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 811-05262
MFS SERIES TRUST VIII
(Exact name of registrant as specified in charter)
111 Huntington
Avenue, Boston, Massachusetts 02199
(Address of principal executive offices) (Zip code)
Susan S. Newton
Massachusetts Financial Services Company
111 Huntington Avenue
Boston, Massachusetts 02199
(Name and address of agents for service)
Registrants telephone number, including
area code: (617) 954-5000
Date of fiscal year end: October 31
Date of reporting period: January 31, 2013
ITEM 1.
|
SCHEDULE OF INVESTMENTS.
|
QUARTERLY REPORT
January 31, 2013
MFS® GLOBAL GROWTH FUND
PORTFOLIO OF INVESTMENTS
1/31/13 (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 ($)
|
|
|
|
|
|
|
|
|
|
|
Common Stocks - 98.9%
|
|
|
|
|
|
|
|
|
Aerospace - 3.2%
|
|
|
|
|
|
|
|
|
Precision Castparts Corp.
|
|
|
6,720
|
|
|
$
|
1,232,448
|
|
Rolls-Royce Holdings PLC
|
|
|
99,087
|
|
|
|
1,486,658
|
|
United Technologies Corp.
|
|
|
45,810
|
|
|
|
4,011,582
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,730,688
|
|
Alcoholic Beverages - 4.6%
|
|
|
|
|
|
|
|
|
Diageo PLC
|
|
|
103,068
|
|
|
$
|
3,068,254
|
|
Heineken N.V.
|
|
|
22,971
|
|
|
|
1,615,331
|
|
Pernod Ricard S.A.
|
|
|
39,204
|
|
|
|
4,907,916
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
9,591,501
|
|
Apparel Manufacturers - 5.9%
|
|
|
|
|
|
|
|
|
Cia.Hering S.A.
|
|
|
79,700
|
|
|
$
|
1,516,075
|
|
Compagnie Financiere Richemont S.A.
|
|
|
16,889
|
|
|
|
1,389,090
|
|
Li & Fung Ltd.
|
|
|
1,678,400
|
|
|
|
2,358,945
|
|
LVMH Moet Hennessy Louis Vuitton S.A.
|
|
|
29,141
|
|
|
|
5,493,968
|
|
NIKE, Inc., B
|
|
|
30,630
|
|
|
|
1,655,552
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
12,413,630
|
|
Automotive - 1.2%
|
|
|
|
|
|
|
|
|
Johnson Controls, Inc.
|
|
|
78,550
|
|
|
$
|
2,442,120
|
|
|
|
|
Broadcasting - 3.1%
|
|
|
|
|
|
|
|
|
Discovery Communications, Inc., A (a)
|
|
|
16,610
|
|
|
$
|
1,152,402
|
|
Publicis Groupe
|
|
|
33,877
|
|
|
|
2,219,643
|
|
Viacom, Inc., B
|
|
|
19,650
|
|
|
|
1,185,878
|
|
Walt Disney Co.
|
|
|
35,980
|
|
|
|
1,938,602
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,496,525
|
|
Brokerage & Asset Managers - 2.8%
|
|
|
|
|
|
|
|
|
BM&F Bovespa S.A.
|
|
|
233,600
|
|
|
$
|
1,635,264
|
|
Charles Schwab Corp.
|
|
|
70,390
|
|
|
|
1,163,547
|
|
Franklin Resources, Inc.
|
|
|
22,320
|
|
|
|
3,055,162
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,853,973
|
|
Business Services - 8.3%
|
|
|
|
|
|
|
|
|
Accenture PLC, A
|
|
|
54,820
|
|
|
$
|
3,941,010
|
|
Brenntag AG
|
|
|
13,541
|
|
|
|
1,929,607
|
|
Cognizant Technology Solutions Corp., A (a)
|
|
|
24,240
|
|
|
|
1,895,083
|
|
Compass Group PLC
|
|
|
374,570
|
|
|
|
4,538,680
|
|
Experian Group Ltd.
|
|
|
93,339
|
|
|
|
1,600,265
|
|
Intertek Group PLC
|
|
|
20,415
|
|
|
|
1,006,638
|
|
LPS Brasil - Consultoria de Imoveis S.A.
|
|
|
68,100
|
|
|
|
1,210,606
|
|
Verisk Analytics, Inc., A (a)
|
|
|
19,920
|
|
|
|
1,098,787
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
17,220,676
|
|
Chemicals - 0.6%
|
|
|
|
|
|
|
|
|
Monsanto Co.
|
|
|
11,720
|
|
|
$
|
1,187,822
|
|
|
|
|
Computer Software - 3.1%
|
|
|
|
|
|
|
|
|
Autodesk, Inc. (a)
|
|
|
25,890
|
|
|
$
|
1,006,603
|
|
Check Point Software Technologies Ltd. (a)
|
|
|
20,070
|
|
|
|
1,003,500
|
|
1
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Common Stocks - continued
|
|
|
|
|
|
|
|
|
Computer Software - continued
|
|
|
|
|
|
|
|
|
Dassault Systemes S.A.
|
|
|
8,154
|
|
|
$
|
906,535
|
|
Oracle Corp.
|
|
|
100,760
|
|
|
|
3,577,988
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,494,626
|
|
Computer Software - Systems - 3.2%
|
|
|
|
|
|
|
|
|
Apple, Inc.
|
|
|
6,370
|
|
|
$
|
2,900,325
|
|
EMC Corp. (a)
|
|
|
82,420
|
|
|
|
2,028,356
|
|
International Business Machines Corp.
|
|
|
8,790
|
|
|
|
1,784,985
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,713,666
|
|
Consumer Products - 5.3%
|
|
|
|
|
|
|
|
|
Colgate-Palmolive Co.
|
|
|
36,230
|
|
|
$
|
3,890,015
|
|
Procter & Gamble Co.
|
|
|
45,540
|
|
|
|
3,422,786
|
|
Reckitt Benckiser Group PLC
|
|
|
56,709
|
|
|
|
3,779,299
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
11,092,100
|
|
Electrical Equipment - 8.1%
|
|
|
|
|
|
|
|
|
Amphenol Corp., A
|
|
|
17,410
|
|
|
$
|
1,176,394
|
|
Danaher Corp.
|
|
|
78,680
|
|
|
|
4,715,292
|
|
Legrand S.A.
|
|
|
59,150
|
|
|
|
2,684,491
|
|
Mettler-Toledo International, Inc. (a)
|
|
|
9,110
|
|
|
|
1,936,148
|
|
Schneider Electric S.A.
|
|
|
21,238
|
|
|
|
1,617,753
|
|
Sensata Technologies Holding B.V. (a)
|
|
|
84,390
|
|
|
|
2,847,319
|
|
W.W. Grainger, Inc.
|
|
|
8,580
|
|
|
|
1,868,896
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
16,846,293
|
|
Electronics - 4.6%
|
|
|
|
|
|
|
|
|
ASML Holding N.V.
|
|
|
14,122
|
|
|
$
|
1,060,421
|
|
Microchip Technology, Inc.
|
|
|
90,610
|
|
|
|
3,030,905
|
|
Samsung Electronics Co. Ltd.
|
|
|
1,623
|
|
|
|
2,158,187
|
|
Taiwan Semiconductor Manufacturing Co. Ltd., ADR
|
|
|
192,958
|
|
|
|
3,423,075
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
9,672,588
|
|
Energy - Independent - 1.9%
|
|
|
|
|
|
|
|
|
Occidental Petroleum Corp.
|
|
|
44,650
|
|
|
$
|
3,941,256
|
|
|
|
|
Energy - Integrated - 0.5%
|
|
|
|
|
|
|
|
|
BG Group PLC
|
|
|
58,544
|
|
|
$
|
1,039,929
|
|
|
|
|
Food & Beverages - 5.9%
|
|
|
|
|
|
|
|
|
Groupe Danone
|
|
|
80,710
|
|
|
$
|
5,593,373
|
|
M. Dias Branco S.A. Industria e Comercio de Alimentos
|
|
|
21,100
|
|
|
|
837,176
|
|
Mead Johnson Nutrition Co., A
|
|
|
28,170
|
|
|
|
2,140,920
|
|
Nestle S.A.
|
|
|
30,439
|
|
|
|
2,137,302
|
|
PepsiCo, Inc.
|
|
|
22,290
|
|
|
|
1,623,827
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
12,332,598
|
|
Food & Drug Stores - 0.9%
|
|
|
|
|
|
|
|
|
CVS Caremark Corp.
|
|
|
20,290
|
|
|
$
|
1,038,848
|
|
Sundrug Co. Ltd.
|
|
|
20,000
|
|
|
|
752,365
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,791,213
|
|
General Merchandise - 1.3%
|
|
|
|
|
|
|
|
|
Dollarama, Inc.
|
|
|
16,620
|
|
|
$
|
1,011,130
|
|
Lojas Renner S.A.
|
|
|
20,700
|
|
|
|
828,582
|
|
2
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Common Stocks - continued
|
|
|
|
|
|
|
|
|
General Merchandise - continued
|
|
|
|
|
|
|
|
|
Target Corp.
|
|
|
15,630
|
|
|
$
|
944,208
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,783,920
|
|
Internet - 3.0%
|
|
|
|
|
|
|
|
|
Google, Inc., A (a)
|
|
|
6,360
|
|
|
$
|
4,806,188
|
|
Yahoo Japan Corp.
|
|
|
3,893
|
|
|
|
1,530,465
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,336,653
|
|
Machinery & Tools - 0.8%
|
|
|
|
|
|
|
|
|
Schindler Holding AG
|
|
|
11,884
|
|
|
$
|
1,762,914
|
|
|
|
|
Major Banks - 1.8%
|
|
|
|
|
|
|
|
|
HSBC Holdings PLC
|
|
|
90,463
|
|
|
$
|
1,028,280
|
|
Standard Chartered PLC
|
|
|
100,207
|
|
|
|
2,666,022
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,694,302
|
|
Medical & Health Technology & Services - 1.4%
|
|
|
|
|
|
|
|
|
Express Scripts Holding Co. (a)
|
|
|
35,500
|
|
|
$
|
1,896,410
|
|
Fresenius Medical Care AG & Co. KGaA
|
|
|
15,634
|
|
|
|
1,102,362
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,998,772
|
|
Medical Equipment - 5.4%
|
|
|
|
|
|
|
|
|
DENTSPLY International, Inc.
|
|
|
75,370
|
|
|
$
|
3,147,451
|
|
Essilor International S.A.
|
|
|
10,833
|
|
|
|
1,104,502
|
|
Sonova Holding AG
|
|
|
19,550
|
|
|
|
2,262,090
|
|
Thermo Fisher Scientific, Inc.
|
|
|
39,630
|
|
|
|
2,858,908
|
|
Waters Corp. (a)
|
|
|
19,730
|
|
|
|
1,806,676
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
11,179,627
|
|
Metals & Mining - 1.5%
|
|
|
|
|
|
|
|
|
Rio Tinto PLC
|
|
|
56,280
|
|
|
$
|
3,177,659
|
|
|
|
|
Oil Services - 2.8%
|
|
|
|
|
|
|
|
|
National Oilwell Varco, Inc.
|
|
|
10,290
|
|
|
$
|
762,901
|
|
Saipem S.p.A.
|
|
|
46,284
|
|
|
|
1,313,448
|
|
Schlumberger Ltd.
|
|
|
47,110
|
|
|
|
3,676,936
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,753,285
|
|
Other Banks & Diversified Financials - 6.7%
|
|
|
|
|
|
|
|
|
Credicorp Ltd.
|
|
|
13,420
|
|
|
$
|
2,103,317
|
|
HDFC Bank Ltd.
|
|
|
104,477
|
|
|
|
1,263,093
|
|
Itau Unibanco Holding S.A., ADR
|
|
|
115,280
|
|
|
|
1,986,274
|
|
Julius Baer Group Ltd.
|
|
|
69,136
|
|
|
|
2,829,862
|
|
MasterCard, Inc., A
|
|
|
3,230
|
|
|
|
1,674,432
|
|
Sberbank of Russia, ADR
|
|
|
72,743
|
|
|
|
1,072,959
|
|
Visa, Inc., A
|
|
|
19,570
|
|
|
|
3,090,299
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
14,020,236
|
|
Pharmaceuticals - 2.7%
|
|
|
|
|
|
|
|
|
Allergan, Inc.
|
|
|
13,330
|
|
|
$
|
1,399,783
|
|
Bayer AG
|
|
|
17,313
|
|
|
|
1,708,532
|
|
Johnson & Johnson
|
|
|
33,790
|
|
|
|
2,497,757
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,606,072
|
|
Railroad & Shipping - 1.2%
|
|
|
|
|
|
|
|
|
Kuehne & Nagel International AG
|
|
|
20,510
|
|
|
$
|
2,409,229
|
|
3
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Common Stocks - continued
|
|
|
|
|
|
|
|
|
Restaurants - 1.1%
|
|
|
|
|
|
|
|
|
McDonalds Corp.
|
|
|
25,090
|
|
|
$
|
2,390,826
|
|
|
|
|
Specialty Chemicals - 3.5%
|
|
|
|
|
|
|
|
|
Croda International PLC
|
|
|
37,211
|
|
|
$
|
1,430,563
|
|
LAir Liquide S.A.
|
|
|
8,055
|
|
|
|
1,029,617
|
|
Linde AG
|
|
|
11,498
|
|
|
|
2,098,251
|
|
Praxair, Inc.
|
|
|
15,730
|
|
|
|
1,736,120
|
|
Symrise AG
|
|
|
26,596
|
|
|
|
940,899
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
7,235,450
|
|
Specialty Stores - 0.8%
|
|
|
|
|
|
|
|
|
Industria de Diseno Textil S.A.
|
|
|
12,496
|
|
|
$
|
1,751,001
|
|
|
|
|
Telecommunications - Wireless - 0.5%
|
|
|
|
|
|
|
|
|
MTN Group Ltd.
|
|
|
49,363
|
|
|
$
|
966,295
|
|
|
|
|
Trucking - 1.2%
|
|
|
|
|
|
|
|
|
Expeditors International of Washington, Inc.
|
|
|
60,240
|
|
|
$
|
2,584,296
|
|
Total Common Stocks
|
|
|
|
|
|
$
|
206,511,741
|
|
|
|
|
Money Market Funds - 0.7%
|
|
|
|
|
|
|
|
|
MFS Institutional Money Market Portfolio, 0.14%, at Net Asset Value (v)
|
|
|
1,388,978
|
|
|
$
|
1,388,978
|
|
Total Investments
|
|
|
|
|
|
$
|
207,900,719
|
|
|
|
|
Other Assets, Less Liabilities - 0.4%
|
|
|
|
|
|
|
806,969
|
|
Net Assets - 100.0%
|
|
|
|
|
|
$
|
208,707,688
|
|
(a)
|
Non-income producing security.
|
(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.
|
The following abbreviations are used in this report and are defined:
|
|
|
ADR
|
|
American Depositary Receipt
|
PLC
|
|
Public Limited Company
|
See attached supplemental information. For more information see notes to financial statements as disclosed in the most recent
semiannual or annual report.
4
Supplemental Information
1/31/13 (unaudited)
(1) Investment Valuations
Equity securities, including restricted equity securities, are generally valued at the last sale or official closing price as provided by a third-party pricing service on the market or exchange on which they are
primarily traded. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation as provided by a third-party pricing service on the market or exchange on which such securities are
primarily traded. Short-term instruments with a maturity at issuance of 60 days or less generally are valued at amortized cost, which approximates market value. 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 funds 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 funds 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 investments 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 funds 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. Events that occur on a frequent basis after foreign markets close (such as developments in foreign markets and significant movements in the U.S. markets) and prior to the determination
of the funds net asset value may be deemed to have a material effect on the value of securities traded in foreign markets. Accordingly, the funds foreign equity securities may often be valued at fair value. 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 funds 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 funds 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 funds 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 investments level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value
measurement. The funds 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 advisers own assumptions in determining the fair value of investments. The following is a summary of the levels used as of January 31, 2013 in valuing the funds assets or liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments at Value
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Equity Securities
|
|
|
$206,511,741
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$206,511,741
|
|
Mutual Funds
|
|
|
1,388,978
|
|
|
|
|
|
|
|
|
|
|
|
1,388,978
|
|
Total Investments
|
|
|
$207,900,719
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$207,900,719
|
|
For further information regarding security characteristics, see the Portfolio of Investments.
