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 811-05822

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)

Kristin V. Collins

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: February 29, 2016

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ITEM 1.

SCHEDULE OF INVESTMENTS.

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QUARTERLY REPORT

February 29, 2016

 

 

MFS® CHARTER INCOME TRUST

 

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PORTFOLIO OF INVESTMENTS

2/29/16 (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 - 115.4%
Aerospace - 1.3%
Aerojet Rocketdyne Holdings, Inc., 7.125%, 3/15/21		$	1,805,000			$	1,827,563
Bombardier, Inc., 6.125%, 1/15/23 (n)			1,260,000				882,000
Bombardier, Inc., 7.5%, 3/15/25 (n)			560,000				393,400
CPI International, Inc., 8.75%, 2/15/18			1,495,000				1,453,888
Lockheed Martin Corp., 3.55%, 1/15/26			263,000				275,462
TransDigm, Inc., 6%, 7/15/22			275,000				268,125
TransDigm, Inc., 6.5%, 7/15/24			800,000				780,000
						$	5,880,438
Airlines - 0.0%
Ryanair Ltd., 1.125%, 3/10/23		EUR	175,000			$	187,461
Apparel Manufacturers - 0.4%
Hanesbrands, Inc., 6.375%, 12/15/20		$	755,000			$	781,425
PVH Corp., 4.5%, 12/15/22			1,125,000				1,130,625
						$	1,912,050
Asset-Backed & Securitized - 5.6%
Atrium CDO Corp., FRN, 1.42%, 11/16/22 (z)		$	2,312,090			$	2,290,102
Banc of America Commercial Mortgage, Inc., FRN, 5.741%, 2/10/51			1,013,511				1,053,147
Bayview Financial Revolving Mortgage Loan Trust, FRN, 2.021%, 12/28/40 (z)			594,816				428,971
Citigroup/Deutsche Bank Commercial Mortgage Trust, FRN, 5.366%, 12/11/49			1,605,000				1,633,301
Commercial Mortgage Pass-Through Certificates, FRN, 5.802%, 6/10/46			230,000				231,129
Commercial Mortgage Trust, 2015-DC1, “A5”, 3.35%, 2/10/48			500,000				509,931
Crest Ltd., CDO, 7%, 1/28/40 (a)(p)			2,980,723				248,026
Dryden Senior Loan Fund, 2013-26A, “A”, CLO, FRN, 1.722%, 7/15/25 (n)			722,000				705,268
Enterprise Fleet Financing LLC, 0.91%, 9/20/18 (z)			1,956,460				1,954,179
First Union-Lehman Brothers Bank of America, FRN, 1.027%, 11/18/35 (i)			3,382,925				55,876
Greenwich Capital Commercial Funding Corp., 5.475%, 3/10/39			954,545				970,334
John Deere Owner Trust , “A2”, 1.15%, 10/15/18			1,464,000				1,463,996
JPMorgan Chase Commercial Mortgage Securities Corp., “A3”, FRN, 5.782%, 6/15/49			192,266				193,199
JPMorgan Chase Commercial Mortgage Securities Corp., “A3”, FRN, 5.938%, 2/15/51			140,193				140,061
JPMorgan Chase Commercial Mortgage Securities Corp., “A4”, FRN, 5.782%, 6/15/49			2,346,110				2,392,898
JPMorgan Chase Commercial Mortgage Trust, 2007-LD11, “AM”, FRN, 5.782%, 6/15/49			2,142,300				2,096,343
Mercedes-Benz Auto Lease Trust, 2015-B, “A2B”, 0.95%, 1/16/18			1,467,000				1,468,061
Merrill Lynch Mortgage Trust, FRN, 5.821%, 6/12/50			1,350,000				1,388,160
Morgan Stanley Capital I Trust, “AM”, FRN, 5.697%, 4/15/49			2,137,000				2,155,804
Wachovia Bank Commercial Mortgage Trust, “A4”, FRN, 5.953%, 2/15/51			3,402,446				3,514,186
Wells Fargo Commercial Mortgage Trust, 2015-NXS1, “A5”, 3.148%, 5/15/48			768,632				771,708
						$	25,664,680
Automotive - 2.6%
Accuride Corp., 9.5%, 8/01/18		$	1,735,000			$	1,483,425
American Honda Finance Corp., 1.375%, 11/10/22		EUR	350,000				394,956
Delphi Automotive PLC, 1.5%, 3/10/25		EUR	200,000				200,541
Delphi Automotive PLC, 4.25%, 1/15/26		$	313,000				319,332
Ford Motor Credit Co. LLC, 1.7%, 5/09/16			550,000				550,428
Ford Motor Credit Co. LLC, 1.461%, 3/27/17			252,000				250,291
General Motors Financial Co., Inc., 3.45%, 4/10/22			256,000				241,490
Goodyear Tire & Rubber Co., 6.5%, 3/01/21			1,540,000				1,621,820
Goodyear Tire & Rubber Co., 7%, 5/15/22			350,000				374,500
Grupo Antolin Dutch B.V., 5.125%, 6/30/22 (n)		EUR	100,000				110,417

 

1

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Automotive - continued
Harley-Davidson Financial Services, Inc., 2.7%, 3/15/17 (n)		$	370,000			$	374,671
Lear Corp., 4.75%, 1/15/23			1,015,000				1,025,150
Lear Corp., 5.25%, 1/15/25			790,000				821,600
Schaeffler Finance B.V., 3.25%, 5/15/19		EUR	230,000				251,832
Schaeffler Finance B.V., 4.75%, 5/15/21 (n)		$	1,160,000				1,168,700
Schaeffler Holding Finance B.V., 6.25%, 11/15/19 (n)(p)			470,000				489,388
Toyota Motor Credit Corp., 1%, 3/09/21		EUR	210,000				234,062
Volkswagen Group of America Finance LLC, 2.4%, 5/22/20		$	400,000				379,251
Volkswagen International Finance N.V., 3.875% to 9/04/18, FRN to 9/29/49		EUR	200,000				210,499
Volkswagen International Finance N.V., FRN, 2.5%, 12/29/49		EUR	152,000				135,434
ZF North America Capital, Inc., 4.5%, 4/29/22 (n)		$	1,085,000				1,070,081
ZF North America Capital, Inc., 4.75%, 4/29/25 (n)			300,000				286,500
						$	11,994,368
Biotechnology - 0.1%
Life Technologies Corp., 6%, 3/01/20		$	200,000			$	223,478
Broadcasting - 2.3%
Activision Blizzard, Inc., 6.125%, 9/15/23 (n)		$	1,590,000			$	1,701,300
AMC Networks, Inc., 7.75%, 7/15/21			863,000				912,623
Clear Channel Worldwide Holdings, Inc., “A”, 6.5%, 11/15/22			190,000				172,425
Clear Channel Worldwide Holdings, Inc., “B”, 7.625%, 3/15/20			355,000				312,400
Clear Channel Worldwide Holdings, Inc., “B”, 6.5%, 11/15/22			850,000				824,500
Discovery Communications, Inc., 1.9%, 3/19/27		EUR	425,000				394,872
Grupo Televisa S.A.B., 6.125%, 1/31/46		$	200,000				195,168
iHeartMedia, Inc., 9%, 3/01/21			1,018,000				693,513
Liberty Media Corp., 8.5%, 7/15/29			820,000				820,000
Liberty Media Corp., 8.25%, 2/01/30			210,000				206,850
Netflix, Inc., 5.375%, 2/01/21			1,680,000				1,801,800
Nexstar Broadcasting, Inc., 6.875%, 11/15/20			1,005,000				1,020,075
Omnicom Group, Inc., 3.65%, 11/01/24			77,000				77,298
ProSiebenSat.1 Media AG, 2.625%, 4/15/21		EUR	240,000				271,903
SES Global Americas Holdings GP, 2.5%, 3/25/19 (n)		$	181,000				179,168
Tribune Media Co., 5.875%, 7/15/22 (n)			940,000				940,000
						$	10,523,895
Brokerage & Asset Managers - 0.1%
Intercontinental Exchange, Inc., 2.75%, 12/01/20		$	178,000			$	180,718
Intercontinental Exchange, Inc., 3.75%, 12/01/25			292,000				302,123
						$	482,841
Building - 2.5%
Allegion PLC, 5.875%, 9/15/23		$	501,000			$	524,798
Allegion U.S. Holding Co., Inc., 5.75%, 10/01/21			1,630,000				1,707,425
Beacon Roofing Supply, Inc., 6.375%, 10/01/23 (n)			850,000				896,750
Building Materials Corp. of America, 5.375%, 11/15/24 (n)			1,250,000				1,269,538
Building Materials Corp. of America, 6%, 10/15/25 (n)			710,000				721,538
CEMEX S.A.B. de C.V., 7.25%, 1/15/21 (n)			423,000				423,000
CEMEX S.A.B. de C.V., 5.7%, 1/11/25			200,000				175,000
CRH Finance Ltd., 3.125%, 4/03/23		EUR	150,000				183,410
Elementia S.A. de C.V., 5.5%, 1/15/25 (n)		$	210,000				196,350
Gibraltar Industries, Inc., 6.25%, 2/01/21			1,045,000				1,050,225
HD Supply, Inc., 7.5%, 7/15/20			1,180,000				1,241,950
Headwaters, Inc., 7.25%, 1/15/19			535,000				547,038
Masco Corp., 4.45%, 4/01/25			85,000				84,415

 

