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)

Christopher R. Bohane

Massachusetts Financial Services Company

111 Huntington Avenue

Boston, Massachusetts 02199

(Name and address of agents for service)

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

Date of fiscal year end: November 30

Date of reporting period: August 31, 2017

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ITEM 1.

SCHEDULE OF INVESTMENTS.

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QUARTERLY REPORT

August 31, 2017

 

 

MFS® CHARTER INCOME TRUST

 

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PORTFOLIO OF INVESTMENTS

8/31/17 (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 - 118.7%
Aerospace - 1.2%
Dae Funding LLC, 5%, 8/01/2024 (n)		$	1,375,000			$	1,405,938
KLX, Inc., 5.875%, 12/01/2022 (n)			1,530,000				1,604,588
Lockheed Martin Corp., 3.55%, 1/15/2026			263,000				274,667
TransDigm, Inc., 6%, 7/15/2022			820,000				848,700
TransDigm, Inc., 6.5%, 7/15/2024			800,000				831,000
TransDigm, Inc., 6.375%, 6/15/2026			465,000				478,369
						$	5,443,262
Airlines - 0.3%
Go Ahead Group PLC, 2.5%, 7/06/2024		GBP	200,000			$	260,884
Ryanair Ltd., 1.125%, 3/10/2023		EUR	775,000				944,078
						$	1,204,962
Apparel Manufacturers - 0.1%
Coach, Inc., 4.125%, 7/15/2027		$	385,000			$	387,313
Asset-Backed & Securitized - 2.8%
Bayview Financial Revolving Mortgage Loan Trust, FLR, 2.833%, (LIBOR-1mo. + 1.6%) 12/28/2040 (z)		$	473,788			$	366,832
Chesapeake Funding II LLC, 2016-1A, “A2”, FLR, 2.376%, (U.S. LIBOR-1mo. + 1.15%) 3/15/2028 (n)			1,276,202				1,284,246
Commercial Mortgage Trust, 2015-DC1, “A5”, 3.35%, 2/10/2048			500,000				517,693
Crest Ltd., CDO, 7%, (7% PIK) 1/28/2040 (a)(p)			3,307,715				529,234
Dryden Senior Loan Fund, 2013-26A, “A”, CLO, FLR, 2.403%, (U.S. LIBOR-3mo. + 1.1%) 7/15/2025 (n)			683,845				684,867
Dryden Senior Loan Fund, 2014-34A, “CR”, FLR, 3.453%, (LIBOR-3mo. + 2.15%) 10/15/2026 (n)			255,098				257,898
First Union-Lehman Brothers Bank of America, FLR, 1.116%, 11/18/2035 (i)			2,374,056				23,218
Flatiron CLO Ltd., 2013-1A, “A2R”, FLR, 2.953%, (U.S. LIBOR-3mo. + 1.65%) 1/17/2026 (n)			929,626				933,345
Ford Credit Floorplan Master Owner Trust, 2015-1, “A2”, FLR, 1.626%, (LIBOR-1mo. + 0.4%) 1/15/2020			1,848,000				1,849,780
HarbourView CLO VII Ltd., “B1R”, FLR, 2.966%, (U.S. LIBOR-3mo. + 1.65%) 11/18/2026 (n)			940,012				940,001
John Deere Owner Trust , “A2”, 1.15%, 10/15/2018			320,035				319,971
JPMorgan Chase Commercial Mortgage Trust, 2007-LD11, “AM”, 6.157%, 6/15/2049			819,048				838,581
Loomis, Sayles & Co., CLO, “A1”, FLR, 2.833%, (U.S. LIBOR-3mo. + 1.53%) 10/15/2027 (n)			2,526,150				2,537,523
Morgan Stanley Capital I Trust, “AM”, 5.928%, 4/15/2049			4,384				4,450
Octagon Investment Partners XV, Ltd., FLR, 2.764%, (U.S. LIBOR-3mo. + 1.45%) 10/25/2025 (n)			1,177,401				1,177,387
Wells Fargo Commercial Mortgage Trust, 2015-NXS1, “A5”, 3.148%, 5/15/2048			768,632				787,193
						$	13,052,219
Automotive - 1.8%
Allison Transmission, Inc., 5%, 10/01/2024 (n)		$	1,456,000			$	1,499,680
Delphi Automotive PLC, 1.5%, 3/10/2025		EUR	200,000				239,399
Ferrari N.V., 1.5%, 3/16/2023		EUR	350,000				425,468
FGA Capital Ireland PLC, 2%, 10/23/2019		EUR	450,000				556,245
Gates Global LLC, 6%, 7/15/2022 (n)		$	915,000				937,692
General Motors Financial Co., Inc., 3.45%, 4/10/2022			256,000				260,735
General Motors Financial Co., Inc., 4.35%, 1/17/2027			129,000				132,475
IHO Verwaltungs GmbH, 4.75%, 9/15/2026 (n)			1,230,000				1,242,300
Lear Corp., 3.8%, 9/15/2027			127,000				127,288
RCI Banque S.A., 1%, 5/17/2023		EUR	600,000				721,290
Volkswagen International Finance N.V., 2.7% to 12/14/2022, FLR to 12/14/2065		EUR	100,000				117,557
Volkswagen Leasing GmbH, 1.375%, 1/20/2025		EUR	300,000				357,408
ZF North America Capital, Inc., 4.5%, 4/29/2022 (n)		$	1,085,000				1,142,776
ZF North America Capital, Inc., 4.75%, 4/29/2025 (n)			750,000				786,563
						$	8,546,876

 

1

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Biotechnology - 0.0%
Life Technologies Corp., 6%, 3/01/2020		$	200,000			$	217,963
Broadcasting - 2.2%
Clear Channel Worldwide Holdings, Inc., “A”, 6.5%, 11/15/2022		$	365,000			$	373,213
Clear Channel Worldwide Holdings, Inc., “B”, 6.5%, 11/15/2022			1,305,000				1,344,150
E. W. Scripps Co., 5.125%, 5/15/2025 (n)			1,025,000				1,037,813
Liberty Media Corp. - Liberty Formula One, 8.5%, 7/15/2029			875,000				971,250
Liberty Media Corp. - Liberty Formula One, 8.25%, 2/01/2030			410,000				456,125
Match Group, Inc., 6.375%, 6/01/2024			965,000				1,048,231
Netflix, Inc., 5.875%, 2/15/2025			1,955,000				2,116,288
Omnicom Group, Inc., 3.6%, 4/15/2026			290,000				295,076
ProSiebenSat.1 Media AG, 2.625%, 4/15/2021		EUR	240,000				303,651
RELX Finance B.V., 1%, 3/22/2024		EUR	150,000				181,527
SES Global Americas Holdings GP, 2.5%, 3/25/2019 (n)		$	181,000				181,347
Time Warner, Inc., 3.8%, 2/15/2027			291,000				292,962
WMG Acquisition Corp., 5%, 8/01/2023 (z)			210,000				216,825
WMG Acquisition Corp., 4.875%, 11/01/2024 (n)			1,435,000				1,470,875
						$	10,289,333
Brokerage & Asset Managers - 0.2%
E*TRADE Financial Corp., 2.95%, 8/24/2022		$	199,000			$	200,322
Intercontinental Exchange, Inc., 2.75%, 12/01/2020			178,000				181,134
Intercontinental Exchange, Inc., 3.75%, 12/01/2025			292,000				312,116
TD Ameritrade Holding Corp., 3.3%, 4/01/2027			282,000				287,352
						$	980,924
Building - 3.5%
ABC Supply Co., Inc., 5.75%, 12/15/2023 (n)		$	1,755,000			$	1,844,944
Allegion PLC, 5.875%, 9/15/2023			501,000				537,323
Allegion U.S. Holding Co., Inc., 5.75%, 10/01/2021			1,580,000				1,628,380
Beacon Roofing Supply, Inc., 6.375%, 10/01/2023			1,435,000				1,521,100
Elementia S.A. de C.V., 5.5%, 1/15/2025 (n)			210,000				219,450
Gibraltar Industries, Inc., 6.25%, 2/01/2021			1,045,000				1,077,134
HD Supply, Inc., 5.75%, 4/15/2024 (n)			1,470,000				1,576,575
HeidelbergCement AG, 2.25%, 3/30/2023		EUR	170,000				218,824
Imerys S.A., 1.5%, 1/15/2027		EUR	200,000				241,535
Martin Marietta Materials, Inc., 3.45%, 6/01/2027		$	133,000				134,915
Mohawk Industries, Inc., 3.85%, 2/01/2023			134,000				140,275
New Enterprise Stone & Lime Co., Inc., 10.125%, 4/01/2022 (z)			920,000				993,600
Owens Corning, 4.2%, 12/15/2022			127,000				135,392
Owens Corning, 3.4%, 8/15/2026			238,000				236,895
PriSo Acquisition Corp., 9%, 5/15/2023 (n)			915,000				969,900
Standard Industries, Inc., 5.375%, 11/15/2024 (n)			1,760,000				1,839,200
Standard Industries, Inc., 6%, 10/15/2025 (n)			835,000				897,625
Summit Materials LLC/Summit Materials Finance Co., 6.125%, 7/15/2023			1,340,000				1,403,650
Summit Materials LLC/Summit Materials Finance Co., 5.125%, 6/01/2025 (n)			340,000				346,800
Union Andina de Cementos S.A.A., 5.875%, 10/30/2021 (n)			492,000				514,238
						$	16,477,755
Business Services - 2.1%
Alliance Data Systems Corp., 5.875%, 11/01/2021 (n)		$	1,500,000			$	1,541,250
Alliance Data Systems Corp., 5.375%, 8/01/2022 (n)			450,000				460,125
Ascend Learning LLC, 6.875%, 8/01/2025 (z)			475,000				494,000
CDK Global, Inc., 4.875%, 6/01/2027 (n)			1,175,000				1,192,625
Cisco Systems, Inc., 2.2%, 2/28/2021			350,000				353,732

 

