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) Registrant's telephone number, including area code: (617) 954-5000 ------------------------------------------------------------------------------- Date of fiscal year end: October 31 ------------------------------------------------------------------------------- Date of reporting period: April 30, 2007 ------------------------------------------------------------------------------- ITEM 1. REPORTS TO STOCKHOLDERS. MFS(R) MULTIMARKET INCOME TRUST M F S(R) INVESTMENT MANAGEMENT [graphic omitted] SEMIANNUAL REPORT 4/30/07 MMT-SEM MFS(R) MULTIMARKET INCOME TRUST LETTER FROM THE CEO 1 -------------------------------------------------------------- PORTFOLIO COMPOSITION 2 -------------------------------------------------------------- PORTFOLIO MANAGERS' PROFILES 4 -------------------------------------------------------------- PERFORMANCE SUMMARY 6 -------------------------------------------------------------- DIVIDEND REINVESTMENT AND CASH PURCHASE PLAN 8 -------------------------------------------------------------- PORTFOLIO OF INVESTMENTS 9 -------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES 28 -------------------------------------------------------------- STATEMENT OF OPERATIONS 30 -------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS 32 -------------------------------------------------------------- FINANCIAL HIGHLIGHTS 33 -------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS 34 -------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM 46 -------------------------------------------------------------- BOARD REVIEW OF INVESTMENT ADVISORY AGREEMENT 47 -------------------------------------------------------------- PROXY VOTING POLICIES AND INFORMATION 47 -------------------------------------------------------------- QUARTERLY PORTFOLIO DISCLOSURE 47 -------------------------------------------------------------- CONTACT INFORMATION BACK COVER -------------------------------------------------------------- TRUST OBJECTIVE: The Trust seeks to provide a high level of current income through investment in fixed-income securities. New York Stock Exchange Symbol: MMT ------------------------------------------------------------------------------- NOT FDIC INSURED o MAY LOSE VALUE o NO BANK OR CREDIT UNION GUARANTEE o NOT A DEPOSIT o NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY OR NCUA/NCUSIF ------------------------------------------------------------------------------- LETTER FROM THE CEO [Photo of Robert J. Manning] Dear Shareholders: The past year has been a great example of why investors should keep their eyes on the long term. In 2006 the Dow Jones Industrial Average returned 19%. As of mid-May 2007, it had returned another 8% and continued to reach new highs. But the Dow's upward rise has not been without hiccups. After hitting new records in February, the Dow lost 5.8% between February 20 and March 5, as stocks were sold off around the globe. As we have said before, markets are volatile, and investors should make sure they have an investment plan that can carry them through the peaks and troughs. If you are focused on a long-term investment strategy, the short-term ups and downs of the markets should not necessarily dictate portfolio action on your part. Both the bond and stock markets are cyclical. In our view, investors who remain committed to a long-term plan are more likely to achieve their financial goals. We believe you should not let the headlines guide you in your investment decisions and should be cautious about overreacting to short-term volatility. In any market environment, we believe individual investors are best served by following a three-pronged investment strategy of allocating their holdings across the major asset classes, diversifying within each class, and regularly rebalancing their portfolios to maintain their desired allocations. Of course, these strategies cannot guarantee a profit or protect against a loss. Investing and planning for the long term require diligence and patience, two traits that in our experience are essential to capitalizing on the many opportunities the financial markets can offer -- through both up and down economic cycles. Respectfully, /s/ Robert J. Manning Robert J. Manning Chief Executive Officer and Chief Investment Officer MFS Investment Management(R) June 15, 2007 The opinions expressed in this letter are subject to change, may not be relied upon for investment advice, and no forecasts can be guaranteed. PORTFOLIO COMPOSITION PORTFOLIO STRUCTURE (i) Bonds 92.9% Floating Rate Loans 1.5% Cash & Other Net Assets 5.6% FIXED INCOME SECTORS (i) High Yield Corporates 24.1% ------------------------------------------------ High Grade Corporates 19.7% ------------------------------------------------ Non U.S. Government Bonds 11.0% ------------------------------------------------ Mortgage-Backed Securities 9.7% ------------------------------------------------ Emerging Market Bonds 9.1% ------------------------------------------------ Commercial Mortgage-Backed Securities 8.9% ------------------------------------------------ U.S. Treasury Securities 8.2% ------------------------------------------------ Asset-Backed Securities 1.6% ------------------------------------------------ Floating Rate Loans 1.5% ------------------------------------------------ Residential Mortgage-Backed Securities 0.5% ------------------------------------------------ Collateralized Debt Obligations 0.1% ------------------------------------------------ CREDIT QUALITY OF BONDS (r) AAA 32.4% ------------------------------------------------ AA 5.5% ------------------------------------------------ A 8.8% ------------------------------------------------ BBB 19.3% ------------------------------------------------ BB 16.8% ------------------------------------------------ B 14.5% ------------------------------------------------ CCC 1.8% ------------------------------------------------ Not Rated 0.9% ------------------------------------------------ PORTFOLIO FACTS Average Duration (d)(i) 5.2 ------------------------------------------------ Average Life (i)(m) 8.3 yrs. ------------------------------------------------ Average Maturity (i)(m) 13.6 yrs. ------------------------------------------------ Average Credit Quality of Rated Securities (long-term) (a) A- ------------------------------------------------ Average Credit Quality of Rated Securities (short-term) (a) A-1 ------------------------------------------------ COUNTRY WEIGHTINGS (i) United States 65.7% ------------------------------------------------ United Kingdom 5.4% ------------------------------------------------ France 4.8% ------------------------------------------------ Japan 3.6% ------------------------------------------------ Germany 3.5% ------------------------------------------------ Russia 2.4% ------------------------------------------------ Netherlands 2.1% ------------------------------------------------ Mexico 1.5% ------------------------------------------------ Canada 1.4% ------------------------------------------------ Other Countries 9.6% ------------------------------------------------ (a) The average credit quality of rated securities is based upon a market weighted average of portfolio holdings that are rated by public rating agencies. (d) Duration is a measure of how much a bond's price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value. (i) For purposes of this presentation, the bond component includes both accrued interest amounts and the equivalent exposure from any derivative holdings, if applicable. (m) The average maturity shown is calculated using the final stated maturity on the portfolio's holdings without taking into account any holdings which have been pre- refunded or pre-paid to an earlier date or which have a mandatory put date prior to the stated maturity. The average life shown takes into account these earlier dates. (r) Each security is assigned a rating from Moody's Investors Service. If not rated by Moody's, the rating will be that assigned by Standard & Poor's. Likewise, if not assigned a rating by Standard & Poor's, it will be based on the rating assigned by Fitch, Inc. For those portfolios that hold a security which is not rated by any of the three agencies, the security is considered Not Rated. Holdings in U.S. Treasuries and government agency mortgage-backed securities, if any, are included in the "AAA"-rating category. Percentages are based on the total market value of investments as of 04/30/07. Percentages are based on net assets as of 04/30/07, unless otherwise noted. The portfolio is actively managed and current holdings may be different. PORTFOLIO MANAGERS' PROFILES Richard O. Hawkins, CFA, is Senior Vice President of MFS Investment Management(R) (MFS(R)) and portfolio manager of fixed income mutual funds, variable annuities, separate accounts, and closed end funds. Richard joined the firm in 1988 and was named portfolio manager in 1996. He has been a portfolio manager of the fund since April 2006. Richard earned a bachelor's degree from Brown University and a Master's of Business Administration from the University of Pennsylvania. He is a member of the Association for Investment Management and Research (AIMR) and the Boston Security Analysts Society, Inc. He holds the Chartered Financial Analyst (CFA) designation. John F. Addeo, CFA, is Vice President of MFS Investment Management(R) (MFS(R)) and portfolio manager of the high-yield bond portfolios of our mutual funds, variable annuities, offshore accounts and closed-end funds. John joined MFS as a research analyst in 1998. He became Vice President in 1999, associate portfolio manager in 2000, and portfolio manager in 2001. He has been a portfolio manager of the fund since February 2005. John received a Bachelor of Science degree from Siena College in 1984. He holds the Chartered Financial Analyst (CFA) designation. James J. Calmas is Senior Vice President of MFS Investment Management(R) (MFS(R)) and team leader of the firm's strategic income and limited maturity portfolios, and portfolio manager of variable annuities, and offshore investment products. Jim joined MFS in 1988 and was named portfolio manager in 1998, and Senior Vice President in 2002. He has been a portfolio manager of the fund since September 2004. Jim is a graduate of Dartmouth College and holds an M.B.A. degree from the Amos Tuck School of Business Administration of Dartmouth College. David P. Cole, CFA, is Vice President of MFS Investment Management(R) (MFS(R)). He is also a co-portfolio manager on the firm's high-yield portfolios and the high-yield segment of the MFS Diversified Income Fund. He has been a portfolio manager of the fund since October 2006. David joined MFS in 2004 after working for five years as a High Yield Analyst for Franklin Templeton Investments. Prior to this, he served as a Financial Economist/ Treasury Market Analyst for Thomson Financial Services and three years as an Economist for Standard and Poor's. David has a bachelor's degree from Cornell University and an M.B.A from University of California, Berkeley. He holds the Chartered Financial Analyst (CFA) designation. Matthew W. Ryan, CFA, is Senior Vice President of MFS Investment Management(R) (MFS(R)) and portfolio manager of strategic income and high yield portfolios, as well as the firm's emerging market debt portfolios. He was named a portfolio manager of MFS in 1998; Vice President in 1999; and Senior Vice President in 2005. He has been a portfolio manager of the fund since September 2001. Matt is a graduate of Williams College and earned a master's degree in international economics and foreign policy from Johns Hopkins University. Matt also holds the Chartered Financial Analyst (CFA) designation. Note to Shareholders: Effective October 9, 2006, David Cole replaced Scott Richards as a manager of the portfolio. PERFORMANCE SUMMARY THROUGH 4/30/07 All results are historical. Investment return and principal value will fluctuate, and shares, when sold, may be worth more or less than their original cost. More recent returns may be more or less than those shown. Past performance is no guarantee of future results. PRICE SUMMARY Six months ended 4/30/07 Date Price ---------------------------------------------------------------------------- Net Asset Value Per Share 4/30/07 $6.78 ---------------------------------------------------------------------------- 10/31/06 $6.74 ---------------------------------------------------------------------------- New York Stock Exchange Price 4/30/07 $6.08 ---------------------------------------------------------------------------- 2/28/07(high) (t) $6.16 ---------------------------------------------------------------------------- 11/09/06(low) (t) $5.93 ---------------------------------------------------------------------------- 10/31/06 $6.00 ---------------------------------------------------------------------------- TOTAL RETURNS VS BENCHMARKS Six months ended 4/30/07 ---------------------------------------------------------------------------- New York Stock Exchange Price (r) 4.29% ---------------------------------------------------------------------------- Net Asset Value (r) 3.53% ---------------------------------------------------------------------------- Citigroup World Government Bond Non-Dollar Hedged Index (f) 1.32% ---------------------------------------------------------------------------- JPMorgan Emerging Markets Bond Index Global (f) 5.29% ---------------------------------------------------------------------------- Lehman Brothers U.S. Credit Bond Index (f) 2.79% ---------------------------------------------------------------------------- Lehman Brothers U.S. Government/Mortgage Bond Index (f) 2.62% ---------------------------------------------------------------------------- Lehman Brothers U.S. High-Yield Corporate Bond Index (f) 6.89% (f) Source: FactSet Research Systems Inc. (r) Includes reinvestment of dividends and capital gain distributions. (t) For the period November 1, 2006 through April 30, 2007. INDEX DEFINITIONS Citigroup World Government Bond Non-Dollar Hedged Index - a market capitalization-weighted index that tracks the currency-hedged performance of the major government bond markets, excluding the United States. Country eligibility is determined based upon market capitalization and investability criteria. JPMorgan Emerging Markets Bond Index Global (EMBI Global) - tracks total returns for U.S.