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, 2019
| ITEM 1. | SCHEDULE OF INVESTMENTS. |
Quarterly Report
February 28, 2019
MFS® Charter Income Trust
Portfolio of Investments
2/28/19 (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 – 122.3% | ||||
| Aerospace – 0.7% | ||||
| Huntington Ingalls Industries, Inc., 3.483%, 12/01/2027 | $ | 140,000 | $ 132,552 | |
| L3 Technologies, Inc., 3.85%, 6/15/2023 | 213,000 | 216,130 | ||
| Lockheed Martin Corp., 3.55%, 1/15/2026 | 263,000 | 267,463 | ||
| Rolls-Royce Holdings PLC, 0.875%, 5/09/2024 | EUR | 150,000 | 170,156 | |
| TransDigm, Inc., 6.5%, 7/15/2024 | $ | 1,275,000 | 1,287,750 | |
| TransDigm, Inc., 6.375%, 6/15/2026 | 640,000 | 621,600 | ||
| $ 2,695,651 | ||||
| Apparel Manufacturers – 0.0% | ||||
| Coach, Inc., 4.125%, 7/15/2027 | $ | 193,000 | $ 179,557 | |
| Asset-Backed & Securitized – 2.9% | ||||
| ALM Loan Funding CLO, 2015-16A, “BR2”, FLR, 4.687% (LIBOR - 3mo. + 1.9%), 7/15/2027 (n) | $ | 1,120,000 | $ 1,104,377 | |
| Bayview Financial Revolving Mortgage Loan Trust, FLR, 4.093% (LIBOR - 1mo. + 1.6%), 12/28/2040 (z) | 344,030 | 320,054 | ||
| Chesapeake Funding II LLC, 2016-1A, “A2”, FLR, 3.639% (LIBOR - 1mo. + 1.15%), 3/15/2028 (n) | 304,347 | 304,860 | ||
| Commercial Mortgage Trust, 2015-DC1, “A5”, 3.35%, 2/10/2048 | 500,000 | 499,483 | ||
| Crest Ltd., CDO, 0.001%, (0.001% cash or 7% PIK) 1/28/2040 (p) | 3,209,183 | 162,022 | ||
| Dryden Senior Loan Fund, 2013-26A, “AR”, CLO, FLR, 3.687% (LIBOR - 3mo. + 0.9%), 4/15/2029 (z) | 592,000 | 586,099 | ||
| Flagship CLO, 2014-8A, “BRR”, FLR, 4.178% (LIBOR - 3mo. + 1.4%), 1/16/2026 (z) | 1,142,526 | 1,134,211 | ||
| Flatiron CLO Ltd., 2013-1A, “A2R”, FLR, 4.423% (LIBOR - 3mo. + 1.65%), 1/17/2026 (n) | 929,626 | 929,430 | ||
| Fort Cre LLC, 2018-1A, “A1”, FLR, 3.869% (LIBOR - 1mo. + 1.35%), 11/21/2035 (n) | 290,500 | 290,500 | ||
| HarbourView CLO VII Ltd., 7RA, “B”, FLR, 4.48% (LIBOR - 3mo. + 1.7%), 7/18/2031 (z) | 940,000 | 924,264 | ||
| Kref Ltd., 2018-FL1, “A”, FLR, 3.588% (LIBOR - 1mo. + 1.1%), 6/15/2036 (n) | 385,000 | 384,519 | ||
| Loomis, Sayles & Co., CLO, 2015-2A, “A1R”, FLR, 3.679% (LIBOR - 3mo. + 0.9%), 4/15/2028 (n) | 2,526,000 | 2,502,980 | ||
| Magnetite CLO Ltd., 2012-7A, “A1R2”, FLR, 3.587% (LIBOR - 3mo. + 0.8%), 1/15/2028 (n) | 693,000 | 681,135 | ||
| Octagon Investment Partners XVII Ltd., 2013-1A, “BR2”, FLR, 4.17% (LIBOR - 3mo. + 1.4%), 1/25/2031 (n) | 1,050,000 | 1,026,941 | ||
| Wells Fargo Commercial Mortgage Trust, 2015-NXS1, “A5”, 3.148%, 5/15/2048 | 768,632 | 761,481 | ||
| $ 11,612,356 | ||||
| Automotive – 1.4% | ||||
| Allison Transmission, Inc., 5%, 10/01/2024 (n) | $ | 2,006,000 | $ 2,018,538 | |
| Allison Transmission, Inc., 4.75%, 10/01/2027 (n) | 150,000 | 143,625 | ||
| FCA Bank S.p.A., 1%, 2/21/2022 | EUR | 100,000 | 113,459 | |
| Ferrari N.V., 1.5%, 3/16/2023 | 350,000 | 401,195 | ||
| General Motors Co., 6.75%, 4/01/2046 | $ | 123,000 | 126,597 | |
| General Motors Financial Co., Inc., 3.45%, 4/10/2022 | 256,000 | 254,225 | ||
| General Motors Financial Co., Inc., 4.35%, 1/17/2027 | 125,000 | 118,572 | ||
| IHO Verwaltungs GmbH, 4.75%, (4.75% cash or 5.5% PIK) 9/15/2026 (n)(p) | 1,230,000 | 1,137,381 | ||
| Lear Corp., 3.8%, 9/15/2027 | 162,000 | 150,876 | ||
| LKQ European Holdings B.V., 3.625%, 4/01/2026 (n) | EUR | 100,000 | 115,451 | |
| LKQ European Holdings B.V., 3.625%, 4/01/2026 | 100,000 | 115,451 | ||
| Volkswagen Bank GmbH, 0.75%, 6/15/2023 | 220,000 | 245,101 | ||
| Volkswagen International Finance N.V., 1.875%, 3/30/2027 | 100,000 | 109,855 | ||
| Volkswagen International Finance N.V., 2.7%, 12/31/2099 | 100,000 | 111,546 | ||
| Volkswagen International Finance N.V., 3.375% to 6/27/2024, FLR (EUR Swap Rate - 6yr. + 2.97%) to 6/27/2028, FLR (EUR Swap Rate - 6yr. + 2.22%) to 6/27/2044, FLR (EUR Swap Rate - 6yr. + 3.97%) to 12/31/2099 | 200,000 | 221,924 | ||
| $ 5,383,796 | ||||
| Broadcasting – 2.2% | ||||
| Fox Corp., 4.709%, 1/25/2029 (n) | $ | 43,000 | $ 44,616 | |
| Liberty Media Corp. - Liberty Formula One, 8.5%, 7/15/2029 | 720,000 | 741,600 | ||
| Liberty Media Corp. - Liberty Formula One, 8.25%, 2/01/2030 | 785,000 | 802,662 | ||
| Match Group, Inc., 6.375%, 6/01/2024 | 1,010,000 | 1,065,550 | ||
| Netflix, Inc., 5.875%, 2/15/2025 | 1,055,000 | 1,118,300 | ||
| Netflix, Inc., 4.875%, 4/15/2028 | 325,000 | 316,469 | ||
| Netflix, Inc., 5.875%, 11/15/2028 (n) | 1,145,000 | 1,192,575 | ||
1
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Broadcasting – continued | ||||
| Netflix, Inc., 4.625%, 5/15/2029 (n) | EUR | 625,000 | $ 752,849 | |
| RELX Finance B.V., 1%, 3/22/2024 | 150,000 | 172,860 | ||
| SES S.A., 1.625%, 3/22/2026 | 200,000 | 224,487 | ||
| WMG Acquisition Corp., 5%, 8/01/2023 (n) | $ | 210,000 | 210,525 | |
| WMG Acquisition Corp., 4.125%, 11/01/2024 | EUR | 418,500 | 498,900 | |
| WMG Acquisition Corp., 4.875%, 11/01/2024 (n) | $ | 1,120,000 | 1,111,600 | |
| WMG Acquisition Corp., 5.5%, 4/15/2026 (n) | 225,000 | 226,406 | ||
| WPP Finance, 2.875%, 9/14/2046 | GBP | 250,000 | 257,154 | |
| WPP Finance 2016 Co., 1.375%, 3/20/2025 | EUR | 120,000 | 134,810 | |
| $ 8,871,363 | ||||
| Brokerage & Asset Managers – 0.6% | ||||
| Banco BTG Pactual S.A. (Cayman Islands), 7.75% to 2/15/2024, FLR (CMT - 5yr. + 5.257%) to 2/15/2029 (n) | $ | 990,000 | $ 990,644 | |
| Charles Schwab Corp., 3.85%, 5/21/2025 | 229,000 | 237,204 | ||
| E*TRADE Financial Corp., 2.95%, 8/24/2022 | 199,000 | 195,065 | ||
| Euroclear Investments S.A., 2.625%, 4/11/2048 | EUR | 100,000 | 112,863 | |
| Intercontinental Exchange, Inc., 2.75%, 12/01/2020 | $ | 178,000 | 177,360 | |
| Intercontinental Exchange, Inc., 3.75%, 12/01/2025 | 292,000 | 298,638 | ||
| TD Ameritrade Holding Corp., 2.95%, 4/01/2022 | 230,000 | 229,924 | ||
| $ 2,241,698 | ||||
| Building – 2.9% | ||||
| ABC Supply Co., Inc., 5.75%, 12/15/2023 (n) | $ | 1,175,000 | $ 1,204,375 | |
| ABC Supply Co., Inc., 5.875%, 5/15/2026 (n) | 610,000 | 619,912 | ||
| Beacon Escrow Corp., 4.875%, 11/01/2025 (n) | 898,000 | 835,982 | ||
| Core & Main LP, 6.125%, 8/15/2025 (z) | 605,000 | 582,313 | ||
| CRH America Finance, Inc., 4.5%, 4/04/2048 (n) | 205,000 | 178,620 | ||
| James Hardie International Finance Ltd., 4.75%, 1/15/2025 (n) | 205,000 | 197,825 | ||
| James Hardie International Finance Ltd., 5%, 1/15/2028 (n) | 930,000 | 860,250 | ||
| Martin Marietta Materials, Inc., 3.45%, 6/01/2027 | 133,000 | 123,790 | ||
| Martin Marietta Materials, Inc., 3.5%, 12/15/2027 | 179,000 | 166,092 | ||
| NCI Building Systems, Inc., 8%, 4/15/2026 (n) | 320,000 | 302,000 | ||
| New Enterprise Stone & Lime Co., Inc., 10.125%, 4/01/2022 (n) | 945,000 | 949,725 | ||
| New Enterprise Stone & Lime Co., Inc., 6.25%, 3/15/2026 (n) | 1,106,000 | 1,070,055 | ||
| PriSo Acquisition Corp., 9%, 5/15/2023 (n) | 637,000 | 635,407 | ||
| Standard Industries, Inc., 5.375%, 11/15/2024 (n) | 1,530,000 | 1,552,950 | ||
| Standard Industries, Inc., 6%, 10/15/2025 (n) | 885,000 | 923,719 | ||
| Summit Materials LLC/Summit Materials Finance Co., 6.125%, 7/15/2023 | 1,015,000 | 1,040,375 | ||
| Summit Materials LLC/Summit Materials Finance Co., 5.125%, 6/01/2025 (n) | 205,000 | 195,775 | ||
| $ 11,439,165 | ||||
| Business Services – 2.6% | ||||
| Ascend Learning LLC, 6.875%, 8/01/2025 (z) | $ | 445,000 | $ 436,100 | |
| CDK Global, Inc., 4.875%, 6/01/2027 | 1,265,000 | 1,243,128 | ||
| Cisco Systems, Inc., 2.2%, 2/28/2021 | 350,000 | 346,520 | ||
| Equinix, Inc., 5.375%, 4/01/2023 | 825,000 | 839,438 | ||
| Equinix, Inc., 5.75%, 1/01/2025 | 797,000 | 829,876 | ||
| Equinix, Inc., 5.875%, 1/15/2026 | 490,000 | 513,275 | ||
| Fidelity National Information Services, Inc., 3.875%, 6/05/2024 | 146,000 | 146,521 | ||
| Fidelity National Information Services, Inc., 5%, 10/15/2025 | 39,000 | 41,093 | ||
| Fidelity National Information Services, Inc., 3%, 8/15/2026 | 267,000 | 248,989 | ||
| Financial & Risk U.S. Holdings, Inc., 8.25%, 11/15/2026 (n) | 955,000 | 934,408 | ||
| First Data Corp., 5%, 1/15/2024 (n) | 1,705,000 | 1,749,773 | ||
| MSCI, Inc., 4.75%, 8/01/2026 (n) | 940,000 | 940,000 | ||
| Travelport Worldwide Ltd., 6%, 3/15/2026 (n) | 575,000 | 609,500 | ||
| Vantiv LLC/Vantiv Issuer Corp., 4.375%, 11/15/2025 (n) | 1,100,000 | 1,061,500 | ||
| Verscend Escrow Corp., 9.75%, 8/15/2026 (n) | 550,000 | 562,375 | ||
| $ 10,502,496 | ||||
2
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Cable TV – 5.6% | ||||
