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, 2018

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ITEM 1.

SCHEDULE OF INVESTMENTS.

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Quarterly Report

February 28, 2018

 

 

MFS® Charter Income Trust

 

 

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PORTFOLIO OF INVESTMENTS

2/28/18 (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 - 120.1%
Aerospace - 1.3%
Dae Funding LLC, 5%, 8/01/2024 (n)		$	1,535,000			$	1,500,463
Huntington Ingalls Industries, Inc., 3.483%, 12/01/2027 (n)			140,000				135,598
KLX, Inc., 5.875%, 12/01/2022 (n)			1,530,000				1,575,900
Lockheed Martin Corp., 3.55%, 1/15/2026			263,000				263,003
TransDigm, Inc., 6%, 7/15/2022			820,000				839,471
TransDigm, Inc., 6.5%, 7/15/2024			925,000				953,906
TransDigm, Inc., 6.375%, 6/15/2026			465,000				475,463
						$	5,743,804
Airlines - 0.2%
Ryanair Ltd., 1.125%, 3/10/2023		EUR	775,000			$	963,313
Apparel Manufacturers - 0.1%
Coach, Inc., 4.125%, 7/15/2027		$	385,000			$	376,483
Asset-Backed & Securitized - 2.3%
Bayview Financial Revolving Mortgage Loan Trust, FLR, 3.166% (LIBOR-1mo. + 1.6%), 12/28/2040 (z)		$	441,196			$	395,777
Chesapeake Funding II LLC, 2016-1A, “A2”, FLR, 2.737% (LIBOR-1mo. + 1.15%), 3/15/2028 (n)			930,586				934,055
Commercial Mortgage Trust, 2015-DC1, “A5”, 3.35%, 2/10/2048			500,000				494,134
Crest Ltd., CDO, 7% (0.001% cash or 7% PIK) 1/28/2040 (a)(p)			3,424,498				383,544
Dryden Senior Loan Fund, 2013-26A, “A”, CLO, FLR, 2.821% (LIBOR-3mo. + 1.1%), 7/15/2025 (n)			592,059				592,200
Dryden Senior Loan Fund, 2014-34A, “CR”, CLO, FLR, 3.871% (LIBOR-3mo. + 2.15%), 10/15/2026 (n)			255,098				256,704
First Union-Lehman Brothers Bank of America, 1.131%, 11/18/2035 (i)			1,004,482				17,707
Flatiron CLO Ltd., 2013-1A, “A2R”, FLR, 3.381% (LIBOR-3mo. + 1.65%), 1/17/2026 (n)			929,626				932,476
HarbourView CLO VII Ltd., “B1R”, FLR, 3.522% (LIBOR-3mo. + 1.65%), 11/18/2026 (n)			940,012				939,965
JPMorgan Chase Commercial Mortgage Trust, 2007-LD11, “AM”, 6.04%, 6/15/2049			673,956				683,299
Loomis, Sayles & Co., CLO, “A1”, FLR, 3.251% (LIBOR-3mo. + 1.53%), 10/15/2027 (n)			2,526,150				2,546,616
Octagon Investment Partners XVII Ltd., 2013-1A, “BR2”, FLR, 3.07% (LIBOR-3mo. + 1.4%), 1/25/2031 (z)			1,050,000				1,050,000
Wells Fargo Commercial Mortgage Trust, 2015-NXS1, “A5”, 3.148%, 5/15/2048			768,632				755,020
						$	9,981,497
Automotive - 1.2%
Allison Transmission, Inc., 5%, 10/01/2024 (n)		$	2,006,000			$	2,033,583
Ferrari N.V., 1.5%, 3/16/2023		EUR	350,000				435,600
General Motors Financial Co., Inc., 3.45%, 4/10/2022		$	256,000				254,310
General Motors Financial Co., Inc., 4.35%, 1/17/2027			129,000				128,641
IHO Verwaltungs GmbH, 4.75% (4.75% cash or 5.5% PIK) 9/15/2026 (n)(p)			1,230,000				1,186,950
Lear Corp., 3.8%, 9/15/2027			127,000				122,820
RCI Banque S.A., 1%, 5/17/2023		EUR	600,000				740,664
Volkswagen Bank GmbH, 0.75%, 6/15/2023		EUR	140,000				169,921
Volkswagen International Finance N.V., 2.7% to 12/14/2022, FLR to 12/31/2099		EUR	100,000				125,320
Volkswagen Leasing GmbH, 1.375%, 1/20/2025		EUR	240,000				295,535
						$	5,493,344
Banks & Diversified Financials (Covered Bonds) - 0.1%
CaixaBank S.A., 1.125%, 1/12/2023		EUR	200,000			$	244,200
Broadcasting - 2.3%
Liberty Media Corp. - Liberty Formula One, 8.5%, 7/15/2029		$	720,000			$	786,600
Liberty Media Corp. - Liberty Formula One, 8.25%, 2/01/2030			395,000				426,600
Match Group, Inc., 6.375%, 6/01/2024			1,195,000				1,292,094
Meredith Corp., 6.875%, 2/01/2026 (n)			825,000				850,781

 

1

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Broadcastings - continued
Netflix, Inc., 5.875%, 2/15/2025		$	1,385,000			$	1,463,405
Netflix, Inc., 4.375%, 11/15/2026			400,000				384,000
Netflix, Inc., 3.625%, 5/15/2027		EUR	775,000				949,906
Netflix, Inc., 4.875%, 4/15/2028 (n)		$	325,000				319,313
ProSiebenSat.1 Media AG, 2.625%, 4/15/2021		EUR	240,000				308,595
RELX Finance B.V., 1%, 3/22/2024		EUR	150,000				184,678
Sinclair Television Group Co., 5.125%, 2/15/2027 (n)		$	1,385,000				1,331,331
WMG Acquisition Corp., 5%, 8/01/2023 (n)			210,000				212,888
WMG Acquisition Corp., 4.875%, 11/01/2024 (n)			1,435,000				1,447,556
WMG Acquisition Corp., 5.5%, 4/15/2026 (z)			225,000				225,000
						$	10,182,747
Brokerage & Asset Managers - 0.2%
E*TRADE Financial Corp., 2.95%, 8/24/2022		$	199,000			$	193,880
Intercontinental Exchange, Inc., 2.75%, 12/01/2020			178,000				177,361
Intercontinental Exchange, Inc., 3.75%, 12/01/2025			292,000				295,470
TD Ameritrade Holding Corp., 3.3%, 4/01/2027			282,000				275,099
						$	941,810
Building - 3.4%
ABC Supply Co., Inc., 5.75%, 12/15/2023 (n)		$	1,680,000			$	1,751,400
Beacon Escrow Corp., 4.875%, 11/01/2025 (n)			840,000				819,252
Beacon Roofing Supply, Inc., 6.375%, 10/01/2023			1,435,000				1,530,069
Elementia S.A. de C.V., 5.5%, 1/15/2025 (n)			210,000				214,200
Gibraltar Industries, Inc., 6.25%, 2/01/2021			1,045,000				1,059,369
HD Supply, Inc., 5.75%, 4/15/2024 (n)			1,125,000				1,179,844
Imerys S.A., 1.5%, 1/15/2027		EUR	200,000				245,068
James Hardie International Finance Ltd., 4.75%, 1/15/2025 (n)		$	205,000				202,950
James Hardie International Finance Ltd., 5%, 1/15/2028 (n)			930,000				920,700
Martin Marietta Materials, Inc., 3.45%, 6/01/2027			133,000				127,501
Martin Marietta Materials, Inc., 3.5%, 12/15/2027			179,000				171,941
Mohawk Industries, Inc., 3.85%, 2/01/2023			134,000				136,535
New Enterprise Stone & Lime Co., Inc., 10.125%, 4/01/2022 (n)			1,115,000				1,208,381
Owens Corning, 4.4%, 1/30/2048			175,000				163,632
PriSo Acquisition Corp., 9%, 5/15/2023 (n)			740,000				780,700
Standard Industries, Inc., 5.375%, 11/15/2024 (n)			1,760,000				1,799,600
Standard Industries, Inc., 6%, 10/15/2025 (n)			835,000				881,969
Summit Materials LLC/Summit Materials Finance Co., 6.125%, 7/15/2023			1,015,000				1,045,450
Union Andina de Cementos S.A.A., 5.875%, 10/30/2021 (n)			492,000				506,760
						$	14,745,321
Business Services - 2.9%
Alliance Data Systems Corp., 5.875%, 11/01/2021 (n)		$	1,500,000			$	1,533,750
Alliance Data Systems Corp., 5.375%, 8/01/2022 (n)			685,000				687,569
Ascend Learning LLC, 6.875%, 8/01/2025 (n)			670,000				690,100
CDK Global, Inc., 4.875%, 6/01/2027 (n)			1,725,000				1,711,545
Cisco Systems, Inc., 2.2%, 2/28/2021			350,000				343,710
Equinix, Inc., 5.375%, 1/01/2022			305,000				316,056
Equinix, Inc., 5.375%, 4/01/2023			1,425,000				1,462,406
Equinix, Inc., 5.75%, 1/01/2025			202,000				211,090
Equinix, Inc., 5.875%, 1/15/2026			490,000				513,275
Fidelity National Information Services, Inc., 3.875%, 6/05/2024			146,000				148,439
Fidelity National Information Services, Inc., 5%, 10/15/2025			39,000				41,805
Fidelity National Information Services, Inc., 3%, 8/15/2026			267,000				249,925
First Data Corp., 5%, 1/15/2024 (n)			2,055,000				2,067,844

 

