MFS CHARTER INCOME TRUST N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-05822

MFS CHARTER INCOME TRUST

(Exact name of registrant as specified in charter)

111 Huntington Avenue, Boston, Massachusetts 02199

(Address of principal executive offices) (Zip code)

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: February 28, 2014


ITEM 1. SCHEDULE OF INVESTMENTS.


QUARTERLY REPORT

February 28, 2014

 

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MFS® CHARTER INCOME TRUST

 

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PORTFOLIO OF INVESTMENTS

2/28/14 (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 - 105.7%                 
Aerospace - 1.7%                 
Alliant Techsystems, Inc., 5.25%, 10/01/21 (n)    $ 350,000      $ 358,750   
BE Aerospace, Inc., 5.25%, 4/01/22      250,000        257,813   
Bombardier, Inc., 7.5%, 3/15/18 (n)      1,040,000        1,170,000   
Bombardier, Inc., 7.75%, 3/15/20 (n)      625,000        698,438   
Bombardier, Inc., 6.125%, 1/15/23 (n)      1,090,000        1,103,625   
CPI International, Inc., 8%, 2/15/18      985,000        1,044,100   
Huntington Ingalls Industries, Inc., 7.125%, 3/15/21      2,275,000        2,530,938   
Kratos Defense & Security Solutions, Inc., 10%, 6/01/17      2,290,000        2,444,575   
    

 

 

 
      $ 9,608,239   
Airlines - 0.0%                 
Continental Airlines, Inc., 7.25%, 5/10/21    $ 181,737      $ 210,360   
Apparel Manufacturers - 0.8%                 
Hanesbrands, Inc., 6.375%, 12/15/20    $ 875,000      $ 960,313   
Jones Group, Inc., 6.875%, 3/15/19      1,040,000        1,063,345   
PVH Corp., 7.375%, 5/15/20      1,305,000        1,451,813   
PVH Corp., 4.5%, 12/15/22      830,000        817,550   
    

 

 

 
      $ 4,293,021   
Asset-Backed & Securitized - 4.7%                 
Banc of America Commercial Mortgage, Inc., FRN, 5.775%, 2/10/51    $ 1,194,210      $ 1,340,001   
Bayview Financial Acquisition Trust, FRN, 5.483%, 2/28/41      119,002        120,038   
Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.754%, 12/28/40 (z)      705,048        464,515   
Citigroup/Deutsche Bank Commercial Mortgage Trust, FRN, 5.366%, 12/11/49      1,605,000        1,679,031   
Commercial Mortgage Pass-Through Certificates, FRN, 5.777%, 6/10/46      230,000        249,300   
Countrywide Asset-Backed Certificates, FRN, 5.147%, 2/25/33      570,561        576,833   
Crest Ltd., CDO, 0.001%, 1/28/40 (a)(p)      2,594,456        129,723   
First Union-Lehman Brothers Bank of America, FRN, 0.609%, 11/18/35 (i)      6,423,558        124,630   
Goldman Sachs Mortgage Securities Corp., FRN, 5.806%, 8/10/45      1,753,688        1,935,826   
Greenwich Capital Commercial Funding Corp., 5.475%, 3/10/39      954,545        1,033,183   
JPMorgan Chase Commercial Mortgage Securities Corp., “A3”, FRN, 5.813%, 6/15/49      1,000,000        1,024,250   
JPMorgan Chase Commercial Mortgage Securities Corp., “A3”, FRN, 5.939%, 2/15/51      3,225,180        3,248,572   
JPMorgan Chase Commercial Mortgage Securities Corp., “A4”, FRN, 5.813%, 6/15/49      2,346,110        2,616,492   
JPMorgan Chase Commercial Mortgage Securities Corp., “C”, FRN, 6.011%, 2/15/51      185,000        104,724   
JPMorgan Chase Commercial Mortgage Trust, 2007-LD11, “AM”, FRN, 5.813%, 6/15/49      2,142,300        2,238,059   
Merrill Lynch Mortgage Trust, FRN, 5.84%, 6/12/50      1,350,000        1,519,244   
Morgan Stanley Capital I Trust, “AM”, FRN, 5.692%, 4/15/49      2,137,000        2,251,812   
Multi Security Asset Trust, “A3”, CDO, 5%, 11/28/35 (n)      449,879        452,354   
Spirit Master Funding LLC, 5.05%, 7/20/23 (z)      1,065,290        1,083,932   
Wachovia Bank Commercial Mortgage Trust, “A4”, FRN, 5.933%, 2/15/51      3,625,000        3,999,872   
    

 

 

 
      $ 26,192,391   
Automotive - 2.3%                 
Accuride Corp., 9.5%, 8/01/18    $ 1,445,000      $ 1,473,900   
Allison Transmission, Inc., 7.125%, 5/15/19 (n)      2,345,000        2,532,600   
Delphi Automotive PLC, 4.15%, 3/15/24      186,000        186,657   
Delphi Corp., 5%, 2/15/23      18,000        19,193   
FCE Bank PLC, 1.875%, 5/12/16    EUR 100,000        140,254   
Ford Motor Credit Co. LLC, 1.7%, 5/09/16    $ 300,000        304,151   
General Motors Financial Co., Inc., 6.75%, 6/01/18      795,000        926,175   
Goodyear Tire & Rubber Co., 6.5%, 3/01/21      1,415,000        1,545,888   

 

1


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Automotive - continued                 
Goodyear Tire & Rubber Co., 7%, 5/15/22    $ 350,000      $ 390,250   
Harley-Davidson Financial Services, Inc., 2.7%, 3/15/17 (n)      370,000        384,033   
Jaguar Land Rover PLC, 8.125%, 5/15/21 (n)      2,315,000        2,621,738   
Jaguar Land Rover PLC, 5.625%, 2/01/23 (n)      465,000        485,925   
Lear Corp., 8.125%, 3/15/20      833,000        912,135   
Lear Corp., 4.75%, 1/15/23 (n)      285,000        276,450   
Renault S.A., 3.625%, 9/19/18    EUR 250,000        364,816   
TRW Automotive, Inc., 4.5%, 3/01/21 (n)    $ 99,000        102,465   
TRW Automotive, Inc., 4.45%, 12/01/23 (n)      184,000        184,000   
    

 

 

 
      $ 12,850,630   
Biotechnology - 0.0%                 
Life Technologies Corp., 6%, 3/01/20    $ 200,000      $ 233,960   
Broadcasting - 3.4%                 
AMC Networks, Inc., 7.75%, 7/15/21    $ 843,000      $ 956,805   
Clear Channel Communications, Inc., 9%, 3/01/21      1,163,000        1,218,243   
Clear Channel Worldwide Holdings, Inc., 6.5%, 11/15/22      190,000        200,925   
Clear Channel Worldwide Holdings, Inc., 6.5%, 11/15/22      850,000        905,250   
Clear Channel Worldwide Holdings, Inc., “A”, 7.625%, 3/15/20      50,000        53,750   
Clear Channel Worldwide Holdings, Inc., “B”, 7.625%, 3/15/20      440,000        476,300   
Discovery Communications, Inc., 4.875%, 4/01/43      200,000        193,902   
Hughes Network Systems LLC, 7.625%, 6/15/21      765,000        864,450   
IAC/InterActive Corp., 4.875%, 11/30/18 (n)      175,000        182,438   
IAC/InterActive Corp., 4.75%, 12/15/22      535,000        517,613   
Inmarsat Finance PLC, 7.375%, 12/01/17 (n)      790,000        821,600   
Intelsat Jackson Holdings S.A., 6.625%, 12/15/22 (n)      990,000        1,044,450   
Intelsat Jackson Holdings S.A., 6.625%, 12/15/22      1,345,000        1,418,975   
Intelsat Jackson Holdings S.A., 5.5%, 8/01/23 (z)      310,000        306,513   
Intelsat S.A., 8.125%, 6/01/23 (n)      1,465,000        1,591,356   
Liberty Media Corp., 8.5%, 7/15/29      820,000        904,050   
Liberty Media Corp., 8.25%, 2/01/30      210,000        227,325   
Myriad International Holdings B.V., 6%, 7/18/20 (n)      1,301,000        1,401,828   
Netflix, Inc., 5.375%, 2/01/21      1,680,000        1,755,600   
Nexstar Broadcasting, Inc., 6.875%, 11/15/20      685,000        738,088   
SIRIUS XM Radio, Inc., 4.25%, 5/15/20 (n)      155,000        151,513   
SIRIUS XM Radio, Inc., 5.875%, 10/01/20 (n)      120,000        126,300   
SIRIUS XM Radio, Inc., 5.75%, 8/01/21 (n)      185,000        192,400   
SIRIUS XM Radio, Inc., 5.25%, 8/15/22 (n)      350,000        362,250   
Univision Communications, Inc., 6.875%, 5/15/19 (n)      855,000        919,125   
Univision Communications, Inc., 7.875%, 11/01/20 (n)      720,000        797,400   
Univision Communications, Inc., 8.5%, 5/15/21 (n)      710,000        788,988   
Vivendi S.A., 4%, 3/31/17    EUR 150,000        224,927   
    

 

 

 
      $ 19,342,364   
Brokerage & Asset Managers - 0.5%                 
E*TRADE Financial Corp., 6.375%, 11/15/19    $ 2,640,000      $ 2,864,400   
Building - 2.7%                 
Allegion U.S. Holding Co., Inc., 5.75%, 10/01/21 (n)    $ 1,680,000      $ 1,753,500   
Boise Cascade Co., 6.375%, 11/01/20      505,000        539,088   
Building Materials Holding Corp., 6.875%, 8/15/18 (n)      790,000        830,488   
Building Materials Holding Corp., 7%, 2/15/20 (n)      600,000        643,500   
Building Materials Holding Corp., 6.75%, 5/01/21 (n)      675,000        732,375   

 

2


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Building - continued                 
CEMEX Espana S.A., 9.25%, 5/12/20 (n)    $ 925,000      $ 1,011,950   
CEMEX S.A.B. de C.V., 5.875%, 3/25/19 (n)      253,000        260,590   
CEMEX S.A.B. de C.V., 6.5%, 12/10/19 (n)      284,000        298,910   
CEMEX S.A.B. de C.V., 9.25%, 5/12/20      560,000        612,640   
CEMEX S.A.B. de C.V., 7.25%, 1/15/21 (n)      423,000        453,668   
CRH Finance Ltd., 3.125%, 4/03/23    EUR 150,000        213,683   
Gibraltar Industries, Inc., 6.25%, 2/01/21    $ 60,000        63,300   
HD Supply, Inc., 8.125%, 4/15/19      690,000        776,250   
HD Supply, Inc., 7.5%, 7/15/20      1,300,000        1,423,500   
Headwaters, Inc., 7.25%, 1/15/19 (z)      265,000        277,588   
Headwaters, Inc., 7.625%, 4/01/19      205,000        222,425   
Holcim GB Finance Ltd., 8.75%, 4/24/17    GBP 100,000        200,521   
Lafarge S.A., 6.625%, 11/29/18    EUR 200,000        320,340   
Mohawk Industries, Inc., 3.85%, 2/01/23    $ 134,000        130,985   
Nortek, Inc., 8.5%, 4/15/21      1,325,000        1,484,000   
Owens Corning, Inc., 4.2%, 12/15/22      250,000        247,993   
Roofing Supply Group LLC/Roofing Supply Finance, Inc., 10%, 6/01/20 (n)      840,000        936,600   
USG Corp., 6.3%, 11/15/16      798,000        865,830   
USG Corp., 7.875%, 3/30/20 (n)      480,000        538,800   
USG Corp., 5.875%, 11/01/21 (n)      235,000        250,275   
    

 

 

