UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-5822

MFS CHARTER INCOME TRUST

(Exact name of registrant as specified in charter)

111 Huntington Avenue, Boston, Massachusetts 02199

(Address of principal executive offices) (Zip code)

Susan S. Newton

Massachusetts Financial Services Company

111 Huntington Avenue

Boston, Massachusetts 02199

(Name and address of agents for service)

Registrant’s telephone number, including area code: (617) 954-5000

Date of fiscal year end: November 30

Date of reporting period: August 31, 2014

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ITEM 1.

SCHEDULE OF INVESTMENTS.

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QUARTERLY REPORT

August 31, 2014

 

 

MFS® CHARTER INCOME TRUST

 

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PORTFOLIO OF INVESTMENTS

8/31/14 (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 - 112.6%
Aerospace - 1.5%
Bombardier, Inc., 7.5%, 3/15/18 (n)		$	1,040,000			$	1,159,600
Bombardier, Inc., 7.75%, 3/15/20 (n)			425,000				471,750
Bombardier, Inc., 6.125%, 1/15/23 (n)			1,380,000				1,414,500
CPI International, Inc., 8.75%, 2/15/18			1,125,000				1,170,000
Gencorp, Inc., 7.125%, 3/15/21			1,555,000				1,675,513
Huntington Ingalls Industries, Inc., 7.125%, 3/15/21			2,075,000				2,256,563
TransDigm, Inc., 6.5%, 7/15/24 (n)			255,000				261,375
						$	8,409,301
Apparel Manufacturers - 0.4%
Hanesbrands, Inc., 6.375%, 12/15/20		$	875,000			$	939,531
PVH Corp., 4.5%, 12/15/22			1,375,000				1,364,688
						$	2,304,219
Asset-Backed & Securitized - 3.8%
Banc of America Commercial Mortgage, Inc., FRN, 5.947%, 2/10/51		$	1,176,884			$	1,298,959
Bayview Financial Acquisition Trust, FRN, 5.483%, 2/28/41 (d)(q)			100,289				101,638
Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.756%, 12/28/40 (z)			682,291				422,206
Citigroup/Deutsche Bank Commercial Mortgage Trust, FRN, 5.366%, 12/11/49			1,605,000				1,686,003
Commercial Mortgage Pass-Through Certificates, FRN, 5.969%, 6/10/46			230,000				246,040
Countrywide Asset-Backed Certificates, FRN, 5.147%, 2/25/33			412,932				417,787
Crest Ltd., CDO, 7%, 1/28/40 (a)(p)			2,686,056				134,303
First Union-Lehman Brothers Bank of America, FRN, 0.719%, 11/18/35 (i)			5,911,073				136,327
Goldman Sachs Mortgage Securities Corp., FRN, 5.99%, 8/10/45			1,594,587				1,749,591
Greenwich Capital Commercial Funding Corp., 5.475%, 3/10/39			954,545				1,017,147
JPMorgan Chase Commercial Mortgage Securities Corp., “A3”, FRN, 5.984%, 6/15/49			1,000,000				1,017,178
JPMorgan Chase Commercial Mortgage Securities Corp., “A3”, FRN, 6.144%, 2/15/51			604,271				605,707
JPMorgan Chase Commercial Mortgage Securities Corp., “A4”, FRN, 5.984%, 6/15/49			2,346,110				2,551,127
JPMorgan Chase Commercial Mortgage Trust, 2007-LD11, “AM”, FRN, 5.984%, 6/15/49			2,142,300				2,260,791
Merrill Lynch Mortgage Trust, FRN, 6.008%, 6/12/50			1,350,000				1,492,765
Morgan Stanley Capital I Trust, “AM”, FRN, 5.869%, 4/15/49			2,137,000				2,262,245
Multi Security Asset Trust, “A3”, CDO, 5%, 11/28/35 (n)			271,119				272,187
Wachovia Bank Commercial Mortgage Trust, “A4”, FRN, 6.14%, 2/15/51			3,625,000				3,931,487
						$	21,603,488
Automotive - 2.4%
Accuride Corp., 9.5%, 8/01/18		$	1,585,000			$	1,660,288
Allison Transmission, Inc., 7.125%, 5/15/19 (n)			2,345,000				2,479,838
FCE Bank PLC, 1.875%, 5/12/16		EUR	100,000				134,092
Ford Motor Credit Co. LLC, 1.7%, 5/09/16		$	550,000				555,926
Goodyear Tire & Rubber Co., 6.5%, 3/01/21			1,585,000				1,699,913
Goodyear Tire & Rubber Co., 7%, 5/15/22			350,000				381,500
Harley-Davidson Financial Services, Inc., 2.7%, 3/15/17 (n)			370,000				382,220
Jaguar Land Rover PLC, 8.125%, 5/15/21 (n)			2,065,000				2,297,313
Jaguar Land Rover PLC, 5.625%, 2/01/23 (n)			465,000				490,575
Lear Corp., 8.125%, 3/15/20			833,000				882,980
Lear Corp., 4.75%, 1/15/23			1,015,000				1,020,075
Lear Corp., 5.375%, 3/15/24			60,000				61,500
Renault S.A., 3.625%, 9/19/18		EUR	250,000				353,526
Schaeffler Finance B.V., 4.75%, 5/15/21 (z)		$	660,000				673,200
TRW Automotive, Inc., 4.5%, 3/01/21 (n)			99,000				101,723
Volkswagen International Finance N.V., 3.875% to 9/04/18, FRN to 9/29/49		EUR	200,000				279,740
						$	13,454,409

 

1

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Biotechnology - 0.0%
Life Technologies Corp., 6%, 3/01/20		$	200,000			$	233,551
Broadcasting - 1.7%
AMC Networks, Inc., 7.75%, 7/15/21		$	668,000			$	737,305
Clear Channel Communications, Inc., 9%, 3/01/21			763,000				791,613
Clear Channel Worldwide Holdings, Inc., “A”, 6.5%, 11/15/22			190,000				202,350
Clear Channel Worldwide Holdings, Inc., “B”, 6.5%, 11/15/22			850,000				909,500
Discovery Communications, Inc., 4.875%, 4/01/43			200,000				209,079
Liberty Media Corp., 8.5%, 7/15/29			820,000				918,400
Liberty Media Corp., 8.25%, 2/01/30			210,000				233,100
Myriad International Holdings B.V., 6%, 7/18/20 (n)			250,000				273,800
Netflix, Inc., 5.375%, 2/01/21			1,680,000				1,759,800
Nexstar Broadcasting, Inc., 6.875%, 11/15/20			960,000				1,017,600
SES Global Americas Holdings GP, 2.5%, 3/25/19 (n)			181,000				182,375
Univision Communications, Inc., 6.875%, 5/15/19 (n)			855,000				906,300
Univision Communications, Inc., 7.875%, 11/01/20 (n)			720,000				784,800
Univision Communications, Inc., 8.5%, 5/15/21 (n)			470,000				514,650
Vivendi S.A., 4%, 3/31/17		EUR	150,000				214,001
						$	9,654,673
Brokerage & Asset Managers - 0.4%
E*TRADE Financial Corp., 6.375%, 11/15/19		$	2,200,000			$	2,359,500
Building - 2.6%
Allegion U.S. Holding Co., Inc., 5.75%, 10/01/21		$	1,800,000			$	1,885,500
Building Materials Holding Corp., 6.875%, 8/15/18 (n)			790,000				819,625
Building Materials Holding Corp., 7%, 2/15/20 (n)			600,000				630,000
Building Materials Holding Corp., 6.75%, 5/01/21 (n)			675,000				723,938
CEMEX Espana S.A., 9.25%, 5/12/20 (n)			925,000				1,003,625
CEMEX Finance LLC, 6%, 4/01/24 (n)			234,000				243,360
CEMEX S.A.B. de C.V., 6.5%, 12/10/19 (n)			284,000				301,040
CEMEX S.A.B. de C.V., 9.25%, 5/12/20			560,000				607,600
CEMEX S.A.B. de C.V., 7.25%, 1/15/21 (n)			423,000				464,771
Cimpor Financial Operations B.V., 5.75%, 7/17/24 (n)			263,000				259,055
CRH Finance Ltd., 3.125%, 4/03/23		EUR	150,000				218,200
Gibraltar Industries, Inc., 6.25%, 2/01/21		$	300,000				311,250
HD Supply, Inc., 8.125%, 4/15/19			690,000				752,100
HD Supply, Inc., 7.5%, 7/15/20			1,300,000				1,397,500
Headwaters, Inc., 7.25%, 1/15/19			390,000				410,475
Headwaters, Inc., 7.625%, 4/01/19			255,000				269,025
Holcim Finance Luxembourg S.A., 3%, 1/22/24		EUR	150,000				218,001
Holcim GB Finance Ltd., 8.75%, 4/24/17		GBP	100,000				193,989
Lafarge S.A., 6.625%, 11/29/18		EUR	200,000				308,887
Mohawk Industries, Inc., 3.85%, 2/01/23		$	134,000				135,072
Nortek, Inc., 8.5%, 4/15/21			1,120,000				1,218,000
Owens Corning, Inc., 4.2%, 12/15/22			250,000				257,739
Roofing Supply Group LLC/Roofing Supply Finance, Inc., 10%, 6/01/20 (n)			985,000				1,041,638
USG Corp., 7.875%, 3/30/20 (n)			480,000				523,200
USG Corp., 5.875%, 11/01/21 (n)			235,000				245,575
						$	14,439,165
Business Services - 0.9%
Equinix, Inc., 4.875%, 4/01/20		$	565,000			$	576,300
Equinix, Inc., 5.375%, 4/01/23			490,000				499,800
Fidelity National Information Services, Inc., 5%, 3/15/22			700,000				741,156

 

