
|
)
|
U.S. Treasury Bond 30 yr (Short)
|
|
|
USD
|
|
|
|
8
|
|
|
|
1,112,250
|
|
|
December - 2011
|
|
|
(16,840
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$(25,963
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At October 31, 2011, the fund had sufficient cash and/or other liquid securities to cover any commitments under these
derivative contracts.
See Notes to Financial Statements
37
Financial Statements
STATEMENT OF ASSETS AND LIABILITIES
At 10/31/11
This statement represents
your funds balance sheet, which details the assets and liabilities comprising the total value of the fund.
|
|
|
|
|
Assets
|
|
|
|
|
Investments-
|
|
|
|
|
Non-affiliated issuers, at value (identified cost, $625,141,371)
|
|
|
$645,044,908
|
|
Underlying affiliated funds, at cost and value
|
|
|
14,126,104
|
|
Total investments, at value (identified cost, $639,267,475)
|
|
|
$659,171,012
|
|
Cash
|
|
|
462,946
|
|
Foreign currency, at value (identified cost, $139,174)
|
|
|
138,370
|
|
Receivables for
|
|
|
|
|
Forward foreign currency exchange contracts
|
|
|
278,261
|
|
Investments sold
|
|
|
509,116
|
|
Interest and dividends
|
|
|
11,585,825
|
|
Other assets
|
|
|
70,076
|
|
Total assets
|
|
|
$672,215,606
|
|
Liabilities
|
|
|
|
|
Notes payable
|
|
|
$100,000,000
|
|
Payables for
|
|
|
|
|
Distributions
|
|
|
245,247
|
|
Forward foreign currency exchange contracts
|
|
|
1,016,943
|
|
Daily variation margin on open futures contracts
|
|
|
479,344
|
|
Investments purchased
|
|
|
5,483,491
|
|
Payable to affiliates
|
|
|
|
|
Investment adviser
|
|
|
46,321
|
|
Transfer agent and dividend disbursing costs
|
|
|
10,557
|
|
Payable for independent Trustees compensation
|
|
|
218,224
|
|
Accrued interest expense
|
|
|
89,689
|
|
Accrued expenses and other liabilities
|
|
|
179,318
|
|
Total liabilities
|
|
|
$107,769,134
|
|
Net assets
|
|
|
$564,446,472
|
|
Net assets consist of
|
|
|
|
|
Paid-in capital
|
|
|
$560,249,381
|
|
Unrealized appreciation (depreciation) on investments and translation of assets and liabilities in foreign currencies
|
|
|
19,129,505
|
|
Accumulated net realized gain (loss) on investments and foreign currency transactions
|
|
|
(13,304,002
|
)
|
Accumulated distributions in excess of net investment income
|
|
|
(1,628,412
|
)
|
Net assets
|
|
|
$564,446,472
|
|
Shares of beneficial interest outstanding
|
|
|
78,378,104
|
|
Net asset value per share (net assets of $564,446,472 / 78,378,104
shares of beneficial interest
outstanding)
|
|
|
$7.20
|
|
See Notes to Financial Statements
38
Financial Statements
STATEMENT OF OPERATIONS
Year ended 10/31/11
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
|
|
|
|
|
Income
|
|
|
|
|
Interest
|
|
|
$45,045,110
|
|
Dividends
|
|
|
195,336
|
|
Dividends from underlying affiliated funds
|
|
|
36,714
|
|
Total investment income
|
|
|
$45,277,160
|
|
Expenses
|
|
|
|
|
Management fee
|
|
|
$4,487,567
|
|
Transfer agent and dividend disbursing costs
|
|
|
170,497
|
|
Administrative services fee
|
|
|
90,281
|
|
Independent Trustees compensation
|
|
|
80,576
|
|
Stock exchange fee
|
|
|
69,184
|
|
Custodian fee
|
|
|
81,115
|
|
Interest expense
|
|
|
1,163,386
|
|
Shareholder communications
|
|
|
124,678
|
|
Auditing fees
|
|
|
69,531
|
|
Legal fees
|
|
|
14,867
|
|
Miscellaneous
|
|
|
32,840
|
|
Total expenses
|
|
|
$6,384,522
|
|
Fees paid indirectly
|
|
|
(682
|
)
|
Reduction of expenses by investment adviser
|
|
|
(2,369
|
)
|
Net expenses
|
|
|
$6,381,471
|
|
Net investment income
|
|
|
$38,895,689
|
|
Realized and unrealized gain (loss) on investments
and foreign currency transactions
|
|
|
|
|
Realized gain (loss) (identified cost basis)
|
|
|
|
|
Investment transactions
|
|
|
$17,589,381
|
|
Futures contracts
|
|
|
(4,078,605
|
)
|
Foreign currency transactions
|
|
|
(2,443,008
|
)
|
Net realized gain (loss) on investments and foreign currency transactions
|
|
|
$11,067,768
|
|
Change in unrealized appreciation (depreciation)
|
|
|
|
|
Investments
|
|
|
$(29,816,053
|
)
|
Futures contracts
|
|
|
405,178
|
|
Translation of assets and liabilities in foreign currencies
|
|
|
2,587,068
|
|
Net unrealized gain (loss) on investments and foreign currency translation
|
|
|
$(26,823,807
|
)
|
Net realized and unrealized gain (loss) on investments and foreign currency
|
|
|
$(15,756,039
|
)
|
Change in net assets from operations
|
|
|
$23,139,650
|
|
See Notes to Financial Statements
39
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.
|
|
|
|
|
|
|
|
|
|
|
Years ended 10/31
|
|
|
|
2011
|
|
|
2010
|
|
Change in net assets
|
|
|
|
|
|
|
From operations
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
$38,895,689
|
|
|
|
$40,887,550
|
|
Net realized gain (loss) on investments and foreign currency transactions
|
|
|
11,067,768
|
|
|
|
30,872,706
|
|
Net unrealized gain (loss) on investments and foreign currency translation
|
|
|
(26,823,807
|
)
|
|
|
18,431,787
|
|
Change in net assets from operations
|
|
|
$23,139,650
|
|
|
|
$90,192,043
|
|
Distributions declared to shareholders
|
|
|
|
|
|
|
|
|
From net investment income
|
|
|
$(42,010,671
|
)
|
|
|
$(42,324,144
|
)
|
Total change in net assets
|
|
|
$(18,871,021
|
)
|
|
|
$47,867,899
|
|
Net assets
|
|
|
|
|
|
|
|
|
At beginning of period
|
|
|
583,317,493
|
|
|
|
535,449,594
|
|
At end of period (including accumulated distributions in excess of net investment income of
$1,628,412 and undistributed net investment income of $1,075,790, respectively)
|
|
|
$564,446,472
|
|
|
|
$583,317,493
|
|
See Notes to Financial Statements
40
Financial Statements
STATEMENT OF CASH FLOWS
Year ended 10/31/11
This statement provides a
summary of cash flows from investment activity for the fund.
|
|
|
|
|
Cash flows from operating activities:
|
|
|
|
|
Net increase in net assets from operations
|
|
|
$23,139,650
|
|
Adjustments to reconcile change in net assets from operations to net cash provided by operating activities:
|
|
|
|
|
Purchase of investment securities
|
|
|
(391,500,206
|
)
|
Proceeds from disposition of investment securities
|
|
|
405,491,901
|
|
Proceeds from futures transactions
|
|
|
(4,078,605
|
)
|
Purchases of short-term investments, net
|
|
|
(4,670,112
|
)
|
Realized gain/loss on investments
|
|
|
(17,589,381
|
)
|
Realized gain/loss on futures transactions
|
|
|
4,078,605
|
|
Unrealized appreciation/depreciation on investments
|
|
|
29,816,053
|
|
Unrealized appreciation/depreciation on foreign currency contracts
|
|
|
(2,621,607
|
)
|
Net amortization/accretion of income
|
|
|
235,486
|
|
Increase in interest and dividends receivable
|
|
|
(992
|
)
|
Decrease in accrued expenses and other liabilities
|
|
|
(30,473
|
)
|
Increase in payable for daily variation margin on open futures contracts
|
|
|
278,110
|
|
Decrease in restricted cash
|
|
|
90,000
|
|
Decrease in other assets
|
|
|
4,506
|
|
Net cash provided by operating activities
|
|
|
$42,642,935
|
|
Cash flows from financing activities:
|
|
|
|
|
Distributions paid in cash
|
|
|
(41,996,170
|
)
|
Decrease in interest payable
|
|
|
(57,888
|
)
|
Net cash used by financing activities
|
|
|
$(42,054,058
|
)
|
Net increase in cash
|
|
|
$588,877
|
|
Cash:
|
|
|
|
|
Beginning of period
|
|
|
$12,439
|
|
End of period (including foreign currency of $138,370)
|
|
|
$601,316
|
|
Supplementary disclosure of cash flow information: cash paid during the year for interest $1,221,274.
See Notes to Financial Statements
41
Financial Statements
FINANCIAL HIGHLIGHTS
The financial highlights table is intended to help you understand the funds financial performance for the past 5 years. Certain information reflects
financial results for a single fund share. The total returns in the table represent the rate by which 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.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Years ended 10/31
|
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
Net asset value, beginning of period
|
|
|
$7.44
|
|
|
|
$6.83
|
|
|
|
$5.48
|
|
|
|
$6.68
|
|
|
|
$6.74
|
|
Income (loss) from investment operations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (d)
|
|
|
$0.50
|
|
|
|
$0.52
|
|
|
|
$0.47
|
|
|
|
$0.34
|
|
|
|
$0.35
|
|
Net realized and unrealized gain (loss)
on investments and foreign currency
|
|
|
(0.20
|
)
|
|
|
0.63
|
|
|
|
1.38
|
|
|
|
(1.16
|
)
|
|
|
(0.05
|
)
|
Total from investment operations
|
|
|
$0.30
|
|
|
|
$1.15
|
|
|
|
$1.85
|
|
|
|
$(0.82
|
)
|
|
|
$0.30
|
|
Less distributions declared to shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
From net investment income
|
|
|
$(0.54
|
)
|
|
|
$(0.54
|
)
|
|
|
$(0.51
|
)
|
|
|
$(0.38
|
)
|
|
|
$(0.36
|
)
|
Net increase from repurchase of capital
shares
|
|
|
$
|
|
|
|
$
|
|
|
|
$0.01
|
|
|
|
$0.00
|
(w)
|
|
|
$
|
|
Net asset value, end of period (x)
|
|
|
$7.20
|
|
|
|
$7.44
|
|
|
|
$6.83
|
|
|
|
$5.48
|
|
|
|
$6.68
|
|
Per share market value, end of period
|
|
|
$6.68
|
|
|
|
$7.11
|
|
|
|
$6.06
|
|
|
|
$4.71
|
|
|
|
$5.84
|
|
Total return at market value (%)
|
|
|
1.67
|
|
|
|
27.18
|
|
|
|
41.15
|
|
|
|
(13.80
|
)
|
|
|
3.30
|
|
Total return at net asset
value (%) (j)(r)(s)(x)
|
|
|
4.73
|
|
|
|
18.08
|
|
|
|
36.73
|
|
|
|
(12.32
|
)
|
|
|
5.19
|
|
Ratios (%) (to average net assets)
and Supplemental data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses before expense reductions (f)
|
|
|
1.12
|
|
|
|
1.25
|
|
|
|
1.07
|
|
|
|
0.88
|
|
|
|
0.84
|
|
Expenses after expense reductions (f)
|
|
|
1.12
|
|
|
|
1.25
|
|
|
|
1.06
|
|
|
|
0.88
|
|
|
|
0.84
|
|
Net investment income
|
|
|
6.80
|
|
|
|
7.39
|
|
|
|
7.76
|
|
|
|
5.22
|
|
|
|
5.29
|
|
Portfolio turnover
|
|
|
49
|
|
|
|
65
|
|
|
|
67
|
|
|
|
47
|
|
|
|
61
|
|
Net assets at end of period (000 omitted)
|
|
|
$564,446
|
|
|
|
$583,317
|
|
|
|
$535,450
|
|
|
|
$431,749
|
|
|
|
$528,058
|
|
42
Financial Highlights continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Years ended 10/31
|
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
Supplemental Ratios (%):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratio of expenses to average net assets after
expense reductions and excluding
interest
expense and fees (f)
|
|
|
0.91
|
|
|
|
0.97
|
|
|
|
1.02
|
|
|
|
N/A
|
|
|
|
N/A
|
|
Senior Securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total notes payable outstanding (000 omitted)
|
|
|
$100,000
|
|
|
|
$100,000
|
|
|
|
$100,000
|
|
|
|
N/A
|
|
|
|
N/A
|
|
Asset coverage per $1,000 of indebtedness (k)
|
|
|
$6,644
|
|
|
|
$6,833
|
|
|
|
$6,354
|
|
|
|
N/A
|
|
|
|
N/A
|
|
(d)
|
Per share data is based on average shares outstanding.
|
(f)
|
Ratios do not reflect reductions from fees paid indirectly, if applicable.
|
(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 funds total liabilities (not including notes payable) from the funds total assets and dividing this number by the notes payable
outstanding and then multiplying by 1,000.
|
(r)
|
Certain expenses have been reduced without which performance would have been lower.
|
(s)
|
From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower.
|
(w)
|
Per share amount was less than $0.01.
|
(x)
|
The net asset values per share and total returns 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
43
NOTES TO FINANCIAL STATEMENTS
(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 closed-end management investment company.
(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 revenues and expenses 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 funds 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 high-yield securities involve greater degrees of credit and market risk than investments in higher-rated securities and tend to be more sensitive to economic conditions. 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 countrys legal,
political, and economic environment. The markets of emerging markets countries are generally more volatile than the markets of developed countries with more mature economies. All of the risks of investing in foreign securities previously described
are heightened when investing in emerging markets countries.