| Altice Financing S.A., 6.625%, 2/15/2023 (n) | $ | 505,000 | $ 516,363 | |
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 1/15/2024 | 2,110,000 | 2,161,431 | ||
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025 (n) | 780,000 | 798,525 | ||
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 2/15/2026 (n) | 1,555,000 | 1,601,168 | ||
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027 (n) | 895,000 | 919,333 | ||
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | 135,000 | 144,531 | ||
| CSC Holdings LLC, 5.5%, 5/15/2026 (n) | 705,000 | 712,931 | ||
| CSC Holdings LLC, 5.5%, 4/15/2027 (n) | 2,135,000 | 2,139,782 | ||
| CSC Holdings LLC, 7.5%, 4/01/2028 (n) | 500,000 | 527,500 | ||
| DISH DBS Corp., 5.875%, 11/15/2024 | 845,000 | 711,659 | ||
| Eutelsat S.A., 2%, 10/02/2025 | EUR | 100,000 | 112,316 | |
| Intelsat Connect Finance, 9.5%, 2/15/2023 (n) | $ | 310,000 | 299,925 | |
| Intelsat Jackson Holdings S.A., 5.5%, 8/01/2023 | 1,030,000 | 939,875 | ||
| Shaw Communications, Inc., 5.65%, 10/01/2019 | CAD | 260,000 | 201,118 | |
| Sirius XM Radio, Inc., 4.625%, 5/15/2023 (n) | $ | 1,000,000 | 1,011,250 | |
| Sirius XM Radio, Inc., 6%, 7/15/2024 (n) | 900,000 | 932,625 | ||
| Sirius XM Radio, Inc., 5.375%, 4/15/2025 (n) | 705,000 | 718,439 | ||
| Sky PLC, 2.5%, 9/15/2026 | EUR | 250,000 | 307,440 | |
| Telenet Finance Luxembourg S.A., 5.5%, 3/01/2028 (n) | $ | 2,000,000 | 1,925,000 | |
| Time Warner Cable, Inc., 4.5%, 9/15/2042 | 119,000 | 99,948 | ||
| Videotron Ltd., 5.375%, 6/15/2024 (n) | 350,000 | 364,070 | ||
| Videotron Ltd., 5.125%, 4/15/2027 (n) | 1,620,000 | 1,644,300 | ||
| Virgin Media Finance PLC, 5.75%, 1/15/2025 (n) | 700,000 | 696,500 | ||
| Virgin Media Secured Finance PLC, 5.25%, 1/15/2026 (n) | 1,100,000 | 1,101,144 | ||
| VTR Finance B.V., 6.875%, 1/15/2024 (n) | 431,000 | 442,853 | ||
| Ziggo Bond Finance B.V., 5.875%, 1/15/2025 (n) | 1,155,000 | 1,122,891 | ||
| $ 22,152,917 | ||||
| Chemicals – 2.1% | ||||
| Air Liquide Finance Co., 2.25%, 9/27/2023 (n) | $ | 261,000 | $ 249,439 | |
| Argentum Netherlands B.V. for Givaudan S.A., 2%, 9/17/2030 | EUR | 100,000 | 119,350 | |
| Axalta Coating Systems Co., 4.875%, 8/15/2024 (n) | $ | 1,635,000 | 1,622,737 | |
| Consolidated Energy Finance S.A., 6.875%, 6/15/2025 (n) | 610,000 | 594,750 | ||
| OCI N.V., 5%, 4/15/2023 | EUR | 530,000 | 635,261 | |
| OCI N.V., 6.625%, 4/15/2023 (n) | $ | 1,155,000 | 1,195,425 | |
| PolyOne Corp., 5.25%, 3/15/2023 | 865,000 | 884,463 | ||
| Sasol Chemicals (USA) LLC, 5.875%, 3/27/2024 | 273,000 | 283,101 | ||
| Sasol Financing USA LLC, 6.5%, 9/27/2028 | 313,000 | 329,234 | ||
| SPCM S.A., 4.875%, 9/15/2025 (n) | 1,450,000 | 1,424,625 | ||
| Starfruit Finance Co./Starfruit U.S. Holding Co. LLC, 6.5%, 10/01/2026 (n) | EUR | 815,000 | 925,742 | |
| Starfruit Finco B.V./Starfruit US Holdco LLC, 6.5%, 10/01/2026 | 200,000 | 227,176 | ||
| $ 8,491,303 | ||||
| Computer Software – 0.5% | ||||
| Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.875%, 6/15/2021 (n) | $ | 780,000 | $ 795,377 | |
| Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.02%, 6/15/2026 (n) | 670,000 | 710,833 | ||
| Microsoft Corp., 4.1%, 2/06/2037 | 436,000 | 456,012 | ||
| $ 1,962,222 | ||||
| Computer Software - Systems – 1.2% | ||||
| Apple, Inc., 4.5%, 2/23/2036 | $ | 217,000 | $ 233,514 | |
| Apple, Inc., 3.6%, 7/31/2042 | GBP | 130,000 | 199,526 | |
| Apple, Inc., 4.25%, 2/09/2047 | $ | 223,000 | 228,048 | |
| CDW LLC/CDW Finance Corp., 5.5%, 12/01/2024 | 140,000 | 145,950 | ||
| CDW LLC/CDW Finance Corp., 5%, 9/01/2025 | 395,000 | 397,469 | ||
| Fair Isaac Corp., 5.25%, 5/15/2026 (n) | 1,065,000 | 1,075,650 | ||
| JDA Software Group, Inc., 7.375%, 10/15/2024 (n) | 625,000 | 640,625 | ||
| Sabre GLBL, Inc., 5.375%, 4/15/2023 (n) | 1,705,000 | 1,739,100 | ||
| $ 4,659,882 | ||||
3
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Conglomerates – 2.8% | ||||
| Amsted Industries Co., 5%, 3/15/2022 (n) | $ | 1,935,000 | $ 1,935,000 | |
| BWX Technologies, Inc., 5.375%, 7/15/2026 (n) | 1,365,000 | 1,392,300 | ||
| CFX Escrow Corp., 6%, 2/15/2024 (z) | 130,000 | 134,225 | ||
| CFX Escrow Corp., 6.375%, 2/15/2026 (n) | 700,000 | 729,750 | ||
| EnerSys, 5%, 4/30/2023 (n) | 1,635,000 | 1,626,825 | ||
| Entegris, Inc., 4.625%, 2/10/2026 (n) | 1,775,000 | 1,743,937 | ||
| Gates Global LLC, 6%, 7/15/2022 (n) | 436,000 | 437,705 | ||
| General Electric Co., 4.5%, 3/11/2044 | 81,000 | 72,281 | ||
| Roper Technologies, Inc., 4.2%, 9/15/2028 | 152,000 | 152,930 | ||
| Smiths Group PLC, 2%, 2/23/2027 | EUR | 200,000 | 227,212 | |
| Stevens Holding Co., Inc., 6.125%, 10/01/2026 (n) | $ | 1,040,000 | 1,060,800 | |
| TriMas Corp., 4.875%, 10/15/2025 (n) | 1,195,000 | 1,174,088 | ||
| United Technologies Corp., 4.625%, 11/16/2048 | 190,000 | 191,407 | ||
| Wabtec Corp., 4.7%, 9/15/2028 | 140,000 | 138,168 | ||
| $ 11,016,628 | ||||
| Construction – 0.8% | ||||
| Empresas ICA S.A.B. de C.V., 8.9%, 2/04/2021 (a)(d) | $ | 450,000 | $ 70,875 | |
| Empresas ICA S.A.B. de C.V., 8.875%, 5/29/2024 (a)(d)(n) | 853,000 | 130,083 | ||
| Mattamy Group Corp., 6.5%, 10/01/2025 (n) | 1,470,000 | 1,412,578 | ||
| Toll Brothers Finance Corp., 4.875%, 11/15/2025 | 335,000 | 333,744 | ||
| Toll Brothers Finance Corp., 4.35%, 2/15/2028 | 1,335,000 | 1,253,231 | ||
| $ 3,200,511 | ||||
| Consumer Products – 0.7% | ||||
| Coty, Inc., 4.75%, 4/15/2026 (n) | EUR | 200,000 | $ 222,940 | |
| Coty, Inc., 4.75%, 4/15/2026 | 100,000 | 111,470 | ||
| Coty, Inc., 6.5%, 4/15/2026 (n) | $ | 495,000 | 477,032 | |
| Energizer Holdings, Inc., 6.375%, 7/15/2026 (n) | 880,000 | 888,800 | ||
| Energizer Holdings, Inc., 7.75%, 1/15/2027 (z) | 35,000 | 37,275 | ||
| JAB Holdings B.V., 2%, 5/18/2028 | EUR | 100,000 | 112,314 | |
| JAB Holdings B.V., 2.5%, 6/25/2029 | 200,000 | 230,081 | ||
| Reckitt Benckiser Treasury Services PLC, 3.625%, 9/21/2023 (n) | $ | 250,000 | 251,663 | |
| Reckitt Benckiser Treasury Services PLC, 3%, 6/26/2027 (n) | 272,000 | 255,901 | ||
| Whirlpool Corp., 4.75%, 2/26/2029 | 328,000 | 328,197 | ||
| $ 2,915,673 | ||||
| Consumer Services – 1.4% | ||||
| Bookings Holdings, Inc., 1.8%, 3/03/2027 | EUR | 200,000 | $ 233,856 | |
| Cimpress N.V., 7%, 6/15/2026 (n) | $ | 770,000 | 735,350 | |
| Experian Finance PLC, 4.25%, 2/01/2029 (n) | 296,000 | 297,455 | ||
| Frontdoor, Inc., 6.75%, 8/15/2026 (n) | 765,000 | 777,431 | ||
| G4S International Finance PLC, 1.5%, 1/09/2023 | EUR | 200,000 | 227,418 | |
| ManpowerGroup, 1.75%, 6/22/2026 | 150,000 | 173,247 | ||
| Matthews International Corp., 5.25%, 12/01/2025 (n) | $ | 845,000 | 817,538 | |
| NVA Holdings, Inc., 6.875%, 4/01/2026 (n) | 780,000 | 752,700 | ||
| Priceline Group, Inc., 3.55%, 3/15/2028 | 141,000 | 135,831 | ||
| ServiceMaster Co. LLC, 5.125%, 11/15/2024 (n) | 1,055,000 | 1,060,275 | ||
| Visa, Inc., 4.15%, 12/14/2035 | 234,000 | 244,918 | ||
| Visa, Inc., 4.3%, 12/14/2045 | 150,000 | 157,397 | ||
| $ 5,613,416 | ||||
| Containers – 2.8% | ||||
| ARD Finance S.A., 6.625%, 9/15/2023 | EUR | 250,000 | $ 287,348 | |
| ARD Finance S.A., 7.125%, 9/15/2023 | $ | 850,000 | 852,125 | |
| ARD Securities Finance, 8.75%, (8.75% cash or 8.75% PIK) 1/31/2023 (n)(p) | 422,718 | 393,862 | ||
| Berry Global Group, Inc., 5.5%, 5/15/2022 | 840,000 | 850,500 | ||
| BWAY Holding Co., Inc., 7.25%, 4/15/2025 (n) | 375,000 | 355,781 | ||
| Crown American LLC, 4.5%, 1/15/2023 | 875,000 | 883,750 | ||
4
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Containers – continued | ||||
| Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/2026 | $ | 595,000 | $ 572,688 | |
| Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 2/01/2026 | 815,000 | 817,547 | ||
| Flex Acquisition Co., Inc., 6.875%, 1/15/2025 (n) | 805,000 | 760,725 | ||
| Multi-Color Corp., 6.125%, 12/01/2022 (n) | 1,321,000 | 1,357,327 | ||
| Reynolds Group, 5.75%, 10/15/2020 | 494,245 | 495,233 | ||
| Reynolds Group, 5.125%, 7/15/2023 (n) | 450,000 | 450,000 | ||
| Reynolds Group, 7%, 7/15/2024 (n) | 365,000 | 373,213 | ||
| San Miguel Industrias PET S.A., 4.5%, 9/18/2022 (n) | 337,000 | 332,788 | ||
| Sealed Air Corp., 4.875%, 12/01/2022 (n) | 1,110,000 | 1,130,812 | ||
| Silgan Holdings, Inc., 4.75%, 3/15/2025 | 855,000 | 837,900 | ||
| W/S Packaging Group, Inc., 9%, 4/15/2023 (n) | 570,000 | 585,675 | ||
| $ 11,337,274 | ||||
| Electrical Equipment – 0.6% | ||||
| Arrow Electronics, Inc., 3.5%, 4/01/2022 | $ | 173,000 | $ 170,752 | |
