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 811-5851
MFS INTERMARKET INCOME TRUST I
(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)
Registrant’s telephone number, including
area code: (617) 954-5000
Date of fiscal year end: November 30
Date of reporting period: August 31, 2013
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ITEM 1.
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SCHEDULE OF INVESTMENTS.
|
QUARTERLY REPORT
August 31, 2013
MFS® INTERMARKET
INCOME TRUST I
PORTFOLIO OF INVESTMENTS
8/31/13 (unaudited)
The Portfolio of Investments is a complete list of all securities owned by your fund. It is
categorized by broad-based asset classes.
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Issuer
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Shares/Par
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Value ($)
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Bonds - 110.7%
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Aerospace - 0.9%
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Bombardier, Inc., 7.5%, 2018 (n)
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$
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260,000
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$
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287,300
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Bombardier, Inc., 7.75%, 2020 (n)
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75,000
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83,719
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CPI International, Inc., 8%, 2018
|
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105,000
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107,570
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Huntington Ingalls Industries, Inc., 7.125%, 2021
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220,000
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237,600
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Kratos Defense & Security Solutions, Inc., 10%, 2017
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195,000
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210,600
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$
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926,789
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Apparel Manufacturers - 0.5%
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Hanesbrands, Inc., 6.375%, 2020
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$
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120,000
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$
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129,600
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Jones Group, Inc., 6.875%, 2019
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85,000
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86,806
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PVH Corp., 7.375%, 2020
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205,000
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221,400
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PVH Corp., 4.5%, 2022
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65,000
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60,206
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$
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498,012
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Asset-Backed & Securitized - 1.5%
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Anthracite Ltd., “A”, CDO, FRN, 0.543%, 2019 (z)
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$
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42,463
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$
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42,205
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Capital Trust Realty Ltd., CDO, 5.16%, 2035 (n)
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37,506
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37,202
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Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.322%, 2049
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260,000
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284,423
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Credit Suisse Commercial Mortgage Trust, “A4”, FRN, 5.953%, 2039
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194,736
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215,217
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Equity One ABS, Inc., FRN, 4.205%, 2034
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173,865
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172,962
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GMAC Mortgage Corp. Loan Trust, FRN, 5.865%, 2034
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144,124
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144,864
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HLSS Servicer Advance Receivables Trust, 2013-T1, “A2”, 1.495%, 2046 (n)
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300,000
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297,600
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Race Point CLO Ltd., “A1A”, FRN, 0.465%, 2021 (n)
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320,000
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315,118
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$
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1,509,591
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Automotive - 2.9%
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Accuride Corp., 9.5%, 2018
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$
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165,000
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$
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169,950
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Allison Transmission, Inc., 7.125%, 2019 (n)
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170,000
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178,925
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Daimler Finance North America LLC, 1.875%, 2018 (n)
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521,000
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511,294
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Daimler Finance North America LLC, FRN, 1.472%, 2013 (n)
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320,000
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320,078
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Delphi Corp., 5%, 2023
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90,000
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91,463
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Ford Motor Credit Co. LLC, 8.125%, 2020
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100,000
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121,585
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General Motors Financial Co., Inc., 6.75%, 2018
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170,000
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189,338
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General Motors Financial Co., Inc., 4.25%, 2023 (n)
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35,000
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31,500
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Goodyear Tire & Rubber Co., 8.25%, 2020
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25,000
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27,563
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Goodyear Tire & Rubber Co., 6.5%, 2021
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95,000
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96,425
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Goodyear Tire & Rubber Co., 7%, 2022
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40,000
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40,850
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Harley-Davidson Financial Services, 3.875%, 2016 (n)
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450,000
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475,991
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Hyundai Capital America, 1.875%, 2016 (n)
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230,000
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229,793
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Jaguar Land Rover PLC, 8.125%, 2021 (n)
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150,000
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166,688
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Jaguar Land Rover PLC, 5.625%, 2023 (n)
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150,000
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144,375
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Lear Corp., 8.125%, 2020
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52,000
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56,810
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Lear Corp., 4.75%, 2023 (n)
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25,000
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23,375
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LKQ Corp., 4.75%, 2023 (n)
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10,000
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9,200
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$
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2,885,203
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Biotechnology - 0.5%
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Life Technologies Corp., 6%, 2020
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$
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400,000
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$
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447,768
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Broadcasting - 3.0%
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AMC Networks, Inc., 7.75%, 2021
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$
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114,000
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$
