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)

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: February 28, 2017

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ITEM 1.

SCHEDULE OF INVESTMENTS.

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QUARTERLY REPORT

February 28, 2017

 

 

MFS® CHARTER INCOME TRUST

 

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PORTFOLIO OF INVESTMENTS

2/28/17 (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 - 117.1%
Aerospace - 0.7%
CPI International, Inc., 8.75%, 2/15/2018		$	1,250,000			$	1,265,591
KLX, Inc., 5.875%, 12/01/2022 (z)			570,000				600,039
Lockheed Martin Corp., 3.55%, 1/15/2026			263,000				268,927
TransDigm, Inc., 6%, 7/15/2022			465,000				477,546
TransDigm, Inc., 6.5%, 7/15/2024			800,000				822,000
TransDigm, Inc., 6.375%, 6/15/2026			130,000				131,300
						$	3,565,403
Airlines - 0.2%
Ryanair Ltd., 1.125%, 3/10/2023		EUR	775,000			$	830,464
Apparel Manufacturers - 0.0%
Christian Dior SE, 0.75%, 6/24/2021		EUR	100,000			$	107,432
Asset-Backed & Securitized - 4.3%
Banc of America Commercial Mortgage, Inc., FRN, 5.819%, 2/10/2051		$	413,554			$	417,330
Bayview Financial Revolving Mortgage Loan Trust, FRN, 2.376%, 12/28/2040 (z)			515,705				395,655
Chesapeake Funding II LLC, 2016-1A, “A2”, FRN, 1.917%, 3/15/2028 (n)			1,643,000				1,651,808
Commercial Mortgage Trust, 2015-DC1, “A5”, 3.35%, 2/10/2048			500,000				505,233
Crest Ltd., CDO, 7%, 1/28/2040 (a)(p)			3,194,915				400,802
Dryden Senior Loan Fund, 2013-26A, “A”, CLO, FRN, 2.123%, 7/15/2025 (n)			722,000				720,085
First Union-Lehman Brothers Bank of America, FRN, 1.097%, 11/18/2035 (i)			2,707,373				21,268
Flatiron CLO Ltd., 2013-1A, “A2R”, FRN, 2.58%, 1/17/2026 (n)			929,626				927,698
Ford Credit Floorplan Master Owner Trust, 2015-1, “A2”, FRN, 1.17%, 1/15/2020			1,848,000				1,851,084
Greenwich Capital Commercial Funding Corp., 5.475%, 3/10/2039			32,334				32,331
HarbourView CLO VII Ltd., “B1R”, FRN, 2.702%, 11/18/2026 (z)			940,012				936,263
John Deere Owner Trust , “A2”, 1.15%, 10/15/2018			1,041,146				1,040,945
JPMorgan Chase Commercial Mortgage Securities Corp., “A4”, FRN, 5.787%, 6/15/2049			1,275,750				1,278,309
JPMorgan Chase Commercial Mortgage Trust, 2007-LD11, “AM”, FRN, 5.787%, 6/15/2049			2,142,300				2,173,085
Loomis, Sayles & Co., CLO, “A1”, FRN, 2.553%, 10/15/2027 (z)			2,526,150				2,533,889
Mercedes-Benz Auto Lease Trust, 2015-B, “A2B”, 1.29%, 1/16/2018			276,983				277,036
Merrill Lynch Mortgage Trust, FRN, 5.826%, 6/12/2050			1,195,378				1,200,852
Morgan Stanley Capital I Trust, “AM”, FRN, 5.715%, 4/15/2049			2,137,000				2,139,587
Wachovia Bank Commercial Mortgage Trust, “A4”, FRN, 5.975%, 2/15/2051			1,170,792				1,173,058
Wells Fargo Commercial Mortgage Trust, 2015-NXS1, “A5”, 3.148%, 5/15/2048			768,632				772,100
						$	20,448,418
Automotive - 1.5%
Allison Transmission, Inc., 5%, 10/01/2024 (n)		$	1,456,000			$	1,481,480
Delphi Automotive PLC, 1.5%, 3/10/2025		EUR	200,000				214,347
Ferrari N.V., 1.5%, 3/16/2023		EUR	350,000				376,984
FGA Capital Ireland PLC, 2%, 10/23/2019		EUR	450,000				495,531
Gates Global LLC, 6%, 7/15/2022 (n)		$	660,000				664,950
General Motors Financial Co., Inc., 3.45%, 4/10/2022			256,000				259,639
General Motors Financial Co., Inc., 4.35%, 1/17/2027			129,000				131,805
IHO Verwaltungs GmbH, 4.75%, 9/15/2026 (n)			1,030,000				1,017,125
RCI Banque S.A., 1%, 5/17/2023		EUR	800,000				842,892
ZF North America Capital, Inc., 4.5%, 4/29/2022 (n)		$	1,085,000				1,127,044
ZF North America Capital, Inc., 4.75%, 4/29/2025 (n)			750,000				772,500
						$	7,384,297

 

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			$	218,893
Broadcasting - 1.8%
CBS Radio, Inc., 7.25%, 11/01/2024 (n)		$	540,000			$	576,450
Clear Channel Worldwide Holdings, Inc., “A”, 6.5%, 11/15/2022			365,000				368,650
Clear Channel Worldwide Holdings, Inc., “B”, 6.5%, 11/15/2022			1,305,000				1,351,484
iHeartMedia, Inc., 9%, 3/01/2021			673,000				545,130
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			210,000				224,700
Match Group, Inc., 6.375%, 6/01/2024			765,000				826,200
Netflix, Inc., 5.375%, 2/01/2021			1,680,000				1,801,800
Netflix, Inc., 5.875%, 2/15/2025			70,000				75,688
Omnicom Group, Inc., 3.65%, 11/01/2024			77,000				78,575
Omnicom Group, Inc., 3.6%, 4/15/2026			290,000				290,965
ProSiebenSat.1 Media AG, 2.625%, 4/15/2021		EUR	240,000				272,718
SES Global Americas Holdings GP, 2.5%, 3/25/2019 (n)		$	181,000				180,328
Time Warner, Inc., 3.8%, 2/15/2027			332,000				328,435
WMG Acquisition Corp., 4.875%, 11/01/2024 (z)			555,000				561,938
						$	8,454,311
Brokerage & Asset Managers - 0.1%
Intercontinental Exchange, Inc., 2.75%, 12/01/2020		$	178,000			$	180,968
Intercontinental Exchange, Inc., 3.75%, 12/01/2025			292,000				303,977
						$	484,945
Building - 2.7%
ABC Supply Co., Inc., 5.75%, 12/15/2023 (z)		$	865,000			$	908,250
Allegion PLC, 5.875%, 9/15/2023			501,000				536,070
Allegion U.S. Holding Co., Inc., 5.75%, 10/01/2021			1,630,000				1,703,350
Beacon Roofing Supply, Inc., 6.375%, 10/01/2023			1,035,000				1,119,094
Elementia S.A. de C.V., 5.5%, 1/15/2025 (n)			210,000				206,325
Gibraltar Industries, Inc., 6.25%, 2/01/2021			1,045,000				1,078,963
HD Supply, Inc., 5.75%, 4/15/2024 (n)			1,270,000				1,343,025
HeidelbergCement AG, 2.25%, 3/30/2023		EUR	170,000				194,563
Imerys S.A., 1.5%, 1/15/2027		EUR	200,000				210,998
Mohawk Industries, Inc., 3.85%, 2/01/2023		$	134,000				136,879
Owens Corning, 4.2%, 12/15/2022			127,000				132,873
Owens Corning, 3.4%, 8/15/2026			238,000				230,696
PriSo Acquisition Corp., 9%, 5/15/2023 (n)			915,000				931,013
Standard Industries, Inc., 5.375%, 11/15/2024 (n)			1,380,000				1,418,502
Standard Industries, Inc., 6%, 10/15/2025 (n)			750,000				796,875
Summit Materials LLC/Summit Materials Finance Co., 6.125%, 7/15/2023			1,340,000				1,393,600
Union Andina de Cementos S.A.A., 5.875%, 10/30/2021 (n)			492,000				512,910
						$	12,853,986
Business Services - 1.6%
Alliance Data Systems Corp., 5.875%, 11/01/2021 (n)		$	1,225,000			$	1,267,875
Alliance Data Systems Corp., 5.375%, 8/01/2022 (n)			240,000				238,800
Cisco Systems, Inc., 2.2%, 2/28/2021			350,000				350,715
Equinix, Inc., 4.875%, 4/01/2020			565,000				579,125
Equinix, Inc., 5.375%, 1/01/2022			305,000				322,156
Equinix, Inc., 5.375%, 4/01/2023			925,000				959,688
Equinix, Inc., 5.75%, 1/01/2025			202,000				214,120
Fidelity National Information Services, Inc., 3.875%, 6/05/2024			537,000				551,185
Fidelity National Information Services, Inc., 5%, 10/15/2025			138,000				151,150

 