 
      $ 15,088,799   
Business Services - 1.2%                 
Equinix, Inc., 4.875%, 4/01/20    $ 520,000      $ 528,450   
Equinix, Inc., 5.375%, 4/01/23      490,000        497,350   
Fidelity National Information Services, Inc., 5%, 3/15/22      700,000        729,159   
First Data Corp., 10.625%, 6/15/21 (n)      780,000        877,500   
iGate Corp., 9%, 5/01/16      1,608,000        1,698,450   
Iron Mountain, Inc., 8.375%, 8/15/21      746,000        796,355   
Iron Mountain, Inc., 6%, 8/15/23      125,000        132,813   
Lender Processing Services, Inc., 5.75%, 4/15/23      300,000        319,875   
NeuStar, Inc., 4.5%, 1/15/23      870,000        750,375   
Tencent Holdings Ltd., 3.375%, 3/05/18 (n)      449,000        461,422   
    

 

 

 
      $ 6,791,749   
Cable TV - 2.8%                 
CCO Holdings LLC, 8.125%, 4/30/20    $ 1,255,000      $ 1,374,225   
CCO Holdings LLC, 7.375%, 6/01/20      250,000        273,750   
CCO Holdings LLC, 6.5%, 4/30/21      1,460,000        1,560,375   
CCO Holdings LLC/CCO Capital Corp., 5.75%, 1/15/24      645,000        648,225   
Cequel Communications Holdings, 6.375%, 9/15/20 (n)      1,425,000        1,506,938   
Cequel Communications Holdings I LLC, 5.125%, 12/15/21 (n)      180,000        179,550   
Comcast Corp., 4.65%, 7/15/42      200,000        199,786   
Comcast Corp., 4.75%, 3/01/44      223,000        226,710   
DISH DBS Corp., 7.875%, 9/01/19      240,000        282,000   
DISH DBS Corp., 6.75%, 6/01/21      1,000,000        1,120,000   
DISH DBS Corp., 5%, 3/15/23      820,000        813,850   
Lynx I Corp., 5.375%, 4/15/21 (n)      380,000        391,400   
Lynx II Corp., 6.375%, 4/15/23 (n)      295,000        311,963   
Nara Cable Funding Ltd., 8.875%, 12/01/18 (n)      475,000        516,563   
Nara Cable Funding Ltd., 8.875%, 12/01/18    EUR 150,000        224,913   
ONO Finance ll PLC, 10.875%, 7/15/19 (n)    $ 300,000        331,500   
Shaw Communications, Inc., 5.65%, 10/01/19    CAD 215,000        219,470   
Telenet Finance Luxembourg, 6.375%, 11/15/20 (n)    EUR 435,000        645,637   
Time Warner Cable, Inc., 5.75%, 6/02/31    GBP 100,000        181,538   

 

3


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Cable TV - continued                 
Unitymedia Hessen, 5.5%, 1/15/23 (n)    $ 700,000      $ 724,500   
UPC Holding B.V., 9.875%, 4/15/18 (n)      1,175,000        1,245,500   
UPCB Finance III Ltd., 6.625%, 7/01/20 (n)      1,104,000        1,179,900   
Virgin Media Finance PLC, 8.375%, 10/15/19      318,000        342,645   
VTR Finance B.V., 6.875%, 1/15/24 (n)      207,000        211,959   
Ziggo Bond Co. B.V., 8%, 5/15/18 (z)    EUR 635,000        932,411   
    

 

 

 
      $ 15,645,308   
Chemicals - 2.4%                 
Celanese U.S. Holdings LLC, 5.875%, 6/15/21    $ 544,000      $ 586,160   
Celanese U.S. Holdings LLC, 4.625%, 11/15/22      210,000        208,950   
Dow Chemical Co., 8.55%, 5/15/19      200,000        258,682   
Flash Dutch 2 B.V./U.S. Coatings Acquisition, 7.375%, 5/01/21 (n)      1,080,000        1,166,400   
FMC Corp., 4.1%, 2/01/24      175,000        180,209   
Hexion U.S. Finance Corp., 6.625%, 4/15/20      330,000        341,138   
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, 8.875%, 2/01/18      830,000        865,275   
Huntsman International LLC, 8.625%, 3/15/21      1,740,000        1,966,200   
INEOS Finance PLC, 8.375%, 2/15/19 (n)      2,000,000        2,215,000   
INEOS Group Holdings S.A., 6.125%, 8/15/18 (n)      515,000        533,025   
INEOS Group Holdings S.A., 5.875%, 2/15/19 (z)      200,000        206,000   
LYB International Finance B.V., 4%, 7/15/23      135,000        137,638   
NOVA Chemicals Corp., 5.25%, 8/01/23 (n)      550,000        585,750   
Polypore International, Inc., 7.5%, 11/15/17      365,000        386,900   
Sociedad Quimica y Minera de Chile S.A., 5.5%, 4/21/20 (n)      414,000        439,309   
Taminco Global Chemical Corp., 9.75%, 3/31/20 (z)      1,460,000        1,657,100   
Tronox Finance LLC, 6.375%, 8/15/20      1,475,000        1,515,563   
    

 

 

 
      $ 13,249,299   
Computer Software - 0.5%                 
Infor (US), Inc., 11.5%, 7/15/18    $ 995,000      $ 1,156,688   
Syniverse Holdings, Inc., 9.125%, 1/15/19      1,225,000        1,341,375   
VeriSign, Inc., 4.625%, 5/01/23      375,000        365,625   
    

 

 

 
      $ 2,863,688   
Computer Software - Systems - 0.5%                 
Audatex North America, Inc., 6%, 6/15/21 (n)    $ 1,315,000      $ 1,403,763   
Audatex North America, Inc., 6.125%, 11/01/23 (n)      210,000        224,700   
CDW LLC/CDW Finance Corp., 12.535%, 10/12/17      28,000        29,400   
CDW LLC/CDW Finance Corp., 8.5%, 4/01/19      1,060,000        1,166,000   
    

 

 

 
      $ 2,823,863   
Conglomerates - 1.6%                 
Alstom S.A., 2.25%, 10/11/17    EUR 100,000      $ 139,485   
Amsted Industries, Inc., 8.125%, 3/15/18 (n)    $ 1,410,000        1,473,450   
BC Mountain LLC, 7%, 2/01/21 (n)      1,550,000        1,542,250   
Dynacast International LLC, 9.25%, 7/15/19      890,000        990,125   
Metalloinvest Finance Ltd., 5.625%, 4/17/20 (n)      619,000        598,883   
Renaissance Acquisition, 6.875%, 8/15/21 (n)      1,345,000        1,375,263   
Rexel S.A., 6.125%, 12/15/19 (n)      1,520,000        1,603,600   
Roper Industries, Inc., 1.85%, 11/15/17      200,000        201,027   
Siemens Financierings N.V., 5.25% to 9/14/16, FRN to 9/14/66    EUR 100,000        149,072   
Siemens Financierings N.V., 6.125% to 9/14/16, FRN to 9/14/66    GBP 75,000        135,721   
Silver II Borrower, 7.75%, 12/15/20 (n)    $ 715,000        765,050   
    

 

 

 
      $ 8,973,926   

 

4


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Construction - 0.1%                 
Empresas ICA S.A.B. de C.V., 8.9%, 2/04/21    $ 450,000      $ 452,813   
Consumer Products - 0.8%                 
Elizabeth Arden, Inc., 7.375%, 3/15/21    $ 1,215,000      $ 1,300,050   
Henkel AG & Co. KGaA, 5.375% to 11/25/15, FRN to 11/25/04    EUR 100,000        146,588   
Jarden Corp., 7.5%, 1/15/20    $ 1,355,000        1,456,625   
Prestige Brands, Inc., 8.125%, 2/01/20      257,000        287,840   
Prestige Brands, Inc., 5.375%, 12/15/21 (z)      400,000        406,000   
Prosegur Compania de Seguridad S.A., 2.75%, 4/02/18    EUR 200,000        283,873   
Spectrum Brands, Inc., 6.375%, 11/15/20    $ 685,000        746,650   
    

 

 

 
      $ 4,627,626   
Consumer Services - 1.1%                 
ADT Corp., 6.25%, 10/15/21 (n)    $ 1,715,000      $ 1,805,038   
ADT Corp., 4.125%, 6/15/23      60,000        56,392   
Grupo Posadas S.A.B. de C.V., 7.875%, 11/30/17      505,000        509,419   
Monitronics International, Inc., 9.125%, 4/01/20      1,360,000        1,458,600   
QVC, Inc., 7.375%, 10/15/20 (n)      485,000        525,511   
Service Corp. International, 7%, 6/15/17      1,770,000        1,989,038   
    

 

 

 
      $ 6,343,998   
Containers - 2.5%                 
Ardagh Packaging Finance PLC, 7.375%, 10/15/17 (n)    $ 990,000      $ 1,058,063   
Ardagh Packaging Finance PLC, 9.125%, 10/15/20 (n)      1,645,000        1,817,725   
Ardagh Packaging Finance PLC, 9.125%, 10/15/20 (n)      750,000        832,500   
Ball Corp., 5%, 3/15/22      543,000        560,648   
Ball Corp., 4%, 11/15/23      15,000        14,381   
Berry Plastics Group, Inc., 9.5%, 5/15/18      220,000        233,750   
Berry Plastics Group, Inc., 9.75%, 1/15/21      390,000        452,400   
Beverage Packaging Holdings Group, 6%, 6/15/17 (z)      125,000        130,000   
Crown American LLC, 4.5%, 1/15/23      1,370,000        1,346,025   
Exopack Holdings S.A., 7.875%, 11/01/19 (n)      605,000        629,200   
Greif, Inc., 6.75%, 2/01/17      850,000        943,500   
Greif, Inc., 7.75%, 8/01/19      1,000,000        1,140,000   
Reynolds Group, 7.125%, 4/15/19      1,135,000        1,207,356   
Reynolds Group, 9.875%, 8/15/19      410,000        462,275   
Reynolds Group, 5.75%, 10/15/20      790,000        825,550   
Reynolds Group, 8.25%, 2/15/21      2,235,000        2,441,738   
    

 

 

 
      $ 14,095,111   
Defense Electronics - 0.3%                 
BAE Systems Holdings, Inc., 5.2%, 8/15/15 (n)    $ 450,000      $ 475,994   
BAE Systems PLC, 4.125%, 6/08/22    GBP 150,000        256,690   
Ducommun, Inc., 9.75%, 7/15/18    $ 644,000        722,890   
    

 

 

 
      $ 1,455,574   
Electrical Equipment - 0.1%                 
Avaya, Inc., 9.75%, 11/01/15    $ 460,000      $ 458,850   
Avaya, Inc., 7%, 4/01/19 (n)      190,000        188,575   
    

 

 

 
      $ 647,425   
Electronics - 0.7%                 
Advanced Micro Devices, Inc., 6.75%, 3/01/19 (z)    $ 490,000      $ 492,450   
Micron Technology, Inc., 5.875%, 2/15/22 (z)      310,000        323,950   
Nokia Corp., 5.375%, 5/15/19      500,000        532,500   

 

5


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Electronics - continued                 
Nokia Corp., 6.625%, 5/15/39    $ 190,000      $ 196,175   
NXP B.V., 5.75%, 3/15/23 (n)      630,000        663,075   
Sensata Technologies B.V., 6.5%, 5/15/19 (n)      1,130,000        1,214,750   
Tyco Electronics Group S.A., 2.375%, 12/17/18      294,000        292,849   
    

 

 