Investment Valuations
Equity securities, including restricted
equity securities, are generally valued at the last sale or official closing price as provided by a third-party pricing service on the market or exchange on which they are primarily traded. Equity securities, for which there were no sales reported
that day, are generally valued at the last quoted daily bid quotation as provided by a third-party pricing service on the market or exchange on which such securities are primarily traded. Equity securities held short, for which there were no sales
reported for that day, are generally valued at the last quoted daily ask quotation as provided by a third-party pricing service on the market or exchange on which such securities are primarily traded. Debt instruments and floating rate loans (other
than short-term instruments), 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 generally
are valued
44
Notes to Financial Statements continued
at amortized cost, which approximates market value. Exchange-traded options are generally valued at the last sale or official closing price as provided by a third-party pricing service on the
exchange on which such options are primarily traded. Exchange-traded options for which there were no sales reported that day are generally valued at the last daily bid quotation as provided by a third-party pricing service on the exchange on which
such options are primarily traded. 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 as provided by a third-party pricing service on the market on which they are primarily traded. Futures contracts for which there were no trades that day for a particular position are generally valued
at the closing bid quotation as provided by a third-party pricing service on the market on which such futures contracts are primarily traded. 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. Open-end investment companies are generally valued at net asset value per share. 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. Values obtained from third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate,
maturity, type of issue, trading characteristics, and other market data. 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.
The Board of Trustees has delegated primary responsibility for determining or causing to be
determined the value of the funds investments (including any fair valuation) to the adviser pursuant to valuation policies and procedures approved by the Board. If the adviser determines that reliable market quotations are not readily
available, investments are valued at fair value as determined in good faith by the adviser in accordance with such procedures under the oversight of the Board of Trustees. Under the funds valuation policies and procedures, market quotations
are not considered to be readily available for most types of debt instruments and floating rate loans and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services. In
addition, investments may be valued at fair value if the adviser determines that an investments 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 funds net asset value, or after the halting of trading of a specific security where trading does
45
Notes to Financial Statements continued
not resume prior to the close of the exchange or market on which the security is principally traded. 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 funds 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 funds 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 funds 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 investments level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The funds 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 unobservable inputs, which may include the advisers own assumptions in determining the fair value of
investments. Other financial instruments are derivative instruments not reflected in total investments, such
46
Notes to Financial Statements continued
as futures and forward foreign currency exchange contracts. The following is a summary of the levels used as of October 31, 2011 in valuing the funds assets or liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments at Value
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Equity Securities
|
|
|
$4,018,764
|
|
|
|
$357,975
|
|
|
|
$109,872
|
|
|
|
$4,486,611
|
|
U.S. Treasury Bonds & U.S. Government Agency & Equivalents
|
|
|
|
|
|
|
13,847,528
|
|
|
|
|
|
|
|
13,847,528
|
|
Non-U.S. Sovereign Debt
|
|
|
|
|
|
|
143,055,184
|
|
|
|
|
|
|
|
143,055,184
|
|
Corporate Bonds
|
|
|
|
|
|
|
338,934,951
|
|
|
|
|
|
|
|
338,934,951
|
|
Residential Mortgage-Backed Securities
|
|
|
|
|
|
|
10,178,509
|
|
|
|
|
|
|
|
10,178,509
|
|
Commercial Mortgage-Backed Securities
|
|
|
|
|
|
|
23,402,337
|
|
|
|
|
|
|
|
23,402,337
|
|
Asset-Backed Securities (including CDOs)
|
|
|
|
|
|
|
5,464,459
|
|
|
|
|
|
|
|
5,464,459
|
|
Foreign Bonds
|
|
|
|
|
|
|
103,814,076
|
|
|
|
|
|
|
|
103,814,076
|
|
Floating Rate Loans
|
|
|
|
|
|
|
1,861,253
|
|
|
|
|
|
|
|
1,861,253
|
|
Mutual Funds
|
|
|
14,126,104
|
|
|
|
|
|
|
|
|
|
|
|
14,126,104
|
|
Total Investments
|
|
|
$18,144,868
|
|
|
|
$640,916,272
|
|
|
|
$109,872
|
|
|
|
$659,171,012
|
|
|
|
|
|
|
Other Financial Instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
|
$(25,963
|
)
|
|
|
$
|
|
|
|
$
|
|
|
|
$(25,963
|
)
|
Forward Foreign Currency Exchange Contracts
|
|
|
|
|
|
|
(738,682
|
)
|
|
|
|
|
|
|
(738,682
|
)
|
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 funds policy is
to recognize transfers between the levels as of the end of the period. The table presents the activity of level 3 securities held at the beginning and the end of the period.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity
Securities
|
|
|
Corporate
Bonds
|
|
|
Total
|
|
Balance as of 10/31/10
|
|
|
$33,385
|
|
|
|
$0
|
|
|
|
$33,385
|
|
Realized gain (loss)
|
|
|
(11,674
|
)
|
|
|
(131,452
|
)
|
|
|
(143,126
|
)
|
Change in unrealized appreciation (depreciation)
|
|
|
(21,711
|
)
|
|
|
131,452
|
|
|
|
109,741
|
|
Sales
|
|
|
0
|
|
|
|
0
|
|
|
|
0
|
|
Transfers into level 3
|
|
|
109,872
|
|
|
|
|
|
|
|
109,872
|
|
Balance as of 10/31/11
|
|
|
$109,872
|
|
|
|
$
|
|
|
|
$109,872
|
|
The net change in unrealized appreciation (depreciation) from investments still held as level 3 at October 31, 2011
is $0.
47
Notes to Financial Statements continued
Foreign Currency Translation
Purchases and sales of foreign
investments, income, and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions or on the reporting date for foreign denominated receivables and payables. Gains
and losses attributable to foreign currency exchange rates on sales of securities are recorded for financial statement 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 for different
purposes, 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 derivatives original cost.
The derivative instruments used by the fund were purchased
options, futures contracts, and forward foreign currency exchange contracts. The funds 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 October 31, 2011 as reported in the Statement of Assets and Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value (a)
|
|
Risk
|
|
Derivative Contracts
|
|
Asset Derivatives
|
|
|
Liability Derivatives
|
|
Interest Rate
|
|
Interest Rate Futures
|
|
|
$
|
|
|
|
$(25,963
|
)
|
Foreign Exchange
|
|
Forward Foreign Currency Exchange
|
|
|
278,261
|
|
|
|
(1,016,943
|
)
|
Total
|
|
|
|
|
$278,261
|
|
|
|
$(1,042,906
|
)
|
(a)
|
The value of futures contracts outstanding includes cumulative appreciation (depreciation) as reported in the funds Portfolio of Investments. Only the current day variation
margin for futures contracts is separately reported within the funds Statement of Assets and Liabilities.
|
48
Notes to Financial Statements continued
The following table presents, by major type of derivative contract, the
realized gain (loss) on derivatives held by the fund for the year ended October 31, 2011 as reported in the Statement of Operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
Risk
|
|
Futures
Contracts
|
|
|
Foreign
Currency
Transactions
|
|
|
Investment
Transactions
(Purchased
Options)
|
|
Interest Rate
|
|
|
$(4,078,605
|
)
|
|
|
$
|
|
|
|
$
|
|
Foreign Exchange
|
|
|
|
|
|
|
(2,430,284
|
)
|
|
|
(75,608
|
)
|
Total
|
|
|
$(4,078,605
|
)
|
|
|
$(2,430,284
|
)
|
|
|
$(75,608
|
)
|
The following table presents, by major type of derivative contract, the change in unrealized appreciation (depreciation)
on derivatives held by the fund for the year ended October 31, 2011 as reported in the Statement of Operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
Risk
|
|
Futures
Contracts
|
|
|
Translation
of Assets and
Liabilities in
Foreign
Currencies
|
|
|
Investments
(Purchased
Options)
|
|
Interest Rate
|
|
|
$405,178
|
|
|
|
$
|
|
|
|
$
|
|
Foreign Exchange
|
|
|
|
|
|
|
2,621,607
|
|
|
|
73,147
|
|
Total
|
|
|
$405,178
|
|
|
|
$2,621,607
|
|
|
|
$73,147
|
|
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential
counterparties. On certain over-the-counter derivatives, the fund attempts to reduce its exposure to counterparty credit risk whenever possible by entering into an International Swaps and Derivatives Association (ISDA) Master
Agreement on a bilateral basis with each of the counterparties with whom it undertakes a significant volume of transactions. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such
agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, 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 ISDA
Master Agreement could result in a reduction of the funds credit risk to such counterparty equal to any amounts payable by the fund under the applicable transactions, if any. However, absent an event of default by the
counterparty or a termination of the agreement, the ISDA Master Agreement does not result in an offset of reported amounts of assets and liabilities in the Statement of Assets and Liabilities across transactions between the fund and
the applicable counterparty.
49
Notes to Financial Statements continued
Collateral requirements differ by type of derivative. Collateral or margin
requirements are set by the broker or exchange clearing house for exchange traded derivatives (i.e., futures and exchange-traded options) while collateral terms are contract specific for over-the-counter traded derivatives (i.e., forward foreign
currency exchange contracts, swaps and over-the-counter options). For derivatives traded under an ISDA Master Agreement, the collateral requirements are netted across all transactions traded under such agreement and one amount is posted from one
party to the other to collateralize such obligations. Cash collateral that has been pledged to cover obligations of the fund under derivative contracts, if any, will be reported separately on the Statement of Assets and Liabilities as restricted
cash. Securities collateral pledged for the same purpose, if any, is noted in the Portfolio of Investments.
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 be used to hedge against an anticipated increase in the dollar cost of securities or currency to be acquired or to increase the funds exposure to an underlying instrument.
Purchasing put options may hedge against a decline in the value of portfolio securities or currency.
The premium paid is initially recorded as
an investment in the Statement of Assets and Liabilities. That investment is subsequently marked-to-market daily with the difference between the premium paid and the market value of the purchased option being recorded as unrealized appreciation or
depreciation. Premiums paid for purchased call and put options which have expired are treated as realized losses on investments in the Statement of Operations. Upon the exercise or closing of a purchased call option, the premium paid is added to the
cost of the security or financial instrument. 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.
The risk in purchasing an option is that the fund pays a premium whether or not the option is exercised. The
funds maximum risk of loss due to counterparty credit risk is limited to the market value of the option. For over-the-counter 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 for posting of collateral by the counterparty to the fund to cover the funds 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, interest rate or
currency
50
Notes to Financial Statements continued
exposure. 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 certain 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 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 may present less counterparty risk to the fund since the
contracts are exchange traded and the exchanges clearinghouse guarantees payments to the broker, there is still counterparty credit risk due to the insolvency of the broker. The funds 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
funds 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 funds portfolio of securities to different currencies to take advantage of anticipated exchange rate changes.
Forward foreign
currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any unrealized gains or losses are recorded as a receivable or payable for forward foreign currency exchange contracts until the contract settlement
date. On contract settlement date, any gain or loss on the contract is recorded as realized gains or losses on foreign currency transactions.
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 funds maximum risk due to counterparty credit risk is the unrealized gain on the
51
Notes to Financial Statements continued
contract due to the use of Continuous Linked Settlement, an industry accepted settlement system. 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 for posting of collateral by the counterparty to the fund to cover the funds exposure to the counterparty under such ISDA Master Agreement.
Loans and Other Direct Debt Instruments
The fund invests in loans and loan participations or other receivables. These investments may
include standby financing commitments, including revolving credit facilities, which obligate the fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial
intermediary.
Statement of Cash Flows
Information on financial transactions which have been settled through the receipt or
disbursement of cash is presented in the Statement of Cash Flows. The cash amount shown in the Statement of Cash Flows is the amount included within the funds Statement of Assets and Liabilities and includes cash on hand at its custodian bank
and does not include any short term investments.
Indemnifications
Under the funds 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 funds 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. 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. The fund earns certain fees in connection with its floating rate loan purchasing activities. These
fees are in addition to interest payments earned and may include amendment fees, commitment fees, facility fees, consent fees, and prepayment fees. Commitment fees are recorded on an accrual basis as income in the accompanying financial statements.
Dividends received in cash are recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded when the fund is informed of the dividend if such information is obtained subsequent to the ex-dividend date. Dividend and
interest payments received in additional securities are recorded on the ex-dividend or ex-interest date in an amount equal to the value of the security on such date. Debt obligations may be placed on non-accrual status or set to accrue at a rate of
interest less than the contractual coupon when the collection of all or a portion
52
Notes to Financial Statements continued
of interest has become doubtful. Interest income for those debt obligations may be further reduced by the write-off of the related interest receivables when deemed uncollectible.
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 purchased or sold debt securities on a when-issued or delayed delivery basis, or in a
To Be Announced (TBA) or forward commitment transaction with delivery or payment to occur at a later date beyond the normal settlement period. TBA securities resulting from these transactions are included in the Portfolio of
Investments. At the time a fund enters into a commitment to purchase or sell a security, the transaction is recorded and the value of the security acquired is reflected in the funds net asset value. The price of such security and the date that
the security will be delivered and paid for are fixed at the time the transaction is negotiated. The value of the security may vary with market fluctuations. No interest accrues to the fund until payment takes place. At the time that a fund enters
into this type of transaction, the fund is required to have sufficient cash and/or liquid securities to cover its commitments. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under
the contracts terms, or if the issuer does not issue the securities due to political, economic or other factors. Additionally, losses may arise due to declines in the value of the securities prior to settlement date.
Fees Paid Indirectly
The funds custody fee may be reduced according to an arrangement that measures the value of cash deposited with
the custodian by the fund. This amount, for the year ended October 31, 2011, is shown as a reduction of total expenses on the Statement of Operations.
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 funds federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Distributions to shareholders are recorded on the ex-dividend date. 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.
53
Notes to Financial Statements continued
These adjustments have no impact on net assets or net asset value per share. Temporary differences which arise from recognizing certain items of income, expense, gain or loss in different
periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary overdistributions for financial statement purposes resulting from
differences in the recognition or classification of income or distributions for financial statement and tax purposes.
Book/tax
differences primarily relate to amortization and accretion of debt securities, wash sale loss deferrals, straddle loss deferrals, and derivative transactions.
