UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-5822

MFS CHARTER INCOME TRUST

(Exact name of registrant as specified in charter)

111 Huntington Avenue, Boston, Massachusetts 02199

(Address of principal executive offices) (Zip code)

Kristin V. Collins

Massachusetts Financial Services Company

111 Huntington Avenue

Boston, Massachusetts 02199

(Name and address of agents for service)

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

Date of fiscal year end: November 30

Date of reporting period: August 31, 2016

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ITEM 1.

SCHEDULE OF INVESTMENTS.

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QUARTERLY REPORT

August 31, 2016

 

 

MFS® CHARTER

INCOME TRUST

 

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PORTFOLIO OF INVESTMENTS

8/31/16 (unaudited)

The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.

 

Issuer		Shares/Par				Value ($)
Bonds - 113.8%
Aerospace - 0.6%
CPI International, Inc., 8.75%, 2/15/2018		$	1,250,000			$	1,268,750
Lockheed Martin Corp., 3.55%, 1/15/2026			263,000				285,814
TransDigm, Inc., 6%, 7/15/2022			465,000				483,600
TransDigm, Inc., 6.5%, 7/15/2024			800,000				830,000
						$	2,868,164
Airlines - 0.2%
Ryanair Ltd., 1.125%, 3/10/2023		EUR	775,000			$	886,677
Asset-Backed & Securitized - 5.4%
Atrium CDO Corp., FRN, 1.42%, 11/16/2022 (z)		$	1,594,655			$	1,592,929
Banc of America Commercial Mortgage, Inc., FRN, 5.933%, 2/10/2051			991,766				1,017,001
Bayview Financial Revolving Mortgage Loan Trust, FRN, 2.092%, 12/28/2040 (z)			557,629				405,379
Chesapeake Funding II LLC, 2016-1A, “A2”, FRN, 1.657%, 3/15/2028 (n)			1,643,000				1,656,609
Citigroup/Deutsche Bank Commercial Mortgage Trust, FRN, 5.366%, 12/11/2049			1,605,000				1,622,551
Commercial Mortgage Trust, 2015-DC1, “A5”, 3.35%, 2/10/2048			500,000				534,232
Crest Ltd., CDO, 7%, 1/28/2040 (a)(p)			3,085,961				378,586
Dryden Senior Loan Fund, 2013-26A, “A”, CLO, FRN, 1.78%, 7/15/2025 (n)			722,000				715,535
Enterprise Fleet Financing LLC, 0.91%, 9/20/2018 (z)			795,604				795,029
First Union-Lehman Brothers Bank of America, FRN, 1.118%, 11/18/2035 (i)			3,126,316				39,319
Greenwich Capital Commercial Funding Corp., 5.475%, 3/10/2039			954,545				964,546
John Deere Owner Trust , “A2”, 1.15%, 10/15/2018			1,464,000				1,463,617
JPMorgan Chase Commercial Mortgage Securities Corp., “A3”, FRN, 6.136%, 2/15/2051			83,184				82,995
JPMorgan Chase Commercial Mortgage Securities Corp., “A4”, FRN, 5.926%, 6/15/2049			2,206,489				2,241,781
JPMorgan Chase Commercial Mortgage Trust, 2007-LD11, “AM”, FRN, 5.926%, 6/15/2049			2,142,300				2,151,945
Loomis, Sayles & Co., CLO, “A1”, FRN, 2.21%, 10/15/2027 (z)			2,526,150				2,518,042
Mercedes-Benz Auto Lease Trust, 2015-B, “A2B”, 1.027%, 1/16/2018			1,071,962				1,072,884
Merrill Lynch Mortgage Trust, FRN, 6.022%, 6/12/2050			1,350,000				1,382,247
Morgan Stanley Capital I Trust, “AM”, FRN, 5.864%, 4/15/2049			2,137,000				2,042,866
Wachovia Bank Commercial Mortgage Trust, “A4”, FRN, 6.156%, 2/15/2051			3,093,760				3,144,072
Wells Fargo Commercial Mortgage Trust, 2015-NXS1, “A5”, 3.148%, 5/15/2048			768,632				814,305
						$	26,636,470
Automotive - 1.9%
Accuride Corp., 9.5%, 8/01/2018		$	1,070,000			$	1,021,850
Delphi Automotive PLC, 1.5%, 3/10/2025		EUR	200,000				228,922
Delphi Automotive PLC, 4.25%, 1/15/2026		$	313,000				339,579
Delphi Automotive PLC, 1.6%, 9/15/2028		EUR	100,000				111,412
Ferrari N.V., 1.5%, 3/16/2023		EUR	250,000				287,956
FGA Capital Ireland PLC, 2%, 10/23/2019		EUR	450,000				526,443
Gates Global LLC, 6%, 7/15/2022 (n)		$	430,000				408,500
General Motors Financial Co., Inc., 3.45%, 4/10/2022			256,000				260,950
Lear Corp., 4.75%, 1/15/2023			1,015,000				1,058,138
RCI Banque S.A., 1%, 5/17/2023		EUR	800,000				921,196
Schaeffler Finance B.V., 4.75%, 5/15/2021 (n)		$	1,160,000				1,200,600
Schaeffler Holding Finance B.V., 6.25%, 11/15/2019 (n)			470,000				487,625
Volkswagen International Finance N.V., 3.875% to 9/04/2018, FRN to 9/29/2049		EUR	200,000				232,474
Volkswagen International Finance N.V., FRN, 2.5%, 12/29/2049		EUR	152,000				167,777
ZF North America Capital, Inc., 4.5%, 4/29/2022 (n)		$	1,085,000				1,147,388
ZF North America Capital, Inc., 4.75%, 4/29/2025 (n)			750,000				795,938
						$	9,196,748

 

1

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Biotechnology - 0.0%
Life Technologies Corp., 6%, 3/01/2020		$	200,000			$	223,960
Broadcasting - 1.9%
AMC Networks, Inc., 5%, 4/01/2024		$	1,130,000			$	1,158,250
Clear Channel Worldwide Holdings, Inc., “A”, 6.5%, 11/15/2022			365,000				369,106
Clear Channel Worldwide Holdings, Inc., “B”, 6.5%, 11/15/2022			1,085,000				1,136,538
Discovery Communications, Inc., 1.9%, 3/19/2027		EUR	225,000				242,604
Grupo Televisa S.A.B., 6.125%, 1/31/2046		$	200,000				238,661
iHeartMedia, Inc., 9%, 3/01/2021			1,018,000				763,500
Liberty Media Corp., 8.5%, 7/15/2029			820,000				897,900
Liberty Media Corp., 8.25%, 2/01/2030			210,000				225,750
Match Group, Inc., 6.375%, 6/01/2024			650,000				707,688
Netflix, Inc., 5.375%, 2/01/2021			1,680,000				1,822,800
Netflix, Inc., 5.875%, 2/15/2025			70,000				75,950
Nexstar Broadcasting, Inc., 6.875%, 11/15/2020			1,005,000				1,047,713
Omnicom Group, Inc., 3.65%, 11/01/2024			77,000				81,970
Omnicom Group, Inc., 3.6%, 4/15/2026			290,000				308,931
ProSiebenSat.1 Media AG, 2.625%, 4/15/2021		EUR	240,000				287,900
SES Global Americas Holdings GP, 2.5%, 3/25/2019 (n)		$	181,000				181,413
						$	9,546,674
Brokerage & Asset Managers - 0.1%
Intercontinental Exchange, Inc., 2.75%, 12/01/2020		$	178,000			$	185,452
Intercontinental Exchange, Inc., 3.75%, 12/01/2025			292,000				319,958
						$	505,410
Building - 2.5%
Allegion PLC, 5.875%, 9/15/2023		$	501,000			$	541,080
Allegion U.S. Holding Co., Inc., 5.75%, 10/01/2021			1,630,000				1,707,425
Beacon Roofing Supply, Inc., 6.375%, 10/01/2023			975,000				1,048,125
CEMEX S.A.B. de C.V., 7.25%, 1/15/2021 (n)			423,000				453,668
Elementia S.A. de C.V., 5.5%, 1/15/2025 (n)			210,000				219,636
Gibraltar Industries, Inc., 6.25%, 2/01/2021			1,045,000				1,081,575
HD Supply, Inc., 7.5%, 7/15/2020			1,180,000				1,228,675
HD Supply, Inc., 5.75%, 4/15/2024 (n)			890,000				947,850
Mohawk Industries, Inc., 3.85%, 2/01/2023			134,000				140,593
Owens Corning, 4.2%, 12/15/2022			127,000				135,582
Owens Corning, 3.4%, 8/15/2026			238,000				237,643
PriSo Acquisition Corp., 9%, 5/15/2023 (n)			845,000				828,100
Standard Industries, Inc., 5.375%, 11/15/2024 (n)			1,380,000				1,467,975
Standard Industries, Inc., 6%, 10/15/2025 (n)			750,000				822,188
Summit Materials LLC/Summit Materials Finance Co., 6.125%, 7/15/2023			1,125,000				1,141,875
Union Andina de Cementos S.A.A., 5.875%, 10/30/2021 (n)			492,000				513,894
						$	12,515,884
Business Services - 1.5%
Cisco Systems, Inc., 2.2%, 2/28/2021		$	350,000			$	359,488
Equinix, Inc., 4.875%, 4/01/2020			565,000				587,600
Equinix, Inc., 5.375%, 1/01/2022			305,000				325,777
Equinix, Inc., 5.375%, 4/01/2023			925,000				978,188
Equinix, Inc., 5.75%, 1/01/2025			202,000				216,140
Fidelity National Information Services, Inc., 3.875%, 6/05/2024			537,000				575,145
Fidelity National Information Services, Inc., 5%, 10/15/2025			138,000				158,395
Fidelity National Information Services, Inc., 3%, 8/15/2026			267,000				266,108
Fidelity National Information Services, Inc., 4.5%, 8/15/2046			133,000				135,666

 