2

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Business Services - continued
MSCI, Inc., 4.75%, 8/01/2026 (n)		$	1,045,000			$	1,037,163
Tencent Holdings Ltd., 3.375%, 3/05/2018 (n)			449,000				449,034
Tencent Holdings Ltd., 3.595%, 1/19/2028 (n)			400,000				388,446
Vantiv LLC/Vantiv Issuer Corp., 4.375%, 11/15/2025 (n)			900,000				871,875
						$	12,724,032
Cable TV - 5.6%
Altice Financing S.A., 6.625%, 2/15/2023 (n)		$	1,290,000			$	1,288,388
Altice Financing S.A., 7.5%, 5/15/2026 (n)			340,000				342,550
Altice U.S. Finance I Corp., 5.5%, 5/15/2026 (n)			705,000				697,950
CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023 (n)			1,800,000				1,833,750
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 1/15/2024			1,745,000				1,775,538
CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025 (n)			470,000				471,763
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 2/15/2026 (n)			1,475,000				1,493,438
Charter Communications Operating LLC, 6.384%, 10/23/2035			217,000				245,016
Cox Communications, Inc., 4.6%, 8/15/2047 (n)			322,000				311,858
CSC Holdings LLC, 5.5%, 4/15/2027 (n)			1,395,000				1,374,075
DISH DBS Corp., 5%, 3/15/2023			905,000				831,469
DISH DBS Corp., 5.875%, 11/15/2024			845,000				792,188
Intelsat Jackson Holdings S.A., 5.5%, 8/01/2023			485,000				400,731
Intelsat Jackson Holdings S.A., 8%, 2/15/2024 (n)			245,000				257,250
Lynx II Corp., 6.375%, 4/15/2023 (n)			555,000				568,875
Shaw Communications, Inc., 5.65%, 10/01/2019		CAD	260,000				213,080
Sirius XM Radio, Inc., 4.625%, 5/15/2023 (n)		$	740,000				738,150
Sirius XM Radio, Inc., 6%, 7/15/2024 (n)			1,500,000				1,567,500
Sirius XM Radio, Inc., 5.375%, 4/15/2025 (n)			705,000				716,456
Sky PLC, 2.5%, 9/15/2026		EUR	250,000				330,238
Telenet Finance Lux S.A., 5.5%, 3/01/2028 (n)		$	1,200,000				1,158,000
Time Warner Cable, Inc., 4.5%, 9/15/2042			119,000				107,497
Unitymedia KabelBW GmbH, 6.125%, 1/15/2025 (n)			1,770,000				1,847,438
Videotron Ltd., 5.375%, 6/15/2024 (n)			350,000				362,250
Videotron Ltd., 5.125%, 4/15/2027 (n)			1,915,000				1,932,005
Virgin Media Finance PLC, 5.75%, 1/15/2025 (n)			200,000				196,500
Virgin Media Secured Finance PLC, 5.25%, 1/15/2026 (n)			1,100,000				1,078,000
VTR Finance B.V., 6.875%, 1/15/2024 (n)			480,000				500,400
Ziggo Bond Finance B.V., 5.875%, 1/15/2025 (n)			1,155,000				1,111,688
						$	24,544,041
Chemicals - 1.3%
Air Liquide Finance Co., 2.25%, 9/27/2023 (n)		$	261,000			$	247,471
Axalta Coating Systems Co., 4.875%, 8/15/2024 (n)			1,420,000				1,427,100
Consolidated Energy Finance S.A., 6.875%, 6/15/2025 (n)			610,000				640,500
GCP Applied Technologies Co., 9.5%, 2/01/2023 (n)			1,621,000				1,777,021
LYB International Finance Co., 1.875%, 3/02/2022		EUR	250,000				320,282
SPCM S.A., 4.875%, 9/15/2025 (n)		$	1,250,000				1,234,375
						$	5,646,749
Computer Software - 1.1%
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.02%, 6/15/2026 (n)		$	670,000			$	715,330
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.875%, 6/15/2021 (n)			1,100,000				1,124,750
Nuance Communications Co., 5.625%, 12/15/2026			675,000				683,438
Oracle Corp., 3.4%, 7/08/2024			251,000				251,554
VeriSign, Inc., 4.625%, 5/01/2023			1,465,000				1,475,988
VeriSign, Inc., 5.25%, 4/01/2025			250,000				256,875
VeriSign, Inc., 4.75%, 7/15/2027			345,000				336,375
						$	4,844,310

 

3

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Computer Software - Systems - 1.3%
Apple, Inc., 4.5%, 2/23/2036		$	417,000			$	454,552
Apple, Inc., 3.6%, 7/31/2042		GBP	130,000				210,587
Apple, Inc., 4.25%, 2/09/2047		$	84,000				86,569
CDW LLC/CDW Finance Corp., 5.5%, 12/01/2024			395,000				412,775
CDW LLC/CDW Finance Corp., 5%, 9/01/2025			695,000				700,213
JDA Software Group, Inc., 7.375%, 10/15/2024 (n)			1,105,000				1,151,963
Sabre GLBL, Inc., 5.375%, 4/15/2023 (n)			1,765,000				1,778,238
SS&C Technologies Holdings, Inc., 5.875%, 7/15/2023			945,000				989,888
						$	5,784,785
Conglomerates - 2.6%
Amsted Industries Co., 5%, 3/15/2022 (n)		$	2,335,000			$	2,381,700
Apex Tool Group LLC, 9%, 2/15/2023 (z)			820,000				817,950
EnerSys, 5%, 4/30/2023 (n)			1,965,000				2,009,213
Enpro Industries, Inc., 5.875%, 9/15/2022			1,340,000				1,388,977
Entegris, Inc., 4.625%, 2/10/2026 (n)			1,440,000				1,414,800
Gates Global LLC, 6%, 7/15/2022 (n)			436,000				443,630
Parker-Hannifin Corp., 4.1%, 3/01/2047			176,000				178,320
Smiths Group PLC, 2%, 2/23/2027		EUR	200,000				251,500
SPX FLOW, Inc., 5.625%, 8/15/2024 (n)		$	1,315,000				1,338,013
TriMas Corp., 4.875%, 10/15/2025 (n)			1,195,000				1,177,439
						$	11,401,542
Construction - 0.5%
Empresas ICA S.A.B. de C.V., 8.9%, 2/04/2021 (a)(d)		$	450,000			$	81,000
Empresas ICA S.A.B. de C.V., 8.875%, 5/29/2024 (a)(d)(n)			853,000				127,938
Mattamy Group Corp., 6.5%, 10/01/2025 (n)			1,135,000				1,186,075
Toll Bros. Finance Corp., 4.35%, 2/15/2028			940,000				888,300
						$	2,283,313
Consumer Products - 1.0%
Essity AB, 1.625%, 3/30/2027		EUR	300,000			$	372,239
Prestige Brands, Inc., 5.375%, 12/15/2021 (n)		$	1,180,000				1,181,475
Prestige Brands, Inc., 6.375%, 3/01/2024 (n)			695,000				712,375
Reckitt Benckiser Treasury Services PLC, 3.625%, 9/21/2023 (n)			250,000				250,282
Reckitt Benckiser Treasury Services PLC, 3%, 6/26/2027 (n)			272,000				252,181
Spectrum Brands, Inc., 6.125%, 12/15/2024			170,000				178,075
Spectrum Brands, Inc., 5.75%, 7/15/2025			1,335,000				1,375,050
						$	4,321,677
Consumer Services - 1.9%
G4S International Finance PLC, 1.5%, 1/09/2023		EUR	200,000			$	250,033
G4S International Finance PLC, 1.5%, 6/02/2024		EUR	200,000				245,615
Interval Acquisition Corp., 5.625%, 4/15/2023		$	2,175,000				2,240,250
Matthews International Corp., 5.25%, 12/01/2025 (n)			1,050,000				1,052,625
Priceline Group, Inc., 2.15%, 11/25/2022		EUR	110,000				143,316
Priceline Group, Inc., 1.8%, 3/03/2027		EUR	1,100,000				1,361,420
Priceline Group, Inc., 3.55%, 3/15/2028		$	141,000				135,017
Rentokil Initial PLC, 0.95%, 11/22/2024		EUR	180,000				215,515
Service Corp. International, 4.625%, 12/15/2027		$	850,000				830,875
ServiceMaster Co. LLC, 5.125%, 11/15/2024 (n)			685,000				674,725
Visa, Inc., 4.15%, 12/14/2035			234,000				246,641
Visa, Inc., 4.3%, 12/14/2045			300,000				318,455
West Corp., 8.5%, 10/15/2025 (n)			805,000				780,850
						$	8,495,337

 