2

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Business Services - continued
Equinix, Inc., 4.875%, 4/01/2020		$	565,000			$	579,656
Equinix, Inc., 5.375%, 1/01/2022			305,000				319,488
Equinix, Inc., 5.375%, 4/01/2023			1,425,000				1,485,563
Equinix, Inc., 5.75%, 1/01/2025			202,000				217,150
Fidelity National Information Services, Inc., 3.875%, 6/05/2024			146,000				154,405
Fidelity National Information Services, Inc., 1.1%, 7/15/2024		EUR	100,000				119,332
Fidelity National Information Services, Inc., 5%, 10/15/2025		$	39,000				44,225
Fidelity National Information Services, Inc., 3%, 8/15/2026			267,000				262,830
Fidelity National Information Services, Inc., 4.5%, 8/15/2046			133,000				138,886
First Data Corp., 5%, 1/15/2024 (n)			2,055,000				2,139,748
Tencent Holdings Ltd., 3.375%, 3/05/2018 (n)			449,000				452,561
						$	9,955,576
Cable TV - 6.3%
Altice Financing S.A., 6.5%, 1/15/2022 (n)		$	2,005,000			$	2,085,200
Altice Financing S.A., 6.625%, 2/15/2023 (n)			2,345,000				2,479,838
Altice U.S. Finance I Corp., 5.5%, 5/15/2026 (n)			970,000				1,026,381
CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023 (n)			2,535,000				2,651,940
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 1/15/2024			1,565,000				1,641,763
CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025 (n)			335,000				349,238
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 2/15/2026 (n)			1,475,000				1,559,355
Cequel Communications Holdings, 6.375%, 9/15/2020 (n)			938,000				959,386
Charter Communications Operating LLC, 6.384%, 10/23/2035			217,000				248,361
Cox Communications, Inc., 4.6%, 8/15/2047 (n)			322,000				326,598
CSC Holdings LLC, 5.5%, 4/15/2027 (n)			1,395,000				1,456,031
DISH DBS Corp., 5%, 3/15/2023			1,065,000				1,099,932
DISH DBS Corp., 5.875%, 11/15/2024			1,665,000				1,796,119
Intelsat Jackson Holdings S.A., 5.5%, 8/01/2023			335,000				279,725
Intelsat Jackson Holdings S.A., 8%, 2/15/2024 (n)			245,000				263,755
Lynx II Corp., 6.375%, 4/15/2023 (n)			555,000				581,363
Shaw Communications, Inc., 5.65%, 10/01/2019		CAD	260,000				223,168
Sirius XM Radio, Inc., 4.625%, 5/15/2023 (n)		$	740,000				762,200
Sirius XM Radio, Inc., 6%, 7/15/2024 (n)			1,500,000				1,620,420
Sirius XM Radio, Inc., 5.375%, 4/15/2025 (n)			705,000				745,256
Sky PLC, 2.5%, 9/15/2026		EUR	350,000				452,740
Time Warner Cable, Inc., 4.5%, 9/15/2042		$	119,000				109,933
Unitymedia Hessen, 5.5%, 1/15/2023 (n)			1,215,000				1,257,525
Unitymedia KabelBW GmbH, 6.125%, 1/15/2025 (n)			770,000				823,862
Videotron Ltd., 5.375%, 6/15/2024 (n)			350,000				373,188
Videotron Ltd., 5.125%, 4/15/2027 (n)			1,445,000				1,488,350
Virgin Media Finance PLC, 5.75%, 1/15/2025 (n)			200,000				206,000
Virgin Media Secured Finance PLC, 5.25%, 1/15/2026 (n)			800,000				832,000
VTR Finance B.V., 6.875%, 1/15/2024 (n)			480,000				510,000
Ziggo Bond Finance B.V., 5.875%, 1/15/2025 (n)			1,155,000				1,196,869
						$	29,406,496
Chemicals - 1.2%
Air Liquide Finance Co., 2.25%, 9/27/2023 (n)		$	261,000			$	255,339
Axalta Coating Systems Co., 4.875%, 8/15/2024 (n)			670,000				685,075
Chemours Co., 6.625%, 5/15/2023			600,000				636,750
Chemours Co., 7%, 5/15/2025			290,000				319,725
GCP Applied Technologies Co., 9.5%, 2/01/2023 (n)			1,621,000				1,823,625
LYB International Finance B.V., 4%, 7/15/2023			135,000				143,656
PPG Industries, Inc., 0.875%, 11/03/2025		EUR	230,000				272,152

 

3

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Chemicals - continued
Tronox Finance LLC, 7.5%, 3/15/2022 (n)		$	645,000			$	675,638
W.R. Grace & Co., 5.125%, 10/01/2021 (n)			800,000				870,000
						$	5,681,960
Computer Software - 1.2%
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.02%, 6/15/2026 (n)		$	765,000			$	854,629
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.875%, 6/15/2021 (n)			1,100,000				1,153,295
Nuance Communications, Inc., 5.625%, 12/15/2026 (n)			1,275,000				1,330,781
Oracle Corp., 3.4%, 7/08/2024			251,000				262,926
VeriSign, Inc., 4.75%, 7/15/2027 (z)			345,000				351,003
VeriSign, Inc., 4.625%, 5/01/2023			1,465,000				1,507,119
VeriSign, Inc., 5.25%, 4/01/2025			250,000				267,500
						$	5,727,253
Computer Software - Systems - 1.6%
Apple, Inc., 2.7%, 5/13/2022		$	400,000			$	410,265
Apple, Inc., 4.5%, 2/23/2036			417,000				476,148
Apple, Inc., 3.6%, 7/31/2042		GBP	130,000				202,004
Apple, Inc., 4.25%, 2/09/2047		$	84,000				91,031
CDW LLC/CDW Finance Corp., 5.5%, 12/01/2024			395,000				433,019
CDW LLC/CDW Finance Corp., 5%, 9/01/2025			235,000				244,988
JDA Software Group, Inc., 7.375%, 10/15/2024 (n)			1,105,000				1,127,100
Sabre GLBL, Inc., 5.375%, 4/15/2023 (n)			1,765,000				1,815,744
SS&C Technologies Holdings, Inc., 5.875%, 7/15/2023			945,000				992,250
Western Digital Corp., 10.5%, 4/01/2024			1,320,000				1,567,500
						$	7,360,049
Conglomerates - 2.2%
Amsted Industries Co., 5%, 3/15/2022 (n)		$	2,335,000			$	2,416,725
EnerSys, 5%, 4/30/2023 (n)			1,965,000				2,021,494
Enpro Industries, Inc., 5.875%, 9/15/2022			1,650,000				1,720,125
Enpro Industries, Inc., 5.875%, 9/15/2022 (n)			55,000				57,338
Entegris, Inc., 6%, 4/01/2022 (n)			1,792,000				1,868,160
Johnson Controls International PLC, 1.375%, 2/25/2025		EUR	200,000				241,050
Johnson Controls International PLC, 4.5%, 2/15/2047		$	68,000				72,822
Parker-Hannifin Corp., 4.1%, 3/01/2047 (n)			176,000				183,561
Smiths Group PLC, 2%, 2/23/2027		EUR	200,000				247,300
SPX FLOW, Inc., 5.625%, 8/15/2024 (n)		$	1,315,000				1,357,738
						$	10,186,313
Construction - 0.1%
Empresas ICA S.A.B. de C.V., 8.9%, 2/04/2021 (a)(d)		$	450,000			$	110,475
Empresas ICA S.A.B. de C.V., 8.875%, 5/29/2024 (a)(d)(n)			853,000				206,853
						$	317,328
Consumer Products - 0.9%
Essity AB, 1.625%, 3/30/2027		EUR	300,000			$	364,826
NBTY, Inc., 7.625%, 5/15/2021 (n)		$	755,000				805,963
Prestige Brands, Inc., 5.375%, 12/15/2021 (n)			1,180,000				1,215,400
Reckitt Benckiser Treasury Services PLC, 3.625%, 9/21/2023 (n)			250,000				265,191
Reckitt Benckiser Treasury Services PLC, 3%, 6/26/2027 (n)			544,000				543,454
Spectrum Brands, Inc., 6.125%, 12/15/2024			170,000				182,325
Spectrum Brands, Inc., 5.75%, 7/15/2025			770,000				819,088
						$	4,196,247
Consumer Services - 2.0%
ADT Corp., 6.25%, 10/15/2021		$	1,025,000			$	1,114,226
G4S International Finance PLC, 1.5%, 6/02/2024		EUR	200,000				241,798

 

