UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-5822
MFS CHARTER INCOME TRUST
(Exact name of registrant as specified in charter)
111 Huntington Avenue, Boston, Massachusetts 02199
(Address of principal executive offices) (Zip code)
Susan S. Newton
Massachusetts Financial Services Company
111 Huntington Avenue
Boston, Massachusetts 02199
(Name and address of agents for service)
Registrant’s telephone number, including area code: (617) 954-5000
Date of fiscal year end: November 30
Date of reporting period: August 31, 2013
| ITEM 1. | SCHEDULE OF INVESTMENTS. |
QUARTERLY REPORT
August 31, 2013
MFS® CHARTER INCOME TRUST
PORTFOLIO OF INVESTMENTS
8/31/13 (unaudited)
The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - 105.7% | ||||||||
| Aerospace - 1.5% | ||||||||
| Bombardier, Inc., 7.5%, 2018 (n) | $ | 2,115,000 | $ | 2,337,075 | ||||
| Bombardier, Inc., 7.75%, 2020 (n) | 375,000 | 418,594 | ||||||
| CPI International, Inc., 8%, 2018 | 985,000 | 1,009,625 | ||||||
| Heckler & Koch GmbH, 9.5%, 2018 (n) | EUR | 505,000 | 624,050 | |||||
| Huntington Ingalls Industries, Inc., 7.125%, 2021 | $ | 1,935,000 | 2,089,800 | |||||
| Kratos Defense & Security Solutions, Inc., 10%, 2017 | 1,790,000 | 1,933,200 | ||||||
|
|
|
|||||||
| $ | 8,412,344 | |||||||
| Airlines - 0.0% | ||||||||
| Continental Airlines, Inc., 7.25%, 2021 | $ | 187,299 | $ | 211,648 | ||||
| Apparel Manufacturers – 0.7% | ||||||||
| Hanesbrands, Inc., 6.375%, 2020 | $ | 875,000 | $ | 945,000 | ||||
| Jones Group, Inc., 6.875%, 2019 | 1,155,000 | 1,179,544 | ||||||
| PVH Corp., 7.375%, 2020 | 1,305,000 | 1,409,400 | ||||||
| PVH Corp., 4.5%, 2022 | 580,000 | 537,225 | ||||||
|
|
|
|||||||
| $ | 4,071,169 | |||||||
| Asset-Backed & Securitized - 4.6% | ||||||||
| Anthracite Ltd., “A”, CDO, FRN, 0.543%, 2019 (z) | $ | 332,064 | $ | 330,042 | ||||
| Banc of America Commercial Mortgage, Inc., FRN, 5.934%, 2051 | 1,500,000 | 1,668,030 | ||||||
| Bayview Financial Acquisition Trust, FRN, 5.483%, 2041 | 136,514 | 139,187 | ||||||
| Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.784%, 2040 (z) | 725,909 | 352,345 | ||||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust, FRN, 5.366%, 2049 | 1,605,000 | 1,606,618 | ||||||
| Commercial Mortgage Pass-Through Certificates, FRN, 5.971%, 2046 | 230,000 | 245,873 | ||||||
| Countrywide Asset-Backed Certificates, FRN, 5.147%, 2033 | 682,893 | 692,847 | ||||||
| Crest Ltd., CDO, 7%, 2040 (a)(p) | 2,505,979 | 125,299 | ||||||
| First Union-Lehman Brothers Bank of America, FRN, 0.678%, 2035 (i) | 7,251,560 | 144,531 | ||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., “A3”, FRN, 6.002%, 2049 | 1,000,000 | 1,044,715 | ||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., “A3”, FRN, 6.124%, 2051 | 6,000,000 | 6,213,708 | ||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., “A4”, FRN, 6.002%, 2049 | 5,000,000 | 5,569,315 | ||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., “C”, FRN, 6.196%, 2051 | 185,000 | 101,288 | ||||||
| Merrill Lynch Mortgage Trust, FRN, 6.044%, 2050 | 1,350,000 | 1,507,133 | ||||||
| Multi Security Asset Trust, “A3”, CDO, 5%, 2035 (z) | 591,047 | 585,876 | ||||||
| Spirit Master Funding LLC, 5.05%, 2023 (z) | 1,133,880 | 1,145,219 | ||||||
| Wachovia Bank Commercial Mortgage Trust, “A4”, FRN, 6.122%, 2051 | 3,625,000 | 3,955,680 | ||||||
|
|
|
|||||||
| $ | 25,427,706 | |||||||
| Automotive - 2.3% | ||||||||
| Accuride Corp., 9.5%, 2018 | $ | 1,445,000 | $ | 1,488,350 | ||||
| Allison Transmission, Inc., 7.125%, 2019 (n) | 1,535,000 | 1,615,587 | ||||||
| Continental Rubber of America Corp., 4.5%, 2019 (n) | 235,000 | 237,468 | ||||||
| Delphi Corp., 5%, 2023 | 675,000 | 685,969 | ||||||
| Ford Motor Credit Co. LLC, 8.125%, 2020 | 345,000 | 419,467 | ||||||
| General Motors Financial Co., Inc., 4.75%, 2017 (n) | 380,000 | 391,875 | ||||||
| General Motors Financial Co., Inc., 6.75%, 2018 | 795,000 | 885,431 | ||||||
| General Motors Financial Co., Inc., 4.25%, 2023 (n) | 385,000 | 346,500 | ||||||
| Goodyear Tire & Rubber Co., 8.25%, 2020 | 185,000 | 203,963 | ||||||
| Goodyear Tire & Rubber Co., 6.5%, 2021 | 1,150,000 | 1,167,250 | ||||||
| Goodyear Tire & Rubber Co., 7%, 2022 | 350,000 | 357,438 | ||||||
| Jaguar Land Rover PLC, 7.75%, 2018 (n) | 430,000 | 465,475 | ||||||
| Jaguar Land Rover PLC, 8.125%, 2021 (n) | 2,065,000 | 2,294,731 | ||||||
1
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Automotive - continued | ||||||||
| Jaguar Land Rover PLC, 5.625%, 2023 (n) | $ | 465,000 | $ | 447,563 | ||||
| Lear Corp., 8.125%, 2020 | 952,000 | 1,040,060 | ||||||
| Lear Corp., 4.75%, 2023 (n) | 285,000 | 266,475 | ||||||
| LKQ Corp., 4.75%, 2023 (n) | 155,000 | 142,600 | ||||||
|
|
|
|||||||
| $ | 12,456,202 | |||||||
| Broadcasting - 2.8% | ||||||||
| AMC Networks, Inc., 7.75%, 2021 | $ | 843,000 | $ | 931,515 | ||||
| Clear Channel Communications, Inc., 9%, 2021 | 1,163,000 | 1,104,850 | ||||||
| Clear Channel Worldwide Holdings, Inc., 6.5%, 2022 | 190,000 | 188,575 | ||||||
| Clear Channel Worldwide Holdings, Inc., 6.5%, 2022 | 850,000 | 850,000 | ||||||
| Clear Channel Worldwide Holdings, Inc., “A”, 7.625%, 2020 | 50,000 | 49,625 | ||||||
| Clear Channel Worldwide Holdings, Inc., “B”, 7.625%, 2020 | 440,000 | 441,100 | ||||||
| Hughes Network Systems LLC, 7.625%, 2021 | 765,000 | 820,463 | ||||||
| IAC/InterActive Corp., 4.75%, 2022 | 300,000 | 276,750 | ||||||
| Inmarsat Finance PLC, 7.375%, 2017 (n) | 790,000 | 821,600 | ||||||
| Intelsat Jackson Holdings S.A., 6.625%, 2022 (n) | 990,000 | 987,525 | ||||||
| Intelsat S.A., 8.125%, 2023 (n) | 1,125,000 | 1,175,625 | ||||||
| Liberty Media Corp., 8.5%, 2029 | 820,000 | 877,400 | ||||||
| Liberty Media Corp., 8.25%, 2030 | 210,000 | 221,550 | ||||||
| Netflix, Inc., 5.375%, 2021 (n) | 755,000 | 758,775 | ||||||
| News America, Inc., 6.2%, 2034 | 325,000 | 348,825 | ||||||
| Nexstar Broadcasting Group, Inc., 8.875%, 2017 | 320,000 | 344,800 | ||||||
| Nexstar Broadcasting Group, Inc., 6.875%, 2020 (n) | 235,000 | 237,350 | ||||||
| Sinclair Broadcast Group, Inc., 9.25%, 2017 (n) | 925,000 | 978,188 | ||||||
| Sinclair Broadcast Group, Inc., 8.375%, 2018 | 185,000 | 202,113 | ||||||
| SIRIUS XM Radio, Inc., 7.625%, 2018 (n) | 975,000 | 1,060,313 | ||||||
| SIRIUS XM Radio, Inc., 4.25%, 2020 (n) | 30,000 | 27,450 | ||||||
| SIRIUS XM Radio, Inc., 5.25%, 2022 (n) | 150,000 | 139,125 | ||||||
| Univision Communications, Inc., 6.875%, 2019 (n) | 855,000 | 902,025 | ||||||
| Univision Communications, Inc., 7.875%, 2020 (n) | 535,000 | 579,806 | ||||||
| Univision Communications, Inc., 8.5%, 2021 (n) | 710,000 | 768,575 | ||||||
| WPP Finance, 3.625%, 2022 | 138,000 | 129,246 | ||||||
|
|
|
|||||||
| $ | 15,223,169 | |||||||
| Brokerage & Asset Managers - 0.4% | ||||||||
| E*TRADE Financial Corp., 6.375%, 2019 | $ | 2,065,000 | $ | 2,168,250 | ||||
| Building - 1.8% | ||||||||
| ABC Supply Co., Inc., 5.625%, 2021 (n) | $ | 155,000 | $ | 150,350 | ||||
| Boise Cascade Co., 6.375%, 2020 | 505,000 | 522,675 | ||||||
| Building Materials Holding Corp., 6.875%, 2018 (n) | 985,000 | 1,046,561 | ||||||
| Building Materials Holding Corp., 7%, 2020 (n) | 600,000 | 637,500 | ||||||
| Building Materials Holding Corp., 6.75%, 2021 (n) | 440,000 | 466,400 | ||||||
| CEMEX Finance LLC, 9.5%, 2016 (n) | 419,000 | 442,045 | ||||||
| CEMEX Finance LLC, 9.5%, 2016 | 216,000 | 227,880 | ||||||
| CEMEX S.A.B. de C.V., 5.875%, 2019 (n) | 253,000 | 239,717 | ||||||
| CEMEX S.A.B. de C.V., 6.5%, 2019 (z) | 284,000 | 275,480 | ||||||
| CEMEX S.A.B. de C.V., 9.25%, 2020 | 310,000 | 323,950 | ||||||
| Gibraltar Industries, Inc., 6.25%, 2021 | 60,000 | 60,900 | ||||||
| HD Supply, Inc., 8.125%, 2019 | 495,000 | 550,688 | ||||||
| HD Supply, Inc., 11.5%, 2020 | 690,000 | 817,650 | ||||||
| Mohawk Industries, Inc., 3.85%, 2023 | 134,000 | 126,400 | ||||||
| Nortek, Inc., 8.5%, 2021 | 1,375,000 | 1,488,438 | ||||||
| Roofing Supply Group LLC/Roofing Supply Finance, Inc., 10%, 2020 (n) | 760,000 | 832,200 | ||||||
2
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Building - continued | ||||||||
| USG Corp., 6.3%, 2016 | $ | 1,328,000 | $ | 1,391,080 | ||||
| USG Corp., 7.875%, 2020 (n) | 480,000 | 524,400 | ||||||
|
|
|
|||||||
| $ | 10,124,314 | |||||||
| Business Services - 0.9% | ||||||||
| Cielo S.A., 3.75%, 2022 (n) | $ | 200,000 | $ | 167,000 | ||||
| Equinix, Inc., 4.875%, 2020 | 520,000 | 500,500 | ||||||
| Fidelity National Information Services, Inc., 5%, 2022 | 700,000 | 719,633 | ||||||
| First Data Corp., 10.625%, 2021 (z) | 250,000 | 248,438 | ||||||
| iGate Corp., 9%, 2016 | 1,608,000 | 1,732,620 | ||||||
| Iron Mountain, Inc., 8.375%, 2021 | 746,000 | 811,275 | ||||||
| Iron Mountain, Inc., 6%, 2023 | 125,000 | 124,063 | ||||||
| NeuStar, Inc., 4.5%, 2023 | 420,000 | 384,300 | ||||||
| Tencent Holdings Ltd., 3.375%, 2018 (n) | 449,000 | 448,953 | ||||||
|
|
|
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| $ | 5,136,782 | |||||||
| Cable TV - 2.7% | ||||||||
| CCO Holdings LLC, 8.125%, 2020 | $ | 845,000 | $ | 916,825 | ||||
| CCO Holdings LLC, 7.375%, 2020 | 250,000 | 267,500 | ||||||
| CCO Holdings LLC, 6.5%, 2021 | 1,460,000 | 1,478,250 | ||||||
| CCO Holdings LLC, 5.125%, 2023 | 400,000 | 359,000 | ||||||
| CCO Holdings LLC/CCO Capital Corp., 5.75%, 2024 | 395,000 | 366,362 | ||||||
| Cequel Communications Holdings, 6.375%, 2020 (n) | 530,000 | 528,675 | ||||||
| Cequel Communications Holdings I LLC, 5.125%, 2021 (z) | 180,000 | 165,600 | ||||||
