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)
500 Boylston Street, Boston, Massachusetts 02116
(Address of principal executive offices) (Zip code)
Susan S. Newton
Massachusetts Financial Services Company
500 Boylston Street
Boston, Massachusetts 02116
(Name and address of agents for service)
Registrant’s telephone number, including area code: (617) 954-5000
Date of fiscal year end: November 30
Date of reporting period: February 29, 2012
| ITEM 1. | SCHEDULE OF INVESTMENTS. |
MFS® Charter Income Trust
QUARTERLY REPORT
February 29, 2012
PORTFOLIO OF INVESTMENTS
2/29/12 (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 - 109.7% | ||||||||
| Aerospace - 1.1% | ||||||||
| BE Aerospace, Inc., 8.5%, 2018 | $ | 1,225,000 | $ | 1,361,281 | ||||
| Bombardier, Inc., 7.5%, 2018 (n) | 885,000 | 1,006,688 | ||||||
| Bombardier, Inc., 7.75%, 2020 (n) | 375,000 | 435,000 | ||||||
| CPI International, Inc., 8%, 2018 | 840,000 | 728,700 | ||||||
| Hawker Beechcraft Acquisition Co. LLC, 8.5%, 2015 | 782,000 | 164,220 | ||||||
| Heckler & Koch GmbH, 9.5%, 2018 (z) | EUR | 505,000 | 444,055 | |||||
| Huntington Ingalls Industries, Inc., 7.125%, 2021 | $ | 1,685,000 | 1,805,056 | |||||
|
|
|
|||||||
| $ | 5,945,000 | |||||||
| Airlines - 0.0% | ||||||||
| Continental Airlines, Inc., 7.25%, 2021 | $ | 203,906 | $ | 226,296 | ||||
| Apparel Manufacturers - 0.5% | ||||||||
| Hanesbrands, Inc., 8%, 2016 | $ | 660,000 | $ | 734,250 | ||||
| Hanesbrands, Inc., 6.375%, 2020 | 390,000 | 407,550 | ||||||
| Jones Group, Inc., 6.875%, 2019 | 455,000 | 439,644 | ||||||
| Phillips-Van Heusen Corp., 7.375%, 2020 | 1,305,000 | 1,448,550 | ||||||
|
|
|
|||||||
| $ | 3,029,994 | |||||||
| Asset-Backed & Securitized - 6.4% | ||||||||
| Anthracite Ltd., “A”, CDO, FRN, 0.605%, 2019 (z) | $ | 1,116,669 | $ | 938,002 | ||||
| Anthracite Ltd., “BFL”, CDO, FRN, 1.244%, 2037 (z) | 3,000,000 | 2,730,000 | ||||||
| Banc of America Commercial Mortgage, Inc., FRN, 5.723%, 2051 | 1,500,000 | 1,725,804 | ||||||
| Bayview Financial Acquisition Trust, FRN, 5.483%, 2041 | 211,530 | 209,467 | ||||||
| Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.844%, 2040 (z) | 796,784 | 449,437 | ||||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust, FRN, 5.366%, 2049 | 1,605,000 | 1,530,979 | ||||||
| Commercial Mortgage Pass-Through Certificates, FRN, 5.774%, 2046 | 230,000 | 238,248 | ||||||
| Countrywide Asset-Backed Certificates, FRN, 5.147%, 2035 | 847,379 | 783,839 | ||||||
| Credit Suisse Mortgage Capital Certificate, FRN, 5.712%, 2039 | 1,400,000 | 1,453,756 | ||||||
| Crest Ltd., CDO, 7%, 2040 (a)(p) | 2,258,244 | 112,912 | ||||||
| First Union-Lehman Brothers Bank of America, FRN, 0.476%, 2035 (i) | 14,833,268 | 216,210 | ||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., “C”, FRN, 6.058%, 2051 | 185,000 | 74,863 | ||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.818%, 2049 | 5,000,000 | 5,520,405 | ||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.818%, 2049 | 1,000,000 | 1,069,803 | ||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.986%, 2051 | 6,000,000 | 6,458,322 | ||||||
| Merrill Lynch Mortgage Trust, FRN, 5.837%, 2050 | 1,350,000 | 1,518,429 | ||||||
| Multi Security Asset Trust, “A3”, 5%, 2035 (z) | 1,053,957 | 1,048,687 | ||||||
| Spirit Master Funding LLC, 5.05%, 2023 (z) | 1,327,749 | 1,232,191 | ||||||
| Wachovia Bank Commercial Mortgage Trust, “A4”, FRN, 5.898%, 2051 | 7,250,000 | 7,992,429 | ||||||
| Wachovia Bank Commercial Mortgage Trust, FRN, 5.683%, 2047 | 1,503,155 | 306,959 | ||||||
|
|
|
|||||||
| $ | 35,610,742 | |||||||
| Automotive - 2.5% | ||||||||
| Accuride Corp., 9.5%, 2018 | $ | 1,470,000 | $ | 1,558,200 | ||||
| Allison Transmission, Inc., 7.125%, 2019 (n) | 850,000 | 875,500 | ||||||
| Automotores Gildemeister S.A., 8.25%, 2021 (n) | 137,000 | 142,480 | ||||||
| Chrysler Group LLC/CG Co-Issuer, Inc., 8.25%, 2021 | 465,000 | 469,650 | ||||||
| Ford Motor Co., 7.45%, 2031 | 800,000 | 1,027,000 | ||||||
| Ford Motor Credit Co. LLC, 8%, 2014 | 485,000 | 536,911 | ||||||
| Ford Motor Credit Co. LLC, 12%, 2015 | 4,165,000 | 5,237,250 | ||||||
| General Motors Financial Co., Inc., 6.75%, 2018 | 795,000 | 857,931 | ||||||
| Goodyear Tire & Rubber Co., 7%, 2022 | 350,000 | 354,375 | ||||||
| Hyundai Capital America, 4%, 2017 (n) | 210,000 | 213,428 | ||||||
1
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Automotive - continued | ||||||||
| Jaguar Land Rover PLC, 7.75%, 2018 (n) | $ | 165,000 | $ | 170,775 | ||||
| Jaguar Land Rover PLC, 8.125%, 2021 (n) | 1,875,000 | 1,935,938 | ||||||
| Lear Corp., 8.125%, 2020 | 460,000 | 518,650 | ||||||
| RCI Banque S.A., 4.6%, 2016 (n) | 232,000 | 227,533 | ||||||
|
|
|
|||||||
| $ | 14,125,621 | |||||||
| Basic Industry - 0.2% | ||||||||
| Trimas Corp., 9.75%, 2017 | $ | 795,000 | $ | 880,463 | ||||
| Broadcasting - 3.9% | ||||||||
| Allbritton Communications Co., 8%, 2018 | $ | 1,320,000 | $ | 1,395,900 | ||||
| AMC Networks, Inc., 7.75%, 2021 (n) | 548,000 | 611,020 | ||||||
| Clear Channel Communications, Inc., 9%, 2021 | 1,068,000 | 982,560 | ||||||
| Clear Channel Worldwide Holdings, Inc., 7.625%, 2020 (z) | 390,000 | 390,000 | ||||||
| Clear Channel Worldwide Holdings, Inc., “A”, 7.625%, 2020 (z) | 50,000 | 50,000 | ||||||
| Gray Television, Inc., 10.5%, 2015 | 390,000 | 411,938 | ||||||
| Hughes Network Systems LLC, 7.625%, 2021 | 765,000 | 830,025 | ||||||
| Inmarsat Finance PLC, 7.375%, 2017 (n) | 1,145,000 | 1,225,150 | ||||||
| Intelsat Bermuda Ltd., 11.25%, 2017 | 1,435,000 | 1,479,844 | ||||||
| Intelsat Bermuda Ltd., 11.5%, 2017 (p) | 670,000 | 690,100 | ||||||
| Intelsat Jackson Holdings Ltd., 9.5%, 2016 | 3,840,000 | 4,041,600 | ||||||
| Intelsat Jackson Holdings Ltd., 11.25%, 2016 | 550,000 | 581,625 | ||||||
| Liberty Media Corp., 8.5%, 2029 | 675,000 | 681,750 | ||||||
| Liberty Media Corp., 8.25%, 2030 | 95,000 | 95,950 | ||||||
| LIN Television Corp., 8.375%, 2018 | 160,000 | 169,200 | ||||||
| Local TV Finance LLC, 9.25%, 2015 (p)(z) | 995,374 | 1,012,793 | ||||||
| Newport Television LLC, 13%, 2017 (n)(p) | 67,321 | 62,950 | ||||||
| News America, Inc., 6.2%, 2034 | 325,000 | 377,059 | ||||||
| News America, Inc., 6.9%, 2039 | 205,000 | 254,509 | ||||||
| Nexstar Broadcasting Group, Inc., 8.875%, 2017 | 320,000 | 342,400 | ||||||
| Sinclair Broadcast Group, Inc., 9.25%, 2017 (n) | 1,425,000 | 1,592,438 | ||||||
| Sinclair Broadcast Group, Inc., 8.375%, 2018 | 185,000 | 201,188 | ||||||
| SIRIUS XM Radio, Inc., 13%, 2013 (n) | 195,000 | 222,056 | ||||||
| SIRIUS XM Radio, Inc., 8.75%, 2015 (n) | 725,000 | 822,875 | ||||||
| SIRIUS XM Radio, Inc., 7.625%, 2018 (n) | 765,000 | 837,675 | ||||||
| Univision Communications, Inc., 6.875%, 2019 (n) | 730,000 | 744,600 | ||||||
| Univision Communications, Inc., 7.875%, 2020 (n) | 535,000 | 569,775 | ||||||
| Univision Communications, Inc., 8.5%, 2021 (n) | 710,000 | 704,675 | ||||||
|
|
|
|||||||
| $ | 21,381,655 | |||||||
| Brokerage & Asset Managers - 0.5% | ||||||||
| E*TRADE Financial Corp., 7.875%, 2015 | $ | 785,000 | $ | 801,681 | ||||
| E*TRADE Financial Corp., 12.5%, 2017 | 1,580,000 | 1,840,700 | ||||||
|
|
|
|||||||
| $ | 2,642,381 | |||||||
| Building - 1.8% | ||||||||
| Associated Materials LLC, 9.125%, 2017 | $ | 150,000 | $ | 147,750 | ||||
| Building Materials Holding Corp., 6.875%, 2018 (n) | 680,000 | 731,000 | ||||||
| Building Materials Holding Corp., 7%, 2020 (n) | 600,000 | 651,000 | ||||||
| Building Materials Holding Corp., 6.75%, 2021 (n) | 440,000 | 478,500 | ||||||
| CEMEX Finance LLC, 9.5%, 2016 (n) | 1,275,000 | 1,255,875 | ||||||
| CEMEX S.A., 9.25%, 2020 | 1,695,000 | 1,542,450 | ||||||
| CEMEX S.A.B. de C.V., FRN, 5.579%, 2015 (n) | 291,000 | 256,808 | ||||||
| Masonite International Corp., 8.25%, 2021 (n) | 670,000 | 718,575 | ||||||
| Nortek, Inc., 10%, 2018 | 435,000 | 457,838 | ||||||
| Nortek, Inc., 8.5%, 2021 | 1,280,000 | 1,238,400 | ||||||
| Owens Corning, 9%, 2019 | 1,880,000 | 2,298,198 | ||||||
2
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Building - continued | ||||||||
| Roofing Supply Group LLC/Roofing Supply Finance, Inc., 8.625%, 2017 (n) | $ | 243,000 | $ | 260,618 | ||||
|
|
|
|||||||
| $ | 10,037,012 | |||||||
| Business Services - 1.2% | ||||||||
| Ceridian Corp., 12.25%, 2015 (p) | $ | 515,000 | $ | 495,044 | ||||