2

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Business Services - continued
Fidelity National Information Services, Inc., 3.875%, 6/05/24		$	335,000			$	341,141
Iron Mountain, Inc., 8.375%, 8/15/21			583,000				607,778
Iron Mountain, Inc., 6%, 8/15/23			625,000				667,188
Lender Processing Services, Inc., 5.75%, 4/15/23			300,000				320,250
NeuStar, Inc., 4.5%, 1/15/23			1,125,000				981,563
Tencent Holdings Ltd., 3.375%, 3/05/18 (n)			449,000				462,505
						$	5,197,681
Cable TV - 3.9%
CCO Holdings LLC/CCO Holdings Capital Corp., 8.125%, 4/30/20		$	1,055,000			$	1,131,488
CCO Holdings LLC/CCO Holdings Capital Corp., 7.375%, 6/01/20			250,000				270,000
CCO Holdings LLC/CCO Holdings Capital Corp., 6.5%, 4/30/21			1,965,000				2,087,813
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 1/15/24			935,000				956,038
Cequel Communications Holdings, 6.375%, 9/15/20 (n)			1,575,000				1,653,750
Comcast Corp., 4.75%, 3/01/44			223,000				244,108
DISH DBS Corp., 7.875%, 9/01/19			240,000				278,400
DISH DBS Corp., 6.75%, 6/01/21			1,000,000				1,118,700
DISH DBS Corp., 5%, 3/15/23			1,065,000				1,059,675
Intelsat Jackson Holdings S.A., 6.625%, 12/15/22			1,145,000				1,196,525
Intelsat Jackson Holdings S.A., 5.5%, 8/01/23			1,755,000				1,748,419
Intelsat Luxembourg S.A., 8.125%, 6/01/23			1,135,000				1,228,638
Lynx I Corp., 5.375%, 4/15/21 (n)			380,000				395,200
Lynx II Corp., 6.375%, 4/15/23 (n)			555,000				591,075
Nara Cable Funding Ltd., 8.875%, 12/01/18		EUR	150,000				208,776
Numericable Group S.A., 6%, 5/15/22 (n)		$	1,490,000				1,534,700
Shaw Communications, Inc., 5.65%, 10/01/19		CAD	215,000				224,033
SIRIUS XM Radio, Inc., 4.25%, 5/15/20 (n)		$	90,000				88,200
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				192,400
SIRIUS XM Radio, Inc., 4.625%, 5/15/23 (n)			530,000				511,450
SIRIUS XM Radio, Inc., 6%, 7/15/24 (n)			1,065,000				1,107,600
Telenet Finance Luxembourg, 6.375%, 11/15/20 (n)		EUR	435,000				605,862
Time Warner Cable, Inc., 5.75%, 6/02/31		GBP	100,000				195,933
Time Warner Cable, Inc., 5.25%, 7/15/42		GBP	100,000				188,605
Unitymedia Hessen, 5.5%, 1/15/23 (n)		$	1,100,000				1,124,750
UPCB Finance III Ltd., 6.625%, 7/01/20 (n)			844,000				892,530
Videotron Ltd., 5.375%, 6/15/24 (n)			70,000				71,400
VTR Finance B.V., 6.875%, 1/15/24 (n)			207,000				222,008
Ziggo Bond Co. B.V., 8%, 5/15/18 (n)		EUR	635,000				906,322
						$	22,159,798
Chemicals - 2.3%
Celanese U.S. Holdings LLC, 5.875%, 6/15/21		$	1,044,000			$	1,145,790
Celanese U.S. Holdings LLC, 4.625%, 11/15/22			210,000				213,675
CF Industries, Inc., 5.15%, 3/15/34			169,000				184,256
Dow Chemical Co., 8.55%, 5/15/19			200,000				254,797
Flash Dutch 2 B.V./U.S. Coatings Acquisition, 7.375%, 5/01/21 (n)			1,080,000				1,177,200
FMC Corp., 4.1%, 2/01/24			175,000				184,293
Hexion U.S. Finance Corp., 6.625%, 4/15/20			330,000				347,325
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, 8.875%, 2/01/18			830,000				861,125
Huntsman International LLC, 8.625%, 3/15/21			1,180,000				1,295,050
INEOS Finance PLC, 8.375%, 2/15/19 (n)			2,000,000				2,170,000
INEOS Group Holdings S.A., 6.125%, 8/15/18 (n)			515,000				531,738
INEOS Group Holdings S.A., 5.875%, 2/15/19 (n)			400,000				410,000
LYB International Finance B.V., 4%, 7/15/23			135,000				142,794

 

3

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Chemicals - continued
NOVA Chemicals Corp., 5.25%, 8/01/23 (n)		$	250,000			$	269,375
Sociedad Quimica y Minera de Chile S.A., 5.5%, 4/21/20 (n)			414,000				454,439
Taminco Global Chemical Corp., 9.75%, 3/31/20 (n)			1,300,000				1,430,000
Tronox Finance LLC, 6.375%, 8/15/20			1,865,000				1,920,950
						$	12,992,807
Computer Software - 0.3%
Oracle Corp., 3.4%, 7/08/24		$	251,000			$	255,225
Syniverse Holdings, Inc., 9.125%, 1/15/19			362,000				383,268
VeriSign, Inc., 4.625%, 5/01/23			980,000				962,850
						$	1,601,343
Computer Software - Systems - 0.5%
Audatex North America, Inc., 6%, 6/15/21 (n)		$	1,315,000			$	1,393,900
Audatex North America, Inc., 6.125%, 11/01/23 (n)			210,000				222,600
CDW LLC/CDW Finance Corp., 8.5%, 4/01/19			866,000				930,950
CDW LLC/CDW Finance Corp., 6%, 8/15/22			320,000				337,200
						$	2,884,650
Conglomerates - 1.9%
Alfa S.A.B de C.V., 6.875%, 3/25/44		$	521,000			$	587,428
Amsted Industries Co., 5%, 3/15/22 (n)			1,820,000				1,833,650
BC Mountain LLC, 7%, 2/01/21 (n)			1,160,000				1,096,200
Dynacast International LLC, 9.25%, 7/15/19			890,000				967,875
Entegris, Inc., 6%, 4/01/22 (n)			1,475,000				1,519,250
Metalloinvest Finance Ltd., 5.625%, 4/17/20 (n)			619,000				564,838
Renaissance Acquisition, 6.875%, 8/15/21 (n)			1,345,000				1,422,338
Rexel S.A., 6.125%, 12/15/19 (n)			1,520,000				1,584,600
Roper Industries, Inc., 1.85%, 11/15/17			200,000				201,316
Siemens Financierings N.V., 5.25% to 9/14/16, FRN to 9/14/66		EUR	100,000				141,742
Siemens Financierings N.V., 6.125% to 9/14/16, FRN to 9/14/66		GBP	75,000				132,675
Silver II Borrower, 7.75%, 12/15/20 (n)		$	535,000				572,450
						$	10,624,362
Construction - 0.2%
Empresas ICA S.A.B. de C.V., 8.9%, 2/04/21		$	450,000			$	480,375
Empresas ICA S.A.B. de C.V., 8.875%, 5/29/24 (n)			853,000				884,988
						$	1,365,363
Consumer Products - 0.6%
Elizabeth Arden, Inc., 7.375%, 3/15/21		$	1,040,000			$	975,000
Prestige Brands, Inc., 8.125%, 2/01/20			257,000				278,845
Prestige Brands, Inc., 5.375%, 12/15/21 (n)			805,000				798,963
Prosegur Compania de Seguridad S.A., 2.75%, 4/02/18		EUR	200,000				276,723
Reckitt Benckiser Treasury Services PLC, 3.625%, 9/21/23 (n)		$	250,000				258,787
Spectrum Brands, Inc., 6.375%, 11/15/20			685,000				736,375
						$	3,324,693
Consumer Services - 1.2%
ADT Corp., 6.25%, 10/15/21		$	1,825,000			$	1,929,938
ADT Corp., 4.125%, 6/15/23			60,000				55,800
Garda World Security Corp., 7.25%, 11/15/21 (n)			245,000				250,819
Garda World Security Corp., 7.25%, 11/15/21 (n)			660,000				675,675
Grupo Posadas S.A.B. de C.V., 7.875%, 11/30/17			505,000				503,738
Monitronics International, Inc., 9.125%, 4/01/20			1,360,000				1,455,200
Service Corp. International, 7%, 6/15/17			1,220,000				1,346,575

 

4

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Consumer Services - continued
Service Corp. International, 5.375%, 5/15/24 (n)		$	545,000			$	562,713
						$	6,780,458
Containers - 2.6%
Ardagh Packaging Finance PLC, 9.125%, 10/15/20 (n)		$	750,000			$	821,250
Ardagh Packaging Finance PLC, 9.125%, 10/15/20 (n)			1,445,000				1,575,050
Ardagh Packaging Finance PLC, 6%, 6/30/21 (n)			470,000				465,300
Ball Corp., 5%, 3/15/22			668,000				693,885
Ball Corp., 4%, 11/15/23			1,260,000				1,206,450
Berry Plastics Group, Inc., 9.75%, 1/15/21			145,000				163,306
Berry Plastics Group, Inc., 5.5%, 5/15/22			915,000				912,713
Crown American LLC, 4.5%, 1/15/23			1,370,000				1,344,313
Greif, Inc., 6.75%, 2/01/17			850,000				922,250
Greif, Inc., 7.75%, 8/01/19			1,000,000				1,145,000
Reynolds Group, 7.125%, 4/15/19			835,000				867,356
Reynolds Group, 9.875%, 8/15/19			410,000				454,588
Reynolds Group, 5.75%, 10/15/20			790,000				825,550
Reynolds Group, 8.25%, 2/15/21			1,880,000				2,051,550
Signode Industrial Group, 6.375%, 5/01/22 (n)			930,000				925,350
						$	14,373,911
Defense Electronics - 0.3%
BAE Systems PLC, 4.125%, 6/08/22		GBP	150,000			$	262,159
Ducommun, Inc., 9.75%, 7/15/18		$	1,164,000				1,271,670
						$	1,533,829
Electronics - 1.0%
Advanced Micro Devices, Inc., 6.75%, 3/01/19 (n)		$	1,055,000			$	1,105,113
Advanced Micro Devices, Inc., 7.5%, 8/15/22			305,000				325,969
Advanced Micro Devices, Inc., 7%, 7/01/24 (n)			295,000				300,163
Micron Technology, Inc., 5.875%, 2/15/22 (n)			675,000				723,094
Nokia Corp., 5.375%, 5/15/19			500,000				535,000
Nokia Corp., 6.625%, 5/15/39			190,000				204,725
NXP B.V., 5.75%, 3/15/23 (n)			1,130,000				1,189,325
Sensata Technologies B.V., 6.5%, 5/15/19 (n)			1,130,000				1,187,913
Tyco Electronics Group S.A., 2.375%, 12/17/18			294,000				296,651
						$	5,867,953
Emerging Market Quasi-Sovereign - 2.7%
Banco do Estado Rio Grande do Sul S.A., 7.375%, 2/02/22 (n)		$	1,092,000			$	1,158,066
CNPC (HK) Overseas Capital Ltd., 4.5%, 4/28/21 (n)			547,000				586,060
CNPC General Capital Ltd., 3.4%, 4/16/23 (n)			586,000				571,218
Comision Federal de Electricidad , 4.875%, 1/15/24			234,000				251,550
Corporacion Financiera de Desarrollo S.A., FRN, 5.25%, 7/15/29 (n)			819,000				836,609
Ecopetrol S.A., 7.375%, 9/18/43			552,000				705,180
Ecopetrol S.A., 5.875%, 5/28/45			503,000				542,465
Gaz Capital S.A., 4.95%, 2/06/28			637,000				547,947
KazAgro National Management Holding, 4.625%, 5/24/23 (n)			1,088,000				1,058,298
Kazakhstan Temir Zholy Co., 6.95%, 7/10/42 (n)			1,167,000				1,318,710
Magyar Export-Import Bank, 5.5%, 2/12/18 (n)			200,000				214,500
Majapahit Holding B.V., 7.25%, 6/28/17 (n)			591,000				665,614
Majapahit Holding B.V., 8%, 8/07/19 (n)			380,000				449,350
Office Cherifien des Phosphates, 6.875%, 4/25/44 (n)			280,000				301,000
Pemex Project Funding Master Trust, 5.75%, 3/01/18			642,000				720,324
Pertamina PT, 5.25%, 5/23/21 (n)			256,000				269,120