(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
|
|
|
$174,373,774
|
|
Gross unrealized appreciation
|
|
|
37,810,419
|
|
Gross unrealized depreciation
|
|
|
(4,283,474
|
)
|
Net unrealized appreciation (depreciation)
|
|
|
$33,526,945
|
|
The aggregate cost above includes prior fiscal year end tax adjustments, if applicable.
5
Supplemental Information (unaudited) continued
(3) Transactions in Underlying Affiliated Funds Affiliated Issuers
An affiliated issuer may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the fund assumes the
following to be an affiliated issuer:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Underlying Affiliated Fund
|
|
Beginning
Shares/Par
Amount
|
|
|
Acquisitions
Shares/Par
Amount
|
|
|
Dispositions
Shares/Par
Amount
|
|
|
Ending
Shares/Par
Amount
|
|
MFS Institutional Money Market Portfolio
|
|
|
1,568,106
|
|
|
|
9,370,427
|
|
|
|
(9,549,555
|
)
|
|
|
1,388,978
|
|
|
|
|
|
|
Underlying Affiliated Fund
|
|
Realized
Gain (Loss)
|
|
|
Capital Gain
Distributions
|
|
|
Dividend
Income
|
|
|
Ending Value
|
|
MFS Institutional Money Market Portfolio
|
|
|
$
|
|
|
|
$
|
|
|
|
$553
|
|
|
|
$1,388,978
|
|
(4) Issuer Country Weightings
Issuer country weighting percentages of portfolio holdings based on net assets, as of January 31, 2013, are as follows:
|
|
|
|
|
United States
|
|
|
51.0%
|
|
France
|
|
|
12.2%
|
|
United Kingdom
|
|
|
11.9%
|
|
Switzerland
|
|
|
6.1%
|
|
Brazil
|
|
|
3.8%
|
|
Germany
|
|
|
3.7%
|
|
Taiwan
|
|
|
1.6%
|
|
Netherlands
|
|
|
1.3%
|
|
Hong Kong
|
|
|
1.1%
|
|
Other Countries
|
|
|
7.3%
|
|
The issuer country weighting percentages include both accrued interest amounts and the equivalent exposure from any derivative
holdings, if applicable.
6
QUARTERLY REPORT
January 31, 2013
MFS® STRATEGIC
INCOME FUND
PORTFOLIO OF INVESTMENTS
1/31/13 (unaudited)
The Portfolio of Investments is a complete list of all securities owned by your fund. It is
categorized by broad-based asset classes.
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - 97.0%
|
|
|
|
|
|
|
|
|
Aerospace - 0.7%
|
|
|
|
|
|
|
|
|
Bombardier, Inc., 4.25%, 2016 (z)
|
|
$
|
68,000
|
|
|
$
|
70,040
|
|
Bombardier, Inc., 7.5%, 2018 (n)
|
|
|
470,000
|
|
|
|
528,750
|
|
Bombardier, Inc., 7.75%, 2020 (n)
|
|
|
225,000
|
|
|
|
254,813
|
|
CPI International, Inc., 8%, 2018
|
|
|
320,000
|
|
|
|
320,000
|
|
Heckler & Koch GmbH, 9.5%, 2018 (z)
|
|
EUR
|
100,000
|
|
|
|
120,165
|
|
Huntington Ingalls Industries, Inc., 7.125%, 2021
|
|
$
|
650,000
|
|
|
|
715,000
|
|
Kratos Defense & Security Solutions, Inc., 10%, 2017
|
|
|
430,000
|
|
|
|
471,925
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,480,693
|
|
Airlines - 0.3%
|
|
|
|
|
|
|
|
|
Continental Airlines, Inc., FRN, 0.66%, 2015
|
|
$
|
929,684
|
|
|
$
|
925,501
|
|
|
|
|
Apparel Manufacturers - 0.4%
|
|
|
|
|
|
|
|
|
Hanesbrands, Inc., 6.375%, 2020
|
|
$
|
295,000
|
|
|
$
|
319,338
|
|
Jones Group, Inc., 6.875%, 2019
|
|
|
270,000
|
|
|
|
281,813
|
|
PVH Corp., 7.375%, 2020
|
|
|
390,000
|
|
|
|
441,188
|
|
PVH Corp., 4.5%, 2022
|
|
|
195,000
|
|
|
|
194,025
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,236,364
|
|
Asset-Backed & Securitized - 1.5%
|
|
|
|
|
|
|
|
|
Anthracite Ltd., A, CDO, FRN, 0.564%, 2019 (z)
|
|
$
|
245,213
|
|
|
$
|
241,657
|
|
Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.803%, 2040 (z)
|
|
|
437,853
|
|
|
|
276,011
|
|
Capital Trust Realty Ltd., CDO, 5.16%, 2035 (n)
|
|
|
388,575
|
|
|
|
391,528
|
|
Crest Ltd., A1 CDO, FRN, 0.79%, 2018 (z)
|
|
|
132,916
|
|
|
|
130,922
|
|
Crest Ltd., CDO, 7%, 2040 (a)(p)
|
|
|
484,104
|
|
|
|
24,205
|
|
Falcon Franchise Loan LLC, FRN, 6.1%, 2023 (i)(z)
|
|
|
1,006,390
|
|
|
|
113,219
|
|
Falcon Franchise Loan LLC, FRN, 8.026%, 2025 (i)(z)
|
|
|
563,725
|
|
|
|
88,618
|
|
First Union-Lehman Brothers Bank of America, FRN, 0.546%, 2035 (i)
|
|
|
7,044,522
|
|
|
|
116,657
|
|
GMAC LLC, FRN, 6.02%, 2033 (z)
|
|
|
618,355
|
|
|
|
629,032
|
|
Hertz Global Holdings, Inc., 4.26%, 2014 (n)
|
|
|
256,667
|
|
|
|
257,704
|
|
Hertz Vehicle Financing LLC, 2010-1A, A1, 2.6%, 2015 (n)
|
|
|
310,000
|
|
|
|
315,455
|
|
HLSS Servicer Advance Receivables Trust, 2013-T1, A2, 1.495%, 2046 (n)
|
|
|
970,000
|
|
|
|
970,883
|
|
KKR Financial CLO Ltd., C, FRN, 1.74%, 2021 (n)
|
|
|
523,730
|
|
|
|
487,069
|
|
Morgan Stanley Capital I, Inc., FRN, 1.384%, 2039 (i)(z)
|
|
|
3,225,306
|
|
|
|
62,893
|
|
Prudential Securities Secured Financing Corp., FRN, 7.206%, 2013 (z)
|
|
|
817,282
|
|
|
|
818,564
|
|
Salomon Brothers Mortgage Securities, Inc., FRN, 7.145%, 2032 (z)
|
|
|
59,931
|
|
|
|
59,918
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,984,335
|
|
Automotive - 2.1%
|
|
|
|
|
|
|
|
|
Accuride Corp., 9.5%, 2018
|
|
$
|
430,000
|
|
|
$
|
424,625
|
|
Allison Transmission, Inc., 7.125%, 2019 (n)
|
|
|
520,000
|
|
|
|
564,200
|
|
Daimler Finance North America LLC, 1.875%, 2018 (z)
|
|
|
1,257,000
|
|
|
|
1,253,638
|
|
Ford Motor Credit Co. LLC, 12%, 2015
|
|
|
1,003,000
|
|
|
|
1,223,660
|
|
Ford Motor Credit Co. LLC, 8.125%, 2020
|
|
|
135,000
|
|
|
|
170,011
|
|
General Motors Financial Co., Inc., 4.75%, 2017 (n)
|
|
|
15,000
|
|
|
|
15,676
|
|
General Motors Financial Co., Inc., 6.75%, 2018
|
|
|
480,000
|
|
|
|
555,600
|
|
Goodyear Tire & Rubber Co., 8.25%, 2020
|
|
|
80,000
|
|
|
|
87,800
|
|
Goodyear Tire & Rubber Co., 7%, 2022
|
|
|
135,000
|
|
|
|
144,788
|
|
Harley-Davidson Financial Services, 3.875%, 2016 (n)
|
|
|
1,130,000
|
|
|
|
1,206,495
|
|
Jaguar Land Rover PLC, 7.75%, 2018 (n)
|
|
|
150,000
|
|
|
|
164,625
|
|
Jaguar Land Rover PLC, 8.125%, 2021 (n)
|
|
|
580,000
|
|
|
|
651,050
|
|
Jaguar Land Rover PLC, 5.625%, 2023 (z)
|
|
|
150,000
|
|
|
|
153,000
|
|
1
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Automotive - continued
|
|
|
|
|
|
|
|
|
Lear Corp., 8.125%, 2020
|
|
$
|
176,000
|
|
|
$
|
196,680
|
|
Lear Corp., 4.75%, 2023 (z)
|
|
|
80,000
|
|
|
|
79,600
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,891,448
|
|
Biotechnology - 0.3%
|
|
|
|
|
|
|
|
|
Life Technologies Corp., 6%, 2020
|
|
$
|
960,000
|
|
|
$
|
1,060,734
|
|
|
|
|
Broadcasting - 3.1%
|
|
|
|
|
|
|
|
|
Allbritton Communications Co., 8%, 2018
|
|
$
|
160,000
|
|
|
$
|
173,200
|
|
AMC Networks, Inc., 7.75%, 2021
|
|
|
324,000
|
|
|
|
370,170
|
|
CBS Corp., 5.75%, 2020
|
|
|
260,000
|
|
|
|
305,303
|
|
CBS Corp., 3.375%, 2022
|
|
|
911,000
|
|
|
|
923,528
|
|
Clear Channel Communications, Inc., 9%, 2021
|
|
|
351,000
|
|
|
|
326,430
|
|
Clear Channel Worldwide Holdings, Inc., 6.5%, 2022 (n)
|
|
|
85,000
|
|
|
|
89,675
|
|
Clear Channel Worldwide Holdings, Inc., 6.5%, 2022 (n)
|
|
|
205,000
|
|
|
|
218,325
|
|
Clear Channel Worldwide Holdings, Inc., A, 7.625%, 2020
|
|
|
15,000
|
|
|
|
15,525
|
|
Clear Channel Worldwide Holdings, Inc., B, 7.625%, 2020
|
|
|
165,000
|
|
|
|
172,425
|
|
Globo Comunicacoes e Participacoes S.A., 6.25% to 2015, 9.375% to 2049 (n)
|
|
|
100,000
|
|
|
|
108,750
|
|
Hughes Network Systems LLC, 7.625%, 2021
|
|
|
190,000
|
|
|
|
217,550
|
|
IAC/InterActiveCorp, 4.75%, 2022 (n)
|
|
|
40,000
|
|
|
|
39,700
|
|
Inmarsat Finance PLC, 7.375%, 2017 (n)
|
|
|
275,000
|
|
|
|
295,625
|
|
Intelsat Bermuda Ltd., 11.25%, 2017
|
|
|
550,000
|
|
|
|
583,000
|
|
Intelsat Bermuda Ltd., 11.5%, 2017 (p)
|
|
|
580,000
|
|
|
|
614,800
|
|
Intelsat Jackson Holdings Ltd., 6.625%, 2022 (n)
|
|
|
270,000
|
|
|
|
274,388
|
|
LBI Media, Inc., 13.5% to 2015, 11.5% to 2020 (p)(z)
|
|
|
121,000
|
|
|
|
49,610
|
|
Liberty Media Corp., 8.5%, 2029
|
|
|
325,000
|
|
|
|
362,375
|
|
Liberty Media Corp., 8.25%, 2030
|
|
|
110,000
|
|
|
|
121,550
|
|
Local TV Finance LLC, 9.25%, 2015 (p)(z)
|
|
|
299,002
|
|
|
|
301,245
|
|
NBCUniversal Media LLC, 5.95%, 2041
|
|
|
939,000
|
|
|
|
1,102,455
|
|
Netflix, Inc., 5.375%, 2021 (z)
|
|
|
175,000
|
|
|
|
174,125
|
|
News America, Inc., 8.5%, 2025
|
|
|
415,000
|
|
|
|
568,796
|
|
Nexstar Broadcasting Group, Inc., 8.875%, 2017
|
|
|
130,000
|
|
|
|
143,325
|
|
Nexstar Broadcasting Group, Inc., 6.875%, 2020 (n)
|
|
|
45,000
|
|
|
|
46,913
|
|
Sinclair Broadcast Group, Inc., 9.25%, 2017 (n)
|
|
|
130,000
|
|
|
|
142,025
|
|
Sinclair Broadcast Group, Inc., 8.375%, 2018
|
|
|
50,000
|
|
|
|
55,625
|
|
SIRIUS XM Radio, Inc., 8.75%, 2015 (n)
|
|
|
180,000
|
|
|
|
203,850
|
|
SIRIUS XM Radio, Inc., 7.625%, 2018 (n)
|
|
|
240,000
|
|
|
|
266,400
|
|
SIRIUS XM Radio, Inc., 5.25%, 2022 (n)
|
|
|
165,000
|
|
|
|
167,888
|
|
Univision Communications, Inc., 6.875%, 2019 (n)
|
|
|
390,000
|
|
|
|
409,500
|
|
Univision Communications, Inc., 7.875%, 2020 (n)
|
|
|
135,000
|
|
|
|
146,138
|
|
Univision Communications, Inc., 8.5%, 2021 (n)
|
|
|
225,000
|
|
|
|
239,625
|
|
Vivendi S.A., 4.75%, 2022 (n)
|
|
|
990,000
|
|
|
|
1,022,319
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
10,252,158
|
|
Brokerage & Asset Managers - 1.0%
|
|
|
|
|
|
|
|
|
Blackstone Holdings Finance Co. LLC, 4.75%, 2023 (n)
|
|
$
|
940,000
|
|
|
$
|
1,000,557
|
|
E*TRADE Financial Corp., 6.375%, 2019
|
|
|
525,000
|
|
|
|
544,688
|
|
Invesco Finance PLC, 3.125%, 2022
|
|
|
640,000
|
|
|
|
633,024
|
|
TD Ameritrade Holding Corp., 5.6%, 2019
|
|
|
1,045,000
|
|
|
|
1,249,740
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,428,009
|
|
Building - 1.2%
|
|
|
|
|
|
|
|
|
Boise Cascade LLC/Finance Corp., 6.375%, 2020 (n)
|
|
$
|
145,000
|
|
|
$
|
151,525
|
|
Building Materials Holding Corp., 6.875%, 2018 (n)
|
|
|
125,000
|
|
|
|
135,000
|
|
Building Materials Holding Corp., 7%, 2020 (n)
|
|
|
290,000
|
|
|
|
316,100
|
|
2
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Building - continued
|
|
|
|
|
|
|
|
|
Building Materials Holding Corp., 6.75%, 2021 (n)
|
|
$
|
115,000
|
|
|
$
|
126,788
|
|
CRH PLC, 8.125%, 2018
|
|
|
590,000
|
|
|
|
723,791
|
|
Gibraltar Industries, Inc., 6.25%, 2021 (z)
|
|
|
45,000
|
|
|
|
46,744
|
|
HD Supply, Inc., 13.5%, 2015
|
|
|
225,000
|
|
|
|
232,031
|
|
HD Supply, Inc., 8.125%, 2019 (n)
|
|
|
145,000
|
|
|
|
164,213
|
|
HD Supply, Inc., 11.5%, 2020 (n)
|
|
|
125,000
|
|
|
|
144,063
|
|
HD Supply, Inc., 10.5%, 2021 (z)
|
|
|
20,000
|
|
|
|
20,450
|
|
Masonite International Corp., 8.25%, 2021 (n)
|
|
|
305,000
|
|
|
|
335,500
|
|
Nortek, Inc., 8.5%, 2021
|
|
|
435,000
|
|
|
|
492,638
|
|
Owens Corning, Inc., 4.2%, 2022
|
|
|
385,000
|
|
|
|
390,597
|
|
Roofing Supply Group LLC/Roofing Supply Finance, Inc., 10%, 2020 (n)
|
|
|
95,000
|
|
|
|
107,350
|
|
USG Corp., 6.3%, 2016
|
|
|
333,000
|
|
|
|
350,483
|
|
USG Corp., 7.875%, 2020 (n)
|
|
|
150,000
|
|
|
|
171,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,908,273
|
|
Business Services - 0.8%
|
|
|
|
|
|
|
|
|
Ceridian Corp., 12.25%, 2015 (p)
|
|
$
|
130,000
|
|
|
$
|