The tax character of distributions declared to shareholders for the last two fiscal years is as follows:
|
|
|
|
|
|
|
|
|
|
|
10/31/11
|
|
|
10/31/10
|
|
Ordinary income (including any short-term capital gains)
|
|
|
$42,010,671
|
|
|
|
$42,324,144
|
|
The federal tax cost and the tax basis components of distributable earnings were as follows:
|
|
|
|
|
As of 10/31/11
|
|
|
|
Cost of investments
|
|
|
$642,842,724
|
|
Gross appreciation
|
|
|
36,440,291
|
|
Gross depreciation
|
|
|
(20,112,003
|
)
|
Net unrealized appreciation (depreciation)
|
|
|
$16,328,288
|
|
Undistributed ordinary income
|
|
|
2,702,889
|
|
Capital loss carryforwards
|
|
|
(9,560,720
|
)
|
Other temporary differences
|
|
|
(5,273,366
|
)
|
As of October 31, 2011, the fund had capital loss carryforwards available to offset future realized gains. Such
losses expire as follows:
|
|
|
|
|
10/31/16
|
|
|
$(6,841,165
|
)
|
10/31/17
|
|
|
(2,719,555
|
)
|
Total
|
|
|
$(9,560,720
|
)
|
(3)
|
|
Transactions with Affiliates
|
Investment Adviser
The fund has an investment advisory agreement with MFS to provide overall investment management and related administrative services and facilities to the fund. The management fee is computed daily and paid monthly at an annual rate of
0.34% of the funds 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,
54
Notes to Financial Statements continued
incurred for the year ended October 31, 2011 was equivalent to an annual effective rate of 0.78% of the funds 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 year ended October 31, 2011, these fees paid to MFSC amounted to $62,941.
Administrator
MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to the fund.
Under an administrative services agreement, the fund partially 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 year ended October 31, 2011 was equivalent to an annual effective rate of 0.0158% of the funds 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 to officers of the fund who are also officers of the investment adviser, all of whom receive remuneration for their services to the fund from MFS. 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. Effective January 1, 2002, accrued benefits under the DB plan for then-current independent Trustees who continued were credited to an unfunded retirement deferral plan
(the Retirement Deferral plan), which was established for and exists solely with respect to these credited amounts, and is not available for other deferrals by these or other independent Trustees. Although the Retirement Deferral plan is
unfunded, amounts deferred under the plan are periodically adjusted for investment experience as if they had been invested in shares of the fund. The DB plan resulted in a pension expense of $6,143 and the Retirement Deferral plan resulted in an
expense of $1,927. Both amounts are included in independent Trustees compensation for the year ended October 31, 2011. The liability for deferred retirement benefits payable to certain independent Trustees under both plans amounted to
$164,735 at October 31, 2011, and is included in payable for independent Trustees compensation on the Statement of Assets and Liabilities.
55
Notes to Financial Statements continued
Deferred Trustee Compensation
Under a Deferred Compensation
Plan (the Plan), independent Trustees previously were allowed to elect to defer receipt of all or a portion of their annual compensation. Effective January 1, 2005, the Board elected to no longer allow Trustees to defer receipt of future
compensation under the Plan. Amounts deferred under the Plan are invested in shares of certain MFS Funds selected by the independent Trustees as notional investments. Deferred amounts represent an unsecured obligation of the fund until distributed
in accordance with the Plan. Included in other assets and payable for independent Trustees compensation on the Statement of Assets and Liabilities is $53,486 of deferred Trustees compensation. There is no current year expense associated
with the Plan.
Other
This fund and certain other funds managed by MFS (the funds) have entered into services agreements (the
Agreements) which provide for payment of fees by the funds to Tarantino LLC and Griffin Compliance LLC in return for the provision of services of an Independent Chief Compliance Officer (ICCO) and Assistant ICCO, respectively, for the funds. The
ICCO and Assistant ICCO are officers of the funds and the sole members of Tarantino LLC and Griffin Compliance LLC, respectively. The funds can terminate the Agreements with Tarantino LLC and Griffin Compliance LLC at any time under the terms of the
Agreements. For the year ended October 31, 2011, the aggregate fees paid by the fund to Tarantino LLC and Griffin Compliance LLC were $5,253 and are included in miscellaneous expense on the Statement of Operations. MFS has agreed to reimburse
the fund for a portion of the payments made by the fund in the amount of $2,369, which is shown as a reduction of total expenses in the Statement of Operations. Additionally, MFS has agreed to bear all expenses associated with office space, other
administrative support, and supplies provided to the ICCO and Assistant ICCO.
The fund invests in the MFS Institutional Money Market Portfolio
which is managed by MFS and seeks a high level of current income consistent with preservation of capital and liquidity. Income earned on this investment is included in dividends from underlying affiliated funds on the Statement of Operations. This
money market fund does not pay a management fee to MFS.
(4) Portfolio Securities
Purchases and sales of investments, other than purchased option transactions and short-term obligations, were as follows:
|
|
|
|
|
|
|
|
|
|
|
Purchases
|
|
|
Sales
|
|
U.S. Government securities
|
|
|
$11,616,620
|
|
|
|
$2,190,620
|
|
Investments (non-U.S. Government securities)
|
|
|
$306,297,975
|
|
|
|
$324,562,508
|
|
56
Notes to Financial Statements continued
(5)
|
|
Shares of Beneficial Interest
|
The funds
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.
During the years ended October 31, 2011 and October 31, 2010, the fund did not repurchase any shares.
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 October 31, 2011, the fund had outstanding borrowings under this agreement in the amount of $100,000,000, which are secured by a lien on the
funds assets. The loans carrying value on the funds Statement of Assets and Liabilities approximates its fair value. The credit agreement matures on August 24, 2012. Borrowing under the agreement can be made for liquidity or
leverage purposes. Interest is charged at a rate per annum equal to LIBOR plus an agreed upon spread or an alternate rate, at the option of the borrower, stated as the greater of Overnight LIBOR or the Federal Funds Rate each plus an agreed upon
spread. The fund incurred interest expense of $1,163,386 during the period. The fund may also be charged a commitment fee based on the average daily unused portion of the line of credit. The fund did not incur a commitment fee during the period. For
the year ended October 31, 2011, the average loan balance was $100,000,000 at a weighted average annual interest rate of 1.16%. The fund is subject to certain covenants including, but not limited to, requirements with respect to asset coverage,
portfolio diversification and liquidity.
(7)
|
|
Transactions in Underlying Affiliated Funds-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 fund
assumes the following to be affiliated issuers:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Underlying Affiliated Funds
|
|
Beginning
Shares/Par
Amount
|
|
|
Acquisitions
Shares/Par
Amount
|
|
|
Dispositions
Shares/Par
Amount
|
|
|
Ending
Shares/Par
Amount
|
|
MFS Institutional Money
Market Portfolio
|
|
|
9,455,992
|
|
|
|
168,474,111
|
|
|
|
(163,803,999
|
)
|
|
|
14,126,104
|
|
|
|
|
|
|
Underlying Affiliated Funds
|
|
Realized
Gain (Loss)
|
|
|
Capital Gain
Distributions
|
|
|
Dividend
Income
|
|
|
Ending
Value
|
|
MFS Institutional Money
Market Portfolio
|
|
|
$
|
|
|
|
$
|
|
|
|
$36,714
|
|
|
|
$14,126,104
|
|
57
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Trustees and Shareholders of MFS Multimarket Income Trust:
We have audited the accompanying statement of assets and liabilities of MFS Multimarket Income Trust (the Fund), including the portfolio of investments, as of October 31, 2011, and the related
statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These
financial statements and financial highlights are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds internal control over financial
reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of
the Funds internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial
highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2011, by
correspondence with the Funds custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of
MFS Multimarket Income Trust at October 31, 2011, the results of its operations and its cash flows for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each
of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
December 16, 2011
58
RESULTS OF SHAREHOLDER MEETING
(unaudited)
At the annual meeting of
shareholders of MFS Multimarket Income Trust, which was held on October 5, 2011, the following actions were taken:
Item 1.
To
elect the following individuals as Trustees:
|
|
|
|
|
|
|
|
|
|
|
Number of Shares
|
|
Nominee
|
|
For
|
|
|
Withhold Authority
|
|
William R. Gutow
|
|
|
66,363,811.443
|
|
|
|
2,342,935.873
|
|
Michael Hegarty
|
|
|
66,554,411.667
|
|
|
|
2,152,335.649
|
|
John P. Kavanaugh
|
|
|
66,678,197.909
|
|
|
|
2,028,549.407
|
|
Robert W. Uek
|
|
|
66,426,374.704
|
|
|
|
2,280,372.612
|
|
59
TRUSTEES AND OFFICERS IDENTIFICATION AND BACKGROUND
The Trustees and officers of the Trust, as of December 1, 2011, are listed below, together with their principal occupations during the past five
years. (Their titles may have varied during that period.) The address of each Trustee and officer is 500 Boylston Street, Boston, Massachusetts 02116.
|
|
|
|
|
|
|
|
|
|
|
Name, Age
|
|
Position(s)
Held
with Fund
|
|
Trustee/Officer
Since (h)
|
|
Term
Expiring
|
|
Principal Occupations
During
the Past Five Years
|
|
Other
Directorships (j)
|
INTERESTED TRUSTEES
|
|
|
|
|
|
|
Robert J. Manning (k)
(age 48)
|
|
Trustee
|
|
February 2004
|
|
2013
|
|
Massachusetts Financial Services Company, Chairman, Chief Executive Officer and Director; President (until December 2009); Chief Investment Officer (until July 2010)
|
|
N/A
|
Robert C. Pozen (k)
(age 65)
|
|
Trustee
|
|
February 2004
|
|
2012
|
|
Massachusetts Financial Services Company, Chairman Emeritus; Chairman (until July 2010)
|
|
Medtronic, Inc, (medical devices), Director (since 2004); The Nielsen Company (market research), Director (since 2010); Telesat (satellite communications), Director (until November
2007); Bell Canada Enterprises (telecommunications), Director (until February 2009)
|
60
Trustees and Officers continued
|
|
|
|
|
|
|
|
|
|
|
Name, Age
|
|
Position(s)
Held
with Fund
|
|
Trustee/Officer
Since (h)
|
|
Term
Expiring
|
|
Principal Occupations
During
the Past Five Years
|
|
Other
Directorships (j)
|
INDEPENDENT TRUSTEES
|
|
|
|
|
|
|
David H. Gunning
(age 69)
|
|
Trustee and Chair of Trustees
|
|
January 2004
|
|
2012
|
|
Retired; Cleveland-Cliffs Inc. (mining products and service provider), Vice Chairman/Director (until May 2007)
|
|
Lincoln Electric Holdings, Inc. (welding equipment manufacturer), Director; Development Alternatives, Inc. (consulting), Director/Non-Executive Chairman; Portman Limited (mining),
Director (until 2008)
|
Robert E. Butler
(age 70)
|
|
Trustee
|
|
January 2006
|
|
2012
|
|
Consultant investment company industry regulatory and compliance matters
|
|
N/A
|
Maureen R. Goldfarb
(age
56)
|
|
Trustee
|
|
January 2009
|
|
2013
|
|
Private investor
|
|
N/A
|
William R. Gutow
(age 70)
|
|
Trustee
|
|
December 1993
|
|
2011
|
|
Private investor and real estate consultant; Capitol Entertainment Management Company (video franchise), Vice Chairman
|
|
Atlantic Coast Tan (tanning salons), Vice Chairman (until 2007); Texas Donuts (donut franchise), Vice Chairman (until 2010)
|
Michael Hegarty
(age 66)
|
|
Trustee
|
|
December 2004
|
|
2011
|
|
Private investor
|
|
N/A
|
61
Trustees and Officers continued
|
|
|
|
|
|
|
|
|
|
|
Name, Age
|
|
Position(s)
Held
with Fund
|
|
Trustee/Officer
Since (h)
|
|
Term
Expiring
|
|
Principal Occupations
During
the Past Five Years
|
|
Other
Directorships (j)
|
John P. Kavanaugh
(age
57)
|
|
Trustee
|
|
January 2009
|
|
2011
|
|
Private investor; The Hanover Insurance Group, Inc., Vice President and Chief Investment Officer (until 2006); Allmerica Investment Trust, Allmerica Securities Trust and Opus
Investment Trust (investment companies), Chairman, President and Trustee (until 2006)
|
|
N/A
|
J. Dale Sherratt
(age 73)
|
|
Trustee
|
|
June 1989
|
|
2012
|
|
Insight Resources, Inc. (acquisition planning specialists), President; Wellfleet Investments (investor in health care companies), Managing General Partner
|
|
N/A
|
Laurie J. Thomsen
(age 54)
|
|
Trustee
|
|
March 2005
|
|
2013
|
|
Private investor; New Profit, Inc. (venture philanthropy), Executive Partner (until 2010)
|
|
The Travelers Companies (property and casualty insurance), Director
|
Robert W. Uek
(age 70)
|
|
Trustee
|
|
January 2006
|
|
2011
|
|
Consultant to investment company industry
|
|
N/A
|
OFFICERS
|
|
|
|
|
|
|
Maria F. DiOrioDwyer (k)
(age 52)
|
|
President
|
|
March 2004
|
|
N/A
|
|
Massachusetts Financial Services Company, Executive Vice President and Chief Regulatory Officer
Chief Compliance Officer (since December 2006)
|
|
N/A
|
62
Trustees and Officers continued
|
|
|
|
|
|
|
|
|
|
|
Name, Age
|
|
Position(s)
Held
with Fund
|
|
Trustee/Officer
Since (h)
|
|
Term
Expiring
|
|
Principal Occupations
During
the Past Five Years
|
|
Other
Directorships (j)
|
Christopher R. Bohane (k)
(age 37)
|
|
Assistant Secretary and Assistant Clerk
|
|
July 2005
|
|
N/A
|
|
Massachusetts Financial Services Company, Vice President and Senior Counsel
|
|
N/A
|
John M. Corcoran (k)
(age
46)
|
|
Treasurer
|
|
October 2008
|
|
N/A
|
|
Massachusetts Financial Services Company, Senior Vice President (since October 2008); State Street Bank and Trust (financial services provider), Senior Vice President, (until
September 2008)
|
|
N/A
|
Ethan D. Corey (k)
(age 48)
|
|
Assistant Secretary and Assistant Clerk
|
|
July 2005
|
|
N/A
|
|
Massachusetts Financial Services Company, Senior Vice President and Associate General Counsel
|
|
N/A
|
David L. DiLorenzo (k)
(age 43)
|
|
Assistant Treasurer
|
|
July 2005
|
|
N/A
|
|
Massachusetts Financial Services Company, Vice President
|
|
N/A
|
Timothy M. Fagan (k)
(age 43)
|
|
Assistant Secretary and Assistant Clerk
|
|
September 2005
|
|
N/A
|
|
Massachusetts Financial Services Company, Vice President and Senior Counsel
|
|
N/A
|
63
Trustees and Officers continued
|
|
|
|
|
|
|
|
|
|
|
Name, Age
|
|
Position(s)
Held
with Fund
|
|
Trustee/Officer
Since (h)
|
|
Term
Expiring
|
|
Principal Occupations
During
the Past Five Years
|
|
Other
Directorships (j)
|
Robyn L. Griffin
(age 36)
|
|
Assistant Independent Chief Compliance Officer
|
|
August 2008
|
|
N/A
|
|
Griffin Compliance LLC (provider of compliance services), Principal (since August 2008); State Street Corporation (financial services provider), Mutual Fund Administration Assistant
Vice President (October 2006 July 2008); Liberty Mutual Group (insurance), Personal Market Assistant Controller (April 2006 October 2006); Deloitte & Touche LLP (professional services firm
|
|
N/A
|
Brian E. Langenfeld (k)
(age 38)
|
|
Assistant Secretary and Assistant Clerk
|
|
June 2006
|
|
N/A
|
|
Massachusetts Financial Services Company, Vice President and Senior Counsel
|
|
N/A
|
Ellen Moynihan (k)
(age 54)
|
|
Assistant Treasurer
|
|
April 1997
|
|
N/A
|
|
Massachusetts Financial Services Company, Senior Vice President
|
|
N/A
|
Susan S. Newton (k)
(age
61)
|
|
Assistant Secretary and Assistant Clerk
|
|
May 2005
|
|
N/A
|
|
Massachusetts Financial Services Company, Senior Vice President and Associate General Counsel
|
|
N/A
|
Susan A. Pereira (k)
(age 41)
|
|
Assistant Secretary and Assistant Clerk
|
|
July 2005
|
|
N/A
|
|
Massachusetts Financial Services Company, Vice President and Senior Counsel
|
|
N/A
|
Mark N. Polebaum (k)
(age 59)
|
|
Secretary and Clerk
|
|
January 2006
|
|
N/A
|
|
Massachusetts Financial Services Company, Executive Vice President, General Counsel and Secretary
|
|
N/A
|
64
Trustees and Officers continued
|
|
|
|
|
|
|
|
|
|
|
Name, Age
|
|
Position(s)
Held
with Fund
|
|
Trustee/Officer
Since (h)
|
|
Term
Expiring
|
|
Principal Occupations
During
the Past Five Years
|
|
Other
Directorships (j)
|
Frank L. Tarantino
(age 67)
|
|
Independent Chief Compliance Officer
|
|
June 2004
|
|
N/A
|
|
Tarantino LLC (provider of compliance services), Principal
|
|
N/A
|
Richard S. Weitzel (k)
(age 41)
|
|
Assistant Secretary and Assistant Clerk
|
|
October 2007
|
|
N/A
|
|
Massachusetts Financial Services Company, Vice President and Assistant General Counsel
|
|
N/A
|
James O. Yost (k)
(age 51)
|
|
Assistant Treasurer
|
|
September 1990
|
|
N/A
|
|
Massachusetts Financial Services Company, Senior Vice President
|
|
N/A
|
(h)
|
Date first appointed to serve as Trustee/officer of an MFS fund. Each Trustee has served continuously since appointment unless indicated otherwise. For the period from
December 15, 2004 until February 22, 2005, Messrs. Pozen and Manning served as Advisory Trustees. For the period March 2008 until October 2008, Ms. DiOrioDwyer served as Treasurer of the Funds.