| DISH DBS Corp., 7.875%, 2019 | 240,000 | 270,600 | ||||||
| DISH DBS Corp., 6.75%, 2021 | 1,000,000 | 1,042,500 | ||||||
| DISH DBS Corp., 5%, 2023 | 630,000 | 581,175 | ||||||
| EchoStar Corp., 7.125%, 2016 | 450,000 | 490,500 | ||||||
| Lynx I Corp., 5.375%, 2021 (n) | 380,000 | 370,500 | ||||||
| Lynx II Corp., 6.375%, 2023 (n) | 295,000 | 292,788 | ||||||
| Myriad International Holdings B.V., 6.375%, 2017 (n) | 340,000 | 365,500 | ||||||
| Myriad International Holdings B.V., 6%, 2020 (n) | 1,051,000 | 1,070,759 | ||||||
| Nara Cable Funding Ltd., 8.875%, 2018 (z) | 475,000 | 492,813 | ||||||
| ONO Finance ll PLC, 10.875%, 2019 (n) | 300,000 | 311,250 | ||||||
| Telenet Finance Luxembourg, 6.375%, 2020 (n) | EUR | 435,000 | 601,076 | |||||
| Time Warner Cable, Inc., 5%, 2020 | $ | 1,150,000 | 1,159,404 | |||||
| Unitymedia Hessen, 5.5%, 2023 (n) | 230,000 | 209,300 | ||||||
| UPC Holding B.V., 9.875%, 2018 (n) | 1,175,000 | 1,274,875 | ||||||
| UPCB Finance III Ltd., 6.625%, 2020 (n) | 1,104,000 | 1,153,680 | ||||||
| Virgin Media Finance PLC, 8.375%, 2019 | 318,000 | 345,030 | ||||||
| Ziggo Bond Co. B.V., 8%, 2018 (n) | EUR | 635,000 | 896,694 | |||||
|
|
|
|||||||
| $ | 15,010,656 | |||||||
| Chemicals - 1.4% | ||||||||
| Celanese U.S. Holdings LLC, 6.625%, 2018 | $ | 1,335,000 | $ | 1,425,112 | ||||
| Flash Dutch 2 B.V./U.S. Coatings Acquisition, 7.375%, 2021 (n) | 305,000 | 311,863 | ||||||
| Hexion U.S. Finance Corp., 6.625%, 2020 (n) | 310,000 | 306,125 | ||||||
| Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, 8.875%, 2018 | 830,000 | 848,675 | ||||||
| Huntsman International LLC, 8.625%, 2021 | 1,565,000 | 1,744,975 | ||||||
| INEOS Finance PLC, 8.375%, 2019 (n) | 800,000 | 876,000 | ||||||
| INEOS Group Holdings S.A., 6.125%, 2018 (n) | 515,000 | 498,263 | ||||||
| NOVA Chemicals Corp., 5.25%, 2023 (n) | 100,000 | 99,750 | ||||||
| Polypore International, Inc., 7.5%, 2017 | 365,000 | 386,900 | ||||||
| Sociedad Quimica y Minera de Chile S.A., 5.5%, 2020 (n) | 414,000 | 436,284 | ||||||
3
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Chemicals - continued | ||||||||
| Tronox Finance LLC, 6.375%, 2020 (n) | $ | 570,000 | $ | 544,350 | ||||
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|
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| $ | 7,478,297 | |||||||
| Computer Software - 0.7% | ||||||||
| ACI Worldwide, Inc., 6.375%, 2020 (z) | $ | 290,000 | $ | 292,900 | ||||
| Infor U.S., Inc., 11.5%, 2018 | 995,000 | 1,154,200 | ||||||
| Syniverse Holdings, Inc., 9.125%, 2019 | 1,225,000 | 1,316,875 | ||||||
| TransUnion Holding Co., Inc., 9.625%, 2018 | 355,000 | 383,400 | ||||||
| TransUnion LLC/TransUnion Financing Corp., 11.375%, 2018 | 580,000 | 645,250 | ||||||
| Verisign, Inc., 4.625%, 2023 (n) | 85,000 | 79,475 | ||||||
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|
|
|||||||
| $ | 3,872,100 | |||||||
| Computer Software - Systems - 0.8% | ||||||||
| Audatex North America, Inc., 6.75%, 2018 | $ | 495,000 | $ | 525,937 | ||||
| Audatex North America, Inc., 6%, 2021 (n) | 855,000 | 865,687 | ||||||
| CDW LLC/CDW Finance Corp., 12.535%, 2017 | 163,000 | 170,131 | ||||||
| CDW LLC/CDW Finance Corp., 8.5%, 2019 | 1,060,000 | 1,164,675 | ||||||
| IBM Corp., 4%, 2042 | 1,694,000 | 1,551,565 | ||||||
|
|
|
|||||||
| $ | 4,277,995 | |||||||
| Conglomerates - 1.4% | ||||||||
| Amsted Industries, Inc., 8.125%, 2018 (n) | $ | 1,655,000 | $ | 1,746,025 | ||||
| BC Mountain LLC, 7%, 2021 (n) | 570,000 | 584,250 | ||||||
| Dynacast International LLC, 9.25%, 2019 | 890,000 | 970,100 | ||||||
| Griffon Corp., 7.125%, 2018 | 1,635,000 | 1,735,144 | ||||||
| Metalloinvest Finance Ltd., 5.625%, 2020 (n) | 619,000 | 578,765 | ||||||
| Renaissance Acquisition, 6.875%, 2021 (n) | 595,000 | 581,613 | ||||||
| Rexel S.A., 6.125%, 2019 (n) | 520,000 | 530,400 | ||||||
| Rexel S.A., 5.25%, 2020 (n) | 220,000 | 213,400 | ||||||
| Silver II Borrower, 7.75%, 2020 (n) | 715,000 | 740,025 | ||||||
|
|
|
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| $ | 7,679,722 | |||||||
| Construction - 0.1% | ||||||||
| Country Garden Holdings Co., 11.25%, 2017 | $ | 494,000 | $ | 539,078 | ||||
| Empresas ICA S.A.B. de C.V., 8.9%, 2021 | 145,000 | 134,125 | ||||||
|
|
|
|||||||
| $ | 673,203 | |||||||
| Consumer Products - 0.7% | ||||||||
| Elizabeth Arden, Inc., 7.375%, 2021 | $ | 1,215,000 | $ | 1,297,012 | ||||
| Jarden Corp., 7.5%, 2020 | 1,355,000 | 1,449,850 | ||||||
| Libbey Glass, Inc., 6.875%, 2020 | 320,000 | 342,000 | ||||||
| Prestige Brands, Inc., 8.125%, 2020 | 257,000 | 282,700 | ||||||
| Spectrum Brands Escrow Corp., 6.375%, 2020 (n) | 265,000 | 274,275 | ||||||
| Spectrum Brands Escrow Corp., 6.625%, 2022 (n) | 80,000 | 82,000 | ||||||
|
|
|
|||||||
| $ | 3,727,837 | |||||||
| Consumer Services - 0.5% | ||||||||
| ADT Corp., 4.125%, 2023 | $ | 60,000 | $ | 52,009 | ||||
| QVC, Inc., 7.375%, 2020 (n) | 485,000 | 526,976 | ||||||
| Service Corp. International, 7%, 2017 | 1,955,000 | 2,145,613 | ||||||
|
|
|
|||||||
| $ | 2,724,598 | |||||||
| Containers - 1.9% | ||||||||
| Ardagh Packaging Finance PLC, 7.375%, 2017 (n) | $ | 990,000 | $ | 1,056,825 | ||||
| Ardagh Packaging Finance PLC, 9.125%, 2020 (n) | 1,645,000 | 1,747,812 | ||||||
4
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Containers - continued | ||||||||
| Ball Corp., 5%, 2022 | $ | 93,000 | $ | 91,372 | ||||
| Ball Corp., 4%, 2023 | 15,000 | 13,387 | ||||||
| Berry Plastics Group, Inc., 9.5%, 2018 | 220,000 | 238,975 | ||||||
| Berry Plastics Group, Inc., 9.75%, 2021 | 390,000 | 451,425 | ||||||
| Crown Americas LLC, 4.5%, 2023 (n) | 460,000 | 424,350 | ||||||
| Greif, Inc., 6.75%, 2017 | 1,300,000 | 1,423,500 | ||||||
| Greif, Inc., 7.75%, 2019 | 1,000,000 | 1,135,000 | ||||||
| Reynolds Group, 7.125%, 2019 | 1,135,000 | 1,207,356 | ||||||
| Reynolds Group, 9.875%, 2019 | 410,000 | 435,625 | ||||||
| Reynolds Group, 5.75%, 2020 | 590,000 | 584,838 | ||||||
| Reynolds Group, 8.25%, 2021 | 1,460,000 | 1,441,750 | ||||||
|
|
|
|||||||
| $ | 10,252,215 | |||||||
| Defense Electronics - 0.3% | ||||||||
| BAE Systems Holdings, Inc., 5.2%, 2015 (n) | $ | 450,000 | $ | 481,576 | ||||
| Ducommun, Inc., 9.75%, 2018 | 644,000 | 711,620 | ||||||
| MOOG, Inc., 7.25%, 2018 | 590,000 | 612,125 | ||||||
|
|
|
|||||||
| $ | 1,805,321 | |||||||
| Electrical Equipment - 0.1% | ||||||||
| Avaya, Inc., 9.75%, 2015 | $ | 460,000 | $ | 455,400 | ||||
| Avaya, Inc., 7%, 2019 (n) | 190,000 | 173,850 | ||||||
|
|
|
|||||||
| $ | 629,250 | |||||||
| Electronics - 0.7% | ||||||||
| Freescale Semiconductor, Inc., 9.25%, 2018 (n) | $ | 955,000 | $ | 1,031,400 | ||||
| Nokia Corp., 5.375%, 2019 | 500,000 | 476,250 | ||||||
| Nokia Corp., 6.625%, 2039 | 190,000 | 161,975 | ||||||
| NXP B.V., 9.75%, 2018 (n) | 108,000 | 119,340 | ||||||
| NXP B.V., 5.75%, 2023 (n) | 630,000 | 620,550 | ||||||
| Sensata Technologies B.V., 6.5%, 2019 (n) | 1,130,000 | 1,203,450 | ||||||
|
|
|
|||||||
| $ | 3,612,965 | |||||||
| Emerging Market Quasi-Sovereign - 4.7% | ||||||||
| Banco de Reservas de La Republica Dominicana, 7%, 2023 (n) | $ | 621,000 | $ | 608,580 | ||||
| Banco do Brasil S.A., 3.875%, 2022 | 200,000 | 168,000 | ||||||
| Banco do Estado Rio Grande do Sul S.A., 7.375%, 2022 (n) | 1,041,000 | 1,025,385 | ||||||
| Banco do Nordeste do Brasil (BNB), 4.375%, 2019 (n) | 658,000 | 624,113 | ||||||
| Bank of Ceylon, 6.875%, 2017 (n) | 200,000 | 197,000 | ||||||
| Caixa Economica Federal, 3.5%, 2022 (n) | 151,000 | 120,422 | ||||||
| CNOOC Finance (2012) Ltd., 3.875%, 2022 (n) | 227,000 | 219,293 | ||||||
| CNOOC Finance (2013) Ltd., 3%, 2023 | 233,000 | 207,012 | ||||||
| CNPC (HK) Overseas Capital Ltd., 4.5%, 2021 (n) | 897,000 | 909,762 | ||||||
| CNPC General Capital Ltd., 3.4%, 2023 (n) | 227,000 | 206,695 | ||||||
| Corporacion Financiera de Desarrollo S.A., 4.75%, 2022 (n) | 221,000 | 212,712 | ||||||
| Dolphin Energy Ltd., 5.5%, 2021 (n) | 733,000 | 778,812 | ||||||
| Ecopetrol S.A., 7.625%, 2019 | 594,000 | 680,130 | ||||||
| El Fondo Mivivienda S.A., 3.5%, 2023 (n) | 150,000 | 129,750 | ||||||
| Gaz Capital S.A., 3.85%, 2020 (n) | 637,000 | 594,003 | ||||||
| Gaz Capital S.A., 5.999%, 2021 (n) | 1,344,000 | 1,364,160 | ||||||
| Gaz Capital S.A., 4.95%, 2028 (n) | 543,000 | 458,835 | ||||||
| Gazprom Neft, 4.375%, 2022 (n) | 457,000 | 405,588 | ||||||
| Georgian Oil & Gas Corp., 6.875%, 2017 (n) | 200,000 | 205,500 | ||||||
| JSC Georgian Railway, 7.75%, 2022 (n) | 200,000 | 211,000 | ||||||
| KazAgro National Management Holding, 4.625%, 2023 (n) | 230,000 | 201,250 | ||||||
5
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Emerging Market Quasi-Sovereign - continued | ||||||||
| Kazakhstan Temir Zholy Co., 6.95%, 2042 (n) | $ | 1,167,000 | $ | 1,113,026 | ||||
| KazMunayGas National Co., 4.4%, 2023 (n) | 200,000 | 177,500 | ||||||
| KazMunayGas National Co., 5.75%, 2043 (n) | 291,000 | 237,165 | ||||||
| Magyar Export-Import Bank, 5.5%, 2018 (n) | 200,000 | 198,965 | ||||||
| Majapahit Holding B.V., 7.25%, 2017 (n) | 591,000 | 635,325 | ||||||
| Majapahit Holding B.V., 8%, 2019 (n) | 380,000 | 408,500 | ||||||
| Naftogaz Ukraine, 9.5%, 2014 | 1,117,000 | 1,097,453 | ||||||
| OJSC Russian Agricultural Bank, 5.298%, 2017 (n) | 200,000 | 203,260 | ||||||
| OJSC Russian Agricultural Bank, 5.1%, 2018 (n) | 200,000 | 198,974 | ||||||
| Pemex Project Funding Master Trust, 5.75%, 2018 | 642,000 | 704,595 | ||||||
| Pertamina PT, 5.25%, 2021 (n) | 256,000 | 230,400 | ||||||