131,950
|
|
Ceridian Corp., 8.875%, 2019 (n)
|
|
|
90,000
|
|
|
|
100,350
|
|
Fidelity National Information Services, Inc., 7.625%, 2017
|
|
|
135,000
|
|
|
|
145,800
|
|
Fidelity National Information Services, Inc., 5%, 2022
|
|
|
230,000
|
|
|
|
248,975
|
|
iGate Corp., 9%, 2016
|
|
|
425,000
|
|
|
|
466,969
|
|
Iron Mountain, Inc., 8.375%, 2021
|
|
|
360,000
|
|
|
|
396,900
|
|
Legend Acquisition Sub, Inc., 10.75%, 2020 (n)
|
|
|
225,000
|
|
|
|
198,000
|
|
Lender Processing Services, Inc., 5.75%, 2023
|
|
|
180,000
|
|
|
|
190,800
|
|
Neustar, Inc., 4.5%, 2023 (z)
|
|
|
135,000
|
|
|
|
135,000
|
|
SunGard Data Systems, Inc., 7.375%, 2018
|
|
|
120,000
|
|
|
|
127,500
|
|
Tencent Holdings Ltd., 3.375%, 2018 (n)
|
|
|
490,000
|
|
|
|
502,273
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,644,517
|
|
Cable TV - 2.5%
|
|
|
|
|
|
|
|
|
Bresnan Broadband Holdings LLC, 8%, 2018 (n)
|
|
$
|
70,000
|
|
|
$
|
75,600
|
|
CCO Holdings LLC, 7.875%, 2018
|
|
|
465,000
|
|
|
|
496,969
|
|
CCO Holdings LLC, 8.125%, 2020
|
|
|
470,000
|
|
|
|
527,575
|
|
CCO Holdings LLC, 7.375%, 2020
|
|
|
130,000
|
|
|
|
144,625
|
|
CCO Holdings LLC, 5.125%, 2023
|
|
|
110,000
|
|
|
|
108,350
|
|
Cequel Communications Holdings, 6.375%, 2020 (n)
|
|
|
230,000
|
|
|
|
240,925
|
|
Cox Communications, Inc., 3.25%, 2022 (n)
|
|
|
1,138,000
|
|
|
|
1,139,383
|
|
DIRECTV Holdings LLC, 5.875%, 2019
|
|
|
370,000
|
|
|
|
438,338
|
|
DIRECTV Holdings LLC, 3.8%, 2022
|
|
|
1,230,000
|
|
|
|
1,240,826
|
|
DISH DBS Corp., 6.75%, 2021
|
|
|
170,000
|
|
|
|
190,400
|
|
DISH DBS Corp., 5%, 2023 (n)
|
|
|
280,000
|
|
|
|
276,500
|
|
EchoStar Corp., 7.125%, 2016
|
|
|
170,000
|
|
|
|
189,550
|
|
Myriad International Holdings B.V., 6.375%, 2017 (n)
|
|
|
271,000
|
|
|
|
303,520
|
|
Telenet Finance Luxembourg, 6.375%, 2020 (n)
|
|
EUR
|
130,000
|
|
|
|
188,870
|
|
Time Warner Cable, Inc., 8.25%, 2019
|
|
$
|
920,000
|
|
|
|
1,216,202
|
|
UPC Holding B.V., 9.875%, 2018 (n)
|
|
|
215,000
|
|
|
|
242,950
|
|
UPCB Finance III Ltd., 6.625%, 2020 (n)
|
|
|
421,000
|
|
|
|
449,418
|
|
Virgin Media Finance PLC, 8.375%, 2019
|
|
|
107,000
|
|
|
|
121,044
|
|
Virgin Media Finance PLC, 5.25%, 2022
|
|
|
310,000
|
|
|
|
323,950
|
|
Ziggo Bond Co. B.V., 8%, 2018 (n)
|
|
EUR
|
225,000
|
|
|
|
330,556
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
8,245,551
|
|
Chemicals - 1.4%
|
|
|
|
|
|
|
|
|
Celanese U.S. Holdings LLC, 6.625%, 2018
|
|
$
|
490,000
|
|
|
$
|
536,550
|
|
Dow Chemical Co., 8.55%, 2019
|
|
|
1,410,000
|
|
|
|
1,901,515
|
|
3
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Chemicals - continued
|
|
|
|
|
|
|
|
|
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, 8.875%, 2018
|
|
$
|
360,000
|
|
|
$
|
363,600
|
|
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, 9%, 2020
|
|
|
215,000
|
|
|
|
199,950
|
|
Huntsman International LLC, 8.625%, 2021
|
|
|
375,000
|
|
|
|
429,375
|
|
INEOS Finance PLC, 8.375%, 2019 (n)
|
|
|
210,000
|
|
|
|
229,950
|
|
INEOS Group Holdings PLC, 8.5%, 2016 (n)
|
|
|
215,000
|
|
|
|
216,613
|
|
LyondellBasell Industries N.V., 6%, 2021
|
|
|
320,000
|
|
|
|
376,000
|
|
Polypore International, Inc., 7.5%, 2017
|
|
|
155,000
|
|
|
|
168,563
|
|
Sociedad Quimica y Minera de Chile S.A., 5.5%, 2020 (n)
|
|
|
347,000
|
|
|
|
393,592
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,815,708
|
|
Computer Software - 0.6%
|
|
|
|
|
|
|
|
|
Infor U.S., Inc., 11.5%, 2018
|
|
$
|
255,000
|
|
|
$
|
300,263
|
|
Nuance Communications, Inc., 5.375%, 2020 (n)
|
|
|
240,000
|
|
|
|
247,200
|
|
Oracle Corp., 5.375%, 2040
|
|
|
607,000
|
|
|
|
737,886
|
|
Seagate HDD Cayman, 6.875%, 2020
|
|
|
141,000
|
|
|
|
152,985
|
|
Syniverse Holdings, Inc., 9.125%, 2019
|
|
|
420,000
|
|
|
|
456,750
|
|
TransUnion Holding Co., Inc., 9.625%, 2018
|
|
|
130,000
|
|
|
|
138,775
|
|
TransUnion LLC/TransUnion Financing Corp., 11.375%, 2018
|
|
|
65,000
|
|
|
|
75,156
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,109,015
|
|
Computer Software - Systems - 0.4%
|
|
|
|
|
|
|
|
|
Audatex North America, Inc., 6.75%, 2018 (n)
|
|
$
|
270,000
|
|
|
$
|
289,575
|
|
CDW LLC/CDW Finance Corp., 12.535%, 2017
|
|
|
220,000
|
|
|
|
235,400
|
|
CDW LLC/CDW Finance Corp., 8.5%, 2019
|
|
|
365,000
|
|
|
|
404,238
|
|
DuPont Fabros Technology, Inc., REIT, 8.5%, 2017
|
|
|
255,000
|
|
|
|
276,675
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,205,888
|
|
Conglomerates - 0.6%
|
|
|
|
|
|
|
|
|
Amsted Industries, Inc., 8.125%, 2018 (n)
|
|
$
|
545,000
|
|
|
$
|
581,788
|
|
BC Mountain LLC, 7%, 2021 (z)
|
|
|
30,000
|
|
|
|
30,750
|
|
Dynacast International LLC, 9.25%, 2019
|
|
|
215,000
|
|
|
|
229,513
|
|
Griffon Corp., 7.125%, 2018
|
|
|
425,000
|
|
|
|
460,063
|
|
Ingersoll-Rand Global Holding Co. Ltd., 9.5%, 2014
|
|
|
375,000
|
|
|
|
411,267
|
|
Silver II Borrower, 7.75%, 2020 (n)
|
|
|
150,000
|
|
|
|
157,125
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,870,506
|
|
Consumer Products - 0.8%
|
|
|
|
|
|
|
|
|
Easton-Bell Sports, Inc., 9.75%, 2016
|
|
$
|
240,000
|
|
|
$
|
258,902
|
|
Elizabeth Arden, Inc., 7.375%, 2021
|
|
|
325,000
|
|
|
|
361,563
|
|
Jarden Corp., 7.5%, 2020
|
|
|
315,000
|
|
|
|
343,350
|
|
Libbey Glass, Inc., 6.875%, 2020
|
|
|
95,000
|
|
|
|
102,244
|
|
Mattel, Inc., 5.45%, 2041
|
|
|
478,000
|
|
|
|
524,631
|
|
Newell Rubbermaid, Inc., 2.05%, 2017
|
|
|
437,000
|
|
|
|
437,355
|
|
Newell Rubbermaid, Inc., 4.7%, 2020
|
|
|
570,000
|
|
|
|
625,391
|
|
Spectrum Brands Escrow Corp., 6.375%, 2020 (n)
|
|
|
100,000
|
|
|
|
106,375
|
|
Spectrum Brands Escrow Corp., 6.625%, 2022 (n)
|
|
|
20,000
|
|
|
|
21,600
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,781,411
|
|
Consumer Services - 0.4%
|
|
|
|
|
|
|
|
|
Experian Finance PLC, 2.375%, 2017 (n)
|
|
$
|
353,000
|
|
|
$
|
359,358
|
|
QVC, Inc., 7.375%, 2020 (n)
|
|
|
200,000
|
|
|
|
220,772
|
|
Service Corp. International, 7%, 2017
|
|
|
620,000
|
|
|
|
712,225
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,292,355
|
|
4
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Containers - 0.9%
|
|
|
|
|
|
|
|
|
Ardagh Packaging Finance PLC , 7%, 2020 (z)
|
|
$
|
250,000
|
|
|
$
|
251,875
|
|
Ardagh Packaging Finance PLC, 7.375%, 2017 (n)
|
|
|
260,000
|
|
|
|
285,675
|
|
Ardagh Packaging Finance PLC, 9.125%, 2020 (n)
|
|
|
220,000
|
|
|
|
240,350
|
|
Ball Corp., 5%, 2022
|
|
|
160,000
|
|
|
|
169,600
|
|
Berry Plastics Group, Inc., 9.5%, 2018
|
|
|
120,000
|
|
|
|
134,100
|
|
Crown Americas LLC, 4.5%, 2023 (z)
|
|
|
200,000
|
|
|
|
197,000
|
|
Greif, Inc., 6.75%, 2017
|
|
|
550,000
|
|
|
|
613,250
|
|
Reynolds Group, 7.125%, 2019
|
|
|
180,000
|
|
|
|
192,150
|
|
Reynolds Group, 9.875%, 2019
|
|
|
100,000
|
|
|
|
109,250
|
|
Reynolds Group, 5.75%, 2020
|
|
|
165,000
|
|
|
|
168,713
|
|
Reynolds Group, 8.25%, 2021
|
|
|
730,000
|
|
|
|
764,675
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,126,638
|
|
Defense Electronics - 0.7%
|
|
|
|
|
|
|
|
|
BAE Systems Holdings, Inc., 5.2%, 2015 (n)
|
|
$
|
1,297,000
|
|
|
$
|
1,415,830
|
|
BAE Systems Holdings, Inc., 6.375%, 2019 (n)
|
|
|
380,000
|
|
|
|
451,604
|
|
Ducommun, Inc., 9.75%, 2018
|
|
|
325,000
|
|
|
|
356,688
|
|
MOOG, Inc., 7.25%, 2018
|
|
|
255,000
|
|
|
|
266,475
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,490,597
|
|
Electrical Equipment - 0.3%
|
|
|
|
|
|
|
|
|
Avaya, Inc., 9.75%, 2015
|
|
$
|
200,000
|
|
|
$
|
190,500
|
|
Avaya, Inc., 7%, 2019 (n)
|
|
|
80,000
|
|
|
|
76,400
|
|
Ericsson, Inc., 4.125%, 2022
|
|
|
670,000
|
|
|
|
682,917
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
949,817
|
|
Electronics - 0.4%
|
|
|
|
|
|
|
|
|
Freescale Semiconductor, Inc., 9.25%, 2018 (n)
|
|
$
|
430,000
|
|
|
$
|
473,000
|
|
Nokia Corp., 5.375%, 2019
|
|
|
110,000
|
|
|
|
105,325
|
|
Nokia Corp., 6.625%, 2039
|
|
|
75,000
|
|
|
|
70,125
|
|
Sensata Technologies B.V., 6.5%, 2019 (n)
|
|
|
410,000
|
|
|
|
439,725
|
|
Tyco Electronics Group S.A., 3.5%, 2022
|
|
|
275,000
|
|
|
|
278,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,366,675
|
|
Emerging Market Quasi-Sovereign - 3.3%
|
|
|
|
|
|
|
|
|
Banco do Nordeste do Brasil (BNB), 4.375%, 2019 (n)
|
|
$
|
254,000
|
|
|
$
|
262,890
|
|
CEZ A.S., 4.25%, 2022 (n)
|
|
|
250,000
|
|
|
|
262,930
|
|
CNOOC Finance (2012) Ltd., 3.875%, 2022 (n)
|
|
|
204,000
|
|
|
|
212,691
|
|
CNPC (HK) Overseas Capital Ltd., 4.5%, 2021 (n)
|
|
|
494,000
|
|
|
|
542,563
|
|
Comision Federal de Electricidad, 5.75%, 2042 (n)
|
|
|
639,000
|
|
|
|
709,290
|
|
Gaz Capital S.A., 9.25%, 2019
|
|
|
177,000
|
|
|
|
230,764
|
|
Gaz Capital S.A., 3.85%, 2020 (z)
|
|
|
721,000
|
|
|
|
721,220
|
|
Gaz Capital S.A., 5.999%, 2021 (n)
|
|
|
570,000
|
|
|
|
641,963
|
|
Gaz Capital S.A., 4.95%, 2028 (z)
|
|
|
615,000
|
|
|
|
612,799
|
|
Gazprom Neft, 4.375%, 2022 (n)
|
|
|
201,000
|
|
|
|
201,804
|
|
Korea Gas Corp., 2.25%, 2017 (n)
|
|
|
700,000
|
|
|
|
708,289
|
|
Pertamina PT, 6%, 2042 (n)
|
|
|
201,000
|
|
|
|
217,080
|
|
Petrobras International Finance Co., 7.875%, 2019
|
|
|
494,000
|
|
|
|
608,529
|
|
Petrobras International Finance Co., 6.75%, 2041
|
|
|
414,000
|
|
|
|
483,891
|
|
Petroleos Mexicanos, 5.5%, 2021
|
|
|
542,000
|
|
|
|
621,945
|
|
Petroleos Mexicanos, 4.875%, 2022
|
|
|
344,000
|
|
|
|
378,830
|
|
Petroleos Mexicanos, 6.5%, 2041
|
|
|
292,000
|
|
|
|
343,830
|
|
PT Perusahaan Listrik Negara, 5.5%, 2021 (n)
|
|
|
200,000
|
|
|
|
223,000
|
|
PTT PLC, 3.375%, 2022 (n)
|
|
|
331,000
|
|
|
|
324,524
|
|
PTT PLC, 4.5%, 2042 (n)
|
|
|
354,000
|
|
|
|
334,898
|
|
5
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Emerging Market Quasi-Sovereign - continued
|
|
|
|
|
|
|
|
|
Ras Laffan Liquefied Natural Gas Co. Ltd., 5.832%, 2016 (n)
|
|
$
|
575,296
|
|
|
$
|
627,073
|
|
Rosneft, 3.149%, 2017 (z)
|
|
|
432,000
|
|
|
|
432,540
|
|
Rosneft, 4.199%, 2022 (n)
|
|
|
719,000
|
|
|
|
719,000
|
|
Sberbank of Russia, 6.125%, 2022 (n)
|
|
|
285,000
|
|
|
|
325,268
|
|
Sinopec Group Overseas Development (2012) Ltd., 3.9%, 2022 (n)
|
|
|
200,000
|
|
|
|
211,078
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
10,958,689
|
|
Emerging Market Sovereign - 0.6%
|
|
|
|
|
|
|
|
|
Republic of Colombia, 6.125%, 2041
|
|
$
|
210,000
|
|
|
$
|
268,800
|
|
Republic of Indonesia, 4.875%, 2021 (n)
|
|
|
200,000
|
|
|
|
226,000
|
|
Republic of Philippines, 5.5%, 2026
|
|
|
200,000
|
|
|
|
245,250
|
|
Republic of Philippines, 6.375%, 2034
|
|
|
300,000
|
|
|
|
400,500
|
|
Republic of Slovakia, 4.375%, 2022 (n)
|
|
|
600,000
|
|
|
|
640,800
|
|
Russian Federation, 5.625%, 2042 (n)
|
|
|
200,000
|
|
|
|
234,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,015,850
|
|
Energy - Independent - 3.0%
|
|
|
|
|
|
|
|
|
BreitBurn Energy Partners LP, 8.625%, 2020
