UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-5822
MFS CHARTER INCOME TRUST
(Exact name of registrant as specified in charter)
111 Huntington Avenue, Boston, Massachusetts 02199
(Address of principal executive offices) (Zip code)
Kristin V. Collins
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: August 31, 2015
ITEM 1. | SCHEDULE OF INVESTMENTS. |
QUARTERLY REPORT
August 31, 2015
MFS® CHARTER INCOME TRUST
PORTFOLIO OF INVESTMENTS
8/31/15 (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 - 111.4% | ||||||||
Aerospace - 1.5% | ||||||||
Aerojet Rocketdyne Holdings, Inc., 7.125%, 3/15/21 | $ | 1,805,000 | $ | 1,899,763 | ||||
Bombardier, Inc., 7.75%, 3/15/20 (n) | 123,000 | 102,705 | ||||||
Bombardier, Inc., 6.125%, 1/15/23 (n) | 1,260,000 | 938,700 | ||||||
Bombardier, Inc., 7.5%, 3/15/25 (n) | 560,000 | 424,200 | ||||||
CPI International, Inc., 8.75%, 2/15/18 | 1,495,000 | 1,506,213 | ||||||
Huntington Ingalls Industries, Inc., 7.125%, 3/15/21 | 1,805,000 | 1,911,044 | ||||||
TransDigm, Inc., 6%, 7/15/22 | 275,000 | 270,916 | ||||||
TransDigm, Inc., 6.5%, 7/15/24 | 705,000 | 689,138 | ||||||
|
|
|||||||
$ | 7,742,679 | |||||||
Airlines - 0.0% | ||||||||
Ryanair Ltd., 1.125%, 3/10/23 | EUR | 175,000 | $ | 186,964 | ||||
Apparel Manufacturers - 0.4% | ||||||||
Hanesbrands, Inc., 6.375%, 12/15/20 | $ | 755,000 | $ | 786,144 | ||||
PVH Corp., 4.5%, 12/15/22 | 1,375,000 | 1,371,563 | ||||||
|
|
|||||||
$ | 2,157,707 | |||||||
Asset-Backed & Securitized - 4.1% | ||||||||
Banc of America Commercial Mortgage, Inc., FRN, 5.934%, 2/10/51 | $ | 1,045,008 | $ | 1,113,371 | ||||
Bayview Financial Acquisition Trust, FRN, 5.483%, 2/28/41 (d)(q) | 34,453 | 36,124 | ||||||
Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.798%, 12/28/40 (z) | 640,424 | 400,403 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, FRN, 5.366%, 12/11/49 | 1,605,000 | 1,661,008 | ||||||
Commercial Mortgage Pass-Through Certificates, FRN, 5.95%, 6/10/46 | 230,000 | 235,317 | ||||||
Commercial Mortgage Trust, 2015-DC1, A5, 3.35%, 2/10/48 | 500,000 | 499,571 | ||||||
Countrywide Asset-Backed Certificates, FRN, 5.147%, 2/25/33 | 20,962 | 20,921 | ||||||
Crest Ltd., CDO, 7%, 1/28/40 (a)(p) | 2,879,074 | 849,096 | ||||||
Dryden Senior Loan Fund, 2013-26A, A, CLO, FRN, 1.388%, 7/15/25 (z) | 722,000 | 712,397 | ||||||
First Union-Lehman Brothers Bank of America, FRN, 0.984%, 11/18/35 (i) | 3,762,920 | 72,015 | ||||||
Greenwich Capital Commercial Funding Corp., 5.475%, 3/10/39 | 954,545 | 989,235 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., A3, FRN, 5.961%, 6/15/49 | 792,055 | 797,935 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., A3, FRN, 6.136%, 2/15/51 | 314,513 | 314,662 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., A4, FRN, 5.961%, 6/15/49 | 2,346,110 | 2,470,177 | ||||||
JPMorgan Chase Commercial Mortgage Trust, 2007-LD11, AM, FRN, 5.961%, 6/15/49 | 2,142,300 | 2,226,004 | ||||||
Merrill Lynch Mortgage Trust, FRN, 6.031%, 6/12/50 | 1,350,000 | 1,408,886 | ||||||
Morgan Stanley Capital I Trust, AM, FRN, 5.865%, 4/15/49 | 2,137,000 | 2,219,200 | ||||||
Wachovia Bank Commercial Mortgage Trust, A4, FRN, 6.149%, 2/15/51 | 3,479,451 | 3,636,113 | ||||||
Wells Fargo Commercial Mortgage Trust, 2015-NXS1, A5, 3.148%, 5/15/48 | 768,632 | 756,372 | ||||||
|
|
|||||||
$ | 20,418,807 | |||||||
Automotive - 2.3% | ||||||||
Accuride Corp., 9.5%, 8/01/18 | $ | 1,735,000 | $ | 1,761,025 | ||||
Delphi Automotive PLC, 1.5%, 3/10/25 | EUR | 200,000 | 206,790 | |||||
Ford Motor Credit Co. LLC, 1.7%, 5/09/16 | $ | 550,000 | 551,543 | |||||
Ford Motor Credit Co. LLC, 1.461%, 3/27/17 | 252,000 | 250,851 | ||||||
Ford Motor Credit Co. LLC, 3.157%, 8/04/20 | 915,000 | 915,715 | ||||||
General Motors Financial Co., Inc., 3.45%, 4/10/22 | 256,000 | 243,452 | ||||||
Goodyear Tire & Rubber Co., 6.5%, 3/01/21 | 1,695,000 | 1,794,158 | ||||||
Goodyear Tire & Rubber Co., 7%, 5/15/22 | 350,000 | 371,875 | ||||||
Grupo Antolin Dutch B.V., 5.125%, 6/30/22 (n) | EUR | 100,000 | 112,451 | |||||
Harley-Davidson Financial Services, Inc., 2.7%, 3/15/17 (n) | $ | 370,000 | 377,489 | |||||
Hyundai Capital America, 2.6%, 3/19/20 (n) | 272,000 | 269,413 | ||||||
Lear Corp., 4.75%, 1/15/23 | 1,015,000 | 1,007,388 | ||||||
Lear Corp., 5.375%, 3/15/24 | 60,000 | 60,900 |
1
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Automotive - continued | ||||||||
Lear Corp., 5.25%, 1/15/25 | $ | 790,000 | $ | 786,050 | ||||
Schaeffler Finance B.V., 3.25%, 5/15/19 | EUR | 230,000 | 259,077 | |||||
Schaeffler Finance B.V., 4.75%, 5/15/21 (n) | $ | 460,000 | 452,240 | |||||
Schaeffler Holding Finance B.V., 6.25%, 11/15/19 (n) | 470,000 | 494,675 | ||||||
Volkswagen International Finance N.V., 3.875% to 9/04/18, FRN to 9/29/49 | EUR | 200,000 | 234,145 | |||||
ZF North America Capital, Inc., 4.5%, 4/29/22 (n) | $ | 1,385,000 | 1,341,719 | |||||
|
|
|||||||
$ | 11,490,956 | |||||||
Biotechnology - 0.0% | ||||||||
Life Technologies Corp., 6%, 3/01/20 | $ | 200,000 | $ | 225,128 | ||||
Broadcasting - 1.7% | ||||||||
AMC Networks, Inc., 7.75%, 7/15/21 | $ | 863,000 | $ | 921,253 | ||||
Clear Channel Communications, Inc., 9%, 3/01/21 | 993,000 | 880,046 | ||||||
Clear Channel Worldwide Holdings, Inc., A, 6.5%, 11/15/22 | 190,000 | 191,995 | ||||||
Clear Channel Worldwide Holdings, Inc., B, 6.5%, 11/15/22 | 850,000 | 878,050 | ||||||
Discovery Communications, Inc., 1.9%, 3/19/27 | EUR | 425,000 | 406,045 | |||||
Liberty Media Corp., 8.5%, 7/15/29 | $ | 820,000 | 836,400 | |||||
Liberty Media Corp., 8.25%, 2/01/30 | 210,000 | 213,150 | ||||||
Myriad International Holdings B.V., 5.5%, 7/21/25 (n) | 234,000 | 232,245 | ||||||
Netflix, Inc., 5.375%, 2/01/21 | 1,680,000 | 1,734,600 | ||||||
Nexstar Broadcasting, Inc., 6.875%, 11/15/20 | 1,005,000 | 1,055,250 | ||||||
Omnicom Group, Inc., 3.65%, 11/01/24 | 77,000 | 74,933 | ||||||
ProSiebenSat.1 Media AG, 2.625%, 4/15/21 | EUR | 240,000 | 279,547 | |||||
SES Global Americas Holdings GP, 2.5%, 3/25/19 (n) | $ | 181,000 | 180,046 | |||||
Tribune Media Co., 5.875%, 7/15/22 (n) | 845,000 | 851,338 | ||||||
|
|
|||||||
$ | 8,734,898 | |||||||
Brokerage & Asset Managers - 0.1% | ||||||||
E*Trade Financial Corp., 4.625%, 9/15/23 | $ | 730,000 | $ | 730,000 | ||||
Building - 2.3% | ||||||||
Allegion U.S. Holding Co., Inc., 5.75%, 10/01/21 | $ | 1,865,000 | $ | 1,911,625 | ||||
Building Materials Corp. of America, 5.375%, 11/15/24 (n) | 1,250,000 | 1,250,000 | ||||||
Building Materials Holding Corp., 6.75%, 5/01/21 (n) | 675,000 | 706,219 | ||||||
CEMEX S.A.B. de C.V., 6.5%, 12/10/19 (n) | 284,000 | 288,260 | ||||||
CEMEX S.A.B. de C.V., 7.25%, 1/15/21 (n) | 423,000 | 442,966 | ||||||
CRH Finance Ltd., 3.125%, 4/03/23 | EUR | 150,000 | 181,785 | |||||
Elementia S.A. de C.V., 5.5%, 1/15/25 (n) | $ | 210,000 | 203,700 | |||||
Gibraltar Industries, Inc., 6.25%, 2/01/21 | 830,000 | 838,300 | ||||||
HD Supply, Inc., 7.5%, 7/15/20 | 980,000 | 1,046,150 | ||||||
Headwaters, Inc., 7.25%, 1/15/19 | 535,000 | 556,400 | ||||||
Masco Corp., 4.45%, 4/01/25 | 85,000 | 84,991 | ||||||
Mohawk Industries, Inc., 2%, 1/14/22 | EUR | 300,000 | 337,419 | |||||
Mohawk Industries, Inc., 3.85%, 2/01/23 | $ | 134,000 | 135,233 | |||||
Nortek, Inc., 8.5%, 4/15/21 | 1,015,000 | 1,087,319 | ||||||
Owens Corning, Inc., 4.2%, 12/15/22 | 127,000 | 127,774 | ||||||
PriSo Acquisition Corp., 9%, 5/15/23 (n) | 685,000 | 671,300 | ||||||
Roofing Supply Group LLC/Roofing Supply Finance, Inc., 10%, 6/01/20 (n) | 1,075,000 | 1,155,625 | ||||||
Union Andina de Cementos S.A.A., 5.875%, 10/30/21 (n) | 259,000 | 257,627 | ||||||
|
|
|||||||
$ | 11,282,693 | |||||||
Business Services - 1.3% | ||||||||
Equinix, Inc., 4.875%, 4/01/20 | $ | 565,000 | $ | 577,713 | ||||
Equinix, Inc., 5.375%, 1/01/22 | 305,000 | 308,050 |
2
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Business Services - continued | ||||||||
Equinix, Inc., 5.375%, 4/01/23 | $ | 880,000 | $ | 882,200 | ||||
Fidelity National Information Services, Inc., 3.875%, 6/05/24 | 537,000 | 501,213 | ||||||
Fiserv, Inc., 2.7%, 6/01/20 | 275,000 | 272,982 | ||||||
Iron Mountain, Inc., 8.375%, 8/15/21 | 150,000 | 154,275 | ||||||
Iron Mountain, Inc., REIT, 6%, 8/15/23 | 1,540,000 | 1,574,650 | ||||||
MSCI, Inc., 5.75%, 8/15/25 (n) | 145,000 | 147,900 | ||||||
NeuStar, Inc., 4.5%, 1/15/23 | 1,260,000 | 1,071,000 | ||||||
Tencent Holdings Ltd., 3.375%, 3/05/18 (n) | 449,000 | 458,900 | ||||||
Tencent Holdings Ltd., 3.8%, 2/11/25 (n) | 485,000 | 468,447 | ||||||
|
|
|||||||
$ | 6,417,330 | |||||||
Cable TV - 5.1% | ||||||||
Altice Financing S.A., 6.5%, 1/15/22 (n) | $ | 2,005,000 | $ | 2,010,013 | ||||
Altice Financing S.A., 6.625%, 2/15/23 (n) | 2,145,000 | 2,134,275 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., 7.375%, 6/01/20 | 250,000 | 260,625 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., 6.5%, 4/30/21 | 1,965,000 | 2,053,818 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/23 (n) | 780,000 | 780,000 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 1/15/24 | 1,020,000 | 1,040,400 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/25 (n) | 335,000 | 325,369 | ||||||
CCO Safari II LLC, 6.384%, 10/23/35 (n) | 217,000 | 221,055 | ||||||
Cequel Communications Holdings, 6.375%, 9/15/20 (n) | 1,675,000 | 1,644,431 | ||||||
Comcast Corp., 4.75%, 3/01/44 | 223,000 | 232,343 | ||||||
DISH DBS Corp., 7.875%, 9/01/19 | 240,000 | 260,136 | ||||||
DISH DBS Corp., 6.75%, 6/01/21 | 1,000,000 | 1,003,900 | ||||||
DISH DBS Corp., 5%, 3/15/23 | 1,065,000 | 940,533 | ||||||
DISH DBS Corp., 5.875%, 11/15/24 | 380,000 | 346,275 | ||||||
Intelsat Jackson Holdings S.A., 7.25%, 4/01/19 | 300,000 | 293,250 | ||||||
Intelsat Jackson Holdings S.A., 6.625%, 12/15/22 | 1,275,000 | 1,115,625 | ||||||
Intelsat Jackson Holdings S.A., 5.5%, 8/01/23 | 1,330,000 | 1,170,400 | ||||||
Intelsat Luxembourg S.A., 8.125%, 6/01/23 | 1,350,000 | 992,250 | ||||||
LGE Holdco VI B.V., 7.125%, 5/15/24 (n) | EUR | 520,000 | 635,813 | |||||