2

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Building - continued
Mohawk Industries, Inc., 2%, 1/14/22		EUR	300,000			$	328,169
Mohawk Industries, Inc., 3.85%, 2/01/23		$	134,000				137,430
Owens Corning, Inc., 4.2%, 12/15/22			127,000				127,629
PriSo Acquisition Corp., 9%, 5/15/23 (n)			685,000				602,800
Summit Materials LLC/Summit Materials Finance Co., 6.125%, 7/15/23			1,010,000				901,425
Union Andina de Cementos S.A.A., 5.875%, 10/30/21 (n)			259,000				246,050
						$	11,364,940
Business Services - 1.6%
Cisco Systems, Inc., 2.2%, 2/28/21		$	350,000			$	353,289
Equinix, Inc., 4.875%, 4/01/20			565,000				586,188
Equinix, Inc., 5.375%, 1/01/22			305,000				316,438
Equinix, Inc., 5.375%, 4/01/23			925,000				989,473
Fidelity National Information Services, Inc., 3.875%, 6/05/24			537,000				518,896
Fidelity National Information Services, Inc., 5%, 10/15/25			138,000				143,386
Iron Mountain, Inc., REIT, 6%, 10/01/20 (n)			510,000				540,600
Iron Mountain, Inc., REIT, 6%, 8/15/23			1,540,000				1,636,250
MSCI, Inc., 5.75%, 8/15/25 (n)			145,000				156,419
NeuStar, Inc., 4.5%, 1/15/23			1,260,000				1,017,450
Tencent Holdings Ltd., 3.375%, 3/05/18 (n)			449,000				459,359
Tencent Holdings Ltd., 3.8%, 2/11/25 (n)			485,000				490,870
						$	7,208,618
Cable TV - 5.9%
Altice Financing S.A., 6.5%, 1/15/22 (n)		$	2,005,000			$	2,020,038
Altice Financing S.A., 6.625%, 2/15/23 (n)			2,145,000				2,112,825
CCO Holdings LLC/CCO Holdings Capital Corp., 7.375%, 6/01/20			250,000				260,125
CCO Holdings LLC/CCO Holdings Capital Corp., 6.5%, 4/30/21			1,965,000				2,042,372
CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/23 (n)			780,000				774,150
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 1/15/24			1,220,000				1,244,400
CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/25 (n)			335,000				331,650
CCO Safari II LLC, 6.384%, 10/23/35 (n)			217,000				226,652
Cequel Communications Holdings, 6.375%, 9/15/20 (n)			1,875,000				1,835,156
Comcast Corp., 2.75%, 3/01/23			880,000				896,757
Comcast Corp., 4.75%, 3/01/44			223,000				234,315
DISH DBS Corp., 7.875%, 9/01/19			240,000				259,978
DISH DBS Corp., 6.75%, 6/01/21			1,000,000				1,018,750
DISH DBS Corp., 5%, 3/15/23			1,065,000				942,525
DISH DBS Corp., 5.875%, 11/15/24			380,000				341,449
Intelsat Jackson Holdings S.A., 7.25%, 4/01/19			395,000				306,125
Intelsat Jackson Holdings S.A., 6.625%, 12/15/22			1,275,000				640,688
Intelsat Jackson Holdings S.A., 5.5%, 8/01/23			1,330,000				864,500
Intelsat Luxembourg S.A., 8.125%, 6/01/23			1,350,000				411,750
LGE Holdco VI B.V., 7.125%, 5/15/24 (n)		EUR	520,000				607,486
Lynx I Corp., 5.375%, 4/15/21 (n)		$	342,000				354,398
Lynx II Corp., 6.375%, 4/15/23 (n)			555,000				578,588
Neptune Finco Corp., 10.875%, 10/15/25 (n)			765,000				826,200
Shaw Communications, Inc., 5.65%, 10/01/19		CAD	260,000				210,362
SIRIUS XM Radio, Inc., 4.25%, 5/15/20 (n)		$	90,000				91,350
SIRIUS XM Radio, Inc., 5.875%, 10/01/20 (n)			120,000				125,400
SIRIUS XM Radio, Inc., 5.75%, 8/01/21 (n)			185,000				191,938
SIRIUS XM Radio, Inc., 4.625%, 5/15/23 (n)			740,000				721,500
SIRIUS XM Radio, Inc., 6%, 7/15/24 (n)			1,065,000				1,118,250
SIRIUS XM Radio, Inc., 5.375%, 4/15/25 (n)			745,000				743,138
Sky PLC, 2.5%, 9/15/26		EUR	350,000				398,022

 

3

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Cable TV - continued
Time Warner Cable, Inc., 5.75%, 6/02/31		GBP	100,000			$	135,998
Time Warner Cable, Inc., 5.25%, 7/15/42		GBP	100,000				117,993
Time Warner Cable, Inc., 4.5%, 9/15/42		$	119,000				97,222
Unitymedia Hessen, 5.5%, 1/15/23 (n)			1,350,000				1,414,125
Unitymedia KabelBW GmbH, 6.125%, 1/15/25 (n)			770,000				793,100
Virgin Media Finance PLC, 5.75%, 1/15/25 (n)			200,000				199,000
Virgin Media Secured Finance PLC, 5.25%, 1/15/26 (n)			800,000				798,000
VTR Finance B.V., 6.875%, 1/15/24 (n)			480,000				451,200
Ziggo Bond Finance B.V., 5.875%, 1/15/25 (n)			400,000				388,000
						$	27,125,475
Chemicals - 1.8%
CF Industries, Inc., 5.15%, 3/15/34		$	169,000			$	142,678
Consolidated Energy Finance S.A., 6.75%, 10/15/19 (n)			380,000				328,700
Flash Dutch 2 B.V./U.S. Coatings Acquisition, 7.375%, 5/01/21 (n)			1,080,000				1,147,500
GCP Applied Technologies Co., 9.5%, 2/01/23 (n)			475,000				508,250
Hexion U.S. Finance Corp., 6.625%, 4/15/20			525,000				414,750
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, 8.875%, 2/01/18			780,000				516,750
Huntsman International LLC, 5.125%, 4/15/21		EUR	165,000				162,443
INEOS Group Holdings S.A., 6.125%, 8/15/18 (n)		$	815,000				815,000
Israel Chemicals Ltd., 4.5%, 12/02/24 (n)			342,000				328,706
LYB International Finance B.V., 4%, 7/15/23			135,000				136,547
LyondellBasell Industries N.V., 4.625%, 2/26/55			400,000				328,678
Momentive Performance Materials, Inc., 3.88%, 10/24/21			290,000				197,200
Solvay Finance S.A., FRN, 4.199%, 5/29/49		EUR	250,000				258,833
The Chemours Co., 6.625%, 5/15/23 (n)		$	630,000				455,175
Tronox Finance LLC, 6.375%, 8/15/20			1,890,000				1,185,975
Tronox Finance LLC, 7.5%, 3/15/22 (n)			795,000				490,913
W.R. Grace & Co., 5.125%, 10/01/21 (n)			800,000				832,000
						$	8,250,098
Computer Software - 0.4%
Oracle Corp., 3.4%, 7/08/24		$	251,000			$	261,517
Syniverse Holdings, Inc., 9.125%, 1/15/19			362,000				131,225
VeriSign, Inc., 4.625%, 5/01/23			1,305,000				1,285,425
						$	1,678,167
Computer Software - Systems - 0.7%
Apple, Inc., 2.7%, 5/13/22		$	400,000			$	406,266
Apple, Inc., 3.6%, 7/31/42		GBP	230,000				306,531
CDW LLC/CDW Finance Corp., 6%, 8/15/22		$	275,000				292,188
CDW LLC/CDW Finance Corp., 5.5%, 12/01/24			395,000				407,838
Sabre GLBL, Inc., 5.375%, 4/15/23 (n)			1,865,000				1,878,988
						$	3,291,811
Conglomerates - 2.2%
Accudyne Industries Borrower S.C.A., 7.75%, 12/15/20 (n)		$	655,000			$	469,963
Amsted Industries Co., 5%, 3/15/22 (n)			2,335,000				2,288,300
BC Mountain LLC, 7%, 2/01/21 (n)			1,270,000				952,500
DH Europe Finance S.A., 1%, 7/08/19		EUR	150,000				166,534
EnerSys, 5%, 4/30/23 (n)		$	1,720,000				1,638,300
Enpro Industries, Inc., 5.875%, 9/15/22			1,685,000				1,638,663
Entegris, Inc., 6%, 4/01/22 (n)			1,575,000				1,594,688
General Electric Capital Corp., 3.1%, 1/09/23			215,000				225,191
General Electric Co., 1.25%, 5/26/23		EUR	100,000				112,212

 

4

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Conglomerates - continued
Renaissance Acquisition, 6.875%, 8/15/21 (n)		$	1,345,000			$	894,425
						$	9,980,776
Construction - 0.0%
Empresas ICA S.A.B. de C.V., 8.9%, 2/04/21 (a)(d)		$	450,000			$	70,875
Empresas ICA S.A.B. de C.V., 8.875%, 5/29/24 (a)(d)(n)			853,000				136,480
						$	207,355
Consumer Products - 0.9%
Alphabet Holding Co., Inc., 7.75%, 11/01/17		$	195,000			$	195,488
Elizabeth Arden, Inc., 7.375%, 3/15/21			290,000				165,300
Newell Rubbermaid, Inc., 4%, 12/01/24			400,000				381,348
Prestige Brands, Inc., 8.125%, 2/01/20			257,000				268,077
Prestige Brands, Inc., 5.375%, 12/15/21 (n)			1,050,000				1,036,875
Reckitt Benckiser Treasury Services PLC, 3.625%, 9/21/23 (n)			250,000				262,112
Spectrum Brands, Inc., 6.375%, 11/15/20			1,025,000				1,080,094
Spectrum Brands, Inc., 6.125%, 12/15/24			170,000				179,775
Spectrum Brands, Inc., 5.75%, 7/15/25			460,000				484,725
						$	4,053,794
Consumer Services - 2.1%
ADT Corp., 6.25%, 10/15/21		$	2,155,000			$	2,101,125
ADT Corp., 4.125%, 6/15/23			60,000				50,550
CEB, Inc., 5.625%, 6/15/23 (n)			900,000				913,500
Garda World Security Corp., 7.25%, 11/15/21 (n)			780,000				546,000
Garda World Security Corp., 7.25%, 11/15/21 (n)			660,000				462,000
Grupo Posadas S.A.B. de C.V., 7.875%, 6/30/22 (n)			800,000				742,000
Interval Acquisition Corp., 5.625%, 4/15/23 (n)			2,065,000				2,028,863
Monitronics International, Inc., 9.125%, 4/01/20			1,360,000				1,152,600
Priceline Group, Inc., 2.15%, 11/25/22		EUR	110,000				121,037
Priceline Group, Inc., 3.65%, 3/15/25		$	166,000				165,746
Priceline Group, Inc., 1.8%, 3/03/27		EUR	100,000				94,943
Service Corp. International, 5.375%, 5/15/24		$	873,000				928,654
Visa, Inc., 4.15%, 12/14/35			389,000				412,890
						$	9,719,908
Containers - 3.3%
Ardagh Packaging Finance PLC, 9.125%, 10/15/20 (n)		$	2,195,000			$	2,263,594
Ball Corp., 5%, 3/15/22			1,176,000				1,224,510
Ball Corp., 5.25%, 7/01/25			165,000				172,013
Berry Plastics Group, Inc., 5.5%, 5/15/22			1,025,000				1,066,000
Berry Plastics Group, Inc., 6%, 10/15/22 (n)			380,000				395,200
Crown American LLC, 4.5%, 1/15/23			1,304,000				1,330,080
Crown European Holdings S.A., 3.375%, 5/15/25 (z)		EUR	350,000				357,427
Multi-Color Corp., 6.125%, 12/01/22 (n)		$	1,255,000				1,264,413
Mustang Merger Corp., 8.5%, 8/15/21 (n)			15,000				15,263
Plastipak Holdings, Inc., 6.5%, 10/01/21 (n)			1,023,000				982,080
Reynolds Group, 9.875%, 8/15/19			123,000				126,690
Reynolds Group, 5.75%, 10/15/20			510,000				524,025
Reynolds Group, 8.25%, 2/15/21			2,145,000				2,107,463
Sealed Air Corp., 4.875%, 12/01/22 (n)			1,495,000				1,539,850
Sealed Air Corp., 4.5%, 9/15/23 (n)		EUR	225,000				252,721
Sealed Air Corp., 5.125%, 12/01/24 (n)		$	390,000				404,625
Signode Industrial Group, 6.375%, 5/01/22 (n)			1,360,000				1,156,000
						$	15,181,954

 