 
      $ 3,715,749   
Emerging Market Quasi-Sovereign - 2.6%                 
Banco de Reservas de la Republica Dominicana, 7%, 2/01/23 (n)    $ 621,000      $ 578,151   
Banco do Estado Rio Grande do Sul S.A., 7.375%, 2/02/22 (n)      828,000        834,210   
CNPC (HK) Overseas Capital Ltd., 4.5%, 4/28/21 (n)      547,000        567,965   
CNPC General Capital Ltd., 3.4%, 4/16/23 (n)      227,000        210,745   
Dolphin Energy Ltd., 5.5%, 12/15/21 (n)      200,000        224,600   
Ecopetrol S.A., 7.625%, 7/23/19      594,000        712,800   
Ecopetrol S.A., 7.375%, 9/18/43      214,000        241,285   
Gaz Capital S.A., 3.85%, 2/06/20 (n)      637,000        617,890   
Gaz Capital S.A., 3.389%, 3/20/20    EUR 150,000        208,080   
Gaz Capital S.A., 5.999%, 1/23/21 (n)    $ 1,344,000        1,409,520   
Gaz Capital S.A., 4.95%, 2/06/28 (n)      543,000        476,483   
Gazprom Neft, 4.375%, 9/19/22 (n)      229,000        209,249   
Gazprom Neft, 6%, 11/27/23 (n)      209,000        210,306   
KazAgro National Management Holding, 4.625%, 5/24/23 (n)      230,000        208,725   
Kazakhstan Temir Zholy Co., 6.95%, 7/10/42 (n)      1,167,000        1,172,835   
Magyar Export-Import Bank, 5.5%, 2/12/18 (n)      200,000        207,500   
Majapahit Holding B.V., 7.25%, 6/28/17 (n)      591,000        663,398   
Majapahit Holding B.V., 8%, 8/07/19 (n)      380,000        440,800   
OJSC Russian Agricultural Bank, 5.298%, 12/27/17 (n)      200,000        206,000   
Pemex Project Funding Master Trust, 5.75%, 3/01/18      642,000        712,620   
Pertamina PT, 5.25%, 5/23/21 (n)      256,000        257,920   
Pertamina PT, 4.875%, 5/03/22 (n)      272,000        263,296   
Pertamina PT, 6%, 5/03/42 (n)      318,000        277,455   
Petroleos Mexicanos, 8%, 5/03/19      1,101,000        1,345,973   
Petroleos Mexicanos, 4.875%, 1/24/22      774,000        808,830   
Petroleos Mexicanos, 4.875%, 1/18/24 (z)      58,000        59,621   
Rosneft, 4.199%, 3/06/22 (n)      865,000        789,313   
Sberbank of Russia, 6.125%, 2/07/22 (n)      403,000        426,173   
Sinopec Group Overseas Development (2012) Ltd., 3.9%, 5/17/22 (n)      279,000        273,609   
Vnesheconombank, 5.942%, 11/21/23 (n)      200,000        197,250   
    

 

 

 
      $ 14,812,602   
Emerging Market Sovereign - 2.9%                 
Dominican Republic, 7.5%, 5/06/21 (n)    $ 548,000      $ 605,540   
Dominican Republic, 5.875%, 4/18/24 (n)      121,000        117,824   
Notas do Tesouro Nacional, 10%, 1/01/23    BRL 3,795,000        1,407,843   
Republic of Colombia, 8.125%, 5/21/24    $ 664,000        859,880   
Republic of Croatia, 5.5%, 4/04/23 (n)      950,000        959,500   
Republic of Hungary, 5.375%, 2/21/23      314,000        319,181   
Republic of Indonesia, 11.625%, 3/04/19 (n)      1,125,000        1,520,156   
Republic of Indonesia, 3.375%, 4/15/23 (n)      302,000        271,045   
Republic of Lithuania, 6.625%, 2/01/22 (n)      752,000        893,000   
Republic of Panama, 9.375%, 4/01/29      1,062,000        1,492,110   
Republic of Peru, 7.35%, 7/21/25      355,000        452,625   
Republic of Romania, 6.75%, 2/07/22 (n)      1,030,000        1,206,388   
Republic of Romania, 4.375%, 8/22/23 (n)      226,000        223,740   
Republic of Romania, 4.875%, 1/22/24 (n)      144,000        147,060   
Republic of Slovakia, 4.375%, 5/21/22 (n)      1,375,000        1,474,688   

 

6


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Emerging Market Sovereign - continued                 
Republic of Turkey, 5.625%, 3/30/21    $ 362,000      $ 376,842   
Republic of Turkey, 6.25%, 9/26/22      390,000        417,885   
Russian Federation, 4.5%, 4/04/22 (n)      400,000        405,000   
Russian Federation, 4.875%, 9/16/23 (n)      800,000        812,400   
United Mexican States, 3.625%, 3/15/22      1,130,000        1,138,475   
United Mexican States, 8.5%, 5/31/29    MXN 13,970,000        1,212,884   
    

 

 

 
      $ 16,314,066   
Energy - Independent - 5.8%                 
Afren PLC, 11.5%, 2/01/16 (n)    $ 476,000      $ 541,450   
Afren PLC, 10.25%, 4/08/19 (n)      463,000        529,556   
Antero Resources Finance Corp., 6%, 12/01/20      575,000        613,813   
Antero Resources Finance Corp., 5.375%, 11/01/21 (n)      1,050,000        1,073,625   
Bill Barrett Corp., 7%, 10/15/22      750,000        785,625   
BreitBurn Energy Partners LP, 8.625%, 10/15/20      330,000        357,225   
BreitBurn Energy Partners LP, 7.875%, 4/15/22      1,470,000        1,602,300   
Carrizo Oil & Gas, Inc., 7.5%, 9/15/20      810,000        891,000   
Chaparral Energy, Inc., 7.625%, 11/15/22      1,440,000        1,562,400   
Cimarex Energy Co., 5.875%, 5/01/22      50,000        54,000   
Concho Resources, Inc., 6.5%, 1/15/22      1,075,000        1,175,781   
Concho Resources, Inc., 5.5%, 4/01/23      590,000        616,550   
Continental Resources, Inc., 4.5%, 4/15/23      250,000        258,870   
Denbury Resources, Inc., 8.25%, 2/15/20      1,300,000        1,421,875   
Denbury Resources, Inc., 4.625%, 7/15/23      570,000        537,225   
Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17      674,000        736,345   
EP Energy LLC, 6.875%, 5/01/19      300,000        323,625   
EP Energy LLC, 9.375%, 5/01/20      1,160,000        1,342,700   
EP Energy LLC, 7.75%, 9/01/22      2,360,000        2,660,900   
EPL Oil & Gas, Inc., 8.25%, 2/15/18      845,000        912,600   
Halcon Resources Corp., 8.875%, 5/15/21      1,755,000        1,785,713   
Harvest Operations Corp., 6.875%, 10/01/17      1,265,000        1,366,200   
Hess Corp., 8.125%, 2/15/19      100,000        126,318   
Hilcorp Energy I/Hilcorp Finance Co., 8%, 2/15/20 (n)      400,000        432,000   
Laredo Petroleum, Inc., 9.5%, 2/15/19      1,080,000        1,196,100   
Laredo Petroleum, Inc., 5.625%, 1/15/22 (z)      335,000        340,863   
Laredo Petroleum, Inc., 7.375%, 5/01/22      250,000        277,500   
LINN Energy LLC, 8.625%, 4/15/20      530,000        577,700   
LINN Energy LLC, 7.75%, 2/01/21      918,000        993,735   
MEG Energy Corp., 6.5%, 3/15/21 (n)      1,420,000        1,498,100   
Northern Blizzard Resources, Inc., 7.25%, 2/01/22 (z)      725,000        739,500   
Nostrum Oil & Gas Finance B.V., 6.375%, 2/14/19 (z)      272,000        274,380   
Oasis Petroleum, Inc., 6.875%, 3/15/22 (n)      705,000        764,925   
QEP Resources, Inc., 6.875%, 3/01/21      525,000        577,500   
Range Resources Corp., 5%, 8/15/22      415,000        427,450   
SandRidge Energy, Inc., 8.125%, 10/15/22      1,940,000        2,085,500   
SM Energy Co., 6.5%, 11/15/21      990,000        1,074,150   
Southwestern Energy Co., 7.5%, 2/01/18      277,000        332,319   
    

 

 

 
      $ 32,867,418   
Energy - Integrated - 0.6%                 
BG Energy Capital PLC, FRN, 6.5%, 11/30/72    EUR 150,000      $ 231,808   
Eni S.p.A., 4%, 6/29/20    EUR 150,000        231,884   
Listrindo Capital B.V., 6.95%, 2/21/19 (n)    $ 200,000        210,250   
LUKOIL International Finance B.V., 4.563%, 4/24/23 (n)      944,000        881,460   
Pacific Rubiales Energy Corp., 7.25%, 12/12/21 (n)      1,107,000        1,190,025   

 

7


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Energy - Integrated - continued                 
Pacific Rubiales Energy Corp., 5.125%, 3/28/23 (n)    $ 201,000      $ 192,960   
Repsol International Finance B.V., 3.625%, 10/07/21    EUR 200,000        295,295   
    

 

 

 
      $ 3,233,682   
Engineering - Construction - 0.1%                 
BakerCorp International, Inc., 8.25%, 6/01/19    $ 665,000      $ 688,275   
Entertainment - 1.2%                 
Activision Blizzard, Inc., 6.125%, 9/15/23 (n)    $ 1,495,000      $ 1,622,075   
Cedar Fair LP, 9.125%, 8/01/18      450,000        483,188   
Cedar Fair LP, 5.25%, 3/15/21      1,215,000        1,234,744   
Cinemark USA, Inc., 5.125%, 12/15/22      1,530,000        1,537,650   
Cinemark USA, Inc., 4.875%, 6/01/23      780,000        756,600   
Six Flags Entertainment Corp., 5.25%, 1/15/21 (n)      1,255,000        1,270,688   
    

 

 

 
      $ 6,904,945   
Financial Institutions - 3.7%                 
Aircastle Ltd., 4.625%, 12/15/18    $ 130,000      $ 134,550   
Aviation Capital Group, 4.625%, 1/31/18 (n)      555,000        578,266   
Aviation Capital Group, 6.75%, 4/06/21 (n)      415,000        454,554   
CIT Group, Inc., 5.25%, 3/15/18      1,320,000        1,432,200   
CIT Group, Inc., 6.625%, 4/01/18 (n)      1,555,000        1,753,263   
CIT Group, Inc., 5.5%, 2/15/19 (n)      1,315,000        1,430,063   
CIT Group, Inc., 3.875%, 2/19/19      566,000        573,854   
CIT Group, Inc., 5%, 8/15/22      640,000        672,000   
General Electric Capital Corp., 3.1%, 1/09/23      750,000        733,474   
Icahn Enterprises LP, 6%, 8/01/20      70,000        74,550   
Icahn Enterprises LP, 6%, 8/01/20 (z)      545,000        574,975   
Icahn Enterprises LP, 5.875%, 2/01/22 (n)      1,100,000        1,122,000   
International Lease Finance Corp., 7.125%, 9/01/18 (n)      1,075,000        1,249,688   
Nationstar Mortgage LLC/Capital Corp., 10.875%, 4/01/15      400,000        402,000   
Nationstar Mortgage LLC/Capital Corp., 6.5%, 8/01/18      800,000        806,000   
Nationstar Mortgage LLC/Capital Corp., 9.625%, 5/01/19      8,000        8,860   
Nationstar Mortgage LLC/Capital Corp., 7.875%, 10/01/20      2,050,000        2,075,625   
Nationstar Mortgage LLC/Capital Corp., 6.5%, 7/01/21      15,000        14,213   
PHH Corp., 7.375%, 9/01/19      1,050,000        1,144,500   
PHH Corp., 6.375%, 8/15/21      290,000        292,900   
SLM Corp., 8.45%, 6/15/18      1,810,000        2,142,588   
SLM Corp., 4.875%, 6/17/19      272,000        280,840   
SLM Corp., 8%, 3/25/20      1,685,000        1,946,175   
SLM Corp., 7.25%, 1/25/22      645,000        709,500   
    

 

 

 
      $ 20,606,638   
Food & Beverages - 1.7%                 
Ajecorp B.V., 6.5%, 5/14/22 (n)    $ 1,043,000      $ 1,022,140   
Anheuser-Busch InBev S.A., 6.875%, 11/15/19      300,000        371,373   
B&G Foods, Inc., 4.625%, 6/01/21      465,000        463,256   
Coca-Cola HBC Finance B.V., 4.25%, 11/16/16    EUR 150,000        223,935   
Conagra Foods, Inc., 3.2%, 1/25/23    $ 250,000        237,676   
Constellation Brands, Inc., 3.75%, 5/01/21      355,000        345,238   
Constellation Brands, Inc., 4.25%, 5/01/23      1,400,000        1,372,000   
Darling Escrow Corp., 5.375%, 1/15/22 (n)      990,000        1,015,988   
Embotelladora Andina S.A., 5%, 10/01/23 (n)      236,000        241,763   
Grupo Bimbo S.A.B. de C.V., 4.5%, 1/25/22 (n)      468,000        474,184   
Hawk Acquisition Sub, Inc., 4.25%, 10/15/20 (n)      695,000        693,263   