|
|
$
|
140,000
|
|
|
$
|
153,650
|
|
BreitBurn Energy Partners LP, 7.875%, 2022 (n)
|
|
|
340,000
|
|
|
|
359,550
|
|
Carrizo Oil & Gas, Inc., 8.625%, 2018
|
|
|
105,000
|
|
|
|
113,138
|
|
Chaparral Energy, Inc., 7.625%, 2022
|
|
|
340,000
|
|
|
|
367,200
|
|
Chesapeake Energy Corp., 6.875%, 2020
|
|
|
270,000
|
|
|
|
297,000
|
|
Concho Resources, Inc., 8.625%, 2017
|
|
|
175,000
|
|
|
|
189,000
|
|
Concho Resources, Inc., 6.5%, 2022
|
|
|
365,000
|
|
|
|
397,850
|
|
Continental Resources, Inc., 8.25%, 2019
|
|
|
320,000
|
|
|
|
359,600
|
|
Denbury Resources, Inc., 8.25%, 2020
|
|
|
460,000
|
|
|
|
512,900
|
|
Denbury Resources, Inc., 4.625%, 2023
|
|
|
115,000
|
|
|
|
112,700
|
|
Energy XXI Gulf Coast, Inc., 9.25%, 2017
|
|
|
510,000
|
|
|
|
580,763
|
|
EP Energy LLC, 9.375%, 2020
|
|
|
810,000
|
|
|
|
907,200
|
|
EPL Oil & Gas, Inc., 8.25%, 2018 (n)
|
|
|
190,000
|
|
|
|
199,975
|
|
EQT Corp., 4.875%, 2021
|
|
|
431,000
|
|
|
|
460,801
|
|
EXCO Resources, Inc., 7.5%, 2018
|
|
|
125,000
|
|
|
|
118,438
|
|
Harvest Operations Corp., 6.875%, 2017
|
|
|
455,000
|
|
|
|
505,619
|
|
Hess Corp., 8.125%, 2019
|
|
|
270,000
|
|
|
|
345,575
|
|
Hilcorp Energy I/Hilcorp Finance Co., 8%, 2020 (n)
|
|
|
115,000
|
|
|
|
127,363
|
|
Laredo Petroleum, Inc., 9.5%, 2019
|
|
|
200,000
|
|
|
|
226,000
|
|
LINN Energy LLC, 6.5%, 2019
|
|
|
115,000
|
|
|
|
117,156
|
|
LINN Energy LLC, 8.625%, 2020
|
|
|
220,000
|
|
|
|
242,550
|
|
LINN Energy LLC, 7.75%, 2021
|
|
|
206,000
|
|
|
|
220,420
|
|
MEG Energy Corp., 6.5%, 2021 (n)
|
|
|
100,000
|
|
|
|
105,000
|
|
Newfield Exploration Co., 6.875%, 2020
|
|
|
320,000
|
|
|
|
346,000
|
|
Plains Exploration & Production Co., 8.625%, 2019
|
|
|
295,000
|
|
|
|
336,300
|
|
Plains Exploration & Production Co., 6.5%, 2020
|
|
|
110,000
|
|
|
|
121,688
|
|
Plains Exploration & Production Co., 6.75%, 2022
|
|
|
245,000
|
|
|
|
275,931
|
|
QEP Resources, Inc., 6.875%, 2021
|
|
|
525,000
|
|
|
|
607,688
|
|
Range Resources Corp., 8%, 2019
|
|
|
190,000
|
|
|
|
210,900
|
|
Range Resources Corp., 5%, 2022
|
|
|
105,000
|
|
|
|
110,250
|
|
Samson Investment Co., 9.75%, 2020 (n)
|
|
|
250,000
|
|
|
|
265,938
|
|
SandRidge Energy, Inc., 8%, 2018 (n)
|
|
|
285,000
|
|
|
|
299,250
|
|
SM Energy Co., 6.5%, 2021
|
|
|
280,000
|
|
|
|
298,200
|
|
Whiting Petroleum Corp., 6.5%, 2018
|
|
|
205,000
|
|
|
|
219,863
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
10,111,456
|
|
6
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Energy - Integrated - 0.9%
|
|
|
|
|
|
|
|
|
BP Capital Markets PLC, 4.5%, 2020
|
|
$
|
272,000
|
|
|
$
|
309,580
|
|
BP Capital Markets PLC, 4.742%, 2021
|
|
|
760,000
|
|
|
|
877,295
|
|
Cenovus Energy, Inc., 4.5%, 2014
|
|
|
320,000
|
|
|
|
338,754
|
|
Pacific Rubiales Energy Corp., 7.25%, 2021 (n)
|
|
|
401,000
|
|
|
|
467,566
|
|
Petro-Canada Financial Partnership, 5%, 2014
|
|
|
860,000
|
|
|
|
922,035
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,915,230
|
|
Engineering - Construction - 0.1%
|
|
|
|
|
|
|
|
|
BakerCorp International, Inc., 8.25%, 2019
|
|
$
|
280,000
|
|
|
$
|
283,500
|
|
|
|
|
Entertainment - 0.5%
|
|
|
|
|
|
|
|
|
AMC Entertainment, Inc., 8.75%, 2019
|
|
$
|
455,000
|
|
|
$
|
502,775
|
|
AMC Entertainment, Inc., 9.75%, 2020
|
|
|
218,000
|
|
|
|
253,970
|
|
Cedar Fair LP, 9.125%, 2018
|
|
|
190,000
|
|
|
|
212,800
|
|
Cinemark USA, Inc., 8.625%, 2019
|
|
|
385,000
|
|
|
|
426,388
|
|
Cinemark USA, Inc., 5.125%, 2022 (n)
|
|
|
55,000
|
|
|
|
55,688
|
|
NAI Entertainment Holdings LLC, 8.25%, 2017 (n)
|
|
|
125,000
|
|
|
|
136,875
|
|
Six Flags Entertainment Corp., 5.25%, 2021 (n)
|
|
|
230,000
|
|
|
|
228,850
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,817,346
|
|
Financial Institutions - 2.9%
|
|
|
|
|
|
|
|
|
Aviation Capital Group, 4.625%, 2018 (z)
|
|
$
|
90,000
|
|
|
$
|
91,178
|
|
CIT Group, Inc., 5.25%, 2014 (n)
|
|
|
400,000
|
|
|
|
417,000
|
|
CIT Group, Inc., 5.25%, 2018
|
|
|
330,000
|
|
|
|
353,100
|
|
CIT Group, Inc., 6.625%, 2018 (n)
|
|
|
394,000
|
|
|
|
441,280
|
|
CIT Group, Inc., 5.5%, 2019 (n)
|
|
|
335,000
|
|
|
|
358,450
|
|
Credit Acceptance Corp., 9.125%, 2017
|
|
|
270,000
|
|
|
|
294,975
|
|
General Electric Capital Corp., 6%, 2019
|
|
|
300,000
|
|
|
|
362,843
|
|
General Electric Capital Corp., 5.5%, 2020
|
|
|
710,000
|
|
|
|
833,070
|
|
General Electric Capital Corp., 3.15%, 2022
|
|
|
813,000
|
|
|
|
806,002
|
|
General Electric Capital Corp., 3.1%, 2023
|
|
|
508,000
|
|
|
|
501,783
|
|
Icahn Enterprises LP, 8%, 2018
|
|
|
407,000
|
|
|
|
435,999
|
|
International Lease Finance Corp., 4.875%, 2015
|
|
|
125,000
|
|
|
|
130,469
|
|
International Lease Finance Corp., 8.625%, 2015
|
|
|
135,000
|
|
|
|
153,394
|
|
International Lease Finance Corp., 7.125%, 2018 (n)
|
|
|
390,000
|
|
|
|
456,300
|
|
LeasePlan Corp. N.V., 3%, 2017 (n)
|
|
|
870,000
|
|
|
|
879,222
|
|
Nationstar Mortgage LLC/Capital Corp., 10.875%, 2015
|
|
|
410,000
|
|
|
|
436,650
|
|
Nationstar Mortgage LLC/Capital Corp., 9.625%, 2019 (n)
|
|
|
115,000
|
|
|
|
131,100
|
|
Nationstar Mortgage LLC/Capital Corp., 7.875%, 2020 (n)
|
|
|
90,000
|
|
|
|
98,100
|
|
NYSE Euronext, 2%, 2017
|
|
|
714,000
|
|
|
|
728,988
|
|
PHH Corp., 9.25%, 2016
|
|
|
185,000
|
|
|
|
216,913
|
|
PHH Corp., 7.375%, 2019
|
|
|
225,000
|
|
|
|
252,563
|
|
SLM Corp., 8.45%, 2018
|
|
|
210,000
|
|
|
|
250,185
|
|
SLM Corp., 8%, 2020
|
|
|
770,000
|
|
|
|
891,275
|
|
SLM Corp., 7.25%, 2022
|
|
|
130,000
|
|
|
|
145,275
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
9,666,114
|
|
Food & Beverages - 3.0%
|
|
|
|
|
|
|
|
|
Anheuser-Busch InBev S.A., 7.75%, 2019
|
|
$
|
1,100,000
|
|
|
$
|
1,451,947
|
|
ARAMARK Corp., 8.5%, 2015
|
|
|
240,000
|
|
|
|
241,502
|
|
B&G Foods, Inc., 7.625%, 2018
|
|
|
340,000
|
|
|
|
366,775
|
|
Campbell Soup Co., 2.5%, 2022
|
|
|
363,000
|
|
|
|
352,942
|
|
Conagra Foods, Inc., 3.2%, 2023
|
|
|
1,853,000
|
|
|
|
1,855,338
|
|
Grupo Bimbo S.A.B. de C.V., 4.5%, 2022 (n)
|
|
|
101,000
|
|
|
|
109,650
|
|
Kraft Foods Group, Inc., 6.125%, 2018
|
|
|
720,000
|
|
|
|
878,998
|
|
7
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Food & Beverages - continued
|
|
|
|
|
|
|
|
|
Mead Johnson Nutrition Co., A, 4.9%, 2019
|
|
$
|
263,000
|
|
|
$
|
297,694
|
|
Miller Brewing Co., 5.5%, 2013 (n)
|
|
|
1,370,000
|
|
|
|
1,406,109
|
|
Pernod Ricard S.A., 5.75%, 2021 (n)
|
|
|
594,000
|
|
|
|
695,382
|
|
Pinnacle Foods Finance LLC, 8.25%, 2017
|
|
|
80,000
|
|
|
|
85,100
|
|
SABMiller Holdings, Inc., 3.75%, 2022 (n)
|
|
|
904,000
|
|
|
|
960,115
|
|
TreeHouse Foods, Inc., 7.75%, 2018
|
|
|
250,000
|
|
|
|
270,625
|
|
Tyson Foods, Inc., 6.6%, 2016
|
|
|
560,000
|
|
|
|
643,490
|
|
Tyson Foods, Inc., 4.5%, 2022
|
|
|
448,000
|
|
|
|
481,786
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
10,097,453
|
|
Food & Drug Stores - 0.4%
|
|
|
|
|
|
|
|
|
CVS Caremark Corp., 5.75%, 2041
|
|
$
|
1,020,000
|
|
|
$
|
1,235,060
|
|
|
|
|
Forest & Paper Products - 0.3%
|
|
|
|
|
|
|
|
|
Boise, Inc., 8%, 2020
|
|
$
|
280,000
|
|
|
$
|
310,100
|
|
Clearwater Paper Corp., 4.5%, 2023 (z)
|
|
|
45,000
|
|
|
|
44,663
|
|
Georgia-Pacific Corp., 8%, 2024
|
|
|
29,000
|
|
|
|
40,441
|
|
Graphic Packaging Holding Co., 7.875%, 2018
|
|
|
190,000
|
|
|
|
208,525
|
|
Smurfit Kappa Group PLC, 7.75%, 2019 (n)
|
|
EUR
|
195,000
|
|
|
|
289,924
|
|
Tembec Industries, Inc., 11.25%, 2018
|
|
$
|
135,000
|
|
|
|
148,838
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,042,491
|
|
Gaming & Lodging - 1.6%
|
|
|
|
|
|
|
|
|
Boyd Gaming Corp., 9%, 2020 (n)
|
|
$
|
125,000
|
|
|
$
|
126,875
|
|
Caesars Entertainment Operating Co., Inc., 8.5%, 2020
|
|
|
350,000
|
|
|
|
351,750
|
|
Choice Hotels International, Inc., 5.75%, 2022
|
|
|
45,000
|
|
|
|
49,950
|
|
CityCenter Holdings LLC, 10.75%, 2017 (p)
|
|
|
125,000
|
|
|
|
137,969
|
|
FelCor Lodging LP, 5.625%, 2023 (n)
|
|
|
40,000
|
|
|
|
40,350
|
|
Fontainebleau Las Vegas Holdings LLC, 10.25%, 2015 (a)(d)(n)
|
|
|
315,000
|
|
|
|
197
|
|
GWR Operating Partnership LLP, 10.875%, 2017
|
|
|
135,000
|
|
|
|
153,563
|
|
Host Hotels & Resorts, Inc., REIT, 5.25%, 2022
|
|
|
175,000
|
|
|
|
190,750
|
|
Isle of Capri Casinos, Inc., 8.875%, 2020
|
|
|
270,000
|
|
|
|
294,975
|
|
Marriott International, Inc., 5.625%, 2013
|
|
|
630,000
|
|
|
|
630,805
|
|
MGM Mirage, 6.625%, 2015
|
|
|
110,000
|
|
|
|
118,800
|
|
MGM Resorts International, 11.375%, 2018
|
|
|
300,000
|
|
|
|
373,500
|
|
MGM Resorts International, 6.625%, 2021
|
|
|
115,000
|
|
|
|
118,450
|
|
Penn National Gaming, Inc., 8.75%, 2019
|
|
|
445,000
|
|
|
|
507,300
|
|
Pinnacle Entertainment, Inc., 8.75%, 2020
|
|
|
150,000
|
|
|
|
162,750
|
|
Seven Seas Cruises S. DE R.L., 9.125%, 2019
|
|
|
365,000
|
|
|
|
386,900
|
|
Viking Cruises Ltd., 8.5%, 2022 (n)
|
|
|
185,000
|
|
|
|
203,963
|
|
Wyndham Worldwide Corp., 6%, 2016
|
|
|
4,000
|
|
|
|
4,503
|
|
Wyndham Worldwide Corp., 5.75%, 2018
|
|
|
760,000
|
|
|
|
864,015
|
|
Wyndham Worldwide Corp., 7.375%, 2020
|
|
|
170,000
|
|
|
|
207,551
|
|
Wynn Las Vegas LLC, 7.75%, 2020
|
|
|
290,000
|
|
|
|
326,975
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,251,891
|
|
Industrial - 0.5%
|
|
|
|
|
|
|
|
|
Dematic S.A., 7.75%, 2020 (z)
|
|
$
|
205,000
|
|
|
$
|
209,613
|
|
Hyva Global B.V., 8.625%, 2016 (n)
|
|
|
200,000
|
|
|
|
194,000
|
|
Johns Hopkins University, 5.25%, 2019
|
|
|
587,000
|
|
|
|
708,637
|
|
Mueller Water Products, Inc., 8.75%, 2020
|
|
|
195,000
|
|
|
|
221,813
|
|
Rexel S.A., 6.125%, 2019 (n)
|
|
|
275,000
|
|
|
|
294,250
|
|
SPL Logistics Escrow LLC, 8.875%, 2020 (n)
|
|
|
140,000
|
|
|
|
149,800
|
|
Unifrax I LLC, 7.5%, 2019 (z)
|
|
|
45,000
|
|
|
|
45,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,823,113
|
|
8
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Insurance - 1.9%
|
|
|
|
|
|
|
|
|
Allianz AG, FRN, 5.5%, 2049
|
|
EUR
|
947,000
|
|
|
$
|
1,286,351
|
|
American International Group, Inc., 3%, 2015
|
|
$
|
20,000
|
|
|
|
20,770
|
|
American International Group, Inc., 8.25%, 2018
|
|
|
280,000
|
|
|
|
363,444
|
|
American International Group, Inc., 8.175% to 2038, FRN to 2068
|
|
|
590,000
|
|
|
|
767,000
|
|
MetLife, Inc., 1.756%, 2017
|
|
|
223,000
|
|
|
|
223,664
|
|
MetLife, Inc., 9.25% to 2038, FRN to 2068 (n)
|
|
|
400,000
|
|
|
|
550,000
|
|
Metropolitan Life Global Funding I, 5.125%, 2014 (n)
|
|
|
430,000
|
|
|
|
456,126
|
|
Principal Financial Group, Inc., 8.875%, 2019
|
|
|
650,000
|
|
|
|
879,767
|
|
Prudential Financial, Inc., 6.2%, 2015
|
|
|
660,000
|
|
|
|
725,651
|
|
Unum Group, 7.125%, 2016
|
|
|
945,000
|
|
|
|
1,104,123
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,376,896
|
|
Insurance - Property & Casualty - 2.7%
|
|