4

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Consumer Services - continued
G4S International Finance PLC, 1.5%, 1/09/2023		EUR	200,000			$	245,306
Grupo Posadas S.A.B. de C.V., 7.875%, 6/30/2022 (n)		$	520,000				549,640
Interval Acquisition Corp., 5.625%, 4/15/2023			2,175,000				2,240,250
Monitronics International, Inc., 9.125%, 4/01/2020			890,000				748,713
Priceline Group, Inc., 3.55%, 3/15/2028			141,000				142,309
Priceline Group, Inc., 2.15%, 11/25/2022		EUR	110,000				140,575
Priceline Group, Inc., 1.8%, 3/03/2027		EUR	1,100,000				1,329,269
Service Corp. International, 5.375%, 5/15/2024		$	350,000				372,313
ServiceMaster Co. LLC, 5.125%, 11/15/2024 (n)			1,165,000				1,197,038
Visa, Inc., 2.8%, 12/14/2022			290,000				297,471
Visa, Inc., 4.15%, 12/14/2035			234,000				256,149
Visa, Inc., 4.3%, 12/14/2045			300,000				335,192
						$	9,210,249
Containers - 3.1%
Berry Global Group, Inc., 5.5%, 5/15/2022		$	1,025,000			$	1,063,438
Berry Global Group, Inc., 6%, 10/15/2022			975,000				1,032,281
Berry Global Group, Inc., 5.125%, 7/15/2023			420,000				437,850
Crown American LLC, 4.5%, 1/15/2023			1,179,000				1,235,003
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/2026			650,000				653,250
Multi-Color Corp., 6.125%, 12/01/2022 (n)			1,700,000				1,776,500
Plastipak Holdings, Inc., 6.5%, 10/01/2021 (n)			1,858,000				1,918,385
Reynolds Group, 5.75%, 10/15/2020			510,000				519,506
Reynolds Group, 5.125%, 7/15/2023 (n)			1,200,000				1,250,628
Reynolds Group, 7%, 7/15/2024 (n)			535,000				573,119
Sealed Air Corp., 4.875%, 12/01/2022 (n)			1,495,000				1,573,488
Sealed Air Corp., 5.125%, 12/01/2024 (n)			390,000				414,375
Sealed Air Corp., 5.5%, 9/15/2025 (n)			220,000				239,250
Signode Industrial Group, 6.375%, 5/01/2022 (n)			740,000				764,050
Silgan Holdings, Inc., 5.5%, 2/01/2022			100,000				102,750
Silgan Holdings, Inc., 4.75%, 3/15/2025 (n)			630,000				645,750
						$	14,199,623
Defense Electronics - 0.0%
BAE Systems PLC, 4.125%, 6/08/2022		GBP	150,000			$	218,879
Electrical Equipment - 0.4%
Arrow Electronics, Inc., 3.5%, 4/01/2022		$	173,000			$	178,157
CommScope Holding Company, Inc., 5.5%, 6/15/2024 (n)			390,000				406,575
CommScope Technologies LLC, 5%, 3/15/2027 (n)			1,260,000				1,255,653
						$	1,840,385
Electronics - 0.7%
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.875%, 1/15/2027 (n)		$	240,000			$	246,988
Intel Corp., 3.15%, 5/11/2027			490,000				500,119
Sensata Technologies B.V., 5.625%, 11/01/2024 (n)			520,000				566,800
Sensata Technologies B.V., 5%, 10/01/2025 (n)			1,205,000				1,262,238
Tyco Electronics Group S.A., 2.375%, 12/17/2018			294,000				295,699
Tyco Electronics Group S.A., 1.1%, 3/01/2023		EUR	350,000				424,717
						$	3,296,561
Emerging Market Quasi-Sovereign - 1.8%
BPRL International Singapore Pte. Ltd., 4.375%, 1/18/2027		$	567,000			$	596,012
CNPC General Capital Ltd., 3.4%, 4/16/2023 (n)			293,000				301,150
Empresa Nacional del Petroleo, 3.75%, 8/05/2026 (n)			207,000				206,997

 

5

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Emerging Market Quasi-Sovereign - continued
Gaz Capital S.A., 4.95%, 2/06/2028		$	383,000			$	389,036
Gaz Capital S.A., 7.288%, 8/16/2037			507,000				611,742
Office Cherifien des Phosphates S.A., 6.875%, 4/25/2044 (n)			351,000				396,132
ONGC Videsh Ltd., 4.625%, 7/15/2024			511,000				549,748
Pertamina PT, 6%, 5/03/2042 (n)			318,000				354,062
Pertamina PT, 6%, 5/03/2042			654,000				728,164
Pertamina PT, 5.625%, 5/20/2043 (n)			375,000				401,619
Petrobras Global Finance B.V., 8.75%, 5/23/2026			192,000				229,824
Petrobras Global Finance B.V., 6.125%, 1/17/2022			44,000				46,640
Petrobras Global Finance B.V., 7.375%, 1/17/2027			37,000				40,894
Petrobras International Finance Co., 6.75%, 1/27/2041			1,116,000				1,102,050
Petroleos Mexicanos, 4.625%, 9/21/2023			212,000				220,692
Petroleos Mexicanos, 5.5%, 6/27/2044			254,000				239,014
Petroleos Mexicanos, 5.625%, 1/23/2046			246,000				231,302
Southern Gas Corridor CJSC, 6.875%, 3/24/2026			1,315,000				1,470,302
State Grid Overseas Investment (2016) Ltd., 2.75%, 5/04/2022 (n)			402,000				405,872
						$	8,521,252
Emerging Market Sovereign - 4.5%
Dominican Republic, 7.5%, 5/06/2021 (n)		$	548,000			$	610,335
Dominican Republic, 8.625%, 4/20/2027			758,000				926,655
Republic of Angola, 7%, 8/17/2019			241,000				249,264
Republic of Argentina, 5.625%, 1/26/2022			564,000				589,944
Republic of Argentina, 6.875%, 1/26/2027			115,000				123,913
Republic of Argentina, 2.5% to 3/31/2019, 3.75% to 3/31/2029, 5.25% to 12/31/2038			353,000				246,747
Republic of Croatia, 5.5%, 4/04/2023 (n)			1,146,000				1,272,894
Republic of Hungary, 5.375%, 2/21/2023			746,000				845,852
Republic of Hungary, 7.625%, 3/29/2041			470,000				725,548
Republic of Indonesia, 11.625%, 3/04/2019 (n)			571,000				652,634
Republic of Indonesia, 2.875%, 7/08/2021 (z)		EUR	175,000				223,924
Republic of Indonesia, 7%, 5/15/2022		IDR	45,446,000,000				3,508,423
Republic of Indonesia, 3.375%, 4/15/2023 (n)		$	302,000				307,859
Republic of Indonesia, 2.15%, 7/18/2024 (z)		EUR	161,000				195,994
Republic of Indonesia, 4.125%, 1/15/2025 (n)		$	342,000				359,681
Republic of Indonesia, 4.125%, 1/15/2025			1,368,000				1,438,726
Republic of Indonesia, 4.625%, 4/15/2043			1,349,000				1,398,066
Republic of Kazakhstan, 5.125%, 7/21/2025 (n)			341,000				381,460
Republic of Panama, 9.375%, 4/01/2029			719,000				1,087,488
Republic of Paraguay, 6.1%, 8/11/2044 (n)			350,000				401,625
Republic of Paraguay, 6.1%, 8/11/2044			243,000				278,843
Republic of Sri Lanka, 6.125%, 6/03/2025			1,286,000				1,355,299
Republic of Sri Lanka, 6.85%, 11/03/2025			208,000				228,350
Republic of Turkey, 3.25%, 3/23/2023			633,000				606,900
Republic of Turkey, 4.875%, 10/09/2026			1,523,000				1,547,277
Russian Federation, 4.875%, 9/16/2023 (n)			400,000				437,400
Russian Federation, 4.75%, 5/27/2026			800,000				850,704
United Mexican States, 4.15%, 3/28/2027			224,000				237,104
						$	21,088,909
Energy - Independent - 4.3%
Afren PLC, 10.25%, 4/08/2019 (a)(d)(n)		$	451,812			$	90
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., 7.875%, 12/15/2024 (n)			1,315,000				1,410,338
Carrizo Oil & Gas, Inc., 6.25%, 4/15/2023			1,760,000				1,707,200
Consol Energy, Inc., 5.875%, 4/15/2022			805,000				805,000
Consol Energy, Inc., 8%, 4/01/2023			730,000				770,150

 

6

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Energy - Independent - continued
Continental Resources, Inc., 4.5%, 4/15/2023		$	1,970,000			$	1,940,450
Diamondback Energy, Inc., 5.375%, 5/31/2025			1,525,000				1,566,938
Gulfport Energy Corp., 6%, 10/15/2024 (n)			980,000				960,400
Gulfport Energy Corp., 6.375%, 5/15/2025 (n)			685,000				673,869
Laredo Petroleum, Inc., 6.25%, 3/15/2023			1,245,000				1,273,013
PDC Energy, Inc., 6.125%, 9/15/2024 (n)			1,550,000				1,588,750
QEP Resources, Inc., 5.25%, 5/01/2023			615,000				584,250
Rice Energy, Inc., 7.25%, 5/01/2023			820,000				876,375
Seven Generations Energy, 8.25%, 5/15/2020 (n)			700,000				728,000
Seven Generations Energy, 6.75%, 5/01/2023 (z)			1,180,000				1,228,675
SM Energy Co., 6.75%, 9/15/2026			1,710,000				1,611,675
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 (n)			401,000				400,885
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026			987,000				986,716
Whiting Petroleum Corp., 6.25%, 4/01/2023			1,075,000				997,063
						$	20,109,837
Energy - Integrated - 0.3%
Inkia Energy Ltd., 8.375%, 4/04/2021		$	754,000			$	774,810
LUKOIL International Finance B.V., 4.563%, 4/24/2023 (n)			544,000				563,932
						$	1,338,742
Entertainment - 1.3%
Carnival Corp., 1.875%, 11/07/2022		EUR	330,000			$	420,360
Cedar Fair LP, 5.375%, 6/01/2024		$	405,000				427,275
Cedar Fair LP, 5.375%, 4/15/2027 (n)			710,000				745,500
Cinemark USA, Inc., 5.125%, 12/15/2022			1,430,000				1,471,470
Cinemark USA, Inc., 4.875%, 6/01/2023			1,040,000				1,037,400
Six Flags Entertainment Corp., 4.875%, 7/31/2024 (n)			2,105,000				2,123,524
						$	6,225,529
Financial Institutions - 2.4%
AerCap Ireland Capital Co., 3.65%, 7/21/2027		$	379,000			$	379,562
Aircastle Ltd., 5.125%, 3/15/2021			625,000				662,500
Aircastle Ltd., 5.5%, 2/15/2022			1,425,000				1,553,250
Nationstar Mortgage LLC/Capital Corp., 6.5%, 8/01/2018			615,000				615,769
Nationstar Mortgage LLC/Capital Corp., 7.875%, 10/01/2020			2,110,000				2,158,794
Nationstar Mortgage LLC/Capital Corp., 6.5%, 7/01/2021			515,000				525,485
Navient Corp., 7.25%, 1/25/2022			2,455,000				2,682,088
Navient Corp., 7.25%, 9/25/2023			430,000				466,378
Navient Corp., 6.125%, 3/25/2024			398,000				405,960
Park Aerospace Holdings Ltd., 5.5%, 2/15/2024 (n)			1,845,000				1,918,800
						$	11,368,586
Food & Beverages - 2.7%
Anheuser-Busch InBev N.V., 1.5%, 4/18/2030		EUR	250,000			$	298,301
Anheuser-Busch InBev S.A., 6.875%, 11/15/2019		$	300,000				331,889
Anheuser-Busch InBev Worldwide, Inc., 3.3%, 2/01/2023			408,000				423,688
Anheuser-Busch InBev Worldwide, Inc., 4.7%, 2/01/2036			483,000				537,741
Aramark Services, Inc., 4.75%, 6/01/2026			1,010,000				1,058,278
Coca-Cola Enterprises, Inc., 1.875%, 3/18/2030		EUR	200,000				246,223
Cott Holdings, Inc., 5.5%, 4/01/2025 (n)		$	1,360,000				1,421,200
Danone S.A., 2.077%, 11/02/2021 (n)			236,000				232,881
Danone S.A., 2.589%, 11/02/2023 (n)			553,000				545,927
Gruma S.A.B. de C.V., 4.875%, 12/01/2024 (n)			202,000				218,918
JBS Investments GmbH, 7.25%, 4/03/2024			200,000				202,000