| CommScope Technologies LLC, 5%, 3/15/2027 (n) | 2,385,000 | 2,135,290 | ||
| $ 2,306,042 | ||||
| Electronics – 1.1% | ||||
| ASML Holding N.V., 1.375%, 7/07/2026 | EUR | 175,000 | $ 203,799 | |
| Broadcom Corp./Broadcom Cayman Finance Ltd., 3.875%, 1/15/2027 | $ | 457,000 | 422,957 | |
| Qorvo, Inc., 5.5%, 7/15/2026 (n) | 1,370,000 | 1,393,975 | ||
| Sensata Technologies B.V., 5.625%, 11/01/2024 (n) | 600,000 | 630,000 | ||
| Sensata Technologies B.V., 5%, 10/01/2025 (n) | 1,555,000 | 1,570,550 | ||
| $ 4,221,281 | ||||
| Emerging Market Quasi-Sovereign – 5.1% | ||||
| Abu Dhabi Crude Oil Pipeline, 4.6%, 11/02/2047 (n) | $ | 400,000 | $ 405,230 | |
| Aeropuerto Internacional de Tocumen S.A., 6%, 11/18/2048 (n) | 1,737,000 | 1,847,300 | ||
| Corporacion Nacional del Cobre de Chile, 4.375%, 2/05/2049 (n) | 1,486,000 | 1,450,187 | ||
| DAE Funding LLC, 5.75%, 11/15/2023 (n) | 725,000 | 738,594 | ||
| DAE Funding LLC, 5%, 8/01/2024 (n) | 1,705,000 | 1,690,081 | ||
| Empresa Nacional del Petroleo, 3.75%, 8/05/2026 | 568,000 | 550,119 | ||
| Empresa Nacional del Petroleo, 5.25%, 11/06/2029 (n) | 767,000 | 810,667 | ||
| EQUATE Petrochemical B.V., 4.25%, 11/03/2026 | 1,022,000 | 1,020,387 | ||
| Eskom Holdings SOC Ltd., 6.35%, 8/10/2028 | 1,024,000 | 1,048,953 | ||
| KazMunayGas National Co., JSC, 5.375%, 4/24/2030 (n) | 500,000 | 517,500 | ||
| NTPC Ltd., 4.25%, 2/26/2026 | 442,000 | 433,097 | ||
| Office Cherifien des Phosphates, 6.875%, 4/25/2044 (n) | 351,000 | 381,888 | ||
| Office Cherifien des Phosphates, 6.875%, 4/25/2044 | 200,000 | 217,600 | ||
| Petrobras Global Finance B.V., 5.299%, 1/27/2025 | 1,548,000 | 1,562,706 | ||
| Petrobras Global Finance B.V., 5.75%, 2/01/2029 | 1,307,000 | 1,302,883 | ||
| Petroleos del Peru S.A., 4.75%, 6/19/2032 (n) | 1,062,000 | 1,046,070 | ||
| Petroleos del Peru S.A., 4.75%, 6/19/2032 | 475,000 | 467,875 | ||
| Petroleos Mexicanos, 1.875%, 4/21/2022 | EUR | 150,000 | 165,915 | |
| Petroleos Mexicanos, 6.5%, 1/23/2029 | $ | 1,532,000 | 1,457,545 | |
| PT Indonesia Asahan Aluminium (Persero), 6.53%, 11/15/2028 (n) | 450,000 | 493,217 | ||
| PT Indonesia Asahan Aluminium (Persero), 6.757%, 11/15/2048 (n) | 944,000 | 1,026,214 | ||
| PT Perusahaan Listrik Negara, 2.875%, 10/25/2025 (n) | EUR | 200,000 | 236,371 | |
| Southern Gas Corridor CJSC, 6.875%, 3/24/2026 | $ | 1,315,000 | 1,463,921 | |
| $ 20,334,320 | ||||
| Emerging Market Sovereign – 9.3% | ||||
| Arab Republic of Egypt, 8.5%, 1/31/2047 | $ | 1,025,000 | $ 1,048,682 | |
| Dominican Republic, 5.95%, 1/25/2027 | 842,000 | 872,733 | ||
| Dominican Republic, 6%, 7/19/2028 (n) | 550,000 | 569,250 | ||
| Dominican Republic, 6.5%, 2/15/2048 (n) | 150,000 | 150,375 | ||
| Federal Republic of Nigeria, 7.625%, 11/21/2025 (n) | 593,000 | 630,063 | ||
| Federal Republic of Nigeria, 8.747%, 1/21/2031 (n) | 1,398,000 | 1,526,197 | ||
5
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Emerging Market Sovereign – continued | ||||
| Federative Republic of Brazil, 5%, 1/27/2045 | $ | 550,000 | $ 500,500 | |
| Government of Ukraine, 8.994%, 2/01/2024 (n) | 593,000 | 587,082 | ||
| Government of Ukraine, 7.75%, 9/01/2024 | 1,047,000 | 986,588 | ||
| Government of Ukraine, 9.75%, 11/01/2028 (n) | 986,000 | 987,440 | ||
| Hellenic Republic, 3.45%, 4/02/2024 (z) | EUR | 1,300,000 | 1,520,636 | |
| Hellenic Republic, 3.375%, 2/15/2025 | 5,000,000 | 5,732,933 | ||
| Kingdom of Saudi Arabia, 4.375%, 4/16/2029 (n) | $ | 1,598,000 | 1,629,928 | |
| Oriental Republic of Uruguay, 4.375%, 1/23/2031 | 500,000 | 509,750 | ||
| Oriental Republic of Uruguay, 4.975%, 4/20/2055 | 563,000 | 566,102 | ||
| Republic of Angola, 9.375%, 5/08/2048 | 954,000 | 1,018,662 | ||
| Republic of Argentina, 6.875%, 4/22/2021 | 494,000 | 468,564 | ||
| Republic of Argentina, 4.625%, 1/11/2023 | 2,650,000 | 2,248,551 | ||
| Republic of Argentina, 7.5%, 4/22/2026 | 1,170,000 | 1,018,497 | ||
| Republic of Argentina, 6.875%, 1/26/2027 | 1,210,000 | 1,004,300 | ||
| Republic of Colombia, 5.2%, 5/15/2049 | 1,481,000 | 1,514,322 | ||
| Republic of Cote d'Ivoire, 5.25%, 3/22/2030 | EUR | 929,000 | 1,005,652 | |
| Republic of Hungary, 5.75%, 11/22/2023 | $ | 486,000 | 532,170 | |
| Republic of Hungary, 7.625%, 3/29/2041 | 470,000 | 685,037 | ||
| Republic of Indonesia, 8.25%, 5/15/2029 | IDR | 21,298,000,000 | 1,562,812 | |
| Republic of Indonesia, 8.375%, 3/15/2034 | 13,560,000,000 | 984,592 | ||
| Republic of Paraguay, 6.1%, 8/11/2044 (n) | $ | 550,000 | 603,339 | |
| Republic of South Africa, 4.875%, 4/14/2026 | 260,000 | 257,175 | ||
| Republic of South Africa, 5.875%, 6/22/2030 | 409,000 | 418,847 | ||
| Republic of Sri Lanka, 6.125%, 6/03/2025 | 643,000 | 614,345 | ||
| Republic of Turkey, 7.25%, 12/23/2023 | 1,050,000 | 1,094,531 | ||
| Republic of Turkey, 7.375%, 2/05/2025 | 550,000 | 575,300 | ||
| Republic of Turkey, 4.875%, 10/09/2026 | 1,432,000 | 1,292,666 | ||
| Russian Federation, 4.75%, 5/27/2026 | 800,000 | 812,000 | ||
| United Mexican States, 4.5%, 4/22/2029 | 1,500,000 | 1,509,765 | ||
| $ 37,039,386 | ||||
| Energy - Independent – 2.9% | ||||
| Afren PLC, 10.25%, 4/08/2019 (a)(d)(z) | $ | 451,812 | $ 370 | |
| Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., 7.875%, 12/15/2024 | 855,000 | 271,463 | ||
| Callon Petroleum Co., 6.375%, 7/01/2026 | 950,000 | 950,000 | ||
| Carrizo Oil & Gas, Inc., 6.25%, 4/15/2023 | 440,000 | 433,950 | ||
| CrownRock LP/CrownRock Finance, Inc., 5.625%, 10/15/2025 (n) | 910,000 | 881,562 | ||
| Diamondback Energy, Inc., 5.375%, 5/31/2025 | 1,455,000 | 1,505,925 | ||
| Gulfport Energy Corp., 6%, 10/15/2024 | 665,000 | 603,488 | ||
| Indigo Natural Resources LLC, 6.875%, 2/15/2026 (n) | 580,000 | 506,050 | ||
| Jagged Peak Energy LLC, 5.875%, 5/01/2026 (n) | 580,000 | 585,981 | ||
| Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6%, 8/01/2026 (n) | 920,000 | 917,700 | ||
| Oasis Petroleum, Inc., 6.25%, 5/01/2026 (n) | 825,000 | 785,813 | ||
| Parsley Energy LLC/Parsley Finance Corp., 5.25%, 8/15/2025 (n) | 245,000 | 242,477 | ||
| Parsley Energy LLC/Parsley Finance Corp., 5.625%, 10/15/2027 (n) | 1,945,000 | 1,925,550 | ||
| Sanchez Energy Corp., 6.125%, 1/15/2023 | 680,000 | 102,850 | ||
| SM Energy Co., 6.75%, 9/15/2026 | 915,000 | 876,112 | ||
| Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 | 987,000 | 950,528 | ||
| $ 11,539,819 | ||||
| Energy - Integrated – 0.2% | ||||
| BP Capital Markets America, Inc., 3.41%, 2/11/2026 | $ | 487,000 | $ 486,487 | |
| Eni S.p.A., 4%, 9/12/2023 (n) | 200,000 | 202,243 | ||
| $ 688,730 | ||||
| Entertainment – 0.9% | ||||
| AMC Entertainment Holdings, Inc., 5.75%, 6/15/2025 | $ | 325,000 | $ 299,813 | |
| Constellation Merger Sub, Inc., 8.5%, 9/15/2025 (z) | 200,000 | 191,500 | ||
| Live Nation Entertainment, Inc., 5.625%, 3/15/2026 (n) | 1,325,000 | 1,354,812 | ||
6
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Entertainment – continued | ||||
| Six Flags Entertainment Corp., 4.875%, 7/31/2024 (n) | $ | 1,775,000 | $ 1,748,375 | |
| $ 3,594,500 | ||||
| Financial Institutions – 1.0% | ||||
| AerCap Ireland Capital Ltd., 3.65%, 7/21/2027 | $ | 379,000 | $ 341,872 | |
| Avolon Holdings Funding Ltd., 5.125%, 10/01/2023 | 490,000 | 494,900 | ||
| EXOR N.V., 1.75%, 1/18/2028 | EUR | 200,000 | 217,955 | |
| GE Capital International Funding Co., 3.373%, 11/15/2025 | $ | 382,000 | 367,601 | |
| Park Aerospace Holdings Ltd., 5.5%, 2/15/2024 (n) | 2,075,000 | 2,145,031 | ||
| Wand Merger Corp., 8.125%, 7/15/2023 (n) | 425,000 | 432,438 | ||
| $ 3,999,797 | ||||
| Food & Beverages – 2.6% | ||||
| Anheuser-Busch InBev N.V., 1.5%, 4/18/2030 | EUR | 150,000 | $ 166,714 | |
| Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038 | $ | 80,000 | 73,336 | |
| Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | 110,000 | 115,572 | ||
| Aramark Services, Inc., 4.75%, 6/01/2026 | 1,290,000 | 1,280,325 | ||
| Constellation Brands, Inc., 4.4%, 11/15/2025 | 227,000 | 232,771 | ||
| Cott Holdings, Inc., 5.5%, 4/01/2025 (n) | 1,605,000 | 1,584,938 | ||
| Danone S.A., 2.077%, 11/02/2021 (n) | 236,000 | 228,990 | ||
| Danone S.A., 2.589%, 11/02/2023 (n) | 553,000 | 532,286 | ||
| JBS USA LLC/JBS USA Finance, Inc., 6.75%, 2/15/2028 (n) | 965,000 | 997,569 | ||
| JBS USA Lux S.A./JBS USA Finance, Inc., 5.875%, 7/15/2024 (n) | 365,000 | 375,220 | ||
| Kraft Heinz Foods Co., 5.2%, 7/15/2045 | 31,000 | 28,841 | ||
| Kraft Heinz Foods Co., 4.375%, 6/01/2046 | 130,000 | 107,816 | ||
| Lamb Weston Holdings, Inc., 4.625%, 11/01/2024 (n) | 705,000 | 708,525 | ||