 

5

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Emerging Market Quasi-Sovereign - continued
Pertamina PT, 4.875%, 5/03/22 (n)		$	547,000			$	560,675
Pertamina PT, 6%, 5/03/42 (n)			318,000				320,385
Petroleos Mexicanos, 8%, 5/03/19			1,101,000				1,362,488
Petroleos Mexicanos, 4.875%, 1/24/22			774,000				840,951
PT Perusahaan Gas Negara (Persero) Tbk, 5.125%, 5/16/24 (n)			200,000				206,500
Sinopec Group Overseas Development (2012) Ltd., 3.9%, 5/17/22 (n)			279,000				285,050
State Grid Overseas Investment (2014) Ltd., 4.125%, 5/07/24 (n)			1,570,000				1,636,651
						$	15,408,711
Emerging Market Sovereign - 4.0%
Dominican Republic, 7.5%, 5/06/21 (n)		$	548,000			$	631,570
Dominican Republic, 5.875%, 4/18/24 (n)			121,000				128,563
Dominican Republic, 8.625%, 4/20/27			891,000				1,124,888
Nota do Tesouro Nacional, 10%, 1/01/23		BRL	8,495,000				3,550,435
Republic of Angola, 7%, 8/16/19		$	482,000				528,079
Republic of Argentina, 7%, 10/03/15			979,000				895,431
Republic of Argentina, 7%, 4/17/17			481,000				402,049
Republic of Colombia, 8.125%, 5/21/24			1,025,000				1,396,050
Republic of Croatia, 5.5%, 4/04/23 (n)			2,108,000				2,200,120
Republic of Ecuador, 7.95%, 6/20/24 (n)			523,000				577,915
Republic of Hungary, 5.375%, 2/21/23			872,000				935,220
Republic of Indonesia, 11.625%, 3/04/19 (n)			848,000				1,150,100
Republic of Indonesia, 2.875%, 7/08/21 (z)		EUR	175,000				233,965
Republic of Indonesia, 3.375%, 4/15/23 (n)		$	302,000				288,033
Republic of Panama, 9.375%, 4/01/29			719,000				1,110,855
Republic of Paraguay, 6.1%, 8/11/44 (z)			550,000				588,500
Republic of Peru, 7.35%, 7/21/25			355,000				477,475
Republic of Romania, 6.75%, 2/07/22 (n)			1,030,000				1,242,438
Republic of Slovakia, 4.375%, 5/21/22 (n)			688,000				740,515
Republic of Turkey, 5.625%, 3/30/21			362,000				397,947
Republic of Turkey, 6.25%, 9/26/22			390,000				444,600
Russian Federation, 4.875%, 9/16/23 (n)			800,000				784,960
United Mexican States, 3.625%, 3/15/22			1,130,000				1,176,330
United Mexican States, 8.5%, 5/31/29		MXN	13,970,000				1,299,823
						$	22,305,861
Energy - Independent - 6.1%
Afren PLC, 10.25%, 4/08/19 (n)		$	463,000			$	487,308
American Energy-Permian Basin LLC, 7.125%, 11/01/20 (z)			385,000				373,450
American Energy-Permian Basin LLC, 7.375%, 11/01/21 (z)			775,000				755,625
Antero Resources Finance Corp., 6%, 12/01/20			735,000				776,307
Antero Resources Finance Corp., 5.375%, 11/01/21			1,050,000				1,081,500
Athlon Holdings LP/Athlon Finance Corp., 6%, 5/01/22 (n)			995,000				1,024,850
Baytex Energy Corp., 5.125%, 6/01/21 (n)			145,000				145,181
Baytex Energy Corp., 5.625%, 6/01/24 (z)			1,045,000				1,045,000
Bill Barrett Corp., 7%, 10/15/22			1,090,000				1,122,700
BreitBurn Energy Partners LP, 8.625%, 10/15/20			330,000				353,100
BreitBurn Energy Partners LP, 7.875%, 4/15/22			1,610,000				1,706,600
Chaparral Energy, Inc., 7.625%, 11/15/22			1,260,000				1,352,925
Chesapeake Energy Corp., 5.75%, 3/15/23			580,000				647,425
Cimarex Energy Co., 4.375%, 6/01/24			25,000				26,031
Concho Resources, Inc., 6.5%, 1/15/22			825,000				903,375
Concho Resources, Inc., 5.5%, 4/01/23			725,000				773,938
Continental Resources, Inc., 4.5%, 4/15/23			250,000				269,972
Continental Resources, Inc., 4.9%, 6/01/44 (n)			200,000				211,304

 

6

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Energy - Independent - continued
Denbury Resources, Inc., 4.625%, 7/15/23		$	880,000			$	849,200
EP Energy LLC, 6.875%, 5/01/19			300,000				316,500
EP Energy LLC, 9.375%, 5/01/20			1,150,000				1,296,625
EP Energy LLC, 7.75%, 9/01/22			2,360,000				2,649,100
EPL Oil & Gas, Inc., 8.25%, 2/15/18			845,000				895,700
Halcon Resources Corp., 8.875%, 5/15/21			1,755,000				1,847,138
Harvest Operations Corp., 6.875%, 10/01/17			1,265,000				1,350,388
Hess Corp., 8.125%, 2/15/19			100,000				124,665
Hilcorp Energy I/Hilcorp Finance Co., 8%, 2/15/20 (n)			400,000				422,000
Laredo Petroleum, Inc., 5.625%, 1/15/22			335,000				344,213
Laredo Petroleum, Inc., 7.375%, 5/01/22			250,000				273,750
LINN Energy LLC, 8.625%, 4/15/20			530,000				565,775
LINN Energy LLC, 7.75%, 2/01/21			1,388,000				1,478,220
MEG Energy Corp., 6.5%, 3/15/21 (n)			1,310,000				1,382,050
MEG Energy Corp., 7%, 3/31/24 (n)			685,000				744,938
Northern Blizzard Resources, Inc., 7.25%, 2/01/22 (n)			738,000				778,590
Nostrum Oil & Gas Finance B.V., 6.375%, 2/14/19 (n)			272,000				282,853
Oasis Petroleum, Inc., 6.875%, 3/15/22			1,280,000				1,398,400
Range Resources Corp., 5%, 8/15/22			420,000				446,775
Sanchez Energy Corp., 6.125%, 1/15/23 (z)			665,000				688,275
SandRidge Energy, Inc., 8.125%, 10/15/22			1,445,000				1,535,313
SM Energy Co., 6.5%, 11/15/21			990,000				1,074,150
Southwestern Energy Co., 7.5%, 2/01/18			277,000				326,449
						$	34,127,658
Energy - Integrated - 0.7%
BG Energy Capital PLC, FRN, 6.5%, 11/30/72		EUR	150,000			$	223,059
Eni S.p.A., 4%, 6/29/20		EUR	150,000				229,334
Inkia Energy Ltd., 8.375%, 4/04/21		$	754,000				821,860
Listrindo Capital B.V., 6.95%, 2/21/19 (n)			200,000				214,500
LUKOIL International Finance B.V., 4.563%, 4/24/23 (n)			544,000				489,056
LUKOIL International Finance B.V., 4.563%, 4/24/23			200,000				179,800
Pacific Rubiales Energy Corp., 7.25%, 12/12/21 (n)			1,107,000				1,228,770
Pacific Rubiales Energy Corp., 5.125%, 3/28/23 (n)			201,000				203,010
Repsol International Finance B.V., 3.625%, 10/07/21		EUR	200,000				299,081
						$	3,888,470
Entertainment - 1.5%
Activision Blizzard, Inc., 6.125%, 9/15/23 (n)		$	1,460,000			$	1,606,000
Carnival Corp., 1.2%, 2/05/16			370,000				371,921
Cedar Fair LP, 5.25%, 3/15/21			1,215,000				1,233,225
Cedar Fair LP, 5.375%, 6/01/24 (n)			405,000				407,025
Cinemark USA, Inc., 5.125%, 12/15/22			1,280,000				1,300,800
Cinemark USA, Inc., 4.875%, 6/01/23			780,000				774,150
Seven Seas Cruises S. DE R.L., 9.125%, 5/15/19			1,235,000				1,333,800
Six Flags Entertainment Corp., 5.25%, 1/15/21 (n)			1,255,000				1,270,688
						$	8,297,609
Financial Institutions - 3.2%
Aircastle Ltd., 4.625%, 12/15/18		$	130,000			$	133,900
Aircastle Ltd., 5.125%, 3/15/21			1,370,000				1,393,975
Aviation Capital Group, 4.625%, 1/31/18 (n)			555,000				581,461
Aviation Capital Group, 6.75%, 4/06/21 (n)			415,000				468,858
CIT Group, Inc., 5.25%, 3/15/18			1,520,000				1,622,600
CIT Group, Inc., 6.625%, 4/01/18 (n)			1,305,000				1,455,075

 

