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 811-5440
MFS INTERMEDIATE INCOME TRUST
(Exact name of registrant as specified in charter)
111 Huntington Avenue, Boston, Massachusetts 02199
(Address of principal executive offices) (Zip code)
Kristin V. Collins
Massachusetts Financial Services Company
111 Huntington Avenue
Boston, Massachusetts 02199
(Name and address of agents for service)
Registrant’s telephone number, including area code: (617) 954-5000
Date of fiscal year end: October 31
Date of reporting period: July 31, 2016
| ITEM 1. | SCHEDULE OF INVESTMENTS. |
QUARTERLY REPORT
July 31, 2016
MFS® INTERMEDIATE INCOME TRUST
PORTFOLIO OF INVESTMENTS
7/31/16 (unaudited)
The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - 99.6% | ||||||||
| Asset-Backed & Securitized - 5.7% | ||||||||
| AmeriCredit Automobile Receivables Trust, 2015-3, “A2A”, 1.07%, 1/08/2019 | $ | 1,024,417 | $ | 1,024,123 | ||||
| ARI Fleet Lease Trust, 2016-A, “A2”, 1.82%, 7/15/2024 (n) | 405,000 | 405,533 | ||||||
| Babson Ltd., CLO, “A1”, FRN, 0.904%, 1/18/2021 (n) | 172,585 | 171,214 | ||||||
| Chesapeake Funding II LLC, 2016-1A, “A2”, FRN, 1.592%, 3/15/2028 (n) | 1,500,000 | 1,507,229 | ||||||
| Chesapeake Funding LLC, 2015-1A, “A”, FRN, 0.998%, 2/07/2027 (n) | 3,699,106 | 3,692,341 | ||||||
| Commercial Mortgage Acceptance Corp., FRN, 2.022%, 9/15/2030 (i) | 1,241,577 | 3,101 | ||||||
| Credit Acceptance Auto Loan Trust, 2015-2A, “A”, 2.4%, 2/15/2023 (n) | 2,126,000 | 2,136,673 | ||||||
| Credit Suisse Commercial Mortgage Trust, “A4”, FRN, 5.939%, 9/15/2039 | 876,814 | 902,118 | ||||||
| Credit Suisse Mortgage Capital Certificate, 5.695%, 9/15/2040 | 1,474,792 | 1,517,762 | ||||||
| CWCapital Cobalt Ltd., “A4”, FRN, 5.764%, 5/15/2046 | 1,147,336 | 1,179,249 | ||||||
| Exeter Automobile Receivables Trust, 2015-2A, “A”, 1.54%, 11/15/2019 (n) | 1,231,929 | 1,229,372 | ||||||
| Falcon Franchise Loan LLC, FRN, 7.326%, 1/05/2023 (i)(z) | 260,605 | 10,419 | ||||||
| Flagship Credit Auto Trust, 2016-1, “A”, 2.77%, 12/15/2020 (n) | 416,711 | 419,782 | ||||||
| Ford Credit Auto Owner Trust, 2014-1,“A”, 2.26%, 11/15/2025 (n) | 339,000 | 345,531 | ||||||
| Ford Credit Auto Owner Trust, 2014-2,“A”, 2.31%, 4/15/2026 (n) | 1,247,000 | 1,274,443 | ||||||
| Ford Credit Floorplan Master Owner Trust, 2015-1, “A2”, FRN, 0.881%, 1/15/2020 | 2,470,000 | 2,468,284 | ||||||
| GE Dealer Floorplan Master Note Trust, 2014-1, “A”, FRN, 0.866%, 7/20/2019 | 2,270,000 | 2,264,145 | ||||||
| GO Financial Auto Securitization Trust, 2015-1, “A”, 1.81%, 3/15/2018 (n) | 225,880 | 225,696 | ||||||
| GO Financial Auto Securitization Trust, 2015-2, “A”, 11/19/15, 3.27%, 11/15/2018 (n) | 680,641 | 679,130 | ||||||
| Hertz Fleet Lease Funding LP, 2016-1, “A2”, 1.96%, 4/10/2030 (n) | 1,030,000 | 1,033,844 | ||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., 5.42%, 1/15/2049 | 1,849,946 | 1,875,410 | ||||||
| Kingsland III Ltd., “A1”, CDO, FRN, 0.876%, 8/24/2021 (n) | 410,280 | 410,175 | ||||||
| Kubota Credit Owner Trust, 2015-1A, “A2”, 0.94%, 12/15/2017 (n) | 856,787 | 856,580 | ||||||
| Loomis, Sayles & Co., CLO, “A1”, FRN, 2.21%, 10/15/2027 (z) | 1,117,883 | 1,111,809 | ||||||
| Mercedes-Benz Master Owner Trust, 2016-AA, “A, FRN, 1.061%, 5/15/2020 (n) | 1,800,000 | 1,802,978 | ||||||
| Motor PLC, 2014-1A, “A1”, FRN, 0.967%, 8/25/2021 (n) | 55,160 | 55,147 | ||||||
| Nextgear Floorplan Master Owner Trust, 2015-1A, “A”, 1.8%, 7/15/2019 (n) | 1,301,000 | 1,298,109 | ||||||
| Sierra Receivables Funding Co. LLC, 2015-1A, “A”, 2.4%, 3/22/2032 (n) | 963,423 | 967,085 | ||||||
| Suntrust Auto Receivables Trust, 0.99%, 6/15/2018 (n) | 1,072,017 | 1,072,250 | ||||||
| Sway Residential Trust, 2014-1, “A”, FRN, 1.782%, 1/17/2032 (n) | 1,119,528 | 1,116,866 | ||||||
|
|
|
|||||||
| $ | 33,056,398 | |||||||
| Automotive - 4.0% | ||||||||
| American Honda Finance Corp., FRN, 1.157%, 10/07/2016 | $ | 790,000 | $ | 790,699 | ||||
| Daimler Finance North America LLC, 1.875%, 1/11/2018 (n) | 3,640,000 | 3,671,006 | ||||||