 

7

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Food & Beverages - continued
JBS USA LLC/JBS USA Finance, Inc., 5.875%, 7/15/2024 (n)		$	1,860,000			$	1,883,250
Kraft Heinz Foods Co., 5.2%, 7/15/2045			31,000				33,658
Kraft Heinz Foods Co., 4.375%, 6/01/2046			130,000				126,048
Lamb Weston Holdings, Inc., 4.625%, 11/01/2024 (n)			835,000				861,094
Lamb Weston Holdings, Inc., 4.875%, 11/01/2026 (n)			520,000				539,578
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.875%, 1/15/2024			1,430,000				1,528,313
U.S. Foods Holding Corp., 5.875%, 6/15/2024 (n)			1,590,000				1,655,588
Wm. Wrigley Jr. Co., 2.9%, 10/21/2019 (n)			107,000				108,826
Wm. Wrigley Jr. Co., 3.375%, 10/21/2020 (n)			300,000				310,420
						$	12,563,821
Food & Drug Stores - 0.1%
Walgreens Boots Alliance, Inc., 2.7%, 11/18/2019		$	333,000			$	338,618
Forest & Paper Products - 0.0%
Appvion, Inc., 9%, 6/01/2020 (n)		$	281,000			$	148,228
Gaming & Lodging - 1.6%
CCM Merger, Inc., 6%, 3/15/2022 (n)		$	815,000			$	847,600
GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/01/2023			1,500,000				1,623,750
GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026			175,000				189,875
Hilton Worldwide Finance LLC, 4.625%, 4/01/2025			1,065,000				1,112,819
InterContinental Hotels Group PLC, 3.75%, 8/14/2025		GBP	100,000				144,558
MGM Resorts International, 6.625%, 12/15/2021		$	825,000				926,063
MGM Resorts International, 6%, 3/15/2023			650,000				718,250
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2021			1,375,000				1,399,063
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2023			620,000				638,600
						$	7,600,578
Industrial - 0.3%
KAR Auction Services, Inc., 5.125%, 6/01/2025 (n)		$	1,250,000			$	1,292,750
Insurance - 0.1%
American International Group, Inc., 1.875%, 6/21/2027		EUR	110,000			$	133,195
Bupa Finance PLC, 2%, 4/05/2024		GBP	200,000				261,276
						$	394,471
Insurance - Health - 0.6%
Aetna, Inc., 2.8%, 6/15/2023		$	317,000			$	321,654
Centene Corp., 5.625%, 2/15/2021			410,000				426,400
Centene Corp., 6.125%, 2/15/2024			1,180,000				1,269,975
UnitedHealth Group, Inc., 2.7%, 7/15/2020			528,000				541,064
						$	2,559,093
Insurance - Property & Casualty - 0.5%
Berkshire Hathaway, Inc., 2.75%, 3/15/2023		$	234,000			$	239,351
Berkshire Hathaway, Inc., 1.625%, 3/16/2035		EUR	150,000				171,110
Chubb INA Holdings, Inc., 2.3%, 11/03/2020		$	95,000				96,030
Chubb INA Holdings, Inc., 2.875%, 11/03/2022			221,000				227,021
Liberty Mutual Group, Inc., 4.25%, 6/15/2023			365,000				394,726
Liberty Mutual Group, Inc., 2.75%, 5/04/2026 (z)		EUR	100,000				129,782
Liberty Mutual Group, Inc., 2.75%, 5/04/2026		EUR	100,000				129,782
Marsh & McLennan Cos., Inc., 3.5%, 6/03/2024		$	159,000				165,919
Marsh & McLennan Cos., Inc., 4.35%, 1/30/2047			131,000				142,272

 

8

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Insurance - Property & Casualty - continued
QBE Capital Funding III Ltd., 7.5% to 5/24/2021, FLR to 5/24/2041		GBP	200,000			$	293,901
XLIT Ltd., 3.25% to 6/29/2027, FLR to 6/29/2047		EUR	230,000				271,066
						$	2,260,960
International Market Sovereign - 11.2%
Commonwealth of Australia, 3.75%, 4/21/2037		AUD	197,000			$	168,102
Federal Republic of Germany, 6.25%, 1/04/2030		EUR	442,000				889,459
Federal Republic of Germany, 2.5%, 7/04/2044		EUR	120,000				189,484
Government of Canada, 3.25%, 6/01/2021		CAD	187,000				159,720
Government of Canada, 0.5%, 3/01/2022		CAD	6,934,000				5,315,668
Government of Canada, 2.5%, 6/01/2024		CAD	5,700,000				4,803,930
Government of Canada, 1.5%, 6/01/2026		CAD	1,028,000				803,416
Government of Canada, 5.75%, 6/01/2033		CAD	948,000				1,128,004
Government of Japan, 0.8%, 6/20/2023		JPY	500,000,000				4,790,012
Government of Japan, 0.3%, 12/20/2025		JPY	16,400,000				153,458
Government of Japan, 2.2%, 9/20/2027		JPY	787,000,000				8,724,973
Government of Japan, 2.4%, 3/20/2037		JPY	493,400,000				6,041,979
Government of Japan, 1.8%, 3/20/2043		JPY	81,000,000				920,888
Kingdom of Spain, 4.6%, 7/30/2019		EUR	1,130,000				1,471,933
Kingdom of Spain, 5.4%, 1/31/2023		EUR	1,416,000				2,134,911
Kingdom of Spain, 5.15%, 10/31/2028		EUR	1,210,000				1,950,740
Republic of France, 4.75%, 4/25/2035		EUR	747,000				1,387,007
Republic of France, 4.5%, 4/25/2041		EUR	580,000				1,106,616
Republic of Ireland, 4.5%, 4/18/2020		EUR	222,000				298,821
Republic of Italy, 3.75%, 3/01/2021		EUR	1,581,000				2,107,966
Republic of Italy, 5.5%, 9/01/2022		EUR	925,000				1,351,456
Republic of Portugal, 4.95%, 10/25/2023		EUR	1,894,000				2,683,932
United Kingdom Treasury, 4.25%, 3/07/2036		GBP	470,000				866,261
United Kingdom Treasury, 3.25%, 1/22/2044		GBP	1,530,000				2,607,939
						$	52,056,675
Local Authorities - 0.1%
Province of Alberta, 4.5%, 12/01/2040		CAD	255,000			$	247,383
Province of British Columbia, 2.3%, 6/18/2026		CAD	370,000				292,527
						$	539,910
Machinery & Tools - 0.9%
Ashtead Capital, Inc., 5.625%, 10/01/2024 (n)		$	1,185,000			$	1,269,277
CNH Industrial Capital LLC, 4.375%, 11/06/2020			1,930,000				2,012,025
CNH Industrial N.V., 4.5%, 8/15/2023			840,000				885,150
						$	4,166,452
Major Banks - 2.8%
Bank of America Corp., 7.625%, 6/01/2019		$	370,000			$	405,165
Bank of America Corp., 2.625%, 4/19/2021			370,000				373,920
Bank of America Corp., 3.248%, 10/21/2027			462,000				455,351
Bank of America Corp., FLR, 6.1%, (U.S. LIBOR-3mo. + 3.898%) 12/29/2049			670,000				734,488
Barclays Bank PLC, 6%, 1/14/2021		EUR	250,000				347,494
Barclays Bank PLC, 6.75% to 1/16/2018, FLR to 1/16/2023		GBP	100,000				131,830
Credit Agricole S.A., 7.375%, 12/18/2023		GBP	100,000				170,526
Credit Suisse Group AG, 6.5%, 8/08/2023 (n)		$	200,000				226,000
Goldman Sachs Group, Inc., 2.625%, 4/25/2021			360,000				362,445
Goldman Sachs Group, Inc., 5.75%, 1/24/2022			500,000				564,756
Goldman Sachs Group, Inc., 3.625%, 1/22/2023			454,000				471,893
Goldman Sachs Group, Inc., 3.85%, 1/26/2027			314,000				323,103

 