| iGate Corp., 9%, 2016 | 1,323,000 | 1,438,763 | ||||||
| Interactive Data Corp., 10.25%, 2018 | 1,410,000 | 1,589,775 | ||||||
| Iron Mountain, Inc., 8.375%, 2021 | 860,000 | 955,675 | ||||||
| SunGard Data Systems, Inc., 10.25%, 2015 | 915,000 | 953,888 | ||||||
| SunGard Data Systems, Inc., 7.375%, 2018 | 1,065,000 | 1,144,875 | ||||||
|
|
|
|||||||
| $ | 6,578,020 | |||||||
| Cable TV - 3.7% | ||||||||
| Bresnan Broadband Holdings LLC, 8%, 2018 (n) | $ | 270,000 | $ | 284,850 | ||||
| Cablevision Systems Corp., 8.625%, 2017 | 445,000 | 501,738 | ||||||
| CCH II LLC, 13.5%, 2016 | 1,350,000 | 1,552,500 | ||||||
| CCO Holdings LLC, 7.875%, 2018 | 1,365,000 | 1,491,263 | ||||||
| CCO Holdings LLC, 8.125%, 2020 | 870,000 | 974,400 | ||||||
| Cequel Communications Holdings, 8.625%, 2017 (n) | 780,000 | 836,550 | ||||||
| Charter Communications Operating LLC, 10.875%, 2014 (n) | 325,000 | 343,281 | ||||||
| CSC Holdings LLC, 8.5%, 2014 | 845,000 | 937,950 | ||||||
| DIRECTV Holdings LLC, 5.2%, 2020 | 1,240,000 | 1,394,998 | ||||||
| DISH DBS Corp., 6.75%, 2021 | 400,000 | 444,000 | ||||||
| EchoStar Corp., 7.125%, 2016 | 450,000 | 497,250 | ||||||
| Insight Communications Co., Inc., 9.375%, 2018 (n) | 820,000 | 940,950 | ||||||
| Mediacom LLC, 9.125%, 2019 | 975,000 | 1,065,188 | ||||||
| Myriad International Holdings B.V., 6.375%, 2017 (n) | 857,000 | 951,270 | ||||||
| Nara Cable Funding Ltd., 8.875%, 2018 (z) | 475,000 | 463,125 | ||||||
| ONO Finance ll PLC, 10.875%, 2019 (n) | 300,000 | 270,750 | ||||||
| Telenet Finance Luxembourg, 6.375%, 2020 (n) | EUR | 250,000 | 337,238 | |||||
| Time Warner Cable, Inc., 5%, 2020 | $ | 1,150,000 | 1,291,238 | |||||
| UPC Holding B.V., 9.875%, 2018 (z) | 420,000 | 466,200 | ||||||
| UPCB Finance III Ltd., 6.625%, 2020 (n) | 1,104,000 | 1,137,120 | ||||||
| Videotron Ltee, 6.875%, 2014 | 1,282,000 | 1,286,808 | ||||||
| Videotron Ltee, 5%, 2022 (z) | 290,000 | 290,000 | ||||||
| Virgin Media Finance PLC, 9.5%, 2016 | 395,000 | 450,300 | ||||||
| Virgin Media Finance PLC, 8.375%, 2019 | 475,000 | 539,125 | ||||||
| Virgin Media Finance PLC, 5.25%, 2022 | 820,000 | 836,400 | ||||||
| Ziggo Bond Co. B.V., 8%, 2018 (n) | EUR | 585,000 | 824,210 | |||||
|
|
|
|||||||
| $ | 20,408,702 | |||||||
| Chemicals - 2.5% | ||||||||
| Ashland, Inc., 9.125%, 2017 | $ | 545,000 | $ | 611,763 | ||||
| Celanese U.S. Holdings LLC, 6.625%, 2018 | 1,335,000 | 1,461,825 | ||||||
| Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, 8.875%, 2018 | 1,330,000 | 1,376,550 | ||||||
| Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, 9%, 2020 | 270,000 | 264,600 | ||||||
| Huntsman International LLC, 8.625%, 2021 | 975,000 | 1,101,750 | ||||||
| INEOS Finance PLC, 8.375%, 2019 (z) | 800,000 | 850,000 | ||||||
| INEOS Group Holdings PLC, 8.5%, 2016 (n) | 525,000 | 479,063 | ||||||
| Lyondell Chemical Co., 8%, 2017 | 139,000 | 155,333 | ||||||
| Lyondell Chemical Co., 11%, 2018 | 1,613,690 | 1,769,008 | ||||||
| LyondellBasell Industries, Inc., 6%, 2021 (n) | 1,185,000 | 1,300,538 | ||||||
| Momentive Performance Materials, Inc., 12.5%, 2014 | 1,901,000 | 2,029,318 | ||||||
| Momentive Performance Materials, Inc., 11.5%, 2016 | 978,000 | 821,520 | ||||||
| Polypore International, Inc., 7.5%, 2017 | 920,000 | 963,700 | ||||||
| Sociedad Quimica y Minera de Chile S.A., 5.5%, 2020 (n) | 414,000 | 448,432 | ||||||
|
|
|
|||||||
| $ | 13,633,400 | |||||||
3
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Computer Software - 0.5% | ||||||||
| Lawson Software, Inc., 11.5%, 2018 (n) | $ | 1,235,000 | $ | 1,290,575 | ||||
| Syniverse Holdings, Inc., 9.125%, 2019 | 1,110,000 | 1,209,900 | ||||||
|
|
|
|||||||
| $ | 2,500,475 | |||||||
| Computer Software - Systems - 0.9% | ||||||||
| Audatex North America, Inc., 6.75%, 2018 (n) | $ | 95,000 | $ | 98,919 | ||||
| CDW LLC/CDW Finance Corp., 12.535%, 2017 | 275,000 | 299,750 | ||||||
| CDW LLC/CDW Finance Corp., 8.5%, 2019 | 1,035,000 | 1,107,450 | ||||||
| CDW LLC/CDW Finance Corp., 8.5%, 2019 (z) | 265,000 | 283,550 | ||||||
| DuPont Fabros Technology, Inc., REIT, 8.5%, 2017 | 1,380,000 | 1,524,900 | ||||||
| International Business Machines Corp., 8%, 2038 | 1,000,000 | 1,587,014 | ||||||
|
|
|
|||||||
| $ | 4,901,583 | |||||||
| Conglomerates - 1.4% | ||||||||
| Actuant Corp., 6.875%, 2017 | $ | 1,005,000 | $ | 1,042,688 | ||||
| Amsted Industries, Inc., 8.125%, 2018 (n) | 1,450,000 | 1,566,000 | ||||||
| Dynacast International LLC, 9.25%, 2019 (z) | 890,000 | 927,825 | ||||||
| Griffon Corp., 7.125%, 2018 | 1,635,000 | 1,700,400 | ||||||
| Kennametal, Inc., 7.2%, 2012 | 684,000 | 695,690 | ||||||
| Tomkins LLC/Tomkins, Inc., 9%, 2018 | 1,472,000 | 1,626,560 | ||||||
|
|
|
|||||||
| $ | 7,559,163 | |||||||
| Construction - 0.0% | ||||||||
| Urbi Desarrollos Urbanos S.A.B. de C.V., 9.75%, 2022 (n) | $ | 200,000 | $ | 205,500 | ||||
| Consumer Products - 0.7% | ||||||||
| Easton-Bell Sports, Inc., 9.75%, 2016 | $ | 560,000 | $ | 621,600 | ||||
| Elizabeth Arden, Inc., 7.375%, 2021 | 980,000 | 1,055,950 | ||||||
| Jarden Corp., 7.5%, 2020 | 755,000 | 825,781 | ||||||
| Libbey Glass, Inc., 10%, 2015 | 666,000 | 715,118 | ||||||
| Visant Corp., 10%, 2017 | 995,000 | 915,400 | ||||||
|
|
|
|||||||
| $ | 4,133,849 | |||||||
| Consumer Services - 1.0% | ||||||||
| Realogy Corp., 11.5%, 2017 | $ | 630,000 | $ | 576,450 | ||||
| Service Corp. International, 6.75%, 2015 | 265,000 | 292,494 | ||||||
| Service Corp. International, 7%, 2017 | 4,030,000 | 4,513,600 | ||||||
|
|
|
|||||||
| $ | 5,382,544 | |||||||
| Containers - 1.2% | ||||||||
| Ardagh Packaging Finance PLC, 9.125%, 2020 (z) | $ | 540,000 | $ | 557,550 | ||||
| Ball Corp., 5%, 2022 | 93,000 | 95,093 | ||||||
| Exopack Holding Corp., 10%, 2018 | 550,000 | 583,000 | ||||||
| Graham Packaging Co. LP/GPC Capital Corp., 9.875%, 2014 | 535,000 | 545,700 | ||||||
| Greif, Inc., 6.75%, 2017 | 855,000 | 914,850 | ||||||
| Greif, Inc., 7.75%, 2019 | 1,000,000 | 1,125,000 | ||||||
| Reynolds Group, 8.75%, 2016 (n) | 495,000 | 527,175 | ||||||
| Reynolds Group, 7.125%, 2019 (n) | 1,135,000 | 1,200,263 | ||||||
| Reynolds Group, 9.875%, 2019 (z) | 410,000 | 423,838 | ||||||
| Reynolds Group, 8.25%, 2021 (n) | 375,000 | 358,125 | ||||||
| Sealed Air Corp., 8.125%, 2019 (n) | 180,000 | 203,400 | ||||||
| Sealed Air Corp., 8.375%, 2021 (n) | 180,000 | 206,100 | ||||||
|
|
|
|||||||
| $ | 6,740,094 | |||||||
| Defense Electronics - 0.4% | ||||||||
| BAE Systems Holdings, Inc., 5.2%, 2015 (n) | $ | 450,000 | $ | 484,146 | ||||
| Ducommun, Inc., 9.75%, 2018 | 644,000 | 682,640 | ||||||
4
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Defense Electronics - continued | ||||||||
| ManTech International Corp., 7.25%, 2018 | $ | 575,000 | $ | 599,438 | ||||
| MOOG, Inc., 7.25%, 2018 | 335,000 | 357,613 | ||||||
|
|
|
|||||||
| $ | 2,123,837 | |||||||
| Electrical Equipment - 0.1% | ||||||||
| Avaya, Inc., 9.75%, 2015 | $ | 450,000 | $ | 450,000 | ||||
| Electronics - 0.5% | ||||||||
| Freescale Semiconductor, Inc., 9.25%, 2018 (n) | $ | 745,000 | $ | 819,500 | ||||
| Freescale Semiconductor, Inc., 8.05%, 2020 | 270,000 | 267,300 | ||||||
| NXP B.V., 9.75%, 2018 (n) | 418,000 | 472,863 | ||||||
| Sensata Technologies B.V., 6.5%, 2019 (n) | 1,130,000 | 1,194,975 | ||||||
|
|
|
|||||||
| $ | 2,754,638 | |||||||
| Emerging Market Quasi-Sovereign - 4.7% | ||||||||
| Banco del Estado de Chile, 4.125%, 2020 (n) | $ | 117,000 | $ | 120,510 | ||||
| Banco do Brasil S.A., 3.875%, 2017 | 1,236,000 | 1,245,270 | ||||||
| Banco do Brasil S.A., 5.875%, 2022 (n) | 1,156,000 | 1,187,790 | ||||||
| Banco do Estado Rio Grande do Sul S.A., 7.375%, 2022 (n) | 213,000 | 222,057 | ||||||
| Centrais Eletricas Brasileiras S.A., 5.75%, 2021 (n) | 2,228,000 | 2,422,950 | ||||||
| CNPC (HK) Overseas Capital Ltd., 4.5%, 2021 (n) | 897,000 | 953,867 | ||||||
| Comision Federal de Electricidad, 5.75%, 2042 (z) | 1,184,000 | 1,186,960 | ||||||
| Corporacion Financiera de Desarrollo S.A., 4.75%, 2022 (z) | 221,000 | 222,370 | ||||||
| Development Bank of Kazakhstan, 5.5%, 2015 (n) | 507,000 | 532,350 | ||||||
| Dolphin Energy Ltd., 5.5%, 2021 (z) | 400,000 | 413,600 | ||||||
| Ecopetrol S.A., 7.625%, 2019 | 594,000 | 743,985 | ||||||
| Gaz Capital S.A., 9.25%, 2019 | 583,000 | 725,106 | ||||||
| Gaz Capital S.A., 5.999%, 2021 (n) | 1,857,000 | 1,956,814 | ||||||