7

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Financial Institutions - continued
CIT Group, Inc., 5.5%, 2/15/19 (n)		$	1,560,000			$	1,682,850
CIT Group, Inc., 3.875%, 2/19/19			566,000				573,075
CIT Group, Inc., 5%, 8/15/22			640,000				675,200
General Electric Capital Corp., 3.1%, 1/09/23			750,000				751,635
Icahn Enterprises LP, 6%, 8/01/20			700,000				747,250
Icahn Enterprises LP, 5.875%, 2/01/22			1,410,000				1,469,925
Nationstar Mortgage LLC/Capital Corp., 6.5%, 8/01/18			505,000				510,050
Nationstar Mortgage LLC/Capital Corp., 7.875%, 10/01/20			2,050,000				2,111,500
SLM Corp., 4.875%, 6/17/19			272,000				284,648
SLM Corp., 8%, 3/25/20			1,135,000				1,310,925
SLM Corp., 7.25%, 1/25/22			1,645,000				1,836,231
SLM Corp., 6.125%, 3/25/24			445,000				457,238
						$	18,066,396
Food & Beverages - 1.9%
Anheuser-Busch InBev S.A., 6.875%, 11/15/19		$	300,000			$	367,877
B&G Foods, Inc., 4.625%, 6/01/21			715,000				704,275
BRF S.A., 4.75%, 5/22/24 (n)			206,000				208,060
BRF S.A., 4.75%, 5/22/24			1,408,000				1,422,080
Coca-Cola HBC Finance B.V., 4.25%, 11/16/16		EUR	150,000				211,764
Conagra Foods, Inc., 3.2%, 1/25/23		$	181,000				178,374
Constellation Brands, Inc., 3.75%, 5/01/21			355,000				355,444
Constellation Brands, Inc., 4.25%, 5/01/23			1,400,000				1,414,000
Darling Ingrediants, Inc., 5.375%, 1/15/22 (n)			1,300,000				1,348,750
Embotelladora Andina S.A., 5%, 10/01/23 (n)			236,000				251,800
H.J. Heinz Co., 4.25%, 10/15/20			1,085,000				1,099,919
JBS Investments GmbH, 7.75%, 10/28/20 (n)			397,000				428,760
Minerva Luxembourg S.A., 7.75%, 1/31/23 (n)			204,000				216,240
Sun Merger Sub, Inc., 5.875%, 8/01/21 (n)			1,365,000				1,460,550
Tyson Foods, Inc., 6.6%, 4/01/16			412,000				447,816
Tyson Foods, Inc., 5.15%, 8/15/44			81,000				86,265
Wm. Wrigley Jr. Co., 2.9%, 10/21/19 (n)			107,000				109,717
Wm. Wrigley Jr. Co., 3.375%, 10/21/20 (n)			300,000				309,593
						$	10,621,284
Food & Drug Stores - 0.0%
CVS Caremark Corp., 5.75%, 6/01/17		$	250,000			$	279,593
Forest & Paper Products - 0.2%
Appvion, Inc., 9%, 6/01/20 (n)		$	595,000			$	532,525
International Paper Co., 6%, 11/15/41			185,000				222,371
Tembec Industries, Inc., 11.25%, 12/15/18			575,000				613,094
						$	1,367,990
Gaming & Lodging - 1.6%
CCM Merger, Inc., 9.125%, 5/01/19 (n)		$	1,055,000			$	1,123,575
Chester Downs & Marina LLC, 9.25%, 2/01/20 (n)			315,000				302,400
Greektown Holdings LLC, 8.875%, 3/15/19 (n)			675,000				691,875
Hilton Worldwide Finance Co., 5.625%, 10/15/21 (n)			1,250,000				1,325,000
Isle of Capri Casinos, Inc., 8.875%, 6/15/20			470,000				505,250
Isle of Capri Casinos, Inc., 5.875%, 3/15/21			125,000				130,625
MGM Resorts International, 6.625%, 12/15/21			745,000				828,813
Pinnacle Entertainment, Inc., 8.75%, 5/15/20			905,000				970,613
Pinnacle Entertainment, Inc., 6.375%, 8/01/21			495,000				513,563
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/21			1,180,000				1,180,000

 

8

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Gaming & Lodging - continued
Wynn Las Vegas LLC, 7.75%, 8/15/20		$	1,165,000			$	1,258,200
						$	8,829,914
Industrial - 1.0%
Dematic S.A., 7.75%, 12/15/20 (n)		$	1,515,000			$	1,613,475
Howard Hughes Corp., 6.875%, 10/01/21 (n)			1,790,000				1,895,163
Hyva Global B.V., 8.625%, 3/24/16 (n)			1,124,000				1,154,910
SPL Logistics Escrow LLC, 8.875%, 8/01/20 (n)			670,000				742,025
						$	5,405,573
Insurance - 0.3%
American International Group, Inc., 4.875% to 3/15/17, FRN to 3/15/67		EUR	250,000			$	344,501
Assicurazioni Generali S.p.A., 7.75% to 2022, FRN to 12/12/42		EUR	100,000				166,872
Aviva PLC, 5.7% to 9/29/15, FRN to 9/29/49		EUR	150,000				203,498
CNP Assurances S.A., 6% to 9/14/20, FRN to 9/14/40		EUR	200,000				302,208
Delta Lloyd N.V., FRN, 9%, 8/29/42		EUR	150,000				261,148
Unum Group, 7.125%, 9/30/16		$	500,000				561,423
						$	1,839,650
Insurance - Property & Casualty - 0.3%
Amlin PLC, 6.5% to 12/19/16, FRN to 12/19/26		GBP	100,000			$	173,278
Berkshire Hathaway, Inc., 4.5%, 2/11/43		$	250,000				263,313
Clerical Medical Finance PLC, 4.25% to 6/24/15, FRN to 6/29/49		EUR	200,000				264,695
Marsh & McLennan Cos., Inc., 3.5%, 6/03/24		$	159,000				161,250
QBE Capital Funding III Ltd., 7.5% to 5/24/21, FRN to 5/24/41		GBP	200,000				374,445
ZFS Finance USA Trust V, 6.5% to 5/09/17, FRN to 5/09/67 (n)		$	627,000				674,025
						$	1,911,006
International Market Quasi-Sovereign - 0.7%
Caisse d’Amortissement de la Dette Sociale, 1%, 5/25/18		EUR	150,000			$	202,881
Eksportfinans A.S.A., 5.5%, 5/25/16		$	250,000				263,548
Eksportfinans A.S.A., 5.5%, 6/26/17			415,000				446,125
Electricite de France S.A., 6% to 1/29/26, FRN to 12/29/49		GBP	100,000				177,429
ESB Finance Ltd., 4.375%, 11/21/19		EUR	200,000				306,006
Israel Electric Corp. Ltd., 5.625%, 6/21/18 (n)		$	1,248,000				1,330,680
Israel Electric Corp. Ltd., 6.875%, 6/21/23 (n)			921,000				1,059,868
						$	3,786,537
International Market Sovereign - 10.4%
Commonwealth of Australia, 5.75%, 5/15/21		AUD	2,301,000			$	2,497,633
Federal Republic of Germany, 4.25%, 7/04/18		EUR	1,091,000				1,664,416
Federal Republic of Germany, 3.25%, 7/04/21		EUR	441,000				689,826
Federal Republic of Germany, 6.25%, 1/04/30		EUR	1,242,000				2,726,458
Government of Canada, 3.25%, 6/01/21		CAD	187,000				189,489
Government of Canada, 5.75%, 6/01/33		CAD	436,000				600,884
Government of Japan, 1.1%, 6/20/20		JPY	760,250,000				7,686,588
Government of Japan, 2.1%, 9/20/24		JPY	257,750,000				2,859,163
Government of Japan, 2.2%, 9/20/27		JPY	392,000,000				4,435,513
Government of Japan, 1.8%, 3/20/43		JPY	81,000,000				811,482
Government of New Zealand, 5%, 3/15/19		NZD	725,000				632,672
Kingdom of Belgium, 5.5%, 9/28/17		EUR	1,836,000				2,812,680
Kingdom of Belgium, 4.25%, 9/28/21		EUR	691,000				1,130,566
Kingdom of Denmark, 3%, 11/15/21		DKK	2,538,000				524,282
Kingdom of Spain, 5.4%, 1/31/23		EUR	497,000				831,161
Kingdom of Spain, 5.5%, 7/30/17		EUR	240,000				360,222

 

9

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
International Market Sovereign - continued
Kingdom of Spain, 4.6%, 7/30/19		EUR	2,130,000			$	3,286,249
Kingdom of Sweden, 5%, 12/01/20		SEK	3,565,000				637,331
Kingdom of Sweden, 3.5%, 6/01/22		SEK	1,275,000				214,755
Kingdom of the Netherlands, 3.5%, 7/15/20		EUR	573,000				886,801
Kingdom of the Netherlands, 5.5%, 1/15/28		EUR	935,000				1,856,459
Republic of Austria, 4.65%, 1/15/18		EUR	1,679,000				2,545,203
Republic of Finland, 3.875%, 9/15/17		EUR	457,000				669,530
Republic of France, 6%, 10/25/25		EUR	341,000				663,593
Republic of France, 4.75%, 4/25/35		EUR	1,278,000				2,459,985
Republic of Iceland, 4.875%, 6/16/16 (n)		$	823,000				859,249
Republic of Ireland, 4.5%, 4/18/20		EUR	222,000				349,809
Republic of Ireland, 5.4%, 3/13/25		EUR	99,000				172,160
Republic of Italy, 5.25%, 8/01/17		EUR	3,500,000				5,206,886
Republic of Italy, 3.75%, 3/01/21		EUR	3,051,000				4,547,251
United Kingdom Treasury, 8%, 6/07/21		GBP	1,260,000				2,896,062
United Kingdom Treasury, 4.25%, 3/07/36		GBP	515,000				1,043,433
						$	58,747,791
Machinery & Tools - 1.4%
CNH America LLC, 7.25%, 1/15/16		$	710,000			$	754,375
Ferreycorp S.A.A., 4.875%, 4/26/20 (n)			756,000				756,000
H&E Equipment Services Co., 7%, 9/01/22			1,505,000				1,644,213
Jurassic Holdings III, Inc., 6.875%, 2/15/21 (n)			1,105,000				1,129,863
Light Tower Rentals, Inc., 8.125%, 8/01/19 (z)			505,000				517,625
Loxam SAS, 4.875%, 7/23/21 (z)		EUR	350,000				459,882
RSC Equipment Rental, Inc., 8.25%, 2/01/21		$	940,000				1,034,000
United Rentals North America, Inc., 7.625%, 4/15/22			1,270,000				1,425,575
						$	7,721,533
Major Banks - 2.4%
ABN AMRO North America Finance, Inc., 7.125%, 7/06/22		EUR	150,000			$	259,777
Bank of America Corp., 7.625%, 6/01/19		$	370,000				452,912
Bank of America Corp., 4.125%, 1/22/24			262,000				272,336
Bank of America Corp., 4.875%, 4/01/44			104,000				111,261
Bank of America Corp., FRN, 5.2%, 12/31/49			1,785,000				1,720,294
Barclays Bank PLC, 6%, 1/14/21		EUR	150,000				239,661
Barclays Bank PLC, 6.75% to 1/16/18, FRN to 1/16/23		GBP	100,000				182,919
BBVA Senior Finance S.A., 3.25%, 3/21/16		EUR	200,000				273,878
Credit Agricole S.A., 7.375%, 12/18/23		GBP	100,000				209,213
Credit Agricole S.A., 7.875% to 10/26/19, FRN to 10/29/49		EUR	200,000				314,691
Goldman Sachs Group, Inc., 5.75%, 1/24/22		$	500,000				580,263
HSBC USA, Inc., 4.875%, 8/24/20			460,000				513,408
ING Bank N.V., 4.875%, 1/18/21		EUR	100,000				162,525
ING Bank N.V., 3.50% to 11/21/18, FRN to 11/21/23		EUR	250,000				345,158
JPMorgan Chase & Co., 6.3%, 4/23/19		$	500,000				586,898
JPMorgan Chase & Co., 3.25%, 9/23/22			478,000				480,360
JPMorgan Chase & Co., 6.75% to 2/01/24, FRN to 1/29/49			215,000				230,856
JPMorgan Chase & Co., 6% to 8/01/23, FRN to 12/29/49			1,935,000				1,984,343
Morgan Stanley, 5.75%, 10/18/16			397,000				434,503
Morgan Stanley, 6.625%, 4/01/18			391,000				452,744
RBS Capital Trust II, 6.425% to 1/03/34, FRN to 12/29/49			530,000				564,450
Royal Bank of Scotland Group PLC, 6.934%, 4/09/18		EUR	150,000				228,333
Royal Bank of Scotland Group PLC, 5.5%, 3/23/20		EUR	150,000				240,943
Royal Bank of Scotland Group PLC, 7.648% to 9/30/31, FRN to 8/29/49		$	1,140,000				1,345,200
Royal Bank of Scotland Group PLC, 6.99% to 10/04/17, FRN to 10/29/49 (n)			350,000				401,625