 

8


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Food & Beverages - continued                 
JBS Investments GmbH, 7.75%, 10/28/20 (n)    $ 397,000      $ 410,895   
Sun Merger Sub, Inc., 5.875%, 8/01/21 (n)      1,225,000        1,261,750   
Tyson Foods, Inc., 6.6%, 4/01/16      912,000        1,013,374   
Wm. Wrigley Jr. Co., 2.9%, 10/21/19 (n)      107,000        108,416   
Wm. Wrigley Jr. Co., 3.375%, 10/21/20 (n)      300,000        305,774   
    

 

 

 
      $ 9,561,025   
Food & Drug Stores - 0.1%                 
CVS Caremark Corp., 5.75%, 6/01/17    $ 250,000      $ 285,032   
Forest & Paper Products - 0.6%                 
Appvion, Inc., 9%, 6/01/20 (n)    $ 595,000      $ 612,850   
Fibria Overseas Finance Ltd., 7.5%, 5/04/20 (n)      291,000        320,100   
International Paper Co., 6%, 11/15/41      185,000        214,565   
Smurfit Kappa Group PLC, 4.875%, 9/15/18 (n)      905,000        952,513   
Smurfit Kappa Group PLC, 7.75%, 11/15/19 (n)    EUR 560,000        832,131   
Tembec Industries, Inc., 11.25%, 12/15/18    $ 575,000        631,063   
    

 

 

 
      $ 3,563,222   
Gaming & Lodging - 1.9%                 
Caesars Entertainment Operating Co., Inc., 8.5%, 2/15/20    $ 300,000      $ 288,000   
Carnival Corp., 1.2%, 2/05/16      370,000        371,363   
CCM Merger, Inc., 9.125%, 5/01/19 (z)      1,055,000        1,120,938   
Chester Downs & Marina LLC, 9.25%, 2/01/20 (n)      315,000        308,700   
Greektown Holdings LLC, 8.875%, 3/15/19 (z)      420,000        432,600   
Hilton Worldwide Finance Co., 5.625%, 10/15/21 (n)      750,000        793,125   
Isle of Capri Casinos, Inc., 8.875%, 6/15/20      960,000        1,046,400   
Isle of Capri Casinos, Inc., 5.875%, 3/15/21      125,000        129,063   
MGM Resorts International, 11.375%, 3/01/18      730,000        947,175   
MGM Resorts International, 6.625%, 12/15/21      745,000        817,638   
Pinnacle Entertainment, Inc., 8.75%, 5/15/20      905,000        995,500   
Playa Resorts Holdings B.V., 8%, 8/15/20 (n)      310,000        335,575   
PNK Finance Corp., 6.375%, 8/01/21 (n)      495,000        517,275   
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/21      420,000        421,050   
Seven Seas Cruises S. DE R.L., 9.125%, 5/15/19      935,000        1,033,175   
Wynn Las Vegas LLC, 7.75%, 8/15/20      1,165,000        1,301,888   
    

 

 

 
      $ 10,859,465   
Health Maintenance Organizations - 0.1%                 
Wellcare Health Plans, Inc., 5.75%, 11/15/20    $ 360,000      $ 375,300   
Industrial - 0.9%                 
Dematic S.A., 7.75%, 12/15/20 (n)    $ 1,515,000      $ 1,632,413   
Howard Hughes Corp., 6.875%, 10/01/21 (n)      915,000        965,325   
Hyva Global B.V., 8.625%, 3/24/16 (n)      1,124,000        1,122,595   
Mueller Water Products, Inc., 8.75%, 9/01/20      459,000        515,228   
SPL Logistics Escrow LLC, 8.875%, 8/01/20 (n)      670,000        728,625   
    

 

 

 
      $ 4,964,186   
Insurance - 0.3%                 
American International Group, Inc. , 4.875% to 3/15/17, FRN to 3/15/67    EUR 250,000      $ 347,232   
Assicurazioni Generali S.p.A., 7.75% to 12/12/22, FRN to 12/12/42    EUR 100,000        164,256   
Aviva PLC, 5.7% to 9/29/15, FRN to 9/29/49    EUR 150,000        215,070   
CNP Assurances S.A. , 6% to 9/14/20, FRN to 9/14/40    EUR 200,000        302,286   
Delta Lloyd N.V., FRN, 9%, 8/29/42    EUR 150,000        261,477   

 

9


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Insurance - continued                 
Unum Group, 7.125%, 9/30/16    $ 500,000      $ 571,369   
    

 

 

 
      $ 1,861,690   
Insurance - Property & Casualty - 0.7%                 
Amlin PLC, 6.5% to 12/19/16, FRN to 12/19/26    GBP 100,000      $ 174,237   
AXIS Capital Holdings Ltd., 5.75%, 12/01/14    $ 500,000        518,293   
Berkshire Hathaway, Inc., 4.5%, 2/11/43      250,000        246,153   
Clerical Medical Finance PLC, 4.25% to 6/24/15, FRN to 6/29/49    EUR 200,000        279,511   
CNA Financial Corp., 3.95%, 5/15/24    $ 120,000        120,893   
Mapfre S.A., 5.125%, 11/16/15    EUR 200,000        293,594   
QBE Capital Funding III Ltd., 7.5% to 5/24/21, FRN to 5/24/41    GBP 100,000        180,868   
XL Group PLC, 6.5% to 4/15/17, FRN to 12/29/49    $ 1,695,000        1,671,694   
ZFS Finance USA Trust V, 6.5% to 5/09/17, FRN to 5/09/67 (n)      627,000        674,025   
    

 

 

 
      $ 4,159,268   
International Market Quasi-Sovereign - 0.9%                 
Eksportfinans A.S.A., 5.5%, 5/25/16    $ 250,000      $ 264,063   
Eksportfinans A.S.A., 5.5%, 6/26/17      375,000        398,438   
Electricite de France S.A., FRN, 6%, 12/29/49    GBP 100,000        173,944   
ESB Finance Ltd., 4.375%, 11/21/19    EUR 200,000        312,556   
Israel Electric Corp. Ltd., 5.625%, 6/21/18 (n)    $ 1,248,000        1,325,376   
Israel Electric Corp. Ltd., 6.875%, 6/21/23 (n)      1,156,000        1,253,116   
KFW International Finance, Inc., 4.875%, 6/17/19      1,000,000        1,152,000   
    

 

 

 
      $ 4,879,493   
International Market Sovereign - 10.7%                 
Commonwealth of Australia, 5.75%, 5/15/21    AUD 2,301,000      $ 2,319,178   
Federal Republic of Germany, 4.25%, 7/04/18    EUR 1,091,000        1,750,256   
Federal Republic of Germany, 6.25%, 1/04/30    EUR 1,242,000        2,635,958   
Government of Canada, 4.5%, 6/01/15    CAD 747,000        703,966   
Government of Canada, 4.25%, 6/01/18    CAD 447,000        450,411   
Government of Canada, 3.25%, 6/01/21    CAD 911,000        895,072   
Government of Canada, 5.75%, 6/01/33    CAD 436,000        564,312   
Government of Japan, 1.1%, 6/20/20    JPY 762,900,000        7,885,906   
Government of Japan, 2.1%, 9/20/24    JPY 257,750,000        2,909,174   
Government of Japan, 2.2%, 9/20/27    JPY 392,000,000        4,507,757   
Government of Japan, 1.8%, 3/20/43    JPY 81,000,000        823,443   
Kingdom of Belgium, 5.5%, 9/28/17    EUR 1,836,000        2,970,195   
Kingdom of Belgium, 4.25%, 9/28/21    EUR 437,000        711,407   
Kingdom of Denmark, 3%, 11/15/21    DKK 2,538,000        528,631   
Kingdom of Spain, 5.4%, 1/31/23    EUR 754,000        1,205,850   
Kingdom of Spain, 5.5%, 7/30/17    EUR 240,000        373,619   
Kingdom of Spain, 4.6%, 7/30/19    EUR 2,130,000        3,292,709   
Kingdom of Sweden, 5%, 12/01/20    SEK 1,895,000        354,651   
Kingdom of the Netherlands, 5.5%, 1/15/28    EUR 858,000        1,634,994   
Republic of Austria, 4.65%, 1/15/18    EUR 1,679,000        2,673,496   
Republic of Finland, 3.875%, 9/15/17    EUR 457,000        705,231   
Republic of France, 6%, 10/25/25    EUR 341,000        645,759   
Republic of France, 4.75%, 4/25/35    EUR 1,278,000        2,257,054   
Republic of Iceland, 4.875%, 6/16/16 (n)    $ 1,646,000        1,734,473   
Republic of Ireland, 4.5%, 4/18/20    EUR 798,000        1,247,536   
Republic of Ireland, 5.4%, 3/13/25    EUR 315,000        517,470   
Republic of Italy, 5.25%, 8/01/17    EUR 3,500,000        5,406,536   
Republic of Italy, 3.75%, 3/01/21    EUR 2,636,000        3,861,510   
Republic of Portugal, 4.45%, 6/15/18    EUR 469,000        676,158   

 

10


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
International Market Sovereign - continued                 
Republic of Portugal, 4.8%, 6/15/20    EUR 217,000      $ 312,845   
United Kingdom Treasury, 8%, 6/07/21    GBP 1,260,000        2,912,680   
United Kingdom Treasury, 4.25%, 3/07/36    GBP 515,000        973,303   
    

 

 

 
      $ 60,441,540   
Internet - 0.2%                 
Baidu, Inc., 3.25%, 8/06/18    $ 989,000      $ 1,010,606   
Machinery & Tools - 1.1%                 
CNH America LLC, 7.25%, 1/15/16    $ 710,000      $ 781,000   
CNH Capital LLC, 3.625%, 4/15/18      100,000        101,500   
Ferreycorp S.A.A., 4.875%, 4/26/20 (n)      756,000        707,805   
H&E Equipment Services Co., 7%, 9/01/22      1,505,000        1,655,500   
Jurassic Holdings III, Inc., 6.875%, 2/15/21 (z)      455,000        468,650   
RSC Equipment Rental, Inc., 8.25%, 2/01/21      940,000        1,061,025   
United Rentals North America, Inc., 7.625%, 4/15/22      1,270,000        1,443,038   
    

 

 

