UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-05822
MFS CHARTER INCOME TRUST
(Exact name of registrant as specified in charter)
111 Huntington Avenue, Boston, Massachusetts 02199
(Address of principal executive offices) (Zip code)
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: February 29, 2016
ITEM 1. | SCHEDULE OF INVESTMENTS. |
QUARTERLY REPORT
February 29, 2016
MFS® CHARTER INCOME TRUST
PORTFOLIO OF INVESTMENTS
2/29/16 (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 - 115.4% | ||||||||
Aerospace - 1.3% | ||||||||
Aerojet Rocketdyne Holdings, Inc., 7.125%, 3/15/21 | $ | 1,805,000 | $ | 1,827,563 | ||||
Bombardier, Inc., 6.125%, 1/15/23 (n) | 1,260,000 | 882,000 | ||||||
Bombardier, Inc., 7.5%, 3/15/25 (n) | 560,000 | 393,400 | ||||||
CPI International, Inc., 8.75%, 2/15/18 | 1,495,000 | 1,453,888 | ||||||
Lockheed Martin Corp., 3.55%, 1/15/26 | 263,000 | 275,462 | ||||||
TransDigm, Inc., 6%, 7/15/22 | 275,000 | 268,125 | ||||||
TransDigm, Inc., 6.5%, 7/15/24 | 800,000 | 780,000 | ||||||
|
|
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$ | 5,880,438 | |||||||
Airlines - 0.0% | ||||||||
Ryanair Ltd., 1.125%, 3/10/23 | EUR | 175,000 | $ | 187,461 | ||||
Apparel Manufacturers - 0.4% | ||||||||
Hanesbrands, Inc., 6.375%, 12/15/20 | $ | 755,000 | $ | 781,425 | ||||
PVH Corp., 4.5%, 12/15/22 | 1,125,000 | 1,130,625 | ||||||
|
|
|||||||
$ | 1,912,050 | |||||||
Asset-Backed & Securitized - 5.6% | ||||||||
Atrium CDO Corp., FRN, 1.42%, 11/16/22 (z) | $ | 2,312,090 | $ | 2,290,102 | ||||
Banc of America Commercial Mortgage, Inc., FRN, 5.741%, 2/10/51 | 1,013,511 | 1,053,147 | ||||||
Bayview Financial Revolving Mortgage Loan Trust, FRN, 2.021%, 12/28/40 (z) | 594,816 | 428,971 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, FRN, 5.366%, 12/11/49 | 1,605,000 | 1,633,301 | ||||||
Commercial Mortgage Pass-Through Certificates, FRN, 5.802%, 6/10/46 | 230,000 | 231,129 | ||||||
Commercial Mortgage Trust, 2015-DC1, A5, 3.35%, 2/10/48 | 500,000 | 509,931 | ||||||
Crest Ltd., CDO, 7%, 1/28/40 (a)(p) | 2,980,723 | 248,026 | ||||||
Dryden Senior Loan Fund, 2013-26A, A, CLO, FRN, 1.722%, 7/15/25 (n) | 722,000 | 705,268 | ||||||
Enterprise Fleet Financing LLC, 0.91%, 9/20/18 (z) | 1,956,460 | 1,954,179 | ||||||
First Union-Lehman Brothers Bank of America, FRN, 1.027%, 11/18/35 (i) | 3,382,925 | 55,876 | ||||||
Greenwich Capital Commercial Funding Corp., 5.475%, 3/10/39 | 954,545 | 970,334 | ||||||
John Deere Owner Trust , A2, 1.15%, 10/15/18 | 1,464,000 | 1,463,996 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., A3, FRN, 5.782%, 6/15/49 | 192,266 | 193,199 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., A3, FRN, 5.938%, 2/15/51 | 140,193 | 140,061 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., A4, FRN, 5.782%, 6/15/49 | 2,346,110 | 2,392,898 | ||||||
JPMorgan Chase Commercial Mortgage Trust, 2007-LD11, AM, FRN, 5.782%, 6/15/49 | 2,142,300 | 2,096,343 | ||||||
Mercedes-Benz Auto Lease Trust, 2015-B, A2B, 0.95%, 1/16/18 | 1,467,000 | 1,468,061 | ||||||
Merrill Lynch Mortgage Trust, FRN, 5.821%, 6/12/50 | 1,350,000 | 1,388,160 | ||||||
Morgan Stanley Capital I Trust, AM, FRN, 5.697%, 4/15/49 | 2,137,000 | 2,155,804 | ||||||
Wachovia Bank Commercial Mortgage Trust, A4, FRN, 5.953%, 2/15/51 | 3,402,446 | 3,514,186 | ||||||
Wells Fargo Commercial Mortgage Trust, 2015-NXS1, A5, 3.148%, 5/15/48 | 768,632 | 771,708 | ||||||
|
|
|||||||
$ | 25,664,680 | |||||||
Automotive - 2.6% | ||||||||
Accuride Corp., 9.5%, 8/01/18 | $ | 1,735,000 | $ | 1,483,425 | ||||
American Honda Finance Corp., 1.375%, 11/10/22 | EUR | 350,000 | 394,956 | |||||
Delphi Automotive PLC, 1.5%, 3/10/25 | EUR | 200,000 | 200,541 | |||||
Delphi Automotive PLC, 4.25%, 1/15/26 | $ | 313,000 | 319,332 | |||||
Ford Motor Credit Co. LLC, 1.7%, 5/09/16 | 550,000 | 550,428 | ||||||
Ford Motor Credit Co. LLC, 1.461%, 3/27/17 | 252,000 | 250,291 | ||||||
General Motors Financial Co., Inc., 3.45%, 4/10/22 | 256,000 | 241,490 | ||||||
Goodyear Tire & Rubber Co., 6.5%, 3/01/21 | 1,540,000 | 1,621,820 | ||||||
Goodyear Tire & Rubber Co., 7%, 5/15/22 | 350,000 | 374,500 | ||||||
Grupo Antolin Dutch B.V., 5.125%, 6/30/22 (n) | EUR | 100,000 | 110,417 |
1
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Automotive - continued | ||||||||
Harley-Davidson Financial Services, Inc., 2.7%, 3/15/17 (n) | $ | 370,000 | $ | 374,671 | ||||
Lear Corp., 4.75%, 1/15/23 | 1,015,000 | 1,025,150 | ||||||
Lear Corp., 5.25%, 1/15/25 | 790,000 | 821,600 | ||||||
Schaeffler Finance B.V., 3.25%, 5/15/19 | EUR | 230,000 | 251,832 | |||||
Schaeffler Finance B.V., 4.75%, 5/15/21 (n) | $ | 1,160,000 | 1,168,700 | |||||
Schaeffler Holding Finance B.V., 6.25%, 11/15/19 (n)(p) | 470,000 | 489,388 | ||||||
Toyota Motor Credit Corp., 1%, 3/09/21 | EUR | 210,000 | 234,062 | |||||
Volkswagen Group of America Finance LLC, 2.4%, 5/22/20 | $ | 400,000 | 379,251 | |||||
Volkswagen International Finance N.V., 3.875% to 9/04/18, FRN to 9/29/49 | EUR | 200,000 | 210,499 | |||||
Volkswagen International Finance N.V., FRN, 2.5%, 12/29/49 | EUR | 152,000 | 135,434 | |||||
ZF North America Capital, Inc., 4.5%, 4/29/22 (n) | $ | 1,085,000 | 1,070,081 | |||||
ZF North America Capital, Inc., 4.75%, 4/29/25 (n) | 300,000 | 286,500 | ||||||
|
|
|||||||
$ | 11,994,368 | |||||||
Biotechnology - 0.1% | ||||||||
Life Technologies Corp., 6%, 3/01/20 | $ | 200,000 | $ | 223,478 | ||||
Broadcasting - 2.3% | ||||||||
Activision Blizzard, Inc., 6.125%, 9/15/23 (n) | $ | 1,590,000 | $ | 1,701,300 | ||||
AMC Networks, Inc., 7.75%, 7/15/21 | 863,000 | 912,623 | ||||||
Clear Channel Worldwide Holdings, Inc., A, 6.5%, 11/15/22 | 190,000 | 172,425 | ||||||
Clear Channel Worldwide Holdings, Inc., B, 7.625%, 3/15/20 | 355,000 | 312,400 | ||||||
Clear Channel Worldwide Holdings, Inc., B, 6.5%, 11/15/22 | 850,000 | 824,500 | ||||||
Discovery Communications, Inc., 1.9%, 3/19/27 | EUR | 425,000 | 394,872 | |||||
Grupo Televisa S.A.B., 6.125%, 1/31/46 | $ | 200,000 | 195,168 | |||||
iHeartMedia, Inc., 9%, 3/01/21 | 1,018,000 | 693,513 | ||||||
Liberty Media Corp., 8.5%, 7/15/29 | 820,000 | 820,000 | ||||||
Liberty Media Corp., 8.25%, 2/01/30 | 210,000 | 206,850 | ||||||
Netflix, Inc., 5.375%, 2/01/21 | 1,680,000 | 1,801,800 | ||||||
Nexstar Broadcasting, Inc., 6.875%, 11/15/20 | 1,005,000 | 1,020,075 | ||||||
Omnicom Group, Inc., 3.65%, 11/01/24 | 77,000 | 77,298 | ||||||
ProSiebenSat.1 Media AG, 2.625%, 4/15/21 | EUR | 240,000 | 271,903 | |||||
SES Global Americas Holdings GP, 2.5%, 3/25/19 (n) | $ | 181,000 | 179,168 | |||||
Tribune Media Co., 5.875%, 7/15/22 (n) | 940,000 | 940,000 | ||||||
|
|
|||||||
$ | 10,523,895 | |||||||
Brokerage & Asset Managers - 0.1% | ||||||||
Intercontinental Exchange, Inc., 2.75%, 12/01/20 | $ | 178,000 | $ | 180,718 | ||||
Intercontinental Exchange, Inc., 3.75%, 12/01/25 | 292,000 | 302,123 | ||||||
|
|
|||||||
$ | 482,841 | |||||||
Building - 2.5% | ||||||||
Allegion PLC, 5.875%, 9/15/23 | $ | 501,000 | $ | 524,798 | ||||
Allegion U.S. Holding Co., Inc., 5.75%, 10/01/21 | 1,630,000 | 1,707,425 | ||||||
Beacon Roofing Supply, Inc., 6.375%, 10/01/23 (n) | 850,000 | 896,750 | ||||||
Building Materials Corp. of America, 5.375%, 11/15/24 (n) | 1,250,000 | 1,269,538 | ||||||
Building Materials Corp. of America, 6%, 10/15/25 (n) | 710,000 | 721,538 | ||||||
CEMEX S.A.B. de C.V., 7.25%, 1/15/21 (n) | 423,000 | 423,000 | ||||||
CEMEX S.A.B. de C.V., 5.7%, 1/11/25 | 200,000 | 175,000 | ||||||
CRH Finance Ltd., 3.125%, 4/03/23 | EUR | 150,000 | 183,410 | |||||
Elementia S.A. de C.V., 5.5%, 1/15/25 (n) | $ | 210,000 | 196,350 | |||||
Gibraltar Industries, Inc., 6.25%, 2/01/21 | 1,045,000 | 1,050,225 | ||||||
HD Supply, Inc., 7.5%, 7/15/20 | 1,180,000 | 1,241,950 | ||||||
Headwaters, Inc., 7.25%, 1/15/19 | 535,000 | 547,038 | ||||||
Masco Corp., 4.45%, 4/01/25 | 85,000 | 84,415 |
2
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Building - continued | ||||||||
Mohawk Industries, Inc., 2%, 1/14/22 | EUR | 300,000 | $ | 328,169 | ||||
Mohawk Industries, Inc., 3.85%, 2/01/23 | $ | 134,000 | 137,430 | |||||
Owens Corning, Inc., 4.2%, 12/15/22 | 127,000 | 127,629 | ||||||
PriSo Acquisition Corp., 9%, 5/15/23 (n) | 685,000 | 602,800 | ||||||
Summit Materials LLC/Summit Materials Finance Co., 6.125%, 7/15/23 | 1,010,000 | 901,425 | ||||||
Union Andina de Cementos S.A.A., 5.875%, 10/30/21 (n) | 259,000 | 246,050 | ||||||
|
|
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$ | 11,364,940 | |||||||
Business Services - 1.6% | ||||||||
Cisco Systems, Inc., 2.2%, 2/28/21 | $ | 350,000 | $ | 353,289 | ||||
Equinix, Inc., 4.875%, 4/01/20 | 565,000 | 586,188 | ||||||
Equinix, Inc., 5.375%, 1/01/22 | 305,000 | 316,438 | ||||||
Equinix, Inc., 5.375%, 4/01/23 | 925,000 | 989,473 | ||||||
Fidelity National Information Services, Inc., 3.875%, 6/05/24 | 537,000 | 518,896 | ||||||
Fidelity National Information Services, Inc., 5%, 10/15/25 | 138,000 | 143,386 | ||||||
Iron Mountain, Inc., REIT, 6%, 10/01/20 (n) | 510,000 | 540,600 | ||||||
Iron Mountain, Inc., REIT, 6%, 8/15/23 | 1,540,000 | 1,636,250 | ||||||
MSCI, Inc., 5.75%, 8/15/25 (n) | 145,000 | 156,419 | ||||||
NeuStar, Inc., 4.5%, 1/15/23 | 1,260,000 | 1,017,450 | ||||||
Tencent Holdings Ltd., 3.375%, 3/05/18 (n) | 449,000 | 459,359 | ||||||
Tencent Holdings Ltd., 3.8%, 2/11/25 (n) | 485,000 | 490,870 | ||||||
|
|
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$ | 7,208,618 | |||||||
Cable TV - 5.9% | ||||||||
Altice Financing S.A., 6.5%, 1/15/22 (n) | $ | 2,005,000 | $ | 2,020,038 | ||||