5

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Defense Electronics - 0.1%
BAE Systems PLC, 4.125%, 6/08/22		GBP	150,000			$	225,687
Electrical Equipment - 0.1%
Arrow Electronics, Inc., 3.5%, 4/01/22		$	173,000			$	171,666
Avaya, Inc., 10.5%, 3/01/21 (n)			325,000				82,875
						$	254,541
Electronics - 1.4%
Advanced Micro Devices, Inc., 6.75%, 3/01/19		$	1,045,000			$	762,850
Advanced Micro Devices, Inc., 7%, 7/01/24			575,000				359,375
Micron Technology, Inc., 5.875%, 2/15/22			890,000				817,599
Micron Technology, Inc., 5.5%, 2/01/25			935,000				785,400
NXP B.V., 5.75%, 3/15/23 (n)			1,730,000				1,790,550
Sensata Technologies B.V., 5.625%, 11/01/24 (n)			520,000				535,600
Sensata Technologies B.V., 5%, 10/01/25 (n)			835,000				820,388
Tyco Electronics Group S.A., 2.375%, 12/17/18			294,000				295,305
Tyco Electronics Group S.A., 1.1%, 3/01/23		EUR	350,000				376,678
						$	6,543,745
Emerging Market Quasi-Sovereign - 1.0%
CNPC General Capital Ltd., 3.4%, 4/16/23 (n)		$	293,000			$	293,609
Comision Federal de Electricidad, 4.875%, 1/15/24			234,000				234,293
Corporacion Financiera de Desarrollo S.A., FRN, 5.25%, 7/15/29 (n)			819,000				792,383
Empresa Nacional del Petroleo, 4.375%, 10/30/24 (n)			200,000				193,612
Gaz Capital S.A., 4.95%, 2/06/28			383,000				325,473
Majapahit Holding B.V., 7.25%, 6/28/17 (n)			591,000				626,460
Office Cherifien des Phosphates, 6.875%, 4/25/44 (n)			351,000				340,997
ONGC Videsh Ltd., 4.625%, 7/15/24			511,000				514,734
Pemex Project Funding Master Trust, 5.75%, 3/01/18			642,000				663,507
Pertamina PT, 6%, 5/03/42 (n)			318,000				264,273
Petroleos Mexicanos, 4.875%, 1/24/22			246,000				236,037
Petroleos Mexicanos, 6.875%, 8/04/26 (n)			59,000				61,095
						$	4,546,473
Emerging Market Sovereign - 3.0%
Dominican Republic, 7.5%, 5/06/21 (n)		$	548,000			$	590,470
Dominican Republic, 5.875%, 4/18/24 (n)			121,000				119,790
Dominican Republic, 8.625%, 4/20/27			891,000				984,555
Republic of Angola, 7%, 8/16/19			421,750				405,627
Republic of Croatia, 5.5%, 4/04/23 (n)			2,108,000				2,197,194
Republic of Hungary, 5.375%, 2/21/23			672,000				739,234
Republic of Indonesia, 11.625%, 3/04/19 (n)			571,000				718,673
Republic of Indonesia, 2.875%, 7/08/21 (z)		EUR	175,000				190,753
Republic of Indonesia, 3.375%, 4/15/23 (n)		$	302,000				290,779
Republic of Indonesia, 4.125%, 1/15/25 (n)			342,000				339,307
Republic of Kazakhstan, 5.125%, 7/21/25 (n)			341,000				345,706
Republic of Panama, 3.75%, 3/16/25			204,000				206,550
Republic of Panama, 9.375%, 4/01/29			719,000				1,065,918
Republic of Paraguay, 6.1%, 8/11/44 (n)			550,000				534,875
Republic of Romania, 6.75%, 2/07/22 (n)			592,000				705,960
Republic of Slovakia, 4.375%, 5/21/22 (n)			688,000				782,036
Republic of Turkey, 3.25%, 3/23/23			633,000				584,094
Russian Federation, 4.875%, 9/16/23 (n)			400,000				413,240
United Mexican States, 6.5%, 6/10/21		MXN	38,500,000				2,213,599
United Mexican States, 3.625%, 3/15/22		$	506,000				517,132
						$	13,945,492

 

6

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Energy - Independent - 1.9%
Afren PLC, 15%, 4/25/16 (d)(p)		$	388,334			$	110,675
Afren PLC, 10.25%, 4/08/19 (a)(d)(n)			463,000				926
Baytex Energy Corp., 5.625%, 6/01/24 (n)			505,000				275,225
Bonanza Creek Energy, Inc., 6.75%, 4/15/21			760,000				226,100
Bonanza Creek Energy, Inc., 5.75%, 2/01/23			180,000				45,000
Chaparral Energy, Inc., 7.625%, 11/15/22			1,830,000				128,100
Chesapeake Energy Corp., 5.75%, 3/15/23			1,825,000				383,250
Concho Resources, Inc., 5.5%, 4/01/23			1,455,000				1,353,150
EP Energy LLC, 9.375%, 5/01/20			435,000				127,238
EP Energy LLC, 7.75%, 9/01/22			2,360,000				637,200
Halcon Resources Corp., 8.875%, 5/15/21			1,000,000				110,000
Linn Energy LLC/Linn Energy Finance Corp., 8.625%, 4/15/20			615,000				29,213
Linn Energy LLC/Linn Energy Finance Corp., 7.75%, 2/01/21			1,668,000				64,635
Linn Energy LLC/Linn Energy Finance Corp., 6.5%, 9/15/21			600,000				25,500
Northern Blizzard Resources, Inc., 7.25%, 2/01/22 (n)			587,000				440,250
Oasis Petroleum, Inc., 6.875%, 3/15/22			895,000				523,575
Pioneer Natural Resources Co., 3.95%, 7/15/22			175,000				166,101
QEP Resources, Inc., 5.25%, 5/01/23			2,170,000				1,519,000
RSP Permian, Inc., 6.625%, 10/01/22			1,205,000				1,078,475
Sanchez Energy Corp., 6.125%, 1/15/23			1,430,000				507,650
SM Energy Co., 6.5%, 11/15/21			1,345,000				605,250
SM Energy Co., 6.125%, 11/15/22			645,000				280,575
WPX Energy, Inc., 6%, 1/15/22			410,000				234,725
						$	8,871,813
Energy - Integrated - 0.4%
Chevron Corp., 3.326%, 11/17/25		$	52,000			$	52,109
Inkia Energy Ltd., 8.375%, 4/04/21			754,000				731,380
Listrindo Capital B.V., 6.95%, 2/21/19 (n)			200,000				203,240
LUKOIL International Finance B.V., 4.563%, 4/24/23 (n)			544,000				495,388
Pacific Exploration and Production Corp., 7.25%, 12/12/21 (n)			1,107,000				127,305
Pacific Exploration and Production Corp., 5.125%, 3/28/23 (n)			201,000				20,854
Pacific Exploration and Production Corp., 5.625%, 1/19/25 (n)			173,000				18,165
TOTAL S.A., 2.625% to 2/26/25, FRN to 12/29/49		EUR	200,000				190,570
						$	1,839,011
Entertainment - 1.5%
Carmike Cinemas, Inc., 6%, 6/15/23 (n)		$	650,000			$	683,313
Carnival Corp., 1.875%, 11/07/22		EUR	330,000				361,329
Cedar Fair LP, 5.25%, 3/15/21		$	1,215,000				1,256,006
Cedar Fair LP, 5.375%, 6/01/24			405,000				417,150
Cinemark USA, Inc., 5.125%, 12/15/22			1,430,000				1,453,238
Cinemark USA, Inc., 4.875%, 6/01/23			780,000				780,000
NCL Corp. Ltd., 5.25%, 11/15/19 (n)			815,000				815,000
Six Flags Entertainment Corp., 5.25%, 1/15/21 (n)			1,255,000				1,283,049
						$	7,049,085
Financial Institutions - 4.1%
Aircastle Ltd., 4.625%, 12/15/18		$	130,000			$	131,794
Aircastle Ltd., 5.125%, 3/15/21			1,470,000				1,473,675
Aircastle Ltd., 5.5%, 2/15/22			870,000				868,913
CIT Group, Inc., 5.25%, 3/15/18			1,270,000				1,306,513
CIT Group, Inc., 6.625%, 4/01/18 (n)			1,305,000				1,371,881
CIT Group, Inc., 5.5%, 2/15/19 (n)			1,560,000				1,614,600
CIT Group, Inc., 5%, 8/15/22			275,000				276,031

 

7

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Financial Institutions - continued
Credit Acceptance Co., 7.375%, 3/15/23 (n)		$	1,180,000			$	1,115,100
GE Capital International Funding Co., 3.373%, 11/15/25 (n)			558,000				583,712
Icahn Enterprises LP, 6%, 8/01/20			1,200,000				1,116,000
Icahn Enterprises LP, 5.875%, 2/01/22			1,560,000				1,361,100
Nationstar Mortgage LLC/Capital Corp., 6.5%, 8/01/18			615,000				601,163
Nationstar Mortgage LLC/Capital Corp., 7.875%, 10/01/20			2,310,000				2,177,175
Navient Corp., 8%, 3/25/20			1,135,000				1,120,813
Navient Corp., 5.875%, 3/25/21			405,000				355,388
Navient Corp., 7.25%, 1/25/22			2,235,000				2,033,850
Navient Corp., 6.125%, 3/25/24			515,000				431,004
PHH Corp., 6.375%, 8/15/21			1,055,000				923,125
						$	18,861,837
Food & Beverages - 1.8%
Anheuser-Busch InBev S.A., 6.875%, 11/15/19		$	300,000			$	350,968
Anheuser-Busch InBev Worldwide, Inc., 3.3%, 2/01/23			408,000				419,267
Anheuser-Busch InBev Worldwide, Inc., 4.7%, 2/01/36			533,000				558,769
Coca-Cola Co., 0.75%, 3/09/23		EUR	175,000				191,190
Coca-Cola Co., 1.125%, 3/09/27		EUR	125,000				134,219
Coca-Cola Enterprises, Inc., 1.875%, 3/18/30		EUR	200,000				203,920
Darling Ingredients, Inc., 5.375%, 1/15/22		$	1,045,000				1,029,325
Gruma S.A.B. de C.V., 4.875%, 12/01/24 (n)			202,000				210,393
J.M. Smucker Co., 2.5%, 3/15/20			365,000				368,029
J.M. Smucker Co., 4.375%, 3/15/45			70,000				69,968
Kraft Heinz Co., 5%, 7/15/35 (n)			102,000				106,324
Kraft Heinz Foods Co., 3.5%, 7/15/22 (n)			202,000				208,017
Mead Johnson Nutrition Co., 3%, 11/15/20			287,000				290,000
Minerva Luxembourg S.A., 7.75%, 1/31/23 (n)			204,000				192,882
PepsiCo, Inc., 2.15%, 10/14/20			858,000				868,433
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.875%, 1/15/24 (n)			290,000				305,950
SABMiller Holdings, Inc., 1.875%, 1/20/20		EUR	100,000				114,778
Sun Merger Sub, Inc., 5.875%, 8/01/21 (n)		$	1,890,000				1,922,489
Tyson Foods, Inc., 6.6%, 4/01/16			412,000				413,739
Tyson Foods, Inc., 5.15%, 8/15/44			81,000				86,512
Wm. Wrigley Jr. Co., 2.9%, 10/21/19 (n)			107,000				108,515
Wm. Wrigley Jr. Co., 3.375%, 10/21/20 (n)			300,000				309,433
						$	8,463,120
Food & Drug Stores - 0.5%
CVS Health Corp., 3.375%, 8/12/24		$	340,000			$	352,068
CVS Health Corp., 4.875%, 7/20/35			121,000				129,983
CVS Health Corp., 5.75%, 6/01/17			155,000				163,469
CVS Health Corp., 3.5%, 7/20/22			667,000				696,602
Walgreens Boots Alliance, Inc., 2.7%, 11/18/19			333,000				334,791
Walgreens Boots Alliance, Inc., 2.875%, 11/20/20		GBP	250,000				348,649
Walgreens Boots Alliance, Inc., 4.5%, 11/18/34		$	326,000				294,205
						$	2,319,767
Forest & Paper Products - 0.2%
Appvion, Inc., 9%, 6/01/20 (n)		$	595,000			$	198,581
Smurfit Kappa Acquisitions, 2.75%, 2/01/25 (z)		EUR	275,000				282,705
Tembec Industries, Inc., 9%, 12/15/19 (n)		$	475,000				306,375
						$	787,661

