MFS CHARTER INCOME TRUST N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-05822

MFS CHARTER INCOME TRUST

(Exact name of registrant as specified in charter)

111 Huntington Avenue, Boston, Massachusetts 02199

(Address of principal executive offices) (Zip code)

Christopher R. Bohane

Massachusetts Financial Services Company

111 Huntington Avenue

Boston, Massachusetts 02199

(Name and address of agents for service)

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

Date of fiscal year end: November 30

Date of reporting period: February 28, 2019


ITEM 1.

SCHEDULE OF INVESTMENTS.


Quarterly Report
February 28, 2019
MFS®  Charter Income Trust


Portfolio of Investments
2/28/19 (unaudited)
The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.
Issuer     Shares/Par Value ($)
Bonds – 122.3%
Aerospace – 0.7%
Huntington Ingalls Industries, Inc., 3.483%, 12/01/2027    $ 140,000 $ 132,552
L3 Technologies, Inc., 3.85%, 6/15/2023      213,000 216,130
Lockheed Martin Corp., 3.55%, 1/15/2026      263,000 267,463
Rolls-Royce Holdings PLC, 0.875%, 5/09/2024    EUR 150,000 170,156
TransDigm, Inc., 6.5%, 7/15/2024    $ 1,275,000 1,287,750
TransDigm, Inc., 6.375%, 6/15/2026      640,000 621,600
        $ 2,695,651
Apparel Manufacturers – 0.0%
Coach, Inc., 4.125%, 7/15/2027    $ 193,000 $ 179,557
Asset-Backed & Securitized – 2.9%
ALM Loan Funding CLO, 2015-16A, “BR2”, FLR, 4.687% (LIBOR - 3mo. + 1.9%), 7/15/2027 (n)   $ 1,120,000 $ 1,104,377
Bayview Financial Revolving Mortgage Loan Trust, FLR, 4.093% (LIBOR - 1mo. + 1.6%), 12/28/2040 (z)     344,030 320,054
Chesapeake Funding II LLC, 2016-1A, “A2”, FLR, 3.639% (LIBOR - 1mo. + 1.15%), 3/15/2028 (n)     304,347 304,860
Commercial Mortgage Trust, 2015-DC1, “A5”, 3.35%, 2/10/2048      500,000 499,483
Crest Ltd., CDO, 0.001%, (0.001% cash or 7% PIK) 1/28/2040 (p)     3,209,183 162,022
Dryden Senior Loan Fund, 2013-26A, “AR”, CLO, FLR, 3.687% (LIBOR - 3mo. + 0.9%), 4/15/2029 (z)     592,000 586,099
Flagship CLO, 2014-8A, “BRR”, FLR, 4.178% (LIBOR - 3mo. + 1.4%), 1/16/2026 (z)     1,142,526 1,134,211
Flatiron CLO Ltd., 2013-1A, “A2R”, FLR, 4.423% (LIBOR - 3mo. + 1.65%), 1/17/2026 (n)     929,626 929,430
Fort Cre LLC, 2018-1A, “A1”, FLR, 3.869% (LIBOR - 1mo. + 1.35%), 11/21/2035 (n)     290,500 290,500
HarbourView CLO VII Ltd., 7RA, “B”, FLR, 4.48% (LIBOR - 3mo. + 1.7%), 7/18/2031 (z)     940,000 924,264
Kref Ltd., 2018-FL1, “A”, FLR, 3.588% (LIBOR - 1mo. + 1.1%), 6/15/2036 (n)     385,000 384,519
Loomis, Sayles & Co., CLO, 2015-2A, “A1R”, FLR, 3.679% (LIBOR - 3mo. + 0.9%), 4/15/2028 (n)     2,526,000 2,502,980
Magnetite CLO Ltd., 2012-7A, “A1R2”, FLR, 3.587% (LIBOR - 3mo. + 0.8%), 1/15/2028 (n)     693,000 681,135
Octagon Investment Partners XVII Ltd., 2013-1A, “BR2”, FLR, 4.17% (LIBOR - 3mo. + 1.4%), 1/25/2031 (n)     1,050,000 1,026,941
Wells Fargo Commercial Mortgage Trust, 2015-NXS1, “A5”, 3.148%, 5/15/2048      768,632 761,481
        $ 11,612,356
Automotive – 1.4%
Allison Transmission, Inc., 5%, 10/01/2024 (n)   $ 2,006,000 $ 2,018,538
Allison Transmission, Inc., 4.75%, 10/01/2027 (n)     150,000 143,625
FCA Bank S.p.A., 1%, 2/21/2022    EUR 100,000 113,459
Ferrari N.V., 1.5%, 3/16/2023      350,000 401,195
General Motors Co., 6.75%, 4/01/2046    $ 123,000 126,597
General Motors Financial Co., Inc., 3.45%, 4/10/2022      256,000 254,225
General Motors Financial Co., Inc., 4.35%, 1/17/2027      125,000 118,572
IHO Verwaltungs GmbH, 4.75%, (4.75% cash or 5.5% PIK) 9/15/2026 (n)(p)     1,230,000 1,137,381
Lear Corp., 3.8%, 9/15/2027      162,000 150,876
LKQ European Holdings B.V., 3.625%, 4/01/2026 (n)   EUR 100,000 115,451
LKQ European Holdings B.V., 3.625%, 4/01/2026      100,000 115,451
Volkswagen Bank GmbH, 0.75%, 6/15/2023      220,000 245,101
Volkswagen International Finance N.V., 1.875%, 3/30/2027      100,000 109,855
Volkswagen International Finance N.V., 2.7%, 12/31/2099      100,000 111,546
Volkswagen International Finance N.V., 3.375% to 6/27/2024, FLR (EUR Swap Rate - 6yr. + 2.97%) to 6/27/2028, FLR (EUR Swap Rate - 6yr. + 2.22%) to 6/27/2044, FLR (EUR Swap Rate - 6yr. + 3.97%) to 12/31/2099      200,000 221,924
        $ 5,383,796
Broadcasting – 2.2%
Fox Corp., 4.709%, 1/25/2029 (n)   $ 43,000 $ 44,616
Liberty Media Corp. - Liberty Formula One, 8.5%, 7/15/2029      720,000 741,600
Liberty Media Corp. - Liberty Formula One, 8.25%, 2/01/2030      785,000 802,662
Match Group, Inc., 6.375%, 6/01/2024      1,010,000 1,065,550
Netflix, Inc., 5.875%, 2/15/2025      1,055,000 1,118,300
Netflix, Inc., 4.875%, 4/15/2028      325,000 316,469
Netflix, Inc., 5.875%, 11/15/2028 (n)     1,145,000 1,192,575
1


Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Broadcasting – continued
Netflix, Inc., 4.625%, 5/15/2029 (n)   EUR 625,000 $ 752,849
RELX Finance B.V., 1%, 3/22/2024      150,000 172,860
SES S.A., 1.625%, 3/22/2026      200,000 224,487
WMG Acquisition Corp., 5%, 8/01/2023 (n)   $ 210,000 210,525
WMG Acquisition Corp., 4.125%, 11/01/2024    EUR 418,500 498,900
WMG Acquisition Corp., 4.875%, 11/01/2024 (n)   $ 1,120,000 1,111,600
WMG Acquisition Corp., 5.5%, 4/15/2026 (n)     225,000 226,406
WPP Finance, 2.875%, 9/14/2046    GBP 250,000 257,154
WPP Finance 2016 Co., 1.375%, 3/20/2025    EUR 120,000 134,810
        $ 8,871,363
Brokerage & Asset Managers – 0.6%
Banco BTG Pactual S.A. (Cayman Islands), 7.75% to 2/15/2024, FLR (CMT - 5yr. + 5.257%) to 2/15/2029 (n)   $ 990,000 $ 990,644
Charles Schwab Corp., 3.85%, 5/21/2025      229,000 237,204
E*TRADE Financial Corp., 2.95%, 8/24/2022      199,000 195,065
Euroclear Investments S.A., 2.625%, 4/11/2048    EUR 100,000 112,863
Intercontinental Exchange, Inc., 2.75%, 12/01/2020    $ 178,000 177,360
Intercontinental Exchange, Inc., 3.75%, 12/01/2025      292,000 298,638
TD Ameritrade Holding Corp., 2.95%, 4/01/2022      230,000 229,924
        $ 2,241,698
Building – 2.9%
ABC Supply Co., Inc., 5.75%, 12/15/2023 (n)   $ 1,175,000 $ 1,204,375
ABC Supply Co., Inc., 5.875%, 5/15/2026 (n)     610,000 619,912
Beacon Escrow Corp., 4.875%, 11/01/2025 (n)     898,000 835,982
Core & Main LP, 6.125%, 8/15/2025 (z)     605,000 582,313
CRH America Finance, Inc., 4.5%, 4/04/2048 (n)     205,000 178,620
James Hardie International Finance Ltd., 4.75%, 1/15/2025 (n)     205,000 197,825
James Hardie International Finance Ltd., 5%, 1/15/2028 (n)     930,000 860,250
Martin Marietta Materials, Inc., 3.45%, 6/01/2027      133,000 123,790
Martin Marietta Materials, Inc., 3.5%, 12/15/2027      179,000 166,092
NCI Building Systems, Inc., 8%, 4/15/2026 (n)     320,000 302,000
New Enterprise Stone & Lime Co., Inc., 10.125%, 4/01/2022 (n)     945,000 949,725
New Enterprise Stone & Lime Co., Inc., 6.25%, 3/15/2026 (n)     1,106,000 1,070,055
PriSo Acquisition Corp., 9%, 5/15/2023 (n)     637,000 635,407
Standard Industries, Inc., 5.375%, 11/15/2024 (n)     1,530,000 1,552,950
Standard Industries, Inc., 6%, 10/15/2025 (n)     885,000 923,719
Summit Materials LLC/Summit Materials Finance Co., 6.125%, 7/15/2023      1,015,000 1,040,375
Summit Materials LLC/Summit Materials Finance Co., 5.125%, 6/01/2025 (n)     205,000 195,775
        $ 11,439,165
Business Services – 2.6%
Ascend Learning LLC, 6.875%, 8/01/2025 (z)   $ 445,000 $ 436,100
CDK Global, Inc., 4.875%, 6/01/2027      1,265,000 1,243,128
Cisco Systems, Inc., 2.2%, 2/28/2021      350,000 346,520
Equinix, Inc., 5.375%, 4/01/2023      825,000 839,438
Equinix, Inc., 5.75%, 1/01/2025      797,000 829,876
Equinix, Inc., 5.875%, 1/15/2026      490,000 513,275
Fidelity National Information Services, Inc., 3.875%, 6/05/2024      146,000 146,521
Fidelity National Information Services, Inc., 5%, 10/15/2025      39,000 41,093
Fidelity National Information Services, Inc., 3%, 8/15/2026      267,000 248,989
Financial & Risk U.S. Holdings, Inc., 8.25%, 11/15/2026 (n)     955,000 934,408
First Data Corp., 5%, 1/15/2024 (n)     1,705,000 1,749,773
MSCI, Inc., 4.75%, 8/01/2026 (n)     940,000 940,000
Travelport Worldwide Ltd., 6%, 3/15/2026 (n)     575,000 609,500
Vantiv LLC/Vantiv Issuer Corp., 4.375%, 11/15/2025 (n)     1,100,000 1,061,500
Verscend Escrow Corp., 9.75%, 8/15/2026 (n)     550,000 562,375
        $ 10,502,496
2


Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Cable TV – 5.6%
Altice Financing S.A., 6.625%, 2/15/2023 (n)   $ 505,000 $ 516,363
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 1/15/2024      2,110,000 2,161,431
CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025 (n)     780,000 798,525
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 2/15/2026 (n)     1,555,000 1,601,168
CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027 (n)     895,000 919,333
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035      135,000 144,531
CSC Holdings LLC, 5.5%, 5/15/2026 (n)     705,000 712,931
CSC Holdings LLC, 5.5%, 4/15/2027 (n)     2,135,000 2,139,782
CSC Holdings LLC, 7.5%, 4/01/2028 (n)     500,000 527,500
DISH DBS Corp., 5.875%, 11/15/2024      845,000 711,659
Eutelsat S.A., 2%, 10/02/2025    EUR 100,000 112,316
Intelsat Connect Finance, 9.5%, 2/15/2023 (n)   $ 310,000 299,925
Intelsat Jackson Holdings S.A., 5.5%, 8/01/2023      1,030,000 939,875
Shaw Communications, Inc., 5.65%, 10/01/2019    CAD 260,000 201,118
Sirius XM Radio, Inc., 4.625%, 5/15/2023 (n)   $ 1,000,000 1,011,250
Sirius XM Radio, Inc., 6%, 7/15/2024 (n)     900,000 932,625
Sirius XM Radio, Inc., 5.375%, 4/15/2025 (n)     705,000 718,439
Sky PLC, 2.5%, 9/15/2026    EUR 250,000 307,440
Telenet Finance Luxembourg S.A., 5.5%, 3/01/2028 (n)   $ 2,000,000 1,925,000
Time Warner Cable, Inc., 4.5%, 9/15/2042      119,000 99,948
Videotron Ltd., 5.375%, 6/15/2024 (n)     350,000 364,070
Videotron Ltd., 5.125%, 4/15/2027 (n)     1,620,000 1,644,300
Virgin Media Finance PLC, 5.75%, 1/15/2025 (n)     700,000 696,500
Virgin Media Secured Finance PLC, 5.25%, 1/15/2026 (n)     1,100,000 1,101,144
VTR Finance B.V., 6.875%, 1/15/2024 (n)     431,000 442,853
Ziggo Bond Finance B.V., 5.875%, 1/15/2025 (n)     1,155,000 1,122,891
        $ 22,152,917
Chemicals – 2.1%
Air Liquide Finance Co., 2.25%, 9/27/2023 (n)   $ 261,000 $ 249,439
Argentum Netherlands B.V. for Givaudan S.A., 2%, 9/17/2030    EUR 100,000 119,350
Axalta Coating Systems Co., 4.875%, 8/15/2024 (n)   $ 1,635,000 1,622,737
Consolidated Energy Finance S.A., 6.875%, 6/15/2025 (n)     610,000 594,750
OCI N.V., 5%, 4/15/2023    EUR 530,000 635,261
OCI N.V., 6.625%, 4/15/2023 (n)   $ 1,155,000 1,195,425
PolyOne Corp., 5.25%, 3/15/2023      865,000 884,463
Sasol Chemicals (USA) LLC, 5.875%, 3/27/2024      273,000 283,101
Sasol Financing USA LLC, 6.5%, 9/27/2028      313,000 329,234
SPCM S.A., 4.875%, 9/15/2025 (n)     1,450,000 1,424,625
Starfruit Finance Co./Starfruit U.S. Holding Co. LLC, 6.5%, 10/01/2026 (n)   EUR 815,000 925,742
Starfruit Finco B.V./Starfruit US Holdco LLC, 6.5%, 10/01/2026      200,000 227,176
        $ 8,491,303
Computer Software – 0.5%
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.875%, 6/15/2021 (n)   $ 780,000 $ 795,377
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.02%, 6/15/2026 (n)     670,000 710,833
Microsoft Corp., 4.1%, 2/06/2037      436,000 456,012
        $ 1,962,222
Computer Software - Systems – 1.2%
Apple, Inc., 4.5%, 2/23/2036    $ 217,000 $ 233,514
Apple, Inc., 3.6%, 7/31/2042    GBP 130,000 199,526
Apple, Inc., 4.25%, 2/09/2047    $ 223,000 228,048
CDW LLC/CDW Finance Corp., 5.5%, 12/01/2024      140,000 145,950
CDW LLC/CDW Finance Corp., 5%, 9/01/2025      395,000 397,469
Fair Isaac Corp., 5.25%, 5/15/2026 (n)     1,065,000 1,075,650
JDA Software Group, Inc., 7.375%, 10/15/2024 (n)     625,000 640,625
Sabre GLBL, Inc., 5.375%, 4/15/2023 (n)     1,705,000 1,739,100
        $ 4,659,882
3


Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Conglomerates – 2.8%
Amsted Industries Co., 5%, 3/15/2022 (n)   $ 1,935,000 $ 1,935,000
BWX Technologies, Inc., 5.375%, 7/15/2026 (n)     1,365,000 1,392,300
CFX Escrow Corp., 6%, 2/15/2024 (z)     130,000 134,225
CFX Escrow Corp., 6.375%, 2/15/2026 (n)     700,000 729,750
EnerSys, 5%, 4/30/2023 (n)     1,635,000 1,626,825
Entegris, Inc., 4.625%, 2/10/2026 (n)     1,775,000 1,743,937
Gates Global LLC, 6%, 7/15/2022 (n)     436,000 437,705
General Electric Co., 4.5%, 3/11/2044      81,000 72,281
Roper Technologies, Inc., 4.2%, 9/15/2028      152,000 152,930
Smiths Group PLC, 2%, 2/23/2027    EUR 200,000 227,212
Stevens Holding Co., Inc., 6.125%, 10/01/2026 (n)   $ 1,040,000 1,060,800
TriMas Corp., 4.875%, 10/15/2025 (n)     1,195,000 1,174,088
United Technologies Corp., 4.625%, 11/16/2048      190,000 191,407
Wabtec Corp., 4.7%, 9/15/2028      140,000 138,168
        $ 11,016,628
Construction – 0.8%
Empresas ICA S.A.B. de C.V., 8.9%, 2/04/2021 (a)(d)   $ 450,000 $ 70,875
Empresas ICA S.A.B. de C.V., 8.875%, 5/29/2024 (a)(d)(n)     853,000 130,083
Mattamy Group Corp., 6.5%, 10/01/2025 (n)     1,470,000 1,412,578
Toll Brothers Finance Corp., 4.875%, 11/15/2025      335,000 333,744
Toll Brothers Finance Corp., 4.35%, 2/15/2028      1,335,000 1,253,231
        $ 3,200,511
Consumer Products – 0.7%
Coty, Inc., 4.75%, 4/15/2026 (n)   EUR 200,000 $ 222,940
Coty, Inc., 4.75%, 4/15/2026      100,000 111,470
Coty, Inc., 6.5%, 4/15/2026 (n)   $ 495,000 477,032
Energizer Holdings, Inc., 6.375%, 7/15/2026 (n)     880,000 888,800
Energizer Holdings, Inc., 7.75%, 1/15/2027 (z)     35,000 37,275
JAB Holdings B.V., 2%, 5/18/2028    EUR 100,000 112,314
JAB Holdings B.V., 2.5%, 6/25/2029      200,000 230,081
Reckitt Benckiser Treasury Services PLC, 3.625%, 9/21/2023 (n)   $ 250,000 251,663
Reckitt Benckiser Treasury Services PLC, 3%, 6/26/2027 (n)     272,000 255,901
Whirlpool Corp., 4.75%, 2/26/2029      328,000 328,197
        $ 2,915,673
Consumer Services – 1.4%
Bookings Holdings, Inc., 1.8%, 3/03/2027    EUR 200,000 $ 233,856
Cimpress N.V., 7%, 6/15/2026 (n)   $ 770,000 735,350
Experian Finance PLC, 4.25%, 2/01/2029 (n)     296,000 297,455
Frontdoor, Inc., 6.75%, 8/15/2026 (n)     765,000 777,431
G4S International Finance PLC, 1.5%, 1/09/2023    EUR 200,000 227,418
ManpowerGroup, 1.75%, 6/22/2026      150,000 173,247
Matthews International Corp., 5.25%, 12/01/2025 (n)   $ 845,000 817,538
NVA Holdings, Inc., 6.875%, 4/01/2026 (n)     780,000 752,700
Priceline Group, Inc., 3.55%, 3/15/2028      141,000 135,831
ServiceMaster Co. LLC, 5.125%, 11/15/2024 (n)     1,055,000 1,060,275
Visa, Inc., 4.15%, 12/14/2035      234,000 244,918
Visa, Inc., 4.3%, 12/14/2045      150,000 157,397
        $ 5,613,416
Containers – 2.8%
ARD Finance S.A., 6.625%, 9/15/2023    EUR 250,000 $ 287,348
ARD Finance S.A., 7.125%, 9/15/2023    $ 850,000 852,125
ARD Securities Finance, 8.75%, (8.75% cash or 8.75% PIK) 1/31/2023 (n)(p)     422,718 393,862
Berry Global Group, Inc., 5.5%, 5/15/2022      840,000 850,500
BWAY Holding Co., Inc., 7.25%, 4/15/2025 (n)     375,000 355,781
Crown American LLC, 4.5%, 1/15/2023      875,000 883,750
4


Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Containers – continued
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/2026    $ 595,000 $ 572,688
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 2/01/2026      815,000 817,547
Flex Acquisition Co., Inc., 6.875%, 1/15/2025 (n)     805,000 760,725
Multi-Color Corp., 6.125%, 12/01/2022 (n)     1,321,000 1,357,327
Reynolds Group, 5.75%, 10/15/2020      494,245 495,233
Reynolds Group, 5.125%, 7/15/2023 (n)     450,000 450,000
Reynolds Group, 7%, 7/15/2024 (n)     365,000 373,213
San Miguel Industrias PET S.A., 4.5%, 9/18/2022 (n)     337,000 332,788
Sealed Air Corp., 4.875%, 12/01/2022 (n)     1,110,000 1,130,812
Silgan Holdings, Inc., 4.75%, 3/15/2025      855,000 837,900
W/S Packaging Group, Inc., 9%, 4/15/2023 (n)     570,000 585,675
        $ 11,337,274
Electrical Equipment – 0.6%
Arrow Electronics, Inc., 3.5%, 4/01/2022    $ 173,000 $ 170,752
CommScope Technologies LLC, 5%, 3/15/2027 (n)     2,385,000 2,135,290
        $ 2,306,042
Electronics – 1.1%
ASML Holding N.V., 1.375%, 7/07/2026    EUR 175,000 $ 203,799
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.875%, 1/15/2027    $ 457,000 422,957
Qorvo, Inc., 5.5%, 7/15/2026 (n)     1,370,000 1,393,975
Sensata Technologies B.V., 5.625%, 11/01/2024 (n)     600,000 630,000
Sensata Technologies B.V., 5%, 10/01/2025 (n)     1,555,000 1,570,550
        $ 4,221,281
Emerging Market Quasi-Sovereign – 5.1%
Abu Dhabi Crude Oil Pipeline, 4.6%, 11/02/2047 (n)   $ 400,000 $ 405,230
Aeropuerto Internacional de Tocumen S.A., 6%, 11/18/2048 (n)     1,737,000 1,847,300
Corporacion Nacional del Cobre de Chile, 4.375%, 2/05/2049 (n)     1,486,000 1,450,187
DAE Funding LLC, 5.75%, 11/15/2023 (n)     725,000 738,594
DAE Funding LLC, 5%, 8/01/2024 (n)     1,705,000 1,690,081
Empresa Nacional del Petroleo, 3.75%, 8/05/2026      568,000 550,119
Empresa Nacional del Petroleo, 5.25%, 11/06/2029 (n)     767,000 810,667
EQUATE Petrochemical B.V., 4.25%, 11/03/2026      1,022,000 1,020,387
Eskom Holdings SOC Ltd., 6.35%, 8/10/2028      1,024,000 1,048,953
KazMunayGas National Co., JSC, 5.375%, 4/24/2030 (n)     500,000 517,500
NTPC Ltd., 4.25%, 2/26/2026      442,000 433,097
Office Cherifien des Phosphates, 6.875%, 4/25/2044 (n)     351,000 381,888
Office Cherifien des Phosphates, 6.875%, 4/25/2044      200,000 217,600
Petrobras Global Finance B.V., 5.299%, 1/27/2025      1,548,000 1,562,706
Petrobras Global Finance B.V., 5.75%, 2/01/2029      1,307,000 1,302,883
Petroleos del Peru S.A., 4.75%, 6/19/2032 (n)     1,062,000 1,046,070
Petroleos del Peru S.A., 4.75%, 6/19/2032      475,000 467,875
Petroleos Mexicanos, 1.875%, 4/21/2022    EUR 150,000 165,915
Petroleos Mexicanos, 6.5%, 1/23/2029    $ 1,532,000 1,457,545
PT Indonesia Asahan Aluminium (Persero), 6.53%, 11/15/2028 (n)     450,000 493,217
PT Indonesia Asahan Aluminium (Persero), 6.757%, 11/15/2048 (n)     944,000 1,026,214
PT Perusahaan Listrik Negara, 2.875%, 10/25/2025 (n)   EUR 200,000 236,371
Southern Gas Corridor CJSC, 6.875%, 3/24/2026    $ 1,315,000 1,463,921
        $ 20,334,320
Emerging Market Sovereign – 9.3%
Arab Republic of Egypt, 8.5%, 1/31/2047    $ 1,025,000 $ 1,048,682
Dominican Republic, 5.95%, 1/25/2027      842,000 872,733
Dominican Republic, 6%, 7/19/2028 (n)     550,000 569,250
Dominican Republic, 6.5%, 2/15/2048 (n)     150,000 150,375
Federal Republic of Nigeria, 7.625%, 11/21/2025 (n)     593,000 630,063
Federal Republic of Nigeria, 8.747%, 1/21/2031 (n)     1,398,000 1,526,197
5


Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Emerging Market Sovereign – continued
Federative Republic of Brazil, 5%, 1/27/2045    $ 550,000 $ 500,500
Government of Ukraine, 8.994%, 2/01/2024 (n)     593,000 587,082
Government of Ukraine, 7.75%, 9/01/2024      1,047,000 986,588
Government of Ukraine, 9.75%, 11/01/2028 (n)     986,000 987,440
Hellenic Republic, 3.45%, 4/02/2024 (z)   EUR 1,300,000 1,520,636
Hellenic Republic, 3.375%, 2/15/2025      5,000,000 5,732,933
Kingdom of Saudi Arabia, 4.375%, 4/16/2029 (n)   $ 1,598,000 1,629,928
Oriental Republic of Uruguay, 4.375%, 1/23/2031      500,000 509,750
Oriental Republic of Uruguay, 4.975%, 4/20/2055      563,000 566,102
Republic of Angola, 9.375%, 5/08/2048      954,000 1,018,662
Republic of Argentina, 6.875%, 4/22/2021      494,000 468,564
Republic of Argentina, 4.625%, 1/11/2023      2,650,000 2,248,551
Republic of Argentina, 7.5%, 4/22/2026      1,170,000 1,018,497
Republic of Argentina, 6.875%, 1/26/2027      1,210,000 1,004,300
Republic of Colombia, 5.2%, 5/15/2049      1,481,000 1,514,322
Republic of Cote d'Ivoire, 5.25%, 3/22/2030    EUR 929,000 1,005,652
Republic of Hungary, 5.75%, 11/22/2023    $ 486,000 532,170
Republic of Hungary, 7.625%, 3/29/2041      470,000 685,037
Republic of Indonesia, 8.25%, 5/15/2029    IDR 21,298,000,000 1,562,812
Republic of Indonesia, 8.375%, 3/15/2034      13,560,000,000 984,592
Republic of Paraguay, 6.1%, 8/11/2044 (n)   $ 550,000 603,339
Republic of South Africa, 4.875%, 4/14/2026      260,000 257,175
Republic of South Africa, 5.875%, 6/22/2030      409,000 418,847
Republic of Sri Lanka, 6.125%, 6/03/2025      643,000 614,345
Republic of Turkey, 7.25%, 12/23/2023      1,050,000 1,094,531
Republic of Turkey, 7.375%, 2/05/2025      550,000 575,300
Republic of Turkey, 4.875%, 10/09/2026      1,432,000 1,292,666
Russian Federation, 4.75%, 5/27/2026      800,000 812,000
United Mexican States, 4.5%, 4/22/2029      1,500,000 1,509,765
        $ 37,039,386
Energy - Independent – 2.9%
Afren PLC, 10.25%, 4/08/2019 (a)(d)(z)   $ 451,812 $ 370
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., 7.875%, 12/15/2024      855,000 271,463
Callon Petroleum Co., 6.375%, 7/01/2026      950,000 950,000
Carrizo Oil & Gas, Inc., 6.25%, 4/15/2023      440,000 433,950
CrownRock LP/CrownRock Finance, Inc., 5.625%, 10/15/2025 (n)     910,000 881,562
Diamondback Energy, Inc., 5.375%, 5/31/2025      1,455,000 1,505,925
Gulfport Energy Corp., 6%, 10/15/2024      665,000 603,488
Indigo Natural Resources LLC, 6.875%, 2/15/2026 (n)     580,000 506,050
Jagged Peak Energy LLC, 5.875%, 5/01/2026 (n)     580,000 585,981
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6%, 8/01/2026 (n)     920,000 917,700
Oasis Petroleum, Inc., 6.25%, 5/01/2026 (n)     825,000 785,813
Parsley Energy LLC/Parsley Finance Corp., 5.25%, 8/15/2025 (n)     245,000 242,477
Parsley Energy LLC/Parsley Finance Corp., 5.625%, 10/15/2027 (n)     1,945,000 1,925,550
Sanchez Energy Corp., 6.125%, 1/15/2023      680,000 102,850
SM Energy Co., 6.75%, 9/15/2026      915,000 876,112
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026      987,000 950,528
        $ 11,539,819
Energy - Integrated – 0.2%
BP Capital Markets America, Inc., 3.41%, 2/11/2026    $ 487,000 $ 486,487
Eni S.p.A., 4%, 9/12/2023 (n)     200,000 202,243
        $ 688,730
Entertainment – 0.9%
AMC Entertainment Holdings, Inc., 5.75%, 6/15/2025    $ 325,000 $ 299,813
Constellation Merger Sub, Inc., 8.5%, 9/15/2025 (z)     200,000 191,500
Live Nation Entertainment, Inc., 5.625%, 3/15/2026 (n)     1,325,000 1,354,812
6


Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Entertainment – continued
Six Flags Entertainment Corp., 4.875%, 7/31/2024 (n)   $ 1,775,000 $ 1,748,375
        $ 3,594,500
Financial Institutions – 1.0%
AerCap Ireland Capital Ltd., 3.65%, 7/21/2027    $ 379,000 $ 341,872
Avolon Holdings Funding Ltd., 5.125%, 10/01/2023      490,000 494,900
EXOR N.V., 1.75%, 1/18/2028    EUR 200,000 217,955
GE Capital International Funding Co., 3.373%, 11/15/2025    $ 382,000 367,601
Park Aerospace Holdings Ltd., 5.5%, 2/15/2024 (n)     2,075,000 2,145,031
Wand Merger Corp., 8.125%, 7/15/2023 (n)     425,000 432,438
        $ 3,999,797
Food & Beverages – 2.6%
Anheuser-Busch InBev N.V., 1.5%, 4/18/2030    EUR 150,000 $ 166,714
Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038    $ 80,000 73,336
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049      110,000 115,572
Aramark Services, Inc., 4.75%, 6/01/2026      1,290,000 1,280,325
Constellation Brands, Inc., 4.4%, 11/15/2025      227,000 232,771
Cott Holdings, Inc., 5.5%, 4/01/2025 (n)     1,605,000 1,584,938
Danone S.A., 2.077%, 11/02/2021 (n)     236,000 228,990
Danone S.A., 2.589%, 11/02/2023 (n)     553,000 532,286
JBS USA LLC/JBS USA Finance, Inc., 6.75%, 2/15/2028 (n)     965,000 997,569
JBS USA Lux S.A./JBS USA Finance, Inc., 5.875%, 7/15/2024 (n)     365,000 375,220
Kraft Heinz Foods Co., 5.2%, 7/15/2045      31,000 28,841
Kraft Heinz Foods Co., 4.375%, 6/01/2046      130,000 107,816
Lamb Weston Holdings, Inc., 4.625%, 11/01/2024 (n)     705,000 708,525
Lamb Weston Holdings, Inc., 4.875%, 11/01/2026 (n)     420,000 420,525
Pilgrim's Pride Corp., 5.875%, 9/30/2027 (n)     1,535,000 1,508,138
U.S. Foods Holding Corp., 5.875%, 6/15/2024 (n)     1,650,000 1,674,750
Wm. Wrigley Jr. Co., 3.375%, 10/21/2020 (n)     300,000 301,955
        $ 10,338,271
Forest & Paper Products – 0.2%
Suzano Austria GmbH, 6%, 1/15/2029 (n)   $ 701,000 $ 742,534
Gaming & Lodging – 2.3%
CCM Merger, Inc., 6%, 3/15/2022 (n)   $ 715,000 $ 730,194
GLP Capital LP/GLP Financing II, Inc., 5.25%, 6/01/2025      1,060,000 1,097,619
GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026      145,000 149,402
Hilton Domestic Operating Co., Inc., 5.125%, 5/01/2026 (n)     950,000 954,750
Hilton Worldwide Finance LLC, 4.625%, 4/01/2025      1,350,000 1,343,250
Marriot Ownership Resorts, Inc., 5.625%, 4/15/2023 (z)     870,000 861,300
MGM Resorts International, 6.625%, 12/15/2021      445,000 473,925
MGM Resorts International, 6%, 3/15/2023      460,000 481,275
MGM Resorts International, 5.75%, 6/15/2025      455,000 462,963
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2021      495,000 496,238
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2023      835,000 839,175
Wyndham Hotels Group, LLC, 5.375%, 4/15/2026 (n)     890,000 900,368
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.5%, 3/01/2025 (n)     420,000 418,026
        $ 9,208,485
Health Maintenance Organizations – 0.1%
Halfmoon Parent, Inc., 4.125%, 11/15/2025 (n)   $ 201,000 $ 204,181
Healthcare Revenue - Hospitals – 0.1%
Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), “C”, 5.45%, 8/15/2028    $ 346,000 $ 366,511
Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), “C”, 4.65%, 8/15/2030      221,000 234,280
        $ 600,791
7


Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Industrial – 0.7%
Cleaver Brooks, Inc., 7.875%, 3/01/2023 (n)   $ 845,000 $ 825,988
Grainger PLC, 3.375%, 4/24/2028    GBP 120,000 157,552
Investor AB, 1.5%, 9/12/2030    EUR 200,000 232,502
KAR Auction Services, Inc., 5.125%, 6/01/2025 (n)   $ 1,685,000 1,638,662
        $ 2,854,704
Insurance – 0.2%
American International Group, Inc., 1.875%, 6/21/2027    EUR 110,000 $ 123,777
Argentum Zurich Insurance, 3.5%, 10/01/2046      200,000 248,123
NN Group N.V., 4.625% to 4/08/2024, FLR (EURIBOR - 3mo. + 3.95%) to  4/08/2044      200,000 249,052
        $ 620,952
Insurance - Health – 0.5%
Aetna, Inc., 2.8%, 6/15/2023    $ 317,000 $ 308,609
Centene Corp., 6.125%, 2/15/2024      590,000 617,288
Centene Corp., 5.375%, 6/01/2026 (n)     1,095,000 1,136,062
        $ 2,061,959
Insurance - Property & Casualty – 0.8%
AssuredPartners Inc., 7%, 8/15/2025 (n)   $ 875,000 $ 831,250
Berkshire Hathaway, Inc., 2.75%, 3/15/2023      234,000 233,441
Chubb INA Holdings, Inc., 2.3%, 11/03/2020      95,000 94,079
Chubb INA Holdings, Inc., 2.875%, 11/03/2022      221,000 221,550
Chubb INA Holdings, Inc., 2.5%, 3/15/2038    EUR 126,000 145,753
Hiscox Ltd., 6.125%, 11/24/2045    GBP 100,000 143,270
Hub International Ltd., 7%, 5/01/2026 (n)   $ 830,000 813,400
Marsh & McLennan Cos., Inc., 3.5%, 6/03/2024      159,000 159,702
Marsh & McLennan Cos., Inc., 4.35%, 1/30/2047      131,000 128,256
QBE Capital Funding III Ltd., 7.5% to 5/24/2021, FLR (GBP Swap Rate - 10yr. + 4.003%) to 5/24/2041    GBP 200,000 283,242
XLIT Ltd., 3.25%, 6/29/2047    EUR 230,000 268,925
        $ 3,322,868
International Market Quasi-Sovereign – 0.5%
BNG Bank N.V., 0.75%, 1/11/2028    EUR 1,039,000 $ 1,197,894
KFW German Government Development Bank, 1.125%, 6/15/2037      510,000 584,032
Landsbanki Islands HF, 1.125%, 1/19/2024      150,000 165,390
        $ 1,947,316
International Market Sovereign – 11.9%
Bundesrepublik Deutschland, 0.25%, 8/15/2028    EUR 969,000 $ 1,114,471
Commonwealth of Australia, 2.75%, 11/21/2027    AUD 2,250,000 1,684,007
Commonwealth of Australia, 2.75%, 6/21/2035      2,100,000 1,565,111
Federal Republic of Germany, 2.5%, 7/04/2044    EUR 1,185,000 1,894,703
Government of Bermuda, 4.75%, 2/15/2029 (n)   $ 487,000 507,697
Government of Canada, 1.5%, 6/01/2026    CAD 3,357,000 2,481,545
Government of Canada, 5%, 6/01/2037      1,800,000 1,954,469
Government of Canada, Inflation Linked Bond, 4.25%, 12/01/2026      1,442,974 1,421,614
Government of Japan, 2.4%, 3/20/2037    JPY 565,100,000 6,880,415
Government of Japan, 0.5%, 6/20/2038      413,000,000 3,769,558
Government of Norway, 2%, 4/26/2028    NOK 19,725,000 2,356,170
Kingdom of Belgium, 1.6%, 6/22/2047    EUR 780,000 882,966
Kingdom of Spain, 2.75%, 10/31/2024      540,000 693,099
Kingdom of Spain, 5.15%, 10/31/2028      3,755,000 5,813,425
Kingdom of Spain, 5.15%, 10/31/2044      330,000 584,338
Republic of Italy, 2%, 2/01/2028      2,144,000 2,331,691
Republic of Italy, 1.65%, 3/01/2032      297,000 289,398
Republic of Italy, 4%, 2/01/2037      780,000 961,041
Republic of Portugal, 2.875%, 10/15/2025      889,000 1,151,898
Republic of Portugal, 2.125%, 10/17/2028      4,705,000 5,734,057
8


Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
International Market Sovereign – continued
Republic of Portugal, 4.1%, 4/15/2037    EUR 355,000 $ 515,973
United Kingdom Treasury, 3.25%, 1/22/2044    GBP 1,163,000 1,976,746
United Kingdom Treasury, 3.75%, 7/22/2052      510,000 1,013,861
        $ 47,578,253
Leisure & Toys – 0.0%
Ubisoft Entertainment S.A., 1.289%, 1/30/2023    EUR 100,000 $ 112,921
Local Authorities – 0.1%
Province of Alberta, 4.5%, 12/01/2040    CAD 255,000 $ 236,508
Province of British Columbia, 2.3%, 6/18/2026      370,000 278,098
        $ 514,606
Machinery & Tools – 0.1%
CNH Industrial Capital LLC, 1.875%, 1/19/2026    EUR 200,000 $ 226,937
Major Banks – 2.2%
ABN AMRO Bank N.V., 2.875%, 1/18/2028    EUR 100,000 $ 120,260
Bank of America Corp., 2.625%, 4/19/2021    $ 370,000 367,588
Bank of America Corp., 3.004%, 12/20/2023      272,000 268,442
Bank of America Corp., 3.5%, 4/19/2026      400,000 397,272
Bank of America Corp., 3.248%, 10/21/2027      462,000 442,523
Bank of New York Mellon Corp., 2.95%, 1/29/2023      414,000 412,084
Bankia S.A., 6% to 7/18/2022, FLR (EUR Swap Rate - 5yr. + 5.819%) to  12/31/2099    EUR 400,000 446,812
Barclays Bank PLC, 6%, 1/14/2021      250,000 309,644
Barclays PLC, 3.125%, 1/17/2024    GBP 150,000 199,582
Credit Agricole S.A., 0.75%, 12/05/2023    EUR 200,000 230,452
Credit Suisse Group AG, 1.25% to 7/17/2024, FLR (EUR Swap Rate - 1yr. + 0.75%) to  7/17/2025      150,000 170,008
HSBC Holdings PLC, 4.375%, 11/23/2026    $ 269,000 270,709
JPMorgan Chase & Co., 2.95%, 10/01/2026      601,000 573,424
JPMorgan Chase & Co., 3.54%, 5/01/2028      291,000 285,986
JPMorgan Chase & Co., 4.26%, 2/22/2048      153,000 150,764
Morgan Stanley, 3.125%, 7/27/2026      426,000 407,184
Nationwide Building Society, 1.5%, 3/08/2026    EUR 100,000 112,669
Sumitomo Mitsui Financial Group, Inc., 3.544%, 1/17/2028    $ 439,000 435,727
Svenska Handelsbanken AB, 5.25%, 12/29/2049      239,000 236,909
UBS Group AG, 6.875% to 8/07/2025, FLR (Swap Rate - 5yr. + 4.59%) to 12/29/2049      1,620,000 1,628,100
UBS Group Funding (Jersey) Ltd., 1.5%, 11/30/2024    EUR 300,000 347,740
UBS Group Funding (Switzerland) AG, 2.859% to 8/15/2022, FLR (LIBOR - 3mo. + 0.954%) to 8/15/2023 (n)   $ 750,000 733,569
Wells Fargo & Co., 4.15%, 1/24/2029      188,000 192,292
        $ 8,739,740
Medical & Health Technology & Services – 3.3%
Acadia Healthcare Co., Inc., 5.625%, 2/15/2023    $ 820,000 $ 813,850
Avantor, Inc., 9%, 10/01/2025 (n)     760,000 814,150
Becton, Dickinson and Co., 1.401%, 5/24/2023    EUR 250,000 288,863
Becton, Dickinson and Co., 3.734%, 12/15/2024    $ 239,000 239,193
DaVita, Inc., 5%, 5/01/2025      585,000 564,525
Encompass Health Corp., 5.75%, 9/15/2025      350,000 353,500
HCA, Inc., 7.5%, 2/15/2022      1,085,000 1,189,431
HCA, Inc., 5%, 3/15/2024      890,000 929,762
HCA, Inc., 5.375%, 2/01/2025      1,400,000 1,452,066
HCA, Inc., 5.875%, 2/15/2026      855,000 903,094
HealthSouth Corp., 5.125%, 3/15/2023      1,425,000 1,435,687
HealthSouth Corp., 5.75%, 11/01/2024      75,000 75,773
Heartland Dental, LLC, 8.5%, 5/01/2026 (n)     675,000 619,313
Laboratory Corp. of America Holdings, 3.2%, 2/01/2022      200,000 199,085
Laboratory Corp. of America Holdings, 4.7%, 2/01/2045      310,000 290,912
Northwell Healthcare, Inc., 4.26%, 11/01/2047      172,000 164,753
9


Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Medical & Health Technology & Services – continued
Polaris, 8.5%, (8.5% cash or 8.5% PIK) 12/01/2022 (n)(p)   $ 485,000 $ 478,797
Quintiles IMS Holdings, Inc., 5%, 10/15/2026 (n)     510,000 518,925
Regional Care/LifePoint Health, Inc., 9.75%, 12/01/2026 (n)     735,000 753,375
Thermo Fisher Scientific, Inc., 3.2%, 8/15/2027      476,000 451,939
West Street Merger Sub, Inc., 6.375%, 9/01/2025 (n)     800,000 746,000
        $ 13,282,993
Medical Equipment – 0.7%
Abbott Laboratories, 4.9%, 11/30/2046    $ 300,000 $ 327,944
Teleflex, Inc., 5.25%, 6/15/2024      960,000 980,400
Teleflex, Inc., 4.875%, 6/01/2026      720,000 729,000
Teleflex, Inc., 4.625%, 11/15/2027      905,000 898,276
        $ 2,935,620
Metals & Mining – 3.1%
Baffinland Iron Mines Corp./Baffinland Iron Mines LP, 8.75%, 7/15/2026 (n)   $ 720,000 $ 723,254
Cameco Corp., 5.67%, 9/02/2019    CAD 262,000 201,784
First Quantum Minerals Ltd., 7.25%, 4/01/2023 (n)   $ 870,000 854,775
Freeport-McMoRan Copper & Gold, Inc., 5.4%, 11/14/2034      1,300,000 1,186,250
Freeport-McMoRan, Inc., 6.875%, 2/15/2023      1,975,000 2,086,094
Kaiser Aluminum Corp., 5.875%, 5/15/2024      1,805,000 1,845,612
Northwest Acquisitions ULC/Dominion Finco, Inc., 7.125%, 11/01/2022 (n)     920,000 848,700
Novelis Corp., 5.875%, 9/30/2026 (n)     1,265,000 1,233,375
Petra Diamonds U.S. Treasury PLC, 7.25%, 5/01/2022 (n)     905,000 841,650
Steel Dynamics, Inc., 4.125%, 9/15/2025      440,000 427,830
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.5%, 6/15/2025 (n)     610,000 620,675
TMS International Corp., 7.25%, 8/15/2025 (n)     745,000 711,475
Vale Overseas Ltd., 6.25%, 8/10/2026      450,000 477,450
Vale Overseas Ltd., 6.875%, 11/10/2039      400,000 438,500
        $ 12,497,424
Midstream – 4.0%
AI Candelaria Spain SLU, 7.5%, 12/15/2028 (n)   $ 1,232,000 $ 1,238,161
APT Pipelines Ltd., 5%, 3/23/2035 (n)     280,000 277,237
Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022 (n)     365,000 370,019
Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.625%, 7/15/2026 (n)     890,000 907,800
Cheniere Energy, Inc., 5.875%, 3/31/2025      1,160,000 1,235,412
DCP Midstream Operating LP, 4.95%, 4/01/2022      651,000 665,648
DCP Midstream Operating LP, 3.875%, 3/15/2023      770,000 764,225
DCP Midstream Operating LP, 5.375%, 7/15/2025 (n)     770,000 800,800
DCP Midstream Operating LP, 5.6%, 4/01/2044      615,000 568,106
EnLink Midstream Partners LP, 4.4%, 4/01/2024      1,945,000 1,889,081
MPLX LP, 4.5%, 4/15/2038      170,000 156,650
ONEOK, Inc., 4.95%, 7/13/2047      474,000 456,466
Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028      333,000 328,674
Tallgrass Energy Partners LP, 5.5%, 1/15/2028 (n)     1,985,000 1,980,038
Targa Resources Partners LP/Targa Resources Finance Corp., 5.25%, 5/01/2023      860,000 871,816
Targa Resources Partners LP/Targa Resources Finance Corp., 5.125%, 2/01/2025 (n)     775,000 778,875
Targa Resources Partners LP/Targa Resources Finance Corp., 5.375%, 2/01/2027      2,635,000 2,648,201
        $ 15,937,209
Mortgage-Backed – 2.5%  
Fannie Mae, 5.5%, 9/01/2019 - 7/01/2035   $ 157,684 $ 169,241
Fannie Mae, 6.5%, 4/01/2032 - 1/01/2033     36,891 41,173
Fannie Mae, 6%, 8/01/2034 - 2/01/2037     68,823 75,529
Freddie Mac, 2.811%, 1/25/2025     5,900,000 5,845,210
Freddie Mac, 0.109%, 2/25/2025 (i)     38,000,000 348,627
Freddie Mac, 3.194%, 7/25/2027     1,073,000 1,072,675
Freddie Mac, 0.125%, 2/25/2028 (i)     36,576,000 497,646
10


Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Mortgage-Backed – continued  
Freddie Mac, 0.291%, 2/25/2028 (i)   $ 15,572,000 $ 411,801
Freddie Mac, 0.105%, 4/25/2028 (i)     15,983,000 201,215
Freddie Mac, 6%, 8/01/2034     52,438 57,585
Freddie Mac, 3.9%, 9/25/2051     1,000,000 1,051,367
        $ 9,772,069
Natural Gas - Distribution – 0.1%
Boston Gas Co., 3.15%, 8/01/2027 (n)   $ 248,000 $ 236,949
GNL Quintero S.A., 4.634%, 7/31/2029 (n)     323,000 326,634
        $ 563,583
Natural Gas - Pipeline – 0.4%
Peru LNG, 5.375%, 3/22/2030    $ 1,558,000 $ 1,593,912
Network & Telecom – 0.6%
C&W Senior Financing Designated Activity, 7.5%, 10/15/2026 (n)   $ 388,000 $ 395,760
Telefonica Celular del Paraguay S.A., 6.75%, 12/13/2022      517,000 527,340
Zayo Group LLC/Zayo Capital, Inc., 6.375%, 5/15/2025      505,000 501,212
Zayo Group LLC/Zayo Capital, Inc., 5.75%, 1/15/2027 (n)     1,050,000 1,018,500
        $ 2,442,812
Oil Services – 0.6%
Apergy Corp., 6.375%, 5/01/2026    $ 1,280,000 $ 1,278,400
Diamond Offshore Drill Co., 5.7%, 10/15/2039      945,000 637,875
Nabors Industries, Inc., 5.75%, 2/01/2025      190,000 168,150
Shelf Drill Holdings Ltd., 8.25%, 2/15/2025      376,000 359,080
        $ 2,443,505
Oils – 1.1%
Marathon Petroleum Corp., 4.75%, 9/15/2044    $ 200,000 $ 191,675
Neste Oyj, 1.5%, 6/07/2024    EUR 200,000 230,741
Parkland Fuel Corp., 6%, 4/01/2026 (n)   $ 2,030,000 1,994,475
PBF Holding Co. LLC/PBF Finance Corp., 7%, 11/15/2023      150,000 153,375
PBF Holding Co. LLC/PBF Finance Corp., 7.25%, 6/15/2025      240,000 246,120
Phillips 66, 4.875%, 11/15/2044      150,000 156,258
Thaioil Treasury Center Co. Ltd., 5.375%, 11/20/2048 (n)     1,514,000 1,608,416
        $ 4,581,060
Other Banks & Diversified Financials – 1.1%
Bangkok Bank (Hong Kong), 4.05%, 3/19/2024 (n)   $ 720,000 $ 729,141
Belfius Bank S.A., 3.125%, 5/11/2026    EUR 200,000 240,560
BPCE S.A., 0.625%, 9/26/2023      100,000 114,316
BPCE S.A., 5.25%, 4/16/2029    GBP 100,000 153,332
Deutsche Bank AG, 1.875%, 2/28/2020      200,000 263,425
Intesa Sanpaolo S.p.A., 5.25%, 1/28/2022      100,000 139,601
Intesa Sanpaolo S.p.A., 2.125%, 8/30/2023    EUR 200,000 232,279
JSC Kazkommertsbank, 5.5%, 12/21/2022    $ 1,139,000 1,134,444
KBC Group N.V., 0.875%, 6/27/2023    EUR 100,000 115,030
Macquarie Group Ltd., 1.25%, 3/05/2025      100,000 112,228
UBS AG, 5.125%, 5/15/2024    $ 447,000 455,158
UniCredit S.p.A., 1%, 1/18/2023    EUR 250,000 271,492
UniCredito Italiano S.p.A., 6.572%, 1/14/2022 (n)   $ 350,000 358,357
        $ 4,319,363
Pharmaceuticals – 0.9%
Allergan Funding SCS, 2.625%, 11/15/2028    EUR 130,000 $ 151,756
Bayer Capital Corp. B.V., 1.5%, 6/26/2026      200,000 228,778
Endo Finance LLC/Endo Finco, Inc., 5.375%, 1/15/2023 (n)   $ 225,000 185,484
Mallinckrodt International Finance S.A., 5.75%, 8/01/2022 (n)     710,000 667,400
11


Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Pharmaceuticals – continued
Takeda Pharmaceutical Co. Ltd., 1.125%, 11/21/2022 (z)   EUR 160,000 $ 184,204
Takeda Pharmaceutical Co. Ltd., 2.25%, 11/21/2026 (z)     100,000 118,372
Takeda Pharmaceutical Co. Ltd., 2.25%, 11/21/2026      150,000 177,558
Valeant Pharmaceuticals International, Inc., 5.5%, 3/01/2023 (n)   $ 890,000 885,550
Valeant Pharmaceuticals International, Inc., 6.125%, 4/15/2025 (n)     1,095,000 1,053,938
        $ 3,653,040
Pollution Control – 0.1%
Republic Services, Inc., 3.95%, 5/15/2028    $ 242,000 $ 247,862
Precious Metals & Minerals – 0.3%
Teck Resources Ltd., 6%, 8/15/2040    $ 250,000 $ 255,575
Teck Resources Ltd., 6.25%, 7/15/2041      750,000 782,625
        $ 1,038,200
Printing & Publishing – 0.3%
Nielsen Finance LLC, 5%, 4/15/2022 (n)   $ 884,000 $ 881,790
TEGNA, Inc., 5.5%, 9/15/2024 (z)     225,000 222,469
        $ 1,104,259
Real Estate - Apartment – 0.1%
Grand City Properties S.A., 1.375%, 8/03/2026    EUR 300,000 $ 328,185
Real Estate - Healthcare – 0.7%
MPT Operating Partnership LP/MPT Financial Co., REIT, 5.25%, 8/01/2026    $ 1,295,000 $ 1,312,806
MPT Operating Partnership LP/MPT Financial Co., REIT, 5%, 10/15/2027      1,460,000 1,449,050
        $ 2,761,856
Real Estate - Office – 0.1%
Boston Properties, Inc., REIT, 3.125%, 9/01/2023    $ 250,000 $ 246,816
Merlin Properties SOCIMI S.A., REIT, 2.225%, 4/25/2023    EUR 150,000 177,280
Merlin Properties SOCIMI S.A., REIT, 1.875%, 11/02/2026      150,000 167,754
        $ 591,850
Real Estate - Other – 0.5%
CyrusOne LP/CyrusOne Finance Corp., REIT, 5%, 3/15/2024    $ 800,000 $ 814,000
CyrusOne LP/CyrusOne Finance Corp., REIT, 5.375%, 3/15/2027      1,000,000 1,017,500
        $ 1,831,500
Restaurants – 0.4%
Golden Nugget, Inc., 6.75%, 10/15/2024 (n)   $ 465,000 $ 467,325
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, 6/01/2026 (n)     1,125,000 1,144,687
        $ 1,612,012
Retailers – 0.6%
Best Buy Co., Inc., 4.45%, 10/01/2028    $ 222,000 $ 214,871
DriveTime Automotive Group, Inc./DT Acceptance Corp., 8%, 6/01/2021 (n)     485,000 487,425
Hanesbrands, Inc., 4.875%, 5/15/2026 (n)     755,000 743,675
Home Depot, Inc., 2.625%, 6/01/2022      231,000 229,769
Home Depot, Inc., 3%, 4/01/2026      310,000 305,305
Sally Beauty Holdings, Inc., 5.625%, 12/01/2025      435,000 426,844
        $ 2,407,889
Specialty Chemicals – 0.3%
Univar USA, Inc., 6.75%, 7/15/2023 (n)   $ 1,200,000 $ 1,233,000
12


Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Specialty Stores – 0.2%
Penske Automotive Group Co., 5.375%, 12/01/2024    $ 185,000 $ 183,557
Penske Automotive Group Co., 5.5%, 5/15/2026      515,000 505,318
Richemont International S.A., 1.5%, 3/26/2030    EUR 100,000 116,711
        $ 805,586
Supermarkets – 0.6%
Albertsons Cos. LLC/Safeway Co., 6.625%, 6/15/2024    $ 480,000 $ 480,000
Esselunga S.p.A., 0.875%, 10/25/2023    EUR 250,000 275,211
Eurotorg LLC Via Bonitron DAC, 8.75%, 10/30/2022    $ 1,553,000 1,576,916
Loblaw Cos. Ltd., 4.86%, 9/12/2023    CAD 262,000 213,437
        $ 2,545,564
Supranational – 0.6%
European Stability Mechanism, 0.75%, 3/15/2027    EUR 1,720,000 $ 2,012,112
International Bank for Reconstruction and Development, 2.8%, 1/13/2021    AUD 170,000 122,230
International Bank for Reconstruction and Development, 4.25%, 6/24/2025      210,000 165,156
International Finance Corp., 3.25%, 7/22/2019      305,000 217,390
        $ 2,516,888
Telecommunications - Wireless – 3.6%
Altice France S.A., 6.25%, 5/15/2024 (n)   $ 385,000 $ 385,000
Altice France S.A., 8.125%, 2/01/2027 (n)     675,000 678,375
Altice Luxembourg S.A., 7.75%, 5/15/2022 (n)     665,000 660,844
Altice Luxembourg S.A., 7.625%, 2/15/2025 (n)     635,000 563,959
American Tower Corp., REIT, 3.5%, 1/31/2023      465,000 464,767
American Tower Corp., REIT, 4%, 6/01/2025      250,000 252,440
Crown Castle International Corp., 3.7%, 6/15/2026      157,000 153,130
Digicel Group Ltd., 6.75%, 3/01/2023 (n)     720,000 500,400
Millicom International Cellular S.A., 5.125%, 1/15/2028      1,554,000 1,487,955
SBA Communications Corp., 4%, 10/01/2022      1,190,000 1,178,100
SBA Communications Corp., 4.875%, 9/01/2024      835,000 833,956
SBA Tower Trust, 2.898%, 10/15/2044 (n)     220,000 219,885
SFR Group S.A., 7.375%, 5/01/2026 (n)     340,000 333,625
Sprint Corp., 7.875%, 9/15/2023      1,065,000 1,139,827
Sprint Corp., 7.125%, 6/15/2024      1,490,000 1,534,700
Sprint Nextel Corp., 6%, 11/15/2022      975,000 989,137
T-Mobile USA, Inc., 6.5%, 1/15/2024      615,000 638,063
T-Mobile USA, Inc., 5.125%, 4/15/2025      945,000 968,920
T-Mobile USA, Inc., 6.5%, 1/15/2026      700,000 748,125
T-Mobile USA, Inc., 5.375%, 4/15/2027      695,000 713,244
        $ 14,444,452
Telephone Services – 0.5%
Level 3 Financing, Inc., 5.375%, 1/15/2024    $ 390,000 $ 391,950
Level 3 Financing, Inc., 5.375%, 5/01/2025      1,215,000 1,211,963
TELUS Corp., 5.05%, 7/23/2020    CAD 265,000 208,353
        $ 1,812,266
Tobacco – 0.1%
Altria Group, Inc., 1.7%, 6/15/2025    EUR 120,000 $ 136,125
Altria Group, Inc., 3.125%, 6/15/2031      100,000 113,521
Imperial Brands Finance PLC, 1.375%, 1/27/2025      150,000 167,962
        $ 417,608
Transportation - Services – 0.9%
Autostrade per l'Italia S.p.A., 6.25%, 6/09/2022    GBP 150,000 $ 216,727
Compagnie Financial et Indus Unternehmensanleihe, 0.75%, 9/09/2028    EUR 200,000 218,423
ERAC USA Finance LLC, 7%, 10/15/2037 (n)   $ 250,000 307,032
Heathrow Funding Ltd., 1.875%, 7/12/2032    EUR 150,000 171,993
13


Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Transportation - Services – continued
Heathrow Funding Ltd., 4.625%, 10/31/2046    GBP 100,000 $ 165,393
Navios South American Logistics, Inc./Navios Logistics Finance (U.S.), Inc., 7.25%, 5/01/2022    $ 1,970,000 1,773,000
Syncreon Group BV/Syncre, 8.625%, 11/01/2021 (n)     470,000 371,300
Transurban Finance Co., 1.75%, 3/29/2028    EUR 200,000 228,773
        $ 3,452,641
U.S. Treasury Obligations – 16.5%
U.S. Treasury Bonds, 3.5%, 2/15/2039    $ 242,000 $ 262,778
U.S. Treasury Bonds, 3.125%, 2/15/2043      755,200 762,162
U.S. Treasury Bonds, 3%, 5/15/2047 (f)     12,771,000 12,569,957
U.S. Treasury Bonds, TIPS, 0.25%, 1/15/2025      6,173,332 6,030,150
U.S. Treasury Bonds, TIPS, 0.375%, 1/15/2027      1,393,667 1,355,559
U.S. Treasury Notes, 2.625%, 11/15/2020      11,000,000 11,013,320
U.S. Treasury Notes, 2.625%, 7/15/2021      11,981,000 12,012,825
U.S. Treasury Notes, 2.125%, 9/30/2024      1,500,000 1,466,133
U.S. Treasury Notes, 2%, 11/15/2026      13,120,000 12,532,162
U.S. Treasury Notes, 2.75%, 2/15/2028      3,714,000 3,729,959
U.S. Treasury Notes, 2.875%, 5/15/2028      3,800,000 3,853,289
        $ 65,588,294
Utilities - Electric Power – 2.9%
Clearway Energy Operating LLC, 5.75%, 10/15/2025 (n)   $ 1,655,000 $ 1,626,037
Covanta Holding Corp., 5.875%, 3/01/2024      995,000 1,016,144
Covanta Holding Corp., 5.875%, 7/01/2025      230,000 229,425
Covanta Holding Corp., 6%, 1/01/2027      1,010,000 1,012,525
Drax Finco PLC, 6.625%, 11/01/2025 (n)     950,000 965,438
Duke Energy Florida LLC, 3.2%, 1/15/2027      310,000 303,399
EDP Finance B.V., 5.25%, 1/14/2021 (n)     200,000 205,488
Emera U.S. Finance LP, 2.7%, 6/15/2021      98,000 96,200
Emera U.S. Finance LP, 3.55%, 6/15/2026      112,000 107,490
Enel Finance International N.V., 5.625%, 8/14/2024    GBP 100,000 151,618
Enel Finance International N.V., 1.125%, 9/16/2026    EUR 200,000 221,278
Enel Finance International N.V., 3.5%, 4/06/2028 (z)   $ 200,000 179,021
Exelon Corp., 3.497%, 6/01/2022      151,000 150,029
Greenko Dutch B.V., 5.25%, 7/24/2024      877,000 822,626
Innogy Finance B.V., 1.625%, 5/30/2026    EUR 170,000 200,279
Innogy Finance B.V., 4.75%, 1/31/2034    GBP 100,000 156,005
LLPL Capital Pte. Ltd., 6.875%, 2/04/2039 (n)   $ 961,000 988,303
NextEra Energy Capital Holdings, Inc., 3.55%, 5/01/2027      377,000 367,320
NextEra Energy Operating Co., 4.25%, 9/15/2024 (n)     1,175,000 1,154,438
PPL WEM Holdings PLC, 5.375%, 5/01/2021 (n)     250,000 256,729
Star Energy Geothermal (Wayang Windu) Ltd., 6.75%, 4/24/2033 (n)     888,632 873,823
TerraForm Global Operating LLC, 6.125%, 3/01/2026 (n)     35,000 33,688
Virginia Electric & Power Co., 3.5%, 3/15/2027      475,000 472,571
        $ 11,589,874
Total Bonds   $ 487,426,677
Common Stocks – 0.2%
Energy - Independent – 0.1%  
Frontera Energy Corp.   16,354 $ 155,841
Oil Services – 0.1%  
LTRI Holdings LP (a)(u)   615 $ 546,993
Total Common Stocks   $ 702,834
14


Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Floating Rate Loans – 0.2%
Conglomerates – 0.0%    
Gates Global LLC, Term Loan B2, 5.243%, 4/01/2024 $ 119,697 $ 119,123
Medical & Health Technology & Services – 0.2%    
DaVita, Inc., Term Loan B, 5.243%, 6/24/2021 $ 548,788 $ 547,645
Total Floating Rate Loans   $ 666,768
Convertible Bonds – 0.0%
Cable TV – 0.0%  
DISH Network Corp., 3.375%, 8/15/2026    $ 220,000 $ 188,958
Municipal Bonds – 0.0%
Municipals – 0.0%
Commonwealth of Puerto Rico, Public Improvement, “C-7”, 6%, 7/01/2027    $ 20,000 $ 20,430
Utilities - Municipal Owned – 0.0%
Puerto Rico Electric Power Authority Rev., “PP”, 5%, 7/01/2022    $ 95,000 $ 95,646
Total Municipal Bonds   $ 116,076
  Strike
Price
First
Exercise
   
Warrants – 0.0%        
Forest & Paper Products – 0.0%        
Appvion Holdings Corp. - Tranche A (1 share for 1 warrant) (a) $27.17 8/24/18 274 $ 274
Appvion Holdings Corp. - Tranche B (1 share for 1 warrant) (a) 31.25 8/24/18 274 137
Total Warrants   $ 411
         
Investment Companies (h) – 0.7%
Money Market Funds – 0.7%  
MFS Institutional Money Market Portfolio, 2.49% (v)     2,649,087 $ 2,649,087
Underlying/Expiration Date/Exercise Price Put/Call Counterparty Notional
Amount
Par Amount/
Number of
Contracts
 
Purchased Options – 0.0%  
Market Index Securities – 0.0%  
Markit iTraxx Europe Index – April 2019 @ EUR 85 Put Merrill Lynch International $13,695,363 EUR 11,800,000 $4,056
Written Options (see table below) – 0.0%
(Premiums Received, $7,946) $      (2,220)
 
Other Assets, Less Liabilities – (23.4)%   (93,371,248)
Net Assets – 100.0% $398,381,399
(a) Non-income producing security.
(d) In default.
(f) All or a portion of the security has been segregated as collateral for open futures contracts.
(h) An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $2,649,087 and $489,105,780, respectively.
(i) Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security.
(n) Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $177,137,020, representing 44.5% of net assets.
(p) Payment-in-kind (PIK) security for which interest income may be received in additional securities and/or cash.
(u) The security was valued using significant unobservable inputs and is considered level 3 under the fair value hierarchy.
15


Portfolio of Investments (unaudited) – continued
(v) Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end.
(z) Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities:
Restricted Securities Acquisition
Date
Cost Value
Afren PLC, 10.25%, 4/08/2019 3/01/12-4/02/13 $482,712 $370
Ascend Learning LLC, 6.875%, 8/01/2025 2/12/19-2/13/19 427,486 436,100
Bayview Financial Revolving Mortgage Loan Trust, FLR, 4.093% (LIBOR - 1mo. + 1.6%), 12/28/2040 3/01/06 344,030 320,054
CFX Escrow Corp., 6%, 2/15/2024 1/31/19 130,000 134,225
Constellation Merger Sub, Inc., 8.5%, 9/15/2025 1/29/19-1/30/19 192,210 191,500
Core & Main LP, 6.125%, 8/15/2025 1/04/19-2/15/19 574,992 582,313
Dryden Senior Loan Fund, 2013-26A, “AR”, CLO, FLR, 3.687% (LIBOR - 3mo. + 0.9%), 4/15/2029 4/09/18 592,000 586,099
Enel Finance International N.V., 3.5%, 4/06/2028 10/02/18 176,295 179,021
Energizer Holdings, Inc., 7.75%, 1/15/2027 1/17/19 35,000 37,275
Flagship CLO, 2014-8A, “BRR”, FLR, 4.178% (LIBOR - 3mo. + 1.4%), 1/16/2026 2/07/19 1,135,439 1,134,211
HarbourView CLO VII Ltd., 7RA, “B”, FLR, 4.48% (LIBOR - 3mo. + 1.7%), 7/18/2031 5/17/18 940,000 924,264
Hellenic Republic, 3.45%, 4/02/2024 1/29/19 1,476,535 1,520,636
Marriot Ownership Resorts, Inc., 5.625%, 4/15/2023 8/30/18 875,334 861,300
Takeda Pharmaceutical Co. Ltd., 1.125%, 11/21/2022 11/15/18 180,680 184,204
Takeda Pharmaceutical Co. Ltd., 2.25%, 11/21/2026 11/15/18 113,184 118,372
TEGNA, Inc., 5.5%, 9/15/2024 2/28/19 223,594 222,469
Total Restricted Securities     $7,432,413
% of Net assets     1.9%
The following abbreviations are used in this report and are defined:
CDO Collateralized Debt Obligation
CJSC Closed Joint Stock Company
CLO Collateralized Loan Obligation
CMT Constant Maturity Treasury
EURIBOR Euro Interbank Offered Rate
FLR Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted.
JSC Joint Stock Company
LIBOR London Interbank Offered Rate
PLC Public Limited Company
REIT Real Estate Investment Trust
TIPS Treasury Inflation Protected Security
Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below:
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
DKK Danish Krone
EUR Euro
GBP British Pound
HKD Hong Kong Dollar
IDR Indonesian Rupiah
JPY Japanese Yen
KRW South Korean Won
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
PHP Philippine Peso
SEK Swedish Krona
SGD Singapore Dollar
TRY Turkish Lira
ZAR South African Rand
    
16


Portfolio of Investments (unaudited) – continued
Derivative Contracts at 2/28/19
Written Options
Underlying Put/Call Counterparty Par Amount/
Number of
Contracts
Notional
Amount
Exercise
Price
Expiration
Date
Value
Liability Derivatives
Market Index Securities       
Markit iTraxx Europe Index Put Merrill Lynch International EUR (11,800,000) $(13,695,363) EUR 100 April – 2019 $(2,220)
Forward Foreign Currency Exchange Contracts
Currency
Purchased
Currency
Sold
Counterparty Settlement
Date
Unrealized
Appreciation
(Depreciation)
Asset Derivatives
CAD 5,470,627 USD 4,130,151 Citibank N.A. 4/12/2019 $31,233
CAD 4,646,430 USD 3,506,872 JPMorgan Chase Bank N.A. 4/12/2019 27,563
EUR 280,892 USD 319,648 Citibank N.A. 4/12/2019 903
EUR 860,072 USD 978,878 JPMorgan Chase Bank N.A. 4/12/2019 2,625
GBP 328,368 USD 424,076 Brown Brothers Harriman 4/12/2019 12,326
GBP 1,209,216 USD 1,602,350 Citibank N.A. 4/12/2019 4,705
GBP 1,500,000 USD 1,972,339 Goldman Sachs International 4/12/2019 21,168
GBP 220,427 USD 285,320 UBS AG 4/12/2019 7,629
NZD 1,478,000 USD 1,006,315 JPMorgan Chase Bank N.A. 4/12/2019 1,004
PHP 105,000,000 USD 2,016,594 Barclays Bank PLC 4/26/2019 5,322
SGD 2,141 USD 1,583 JPMorgan Chase Bank N.A. 4/12/2019 2
TRY 13,297,000 USD 2,371,353 Goldman Sachs International 4/12/2019 60,443
USD 118,202 AUD 165,000 Brown Brothers Harriman 4/12/2019 1,083
USD 3,153,682 AUD 4,408,062 Deutsche Bank AG 4/12/2019 24,795
USD 1,569,406 AUD 2,205,420 JPMorgan Chase Bank N.A. 4/12/2019 3,976
USD 1,443,850 CAD 1,892,326 JPMorgan Chase Bank N.A. 4/12/2019 4,400
USD 594,717 EUR 513,298 Citibank N.A. 4/12/2019 8,948
USD 4,736,250 EUR 4,100,025 Deutsche Bank AG 4/12/2019 57,350
USD 46,475,352 EUR 40,169,989 Goldman Sachs International 4/12/2019 633,848
USD 7,063,915 EUR 6,144,544 JPMorgan Chase Bank N.A. 4/12/2019 51,838
USD 4,978,740 EUR 4,337,752 NatWest Markets PLC 4/12/2019 28,549
USD 286,503 EUR 250,000 UBS AG 4/12/2019 1,205
USD 297,948 JPY 32,087,000 Citibank N.A. 4/12/2019 9,185
USD 38,871 JPY 4,208,061 Goldman Sachs International 4/12/2019 1,001
USD 9,666,045 JPY 1,044,472,303 JPMorgan Chase Bank N.A. 4/12/2019 266,435
USD 394,377 JPY 43,380,143 UBS AG 4/12/2019 3,983
USD 417,437 NOK 3,549,259 JPMorgan Chase Bank N.A. 4/12/2019 1,935
USD 158,170 NZD 230,000 Goldman Sachs International 4/12/2019 1,415
USD 1,984,479 SEK 17,723,000 JPMorgan Chase Bank N.A. 4/12/2019 59,657
USD 2,008,890 ZAR 27,976,000 Deutsche Bank AG 4/12/2019 33,021
            $1,367,547
Liability Derivatives
AUD 72,000 USD 52,256 Deutsche Bank AG 4/12/2019 $(1,150)
AUD 12,530 USD 8,916 JPMorgan Chase Bank N.A. 4/12/2019 (22)
CAD 1,295,000 USD 986,678 JPMorgan Chase Bank N.A. 4/12/2019 (1,600)
CAD 1,405,000 USD 1,070,516 Merrill Lynch International 4/12/2019 (1,764)
CHF 11,082 USD 11,401 UBS AG 4/12/2019 (256)
DKK 31,438 USD 4,850 NatWest Markets PLC 4/12/2019 (41)
EUR 248,646 USD 286,556 Barclays Bank PLC 4/12/2019 (2,804)
EUR 1,178,436 USD 1,359,843 Brown Brothers Harriman 4/12/2019 (15,028)
EUR 2,567,902 USD 2,942,103 Citibank N.A. 4/12/2019 (11,643)
17