Altice Financing S.A., 6.625%, 2/15/23 (n) | 2,145,000 | 2,112,825 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., 7.375%, 6/01/20 | 250,000 | 260,125 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., 6.5%, 4/30/21 | 1,965,000 | 2,042,372 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/23 (n) | 780,000 | 774,150 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 1/15/24 | 1,220,000 | 1,244,400 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/25 (n) | 335,000 | 331,650 | ||||||
CCO Safari II LLC, 6.384%, 10/23/35 (n) | 217,000 | 226,652 | ||||||
Cequel Communications Holdings, 6.375%, 9/15/20 (n) | 1,875,000 | 1,835,156 | ||||||
Comcast Corp., 2.75%, 3/01/23 | 880,000 | 896,757 | ||||||
Comcast Corp., 4.75%, 3/01/44 | 223,000 | 234,315 | ||||||
DISH DBS Corp., 7.875%, 9/01/19 | 240,000 | 259,978 | ||||||
DISH DBS Corp., 6.75%, 6/01/21 | 1,000,000 | 1,018,750 | ||||||
DISH DBS Corp., 5%, 3/15/23 | 1,065,000 | 942,525 | ||||||
DISH DBS Corp., 5.875%, 11/15/24 | 380,000 | 341,449 | ||||||
Intelsat Jackson Holdings S.A., 7.25%, 4/01/19 | 395,000 | 306,125 | ||||||
Intelsat Jackson Holdings S.A., 6.625%, 12/15/22 | 1,275,000 | 640,688 | ||||||
Intelsat Jackson Holdings S.A., 5.5%, 8/01/23 | 1,330,000 | 864,500 | ||||||
Intelsat Luxembourg S.A., 8.125%, 6/01/23 | 1,350,000 | 411,750 | ||||||
LGE Holdco VI B.V., 7.125%, 5/15/24 (n) | EUR | 520,000 | 607,486 | |||||
Lynx I Corp., 5.375%, 4/15/21 (n) | $ | 342,000 | 354,398 | |||||
Lynx II Corp., 6.375%, 4/15/23 (n) | 555,000 | 578,588 | ||||||
Neptune Finco Corp., 10.875%, 10/15/25 (n) | 765,000 | 826,200 | ||||||
Shaw Communications, Inc., 5.65%, 10/01/19 | CAD | 260,000 | 210,362 | |||||
SIRIUS XM Radio, Inc., 4.25%, 5/15/20 (n) | $ | 90,000 | 91,350 | |||||
SIRIUS XM Radio, Inc., 5.875%, 10/01/20 (n) | 120,000 | 125,400 | ||||||
SIRIUS XM Radio, Inc., 5.75%, 8/01/21 (n) | 185,000 | 191,938 | ||||||
SIRIUS XM Radio, Inc., 4.625%, 5/15/23 (n) | 740,000 | 721,500 | ||||||
SIRIUS XM Radio, Inc., 6%, 7/15/24 (n) | 1,065,000 | 1,118,250 | ||||||
SIRIUS XM Radio, Inc., 5.375%, 4/15/25 (n) | 745,000 | 743,138 | ||||||
Sky PLC, 2.5%, 9/15/26 | EUR | 350,000 | 398,022 |
3
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Cable TV - continued | ||||||||
Time Warner Cable, Inc., 5.75%, 6/02/31 | GBP | 100,000 | $ | 135,998 | ||||
Time Warner Cable, Inc., 5.25%, 7/15/42 | GBP | 100,000 | 117,993 | |||||
Time Warner Cable, Inc., 4.5%, 9/15/42 | $ | 119,000 | 97,222 | |||||
Unitymedia Hessen, 5.5%, 1/15/23 (n) | 1,350,000 | 1,414,125 | ||||||
Unitymedia KabelBW GmbH, 6.125%, 1/15/25 (n) | 770,000 | 793,100 | ||||||
Virgin Media Finance PLC, 5.75%, 1/15/25 (n) | 200,000 | 199,000 | ||||||
Virgin Media Secured Finance PLC, 5.25%, 1/15/26 (n) | 800,000 | 798,000 | ||||||
VTR Finance B.V., 6.875%, 1/15/24 (n) | 480,000 | 451,200 | ||||||
Ziggo Bond Finance B.V., 5.875%, 1/15/25 (n) | 400,000 | 388,000 | ||||||
|
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$ | 27,125,475 | |||||||
Chemicals - 1.8% | ||||||||
CF Industries, Inc., 5.15%, 3/15/34 | $ | 169,000 | $ | 142,678 | ||||
Consolidated Energy Finance S.A., 6.75%, 10/15/19 (n) | 380,000 | 328,700 | ||||||
Flash Dutch 2 B.V./U.S. Coatings Acquisition, 7.375%, 5/01/21 (n) | 1,080,000 | 1,147,500 | ||||||
GCP Applied Technologies Co., 9.5%, 2/01/23 (n) | 475,000 | 508,250 | ||||||
Hexion U.S. Finance Corp., 6.625%, 4/15/20 | 525,000 | 414,750 | ||||||
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, 8.875%, 2/01/18 | 780,000 | 516,750 | ||||||
Huntsman International LLC, 5.125%, 4/15/21 | EUR | 165,000 | 162,443 | |||||
INEOS Group Holdings S.A., 6.125%, 8/15/18 (n) | $ | 815,000 | 815,000 | |||||
Israel Chemicals Ltd., 4.5%, 12/02/24 (n) | 342,000 | 328,706 | ||||||
LYB International Finance B.V., 4%, 7/15/23 | 135,000 | 136,547 | ||||||
LyondellBasell Industries N.V., 4.625%, 2/26/55 | 400,000 | 328,678 | ||||||
Momentive Performance Materials, Inc., 3.88%, 10/24/21 | 290,000 | 197,200 | ||||||
Solvay Finance S.A., FRN, 4.199%, 5/29/49 | EUR | 250,000 | 258,833 | |||||
The Chemours Co., 6.625%, 5/15/23 (n) | $ | 630,000 | 455,175 | |||||
Tronox Finance LLC, 6.375%, 8/15/20 | 1,890,000 | 1,185,975 | ||||||
Tronox Finance LLC, 7.5%, 3/15/22 (n) | 795,000 | 490,913 | ||||||
W.R. Grace & Co., 5.125%, 10/01/21 (n) | 800,000 | 832,000 | ||||||
|
|
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$ | 8,250,098 | |||||||
Computer Software - 0.4% | ||||||||
Oracle Corp., 3.4%, 7/08/24 | $ | 251,000 | $ | 261,517 | ||||
Syniverse Holdings, Inc., 9.125%, 1/15/19 | 362,000 | 131,225 | ||||||
VeriSign, Inc., 4.625%, 5/01/23 | 1,305,000 | 1,285,425 | ||||||
|
|
|||||||
$ | 1,678,167 | |||||||
Computer Software - Systems - 0.7% | ||||||||
Apple, Inc., 2.7%, 5/13/22 | $ | 400,000 | $ | 406,266 | ||||
Apple, Inc., 3.6%, 7/31/42 | GBP | 230,000 | 306,531 | |||||
CDW LLC/CDW Finance Corp., 6%, 8/15/22 | $ | 275,000 | 292,188 | |||||
CDW LLC/CDW Finance Corp., 5.5%, 12/01/24 | 395,000 | 407,838 | ||||||
Sabre GLBL, Inc., 5.375%, 4/15/23 (n) | 1,865,000 | 1,878,988 | ||||||
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$ | 3,291,811 | |||||||
Conglomerates - 2.2% | ||||||||
Accudyne Industries Borrower S.C.A., 7.75%, 12/15/20 (n) | $ | 655,000 | $ | 469,963 | ||||
Amsted Industries Co., 5%, 3/15/22 (n) | 2,335,000 | 2,288,300 | ||||||
BC Mountain LLC, 7%, 2/01/21 (n) | 1,270,000 | 952,500 | ||||||
DH Europe Finance S.A., 1%, 7/08/19 | EUR | 150,000 | 166,534 | |||||
EnerSys, 5%, 4/30/23 (n) | $ | 1,720,000 | 1,638,300 | |||||
Enpro Industries, Inc., 5.875%, 9/15/22 | 1,685,000 | 1,638,663 | ||||||
Entegris, Inc., 6%, 4/01/22 (n) | 1,575,000 | 1,594,688 | ||||||
General Electric Capital Corp., 3.1%, 1/09/23 | 215,000 | 225,191 | ||||||
General Electric Co., 1.25%, 5/26/23 | EUR | 100,000 | 112,212 |
4
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Conglomerates - continued | ||||||||
Renaissance Acquisition, 6.875%, 8/15/21 (n) | $ | 1,345,000 | $ | 894,425 | ||||
|
|
|||||||
$ | 9,980,776 | |||||||
Construction - 0.0% | ||||||||
Empresas ICA S.A.B. de C.V., 8.9%, 2/04/21 (a)(d) | $ | 450,000 | $ | 70,875 | ||||
Empresas ICA S.A.B. de C.V., 8.875%, 5/29/24 (a)(d)(n) | 853,000 | 136,480 | ||||||
|
|
|||||||
$ | 207,355 | |||||||
Consumer Products - 0.9% | ||||||||
Alphabet Holding Co., Inc., 7.75%, 11/01/17 | $ | 195,000 | $ | 195,488 | ||||
Elizabeth Arden, Inc., 7.375%, 3/15/21 | 290,000 | 165,300 | ||||||
Newell Rubbermaid, Inc., 4%, 12/01/24 | 400,000 | 381,348 | ||||||
Prestige Brands, Inc., 8.125%, 2/01/20 | 257,000 | 268,077 | ||||||
Prestige Brands, Inc., 5.375%, 12/15/21 (n) | 1,050,000 | 1,036,875 | ||||||
Reckitt Benckiser Treasury Services PLC, 3.625%, 9/21/23 (n) | 250,000 | 262,112 | ||||||
Spectrum Brands, Inc., 6.375%, 11/15/20 | 1,025,000 | 1,080,094 | ||||||
Spectrum Brands, Inc., 6.125%, 12/15/24 | 170,000 | 179,775 | ||||||
Spectrum Brands, Inc., 5.75%, 7/15/25 | 460,000 | 484,725 | ||||||
|
|
|||||||
$ | 4,053,794 | |||||||
Consumer Services - 2.1% | ||||||||
ADT Corp., 6.25%, 10/15/21 | $ | 2,155,000 | $ | 2,101,125 | ||||
ADT Corp., 4.125%, 6/15/23 | 60,000 | 50,550 | ||||||
CEB, Inc., 5.625%, 6/15/23 (n) | 900,000 | 913,500 | ||||||
Garda World Security Corp., 7.25%, 11/15/21 (n) | 780,000 | 546,000 | ||||||
Garda World Security Corp., 7.25%, 11/15/21 (n) | 660,000 | 462,000 | ||||||
Grupo Posadas S.A.B. de C.V., 7.875%, 6/30/22 (n) | 800,000 | 742,000 | ||||||
Interval Acquisition Corp., 5.625%, 4/15/23 (n) | 2,065,000 | 2,028,863 | ||||||
Monitronics International, Inc., 9.125%, 4/01/20 | 1,360,000 | 1,152,600 | ||||||
Priceline Group, Inc., 2.15%, 11/25/22 | EUR | 110,000 | 121,037 | |||||
Priceline Group, Inc., 3.65%, 3/15/25 | $ | 166,000 | 165,746 | |||||
Priceline Group, Inc., 1.8%, 3/03/27 | EUR | 100,000 | 94,943 | |||||
Service Corp. International, 5.375%, 5/15/24 | $ | 873,000 | 928,654 | |||||
Visa, Inc., 4.15%, 12/14/35 | 389,000 | 412,890 | ||||||
|
|
|||||||
$ | 9,719,908 | |||||||
Containers - 3.3% | ||||||||
Ardagh Packaging Finance PLC, 9.125%, 10/15/20 (n) | $ | 2,195,000 | $ | 2,263,594 | ||||
Ball Corp., 5%, 3/15/22 | 1,176,000 | 1,224,510 | ||||||
Ball Corp., 5.25%, 7/01/25 | 165,000 | 172,013 | ||||||
Berry Plastics Group, Inc., 5.5%, 5/15/22 | 1,025,000 | 1,066,000 | ||||||
Berry Plastics Group, Inc., 6%, 10/15/22 (n) | 380,000 | 395,200 | ||||||
Crown American LLC, 4.5%, 1/15/23 | 1,304,000 | 1,330,080 | ||||||
Crown European Holdings S.A., 3.375%, 5/15/25 (z) | EUR | 350,000 | 357,427 | |||||
Multi-Color Corp., 6.125%, 12/01/22 (n) | $ | 1,255,000 | 1,264,413 | |||||
Mustang Merger Corp., 8.5%, 8/15/21 (n) | 15,000 | 15,263 | ||||||
Plastipak Holdings, Inc., 6.5%, 10/01/21 (n) | 1,023,000 | 982,080 | ||||||
Reynolds Group, 9.875%, 8/15/19 | 123,000 | 126,690 | ||||||
Reynolds Group, 5.75%, 10/15/20 | 510,000 | 524,025 | ||||||
Reynolds Group, 8.25%, 2/15/21 | 2,145,000 | 2,107,463 | ||||||
Sealed Air Corp., 4.875%, 12/01/22 (n) | 1,495,000 | 1,539,850 | ||||||
Sealed Air Corp., 4.5%, 9/15/23 (n) | EUR | 225,000 | 252,721 | |||||
Sealed Air Corp., 5.125%, 12/01/24 (n) | $ | 390,000 | 404,625 | |||||
Signode Industrial Group, 6.375%, 5/01/22 (n) | 1,360,000 | 1,156,000 | ||||||
|
|
|||||||
$ | 15,181,954 |
5
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Defense Electronics - 0.1% | ||||||||
BAE Systems PLC, 4.125%, 6/08/22 | GBP | 150,000 | $ | 225,687 | ||||
Electrical Equipment - 0.1% | ||||||||
Arrow Electronics, Inc., 3.5%, 4/01/22 | $ | 173,000 | $ | 171,666 | ||||
Avaya, Inc., 10.5%, 3/01/21 (n) | 325,000 | 82,875 | ||||||
|
|
|||||||
$ | 254,541 | |||||||
Electronics - 1.4% | ||||||||
Advanced Micro Devices, Inc., 6.75%, 3/01/19 | $ | 1,045,000 | $ | 762,850 | ||||
Advanced Micro Devices, Inc., 7%, 7/01/24 | 575,000 | 359,375 | ||||||
Micron Technology, Inc., 5.875%, 2/15/22 | 890,000 | 817,599 | ||||||