4

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Containers - 3.0%
Berry Global Group, Inc., 5.5%, 5/15/2022		$	1,025,000			$	1,053,188
Berry Global Group, Inc., 6%, 10/15/2022			975,000				1,015,219
Berry Global Group, Inc., 5.125%, 7/15/2023			420,000				428,925
Crown American LLC, 4.5%, 1/15/2023			875,000				883,750
Crown Americas LLC/Crown Americas Capital Corp., 4.75%, 2/01/2026 (n)			445,000				438,325
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/2026			520,000				492,700
DS Smith PLC, 1.375%, 7/26/2024		EUR	300,000				366,447
Multi-Color Corp., 6.125%, 12/01/2022 (n)		$	1,321,000				1,360,630
Reynolds Group, 5.75%, 10/15/2020			494,245				501,659
Reynolds Group, 5.125%, 7/15/2023 (n)			1,200,000				1,222,500
Reynolds Group, 7%, 7/15/2024 (n)			535,000				563,422
San Miguel Industrias PET S.A., 4.5%, 9/18/2022 (n)			337,000				340,370
Sealed Air Corp., 4.875%, 12/01/2022 (n)			1,495,000				1,539,850
Sealed Air Corp., 5.125%, 12/01/2024 (n)			390,000				401,700
Sealed Air Corp., 5.5%, 9/15/2025 (n)			220,000				230,175
Signode Industrial Group, 6.375%, 5/01/2022 (n)			1,200,000				1,242,000
Silgan Holdings, Inc., 5.5%, 2/01/2022			75,000				76,406
Silgan Holdings, Inc., 4.75%, 3/15/2025			855,000				848,588
						$	13,005,854
Electrical Equipment - 0.5%
Arrow Electronics, Inc., 3.5%, 4/01/2022		$	173,000			$	171,685
CommScope Holding Company, Inc., 5.5%, 6/15/2024 (n)			390,000				397,313
CommScope Technologies LLC, 5%, 3/15/2027 (n)			1,795,000				1,751,247
						$	2,320,245
Electronics - 0.7%
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.875%, 1/15/2027		$	240,000			$	230,117
Sensata Technologies B.V., 5.625%, 11/01/2024 (n)			520,000				555,906
Sensata Technologies B.V., 5%, 10/01/2025 (n)			1,555,000				1,566,663
Tyco Electronics Group S.A., 2.375%, 12/17/2018			294,000				293,698
Tyco Electronics Group S.A., 1.1%, 3/01/2023		EUR	350,000				436,509
						$	3,082,893
Emerging Market Quasi-Sovereign - 1.8%
Abu Dhabi Crude Oil Pipeline, 4.6%, 11/02/2047 (n)		$	400,000			$	390,272
Bank of China (Luxembourg), FLR, 2.709% (U.S. LIBOR-3mo. + 1.00%), 7/12/2019			450,000				451,706
BPRL International Singapore Private Ltd., 4.375%, 1/18/2027			567,000				563,431
Empresa Nacional del Petroleo, 3.75%, 8/05/2026 (n)			207,000				200,094
Gaz Capital S.A., 7.288%, 8/16/2037			507,000				621,075
Kazakhstan Temir Zholy Finance B.V., 4.85%, 11/17/2027 (n)			451,000				450,727
Office Cherifien des Phosphates S.A., 6.875%, 4/25/2044 (n)			351,000				392,312
Pertamina, 6%, 5/03/2042 (n)			318,000				342,671
Pertamina PT, 6%, 5/03/2042			654,000				704,738
Petrobras Global Finance B.V., 6.125%, 1/17/2022			44,000				46,303
Petrobras Global Finance B.V., 7.375%, 1/17/2027			37,000				40,108
Petrobras Global Finance B.V., 5.75%, 2/01/2029			400,000				385,000
Petrobras International Finance Co., 6.75%, 1/27/2041			1,116,000				1,078,056
Petroleos del Peru S.A., 4.75%, 6/19/2032			200,000				195,500
Petroleos Mexicanos, 5.35%, 2/12/2028 (z)			33,000				32,439
Southern Gas Corridor CJSC, 6.875%, 3/24/2026			1,315,000				1,457,570
State Grid Overseas Investment (2016) Ltd., 2.75%, 5/04/2022 (n)			402,000				391,901
						$	7,743,903

 

5

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Emerging Market Sovereign - 5.2%
Dominican Republic, 7.5%, 5/06/2021 (n)		$	548,000			$	590,744
Dominican Republic, 8.625%, 4/20/2027			758,000				911,495
Dominican Republic, 6.5%, 2/15/2048 (z)			150,000				155,625
Federative Republic of Brazil, 4.625%, 1/13/2028			257,000				252,888
Government of Malaysia, 3.58%, 9/28/2018		MYR	8,500,000				2,175,768
Government of Ukraine, 7.75%, 9/01/2026		$	200,000				205,468
Government of Ukraine, 7.375%, 9/25/2032 (n)			231,000				224,121
Republic of Argentina, 5.625%, 1/26/2022			564,000				574,434
Republic of Argentina, 6.875%, 1/26/2027			115,000				116,841
Republic of Argentina, 5.875%, 1/11/2028			386,000				360,717
Republic of Argentina, 2.5% to 3/31/2019, 3.75% to 3/31/2029, 5.25% to 12/31/2038			353,000				234,745
Republic of Croatia, 5.5%, 4/04/2023 (n)			1,146,000				1,223,974
Republic of Hungary, 5.375%, 2/21/2023			446,000				482,349
Republic of Hungary, 7.625%, 3/29/2041			470,000				680,325
Republic of Indonesia, 11.625%, 3/04/2019 (n)			571,000				621,592
Republic of Indonesia, 2.875%, 7/08/2021 (z)		EUR	175,000				228,432
Republic of Indonesia, 3.375%, 4/15/2023 (n)		$	302,000				296,705
Republic of Indonesia, 2.15%, 7/18/2024 (z)		EUR	161,000				203,295
Republic of Indonesia, 4.125%, 1/15/2025 (n)		$	342,000				343,522
Republic of Indonesia, 4.125%, 1/15/2025			1,368,000				1,374,086
Republic of Indonesia, 4.625%, 4/15/2043			1,349,000				1,328,248
Republic of Panama, 9.375%, 4/01/2029			719,000				1,060,166
Republic of Paraguay, 6.1%, 8/11/2044 (n)			350,000				385,000
Republic of South Africa, 10.5%, 12/21/2026		ZAR	10,492,000				1,019,865
Republic of South Africa, 7%, 2/28/2031		ZAR	33,453,000				2,470,662
Republic of Sri Lanka, 6.125%, 6/03/2025		$	1,286,000				1,298,225
Republic of Sri Lanka, 6.85%, 11/03/2025			408,000				427,165
Republic of Turkey, 3.25%, 3/23/2023			633,000				590,273
Republic of Turkey, 4.875%, 10/09/2026			1,523,000				1,454,395
Republic of Turkey, 5.125%, 2/17/2028			200,000				190,988
Russian Federation, 4.875%, 9/16/2023 (n)			400,000				425,020
Russian Federation, 4.75%, 5/27/2026			800,000				838,976
						$	22,746,109
Energy - Independent - 5.2%
Afren PLC, 10.25%, 4/08/2019 (a)(d)(z)		$	451,812			$	1,694
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., 7.875%, 12/15/2024			1,315,000				1,400,475
Continental Resources, Inc., 4.5%, 4/15/2023			1,415,000				1,429,150
CrownRock LP/CrownRock Finance, Inc., 5.625%, 10/15/2025 (n)			1,365,000				1,337,700
Diamondback Energy, Inc., 5.375%, 5/31/2025			1,780,000				1,780,000
Diamondback Energy, Inc., 5.375%, 5/31/2025 (n)			490,000				490,000
Gulfport Energy Corp., 6%, 10/15/2024			1,140,000				1,120,050
Gulfport Energy Corp., 6.375%, 5/15/2025			685,000				675,581
Indigo Natural Resources LLC, 6.875%, 2/15/2026 (n)			1,060,000				1,036,383
Parsley Energy LLC/Parsley Finance Corp., 5.625%, 10/15/2027 (n)			1,785,000				1,770,497
PDC Energy, Inc., 6.125%, 9/15/2024			1,755,000				1,794,488
QEP Resources, Inc., 5.25%, 5/01/2023			1,490,000				1,478,825
QEP Resources, Inc., 5.625%, 3/01/2026			600,000				590,250
Seven Generations Energy, 6.75%, 5/01/2023 (n)			1,230,000				1,279,200
Seven Generations Energy, 5.375%, 9/30/2025 (n)			795,000				777,113
SM Energy Co., 6.75%, 9/15/2026			1,965,000				1,974,825
SRC Energy, Inc., 6.25%, 12/01/2025 (n)			850,000				858,500
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026			987,000				956,442
Whiting Petroleum Corp., 6.25%, 4/01/2023			570,000				577,125
WPX Energy, Inc., 6%, 1/15/2022			1,215,000				1,260,563
						$	22,588,861

 

6

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Energy - Integrated - 0.1%
LUKOIL International Finance B.V., 4.563%, 4/24/2023 (n)		$	544,000			$	556,516
Entertainment - 1.4%
Cedar Fair LP, 5.375%, 6/01/2024		$	405,000			$	415,631
Cedar Fair LP, 5.375%, 4/15/2027 (n)			735,000				744,188
Cinemark USA, Inc., 5.125%, 12/15/2022			1,430,000				1,451,450
Cinemark USA, Inc., 4.875%, 6/01/2023			1,150,000				1,142,813
Six Flags Entertainment Corp., 4.875%, 7/31/2024 (n)			2,315,000				2,309,421
						$	6,063,503
Financial Institutions - 2.0%
AerCap Ireland Capital Ltd., 3.65%, 7/21/2027		$	379,000			$	356,599
Aircastle Ltd., 5.125%, 3/15/2021			460,000				472,650
Aircastle Ltd., 5.5%, 2/15/2022			800,000				832,000
Nationstar Mortgage LLC/Capital Corp., 6.5%, 8/01/2018			615,000				618,844
Nationstar Mortgage LLC/Capital Corp., 7.875%, 10/01/2020			1,780,000				1,826,725
Nationstar Mortgage LLC/Capital Corp., 6.5%, 7/01/2021			405,000				413,861
Navient Corp., 7.25%, 1/25/2022			1,355,000				1,451,435
Navient Corp., 7.25%, 9/25/2023			545,000				579,063
Park Aerospace Holdings Ltd., 5.5%, 2/15/2024 (n)			2,330,000				2,341,650
						$	8,892,827
Food & Beverages - 3.3%
Anheuser-Busch InBev N.V., 1.5%, 4/18/2030		EUR	250,000			$	296,892
Anheuser-Busch InBev S.A., 6.875%, 11/15/2019		$	300,000				320,268
Anheuser-Busch InBev Worldwide, Inc., 4.7%, 2/01/2036			483,000				507,564
Aramark Services, Inc., 4.75%, 6/01/2026			1,290,000				1,273,875
Aramark Services, Inc., 5%, 2/01/2028 (n)			760,000				757,150
Asahi Group Holdings Ltd., 1.151%, 9/19/2025		EUR	150,000				181,646
Coca-Cola Enterprises, Inc., 1.875%, 3/18/2030		EUR	200,000				250,058
Cott Holdings, Inc., 5.5%, 4/01/2025 (n)		$	1,510,000				1,504,111
Danone S.A., 2.077%, 11/02/2021 (n)			236,000				227,678
Danone S.A., 2.589%, 11/02/2023 (n)			553,000				527,340
Gruma S.A.B. de C.V., 4.875%, 12/01/2024 (n)			202,000				211,595
JBS USA LLC/JBS USA Finance, Inc., 6.75%, 2/15/2028 (n)			215,000				212,893
JBS USA Lux S.A./JBS USA Finance, Inc., 5.875%, 7/15/2024 (n)			1,500,000				1,462,800
Kraft Heinz Foods Co., 5.2%, 7/15/2045			31,000				31,578
Kraft Heinz Foods Co., 4.375%, 6/01/2046			130,000				119,015
Lamb Weston Holdings, Inc., 4.625%, 11/01/2024 (n)			965,000				969,825
Lamb Weston Holdings, Inc., 4.875%, 11/01/2026 (n)			520,000				520,000
MARB BondCo PLC, 6.875%, 1/19/2025 (n)			400,000				382,000
Pilgrim’s Pride Corp., 5.875%, 9/30/2027 (n)			1,095,000				1,064,669
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.875%, 1/15/2024			1,430,000				1,492,563
U.S. Foods Holding Corp., 5.875%, 6/15/2024 (n)			1,590,000				1,649,625
Wm. Wrigley Jr. Co., 2.9%, 10/21/2019 (n)			107,000				107,408
Wm. Wrigley Jr. Co., 3.375%, 10/21/2020 (n)			300,000				303,665
						$	14,374,218
Forest & Paper Products - 0.0%
Appvion, Inc., 9%, 6/01/2020 (d)(n)		$	281,000			$	5,620
Gaming & Lodging - 1.7%
CCM Merger, Inc., 6%, 3/15/2022 (n)		$	815,000			$	823,623
GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/01/2023			1,045,000				1,089,413
GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026			145,000				149,713