| Pertamina PT, 4.875%, 2022 (n) | 272,000 | 236,640 | ||||||
| Pertamina PT, 4.3%, 2023 (n) | 200,000 | 163,000 | ||||||
| Pertamina PT, 6%, 2042 (n) | 318,000 | 246,450 | ||||||
| Pertamina PT, 5.625%, 2043 (n) | 225,000 | 163,125 | ||||||
| Petrobras Global Finance Co., 4.375%, 2023 | 280,000 | 244,998 | ||||||
| Petrobras International Finance Co., 7.875%, 2019 | 1,361,000 | 1,532,027 | ||||||
| Petroleos de Venezuela S.A., 5.25%, 2017 | 950,000 | 750,500 | ||||||
| Petroleos Mexicanos, 8%, 2019 | 1,101,000 | 1,325,054 | ||||||
| Petroleos Mexicanos, 4.875%, 2022 | 774,000 | 779,805 | ||||||
| Petroleos Mexicanos, 4.875%, 2024 | 162,000 | 159,570 | ||||||
| Petroleos Mexicanos, 6.5%, 2041 | 315,000 | 313,425 | ||||||
| PTT PLC, 3.375%, 2022 (n) | 288,000 | 259,520 | ||||||
| PTT PLC, 4.5%, 2042 (n) | 311,000 | 244,096 | ||||||
| Ras Laffan Liquefied Natural Gas Co. Ltd., 6.75%, 2019 (n) | 721,000 | 836,360 | ||||||
| Rosneft, 3.149%, 2017 (n) | 375,000 | 369,375 | ||||||
| Rosneft, 4.199%, 2022 (n) | 1,488,000 | 1,331,760 | ||||||
| Sberbank of Russia, 6.125%, 2022 (n) | 703,000 | 718,818 | ||||||
| Sinopec Capital (2013) Ltd., 3.125%, 2023 (n) | 470,000 | 421,300 | ||||||
| Sinopec Capital (2013) Ltd., 4.25%, 2043 (n) | 386,000 | 321,467 | ||||||
| Sinopec Group Overseas Development (2012) Ltd., 3.9%, 2022 (n) | 279,000 | 270,777 | ||||||
| Vnesheconombank, 6.025%, 2022 (n) | 200,000 | 201,400 | ||||||
|
|
|
|||||||
| $ | 25,622,632 | |||||||
| Emerging Market Sovereign - 3.4% | ||||||||
| Dominican Republic, 7.5%, 2021 (n) | $ | 548,000 | $ | 586,360 | ||||
| Dominican Republic, 5.875%, 2024 (n) | 121,000 | 112,530 | ||||||
| Government of Ukraine, 6.875%, 2015 | 500,000 | 482,000 | ||||||
| Government of Ukraine, 9.25%, 2017 (n) | 200,000 | 195,282 | ||||||
| Republic of Argentina, 2.5% to 2019, 3.75% to 2029, 5.25% to 2038 | 753,000 | 246,607 | ||||||
| Republic of Colombia, 8.125%, 2024 | 664,000 | 849,920 | ||||||
| Republic of Croatia, 5.5%, 2023 (n) | 1,153,000 | 1,101,115 | ||||||
| Republic of Guatemala, 5.75%, 2022 (n) | 201,000 | 203,010 | ||||||
| Republic of Hungary, 5.375%, 2023 | 314,000 | 294,375 | ||||||
| Republic of Indonesia, 11.625%, 2019 (n) | 1,423,000 | 1,828,555 | ||||||
| Republic of Indonesia, 4.875%, 2021 (n) | 348,000 | 321,030 | ||||||
| Republic of Indonesia, 3.375%, 2023 (n) | 302,000 | 241,600 | ||||||
| Republic of Latvia, 5.25%, 2017 (n) | 200,000 | 215,260 | ||||||
| Republic of Lithuania, 6.625%, 2022 (n) | 752,000 | 858,220 | ||||||
| Republic of Panama, 9.375%, 2029 | 1,062,000 | 1,484,145 | ||||||
| Republic of Peru, 7.35%, 2025 | 355,000 | 440,200 | ||||||
| Republic of Philippines, 5.5%, 2026 | 421,000 | 448,365 | ||||||
| Republic of Poland, 5%, 2022 | 181,000 | 189,326 | ||||||
| Republic of Romania, 6.75%, 2022 (n) | 1,030,000 | 1,143,506 | ||||||
6
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Emerging Market Sovereign - continued | ||||||||
| Republic of Romania, 4.375%, 2023 (n) | $ | 226,000 | $ | 211,170 | ||||
| Republic of Slovakia, 4.375%, 2022 (n) | 1,375,000 | 1,368,125 | ||||||
| Republic of Turkey, 5.625%, 2021 | 362,000 | 362,996 | ||||||
| Republic of Turkey, 6.25%, 2022 | 390,000 | 400,823 | ||||||
| Republic of Turkey, 8%, 2034 | 920,000 | 1,039,830 | ||||||
| Republic of Turkey, 6%, 2041 | 200,000 | 178,750 | ||||||
| Republic of Uruguay, 4.5%, 2024 | 258,000 | 248,325 | ||||||
| Russian Federation, 4.5%, 2022 (n) | 400,000 | 400,000 | ||||||
| United Mexican States, 3.625%, 2022 | 1,970,000 | 1,919,765 | ||||||
| United Mexican States, 8.5%, 2029 | MXN | 13,970,000 | 1,196,834 | |||||
|
|
|
|||||||
| $ | 18,568,024 | |||||||
| Energy - Independent - 5.1% | ||||||||
| Berry Petroleum Corp., 6.75%, 2020 | $ | 170,000 | $ | 172,550 | ||||
| BreitBurn Energy Partners LP, 8.625%, 2020 | 330,000 | 349,800 | ||||||
| BreitBurn Energy Partners LP, 7.875%, 2022 | 1,285,000 | 1,272,150 | ||||||
| Carrizo Oil & Gas, Inc., 8.625%, 2018 | 435,000 | 473,062 | ||||||
| Carrizo Oil & Gas, Inc., 7.5%, 2020 | 355,000 | 374,525 | ||||||
| Chaparral Energy, Inc., 7.625%, 2022 | 690,000 | 691,725 | ||||||
| Chesapeake Energy Corp., 6.875%, 2020 | 625,000 | 676,562 | ||||||
| Concho Resources, Inc., 6.5%, 2022 | 875,000 | 927,500 | ||||||
| Concho Resources, Inc., 5.5%, 2023 | 410,000 | 397,700 | ||||||
| Continental Resources, Inc., 8.25%, 2019 | 1,170,000 | 1,287,000 | ||||||
| Continental Resources, Inc., 7.375%, 2020 | 50,000 | 54,875 | ||||||
| Continental Resources, Inc., 4.5%, 2023 | 141,000 | 138,532 | ||||||
| Denbury Resources, Inc., 8.25%, 2020 | 1,545,000 | 1,699,500 | ||||||
| Denbury Resources, Inc., 4.625%, 2023 | 405,000 | 361,462 | ||||||
| Energy XXI Gulf Coast, Inc., 9.25%, 2017 | 1,585,000 | 1,763,312 | ||||||
| EP Energy LLC, 9.375%, 2020 | 1,160,000 | 1,276,000 | ||||||
| EP Energy LLC, 7.75%, 2022 | 1,815,000 | 1,942,050 | ||||||
| EPL Oil & Gas, Inc., 8.25%, 2018 | 470,000 | 494,675 | ||||||
| Halcon Resources Corp., 8.875%, 2021 | 565,000 | 566,413 | ||||||
| Harvest Operations Corp., 6.875%, 2017 | 1,380,000 | 1,490,400 | ||||||
| Hess Corp., 8.125%, 2019 | 100,000 | 124,554 | ||||||
| Hilcorp Energy I/Hilcorp Finance Co., 8%, 2020 (n) | 400,000 | 435,000 | ||||||
| Laredo Petroleum, Inc., 9.5%, 2019 | 1,080,000 | 1,201,500 | ||||||
| LINN Energy LLC, 8.625%, 2020 | 530,000 | 532,650 | ||||||
| LINN Energy LLC, 7.75%, 2021 | 788,000 | 764,360 | ||||||
| MEG Energy Corp., 6.5%, 2021 (n) | 420,000 | 427,350 | ||||||
| QEP Resources, Inc., 6.875%, 2021 | 1,690,000 | 1,833,650 | ||||||
| Range Resources Corp., 8%, 2019 | 1,045,000 | 1,123,375 | ||||||
| Range Resources Corp., 5%, 2022 | 310,000 | 303,025 | ||||||
| Samson Investment Co., 10.25%, 2020 (n) | 1,380,000 | 1,442,100 | ||||||
| SandRidge Energy, Inc., 8.125%, 2022 | 1,000,000 | 1,005,000 | ||||||
| SM Energy Co., 6.5%, 2021 | 1,200,000 | 1,260,000 | ||||||
| Talisman Energy, Inc., 7.75%, 2019 | 280,000 | 338,007 | ||||||
| Whiting Petroleum Corp., 6.5%, 2018 | 820,000 | 863,050 | ||||||
|
|
|
|||||||
| $ | 28,063,414 | |||||||
| Energy - Integrated - 0.6% | ||||||||
| Husky Energy, Inc., 5.9%, 2014 | $ | 306,000 | $ | 317,847 | ||||
| Husky Energy, Inc., 7.25%, 2019 | 324,000 | 394,829 | ||||||
| Listrindo Capital B.V., 6.95%, 2019 (n) | 200,000 | 201,000 | ||||||
| LUKOIL International Finance B.V., 3.416%, 2018 (n) | 518,000 | 508,935 | ||||||
| LUKOIL International Finance B.V., 4.563%, 2023 (n) | 744,000 | 671,460 | ||||||
7
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Energy - Integrated - continued | ||||||||
| Pacific Rubiales Energy Corp., 7.25%, 2021 (n) | $ | 1,107,000 | $ | 1,145,745 | ||||
| Pacific Rubiales Energy Corp., 5.125%, 2023 (n) | 201,000 | 177,885 | ||||||
|
|
|
|||||||
| $ | 3,417,701 | |||||||
| Engineering - Construction - 0.1% | ||||||||
| BakerCorp International, Inc., 8.25%, 2019 | $ | 650,000 | $ | 648,375 | ||||
| Entertainment - 0.8% | ||||||||
| AMC Entertainment, Inc., 8.75%, 2019 | $ | 1,390,000 | $ | 1,494,250 | ||||
| Cedar Fair LP, 9.125%, 2018 | 450,000 | 492,750 | ||||||
| Cedar Fair LP, 5.25%, 2021 (n) | 405,000 | 386,775 | ||||||
| Cinemark USA, Inc., 5.125%, 2022 | 230,000 | 215,050 | ||||||
| Cinemark USA, Inc., 4.875%, 2023 | 590,000 | 542,800 | ||||||
| NAI Entertainment Holdings LLC, 8.25%, 2017 (n) | 296,000 | 320,627 | ||||||
| NAI Entertainment Holdings LLC, 5%, 2018 (n) | 55,000 | 55,688 | ||||||
| Six Flags Entertainment Corp., 5.25%, 2021 (n) | 1,155,000 | 1,091,475 | ||||||
|
|
|
|||||||
| $ | 4,599,415 | |||||||
| Financial Institutions - 3.9% | ||||||||
| Aviation Capital Group, 4.625%, 2018 (n) | $ | 555,000 | $ | 553,895 | ||||
| CIT Group, Inc., 5.25%, 2018 | 1,070,000 | 1,104,775 | ||||||
| CIT Group, Inc., 6.625%, 2018 (n) | 1,355,000 | 1,463,400 | ||||||
| CIT Group, Inc., 5.5%, 2019 (n) | 1,315,000 | 1,347,875 | ||||||
| CIT Group, Inc., 5%, 2022 | 340,000 | 321,300 | ||||||
| Credit Acceptance Corp., 9.125%, 2017 | 875,000 | 934,062 | ||||||
| General Electric Capital Corp., 3.1%, 2023 | 1,340,000 | 1,238,858 | ||||||
| Icahn Enterprises LP, 7.75%, 2016 | 170,000 | 176,163 | ||||||
| Icahn Enterprises LP, 8%, 2018 | 2,021,000 | 2,127,103 | ||||||
| Icahn Enterprises LP, 6%, 2020 (n) | 70,000 | 69,650 | ||||||
| International Lease Finance Corp., 4.875%, 2015 | 440,000 | 452,100 | ||||||
| International Lease Finance Corp., 8.625%, 2015 | 320,000 | 351,200 | ||||||
| International Lease Finance Corp., 7.125%, 2018 (n) | 1,075,000 | 1,193,250 | ||||||
| Nationstar Mortgage LLC/Capital Corp., 10.875%, 2015 | 400,000 | 419,000 | ||||||
| Nationstar Mortgage LLC/Capital Corp., 6.5%, 2018 | 335,000 | 338,350 | ||||||
| Nationstar Mortgage LLC/Capital Corp., 9.625%, 2019 | 25,000 | 28,000 | ||||||
| Nationstar Mortgage LLC/Capital Corp., 7.875%, 2020 | 1,770,000 | 1,867,350 | ||||||
| PHH Corp., 7.375%, 2019 | 685,000 | 727,813 | ||||||
| PHH Corp., 6.375%, 2021 | 395,000 | 389,075 | ||||||
| SLM Corp., 8.45%, 2018 | 1,575,000 | 1,795,500 | ||||||
| SLM Corp., 8%, 2020 | 1,385,000 | 1,506,188 | ||||||
| SLM Corp., 7.25%, 2022 | 460,000 | 470,350 | ||||||
| TMK Capital S.A., 6.75%, 2020 (n) | 2,597,000 | 2,493,120 | ||||||
|
|
|
|||||||
| $ | 21,368,377 | |||||||
| Food & Beverages - 1.4% | ||||||||
| Ajecorp B.V., 6.5%, 2022 (n) | $ | 1,043,000 | $ | 1,014,317 | ||||
| Alicorp S.A.A., 3.875%, 2023 (n) | 150,000 | 135,000 | ||||||
| Anheuser-Busch InBev S.A., 6.875%, 2019 | 1,300,000 | 1,596,997 | ||||||
| ARAMARK Corp., 5.75%, 2020 (n) | 320,000 | 326,400 | ||||||