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125,970
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CBS Corp., 5.75%, 2020
|
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110,000
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122,098
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Clear Channel Communications, Inc., 9%, 2021
|
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118,000
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112,100
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|
1
Portfolio of Investments (unaudited) – continued
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Issuer
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Shares/Par
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Value ($)
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Bonds - continued
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Broadcasting - continued
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Clear Channel Worldwide Holdings, Inc., 6.5%, 2022
|
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$
|
25,000
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$
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24,813
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Clear Channel Worldwide Holdings, Inc., 6.5%, 2022
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90,000
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90,000
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Clear Channel Worldwide Holdings, Inc., “A”, 7.625%, 2020
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5,000
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4,963
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Clear Channel Worldwide Holdings, Inc., “B”, 7.625%, 2020
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30,000
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30,075
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Hughes Network Systems LLC, 7.625%, 2021
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60,000
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64,350
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IAC/InterActive Corp., 4.75%, 2022
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50,000
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46,125
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Inmarsat Finance PLC, 7.375%, 2017 (n)
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130,000
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135,200
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Intelsat Jackson Holdings S.A., 6.625%, 2022 (n)
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85,000
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84,788
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Intelsat Jackson Holdings S.A., 6.625%, 2022 (n)
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45,000
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44,888
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Intelsat S.A., 8.125%, 2023 (n)
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155,000
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161,975
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LBI Media, Inc., 13.5% to 2015, 11.5% to 2020 (p)(z)
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39,318
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16,120
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Liberty Media Corp., 8.5%, 2029
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105,000
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112,350
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Liberty Media Corp., 8.25%, 2030
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35,000
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36,925
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Netflix, Inc., 5.375%, 2021 (n)
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50,000
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50,250
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News America, Inc., 8.5%, 2025
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233,000
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290,749
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Nexstar Broadcasting Group, Inc., 8.875%, 2017
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45,000
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48,488
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Nexstar Broadcasting Group, Inc., 6.875%, 2020 (n)
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35,000
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35,350
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Sinclair Broadcast Group, Inc., 9.25%, 2017 (n)
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50,000
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52,875
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Sinclair Broadcast Group, Inc., 8.375%, 2018
|
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15,000
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16,388
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SIRIUS XM Radio, Inc., 7.625%, 2018 (n)
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75,000
|
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|
81,563
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SIRIUS XM Radio, Inc., 4.25%, 2020 (n)
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20,000
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18,300
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|
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SIRIUS XM Radio, Inc., 5.25%, 2022 (n)
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50,000
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|
46,375
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Univision Communications, Inc., 6.875%, 2019 (n)
|
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125,000
|
|
|
|
131,875
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|
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Univision Communications, Inc., 7.875%, 2020 (n)
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|
145,000
|
|
|
|
157,144
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|
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Univision Communications, Inc., 8.5%, 2021 (n)
|
|
|
75,000
|
|
|
|
81,188
|
|
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Vivendi S.A., 4.75%, 2022 (n)
|
|
|
330,000
|
|
|
|
328,779
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|
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WPP Finance, 8%, 2014
|
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|
400,000
|
|
|
|
427,948
|
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$
|
2,980,012
|
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Brokerage & Asset Managers - 1.0%
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Blackstone Holdings Finance Co. LLC, 4.75%, 2023 (n)
|
|
$
|
301,000
|
|
|
$
|
312,859
|
|
|
E*TRADE Financial Corp., 6.375%, 2019
|
|
|
225,000
|
|
|
|
236,250
|
|
|
TD Ameritrade Holding Corp., 5.6%, 2019
|
|
|
350,000
|
|
|
|
403,183
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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$
|
952,292
|
|
|
Building - 1.5%
|
|
|
|
|
|
|
|
|
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ABC Supply Co., Inc., 5.625%, 2021 (n)
|
|
$
|
20,000
|
|
|
$
|
19,400
|
|
|
Boise Cascade Co., 6.375%, 2020
|
|
|
65,000
|
|
|
|
67,275
|
|
|
Building Materials Holding Corp., 6.875%, 2018 (n)
|
|
|
45,000
|
|
|
|
47,813
|
|
|
Building Materials Holding Corp., 7%, 2020 (n)
|
|
|
200,000
|
|
|
|
212,500
|
|
|
Building Materials Holding Corp., 6.75%, 2021 (n)
|
|
|
40,000
|
|
|
|
42,400
|
|
|
CRH PLC, 8.125%, 2018
|
|
|
210,000
|
|
|
|
254,337
|
|
|
Gibraltar Industries, Inc., 6.25%, 2021
|
|
|
45,000
|
|
|
|
45,675
|
|
|
HD Supply, Inc., 8.125%, 2019
|
|
|
50,000
|
|
|
|
55,625
|
|
|
HD Supply, Inc., 11.5%, 2020
|
|
|
85,000
|
|
|
|
100,725
|
|
|
Nortek, Inc., 8.5%, 2021
|
|
|
150,000
|
|
|
|
162,375
|
|
|
Owens Corning, Inc., 4.2%, 2022
|
|
|
166,000
|
|
|
|
160,666
|
|
|
Roofing Supply Group LLC/Roofing Supply Finance, Inc., 10%, 2020 (n)
|
|
|
74,000
|
|
|
|
81,030
|
|
|
USG Corp., 6.3%, 2016
|
|
|
132,000
|
|
|
|
138,270
|
|
|
USG Corp., 7.875%, 2020 (n)
|
|
|
45,000
|
|
|
|
49,163
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,437,254
|
|
|
Business Services - 0.8%
|
|
|
|
|
|
|
|
|
|
Equinix, Inc., 4.875%, 2020
|
|
$
|
70,000
|
|
|
$
|
67,375
|
|
|
Fidelity National Information Services, Inc., 5%, 2022
|
|
|
90,000
|
|
|
|
92,524
|
|
2
Portfolio of Investments (unaudited) – continued
|
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|
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Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
|
Business Services - continued
|
|
|
|
|
|
|
|
|
|
First Data Corp., 10.625%, 2021 (z)
|
|
$
|
40,000
|
|
|
$
|
39,750
|
|
|
iGate Corp., 9%, 2016
|
|
|
205,000
|
|
|
|
220,888
|
|
|
Iron Mountain, Inc., 8.375%, 2021
|
|
|
72,000
|
|
|
|
78,300
|
|
|
NeuStar, Inc., 4.5%, 2023
|
|
|
55,000
|
|
|
|
50,325
|
|
|
Tencent Holdings Ltd., 3.375%, 2018 (n)
|
|
|
209,000
|
|
|
|
208,978
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
758,140
|
|
|
Cable TV - 2.3%
|
|
|
|
|
|
|
|
|
|
CCO Holdings LLC, 8.125%, 2020
|
|
$
|
180,000
|
|
|
$
|
195,300
|
|
|
CCO Holdings LLC, 7.375%, 2020
|
|
|
40,000
|
|
|
|
42,800
|
|
|
CCO Holdings LLC, 6.5%, 2021
|
|
|
155,000
|
|
|
|
156,938
|
|
|
CCO Holdings LLC, 5.125%, 2023
|
|
|
20,000
|
|
|
|
17,950
|
|
|
CCO Holdings LLC/CCO Capital Corp., 5.75%, 2024
|
|
|
40,000
|
|
|
|
37,100
|
|
|
Cequel Communications Holdings, 6.375%, 2020 (n)
|
|
|
70,000
|
|
|
|
69,825
|
|
|
Cox Communications, Inc., 3.25%, 2022 (n)
|
|
|
413,000
|
|
|
|
364,103
|
|
|
DIRECTV Holdings LLC, 5.875%, 2019
|
|
|
160,000
|
|
|
|
177,412
|
|
|
DISH DBS Corp., 7.875%, 2019
|
|
|
40,000
|
|
|
|
45,100
|
|
|
DISH DBS Corp., 6.75%, 2021
|
|
|
55,000
|
|
|
|
57,338
|
|
|
DISH DBS Corp., 5%, 2023
|
|
|
85,000
|
|
|
|
78,413
|
|
|
EchoStar Corp., 7.125%, 2016
|
|
|
55,000
|
|
|
|
59,950
|
|
|
NBCUniversal Enterprise, Inc., 1.974%, 2019 (n)
|
|
|
247,000
|
|
|
|
238,249
|
|
|
Time Warner Cable, Inc., 8.25%, 2019
|
|
|
110,000
|
|
|
|
128,547
|
|
|
Time Warner Cable, Inc., 4%, 2021
|
|
|
170,000