|
|
|
|
|
|
|
Aon Corp., 3.5%, 2015
|
|
$
|
760,000
|
|
|
$
|
798,969
|
|
AXIS Capital Holdings Ltd., 5.75%, 2014
|
|
|
1,035,000
|
|
|
|
1,107,742
|
|
AXIS Capital Holdings Ltd., 5.875%, 2020
|
|
|
370,000
|
|
|
|
413,511
|
|
CNA Financial Corp., 5.875%, 2020
|
|
|
990,000
|
|
|
|
1,149,027
|
|
Liberty Mutual Group, Inc., 4.95%, 2022 (n)
|
|
|
757,000
|
|
|
|
822,100
|
|
Liberty Mutual Group, Inc., 10.75% to 2038, FRN to 2088 (n)
|
|
|
365,000
|
|
|
|
554,800
|
|
PartnerRe Ltd., 5.5%, 2020
|
|
|
583,000
|
|
|
|
656,308
|
|
QBE Capital Funding III Ltd., FRN, 7.25%, 2041 (n)
|
|
|
920,000
|
|
|
|
952,200
|
|
Travelers Cos., Inc., 3.9%, 2020
|
|
|
1,270,000
|
|
|
|
1,417,561
|
|
ZFS Finance USA Trust V, 6.5% to 2017, FRN to 2067 (n)
|
|
|
1,095,000
|
|
|
|
1,160,700
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
9,032,918
|
|
International Market Quasi-Sovereign - 1.6%
|
|
|
|
|
|
|
|
|
EDF Energies Nouvelles S.A., 6.5%, 2019 (n)
|
|
$
|
1,090,000
|
|
|
$
|
1,329,773
|
|
Exportfinans ASA, 5.5%, 2016
|
|
|
965,000
|
|
|
|
1,007,398
|
|
ING Bank N.V., 3.9%, 2014 (n)
|
|
|
1,060,000
|
|
|
|
1,100,871
|
|
Israel Electric Corp. Ltd., 6.7%, 2017 (n)
|
|
|
553,000
|
|
|
|
611,065
|
|
Vestjysk Bank A/S, FRN, 0.858%, 2013 (n)
|
|
|
710,000
|
|
|
|
711,370
|
|
Westpac Banking Corp., 3.45%, 2014 (n)
|
|
|
520,000
|
|
|
|
542,734
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,303,211
|
|
International Market Sovereign - 11.2%
|
|
|
|
|
|
|
|
|
Federal Republic of Germany, 3.75%, 2015
|
|
EUR
|
1,805,000
|
|
|
$
|
2,613,441
|
|
Federal Republic of Germany, 4.25%, 2018
|
|
EUR
|
756,000
|
|
|
|
1,211,472
|
|
Federal Republic of Germany, 6.25%, 2030
|
|
EUR
|
631,000
|
|
|
|
1,344,523
|
|
Government of Australia, 5.75%, 2021
|
|
AUD
|
264,000
|
|
|
|
323,788
|
|
Government of Bermuda, 5.603%, 2020 (n)
|
|
$
|
295,000
|
|
|
|
342,200
|
|
Government of Canada, 4.5%, 2015
|
|
CAD
|
658,000
|
|
|
|
709,550
|
|
Government of Canada, 4.25%, 2018
|
|
CAD
|
360,000
|
|
|
|
410,264
|
|
Government of Canada, 5.75%, 2033
|
|
CAD
|
119,000
|
|
|
|
179,987
|
|
Government of Japan, 1.7%, 2017
|
|
JPY
|
256,350,000
|
|
|
|
2,985,078
|
|
Government of Japan, 1.1%, 2020
|
|
JPY
|
131,000,000
|
|
|
|
1,500,739
|
|
Government of Japan, 2.1%, 2024
|
|
JPY
|
62,000,000
|
|
|
|
764,468
|
|
Government of Japan, 2.2%, 2027
|
|
JPY
|
148,300,000
|
|
|
|
1,818,356
|
|
Government of Japan, 2.4%, 2037
|
|
JPY
|
153,200,000
|
|
|
|
1,844,942
|
|
Kingdom of Belgium, 5.5%, 2017
|
|
EUR
|
728,000
|
|
|
|
1,183,031
|
|
Kingdom of Denmark, 3%, 2021
|
|
DKK
|
1,532,000
|
|
|
|
314,259
|
|
Kingdom of Spain, 4.6%, 2019
|
|
EUR
|
1,296,000
|
|
|
|
1,792,686
|
|
Kingdom of Sweden, 5%, 2020
|
|
SEK
|
1,100,000
|
|
|
|
212,704
|
|
Kingdom of the Netherlands, 3.75%, 2014
|
|
EUR
|
1,460,000
|
|
|
|
2,081,111
|
|
Kingdom of the Netherlands, 5.5%, 2028
|
|
EUR
|
191,000
|
|
|
|
363,874
|
|
Republic of Austria, 4.65%, 2018
|
|
EUR
|
608,000
|
|
|
|
968,361
|
|
9
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
International Market Sovereign - continued
|
|
|
|
|
|
|
|
|
Republic of Finland, 3.875%, 2017
|
|
EUR
|
179,000
|
|
|
$
|
276,133
|
|
Republic of France, 6%, 2025
|
|
EUR
|
417,000
|
|
|
|
777,396
|
|
Republic of France, 4.75%, 2035
|
|
EUR
|
870,000
|
|
|
|
1,506,286
|
|
Republic of Iceland, 4.875%, 2016 (n)
|
|
$
|
593,000
|
|
|
|
633,917
|
|
Republic of Iceland, 5.875%, 2022 (n)
|
|
|
113,000
|
|
|
|
127,814
|
|
Republic of Ireland, 4.6%, 2016
|
|
EUR
|
374,000
|
|
|
|
543,517
|
|
Republic of Italy, 4.25%, 2015
|
|
EUR
|
695,000
|
|
|
|
988,707
|
|
Republic of Italy, 5.25%, 2017
|
|
EUR
|
2,056,000
|
|
|
|
3,057,010
|
|
Republic of Italy, 3.75%, 2021
|
|
EUR
|
790,000
|
|
|
|
1,072,546
|
|
State of Israel, 4%, 2022
|
|
$
|
1,496,000
|
|
|
|
1,604,460
|
|
United Kingdom Treasury, 8%, 2015
|
|
GBP
|
815,000
|
|
|
|
1,569,101
|
|
United Kingdom Treasury, 8%, 2021
|
|
GBP
|
605,000
|
|
|
|
1,425,756
|
|
United Kingdom Treasury, 4.25%, 2036
|
|
GBP
|
555,000
|
|
|
|
1,034,798
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
37,582,275
|
|
Internet - 0.1%
|
|
|
|
|
|
|
|
|
Baidu, Inc., 3.5%, 2022
|
|
$
|
367,000
|
|
|
$
|
357,009
|
|
|
|
|
Local Authorities - 0.5%
|
|
|
|
|
|
|
|
|
Louisiana Gas & Fuels Tax Rev. (Build America Bonds), FRN, 3%, 2043
|
|
$
|
820,000
|
|
|
$
|
823,567
|
|
Province of Ontario, 5.45%, 2016
|
|
|
745,000
|
|
|
|
856,974
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,680,541
|
|
Machinery & Tools - 1.2%
|
|
|
|
|
|
|
|
|
Atlas Copco AB, 5.6%, 2017 (n)
|
|
$
|
1,073,000
|
|
|
$
|
1,237,871
|
|
Case New Holland, Inc., 7.875%, 2017
|
|
|
775,000
|
|
|
|
916,438
|
|
CNH America LLC, 7.25%, 2016
|
|
|
145,000
|
|
|
|
162,038
|
|
CNH Capital LLC, 3.875%, 2015 (n)
|
|
|
55,000
|
|
|
|
56,513
|
|
CNH Capital LLC, 6.25%, 2016
|
|
|
75,000
|
|
|
|
82,688
|
|
H&E Equipment Services LLC, 7%, 2022 (n)
|
|
|
360,000
|
|
|
|
393,300
|
|
NESCO LLC/NESCO Holdings Corp., 11.75%, 2017 (n)
|
|
|
350,000
|
|
|
|
381,500
|
|
RSC Equipment Rental, Inc., 8.25%, 2021
|
|
|
315,000
|
|
|
|
358,313
|
|
United Rentals North America, Inc., 5.75%, 2018
|
|
|
135,000
|
|
|
|
145,125
|
|
United Rentals North America, Inc., 7.625%, 2022
|
|
|
139,000
|
|
|
|
154,985
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,888,771
|
|
Major Banks - 7.3%
|
|
|
|
|
|
|
|
|
ABN AMRO Bank N.V., 4.25%, 2017 (n)
|
|
$
|
913,000
|
|
|
$
|
990,030
|
|
Bank of America Corp., 7.375%, 2014
|
|
|
460,000
|
|
|
|
496,145
|
|
Bank of America Corp., 6.5%, 2016
|
|
|
1,305,000
|
|
|
|
1,508,918
|
|
Bank of America Corp., 3.3%, 2023
|
|
|
1,554,000
|
|
|
|
1,532,580
|
|
Barclays Bank PLC, 5.125%, 2020
|
|
|
770,000
|
|
|
|
874,446
|
|
Barclays Bank PLC, 7.625%, 2022
|
|
|
240,000
|
|
|
|
236,700
|
|
BNP Paribas, 7.195% to 2037, FRN to 2049 (n)
|
|
|
600,000
|
|
|
|
624,300
|
|
BNP Paribas, FRN, 3.059%, 2014
|
|
|
164,000
|
|
|
|
170,355
|
|
Commonwealth Bank of Australia, 5%, 2019 (n)
|
|
|
760,000
|
|
|
|
889,601
|
|
Credit Suisse New York, 5.5%, 2014
|
|
|
650,000
|
|
|
|
689,247
|
|
DBS Bank Ltd., 2.35%, 2017 (n)
|
|
|
980,000
|
|
|
|
1,006,388
|
|
Goldman Sachs Group, Inc., 5.125%, 2015
|
|
|
450,000
|
|
|
|
482,850
|
|
Goldman Sachs Group, Inc., 5.75%, 2022
|
|
|
1,213,000
|
|
|
|
1,413,912
|
|
HSBC Holdings PLC, 4%, 2022
|
|
|
1,047,000
|
|
|
|
1,115,108
|
|
HSBC USA, Inc., 4.875%, 2020
|
|
|
930,000
|
|
|
|
1,034,096
|
|
ING Bank N.V., 3.75%, 2017 (n)
|
|
|
1,233,000
|
|
|
|
1,317,396
|
|
JPMorgan Chase & Co., 2%, 2017
|
|
|
330,000
|
|
|
|
333,403
|
|
JPMorgan Chase & Co., 4.625%, 2021
|
|
|
870,000
|
|
|
|
970,399
|
|
10
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Major Banks - continued
|
|
|
|
|
|
|
|
|
Macquarie Bank Ltd., 5%, 2017 (n)
|
|
$
|
769,000
|
|
|
$
|
842,803
|
|
Macquarie Group Ltd., 6%, 2020 (n)
|
|
|
428,000
|
|
|
|
465,501
|
|
Merrill Lynch & Co., Inc., 6.4%, 2017
|
|
|
400,000
|
|
|
|
468,550
|
|
Morgan Stanley, 6%, 2014
|
|
|
620,000
|
|
|
|
657,204
|
|
Morgan Stanley, 7.3%, 2019
|
|
|
250,000
|
|
|
|
306,031
|
|
Morgan Stanley, 5.625%, 2019
|
|
|
420,000
|
|
|
|
476,340
|
|
Royal Bank of Scotland Group PLC, 6.99% to 2017, FRN to 2049 (n)
|
|
|
145,000
|
|
|
|
136,300
|
|
Royal Bank of Scotland Group PLC, 7.648% to 2031, FRN to 2049
|
|
|
560,000
|
|
|
|
590,800
|
|
Royal Bank of Scotland PLC, 2.55%, 2015
|
|
|
471,000
|
|
|
|
485,618
|
|
Santander International Debt S.A., 2.991%, 2013 (n)
|
|
|
800,000
|
|
|
|
805,144
|
|
Standard Chartered PLC, 3.85%, 2015 (n)
|
|
|
850,000
|
|
|
|
897,039
|
|
UFJ Finance Aruba AEC, 6.75%, 2013
|
|
|
648,000
|
|
|
|
665,804
|
|
Wells Fargo & Co., 7.98% to 2018, FRN to 2049
|
|
|
405,000
|
|
|
|
465,750
|
|
Westpac Banking Corp., 2%, 2017
|
|
|
1,580,000
|
|
|
|
1,617,086
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
24,565,844
|
|
Medical & Health Technology & Services - 2.6%
|
|
|
|
|
|
|
|
|
AmSurg Corp., 5.625%, 2020 (n)
|
|
$
|
70,000
|
|
|
$
|
73,150
|
|
Cardinal Health, Inc., 5.8%, 2016
|
|
|
840,000
|
|
|
|
972,472
|
|
CDRT Holding Corp., 9.25%, 2017 (n)(p)
|
|
|
75,000
|
|
|
|
77,438
|
|
Davita, Inc., 6.375%, 2018
|
|
|
490,000
|
|
|
|
524,300
|
|
Davita, Inc., 6.625%, 2020
|
|
|
390,000
|
|
|
|
425,100
|
|
Express Scripts Holding Co., 3.9%, 2022
|
|
|
433,000
|
|
|
|
458,867
|
|
Fresenius Medical Care AG & Co. KGaA, 9%, 2015 (n)
|
|
|
185,000
|
|
|
|
210,900
|
|
Fresenius Medical Care Capital Trust III, 5.625%, 2019 (n)
|
|
|
245,000
|
|
|
|
265,213
|
|
Fresenius Medical Care Capital Trust III, 5.875%, 2022 (z)
|
|
|
100,000
|
|
|
|
109,250
|
|
HCA, Inc., 8.5%, 2019
|
|
|
840,000
|
|
|
|
934,500
|
|
HCA, Inc., 7.5%, 2022
|
|
|
515,000
|
|
|
|
594,825
|
|
HCA, Inc., 5.875%, 2022
|
|
|
215,000
|
|
|
|
233,813
|
|
HealthSouth Corp., 8.125%, 2020
|
|
|
565,000
|
|
|
|
620,088
|
|
IASIS Healthcare LLC/IASIS Capital Corp., 8.375%, 2019
|
|
|
390,000
|
|
|
|
395,850
|
|
McKesson Corp., 5.7%, 2017
|
|
|
370,000
|
|
|
|
433,368
|
|
Owens & Minor, Inc., 6.35%, 2016
|
|
|
710,000
|
|
|
|
775,688
|
|
Select Medical Corp., 7.625%, 2015
|
|
|
45,000
|
|
|
|
45,056
|
|
Tenet Healthcare Corp., 9.25%, 2015
|
|
|
190,000
|
|
|
|
215,175
|
|
Tenet Healthcare Corp., 8%, 2020
|
|
|
215,000
|
|
|
|
233,813
|
|
Tenet Healthcare Corp., 4.5%, 2021 (z)
|
|
|
115,000
|
|
|
|
113,131
|
|
Thermo Fisher Scientific, Inc., 3.15%, 2023
|
|
|
406,000
|
|
|
|
396,317
|
|
Universal Health Services, Inc, 7.625%, 2020
|
|
|
240,000
|
|
|
|
257,400
|
|
Universal Health Services, Inc., 7%, 2018
|
|
|
210,000
|
|
|
|
231,525
|
|
Universal Hospital Services, Inc., FRN, 3.902%, 2015
|
|
|
90,000
|
|
|
|
89,663
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
8,686,902
|
|
Medical Equipment - 0.2%
|
|
|
|
|
|
|
|
|
Biomet, Inc., 6.5%, 2020 (n)
|
|
$
|
255,000
|
|
|
$
|
267,750
|
|
Hologic, Inc., 6.25%, 2020 (n)
|
|
|
95,000
|
|
|
|
102,125
|
|
Physio-Control International, Inc., 9.875%, 2019 (n)
|
|
|
185,000
|
|
|
|
207,200
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
577,075
|
|
Metals & Mining - 1.1%
|
|
|
|
|
|
|
|
|
Arch Coal, Inc., 7.25%, 2020
|
|
$
|
270,000
|
|
|
$
|
241,650
|
|
Cloud Peak Energy, Inc., 8.25%, 2017
|
|
|
560,000
|
|
|
|
595,000
|
|
Cloud Peak Energy, Inc., 8.5%, 2019
|
|
|
60,000
|
|
|
|
65,250
|
|
Consol Energy, Inc., 8%, 2017
|
|
|
195,000
|
|
|
|
210,600
|
|
Consol Energy, Inc., 8.25%, 2020
|
|
|
200,000
|
|
|
|
216,500
|
|
11
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Metals & Mining - continued
|
|
|
|
|
|
|
|
|
First Quantum Minerals Ltd., 7.25%, 2019 (n)
|
|
$
|
200,000
|
|
|
$
|
203,500
|
|
Fortescue Metals Group Ltd., 8.25%, 2019 (n)
|
|
|
230,000
|
|
|
|
246,675
|
|
Peabody Energy Corp., 6%, 2018
|
|
|
125,000
|
|
|
|
130,938
|
|