| B&G Foods, Inc., 4.625%, 2021 | 465,000 | 431,869 | ||||||
| Constellation Brands, Inc., 3.75%, 2021 | 155,000 | 143,375 | ||||||
| Constellation Brands, Inc., 4.25%, 2023 | 310,000 | 284,425 | ||||||
| Grupo Bimbo S.A.B. de C.V., 4.5%, 2022 (n) | 218,000 | 215,753 | ||||||
| Hawk Acquisition Sub, Inc., 4.25%, 2020 (n) | 695,000 | 656,775 | ||||||
| Marfrig Holding Europe B.V., 9.875%, 2017 (n) | 200,000 | 199,000 | ||||||
| Pinnacle Foods Finance LLC, 4.875%, 2021 (n) | 225,000 | 209,250 | ||||||
8
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Food & Beverages - continued | ||||||||
| Sun Merger Sub, Inc., 5.875%, 2021 (n) | $ | 425,000 | $ | 423,938 | ||||
| TreeHouse Foods, Inc., 7.75%, 2018 | 1,045,000 | 1,107,700 | ||||||
| Tyson Foods, Inc., 6.6%, 2016 | 912,000 | 1,021,622 | ||||||
|
|
|
|||||||
| $ | 7,766,421 | |||||||
| Forest & Paper Products - 0.7% | ||||||||
| Boise, Inc., 8%, 2020 | $ | 820,000 | $ | 879,450 | ||||
| Graphic Packaging Holding Co., 7.875%, 2018 | 510,000 | 554,625 | ||||||
| Sappi Papier Holding GmbH, 7.75%, 2017 (n) | 300,000 | 312,750 | ||||||
| Smurfit Kappa Group PLC, 4.875%, 2018 (n) | 905,000 | 905,000 | ||||||
| Smurfit Kappa Group PLC, 7.75%, 2019 (n) | EUR | 560,000 | 801,243 | |||||
| Tembec Industries, Inc., 11.25%, 2018 | $ | 375,000 | 406,875 | |||||
|
|
|
|||||||
| $ | 3,859,943 | |||||||
| Gaming & Lodging - 2.5% | ||||||||
| Caesars Entertainment Operating Co., Inc., 8.5%, 2020 | $ | 300,000 | $ | 286,500 | ||||
| Chester Downs & Marina LLC, 9.25%, 2020 (n) | 315,000 | 314,212 | ||||||
| CityCenter Holdings LLC, 10.75%, 2017 (p) | 230,000 | 247,825 | ||||||
| Fontainebleau Las Vegas Holdings LLC, 10.25%, 2015 (a)(d)(n) | 460,000 | 288 | ||||||
| GWR Operating Partnership LLP, 10.875%, 2017 | 680,000 | 756,840 | ||||||
| Isle of Capri Casinos, Inc., 8.875%, 2020 | 1,080,000 | 1,117,800 | ||||||
| MGM Resorts International, 11.375%, 2018 | 2,620,000 | 3,275,000 | ||||||
| MGM Resorts International, 6.625%, 2021 | 420,000 | 426,300 | ||||||
| NCL Corp., 5%, 2018 (n) | 330,000 | 325,875 | ||||||
| Peninsula Gaming LLC, 8.375%, 2018 (n) | 130,000 | 139,750 | ||||||
| Penn National Gaming, Inc., 8.75%, 2019 | 1,465,000 | 1,604,175 | ||||||
| Pinnacle Entertainment, Inc., 8.75%, 2020 | 905,000 | 977,400 | ||||||
| Playa Resorts Holdings B.V., 8%, 2020 (z) | 310,000 | 316,200 | ||||||
| PNK Finance Corp., 6.375%, 2021 (n) | 495,000 | 493,763 | ||||||
| Ryman Hospitality Properties, Inc., REIT, 5%, 2021 (n) | 300,000 | 279,000 | ||||||
| Seven Seas Cruises S. DE R.L., 9.125%, 2019 | 935,000 | 1,014,475 | ||||||
| Viking Cruises Ltd., 8.5%, 2022 (n) | 580,000 | 633,650 | ||||||
| Wynn Las Vegas LLC, 7.75%, 2020 | 1,165,000 | 1,301,888 | ||||||
|
|
|
|||||||
| $ | 13,510,941 | |||||||
| Industrial - 0.6% | ||||||||
| Dematic S.A., 7.75%, 2020 (n) | $ | 1,015,000 | $ | 1,047,987 | ||||
| Hyva Global B.V., 8.625%, 2016 (n) | 1,124,000 | 989,120 | ||||||
| Mueller Water Products, Inc., 8.75%, 2020 | 459,000 | 500,310 | ||||||
| SPL Logistics Escrow LLC, 8.875%, 2020 (n) | 670,000 | 703,500 | ||||||
|
|
|
|||||||
| $ | 3,240,917 | |||||||
| Insurance - 1.0% | ||||||||
| American International Group, Inc., 4.875%, 2016 | $ | 1,480,000 | $ | 1,614,588 | ||||
| MetLife, Inc., 9.25% to 2038, FRN to 2068 (n) | 1,100,000 | 1,424,500 | ||||||
| Metropolitan Life Global Funding I, 5.125%, 2014 (n) | 860,000 | 890,625 | ||||||
| Unum Group, 7.125%, 2016 | 1,171,000 | 1,336,502 | ||||||
|
|
|
|||||||
| $ | 5,266,215 | |||||||
| Insurance - Property & Casualty - 1.2% | ||||||||
| AXIS Capital Holdings Ltd., 5.75%, 2014 | $ | 1,013,000 | $ | 1,070,740 | ||||
| Liberty Mutual Group, Inc., 10.75% to 2038, FRN to 2088 (n) | 1,135,000 | 1,679,800 | ||||||
| XL Group PLC, FRN, 6.5% to 2017, FRN to 2049 | 1,695,000 | 1,639,913 | ||||||
| ZFS Finance USA Trust II, 6.45% to 2016, FRN to 2065 (n) | 1,190,000 | 1,267,350 | ||||||
| ZFS Finance USA Trust V, 6.5% to 2017, FRN to 2067 (n) | 627,000 | 663,053 | ||||||
|
|
|
|||||||
| $ | 6,320,856 | |||||||
9
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| International Market Quasi-Sovereign - 1.9% | ||||||||
| Commonwealth Bank of Australia, 2.9%, 2014 (n) | $ | 1,780,000 | $ | 1,826,244 | ||||
| Eksportfinans A.S.A., 5.5%, 2016 | 250,000 | 260,625 | ||||||
| Eksportfinans A.S.A., 5.5%, 2017 | 375,000 | 388,594 | ||||||
| Electricite de France, FRN, 5.25%, 2049 (n) | 1,448,000 | 1,357,500 | ||||||
| Israel Electric Corp. Ltd., 6.7%, 2017 (n) | 588,000 | 626,220 | ||||||
| Israel Electric Corp. Ltd., 5.625%, 2018 (n) | 1,974,000 | 2,011,506 | ||||||
| Israel Electric Corp. Ltd., 6.875%, 2023 (n) | 1,805,000 | 1,838,844 | ||||||
| KFW International Finance, Inc., 4.875%, 2019 | 1,000,000 | 1,147,600 | ||||||
| Societe Financement de l’ Economie Francaise, 3.375%, 2014 (n) | 1,000,000 | 1,020,080 | ||||||
|
|
|
|||||||
| $ | 10,477,213 | |||||||
| International Market Sovereign - 9.4% | ||||||||
| Commonwealth of Australia, 5.75%, 2021 | AUD | 778,000 | $ | 787,672 | ||||
| Federal Republic of Germany, 4.25%, 2018 | EUR | 354,000 | 543,752 | |||||
| Federal Republic of Germany, 6.25%, 2030 | EUR | 942,000 | 1,879,194 | |||||
| Government of Canada, 4.5%, 2015 | CAD | 747,000 | 749,730 | |||||
| Government of Canada, 4.25%, 2018 | CAD | 447,000 | 469,458 | |||||
| Government of Canada, 3.25%, 2021 | CAD | 338,000 | 340,541 | |||||
| Government of Canada, 5.75%, 2033 | CAD | 196,000 | 261,229 | |||||
| Government of Japan, 1.1%, 2020 | JPY | 646,000,000 | 6,865,049 | |||||
| Government of Japan, 2.1%, 2024 | JPY | 244,000,000 | 2,818,558 | |||||
| Government of Japan, 2.2%, 2027 | JPY | 392,000,000 | 4,548,865 | |||||
| Government of Japan, 1.8%, 2043 | JPY | 81,000,000 | 829,091 | |||||
| Kingdom of Belgium, 5.5%, 2017 | EUR | 1,836,000 | 2,841,465 | |||||
| Kingdom of Denmark, 3%, 2021 | DKK | 2,538,000 | 493,881 | |||||
| Kingdom of Spain, 4%, 2015 | EUR | 526,000 | 719,137 | |||||
| Kingdom of Spain, 5.5%, 2017 | EUR | 240,000 | 346,093 | |||||
| Kingdom of Spain, 4.6%, 2019 | EUR | 1,930,000 | 2,676,558 | |||||
| Kingdom of Sweden, 5%, 2020 | SEK | 1,895,000 | 339,486 | |||||
| Kingdom of the Netherlands, 5.5%, 2028 | EUR | 615,000 | 1,088,115 | |||||
| Republic of Austria, 4.65%, 2018 | EUR | 1,315,000 | 2,003,010 | |||||
| Republic of Finland, 3.875%, 2017 | EUR | 264,000 | 389,983 | |||||
| Republic of France, 6%, 2025 | EUR | 341,000 | 600,904 | |||||
| Republic of France, 4.75%, 2035 | EUR | 1,278,000 | 2,055,259 | |||||
| Republic of Iceland, 4.875%, 2016 (n) | $ | 1,646,000 | 1,711,840 | |||||
| Republic of Ireland, 4.6%, 2016 | EUR | 563,000 | 795,436 | |||||
| Republic of Ireland, 4.5%, 2020 | EUR | 798,000 | 1,094,122 | |||||
| Republic of Italy, 4.25%, 2015 | EUR | 1,817,000 | 2,493,648 | |||||
| Republic of Italy, 5.25%, 2017 | EUR | 3,500,000 | 5,011,564 | |||||
| Republic of Italy, 3.75%, 2021 | EUR | 1,837,000 | 2,432,484 | |||||
| Republic of Portugal, 4.45%, 2018 | EUR | 450,000 | 548,662 | |||||
| United Kingdom Treasury, 8%, 2021 | GBP | 1,260,000 | 2,753,881 | |||||
| United Kingdom Treasury, 4.25%, 2036 | GBP | 515,000 | 897,711 | |||||
|
|
|
|||||||
| $ | 51,386,378 | |||||||
| Internet - 0.3% | ||||||||
| Baidu, Inc., 3.25%, 2018 | $ | 1,318,000 | $ | 1,301,588 | ||||
| Baidu, Inc., 3.5%, 2022 | 312,000 | 284,224 | ||||||
|
|
|
|||||||
| $ | 1,585,812 | |||||||
| Machinery & Tools - 1.8% | ||||||||
| Case New Holland, Inc., 7.875%, 2017 | $ | 2,235,000 | $ | 2,570,250 | ||||
| CNH America LLC, 7.25%, 2016 | 710,000 | 773,900 | ||||||
| CNH Capital LLC, 3.875%, 2015 | 205,000 | 209,100 | ||||||
| CNH Capital LLC, 6.25%, 2016 | 280,000 | 305,200 | ||||||
10
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Machinery & Tools - continued | ||||||||
| CNH Capital LLC, 3.625%, 2018 | $ | 100,000 | $ | 98,000 | ||||
| Ferreycorp S.A.A., 4.875%, 2020 (n) | 756,000 | 691,740 | ||||||
| H&E Equipment Services Co., 7%, 2022 | 1,245,000 | 1,322,813 | ||||||
| NESCO LLC/NESCO Holdings Corp., 11.75%, 2017 (n) | 1,215,000 | 1,354,725 | ||||||
| RSC Equipment Rental, Inc., 8.25%, 2021 | 940,000 | 1,038,700 | ||||||
| United Rentals North America, Inc., 5.75%, 2018 | 500,000 | 533,750 | ||||||
| United Rentals North America, Inc., 7.625%, 2022 | 1,000,000 | 1,075,000 | ||||||
|
|
|
|||||||
| $ | 9,973,178 | |||||||
| Major Banks - 2.8% | ||||||||
| Banco Santander U.S. Debt S.A.U., 3.781%, 2015 (n) | $ | 1,400,000 | $ | 1,430,415 | ||||
| Bank of America Corp., 7.375%, 2014 | 1,000,000 | 1,046,034 | ||||||
| Bank of America Corp., 7.625%, 2019 | 370,000 | 445,342 | ||||||
| Bank of America Corp., FRN, 5.2%, 2049 | 775,000 | 687,812 | ||||||
| Barclays Bank PLC, 7.625%, 2022 | 985,000 | 961,606 | ||||||
| BNP Paribas, FRN, 3.022%, 2014 | 730,000 | 750,949 | ||||||
| Credit Suisse Group AG, 6.5%, 2023 (n) | 457,000 | 460,930 | ||||||
| Credit Suisse New York, 5.5%, 2014 | 1,000,000 | 1,032,772 | ||||||
| HSBC USA, Inc., 4.875%, 2020 | 460,000 | 490,629 | ||||||
| JPMorgan Chase & Co., 6.3%, 2019 | 1,000,000 | 1,162,090 | ||||||
| JPMorgan Chase & Co., 3.25%, 2022 | 478,000 | 447,561 | ||||||
| Morgan Stanley, 5.75%, 2016 | 397,000 | 440,439 | ||||||
| Morgan Stanley, 6.625%, 2018 | 391,000 | 448,111 | ||||||
| Morgan Stanley, 7.3%, 2019 | 830,000 | 982,545 | ||||||
| Morgan Stanley, 5.625%, 2019 | 1,500,000 | 1,651,155 | ||||||
| RBS Capital Trust II, 6.425% to 2034, FRN to 2049 | 530,000 | 445,200 | ||||||