 

7

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Gaming & Lodging - continued
Hilton Worldwide Finance LLC, 4.625%, 4/01/2025		$	1,260,000			$	1,264,725
InterContinental Hotels Group PLC, 3.75%, 8/14/2025		GBP	100,000				146,683
MGM Resorts International, 6.625%, 12/15/2021		$	825,000				891,454
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2021			1,375,000				1,380,156
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2023			725,000				728,625
Wynn Macau Ltd., 4.875%, 10/01/2024 (n)			540,000				529,200
Wynn Macau Ltd., 5.5%, 10/01/2027 (n)			615,000				605,591
						$	7,609,183
Industrial - 0.5%
Cleaver-Brooks, Inc., 7.875%, 3/01/2023 (n)		$	855,000			$	902,025
KAR Auction Services, Inc., 5.125%, 6/01/2025 (n)			1,480,000				1,491,100
						$	2,393,125
Insurance - 0.2%
American International Group, Inc., 1.875%, 6/21/2027		EUR	110,000			$	135,037
AssuredPartners, Inc., 7%, 8/15/2025 (n)		$	810,000				828,225
						$	963,262
Insurance - Health - 0.6%
Aetna, Inc., 2.8%, 6/15/2023		$	317,000			$	303,931
Centene Corp., 5.625%, 2/15/2021			410,000				419,738
Centene Corp., 6.125%, 2/15/2024			1,180,000				1,239,000
UnitedHealth Group, Inc., 2.7%, 7/15/2020			528,000				527,496
						$	2,490,165
Insurance - Property & Casualty - 0.5%
Berkshire Hathaway, Inc., 2.75%, 3/15/2023		$	234,000			$	229,651
Chubb INA Holdings, Inc., 2.3%, 11/03/2020			95,000				93,919
Chubb INA Holdings, Inc., 2.875%, 11/03/2022			221,000				219,140
Liberty Mutual Group, Inc., 4.25%, 6/15/2023			365,000				375,526
Liberty Mutual Group, Inc., 2.75%, 5/04/2026 (z)		EUR	100,000				132,934
Liberty Mutual Group, Inc., 2.75%, 5/04/2026		EUR	100,000				132,934
Marsh & McLennan Cos., Inc., 3.5%, 6/03/2024		$	159,000				159,482
Marsh & McLennan Cos., Inc., 4.35%, 1/30/2047			131,000				135,080
QBE Capital Funding III Ltd., 7.5% to 5/24/2021, FLR to 5/24/2041		GBP	200,000				307,975
XLIT Ltd., 3.25% to 6/29/2027, FLR to 6/29/2047		EUR	230,000				286,914
						$	2,073,555
International Market Quasi-Sovereign - 0.1%
Bank of Iceland, 1.75%, 9/07/2020		EUR	300,000			$	379,615
International Market Sovereign - 13.6%
Commonwealth of Australia, 5.75%, 5/15/2021		AUD	2,319,000			$	2,001,303
Commonwealth of Australia, 5.5%, 4/21/2023		AUD	2,640,000				2,354,135
Commonwealth of Australia, 2.75%, 11/21/2027		AUD	1,031,000				797,865
Commonwealth of Australia, 3.75%, 4/21/2037		AUD	197,000				164,574
Federal Republic of Germany, 2.5%, 8/15/2046		EUR	195,000				307,269
Government of Canada, 3.25%, 6/01/2021		CAD	187,000				151,801
Government of Canada, 0.5%, 3/01/2022		CAD	200,000				147,081
Government of Canada, 2.5%, 6/01/2024		CAD	2,000,000				1,592,675
Government of Canada, 1.5%, 6/01/2026		CAD	1,148,000				846,489
Government of Canada, 5.75%, 6/01/2033		CAD	948,000				1,059,792
Government of Canada, 4%, 6/01/2041		CAD	925,000				924,373
Government of Japan, 0.8%, 6/20/2023		JPY	500,000,000				4,909,696

 

8

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
International Market Sovereign - continued
Government of Japan, 2.2%, 9/20/2027		JPY	787,000,000			$	8,899,123
Government of Japan, 2.4%, 3/20/2037		JPY	493,400,000				6,196,599
Government of Japan, 1.8%, 3/20/2043		JPY	81,000,000				955,025
Government of New Zealand, 4.5%, 4/15/2027		NZD	1,791,000				1,449,067
Kingdom of Spain, 4.6%, 7/30/2019		EUR	1,130,000				1,474,716
Kingdom of Spain, 5.4%, 1/31/2023		EUR	746,000				1,128,822
Kingdom of Spain, 5.15%, 10/31/2028		EUR	1,210,000				1,994,432
Kingdom of Spain, 4.7%, 7/30/2041		EUR	421,000				729,658
Republic of France, 2.5%, 10/25/2020		EUR	1,237,000				1,624,227
Republic of France, 4.75%, 4/25/2035		EUR	484,000				906,313
Republic of France, 4.5%, 4/25/2041		EUR	580,000				1,122,077
Republic of Ireland, 4.5%, 4/18/2020		EUR	222,000				299,415
Republic of Italy, 3.75%, 3/01/2021		EUR	1,581,000				2,133,592
Republic of Italy, 5.5%, 9/01/2022		EUR	925,000				1,366,817
Republic of Italy, 2.5%, 12/01/2024		EUR	3,248,000				4,234,789
Republic of Italy, 2.05%, 8/01/2027		EUR	3,248,000				3,990,061
Republic of Portugal, 4.95%, 10/25/2023		EUR	1,894,000				2,821,077
United Kingdom Treasury, 4.25%, 3/07/2036		GBP	111,000				208,824
United Kingdom Treasury, 3.25%, 1/22/2044		GBP	1,530,000				2,670,525
						$	59,462,212
Local Authorities - 0.1%
Province of Alberta, 4.5%, 12/01/2040		CAD	255,000			$	240,350
Province of British Columbia, 2.3%, 6/18/2026		CAD	370,000				279,348
						$	519,698
Machinery & Tools - 0.3%
Ashtead Capital, Inc., 5.625%, 10/01/2024 (n)		$	1,185,000			$	1,238,325
Major Banks - 2.1%
Bank of America Corp., 3.004% to 12/20/2022, FLR to 12/20/2023 (n)		$	399,000			$	390,577
Bank of America Corp., 2.625%, 4/19/2021			370,000				364,594
Bank of America Corp., 3.248%, 10/21/2027			462,000				439,115
Barclays Bank PLC, 6%, 1/14/2021		EUR	250,000				349,785
Credit Agricole S.A., 7.375%, 12/18/2023		GBP	100,000				173,234
Credit Suisse Group AG, 6.5%, 8/08/2023 (n)		$	200,000				220,500
Goldman Sachs Group, Inc., 2.625%, 4/25/2021			360,000				353,976
Goldman Sachs Group, Inc., 5.75%, 1/24/2022			500,000				542,277
Goldman Sachs Group, Inc., 3.625%, 1/22/2023			454,000				457,484
Goldman Sachs Group, Inc., 3.85%, 1/26/2027			314,000				309,654
HSBC Holdings PLC, 4.375%, 11/23/2026			269,000				270,083
JPMorgan Chase & Co., 2.95%, 10/01/2026			601,000				564,794
JPMorgan Chase & Co., 3.54% to 5/01/2027, FLR to 5/01/2028			291,000				283,835
JPMorgan Chase & Co., 4.26% to 2/22/2047, FLR to 2/22/2048			303,000				302,007
Morgan Stanley, 2.625%, 3/09/2027		GBP	200,000				273,739
Morgan Stanley, 3.95%, 4/23/2027		$	514,000				505,431
PNC Bank N.A., 2.6%, 7/21/2020			295,000				293,051
Sumitomo Mitsui Financial Group, Inc., 3.544%, 1/17/2028			439,000				428,466
UBS Group AG, 6.875% to 8/07/2025, FLR to 12/29/2049			1,420,000				1,537,150
UBS Group Funding (Jersey) Ltd., 1.5%, 11/30/2024		EUR	300,000				376,208
UBS Group Funding (Switzerland) AG, 2.859% to 8/15/2022, FLR to 8/15/2023 (n)		$	750,000				728,891
Wells Fargo & Co., 4.1%, 6/03/2026			48,000				48,073
						$	9,212,924