| Lamb Weston Holdings, Inc., 4.875%, 11/01/2026 (n) | 420,000 | 420,525 | ||
| Pilgrim's Pride Corp., 5.875%, 9/30/2027 (n) | 1,535,000 | 1,508,138 | ||
| U.S. Foods Holding Corp., 5.875%, 6/15/2024 (n) | 1,650,000 | 1,674,750 | ||
| Wm. Wrigley Jr. Co., 3.375%, 10/21/2020 (n) | 300,000 | 301,955 | ||
| $ 10,338,271 | ||||
| Forest & Paper Products – 0.2% | ||||
| Suzano Austria GmbH, 6%, 1/15/2029 (n) | $ | 701,000 | $ 742,534 | |
| Gaming & Lodging – 2.3% | ||||
| CCM Merger, Inc., 6%, 3/15/2022 (n) | $ | 715,000 | $ 730,194 | |
| GLP Capital LP/GLP Financing II, Inc., 5.25%, 6/01/2025 | 1,060,000 | 1,097,619 | ||
| GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026 | 145,000 | 149,402 | ||
| Hilton Domestic Operating Co., Inc., 5.125%, 5/01/2026 (n) | 950,000 | 954,750 | ||
| Hilton Worldwide Finance LLC, 4.625%, 4/01/2025 | 1,350,000 | 1,343,250 | ||
| Marriot Ownership Resorts, Inc., 5.625%, 4/15/2023 (z) | 870,000 | 861,300 | ||
| MGM Resorts International, 6.625%, 12/15/2021 | 445,000 | 473,925 | ||
| MGM Resorts International, 6%, 3/15/2023 | 460,000 | 481,275 | ||
| MGM Resorts International, 5.75%, 6/15/2025 | 455,000 | 462,963 | ||
| Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2021 | 495,000 | 496,238 | ||
| Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2023 | 835,000 | 839,175 | ||
| Wyndham Hotels Group, LLC, 5.375%, 4/15/2026 (n) | 890,000 | 900,368 | ||
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.5%, 3/01/2025 (n) | 420,000 | 418,026 | ||
| $ 9,208,485 | ||||
| Health Maintenance Organizations – 0.1% | ||||
| Halfmoon Parent, Inc., 4.125%, 11/15/2025 (n) | $ | 201,000 | $ 204,181 | |
| Healthcare Revenue - Hospitals – 0.1% | ||||
| Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), “C”, 5.45%, 8/15/2028 | $ | 346,000 | $ 366,511 | |
| Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), “C”, 4.65%, 8/15/2030 | 221,000 | 234,280 | ||
| $ 600,791 | ||||
7
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Industrial – 0.7% | ||||
| Cleaver Brooks, Inc., 7.875%, 3/01/2023 (n) | $ | 845,000 | $ 825,988 | |
| Grainger PLC, 3.375%, 4/24/2028 | GBP | 120,000 | 157,552 | |
| Investor AB, 1.5%, 9/12/2030 | EUR | 200,000 | 232,502 | |
| KAR Auction Services, Inc., 5.125%, 6/01/2025 (n) | $ | 1,685,000 | 1,638,662 | |
| $ 2,854,704 | ||||
| Insurance – 0.2% | ||||
| American International Group, Inc., 1.875%, 6/21/2027 | EUR | 110,000 | $ 123,777 | |
| Argentum Zurich Insurance, 3.5%, 10/01/2046 | 200,000 | 248,123 | ||
| NN Group N.V., 4.625% to 4/08/2024, FLR (EURIBOR - 3mo. + 3.95%) to 4/08/2044 | 200,000 | 249,052 | ||
| $ 620,952 | ||||
| Insurance - Health – 0.5% | ||||
| Aetna, Inc., 2.8%, 6/15/2023 | $ | 317,000 | $ 308,609 | |
| Centene Corp., 6.125%, 2/15/2024 | 590,000 | 617,288 | ||
| Centene Corp., 5.375%, 6/01/2026 (n) | 1,095,000 | 1,136,062 | ||
| $ 2,061,959 | ||||
| Insurance - Property & Casualty – 0.8% | ||||
| AssuredPartners Inc., 7%, 8/15/2025 (n) | $ | 875,000 | $ 831,250 | |
| Berkshire Hathaway, Inc., 2.75%, 3/15/2023 | 234,000 | 233,441 | ||
| Chubb INA Holdings, Inc., 2.3%, 11/03/2020 | 95,000 | 94,079 | ||
| Chubb INA Holdings, Inc., 2.875%, 11/03/2022 | 221,000 | 221,550 | ||
| Chubb INA Holdings, Inc., 2.5%, 3/15/2038 | EUR | 126,000 | 145,753 | |
| Hiscox Ltd., 6.125%, 11/24/2045 | GBP | 100,000 | 143,270 | |
| Hub International Ltd., 7%, 5/01/2026 (n) | $ | 830,000 | 813,400 | |
| Marsh & McLennan Cos., Inc., 3.5%, 6/03/2024 | 159,000 | 159,702 | ||
| Marsh & McLennan Cos., Inc., 4.35%, 1/30/2047 | 131,000 | 128,256 | ||
| QBE Capital Funding III Ltd., 7.5% to 5/24/2021, FLR (GBP Swap Rate - 10yr. + 4.003%) to 5/24/2041 | GBP | 200,000 | 283,242 | |
| XLIT Ltd., 3.25%, 6/29/2047 | EUR | 230,000 | 268,925 | |
| $ 3,322,868 | ||||
| International Market Quasi-Sovereign – 0.5% | ||||
| BNG Bank N.V., 0.75%, 1/11/2028 | EUR | 1,039,000 | $ 1,197,894 | |
| KFW German Government Development Bank, 1.125%, 6/15/2037 | 510,000 | 584,032 | ||
| Landsbanki Islands HF, 1.125%, 1/19/2024 | 150,000 | 165,390 | ||
| $ 1,947,316 | ||||
| International Market Sovereign – 11.9% | ||||
| Bundesrepublik Deutschland, 0.25%, 8/15/2028 | EUR | 969,000 | $ 1,114,471 | |
| Commonwealth of Australia, 2.75%, 11/21/2027 | AUD | 2,250,000 | 1,684,007 | |
| Commonwealth of Australia, 2.75%, 6/21/2035 | 2,100,000 | 1,565,111 | ||
| Federal Republic of Germany, 2.5%, 7/04/2044 | EUR | 1,185,000 | 1,894,703 | |
| Government of Bermuda, 4.75%, 2/15/2029 (n) | $ | 487,000 | 507,697 | |
| Government of Canada, 1.5%, 6/01/2026 | CAD | 3,357,000 | 2,481,545 | |
| Government of Canada, 5%, 6/01/2037 | 1,800,000 | 1,954,469 | ||
| Government of Canada, Inflation Linked Bond, 4.25%, 12/01/2026 | 1,442,974 | 1,421,614 | ||
| Government of Japan, 2.4%, 3/20/2037 | JPY | 565,100,000 | 6,880,415 | |
| Government of Japan, 0.5%, 6/20/2038 | 413,000,000 | 3,769,558 | ||
| Government of Norway, 2%, 4/26/2028 | NOK | 19,725,000 | 2,356,170 | |
| Kingdom of Belgium, 1.6%, 6/22/2047 | EUR | 780,000 | 882,966 | |
| Kingdom of Spain, 2.75%, 10/31/2024 | 540,000 | 693,099 | ||
| Kingdom of Spain, 5.15%, 10/31/2028 | 3,755,000 | 5,813,425 | ||
| Kingdom of Spain, 5.15%, 10/31/2044 | 330,000 | 584,338 | ||
| Republic of Italy, 2%, 2/01/2028 | 2,144,000 | 2,331,691 | ||
| Republic of Italy, 1.65%, 3/01/2032 | 297,000 | 289,398 | ||
| Republic of Italy, 4%, 2/01/2037 | 780,000 | 961,041 | ||
| Republic of Portugal, 2.875%, 10/15/2025 | 889,000 | 1,151,898 | ||
| Republic of Portugal, 2.125%, 10/17/2028 | 4,705,000 | 5,734,057 | ||
8
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| International Market Sovereign – continued | ||||
| Republic of Portugal, 4.1%, 4/15/2037 | EUR | 355,000 | $ 515,973 | |
| United Kingdom Treasury, 3.25%, 1/22/2044 | GBP | 1,163,000 | 1,976,746 | |
| United Kingdom Treasury, 3.75%, 7/22/2052 | 510,000 | 1,013,861 | ||
| $ 47,578,253 | ||||
| Leisure & Toys – 0.0% | ||||
| Ubisoft Entertainment S.A., 1.289%, 1/30/2023 | EUR | 100,000 | $ 112,921 | |
| Local Authorities – 0.1% | ||||
| Province of Alberta, 4.5%, 12/01/2040 | CAD | 255,000 | $ 236,508 | |
| Province of British Columbia, 2.3%, 6/18/2026 | 370,000 | 278,098 | ||
| $ 514,606 | ||||
| Machinery & Tools – 0.1% | ||||
| CNH Industrial Capital LLC, 1.875%, 1/19/2026 | EUR | 200,000 | $ 226,937 | |
| Major Banks – 2.2% | ||||
| ABN AMRO Bank N.V., 2.875%, 1/18/2028 | EUR | 100,000 | $ 120,260 | |
| Bank of America Corp., 2.625%, 4/19/2021 | $ | 370,000 | 367,588 | |
| Bank of America Corp., 3.004%, 12/20/2023 | 272,000 | 268,442 | ||
| Bank of America Corp., 3.5%, 4/19/2026 | 400,000 | 397,272 | ||
| Bank of America Corp., 3.248%, 10/21/2027 | 462,000 | 442,523 | ||
| Bank of New York Mellon Corp., 2.95%, 1/29/2023 | 414,000 | 412,084 | ||
| Bankia S.A., 6% to 7/18/2022, FLR (EUR Swap Rate - 5yr. + 5.819%) to 12/31/2099 | EUR | 400,000 | 446,812 | |
| Barclays Bank PLC, 6%, 1/14/2021 | 250,000 | 309,644 | ||
| Barclays PLC, 3.125%, 1/17/2024 | GBP | 150,000 | 199,582 | |
| Credit Agricole S.A., 0.75%, 12/05/2023 | EUR | 200,000 | 230,452 | |
| Credit Suisse Group AG, 1.25% to 7/17/2024, FLR (EUR Swap Rate - 1yr. + 0.75%) to 7/17/2025 | 150,000 | 170,008 | ||
| HSBC Holdings PLC, 4.375%, 11/23/2026 | $ | 269,000 | 270,709 | |
| JPMorgan Chase & Co., 2.95%, 10/01/2026 | 601,000 | 573,424 | ||
| JPMorgan Chase & Co., 3.54%, 5/01/2028 | 291,000 | 285,986 | ||
| JPMorgan Chase & Co., 4.26%, 2/22/2048 | 153,000 | 150,764 | ||
| Morgan Stanley, 3.125%, 7/27/2026 | 426,000 | 407,184 | ||
| Nationwide Building Society, 1.5%, 3/08/2026 | EUR | 100,000 | 112,669 | |
| Sumitomo Mitsui Financial Group, Inc., 3.544%, 1/17/2028 | $ | 439,000 | 435,727 | |
| Svenska Handelsbanken AB, 5.25%, 12/29/2049 | 239,000 | 236,909 | ||
| UBS Group AG, 6.875% to 8/07/2025, FLR (Swap Rate - 5yr. + 4.59%) to 12/29/2049 | 1,620,000 | 1,628,100 | ||
| UBS Group Funding (Jersey) Ltd., 1.5%, 11/30/2024 | EUR | 300,000 | 347,740 | |
| UBS Group Funding (Switzerland) AG, 2.859% to 8/15/2022, FLR (LIBOR - 3mo. + 0.954%) to 8/15/2023 (n) | $ | 750,000 | 733,569 | |
| Wells Fargo & Co., 4.15%, 1/24/2029 | 188,000 | 192,292 | ||
| $ 8,739,740 | ||||
| Medical & Health Technology & Services – 3.3% | ||||
| Acadia Healthcare Co., Inc., 5.625%, 2/15/2023 | $ | 820,000 | $ 813,850 | |
| Avantor, Inc., 9%, 10/01/2025 (n) | 760,000 | 814,150 | ||
| Becton, Dickinson and Co., 1.401%, 5/24/2023 | EUR | 250,000 | 288,863 | |