|
(j)
|
Directorships or trusteeships of companies required to report to the Securities and Exchange Commission (i.e., public companies).
|
(k)
|
Interested person of the Trust within the meaning of the Investment Company Act of 1940 (referred to as the 1940 Act), which is the principal federal law governing
investment companies like the fund, as a result of position with MFS. The address of MFS is 500 Boylston Street, Boston, Massachusetts 02116.
|
The Trust holds annual shareholder meetings for the purpose of electing Trustees, and Trustees are elected for fixed terms. The Board of Trustees is currently divided into three classes, each having a
term of three years which term expires on the date of the third annual meeting following the election to office of the Trustees class. Each year the term of one class expires. Each Trustee and officer will serve until next elected or his or
her earlier death, resignation, retirement or removal.
Messrs. Butler, Kavanaugh, and Uek and Ms. Thomsen are members of the Funds
Audit Committee.
Each of the Funds Trustees and officers holds comparable positions with certain other funds of which MFS or a
subsidiary is the investment adviser or distributor, and, in the case of the officers, with certain affiliates of MFS. As of January 1, 2011, the Trustees served as board members of 105 funds within the MFS Family of Funds.
65
Trustees and Officers continued
The Statement of Additional Information for the Fund includes further information about the Trustees and is available without
charge upon request by calling 1-800-225-2606.
|
|
|
Investment Adviser
|
|
Custodian
|
Massachusetts Financial Services Company
|
|
State Street Bank and Trust
|
500 Boylston Street, Boston, MA 02116-3741
|
|
1 Lincoln Street, Boston, MA 02111-2900
|
Portfolio Managers
|
|
Independent Registered Public Accounting Firm
|
William Adams
|
|
Ernst & Young LLP
|
David Cole
|
|
200 Clarendon Street, Boston, MA 02116
|
Richard Hawkins
|
|
|
Matthew Ryan
|
|
|
66
BOARD REVIEW OF INVESTMENT ADVISORY AGREEMENT
The Investment Company Act of 1940 requires that both the full Board of Trustees and a majority of the non-interested (independent) Trustees,
voting separately, annually approve the continuation of the Funds investment advisory agreement with MFS. The Trustees consider matters bearing on the Fund and its advisory arrangements at their meetings throughout the year, including a review
of performance data at each regular meeting. In addition, the independent Trustees met several times over the course of three months beginning in May and ending in July, 2011 (contract review meetings) for the specific purpose of
considering whether to approve the continuation of the investment advisory agreement for the Fund and the other investment companies that the Board oversees (the MFS Funds). The independent Trustees were assisted in their evaluation of
the Funds investment advisory agreement by independent legal counsel, from whom they received separate legal advice and with whom they met separately from MFS during various contract review meetings. The independent Trustees were also assisted
in this process by the MFS Funds Independent Chief Compliance Officer, a full-time senior officer appointed by and reporting to the independent Trustees.
In connection with their deliberations regarding the continuation of the investment advisory agreement, the Trustees, including the independent Trustees, considered such information and factors as they
believed, in light of the legal advice furnished to them and their own business judgment, to be relevant. The investment advisory agreement for the Fund was considered separately, although the Trustees also took into account the common interests of
all MFS Funds in their review. As described below, the Trustees considered the nature, quality, and extent of the various investment advisory, administrative, and shareholder services performed by MFS under the existing investment advisory agreement
and other arrangements with the Fund.
In connection with their contract review meetings, the Trustees received and relied upon materials that
included, among other items: (i) information provided by Lipper Inc., an independent third party, on the investment performance (based on net asset value) of the Fund for various time periods ended December 31, 2010 and the investment
performance (based on net asset value) of a group of funds with substantially similar investment classifications/objectives (the Lipper performance universe), (ii) information provided by Lipper Inc. on the Funds advisory fees
and other expenses and the advisory fees and other expenses of comparable funds identified by Lipper Inc. (the Lipper expense group), (iii) information provided by MFS on the advisory fees of comparable portfolios of other clients
of MFS, including institutional separate accounts and other clients, (iv) information as to whether and to what
67
Board Review of Investment Advisory Agreement continued
extent applicable expense waivers, reimbursements or fee breakpoints are observed for the Fund, (v) information regarding MFS financial results and financial condition,
including MFS and certain of its affiliates estimated profitability from services performed for the Fund and the MFS Funds as a whole, and compared to MFS institutional business, (vi) MFS views regarding the outlook for
the mutual fund industry and the strategic business plans of MFS, (vii) descriptions of various functions performed by MFS for the Funds, such as compliance monitoring and portfolio trading practices, and (viii) information regarding the
overall organization of MFS, including information about MFS senior management and other personnel providing investment advisory, administrative and other services to the Fund and the other MFS Funds. The comparative performance, fee and
expense information prepared and provided by Lipper Inc. was not independently verified and the independent Trustees did not independently verify any information provided to them by MFS.
The Trustees conclusion as to the continuation of the investment advisory agreement was based on a comprehensive consideration of all information provided to the Trustees and not the result of any
single factor. Some of the factors that figured particularly in the Trustees deliberations are described below, although individual Trustees may have evaluated the information presented differently from one another, giving different weights to
various factors. It is also important to recognize that the fee arrangements for the Fund and other MFS Funds are the result of years of review and discussion between the independent Trustees and MFS, that certain aspects of such arrangements may
receive greater scrutiny in some years than in others, and that the Trustees conclusions may be based, in part, on their consideration of these same arrangements during the course of the year and in prior years.
Based on information provided by Lipper Inc., the Trustees reviewed the Funds total return investment performance as well as the performance of peer
groups of funds over various time periods. The Trustees placed particular emphasis on the total return performance of the Funds common shares in comparison to the performance of funds in its Lipper performance universe over the three-year
period ended December 31, 2010, which the Trustees believed was a long enough period to reflect differing market conditions. The total return performance of the Funds common shares ranked 3rd out of a total of 11 funds in the Lipper
performance universe for this three-year period (a ranking of first place out of the total number of funds in the performance universe indicating the best performer and a ranking of last place out of the total number of funds in the performance
universe indicating the worst performer). The total return performance of the Funds common shares ranked 9th out of a total of 12 funds for the one-year period and 3rd out of a total of
68
Board Review of Investment Advisory Agreement continued
11 funds for the five-year period ended December 31, 2010. Given the size of the Lipper performance universe and information previously provided by MFS regarding differences between the
Fund and other funds in its Lipper performance universe, the Trustees also reviewed the Funds performance in comparison to a custom benchmark developed by MFS. The Fund out-performed its custom benchmark for each of the one, three and
five-year periods ended December 31, 2010 (one year: 13.8% total return for the Fund versus 11.7% total return for the benchmark; three-year: 11.3% total return for the Fund versus 8.9% total return for the benchmark; five year: 8.6% total
return for the Fund versus 7.9% total return for the benchmark). Because of the passage of time, these performance results are likely to differ from the performance results for more recent periods, including those shown elsewhere in this report.
In the course of their deliberations, the Trustees took into account information provided by MFS in connection with the contract review
meetings, as well as during investment review meetings conducted with portfolio management personnel during the course of the year regarding the Funds performance. After reviewing these and related factors, the Trustees concluded, within the
context of their overall conclusions regarding the investment advisory agreement, that they were satisfied with MFS responses and efforts relating to investment performance.
In assessing the reasonableness of the Funds advisory fee, the Trustees considered, among other information, the Funds advisory fee and the total expense ratio of the Funds common shares
as a percentage of average daily net assets and the advisory fee and total expense ratios of peer groups of funds based on information provided by Lipper Inc. The Trustees considered that, according to the Lipper data (which takes into account any
fee reductions or expense limitations that were in effect during the Funds last fiscal year), the Funds effective advisory fee rate and total expense ratio were each lower than the Lipper expense group median.
The Trustees also considered the advisory fees charged by MFS to institutional accounts. In comparing these fees, the Trustees considered information
provided by MFS as to the generally broader scope of services provided by MFS to the Fund in comparison to institutional accounts and the impact on MFS and expenses associated with the more extensive regulatory regime to which the Fund is subject in
comparison to institutional accounts.
The Trustees considered that, as a closed-end fund, the Fund is unlikely to experience meaningful asset
growth. As a result, the Trustees did not view the potential for realization of economies of scale as the Funds assets grow to be a material factor in their deliberations. The Trustees noted that they would consider economies of scale in the
future in the event the Fund experiences
69
Board Review of Investment Advisory Agreement continued
significant asset growth, such as through an offering of preferred shares (which is not currently contemplated) or a material increase in the market value of the Funds portfolio securities.
The Trustees also considered information prepared by MFS relating to MFS costs and profits with respect to the Fund, the MFS Funds
considered as a group, and other investment companies and accounts advised by MFS, as well as MFS methodologies used to determine and allocate its costs to the MFS Funds, the Fund and other accounts and products for purposes of estimating
profitability.
After reviewing these and other factors described herein, the Trustees concluded, within the context of their overall
conclusions regarding the investment advisory agreement, that the advisory fees charged to the Fund represent reasonable compensation in light of the services being provided by MFS to the Fund.
In addition, the Trustees considered MFS resources and related efforts to continue to retain, attract and motivate capable personnel to serve the
Fund. The Trustees also considered current and developing conditions in the financial services industry, including the presence of large and well-capitalized companies which are spending, and appear to be prepared to continue to spend, substantial
sums to engage personnel and to provide services to competing investment companies. In this regard, the Trustees also considered the financial resources of MFS and its ultimate parent, Sun Life Financial Inc. The Trustees also considered the
advantages and possible disadvantages to the Fund of having an adviser that also serves other investment companies as well as other accounts.
The Trustees also considered the nature, quality, cost, and extent of administrative services provided to the Fund by MFS under agreements other than the
investment advisory agreement. The Trustees also considered the nature, extent and quality of certain other services MFS performs or arranges for on the Funds behalf, which may include securities lending programs, directed expense payment
programs, class action recovery programs, and MFS interaction with third-party service providers, principally custodians and sub-custodians. The Trustees concluded that the various non-advisory services provided by MFS and its affiliates on
behalf of the Fund were satisfactory.
The Trustees also considered benefits to MFS from the use of the Funds portfolio brokerage
commissions, if applicable, to pay for investment research and various other factors. Additionally, the Trustees considered so-called fall-out benefits to MFS such as reputational value derived from serving as investment manager to the
Fund.
Based on their evaluation of factors that they deemed to be material, including those factors described above, the Board of Trustees,
including a majority of
70
Board Review of Investment Advisory Agreement continued
the independent Trustees, concluded that the Funds investment advisory agreement with MFS should be continued for an additional one-year period, commencing August 1, 2011.
A discussion regarding the Boards most recent review and renewal of the funds Investment Advisory Agreement with MFS is available by clicking
on the funds name under Closed End Funds in the Products and Performance section of the MFS Web site
(mfs.com)
.
71
PROXY VOTING POLICIES AND INFORMATION
A general description of the MFS funds proxy voting policies and procedures is available without charge, upon request, by calling 1-800-225-2606, by
visiting the Proxy Voting section of
mfs.com
or by visiting the SECs 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 without charge by visiting the Proxy Voting section of
mfs.com
or by visiting the SECs Web site at
http://www.sec.gov.