Lynx I Corp., 5.375%, 4/15/21 (n) | $ | 342,000 | 350,550 | |||||
Lynx II Corp., 6.375%, 4/15/23 (n) | 555,000 | 576,850 | ||||||
Shaw Communications, Inc., 5.65%, 10/01/19 | CAD | 260,000 | 223,360 | |||||
SIRIUS XM Radio, Inc., 4.25%, 5/15/20 (n) | $ | 90,000 | 89,831 | |||||
SIRIUS XM Radio, Inc., 5.875%, 10/01/20 (n) | 120,000 | 125,100 | ||||||
SIRIUS XM Radio, Inc., 5.75%, 8/01/21 (n) | 185,000 | 191,475 | ||||||
SIRIUS XM Radio, Inc., 4.625%, 5/15/23 (n) | 740,000 | 704,850 | ||||||
SIRIUS XM Radio, Inc., 6%, 7/15/24 (n) | 1,065,000 | 1,096,950 | ||||||
SIRIUS XM Radio, Inc., 5.375%, 4/15/25 (n) | 745,000 | 735,688 | ||||||
Time Warner Cable, Inc., 5.75%, 6/02/31 | GBP | 100,000 | 150,734 | |||||
Time Warner Cable, Inc., 5.25%, 7/15/42 | GBP | 100,000 | 135,981 | |||||
Time Warner Cable, Inc., 4.5%, 9/15/42 | $ | 119,000 | 95,395 | |||||
Unitymedia Hessen, 5.5%, 1/15/23 (n) | 1,350,000 | 1,387,125 | ||||||
Unitymedia KabelBW GmbH, 6.125%, 1/15/25 (n) | 770,000 | 789,250 | ||||||
Virgin Media Secured Finance PLC, 5.25%, 1/15/26 (n) | 800,000 | 776,000 | ||||||
VTR Finance B.V., 6.875%, 1/15/24 (n) | 480,000 | 472,800 | ||||||
Ziggo Bond Finance B.V., 5.875%, 1/15/25 (n) | 200,000 | 193,000 | ||||||
|
|
|||||||
$ | 25,555,450 | |||||||
Chemicals - 2.3% | ||||||||
Celanese U.S. Holdings LLC, 5.875%, 6/15/21 | $ | 379,000 | $ | 397,003 | ||||
CF Industries, Inc., 5.15%, 3/15/34 | 169,000 | 162,660 | ||||||
Consolidated Energy Finance S.A., 6.75%, 10/15/19 (n) | 380,000 | 375,174 | ||||||
Evolution Escrow Issuer Co., 7.5%, 3/15/22 (n) | 795,000 | 639,975 |
3
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Chemicals - continued | ||||||||
Flash Dutch 2 B.V./U.S. Coatings Acquisition, 7.375%, 5/01/21 (n) | $ | 1,080,000 | $ | 1,155,492 | ||||
Hexion U.S. Finance Corp., 6.625%, 4/15/20 | 630,000 | 587,475 | ||||||
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, 8.875%, 2/01/18 | 860,000 | 748,200 | ||||||
Huntsman International LLC, 8.625%, 3/15/21 | 413,000 | 431,548 | ||||||
Huntsman International LLC, 5.125%, 4/15/21 | EUR | 165,000 | 188,395 | |||||
INEOS Group Holdings S.A., 6.125%, 8/15/18 (n) | $ | 515,000 | 515,644 | |||||
INEOS Group Holdings S.A., 5.875%, 2/15/19 (n) | 200,000 | 198,250 | ||||||
Israel Chemicals Ltd., 4.5%, 12/02/24 (n) | 2,460,000 | 2,461,476 | ||||||
LYB International Finance B.V., 4%, 7/15/23 | 135,000 | 136,080 | ||||||
LyondellBasell Industries N.V., 4.625%, 2/26/55 | 400,000 | 344,330 | ||||||
Solvay Finance S.A., FRN, 4.199%, 5/29/49 | EUR | 250,000 | 280,910 | |||||
Syngenta Finance N.V., 1.875%, 11/02/21 | EUR | 200,000 | 234,352 | |||||
Tronox Finance LLC, 6.375%, 8/15/20 | $ | 2,055,000 | 1,685,100 | |||||
W.R. Grace & Co., 5.125%, 10/01/21 (n) | 800,000 | 810,000 | ||||||
|
|
|||||||
$ | 11,352,064 | |||||||
Computer Software - 0.3% | ||||||||
Oracle Corp., 3.4%, 7/08/24 | $ | 251,000 | $ | 250,901 | ||||
Syniverse Holdings, Inc., 9.125%, 1/15/19 | 362,000 | 314,035 | ||||||
VeriSign, Inc., 4.625%, 5/01/23 | 1,005,000 | 979,875 | ||||||
|
|
|||||||
$ | 1,544,811 | |||||||
Computer Software - Systems - 0.6% | ||||||||
Apple, Inc., 2.7%, 5/13/22 | $ | 400,000 | $ | 395,183 | ||||
Apple, Inc., 3.6%, 7/31/42 | GBP | 230,000 | 340,702 | |||||
CDW LLC/CDW Finance Corp., 6%, 8/15/22 | $ | 275,000 | 288,406 | |||||
CDW LLC/CDW Finance Corp., 5.5%, 12/01/24 | 395,000 | 391,050 | ||||||
Sabre GLBL, Inc., 5.375%, 4/15/23 (n) | 1,865,000 | 1,827,700 | ||||||
|
|
|||||||
$ | 3,243,041 | |||||||
Conglomerates - 2.2% | ||||||||
Alfa S.A.B de C.V., 6.875%, 3/25/44 | $ | 252,000 | $ | 248,850 | ||||
Amsted Industries Co., 5%, 3/15/22 (n) | 2,335,000 | 2,335,000 | ||||||
ATS Automation Tooling Systems, Inc., 6.5%, 6/15/23 (n) | 415,000 | 418,113 | ||||||
BC Mountain LLC, 7%, 2/01/21 (n) | 1,270,000 | 1,066,800 | ||||||
DH Europe Finance S.A., 1%, 7/08/19 | EUR | 150,000 | 169,425 | |||||
EnerSys, 5%, 4/30/23 (n) | $ | 1,720,000 | 1,659,800 | |||||
Enpro Industries, Inc., 5.875%, 9/15/22 | 1,485,000 | 1,492,425 | ||||||
Entegris, Inc., 6%, 4/01/22 (n) | 1,575,000 | 1,594,688 | ||||||
General Electric Co., 1.25%, 5/26/23 | EUR | 100,000 | 110,641 | |||||
Renaissance Acquisition, 6.875%, 8/15/21 (n) | $ | 1,345,000 | 1,197,050 | |||||
Roper Industries, Inc., 1.85%, 11/15/17 | 200,000 | 199,926 | ||||||
Smiths Group PLC, 1.25%, 4/28/23 | EUR | 325,000 | 343,886 | |||||
Tyco International Finance S.A., 1.375%, 2/25/25 | EUR | 125,000 | 129,991 | |||||
|
|
|||||||
$ | 10,966,595 | |||||||
Construction - 0.1% | ||||||||
Empresas ICA S.A.B. de C.V., 8.9%, 2/04/21 | $ | 450,000 | $ | 211,500 | ||||
Empresas ICA S.A.B. de C.V., 8.875%, 5/29/24 (n) | 853,000 | 373,188 | ||||||
|
|
|||||||
$ | 584,688 | |||||||
Consumer Products - 0.7% | ||||||||
Newell Rubbermaid, Inc., 4%, 12/01/24 | $ | 400,000 | $ | 405,653 | ||||
Prestige Brands, Inc., 8.125%, 2/01/20 | 257,000 | 272,420 | ||||||
Prestige Brands, Inc., 5.375%, 12/15/21 (n) | 955,000 | 947,838 |
4
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Consumer Products - continued | ||||||||
Reckitt Benckiser Treasury Services PLC, 3.625%, 9/21/23 (n) | $ | 250,000 | $ | 255,543 | ||||
Spectrum Brands, Inc., 6.375%, 11/15/20 | 1,025,000 | 1,085,219 | ||||||
Spectrum Brands, Inc., 6.125%, 12/15/24 (n) | 170,000 | 176,800 | ||||||
Spectrum Brands, Inc., 5.75%, 7/15/25 (n) | 460,000 | 473,800 | ||||||
|
|
|||||||
$ | 3,617,273 | |||||||
Consumer Services - 2.1% | ||||||||
ADT Corp., 6.25%, 10/15/21 | $ | 2,155,000 | $ | 2,225,038 | ||||
ADT Corp., 4.125%, 6/15/23 | 60,000 | 55,050 | ||||||
CEB, Inc., 5.625%, 6/15/23 (n) | 900,000 | 900,000 | ||||||
Garda World Security Corp., 7.25%, 11/15/21 (n) | 480,000 | 448,800 | ||||||
Garda World Security Corp., 7.25%, 11/15/21 (n) | 660,000 | 617,100 | ||||||
Grupo Posadas S.A.B. de C.V., 7.875%, 6/30/22 (n) | 800,000 | 790,000 | ||||||
Interval Acquisition Corp., 5.625%, 4/15/23 (n) | 1,865,000 | 1,841,688 | ||||||
Monitronics International, Inc., 9.125%, 4/01/20 | 1,360,000 | 1,271,600 | ||||||
Priceline Group, Inc., 3.65%, 3/15/25 | 166,000 | 160,384 | ||||||
Priceline Group, Inc., 1.8%, 3/03/27 | EUR | 100,000 | 98,183 | |||||
Service Corp. International, 7%, 6/15/17 | $ | 1,220,000 | 1,311,500 | |||||
Service Corp. International, 5.375%, 5/15/24 | 873,000 | 907,920 | ||||||
|
|
|||||||
$ | 10,627,263 | |||||||
Containers - 2.9% | ||||||||
Ardagh Packaging Finance PLC, 9.125%, 10/15/20 (n) | $ | 2,195,000 | $ | 2,294,873 | ||||
Ball Corp., 5%, 3/15/22 | 1,605,000 | 1,629,075 | ||||||
Ball Corp., 5.25%, 7/01/25 | 165,000 | 164,175 | ||||||
Berry Plastics Group, Inc., 5.5%, 5/15/22 | 1,025,000 | 991,688 | ||||||
Crown American LLC, 4.5%, 1/15/23 | 1,454,000 | 1,423,103 | ||||||
Crown European Holdings S.A., 3.375%, 5/15/25 (z) | EUR | 350,000 | 365,260 | |||||
Multi-Color Corp., 6.125%, 12/01/22 (n) | $ | 1,255,000 | 1,278,531 | |||||
Rexam PLC, 6.75% to 6/29/17, FRN to 6/29/67 | EUR | 190,000 | 214,115 | |||||
Reynolds Group, 9.875%, 8/15/19 | $ | 123,000 | 129,304 | |||||
Reynolds Group, 5.75%, 10/15/20 | 790,000 | 814,688 | ||||||
Reynolds Group, 8.25%, 2/15/21 | 2,030,000 | 2,088,363 | ||||||
Sealed Air Corp., 4.5%, 9/15/23 (n) | EUR | 225,000 | 259,932 | |||||
Sealed Air Corp., 4.875%, 12/01/22 (n) | $ | 1,495,000 | 1,495,000 | |||||
Sealed Air Corp., 5.125%, 12/01/24 (n) | 390,000 | 394,629 | ||||||
Signode Industrial Group, 6.375%, 5/01/22 (n) | 1,170,000 | 1,129,050 | ||||||
|
|
|||||||
$ | 14,671,786 | |||||||
Defense Electronics - 0.1% | ||||||||
BAE Systems PLC, 4.125%, 6/08/22 | GBP | 150,000 | $ | 243,479 | ||||
Electrical Equipment - 0.1% | ||||||||
Arrow Electronics, Inc., 3.5%, 4/01/22 | $ | 173,000 | $ | 169,322 | ||||
Avaya, Inc., 10.5%, 3/01/21 (n) | 325,000 | 215,313 | ||||||
Molex Electronic Technologies LLC, 3.9%, 4/15/25 (n) | 201,000 | 193,229 | ||||||
|
|
|||||||
$ | 577,864 | |||||||
Electronics - 1.2% | ||||||||
Advanced Micro Devices, Inc., 6.75%, 3/01/19 | $ | 1,045,000 | $ | 736,725 | ||||
Advanced Micro Devices, Inc., 7.5%, 8/15/22 | 305,000 | 196,725 | ||||||
Advanced Micro Devices, Inc., 7%, 7/01/24 | 575,000 | 370,875 | ||||||
Micron Technology, Inc., 5.875%, 2/15/22 | 675,000 | 664,875 | ||||||
Micron Technology, Inc., 5.5%, 2/01/25 | 375,000 | 348,750 | ||||||
NXP B.V., 5.75%, 3/15/23 (n) | 1,730,000 | 1,790,550 |
5
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Electronics - continued | ||||||||
Sensata Technologies B.V., 5.625%, 11/01/24 (n) | $ | 475,000 | $ | 486,875 | ||||
Sensata Technologies B.V., 5%, 10/01/25 (n) | 835,000 | 809,950 | ||||||
Tyco Electronics Group S.A., 2.375%, 12/17/18 | 294,000 | 295,491 | ||||||
Tyco Electronics Group S.A., 1.1%, 3/01/23 | EUR | 100,000 | 107,110 | |||||
|
|
|||||||
$ | 5,807,926 | |||||||
Emerging Market Quasi-Sovereign - 2.3% | ||||||||
Banco do Estado Rio Grande do Sul S.A., 7.375%, 2/02/22 | $ | 1,092,000 | $ | 837,564 | ||||
CNOOC Finance (2015) U.S.A. LLC, 3.5%, 5/05/25 | 200,000 | 191,942 | ||||||
CNPC General Capital Ltd., 3.4%, 4/16/23 (n) | 586,000 | 567,186 | ||||||
Comision Federal de Electricidad, 4.875%, 1/15/24 | 234,000 | 239,558 | ||||||
Corporacion Financiera de Desarrollo S.A., 4.75%, 7/15/25 (n) | 200,000 | 199,436 | ||||||
Corporacion Financiera de Desarrollo S.A., FRN, 5.25%, 7/15/29 (n) | 819,000 | 819,000 | ||||||
Empresa Nacional del Petroleo, 4.375%, 10/30/24 (n) | 200,000 | 194,697 | ||||||
Gaz Capital S.A., 4.95%, 2/06/28 | 383,000 | 316,749 | ||||||
KazAgro National Management Holding, 4.625%, 5/24/23 (n) | 858,000 | 719,862 | ||||||
Kazakhstan Temir Zholy Co., 6.95%, 7/10/42 (n) | 967,000 | 835,972 | ||||||
Majapahit Holding B.V., 7.25%, 6/28/17 (n) | 591,000 | 636,093 | ||||||
Majapahit Holding B.V., 8%, 8/07/19 (n) | 380,000 | 427,044 | ||||||
NOVA Chemicals Corp., 5.25%, 8/01/23 (n) | 250,000 | 251,250 | ||||||
Office Cherifien des Phosphates, 6.875%, 4/25/44 (n) | 702,000 | 721,249 | ||||||
ONGC Videsh Ltd., 4.625%, 7/15/24 | 511,000 | 522,737 | ||||||