Peabody Energy Corp., 6.25%, 2021
|
|
|
125,000
|
|
|
|
130,625
|
|
Southern Copper Corp., 6.75%, 2040
|
|
|
977,000
|
|
|
|
1,142,929
|
|
Vale Overseas Ltd., 4.375%, 2022
|
|
|
421,000
|
|
|
|
434,829
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,618,496
|
|
Mortgage-Backed - 0.9%
|
|
|
|
|
|
|
|
|
Fannie Mae, 5.5%, 2019 - 2036
|
|
$
|
1,023,677
|
|
|
$
|
1,106,513
|
|
Fannie Mae, 6.5%, 2031
|
|
|
80,857
|
|
|
|
91,429
|
|
Fannie Mae, 6%, 2034 (f)
|
|
|
915,205
|
|
|
|
1,021,716
|
|
Freddie Mac, 4.224%, 2020
|
|
|
818,658
|
|
|
|
937,064
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,156,722
|
|
Municipals - 0.1%
|
|
|
|
|
|
|
|
|
New Jersey Tobacco Settlement Financing Corp., 1-A, 4.5%, 2023
|
|
$
|
230,000
|
|
|
$
|
229,048
|
|
|
|
|
Natural Gas - Distribution - 0.5%
|
|
|
|
|
|
|
|
|
AmeriGas Finance LLC, 6.75%, 2020
|
|
$
|
245,000
|
|
|
$
|
265,825
|
|
Ferrellgas LP/Ferrellgas Finance Corp., 6.5%, 2021
|
|
|
175,000
|
|
|
|
176,750
|
|
GDF Suez, 1.625%, 2017 (n)
|
|
|
1,400,000
|
|
|
|
1,392,916
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,835,491
|
|
Natural Gas - Pipeline - 2.8%
|
|
|
|
|
|
|
|
|
Access Midstream Partners Co., 4.875%, 2023
|
|
$
|
110,000
|
|
|
$
|
109,450
|
|
Atlas Pipeline Partners LP, 8.75%, 2018
|
|
|
465,000
|
|
|
|
498,480
|
|
Atlas Pipeline Partners LP, 5.875%, 2023 (z)
|
|
|
175,000
|
|
|
|
174,563
|
|
Crosstex Energy, Inc., 8.875%, 2018
|
|
|
430,000
|
|
|
|
461,713
|
|
El Paso Corp., 7%, 2017
|
|
|
410,000
|
|
|
|
470,014
|
|
El Paso Corp., 7.75%, 2032
|
|
|
465,000
|
|
|
|
546,738
|
|
Energy Transfer Equity LP, 7.5%, 2020
|
|
|
380,000
|
|
|
|
437,950
|
|
Energy Transfer Partners LP, 3.6%, 2023
|
|
|
825,000
|
|
|
|
815,769
|
|
Energy Transfer Partners LP, 6.5%, 2042
|
|
|
779,000
|
|
|
|
898,635
|
|
Enterprise Products Partners LP, 6.3%, 2017
|
|
|
870,000
|
|
|
|
1,047,520
|
|
Enterprise Products Partners LP, 8.375% to 2016, FRN to 2066
|
|
|
181,000
|
|
|
|
206,793
|
|
Enterprise Products Partners LP, 7.034% to 2018, FRN to 2068
|
|
|
113,000
|
|
|
|
129,385
|
|
Inergy Midstream LP, 6%, 2020 (n)
|
|
|
270,000
|
|
|
|
278,775
|
|
Kinder Morgan Energy Partners LP, 6.375%, 2041
|
|
|
1,070,000
|
|
|
|
1,282,559
|
|
MarkWest Energy Partners LP, 5.5%, 2023
|
|
|
205,000
|
|
|
|
216,275
|
|
Rockies Express Pipeline LLC, 5.625%, 2020 (n)
|
|
|
97,000
|
|
|
|
91,180
|
|
Sabine Pass Liquefaction, 5.625%, 2021 (z)
|
|
|
100,000
|
|
|
|
100,375
|
|
Spectra Energy Capital LLC, 8%, 2019
|
|
|
679,000
|
|
|
|
896,751
|
|
Sunoco Logistics Partner LP, 3.45%, 2023
|
|
|
592,000
|
|
|
|
584,375
|
|
Williams Cos., Inc., 3.7%, 2023
|
|
|
279,000
|
|
|
|
274,758
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
9,522,058
|
|
Network & Telecom - 1.5%
|
|
|
|
|
|
|
|
|
AT&T, Inc., 5.5%, 2018
|
|
$
|
660,000
|
|
|
$
|
775,605
|
|
AT&T, Inc., 3.875%, 2021
|
|
|
670,000
|
|
|
|
727,743
|
|
Centurylink, Inc., 7.65%, 2042
|
|
|
810,000
|
|
|
|
833,573
|
|
Cincinnati Bell, Inc., 8.25%, 2017
|
|
|
90,000
|
|
|
|
96,638
|
|
Citizens Communications Co., 9%, 2031
|
|
|
185,000
|
|
|
|
200,725
|
|
France Telecom, 4.375%, 2014
|
|
|
640,000
|
|
|
|
671,509
|
|
Frontier Communications Corp., 8.125%, 2018
|
|
|
295,000
|
|
|
|
341,463
|
|
12
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Network & Telecom - continued
|
|
|
|
|
|
|
|
|
Qwest Communications International, Inc., 7.125%, 2018 (n)
|
|
$
|
270,000
|
|
|
$
|
281,665
|
|
Qwest Corp., 7.5%, 2014
|
|
|
1,000
|
|
|
|
1,098
|
|
TW Telecom Holdings, Inc., 5.375%, 2022
|
|
|
120,000
|
|
|
|
126,000
|
|
Verizon Communications, Inc., 8.75%, 2018
|
|
|
448,000
|
|
|
|
612,270
|
|
Windstream Corp., 8.125%, 2018
|
|
|
55,000
|
|
|
|
60,363
|
|
Windstream Corp., 7.75%, 2020
|
|
|
265,000
|
|
|
|
288,188
|
|
Windstream Corp., 7.75%, 2021
|
|
|
125,000
|
|
|
|
136,563
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,153,403
|
|
Oil Services - 0.8%
|
|
|
|
|
|
|
|
|
Bristow Group, Inc., 6.25%, 2022
|
|
$
|
120,000
|
|
|
$
|
129,600
|
|
Chesapeake Energy Corp., 6.625%, 2019 (n)
|
|
|
100,000
|
|
|
|
99,000
|
|
Dresser-Rand Group, Inc., 6.5%, 2021
|
|
|
130,000
|
|
|
|
137,800
|
|
Edgen Murray Corp., 8.75%, 2020 (n)
|
|
|
260,000
|
|
|
|
265,850
|
|
Pioneer Energy Services Corp., 9.875%, 2018
|
|
|
220,000
|
|
|
|
238,700
|
|
Shale-Inland Holdings LLC/Finance Co., 8.75%, 2019 (n)
|
|
|
285,000
|
|
|
|
299,250
|
|
Transocean, Inc., 2.5%, 2017
|
|
|
314,000
|
|
|
|
315,072
|
|
Transocean, Inc., 6%, 2018
|
|
|
670,000
|
|
|
|
771,006
|
|
Unit Corp., 6.625%, 2021
|
|
|
335,000
|
|
|
|
347,563
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,603,841
|
|
Other Banks & Diversified Financials - 4.3%
|
|
|
|
|
|
|
|
|
Ally Financial, Inc., 5.5%, 2017
|
|
$
|
730,000
|
|
|
$
|
784,807
|
|
Ally Financial, Inc., 6.25%, 2017
|
|
|
165,000
|
|
|
|
183,578
|
|
American Express Centurion Bank, 5.5%, 2013
|
|
|
510,000
|
|
|
|
515,120
|
|
Banco de Reservas de La Republica Dominicana, 7%, 2023 (z)
|
|
|
218,000
|
|
|
|
220,725
|
|
Bancolombia S.A., 5.95%, 2021
|
|
|
398,000
|
|
|
|
459,690
|
|
Bancolombia S.A., 5.125%, 2022
|
|
|
49,000
|
|
|
|
50,715
|
|
BBVA Banco Continental S.A., 5%, 2022 (n)
|
|
|
40,000
|
|
|
|
43,000
|
|
Citigroup, Inc., 6.375%, 2014
|
|
|
630,000
|
|
|
|
678,842
|
|
Citigroup, Inc., 6.01%, 2015
|
|
|
530,000
|
|
|
|
577,345
|
|
Citigroup, Inc., 8.5%, 2019
|
|
|
389,000
|
|
|
|
518,774
|
|
GMAC, Inc., 8%, 2031
|
|
|
60,000
|
|
|
|
75,825
|
|
Groupe BPCE S.A., 12.5% to 2019, FRN to 2049 (n)
|
|
|
645,000
|
|
|
|
788,983
|
|
Intesa Sanpaolo S.p.A, 3.875%, 2018
|
|
|
996,000
|
|
|
|
978,950
|
|
Intesa Sanpaolo S.p.A., FRN, 2.711%, 2014 (n)
|
|
|
590,000
|
|
|
|
593,987
|
|
LBG Capital No. 1 PLC, 7.875%, 2020 (n)
|
|
|
550,000
|
|
|
|
602,800
|
|
Lloyds TSB Bank PLC, 5.8%, 2020 (n)
|
|
|
645,000
|
|
|
|
758,466
|
|
PKO Finance AB, 4.63%, 2022 (n)
|
|
|
57,000
|
|
|
|
59,437
|
|
Rabobank Nederland N.V., 3.375%, 2017
|
|
|
525,000
|
|
|
|
563,670
|
|
Rabobank Nederland N.V., 3.95%, 2022
|
|
|
1,174,000
|
|
|
|
1,174,416
|
|
Santander Holdings USA, Inc., 4.625%, 2016
|
|
|
130,000
|
|
|
|
138,255
|
|
Santander UK PLC, 8.963% to 2030, FRN to 2049
|
|
|
673,000
|
|
|
|
777,315
|
|
SunTrust Banks, Inc., 3.5%, 2017
|
|
|
622,000
|
|
|
|
664,385
|
|
Svenska Handelsbanken AB, 4.875%, 2014 (n)
|
|
|
910,000
|
|
|
|
958,694
|
|
Swedbank AB, 2.125%, 2017 (n)
|
|
|
615,000
|
|
|
|
625,748
|
|
U.S. Bancorp, 2.95%, 2022
|
|
|
416,000
|
|
|
|
412,435
|
|
Union Bank, 3%, 2016
|
|
|
1,250,000
|
|
|
|
1,318,976
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
14,524,938
|
|
Personal Computers & Peripherals - 0.2%
|
|
|
|
|
|
|
|
|
Equifax, Inc., 3.3%, 2022
|
|
$
|
671,000
|
|
|
$
|
656,854
|
|
13
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Pharmaceuticals - 1.5%
|
|
|
|
|
|
|
|
|
AbbVie, Inc., 2.9%, 2022 (n)
|
|
$
|
1,050,000
|
|
|
$
|
1,038,084
|
|
Capsugel FinanceCo. SCA, 9.875%, 2019 (n)
|
|
EUR
|
145,000
|
|
|
|
220,015
|
|
Celgene Corp., 3.95%, 2020
|
|
$
|
890,000
|
|
|
|
953,687
|
|
Hospira, Inc., 6.05%, 2017
|
|
|
490,000
|
|
|
|
565,263
|
|
Pfizer, Inc., 6.2%, 2019
|
|
|
860,000
|
|
|
|
1,077,354
|
|
Teva Pharmaceutical Finance LLC, 5.55%, 2016
|
|
|
359,000
|
|
|
|
405,347
|
|
Teva Pharmaceutical Finance LLC, 2.25%, 2020
|
|
|
250,000
|
|
|
|
249,429
|
|
Valeant Pharmaceuticals International, Inc., 7%, 2020 (n)
|
|
|
315,000
|
|
|
|
333,900
|
|
Valeant Pharmaceuticals International, Inc., 7.25%, 2022 (n)
|
|
|
180,000
|
|
|
|
193,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,036,579
|
|
Pollution Control - 0.4%
|
|
|
|
|
|
|
|
|
Heckmann Corp., 9.875%, 2018
|
|
$
|
75,000
|
|
|
$
|
79,125
|
|
Heckmann Corp., 9.875%, 2018
|
|
|
230,000
|
|
|
|
244,375
|
|
Republic Services, Inc., 5.25%, 2021
|
|
|
730,000
|
|
|
|
847,640
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,171,140
|
|
Precious Metals & Minerals - 0.2%
|
|
|
|
|
|
|
|
|
Eldorado Gold Corp., 6.125%, 2020 (n)
|
|
$
|
185,000
|
|
|
$
|
194,481
|
|
IAMGOLD Corp., 6.75%, 2020 (n)
|
|
|
353,000
|
|
|
|
345,940
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
540,421
|
|
Printing & Publishing - 0.3%
|
|
|
|
|
|
|
|
|
American Media, Inc., 13.5%, 2018 (z)
|
|
$
|
28,530
|
|
|
$
|
24,964
|
|
Nielsen Finance LLC, 7.75%, 2018
|
|
|
270,000
|
|
|
|
300,713
|
|
Nielsen Finance LLC, 4.5%, 2020 (n)
|
|
|
140,000
|
|
|
|
137,900
|
|
Pearson Funding Four PLC, 3.75%, 2022 (n)
|
|
|
437,000
|
|
|
|
450,831
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
914,408
|
|
Railroad & Shipping - 0.6%
|
|
|
|
|
|
|
|
|
CSX Corp., 4.1%, 2044
|
|
$
|
1,905,000
|
|
|
$
|
1,792,013
|
|
Kansas City Southern de Mexico S.A. de C.V., 6.125%, 2021
|
|
|
125,000
|
|
|
|
140,625
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,932,638
|
|
Real Estate - 2.0%
|
|
|
|
|
|
|
|
|
Boston Properties LP, REIT, 3.7%, 2018
|
|
$
|
420,000
|
|
|
$
|
456,913
|
|
CNL Lifestyle Properties, Inc., REIT, 7.25%, 2019
|
|
|
130,000
|
|
|
|
129,025
|
|
DDR Corp., REIT, 4.625%, 2022
|
|
|
874,000
|
|
|
|
941,129
|
|
Entertainment Properties Trust, REIT, 7.75%, 2020
|
|
|
250,000
|
|
|
|
291,697
|
|
HCP, Inc., REIT, 5.375%, 2021
|
|
|
806,000
|
|
|
|
933,949
|
|
Health Care REIT, Inc., 2.25%, 2018
|
|
|
312,000
|
|
|
|
313,302
|
|
Kennedy Wilson, Inc., 8.75%, 2019
|
|
|
125,000
|
|
|
|
132,500
|
|
Kimco Realty Corp., REIT, 6.875%, 2019
|
|
|
191,000
|
|
|
|
240,439
|
|
MPT Operating Partnership LP, REIT, 6.875%, 2021
|
|
|
245,000
|
|
|
|
268,888
|
|
MPT Operating Partnership LP, REIT, 6.375%, 2022
|
|
|
245,000
|
|
|
|
262,763
|
|
Simon Property Group, Inc., REIT, 6.1%, 2016
|
|
|
1,790,000
|
|
|
|
2,053,357
|
|
WEA Finance LLC, REIT, 6.75%, 2019 (n)
|
|
|
590,000
|
|
|
|
727,774
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,751,736
|
|
Retailers - 2.4%
|
|
|
|
|
|
|
|
|
Academy Ltd., 9.25%, 2019 (n)
|
|
$
|
160,000
|
|
|
$
|
178,400
|
|
AutoZone, Inc., 6.5%, 2014
|
|
|
1,210,000
|
|
|
|
1,277,009
|
|
Burlington Coat Factory Warehouse Corp., 10%, 2019
|
|
|
290,000
|
|
|
|
315,375
|
|
Dollar General Corp., 4.125%, 2017
|
|
|
706,000
|
|
|
|
744,830
|
|
Gap, Inc., 5.95%, 2021
|
|
|
1,118,000
|
|
|
|
1,261,768
|
|
14
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Retailers - continued
|
|
|
|
|
|
|
|
|
J. Crew Group, Inc., 8.125%, 2019
|
|
$
|
250,000
|
|
|
$
|
268,125
|
|
Kohls Corp., 3.25%, 2023
|
|
|
997,000
|
|
|
|
935,526
|
|
Limited Brands, Inc., 5.25%, 2014
|
|
|
242,000
|
|
|
|
254,705
|
|
Limited Brands, Inc., 6.9%, 2017
|
|
|
205,000
|
|
|
|
236,263
|
|
Limited Brands, Inc., 7%, 2020
|
|
|
135,000
|
|
|
|
155,250
|
|
Limited Brands, Inc., 6.95%, 2033
|
|
|
115,000
|
|
|
|
118,450
|
|
Macys, Inc., 7.875%, 2015
|
|
|
860,000
|
|
|
|
1,000,366