 

8

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Gaming & Lodging - 2.3%
CCM Merger, Inc., 9.125%, 5/01/19 (n)		$	1,055,000			$	1,073,463
GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/01/23			1,280,000				1,260,800
Greektown Holdings LLC, 8.875%, 3/15/19 (n)			1,025,000				999,375
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.625%, 10/15/21			1,890,000				1,960,875
Isle of Capri Casinos, Inc., 8.875%, 6/15/20			300,000				315,000
Isle of Capri Casinos, Inc., 5.875%, 3/15/21			1,070,000				1,102,100
MGM Resorts International, 6.625%, 12/15/21			960,000				1,020,000
MGM Resorts International, 6%, 3/15/23			1,205,000				1,235,125
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/21			1,260,000				1,266,300
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/23			345,000				344,138
						$	10,577,176
Industrial - 0.9%
Anixter, Inc., 5.125%, 10/01/21		$	765,000			$	742,050
Dematic S.A., 7.75%, 12/15/20 (n)			1,515,000				1,499,850
Howard Hughes Corp., 6.875%, 10/01/21 (n)			1,790,000				1,760,913
						$	4,002,813
Insurance - 0.5%
Allianz SE, 2.241%, 7/07/45		EUR	300,000			$	302,930
American International Group, Inc., 4.875%, 6/01/22		$	187,000				199,467
American International Group, Inc., 3.75%, 7/10/25			400,000				392,492
Aviva PLC, 3.375%, 12/04/45		EUR	260,000				245,911
CNP Assurances S.A., 6% to 9/14/20, FRN to 9/14/40		EUR	200,000				230,124
Delta Lloyd N.V., FRN, 9%, 8/29/42		EUR	250,000				286,077
Old Mutual PLC, 7.875%, 11/03/25		GBP	250,000				339,677
Unum Group, 7.125%, 9/30/16		$	500,000				515,086
						$	2,511,764
Insurance - Health - 0.3%
Centene Escrow Corp., 5.625%, 2/15/21 (n)		$	495,000			$	517,275
Centene Escrow Corp., 6.125%, 2/15/24 (n)			495,000				525,319
UnitedHealth Group, Inc., 2.7%, 7/15/20			528,000				542,480
						$	1,585,074
Insurance - Property & Casualty - 0.4%
ACE INA Holdings, Inc., 2.3%, 11/03/20		$	95,000			$	95,551
ACE INA Holdings, Inc., 2.875%, 11/03/22			221,000				224,874
Amlin PLC, 6.5% to 12/19/16, FRN to 12/19/26		GBP	100,000				137,271
Berkshire Hathaway, Inc., 1.625%, 3/16/35		EUR	150,000				144,216
Berkshire Hathaway, Inc., 4.5%, 2/11/43		$	250,000				251,951
Liberty Mutual Group, Inc., 4.25%, 6/15/23			109,000				111,657
Marsh & McLennan Cos., Inc., 3.5%, 6/03/24			159,000				159,134
QBE Capital Funding III Ltd., 7.5% to 5/24/21, FRN to 5/24/41		GBP	200,000				292,476
ZFS Finance USA Trust V, 6.5% to 5/09/17, FRN to 5/09/67 (n)		$	627,000				621,044
						$	2,038,174
International Market Quasi-Sovereign - 0.1%
Electricite de France S.A., 5.375% to 1/29/25, FRN to 1/29/49		EUR	200,000			$	200,550
Electricite de France S.A., 6% to 1/29/26, FRN to 12/29/49		GBP	100,000				118,440
						$	318,990
International Market Sovereign - 8.8%
Commonwealth of Australia, 5.75%, 5/15/21		AUD	4,365,000			$	3,696,874
Commonwealth of Australia, 3.75%, 4/21/37		AUD	600,000				477,527

 

9

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
International Market Sovereign - continued
Federal Republic of Germany, 6.25%, 1/04/30		EUR	442,000			$	866,212
Federal Republic of Germany, 2.5%, 7/04/44		EUR	120,000				187,111
Government of Canada, 3.25%, 6/01/21		CAD	187,000				156,314
Government of Canada, 2.5%, 6/01/24		CAD	5,700,000				4,680,867
Government of Canada, 5.75%, 6/01/33		CAD	948,000				1,110,386
Government of Japan, 2.1%, 9/20/24		JPY	18,600,000				196,610
Government of Japan, 0.3%, 12/20/25		JPY	16,400,000				150,661
Government of Japan, 2.2%, 9/20/27		JPY	392,000,000				4,347,270
Government of Japan, 2.4%, 3/20/37		JPY	113,400,000				1,352,191
Government of Japan, 1.8%, 3/20/43		JPY	81,000,000				885,451
Government of New Zealand, 5.5%, 4/15/23		NZD	2,369,000				1,848,280
Government of Norway, 3.75%, 5/25/21		NOK	31,200,000				4,124,746
Government of Norway, 3%, 3/14/24		NOK	2,445,000				321,352
Kingdom of Spain, 4.6%, 7/30/19		EUR	1,130,000				1,410,092
Kingdom of Spain, 5.4%, 1/31/23		EUR	1,416,000				1,986,612
Republic of France, 4.75%, 4/25/35		EUR	468,000				822,077
Republic of Ireland, 4.5%, 4/18/20		EUR	222,000				286,454
Republic of Italy, 3.75%, 3/01/21		EUR	3,142,000				3,970,365
Republic of Italy, 5.5%, 9/01/22		EUR	925,000				1,302,415
Republic of Portugal, 4.95%, 10/25/23		EUR	1,228,000				1,550,449
United Kingdom Treasury, 4.25%, 12/07/27		GBP	938,000				1,688,413
United Kingdom Treasury, 4.25%, 3/07/36		GBP	1,415,000				2,653,465
United Kingdom Treasury, 3.25%, 1/22/44		GBP	350,000				581,811
						$	40,654,005
Local Authorities - 0.1%
Province of Alberta, 1.25%, 6/01/20		CAD	188,000			$	138,317
Province of Manitoba, 4.15%, 6/03/20		CAD	166,000				136,798
						$	275,115
Machinery & Tools - 1.1%
Ashtead Capital, Inc., 5.625%, 10/01/24 (n)		$	1,185,000			$	1,173,150
CNH Industrial Capital LLC, 4.375%, 11/06/20			1,210,000				1,161,600
H&E Equipment Services Co., 7%, 9/01/22			1,740,000				1,657,350
Jurassic Holdings III, Inc., 6.875%, 2/15/21 (n)			1,200,000				732,000
Light Tower Rentals, Inc., 8.125%, 8/01/19 (n)			815,000				370,825
						$	5,094,925
Major Banks - 2.9%
ABN AMRO North America Finance, Inc., 7.125%, 7/06/22		EUR	150,000			$	201,777
Bank of America Corp., 7.625%, 6/01/19		$	370,000				426,348
Bank of America Corp., FRN, 6.1%, 12/29/49			3,467,000				3,362,990
Barclays Bank PLC, 6%, 1/14/21		EUR	150,000				183,493
Barclays Bank PLC, 6.75% to 1/16/18, FRN to 1/16/23		GBP	100,000				144,508
Credit Agricole S.A., 7.375%, 12/18/23		GBP	100,000				164,326
Credit Agricole S.A., 7.875% to 10/26/19, FRN to 10/29/49		EUR	200,000				243,407
Credit Suisse Group AG, 6.5%, 8/08/23 (n)		$	200,000				205,898
Goldman Sachs Group, Inc., 5.75%, 1/24/22			500,000				568,047
Huntington National Bank, 2.4%, 4/01/20			286,000				284,040
JPMorgan Chase & Co., 6.3%, 4/23/19			500,000				561,085
JPMorgan Chase & Co., 3.25%, 9/23/22			478,000				485,621
JPMorgan Chase & Co., 6.75% to 2/01/24, FRN to 1/29/49			215,000				227,900
JPMorgan Chase & Co., 6% to 8/01/23, FRN to 12/29/49			2,320,000				2,296,800
Morgan Stanley, 6.625%, 4/01/18			391,000				425,426
Morgan Stanley, 2.2%, 12/07/18			238,000				238,779

 