|
|
|
|
159,779
|
|
|
Time Warner Cable, Inc., 4.5%, 2042
|
|
|
30,000
|
|
|
|
23,321
|
|
|
UPC Holding B.V., 9.875%, 2018 (n)
|
|
|
100,000
|
|
|
|
108,500
|
|
|
UPCB Finance III Ltd., 6.625%, 2020 (n)
|
|
|
150,000
|
|
|
|
156,750
|
|
|
Ziggo Bond Co. B.V., 8%, 2018 (n)
|
|
EUR
|
100,000
|
|
|
|
141,212
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,258,587
|
|
|
Chemicals - 1.7%
|
|
|
|
|
|
|
|
|
|
Celanese U.S. Holdings LLC, 6.625%, 2018
|
|
$
|
165,000
|
|
|
$
|
176,138
|
|
|
Dow Chemical Co., 8.55%, 2019
|
|
|
540,000
|
|
|
|
687,085
|
|
|
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, 8.875%, 2018
|
|
|
95,000
|
|
|
|
97,138
|
|
|
Huntsman International LLC, 8.625%, 2021
|
|
|
140,000
|
|
|
|
156,100
|
|
|
INEOS Finance PLC, 8.375%, 2019 (n)
|
|
|
200,000
|
|
|
|
219,000
|
|
|
NOVA Chemicals Corp., 5.25%, 2023 (n)
|
|
|
65,000
|
|
|
|
64,838
|
|
|
Polypore International, Inc., 7.5%, 2017
|
|
|
50,000
|
|
|
|
53,000
|
|
|
Sociedad Quimica y Minera de Chile S.A., 5.5%, 2020 (n)
|
|
|
140,000
|
|
|
|
147,536
|
|
|
Tronox Finance LLC, 6.375%, 2020 (n)
|
|
|
50,000
|
|
|
|
47,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,648,585
|
|
|
Computer Software - 0.6%
|
|
|
|
|
|
|
|
|
|
Infor U.S., Inc., 11.5%, 2018
|
|
$
|
75,000
|
|
|
$
|
87,000
|
|
|
Oracle Corp., 5.375%, 2040
|
|
|
244,000
|
|
|
|
267,583
|
|
|
Syniverse Holdings, Inc., 9.125%, 2019
|
|
|
140,000
|
|
|
|
150,500
|
|
|
TransUnion Holding Co., Inc., 9.625%, 2018
|
|
|
40,000
|
|
|
|
43,200
|
|
|
TransUnion LLC/TransUnion Financing Corp., 11.375%, 2018
|
|
|
15,000
|
|
|
|
16,688
|
|
|
Verisign, Inc., 4.625%, 2023 (n)
|
|
|
65,000
|
|
|
|
60,775
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
625,746
|
|
|
Computer Software - Systems - 0.3%
|
|
|
|
|
|
|
|
|
|
Audatex North America, Inc., 6.75%, 2018
|
|
$
|
80,000
|
|
|
$
|
85,000
|
|
|
Audatex North America, Inc., 6%, 2021 (n)
|
|
|
35,000
|
|
|
|
35,438
|
|
|
CDW LLC/CDW Finance Corp., 12.535%, 2017
|
|
|
28,000
|
|
|
|
29,225
|
|
|
CDW LLC/CDW Finance Corp., 8.5%, 2019
|
|
|
125,000
|
|
|
|
137,344
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
287,007
|
|
3
Portfolio of Investments (unaudited) – continued
|
|
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
|
Conglomerates - 0.9%
|
|
|
|
|
|
|
|
|
|
Amsted Industries, Inc., 8.125%, 2018 (n)
|
|
$
|
175,000
|
|
|
$
|
184,625
|
|
|
BC Mountain LLC, 7%, 2021 (n)
|
|
|
50,000
|
|
|
|
51,250
|
|
|
Dynacast International LLC, 9.25%, 2019
|
|
|
70,000
|
|
|
|
76,300
|
|
|
Griffon Corp., 7.125%, 2018
|
|
|
140,000
|
|
|
|
148,575
|
|
|
Renaissance Acquisition, 6.875%, 2021 (n)
|
|
|
95,000
|
|
|
|
92,863
|
|
|
Rexel S.A., 6.125%, 2019 (n)
|
|
|
200,000
|
|
|
|
204,000
|
|
|
Silver II Borrower, 7.75%, 2020 (n)
|
|
|
150,000
|
|
|
|
155,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
912,863
|
|
|
Construction - 0.0%
|
|
|
|
|
|
|
|
|
|
Empresas ICA S.A.B. de C.V., 8.9%, 2021
|
|
$
|
25,000
|
|
|
$
|
23,125
|
|
|
|
|
|
|
Consumer Products - 1.1%
|
|
|
|
|
|
|
|
|
|
Avon Products, Inc., 4.6%, 2020
|
|
$
|
303,000
|
|
|
$
|
310,903
|
|
|
Elizabeth Arden, Inc., 7.375%, 2021
|
|
|
95,000
|
|
|
|
101,413
|
|
|
Jarden Corp., 7.5%, 2020
|
|
|
100,000
|
|
|
|
107,000
|
|
|
Libbey Glass, Inc., 6.875%, 2020
|
|
|
27,000
|
|
|
|
28,856
|
|
|
Mattel, Inc., 5.45%, 2041
|
|
|
219,000
|
|
|
|
224,205
|
|
|
Newell Rubbermaid, Inc., 2.05%, 2017
|
|
|
182,000
|
|
|
|
178,165
|
|
|
Prestige Brands, Inc., 8.125%, 2020
|
|
|
40,000
|
|
|
|
44,000
|
|
|
Spectrum Brands Escrow Corp., 6.375%, 2020 (n)
|
|
|
65,000
|
|
|
|
67,275
|
|
|
Spectrum Brands Escrow Corp., 6.625%, 2022 (n)
|
|
|
5,000
|
|
|
|
5,125
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,066,942
|
|
|
Consumer Services - 0.7%
|
|
|
|
|
|
|
|
|
|
ADT Corp., 4.125%, 2023
|
|
$
|
45,000
|
|
|
$
|
39,007
|
|
|
Experian Finance PLC, 2.375%, 2017 (n)
|
|
|
297,000
|
|
|
|
292,735
|
|
|
QVC, Inc., 7.375%, 2020 (n)
|
|
|
70,000
|
|
|
|
76,058
|
|
|
Service Corp. International, 7%, 2017
|
|
|
215,000
|
|
|
|
235,963
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
643,763
|
|
|
Containers - 0.9%
|
|
|
|
|
|
|
|
|
|
Ardagh Packaging Finance PLC, 9.125%, 2020 (n)
|
|
$
|
200,000
|
|
|
$
|
212,500
|
|
|
Ball Corp., 5%, 2022
|
|
|
52,000
|
|
|
|
51,090
|
|
|
Ball Corp., 4%, 2023
|
|
|
25,000
|
|
|
|
22,313
|
|
|
Berry Plastics Group, Inc., 9.5%, 2018
|
|
|
30,000
|
|
|
|
32,588
|
|
|
Berry Plastics Group, Inc., 9.75%, 2021
|
|
|
50,000
|
|
|
|
57,875
|
|
|
Crown Americas LLC, 4.5%, 2023 (n)
|
|
|
60,000
|
|
|
|
55,350
|
|
|
Reynolds Group, 7.125%, 2019
|
|
|
200,000
|
|
|
|
212,750
|
|
|
Reynolds Group, 5.75%, 2020
|
|
|
55,000
|
|
|
|
54,519
|
|
|
Reynolds Group, 8.25%, 2021
|
|
|
200,000
|
|
|
|
197,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
896,485
|
|
|
Defense Electronics - 0.5%
|
|
|
|
|
|
|
|
|
|
BAE Systems Holdings, Inc., 6.375%, 2019 (n)
|
|
$
|
300,000
|
|
|
$
|
342,338
|
|
|
Ducommun, Inc., 9.75%, 2018
|
|
|
100,000
|
|
|
|
110,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
452,838
|
|
|
Electrical Equipment - 0.5%
|
|
|
|
|
|
|
|
|
|
Arrow Electronics, Inc., 3%, 2018
|
|
$
|
105,000
|
|
|
$
|
104,748
|
|
|
Avaya, Inc., 9.75%, 2015
|
|
|
40,000
|
|
|
|
39,600
|
|
|
Avaya, Inc., 7%, 2019 (n)
|
|
|
25,000
|
|
|
|
22,875
|
|
|
Ericsson, Inc., 4.125%, 2022
|
|
|
298,000
|
|
|
|
292,058
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
459,281
|
|
4
Portfolio of Investments (unaudited) – continued
|
|
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
|
Electronics - 0.8%
|
|
|
|
|
|
|
|
|
|
Freescale Semiconductor, Inc., 9.25%, 2018 (n)
|
|
$
|
130,000
|
|
|
$
|
140,400
|
|
|
Nokia Corp., 5.375%, 2019
|
|
|
35,000
|
|
|
|
33,338
|
|
|
Nokia Corp., 6.625%, 2039
|
|
|
30,000
|
|
|
|
25,575
|
|
|
NXP B.V., 5.75%, 2023 (n)
|
|
|
200,000
|
|
|
|
197,000
|
|
|
Sensata Technologies B.V., 6.5%, 2019 (n)
|
|
|
260,000
|
|
|
|
276,900
|
|
|
Tyco Electronics Group S.A., 3.5%, 2022
|
|
|
126,000
|
|
|
|
119,862
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
793,075
|
|
|
Emerging Market Quasi-Sovereign - 3.5%
|
|
|
|
|
|
|
|
|
|
Comision Federal de Electricidad, 5.75%, 2042 (n)
|
|
$
|
202,000
|
|
|
$
|
180,790
|
|
|
Gaz Capital S.A., 3.85%, 2020 (n)
|
|
|
280,000
|
|
|
|
261,100
|
|
|
Gaz Capital S.A., 5.999%, 2021 (n)
|
|
|
342,000
|
|
|
|
347,130
|
|
|
Gaz Capital S.A., 4.95%, 2028 (n)
|
|
|
239,000
|
|
|
|
201,955
|
|
|
Korea Gas Corp., 2.25%, 2017 (n)
|
|
|
370,000
|
|
|
|
364,459
|
|
|
Petrobras Global Finance Co., 4.375%, 2023
|
|
|
16,000
|
|
|
|
14,000
|
|
|
Petrobras International Finance Co., 7.875%, 2019
|
|
|
163,000
|
|
|
|
183,483
|
|
|
Petrobras International Finance Co., 6.75%, 2041
|
|
|
167,000
|
|
|
|
155,146
|
|
|
Petroleos Mexicanos, 5.5%, 2021
|
|
|
178,000
|
|
|
|
188,502
|
|
|
Petroleos Mexicanos, 4.875%, 2022
|
|
|
110,000
|
|
|
|
110,825
|
|
|
Petroleos Mexicanos, 6.5%, 2041
|
|
|
127,000
|
|
|
|
126,365
|
|
|
PTT PLC, 3.375%, 2022 (n)
|
|
|
200,000
|
|
|
|
180,222
|
|
|
PTT PLC, 4.5%, 2042 (n)
|
|
|
200,000
|
|
|
|
156,975
|
|
|
Ras Laffan Liquefied Natural Gas Co. Ltd., 5.832%, 2016 (n)
|
|
|
154,151
|
|
|
|
163,400
|
|
|
Rosneft, 3.149%, 2017 (n)
|
|
|
200,000
|
|
|
|
197,000
|
|
|
Rosneft, 4.199%, 2022 (n)
|
|
|
285,000
|
|
|
|
255,075
|
|
|
Sinopec Capital (2013) Ltd., 3.125%, 2023 (n)
|
|
|
200,000
|
|
|
|
179,277
|
|
|
Sinopec Capital (2013) Ltd., 4.25%, 2043 (n)
|
|
|
200,000
|
|
|
|
166,563
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,432,267
|
|
|
Emerging Market Sovereign - 0.4%
|
|
|
|
|
|
|
|
|
|
Republic of Hungary, 5.375%, 2023
|
|
$
|
20,000
|
|
|
$
|
18,750
|
|
|
Republic of Philippines, 6.375%, 2034
|
|
|
126,000
|
|
|
|
142,695
|
|
|
Republic of Romania, 4.375%, 2023 (n)
|
|
|
14,000
|
|
|
|
13,081
|
|
|
Republic of Slovakia, 4.375%, 2022 (n)
|
|
|
200,000
|
|
|
|
199,000
|
|
|
Republic of Uruguay, 4.5%, 2024
|
|
|
27,000
|
|
|
|
25,988
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
399,514
|
|
|
Energy - Independent - 3.3%
|
|
|
|
|
|
|
|
|
|
Berry Petroleum Corp., 6.75%, 2020
|
|
$
|
20,000
|
|
|
$
|
20,300
|
|
|
BreitBurn Energy Partners LP, 8.625%, 2020
|
|
|
45,000
|
|
|
|
47,700
|
|
|
BreitBurn Energy Partners LP, 7.875%, 2022
|
|
|
55,000
|
|
|
|
54,450
|
|
|
Carrizo Oil & Gas, Inc., 8.625%, 2018
|
|
|
40,000
|
|
|
|
43,500
|
|
|
Carrizo Oil & Gas, Inc., 7.5%, 2020
|
|
|
45,000
|
|
|
|
47,475
|
|
|
Chaparral Energy, Inc., 7.625%, 2022
|
|
|
115,000
|
|
|
|
115,288
|
|
|
Chesapeake Energy Corp., 6.875%, 2020
|
|
|
85,000
|
|
|
|
92,013
|
|
|
Concho Resources, Inc., 6.5%, 2022
|
|
|
145,000
|
|
|
|
153,700
|
|
|
Concho Resources, Inc., 5.5%, 2023
|
|
|
60,000
|
|
|
|
58,200
|
|
|
Continental Resources, Inc., 8.25%, 2019
|
|
|
100,000
|
|
|
|
110,000
|
|
|
Continental Resources, Inc., 7.375%, 2020
|
|
|
35,000
|
|
|
|
38,413
|
|
|
Continental Resources, Inc., 4.5%, 2023
|
|
|
106,000
|
|
|
|
104,145
|
|
|
Denbury Resources, Inc., 8.25%, 2020
|
|
|
150,000
|
|
|
|
165,000
|
|
|
Denbury Resources, Inc., 4.625%, 2023
|
|
|
35,000
|
|
|
|
31,238
|
|
|
Energy XXI Gulf Coast, Inc., 9.25%, 2017
|
|
|
155,000
|
|
|
|
172,438
|
|
|
EP Energy LLC, 9.375%, 2020
|
|
|
150,000
|
|
|
|
165,000
|
|
|
EP Energy LLC, 7.75%, 2022
|
|
|
105,000
|
|
|
|
112,350
|
|
|
EPL Oil & Gas, Inc., 8.25%, 2018
|
|
|
75,000
|
|
|
|
78,938
|
|
5
Portfolio of Investments (unaudited) – continued
|
|
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
|
Energy - Independent - continued
|
|
|
|
|
|
|
|
|
|
EQT Corp., 4.875%, 2021
|
|
$
|
198,000
|
|
|
$
|
202,632
|
|
|
Halcon Resources Corp., 8.875%, 2021
|
|
|
90,000
|
|
|
|
90,225
|
|
|
Harvest Operations Corp., 6.875%, 2017
|
|
|
155,000
|
|
|
|
167,400
|
|
|
Hess Corp., 8.125%, 2019
|
|
|
120,000
|
|
|
|
149,464
|
|
|
Hilcorp Energy I/Hilcorp Finance Co., 8%, 2020 (n)
|
|
|
35,000
|
|
|
|
38,063
|
|
|
Laredo Petroleum, Inc., 9.5%, 2019
|
|
|
65,000
|
|
|
|
72,313
|
|
|
LINN Energy LLC, 7.75%, 2021
|
|
|
72,000
|
|
|
|
69,840
|
|
|
MEG Energy Corp., 6.5%, 2021 (n)
|
|
|
55,000
|
|
|
|
55,963
|
|
|
QEP Resources, Inc., 6.875%, 2021
|
|
|
180,000
|
|
|
|
195,300
|
|
|
Range Resources Corp., 8%, 2019
|
|
|
65,000
|
|
|
|
69,875
|
|
|
Range Resources Corp., 5%, 2022
|
|
|
85,000
|
|
|
|
83,088
|
|
|
Samson Investment Co., 10.25%, 2020 (n)
|
|
|
110,000
|
|
|
|
114,950
|
|
|
SandRidge Energy, Inc., 8.125%, 2022
|
|
|
100,000
|
|
|
|
100,500
|
|
|
SM Energy Co., 6.5%, 2021
|