 
      $ 6,218,518   
Major Banks - 3.3%                 
ABN AMRO North America Finance, Inc., 7.125%, 7/06/22    EUR 150,000      $ 258,180   
Bank of America Corp., 7.625%, 6/01/19    $ 370,000        460,868   
Bank of America Corp., 4.125%, 1/22/24      212,000        216,745   
Bank of America Corp., FRN, 5.2%, 12/31/49      2,440,000        2,293,600   
Barclays Bank PLC, 6%, 1/14/21    EUR 150,000        241,727   
Barclays Bank PLC, 7.625%, 11/21/22    $ 2,185,000        2,414,425   
Barclays Bank PLC, 6.75% to 1/16/18, FRN to 1/16/23    GBP 100,000        186,390   
BBVA Senior Finance S.A., 3.25%, 3/21/16    EUR 200,000        287,377   
BNP Paribas, FRN, 2.995%, 12/20/14    $ 730,000        745,351   
Credit Agricole S.A., 7.375%, 12/18/23    GBP 100,000        202,463   
Credit Agricole S.A., 7.875% to 10/26/19, FRN to 10/29/49    EUR 200,000        321,610   
Credit Suisse Group AG, 6.5%, 8/08/23 (n)    $ 457,000        501,972   
Credit Suisse New York, 5.5%, 5/01/14      1,000,000        1,008,297   
Goldman Sachs Group, Inc., 5.75%, 1/24/22      500,000        570,999   
HSBC USA, Inc., 4.875%, 8/24/20      460,000        503,809   
ING Bank N.V., 4.875%, 1/18/21    EUR 100,000        162,559   
JPMorgan Chase & Co., 6.3%, 4/23/19    $ 500,000        593,857   
JPMorgan Chase & Co., 3.25%, 9/23/22      478,000        470,268   
JPMorgan Chase & Co., 6.75% to 2/01/24, FRN to 1/29/49      215,000        225,750   
JPMorgan Chase & Co., 6% to 8/01/23, FRN to 12/29/49      2,700,000        2,686,500   
Morgan Stanley, 5.75%, 10/18/16      397,000        442,397   
Morgan Stanley, 6.625%, 4/01/18      391,000        460,008   
RBS Capital Trust II, 6.425% to 1/03/34, FRN to 12/29/49      530,000        510,788   
Royal Bank of Scotland Group PLC, 6.934%, 4/09/18    EUR 150,000        236,031   
Royal Bank of Scotland Group PLC, 5.5%, 3/23/20    EUR 150,000        245,894   
Royal Bank of Scotland Group PLC, 7.648% to 9/30/31, FRN to 8/29/49    $ 1,140,000        1,214,100   
Royal Bank of Scotland Group PLC, 6.99% to 10/04/17, FRN to 10/29/49 (n)      350,000        376,250   
Societe Generale, 4.25%, 7/13/22    EUR 100,000        159,756   
Wells Fargo & Co., 2.1%, 5/08/17    $ 500,000        514,989   
Wells Fargo & Co., 5.375%, 11/02/43      125,000        133,683   
    

 

 

 
      $ 18,646,643   
Medical & Health Technology & Services - 3.9%                 
AmSurg Corp., 5.625%, 11/30/20    $ 525,000      $ 552,563   
CHS/Community Health Systems, Inc., 5.125%, 8/01/21 (z)      235,000        243,225   
CHS/Community Health Systems, Inc., 6.875%, 2/01/22 (z)      1,105,000        1,175,444   

 

11


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Medical & Health Technology & Services - continued                 
Davita, Inc., 6.375%, 11/01/18    $ 2,180,000      $ 2,291,725   
Davita, Inc., 6.625%, 11/01/20      986,000        1,058,718   
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        358,450   
Fresenius US Finance II, Inc., 4.25%, 2/01/21 (z)      32,000        32,320   
HCA, Inc., 7.5%, 2/15/22      2,160,000        2,505,600   
HCA, Inc., 5.875%, 3/15/22      1,455,000        1,589,588   
HealthSouth Corp., 8.125%, 2/15/20      1,825,000        1,989,250   
IASIS Healthcare LLC/IASIS Capital Corp., 8.375%, 5/15/19      990,000        1,059,300   
Kinetic Concepts, Inc., 12.5%, 11/01/19      635,000        730,250   
Lifepoint Hospitals, Inc., 5.5%, 12/01/21 (n)      1,675,000        1,752,469   
McKesson Corp., 7.5%, 2/15/19      110,000        134,903   
Owens & Minor, Inc., 6.35%, 4/15/16      970,000        1,055,607   
Tenet Healthcare Corp., 8%, 8/01/20      1,615,000        1,772,463   
Tenet Healthcare Corp., 4.5%, 4/01/21      730,000        728,175   
Universal Health Services, Inc., 7%, 10/01/18      1,055,000        1,118,300   
Universal Health Services, Inc., 7.625%, 8/15/20      1,175,000        1,263,125   
    

 

 

 
      $ 21,944,838   
Medical Equipment - 0.4%                 
Biomet, Inc., 6.5%, 8/01/20    $ 915,000      $ 987,056   
Physio-Control International, Inc., 9.875%, 1/15/19 (n)      527,000        590,240   
Teleflex, Inc., 6.875%, 6/01/19      595,000        632,188   
    

 

 

 
      $ 2,209,484   
Metals & Mining - 2.4%                 
ArcelorMittal S.A., 6.75%, 2/25/22    $ 235,000      $ 260,850   
ArcelorMittal S.A., 7.25%, 3/01/41      555,000        564,713   
Arch Coal, Inc., 8%, 1/15/19 (z)      365,000        368,650   
Arch Coal, Inc., 7.25%, 10/01/20      545,000        446,900   
Barrick International (Barbados) Corp., 5.75%, 10/15/16 (n)      1,258,000        1,394,197   
Cameco Corp., 5.67%, 9/02/19    CAD 220,000        223,360   
Century Aluminum Co., 7.5%, 6/01/21 (n)    $ 1,180,000        1,168,200   
Commercial Metals Co., 4.875%, 5/15/23      525,000        505,313   
Consol Energy, Inc., 8.25%, 4/01/20      1,325,000        1,440,938   
Consol Energy, Inc., 6.375%, 3/01/21      305,000        323,300   
First Quantum Minerals Ltd., 7.25%, 10/15/19 (n)      1,550,000        1,627,500   
Fortescue Metals Group Ltd., 8.25%, 11/01/19 (n)      745,000        821,363   
Glencore Finance (Europe) S.A., 6.5%, 2/27/19    GBP 50,000        95,497   
Kinross Gold Corp., 5.95%, 3/15/24 (n)    $ 119,000        119,337   
Peabody Energy Corp., 6%, 11/15/18      445,000        481,713   
Peabody Energy Corp., 6.25%, 11/15/21      445,000        459,463   
Plains Exploration & Production Co., 6.875%, 2/15/23      250,000        278,750   
Rio Tinto Finance (USA) Ltd., 3.75%, 9/20/21      108,000        111,365   
Rio Tinto Finance PLC, 2%, 5/11/20    EUR 100,000        139,582   
Southern Copper Corp., 5.25%, 11/08/42    $ 250,000        213,984   
TMS International Corp., 7.625%, 10/15/21 (n)      550,000        594,000   
Vale Overseas Ltd., 4.625%, 9/15/20      490,000        514,859   
Walter Energy, Inc., 9.5%, 10/15/19 (n)      500,000        501,250   
Walter Energy, Inc., 8.5%, 4/15/21      650,000        472,875   
Xstrata Finance (Canada) Ltd., 5.25%, 6/13/17    EUR 200,000        308,793   
    

 

 

 
      $ 13,436,752   
Mortgage-Backed - 2.1%                 
Fannie Mae, 4.487%, 4/01/14    $ 165,436      $ 165,076   
Fannie Mae, 4.77%, 7/01/14      303,247        304,181   

 

12


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Mortgage-Backed - continued                 
Fannie Mae, 4.56%, 3/01/15    $ 164,902      $ 170,131   
Fannie Mae, 4.665%, 3/01/15      133,892        136,959   
Fannie Mae, 4.89%, 3/01/15      90,489        92,644   
Fannie Mae, 4.74%, 4/01/15      318,385        326,919   
Fannie Mae, 4.908%, 4/01/15      432,660        444,412   
Fannie Mae, 4.87%, 5/01/15      270,896        279,124   
Fannie Mae, 4.815%, 6/01/15      340,396        350,940   
Fannie Mae, 4.78%, 8/01/15      369,374        383,142   
Fannie Mae, 6%, 7/01/16 - 7/01/37      975,087        1,071,490   
Fannie Mae, 5.5%, 9/01/19 - 8/01/37      3,826,491        4,230,598   
Fannie Mae, 4.88%, 3/01/20      182,279        198,913   
Fannie Mae, 6.5%, 4/01/32 - 1/01/33      284,075        322,556   
Fannie Mae, 5%, 10/01/35      684,650        749,909   
Freddie Mac, 6%, 8/01/34      116,314        130,868   
Ginnie Mae, 3%, 2/15/43      396,119        393,678   
Ginnie Mae, 5.5%, 1/20/39      632,104        699,573   
Ginnie Mae, 4.5%, 1/20/41      1,135,268        1,239,092   
    

 

 

 
      $ 11,690,205   
Municipals - 0.1%                 
New Jersey Tobacco Settlement Financing Corp., “1-A”, 4.5%, 6/01/23    $ 370,000      $ 357,749   
Natural Gas - Distribution - 0.6%                 
AmeriGas Finance LLC, 6.75%, 5/20/20    $ 1,335,000      $ 1,455,150   
Ferrellgas LP/Ferrellgas Finance Corp., 6.5%, 5/01/21      1,065,000        1,112,925   
Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, 1/15/22 (n)      395,000        412,775   
Gas Natural Fenosa Finance B.V., 3.875%, 1/17/23    EUR 200,000        301,354   
GDF Suez, 5%, 10/01/60    GBP 100,000        179,040   
    

 

 

 
      $ 3,461,244   
Natural Gas - Pipeline - 2.6%                 
Access Midstream Partners Co., 5.875%, 4/15/21    $ 40,000      $ 42,700   
Access Midstream Partners Co., 4.875%, 5/15/23      2,695,000        2,748,900   
Atlas Pipeline Partners LP/Atlas Pipeline, 4.75%, 11/15/21      310,000        296,050   
Atlas Pipeline Partners LP/Atlas Pipeline, 5.875%, 8/01/23      920,000        903,900   
Crestwood Midstream Partners LP, 6%, 12/15/20      1,155,000        1,215,638   
Crestwood Midstream Partners LP, 6.125%, 3/01/22 (n)      210,000        219,450   
Crosstex Energy, Inc., 7.125%, 6/01/22      59,000        67,850   
El Paso Corp., 7.75%, 1/15/32      1,841,000        1,963,430   
Enbridge, Inc., 3.19%, 12/05/22    CAD 255,000        226,099   
Energy Transfer Equity LP, 7.5%, 10/15/20    $ 1,380,000        1,576,650   
Energy Transfer Partners LP, 3.6%, 2/01/23      300,000        285,657   
Enterprise Products Partners LP, 6.3%, 9/15/17      180,000        209,202   
Kinder Morgan Energy Partners LP, 5.3%, 9/15/20      370,000        411,032   
MarkWest Energy Partners LP, 5.5%, 2/15/23      355,000        367,425   
MarkWest Energy Partners LP, 4.5%, 7/15/23      100,000        96,875   
Plains All American Pipeline, LP, 3.95%, 9/15/15      370,000        387,921   
Sabine Pass Liquefaction, 5.875%, 2/01/21 (n)      745,000        763,625   
Sabine Pass Liquefaction, 5.625%, 4/15/23 (n)      1,405,000        1,380,413   
Spectra Energy Capital LLC, 8%, 10/01/19      400,000        486,289   
Summit Midstream Holdings LLC, 7.5%, 7/01/21 (n)      530,000        561,800   
TransCanada PipeLines Ltd., 5.1%, 1/11/17    CAD 225,000        221,893   
Williams Partners LP, 5.4%, 3/04/44    $ 163,000        164,784   
    

 

 

 
      $ 14,597,583   

 

13


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Network & Telecom - 1.3%                 
British Telecom PLC, 5.75%, 12/07/28    GBP 150,000      $ 286,288   
Centurylink, Inc., 6.45%, 6/15/21    $ 285,000        305,663   
Centurylink, Inc., 7.65%, 3/15/42      700,000        658,000   
Citizens Communications Co., 9%, 8/15/31      1,320,000        1,379,400   
Deutsche Telekom International Finance B.V., 4.875%, 4/22/25    EUR 150,000        246,715   
Empresa Nacional de Telecomunicaciones S.A., 4.875%, 10/30/24 (n)    $ 483,000        481,577   
Frontier Communications Corp., 8.125%, 10/01/18      470,000        545,200   
Telecom Italia S.p.A, 5.625%, 12/29/15    GBP 100,000        176,751   
Telecom Italia S.p.A., 5.375%, 1/29/19    EUR 200,000        301,267   
Telefonica Emisiones S.A.U., 3.987%, 1/23/23    EUR 200,000        295,209   
TW Telecom Holdings, Inc., 5.375%, 10/01/22    $ 290,000        295,800   
TW Telecom Holdings, Inc., 5.375%, 10/01/22      515,000        525,300   
Verizon Communications, Inc., 4.5%, 9/15/20      378,000        409,481   
Verizon Communications, Inc., 5.15%, 9/15/23      250,000        273,832   
Verizon Communications, Inc., 6.4%, 9/15/33      300,000        356,717   
Windstream Corp., 7.75%, 10/15/20      345,000        370,875   
Windstream Corp., 7.75%, 10/01/21      270,000        291,600   
    