| Daimler Finance North America LLC, 1.65%, 5/18/2018 (n) | 3,000,000 | 3,016,623 | ||||||
| Ford Motor Credit Co. LLC, 2.021%, 5/03/2019 | 1,360,000 | 1,371,691 | ||||||
| Ford Motor Credit Co. LLC, FRN, 1.18%, 9/08/2017 | 800,000 | 798,539 | ||||||
| Ford Motor Credit Co. LLC, FRN, 1.604%, 1/09/2018 | 1,670,000 | 1,670,559 | ||||||
| Hyundai Capital America, 1.875%, 8/09/2016 (n) | 1,590,000 | 1,590,304 | ||||||
| Hyundai Capital America, 2%, 3/19/2018 (n) | 2,313,000 | 2,326,600 | ||||||
| Hyundai Capital America, 2.4%, 10/30/2018 (n) | 1,480,000 | 1,500,646 | ||||||
| Nissan Motor Acceptance Corp., FRN, 1.34%, 9/26/2016 (n) | 2,520,000 | 2,522,336 | ||||||
| Nissan Motor Acceptance Corp., FRN, 1.231%, 3/03/2017 (n) | 1,340,000 | 1,340,714 | ||||||
| Volkswagen Group of America Finance LLC, 1.65%, 5/22/2018 (n) | 2,310,000 | 2,308,408 | ||||||
|
|
|
|||||||
| $ | 22,908,125 | |||||||
| Broadcasting - 0.2% | ||||||||
| SES Global Americas Holdings GP, 2.5%, 3/25/2019 (n) | $ | 910,000 | $ | 915,577 | ||||
| Brokerage & Asset Managers - 1.1% | ||||||||
| CME Group, Inc., 3%, 3/15/2025 | $ | 1,879,000 | $ | 2,005,902 | ||||
| Franklin Resources, Inc., 1.375%, 9/15/2017 | 588,000 | 590,525 | ||||||
1
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Brokerage & Asset Managers - continued | ||||||||
| Intercontinental Exchange, Inc., 2.75%, 12/01/2020 | $ | 2,388,000 | $ | 2,495,887 | ||||
| NYSE Euronext, 2%, 10/05/2017 | 1,558,000 | 1,571,947 | ||||||
|
|
|
|||||||
| $ | 6,664,261 | |||||||
| Building - 0.2% | ||||||||
| CRH PLC, 8.125%, 7/15/2018 | $ | 1,160,000 | $ | 1,294,913 | ||||
| Business Services - 0.6% | ||||||||
| Cisco Systems, Inc., FRN, 0.961%, 3/03/2017 | $ | 2,730,000 | $ | 2,734,619 | ||||
| Fidelity National Information Services, Inc., 2.85%, 10/15/2018 | 665,000 | 682,075 | ||||||
|
|
|
|||||||
| $ | 3,416,694 | |||||||
| Cable TV - 1.0% | ||||||||
| Cox Communications, Inc., 3.25%, 12/15/2022 (n) | $ | 2,925,000 | $ | 2,969,896 | ||||
| Time Warner Cable, Inc., 4%, 9/01/2021 | 2,770,000 | 2,958,526 | ||||||
|
|
|
|||||||
| $ | 5,928,422 | |||||||
| Chemicals - 0.9% | ||||||||
| Chevron Phillips Chemical Co. LLC, 1.7%, 5/01/2018 (n) | $ | 1,810,000 | $ | 1,808,027 | ||||
| Dow Chemical Co., 8.55%, 5/15/2019 | 2,490,000 | 2,965,142 | ||||||
| LyondellBasell Industries N.V., 5%, 4/15/2019 | 690,000 | 747,545 | ||||||
|
|
|
|||||||
| $ | 5,520,714 | |||||||
| Computer Software - 0.8% | ||||||||
| Diamond 1 Finance Corp./Diamond 2 Finance Corp., 3.48%, 6/01/2019 (n) | $ | 1,140,000 | $ | 1,172,633 | ||||
| Microsoft Corp., 3.125%, 11/03/2025 | 3,110,000 | 3,336,986 | ||||||
|
|
|
|||||||
| $ | 4,509,619 | |||||||
| Computer Software - Systems - 0.3% | ||||||||
| Apple, Inc., FRN, 1.009%, 5/03/2018 | $ | 1,560,000 | $ | 1,563,200 | ||||
| Conglomerates - 0.2% | ||||||||
| Fortive Corp., 1.8%, 6/15/2019 (z) | $ | 670,000 | $ | 675,225 | ||||
| General Electric Capital Corp., 6%, 8/07/2019 | 338,000 | 386,070 | ||||||
| General Electric Capital Corp., 3.1%, 1/09/2023 | 316,000 | 337,859 | ||||||
|
|
|
|||||||
| $ | 1,399,154 | |||||||
| Consumer Products - 1.0% | ||||||||
| Newell Rubbermaid, Inc., 2.875%, 12/01/2019 | $ | 1,530,000 | $ | 1,574,023 | ||||
| Newell Rubbermaid, Inc., 4.2%, 4/01/2026 | 1,438,000 | 1,571,048 | ||||||
| Reckitt Benckiser Treasury Services PLC, 3.625%, 9/21/2023 (n) | 2,274,000 | 2,473,825 | ||||||
|
|
|
|||||||
| $ | 5,618,896 | |||||||
| Consumer Services - 0.2% | ||||||||
| Experian Finance PLC, 2.375%, 6/15/2017 (n) | $ | 1,154,000 | $ | 1,160,578 | ||||
| Defense Electronics - 0.3% | ||||||||
| BAE Systems Holdings, Inc., 6.375%, 6/01/2019 (n) | $ | 1,400,000 | $ | 1,569,068 | ||||
| Electrical Equipment - 0.6% | ||||||||
| Amphenol Corp., 1.55%, 9/15/2017 | $ | 890,000 | $ | 891,820 | ||||
| Arrow Electronics, Inc., 3%, 3/01/2018 | 742,000 | 753,126 | ||||||
| Molex Electronic Technologies LLC, 2.878%, 4/15/2020 (n) | 1,703,000 | 1,714,189 | ||||||
|
|
|
|||||||
| $ | 3,359,135 | |||||||
| Electronics - 0.1% | ||||||||
| Tyco Electronics Group S.A., 2.375%, 12/17/2018 | $ | 623,000 | $ | 634,129 | ||||