2

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Business Services - continued
Fidelity National Information Services, Inc., 3%, 8/15/2026		$	267,000			$	252,965
Fidelity National Information Services, Inc., 4.5%, 8/15/2046			133,000				129,764
Iron Mountain, Inc., REIT, 6%, 10/01/2020 (n)			510,000				535,648
Iron Mountain, Inc., REIT, 6%, 8/15/2023			1,540,000				1,629,936
Tencent Holdings Ltd., 3.375%, 3/05/2018 (n)			449,000				458,329
						$	7,641,456
Cable TV - 5.6%
Altice Financing S.A., 6.5%, 1/15/2022 (n)		$	2,005,000			$	2,097,731
Altice Financing S.A., 6.625%, 2/15/2023 (n)			2,345,000				2,468,113
Altice U.S. Finance I Corp., 5.5%, 5/15/2026 (n)			390,000				403,163
CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023 (n)			1,555,000				1,613,313
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 1/15/2024			1,565,000				1,642,468
CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025 (n)			335,000				350,913
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 2/15/2026 (n)			525,000				561,750
Cequel Communications Holdings, 6.375%, 9/15/2020 (n)			1,340,000				1,381,038
Charter Communications Operating LLC, 6.384%, 10/23/2035			217,000				247,945
Comcast Corp., 2.75%, 3/01/2023			880,000				873,341
Comcast Corp., 4.65%, 7/15/2042			60,000				62,781
Comcast Corp., 4.75%, 3/01/2044			223,000				236,998
CSC Holdings LLC, 5.5%, 4/15/2027 (n)			1,055,000				1,085,331
DISH DBS Corp., 5%, 3/15/2023			1,065,000				1,094,288
DISH DBS Corp., 5.875%, 11/15/2024			1,665,000				1,773,225
Intelsat Jackson Holdings S.A., 7.25%, 4/01/2019			395,000				378,213
Intelsat Jackson Holdings S.A., 5.5%, 8/01/2023			475,000				390,688
Intelsat Jackson Holdings S.A., 8%, 2/15/2024 (n)			245,000				265,825
LGE Holdco VI B.V., 7.125%, 5/15/2024 (n)		EUR	520,000				628,701
Lynx II Corp., 6.375%, 4/15/2023 (n)		$	555,000				582,750
Shaw Communications, Inc., 5.65%, 10/01/2019		CAD	260,000				214,474
Sirius XM Radio, Inc., 5.75%, 8/01/2021 (n)		$	185,000				192,732
Sirius XM Radio, Inc., 4.625%, 5/15/2023 (n)			740,000				756,650
Sirius XM Radio, Inc., 6%, 7/15/2024 (n)			1,500,000				1,597,500
Sirius XM Radio, Inc., 5.375%, 4/15/2025 (n)			705,000				719,100
Sirius XM Radio, Inc., 5.375%, 7/15/2026 (n)			235,000				239,700
Sky PLC, 2.5%, 9/15/2026		EUR	350,000				402,596
Time Warner Cable, Inc., 5.75%, 6/02/2031		GBP	100,000				152,027
Time Warner Cable, Inc., 5.25%, 7/15/2042		GBP	100,000				145,996
Time Warner Cable, Inc., 4.5%, 9/15/2042		$	119,000				108,295
Unitymedia Hessen, 5.5%, 1/15/2023 (n)			1,350,000				1,410,750
Unitymedia KabelBW GmbH, 6.125%, 1/15/2025 (n)			770,000				814,275
Virgin Media Finance PLC, 5.75%, 1/15/2025 (n)			200,000				205,250
Virgin Media Secured Finance PLC, 5.25%, 1/15/2026 (n)			800,000				809,000
VTR Finance B.V., 6.875%, 1/15/2024 (n)			480,000				508,800
Ziggo Bond Finance B.V., 5.875%, 1/15/2025 (n)			400,000				406,500
						$	26,822,220
Chemicals - 1.6%
Air Liquide Finance Co., 2.25%, 9/27/2023 (n)		$	261,000			$	250,874
Axalta Coating Systems Co., 4.875%, 8/15/2024 (n)			670,000				683,400
Chemours Co., 6.625%, 5/15/2023			600,000				636,750
Chemours Co., 7%, 5/15/2025			290,000				315,013
Consolidated Energy Finance S.A., 6.75%, 10/15/2019 (n)			780,000				789,750
GCP Applied Technologies Co., 9.5%, 2/01/2023 (n)			1,035,000				1,174,518
LYB International Finance B.V., 4%, 7/15/2023			135,000				141,966
LyondellBasell Industries N.V., 4.625%, 2/26/2055			400,000				384,186

 

3

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Chemicals - continued
PPG Industries, Inc., 0.875%, 11/03/2025		EUR	230,000			$	241,250
Tronox Finance LLC, 6.375%, 8/15/2020		$	1,175,000				1,195,563
Tronox Finance LLC, 7.5%, 3/15/2022 (n)			795,000				830,775
W.R. Grace & Co., 5.125%, 10/01/2021 (n)			800,000				842,000
						$	7,486,045
Computer Software - 1.2%
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.02%, 6/15/2026 (n)		$	1,065,000			$	1,171,047
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.875%, 6/15/2021 (n)			485,000				513,197
Microsoft Corp., 1.55%, 8/08/2021			1,014,000				985,863
Nuance Communications, Inc., 5.625%, 12/15/2026 (n)			1,105,000				1,128,481
Oracle Corp., 3.4%, 7/08/2024			251,000				257,943
VeriSign, Inc., 4.625%, 5/01/2023			1,465,000				1,494,300
						$	5,550,831
Computer Software - Systems - 1.3%
Apple, Inc., 2.7%, 5/13/2022		$	400,000			$	404,383
Apple, Inc., 3.6%, 7/31/2042		GBP	130,000				187,220
Apple, Inc., 3.85%, 8/04/2046		$	338,000				325,729
Apple, Inc., 4.25%, 2/09/2047			84,000				86,065
CDW LLC/CDW Finance Corp., 6%, 8/15/2022			275,000				291,156
CDW LLC/CDW Finance Corp., 5.5%, 12/01/2024			395,000				414,750
CDW LLC/CDW Finance Corp., 5%, 9/01/2025			135,000				136,941
JDA Software Group, Inc., 7.375%, 10/15/2024 (n)			855,000				897,750
Sabre GLBL, Inc., 5.375%, 4/15/2023 (n)			1,865,000				1,897,638
Western Digital Corp., 10.5%, 4/01/2024			1,320,000				1,544,400
						$	6,186,032
Conglomerates - 2.4%
Amsted Industries Co., 5%, 3/15/2022 (n)		$	2,335,000			$	2,358,350
Apex Tool Group, 7%, 2/01/2021 (n)			970,000				931,200
EnerSys, 5%, 4/30/2023 (n)			1,875,000				1,907,813
Enpro Industries, Inc., 5.875%, 9/15/2022			1,800,000				1,856,250
Entegris, Inc., 6%, 4/01/2022 (n)			1,643,000				1,712,828
Gardner Denver, Inc., 6.875%, 8/15/2021 (n)			905,000				932,150
General Electric Co., 1.25%, 5/26/2023		EUR	100,000				111,595
Johnson Controls International PLC, 1.375%, 2/25/2025		EUR	100,000				106,745
Johnson Controls International PLC, 4.5%, 2/15/2047		$	68,000				69,968
Parker-Hannifin Corp., 1.125%, 3/01/2025 (z)		EUR	100,000				106,623
Parker-Hannifin Corp., 4.1%, 3/01/2047 (n)		$	176,000				178,298
SPX FLOW, Inc., 5.625%, 8/15/2024 (n)			1,125,000				1,155,938
						$	11,427,758
Construction - 0.1%
Empresas ICA S.A.B. de C.V., 8.9%, 2/04/2021 (a)(d)		$	450,000			$	104,006
Empresas ICA S.A.B. de C.V., 8.875%, 5/29/2024 (a)(d)(n)			853,000				199,346
						$	303,352
Consumer Products - 0.7%
NBTY, Inc., 7.625%, 5/15/2021 (n)		$	855,000			$	903,094
Newell Rubbermaid, Inc., 5.375%, 4/01/2036			108,000				123,140
Prestige Brands, Inc., 5.375%, 12/15/2021 (n)			1,085,000				1,117,550
Reckitt Benckiser Treasury Services PLC, 3.625%, 9/21/2023 (n)			250,000				258,176
Spectrum Brands, Inc., 6.125%, 12/15/2024			170,000				180,897
Spectrum Brands, Inc., 5.75%, 7/15/2025			835,000				887,188
						$	3,470,045

 

4

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Consumer Services - 2.7%
ADT Corp., 6.25%, 10/15/2021		$	2,155,000			$	2,351,644
ADT Corp., 4.125%, 6/15/2023			60,000				57,750
G4S International Finance PLC, 1.5%, 1/09/2023		EUR	100,000				107,794
Garda World Security Corp., 7.25%, 11/15/2021 (n)		$	860,000				823,450
Garda World Security Corp., 7.25%, 11/15/2021 (n)			830,000				792,650
Grupo Posadas S.A.B. de C.V., 7.875%, 6/30/2022 (n)			520,000				536,900
Interval Acquisition Corp., 5.625%, 4/15/2023			2,175,000				2,245,688
Mobile Mini, Inc., 5.875%, 7/01/2024			1,255,000				1,311,475
Monitronics International, Inc., 9.125%, 4/01/2020			890,000				885,550
Priceline Group, Inc., 2.15%, 11/25/2022		EUR	110,000				125,383
Priceline Group, Inc., 1.8%, 3/03/2027		EUR	1,100,000				1,163,033
Service Corp. International, 5.375%, 5/15/2024		$	350,000				370,790
ServiceMaster Co. LLC, 5.125%, 11/15/2024 (n)			1,115,000				1,134,513
Visa, Inc., 2.8%, 12/14/2022			571,000				578,797
Visa, Inc., 4.3%, 12/14/2045			300,000				321,937
						$	12,807,354
Containers - 2.7%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 6%, 2/15/2025 (z)		$	265,000			$	272,288
Berry Plastics Group, Inc., 5.5%, 5/15/2022			1,025,000				1,068,563
Berry Plastics Group, Inc., 6%, 10/15/2022			975,000				1,032,281
Crown American LLC, 4.5%, 1/15/2023			1,179,000				1,209,949
Crown American LLC, 4.25%, 9/30/2026 (n)			565,000				544,519
Multi-Color Corp., 6.125%, 12/01/2022 (n)			1,625,000				1,698,125
Plastipak Holdings, Inc., 6.5%, 10/01/2021 (n)			1,588,000				1,659,460
Reynolds Group, 5.75%, 10/15/2020			510,000				525,300
Reynolds Group, 5.125%, 7/15/2023 (n)			900,000				932,625
Reynolds Group, 7%, 7/15/2024 (n)			535,000				575,459
Sealed Air Corp., 4.875%, 12/01/2022 (n)			1,495,000				1,545,456
Sealed Air Corp., 5.125%, 12/01/2024 (n)			390,000				407,550
Signode Industrial Group, 6.375%, 5/01/2022 (n)			1,230,000				1,263,825
Silgan Holdings, Inc., 5.5%, 2/01/2022			100,000				103,125
Silgan Holdings, Inc., 4.75%, 3/15/2025 (n)			135,000				135,844
						$	12,974,369
Defense Electronics - 0.0%
BAE Systems PLC, 4.125%, 6/08/2022		GBP	150,000			$	210,826
Electrical Equipment - 0.0%
Arrow Electronics, Inc., 3.5%, 4/01/2022		$	173,000			$	173,547
Electronics - 0.6%
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.875%, 1/15/2027 (n)		$	507,000			$	510,529
Sensata Technologies B.V., 5.625%, 11/01/2024 (n)			520,000				548,600
Sensata Technologies B.V., 5%, 10/01/2025 (n)			1,255,000				1,273,825
Tyco Electronics Group S.A., 2.375%, 12/17/2018			294,000				296,613
Tyco Electronics Group S.A., 1.1%, 3/01/2023		EUR	350,000				378,235
						$	3,007,802
Emerging Market Quasi-Sovereign - 1.6%
CNPC General Capital Ltd., 3.4%, 4/16/2023 (n)		$	293,000			$	296,875
Empresa Nacional del Petroleo, 3.75%, 8/05/2026 (n)			207,000				201,672
Gaz Capital S.A., 4.95%, 2/06/2028			383,000				382,677
Majapahit Holding B.V., 7.25%, 6/28/2017 (n)			591,000				602,525
Office Cherifien des Phosphates S.A., 6.875%, 4/25/2044 (n)			351,000				373,815