-dollar-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities: Brady bonds, loans, Eurobonds. Lehman Brothers U.S. Credit Bond Index - measures publicly issued, SEC- registered, U.S. corporate and specified foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements. Lehman Brothers 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). Lehman Brothers U.S. High-Yield Corporate Bond Index - measures the universe 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. It is not possible to invest directly in an index. NOTES TO PERFORMANCE SUMMARY The trust's shares may trade at a discount to net asset value. Shareholders do not have the right to cause the trust to repurchase their shares at net asset value. When trust shares trade at a premium, buyers pay more than the net asset value underlying trust shares, and shares purchased at a premium would receive less than the amount paid for them in the event of the trust's liquidation. As a result, the total returns that are calculated based on the net asset value and New York Stock Exchange prices can be different. The trust's monthly distributions may include a return of capital to shareholders. Distributions that are treated for federal income tax purposes as a return of capital will reduce each shareholder's 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 trust's assets and may increase the trust's expense ratio. From time to time the trust 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 trust hereby gives notice that it may from time to time repurchase shares of the trust in the open market at the option of the Board of Trustees and on such terms as the Trustees shall determine. DIVIDEND REINVESTMENT AND CASH PURCHASE PLAN The trust offers a Dividend Reinvestment and Cash Purchase Plan that allows you to reinvest either all of the distributions paid by the trust or only the long-term capital gains. 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 discounted price of either the net asset value or 95% of the market price, whichever is greater. Twice each year you can also buy shares. Investments may be made in any amount over $100 in January and July on the 15th of the month or shortly thereafter. If your shares are in the name of a brokerage firm, bank, or other nominee, you can ask the firm or nominee to participate in the plan on your behalf. If the nominee does not offer the plan, you may wish to request that your shares be re-registered in your own name so that you can participate. There is no service charge to reinvest distributions, nor are there brokerage charges for shares issued directly by the trust. However, when shares are bought on the New York Stock Exchange or otherwise on the open market, each participant pays a pro rata share of the transaction expenses, including commissions. The automatic reinvestment of distributions does not relieve you of any income tax that may be payable (or required to be withheld) on the distributions. To enroll in or withdraw from the plan, or if you have any questions, call 1-800-637-2304 any business day from 9 a.m. to 5 p.m. Eastern time. Please have available the name of the trust and your account and Social Security numbers. For certain types of registrations, such as corporate accounts, instructions must be submitted in writing. Please call for additional details. When you withdraw from the plan, you can receive the value of the reinvested shares in one of two ways: a check for the value of the full and fractional shares, or a certificate for the full shares and a check for the fractional shares. Effective May 1, 2007, Computershare Trust Company, N.A. (the Transfer Agent for the trust) became the agent for the plan. PORTFOLIO OF INVESTMENTS 4/30/07 (unaudited) The Portfolio of Investments is a complete list of all securities owned by your trust. It is categorized by broad-based asset classes. Bonds - 90.1% ------------------------------------------------------------------------------------------------------------- ISSUER SHARES/PAR VALUE ($) ------------------------------------------------------------------------------------------------------------- Aerospace - 0.3% ------------------------------------------------------------------------------------------------------------- Bombardier, Inc., 8%, 2014 (n) $ 713,000 $ 748,650 DRS Technologies, Inc., 7.625%, 2018 250,000 261,875 Hawker Beechcraft Acquisition Corp., 9.75%, 2017 (n) 365,000 391,463 Rolls-Royce PLC, 6.375%, 2007 EUR 300,000 410,479 ------------ $ 1,812,467 ------------------------------------------------------------------------------------------------------------- Airlines - 0.2% ------------------------------------------------------------------------------------------------------------- Continental Airlines, Inc., 7.566%, 2020 $ 995,352 $ 1,017,747 ------------------------------------------------------------------------------------------------------------- Asset Backed & Securitized - 11.0% ------------------------------------------------------------------------------------------------------------- ARCap REIT, Inc., "H", 6.1%, 2045 (n) $ 2,000,000 $ 1,789,766 Asset Securitization Corp., FRN, 8.1466%, 2029 1,877,956 2,024,683 Banc of America Commercial Mortgage, Inc., "A4", FRN, 5.3534%, 2047 1,375,626 1,369,526 Banc of America Commercial Mortgage, Inc., FRN, 4.857%, 2043 1,375,626 1,335,820 Bayview Financial Acquisition Trust, FRN, 5.483%, 2041 1,130,000 1,126,409 Bayview Financial Revolving Mortgage Loan Trust, FRN, 6.12%, 2040 (z) 4,000,000 3,999,991 Citigroup/Deutsche Bank Commercial Mortgage Trust, "H", FRN, 5.8817%, 2049 (z) 454,115 434,389 Citigroup/Deutsche Bank Commercial Mortgage Trust, "J", FRN, 5.8817%, 2049 (z) 700,000 650,562 Citigroup/Deutsche Bank Commercial Mortgage Trust, FRN, 5.366%, 2049 1,160,000 1,152,387 Countrywide Asset-Backed Certificates, FRN, 4.575%, 2035 351,970 349,879 Crest Ltd., 7%, 2040 (n) 2,000,000 1,904,000 DEPFA Bank, 5.5%, 2010 EUR 960,000 1,351,356 Deutsche Mortgage & Asset Receiving Corp., 7.5%, 2031 $ 1,847,000 2,000,259 DLJ Commercial Mortgage Corp., 6.04%, 2031 2,000,000 2,032,122 Falcon Franchise Loan LLC, FRN, 4.1216%, 2025 (i)(z) 7,206,309 1,013,351 First Union National Bank Commercial Mortgage Trust, FRN, 1.1842%, 2043 (i)(n) 28,235,079 842,202 First Union-Lehman Brothers Bank of America, FRN, 0.6911%, 2035 (i) 59,426,392 866,710 First Union-Lehman Brothers Commercial Mortgage Trust, 7%, 2029 (n) 1,847,000 2,002,905 First Union-Lehman Brothers Commercial Mortgage Trust, FRN, 7.5%, 2029 1,846,973 2,046,934 GMAC Commercial Mortgage Securities, Inc., 6.02%, 2033 2,542,000 2,581,526 GMAC Commercial Mortgage Securities, Inc., FRN, 7.9175%, 2034 (n) 1,853,000 2,000,933 JPMorgan Chase Commercial Mortgage Securities Corp., 5.552%, 2045 1,590,000 1,607,944 JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.4721%, 2043 1,375,626 1,376,336 JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.475%, 2043 1,590,000 1,600,271 JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 6.0657%, 2045 1,590,000 1,653,610 Lehman Brothers Commercial Conduit Mortgage Trust, FRN, 1.092%, 2030 (i) 15,266,638 291,425 Morgan Stanley Capital I, Inc., FRN, 1.4083%, 2039 (i)(n) 14,915,475 836,665 Mortgage Capital Funding, Inc., FRN, 0.806%, 2031 (i) 13,023,249 65,099 Multi-Family Capital Access One, Inc., 6.65%, 2024 97,793 98,856 Preferred Term Securities IV Ltd., CDO, FRN, 7.6%, 2031 (z) 717,888 720,042 Prudential Securities Secured Financing Corp., FRN, 7.3872%, 2013 (z) 2,581,000 2,745,633 RMAC PLC, FRN, 4.078%, 2036 (n) EUR 109,634 149,632 Structured Asset Securities Corp., FRN, 4.67%, 2035 $ 4,130,346 4,089,095 TIAA Real Estate CDO Ltd., 7.17%, 2032 (n) 1,346,234 1,345,768 Wachovia Bank Commercial Mortgage Trust, 4.935%, 2042 2,000,000 1,948,918 Wachovia Bank Commercial Mortgage Trust, FRN, 5.118%, 2042 1,375,626 1,356,374 Wachovia Bank Commercial Mortgage Trust, FRN, 5.383%, 2043 2,660,000 2,656,686 Wachovia Bank Commercial Mortgage Trust, FRN, 6.021%, 2043 (z) 1,100,000 1,061,483 Wachovia Bank Commercial Mortgage Trust, FRN, 5.4906%, 2044 2,777,000 2,771,454 ------------ $ 59,251,001 ------------------------------------------------------------------------------------------------------------- Automotive - 1.8% ------------------------------------------------------------------------------------------------------------- Continental AG, 6.875%, 2008 EUR 100,000 $ 141,751 DaimlerChrysler N.A. Holdings Corp., 8.5%, 2031 $ 1,251,000 1,576,329 Ford Motor Credit Co., 7.375%, 2009 2,115,000 2,116,637 Ford Motor Credit Co., 7%, 2013 1,325,000 1,252,912 Ford Motor Credit Co., 8%, 2016 635,000 621,013 Ford Motor Credit Co. LLC, 9.75%, 2010 310,000 328,034 Ford Motor Credit Co., FRN, 8.105%, 2012 400,000 394,525 General Motors Corp., 8.375%, 2033 674,000 609,128 Goodyear Tire & Rubber Co., 9%, 2015 845,000 931,613 Johnson Controls, Inc., 5.25%, 2011 1,180,000 1,182,939 TRW Automotive, Inc., 7%, 2014 (n) 690,000 683,100 TRW Automotive, Inc., 7.25%, 2017 (n) 75,000 74,438 ------------ $ 9,912,419 ------------------------------------------------------------------------------------------------------------- Broadcasting - 2.3% ------------------------------------------------------------------------------------------------------------- Allbritton Communications Co., 7.75%, 2012 $ 875,000 $ 899,062 CBS Corp., 6.625%, 2011 1,043,000 1,089,111 Clear Channel Communications, Inc., 6.25%, 2011 1,310,000 1,299,448 Clear Channel Communications, Inc., 5.5%, 2014 1,210,000 1,072,914 Grupo Televisa S.A., 8.5%, 2032 463,000 587,659 Intelsat Bermuda Ltd., 9.25%, 2016 1,350,000 1,485,000 Intelsat Bermuda Ltd., 11.25%, 2016 355,000 405,144 Intelsat Subsidiary Holding Co. Ltd., 8.625%, 2015 580,000 619,875 Lamar Media Corp., 7.25%, 2013 1,460,000 1,492,850 News America Holdings, 7.7%, 2025 2,217,000 2,533,412 Umbrella Acquisition, Inc., 9.75%, 2015 (n)(p) 935,000 938,506 ------------ $ 12,422,981 ------------------------------------------------------------------------------------------------------------- Brokerage & Asset Managers - 1.5% ------------------------------------------------------------------------------------------------------------- AMVESCAP PLC, 5.625%, 2012 $ 1,450,000 $ 1,458,520 Goldman Sachs Group, Inc., 5.625%, 2017 3,378,000 3,362,883 Morgan Stanley, 5.75%, 2016 668,000 677,105 Morgan Stanley Dean Witter, Inc., 6.6%, 2012 2,538,000 2,688,041 ------------ $ 8,186,549 ------------------------------------------------------------------------------------------------------------- Building - 0.6% ------------------------------------------------------------------------------------------------------------- American Standard Cos., Inc., 7.375%, 2008 $ 2,500,000 $ 2,527,250 NTK Holdings, Inc., 8.5%, 2014 595,000 587,563 ------------ $ 3,114,813 ------------------------------------------------------------------------------------------------------------- Business Services - 0.2% ------------------------------------------------------------------------------------------------------------- SunGard Data Systems, Inc., 10.25%, 2015 $ 1,140,000 $ 1,254,000 ------------------------------------------------------------------------------------------------------------- Cable TV - 1.1% ------------------------------------------------------------------------------------------------------------- CCH II Holdings LLC, 10.25%, 2010 $ 610,000 $ 649,650 CCO Holdings LLC, 8.75%, 2013 325,000 340,844 Cox Communications, Inc., 4.625%, 2013 1,744,000 1,667,339 Rogers Cable, Inc., 5.5%, 2014 1,975,000 1,955,250 TCI Communications, Inc., 9.8%, 2012 1,135,000 1,345,789 ------------ $ 5,958,872 ------------------------------------------------------------------------------------------------------------- Chemicals - 1.0% ------------------------------------------------------------------------------------------------------------- Akzo Nobel N.V., 5.625%, 2009 EUR 100,000 $ 139,468 Equistar Chemicals LP, 10.125%, 2008 $ 800,000 844,000 Equistar Chemicals LP, 10.625%, 2011 1,225,000 1,292,375 Linde Finance B.V., 6% to 2013, FRN to 2049 EUR 101,000 142,636 Lyondell Chemical Co., 11.125%, 2012 $ 830,000 883,950 Momentive Performance Materials, Inc., 11.5%, 2016 (n) 795,000 847,669 Mosaic Co., 7.625%, 2016 (n) 995,000 1,062,163 Nalco Co., 8.875%, 2013 95,000 101,650 ------------ $ 5,313,911 ------------------------------------------------------------------------------------------------------------- Computer Software - 0.2% ------------------------------------------------------------------------------------------------------------- Seagate Technology HDD Holdings, 6.375%, 2011 $ 1,217,000 $ 1,212,436 ------------------------------------------------------------------------------------------------------------- Conglomerates - 0.0% ------------------------------------------------------------------------------------------------------------- Thyssenkrupp Finance B.V., 7%, 2009 EUR 100,000 $ 142,675 ------------------------------------------------------------------------------------------------------------- Construction - 0.2% ------------------------------------------------------------------------------------------------------------- Beazer Homes USA, Inc., 6.875%, 2015 $ 1,015,000 $ 933,800 ------------------------------------------------------------------------------------------------------------- Consumer Goods & Services - 0.7% ------------------------------------------------------------------------------------------------------------- Corrections Corp. of America, 6.25%, 2013 $ 455,000 $ 455,000 Fortune Brands, Inc., 5.125%, 2011 1,212,000 1,200,747 Jarden Corp., 7.5%, 2017 685,000 701,269 Service Corp. International, 7%, 2017 620,000 616,900 Service Corp. International, 7.625%, 2018 250,000 264,688 Sodexho Alliance S.A., 5.875%, 2009 EUR 100,000 139,941 Visant Holding Corp., 8.75%, 2013 $ 387,000 407,318 ------------ $ 3,785,863 ------------------------------------------------------------------------------------------------------------- Containers - 1.3% ------------------------------------------------------------------------------------------------------------- Berry Plastics Holding Corp., 8.875%, 2014 $ 755,000 $ 777,650 Crown Americas LLC, 7.75%, 2015 1,215,000 1,284,862 Greif, Inc., 6.75%, 2017 (n) 2,345,000 2,386,038 Owens-Brockway Glass Container, Inc., 8.875%, 2009 453,000 