2
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Emerging Market Quasi-Sovereign - 2.1% | ||||||||
| CNPC (HK) Overseas Capital Ltd., 4.5%, 4/28/2021 (n) | $ | 1,090,000 | $ | 1,200,526 | ||||
| Corporacion Financiera de Desarrollo S.A., 3.25%, 7/15/2019 (n) | 1,337,000 | 1,374,436 | ||||||
| Corporacion Financiera de Desarrollo S.A., 4.75%, 2/08/2022 (n) | 228,000 | 246,240 | ||||||
| Corporacion Nacional del Cobre de Chile, 3.75%, 11/04/2020 (n) | 840,000 | 909,476 | ||||||
| Empresa Nacional del Petroleo, 6.25%, 7/08/2019 | 723,000 | 811,658 | ||||||
| Korea Gas Corp., 2.25%, 7/25/2017 (n) | 1,630,000 | 1,644,707 | ||||||
| Petroleos Mexicanos, 6%, 3/05/2020 | 2,970,000 | 3,204,630 | ||||||
| Sinopec Capital (2013) Ltd., 3.125%, 4/24/2023 (n) | 1,466,000 | 1,486,181 | ||||||
| State Grid International Development Co. Ltd., 1.75%, 5/22/2018 (n) | 1,330,000 | 1,334,440 | ||||||
|
|
|
|||||||
| $ | 12,212,294 | |||||||
| Emerging Market Sovereign - 0.8% | ||||||||
| Republic of Poland, 5%, 3/23/2022 | $ | 772,000 | $ | 884,905 | ||||
| State of Qatar, 2.375%, 6/02/2021 (z) | 1,700,000 | 1,712,920 | ||||||
| United Mexican States, 3.625%, 3/15/2022 | 1,754,000 | 1,852,224 | ||||||
|
|
|
|||||||
| $ | 4,450,049 | |||||||
| Energy - Independent - 0.3% | ||||||||
| Anadarko Petroleum Corp., 6.375%, 9/15/2017 | $ | 215,000 | $ | 225,418 | ||||
| Hess Corp., 8.125%, 2/15/2019 | 1,230,000 | 1,389,852 | ||||||
|
|
|
|||||||
| $ | 1,615,270 | |||||||
| Energy - Integrated - 1.9% | ||||||||
| BG Energy Capital PLC, 2.875%, 10/15/2016 (n) | $ | 2,320,000 | $ | 2,327,958 | ||||
| BP Capital Markets PLC, 4.5%, 10/01/2020 | 853,000 | 947,719 | ||||||
| BP Capital Markets PLC, 4.742%, 3/11/2021 | 1,810,000 | 2,054,341 | ||||||
| LUKOIL International Finance B.V., 3.416%, 4/24/2018 (n) | 1,619,000 | 1,635,028 | ||||||
| LUKOIL International Finance B.V., 4.563%, 4/24/2023 (n) | 2,192,000 | 2,219,400 | ||||||
| Petro-Canada, 6.05%, 5/15/2018 | 904,000 | 973,491 | ||||||
| Total Capital International S.A., 1.5%, 2/17/2017 | 1,000,000 | 1,003,335 | ||||||
|
|
|
|||||||
| $ | 11,161,272 | |||||||
| Financial Institutions - 0.8% | ||||||||
| GE Capital International Funding Co., 2.342%, 11/15/2020 | $ | 984,000 | $ | 1,020,271 | ||||
| GE Capital International Funding Co., 3.373%, 11/15/2025 | 820,000 | 898,989 | ||||||
| LeasePlan Corp. N.V., 3%, 10/23/2017 (n) | 1,970,000 | 1,982,734 | ||||||
| LeasePlan Corp. N.V., 2.5%, 5/16/2018 (n) | 466,000 | 467,649 | ||||||
|
|
|
|||||||
| $ | 4,369,643 | |||||||
| Food & Beverages - 4.8% | ||||||||
| Anheuser-Busch InBev Finance, Inc., 2.65%, 2/01/2021 | $ | 6,000,000 | $ | 6,215,106 | ||||
| Anheuser-Busch InBev Worldwide, Inc., 3.3%, 2/01/2023 | 2,308,000 | 2,433,599 | ||||||
| Coca-Cola Bottling Co. Consolidated, 3.8%, 11/25/2025 | 3,120,000 | 3,359,292 | ||||||
| Diageo Capital PLC, 1.5%, 5/11/2017 | 1,530,000 | 1,536,304 | ||||||
| Grupo Bimbo S.A.B. de C.V., 4.5%, 1/25/2022 (n) | 290,000 | 316,477 | ||||||
| H.J. Heinz Co., 1.6%, 6/30/2017 (n) | 2,090,000 | 2,098,977 | ||||||
| Kerry Group Financial Services, 3.2%, 4/09/2023 (n) | 2,850,000 | 2,859,827 | ||||||
| Kraft Foods Group, Inc., 6.125%, 8/23/2018 | 2,380,000 | 2,603,349 | ||||||
| Mead Johnson Nutrition Co., 3%, 11/15/2020 | 669,000 | 703,833 | ||||||
| Tyson Foods, Inc., 4.5%, 6/15/2022 | 1,447,000 | 1,607,322 | ||||||
| Want Want China Finance Co., 1.875%, 5/14/2018 (n) | 1,430,000 | 1,425,455 | ||||||
| Wm. Wrigley Jr. Co., 2.4%, 10/21/2018 (n) | 613,000 | 625,291 | ||||||
| Wm. Wrigley Jr. Co., 3.375%, 10/21/2020 (n) | 1,876,000 | 2,002,523 | ||||||
|
|
|
|||||||
| $ | 27,787,355 | |||||||
3
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Food & Drug Stores - 0.8% | ||||||||
| CVS Health Corp., 3.875%, 7/20/2025 | $ | 2,479,000 | $ | 2,752,934 | ||||
| Walgreens Boots Alliance, Inc., 3.3%, 11/18/2021 | 1,522,000 | 1,614,757 | ||||||
|
|
|
|||||||
| $ | 4,367,691 | |||||||
| Gaming & Lodging - 0.8% | ||||||||
| Wyndham Worldwide Corp., 2.95%, 3/01/2017 | $ | 1,686,000 | $ | 1,698,827 | ||||