| KazMunaiGaz Finance B.V., 11.75%, 2015 (n) | 2,051,000 | 2,487,350 | ||||||
| KazMunaiGaz Finance B.V., 9.125%, 2018 (n) | 733,000 | 911,874 | ||||||
| Majapahit Holding B.V., 7.25%, 2017 (n) | 591,000 | 684,083 | ||||||
| Majapahit Holding B.V., 8%, 2019 (n) | 380,000 | 465,500 | ||||||
| Novatek Finance Ltd., 5.326%, 2016 (n) | 336,000 | 349,020 | ||||||
| OJSC Russian Agricultural Bank, FRN, 6%, 2021 (n) | 1,116,000 | 1,104,840 | ||||||
| Pemex Project Funding Master Trust, 5.75%, 2018 | 642,000 | 715,830 | ||||||
| Pertamina PT, 5.25%, 2021 (n) | 256,000 | 272,000 | ||||||
| Petrobras International Finance Co., 7.875%, 2019 | 1,361,000 | 1,674,030 | ||||||
| Petrobras International Finance Co., 6.75%, 2041 | 481,000 | 558,792 | ||||||
| Petroleos de Venezuela S.A., 5.25%, 2017 | 950,000 | 755,250 | ||||||
| Petroleos Mexicanos, 8%, 2019 | 1,101,000 | 1,376,250 | ||||||
| Petroleos Mexicanos, 4.875%, 2022 (n) | 774,000 | 810,378 | ||||||
| Petroleos Mexicanos, 6.5%, 2041 (n) | 315,000 | 356,076 | ||||||
| PT Perusahaan Listrik Negara, 5.5%, 2021 (n) | 385,000 | 412,913 | ||||||
| Ras Laffan Liquefied Natural Gas Co. Ltd., 6.75%, 2019 (n) | 721,000 | 854,385 | ||||||
| Transnet Ltd., 4.5%, 2016 (n) | 203,000 | 210,427 | ||||||
| Turkiye Ihracat Kredi Bankasi A.S., 5.375%, 2016 (n) | 200,000 | 203,000 | ||||||
|
|
|
|||||||
| $ | 26,135,627 | |||||||
| Emerging Market Sovereign - 4.0% | ||||||||
| Dominican Republic, 7.5%, 2021 (n) | $ | 548,000 | $ | 560,878 | ||||
| Government of Ukraine, 6.875%, 2015 | 500,000 | 472,500 | ||||||
| Republic of Argentina, 2.5%, to 2019, 3.75% to 2029, 5.25% to 2038 | 1,848,000 | 691,152 | ||||||
| Republic of Colombia, 7.375%, 2019 | 260,000 | 333,580 | ||||||
| Republic of Colombia, 8.125%, 2024 | 664,000 | 941,220 | ||||||
| Republic of Colombia, 6.125%, 2041 | 437,000 | 536,855 | ||||||
| Republic of Indonesia, 11.625%, 2019 (n) | 1,423,000 | 2,145,173 | ||||||
| Republic of Indonesia, 4.875%, 2021 (n) | 348,000 | 381,495 | ||||||
5
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Emerging Market Sovereign - continued | ||||||||
| Republic of Indonesia, 7.75%, 2038 (n) | $ | 593,000 | $ | 836,130 | ||||
| Republic of Latvia, 5.25%, 2017 (z) | 200,000 | 204,500 | ||||||
| Republic of Lithuania, 6.625%, 2022 (n) | 1,367,000 | 1,469,525 | ||||||
| Republic of Panama, 9.375%, 2029 | 1,062,000 | 1,697,607 | ||||||
| Republic of Peru, 7.35%, 2025 | 355,000 | 478,895 | ||||||
| Republic of Peru, 5.625%, 2050 | 107,000 | 117,700 | ||||||
| Republic of Philippines, 5.5%, 2026 | 421,000 | 483,624 | ||||||
| Republic of Philippines, 6.375%, 2034 | 1,098,000 | 1,373,873 | ||||||
| Republic of Poland, 5%, 2022 | 660,000 | 700,458 | ||||||
| Republic of Romania, 6.75%, 2022 (n) | 1,372,000 | 1,409,730 | ||||||
| Republic of South Africa, 5.5%, 2020 | 751,000 | 853,324 | ||||||
| Republic of South Africa, 4.665%, 2024 | 1,304,000 | 1,359,420 | ||||||
| Republic of South Africa, 6.25%, 2041 | 873,000 | 1,033,414 | ||||||
| Republic of Sri Lanka, 6.25%, 2020 (n) | 144,000 | 140,400 | ||||||
| Republic of Sri Lanka, 6.25%, 2021 (n) | 208,000 | 202,253 | ||||||
| Republic of Turkey, 5.625%, 2021 | 362,000 | 376,480 | ||||||
| Republic of Turkey, 6.25%, 2022 | 390,000 | 418,275 | ||||||
| United Mexican States, 3.625%, 2022 | 2,734,000 | 2,788,680 | ||||||
|
|
|
|||||||
| $ | 22,007,141 | |||||||
| Energy - Independent - 4.8% | ||||||||
| ATP Oil & Gas Corp., 11.875%, 2015 | $ | 790,000 | $ | 513,500 | ||||
| Bill Barrett Corp., 9.875%, 2016 | 625,000 | 690,625 | ||||||
| BreitBurn Energy Partners LP, 8.625%, 2020 | 330,000 | 358,050 | ||||||
| BreitBurn Energy Partners LP, 7.875%, 2022 (z) | 410,000 | 429,475 | ||||||
| Carrizo Oil & Gas, Inc., 8.625%, 2018 | 585,000 | 608,400 | ||||||
| Chaparral Energy, Inc., 8.875%, 2017 | 1,210,000 | 1,261,425 | ||||||
| Chesapeake Energy Corp., 6.875%, 2020 | 400,000 | 420,000 | ||||||
| Concho Resources, Inc., 8.625%, 2017 | 420,000 | 472,500 | ||||||
| Concho Resources, Inc., 6.5%, 2022 | 875,000 | 971,250 | ||||||
| Connacher Oil & Gas Ltd., 8.5%, 2019 (n) | 745,000 | 726,375 | ||||||
| Continental Resources, Inc., 8.25%, 2019 | 635,000 | 712,788 | ||||||
| Denbury Resources, Inc., 8.25%, 2020 | 875,000 | 997,500 | ||||||
| Energy XXI Gulf Coast, Inc., 9.25%, 2017 | 895,000 | 991,213 | ||||||
| EXCO Resources, Inc., 7.5%, 2018 | 1,255,000 | 1,123,225 | ||||||
| Harvest Operations Corp., 6.875%, 2017 (n) | 1,380,000 | 1,457,625 | ||||||
| Hilcorp Energy I/Hilcorp Finance Co., 8%, 2020 (n) | 265,000 | 291,500 | ||||||
| Laredo Petroleum, Inc., 9.5%, 2019 | 635,000 | 700,088 | ||||||
| LINN Energy LLC, 6.5%, 2019 (n) | 440,000 | 448,800 | ||||||
| LINN Energy LLC, 8.625%, 2020 | 605,000 | 671,550 | ||||||
| LINN Energy LLC, 7.75%, 2021 | 648,000 | 696,600 | ||||||
| Newfield Exploration Co., 6.625%, 2014 | 650,000 | 659,750 | ||||||
| Newfield Exploration Co., 6.625%, 2016 | 560,000 | 574,000 | ||||||
| Newfield Exploration Co., 6.875%, 2020 | 475,000 | 513,000 | ||||||
| OGX Petroleo e Gas Participacoes S.A., 8.5%, 2018 (n) | 1,303,000 | 1,358,378 | ||||||
| Pioneer Natural Resources Co., 6.875%, 2018 | 1,175,000 | 1,380,240 | ||||||
| Pioneer Natural Resources Co., 7.5%, 2020 | 1,015,000 | 1,254,307 | ||||||
| QEP Resources, Inc., 6.875%, 2021 | 1,690,000 | 1,867,450 | ||||||
| Quicksilver Resources, Inc., 9.125%, 2019 | 287,000 | 289,153 | ||||||
| Range Resources Corp., 8%, 2019 | 1,045,000 | 1,165,175 | ||||||
| SandRidge Energy, Inc., 8%, 2018 (n) | 1,655,000 | 1,712,925 | ||||||
| SM Energy Co., 6.5%, 2021 (n) | 140,000 | 151,200 | ||||||
| Talisman Energy, Inc., 7.75%, 2019 | 280,000 | 350,869 | ||||||
| Whiting Petroleum Corp., 6.5%, 2018 | 820,000 | 882,525 | ||||||
|
|
|
|||||||
| $ | 26,701,461 | |||||||
6
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Energy - Integrated - 0.5% | ||||||||
| Hess Corp., 8.125%, 2019 | $ | 100,000 | $ | 130,190 | ||||
| Husky Energy, Inc., 5.9%, 2014 | 306,000 | 334,075 | ||||||
| Husky Energy, Inc., 7.25%, 2019 | 324,000 | 407,918 | ||||||
| Listrindo Capital B.V., 6.95%, 2019 (z) | 200,000 | 201,612 | ||||||
| Pacific Rubiales Energy Corp., 7.25%, 2021 (n) | 1,395,000 | 1,520,550 | ||||||
|
|
|
|||||||
| $ | 2,594,345 | |||||||
| Engineering - Construction - 0.0% | ||||||||
| B-Corp. Merger Sub, Inc., 8.25%, 2019 (n) | $ | 100,000 | $ | 102,000 | ||||
| Entertainment - 0.8% | ||||||||
| AMC Entertainment, Inc., 8.75%, 2019 | $ | 1,460,000 | $ | 1,522,050 | ||||
| AMC Entertainment, Inc., 9.75%, 2020 | 1,095,000 | 1,023,825 | ||||||
| Cinemark USA, Inc., 8.625%, 2019 | 1,460,000 | 1,624,250 | ||||||
| NAI Entertainment Holdings LLC, 8.25%, 2017 (n) | 370,000 | 407,000 | ||||||
|
|
|
|||||||
| $ | 4,577,125 | |||||||
| Financial Institutions - 3.4% | ||||||||
| Ally Financial, Inc., 5.5%, 2017 | $ | 1,165,000 | $ | 1,179,941 | ||||
| CIT Group, Inc., 5.25%, 2014 (n) | 970,000 | 991,825 | ||||||
| CIT Group, Inc., 7%, 2016 | 662,204 | 663,032 | ||||||
| CIT Group, Inc., 7%, 2017 | 4,795,000 | 4,795,000 | ||||||
| CIT Group, Inc., 6.625%, 2018 (n) | 1,205,000 | 1,298,388 | ||||||
| CIT Group, Inc., 5.5%, 2019 (z) | 1,120,000 | 1,143,800 | ||||||
| Credit Acceptance Corp., 9.125%, 2017 | 615,000 | 654,975 | ||||||
| Credit Acceptance Corp., 9.125%, 2017 (z) | 145,000 | 154,063 | ||||||
| GMAC, Inc., 8%, 2031 | 135,000 | 150,694 | ||||||
| Icahn Enterprises LP, 8%, 2018 (z) | 584,000 | 619,040 | ||||||
| International Lease Finance Corp., 8.75%, 2017 | 940,000 | 1,062,200 | ||||||
| International Lease Finance Corp., 7.125%, 2018 (n) | 1,075,000 | 1,204,000 | ||||||
| Nationstar Mortgage LLC, 10.875%, 2015 | 1,505,000 | 1,565,200 | ||||||
| PHH Corp., 9.25%, 2016 | 455,000 | 457,275 | ||||||
| SLM Corp., 8.45%, 2018 | 890,000 | 996,800 | ||||||
| SLM Corp., 8%, 2020 | 1,385,000 | 1,523,500 | ||||||
| SLM Corp., 7.25%, 2022 | 255,000 | 269,344 | ||||||
|
|
|
|||||||
| $ | 18,729,077 | |||||||
| Food & Beverages - 1.7% | ||||||||
| Anheuser Busch InBev S.A., 6.875%, 2019 | $ | 1,300,000 | $ | 1,680,296 | ||||
| ARAMARK Corp., 8.5%, 2015 | 1,154,000 | 1,184,304 | ||||||
| B&G Foods, Inc., 7.625%, 2018 | 875,000 | 948,281 | ||||||
| Constellation Brands, Inc., 7.25%, 2016 | 1,020,000 | 1,152,600 | ||||||
| Corporacion Jose R Lindey S.A., 6.75%, 2021 (n) | 79,000 | 84,728 | ||||||