 

10

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Major Banks - continued
Royal Bank of Scotland Group PLC, FRN, 3.625%, 3/25/24		EUR	250,000			$	335,483
Societe Generale, 4.25%, 7/13/22		EUR	100,000				163,066
Wells Fargo & Co., 5.9% to 6/15/24, FRN to 12/29/49		$	253,000				265,018
						$	13,352,118
Medical & Health Technology & Services - 3.5%
CHS/Community Health Systems, Inc., 5.125%, 8/01/21 (n)		$	235,000			$	240,875
CHS/Community Health Systems, Inc., 6.875%, 2/01/22 (n)			1,685,000				1,790,313
Davita, Inc., 6.625%, 11/01/20			986,000				1,040,230
Davita, Inc., 5.125%, 7/15/24			755,000				765,853
Fresenius Medical Care Capital Trust III, 5.625%, 7/31/19 (n)			495,000				533,363
Fresenius Medical Care Capital Trust III, 5.875%, 1/31/22 (n)			335,000				368,500
Fresenius US Finance II, Inc., 4.25%, 2/01/21 (n)			32,000				32,880
HCA, Inc., 7.5%, 2/15/22			2,160,000				2,516,400
HCA, Inc., 5.875%, 3/15/22			1,950,000				2,120,625
HCA, Inc., 5%, 3/15/24			690,000				702,938
HealthSouth Corp., 8.125%, 2/15/20			1,825,000				1,934,500
Lifepoint Hospitals, Inc., 5.5%, 12/01/21 (n)			1,950,000				2,037,750
McKesson Corp., 7.5%, 2/15/19			110,000				134,334
Owens & Minor, Inc., 6.35%, 4/15/16			970,000				1,038,332
Tenet Healthcare Corp., 8%, 8/01/20			1,800,000				1,944,000
Tenet Healthcare Corp., 4.5%, 4/01/21			1,235,000				1,238,088
Universal Health Services, Inc., 7.625%, 8/15/20			1,175,000				1,175,000
						$	19,613,981
Medical Equipment - 0.4%
Biomet, Inc., 6.5%, 8/01/20		$	564,000			$	607,005
Physio-Control International, Inc., 9.875%, 1/15/19 (n)			527,000				571,136
Teleflex, Inc., 6.875%, 6/01/19			595,000				629,213
Teleflex, Inc., 5.25%, 6/15/24 (n)			695,000				708,031
						$	2,515,385
Metals & Mining - 3.2%
ArcelorMittal S.A., 6.75%, 2/25/22		$	235,000			$	262,307
ArcelorMittal S.A., 7.25%, 3/01/41			555,000				587,606
Arch Coal, Inc., 8%, 1/15/19 (n)			365,000				351,313
Arch Coal, Inc., 7.25%, 10/01/20			445,000				309,275
Barrick International (Barbados) Corp., 5.75%, 10/15/16 (n)			1,258,000				1,371,521
Cameco Corp., 5.67%, 9/02/19		CAD	365,000				378,502
Century Aluminum Co., 7.5%, 6/01/21 (n)		$	1,345,000				1,422,338
Commercial Metals Co., 4.875%, 5/15/23			860,000				842,800
Consol Energy, Inc., 6.375%, 3/01/21			330,000				349,800
Consol Energy, Inc., 5.875%, 4/15/22 (n)			1,225,000				1,280,125
First Quantum Minerals Ltd., 7.25%, 10/15/19 (n)			1,750,000				1,850,625
First Quantum Minerals Ltd., 7.25%, 5/15/22 (n)			852,000				898,860
FMG Resources, 6.875%, 4/01/22 (n)			230,000				250,556
Fortescue Metals Group Ltd., 8.25%, 11/01/19 (n)			1,295,000				1,418,025
Glencore Finance (Europe) S.A., 6.5%, 2/27/19		GBP	50,000				95,130
GrafTech International Co., 6.375%, 11/15/20		$	1,125,000				1,164,375
Molycorp, Inc., 10%, 6/01/20			205,000				170,663
Peabody Energy Corp., 6%, 11/15/18			445,000				458,350
Plains Exploration & Production Co., 6.875%, 2/15/23			296,000				343,730
Rio Tinto Finance (USA) Ltd., 3.75%, 9/20/21			108,000				114,981
Southern Copper Corp., 5.25%, 11/08/42			250,000				243,463
Steel Dynamics, Inc., 5.25%, 4/15/23			915,000				928,725

 

11

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Metals & Mining - continued
Suncoke Energy Partners LP/Suncoke Energy Partners Finance Corp., 7.375%, 2/01/20 (n)		$	380,000			$	406,600
Suncoke Energy, Inc., 7.625%, 8/01/19			685,000				724,388
TMS International Corp., 7.625%, 10/15/21 (n)			550,000				584,375
Walter Energy, Inc., 9.5%, 10/15/19 (n)			625,000				623,438
Walter Energy, Inc., 8.5%, 4/15/21			650,000				312,000
Xstrata Finance (Canada) Ltd., 5.25%, 6/13/17		EUR	200,000				294,661
						$	18,038,532
Midstream - 4.2%
Access Midstream Partner LP, 4.875%, 3/15/24		$	100,000			$	105,150
Access Midstream Partners Co., 5.875%, 4/15/21			40,000				42,500
Access Midstream Partners Co., 4.875%, 5/15/23			2,445,000				2,573,363
AmeriGas Finance LLC, 6.75%, 5/20/20			1,660,000				1,767,900
Atlas Pipeline Partners LP/Atlas Pipeline, 4.75%, 11/15/21			310,000				299,925
Atlas Pipeline Partners LP/Atlas Pipeline, 5.875%, 8/01/23			1,235,000				1,253,525
Crestwood Midstream Partners LP, 6%, 12/15/20			1,155,000				1,198,313
Crestwood Midstream Partners LP, 6.125%, 3/01/22			505,000				522,675
El Paso Corp., 7.75%, 1/15/32			2,311,000				2,894,528
Enbridge, Inc., 3.19%, 12/05/22		CAD	255,000				237,633
Energy Transfer Equity LP, 7.5%, 10/15/20		$	1,380,000				1,597,350
Energy Transfer Partners LP, 3.6%, 2/01/23			300,000				297,952
Enterprise Products Partners LP, 6.3%, 9/15/17			180,000				205,799
Ferrellgas LP/Ferrellgas Finance Corp., 6.5%, 5/01/21			1,065,000				1,094,288
Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, 1/15/22			1,200,000				1,242,000
Kinder Morgan Energy Partners LP, 5.3%, 9/15/20			370,000				413,955
MarkWest Energy Partners LP, 5.5%, 2/15/23			450,000				474,750
MarkWest Energy Partners LP, 4.5%, 7/15/23			1,000,000				1,016,250
ONEOK, Inc., 4.25%, 2/01/22			200,000				199,806
Plains All American Pipeline, LP, 3.95%, 9/15/15			370,000				382,062
Sabine Pass Liquefaction LLC, 5.625%, 2/01/21			945,000				996,975
Sabine Pass Liquefaction LLC, 5.625%, 4/15/23			1,755,000				1,825,200
Sabine Pass Liquefaction LLC, 5.75%, 5/15/24 (n)			575,000				598,000
Spectra Energy Capital LLC, 8%, 10/01/19			250,000				313,881
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.5%, 7/01/21			530,000				583,000
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.5%, 8/15/22			1,075,000				1,096,500
Sunoco Logistics Partners LP, 5.3%, 4/01/44			158,000				168,039
TransCanada PipeLines Ltd., 5.1%, 1/11/17		CAD	225,000				223,001
						$	23,624,320
Mortgage-Backed - 2.8%
Fannie Mae, 4.56%, 3/01/15		$	162,781			$	165,169
Fannie Mae, 4.89%, 3/01/15			89,378				90,152
Fannie Mae, 4.74%, 4/01/15			314,735				318,353
Fannie Mae, 4.877%, 4/01/15			323,357				326,843
Fannie Mae, 4.815%, 6/01/15			337,412				342,702
Fannie Mae, 4.78%, 8/01/15			364,727				372,578
Fannie Mae, 6%, 7/01/16 - 7/01/37			797,838				885,609
Fannie Mae, 5.5%, 9/01/19 - 8/01/37			3,274,716				3,640,709
Fannie Mae, 4.88%, 3/01/20			169,405				185,150
Fannie Mae, 6.5%, 4/01/32 - 1/01/33			252,692				292,197
Fannie Mae, 5%, 10/01/35			602,733				665,507
Fannie Mae, FRN, 0.402%, 5/25/18			6,387,678				6,391,275
Freddie Mac, 6%, 8/01/34			114,638				130,576
Ginnie Mae, 3%, 2/15/43			367,481				373,998
Ginnie Mae, 5.5%, 1/20/39			515,127				578,685

 

12

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Mortgage-Backed - continued
Ginnie Mae, 4.5%, 1/20/41		$	1,028,211			$	1,121,740
						$	15,881,243
Municipals - 0.1%
New Jersey Tobacco Settlement Financing Corp., “1-A”, 4.5%, 6/01/23		$	845,000			$	837,725
Natural Gas - Distribution - 0.1%
GDF Suez, 5%, 10/01/60		GBP	100,000			$	197,980
GNL Quintero S.A., 4.634%, 7/31/29 (n)		$	216,000				221,121
						$	419,101
Network & Telecom - 2.3%
British Telecom PLC, 5.75%, 12/07/28		GBP	150,000			$	295,864
Centurylink, Inc., 6.45%, 6/15/21		$	670,000				733,650
Centurylink, Inc., 6.75%, 12/01/23			245,000				271,184
Centurylink, Inc., 7.65%, 3/15/42			700,000				707,000
Citizens Communications Co., 9%, 8/15/31			1,545,000				1,668,600
Columbus International, Inc., 7.375%, 3/30/21 (n)			200,000				217,750
Deutsche Telekom International Finance B.V., 4.875%, 4/22/25		EUR	150,000				252,289
Empresa Nacional de Telecomunicaciones S.A., 4.875%, 10/30/24 (n)		$	483,000				501,078
Empresa Nacional de Telecomunicaciones S.A., 4.75%, 8/01/26 (n)			2,268,000				2,301,573
Frontier Communications Corp., 8.125%, 10/01/18			470,000				546,845
Telecom Italia Capital, 6%, 9/30/34			305,000				305,000
Telecom Italia S.p.A., 5.375%, 1/29/19		EUR	200,000				292,375
Telecom Italia S.p.A., 5.303%, 5/30/24 (n)		$	1,375,000				1,399,063
Telefonica Celular del Paraguay S.A., 6.75%, 12/13/22			517,000				555,775
TW Telecom Holdings, Inc., 5.375%, 10/01/22			290,000				315,375
TW Telecom Holdings, Inc., 5.375%, 10/01/22			790,000				859,125
Verizon Communications, Inc., 4.5%, 9/15/20			378,000				415,337
Verizon Communications, Inc., 5.15%, 9/15/23			250,000				283,048
Verizon Communications, Inc., 6.4%, 9/15/33			300,000				378,677
Windstream Corp., 7.75%, 10/15/20			345,000				371,738
						$	12,671,346
Oil Services - 1.5%
Bristow Group, Inc., 6.25%, 10/15/22		$	1,538,000			$	1,618,745
Odebrecht Offshore Drilling Finance Ltd., 6.75%, 10/01/22 (n)			1,026,873				1,103,888
Offshore Drilling Holding S.A., 8.375%, 9/20/20			750,000				813,750
Pacific Drilling S.A., 5.375%, 6/01/20 (n)			1,290,000				1,257,750
QGOG Constellation S.A., 6.25%, 11/09/19 (n)			1,390,000				1,431,700
Shale-Inland Holdings LLC/Finance Co., 8.75%, 11/15/19 (n)			865,000				899,600
Unit Corp., 6.625%, 5/15/21			1,390,000				1,445,600
						$	8,571,033
Oils - 0.1%
CITGO Petroleum Corp., 6.25%, 8/15/22 (z)		$	370,000			$	388,808
Other Banks & Diversified Financials - 1.9%
Banco de Credito del Peru, 6.125% to 4/24/22, FRN to 4/24/27 (n)		$	1,036,000			$	1,108,520
Banco GNB Sudameris S.A., 3.875%, 5/02/18 (n)			291,000				289,545
Banco Inbursa S.A. Institucion de Banca Multiple Grupo Financiero Inbursa, 4.125%, 6/06/24 (n)			310,000				306,032
Bankia S.A., 3.5%, 1/17/19		EUR	200,000				281,714
Banque Federative du Credit Mutuel, 2%, 9/19/19		EUR	100,000				137,972
BB&T Corp., 3.95%, 4/29/16		$	250,000				263,152
BBVA Bancomer S.A. de C.V., 6.5%, 3/10/21 (n)			900,000				1,012,500