| Wyndham Worldwide Corp., 5.625%, 3/01/2021 | 2,890,000 | 3,227,121 | ||||||
|
|
|
|||||||
| $ | 4,925,948 | |||||||
| Industrial - 0.5% | ||||||||
| Princeton University, 4.95%, 3/01/2019 | $ | 2,860,000 | $ | 3,141,799 | ||||
| Insurance - 1.9% | ||||||||
| American International Group, Inc., 3.75%, 7/10/2025 | $ | 2,808,000 | $ | 2,907,167 | ||||
| Metropolitan Life Global Funding I, 2%, 4/14/2020 (n) | 1,600,000 | 1,620,226 | ||||||
| Principal Financial Group, Inc., 8.875%, 5/15/2019 | 2,230,000 | 2,632,542 | ||||||
| Unum Group, 4%, 3/15/2024 | 2,863,000 | 2,975,788 | ||||||
| Voya Financial, Inc., 2.9%, 2/15/2018 | 870,000 | 887,108 | ||||||
|
|
|
|||||||
| $ | 11,022,831 | |||||||
| Insurance - Health - 1.1% | ||||||||
| Aetna, Inc., 3.2%, 6/15/2026 | $ | 3,100,000 | $ | 3,178,074 | ||||
| UnitedHealth Group, Inc., 3.75%, 7/15/2025 | 2,800,000 | 3,115,308 | ||||||
|
|
|
|||||||
| $ | 6,293,382 | |||||||
| Insurance - Property & Casualty - 2.0% | ||||||||
| Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/2025 | $ | 3,110,000 | $ | 3,224,467 | ||||
| AXIS Capital Holdings Ltd., 5.875%, 6/01/2020 | 1,610,000 | 1,795,361 | ||||||
| Liberty Mutual Group, Inc., 4.95%, 5/01/2022 (n) | 2,197,000 | 2,456,202 | ||||||
| Marsh & McLennan Cos., Inc., 2.35%, 9/10/2019 | 1,260,000 | 1,286,752 | ||||||
| ZFS Finance USA Trust V, 6.5% to 5/09/2017, FRN to 5/09/2067 (n) | 3,000,000 | 3,022,500 | ||||||
|
|
|
|||||||
| $ | 11,785,282 | |||||||
| International Market Quasi-Sovereign - 1.9% | ||||||||
| Bank Nederlandse Gemeenten N.V., 1.375%, 3/19/2018 (n) | $ | 1,746,000 | $ | 1,757,524 | ||||
| Dexia Credit Local S.A., 2.25%, 1/30/2019 (n) | 3,280,000 | 3,341,785 | ||||||
| Electricite de France, 2.15%, 1/22/2019 (n) | 1,784,000 | 1,813,773 | ||||||
| Statoil A.S.A., 1.8%, 11/23/2016 | 1,420,000 | 1,424,007 | ||||||
| Statoil A.S.A., FRN, 1.107%, 5/15/2018 | 2,887,000 | 2,885,126 | ||||||
|
|
|
|||||||
| $ | 11,222,215 | |||||||
| International Market Sovereign - 15.2% | ||||||||
| Commonwealth of Australia, 5.75%, 5/15/2021 | AUD | 3,836,000 | $ | 3,477,528 | ||||
| Federal Republic of Germany, 3.25%, 7/04/2021 | EUR | 1,200,000 | 1,598,708 | |||||
| Federal Republic of Germany, 1.75%, 2/15/2024 | EUR | 4,050,000 | 5,280,213 | |||||
| Government of Canada, 4.25%, 6/01/2018 | CAD | 505,000 | 412,861 | |||||
| Government of Canada, 3.25%, 6/01/2021 | CAD | 1,579,000 | 1,360,662 | |||||
| Government of Canada, 2.5%, 6/01/2024 | CAD | 2,343,000 | 2,020,509 | |||||
| Government of Japan, 0.8%, 6/20/2023 | JPY | 340,000,000 | 3,583,004 | |||||
| Government of Japan, 2.1%, 9/20/2024 | JPY | 220,000,000 | 2,571,522 | |||||
| Government of New Zealand, 5.5%, 4/15/2023 | NZD | 2,664,000 | 2,349,012 | |||||
| Government of Norway, 3.75%, 5/25/2021 | NOK | 6,400,000 | 873,296 | |||||
| Government of Norway, 3%, 3/14/2024 | NOK | 7,844,000 | 1,080,495 | |||||
| Kingdom of Belgium, 4.25%, 9/28/2021 | EUR | 404,000 | 563,181 | |||||
| Kingdom of Belgium, 2.6%, 6/22/2024 | EUR | 2,845,000 | 3,875,150 | |||||
| Kingdom of Denmark, 3%, 11/15/2021 | DKK | 4,447,000 | 785,971 | |||||
4
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| International Market Sovereign - continued | ||||||||
| Kingdom of Denmark, 1.5%, 11/15/2023 | DKK | 4,198,000 | $ | 706,823 | ||||
| Kingdom of Spain, 5.5%, 7/30/2017 | EUR | 711,000 | 839,948 | |||||
| Kingdom of Spain, 4.6%, 7/30/2019 | EUR | 4,110,000 | 5,234,052 | |||||
| Kingdom of Spain, 5.4%, 1/31/2023 | EUR | 1,925,000 | 2,834,383 | |||||
| Kingdom of Sweden, 5%, 12/01/2020 | SEK | 6,500,000 | 943,800 | |||||
| Kingdom of Sweden, 3.5%, 6/01/2022 | SEK | 4,235,000 | 608,063 | |||||
| Kingdom of the Netherlands, 2%, 7/15/2024 | EUR | 1,251,000 | 1,651,415 | |||||
| Republic of Austria, 1.75%, 10/20/2023 | EUR | 210,000 | 270,750 | |||||
| Republic of France, 2.5%, 10/25/2020 | EUR | 1,500,000 | 1,889,644 | |||||
| Republic of France, 5%, 10/25/2016 | EUR | 9,214,000 | 10,431,990 | |||||
| Republic of Italy, 5.25%, 8/01/2017 | EUR | 11,388,000 | 13,419,102 | |||||