 

5

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Emerging Market Quasi-Sovereign - continued
ONGC Videsh Ltd., 4.625%, 7/15/2024		$	511,000			$	539,616
Pertamina PT, 6%, 5/03/2042			654,000				681,656
Pertamina PT, 6%, 5/03/2042 (n)			318,000				331,448
Pertamina PT, 5.625%, 5/20/2043 (n)			375,000				377,021
Petrobras Global Finance B.V., 6.25%, 3/17/2024			1,004,000				1,020,064
Petrobras International Finance Co., 6.75%, 1/27/2041			1,116,000				1,023,930
Petroleos Mexicanos, 4.625%, 9/21/2023			212,000				212,422
Petroleos Mexicanos, 6.5%, 3/13/2027 (n)			106,000				112,652
Southern Gas Corridor CJSC, 6.875%, 3/24/2026			1,315,000				1,448,473
						$	7,604,846
Emerging Market Sovereign - 3.5%
Dominican Republic, 7.5%, 5/06/2021 (n)		$	548,000			$	606,225
Dominican Republic, 8.625%, 4/20/2027			758,000				889,339
Republic of Angola, 7%, 8/16/2019			331,375				339,759
Republic of Argentina, 7%, 4/17/2017			640,000				642,560
Republic of Argentina, 2.5% to 3/31/2019, 3.75% to 3/31/2029, 5.25% to 12/31/2038			353,000				222,390
Republic of Croatia, 5.5%, 4/04/2023 (n)			1,146,000				1,230,747
Republic of Hungary, 5.375%, 2/21/2023			1,104,000				1,215,442
Republic of Hungary, 7.625%, 3/29/2041			470,000				672,081
Republic of Indonesia, 11.625%, 3/04/2019 (n)			571,000				679,751
Republic of Indonesia, 2.875%, 7/08/2021 (z)		EUR	175,000				198,423
Republic of Indonesia, 3.375%, 4/15/2023 (n)		$	302,000				301,281
Republic of Indonesia, 4.125%, 1/15/2025			1,368,000				1,401,985
Republic of Indonesia, 4.125%, 1/15/2025 (n)			342,000				350,496
Republic of Indonesia, 4.625%, 4/15/2043			1,349,000				1,358,713
Republic of Kazakhstan, 5.125%, 7/21/2025 (n)			341,000				369,133
Republic of Panama, 3.75%, 3/16/2025			204,000				210,120
Republic of Panama, 9.375%, 4/01/2029			719,000				1,052,257
Republic of Paraguay, 6.1%, 8/11/2044 (n)			550,000				569,250
Republic of Sri Lanka, 6.125%, 6/03/2025			1,286,000				1,296,170
Republic of Turkey, 3.25%, 3/23/2023			633,000				575,777
Republic of Turkey, 4.875%, 10/09/2026			1,183,000				1,123,411
Russian Federation, 4.875%, 9/16/2023 (n)			400,000				430,176
Russian Federation, 4.75%, 5/27/2026			800,000				837,760
						$	16,573,246
Energy - Independent - 3.8%
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 (z)			890,000				941,175
Carrizo Oil & Gas, Inc., 6.25%, 4/15/2023			1,510,000				1,528,875
Concho Resources, Inc., 5.5%, 4/01/2023			1,375,000				1,423,125
Consol Energy, Inc., 5.875%, 4/15/2022			635,000				619,125
Consol Energy, Inc., 8%, 4/01/2023			1,205,000				1,256,213
Continental Resources, Inc., 4.5%, 4/15/2023			1,460,000				1,430,800
Diamondback Energy, Inc., 5.375%, 5/31/2025 (n)			1,415,000				1,464,525
Gulfport Energy Corp., 6%, 10/15/2024 (n)			980,000				975,100
Gulfport Energy Corp., 6.375%, 5/15/2025 (z)			355,000				356,775
PDC Energy, Inc., 6.125%, 9/15/2024 (n)			1,175,000				1,213,188
Range Resources Corp., 4.875%, 5/15/2025			1,775,000				1,679,594
Rice Energy, Inc., 7.25%, 5/01/2023			1,380,000				1,459,350
Sanchez Energy Corp., 6.125%, 1/15/2023			925,000				888,000
Seven Generations Energy, 8.25%, 5/15/2020 (n)			700,000				736,750
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026			987,000				946,780
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 (n)			201,000				192,809

 

6

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Energy - Independent - continued
Whiting Petroleum Corp., 6.25%, 4/01/2023		$	1,075,000			$	1,077,688
						$	18,189,962
Energy - Integrated - 0.5%
Cenovus Energy, Inc., 6.75%, 11/15/2039		$	782,000			$	883,500
Inkia Energy Ltd., 8.375%, 4/04/2021			754,000				775,678
LUKOIL International Finance B.V., 4.563%, 4/24/2023 (n)			544,000				554,880
						$	2,214,058
Entertainment - 1.3%
Carnival Corp., 1.875%, 11/07/2022		EUR	330,000			$	372,686
Cedar Fair LP, 5.25%, 3/15/2021		$	1,260,000				1,296,225
Cedar Fair LP, 5.375%, 6/01/2024			405,000				419,175
Cinemark USA, Inc., 5.125%, 12/15/2022			1,430,000				1,472,900
Cinemark USA, Inc., 4.875%, 6/01/2023			955,000				978,875
Six Flags Entertainment Corp., 5.25%, 1/15/2021 (n)			1,255,000				1,290,140
Six Flags Entertainment Corp., 4.875%, 7/31/2024 (z)			625,000				631,250
						$	6,461,251
Financial Institutions - 3.7%
Aircastle Ltd., 4.625%, 12/15/2018		$	130,000			$	134,875
Aircastle Ltd., 5.125%, 3/15/2021			1,470,000				1,569,225
Aircastle Ltd., 5.5%, 2/15/2022			1,215,000				1,310,681
CIT Group, Inc., 5.25%, 3/15/2018			1,270,000				1,312,393
CIT Group, Inc., 6.625%, 4/01/2018 (n)			1,305,000				1,366,988
CIT Group, Inc., 5.5%, 2/15/2019 (n)			1,270,000				1,338,263
Credit Acceptance Corp., 7.375%, 3/15/2023			1,260,000				1,299,375
Nationstar Mortgage LLC/Capital Corp., 6.5%, 8/01/2018			615,000				624,225
Nationstar Mortgage LLC/Capital Corp., 7.875%, 10/01/2020			2,180,000				2,272,650
Nationstar Mortgage LLC/Capital Corp., 6.5%, 7/01/2021			515,000				526,588
Navient Corp., 8%, 3/25/2020			1,135,000				1,231,328
Navient Corp., 7.25%, 1/25/2022			2,570,000				2,679,225
Navient Corp., 7.25%, 9/25/2023			430,000				440,750
Navient Corp., 6.125%, 3/25/2024			515,000				493,113
Park Aerospace Holdings Ltd., 5.5%, 2/15/2024 (n)			1,115,000				1,165,398
						$	17,765,077
Food & Beverages - 2.2%
Anheuser-Busch InBev N.V., 1.5%, 4/18/2030		EUR	250,000			$	258,375
Anheuser-Busch InBev S.A., 6.875%, 11/15/2019		$	300,000				338,201
Anheuser-Busch InBev Worldwide, Inc., 3.3%, 2/01/2023			408,000				416,980
Anheuser-Busch InBev Worldwide, Inc., 4.7%, 2/01/2036			533,000				573,208
Aramark Services, Inc. Co., 4.75%, 6/01/2026			785,000				786,963
Coca-Cola Enterprises, Inc., 1.875%, 3/18/2030		EUR	200,000				214,447
Danone S.A., 2.077%, 11/02/2021 (n)		$	236,000				229,271
Danone S.A., 2.589%, 11/02/2023 (n)			553,000				536,793
Gruma S.A.B. de C.V., 4.875%, 12/01/2024 (n)			202,000				214,120
J.M. Smucker Co., 4.375%, 3/15/2045			70,000				70,963
JBS Investments GmbH, 7.25%, 4/03/2024			200,000				213,000
JBS USA LLC/JBS USA Finance, Inc., 5.875%, 7/15/2024 (n)			1,565,000				1,635,425
Lamb Weston Holdings, Inc., 4.625%, 11/01/2024 (n)			535,000				544,363
Lamb Weston Holdings, Inc., 4.875%, 11/01/2026 (n)			280,000				284,340
PepsiCo, Inc., 2.15%, 10/14/2020			858,000				863,205
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.875%, 1/15/2024			1,210,000				1,279,575
U.S. Foods Holding Corp., 5.875%, 6/15/2024 (n)			1,520,000				1,596,000

 