 

13

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Other Banks & Diversified Financials - continued
BBVA Bancomer S.A. de C.V., 6.75%, 9/30/22 (n)		$	1,004,000			$	1,140,544
CaixaBank S.A., 3.25%, 1/22/16		EUR	100,000				136,213
CaixaBank S.A., 5% to 9/04/18, FRN to 11/14/23		EUR	200,000				285,983
Capital One Bank (USA) N.A., 3.375%, 2/15/23		$	384,000				382,601
Citigroup, Inc., 6.125%, 5/15/18			500,000				573,457
Discover Bank, 7%, 4/15/20			250,000				299,541
Discover Bank, 4.25%, 3/13/26			148,000				154,666
Groupe BPCE S.A., 12.5% to 8/06/19, FRN to 8/29/49 (n)			1,513,000				2,053,898
Halyk Savings Bank of Kazakhstan B.V., 7.25%, 1/28/21			516,000				552,120
Intesa Sanpaolo S.p.A., 4.125%, 9/19/16		EUR	100,000				140,430
Intesa Sanpaolo S.p.A., 5.25%, 1/28/22		GBP	100,000				182,445
Intesa Sanpaolo S.p.A., 5.017%, 6/26/24 (n)		$	276,000				278,582
KBC Internationale Financieringsmaatschappij N.V., 4.5%, 3/27/17		EUR	150,000				216,563
LBG Capital No. 2 PLC, 6.385%, 5/12/20		EUR	250,000				353,083
Macquarie Group Ltd., 3%, 12/03/18 (n)		$	400,000				411,991
Rabobank Nederland N.V., 4%, 9/19/22		GBP	100,000				177,540
						$	10,739,092
Pharmaceuticals - 1.6%
Celgene Corp., 1.9%, 8/15/17		$	400,000			$	404,262
Endo Finance LLC/Endo Finco, Inc., 7.25%, 1/15/22 (n)			1,600,000				1,734,000
Forest Laboratories, Inc., 4.375%, 2/01/19 (n)			496,000				534,297
Gilead Sciences, Inc., 3.7%, 4/01/24			268,000				279,504
Hospira, Inc., 6.05%, 3/30/17			200,000				220,054
Mallinckrodt International Finance S.A., 5.75%, 8/01/22 (n)			885,000				903,806
Mylan, Inc., 2.55%, 3/28/19			265,000				266,327
Salix Pharmaceuticals Ltd., 6%, 1/15/21 (n)			475,000				515,375
Teva Pharmaceutical Finance B.V., 2.95%, 12/18/22			162,000				156,941
Valeant Pharmaceuticals International, Inc., 7%, 10/01/20 (n)			1,415,000				1,503,438
Valeant Pharmaceuticals International, Inc., 7.25%, 7/15/22 (n)			1,580,000				1,690,600
Vantage Point Imaging, 7.5%, 7/15/21 (n)			525,000				572,250
Watson Pharmaceuticals, Inc., 1.875%, 10/01/17			200,000				200,931
						$	8,981,785
Precious Metals & Minerals - 0.5%
Aurico Gold, Inc., 7.75%, 4/01/20 (n)		$	920,000			$	945,300
Eldorado Gold Corp., 6.125%, 12/15/20 (n)			1,620,000				1,672,650
						$	2,617,950
Printing & Publishing - 0.6%
American Media, Inc., 13.5%, 6/15/18 (z)		$	11,911			$	12,685
Gannett Co., Inc., 6.375%, 10/15/23 (n)			1,385,000				1,471,563
Gannett Co., Inc., 5.125%, 10/15/19 (n)			320,000				328,000
Gannett Co., Inc., 5.125%, 7/15/20			60,000				61,350
Lamar Media Corp., 5%, 5/01/23			580,000				578,550
Moody’s Corp., 4.875%, 2/15/24			200,000				219,514
Nielsen Finance LLC, 5%, 4/15/22 (n)			585,000				590,850
						$	3,262,512
Railroad & Shipping - 0.2%
CSX Corp., 4.1%, 3/15/44		$	200,000			$	195,371
Watco Cos. LLC, 6.375%, 4/01/23 (n)			870,000				889,575
						$	1,084,946
Real Estate - Healthcare - 0.6%
Aviv Healthcare Properties LP/Aviv Healthcare, 6%, 10/15/21		$	1,360,000			$	1,434,800
MPT Operating Partnership LP, REIT, 6.875%, 5/01/21			680,000				731,000

 

14

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Real Estate - Healthcare - continued
MPT Operating Partnership LP, REIT, 6.375%, 2/15/22		$	1,040,000			$	1,118,000
						$	3,283,800
Real Estate - Office - 0.0%
Boston Properties, Inc., REIT, 3.125%, 9/01/23		$	250,000			$	244,430
Real Estate - Other - 0.9%
CNL Lifestyle Properties, Inc., REIT, 7.25%, 4/15/19		$	640,000			$	662,400
DuPont Fabros Technology LP, REIT, 5.875%, 9/15/21			1,225,000				1,280,125
ERP Properties, REIT, 7.75%, 7/15/20			665,000				808,765
ERP Properties, REIT, 5.75%, 8/15/22			750,000				826,590
Felcor Lodging LP, REIT, 5.625%, 3/01/23			1,245,000				1,260,563
						$	4,838,443
Real Estate - Retail - 0.2%
Hammerson PLC, REIT, 2.75%, 9/26/19		EUR	100,000			$	141,892
Hammerson PLC, REIT, 6%, 2/23/26		GBP	125,000				251,009
Simon Property Group, Inc., REIT, 10.35%, 4/01/19		$	360,000				483,372
						$	876,273
Restaurants - 0.1%
YUM! Brands, Inc., 5.35%, 11/01/43		$	250,000			$	280,617
Retailers - 1.3%
Bed Bath & Beyond, Inc., 5.165%, 8/01/44		$	145,000			$	150,754
Best Buy Co., Inc., 5.5%, 3/15/21			1,485,000				1,535,119
Bon Ton Stores, Inc., 8%, 6/15/21			505,000				472,175
Cencosud S.A., 5.5%, 1/20/21			250,000				268,804
Dollar General Corp., 4.125%, 7/15/17			400,000				420,012
Gap, Inc., 5.95%, 4/12/21			300,000				347,699
Home Depot, Inc., 4.875%, 2/15/44			200,000				225,827
Jo-Ann Stores Holdings, Inc., 9.75%, 10/15/19 (n)(p)			860,000				825,600
Limited Brands, Inc., 6.95%, 3/01/33			670,000				701,825
Marks & Spencer Group PLC, 4.75%, 6/12/25		GBP	100,000				176,034
Neiman Marcus Group Ltd., 8%, 10/15/21 (z)		$	150,000				161,813
Rite Aid Corp., 9.25%, 3/15/20			725,000				812,000
Sally Beauty Holdings, Inc., 6.875%, 11/15/19			775,000				835,063
Wal-Mart Stores, Inc., 4.3%, 4/22/44			300,000				314,432
						$	7,247,157
Specialty Chemicals - 0.2%
Chemtura Corp., 5.75%, 7/15/21		$	1,295,000			$	1,346,800
Specialty Stores - 0.5%
Group 1 Automotive, Inc., 5%, 6/01/22 (n)		$	875,000			$	868,438
Men’s Wearhouse, Inc., 7%, 7/01/22 (n)			315,000				329,963
Michaels Stores, Inc., 5.875%, 12/15/20 (n)			655,000				664,825
Office Depot de Mexico S.A. de C.V., 6.875%, 9/20/20 (n)			769,000				818,985
						$	2,682,211
Supermarkets - 0.1%
Delhaize Group, 3.125%, 2/27/20		EUR	100,000			$	142,889
William Morrison Supermarkets PLC, 3.5%, 7/27/26		GBP	100,000				152,953
						$	295,842

 