Pemex Project Funding Master Trust, 5.75%, 3/01/18 | 642,000 | 689,348 | ||||||
Pertamina PT, 4.875%, 5/03/22 (n) | 275,000 | 266,420 | ||||||
Pertamina PT, 6%, 5/03/42 (n) | 318,000 | 278,250 | ||||||
Petroleos Mexicanos, 8%, 5/03/19 | 1,101,000 | 1,266,315 | ||||||
Petroleos Mexicanos, 4.875%, 1/24/22 | 491,000 | 498,365 | ||||||
Petroleos Mexicanos, 4.5%, 1/23/26 (n) | 198,000 | 188,110 | ||||||
Sinopec Group Overseas Development (2012) Ltd., 3.9%, 5/17/22 (n) | 279,000 | 282,930 | ||||||
Turkiye Vakiflar Bankasi T.A.O., 6.875% to 2/03/20, FRN to 2/03/25 (n) | 438,000 | 418,991 | ||||||
|
|
|||||||
$ | 11,369,068 | |||||||
Emerging Market Sovereign - 3.1% | ||||||||
Dominican Republic, 7.5%, 5/06/21 (n) | $ | 548,000 | $ | 604,855 | ||||
Dominican Republic, 5.875%, 4/18/24 (n) | 121,000 | 122,815 | ||||||
Dominican Republic, 8.625%, 4/20/27 | 891,000 | 1,058,063 | ||||||
Republic of Angola, 7%, 8/16/19 | 482,000 | 468,239 | ||||||
Republic of Colombia, 8.125%, 5/21/24 | 1,025,000 | 1,280,225 | ||||||
Republic of Croatia, 5.5%, 4/04/23 (n) | 2,108,000 | 2,173,875 | ||||||
Republic of Hungary, 5.375%, 2/21/23 | 672,000 | 731,571 | ||||||
Republic of Indonesia, 11.625%, 3/04/19 (n) | 571,000 | 733,735 | ||||||
Republic of Indonesia, 7.875%, 4/15/19 | IDR | 15,259,000,000 | 1,065,686 | |||||
Republic of Indonesia, 2.875%, 7/08/21 (z) | EUR | 175,000 | 193,922 | |||||
Republic of Indonesia, 3.375%, 4/15/23 (n) | $ | 302,000 | 279,350 | |||||
Republic of Indonesia, 8.375%, 3/15/24 | IDR | 14,554,000,000 | 1,011,850 | |||||
Republic of Indonesia, 4.125%, 1/15/25 (n) | $ | 342,000 | 327,465 | |||||
Republic of Kazakhstan, 5.125%, 7/21/25 (n) | 682,000 | 665,803 | ||||||
Republic of Panama, 3.75%, 3/16/25 | 204,000 | 199,410 | ||||||
Republic of Panama, 9.375%, 4/01/29 | 719,000 | 1,050,639 | ||||||
Republic of Paraguay, 6.1%, 8/11/44 (n) | 550,000 | 552,750 | ||||||
Republic of Romania, 6.75%, 2/07/22 (n) | 592,000 | 695,529 | ||||||
Republic of Slovakia, 4.375%, 5/21/22 (n) | 688,000 | 763,474 | ||||||
Republic of Turkey, 3.25%, 3/23/23 | 633,000 | 576,581 | ||||||
Russian Federation, 4.875%, 9/16/23 (n) | 400,000 | 382,552 | ||||||
United Mexican States, 3.625%, 3/15/22 | 506,000 | 507,265 | ||||||
|
|
|||||||
$ | 15,445,654 |
6
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Energy - Independent - 4.4% | ||||||||
Afren PLC, 15%, 3/18/16 | $ | 374,128 | $ | 280,596 | ||||
Afren PLC, 10.25%, 4/08/19 (a)(d)(n) | 463,000 | 13,890 | ||||||
American Energy-Permian Basin LLC, 7.375%, 11/01/21 (n) | 695,000 | 350,975 | ||||||
Baytex Energy Corp., 5.625%, 6/01/24 (n) | 1,250,000 | 1,043,150 | ||||||
Bonanza Creek Energy, Inc., 6.75%, 4/15/21 | 760,000 | 562,400 | ||||||
Chaparral Energy, Inc., 7.625%, 11/15/22 | 1,830,000 | 786,900 | ||||||
Chesapeake Energy Corp., 5.75%, 3/15/23 | 1,825,000 | 1,360,556 | ||||||
Cimarex Energy Co., 4.375%, 6/01/24 | 350,000 | 336,711 | ||||||
Concho Resources, Inc., 6.5%, 1/15/22 | 825,000 | 841,673 | ||||||
Concho Resources, Inc., 5.5%, 4/01/23 | 1,155,000 | 1,141,036 | ||||||
EP Energy LLC, 9.375%, 5/01/20 | 795,000 | 769,958 | ||||||
EP Energy LLC, 7.75%, 9/01/22 | 2,360,000 | 2,171,200 | ||||||
Halcon Resources Corp., 8.875%, 5/15/21 | 1,000,000 | 330,000 | ||||||
Hess Corp., 8.125%, 2/15/19 | 100,000 | 116,520 | ||||||
Linn Energy LLC/Linn Energy Finance Corp., 8.625%, 4/15/20 | 615,000 | 247,538 | ||||||
Linn Energy LLC/Linn Energy Finance Corp., 7.75%, 2/01/21 | 1,668,000 | 654,690 | ||||||
Linn Energy LLC/Linn Energy Finance Corp., 6.5%, 9/15/21 | 600,000 | 229,500 | ||||||
MEG Energy Corp., 6.5%, 3/15/21 (n) | 1,495,000 | 1,249,073 | ||||||
MEG Energy Corp., 7%, 3/31/24 (n) | 445,000 | 363,788 | ||||||
Noble Energy, Inc., 5.625%, 5/01/21 | 1,360,000 | 1,372,947 | ||||||
Northern Blizzard Resources, Inc., 7.25%, 2/01/22 (n) | 1,018,000 | 834,760 | ||||||
Nostrum Oil & Gas Finance B.V., 6.375%, 2/14/19 (n) | 272,000 | 227,800 | ||||||
Oasis Petroleum, Inc., 6.875%, 3/15/22 | 695,000 | 576,850 | ||||||
QEP Resources, Inc., 5.25%, 5/01/23 | 1,990,000 | 1,721,748 | ||||||
RSP Permian, Inc., 6.625%, 10/01/22 (n) | 1,325,000 | 1,298,500 | ||||||
Sanchez Energy Corp., 6.125%, 1/15/23 | 1,390,000 | 1,042,500 | ||||||
SM Energy Co., 6.5%, 11/15/21 | 1,345,000 | 1,304,650 | ||||||
SM Energy Co., 6.125%, 11/15/22 | 645,000 | 619,200 | ||||||
|
|
|||||||
$ | 21,849,109 | |||||||
Energy - Integrated - 0.6% | ||||||||
Inkia Energy Ltd., 8.375%, 4/04/21 | $ | 754,000 | $ | 780,390 | ||||
Listrindo Capital B.V., 6.95%, 2/21/19 (n) | 200,000 | 205,000 | ||||||
LUKOIL International Finance B.V., 4.563%, 4/24/23 | 200,000 | 174,380 | ||||||
LUKOIL International Finance B.V., 4.563%, 4/24/23 (n) | 544,000 | 474,314 | ||||||
Pacific Exploration and Production Corp., 7.25%, 12/12/21 (n) | 1,107,000 | 597,780 | ||||||
Pacific Exploration and Production Corp., 5.125%, 3/28/23 (n) | 201,000 | 100,500 | ||||||
Pacific Exploration and Production Corp., 5.625%, 1/19/25 (n) | 173,000 | 88,230 | ||||||
Repsol International Finance B.V., 3.625%, 10/07/21 | EUR | 200,000 | 243,978 | |||||
Shell International Finance B.V., 2.125%, 5/11/20 | $ | 376,000 | 373,513 | |||||
TOTAL S.A., 2.625% to 2/26/25, FRN to 12/29/49 | EUR | 200,000 | 210,894 | |||||
|
|
|||||||
$ | 3,248,979 | |||||||
Entertainment - 1.7% | ||||||||
Activision Blizzard, Inc., 6.125%, 9/15/23 (n) | $ | 1,590,000 | $ | 1,709,250 | ||||
Carmike Cinemas, Inc., 6%, 6/15/23 (n) | 500,000 | 511,250 | ||||||
Carnival Corp., 1.2%, 2/05/16 | 370,000 | 370,207 | ||||||
Cedar Fair LP, 5.25%, 3/15/21 | 1,215,000 | 1,236,263 | ||||||
Cedar Fair LP, 5.375%, 6/01/24 | 405,000 | 411,075 | ||||||
Cinemark USA, Inc., 5.125%, 12/15/22 | 1,430,000 | 1,430,000 | ||||||
Cinemark USA, Inc., 4.875%, 6/01/23 | 780,000 | 760,500 | ||||||
NCL Corp. Ltd., 5.25%, 11/15/19 (n) | 815,000 | 843,272 | ||||||
Six Flags Entertainment Corp., 5.25%, 1/15/21 (n) | 1,255,000 | 1,273,825 | ||||||
|
|
|||||||
$ | 8,545,642 |
7
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Financial Institutions - 4.3% | ||||||||
Aircastle Ltd., 4.625%, 12/15/18 | $ | 130,000 | $ | 133,575 | ||||
Aircastle Ltd., 5.125%, 3/15/21 | 1,470,000 | 1,503,075 | ||||||
Aircastle Ltd., 5.5%, 2/15/22 | 870,000 | 900,450 | ||||||
Aviation Capital Group, 4.625%, 1/31/18 (n) | 555,000 | 570,263 | ||||||
Aviation Capital Group, 6.75%, 4/06/21 (n) | 540,000 | 611,550 | ||||||
CIT Group, Inc., 5.25%, 3/15/18 | 1,520,000 | 1,578,900 | ||||||
CIT Group, Inc., 6.625%, 4/01/18 (n) | 1,305,000 | 1,396,350 | ||||||
CIT Group, Inc., 5.5%, 2/15/19 (n) | 1,560,000 | 1,639,950 | ||||||
CIT Group, Inc., 3.875%, 2/19/19 | 566,000 | 566,000 | ||||||
CIT Group, Inc., 5%, 8/15/22 | 745,000 | 757,106 | ||||||
Credit Acceptance Co., 7.375%, 3/15/23 (n) | 1,435,000 | 1,470,875 | ||||||
General Electric Capital Corp., 3.1%, 1/09/23 | 750,000 | 751,783 | ||||||
Icahn Enterprises LP, 6%, 8/01/20 | 700,000 | 724,395 | ||||||
Icahn Enterprises LP, 5.875%, 2/01/22 | 1,560,000 | 1,575,990 | ||||||
Nationstar Mortgage LLC/Capital Corp., 6.5%, 8/01/18 | 505,000 | 484,800 | ||||||
Nationstar Mortgage LLC/Capital Corp., 7.875%, 10/01/20 | 2,310,000 | 2,182,950 | ||||||
Navient Corp., 5.875%, 3/25/21 | 405,000 | 363,488 | ||||||
PHH Corp., 6.375%, 8/15/21 | 660,000 | 608,850 | ||||||
SLM Corp., 8%, 3/25/20 | 1,135,000 | 1,149,188 | ||||||
SLM Corp., 7.25%, 1/25/22 | 2,110,000 | 1,988,675 | ||||||
SLM Corp., 6.125%, 3/25/24 | 515,000 | 437,750 | ||||||
|
|
|||||||
$ | 21,395,963 | |||||||
Food & Beverages - 1.3% | ||||||||
Anheuser-Busch InBev S.A., 6.875%, 11/15/19 | $ | 300,000 | $ | 353,909 | ||||
Coca-Cola Co., 0.75%, 3/09/23 | EUR | 175,000 | 188,293 | |||||
Coca-Cola Co., 1.125%, 3/09/27 | EUR | 125,000 | 129,280 | |||||
Coca-Cola Enterprises, Inc., 1.875%, 3/18/30 | EUR | 200,000 | 197,562 | |||||
Coca-Cola HBC Finance B.V., 4.25%, 11/16/16 | EUR | 150,000 | 175,645 | |||||
Darling Ingredients, Inc., 5.375%, 1/15/22 | $ | 795,000 | 785,063 | |||||
Gruma S.A.B. de C.V., 4.875%, 12/01/24 (n) | 202,000 | 212,302 | ||||||
J.M. Smucker Co., 2.5%, 3/15/20 (n) | 365,000 | 363,179 | ||||||
J.M. Smucker Co., 4.375%, 3/15/45 (n) | 70,000 | 64,699 | ||||||
JBS USA LLC/JBS USA Finance, Inc., 5.75%, 6/15/25 (n) | 85,000 | 82,450 | ||||||
Kraft Heinz Co., 5%, 7/15/35 (n) | 102,000 | 105,440 | ||||||
Kraft Heinz Foods Co., 3.5%, 7/15/22 (n) | 202,000 | 203,906 | ||||||
Minerva Luxembourg S.A., 7.75%, 1/31/23 (n) | 204,000 | 199,410 | ||||||
Mondelez International, Inc., 2.375%, 3/06/35 | EUR | 100,000 | 97,829 | |||||
PepsiCo, Inc., 3.1%, 7/17/22 | $ | 634,000 | 642,002 | |||||
Sun Merger Sub, Inc., 5.875%, 8/01/21 (n) | 1,890,000 | 1,960,875 | ||||||
Tyson Foods, Inc., 6.6%, 4/01/16 | 412,000 | 424,895 | ||||||
Tyson Foods, Inc., 5.15%, 8/15/44 | 81,000 | 83,065 | ||||||
Wm. Wrigley Jr. Co., 2.9%, 10/21/19 (n) | 107,000 | 108,825 | ||||||
Wm. Wrigley Jr. Co., 3.375%, 10/21/20 (n) | 300,000 | 307,744 | ||||||
|
|
|||||||
$ | 6,686,373 | |||||||
Food & Drug Stores - 0.4% | ||||||||
CVS Health Corp., 3.375%, 8/12/24 | $ | 340,000 | $ | 333,291 | ||||
CVS Health Corp., 4.875%, 7/20/35 | 121,000 | 124,838 | ||||||
CVS Health Corp., 5.75%, 6/01/17 | 155,000 | 166,245 | ||||||
CVS Health Corp., 3.5%, 7/20/22 | 750,000 | 764,762 | ||||||
Walgreens Boots Alliance, Inc., 2.7%, 11/18/19 | 333,000 | 333,313 | ||||||
Walgreens Boots Alliance, Inc., 4.5%, 11/18/34 | 326,000 | 300,482 | ||||||
|
|
|||||||
$ | 2,022,931 |
8
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Forest & Paper Products - 0.2% | ||||||||
Appvion, Inc., 9%, 6/01/20 (n) | $ | 595,000 | $ | 333,200 | ||||
International Paper Co., 6%, 11/15/41 | 185,000 | 196,792 | ||||||
Smurfit Kappa Acquisitions, 2.75%, 2/01/25 (z) | EUR | 275,000 | 295,168 | |||||
Tembec Industries, Inc., 9%, 12/15/19 (n) | $ | 565,000 | 361,600 | |||||
|
|
|||||||
$ | 1,186,760 | |||||||
Gaming & Lodging - 2.0% | ||||||||
Boyd Gaming Corp., 6.875%, 5/15/23 | $ | 600,000 | $ | 616,500 | ||||