462,060 Owens-Brockway Glass Container, Inc., 8.25%, 2013 1,815,000 1,914,825 ------------ $ 6,825,435 ------------------------------------------------------------------------------------------------------------- Defense Electronics - 0.2% ------------------------------------------------------------------------------------------------------------- L-3 Communications Corp., 5.875%, 2015 $ 1,030,000 $ 1,002,963 ------------------------------------------------------------------------------------------------------------- Electronics - 0.1% ------------------------------------------------------------------------------------------------------------- NXP B.V./NXP Funding LLC, 7.875%, 2014 (n) $ 615,000 $ 639,600 ------------------------------------------------------------------------------------------------------------- Emerging Market Quasi-Sovereign - 2.1% ------------------------------------------------------------------------------------------------------------- Gaz Capital S.A., 6.212%, 2016 $ 1,148,000 $ 1,162,350 Gazprom International S.A., 7.201%, 2020 1,754,908 1,850,024 Gazprom International S.A., 6.51%, 2022 (n) 1,260,000 1,296,225 Gazprom OAO, 9.625%, 2013 550,000 655,600 Majapahit Holding B.V., 7.75%, 2016 (n) 605,000 640,544 Pemex Project Funding Master Trust, 8.625%, 2022 878,000 1,107,158 Pemex Project Funding Master Trust, 9.5%, 2027 84,000 116,130 Pemex Project Funding Master Trust, 6.625%, 2035 1,694,000 1,795,640 Ras Laffan Liquefied Natural Gas Co. Ltd., 8.294%, 2014 (n) 2,510,000 2,797,932 ------------ $ 11,421,603 ------------------------------------------------------------------------------------------------------------- Emerging Market Sovereign - 2.9% ------------------------------------------------------------------------------------------------------------- Federative Republic of Brazil, 6%, 2017 $ 3,299,000 $ 3,361,681 Federative Republic of Brazil, 8%, 2018 615,000 698,025 Federative Republic of Brazil, 7.125%, 2037 100,000 113,050 Federative Republic of Brazil, CLN, 10%, 2012 BRL 100,000 47,741 Federative Republic of Brazil, CLN, 10%, 2012 BRL 100,000 47,741 Federative Republic of Brazil, CLN, 10%, 2012 BRL 100,000 47,741 Federative Republic of Brazil, CLN, 10%, 2012 BRL 100,000 47,741 Nota do Tesouro Nacional, 6%, 2015 BRL 47,613 22,704 Nota do Tesouro Nacional, 10%, 2017 BRL 31,000 14,565 Republic of Argentina, 7%, 2013 $ 590,045 571,803 Republic of Argentina, FRN, 10.875%, 2008 ARS 3,868,000 1,264,739 Republic of Argentina, FRN, 5.475%, 2012 $ 2,537,250 2,423,793 Republic of Bulgaria, 8.25%, 2015 242,000 286,891 Republic of Colombia, FRN, 7.16%, 2015 1,350,000 1,437,750 Republic of Panama, 9.375%, 2029 1,241,000 1,690,863 Republic of Panama, 6.7%, 2036 554,000 585,855 Republic of Philippines, 9.375%, 2017 597,000 735,803 United Mexican States, 6.375%, 2013 448,000 473,312 United Mexican States, 5.625%, 2017 750,000 761,625 United Mexican States, 6.75%, 2034 871,000 971,165 ------------ $ 15,604,588 ------------------------------------------------------------------------------------------------------------- Energy - Independent - 1.0% ------------------------------------------------------------------------------------------------------------- Anadarko Petroleum Corp., 5.95%, 2016 $ 610,000 $ 614,738 Chaparral Energy, Inc., 8.875%, 2017 (n) 595,000 609,875 Chesapeake Energy Corp., 6.875%, 2016 1,310,000 1,332,925 Hilcorp Energy I LP, 7.75%, 2015 (n) 255,000 256,275 Newfield Exploration Co., 6.625%, 2014 995,000 999,975 Plains Exploration & Production Co., 7%, 2017 675,000 675,844 Quicksilver Resources, Inc., 7.125%, 2016 1,060,000 1,054,700 ------------ $ 5,544,332 ------------------------------------------------------------------------------------------------------------- Energy - Integrated - 0.2% ------------------------------------------------------------------------------------------------------------- TNK-BP Finance S.A., 7.5%, 2016 (n) $ 1,083,000 $ 1,146,626 ------------------------------------------------------------------------------------------------------------- Entertainment - 0.2% ------------------------------------------------------------------------------------------------------------- AMC Entertainment, Inc., 11%, 2016 $ 435,000 $ 499,162 Turner Broadcasting System, Inc., 8.375%, 2013 419,000 477,664 ------------ $ 976,826 ------------------------------------------------------------------------------------------------------------- Financial Institutions - 1.9% ------------------------------------------------------------------------------------------------------------- Countrywide Financial Corp., 6.25%, 2016 $ 2,250,000 $ 2,272,975 General Motors Acceptance Corp., 5.85%, 2009 962,000 951,297 General Motors Acceptance Corp., 6.875%, 2011 990,000 993,327 General Motors Acceptance Corp., 6.75%, 2014 2,591,000 2,555,122 GMAC LLC, 6.125%, 2008 503,000 502,270 International Lease Finance Corp., 5.625%, 2013 1,248,000 1,270,984 Residential Capital LLC, 6.875%, 2015 1,520,000 1,539,178 ------------ $ 10,085,153 ------------------------------------------------------------------------------------------------------------- Food & Beverages - 0.9% ------------------------------------------------------------------------------------------------------------- Allied Domecq Financial Services PLC, 5.875%, 2009 EUR 125,000 $ 175,034 ARAMARK Corp., 8.5%, 2015 (n) $ 920,000 962,550 B&G Foods Holding Corp., 8%, 2011 375,000 380,625 Dean Foods Co., 7%, 2016 810,000 820,125 Del Monte Corp., 6.75%, 2015 185,000 185,462 Dole Foods Co., Inc., 8.875%, 2011 795,000 804,937 Tyson Foods, Inc., 6.85%, 2016 1,520,000 1,584,600 ------------ $ 4,913,333 ------------------------------------------------------------------------------------------------------------- Food & Drug Stores - 0.2% ------------------------------------------------------------------------------------------------------------- CVS Corp., 6.125%, 2016 $ 1,300,000 $ 1,347,801 ------------------------------------------------------------------------------------------------------------- Forest & Paper Products - 0.8% ------------------------------------------------------------------------------------------------------------- Buckeye Technologies, Inc., 8.5%, 2013 $ 795,000 $ 839,719 MDP Acquisitions PLC, 9.625%, 2012 59,000 62,098 MeadWestvaco Corp., 6.8%, 2032 679,000 652,801 Norske Skog Canada Ltd., 7.375%, 2014 1,210,000 1,152,525 Stora Enso Oyj, 6.404%, 2016 (n) 1,580,000 1,620,347 UPM Kymmene Corp., 6.125%, 2012 EUR 100,000 143,931 ------------ $ 4,471,421 ------------------------------------------------------------------------------------------------------------- Gaming & Lodging - 1.6% ------------------------------------------------------------------------------------------------------------- Caesars Entertainment, Inc., 8.125%, 2011 $ 1,520,000 $ 1,611,200 Great Canadian Gaming Corp., 7.25%, 2015 (n) 665,000 675,806 Mandalay Resort Group, 9.375%, 2010 950,000 1,024,813 MGM Mirage, Inc., 8.375%, 2011 1,530,000 1,623,713 MGM Mirage, Inc., 6.75%, 2013 500,000 495,625 Scientific Games Corp., 6.25%, 2012 825,000 808,500 Station Casinos, Inc., 6.5%, 2014 630,000 592,988 Wimar Opco LLC, 9.625%, 2014 (n) 585,000 593,775 Wyndham Worldwide Corp., 6%, 2016 (n) 360,000 357,140 Wynn Las Vegas LLC, 6.625%, 2014 545,000 546,363 ------------ $ 8,329,923 ------------------------------------------------------------------------------------------------------------- Industrial - 0.1% ------------------------------------------------------------------------------------------------------------- JohnsonDiversey Holdings, Inc., "B", 9.625%, 2012 $ 690,000 $ 722,775 ------------------------------------------------------------------------------------------------------------- Insurance - 1.2% ------------------------------------------------------------------------------------------------------------- Allianz AG, 5.5% to 2014, FRN to 2049 EUR 140,000 $ 194,876 American International Group, Inc., 6.25%, 2037 $ 300,000 298,604 ING Groep N.V., 5.775% to 2015, FRN to 2049 2,500,000 2,490,648 Prudential Financial, Inc., 5.1%, 2014 1,985,000 1,952,410 U.S.I. Holdings Corp., FRN, 9.23%, 2014 (n) 1,495,000 1,502,475 ------------ $ 6,439,013 ------------------------------------------------------------------------------------------------------------- Insurance - Health - 0.1% ------------------------------------------------------------------------------------------------------------- Centene Corp., 7.25%, 2014 (n) $ 350,000 $ 355,250 ------------------------------------------------------------------------------------------------------------- Insurance - Property & Casualty - 0.8% ------------------------------------------------------------------------------------------------------------- AIG SunAmerica Global Financing X, 6.9%, 2032 (n) $ 2,384,000 $ 2,723,367 Fund American Cos., Inc., 5.875%, 2013 1,464,000 1,466,867 ------------ $ 4,190,234 ------------------------------------------------------------------------------------------------------------- International Market Quasi-Sovereign - 3.6% ------------------------------------------------------------------------------------------------------------- Canada Housing Trust, 4.6%, 2011 CAD 389,000 $ 356,019 Development Bank of Japan, 1.75%, 2010 JPY 183,000,000 1,565,508 Development Bank of Japan, 1.4%, 2012 JPY 274,000,000 2,323,388 Development Bank of Japan, 1.05%, 2023 JPY 459,000,000 3,318,944 Development Bank of Japan, 2.3%, 2026 JPY 120,000,000 1,031,042 Japan Finance Corp. for Municipal Enterprises, 1.55%, 2012 JPY 275,000,000 2,335,767 Japan Finance Corp. for Municipal Enterprises, 2%, 2016 JPY 510,000,000 4,437,970 KfW Bankengruppe, 1.35%, 2014 JPY 432,000,000 3,603,824 Vattenfall Treasury AB, 6%, 2010 EUR 125,000 177,746 ------------ $ 19,150,208 ------------------------------------------------------------------------------------------------------------- International Market Sovereign - 7.3% ------------------------------------------------------------------------------------------------------------- Commonwealth of Australia, 6%, 2017 AUD 337,000 $ 282,340 Federal Republic of Germany, 5.25%, 2010 EUR 1,989,000 2,803,080 Federal Republic of Germany, 3.75%, 2015 EUR 999,000 1,328,338 Federal Republic of Germany, 6.25%, 2030 EUR 1,544,000 2,679,355 Government of Canada, 5.5%, 2009 CAD 778,000 720,160 Government of Canada, 4.5%, 2015 CAD 311,000 287,052 Government of Canada, 8%, 2023 CAD 136,000 176,139 Government of Canada, 5.75%, 2033 CAD 351,000 393,684 Kingdom of Denmark, 4%, 2015 DKK 4,203,000 761,667 Kingdom of Netherlands, 3.75%, 2009 EUR 3,669,000 4,966,878 Kingdom of Netherlands, 3.75%, 2014 EUR 1,061,000 1,412,081 Kingdom of Netherlands, 4%, 2016 EUR 787,000 1,058,921 Kingdom of Spain, 5.35%, 2011 EUR 2,725,000 3,897,788 Republic of Austria, 4.65%, 2018 EUR 2,632,000 3,722,943 Republic of France, 4.75%, 2012 EUR 760,000 1,067,202 Republic of France, 5%, 2016 EUR 1,274,000 1,847,261 Republic of France, 6%, 2025 EUR 511,000 843,354 Republic of France, 4.75%, 2035 EUR 2,099,000 3,045,320 Republic of Ireland, 3.25%, 2009 EUR 1,569,000 2,106,553 Republic of Ireland, 4.6%, 2016 EUR 2,023,000 2,846,854 United Kingdom Treasury, 8%, 2015 GBP 290,000 695,042 United Kingdom Treasury, 8%, 2021 GBP 318,000 831,152 United Kingdom Treasury, 4.25%, 2036 GBP 803,000 1,537,608 ------------ $ 39,310,772 ------------------------------------------------------------------------------------------------------------- Machinery & Tools - 0.5% ------------------------------------------------------------------------------------------------------------- Case Corp., 7.25%, 2016 $ 750,000 $ 788,437 Case New Holland, Inc., 7.125%, 2014 820,000 861,000 Manitowoc Co., Inc., 10.5%, 2012 767,000 814,938 ------------ $ 2,464,375 ------------------------------------------------------------------------------------------------------------- Major Banks - 2.7% ------------------------------------------------------------------------------------------------------------- Bank of Ireland, 7.4%, 2049 EUR 500,000 $ 746,819 BNP Paribas, 5.186% to 2015, FRN to 2049(n) $ 2,099,000 2,022,619 BNP Paribas Capital Trust III, 6.625% to 2011, FRN to 2049 EUR 100,000 147,180 Credit Suisse Group, 7.974%, 2010 EUR 265,000 396,320 HBOS Capital Funding LP, 6.071% to 2014, FRN to 2049(n) $ 1,543,000 1,578,855 JPMorgan Chase & Co., 5.125%, 2014 2,755,000 2,724,031 MUFG Capital Finance 1 Ltd., 6.346% to 2016, FRN to 2049 1,568,000 1,601,460 National Westminster Bank PLC, 6.625% to 2009, FRN to 2049 EUR 330,000 472,060 SG Capital Trust I, 7.875% to 2010, FRN to 2049 EUR 300,000 444,160 Wachovia Capital Trust III, 5.8% to 2011, FRN to 2042 $ 4,068,000 4,128,613 ------------ $ 14,262,117 ------------------------------------------------------------------------------------------------------------- Medical & Health Technology & Services - 2.0% ------------------------------------------------------------------------------------------------------------- Advanced Medical Optics, Inc., 7.5%, 2017 (n) $ 355,000 $ 365,650 Cooper Cos., Inc., 7.125%, 2015 (n) 1,260,000 1,285,200 DaVita, Inc., 6.625%, 2013 300,000 301,125 DaVita, Inc., 7.25%, 2015 900,000 920,250 HCA, Inc., 8.75%, 2010 1,315,000 1,392,256 HCA, Inc., 6.375%, 2015 500,000 435,625 HCA, Inc., 9.25%, 2016 (n) 1,645,000 1,793,050 Hospira, Inc., 5.55%, 2012 360,000 361,965 Hospira, Inc., 6.05%, 2017 1,248,000 1,260,846 Omnicare, Inc., 6.875%, 2015 590,000 587,788 Owens & Minor, Inc., 6.35%, 2016 1,420,000 1,436,344 Tenet Healthcare Corp., 9.25%, 2015 740,000 740,000 ------------ $ 10,880,099 ------------------------------------------------------------------------------------------------------------- Metals & Mining - 1.8% ------------------------------------------------------------------------------------------------------------- Arch Western Finance LLC, 6.75%, 2013 $ 1,310,000 $ 1,300,175 Chaparral Steel Co., 10%, 2013 1,090,000 1,219,437 FMG Finance Ltd., 10.625%, 2016 (n) 1,405,000 1,643,850 Freeport-McMoRan Copper & Gold, 8.25%, 2015 595,000 643,344 Freeport-McMoRan Copper & Gold, 8.375%, 2017 995,000 1,088,281 International Steel Group, Inc., 6.5%, 2014 1,300,000 1,359,098 Peabody Energy Corp., 5.875%, 2016 720,000 689,400 Peabody Energy Corp., 7.375%, 2016 45,000 47,531 Peabody Energy Corp., "B", 6.875%, 2013 630,000 637,875 U.S. Steel Corp., 9.75%, 2010 795,000 834,750 ------------ $ 9,463,741 ------------------------------------------------------------------------------------------------------------- Mortgage Backed - 9.7% ------------------------------------------------------------------------------------------------------------- Fannie Mae, 4.78%, 2015 $ 708,849 $ 698,079 Fannie Mae, 6%, 2017 - 2037 5,764,156 5,815,779 Fannie Mae, 5.5%, 2021 - 2035 10,782,387 10,721,245 Fannie Mae, 5%, 2027 - 2035 6,875,146 6,727,390 Fannie Mae, 6.5%, 2031 - 2032 1,492,978 1,538,593 Freddie Mac, 6%, 2021 - 2036 10,501,358 10,598,331 Freddie Mac, 5%, 2024 349,986 348,708 Freddie Mac, 5.5%, 2036 15,615,781 15,447,210 ------------ $51,895,335 ------------------------------------------------------------------------------------------------------------- Natural Gas - Distribution - 0.3% ------------------------------------------------------------------------------------------------------------- AmeriGas Partners LP, 7.25%, 2015 $ 1,030,000 $ 1,048,025 AmeriGas Partners LP, 7.125%, 2016 365,000 369,562 ------------ $ 1,417,587 ------------------------------------------------------------------------------------------------------------- Natural Gas - Pipeline - 2.2% ------------------------------------------------------------------------------------------------------------- Atlas Pipeline Partners LP, 8.125%, 2015 $ 1,905,000 $ 1,981,200 CenterPoint Energy Resources Corp., 7.875%, 2013 1,250,000 1,396,001 Colorado Interstate Gas Co., 5.95%, 2015 365,000 368,618 El Paso Performance-Linked Trust, 7.75%, 2011 (n) 2,240,000 2,385,600 Kinder Morgan Energy Partners LP, 5.125%, 2014 1,147,000 1,117,105 Magellan Midstream Partners LP, 5.65%, 2016 1,123,000 1,114,053 Spectra Energy Capital LLC, 8%, 2019 691,000 795,333 Williams Cos., Inc., 8.75%, 2032 1,750,000 2,036,563 Williams Partners LP, 7.25%, 2017 (n) 765,000 808,988 ------------ $ 12,003,461 ------------------------------------------------------------------------------------------------------------- Network & Telecom - 2.1% ------------------------------------------------------------------------------------------------------------- BellSouth Corp., 6.55%, 2034 $ 3,213,000 $ 3,349,067 Citizens Communications Co., 9.25%, 2011 1,285,000 1,431,169 Citizens Communications Co., 9%, 2031 870,000 954,825 Deutsche Telekom International Finance B.V., 8.125%, 2012 EUR 130,000 205,003 Nordic Telephone Co. Holdings, 8.875%, 2016 (n) $ 640,000 688,000 Qwest Corp., 7.875%, 2011 535,000 569,775 Qwest Corp., 8.875%, 2012 950,000 1,049,750 Telefonica Europe B.V., 7.75%, 2010 1,500,000 1,615,838 Windstream Corp., 8.625%, 2016 1,040,000 1,141,400 Windstream Corp., 7%, 2019 (n) 195,000 195,975 ------------ $ 11,200,802 ------------------------------------------------------------------------------------------------------------- Oil Services - 0.4% ------------------------------------------------------------------------------------------------------------- Basic Energy Services, Inc., 7.125%, 2016 $ 630,000 $ 625,275 Compagnie Generale de Geophysique-Veritas, 7.75%, 2017 490,000 518,175 GulfMark Offshore, Inc., 7.75%, 2014 760,000 777,100 ------------ $ 1,920,550 ------------------------------------------------------------------------------------------------------------- Oils - 0.5% ------------------------------------------------------------------------------------------------------------- Premcor Refining Group, Inc., 7.5%, 2015 $ 2,575,000 $ 2,657,776 ------------------------------------------------------------------------------------------------------------- Other Banks & Diversified Financials - 3.4% ------------------------------------------------------------------------------------------------------------- Alfa Diversified Payment Rights Finance Co., FRN, 7.2549%, 2011 (n) $ 2,383,550 $ 2,383,550 Banco BMG S.A., 9.15%, 2016 (n) 714,000 771,120 Banco de Credito del Peru, FRN, 6.95%, 2021 (n) 316,000 315,948 Banco do Estado de Sao Paulo S.A., 8.7%, 2010 15,000 15,900 Banco do Estado de Sao Paulo S.A., 8.7%, 2049 (n) 577,000 612,341 Banco Mercantil del Norte S.A., 5.875% to 2009, FRN to 2014 (n) 655,000 656,965 Bosphorus Financial Services Ltd., FRN, 7.16%, 2012 2,000,000 2,020,184 DFS Funding Corp., FRN, 7.3549%, 2010 2,000,000 2,025,000 Fifth Third Bancorp, 5.45%, 2017 1,500,000 1,494,547 Fortis Capital Co., 6.25% to 2009, FRN to 2049 EUR 155,000 218,120 HSBK Europe B.V., 7.25%, 2017 (z) $ 929,000 926,678 Kazkommerts International B.V., 8%, 2015 588,000 593,880 Mizuho Capital Investment 1 Ltd., 6.686% to 2016, FRN to 2049 (n) 1,220,000 1,253,114 Mizuho Financial Group, Inc., 5.79%, 2014 (n) 1,633,000 1,666,793 Resona Bank Ltd., 5.85% to 2016, FRN to 2049 (n) 626,000 622,970 Russian Standard Finance S.A., 7.5%, 2010 (n) 257,000 251,218 Russian Standard Finance S.A., 8.625%, 2011 (n) 769,000 777,651 Woori Bank, 6.125% to 2011, FRN to 2016 (n) 1,510,000 1,547,499 ------------ $18,153,478 ------------------------------------------------------------------------------------------------------------- Pollution Control - 0.1% ------------------------------------------------------------------------------------------------------------- Veolia Environnement, 5.875%, 2008 EUR 250,000 $ 346,756 ------------------------------------------------------------------------------------------------------------- Precious Metals & Minerals - 0.2% ------------------------------------------------------------------------------------------------------------- Alrosa Finance S.A., 8.875%, 2014 $ 716,000 $ 827,266 ------------------------------------------------------------------------------------------------------------- Printing & Publishing - 1.5% ------------------------------------------------------------------------------------------------------------- American Media Operations, Inc., 10.25%, 2009 $ 790,000 $ 744,575 Bertelsmann U.S. Finance, Inc., 4.625%, 2010 EUR 148,000 202,572 Dex Media East LLC, 9.875%, 2009 $ 1,235,000 1,289,031 Dex Media West LLC, 9.875%, 2013 567,000 617,321 Idearc, Inc., 8%, 2016 (n) 2,625,000 2,736,563 MediaNews Group, Inc., 6.875%, 2013 485,000 441,350 R.H. Donnelley Corp., 8.875%, 2016 1,890,000 2,050,650 Reed Elsevier Capital, Inc., 5.75%, 2008 EUR 125,000 173,041 ------------ $ 8,255,103 ------------------------------------------------------------------------------------------------------------- Railroad & Shipping - 0.3% ------------------------------------------------------------------------------------------------------------- TFM S.A. de C.V., 9.375%, 2012 $ 1,424,000 $ 1,537,920 ------------------------------------------------------------------------------------------------------------- Real Estate - 0.5% ------------------------------------------------------------------------------------------------------------- HRPT Properties Trust, REIT, 6.25%, 2016 $ 663,000 $ 690,072 Kimco Realty Corp., REIT, 5.783%, 2016 720,000 732,855 Simon Property Group LP, REIT, 4.6%, 2010 1,375,000 1,352,637 ------------ $ 2,775,564 ------------------------------------------------------------------------------------------------------------- Restaurants - 0.3% ------------------------------------------------------------------------------------------------------------- YUM! Brands, Inc., 8.875%, 2011 $ 1,590,000 $ 1,783,064 ------------------------------------------------------------------------------------------------------------- Retailers - 1.1% ------------------------------------------------------------------------------------------------------------- Couche-Tard, Inc., 7.5%, 2013 $ 905,000 $ 934,412 Dollar General Corp., 8.625%, 2010 685,000 729,525 Federated Retail Holdings, Inc., 5.35%, 2012 300,000 299,850 Gap, Inc., 9.8%, 2008 2,710,000 2,896,144 Home Depot, Inc., 5.4%, 2016 1,250,000 1,224,161 ------------ $ 6,084,092 ------------------------------------------------------------------------------------------------------------- Specialty Stores - 0.1% ------------------------------------------------------------------------------------------------------------- GSC Holdings Corp., 8%, 2012 $ 455,000 $ 485,144 LVMH Moet Hennessy Louis Vuitton S.A., 4.625%, 2011 EUR 125,000 171,146 Payless ShoeSource, Inc., 8.25%, 2013 $ 100,000 105,250 ------------ $ 761,540 ------------------------------------------------------------------------------------------------------------- Supermarkets - 0.2% ------------------------------------------------------------------------------------------------------------- Stater Bros. Holdings, Inc., 7.75%, 2015 (n) $ 350,000 $ 359,625 SUPERVALU, Inc., 7.5%, 2014 470,000 491,150 ------------ $ 850,775 ------------------------------------------------------------------------------------------------------------- Supranational - 0.1% ------------------------------------------------------------------------------------------------------------- Central American Bank, 4.875%, 2012 (n) $ 521,000 $ 507,927 ------------------------------------------------------------------------------------------------------------- Telecommunications - Wireless - 0.7% ------------------------------------------------------------------------------------------------------------- Centennial Communications Corp., 10.125%, 2013 $ 520,000 $ 561,600 Globo Comunicacoes Participacao, 7.25%, 2022 (z) 100,000 99,900 OJSC Vimpel Communications, 8.25%, 2016 1,945,000 2,086,985 Rogers Wireless, Inc., 7.5%, 2015 980,000 1,073,100 ------------ $ 3,821,585 ------------------------------------------------------------------------------------------------------------- Telephone Services - 0.3% ------------------------------------------------------------------------------------------------------------- Embarq Corp., 7.082%, 2016 $ 1,760,000 $ 1,818,325 ------------------------------------------------------------------------------------------------------------- Tobacco - 0.4% ------------------------------------------------------------------------------------------------------------- Altria Group, Inc., 5.625%, 2008 EUR 75,000 $ 103,771 Reynolds American, Inc., 7.25%, 2012 $ 1,854,000 1,960,664 ------------ $ 2,064,435 ------------------------------------------------------------------------------------------------------------- Transportation - Services - 0.4% ------------------------------------------------------------------------------------------------------------- Hertz Corp., 8.875%, 2014 $ 685,000 $ 738,088 Stena AB, 7%, 2016 452,000 445,220 Westinghouse Air Brake Technologies Corp., 6.875%, 2013 795,000 798,975 ------------ $ 1,982,283 ------------------------------------------------------------------------------------------------------------- U.S. Treasury Obligations - 5.3% ------------------------------------------------------------------------------------------------------------- U.S. Treasury Bonds, 5.375%, 2031 $ 3,386,000 $ 3,626,724 U.S. Treasury Bonds, 4.5%, 2036 (f) 12,628,000 11,974,892 U.S. Treasury Notes, 4.5%, 2016 2,718,000 2,696,658 U.S. Treasury Notes, 6.375%, 2027 4,000,000 4,757,500 U.S. Treasury Notes, TIPS, 2.375%, 2017 5,044,600 5,123,225 ------------ $ 28,178,999 ------------------------------------------------------------------------------------------------------------- Utilities - Electric Power - 5.4% ------------------------------------------------------------------------------------------------------------- AES Corp., 9.375%, 2010 $ 625,000 $ 685,938 Allegheny Energy Supply Co. LLC, 8.25%, 2012 (n) 805,000 873,425 Beaver Valley Funding Corp., 9%, 2017 4,599,000 5,221,613 Edison Mission Energy, 7.75%, 2016 585,000 615,712 Enersis S.A., 7.375%, 2014 1,283,000 1,392,971 Exelon Generation Co. LLC, 6.95%, 2011 2,506,000 2,641,239 HQI Transelec Chile S.A., 7.875%, 2011 883,000 947,909 ISA Capital do Brasil S.A., 7.875%, 2012 (n) 464,000 475,600 ISA Capital do Brasil S.A., 8.8%, 2017 (n) 761,000 819,978 Midwest Generation LLC, 8.75%, 2034 250,000 276,250 Mirant Americas Generation, Inc., 8.3%, 2011 200,000 211,500 Mirant North American LLC, 7.375%, 2013 1,500,000 1,586,250 NorthWestern Corp., 5.875%, 2014 1,695,000 1,684,367 NRG Energy, Inc., 7.375%, 2016 3,450,000 3,583,688 Reliant Resources, Inc., 9.25%, 2010 895,000 938,631 RWE Finance B.V., 5.375%, 2008 EUR 6,000 8,268 System Energy Resources, Inc., 5.129%, 2014 (n) $ 2,133,558 2,088,391 TXU Energy Co., 7%, 2013 2,670,000 2,780,092 Waterford 3 Funding Corp., 8.09%, 2017 1,872,870 1,937,616 ------------ $ 28,769,438 ------------------------------------------------------------------------------------------------------------- TOTAL BONDS (IDENTIFIED COST, $474,270,483) $483,481,783 ------------------------------------------------------------------------------------------------------------- Floating Rate Loans - 1.4% (g)(r) ------------------------------------------------------------------------------------------------------------- Automotive - 0.4% ------------------------------------------------------------------------------------------------------------- Ford Motor Co., Term Loan B, 8.36%, 2013 $ 1,184,923 $ 1,192,978 General Motors Corp., Term Loan B, 7.73%, 2013 740,998 746,092 ------------ $ 1,939,070 ------------------------------------------------------------------------------------------------------------- Broadcasting - 0.2% ------------------------------------------------------------------------------------------------------------- Gray Television, Inc.,Term Loan B, 6.56%, 2014 (o) $ 277,015 $ 276,668 Univision Communications, Inc. Term Loan B, 7.61%, 2014 748,341 746,938 ------------ $ 1,023,606 ------------------------------------------------------------------------------------------------------------- Cable TV - 0.2% ------------------------------------------------------------------------------------------------------------- Charter Communications Operating LLC, Term Loan, 7.35%, 2014 $ 167,554 $ 167,275 CSC Holdings, Inc., Incremental Term Loan, 7.08%, 2013 499,802 501,387 Mediacom Illinois LLC, Term Loan, 6.86%, 2012 448,333 443,943 ------------ $ 1,112,605 ------------------------------------------------------------------------------------------------------------- Chemicals - 0.1% ------------------------------------------------------------------------------------------------------------- Celanese AG, Term Loan B, 7.10%, 2014 $ 568,057 $ 571,074 ------------------------------------------------------------------------------------------------------------- Food & Beverages - 