10

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Major Banks - continued
Morgan Stanley, 3.95%, 4/23/27		$	229,000			$	221,181
Nationwide Building Society, 1.25%, 3/03/25		EUR	240,000				250,575
PNC Bank N.A., 2.6%, 7/21/20		$	295,000				299,829
Royal Bank of Scotland Group PLC, 5.5%, 3/23/20		EUR	150,000				193,275
Royal Bank of Scotland Group PLC, 3.625% to 3/25/19, FRN to 3/25/24		EUR	250,000				261,512
Royal Bank of Scotland Group PLC, 7.5% to 8/10/20, FRN to 12/29/49		$	1,440,000				1,299,456
Royal Bank of Scotland Group PLC, 8% to 8/10/25, FRN to 12/29/49			200,000				182,500
Wells Fargo & Co., 4.1%, 6/03/26			100,000				103,277
Wells Fargo & Co., 5.875% to 6/15/25, FRN to 12/29/49			151,000				159,879
Wells Fargo & Co., 5.9% to 6/15/24, FRN to 12/29/49			253,000				253,633
						$	13,245,562
Medical & Health Technology & Services - 4.4%
Becton, Dickinson and Co., 2.675%, 12/15/19		$	434,000			$	443,081
Becton, Dickinson and Co., 3.734%, 12/15/24			97,000				100,183
CHS/Community Health Systems, Inc., 6.875%, 2/01/22			2,250,000				1,929,375
Davita Healthcare Partners, Inc., 5%, 5/01/25			1,115,000				1,112,213
Davita, Inc., 5.125%, 7/15/24			935,000				951,363
Fresenius US Finance II, Inc., 4.25%, 2/01/21 (n)			32,000				32,480
HCA, Inc., 4.25%, 10/15/19			145,000				149,350
HCA, Inc., 7.5%, 2/15/22			2,660,000				3,005,268
HCA, Inc., 5.875%, 3/15/22			1,665,000				1,785,713
HCA, Inc., 5%, 3/15/24			690,000				703,800
HCA, Inc., 5.375%, 2/01/25			520,000				529,750
HCA, Inc., 5.875%, 2/15/26			415,000				427,450
HealthSouth Corp., 5.125%, 3/15/23			1,180,000				1,162,300
HealthSouth Corp., 5.75%, 11/01/24 (n)			910,000				919,100
Laboratory Corp. of America Holdings, 3.2%, 2/01/22			200,000				198,859
Laboratory Corp. of America Holdings, 4.7%, 2/01/45			310,000				292,307
LifePoint Hospitals, Inc., 5.5%, 12/01/21			730,000				753,725
McKesson Corp., 7.5%, 2/15/19			110,000				126,077
TeamHealth, Inc., 7.25%, 12/15/23 (n)			210,000				220,500
Tenet Healthcare Corp., 8%, 8/01/20			2,015,000				2,035,150
Tenet Healthcare Corp., 4.5%, 4/01/21			920,000				914,250
Tenet Healthcare Corp., 8.125%, 4/01/22			685,000				673,437
Tenet Healthcare Corp., 6.75%, 6/15/23			610,000				552,813
Universal Health Services, Inc., 7.625%, 8/15/20			1,325,000				1,149,438
						$	20,167,982
Medical Equipment - 1.0%
Alere, Inc., 6.375%, 7/01/23 (n)		$	633,000			$	694,718
DJO Finco, Inc., 8.125%, 6/15/21 (n)			865,000				724,438
Hologic, Inc., 5.25%, 7/15/22 (n)			1,065,000				1,115,481
Medtronic, Inc., 3.5%, 3/15/25			615,000				645,730
Teleflex, Inc., 5.25%, 6/15/24			1,220,000				1,235,250
Zimmer Holdings, Inc., 4.25%, 8/15/35			145,000				134,712
Zimmer Holdings, Inc., 4.45%, 8/15/45			91,000				83,670
						$	4,633,999
Metals & Mining - 2.6%
Barrick North America Finance LLC, 5.75%, 5/01/43		$	235,000			$	193,552
Cameco Corp., 5.67%, 9/02/19		CAD	262,000				210,369
Century Aluminum Co., 7.5%, 6/01/21 (n)		$	915,000				590,175
Commercial Metals Co., 4.875%, 5/15/23			1,065,000				915,900
Consol Energy, Inc., 5.875%, 4/15/22			1,315,000				858,038

 

11

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Metals & Mining - continued
Consol Energy, Inc., 8%, 4/01/23		$	830,000			$	556,100
First Quantum Minerals Ltd., 7.25%, 10/15/19 (n)			1,575,000				866,250
First Quantum Minerals Ltd., 7.25%, 5/15/22 (n)			1,032,000				510,840
Freeport-McMoRan Oil & Gas LLC, 6.875%, 2/15/23			296,000				213,120
Freeport-McMoRan, Inc., 5.45%, 3/15/43			380,000				220,400
Glencore Finance (Europe) S.A., 6.5%, 2/27/19		GBP	50,000				66,861
Glencore Finance (Europe) S.A., 1.25%, 3/17/21		EUR	330,000				287,701
GrafTech International Co., 6.375%, 11/15/20		$	1,235,000				716,300
Hudbay Minerals, Inc., 9.5%, 10/01/20			960,000				547,546
Kinross Gold Corp., 5.95%, 3/15/24			435,000				348,000
Lundin Mining Corp., 7.5%, 11/01/20 (n)			455,000				402,675
Lundin Mining Corp., 7.875%, 11/01/22 (n)			805,000				660,100
Southern Copper Corp., 5.25%, 11/08/42			250,000				186,808
Southern Copper Corp., 5.875%, 4/23/45			238,000				188,177
Steel Dynamics, Inc., 5.125%, 10/01/21			430,000				419,250
Steel Dynamics, Inc., 5.25%, 4/15/23			755,000				707,813
Steel Dynamics, Inc., 5.5%, 10/01/24			430,000				403,125
Suncoke Energy Partners LP/Suncoke Energy Partners Finance Corp., 7.375%, 2/01/20 (n)			380,000				239,400
Suncoke Energy Partners LP/Suncoke Energy Partners Finance Corp., 7.375%, 2/01/20 (n)			910,000				573,300
Suncoke Energy, Inc., 7.625%, 8/01/19			127,000				123,190
TMS International Corp., 7.625%, 10/15/21 (n)			675,000				511,313
Xstrata Finance (Canada) Ltd., 5.25%, 6/13/17		EUR	200,000				222,623
						$	11,738,926
Midstream - 4.6%
AmeriGas Finance LLC, 6.75%, 5/20/20		$	1,810,000			$	1,837,150
APT Pipelines Ltd., 5%, 3/23/35 (n)			280,000				257,137
Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/22 (n)			1,160,000				870,000
Crestwood Midstream Partners LP, 6%, 12/15/20			1,035,000				747,788
Crestwood Midstream Partners LP, 6.125%, 3/01/22			505,000				363,600
Dominion Gas Holdings LLC, 2.8%, 11/15/20			270,000				273,432
Energy Transfer Equity LP, 7.5%, 10/15/20			1,925,000				1,761,375
Energy Transfer Partners LP, 3.6%, 2/01/23			300,000				248,833
Energy Transfer Partners LP, 5.15%, 3/15/45			280,000				203,654
Enterprise Products Operating LLC, 1.65%, 5/07/18			296,000				285,978
Enterprise Products Operating LLC, 4.85%, 3/15/44			74,000				63,497
Enterprise Products Partners LP, 6.3%, 9/15/17			180,000				188,994
Ferrellgas LP/Ferrellgas Finance Corp., 6.5%, 5/01/21			1,165,000				891,225
Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, 1/15/22			1,250,000				900,000
Kinder Morgan (Delaware), Inc., 7.75%, 1/15/32			2,511,000				2,403,730
Kinder Morgan (Delaware), Inc., 5.55%, 6/01/45			49,000				40,678
Kinder Morgan Energy Partners LP, 5.3%, 9/15/20			370,000				362,975
Kinder Morgan Energy Partners LP, 5.4%, 9/01/44			140,000				109,574
Kinder Morgan, Inc., 2.25%, 3/16/27		EUR	125,000				109,446
MPLX LP, 5.5%, 2/15/23 (n)		$	665,000				593,513
MPLX LP, 4.5%, 7/15/23 (n)			1,150,000				956,661
Pembina Pipeline Corp., 4.81%, 3/25/44		CAD	306,000				190,731
Sabine Pass Liquefaction LLC, 5.625%, 2/01/21		$	1,305,000				1,245,459
Sabine Pass Liquefaction LLC, 5.625%, 4/15/23			1,755,000				1,618,988
Sabine Pass Liquefaction LLC, 5.75%, 5/15/24			575,000				529,357
Sabine Pass Liquefaction LLC, 5.625%, 3/01/25			1,074,000				974,655
Spectra Energy Capital LLC, 8%, 10/01/19			250,000				265,526
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.5%, 7/01/21			530,000				397,500
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.5%, 8/15/22			925,000				601,250
Sunoco Logistics Partners LP, 5.3%, 4/01/44			78,000				57,584

 

12

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Midstream - continued
Targa Resources Partners LP/Targa Resources Finance Corp., 5%, 1/15/18		$	345,000			$	330,551
Targa Resources Partners LP/Targa Resources Finance Corp., 4.125%, 11/15/19			1,050,000				926,625
Targa Resources Partners LP/Targa Resources Finance Corp., 5.25%, 5/01/23			410,000				320,825
Williams Cos., Inc., 3.7%, 1/15/23			450,000				333,000
Williams Partners LP, 4.875%, 3/15/24			100,000				79,856
						$	21,341,147
Mortgage-Backed - 1.4%
Fannie Mae, 6%, 7/01/16 - 2/01/37		$	147,441			$	164,113
Fannie Mae, 5.5%, 9/01/19 - 7/01/35			467,386				509,571
Fannie Mae, 6.5%, 4/01/32 - 1/01/33			62,872				74,250
Fannie Mae, FRN, 0.673%, 5/25/18			5,816,674				5,777,508
Freddie Mac, 6%, 8/01/34			98,446				113,293
						$	6,638,735
Natural Gas - Distribution - 0.1%
GNL Quintero S.A., 4.634%, 7/31/29 (n)		$	523,000			$	494,235
Network & Telecom - 2.1%
AT&T, Inc., 2.45%, 6/30/20		$	277,000			$	275,259
AT&T, Inc., 5.65%, 2/15/47			456,000				472,253
British Telecom PLC, 5.75%, 12/07/28		GBP	150,000				254,274
Centurylink, Inc., 6.45%, 6/15/21		$	1,215,000				1,233,978
Centurylink, Inc., 7.65%, 3/15/42			960,000				787,200
Columbus International, Inc., 7.375%, 3/30/21 (n)			200,000				207,600
Frontier Communications Corp., 8.125%, 10/01/18			470,000				486,450
Frontier Communications Corp., 6.25%, 9/15/21			315,000				279,169
Frontier Communications Corp., 7.125%, 1/15/23			425,000				369,618
Frontier Communications Corp., 11%, 9/15/25 (n)			350,000				350,438
Frontier Communications Corp., 9%, 8/15/31			1,135,000				925,025
OTE PLC, 3.5%, 7/09/20		EUR	260,000				250,173
Telecom Italia Capital, 6%, 9/30/34		$	305,000				263,063
Telecom Italia Finance S.A., 7.75%, 1/24/33		EUR	85,000				112,690
Telecom Italia S.p.A., 5.375%, 1/29/19		EUR	200,000				239,714
Telecom Italia S.p.A., 5.303%, 5/30/24 (n)		$	1,200,000				1,164,000
Telefonica Celular del Paraguay S.A., 6.75%, 12/13/22			517,000				482,103
Verizon Communications, Inc., 4.5%, 9/15/20			503,000				546,972
Verizon Communications, Inc., 5.15%, 9/15/23			250,000				283,025
Verizon Communications, Inc., 2.625%, 12/01/31		EUR	225,000				256,381
Verizon Communications, Inc., 6.4%, 9/15/33		$	300,000				349,571
						$	9,588,956
Oil Services - 0.6%
Bristow Group, Inc., 6.25%, 10/15/22		$	2,348,000			$	1,326,620
Odebrecht Offshore Drilling Finance Ltd., 6.75%, 10/01/22 (n)			950,619				185,371
Pacific Drilling S.A., 5.375%, 6/01/20 (n)			1,160,000				232,000
QGOG Constellation S.A., 6.25%, 11/09/19 (n)			1,390,000				639,400
Shale-Inland Holdings LLC/Finance Co., 8.75%, 11/15/19 (n)			780,000				483,600
						$	2,866,991
Oils - 0.4%
CITGO Holding, Inc., 10.75%, 2/15/20 (n)		$	535,000			$	486,850
CITGO Petroleum Corp., 6.25%, 8/15/22 (n)			1,345,000				1,244,125
Valero Energy Corp., 4.9%, 3/15/45			232,000				186,129
						$	1,917,104