CCM Merger, Inc., 9.125%, 5/01/19 (n) | 1,055,000 | 1,123,575 | ||||||
Eldorado Resorts, Inc., 7%, 8/01/23 (n) | 180,000 | 178,650 | ||||||
Greektown Holdings LLC, 8.875%, 3/15/19 (n) | 1,025,000 | 1,071,125 | ||||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.625%, 10/15/21 | 1,890,000 | 1,970,325 | ||||||
Isle of Capri Casinos, Inc., 8.875%, 6/15/20 | 300,000 | 321,750 | ||||||
Isle of Capri Casinos, Inc., 5.875%, 3/15/21 | 1,505,000 | 1,550,150 | ||||||
MGM Resorts International, 6.625%, 12/15/21 | 745,000 | 791,563 | ||||||
MGM Resorts International, 6%, 3/15/23 | 785,000 | 796,775 | ||||||
RHP Hotel Properties, 5%, 4/15/23 (n) | 345,000 | 341,550 | ||||||
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/21 | 1,415,000 | 1,417,830 | ||||||
|
|
|||||||
$ | 10,179,793 | |||||||
Industrial - 1.0% | ||||||||
Anixter, Inc., 5.125%, 10/01/21 | $ | 765,000 | $ | 763,088 | ||||
Dematic S.A., 7.75%, 12/15/20 (n) | 1,515,000 | 1,545,300 | ||||||
Howard Hughes Corp., 6.875%, 10/01/21 (n) | 1,790,000 | 1,866,075 | ||||||
SPL Logistics Escrow LLC, 8.875%, 8/01/20 (n) | 590,000 | 628,350 | ||||||
|
|
|||||||
$ | 4,802,813 | |||||||
Insurance - 0.4% | ||||||||
American International Group, Inc., 3.75%, 7/10/25 | $ | 400,000 | $ | 401,764 | ||||
American International Group, Inc., 4.875%, 6/01/22 | 187,000 | 204,017 | ||||||
Aviva PLC, 5.7% to 9/29/15, FRN to 9/29/49 | EUR | 150,000 | 168,576 | |||||
CNP Assurances S.A., 6% to 9/14/20, FRN to 9/14/40 | EUR | 200,000 | 253,458 | |||||
Delta Lloyd N.V., FRN, 9%, 8/29/42 | EUR | 150,000 | 203,225 | |||||
Unum Group, 7.125%, 9/30/16 | $ | 500,000 | 529,319 | |||||
|
|
|||||||
$ | 1,760,359 | |||||||
Insurance - Health - 0.1% | ||||||||
UnitedHealth Group, Inc., 2.7%, 7/15/20 | $ | 528,000 | $ | 534,945 | ||||
Insurance - Property & Casualty - 0.3% | ||||||||
Amlin PLC, 6.5% to 12/19/16, FRN to 12/19/26 | GBP | 100,000 | $ | 155,115 | ||||
Berkshire Hathaway, Inc., 1.625%, 3/16/35 | EUR | 150,000 | 140,575 | |||||
Berkshire Hathaway, Inc., 4.5%, 2/11/43 | $ | 250,000 | 244,938 | |||||
Marsh & McLennan Cos., Inc., 3.5%, 6/03/24 | 159,000 | 157,277 | ||||||
QBE Capital Funding III Ltd., 7.5% to 5/24/21, FRN to 5/24/41 | GBP | 200,000 | 340,822 | |||||
ZFS Finance USA Trust V, 6.5% to 5/09/17, FRN to 5/09/67 (n) | $ | 627,000 | 648,945 | |||||
|
|
|||||||
$ | 1,687,672 | |||||||
International Market Quasi-Sovereign - 0.0% | ||||||||
Electricite de France S.A., 6% to 1/29/26, FRN to 12/29/49 | GBP | 100,000 | $ | 157,286 | ||||
International Market Sovereign - 10.7% | ||||||||
Buoni Poliennali del Tesoro, 5.5%, 9/01/22 | EUR | 925,000 | $ | 1,310,814 | ||||
Commonwealth of Australia, 5.75%, 5/15/21 | AUD | 2,565,000 | 2,175,929 | |||||
Federal Republic of Germany, 6.25%, 1/04/30 | EUR | 442,000 | 838,150 | |||||
Federal Republic of Germany, 2.5%, 7/04/44 | EUR | 120,000 | 167,282 |
9
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
International Market Sovereign - continued | ||||||||
Government of Canada, 3.25%, 6/01/21 | CAD | 187,000 | $ | 160,818 | ||||
Government of Canada, 2.75%, 6/01/22 | CAD | 6,500,000 | 5,475,791 | |||||
Government of Canada, 2.5%, 6/01/24 | CAD | 400,000 | 332,888 | |||||
Government of Canada, 5.75%, 6/01/33 | CAD | 618,000 | 727,099 | |||||
Government of Japan, 1.1%, 6/20/20 | JPY | 708,100,000 | 6,127,093 | |||||
Government of Japan, 2.1%, 9/20/24 | JPY | 262,600,000 | 2,509,770 | |||||
Government of Japan, 2.2%, 9/20/27 | JPY | 392,000,000 | 3,858,081 | |||||
Government of Japan, 1.8%, 3/20/43 | JPY | 81,000,000 | 732,611 | |||||
Government of New Zealand, 5.5%, 4/15/23 | NZD | 4,869,000 | 3,619,052 | |||||
Government of Norway, 3.75%, 5/25/21 | NOK | 31,200,000 | 4,343,062 | |||||
Government of Norway, 3%, 3/14/24 | NOK | 2,445,000 | 333,246 | |||||
Kingdom of Denmark, 3%, 11/15/21 | DKK | 1,392,000 | 242,330 | |||||
Kingdom of Denmark, 1.5%, 11/15/23 | DKK | 4,119,000 | 658,974 | |||||
Kingdom of Spain, 5.4%, 1/31/23 | EUR | 1,416,000 | 1,997,536 | |||||
Kingdom of Spain, 5.5%, 7/30/17 | EUR | 599,000 | 740,366 | |||||
Kingdom of Spain, 4.6%, 7/30/19 | EUR | 1,130,000 | 1,457,474 | |||||
Kingdom of Sweden, 5%, 12/01/20 | SEK | 3,565,000 | 529,796 | |||||
Kingdom of Sweden, 3.5%, 6/01/22 | SEK | 1,275,000 | 182,620 | |||||
Kingdom of the Netherlands, 5.5%, 1/15/28 | EUR | 335,000 | 563,599 | |||||
Republic of France, 6%, 10/25/25 | EUR | 141,000 | 231,907 | |||||
Republic of France, 4.75%, 4/25/35 | EUR | 468,000 | 777,963 | |||||
Republic of Ireland, 4.5%, 4/18/20 | EUR | 222,000 | 295,353 | |||||
Republic of Italy, 5.25%, 8/01/17 | EUR | 1,750,000 | 2,153,659 | |||||
Republic of Italy, 3.75%, 3/01/21 | EUR | 4,042,000 | 5,170,735 | |||||
United Kingdom Treasury, 8%, 6/07/21 | GBP | 1,260,000 | 2,630,792 | |||||
United Kingdom Treasury, 4.25%, 12/07/27 | GBP | 938,000 | 1,776,416 | |||||
United Kingdom Treasury, 4.25%, 3/07/36 | GBP | 515,000 | 1,013,903 | |||||
United Kingdom Treasury, 3.25%, 1/22/44 | GBP | 350,000 | 610,155 | |||||
|
|
|||||||
$ | 53,745,264 | |||||||
Internet - 0.1% | ||||||||
Baidu, Inc., 4.125%, 6/30/25 | $ | 203,000 | $ | 199,906 | ||||
Baidu, Inc., 3%, 6/30/20 | 200,000 | 198,557 | ||||||
|
|
|||||||
$ | 398,463 | |||||||
Local Authorities - 0.1% | ||||||||
Province of Alberta, 1.25%, 6/01/20 | CAD | 188,000 | $ | 142,306 | ||||
Province of Manitoba, 4.15%, 6/03/20 | CAD | 166,000 | 142,268 | |||||
|
|
|||||||
$ | 284,574 | |||||||
Machinery & Tools - 1.0% | ||||||||
Ashtead Capital, Inc., 5.625%, 10/01/24 (n) | $ | 1,685,000 | $ | 1,673,424 | ||||
H&E Equipment Services Co., 7%, 9/01/22 | 1,740,000 | 1,731,300 | ||||||
Jurassic Holdings III, Inc., 6.875%, 2/15/21 (n) | 1,200,000 | 843,000 | ||||||
Light Tower Rentals, Inc., 8.125%, 8/01/19 (n) | 815,000 | 546,050 | ||||||
|
|
|||||||
$ | 4,793,774 | |||||||
Major Banks - 2.7% | ||||||||
ABN AMRO North America Finance, Inc., 7.125%, 7/06/22 | EUR | 150,000 | $ | 211,422 | ||||
Bank of America Corp., 7.625%, 6/01/19 | $ | 370,000 | 437,389 | |||||
Bank of America Corp., 3.95%, 4/21/25 | 432,000 | 418,191 | ||||||
Bank of America Corp., FRN, 6.1%, 12/29/49 | 3,052,000 | 2,979,515 | ||||||
Barclays Bank PLC, 6%, 1/14/21 | EUR | 150,000 | 200,697 | |||||
Barclays Bank PLC, 6.75% to 1/16/18, FRN to 1/16/23 | GBP | 100,000 | 165,249 | |||||
Credit Agricole S.A., 7.375%, 12/18/23 | GBP | 100,000 | 190,054 |
10
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Major Banks - continued | ||||||||
Credit Agricole S.A., 7.875% to 10/26/19, FRN to 10/29/49 | EUR | 200,000 | $ | 265,950 | ||||
Goldman Sachs Group, Inc., 5.75%, 1/24/22 | $ | 500,000 | 568,322 | |||||
Goldman Sachs Group, Inc., 3.5%, 1/23/25 | 343,000 | 335,199 | ||||||
Huntington National Bank, 2.4%, 4/01/20 | 286,000 | 281,768 | ||||||
ING Bank N.V., 3.50% to 11/21/18, FRN to 11/21/23 | EUR | 250,000 | 294,729 | |||||
JPMorgan Chase & Co., 6.3%, 4/23/19 | $ | 500,000 | 567,171 | |||||
JPMorgan Chase & Co., 3.25%, 9/23/22 | 478,000 | 474,794 | ||||||
JPMorgan Chase & Co., 3.125%, 1/23/25 | 301,000 | 288,443 | ||||||
JPMorgan Chase & Co., 6.75% to 2/01/24, FRN to 1/29/49 | 215,000 | 226,825 | ||||||
JPMorgan Chase & Co., 6% to 8/01/23, FRN to 12/29/49 | 2,320,000 | 2,296,800 | ||||||
Morgan Stanley, 6.625%, 4/01/18 | 391,000 | 435,787 | ||||||
Morgan Stanley, 2.2%, 12/07/18 | 238,000 | 239,007 | ||||||
Morgan Stanley, 3.95%, 4/23/27 | 229,000 | 218,100 | ||||||
Nationwide Building Society, 1.25%, 3/03/25 | EUR | 240,000 | 255,178 | |||||
PNC Bank N.A., 2.6%, 7/21/20 | $ | 295,000 | 295,976 | |||||
Royal Bank of Scotland Group PLC, 5.5%, 3/23/20 | EUR | 150,000 | 200,672 | |||||
Royal Bank of Scotland Group PLC, 7.5% to 8/10/2020, FRN to 12/29/49 | $ | 640,000 | 641,600 | |||||
Royal Bank of Scotland Group PLC, 8% to 2025, FRN to 12/29/49 | 200,000 | 204,250 | ||||||
Royal Bank of Scotland Group PLC, FRN, 3.625%, 3/25/24 | EUR | 250,000 | 287,674 | |||||
Wells Fargo & Co., 3%, 2/19/25 | $ | 306,000 | 294,653 | |||||
Wells Fargo & Co., 4.1%, 6/03/26 | 100,000 | 100,488 | ||||||
Wells Fargo & Co., 5.875% to 6/15/25, FRN to 12/29/49 | 151,000 | 154,586 | ||||||
Wells Fargo & Co., 5.9% to 6/15/24, FRN to 12/29/49 | 253,000 | 253,949 | ||||||
|
|
|||||||
$ | 13,784,438 | |||||||
Medical & Health Technology & Services - 4.0% | ||||||||
Becton, Dickinson and Co., 2.675%, 12/15/19 | $ | 434,000 | $ | 434,165 | ||||
Becton, Dickinson and Co., 3.734%, 12/15/24 | 97,000 | 96,720 | ||||||
CHS/Community Health Systems, Inc., 5.125%, 8/01/21 | 235,000 | 241,463 | ||||||
CHS/Community Health Systems, Inc., 6.875%, 2/01/22 | 1,770,000 | 1,881,174 | ||||||
Davita Healthcare Partners, Inc., 5%, 5/01/25 | 1,115,000 | 1,092,700 | ||||||
Davita, Inc., 5.125%, 7/15/24 | 935,000 | 930,909 | ||||||
Fresenius US Finance II, Inc., 4.25%, 2/01/21 (n) | 32,000 | 32,480 | ||||||
HCA, Inc., 4.25%, 10/15/19 | 145,000 | 147,900 | ||||||
HCA, Inc., 7.5%, 2/15/22 | 2,160,000 | 2,477,930 | ||||||
HCA, Inc., 5.875%, 3/15/22 | 1,950,000 | 2,120,625 | ||||||
HCA, Inc., 5%, 3/15/24 | 690,000 | 706,388 | ||||||
HCA, Inc., 5.375%, 2/01/25 | 520,000 | 527,800 | ||||||
HealthSouth Corp., 5.125%, 3/15/23 | 1,180,000 | 1,168,200 | ||||||
HealthSouth Corp., 5.75%, 11/01/24 (n) | 640,000 | 648,896 | ||||||
Laboratory Corp. of America Holdings, 3.2%, 2/01/22 | 200,000 | 195,646 | ||||||
Laboratory Corp. of America Holdings, 4.7%, 2/01/45 | 310,000 | 282,969 | ||||||
LifePoint Hospitals, Inc., 5.5%, 12/01/21 | 1,440,000 | 1,500,300 | ||||||
McKesson Corp., 7.5%, 2/15/19 | 110,000 | 127,857 | ||||||
Tenet Healthcare Corp., 8%, 8/01/20 | 1,800,000 | 1,878,750 | ||||||
Tenet Healthcare Corp., 4.5%, 4/01/21 | 1,235,000 | 1,241,175 | ||||||
Tenet Healthcare Corp., 8.125%, 4/01/22 | 685,000 | 758,638 | ||||||
Tenet Healthcare Corp., 6.75%, 6/15/23 | 360,000 | 370,800 | ||||||
Universal Health Services, Inc., 7.625%, 8/15/20 | 1,325,000 | 1,277,797 | ||||||
|
|
|||||||
$ | 20,141,282 | |||||||
Medical Equipment - 0.9% | ||||||||
Alere, Inc., 6.375%, 7/01/23 (n) | $ | 678,000 | $ | 694,950 | ||||