Micron Technology, Inc., 5.5%, 2/01/25 | 935,000 | 785,400 | ||||||
NXP B.V., 5.75%, 3/15/23 (n) | 1,730,000 | 1,790,550 | ||||||
Sensata Technologies B.V., 5.625%, 11/01/24 (n) | 520,000 | 535,600 | ||||||
Sensata Technologies B.V., 5%, 10/01/25 (n) | 835,000 | 820,388 | ||||||
Tyco Electronics Group S.A., 2.375%, 12/17/18 | 294,000 | 295,305 | ||||||
Tyco Electronics Group S.A., 1.1%, 3/01/23 | EUR | 350,000 | 376,678 | |||||
|
|
|||||||
$ | 6,543,745 | |||||||
Emerging Market Quasi-Sovereign - 1.0% | ||||||||
CNPC General Capital Ltd., 3.4%, 4/16/23 (n) | $ | 293,000 | $ | 293,609 | ||||
Comision Federal de Electricidad, 4.875%, 1/15/24 | 234,000 | 234,293 | ||||||
Corporacion Financiera de Desarrollo S.A., FRN, 5.25%, 7/15/29 (n) | 819,000 | 792,383 | ||||||
Empresa Nacional del Petroleo, 4.375%, 10/30/24 (n) | 200,000 | 193,612 | ||||||
Gaz Capital S.A., 4.95%, 2/06/28 | 383,000 | 325,473 | ||||||
Majapahit Holding B.V., 7.25%, 6/28/17 (n) | 591,000 | 626,460 | ||||||
Office Cherifien des Phosphates, 6.875%, 4/25/44 (n) | 351,000 | 340,997 | ||||||
ONGC Videsh Ltd., 4.625%, 7/15/24 | 511,000 | 514,734 | ||||||
Pemex Project Funding Master Trust, 5.75%, 3/01/18 | 642,000 | 663,507 | ||||||
Pertamina PT, 6%, 5/03/42 (n) | 318,000 | 264,273 | ||||||
Petroleos Mexicanos, 4.875%, 1/24/22 | 246,000 | 236,037 | ||||||
Petroleos Mexicanos, 6.875%, 8/04/26 (n) | 59,000 | 61,095 | ||||||
|
|
|||||||
$ | 4,546,473 | |||||||
Emerging Market Sovereign - 3.0% | ||||||||
Dominican Republic, 7.5%, 5/06/21 (n) | $ | 548,000 | $ | 590,470 | ||||
Dominican Republic, 5.875%, 4/18/24 (n) | 121,000 | 119,790 | ||||||
Dominican Republic, 8.625%, 4/20/27 | 891,000 | 984,555 | ||||||
Republic of Angola, 7%, 8/16/19 | 421,750 | 405,627 | ||||||
Republic of Croatia, 5.5%, 4/04/23 (n) | 2,108,000 | 2,197,194 | ||||||
Republic of Hungary, 5.375%, 2/21/23 | 672,000 | 739,234 | ||||||
Republic of Indonesia, 11.625%, 3/04/19 (n) | 571,000 | 718,673 | ||||||
Republic of Indonesia, 2.875%, 7/08/21 (z) | EUR | 175,000 | 190,753 | |||||
Republic of Indonesia, 3.375%, 4/15/23 (n) | $ | 302,000 | 290,779 | |||||
Republic of Indonesia, 4.125%, 1/15/25 (n) | 342,000 | 339,307 | ||||||
Republic of Kazakhstan, 5.125%, 7/21/25 (n) | 341,000 | 345,706 | ||||||
Republic of Panama, 3.75%, 3/16/25 | 204,000 | 206,550 | ||||||
Republic of Panama, 9.375%, 4/01/29 | 719,000 | 1,065,918 | ||||||
Republic of Paraguay, 6.1%, 8/11/44 (n) | 550,000 | 534,875 | ||||||
Republic of Romania, 6.75%, 2/07/22 (n) | 592,000 | 705,960 | ||||||
Republic of Slovakia, 4.375%, 5/21/22 (n) | 688,000 | 782,036 | ||||||
Republic of Turkey, 3.25%, 3/23/23 | 633,000 | 584,094 | ||||||
Russian Federation, 4.875%, 9/16/23 (n) | 400,000 | 413,240 | ||||||
United Mexican States, 6.5%, 6/10/21 | MXN | 38,500,000 | 2,213,599 | |||||
United Mexican States, 3.625%, 3/15/22 | $ | 506,000 | 517,132 | |||||
|
|
|||||||
$ | 13,945,492 |
6
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Energy - Independent - 1.9% | ||||||||
Afren PLC, 15%, 4/25/16 (d)(p) | $ | 388,334 | $ | 110,675 | ||||
Afren PLC, 10.25%, 4/08/19 (a)(d)(n) | 463,000 | 926 | ||||||
Baytex Energy Corp., 5.625%, 6/01/24 (n) | 505,000 | 275,225 | ||||||
Bonanza Creek Energy, Inc., 6.75%, 4/15/21 | 760,000 | 226,100 | ||||||
Bonanza Creek Energy, Inc., 5.75%, 2/01/23 | 180,000 | 45,000 | ||||||
Chaparral Energy, Inc., 7.625%, 11/15/22 | 1,830,000 | 128,100 | ||||||
Chesapeake Energy Corp., 5.75%, 3/15/23 | 1,825,000 | 383,250 | ||||||
Concho Resources, Inc., 5.5%, 4/01/23 | 1,455,000 | 1,353,150 | ||||||
EP Energy LLC, 9.375%, 5/01/20 | 435,000 | 127,238 | ||||||
EP Energy LLC, 7.75%, 9/01/22 | 2,360,000 | 637,200 | ||||||
Halcon Resources Corp., 8.875%, 5/15/21 | 1,000,000 | 110,000 | ||||||
Linn Energy LLC/Linn Energy Finance Corp., 8.625%, 4/15/20 | 615,000 | 29,213 | ||||||
Linn Energy LLC/Linn Energy Finance Corp., 7.75%, 2/01/21 | 1,668,000 | 64,635 | ||||||
Linn Energy LLC/Linn Energy Finance Corp., 6.5%, 9/15/21 | 600,000 | 25,500 | ||||||
Northern Blizzard Resources, Inc., 7.25%, 2/01/22 (n) | 587,000 | 440,250 | ||||||
Oasis Petroleum, Inc., 6.875%, 3/15/22 | 895,000 | 523,575 | ||||||
Pioneer Natural Resources Co., 3.95%, 7/15/22 | 175,000 | 166,101 | ||||||
QEP Resources, Inc., 5.25%, 5/01/23 | 2,170,000 | 1,519,000 | ||||||
RSP Permian, Inc., 6.625%, 10/01/22 | 1,205,000 | 1,078,475 | ||||||
Sanchez Energy Corp., 6.125%, 1/15/23 | 1,430,000 | 507,650 | ||||||
SM Energy Co., 6.5%, 11/15/21 | 1,345,000 | 605,250 | ||||||
SM Energy Co., 6.125%, 11/15/22 | 645,000 | 280,575 | ||||||
WPX Energy, Inc., 6%, 1/15/22 | 410,000 | 234,725 | ||||||
|
|
|||||||
$ | 8,871,813 | |||||||
Energy - Integrated - 0.4% | ||||||||
Chevron Corp., 3.326%, 11/17/25 | $ | 52,000 | $ | 52,109 | ||||
Inkia Energy Ltd., 8.375%, 4/04/21 | 754,000 | 731,380 | ||||||
Listrindo Capital B.V., 6.95%, 2/21/19 (n) | 200,000 | 203,240 | ||||||
LUKOIL International Finance B.V., 4.563%, 4/24/23 (n) | 544,000 | 495,388 | ||||||
Pacific Exploration and Production Corp., 7.25%, 12/12/21 (n) | 1,107,000 | 127,305 | ||||||
Pacific Exploration and Production Corp., 5.125%, 3/28/23 (n) | 201,000 | 20,854 | ||||||
Pacific Exploration and Production Corp., 5.625%, 1/19/25 (n) | 173,000 | 18,165 | ||||||
TOTAL S.A., 2.625% to 2/26/25, FRN to 12/29/49 | EUR | 200,000 | 190,570 | |||||
|
|
|||||||
$ | 1,839,011 | |||||||
Entertainment - 1.5% | ||||||||
Carmike Cinemas, Inc., 6%, 6/15/23 (n) | $ | 650,000 | $ | 683,313 | ||||
Carnival Corp., 1.875%, 11/07/22 | EUR | 330,000 | 361,329 | |||||
Cedar Fair LP, 5.25%, 3/15/21 | $ | 1,215,000 | 1,256,006 | |||||
Cedar Fair LP, 5.375%, 6/01/24 | 405,000 | 417,150 | ||||||
Cinemark USA, Inc., 5.125%, 12/15/22 | 1,430,000 | 1,453,238 | ||||||
Cinemark USA, Inc., 4.875%, 6/01/23 | 780,000 | 780,000 | ||||||
NCL Corp. Ltd., 5.25%, 11/15/19 (n) | 815,000 | 815,000 | ||||||
Six Flags Entertainment Corp., 5.25%, 1/15/21 (n) | 1,255,000 | 1,283,049 | ||||||
|
|
|||||||
$ | 7,049,085 | |||||||
Financial Institutions - 4.1% | ||||||||
Aircastle Ltd., 4.625%, 12/15/18 | $ | 130,000 | $ | 131,794 | ||||
Aircastle Ltd., 5.125%, 3/15/21 | 1,470,000 | 1,473,675 | ||||||
Aircastle Ltd., 5.5%, 2/15/22 | 870,000 | 868,913 | ||||||
CIT Group, Inc., 5.25%, 3/15/18 | 1,270,000 | 1,306,513 | ||||||
CIT Group, Inc., 6.625%, 4/01/18 (n) | 1,305,000 | 1,371,881 | ||||||
CIT Group, Inc., 5.5%, 2/15/19 (n) | 1,560,000 | 1,614,600 | ||||||
CIT Group, Inc., 5%, 8/15/22 | 275,000 | 276,031 |
7
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Financial Institutions - continued | ||||||||
Credit Acceptance Co., 7.375%, 3/15/23 (n) | $ | 1,180,000 | $ | 1,115,100 | ||||
GE Capital International Funding Co., 3.373%, 11/15/25 (n) | 558,000 | 583,712 | ||||||
Icahn Enterprises LP, 6%, 8/01/20 | 1,200,000 | 1,116,000 | ||||||
Icahn Enterprises LP, 5.875%, 2/01/22 | 1,560,000 | 1,361,100 | ||||||
Nationstar Mortgage LLC/Capital Corp., 6.5%, 8/01/18 | 615,000 | 601,163 | ||||||
Nationstar Mortgage LLC/Capital Corp., 7.875%, 10/01/20 | 2,310,000 | 2,177,175 | ||||||
Navient Corp., 8%, 3/25/20 | 1,135,000 | 1,120,813 | ||||||
Navient Corp., 5.875%, 3/25/21 | 405,000 | 355,388 | ||||||
Navient Corp., 7.25%, 1/25/22 | 2,235,000 | 2,033,850 | ||||||
Navient Corp., 6.125%, 3/25/24 | 515,000 | 431,004 | ||||||
PHH Corp., 6.375%, 8/15/21 | 1,055,000 | 923,125 | ||||||
|
|
|||||||
$ | 18,861,837 | |||||||
Food & Beverages - 1.8% | ||||||||
Anheuser-Busch InBev S.A., 6.875%, 11/15/19 | $ | 300,000 | $ | 350,968 | ||||
Anheuser-Busch InBev Worldwide, Inc., 3.3%, 2/01/23 | 408,000 | 419,267 | ||||||
Anheuser-Busch InBev Worldwide, Inc., 4.7%, 2/01/36 | 533,000 | 558,769 | ||||||
Coca-Cola Co., 0.75%, 3/09/23 | EUR | 175,000 | 191,190 | |||||
Coca-Cola Co., 1.125%, 3/09/27 | EUR | 125,000 | 134,219 | |||||
Coca-Cola Enterprises, Inc., 1.875%, 3/18/30 | EUR | 200,000 | 203,920 | |||||
Darling Ingredients, Inc., 5.375%, 1/15/22 | $ | 1,045,000 | 1,029,325 | |||||
Gruma S.A.B. de C.V., 4.875%, 12/01/24 (n) | 202,000 | 210,393 | ||||||
J.M. Smucker Co., 2.5%, 3/15/20 | 365,000 | 368,029 | ||||||
J.M. Smucker Co., 4.375%, 3/15/45 | 70,000 | 69,968 | ||||||
Kraft Heinz Co., 5%, 7/15/35 (n) | 102,000 | 106,324 | ||||||
Kraft Heinz Foods Co., 3.5%, 7/15/22 (n) | 202,000 | 208,017 | ||||||
Mead Johnson Nutrition Co., 3%, 11/15/20 | 287,000 | 290,000 | ||||||
Minerva Luxembourg S.A., 7.75%, 1/31/23 (n) | 204,000 | 192,882 | ||||||
PepsiCo, Inc., 2.15%, 10/14/20 | 858,000 | 868,433 | ||||||
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.875%, 1/15/24 (n) | 290,000 | 305,950 | ||||||
SABMiller Holdings, Inc., 1.875%, 1/20/20 | EUR | 100,000 | 114,778 | |||||
Sun Merger Sub, Inc., 5.875%, 8/01/21 (n) | $ | 1,890,000 | 1,922,489 | |||||
Tyson Foods, Inc., 6.6%, 4/01/16 | 412,000 | 413,739 | ||||||
Tyson Foods, Inc., 5.15%, 8/15/44 | 81,000 | 86,512 | ||||||
Wm. Wrigley Jr. Co., 2.9%, 10/21/19 (n) | 107,000 | 108,515 | ||||||
Wm. Wrigley Jr. Co., 3.375%, 10/21/20 (n) | 300,000 | 309,433 | ||||||
|
|
|||||||
$ | 8,463,120 | |||||||
Food & Drug Stores - 0.5% | ||||||||
CVS Health Corp., 3.375%, 8/12/24 | $ | 340,000 | $ | 352,068 | ||||
CVS Health Corp., 4.875%, 7/20/35 | 121,000 | 129,983 | ||||||
CVS Health Corp., 5.75%, 6/01/17 | 155,000 | 163,469 | ||||||
CVS Health Corp., 3.5%, 7/20/22 | 667,000 | 696,602 | ||||||
Walgreens Boots Alliance, Inc., 2.7%, 11/18/19 | 333,000 | 334,791 | ||||||
Walgreens Boots Alliance, Inc., 2.875%, 11/20/20 | GBP | 250,000 | 348,649 | |||||
Walgreens Boots Alliance, Inc., 4.5%, 11/18/34 | $ | 326,000 | 294,205 | |||||
|
|
|||||||
$ | 2,319,767 | |||||||
Forest & Paper Products - 0.2% | ||||||||