 

13

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Other Banks & Diversified Financials - 1.5%
Banco de Credito del Peru, 6.125% to 4/24/22, FRN to 4/24/27 (n)		$	518,000			$	540,274
Banco Inbursa S.A. Institucion de Banca Multiple Grupo Financiero Inbursa, 4.125%, 6/06/24 (n)			310,000				291,013
Banco Popolare Societa Cooperativa, 3.5%, 3/14/19		EUR	320,000				351,906
Bankia S.A., 3.5%, 1/17/19		EUR	200,000				226,241
Banque Federative du Credit Mutuel S.A., 3%, 5/21/24		EUR	200,000				232,228
BBVA Bancomer S.A. de C.V., 6.75%, 9/30/22 (n)		$	1,004,000				1,068,959
CaixaBank S.A., 5% to 9/04/18, FRN to 11/14/23		EUR	200,000				219,419
Capital One Bank (USA) N.A., 3.375%, 2/15/23		$	384,000				373,492
Capital One Financial Corp., 2.35%, 8/17/18			806,000				802,258
Discover Bank, 7%, 4/15/20			250,000				281,856
Discover Bank, 4.25%, 3/13/26			148,000				146,332
Groupe BPCE S.A., 12.5% to 9/30/19, FRN to 8/29/49 (n)			1,513,000				1,854,681
Halyk Savings Bank of Kazakhstan B.V., 7.25%, 1/28/21			258,000				255,110
Intesa Sanpaolo S.p.A., 5.25%, 1/28/22		GBP	100,000				152,766
						$	6,796,535
Pharmaceuticals - 2.9%
AbbVie, Inc., 2.5%, 5/14/20		$	717,000			$	717,821
Actavis Funding SCS, 3.8%, 3/15/25			256,000				263,538
Actavis Funding SCS, 4.85%, 6/15/44			52,000				53,367
Allergan PLC, 1.875%, 10/01/17			200,000				200,163
Bayer AG, 3.00% to 7/01/20, FRN to 7/01/75		EUR	215,000				234,169
Biogen, Inc., 5.2%, 9/15/45		$	279,000				285,787
Capsugel S.A., 7%, 5/15/19 (n)(p)			235,000				235,294
Celgene Corp., 2.875%, 8/15/20			524,000				530,138
Endo Finance LLC/Endo Finco, Inc., 6%, 7/15/23 (n)			310,000				313,100
Endo Finance LLC/Endo Finco, Inc., 7.75%, 1/15/22 (n)			1,690,000				1,753,375
Endo Finance LLC/Endo Finco, Inc., 6%, 2/01/25 (n)			450,000				447,750
Forest Laboratories, Inc., 4.375%, 2/01/19 (n)			496,000				521,757
Gilead Sciences, Inc., 2.35%, 2/01/20			52,000				52,540
Gilead Sciences, Inc., 3.7%, 4/01/24			268,000				282,579
Gilead Sciences, Inc., 4.75%, 3/01/46			203,000				214,053
Johnson & Johnson, 2.05%, 3/01/23			245,000				245,204
Mallinckrodt International Finance S.A., 5.75%, 8/01/22 (n)			1,085,000				1,071,438
Mallinckrodt International Finance S.A., 5.5%, 4/15/25 (n)			280,000				263,900
Mylan, Inc., 2.55%, 3/28/19			265,000				260,981
Perrigo Finance PLC, 3.5%, 12/15/21			281,000				278,445
Valeant Pharmaceuticals International, Inc., 7%, 10/01/20 (n)			1,740,000				1,639,950
Valeant Pharmaceuticals International, Inc., 7.25%, 7/15/22 (n)			1,692,000				1,548,180
Valeant Pharmaceuticals International, Inc., 5.5%, 3/01/23 (n)			260,000				216,450
Vantage Point Imaging, 7.5%, 7/15/21 (n)			525,000				494,813
VRX Escrow Corp., 5.875%, 5/15/23 (n)			1,250,000				1,054,688
						$	13,179,480
Precious Metals & Minerals - 0.5%
Aurico Gold, Inc., 7.75%, 4/01/20 (n)		$	625,000			$	529,688
Eldorado Gold Corp., 6.125%, 12/15/20 (n)			1,980,000				1,655,775
						$	2,185,463
Printing & Publishing - 1.1%
American Media, Inc., 13.5%, 6/15/18 (z)		$	11,911			$	11,576
Nielsen Finance LLC, 5%, 4/15/22 (n)			1,680,000				1,701,000
Outdoor Americas Capital LLC/Outfront Media Capital Corp., 5.625%, 2/15/24			1,070,000				1,113,463
TEGNA, Inc., 5.125%, 7/15/20			260,000				271,700
TEGNA, Inc., 4.875%, 9/15/21 (n)			430,000				440,750

 

14

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Printing & Publishing - continued
TEGNA, Inc., 6.375%, 10/15/23		$	1,385,000			$	1,485,413
						$	5,023,902
Real Estate - Apartment - 0.1%
Vonovia Finance B.V., FRN, REIT, 4.625%, 4/08/74		EUR	200,000			$	217,390
Vonovia SE, REIT, 2.125%, 7/09/22		EUR	225,000				253,102
						$	470,492
Real Estate - Healthcare - 0.5%
MPT Operating Partnership LP, REIT, 6.875%, 5/01/21		$	680,000			$	708,900
MPT Operating Partnership LP, REIT, 6.375%, 2/15/22			1,335,000				1,375,050
						$	2,083,950
Real Estate - Office - 0.1%
Boston Properties, Inc., REIT, 3.125%, 9/01/23		$	250,000			$	247,669
Real Estate - Other - 0.6%
DuPont Fabros Technology LP, REIT, 5.875%, 9/15/21		$	1,210,000			$	1,258,400
Felcor Lodging LP, REIT, 5.625%, 3/01/23			1,240,000				1,261,700
						$	2,520,100
Real Estate - Retail - 0.1%
Hammerson PLC, REIT, 2.75%, 9/26/19		EUR	100,000			$	115,920
Simon Property Group, Inc., REIT, 10.35%, 4/01/19		$	360,000				441,093
						$	557,013
Restaurants - 0.1%
McDonald’s Corp., 4.875%, 12/09/45		$	311,000			$	328,253
YUM! Brands, Inc., 5.35%, 11/01/43			155,000				112,375
						$	440,628
Retailers - 1.8%
Bed Bath & Beyond, Inc., 5.165%, 8/01/44		$	145,000			$	116,849
Best Buy Co., Inc., 5.5%, 3/15/21			1,785,000				1,836,319
Bon Ton Stores, Inc., 8%, 6/15/21			254,000				92,710
Dollar General Corp., 4.125%, 7/15/17			400,000				412,657
DriveTime Automotive Group, Inc./DT Acceptance Corp., 8%, 6/01/21 (n)			726,000				617,100
Family Tree Escrow LLC, 5.75%, 3/01/23 (n)			1,600,000				1,702,000
Gap, Inc., 5.95%, 4/12/21			300,000				312,233
Home Depot, Inc., 3%, 4/01/26			310,000				320,520
Home Depot, Inc., 4.875%, 2/15/44			200,000				224,556
L Brands, Inc., 6.875%, 11/01/35 (n)			75,000				79,688
Marks & Spencer Group PLC, 4.75%, 6/12/25		GBP	100,000				147,465
Neiman Marcus Group Ltd., 8%, 10/15/21 (n)		$	990,000				697,851
Rite Aid Corp., 9.25%, 3/15/20			515,000				543,325
Rite Aid Corp., 6.75%, 6/15/21			385,000				408,100
Rite Aid Corp., 6.125%, 4/01/23 (n)			575,000				613,813
Sally Beauty Holdings, Inc., 5.625%, 12/01/25			340,000				353,600
						$	8,478,786
Specialty Chemicals - 0.6%
Chemtura Corp., 5.75%, 7/15/21		$	1,760,000			$	1,733,600
Ecolab, Inc., 2.625%, 7/08/25		EUR	100,000				116,396
Univar USA, Inc., 6.75%, 7/15/23 (n)		$	1,195,000				1,030,688
						$	2,880,684

 

15

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Specialty Stores - 1.0%
Argos Merger Sub, Inc., 7.125%, 3/15/23 (n)		$	1,065,000			$	1,088,963
Group 1 Automotive, Inc., 5%, 6/01/22			1,600,000				1,496,000
Michaels Stores, Inc., 5.875%, 12/15/20 (n)			1,020,000				1,050,600
Office Depot de Mexico S.A. de C.V., 6.875%, 9/20/20 (n)			769,000				761,310
						$	4,396,873
Supermarkets - 0.1%
Casino Guichard Perrachon S.A., 4.726%, 5/26/21		EUR	200,000			$	227,436
Loblaw Cos. Ltd., 4.86%, 9/12/23		CAD	262,000				216,610
William Morrison Supermarkets PLC, 3.5%, 7/27/26		GBP	100,000				122,833
						$	566,879
Supranational - 1.8%
European Investment Bank, 1.75%, 3/15/17		$	8,000,000			$	8,072,568
International Bank for Reconstruction and Development, 4.25%, 6/24/25		AUD	210,000				166,683
International Finance Corp., 3.25%, 7/22/19		AUD	305,000				223,759
						$	8,463,010
Telecommunications - Wireless - 4.2%
Altice S.A., 7.75%, 5/15/22 (n)		$	200,000			$	193,500
America Movil S.A.B. de C.V., 1%, 6/04/18		EUR	100,000				110,112
America Movil S.A.B. de C.V., 4.75%, 6/28/22		EUR	200,000				264,874
American Tower Corp., REIT, 3.5%, 1/31/23		$	465,000				456,396
Crown Castle International Corp., 5.25%, 1/15/23			1,200,000				1,270,500
Digicel Group Ltd., 8.25%, 9/30/20 (n)			1,453,000				1,133,340
Digicel Group Ltd., 6%, 4/15/21 (n)			680,000				582,080
Digicel Group Ltd., 7.125%, 4/01/22 (n)			640,000				457,600
Digicel Group Ltd., 6.75%, 3/01/23 (n)			1,350,000				1,150,875
Millicom International Cellular S.A., 4.75%, 5/22/20 (n)			390,000				356,246
Millicom International Cellular S.A., 6.625%, 10/15/21 (n)			205,000				192,700
MTS International Funding Ltd., 5%, 5/30/23 (n)			488,000				458,720
SBA Tower Trust, 2.898%, 10/15/44 (n)			220,000				220,676
Sprint Capital Corp., 6.875%, 11/15/28			1,625,000				1,178,125
Sprint Corp., 7.875%, 9/15/23			1,425,000				1,054,500
Sprint Corp., 7.125%, 6/15/24			1,655,000				1,179,188
Sprint Corp., 7%, 8/15/20			165,000				129,525
Sprint Nextel Corp., 9%, 11/15/18 (n)			880,000				913,528
Sprint Nextel Corp., 6%, 11/15/22			830,000				585,150
T-Mobile USA, Inc., 6.125%, 1/15/22			135,000				138,713
T-Mobile USA, Inc., 6.5%, 1/15/24			615,000				631,913
T-Mobile USA, Inc., 6.464%, 4/28/19			235,000				241,463
T-Mobile USA, Inc., 6.25%, 4/01/21			2,590,000				2,713,025
T-Mobile USA, Inc., 6.633%, 4/28/21			515,000				538,175
T-Mobile USA, Inc., 6.5%, 1/15/26			775,000				785,362
Wind Acquisition Finance S.A., 4%, 7/15/20 (n)		EUR	200,000				210,499
Wind Acquisition Finance S.A., 4.75%, 7/15/20 (n)		$	870,000				839,550
Wind Acquisition Finance S.A., 7.375%, 4/23/21 (n)			1,550,000				1,426,000
						$	19,412,335
Telephone Services - 0.9%
B Communications Ltd., 7.375%, 2/15/21 (n)		$	1,821,000			$	1,966,680
Level 3 Financing, Inc., 5.375%, 1/15/24 (n)			360,000				369,000
Level 3 Financing, Inc., 5.375%, 5/01/25			1,270,000				1,292,225
TDC A.S., 3.5% to 2/26/21, FRN to 2/26/3015		EUR	300,000				283,929
TELUS Corp., 5.05%, 7/23/20		CAD	265,000				217,263
						$	4,129,097