 

9

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Medical & Health Technology & Services - 4.4%
AmSurg Corp., 5.625%, 7/15/2022		$	865,000			$	879,056
Becton, Dickinson and Co., 2.675%, 12/15/2019			379,000				377,603
Becton, Dickinson and Co., 3.734%, 12/15/2024			239,000				235,367
Community Health Systems, Inc., 6.875%, 2/01/2022			245,000				159,863
DaVita, Inc., 5.125%, 7/15/2024			560,000				556,150
DaVita, Inc., 5%, 5/01/2025			1,075,000				1,054,844
HCA, Inc., 7.5%, 2/15/2022			2,085,000				2,306,531
HCA, Inc., 5.875%, 3/15/2022			1,295,000				1,372,700
HCA, Inc., 5%, 3/15/2024			1,040,000				1,059,500
HCA, Inc., 5.375%, 2/01/2025			695,000				706,516
HCA, Inc., 5.25%, 6/15/2026			215,000				220,375
HealthSouth Corp., 5.125%, 3/15/2023			1,425,000				1,449,938
HealthSouth Corp., 5.75%, 11/01/2024			30,000				30,300
IQVIA Holdings, Inc., 5%, 10/15/2026 (n)			1,225,000				1,228,675
Laboratory Corp. of America Holdings, 3.2%, 2/01/2022			200,000				199,521
Laboratory Corp. of America Holdings, 4.7%, 2/01/2045			310,000				310,430
Life Technologies Corp., 6%, 3/01/2020			200,000				211,665
Northwell Healthcare, Inc., 3.979%, 11/01/2046			40,000				37,238
Northwell Healthcare, Inc., 4.26%, 11/01/2047			307,000				299,354
Polaris, 8.5%, 12/01/2022 (n)			720,000				734,400
Quorum Health Corp., 11.625%, 4/15/2023			550,000				570,625
Tenet Healthcare Corp., 8.125%, 4/01/2022			765,000				807,075
Tenet Healthcare Corp., 6.75%, 6/15/2023			525,000				525,000
THC Escrow Corp. III, 5.125%, 5/01/2025 (n)			1,065,000				1,033,050
Thermo Fisher Scientific, Inc., 3%, 4/15/2023			360,000				353,134
Thermo Fisher Scientific, Inc., 3.2%, 8/15/2027			476,000				452,477
Universal Health Services, Inc., 7.625%, 8/15/2020			1,410,000				1,424,100
West Street Merger Sub, Inc., 6.375%, 9/01/2025 (n)			725,000				721,375
						$	19,316,862
Medical Equipment - 0.7%
Teleflex, Inc., 5.25%, 6/15/2024		$	1,095,000			$	1,122,375
Teleflex, Inc., 4.875%, 6/01/2026			610,000				603,900
Teleflex, Inc., 4.625%, 11/15/2027			790,000				770,250
Zimmer Biomet Holdings, Inc., 1.414%, 12/13/2022		EUR	300,000				376,391
						$	2,872,916
Metals & Mining - 4.1%
Cameco Corp., 5.67%, 9/02/2019		CAD	262,000			$	211,973
First Quantum Minerals Ltd., 7%, 2/15/2021 (n)		$	495,000				510,469
First Quantum Minerals Ltd., 7.25%, 4/01/2023 (n)			1,070,000				1,110,125
First Quantum Minerals Ltd., 6.5%, 3/01/2024 (z)			350,000				347,813
Freeport-McMoRan, Inc., 6.875%, 2/15/2023			2,525,000				2,720,688
Freeport-McMoRan, Inc., 3.875%, 3/15/2023			445,000				431,650
Freeport-McMoRan, Inc., 5.4%, 11/14/2034			410,000				399,750
Glencore Finance (Europe) S.A., 1.25%, 3/17/2021		EUR	330,000				411,691
Kaiser Aluminum Corp., 5.875%, 5/15/2024		$	1,835,000				1,922,713
Kinross Gold Corp., 4.5%, 7/15/2027 (n)			920,000				892,400
Kinross Gold Corp., 5.125%, 9/01/2021			300,000				309,750
Kinross Gold Corp., 5.95%, 3/15/2024			1,440,000				1,541,088
Lundin Mining Corp., 7.875%, 11/01/2022 (n)			630,000				666,225
Northwest Acquisitions ULC/Dominion Finco, Inc., 7.125%, 11/01/2022 (n)			1,135,000				1,171,774
Novelis Corp., 5.875%, 9/30/2026 (n)			1,595,000				1,606,963
Petra Diamonds U.S. Treasury PLC, 7.25%, 5/01/2022 (n)			505,000				511,944
Steel Dynamics, Inc., 5.125%, 10/01/2021			430,000				435,375

 

10

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Metals & Mining - continued
Steel Dynamics, Inc., 5.25%, 4/15/2023		$	775,000			$	791,469
Steel Dynamics, Inc., 5.5%, 10/01/2024			835,000				864,225
TMS International Corp., 7.25%, 8/15/2025 (n)			860,000				896,550
						$	17,754,635
Midstream - 2.7%
APT Pipelines Ltd., 5%, 3/23/2035 (n)		$	280,000			$	291,282
Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022 (n)			1,880,000				1,927,000
DCP Midstream LP, 4.95%, 4/01/2022			651,000				665,648
DCP Midstream LP, 5.6%, 4/01/2044			530,000				547,225
DCP Midstream LP, 3.875%, 3/15/2023			665,000				648,375
Energy Transfer Equity LP, 5.875%, 1/15/2024			165,000				174,900
MPLX LP, 4.5%, 4/15/2038			170,000				164,941
ONEOK, Inc., 4.95%, 7/13/2047			474,000				477,525
Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028			333,000				327,711
Tallgrass Energy GP, LP, 5.5%, 1/15/2028 (n)			2,250,000				2,255,625
Targa Resources Partners LP/Targa Resources Finance Corp., 5.25%, 5/01/2023			860,000				872,367
Targa Resources Partners LP/Targa Resources Finance Corp., 5.125%, 2/01/2025 (n)			925,000				922,678
Targa Resources Partners LP/Targa Resources Finance Corp., 5.375%, 2/01/2027			2,410,000				2,410,000
						$	11,685,277
Mortgage-Backed - 4.8%
Fannie Mae, 5.5%, 9/01/2019 - 7/01/2035		$	238,621			$	255,974
Fannie Mae, 6.5%, 4/01/2032 - 1/01/2033			44,319				49,466
Fannie Mae, 6%, 8/01/2034 - 2/01/2037			82,528				92,383
Fannie Mae, FLR, 1.897%, 4/25/2020			2,094,502				2,095,528
Fannie Mae, FLR, 1.807%, 5/25/2018			264,229				263,952
Freddie Mac, 3.35%, 1/25/2028			830,000				831,694
Freddie Mac, 3.064%, 8/25/2024			1,141,916				1,140,910
Freddie Mac, 2.811%, 1/25/2025			11,000,000				10,806,304
Freddie Mac, 2.673%, 3/25/2026			701,000				675,074
Freddie Mac, 3.243%, 4/25/2027			991,000				988,421
Freddie Mac, 3.117%, 6/25/2027			298,465				294,437
Freddie Mac, 3.194%, 7/25/2027			1,073,000				1,064,617
Freddie Mac, 3.244%, 8/25/2027			1,160,000				1,155,416
Freddie Mac, 3.187%, 9/25/2027			492,000				487,254
Freddie Mac, 3.286%, 11/25/2027			591,000				589,909
Freddie Mac, 6%, 8/01/2034			66,288				74,831
						$	20,866,170
Municipals - 0.0%
Commonwealth of Puerto Rico, Public Improvement, “C-7”, NATL, 6%, 7/01/2027		$	20,000			$	20,043
Puerto Rico Electric Power Authority Rev., “PP”, NATL, 5%, 7/01/2022			95,000				94,398
						$	114,441
Natural Gas - Distribution - 0.2%
Boston Gas Co., 3.15%, 8/01/2027 (n)		$	248,000			$	238,759
GNL Quintero S.A., 4.634%, 7/31/2029 (n)			323,000				327,845
Infraestructura Energética Nova S.A.B. de C.V., 4.875%, 1/14/2048 (n)			500,000				459,375
						$	1,025,979
Network & Telecom - 1.3%
AT&T, Inc., 4.9%, 8/14/2037		$	488,000			$	489,028
AT&T, Inc., 4.25%, 6/01/2043		GBP	100,000				147,178
AT&T, Inc., 5.65%, 2/15/2047		$	206,000				221,021
British Telecommunications PLC, 3.125%, 11/21/2031		GBP	150,000				202,961

 