QUARTERLY PORTFOLIO DISCLOSURE
The fund will file a complete schedule of portfolio holdings with the Securities and Exchange Commission (the Commission) for the first and third quarters
of each fiscal year on Form N-Q. A shareholder can obtain the quarterly portfolio holdings report at
mfs.com
. The funds Form N-Q is also available on the EDGAR database on the Commissions Internet Web site at
http://www.sec.gov
, and
may be reviewed and copied at the:
Public Reference Room
Securities and Exchange Commission
100 F Street, NE, Room 1580
Washington, D.C. 20549
Information on the operation of the Public Reference Room may be obtained by calling the Commission at 1-800-SEC-0330. Copies of the Funds Form N-Q
also may be obtained, upon payment of a duplicating fee, by electronic request at the following e-mail address: publicinfo@sec.gov or by writing the Public Reference Section at the above address.
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 by visiting the News & Commentary
section of
mfs.com
or by clicking on the funds name under Closed End Funds in the Products and Performance section of
mfs.com
.
FEDERAL TAX INFORMATION (unaudited)
The fund will notify
shareholders of amounts for use in preparing 2011 income tax forms in January 2012.
72
rev. 3/11
|
|
|
|
|
FACTS
|
|
WHAT DOES MFS DO WITH YOUR PERSONAL INFORMATION?
|
|
|
|
|
|
Why?
|
|
Financial companies choose how they share your personal information.
Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we
do.
|
|
|
|
What?
|
|
The types of personal
information we collect and share depend on the product or service you have with us. This information can include:
Social Security number and account balances
Account transactions and transaction history
Checking account information and wire transfer instructions
When you are
no longer
our customer, we continue to share your information as described in this notice.
|
|
|
|
How?
|
|
All financial companies need to share customers personal
information to run their everyday business. In the section below, we list the reasons financial companies can share their customers personal information; the reasons MFS chooses to share; and whether you can limit this
sharing.
|
|
|
|
|
|
Reasons we can share your personal information
|
|
Does MFS share?
|
|
Can you limit
this sharing?
|
For our everyday business purposes
such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit
bureaus
|
|
Yes
|
|
No
|
For our marketing purposes
to offer our products and services to you
|
|
No
|
|
We dont share
|
For joint marketing with other financial companies
|
|
No
|
|
We dont share
|
For our affiliates everyday business purposes
information about your transactions and experiences
|
|
No
|
|
We dont share
|
For our affiliates everyday business purposes
information about your creditworthiness
|
|
No
|
|
We dont share
|
For nonaffiliates to market to you
|
|
No
|
|
We dont share
|
|
|
|
Questions?
|
|
Call
800-225-2606
or go to
mfs.com
.
|
73
|
|
|
Who we are
|
Who is providing this notice?
|
|
MFS Funds, MFS Investment Management, MFS Institutional Advisors, Inc., MFS Fund Distributors,
Inc., MFS Heritage Trust Company, and MFS Service Center, Inc.
|
|
|
|
What we do
|
How does MFS
protect my personal information?
|
|
To protect your personal information from unauthorized access and use, we use security measures
that comply with federal law. These measures include procedural, electronic, and physical safeguards for the protection of the personal information we collect about you.
|
How does MFS
collect my personal information?
|
|
We collect your personal information, for example,
when you
open an account or provide
account information
direct us to buy securities or direct us to sell your securities
make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies.
|
Why cant I limit all sharing?
|
|
Federal law gives you the right to limit
only
sharing for affiliates
everyday business purposes information about your creditworthiness
affiliates from using your
information to market to you
sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit
sharing.
|
|
|
|
Definitions
|
Affiliates
|
|
Companies related by common ownership or control.
They can be financial and nonfinancial companies.
MFS does not share personal information with affiliates, except for everyday business purposes as described on page one of this notice.
|
Nonaffiliates
|
|
Companies not related by common ownership or
control. They can be financial and nonfinancial companies.
MFS does not share with nonaffiliates so they can market to you.
|
Joint Marketing
|
|
A formal agreement between nonaffiliated financial
companies that together market financial products or services to you.
MFS doesn
t jointly market.
|
|
|
|
Other important information
|
If you own an MFS product or receive an
MFS service in the name of a third party such as a bank or broker-dealer, their privacy policy may apply to you instead of ours.
|
74
CONTACT US
Transfer agent, Registrar, and
Dividend Disbursing Agent
Call
1-800-637-2304
9 a.m. to 5 p.m. Eastern time
Write
Computershare Trust Company, N.A.
P.O. Box
43078
Providence, RI 02940-3078
New York Stock Exchange Symbol:
MMT
The Registrant has
adopted a Code of Ethics pursuant to Section 406 of the Sarbanes-Oxley Act and as defined in Form N-CSR that applies to the Registrants principal executive officer and principal financial and accounting officer. During the period covered
by this report, the Registrant has not amended any provision in its Code of Ethics (the Code) that relates to an element of the Codes definitions enumerated in paragraph (b) of Item 2 of this Form N-CSR. During the period
covered by this report, the Registrant did not grant a waiver, including an implicit waiver, from any provision of the Code.
ITEM 3.
|
AUDIT COMMITTEE FINANCIAL EXPERT.
|
Messrs. Robert E. Butler, John P. Kavanaugh and Robert W. Uek and Ms. Laurie J. Thomsen, members of the Audit Committee, have been determined by
the Board of Trustees in their reasonable business judgment to meet the definition of audit committee financial expert as such term is defined in Form N-CSR. In addition, Messrs. Butler, Kavanaugh and Uek and Ms. Thomsen are
independent members of the Audit Committee (as such term has been defined by the Securities and Exchange Commission in regulations implementing Section 407 of the Sarbanes-Oxley Act of 2002). The Securities and Exchange Commission
has stated that the designation of a person as an audit committee financial expert pursuant to this Item 3 on the Form N-CSR does not impose on such a person any duties, obligations or liability that are greater than the duties, obligations or
liability imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
ITEM 4.
|
PRINCIPAL ACCOUNTANT FEES AND SERVICES.
|
Items 4(a) through 4(d) and 4(g):
The
Board of Trustees has appointed Ernst & Young LLP (E&Y) to serve as independent accountants to the Registrant (hereinafter the Registrant or the Fund). The tables below set forth the audit fees billed
to the Fund as well as fees for non-audit services provided to the Fund and/or to the Funds investment adviser, Massachusetts Financial Services Company (MFS) and to various entities either controlling, controlled by, or under
common control with MFS that provide ongoing services to the Fund (MFS Related Entities).
For the fiscal years ended
October 31, 2011 and 2010, audit fees billed to the Fund by E&Y were as follows:
|
|
|
|
|
|
|
|
|
|
|
Audit Fees
|
|
|
|
2011
|
|
|
2010
|
|
Fees billed by E&Y:
|
|
|
|
|
|
|
|
|
MFS Multimarket Income Trust
|
|
|
48,184
|
|
|
|
47,668
|
|
For the fiscal years ended October 31, 2011 and 2010, fees billed by E&Y for audit-related, tax and
other services provided to the Fund and for audit-related, tax and other services provided to MFS and MFS Related Entities were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Audit-Related Fees
1
|
|
|
Tax Fees
2
|
|
|
All Other Fees
3
|
|
|
|
2011
|
|
|
2010
|
|
|
2011
|
|
|
2010
|
|
|
2011
|
|
|
2010
|
|
Fees billed by E&Y:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
To MFS Multimarket Income Trust
|
|
|
10,110
|
|
|
|
10,000
|
|
|
|
9,697
|
|
|
|
9,535
|
|
|
|
0
|
|
|
|
0
|
|
To MFS and MFS Related Entities of MFS Multimarket Income Trust
*
|
|
|
0
|
|
|
|
0
|
|
|
|
0
|
|
|
|
0
|
|
|
|
0
|
|
|
|
0
|
|
|
|
|
|
|
|
|
|
|
|
|
2011
|
|
|
2010
|
|
Aggregate fees for non-audit services:
|
|
|
|
|
|
|
|
|
To MFS Multimarket Income Trust, MFS and MFS Related Entities#
|
|
|
121,171
|
|
|
|
258,211
|
|
*
|
This amount reflects the fees billed to MFS and MFS Related Entities for non-audit services relating directly to the operations and financial reporting of the Fund
(portions of which services also related to the operations and financial reporting of other funds within the MFS Funds complex).
|
#
|
This amount reflects the aggregate fees billed by E&Y for non-audit services rendered to the Fund and for non-audit services rendered to MFS and the MFS Related
Entities.
|
1
|
The fees included under Audit-Related Fees are fees related to assurance and related services that are reasonably related to the
performance of the audit or review of financial statements, but not reported under Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters and internal control reviews.
|
2
|
The fees included under Tax Fees are fees associated with tax compliance, tax advice and tax planning, including services relating to the
filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews and tax distribution and analysis.
|
3
|
The fees under All Other Fees are fees for products and services provided by E&Y other than those reported under Audit
Fees, Audit-Related Fees and Tax Fees.
|
Item 4(e)(1):
Set forth below are the policies and procedures established by the Audit Committee of the Board of Trustees relating to the pre-approval of audit and
non-audit related services:
To the extent required by applicable law, pre-approval by the Audit Committee of the Board is needed for all
audit and permissible non-audit services rendered to the Fund and all permissible non-audit services rendered to MFS or MFS Related Entities if the services
relate directly to the operations and financial reporting of the Registrant. Pre-approval is currently on an engagement-by-engagement basis. In the event pre-approval of such services is
necessary between regular meetings of the Audit Committee and it is not practical to wait to seek pre-approval at the next regular meeting of the Audit Committee, pre-approval of such services may be referred to the Chair of the Audit Committee for
approval; provided that the Chair may not pre-approve any individual engagement for such services exceeding $50,000 or multiple engagements for such services in the aggregate exceeding $100,000 between such regular meetings of the Audit Committee.
Any engagement pre-approved by the Chair between regular meetings of the Audit Committee shall be presented for ratification by the entire Audit Committee at its next regularly scheduled meeting.
Item 4(e)(2):
None, or 0%, of the
services relating to the Audit-Related Fees, Tax Fees and All Other Fees paid by the Fund and MFS and MFS Related Entities relating directly to the operations and financial reporting of the Registrant disclosed above were approved by the audit
committee pursuant to paragraphs (c)(7)(i)(C) of Rule 2-01 of Regulation S-X (which permits audit committee approval after the start of the engagement with respect to services other than audit, review or attest services, if certain conditions are
satisfied).
Item 4(f):
Not applicable.
Item 4(h):
The Registrants Audit Committee has considered whether the provision by a Registrants independent registered public accounting firm of non-audit services to MFS and MFS
Related Entities that were not pre-approved by the Committee (because such services were provided prior to the effectiveness of SEC rules requiring pre-approval or because such services did not relate directly to the operations and financial
reporting of the Registrant) was compatible with maintaining the independence of the independent registered public accounting firm as the Registrants principal auditors.
ITEM 5.
|
AUDIT COMMITTEE OF LISTED REGISTRANTS.
|
The Registrant has an Audit Committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. The members of the
Audit Committee are Messrs. Robert E. Butler, John P. Kavanaugh, and Robert W. Uek and Ms. Laurie J. Thomsen.
ITEM 6.
|
SCHEDULE OF INVESTMENTS
|
A schedule of
investments of the Registrant is included as part of the report to shareholders of the Registrant under Item 1 of this Form N-CSR.
ITEM 7.
|
DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
|
MASSACHUSETTS FINANCIAL SERVICES COMPANY
PROXY VOTING POLICIES AND PROCEDURES
February 1, 2011
Massachusetts Financial Services Company, MFS Institutional Advisors, Inc., MFS International (UK) Limited, MFS Heritage Trust Company, and MFS other subsidiaries that perform discretionary
investment management activities (collectively, MFS) have adopted proxy voting policies and procedures, as set forth below (MFS Proxy Voting Policies and Procedures), with respect to securities owned by the clients for which
MFS serves as investment adviser and has the power to vote proxies, including the registered investment companies sponsored by MFS (the MFS Funds). References to clients in these policies and procedures include the MFS Funds
and other clients of MFS, such as funds organized offshore, sub-advised funds and separate account clients, to the extent these clients have delegated to MFS the responsibility to vote proxies on their behalf under the MFS Proxy Voting Policies and
Procedures.
The MFS Proxy Voting Policies and Procedures include:
|
B.
|
Administrative Procedures;
|
|
1.
|
General Policy; Potential Conflicts of Interest
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MFS policy is that proxy voting decisions are made in what MFS believes to be the best long-term economic interests of MFS clients, and not in the interests of any other party or in MFS
corporate interests, including interests such as the distribution of MFS Fund shares and institutional client relationships.
In developing these proxy voting guidelines, MFS reviews corporate governance issues and proxy voting matters that are presented for shareholder vote by either management or shareholders of public
companies. Based on the overall principle that all votes cast by MFS on behalf of its clients must be in what MFS believes to be the best long-term economic interests of such clients, MFS has adopted proxy voting guidelines, set forth below, that
govern how MFS generally will vote on specific matters presented for shareholder vote.
As a general matter, MFS votes consistently on similar proxy proposals
across all shareholder meetings. However, some proxy proposals, such as certain excessive executive compensation, environmental, social and governance matters, are analyzed on a case-by-case basis in light of all the relevant facts and circumstances
of the proposal. Therefore, MFS may vote similar proposals differently at different shareholder meetings based on the specific facts and circumstances of the issuer or the terms of the proposal. In addition, MFS also reserves the right to override
the guidelines with respect to a particular proxy proposal when such an override is, in MFS best judgment, consistent with the overall principle of voting proxies in the best long-term economic interests of MFS clients.
MFS also generally votes consistently on the same matter when securities of an issuer are held by multiple client
accounts, unless MFS has received explicit voting instructions to vote differently from a client for its own account. From time to time, MFS may also receive comments on the MFS Proxy Voting Policies and Procedures from its clients. These comments
are carefully considered by MFS when it reviews these guidelines and revises them as appropriate.