15

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Supranational - 1.5%
European Investment Bank, 1.75%, 3/15/17		$	8,000,000			$	8,167,168
European Investment Bank, 4.25%, 4/15/19		EUR	200,000				310,557
						$	8,477,725
Telecommunications - Wireless - 4.2%
Altice Financing S.A., 6.5%, 1/15/22 (n)		$	2,005,000			$	2,110,263
America Movil S.A.B. de C.V., 1%, 6/04/18		EUR	100,000				132,610
America Movil S.A.B. de C.V., 4.75%, 6/28/22		EUR	200,000				322,228
American Tower Corp., REIT, 3.5%, 1/31/23		$	465,000				457,832
Bharti Airtel International (Netherlands) B.V., 3.375%, 5/20/21 (n)		EUR	100,000				135,179
Bharti Airtel International B.V., 5.35%, 5/20/24 (n)		$	1,324,000				1,421,605
Crown Castle International Corp., 4.875%, 4/15/22			385,000				391,738
Crown Castle International Corp., 5.25%, 1/15/23			1,200,000				1,239,372
Digicel Group Ltd., 8.25%, 9/01/17 (n)			710,000				721,538
Digicel Group Ltd., 8.25%, 9/30/20 (n)			1,053,000				1,137,240
Digicel Group Ltd., 6%, 4/15/21 (n)			940,000				968,200
Digicel Group Ltd., 7.125%, 4/01/22 (n)			425,000				440,938
Eileme 2 AB, 11.625%, 1/31/20 (n)			765,000				891,302
Millicom International Cellular S.A., 4.75%, 5/22/20 (n)			390,000				389,025
Millicom International Cellular S.A., 6.625%, 10/15/21 (n)			409,000				445,810
MTS International Funding Ltd., 5%, 5/30/23 (n)			488,000				439,200
Rogers Communications, Inc., 5%, 3/15/44			137,000				145,845
Sprint Capital Corp., 6.875%, 11/15/28			1,625,000				1,584,375
Sprint Corp., 7.875%, 9/15/23 (n)			955,000				1,024,238
Sprint Corp., 7.125%, 6/15/24 (n)			1,235,000				1,259,700
Sprint Nextel Corp., 9%, 11/15/18 (n)			630,000				748,913
Sprint Nextel Corp., 6%, 11/15/22			830,000				827,925
T-Mobile USA, Inc., 6.125%, 1/15/22			135,000				139,894
T-Mobile USA, Inc., 6.5%, 1/15/24			370,000				384,800
T-Mobile USA, Inc., 6.464%, 4/28/19			235,000				244,988
T-Mobile USA, Inc., 6.25%, 4/01/21			2,590,000				2,687,125
T-Mobile USA, Inc., 6.633%, 4/28/21			515,000				542,038
Wind Acquisition Finance S.A., 4%, 7/15/20 (z)		EUR	200,000				264,104
Wind Acquisition Finance S.A., 4.75%, 7/15/20 (n)		$	1,070,000				1,072,675
Wind Acquisition Finance S.A., 7.375%, 4/23/21 (n)			1,145,000				1,207,975
						$	23,778,675
Telephone Services - 0.6%
B Communications Ltd., 7.375%, 2/15/21 (n)		$	1,821,000			$	1,934,813
Cogent Communications Group, Inc., 8.375%, 2/15/18 (n)			445,000				469,475
Level 3 Financing, Inc., 8.625%, 7/15/20			630,000				697,725
TELUS Corp., 5.05%, 7/23/20		CAD	370,000				382,169
						$	3,484,182
Tobacco - 0.2%
Altria Group, Inc., 2.85%, 8/09/22		$	250,000			$	244,514
Lorillard Tobacco Co., 8.125%, 6/23/19			125,000				155,389
Reynolds American, Inc., 6.75%, 6/15/17			400,000				454,869
						$	854,772
Transportation - 0.1%
Far Eastern Shipping Co., 8%, 5/02/18 (n)		$	526,000			$	382,665
Transportation - Services - 1.5%
Aguila American Resources Ltd., 7.875%, 1/31/18 (n)		$	1,155,000			$	1,201,200
ERAC USA Finance Co., 6.375%, 10/15/17 (n)			400,000				457,159

 

16

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Transportation - Services - continued
HIT Finance B.V., 4.875%, 10/27/21		EUR	150,000			$	241,119
Jack Cooper Holdings Corp., 9.25%, 6/01/20 (n)		$	1,340,000				1,457,250
Navios Logistics Finance (U.S.), Inc., 7.25%, 5/01/22 (n)			137,000				141,966
Navios Maritime Acquisition Corp., 8.125%, 11/15/21 (n)			1,029,000				1,070,160
Navios Maritime Holding, Inc., 7.375%, 1/15/22 (n)			1,205,000				1,247,175
Stena AB, 7%, 2/01/24 (n)			1,570,000				1,664,200
Syncreon Group BV/Syncre, 8.625%, 11/01/21 (n)			670,000				663,300
Topaz Marine S.A., 8.625%, 11/01/18 (n)			208,000				217,360
						$	8,360,889
U.S. Government Agencies and Equivalents - 3.2%
Fannie Mae, 1.125%, 4/27/17		$	8,000,000			$	8,044,136
Freddie Mac, 0.875%, 2/22/17			10,000,000				10,008,670
						$	18,052,806
U.S. Treasury Obligations - 5.4%
U.S. Treasury Bonds, 6.25%, 8/15/23 (f)		$	1,400,000			$	1,858,172
U.S. Treasury Bonds, 5.375%, 2/15/31			286,200				386,057
U.S. Treasury Bonds, 4.5%, 2/15/36			95,000				119,774
U.S. Treasury Bonds, 4.75%, 2/15/37			2,986,200				3,896,525
U.S. Treasury Bonds, 3.125%, 2/15/43			7,420,000				7,489,563
U.S. Treasury Notes, 2.75%, 2/15/24			10,000,000				10,371,880
U.S. Treasury Notes, 2.5%, 5/15/24			6,000,000				6,085,782
						$	30,207,753
Utilities - Electric Power - 2.1%
AES Corp., 7.375%, 7/01/21		$	725,000			$	830,125
American Electric Power Co., Inc., 1.65%, 12/15/17			185,000				185,714
Calpine Corp., 5.375%, 1/15/23			200,000				202,000
CMS Energy Corp., 3.875%, 3/01/24			250,000				262,993
Covanta Holding Corp., 7.25%, 12/01/20			1,830,000				1,976,400
Covanta Holding Corp., 6.375%, 10/01/22			310,000				332,475
Duke Energy Corp., 1.625%, 8/15/17			185,000				186,311
E.CL S.A., 5.625%, 1/15/21			757,000				828,915
E.ON International Finance B.V., 6.375%, 6/07/32		GBP	50,000				106,109
EDP Finance B.V., 5.25%, 1/14/21 (n)		$	200,000				211,068
EDP Finance B.V., 4.125%, 1/20/21		EUR	150,000				215,540
Empresa Nacional de Electricidad S.A., 4.25%, 4/15/24		$	116,000				117,756
Enel Finance International N.V., 4.875%, 3/11/20		EUR	200,000				312,833
Enel S.p.A., 6.25%, 6/20/19		GBP	100,000				191,468
Greenko Dutch B.V., 8%, 8/01/19 (n)		$	378,000				375,638
InterGen N.V., 7%, 6/30/23 (n)			715,000				725,725
NGG Finance PLC, FRN, 5.625%, 6/18/73		GBP	100,000				174,523
NRG Energy, Inc., 8.25%, 9/01/20		$	1,085,000				1,174,513
NRG Energy, Inc., 6.25%, 7/15/22 (n)			375,000				392,813
NRG Energy, Inc., 6.625%, 3/15/23			1,605,000				1,701,300
PG&E Corp., 2.4%, 3/01/19			166,000				167,602
PPL WEM Holdings PLC, 5.375%, 5/01/21 (n)			250,000				283,412
Red Electrica de Espana, 3.5%, 10/07/16		EUR	100,000				139,219
Red Electrica de Espana, 4.75%, 2/16/18		EUR	100,000				149,034
Southern Electric Power Co. Ltd., 4.625%, 2/20/37		GBP	100,000				179,419
Transelec S.A., 4.25%, 1/14/25 (n)		$	200,000				200,910
Viridian Group FundCo II, Ltd., 11.125%, 4/01/17 (n)			373,000				408,435
						$	12,032,250

 

17

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Utilities - Water - 0.0%
Veolia Environnement S.A., 4.45% to 4/16/18, FRN to 1/29/49		EUR	200,000			$	271,988
Total Bonds						$	633,369,885
Floating Rate Loans (g)(r) - 1.5%
Aerospace - 0.1%
TransDigm, Inc., Term Loan C, 3.75%, 2/28/20		$	611,317			$	607,496
Building - 0.1%
ABC Supply Co., Inc., Term Loan, 3.5%, 4/16/20		$	149,697			$	148,138
HD Supply, Inc., Term Loan B, 4%, 6/28/18			82,060				81,723
						$	229,861
Cable TV - 0.0%
Cequel Communications LLC, Term Loan B, 3.5%, 2/14/19		$	81,996			$	81,453
Conglomerates - 0.1%
Entegris, Inc., Term Loan B, 3.5%, 2/04/21		$	156,530			$	154,900
Silver II U.S. Holdings LLC, Term Loan, 4%, 12/13/19			562,875				560,295
						$	715,195
Consumer Services - 0.1%
Realogy Corp., Term Loan B, 3.75%, 3/05/20		$	310,210			$	308,013
Containers - 0.1%
Berry Plastics Group, Inc., Term Loan E, 3.75%, 1/06/21		$	434,253			$	427,584
Electronics - 0.1%
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21		$	776,171			$	775,062
Energy - Independent - 0.1%
MEG Energy Corp., Term Loan, 3.75%, 3/31/20		$	533,548			$	532,119
Entertainment - 0.1%
Cedar Fair LP, Term Loan B, 3.25%, 3/06/20		$	332,694			$	333,357
Food & Beverages - 0.0%
H.J. Heinz Co., Term Loan B2, 3.5%, 6/07/20		$	223,874			$	223,566
Gaming & Lodging - 0.0%
Hilton Worldwide Finance LLC, Term Loan B2, 3.5%, 10/25/20		$	136,731			$	135,724
Medical & Health Technology & Services - 0.1%
Community Health Systems, Inc., Term Loan D, 4.25%, 1/16/21		$	186,382			$	186,819
Davita Healthcare Partners, Inc., Term Loan B, 3.5%, 6/24/21			379,574				378,421
						$	565,240
Metals & Mining - 0.2%
FMG Resources Ltd., Term Loan B, 3.75%, 6/30/19		$	442,843			$	440,936
Steel Dynamics, Inc., Bridge Term Loan A, 8/08/15 (o)			305,000				305,000
Steel Dynamics, Inc., Bridge Term Loan B, 8/08/15 (o)			305,000				305,000
						$	1,050,936
Printing & Publishing - 0.0%
CBS Outdoor Americas Capital LLC, Term Loan B, 3%, 1/31/21		$	96,113			$	95,221

 

18

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Floating Rate Loans (g)(r) - continued
Retailers - 0.1%
Dollar Tree, Inc., Bridge Term Loan, 8/08/15 (o)		$	510,000			$	510,000
Rite Aid Corp., Term Loan, 4.87%, 6/21/21			44,587				44,671
						$	554,671
Specialty Stores - 0.0%
Men’s Warehouse, Inc., Term Loan B, 4.5%, 4/16/21		$	111,001			$	111,487
Supermarkets - 0.1%
Albertsons Holdings LLC, Term Loan B4, 8/25/21 (o)		$	640,006			$	640,139
Transportation - Services - 0.2%
Commercial Barge Line Co., Term Loan, 7.5%, 9/15/19		$	1,112,958			$	1,117,131
Utilities - Electric Power - 0.0%
Calpine Construction Finance Co., Term Loan B1, 3%, 5/03/20		$	123,450			$	120,878
Total Floating Rate Loans						$	8,625,133
Preferred Stocks - 0.1%
Other Banks & Diversified Financials - 0.1%
Ally Financial, Inc., 7% (z)			380			$	382,054
Convertible Bonds - 0.0%
Network & Telecom - 0.0%
Nortel Networks Corp., 2.125%, 4/15/49 (a)(d)		$	195,000			$	196,706
Common Stocks - 0.0%
Automotive - 0.0%
Accuride Corp. (a)			12,648			$	57,675
Printing & Publishing - 0.0%
American Media Operations, Inc.			3,053			$	548
Total Common Stocks						$	58,223
Money Market Funds - 1.6%
MFS Institutional Money Market Portfolio, 0.09%, at Net Asset Value (v)			8,784,108			$	8,784,108
Total Investments						$	651,416,109
Other Assets, Less Liabilities - (15.8)%							(88,815,238	)
Net Assets - 100.0%						$	562,600,871

 

(a)	Non-income producing security.