Portfolio of Investments (unaudited) – continued
Forward Foreign Currency Exchange Contracts − continued
Currency
Purchased
Currency
Sold
Counterparty Settlement
Date
Unrealized
Appreciation
(Depreciation)
Liability Derivatives − continued
EUR 1,324,225 USD 1,516,534 Deutsche Bank AG 4/12/2019 $(5,346)
EUR 3,792,694 USD 4,344,503 JPMorgan Chase Bank N.A. 4/12/2019 (16,326)
EUR 315,229 USD 365,179 NatWest Markets PLC 4/12/2019 (5,444)
HKD 147,000 USD 18,814 Deutsche Bank AG 4/12/2019 (63)
JPY 164,623,793 USD 1,529,243 Citibank N.A. 4/12/2019 (47,730)
KRW 18,240,500 USD 16,326 JPMorgan Chase Bank N.A. 3/11/2019 (105)
NOK 8,300,000 USD 988,256 Citibank N.A. 4/12/2019 (16,596)
NOK 8,391,000 USD 988,886 Goldman Sachs International 4/12/2019 (6,574)
SEK 18,017,000 USD 2,036,924 JPMorgan Chase Bank N.A. 4/12/2019 (80,172)
ZAR 13,198,000 USD 987,362 Goldman Sachs International 4/12/2019 (55,223)
ZAR 27,976,682 USD 1,990,639 UBS AG 4/12/2019 (14,721)
USD 1,018,353 AUD 1,437,000 NatWest Markets PLC 4/12/2019 (1,644)
USD 18,375,727 CAD 24,428,572 Citibank N.A. 4/12/2019 (206,541)
USD 696,539 EUR 612,520 Deutsche Bank AG 4/12/2019 (2,461)
USD 283,842 EUR 250,000 Goldman Sachs International 4/12/2019 (1,455)
USD 250,087 EUR 219,894 JPMorgan Chase Bank N.A. 4/12/2019 (853)
USD 398,920 EUR 350,000 State Street Bank Corp. 4/12/2019 (496)
USD 117,103 EUR 103,000 UBS AG 4/12/2019 (440)
USD 7,004,885 GBP 5,461,813 JPMorgan Chase Bank N.A. 4/12/2019 (253,893)
USD 412,817 GBP 318,933 NatWest Markets PLC 4/12/2019 (11,047)
USD 763,742 GBP 580,000 UBS AG 4/12/2019 (7,081)
USD 20,963 MXN 408,735 JPMorgan Chase Bank N.A. 4/12/2019 (107)
USD 951,565 NZD 1,405,570 Goldman Sachs International 4/12/2019 (6,390)
USD 1,399,840 TRY 8,099,000 NatWest Markets PLC 4/12/2019 (81,330)
            $ (856,346)
Futures Contracts
Description Long/
Short
Currency Contracts Notional
Amount
Expiration
Date
Value/Unrealized
Appreciation
(Depreciation)
Asset Derivatives
Interest Rate Futures 
German Euro-Buxl 30 yr Long EUR 4 $837,345 March – 2019 $18,767
Long Gilt 10 yr Short GBP 3 500,524 June – 2019 5,799
U.S. Treasury Bond 30 yr Short USD 1 144,469 June – 2019 1,434
U.S. Treasury Note 10 yr Short USD 487 59,414,000 June – 2019 312,843
            $ 338,843
Liability Derivatives
Interest Rate Futures 
German Euro-Bobl 5 yr Short EUR 204 $30,796,306 March – 2019 $(80,102)
German Euro-Bund 10 yr Short EUR 56 10,529,778 March – 2019 (182,940)
U.S. Treasury Note 2 yr Long USD 37 7,851,227 June – 2019 (8,224)
U.S. Treasury Note 5 yr Long USD 7 801,937 June – 2019 (2,157)
U.S. Treasury Ultra Bond Long USD 29 4,628,219 June – 2019 (75,259)
U.S. Treasury Ultra Note 10 yr Long USD 35 4,530,859 June – 2019 (31,361)
            $(380,043)
At February 28, 2019, the fund had cash collateral of $350,000 and other liquid securities with an aggregate value of $903,551 to cover any collateral or margin obligations for certain derivative contracts.
See attached supplemental information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.
18


Supplemental Information
2/28/19 (unaudited)
The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies.
(1) Investment Valuations
Equity securities, including restricted equity securities, are generally valued at the last sale or official closing price on their primary market or exchange as provided by a third-party pricing service. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation on their primary market or exchange as provided by a third-party pricing service. Debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service.  Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value. Exchange-traded options are generally valued at the last sale or official closing price on their primary exchange as provided by a third-party pricing service. Exchange-traded options for which there were no sales reported that day are generally valued at the last daily bid quotation on their primary exchange as provided by a third-party pricing service. Options not traded on an exchange are generally valued at a broker/dealer bid quotation. Foreign currency options are generally valued at valuations provided by a third-party pricing service. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party pricing service. Forward foreign currency exchange contracts are generally valued at the mean of bid and asked prices for the time period interpolated from rates provided by a third-party pricing service for proximate time periods. Open-end investment companies are generally valued at net asset value per share. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. In determining values, third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.
The Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments (including any fair valuation) to the adviser pursuant to valuation policies and procedures approved by the Board. If the adviser determines that reliable market quotations are not readily available, investments are valued at fair value as determined in good faith by the adviser in accordance with such procedures under the oversight of the Board of Trustees. Under the fund’s valuation policies and procedures, market quotations are not considered to be readily available for most types of debt instruments and floating rate loans and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services. In addition, investments may be valued at fair value if the adviser determines that an investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund’s net asset value, or after the halting of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.
Various inputs are used in determining the value of the fund's assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund's assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk).
19


Supplemental Information (unaudited) – continued
Level 3 includes unobservable inputs, which may include the adviser's own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts, forward foreign currency exchange contracts, and written options. The following is a summary of the levels used as of February 28, 2019 in valuing the fund's assets or liabilities:
Financial Instruments Level 1 Level 2 Level 3 Total
Equity Securities:        
United States $— $411 $546,993 $547,404
Colombia 155,841 155,841
Germany 4,056 4,056
U.S. Treasury Bonds & U.S. Government Agency & Equivalents 65,588,294 65,588,294
Non-U.S. Sovereign Debt 109,416,163 109,416,163
Municipal Bonds 716,867 716,867
U.S. Corporate Bonds 209,888,633 209,888,633
Residential Mortgage-Backed Securities 9,772,069 9,772,069
Commercial Mortgage-Backed Securities 1,935,983 1,935,983
Asset-Backed Securities (including CDOs) 9,676,374 9,676,374
Foreign Bonds 80,737,328 80,737,328
Floating Rate Loans 666,768 666,768
Mutual Funds 2,649,087 2,649,087
Total $2,649,087 $488,558,787 $546,993 $491,754,867
Other Financial Instruments        
Futures Contracts - Assets $338,843 $— $— $338,843
Futures Contracts - Liabilities (380,043) (380,043)
Forward Foreign Currency Exchange Contracts - Assets 1,367,547 1,367,547
Forward Foreign Currency Exchange Contracts - Liabilities (856,346) (856,346)
Written Options - Liabilities (2,220) (2,220)
For further information regarding security characteristics, see the Portfolio of Investments.
The following is a reconciliation of level 3 assets for which significant unobservable inputs were used to determine fair value. The table presents the activity of level 3 securities held at the beginning and the end of the period.
  Equity Securities
Balance as of 11/30/18 $546,993
Change in unrealized appreciation or depreciation 0
Balance as of 2/28/19 $546,993
The net change in unrealized appreciation or depreciation from investments held as level 3 at February 28, 2019 is $0. At February 28, 2019, the fund held one level 3 security.
(2) Investments in Affiliated Issuers
An affiliated issuer may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the fund assumes the following to be affiliated issuers:
Affiliated Issuers Beginning
Shares/Par
Amount
Acquisitions
Shares/Par
Amount
Dispositions
Shares/Par
Amount
Ending
Shares/Par
Amount
MFS Institutional Money Market Portfolio 11,623,832 29,947,514 (38,922,259) 2,649,087
Affiliated Issuers Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
Depreciation
Capital Gain
Distributions
Dividend
Income
Ending
Value
MFS Institutional Money Market Portfolio $361 $(912) $— $46,415 $2,649,087
    
20


ITEM 2.

CONTROLS AND PROCEDURES.

 

(a)

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

 

(b)

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

 

ITEM 3.

EXHIBITS.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto as EX-99.CERT.


Notice

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


SIGNATURES

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

Registrant: MFS CHARTER INCOME TRUST

 

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

Date: April 16, 2019

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

 

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

Date: April 16, 2019

 

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

Date: April 16, 2019

 

*

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