2

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Business Services - continued
Iron Mountain, Inc., REIT, 6%, 10/01/2020 (n)		$	510,000			$	541,880
Iron Mountain, Inc., REIT, 6%, 8/15/2023			1,540,000				1,643,950
NeuStar, Inc., 4.5%, 1/15/2023			910,000				814,450
Tencent Holdings Ltd., 3.375%, 3/05/2018 (n)			449,000				459,601
Tencent Holdings Ltd., 3.8%, 2/11/2025 (n)			485,000				517,457
						$	7,579,845
Cable TV - 5.4%
Altice Financing S.A., 6.5%, 1/15/2022 (n)		$	2,005,000			$	2,110,263
Altice Financing S.A., 6.625%, 2/15/2023 (n)			2,345,000				2,441,731
CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023 (n)			1,555,000				1,636,155
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 1/15/2024			1,565,000				1,664,769
CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025 (n)			335,000				353,006
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 2/15/2026 (n)			525,000				561,750
Cequel Communications Holdings, 6.375%, 9/15/2020 (n)			1,340,000				1,385,225
Charter Operating/CCO Capital Corp., 6.384%, 10/23/2035 (n)			217,000				259,468
Comcast Corp., 2.75%, 3/01/2023			880,000				917,991
Comcast Corp., 4.75%, 3/01/2044			223,000				267,029
DISH DBS Corp., 5%, 3/15/2023			1,065,000				1,025,169
DISH DBS Corp., 5.875%, 11/15/2024			1,950,000				1,923,188
Intelsat Jackson Holdings S.A., 7.25%, 4/01/2019			395,000				316,494
Intelsat Jackson Holdings S.A., 5.5%, 8/01/2023			545,000				371,963
Intelsat Jackson Holdings S.A., 8%, 2/15/2024 (n)			245,000				245,919
Intelsat Luxembourg S.A., 8.125%, 6/01/2023			480,000				142,200
LGE Holdco VI B.V., 7.125%, 5/15/2024 (n)		EUR	520,000				656,889
Lynx II Corp., 6.375%, 4/15/2023 (n)		$	555,000				591,075
Neptune Finco Corp., 10.875%, 10/15/2025 (n)			565,000				662,463
Shaw Communications, Inc., 5.65%, 10/01/2019		CAD	260,000				217,493
Sirius XM Radio, Inc., 5.875%, 10/01/2020 (n)		$	120,000				123,900
Sirius XM Radio, Inc., 5.75%, 8/01/2021 (n)			185,000				193,325
Sirius XM Radio, Inc., 4.625%, 5/15/2023 (n)			740,000				748,325
Sirius XM Radio, Inc., 6%, 7/15/2024 (n)			1,510,000				1,621,363
Sirius XM Radio, Inc., 5.375%, 4/15/2025 (n)			705,000				738,488
Sirius XM Radio, Inc., 5.375%, 7/15/2026 (n)			235,000				241,756
Sky PLC, 2.5%, 9/15/2026		EUR	350,000				434,802
Time Warner Cable, Inc., 5.75%, 6/02/2031		GBP	100,000				165,833
Time Warner Cable, Inc., 5.25%, 7/15/2042		GBP	100,000				162,400
Time Warner Cable, Inc., 4.5%, 9/15/2042		$	119,000				115,143
Unitymedia Hessen, 5.5%, 1/15/2023 (n)			1,350,000				1,420,875
Unitymedia KabelBW GmbH, 6.125%, 1/15/2025 (n)			770,000				825,825
Virgin Media Finance PLC, 5.75%, 1/15/2025 (n)			200,000				203,500
Virgin Media Secured Finance PLC, 5.375%, 4/15/2021 (n)			342,000				355,680
Virgin Media Secured Finance PLC, 5.25%, 1/15/2026 (n)			800,000				818,000
VTR Finance B.V., 6.875%, 1/15/2024 (n)			480,000				503,856
Ziggo Bond Finance B.V., 5.875%, 1/15/2025 (n)			400,000				402,000
						$	26,825,311
Chemicals - 1.6%
Axalta Coating Systems Co., 4.875%, 8/15/2024 (n)		$	520,000			$	542,100
Chemours Co., 6.625%, 5/15/2023			685,000				657,600
Consolidated Energy Finance S.A., 6.75%, 10/15/2019 (n)			380,000				366,700
GCP Applied Technologies Co., 9.5%, 2/01/2023 (n)			1,035,000				1,185,075
Hexion U.S. Finance Corp., 6.625%, 4/15/2020			175,000				151,704
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, 8.875%, 2/01/2018			780,000				729,300
International Flavors & Fragrances, Inc., 1.75%, 3/14/2024		EUR	230,000				276,445

 

3

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Chemicals - continued
LYB International Finance B.V., 4%, 7/15/2023		$	135,000			$	147,059
LyondellBasell Industries N.V., 4.625%, 2/26/2055			400,000				401,326
Momentive Performance Materials, Inc., 3.88%, 10/24/2021			530,000				438,019
Tronox Finance LLC, 6.375%, 8/15/2020			1,585,000				1,434,425
Tronox Finance LLC, 7.5%, 3/15/2022 (n)			795,000				713,513
W.R. Grace & Co., 5.125%, 10/01/2021 (n)			800,000				852,000
						$	7,895,266
Computer Software - 0.8%
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.875%, 6/15/2021 (n)		$	485,000			$	512,811
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 8.1%, 7/15/2036 (n)			1,065,000				1,237,153
Microsoft Corp., 1.55%, 8/08/2021			655,000				654,202
Oracle Corp., 3.4%, 7/08/2024			251,000				269,343
VeriSign, Inc., 4.625%, 5/01/2023			1,465,000				1,497,963
						$	4,171,472
Computer Software - Systems - 0.9%
Apple, Inc., 2.7%, 5/13/2022		$	400,000			$	418,081
Apple, Inc., 3.6%, 7/31/2042		GBP	130,000				215,782
CDW LLC/CDW Finance Corp., 6%, 8/15/2022		$	275,000				295,281
CDW LLC/CDW Finance Corp., 5.5%, 12/01/2024			395,000				423,322
Sabre GLBL, Inc., 5.375%, 4/15/2023 (n)			1,865,000				1,927,944
Western Digital Corp., 10.5%, 4/01/2024 (n)			1,065,000				1,203,450
						$	4,483,860
Conglomerates - 2.3%
Amsted Industries Co., 5%, 3/15/2022 (n)		$	2,335,000			$	2,370,025
Apex Tool Group, 7%, 2/01/2021 (n)			1,270,000				1,200,150
EnerSys, 5%, 4/30/2023 (n)			1,870,000				1,865,325
Enpro Industries, Inc., 5.875%, 9/15/2022			1,685,000				1,739,763
Entegris, Inc., 6%, 4/01/2022 (n)			1,575,000				1,638,000
General Electric Capital Corp., 3.1%, 1/09/2023			215,000				229,806
General Electric Co., 1.25%, 5/26/2023		EUR	100,000				118,675
Renaissance Acquisition, 6.875%, 8/15/2021 (n)		$	1,345,000				1,240,763
SPX FLOW, Inc., 5.625%, 8/15/2024 (n)			785,000				806,588
						$	11,209,095
Construction - 0.0%
Empresas ICA S.A.B. de C.V., 8.9%, 2/04/2021 (a)(d)		$	450,000			$	82,125
Empresas ICA S.A.B. de C.V., 8.875%, 5/29/2024 (a)(d)(n)			853,000				153,540
						$	235,665
Consumer Products - 1.0%
NBTY, Inc., 7.625%, 5/15/2021 (n)		$	855,000			$	874,238
Newell Rubbermaid, Inc., 3.85%, 4/01/2023			279,000				298,089
Newell Rubbermaid, Inc., 4%, 12/01/2024			400,000				426,187
Newell Rubbermaid, Inc., 5.375%, 4/01/2036			108,000				128,988
Prestige Brands, Inc., 5.375%, 12/15/2021 (n)			1,085,000				1,124,331
Reckitt Benckiser Treasury Services PLC, 3.625%, 9/21/2023 (n)			250,000				270,211
Spectrum Brands, Inc., 6.375%, 11/15/2020			820,000				851,775
Spectrum Brands, Inc., 6.125%, 12/15/2024			170,000				183,388
Spectrum Brands, Inc., 5.75%, 7/15/2025			835,000				904,931
						$	5,062,138
Consumer Services - 2.4%
ADT Corp., 6.25%, 10/15/2021		$	2,155,000			$	2,359,725
ADT Corp., 4.125%, 6/15/2023			60,000				58,800

 

4

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Consumer Services - continued
Garda World Security Corp., 7.25%, 11/15/2021 (n)		$	860,000			$	784,750
Garda World Security Corp., 7.25%, 11/15/2021 (n)			830,000				757,375
Grupo Posadas S.A.B. de C.V., 7.875%, 6/30/2022 (n)			800,000				840,000
Interval Acquisition Corp., 5.625%, 4/15/2023			2,065,000				2,137,275
Mobile Mini, Inc., 5.875%, 7/01/2024			1,255,000				1,305,200
Monitronics International, Inc., 9.125%, 4/01/2020			1,360,000				1,258,000
Priceline Group, Inc., 2.15%, 11/25/2022		EUR	110,000				132,054
Priceline Group, Inc., 1.8%, 3/03/2027		EUR	1,100,000				1,236,103
Service Corp. International, 5.375%, 5/15/2024		$	873,000				936,293
						$	11,805,575
Containers - 3.1%
Ball Corp., 5%, 3/15/2022		$	1,351,000			$	1,459,080
Berry Plastics Group, Inc., 5.5%, 5/15/2022			1,025,000				1,066,000
Berry Plastics Group, Inc., 6%, 10/15/2022			975,000				1,033,500
Crown American LLC, 4.5%, 1/15/2023			1,179,000				1,232,055
Crown European Holdings S.A., 3.375%, 5/15/2025 (z)		EUR	350,000				413,442
Multi-Color Corp., 6.125%, 12/01/2022 (n)		$	1,345,000				1,403,844
Plastipak Holdings, Inc., 6.5%, 10/01/2021 (n)			1,408,000				1,464,320
Reynolds Group, 5.75%, 10/15/2020			510,000				525,938
Reynolds Group, 8.25%, 2/15/2021			2,145,000				2,230,800
Reynolds Group, 5.125%, 7/15/2023 (n)			675,000				700,313
Reynolds Group, 7%, 7/15/2024 (n)			70,000				74,988
Sealed Air Corp., 4.875%, 12/01/2022 (n)			1,495,000				1,569,750
Sealed Air Corp., 4.5%, 9/15/2023 (n)		EUR	225,000				279,688
Sealed Air Corp., 5.125%, 12/01/2024 (n)		$	390,000				417,300
Signode Industrial Group, 6.375%, 5/01/2022 (n)			1,360,000				1,387,200
						$	15,258,218
Defense Electronics - 0.0%
BAE Systems PLC, 4.125%, 6/08/2022		GBP	150,000			$	226,007
Electrical Equipment - 0.0%
Arrow Electronics, Inc., 3.5%, 4/01/2022		$	173,000			$	176,175
Electronics - 1.4%
Advanced Micro Devices, Inc., 6.75%, 3/01/2019		$	580,000			$	582,900
Advanced Micro Devices, Inc., 7%, 7/01/2024			475,000				437,000
Flextronics International Ltd., 4.625%, 2/15/2020			112,000				117,630
Micron Technology, Inc., 5.875%, 2/15/2022			890,000				898,900
Micron Technology, Inc., 5.5%, 2/01/2025			815,000				789,531
NXP B.V./NXP Funding LLC, 5.75%, 3/15/2023 (n)			1,730,000				1,841,568
NXP B.V./NXP Funding LLC, 4.625%, 6/01/2023 (n)			222,000				234,210
Sensata Technologies B.V., 5.625%, 11/01/2024 (n)			520,000				551,200
Sensata Technologies B.V., 5%, 10/01/2025 (n)			835,000				864,225
Tyco Electronics Group S.A., 2.375%, 12/17/2018			294,000				299,406
Tyco Electronics Group S.A., 1.1%, 3/01/2023		EUR	350,000				401,682
						$	7,018,252
Emerging Market Quasi-Sovereign - 1.1%
CNPC General Capital Ltd., 3.4%, 4/16/2023 (n)		$	293,000			$	305,890
Comision Federal de Electricidad, 4.875%, 1/15/2024			234,000				252,135
Corporacion Financiera de Desarrollo S.A., FRN, 5.25%, 7/15/2029 (n)			364,000				391,482
Empresa Nacional del Petroleo, 4.375%, 10/30/2024 (n)			425,000				454,464
Empresa Nacional del Petroleo, 3.75%, 8/05/2026 (z)			207,000				211,734