9

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Major Banks - continued
HSBC Holdings PLC, 4.375%, 11/23/2026		$	269,000			$	282,782
JPMorgan Chase & Co., 6.3%, 4/23/2019			500,000				536,152
JPMorgan Chase & Co., 3.25%, 9/23/2022			478,000				494,897
JPMorgan Chase & Co., 2.95%, 10/01/2026			601,000				591,769
JPMorgan Chase & Co., 3.54% to 5/01/2027, FLR to 5/01/2028			291,000				296,222
JPMorgan Chase & Co., 4.26% to 2/22/2047, FLR to 2/22/2048			303,000				320,779
JPMorgan Chase & Co., 6% to 8/01/2023, FLR to 12/31/2049			1,210,000				1,309,825
Morgan Stanley, 6.625%, 4/01/2018			391,000				401,950
Morgan Stanley, 2.2%, 12/07/2018			238,000				239,421
Morgan Stanley, 3.125%, 7/27/2026			303,000				299,053
Morgan Stanley, 2.625%, 3/09/2027		GBP	200,000				264,536
Morgan Stanley, 3.95%, 4/23/2027		$	229,000				234,097
Nationwide Building Society, 1.25%, 3/03/2025		EUR	240,000				293,647
Nordea Bank AB, 1%, 9/07/2026		EUR	200,000				240,544
PNC Bank N.A., 2.6%, 7/21/2020		$	295,000				300,465
UBS Group AG, 6.875% to 8/07/2025, FLR to 12/29/2049			1,220,000				1,337,425
UBS Group Funding (Jersey) Ltd., 1.5%, 11/30/2024		EUR	300,000				369,742
UBS Group Funding (Switzerland) AG, FLR, 2.859%, (LIBOR-3mo. + 0.954%) 8/15/2023 (n)		$	750,000				751,364
Wells Fargo & Co., 4.1%, 6/03/2026			100,000				105,010
						$	13,236,651
Medical & Health Technology & Services - 5.3%
AmSurg Corp., 5.625%, 7/15/2022		$	1,095,000			$	1,138,800
Baxter International, Inc., 1.3%, 5/30/2025		EUR	200,000				241,029
Becton, Dickinson and Co., 2.675%, 12/15/2019		$	379,000				384,430
Becton, Dickinson and Co., 3.734%, 12/15/2024			239,000				246,920
CHS/Community Health Systems, Inc., 6.875%, 2/01/2022			960,000				795,600
DaVita, Inc., 5.125%, 7/15/2024			455,000				464,384
DaVita, Inc., 5%, 5/01/2025			1,175,000				1,191,215
HCA, Inc., 7.5%, 2/15/2022			2,350,000				2,708,375
HCA, Inc., 5.875%, 3/15/2022			1,770,000				1,960,983
HCA, Inc., 5%, 3/15/2024			1,040,000				1,105,000
HCA, Inc., 5.375%, 2/01/2025			1,490,000				1,571,950
HCA, Inc., 5.875%, 2/15/2026			415,000				447,681
HCA, Inc., 5.25%, 6/15/2026			215,000				231,394
HealthSouth Corp., 5.125%, 3/15/2023			1,305,000				1,334,363
HealthSouth Corp., 5.75%, 11/01/2024			960,000				988,800
Laboratory Corp. of America Holdings, 3.2%, 2/01/2022			200,000				205,545
Laboratory Corp. of America Holdings, 4.7%, 2/01/2045			310,000				327,109
MEDNAX, Inc., 5.25%, 12/01/2023 (n)			905,000				936,675
Quintiles IMS Holdings, Inc., 5%, 10/15/2026 (n)			1,225,000				1,283,188
Quorum Health Corp., 11.625%, 4/15/2023			715,000				630,988
Tenet Healthcare Corp., 8%, 8/01/2020			672,000				681,878
Tenet Healthcare Corp., 8.125%, 4/01/2022			1,740,000				1,827,000
THC Escrow Corp. III, 5.125%, 5/01/2025 (n)			965,000				970,983
Thermo Fisher Scientific, Inc., 3.2%, 8/15/2027			476,000				476,693
Thermo Fisher Scientific, Inc., 3%, 4/15/2023			360,000				367,472
Universal Health Services, Inc., 7.625%, 8/15/2020			1,325,000				1,344,875
Universal Health Services, Inc., 5%, 6/01/2026 (n)			239,000				251,846
West Street Merger Sub, Inc., 6.375%, 9/01/2025 (z)			555,000				552,919
						$	24,668,095
Medical Equipment - 0.8%
Hologic, Inc., 5.25%, 7/15/2022 (n)		$	830,000			$	873,824
Medtronic, Inc., 3.5%, 3/15/2025			615,000				648,350

 

10

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Medical Equipment - continued
Teleflex, Inc., 5.25%, 6/15/2024		$	1,095,000			$	1,149,750
Teleflex, Inc., 4.875%, 6/01/2026			610,000				628,300
Zimmer Biomet Holdings, Inc., 1.414%, 12/13/2022		EUR	300,000				365,076
						$	3,665,300
Metals & Mining - 3.6%
Barrick Gold Corp., 4.1%, 5/01/2023		$	194,000			$	213,306
Cameco Corp., 5.67%, 9/02/2019		CAD	262,000				220,414
First Quantum Minerals Ltd., 7%, 2/15/2021 (n)		$	565,000				581,597
First Quantum Minerals Ltd., 7.25%, 4/01/2023 (n)			770,000				791,175
Freeport-McMoRan, Inc., 6.5%, 11/15/2020			135,000				138,038
Freeport-McMoRan, Inc., 6.875%, 2/15/2023			2,270,000				2,460,113
Freeport-McMoRan, Inc., 3.875%, 3/15/2023			855,000				846,450
Glencore Finance (Europe) S.A., 1.25%, 3/17/2021		EUR	330,000				403,375
Glencore Finance (Europe) S.A., 1.75%, 3/17/2025		EUR	200,000				241,328
GrafTech International Co., 6.375%, 11/15/2020		$	680,000				630,700
Kaiser Aluminum Corp., 5.875%, 5/15/2024			1,525,000				1,631,750
Kinross Gold Corp., 4.5%, 7/15/2027 (n)			920,000				920,000
Kinross Gold Corp., 5.125%, 9/01/2021			300,000				318,783
Kinross Gold Corp., 5.95%, 3/15/2024			1,265,000				1,391,500
Lundin Mining Corp., 7.5%, 11/01/2020 (n)			370,000				386,188
Lundin Mining Corp., 7.875%, 11/01/2022 (n)			930,000				1,013,700
Novelis Corp., 5.875%, 9/30/2026 (z)			1,455,000				1,516,838
Steel Dynamics, Inc., 5.125%, 10/01/2021			430,000				441,266
Steel Dynamics, Inc., 5.25%, 4/15/2023			775,000				802,125
Steel Dynamics, Inc., 5.5%, 10/01/2024			835,000				896,581
Suncoke Energy, Inc., 7.625%, 8/01/2019			127,000				126,683
TMS International Corp., 7.25%, 8/15/2025 (z)			860,000				868,600
						$	16,840,510
Midstream - 3.3%
APT Pipelines Ltd., 5%, 3/23/2035 (n)		$	280,000			$	297,598
Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022 (n)			1,755,000				1,803,263
DCP Midstream LP, 4.95%, 4/01/2022			486,000				501,795
DCP Midstream LP, 5.6%, 4/01/2044			270,000				251,100
DCP Midstream LP, 3.875%, 3/15/2023			500,000				486,875
Dominion Gas Holdings LLC, 2.8%, 11/15/2020			270,000				275,159
Energy Transfer Equity LP, 7.5%, 10/15/2020			1,325,000				1,495,594
Enterprise Products Operating LLC, 1.65%, 5/07/2018			296,000				295,868
Enterprise Products Partners LP, 6.3%, 9/15/2017			180,000				180,203
Kinder Morgan (Delaware), Inc., 7.75%, 1/15/2032			1,160,000				1,492,948
ONEOK, Inc., 4.95%, 7/13/2047			474,000				474,422
Sabine Pass Liquefaction, 4.2%, 3/15/2028			666,000				668,606
Sabine Pass Liquefaction LLC, 5.625%, 2/01/2021			805,000				871,492
Sabine Pass Liquefaction LLC, 5.625%, 4/15/2023			1,740,000				1,923,123
Targa Resources Partners LP/Targa Resources Finance Corp., 4.125%, 11/15/2019			1,050,000				1,061,813
Targa Resources Partners LP/Targa Resources Finance Corp., 5.25%, 5/01/2023			725,000				741,313
Targa Resources Partners LP/Targa Resources Finance Corp., 5.375%, 2/01/2027 (n)			2,300,000				2,380,500
						$	15,201,672
Mortgage-Backed - 3.1%
Fannie Mae, 5.5%, 9/01/2019 - 7/01/2035		$	276,901			$	300,039
Fannie Mae, 6.5%, 4/01/2032 - 1/01/2033			47,959				54,541
Fannie Mae, 6%, 8/01/2034 - 2/01/2037			83,939				95,283
Fannie Mae, FLR, 1.253%, (LIBOR-1mo. + 2.5%) 5/25/2018			735,874				735,849

 

11

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Mortgage-Backed - continued
Freddie Mac, 2.811%, 1/25/2025		$	11,000,000			$	11,315,029
Freddie Mac, 2.673%, 3/25/2026			701,000				709,333
Freddie Mac, 3.243%, 4/25/2027			991,000				1,043,724
Freddie Mac, 3.117%, 6/25/2027			298,465				310,925
Freddie Mac, 6%, 8/01/2034			67,594				76,699
						$	14,641,422
Natural Gas - Distribution - 0.2%
Boston Gas Co., 3.15%, 8/01/2027 (n)		$	248,000			$	252,076
GNL Quintero S.A., 4.634%, 7/31/2029 (n)			523,000				547,189
						$	799,265
Network & Telecom - 1.7%
AT&T, Inc., 4.9%, 8/14/2037		$	488,000			$	492,995
AT&T, Inc., 4.25%, 6/01/2043		GBP	100,000				139,976
AT&T, Inc., 5.65%, 2/15/2047		$	206,000				223,609
British Telecom PLC, 5.75%, 12/07/2028		GBP	150,000				257,817
CenturyLink, Inc., 6.45%, 6/15/2021		$	470,000				491,738
CenturyLink, Inc., 7.65%, 3/15/2042			595,000				523,600
Columbus International, Inc., 7.375%, 3/30/2021 (n)			200,000				213,960
Deutsche Telekom International Finance B.V., 1.5%, 4/03/2028		EUR	200,000				240,851
Empresa Nacional de Telecomunicaciones S.A., 4.75%, 8/01/2026		$	300,000				312,221
Telecom Italia Capital, 6%, 9/30/2034			250,000				276,250
Telecom Italia S.p.A., 5.303%, 5/30/2024 (n)			1,515,000				1,639,988
Telefonica Celular del Paraguay S.A., 6.75%, 12/13/2022			517,000				535,989
Verizon Communications, Inc., 4.812%, 3/15/2039			323,000				327,674
Zayo Group LLC/Zayo Capital, Inc., 6.375%, 5/15/2025			660,000				709,295
Zayo Group LLC/Zayo Capital, Inc., 5.75%, 1/15/2027 (n)			1,285,000				1,363,681
						$	7,749,644
Oil Services - 0.5%
Bristow Group, Inc., 6.25%, 10/15/2022		$	621,000			$	386,573
Diamond Offshore Drilling, Inc., 5.7%, 10/15/2039			945,000				722,925
Odebrecht Offshore Drilling Finance Ltd., 6.75%, 10/01/2022 (a)(d)(n)			880,649				328,042
Trinidad Drilling Ltd., 6.625%, 2/15/2025 (n)			945,000				874,125
						$	2,311,665
Oils - 0.5%
CITGO Holding, Inc., 10.75%, 2/15/2020 (n)		$	645,000			$	688,538
CITGO Petroleum Corp., 6.25%, 8/15/2022 (n)			1,230,000				1,242,300
Marathon Petroleum Corp., 4.75%, 9/15/2044			200,000				194,021
Neste Oyj, 1.5%, 6/07/2024		EUR	100,000				120,971
Phillips 66, 4.875%, 11/15/2044		$	150,000				163,208
						$	2,409,038
Other Banks & Diversified Financials - 1.1%
Arion Banki, 2.5%, 4/26/2019		EUR	100,000			$	123,386
Bank of Iceland, 1.75%, 9/07/2020		EUR	300,000				369,074
BBVA Bancomer S.A. de C.V., 6.75%, 9/30/2022 (n)		$	1,004,000				1,140,795
Belfius Bank S.A., 3.125%, 5/11/2026		EUR	200,000				258,052
Capital One Financial Corp., 2.35%, 8/17/2018		$	806,000				809,983
Citizens Bank N.A., 2.55%, 5/13/2021			250,000				252,168
Deutsche Bank AG, 1.875%, 2/28/2020		GBP	200,000				261,324
Groupe BPCE S.A., 12.5% to 9/30/2019, FLR to 8/29/2049 (n)			953,000				1,141,055
ING Groep N.V., 3.95%, 3/29/2027			249,000				261,254