(d)	In default. Interest and/or scheduled principal payment(s) have been missed.

(f)	All or a portion of the security has been segregated as collateral for open futures contracts.

(g)	The rate shown represents a weighted average coupon rate on settled positions at period end, unless otherwise indicated.

(i)	Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security.

(n)

Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $188,357,025, representing 33.5% of net assets.

(o)	All or a portion of this position has not settled. Upon settlement date, interest rates for unsettled amounts will be determined. The rate shown, if any, represents the weighted average coupon rate for settled amounts.

(p)	Payment-in-kind security.

(q)	Interest received was less than stated coupon rate.

 

19

---

Portfolio of Investments (unaudited) – continued

 

(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				$382,054
American Energy-Permian Basin LLC, 7.125%, 11/01/20		7/16/14			385,000				373,450
American Energy-Permian Basin LLC, 7.375%, 11/01/21		7/16/14-8/19/14			767,429				755,625
American Media, Inc., 13.5%, 6/15/18		12/22/10			12,030				12,685
Baytex Energy Corp., 5.625%, 6/01/24		5/29/14-8/15/14			1,050,579				1,045,000
Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.756%, 12/28/40		3/01/06			682,291				422,206
CITGO Petroleum Corp., 6.25%, 8/15/22		7/23/14			370,000				388,808
Light Tower Rentals, Inc., 8.125%, 8/01/19		7/16/14-8/12/14			507,976				517,625
Loxam SAS, 4.875%, 7/23/21		7/18/14			473,357				459,882
Neiman Marcus Group Ltd., 8%, 10/15/21		8/04/14			156,696				161,813
Republic of Indonesia, 2.875%, 7/08/21		7/02/14			237,477				233,965
Republic of Paraguay, 6.1%, 8/11/44		8/18/14			567,593				588,500
Sanchez Energy Corp., 6.125%, 1/15/23		6/13/14-6/30/14			676,117				688,275
Schaeffler Finance B.V., 4.75%, 5/15/21		7/10/14-7/11/14			679,475				673,200
Wind Acquisition Finance S.A., 4%, 7/15/20		6/24/14-6/26/14			272,140				264,104
Total Restricted Securities									$6,967,192
% of Net assets									1.2%

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
BRL		Brazilian Real
CAD		Canadian Dollar
CHF		Swiss Franc
DKK		Danish Krone
EUR		Euro
GBP		British Pound
INR		Indian Rupee
JPY		Japanese Yen
KRW		Korean Won
MXN		Mexican Peso
NOK		Norwegian Krone
NZD		New Zealand Dollar
SEK		Swedish Krona
SGD		Singapore Dollar
ZAR		South African Rand

 

20

---

Portfolio of Investments (unaudited) – continued

 

Derivative Contracts at 8/31/14

Forward Foreign Currency Exchange Contracts at 8/31/14

 

Type		Currency				Counterparty		Contracts to Deliver/Receive		Settlement Date Range		In Exchange For				Contracts at Value				Net Unrealized Appreciation (Depreciation)
Asset Derivatives
BUY			CAD			Deutsche Bank AG		774,253		10/10/14		$	708,699			$	711,464			$	2,765
BUY			CAD			Goldman Sachs International		2,915,000		10/10/14			2,652,532				2,678,606				26,074
SELL			CAD			Merrill Lynch International		3,240,078		10/10/14			3,033,355				2,977,321				56,034
SELL			CHF			Royal Bank of Scotland Group PLC		66,000		10/10/14			73,058				71,916				1,142
SELL			CHF			UBS AG		2,222,918		10/10/14			2,489,688				2,422,186				67,502
SELL			DKK			Barclays Bank PLC		1,409,022		10/10/14			257,375				248,613				8,762
SELL			DKK			UBS AG		1,409,022		10/10/14			257,358				248,612				8,746
SELL			EUR			Citibank N.A.		334,000		10/10/14			448,934				438,954				9,980
SELL			EUR			Credit Suisse Group		38,894,456		10/10/14			52,946,053				51,116,471				1,829,582
SELL			EUR			Deutsche Bank AG		2,011,000		10/10/14			2,654,822				2,642,928				11,894
SELL			GBP			Citibank N.A.		71,000		10/10/14			120,567				117,836				2,731
SELL			GBP			Credit Suisse Group		2,548,667		10/10/14			4,359,535				4,229,923				129,612
SELL			GBP			Merrill Lynch International		2,548,667		10/10/14			4,361,087				4,229,923				131,164
BUY			INR			Barclays Bank PLC		161,189,000		9/08/14			2,649,827				2,652,807				2,980
SELL			JPY			Citibank N.A.		272,315,000		10/10/14			2,660,680				2,618,018				42,662
SELL			JPY			Deutsche Bank AG		1,642,376,459		10/10/14			16,182,803				15,789,697				393,106
BUY			KRW			JPMorgan Chase Bank N.A.		44,218,500		9/15/14			42,922				43,586				664
SELL			MXN			Barclays Bank PLC		15,694,000		10/10/14			1,207,185				1,197,199				9,986
SELL			NZD			Citibank N.A.		944,000		10/10/14			797,094				786,775				10,319
SELL			NZD			Deutsche Bank AG		2,168,000		10/10/14			1,830,551				1,806,916				23,635
SELL			NZD			Goldman Sachs International		822,517		10/10/14			717,416				685,525				31,891
SELL			SEK			Goldman Sachs International		5,887,383		10/10/14			861,916				842,261				19,655
BUY			ZAR			JPMorgan Chase Bank N.A.		360,852		10/10/14			33,229				33,628				399
																				$	2,821,285
Liability Derivatives
SELL			AUD			Westpac Banking Corp.		2,493,298		10/10/14		$	2,320,811			$	2,322,586			$	(1,775	)
SELL			BRL			UBS AG		7,709,690		10/02/14			3,396,190				3,415,153				(18,963	)
BUY			EUR			Barclays Bank PLC		485,000		10/10/14			650,518				637,404				(13,114	)
BUY			EUR			Credit Suisse Group		699,213		10/10/14			934,510				918,930				(15,580	)
BUY			EUR			Deutsche Bank AG		596,478		10/10/14			798,746				783,913				(14,833	)
BUY			EUR			Goldman Sachs International		421,488		10/10/14			573,636				553,934				(19,702	)
BUY			GBP			Credit Suisse Group		172,365		10/10/14			295,274				286,067				(9,207	)
BUY			JPY			Barclays Bank PLC		261,389,000		10/10/14			2,560,629				2,512,976				(47,653	)
BUY			JPY			Merrill Lynch International		2,793,562		10/10/14			27,483				26,857				(626	)
BUY			NOK			Deutsche Bank AG		16,426,000		10/10/14			2,657,022				2,646,779				(10,243	)
BUY			NOK			UBS AG		7,951		10/10/14			1,287				1,281				(6	)
BUY			NZD			Goldman Sachs International		60,690		10/10/14			52,935				50,582				(2,353	)
BUY			NZD			JPMorgan Chase Bank N.A.		3,120,000		10/10/14			2,635,093				2,600,358				(34,735	)
SELL			NZD			Citibank N.A.		3,171,000		10/10/14			2,636,566				2,642,864				(6,298	)
BUY			SGD			Deutsche Bank AG		40,141		10/10/14			32,300				32,137				(163	)
																				$	(195,251	)

 

21

---

Portfolio of Investments (unaudited) – continued

 

Futures Contracts at 8/31/14

 

Description

Currency

Contracts

Value

Expiration Date

Unrealized Appreciation (Depreciation)

Asset Derivatives

Interest Rate Futures

U.S. Treasury Bond 30yr (Long)

USD

23

$3,222,156

December - 2014

$8,421

Liability Derivatives

Interest Rate Futures

U.S. Treasury Note 10yr (Short)

USD

410

$51,570,313

December - 2014

$(42,563

)

$(34,142

)

At August 31, 2014, the fund had liquid securities with an aggregate value of $593,290 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.

 

22

---

Supplemental Information

8/31/14 (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 (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

 

23

---

Supplemental Information (unaudited) – continued

 

financial instruments are derivative instruments not reflected in total investments, such as futures contracts and forward foreign currency exchange contracts. The following is a summary of the levels used as of August 31, 2014 in valuing the fund’s assets or liabilities:

 

Investments at Value		Level 1				Level 2				Level 3				Total
Equity Securities			$57,675				$382,602				$—				$440,277
U.S. Treasury Bonds & U.S. Government Agency & Equivalents			—				48,260,559				—				48,260,559
Non-U.S. Sovereign Debt			—				108,726,625				—				108,726,625
Municipal Bonds			—				837,725				—				837,725
U.S. Corporate Bonds			—				314,395,387				—				314,395,387
Residential Mortgage-Backed Securities			—				16,400,668				—				16,400,668
Commercial Mortgage-Backed Securities			—				20,255,367				—				20,255,367
Asset-Backed Securities (including CDOs)			—				828,696				—				828,696
Foreign Bonds			—				123,861,564				—				123,861,564
Floating Rate Loans			—				8,625,133				—				8,625,133
Mutual Funds			8,784,108				—				—				8,784,108
Total Investments			$8,841,783				$642,574,326				$—				$651,416,109
Other Financial Instruments
Futures Contracts			$(34,142	)			$—				$—				$(34,142	)
Forward Foreign Currency Exchange Contracts			—				2,626,034				—				2,626,034

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 11/30/13			$14,929
Change in unrealized appreciation (depreciation)			(14,381	)
Transfers out of level 3			(548	)
Balance as of 8/31/14			$—

(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			$635,530,769
Gross unrealized appreciation			23,729,473
Gross unrealized depreciation			(7,844,133	)
Net unrealized appreciation (depreciation)			$15,885,340

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			71,783,375				119,606,899				(182,606,166	)			8,784,108
Underlying Affiliated Fund		Realized Gain (Loss)				Capital Gain Distributions				Dividend Income				Ending Value
MFS Institutional Money Market Portfolio			$—				$—				$31,313				$8,784,108

 

24

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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 August 31, 2014, are as follows:

 

United States			57.7%
Canada			3.8%
United Kingdom			3.2%
Italy			2.8%
Japan			2.8%
Mexico			2.8%
France			2.2%
Luxembourg			2.0%
Brazil			1.8%
Other Countries			20.9%

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

 

25

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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: October 16, 2014

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: October 16, 2014

 

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

Date: October 16, 2014

 

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