 

5

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Emerging Market Quasi-Sovereign - continued
Gaz Capital S.A., 4.95%, 2/06/2028		$	383,000			$	383,237
Majapahit Holding B.V., 7.25%, 6/28/2017 (n)			591,000				615,527
Office Cherifien des Phosphates, 6.875%, 4/25/2044 (n)			351,000				412,495
ONGC Videsh Ltd., 4.625%, 7/15/2024			511,000				557,445
Pemex Project Funding Master Trust, 5.75%, 3/01/2018			642,000				674,742
Pertamina PT, 6%, 5/03/2042 (n)			318,000				350,169
Pertamina PT, 5.625%, 5/20/2043 (n)			375,000				394,644
Petroleos Mexicanos, 4.875%, 1/24/2022			246,000				256,234
Petroleos Mexicanos, 6.875%, 8/04/2026 (n)			233,000				270,863
						$	5,531,061
Emerging Market Sovereign - 3.1%
Dominican Republic, 7.5%, 5/06/2021 (n)		$	548,000			$	616,226
Dominican Republic, 5.875%, 4/18/2024 (n)			121,000				129,773
Dominican Republic, 8.625%, 4/20/2027			1,075,000				1,303,438
Republic of Angola, 7%, 8/16/2019			361,500				361,970
Republic of Argentina, 7%, 4/17/2017			640,000				655,057
Republic of Argentina, 7.5%, 4/22/2026 (n)			191,000				212,965
Republic of Argentina, 2.5% to 3/31/2019, 3.75% to 3/31/2029, 5.25% to 12/31/2038			353,000				246,218
Republic of Croatia, 5.5%, 4/04/2023 (n)			1,146,000				1,252,005
Republic of Hungary, 5.375%, 2/21/2023			1,104,000				1,251,384
Republic of Hungary, 5.375%, 3/25/2024			172,000				197,164
Republic of Indonesia, 11.625%, 3/04/2019 (n)			571,000				706,608
Republic of Indonesia, 2.875%, 7/08/2021 (z)		EUR	175,000				209,844
Republic of Indonesia, 3.375%, 4/15/2023 (n)		$	302,000				311,084
Republic of Indonesia, 4.125%, 1/15/2025 (n)			342,000				363,819
Republic of Kazakhstan, 5.125%, 7/21/2025 (n)			341,000				383,284
Republic of Panama, 3.75%, 3/16/2025			204,000				220,830
Republic of Panama, 9.375%, 4/01/2029			719,000				1,128,830
Republic of Paraguay, 6.1%, 8/11/2044 (n)			550,000				632,500
Republic of Sri Lanka, 6.125%, 6/03/2025			1,286,000				1,322,991
Republic of Turkey, 3.25%, 3/23/2023			633,000				600,831
Russian Federation, 4.875%, 9/16/2023 (n)			400,000				437,520
United Mexican States, 6.5%, 6/10/2021		MXN	38,500,000				2,123,190
United Mexican States, 3.625%, 3/15/2022		$	506,000				539,523
						$	15,207,054
Energy - Independent - 3.4%
Afren PLC, 15%, 4/25/2016 (a)(d)(p)		$	388,334			$	42,853
Afren PLC, 10.25%, 4/08/2019 (a)(d)(n)			463,000				463
Bonanza Creek Energy, Inc., 6.75%, 4/15/2021			750,000				341,250
Carrizo Oil & Gas, Inc., 6.25%, 4/15/2023			730,000				720,875
Chaparral Energy, Inc., 7.625%, 11/15/2022 (a)(d)			800,000				504,000
Concho Resources, Inc., 5.5%, 4/01/2023			1,375,000				1,419,688
Consol Energy, Inc., 5.875%, 4/15/2022			505,000				457,025
Consol Energy, Inc., 8%, 4/01/2023			1,140,000				1,111,500
Continental Resources, Inc., 4.5%, 4/15/2023			1,300,000				1,225,250
Oasis Petroleum, Inc., 6.875%, 3/15/2022			895,000				832,350
QEP Resources, Inc., 5.25%, 5/01/2023			2,170,000				2,126,600
Range Resources Corp., 4.875%, 5/15/2025			905,000				873,325
Rice Energy, Inc., 7.25%, 5/01/2023			780,000				815,100
RSP Permian, Inc., 6.625%, 10/01/2022			1,205,000				1,253,200
Sanchez Energy Corp., 6.125%, 1/15/2023			1,430,000				1,129,700
Seven Generations Energy, 8.25%, 5/15/2020 (n)			330,000				351,038
SM Energy Co., 6.5%, 11/15/2021			1,345,000				1,331,550

 

6

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Energy - Independent - continued
SM Energy Co., 6.125%, 11/15/2022		$	645,000			$	627,263
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 (n)			201,000				200,397
Whiting Petroleum Corp., 6.25%, 4/01/2023			625,000				546,875
WPX Energy, Inc., 6%, 1/15/2022			995,000				967,638
						$	16,877,940
Energy - Integrated - 0.7%
Cenovus Energy, Inc., 6.75%, 11/15/2039		$	782,000			$	834,966
Cenovus Energy, Inc., 4.45%, 9/15/2042			525,000				427,369
Inkia Energy Ltd., 8.375%, 4/04/2021			754,000				785,291
Listrindo Capital B.V., 6.95%, 2/21/2019 (n)			200,000				207,022
LUKOIL International Finance B.V., 4.563%, 4/24/2023 (n)			544,000				560,409
Pacific Exploration and Production Corp., 7.25%, 12/12/2021 (n)			1,107,000				193,725
Pacific Exploration and Production Corp., 5.125%, 3/28/2023 (n)			201,000				35,175
Pacific Exploration and Production Corp., 5.625%, 1/19/2025 (n)			173,000				30,275
TOTAL S.A., 2.625% to 2/26/2025, FRN to 12/29/2049		EUR	200,000				220,633
						$	3,294,865
Entertainment - 1.2%
Carnival Corp., 1.875%, 11/07/2022		EUR	330,000			$	396,287
Cedar Fair LP, 5.25%, 3/15/2021		$	1,260,000				1,307,250
Cedar Fair LP, 5.375%, 6/01/2024			405,000				428,288
Cinemark USA, Inc., 5.125%, 12/15/2022			1,430,000				1,480,050
Cinemark USA, Inc., 4.875%, 6/01/2023			780,000				799,500
Six Flags Entertainment Corp., 5.25%, 1/15/2021 (n)			1,255,000				1,298,925
						$	5,710,300
Financial Institutions - 3.9%
Aircastle Ltd., 4.625%, 12/15/2018		$	130,000			$	136,013
Aircastle Ltd., 5.125%, 3/15/2021			1,470,000				1,594,950
Aircastle Ltd., 5.5%, 2/15/2022			1,215,000				1,319,794
CIT Group, Inc., 5.25%, 3/15/2018			1,270,000				1,323,975
CIT Group, Inc., 6.625%, 4/01/2018 (n)			1,305,000				1,390,478
CIT Group, Inc., 5.5%, 2/15/2019 (n)			1,560,000				1,651,650
CIT Group, Inc., 5%, 8/15/2022			275,000				291,500
Credit Acceptance Corp., 6.125%, 2/15/2021			108,000				108,540
Credit Acceptance Corp., 7.375%, 3/15/2023			1,285,000				1,310,700
Icahn Enterprises LP, 6%, 8/01/2020			1,300,000				1,249,625
Icahn Enterprises LP, 5.875%, 2/01/2022			1,410,000				1,316,588
Nationstar Mortgage LLC/Capital Corp., 6.5%, 8/01/2018			615,000				613,463
Nationstar Mortgage LLC/Capital Corp., 7.875%, 10/01/2020			2,180,000				2,196,350
Nationstar Mortgage LLC/Capital Corp., 6.5%, 7/01/2021			260,000				247,650
Navient Corp., 8%, 3/25/2020			1,135,000				1,231,475
Navient Corp., 5.875%, 3/25/2021			405,000				410,569
Navient Corp., 7.25%, 1/25/2022			2,410,000				2,503,388
Navient Corp., 6.125%, 3/25/2024			515,000				494,400
						$	19,391,108
Food & Beverages - 2.4%
Anheuser-Busch InBev N.V., 1.5%, 4/18/2030		EUR	250,000			$	291,544
Anheuser-Busch InBev S.A., 6.875%, 11/15/2019		$	300,000				349,006
Anheuser-Busch InBev Worldwide, Inc., 0.875%, 3/17/2022		EUR	100,000				114,568
Anheuser-Busch InBev Worldwide, Inc., 3.3%, 2/01/2023		$	408,000				428,449
Anheuser-Busch InBev Worldwide, Inc., 4.7%, 2/01/2036			533,000				618,524
Coca-Cola Co., 0.75%, 3/09/2023		EUR	175,000				202,169

 