Appvion, Inc., 9%, 6/01/20 (n) | $ | 595,000 | $ | 198,581 | ||||
Smurfit Kappa Acquisitions, 2.75%, 2/01/25 (z) | EUR | 275,000 | 282,705 | |||||
Tembec Industries, Inc., 9%, 12/15/19 (n) | $ | 475,000 | 306,375 | |||||
|
|
|||||||
$ | 787,661 |
8
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Gaming & Lodging - 2.3% | ||||||||
CCM Merger, Inc., 9.125%, 5/01/19 (n) | $ | 1,055,000 | $ | 1,073,463 | ||||
GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/01/23 | 1,280,000 | 1,260,800 | ||||||
Greektown Holdings LLC, 8.875%, 3/15/19 (n) | 1,025,000 | 999,375 | ||||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.625%, 10/15/21 | 1,890,000 | 1,960,875 | ||||||
Isle of Capri Casinos, Inc., 8.875%, 6/15/20 | 300,000 | 315,000 | ||||||
Isle of Capri Casinos, Inc., 5.875%, 3/15/21 | 1,070,000 | 1,102,100 | ||||||
MGM Resorts International, 6.625%, 12/15/21 | 960,000 | 1,020,000 | ||||||
MGM Resorts International, 6%, 3/15/23 | 1,205,000 | 1,235,125 | ||||||
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/21 | 1,260,000 | 1,266,300 | ||||||
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/23 | 345,000 | 344,138 | ||||||
|
|
|||||||
$ | 10,577,176 | |||||||
Industrial - 0.9% | ||||||||
Anixter, Inc., 5.125%, 10/01/21 | $ | 765,000 | $ | 742,050 | ||||
Dematic S.A., 7.75%, 12/15/20 (n) | 1,515,000 | 1,499,850 | ||||||
Howard Hughes Corp., 6.875%, 10/01/21 (n) | 1,790,000 | 1,760,913 | ||||||
|
|
|||||||
$ | 4,002,813 | |||||||
Insurance - 0.5% | ||||||||
Allianz SE, 2.241%, 7/07/45 | EUR | 300,000 | $ | 302,930 | ||||
American International Group, Inc., 4.875%, 6/01/22 | $ | 187,000 | 199,467 | |||||
American International Group, Inc., 3.75%, 7/10/25 | 400,000 | 392,492 | ||||||
Aviva PLC, 3.375%, 12/04/45 | EUR | 260,000 | 245,911 | |||||
CNP Assurances S.A., 6% to 9/14/20, FRN to 9/14/40 | EUR | 200,000 | 230,124 | |||||
Delta Lloyd N.V., FRN, 9%, 8/29/42 | EUR | 250,000 | 286,077 | |||||
Old Mutual PLC, 7.875%, 11/03/25 | GBP | 250,000 | 339,677 | |||||
Unum Group, 7.125%, 9/30/16 | $ | 500,000 | 515,086 | |||||
|
|
|||||||
$ | 2,511,764 | |||||||
Insurance - Health - 0.3% | ||||||||
Centene Escrow Corp., 5.625%, 2/15/21 (n) | $ | 495,000 | $ | 517,275 | ||||
Centene Escrow Corp., 6.125%, 2/15/24 (n) | 495,000 | 525,319 | ||||||
UnitedHealth Group, Inc., 2.7%, 7/15/20 | 528,000 | 542,480 | ||||||
|
|
|||||||
$ | 1,585,074 | |||||||
Insurance - Property & Casualty - 0.4% | ||||||||
ACE INA Holdings, Inc., 2.3%, 11/03/20 | $ | 95,000 | $ | 95,551 | ||||
ACE INA Holdings, Inc., 2.875%, 11/03/22 | 221,000 | 224,874 | ||||||
Amlin PLC, 6.5% to 12/19/16, FRN to 12/19/26 | GBP | 100,000 | 137,271 | |||||
Berkshire Hathaway, Inc., 1.625%, 3/16/35 | EUR | 150,000 | 144,216 | |||||
Berkshire Hathaway, Inc., 4.5%, 2/11/43 | $ | 250,000 | 251,951 | |||||
Liberty Mutual Group, Inc., 4.25%, 6/15/23 | 109,000 | 111,657 | ||||||
Marsh & McLennan Cos., Inc., 3.5%, 6/03/24 | 159,000 | 159,134 | ||||||
QBE Capital Funding III Ltd., 7.5% to 5/24/21, FRN to 5/24/41 | GBP | 200,000 | 292,476 | |||||
ZFS Finance USA Trust V, 6.5% to 5/09/17, FRN to 5/09/67 (n) | $ | 627,000 | 621,044 | |||||
|
|
|||||||
$ | 2,038,174 | |||||||
International Market Quasi-Sovereign - 0.1% | ||||||||
Electricite de France S.A., 5.375% to 1/29/25, FRN to 1/29/49 | EUR | 200,000 | $ | 200,550 | ||||
Electricite de France S.A., 6% to 1/29/26, FRN to 12/29/49 | GBP | 100,000 | 118,440 | |||||
|
|
|||||||
$ | 318,990 | |||||||
International Market Sovereign - 8.8% | ||||||||
Commonwealth of Australia, 5.75%, 5/15/21 | AUD | 4,365,000 | $ | 3,696,874 | ||||
Commonwealth of Australia, 3.75%, 4/21/37 | AUD | 600,000 | 477,527 |
9
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
International Market Sovereign - continued | ||||||||
Federal Republic of Germany, 6.25%, 1/04/30 | EUR | 442,000 | $ | 866,212 | ||||
Federal Republic of Germany, 2.5%, 7/04/44 | EUR | 120,000 | 187,111 | |||||
Government of Canada, 3.25%, 6/01/21 | CAD | 187,000 | 156,314 | |||||
Government of Canada, 2.5%, 6/01/24 | CAD | 5,700,000 | 4,680,867 | |||||
Government of Canada, 5.75%, 6/01/33 | CAD | 948,000 | 1,110,386 | |||||
Government of Japan, 2.1%, 9/20/24 | JPY | 18,600,000 | 196,610 | |||||
Government of Japan, 0.3%, 12/20/25 | JPY | 16,400,000 | 150,661 | |||||
Government of Japan, 2.2%, 9/20/27 | JPY | 392,000,000 | 4,347,270 | |||||
Government of Japan, 2.4%, 3/20/37 | JPY | 113,400,000 | 1,352,191 | |||||
Government of Japan, 1.8%, 3/20/43 | JPY | 81,000,000 | 885,451 | |||||
Government of New Zealand, 5.5%, 4/15/23 | NZD | 2,369,000 | 1,848,280 | |||||
Government of Norway, 3.75%, 5/25/21 | NOK | 31,200,000 | 4,124,746 | |||||
Government of Norway, 3%, 3/14/24 | NOK | 2,445,000 | 321,352 | |||||
Kingdom of Spain, 4.6%, 7/30/19 | EUR | 1,130,000 | 1,410,092 | |||||
Kingdom of Spain, 5.4%, 1/31/23 | EUR | 1,416,000 | 1,986,612 | |||||
Republic of France, 4.75%, 4/25/35 | EUR | 468,000 | 822,077 | |||||
Republic of Ireland, 4.5%, 4/18/20 | EUR | 222,000 | 286,454 | |||||
Republic of Italy, 3.75%, 3/01/21 | EUR | 3,142,000 | 3,970,365 | |||||
Republic of Italy, 5.5%, 9/01/22 | EUR | 925,000 | 1,302,415 | |||||
Republic of Portugal, 4.95%, 10/25/23 | EUR | 1,228,000 | 1,550,449 | |||||
United Kingdom Treasury, 4.25%, 12/07/27 | GBP | 938,000 | 1,688,413 | |||||
United Kingdom Treasury, 4.25%, 3/07/36 | GBP | 1,415,000 | 2,653,465 | |||||
United Kingdom Treasury, 3.25%, 1/22/44 | GBP | 350,000 | 581,811 | |||||
|
|
|||||||
$ | 40,654,005 | |||||||
Local Authorities - 0.1% | ||||||||
Province of Alberta, 1.25%, 6/01/20 | CAD | 188,000 | $ | 138,317 | ||||
Province of Manitoba, 4.15%, 6/03/20 | CAD | 166,000 | 136,798 | |||||
|
|
|||||||
$ | 275,115 | |||||||
Machinery & Tools - 1.1% | ||||||||
Ashtead Capital, Inc., 5.625%, 10/01/24 (n) | $ | 1,185,000 | $ | 1,173,150 | ||||
CNH Industrial Capital LLC, 4.375%, 11/06/20 | 1,210,000 | 1,161,600 | ||||||
H&E Equipment Services Co., 7%, 9/01/22 | 1,740,000 | 1,657,350 | ||||||
Jurassic Holdings III, Inc., 6.875%, 2/15/21 (n) | 1,200,000 | 732,000 | ||||||
Light Tower Rentals, Inc., 8.125%, 8/01/19 (n) | 815,000 | 370,825 | ||||||
|
|
|||||||
$ | 5,094,925 | |||||||
Major Banks - 2.9% | ||||||||
ABN AMRO North America Finance, Inc., 7.125%, 7/06/22 | EUR | 150,000 | $ | 201,777 | ||||
Bank of America Corp., 7.625%, 6/01/19 | $ | 370,000 | 426,348 | |||||
Bank of America Corp., FRN, 6.1%, 12/29/49 | 3,467,000 | 3,362,990 | ||||||
Barclays Bank PLC, 6%, 1/14/21 | EUR | 150,000 | 183,493 | |||||
Barclays Bank PLC, 6.75% to 1/16/18, FRN to 1/16/23 | GBP | 100,000 | 144,508 | |||||
Credit Agricole S.A., 7.375%, 12/18/23 | GBP | 100,000 | 164,326 | |||||
Credit Agricole S.A., 7.875% to 10/26/19, FRN to 10/29/49 | EUR | 200,000 | 243,407 | |||||
Credit Suisse Group AG, 6.5%, 8/08/23 (n) | $ | 200,000 | 205,898 | |||||
Goldman Sachs Group, Inc., 5.75%, 1/24/22 | 500,000 | 568,047 | ||||||
Huntington National Bank, 2.4%, 4/01/20 | 286,000 | 284,040 | ||||||
JPMorgan Chase & Co., 6.3%, 4/23/19 | 500,000 | 561,085 | ||||||
JPMorgan Chase & Co., 3.25%, 9/23/22 | 478,000 | 485,621 | ||||||
JPMorgan Chase & Co., 6.75% to 2/01/24, FRN to 1/29/49 | 215,000 | 227,900 | ||||||
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 | 425,426 | ||||||
Morgan Stanley, 2.2%, 12/07/18 | 238,000 | 238,779 |
10
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Major Banks - continued | ||||||||
Morgan Stanley, 3.95%, 4/23/27 | $ | 229,000 | $ | 221,181 | ||||
Nationwide Building Society, 1.25%, 3/03/25 | EUR | 240,000 | 250,575 | |||||
PNC Bank N.A., 2.6%, 7/21/20 | $ | 295,000 | 299,829 | |||||
Royal Bank of Scotland Group PLC, 5.5%, 3/23/20 | EUR | 150,000 | 193,275 | |||||
Royal Bank of Scotland Group PLC, 3.625% to 3/25/19, FRN to 3/25/24 | EUR | 250,000 | 261,512 | |||||
Royal Bank of Scotland Group PLC, 7.5% to 8/10/20, FRN to 12/29/49 | $ | 1,440,000 | 1,299,456 | |||||
Royal Bank of Scotland Group PLC, 8% to 8/10/25, FRN to 12/29/49 | 200,000 | 182,500 | ||||||
Wells Fargo & Co., 4.1%, 6/03/26 | 100,000 | 103,277 | ||||||
Wells Fargo & Co., 5.875% to 6/15/25, FRN to 12/29/49 | 151,000 | 159,879 | ||||||
Wells Fargo & Co., 5.9% to 6/15/24, FRN to 12/29/49 | 253,000 | 253,633 | ||||||
|
|
|||||||
$ | 13,245,562 | |||||||
Medical & Health Technology & Services - 4.4% | ||||||||
Becton, Dickinson and Co., 2.675%, 12/15/19 | $ | 434,000 | $ | 443,081 | ||||
Becton, Dickinson and Co., 3.734%, 12/15/24 | 97,000 | 100,183 | ||||||
CHS/Community Health Systems, Inc., 6.875%, 2/01/22 | 2,250,000 | 1,929,375 | ||||||
Davita Healthcare Partners, Inc., 5%, 5/01/25 | 1,115,000 | 1,112,213 | ||||||
Davita, Inc., 5.125%, 7/15/24 | 935,000 | 951,363 | ||||||
Fresenius US Finance II, Inc., 4.25%, 2/01/21 (n) | 32,000 | 32,480 | ||||||
HCA, Inc., 4.25%, 10/15/19 | 145,000 | 149,350 | ||||||
HCA, Inc., 7.5%, 2/15/22 | 2,660,000 | 3,005,268 | ||||||
HCA, Inc., 5.875%, 3/15/22 | 1,665,000 | 1,785,713 | ||||||
HCA, Inc., 5%, 3/15/24 | 690,000 | 703,800 | ||||||
HCA, Inc., 5.375%, 2/01/25 | 520,000 | 529,750 | ||||||
HCA, Inc., 5.875%, 2/15/26 | 415,000 | 427,450 | ||||||
HealthSouth Corp., 5.125%, 3/15/23 | 1,180,000 | 1,162,300 | ||||||
HealthSouth Corp., 5.75%, 11/01/24 (n) | 910,000 | 919,100 | ||||||
Laboratory Corp. of America Holdings, 3.2%, 2/01/22 | 200,000 | 198,859 | ||||||
Laboratory Corp. of America Holdings, 4.7%, 2/01/45 | 310,000 | 292,307 | ||||||
LifePoint Hospitals, Inc., 5.5%, 12/01/21 | 730,000 | 753,725 | ||||||
McKesson Corp., 7.5%, 2/15/19 | 110,000 | 126,077 | ||||||
TeamHealth, Inc., 7.25%, 12/15/23 (n) | 210,000 | 220,500 | ||||||
Tenet Healthcare Corp., 8%, 8/01/20 | 2,015,000 | 2,035,150 | ||||||
Tenet Healthcare Corp., 4.5%, 4/01/21 | 920,000 | 914,250 | ||||||