|
|
90,000
|
|
|
|
94,500
|
|
|
Whiting Petroleum Corp., 6.5%, 2018
|
|
|
75,000
|
|
|
|
78,938
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,193,199
|
|
|
Energy - Integrated - 1.7%
|
|
|
|
|
|
|
|
|
|
BP Capital Markets PLC, 4.5%, 2020
|
|
$
|
106,000
|
|
|
$
|
113,073
|
|
|
BP Capital Markets PLC, 4.742%, 2021
|
|
|
240,000
|
|
|
|
257,432
|
|
|
Cenovus Energy, Inc., 4.5%, 2014
|
|
|
140,000
|
|
|
|
145,404
|
|
|
LUKOIL International Finance B.V., 3.416%, 2018 (n)
|
|
|
214,000
|
|
|
|
210,255
|
|
|
LUKOIL International Finance B.V., 4.563%, 2023 (n)
|
|
|
290,000
|
|
|
|
261,725
|
|
|
Pacific Rubiales Energy Corp., 7.25%, 2021 (n)
|
|
|
142,000
|
|
|
|
146,970
|
|
|
Petro-Canada, 6.05%, 2018
|
|
|
500,000
|
|
|
|
579,643
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,714,502
|
|
|
Engineering - Construction - 0.1%
|
|
|
|
|
|
|
|
|
|
BakerCorp International, Inc., 8.25%, 2019
|
|
$
|
85,000
|
|
|
$
|
84,788
|
|
|
|
|
|
|
Entertainment - 0.5%
|
|
|
|
|
|
|
|
|
|
AMC Entertainment, Inc., 8.75%, 2019
|
|
$
|
155,000
|
|
|
$
|
166,625
|
|
|
Cedar Fair LP, 9.125%, 2018
|
|
|
60,000
|
|
|
|
65,700
|
|
|
Cedar Fair LP, 5.25%, 2021 (n)
|
|
|
40,000
|
|
|
|
38,200
|
|
|
Cinemark USA, Inc., 5.125%, 2022
|
|
|
40,000
|
|
|
|
37,400
|
|
|
Cinemark USA, Inc., 4.875%, 2023
|
|
|
55,000
|
|
|
|
50,600
|
|
|
NAI Entertainment Holdings LLC, 8.25%, 2017 (n)
|
|
|
31,000
|
|
|
|
33,579
|
|
|
NAI Entertainment Holdings LLC, 5%, 2018 (n)
|
|
|
45,000
|
|
|
|
45,563
|
|
|
Six Flags Entertainment Corp., 5.25%, 2021 (n)
|
|
|
95,000
|
|
|
|
89,775
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
527,442
|
|
|
Financial Institutions - 4.1%
|
|
|
|
|
|
|
|
|
|
Aviation Capital Group, 4.625%, 2018 (n)
|
|
$
|
70,000
|
|
|
$
|
69,861
|
|
|
CIT Group, Inc., 5.25%, 2018
|
|
|
110,000
|
|
|
|
113,575
|
|
|
CIT Group, Inc., 6.625%, 2018 (n)
|
|
|
232,000
|
|
|
|
250,560
|
|
|
CIT Group, Inc., 5.5%, 2019 (n)
|
|
|
110,000
|
|
|
|
112,750
|
|
|
CIT Group, Inc., 5%, 2022
|
|
|
65,000
|
|
|
|
61,425
|
|
|
Credit Acceptance Corp., 9.125%, 2017
|
|
|
80,000
|
|
|
|
85,400
|
|
|
General Electric Capital Corp., 6%, 2019
|
|
|
130,000
|
|
|
|
149,814
|
|
|
General Electric Capital Corp., 5.5%, 2020
|
|
|
250,000
|
|
|
|
280,785
|
|
|
General Electric Capital Corp., 3.1%, 2023
|
|
|
265,000
|
|
|
|
244,998
|
|
|
General Electric Capital Corp., FRN, 1.12%, 2014
|
|
|
300,000
|
|
|
|
300,881
|
|
|
Icahn Enterprises LP, 7.75%, 2016
|
|
|
20,000
|
|
|
|
20,725
|
|
|
Icahn Enterprises LP, 8%, 2018
|
|
|
121,000
|
|
|
|
127,353
|
|
|
Icahn Enterprises LP, 6%, 2020 (n)
|
|
|
50,000
|
|
|
|
49,750
|
|
|
International Lease Finance Corp., 4.875%, 2015
|
|
|
45,000
|
|
|
|
46,238
|
|
6
Portfolio of Investments (unaudited) – continued
|
|
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
|
Financial Institutions - continued
|
|
|
|
|
|
|
|
|
|
International Lease Finance Corp., 8.625%, 2015
|
|
$
|
45,000
|
|
|
$
|
49,388
|
|
|
International Lease Finance Corp., 7.125%, 2018 (n)
|
|
|
152,000
|
|
|
|
168,720
|
|
|
LeasePlan Corp. N.V., 3%, 2017 (n)
|
|
|
280,000
|
|
|
|
279,524
|
|
|
LeasePlan Corp. N.V., 2.5%, 2018 (n)
|
|
|
200,000
|
|
|
|
192,684
|
|
|
Nationstar Mortgage LLC/Capital Corp., 10.875%, 2015
|
|
|
65,000
|
|
|
|
68,088
|
|
|
Nationstar Mortgage LLC/Capital Corp., 6.5%, 2018
|
|
|
40,000
|
|
|
|
40,400
|
|
|
Nationstar Mortgage LLC/Capital Corp., 9.625%, 2019
|
|
|
35,000
|
|
|
|
39,200
|
|
|
Nationstar Mortgage LLC/Capital Corp., 7.875%, 2020
|
|
|
120,000
|
|
|
|
126,600
|
|
|
NYSE Euronext, 2%, 2017
|
|
|
224,000
|
|
|
|
222,626
|
|
|
PHH Corp., 7.375%, 2019
|
|
|
165,000
|
|
|
|
175,313
|
|
|
PHH Corp., 6.375%, 2021
|
|
|
40,000
|
|
|
|
39,400
|
|
|
SLM Corp., 8.45%, 2018
|
|
|
170,000
|
|
|
|
193,800
|
|
|
SLM Corp., 8%, 2020
|
|
|
220,000
|
|
|
|
239,250
|
|
|
SLM Corp., 7.25%, 2022
|
|
|
60,000
|
|
|
|
61,350
|
|
|
TMK Capital S.A., 6.75%, 2020 (n)
|
|
|
256,000
|
|
|
|
245,760
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,056,218
|
|
|
Food & Beverages - 2.5%
|
|
|
|
|
|
|
|
|
|
Anheuser-Busch InBev S.A., 7.75%, 2019
|
|
$
|
370,000
|
|
|
$
|
462,923
|
|
|
ARAMARK Corp., 5.75%, 2020 (n)
|
|
|
30,000
|
|
|
|
30,600
|
|
|
B&G Foods, Inc., 4.625%, 2021
|
|
|
45,000
|
|
|
|
41,794
|
|
|
BRF S.A., 3.95%, 2023 (n)
|
|
|
307,000
|
|
|
|
262,025
|
|
|
Conagra Foods, Inc., 3.2%, 2023
|
|
|
238,000
|
|
|
|
222,339
|
|
|
Constellation Brands, Inc., 3.75%, 2021
|
|
|
10,000
|
|
|
|
9,250
|
|
|
Constellation Brands, Inc., 4.25%, 2023
|
|
|
25,000
|
|
|
|
22,938
|
|
|
Kraft Foods Group, Inc., 6.125%, 2018
|
|
|
130,000
|
|
|
|
151,831
|
|
|
Mead Johnson Nutrition Co., “A”, 4.9%, 2019
|
|
|
85,000
|
|
|
|
93,224
|
|
|
Mondelez International, Inc., 6.75%, 2014
|
|
|
150,000
|
|
|
|
154,138
|
|
|
Pernod Ricard S.A., 5.75%, 2021 (n)
|
|
|
156,000
|
|
|
|
173,505
|
|
|
Pinnacle Foods Finance LLC, 4.875%, 2021 (n)
|
|
|
50,000
|
|
|
|
46,500
|
|
|
SABMiller Holdings, Inc., 3.75%, 2022 (n)
|
|
|
414,000
|
|
|
|
415,489
|
|
|
Sun Merger Sub, Inc., 5.875%, 2021 (n)
|
|
|
50,000
|
|
|
|
49,875
|
|
|
TreeHouse Foods, Inc., 7.75%, 2018
|
|
|
80,000
|
|
|
|
84,800
|
|
|
Tyson Foods, Inc., 4.5%, 2022
|
|
|
202,000
|
|
|
|
207,775
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,429,006
|
|
|
Food & Drug Stores - 0.2%
|
|
|
|
|
|
|
|
|
|
CVS Caremark Corp., 3.25%, 2015
|
|
$
|
180,000
|
|
|
$
|
187,120
|
|
|
|
|
|
|
Forest & Paper Products - 0.7%
|
|
|
|
|
|
|
|
|
|
Boise, Inc., 8%, 2020
|
|
$
|
95,000
|
|
|
$
|
101,888
|
|
|
Georgia-Pacific LLC, 3.734%, 2023 (n)
|
|
|
333,000
|
|
|
|
323,721
|
|
|
Graphic Packaging Holding Co., 7.875%, 2018
|
|
|
60,000
|
|
|
|
65,250
|
|
|
Smurfit Kappa Group PLC, 7.75%, 2019 (n)
|
|
EUR
|
100,000
|
|
|
|
143,079
|
|
|
Tembec Industries, Inc., 11.25%, 2018
|
|
$
|
40,000
|
|
|
|
43,400
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
677,338
|
|
|
Gaming & Lodging - 1.4%
|
|
|
|
|
|
|
|
|
|
Caesars Entertainment Operating Co., Inc., 8.5%, 2020
|
|
$
|
50,000
|
|
|
$
|
47,750
|
|
|
Chester Downs & Marina LLC, 9.25%, 2020 (n)
|
|
|
50,000
|
|
|
|
49,875
|
|
|
CityCenter Holdings LLC, 10.75%, 2017 (p)
|
|
|
35,000
|
|
|
|
37,713
|
|
|
Fontainebleau Las Vegas Holdings LLC, 10.25%, 2015 (a)(d)(n)
|
|
|
115,000
|
|
|
|
72
|
|
|
GWR Operating Partnership LLP, 10.875%, 2017
|
|
|
50,000
|
|
|
|
55,650
|
|
|
Host Hotels & Resorts, Inc., REIT, 5.25%, 2022
|
|
|
25,000
|
|
|
|
25,729
|
|
|
Hyatt Hotels Corp., 3.375%, 2023
|
|
|
145,000
|
|
|
|
133,972
|
|
|
Isle of Capri Casinos, Inc., 8.875%, 2020
|
|
|
85,000
|
|
|
|
87,975
|
|
7
Portfolio of Investments (unaudited) – continued
|
|
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
|
Gaming & Lodging - continued
|
|
|
|
|
|
|
|
|
|
MGM Resorts International, 11.375%, 2018
|
|
$
|
105,000
|
|
|
$
|
131,250
|
|
|
MGM Resorts International, 6.625%, 2021
|
|
|
35,000
|
|
|
|
35,525
|
|
|
NCL Corp., 5%, 2018 (n)
|
|
|
30,000
|
|
|
|
29,625
|
|
|
Peninsula Gaming LLC, 8.375%, 2018 (n)
|
|
|
20,000
|
|
|
|
21,500
|
|
|
Penn National Gaming, Inc., 8.75%, 2019
|
|
|
125,000
|
|
|
|
136,875
|
|
|
Pinnacle Entertainment, Inc., 8.75%, 2020
|
|
|
70,000
|
|
|
|
75,600
|
|
|
PNK Finance Corp., 6.375%, 2021 (n)
|
|
|
60,000
|
|
|
|
59,850
|
|
|
Ryman Hospitality Properties, Inc., REIT, 5%, 2021 (n)
|
|
|
40,000
|
|
|
|
37,200
|
|
|
Seven Seas Cruises S. DE R.L., 9.125%, 2019
|
|
|
135,000
|
|
|
|
146,475
|
|
|
Viking Cruises Ltd., 8.5%, 2022 (n)
|
|
|
65,000
|
|
|
|
71,013
|
|
|
Wynn Las Vegas LLC, 7.75%, 2020
|
|
|
140,000
|
|
|
|
156,450
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,340,099
|
|
|
Industrial - 1.2%
|
|
|
|
|
|
|
|
|
|
Cornell University, 4.35%, 2014
|
|
$
|
240,000
|
|
|
$
|
243,954
|
|
|
Dematic S.A., 7.75%, 2020 (n)
|
|
|
165,000
|
|
|
|
170,363
|
|
|
Johns Hopkins University, 5.25%, 2019
|
|
|
235,000
|
|
|
|
267,382
|
|
|
Mueller Water Products, Inc., 8.75%, 2020
|
|
|
63,000
|
|
|
|
68,670
|
|
|
Princeton University, 4.95%, 2019
|
|
|
310,000
|
|
|
|
352,287
|
|
|
SPL Logistics Escrow LLC, 8.875%, 2020 (n)
|
|
|
90,000
|
|
|
|
94,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,197,156
|
|
|
Insurance - 2.9%
|
|
|
|
|
|
|
|
|
|
American International Group, Inc., 5.85%, 2018
|
|
$
|
200,000
|
|
|
$
|
225,609
|
|
|
American International Group, Inc., 3.375%, 2020
|
|
|
250,000
|
|
|
|
247,023
|
|
|
ING U.S., Inc., 2.9%, 2018
|
|
|
164,000
|
|
|
|
162,193
|
|
|
ING U.S., Inc., 5.7%, 2043 (n)
|
|
|
197,000
|
|
|
|
192,707
|
|
|
MetLife, Inc., 1.756%, 2017
|
|
|
82,000
|
|
|
|
80,791
|
|
|
Metropolitan Life Global Funding I, 5.125%, 2014 (n)
|
|
|
180,000
|
|
|
|
186,410
|
|
|
Principal Financial Group, Inc., 8.875%, 2019
|
|
|
250,000
|
|
|
|
322,737
|
|
|
Prudential Financial, Inc., 6.2%, 2015
|
|
|
450,000
|
|
|
|
481,591
|
|
|
Prudential Financial, Inc., 5.1%, 2043
|
|
|
400,000
|
|
|
|
399,683
|
|
|
Unum Group, 7.125%, 2016
|
|
|
445,000
|
|
|
|
507,894
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,806,638
|
|
|
Insurance - Property & Casualty - 3.0%
|
|
|
|
|
|
|
|
|
|
Aon Corp., 3.5%, 2015
|
|
$
|
350,000
|
|
|
$
|
366,819
|
|
|
AXIS Capital Holdings Ltd., 5.75%, 2014
|
|
|
400,000
|
|
|
|
422,800
|
|
|
CNA Financial Corp., 5.875%, 2020
|
|
|
390,000
|
|
|
|
441,033
|
|
|
Liberty Mutual Group, Inc., 4.95%, 2022 (n)
|
|
|
299,000
|
|
|
|
307,479
|
|
|
Liberty Mutual Group, Inc., 10.75% to 2038, FRN to 2088 (n)
|
|
|
150,000
|
|
|
|
222,000
|
|
|
PartnerRe Ltd., 5.5%, 2020
|
|
|
257,000
|
|
|
|
279,572
|
|
|
QBE Capital Funding III Ltd., FRN, 7.25%, 2041 (n)
|
|
|
310,000
|
|
|
|
327,050
|
|
|
ZFS Finance USA Trust V, FRN, 6.5% to 2017, FRN to 2067 (n)
|
|
|
500,000
|
|
|
|
528,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,895,503
|
|
|
International Market Quasi-Sovereign - 1.8%
|
|
|
|
|
|
|
|
|
|
EDF Energies Nouvelles S.A., 6.5%, 2019 (n)
|
|
$
|
450,000
|
|
|
$
|
533,327
|
|
|
Eksportfinans A.S.A., 5.5%, 2016
|
|
|
295,000
|
|
|
|
307,538
|
|
|
Eksportfinans A.S.A., 5.5%, 2017
|
|
|
80,000
|
|
|
|
82,900
|
|
|
Israel Electric Corp. Ltd., 6.7%, 2017 (n)
|
|
|
236,000
|
|
|
|
251,340
|
|
|
Israel Electric Corp. Ltd., 5.625%, 2018 (n)
|
|
|
354,000
|
|
|
|
360,726
|
|
|
Westpac Banking Corp., 3.45%, 2014 (n)
|
|
|
220,000
|
|
|
|
226,013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,761,844
|
|
8
Portfolio of Investments (unaudited) – continued
|
|
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
|