7

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Food & Beverages - continued
Wm. Wrigley Jr. Co., 2.9%, 10/21/2019 (n)		$	107,000			$	108,923
Wm. Wrigley Jr. Co., 3.375%, 10/21/2020 (n)			300,000				310,695
						$	10,474,847
Food & Drug Stores - 0.3%
CVS Health Corp., 3.5%, 7/20/2022		$	667,000			$	688,679
Walgreens Boots Alliance, Inc., 2.7%, 11/18/2019			333,000				337,939
Walgreens Boots Alliance, Inc., 2.875%, 11/20/2020		GBP	250,000				325,935
Walgreens Boots Alliance, Inc., 4.5%, 11/18/2034		$	326,000				330,979
						$	1,683,532
Forest & Paper Products - 0.1%
Appvion, Inc., 9%, 6/01/2020 (n)		$	455,000			$	257,075
Gaming & Lodging - 2.2%
CCM Merger, Inc., 9.125%, 5/01/2019 (n)		$	767,000			$	790,968
GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/01/2023			1,500,000				1,607,250
GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026			175,000				183,094
Greektown Holdings LLC, 8.875%, 3/15/2019 (n)			1,025,000				1,074,969
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.625%, 10/15/2021			1,560,000				1,606,270
InterContinental Hotels Group PLC, 3.75%, 8/14/2025		GBP	100,000				137,825
Isle of Capri Casinos, Inc., 8.875%, 6/15/2020		$	300,000				313,125
Isle of Capri Casinos, Inc., 5.875%, 3/15/2021			1,070,000				1,104,775
MGM Resorts International, 6.625%, 12/15/2021			825,000				920,906
MGM Resorts International, 6%, 3/15/2023			650,000				708,500
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2021			1,375,000				1,405,938
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2023			535,000				546,369
						$	10,399,989
Industrial - 0.4%
Howard Hughes Corp., 6.875%, 10/01/2021 (n)		$	1,790,000			$	1,881,738
Insurance - 0.1%
Aviva PLC, 3.375%, 12/04/2045		EUR	260,000			$	274,879
Delta Lloyd N.V., FRN, 9%, 8/29/2042		EUR	250,000				334,704
						$	609,583
Insurance - Health - 0.6%
Aetna, Inc., 2.8%, 6/15/2023		$	317,000			$	315,805
Centene Corp., 5.625%, 2/15/2021			495,000				520,988
Centene Corp., 6.125%, 2/15/2024			1,180,000				1,280,300
UnitedHealth Group, Inc., 2.7%, 7/15/2020			528,000				540,077
						$	2,657,170
Insurance - Property & Casualty - 0.5%
Berkshire Hathaway, Inc., 2.75%, 3/15/2023		$	234,000			$	234,950
Berkshire Hathaway, Inc., 1.625%, 3/16/2035		EUR	150,000				148,977
Chubb INA Holdings, Inc., 2.3%, 11/03/2020		$	95,000				95,431
Chubb INA Holdings, Inc., 2.875%, 11/03/2022			221,000				223,428
Liberty Mutual Group, Inc., 4.25%, 6/15/2023			365,000				383,898
Liberty Mutual Group, Inc., 2.75%, 5/04/2026		EUR	100,000				112,975
Liberty Mutual Group, Inc., 2.75%, 5/04/2026 (z)		EUR	100,000				112,975
Marsh & McLennan Cos., Inc., 3.5%, 6/03/2024		$	159,000				162,360
Marsh & McLennan Cos., Inc., 4.35%, 1/30/2047			131,000				133,772
QBE Capital Funding III Ltd., 7.5% to 5/24/2021, FRN to 5/24/2041		GBP	200,000				277,835

 

8

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Insurance - Property & Casualty - continued
ZFS Finance USA Trust V, 6.5% to 5/09/2017, FRN to 5/09/2067 (n)		$	627,000			$	628,379
						$	2,514,980
International Market Quasi-Sovereign - 0.1%
Electricite de France S.A., 5.375% to 1/29/2025, FRN to 1/29/2049		EUR	200,000			$	217,089
Electricite de France S.A., 6% to 1/29/2026, FRN to 12/29/2049		GBP	100,000				120,983
						$	338,072
International Market Sovereign - 9.5%
Commonwealth of Australia, 5.75%, 5/15/2021		AUD	1,734,000			$	1,523,070
Commonwealth of Australia, 3.75%, 4/21/2037		AUD	600,000				482,334
Federal Republic of Germany, 6.25%, 1/04/2030		EUR	442,000				813,827
Federal Republic of Germany, 2.5%, 7/04/2044		EUR	120,000				173,868
Government of Canada, 3.25%, 6/01/2021		CAD	187,000				153,821
Government of Canada, 2.5%, 6/01/2024		CAD	5,700,000				4,611,112
Government of Canada, 1.5%, 6/01/2026		CAD	4,718,000				3,512,036
Government of Canada, 5.75%, 6/01/2033		CAD	948,000				1,062,599
Government of Japan, 0.8%, 6/20/2023		JPY	500,000,000				4,699,453
Government of Japan, 0.3%, 12/20/2025		JPY	16,400,000				149,529
Government of Japan, 2.2%, 9/20/2027		JPY	787,000,000				8,561,764
Government of Japan, 2.4%, 3/20/2037		JPY	493,400,000				5,854,396
Government of Japan, 1.8%, 3/20/2043		JPY	81,000,000				901,819
Kingdom of Spain, 4.6%, 7/30/2019		EUR	1,130,000				1,331,673
Kingdom of Spain, 5.4%, 1/31/2023		EUR	1,416,000				1,908,259
Republic of France, 4.75%, 4/25/2035		EUR	468,000				757,680
Republic of Ireland, 4.5%, 4/18/2020		EUR	222,000				271,233
Republic of Italy, 3.75%, 3/01/2021		EUR	3,142,000				3,742,822
Republic of Italy, 5.5%, 9/01/2022		EUR	925,000				1,203,862
United Kingdom Treasury, 4.25%, 12/07/2027		GBP	938,000				1,529,011
United Kingdom Treasury, 4.25%, 3/07/2036		GBP	470,000				827,210
United Kingdom Treasury, 3.25%, 1/22/2044		GBP	850,000				1,380,484
						$	45,451,862
Local Authorities - 0.1%
Province of Alberta, 1.25%, 6/01/2020		CAD	188,000			$	141,258
Province of Alberta, 4.5%, 12/01/2040		CAD	255,000				228,242
Province of Manitoba, 4.15%, 6/03/2020		CAD	166,000				136,223
						$	505,723
Machinery & Tools - 1.2%
Ashtead Capital, Inc., 5.625%, 10/01/2024 (n)		$	1,185,000			$	1,256,100
CNH Industrial Capital LLC, 4.375%, 11/06/2020			1,930,000				2,007,200
CNH Industrial N.V., 4.5%, 8/15/2023			725,000				736,238
H&E Equipment Services Co., 7%, 9/01/2022			1,805,000				1,899,763
						$	5,899,301
Major Banks - 3.2%
Bank of America Corp., 7.625%, 6/01/2019		$	370,000			$	414,720
Bank of America Corp., 2.625%, 4/19/2021			370,000				370,303
Bank of America Corp., 3.248%, 10/21/2027			462,000				443,279
Bank of America Corp., FRN, 6.1%, 12/29/2049			1,677,000				1,789,149
Barclays Bank PLC, 6%, 1/14/2021		EUR	250,000				311,975
Barclays Bank PLC, 6.75% to 1/16/2018, FRN to 1/16/2023		GBP	100,000				128,939
Credit Agricole S.A., 7.375%, 12/18/2023		GBP	100,000				159,759
Credit Suisse Group AG, 6.5%, 8/08/2023 (n)		$	200,000				217,750

 

9

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Major Banks - continued
Goldman Sachs Group, Inc., 2.625%, 4/25/2021		$	360,000			$	360,198
Goldman Sachs Group, Inc., 5.75%, 1/24/2022			500,000				562,702
Goldman Sachs Group, Inc., 3.625%, 1/22/2023			454,000				465,970
Goldman Sachs Group, Inc., 1.625%, 7/27/2026		EUR	200,000				212,124
Goldman Sachs Group, Inc., 3.85%, 1/26/2027		$	314,000				317,401
HSBC Holdings PLC, 4.375%, 11/23/2026			269,000				272,299
JPMorgan Chase & Co., 6.3%, 4/23/2019			500,000				545,416
JPMorgan Chase & Co., 3.25%, 9/23/2022			478,000				488,050
JPMorgan Chase & Co., 2.95%, 10/01/2026			601,000				575,057
JPMorgan Chase & Co., 4.26% to 2/22/2047, FRN to 2/22/2048			303,000				305,554
JPMorgan Chase & Co., 6% to 8/01/2023, FRN to 12/29/2049			2,410,000				2,524,475
Morgan Stanley, 6.625%, 4/01/2018			391,000				411,180
Morgan Stanley, 2.2%, 12/07/2018			238,000				239,345
Morgan Stanley, 3.125%, 7/27/2026			303,000				291,771
Morgan Stanley, 3.95%, 4/23/2027			229,000				228,357
Nationwide Building Society, 1.25%, 3/03/2025		EUR	240,000				260,774
Nordea Bank AB, 1%, 9/07/2026		EUR	200,000				212,057
PNC Bank N.A., 2.6%, 7/21/2020		$	295,000				298,752
Royal Bank of Scotland Group PLC, 7.5% to 8/10/2020, FRN to 12/29/2049			620,000				617,583
Royal Bank of Scotland Group PLC, 8.625% to 8/15/2021, FRN to 12/29/2049			350,000				369,775
UBS Group AG, 6.875%, 12/29/2049			1,220,000				1,256,419
UBS Group Funding (Jersey) Ltd., 1.5%, 11/30/2024		EUR	300,000				321,618
Wells Fargo & Co., 4.1%, 6/03/2026		$	100,000				102,317
						$	15,075,068
Medical & Health Technology & Services - 5.3%
AmSurg Corp., 5.625%, 7/15/2022		$	1,195,000			$	1,244,294
Becton, Dickinson and Co., 2.675%, 12/15/2019			379,000				384,845
Becton, Dickinson and Co., 3.734%, 12/15/2024			239,000				247,169
CHS/Community Health Systems, Inc., 6.875%, 2/01/2022			1,240,000				1,088,100
DaVita, Inc., 5.125%, 7/15/2024			370,000				377,631
DaVita, Inc., 5%, 5/01/2025			1,115,000				1,121,902
Envision Healthcare Corp., 6.25%, 12/01/2024 (n)			440,000				466,400
HCA, Inc., 4.25%, 10/15/2019			145,000				150,800
HCA, Inc., 7.5%, 2/15/2022			2,565,000				2,959,369
HCA, Inc., 5.875%, 3/15/2022			1,770,000				1,953,638
HCA, Inc., 5%, 3/15/2024			900,000				948,375
HCA, Inc., 5.375%, 2/01/2025			1,085,000				1,135,181
HCA, Inc., 5.875%, 2/15/2026			415,000				445,088
HCA, Inc., 5.25%, 6/15/2026			215,000				227,094
HealthSouth Corp., 5.125%, 3/15/2023			1,180,000				1,180,000
HealthSouth Corp., 5.75%, 11/01/2024			960,000				979,200
Laboratory Corp. of America Holdings, 3.2%, 2/01/2022			200,000				200,991
Laboratory Corp. of America Holdings, 4.7%, 2/01/2045			310,000				304,001
LifePoint Health, Inc., 5.375%, 5/01/2024 (n)			955,000				962,163
MEDNAX, Inc., 5.25%, 12/01/2023 (n)			1,125,000				1,162,969
Quintiles IMS Holdings, Inc., 5%, 10/15/2026 (n)			950,000				964,250
Quorum Health Corp., 11.625%, 4/15/2023 (n)			630,000				603,225
Tenet Healthcare Corp., 8%, 8/01/2020			2,015,000				2,060,338
Tenet Healthcare Corp., 8.125%, 4/01/2022			1,655,000				1,733,613
Tenet Healthcare Corp., 6.75%, 6/15/2023			665,000				659,181
Thermo Fisher Scientific, Inc., 3%, 4/15/2023			360,000				356,007
Universal Health Services, Inc., 7.625%, 8/15/2020			1,325,000				1,333,281
Universal Health Services, Inc., 5%, 6/01/2026 (n)			239,000				244,975
						$	25,494,080