| Grupo Bimbo S.A.B. de C.V., 4.5%, 2022 (n) | 218,000 | 224,718 | ||||||
| JBS USA LLC/JBS USA Finance, 8.25%, 2020 (z) | 665,000 | 686,613 | ||||||
| Pinnacle Foods Finance LLC, 9.25%, 2015 | 990,000 | 1,017,225 | ||||||
| Pinnacle Foods Finance LLC, 10.625%, 2017 | 205,000 | 216,659 | ||||||
| Pinnacle Foods Finance LLC, 8.25%, 2017 | 190,000 | 205,675 | ||||||
| TreeHouse Foods, Inc., 7.75%, 2018 | 1,045,000 | 1,144,275 | ||||||
| Tyson Foods, Inc., 6.85%, 2016 | 912,000 | 1,039,680 | ||||||
|
|
|
|||||||
| $ | 9,585,054 | |||||||
| Forest & Paper Products - 1.3% | ||||||||
| Boise, Inc., 8%, 2020 | $ | 820,000 | $ | 899,950 | ||||
| Cascades, Inc., 7.75%, 2017 | 1,535,000 | 1,573,375 | ||||||
| Georgia-Pacific Corp., 8%, 2024 | 260,000 | 336,566 | ||||||
| Graphic Packaging Holding Co., 7.875%, 2018 | 510,000 | 561,000 | ||||||
7
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Forest & Paper Products - continued | ||||||||
| Inversiones CMPC S.A., 4.75%, 2018 (n) | $ | 699,000 | $ | 732,690 | ||||
| Millar Western Forest Products Ltd., 8.5%, 2021 (z) | 120,000 | 90,300 | ||||||
| Smurfit Kappa Group PLC, 7.75%, 2019 (n) | EUR | 560,000 | 803,910 | |||||
| Tembec Industries, Inc., 11.25%, 2018 (z) | $ | 300,000 | 322,500 | |||||
| Tembec Industries, Inc., 11.25%, 2018 | 415,000 | 446,125 | ||||||
| Votorantim Participacoes S.A., 6.75%, 2021 (n) | 650,000 | 708,500 | ||||||
| Xerium Technologies, Inc., 8.875%, 2018 | 815,000 | 731,463 | ||||||
|
|
|
|||||||
| $ | 7,206,379 | |||||||
| Gaming & Lodging - 3.3% | ||||||||
| Boyd Gaming Corp., 7.125%, 2016 | $ | 650,000 | $ | 624,000 | ||||
| Caesars Operating Escrow LLC, 8.5%, 2020 (z) | 265,000 | 270,300 | ||||||
| Firekeepers Development Authority, 13.875%, 2015 (n) | 460,000 | 515,775 | ||||||
| Fontainebleau Las Vegas Holdings LLC, 10.25%, 2015 (a)(d)(n) | 460,000 | 288 | ||||||
| GWR Operating Partnership LLP, 10.875%, 2017 | 680,000 | 761,600 | ||||||
| Harrah’s Operating Co., Inc., 11.25%, 2017 | 1,225,000 | 1,341,375 | ||||||
| Harrah’s Operating Co., Inc., 10%, 2018 | 735,000 | 560,438 | ||||||
| Harrah’s Operating Co., Inc., 10%, 2018 | 719,000 | 555,428 | ||||||
| Host Hotels & Resorts, Inc., 6.75%, 2016 | 930,000 | 961,388 | ||||||
| Host Hotels & Resorts, Inc., 9%, 2017 | 425,000 | 471,750 | ||||||
| MGM Mirage, 10.375%, 2014 | 30,000 | 34,125 | ||||||
| MGM Mirage, 6.625%, 2015 | 265,000 | 268,313 | ||||||
| MGM Mirage, 7.5%, 2016 | 105,000 | 106,838 | ||||||
| MGM Resorts International, 11.375%, 2018 | 2,620,000 | 3,091,600 | ||||||
| MGM Resorts International, 9%, 2020 | 655,000 | 731,963 | ||||||
| Penn National Gaming, Inc., 8.75%, 2019 | 1,640,000 | 1,840,900 | ||||||
| Pinnacle Entertainment, Inc., 8.75%, 2020 | 525,000 | 555,188 | ||||||
| Seven Seas Cruises S. de R.L., 9.125%, 2019 (n) | 900,000 | 927,000 | ||||||
| Starwood Hotels & Resorts Worldwide, Inc., 6.75%, 2018 | 1,485,000 | 1,726,313 | ||||||
| Wyndham Worldwide Corp., 6%, 2016 | 985,000 | 1,118,073 | ||||||
| Wyndham Worldwide Corp., 7.375%, 2020 | 405,000 | 495,292 | ||||||
| Wynn Las Vegas LLC, 7.75%, 2020 | 1,230,000 | 1,386,825 | ||||||
|
|
|
|||||||
| $ | 18,344,772 | |||||||
| Industrial - 0.6% | ||||||||
| Altra Holdings, Inc., 8.125%, 2016 | $ | 350,000 | $ | 378,875 | ||||
| Dematic S.A., 8.75%, 2016 (z) | 1,120,000 | 1,159,200 | ||||||
| Hillman Group, Inc., 10.875%, 2018 | 670,000 | 701,825 | ||||||
| Hyva Global B.V., 8.625%, 2016 (n) | 779,000 | 666,045 | ||||||
| Mueller Water Products, Inc., 8.75%, 2020 | 573,000 | 641,760 | ||||||
|
|
|
|||||||
| $ | 3,547,705 | |||||||
| Insurance - 1.2% | ||||||||
| American International Group, Inc., 4.875%, 2016 | $ | 1,480,000 | $ | 1,556,596 | ||||
| American International Group, Inc., 8.25%, 2018 | 665,000 | 796,510 | ||||||
| American International Group, Inc., 8.175% to 2038, FRN to 2068 | 695,000 | 735,831 | ||||||
| MetLife, Inc., 9.25% to 2038, FRN to 2068 (n) | 1,100,000 | 1,353,000 | ||||||
| Metropolitan Life Global Funding I, 5.125%, 2014 (n) | 860,000 | 928,296 | ||||||
| Unum Group, 7.125%, 2016 | 1,171,000 | 1,339,473 | ||||||
|
|
|
|||||||
| $ | 6,709,706 | |||||||
| Insurance - Health - 0.1% | ||||||||
| AMERIGROUP Corp., 7.5%, 2019 | $ | 630,000 | $ | 693,000 | ||||
| Insurance - Property & Casualty - 1.8% | ||||||||
| Allstate Corp., 7.45%, 2019 | $ | 850,000 | $ | 1,078,844 | ||||
| AXIS Capital Holdings Ltd., 5.75%, 2014 | 1,013,000 | 1,077,399 | ||||||
8
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Insurance - Property & Casualty - continued | ||||||||
| Liberty Mutual Group, Inc., 10.75% to 2038, FRN to 2088 (n) | $ | 1,635,000 | $ | 2,133,675 | ||||
| USI Holdings Corp., 9.75%, 2015 (z) | 615,000 | 616,538 | ||||||
| USI Holdings Corp., FRN, 4.377%, 2014 (n) | 2,005,000 | 1,859,638 | ||||||
| XL Group PLC, 6.5% to 2017, FRN to 2049 | 1,610,000 | 1,364,475 | ||||||
| ZFS Finance USA Trust II, 6.45% to 2016, FRN to 2065 (n) | 1,190,000 | 1,154,300 | ||||||
| ZFS Finance USA Trust V, 6.5% to 2017, FRN to 2067 (n) | 627,000 | 590,948 | ||||||
|
|
|
|||||||
| $ | 9,875,817 | |||||||
| International Market Quasi-Sovereign - 1.7% | ||||||||
| Bank of Ireland, 2.75%, 2012 (n) | $ | 1,480,000 | $ | 1,480,000 | ||||
| Commonwealth Bank of Australia, 2.9%, 2014 (n) | 1,780,000 | 1,861,148 | ||||||
| ING Bank N.V., 3.9%, 2014 (n) | 1,390,000 | 1,458,741 | ||||||
| Irish Life & Permanent PLC, 3.6%, 2013 (e)(n) | 1,900,000 | 1,812,765 | ||||||
| Israel Electric Corp. Ltd., 6.7%, 2017 (z) | 588,000 | 601,154 | ||||||
| KFW International Finance, Inc., 4.875%, 2019 | 1,000,000 | 1,189,527 | ||||||
| Societe Financement de l’ Economie Francaise, 3.375%, 2014 (n) | 1,000,000 | 1,043,192 | ||||||
|
|
|
|||||||
| $ | 9,446,527 | |||||||
| International Market Sovereign - 9.8% | ||||||||
| Commonwealth of Australia, 5.75%, 2021 | AUD | 1,232,000 | $ | 1,500,025 | ||||
| Federal Republic of Germany, 3.75%, 2015 | EUR | 3,425,000 | 5,006,662 | |||||
| Federal Republic of Germany, 4.25%, 2018 | EUR | 711,000 | 1,127,994 | |||||
| Federal Republic of Germany, 6.25%, 2030 | EUR | 847,000 | 1,728,684 | |||||
| Government of Canada, 4.5%, 2015 | CAD | 747,000 | 832,364 | |||||
| Government of Canada, 4.25%, 2018 | CAD | 447,000 | 523,123 | |||||
| Government of Canada, 5.75%, 2033 | CAD | 136,000 | 208,182 | |||||
| Government of Japan, 1.3%, 2014 | JPY | 225,600,000 | 2,864,129 | |||||
| Government of Japan, 1.7%, 2017 | JPY | 644,600,000 | 8,476,383 | |||||
| Government of Japan, 2.2%, 2027 | JPY | 619,000,000 | 8,323,003 | |||||
| Kingdom of Belgium, 5.5%, 2017 | EUR | 1,360,000 | 2,071,939 | |||||
| Kingdom of Spain, 4.6%, 2019 | EUR | 1,835,000 | 2,487,460 | |||||
| Kingdom of Sweden, 4.5%, 2015 | SEK | 2,635,000 | 442,631 | |||||
| Kingdom of the Netherlands, 5.5%, 2028 | EUR | 454,000 | 827,654 | |||||
| Republic of Austria, 4.65%, 2018 | EUR | 823,000 | 1,240,670 | |||||
| Republic of Finland, 3.875%, 2017 | EUR | 264,000 | 395,492 | |||||
| Republic of France, 6%, 2025 | EUR | 388,000 | 665,654 | |||||
| Republic of France, 4.75%, 2035 | EUR | 1,370,000 | 2,137,003 | |||||
| Republic of Iceland, 4.875%, 2016 (n) | $ | 1,646,000 | 1,644,927 | |||||
| Republic of Italy, 4.25%, 2015 | EUR | 1,702,000 | 2,348,526 | |||||
| Republic of Italy, 5.25%, 2017 | EUR | 3,255,000 | 4,573,415 | |||||
| United Kingdom Treasury, 8%, 2015 | GBP | 755,000 | 1,530,659 | |||||
| United Kingdom Treasury, 8%, 2021 | GBP | 953,000 | 2,295,812 | |||||
| United Kingdom Treasury, 4.25%, 2036 | GBP | 739,000 | 1,393,528 | |||||
|
|
|
|||||||
| $ | 54,645,919 | |||||||
| Machinery & Tools - 1.2% | ||||||||
| Case Corp., 7.25%, 2016 | $ | 710,000 | $ | 782,775 | ||||
| Case New Holland, Inc., 7.875%, 2017 | 2,235,000 | 2,626,125 | ||||||
| CNH Capital LLC, 6.25%, 2016 (n) | 280,000 | 301,000 | ||||||
| Rental Service Corp., 9.5%, 2014 | 105,000 | 108,413 | ||||||
| RSC Equipment Rental, Inc., 8.25%, 2021 | 940,000 | 996,400 | ||||||
| UR Financing Escrow Corp., 5.75%, 2018 (z) | 1,000,000 | 1,027,500 | ||||||
| UR Financing Escrow Corp., 7.625%, 2022 (z) | 1,000,000 | 1,035,000 | ||||||
|
|
|
|||||||
| $ | 6,877,213 | |||||||
| Major Banks - 2.0% | ||||||||
| Bank of America Corp., 7.375%, 2014 | $ | 1,000,000 | $ | 1,080,851 | ||||
| Bank of America Corp., 5.65%, 2018 | 545,000 | 565,430 | ||||||
9