International Market Sovereign - 7.5%
|
|
|
|
|
|
|
|
|
|
Commonwealth of Australia, 5.75%, 2021
|
|
AUD
|
104,000
|
|
|
$
|
105,293
|
|
|
Federal Republic of Germany, 4.25%, 2018
|
|
EUR
|
202,000
|
|
|
|
310,276
|
|
|
Federal Republic of Germany, 6.25%, 2030
|
|
EUR
|
168,000
|
|
|
|
335,143
|
|
|
Government of Canada, 4.5%, 2015
|
|
CAD
|
171,000
|
|
|
|
171,625
|
|
|
Government of Canada, 4.25%, 2018
|
|
CAD
|
132,000
|
|
|
|
138,632
|
|
|
Government of Canada, 5.75%, 2033
|
|
CAD
|
31,000
|
|
|
|
41,317
|
|
|
Government of Japan, 1.1%, 2020
|
|
JPY
|
34,000,000
|
|
|
|
361,318
|
|
|
Government of Japan, 2.1%, 2024
|
|
JPY
|
16,100,000
|
|
|
|
185,979
|
|
|
Government of Japan, 2.2%, 2027
|
|
JPY
|
38,500,000
|
|
|
|
446,764
|
|
|
Government of Japan, 2.4%, 2037
|
|
JPY
|
39,800,000
|
|
|
|
460,205
|
|
|
Government of Japan, 1.8%, 2043
|
|
JPY
|
13,000,000
|
|
|
|
133,064
|
|
|
Kingdom of Belgium, 5.5%, 2017
|
|
EUR
|
236,000
|
|
|
|
365,243
|
|
|
Kingdom of Denmark, 3%, 2021
|
|
DKK
|
467,000
|
|
|
|
90,876
|
|
|
Kingdom of Spain, 4.6%, 2019
|
|
EUR
|
378,000
|
|
|
|
524,217
|
|
|
Kingdom of Sweden, 5%, 2020
|
|
SEK
|
315,000
|
|
|
|
56,432
|
|
|
Kingdom of the Netherlands, 5.5%, 2028
|
|
EUR
|
50,000
|
|
|
|
88,465
|
|
|
Republic of Austria, 4.65%, 2018
|
|
EUR
|
158,000
|
|
|
|
240,666
|
|
|
Republic of Finland, 3.875%, 2017
|
|
EUR
|
46,000
|
|
|
|
67,952
|
|
|
Republic of France, 6%, 2025
|
|
EUR
|
96,000
|
|
|
|
169,170
|
|
|
Republic of France, 4.75%, 2035
|
|
EUR
|
229,000
|
|
|
|
368,274
|
|
|
Republic of Iceland, 4.875%, 2016 (n)
|
|
$
|
166,000
|
|
|
|
172,640
|
|
|
Republic of Ireland, 4.6%, 2016
|
|
EUR
|
149,000
|
|
|
|
210,515
|
|
|
Republic of Ireland, 4.5%, 2020
|
|
EUR
|
68,000
|
|
|
|
93,233
|
|
|
Republic of Italy, 4.25%, 2015
|
|
EUR
|
199,000
|
|
|
|
273,107
|
|
|
Republic of Italy, 5.25%, 2017
|
|
EUR
|
595,000
|
|
|
|
851,966
|
|
|
Republic of Italy, 3.75%, 2021
|
|
EUR
|
341,000
|
|
|
|
451,539
|
|
|
United Kingdom Treasury, 8%, 2021
|
|
GBP
|
169,000
|
|
|
|
369,370
|
|
|
United Kingdom Treasury, 4.25%, 2036
|
|
GBP
|
157,000
|
|
|
|
273,671
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
7,356,952
|
|
|
Internet - 0.4%
|
|
|
|
|
|
|
|
|
|
Baidu, Inc., 3.25%, 2018
|
|
$
|
205,000
|
|
|
$
|
202,447
|
|
|
Baidu, Inc., 3.5%, 2022
|
|
|
200,000
|
|
|
|
182,195
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
384,642
|
|
|
Local Authorities - 0.7%
|
|
|
|
|
|
|
|
|
|
Louisiana Gas & Fuels Tax Rev. (Build America Bonds), FRN, 3%, 2043
|
|
$
|
310,000
|
|
|
$
|
310,577
|
|
|
State of Illinois (Build America Bonds), 6.725%, 2035
|
|
|
345,000
|
|
|
|
343,479
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
654,056
|
|
|
Machinery & Tools - 1.1%
|
|
|
|
|
|
|
|
|
|
Case New Holland, Inc., 7.875%, 2017
|
|
$
|
405,000
|
|
|
$
|
465,750
|
|
|
CNH America LLC, 7.25%, 2016
|
|
|
50,000
|
|
|
|
54,500
|
|
|
CNH Capital LLC, 3.875%, 2015
|
|
|
20,000
|
|
|
|
20,400
|
|
|
CNH Capital LLC, 3.625%, 2018
|
|
|
75,000
|
|
|
|
73,500
|
|
|
H&E Equipment Services Co., 7%, 2022
|
|
|
90,000
|
|
|
|
95,625
|
|
|
NESCO LLC/NESCO Holdings Corp., 11.75%, 2017 (n)
|
|
|
125,000
|
|
|
|
139,375
|
|
|
RSC Equipment Rental, Inc., 8.25%, 2021
|
|
|
115,000
|
|
|
|
127,075
|
|
|
United Rentals North America, Inc., 5.75%, 2018
|
|
|
45,000
|
|
|
|
48,038
|
|
|
United Rentals North America, Inc., 7.625%, 2022
|
|
|
45,000
|
|
|
|
48,375
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,072,638
|
|
|
Major Banks - 10.4%
|
|
|
|
|
|
|
|
|
|
ABN AMRO Bank N.V., 3%, 2014 (n)
|
|
$
|
400,000
|
|
|
$
|
403,599
|
|
|
ABN AMRO Bank N.V., 4.25%, 2017 (n)
|
|
|
400,000
|
|
|
|
425,796
|
|
|
Bank of America Corp., 7.375%, 2014
|
|
|
280,000
|
|
|
|
292,890
|
|
9
Portfolio of Investments (unaudited) – continued
|
|
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
|
Major Banks - continued
|
|
|
|
|
|
|
|
|
|
Bank of America Corp., 6.5%, 2016
|
|
$
|
430,000
|
|
|
$
|
484,911
|
|
|
Bank of America Corp., 3.3%, 2023
|
|
|
501,000
|
|
|
|
463,140
|
|
|
Bank of America Corp., FRN, 5.2%, 2049
|
|
|
105,000
|
|
|
|
93,188
|
|
|
Barclays Bank PLC, 5.125%, 2020
|
|
|
340,000
|
|
|
|
374,022
|
|
|
Barclays Bank PLC, FRN, 1.308%, 2014
|
|
|
190,000
|
|
|
|
190,682
|
|
|
BNP Paribas, 2.7%, 2018
|
|
|
400,000
|
|
|
|
398,386
|
|
|
Commonwealth Bank of Australia, 5%, 2019 (n)
|
|
|
320,000
|
|
|
|
355,898
|
|
|
Credit Suisse Group AG, 6.5%, 2023 (n)
|
|
|
360,000
|
|
|
|
363,096
|
|
|
Credit Suisse New York, FRN, 1.228%, 2014
|
|
|
250,000
|
|
|
|
250,787
|
|
|
DBS Bank Ltd., 2.35%, 2017 (n)
|
|
|
400,000
|
|
|
|
403,916
|
|
|
Goldman Sachs Group, Inc., 5.125%, 2015
|
|
|
200,000
|
|
|
|
210,526
|
|
|
Goldman Sachs Group, Inc., 5.75%, 2022
|
|
|
409,000
|
|
|
|
449,183
|
|
|
HSBC Holdings PLC, 4%, 2022
|
|
|
352,000
|
|
|
|
355,069
|
|
|
HSBC USA, Inc., 4.875%, 2020
|
|
|
360,000
|
|
|
|
383,971
|
|
|
ING Bank N.V., 3.75%, 2017 (n)
|
|
|
407,000
|
|
|
|
423,011
|
|
|
JPMorgan Chase & Co., 2%, 2017
|
|
|
150,000
|
|
|
|
149,110
|
|
|
JPMorgan Chase & Co., 4.625%, 2021
|
|
|
360,000
|
|
|
|
380,857
|
|
|
Macquarie Bank Ltd., 5%, 2017 (n)
|
|
|
167,000
|
|
|
|
180,226
|
|
|
Macquarie Group Ltd., 6%, 2020 (n)
|
|
|
230,000
|
|
|
|
247,788
|
|
|
Merrill Lynch & Co., Inc., 6.4%, 2017
|
|
|
40,000
|
|
|
|
45,610
|
|
|
Morgan Stanley, 6%, 2014
|
|
|
160,000
|
|
|
|
165,054
|
|
|
Morgan Stanley, 7.3%, 2019
|
|
|
110,000
|
|
|
|
130,217
|
|
|
Morgan Stanley, 5.625%, 2019
|
|
|
180,000
|
|
|
|
198,139
|
|
|
Morgan Stanley, FRN, 1.864%, 2014
|
|
|
260,000
|
|
|
|
261,064
|
|
|
Morgan Stanley, FRN, 1.512%, 2016
|
|
|
270,000
|
|
|
|
271,330
|
|
|
Royal Bank of Scotland Group PLC, 7.648% to 2031, FRN to 2049
|
|
|
210,000
|
|
|
|
204,750
|
|
|
Royal Bank of Scotland PLC, 2.55%, 2015
|
|
|
94,000
|
|
|
|
95,832
|
|
|
Santander International Debt S.A., 2.991%, 2013 (n)
|
|
|
500,000
|
|
|
|
500,935
|
|
|
Santander U.S. Debt S.A.U., 3.724%, 2015 (n)
|
|
|
100,000
|
|
|
|
101,339
|
|
|
Standard Chartered PLC, 3.85%, 2015 (n)
|
|
|
290,000
|
|
|
|
302,154
|
|
|
Wells Fargo & Co., 7.98% to 2018, FRN to 2049
|
|
|
141,000
|
|
|
|
157,215
|
|
|
Westpac Banking Corp., 2%, 2017
|
|
|
450,000
|
|
|
|
449,870
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
10,163,561
|
|
|
Medical & Health Technology & Services - 2.7%
|
|
|
|
|
|
|
|
|
|
AmSurg Corp., 5.625%, 2020
|
|
$
|
75,000
|
|
|
$
|
75,750
|
|
|
Cardinal Health, Inc., 5.8%, 2016
|
|
|
279,000
|
|
|
|
314,905
|
|
|
Davita, Inc., 6.375%, 2018
|
|
|
160,000
|
|
|
|
168,000
|
|
|
Davita, Inc., 6.625%, 2020
|
|
|
140,000
|
|
|
|
148,400
|
|
|
Fresenius Medical Care AG & Co. KGaA, 9%, 2015 (n)
|
|
|
65,000
|
|
|
|
72,394
|
|
|
Fresenius Medical Care Capital Trust III, 5.625%, 2019 (n)
|
|
|
75,000
|
|
|
|
77,250
|
|
|
Fresenius Medical Care Capital Trust III, 5.875%, 2022 (n)
|
|
|
85,000
|
|
|
|
86,488
|
|
|
HCA, Inc., 8.5%, 2019
|
|
|
240,000
|
|
|
|
259,200
|
|
|
HCA, Inc., 7.25%, 2020
|
|
|
80,000
|
|
|
|
87,100
|
|
|
HCA, Inc., 7.5%, 2022
|
|
|
170,000
|
|
|
|
184,875
|
|
|
HCA, Inc., 5.875%, 2022
|
|
|
90,000
|
|
|
|
92,925
|
|
|
HealthSouth Corp., 8.125%, 2020
|
|
|
170,000
|
|
|
|
186,150
|
|
|
IASIS Healthcare LLC/IASIS Capital Corp., 8.375%, 2019
|
|
|
100,000
|
|
|
|
104,750
|
|
|
Kinetic Concepts, Inc., 12.5%, 2019
|
|
|
50,000
|
|
|
|
52,063
|
|
|
McKesson Corp., 3.25%, 2016
|
|
|
340,000
|
|
|
|
357,241
|
|
|
Tenet Healthcare Corp., 9.25%, 2015
|
|
|
65,000
|
|
|
|
71,175
|
|
|
Tenet Healthcare Corp., 8%, 2020
|
|
|
95,000
|
|
|
|
98,681
|
|
|
Tenet Healthcare Corp., 4.5%, 2021 (n)
|
|
|
75,000
|
|
|
|
69,000
|
|
|
Universal Health Services, Inc., 7%, 2018
|
|
|
70,000
|
|
|
|
73,588
|
|
|
Universal Health Services, Inc., 7.625%, 2020
|
|
|
105,000
|
|
|
|
109,200
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,689,135
|
|
10
Portfolio of Investments (unaudited) – continued
|
|
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
|
Medical Equipment - 0.2%
|
|
|
|
|
|
|
|
|
|
Biomet, Inc., 6.5%, 2020
|
|
$
|
70,000
|
|
|
$
|
71,750
|
|
|
Physio-Control International, Inc., 9.875%, 2019 (n)
|
|
|
52,000
|
|
|
|
57,460
|
|
|
Teleflex, Inc., 6.875%, 2019
|
|
|
85,000
|
|
|
|
89,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
218,460
|
|
|
Metals & Mining - 2.5%
|
|
|
|
|
|
|
|
|
|
ArcelorMittal S.A., 6.75%, 2022
|
|
$
|
30,000
|
|
|
$
|
30,525
|
|
|
ArcelorMittal S.A., 7.25%, 2041
|
|
|
75,000
|
|
|
|
67,313
|
|
|
Arch Coal, Inc., 7.25%, 2020
|
|
|
75,000
|
|
|
|
57,750
|
|
|
Barrick Gold Corp., 4.1%, 2023 (n)
|
|
|
416,000
|
|
|
|
365,680
|
|
|
Barrick International (Barbados) Corp., 5.75%, 2016 (n)
|
|
|
109,000
|
|
|
|
115,978
|
|
|
Boart Longyear Ltd., 7%, 2021 (n)
|
|
|
20,000
|
|
|
|
16,200
|
|
|
Century Aluminum Co., 7.5%, 2021 (n)
|
|
|
90,000
|
|
|
|
84,375
|
|
|
Commercial Metals Co., 4.875%, 2023
|
|
|
35,000
|
|
|
|
31,675
|
|
|
Consol Energy, Inc., 8%, 2017
|
|
|
165,000
|
|
|
|
174,075
|
|
|
Consol Energy, Inc., 8.25%, 2020
|
|
|
65,000
|
|
|
|
68,900
|
|
|
Fortescue Metals Group Ltd., 8.25%, 2019 (n)
|
|
|
95,000
|
|
|
|
101,413
|
|
|
Freeport-McMoRan Copper & Gold, Inc., 2.375%, 2018 (n)
|
|
|
150,000
|
|
|
|
140,174
|
|
|
Freeport-McMoRan Copper & Gold, Inc., 3.1%, 2020 (n)
|
|
|
250,000
|
|
|
|
226,555
|
|
|
Glencore Funding LLC, FRN, 1.422%, 2016 (n)
|
|
|
470,000
|
|
|
|
453,621
|
|
|
Peabody Energy Corp., 6%, 2018
|
|
|
40,000
|
|
|
|
39,800
|
|
|
Peabody Energy Corp., 6.25%, 2021
|
|
|
40,000
|
|
|
|
38,600
|
|
|
Plains Exploration & Production Co., 6.125%, 2019
|
|
|
110,000
|
|
|
|
116,090
|
|
|
Plains Exploration & Production Co., 6.5%, 2020
|
|
|
35,000
|
|
|
|
37,259
|
|
|
Southern Copper Corp., 5.25%, 2042
|
|
|
40,000
|
|
|
|
30,835
|
|
|
Vale Overseas Ltd., 4.375%, 2022
|
|
|
141,000
|
|
|
|
131,208
|
|
|
Walter Energy, Inc., 8.5%, 2021 (n)
|
|
|
100,000
|
|
|
|
78,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,406,526
|
|
|
Miscellaneous Revenue - Other - 0.4%
|
|
|
|
|
|
|
|
|
|
Florida Hurricane Catastrophe Fund Finance Corp. Rev, “A”, 2.107%, 2018
|
|
$
|
390,000
|
|
|
$
|
375,539
|
|
|
|
|
|
|
Mortgage-Backed - 1.0%
|
|
|
|
|
|
|
|
|
|
Fannie Mae, 6.5%, 2036 (f)
|
|
$
|
205,565
|
|
|
$
|
230,555
|
|
|
Fannie Mae, 6%, 2037
|
|
|
134,699
|
|
|
|
147,051
|
|
|
Freddie Mac, 4.224%, 2020
|
|
|
275,759
|
|
|
|
296,076
|
|
|
Ginnie Mae, 9%, 2016
|
|
|
16,787
|
|
|
|
17,987
|
|
|
Ginnie Mae, 6.357%, 2058
|
|
|
270,973
|
|
|
|
286,707