DJO Finco, Inc., 8.125%, 6/15/21 (n) | 795,000 | 822,428 | ||||||
Hologic, Inc., 5.25%, 7/15/22 (n) | 1,065,000 | 1,084,969 |
11
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Medical Equipment - continued | ||||||||
Medtronic, Inc., 3.5%, 3/15/25 | $ | 615,000 | $ | 612,502 | ||||
Teleflex, Inc., 5.25%, 6/15/24 | 1,220,000 | 1,223,050 | ||||||
Zimmer Holdings, Inc., 4.25%, 8/15/35 | 145,000 | 133,252 | ||||||
Zimmer Holdings, Inc., 4.45%, 8/15/45 | 91,000 | 82,348 | ||||||
|
|
|||||||
$ | 4,653,499 | |||||||
Metals & Mining - 2.7% | ||||||||
Barrick International (Barbados) Corp., 5.75%, 10/15/16 (n) | $ | 500,000 | $ | 521,615 | ||||
Cameco Corp., 5.67%, 9/02/19 | CAD | 262,000 | 222,730 | |||||
Century Aluminum Co., 7.5%, 6/01/21 (n) | $ | 915,000 | 869,250 | |||||
Commercial Metals Co., 4.875%, 5/15/23 | 745,000 | 659,325 | ||||||
Consol Energy, Inc., 5.875%, 4/15/22 | 1,315,000 | 940,225 | ||||||
Consol Energy, Inc., 8%, 4/01/23 (n) | 830,000 | 626,650 | ||||||
First Quantum Minerals Ltd., 7.25%, 10/15/19 (n) | 1,575,000 | 1,134,000 | ||||||
First Quantum Minerals Ltd., 7.25%, 5/15/22 (n) | 1,032,000 | 719,820 | ||||||
Glencore Finance (Europe) S.A., 6.5%, 2/27/19 | GBP | 50,000 | 82,807 | |||||
GrafTech International Co., 6.375%, 11/15/20 | $ | 1,125,000 | 888,750 | |||||
Hudbay Minerals, Inc., 9.5%, 10/01/20 | 795,000 | 721,225 | ||||||
Kinross Gold Corp., 5.95%, 3/15/24 | 296,000 | 251,232 | ||||||
Lundin Mining Corp., 7.5%, 11/01/20 (n) | 455,000 | 449,313 | ||||||
Lundin Mining Corp., 7.875%, 11/01/22 (n) | 805,000 | 792,925 | ||||||
Plains Exploration & Production Co., 6.875%, 2/15/23 | 296,000 | 265,660 | ||||||
Southern Copper Corp., 5.25%, 11/08/42 | 250,000 | 203,275 | ||||||
Southern Copper Corp., 5.875%, 4/23/45 | 475,000 | 407,973 | ||||||
Steel Dynamics, Inc., 5.125%, 10/01/21 | 430,000 | 421,615 | ||||||
Steel Dynamics, Inc., 5.25%, 4/15/23 | 995,000 | 966,394 | ||||||
Steel Dynamics, Inc., 5.5%, 10/01/24 | 430,000 | 417,638 | ||||||
Suncoke Energy Partners LP/Suncoke Energy Partners Finance Corp., 7.375%, 2/01/20 (n) | 910,000 | 825,825 | ||||||
Suncoke Energy Partners LP/Suncoke Energy Partners Finance Corp., 7.375%, 2/01/20 (n) | 380,000 | 344,850 | ||||||
Suncoke Energy, Inc., 7.625%, 8/01/19 | 127,000 | 129,540 | ||||||
TMS International Corp., 7.625%, 10/15/21 (n) | 530,000 | 506,150 | ||||||
Xstrata Finance (Canada) Ltd., 5.25%, 6/13/17 | EUR | 200,000 | 239,731 | |||||
|
|
|||||||
$ | 13,608,518 | |||||||
Midstream - 4.7% | ||||||||
Access Midstream Partner LP, 4.875%, 3/15/24 | $ | 100,000 | $ | 93,244 | ||||
AmeriGas Finance LLC, 6.75%, 5/20/20 | 1,810,000 | 1,868,825 | ||||||
APT Pipelines Ltd., 5%, 3/23/35 (n) | 280,000 | 258,887 | ||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/22 (n) | 840,000 | 823,200 | ||||||
Crestwood Midstream Partners LP, 6%, 12/15/20 | 1,035,000 | 978,075 | ||||||
Crestwood Midstream Partners LP, 6.125%, 3/01/22 | 505,000 | 459,550 | ||||||
Crestwood Midstream Partners LP, 6.25%, 4/01/23 (n) | 194,000 | 175,570 | ||||||
El Paso Corp., 7.75%, 1/15/32 | 2,311,000 | 2,484,630 | ||||||
Energy Transfer Equity LP, 7.5%, 10/15/20 | 1,600,000 | 1,714,032 | ||||||
Energy Transfer Partners LP, 3.6%, 2/01/23 | 300,000 | 270,812 | ||||||
Energy Transfer Partners LP, 5.15%, 3/15/45 | 280,000 | 235,967 | ||||||
Enterprise Products Operating LLC, 1.65%, 5/07/18 | 296,000 | 293,422 | ||||||
Enterprise Products Operating LLC, 4.85%, 3/15/44 | 74,000 | 66,722 | ||||||
Enterprise Products Partners LP, 6.3%, 9/15/17 | 180,000 | 195,857 | ||||||
Ferrellgas LP/Ferrellgas Finance Corp., 6.5%, 5/01/21 | 1,165,000 | 1,118,400 | ||||||
Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, 1/15/22 | 1,250,000 | 1,206,250 | ||||||
Kinder Morgan Energy Partners LP, 5.3%, 9/15/20 | 370,000 | 394,376 | ||||||
Kinder Morgan Energy Partners LP, 5.4%, 9/01/44 | 140,000 | 116,807 | ||||||
Kinder Morgan, Inc., 2.25%, 3/16/27 | EUR | 125,000 | 117,994 | |||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 5.5%, 2/15/23 | $ | 665,000 | 651,700 |
12
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Midstream - continued | ||||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 4.5%, 7/15/23 | $ | 1,150,000 | $ | 1,063,750 | ||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 4.875%, 12/01/24 | 300,000 | 278,250 | ||||||
Pembina Pipeline Corp., 4.81%, 3/25/44 | CAD | 306,000 | 215,661 | |||||
Plains All American Pipeline LP, 3.95%, 9/15/15 | $ | 370,000 | 370,466 | |||||
Sabine Pass Liquefaction LLC, 5.625%, 2/01/21 | 1,305,000 | 1,285,425 | ||||||
Sabine Pass Liquefaction LLC, 5.625%, 4/15/23 | 1,755,000 | 1,704,544 | ||||||
Sabine Pass Liquefaction LLC, 5.75%, 5/15/24 | 575,000 | 562,063 | ||||||
Sabine Pass Liquefaction LLC, 5.625%, 3/01/25 (n) | 764,000 | 738,693 | ||||||
Spectra Energy Capital LLC, 8%, 10/01/19 | 250,000 | 292,128 | ||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.5%, 7/01/21 | 530,000 | 530,000 | ||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.5%, 8/15/22 | 925,000 | 818,625 | ||||||
Sunoco Logistics Partners LP, 5.3%, 4/01/44 | 158,000 | 133,848 | ||||||
Sunoco Logistics Partners LP, 5.35%, 5/15/45 | 76,000 | 64,899 | ||||||
Targa Resources Partners LP/Targa Resources Finance Corp., 5%, 1/15/18 (n) | 345,000 | 341,550 | ||||||
Targa Resources Partners LP/Targa Resources Finance Corp., 4.125%, 11/15/19 (n) | 1,050,000 | 989,625 | ||||||
Targa Resources Partners LP/Targa Resources Finance Corp., 5.25%, 5/01/23 | 410,000 | 385,400 | ||||||
Williams Cos., Inc., 3.7%, 1/15/23 | 450,000 | 390,223 | ||||||
|
|
|||||||
$ | 23,689,470 | |||||||
Mortgage-Backed - 1.4% | ||||||||
Fannie Mae, 6%, 7/01/16 - 2/01/37 | $ | 196,441 | $ | 216,880 | ||||
Fannie Mae, 5.5%, 9/01/19 - 7/01/35 | 620,030 | 677,043 | ||||||
Fannie Mae, 6.5%, 4/01/32 - 1/01/33 | 67,195 | 77,775 | ||||||
Fannie Mae, FRN, 0.449%, 5/25/18 | 5,887,824 | 5,890,850 | ||||||
Freddie Mac, 6%, 8/01/34 | 106,420 | 121,473 | ||||||
|
|
|||||||
$ | 6,984,021 | |||||||
Natural Gas - Distribution - 0.1% | ||||||||
GNL Quintero S.A., 4.634%, 7/31/29 (n) | $ | 523,000 | $ | 510,622 | ||||
Network & Telecom - 1.7% | ||||||||
AT&T, Inc., 2.45%, 6/30/20 | $ | 277,000 | $ | 274,521 | ||||
AT&T, Inc., 4.75%, 5/15/46 | 235,000 | 214,206 | ||||||
British Telecom PLC, 5.75%, 12/07/28 | GBP | 150,000 | 274,669 | |||||
Centurylink, Inc., 6.45%, 6/15/21 | $ | 425,000 | 424,405 | |||||
Centurylink, Inc., 7.65%, 3/15/42 | 960,000 | 820,800 | ||||||
Citizens Communications Co., 9%, 8/15/31 | 1,135,000 | 1,000,928 | ||||||
Columbus International, Inc., 7.375%, 3/30/21 (n) | 200,000 | 210,500 | ||||||
Frontier Communications Corp., 8.125%, 10/01/18 | 470,000 | 507,600 | ||||||
Frontier Communications Corp., 6.25%, 9/15/21 | 315,000 | 287,564 | ||||||
Frontier Communications Corp., 7.125%, 1/15/23 | 425,000 | 383,775 | ||||||
OTE PLC, 7.875%, 2/07/18 | EUR | 150,000 | 171,255 | |||||
OTE PLC, 3.5%, 7/09/20 | EUR | 260,000 | 254,560 | |||||
Telecom Italia Capital, 6%, 9/30/34 | $ | 305,000 | 298,900 | |||||
Telecom Italia Finance S.A., 7.75%, 1/24/33 | EUR | 85,000 | 126,139 | |||||
Telecom Italia S.p.A., 5.375%, 1/29/19 | EUR | 200,000 | 249,914 | |||||
Telecom Italia S.p.A., 5.303%, 5/30/24 (n) | $ | 1,200,000 | 1,209,000 | |||||
Telefonica Celular del Paraguay S.A., 6.75%, 12/13/22 | 517,000 | 520,878 | ||||||
Verizon Communications, Inc., 4.5%, 9/15/20 | 503,000 | 540,347 | ||||||
Verizon Communications, Inc., 5.15%, 9/15/23 | 250,000 | 274,077 | ||||||
Verizon Communications, Inc., 2.625%, 12/01/31 | EUR | 225,000 | 249,050 | |||||
Verizon Communications, Inc., 6.4%, 9/15/33 | $ | 300,000 | 344,006 | |||||
|
|
|||||||
$ | 8,637,094 |
13
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Oil Services - 1.0% | ||||||||
Bristow Group, Inc., 6.25%, 10/15/22 | $ | 2,348,000 | $ | 2,066,240 | ||||
Odebrecht Offshore Drilling Finance Ltd., 6.75%, 10/01/22 (n) | 978,842 | 557,940 | ||||||
Pacific Drilling S.A., 5.375%, 6/01/20 (n) | 1,160,000 | 835,200 | ||||||
QGOG Constellation S.A., 6.25%, 11/09/19 (n) | 1,390,000 | 764,500 | ||||||
Shale-Inland Holdings LLC/Finance Co., 8.75%, 11/15/19 (n) | 780,000 | 577,200 | ||||||
|
|
|||||||
$ | 4,801,080 | |||||||
Oils - 0.4% | ||||||||
CITGO Holding, Inc., 10.75%, 2/15/20 (n) | $ | 715,000 | $ | 706,063 | ||||
CITGO Petroleum Corp., 6.25%, 8/15/22 (n) | 1,100,000 | 1,067,000 | ||||||
Valero Energy Corp., 4.9%, 3/15/45 | 232,000 | 209,870 | ||||||
|
|
|||||||
$ | 1,982,933 | |||||||
Other Banks & Diversified Financials - 2.0% | ||||||||
Banco de Credito del Peru, 6.125% to 4/24/22, FRN to 4/24/27 (n) | $ | 1,036,000 | $ | 1,087,800 | ||||
Banco Inbursa S.A. Institucion de Banca Multiple Grupo Financiero Inbursa, 4.125%, 6/06/24 (n) | 310,000 | 302,250 | ||||||
Banco Popolare Societa Cooperativa, 3.5%, 3/14/19 | EUR | 320,000 | 368,449 | |||||
Bankia S.A., 3.5%, 1/17/19 | EUR | 200,000 | 233,388 | |||||
Banque Federative du Credit Mutuel S.A., 3%, 5/21/24 | EUR | 200,000 | 229,450 | |||||
BBVA Bancomer S.A. de C.V., 6.5%, 3/10/21 (n) | $ | 900,000 | 966,375 | |||||
BBVA Bancomer S.A. de C.V., 6.75%, 9/30/22 (n) | 1,004,000 | 1,087,332 | ||||||
CaixaBank S.A., 5% to 9/04/18, FRN to 11/14/23 | EUR | 200,000 | 236,705 | |||||
Capital One Bank (USA) N.A., 3.375%, 2/15/23 | $ | 384,000 | 365,209 | |||||
Capital One Financial Corp., 2.35%, 8/17/18 | 806,000 | 805,526 | ||||||
Citigroup, Inc., 2.15%, 7/30/18 | 428,000 | 427,916 | ||||||
Citigroup, Inc., 8.5%, 5/22/19 | 341,000 | 411,768 | ||||||
Discover Bank, 7%, 4/15/20 | 250,000 | 288,206 | ||||||
Discover Bank, 4.25%, 3/13/26 | 148,000 | 146,703 | ||||||
Discover Financial Services, 3.75%, 3/04/25 | 128,000 | 121,484 | ||||||
Groupe BPCE S.A., 12.5% to 9/30/19, FRN to 8/29/49 (n) | 1,513,000 | 1,986,766 | ||||||
Halyk Savings Bank of Kazakhstan B.V., 7.25%, 1/28/21 | 516,000 | 517,662 | ||||||
Intesa Sanpaolo S.p.A., 5.25%, 1/28/22 | GBP | 100,000 | 168,572 | |||||
LBG Capital No. 2 PLC, 6.385%, 5/12/20 | EUR | 250,000 | 316,244 | |||||