 

 

 
      $ 7,199,675   
Oil Services - 1.5%                 
Bristow Group, Inc., 6.25%, 10/15/22    $ 1,020,000      $ 1,083,750   
Dresser-Rand Group, Inc., 6.5%, 5/01/21      305,000        326,350   
Edgen Murray Corp., 8.75%, 11/01/20 (n)      595,000        687,225   
Odebrecht Offshore Drilling Finance Ltd., 6.75%, 10/01/22 (n)      1,048,599        1,078,746   
Pacific Drilling S.A., 5.375%, 6/01/20 (n)      840,000        850,500   
QGOG Constellation S.A., 6.25%, 11/09/19 (n)      1,390,000        1,323,975   
Shale-Inland Holdings LLC/Finance Co., 8.75%, 11/15/19 (n)      1,280,000        1,324,800   
Unit Corp., 6.625%, 5/15/21      1,390,000        1,480,350   
    

 

 

 
      $ 8,155,696   
Other Banks & Diversified Financials - 2.0%                 
Alfa Bank, 7.5%, 9/26/19 (n)    $ 811,000      $ 851,550   
Banco de Credito del Peru, 6.125% to 4/24/22, FRN to 4/24/27 (n)      779,000        788,738   
Banco GNB Sudameris S.A., 3.875%, 5/02/18 (n)      291,000        277,905   
Banco Santander S.A., FRN, 5.95%, 1/30/24 (n)      200,000        208,500   
Banque Federative du Credit Mutuel, 2%, 9/19/19    EUR 100,000        139,662   
BB&T Corp., 3.95%, 4/29/16    $ 250,000        266,832   
BBVA Banco Continental S.A., 5%, 8/26/22 (n)      146,000        147,825   
BBVA Bancomer S.A. de C.V., 6.5%, 3/10/21 (n)      900,000        976,500   
BBVA Bancomer S.A. de C.V., 6.75%, 9/30/22 (n)      1,004,000        1,101,890   
CaixaBank S.A., 3.25%, 1/22/16    EUR 100,000        143,206   
Capital One Bank (USA) N.A., 3.375%, 2/15/23    $ 384,000        372,566   
Deutsche Bank Capital Funding Trust, FRN, 2.288%, 9/29/49    EUR 150,000        207,045   
Discover Bank, 7%, 4/15/20    $ 250,000        297,124   
Erste Group Bank AG, 7.125%, 10/10/22    EUR 150,000        241,593   
Groupe BPCE S.A., 12.5% to 9/30/19, FRN to 8/29/49 (n)      1,513,000        1,895,033   
Intesa Sanpaolo S.p.A., 4.125%, 9/19/16    EUR 100,000        147,310   
Intesa Sanpaolo S.p.A., 5.25%, 1/28/22    GBP 100,000        176,056   
KBC Internationale Financieringsmaatschappij N.V., 4.5%, 3/27/17    EUR 150,000        227,958   
LBG Capital No. 1 PLC, 7.875%, 11/01/20 (n)    $ 1,187,000        1,258,220   
LBG Capital No. 2 PLC, 6.385%, 5/12/20    EUR 250,000        364,917   
Macquarie Group Ltd., 3%, 12/03/18 (n)    $ 400,000        402,360   
Rabobank Nederland N.V., 4%, 9/19/22    GBP 100,000        175,232   
Santander Issuances S.A., 4.5% to 9/30/14, FRN to 9/30/19    EUR 100,000        135,891   
UBS AG, 7.625%, 8/17/22    $ 500,000        593,329   
    

 

 

 
      $ 11,397,242   

 

14


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Pharmaceuticals - 1.4%                 
Capsugel FinanceCo. SCA, 9.875%, 8/01/19 (n)    EUR 651,000      $ 988,523   
Capsugel S.A., 7%, 5/15/19 (n)(p)    $ 245,000        254,188   
Celgene Corp., 1.9%, 8/15/17      400,000        404,733   
Endo Finance Co., 5.75%, 1/15/22 (z)      455,000        469,788   
Endo Health Solutions, Inc., 7.25%, 1/15/22      545,000        596,094   
Forest Laboratories, Inc., 4.375%, 2/01/19 (n)      264,000        282,480   
Hospira, Inc., 6.05%, 3/30/17      200,000        221,625   
Mylan, Inc., 2.55%, 3/28/19      265,000        265,104   
Salix Pharmaceuticals Ltd., 6%, 1/15/21 (z)      475,000        508,250   
Teva Pharmaceutical Finance B.V., 2.95%, 12/18/22      162,000        150,982   
Valeant Pharmaceuticals International, Inc., 7%, 10/01/20 (n)      1,615,000        1,762,369   
Valeant Pharmaceuticals International, Inc., 7.25%, 7/15/22 (n)      1,030,000        1,145,875   
Vantage Point Imaging, 7.5%, 7/15/21 (n)      525,000        598,500   
Watson Pharmaceuticals, Inc., 1.875%, 10/01/17      200,000        199,993   
    

 

 

 
      $ 7,848,504   
Precious Metals & Minerals - 0.5%                 
Eldorado Gold Corp., 6.125%, 12/15/20 (n)    $ 1,575,000      $ 1,547,438   
IAMGOLD Corp., 6.75%, 10/01/20 (n)      1,618,000        1,423,840   
    

 

 

 
      $ 2,971,278   
Printing & Publishing - 0.3%                 
American Media, Inc., 13.5%, 6/15/18 (z)    $ 11,911      $ 12,804   
Gannett Co., Inc., 6.375%, 10/15/23 (n)      635,000        669,925   
Gannett Co., Inc., 5.125%, 10/15/19 (n)      5,000        5,250   
Gannett Co., Inc., 5.125%, 7/15/20 (n)      60,000        61,800   
Lamar Media Corp., 5%, 5/01/23      580,000        578,550   
Moody’s Corp., 4.875%, 2/15/24      200,000        210,876   
Wolters Kluwer N.V., 6.375%, 4/10/18    EUR 100,000        164,933   
    

 

 

 
      $ 1,704,138   
Railroad & Shipping - 0.1%                 
CSX Corp., 4.1%, 3/15/44    $ 200,000      $ 181,196   
Watco Cos. LLC, 6.375%, 4/01/23 (n)      615,000        621,150   
    

 

 

 
      $ 802,346   
Real Estate - 1.4%                 
Aviv Healthcare Properties LP/Aviv Healthcare, 6%, 10/15/21    $ 1,120,000      $ 1,167,600   
Boston Properties, Inc., REIT, 3.125%, 9/01/23      250,000        236,277   
CNL Lifestyle Properties, Inc., REIT, 7.25%, 4/15/19      640,000        672,000   
DuPont Fabros Technology LP, REIT, 5.875%, 9/15/21      760,000        801,800   
ERP Properties, REIT, 7.75%, 7/15/20      665,000        787,725   
ERP Properties, REIT, 5.75%, 8/15/22      750,000        797,297   
Felcor Lodging LP, REIT, 5.625%, 3/01/23      415,000        417,075   
Hammerson PLC, REIT, 2.75%, 9/26/19    EUR 100,000        143,616   
Hammerson PLC, REIT, 6%, 2/23/26    GBP 125,000        243,917   
MPT Operating Partnership LP, REIT, 6.875%, 5/01/21    $ 680,000        736,100   
MPT Operating Partnership LP, REIT, 6.375%, 2/15/22      1,040,000        1,092,000   
Simon Property Group, Inc., REIT, 10.35%, 4/01/19      660,000        899,713   
    

 

 

 
      $ 7,995,120   
Retailers - 1.2%                 
Academy Ltd., 9.25%, 8/01/19 (n)    $ 295,000      $ 323,025   
Best Buy Co., Inc., 5.5%, 3/15/21      470,000        467,650   
Burlington Coat Factory Warehouse Corp., 10%, 2/15/19      810,000        901,125   

 

15


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Retailers - continued                 
Cencosud S.A., 5.5%, 1/20/21    $ 250,000      $ 256,012   
Dollar General Corp., 4.125%, 7/15/17      400,000        430,657   
Gap, Inc., 5.95%, 4/12/21      300,000        337,226   
Home Depot, Inc., 4.875%, 2/15/44      200,000        215,021   
Jo-Ann Stores Holdings, Inc., 9.75%, 10/15/19 (n)(p)      860,000        900,850   
Limited Brands, Inc., 6.95%, 3/01/33      670,000        685,075   
Marks & Spencer Group PLC, 4.75%, 6/12/25    GBP 100,000        168,966   
Rite Aid Corp., 9.25%, 3/15/20    $ 1,125,000        1,293,750   
Sally Beauty Holdings, Inc., 6.875%, 11/15/19      475,000        521,313   
    

 

 

 
      $ 6,500,670   
Specialty Chemicals - 0.2%                 
Chemtura Corp., 5.75%, 7/15/21    $ 1,095,000      $ 1,138,800   
SIBUR Securities Ltd., 3.914%, 1/31/18 (n)      220,000        213,950   
    

 

 

 
      $ 1,352,750   
Specialty Stores - 0.3%                 
Advance Auto Parts, Inc., 4.5%, 12/01/23    $ 320,000      $ 326,939   
Canadian Tire Corp. Ltd., 4.95%, 6/01/15    CAD 230,000        216,083   
Michaels Stores, Inc., 7.75%, 11/01/18    $ 1,080,000        1,158,300   
Michaels Stores, Inc., 5.875%, 12/15/20 (z)      200,000        202,500   
    

 

 

 
      $ 1,903,822   
Supermarkets - 0.1%                 
Delhaize Group, 3.125%, 2/27/20    EUR 100,000      $ 144,900   
William Morrison Supermarkets PLC, 3.5%, 7/27/26    GBP 100,000        156,116   
    

 

 

 
      $ 301,016   
Telecommunications - Wireless - 3.6%                 
Altice Financing S.A., 6.5%, 1/15/22 (n)    $ 2,005,000      $ 2,090,213   
America Movil S.A.B. de C.V., 4.75%, 6/28/22    EUR 200,000        320,321   
American Tower Corp., REIT, 3.5%, 1/31/23    $ 215,000        203,756   
Crown Castle International Corp., 7.125%, 11/01/19      1,005,000        1,072,838   
Crown Castle International Corp., 5.25%, 1/15/23      200,000        205,000   
Digicel Group Ltd., 8.25%, 9/01/17 (n)      710,000        738,400   
Digicel Group Ltd., 10.5%, 4/15/18 (n)      350,000        371,875   
Digicel Group Ltd., 8.25%, 9/30/20 (n)      1,053,000        1,113,548   
Digicel Group Ltd., 6%, 4/15/21 (n)      680,000        683,400   
Eileme 2 AB, 11.625%, 1/31/20 (n)      765,000        915,131   
Millicom International Cellular S.A., 4.75%, 5/22/20 (n)      390,000        374,400   
Millicom International Cellular S.A., 6.625%, 10/15/21 (n)      409,000        426,383   
MTS International Funding Ltd., 5%, 5/30/23 (n)      488,000        452,010   
Sprint Capital Corp., 6.875%, 11/15/28      1,315,000        1,305,138   
Sprint Corp., 7.875%, 9/15/23 (n)      1,170,000        1,295,775   
Sprint Corp., 7.125%, 6/15/24 (z)      410,000        430,500   
Sprint Nextel Corp., 9%, 11/15/18 (n)      630,000        771,750   
Sprint Nextel Corp., 6%, 11/15/22      830,000        850,750   
T-Mobile USA, Inc., 6.125%, 1/15/22      135,000        142,594   
T-Mobile USA, Inc., 6.5%, 1/15/24      370,000        392,200   
T-Mobile USA, Inc., 6.464%, 4/28/19      235,000        250,863   
T-Mobile USA, Inc., 6.25%, 4/01/21      2,790,000        2,974,838   
T-Mobile USA, Inc., 6.633%, 4/28/21      210,000        227,325   
Wind Acquisition Finance S.A., 12.25%, 7/15/17 (n)(p)      1,140,843        1,186,477   
Wind Acquisition Finance S.A., 7.25%, 2/15/18 (n)      1,170,000        1,231,425   
    