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
978,376
|
|
|
Municipals - 0.0%
|
|
|
|
|
|
|
|
|
|
New Jersey Tobacco Settlement Financing Corp., “1-A”, 4.5%, 2023
|
|
$
|
45,000
|
|
|
$
|
40,534
|
|
|
|
|
|
|
Natural Gas - Distribution - 0.6%
|
|
|
|
|
|
|
|
|
|
AmeriGas Finance LLC, 6.75%, 2020
|
|
$
|
130,000
|
|
|
$
|
137,800
|
|
|
Ferrellgas LP/Ferrellgas Finance Corp., 6.5%, 2021
|
|
|
55,000
|
|
|
|
55,000
|
|
|
GDF Suez, 1.625%, 2017 (n)
|
|
|
380,000
|
|
|
|
374,600
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
567,400
|
|
|
Natural Gas - Pipeline - 3.1%
|
|
|
|
|
|
|
|
|
|
Access Midstream Partners Co., 5.875%, 2021
|
|
$
|
30,000
|
|
|
$
|
30,825
|
|
|
Access Midstream Partners Co., 4.875%, 2023
|
|
|
90,000
|
|
|
|
83,700
|
|
|
Atlas Pipeline Partners LP, 4.75%, 2021 (n)
|
|
|
25,000
|
|
|
|
22,250
|
|
|
Colorado Interstate Gas Co., 6.8%, 2015
|
|
|
32,000
|
|
|
|
35,852
|
|
|
Crosstex Energy, Inc., 8.875%, 2018
|
|
|
145,000
|
|
|
|
154,063
|
|
|
DCP Midstream LLC, 3.875%, 2023
|
|
|
254,000
|
|
|
|
232,201
|
|
11
Portfolio of Investments (unaudited) – continued
|
|
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
|
Natural Gas - Pipeline - continued
|
|
|
|
|
|
|
|
|
|
El Paso Corp., 7%, 2017
|
|
$
|
95,000
|
|
|
$
|
105,854
|
|
|
El Paso Corp., 7.75%, 2032
|
|
|
225,000
|
|
|
|
236,173
|
|
|
Energy Transfer Equity LP, 7.5%, 2020
|
|
|
125,000
|
|
|
|
136,250
|
|
|
Energy Transfer Partners LP, 6.5%, 2042
|
|
|
348,000
|
|
|
|
375,127
|
|
|
Enterprise Products Partners LP, 6.3%, 2017
|
|
|
400,000
|
|
|
|
461,252
|
|
|
Enterprise Products Partners LP, 7.034% to 2018, FRN to 2068
|
|
|
38,000
|
|
|
|
42,180
|
|
|
Inergy Midstream LP, 6%, 2020 (n)
|
|
|
80,000
|
|
|
|
79,000
|
|
|
Kinder Morgan Energy Partners LP, 6.375%, 2041
|
|
|
360,000
|
|
|
|
397,551
|
|
|
MarkWest Energy Partners LP, 4.5%, 2023
|
|
|
126,000
|
|
|
|
114,660
|
|
|
Sabine Pass Liquefaction, 5.625%, 2023 (n)
|
|
|
200,000
|
|
|
|
185,500
|
|
|
Summit Midstream Holdings LLC, 7.5%, 2021 (n)
|
|
|
40,000
|
|
|
|
40,600
|
|
|
Sunoco Logistics Partner LP, 3.45%, 2023
|
|
|
246,000
|
|
|
|
227,339
|
|
|
Williams Cos., Inc., 3.7%, 2023
|
|
|
116,000
|
|
|
|
104,273
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,064,650
|
|
|
Network & Telecom - 1.2%
|
|
|
|
|
|
|
|
|
|
Centurylink, Inc., 6.45%, 2021
|
|
$
|
20,000
|
|
|
$
|
19,900
|
|
|
Centurylink, Inc., 7.65%, 2042
|
|
|
267,000
|
|
|
|
240,300
|
|
|
Citizens Communications Co., 9%, 2031
|
|
|
85,000
|
|
|
|
82,450
|
|
|
France Telecom, 4.375%, 2014
|
|
|
240,000
|
|
|
|
247,115
|
|
|
Frontier Communications Corp., 8.125%, 2018
|
|
|
50,000
|
|
|
|
55,000
|
|
|
Qwest Corp., 7.5%, 2014
|
|
|
1,000
|
|
|
|
1,061
|
|
|
TW Telecom Holdings, Inc., 5.375%, 2022 (z)
|
|
|
30,000
|
|
|
|
28,575
|
|
|
TW Telecom Holdings, Inc., 5.375%, 2022
|
|
|
35,000
|
|
|
|
33,338
|
|
|
Verizon Communications, Inc., 8.75%, 2018
|
|
|
286,000
|
|
|
|
365,448
|
|
|
Windstream Corp., 8.125%, 2018
|
|
|
15,000
|
|
|
|
16,088
|
|
|
Windstream Corp., 7.75%, 2020
|
|
|
85,000
|
|
|
|
86,913
|
|
|
Windstream Corp., 7.75%, 2021
|
|
|
25,000
|
|
|
|
25,563
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,201,751
|
|
|
Oil Services - 1.2%
|
|
|
|
|
|
|
|
|
|
Bristow Group, Inc., 6.25%, 2022
|
|
$
|
105,000
|
|
|
$
|
107,625
|
|
|
Chesapeake Oilfield Operating LLC, 6.625%, 2019
|
|
|
35,000
|
|
|
|
35,175
|
|
|
Dresser-Rand Group, Inc., 6.5%, 2021
|
|
|
40,000
|
|
|
|
42,500
|
|
|
Edgen Murray Corp., 8.75%, 2020 (n)
|
|
|
110,000
|
|
|
|
110,000
|
|
|
Pacific Drilling S.A., 5.375%, 2020 (n)
|
|
|
50,000
|
|
|
|
48,250
|
|
|
Shale-Inland Holdings LLC/Finance Co., 8.75%, 2019 (n)
|
|
|
120,000
|
|
|
|
123,600
|
|
|
Transocean, Inc., 2.5%, 2017
|
|
|
139,000
|
|
|
|
137,723
|
|
|
Transocean, Inc., 6%, 2018
|
|
|
400,000
|
|
|
|
445,473
|
|
|
Unit Corp., 6.625%, 2021
|
|
|
105,000
|
|
|
|
107,100
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,157,446
|
|
|
Other Banks & Diversified Financials - 6.5%
|
|
|
|
|
|
|
|
|
|
Abbey National Treasury Services PLC, 3.05%, 2018
|
|
$
|
135,000
|
|
|
$
|
135,510
|
|
|
Ally Financial, Inc., 5.5%, 2017
|
|
|
225,000
|
|
|
|
237,179
|
|
|
Ally Financial, Inc., 6.25%, 2017
|
|
|
50,000
|
|
|
|
53,614
|
|
|
Banco GNB Sudameris S.A., 3.875%, 2018 (n)
|
|
|
28,000
|
|
|
|
25,620
|
|
|
Bancolombia S.A., 5.95%, 2021
|
|
|
102,000
|
|
|
|
103,403
|
|
|
Bancolombia S.A., 5.125%, 2022
|
|
|
10,000
|
|
|
|
8,900
|
|
|
BB&T Corp., 2.05%, 2014
|
|
|
300,000
|
|
|
|
302,643
|
|
|
BBVA Banco Continental S.A., 5%, 2022 (n)
|
|
|
10,000
|
|
|
|
9,400
|
|
|
BBVA Senior Finance S.A. Unipersonal, FRN, 2.388%, 2014
|
|
|
300,000
|
|
|
|
302,071
|
|
|
Capital One Financial Corp., FRN, 1.418%, 2014
|
|
|
370,000
|
|
|
|
372,319
|
|
|
Citigroup, Inc., 6.375%, 2014
|
|
|
230,000
|
|
|
|
242,317
|
|
|
Citigroup, Inc., 6.01%, 2015
|
|
|
200,000
|
|
|
|
213,163
|
|
|
Citigroup, Inc., 8.5%, 2019
|
|
|
373,000
|
|
|
|
472,834
|
|
12
Portfolio of Investments (unaudited) – continued
|
|
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
|
Other Banks & Diversified Financials - continued
|
|
|
|
|
|
|
|
|
|
Danske Bank A.S., 3.75%, 2015 (n)
|
|
$
|
510,000
|
|
|
$
|
529,038
|
|
|
Groupe BPCE S.A., 12.5% to 2019, FRN to 2049 (n)
|
|
|
243,000
|
|
|
|
302,535
|
|
|
Intesa Sanpaolo S.p.A., 3.875%, 2018
|
|
|
248,000
|
|
|
|
241,838
|
|
|
Intesa Sanpaolo S.p.A., FRN, 2.662%, 2014 (n)
|
|
|
200,000
|
|
|
|
200,557
|
|
|
LBG Capital No. 1 PLC, 7.875%, 2020 (n)
|
|
|
100,000
|
|
|
|
105,750
|
|
|
Lloyds TSB Bank PLC, 5.8%, 2020 (n)
|
|
|
205,000
|
|
|
|
230,125
|
|
|
PKO Finance AB, 4.63%, 2022 (n)
|
|
|
13,000
|
|
|
|
12,221
|
|
|
Rabobank Nederland N.V., 3.375%, 2017
|
|
|
242,000
|
|
|
|
254,840
|
|
|
Rabobank Nederland N.V., 3.95%, 2022
|
|
|
384,000
|
|
|
|
365,944
|
|
|
Santander Holdings USA, Inc., 4.625%, 2016
|
|
|
50,000
|
|
|
|
52,545
|
|
|
Santander Holdings USA, Inc., 3.45%, 2018
|
|
|
150,000
|
|
|
|
151,936
|
|
|
SunTrust Banks, Inc., 3.5%, 2017
|
|
|
288,000
|
|
|
|
301,789
|
|
|
Swedbank AB, 2.125%, 2017 (n)
|
|
|
269,000
|
|
|
|
265,438
|
|
|
U.S. Bancorp, 2.95%, 2022
|
|
|
192,000
|
|
|
|
179,412
|
|
|
Union Bank, 3%, 2016
|
|
|
690,000
|
|
|
|
719,958
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,392,899
|
|
|
Personal Computers & Peripherals - 0.3%
|
|
|
|
|
|
|
|
|
|
Equifax, Inc., 3.3%, 2022
|
|
$
|
208,000
|
|
|
$
|
193,743
|
|
|
Motorola Solutions, Inc., 3.5%, 2023
|
|
|
67,000
|
|
|
|
61,876
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
255,619
|
|
|
Pharmaceuticals - 1.1%
|
|
|
|
|
|
|
|
|
|
Celgene Corp., 2.45%, 2015
|
|
$
|
130,000
|
|
|
$
|
133,587
|
|
|
Celgene Corp., 3.95%, 2020
|
|
|
300,000
|
|
|
|
305,600
|
|
|
Hospira, Inc., 6.05%, 2017
|
|
|
130,000
|
|
|
|
140,000
|
|
|
Pfizer, Inc., 6.2%, 2019
|
|
|
275,000
|
|
|
|
328,990
|
|
|
Valeant Pharmaceuticals International, Inc., 7%, 2020 (n)
|
|
|
95,000
|
|
|
|
99,750
|
|
|
Valeant Pharmaceuticals International, Inc., 7.25%, 2022 (n)
|
|
|
55,000
|
|
|
|
58,300
|
|
|
Vantage Point Imaging, 7.5%, 2021 (n)
|
|
|
50,000
|
|
|
|
53,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,119,727
|
|
|
Pollution Control - 0.4%
|
|
|
|
|
|
|
|
|
|
Heckmann Corp., 9.875%, 2018
|
|
$
|
80,000
|
|
|
$
|
79,200
|
|
|
Republic Services, Inc., 5.25%, 2021
|
|
|
320,000
|
|
|
|
347,715
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
426,915
|
|
|
Precious Metals & Minerals - 0.2%
|
|
|
|
|
|
|
|
|
|
Eldorado Gold Corp., 6.125%, 2020 (n)
|
|
$
|
90,000
|
|
|
$
|
85,950
|
|
|
IAMGOLD Corp., 6.75%, 2020 (n)
|
|
|
118,000
|
|
|
|
102,070
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
188,020
|
|
|
Printing & Publishing - 0.7%
|
|
|
|
|
|
|
|
|
|
American Media, Inc., 13.5%, 2018 (z)
|
|
$
|
9,917
|
|
|
$
|
10,140
|
|
|
Gannett Co., Inc., 5.125%, 2020 (n)
|
|
|
45,000
|
|
|
|
44,550
|
|
|
Lamar Media Corp., 5%, 2023
|
|
|
50,000
|
|
|
|
46,375
|
|
|
Nielsen Finance LLC, 7.75%, 2018
|
|
|
85,000
|
|
|
|
92,438
|
|
|
Nielsen Finance LLC, 4.5%, 2020
|
|
|
80,000
|
|
|
|
76,000
|
|
|
Pearson Funding Five PLC, 3.25%, 2023 (n)
|
|
|
200,000
|
|
|
|
182,041
|
|
|
Pearson Funding Four PLC, 3.75%, 2022 (n)
|
|
|
201,000
|
|
|
|
193,069
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
644,613
|
|
|
Railroad & Shipping - 0.9%
|
|
|
|
|
|
|
|
|
|
Canadian Pacific Railway Co., 7.25%, 2019
|
|
$
|
250,000
|
|
|
$
|
303,508
|
|
|
CSX Corp., 4.1%, 2044
|
|
|
605,000
|
|
|
|
524,028
|
|
|
Kansas City Southern de Mexico S.A. de C.V., 6.125%, 2021
|
|
|
8,000
|
|
|
|
9,040
|
|
13
Portfolio of Investments (unaudited) – continued
|
|
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
|
Railroad & Shipping - continued
|
|
|
|
|
|
|
|
|
|
Watco Cos. LLC, 6.375%, 2023 (n)
|
|
$
|
15,000
|
|
|
$
|
14,813
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
851,389
|
|
|
Real Estate - 3.4%
|
|
|
|
|
|
|
|
|
|
Boston Properties LP, REIT, 3.7%, 2018
|
|
$
|
193,000
|
|
|
$
|
201,445
|
|
|
CNL Lifestyle Properties, Inc., REIT, 7.25%, 2019
|
|
|
50,000
|
|
|
|
50,688
|
|
|
DDR Corp., REIT, 4.625%, 2022
|
|
|
364,000
|
|
|
|
365,175
|
|
|
DDR Corp., REIT, 3.375%, 2023
|
|
|
416,000
|
|
|
|
376,512
|
|
|
DuPont Fabros Technology, Inc., REIT, 8.5%, 2017
|
|
|
195,000
|
|
|
|
205,725
|
|
|
ERP Operating, REIT, 5.125%, 2016
|
|
|
450,000
|
|
|
|
491,645
|
|
|
ERP Properties, REIT, 7.75%, 2020
|
|
|
85,000
|
|
|
|
95,804
|
|
|
Felcor Lodging LP, REIT, 5.625%, 2023
|
|
|
15,000
|
|
|
|
13,950
|
|
|
HCP, Inc., REIT, 5.375%, 2021
|
|
|
283,000
|
|
|
|
306,477
|
|
|
Health Care REIT, Inc., 2.25%, 2018
|
|
|
119,000
|
|
|
|
116,694
|
|
|
Kimco Realty Corp., REIT, 6.875%, 2019
|
|
|
82,000
|
|
|
|
97,971
|
|
|
MPT Operating Partnership LP, REIT, 6.875%, 2021
|
|
|
80,000
|
|
|
|
84,200
|
|
|
MPT Operating Partnership LP, REIT, 6.375%, 2022
|
|
|
60,000
|
|
|
|
61,050
|
|
|
Simon Property Group, Inc., REIT, 6.1%, 2016
|
|
|
500,000
|
|
|
|
557,842
|
|
|
WEA Finance LLC, 6.75%, 2019 (n)
|
|
|
250,000
|
|
|
|
295,239
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,320,417
|
|
|
Retailers - 2.7%
|
|
|
|
|
|
|
|
|
|
Academy Ltd., 9.25%, 2019 (n)
|
|
$
|
50,000
|
|
|
$
|
55,625
|
|
|
AutoZone, Inc., 6.5%, 2014
|
|
|
420,000
|
|
|
|
428,573
|
|
|
Burlington Coat Factory Warehouse Corp., 10%, 2019
|
|
|
95,000
|
|
|
|
105,925
|
|
|
CST Brands, Inc., 5%, 2023 (n)
|
|
|
25,000
|
|
|
|
23,750
|
|
|
Dollar General Corp., 4.125%, 2017
|
|
|
247,000
|
|
|
|