| Becton, Dickinson and Co., 3.734%, 12/15/2024 | $ | 239,000 | 239,193 | |
| DaVita, Inc., 5%, 5/01/2025 | 585,000 | 564,525 | ||
| Encompass Health Corp., 5.75%, 9/15/2025 | 350,000 | 353,500 | ||
| HCA, Inc., 7.5%, 2/15/2022 | 1,085,000 | 1,189,431 | ||
| HCA, Inc., 5%, 3/15/2024 | 890,000 | 929,762 | ||
| HCA, Inc., 5.375%, 2/01/2025 | 1,400,000 | 1,452,066 | ||
| HCA, Inc., 5.875%, 2/15/2026 | 855,000 | 903,094 | ||
| HealthSouth Corp., 5.125%, 3/15/2023 | 1,425,000 | 1,435,687 | ||
| HealthSouth Corp., 5.75%, 11/01/2024 | 75,000 | 75,773 | ||
| Heartland Dental, LLC, 8.5%, 5/01/2026 (n) | 675,000 | 619,313 | ||
| Laboratory Corp. of America Holdings, 3.2%, 2/01/2022 | 200,000 | 199,085 | ||
| Laboratory Corp. of America Holdings, 4.7%, 2/01/2045 | 310,000 | 290,912 | ||
| Northwell Healthcare, Inc., 4.26%, 11/01/2047 | 172,000 | 164,753 | ||
9
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Medical & Health Technology & Services – continued | ||||
| Polaris, 8.5%, (8.5% cash or 8.5% PIK) 12/01/2022 (n)(p) | $ | 485,000 | $ 478,797 | |
| Quintiles IMS Holdings, Inc., 5%, 10/15/2026 (n) | 510,000 | 518,925 | ||
| Regional Care/LifePoint Health, Inc., 9.75%, 12/01/2026 (n) | 735,000 | 753,375 | ||
| Thermo Fisher Scientific, Inc., 3.2%, 8/15/2027 | 476,000 | 451,939 | ||
| West Street Merger Sub, Inc., 6.375%, 9/01/2025 (n) | 800,000 | 746,000 | ||
| $ 13,282,993 | ||||
| Medical Equipment – 0.7% | ||||
| Abbott Laboratories, 4.9%, 11/30/2046 | $ | 300,000 | $ 327,944 | |
| Teleflex, Inc., 5.25%, 6/15/2024 | 960,000 | 980,400 | ||
| Teleflex, Inc., 4.875%, 6/01/2026 | 720,000 | 729,000 | ||
| Teleflex, Inc., 4.625%, 11/15/2027 | 905,000 | 898,276 | ||
| $ 2,935,620 | ||||
| Metals & Mining – 3.1% | ||||
| Baffinland Iron Mines Corp./Baffinland Iron Mines LP, 8.75%, 7/15/2026 (n) | $ | 720,000 | $ 723,254 | |
| Cameco Corp., 5.67%, 9/02/2019 | CAD | 262,000 | 201,784 | |
| First Quantum Minerals Ltd., 7.25%, 4/01/2023 (n) | $ | 870,000 | 854,775 | |
| Freeport-McMoRan Copper & Gold, Inc., 5.4%, 11/14/2034 | 1,300,000 | 1,186,250 | ||
| Freeport-McMoRan, Inc., 6.875%, 2/15/2023 | 1,975,000 | 2,086,094 | ||
| Kaiser Aluminum Corp., 5.875%, 5/15/2024 | 1,805,000 | 1,845,612 | ||
| Northwest Acquisitions ULC/Dominion Finco, Inc., 7.125%, 11/01/2022 (n) | 920,000 | 848,700 | ||
| Novelis Corp., 5.875%, 9/30/2026 (n) | 1,265,000 | 1,233,375 | ||
| Petra Diamonds U.S. Treasury PLC, 7.25%, 5/01/2022 (n) | 905,000 | 841,650 | ||
| Steel Dynamics, Inc., 4.125%, 9/15/2025 | 440,000 | 427,830 | ||
| SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.5%, 6/15/2025 (n) | 610,000 | 620,675 | ||
| TMS International Corp., 7.25%, 8/15/2025 (n) | 745,000 | 711,475 | ||
| Vale Overseas Ltd., 6.25%, 8/10/2026 | 450,000 | 477,450 | ||
| Vale Overseas Ltd., 6.875%, 11/10/2039 | 400,000 | 438,500 | ||
| $ 12,497,424 | ||||
| Midstream – 4.0% | ||||
| AI Candelaria Spain SLU, 7.5%, 12/15/2028 (n) | $ | 1,232,000 | $ 1,238,161 | |
| APT Pipelines Ltd., 5%, 3/23/2035 (n) | 280,000 | 277,237 | ||
| Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022 (n) | 365,000 | 370,019 | ||
| Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.625%, 7/15/2026 (n) | 890,000 | 907,800 | ||
| Cheniere Energy, Inc., 5.875%, 3/31/2025 | 1,160,000 | 1,235,412 | ||
| DCP Midstream Operating LP, 4.95%, 4/01/2022 | 651,000 | 665,648 | ||
| DCP Midstream Operating LP, 3.875%, 3/15/2023 | 770,000 | 764,225 | ||
| DCP Midstream Operating LP, 5.375%, 7/15/2025 (n) | 770,000 | 800,800 | ||
| DCP Midstream Operating LP, 5.6%, 4/01/2044 | 615,000 | 568,106 | ||
| EnLink Midstream Partners LP, 4.4%, 4/01/2024 | 1,945,000 | 1,889,081 | ||
| MPLX LP, 4.5%, 4/15/2038 | 170,000 | 156,650 | ||
| ONEOK, Inc., 4.95%, 7/13/2047 | 474,000 | 456,466 | ||
| Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 | 333,000 | 328,674 | ||
| Tallgrass Energy Partners LP, 5.5%, 1/15/2028 (n) | 1,985,000 | 1,980,038 | ||
| Targa Resources Partners LP/Targa Resources Finance Corp., 5.25%, 5/01/2023 | 860,000 | 871,816 | ||
| Targa Resources Partners LP/Targa Resources Finance Corp., 5.125%, 2/01/2025 (n) | 775,000 | 778,875 | ||
| Targa Resources Partners LP/Targa Resources Finance Corp., 5.375%, 2/01/2027 | 2,635,000 | 2,648,201 | ||
| $ 15,937,209 | ||||
| Mortgage-Backed – 2.5% | ||||
| Fannie Mae, 5.5%, 9/01/2019 - 7/01/2035 | $ | 157,684 | $ 169,241 | |
| Fannie Mae, 6.5%, 4/01/2032 - 1/01/2033 | 36,891 | 41,173 | ||
| Fannie Mae, 6%, 8/01/2034 - 2/01/2037 | 68,823 | 75,529 | ||
| Freddie Mac, 2.811%, 1/25/2025 | 5,900,000 | 5,845,210 | ||
| Freddie Mac, 0.109%, 2/25/2025 (i) | 38,000,000 | 348,627 | ||
| Freddie Mac, 3.194%, 7/25/2027 | 1,073,000 | 1,072,675 | ||
| Freddie Mac, 0.125%, 2/25/2028 (i) | 36,576,000 | 497,646 | ||
10
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Mortgage-Backed – continued | ||||
| Freddie Mac, 0.291%, 2/25/2028 (i) | $ | 15,572,000 | $ 411,801 | |
| Freddie Mac, 0.105%, 4/25/2028 (i) | 15,983,000 | 201,215 | ||
| Freddie Mac, 6%, 8/01/2034 | 52,438 | 57,585 | ||
| Freddie Mac, 3.9%, 9/25/2051 | 1,000,000 | 1,051,367 | ||
| $ 9,772,069 | ||||
| Natural Gas - Distribution – 0.1% | ||||
| Boston Gas Co., 3.15%, 8/01/2027 (n) | $ | 248,000 | $ 236,949 | |
| GNL Quintero S.A., 4.634%, 7/31/2029 (n) | 323,000 | 326,634 | ||
| $ 563,583 | ||||
| Natural Gas - Pipeline – 0.4% | ||||
| Peru LNG, 5.375%, 3/22/2030 | $ | 1,558,000 | $ 1,593,912 | |
| Network & Telecom – 0.6% | ||||
| C&W Senior Financing Designated Activity, 7.5%, 10/15/2026 (n) | $ | 388,000 | $ 395,760 | |
| Telefonica Celular del Paraguay S.A., 6.75%, 12/13/2022 | 517,000 | 527,340 | ||
| Zayo Group LLC/Zayo Capital, Inc., 6.375%, 5/15/2025 | 505,000 | 501,212 | ||
| Zayo Group LLC/Zayo Capital, Inc., 5.75%, 1/15/2027 (n) | 1,050,000 | 1,018,500 | ||
| $ 2,442,812 | ||||
| Oil Services – 0.6% | ||||
| Apergy Corp., 6.375%, 5/01/2026 | $ | 1,280,000 | $ 1,278,400 | |
| Diamond Offshore Drill Co., 5.7%, 10/15/2039 | 945,000 | 637,875 | ||
| Nabors Industries, Inc., 5.75%, 2/01/2025 | 190,000 | 168,150 | ||
| Shelf Drill Holdings Ltd., 8.25%, 2/15/2025 | 376,000 | 359,080 | ||
| $ 2,443,505 | ||||
| Oils – 1.1% | ||||
| Marathon Petroleum Corp., 4.75%, 9/15/2044 | $ | 200,000 | $ 191,675 | |
| Neste Oyj, 1.5%, 6/07/2024 | EUR | 200,000 | 230,741 | |
| Parkland Fuel Corp., 6%, 4/01/2026 (n) | $ | 2,030,000 | 1,994,475 | |
| PBF Holding Co. LLC/PBF Finance Corp., 7%, 11/15/2023 | 150,000 | 153,375 | ||
| PBF Holding Co. LLC/PBF Finance Corp., 7.25%, 6/15/2025 | 240,000 | 246,120 | ||
| Phillips 66, 4.875%, 11/15/2044 | 150,000 | 156,258 | ||
| Thaioil Treasury Center Co. Ltd., 5.375%, 11/20/2048 (n) | 1,514,000 | 1,608,416 | ||
| $ 4,581,060 | ||||
| Other Banks & Diversified Financials – 1.1% | ||||
| Bangkok Bank (Hong Kong), 4.05%, 3/19/2024 (n) | $ | 720,000 | $ 729,141 | |
| Belfius Bank S.A., 3.125%, 5/11/2026 | EUR | 200,000 | 240,560 | |
| BPCE S.A., 0.625%, 9/26/2023 | 100,000 | 114,316 | ||
| BPCE S.A., 5.25%, 4/16/2029 | GBP | 100,000 | 153,332 | |
| Deutsche Bank AG, 1.875%, 2/28/2020 | 200,000 | 263,425 | ||
| Intesa Sanpaolo S.p.A., 5.25%, 1/28/2022 | 100,000 | 139,601 | ||
| Intesa Sanpaolo S.p.A., 2.125%, 8/30/2023 | EUR | 200,000 | 232,279 | |
| JSC Kazkommertsbank, 5.5%, 12/21/2022 | $ | 1,139,000 | 1,134,444 | |
| KBC Group N.V., 0.875%, 6/27/2023 | EUR | 100,000 | 115,030 | |
| Macquarie Group Ltd., 1.25%, 3/05/2025 | 100,000 | 112,228 | ||
| UBS AG, 5.125%, 5/15/2024 | $ | 447,000 | 455,158 | |
| UniCredit S.p.A., 1%, 1/18/2023 | EUR | 250,000 | 271,492 | |
| UniCredito Italiano S.p.A., 6.572%, 1/14/2022 (n) | $ | 350,000 | 358,357 | |
| $ 4,319,363 | ||||
| Pharmaceuticals – 0.9% | ||||
| Allergan Funding SCS, 2.625%, 11/15/2028 | EUR | 130,000 | $ 151,756 | |
| Bayer Capital Corp. B.V., 1.5%, 6/26/2026 | 200,000 | 228,778 | ||
| Endo Finance LLC/Endo Finco, Inc., 5.375%, 1/15/2023 (n) | $ | 225,000 | 185,484 | |
| Mallinckrodt International Finance S.A., 5.75%, 8/01/2022 (n) | 710,000 | 667,400 | ||
11
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Pharmaceuticals – continued | ||||
| Takeda Pharmaceutical Co. Ltd., 1.125%, 11/21/2022 (z) | EUR | 160,000 | $ 184,204 | |
| Takeda Pharmaceutical Co. Ltd., 2.25%, 11/21/2026 (z) | 100,000 | 118,372 | ||
| Takeda Pharmaceutical Co. Ltd., 2.25%, 11/21/2026 | 150,000 | 177,558 | ||
| Valeant Pharmaceuticals International, Inc., 5.5%, 3/01/2023 (n) | $ | 890,000 | 885,550 | |