 

10

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Medical Equipment - 0.8%
Hologic, Inc., 5.25%, 7/15/2022 (n)		$	830,000			$	865,275
Medtronic, Inc., 3.5%, 3/15/2025			615,000				631,194
Teleflex, Inc., 5.25%, 6/15/2024			1,220,000				1,259,650
Teleflex, Inc., 4.875%, 6/01/2026			610,000				614,575
Zimmer Biomet Holdings, Inc., 1.414%, 12/13/2022		EUR	300,000				327,898
						$	3,698,592
Metals & Mining - 2.9%
Barrick Gold Corp., 4.1%, 5/01/2023		$	194,000			$	208,308
Cameco Corp., 5.67%, 9/02/2019		CAD	262,000				212,373
Commercial Metals Co., 4.875%, 5/15/2023		$	1,165,000				1,191,213
Freeport-McMoRan, Inc., 3.875%, 3/15/2023			855,000				786,600
Freeport-McMoRan, Inc., 6.5%, 11/15/2020 (z)			135,000				138,713
Freeport-McMoRan, Inc., 6.875%, 2/15/2023 (z)			1,750,000				1,846,250
Freeport-McMoRan, Inc., 5.45%, 3/15/2043			415,000				354,825
Glencore Finance (Europe) S.A., 6.5%, 2/27/2019		GBP	50,000				68,174
Glencore Finance (Europe) S.A., 1.25%, 3/17/2021		EUR	330,000				357,871
Glencore Finance (Europe) S.A., 1.75%, 3/17/2025		EUR	200,000				211,880
GrafTech International Co., 6.375%, 11/15/2020		$	680,000				578,000
Kaiser Aluminum Corp., 5.875%, 5/15/2024			1,220,000				1,281,000
Kinross Gold Corp., 5.125%, 9/01/2021			440,000				463,100
Kinross Gold Corp., 5.95%, 3/15/2024			855,000				904,163
Lundin Mining Corp., 7.5%, 11/01/2020 (n)			455,000				483,438
Lundin Mining Corp., 7.875%, 11/01/2022 (n)			930,000				1,018,350
Southern Copper Corp., 5.25%, 11/08/2042			250,000				244,565
Steel Dynamics, Inc., 5.125%, 10/01/2021			430,000				443,438
Steel Dynamics, Inc., 5.25%, 4/15/2023			775,000				807,046
Steel Dynamics, Inc., 5.5%, 10/01/2024			430,000				457,434
Suncoke Energy Partners LP/Suncoke Energy Partners Finance Corp., 7.375%, 2/01/2020			765,000				780,300
Suncoke Energy, Inc., 7.625%, 8/01/2019			127,000				128,270
TMS International Corp., 7.625%, 10/15/2021 (n)			690,000				691,725
						$	13,657,036
Midstream - 4.3%
APT Pipelines Ltd., 5%, 3/23/2035 (n)		$	280,000			$	284,117
Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022 (n)			1,455,000				1,480,463
Crestwood Midstream Partners LP, 6%, 12/15/2020			725,000				745,844
Crestwood Midstream Partners LP, 6.125%, 3/01/2022			255,000				263,606
Dominion Gas Holdings LLC, 2.8%, 11/15/2020			270,000				273,787
Enbridge, Inc., 5.5%, 12/01/2046			300,000				324,061
Energy Transfer Equity LP, 7.5%, 10/15/2020			1,625,000				1,826,094
Enterprise Products Operating LLC, 1.65%, 5/07/2018			296,000				295,382
Enterprise Products Operating LLC, 4.85%, 3/15/2044			74,000				76,674
Enterprise Products Partners LP, 6.3%, 9/15/2017			180,000				184,566
Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, 1/15/2022			1,065,000				1,033,050
Kinder Morgan (Delaware), Inc., 7.75%, 1/15/2032			1,706,000				2,160,794
Kinder Morgan Energy Partners LP, 5.4%, 9/01/2044			140,000				143,405
ONEOK, Inc., 7.5%, 9/01/2023			545,000				647,188
Sabine Pass Liquefaction LLC, 5.625%, 2/01/2021			1,105,000				1,200,616
Sabine Pass Liquefaction LLC, 5.625%, 4/15/2023			1,890,000				2,078,565
Sabine Pass Liquefaction LLC, 5.75%, 5/15/2024			575,000				636,422
Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025			1,074,000				1,178,715
Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 (z)			666,000				665,354
Spectra Energy Capital LLC, 8%, 10/01/2019			250,000				283,466
Targa Resources Partners LP/Targa Resources Finance Corp., 4.125%, 11/15/2019			1,050,000				1,068,375

 

11

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Midstream - continued
Targa Resources Partners LP/Targa Resources Finance Corp., 5.25%, 5/01/2023		$	585,000			$	604,013
Targa Resources Partners LP/Targa Resources Finance Corp., 5.375%, 2/01/2027 (n)			1,440,000				1,501,200
Williams Cos., Inc., 4.55%, 6/24/2024			1,395,000				1,415,925
						$	20,371,682
Mortgage-Backed - 3.4%
Fannie Mae, 6%, 6/01/2017 - 2/01/2037		$	94,428			$	107,744
Fannie Mae, 5.5%, 9/01/2019 - 7/01/2035			321,482				348,073
Fannie Mae, 6.5%, 4/01/2032 - 1/01/2033			51,931				59,008
Fannie Mae, FRN, 1.056%, 5/25/2018			3,754,166				3,753,873
Freddie Mac, 2.811%, 1/25/2025			11,000,000				11,063,060
Freddie Mac, 2.673%, 3/25/2026			701,000				690,742
Freddie Mac, 6%, 8/01/2034			79,500				91,250
						$	16,113,750
Natural Gas - Distribution - 0.1%
GNL Quintero S.A., 4.634%, 7/31/2029 (n)		$	523,000			$	530,191
Network & Telecom - 2.0%
AT&T, Inc., 2.45%, 6/30/2020		$	277,000			$	277,674
AT&T, Inc., 5.65%, 2/15/2047			206,000				218,150
British Telecom PLC, 5.75%, 12/07/2028		GBP	150,000				247,834
Centurylink, Inc., 6.45%, 6/15/2021		$	575,000				612,737
Centurylink, Inc., 7.65%, 3/15/2042			595,000				544,425
Columbus International, Inc., 7.375%, 3/30/2021 (n)			200,000				212,826
Deutsche Telekom International Finance B.V., 1.5%, 4/03/2028		EUR	200,000				213,233
Empresa Nacional de Telecomunicaciones S.A., 4.75%, 8/01/2026		$	300,000				306,731
Frontier Communications Corp., 6.25%, 9/15/2021			715,000				682,825
Frontier Communications Corp., 7.125%, 1/15/2023			275,000				248,875
Frontier Communications Corp., 9%, 8/15/2031			1,135,000				1,007,313
Telecom Italia Capital, 6%, 9/30/2034			250,000				246,875
Telecom Italia S.p.A., 5.303%, 5/30/2024 (n)			1,520,000				1,546,600
Telefonica Celular del Paraguay S.A., 6.75%, 12/13/2022			517,000				540,265
Verizon Communications, Inc., 4.5%, 9/15/2020			503,000				536,758
Verizon Communications, Inc., 1.375%, 11/02/2028		EUR	220,000				223,788
Verizon Communications, Inc., 4.812%, 3/15/2039 (z)		$	323,000				319,864
Zayo Group LLC/Zayo Capital, Inc., 6.375%, 5/15/2025			280,000				301,700
Zayo Group LLC/Zayo Capital, Inc., 5.75%, 1/15/2027 (n)			995,000				1,052,014
						$	9,340,487
Oil Services - 0.6%
Bristow Group, Inc., 6.25%, 10/15/2022		$	621,000			$	538,718
Diamond Offshore Drilling, Inc., 5.7%, 10/15/2039			255,000				216,431
Odebrecht Offshore Drilling Finance Ltd., 6.75%, 10/01/2022 (n)			895,878				328,115
Trinidad Drilling Ltd., 6.625%, 2/15/2025 (n)			595,000				612,850
Weatherford International Ltd., 8.25%, 6/15/2023			945,000				1,025,325
						$	2,721,439
Oils - 0.5%
CITGO Holding, Inc., 10.75%, 2/15/2020 (n)		$	645,000			$	699,825
CITGO Petroleum Corp., 6.25%, 8/15/2022 (n)			1,445,000				1,491,963
Marathon Petroleum Corp., 4.75%, 9/15/2044			200,000				187,060
Valero Energy Corp., 4.9%, 3/15/2045			232,000				235,786
						$	2,614,634

 