7

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Food & Beverages - continued
Coca-Cola Co., 1.125%, 3/09/2027		EUR	125,000			$	147,408
Coca-Cola Enterprises, Inc., 1.875%, 3/18/2030		EUR	200,000				237,384
Darling Ingredients, Inc., 5.375%, 1/15/2022		$	1,095,000				1,149,750
Gruma S.A.B. de C.V., 4.875%, 12/01/2024 (n)			202,000				225,483
J.M. Smucker Co., 2.5%, 3/15/2020			365,000				374,240
J.M. Smucker Co., 4.375%, 3/15/2045			70,000				79,217
JBS Investments GmbH, 7.25%, 4/03/2024			200,000				211,700
JBS USA LLC/JBS USA Finance, Inc., 5.875%, 7/15/2024 (n)			990,000				1,022,175
Kraft Heinz Foods Co., 3.5%, 7/15/2022			202,000				215,854
Kraft Heinz Foods Co., 3%, 6/01/2026			178,000				180,374
Kraft Heinz Foods Co., 5%, 7/15/2035			102,000				120,104
Mead Johnson Nutrition Co., 3%, 11/15/2020			287,000				299,686
PepsiCo, Inc., 2.15%, 10/14/2020			858,000				880,147
PepsiCo, Inc., 0.875%, 7/18/2028		EUR	100,000				114,291
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.875%, 1/15/2024 (n)		$	1,095,000				1,179,863
Sun Merger Sub, Inc., 5.875%, 8/01/2021 (n)			1,735,000				1,813,075
Tyson Foods, Inc., 5.15%, 8/15/2044			81,000				98,332
U.S. Foods Holding Corp., 5.875%, 6/15/2024 (n)			1,265,000				1,325,088
Wm. Wrigley Jr. Co., 2.9%, 10/21/2019 (n)			107,000				110,972
Wm. Wrigley Jr. Co., 3.375%, 10/21/2020 (n)			300,000				317,767
						$	12,107,170
Food & Drug Stores - 0.4%
CVS Health Corp., 3.375%, 8/12/2024		$	340,000			$	361,434
CVS Health Corp., 3.5%, 7/20/2022			667,000				716,935
Walgreens Boots Alliance, Inc., 2.7%, 11/18/2019			333,000				343,817
Walgreens Boots Alliance, Inc., 2.875%, 11/20/2020		GBP	250,000				347,357
Walgreens Boots Alliance, Inc., 4.5%, 11/18/2034		$	326,000				354,146
						$	2,123,689
Forest & Paper Products - 0.1%
Appvion, Inc., 9%, 6/01/2020 (n)		$	595,000			$	380,800
Tembec Industries, Inc., 9%, 12/15/2019 (n)			217,000				169,260
						$	550,060
Gaming & Lodging - 2.4%
CCM Merger, Inc., 9.125%, 5/01/2019 (n)		$	1,055,000			$	1,106,431
GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/01/2023			1,500,000				1,642,500
GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026			175,000				191,188
Greektown Holdings LLC, 8.875%, 3/15/2019 (n)			1,025,000				1,081,375
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.625%, 10/15/2021			1,890,000				1,955,067
InterContinental Hotels Group PLC, 3.75%, 8/14/2025		GBP	100,000				149,771
Isle of Capri Casinos, Inc., 8.875%, 6/15/2020		$	300,000				314,625
Isle of Capri Casinos, Inc., 5.875%, 3/15/2021			1,070,000				1,116,813
MGM Resorts International, 6.625%, 12/15/2021			960,000				1,077,600
MGM Resorts International, 6%, 3/15/2023			1,205,000				1,308,148
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2021			1,375,000				1,419,688
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2023			345,000				351,038
						$	11,714,244
Industrial - 0.7%
Dematic S.A., 7.75%, 12/15/2020 (n)		$	1,515,000			$	1,581,281
Howard Hughes Corp., 6.875%, 10/01/2021 (n)			1,790,000				1,879,500
						$	3,460,781

 

8

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Insurance - 0.4%
Allianz SE, 2.241% to 7/07/2025, FRN to 7/07/2045		EUR	200,000			$	222,256
American International Group, Inc., 4.875%, 6/01/2022		$	187,000				209,526
American International Group, Inc., 1.5%, 6/08/2023		EUR	160,000				186,811
American International Group, Inc., 3.75%, 7/10/2025		$	400,000				422,265
Aviva PLC, 3.375%, 12/04/2045		EUR	260,000				285,204
CNP Assurances S.A., 6% to 9/14/2020, FRN to 9/14/2040		EUR	200,000				250,140
Delta Lloyd N.V., FRN, 9%, 8/29/2042		EUR	250,000				334,635
						$	1,910,837
Insurance - Health - 0.5%
Aetna, Inc., 2.8%, 6/15/2023		$	317,000			$	324,356
Aetna, Inc., 4.25%, 6/15/2036			237,000				246,575
Centene Corp., 5.625%, 2/15/2021			495,000				526,556
Centene Corp., 6.125%, 2/15/2024			730,000				795,700
UnitedHealth Group, Inc., 2.7%, 7/15/2020			528,000				550,857
						$	2,444,044
Insurance - Property & Casualty - 0.5%
Berkshire Hathaway, Inc., 2.75%, 3/15/2023		$	234,000			$	243,366
Berkshire Hathaway, Inc., 2.15%, 3/15/2028		EUR	130,000				161,849
Berkshire Hathaway, Inc., 1.625%, 3/16/2035		EUR	150,000				171,776
Chubb INA Holdings, Inc., 2.3%, 11/03/2020		$	95,000				97,770
Chubb INA Holdings, Inc., 2.875%, 11/03/2022			221,000				232,785
Liberty Mutual Group, Inc., 4.25%, 6/15/2023			365,000				395,351
Liberty Mutual Group, Inc., 2.75%, 5/04/2026 (z)		EUR	100,000				120,848
Liberty Mutual Group, Inc., 4.85%, 8/01/2044 (n)		$	125,000				133,302
Marsh & McLennan Cos., Inc., 3.5%, 6/03/2024			159,000				166,811
QBE Capital Funding III Ltd., 7.5% to 5/24/2021, FRN to 5/24/2041		GBP	200,000				298,090
ZFS Finance USA Trust V, 6.5% to 5/09/2017, FRN to 5/09/2067 (n)		$	627,000				636,405
						$	2,658,353
International Market Quasi-Sovereign - 0.1%
Electricite de France S.A., 5.375% to 1/29/2025, FRN to 1/29/2049		EUR	200,000			$	230,777
Electricite de France S.A., 6% to 1/29/26, FRN to 12/29/2049		GBP	100,000				134,500
						$	365,277
International Market Sovereign - 11.6%
Commonwealth of Australia, 5.75%, 5/15/2021		AUD	4,365,000			$	3,908,414
Commonwealth of Australia, 3.75%, 4/21/2037		AUD	600,000				546,691
Federal Republic of Germany, 6.25%, 1/04/2030		EUR	442,000				908,452
Federal Republic of Germany, 2.5%, 7/04/2044		EUR	120,000				207,094
Government of Canada, 3.25%, 6/01/2021		CAD	187,000				160,131
Government of Canada, 2.5%, 6/01/2024		CAD	5,700,000				4,887,335
Government of Canada, 5.75%, 6/01/2033		CAD	948,000				1,175,631
Government of Japan, 0.8%, 6/20/2023		JPY	500,000,000				5,158,556
Government of Japan, 0.3%, 12/20/2025		JPY	16,400,000				164,406
Government of Japan, 2.2%, 9/20/2027		JPY	787,000,000				9,479,370
Government of Japan, 2.4%, 3/20/2037		JPY	493,400,000				6,696,201
Government of Japan, 1.8%, 3/20/2043		JPY	81,000,000				1,057,779
Government of New Zealand, 5.5%, 4/15/2023		NZD	2,369,000				2,094,840
Government of Norway, 3.75%, 5/25/2021		NOK	31,200,000				4,268,204
Government of Norway, 3%, 3/14/2024		NOK	2,445,000				337,267
Kingdom of Spain, 4.6%, 7/30/2019		EUR	1,130,000				1,431,377
Kingdom of Spain, 5.4%, 1/31/2023		EUR	1,416,000				2,077,326
Republic of France, 4.75%, 4/25/2035		EUR	468,000				896,676

 

9

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
International Market Sovereign - continued
Republic of Ireland, 4.5%, 4/18/2020		EUR	222,000			$	291,516
Republic of Italy, 3.75%, 3/01/2021		EUR	3,142,000				4,065,854
Republic of Italy, 5.5%, 9/01/2022		EUR	925,000				1,338,595
United Kingdom Treasury, 4.25%, 12/07/2027		GBP	938,000				1,701,106
United Kingdom Treasury, 4.25%, 3/07/2036		GBP	1,415,000				2,878,099
United Kingdom Treasury, 3.25%, 1/22/2044		GBP	850,000				1,631,440
						$	57,362,360
Local Authorities - 0.1%
Province of Alberta, 1.25%, 6/01/2020		CAD	188,000			$	143,992
Province of Manitoba, 4.15%, 6/03/2020		CAD	166,000				140,423
						$	284,415
Machinery & Tools - 1.3%
Ashtead Capital, Inc., 5.625%, 10/01/2024 (n)		$	1,185,000			$	1,245,731
CNH Industrial Capital LLC, 4.375%, 11/06/2020			1,930,000				2,028,913
CNH Industrial N.V., 4.5%, 8/15/2023			725,000				735,875
H&E Equipment Services Co., 7%, 9/01/2022			1,805,000				1,904,275
Light Tower Rentals, Inc., 8.125%, 8/01/2019 (a)(d)(n)			615,000				292,125
						$	6,206,919
Major Banks - 2.9%
ABN AMRO North America Finance, Inc., 7.125%, 7/06/2022		EUR	150,000			$	217,087
Bank of America Corp., 7.625%, 6/01/2019		$	370,000				425,257
Bank of America Corp., 2.625%, 4/19/2021			370,000				377,039
Bank of America Corp., FRN, 6.1%, 12/29/2049			3,467,000				3,644,684
Bank of America Corp., FRN, 6.3%, 12/29/2049			390,000				426,075
Barclays Bank PLC, 6%, 1/14/2021		EUR	250,000				327,161
Barclays Bank PLC, 6.75% to 1/16/2018, FRN to 1/16/2023		GBP	100,000				138,104
Credit Agricole S.A., 7.375%, 12/18/2023		GBP	100,000				172,834
Credit Suisse Group AG, 6.5%, 8/08/2023 (n)		$	200,000				218,858
Goldman Sachs Group, Inc., 2.625%, 4/25/2021			360,000				366,611
Goldman Sachs Group, Inc., 5.75%, 1/24/2022			500,000				580,279
Huntington National Bank, 2.4%, 4/01/2020			286,000				289,637
JPMorgan Chase & Co., 6.3%, 4/23/2019			500,000				559,317
JPMorgan Chase & Co., 3.25%, 9/23/2022			478,000				502,178
JPMorgan Chase & Co., 6.75% to 2/01/2024, FRN to 1/29/2049			215,000				242,458
JPMorgan Chase & Co., 6% to 8/01/2023, FRN to 12/29/2049			2,410,000				2,540,622
Morgan Stanley, 6.625%, 4/01/2018			391,000				421,632
Morgan Stanley, 2.2%, 12/07/2018			238,000				240,815
Morgan Stanley, 3.95%, 4/23/2027			229,000				238,354
Nationwide Building Society, 0.5%, 10/29/2019		EUR	200,000				225,232
Nationwide Building Society, 1.25%, 3/03/2025		EUR	240,000				277,463
PNC Bank N.A., 2.6%, 7/21/2020		$	295,000				304,568
Royal Bank of Scotland Group PLC, 7.5% to 8/10/2020, FRN to 12/29/2049			1,440,000				1,364,400
Royal Bank of Scotland Group PLC, 8.625% to 8/15/2021, FRN to 12/29/2049			350,000				356,563
Wells Fargo & Co., 4.1%, 6/03/2026			100,000				108,646
						$	14,565,874
Medical & Health Technology & Services - 4.9%
AmSurg Corp., 5.625%, 7/15/2022		$	1,195,000			$	1,233,838
Becton, Dickinson and Co., 2.675%, 12/15/2019			434,000				449,480
Becton, Dickinson and Co., 3.734%, 12/15/2024			516,000				561,108
CHS/Community Health Systems, Inc., 6.875%, 2/01/2022			2,390,000				1,983,700
Davita Healthcare Partners, Inc., 5%, 5/01/2025			1,115,000				1,130,053

 