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Major Banks - continued | ||||||||
| Bank of America Corp., 7.625%, 2019 | $ | 370,000 | $ | 418,342 | ||||
| BNP Paribas, FRN, 3.313%, 2014 | 1,216,000 | 1,216,361 | ||||||
| Credit Suisse New York, 5.5%, 2014 | 1,000,000 | 1,070,361 | ||||||
| HSBC USA, Inc., 4.875%, 2020 | 460,000 | 463,103 | ||||||
| JPMorgan Chase & Co., 6.3%, 2019 | 1,000,000 | 1,175,558 | ||||||
| Morgan Stanley, 5.75%, 2016 | 397,000 | 412,520 | ||||||
| Morgan Stanley, 6.625%, 2018 | 391,000 | 414,564 | ||||||
| Morgan Stanley, 7.3%, 2019 | 830,000 | 895,822 | ||||||
| Morgan Stanley, 5.625%, 2019 | 1,500,000 | 1,499,765 | ||||||
| RBS Capital Trust II, 6.425% to 2034, FRN to 2049 (a)(d) | 530,000 | 355,100 | ||||||
| Royal Bank of Scotland Group PLC, 6.99% to 2017, FRN to 2049 (a)(d)(n) | 350,000 | 280,875 | ||||||
| Royal Bank of Scotland Group PLC, 7.648% to 2031, FRN to 2049 | 1,335,000 | 1,104,713 | ||||||
| UniCredito Luxembourg Finance S.A., 6%, 2017 (n) | 387,000 | 343,034 | ||||||
|
|
|
|||||||
| $ | 11,296,399 | |||||||
| Medical & Health Technology & Services - 3.8% | ||||||||
| Biomet, Inc., 10%, 2017 | $ | 545,000 | $ | 592,006 | ||||
| Biomet, Inc., 10.375%, 2017 (p) | 320,000 | 348,400 | ||||||
| Biomet, Inc., 11.625%, 2017 | 2,440,000 | 2,662,650 | ||||||
| Davita, Inc., 6.375%, 2018 | 1,930,000 | 2,045,800 | ||||||
| Davita, Inc., 6.625%, 2020 | 575,000 | 616,688 | ||||||
| Emdeon, Inc., 11%, 2019 (n) | 330,000 | 369,600 | ||||||
| Fresenius Medical Care AG & Co. KGaA, 9%, 2015 (n) | 665,000 | 768,075 | ||||||
| Fresenius Medical Care Capital Trust III, 5.625%, 2019 (z) | 345,000 | 367,425 | ||||||
| HCA, Inc., 8.5%, 2019 | 2,575,000 | 2,884,000 | ||||||
| HCA, Inc., 7.5%, 2022 | 715,000 | 773,988 | ||||||
| HCA, Inc., 5.875%, 2022 | 330,000 | 338,250 | ||||||
| HealthSouth Corp., 8.125%, 2020 | 1,685,000 | 1,852,447 | ||||||
| Hospira, Inc., 6.05%, 2017 | 655,000 | 732,758 | ||||||
| McKesson Corp., 7.5%, 2019 | 110,000 | 142,214 | ||||||
| Owens & Minor, Inc., 6.35%, 2016 | 970,000 | 1,054,617 | ||||||
| Physio-Control International, Inc., 9.875%, 2019 (z) | 555,000 | 582,750 | ||||||
| Teleflex, Inc., 6.875%, 2019 | 595,000 | 641,113 | ||||||
| Tenet Healthcare Corp., 9.25%, 2015 | 605,000 | 671,550 | ||||||
| United Surgical Partners International, Inc., 8.875%, 2017 | 365,000 | 380,969 | ||||||
| United Surgical Partners International, Inc., 9.25%, 2017 (p) | 385,000 | 399,438 | ||||||
| Universal Health Services, Inc., 7%, 2018 | 255,000 | 272,850 | ||||||
| Universal Hospital Services, Inc., 8.5%, 2015 (p) | 1,795,000 | 1,848,850 | ||||||
| Vanguard Health Systems, Inc., 0%, 2016 | 5,000 | 3,288 | ||||||
| Vanguard Health Systems, Inc., 8%, 2018 | 405,000 | 426,263 | ||||||
| WP Rocket Merger Sub, Inc., 10.125%, 2019 (n) | 515,000 | 475,088 | ||||||
|
|
|
|||||||
| $ | 21,251,077 | |||||||
| Metals & Mining - 3.1% | ||||||||
| AK Steel Corp., 7.625%, 2020 | $ | 415,000 | $ | 417,594 | ||||
| ArcelorMittal, 6.5%, 2014 | 1,300,000 | 1,393,707 | ||||||
| ArcelorMittal, 9.85%, 2019 | 1,710,000 | 2,074,105 | ||||||
| Arch Coal, Inc., 7.25%, 2020 | 470,000 | 468,825 | ||||||
| Cloud Peak Energy, Inc., 8.25%, 2017 | 2,130,000 | 2,273,775 | ||||||
| Cloud Peak Energy, Inc., 8.5%, 2019 | 760,000 | 826,500 | ||||||
| Consol Energy, Inc., 8%, 2017 | 1,425,000 | 1,549,688 | ||||||
| Consol Energy, Inc., 8.25%, 2020 | 480,000 | 523,200 | ||||||
| Fortescue Metals Group Ltd., 6.875%, 2018 (n) | 200,000 | 211,000 | ||||||
| Fortescue Metals Group Ltd., 8.25%, 2019 (n) | 990,000 | 1,093,950 | ||||||
| Freeport-McMoRan Copper & Gold, Inc., 8.375%, 2017 | 1,045,000 | 1,093,886 | ||||||
| Gold Fields Orogen Holding Ltd., 4.875%, 2020 (n) | 1,410,000 | 1,343,104 | ||||||
| Peabody Energy Corp., 7.375%, 2016 | 1,070,000 | 1,209,100 | ||||||
10
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Metals & Mining - continued | ||||||||
| Peabody Energy Corp., 6%, 2018 (n) | $ | 445,000 | $ | 466,138 | ||||
| Peabody Energy Corp., 6.25%, 2021 (n) | 445,000 | 466,138 | ||||||
| Southern Copper Corp., 6.75%, 2040 | 553,000 | 602,418 | ||||||
| Teck Resources Ltd., 9.75%, 2014 | 167,000 | 199,441 | ||||||
| Vale Overseas Ltd., 4.625%, 2020 | 490,000 | 524,476 | ||||||
| Vale Overseas Ltd., 6.875%, 2039 | 341,000 | 420,094 | ||||||
|
|
|
|||||||
| $ | 17,157,139 | |||||||
| Mortgage-Backed - 4.0% | ||||||||
| Fannie Mae, 4.1%, 2013 | $ | 477,221 | $ | 489,626 | ||||
| Fannie Mae, 4.19%, 2013 | 397,593 | 410,335 | ||||||
| Fannie Mae, 4.845%, 2013 | 134,541 | 138,770 | ||||||
| Fannie Mae, 4.563%, 2014 | 252,143 | 266,770 | ||||||
| Fannie Mae, 4.6%, 2014 | 410,495 | 432,016 | ||||||
| Fannie Mae, 4.61%, 2014 | 468,927 | 495,370 | ||||||
| Fannie Mae, 4.77%, 2014 | 318,965 | 339,486 | ||||||
| Fannie Mae, 4.56%, 2015 | 172,703 | 186,087 | ||||||
| Fannie Mae, 4.665%, 2015 | 140,123 | 151,221 | ||||||
| Fannie Mae, 4.7%, 2015 | 133,779 | 144,451 | ||||||
| Fannie Mae, 4.74%, 2015 | 332,093 | 359,803 | ||||||
| Fannie Mae, 4.78%, 2015 | 386,474 | 421,181 | ||||||
| Fannie Mae, 4.815%, 2015 | 351,564 | 381,947 | ||||||
| Fannie Mae, 4.87%, 2015 | 283,136 | 307,131 | ||||||
| Fannie Mae, 4.89%, 2015 | 94,553 | 102,241 | ||||||
| Fannie Mae, 4.893%, 2015 | 588,381 | 644,209 | ||||||
| Fannie Mae, 6%, 2016 - 2037 | 2,395,214 | 2,636,959 | ||||||
| Fannie Mae, 5.5%, 2019 - 2035 | 5,031,466 | 5,494,545 | ||||||
| Fannie Mae, 4.88%, 2020 | 230,509 | 253,379 | ||||||
| Fannie Mae, 4%, 2025 | 1,906,227 | 2,059,406 | ||||||
| Fannie Mae, 6.5%, 2032 - 2033 | 559,629 | 638,516 | ||||||
| Fannie Mae, 5%, 2035 | 1,737,044 | 1,877,674 | ||||||
| Freddie Mac, 6%, 2034 | 271,026 | 302,242 | ||||||
| Ginnie Mae, 5.5%, 2039 | 1,563,525 | 1,734,400 | ||||||
| Ginnie Mae, 4.5%, 2041 | 1,782,637 | 1,949,326 | ||||||
|
|
|
|||||||
| $ | 22,217,091 | |||||||
| Natural Gas - Distribution - 0.2% | ||||||||
| AmeriGas Finance LLC, 6.75%, 2020 | $ | 775,000 | $ | 798,250 | ||||
| Ferrellgas LP/Ferrellgas Finance Corp., 6.5%, 2021 | 400,000 | 354,000 | ||||||
|
|
|
|||||||
| $ | 1,152,250 | |||||||
| Natural Gas - Pipeline - 1.9% | ||||||||
| Atlas Pipeline Partners LP, 8.75%, 2018 | $ | 185,000 | $ | 197,950 | ||||
| Atlas Pipeline Partners LP/Finance Corp., 8.75%, 2018 (n) | 910,000 | 969,150 | ||||||
| Crosstex Energy, Inc., 8.875%, 2018 | 1,205,000 | 1,307,425 | ||||||
| El Paso Corp., 7%, 2017 | 1,395,000 | 1,558,827 | ||||||
| El Paso Corp., 7.75%, 2032 | 1,481,000 | 1,763,424 | ||||||
| Energy Transfer Equity LP, 7.5%, 2020 | 1,380,000 | 1,580,100 | ||||||
| Enterprise Products Partners LP, 8.375% to 2016, FRN to 2066 | 1,426,000 | 1,543,659 | ||||||
| Enterprise Products Partners LP, 7.034% to 2018, FRN to 2068 | 256,000 | 273,920 | ||||||
| Rockies Express Pipeline, 5.625%, 2020 (n) | 347,000 | 312,300 | ||||||
| Spectra Energy Capital LLC, 8%, 2019 | 810,000 | 1,037,107 | ||||||
|
|
|
|||||||
| $ | 10,543,862 | |||||||
| Network & Telecom - 1.9% | ||||||||
| AT&T, Inc., 6.55%, 2039 | $ | 170,000 | $ | 216,783 | ||||
| AT&T, Inc., 5.35%, 2040 | 1,108,000 | 1,248,350 | ||||||
11
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Network & Telecom - continued | ||||||||
| Cincinnati Bell, Inc., 8.25%, 2017 | $ | 1,020,000 | $ | 1,053,150 | ||||
| Cincinnati Bell, Inc., 8.75%, 2018 | 555,000 | 528,638 | ||||||
| Citizens Communications Co., 9%, 2031 | 840,000 | 819,000 | ||||||
| Eileme 2 AB, 11.625%, 2020 (n) | 765,000 | 803,250 | ||||||
| Frontier Communications Corp., 8.125%, 2018 | 1,065,000 | 1,147,538 | ||||||
| Qwest Communications International, Inc., 7.125%, 2018 (n) | 1,075,000 | 1,150,250 | ||||||
| Telefonica Emisiones S.A.U., 2.582%, 2013 | 995,000 | 994,772 | ||||||
| Windstream Corp., 8.125%, 2018 | 380,000 | 416,100 | ||||||
| Windstream Corp., 7.75%, 2020 | 1,725,000 | 1,884,563 | ||||||
| Windstream Corp., 7.75%, 2021 | 415,000 | 453,388 | ||||||
|
|
|
|||||||
| $ | 10,715,782 | |||||||
| Oil Services - 0.8% | ||||||||
| Afren PLC, 11.5%, 2016 (n) | $ | 200,000 | $ | 212,000 | ||||
| Chesapeake Energy Corp., 6.625%, 2019 (n) | 370,000 | 377,400 | ||||||
| Dresser-Rand Group, Inc., 6.5%, 2021 (n) | 135,000 | 141,413 | ||||||
| Edgen Murray Corp., 12.25%, 2015 | 595,000 | 606,900 | ||||||
| Expro Finance Luxembourg, 8.5%, 2016 (n) | 525,000 | 471,188 | ||||||
| Pioneer Drilling Co., 9.875%, 2018 | 975,000 | 1,043,250 | ||||||