| Republic of Italy, 3.75%, 3/01/2021 | EUR | 2,600,000 | 3,374,796 | |||||
| Republic of Italy, 5.5%, 9/01/2022 | EUR | 2,969,000 | 4,308,076 | |||||
| United Kingdom Treasury, 8%, 6/07/2021 | GBP | 2,500,000 | 4,543,972 | |||||
| United Kingdom Treasury, 2.25%, 9/07/2023 | GBP | 4,750,000 | 7,067,382 | |||||
|
|
|
|||||||
| $ | 87,956,308 | |||||||
| Internet - 0.6% | ||||||||
| Baidu, Inc., 3.25%, 8/06/2018 | $ | 1,709,000 | $ | 1,750,457 | ||||
| Baidu, Inc., 2.75%, 6/09/2019 | 1,510,000 | 1,534,613 | ||||||
|
|
|
|||||||
| $ | 3,285,070 | |||||||
| Major Banks - 12.6% | ||||||||
| ABN AMRO Bank N.V., 4.25%, 2/02/2017 (n) | $ | 1,997,000 | $ | 2,026,739 | ||||
| ABN AMRO Bank N.V., 1.8%, 6/04/2018 (n) | 1,450,000 | 1,458,860 | ||||||
| Bank of America Corp., 6.5%, 8/01/2016 | 1,420,000 | 1,420,000 | ||||||
| Bank of America Corp., 6.875%, 4/25/2018 | 1,000,000 | 1,089,003 | ||||||
| Bank of America Corp., 4.125%, 1/22/2024 | 2,876,000 | 3,122,036 | ||||||
| Bank of Montreal, FRN, 1.329%, 7/18/2019 | 2,410,000 | 2,412,786 | ||||||
| Barclays PLC, 3.25%, 1/12/2021 | 2,308,000 | 2,337,739 | ||||||
| BNP Paribas, 2.7%, 8/20/2018 | 1,200,000 | 1,227,973 | ||||||
| BNP Paribas, FRN, 1.136%, 3/17/2017 | 2,660,000 | 2,658,963 | ||||||
| Commonwealth Bank of Australia, 5%, 10/15/2019 (n) | 2,560,000 | 2,827,182 | ||||||
| Credit Suisse Group AG, 6.5%, 8/08/2023 (n) | 915,000 | 997,350 | ||||||
| Credit Suisse New York, 1.75%, 1/29/2018 | 1,440,000 | 1,441,984 | ||||||
| DBS Bank Ltd., 2.35%, 2/28/2017 (n) | 1,830,000 | 1,842,673 | ||||||
| DNB Bank A.S.A., 3.2%, 4/03/2017 (n) | 2,220,000 | 2,249,217 | ||||||
| Goldman Sachs Group, Inc., 2%, 4/25/2019 | 260,000 | 262,637 | ||||||
| Goldman Sachs Group, Inc., 5.75%, 1/24/2022 | 3,044,000 | 3,541,712 | ||||||
| Goldman Sachs Group, Inc., FRN, 1.951%, 4/30/2018 | 1,240,000 | 1,250,292 | ||||||
| Goldman Sachs Group, Inc., FRN, 1.734%, 10/23/2019 | 140,000 | 139,950 | ||||||
| Huntington National Bank, FRN, 1.139%, 4/24/2017 | 2,460,000 | 2,457,948 | ||||||
| ING Bank N.V., 1.8%, 3/16/2018 (n) | 660,000 | 663,899 | ||||||
| ING Bank N.V., 5.8%, 9/25/2023 (n) | 2,912,000 | 3,242,611 | ||||||
| JPMorgan Chase & Co., 2.2%, 10/22/2019 | 2,090,000 | 2,133,953 | ||||||
| JPMorgan Chase & Co., 4.625%, 5/10/2021 | 2,890,000 | 3,220,096 | ||||||
| Mitsubishi UFJ Financial Group, Inc., 2.95%, 3/01/2021 | 1,140,000 | 1,188,570 | ||||||
| Mizuho Bank Ltd., FRN, 1.885%, 10/20/2018 (n) | 2,770,000 | 2,787,019 | ||||||
| Morgan Stanley, 6.625%, 4/01/2018 | 1,532,000 | 1,659,708 | ||||||
| Morgan Stanley, 5.625%, 9/23/2019 | 640,000 | 713,166 | ||||||
| Morgan Stanley, 3.7%, 10/23/2024 | 1,816,000 | 1,918,787 | ||||||
| Morgan Stanley, FRN, 2.131%, 2/01/2019 | 1,850,000 | 1,880,549 | ||||||
| Morgan Stanley, FRN, 1.454%, 7/23/2019 | 1,070,000 | 1,066,290 | ||||||
| PNC Bank N.A., 1.5%, 10/18/2017 | 1,600,000 | 1,605,930 | ||||||
| PNC Bank N.A., 1.6%, 6/01/2018 | 2,340,000 | 2,358,081 | ||||||
| Royal Bank of Canada, FRN, 1.116%, 9/09/2016 | 3,000,000 | 3,001,983 | ||||||
5
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Major Banks - continued | ||||||||
| Royal Bank of Canada, FRN, 1.358%, 12/10/2018 | $ | 3,370,000 | $ | 3,369,784 | ||||
| Sumitomo Mitsui Banking Corp., FRN, 0.984%, 7/11/2017 | 1,720,000 | 1,719,305 | ||||||
| Wells Fargo & Co., FRN, 0.92%, 9/08/2017 | 3,110,000 | 3,106,906 | ||||||
| Westpac Banking Corp., 2%, 8/14/2017 | 2,320,000 | 2,342,560 | ||||||
|
|
|
|||||||
| $ | 72,744,241 | |||||||
| Medical & Health Technology & Services - 0.7% | ||||||||
| Becton, Dickinson and Co., 1.8%, 12/15/2017 | $ | 1,870,000 | $ | 1,882,974 | ||||
| Laboratory Corp. of America Holdings, 2.625%, 2/01/2020 | 2,120,000 | 2,174,134 | ||||||
|
|
|
|||||||
| $ | 4,057,108 | |||||||
| Metals & Mining - 1.2% | ||||||||
| Barrick Gold Corp., 4.1%, 5/01/2023 | $ | 857,000 | $ | 919,484 | ||||
| Freeport-McMoRan Copper & Gold, Inc., 2.375%, 3/15/2018 | 1,090,000 | 1,076,375 | ||||||
| Freeport-McMoRan Copper & Gold, Inc., 3.1%, 3/15/2020 | 1,740,000 | 1,613,311 | ||||||