10

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Medical & Health Technology & Services - continued
Davita, Inc., 5.125%, 7/15/2024		$	935,000			$	965,388
HCA, Inc., 4.25%, 10/15/2019			145,000				152,069
HCA, Inc., 7.5%, 2/15/2022			2,660,000				3,032,400
HCA, Inc., 5.875%, 3/15/2022			1,980,000				2,178,000
HCA, Inc., 5%, 3/15/2024			690,000				731,400
HCA, Inc., 5.375%, 2/01/2025			520,000				535,600
HCA, Inc., 5.875%, 2/15/2026			415,000				438,863
HCA, Inc., 5.25%, 6/15/2026			215,000				229,781
HealthSouth Corp., 5.125%, 3/15/2023			1,180,000				1,194,750
HealthSouth Corp., 5.75%, 11/01/2024			960,000				995,520
Laboratory Corp. of America Holdings, 3.2%, 2/01/2022			200,000				207,834
Laboratory Corp. of America Holdings, 4.7%, 2/01/2045			310,000				340,845
McKesson Corp., 7.5%, 2/15/2019			110,000				125,314
MEDNAX, Inc., 5.25%, 12/01/2023 (z)			1,010,000				1,063,025
Quorum Health Corp., 11.625%, 4/15/2023 (n)			630,000				533,925
Tenet Healthcare Corp., 8%, 8/01/2020			2,015,000				2,047,744
Tenet Healthcare Corp., 8.125%, 4/01/2022			1,570,000				1,589,625
Tenet Healthcare Corp., 6.75%, 6/15/2023			610,000				580,263
Thermo Fisher Scientific, Inc., 3%, 4/15/2023			360,000				369,017
Universal Health Services, Inc., 7.625%, 8/15/2020			1,325,000				1,268,688
Universal Health Services, Inc., 5%, 6/01/2026 (n)			239,000				247,365
						$	24,185,595
Medical Equipment - 0.8%
Hologic, Inc., 5.25%, 7/15/2022 (n)		$	1,065,000			$	1,132,894
Medtronic, Inc., 3.5%, 3/15/2025			615,000				667,041
Teleflex, Inc., 5.25%, 6/15/2024			1,220,000				1,277,950
Teleflex, Inc., 4.875%, 6/01/2026			610,000				635,925
Zimmer Holdings, Inc., 4.25%, 8/15/2035			145,000				149,465
Zimmer Holdings, Inc., 4.45%, 8/15/2045			91,000				95,880
						$	3,959,155
Metals & Mining - 3.3%
Allegheny Technologies, Inc., 5.95%, 1/15/2021		$	700,000			$	652,750
Barrick Gold Corp., 4.1%, 5/01/2023			9,000				9,689
Barrick North America Finance LLC, 5.7%, 5/30/2041			78,000				90,209
Barrick North America Finance LLC, 5.75%, 5/01/2043			149,000				175,437
Cameco Corp., 5.67%, 9/02/2019		CAD	262,000				216,213
Century Aluminum Co., 7.5%, 6/01/2021 (n)		$	1,065,000				985,125
Commercial Metals Co., 4.875%, 5/15/2023			1,165,000				1,170,825
First Quantum Minerals Ltd., 7.25%, 10/15/2019 (n)			1,375,000				1,251,250
First Quantum Minerals Ltd., 7.25%, 5/15/2022 (n)			1,032,000				884,940
Freeport-McMoRan Copper & Gold, Inc., 3.875%, 3/15/2023			855,000				733,163
Freeport-McMoRan Oil & Gas LLC, 6.5%, 11/15/2020			135,000				135,338
Freeport-McMoRan Oil & Gas LLC, 6.875%, 2/15/2023			109,000				106,003
Freeport-McMoRan, Inc., 5.45%, 3/15/2043			415,000				317,475
Glencore Finance (Europe) S.A., 6.5%, 2/27/2019		GBP	50,000				73,060
Glencore Finance (Europe) S.A., 1.25%, 3/17/2021		EUR	330,000				367,280
GrafTech International Co., 6.375%, 11/15/2020		$	680,000				525,300
Hudbay Minerals, Inc., 9.5%, 10/01/2020			960,000				962,400
Kaiser Aluminum Corp., 5.875%, 5/15/2024 (n)			830,000				879,800
Kinross Gold Corp., 5.125%, 9/01/2021			440,000				454,300
Kinross Gold Corp., 5.95%, 3/15/2024			855,000				884,925
Lundin Mining Corp., 7.5%, 11/01/2020 (n)			455,000				480,025
Lundin Mining Corp., 7.875%, 11/01/2022 (n)			805,000				861,350

 

11

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Metals & Mining - continued
Southern Copper Corp., 5.25%, 11/08/2042		$	250,000			$	237,988
Southern Copper Corp., 5.875%, 4/23/2045			238,000				241,730
Steel Dynamics, Inc., 5.125%, 10/01/2021			430,000				447,200
Steel Dynamics, Inc., 5.25%, 4/15/2023			775,000				806,000
Steel Dynamics, Inc., 5.5%, 10/01/2024			430,000				453,650
Suncoke Energy Partners LP/Suncoke Energy Partners Finance Corp., 7.375%, 2/01/2020			1,290,000				1,183,575
Suncoke Energy, Inc., 7.625%, 8/01/2019			127,000				119,380
TMS International Corp., 7.625%, 10/15/2021 (n)			710,000				608,825
						$	16,315,205
Midstream - 5.1%
APT Pipelines Ltd., 5%, 3/23/2035 (n)		$	280,000			$	296,583
Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022 (n)			1,280,000				1,232,000
Crestwood Midstream Partners LP, 6%, 12/15/2020			1,035,000				1,019,475
Crestwood Midstream Partners LP, 6.125%, 3/01/2022			505,000				491,113
Crestwood Midstream Partners LP, 6.25%, 4/01/2023			350,000				341,250
Dominion Gas Holdings LLC, 2.8%, 11/15/2020			270,000				278,964
Energy Transfer Equity LP, 7.5%, 10/15/2020			2,025,000				2,217,375
Energy Transfer Partners LP, 3.6%, 2/01/2023			300,000				295,499
Energy Transfer Partners LP, 5.15%, 3/15/2045			280,000				268,744
EnLink Midstream Partners LP, 4.4%, 4/01/2024			830,000				807,291
Enterprise Products Operating LLC, 1.65%, 5/07/2018			296,000				296,509
Enterprise Products Operating LLC, 4.85%, 3/15/2044			74,000				78,374
Enterprise Products Partners LP, 6.3%, 9/15/2017			180,000				188,814
Ferrellgas LP/Ferrellgas Finance Corp., 6.5%, 5/01/2021			1,165,000				1,098,013
Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, 1/15/2022			1,350,000				1,265,625
Kinder Morgan (Delaware), Inc., 7.75%, 1/15/2032			2,791,000				3,369,530
Kinder Morgan Energy Partners LP, 5.4%, 9/01/2044			140,000				141,502
MPLX LP, 5.5%, 2/15/2023 (n)			675,000				700,908
MPLX LP, 4.5%, 7/15/2023 (n)			1,150,000				1,161,556
Pembina Pipeline Corp., 4.81%, 3/25/2044		CAD	306,000				239,298
Sabine Pass Liquefaction LLC, 5.625%, 2/01/2021		$	1,305,000				1,370,250
Sabine Pass Liquefaction LLC, 5.625%, 4/15/2023			1,890,000				1,989,225
Sabine Pass Liquefaction LLC, 5.75%, 5/15/2024			575,000				610,938
Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025			1,074,000				1,135,755
Sabine Pass Liquefaction LLC, 5.875%, 6/30/2026 (n)			499,000				533,930
Spectra Energy Capital LLC, 8%, 10/01/2019			250,000				288,641
Targa Resources Partners LP/Targa Resources Finance Corp., 5%, 1/15/2018			345,000				351,900
Targa Resources Partners LP/Targa Resources Finance Corp., 4.125%, 11/15/2019			1,050,000				1,057,875
Targa Resources Partners LP/Targa Resources Finance Corp., 5.25%, 5/01/2023			585,000				593,775
Williams Cos., Inc., 4.55%, 6/24/2024			1,395,000				1,426,388
						$	25,147,100
Mortgage-Backed - 1.3%
Fannie Mae, 6%, 6/01/2017 - 2/01/2037		$	115,925			$	131,706
Fannie Mae, 5.5%, 9/01/2019 - 7/01/2035			406,320				444,097
Fannie Mae, 6.5%, 4/01/2032 - 1/01/2033			57,097				66,183
Fannie Mae, FRN, 0.774%, 5/25/2018			5,104,286				5,091,962
Freddie Mac, 2.673%, 3/25/2026			701,000				735,552
Freddie Mac, 6%, 8/01/2034			91,528				106,247
						$	6,575,747
Natural Gas - Distribution - 0.2%
Gas Natural SDG S.A., 1.375%, 1/21/2025		EUR	200,000			$	238,825
GNL Quintero S.A., 4.634%, 7/31/2029 (n)		$	523,000				543,920
						$	782,745

 

12

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Network & Telecom - 2.1%
AT&T, Inc., 2.45%, 6/30/2020		$	277,000			$	282,747
AT&T, Inc., 5.65%, 2/15/2047			206,000				248,102
British Telecom PLC, 5.75%, 12/07/2028		GBP	150,000				282,897
Centurylink, Inc., 6.45%, 6/15/2021		$	1,215,000				1,305,366
Centurylink, Inc., 7.65%, 3/15/2042			960,000				867,840
Columbus International, Inc., 7.375%, 3/30/2021 (n)			200,000				214,000
Empresa Nacional de Telecomunicaciones S.A., 4.75%, 8/01/2026			300,000				304,655
Frontier Communications Corp., 6.25%, 9/15/2021			315,000				307,226
Frontier Communications Corp., 7.125%, 1/15/2023			690,000				650,325
Frontier Communications Corp., 11%, 9/15/2025			1,250,000				1,350,000
Frontier Communications Corp., 9%, 8/15/2031			1,135,000				1,100,950
Telecom Italia Capital, 6%, 9/30/2034			305,000				306,556
Telecom Italia S.p.A., 5.303%, 5/30/2024 (n)			1,200,000				1,236,000
Telefonica Celular del Paraguay S.A., 6.75%, 12/13/2022			517,000				536,388
Verizon Communications, Inc., 4.5%, 9/15/2020			503,000				554,513
Verizon Communications, Inc., 5.15%, 9/15/2023			250,000				292,568
Verizon Communications, Inc., 6.4%, 9/15/2033			300,000				391,988
						$	10,232,121
Oil Services - 0.4%
Bristow Group, Inc., 6.25%, 10/15/2022		$	1,113,000			$	804,143
Odebrecht Offshore Drilling Finance Ltd., 6.75%, 10/01/2022 (n)			923,781				135,103
Unit Corp., 6.625%, 5/15/2021			340,000				283,050
Weatherford International Ltd., 8.25%, 6/15/2023			1,020,000				1,002,538
						$	2,224,834
Oils - 0.5%
CITGO Holding, Inc., 10.75%, 2/15/2020 (n)		$	515,000			$	527,553
CITGO Petroleum Corp., 6.25%, 8/15/2022 (n)			1,445,000				1,401,650
Marathon Petroleum Corp., 4.75%, 9/15/2044			200,000				183,570
Valero Energy Corp., 4.9%, 3/15/2045			232,000				227,454
						$	2,340,227
Other Banks & Diversified Financials - 1.5%
Arion Banki, 2.5%, 4/26/2019		EUR	100,000			$	114,891
Banco Inbursa S.A. Institucion de Banca Multiple Grupo Financiero Inbursa, 4.125%, 6/06/2024 (n)		$	310,000				319,517
Banque Federative du Credit Mutuel S.A., 3%, 5/21/2024		EUR	200,000				246,992
BBVA Bancomer S.A. de C.V., 6.75%, 9/30/2022 (n)		$	1,004,000				1,140,243
Belfius Bank S.A., 3.125%, 5/11/2026		EUR	200,000				233,864
Capital One Bank (USA) N.A., 3.375%, 2/15/2023		$	384,000				394,783
Capital One Financial Corp., 2.35%, 8/17/2018			806,000				817,045
Citizens Bank N.A., 2.55%, 5/13/2021			250,000				254,602
Discover Bank, 7%, 4/15/2020			250,000				283,885
Discover Bank, 4.25%, 3/13/2026			148,000				157,845
Groupe BPCE S.A., 12.5% to 9/30/2019, FRN to 8/29/2049 (n)			1,513,000				1,919,921
Intesa Sanpaolo S.p.A., 5.25%, 1/28/2022		GBP	100,000				148,002
UBS Group AG, 6.875%, 12/29/2049		$	1,020,000				1,013,564
UniCredit S.p.A., 2%, 3/04/2023		EUR	200,000				233,348
						$	7,278,502
Personal Computers & Peripherals - 0.0%
Equifax, Inc., 2.3%, 6/01/2021		$	160,000			$	160,982
Pharmaceuticals - 2.3%
Actavis Funding SCS, 3.8%, 3/15/2025		$	256,000			$	270,485
Actavis Funding SCS, 4.85%, 6/15/2044			40,000				44,587