259,377
|
|
|
Gap, Inc., 5.95%, 2021
|
|
|
379,000
|
|
|
|
420,490
|
|
|
J. Crew Group, Inc., 8.125%, 2019
|
|
|
80,000
|
|
|
|
84,200
|
|
|
Jo-Ann Stores Holdings, Inc., 9.75%, 2019 (n)(p)
|
|
|
45,000
|
|
|
|
46,350
|
|
|
Kohl’s Corp., 3.25%, 2023
|
|
|
319,000
|
|
|
|
293,324
|
|
|
Limited Brands, Inc., 6.9%, 2017
|
|
|
70,000
|
|
|
|
78,400
|
|
|
Limited Brands, Inc., 7%, 2020
|
|
|
65,000
|
|
|
|
71,338
|
|
|
Limited Brands, Inc., 6.95%, 2033
|
|
|
40,000
|
|
|
|
39,400
|
|
|
Macy’s, Inc., 7.875%, 2015
|
|
|
330,000
|
|
|
|
370,326
|
|
|
Rite Aid Corp., 9.25%, 2020
|
|
|
130,000
|
|
|
|
147,063
|
|
|
Sally Beauty Holdings, Inc., 6.875%, 2019
|
|
|
55,000
|
|
|
|
59,950
|
|
|
The Pantry, Inc., 8.375%, 2020
|
|
|
40,000
|
|
|
|
42,400
|
|
|
Toys “R” Us Property Co. II LLC, 8.5%, 2017
|
|
|
55,000
|
|
|
|
57,888
|
|
|
William Carter Co., 5.25%, 2021 (z)
|
|
|
20,000
|
|
|
|
20,100
|
|
|
YCC Holdings LLC/Yankee Finance, Inc., 10.25%, 2016 (p)
|
|
|
45,000
|
|
|
|
46,238
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,650,717
|
|
|
Specialty Chemicals - 0.1%
|
|
|
|
|
|
|
|
|
|
Chemtura Corp., 5.75%, 2021
|
|
$
|
20,000
|
|
|
$
|
19,750
|
|
|
Koppers, Inc., 7.875%, 2019
|
|
|
55,000
|
|
|
|
59,125
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
78,875
|
|
|
Specialty Stores - 0.2%
|
|
|
|
|
|
|
|
|
|
Michaels Stores, Inc., 11.375%, 2016
|
|
$
|
46,000
|
|
|
$
|
47,553
|
|
|
Michaels Stores, Inc., 7.75%, 2018
|
|
|
115,000
|
|
|
|
123,769
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
171,322
|
|
14
Portfolio of Investments (unaudited) – continued
|
|
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
|
Supermarkets - 0.8%
|
|
|
|
|
|
|
|
|
|
Kroger Co., 3.85%, 2023
|
|
$
|
418,000
|
|
|
$
|
409,575
|
|
|
Safeway, Inc., 6.25%, 2014
|
|
|
400,000
|
|
|
|
411,190
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
820,765
|
|
|
Supranational - 0.4%
|
|
|
|
|
|
|
|
|
|
Corporacion Andina de Fomento, 4.375%, 2022
|
|
$
|
420,000
|
|
|
$
|
415,929
|
|
|
|
|
|
|
Telecommunications - Wireless - 2.7%
|
|
|
|
|
|
|
|
|
|
American Tower Corp., REIT, 4.625%, 2015
|
|
$
|
180,000
|
|
|
$
|
188,065
|
|
|
American Tower Corp., REIT, 4.7%, 2022
|
|
|
328,000
|
|
|
|
324,612
|
|
|
Clearwire Corp., 12%, 2015 (n)
|
|
|
95,000
|
|
|
|
100,225
|
|
|
Cricket Communications, Inc., 7.75%, 2020
|
|
|
70,000
|
|
|
|
79,538
|
|
|
Crown Castle International Corp., 7.125%, 2019
|
|
|
250,000
|
|
|
|
268,750
|
|
|
Crown Castle International Corp., 5.25%, 2023
|
|
|
50,000
|
|
|
|
47,250
|
|
|
Crown Castle Towers LLC, 6.113%, 2020 (n)
|
|
|
363,000
|
|
|
|
409,301
|
|
|
MetroPCS Wireless, Inc., 7.875%, 2018
|
|
|
75,000
|
|
|
|
81,188
|
|
|
MetroPCS Wireless, Inc., 6.25%, 2021 (n)
|
|
|
70,000
|
|
|
|
69,825
|
|
|
Rogers Communications, Inc., 6.8%, 2018
|
|
|
200,000
|
|
|
|
236,924
|
|
|
Sprint Capital Corp., 6.875%, 2028
|
|
|
100,000
|
|
|
|
90,250
|
|
|
Sprint Nextel Corp., 6%, 2016
|
|
|
140,000
|
|
|
|
148,400
|
|
|
Sprint Nextel Corp., 8.375%, 2017
|
|
|
95,000
|
|
|
|
106,638
|
|
|
Sprint Nextel Corp., 9%, 2018 (n)
|
|
|
25,000
|
|
|
|
29,188
|
|
|
Sprint Nextel Corp., 6%, 2022
|
|
|
110,000
|
|
|
|
102,850
|
|
|
T-Mobile USA, Inc., 5.25%, 2018 (z)
|
|
|
40,000
|
|
|
|
40,400
|
|
|
Wind Acquisition Finance S.A., 11.75%, 2017 (n)
|
|
|
130,000
|
|
|
|
135,850
|
|
|
Wind Acquisition Finance S.A., 7.25%, 2018 (n)
|
|
|
200,000
|
|
|
|
204,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,663,254
|
|
|
Telephone Services - 0.2%
|
|
|
|
|
|
|
|
|
|
Cogent Communications Group, Inc., 8.375%, 2018 (n)
|
|
$
|
40,000
|
|
|
$
|
43,800
|
|
|
Level 3 Financing, Inc., 9.375%, 2019
|
|
|
65,000
|
|
|
|
71,338
|
|
|
Level 3 Financing, Inc., 8.625%, 2020
|
|
|
40,000
|
|
|
|
42,800
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
157,938
|
|
|
Tobacco - 1.3%
|
|
|
|
|
|
|
|
|
|
Altria Group, Inc., 9.25%, 2019
|
|
$
|
138,000
|
|
|
$
|
181,145
|
|
|
Lorillard Tobacco Co., 8.125%, 2019
|
|
|
194,000
|
|
|
|
233,621
|
|
|
Lorillard Tobacco Co., 6.875%, 2020
|
|
|
170,000
|
|
|
|
192,473
|
|
|
Reynolds American, Inc., 6.75%, 2017
|
|
|
300,000
|
|
|
|
345,587
|
|
|
Reynolds American, Inc., 4.75%, 2042
|
|
|
403,000
|
|
|
|
352,203
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,305,029
|
|
|
Transportation - Services - 1.3%
|
|
|
|
|
|
|
|
|
|
Avis Budget Car Rental LLC, 8.25%, 2019
|
|
$
|
65,000
|
|
|
$
|
70,688
|
|
|
Avis Budget Car Rental LLC, 9.75%, 2020
|
|
|
35,000
|
|
|
|
40,163
|
|
|
CEVA Group PLC, 8.375%, 2017 (n)
|
|
|
230,000
|
|
|
|
229,425
|
|
|
ERAC USA Finance Co., 6.375%, 2017 (n)
|
|
|
340,000
|
|
|
|
390,908
|
|
|
Navios Maritime Acquisition Corp., 8.625%, 2017
|
|
|
155,000
|
|
|
|
161,200
|
|
|
Navios Maritime Holdings, Inc., 8.875%, 2017
|
|
|
40,000
|
|
|
|
41,650
|
|
|
Navios South American Logistics, Inc., 9.25%, 2019
|
|
|
88,000
|
|
|
|
95,040
|
|
|
Swift Services Holdings, Inc., 10%, 2018
|
|
|
180,000
|
|
|
|
198,900
|
|
|
Ultrapetrol (Bahamas) Ltd., 8.875%, 2021 (n)
|
|
|
43,000
|
|
|
|
45,903
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,273,877
|
|
|
U.S. Government Agencies and Equivalents - 0.0%
|
|
|
|
|
|
|
|
|
|
National Credit Union Administration Guaranteed Note, 2.9%, 2020
|
|
$
|
20,000
|
|
|
$
|
20,641
|
|
15
Portfolio of Investments (unaudited) – continued
|
|
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
|
Utilities - Electric Power - 4.3%
|
|
|
|
|
|
|
|
|
|
AES Corp., 8%, 2017
|
|
$
|
20,000
|
|
|
$
|
23,000
|
|
|
AES Corp., 7.375%, 2021
|
|
|
100,000
|
|
|
|
109,000
|
|
|
AES Corp., 4.875%, 2023
|
|
|
5,000
|
|
|
|
4,588
|
|
|
Calpine Corp., 7.875%, 2020 (n)
|
|
|
203,000
|
|
|
|
219,240
|
|
|
CMS Energy Corp., 4.25%, 2015
|
|
|
250,000
|
|
|
|
263,832
|
|
|
CMS Energy Corp., 5.05%, 2022
|
|
|
196,000
|
|
|
|
210,757
|
|
|
Covanta Holding Corp., 7.25%, 2020
|
|
|
100,000
|
|
|
|
106,840
|
|
|
Covanta Holding Corp., 6.375%, 2022
|
|
|
25,000
|
|
|
|
25,367
|
|
|
Enel Finance International S.A., 6.25%, 2017 (n)
|
|
|
260,000
|
|
|
|
284,588
|
|
|
Energy Future Holdings Corp., 10%, 2020
|
|
|
398,000
|
|
|
|
419,393
|
|
|
Energy Future Holdings Corp., 10%, 2020 (n)
|
|
|
85,000
|
|
|
|
89,356
|
|
|
Energy Future Holdings Corp., 12.25%, 2022 (n)
|
|
|
80,000
|
|
|
|
89,000
|
|
|
Exelon Generation Co. LLC, 5.2%, 2019
|
|
|
150,000
|
|
|
|
164,116
|
|
|
Exelon Generation Co., LLC, 4.25%, 2022
|
|
|
96,000
|
|
|
|
94,139
|
|
|
Georgia Power Co., 6%, 2013
|
|
|
150,000
|
|
|
|
151,256
|
|
|
Iberdrola Finance Ireland Ltd., 3.8%, 2014 (n)
|
|
|
440,000
|
|
|
|
450,837
|
|
|
NRG Energy, Inc., 8.25%, 2020
|
|
|
235,000
|
|
|
|
257,913
|
|
|
NRG Energy, Inc., 6.625%, 2023
|
|
|
15,000
|
|
|
|
14,888
|
|
|
Oncor Electric Delivery Co., 4.1%, 2022
|
|
|
302,000
|
|
|
|
310,956
|
|
|
PPL WEM Holdings PLC, 3.9%, 2016 (n)
|
|
|
430,000
|
|
|
|
449,807
|
|
|
Progress Energy, Inc., 3.15%, 2022
|
|
|
452,000
|
|
|
|
432,295
|
|
|
Texas Competitive Electric Holdings Co. LLC, 11.5%, 2020 (n)
|
|
|
45,000
|
|
|
|
31,331
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,202,499
|
|
|
Utilities - Gas - 0.0%
|
|
|
|
|
|
|
|
|
|
Suburban Propane Partners LP, 7.5%, 2018
|
|
$
|
20,000
|
|
|
$
|
21,450
|
|
|
Total Bonds
|
|
|
|
|
|
$
|
108,479,553
|
|
|
|
|
|
|
Floating Rate Loans (g)(r) - 0.7%
|
|
|
|
|
|
|
|
|
|
Aerospace - 0.1%
|
|
|
|
|
|
|
|
|
|
TransDigm, Inc., Term Loan C, 3.75%, 2020
|
|
$
|
51,068
|
|
|
$
|
50,977
|
|
|
|
|
|
|
Building - 0.0%
|
|
|
|
|
|
|
|
|
|
ABC Supply Co., Inc., Term Loan, 3.5%, 2020
|
|
$
|
19,063
|
|
|
$
|
18,941
|
|
|
|
|
|
|
Conglomerates - 0.1%
|
|
|
|
|
|
|
|
|
|
Silver II U.S. Holdings LLC, Term Loan, 4%, 2019
|
|
$
|
50,949
|
|
|
$
|
50,591
|
|
|
|
|
|
|
Consumer Services - 0.0%
|
|
|
|
|
|
|
|
|
|
Realogy Corp., Term Loan, 4.5%, 2020
|
|
$
|
33,381
|
|
|
$
|
33,548
|
|
|
|
|
|
|
Energy - Independent - 0.1%
|
|
|
|
|
|
|
|
|
|
MEG Energy Corp., Term Loan, 3.75%, 2020
|
|
$
|
49,325
|
|
|
$
|
49,418
|
|
|
|
|
|
|
Entertainment - 0.0%
|
|
|
|
|
|
|
|
|
|
Cedar Fair LP, Term Loan B, 3.25%, 2020
|
|
$
|
43,330
|
|
|
$
|
43,406
|
|
|
|
|
|
|
Food & Beverages - 0.1%
|
|
|
|
|
|
|
|
|
|
Aramark Corp., Term Loan D, 4%, 2019
|
|
$
|
51,386
|
|
|
$
|
51,675
|
|
|
H.J. Heinz Co., Term Loan B2, 3.5%, 2020
|
|
|
28,809
|
|
|
|
28,953
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
80,628
|
|
16
Portfolio of Investments (unaudited) – continued
|
|
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loans (g)(r) - continued
|
|
|
|
|
|
|
|
|
|
Retailers - 0.1%
|
|
|
|
|
|
|
|
|
|
Rite Aid Corp., Term Loan, 4.87%, 2021
|
|
$
|
32,164
|
|
|
$
|
32,325
|
|
|
Toys “R” Us Property Co., Term Loan B, 2019 (o)
|
|
|
67,604
|
|
|
|
66,658
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
98,983
|
|
|
Transportation - Services - 0.1%
|
|
|
|
|
|
|
|
|
|
Commercial Barge Line Co., Term Loan, 7.5%, 2019
|
|
$
|
162,134
|
|
|
$
|
154,433
|
|
|
|
|
|
|
Utilities - Electric Power - 0.1%
|
|
|
|
|
|
|
|
|
|
Calpine Construction Finance Co., Term Loan B1, 3%, 2020
|
|
$
|
104,824
|
|
|
$
|
103,397
|
|
|
Total Floating Rate Loans
|
|
|
|
|
|
$
|
684,322
|
|
|
|
|
|
|
Preferred Stocks - 0.1%
|
|
|
|
|
|
|
|
|
|
Other Banks & Diversified Financials - 0.1%
|
|
|
|
|
|
|
|
|
|
Ally Financial, Inc., 7% (z)
|
|
|
50
|
|
|
$
|
46,784
|
|
|
GMAC Capital Trust I, 8.125%
|
|
|
3,075
|
|
|
|
81,518
|
|
|
Total Preferred Stocks
|
|
|
|
|
|
$
|
128,302
|
|
|
|
|
|
|
Convertible Bonds - 0.1%
|
|
|
|
|
|
|
|
|
|
Network & Telecom - 0.1%
|
|
|
|
|
|
|
|
|
|
Nortel Networks Corp., 2.125%, 2014 (a)(d)
|
|
$
|
75,000
|
|
|
$
|
73,172
|
|
|
|
|
|
|
Convertible Preferred Stocks - 0.1%
|
|
|
|
|
|
|
|
|
|
Automotive - 0.1%
|
|
|
|
|
|
|
|
|
|
General Motors Co., 4.75%
|
|
|
1,210
|
|
|
$
|
58,879
|
|
|
|
|
|
|
Common Stocks - 0.0%
|
|
|
|
|
|
|
|
|
|
Automotive - 0.0%
|
|
|
|
|
|
|
|
|
|
Accuride Corp. (a)
|
|
|
2,303
|
|
|
$
|
12,068
|
|
|
|
|
|
|
Printing & Publishing - 0.0%
|
|
|
|
|
|
|
|
|
|
American Media Operations, Inc. (a)
|
|
|
2,541
|
|
|
$
|
13,239
|
|
|
Total Common Stocks
|
|
|
|
|
|
$
|
25,307
|
|
|
|
|
|
|
Mutual Funds - 2.2%
|
|
|
|
|
|
|
|
|
|
MFS Institutional Money Market Portfolio, 0.09%, at Net Asset Value (v)
|
|
|
2,159,804
|
|
|
$
|
2,159,804
|
|
|
Total Investments
|
|
|
|
|
|
$
|
111,609,339
|
|
|
|
|
|
|
Other Assets, Less Liabilities - (13.9)%
|
|
|
|
|
|
|
(13,601,806
|
)
|
|
Net Assets - 100.0%
|
|
|
|
|
|
$
|
98,007,533
|
|
|
(a)
|
Non-income producing security.