Macquarie Group Ltd., 3%, 12/03/18 (n) | $ | 106,000 | 107,186 | |||||
|
|
|||||||
$ | 10,174,991 | |||||||
Pharmaceuticals - 2.7% | ||||||||
AbbVie, Inc., 1.75%, 11/06/17 | $ | 300,000 | $ | 299,747 | ||||
AbbVie, Inc., 2.5%, 5/14/20 | 717,000 | 708,871 | ||||||
Actavis Funding SCS, 3.8%, 3/15/25 | 256,000 | 247,752 | ||||||
Actavis Funding SCS, 4.85%, 6/15/44 | 52,000 | 47,563 | ||||||
Bayer AG, 3.00% to 7/01/20, FRN to 7/01/75 | EUR | 215,000 | 247,428 | |||||
Celgene Corp., 1.9%, 8/15/17 | $ | 400,000 | 401,485 | |||||
Celgene Corp., 2.875%, 8/15/20 | 524,000 | 524,966 | ||||||
EMD Finance LLC, 2.95%, 3/19/22 (n) | 275,000 | 269,567 | ||||||
Endo Finance LLC/Endo Finco, Inc., 6%, 7/15/23 (n) | 310,000 | 322,400 | ||||||
Endo Finance LLC/Endo Finco, Inc., 7.75%, 1/15/22 (n) | 1,690,000 | 1,804,075 | ||||||
Endo Finance LLC/Endo Finco, Inc., 6%, 2/01/25 (n) | 450,000 | 462,375 | ||||||
Forest Laboratories, Inc., 4.375%, 2/01/19 (n) | 496,000 | 518,297 | ||||||
Gilead Sciences, Inc., 2.35%, 2/01/20 | 52,000 | 52,058 | ||||||
Gilead Sciences, Inc., 3.7%, 4/01/24 | 268,000 | 271,449 | ||||||
Hospira, Inc., 6.05%, 3/30/17 | 200,000 | 213,967 | ||||||
Hospira, Inc., 5.2%, 8/12/20 | 175,000 | 195,553 | ||||||
Mallinckrodt International Finance S.A., 5.75%, 8/01/22 (n) | 1,085,000 | 1,108,328 | ||||||
Mallinckrodt International Finance S.A., 5.5%, 4/15/25 (n) | 135,000 | 133,988 |
14
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Pharmaceuticals - continued | ||||||||
Mylan, Inc., 2.55%, 3/28/19 | $ | 265,000 | $ | 259,723 | ||||
Perrigo Finance PLC, 3.5%, 12/15/21 | 281,000 | 274,273 | ||||||
Valeant Pharmaceuticals International, Inc., 7%, 10/01/20 (n) | 1,415,000 | 1,464,525 | ||||||
Valeant Pharmaceuticals International, Inc., 7.25%, 7/15/22 (n) | 1,730,000 | 1,820,825 | ||||||
Valeant Pharmaceuticals International, Inc., 5.5%, 3/01/23 (n) | 260,000 | 263,575 | ||||||
Vantage Point Imaging, 7.5%, 7/15/21 (n) | 525,000 | 563,719 | ||||||
VRX Escrow Corp., 5.875%, 5/15/23 (n) | 615,000 | 627,300 | ||||||
Watson Pharmaceuticals, Inc., 1.875%, 10/01/17 | 200,000 | 199,237 | ||||||
|
|
|||||||
$ | 13,303,046 | |||||||
Pollution Control - 0.1% | ||||||||
Abengoa Finance S.A.U., 7.75%, 2/01/20 (n) | $ | 1,035,000 | $ | 615,825 | ||||
Precious Metals & Minerals - 0.6% | ||||||||
Aurico Gold, Inc., 7.75%, 4/01/20 (n) | $ | 1,550,000 | $ | 1,395,000 | ||||
Eldorado Gold Corp., 6.125%, 12/15/20 (n) | 1,980,000 | 1,702,800 | ||||||
|
|
|||||||
$ | 3,097,800 | |||||||
Printing & Publishing - 1.1% | ||||||||
American Media, Inc., 13.5%, 6/15/18 (z) | $ | 11,911 | $ | 12,239 | ||||
Gannett Co., Inc., 5.125%, 10/15/19 | 320,000 | 330,400 | ||||||
Gannett Co., Inc., 5.125%, 7/15/20 | 260,000 | 269,100 | ||||||
Gannett Co., Inc., 4.875%, 9/15/21 (n) | 430,000 | 424,625 | ||||||
Gannett Co., Inc., 6.375%, 10/15/23 | 1,385,000 | 1,450,783 | ||||||
Moodys Corp., 4.875%, 2/15/24 | 200,000 | 208,973 | ||||||
Nielsen Finance LLC, 5%, 4/15/22 (n) | 1,680,000 | 1,656,900 | ||||||
Outdoor Americas Capital LLC/Outfront Media Capital Corp., 5.625%, 2/15/24 | 1,000,000 | 1,023,750 | ||||||
Outfront Media Cap LLC, 5.625%, 2/15/24 (n) | 70,000 | 72,100 | ||||||
|
|
|||||||
$ | 5,448,870 | |||||||
Railroad & Shipping - 0.1% | ||||||||
Union Pacific Corp., 3.875%, 2/01/55 | $ | 400,000 | $ | 347,816 | ||||
Real Estate - Apartment - 0.1% | ||||||||
Deutsche Annington Finance B.V., FRN, 4.625%, 4/08/74 | EUR | 200,000 | $ | 232,465 | ||||
Deutsche Annington Immobilien SE, 2.125%, 7/09/22 | EUR | 225,000 | 258,738 | |||||
|
|
|||||||
$ | 491,203 | |||||||
Real Estate - Healthcare - 0.4% | ||||||||
MPT Operating Partnership LP, REIT, 6.875%, 5/01/21 | $ | 680,000 | $ | 714,000 | ||||
MPT Operating Partnership LP, REIT, 6.375%, 2/15/22 | 1,115,000 | 1,174,931 | ||||||
|
|
|||||||
$ | 1,888,931 | |||||||
Real Estate - Office - 0.1% | ||||||||
Boston Properties, Inc., REIT, 3.125%, 9/01/23 | $ | 250,000 | $ | 240,686 | ||||
Real Estate - Other - 0.5% | ||||||||
DuPont Fabros Technology LP, REIT, 5.875%, 9/15/21 | $ | 1,010,000 | $ | 1,042,825 | ||||
Felcor Lodging LP, REIT, 5.625%, 3/01/23 | 1,240,000 | 1,277,200 | ||||||
Host Hotels & Resorts, Inc., REIT, 4%, 6/15/25 | 190,000 | 184,703 | ||||||
|
|
|||||||
$ | 2,504,728 | |||||||
Real Estate - Retail - 0.3% | ||||||||
Brixmor Operating Partnership LP, REIT, 3.875%, 8/15/22 | $ | 585,000 | $ | 584,474 | ||||
Hammerson PLC, REIT, 2.75%, 9/26/19 | EUR | 100,000 | 119,217 | |||||
Hammerson PLC, REIT, 6%, 2/23/26 | GBP | 125,000 | 234,690 |
15
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Real Estate - Retail - continued | ||||||||
Simon Property Group, Inc., REIT, 10.35%, 4/01/19 | $ | 360,000 | $ | 452,484 | ||||
|
|
|||||||
$ | 1,390,865 | |||||||
Restaurants - 0.0% | ||||||||
YUM! Brands, Inc., 5.35%, 11/01/43 | $ | 250,000 | $ | 237,802 | ||||
Retailers - 1.8% | ||||||||
Bed Bath & Beyond, Inc., 5.165%, 8/01/44 | $ | 145,000 | $ | 139,394 | ||||
Best Buy Co., Inc., 5.5%, 3/15/21 | 1,785,000 | 1,896,563 | ||||||
Bon Ton Stores, Inc., 8%, 6/15/21 | 505,000 | 328,250 | ||||||
Dollar General Corp., 4.125%, 7/15/17 | 400,000 | 413,728 | ||||||
Dollar General Corp., 3.25%, 4/15/23 | 98,000 | 93,217 | ||||||
DriveTime Automotive Group, Inc./DT Acceptance Corp., 8%, 6/01/21 (n) | 726,000 | 671,550 | ||||||
Family Tree Escrow LLC, 5.75%, 3/01/23 (n) | 1,600,000 | 1,676,000 | ||||||
Gap, Inc., 5.95%, 4/12/21 | 300,000 | 332,173 | ||||||
Home Depot, Inc., 4.875%, 2/15/44 | 200,000 | 212,788 | ||||||
Jo-Ann Stores Holdings, Inc., 9.75%, 10/15/19 (n) | 610,000 | 512,400 | ||||||
Kohls Corp., 4.25%, 7/17/25 | 634,000 | 617,222 | ||||||
Marks & Spencer Group PLC, 4.75%, 6/12/25 | GBP | 100,000 | 165,277 | |||||
Neiman Marcus Group Ltd., 8%, 10/15/21 (n) | $ | 620,000 | 654,100 | |||||
Rite Aid Corp., 9.25%, 3/15/20 | 515,000 | 554,591 | ||||||
Rite Aid Corp., 6.75%, 6/15/21 | 385,000 | 406,135 | ||||||
Rite Aid Corp., 6.125%, 4/01/23 (n) | 485,000 | 497,731 | ||||||
|
|
|||||||
$ | 9,171,119 | |||||||
Specialty Chemicals - 0.6% | ||||||||
Chemtura Corp., 5.75%, 7/15/21 | $ | 1,890,000 | $ | 1,894,725 | ||||
Ecolab, Inc., 2.625%, 7/08/25 | EUR | 100,000 | 116,131 | |||||
Mexichem S.A.B. de C.V., 5.875%, 9/17/44 (n) | $ | 238,000 | 211,225 | |||||
Univar USA, Inc., 6.75%, 7/15/23 (n) | 1,015,000 | 1,009,925 | ||||||
|
|
|||||||
$ | 3,232,006 | |||||||
Specialty Stores - 0.9% | ||||||||
Argos Merger Sub, Inc., 7.125%, 3/15/23 (n) | $ | 970,000 | $ | 1,016,075 | ||||
Group 1 Automotive, Inc., 5%, 6/01/22 | 1,400,000 | 1,389,500 | ||||||
Michaels Stores, Inc., 5.875%, 12/15/20 (n) | 1,120,000 | 1,173,200 | ||||||
Office Depot de Mexico S.A. de C.V., 6.875%, 9/20/20 (n) | 769,000 | 789,917 | ||||||
|
|
|||||||
$ | 4,368,692 | |||||||
Supermarkets - 0.1% | ||||||||
Loblaw Cos. Ltd., 4.86%, 9/12/23 | CAD | 262,000 | $ | 224,074 | ||||
William Morrison Supermarkets PLC, 3.5%, 7/27/26 | GBP | 100,000 | 139,064 | |||||
|
|
|||||||
$ | 363,138 | |||||||
Supranational - 1.7% | ||||||||
European Investment Bank, 1.75%, 3/15/17 | $ | 8,000,000 | $ | 8,121,824 | ||||
International Bank for Reconstruction and Development, 4.25%, 6/24/25 | AUD | 210,000 | 162,668 | |||||
International Finance Corp., 3.25%, 7/22/19 | AUD | 305,000 | 223,804 | |||||
|
|
|||||||
$ | 8,508,296 | |||||||
Telecommunications - Wireless - 4.2% | ||||||||
America Movil S.A.B. de C.V., 1%, 6/04/18 | EUR | 100,000 | $ | 113,185 | ||||
America Movil S.A.B. de C.V., 4.75%, 6/28/22 | EUR | 200,000 | 271,235 | |||||
American Tower Corp., REIT, 3.5%, 1/31/23 | $ | 465,000 | 442,564 | |||||
Bharti Airtel International B.V., 3.375%, 5/20/21 (n) | EUR | 100,000 | 117,714 |
16
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Telecommunications - Wireless - continued | ||||||||
Bharti Airtel Ltd., 4.375%, 6/10/25 (z) | $ | 395,000 | $ | 393,365 | ||||
Crown Castle International Corp., 4.875%, 4/15/22 | 385,000 | 395,106 | ||||||
Crown Castle International Corp., 5.25%, 1/15/23 | 1,200,000 | 1,255,500 | ||||||
Digicel Group Ltd., 8.25%, 9/30/20 (n) | 1,053,000 | 974,025 | ||||||
Digicel Group Ltd., 6%, 4/15/21 (n) | 680,000 | 622,751 | ||||||
Digicel Group Ltd., 7.125%, 4/01/22 (n) | 425,000 | 370,281 | ||||||
Digicel Group Ltd., 6.75%, 3/01/23 (n) | 1,350,000 | 1,238,625 | ||||||
Eileme 2 AB, 11.625%, 1/31/20 (n) | 765,000 | 836,719 | ||||||
Millicom International Cellular S.A., 4.75%, 5/22/20 (n) | 390,000 | 373,425 | ||||||
Millicom International Cellular S.A., 6.625%, 10/15/21 (n) | 409,000 | 407,160 | ||||||
MTS International Funding Ltd., 5%, 5/30/23 (n) | 488,000 | 424,560 | ||||||
SBA Tower Trust, 2.898%, 10/15/44 (n) | 220,000 | 218,912 | ||||||
Sprint Capital Corp., 6.875%, 11/15/28 | 1,625,000 | 1,397,500 | ||||||
Sprint Corp., 7.875%, 9/15/23 | 955,000 | 917,994 | ||||||
Sprint Corp., 7.125%, 6/15/24 | 1,655,000 | 1,530,362 | ||||||
Sprint Nextel Corp., 9%, 11/15/18 (n) | 880,000 | 980,100 | ||||||
Sprint Nextel Corp., 6%, 11/15/22 | 830,000 | 747,000 | ||||||
T-Mobile USA, Inc., 6.125%, 1/15/22 | 135,000 | 139,219 | ||||||
T-Mobile USA, Inc., 6.5%, 1/15/24 | 615,000 | 631,913 | ||||||
T-Mobile USA, Inc., 6.464%, 4/28/19 | 235,000 | 241,756 | ||||||
T-Mobile USA, Inc., 6.25%, 4/01/21 | 2,590,000 | 2,674,952 | ||||||
T-Mobile USA, Inc., 6.633%, 4/28/21 | 515,000 | 538,175 | ||||||
Wind Acquisition Finance S.A., 4%, 7/15/20 (n) | EUR | 200,000 | 226,450 | |||||
Wind Acquisition Finance S.A., 4.75%, 7/15/20 (n) | $ | 1,070,000 | 1,078,025 | |||||
Wind Acquisition Finance S.A., 7.375%, 4/23/21 (n) | 1,350,000 | 1,380,375 | ||||||
|
|
|||||||
$ | 20,938,948 | |||||||
Telephone Services - 0.8% | ||||||||
B Communications Ltd., 7.375%, 2/15/21 (n) | $ | 1,821,000 | $ | 1,948,470 | ||||
Level 3 Financing, Inc., 8.625%, 7/15/20 | 630,000 | 667,485 | ||||||
Level 3 Financing, Inc., 5.375%, 5/01/25 (n) | 1,270,000 | 1,227,138 | ||||||
TELUS Corp., 5.05%, 7/23/20 | CAD | 265,000 | 227,071 | |||||
|
|
|||||||
$ | 4,070,164 | |||||||