 

13

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Pharmaceuticals - continued
Actavis, Inc., 1.875%, 10/01/2017		$	200,000			$	200,900
Celgene Corp., 2.875%, 8/15/2020			524,000				544,170
Endo Finance LLC/Endo Finco, Inc., 6%, 7/15/2023 (n)			310,000				281,325
Endo Finance LLC/Endo Finco, Inc., 7.25%, 1/15/2022 (n)			1,775,000				1,721,750
Forest Laboratories, Inc., 4.375%, 2/01/2019 (n)			496,000				523,452
Gilead Sciences, Inc., 2.35%, 2/01/2020			52,000				53,573
Gilead Sciences, Inc., 3.7%, 4/01/2024			268,000				290,417
Gilead Sciences, Inc., 4.75%, 3/01/2046			203,000				236,226
Johnson & Johnson, 2.05%, 3/01/2023			245,000				249,775
Johnson & Johnson, 1.15%, 11/20/2028		EUR	100,000				118,888
Mallinckrodt International Finance S.A., 5.75%, 8/01/2022 (n)		$	1,085,000				1,089,069
Mallinckrodt International Finance S.A., 5.5%, 4/15/2025 (n)			455,000				448,175
Mylan, Inc., 2.55%, 3/28/2019			265,000				268,381
Teva Pharmaceutical Industries Ltd., 2.8%, 7/21/2023			182,000				182,981
Teva Pharmaceutical Industries Ltd., 3.15%, 10/01/2026			75,000				75,515
Teva Pharmaceutical Industries Ltd., 1.875%, 3/31/2027		EUR	300,000				352,226
Teva Pharmaceutical Industries Ltd., 4.1%, 10/01/2046		$	44,000				44,918
Valeant Pharmaceuticals International, Inc., 7%, 10/01/2020 (n)			1,570,000				1,530,750
Valeant Pharmaceuticals International, Inc., 7.5%, 7/15/2021 (n)			525,000				515,975
Valeant Pharmaceuticals International, Inc., 7.25%, 7/15/2022 (n)			1,555,000				1,477,250
VRX Escrow Corp., 5.875%, 5/15/2023 (n)			825,000				726,000
						$	11,246,788
Precious Metals & Minerals - 0.6%
Eldorado Gold Corp., 6.125%, 12/15/2020 (n)		$	2,000,000			$	2,038,240
Teck Resources Ltd., 4.5%, 1/15/2021			465,000				442,913
Teck Resources Ltd., 8%, 6/01/2021 (n)			420,000				453,338
						$	2,934,491
Printing & Publishing - 1.0%
Nielsen Finance LLC, 5%, 4/15/2022 (n)		$	1,680,000			$	1,725,982
Outdoor Americas Capital LLC/Outfront Media Capital Corp., 5.625%, 2/15/2024			1,090,000				1,159,488
TEGNA, Inc., 5.125%, 7/15/2020			260,000				269,100
TEGNA, Inc., 4.875%, 9/15/2021 (n)			430,000				446,125
TEGNA, Inc., 6.375%, 10/15/2023			1,385,000				1,495,800
						$	5,096,495
Real Estate - Apartment - 0.1%
Vonovia Finance B.V., FRN, REIT, 4.625%, 4/08/2074		EUR	100,000			$	119,063
Vonovia SE, REIT, 2.125%, 7/09/2022		EUR	225,000				275,480
						$	394,543
Real Estate - Healthcare - 0.5%
MPT Operating Partnership LP, REIT, 6.375%, 2/15/2022		$	1,335,000			$	1,400,081
MPT Operating Partnership LP, REIT, 5.25%, 8/01/2026			1,050,000				1,115,625
						$	2,515,706
Real Estate - Office - 0.1%
Boston Properties, Inc., REIT, 3.125%, 9/01/2023		$	250,000			$	259,039
Real Estate - Other - 0.6%
DuPont Fabros Technology LP, REIT, 5.875%, 9/15/2021		$	1,210,000			$	1,265,963
Felcor Lodging LP, REIT, 5.625%, 3/01/2023			1,240,000				1,274,100
Fibra Uno, REIT, 6.95%, 1/30/2044 (n)			200,000				217,750
						$	2,757,813

 

14

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Real Estate - Retail - 0.2%
Hammerson PLC, 2%, 7/01/2022		EUR	200,000			$	234,201
Simon International Finance S.C.A., REIT, 1.25%, 5/13/2025		EUR	200,000				233,439
Simon Property Group, Inc., REIT, 10.35%, 4/01/2019		$	360,000				433,540
						$	901,180
Restaurants - 0.3%
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, 6/01/2026 (n)		$	885,000			$	940,313
McDonald’s Corp., 4.875%, 12/09/2045			311,000				367,933
						$	1,308,246
Retailers - 1.5%
Bed Bath & Beyond, Inc., 5.165%, 8/01/2044		$	145,000			$	142,777
Best Buy Co., Inc., 5.5%, 3/15/2021			347,000				385,170
Dollar Tree, Inc., 5.75%, 3/01/2023			1,770,000				1,904,963
DriveTime Automotive Group, Inc./DT Acceptance Corp., 8%, 6/01/2021 (n)			806,000				779,805
Home Depot, Inc., 3%, 4/01/2026			310,000				330,818
Home Depot, Inc., 4.875%, 2/15/2044			200,000				248,597
Kering S.A., 1.25%, 5/10/2026		EUR	200,000				234,005
Neiman Marcus Group Ltd., 8%, 10/15/2021 (n)		$	1,070,000				915,599
Rite Aid Corp., 9.25%, 3/15/2020			515,000				543,325
Rite Aid Corp., 6.75%, 6/15/2021			385,000				405,694
Rite Aid Corp., 6.125%, 4/01/2023 (n)			575,000				620,759
Sally Beauty Holdings, Inc., 5.625%, 12/01/2025			825,000				893,475
						$	7,404,987
Specialty Chemicals - 0.7%
Akzo Nobel N.V., 1.75%, 11/07/2024		EUR	200,000			$	247,060
Chemtura Corp., 5.75%, 7/15/2021		$	1,890,000				1,965,600
Ecolab, Inc., 2.625%, 7/08/2025		EUR	100,000				127,807
Univar USA, Inc., 6.75%, 7/15/2023 (n)		$	1,260,000				1,304,100
						$	3,644,567
Specialty Stores - 0.8%
Argos Merger Sub, Inc., 7.125%, 3/15/2023 (n)		$	1,065,000			$	1,119,581
Group 1 Automotive, Inc., 5%, 6/01/2022			1,155,000				1,160,775
Michaels Stores, Inc., 5.875%, 12/15/2020 (n)			745,000				772,006
Office Depot de Mexico S.A. de C.V., 6.875%, 9/20/2020 (n)			769,000				819,946
						$	3,872,308
Supermarkets - 0.3%
Albertsons Cos. LLC/Safeway, Inc., 6.625%, 6/15/2024 (n)		$	940,000			$	1,009,184
Loblaw Cos. Ltd., 4.86%, 9/12/2023		CAD	262,000				230,490
METRO AG, 1.5%, 3/19/2025		EUR	200,000				237,576
William Morrison Supermarkets PLC, 3.5%, 7/27/2026		GBP	100,000				139,406
						$	1,616,656
Supranational - 1.8%
European Investment Bank, 1.75%, 3/15/2017		$	8,000,000			$	8,039,792
International Bank for Reconstruction and Development, 2.8%, 1/13/2021		AUD	170,000				131,758
International Bank for Reconstruction and Development, 4.25%, 6/24/2025		AUD	210,000				182,254
International Finance Corp., 3.25%, 7/22/2019		AUD	305,000				238,092
West African Development Bank, 5.5%, 5/06/2021 (n)		$	210,000				221,550
						$	8,813,446
Telecommunications - Wireless - 4.0%
Altice Luxembourg S.A., 7.75%, 5/15/2022 (n)		$	615,000			$	654,591
Altice Luxembourg S.A., 7.625%, 2/15/2025 (n)			800,000				822,000

 

