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)
Registrants 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
MFS® CHARTER INCOME TRUST
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 | ||||||
Moodys 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 funds 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 funds 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 investments 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 funds 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 funds 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 funds 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 funds 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 investments level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The funds 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 advisers 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 funds 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 funds 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 registrants 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 registrants 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 Commissions rules and forms. |
(b) | There were no changes in the registrants internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants 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. |