| Glencore Funding LLC, 2.125%, 4/16/2018 (n) | 1,270,000 | 1,257,188 | ||||||
| Kinross Gold Corp., 5.95%, 3/15/2024 | 1,897,000 | 1,936,837 | ||||||
|
|
|
|||||||
| $ | 6,803,195 | |||||||
| Midstream - 2.1% | ||||||||
| APT Pipelines Ltd., 4.2%, 3/23/2025 (n) | $ | 2,246,000 | $ | 2,312,010 | ||||
| Energy Transfer Partners LP, 4.05%, 3/15/2025 | 2,807,000 | 2,744,875 | ||||||
| Kinder Morgan Energy Partners LP, 3.5%, 3/01/2021 | 1,854,000 | 1,893,129 | ||||||
| ONEOK Partners LP, 3.2%, 9/15/2018 | 1,510,000 | 1,542,145 | ||||||
| Spectra Energy Capital LLC, 8%, 10/01/2019 | 1,299,000 | 1,504,833 | ||||||
| Sunoco Logistics Partners LP, 4.25%, 4/01/2024 | 774,000 | 794,866 | ||||||
| TransCanada PipeLines Ltd., 1.875%, 1/12/2018 | 940,000 | 945,339 | ||||||
| Williams Cos., Inc., 3.7%, 1/15/2023 | 807,000 | 736,388 | ||||||
|
|
|
|||||||
| $ | 12,473,585 | |||||||
| Mortgage-Backed - 2.1% | ||||||||
| Fannie Mae, 6%, 11/01/2016 | $ | 6,808 | $ | 6,829 | ||||
| Fannie Mae, 1.114%, 2/25/2017 | 1,473,776 | 1,474,232 | ||||||
| Fannie Mae, 5.5%, 9/01/2017 - 4/01/2025 | 477,221 | 521,547 | ||||||
| Fannie Mae, 4.5%, 3/01/2019 | 502,369 | 515,739 | ||||||
| Fannie Mae, 5%, 5/01/2019 - 12/01/2020 | 119,716 | 124,244 | ||||||
| Fannie Mae, 6.5%, 11/01/2031 | 1,126,756 | 1,359,163 | ||||||
| Fannie Mae, FRN, 0.728%, 12/25/2017 | 813,736 | 813,983 | ||||||
| Fannie Mae, FRN, 0.837%, 5/25/2018 | 1,441,565 | 1,440,797 | ||||||
| Freddie Mac, 6%, 8/01/2017 - 8/01/2034 | 84,212 | 89,783 | ||||||
| Freddie Mac, 5.5%, 9/01/2017 - 6/01/2020 | 566,650 | 597,907 | ||||||
| Freddie Mac, 3.882%, 11/25/2017 | 1,423,992 | 1,461,593 | ||||||
| Freddie Mac, 5%, 6/01/2019 | 312,440 | 322,679 | ||||||
| Freddie Mac, 4.224%, 3/25/2020 | 2,249,154 | 2,459,005 | ||||||
| Ginnie Mae, 6%, 6/15/2033 - 10/15/2036 | 752,040 | 874,243 | ||||||
| Ginnie Mae, 6.357%, 4/20/2058 | 107,610 | 115,554 | ||||||
|
|
|
|||||||
| $ | 12,177,298 | |||||||
| Network & Telecom - 2.0% | ||||||||
| AT&T, Inc., FRN, 1.576%, 11/27/2018 | $ | 2,940,000 | $ | 2,958,816 | ||||
| British Telecommunications PLC, 2.35%, 2/14/2019 | 1,330,000 | 1,361,525 | ||||||
| Verizon Communications, Inc., 1.35%, 6/09/2017 | 1,130,000 | 1,132,972 | ||||||
| Verizon Communications, Inc., 6.1%, 4/15/2018 | 1,300,000 | 1,407,262 | ||||||
| Verizon Communications, Inc., 5.15%, 9/15/2023 | 3,027,000 | 3,548,567 | ||||||
| Verizon Communications, Inc., FRN, 1.426%, 6/17/2019 | 1,250,000 | 1,265,560 | ||||||
|
|
|
|||||||
| $ | 11,674,702 | |||||||
6
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Oil Services - 0.2% | ||||||||
| Schlumberger Holdings Corp., 1.9%, 12/21/2017 (n) | $ | 1,100,000 | $ | 1,109,470 | ||||
| Oils - 0.2% | ||||||||
| Marathon Petroleum Corp., 3.625%, 9/15/2024 | $ | 1,003,000 | $ | 996,988 | ||||
| Other Banks & Diversified Financials - 9.3% | ||||||||
| Banco de Credito e Inversiones, 3%, 9/13/2017 (n) | $ | 200,000 | $ | 202,104 | ||||
| Banco Santander Chile, FRN, 1.564%, 4/11/2017 (n) | 3,410,000 | 3,410,000 | ||||||
| Bank of Tokyo-Mitsubishi UFJ Ltd., FRN, 1.266%, 9/09/2016 (n) | 2,870,000 | 2,871,593 | ||||||
| Banque Federative du Credit Mutuel, 2.75%, 1/22/2019 (n) | 894,000 | 919,836 | ||||||
| Banque Federative du Credit Mutuel, 2%, 4/12/2019 (n) | 1,810,000 | 1,829,305 | ||||||
| Banque Federative du Credit Mutuel, FRN, 1.593%, 10/28/2016 (n) | 2,490,000 | 2,493,785 | ||||||
| Banque Federative du Credit Mutuel, FRN, 1.545%, 1/20/2017 (n) | 960,000 | 962,081 | ||||||
| Capital One Bank (USA) N.A., FRN, 1.457%, 2/05/2018 | 2,650,000 | 2,645,365 | ||||||
| Citigroup, Inc., FRN, 1.949%, 8/02/2021 | 4,010,000 | 4,025,523 | ||||||
| Citizens Bank N.A., 2.5%, 3/14/2019 | 1,000,000 | 1,016,832 | ||||||
| Citizens Bank N.A., 2.55%, 5/13/2021 | 910,000 | 928,747 | ||||||
| Discover Bank, 3.1%, 6/04/2020 | 1,152,000 | 1,187,824 | ||||||
| Fifth Third Bancorp, 1.35%, 6/01/2017 | 2,570,000 | 2,576,266 | ||||||
| Fifth Third Bancorp, 2.3%, 3/01/2019 | 795,000 | 806,511 | ||||||