 

12

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Other Banks & Diversified Financials - continued
Intesa Sanpaolo S.p.A., 5.25%, 1/28/2022		GBP	100,000			$	145,469
U.S. Bancorp, 0.85%, 6/07/2024		EUR	150,000				179,530
						$	4,942,090
Personal Computers & Peripherals - 0.0%
Equifax, Inc., 2.3%, 6/01/2021		$	160,000			$	160,536
Pharmaceuticals - 0.7%
Celgene Corp., 2.875%, 8/15/2020		$	524,000			$	537,332
Endo Finance Co., 5.75%, 1/15/2022 (z)			680,000				608,600
Gilead Sciences, Inc., 2.35%, 2/01/2020			52,000				52,634
Mallinckrodt International Finance S.A., 5.75%, 8/01/2022 (n)			1,335,000				1,314,975
Valeant Pharmaceuticals International, Inc., 7%, 10/01/2020 (n)			890,000				887,775
						$	3,401,316
Precious Metals & Minerals - 0.4%
Eldorado Gold Corp., 6.125%, 12/15/2020 (n)		$	1,980,000			$	2,014,650
Printing & Publishing - 0.5%
Nielsen Finance LLC, 5%, 4/15/2022 (n)		$	1,165,000			$	1,205,775
Outdoor Americas Capital LLC/Outfront Media Capital Corp., 5.625%, 2/15/2024			875,000				908,906
						$	2,114,681
Real Estate - Apartment - 0.1%
Vonovia SE, REIT, 2.125%, 7/09/2022		EUR	225,000			$	288,120
Real Estate - Healthcare - 0.6%
MPT Operating Partnership LP, REIT, 6.375%, 2/15/2022		$	1,390,000			$	1,440,388
MPT Operating Partnership LP, REIT, 5.25%, 8/01/2026			1,375,000				1,426,563
						$	2,866,951
Real Estate - Office - 0.1%
Boston Properties, Inc., REIT, 3.125%, 9/01/2023		$	250,000			$	257,470
Merlin Properties SOCIMI S.A., REIT, 2.225%, 4/25/2023		EUR	250,000				315,609
						$	573,079
Real Estate - Other - 1.1%
CyrusOne LP/CyrusOne Finance Corp., REIT, 5.375%, 3/15/2027 (z)		$	320,000			$	338,400
CyrusOne LP/CyrusOne Finance Corp., REIT, 5%, 3/15/2024 (n)			1,455,000				1,520,475
DuPont Fabros Technology LP, REIT, 5.875%, 9/15/2021			1,050,000				1,084,829
Felcor Lodging LP, REIT, 5.625%, 3/01/2023			1,240,000				1,286,500
Starwood Property Trust, Inc., 5%, 12/15/2021			865,000				896,356
						$	5,126,560
Real Estate - Retail - 0.1%
Simon International Finance S.C.A., REIT, 1.25%, 5/13/2025		EUR	200,000			$	241,554
Restaurants - 0.2%
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, 6/01/2026 (n)		$	1,040,000			$	1,095,900
Retailers - 1.2%
Best Buy Co., Inc., 5.5%, 3/15/2021		$	347,000			$	377,553
Dollar Tree, Inc., 5.75%, 3/01/2023			1,270,000				1,339,850
Hanesbrands, Inc., 4.625%, 5/15/2024 (n)			300,000				312,000
Hanesbrands, Inc., 4.875%, 5/15/2026 (n)			1,280,000				1,331,200

 

13

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Retailers - continued
Home Depot, Inc., 3%, 4/01/2026		$	310,000			$	314,960
Home Depot, Inc., 4.875%, 2/15/2044			200,000				235,102
Kering S.A., 1.25%, 5/10/2026		EUR	200,000				243,362
Sally Beauty Holdings, Inc., 5.625%, 12/01/2025		$	1,295,000				1,322,532
						$	5,476,559
Specialty Chemicals - 0.9%
A Schulman, Inc., 6.875%, 6/01/2023		$	1,230,000			$	1,269,975
Ecolab, Inc., 2.625%, 7/08/2025		EUR	100,000				132,937
Koppers, Inc., 6%, 2/15/2025 (n)		$	1,235,000				1,309,100
Univar USA, Inc., 6.75%, 7/15/2023 (n)			1,430,000				1,487,200
						$	4,199,212
Specialty Stores - 0.5%
Argos Merger Sub, Inc., 7.125%, 3/15/2023 (n)		$	1,065,000			$	867,975
Group 1 Automotive, Inc., 5%, 6/01/2022			1,455,000				1,487,738
						$	2,355,713
Supermarkets - 0.5%
Albertsons Cos. LLC/Safeway Co., 6.625%, 6/15/2024		$	1,870,000			$	1,784,915
Loblaw Cos. Ltd., 4.86%, 9/12/2023		CAD	262,000				233,176
William Morrison Supermarkets PLC, 3.5%, 7/27/2026		GBP	100,000				139,739
						$	2,157,830
Supranational - 0.1%
International Bank for Reconstruction and Development, 2.8%, 1/13/2021		AUD	170,000			$	136,708
International Bank for Reconstruction and Development, 4.25%, 6/24/2025		AUD	210,000				181,472
International Finance Corp., 3.25%, 7/22/2019		AUD	305,000				247,499
						$	565,679
Telecommunications - Wireless - 3.4%
Altice Luxembourg S.A., 7.75%, 5/15/2022 (n)		$	415,000			$	440,419
Altice Luxembourg S.A., 7.625%, 2/15/2025 (n)			1,340,000				1,450,148
America Movil S.A.B. de C.V., 1.5%, 3/10/2024		EUR	140,000				172,826
American Tower Corp., REIT, 3.5%, 1/31/2023		$	465,000				482,986
American Tower Corp., REIT, 1.375%, 4/04/2025		EUR	100,000				119,554
Crown Castle International Corp., 3.7%, 6/15/2026		$	157,000				159,269
Digicel Group Ltd., 6%, 4/15/2021 (n)			967,000				937,990
Digicel Group Ltd., 7.125%, 4/01/2022 (n)			640,000				568,800
Digicel Group Ltd., 6.75%, 3/01/2023 (n)			1,150,000				1,102,563
SBA Tower Trust, 2.898%, 10/15/2044 (n)			220,000				221,186
SFR Group S.A., 7.375%, 5/01/2026 (n)			1,200,000				1,296,024
Sprint Capital Corp., 6.875%, 11/15/2028			1,625,000				1,787,500
Sprint Corp., 7.875%, 9/15/2023			980,000				1,119,777
Sprint Corp., 7.125%, 6/15/2024			1,655,000				1,820,500
Sprint Nextel Corp., 6%, 11/15/2022			615,000				654,206
T-Mobile USA, Inc., 6.125%, 1/15/2022			135,000				140,738
T-Mobile USA, Inc., 6.5%, 1/15/2024			615,000				656,513
T-Mobile USA, Inc., 5.125%, 4/15/2025			815,000				855,995
T-Mobile USA, Inc., 6.5%, 1/15/2026			775,000				858,313
T-Mobile USA, Inc., 5.375%, 4/15/2027			695,000				745,596
						$	15,590,903
Telephone Services - 0.6%
Chorus Ltd. Co., 1.125%, 10/18/2023		EUR	150,000			$	180,228
Level 3 Financing, Inc., 5.375%, 1/15/2024		$	470,000				480,434

 