| Valeant Pharmaceuticals International, Inc., 6.125%, 4/15/2025 (n) | 1,095,000 | 1,053,938 | ||
| $ 3,653,040 | ||||
| Pollution Control – 0.1% | ||||
| Republic Services, Inc., 3.95%, 5/15/2028 | $ | 242,000 | $ 247,862 | |
| Precious Metals & Minerals – 0.3% | ||||
| Teck Resources Ltd., 6%, 8/15/2040 | $ | 250,000 | $ 255,575 | |
| Teck Resources Ltd., 6.25%, 7/15/2041 | 750,000 | 782,625 | ||
| $ 1,038,200 | ||||
| Printing & Publishing – 0.3% | ||||
| Nielsen Finance LLC, 5%, 4/15/2022 (n) | $ | 884,000 | $ 881,790 | |
| TEGNA, Inc., 5.5%, 9/15/2024 (z) | 225,000 | 222,469 | ||
| $ 1,104,259 | ||||
| Real Estate - Apartment – 0.1% | ||||
| Grand City Properties S.A., 1.375%, 8/03/2026 | EUR | 300,000 | $ 328,185 | |
| Real Estate - Healthcare – 0.7% | ||||
| MPT Operating Partnership LP/MPT Financial Co., REIT, 5.25%, 8/01/2026 | $ | 1,295,000 | $ 1,312,806 | |
| MPT Operating Partnership LP/MPT Financial Co., REIT, 5%, 10/15/2027 | 1,460,000 | 1,449,050 | ||
| $ 2,761,856 | ||||
| Real Estate - Office – 0.1% | ||||
| Boston Properties, Inc., REIT, 3.125%, 9/01/2023 | $ | 250,000 | $ 246,816 | |
| Merlin Properties SOCIMI S.A., REIT, 2.225%, 4/25/2023 | EUR | 150,000 | 177,280 | |
| Merlin Properties SOCIMI S.A., REIT, 1.875%, 11/02/2026 | 150,000 | 167,754 | ||
| $ 591,850 | ||||
| Real Estate - Other – 0.5% | ||||
| CyrusOne LP/CyrusOne Finance Corp., REIT, 5%, 3/15/2024 | $ | 800,000 | $ 814,000 | |
| CyrusOne LP/CyrusOne Finance Corp., REIT, 5.375%, 3/15/2027 | 1,000,000 | 1,017,500 | ||
| $ 1,831,500 | ||||
| Restaurants – 0.4% | ||||
| Golden Nugget, Inc., 6.75%, 10/15/2024 (n) | $ | 465,000 | $ 467,325 | |
| KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, 6/01/2026 (n) | 1,125,000 | 1,144,687 | ||
| $ 1,612,012 | ||||
| Retailers – 0.6% | ||||
| Best Buy Co., Inc., 4.45%, 10/01/2028 | $ | 222,000 | $ 214,871 | |
| DriveTime Automotive Group, Inc./DT Acceptance Corp., 8%, 6/01/2021 (n) | 485,000 | 487,425 | ||
| Hanesbrands, Inc., 4.875%, 5/15/2026 (n) | 755,000 | 743,675 | ||
| Home Depot, Inc., 2.625%, 6/01/2022 | 231,000 | 229,769 | ||
| Home Depot, Inc., 3%, 4/01/2026 | 310,000 | 305,305 | ||
| Sally Beauty Holdings, Inc., 5.625%, 12/01/2025 | 435,000 | 426,844 | ||
| $ 2,407,889 | ||||
| Specialty Chemicals – 0.3% | ||||
| Univar USA, Inc., 6.75%, 7/15/2023 (n) | $ | 1,200,000 | $ 1,233,000 | |
12
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Specialty Stores – 0.2% | ||||
| Penske Automotive Group Co., 5.375%, 12/01/2024 | $ | 185,000 | $ 183,557 | |
| Penske Automotive Group Co., 5.5%, 5/15/2026 | 515,000 | 505,318 | ||
| Richemont International S.A., 1.5%, 3/26/2030 | EUR | 100,000 | 116,711 | |
| $ 805,586 | ||||
| Supermarkets – 0.6% | ||||
| Albertsons Cos. LLC/Safeway Co., 6.625%, 6/15/2024 | $ | 480,000 | $ 480,000 | |
| Esselunga S.p.A., 0.875%, 10/25/2023 | EUR | 250,000 | 275,211 | |
| Eurotorg LLC Via Bonitron DAC, 8.75%, 10/30/2022 | $ | 1,553,000 | 1,576,916 | |
| Loblaw Cos. Ltd., 4.86%, 9/12/2023 | CAD | 262,000 | 213,437 | |
| $ 2,545,564 | ||||
| Supranational – 0.6% | ||||
| European Stability Mechanism, 0.75%, 3/15/2027 | EUR | 1,720,000 | $ 2,012,112 | |
| International Bank for Reconstruction and Development, 2.8%, 1/13/2021 | AUD | 170,000 | 122,230 | |
| International Bank for Reconstruction and Development, 4.25%, 6/24/2025 | 210,000 | 165,156 | ||
| International Finance Corp., 3.25%, 7/22/2019 | 305,000 | 217,390 | ||
| $ 2,516,888 | ||||
| Telecommunications - Wireless – 3.6% | ||||
| Altice France S.A., 6.25%, 5/15/2024 (n) | $ | 385,000 | $ 385,000 | |
| Altice France S.A., 8.125%, 2/01/2027 (n) | 675,000 | 678,375 | ||
| Altice Luxembourg S.A., 7.75%, 5/15/2022 (n) | 665,000 | 660,844 | ||
| Altice Luxembourg S.A., 7.625%, 2/15/2025 (n) | 635,000 | 563,959 | ||
| American Tower Corp., REIT, 3.5%, 1/31/2023 | 465,000 | 464,767 | ||
| American Tower Corp., REIT, 4%, 6/01/2025 | 250,000 | 252,440 | ||
| Crown Castle International Corp., 3.7%, 6/15/2026 | 157,000 | 153,130 | ||
| Digicel Group Ltd., 6.75%, 3/01/2023 (n) | 720,000 | 500,400 | ||
| Millicom International Cellular S.A., 5.125%, 1/15/2028 | 1,554,000 | 1,487,955 | ||
| SBA Communications Corp., 4%, 10/01/2022 | 1,190,000 | 1,178,100 | ||
| SBA Communications Corp., 4.875%, 9/01/2024 | 835,000 | 833,956 | ||
| SBA Tower Trust, 2.898%, 10/15/2044 (n) | 220,000 | 219,885 | ||
| SFR Group S.A., 7.375%, 5/01/2026 (n) | 340,000 | 333,625 | ||
| Sprint Corp., 7.875%, 9/15/2023 | 1,065,000 | 1,139,827 | ||
| Sprint Corp., 7.125%, 6/15/2024 | 1,490,000 | 1,534,700 | ||
| Sprint Nextel Corp., 6%, 11/15/2022 | 975,000 | 989,137 | ||
| T-Mobile USA, Inc., 6.5%, 1/15/2024 | 615,000 | 638,063 | ||
| T-Mobile USA, Inc., 5.125%, 4/15/2025 | 945,000 | 968,920 | ||
| T-Mobile USA, Inc., 6.5%, 1/15/2026 | 700,000 | 748,125 | ||
| T-Mobile USA, Inc., 5.375%, 4/15/2027 | 695,000 | 713,244 | ||
| $ 14,444,452 | ||||
| Telephone Services – 0.5% | ||||
| Level 3 Financing, Inc., 5.375%, 1/15/2024 | $ | 390,000 | $ 391,950 | |
| Level 3 Financing, Inc., 5.375%, 5/01/2025 | 1,215,000 | 1,211,963 | ||
| TELUS Corp., 5.05%, 7/23/2020 | CAD | 265,000 | 208,353 | |
| $ 1,812,266 | ||||
| Tobacco – 0.1% | ||||
| Altria Group, Inc., 1.7%, 6/15/2025 | EUR | 120,000 | $ 136,125 | |
| Altria Group, Inc., 3.125%, 6/15/2031 | 100,000 | 113,521 | ||
| Imperial Brands Finance PLC, 1.375%, 1/27/2025 | 150,000 | 167,962 | ||
| $ 417,608 | ||||
| Transportation - Services – 0.9% | ||||
| Autostrade per l'Italia S.p.A., 6.25%, 6/09/2022 | GBP | 150,000 | $ 216,727 | |
| Compagnie Financial et Indus Unternehmensanleihe, 0.75%, 9/09/2028 | EUR | 200,000 | 218,423 | |
| ERAC USA Finance LLC, 7%, 10/15/2037 (n) | $ | 250,000 | 307,032 | |
| Heathrow Funding Ltd., 1.875%, 7/12/2032 | EUR | 150,000 | 171,993 | |
13
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Transportation - Services – continued | ||||
| Heathrow Funding Ltd., 4.625%, 10/31/2046 | GBP | 100,000 | $ 165,393 | |
| Navios South American Logistics, Inc./Navios Logistics Finance (U.S.), Inc., 7.25%, 5/01/2022 | $ | 1,970,000 | 1,773,000 | |
| Syncreon Group BV/Syncre, 8.625%, 11/01/2021 (n) | 470,000 | 371,300 | ||
| Transurban Finance Co., 1.75%, 3/29/2028 | EUR | 200,000 | 228,773 | |
| $ 3,452,641 | ||||
| U.S. Treasury Obligations – 16.5% | ||||
| U.S. Treasury Bonds, 3.5%, 2/15/2039 | $ | 242,000 | $ 262,778 | |
| U.S. Treasury Bonds, 3.125%, 2/15/2043 | 755,200 | 762,162 | ||
| U.S. Treasury Bonds, 3%, 5/15/2047 (f) | 12,771,000 | 12,569,957 | ||
| U.S. Treasury Bonds, TIPS, 0.25%, 1/15/2025 | 6,173,332 | 6,030,150 | ||
| U.S. Treasury Bonds, TIPS, 0.375%, 1/15/2027 | 1,393,667 | 1,355,559 | ||
| U.S. Treasury Notes, 2.625%, 11/15/2020 | 11,000,000 | 11,013,320 | ||
| U.S. Treasury Notes, 2.625%, 7/15/2021 | 11,981,000 | 12,012,825 | ||
| U.S. Treasury Notes, 2.125%, 9/30/2024 | 1,500,000 | 1,466,133 | ||
| U.S. Treasury Notes, 2%, 11/15/2026 | 13,120,000 | 12,532,162 | ||
| U.S. Treasury Notes, 2.75%, 2/15/2028 | 3,714,000 | 3,729,959 | ||
| U.S. Treasury Notes, 2.875%, 5/15/2028 | 3,800,000 | 3,853,289 | ||
| $ 65,588,294 | ||||
| Utilities - Electric Power – 2.9% | ||||
| Clearway Energy Operating LLC, 5.75%, 10/15/2025 (n) | $ | 1,655,000 | $ 1,626,037 | |
| Covanta Holding Corp., 5.875%, 3/01/2024 | 995,000 | 1,016,144 | ||
| Covanta Holding Corp., 5.875%, 7/01/2025 | 230,000 | 229,425 | ||
| Covanta Holding Corp., 6%, 1/01/2027 | 1,010,000 | 1,012,525 | ||
| Drax Finco PLC, 6.625%, 11/01/2025 (n) | 950,000 | 965,438 | ||
| Duke Energy Florida LLC, 3.2%, 1/15/2027 | 310,000 | 303,399 | ||
| EDP Finance B.V., 5.25%, 1/14/2021 (n) | 200,000 | 205,488 | ||
| Emera U.S. Finance LP, 2.7%, 6/15/2021 | 98,000 | 96,200 | ||
| Emera U.S. Finance LP, 3.55%, 6/15/2026 | 112,000 | 107,490 | ||
| Enel Finance International N.V., 5.625%, 8/14/2024 | GBP | 100,000 | 151,618 | |
| Enel Finance International N.V., 1.125%, 9/16/2026 | EUR | 200,000 | 221,278 | |
| Enel Finance International N.V., 3.5%, 4/06/2028 (z) | $ | 200,000 | 179,021 | |
| Exelon Corp., 3.497%, 6/01/2022 | 151,000 | 150,029 | ||
| Greenko Dutch B.V., 5.25%, 7/24/2024 | 877,000 | 822,626 | ||
| Innogy Finance B.V., 1.625%, 5/30/2026 | EUR | 170,000 | 200,279 | |
| Innogy Finance B.V., 4.75%, 1/31/2034 | GBP | 100,000 | 156,005 | |
| LLPL Capital Pte. Ltd., 6.875%, 2/04/2039 (n) | $ | 961,000 | 988,303 | |
| NextEra Energy Capital Holdings, Inc., 3.55%, 5/01/2027 | 377,000 | 367,320 | ||
| NextEra Energy Operating Co., 4.25%, 9/15/2024 (n) | 1,175,000 | 1,154,438 | ||