15

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Telecommunications - Wireless - continued
America Movil S.A.B. de C.V., 4.75%, 6/28/2022		EUR	200,000			$	277,533
America Movil S.A.B. de C.V., 1.5%, 3/10/2024		EUR	140,000				165,533
American Tower Corp., REIT, 3.5%, 1/31/2023		$	465,000				486,099
Crown Castle International Corp., 3.7%, 6/15/2026			157,000				164,708
Digicel Group Ltd., 8.25%, 9/30/2020 (n)			1,453,000				1,314,965
Digicel Group Ltd., 6%, 4/15/2021 (n)			680,000				621,350
Digicel Group Ltd., 7.125%, 4/01/2022 (n)			640,000				518,400
Digicel Group Ltd., 6.75%, 3/01/2023 (n)			950,000				866,875
Millicom International Cellular S.A., 6.625%, 10/15/2021 (n)			410,000				431,730
SBA Tower Trust, 2.898%, 10/15/2044 (n)			220,000				222,494
Sprint Capital Corp., 6.875%, 11/15/2028			1,625,000				1,462,500
Sprint Corp., 7.875%, 9/15/2023			1,425,000				1,385,086
Sprint Corp., 7.125%, 6/15/2024			1,655,000				1,543,288
Sprint Nextel Corp., 9%, 11/15/2018 (n)			880,000				969,100
Sprint Nextel Corp., 6%, 11/15/2022			520,000				470,600
T-Mobile USA, Inc., 6.125%, 1/15/2022			135,000				142,425
T-Mobile USA, Inc., 6.5%, 1/15/2024			615,000				661,125
T-Mobile USA, Inc., 6.464%, 4/28/2019			235,000				239,700
T-Mobile USA, Inc., 6.25%, 4/01/2021			2,590,000				2,703,313
T-Mobile USA, Inc., 6.633%, 4/28/2021			515,000				539,463
T-Mobile USA, Inc., 6%, 4/15/2024			382,000				406,830
T-Mobile USA, Inc., 6.5%, 1/15/2026			775,000				848,141
Wind Acquisition Finance S.A., 4.75%, 7/15/2020 (n)			870,000				880,875
Wind Acquisition Finance S.A., 7.375%, 4/23/2021 (n)			1,185,000				1,220,550
						$	20,019,274
Telephone Services - 0.9%
B Communications Ltd., 7.375%, 2/15/2021 (n)		$	1,821,000			$	1,957,575
Level 3 Financing, Inc., 5.375%, 1/15/2024			360,000				377,550
Level 3 Financing, Inc., 5.375%, 5/01/2025			1,645,000				1,727,250
TELUS Corp., 5.05%, 7/23/2020		CAD	265,000				225,363
						$	4,287,738
Tobacco - 0.2%
Imperial Tobacco Finance PLC, 4.25%, 7/21/2025 (n)		$	455,000			$	498,404
Philip Morris International, Inc., 4.875%, 11/15/2043			174,000				212,833
Reynolds American, Inc., 8.125%, 6/23/2019			92,000				108,057
Reynolds American, Inc., 3.25%, 6/12/2020			41,000				43,108
Reynolds American, Inc., 4.45%, 6/12/2025			98,000				109,997
Reynolds American, Inc., 5.7%, 8/15/2035			118,000				146,620
						$	1,119,019
Transportation - Services - 1.0%
Autostrade per L’Italia S.p.A., 1.75%, 6/26/2026		EUR	250,000			$	307,037
ERAC USA Finance LLC, 6.375%, 10/15/2017 (n)		$	400,000				420,711
ERAC USA Finance LLC, 7%, 10/15/2037 (n)			250,000				343,147
Heathrow Funding Ltd., 4.625%, 10/31/2046		GBP	100,000				197,041
Navios Maritime Acquisition Corp., 8.125%, 11/15/2021 (n)		$	1,409,000				1,070,840
Navios Maritime Holding, Inc., 7.375%, 1/15/2022 (n)			985,000				517,125
Navios South American Logistics, Inc./Navios Logistics Finance (U.S.), Inc., 7.25%, 5/01/2022			130,000				90,350
SPL Logistics Escrow LLC, 8.875%, 8/01/2020 (n)			485,000				371,025
Stagecoach Group PLC, 4%, 9/29/2025		GBP	150,000				224,761
Stena AB, 7%, 2/01/2024 (n)		$	1,170,000				966,713
Syncreon Group BV/Syncre, 8.625%, 11/01/2021 (n)			670,000				502,500
						$	5,011,250

 

16

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
U.S. Government Agencies and Equivalents - 2.6%
Fannie Mae, 1.125%, 4/27/2017		$	8,000,000			$	8,027,320
Freddie Mac, 0.875%, 2/22/2017			5,000,000				5,008,400
						$	13,035,720
U.S. Treasury Obligations - 1.4%
U.S. Treasury Bonds, 5.375%, 2/15/2031		$	286,200			$	420,692
U.S. Treasury Bonds, 4.5%, 2/15/2036			95,000				135,813
U.S. Treasury Bonds, 4.75%, 2/15/2037 (f)			1,885,200				2,782,879
U.S. Treasury Bonds, 3.125%, 2/15/2043 (f)			2,920,000				3,471,264
						$	6,810,648
Utilities - Electric Power - 3.0%
AES Gener S.A., 5%, 7/14/2025 (n)		$	207,000			$	214,365
American Electric Power Co., Inc., 1.65%, 12/15/2017			185,000				185,393
Calpine Corp., 5.375%, 1/15/2023			350,000				350,217
Calpine Corp., 5.5%, 2/01/2024			1,765,000				1,760,588
Calpine Corp., 5.75%, 1/15/2025			820,000				816,925
Covanta Holding Corp., 7.25%, 12/01/2020			1,830,000				1,896,338
Covanta Holding Corp., 6.375%, 10/01/2022			310,000				322,400
Covanta Holding Corp., 5.875%, 3/01/2024			635,000				638,175
Dominion Resources, Inc., 2.5%, 12/01/2019			250,000				255,304
Dynegy, Inc., 7.375%, 11/01/2022			1,925,000				1,900,938
E.ON International Finance B.V., 6.375%, 6/07/2032		GBP	50,000				100,575
EDP Finance B.V., 5.25%, 1/14/2021 (n)		$	200,000				217,500
Emera U.S. Finance LP, 2.7%, 6/15/2021 (n)			98,000				100,250
Emera U.S. Finance LP, 3.55%, 6/15/2026 (n)			112,000				117,975
Engie Energia Chile S.A., 5.625%, 1/15/2021			757,000				841,957
Engie Energia Chile S.A., 4.5%, 1/29/2025 (n)			512,000				544,033
Greenko Dutch B.V., 8%, 8/01/2019 (n)			378,000				406,027
NRG Energy, Inc., 6.625%, 3/15/2023			1,985,000				2,024,700
NRG Energy, Inc., 7.25%, 5/15/2026 (n)			410,000				425,785
PG&E Corp., 2.4%, 3/01/2019			166,000				169,309
PPL Capital Funding, Inc., 3.1%, 5/15/2026			379,000				386,165
PPL WEM Holdings PLC, 5.375%, 5/01/2021 (n)			250,000				277,077
Southern Co., 2.95%, 7/01/2023			224,000				231,435
Southern Co., 4.4%, 7/01/2046			339,000				373,463
Southern Electric Power Co. Ltd., 4.625%, 2/20/2037		GBP	100,000				185,780
						$	14,742,674
Total Bonds						$	563,088,018
Floating Rate Loans (g)(r) - 1.0%
Aerospace - 0.1%
TransDigm, Inc., Term Loan C, 3.75%, 2/28/2020		$	533,953			$	533,211
Chemicals - 0.0%
GCP Applied Technologies, Inc., Term Loan B, 4%, 2/03/2022 (o)		$	241,596			$	244,616
Conglomerates - 0.0%
Entegris, Inc., Term Loan B, 3.5%, 4/30/2021		$	190,789			$	191,266
Containers - 0.1%
Berry Plastics Holding Corp., Term Loan G, 3.5%, 1/06/2021		$	325,292			$	325,088
Entertainment - 0.1%
Cedar Fair LP, Term Loan B, 3.25%, 3/06/2020		$	324,093			$	325,106

 

17

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Floating Rate Loans (g)(r) - continued
Gaming & Lodging - 0.1%
Hilton Worldwide Finance LLC, Term Loan B2, 3.5%, 10/26/2020		$	451,965			$	452,906
Medical & Health Technology & Services - 0.3%
DaVita HealthCare Partners, Inc., Term Loan B, 3.5%, 6/24/2021		$	1,279,244			$	1,282,176
Printing & Publishing - 0.0%
Outfront Media Capital LLC, Term Loan B, 3%, 2/01/2021		$	84,099			$	84,047
Retailers - 0.0%
Rite Aid Corp., Second Lien Term Loan, 4.87%, 6/21/2021		$	44,587			$	44,657
Transportation - Services - 0.3%
Commercial Barge Line Co., First Lien Term Loan, 9.75%, 11/12/2020		$	1,480,094			$	1,413,489
Utilities - Electric Power - 0.0%
Calpine Construction Finance Co. LP, Term Loan B1, 3%, 5/03/2020		$	120,956			$	119,354
Total Floating Rate Loans						$	5,015,916
Common Stocks - 0.2%
Automotive - 0.0%
Accuride Corp. (a)			12,648			$	21,375
Special Products & Services - 0.2%
iShares iBoxx $ High Yield Corporate Bond ETF			11,200			$	971,152
Total Common Stocks						$	992,527
Money Market Funds - 4.3%
MFS Institutional Money Market Portfolio, 0.38% (v)			21,149,344			$	21,149,344
Total Investments						$	590,245,805
Other Assets, Less Liabilities - (19.3)%							(95,321,813	)
Net Assets - 100.0%						$	494,923,992

 

(a)	Non-income producing security.

(d)	In default.

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

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

(i)	Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security.

(n)

Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $153,002,097, representing 30.9% of net assets.

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

(p)	Payment-in-kind security.

(r)

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

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

 

18

---

Portfolio of Investments (unaudited) – continued

 

(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
Atrium CDO Corp., FRN, 1.42%, 11/16/2022			2/03/16-2/04/16				$1,588,987				$1,592,929
Bayview Financial Revolving Mortgage Loan Trust, FRN, 2.092%, 12/28/2040			3/01/06				557,629				405,379
Crown European Holdings S.A., 3.375%, 5/15/2025			4/28/15				384,073				413,442
Empresa Nacional del Petroleo, 3.75%, 8/05/2026			8/02/16				203,611				211,734
Enterprise Fleet Financing LLC, 0.91%, 9/20/2018			2/04/16				795,016				795,029
Liberty Mutual Group, Inc., 2.75%, 5/04/2026			4/26/16				112,082				120,848
Loomis, Sayles & Co., CLO, “A1”, FRN, 2.21%, 10/15/2027			7/27/16				2,513,609				2,518,042
MEDNAX, Inc., 5.25%, 12/01/2023			7/29/16-8/09/16				1,055,947				1,063,025
Republic of Indonesia, 2.875%, 7/08/2021			7/02/14				237,811				209,844
Total Restricted Securities											$7,330,272
% of Net assets											1.5%

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

 

CDO		Collateralized Debt Obligation
CLO		Collateralized Loan Obligation
ETF		Exchange-Traded Fund
FRN		Floating Rate Note. Interest rate resets periodically and the current rate may not be the rate reported at period end.
PLC		Public Limited Company
REIT		Real Estate Investment Trust

Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below:

 

AUD		Australian Dollar
CAD		Canadian Dollar
CHF		Swiss Franc
CNH		Chinese Yuan Renminbi (Offshore)
DKK		Danish Krone
EUR		Euro
GBP		British Pound
HKD		Hong Kong Dollar
JPY		Japanese Yen
KRW		Korean Won
MXN		Mexican Peso
MYR		Malaysian Ringgit
NOK		Norwegian Krone
NZD		New Zealand Dollar
SEK		Swedish Krona
SGD		Singapore Dollar
THB		Thailand Baht
ZAR		South African Rand