0.1% ------------------------------------------------------------------------------------------------------------- Dean Foods Co., Term Loan B, 6.88%, 2014 $ 444,122 $ 444,770 ------------------------------------------------------------------------------------------------------------- Medical & Health Technology & Services - 0.1% ------------------------------------------------------------------------------------------------------------- HCA, Inc., Term Loan B, 7.60%, 2013 $ 654,323 $ 660,954 ------------------------------------------------------------------------------------------------------------- Pollution Control - 0.1% ------------------------------------------------------------------------------------------------------------- Allied Waste North America, Inc., Credit Linked Deposit, 7.07%, 2014 $ 199,980 $ 200,855 Allied Waste North America, Inc., Term Loan, 7.10%, 2014 428,549 430,423 ------------ $ 631,278 ------------------------------------------------------------------------------------------------------------- Printing & Publishing - 0.2% ------------------------------------------------------------------------------------------------------------- Idearc, Inc., Term Loan B, 7.35%, 2014 $ 1,347,228 $ 1,355,768 ------------------------------------------------------------------------------------------------------------- TOTAL FLOATING RATE LOANS (IDENTIFIED COST, $7,717,467) $ 7,739,125 ------------------------------------------------------------------------------------------------------------- Preferred Stocks - 0.0% ------------------------------------------------------------------------------------------------------------- Real Estate - 0.0% ------------------------------------------------------------------------------------------------------------- HRPT Properties Trust, "B", REIT, 8.75% 5,100 $ 128,724 ------------------------------------------------------------------------------------------------------------- TOTAL PREFERRED STOCKS (IDENTIFIED COST, $139,485) $ 128,724 ------------------------------------------------------------------------------------------------------------- Common Stocks - 0.0% ------------------------------------------------------------------------------------------------------------- Printing & Publishing - 0.0% ------------------------------------------------------------------------------------------------------------- Golden Books Family Entertainment, Inc. (a) 19,975 $ 0 ------------------------------------------------------------------------------------------------------------- TOTAL COMMON STOCKS (IDENTIFIED COST, $0) $ 0 ------------------------------------------------------------------------------------------------------------- Rights - 0.0% ------------------------------------------------------------------------------------------------------------- Emerging Market Sovereign - 0.0% ------------------------------------------------------------------------------------------------------------- Banco Central del Uruguay, Value Recovery Rights, Expiring January 2021 (a) 1,250,000 $ 0 ------------------------------------------------------------------------------------------------------------- TOTAL RIGHTS (IDENTIFIED COST, $0) $ 0 ------------------------------------------------------------------------------------------------------------- Short-Term Obligations - 7.7% (y) ------------------------------------------------------------------------------------------------------------- Abbey National North America LLC, 5.313%, due 5/01/07 $ 21,410,000 $ 21,410,000 DEPFA Bank PLC, 5.27%, due 5/01/07 (t) 4,480,000 4,480,000 Societe Generale North America, 5.3%, due 5/01/07 15,189,000 15,189,000 ------------------------------------------------------------------------------------------------------------- TOTAL SHORT-TERM OBLIGATIONS, AT AMORTIZED COST AND VALUE $ 41,079,000 ------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS (IDENTIFIED COST, $523,206,435) (k) $532,428,632 ------------------------------------------------------------------------------------------------------------- Other Assets, Less Liabilities - 0.8% 4,075,838 ------------------------------------------------------------------------------------------------------------- NET ASSETS - 100.0% $536,504,470 ------------------------------------------------------------------------------------------------------------- (a) Non-income producing security. (f) All or a portion of the security has been segregated as collateral for an open futures contract. (g) The rate shown represents a weighted average coupon rate on settled positions at period end. (i) Interest only security for which the trust receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security. (k) As of April 30, 2007, the trust held securities fair valued in accordance with the policies adopted by the Board of Trustees, aggregating $465,968,003 and 87.52% of market value. An independent pricing service provided an evaluated bid for 86.13% of the market value. (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 $65,670,150 representing 12.2% of net assets. (o) All or a portion of this position has not settled. Upon settlement date, interest rates will be determined. (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. (t) Security exempt from registration with the U.S. Securities and Exchange Commission under Section 4(2) of the Securities Act of 1933. (y) The rate shown represents an annualized yield at time of purchase. (z) Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The trust holds the following restricted securities: CURRENT ACQUISITION ACQUISITION MARKET TOTAL % OF RESTRICTED SECURITIES DATE COST VALUE NET ASSETS ----------------------------------------------------------------------------------------------------------------- Bayview Financial Revolving Mortgage Loan Trust, FRN, 6.12%, 2040 3/01/06 $4,000,000 $ 3,999,991 Citigroup/Deutsche Bank Commercial Mortgage Trust, "H", FRN, 5.8817%, 2049 3/14/07 450,525 434,389 Citigroup/Deutsche Bank Commercial Mortgage Trust, "J", FRN, 5.8817%, 2049 3/14/07 689,357 650,562 Falcon Franchise Loan LLC, FRN, 4.1216%, 2025 1/29/03 1,368,933 1,013,351 Globo Comunicacoes Participacao, 7.25%, 2022 4/19/07 100,000 99,900 HSBK Europe B.V., 7.25%, 2017 4/25/07 921,271 926,678 Preferred Term Securities IV Ltd., CDO, FRN, 7.6%, 2031 9/13/05 730,315 720,042 Prudential Securities Secured Financing Corp., FRN, 7.3872%, 2013 12/06/04 2,865,414 2,745,633 Wachovia Bank Commercial Mortgage Trust, FRN, 6.021%, 2043 3/14/07 1,101,763 1,061,483 ----------------------------------------------------------------------------------------------------------------- Total Restricted Securities $11,652,029 2.2% ======================== UNFUNDED LOAN COMMITMENTS As of April 30, 2007, the portfolio had unfunded loan commitments of $41,714, which could be extended at the option of the borrower, pursuant to the following loan agreements: UNFUNDED UNREALIZED LOAN APPRECIATION BORROWER COMMITMENT (DEPRECIATION) ----------------------------------------------------------------------------------------------------------------- Gray Television, Inc., Delayed Draw, Term Loan B, 2014 $12,520 $(22) Univision Communications, Inc., Delayed Draw, Term Loan, 2014 29,194 (55) ----------------------------------------------------------------------------------------------------------------- $41,714 $(77) FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS AT 4/30/07 Appreciation and Depreciation in the table below are reported by currency. NET UNREALIZED CONTRACTS TO SETTLEMENT IN EXCHANGE CONTRACTS APPRECIATION TYPE CURRENCY DELIVER/RECEIVE DATE RANGE FOR AT VALUE (DEPRECIATION) ----------------------------------------------------------------------------------------------------------------- APPRECIATION ----------------------------------------------------------------------------------------------------------------- BUY ARS 66,652 5/03/07 21,501 21,578 $ 77 BUY CAD 2,246,592 5/23/07 1,999,177 2,026,630 27,453 BUY CNY 82,836,000 5/08/07 - 5/31/07 10,759,320 10,775,368 16,048 BUY COP 197,285,000 5/08/07 88,389 93,813 5,424 BUY CZK 8,150,022 5/02/07 388,751 394,959 6,208 BUY DKK 547,063 6/13/07 100,000 100,375 375 BUY EUR 495,000 5/23/07 - 6/20/07 667,507 676,614 9,107 SELL GBP 3,182,274 6/20/07 6,378,614 6,360,401 18,213 BUY MXN 11,284,549 5/09/07 1,025,784 1,031,920 6,136 BUY PLN 1,556,645 5/02/07 527,683 561,430 33,747 BUY SKK 3,544,216 5/02/07 141,494 143,563 2,069 BUY TRY 76,166 5/02/07 54,203 55,777 1,574 ----------- $ 126,431 =========== DEPRECIATION ---------------------------------------------------------------------------------------------------------------- SELL ARS 66,652 5/03/07 21,570 21,577 $ (7) BUY AUD 1,506,957 6/04/07 1,257,479 1,250,426 (7,053) SELL AUD 4,009,853 6/04/07 3,294,032 3,327,252 (33,220) SELL CAD 2,483,641 5/23/07 2,184,304 2,240,470 (56,166) SELL CNY 41,418,000 5/08/07 5,361,553 5,380,925 (19,372) SELL COP 197,285,000 5/08/07 90,915 93,813 (2,898) SELL CZK 8,150,022 5/02/07 389,194 394,959 (5,765) SELL DKK 4,675,949 6/13/07 843,882 857,943 (14,061) SELL EUR 31,900,146 5/23/07 - 6/20/07 42,592,689 43,629,683 (1,036,994) BUY GBP 1,618,374 6/20/07 3,244,760 3,234,640 (10,120) SELL SKK 3,544,216 5/02/07 142,350 143,563 (1,213) SELL TRY 76,166 5/02/07 53,973 55,777 (1,804) ----------- $(1,188,673) =========== At April 30, 2007, forward foreign currency purchases and sales under master netting agreements excluded above amounted to a net payable of $27,816 with Goldman Sachs & Co. and a net receivable of $615,580 with Merrill Lynch International Bank. FUTURES CONTRACTS OUTSTANDING AT 4/30/07 UNREALIZED EXPIRATION APPRECIATION DESCRIPTION CONTRACTS VALUE DATE (DEPRECIATION) ----------------------------------------------------------------------------------------------------------------- U.S. Treasury Bond (Long) 50 $5,587,500 Jun-07 $(80,643) U.S. Treasury Note 10 yr (Long) 91 9,857,859 Jun-07 26,697 ----------------------------------------------------------------------------------------------------------------- $(53,946) ======== SWAP AGREEMENTS AT 4/30/07 UNREALIZED NOTIONAL CASH FLOWS CASH FLOWS APPRECIATION EXPIRATION AMOUNT COUNTERPARTY TO RECEIVE TO PAY (DEPRECIATION) ----------------------------------------------------------------------------------------------------------------- CREDIT DEFAULT SWAPS 3/20/17 USD 1,370,000 JPMorgan Chase Bank 0.49% (1) $(10,543) (fixed rate) 3/20/17 USD 1,370,000 JPMorgan Chase Bank (2) 0.38% 8,298 (fixed rate) 3/20/17 USD 1,370,000 Merrill Lynch International (3) 0.37% 8,848 (fixed rate) 3/20/17 USD 1,250,000 Merrill Lynch International (4) 0.81% 12,860 (fixed rate) 3/20/17 USD 1,040,000 Goldman Sachs International (5) 0.40% (13,263) (fixed rate) 4/20/12 USD 1,330,000 Morgan Stanley Capital Services, Inc. (6) 2.08% (14,274) (fixed rate) 4/20/12 USD 1,330,000 Morgan Stanley Capital Services, Inc. (7) 0.98% (8,685) (fixed rate) 6/20/17 USD 1,150,000 Merrill Lynch International (8) 0.91% (4,441) (fixed rate) -------- $(21,200) ======== (1) Trust to pay notional amount upon a defined credit default event by Burlington Northern Santa Fe Corp., 6.75%, 7/15/11. (2) Trust to receive notional amount upon a defined credit default event by PPG Industries, Inc., 7.05%, 8/15/09. (3) Trust to receive notional amount upon a defined credit default event by Rohm & Haas Co., 7.85%, 7/15/29. (4) Trust to receive notional amount upon a defined credit default event by Waste Management, Inc., 7.375%, 8/01/10. (5) Trust to receive notional amount upon a defined credit default event by Dover Corp., 6.25%, 6/01/08. (6) Trust to receive notional amount upon a defined credit default event by Republic of Argentina, 8.28%, 12/31/33. (7) Trust to receive notional amount upon a defined credit default event by Republic of Colombia, 10.375%, 1/28/33. (8) Trust to receive notional amount upon a defined credit default event by New York Times Co., 4.61%, 9/26/12. At April 30, 2007, the trust had sufficient cash and/or other liquid securities to cover any commitments under these derivative contracts. The following abbreviations are used in this report and are defined: CDO Collateralized Debt Obligation CLN Credit-Linked Note FRN Floating Rate Note. Interest rate resets periodically and may not be the rate reported at period end. REIT Real Estate Investment Trust TIPS Treasury Inflation Protected Security Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below: ARS Argentine Peso AUD Australian Dollar BRL Brazilian Real CAD Canadian Dollar CNY Chinese Yuan Renminbi COP Colombian Peso CZK Czech Koruna DKK Danish Krone EUR Euro GBP British Pound JPY Japanese Yen MXN Mexican Peso PLN Polish Zloty SKK Slovakian Koruna TRY Turkish Lira SEE NOTES TO FINANCIAL STATEMENTS Financial Statements STATEMENT OF ASSETS AND LIABILITIES At 4/30/07 (unaudited) This statement represents your trust's balance sheet, which details the assets and liabilities comprising the total value of the trust. ASSETS ----------------------------------------------------------------------------------------------------- Investments, at value (identified cost, $523,206,435) $532,428,632 Cash 94,331 Foreign currency, at value (identified cost, $1,303) 1,297 Receivable for forward foreign currency exchange contracts 126,431 Receivable for forward foreign currency exchange contracts subject to master netting agreements 615,580 Receivable for daily variation margin on open futures contracts 86,266 Receivable for investments sold 2,977,504 Interest and dividends receivable 7,194,668 Unrealized appreciation on credit default swaps 30,006 Other assets 140,608 ----------------------------------------------------------------------------------------------------- Total assets $543,695,323 ----------------------------------------------------------------------------------------------------- LIABILITIES ----------------------------------------------------------------------------------------------------- Distributions payable $185,026 Payable for forward foreign currency exchange contracts 1,188,673 Payable for forward foreign currency exchange contracts subject to master netting agreements 27,816 Payable for investments purchased 5,034,030 Unrealized depreciation on credit default swaps 51,206 Unrealized depreciation on unfunded loan commitments 77 Payable to affiliates Management fee 40,423 Transfer agent and dividend disbursing costs 96,503 Administrative services fee 1,122 Payable for independent