11

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Network & Telecom - continued
CenturyLink, Inc., 7.65%, 3/15/2042		$	465,000			$	404,550
Deutsche Telekom International Finance B.V., 1.5%, 4/03/2028		EUR	200,000				245,271
Telecom Italia S.p.A., 5.303%, 5/30/2024 (n)		$	885,000				917,081
Telefonica Celular del Paraguay S.A., 6.75%, 12/13/2022			517,000				529,005
Verizon Communications, Inc., 4.812%, 3/15/2039			323,000				325,696
Zayo Group LLC/Zayo Capital, Inc., 6.375%, 5/15/2025			745,000				778,614
Zayo Group LLC/Zayo Capital, Inc., 5.75%, 1/15/2027 (n)			1,285,000				1,291,425
						$	5,551,830
Oil Services - 0.9%
Bristow Group, Inc., 6.25%, 10/15/2022		$	976,000			$	834,480
Diamond Offshore Drilling, Inc., 7.875%, 8/15/2025			440,000				446,600
Diamond Offshore Drilling, Inc., 5.7%, 10/15/2039			945,000				774,900
Ensco PLC, 7.75%, 2/01/2026			740,000				699,300
Schlumberger Ltd., 2.65%, 11/20/2022 (n)			310,000				302,972
Trinidad Drilling Ltd., 6.625%, 2/15/2025 (n)			1,105,000				1,067,706
						$	4,125,958
Oils - 0.1%
Marathon Petroleum Corp., 4.75%, 9/15/2044		$	200,000			$	195,514
Neste Oyj, 1.5%, 6/07/2024		EUR	100,000				122,316
Phillips 66, 4.875%, 11/15/2044		$	150,000				157,848
						$	475,678
Other Banks & Diversified Financials - 0.7%
Arion Banki, 2.5%, 4/26/2019		EUR	100,000			$	125,477
BBVA Bancomer S.A. de C.V., 6.75%, 9/30/2022 (n)		$	1,004,000				1,104,400
Belfius Bank S.A., 3.125%, 5/11/2026		EUR	200,000				266,278
BPCE S.A., 5.25%, 4/16/2029		GBP	100,000				162,357
Citizens Bank N.A., 2.55%, 5/13/2021		$	250,000				245,014
Deutsche Bank AG, 1.875%, 2/28/2020		GBP	200,000				275,685
Groupe BPCE S.A., 12.5% to 9/30/2019, FLR to 8/29/2049 (n)			113,000				128,185
ING Groep N.V., 3.95%, 3/29/2027			249,000				248,380
Intesa Sanpaolo S.p.A., 5.25%, 1/28/2022		GBP	100,000				154,258
JSC Kazkommertsbank, 5.5%, 12/21/2022		$	342,000				339,886
						$	3,049,920
Personal Computers & Peripherals - 0.0%
Equifax, Inc., 2.3%, 6/01/2021		$	160,000			$	155,681
Pharmaceuticals - 0.7%
Celgene Corp., 2.875%, 8/15/2020		$	524,000			$	522,642
Gilead Sciences, Inc., 2.35%, 2/01/2020			52,000				51,689
Mallinckrodt International Finance S.A., 5.75%, 8/01/2022 (n)			710,000				628,350
Mallinckrodt International Finance S.A., 5.625%, 10/15/2023 (n)			315,000				260,663
Valeant Pharmaceuticals International, Inc., 5.5%, 3/01/2023 (n)			650,000				575,250
Valeant Pharmaceuticals International, Inc., 6.125%, 4/15/2025 (n)			1,045,000				916,988
						$	2,955,582
Printing & Publishing - 0.2%
Nielsen Finance LLC, 5%, 4/15/2022 (n)		$	954,000			$	964,733
Real Estate - Apartment - 0.1%
Grand City Properties S.A., 1.375%, 8/03/2026		EUR	300,000			$	359,306

 

12

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Real Estate - Healthcare - 0.7%
MPT Operating Partnership LP/MPT Financial Co., REIT, 5.25%, 8/01/2026		$	1,470,000			$	1,460,813
MPT Operating Partnership LP/MPT Financial Co., REIT, 5%, 10/15/2027			1,460,000				1,426,420
						$	2,887,233
Real Estate - Office - 0.2%
Boston Properties, Inc., REIT, 3.125%, 9/01/2023		$	250,000			$	245,541
Merlin Properties SOCIMI S.A., REIT, 2.225%, 4/25/2023		EUR	250,000				321,248
Merlin Properties SOCIMI S.A., REIT, 1.875%, 11/02/2026		EUR	150,000				182,027
						$	748,816
Real Estate - Other - 1.2%
CyrusOne LP/CyrusOne Finance Corp., REIT, 5%, 3/15/2024		$	1,620,000			$	1,632,150
CyrusOne LP/CyrusOne Finance Corp., REIT, 5.375%, 3/15/2027			845,000				847,113
Felcor Lodging LP, REIT, 5.625%, 3/01/2023			1,240,000				1,263,250
Starwood Property Trust, Inc., REIT, 5%, 12/15/2021			865,000				884,463
Starwood Property Trust, Inc., REIT, 4.75%, 3/15/2025 (n)			610,000				591,700
						$	5,218,676
Restaurants - 0.7%
Golden Nugget, Inc., 6.75%, 10/15/2024 (n)		$	850,000			$	871,250
IRB Holding Corp., 6.75%, 2/15/2026 (n)			785,000				783,783
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, 6/01/2026 (n)			1,365,000				1,382,063
						$	3,037,096
Retailers - 1.1%
Best Buy Co., Inc., 5.5%, 3/15/2021		$	347,000			$	368,909
Dollar Tree, Inc., 5.75%, 3/01/2023			1,270,000				1,319,213
Hanesbrands, Inc., 4.625%, 5/15/2024 (n)			300,000				297,000
Hanesbrands, Inc., 4.875%, 5/15/2026 (n)			1,280,000				1,257,600
Home Depot, Inc., 3%, 4/01/2026			310,000				300,661
Home Depot, Inc., 4.875%, 2/15/2044			200,000				224,980
Sally Beauty Holdings, Inc., 5.625%, 12/01/2025			1,265,000				1,271,325
						$	5,039,688
Specialty Chemicals - 0.7%
A Schulman, Inc., 6.875%, 6/01/2023		$	775,000			$	821,500
Koppers, Inc., 6%, 2/15/2025 (n)			705,000				729,675
Univar USA, Inc., 6.75%, 7/15/2023 (n)			1,430,000				1,485,413
						$	3,036,588
Specialty Stores - 0.4%
Group 1 Automotive, Inc., 5%, 6/01/2022		$	1,455,000			$	1,484,100
PetSmart, Inc., 7.125%, 3/15/2023 (n)			665,000				423,871
						$	1,907,971
Supermarkets - 0.5%
Albertsons Cos. LLC/Safeway Co., 6.625%, 6/15/2024		$	1,570,000			$	1,446,363
Esselunga S.p.A., 1.875%, 10/25/2027		EUR	150,000				184,789
Esselunga S.p.A., 0.875%, 10/25/2023		EUR	150,000				182,433
Loblaw Cos. Ltd., 4.86%, 9/12/2023		CAD	262,000				221,240
						$	2,034,825
Supranational - 0.1%
International Bank for Reconstruction and Development, 2.8%, 1/13/2021		AUD	170,000			$	133,474
International Bank for Reconstruction and Development, 4.25%, 6/24/2025		AUD	210,000				175,934
International Finance Corp., 3.25%, 7/22/2019		AUD	305,000				240,835
						$	550,243

 

13

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Telecommunications - Wireless - 3.2%
Altice Luxembourg S.A., 7.75%, 5/15/2022 (n)		$	1,070,000			$	997,775
Altice Luxembourg S.A., 7.625%, 2/15/2025 (n)			1,340,000				1,179,200
American Tower Corp., REIT, 3.5%, 1/31/2023			465,000				465,081
Crown Castle International Corp., 3.7%, 6/15/2026			157,000				151,434
Digicel Group Ltd., 6%, 4/15/2021 (n)			967,000				929,529
Digicel Group Ltd., 7.125%, 4/01/2022 (n)			640,000				555,520
Digicel Group Ltd., 6.75%, 3/01/2023 (n)			1,150,000				1,070,938
SBA Communications Corp., 4%, 10/01/2022 (n)			1,190,000				1,166,200
SBA Communications Corp., 4.875%, 9/01/2024			350,000				345,625
SBA Tower Trust, 2.898%, 10/11/2044 (n)			220,000				220,642
Sprint Corp., 7.875%, 9/15/2023			1,065,000				1,102,275
Sprint Corp., 7.125%, 6/15/2024			1,240,000				1,231,444
Sprint Corp., 7.625%, 3/01/2026			405,000				403,522
Sprint Nextel Corp., 6%, 11/15/2022			1,395,000				1,377,563
T-Mobile USA, Inc., 6.5%, 1/15/2024			615,000				644,213
T-Mobile USA, Inc., 5.125%, 4/15/2025			815,000				823,150
T-Mobile USA, Inc., 6.5%, 1/15/2026			775,000				831,188
T-Mobile USA, Inc., 5.375%, 4/15/2027			695,000				710,638
						$	14,205,937
Telephone Services - 0.5%
Chorus Ltd. Co., 1.125%, 10/18/2023		EUR	150,000			$	185,260
Level 3 Financing, Inc., 5.375%, 1/15/2024		$	390,000				388,050
Level 3 Financing, Inc., 5.375%, 5/01/2025			1,215,000				1,205,888
TELUS Corp., 5.05%, 7/23/2020		CAD	265,000				218,743
						$	1,997,941
Tobacco - 0.2%
Imperial Brands Finance PLC, 1.375%, 1/27/2025		EUR	150,000			$	184,151
Reynolds American, Inc., 8.125%, 6/23/2019		$	92,000				98,207
Reynolds American, Inc., 4.45%, 6/12/2025			415,000				427,217
Reynolds American, Inc., 5.7%, 8/15/2035			118,000				134,391
						$	843,966
Transportation - Services - 0.7%
Autostrade per L’Italia S.p.A., 1.75%, 6/26/2026		EUR	250,000			$	312,867
Brambles Finance PLC, 1.5%, 10/04/2027		EUR	150,000				183,611
Compagnie Financial et Indus Unternehmensanleihe, 0.75%, 9/09/2028		EUR	200,000				229,773
ERAC USA Finance LLC, 7%, 10/15/2037 (n)		$	250,000				322,886
Heathrow Funding Ltd., 1.875%, 7/12/2032		EUR	150,000				185,272
Heathrow Funding Ltd., 4.625%, 10/31/2046		GBP	100,000				170,249
Navios Maritime Holding, Inc., 7.375%, 1/15/2022 (n)		$	575,000				469,703
Navios South American Logistics, Inc./Navios Logistics Finance (U.S.), Inc., 7.25%, 5/01/2022			130,000				125,775
Rumo Luxembourg Sarl, 5.875%, 1/18/2025 (n)			254,000				251,460
Syncreon Group BV/Syncre, 8.625%, 11/01/2021 (n)			670,000				536,000
Transurban Finance Co., 1.75%, 3/29/2028		EUR	200,000				246,726
						$	3,034,322
U.S. Treasury Obligations - 13.9%
U.S. Treasury Bonds, 5.25%, 2/15/2029		$	2,441,000			$	2,979,450
U.S. Treasury Bonds, 5.375%, 2/15/2031			286,200				361,998
U.S. Treasury Bonds, 4.5%, 2/15/2036			1,082,000				1,310,911
U.S. Treasury Bonds, 4.75%, 2/15/2037 (f)			1,885,200				2,363,643
U.S. Treasury Bonds, 3.125%, 2/15/2043 (f)			1,345,200				1,348,143
U.S. Treasury Bonds, 3.625%, 2/15/2044			771,000				840,149