| QGOG Atlantic/Alaskan Rigs Ltd., 5.25%, 2018 (n) | 1,341,317 | 1,371,497 | ||||||
| Unit Corp., 6.625%, 2021 | 215,000 | 220,106 | ||||||
|
|
|
|||||||
| $ | 4,443,754 | |||||||
| Other Banks & Diversified Financials - 2.1% | ||||||||
| Alfa Bank, 7.75%, 2021 (n) | $ | 829,000 | $ | 822,783 | ||||
| Banco Bradesco S.A., 5.75%, 2022 (z) | 518,000 | 523,127 | ||||||
| Banco Santander U.S. Debt S.A.U., 3.781%, 2015 (n) | 1,400,000 | 1,348,074 | ||||||
| Bancolombia S.A., 5.95%, 2021 | 819,000 | 849,713 | ||||||
| BBVA Bancomer S.A. Texas, 6.5%, 2021 (n) | 900,000 | 918,000 | ||||||
| BBVA Continental, 5.75%, 2017 (n) | 500,000 | 518,750 | ||||||
| Capital One Financial Corp., 8.8%, 2019 | 320,000 | 391,062 | ||||||
| Capital One Financial Corp., 10.25%, 2039 | 1,000,000 | 1,042,500 | ||||||
| Groupe BPCE S.A., 12.5% to 2019, FRN to 2049 (n) | 2,137,000 | 2,196,174 | ||||||
| Grupo Aval Ltd., 5.25%, 2017 (n) | 205,000 | 211,150 | ||||||
| Itau Unibanco Holding S.A., 6.2%, 2021 (n) | 200,000 | 209,000 | ||||||
| LBG Capital No. 1 PLC, 7.875%, 2020 (n) | 1,440,000 | 1,231,920 | ||||||
| Santander UK PLC, 8.963% to 2030, FRN to 2049 | 1,485,000 | 1,483,144 | ||||||
|
|
|
|||||||
| $ | 11,745,397 | |||||||
| Pharmaceuticals - 0.5% | ||||||||
| Capsugel FinanceCo. SCA, 9.875%, 2019 (n) | EUR | 651,000 | $ | 932,376 | ||||
| Endo Pharmaceuticals Holdings, Inc., 7%, 2019 | $ | 60,000 | 66,000 | |||||
| Roche Holdings, Inc., 6%, 2019 (n) | 1,000,000 | 1,228,410 | ||||||
| Valeant Pharmaceuticals International, Inc., 6.5%, 2016 (z) | 260,000 | 265,200 | ||||||
| Valeant Pharmaceuticals International, Inc., 7%, 2020 (n) | 495,000 | 501,806 | ||||||
|
|
|
|||||||
| $ | 2,993,792 | |||||||
| Pollution Control - 0.3% | ||||||||
| Allied Waste North America, Inc., 6.875%, 2017 | $ | 870,000 | $ | 912,413 | ||||
| WCA Waste Corp., 7.5%, 2019 (n) | 605,000 | 612,563 | ||||||
|
|
|
|||||||
| $ | 1,524,976 | |||||||
| Printing & Publishing - 0.2% | ||||||||
| American Media, Inc., 13.5%, 2018 (z) | $ | 11,911 | $ | 9,171 | ||||
| Nielsen Finance LLC, 11.5%, 2016 | 354,000 | 409,755 | ||||||
| Nielsen Finance LLC, 7.75%, 2018 | 645,000 | 717,563 | ||||||
|
|
|
|||||||
| $ | 1,136,489 | |||||||
12
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Railroad & Shipping - 0.1% | ||||||||
| Kansas City Southern de Mexico S.A. de C.V., 6.125%, 2021 | $ | 360,000 | $ | 388,800 | ||||
| Real Estate - 1.0% | ||||||||
| CB Richard Ellis Group, Inc., 11.625%, 2017 | $ | 400,000 | $ | 462,000 | ||||
| CNL Lifestyle Properties, Inc., REIT, 7.25%, 2019 | 320,000 | 303,200 | ||||||
| Entertainment Properties Trust, REIT, 7.75%, 2020 | 665,000 | 710,161 | ||||||
| HRPT Properties Trust, REIT, 6.25%, 2016 | 1,053,000 | 1,129,296 | ||||||
| Kennedy Wilson, Inc., 8.75%, 2019 | 300,000 | 309,750 | ||||||
| MPT Operating Partnership LP, REIT, 6.875%, 2021 | 680,000 | 722,925 | ||||||
| MPT Operating Partnership LP, REIT, 6.375%, 2022 | 295,000 | 304,588 | ||||||
| Simon Property Group, Inc., REIT, 5.875%, 2017 | 756,000 | 880,986 | ||||||
| Simon Property Group, Inc., REIT, 10.35%, 2019 | 660,000 | 929,526 | ||||||
|
|
|
|||||||
| $ | 5,752,432 | |||||||
| Retailers - 1.7% | ||||||||
| Academy Ltd., 9.25%, 2019 (n) | $ | 485,000 | $ | 489,850 | ||||
| Burlington Coat Factory Warehouse Corp., 10%, 2019 | 810,000 | 831,263 | ||||||
| Home Depot, Inc., 5.875%, 2036 | 509,000 | 636,570 | ||||||
| J. Crew Group, Inc., 8.125%, 2019 | 455,000 | 455,569 | ||||||
| Limited Brands, Inc., 6.9%, 2017 | 480,000 | 535,200 | ||||||
| Limited Brands, Inc., 6.95%, 2033 | 670,000 | 649,900 | ||||||
| Neiman Marcus Group, Inc., 10.375%, 2015 | 855,000 | 890,277 | ||||||
| QVC, Inc., 7.375%, 2020 (n) | 485,000 | 537,138 | ||||||
| Rite Aid Corp., 9.375%, 2015 | 315,000 | 324,450 | ||||||
| Sally Beauty Holdings, Inc., 6.875%, 2019 (n) | 465,000 | 499,875 | ||||||
| Toys “R” Us Property Co. II LLC, 8.5%, 2017 | 1,725,000 | 1,824,188 | ||||||
| Toys “R” Us, Inc., 10.75%, 2017 | 1,040,000 | 1,153,100 | ||||||
| Yankee Acquisition Corp., 8.5%, 2015 | 165,000 | 168,920 | ||||||
| YCC Holdings LLC/Yankee Finance, Inc., 10.25%, 2016 (p) | 285,000 | 276,094 | ||||||
|
|
|
|||||||
| $ | 9,272,394 | |||||||
| Specialty Chemicals - 0.1% | ||||||||
| Koppers, Inc., 7.875%, 2019 | $ | 265,000 | $ | 283,550 | ||||
| Specialty Stores - 0.4% | ||||||||
| Michaels Stores, Inc., 11.375%, 2016 | $ | 635,000 | $ | 673,037 | ||||
| Michaels Stores, Inc., 7.75%, 2018 | 1,660,000 | 1,755,450 | ||||||
|
|
|
|||||||
| $ | 2,428,487 | |||||||
| Steel - 0.2% | ||||||||
| JSC Severstal, 6.25%, 2016 (n) | $ | 1,070,000 | $ | 1,075,629 | ||||
| Supermarkets - 0.1% | ||||||||
| Delhaize Group, 5.7%, 2040 | $ | 834,000 | $ | 785,661 | ||||
| Supranational - 0.5% | ||||||||
| European Investment Bank, 5.125%, 2017 | $ | 2,593,000 | $ | 3,032,511 | ||||
| Telecommunications - Wireless - 2.8% | ||||||||
| Clearwire Corp., 12%, 2015 (n) | $ | 1,530,000 | $ | 1,487,925 | ||||
| Cricket Communications, Inc., 7.75%, 2016 | 560,000 | 596,400 | ||||||
| Cricket Communications, Inc., 7.75%, 2020 | 720,000 | 716,400 | ||||||
| Crown Castle International Corp., 9%, 2015 | 1,475,000 | 1,626,188 | ||||||
| Crown Castle International Corp., 7.75%, 2017 (n) | 430,000 | 468,700 | ||||||
| Crown Castle International Corp., 7.125%, 2019 | 1,005,000 | 1,100,475 | ||||||
| Digicel Group Ltd., 8.25%, 2017 (n) | 821,000 | 870,260 | ||||||
| Digicel Group Ltd., 10.5%, 2018 (n) | 350,000 | 381,500 | ||||||
13
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Telecommunications - Wireless - continued | ||||||||
| MetroPCS Wireless, Inc., 7.875%, 2018 | $ | 705,000 | $ | 756,113 | ||||
| MetroPCS Wireless, Inc., 6.625%, 2020 | 160,000 | 164,800 | ||||||
| Net Servicos de Comunicacao S.A., 7.5%, 2020 | 758,000 | 890,650 | ||||||
| Sprint Capital Corp., 6.875%, 2028 | 1,315,000 | 1,025,700 | ||||||
| Sprint Nextel Corp., 6%, 2016 | 790,000 | 718,900 | ||||||
| Sprint Nextel Corp., 8.375%, 2017 | 315,000 | 308,700 | ||||||
| Sprint Nextel Corp., 9%, 2018 (n) | 415,000 | 462,725 | ||||||
| VimpelCom Ltd., 7.748%, 2021 (n) | 336,000 | 334,656 | ||||||
| VimpelCom Ltd., 7.504%, 2022 (n) | 1,360,000 | 1,333,480 | ||||||
| Wind Acquisition Finance S.A., 11.75%, 2017 (n) | 1,360,000 | 1,394,000 | ||||||
| Wind Acquisition Finance S.A., 7.25%, 2018 (n) | 1,170,000 | 1,140,750 | ||||||
|
|
|
|||||||
| $ | 15,778,322 | |||||||
| Telephone Services - 0.6% | ||||||||
| Brasil Telecom S.A., 5.75%, 2022 (z) | $ | 1,365,000 | $ | 1,399,125 | ||||
| Cogent Communications Group, Inc., 8.375%, 2018 (n) | 445,000 | 468,363 | ||||||
| Level 3 Financing, Inc., 9.375%, 2019 | 475,000 | 524,875 | ||||||
| Level 3 Financing, Inc., 8.625%, 2020 (z) | 450,000 | 480,375 | ||||||
| Sable International Finance Ltd., 8.75%, 2020 (z) | 200,000 | 212,500 | ||||||
|
|
|
|||||||
| $ | 3,085,238 | |||||||
| Tobacco - 0.2% | ||||||||
| Reynolds American, Inc., 6.75%, 2017 | $ | 1,040,000 | $ | 1,238,788 | ||||
| Transportation - 0.1% | ||||||||
| Navios South American Logistics, Inc., 9.25%, 2019 (n) | $ | 313,000 | $ | 259,790 | ||||
| Transportation - Services - 1.7% | ||||||||
| ACL I Corp., 10.625%, 2016 (n)(p) | $ | 837,738 | $ | 796,840 | ||||
| Aguila American Resources Ltd., 7.875%, 2018 (n) | 780,000 | 819,975 | ||||||
| Atlas Airlines, Inc. Pass-Through Certificates, “B”, 7.68%, 2014 | 288,849 | 274,407 | ||||||
| CEVA Group PLC, 8.375%, 2017 (z) | 910,000 | 907,725 | ||||||
| Commercial Barge Line Co., 12.5%, 2017 | 1,525,000 | 1,698,469 | ||||||
| Erac USA Finance Co., 6.375%, 2017 (n) | 1,000,000 | 1,149,390 | ||||||
| Hertz Corp., 7.5%, 2018 | 665,000 | 717,369 | ||||||
| Navios Maritime Acquisition Corp., 8.625%, 2017 | 1,460,000 | 1,215,450 | ||||||
| Navios Maritime Holdings, Inc., 8.875%, 2017 | 480,000 | 475,200 | ||||||
| Swift Services Holdings, Inc., 10%, 2018 | 1,015,000 | 1,110,156 | ||||||
| Westinghouse Air Brake Technologies Corp., 6.875%, 2013 | 370,000 | 388,500 | ||||||
|
|
|
|||||||
| $ | 9,553,481 | |||||||
| U.S. Government Agencies and Equivalents - 0.7% | ||||||||
| Freddie Mac, 5.5%, 2017 | $ | 3,060,000 | $ | 3,754,834 | ||||
| U.S. Treasury Obligations - 2.9% | ||||||||
| U.S. Treasury Bonds, 6.25%, 2023 (f) | $ | 1,800,000 | $ | 2,554,594 | ||||
| U.S. Treasury Bonds, 5.375%, 2031 | 286,200 | 398,802 | ||||||