 

19

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Portfolio of Investments (unaudited) – continued

 

Derivative Contracts at 8/31/16

Forward Foreign Currency Exchange Contracts at 8/31/16

 

Type		Currency				Counterparty		Contracts to Deliver/Receive		Settlement Date Range		In Exchange For				Contracts at Value				Net Unrealized Appreciation (Depreciation)
Asset Derivatives
SELL			AUD			Westpac Banking Corp.		7,012,106		9/30/16			$5,335,126				$5,266,329				$68,797
SELL			CAD			JPMorgan Chase Bank N.A.		3,196,000		9/30/16			2,468,693				2,437,461				31,232
SELL			CAD			Merrill Lynch International		10,320,959		9/30/16			7,925,908				7,871,382				54,526
BUY			CHF			UBS AG		2,244,082		9/30/16			2,281,824				2,285,530				3,706
SELL			CHF			Brown Brothers Harriman		2,245,000		9/30/16			2,290,333				2,286,465				3,868
SELL			CNH			JPMorgan Chase Bank N.A.		15,698,000		4/26/17			2,356,880				2,319,665				37,215
BUY			DKK			Goldman Sachs International		31,438		9/30/16			4,696				4,718				22
BUY			EUR			Brown Brothers Harriman		239,206		9/30/16			265,254				267,147				1,893
BUY			EUR			Deutsche Bank AG		281,598		9/30/16			313,794				314,490				696
BUY			EUR			Goldman Sachs International		1,583,349		9/30/16			1,752,762				1,768,292				15,530
BUY			EUR			JPMorgan Chase Bank N.A.		1,938,155		9/30/16			2,158,614				2,164,541				5,927
SELL			EUR			Brown Brothers Harriman		311,335		9/30/16			348,933				347,700				1,233
SELL			EUR			Deutsche Bank AG		112,973		9/30/16			126,484				126,169				315
SELL			EUR			JPMorgan Chase Bank N.A.		78,000		9/30/16			88,066				87,111				955
BUY			GBP			UBS AG		329,000		9/30/16			430,883				432,326				1,443
SELL			GBP			Barclays Bank PLC		464,000		9/30/16			618,256				609,724				8,532
SELL			GBP			Deutsche Bank AG		1,367,000		9/30/16			1,821,332				1,796,319				25,013
SELL			GBP			Goldman Sachs International		731,141		9/30/16			966,858				960,763				6,095
SELL			GBP			JPMorgan Chase Bank N.A.		560,000		9/30/16			739,360				735,873				3,487
SELL			GBP			Merrill Lynch International		8,990,523		9/30/16			11,941,663				11,814,080				127,583
SELL			HKD			Brown Brothers Harriman		19,200,000		9/30/16			2,476,785				2,475,724				1,061
BUY			JPY			Goldman Sachs International		8,699,028		9/30/16			82,125				84,183				2,058
SELL			JPY			Goldman Sachs International		229,892,686		9/30/16			2,261,334				2,224,739				36,595
BUY			KRW			Deutsche Bank AG		44,218,500		9/22/16			38,715				39,654				939
SELL			MXN			JPMorgan Chase Bank N.A.		39,906,146		9/30/16			2,165,788				2,116,386				49,402
SELL			NZD			Westpac Banking Corp.		2,863,827		9/30/16			2,085,775				2,075,562				10,213
SELL			SEK			Goldman Sachs International		121,881		9/30/16			14,354				14,257				97
SELL			SGD			Goldman Sachs International		66,859		9/30/16			49,671				49,069				602
BUY			THB			JPMorgan Chase Bank N.A.		29,000		9/22/16			827				837				10
																					$499,045
Liability Derivatives
BUY			CAD			JPMorgan Chase Bank N.A.		148,000		9/30/16			$115,269				$112,874				$(2,395	)
BUY			EUR			Deutsche Bank AG		126,000		9/30/16			142,337				140,717				(1,620	)
BUY			EUR			Goldman Sachs International		2,222,000		9/30/16			2,488,318				2,481,541				(6,777	)
SELL			EUR			Brown Brothers Harriman		2,359,577		9/30/16			2,601,261				2,635,187				(33,926	)
SELL			EUR			Deutsche Bank AG		466,652		9/30/16			519,443				521,160				(1,717	)
SELL			EUR			Goldman Sachs International		29,329,156		9/30/16			32,683,033				32,754,950				(71,917	)
BUY			GBP			Brown Brothers Harriman		55,729		9/30/16			73,818				73,231				(587	)
BUY			GBP			Goldman Sachs International		416,364		9/30/16			549,929				547,127				(2,802	)
BUY			GBP			UBS AG		1,914,000		9/30/16			2,540,184				2,515,109				(25,075	)
SELL			GBP			Deutsche Bank AG		114,000		9/30/16			149,231				149,803				(572	)
BUY			HKD			Barclays Bank PLC		40,407,000		9/30/16			5,212,941				5,210,239				(2,702	)
BUY			HKD			JPMorgan Chase Bank N.A.		19,073,000		9/30/16			2,460,384				2,459,348				(1,036	)
BUY			HKD			UBS AG		19,156,000		9/30/16			2,472,276				2,470,051				(2,225	)
BUY			JPY			Deutsche Bank AG		40,000,000		9/30/16			391,159				387,092				(4,067	)
SELL			JPY			Goldman Sachs International		2,179,950,801		9/30/16			20,840,431				21,096,027				(255,596	)
BUY			MYR			JPMorgan Chase Bank N.A.		444,000		10/11/16			110,024				109,250				(774	)
SELL			NOK			Deutsche Bank AG		39,648,594		9/30/16			4,709,416				4,758,428				(49,012	)
BUY			SEK			Goldman Sachs International		5,268,000		9/30/16			616,237				616,224				(13	)
BUY			SEK			JPMorgan Chase Bank N.A.		20,802,000		9/30/16			2,440,747				2,433,314				(7,433	)
BUY			ZAR			Barclays Bank PLC		569,852		9/30/16			39,218				38,548				(670	)
																					$(470,916	)

 

20

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Portfolio of Investments (unaudited) – continued

 

Futures Contracts at 8/31/16

 

Description		Currency				Contracts				Value		Expiration Date				Unrealized Appreciation (Depreciation)
Asset Derivatives
Interest Rate Futures
Euro-Bobl 5 yr (Long)			EUR				115			$17,136,494			September - 2016				$142,131
Euro-Bund 10 yr (Long)			EUR				69			12,882,580			September - 2016				268,458
Euro-Buxl 30 yr (Long)			EUR				17			3,659,413			September - 2016				224,480
U.K. Gilt 10 yr (Long)			GBP				35			6,045,149			December - 2016				12,294
U.S. Treasury Bond 30 yr (Short)			USD				4			681,500			December - 2016				1,641
U.S. Treasury Note 10 yr (Short)			USD				647			84,706,453			December - 2016				210,050
U.S. Treasury Note 5 yr (Short)			USD				50			6,062,500			December - 2016				2,558
																	$861,612

At August 31, 2016, the fund had liquid securities with an aggregate value of $1,666,635 to cover any commitments for certain derivative contracts.

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

 

21

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Supplemental Information

8/31/16 (unaudited)

The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

(1) Investment Valuations

Equity securities, including restricted equity securities, are generally valued at the last sale or official closing price on their primary market or exchange as provided by a third-party pricing service. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation on their primary market or exchange as provided by a third-party pricing service. Debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party pricing service. Forward foreign currency exchange contracts are generally valued at the mean of bid and asked prices for the time period interpolated from rates provided by a third-party pricing service for proximate time periods. Open-end investment companies are generally valued at net asset value per share. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. Values obtained from third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.

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

Various inputs are used in determining the value of the fund’s assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. Other

 

22

---

Supplemental Information (unaudited) – continued

 

financial instruments are derivative instruments not reflected in total investments, such as futures contracts and forward foreign currency exchange contracts. The following is a summary of the levels used as of August 31, 2016 in valuing the fund’s assets or liabilities:

 

Investments at Value		Level 1				Level 2				Level 3				Total
Equity Securities			$992,527				$—				$—				$992,527
U.S. Treasury Bonds & U.S. Government Agency & Equivalents			—				19,846,368				—				19,846,368
Non-U.S. Sovereign Debt			—				87,279,198				—				87,279,198
U.S. Corporate Bonds			—				338,377,801				—				338,377,801
Residential Mortgage-Backed Securities			—				6,575,747				—				6,575,747
Commercial Mortgage-Backed Securities			—				16,037,860				—				16,037,860
Asset-Backed Securities (including CDOs)			—				10,598,610				—				10,598,610
Foreign Bonds			—				84,329,581				42,853				84,372,434
Floating Rate Loans			—				5,015,916				—				5,015,916
Mutual Funds			21,149,344				—				—				21,149,344
Total Investments			$22,141,871				$568,061,081				$42,853				$590,245,805
Other Financial Instruments
Futures Contracts			$861,612				$—				$—				$861,612
Forward Foreign Currency Exchange Contracts			—				28,129				—				28,129

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.

 

		Foreign Bond
Balance as of 11/30/15			$270,914
Change in unrealized appreciation (depreciation)			(228,061	)
Balance as of 8/31/16			$42,853

The net change in unrealized appreciation (depreciation) from investments still held as level 3 at August 31, 2016 is $(228,061). At August 31, 2016, the fund held one level 3 security.

(2) Portfolio Securities

The cost and unrealized appreciation and depreciation in the value of the investments owned by the fund, as computed on a federal income tax basis, are as follows:

 

Aggregate cost			$591,764,917
Gross unrealized appreciation			18,683,963
Gross unrealized depreciation			(20,203,075	)
Net unrealized appreciation (depreciation)			$(1,519,112	)

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

(3) Transactions in Underlying Affiliated Funds – Affiliated Issuers

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

 

Underlying Affiliated Fund		Beginning Shares/Par Amount				Acquisitions Shares/Par Amount				Dispositions Shares/Par Amount				Ending Shares/Par Amount
MFS Institutional Money Market Portfolio			33,059,493				116,290,014				(128,200,163	)			21,149,344
Underlying Affiliated Fund		Realized Gain (Loss)				Capital Gain Distributions				Dividend Income				Ending Value
MFS Institutional Money Market Portfolio			$—				$—				$39,222				$21,149,344

 

23

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ITEM 2.

CONTROLS AND PROCEDURES.

 

(a)

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

 

(b)

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

 

ITEM 3.

EXHIBITS.

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

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Notice

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

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SIGNATURES

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

Registrant: MFS CHARTER INCOME TRUST

 

By (Signature and Title)*		ROBIN A. STELMACH
		Robin A. Stelmach, President

Date: October 17, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)*		ROBIN A. STELMACH
		Robin A. Stelmach, President (Principal Executive Officer)

Date: October 17, 2016

 

By (Signature and Title)*		DAVID L. DILORENZO
		David L. DiLorenzo, Treasurer (Principal Financial Officer and Accounting Officer)

Date: October 17, 2016

 

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