trustees' compensation 372,078 Accrued expenses and other liabilities 193,899 ----------------------------------------------------------------------------------------------------- Total liabilities $7,190,853 ----------------------------------------------------------------------------------------------------- Net assets $536,504,470 ----------------------------------------------------------------------------------------------------- Statement of Assets and Liabilities (unaudited) - continued NET ASSETS CONSIST OF ----------------------------------------------------------------------------------------------------- Paid-in capital $607,838,262 Unrealized appreciation (depreciation) on investments and translation of assets and liabilities in foreign currencies 8,711,515 Accumulated net realized gain (loss) on investments and foreign currency transactions (79,159,652) Accumulated distributions in excess of net investment income (885,655) ----------------------------------------------------------------------------------------------------- Net assets $536,504,470 ----------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding (85,465,754 issued, less 6,388,302 treasury shares) 79,077,452 ----------------------------------------------------------------------------------------------------- Net asset value per share (net assets of $536,504,470/ 79,077,452 shares of beneficial interest outstanding) $6.78 ----------------------------------------------------------------------------------------------------- SEE NOTES TO FINANCIAL STATEMENTS Financial Statements STATEMENT OF OPERATIONS Six months ended 4/30/07 (unaudited) This statement describes how much your trust earned in investment income and accrued in expenses. It also describes any gains and/or losses generated by trust operations. NET INVESTMENT INCOME ----------------------------------------------------------------------------------------------------- Income Interest $16,031,748 Dividends 5,578 Foreign taxes withheld (960) ----------------------------------------------------------------------------------------------------- Total investment income $16,036,366 ----------------------------------------------------------------------------------------------------- Expenses Management fee $1,808,492 Transfer agent and dividend disbursing costs 113,108 Administrative services fee 50,706 Independent trustees' compensation 45,782 Custodian fee 118,351 Shareholder communications 56,989 Auditing fees 27,906 Legal fees 5,972 Miscellaneous 58,024 ----------------------------------------------------------------------------------------------------- Total expenses $2,285,330 ----------------------------------------------------------------------------------------------------- Fees paid indirectly (23,246) Reduction of expenses by investment adviser (1,339) ----------------------------------------------------------------------------------------------------- Net expenses $2,260,745 ----------------------------------------------------------------------------------------------------- Net investment income $13,775,621 ----------------------------------------------------------------------------------------------------- Statement of Operations (unaudited) - continued REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS ----------------------------------------------------------------------------------------------------- Realized gain (loss) (identified cost basis) Investment transactions $2,967,412 Futures contracts 340,799 Swap transactions (367) Foreign currency transactions (3,045,785) ----------------------------------------------------------------------------------------------------- Net realized gain (loss) on investments and foreign currency transactions $262,059 ----------------------------------------------------------------------------------------------------- Change in unrealized appreciation (depreciation) Investments $3,101,001 Futures contracts (445,533) Swap transactions (21,200) Translation of assets and liabilities in foreign currencies 604,659 Unfunded loan commitments (77) ----------------------------------------------------------------------------------------------------- Net unrealized gain (loss) on investments and foreign currency translation $3,238,850 ----------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) on investments and foreign currency $3,500,909 ----------------------------------------------------------------------------------------------------- Change in net assets from operations $17,276,530 ----------------------------------------------------------------------------------------------------- SEE NOTES TO FINANCIAL STATEMENTS Financial Statements STATEMENTS OF CHANGES IN NET ASSETS These statements describe the increases and/or decreases in net assets resulting from operations, any distributions, and any shareholder transactions. SIX MONTHS ENDED YEAR ENDED 4/30/07 10/31/06 (UNAUDITED) CHANGE IN NET ASSETS FROM OPERATIONS ----------------------------------------------------------------------------------------------------- Net investment income $13,775,621 $26,286,395 Net realized gain (loss) on investments and foreign currency transactions 262,059 (3,395,601) Net unrealized gain (loss) on investments and foreign currency translation 3,238,850 6,054,449 ----------------------------------------------------------------------------------------------------- Change in net assets from operations $17,276,530 $28,945,243 ----------------------------------------------------------------------------------------------------- DISTRIBUTIONS DECLARED TO SHAREHOLDERS ----------------------------------------------------------------------------------------------------- From net investment income $(13,917,578) $(29,991,840) ----------------------------------------------------------------------------------------------------- Change in net assets from trust share transactions $-- $(11,453,243) ----------------------------------------------------------------------------------------------------- Total change in net assets $3,358,952 $(12,499,840) ----------------------------------------------------------------------------------------------------- NET ASSETS ----------------------------------------------------------------------------------------------------- At beginning of period 533,145,518 545,645,358 At end of period (including accumulated distributions in excess of net investment income of $885,655 and $743,698, respectively) $536,504,470 $533,145,518 ----------------------------------------------------------------------------------------------------- SEE NOTES TO FINANCIAL STATEMENTS Financial Statements FINANCIAL HIGHLIGHTS The financial highlights table is intended to help you understand the trust's financial performance for the semiannual period and the past 5 fiscal years (or life of a particular share class, if shorter). Certain information reflects financial results for a single trust share. The total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the trust share class (assuming reinvestment of all distributions) held for the entire period. SIX MONTHS YEARS ENDED 10/31 ENDED -------------------------------------------------------------- 4/30/07 2006 2005 2004 2003 2002 (UNAUDITED) Net asset value, beginning of period $6.74 $6.74 $6.94 $6.76 $6.32 $6.60 --------------------------------------------------------------------------------------------------------------------------------- INCOME (LOSS) FROM INVESTMENT OPERATIONS --------------------------------------------------------------------------------------------------------------------------------- Net investment income (d) $0.17 $0.33 $0.34 $0.38 $0.38 $0.41 Net realized and unrealized gain (loss) on investments and foreign currency 0.05 0.03 (0.16) 0.17 0.46 (0.26) --------------------------------------------------------------------------------------------------------------------------------- Total from investment operations $0.22 $0.36 $0.18 $0.55 $0.84 $0.15 --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS --------------------------------------------------------------------------------------------------------------------------------- From net investment income $(0.18) $(0.38) $(0.39) $(0.39) $(0.40) $(0.43) --------------------------------------------------------------------------------------------------------------------------------- Net increase from repurchase of capital shares $-- $0.02 $0.01 $0.02 $0.00(w) $0.00(w) --------------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $6.78 $6.74 $6.74 $6.94 $6.76 $6.32 --------------------------------------------------------------------------------------------------------------------------------- Per share market value, end of period $6.08 $6.00 $6.15 $6.30 $6.41 $5.69 --------------------------------------------------------------------------------------------------------------------------------- Total return at market value (%) 4.29(n) 3.82 3.78 4.62 20.11 0.72 --------------------------------------------------------------------------------------------------------------------------------- RATIOS (%) (TO AVERAGE NET ASSETS) AND SUPPLEMENTAL DATA: --------------------------------------------------------------------------------------------------------------------------------- Expenses before expense reductions (f) 0.86(a) 0.88 0.93 0.94 0.94 0.96 Expenses after expense reductions (f) 0.86(a) 0.88 0.93 0.94 N/A N/A Net investment income 5.20(a) 4.93 4.97 5.51 5.76 6.49 Portfolio turnover 40 70 67 59 126 152 Net assets at end of period (000 omitted) $536,504 $533,146 $545,645 $569,091 $563,760 $528,945 --------------------------------------------------------------------------------------------------------------------------------- (a) Annualized. (d) Per share data are based on average shares outstanding. (f) Ratios do not reflect reductions from fees paid indirectly. (n) Not annualized. (w) Per share amount was less than $0.01. SEE NOTES TO FINANCIAL STATEMENTS NOTES TO FINANCIAL STATEMENTS (unaudited) (1) BUSINESS AND ORGANIZATION MFS Multimarket Income Trust (the trust) is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as a closed-end diversified 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. The trust can invest in foreign securities, including securities of emerging market issuers. Investments in foreign securities are vulnerable to the effects of changes in the relative values of the local currency and the U.S. dollar and to the effects of changes in each country's 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 reported by an independent pricing service on the market or exchange on which they are primarily traded. For securities for which there were no sales reported that day, equity securities are generally valued at the last quoted daily bid quotation as reported by an independent pricing service on the market or exchange on which they are primarily traded. For securities held short for which there were no sales reported for the day, the position is generally valued at the last quoted daily ask quotation as reported by an independent pricing service on the market or exchange on which such securities are primarily traded. Debt instruments (other than short-term instruments), including restricted debt instruments, are generally valued at an evaluated or composite bid as reported by an independent pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value. Exchange-traded options are generally valued at the last sale or official closing price as reported by an independent 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 reported by an independent 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 using an external pricing model that uses market data from an independent source. Futures contracts are generally valued at last posted settlement price as reported by an independent 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 reported by an independent pricing service on the market on which such futures contracts are primarily traded. Forward foreign currency contracts are generally valued at the mean of bid and asked prices for the time period interpolated from rates reported by an independent pricing service for proximate time periods. Swaps are generally valued at an evaluated bid as reported by an independent pricing service. Securities and other assets generally valued on the basis of information from an independent pricing service may also be valued at a broker-dealer bid quotation. Values obtained from pricing services can utilize both dealer-supplied valuations and electronic data processing techniques, which take into account factors such as institutional-size trading in similar groups of securities, 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 reported by an independent pricing service. The Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the trust's 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 trust's valuation policies and procedures, market quotations are not considered to be readily available for many types of debt instruments and certain types of derivatives. These investments are generally valued at fair value based on information from independent pricing services. In addition, investments may be valued at fair value if the adviser determines that an investment's value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the trust's net asset value, or after the halting of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. Events that occur on a frequent basis after foreign markets close (such as developments in foreign markets and significant movements in the U.S. markets) and prior to the determination of the trust's net asset value may be deemed to have a material affect on the value of securities traded in foreign markets. Accordingly, the trust's foreign equity securities may often be valued at fair value. The adviser may rely on independent 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 trust's net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of investments used to determine the trust's net asset value may differ from quoted or published prices for the same investments. In September 2006, FASB Statement No. 157, Fair Value Measurements (the "Statement") was issued, and is effective for fiscal years beginning after November 15, 2007 and for all interim periods within those fiscal years. This Statement provides a single definition of fair