Tenet Healthcare Corp., 8.125%, 4/01/22 | 685,000 | 673,437 | ||||||
Tenet Healthcare Corp., 6.75%, 6/15/23 | 610,000 | 552,813 | ||||||
Universal Health Services, Inc., 7.625%, 8/15/20 | 1,325,000 | 1,149,438 | ||||||
|
|
|||||||
$ | 20,167,982 | |||||||
Medical Equipment - 1.0% | ||||||||
Alere, Inc., 6.375%, 7/01/23 (n) | $ | 633,000 | $ | 694,718 | ||||
DJO Finco, Inc., 8.125%, 6/15/21 (n) | 865,000 | 724,438 | ||||||
Hologic, Inc., 5.25%, 7/15/22 (n) | 1,065,000 | 1,115,481 | ||||||
Medtronic, Inc., 3.5%, 3/15/25 | 615,000 | 645,730 | ||||||
Teleflex, Inc., 5.25%, 6/15/24 | 1,220,000 | 1,235,250 | ||||||
Zimmer Holdings, Inc., 4.25%, 8/15/35 | 145,000 | 134,712 | ||||||
Zimmer Holdings, Inc., 4.45%, 8/15/45 | 91,000 | 83,670 | ||||||
|
|
|||||||
$ | 4,633,999 | |||||||
Metals & Mining - 2.6% | ||||||||
Barrick North America Finance LLC, 5.75%, 5/01/43 | $ | 235,000 | $ | 193,552 | ||||
Cameco Corp., 5.67%, 9/02/19 | CAD | 262,000 | 210,369 | |||||
Century Aluminum Co., 7.5%, 6/01/21 (n) | $ | 915,000 | 590,175 | |||||
Commercial Metals Co., 4.875%, 5/15/23 | 1,065,000 | 915,900 | ||||||
Consol Energy, Inc., 5.875%, 4/15/22 | 1,315,000 | 858,038 |
11
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Metals & Mining - continued | ||||||||
Consol Energy, Inc., 8%, 4/01/23 | $ | 830,000 | $ | 556,100 | ||||
First Quantum Minerals Ltd., 7.25%, 10/15/19 (n) | 1,575,000 | 866,250 | ||||||
First Quantum Minerals Ltd., 7.25%, 5/15/22 (n) | 1,032,000 | 510,840 | ||||||
Freeport-McMoRan Oil & Gas LLC, 6.875%, 2/15/23 | 296,000 | 213,120 | ||||||
Freeport-McMoRan, Inc., 5.45%, 3/15/43 | 380,000 | 220,400 | ||||||
Glencore Finance (Europe) S.A., 6.5%, 2/27/19 | GBP | 50,000 | 66,861 | |||||
Glencore Finance (Europe) S.A., 1.25%, 3/17/21 | EUR | 330,000 | 287,701 | |||||
GrafTech International Co., 6.375%, 11/15/20 | $ | 1,235,000 | 716,300 | |||||
Hudbay Minerals, Inc., 9.5%, 10/01/20 | 960,000 | 547,546 | ||||||
Kinross Gold Corp., 5.95%, 3/15/24 | 435,000 | 348,000 | ||||||
Lundin Mining Corp., 7.5%, 11/01/20 (n) | 455,000 | 402,675 | ||||||
Lundin Mining Corp., 7.875%, 11/01/22 (n) | 805,000 | 660,100 | ||||||
Southern Copper Corp., 5.25%, 11/08/42 | 250,000 | 186,808 | ||||||
Southern Copper Corp., 5.875%, 4/23/45 | 238,000 | 188,177 | ||||||
Steel Dynamics, Inc., 5.125%, 10/01/21 | 430,000 | 419,250 | ||||||
Steel Dynamics, Inc., 5.25%, 4/15/23 | 755,000 | 707,813 | ||||||
Steel Dynamics, Inc., 5.5%, 10/01/24 | 430,000 | 403,125 | ||||||
Suncoke Energy Partners LP/Suncoke Energy Partners Finance Corp., 7.375%, 2/01/20 (n) | 380,000 | 239,400 | ||||||
Suncoke Energy Partners LP/Suncoke Energy Partners Finance Corp., 7.375%, 2/01/20 (n) | 910,000 | 573,300 | ||||||
Suncoke Energy, Inc., 7.625%, 8/01/19 | 127,000 | 123,190 | ||||||
TMS International Corp., 7.625%, 10/15/21 (n) | 675,000 | 511,313 | ||||||
Xstrata Finance (Canada) Ltd., 5.25%, 6/13/17 | EUR | 200,000 | 222,623 | |||||
|
|
|||||||
$ | 11,738,926 | |||||||
Midstream - 4.6% | ||||||||
AmeriGas Finance LLC, 6.75%, 5/20/20 | $ | 1,810,000 | $ | 1,837,150 | ||||
APT Pipelines Ltd., 5%, 3/23/35 (n) | 280,000 | 257,137 | ||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/22 (n) | 1,160,000 | 870,000 | ||||||
Crestwood Midstream Partners LP, 6%, 12/15/20 | 1,035,000 | 747,788 | ||||||
Crestwood Midstream Partners LP, 6.125%, 3/01/22 | 505,000 | 363,600 | ||||||
Dominion Gas Holdings LLC, 2.8%, 11/15/20 | 270,000 | 273,432 | ||||||
Energy Transfer Equity LP, 7.5%, 10/15/20 | 1,925,000 | 1,761,375 | ||||||
Energy Transfer Partners LP, 3.6%, 2/01/23 | 300,000 | 248,833 | ||||||
Energy Transfer Partners LP, 5.15%, 3/15/45 | 280,000 | 203,654 | ||||||
Enterprise Products Operating LLC, 1.65%, 5/07/18 | 296,000 | 285,978 | ||||||
Enterprise Products Operating LLC, 4.85%, 3/15/44 | 74,000 | 63,497 | ||||||
Enterprise Products Partners LP, 6.3%, 9/15/17 | 180,000 | 188,994 | ||||||
Ferrellgas LP/Ferrellgas Finance Corp., 6.5%, 5/01/21 | 1,165,000 | 891,225 | ||||||
Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, 1/15/22 | 1,250,000 | 900,000 | ||||||
Kinder Morgan (Delaware), Inc., 7.75%, 1/15/32 | 2,511,000 | 2,403,730 | ||||||
Kinder Morgan (Delaware), Inc., 5.55%, 6/01/45 | 49,000 | 40,678 | ||||||
Kinder Morgan Energy Partners LP, 5.3%, 9/15/20 | 370,000 | 362,975 | ||||||
Kinder Morgan Energy Partners LP, 5.4%, 9/01/44 | 140,000 | 109,574 | ||||||
Kinder Morgan, Inc., 2.25%, 3/16/27 | EUR | 125,000 | 109,446 | |||||
MPLX LP, 5.5%, 2/15/23 (n) | $ | 665,000 | 593,513 | |||||
MPLX LP, 4.5%, 7/15/23 (n) | 1,150,000 | 956,661 | ||||||
Pembina Pipeline Corp., 4.81%, 3/25/44 | CAD | 306,000 | 190,731 | |||||
Sabine Pass Liquefaction LLC, 5.625%, 2/01/21 | $ | 1,305,000 | 1,245,459 | |||||
Sabine Pass Liquefaction LLC, 5.625%, 4/15/23 | 1,755,000 | 1,618,988 | ||||||
Sabine Pass Liquefaction LLC, 5.75%, 5/15/24 | 575,000 | 529,357 | ||||||
Sabine Pass Liquefaction LLC, 5.625%, 3/01/25 | 1,074,000 | 974,655 | ||||||
Spectra Energy Capital LLC, 8%, 10/01/19 | 250,000 | 265,526 | ||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.5%, 7/01/21 | 530,000 | 397,500 | ||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.5%, 8/15/22 | 925,000 | 601,250 | ||||||
Sunoco Logistics Partners LP, 5.3%, 4/01/44 | 78,000 | 57,584 |
12
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Midstream - continued | ||||||||
Targa Resources Partners LP/Targa Resources Finance Corp., 5%, 1/15/18 | $ | 345,000 | $ | 330,551 | ||||
Targa Resources Partners LP/Targa Resources Finance Corp., 4.125%, 11/15/19 | 1,050,000 | 926,625 | ||||||
Targa Resources Partners LP/Targa Resources Finance Corp., 5.25%, 5/01/23 | 410,000 | 320,825 | ||||||
Williams Cos., Inc., 3.7%, 1/15/23 | 450,000 | 333,000 | ||||||
Williams Partners LP, 4.875%, 3/15/24 | 100,000 | 79,856 | ||||||
|
|
|||||||
$ | 21,341,147 | |||||||
Mortgage-Backed - 1.4% | ||||||||
Fannie Mae, 6%, 7/01/16 - 2/01/37 | $ | 147,441 | $ | 164,113 | ||||
Fannie Mae, 5.5%, 9/01/19 - 7/01/35 | 467,386 | 509,571 | ||||||
Fannie Mae, 6.5%, 4/01/32 - 1/01/33 | 62,872 | 74,250 | ||||||
Fannie Mae, FRN, 0.673%, 5/25/18 | 5,816,674 | 5,777,508 | ||||||
Freddie Mac, 6%, 8/01/34 | 98,446 | 113,293 | ||||||
|
|
|||||||
$ | 6,638,735 | |||||||
Natural Gas - Distribution - 0.1% | ||||||||
GNL Quintero S.A., 4.634%, 7/31/29 (n) | $ | 523,000 | $ | 494,235 | ||||
Network & Telecom - 2.1% | ||||||||
AT&T, Inc., 2.45%, 6/30/20 | $ | 277,000 | $ | 275,259 | ||||
AT&T, Inc., 5.65%, 2/15/47 | 456,000 | 472,253 | ||||||
British Telecom PLC, 5.75%, 12/07/28 | GBP | 150,000 | 254,274 | |||||
Centurylink, Inc., 6.45%, 6/15/21 | $ | 1,215,000 | 1,233,978 | |||||
Centurylink, Inc., 7.65%, 3/15/42 | 960,000 | 787,200 | ||||||
Columbus International, Inc., 7.375%, 3/30/21 (n) | 200,000 | 207,600 | ||||||
Frontier Communications Corp., 8.125%, 10/01/18 | 470,000 | 486,450 | ||||||
Frontier Communications Corp., 6.25%, 9/15/21 | 315,000 | 279,169 | ||||||
Frontier Communications Corp., 7.125%, 1/15/23 | 425,000 | 369,618 | ||||||
Frontier Communications Corp., 11%, 9/15/25 (n) | 350,000 | 350,438 | ||||||
Frontier Communications Corp., 9%, 8/15/31 | 1,135,000 | 925,025 | ||||||
OTE PLC, 3.5%, 7/09/20 | EUR | 260,000 | 250,173 | |||||
Telecom Italia Capital, 6%, 9/30/34 | $ | 305,000 | 263,063 | |||||
Telecom Italia Finance S.A., 7.75%, 1/24/33 | EUR | 85,000 | 112,690 | |||||
Telecom Italia S.p.A., 5.375%, 1/29/19 | EUR | 200,000 | 239,714 | |||||
Telecom Italia S.p.A., 5.303%, 5/30/24 (n) | $ | 1,200,000 | 1,164,000 | |||||
Telefonica Celular del Paraguay S.A., 6.75%, 12/13/22 | 517,000 | 482,103 | ||||||
Verizon Communications, Inc., 4.5%, 9/15/20 | 503,000 | 546,972 | ||||||
Verizon Communications, Inc., 5.15%, 9/15/23 | 250,000 | 283,025 | ||||||
Verizon Communications, Inc., 2.625%, 12/01/31 | EUR | 225,000 | 256,381 | |||||
Verizon Communications, Inc., 6.4%, 9/15/33 | $ | 300,000 | 349,571 | |||||
|
|
|||||||
$ | 9,588,956 | |||||||
Oil Services - 0.6% | ||||||||
Bristow Group, Inc., 6.25%, 10/15/22 | $ | 2,348,000 | $ | 1,326,620 | ||||
Odebrecht Offshore Drilling Finance Ltd., 6.75%, 10/01/22 (n) | 950,619 | 185,371 | ||||||
Pacific Drilling S.A., 5.375%, 6/01/20 (n) | 1,160,000 | 232,000 | ||||||
QGOG Constellation S.A., 6.25%, 11/09/19 (n) | 1,390,000 | 639,400 | ||||||
Shale-Inland Holdings LLC/Finance Co., 8.75%, 11/15/19 (n) | 780,000 | 483,600 | ||||||
|
|
|||||||
$ | 2,866,991 | |||||||
Oils - 0.4% | ||||||||
CITGO Holding, Inc., 10.75%, 2/15/20 (n) | $ | 535,000 | $ | 486,850 | ||||
CITGO Petroleum Corp., 6.25%, 8/15/22 (n) | 1,345,000 | 1,244,125 | ||||||
Valero Energy Corp., 4.9%, 3/15/45 | 232,000 | 186,129 | ||||||
|
|
|||||||
$ | 1,917,104 |
13
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Other Banks & Diversified Financials - 1.5% | ||||||||
Banco de Credito del Peru, 6.125% to 4/24/22, FRN to 4/24/27 (n) | $ | 518,000 | $ | 540,274 | ||||
Banco Inbursa S.A. Institucion de Banca Multiple Grupo Financiero Inbursa, 4.125%, 6/06/24 (n) | 310,000 | 291,013 | ||||||
Banco Popolare Societa Cooperativa, 3.5%, 3/14/19 | EUR | 320,000 | 351,906 | |||||
Bankia S.A., 3.5%, 1/17/19 | EUR | 200,000 | 226,241 | |||||
Banque Federative du Credit Mutuel S.A., 3%, 5/21/24 | EUR | 200,000 | 232,228 | |||||
BBVA Bancomer S.A. de C.V., 6.75%, 9/30/22 (n) | $ | 1,004,000 | 1,068,959 | |||||
CaixaBank S.A., 5% to 9/04/18, FRN to 11/14/23 | EUR | 200,000 | 219,419 | |||||
Capital One Bank (USA) N.A., 3.375%, 2/15/23 | $ | 384,000 | 373,492 | |||||
Capital One Financial Corp., 2.35%, 8/17/18 | 806,000 | 802,258 | ||||||
Discover Bank, 7%, 4/15/20 | 250,000 | 281,856 | ||||||
Discover Bank, 4.25%, 3/13/26 | 148,000 | 146,332 | ||||||