| Royal Bank of Scotland Group PLC, 7.648% to 2031, FRN to 2049 | 2,085,000 | 2,032,875 | ||||||
| Royal Bank of Scotland Group PLC, 6.99% to 2017, FRN to 2049 (n) | 350,000 | 342,125 | ||||||
|
|
|
|||||||
| $ | 15,258,590 | |||||||
| Medical & Health Technology & Services - 3.6% | ||||||||
| AmSurg Corp., 5.625%, 2020 | $ | 705,000 | $ | 712,050 | ||||
| Davita, Inc., 6.375%, 2018 | 2,180,000 | 2,289,000 | ||||||
| Davita, Inc., 6.625%, 2020 | 720,000 | 763,200 | ||||||
| Fresenius Medical Care AG & Co. KGaA, 9%, 2015 (n) | 665,000 | 740,644 | ||||||
| Fresenius Medical Care Capital Trust III, 5.625%, 2019 (n) | 495,000 | 509,850 | ||||||
| Fresenius Medical Care Capital Trust III, 5.875%, 2022 (n) | 335,000 | 340,863 | ||||||
| HCA, Inc., 8.5%, 2019 | 2,300,000 | 2,484,000 | ||||||
| HCA, Inc., 7.5%, 2022 | 2,160,000 | 2,349,000 | ||||||
| HCA, Inc., 5.875%, 2022 | 680,000 | 702,100 | ||||||
| HealthSouth Corp., 8.125%, 2020 | 1,825,000 | 1,998,375 | ||||||
| IASIS Healthcare LLC/IASIS Capital Corp., 8.375%, 2019 | 990,000 | 1,037,025 | ||||||
| Kinetic Concepts, Inc., 12.5%, 2019 | 300,000 | 312,375 | ||||||
| McKesson Corp., 7.5%, 2019 | 110,000 | 135,765 | ||||||
| Owens & Minor, Inc., 6.35%, 2016 | 970,000 | 1,049,552 | ||||||
| Tenet Healthcare Corp., 9.25%, 2015 | 605,000 | 662,475 | ||||||
| Tenet Healthcare Corp., 8%, 2020 | 620,000 | 644,025 | ||||||
| Tenet Healthcare Corp., 4.5%, 2021 (n) | 550,000 | 506,000 | ||||||
| Universal Health Services, Inc., 7%, 2018 | 1,055,000 | 1,109,069 | ||||||
| Universal Health Services, Inc., 7.625%, 2020 | 1,175,000 | 1,222,000 | ||||||
|
|
|
|||||||
| $ | 19,567,368 | |||||||
| Medical Equipment - 0.4% | ||||||||
| Biomet, Inc., 6.5%, 2020 | $ | 915,000 | $ | 937,875 | ||||
| Physio-Control International, Inc., 9.875%, 2019 (n) | 527,000 | 582,335 | ||||||
11
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Medical Equipment - continued | ||||||||
| Teleflex, Inc., 6.875%, 2019 | $ | 595,000 | $ | 624,750 | ||||
|
|
|
|||||||
| $ | 2,144,960 | |||||||
| Metals & Mining - 2.1% | ||||||||
| ArcelorMittal S.A., 6.25%, 2022 | $ | 235,000 | $ | 239,112 | ||||
| ArcelorMittal S.A., 6.75%, 2041 | 555,000 | 498,112 | ||||||
| Arch Coal, Inc., 7.25%, 2020 | 545,000 | 419,650 | ||||||
| Barrick International (Barbados) Corp., 5.75%, 2016 (n) | 1,258,000 | 1,338,538 | ||||||
| Boart Longyear Ltd., 7%, 2021 (n) | 160,000 | 129,600 | ||||||
| Century Aluminum Co., 7.5%, 2021 (n) | 580,000 | 543,750 | ||||||
| Commercial Metals Co., 4.875%, 2023 | 350,000 | 316,750 | ||||||
| Consol Energy, Inc., 8%, 2017 | 925,000 | 975,875 | ||||||
| Consol Energy, Inc., 8.25%, 2020 | 645,000 | 683,700 | ||||||
| First Quantum Minerals Ltd., 7.25%, 2019 (n) | 1,035,000 | 983,250 | ||||||
| Fortescue Metals Group Ltd., 8.25%, 2019 (n) | 745,000 | 795,288 | ||||||
| Peabody Energy Corp., 7.375%, 2016 | 570,000 | 636,975 | ||||||
| Peabody Energy Corp., 6%, 2018 | 445,000 | 442,775 | ||||||
| Peabody Energy Corp., 6.25%, 2021 | 445,000 | 429,425 | ||||||
| Plains Exploration & Production Co., 6.125%, 2019 | 975,000 | 1,028,977 | ||||||
| Plains Exploration & Production Co., 6.5%, 2020 | 390,000 | 415,169 | ||||||
| Rio Tinto Finance (USA) PLC, 2.25%, 2018 | 109,000 | 105,673 | ||||||
| Southern Copper Corp., 5.25%, 2042 | 300,000 | 231,261 | ||||||
| Vale Overseas Ltd., 4.625%, 2020 | 490,000 | 484,954 | ||||||
| Vale Overseas Ltd., 4.375%, 2022 | 500,000 | 465,277 | ||||||
| Walter Energy, Inc., 8.5%, 2021 (n) | 650,000 | 510,250 | ||||||
|
|
|
|||||||
| $ | 11,674,361 | |||||||
| Mortgage-Backed - 4.1% | ||||||||
| Fannie Mae, 4.607%, 2014 | $ | 429,464 | $ | 429,765 | ||||
| Fannie Mae, 4.629%, 2014 | 166,082 | 167,641 | ||||||
| Fannie Mae, 4.77%, 2014 | 307,333 | 312,284 | ||||||
| Fannie Mae, 4.56%, 2015 | 166,899 | 174,897 | ||||||
| Fannie Mae, 4.665%, 2015 | 135,488 | 140,856 | ||||||
| Fannie Mae, 4.74%, 2015 | 321,944 | 336,021 | ||||||
| Fannie Mae, 4.78%, 2015 | 373,749 | 393,377 | ||||||
| Fannie Mae, 4.815%, 2015 | 343,301 | 359,520 | ||||||
| Fannie Mae, 4.87%, 2015 | 274,030 | 287,000 | ||||||
| Fannie Mae, 4.89%, 2015 | 91,530 | 95,342 | ||||||
| Fannie Mae, 4.908%, 2015 | 438,138 | 457,792 | ||||||
| Fannie Mae, 6%, 2016 - 2037 | 1,226,912 | 1,328,431 | ||||||
| Fannie Mae, 5.5%, 2019 - 2037 | 4,603,256 | 4,997,572 | ||||||
| Fannie Mae, 4.88%, 2020 | 194,818 | 212,365 | ||||||
| Fannie Mae, 6.5%, 2032 - 2033 | 334,499 | 369,250 | ||||||
| Fannie Mae, 5%, 2035 | 813,448 | 874,909 | ||||||
| Fannie Mae, TBA, 3%, 2028 | 1,180,000 | 1,201,387 | ||||||
| Fannie Mae, TBA, 3.5%, 2043 | 2,200,000 | 2,201,561 | ||||||
| Freddie Mac, 6%, 2034 | 138,017 | 152,467 | ||||||
| Ginnie Mae, 3%, 2043 | 5,968,529 | 5,797,488 | ||||||
| Ginnie Mae, 5.5%, 2039 | 758,570 | 827,773 | ||||||
| Ginnie Mae, 4.5%, 2041 | 1,239,141 | 1,327,678 | ||||||
|
|
|
|||||||
| $ | 22,445,376 | |||||||
| Municipals - 0.1% | ||||||||
| New Jersey Tobacco Settlement Financing Corp., “1-A”, 4.5%, 2023 | $ | 370,000 | $ | 333,281 | ||||
12
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Natural Gas - Distribution - 0.4% | ||||||||
| AmeriGas Finance LLC, 6.75%, 2020 | $ | 1,115,000 | $ | 1,181,900 | ||||
| Ferrellgas LP/Ferrellgas Finance Corp., 6.5%, 2021 | 1,065,000 | 1,065,000 | ||||||
|
|
|
|||||||
| $ | 2,246,900 | |||||||
| Natural Gas - Pipeline - 2.2% | ||||||||
| Access Midstream Partners Co., 5.875%, 2021 | $ | 40,000 | $ | 41,100 | ||||
| Access Midstream Partners Co., 4.875%, 2023 | 440,000 | 409,200 | ||||||
| Atlas Pipeline Partners LP, 4.75%, 2021 (n) | 310,000 | 275,900 | ||||||
| Atlas Pipeline Partners LP, 5.875%, 2023 (n) | 610,000 | 571,875 | ||||||
| Crosstex Energy, Inc., 8.875%, 2018 | 1,705,000 | 1,811,562 | ||||||
| El Paso Corp., 7%, 2017 | 1,215,000 | 1,353,812 | ||||||
| El Paso Corp., 7.75%, 2032 | 1,656,000 | 1,738,230 | ||||||
| Energy Transfer Equity LP, 7.5%, 2020 | 1,380,000 | 1,504,200 | ||||||
| Energy Transfer Partners LP, 3.6%, 2023 | 533,000 | 495,008 | ||||||
| Enterprise Products Partners LP, 7.034% to 2018, FRN to 2068 | 256,000 | 284,160 | ||||||
| Inergy Midstream LP, 6%, 2020 (n) | 955,000 | 943,063 | ||||||
| MarkWest Energy Partners LP, 4.5%, 2023 | 100,000 | 91,000 | ||||||
| Sabine Pass Liquefaction, 5.625%, 2021 (n) | 245,000 | 233,975 | ||||||
| Sabine Pass Liquefaction, 5.625%, 2023 (n) | 585,000 | 542,588 | ||||||
| Spectra Energy Capital LLC, 8%, 2019 | 810,000 | 975,958 | ||||||
| Summit Midstream Holdings LLC, 7.5%, 2021 (n) | 530,000 | 537,950 | ||||||
|
|
|
|||||||
| $ | 11,809,581 | |||||||
| Network & Telecom - 0.7% | ||||||||
| Centurylink, Inc., 7.65%, 2042 | $ | 700,000 | $ | 630,000 | ||||
| Citizens Communications Co., 9%, 2031 | 1,135,000 | 1,100,950 | ||||||
| Frontier Communications Corp., 8.125%, 2018 | 470,000 | 517,000 | ||||||
| TW Telecom Holdings, Inc., 5.375%, 2022 (z) | 290,000 | 276,225 | ||||||
| TW Telecom Holdings, Inc., 5.375%, 2022 | 515,000 | 490,538 | ||||||
| Windstream Corp., 8.125%, 2018 | 380,000 | 407,550 | ||||||
| Windstream Corp., 7.75%, 2020 | 345,000 | 352,763 | ||||||
| Windstream Corp., 7.75%, 2021 | 270,000 | 276,075 | ||||||
|
|
|
|||||||
| $ | 4,051,101 | |||||||
| Oil Services - 1.7% | ||||||||
| Afren PLC, 11.5%, 2016 (n) | $ | 476,000 | $ | 543,830 | ||||
| Afren PLC, 10.25%, 2019 (n) | 463,000 | 525,505 | ||||||
| Bristow Group, Inc., 6.25%, 2022 | 1,020,000 | 1,045,500 | ||||||
| Chesapeake Oilfield Operating LLC, 6.625%, 2019 | 370,000 | 371,850 | ||||||
| Dresser-Rand Group, Inc., 6.5%, 2021 | 305,000 | 324,062 | ||||||
| Edgen Murray Corp., 8.75%, 2020 (n) | 1,125,000 | 1,125,000 | ||||||
| Odebrecht Offshore Drilling Finance Ltd., 6.75%, 2022 (n) | 1,065,000 | 1,038,375 | ||||||
| Pacific Drilling S.A., 5.375%, 2020 (n) | 50,000 | 48,250 | ||||||
| Qgog Constellation S.A., 6.25%, 2019 (n) | 1,390,000 | 1,264,900 | ||||||
| Shale-Inland Holdings LLC/Finance Co., 8.75%, 2019 (n) | 1,280,000 | 1,318,400 | ||||||
| Unit Corp., 6.625%, 2021 | 1,515,000 | 1,545,300 | ||||||
|
|
|
|||||||
| $ | 9,150,972 | |||||||
| Other Banks & Diversified Financials - 3.1% | ||||||||
| Akbank T.A.S., 5%, 2022 (n) | $ | 150,000 | $ | 126,562 | ||||
| Alfa Bank, 7.5%, 2019 (n) | 811,000 | 851,550 | ||||||
| Ally Financial, Inc., 5.5%, 2017 | 2,775,000 | 2,925,208 | ||||||
| Ally Financial, Inc., 6.25%, 2017 | 380,000 | 407,467 | ||||||
| Banco de Credito del Peru, 6.125% to 2022, FRN to 2027 (n) | 779,000 | 765,367 | ||||||
| Banco de Credito e Inversiones, 3%, 2017 (n) | 200,000 | 195,928 | ||||||
13
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Other Banks & Diversified Financials - continued | ||||||||
| Banco GNB Sudameris S.A., 3.875%, 2018 (n) | $ | 291,000 | $ | 266,265 | ||||
| Banco Santander S.A., 4.125%, 2022 (n) | 150,000 | 136,125 | ||||||
| Bancolombia S.A., 5.95%, 2021 | 819,000 | 830,261 | ||||||
| Bancolombia S.A., 5.125%, 2022 | 150,000 | 133,500 | ||||||
| BBVA Banco Continental S.A., 5%, 2022 (n) | 146,000 | 137,240 | ||||||
| BBVA Bancomer S.A. de C.V., 6.5%, 2021 (n) | 900,000 | 911,250 | ||||||
| BBVA Bancomer S.A. de C.V., 6.75%, 2022 (n) | 1,004,000 | 1,027,092 | ||||||
| Capital One Bank (USA) N.A., 3.375%, 2023 | 384,000 | 357,252 | ||||||
| CorpBanca, 3.125%, 2018 | 220,000 | 194,887 | ||||||
| Groupe BPCE S.A., 12.5% to 2019, FRN to 2049 (n) | 2,297,000 | 2,859,765 | ||||||
| Grupo Aval Ltd., 5.25%, 2017 (n) | 795,000 | 822,825 | ||||||
| Grupo Aval Ltd., 4.75%, 2022 (n) | 200,000 | 175,500 | ||||||
| Industrial Senior Trust, 5.5%, 2022 (n) | 563,000 | 506,700 | ||||||