These policies and
procedures are intended to address any potential material conflicts of interest on the part of MFS or its subsidiaries that are likely to arise in connection with the voting of proxies on behalf of MFS clients. If such potential material
conflicts of interest do arise, MFS will analyze, document and report on such potential material conflicts of interest (see Sections B.2 and D below), and shall ultimately vote the relevant proxies in what MFS believes to be the best long-term
economic interests of its clients. The MFS Proxy Voting Committee is responsible for monitoring and reporting with respect to such potential material conflicts of interest.
MFS is also a signatory to the United Nations Principles for Responsible Investment. In developing these guidelines, MFS considered environmental, social and corporate governance issues in light of
MFS fiduciary obligation to vote proxies in the best long-term economic interest of its clients.
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2.
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MFS Policy on Specific Issues
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Election of Directors
MFS believes that good governance
should be based on a board with at least a simple majority of directors who are independent of management, and whose key committees (e.g., compensation, nominating, and audit committees) are comprised entirely of independent
directors. While MFS generally supports the boards nominees in uncontested or non-contentious elections, we will not support a nominee to a board of a U.S. issuer if, as a result of such nominee being elected to the board, the board would be
comprised of a majority of members who are not independent or, alternatively, the compensation, nominating (including instances in
which the full board serves as the compensation or nominating committee) or audit committees would include members who are not independent.
MFS will also not support a nominee to a board if we can determine that he or she failed to attend at least 75% of the
board and/or relevant committee meetings in the previous year without a valid reason stated in the proxy materials or other company communications. In addition, MFS may not support all nominees standing for re-election to a board if we can
determine: (1) the board or its compensation committee has re-priced or exchanged underwater stock options since the last annual meeting of shareholders and without shareholder approval; (2) the board or relevant committee has not taken
adequately responsive action to a majority-approved shareholder proposal that MFS has supported; or (3) the board has implemented a poison pill without shareholder approval since the last annual meeting, (including those related to
net-operating loss carryforwards).
MFS may not support certain board nominees of U.S. issuers under certain
circumstances where MFS deems compensation to be egregious due to pay-for-performance issues and/or poor pay practices. Please see the section below titled MFS Policy on Specific Issues - Advisory Votes on Compensation for further
details.
MFS evaluates a contested or contentious election of directors on a case-by-case basis considering the long-term financial
performance of the company relative to its industry, managements track record, the qualifications of all nominees, and an evaluation of what each side is offering shareholders.
Majority Voting and Director Elections
MFS votes for reasonably crafted proposals calling for directors to be elected with an affirmative majority of votes cast
and/or the elimination of the plurality standard for electing directors (including binding resolutions requesting that the board amend the companys bylaws), provided the proposal includes a carve-out for a plurality voting standard when there
are more director nominees than board seats (
e.g.,
contested elections) (Majority Vote Proposals). MFS considers voting against Majority Vote Proposals if the company has adopted, or has proposed to adopt in the proxy statement,
formal corporate governance principles that present a meaningful alternative to the majority voting standard and provide an adequate response to both new nominees as well as incumbent nominees who fail to receive a majority of votes cast. MFS
believes that a companys election policy should address the specific circumstances at that company. In determining whether the issuer has a meaningful alternative to the majority voting standard, MFS considers whether a companys election
policy articulates the following elements to address each director nominee who fails to receive an affirmative majority of votes cast in an election:
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Establish guidelines for the process by which the company determines the status of nominees who fail to receive an affirmative majority of votes cast
and disclose the guidelines in the annual proxy statement;
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Guidelines should include a reasonable timetable for resolution of the nominees status and a requirement that the resolution be disclosed
together with the reasons for the resolution;
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Vest management of the process in the companys independent directors, other than the nominee in question; and
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Outline the range of remedies that the independent directors may consider concerning the nominee.
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Classified Boards
MFS generally supports proposals to declassify a board (e.g. a board in which only one-third of board members is elected each year) for all issuers other than for certain closed-end investment companies.
MFS generally opposes proposals to classify a board for issuers other than for certain closed-end investment companies.
Stock Plans
MFS opposes stock option programs and restricted stock plans that provide unduly generous compensation for
officers, directors or employees, or that could result in excessive dilution to other shareholders. As a general guideline, MFS votes against restricted stock, stock option, non-employee director, omnibus stock plans and any other stock plan if all
such plans for a particular company involve potential dilution, in the aggregate, of more than 15%. However, MFS will also vote against stock plans that involve potential dilution, in aggregate, of more than 10% at U.S. issuers that are listed in
the Standard and Poors 100 index as of December 31 of the previous year.
MFS also opposes stock option programs that allow the board or the
compensation committee to re-price underwater options or to automatically replenish shares without shareholder approval. MFS also votes against stock option programs for officers, employees or non-employee directors that do not require an investment
by the optionee, that give free rides on the stock price, or that permit grants of stock options with an exercise price below fair market value on the date the options are granted. MFS will consider proposals to exchange existing options
for newly issued options, restricted stock or cash on a case-by-case basis, taking into account certain factors, including, but not limited to, whether there is a reasonable value-for-value exchange and whether senior executives are excluded from
participating in the exchange.
MFS supports the use of a broad-based employee stock purchase plans to increase
company stock ownership by employees, provided that shares purchased under the plan are acquired for no less than 85% of their market value and do not result in excessive dilution.
Shareholder Proposals on Executive Compensation
MFS believes that competitive compensation packages are necessary to attract, motivate and retain executives. However, MFS
also recognizes that certain executive compensation practices can be excessive and not in the best, long-term economic interest of a companys shareholders. We believe that the election of an issuers board of directors (as
outlined above), votes on stock plans (as outlined above) and advisory votes on pay (as outlined below) are typically the most effective mechanisms to express our view on a companys compensation practices.
MFS generally opposes shareholder proposals that seek to set rigid restrictions on executive compensation as MFS believes
that compensation committees should retain some flexibility to determine the appropriate pay package for executives. Although we support linking executive stock option grants to a companys performance, MFS also opposes shareholder proposals
that mandate a link of performance-based options to a specific industry or peer group stock index. MFS generally supports reasonably crafted shareholder proposals that (i) require the issuer to adopt a policy to recover the portion of
performance-based bonuses and awards paid to senior executives that were not earned based upon a significant negative restatement of earnings unless the company already has adopted a satisfactory policy on the matter, or (ii) expressly prohibit
the backdating of stock options.
Advisory Votes on Executive Compensation
MFS will analyze advisory votes on executive compensation on a case-by-case
basis. MFS will vote against an advisory vote on executive compensation if MFS determines that the issuer has adopted excessive executive compensation practices and will vote in favor of an advisory vote on executive compensation if MFS has not
determined that the issuer has adopted excessive executive compensation practices. Examples of excessive executive compensation practices may include, but are not limited to, a pay-for-performance disconnect, employment contract terms such as
guaranteed bonus provisions, unwarranted pension payouts, backdated stock options, overly generous hiring bonuses for chief executive officers, unnecessary perquisites, or the potential reimbursement of excise taxes to an executive in regards to a
severance package. In cases where MFS (i) votes against consecutive advisory pay votes, or (ii) determines that a particularly egregious excessive executive compensation practice has occurred, then MFS may also vote against certain board
nominees. MFS may also vote against certain board nominees if an advisory pay vote for a U.S. issuer is not on the agenda and the company has not implemented the advisory vote frequency supported by a plurality of shareholders.
MFS generally supports proposals to include an advisory shareholder vote on an issuers executive compensation
practices on an annual basis.
Golden Parachutes
From time to time, MFS may evaluate a separate, advisory vote on severance packages or golden parachutes to
certain executives at the same time as a vote on a proposed merger or acquisition. MFS will support an advisory vote on a severance package on a on a case-by-case basis, and MFS may vote against the severance package regardless of whether MFS
supports the proposed merger or acquisition.
Shareholders of companies may also submit proxy proposals that
would require shareholder approval of severance packages for executive officers that exceed certain predetermined thresholds. MFS votes in favor of such shareholder proposals when they would require shareholder approval of any severance package for
an executive officer that exceeds a certain multiple of such officers annual compensation that is not determined in MFS judgment to be excessive.
Anti-Takeover Measures
In general, MFS votes against any
measure that inhibits capital appreciation in a stock, including proposals that protect management from action by shareholders. These types of proposals take many forms, ranging from poison pills and shark repellents to
super-majority requirements.
MFS generally votes for proposals to rescind existing poison pills
and proposals that would require shareholder approval to adopt prospective poison
pills, unless the company already has adopted a clearly satisfactory policy on the matter. MFS may consider the adoption of a prospective poison pill or the continuation of an
existing poison pill if we can determine that the following two conditions are met: (1) the poison pill allows MFS clients to hold an aggregate position of up to 15% of a companys total voting securities (and of
any class of voting securities); and (2) either (a) the poison pill has a term of not longer than five years, provided that MFS will consider voting in favor of the poison pill if the term does not exceed seven
years and the poison pill is linked to a business strategy or purpose that MFS believes is likely to result in greater value for shareholders; or (b) the terms of the poison pill allow MFS clients the opportunity to
accept a fairly structured and attractively priced tender offer (e.g. a chewable poison pill that automatically dissolves in the event of an all cash, all shares tender offer at a premium price). MFS will also consider on a case-by-case
basis proposals designed to prevent tenders which are disadvantageous to shareholders such as tenders at below market prices and tenders for substantially less than all shares of an issuer.
MFS will consider any poison pills designed to protect a companys net-operating loss carryforwards on a case-by-case
basis, weighing the accounting and tax benefits of such a pill against the risk of deterring future acquisition candidates.
Reincorporation and Reorganization Proposals
When
presented with a proposal to reincorporate a company under the laws of a different state, or to effect some other type of corporate reorganization, MFS considers the underlying purpose and ultimate effect of such a proposal in determining whether or
not to support such a measure. MFS generally votes with management in regards to these types of proposals, however, if MFS believes the proposal is in the best long-term economic interests of its clients, then MFS may vote against management (e.g.
the intent or effect would be to create additional inappropriate impediments to possible acquisitions or takeovers).
Issuance
of Stock
There are many legitimate reasons for the issuance of stock. Nevertheless, as noted above under
Non-Salary Compensation Programs, when a stock option plan (either individually or when aggregated with other plans of the same company) would substantially dilute the existing equity (e.g. by approximately 10-15% as described above),
MFS generally votes against the plan. In addition, MFS typically votes against proposals where management is asking for authorization to issue common or preferred stock with no reason stated (a blank check) because the unexplained
authorization could work as a potential anti-takeover device. MFS may also vote against the authorization or issuance of common or preferred stock if MFS determines that the requested authorization is excessive and not warranted.
Repurchase Programs
MFS supports proposals to institute share repurchase plans in which all shareholders have the opportunity to participate
on an equal basis. Such plans may include a company acquiring its own shares on the open market, or a company making a tender offer to its own shareholders.
Cumulative Voting
MFS opposes proposals that seek to
introduce cumulative voting and for proposals that seek to eliminate cumulative voting. In either case, MFS will consider whether cumulative voting is likely to enhance the interests of MFS clients as minority shareholders. In our view,
shareholders should provide names of qualified candidates to a companys nominating committee, which, in our view, should be comprised solely of independent directors.
Written Consent and Special Meetings
The right to call a special meeting or act by written consent can be a powerful tool for shareholders. As such, MFS
supports proposals requesting the right for shareholders who hold at least 10% of the issuers outstanding stock to call a special meeting. MFS also supports proposals requesting the right for shareholders to act by written consent.
Independent Auditors
MFS believes that the appointment of auditors for U.S. issuers is best left to the board of directors of the company and therefore supports the ratification of the boards selection of an auditor for
the company. Some shareholder groups have submitted proposals to limit the non-audit activities of a companys audit firm or prohibit
any
non-audit services by a companys auditors to that company. MFS opposes proposals recommending
the prohibition or limitation of the performance of non-audit services by an auditor, and proposals recommending the removal of a companys auditor due to the performance of non-audit work for the company by its auditor. MFS believes that the
board, or its audit committee, should have the discretion to hire the companys auditor for specific pieces of non-audit work in the limited situations permitted under current law.
Environmental, Social and Governance (ESG) Issues
MFS believes that a companys ESG practices may have an impact on the companys long-term economic financial
performance and will generally support proposals relating to ESG issues that MFS believes are in the best long-term economic interest of the companys shareholders. For those ESG proposals for
which a specific policy has not been adopted, MFS considers such ESG proposals on a case-by-case basis. As a result, it may vote similar proposals differently at various shareholder meetings
based on the specific facts and circumstances of such proposal.
MFS generally supports proposals that seek to
remove governance structures that insulate management from shareholders (
i.e.,
anti-takeover measures) or that seek to enhance shareholder rights. Many of these governance-related issues, including compensation issues, are outlined within the
context of the above guidelines. In addition, MFS typically supports proposals that require an issuer to reimburse successful dissident shareholders (who are not seeking control of the company) for reasonable expenses that such dissident incurred in
soliciting an alternative slate of director candidates. MFS also generally supports reasonably crafted shareholder proposals requesting increased disclosure around the companys use of collateral in derivatives trading. MFS typically does not
support proposals to separate the chairman and CEO positions as we believe that the most beneficial leadership structure of a company should be determined by the companys board of directors. For any governance-related proposal for which an
explicit guideline is not provided above, MFS will consider such proposals on a case-by-case basis and will support such proposals if MFS believes that it is in the best long-term economic interest of the companys shareholders.
MFS generally supports proposals that request disclosure on the impact of environmental issues on the companys
operations, sales, and capital investments. However, MFS may not support such proposals based on the facts and circumstances surrounding a specific proposal, including, but not limited to, whether (i) the proposal is unduly costly, restrictive,
or burdensome, (ii) the company already provides publicly-available information that is sufficient to enable shareholders to evaluate the potential opportunities and risks that environmental matters pose to the companys operations, sales
and capital investments, or (iii) the proposal seeks a level of disclosure that exceeds that provided by the companys industry peers. MFS will analyze all other environmental proposals on a case-by-case basis and will support such
proposals if MFS believes such proposal is in the best long-term economic interest of the companys shareholders.
MFS will analyze social proposals on a case-by-case basis. MFS will support such proposals if MFS believes that such proposal is in the best long-term economic interest of the companys shareholders.