12

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Other Banks & Diversified Financials - 1.0%
Arion Banki, 2.5%, 4/26/2019		EUR	100,000			$	109,654
Bank of Iceland, 1.75%, 9/07/2020		EUR	300,000				327,354
BBVA Bancomer S.A. de C.V., 6.75%, 9/30/2022 (n)		$	1,004,000				1,116,699
Belfius Bank S.A., 3.125%, 5/11/2026		EUR	200,000				215,821
Capital One Financial Corp., 2.35%, 8/17/2018		$	806,000				811,545
Citizens Bank N.A., 2.55%, 5/13/2021			250,000				249,520
Discover Bank, 7%, 4/15/2020			250,000				278,172
Discover Bank, 4.25%, 3/13/2026			148,000				152,923
Groupe BPCE S.A., 12.5% to 9/30/2019, FRN to 8/29/2049 (n)			953,000				1,162,660
Intesa Sanpaolo S.p.A., 5.25%, 1/28/2022		GBP	100,000				137,593
UniCredit S.p.A., 2%, 3/04/2023		EUR	200,000				216,424
						$	4,778,365
Personal Computers & Peripherals - 0.0%
Equifax, Inc., 2.3%, 6/01/2021		$	160,000			$	157,825
Pharmaceuticals - 1.6%
Celgene Corp., 2.875%, 8/15/2020		$	524,000			$	532,169
Endo Finance LLC/Endo Finco, Inc., 7.25%, 1/15/2022 (n)			1,390,000				1,345,694
Forest Laboratories, Inc., 4.375%, 2/01/2019 (n)			496,000				514,415
Gilead Sciences, Inc., 2.35%, 2/01/2020			52,000				52,474
Mallinckrodt International Finance S.A., 5.75%, 8/01/2022 (n)			1,335,000				1,308,300
Mallinckrodt International Finance S.A., 5.5%, 4/15/2025 (n)			690,000				641,700
Valeant Pharmaceuticals International, Inc., 7%, 10/01/2020 (n)			1,570,000				1,460,100
Valeant Pharmaceuticals International, Inc., 7.5%, 7/15/2021 (n)			525,000				482,344
Valeant Pharmaceuticals International, Inc., 7.25%, 7/15/2022 (n)			1,450,000				1,305,000
						$	7,642,196
Precious Metals & Minerals - 0.6%
Eldorado Gold Corp., 6.125%, 12/15/2020 (n)		$	1,850,000			$	1,900,875
Teck Resources Ltd., 4.5%, 1/15/2021			465,000				482,147
Teck Resources Ltd., 8%, 6/01/2021 (n)			420,000				467,775
Teck Resources Ltd., 3.75%, 2/01/2023			290,000				282,692
						$	3,133,489
Printing & Publishing - 0.9%
Nielsen Finance LLC, 5%, 4/15/2022 (n)		$	1,165,000			$	1,199,950
Outdoor Americas Capital LLC/Outfront Media Capital Corp., 5.625%, 2/15/2024			1,320,000				1,386,000
TEGNA, Inc., 4.875%, 9/15/2021 (n)			345,000				351,900
TEGNA, Inc., 6.375%, 10/15/2023			1,260,000				1,341,900
						$	4,279,750
Real Estate - Apartment - 0.1%
Vonovia SE, REIT, 2.125%, 7/09/2022		EUR	225,000			$	258,038
Real Estate - Healthcare - 0.6%
MPT Operating Partnership LP, REIT, 6.375%, 2/15/2022		$	1,490,000			$	1,540,288
MPT Operating Partnership LP, REIT, 5.25%, 8/01/2026			1,225,000				1,237,250
						$	2,777,538
Real Estate - Office - 0.1%
Boston Properties, Inc., REIT, 3.125%, 9/01/2023		$	250,000			$	249,422
Real Estate - Other - 0.8%
DuPont Fabros Technology LP, REIT, 5.875%, 9/15/2021		$	1,210,000			$	1,261,425
Felcor Lodging LP, REIT, 5.625%, 3/01/2023			1,240,000				1,298,751

 

13

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Real Estate - Other - continued
Fibra Uno, REIT, 6.95%, 1/30/2044 (n)		$	200,000			$	196,420
Merlin Properties SOCIMI S.A., REIT, 2.225%, 4/25/2023		EUR	250,000				273,201
Starwood Property Trust, Inc., REIT, 5%, 12/15/2021 (n)		$	755,000				784,256
						$	3,814,053
Real Estate - Retail - 0.0%
Simon International Finance S.C.A., REIT, 1.25%, 5/13/2025		EUR	200,000			$	215,128
Restaurants - 0.2%
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, 6/01/2026 (n)		$	840,000			$	868,350
Retailers - 1.4%
Bed Bath & Beyond, Inc., 5.165%, 8/01/2044		$	145,000			$	131,566
Best Buy Co., Inc., 5.5%, 3/15/2021			347,000				376,848
Dollar Tree, Inc., 5.75%, 3/01/2023			1,770,000				1,878,413
Hanesbrands, Inc., 4.875%, 5/15/2026 (n)			840,000				831,600
Home Depot, Inc., 3%, 4/01/2026			310,000				310,348
Home Depot, Inc., 4.875%, 2/15/2044			200,000				229,857
Kering S.A., 1.25%, 5/10/2026		EUR	200,000				211,544
Rite Aid Corp., 9.25%, 3/15/2020		$	515,000				531,738
Rite Aid Corp., 6.75%, 6/15/2021			385,000				401,363
Rite Aid Corp., 6.125%, 4/01/2023 (n)			575,000				609,299
Sally Beauty Holdings, Inc., 5.625%, 12/01/2025			965,000				981,888
						$	6,494,464
Specialty Chemicals - 1.1%
A. Schulman, Inc., 6.875%, 6/01/2023 (z)		$	950,000			$	1,002,250
Chemtura Corp., 5.75%, 7/15/2021			1,890,000				1,960,875
Ecolab, Inc., 2.625%, 7/08/2025		EUR	100,000				118,691
Koppers, Inc., 6%, 2/15/2025 (n)		$	825,000				858,000
Univar USA, Inc., 6.75%, 7/15/2023 (n)			1,345,000				1,408,888
						$	5,348,704
Specialty Stores - 0.6%
Argos Merger Sub, Inc., 7.125%, 3/15/2023 (n)		$	1,065,000			$	1,045,031
Group 1 Automotive, Inc., 5%, 6/01/2022			1,270,000				1,308,100
Michaels Stores, Inc., 5.875%, 12/15/2020 (n)			745,000				765,488
						$	3,118,619
Supermarkets - 0.4%
Albertsons Cos. LLC/Safeway, Inc., 6.625%, 6/15/2024 (n)		$	1,285,000			$	1,362,100
Loblaw Cos. Ltd., 4.86%, 9/12/2023		CAD	262,000				223,031
William Morrison Supermarkets PLC, 3.5%, 7/27/2026		GBP	100,000				132,627
						$	1,717,758
Supranational - 1.8%
European Investment Bank, 1.75%, 3/15/2017		$	8,000,000			$	8,002,216
International Bank for Reconstruction and Development, 2.8%, 1/13/2021		AUD	170,000				131,382
International Bank for Reconstruction and Development, 4.25%, 6/24/2025		AUD	210,000				173,636
International Finance Corp., 3.25%, 7/22/2019		AUD	305,000				239,266
West African Development Bank, 5.5%, 5/06/2021 (n)		$	210,000				217,875
						$	8,764,375
Telecommunications - Wireless - 3.9%
Altice Luxembourg S.A., 7.75%, 5/15/2022 (n)		$	615,000			$	654,206
Altice Luxembourg S.A., 7.625%, 2/15/2025 (n)			1,040,000				1,107,600

 

14

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Telecommunications - Wireless - continued
America Movil S.A.B. de C.V., 1.5%, 3/10/2024		EUR	140,000			$	149,376
American Tower Corp., REIT, 3.5%, 1/31/2023		$	465,000				467,652
Crown Castle International Corp., 3.7%, 6/15/2026			157,000				154,939
Digicel Group Ltd., 8.25%, 9/30/2020 (n)			1,046,000				924,403
Digicel Group Ltd., 6%, 4/15/2021 (n)			680,000				628,551
Digicel Group Ltd., 7.125%, 4/01/2022 (n)			640,000				518,573
Digicel Group Ltd., 6.75%, 3/01/2023 (n)			1,150,000				1,058,000
Millicom International Cellular S.A., 6.625%, 10/15/2021 (n)			410,000				429,475
SBA Tower Trust, 2.898%, 10/15/2044 (n)			220,000				221,282
SFR Group S.A., 7.375%, 5/01/2026 (n)			850,000				880,813
Sprint Capital Corp., 6.875%, 11/15/2028			1,625,000				1,732,656
Sprint Corp., 7.875%, 9/15/2023			980,000				1,090,250
Sprint Corp., 7.125%, 6/15/2024			1,655,000				1,786,887
Sprint Nextel Corp., 9%, 11/15/2018 (n)			880,000				962,500
Sprint Nextel Corp., 6%, 11/15/2022			395,000				408,782
T-Mobile USA, Inc., 6.125%, 1/15/2022			135,000				142,763
T-Mobile USA, Inc., 6.5%, 1/15/2024			615,000				660,818
T-Mobile USA, Inc., 6.25%, 4/01/2021			2,590,000				2,673,293
T-Mobile USA, Inc., 6.633%, 4/28/2021			515,000				535,703
T-Mobile USA, Inc., 6%, 4/15/2024			382,000				407,785
T-Mobile USA, Inc., 6.5%, 1/15/2026			775,000				851,531
						$	18,447,838
Telephone Services - 0.5%
Chorus Ltd. Co., 1.125%, 10/18/2023		EUR	150,000			$	160,150
Level 3 Financing, Inc., 5.375%, 1/15/2024		$	360,000				369,450
Level 3 Financing, Inc., 5.375%, 5/01/2025			1,645,000				1,698,463
TELUS Corp., 5.05%, 7/23/2020		CAD	265,000				220,416
						$	2,448,479
Tobacco - 0.2%
Imperial Tobacco Finance PLC, 4.25%, 7/21/2025 (n)		$	455,000			$	472,465
Philip Morris International, Inc., 4.875%, 11/15/2043			174,000				190,620
Reynolds American, Inc., 8.125%, 6/23/2019			92,000				104,260
Reynolds American, Inc., 3.25%, 6/12/2020			41,000				42,029
Reynolds American, Inc., 4.45%, 6/12/2025			98,000				103,621
Reynolds American, Inc., 5.7%, 8/15/2035			118,000				136,819
						$	1,049,814
Transportation - Services - 0.6%
Autostrade per L’Italia S.p.A., 1.75%, 6/26/2026		EUR	250,000			$	269,984
Compagnie Financial et Indus Unternehmensanleihe, 0.75%, 9/09/2028		EUR	200,000				196,794
Delhi International Airport, 6.125%, 10/31/2026 (n)		$	200,000				209,273
ERAC USA Finance LLC, 6.375%, 10/15/2017 (n)			400,000				411,353
ERAC USA Finance LLC, 7%, 10/15/2037 (n)			250,000				322,490
Heathrow Funding Ltd., 4.625%, 10/31/2046		GBP	100,000				162,862
Navios Maritime Holding, Inc., 7.375%, 1/15/2022 (n)		$	710,000				536,050
Navios South American Logistics, Inc./Navios Logistics Finance (U.S.), Inc., 7.25%, 5/01/2022			130,000				123,500
Syncreon Group BV/Syncre, 8.625%, 11/01/2021 (n)			670,000				495,800
						$	2,728,106
U.S. Government Agencies and Equivalents - 1.7%
Fannie Mae, 1.125%, 4/27/2017		$	8,000,000			$	8,008,032

 