| PPL WEM Holdings PLC, 5.375%, 5/01/2021 (n) | 250,000 | 256,729 | ||
| Star Energy Geothermal (Wayang Windu) Ltd., 6.75%, 4/24/2033 (n) | 888,632 | 873,823 | ||
| TerraForm Global Operating LLC, 6.125%, 3/01/2026 (n) | 35,000 | 33,688 | ||
| Virginia Electric & Power Co., 3.5%, 3/15/2027 | 475,000 | 472,571 | ||
| $ 11,589,874 | ||||
| Total Bonds | $ 487,426,677 | |||
| Common Stocks – 0.2% | ||||
| Energy - Independent – 0.1% | ||||
| Frontera Energy Corp. | 16,354 | $ 155,841 | ||
| Oil Services – 0.1% | ||||
| LTRI Holdings LP (a)(u) | 615 | $ 546,993 | ||
| Total Common Stocks | $ 702,834 | |||
14
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||
| Floating Rate Loans – 0.2% | ||||
| Conglomerates – 0.0% | ||||
| Gates Global LLC, Term Loan B2, 5.243%, 4/01/2024 | $ | 119,697 | $ 119,123 | |
| Medical & Health Technology & Services – 0.2% | ||||
| DaVita, Inc., Term Loan B, 5.243%, 6/24/2021 | $ | 548,788 | $ 547,645 | |
| Total Floating Rate Loans | $ 666,768 | |||
| Convertible Bonds – 0.0% | ||||
| Cable TV – 0.0% | ||||
| DISH Network Corp., 3.375%, 8/15/2026 | $ | 220,000 | $ 188,958 | |
| Municipal Bonds – 0.0% | ||||
| Municipals – 0.0% | ||||
| Commonwealth of Puerto Rico, Public Improvement, “C-7”, 6%, 7/01/2027 | $ | 20,000 | $ 20,430 | |
| Utilities - Municipal Owned – 0.0% | ||||
| Puerto Rico Electric Power Authority Rev., “PP”, 5%, 7/01/2022 | $ | 95,000 | $ 95,646 | |
| Total Municipal Bonds | $ 116,076 | |||
| Strike
Price |
First
Exercise |
|||
| Warrants – 0.0% | ||||
| Forest & Paper Products – 0.0% | ||||
| Appvion Holdings Corp. - Tranche A (1 share for 1 warrant) (a) | $27.17 | 8/24/18 | 274 | $ 274 |
| Appvion Holdings Corp. - Tranche B (1 share for 1 warrant) (a) | 31.25 | 8/24/18 | 274 | 137 |
| Total Warrants | $ 411 | |||
| Investment Companies (h) – 0.7% | ||||
| Money Market Funds – 0.7% | ||||
| MFS Institutional Money Market Portfolio, 2.49% (v) | 2,649,087 | $ 2,649,087 | ||
| Underlying/Expiration Date/Exercise Price | Put/Call | Counterparty | Notional
Amount |
Par
Amount/ Number of Contracts |
|
| Purchased Options – 0.0% | |||||
| Market Index Securities – 0.0% | |||||
| Markit iTraxx Europe Index – April 2019 @ EUR 85 | Put | Merrill Lynch International | $13,695,363 | EUR 11,800,000 | $4,056 |
| Written Options (see table below) – 0.0% | ||||
| (Premiums Received, $7,946) | $ (2,220) | |||
| Other Assets, Less Liabilities – (23.4)% | (93,371,248) | |||
| Net Assets – 100.0% | $398,381,399 | |||
| (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. |
| (h) | An affiliated issuer, which 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 $2,649,087 and $489,105,780, 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 $177,137,020, representing 44.5% of net assets. |
| (p) | Payment-in-kind (PIK) security for which interest income may be received in additional securities and/or cash. |
| (u) | The security was valued using significant unobservable inputs and is considered level 3 under the fair value hierarchy. |
15
Portfolio of Investments (unaudited) – continued
| (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 |
| Afren PLC, 10.25%, 4/08/2019 | 3/01/12-4/02/13 | $482,712 | $370 |
| Ascend Learning LLC, 6.875%, 8/01/2025 | 2/12/19-2/13/19 | 427,486 | 436,100 |
| Bayview Financial Revolving Mortgage Loan Trust, FLR, 4.093% (LIBOR - 1mo. + 1.6%), 12/28/2040 | 3/01/06 | 344,030 | 320,054 |
| CFX Escrow Corp., 6%, 2/15/2024 | 1/31/19 | 130,000 | 134,225 |
| Constellation Merger Sub, Inc., 8.5%, 9/15/2025 | 1/29/19-1/30/19 | 192,210 | 191,500 |
| Core & Main LP, 6.125%, 8/15/2025 | 1/04/19-2/15/19 | 574,992 | 582,313 |
| Dryden Senior Loan Fund, 2013-26A, “AR”, CLO, FLR, 3.687% (LIBOR - 3mo. + 0.9%), 4/15/2029 | 4/09/18 | 592,000 | 586,099 |
| Enel Finance International N.V., 3.5%, 4/06/2028 | 10/02/18 | 176,295 | 179,021 |
| Energizer Holdings, Inc., 7.75%, 1/15/2027 | 1/17/19 | 35,000 | 37,275 |
| Flagship CLO, 2014-8A, “BRR”, FLR, 4.178% (LIBOR - 3mo. + 1.4%), 1/16/2026 | 2/07/19 | 1,135,439 | 1,134,211 |
| HarbourView CLO VII Ltd., 7RA, “B”, FLR, 4.48% (LIBOR - 3mo. + 1.7%), 7/18/2031 | 5/17/18 | 940,000 | 924,264 |
| Hellenic Republic, 3.45%, 4/02/2024 | 1/29/19 | 1,476,535 | 1,520,636 |
| Marriot Ownership Resorts, Inc., 5.625%, 4/15/2023 | 8/30/18 | 875,334 | 861,300 |
| Takeda Pharmaceutical Co. Ltd., 1.125%, 11/21/2022 | 11/15/18 | 180,680 | 184,204 |
| Takeda Pharmaceutical Co. Ltd., 2.25%, 11/21/2026 | 11/15/18 | 113,184 | 118,372 |
| TEGNA, Inc., 5.5%, 9/15/2024 | 2/28/19 | 223,594 | 222,469 |
| Total Restricted Securities | $7,432,413 | ||
| % of Net assets | 1.9% |
| The following abbreviations are used in this report and are defined: | |
| CDO | Collateralized Debt Obligation |
| CJSC | Closed Joint Stock Company |
| CLO | Collateralized Loan Obligation |
| CMT | Constant Maturity Treasury |
| EURIBOR | Euro Interbank Offered Rate |
| 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. All reference rates are USD unless otherwise noted. |
| JSC | Joint Stock Company |
| LIBOR | London Interbank Offered Rate |
| PLC | Public Limited Company |
| REIT | Real Estate Investment Trust |
| TIPS | Treasury Inflation Protected Security |
| 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 |
| HKD | Hong Kong Dollar |
| IDR | Indonesian Rupiah |
| JPY | Japanese Yen |
| KRW | South Korean Won |
| MXN | Mexican Peso |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| PHP | Philippine Peso |
| SEK | Swedish Krona |
| SGD | Singapore Dollar |
| TRY | Turkish Lira |
| ZAR | South African Rand |
16
Portfolio of Investments (unaudited) – continued
| Derivative Contracts at 2/28/19 | |||||||
| Written Options | |||||||
| Underlying | Put/Call | Counterparty | Par
Amount/ Number of Contracts |
Notional
Amount |
Exercise
Price |
Expiration
Date |
Value |
| Liability Derivatives | |||||||
| Market Index Securities | |||||||
| Markit iTraxx Europe Index | Put | Merrill Lynch International | EUR (11,800,000) | $(13,695,363) | EUR 100 | April – 2019 | $(2,220) |
| Forward Foreign Currency Exchange Contracts | ||||||
| Currency
Purchased |
Currency
Sold |
Counterparty | Settlement
Date |
Unrealized
Appreciation (Depreciation) | ||
| Asset Derivatives | ||||||
| CAD | 5,470,627 | USD | 4,130,151 | Citibank N.A. | 4/12/2019 | $31,233 |
| CAD | 4,646,430 | USD | 3,506,872 | JPMorgan Chase Bank N.A. | 4/12/2019 | 27,563 |
| EUR | 280,892 | USD | 319,648 | Citibank N.A. | 4/12/2019 | 903 |
| EUR | 860,072 | USD | 978,878 | JPMorgan Chase Bank N.A. | 4/12/2019 | 2,625 |
| GBP | 328,368 | USD | 424,076 | Brown Brothers Harriman | 4/12/2019 | 12,326 |
| GBP | 1,209,216 | USD | 1,602,350 | Citibank N.A. | 4/12/2019 | 4,705 |
| GBP | 1,500,000 | USD | 1,972,339 | Goldman Sachs International | 4/12/2019 | 21,168 |
| GBP | 220,427 | USD | 285,320 | UBS AG | 4/12/2019 | 7,629 |
| NZD | 1,478,000 | USD | 1,006,315 | JPMorgan Chase Bank N.A. | 4/12/2019 | 1,004 |
| PHP | 105,000,000 | USD | 2,016,594 | Barclays Bank PLC | 4/26/2019 | 5,322 |
| SGD | 2,141 | USD | 1,583 | JPMorgan Chase Bank N.A. | 4/12/2019 | 2 |
| TRY | 13,297,000 | USD | 2,371,353 | Goldman Sachs International | 4/12/2019 | 60,443 |
| USD | 118,202 | AUD | 165,000 | Brown Brothers Harriman | 4/12/2019 | 1,083 |
| USD | 3,153,682 | AUD | 4,408,062 | Deutsche Bank AG | 4/12/2019 | 24,795 |
| USD | 1,569,406 | AUD | 2,205,420 | JPMorgan Chase Bank N.A. | 4/12/2019 | 3,976 |
| USD | 1,443,850 | CAD | 1,892,326 | JPMorgan Chase Bank N.A. | 4/12/2019 | 4,400 |
| USD | 594,717 | EUR | 513,298 | Citibank N.A. | 4/12/2019 | 8,948 |
| USD | 4,736,250 | EUR | 4,100,025 | Deutsche Bank AG | 4/12/2019 | 57,350 |
| USD | 46,475,352 | EUR | 40,169,989 | Goldman Sachs International | 4/12/2019 | 633,848 |
| USD | 7,063,915 | EUR | 6,144,544 | JPMorgan Chase Bank N.A. | 4/12/2019 | 51,838 |
| USD | 4,978,740 | EUR | 4,337,752 | NatWest Markets PLC | 4/12/2019 | 28,549 |
| USD | 286,503 | EUR | 250,000 | UBS AG | 4/12/2019 | 1,205 |
| USD | 297,948 | JPY | 32,087,000 | Citibank N.A. | 4/12/2019 | 9,185 |
| USD | 38,871 | JPY | 4,208,061 | Goldman Sachs International | 4/12/2019 | 1,001 |
| USD | 9,666,045 | JPY | 1,044,472,303 | JPMorgan Chase Bank N.A. | 4/12/2019 | 266,435 |
| USD | 394,377 | JPY | 43,380,143 | UBS AG | 4/12/2019 | 3,983 |
| USD | 417,437 | NOK | 3,549,259 | JPMorgan Chase Bank N.A. | 4/12/2019 | 1,935 |
| USD | 158,170 | NZD | 230,000 | Goldman Sachs International | 4/12/2019 | 1,415 |