Generally, MFS will support shareholder proposals that (i) seek to amend a companys equal employment opportunity policy to prohibit discrimination based on sexual orientation and gender identity; and (ii) request additional
disclosure regarding a companys political contributions (unless the company already provides publicly-available information that is sufficient to enable shareholders to evaluate the potential opportunities and risks that such contributions
pose to the companys operations, sales and capital investments).
The laws of various states or countries may regulate how the interests of
certain clients subject to those laws (e.g. state pension plans) are voted with respect to social issues. Thus, it may be necessary to cast ballots differently for certain clients than MFS might normally do for other clients.
Foreign Issuers
MFS generally supports the election of a director nominee standing for re-election in uncontested or non-contentious elections unless it can be determined that (1) he or she failed to attend at least
75% of the board and/or relevant committee meetings in the previous year without a valid reason given in the proxy materials; (2) since the last annual meeting of shareholders and without shareholder approval, the board or its compensation
committee has re-priced underwater stock options; or (3) since the last annual meeting, the board has either implemented a poison pill without shareholder approval or has not taken responsive action to a majority shareholder approved resolution
recommending that the poison pill be rescinded. Also, certain markets outside of the U.S. have adopted best practice guidelines relating to corporate governance matters (
e.g
. the United Kingdoms Corporate Governance Code).
Many of these guidelines operate on a comply or explain basis. As such, MFS will evaluate any explanations by companies relating to their compliance with a particular corporate governance guideline on a case-by-case basis and may vote
against the board nominees or other relevant ballot item if such explanation is not satisfactory.
MFS
generally supports the election of auditors, but may determine to vote against the election of a statutory auditor in certain markets if MFS reasonably believes that the statutory auditor is not truly independent.
Some international markets have also adopted mandatory requirements for all companies to hold shareholder votes on
executive compensation. MFS will not support such proposals if MFS determines that a companys executive compensation practices are excessive, considering such factors as the specific markets best practices that seek to maintain
appropriate pay-for-performance alignment and to create long-term shareholder value.
Many other items on
foreign proxies involve repetitive, non-controversial matters that are mandated by local law. Accordingly, the items that are generally deemed routine and which do not require the exercise of judgment under these guidelines (and therefore voted with
management) for foreign issuers include, but are not limited to, the following: (i) receiving financial statements or other reports from the board; (ii) approval of declarations of dividends; (iii) appointment of shareholders to sign
board meeting minutes; (iv) discharge of management and supervisory boards; and (v) approval of share repurchase programs (absent any anti-takeover concerns). MFS will evaluate all other items on proxies for foreign companies in the
context of the guidelines described above, but will generally vote
against an item if there is not sufficient information disclosed in order to make an informed voting decision.
In accordance with local law or business practices, many foreign companies or custodians prevent the sales of shares that
have been voted for a certain period beginning prior to the shareholder meeting and ending on the day following the meeting (share blocking). Depending on the country in which a company is domiciled, the blocking period may begin a
stated number of days prior or subsequent to the meeting (e.g. one, three or five days) or on a date established by the company. While practices vary, in many countries the block period can be continued for a longer period if the shareholder meeting
is adjourned and postponed to a later date. Similarly, practices vary widely as to the ability of a shareholder to have the block restriction lifted early (e.g. in some countries shares generally can be unblocked up to two
days prior to the meeting whereas in other countries the removal of the block appears to be discretionary with the issuers transfer agent). Due to these restrictions, MFS must balance the benefits to its clients of voting proxies against the
potentially serious portfolio management consequences of a reduced flexibility to sell the underlying shares at the most advantageous time. For companies in countries with share blocking periods or in markets where some custodians may block shares,
the disadvantage of being unable to sell the stock regardless of changing conditions generally outweighs the advantages of voting at the shareholder meeting for routine items. Accordingly, MFS will not vote those proxies in the absence of an
unusual, significant vote that outweighs the disadvantage of being unable to sell the stock.
In limited
circumstances, other market specific impediments to voting shares may limit our ability to cast votes, including, but not limited to, late delivery of proxy materials, power of attorney and share re-registration requirements, or any other unusual
voting requirements. In these limited instances, MFS votes securities on a best efforts basis in the context of the guidelines described above.
B.
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ADMINISTRATIVE PROCEDURES
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1.
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MFS Proxy Voting Committee
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The administration of these MFS Proxy Voting Policies and Procedures is overseen by the MFS Proxy Voting Committee, which includes senior personnel from the MFS Legal and Global Investment Support
Departments. The Proxy Voting Committee does not include individuals whose primary duties relate to client relationship management, marketing, or sales. The MFS Proxy Voting Committee:
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a.
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Reviews these MFS Proxy Voting Policies and Procedures at least annually and recommends any amendments considered to be necessary or advisable;
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b.
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Determines whether any potential material conflict of interest exists with respect to instances in which MFS (i) seeks to override these MFS Proxy Voting Policies
and Procedures; (ii) votes on ballot items not governed by these MFS Proxy Voting Policies and Procedures; (iii) evaluates an excessive executive compensation issue in relation to the election of directors; or (iv) requests a vote
recommendation from an MFS portfolio manager or investment analyst (e.g. mergers and acquisitions); and
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c.
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Considers special proxy issues as they may arise from time to time.
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2.
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Potential Conflicts of Interest
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The MFS Proxy Voting Committee is responsible for monitoring potential material conflicts of interest on the part of MFS or its subsidiaries that could arise in connection with the voting of proxies on
behalf of MFS clients. Due to the client focus of our investment management business, we believe that the potential for actual material conflict of interest issues is small. Nonetheless, we have developed precautions to assure that all proxy
votes are cast in the best long-term economic interest of shareholders.
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Other MFS internal policies require all MFS employees to avoid actual and potential conflicts of interests between personal activities and MFS client activities. If an employee identifies an actual
or potential conflict of interest with respect to any voting decision, then that employee must recuse himself/herself from participating in the voting process. Additionally, with respect to decisions concerning all Non-Standard Votes, as defined
below, MFS will review the securities holdings reported by investment professionals that participate in such decisions to determine whether such person has a direct economic interest in the decision, in which case such person shall not further
participate in making the decision. Any significant attempt by an employee of MFS or its subsidiaries to unduly influence MFS voting on a particular proxy matter should also be reported to the MFS Proxy Voting Committee.
In cases where proxies are voted in accordance with these MFS Proxy Voting Policies and Procedures, no material conflict of interest will
be deemed to exist. In cases where (i) MFS is considering overriding these MFS Proxy Voting Policies and Procedures, (ii) matters presented for vote are not governed by these MFS Proxy Voting Policies and Procedures, (iii) MFS
evaluates a potentially excessive executive compensation issue in relation to the election of directors or advisory pay or severance package vote, or (iv) a vote recommendation is requested from an MFS portfolio manager or investment analyst
(e.g. mergers and acquisitions) (collectively, Non-Standard Votes); the MFS Proxy Voting Committee will follow these procedures:
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For clarification purposes, note that MFS votes in what we believe to be the best, long-term economic interest of our clients entitled to vote at the
shareholder meeting, regardless of whether other MFS clients hold short positions in the same issuer.
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a.
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Compare the name of the issuer of such proxy against a list of significant current (i) distributors of MFS Fund shares, and (ii) MFS institutional clients
(the MFS Significant Client List);
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b.
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If the name of the issuer does not appear on the MFS Significant Client List, then no material conflict of interest will be deemed to exist, and the proxy will be voted
as otherwise determined by the MFS Proxy Voting Committee;
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c.
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If the name of the issuer appears on the MFS Significant Client List, then the MFS Proxy Voting Committee will be apprised of that fact and each member of the MFS Proxy
Voting Committee will carefully evaluate the proposed vote in order to ensure that the proxy ultimately is voted in what MFS believes to be the best long-term economic interests of MFS clients, and not in MFS corporate interests; and
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d.
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For all potential material conflicts of interest identified under clause (c) above, the MFS Proxy Voting Committee will document: the name of the issuer, the
issuers relationship to MFS, the analysis of the matters submitted for proxy vote, the votes as to be cast and the reasons why the MFS Proxy Voting Committee determined that the votes were cast in the best long-term economic interests of
MFS clients, and not in MFS corporate interests. A copy of the foregoing documentation will be provided to MFS Conflicts Officer.
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The members of the MFS Proxy Voting Committee are responsible for creating and maintaining the MFS Significant Client List, in consultation with MFS distribution and institutional business units.
The MFS Significant Client List will be reviewed and updated periodically, as appropriate.
From time to time, certain MFS
Funds (the top tier fund) may own shares of other MFS Funds (the underlying fund). If an underlying fund submits a matter to a shareholder vote, the top tier fund will generally vote its shares in the same proportion as the
other shareholders of the underlying fund. If there are no other shareholders in the top tier fund, the top tier fund will vote in what MFS believes to be in the top tier funds best long-term economic interest.
Most
proxies received by MFS and its clients originate at Broadridge Financial Solutions, Inc. (Broadridge). Broadridge and other service providers, on behalf of custodians, send proxy related material to the record holders of the shares
beneficially owned by MFS clients, usually to the clients proxy voting administrator or, less
commonly, to the client itself. This material will include proxy ballots reflecting the shareholdings of Funds and of clients on the record dates for such shareholder meetings, as well as proxy
materials with the issuers explanation of the items to be voted upon.
MFS, on behalf of itself and
certain of its clients (including the MFS Funds) has entered into an agreement with an independent proxy administration firm pursuant to which the proxy administration firm performs various proxy vote related administrative services such as vote
processing and recordkeeping functions. Except as noted below, the proxy administration firm for MFS and its clients, including the MFS Funds, is Institutional Shareholder Services, Inc. (ISS). The proxy administration firm for MFS
Development Funds, LLC is Glass, Lewis & Co., Inc. (Glass Lewis; Glass Lewis and ISS are each hereinafter referred to as the Proxy Administrator).
The Proxy Administrator receives proxy statements and proxy ballots directly or indirectly from various custodians, logs
these materials into its database and matches upcoming meetings with MFS Fund and client portfolio holdings, which are input into the Proxy Administrators system by an MFS holdings data-feed. Through the use of the Proxy Administrator system,
ballots and proxy material summaries for all upcoming shareholders meetings are available on-line to certain MFS employees and members of the MFS Proxy Voting Committee.
It is the responsibility of the Proxy Administrator and MFS to monitor the receipt of ballots. When proxy ballots and
materials for clients are received by the Proxy Administrator, they are input into the Proxy Administrators on-line system. The Proxy Administrator then reconciles a list of all MFS accounts that hold shares of a companys stock and the
number of shares held on the record date by these accounts with the Proxy Administrators list of any upcoming shareholders meeting of that company. If a proxy ballot has not been received, the Proxy Administrator contacts the custodian
requesting the reason as to why a ballot has not been received.
Proxies are voted in accordance with these MFS Proxy Voting Policies and Procedures. The Proxy Administrator, at the prior direction of MFS, automatically votes all proxy matters that do not require the
particular exercise of discretion or judgment with respect to these MFS Proxy Voting Policies and Procedures as determined by MFS. With respect to proxy matters that require the particular exercise of discretion or judgment, the MFS Proxy Voting
Committee considers and votes on those proxy matters. MFS also receives research and recommendations from the Proxy Administrator which it may take into account in deciding how to vote. MFS uses the research of ISS to identify (i) circumstances
in which a board may have approved excessive executive compensation, (ii) environmental and social proposals that warrant consideration or (iii) circumstances in which a non-U.S. company is not in compliance with local
governance best practices. In those situations where the only MFS fund that is eligible to vote at a shareholder meeting has Glass Lewis as its Proxy Administrator, then we will rely on research
from Glass Lewis to identify such issues. Representatives of the MFS Proxy Voting Committee review, as appropriate, votes cast to ensure conformity with these MFS Proxy Voting Policies and Procedures.
As a general matter, portfolio managers and investment analysts have little or no involvement in most
votes taken by MFS. This is designed to promote consistency in the application of MFS voting guidelines, to promote consistency in voting on the same or similar issues (for the same or for multiple issuers) across all client accounts, and to
minimize the potential that proxy solicitors, issuers, or third parties might attempt to exert inappropriate influence on the vote. In limited types of votes (e.g. mergers and acquisitions, capitalization matters, potentially excessive executive
compensation issues, or shareholder proposals relating to environmental and social issues), a representative of MFS Proxy Voting Committee may consult with or seek recommendations from MFS portfolio managers or investment analysts.
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However, the MFS Proxy Voting Committee would ultimately determine
the manner in which all proxies are voted.
As noted above, MFS reserves the right to override the guidelines
when such an override is, in MFS best judgment, consistent with the overall principle of voting proxies in the best long-term economic interests of MFS clients. Any such override of the guidelines shall be analyzed, documented and
reported in accordance with the procedures set forth in these policies.
In accordance with its contract with MFS, the Proxy Administrator also generates a variety of reports for the MFS Proxy Voting Committee, and makes available on-line various other types of information so
that the MFS Proxy Voting Committee may review and monitor the votes cast by the Proxy Administrator on behalf of MFS clients.
From time to time, the MFS Funds or other pooled investment vehicles sponsored by MFS may participate in a securities lending program. In the event MFS or its agent receives timely
notice of a shareholder meeting for a U.S. security, MFS and its agent will attempt to recall any securities on loan before the meetings record date so that MFS will be entitled to vote these shares. However, there may be
instances in which MFS is unable to timely recall securities on loan
2
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From time to time, due to travel schedules and other commitments, an appropriate portfolio manager or research analyst may not be available to provide
a vote recommendation. If such a recommendation cannot be obtained within a reasonable time prior to the cut-off date of the shareholder meeting, the MFS Proxy Voting Committee may determine to abstain from voting.
|
for a U.S. security, in which cases MFS will not be able to vote these shares. MFS will report to the appropriate board of the MFS Funds those instances in which MFS is not able to timely
recall the loaned securities. MFS generally does not recall non-U.S. securities on loan because there may be insufficient advance notice of proxy materials, record dates, or vote cut-off dates to allow MFS to timely recall the shares
in certain markets. As a result, non-U.S. securities that are on loan will not generally be voted. If MFS receives timely notice of what MFS determines to be an unusual, significant vote for a non-U.S. security whereas MFS shares are on loan, and
determines that voting is in the best long-term economic interest of shareholders, then MFS will attempt to timely recall the loaned shares.