15

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
U.S. Treasury Obligations - 9.5%
U.S. Treasury Bonds, 5.25%, 2/15/2029		$	874,000			$	1,125,105
U.S. Treasury Bonds, 5.375%, 2/15/2031			286,200				384,123
U.S. Treasury Bonds, 4.5%, 2/15/2036			95,000				121,411
U.S. Treasury Bonds, 4.75%, 2/15/2037 (f)			1,885,200				2,478,670
U.S. Treasury Bonds, 3.125%, 2/15/2043 (f)			2,920,000				3,003,039
U.S. Treasury Notes, 0.875%, 11/30/2017			20,000,000				20,007,820
U.S. Treasury Notes, 0.875%, 5/15/2019			9,000,000				8,919,846
U.S. Treasury Notes, 1.75%, 5/15/2022			4,692,000				4,643,799
U.S. Treasury Notes, 2.25%, 11/15/2025			4,519,000				4,485,989
						$	45,169,802
Utilities - Electric Power - 2.9%
American Electric Power Co., Inc., 1.65%, 12/15/2017		$	185,000			$	185,332
Calpine Corp., 5.375%, 1/15/2023			350,000				353,500
Calpine Corp., 5.5%, 2/01/2024			1,765,000				1,747,350
Calpine Corp., 5.75%, 1/15/2025			820,000				811,800
Covanta Holding Corp., 7.25%, 12/01/2020			1,830,000				1,880,325
Covanta Holding Corp., 6.375%, 10/01/2022			310,000				319,688
Covanta Holding Corp., 5.875%, 3/01/2024			755,000				766,325
Dominion Resources, Inc., 2.5%, 12/01/2019			250,000				252,767
Duke Energy Florida LLC, 3.2%, 1/15/2027			310,000				313,241
Dynegy, Inc., 7.375%, 11/01/2022			330,000				324,225
Dynegy, Inc., 8%, 1/15/2025 (n)			210,000				199,500
E.ON International Finance B.V., 6.375%, 6/07/2032		GBP	50,000				87,956
EDP Finance B.V., 5.25%, 1/14/2021 (n)		$	200,000				213,431
Emera U.S. Finance LP, 2.7%, 6/15/2021			98,000				97,526
Emera U.S. Finance LP, 3.55%, 6/15/2026			112,000				110,587
Enel Americas S.A., 4%, 10/25/2026			12,000				11,925
Engie Energia Chile S.A., 5.625%, 1/15/2021			757,000				821,395
Engie Energia Chile S.A., 4.5%, 1/29/2025 (n)			512,000				523,467
Greenko Dutch B.V., 8%, 8/01/2019 (n)			378,000				397,845
Innogy Finance B.V., 4.75%, 1/31/2034		GBP	100,000				149,911
NRG Energy, Inc., 6.625%, 3/15/2023		$	1,985,000				2,009,813
NRG Energy, Inc., 7.25%, 5/15/2026			830,000				853,863
PG&E Corp., 2.4%, 3/01/2019			166,000				167,218
PPL Capital Funding, Inc., 3.1%, 5/15/2026			379,000				366,306
PPL WEM Holdings PLC, 5.375%, 5/01/2021 (n)			250,000				271,676
Southern Co., 2.95%, 7/01/2023			224,000				220,304
Southern Co., 4.4%, 7/01/2046			339,000				337,662
						$	13,794,938
Total Bonds						$	558,774,140
Floating Rate Loans (g)(r) - 1.1%
Aerospace - 0.1%
TransDigm, Inc., Term Loan C, 3.96%, 2/28/2020		$	531,186			$	533,444
Broadcasting - 0.1%
Mission Broadcasting, Inc., Term Loan B2, 3.77%, 9/26/2023 (o)		$	34,429			$	34,795
Nexstar Broadcasting Inc. Term Loan B, 3.77%, 9/26/2023 (o)			362,545				366,397
						$	401,192
Chemicals - 0.1%
GCP Applied Technologies, Inc., Term Loan B, 4.25%, 2/03/2022		$	357,069			$	360,863

 

16

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Floating Rate Loans (g)(r) - continued
Computer Software - Systems - 0.1%
Sabre, Inc., Term Loan B, 3.88%, 2/19/2019		$	331,400			$	332,160
Conglomerates - 0.0%
Entegris, Inc., Term Loan B, 3.53%, 4/30/2021		$	157,182			$	158,426
Consumer Products - 0.1%
Spectrum Brands, Inc., Term Loan, 3.4%, 6/23/2022		$	312,683			$	316,094
Entertainment - 0.1%
Cedar Fair LP, Term Loan B, 3.28%, 3/06/2020		$	324,093			$	326,118
Six Flags Theme Parks, Inc., Term Loan B, 3.25%, 6/30/2022			331,400				334,196
						$	660,314
Gaming & Lodging - 0.1%
Hilton Worldwide Finance LLC, Term Loan B1, 3.5%, 10/25/2020		$	338,973			$	341,251
Medical & Health Technology & Services - 0.2%
DaVita HealthCare Partners, Inc., Term Loan B, 3.53%, 6/24/2021		$	972,717			$	983,862
Printing & Publishing - 0.0%
CBS Outdoor Americas Capital LLC, Term Loan B, 3.03%, 1/31/2021		$	79,294			$	79,442
Retailers - 0.0%
Rite Aid Corp., Second Lien Term Loan, 4.87%, 6/21/2021		$	44,587			$	44,671
Transportation - Services - 0.2%
Commercial Barge Line Co., First Lien Term Loan, 9.75%, 11/12/2020		$	850,360			$	805,716
Utilities - Electric Power - 0.0%
Calpine Construction Finance Co. LP, Term Loan B1, 3.03%, 5/03/2020		$	120,333			$	120,333
Total Floating Rate Loans						$	5,137,768
Common Stocks - 0.2%
Energy - Independent - 0.1%
Pacific Exploration & Production Corp. (a)			8,177			$	317,268
Oil Services - 0.1%
LTR Holdings, Inc. (a)			615			$	546,993
Total Common Stocks						$	864,261
Money Market Funds - 1.4%
MFS Institutional Money Market Portfolio, 0.64% (v)			6,644,091			$	6,644,091
Total Investments						$	571,420,260
Other Assets, Less Liabilities - (19.8)%							(94,348,321	)
Net Assets - 100.0%						$	477,071,939

 

(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.

 

17

---

Portfolio of Investments (unaudited) – continued

 

(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 $151,689,671, representing 31.8% of net assets.

(o)	All or a portion of this position has not settled. Upon settlement date, interest rates for unsettled amounts will be determined. The rate shown, if any, represents the weighted average coupon rate for settled amounts.

(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
A. Schulman, Inc., 6.875%, 6/01/2023		12/02/16-1/19/17			$998,036				$1,002,250
ABC Supply Co., Inc., 5.75%, 12/15/2023		1/26/17-2/22/17			903,503				908,250
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., 7.875%, 12/15/2024		12/02/16-1/05/17			899,745				941,175
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 6%, 2/15/2025		2/24/17			268,975				272,288
Bayview Financial Revolving Mortgage Loan Trust, FRN, 2.376%, 12/28/2040		3/01/06			515,705				395,655
Freeport-McMoRan, Inc., 6.5%, 11/15/2020		5/25/16			129,524				138,713
Freeport-McMoRan, Inc., 6.875%, 2/15/2023		4/16/14-2/21/17			1,844,231				1,846,250
Gulfport Energy Corp., 6.375%, 5/15/2025		12/15/16			355,000				356,775
HarbourView CLO VII Ltd., “B1R”, FRN, 2.702%, 11/18/2026		2/09/17			940,012				936,263
KLX, Inc., 5.875%, 12/01/2022		1/09/17-2/14/17			597,352				600,039
Liberty Mutual Group, Inc., 2.75%, 5/04/2026		4/26/16			112,116				112,975
Loomis, Sayles & Co., CLO, “A1”, FRN, 2.553%, 10/15/2027		7/27/16			2,514,140				2,533,889
Parker-Hannifin Corp., 1.125%, 3/01/2025		2/21/17			104,925				106,623
Republic of Indonesia, 2.875%, 7/08/2021		7/02/14			237,892				198,423
Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028		2/27/13-6/12/15			665,354				665,354
Six Flags Entertainment Corp., 4.875%, 7/31/2024		12/08/16-1/12/17			620,576				631,250
Verizon Communications, Inc., 4.812%, 3/15/2039		9/26/13-1/31/17			324,354				319,864
WMG Acquisition Corp., 4.875%, 11/01/2024		2/16/17-2/23/17			561,917				561,938
Total Restricted Securities									$12,527,974
% of Net assets									2.6%

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

 

CDO		Collateralized Debt Obligation
CLO		Collateralized Loan Obligation
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
CHF		Swiss Franc
CNH		Chinese Yuan
DKK		Danish Krone
EUR		Euro
GBP		British Pound

 

18

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Portfolio of Investments (unaudited) – continued

 

HKD		Hong Kong Dollar
IDR		Indonesian Rupiah
JPY		Japanese Yen
KRW		Korean Won
MXN		Mexican Peso
MYR		Malaysian Ringgit
NOK		Norwegian Krone
NZD		New Zealand Dollar
RUB		Russian Ruble
SEK		Swedish Krona
SGD		Singapore Dollar
THB		Thailand Baht
ZAR		South African Rand

Derivative Contracts at 2/28/17

Forward Foreign Currency Exchange Contracts at 2/28/17

 