| U.S. Treasury Bonds, 4.5%, 2036 | 95,000 | 120,798 | ||||||
| U.S. Treasury Bonds, 4.75%, 2037 | 2,986,200 | 3,940,383 | ||||||
| U.S. Treasury Notes, 3.125%, 2019 | 8,087,000 | 9,029,637 | ||||||
|
|
|
|||||||
| $ | 16,044,214 | |||||||
| Utilities - Electric Power - 3.9% | ||||||||
| AES Corp., 8%, 2017 | $ | 1,965,000 | $ | 2,264,663 | ||||
| Allegheny Energy Supply Co. LLC, 8.25%, 2012 (n) | 370,000 | 372,637 | ||||||
| Atlantic Power Corp., 9%, 2018 (z) | 620,000 | 632,400 | ||||||
| Bruce Mansfield Unit, 6.85%, 2034 | 1,512,731 | 1,618,623 | ||||||
14
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Utilities - Electric Power - continued | ||||||||
| Calpine Corp., 8%, 2016 (n) | $ | 1,800,000 | $ | 1,957,500 | ||||
| Calpine Corp., 7.875%, 2020 (n) | 560,000 | 618,800 | ||||||
| CenterPoint Energy, Inc., 6.5%, 2018 | 400,000 | 472,588 | ||||||
| Covanta Holding Corp., 7.25%, 2020 | 905,000 | 965,440 | ||||||
| Dolphin Subsidiary ll, Inc., 7.25%, 2021 (n) | 515,000 | 587,100 | ||||||
| Edison Mission Energy, 7%, 2017 | 975,000 | 653,250 | ||||||
| EDP Finance B.V., 6%, 2018 (n) | 2,048,000 | 1,743,340 | ||||||
| Enel Finance International S.A., 6%, 2039 (n) | 680,000 | 621,867 | ||||||
| Energy Future Holdings Corp., 10%, 2020 | 1,125,000 | 1,216,406 | ||||||
| Energy Future Holdings Corp., 10%, 2020 | 2,920,000 | 3,171,850 | ||||||
| Energy Future Holdings Corp., 11.75%, 2022 (z) | 335,000 | 343,375 | ||||||
| GenOn Energy, Inc., 9.5%, 2018 | 600,000 | 573,000 | ||||||
| GenOn Energy, Inc., 9.875%, 2020 | 1,530,000 | 1,434,375 | ||||||
| NRG Energy, Inc., 7.375%, 2017 | 390,000 | 404,625 | ||||||
| NRG Energy, Inc., 8.25%, 2020 | 750,000 | 759,375 | ||||||
| System Energy Resources, Inc., 5.129%, 2014 (z) | 684,519 | 716,082 | ||||||
| Texas Competitive Electric Holdings Co. LLC, 11.5%, 2020 (n) | 630,000 | 425,250 | ||||||
|
|
|
|||||||
| $ | 21,552,546 | |||||||
| Total Bonds | $ | 609,494,522 | ||||||
| Convertible Bonds - 0.1% | ||||||||
| Network & Telecom - 0.1% | ||||||||
| Nortel Networks Corp., 2.125%, 2014 (a)(d) | $ | 715,000 | $ | 704,275 | ||||
| Floating Rate Loans (g)(r) - 0.1% | ||||||||
| Aerospace - 0.0% | ||||||||
| Hawker Beechcraft Acquisition Co. LLC, Term Loan, 10.5%, 2014 | $ | 199,937 | $ | 151,285 | ||||
| Broadcasting - 0.0% | ||||||||
| Gray Television, Inc., Term Loan B, 3.77%, 2014 | $ | 52,384 | $ | 51,702 | ||||
| Financial Institutions - 0.0% | ||||||||
| Springleaf Finance Corp., Term Loan, 5.5%, 2017 | $ | 63,660 | $ | 57,877 | ||||
| Utilities - Electric Power - 0.1% | ||||||||
| Dynegy Holdings, Inc., CoalCo. Term Loan, 9.25%, 2016 | $ | 70,553 | $ | 69,860 | ||||
| Dynegy Holdings, Inc., GasCo. Term Loan, 9.25%, 2016 | 105,830 | 108,634 | ||||||
|
|
|
|||||||
| $ | 178,494 | |||||||
| Total Floating Rate Loans | $ | 439,358 | ||||||
| Convertible Preferred Stocks - 0.1% | ||||||||
| Automotive - 0.1% | ||||||||
| General Motors Co., 4.75%, 2013 | 11,310 | $ | 482,824 | |||||
| Common Stocks - 0.0% | ||||||||
| Automotive - 0.0% | ||||||||
| Accuride Corp. (a) | 12,648 | $ | 100,552 | |||||
| Printing & Publishing - 0.0% | ||||||||
| American Media Operations, Inc. (a) | 3,053 | $ | 36,300 | |||||
| Total Common Stocks | $ | 136,852 | ||||||
15
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Preferred Stocks - 0.4% | ||||||||
| Other Banks & Diversified Financials - 0.4% | ||||||||
| Ally Financial, Inc., 7% (z) | 380 | $ | 329,721 | |||||
| Ally Financial, Inc., “A”, 8.5% | 55,372 | 1,230,920 | ||||||
| GMAC Capital Trust I, 8.125% | 22,000 | 516,560 | ||||||
| Total Preferred Stocks | $ | 2,077,201 | ||||||
| Money Market Funds - 5.6% | ||||||||
| MFS Institutional Money Market Portfolio, 0.1%, at Net Asset Value (v) | 31,251,475 | $ | 31,251,475 | |||||
| Total Investments | $ | 644,586,507 | ||||||
| Other Assets, Less Liabilities - (16.0)% | (88,878,645 | ) | ||||||
| Net Assets - 100.0% | $ | 555,707,862 | ||||||
| (a) | Non-income producing security. |
| (d) | In default. Interest and/or scheduled principal payment(s) have been missed. |
| (e) | Guaranteed by Minister for Finance of Ireland. |
| (f) | All or a portion of the security has been segregated as collateral for open futures contracts. |
| (g) | The rate shown represents a weighted average coupon rate on settled positions at period end, unless otherwise indicated. |
| (i) | Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security. |
| (n) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $133,808,139, representing 24.1% 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 | |||||||
| Ally Financial, Inc., 7% (Preferred Stock), | 4/13/11-4/14/11 | $356,250 | $329,721 | |||||||
| American Media, Inc., 13.5%, 2018 | 12/22/10 | 12,082 | 9,171 | |||||||
| Anthracite Ltd., “A”, CDO, FRN, 0.605%, 2019 | 1/15/10 | 836,723 | 938,002 | |||||||
| Anthracite Ltd., “BFL”, CDO, FRN, 1.244%, 2037 | 12/09/10 | 2,730,758 | 2,730,000 | |||||||
| Ardagh Packaging Finance PLC, 9.125%, 2020 | 1/19/12-1/20/12 | 523,977 | 557,550 | |||||||
| Atlantic Power Corp., 9%, 2018 | 11/02/11-1/09/12 | 621,791 | 632,400 | |||||||
| Banco Bradesco S.A., 5.75%, 2022 | 2/23/12 | 518,000 | 523,127 | |||||||
| Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.844%, 2040 | 3/01/06 | 796,784 | 449,437 | |||||||
| Brasil Telecom S.A., 5.75%, 2022 | 2/06/12 | 1,365,000 | 1,399,125 | |||||||
| BreitBurn Energy Partners LP, 7.875%, 2022 | 1/11/12 | 411,025 | 429,475 | |||||||
| CDW LLC/CDW Finance Corp., 8.5%, 2019 | 2/02/12 | 276,594 | 283,550 | |||||||
| CEVA Group PLC, 8.375%, 2017 | 1/27/12 | 899,753 | 907,725 | |||||||
| CIT Group, Inc., 5.5%, 2019 | 2/02/12 | 1,120,000 | 1,143,800 | |||||||
| Caesars Operating Escrow LLC, 8.5%, 2020 | 2/09/12 | 265,000 | 270,300 | |||||||
| Clear Channel Worldwide Holdings, Inc., 7.625%, 2020 | 2/29/12 | 390,000 | 390,000 | |||||||
| Clear Channel Worldwide Holdings, Inc., “A”, 7.625%, 2020 | 2/29/12 | 50,000 | 50,000 | |||||||
| Comision Federal de Electricidad, 5.75%, 2042 | 2/07/12 | 1,164,227 | 1,186,960 | |||||||
| Corporacion Financiera de Desarrollo S.A., 4.75%, 2022 | 2/01/12 | 217,546 | 222,370 | |||||||
| Credit Acceptance Corp., 9.125%, 2017 | 2/28/11 | 153,700 | 154,063 | |||||||
| Dematic S.A., 8.75%, 2016 | 4/19/11-10/21/11 | 1,118,293 | 1,159,200 | |||||||
16
Portfolio of Investments (unaudited) – continued
| Restricted Securities – continued | Acquisition Date |
Cost | Value | |||||||
| Dolphin Energy Ltd., 5.5%, 2021 | 2/07/12-2/09/12 | $402,500 | $413,600 | |||||||
| Dynacast International LLC, 9.25%, 2019 | 7/12/11-7/15/11 | 901,525 | 927,825 | |||||||
| Energy Future Holdings Corp., 11.75%, 2022 | 2/01/12-2/03/12 | 332,418 | 343,375 | |||||||
| Fresenius Medical Care Capital Trust III, 5.625%, 2019 | 1/17/12 | 345,000 | 367,425 | |||||||
| Heckler & Koch GmbH, 9.5%, 2018 | 5/06/11-7/11/11 | 700,815 | 444,055 | |||||||
| INEOS Finance PLC, 8.375%, 2019 | 2/03/12-2/06/12 | 820,250 | 850,000 | |||||||
| Icahn Enterprises LP, 8%, 2018 | 1/06/12-1/27/12 | 599,600 | 619,040 | |||||||
| Israel Electric Corp. Ltd., 6.7%, 2017 | 2/07/12 | 588,000 | 601,154 | |||||||
| JBS USA LLC/JBS USA Finance, 8.25%, 2020 | 1/25/12-2/07/12 | 670,893 | 686,613 | |||||||
| Level 3 Financing, Inc., 8.625%, 2020 | 1/10/12-1/11/12 | 450,738 | 480,375 | |||||||
| Listrindo Capital B.V., 6.95%, 2019 | 2/13/12 | 200,000 | 201,612 | |||||||
| Local TV Finance LLC, 9.25%, 2015 | 11/09/07-2/16/11 | 973,548 | 1,012,793 | |||||||
| Millar Western Forest Products Ltd., 8.5%, 2021 | 7/27/11-8/15/11 | 98,957 | 90,300 | |||||||
| Multi Security Asset Trust, “A3”, 5%, 2035 | 10/12/10 | 1,030,243 | 1,048,687 | |||||||
| Nara Cable Funding Ltd., 8.875%, 2018 | 1/26/12 | 460,556 | 463,125 | |||||||
| Physio-Control International, Inc., 9.875%, 2019 | 1/13/12-1/30/12 | 562,300 | 582,750 | |||||||
| Republic of Latvia, 5.25%, 2017 | 2/14/12 | 198,916 | 204,500 | |||||||
| Reynolds Group, 9.875%, 2019 | 2/09/12 | 410,000 | 423,838 | |||||||
| Sable International Finance Ltd., 8.75%, 2020 | 1/20/12 | 200,000 | 212,500 | |||||||
| Spirit Master Funding LLC, 5.05%, 2023 | 7/15/05 | 1,327,357 | 1,232,191 | |||||||
| System Energy Resources, Inc., 5.129%, 2014 | 4/16/04 | 684,519 | 716,082 | |||||||
| Tembec Industries, Inc., 11.25%, 2018 | 2/17/12 | 316,500 | 322,500 | |||||||
| UPC Holding B.V., 9.875%, 2018 | 1/26/12 | 462,000 | 466,200 | |||||||