The MFS Proxy Voting Policies and Procedures are available on www.mfs.com and may be accessed by both MFS clients
and the companies in which MFS clients invest. From time to time, MFS may determine that it is appropriate and beneficial for representatives from the MFS Proxy Voting Committee to engage in a dialogue or written communication with a company
or other shareholders regarding certain matters on the companys proxy statement that are of concern to shareholders, including environmental, social and governance matters. A company or shareholder may also seek to engage with representatives
of the MFS Proxy Voting Committee in advance of the companys formal proxy solicitation to review issues more generally or gauge support for certain contemplated proposals.
MFS will retain copies of these MFS Proxy Voting Policies and Procedures in effect from time to time and will retain all proxy voting reports submitted to the Board of Trustees and Board of Managers of
the MFS Funds for the period required by applicable law. Proxy solicitation materials, including electronic versions of the proxy ballots completed by representatives of the MFS Proxy Voting Committee, together with their respective notes and
comments, are maintained in an electronic format by the Proxy Administrator and are accessible on-line by the MFS Proxy Voting Committee. All proxy voting materials and supporting documentation, including records generated by the Proxy
Administrators system as to proxies processed, including the dates when proxy ballots were received and submitted, and the votes on each companys proxy issues, are retained as required by applicable law.
MFS Funds
MFS publicly discloses the proxy voting records of the MFS Funds on an
annual basis, as required by law. MFS will also report the results of its voting to the Board of Trustees and Board of Managers of the MFS Funds. These reports will include: (i) a summary of how votes were cast (including advisory votes on pay
and golden parachutes); (ii) a summary of votes against managements recommendation; (iii) a review of situations where MFS did not vote in accordance with the guidelines and the rationale therefore; (iv) a review of
the procedures used by MFS to identify material conflicts of interest and any matters identified as a material conflict of interest; (v) a review of these policies and the guidelines; (vi) a report and impact assessment of instances in
which the recall of loaned securities of a U.S. issuer was unsuccessful; and (vii) as necessary or appropriate, any proposed modifications thereto to reflect new developments in corporate governance and other issues. Based on these reviews, the
Trustees and Managers of the MFS Funds will consider possible modifications to these policies to the extent necessary or advisable.
All MFS
Advisory Clients
MFS may publicly disclose the proxy voting records of certain clients or the votes it casts
with respect to certain matters as required by law. At any time, a report can also be printed by MFS for each client who has requested that MFS furnish a record of votes cast. The report specifies the proxy issues which have been voted for the
client during the year and the position taken with respect to each issue and, upon request, may identify situations where MFS did not vote in accordance with the MFS Proxy Voting Policies and Procedures.
Except as described above, MFS generally will not divulge actual voting practices to any party other than the client or
its representatives because we consider that information to be confidential and proprietary to the client. However, as noted above, MFS may determine that it is appropriate and beneficial to engage in a dialogue with a company regarding certain
matters. During such dialogue with the company, MFS may disclose the vote it intends to cast in order to potentially effect positive change at a company in regards to environmental, social or governance issues.
ITEM 8.
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PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
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General.
Information regarding the portfolio manager(s) of the MFS Multimarket Income Trust (the Fund) is set forth below.
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Portfolio Manager
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Primary Role
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Since
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Title and Five Year
History
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Richard O. Hawkins
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Lead Portfolio Manager
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2006
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Investment Officer of MFS; employed in the investment area of MFS since 1988.
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William J. Adams
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High Yield CorporateDebt Securities Portfolio Manager
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May 2011
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Investment Officer of MFS; employed in the investment area of MFS since 2009; Credit Analyst at MFS from 1997 to 2005.
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Matthew W. Ryan
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Emerging Markets Debt Securities Portfolio Manager
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2004
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Investment Officer of MFS; employed in the investment area of MFS since 1997.
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David P. Cole
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High Yield Debt Securities Portfolio Manager
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2006
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Investment Officer of MFS; employed in the investment area of MFS since 2004.
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Compensation
. Portfolio manager compensation is reviewed annually. As of December 31, 2010, portfolio manager
total cash compensation is a combination of base salary and performance bonus:
Base Salary
Base salary represents a smaller
percentage of portfolio manager total cash compensation than performance bonus.
Performance Bonus
Generally, the performance
bonus represents more than a majority of portfolio manager total cash compensation.
The performance bonus is based on a combination of
quantitative and qualitative factors, generally with more weight given to the former and less weight given to the latter.
The quantitative
portion is based on the pre-tax performance of assets managed by the portfolio manager over one-, three-, and five-year periods relative to peer group universes and/or indices (benchmarks). As of December 31, 2010, the following
benchmarks were used:
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Portfolio Manager
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Benchmark(s)
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Richard O. Hawkins
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Citicorp World Government Bond Non-Dollar Hedged Index
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JPMorgan Emerging Markets Bond Index Global
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Barclays Capital U.S. High-Yield Corporate Bond Index
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Barclays Capital U.S. Corporate Bond Index
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Barclays Capital U.S. Government/Mortgage Bond Index
|
Additional or different benchmarks, including versions of indices and custom indices may also be used.
Primary weight is given to portfolio performance over a three-year time period with lesser consideration given to portfolio performance over one-year and five-year periods (adjusted as appropriate if the portfolio manager has served for less than
five years).
The qualitative portion is based on the results of an annual internal peer review process (conducted by other portfolio
managers, analysts, and traders) and managements assessment of overall portfolio manager contributions to investor relations and the investment process (distinct from fund and other account performance).
Portfolio managers also typically benefit from the opportunity to participate in the MFS Equity Plan. Equity interests and/or options to acquire equity
interests in MFS or its parent company are awarded by management, on a discretionary basis, taking into account tenure at MFS, contribution to the investment process, and other factors.
Finally, portfolio managers also participate in benefit plans (including a defined contribution plan and health and other insurance plans) and programs available generally to other employees of MFS. The
percentage such benefits represent of any portfolio managers compensation depends upon the length of the individuals tenure at MFS and salary level, as well as other factors.
Ownership of Fund Shares
. The following table shows the dollar range of equity securities of the Fund beneficially owned by the Funds portfolio manager(s) as of the funds fiscal year
ended October 31, 2011. The following dollar ranges apply:
N. None
A. $1 - $10,000
B. $10,001 - $50,000
C. $50,001 - $100,000
D. $100,001 - $500,000
E. $500,001 - $1,000,000
F. Over $1,000,000
|
|
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Name of Portfolio Manager
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Dollar Range of Equity
Securities in Fund
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Richard O. Hawkins
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N
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William J. Adams
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N
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Matthew W. Ryan
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N
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David P. Cole
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N
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Other Accounts
. In addition to the Fund, each of the Funds portfolio managers is named as a portfolio
manager of certain other accounts managed or subadvised by MFS or an affiliate, the number and assets of which, as of fiscal year ended October 31, 2011 were as follows:
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Registered Investment
Companies
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Other Pooled Investment
Vehicles
|
|
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Other Accounts
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Name
|
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Number of
Accounts*
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|
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Total Assets*
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|
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Number of
Accounts
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Total Assets
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Number of
Accounts
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|
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Total Assets
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Richard O. Hawkins
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13
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$
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17.3 billion
|
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2
|
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$
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1.3 billion
|
|
|
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5
|
|
|
$
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685.6 million
|
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William J. Adams
|
|
|
14
|
|
|
$
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4.5 billion
|
|
|
|
5
|
|
|
$
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1.4 billion
|
|
|
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0
|
|
|
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N/A
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Matthew W. Ryan
|
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12
|
|
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$
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6.5 billion
|
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10
|
|
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$
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3.1 billion
|
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|
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7
|
|
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$
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5.0 billion
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David P. Cole
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13
|
|
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$
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4.4 billion
|
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|
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3
|
|
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$
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818.3 million
|
|
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0
|
|
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N/A
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Advisory fees are not based
upon performance of any of the accounts identified in the table above.
Potential Conflicts of Interest.
The Adviser seeks to identify potential conflicts of interest resulting from a portfolio managers management of both the Fund and other accounts,
and has adopted policies and procedures designed to address such potential conflicts.
The management of multiple funds and accounts
(including proprietary accounts) gives rise to potential conflicts of interest if the funds and accounts have different objectives and strategies, benchmarks, time horizons and fees as a portfolio manager must allocate his or her time and investment
ideas across multiple funds and accounts. In certain instances there are securities which are suitable for the Funds portfolio as well as for accounts of the Adviser or its subsidiaries with similar investment objectives. A Funds trade
allocation policies may give rise to conflicts of interest if the Funds orders do not get fully executed or are delayed in getting executed due to being aggregated with those of other accounts of the Adviser or its subsidiaries. A portfolio
manager may execute transactions for another fund or account that may adversely affect the value of the Funds investments. Investments selected for funds or accounts other than the Fund may outperform investments selected for the Fund.
When two or more clients are simultaneously engaged in the purchase or sale of the same security, the securities are allocated among clients
in a manner believed by the Adviser to be fair and equitable to each. It is recognized that in some cases this system could have a detrimental effect on the price or volume of the security as far as the Fund is concerned. In most cases, however, the
Adviser believes that the Funds ability to participate in volume transactions will produce better executions for the Fund.
The Adviser
and/or a portfolio manager may have a financial incentive to allocate favorable or limited opportunity investments or structure the timing of investments to favor
accounts other than the Fund, for instance, those that pay a higher advisory fee and/or have a performance adjustment, and/or include an investment by the portfolio manager.
ITEM 9.
|
PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
|
MFS Multimarket Income Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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Period
|
|
(a) Total number
of Shares
Purchased
|
|
|
(b)
Average
Price
Paid per
Share
|
|
|
(c) Total
Number of
Shares
Purchased as
Part of Publicly
Announced
Plans
or
Programs
|
|
|
(d) Maximum
Number
(or
Approximate
Dollar Value) of
Shares that May
Yet Be Purchased
under the Plans
or Programs
|
|
11/01/10-11/30/10
|
|
|
0
|
|
|
|
N/A
|
|
|
|
0
|
|
|
|
7,837,810
|
|
12/01/10-12/31/10
|
|
|
0
|
|
|
|
N/A
|
|
|
|
0
|
|
|
|
7,837,810
|
|
1/01/11-1/31/11
|
|
|
0
|
|
|
|
N/A
|
|
|
|
0
|
|
|
|
7,837,810
|
|
2/01/11-2/28/11
|
|
|
0
|
|
|
|
N/A
|
|
|
|
0
|
|
|
|
7,837,810
|
|
3/01/11-3/31/11
|
|
|
0
|
|
|
|
N/A
|
|
|
|
0
|
|
|
|
7,837,810
|
|
4/01/11-4/30/11
|
|
|
0
|
|
|
|
N/A
|
|
|
|
0
|
|
|
|
7,837,810
|
|
5/01/11-5/31/11
|
|
|
0
|
|
|
|
N/A
|
|
|
|
0
|
|
|
|
7,837,810
|
|
6/01/11-6/30/11
|
|
|
0
|
|
|
|
N/A
|
|
|
|
0
|
|
|
|
7,837,810
|
|
7/01/11-7/31/11
|
|
|
0
|
|
|
|
N/A
|
|
|
|
0
|
|
|
|
7,837,810
|
|
8/01/11-8/31/11
|
|
|
0
|
|
|
|
N/A
|
|
|
|
0
|
|
|
|
7,837,810
|
|
9/01/11-9/30/11
|
|
|
0
|
|
|
|
N/A
|
|
|
|
0
|
|
|
|
7,837,810
|
|
10/01/11-10/31/11
|
|
|
0
|
|
|
|
N/A
|
|
|
|
0
|
|
|
|
7,837,810
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
0
|
|
|
|
|
|
|
|
0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Note: The Board of Trustees approves procedures to repurchase shares annually. The notification to
shareholders of the program is part of the semi-annual and annual reports sent to shareholders. These annual programs begin on March 1
st
of each year. The programs conform to the conditions of Rule 10b-18 of the securities Exchange Act of 1934 and limit
the aggregate number of shares that may be purchased in each annual period (March 1 through the following February 28) to 10% of the Registrants outstanding shares as of the first day of the plan year (March 1). The aggregate number of
shares available for purchase for the March 1, 2011 plan year is 7,837,810.
ITEM 10.
|
SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
|
There were no material changes to the procedures by which shareholders may send recommendations to the Board for nominees to the Registrants Board since the Registrant last provided disclosure as to
such procedures in response to the requirements of Item 407 (c)(2)(iv) of Regulation S-K or this Item.
ITEM 11.
|
CONTROLS AND PROCEDURES.
|
(a)
|
Based upon their evaluation of the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the
Act)) as conducted within 90 days of the filing date of this Form N-CSR, the registrants principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable
assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commissions rules and forms.
|
(b)
|
There were no changes in the registrants internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second
fiscal quarter covered by the report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting.
|
(a) File the exhibits listed
below as part of this form. Letter or number the exhibits in the sequence indicated.
(1) Any code of ethics, or amendment
thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Code of Ethics attached hereto.
(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule
30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto.
(3)Any written solicitation to purchase securities under Rule
23c-1 under the Act sent or given during the period covered by the report by or on behalf of the Registrant to 10 or more persons. Not applicable.
(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b)
under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed
filed for the purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the
Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference: Attached hereto.
Notice
A copy of the Amended and Restated Declaration of Trust of the Registrant is on file with the Secretary of State of the Commonwealth of Massachusetts and notice is hereby given that this instrument is
executed on behalf of the Registrant by an officer of the Registrant as an officer and not individually and the obligations of or arising out of this instrument are not binding upon any of the Trustees or shareholders individually, but are binding
only upon the assets and property of the respective constituent series of the Registrant.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned,
thereunto duly authorized.
Registrant MFS MULTIMARKET INCOME TRUST
|
|
|
By (Signature and Title)*
|
|
MARIA F. DIORIODWYER
|
|
|
Maria F. DiOrioDwyer, President
|
Date: December 16, 2011
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in
the capacities and on the dates indicated.
|
|
|
By (Signature and Title)*
|
|
MARIA F. DIORIODWYER
|
|
|
Maria F. DiOrioDwyer, President (Principal Executive Officer)
|
Date: December 16, 2011
|
|
|
By (Signature and Title)*
|
|
JOHN M. CORCORAN
|
|
|
John M. Corcoran, Treasurer (Principal Financial Officer and Accounting Officer)
|
Date: December 16, 2011
*
|
Print name and title of each signing officer under his or her signature.
|
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