| Intesa Sanpaolo S.p.A., 3.875%, 2018 | 617,000 | 601,669 | ||||||
| LBG Capital No. 1 PLC, 7.875%, 2020 (n) | 1,940,000 | 2,051,550 | ||||||
| PKO Finance AB, 4.63%, 2022 (n) | 206,000 | 193,661 | ||||||
| Turkiye Is Bankasi A.S., 3.875%, 2017 (n) | 201,000 | 184,920 | ||||||
| UBS AG, 7.625%, 2022 | 500,000 | 548,748 | ||||||
|
|
|
|||||||
| $ | 17,211,292 | |||||||
| Pharmaceuticals - 1.0% | ||||||||
| Capsugel FinanceCo. SCA, 9.875%, 2019 (n) | EUR | 651,000 | $ | 950,736 | ||||
| Hospira, Inc., 6.05%, 2017 | $ | 655,000 | 705,383 | |||||
| Roche Holdings, Inc., 6%, 2019 (n) | 911,000 | 1,079,876 | ||||||
| Valeant Pharmaceuticals International, Inc., 7%, 2020 (n) | 970,000 | 1,018,500 | ||||||
| Valeant Pharmaceuticals International, Inc., 7.25%, 2022 (n) | 855,000 | 906,300 | ||||||
| Vantage Point Imaging, 7.5%, 2021 (n) | 525,000 | 561,750 | ||||||
|
|
|
|||||||
| $ | 5,222,545 | |||||||
| Pollution Control - 0.1% | ||||||||
| Heckmann Corp., 9.875%, 2018 | $ | 570,000 | $ | 564,300 | ||||
| Precious Metals & Minerals - 0.4% | ||||||||
| Eldorado Gold Corp., 6.125%, 2020 (n) | $ | 875,000 | $ | 835,625 | ||||
| IAMGOLD Corp., 6.75%, 2020 (n) | 1,618,000 | 1,399,570 | ||||||
|
|
|
|||||||
| $ | 2,235,195 | |||||||
| Printing & Publishing - 0.3% | ||||||||
| American Media, Inc., 13.5%, 2018 (z) | $ | 11,911 | $ | 12,179 | ||||
| Gannett Co., Inc., 5.125%, 2020 (n) | 60,000 | 59,400 | ||||||
| Lamar Media Corp., 5%, 2023 | 280,000 | 259,700 | ||||||
| Nielsen Finance LLC, 7.75%, 2018 | 645,000 | 701,438 | ||||||
| Nielsen Finance LLC, 4.5%, 2020 | 850,000 | 807,500 | ||||||
|
|
|
|||||||
| $ | 1,840,217 | |||||||
| Railroad & Shipping - 0.1% | ||||||||
| Kansas City Southern de Mexico S.A. de C.V., 6.125%, 2021 | $ | 64,000 | $ | 72,320 | ||||
| Watco Cos. LLC, 6.375%, 2023 (n) | 570,000 | 562,875 | ||||||
|
|
|
|||||||
| $ | 635,195 | |||||||
| Real Estate - 1.2% | ||||||||
| CNL Lifestyle Properties, Inc., REIT, 7.25%, 2019 | $ | 475,000 | $ | 481,531 | ||||
| DuPont Fabros Technology, Inc., REIT, 8.5%, 2017 | 1,380,000 | 1,455,900 | ||||||
| ERP Properties, REIT, 7.75%, 2020 | 665,000 | 749,525 | ||||||
| ERP Properties, REIT, 5.75%, 2022 | 750,000 | 752,605 | ||||||
| Felcor Lodging LP, REIT, 5.625%, 2023 | 160,000 | 148,800 | ||||||
14
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Real Estate - continued | ||||||||
| MPT Operating Partnership LP, REIT, 6.875%, 2021 | $ | 680,000 | $ | 715,700 | ||||
| MPT Operating Partnership LP, REIT, 6.375%, 2022 | 540,000 | 549,450 | ||||||
| Simon Property Group, Inc., REIT, 5.875%, 2017 | 756,000 | 850,812 | ||||||
| Simon Property Group, Inc., REIT, 10.35%, 2019 | 660,000 | 901,190 | ||||||
|
|
|
|||||||
| $ | 6,605,513 | |||||||
| Retailers - 2.3% | ||||||||
| Academy Ltd., 9.25%, 2019 (n) | $ | 295,000 | $ | 328,187 | ||||
| Burlington Coat Factory Warehouse Corp., 10%, 2019 | 810,000 | 903,150 | ||||||
| CST Brands, Inc., 5%, 2023 (n) | 90,000 | 85,500 | ||||||
| Dollar General Corp., 4.125%, 2017 | 827,000 | 868,440 | ||||||
| Gap, Inc., 5.95%, 2021 | 945,000 | 1,048,451 | ||||||
| Home Depot, Inc., 5.875%, 2036 | 509,000 | 586,343 | ||||||
| J. Crew Group, Inc., 8.125%, 2019 | 605,000 | 636,763 | ||||||
| Jo-Ann Stores Holdings, Inc., 9.75%, 2019 (n)(p) | 295,000 | 303,850 | ||||||
| Limited Brands, Inc., 6.9%, 2017 | 480,000 | 537,600 | ||||||
| Limited Brands, Inc., 6.95%, 2033 | 670,000 | 659,950 | ||||||
| Pantry, Inc., 8.375%, 2020 | 385,000 | 408,100 | ||||||
| Rite Aid Corp., 9.25%, 2020 | 1,125,000 | 1,272,656 | ||||||
| Sally Beauty Holdings, Inc., 6.875%, 2019 | 475,000 | 517,750 | ||||||
| Toys “R” Us Property Co. II LLC, 8.5%, 2017 | 975,000 | 1,026,188 | ||||||
| Wal-Mart Stores, Inc., 5.625%, 2041 | 2,500,000 | 2,857,575 | ||||||
| William Carter Co., 5.25%, 2021 (z) | 30,000 | 30,150 | ||||||
| YCC Holdings LLC/Yankee Finance, Inc., 10.25%, 2016 (p) | 285,000 | 292,840 | ||||||
|
|
|
|||||||
| $ | 12,363,493 | |||||||
| Specialty Chemicals - 0.3% | ||||||||
| Chemtura Corp., 5.75%, 2021 | $ | 30,000 | $ | 29,625 | ||||
| Koppers, Inc., 7.875%, 2019 | 285,000 | 306,375 | ||||||
| SIBUR Securities Ltd., 3.914%, 2018 (n) | 1,213,000 | 1,143,253 | ||||||
|
|
|
|||||||
| $ | 1,479,253 | |||||||
| Specialty Stores - 0.3% | ||||||||
| Michaels Stores, Inc., 11.375%, 2016 | $ | 414,000 | $ | 427,977 | ||||
| Michaels Stores, Inc., 7.75%, 2018 | 1,080,000 | 1,162,350 | ||||||
|
|
|
|||||||
| $ | 1,590,327 | |||||||
| Steel - 0.0% | ||||||||
| Severstal, 5.9%, 2022 (n) | $ | 200,000 | $ | 182,500 | ||||
| Supermarkets - 0.1% | ||||||||
| Delhaize Group, 5.7%, 2040 | $ | 834,000 | $ | 805,539 | ||||
| Supranational - 0.6% | ||||||||
| Eurasian Development Bank, 4.767%, 2022 (n) | $ | 200,000 | $ | 186,040 | ||||
| European Investment Bank, 5.125%, 2017 | 2,593,000 | 2,944,611 | ||||||
|
|
|
|||||||
| $ | 3,130,651 | |||||||
| Telecommunications - Wireless - 2.9% | ||||||||
| American Tower Corp., REIT, 3.5%, 2023 | $ | 215,000 | $ | 193,448 | ||||
| Bharti Airtel International Co., 5.125%, 2023 (n) | 200,000 | 167,500 | ||||||
| Clearwire Corp., 12%, 2015 (n) | 1,125,000 | 1,186,875 | ||||||
| Cricket Communications, Inc., 7.75%, 2020 | 415,000 | 471,544 | ||||||
| Crown Castle International Corp., 7.125%, 2019 | 1,005,000 | 1,080,375 | ||||||
| Digicel Group Ltd., 8.25%, 2017 (n) | 710,000 | 738,400 | ||||||
| Digicel Group Ltd., 10.5%, 2018 (n) | 350,000 | 377,125 | ||||||
15
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Telecommunications - Wireless - continued | ||||||||
| Digicel Group Ltd., 8.25%, 2020 (n) | $ | 811,000 | $ | 859,660 | ||||
| Digicel Group Ltd., 6%, 2021 (n) | 680,000 | 656,200 | ||||||
| Eileme 2 AB, 11.625%, 2020 (n) | 765,000 | 887,400 | ||||||
| MetroPCS Wireless, Inc., 7.875%, 2018 | 785,000 | 849,763 | ||||||
| MetroPCS Wireless, Inc., 6.25%, 2021 (n) | 775,000 | 773,063 | ||||||
| Millicom International Cellular S.A., 4.75%, 2020 (n) | 390,000 | 369,038 | ||||||
| MTS International Funding Ltd., 5%, 2023 (n) | 488,000 | 434,320 | ||||||
| Sprint Capital Corp., 6.875%, 2028 | 1,315,000 | 1,186,788 | ||||||
| Sprint Nextel Corp., 6%, 2016 | 1,005,000 | 1,065,300 | ||||||
| Sprint Nextel Corp., 8.375%, 2017 | 815,000 | 914,838 | ||||||
| Sprint Nextel Corp., 9%, 2018 (n) | 415,000 | 484,513 | ||||||
| Sprint Nextel Corp., 6%, 2022 | 830,000 | 776,050 | ||||||
| T-Mobile USA, Inc., 5.25%, 2018 (z) | 50,000 | 50,500 | ||||||
| VimpelCom Ltd., 5.95%, 2023 (n) | 200,000 | 178,874 | ||||||
| Wind Acquisition Finance S.A., 11.75%, 2017 (n) | 1,090,000 | 1,139,050 | ||||||
| Wind Acquisition Finance S.A., 7.25%, 2018 (n) | 1,170,000 | 1,193,400 | ||||||
|
|
|
|||||||
| $ | 16,034,024 | |||||||
| Telephone Services - 0.3% | ||||||||
| Cogent Communications Group, Inc., 8.375%, 2018 (n) | $ | 445,000 | $ | 487,275 | ||||
| Level 3 Financing, Inc., 9.375%, 2019 | 475,000 | 521,313 | ||||||
| Level 3 Financing, Inc., 8.625%, 2020 | 630,000 | 674,100 | ||||||
|
|
|
|||||||
| $ | 1,682,688 | |||||||
| Tobacco - 0.2% | ||||||||
| Reynolds American, Inc., 6.75%, 2017 | $ | 1,040,000 | $ | 1,198,034 | ||||
| Transportation - 0.2% | ||||||||
| Far Eastern Shipping Co., 8%, 2018 (n) | $ | 1,052,000 | $ | 938,910 | ||||
| Transportation - Services - 1.8% | ||||||||
| Aguila American Resources Ltd., 7.875%, 2018 (n) | $ | 1,155,000 | $ | 1,209,862 | ||||
| Avis Budget Car Rental LLC, 8.25%, 2019 | 535,000 | 581,812 | ||||||
| CEVA Group PLC, 8.375%, 2017 (n) | 2,075,000 | 2,069,812 | ||||||
| ERAC USA Finance Co., 6.375%, 2017 (n) | 1,000,000 | 1,149,728 | ||||||
| Navios Maritime Acquisition Corp., 8.625%, 2017 | 1,460,000 | 1,518,400 | ||||||
| Navios Maritime Holdings, Inc., 8.875%, 2017 | 290,000 | 301,963 | ||||||
| Navios South American Logistics, Inc., 9.25%, 2019 | 748,000 | 807,840 | ||||||
| Swift Services Holdings, Inc., 10%, 2018 | 1,940,000 | 2,143,700 | ||||||
|
|
|
|||||||
| $ | 9,783,117 | |||||||
| U.S. Government Agencies and Equivalents - 0.6% | ||||||||
| Freddie Mac, 5.5%, 2017 | $ | 3,060,000 | $ | 3,538,051 | ||||
| U.S. Treasury Obligations - 4.0% | ||||||||
| U.S. Treasury Bonds, 6.25%, 2023 (f) | $ | 1,800,000 | $ | 2,359,125 | ||||
| U.S. Treasury Bonds, 6.875%, 2025 | 3,750,000 | 5,238,281 | ||||||
| U.S. Treasury Bonds, 5.375%, 2031 | 286,200 | 362,669 | ||||||
| U.S. Treasury Bonds, 4.5%, 2036 | 95,000 | 109,695 | ||||||
| U.S. Treasury Bonds, 4.75%, 2037 | 2,986,200 | 3,568,509 | ||||||
| U.S. Treasury Bonds, 3.125%, 2043 | 7,420,000 | 6,665,245 | ||||||
| U.S. Treasury Notes, 3.125%, 2019 | 3,336,000 | 3,573,430 | ||||||
|
|
|
|||||||
| $ | 21,876,954 | |||||||
16
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Utilities - Electric Power - 2.1% | ||||||||
| AES Corp., 8%, 2017 | $ | 145,000 | $ | 166,750 | ||||
| AES Corp., 7.375%, 2021 | 525,000 | 572,250 | ||||||
| Calpine Corp., 7.875%, 2020 (n) | 504,000 | 544,320 | ||||||
| Covanta Holding Corp., 7.25%, 2020 | 905,000 | 966,898 | ||||||
| E.CL S.A., 5.625%, 2021 | 757,000 | 776,456 | ||||||
| EDP Finance B.V., 6%, 2018 (n) | 930,000 | 966,037 | ||||||
| Energy Future Holdings Corp., 10%, 2020 | 2,378,000 | 2,505,817 | ||||||
| Energy Future Holdings Corp., 10%, 2020 (n) | 835,000 | 877,794 | ||||||
| Energy Future Holdings Corp., 12.25%, 2022 (n) | 550,000 | 611,875 | ||||||
| Exelon Generation Co., LLC, 4.25%, 2022 | 472,000 | 462,852 | ||||||
| InterGen N.V., 7%, 2023 (n) | 515,000 | 507,919 | ||||||
| NRG Energy, Inc., 8.25%, 2020 | 1,250,000 | 1,371,875 | ||||||