 

14

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
U.S. Treasury Obligations - continued
U.S. Treasury Bonds, 3%, 5/15/2047		$	470,000			$	458,066
U.S. Treasury Notes, 0.75%, 10/31/2018			14,000,000				13,887,344
U.S. Treasury Notes, 1.25%, 12/15/2018			9,000,000				8,945,156
U.S. Treasury Notes, 0%, 1/31/2019			4,461,000				4,379,341
U.S. Treasury Notes, 0.875%, 5/15/2019			9,000,000				8,864,648
U.S. Treasury Notes, 2%, 1/31/2020			609,000				606,122
U.S. Treasury Notes, 1.75%, 5/15/2022			6,618,000				6,399,037
U.S. Treasury Notes, 2.125%, 12/31/2022			6,830,000				6,668,054
U.S. Treasury Notes, 2.25%, 11/15/2025			1,486,000				1,425,457
						$	60,837,519
Utilities - Electric Power - 2.9%
Calpine Corp., 5.5%, 2/01/2024		$	1,765,000			$	1,652,481
Calpine Corp., 5.75%, 1/15/2025			930,000				871,875
Calpine Corp., 5.25%, 6/01/2026 (n)			695,000				674,150
Covanta Holding Corp., 6.375%, 10/01/2022			310,000				316,588
Covanta Holding Corp., 5.875%, 3/01/2024			995,000				997,488
Covanta Holding Corp., 5.875%, 7/01/2025			1,215,000				1,208,925
Dominion Resources, Inc., 2.5%, 12/01/2019			250,000				247,924
Duke Energy Florida LLC, 3.2%, 1/15/2027			310,000				302,348
EDP Finance B.V., 5.25%, 1/14/2021 (n)			200,000				210,467
EDP Finance B.V., 2%, 4/22/2025		EUR	100,000				127,534
Emera U.S. Finance LP, 2.7%, 6/15/2021		$	98,000				96,134
Emera U.S. Finance LP, 3.55%, 6/15/2026			112,000				107,816
Enel Finance International N.V., 4.75%, 5/25/2047 (n)			442,000				450,590
Engie Energia Chile S.A., 5.625%, 1/15/2021			757,000				801,591
Exelon Corp., 3.497%, 6/01/2022			151,000				150,791
Innogy Finance B.V., 4.75%, 1/31/2034		GBP	100,000				163,344
NextEra Energy Capital Holdings, Inc., 3.55%, 5/01/2027		$	377,000				368,755
NextEra Energy Operating Co., 4.25%, 9/15/2024 (n)			1,390,000				1,370,888
Pattern Energy Group, Inc., 5.875%, 2/01/2024 (n)			1,385,000				1,426,273
PPL Capital Funding, Inc., 3.1%, 5/15/2026			340,000				322,438
PPL WEM Holdings PLC, 5.375%, 5/01/2021 (n)			250,000				263,637
TerraForm Global Operating LLC, 6.125%, 3/01/2026 (z)			199,000				200,493
Virginia Electric & Power Co., 3.5%, 3/15/2027			475,000				471,420
						$	12,803,950
Total Bonds						$	525,900,657
Floating Rate Loans (g)(r) - 0.4%
Computer Software - Systems - 0.1%
Sabre GLBL, Inc., Term Loan B, 3.89%, 2/22/2024		$	236,220			$	236,884
Consumer Products - 0.0%
Spectrum Brands, Inc., Term Loan B, 3.74%, 6/23/2022		$	128,902			$	129,296
Entertainment - 0.2%
Cedar Fair LP, Term Loan B, 3.89%, 4/13/2024		$	317,611			$	319,861
Six Flags Theme Parks, Inc., Term Loan B, 3.61%, 6/30/2022			331,400				333,057
						$	652,918
Medical & Health Technology & Services - 0.1%
DaVita HealthCare Partners, Inc., Term Loan B, 4.39%, 6/24/2021		$	554,534			$	557,769
Total Floating Rate Loans						$	1,576,867

 

15

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Common Stocks - 0.2%
Energy - Independent - 0.1%
Frontera Energy Corp. (a)			8,177			$	270,904
Oil Services - 0.1%
LTRI Holdings LP (a)(u)			615			$	546,993
Total Common Stocks						$	817,897
Investment Companies (h) - 0.0%
Money Market Funds - 0.0%
MFS Institutional Money Market Portfolio, 1.52% (v)			4,700			$	4,700
Other Assets, Less Liabilities - (20.7)%							(90,553,122	)
Net Assets - 100.0%						$	437,746,999

 

(a)	Non-income producing security.

(d)	In default.

(f)	All or a portion of the security has been segregated as collateral for open futures contracts.

(g)	The rate shown represents a weighted average coupon rate on settled positions at period end, unless otherwise indicated.

(h)

An affiliated issuer may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund’s investments in affiliated issuers and in unaffiliated issuers were $4,700 and $528,295,421, 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 $176,064,654, representing 40.2% of net assets.

(p)	Payment-in-kind security.

(r)

Remaining maturities of floating rate loans may be less than stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. These loans may be subject to restrictions on resale. Floating rate loans generally have rates of interest which are determined periodically by reference to a base lending rate plus a premium.

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

(v)	Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end.

(z)

Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities:

 

Restricted Securities		Acquisition Date		Cost				Value
Afren PLC, 10.25%, 4/08/2019		3/01/12-4/02/13			$482,712				$1,694
Apex Tool Group LLC, 9%, 2/15/2023		2/09/18			820,000				817,950
Bayview Financial Revolving Mortgage Loan Trust, FLR, 3.166%, (LIBOR-1mo. + 1.6%), 12/28/2040		3/01/06			441,196				395,777
Dominican Republic, 6.5%, 2/15/2048		2/08/18			150,000				155,625
First Quantum Minerals Ltd., 6.5%, 3/01/2024		2/20/18			350,000				347,813
Liberty Mutual Group, Inc., 2.75%, 5/04/2026		4/26/16			112,191				132,934
Octagon Investment Partners XV, Ltd., CLO, FLR, 3.07%, (LIBOR-3mo. + 1.4%), 1/25/2031		2/07/18			1,050,000				1,050,000
Petroleos Mexicanos, 5.35%, 2/12/2028		2/01/18			33,000				32,439
Republic of Indonesia, 2.875%, 7/08/2021		7/02/14			238,072				228,432
Republic of Indonesia, 2.15%, 7/18/2024		7/11/17			184,251				203,295
TerraForm Global Operating LLC, 6.125%, 3/01/2026		2/08/18			199,000				200,493
WMG Acquisition Corp., 5.5%, 4/15/2026		2/28/18			225,000				225,000
Total Restricted Securities									$3,791,452
% of Net assets									0.9%

 

16

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Portfolio of Investments (unaudited) – continued

 

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

 

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

 

Insurers
NATL		National Public Finance Guarantee Corp.

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
INR		Indian Rupee
JPY		Japanese Yen
KRW		Korean Won
MXN		Mexican Peso
MYR		Malaysian Ringgit
NOK		Norwegian Krone
NZD		New Zealand Dollar
SEK		Swedish Krona
SGD		Singapore Dollar
ZAR		South African Rand

Derivative Contracts at 2/28/18

Forward Foreign Currency Exchange Contracts

 

Currency Purchased								Currency Sold				Counterparty		Settlement Date				Unrealized Appreciation (Depreciation)
Asset Derivatives
DKK			31,438					USD		5,082		Citibank N.A.			3/28/2018				$80
EUR			1,811,803					USD		2,214,810		Deutsche Bank AG			3/28/2018				18
EUR			452,000					USD		546,172		Goldman Sachs International			3/28/2018				6,373
GBP			133,000					USD		180,477		JPMorgan Chase Bank N.A.			3/28/2018				2,848
JPY			263,000,000					USD		2,378,428		JPMorgan Chase Bank N.A.			3/28/2018				91,206
MXN			3,219,094					USD		165,173		Goldman Sachs International			3/28/2018				4,872
NOK			37,054,912					USD		4,574,971		JPMorgan Chase Bank N.A.			3/28/2018				121,227
NZD			3,158,494					USD		2,260,064		Deutsche Bank AG			3/28/2018				17,309
USD			1,321,750					EUR		1,060,000		Barclays Bank PLC			3/28/2018				25,959
USD			233,356					NOK		1,830,000		Barclays Bank PLC			3/28/2018				1,429
USD			989,822					EUR		795,847		Brown Brothers Harriman			3/26/2018				17,104
USD			520,394					CAD		649,000		Brown Brothers Harriman			3/28/2018				14,359
USD			1,093,117					CAD		1,380,000		Citibank N.A.			3/28/2018				17,112
USD			216,856					EUR		177,000		Citibank N.A.			3/28/2018				483
USD			1,087,478					HKD		8,488,000		Citibank N.A.			3/28/2018				2,083
USD			265,477					NZD		365,000		Citibank N.A.			3/28/2018				2,301
USD			415,493					SEK		3,276,000		Citibank N.A.			3/28/2018				19,379
USD			548,434					ZAR		6,426,223		Citibank N.A.			3/28/2018				5,661
USD			772,555					AUD		977,000		Deutsche Bank AG			3/28/2018				13,697
USD			8,365,601					CAD		10,414,002		Deutsche Bank AG			3/28/2018				245,661

 

17

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Portfolio of Investments (unaudited) – continued

 