 

16

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Tobacco - 0.3%
Imperial Tobacco Finance PLC, 4.25%, 7/21/25 (n)		$	455,000			$	473,555
Philip Morris International, Inc., 4.875%, 11/15/43			174,000				194,971
Reynolds American, Inc., 6.75%, 6/15/17			400,000				429,392
Reynolds American, Inc., 8.125%, 6/23/19			92,000				108,428
Reynolds American, Inc., 3.25%, 6/12/20			41,000				42,635
Reynolds American, Inc., 4.45%, 6/12/25			98,000				106,415
Reynolds American, Inc., 5.7%, 8/15/35			118,000				133,203
						$	1,488,599
Transportation - Services - 1.3%
ERAC USA Finance LLC, 6.375%, 10/15/17 (n)		$	400,000			$	427,262
ERAC USA Finance LLC, 7%, 10/15/37 (n)			250,000				307,517
Heathrow Funding Ltd., 4.625%, 10/31/46		GBP	100,000				150,210
HIT Finance B.V., 4.875%, 10/27/21		EUR	150,000				196,881
Jack Cooper Holdings Corp., 10.25%, 6/01/20 (n)		$	1,140,000				855,000
Navios Maritime Acquisition Corp., 8.125%, 11/15/21 (n)			1,349,000				947,673
Navios Maritime Holding, Inc., 7.375%, 1/15/22 (n)			1,130,000				361,600
SPL Logistics Escrow LLC, 8.875%, 8/01/20 (n)			590,000				501,500
Stagecoach Group PLC, 4%, 9/29/25		GBP	300,000				421,276
Stena AB, 7%, 2/01/24 (n)		$	1,770,000				1,281,038
Syncreon Group BV/Syncre, 8.625%, 11/01/21 (n)			670,000				509,200
						$	5,959,157
U.S. Government Agencies and Equivalents - 2.8%
Fannie Mae, 1.125%, 4/27/17		$	8,000,000			$	8,038,688
Freddie Mac, 0.875%, 2/22/17			5,000,000				5,008,815
						$	13,047,503
U.S. Treasury Obligations - 6.1%
U.S. Treasury Bonds, 5.375%, 2/15/31		$	286,200			$	410,026
U.S. Treasury Bonds, 4.5%, 2/15/36			95,000				130,703
U.S. Treasury Bonds, 4.75%, 2/15/37 (f)			3,042,200				4,319,805
U.S. Treasury Bonds, 3.125%, 2/15/43 (f)			2,920,000				3,244,850
U.S. Treasury Notes, 0.5%, 6/30/16			20,000,000				20,003,900
						$	28,109,284
Utilities - Electric Power - 2.6%
AES Gener S.A., 5%, 7/14/25 (n)		$	207,000			$	197,089
American Electric Power Co., Inc., 1.65%, 12/15/17			185,000				183,719
Calpine Corp., 5.375%, 1/15/23			350,000				326,375
Calpine Corp., 5.5%, 2/01/24			1,765,000				1,588,500
Covanta Holding Corp., 7.25%, 12/01/20			1,830,000				1,797,975
Covanta Holding Corp., 6.375%, 10/01/22			310,000				285,975
Covanta Holding Corp., 5.875%, 3/01/24			340,000				292,400
Dominion Resources, Inc., 2.5%, 12/01/19			250,000				251,878
E.CL S.A., 5.625%, 1/15/21			757,000				825,845
E.CL S.A., 4.5%, 1/29/25 (n)			512,000				513,538
E.ON International Finance B.V., 6.375%, 6/07/32		GBP	50,000				82,125
EDP Finance B.V., 5.25%, 1/14/21 (n)		$	200,000				197,598
EDP Finance B.V., 4.125%, 1/20/21		EUR	150,000				171,336
Empresa Electrica Angamos S.A., 4.875%, 5/25/29 (n)		$	319,000				276,524
Enel Finance International N.V., 4.875%, 3/11/20		EUR	200,000				254,848
Enel S.p.A., 6.25%, 6/20/19		GBP	100,000				157,139
Enel S.p.A., 6.625% to 9/15/2021, FRN to 9/15/76		GBP	130,000				178,453
Greenko Dutch B.V., 8%, 8/01/19 (n)		$	378,000				397,647

 

17

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Utilities - Electric Power - continued
NRG Energy, Inc., 8.25%, 9/01/20		$	1,085,000			$	1,036,175
NRG Energy, Inc., 6.25%, 7/15/22			115,000				97,175
NRG Energy, Inc., 6.625%, 3/15/23			1,885,000				1,592,825
PG&E Corp., 2.4%, 3/01/19			166,000				167,661
PPL WEM Holdings PLC, 5.375%, 5/01/21 (n)			250,000				277,430
Southern Electric Power Co. Ltd., 4.625%, 2/20/37		GBP	100,000				153,008
TerraForm Power Operating Co., 5.875%, 2/01/23 (n)		$	889,000				666,750
						$	11,969,988
Total Bonds						$	530,739,439
Floating Rate Loans (g)(r) - 0.9%
Aerospace - 0.1%
TransDigm, Inc., Term Loan C, 3.75%, 2/28/20		$	536,719			$	519,755
Cable TV - 0.0%
Cequel Communications LLC, Term Loan B, 3.8125%, 2/14/19		$	78,847			$	77,017
Conglomerates - 0.0%
Entegris, Inc., Term Loan B, 3.5%, 4/30/21		$	105,097			$	102,776
Consumer Services - 0.1%
Realogy Corp., Term Loan B, 3.75%, 3/05/20		$	305,534			$	302,351
Containers - 0.1%
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21		$	325,291			$	319,639
Entertainment - 0.1%
Cedar Fair LP, Term Loan B, 3.25%, 3/06/20		$	327,318			$	327,318
Gaming & Lodging - 0.0%
Hilton Worldwide Finance LLC, Term Loan B2, 3.5%, 10/25/20		$	106,979			$	106,551
Medical & Health Technology & Services - 0.2%
DaVita HealthCare Partners, Inc., Term Loan B, 3.5%, 6/24/21		$	939,907			$	936,148
Printing & Publishing - 0.0%
CBS Outdoor Americas Capital LLC, Term Loan B, 3%, 1/31/21		$	90,106			$	88,670
Retailers - 0.0%
Rite Aid Corp., Second Lien Term Loan, 4.875%, 6/21/21		$	44,587			$	44,476
Transportation - Services - 0.3%
Commercial Barge Line Co., First Lien Term Loan, 9.75%, 11/12/20		$	1,268,829			$	1,110,225
Utilities - Electric Power - 0.0%
Calpine Construction Finance Co. LP, Term Loan B1, 3%, 5/03/20		$	121,580			$	113,525
Total Floating Rate Loans						$	4,048,451
Common Stocks - 1.5%
Automotive - 0.0%
Accuride Corp. (a)			12,648			$	16,189

 

18

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Common Stocks - continued
Special Products & Services - 1.5%
iShares iBoxx $ High Yield Corporate Bond ETF			85,200			$	6,822,816
Total Common Stocks						$	6,839,005
Money Market Funds - 6.9%
MFS Institutional Money Market Portfolio, 0.35%, at Net Asset Value (v)			31,631,440			$	31,631,440
Total Investments						$	573,258,335
Other Assets, Less Liabilities - (24.7)%							(113,398,431	)
Net Assets - 100.0%						$	459,859,904

 

(a)	Non-income producing security.

(d)	In default.

(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 $155,439,709, representing 33.8% of net assets.

(p)	Payment-in-kind security.

(r)

Remaining maturities of floating rate loans may be less than stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. These loans may be subject to restrictions on resale. Floating rate loans generally have rates of interest which are determined periodically by reference to a base lending rate plus a premium.

(v)	Underlying affiliated fund that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end.

(z)

Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities:

 

Restricted Securities		Acquisition Date		Cost				Value
American Media, Inc., 13.5%, 6/15/18		12/22/10			$11,990				$11,576
Atrium CDO Corp., FRN, 1.42%, 11/16/22		2/03/16-2/04/16			2,303,231				2,290,102
Bayview Financial Revolving Mortgage Loan Trust, FRN, 2.021%, 12/28/40		3/01/06			594,816				428,971
Crown European Holdings S.A., 3.375%, 5/15/25		4/28/15			384,073				357,427
Enterprise Fleet Financing LLC, 0.91%, 9/20/18		2/04/16			1,954,668				1,954,179
Republic of Indonesia, 2.875%, 7/08/21		7/02/14			237,726				190,753
Smurfit Kappa Acquisitions, 2.75%, 2/01/25		2/11/15			310,613				282,705
Total Restricted Securities									$5,515,713
% of Net assets									1.2%

The following abbreviations are used in this report and are defined:

 

CDO		Collateralized Debt Obligation
CLO		Collateralized Loan Obligation
ETF		Exchange-Traded Fund
FRN		Floating Rate Note. Interest rate resets periodically and the current rate may not be the rate reported at period end.
PLC		Public Limited Company
REIT		Real Estate Investment Trust

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
DKK		Danish Krone

 

19

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Portfolio of Investments (unaudited) – continued

 

EUR		Euro
GBP		British Pound
JPY		Japanese Yen
KRW		Korean Won
MXN		Mexican Peso
MYR		Malaysian Ringgit
NOK		Norwegian Krone
NZD		New Zealand Dollar
SEK		Swedish Krona
SGD		Singapore Dollar
THB		Thailand Baht
ZAR		South African Rand

Derivative Contracts at 2/29/16

Forward Foreign Currency Exchange Contracts at 2/29/16

 