| UR Financing Escrow Corp., 5.75%, 2018 | 2/27/12 | 1,025,000 | 1,027,500 | |||||||
| UR Financing Escrow Corp., 7.625%, 2022 | 2/27/12 | 1,026,250 | 1,035,000 | |||||||
| USI Holdings Corp., 9.75%, 2015 | 4/07/10 | 597,502 | 616,538 | |||||||
| Valeant Pharmaceuticals International, Inc., 6.5%, 2016 | 2/28/12 | 266,825 | 265,200 | |||||||
| Videotron Ltee, 5%, 2022 | 2/29/12 | 290,000 | 290,000 | |||||||
| Total Restricted Securities | $29,710,754 | |||||||||
| % of Net assets | 5.3% | |||||||||
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 |
Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below:
| AUD | Australian Dollar | |
| CAD | Canadian Dollar | |
| CNY | Chinese Yuan Renminbi | |
| EUR | Euro | |
| GBP | British Pound | |
| JPY | Japanese Yen | |
| MXN | Mexican Peso | |
| NOK | Norwegian Krone | |
| SEK | Swedish Krona | |
| SGD | Singapore Dollar |
17
Portfolio of Investments (unaudited) – continued
Derivative Contracts at 2/29/12
Forward Foreign Currency Exchange Contracts at 2/29/12
| Type | Currency | Counterparty | Contracts to Deliver/Receive |
Settlement Date Range |
In Exchange For |
Contracts at Value |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||||
| Asset Derivatives | ||||||||||||||||||||||||
| BUY | CNY | Deutsche Bank AG | 16,306,000 | 5/16/12 | $ | 2,558,807 | $ | 2,587,631 | $ | 28,824 | ||||||||||||||
| SELL | EUR | UBS AG | 20,747,336 | 3/15/12 | 27,760,973 | 27,643,057 | 117,916 | |||||||||||||||||
| SELL | JPY | HSBC Bank | 1,550,657,496 | 4/12/12 | 20,153,590 | 19,082,244 | 1,071,346 | |||||||||||||||||
| SELL | JPY | Merrill Lynch International Bank | 52,689,446 | 4/12/12 | 684,527 | 648,391 | 36,136 | |||||||||||||||||
| SELL | MXN | Citibank N.A. | 22,574,000 | 5/14/12 | 1,765,233 | 1,747,580 | 17,653 | |||||||||||||||||
| SELL | MXN | Deutsche Bank AG | 1,500 | 5/14/12 | 117 | 116 | 1 | |||||||||||||||||
| SELL | MXN | Royal Bank of Scotland Group PLC | 14,702,000 | 5/14/12 | 1,149,639 | 1,138,164 | 11,475 | |||||||||||||||||
| BUY | NOK | Credit Suisse Group | 8,412 | 4/12/12 | 1,395 | 1,502 | 107 | |||||||||||||||||
| BUY | SGD | Barclays Bank PLC | 2,752,000 | 4/12/12 | 2,159,787 | 2,200,515 | 40,728 | |||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $ | 1,324,186 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Liability Derivatives | ||||||||||||||||||||||||
| SELL | AUD | Westpac Banking Corp. | 1,373,564 | 4/12/12 | $ | 1,393,498 | $ | 1,466,235 | $ | (72,737 | ) | |||||||||||||
| SELL | CAD | Merrill Lynch International Bank | 1,176,510 | 4/12/12 | 1,144,235 | 1,187,969 | (43,734 | ) | ||||||||||||||||
| BUY | EUR | Barclays Bank PLC | 3,530,652 | 4/12/12 | 4,749,846 | 4,704,674 | (45,172 | ) | ||||||||||||||||
| SELL | EUR | Barclays Bank PLC | 1,044,967 | 4/12/12 | 1,330,222 | 1,392,442 | (62,220 | ) | ||||||||||||||||
| SELL | EUR | Credit Suisse Group | 1,236,120 | 4/12/12 | 1,580,751 | 1,647,158 | (66,407 | ) | ||||||||||||||||
| SELL | EUR | Deutsche Bank AG | 783,753 | 4/12/12 | 1,000,027 | 1,044,368 | (44,341 | ) | ||||||||||||||||
| SELL | EUR | JPMorgan Chase Bank N.A. | 490,077 | 4/12/12 | 628,542 | 653,039 | (24,497 | ) | ||||||||||||||||
| SELL | GBP | Barclays Bank PLC | 1,815,488 | 4/12/12 | 2,801,464 | 2,887,419 | (85,955 | ) | ||||||||||||||||
| SELL | GBP | Deutsche Bank AG | 1,547,488 | 4/12/12 | 2,389,585 | 2,461,182 | (71,597 | ) | ||||||||||||||||
| BUY | MXN | JPMorgan Chase Bank N.A. | 37,245,500 | 5/14/12 | 2,900,401 | 2,883,383 | (17,018 | ) | ||||||||||||||||
| SELL | SEK | Goldman Sachs International | 1,465,729 | 4/12/12 | 210,869 | 221,156 | (10,287 | ) | ||||||||||||||||
| SELL | SEK | Merrill Lynch International Bank | 1,465,729 | 4/12/12 | 210,814 | 221,156 | (10,342 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $ | (554,307 | ) | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
Futures Contracts Outstanding at 2/29/12
| Description | Currency | Contracts | Value | Expiration Date | Unrealized Appreciation (Depreciation) |
|||||||||||||
| Asset Derivatives | ||||||||||||||||||
| Interest Rate Futures | ||||||||||||||||||
| U.S. Treasury Note 30 yr (Long) | USD | 23 | $3,258,094 | June - 2012 | $1,910 | |||||||||||||
|
|
|
|||||||||||||||||
| Liability Derivatives | ||||||||||||||||||
| Interest Rate Futures | ||||||||||||||||||
| U.S. Treasury Note 10 yr (Short) | USD | 404 | $52,905,063 | June - 2012 | $(17,171 | ) | ||||||||||||
|
|
|
|||||||||||||||||
At February 29, 2012, the fund had sufficient cash and/or other liquid securities to cover any commitments under these derivative contracts.
See attached supplemental information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.
18
Supplemental Information
2/29/12 (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 financial instruments are derivative
19
Supplemental Information (unaudited) – continued
instruments not reflected in total investments, such as futures and forward foreign currency exchange contracts. The following is a summary of the levels used as of February 29, 2012 in valuing the fund’s assets or liabilities:
| Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Equity Securities | $2,330,856 | $329,721 | $36,300 | $2,696,877 | ||||||||||||
| U.S. Treasury Bonds & U.S. Government Agency & Equivalents |
— | 19,799,048 | — | 19,799,048 | ||||||||||||
| Non-U.S. Sovereign Debt | — | 115,267,725 | — | 115,267,725 | ||||||||||||
| Corporate Bonds | — | 332,004,828 | — | 332,004,828 | ||||||||||||
| Residential Mortgage-Backed Securities | — | 23,210,399 | — | 23,210,399 | ||||||||||||
| Commercial Mortgage-Backed Securities | — | 29,338,397 | — | 29,338,397 | ||||||||||||
| Asset-Backed Securities (including CDOs) | — | 5,279,039 | — | 5,279,039 | ||||||||||||
| Foreign Bonds | — | 85,299,361 | — | 85,299,361 | ||||||||||||
| Floating Rate Loans | — | 439,358 | — | 439,358 | ||||||||||||
| Mutual Funds | 31,251,475 | — | — | 31,251,475 | ||||||||||||
| Total Investments | $33,582,331 | $610,967,876 | $36,300 | $644,586,507 | ||||||||||||
| Other Financial Instruments | ||||||||||||||||
| Futures | $(15,261 | ) | $— | $— | $(15,261 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts | — | 769,879 | — | 769,879 | ||||||||||||
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 11/30/11 | $36,300 | |||
| Change in unrealized appreciation (depreciation) |
0 | |||
| Balance as of 2/29/12 | $36,300 | |||
The net change in unrealized appreciation (depreciation) from investments still held as level 3 at February 29, 2012 is $0.
| (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 | $614,793,447 | |||
| Gross unrealized appreciation | $40,921,756 | |||
| Gross unrealized depreciation | (11,128,696 | ) | ||
| Net unrealized appreciation (depreciation) | $29,793,060 |
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 affiliated issuers:
| Underlying Affiliated Funds | Beginning Shares/Par Amount |
Acquisitions Shares/Par Amount |
Dispositions Shares/Par Amount |
Ending Shares/Par Amount |
||||||||||||
| MFS Institutional Money Market Portfolio | 22,776,160 | 39,206,259 | (30,730,944 | ) | 31,251,475 | |||||||||||
| Underlying Affiliated Funds | Realized Gain (Loss) |
Capital Gain Distributions |
Dividend Income |
Ending Value |
||||||||||||
| MFS Institutional Money Market Portfolio | $— | $— | $5,967 | $31,251,475 | ||||||||||||
20
Supplemental Information (unaudited) – continued
| (4) | Issuer Country Weightings |
Issuer country weighting percentages of portfolio holdings based on net assets, as of February 29, 2012, are as follows:
| United States | 63.2% | |||
| Japan | 3.6% | |||
| United Kingdom | 3.3% | |||
| Brazil | 2.7% | |||
| Canada | 2.3% | |||
| Mexico | 2.2% | |||
| Italy | 1.9% | |||
| Germany | 1.8% | |||
| France | 1.6% | |||
| Other Countries | 17.4% |
The issuer country weighting percentages include both accrued interest amounts and the equivalent exposure from any derivative holdings, if applicable.
21
| 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: April 13, 2012
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: April 13, 2012
| By (Signature and Title)* | DAVID L. DILORENZO | |
| David L. DiLorenzo, Treasurer (Principal Financial Officer and Accounting Officer) |
Date: April 13, 2012
| * | Print name and title of each signing officer under his or her signature. |