| Fifth Third Bancorp, 2.3%, 3/15/2019 | 1,260,000 | 1,287,956 | ||||||
| First Republic Bank, 2.375%, 6/17/2019 | 578,000 | 583,702 | ||||||
| Groupe BPCE S.A., 12.5% to 9/30/2019, FRN to 8/29/2049 (n) | 2,556,000 | 3,206,706 | ||||||
| Intesa Sanpaolo S.p.A., 2.375%, 1/13/2017 | 880,000 | 882,053 | ||||||
| Intesa Sanpaolo S.p.A., 3.875%, 1/16/2018 | 1,752,000 | 1,792,981 | ||||||
| Lloyds Bank PLC, 2.3%, 11/27/2018 | 780,000 | 790,157 | ||||||
| Lloyds Bank PLC, 5.8%, 1/13/2020 (n) | 2,080,000 | 2,335,694 | ||||||
| Rabobank Nederland N.V., 3.375%, 1/19/2017 | 1,757,000 | 1,775,677 | ||||||
| Skandinaviska Enskilda Banken AB, 2.45%, 5/27/2020 (n) | 1,810,000 | 1,853,228 | ||||||
| SunTrust Banks, Inc., 3.3%, 5/15/2026 | 1,473,000 | 1,527,423 | ||||||
| Svenska Handelsbanken AB, FRN, 1.111%, 9/23/2016 | 2,940,000 | 2,942,126 | ||||||
| Swedbank AB, 2.125%, 9/29/2017 (n) | 3,568,000 | 3,602,742 | ||||||
| UBS AG, FRN, 1.197%, 8/14/2017 | 1,470,000 | 1,467,813 | ||||||
| UBS Group Funding Ltd., 3%, 4/15/2021 (n) | 2,505,000 | 2,578,507 | ||||||
| UBS Group Funding Ltd., FRN, 2.08%, 9/24/2020 (n) | 1,680,000 | 1,671,966 | ||||||
|
|
|
|||||||
| $ | 54,174,503 | |||||||
| Personal Computers & Peripherals - 0.1% | ||||||||
| Equifax, Inc., 2.3%, 6/01/2021 | $ | 759,000 | $ | 768,098 | ||||
| Pharmaceuticals - 3.8% | ||||||||
| AbbVie, Inc., 1.8%, 5/14/2018 | $ | 2,410,000 | $ | 2,429,475 | ||||
| Actavis Funding SCS, 3%, 3/12/2020 | 3,625,000 | 3,771,149 | ||||||
| Actavis Funding SCS, 3.45%, 3/15/2022 | 3,000,000 | 3,155,151 | ||||||
| Biogen, Inc., 2.9%, 9/15/2020 | 1,420,000 | 1,485,329 | ||||||
| Celgene Corp., 2.125%, 8/15/2018 | 2,220,000 | 2,252,232 | ||||||
| EMD Finance LLC, 1.7%, 3/19/2018 (n) | 2,500,000 | 2,508,588 | ||||||
| Gilead Sciences, Inc., 3.65%, 3/01/2026 | 3,740,000 | 4,080,187 | ||||||
| Mylan N.V., 2.5%, 6/07/2019 (n) | 940,000 | 957,147 | ||||||
| Teva Pharmaceutical Industries Ltd., 3.15%, 10/01/2026 | 1,420,000 | 1,451,129 | ||||||
|
|
|
|||||||
| $ | 22,090,387 | |||||||
| Pollution Control - 0.5% | ||||||||
| Republic Services, Inc., 5.25%, 11/15/2021 | $ | 2,620,000 | $ | 3,039,716 | ||||
7
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Real Estate - Healthcare - 0.1% | ||||||||
| Welltower, Inc., REIT, 2.25%, 3/15/2018 | $ | 828,000 | $ | 836,390 | ||||
| Real Estate - Office - 0.5% | ||||||||
| Boston Properties LP, REIT, 3.7%, 11/15/2018 | $ | 1,476,000 | $ | 1,543,487 | ||||
| Vornado Realty LP, REIT, 2.5%, 6/30/2019 | 1,169,000 | 1,188,058 | ||||||
|
|
|
|||||||
| $ | 2,731,545 | |||||||
| Real Estate - Retail - 0.3% | ||||||||
| Kimco Realty Corp., REIT, 6.875%, 10/01/2019 | $ | 690,000 | $ | 793,908 | ||||
| WEA Finance LLC/Westfield Co., REIT, 1.75%, 9/15/2017 (n) | 770,000 | 772,114 | ||||||
|
|
|
|||||||
| $ | 1,566,022 | |||||||
| Retailers - 0.2% | ||||||||
| Dollar General Corp., 1.875%, 4/15/2018 | $ | 275,000 | $ | 277,192 | ||||
| Wesfarmers Ltd., 1.874%, 3/20/2018 (n) | 1,119,000 | 1,124,341 | ||||||
|
|
|
|||||||
| $ | 1,401,533 | |||||||
| Specialty Chemicals - 0.2% | ||||||||
| Airgas, Inc., 3.05%, 8/01/2020 | $ | 870,000 | $ | 904,682 | ||||
| Supermarkets - 0.3% | ||||||||
| Kroger Co., 3.85%, 8/01/2023 | $ | 1,489,000 | $ | 1,644,560 | ||||
| Supranational - 1.0% | ||||||||
| Banco Latinoamericano de Comercio Exterior S.A., 3.25%, 5/07/2020 (n) | $ | 1,900,000 | $ | 1,923,750 | ||||
| Corporacion Andina de Fomento, 4.375%, 6/15/2022 | 2,950,000 | 3,288,896 | ||||||
| West African Development Bank, 5.5%, 5/06/2021 (n) | 445,000 | 467,250 | ||||||
|
|
|
|||||||
| $ | 5,679,896 | |||||||
| Telecommunications - Wireless - 1.2% | ||||||||
| America Movil S.A.B. de C.V., 2.375%, 9/08/2016 | $ | 1,007,000 | $ | 1,008,627 | ||||
| American Tower Trust I, REIT, 1.551%, 3/15/2018 (n) | 1,540,000 | 1,533,016 | ||||||
| Rogers Communications, Inc., 6.8%, 8/15/2018 | 1,490,000 | 1,645,446 | ||||||
| SBA Tower Trust, 2.898%, 10/15/2044 (n) | 1,920,000 | 1,943,964 | ||||||
| SBA Tower Trust, 2.877%, 7/15/2046 (z) | 586,000 | 591,349 | ||||||
|
|
|
|||||||
| $ | 6,722,402 | |||||||