Type		Currency				Counterparty		Contracts to Deliver/Receive		Settlement Date Range		In Exchange For				Contracts at Value				Unrealized Appreciation (Depreciation)
Asset Derivatives
BUY			CAD			Citibank N.A.		303,829		3/10/17			$227,994				$228,764				$770
BUY			CAD			JPMorgan Chase Bank N.A.		628,000		3/10/17			469,131				472,845				3,714
SELL			CAD			Goldman Sachs International		5,035,000		3/10/17			3,796,767				3,791,042				5,725
SELL			CAD			Merrill Lynch International Bank		12,768,536		3/10/17			9,636,013				9,613,915				22,098
BUY			CHF			UBS AG		570,208		3/10/17			567,611				567,960				349
BUY			CNH			JPMorgan Chase Bank N.A.		15,436,000		4/26/17			2,217,497				2,242,033				24,536
SELL			CNH			JPMorgan Chase Bank N.A.		15,698,000		4/26/17			2,356,880				2,280,088				76,792
BUY			EUR			Citibank N.A.		534,100		3/10/17			563,601				565,992				2,391
BUY			EUR			Goldman Sachs International		599,445		3/10/17			628,169				635,240				7,071
SELL			EUR			Barclays Bank PLC		1,389,000		3/10/17			1,484,448				1,471,941				12,507
SELL			EUR			Brown Brothers Harriman		300,000		3/10/17			324,212				317,914				6,298
SELL			EUR			Citibank N.A.		27,093,736		3/10/17			29,156,273				28,711,573				444,700
SELL			EUR			Goldman Sachs International		599,374		3/10/17			641,948				635,164				6,784
SELL			EUR			JPMorgan Chase Bank N.A.		22,000		3/10/17			23,314				23,314				0
SELL			GBP			Deutsche Bank AG		42,000		3/10/17			52,178				52,123				55
SELL			GBP			Merrill Lynch International Bank		7,216,711		3/10/17			9,167,027				8,956,059				210,968
SELL			HKD			Brown Brothers Harriman		72,900,000		3/10/17			9,400,837				9,391,893				8,944
SELL			IDR			JPMorgan Chase Bank N.A.		339,971,223		4/10/17			25,399				25,384				15
BUY			INR			Barclays Bank PLC		48,621,000		3/14/17			726,446				727,639				1,193
BUY			INR			JPMorgan Chase Bank N.A.		108,545,000		3/14/17			1,621,778				1,624,433				2,655
BUY			JPY			BNP Paribas S.A.		47,741,000		3/10/17			423,656				425,034				1,378
BUY			JPY			JPMorgan Chase Bank N.A.		41,550,000		3/10/17			353,079				369,916				16,837
BUY			KRW			JPMorgan Chase Bank N.A.		44,218,500		3/16/17			37,559				39,110				1,551
BUY			MXN			JPMorgan Chase Bank N.A.		398,094		3/10/17			19,381				19,790				409
SELL			MYR			Citibank N.A.		444,000		3/03/17			100,000				99,994				6
BUY			NOK			Citibank N.A.		18,806,912		3/10/17			2,240,305				2,243,468				3,163
BUY			NZD			JPMorgan Chase Bank N.A.		33,494		3/10/17			23,917				24,119				202
BUY			RUB			JPMorgan Chase Bank N.A.		138,495,000		4/10/17			2,322,962				2,350,603				27,641
BUY			SEK			Citibank N.A.		23,862,119		3/10/17			2,626,165				2,644,443				18,278
BUY			SEK			Deutsche Bank AG		491,000		3/10/17			54,366				54,414				48
BUY			THB			JPMorgan Chase Bank N.A.		29,000		3/23/17			818				831				13
BUY			ZAR			JPMorgan Chase Bank N.A.		569,852		3/10/17			41,448				43,382				1,934
																					$909,025

 

19

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Portfolio of Investments (unaudited) – continued

 

Forward Foreign Currency Exchange Contracts at 2/28/17 - continued

 

Type		Currency				Counterparty		Contracts to Deliver/Receive		Settlement Date Range		In Exchange For				Contracts at Value				Unrealized Appreciation (Depreciation)
Liability Derivatives
BUY			AUD			Westpac Banking Corp.		3,059,958		3/10/17			$2,349,240				$2,345,619				$(3,621	)
SELL			AUD			Westpac Banking Corp.		6,404,106		3/10/17			4,765,667				4,909,083				(143,416	)
BUY			CAD			JPMorgan Chase Bank N.A.		2,105,000		3/10/17			1,615,242				1,584,934				(30,308	)
BUY			CAD			Merrill Lynch International Bank		991,000		3/10/17			760,431				746,161				(14,270	)
SELL			CAD			Citibank N.A.		298,515		3/10/17			223,908				224,763				(855	)
SELL			CAD			Goldman Sachs International		3,124,000		3/10/17			2,345,269				2,352,178				(6,909	)
SELL			CHF			JPMorgan Chase Bank N.A.		571,125		3/10/17			568,766				568,875				(109	)
BUY			DKK			Citibank N.A.		31,438		3/10/17			4,567				4,482				(85	)
BUY			EUR			Citibank N.A.		447,759		3/10/17			481,468				474,496				(6,972	)
BUY			EUR			Goldman Sachs International		428,046		3/10/17			458,087				453,605				(4,482	)
BUY			EUR			JPMorgan Chase Bank N.A.		767,768		3/10/17			828,828				813,613				(15,215	)
BUY			EUR			Merrill Lynch International Bank		2,310,000		3/10/17			2,459,857				2,447,936				(11,921	)
SELL			EUR			Brown Brothers Harriman		453,000		3/10/17			476,404				480,050				(3,646	)
SELL			EUR			Citibank N.A.		77,000		3/10/17			80,812				81,598				(786	)
SELL			EUR			HSBC Bank		564,000		3/10/17			591,106				597,678				(6,572	)
SELL			EUR			JPMorgan Chase Bank N.A.		205,506		3/10/17			216,401				217,777				(1,376	)
BUY			GBP			Goldman Sachs International		2,027,150		3/10/17			2,527,092				2,515,726				(11,366	)
SELL			GBP			Goldman Sachs International		41,000		3/10/17			49,737				50,882				(1,145	)
SELL			GBP			JPMorgan Chase Bank N.A.		1,903,000		3/10/17			2,354,733				2,361,655				(6,922	)
BUY			HKD			Brown Brothers Harriman		36,410,000		3/10/17			4,695,858				4,690,793				(5,065	)
BUY			HKD			JPMorgan Chase Bank N.A.		53,363,000		3/10/17			6,884,565				6,874,892				(9,673	)
BUY			JPY			Citibank N.A.		8,081,000		3/10/17			72,058				71,944				(114	)
SELL			JPY			Citibank N.A.		8,450,000		3/10/17			72,250				75,229				(2,979	)
SELL			JPY			Goldman Sachs International		2,328,740,459		3/10/17			20,542,242				20,732,551				(190,309	)
BUY			MYR			Citibank N.A.		888,000		3/03/17-5/02/17			199,843				199,684				(159	)
SELL			NOK			Citibank N.A.		9,250,000		3/10/17			1,085,626				1,103,427				(17,801	)
SELL			NOK			JPMorgan Chase Bank N.A.		5,168,000		3/10/17			605,873				616,487				(10,614	)
SELL			NOK			UBS AG		4,282,000		3/10/17			502,688				510,797				(8,109	)
SELL			SGD			Barclays Bank PLC		66,859		3/10/17			47,167				47,709				(542	)
																					$(515,341	)

Futures Contracts at 2/28/17

 

Description		Currency				Contracts				Value		Expiration Date				Unrealized Appreciation (Depreciation)
Asset Derivatives
Interest Rate Futures
Euro-Bobl 5 yr (Long)			EUR				38			$5,423,850			March - 2017				$98,550
Euro-Bund 10 yr (Long)			EUR				63			11,082,537			March - 2017				325,064
Euro-Buxl 30 yr (Long)			EUR				17			3,126,860			March - 2017				66,600
U.K. Gilt 10 yr (Long)			GBP				35			5,525,568			June - 2017				72,853
U.S. Treasury Note 5 yr (Short)			USD				50			5,885,156			June - 2017				5,127
																	$568,194
Liability Derivatives
Interest Rate Futures
U.S. Treasury Bond Ultra (Long)			USD				8			$1,294,250			June - 2017				$(4,280	)
U.S. Treasury Bond 30 yr (Short)			USD				4			606,625			June - 2017				(4,825	)
U.S. Treasury Note 10 yr (Short)			USD				385			47,962,578			June - 2017				(39,483	)
																	$(48,588	)

At February 28, 2017, the fund had liquid securities with an aggregate value of $1,172,409 to cover any commitments for certain derivative contracts.

See attached supplemental information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.

 

20

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Supplemental Information

2/28/17 (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. 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). Level 3 includes unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. Other

 

21

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Supplemental Information (unaudited) – continued

 

financial instruments are derivative instruments not reflected in total investments, such as futures contracts, forward foreign currency exchange contracts, swap agreements, and written options. The following is a summary of the levels used as of February 28, 2017 in valuing the fund’s assets or liabilities:

 

Investments at Value		Level 1				Level 2				Level 3				Total
Equity Securities:
United States			$—				$—				$546,993				$546,993
Columbia			317,268				—				—				317,268
U.S. Treasury Bonds & U.S. Government Agency & Equivalents			—				53,177,834				—				53,177,834
Non-U.S. Sovereign Debt			—				78,732,401				—				78,732,401
U.S. Corporate Bonds			—				320,412,115				—				320,412,115
Residential Mortgage-Backed Securities			—				16,113,750				—				16,113,750
Commercial Mortgage-Backed Securities			—				9,713,153				—				9,713,153
Asset-Backed Securities (including CDOs)			—				10,735,265				—				10,735,265
Foreign Bonds			—				69,889,622				—				69,889,622
Floating Rate Loans			—				5,137,768				—				5,137,768
Mutual Funds			6,644,091				—				—				6,644,091
Total Investments			$6,961,359				$563,911,908				$546,993				$571,420,260
Other Financial Instruments
Futures Contracts - Assets			$568,194				$—				$—				$568,194
Futures Contracts - Liabilities			(48,588	)			—				—				(48,588	)
Forward Foreign Currency Exchange Contracts - Assets			—				909,025				—				909,025
Forward Foreign Currency Exchange Contracts - Liabilities			—				(515,341	)			—				(515,341	)

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.

 

		Investments in Equity Securities
Balance as of 11/30/16			$—
Change in unrealized appreciation (depreciation)			325,593
Received as part of corporate action			221,400
Balance as of 2/28/17			$546,993

The net change in unrealized appreciation (depreciation) from investments held as level 3 at February 28, 2017 is $325,593. At February 28, 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			$573,810,262
Gross unrealized appreciation			12,857,068
Gross unrealized depreciation			(15,247,070	)
Net unrealized appreciation (depreciation)			$(2,390,002	)

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

 

22

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Supplemental Information (unaudited) – continued

 

(3) Transactions in Underlying Affiliated Funds – Affiliated Issuers

An affiliated issuer may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the fund assumes the following to be an affiliated issuer:

 

Underlying Affiliated Fund		Beginning Shares/Par Amount				Acquisitions Shares/Par Amount				Dispositions Shares/Par Amount				Ending Shares/Par Amount
MFS Institutional Money Market Portfolio			9,305,595				43,815,707				(46,477,211	)			6,644,091
Underlying Affiliated Fund		Realized Gain (Loss)				Capital Gain Distributions				Dividend Income				Ending Value
MFS Institutional Money Market Portfolio			$275				$—				$16,575				$6,644,091

 

23

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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: April 13, 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: April 13, 2017

 

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

Date: April 13, 2017

 

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