| USD | 1,984,479 | SEK | 17,723,000 | JPMorgan Chase Bank N.A. | 4/12/2019 | 59,657 |
| USD | 2,008,890 | ZAR | 27,976,000 | Deutsche Bank AG | 4/12/2019 | 33,021 |
| $1,367,547 | ||||||
| Liability Derivatives | ||||||
| AUD | 72,000 | USD | 52,256 | Deutsche Bank AG | 4/12/2019 | $(1,150) |
| AUD | 12,530 | USD | 8,916 | JPMorgan Chase Bank N.A. | 4/12/2019 | (22) |
| CAD | 1,295,000 | USD | 986,678 | JPMorgan Chase Bank N.A. | 4/12/2019 | (1,600) |
| CAD | 1,405,000 | USD | 1,070,516 | Merrill Lynch International | 4/12/2019 | (1,764) |
| CHF | 11,082 | USD | 11,401 | UBS AG | 4/12/2019 | (256) |
| DKK | 31,438 | USD | 4,850 | NatWest Markets PLC | 4/12/2019 | (41) |
| EUR | 248,646 | USD | 286,556 | Barclays Bank PLC | 4/12/2019 | (2,804) |
| EUR | 1,178,436 | USD | 1,359,843 | Brown Brothers Harriman | 4/12/2019 | (15,028) |
| EUR | 2,567,902 | USD | 2,942,103 | Citibank N.A. | 4/12/2019 | (11,643) |
17
Portfolio of Investments (unaudited) – continued
| Forward Foreign Currency Exchange Contracts − continued | ||||||
| Currency
Purchased |
Currency
Sold |
Counterparty | Settlement
Date |
Unrealized
Appreciation (Depreciation) | ||
| Liability Derivatives − continued | ||||||
| EUR | 1,324,225 | USD | 1,516,534 | Deutsche Bank AG | 4/12/2019 | $(5,346) |
| EUR | 3,792,694 | USD | 4,344,503 | JPMorgan Chase Bank N.A. | 4/12/2019 | (16,326) |
| EUR | 315,229 | USD | 365,179 | NatWest Markets PLC | 4/12/2019 | (5,444) |
| HKD | 147,000 | USD | 18,814 | Deutsche Bank AG | 4/12/2019 | (63) |
| JPY | 164,623,793 | USD | 1,529,243 | Citibank N.A. | 4/12/2019 | (47,730) |
| KRW | 18,240,500 | USD | 16,326 | JPMorgan Chase Bank N.A. | 3/11/2019 | (105) |
| NOK | 8,300,000 | USD | 988,256 | Citibank N.A. | 4/12/2019 | (16,596) |
| NOK | 8,391,000 | USD | 988,886 | Goldman Sachs International | 4/12/2019 | (6,574) |
| SEK | 18,017,000 | USD | 2,036,924 | JPMorgan Chase Bank N.A. | 4/12/2019 | (80,172) |
| ZAR | 13,198,000 | USD | 987,362 | Goldman Sachs International | 4/12/2019 | (55,223) |
| ZAR | 27,976,682 | USD | 1,990,639 | UBS AG | 4/12/2019 | (14,721) |
| USD | 1,018,353 | AUD | 1,437,000 | NatWest Markets PLC | 4/12/2019 | (1,644) |
| USD | 18,375,727 | CAD | 24,428,572 | Citibank N.A. | 4/12/2019 | (206,541) |
| USD | 696,539 | EUR | 612,520 | Deutsche Bank AG | 4/12/2019 | (2,461) |
| USD | 283,842 | EUR | 250,000 | Goldman Sachs International | 4/12/2019 | (1,455) |
| USD | 250,087 | EUR | 219,894 | JPMorgan Chase Bank N.A. | 4/12/2019 | (853) |
| USD | 398,920 | EUR | 350,000 | State Street Bank Corp. | 4/12/2019 | (496) |
| USD | 117,103 | EUR | 103,000 | UBS AG | 4/12/2019 | (440) |
| USD | 7,004,885 | GBP | 5,461,813 | JPMorgan Chase Bank N.A. | 4/12/2019 | (253,893) |
| USD | 412,817 | GBP | 318,933 | NatWest Markets PLC | 4/12/2019 | (11,047) |
| USD | 763,742 | GBP | 580,000 | UBS AG | 4/12/2019 | (7,081) |
| USD | 20,963 | MXN | 408,735 | JPMorgan Chase Bank N.A. | 4/12/2019 | (107) |
| USD | 951,565 | NZD | 1,405,570 | Goldman Sachs International | 4/12/2019 | (6,390) |
| USD | 1,399,840 | TRY | 8,099,000 | NatWest Markets PLC | 4/12/2019 | (81,330) |
| $ (856,346) | ||||||
| Futures Contracts | ||||||
| Description | Long/
Short |
Currency | Contracts | Notional
Amount |
Expiration
Date |
Value/Unrealized
Appreciation (Depreciation) |
| Asset Derivatives | ||||||
| Interest Rate Futures | ||||||
| German Euro-Buxl 30 yr | Long | EUR | 4 | $837,345 | March – 2019 | $18,767 |
| Long Gilt 10 yr | Short | GBP | 3 | 500,524 | June – 2019 | 5,799 |
| U.S. Treasury Bond 30 yr | Short | USD | 1 | 144,469 | June – 2019 | 1,434 |
| U.S. Treasury Note 10 yr | Short | USD | 487 | 59,414,000 | June – 2019 | 312,843 |
| $ 338,843 | ||||||
| Liability Derivatives | ||||||
| Interest Rate Futures | ||||||
| German Euro-Bobl 5 yr | Short | EUR | 204 | $30,796,306 | March – 2019 | $(80,102) |
| German Euro-Bund 10 yr | Short | EUR | 56 | 10,529,778 | March – 2019 | (182,940) |
| U.S. Treasury Note 2 yr | Long | USD | 37 | 7,851,227 | June – 2019 | (8,224) |
| U.S. Treasury Note 5 yr | Long | USD | 7 | 801,937 | June – 2019 | (2,157) |
| U.S. Treasury Ultra Bond | Long | USD | 29 | 4,628,219 | June – 2019 | (75,259) |
| U.S. Treasury Ultra Note 10 yr | Long | USD | 35 | 4,530,859 | June – 2019 | (31,361) |
| $(380,043) | ||||||
At February 28, 2019, the fund had
cash collateral of $350,000 and other liquid securities with an aggregate value of $903,551 to cover any collateral or margin obligations 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.
18
Supplemental Information
2/28/19 (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. In determining values, 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).
19
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, such as futures contracts, forward foreign currency exchange contracts, and
written options. The following is a summary of the levels used as of February 28, 2019 in valuing the fund's assets or liabilities:
| Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
| Equity Securities: | ||||
| United States | $— | $411 | $546,993 | $547,404 |
| Colombia | — | 155,841 | — | 155,841 |
| Germany | — | 4,056 | — | 4,056 |
| U.S. Treasury Bonds & U.S. Government Agency & Equivalents | — | 65,588,294 | — | 65,588,294 |
| Non-U.S. Sovereign Debt | — | 109,416,163 | — | 109,416,163 |
| Municipal Bonds | — | 716,867 | — | 716,867 |
| U.S. Corporate Bonds | — | 209,888,633 | — | 209,888,633 |
| Residential Mortgage-Backed Securities | — | 9,772,069 | — | 9,772,069 |
| Commercial Mortgage-Backed Securities | — | 1,935,983 | — | 1,935,983 |
| Asset-Backed Securities (including CDOs) | — | 9,676,374 | — | 9,676,374 |
| Foreign Bonds | — | 80,737,328 | — | 80,737,328 |
| Floating Rate Loans | — | 666,768 | — | 666,768 |
| Mutual Funds | 2,649,087 | — | — | 2,649,087 |
| Total | $2,649,087 | $488,558,787 | $546,993 | $491,754,867 |
| Other Financial Instruments | ||||
| Futures Contracts - Assets | $338,843 | $— | $— | $338,843 |
| Futures Contracts - Liabilities | (380,043) | — | — | (380,043) |
| Forward Foreign Currency Exchange Contracts - Assets | — | 1,367,547 | — | 1,367,547 |
| Forward Foreign Currency Exchange Contracts - Liabilities | — | (856,346) | — | (856,346) |
| Written Options - Liabilities | — | (2,220) | — | (2,220) |
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 table presents the activity of level 3 securities held at the beginning and the end of the period.
| Equity Securities | |
| Balance as of 11/30/18 | $546,993 |
| Change in unrealized appreciation or depreciation | 0 |
| Balance as of 2/28/19 | $546,993 |
The net change in unrealized
appreciation or depreciation from investments held as level 3 at February 28, 2019 is $0. At February 28, 2019, the fund held one level 3 security.
(2) 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 affiliated issuers:
| Affiliated Issuers | Beginning
Shares/Par Amount |
Acquisitions
Shares/Par Amount |
Dispositions
Shares/Par Amount |
Ending
Shares/Par Amount |
| MFS Institutional Money Market Portfolio | 11,623,832 | 29,947,514 | (38,922,259) | 2,649,087 |
| Affiliated Issuers | Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Capital
Gain Distributions |
Dividend
Income |
Ending
Value |
| MFS Institutional Money Market Portfolio | $361 | $(912) | $— | $46,415 | $2,649,087 |
20
| 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 as EX-99.CERT.
Notice
A copy of the Amended and Restated Declaration of Trust, as amended, of the Registrant is on file with the Secretary of State of The Commonwealth of Massachusetts and notice is hereby given that this instrument is executed on behalf of the Registrant by an officer of the Registrant as an officer and not individually and the obligations of or arising out of this instrument are not binding upon any of the Trustees or shareholders individually, but are binding only upon the assets and property of the respective constituent series of the Registrant.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: MFS CHARTER INCOME TRUST
| By (Signature and Title)* | DAVID L. DILORENZO | |
| David L. DiLorenzo, President |
Date: April 16, 2019
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 16, 2019
| By (Signature and Title)* | JAMES O. YOST | |
| James O. Yost, Treasurer (Principal Financial Officer and Accounting Officer) |
Date: April 16, 2019
| * | Print name and title of each signing officer under his or her signature. |