|
|
Pantry, Inc., 8.375%, 2020 (n)
|
|
|
120,000
|
|
|
|
128,400
|
|
Rite Aid Corp., 9.25%, 2020
|
|
|
250,000
|
|
|
|
278,125
|
|
Sally Beauty Holdings, Inc., 6.875%, 2019
|
|
|
125,000
|
|
|
|
138,125
|
|
Toys R Us Property Co. II LLC, 8.5%, 2017
|
|
|
150,000
|
|
|
|
157,875
|
|
Toys R Us, Inc., 10.75%, 2017
|
|
|
415,000
|
|
|
|
446,125
|
|
Yankee Acquisition Corp., 8.5%, 2015
|
|
|
2,000
|
|
|
|
2,005
|
|
YCC Holdings LLC/Yankee Finance, Inc., 10.25%, 2016 (p)
|
|
|
130,000
|
|
|
|
133,901
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
8,030,623
|
|
|
|
|
Specialty Chemicals - 0.1%
|
|
|
|
|
|
|
|
|
Eagle Spinco, Inc., 4.625%, 2021 (z)
|
|
$
|
55,000
|
|
|
$
|
55,344
|
|
Georgia Gulf Corp., 4.875%, 2023 (z)
|
|
|
20,000
|
|
|
|
20,150
|
|
Koppers, Inc., 7.875%, 2019
|
|
|
185,000
|
|
|
|
203,731
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
279,225
|
|
Specialty Stores - 0.1%
|
|
|
|
|
|
|
|
|
Gymboree Corp., 9.125%, 2018
|
|
$
|
135,000
|
|
|
$
|
126,900
|
|
Michaels Stores, Inc., 11.375%, 2016
|
|
|
136,000
|
|
|
|
141,951
|
|
Michaels Stores, Inc., 7.75%, 2018
|
|
|
140,000
|
|
|
|
153,125
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
421,976
|
|
Supranational - 0.4%
|
|
|
|
|
|
|
|
|
Corporacion Andina de Fomento, 4.375%, 2022
|
|
$
|
1,290,000
|
|
|
$
|
1,402,479
|
|
|
|
|
Telecommunications - Wireless - 2.5%
|
|
|
|
|
|
|
|
|
America Movil S.A.B. de C.V., 3.125%, 2022
|
|
$
|
774,000
|
|
|
$
|
768,978
|
|
American Tower Corp., REIT, 4.625%, 2015
|
|
|
440,000
|
|
|
|
472,259
|
|
American Tower Corp., REIT, 4.7%, 2022
|
|
|
732,000
|
|
|
|
789,034
|
|
Clearwire Corp., 12%, 2015 (n)
|
|
|
315,000
|
|
|
|
341,381
|
|
Cricket Communications, Inc., 7.75%, 2020
|
|
|
270,000
|
|
|
|
280,125
|
|
Crown Castle International Corp., 7.125%, 2019
|
|
|
800,000
|
|
|
|
889,000
|
|
Crown Castle International Corp., 5.25%, 2023 (n)
|
|
|
165,000
|
|
|
|
173,250
|
|
Crown Castle Towers LLC, 6.113%, 2020 (n)
|
|
|
838,000
|
|
|
|
1,013,908
|
|
Digicel Group Ltd., 12%, 2014 (n)
|
|
|
100,000
|
|
|
|
107,750
|
|
Digicel Group Ltd., 10.5%, 2018 (n)
|
|
|
345,000
|
|
|
|
384,675
|
|
MetroPCS Wireless, Inc., 7.875%, 2018
|
|
|
245,000
|
|
|
|
265,213
|
|
Rogers Cable, Inc., 5.5%, 2014
|
|
|
659,000
|
|
|
|
694,171
|
|
Sprint Capital Corp., 6.875%, 2028
|
|
|
325,000
|
|
|
|
328,250
|
|
Sprint Nextel Corp., 6%, 2016
|
|
|
425,000
|
|
|
|
457,938
|
|
Sprint Nextel Corp., 8.375%, 2017
|
|
|
310,000
|
|
|
|
358,438
|
|
Sprint Nextel Corp., 9%, 2018 (n)
|
|
|
75,000
|
|
|
|
92,813
|
|
Sprint Nextel Corp., 6%, 2022
|
|
|
360,000
|
|
|
|
361,800
|
|
Wind Acquisition Finance S.A., 11.75%, 2017 (n)
|
|
|
405,000
|
|
|
|
435,375
|
|
Wind Acquisition Finance S.A., 7.25%, 2018 (n)
|
|
|
245,000
|
|
|
|
257,863
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
8,472,221
|
|
15
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Telephone Services - 0.2%
|
|
|
|
|
|
|
|
|
Cogent Communications Group, Inc., 8.375%, 2018 (n)
|
|
$
|
120,000
|
|
|
$
|
132,900
|
|
Level 3 Financing, Inc., 9.375%, 2019
|
|
|
205,000
|
|
|
|
231,650
|
|
Level 3 Financing, Inc., 7%, 2020 (n)
|
|
|
80,000
|
|
|
|
84,800
|
|
Level 3 Financing, Inc., 8.625%, 2020
|
|
|
135,000
|
|
|
|
151,200
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
600,550
|
|
Tobacco - 2.1%
|
|
|
|
|
|
|
|
|
Altria Group, Inc., 9.25%, 2019
|
|
$
|
352,000
|
|
|
$
|
486,073
|
|
B.A.T. International Finance PLC, 8.125%, 2013 (n)
|
|
|
810,000
|
|
|
|
854,856
|
|
B.A.T. International Finance PLC, 3.25%, 2022 (n)
|
|
|
1,882,000
|
|
|
|
1,929,426
|
|
Lorillard Tobacco Co., 8.125%, 2019
|
|
|
640,000
|
|
|
|
815,890
|
|
Lorillard Tobacco Co., 6.875%, 2020
|
|
|
480,000
|
|
|
|
581,573
|
|
Reynolds American, Inc., 6.75%, 2017
|
|
|
1,040,000
|
|
|
|
1,254,381
|
|
Reynolds American, Inc., 4.75%, 2042
|
|
|
1,270,000
|
|
|
|
1,241,414
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
7,163,613
|
|
Transportation - 0.1%
|
|
|
|
|
|
|
|
|
Navios South American Logistics, Inc., 9.25%, 2019
|
|
$
|
248,000
|
|
|
$
|
248,000
|
|
|
|
|
Transportation - Services - 1.3%
|
|
|
|
|
|
|
|
|
ACL I Corp., 10.625%, 2016 (p)
|
|
$
|
322,721
|
|
|
$
|
310,227
|
|
Aguila American Resources Ltd., 7.875%, 2018 (n)
|
|
|
230,000
|
|
|
|
243,800
|
|
Avis Budget Car Rental LLC, 8.25%, 2019
|
|
|
195,000
|
|
|
|
215,963
|
|
Avis Budget Car Rental LLC, 9.75%, 2020
|
|
|
110,000
|
|
|
|
127,325
|
|
CEVA Group PLC, 8.375%, 2017 (n)
|
|
|
475,000
|
|
|
|
485,688
|
|
Commercial Barge Line Co., 12.5%, 2017
|
|
|
580,000
|
|
|
|
636,550
|
|
ERAC USA Finance Co., 6.375%, 2017 (n)
|
|
|
930,000
|
|
|
|
1,117,796
|
|
HDTFS, Inc., 5.875%, 2020 (n)
|
|
|
50,000
|
|
|
|
53,125
|
|
Navios Maritime Acquisition Corp., 8.625%, 2017
|
|
|
360,000
|
|
|
|
341,100
|
|
Navios Maritime Holdings, Inc., 8.875%, 2017
|
|
|
325,000
|
|
|
|
320,938
|
|
Swift Services Holdings, Inc., 10%, 2018
|
|
|
530,000
|
|
|
|
598,238
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,450,750
|
|
U.S. Government Agencies and Equivalents - 0.1%
|
|
|
|
|
|
|
|
|
National Credit Union Administration Guaranteed Note, 2.9%, 2020
|
|
$
|
240,000
|
|
|
$
|
256,036
|
|
|
|
|
Utilities - Electric Power - 3.7%
|
|
|
|
|
|
|
|
|
AES Corp., 8%, 2017
|
|
$
|
485,000
|
|
|
$
|
560,175
|
|
AES Corp., 7.375%, 2021
|
|
|
125,000
|
|
|
|
139,375
|
|
Allegheny Energy, Inc., 5.75%, 2019 (n)
|
|
|
800,000
|
|
|
|
898,330
|
|
Calpine Corp., 8%, 2016 (n)
|
|
|
280,000
|
|
|
|
295,400
|
|
Calpine Corp., 7.875%, 2020 (n)
|
|
|
355,000
|
|
|
|
391,388
|
|
CMS Energy Corp., 4.25%, 2015
|
|
|
760,000
|
|
|
|
808,822
|
|
CMS Energy Corp., 5.05%, 2022
|
|
|
608,000
|
|
|
|
677,554
|
|
Covanta Holding Corp., 7.25%, 2020
|
|
|
210,000
|
|
|
|
231,337
|
|
Covanta Holding Corp., 6.375%, 2022
|
|
|
80,000
|
|
|
|
87,309
|
|
Duke Energy Corp., 3.35%, 2015
|
|
|
1,230,000
|
|
|
|
1,293,908
|
|
Energy Future Holdings Corp., 10%, 2020
|
|
|
910,000
|
|
|
|
1,044,225
|
|
Energy Future Holdings Corp., 10%, 2020 (z)
|
|
|
230,000
|
|
|
|
263,350
|
|
Energy Future Holdings Corp., 11.75%, 2022 (n)
|
|
|
245,000
|
|
|
|
278,994
|
|
Exelon Generation Co. LLC, 5.2%, 2019
|
|
|
360,000
|
|
|
|
407,169
|
|
GenOn Energy, Inc., 9.5%, 2018
|
|
|
25,000
|
|
|
|
29,688
|
|
GenOn Energy, Inc., 9.875%, 2020
|
|
|
445,000
|
|
|
|
511,750
|
|
NRG Energy, Inc., 8.25%, 2020
|
|
|
680,000
|
|
|
|
768,400
|
|
Oncor Electric Delivery Co., 4.1%, 2022
|
|
|
922,000
|
|
|
|
993,407
|
|
16
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer
|
|
|
|
|
|
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities - Electric Power - continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PPL WEM Holdings PLC, 3.9%, 2016 (n)
|
|
|
|
|
|
|
|
|
|
$
|
1,210,000
|
|
|
$
|
1,274,556
|
|
Progress Energy, Inc., 3.15%, 2022
|
|
|
|
|
|
|
|
|
|
|
1,148,000
|
|
|
|
1,149,332
|
|
Texas Competitive Electric Holdings Co. LLC, 11.5%, 2020 (n)
|
|
|
|
|
|
|
|
|
|
|
140,000
|
|
|
|
110,551
|
|
Waterford 3 Funding Corp., 8.09%, 2017
|
|
|
|
|
|
|
|
|
|
|
277,116
|
|
|
|
284,791
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
12,499,811
|
|
Total Bonds
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
324,808,885
|
|
|
|
|
|
|
Floating Rate Loans (g)(r) - 0.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Institutions - 0.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Springleaf Finance Corp., Term Loan, 5.5%, 2017
|
|
|
|
|
|
|
|
|
|
$
|
130,430
|
|
|
$
|
130,658
|
|
|
|
|
|
|
Convertible Preferred Stocks - 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Automotive - 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
General Motors Co., 4.75%
|
|
|
|
|
|
|
|
|
|
|
5,940
|
|
|
$
|
257,321
|
|
|
|
|
|
|
Common Stocks - 0.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Automotive - 0.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Accuride Corp. (a)
|
|
|
|
|
|
|
|
|
|
|
6,738
|
|
|
$
|
25,335
|
|
|
|
|
|
|
Broadcasting - 0.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
New Young Broadcasting Holding Co., Inc. (a)
|
|
|
|
|
|
|
|
|
|
|
7
|
|
|
$
|
26,250
|
|
|
|
|
|
|
Chemicals - 0.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LyondellBasell Industries N.V., A
|
|
|
|
|
|
|
|
|
|
|
18
|
|
|
$
|
1,142
|
|
|
|
|
|
|
Printing & Publishing - 0.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
American Media Operations, Inc. (a)
|
|
|
|
|
|
|
|
|
|
|
7,311
|
|
|
$
|
34,727
|
|
Total Common Stocks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
87,454
|
|
|
|
|
|
|
Preferred Stocks - 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Banks & Diversified Financials - 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ally Financial, Inc., 7% (z)
|
|
|
|
|
|
|
|
|
|
|
160
|
|
|
$
|
156,155
|
|
GMAC Capital Trust I, 8.125%
|
|
|
|
|
|
|
|
|
|
|
9,100
|
|
|
|
242,697
|
|
Total Preferred Stocks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
398,852
|
|
|
|
Strike Price
|
|
|
First Exercise
|
|
|
|
|
|
|
|
Warrants - 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
New Young Broadcasting Holding Co., Inc. (1 share for 1 warrant) (a)
|
|
$
|
0.01
|
|
|
|
7/14/10
|
|
|
|
41
|
|
|
$
|
153,750
|
|
|
|
|
|
|
Convertible Bonds - 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Network & Telecom - 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nortel Networks Corp., 2.125%, 2014 (a)(d)
|
|
|
|
|
|
|
|
|
|
$
|
300,000
|
|
|
$
|
298,500
|
|
|
|
|
|
|
Money Market Funds - 2.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MFS Institutional Money Market Portfolio, 0.14%, at Net Asset Value (v)
|
|
|
|
|
|
|
|
|
|
|
7,739,182
|
|
|
$
|
7,739,182
|
|
Total Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
333,874,602
|
|
|
|
|
|
|
Other Assets, Less Liabilities - 0.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,016,760
|
|
Net Assets - 100.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
334,891,362
|
|
(a)
|
Non-income producing security.
|
(d)
|
In default. Interest and/or scheduled principal payment(s) have been missed.
|
17
Portfolio of Investments (unaudited) continued
(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 $83,151,013, representing 24.8% of net assets.
|
(p)
|
Payment-in-kind security.
|
(r)
|
Remaining maturities of floating rate loans may be less than stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot
be predicted with certainty. These loans may be subject to restrictions on resale. Floating rate loans generally have rates of interest which are determined periodically by reference to a base lending rate plus a premium.
|
(v)
|
Underlying affiliated fund that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized
seven-day yield of the fund at period end.