14

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Telephone Services - continued
Level 3 Financing, Inc., 5.375%, 5/01/2025		$	1,645,000			$	1,690,238
TELUS Corp., 5.05%, 7/23/2020		CAD	265,000				229,359
						$	2,580,259
Tobacco - 0.4%
B.A.T. Capital Corp., 3.557%, 8/15/2027 (n)		$	326,000			$	330,637
Imperial Brands Finance PLC, 1.375%, 1/27/2025		EUR	150,000				179,670
Imperial Tobacco Finance PLC, 4.25%, 7/21/2025 (n)		$	455,000				483,203
Reynolds American, Inc., 8.125%, 6/23/2019			92,000				101,791
Reynolds American, Inc., 3.25%, 6/12/2020			41,000				42,224
Reynolds American, Inc., 4.45%, 6/12/2025			415,000				449,426
Reynolds American, Inc., 5.7%, 8/15/2035			118,000				138,223
						$	1,725,174
Transportation - Services - 0.7%
Autostrade per L’Italia S.p.A., 1.75%, 6/26/2026		EUR	250,000			$	308,061
Compagnie Financial et Indus Unternehmensanleihe, 0.75%, 9/09/2028		EUR	200,000				226,917
Delhi International Airport, 6.125%, 10/31/2026 (n)		$	521,000				561,378
ERAC USA Finance LLC, 6.375%, 10/15/2017 (n)			400,000				402,031
ERAC USA Finance LLC, 7%, 10/15/2037 (n)			250,000				328,790
Heathrow Funding Ltd., 4.625%, 10/31/2046		GBP	100,000				173,313
Navios Maritime Holding, Inc., 7.375%, 1/15/2022 (n)		$	555,000				450,938
Navios South American Logistics, Inc./Navios Logistics Finance (U.S.), Inc., 7.25%, 5/01/2022			365,000				356,331
Syncreon Group BV/Syncre, 8.625%, 11/01/2021 (n)			670,000				542,700
						$	3,350,459
U.S. Treasury Obligations - 14.3%
U.S. Treasury Bonds, 5.25%, 2/15/2029		$	3,824,000			$	5,013,623
U.S. Treasury Bonds, 5.375%, 2/15/2031			286,200				390,764
U.S. Treasury Bonds, 4.5%, 2/15/2036			1,857,000				2,444,059
U.S. Treasury Bonds, 4.75%, 2/15/2037 (f)			1,885,200				2,562,694
U.S. Treasury Bonds, 3.125%, 2/15/2043 (f)			2,920,000				3,158,391
U.S. Treasury Bonds, 3.625%, 2/15/2044			771,000				908,455
U.S. Treasury Notes, 0.75%, 10/31/2018			14,000,000				13,915,781
U.S. Treasury Notes, 0.875%, 11/30/2017			20,000,000				19,989,827
U.S. Treasury Notes, 0.875%, 5/15/2019			9,000,000				8,933,203
U.S. Treasury Notes, 1.75%, 5/15/2022			4,692,000				4,705,746
U.S. Treasury Notes, 2.25%, 11/15/2025			4,519,000				4,588,727
						$	66,611,270
Utilities - Electric Power - 2.8%
American Electric Power Co., Inc., 1.65%, 12/15/2017		$	185,000			$	185,023
Calpine Corp., 5.5%, 2/01/2024			1,765,000				1,637,038
Calpine Corp., 5.75%, 1/15/2025			820,000				752,104
Covanta Holding Corp., 6.375%, 10/01/2022			310,000				318,525
Covanta Holding Corp., 5.875%, 3/01/2024			755,000				755,000
Covanta Holding Corp., 5.875%, 7/01/2025			830,000				823,775
Dominion Resources, Inc., 2.5%, 12/01/2019			250,000				252,929
Duke Energy Florida LLC, 3.2%, 1/15/2027			310,000				319,369
EDP Finance B.V., 5.25%, 1/14/2021 (n)			200,000				216,140
EDP Finance B.V., 2%, 4/22/2025		EUR	100,000				123,521
Emera U.S. Finance LP, 2.7%, 6/15/2021		$	98,000				98,935
Emera U.S. Finance LP, 3.55%, 6/15/2026			112,000				114,420
Enel Americas S.A., 4%, 10/25/2026			345,000				349,923
Enel Finance International N.V., 4.75%, 5/25/2047 (n)			442,000				474,252

 

15

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Utilities - Electric Power - continued
Engie Energia Chile S.A., 5.625%, 1/15/2021		$	757,000			$	827,614
Engie Energia Chile S.A., 4.5%, 1/29/2025 (n)			512,000				535,992
Exelon Corp., 3.497%, 6/01/2022			151,000				156,526
FirstEnergy Corp., 3.9%, 7/15/2027			118,000				120,550
Innogy Finance B.V., 4.75%, 1/31/2034		GBP	100,000				161,953
NextEra Energy Capital Holdings, Inc., 3.55%, 5/01/2027		$	377,000				391,110
NRG Energy, Inc., 6.625%, 3/15/2023			1,985,000				2,054,475
NRG Energy, Inc., 7.25%, 5/15/2026			750,000				804,375
Pattern Energy Group, Inc., 5.875%, 2/01/2024 (n)			280,000				293,300
PG&E Corp., 2.4%, 3/01/2019			166,000				167,144
PPL Capital Funding, Inc., 3.1%, 5/15/2026			379,000				377,893
PPL WEM Holdings PLC, 5.375%, 5/01/2021 (n)			250,000				272,462
Virginia Electric & Power Co., 3.5%, 3/15/2027			475,000				497,915
						$	13,082,263
Total Bonds						$	552,815,957
Floating Rate Loans (g)(r) - 0.4%
Computer Software - Systems - 0.1%
Sabre Global, Inc., Term Loan B, 3.48%, 2/22/2024		$	329,743			$	330,671
Conglomerates - 0.0%
Entegris, Inc., Term Loan B, 3.48%, 4/30/2021		$	123,575			$	123,986
Consumer Products - 0.1%
Spectrum Brands, Inc., Term Loan B, 3.31%, 6/23/2022		$	311,109			$	312,121
Entertainment - 0.1%
Cedar Fair LP, Term Loan B, 3.48%, 4/13/2024		$	317,611			$	319,437
Six Flags Theme Parks, Inc., Term Loan B, 3.24%, 6/30/2022			331,400				332,436
						$	651,873
Medical & Health Technology & Services - 0.1%
DaVita HealthCare Partners, Inc., Term Loan B, 3.98%, 6/24/2021		$	557,407			$	560,393
Utilities - Electric Power - 0.0%
Calpine Construction Finance Co. LP, Term Loan B1, 3.74%, 5/03/2020		$	119,709			$	119,522
Total Floating Rate Loans						$	2,098,566
Common Stocks - 0.2%
Energy - Independent - 0.1%
Frontera Energy Corp. (a)			8,177			$	227,648
Oil Services - 0.1%
LTRI Holdings LP (a)(u)			615			$	546,993
Total Common Stocks						$	774,641
Investment Companies (h) - 0.7%
Money Market Funds - 0.7%
MFS Institutional Money Market Portfolio, 1.11% (v)			3,398,960			$	3,398,960

 

16

---

Portfolio of Investments (unaudited) – continued

 

Underlying/Expiration Date/Exercise Price		Put/Call				Counterparty				Notional Amount				Par Amount				Value ($)
Purchased Options - 0.0%
Markit Index Securities - 0.0%
Markit CDX North America Investment Grade Index - October 2017 @ $70			Put				Goldman Sachs International			$	27,005,032			$	26,500,000			$	14,518
Other Assets, Less Liabilities - (20.0)%																			(93,316,985	)
Net Assets - 100.0%																		$	465,785,657

 

(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.

(h)

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. At period end, the aggregate values of the fund’s investments in affiliated issuers and in unaffiliated issuers were $3,398,960 and $555,703,682, respectively.

(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 $168,943,188, representing 36.3% of net assets.

(p)	Payment in kind security for which interest income may be received in additional securities and/or cash.

(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.

(u)	The security was valued using significant unobservable inputs and is considered level 3 under the fair value hierarchy.

(v)	Affiliated issuer 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
Ascend Learning LLC, 6.875%, 8/01/2025		6/28/17-7/06/17			$482,748				$494,000
Bayview Financial Revolving Mortgage Loan Trust, FLR(LIBOR-1mo. + 1.6%), 2.833%, 12/28/2040		3/01/06			473,788				366,832
CyrusOne LP/CyrusOne Finance Corp., REIT, 5.375%, 3/15/2027		6/22/17-6/23/17			333,402				338,400
Endo Finance Co., 5.75%, 1/15/2022		8/15/17			607,430				608,600
Liberty Mutual Group, Inc., 2.75%, 5/04/2026		4/26/16			112,152				129,782
New Enterprise Stone & Lime Co., Inc., 10.125%, 4/01/2022		3/9/17-6/28/17			962,927				993,600
Novelis Corp., 5.875%, 9/30/2026		3/12/17-6/14/17			1,508,119				1,516,838
Republic of Indonesia, 2.875%, 7/08/2021		7/02/14			237,979				223,924
Republic of Indonesia, 2.15%, 7/18/2024		7/11/17			184,228				195,994
Seven Generations Energy, 6.75%, 5/01/2023		4/20/17-8/30/17			1,246,615				1,228,675
TMS International Corp., 7.25%, 8/15/2025		8/09/17-8/25/17			861,874				868,600
VeriSign, Inc., 4.75%, 7/15/2027		6/29/17			345,000				351,003
WMG Acquisition Corp., 5%, 8/01/2023		5/11/17-5/12/17			214,791				216,825
West Street Merger Sub, Inc., 6.375%, 9/01/2025		8/10/17-8/24/17			555,219				552,919
Total Restricted Securities									$8,085,992
% of Net assets									1.7%

The following abbreviations are used in this report and are defined:

 

CDO		Collateralized Debt Obligation
CLO		Collateralized Loan Obligation
FLR		Floating rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate.
PLC		Public Limited Company
REIT		Real Estate Investment Trust

 

17

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Portfolio of Investments (unaudited) – continued

 

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
CHF		Swiss Franc
DKK		Danish Krone
EUR		Euro
GBP		British Pound
INR		Indian Rupee
HKD		Hong Kong Dollar
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
ZAR		South African Rand

Derivative Contracts at 8/31/17

Forward Foreign Currency Exchange Contracts at 8/31/17

 