Groupe BPCE S.A., 12.5% to 9/30/19, FRN to 8/29/49 (n) | 1,513,000 | 1,854,681 | ||||||
Halyk Savings Bank of Kazakhstan B.V., 7.25%, 1/28/21 | 258,000 | 255,110 | ||||||
Intesa Sanpaolo S.p.A., 5.25%, 1/28/22 | GBP | 100,000 | 152,766 | |||||
|
|
|||||||
$ | 6,796,535 | |||||||
Pharmaceuticals - 2.9% | ||||||||
AbbVie, Inc., 2.5%, 5/14/20 | $ | 717,000 | $ | 717,821 | ||||
Actavis Funding SCS, 3.8%, 3/15/25 | 256,000 | 263,538 | ||||||
Actavis Funding SCS, 4.85%, 6/15/44 | 52,000 | 53,367 | ||||||
Allergan PLC, 1.875%, 10/01/17 | 200,000 | 200,163 | ||||||
Bayer AG, 3.00% to 7/01/20, FRN to 7/01/75 | EUR | 215,000 | 234,169 | |||||
Biogen, Inc., 5.2%, 9/15/45 | $ | 279,000 | 285,787 | |||||
Capsugel S.A., 7%, 5/15/19 (n)(p) | 235,000 | 235,294 | ||||||
Celgene Corp., 2.875%, 8/15/20 | 524,000 | 530,138 | ||||||
Endo Finance LLC/Endo Finco, Inc., 6%, 7/15/23 (n) | 310,000 | 313,100 | ||||||
Endo Finance LLC/Endo Finco, Inc., 7.75%, 1/15/22 (n) | 1,690,000 | 1,753,375 | ||||||
Endo Finance LLC/Endo Finco, Inc., 6%, 2/01/25 (n) | 450,000 | 447,750 | ||||||
Forest Laboratories, Inc., 4.375%, 2/01/19 (n) | 496,000 | 521,757 | ||||||
Gilead Sciences, Inc., 2.35%, 2/01/20 | 52,000 | 52,540 | ||||||
Gilead Sciences, Inc., 3.7%, 4/01/24 | 268,000 | 282,579 | ||||||
Gilead Sciences, Inc., 4.75%, 3/01/46 | 203,000 | 214,053 | ||||||
Johnson & Johnson, 2.05%, 3/01/23 | 245,000 | 245,204 | ||||||
Mallinckrodt International Finance S.A., 5.75%, 8/01/22 (n) | 1,085,000 | 1,071,438 | ||||||
Mallinckrodt International Finance S.A., 5.5%, 4/15/25 (n) | 280,000 | 263,900 | ||||||
Mylan, Inc., 2.55%, 3/28/19 | 265,000 | 260,981 | ||||||
Perrigo Finance PLC, 3.5%, 12/15/21 | 281,000 | 278,445 | ||||||
Valeant Pharmaceuticals International, Inc., 7%, 10/01/20 (n) | 1,740,000 | 1,639,950 | ||||||
Valeant Pharmaceuticals International, Inc., 7.25%, 7/15/22 (n) | 1,692,000 | 1,548,180 | ||||||
Valeant Pharmaceuticals International, Inc., 5.5%, 3/01/23 (n) | 260,000 | 216,450 | ||||||
Vantage Point Imaging, 7.5%, 7/15/21 (n) | 525,000 | 494,813 | ||||||
VRX Escrow Corp., 5.875%, 5/15/23 (n) | 1,250,000 | 1,054,688 | ||||||
|
|
|||||||
$ | 13,179,480 | |||||||
Precious Metals & Minerals - 0.5% | ||||||||
Aurico Gold, Inc., 7.75%, 4/01/20 (n) | $ | 625,000 | $ | 529,688 | ||||
Eldorado Gold Corp., 6.125%, 12/15/20 (n) | 1,980,000 | 1,655,775 | ||||||
|
|
|||||||
$ | 2,185,463 | |||||||
Printing & Publishing - 1.1% | ||||||||
American Media, Inc., 13.5%, 6/15/18 (z) | $ | 11,911 | $ | 11,576 | ||||
Nielsen Finance LLC, 5%, 4/15/22 (n) | 1,680,000 | 1,701,000 | ||||||
Outdoor Americas Capital LLC/Outfront Media Capital Corp., 5.625%, 2/15/24 | 1,070,000 | 1,113,463 | ||||||
TEGNA, Inc., 5.125%, 7/15/20 | 260,000 | 271,700 | ||||||
TEGNA, Inc., 4.875%, 9/15/21 (n) | 430,000 | 440,750 |
14
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Printing & Publishing - continued | ||||||||
TEGNA, Inc., 6.375%, 10/15/23 | $ | 1,385,000 | $ | 1,485,413 | ||||
|
|
|||||||
$ | 5,023,902 | |||||||
Real Estate - Apartment - 0.1% | ||||||||
Vonovia Finance B.V., FRN, REIT, 4.625%, 4/08/74 | EUR | 200,000 | $ | 217,390 | ||||
Vonovia SE, REIT, 2.125%, 7/09/22 | EUR | 225,000 | 253,102 | |||||
|
|
|||||||
$ | 470,492 | |||||||
Real Estate - Healthcare - 0.5% | ||||||||
MPT Operating Partnership LP, REIT, 6.875%, 5/01/21 | $ | 680,000 | $ | 708,900 | ||||
MPT Operating Partnership LP, REIT, 6.375%, 2/15/22 | 1,335,000 | 1,375,050 | ||||||
|
|
|||||||
$ | 2,083,950 | |||||||
Real Estate - Office - 0.1% | ||||||||
Boston Properties, Inc., REIT, 3.125%, 9/01/23 | $ | 250,000 | $ | 247,669 | ||||
Real Estate - Other - 0.6% | ||||||||
DuPont Fabros Technology LP, REIT, 5.875%, 9/15/21 | $ | 1,210,000 | $ | 1,258,400 | ||||
Felcor Lodging LP, REIT, 5.625%, 3/01/23 | 1,240,000 | 1,261,700 | ||||||
|
|
|||||||
$ | 2,520,100 | |||||||
Real Estate - Retail - 0.1% | ||||||||
Hammerson PLC, REIT, 2.75%, 9/26/19 | EUR | 100,000 | $ | 115,920 | ||||
Simon Property Group, Inc., REIT, 10.35%, 4/01/19 | $ | 360,000 | 441,093 | |||||
|
|
|||||||
$ | 557,013 | |||||||
Restaurants - 0.1% | ||||||||
McDonalds Corp., 4.875%, 12/09/45 | $ | 311,000 | $ | 328,253 | ||||
YUM! Brands, Inc., 5.35%, 11/01/43 | 155,000 | 112,375 | ||||||
|
|
|||||||
$ | 440,628 | |||||||
Retailers - 1.8% | ||||||||
Bed Bath & Beyond, Inc., 5.165%, 8/01/44 | $ | 145,000 | $ | 116,849 | ||||
Best Buy Co., Inc., 5.5%, 3/15/21 | 1,785,000 | 1,836,319 | ||||||
Bon Ton Stores, Inc., 8%, 6/15/21 | 254,000 | 92,710 | ||||||
Dollar General Corp., 4.125%, 7/15/17 | 400,000 | 412,657 | ||||||
DriveTime Automotive Group, Inc./DT Acceptance Corp., 8%, 6/01/21 (n) | 726,000 | 617,100 | ||||||
Family Tree Escrow LLC, 5.75%, 3/01/23 (n) | 1,600,000 | 1,702,000 | ||||||
Gap, Inc., 5.95%, 4/12/21 | 300,000 | 312,233 | ||||||
Home Depot, Inc., 3%, 4/01/26 | 310,000 | 320,520 | ||||||
Home Depot, Inc., 4.875%, 2/15/44 | 200,000 | 224,556 | ||||||
L Brands, Inc., 6.875%, 11/01/35 (n) | 75,000 | 79,688 | ||||||
Marks & Spencer Group PLC, 4.75%, 6/12/25 | GBP | 100,000 | 147,465 | |||||
Neiman Marcus Group Ltd., 8%, 10/15/21 (n) | $ | 990,000 | 697,851 | |||||
Rite Aid Corp., 9.25%, 3/15/20 | 515,000 | 543,325 | ||||||
Rite Aid Corp., 6.75%, 6/15/21 | 385,000 | 408,100 | ||||||
Rite Aid Corp., 6.125%, 4/01/23 (n) | 575,000 | 613,813 | ||||||
Sally Beauty Holdings, Inc., 5.625%, 12/01/25 | 340,000 | 353,600 | ||||||
|
|
|||||||
$ | 8,478,786 | |||||||
Specialty Chemicals - 0.6% | ||||||||
Chemtura Corp., 5.75%, 7/15/21 | $ | 1,760,000 | $ | 1,733,600 | ||||
Ecolab, Inc., 2.625%, 7/08/25 | EUR | 100,000 | 116,396 | |||||
Univar USA, Inc., 6.75%, 7/15/23 (n) | $ | 1,195,000 | 1,030,688 | |||||
|
|
|||||||
$ | 2,880,684 |
15
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Specialty Stores - 1.0% | ||||||||
Argos Merger Sub, Inc., 7.125%, 3/15/23 (n) | $ | 1,065,000 | $ | 1,088,963 | ||||
Group 1 Automotive, Inc., 5%, 6/01/22 | 1,600,000 | 1,496,000 | ||||||
Michaels Stores, Inc., 5.875%, 12/15/20 (n) | 1,020,000 | 1,050,600 | ||||||
Office Depot de Mexico S.A. de C.V., 6.875%, 9/20/20 (n) | 769,000 | 761,310 | ||||||
|
|
|||||||
$ | 4,396,873 | |||||||
Supermarkets - 0.1% | ||||||||
Casino Guichard Perrachon S.A., 4.726%, 5/26/21 | EUR | 200,000 | $ | 227,436 | ||||
Loblaw Cos. Ltd., 4.86%, 9/12/23 | CAD | 262,000 | 216,610 | |||||
William Morrison Supermarkets PLC, 3.5%, 7/27/26 | GBP | 100,000 | 122,833 | |||||
|
|
|||||||
$ | 566,879 | |||||||
Supranational - 1.8% | ||||||||
European Investment Bank, 1.75%, 3/15/17 | $ | 8,000,000 | $ | 8,072,568 | ||||
International Bank for Reconstruction and Development, 4.25%, 6/24/25 | AUD | 210,000 | 166,683 | |||||
International Finance Corp., 3.25%, 7/22/19 | AUD | 305,000 | 223,759 | |||||
|
|
|||||||
$ | 8,463,010 | |||||||
Telecommunications - Wireless - 4.2% | ||||||||
Altice S.A., 7.75%, 5/15/22 (n) | $ | 200,000 | $ | 193,500 | ||||
America Movil S.A.B. de C.V., 1%, 6/04/18 | EUR | 100,000 | 110,112 | |||||
America Movil S.A.B. de C.V., 4.75%, 6/28/22 | EUR | 200,000 | 264,874 | |||||
American Tower Corp., REIT, 3.5%, 1/31/23 | $ | 465,000 | 456,396 | |||||
Crown Castle International Corp., 5.25%, 1/15/23 | 1,200,000 | 1,270,500 | ||||||
Digicel Group Ltd., 8.25%, 9/30/20 (n) | 1,453,000 | 1,133,340 | ||||||
Digicel Group Ltd., 6%, 4/15/21 (n) | 680,000 | 582,080 | ||||||
Digicel Group Ltd., 7.125%, 4/01/22 (n) | 640,000 | 457,600 | ||||||
Digicel Group Ltd., 6.75%, 3/01/23 (n) | 1,350,000 | 1,150,875 | ||||||
Millicom International Cellular S.A., 4.75%, 5/22/20 (n) | 390,000 | 356,246 | ||||||
Millicom International Cellular S.A., 6.625%, 10/15/21 (n) | 205,000 | 192,700 | ||||||
MTS International Funding Ltd., 5%, 5/30/23 (n) | 488,000 | 458,720 | ||||||
SBA Tower Trust, 2.898%, 10/15/44 (n) | 220,000 | 220,676 | ||||||
Sprint Capital Corp., 6.875%, 11/15/28 | 1,625,000 | 1,178,125 | ||||||
Sprint Corp., 7.875%, 9/15/23 | 1,425,000 | 1,054,500 | ||||||
Sprint Corp., 7.125%, 6/15/24 | 1,655,000 | 1,179,188 | ||||||
Sprint Corp., 7%, 8/15/20 | 165,000 | 129,525 | ||||||
Sprint Nextel Corp., 9%, 11/15/18 (n) | 880,000 | 913,528 | ||||||
Sprint Nextel Corp., 6%, 11/15/22 | 830,000 | 585,150 | ||||||
T-Mobile USA, Inc., 6.125%, 1/15/22 | 135,000 | 138,713 | ||||||
T-Mobile USA, Inc., 6.5%, 1/15/24 | 615,000 | 631,913 | ||||||
T-Mobile USA, Inc., 6.464%, 4/28/19 | 235,000 | 241,463 | ||||||
T-Mobile USA, Inc., 6.25%, 4/01/21 | 2,590,000 | 2,713,025 | ||||||
T-Mobile USA, Inc., 6.633%, 4/28/21 | 515,000 | 538,175 | ||||||
T-Mobile USA, Inc., 6.5%, 1/15/26 | 775,000 | 785,362 | ||||||
Wind Acquisition Finance S.A., 4%, 7/15/20 (n) | EUR | 200,000 | 210,499 | |||||
Wind Acquisition Finance S.A., 4.75%, 7/15/20 (n) | $ | 870,000 | 839,550 | |||||
Wind Acquisition Finance S.A., 7.375%, 4/23/21 (n) | 1,550,000 | 1,426,000 | ||||||
|
|
|||||||
$ | 19,412,335 | |||||||
Telephone Services - 0.9% | ||||||||
B Communications Ltd., 7.375%, 2/15/21 (n) | $ | 1,821,000 | $ | 1,966,680 | ||||
Level 3 Financing, Inc., 5.375%, 1/15/24 (n) | 360,000 | 369,000 | ||||||
Level 3 Financing, Inc., 5.375%, 5/01/25 | 1,270,000 | 1,292,225 | ||||||
TDC A.S., 3.5% to 2/26/21, FRN to 2/26/3015 | EUR | 300,000 | 283,929 | |||||
TELUS Corp., 5.05%, 7/23/20 | CAD | 265,000 | 217,263 | |||||
|
|
|||||||
$ | 4,129,097 |
16
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Tobacco - 0.3% | ||||||||
Imperial Tobacco Finance PLC, 4.25%, 7/21/25 (n) | $ | 455,000 | $ | 473,555 | ||||
Philip Morris International, Inc., 4.875%, 11/15/43 | 174,000 | 194,971 | ||||||
Reynolds American, Inc., 6.75%, 6/15/17 | 400,000 | 429,392 | ||||||
Reynolds American, Inc., 8.125%, 6/23/19 | 92,000 | 108,428 | ||||||
Reynolds American, Inc., 3.25%, 6/12/20 | 41,000 | 42,635 | ||||||