|
(z)
|
Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in
transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the
following restricted securities:
|
|
|
|
|
|
|
|
|
|
|
|
Restricted Securities
|
|
Acquisition
Date
|
|
Cost
|
|
|
Value
|
|
Ally Financial, Inc., 7% (Preferred Stock)
|
|
4/13/11-4/14/11
|
|
|
$150,000
|
|
|
|
$156,155
|
|
American Media, Inc., 13.5%, 2018
|
|
12/28/10
|
|
|
28,899
|
|
|
|
24,964
|
|
Anthracite Ltd., A, CDO, FRN, 0.564%, 2019
|
|
1/28/10
|
|
|
193,384
|
|
|
|
241,657
|
|
Ardagh Packaging Finance PLC , 7%, 2020
|
|
1/16/13
|
|
|
250,000
|
|
|
|
251,875
|
|
Atlas Pipeline Partners LP, 5.875%, 2023
|
|
1/28/13
|
|
|
175,000
|
|
|
|
174,563
|
|
Aviation Capital Group, 4.625%, 2018
|
|
1/14/13
|
|
|
90,000
|
|
|
|
91,178
|
|
BC Mountain LLC, 7%, 2021
|
|
1/25/13
|
|
|
30,000
|
|
|
|
30,750
|
|
Banco de Reservas de La Republica Dominicana, 7%, 2023
|
|
1/25/13
|
|
|
216,101
|
|
|
|
220,725
|
|
Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.803%, 2040
|
|
3/01/06
|
|
|
437,853
|
|
|
|
276,011
|
|
Bombardier, Inc., 4.25%, 2016
|
|
1/09/13
|
|
|
68,000
|
|
|
|
70,040
|
|
Clearwater Paper Corp., 4.5%, 2023
|
|
1/17/13
|
|
|
45,000
|
|
|
|
44,663
|
|
Crest Ltd., A1 CDO, FRN, 0.79%, 2018
|
|
1/21/10
|
|
|
108,128
|
|
|
|
130,922
|
|
Crown Americas LLC, 4.5%, 2023
|
|
1/03/13
|
|
|
200,000
|
|
|
|
197,000
|
|
Daimler Finance North America LLC, 1.875%, 2018
|
|
1/07/13
|
|
|
1,251,816
|
|
|
|
1,253,638
|
|
Dematic S.A., 7.75%, 2020
|
|
12/13/12
|
|
|
205,000
|
|
|
|
209,613
|
|
Eagle Spinco, Inc., 4.625%, 2021
|
|
1/17/13
|
|
|
55,000
|
|
|
|
55,344
|
|
Energy Future Holdings Corp., 10%, 2020
|
|
1/07/10-3/02/10
|
|
|
234,179
|
|
|
|
263,350
|
|
Falcon Franchise Loan LLC, FRN, 6.1%, 2023
|
|
1/18/02
|
|
|
34,145
|
|
|
|
113,219
|
|
Falcon Franchise Loan LLC, FRN, 8.026%, 2025
|
|
1/29/03
|
|
|
45,294
|
|
|
|
88,618
|
|
Fresenius Medical Care Capital Trust III, 5.875%, 2022
|
|
1/24/13
|
|
|
110,492
|
|
|
|
109,250
|
|
GMAC LLC, FRN, 6.02%, 2033
|
|
11/17/00
|
|
|
618,355
|
|
|
|
629,032
|
|
Gaz Capital S.A., 3.85%, 2020
|
|
1/30/13
|
|
|
721,000
|
|
|
|
721,220
|
|
Gaz Capital S.A., 4.95%, 2028
|
|
1/30/13
|
|
|
615,000
|
|
|
|
612,799
|
|
Georgia Gulf Corp., 4.875%, 2023
|
|
1/17/13
|
|
|
20,000
|
|
|
|
20,150
|
|
Gibraltar Industries, Inc., 6.25%, 2021
|
|
1/18/13
|
|
|
45,000
|
|
|
|
46,744
|
|
HD Supply, Inc., 10.5%, 2021
|
|
1/09/13
|
|
|
20,000
|
|
|
|
20,450
|
|
Heckler & Koch GmbH, 9.5%, 2018
|
|
5/06/11
|
|
|
142,062
|
|
|
|
120,165
|
|
Jaguar Land Rover PLC, 5.625%, 2023
|
|
1/23/13
|
|
|
150,000
|
|
|
|
153,000
|
|
LBI Media, Inc., 13.5% to 2015, 11.5% to 2020
|
|
1/12/13
|
|
|
51,324
|
|
|
|
49,610
|
|
Lear Corp., 4.75%, 2023
|
|
1/14/13
|
|
|
80,000
|
|
|
|
79,600
|
|
Local TV Finance LLC, 9.25%, 2015
|
|
12/10/07-12/06/12
|
|
|
297,921
|
|
|
|
301,245
|
|
Morgan Stanley Capital I, Inc., FRN, 1.384%, 2039
|
|
7/20/04
|
|
|
84,113
|
|
|
|
62,893
|
|
Netflix, Inc., 5.375%, 2021
|
|
1/29/13-1/30/13
|
|
|
175,244
|
|
|
|
174,125
|
|
18
Portfolio of Investments (unaudited) continued
|
|
|
|
|
|
|
|
|
|
|
Restricted Securities - continued
|
|
Acquisition
Date
|
|
Cost
|
|
|
Value
|
|
Neustar, Inc., 4.5%, 2023
|
|
1/11/13-1/16/13
|
|
|
$134,963
|
|
|
|
$135,000
|
|
Prudential Securities Secured Financing Corp., FRN, 7.206%, 2013
|
|
12/06/04
|
|
|
820,879
|
|
|
|
818,564
|
|
Rosneft, 3.149%, 2017
|
|
11/29/12
|
|
|
432,000
|
|
|
|
432,540
|
|
Sabine Pass Liquefaction, 5.625%, 2021
|
|
1/29/13
|
|
|
100,000
|
|
|
|
100,375
|
|
Salomon Brothers Mortgage Securities, Inc., FRN, 7.145%, 2032
|
|
1/07/05
|
|
|
65,094
|
|
|
|
59,918
|
|
Tenet Healthcare Corp., 4.5%, 2021
|
|
1/22/13
|
|
|
115,000
|
|
|
|
113,131
|
|
Unifrax I LLC, 7.5%, 2019
|
|
1/31/13
|
|
|
45,000
|
|
|
|
45,000
|
|
Total Restricted Securities
|
|
|
|
|
|
|
|
|
$8,699,096
|
|
% of Net assets
|
|
|
|
|
|
|
|
|
2.6%
|
|
The following abbreviations are used in this report and are defined:
|
|
|
CDO
|
|
Collateralized Debt Obligation
|
CLO
|
|
Collateralized Loan Obligation
|
FRN
|
|
Floating Rate Note. Interest rate resets periodically and 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
|
DKK
|
|
Danish Krone
|
EUR
|
|
Euro
|
GBP
|
|
British Pound
|
JPY
|
|
Japanese Yen
|
SEK
|
|
Swedish Krona
|
Derivative Contracts at 1/31/13
Forward Foreign Currency Exchange Contracts at 1/31/13
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type
|
|
|
Currency
|
|
|
Counterparty
|
|
Contracts to
Deliver/Receive
|
|
Settlement
Date Range
|
|
In Exchange
For
|
|
|
Contracts
at Value
|
|
|
Net Unrealized
Appreciation
(Depreciation)
|
|
Asset Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SELL
|
|
|
|
AUD
|
|
|
Wespac Banking Corp.
|
|
301,736
|
|
4/15/13
|
|
$
|
314,025
|
|
|
$
|
313,017
|
|
|
$
|
1,008
|
|
|
|
|
SELL
|
|
|
|
CAD
|
|
|
Merrill Lynch International Bank
|
|
1,347,594
|
|
4/15/13
|
|
|
1,362,471
|
|
|
|
1,349,078
|
|
|
|
13,393
|
|
|
|
|
SELL
|
|
|
|
GBP
|
|
|
Barclays Bank PLC
|
|
1,342,261
|
|
4/15/13
|
|
|
2,158,652
|
|
|
|
2,128,026
|
|
|
|
30,626
|
|
|
|
|
SELL
|
|
|
|
GBP
|
|
|
Deutsche Bank AG
|
|
1,342,261
|
|
4/15/13
|
|
|
2,159,739
|
|
|
|
2,128,026
|
|
|
|
31,713
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
76,740
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liability Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SELL
|
|
|
|
DKK
|
|
|
Deutsche Bank AG
|
|
1,701,041
|
|
4/15/13
|
|
$
|
299,113
|
|
|
$
|
309,783
|
|
|
$
|
(10,670
|
)
|
|
|
|
SELL
|
|
|
|
EUR
|
|
|
Deutsche Bank AG
|
|
2,447,095
|
|
4/15/13
|
|
|
3,201,200
|
|
|
|
3,323,914
|
|
|
|
(122,714
|
)
|
|
|
|
SELL
|
|
|
|
EUR
|
|
|
JPMorgan Chase Bank
|
|
3,384,095
|
|
4/15/13
|
|
|
4,426,590
|
|
|
|
4,596,651
|
|
|
|
(170,061
|
)
|
|
|
|
BUY
|
|
|
|
JPY
|
|
|
Credit Suisse Group
|
|
34,057,524
|
|
4/15/13
|
|
|
388,634
|
|
|
|
372,619
|
|
|
|
(16,015
|
)
|
|
|
|
BUY
|
|
|
|
JPY
|
|
|
Merrill Lynch International Bank
|
|
34,057,523
|
|
4/15/13
|
|
|
388,235
|
|
|
|
372,619
|
|
|
|
(15,616
|
)
|
|
|
|
SELL
|
|
|
|
SEK
|
|
|
Deutsche Bank AG
|
|
1,114,421
|
|
4/15/13
|
|
|
170,769
|
|
|
|
175,022
|
|
|
|
(4,253
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(339,329
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19
Portfolio of Investments (unaudited) continued
Futures Contracts Outstanding at 1/31/13
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Currency
|
|
|
Contracts
|
|
|
Value
|
|
Expiration Date
|
|
Unrealized
Appreciation
(Depreciation)
|
|
Asset Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Futures
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Note 10 yr (Short)
|
|
|
USD
|
|
|
|
78
|
|
|
$10,239,938
|
|
March - 2013
|
|
|
$170,832
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At January 31, 2013, the fund had liquid securities with an aggregate value of $96,013 to cover any commitments for certain
derivative contracts.
See attached supplemental information. For more information see notes to financial statements as disclosed in the most recent
semiannual or annual report.
20
Supplemental Information
1/31/13 (unaudited)
(1) Investment Valuations
Debt instruments and floating rate loans (other than short-term instruments), including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing
service. Equity securities, including restricted equity securities, are generally valued at the last sale or official closing price as provided by a third-party pricing service on the market or exchange on which they are primarily traded. Equity
securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation as provided by a third-party pricing service on the market or exchange on which such securities are primarily traded. Short-term
instruments with a maturity at issuance of 60 days or less generally are valued at amortized cost, which approximates market value. Futures contracts are generally valued at last posted settlement price as provided by a third-party pricing service
on the market on which they are primarily traded. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation as provided by a third-party pricing service on the market on
which such futures contracts are primarily traded. 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 funds 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 funds 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
investments 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 funds
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 funds 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 funds 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 funds 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 investments level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The funds 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 advisers own
assumptions in determining the fair value of investments. Other financial instruments are derivative instruments not reflected in total investments, such as futures contracts and forward foreign currency exchange contracts.
21
Supplemental Information (unaudited) continued
The following is a summary of the levels used as of January 31, 2013 in valuing the funds assets or liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments at Value
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Equity Securities
|
|
|
$526,494
|
|
|
|
$336,156
|
|
|
|
$34,727
|
|
|
|
$897,377
|
|
U.S. Treasury Bonds & U.S. Government Agency & Equivalents
|
|
|
|
|
|
|
256,035
|
|
|
|
|
|
|
|
256,035
|
|
Non-U.S. Sovereign Debt
|
|
|
|
|
|
|
57,262,504
|
|
|
|
|
|
|
|
57,262,504
|
|
Municipal Bonds
|
|
|
|
|
|
|
229,048
|
|
|
|
|
|
|
|
229,048
|
|
U.S.Corporate Bonds
|
|
|
|
|
|
|
195,422,315
|
|
|
|
|
|
|
|
195,422,315
|
|
Residential Mortgage-Backed Securities
|
|
|
|
|
|
|
3,156,722
|
|
|
|
|
|
|
|
3,156,722
|
|
Commercial Mortgage-Backed Securities
|
|
|
|
|
|
|
1,888,900
|
|
|
|
|
|
|
|
1,888,900
|
|
Asset-Backed Securities (including CDOs)
|
|
|
|
|
|
|
3,095,433
|
|
|
|
|
|
|
|
3,095,433
|
|
Foreign Bonds
|
|
|
|
|
|
|
63,796,428
|
|
|
|
|
|
|
|
63,796,428
|
|
Floating Rate Loans
|
|
|
|
|
|
|
130,658
|
|
|
|
|
|
|
|
130,658
|
|
Mutual Funds
|
|
|
7,739,182
|
|
|
|
|
|
|
|
|
|
|
|
7,739,182
|
|
Total Investments
|
|
|
$8,265,676
|
|
|
|
$325,574,199
|
|
|
|
$34,727
|
|
|
|
$333,874,602
|
|
|
|
|
|
|
Other Financial Instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
|
$170,832
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$170,832
|
|
Forward Foreign Currency Exchange Contracts
|
|
|
|
|
|
|
(262,589
|
)
|
|
|
|
|
|
|
(262,589
|
)
|
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 funds policy is to
recognize transfers between the levels as of the end of the period. The table presents the activity of level 3 securities held at the beginning and the end of the period.
|
|
|
|
|
|
|
Equity Securities
|
|
Balance as of 10/31/12
|
|
|
$38,675
|
|
Change in unrealized appreciation (depreciation)
|
|
|
(3,948
|
)
|
Balance as of 1/31/13
|
|
|
$34,727
|
|
The net change in unrealized appreciation (depreciation) from investments still held as level 3 at January 31, 2013 is
$(3,948).
(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
|
|
|
$314,559,710
|
|
Gross unrealized appreciation
|
|
|
22,601,683
|
|
Gross unrealized depreciation
|
|
|
(3,286,791
|
)
|
Net unrealized appreciation (depreciation)
|
|
|
$19,314,892
|
|
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
|
|
|
8,495,868
|
|
|
|
22,606,494
|
|
|
|
(23,363,180
|
)
|
|
|
7,739,182
|
|
|
|
|
|
|
Underlying Affiliated Fund
|
|
Realized
Gain (Loss)
|
|
|
Capital Gain
Distributions
|
|
|
Dividend
Income
|
|
|
Ending
Value
|
|
MFS Institutional Money Market Portfolio
|
|
|
$
|
|
|
|
$
|
|
|
|
$3,723
|
|
|
|
$7,739,182
|
|
22
Supplemental Information (unaudited) continued
(4) Issuer Country Weightings
Issuer country weighting percentages of portfolio holdings based on net assets, as of January 31, 2013 are as follows:
|
|
|
|
|
United States
|
|
|
63.3%
|
|
United Kingdom
|
|
|
6.1%
|
|
Netherlands
|
|
|
3.0%
|
|
Japan
|
|
|
2.9%
|
|
France
|
|
|
2.8%
|
|
Germany
|
|
|
2.5%
|
|
Italy
|
|
|
2.2%
|
|
Canada
|
|
|
2.2%
|
|
Australia
|
|
|
1.8%
|
|
Other Countries
|
|
|
13.2%
|
|
The issuer country weighting percentages include both accrued interest amounts and the equivalent exposure from any derivative
holdings, if applicable.
23
ITEM 2.
|
CONTROLS AND PROCEDURES.
|
(a)
|
Based upon their evaluation of the effectiveness of the registrants 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 registrants 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 Commissions
rules and forms.
|
(b)
|
There were no changes in the registrants internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the
registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting.
|
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.
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 SERIES TRUST VIII
|
|
|
By (Signature and Title)*
|
|
JOHN M. CORCORAN
|
|
|
John M. Corcoran, President
|
Date: March 18, 2013
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)*
|
|
JOHN M. CORCORAN
|
|
|
John M. Corcoran, President
(Principal Executive Officer)
|
Date: March 18, 2013
|
|
|
By (Signature and Title)*
|
|
DAVID L. DILORENZO
|
|
|
David L. DiLorenzo, Treasurer
(Principal Financial Officer
and Accounting Officer)
|
Date: March 18, 2013
*
|
Print name and title of each signing officer under his or her signature.
|