| NRG Energy, Inc., 6.625%, 2023 | 130,000 | 129,025 | ||||||
| System Energy Resources, Inc., 5.129%, 2014 (z) | 388,407 | 390,204 | ||||||
| Texas Competitive Electric Holdings Co. LLC, 11.5%, 2020 (n) | 630,000 | 438,638 | ||||||
| Viridian Group FundCo II, Ltd., 11.125%, 2017 (z) | 373,000 | 397,245 | ||||||
|
|
|
|||||||
| $ | 11,685,955 | |||||||
| Utilities - Gas - 0.0% | ||||||||
| Suburban Propane Partners LP, 7.5%, 2018 | $ | 25,000 | $ | 26,813 | ||||
| Transport de Gas Peru, 4.25%, 2028 (n) | 227,000 | 197,490 | ||||||
|
|
|
|||||||
| $ | 224,303 | |||||||
| Total Bonds | $ | 580,162,101 | ||||||
| Convertible Bonds - 0.1% | ||||||||
| Network & Telecom - 0.1% | ||||||||
| Nortel Networks Corp., 2.125%, 2014 (a)(d) | $ | 600,000 | $ | 585,375 | ||||
| Preferred Stocks - 0.2% | ||||||||
| Other Banks & Diversified Financials - 0.2% | ||||||||
| Ally Financial, Inc., 7% (z) | 380 | $ | 355,561 | |||||
| GMAC Capital Trust I, 8.125% | 22,000 | 583,220 | ||||||
| Total Preferred Stocks | $ | 938,781 | ||||||
| Convertible Preferred Stocks - 0.1% | ||||||||
| Automotive - 0.1% | ||||||||
| General Motors Co., 4.75% | 9,430 | $ | 458,864 | |||||
| Floating Rate Loans (g)(r) - 0.8% | ||||||||
| Aerospace - 0.1% | ||||||||
| TransDigm, Inc., Term Loan C, 3.75%, 2020 | $ | 398,280 | $ | 397,568 | ||||
| Building - 0.0% | ||||||||
| ABC Supply Co., Inc., Term Loan, 3.5%, 2020 | $ | 149,379 | $ | 148,422 | ||||
| Conglomerates - 0.1% | ||||||||
| Silver II U.S. Holdings LLC, Term Loan, 4%, 2019 | $ | 393,562 | $ | 390,794 | ||||
| Consumer Services - 0.0% | ||||||||
| Realogy Corp., Term Loan, 4.5%, 2020 | $ | 260,290 | $ | 261,591 | ||||
| Energy - Independent - 0.1% | ||||||||
| MEG Energy Corp., Term Loan, 3.75%, 2020 | $ | 539,019 | $ | 540,029 | ||||
17
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Floating Rate Loans (g)(r) - continued | ||||||||
| Entertainment - 0.1% | ||||||||
| Cedar Fair LP, Term Loan B, 3.25%, 2020 | $ | 337,842 | $ | 338,433 | ||||
| Food & Beverages - 0.1% | ||||||||
| Aramark Corp., Term Loan D, 4%, 2019 | $ | 400,649 | $ | 402,902 | ||||
| H.J. Heinz Co., Term Loan B2, 3.5%, 2020 | 226,135 | 227,266 | ||||||
|
|
|
|||||||
| $ | 630,168 | |||||||
| Retailers - 0.1% | ||||||||
| Rite Aid Corp., Term Loan, 4.87%, 2021 | $ | 44,587 | $ | 44,810 | ||||
| Toys “R” Us Property Co., Term Loan B, 2019 (o) | 628,482 | 619,683 | ||||||
|
|
|
|||||||
| $ | 664,493 | |||||||
| Transportation - Services - 0.2% | ||||||||
| Commercial Barge Line Co., Term Loan, 7.5%, 2019 | $ | 1,240,099 | $ | 1,181,194 | ||||
| Utilities - Electric Power - 0.0% | ||||||||
| Calpine Construction Finance Co., Term Loan B1, 3%, 2020 | $ | 124,697 | $ | 123,000 | ||||
| Total Floating Rate Loans | $ | 4,675,692 | ||||||
| Common Stocks - 0.0% | ||||||||
| Automotive - 0.0% | ||||||||
| Accuride Corp. (a) | 12,648 | $ | 66,275 | |||||
| Printing & Publishing - 0.0% | ||||||||
| American Media Operations, Inc. (a) | 3,053 | $ | 15,906 | |||||
| Total Common Stocks | $ | 82,181 | ||||||
| Money Market Funds - 10.0% | ||||||||
| MFS Institutional Money Market Portfolio, 0.09%, at Net Asset Value (v) | 54,795,919 | $ | 54,795,919 | |||||
| Total Investments | $ | 641,698,913 | ||||||
| Other Assets, Less Liabilities - (16.9)% | (92,833,972 | ) | ||||||
| Net Assets - 100.0% | $ | 548,864,941 | ||||||
| (a) | Non-income producing security. |
| (d) | In default. Interest and/or scheduled principal payment(s) have been missed. |
| (f) | All or a portion of the security has been segregated as collateral for open futures contracts. |
| (g) | The rate shown represents a weighted average coupon rate on settled positions at period end, unless otherwise indicated. |
| (i) | Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security. |
| (n) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $174,155,695, representing 31.7% of net assets. |
| (o) | All or a portion of this position has not settled. Upon settlement date, interest rates for unsettled amounts will be determined. The rate shown represents the weighted average coupon rate for settled amounts. |
| (p) | Payment-in-kind security. |
| (r) | Remaining maturities of floating rate loans may be less than stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. These loans may be subject to restrictions on resale. Floating rate loans generally have rates of interest which are determined periodically by reference to a base lending rate plus a premium. |
| (v) | Underlying affiliated fund that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
18
Portfolio of Investments (unaudited) – continued
| (z) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities: |
| Restricted Securities | Acquisition Date |
Cost | Value | |||||||
| ACI Worldwide, Inc., 6.375%, 2020 | 8/15/13 | $290,000 | $292,900 | |||||||
| Ally Financial, Inc.,7% (Preferred Stock) | 4/13/11-4/14/11 | 356,250 | 355,561 | |||||||
| American Media, Inc., 13.5%, 2018 | 12/22/10 | 12,102 | 12,179 | |||||||
| Anthracite Ltd., “A”, CDO, FRN, 0.543%, 2019 | 1/15/10 | 264,306 | 330,042 | |||||||
| Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.784%, 2040 | 3/01/06 | 725,909 | 352,345 | |||||||
| CEMEX S.A.B. de C.V., 6.5%, 2019 | 8/05/13 | 284,000 | 275,480 | |||||||
| Cequel Communications Holdings I LLC, 5.125%, 2021 | 8/08/13 | 171,044 | 165,600 | |||||||
| First Data Corp., 10.625%, 2021 | 8/07/13 | 253,125 | 248,438 | |||||||
| Multi Security Asset Trust, “A3”, CDO, 5%, 2035 | 10/12/10 | 577,749 | 585,876 | |||||||
| Nara Cable Funding Ltd., 8.875%, 2018 | 1/26/12 | 463,044 | 492,813 | |||||||
| Playa Resorts Holdings B.V., 8%, 2020 | 8/05/13-8/19/13 | 314,125 | 316,200 | |||||||
| Spirit Master Funding LLC, 5.05%, 2023 | 7/15/05 | 1,133,546 | 1,145,219 | |||||||
| System Energy Resources, Inc., 5.129%, 2014 | 4/16/04 | 388,407 | 390,204 | |||||||
| T-Mobile USA, Inc., 5.25%, 2018 | 8/14/13 | 50,000 | 50,500 | |||||||
| TW Telecom Holdings, Inc., 5.375%, 2022 | 8/12/13 | 279,140 | 276,225 | |||||||
| Viridian Group FundCo II, Ltd., 11.125%, 2017 | 3/01/12 | 363,658 | 397,245 | |||||||
| William Carter Co., 5.25%, 2021 | 8/07/13-8/08/13 | 30,300 | 30,150 | |||||||
| Total Restricted Securities | $5,716,977 | |||||||||
| % of Net assets | 1.0% | |||||||||
The following abbreviations are used in this report and are defined:
| CDO | Collateralized Debt Obligation | |
| FRN | Floating Rate Note. Interest rate resets periodically and may not be the rate reported at period end. | |
| PLC | Public Limited Company | |
| REIT | Real Estate Investment Trust | |
| TBA | To Be Announced |
Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below:
| AUD | Australian Dollar | |
| CAD | Canadian Dollar | |
| CHF | Swiss Franc | |
| CNY | Chinese Yuan Renminbi | |
| DKK | Danish Krone | |
| EUR | Euro | |
| GBP | British Pound | |
| JPY | Japanese Yen | |
| KRW | Korean Won | |
| MXN | Mexican Peso | |
| MYR | Malaysian Ringgit | |
| NOK | Norwegian Krone | |
| PHP | Philippine Peso | |
| SEK | Swedish Krona |
19
Portfolio of Investments (unaudited) – continued
Derivative Contracts at 8/31/13
Forward Foreign Currency Exchange Contracts at 8/31/13
| Type | Currency | Counterparty | Contracts to Deliver/Receive |
Settlement Date Range |
In Exchange For |
Contracts at Value |
Net Unrealized (Depreciation) |
|||||||||||||||
| Asset Derivatives | ||||||||||||||||||||||
| SELL | AUD | Westpac Banking Corp. | 949,799 | 10/18/13 | $ | 869,104 | $ | 842,908 | $ | 26,196 | ||||||||||||
| BUY | CHF | UBS AG | 2,136 | 10/18/13 | 2,209 | 2,296 | 87 | |||||||||||||||
| BUY | CNY | Deutsche Bank AG | 8,988,000 | 1/15/14 | 1,432,465 | 1,458,538 | 26,073 | |||||||||||||||
| BUY | EUR | Goldman Sachs International | 636,000 | 10/18/13 | 832,368 | 840,698 | 8,330 | |||||||||||||||
| BUY | GBP | Goldman Sachs International | 214,000 | 10/18/13 | 324,761 | 331,523 | 6,762 | |||||||||||||||
| SELL | JPY | Barclays Bank PLC | 177,621,000 | 10/18/13 | 1,811,734 | 1,809,416 | 2,318 | |||||||||||||||
| BUY | KRW | JPMorgan Chase Bank | 3,094,317,000 | 10/28/13 | 2,770,948 | 2,778,070 | 7,122 | |||||||||||||||
| SELL | MXN | Deutsche Bank AG | 34,665,000 | 10/18/13 | 2,737,352 | 2,584,251 | 153,101 | |||||||||||||||
| SELL | MXN | JPMorgan Chase Bank | 36,461,000 | 9/03/13 | 2,739,369 | 2,728,913 | 10,456 | |||||||||||||||
| SELL | NOK | Goldman Sachs International | 15,774 | 10/18/13 | 2,576 | 2,573 | 3 | |||||||||||||||
|
|
|
|||||||||||||||||||||
| $ | 240,448 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Liability Derivatives | ||||||||||||||||||||||
| SELL | CAD | Merrill Lynch International Bank | 2,007,686 | 10/18/13 | $ | 1,903,795 | $ | 1,904,003 | $ | (208 | ) | |||||||||||
| SELL | CNY | Deutsche Bank AG | 8,983,000 | 1/15/14 | 1,445,653 | 1,457,726 | (12,073 | ) | ||||||||||||||
| SELL | DKK | Goldman Sachs International | 2,818,044 | 10/18/13 | 492,863 | 499,484 | (6,621 | ) | ||||||||||||||
| SELL | EUR | Barclays Bank PLC | 1,557,013 | 10/18/13 | 1,996,433 | 2,058,141 | (61,708 | ) | ||||||||||||||
| SELL | EUR | Citibank N.A. | 431,000 | 10/18/13 | 553,820 | 569,718 | (15,898 | ) | ||||||||||||||
| SELL | EUR | Deutsche Bank AG | 11,233,317 | 10/18/13 | 14,422,455 | 14,848,784 | (426,329 | ) | ||||||||||||||
| SELL | EUR | Goldman Sachs International | 650,000 | 10/18/13 | 850,691 | 859,204 | (8,513 | ) | ||||||||||||||
| SELL | EUR | JPMorgan Chase Bank | 11,233,317 | 10/18/13 | 14,422,455 | 14,848,784 | (426,329 | ) | ||||||||||||||