value, a hierarchy for measuring fair value and expanded disclosures about fair value measurements. Management is evaluating the application of the Statement to the trust, and believes the impact will be limited to expanded disclosures resulting from the adoption of this Statement in the trust's financial statements. In February 2007, the FASB issued Statement of Financial Accounting Standards No. 159 (FAS 159) "The Fair Value Option for Financial Assets and Financial Liabilities - including an amendment of FASB Statement No. 115." FAS 159 permits entities to elect to measure certain financial assets and liabilities at fair value. Unrealized gains and losses on items for which the fair value option has been elected will be reported in earnings at each subsequent reporting date. FAS 159 is effective for fiscal years beginning after November 15, 2007. Management is evaluating the application of the Statement to the trust and its impact on the trust's financial statements, if any, has not been determined. REPURCHASE AGREEMENTS - The trust may enter into repurchase agreements with institutions that the trust's investment adviser has determined are creditworthy. Each repurchase agreement is recorded at cost. The trust requires that the securities collateral in a repurchase transaction be transferred to the custodian in a manner sufficient to enable the trust to obtain those securities in the event of a default under the repurchase agreement. The trust monitors, on a daily basis, the value of the collateral to ensure that its value, including accrued interest, is greater than amounts owed to the trust under each such repurchase agreement. The trust and other funds managed by Massachusetts Financial Services Company (MFS), may utilize a joint trading account for the purpose of entering into one or more repurchase agreements. INFLATION-ADJUSTED DEBT SECURITIES - The trust invests in inflation-adjusted debt securities issued by the U.S. Treasury. The trust may also invest in inflation-adjusted debt securities issued by U.S. Government agencies and instrumentalities other than the U.S. Treasury and by other entities such as U.S. and foreign corporations and foreign governments. The principal value of these debt securities is adjusted by references to changes in the Consumer Price Index or another general price or wage index. These debt securities typically pay a fixed rate of interest, but this fixed rate is applied to the inflation-adjusted principal amount. The principal paid at maturity of the debt security is typically equal to the inflation-adjusted principal amount, or the security's original par value, whichever is greater. Other types of inflation-adjusted securities may use other methods to adjust for other measures of inflation. 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. 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 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. DERIVATIVE RISK - The trust may invest in derivatives for hedging or non- hedging purposes. While hedging can reduce or eliminate losses, it can also reduce or eliminate gains. When the trust uses derivatives as an investment to gain market exposure, or for hedging purposes, gains and losses from derivative instruments may be substantially greater than the derivative's original cost. Derivative instruments include purchased options, futures contracts, forward foreign currency exchange contracts, and swap agreements. PURCHASED OPTIONS - The trust may purchase call or put options for a premium. Purchasing call options may be a hedge against an anticipated increase in the dollar cost of securities to be acquired or to increase the trust's exposure to the underlying instrument. Purchasing put options may hedge against a decline in the value of portfolio securities. The premium paid is included as an investment in the Statement of Assets and Liabilities and is subsequently adjusted to the current value of the option. Premiums paid for purchased options which have expired are treated as realized losses on investments in the Statement of Operations. Premiums paid for purchased options which are exercised or closed are added to the amount paid or offset against the proceeds on the underlying security or financial instrument to determine the realized gain or loss. The risk of loss associated with purchased options is limited to the premium paid. FUTURES CONTRACTS - The trust may enter into futures contracts for the delayed delivery of securities or currency, or contracts based on financial indices at a fixed price on a future date. In entering such contracts, the trust is required to deposit with the broker either in cash or securities an amount equal to a certain percentage of the contract amount. Subsequent payments are made or received by the trust each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gains or losses by the trust. Upon entering into such contracts, the trust bears the risk of interest or exchange rates or securities prices moving unexpectedly, in which case, the trust may not achieve the anticipated benefits of the futures contracts and may realize a loss. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS - The trust may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of the contract. The trust may enter into forward foreign currency exchange contracts for hedging purposes as well as for non-hedging purposes. For hedging purposes, the trust may enter into contracts to deliver or receive foreign currency it will receive from or require for its normal investment activities. The trust may also use contracts in a manner intended to protect foreign currency denominated securities from declines in value due to unfavorable exchange rate movements. For non-hedging purposes, the trust may enter into contracts with the intent of changing the relative exposure of the trust's portfolio of securities to different currencies to take advantage of anticipated changes. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until the contract settlement date. On contract settlement date, the gains or losses are recorded as realized gains or losses on foreign currency transactions. SWAP AGREEMENTS - The trust may enter into swap agreements. A swap is an exchange of cash payments between the trust and another party. Net cash payments are exchanged at specified intervals and are recorded as a realized gain or loss in the Statement of Operations. The value of the swap is adjusted daily and the change in value, including accruals of periodic amounts of interest to be paid or received, is recorded as unrealized appreciation or depreciation in the Statement of Operations. A liquidation payment received or made upon early termination is recorded as a realized gain or loss in the Statement of Operations. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the trust's custodian in connection with these agreements. Risk of loss may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include the possible lack of a liquid market, failure of the counterparty to perform under the terms of the agreements, and unfavorable market movement of the underlying instrument. All swap agreements entered into by the trust with the same counterparty are generally governed by a single master agreement, which provides for the netting of all amounts owed by the parties under the agreement upon the occurrence of an event of default, thereby reducing the credit risk to which such party is exposed. The trust holds a credit default swap in which one party makes a stream of payments based on a fixed percentage applied to the notional amount to another party in exchange for the right to receive a specified return in the event of a default by a third party, such as a corporate issuer or foreign issuer, on its obligation. The trust may enter into credit default swaps to limit or to reduce its risk exposure to defaults of corporate and sovereign issuers or to create direct or synthetic short or long exposure to corporate debt securities or certain sovereign debt securities to which it is not otherwise exposed. HYBRID INSTRUMENTS - The trust may invest in indexed or hybrid securities on which any combination of interest payments, the principal or stated amount payable at maturity is determined by reference to prices of other securities, currencies, indexes, economic factors or other measures, including interest rates, currency exchange rates, or securities indices. The risks of investing in hybrid instruments reflect a combination of the risks of investing in securities, swaps, options, futures and currencies. Hybrid instruments are potentially more volatile and carry greater market risks than traditional debt instruments. Depending on the structure of the particular hybrid instrument, changes in a benchmark, underlying assets or economic indicator may be magnified by the terms of the hybrid instrument and have an even more dramatic and substantial effect upon the value of the hybrid instrument. Also, the prices of the hybrid instrument and the benchmark, underlying asset or economic indicator may not move in the same direction or at the same time. LOANS AND OTHER DIRECT DEBT INSTRUMENTS - The trust may invest in loans and loan participations or other receivables. These investments may include standby financing commitments, including revolving credit facilities, which obligate the trust to supply additional cash to the borrower on demand. At April 30, 2007, the portfolio had unfunded loan commitments of $41,714, which could be extended at the option of the borrower and which are covered by sufficient cash and/or liquid securities held by the trust. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. INDEMNIFICATIONS - Under the trust's organizational documents, its officers and trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the trust. Additionally, in the normal course of business, the trust enters into agreements with service providers that may contain indemnification clauses. The trust's maximum exposure under these agreements is unknown as this would involve future claims that may be made against the trust 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. All discount is accreted for tax reporting purposes as required by federal income tax regulations. The trust 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. These 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 trust 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. The trust 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 trust or in unrealized gain/loss if the security is still held by the trust. Any other proceeds from litigation not related to portfolio holdings are reflected as other income in the Statement of Operations. The trust may enter into "TBA" (to be announced) purchase commitments to purchase securities for a fixed unit price at a future date. Although the unit price has been established, the principal value has not been finalized. However, the principal amount of the commitments will not fluctuate more than 0.01%. The trust holds, and maintains until settlement date, cash or high- grade debt obligations in an amount sufficient to meet the purchase price, or the trust may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities in themselves, and involve a risk of loss if the value of the security to be purchased declines prior to settlement date, which is in addition to the risk of decline in the value of the trusts' other assets. Unsettled TBA purchase commitments are valued at the current market value of the underlying securities. The trust may enter into "TBA" (to be announced) sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction. FEES PAID INDIRECTLY - The trust's custody fee is reduced according to an arrangement that measures the value of cash deposited with the custodian by the trust. This amount, for the six months ended April 30, 2007, is shown as a reduction of total expenses on the Statement of Operations. TAX MATTERS AND DISTRIBUTIONS - The trust 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. Accordingly, no provision for federal income tax is required in the financial statements. Foreign taxes, if any, have been accrued by the trust in the accompanying financial statements. 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. 