Tobacco - 0.4% | ||||||||
Altria Group, Inc., 2.85%, 8/09/22 | $ | 376,000 | $ | 361,733 | ||||
Imperial Tobacco Finance PLC, 4.25%, 7/21/25 (z) | 455,000 | 449,753 | ||||||
Philip Morris International, Inc., 4.875%, 11/15/43 | 174,000 | 182,500 | ||||||
Reynolds American, Inc., 8.125%, 6/23/19 (n) | 92,000 | 108,497 | ||||||
Reynolds American, Inc., 6.75%, 6/15/17 | 400,000 | 432,752 | ||||||
Reynolds American, Inc., 3.25%, 6/12/20 | 75,000 | 75,980 | ||||||
Reynolds American, Inc., 4.45%, 6/12/25 | 98,000 | 100,704 | ||||||
Reynolds American, Inc., 5.7%, 8/15/35 | 118,000 | 124,924 | ||||||
|
|
|||||||
$ | 1,836,843 | |||||||
Transportation - Services - 1.3% | ||||||||
ERAC USA Finance LLC, 6.375%, 10/15/17 (n) | $ | 400,000 | $ | 437,077 | ||||
ERAC USA Finance LLC, 7%, 10/15/37 (n) | 250,000 | 306,538 | ||||||
Heathrow Funding Ltd., 4.625%, 10/31/48 | GBP | 100,000 | 162,881 | |||||
HIT Finance B.V., 4.875%, 10/27/21 | EUR | 150,000 | 201,391 | |||||
Jack Cooper Holdings Corp., 10.25%, 6/01/20 (n) | $ | 1,140,000 | 1,037,400 | |||||
Navios Maritime Acquisition Corp., 8.125%, 11/15/21 (n) | 1,349,000 | 1,288,295 | ||||||
Navios Maritime Holding, Inc., 7.375%, 1/15/22 (n) | 1,045,000 | 867,350 | ||||||
Stena AB, 7%, 2/01/24 (n) | 1,770,000 | 1,548,750 | ||||||
Syncreon Group BV/Syncre, 8.625%, 11/01/21 (n) | 670,000 | 479,050 |
17
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Transportation - Services - continued | ||||||||
Topaz Marine S.A., 8.625%, 11/01/18 (n) | $ | 208,000 | $ | 195,260 | ||||
|
|
|||||||
$ | 6,523,992 | |||||||
U.S. Government Agencies and Equivalents - 2.6% | ||||||||
Fannie Mae, 1.125%, 4/27/17 | $ | 8,000,000 | $ | 8,067,752 | ||||
Freddie Mac, 0.875%, 2/22/17 | 5,000,000 | 5,016,025 | ||||||
|
|
|||||||
$ | 13,083,777 | |||||||
U.S. Treasury Obligations - 1.5% | ||||||||
U.S. Treasury Bonds, 5.375%, 2/15/31 | $ | 286,200 | $ | 390,916 | ||||
U.S. Treasury Bonds, 4.5%, 2/15/36 | 95,000 | 122,702 | ||||||
U.S. Treasury Bonds, 4.75%, 2/15/37 (f) | 3,042,200 | 4,061,535 | ||||||
U.S. Treasury Bonds, 3.125%, 2/15/43 (f) | 2,920,000 | 3,019,919 | ||||||
|
|
|||||||
$ | 7,595,072 | |||||||
Utilities - Electric Power - 2.5% | ||||||||
AES Gener S.A., 5%, 7/14/25 (z) | $ | 207,000 | $ | 210,287 | ||||
American Electric Power Co., Inc., 1.65%, 12/15/17 | 185,000 | 184,405 | ||||||
Calpine Corp., 5.375%, 1/15/23 | 350,000 | 337,645 | ||||||
Calpine Corp., 5.5%, 2/01/24 | 565,000 | 545,225 | ||||||
CMS Energy Corp., 3.875%, 3/01/24 | 250,000 | 252,729 | ||||||
Covanta Holding Corp., 7.25%, 12/01/20 | 1,830,000 | 1,910,154 | ||||||
Covanta Holding Corp., 6.375%, 10/01/22 | 310,000 | 318,525 | ||||||
Covanta Holding Corp., 5.875%, 3/01/24 | 340,000 | 331,500 | ||||||
Dominion Resources, Inc., 2.5%, 12/01/19 | 250,000 | 250,689 | ||||||
Duke Energy Corp., 1.625%, 8/15/17 | 185,000 | 185,519 | ||||||
E.CL S.A., 5.625%, 1/15/21 | 757,000 | 824,606 | ||||||
E.CL S.A., 4.5%, 1/29/25 (n) | 762,000 | 756,788 | ||||||
E.ON International Finance B.V., 6.375%, 6/07/32 | GBP | 50,000 | 94,516 | |||||
EDP Finance B.V., 5.25%, 1/14/21 (n) | $ | 200,000 | 211,000 | |||||
EDP Finance B.V., 4.125%, 1/20/21 | EUR | 150,000 | 184,225 | |||||
Empresa Electrica Angamos S.A., 4.875%, 5/25/29 (n) | $ | 319,000 | 299,063 | |||||
Enel Finance International N.V., 4.875%, 3/11/20 | EUR | 200,000 | 262,778 | |||||
Enel S.p.A., 6.25%, 6/20/19 | GBP | 100,000 | 174,356 | |||||
Enel S.p.A., 6.625% to 15/09/2021, FRN to 9/15/76 | GBP | 130,000 | 208,558 | |||||
Greenko Dutch B.V., 8%, 8/01/19 (n) | $ | 378,000 | 382,158 | |||||
NRG Energy, Inc., 8.25%, 9/01/20 | 1,085,000 | 1,120,263 | ||||||
NRG Energy, Inc., 6.25%, 7/15/22 | 115,000 | 112,125 | ||||||
NRG Energy, Inc., 6.625%, 3/15/23 | 1,805,000 | 1,773,413 | ||||||
PG&E Corp., 2.4%, 3/01/19 | 166,000 | 166,568 | ||||||
PPL WEM Holdings PLC, 5.375%, 5/01/21 (n) | 250,000 | 277,464 | ||||||
Southern Electric Power Co. Ltd., 4.625%, 2/20/37 | GBP | 100,000 | 167,114 | |||||
TerraForm Power Operating LLC, 6.125%, 6/15/25 (n) | $ | 825,000 | 777,563 | |||||
|
|
|||||||
$ | 12,319,236 | |||||||
Total Bonds | $ | 558,821,627 | ||||||
Floating Rate Loans (g)(r) - 1.1% | ||||||||
Aerospace - 0.1% | ||||||||
TransDigm, Inc., Term Loan C, 3.75%, 2/28/20 | $ | 539,486 | $ | 533,513 | ||||
Cable TV - 0.0% | ||||||||
Cequel Communications LLC, Term Loan B, 3.5%, 2/14/19 | $ | 79,267 | $ | 78,755 |
18
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Floating Rate Loans (g)(r) - continued | ||||||||
Conglomerates - 0.0% | ||||||||
Entegris, Inc., Term Loan B, 3.5%, 4/30/21 | $ | 113,604 | $ | 112,610 | ||||
Consumer Services - 0.1% | ||||||||
Realogy Corp., Term Loan B, 3.75%, 3/05/20 | $ | 307,092 | $ | 306,421 | ||||
Containers - 0.1% | ||||||||
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21 | $ | 325,291 | $ | 322,490 | ||||
Electronics - 0.1% | ||||||||
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21 | $ | 795,155 | $ | 794,050 | ||||
Energy - Independent - 0.1% | ||||||||
MEG Energy Corp., Term Loan, 3.75%, 3/31/20 | $ | 458,403 | $ | 426,200 | ||||
Entertainment - 0.1% | ||||||||
Cedar Fair LP, Term Loan B, 3.25%, 3/06/20 | $ | 327,318 | $ | 328,137 | ||||
Gaming & Lodging - 0.0% | ||||||||
Hilton Worldwide Finance LLC, Term Loan B2, 3.5%, 10/25/20 | $ | 109,511 | $ | 109,288 | ||||
Medical & Health Technology & Services - 0.2% | ||||||||
DaVita HealthCare Partners, Inc., Term Loan B, 3.5%, 6/24/21 | $ | 944,678 | $ | 942,711 | ||||
Printing & Publishing - 0.0% | ||||||||
CBS Outdoor Americas Capital LLC, Term Loan B, 3%, 1/31/21 | $ | 96,113 | $ | 95,593 | ||||
Retailers - 0.0% | ||||||||
Rite Aid Corp., Second Lien Term Loan, 4.87%, 6/21/21 | $ | 44,587 | $ | 44,573 | ||||
Transportation - Services - 0.3% | ||||||||
Commercial Barge Line Co., First Lien Term Loan, 7.5%, 9/15/19 | $ | 1,322,268 | $ | 1,317,310 | ||||
Utilities - Electric Power - 0.0% | ||||||||
Calpine Construction Finance Co. LP, Term Loan B1, 3%, 5/03/20 | $ | 122,203 | $ | 119,708 | ||||
Total Floating Rate Loans | $ | 5,531,359 | ||||||
Common Stocks - 0.2% | ||||||||
Automotive - 0.0% | ||||||||
Accuride Corp. (a) | 12,648 | $ | 42,877 | |||||
Special Products & Services - 0.2% | ||||||||
iShares iBoxx $ High Yield Corporate Bond ETF | 12,200 | $ | 1,052,128 | |||||
Total Common Stocks | $ | 1,095,005 | ||||||
Money Market Funds - 5.4% | ||||||||
MFS Institutional Money Market Portfolio, 0.11%, at Net Asset Value (v) | 26,976,716 | $ | 26,976,716 | |||||
Total Investments | $ | 592,424,707 | ||||||
Other Assets, Less Liabilities - (18.1)% | (90,700,174 | ) | ||||||
Net Assets - 100.0% | $ | 501,724,533 |
(a) | Non-income producing security. |
(d) | In default. |
(f) | All or a portion of the security has been segregated as collateral for open futures contracts. |
(g) | The rate shown represents a weighted average coupon rate on settled positions at period end, unless otherwise indicated. |
19
Portfolio of Investments (unaudited) continued
(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 $176,461,863, representing 35.2% of net assets. |
(p) | Payment-in-kind security. |
(q) | Interest received was less than stated coupon rate. |
(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 | |||||||||
AES Gener S.A., 5%, 7/14/25 | 7/09/15 | $206,123 | $210,287 | |||||||||
American Media, Inc., 13.5%, 6/15/18 | 12/22/10 | 12,004 | 12,239 | |||||||||
Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.798%, 12/28/40 | 3/01/06 | 640,424 | 400,403 | |||||||||
Bharti Airtel Ltd., 4.375%, 6/10/25 | 6/03/15 | 392,301 | 393,365 | |||||||||
Crown European Holdings S.A., 3.375%, 5/15/25 | 4/28/15 | 384,073 | 365,260 | |||||||||
Dryden Senior Loan Fund, 2013-26A, A, CLO, FRN, 1.388%, 7/15/25 | 9/26/14 | 712,253 | 712,397 | |||||||||
Imperial Tobacco Finance PLC, 4.25%, 7/21/25 | 7/15/15 | 445,469 | 449,753 | |||||||||
Republic of Indonesia, 2.875%, 7/08/21 | 7/02/14 | 237,645 | 193,922 | |||||||||
Smurfit Kappa Acquisitions, 2.75%, 2/01/25 | 2/11/15 | 310,613 | 295,168 | |||||||||
Total Restricted Securities | $3,032,794 | |||||||||||
% of Net assets | 0.6% |
The following abbreviations are used in this report and are defined:
CDO | Collateralized Debt Obligation | |
CLO | Collateralized Loan Obligation | |
ETF | Exchange-Traded Fund | |
FRN | Floating Rate Note. Interest rate resets periodically and the current rate may not be the rate reported at period end. | |
PLC | Public Limited Company | |
REIT | Real Estate Investment Trust |
Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below:
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
DKK | Danish Krone | |
EUR | Euro | |
GBP | British Pound | |
IDR | Indonesian Rupiah | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KRW | Korean Won | |
MXN | Mexican Peso | |
MYR | Malaysian Ringgit | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar |
20
Portfolio of Investments (unaudited) continued
SEK | Swedish Krona | |
SGD | Singapore Dollar | |
THB | Thailand Baht | |
ZAR | South African Rand |
Derivative Contracts at 8/31/15
Forward Foreign Currency Exchange Contracts at 8/31/15
Type | Currency | Counterparty | Contracts to Deliver/Receive |
Settlement Date Range |
In Exchange For |
Contracts at Value |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||
Asset Derivatives | ||||||||||||||||||||||
SELL | AUD | Westpac Banking Corp. |
6,766,172 | 10/09/15 | $ | 5,000,844 | $ | 4,806,028 | $ | 194,816 | ||||||||||||
BUY | BRL | JPMorgan Chase Bank N.A. |
2,777,369 | 9/02/15 | 761,612 | 765,822 | 4,210 | |||||||||||||||
SELL | BRL | Deutsche Bank AG |
13,590,212 | 9/02/15-10/02/15 | 3,987,594 | 3,726,569 | 261,025 | |||||||||||||||
SELL | BRL | JPMorgan Chase Bank N.A. |
7,012,394 | 9/02/15 | 1,956,965 | 1,933,573 | 23,392 | |||||||||||||||
SELL | CAD | Goldman Sachs International |
1,780,384 | 10/09/15 | 1,358,341 | 1,353,151 | 5,190 | |||||||||||||||
SELL | CAD | Merrill Lynch International |