|
|
(d)
|
In default. Interest and/or scheduled principal payment(s) have been missed.
|
|
(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.
|
|
(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 $33,069,580, representing 33.7% of net assets.
|
|
(o)
|
All or a portion of this position has not settled. Upon settlement date, interest rates for unsettled amounts will be determined. The rate shown represents the weighted average
coupon rate for settled amounts.
|
|
(p)
|
Payment-in-kind security.
|
|
(r)
|
Remaining maturities of floating rate loans may be less than stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot
be predicted with certainty. These loans may be subject to restrictions on resale. Floating rate loans generally have rates of interest which are determined periodically by reference to a base lending rate plus a premium.
|
17
Portfolio of Investments (unaudited) – continued
|
(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
|
|
|
$46,875
|
|
|
|
$46,784
|
|
|
American Media, Inc., 13.5%, 2018
|
|
12/22/10
|
|
|
10,035
|
|
|
|
10,140
|
|
|
Anthracite Ltd., “A”, CDO, FRN, 0.543%, 2019
|
|
1/28/10
|
|
|
34,012
|
|
|
|
42,205
|
|
|
First Data Corp., 10.625%, 2021
|
|
8/07/13
|
|
|
40,498
|
|
|
|
39,750
|
|
|
LBI Media, Inc., 13.5% to 2015, 11.5% to 2020
|
|
12/26/12-5/15/13
|
|
|
19,966
|
|
|
|
16,120
|
|
|
T-Mobile USA, Inc., 5.25%, 2018
|
|
8/14/13
|
|
|
40,000
|
|
|
|
40,400
|
|
|
TW Telecom Holdings, Inc., 5.375%, 2022
|
|
8/12/13
|
|
|
28,877
|
|
|
|
28,575
|
|
|
William Carter Co., 5.25%, 2021
|
|
8/07/13-8/08/13
|
|
|
20,224
|
|
|
|
20,100
|
|
|
Total Restricted Securities
|
|
|
|
|
|
|
|
|
$244,074
|
|
|
% of Net assets
|
|
|
|
|
|
|
|
|
0.2%
|
|
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 8/31/13
Forward Foreign Currency Exchange Contracts at 8/31/13
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type
|
|
Currency
|
|
|
Counterparty
|
|
Contracts to
Deliver/Receive
|
|
Settlement
Date Range
|
|
In Exchange
For
|
|
|
Contracts
at Value
|
|
|
Net Unrealized
Appreciation
(Depreciation)
|
|
|
Asset Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SELL
|
|
|
AUD
|
|
|
Barclays Bank PLC
|
|
10,422
|
|
10/18/13
|
|
$
|
9,554
|
|
|
$
|
9,249
|
|
|
$
|
305
|
|
|
SELL
|
|
|
AUD
|
|
|
Westpac Banking Corp.
|
|
109,149
|
|
10/18/13
|
|
|
99,876
|
|
|
|
96,865
|
|
|
|
3,011
|
|
|
SELL
|
|
|
EUR
|
|
|
UBS AG
|
|
172,613
|
|
10/18/13
|
|
|
229,126
|
|
|
|
228,169
|
|
|
|
957
|
|
|
BUY
|
|
|
GBP
|
|
|
Deutsche Bank AG
|
|
41,000
|
|
10/18/13
|
|
|
62,989
|
|
|
|
63,516
|
|
|
|
527
|
|
|
BUY
|
|
|
JPY
|
|
|
Merrill Lynch International Bank
|
|
129,979,282
|
|
10/18/13
|
|
|
1,310,909
|
|
|
|
1,324,093
|
|
|
|
13,184
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
17,984
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liability Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SELL
|
|
|
CAD
|
|
|
Merrill Lynch International Bank
|
|
379,943
|
|
10/18/13
|
|
$
|
360,282
|
|
|
$
|
360,321
|
|
|
$
|
(39
|
)
|
|
SELL
|
|
|
DKK
|
|
|
Goldman Sachs International
|
|
518,529
|
|
10/18/13
|
|
|
90,688
|
|
|
|
91,907
|
|
|
|
(1,219
|
)
|
|
BUY
|
|
|
EUR
|
|
|
Deutsche Bank AG
|
|
107,000
|
|
10/18/13
|
|
|
141,529
|
|
|
|
141,438
|
|
|
|
(91
|
)
|
|
BUY
|
|
|
EUR
|
|
|
Goldman Sachs International
|
|
246,942
|
|
10/18/13
|
|
|
326,522
|
|
|
|
326,421
|
|
|
|
(101
|
)
|
|
SELL
|
|
|
EUR
|
|
|
Barclays Bank PLC
|
|
297,641
|
|
10/18/13
|
|
|
381,824
|
|
|
|
393,438
|
|
|
|
(11,614
|
)
|
18
Portfolio of Investments (unaudited) – continued
Forward Foreign Currency Exchange Contracts at 8/31/13 - continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type
|
|
Currency
|
|
|
Counterparty
|
|
Contracts to
Deliver/Receive
|
|
Settlement
Date Range
|
|
In Exchange
For
|
|
|
Contracts
at Value
|
|
|
Net Unrealized
Appreciation
(Depreciation)
|
|
|
Liability Derivatives – continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SELL
|
|
|
GBP
|
|
|
Barclays Bank PLC
|
|
23,390
|
|
10/18/13
|
|
$
|
35,903
|
|
|
$
|
36,235
|
|
|
$
|
(332
|
)
|
|
SELL
|
|
|
GBP
|
|
|
Credit Suisse AG
|
|
223,369
|
|
10/18/13
|
|
|
333,512
|
|
|
|
346,037
|
|
|
|
(12,525
|
)
|
|
SELL
|
|
|
GBP
|
|
|
Merrill Lynch International Bank
|
|
223,369
|
|
10/18/13
|
|
|
333,416
|
|
|
|
346,037
|
|
|
|
(12,621
|
)
|
|
SELL
|
|
|
JPY
|
|
|
Barclays Bank PLC
|
|
1,195,671
|
|
10/18/13
|
|
|
11,926
|
|
|
|
12,180
|
|
|
|
(254
|
)
|
|
SELL
|
|
|
JPY
|
|
|
Goldman Sachs International
|
|
25,553,172
|
|
10/18/13
|
|
|
255,978
|
|
|
|
260,309
|
|
|
|
(4,331
|
)
|
|
SELL
|
|
|
SEK
|
|
|
Goldman Sachs International
|
|
383,803
|
|
10/18/13
|
|
|
57,079
|
|
|
|
57,855
|
|
|
|
(776
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(43,903
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Outstanding at 8/31/13
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Currency
|
|
|
Contracts
|
|
|
Value
|
|
Expiration Date
|
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Asset Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Futures
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Note 10 yr (Short)
|
|
|
USD
|
|
|
|
107
|
|
|
$13,298,094
|
|
December - 2013
|
|
|
$37,344
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liability Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Futures
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Bond 30 yr (Short)
|
|
|
USD
|
|
|
|
4
|
|
|
$527,625
|
|
December - 2013
|
|
|
$(3,741
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At August 31, 2013, the fund had liquid securities with an aggregate value of $187,405 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.
19
Supplemental Information
8/31/13 (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 fund’s investments (including any fair
valuation) to the adviser pursuant to valuation policies and procedures approved by the Board. If the adviser determines that reliable market quotations are not readily available, investments are valued at fair value as determined in good faith by
the adviser in accordance with such procedures under the oversight of the Board of Trustees. Under the fund’s valuation policies and procedures, market quotations are not considered to be readily available for most types of debt instruments and
floating rate loans and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services. In addition, investments may be valued at fair value if the adviser determines that an
investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund’s
net asset value, or after the halting of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. The adviser generally relies on third-party pricing
services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and
trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source
and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund
could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.
Various inputs are used in determining the value of the fund’s assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into
different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund’s assessment of the
significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities.
Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes unobservable inputs, which may include the adviser’s own
assumptions in determining the fair value of investments. Other financial instruments are derivative instruments not reflected in total investments, such as futures contracts and forward foreign currency exchange contracts.
20
Supplemental Information (unaudited) – continued
The following is a summary of the levels used as of August 31, 2013 in valuing the fund’s assets or liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments at Value
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
|
Equity Securities
|
|
|
$152,465
|
|
|
|
$46,784
|
|
|
|
$13,239
|
|
|
|
$212,488
|
|
|
U.S. Treasury Bonds & U.S. Government Agency & Equivalents
|
|
|
—
|
|
|
|
20,641
|
|
|
|
—
|
|
|
|
20,641
|
|
|
Non-U.S. Sovereign Debt
|
|
|
—
|
|
|
|
13,366,506
|
|
|
|
—
|
|
|
|
13,366,506
|
|
|
Municipal Bonds
|
|
|
—
|
|
|
|
416,073
|
|
|
|
—
|
|
|
|
416,073
|
|
|
U.S. Corporate Bonds
|
|
|
—
|
|
|
|
67,630,918
|
|
|
|
—
|
|
|
|
67,630,918
|
|
|
Residential Mortgage-Backed Securities
|
|
|
—
|
|
|
|
1,296,202
|
|
|
|
—
|
|
|
|
1,296,202
|
|
|
Commercial Mortgage-Backed Securities
|
|
|
—
|
|
|
|
499,640
|
|
|
|
—
|
|
|
|
499,640
|
|
|
Asset-Backed Securities (including CDOs)
|
|
|
—
|
|
|
|
692,125
|
|
|
|
—
|
|
|
|
692,125
|
|
|
Foreign Bonds
|
|
|
—
|
|
|
|
24,630,620
|
|
|
|
—
|
|
|
|
24,630,620
|
|
|
Floating Rate Loans
|
|
|
—
|
|
|
|
684,322
|
|
|
|
—
|
|
|
|
684,322
|
|
|
Mutual Funds
|
|
|
2,159,804
|
|
|
|
—
|
|
|
|
—
|
|
|
|
2,159,804
|
|
|
Total Investments
|
|
|
$2,312,269
|
|
|
|
$109,283,831
|
|
|
|
$13,239
|
|
|
|
$111,609,339
|
|
|
|
|
|
|
|
|
Other Financial Instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
|
$33,603
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$33,603
|
|
|
Forward Foreign Currency Exchange Contracts
|
|
|
—
|
|
|
|
(25,919
|
)
|
|
|
—
|
|
|
|
(25,919
|
)
|
For further information regarding security characteristics, see the Portfolio of Investments.
The following is a reconciliation of level 3 assets for which significant unobservable inputs were used to determine fair value. The fund’s policy is to
recognize transfers between the levels as of the end of the period. The table presents the activity of level 3 securities held at the beginning and the end of the period.
|
|
|
|
|
|
|
|
|
Equity Securities
|
|
|
Balance as of 11/30/12
|
|
|
$12,070
|
|
|
Change in unrealized appreciation (depreciation)
|
|
|
1,169
|
|
|
Balance as of 8/31/13
|
|
|
$13,239
|
|
The net change in unrealized appreciation (depreciation) from investments still held as level 3 at August 31, 2013 is $1,169.
(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
|
|
|
$109,957,519
|
|
|
Gross unrealized appreciation
|
|
|
4,077,710
|
|
|
Gross unrealized depreciation
|
|
|
(2,425,890
|
)
|
|
Net unrealized appreciation (depreciation)
|
|
|
$1,651,820
|
|
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
|
|
|
1,528,851
|
|
|
|
24,515,269
|
|
|
|
(23,884,316
|
)
|
|
|
2,159,804
|
|
|
|
|
|
|
|
|
Underlying Affiliated Fund
|
|
Realized
Gain (Loss)
|
|
|
Capital Gain
Distributions
|
|
|
Dividend
Income
|
|
|
Ending
Value
|
|
|
MFS Institutional Money Market Portfolio
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$2,748
|
|
|
|
$2,159,804
|
|
21
Supplemental Information (unaudited) – continued
(4) Issuer Country Weightings
Issuer country weighting percentages of portfolio holdings based on net assets, as of August 31, 2013, are as follows:
|
|
|
|
|
|
|
United States
|
|
|
60.5%
|
|
|
United Kingdom
|
|
|
5.6%
|
|
|
Netherlands
|
|
|
3.3%
|
|
|
Canada
|
|
|
3.3%
|
|
|
France
|
|
|
3.2%
|
|
|
Italy
|
|
|
2.7%
|
|
|
Australia
|
|
|
2.1%
|
|
|
Russia
|
|
|
2.0%
|
|
|
Spain
|
|
|
1.9%
|
|
|
Other Countries
|
|
|
15.4%
|
|
The issuer country weighting percentages include both accrued interest amounts and the equivalent exposure from any derivative
holdings, if applicable.
22
|
ITEM 2.
|
CONTROLS AND PROCEDURES.
|
|
(a)
|
Based upon their evaluation of the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company
Act of 1940 (the “Act”)) as conducted within 90 days of the filing date of this Form N-Q, the registrant’s principal financial officer and principal executive officer have concluded that those disclosure controls and procedures
provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s
rules and forms.
|
|
(b)
|
There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the
registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
|
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 Agreement and 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 INTERMARKET INCOME TRUST I
|
|
|
|
|
By (Signature and Title)*
|
|
JOHN M. CORCORAN
|
|
|
|
John M. Corcoran, President
|
Date: October 17, 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: October 17, 2013
|
|
|
|
|
By (Signature and Title)*
|
|
DAVID L. DILORENZO
|
|
|
|
David L. DiLorenzo, Treasurer
(Principal Financial Officer
and Accounting Officer)
|
Date: October 17, 2013
|
*
|
Print name and title of each signing officer under his or her signature.
|