		Currency Purchased								Currency Sold								Counterparty		Settlement Date		Unrealized Appreciation
			AUD				1,508,396				USD				1,187,356			Citibank N.A.		10/13/2017			$11,185
			AUD				927,382				USD				729,633			JPMorgan Chase Bank N.A.		10/13/2017			7,246
			CHF				57,082				USD				58,974			Barclays Bank PLC		10/13/2017			701
			DKK				31,438				USD				4,982			Goldman Sachs International		10/13/2017			61
			EUR				405,774				USD				477,246			Brown Brothers Harriman		10/13/2017			6,795
			EUR				191,749				USD				225,654			HSBC Bank		10/13/2017			3,081
			KRW				44,218,500				USD				38,808			JPMorgan Chase Bank N.A.		11/15/2017			432
			MXN				3,219,094				USD				177,540			JPMorgan Chase Bank N.A.		10/13/2017			1,409
			MYR				444,000				USD				103,700			Barclays Bank PLC		10/25/2017			66
			NOK				106,912				USD				13,471			JPMorgan Chase Bank N.A.		10/13/2017			322
			SEK				21,035,119				USD				2,599,024			Goldman Sachs International		10/13/2017			54,007
			USD				1,168,588				GBP				895,811			Citibank N.A.		10/13/2017			8,698
			USD				9,076,461				GBP				6,952,106			Deutsche Bank AG		10/13/2017			74,922
			USD				254,540				GBP				196,000			JPMorgan Chase Bank N.A.		10/13/2017			761
			USD				89,915				NZD				125,000			JPMorgan Chase Bank N.A.		10/13/2017			229
			ZAR				569,852				USD				42,638			Barclays Bank PLC		10/13/2017			900
																							$170,815
		Currency Purchased								Currency Sold								Counterparty		Settlement Date		Unrealized (Depreciation)
			GBP				1,235,438				USD				1,604,828			Goldman Sachs International		10/13/2017			$(5,191	)
			HKD				9,708,000				USD				1,242,987			Citibank N.A.		10/13/2017			(1,096	)
			INR				150,464,000				USD				2,359,627			Barclays Bank PLC		9/5/2017			(5,915	)
			INR				150,464,000				USD				2,339,122			Barclays Bank PLC		11/1/2017			(1,205	)
			JPY				255,652,000				USD				2,337,820			Citibank N.A.		10/13/2017			(8,199	)
			JPY				257,066,000				USD				2,349,613			Goldman Sachs International		10/13/2017			(7,106	)
			NZD				121,494				USD				88,989			JPMorgan Chase Bank N.A.		10/13/2017			(1,818	)
			USD				2,351,000				INR				150,464,000			Barclays Bank PLC		9/5/2017			(2,712	)
			USD				2,328,310				CAD				2,954,956			Barclays Bank PLC		10/13/2017			(39,051	)
			USD				119,941				EUR				101,549			Brown Brothers Harriman		9/13/2017			(997	)
			USD				1,164,253				EUR				984,000			Citibank N.A.		10/13/2017			(9,543	)
			USD				2,910,913				CAD				3,698,559			Deutsche Bank AG		10/13/2017			(52,185	)
			USD				232,633				SEK				1,883,000			Deutsche Bank AG		10/13/2017			(4,858	)
			USD				2,668,077				AUD				3,372,148			Goldman Sachs International		10/13/2017			(11,364	)

 

18

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Portfolio of Investments (unaudited) – continued

 

Forward Foreign Currency Exchange Contracts at 8/31/17 - continued

 

		Currency Purchased								Currency Sold								Counterparty		Settlement Date		Unrealized (Depreciation)
			USD				111,476				EUR				94,532			Goldman Sachs International		10/13/2017			$(1,289	)
			USD				261,262				GBP				202,604			Goldman Sachs International		10/13/2017			(1,068	)
			USD				22,962,415				JPY				2,534,894,459			Goldman Sachs International		10/13/2017			(136,741	)
			USD				29,656,308				EUR				25,079,874			JPMorgan Chase Bank N.A.		10/13/2017			(261,036	)
			USD				49,182				SGD				66,859			JPMorgan Chase Bank N.A.		10/13/2017			(139	)
			USD				8,462,117				CAD				10,726,241			Merrill Lynch International		10/13/2017			(131,203	)
																							$(682,716	)

Futures Contracts at 8/31/17

 

Description		Long/Short				Currency				Contracts				Notional Amount				Expiration Date				Value/Unrealized Appreciation (Depreciation)
Asset Derivatives
Interest Rate Futures
Euro-Bund 10 yr			Long				EUR				37				$7,271,225				September - 2017				$5,198
Euro-Buxl 30 yr			Long				EUR				11				2,204,405				September - 2017				11,759
U.S. Treasury Ultra Bond 30 yr			Long				USD				8				1,352,500				December - 2017				7,690
Long Gilt 10 yr			Long				GBP				35				5,761,410				December - 2017				10,294
U.S. Treasury Note 5 yr			Short				USD				48				5,688,000				December - 2017				4,331
																							$39,272
Liability Derivatives
Interest Rate Futures
Euro-Bobl 5 yr			Long				EUR				38				$6,022,871				September - 2017				$(2,805	)
Government of Canada 10 yr			Short				CAD				12				1,328,529				December - 2017				(2,825	)
U.S. Treasury Bond 30 yr			Short				USD				4				624,375				December - 2017				(2,577	)
U.S. Treasury Ultra Note 10 yr			Short				USD				20				2,730,625				December - 2017				(8,354	)
U.S. Treasury Note 10 yr			Short				USD				379				48,127,078				December - 2017				(101,901	)
																							$(118,462	)

At August 31, 2017, the fund had cash collateral of $460,000 with other liquid securities with an aggregate value of $965,721 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.

 

19

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Supplemental Information

8/31/17 (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

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. 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. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value. Exchange-traded options are generally valued at the last sale or official closing price on their primary exchange as provided by a third-party pricing service. Exchange-traded options for which there were no sales reported that day are generally valued at the last daily bid quotation on their primary exchange as provided by a third-party pricing service. Options not traded on an exchange are generally valued at a broker/dealer bid quotation. Foreign currency options are generally valued at valuations provided by a third-party pricing service. 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 fund’s investments (including any fair valuation) to the adviser pursuant to valuation policies and procedures approved by the Board. If the adviser determines that reliable market quotations are not readily available, investments are valued at fair value as determined in good faith by the adviser in accordance with such procedures under the oversight of the Board of Trustees. Under the fund’s valuation policies and procedures, market quotations are not considered to be readily available for most types of debt instruments and floating rate loans and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services. In addition, investments may be valued at fair value if the adviser determines that an investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund’s net asset value, or after the halting of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.

Various inputs are used in determining the value of the fund’s assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk).

 

20

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Supplemental Information (unaudited) – continued

 

Level 3 includes unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. Other 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, 2017 in valuing the fund’s assets or liabilities:

 

Financial Instruments		Level 1				Level 2				Level 3				Total
Equity Securities:
United States			$—				$—				$546,993				$546,993
Colombia			227,648				—								227,648
U.S. Treasury Bonds & U.S. Government Agency & Equivalents			—				66,611,270				—				66,611,270
Non-U.S. Sovereign Debt			—				82,232,553				—				82,232,553
U.S. Corporate Bonds			—				296,390,495				—				296,390,495
Residential Mortgage-Backed Securities			—				14,641,422				—				14,641,422
Commercial Mortgage-Backed Securities			—				2,171,135				—				2,171,135
Asset-Backed Securities (including CDOs)			—				10,881,084				—				10,881,084
Foreign Bonds			—				79,902,516				—				79,902,516
Floating Rate Loans			—				2,098,566				—				2,098,566
Mutual Funds			3,398,960				—				—				3,398,960
Total			$3,626,608				$554,929,041				$546,993				$559,102,642
Other Financial Instruments
Futures Contracts - Assets			$39,272				$—				$—				$39,272
Futures Contracts - Liabilities			(118,462	)			—				—				(118,462	)
Forward Foreign Currency Exchange Contracts - Assets			—				170,815				—				170,815
Forward Foreign Currency Exchange Contracts - Liabilities			—				(682,716	)			—				(682,716	)

For further information regarding security characteristics, see the Portfolio of Investments.

The following is a reconciliation of level 3 assets for which significant unobservable inputs were used to determine fair value. The fund’s policy is to recognize transfers between the levels as of the end of the period. The table presents the activity of level 3 securities held at the beginning and the end of the period.

 

		Equity Securities
Balance as of 11/30/16			$—
Received as part of a corporate action			546,993
Balance as of 8/31/17			$546,993

At August 31, 2017, 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			$552,627,694
Gross unrealized appreciation			16,368,390
Gross unrealized depreciation			(9,893,442	)
Net unrealized appreciation (depreciation)			$6,474,948

The aggregate cost above includes prior fiscal year end tax adjustments, if applicable.

(3) Investments in 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:

 

Affiliated Issuer						Beginning Shares/Par Amount				Acquisitions Shares/Par Amount				Dispositions Shares/Par Amount				Ending Shares/Par Amount
MFS Institutional Money Market Portfolio							9,305,595				135,611,694				(141,518,329	)			3,398,960
Affiliated Issuer		Realized Gain (Loss)				Change in Unrealized Appreciation (Depreciation)				Capital Gain Distributions				Dividend Income				Ending Value
MFS Institutional Money Market Portfolio			$1,615				$339				$—				$66,137				$3,398,960

 

21

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ITEM 2.

CONTROLS AND PROCEDURES.

 

(a)

Based upon their evaluation of the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as conducted within 90 days of the filing date of this Form N-Q, the registrant’s principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

 

(b)

There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

ITEM 3.

EXHIBITS.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto.

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Notice

A copy of the Amended and Restated Declaration of Trust, as amended, of the Registrant is on file with the Secretary of State of The Commonwealth of Massachusetts and notice is hereby given that this instrument is executed on behalf of the Registrant by an officer of the Registrant as an officer and not individually and the obligations of or arising out of this instrument are not binding upon any of the Trustees or shareholders individually, but are binding only upon the assets and property of the respective constituent series of the Registrant.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant: MFS CHARTER INCOME TRUST

 

By (Signature and Title)*		DAVID L. DILORENZO
		David L. DiLorenzo, President

Date: October 17, 2017

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)*		DAVID L. DILORENZO
		David L. DiLorenzo, President (Principal Executive Officer)

Date: October 17, 2017

 

By (Signature and Title)*		JAMES O. YOST
		James O. Yost, Treasurer (Principal Financial Officer and Accounting Officer)

Date: October 17, 2017

 

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