 

 

 
      $ 20,026,910   

 

16


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Telephone Services - 0.7%                 
B Communications Ltd., 7.375%, 2/15/21 (z)    $ 1,821,000      $ 1,907,498   
Cogent Communications Group, Inc., 8.375%, 2/15/18 (n)      445,000        483,938   
Level 3 Financing, Inc., 9.375%, 4/01/19      475,000        528,438   
Level 3 Financing, Inc., 8.625%, 7/15/20      630,000        707,963   
TELUS Corp., 5.05%, 7/23/20    CAD 225,000        226,729   
    

 

 

 
      $ 3,854,566   
Tobacco - 0.3%                 
Altria Group, Inc., 2.85%, 8/09/22    $ 250,000      $ 234,383   
Imperial Tobacco Group PLC, 5.5%, 9/28/26    GBP 150,000        277,944   
Lorillard Tobacco Co., 8.125%, 6/23/19    $ 250,000        311,756   
Reynolds American, Inc., 6.75%, 6/15/17      400,000        463,069   
Reynolds American, Inc., 4.75%, 11/01/42      185,000        173,795   
    

 

 

 
      $ 1,460,947   
Transportation - 0.1%                 
Far Eastern Shipping Co., 8%, 5/02/18 (n)    $ 526,000      $ 476,030   
Transportation - Services - 2.3%                 
Aguila American Resources Ltd., 7.875%, 1/31/18 (n)    $ 1,155,000      $ 1,227,188   
Avis Budget Car Rental LLC, 8.25%, 1/15/19      535,000        575,794   
CEVA Group PLC, 8.375%, 12/01/17 (n)      2,000,000        2,090,000   
ERAC USA Finance Co., 6.375%, 10/15/17 (n)      400,000        462,998   
HIT Finance B.V., 4.875%, 10/27/21    EUR 150,000        238,937   
Jack Cooper Holdings Corp., 9.25%, 6/01/20 (n)    $ 1,140,000        1,256,850   
Navios Maritime Acquisition Corp., 8.125%, 11/15/21 (n)      1,000,000        1,045,000   
Navios Maritime Holding, Inc., 7.375%, 1/15/22 (n)      1,150,000        1,193,125   
Navios South American Logistics, Inc., 9.25%, 4/15/19      748,000        802,230   
Stena AB, 7%, 2/01/24 (n)      1,170,000        1,205,100   
Swift Services Holdings, Inc., 10%, 11/15/18      1,940,000        2,136,425   
Syncreon Group BV/Syncre, 8.625%, 11/01/21 (n)      670,000        696,800   
Topaz Marine S.A., 8.625%, 11/01/18 (n)      208,000        215,384   
    

 

 

 
      $ 13,145,831   
U.S. Treasury Obligations - 3.7%                 
U.S. Treasury Bonds, 6.25%, 8/15/23 (f)    $ 1,400,000      $ 1,841,547   
U.S. Treasury Bonds, 6.875%, 8/15/25      5,767,000        8,091,822   
U.S. Treasury Bonds, 5.375%, 2/15/31      286,200        366,515   
U.S. Treasury Bonds, 4.5%, 2/15/36      95,000        111,298   
U.S. Treasury Bonds, 4.75%, 2/15/37      2,986,200        3,620,768   
U.S. Treasury Bonds, 3.125%, 2/15/43      7,420,000        6,786,985   
    

 

 

 
      $ 20,818,935   
Utilities - Electric Power - 2.5%                 
AES Corp., 7.375%, 7/01/21    $ 525,000      $ 597,188   
American Electric Power Co., Inc., 1.65%, 12/15/17      185,000        185,027   
Calpine Corp., 7.875%, 7/31/20 (n)      448,000        500,640   
Calpine Corp., 6%, 1/15/22 (n)      340,000        360,400   
CMS Energy Corp., 3.875%, 3/01/24      250,000        252,995   
Covanta Holding Corp., 7.25%, 12/01/20      2,080,000        2,267,200   
Duke Energy Corp., 1.625%, 8/15/17      185,000        186,421   
E.CL S.A., 5.625%, 1/15/21      757,000        803,533   
E.ON International Finance B.V., 6.375%, 6/07/32    GBP 50,000        102,503   
Enel Finance International N.V., 4.875%, 3/11/20    EUR 200,000        316,101   
Enel S.p.A., 6.25%, 6/20/19    GBP 100,000        189,860   

 

17


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Utilities - Electric Power - continued                 
Energy Future Holdings Corp., 10%, 12/01/20    $ 1,103,000      $ 1,147,120   
Energy Future Holdings Corp., 10.25%, 12/01/20 (n)      835,000        868,400   
InterGen N.V., 7%, 6/30/23 (n)      715,000        756,113   
NGG Finance PLC, FRN, 5.625%, 6/18/73    GBP 100,000        169,967   
NRG Energy, Inc., 8.25%, 9/01/20    $ 1,250,000        1,387,500   
NRG Energy, Inc., 6.25%, 7/15/22 (n)      375,000        390,000   
NRG Energy, Inc., 6.625%, 3/15/23      1,675,000        1,767,125   
PG&E Corp., 2.4%, 3/01/19      166,000        166,375   
PPL WEM Holdings PLC, 5.375%, 5/01/21 (n)      250,000        273,743   
Red Electrica de Espana, 3.5%, 10/07/16    EUR 100,000        146,466   
Red Electrica de Espana, 4.75%, 2/16/18    EUR 100,000        155,888   
Southern Electric Power Co. Ltd., 4.625%, 2/20/37    GBP 100,000        171,781   
Texas Competitive Electric Holdings Co. LLC, 11.5%, 10/01/20 (n)    $ 630,000        463,838   
Viridian Group FundCo II, Ltd., 11.125%, 4/01/17 (n)      373,000        411,233   
    

 

 

 
      $ 14,037,417   
Utilities - Water - 0.0%                 
Veolia Environnement S.A., 4.45% to 4/16/18, FRN to 1/29/49    EUR 200,000      $ 277,440   
Total Bonds      $ 594,552,095   
Convertible Bonds - 0.1%                 
Network & Telecom - 0.1%                 
Nortel Networks Corp., 2.125%, 4/15/14 (a)(d)    $ 600,000      $ 603,750   
Preferred Stocks - 0.2%                 
Other Banks & Diversified Financials - 0.2%                 
Ally Financial, Inc. (z)      380      $ 374,621   
GMAC Capital Trust I      22,000        597,300   
Total Preferred Stocks      $ 971,921   
Floating Rate Loans (g)(r) - 0.9%                 
Aerospace - 0.1%                 
TransDigm, Inc., Term Loan C, 3.75%, 2/28/20    $ 396,278      $ 397,764   
Conglomerates - 0.1%                 
Silver II U.S. Holdings LLC, Term Loan, 4%, 12/13/19    $ 385,680      $ 386,482   
Consumer Services - 0.1%                 
Realogy Corp., Extended Term Loan, 4.5%, 3/05/20    $ 258,985      $ 259,632   
Energy - Independent - 0.1%                 
MEG Energy Corp., Refi Term Loan, 3.75%, 3/31/20    $ 536,283      $ 537,624   
Entertainment - 0.1%                 
Cedar Fair LP, New Term Loan B, 3.25%, 3/06/20    $ 332,694      $ 333,041   
Food & Beverages - 0.0%                 
H.J. Heinz Co., Term Loan B2, 3.5%, 6/05/20    $ 225,005      $ 226,551   
Gaming & Lodging - 0.0%                 
Hilton Worldwide Finance LLC, Term Loan B2, 3.75%, 10/26/20    $ 50,919      $ 51,077   

 

18


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Floating Rate Loans (g)(r) - continued                 
Medical & Health Technology & Services - 0.0%                 
Community Health Systems, Inc., Term Loan D, 4.25%, 1/22/21    $ 187,319      $ 188,870   
Metals & Mining - 0.1%                 
FMG Resources Ltd., New Term Loan B, 4.25%, 6/30/19    $ 445,074      $ 449,247   
Retailers - 0.1%                 
Rite Aid Corp., New 2nd Lien Term Loan, 4.87%, 6/21/21    $ 44,587      $ 45,312   
Toys “R” Us Property Co. I LLC, New Term Loan B, 6%, 8/21/19      626,911        589,688   
      $ 635,000   
Transportation - Services - 0.2%                 
Commercial Barge Line Co., 1st Lien Term Loan, 7.5%, 9/20/19    $ 1,233,883      $ 1,230,799   
Utilities - Electric Power - 0.0%                 
Calpine Construction Finance Co. LP, Original Term Loan B1, 3%, 5/03/20    $ 124,074      $ 122,445   
Total Floating Rate Loans      $ 4,818,532   
Common Stocks - 0.0%                 
Automotive - 0.0%                 
Accuride Corp. (a)      12,648      $ 55,778   
Printing & Publishing - 0.0%                 
American Media Operations, Inc. (a)      3,053      $ 14,929   
Total Common Stocks      $ 70,707   
Money Market Funds - 9.5%                 
MFS Institutional Money Market Portfolio, 0.08%, at Net Asset Value (v)      53,470,767      $ 53,470,767   
Total Investments      $ 654,487,772   
Other Assets, Less Liabilities - (16.4)%              (91,982,374
Net Assets - 100.0%      $ 562,505,398   

 

(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 $178,845,493, representing 31.8% of net assets.
(p) Payment-in-kind security.
(r) Remaining maturities of floating rate loans may be less than stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. These loans may be subject to restrictions on resale. Floating rate loans generally have rates of interest which are determined periodically by reference to a base lending rate plus a premium.
(v) Underlying affiliated fund that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end.
(z) Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities:

 

Restricted Securities    Acquisition
Date
   Cost      Value  
Advanced Micro Devices, Inc., 6.75%, 3/01/19    2/20/14-2/21/14      $490,387         $492,450   
Ally Financial, Inc., 0% (Preferred Stock),    4/13/11-4/14/11      356,250         374,621   

 

19


Portfolio of Investments (unaudited) – continued

 

Restricted Securities – continued    Acquisition
Date
   Cost      Value  
American Media, Inc., 13.5%, 6/15/18    12/22/10      $12,042         $12,804   
Arch Coal, Inc., 8%, 1/15/19    12/12/13-2/06/14      365,253         368,650   
B Communications Ltd., 7.375%, 2/15/21    2/10/14      1,821,000         1,907,498   
Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.754%, 12/28/40    3/01/06      705,048         464,515   
Beverage Packaging Holdings Group, 6%, 6/15/17    12/04/13      125,000         130,000   
CCM Merger, Inc., 9.125%, 5/01/19    12/09/13-1/14/14      1,123,506         1,120,938   
CHS/Community Health Systems, Inc., 5.125%, 8/01/21    1/15/14      235,000         243,225   
CHS/Community Health Systems, Inc., 6.875%, 2/01/22    1/15/14-2/10/14      1,132,509         1,175,444   
Endo Finance Co., 5.75%, 1/15/22    12/11/13      455,000         469,788   
Fresenius US Finance II, Inc., 4.25%, 2/01/21    2/11/14      32,000         32,320   
Greektown Holdings LLC, 8.875%, 3/15/19    2/26/14-2/27/14      424,938         432,600   
Headwaters, Inc., 7.25%, 1/15/19    12/05/13-1/13/14      272,765         277,588   
INEOS Group Holdings S.A., 5.875%, 2/15/19    2/11/14      200,000         206,000   
Icahn Enterprises LP, 6%, 8/01/20    1/08/14      555,749         574,975   
Intelsat Jackson Holdings S.A., 5.5%, 8/01/23    2/07/14-2/12/14      300,615         306,513   
Jurassic Holdings III, Inc., 6.875%, 2/15/21    1/27/14      458,389         468,650   
Laredo Petroleum, Inc., 5.625%, 1/15/22    1/13/14-2/28/14      340,550         340,863   
Michaels Stores, Inc., 5.875%, 12/15/20    12/16/13      200,000         202,500   
Micron Technology, Inc., 5.875%, 2/15/22    2/06/14      316,169         323,950   
Northern Blizzard Resources, Inc., 7.25%, 2/01/22    1/24/14-1/27/14      725,800         739,500   
Nostrum Oil & Gas Finance B.V., 6.375%, 2/14/19    2/10/14      272,000         274,380   
Petroleos Mexicanos, 4.875%, 1/18/24    1/15/14      57,685         59,621   
Prestige Brands, Inc., 5.375%, 12/15/21    12/04/13-2/07/14      401,907         406,000   
Salix Pharmaceuticals Ltd., 6%, 1/15/21    12/12/13-12/13/13      481,120         508,250   
Spirit Master Funding LLC, 5.05%, 7/20/23    7/15/05      1,063,890         1,083,932   
Sprint Corp., 7.125%, 6/15/24    12/09/13-2/11/14      413,920         430,500   
Taminco Global Chemical Corp., 9.75%, 3/31/20    12/12/13      1,660,793         1,657,100   
Ziggo Bond Co. B.V., 8%, 5/15/18    7/21/11-3/15/12      904,627         932,411   
Total Restricted Securities         $16,017,586   
% of Net assets         2.9%   