Forward Foreign Currency Exchange Contracts - continued

 

Currency Purchased								Currency Sold				Counterparty		Settlement Date				Unrealized Appreciation (Depreciation)
Asset Derivatives – continued
USD			1,343,241					GBP		959,000		Deutsche Bank AG			3/28/2018				$21,374
USD			1,101,030					HKD		8,597,000		Deutsche Bank AG			3/28/2018				1,698
USD			617,418					NZD		849,000		Deutsche Bank AG			3/28/2018				5,263
USD			977,351					SEK		7,886,000		Deutsche Bank AG			3/28/2018				23,823
USD			3,803,791					AUD		4,852,978		Goldman Sachs International			3/28/2018				34,371
USD			750,249					NOK		5,868,000		Goldman Sachs International			3/28/2018				6,561
USD			1,205,678					NZD		1,650,000		Goldman Sachs International			3/28/2018				15,977
USD			3,377,237					INR		220,000,000		JPMorgan Chase Bank N.A.			3/15/2018				5,334
USD			3,655,691					AUD		4,651,239		JPMorgan Chase Bank N.A.			3/28/2018				42,966
USD			854,248					GBP		610,000		JPMorgan Chase Bank N.A.			3/28/2018				13,437
USD			1,779,077					NOK		13,950,000		JPMorgan Chase Bank N.A.			3/28/2018				11,108
USD			1,325,802					NZD		1,823,000		JPMorgan Chase Bank N.A.			3/28/2018				11,362
USD			4,055,540					SEK		32,611,000		JPMorgan Chase Bank N.A.			3/28/2018				112,412
USD			10,919					ZAR		127,895		JPMorgan Chase Bank N.A.			3/28/2018				117
USD			2,231,892					AUD		2,791,000		Merrill Lynch International			3/28/2018				64,058
USD			2,184,440					CHF		2,040,000		Merrill Lynch International			3/28/2018				19,242
USD			581,056					NOK		4,536,000		UBS AG			3/28/2018				6,180
																			$1,004,444
Currency Purchased								Currency Sold				Counterparty		Settlement Date				Unrealized Appreciation (Depreciation)
Liability Derivatives
AUD			2,911,000					USD		2,332,966		JPMorgan Chase Bank N.A.			3/28/2018				$(71,925	)
CAD			282,000					USD		225,294		Goldman Sachs International			3/28/2018				(5,415	)
CHF			1,158,000					USD		1,243,620		Citibank N.A.			3/28/2018				(14,552	)
CHF			1,032,000					USD		1,110,457		Goldman Sachs International			3/28/2018				(15,121	)
EUR			2,659,813					USD		3,306,827		Deutsche Bank AG			3/28/2018				(55,354	)
EUR			254,750					USD		315,182		Goldman Sachs International			3/28/2018				(3,764	)
EUR			2,129,344					USD		2,604,592		JPMorgan Chase Bank N.A.			3/28/2018				(1,588	)
GBP			103,000					USD		142,350		BNP Paribas SA			3/28/2018				(376	)
GBP			3,424,000					USD		4,794,452		Citibank N.A.			3/28/2018				(74,880	)
GBP			241,188					USD		335,633		Deutsche Bank AG			3/28/2018				(3,184	)
HKD			17,074,000					USD		2,186,833		JPMorgan Chase Bank N.A.			3/28/2018				(3,512	)
INR			220,000,000					USD		3,421,452		JPMorgan Chase Bank N.A.			3/15/2018				(49,549	)
KRW			18,240,500					USD		17,053		JPMorgan Chase Bank N.A.			3/22/2018				(205	)
NOK			1,839,000					USD		237,967		Deutsche Bank AG			3/28/2018				(4,899	)
NOK			4,279,000					USD		545,668		Goldman Sachs International			3/28/2018				(3,364	)
NOK			14,588,000					USD		1,875,516		JPMorgan Chase Bank N.A.			3/28/2018				(26,689	)
NZD			6,737,000					USD		4,949,355		Goldman Sachs International			3/28/2018				(91,768	)
SEK			18,572,119					USD		2,315,628		Deutsche Bank AG			3/28/2018				(69,999	)
USD			20,116,529					JPY		2,254,388,943		Barclays Bank PLC			3/28/2018				(1,052,732	)
USD			8,298,366					GBP		6,101,919		Deutsche Bank AG			3/28/2018				(112,396	)
USD			1,255,798					JPY		138,894,000		Deutsche Bank AG			3/28/2018				(48,450	)
USD			2,401,615					NOK		19,000,000		Deutsche Bank AG			3/28/2018				(6,372	)
USD			2,598,673					EUR		2,163,285		Goldman Sachs International			3/28/2018				(45,822	)
USD			52,372					GBP		38,000		Goldman Sachs International			3/28/2018				(6	)
USD			164,428					MXN		3,219,000		Goldman Sachs International			3/28/2018				(5,612	)
USD			78,190					CHF		75,918		JPMorgan Chase Bank N.A.			3/28/2018				(2,387	)
USD			43,115,896					EUR		35,841,707		JPMorgan Chase Bank N.A.			3/28/2018				(698,600	)
USD			985,671					JPY		109,021,000		JPMorgan Chase Bank N.A.			3/28/2018				(38,063	)
USD			1,476,842					NZD		2,059,646		JPMorgan Chase Bank N.A.			3/28/2018				(8,227	)
USD			63,029					SGD		83,859		JPMorgan Chase Bank N.A.			3/28/2018				(294	)
USD			1,617,145					ZAR		20,199,761		JPMorgan Chase Bank N.A.			3/28/2018				(88,971	)
ZAR			3,595,000					USD		307,188		JPMorgan Chase Bank N.A.			3/28/2018				(3,546	)
																			$(2,607,622	)

 

18

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Portfolio of Investments (unaudited) – continued

 

Futures Contracts

 

Description		Long/ Short				Currency				Contracts		Notional Amount				Expiration Date				Value/Unrealized Appreciation (Depreciation)
Asset Derivatives
Interest Rate Futures
Long Gilt 10 yr			Long				GBP			35			$5,834,177				June - 2018				$6,623
U.S. Treasury Ultra Bond			Long				USD			23			3,585,125				June - 2018				10,875
U.S. Treasury Note 2 yr			Short				USD			23			4,886,781				June - 2018				3,513
U.S. Treasury Ultra Note 10 yr			Short				USD			52			6,659,250				June - 2018				5,499
U.S. Treasury Note 10 yr			Short				USD			379			45,497,766				June - 2018				25,771
																					$52,281
Liability Derivatives
Interest Rate Futures
Euro-Bobl 5 yr			Long				EUR			22			$3,517,114				March - 2018				$(40,023	)
Euro-Buxl 30 yr			Long				EUR			5			985,394				March - 2018				(37,588	)
Euro-Bund 10 yr			Long				EUR			7			1,361,618				March - 2018				(32,981	)
U.S. Treasury Note 5 yr			Long				USD			30			3,417,891				June - 2018				(6,215	)
Canada Bond 10 yr			Short				CAD			12			1,231,421				June - 2018				(9,483	)
U.S. Treasury Bond 30 yr			Short				USD			26			3,729,375				June - 2018				(4,482	)
																					$(130,772	)

At February 28, 2018, the fund had cash collateral of $2,430,000 and other liquid securities with an aggregate value of $696,963 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.

 

19

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Supplemental Information

2/28/18 (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).

 

20

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Supplemental Information (unaudited) – continued

 

Level 3 includes unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts and forward foreign currency exchange contracts. The following is a summary of the levels used as of February 28, 2018 in valuing the fund’s assets or liabilities:

 

Financial Instruments		Level 1				Level 2				Level 3				Total
Equity Securities:
United States			$—				$—				$546,993				$546,993
Colombia			270,904				—				—				270,904
U.S. Treasury Bonds & U.S. Government Agency & Equivalents			—				60,837,520				—				60,837,520
Non-U.S. Sovereign Debt			—				90,882,078				—				90,882,078
Municipal Bonds			—				114,441				—				114,441
U.S. Corporate Bonds			—				270,758,717				—				270,758,717
Residential Mortgage-Backed Securities			—				20,866,170				—				20,866,170
Commercial Mortgage-Backed Securities			—				1,950,168				—				1,950,168
Asset-Backed Securities (including CDOs)			—				8,031,336				—				8,031,336
Foreign Bonds			—				72,460,227				—				72,460,227
Floating Rate Loans			—				1,576,867				—				1,576,867
Mutual Funds			4,700				—				—				4,700
Total Investments			$275,604				$527,477,524				$546,993				$528,300,121
Other Financial Instruments
Futures Contracts – Assets			$52,281				$—				$—				$52,281
Futures Contracts – Liabilities			(130,772	)			—				—				(130,772	)
Forward Foreign Currency Exchange Contracts – Assets			—				1,004,444				—				1,004,444
Forward Foreign Currency Exchange Contracts – Liabilities			—				(2,607,622	)			—				(2,607,622	)

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

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

 

		Equity Securities
Balance as of 8/31/17			$546,993
Change in unrealized appreciation (depreciation)			—
Balance as of 2/28/18			$546,993

At February 28, 2018, the fund held one level 3 security.

(3) Investments in Affiliated Issuers

An affiliated issuer may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the fund assumes the following to be 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							5,804,640				51,089,850				(56,889,790	)			4,700
Affiliated Issuers		Realized Gain (Loss)				Change in Unrealized Appreciation (Depreciation)				Capital Gain Distributions				Dividend Income				Ending Value
MFS Institutional Money Market Portfolio			$(410	)			$138				$—				$20,717				$4,700

 

21

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ITEM 2.

CONTROLS AND PROCEDURES.

 

(a)

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

 

(b)

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

 

ITEM 3.

EXHIBITS.

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

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Notice

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

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SIGNATURES

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

Registrant: MFS CHARTER INCOME TRUST

 

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

Date: April 13, 2018

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, 2018

 

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

Date: April 13, 2018

 

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