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, defaulted bonds, straddle loss deferrals, foreign currency transactions, and derivative transactions. The tax character of distributions made during the current period will be determined at fiscal year end. The tax character of distributions declared to shareholders is as follows: 10/31/06 Ordinary income (including any short-term capital gains) $29,991,840 ---------------------------------------------------------- The federal tax cost and the tax basis components of distributable earnings were as follows: AS OF 4/30/07 Cost of investments $525,573,453 ---------------------------------------------------------- Gross appreciation 10,915,076 Gross depreciation (4,059,897) ---------------------------------------------------------- Net unrealized appreciation (depreciation) $6,855,179 AS OF 10/31/06 Undistributed ordinary income 2,007,686 Capital loss carryforwards (75,413,701) Other temporary differences (3,968,868) Net unrealized appreciation (depreciation) 2,682,139 The aggregate cost above includes prior fiscal year end tax adjustments. As of October 31, 2006, the trust had capital loss carryforwards available to offset future realized gains. Such losses expire as follows: 10/31/08 $ (6,883,833) 10/31/09 (22,359,865) 10/31/10 (38,291,079) 10/31/14 (7,878,924) ---------------------------------------------------------- $(75,413,701) In June 2006, FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes (the "Interpretation") was issued, and is effective for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. On December 22, 2006, the SEC delayed the implementation of the Interpretation for regulated investment companies for an additional six months. This Interpretation prescribes a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return, and requires certain expanded disclosures. Management has evaluated the application of the Interpretation to the trust, and has determined that there is no impact resulting from the adoption of this Interpretation on the trust's financial statements. (3) TRANSACTIONS WITH AFFILIATES INVESTMENT ADVISER - The trust has an investment advisory agreement with MFS to provide overall investment management and related administrative services and facilities to the trust. The management fee is computed daily and paid monthly at an annual rate of 0.34% of the trust's average daily net assets and 5.40% of gross income. Gross income is calculated based on tax elections that generally include the accretion of discount and exclude the amortization of premium, which may differ from investment income reported in the Statement of Operations. The management fee, from net assets and gross income, incurred for the six months ended April 30, 2007 was equivalent to an annual effective rate of 0.68% of the trust's average daily net assets. TRANSFER AGENT - Prior to December 18, 2006, MFS Service Center, Inc. (MFSC), a wholly-owned subsidiary of MFS, received a fee from the trust for its services as registrar and dividend-disbursing agent. Pursuant to a written agreement, the trust paid MFSC an account maintenance fee of no more than $9.00 and a dividend services fee of $0.75 per reinvestment. Effective December 18, 2006, the trust has engaged Computershare Trust Company, N.A. ("Computershare") as the sole transfer agent for the trust. MFSC will continue to monitor and supervise the activities of Computershare for an agreed upon fee approved by the Board of Trustees. For the six months ended April 30, 2007, these fees paid to MFSC amounted to $54,859. MFSC also receives payment from the trust for out-of-pocket expenses paid by MFSC on behalf of the trust. For the six months ended April 30, 2007, these costs amounted to $53,515. ADMINISTRATOR - MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to the trust. Under an administrative services agreement, the trust partially reimburses MFS the costs incurred to provide these services. The trust is charged a fixed amount plus a fee based on calendar year average net assets. The trust's annual fixed amount is $17,500. The administrative services fee incurred for the six months ended April 30, 2007 was equivalent to an annual effective rate of 0.0191% of the trust's average daily net assets. TRUSTEES' AND OFFICERS' COMPENSATION - The trust pays compensation to independent trustees in the form of a retainer, attendance fees, and additional compensation to Board and Committee chairpersons. The trust does not pay compensation directly to trustees or to officers of the trust who are also officers of the investment adviser, all of whom receive remuneration for their services to the trust from MFS. Certain officers and trustees of the trust are officers or directors of MFS and MFSC. The trust has an unfunded, defined benefit plan for certain retired independent trustees which resulted in a pension expense of $4,040. The trust also has an unfunded retirement benefit deferral plan for certain independent trustees which resulted in an expense of $5,561. Both amounts are included in independent trustees' compensation for the six months ended April 30, 2007. The liability for deferred retirement benefits payable to certain independent trustees under both plans amounted to $285,272 at April 30, 2007, and is included in payable for independent trustees' compensation. 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. Trustees are no longer allowed to defer compensation under the Plan. Amounts previously deferred are treated as though equivalent dollar amounts had been invested in shares of the trust or other MFS funds selected by the trustee. Deferred amounts represent an unsecured obligation of the trust until distributed in accordance with the Plan. Included in other assets and payable for independent trustees' compensation is $74,540 of deferred trustees' compensation. OTHER - This trust and certain other MFS funds (the funds) have entered into a services agreement (the Agreement) which provides for payment of fees by the funds to Tarantino LLC in return for the provision of services of an Independent Chief Compliance Officer (ICCO) for the funds. The ICCO is an officer of the funds and the sole member of Tarantino LLC. The funds can terminate the Agreement with Tarantino LLC at any time under the terms of the Agreement. For the six months ended April 30, 2007, the fee paid to Tarantino LLC was $2,067. MFS has agreed to reimburse the trust for a portion of the payments made by the funds to Tarantino LLC in the amount of $1,339, 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. (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 $21,567,401 $47,662,764 Investments (non-U.S. government securities) $176,129,025 $184,143,597 (5) SHARES OF BENEFICIAL INTEREST The trust's Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest. The Trustees have authorized the repurchase by the trust of up to 10% annually of its own shares of beneficial interest. During the six months ended April 30, 2007, the trust did not repurchase any shares. Transactions in trust shares were as follows: PERIOD ENDED YEAR ENDED 4/30/07 10/31/06 SHARES AMOUNT SHARES AMOUNT Treasury shares reacquired -- $-- (1,918,600) $(11,453,243) (6) LINE OF CREDIT The trust and other funds managed by MFS participate in a $1 billion unsecured committed line of credit provided by a syndication of banks under a credit agreement. In addition, the trust and other funds managed by MFS have established uncommitted borrowing arrangements with certain banks. Borrowings may be made for temporary financing needs. Interest is charged to each fund, based on its borrowings, generally at a rate equal to the Federal Reserve funds rate plus 0.30% for the committed line of credit and 0.35% for the uncommitted line of credit. In addition, a commitment fee, based on the average daily, unused portion of the committed line of credit, is allocated among the participating funds at the end of each calendar quarter. For the six months ended April 30, 2007, the trust's commitment fee and interest expense were $1,534 and $1,756, respectively, and are included in miscellaneous expense on the Statement of Operations. REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Trustees and Shareholders of the MFS Multimarket Income Trust: We have reviewed the accompanying statement of assets and liabilities of the MFS Multimarket Income Trust (the Trust), including the portfolio of investments, as of April 30, 2007, and the related statements of operations, changes in net assets, and financial highlights for the six-month period ended April 30, 2007. These interim financial statements are the responsibility of the Trust's management. We conducted our review in accordance with the standards of the Public Accounting Oversight Board (United States). A review of interim financial information consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with the standards of the Public Company Accounting Oversight Board (United States), the objective of which is the expression of an opinion regarding the financial statements taken as a whole. Accordingly, we do not express such an opinion. Based on our review, we are not aware of any material modifications that should be made to the accompanying interim financial statements for them to be in conformity with U.S. generally accepted accounting principles. We have previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the statement of changes in net assets for the year ended October 31, 2006, and financial highlights for each of the five years in the period ended October 31, 2006, and in our report dated December 21, 2006, we expressed an unqualified opinion on such statement of changes in net assets and financial highlights. ERNST & YOUNG LLP Boston, Massachusetts June 13, 2007 BOARD REVIEW OF INVESTMENT ADVISORY AGREEMENT A discussion regarding the Board's most recent review and renewal of the trust's investment advisory agreement is available by clicking on the trust's name under "Select a fund" on the MFS Web site (mfs.com). PROXY VOTING POLICIES AND INFORMATION A general description of the MFS trusts' 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 SEC's Web site at http://www.sec.gov. Information regarding how the trust 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 SEC's Web site at http://www.sec.gov. QUARTERLY PORTFOLIO DISCLOSURE The trust 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. The trust's Form N-Q 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 1-202-551-5850. The fund's Form N-Q is available on the EDGAR database on the Commission's Internet Web site at http://www.sec.gov, and copies of this information 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. A shareholder can also obtain the quarterly portfolio holdings report at mfs.com. CONTACT INFORMATION AND NUMBER OF SHAREHOLDERS INVESTOR INFORMATION Transfer Agent, Registrar and Dividend Disbursing Agent Call 1-800-637-2304 any business day from 8 a.m. to 8 p.m. Eastern time Write to: Computershare Trust Company, N.A. P.O. Box 43078 Providence, RI 02940-3078 1-800-637-2304 NUMBER OF SHAREHOLDERS As of April 30, 2007, our records indicate that there are 6,857 registered shareholders and approximately 36,485 shareholders owning trust shares in "street" name, such as through brokers, banks, and other financial intermediaries. If you are a "street" name shareholder and wish to directly receive our reports, which contain important information about the trust, please write or call: Computershare Trust Company, N.A. P.O. Box 43078 Providence, RI 02940-3078 1-800-637-2304 M F S(R) INVESTMENT MANAGEMENT (C) 2007 MFS Investment Management(R) 500 Boylston Street, Boston, MA 02116 ITEM 2. CODE OF ETHICS. The Registrant has not amended any provision in its Code of Ethics (the "Code") that relates to any element of the Code's definition enumerated in paragraph (b) of Item 2 of this Form N-CSR. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable for semi-annual reports. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable for semi-annual reports. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable for semi-annual reports. ITEM 6. SCHEDULE OF INVESTMENTS A schedule of investments for each series of the Registrant is included as part of the report to shareholders of such series under Item 1 of this Form N-CSR. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable for semi-annual reports. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. ===================================================================================================================== MFS MULTIMARKET INCOME TRUST --------------------------------------------------------------------------------------------------------------------- (D) MAXIMUM NUMBER (C) TOTAL NUMBER OF (OR APPROXIMATE SHARES PURCHASED AS DOLLAR VALUE) OF (B) AVERAGE PART OF PUBLICLY SHARES THAT MAY YET (A) TOTAL NUMBER OF PRICE PAID ANNOUNCED PLANS BE PURCHASED UNDER PERIOD SHARES PURCHASED PER SHARE OR PROGRAMS THE PLANS OR PROGRAMS ===================================================================================================================== 11/1/06 - 11/30/06 0 N/A N/A 6,813,435 --------------------------------------------------------------------------------------------------------------------- 12/1/06 - 12/31/06 0 N/A N/A 6,813,435 --------------------------------------------------------------------------------------------------------------------- 1/1/07 - 1/31/07 0 N/A N/A 6,813,435 --------------------------------------------------------------------------------------------------------------------- 2/1/07 - 2/28/07 0 N/A N/A 6,813,435 --------------------------------------------------------------------------------------------------------------------- 3/1/07 - 3/31/07 0 N/A N/A 7,907,745 --------------------------------------------------------------------------------------------------------------------- 4/1/07 - 4/30/07 0 N/A N/A 7,907,745 --------------------------------------------------------------------------------------------------------------------- TOTAL 0 N/A N/A --------------------------------------------------------------------------------------------------------------------- Note: The Board of Trustees approves procedures to repurchase Fund shares annually. The notification to shareholders of the program is included in the semi-annual and annual reports sent to shareholders. These annual programs begin on March 1st of each year. The programs conform to the conditions of Rule 10b-18 of the Securities Exchange Act of 1934 and limit the aggregate number of Fund shares that may be repurchased in each annual period (March 1 through the following February 28) to 10% of the Registrant's outstanding shares as of the first day of the plan year (March 1). The aggregate number of Fund shares available for repurchase for the March 1, 2007 plan year is 7,907,745. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There were no material changes to the procedures by which shareholders may send recommendations to the Board for nominees to the Registrant's Board since the Registrant last provided disclosure as to such procedures in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (as required by Item 22(b)(15) of Schedule 14A), or this Item. ITEM 11. CONTROLS AND PROCEDURES. (a) Based upon their evaluation of the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the "Act")) as conducted within 90 days of the filing date of this report on Form N-CSR, the registrant's principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no changes in the registrant's internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by the report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (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. (2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2): Attached hereto. (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. DWYER ----------------------------------------------------- Maria F. Dwyer, President Date: June 13, 2007 ------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* MARIA F. DWYER ------------------------------------------------------ Maria F. Dwyer, President (Principal Executive Officer) Date: June 13, 2007 ------------- By (Signature and Title)* TRACY ATKINSON ------------------------------------------------------ Tracy Atkinson, Treasurer (Principal Financial Officer and Accounting Officer) Date: June 13, 2007 ------------- * Print name and title of each signing officer under his or her signature.