Type		Currency				Counterparty		Contracts to Deliver/Receive		Settlement Date Range		In Exchange For				Contracts at Value				Net Unrealized Appreciation (Depreciation)
Asset Derivatives
BUY			CAD			Citibank N.A.		3,229,000		4/15/16			$2,326,066				$2,386,649				$60,583
BUY			CAD			Goldman Sachs International		4,746,146		4/15/16			3,405,140				3,508,016				102,876
BUY			EUR			Brown Brothers Harriman		155,667		4/15/16			168,744				169,566				822
BUY			EUR			Citibank N.A.		140,000		4/15/16			151,531				152,500				969
BUY			EUR			Goldman Sachs International		1,140,000		4/15/16			1,241,263				1,241,788				525
BUY			EUR			JPMorgan Chase Bank N.A.		511,000		4/15/16			556,467				556,626				159
SELL			EUR			Deutsche Bank AG		2,199,606		3/18/16-4/15/16			2,425,446				2,394,632				30,814
SELL			EUR			Goldman Sachs International		227,799		4/15/16			252,097				248,139				3,958
SELL			EUR			JPMorgan Chase Bank N.A.		2,188,000		4/15/16			2,438,318				2,383,361				54,957
SELL			GBP			Barclays Bank PLC		1,247,218		4/15/16			1,812,652				1,736,218				76,434
SELL			GBP			BNP Paribas S.A.		8,677,786		4/15/16			12,533,023				12,080,105				452,918
SELL			GBP			Deutsche Bank AG		170,000		4/15/16			243,164				236,652				6,512
BUY			JPY			Goldman Sachs International		1,137,813,993		4/15/16			9,809,851				10,105,368				295,517
BUY			KRW			JPMorgan Chase Bank N.A.		44,218,500		5/02/16			35,573				35,704				131
SELL			MXN			JPMorgan Chase Bank N.A.		39,906,146		4/15/16			2,221,587				2,193,104				28,483
BUY			MYR			Deutsche Bank AG		235,000		3/15/16			53,439				55,828				2,389
SELL			MYR			JPMorgan Chase Bank N.A.		9,824,000		3/03/16			2,356,120				2,336,076				20,044
BUY			NZD			Citibank N.A.		472,000		4/15/16			305,794				310,202				4,408
BUY			NZD			Deutsche Bank AG		1,453,000		4/15/16			941,559				954,922				13,363
BUY			NZD			Goldman Sachs International		726,000		4/15/16			470,785				477,133				6,348
BUY			NZD			JPMorgan Chase Bank N.A.		727,000		4/15/16			471,258				477,790				6,532
BUY			NZD			Merrill Lynch International		145,000		4/15/16			93,921				95,295				1,374
SELL			SEK			Goldman Sachs International		5,797,668		4/15/16			682,456				678,294				4,162
BUY			SGD			Deutsche Bank AG		40,141		4/15/16			27,942				28,523				581
BUY			THB			JPMorgan Chase Bank N.A.		29,000		3/24/16			798				813				15
BUY			ZAR			UBS AG		569,852		4/15/16			33,613				35,608				1,995
																					$1,176,869
Liability Derivatives
SELL			AUD			Westpac Banking Corp.		6,297,178		4/15/16			$4,380,538				$4,485,619				$(105,081	)
SELL			CAD			Goldman Sachs International		6,662,866		4/15/16			4,796,856				4,924,721				(127,865	)
SELL			CAD			Merrill Lynch International		11,642,973		4/15/16			8,221,262				8,605,664				(384,402	)
BUY			CHF			UBS AG		15,082		4/15/16			15,164				15,138				(26	)
BUY			DKK			Goldman Sachs International		6,177,004		4/15/16			933,365				902,178				(31,187	)
SELL			DKK			Credit Suisse Group		6,145,566		4/15/16			894,291				897,586				(3,295	)
BUY			EUR			Goldman Sachs International		5,353,688		4/15/16			5,992,014				5,831,705				(160,309	)
SELL			EUR			Goldman Sachs International		29,071,046		4/15/16			31,575,083				31,666,724				(91,641	)
BUY			GBP			Goldman Sachs International		3,445,076		4/15/16			4,947,960				4,795,795				(152,165	)
SELL			JPY			Brown Brothers Harriman		95,000,000		4/15/16			834,919				843,732				(8,813	)
SELL			JPY			Goldman Sachs International		577,995,000		4/15/16			5,019,079				5,133,398				(114,319	)

 

20

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Portfolio of Investments (unaudited) – continued

 

Forward Foreign Currency Exchange Contracts at 2/29/16 - continued

 

Type		Currency				Counterparty		Contracts to Deliver/Receive		Settlement Date Range		In Exchange For				Contracts at Value				Net Unrealized Appreciation (Depreciation)
Liability Derivatives – continued
SELL			JPY			UBS AG		1,308,994,101		4/15/16			$11,153,285				$11,625,685				$(472,400	)
BUY			KRW			JPMorgan Chase Bank N.A.		44,218,500		3/03/16			36,606				35,755				(851	)
SELL			KRW			JPMorgan Chase Bank N.A.		44,218,500		3/03/16			35,631				35,755				(124	)
BUY			MYR			Barclays Bank PLC		3,013,000		3/03/16			723,583				716,470				(7,113	)
BUY			MYR			JPMorgan Chase Bank N.A.		7,020,000		3/03/16-3/15/16			1,689,013				1,669,257				(19,756	)
SELL			NOK			Goldman Sachs International		39,629,594		4/15/16			4,465,055				4,552,541				(87,486	)
SELL			NZD			Barclays Bank PLC		437,000		4/15/16			281,052				287,200				(6,148	)
SELL			NZD			Deutsche Bank AG		2,043,000		4/15/16			1,313,520				1,342,675				(29,155	)
SELL			NZD			Goldman Sachs International		731,000		4/15/16			470,166				480,419				(10,253	)
SELL			NZD			UBS AG		393,000		4/15/16			252,837				258,283				(5,446	)
SELL			NZD			Westpac Banking Corp.		2,785,827		4/15/16			1,809,060				1,830,866				(21,806	)
BUY			SEK			Goldman Sachs International		6,077,787		4/15/16			723,309				711,066				(12,243	)
BUY			SGD			JPMorgan Chase Bank N.A.		3,225,000		4/15/16			2,306,599				2,291,534				(15,065	)
SELL			SGD			Deutsche Bank AG		602,000		4/15/16			421,902				427,753				(5,851	)
SELL			SGD			Goldman Sachs International		1,507,000		4/15/16			1,055,915				1,070,803				(14,888	)
SELL			SGD			JPMorgan Chase Bank N.A.		771,000		4/15/16			540,235				547,836				(7,601	)
SELL			SGD			Merrill Lynch International		452,000		4/15/16			316,745				321,170				(4,425	)
																					$(1,899,714	)

Futures Contracts at 2/29/16

 

Description		Currency				Contracts				Value		Expiration Date		Unrealized Appreciation (Depreciation)
Asset Derivatives
Interest Rate Futures
Euro-Bobl 5 yr (Long)			EUR				115			$16,679,957		March - 2016			$340,280
Euro-Bund 10 yr (Long)			EUR				82			14,859,559		March - 2016			830,324
Euro-Buxl 30 yr (Long)			EUR				17			3,140,189		March - 2016			349,156
Japanese Government Note 10 yr (Long)			JPY				18			24,290,541		March - 2016			549,155
U.K. Gilt 10 yr (Long)			GBP				35			5,938,817		June - 2016			2,436
U.S. Treasury Bond 30 yr (Short)			USD				4			658,125		June - 2016			6,094
U.S. Treasury Note 10 yr (Short)			USD				617			80,528,141		June - 2016			72,304
															$2,149,749

At February 29, 2016, the fund had cash collateral of $250,000 and other liquid securities with an aggregate value of $1,834,014 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.

 

21

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Supplemental Information

2/29/16 (unaudited)

The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

(1) Investment Valuations

Debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Equity securities, including restricted equity securities, are generally valued at the last sale or official closing price on their primary market or exchange as provided by a third-party pricing service. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation on their primary market or exchange as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party pricing service. Forward foreign currency exchange contracts are generally valued at the mean of bid and asked prices for the time period interpolated from rates provided by a third-party pricing service for proximate time periods. 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

 

22

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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 February 29, 2016 in valuing the fund’s assets or liabilities:

 

Investments at Value		Level 1				Level 2				Level 3				Total
Equity Securities			$6,839,005				$—				$—				$6,839,005
U.S. Treasury Bonds & U.S. Government Agency & Equivalents			—				41,156,787				—				41,156,787
Non-U.S. Sovereign Debt			—				67,927,970				—				67,927,970
U.S. Corporate Bonds			—				306,541,626				—				306,541,626
Residential Mortgage-Backed Securities			—				6,638,735				—				6,638,735
Commercial Mortgage-Backed Securities			—				17,106,077				—				17,106,077
Asset-Backed Securities (including CDOs)			—				8,558,603				—				8,558,603
Foreign Bonds			—				82,809,641				—				82,809,641
Floating Rate Loans			—				4,048,451				—				4,048,451
Mutual Funds			31,631,440				—				—				31,631,440
Total Investments			$38,470,445				$534,787,890				$—				$573,258,335
Other Financial Instruments
Futures Contracts			$2,149,749				$—				$—				$2,149,749
Forward Foreign Currency Contracts			—				(722,845	)			—				(722,845	)

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.

 

		Foreign Bond
Balance as of 11/30/15			$270,914
Accretion/Amortization			6,044
Change in unrealized appreciation (depreciation)			(166,282	)
Transfers out of level 3			(110,676	)
Balance as of 2/29/16			$—

(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			$630,353,504
Gross unrealized appreciation			6,319,959
Gross unrealized depreciation			(63,415,128	)
Net unrealized appreciation (depreciation)			$(57,095,169	)

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			33,059,493				40,002,559				(41,430,612	)			31,631,440
Underlying Affiliated Fund		Realized Gain (Loss)				Capital Gain Distributions				Dividend Income				Ending Value
MFS Institutional Money Market Portfolio			$—				$—				$18,465				$31,631,440

 

23

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Supplemental Information (unaudited) – continued

 

(4) Issuer Country Weightings

Issuer country weighting percentages of portfolio holdings based on net assets, as of February 29, 2016, are as follows:

 

United States			52.5%
Germany			9.4%
Japan			6.9%
United Kingdom			4.6%
Canada			4.1%
Italy			2.4%
Mexico			2.0%
Luxembourg			1.9%
Supranational			1.9%
Other Countries			14.3%

The issuer country weighting percentages include both accrued interest amounts and the equivalent exposure from any derivative holdings, if applicable.

 

24

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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.

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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.

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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)*		ROBIN A. STELMACH
		Robin A. Stelmach, President

Date: April 15, 2016

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)*		ROBIN A. STELMACH
		Robin A. Stelmach, President (Principal Executive Officer)

Date: April 15, 2016

 

By (Signature and Title)*		DAVID L. DILORENZO
		David L. DiLorenzo, Treasurer (Principal Financial Officer and Accounting Officer)

Date: April 15, 2016

 

*	Print name and title of each signing officer under his or her signature.