Reynolds American, Inc., 4.45%, 6/12/25 | 98,000 | 106,415 | ||||||
Reynolds American, Inc., 5.7%, 8/15/35 | 118,000 | 133,203 | ||||||
|
|
|||||||
$ | 1,488,599 | |||||||
Transportation - Services - 1.3% | ||||||||
ERAC USA Finance LLC, 6.375%, 10/15/17 (n) | $ | 400,000 | $ | 427,262 | ||||
ERAC USA Finance LLC, 7%, 10/15/37 (n) | 250,000 | 307,517 | ||||||
Heathrow Funding Ltd., 4.625%, 10/31/46 | GBP | 100,000 | 150,210 | |||||
HIT Finance B.V., 4.875%, 10/27/21 | EUR | 150,000 | 196,881 | |||||
Jack Cooper Holdings Corp., 10.25%, 6/01/20 (n) | $ | 1,140,000 | 855,000 | |||||
Navios Maritime Acquisition Corp., 8.125%, 11/15/21 (n) | 1,349,000 | 947,673 | ||||||
Navios Maritime Holding, Inc., 7.375%, 1/15/22 (n) | 1,130,000 | 361,600 | ||||||
SPL Logistics Escrow LLC, 8.875%, 8/01/20 (n) | 590,000 | 501,500 | ||||||
Stagecoach Group PLC, 4%, 9/29/25 | GBP | 300,000 | 421,276 | |||||
Stena AB, 7%, 2/01/24 (n) | $ | 1,770,000 | 1,281,038 | |||||
Syncreon Group BV/Syncre, 8.625%, 11/01/21 (n) | 670,000 | 509,200 | ||||||
|
|
|||||||
$ | 5,959,157 | |||||||
U.S. Government Agencies and Equivalents - 2.8% | ||||||||
Fannie Mae, 1.125%, 4/27/17 | $ | 8,000,000 | $ | 8,038,688 | ||||
Freddie Mac, 0.875%, 2/22/17 | 5,000,000 | 5,008,815 | ||||||
|
|
|||||||
$ | 13,047,503 | |||||||
U.S. Treasury Obligations - 6.1% | ||||||||
U.S. Treasury Bonds, 5.375%, 2/15/31 | $ | 286,200 | $ | 410,026 | ||||
U.S. Treasury Bonds, 4.5%, 2/15/36 | 95,000 | 130,703 | ||||||
U.S. Treasury Bonds, 4.75%, 2/15/37 (f) | 3,042,200 | 4,319,805 | ||||||
U.S. Treasury Bonds, 3.125%, 2/15/43 (f) | 2,920,000 | 3,244,850 | ||||||
U.S. Treasury Notes, 0.5%, 6/30/16 | 20,000,000 | 20,003,900 | ||||||
|
|
|||||||
$ | 28,109,284 | |||||||
Utilities - Electric Power - 2.6% | ||||||||
AES Gener S.A., 5%, 7/14/25 (n) | $ | 207,000 | $ | 197,089 | ||||
American Electric Power Co., Inc., 1.65%, 12/15/17 | 185,000 | 183,719 | ||||||
Calpine Corp., 5.375%, 1/15/23 | 350,000 | 326,375 | ||||||
Calpine Corp., 5.5%, 2/01/24 | 1,765,000 | 1,588,500 | ||||||
Covanta Holding Corp., 7.25%, 12/01/20 | 1,830,000 | 1,797,975 | ||||||
Covanta Holding Corp., 6.375%, 10/01/22 | 310,000 | 285,975 | ||||||
Covanta Holding Corp., 5.875%, 3/01/24 | 340,000 | 292,400 | ||||||
Dominion Resources, Inc., 2.5%, 12/01/19 | 250,000 | 251,878 | ||||||
E.CL S.A., 5.625%, 1/15/21 | 757,000 | 825,845 | ||||||
E.CL S.A., 4.5%, 1/29/25 (n) | 512,000 | 513,538 | ||||||
E.ON International Finance B.V., 6.375%, 6/07/32 | GBP | 50,000 | 82,125 | |||||
EDP Finance B.V., 5.25%, 1/14/21 (n) | $ | 200,000 | 197,598 | |||||
EDP Finance B.V., 4.125%, 1/20/21 | EUR | 150,000 | 171,336 | |||||
Empresa Electrica Angamos S.A., 4.875%, 5/25/29 (n) | $ | 319,000 | 276,524 | |||||
Enel Finance International N.V., 4.875%, 3/11/20 | EUR | 200,000 | 254,848 | |||||
Enel S.p.A., 6.25%, 6/20/19 | GBP | 100,000 | 157,139 | |||||
Enel S.p.A., 6.625% to 9/15/2021, FRN to 9/15/76 | GBP | 130,000 | 178,453 | |||||
Greenko Dutch B.V., 8%, 8/01/19 (n) | $ | 378,000 | 397,647 |
17
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Bonds - continued | ||||||||
Utilities - Electric Power - continued | ||||||||
NRG Energy, Inc., 8.25%, 9/01/20 | $ | 1,085,000 | $ | 1,036,175 | ||||
NRG Energy, Inc., 6.25%, 7/15/22 | 115,000 | 97,175 | ||||||
NRG Energy, Inc., 6.625%, 3/15/23 | 1,885,000 | 1,592,825 | ||||||
PG&E Corp., 2.4%, 3/01/19 | 166,000 | 167,661 | ||||||
PPL WEM Holdings PLC, 5.375%, 5/01/21 (n) | 250,000 | 277,430 | ||||||
Southern Electric Power Co. Ltd., 4.625%, 2/20/37 | GBP | 100,000 | 153,008 | |||||
TerraForm Power Operating Co., 5.875%, 2/01/23 (n) | $ | 889,000 | 666,750 | |||||
|
|
|||||||
$ | 11,969,988 | |||||||
Total Bonds | $ | 530,739,439 | ||||||
Floating Rate Loans (g)(r) - 0.9% | ||||||||
Aerospace - 0.1% | ||||||||
TransDigm, Inc., Term Loan C, 3.75%, 2/28/20 | $ | 536,719 | $ | 519,755 | ||||
Cable TV - 0.0% | ||||||||
Cequel Communications LLC, Term Loan B, 3.8125%, 2/14/19 | $ | 78,847 | $ | 77,017 | ||||
Conglomerates - 0.0% | ||||||||
Entegris, Inc., Term Loan B, 3.5%, 4/30/21 | $ | 105,097 | $ | 102,776 | ||||
Consumer Services - 0.1% | ||||||||
Realogy Corp., Term Loan B, 3.75%, 3/05/20 | $ | 305,534 | $ | 302,351 | ||||
Containers - 0.1% | ||||||||
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21 | $ | 325,291 | $ | 319,639 | ||||
Entertainment - 0.1% | ||||||||
Cedar Fair LP, Term Loan B, 3.25%, 3/06/20 | $ | 327,318 | $ | 327,318 | ||||
Gaming & Lodging - 0.0% | ||||||||
Hilton Worldwide Finance LLC, Term Loan B2, 3.5%, 10/25/20 | $ | 106,979 | $ | 106,551 | ||||
Medical & Health Technology & Services - 0.2% | ||||||||
DaVita HealthCare Partners, Inc., Term Loan B, 3.5%, 6/24/21 | $ | 939,907 | $ | 936,148 | ||||
Printing & Publishing - 0.0% | ||||||||
CBS Outdoor Americas Capital LLC, Term Loan B, 3%, 1/31/21 | $ | 90,106 | $ | 88,670 | ||||
Retailers - 0.0% | ||||||||
Rite Aid Corp., Second Lien Term Loan, 4.875%, 6/21/21 | $ | 44,587 | $ | 44,476 | ||||
Transportation - Services - 0.3% | ||||||||
Commercial Barge Line Co., First Lien Term Loan, 9.75%, 11/12/20 | $ | 1,268,829 | $ | 1,110,225 | ||||
Utilities - Electric Power - 0.0% | ||||||||
Calpine Construction Finance Co. LP, Term Loan B1, 3%, 5/03/20 | $ | 121,580 | $ | 113,525 | ||||
Total Floating Rate Loans | $ | 4,048,451 | ||||||
Common Stocks - 1.5% | ||||||||
Automotive - 0.0% | ||||||||
Accuride Corp. (a) | 12,648 | $ | 16,189 |
18
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||||
Common Stocks - continued | ||||||||
Special Products & Services - 1.5% | ||||||||
iShares iBoxx $ High Yield Corporate Bond ETF | 85,200 | $ | 6,822,816 | |||||
Total Common Stocks | $ | 6,839,005 | ||||||
Money Market Funds - 6.9% | ||||||||
MFS Institutional Money Market Portfolio, 0.35%, at Net Asset Value (v) | 31,631,440 | $ | 31,631,440 | |||||
Total Investments | $ | 573,258,335 | ||||||
Other Assets, Less Liabilities - (24.7)% | (113,398,431 | ) | ||||||
Net Assets - 100.0% | $ | 459,859,904 |
(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. |
(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 $155,439,709, representing 33.8% of net assets. |
(p) | Payment-in-kind security. |
(r) | Remaining maturities of floating rate loans may be less than stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. These loans may be subject to restrictions on resale. Floating rate loans generally have rates of interest which are determined periodically by reference to a base lending rate plus a premium. |
(v) | Underlying affiliated fund that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
(z) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities: |
Restricted Securities | Acquisition Date |
Cost | Value | |||||||
American Media, Inc., 13.5%, 6/15/18 | 12/22/10 | $11,990 | $11,576 | |||||||
Atrium CDO Corp., FRN, 1.42%, 11/16/22 | 2/03/16-2/04/16 | 2,303,231 | 2,290,102 | |||||||
Bayview Financial Revolving Mortgage Loan Trust, FRN, 2.021%, 12/28/40 | 3/01/06 | 594,816 | 428,971 | |||||||
Crown European Holdings S.A., 3.375%, 5/15/25 | 4/28/15 | 384,073 | 357,427 | |||||||
Enterprise Fleet Financing LLC, 0.91%, 9/20/18 | 2/04/16 | 1,954,668 | 1,954,179 | |||||||
Republic of Indonesia, 2.875%, 7/08/21 | 7/02/14 | 237,726 | 190,753 | |||||||
Smurfit Kappa Acquisitions, 2.75%, 2/01/25 | 2/11/15 | 310,613 | 282,705 | |||||||
Total Restricted Securities | $5,515,713 | |||||||||
% of Net assets | 1.2% |
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 | |
CAD | Canadian Dollar | |
DKK | Danish Krone |
19
Portfolio of Investments (unaudited) continued
EUR | Euro | |
GBP | British Pound | |
JPY | Japanese Yen | |
KRW | Korean Won | |
MXN | Mexican Peso | |
MYR | Malaysian Ringgit | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
SEK | Swedish Krona | |
SGD | Singapore Dollar | |
THB | Thailand Baht | |
ZAR | South African Rand |
Derivative Contracts at 2/29/16
Forward Foreign Currency Exchange Contracts at 2/29/16
Type | Currency | Counterparty | Contracts to Deliver/Receive |
Settlement Date Range |
In Exchange For |
Contracts at Value |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||
Asset Derivatives | ||||||||||||||||||||||
BUY | CAD | Citibank N.A. |
3,229,000 | 4/15/16 | $2,326,066 | $2,386,649 | $60,583 | |||||||||||||||
BUY | CAD | Goldman Sachs International |
4,746,146 | 4/15/16 | 3,405,140 | 3,508,016 | 102,876 | |||||||||||||||
BUY | EUR | Brown Brothers Harriman |
155,667 | 4/15/16 | 168,744 | 169,566 | 822 | |||||||||||||||
BUY | EUR | Citibank N.A. |
140,000 | 4/15/16 | 151,531 | 152,500 | 969 | |||||||||||||||
BUY | EUR | Goldman Sachs International |
1,140,000 | 4/15/16 | 1,241,263 | 1,241,788 | 525 | |||||||||||||||
BUY | EUR | JPMorgan Chase Bank N.A. |
511,000 | 4/15/16 | 556,467 | 556,626 | 159 | |||||||||||||||
SELL | EUR | Deutsche Bank AG |
2,199,606 | 3/18/16-4/15/16 | 2,425,446 | 2,394,632 | 30,814 | |||||||||||||||
SELL | EUR | Goldman Sachs International |
227,799 | 4/15/16 | 252,097 | 248,139 | 3,958 | |||||||||||||||
SELL | EUR | JPMorgan Chase Bank N.A. |
2,188,000 | 4/15/16 | 2,438,318 | 2,383,361 | 54,957 | |||||||||||||||
SELL | GBP | Barclays Bank PLC |
1,247,218 | 4/15/16 | 1,812,652 | 1,736,218 | 76,434 | |||||||||||||||
SELL | GBP | BNP Paribas S.A. |
8,677,786 | 4/15/16 | 12,533,023 | 12,080,105 | 452,918 | |||||||||||||||
SELL | GBP | Deutsche Bank AG |
170,000 | 4/15/16 | 243,164 | 236,652 | 6,512 | |||||||||||||||
BUY | JPY | Goldman Sachs International |
1,137,813,993 | 4/15/16 | 9,809,851 | 10,105,368 | 295,517 | |||||||||||||||
BUY | KRW | JPMorgan Chase Bank N.A. |
44,218,500 | 5/02/16 | 35,573 | 35,704 | 131 | |||||||||||||||
SELL | MXN | JPMorgan Chase Bank N.A. |