10,214,617 | 10/09/15 | 8,060,994 | 7,763,445 | 297,549 | |||||||||||||||
BUY | EUR | Barclays Bank PLC |
64,000 | 10/09/15 | 71,172 | 71,857 | 685 | |||||||||||||||
BUY | EUR | Goldman Sachs International |
5,045,406 | 10/09/15 | 5,529,488 | 5,664,826 | 135,338 | |||||||||||||||
BUY | EUR | Merrill Lynch International |
575,000 | 10/09/15 | 627,138 | 645,592 | 18,454 | |||||||||||||||
SELL | GBP | Barclays Bank PLC |
3,160,394 | 10/09/15 | 4,913,102 | 4,848,633 | 64,469 | |||||||||||||||
SELL | GBP | Goldman Sachs International |
1,738,661 | 10/09/15 | 2,712,958 | 2,667,430 | 45,528 | |||||||||||||||
SELL | GBP | Merrill Lynch International |
3,160,394 | 10/09/15 | 4,918,471 | 4,848,633 | 69,838 | |||||||||||||||
SELL | IDR | Barclays Bank PLC |
29,789,040,868 | 10/07/15 | 2,164,901 | 2,102,967 | 61,934 | |||||||||||||||
BUY | JPY | Deutsche Bank AG |
301,687,000 | 9/09/15 | 2,438,052 | 2,488,575 | 50,523 | |||||||||||||||
BUY | JPY | Goldman Sachs International |
17,823,000 | 10/09/15 | 143,731 | 147,101 | 3,370 | |||||||||||||||
BUY | KRW | JPMorgan Chase Bank N.A. |
44,218,500 | 10/13/15 | 37,321 | 37,339 | 18 | |||||||||||||||
SELL | NOK | Goldman Sachs International |
39,629,594 | 10/09/15 | 4,813,506 | 4,787,189 | 26,317 | |||||||||||||||
SELL | NZD | Goldman Sachs International |
3,166,028 | 10/09/15 | 2,090,779 | 2,000,856 | 89,923 | |||||||||||||||
SELL | NZD | JPMorgan Chase Bank N.A. |
1,272,000 | 10/09/15 | 837,670 | 803,875 | 33,795 | |||||||||||||||
SELL | NZD | Westpac Banking Corp. |
5,905,535 | 10/09/15 | 3,900,252 | 3,732,161 | 168,091 | |||||||||||||||
SELL | THB | JPMorgan Chase Bank N.A. |
83,682,000 | 9/14/15 | 2,359,898 | 2,333,210 | 26,688 | |||||||||||||||
|
|
|||||||||||||||||||||
$ | 1,581,153 | |||||||||||||||||||||
|
|
|||||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||||
BUY | AUD | Barclays Bank PLC |
137,000 | 10/09/15 | $ | 101,249 | $ | 97,311 | $ | (3,938 | ) | |||||||||||
BUY | AUD | Goldman Sachs International |
2,037,000 | 10/09/15 | 1,505,628 | 1,446,886 | (58,742 | ) | ||||||||||||||
BUY | BRL | Deutsche Bank AG |
9,267,581 | 9/02/15 | 2,640,459 | 2,555,411 | (85,048 | ) | ||||||||||||||
BUY | BRL | JPMorgan Chase Bank N.A. |
11,247,419 | 9/02/15-10/02/15 | 3,139,558 | 3,080,831 | (58,727 | ) | ||||||||||||||
SELL | BRL | Deutsche Bank AG |
2,777,369 | 9/02/15 | 761,612 | 765,822 | (4,210 | ) | ||||||||||||||
BUY | CAD | Goldman Sachs International |
179,000 | 10/09/15 | 137,818 | 136,046 | (1,772 | ) | ||||||||||||||
BUY | CHF | UBS AG |
15,082 | 10/09/15 | 15,931 | 15,622 | (309 | ) | ||||||||||||||
SELL | DKK | Goldman Sachs International |
6,145,566 | 10/09/15 | 912,997 | 924,725 | (11,728 | ) | ||||||||||||||
SELL | EUR | Barclays Bank PLC |
900,000 | 10/09/15 | 1,009,117 | 1,010,492 | (1,375 | ) | ||||||||||||||
SELL | EUR | Goldman Sachs International |
1,172,066 | 10/09/15 | 1,286,998 | 1,315,959 | (28,961 | ) | ||||||||||||||
SELL | EUR | JPMorgan Chase Bank N.A. |
4,497,000 | 10/09/15 | 4,907,466 | 5,049,093 | (141,627 | ) | ||||||||||||||
SELL | EUR | Royal Bank of Scotland Group PLC |
1,283,000 | 10/09/15 | 1,410,297 | 1,440,513 | (30,216 | ) | ||||||||||||||
SELL | EUR | UBS AG |
28,229,534 | 10/09/15 | 30,891,551 | 31,695,252 | (803,701 | ) | ||||||||||||||
BUY | GBP | Barclays Bank PLC |
1,580,000 | 10/09/15 | 2,446,280 | 2,424,014 | (22,266 | ) | ||||||||||||||
BUY | GBP | Goldman Sachs International |
414,199 | 10/09/15 | 643,269 | 635,459 | (7,810 | ) | ||||||||||||||
BUY | GBP | JPMorgan Chase Bank N.A. |
3,149,000 | 10/09/15 | 4,910,630 | 4,831,152 | (79,478 | ) | ||||||||||||||
BUY | INR | Barclays Bank PLC |
79,660,000 | 10/07/15 | 1,239,651 | 1,190,704 | (48,947 | ) | ||||||||||||||
BUY | INR | JPMorgan Chase Bank N.A. |
80,716,000 | 10/07/15 | 1,253,354 | 1,206,488 | (46,866 | ) | ||||||||||||||
SELL | JPY | Credit Suisse Group |
799,037,949 | 10/09/15 | 6,531,556 | 6,594,804 | (63,248 | ) | ||||||||||||||
SELL | JPY | Deutsche Bank AG |
824,037,949 | 10/09/15 | 6,733,830 | 6,801,139 | (67,309 | ) | ||||||||||||||
SELL | JPY | Goldman Sachs International |
333,311,000 | 10/09/15 | 2,685,783 | 2,750,959 | (65,176 | ) | ||||||||||||||
BUY | MXN | Goldman Sachs International |
882,458 | 10/09/15 | 55,386 | 52,672 | (2,714 | ) | ||||||||||||||
BUY | MYR | JPMorgan Chase Bank N.A. |
235,000 | 10/26/15 | 61,230 | 55,730 | (5,500 | ) | ||||||||||||||
BUY | NZD | JPMorgan Chase Bank N.A. |
3,295,000 | 10/09/15 | 2,190,831 | 2,082,364 | (108,467 | ) | ||||||||||||||
SELL | SEK | Goldman Sachs International |
5,674,668 | 10/09/15 | 664,707 | 670,864 | (6,157 | ) |
21
Portfolio of Investments (unaudited) continued
Forward Foreign Currency Exchange Contracts at 8/31/15 - continued
Type | Currency | Counterparty | Contracts to Deliver/Receive |
Settlement Date Range |
In Exchange For |
Contracts at Value |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||
Liability Derivatives continued | ||||||||||||||||||||||
BUY | SGD | Goldman Sachs International |
40,141 | 10/09/15 | $ | 29,638 | $ | 28,397 | $ | (1,241 | ) | |||||||||||
BUY | ZAR | Citibank N.A. |
569,852 | 10/09/15 | 44,770 | 42,697 | (2,073 | ) | ||||||||||||||
|
|
|||||||||||||||||||||
$ | (1,757,606 | ) | ||||||||||||||||||||
|
|
Futures Contracts at 8/31/15
Description | Currency | Contracts | Value | Expiration Date | Unrealized Appreciation (Depreciation) |
|||||||||||
Asset Derivatives | ||||||||||||||||
Interest Rate Futures | ||||||||||||||||
German Euro Bobl 5 yr (Long) | EUR | 115 | $16,780,014 | September - 2015 | $114,594 | |||||||||||
German Euro Bund 10 yr (Long) | EUR | 82 | 14,086,775 | September - 2015 | 130,995 | |||||||||||
German Euro Buxl 30 yr (Long) | EUR | 17 | 2,891,623 | September - 2015 | 8,356 | |||||||||||
Japanese Government Bond 10 yr (Long) | JPY | 18 | 21,967,914 | September - 2015 | 197,245 | |||||||||||
U.S. Treasury Bond 30 yr (Short) | USD | 4 | 618,500 | December - 2015 | 1,611 | |||||||||||
U.S. Treasury Note 10 yr (Short) | USD | 644 | 81,828,250 | December - 2015 | 17,797 | |||||||||||
U.S. Treasury Note 2 yr (Short) | USD | 121 | 26,434,719 | December - 2015 | 35,498 | |||||||||||
|
|
|||||||||||||||
$506,096 | ||||||||||||||||
|
|
|||||||||||||||
Liability Derivatives | ||||||||||||||||
Interest Rate Futures | ||||||||||||||||
U.K. Gilt 10 yr (Long) | GBP | 35 | $6,293,982 | December - 2015 | $(17,321 | ) | ||||||||||
|
|
At August 31, 2015, the fund had cash collateral of $340,000 and other liquid securities with an aggregate value of $2,058,947 to cover any commitments for certain derivative contracts.
See attached supplemental information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.
22
Supplemental Information
8/31/15 (unaudited)
The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services Investment Companies.
(1) Investment Valuations
Debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Equity securities, including restricted equity securities, are generally valued at the last sale or official closing price 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 may be 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 August 31, 2015 in valuing the funds assets or liabilities:
Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Securities | $1,095,005 | $ | $ | $1,095,005 | ||||||||||||
U.S. Treasury Bonds & U.S. Government Agency & Equivalents | | 20,678,849 | | 20,678,849 | ||||||||||||
Non-U.S. Sovereign Debt | | 89,225,568 | | 89,225,568 | ||||||||||||
U.S. Corporate Bonds | | 325,804,028 | | 325,804,028 | ||||||||||||
Residential Mortgage-Backed Securities | | 7,041,066 | | 7,041,066 | ||||||||||||
Commercial Mortgage-Backed Securities | | 18,399,866 | | 18,399,866 | ||||||||||||
Asset-Backed Securities (including CDOs) | | 1,961,896 | | 1,961,896 | ||||||||||||
Foreign Bonds | | 95,429,758 | 280,596 | 95,710,354 | ||||||||||||
Floating Rate Loans | | 5,531,359 | | 5,531,359 | ||||||||||||
Mutual Funds | 26,976,716 | | | 26,976,716 | ||||||||||||
Total Investments | $28,071,721 | $564,072,390 | $280,596 | $592,424,707 | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts | $488,775 | $ | $ | $488,775 | ||||||||||||
Forward Foreign Currency Exchange Contracts | | (176,453 | ) | | (176,453 | ) |
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.
Investments in Securities | ||||
Balance as of 11/30/14 | $ | |||
Transfers into level 3 |
280,596 | |||
Balance as of 8/31/15 | $280,596 |
At August 31, 2015, the fund held one level 3 security.
(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 | $628,140,319 | |||
Gross unrealized appreciation | 5,572,771 | |||
Gross unrealized depreciation | (41,288,383 | ) | ||
Net unrealized appreciation (depreciation) | $(35,715,612 | ) |
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 | 5,215,597 | 145,334,622 | (123,573,503 | ) | 26,976,716 | |||||||||||
Underlying Affiliated Fund | Realized Gain (Loss) |
Capital Gain Distributions |
Dividend Income |
Ending Value |
||||||||||||
MFS Institutional Money Market Portfolio | $ | $ | $14,857 | $26,976,716 |
24
Supplemental Information (unaudited) continued
(4) Issuer Country Weightings
Issuer country weighting percentages of portfolio holdings based on net assets, as of August 31, 2015, are as follows:
United States | 49.6% | |||
Germany | 8.2% | |||
Japan | 7.0% | |||
Canada | 5.0% | |||
United Kingdom | 4.4% | |||
Italy | 2.9% | |||
Mexico | 2.1% | |||
Israel | 1.8% | |||
Supranational | 1.7% | |||
Other Countries | 17.3% |
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)* | ROBIN A. STELMACH | |
Robin A. Stelmach, President |
Date: October 15, 2015
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | ROBIN A. STELMACH | |
Robin A. Stelmach, President (Principal Executive Officer) |
Date: October 15, 2015
By (Signature and Title)* | DAVID L. DILORENZO | |
David L. DiLorenzo, Treasurer (Principal Financial Officer and Accounting Officer) |
Date: October 15, 2015
* | Print name and title of each signing officer under his or her signature. |