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
CNY   Chinese Yuan Renminbi
DKK   Danish Krone
EUR   Euro
GBP   British Pound
INR   Indian Rupee

 

20


Portfolio of Investments (unaudited) – continued

 

JPY   Japanese Yen
KRW   Korean Won
MXN   Mexican Peso
NOK   Norwegian Krone
NZD   New Zealand Dollar
PLN   Polish Zloty
RUB   Russian Ruble
SEK   Swedish Krona
SGD   Singapore Dollar
TRY   Turkish Lira
ZAR   South African Rand

Derivative Contracts at 2/28/14

Forward Foreign Currency Exchange Contracts at 2/28/14

 

Type    Currency      Counterparty    Contracts to
Deliver/Receive
   Settlement
Date Range
   In Exchange
For
     Contracts
at Value
     Net Unrealized
Appreciation
(Depreciation)
 
Asset Derivatives               
BUY      AUD       Citibank N.A.    2,882,000    4/11/14    $ 2,534,417       $ 2,565,185       $ 30,768   
SELL      AUD       Goldman Sachs International    1,459,000    4/11/14      1,300,906         1,298,614         2,292   
SELL      AUD       Westpac Banking Corp.    3,369,570    4/11/14      3,007,105         2,999,157         7,948   
BUY      CAD       Deutsche Bank AG    2,745,000    4/11/14      2,469,431         2,476,722         7,291   
SELL      CAD       Goldman Sachs International    1,751,442    4/11/14      1,616,317         1,580,267         36,050   
SELL      CAD       Merrill Lynch International Bank    5,396,996    4/11/14      4,954,100         4,869,529         84,571   
BUY      CHF       Goldman Sachs International    30,343    4/11/14      33,647         34,511         864   
BUY      EUR       Barclays Bank PLC    1,070,271    4/11/14      1,446,859         1,477,266         30,407   
BUY      EUR       Goldman Sachs International    1,896,000    4/11/14      2,608,858         2,616,997         8,139   
BUY      GBP       Citibank N.A.    900,000    4/11/14      1,490,642         1,506,668         16,026   
BUY      INR       JPMorgan Chase Bank N.A.    85,079,000    4/15/14      1,347,893         1,358,201         10,308   
BUY      NOK       Goldman Sachs International    392,951    4/11/14      64,343         65,377         1,034   
BUY      NZD       Citibank N.A.    1,614,000    4/11/14      1,330,580         1,349,381         18,801   
BUY      NZD       Goldman Sachs International    1,477,000    4/11/14      1,211,608         1,234,842         23,234   
BUY      NZD       Westpac Banking Corp.    1,686,690    4/11/14      1,406,733         1,410,153         3,420   
BUY      PLN       JPMorgan Chase Bank N.A.    4,000    3/18/14      1,312         1,326         14   
BUY      RUB       JPMorgan Chase Bank N.A.    37,980    3/05/14      1,053         1,055         2   
SELL      RUB       JPMorgan Chase Bank N.A.    91,854,980    3/05/14      2,611,000         2,550,645         60,355   
BUY      SGD       Citibank N.A.    40,141    4/11/14      31,662         31,666         4   
BUY      TRY       JPMorgan Chase Bank N.A.    5,963,000    4/11/14      2,619,429         2,666,306         46,877   
SELL      TRY       JPMorgan Chase Bank N.A.    5,965,000    4/11/14      2,685,314         2,667,200         18,114   
BUY      ZAR       Barclays Bank PLC    360,852    4/11/14      32,589         33,317         728   
                    

 

 

 
                     $ 407,247   
                    

 

 

 
Liability Derivatives               
SELL      AUD       Goldman Sachs International    2,145,728    4/11/14    $ 1,897,759       $ 1,909,851       $ (12,092
SELL      BRL       JPMorgan Chase Bank N.A.    3,224,223    4/02/14      1,318,000         1,365,086         (47,086
SELL      CAD       Goldman Sachs International    1,476,000    4/11/14      1,323,459         1,331,745         (8,286
BUY      CNY       Deutsche Bank AG    7,912,000    4/14/14      1,295,987         1,288,285         (7,702
BUY      CNY       JPMorgan Chase Bank N.A.    7,920,000    4/14/14      1,298,361         1,289,587         (8,774
SELL      DKK       UBS AG    2,818,044    4/11/14      515,554         521,399         (5,845
SELL      EUR       Barclays Bank PLC    101,189    4/11/14      138,385         139,668         (1,283
SELL      EUR       Citibank N.A.    1,016,296    4/11/14      1,382,293         1,402,766         (20,473
SELL      EUR       Deutsche Bank AG    17,542,728    4/11/14      23,949,683         24,213,747         (264,064
SELL      EUR       Goldman Sachs International    2,585,674    4/11/14      3,514,314         3,568,934         (54,620
SELL      EUR       JPMorgan Chase Bank N.A.    17,542,728    4/11/14      23,951,595         24,213,747         (262,152
SELL      GBP       Barclays Bank PLC    161,311    4/11/14      265,228         270,047         (4,819
SELL      GBP       Credit Suisse Group    3,139,053    4/11/14      5,153,450         5,255,013         (101,563

 

21


Portfolio of Investments (unaudited) – continued

 

Forward Foreign Currency Exchange Contracts at 2/28/14 - continued

 

Type    Currency      Counterparty    Contracts to
Deliver/Receive
   Settlement
Date Range
   In Exchange
For
     Contracts
at Value
     Net Unrealized
Appreciation
(Depreciation)
 
Liability Derivatives – continued               
SELL      GBP       Deutsche Bank AG    341,058    4/11/14    $ 560,404       $ 570,958       $ (10,554
SELL      GBP       Goldman Sachs International    179,309    4/11/14      298,112         300,177         (2,065
BUY      JPY       Citibank N.A.    269,406,000    4/11/14      2,663,757         2,647,717         (16,040
SELL      JPY       Citibank N.A.    147,118,000    4/11/14      1,403,754         1,445,873         (42,119
SELL      JPY       Deutsche Bank AG    1,147,422,230    4/11/14      11,103,323         11,276,842         (173,519
SELL      JPY       Goldman Sachs International    1,153,781,229    4/11/14      11,104,422         11,339,338         (234,916
BUY      KRW       JPMorgan Chase Bank N.A.    44,218,500    3/21/14      41,596         41,381         (215
BUY      MXN       Citibank N.A.    18,014,000    4/11/14      1,373,011         1,354,500         (18,511
BUY      MXN       Goldman Sachs International    17,342,000    4/11/14      1,315,332         1,303,971         (11,361
BUY      MXN       JPMorgan Chase Bank N.A.    36,461,000    4/16/14      2,765,444         2,740,509         (24,935
SELL      MXN       Barclays Bank PLC    53,364,000    5/21/14      3,987,447         4,000,600         (13,153
SELL      MXN       JPMorgan Chase Bank N.A.    34,147,000    4/11/14      2,511,244         2,567,564         (56,320
SELL      NZD       JPMorgan Chase Bank N.A.    4,778,000    4/11/14      3,850,896         3,994,636         (143,740
BUY      RUB       JPMorgan Chase Bank N.A.    91,817,000    3/05/14      2,612,008         2,549,590         (62,418
SELL      RUB       JPMorgan Chase Bank N.A.    37,980    3/11/14      1,052         1,053         (1
SELL      SEK       Goldman Sachs International    2,054,835    4/11/14      318,708         320,282         (1,574
                    

 

 

 
                     $ (1,610,200
                    

 

 

 

Futures Contracts at 2/28/14

 

Description    Currency      Contracts      Value    Expiration
Date
   Unrealized
Appreciation
(Depreciation)
 
Asset Derivatives               
Interest Rate Futures               
U.S. Treasury Bond 30yr (Long)      USD         23       $3,060,438    June - 2014      $16,605   
              

 

 

 
Liability Derivatives               
Interest Rate Futures               
U.S. Treasury Note 10yr (Short)      USD         250       $31,132,813    June - 2014      $(32,477
              

 

 

 
                 $(15,872
              

 

 

 

At February 28, 2014, the fund had cash collateral of $310,000 and other liquid securities with an aggregate value of $385,409 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

2/28/14 (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

 

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 February 28, 2014 in valuing the fund’s assets or liabilities:

 

Investments at Value    Level 1      Level 2      Level 3      Total  
Equity Securities      $653,078         $374,621         $14,929         $1,042,628   
U.S. Treasury Bonds & U.S. Government Agency & Equivalents              20,818,935                 20,818,935   
Non-U.S. Sovereign Debt              96,447,701                 96,447,701   
Municipal Bonds              357,749                 357,749   
U.S. Corporate Bonds              318,132,887                 318,132,887   
Residential Mortgage-Backed Securities              12,387,076                 12,387,076   
Commercial Mortgage-Backed Securities              24,448,928                 24,448,928   
Asset-Backed Securities (including CDOs)              1,046,592                 1,046,592   
Foreign Bonds              121,515,977                 121,515,977   
Floating Rate Loans              4,818,532                 4,818,532   
Mutual Funds      53,470,767                         53,470,767   
Total Investments      $54,123,845         $600,348,998         $14,929         $654,487,772   
Other Financial Instruments                            
Futures Contracts      $(15,872      $—         $—         $(15,872
Forward Foreign Currency Exchange Contracts              (1,202,953              (1,202,953

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)

     0   
Balance as of 2/28/14      $14,929   

The net change in unrealized appreciation (depreciation) from investments still held as level 3 at February 28, 2014 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      $636,387,923   
Gross unrealized appreciation      26,706,657   
Gross unrealized depreciation      (8,606,808
Net unrealized appreciation (depreciation)      $18,099,849   

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         40,169,871         (58,482,479      53,470,767   
Underlying Affiliated Fund    Realized
Gain (Loss)
     Capital Gain
Distributions
     Dividend
Income
     Ending
Value
 
MFS Institutional Money Market Portfolio      $—         $—         $9,673         $53,470,767   

 

24


Supplemental Information (unaudited) – continued

 

(4) Issuer Country Weightings

Issuer country weighting percentages of portfolio holdings based on net assets, as of February 28, 2014, are as follows:

 

United States     60.2%   
United Kingdom     4.4%   
Canada     3.6%   
Japan     2.9%   
Italy     2.4%   
Mexico     2.2%   
Luxembourg     2.0%   
France     1.9%   
Russia     1.7%   
Other Countries     18.7%   

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

 

25


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 14, 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)*    JOHN M. CORCORAN
  John M. Corcoran, President (Principal Executive Officer)

Date: April 14, 2014

 

By (Signature and Title)*    DAVID L. DILORENZO
 

David L. DiLorenzo, Treasurer (Principal Financial Officer

and Accounting Officer)

Date: April 14, 2014

 

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