| SELL | GBP | Credit Suisse Group | 1,223,696 | 10/18/13 | 1,827,100 | 1,895,717 | (68,617 | ) | ||||||||||||||
| SELL | GBP | Goldman Sachs International | 182,000 | 10/18/13 | 276,199 | 281,950 | (5,751 | ) | ||||||||||||||
| SELL | GBP | Merrill Lynch International Bank | 1,223,696 | 10/18/13 | 1,826,574 | 1,895,717 | (69,143 | ) | ||||||||||||||
| BUY | JPY | Goldman Sachs International | 268,527,000 | 10/18/13 | 2,740,267 | 2,735,471 | (4,796 | ) | ||||||||||||||
| SELL | JPY | Merrill Lynch International Bank | 1,843,304,869 | 10/18/13 | 18,590,698 | 18,777,656 | (186,958 | ) | ||||||||||||||
| BUY | MXN | Goldman Sachs International | 17,260,000 | 10/18/13 | 1,343,730 | 1,286,721 | (57,009 | ) | ||||||||||||||
| BUY | MXN | JPMorgan Chase Bank | 72,922,000 | 9/03/13-10/03/13 | 5,515,274 | 5,450,579 | (64,695 | ) | ||||||||||||||
| SELL | MYR | Barclays Bank PLC | 9,109,677 | 9/23/13 | 2,753,000 | 2,769,986 | (16,986 | ) | ||||||||||||||
| BUY | PHP | Barclays Bank PLC | 70,000 | 11/29/13 | 1,572 | 1,568 | (4 | ) | ||||||||||||||
| SELL | SEK | Goldman Sachs International | 2,343,819 | 10/18/13 | 348,574 | 353,304 | (4,730 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||||
| $ | (1,436,368 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
Futures Contracts Outstanding at 8/31/13
| Description | Currency | Contracts | Value | Expiration Date | Unrealized Appreciation (Depreciation) |
|||||||||||
| Asset Derivatives | ||||||||||||||||
| Interest Rate Futures Contracts | ||||||||||||||||
| U.S. Treasury Bond 30 yr (Long) | USD | 23 | $3,033,844 | December - 2013 | $21,496 | |||||||||||
| U.S. Treasury Note 10 yr (Short) | USD | 250 | $31,070,313 | December - 2013 | 87,252 | |||||||||||
|
|
|
|||||||||||||||
| $108,748 | ||||||||||||||||
|
|
|
|||||||||||||||
At August 31, 2013, the fund had cash collateral of $938,000 and other liquid securities with an aggregate value of $389,254 to cover any commitments for certain derivative contracts.
See attached supplemental information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.
20
Supplemental Information
8/31/13 (unaudited)
(1) Investment Valuations
Debt instruments and floating rate loans (other than short-term instruments), including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Equity securities, including restricted equity securities, are generally valued at the last sale or official closing price as provided by a third-party pricing service on the market or exchange on which they are primarily traded. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation as provided by a third-party pricing service on the market or exchange on which such securities are primarily traded. Short-term instruments with a maturity at issuance of 60 days or less generally are valued at amortized cost, which approximates market value. Futures contracts are generally valued at last posted settlement price as provided by a third-party pricing service on the market on which they are primarily traded. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation as provided by a third-party pricing service on the market on which such futures contracts are primarily traded. Forward foreign currency exchange contracts are generally valued at the mean of bid and asked prices for the time period interpolated from rates provided by a third-party pricing service for proximate time periods. Open-end investment companies are generally valued at net asset value per share. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. Values obtained from third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.
The Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’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 fund’s valuation policies and procedures, market quotations are not considered to be readily available for most types of debt instruments and floating rate loans and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services. In addition, investments may be valued at fair value if the adviser determines that an investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund’s net asset value, or after the 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. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.
Various inputs are used in determining the value of the fund’s assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. Other
21
Supplemental Information (unaudited) – continued
financial instruments are derivative instruments not reflected in total investments, such as futures contracts and forward foreign currency exchange contracts. The following is a summary of the levels used as of August 31, 2013 in valuing the fund’s assets or liabilities:
| Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Equity Securities | $1,108,360 | $355,561 | $15,906 | $1,479,827 | ||||||||||||
| U.S. Treasury Bonds & U.S. Government Agency & Equivalents | — | 25,415,006 | — | 25,415,006 | ||||||||||||
| Non-U.S. Sovereign Debt | — | 109,184,900 | — | 109,184,900 | ||||||||||||
| Municipal Bonds | — | 333,281 | — | 333,281 | ||||||||||||
| U.S. Corporate Bonds | — | 297,888,233 | — | 297,888,233 | ||||||||||||
| Residential Mortgage-Backed Securities | — | 23,277,412 | — | 23,277,412 | ||||||||||||
| Commercial Mortgage-Backed Securities | — | 23,202,109 | — | 23,202,109 | ||||||||||||
| Asset-Backed Securities (including CDOs) | — | 1,393,561 | — | 1,393,561 | ||||||||||||
| Foreign Bonds | — | 100,052,970 | — | 100,052,970 | ||||||||||||
| Floating Rate Loans | — | 4,675,695 | — | 4,675,695 | ||||||||||||
| Mutual Funds | 54,795,919 | — | — | 54,795,919 | ||||||||||||
| Total Investments | $55,904,279 | $585,778,728 | $15,906 | $641,698,913 | ||||||||||||
| Other Financial Instruments | ||||||||||||||||
| Futures | $108,748 | $— | $— | $108,748 | ||||||||||||
| Forward Foreign Currency Exchange Contracts | — | (1,195,920 | ) | — | (1,195,920 | ) | ||||||||||
For further information regarding security characteristics, see the Portfolio of Investments.
The following is a reconciliation of level 3 assets for which significant unobservable inputs were used to determine fair value. The fund’s policy is to recognize transfers between the levels as of the end of the period. The table presents the activity of level 3 securities held at the beginning and the end of the period.
| Equity Securities | ||||
| Balance as of 11/30/12 | $14,502 | |||
| Change in unrealized appreciation (depreciation) |
1,404 | |||
| Balance as of 8/31/13 | $15,906 | |||
The net change in unrealized appreciation (depreciation) from investments still held as level 3 at August 31, 2013 is $1,404.
(2) Portfolio Securities
The cost and unrealized appreciation and depreciation in the value of the investments owned by the fund, as computed on a federal income tax basis, are as follows:
| Aggregate cost | $636,165,168 | |||
| Gross unrealized appreciation | 21,678,184 | |||
| Gross unrealized depreciation | (16,144,439 | ) | ||
| Net unrealized appreciation (depreciation) | $5,533,745 |
The aggregate cost above includes prior fiscal year end tax adjustments, if applicable.
(3) Transactions in Underlying Affiliated Funds – Affiliated Issuers
An affiliated issuer may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the fund assumes the following to be an affiliated issuer:
| Underlying Affiliated Fund | Beginning Shares/Par Amount |
Acquisitions Shares/Par Amount |
Dispositions Shares/Par Amount |
Ending Shares/Par Amount |
||||||||||||
| MFS Institutional Money Market Portfolio | 35,197,231 | 125,588,761 | (105,990,073 | ) | 54,795,919 | |||||||||||
| Underlying Affiliated Fund | Realized Gain (Loss) |
Capital Gain Distributions |
Dividend Income |
Ending Value |
||||||||||||
| MFS Institutional Money Market Portfolio | $— | $— | $39,579 | $54,795,919 | ||||||||||||
22
Supplemental Information (unaudited) – continued
(4) Issuer Country Weightings
Issuer country weighting percentages of portfolio holdings based on net assets, as of August 31, 2013, are as follows:
| United States | 60.9% | |||
| United Kingdom | 3.4% | |||
| Japan | 2.8% | |||
| Canada | 2.7% | |||
| Russia | 2.6% | |||
| Italy | 2.4% | |||
| Mexico | 2.0% | |||
| France | 1.7% | |||
| Luxembourg | 1.5% | |||
| Other Countries | 20.0% |
The issuer country weighting percentages include both accrued interest amounts and the equivalent exposure from any derivative holdings, if applicable.
23
| ITEM 2. | CONTROLS AND PROCEDURES. |
| (a) | Based upon their evaluation of the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as conducted within 90 days of the filing date of this Form N-Q, the registrant’s principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
| (b) | There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
| ITEM 3. | EXHIBITS. |
File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto.
Notice
A copy of the Amended and Restated Declaration of Trust, as amended, 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 CHARTER INCOME TRUST
| By (Signature and Title)* | JOHN M. CORCORAN | |
| John M. Corcoran, President |
Date: October 17, 2013
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)* | JOHN M. CORCORAN | |
| John M. Corcoran, President (Principal Executive Officer) |
Date: October 17, 2013
| By (Signature and Title)* | DAVID L. DILORENZO | |
| David L. DiLorenzo, Treasurer (Principal Financial Officer and Accounting Officer) |
Date: October 17, 2013
| * | Print name and title of each signing officer under his or her signature. |