39,906,146 | 4/15/16 | 2,221,587 | 2,193,104 | 28,483 | |||||||||||||||
BUY | MYR | Deutsche Bank AG |
235,000 | 3/15/16 | 53,439 | 55,828 | 2,389 | |||||||||||||||
SELL | MYR | JPMorgan Chase Bank N.A. |
9,824,000 | 3/03/16 | 2,356,120 | 2,336,076 | 20,044 | |||||||||||||||
BUY | NZD | Citibank N.A. |
472,000 | 4/15/16 | 305,794 | 310,202 | 4,408 | |||||||||||||||
BUY | NZD | Deutsche Bank AG |
1,453,000 | 4/15/16 | 941,559 | 954,922 | 13,363 | |||||||||||||||
BUY | NZD | Goldman Sachs International |
726,000 | 4/15/16 | 470,785 | 477,133 | 6,348 | |||||||||||||||
BUY | NZD | JPMorgan Chase Bank N.A. |
727,000 | 4/15/16 | 471,258 | 477,790 | 6,532 | |||||||||||||||
BUY | NZD | Merrill Lynch International |
145,000 | 4/15/16 | 93,921 | 95,295 | 1,374 | |||||||||||||||
SELL | SEK | Goldman Sachs International |
5,797,668 | 4/15/16 | 682,456 | 678,294 | 4,162 | |||||||||||||||
BUY | SGD | Deutsche Bank AG |
40,141 | 4/15/16 | 27,942 | 28,523 | 581 | |||||||||||||||
BUY | THB | JPMorgan Chase Bank N.A. |
29,000 | 3/24/16 | 798 | 813 | 15 | |||||||||||||||
BUY | ZAR | UBS AG |
569,852 | 4/15/16 | 33,613 | 35,608 | 1,995 | |||||||||||||||
|
|
|||||||||||||||||||||
$1,176,869 | ||||||||||||||||||||||
|
|
|||||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||||
SELL | AUD | Westpac Banking Corp. |
6,297,178 | 4/15/16 | $4,380,538 | $4,485,619 | $(105,081 | ) | ||||||||||||||
SELL | CAD | Goldman Sachs International |
6,662,866 | 4/15/16 | 4,796,856 | 4,924,721 | (127,865 | ) | ||||||||||||||
SELL | CAD | Merrill Lynch International |
11,642,973 | 4/15/16 | 8,221,262 | 8,605,664 | (384,402 | ) | ||||||||||||||
BUY | CHF | UBS AG |
15,082 | 4/15/16 | 15,164 | 15,138 | (26 | ) | ||||||||||||||
BUY | DKK | Goldman Sachs International |
6,177,004 | 4/15/16 | 933,365 | 902,178 | (31,187 | ) | ||||||||||||||
SELL | DKK | Credit Suisse Group |
6,145,566 | 4/15/16 | 894,291 | 897,586 | (3,295 | ) | ||||||||||||||
BUY | EUR | Goldman Sachs International |
5,353,688 | 4/15/16 | 5,992,014 | 5,831,705 | (160,309 | ) | ||||||||||||||
SELL | EUR | Goldman Sachs International |
29,071,046 | 4/15/16 | 31,575,083 | 31,666,724 | (91,641 | ) | ||||||||||||||
BUY | GBP | Goldman Sachs International |
3,445,076 | 4/15/16 | 4,947,960 | 4,795,795 | (152,165 | ) | ||||||||||||||
SELL | JPY | Brown Brothers Harriman |
95,000,000 | 4/15/16 | 834,919 | 843,732 | (8,813 | ) | ||||||||||||||
SELL | JPY | Goldman Sachs International |
577,995,000 | 4/15/16 | 5,019,079 | 5,133,398 | (114,319 | ) |
20
Portfolio of Investments (unaudited) continued
Forward Foreign Currency Exchange Contracts at 2/29/16 - continued
Type | Currency | Counterparty | Contracts to Deliver/Receive |
Settlement Date Range |
In Exchange For |
Contracts at Value |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||
Liability Derivatives continued | ||||||||||||||||||||||
SELL | JPY | UBS AG |
1,308,994,101 | 4/15/16 | $11,153,285 | $11,625,685 | $(472,400 | ) | ||||||||||||||
BUY | KRW | JPMorgan Chase Bank N.A. |
44,218,500 | 3/03/16 | 36,606 | 35,755 | (851 | ) | ||||||||||||||
SELL | KRW | JPMorgan Chase Bank N.A. |
44,218,500 | 3/03/16 | 35,631 | 35,755 | (124 | ) | ||||||||||||||
BUY | MYR | Barclays Bank PLC |
3,013,000 | 3/03/16 | 723,583 | 716,470 | (7,113 | ) | ||||||||||||||
BUY | MYR | JPMorgan Chase Bank N.A. |
7,020,000 | 3/03/16-3/15/16 | 1,689,013 | 1,669,257 | (19,756 | ) | ||||||||||||||
SELL | NOK | Goldman Sachs International |
39,629,594 | 4/15/16 | 4,465,055 | 4,552,541 | (87,486 | ) | ||||||||||||||
SELL | NZD | Barclays Bank PLC |
437,000 | 4/15/16 | 281,052 | 287,200 | (6,148 | ) | ||||||||||||||
SELL | NZD | Deutsche Bank AG |
2,043,000 | 4/15/16 | 1,313,520 | 1,342,675 | (29,155 | ) | ||||||||||||||
SELL | NZD | Goldman Sachs International |
731,000 | 4/15/16 | 470,166 | 480,419 | (10,253 | ) | ||||||||||||||
SELL | NZD | UBS AG |
393,000 | 4/15/16 | 252,837 | 258,283 | (5,446 | ) | ||||||||||||||
SELL | NZD | Westpac Banking Corp. |
2,785,827 | 4/15/16 | 1,809,060 | 1,830,866 | (21,806 | ) | ||||||||||||||
BUY | SEK | Goldman Sachs International |
6,077,787 | 4/15/16 | 723,309 | 711,066 | (12,243 | ) | ||||||||||||||
BUY | SGD | JPMorgan Chase Bank N.A. |
3,225,000 | 4/15/16 | 2,306,599 | 2,291,534 | (15,065 | ) | ||||||||||||||
SELL | SGD | Deutsche Bank AG |
602,000 | 4/15/16 | 421,902 | 427,753 | (5,851 | ) | ||||||||||||||
SELL | SGD | Goldman Sachs International |
1,507,000 | 4/15/16 | 1,055,915 | 1,070,803 | (14,888 | ) | ||||||||||||||
SELL | SGD | JPMorgan Chase Bank N.A. |
771,000 | 4/15/16 | 540,235 | 547,836 | (7,601 | ) | ||||||||||||||
SELL | SGD | Merrill Lynch International |
452,000 | 4/15/16 | 316,745 | 321,170 | (4,425 | ) | ||||||||||||||
|
|
|||||||||||||||||||||
$(1,899,714 | ) | |||||||||||||||||||||
|
|
Futures Contracts at 2/29/16
Description | Currency | Contracts | Value | Expiration Date | Unrealized Appreciation (Depreciation) |
|||||||||||
Asset Derivatives | ||||||||||||||||
Interest Rate Futures | ||||||||||||||||
Euro-Bobl 5 yr (Long) | EUR | 115 | $16,679,957 | March - 2016 | $340,280 | |||||||||||
Euro-Bund 10 yr (Long) | EUR | 82 | 14,859,559 | March - 2016 | 830,324 | |||||||||||
Euro-Buxl 30 yr (Long) | EUR | 17 | 3,140,189 | March - 2016 | 349,156 | |||||||||||
Japanese Government Note 10 yr (Long) | JPY | 18 | 24,290,541 | March - 2016 | 549,155 | |||||||||||
U.K. Gilt 10 yr (Long) | GBP | 35 | 5,938,817 | June - 2016 | 2,436 | |||||||||||
U.S. Treasury Bond 30 yr (Short) | USD | 4 | 658,125 | June - 2016 | 6,094 | |||||||||||
U.S. Treasury Note 10 yr (Short) | USD | 617 | 80,528,141 | June - 2016 | 72,304 | |||||||||||
|
|
|||||||||||||||
$2,149,749 | ||||||||||||||||
|
|
At February 29, 2016, the fund had cash collateral of $250,000 and other liquid securities with an aggregate value of $1,834,014 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.
21
Supplemental Information
2/29/16 (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 on their primary market or exchange as provided by a third-party pricing service. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation on their primary market or exchange as provided by a third-party pricing service. 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 on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party pricing service. 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
22
Supplemental Information (unaudited) continued
financial instruments are derivative instruments not reflected in total investments, such as futures contracts and forward foreign currency exchange contracts. The following is a summary of the levels used as of February 29, 2016 in valuing the funds assets or liabilities:
Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Securities | $6,839,005 | $ | $ | $6,839,005 | ||||||||||||
U.S. Treasury Bonds & U.S. Government Agency & Equivalents | | 41,156,787 | | 41,156,787 | ||||||||||||
Non-U.S. Sovereign Debt | | 67,927,970 | | 67,927,970 | ||||||||||||
U.S. Corporate Bonds | | 306,541,626 | | 306,541,626 | ||||||||||||
Residential Mortgage-Backed Securities | | 6,638,735 | | 6,638,735 | ||||||||||||
Commercial Mortgage-Backed Securities | | 17,106,077 | | 17,106,077 | ||||||||||||
Asset-Backed Securities (including CDOs) | | 8,558,603 | | 8,558,603 | ||||||||||||
Foreign Bonds | | 82,809,641 | | 82,809,641 | ||||||||||||
Floating Rate Loans | | 4,048,451 | | 4,048,451 | ||||||||||||
Mutual Funds | 31,631,440 | | | 31,631,440 | ||||||||||||
Total Investments | $38,470,445 | $534,787,890 | $ | $573,258,335 | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts | $2,149,749 | $ | $ | $2,149,749 | ||||||||||||
Forward Foreign Currency Contracts | | (722,845 | ) | | (722,845 | ) |
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.
Foreign Bond | ||||
Balance as of 11/30/15 | $270,914 | |||
Accretion/Amortization |
6,044 | |||
Change in unrealized appreciation (depreciation) |
(166,282 | ) | ||
Transfers out of level 3 |
(110,676 | ) | ||
Balance as of 2/29/16 | $ |
(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 | $630,353,504 | |||
Gross unrealized appreciation | 6,319,959 | |||
Gross unrealized depreciation | (63,415,128 | ) | ||
Net unrealized appreciation (depreciation) | $(57,095,169 | ) |
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 |
Acquisitions Shares/Par Amount |
Dispositions Shares/Par Amount |
Ending Shares/Par |
||||||||||||
MFS Institutional Money Market Portfolio | 33,059,493 | 40,002,559 | (41,430,612 | ) | 31,631,440 | |||||||||||
Underlying Affiliated Fund | Realized Gain (Loss) |
Capital Gain Distributions |
Dividend Income |
Ending Value |
||||||||||||
MFS Institutional Money Market Portfolio | $ | $ | $18,465 | $31,631,440 |
23
Supplemental Information (unaudited) continued
(4) Issuer Country Weightings
Issuer country weighting percentages of portfolio holdings based on net assets, as of February 29, 2016, are as follows:
United States | 52.5% | |||
Germany | 9.4% | |||
Japan | 6.9% | |||
United Kingdom | 4.6% | |||
Canada | 4.1% | |||
Italy | 2.4% | |||
Mexico | 2.0% | |||
Luxembourg | 1.9% | |||
Supranational | 1.9% | |||
Other Countries | 14.3% |
The issuer country weighting percentages include both accrued interest amounts and the equivalent exposure from any derivative holdings, if applicable.
24
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: April 15, 2016
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: April 15, 2016
By (Signature and Title)* | DAVID L. DILORENZO | |
David L. DiLorenzo, Treasurer (Principal Financial Officer and Accounting Officer) |
Date: April 15, 2016
* | Print name and title of each signing officer under his or her signature. |