| Telephone Services - 0.2% | ||||||||
| Qwest Corp., 6.5%, 6/01/2017 | $ | 1,200,000 | $ | 1,240,596 | ||||
| Tobacco - 0.7% | ||||||||
| Reynolds American, Inc., 8.125%, 6/23/2019 | $ | 1,316,000 | $ | 1,557,974 | ||||
| Reynolds American, Inc., 6.875%, 5/01/2020 | 1,340,000 | 1,587,179 | ||||||
| Reynolds American, Inc., 3.25%, 6/12/2020 | 614,000 | 649,177 | ||||||
|
|
|
|||||||
| $ | 3,794,330 | |||||||
| Transportation - Services - 0.6% | ||||||||
| ERAC USA Finance Co., 2.75%, 3/15/2017 (n) | $ | 1,247,000 | $ | 1,258,519 | ||||
| TTX Co., 2.6%, 6/15/2020 (n) | 2,450,000 | 2,499,818 | ||||||
|
|
|
|||||||
| $ | 3,758,337 | |||||||
| U.S. Government Agencies and Equivalents - 0.8% | ||||||||
| AID-Ukraine, 1.847%, 5/29/2020 | $ | 2,500,000 | $ | 2,557,593 | ||||
| National Credit Union Administration Guaranteed Note, 2.9%, 10/29/2020 | 7,700 | 7,701 | ||||||
| Small Business Administration, 6.35%, 4/01/2021 | 205,984 | 222,213 | ||||||
| Small Business Administration, 6.34%, 5/01/2021 | 133,418 | 143,981 | ||||||
| Small Business Administration, 6.44%, 6/01/2021 | 126,475 | 135,969 | ||||||
8
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| U.S. Government Agencies and Equivalents - continued | ||||||||
| Small Business Administration, 6.625%, 7/01/2021 | $ | 159,079 | $ | 172,183 | ||||
| Small Business Administration, 5.34%, 11/01/2021 | 446,392 | 477,007 | ||||||
| Small Business Administration, 4.93%, 1/01/2024 | 287,861 | 311,908 | ||||||
| Small Business Administration, 5.36%, 11/01/2025 | 388,970 | 426,871 | ||||||
| Small Business Administration, 5.39%, 12/01/2025 | 283,798 | 314,546 | ||||||
|
|
|
|||||||
| $ | 4,769,972 | |||||||
| Utilities - Electric Power - 6.0% | ||||||||
| Dominion Resources, Inc., 1.95%, 8/15/2016 | $ | 2,660,000 | $ | 2,660,934 | ||||
| Dominion Resources, Inc., 3.9%, 10/01/2025 | 2,641,000 | 2,871,440 | ||||||
| E.ON International Finance B.V., 5.8%, 4/30/2018 (n) | 3,000,000 | 3,202,557 | ||||||
| Emera U.S. Finance LP, 2.15%, 6/15/2019 (z) | 670,000 | 679,397 | ||||||
| Enel Finance International S.A., 6.25%, 9/15/2017 (n) | 2,240,000 | 2,359,795 | ||||||
| Eversource Energy, 2.5%, 3/15/2021 | 1,000,000 | 1,031,674 | ||||||
| Exelon Generation Co. LLC, 5.2%, 10/01/2019 | 1,340,000 | 1,479,818 | ||||||
| Exelon Generation Co. LLC, 4.25%, 6/15/2022 | 1,040,000 | 1,114,651 | ||||||
| NextEra Energy Capital Holdings, Inc., 2.056%, 9/01/2017 | 2,727,000 | 2,744,076 | ||||||
| NextEra Energy Capital Holdings, Inc., 2.3%, 4/01/2019 | 1,714,000 | 1,744,249 | ||||||
| Oncor Electric Delivery Co., 4.1%, 6/01/2022 | 2,206,000 | 2,448,636 | ||||||
| PG&E Corp., 2.4%, 3/01/2019 | 1,448,000 | 1,479,566 | ||||||
| PPL WEM Holdings PLC, 5.375%, 5/01/2021 (n) | 546,000 | 608,174 | ||||||
| PSEG Power LLC, 3%, 6/15/2021 | 2,000,000 | 2,065,130 | ||||||
| Southern Co., 2.45%, 9/01/2018 | 2,280,000 | 2,334,214 | ||||||
| Southern Co., 3.25%, 7/01/2026 | 2,482,000 | 2,595,676 | ||||||
| Southern Power Co., 1.85%, 12/01/2017 | 580,000 | 584,589 | ||||||
| Transelec S.A., 4.625%, 7/26/2023 (n) | 927,000 | 1,008,224 | ||||||
| Transelec S.A., 4.25%, 1/14/2025 (n) | 228,000 | 237,706 | ||||||
| Xcel Energy, Inc., 1.2%, 6/01/2017 | 1,500,000 | 1,499,045 | ||||||
|
|
|
|||||||
| $ | 34,749,551 | |||||||
| Total Bonds | $ | 577,024,399 | ||||||
| Money Market Funds - 0.0% | ||||||||
| MFS Institutional Money Market Portfolio, 0.38%, at Net Asset Value (v) | 629 | $ | 629 | |||||
| Total Investments | $ | 577,025,028 | ||||||
| Other Assets, Less Liabilities - 0.4% | 2,282,729 | |||||||
| Net Assets - 100.0% | $ | 579,307,757 | ||||||
| (i) | Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security. |
| (n) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $166,046,471.00 representing 28.7% of net assets. |
| (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 | |||||||||
| Emera U.S. Finance LP, 2.15%, 6/15/2019 | 6/09/16 | $669,762 | $679,397 | |||||||||
| Falcon Franchise Loan LLC, FRN, 7.326%, 1/05/2023 | 1/18/02 | 38,144 | 10,419 | |||||||||
| Fortive Corp., 1.8%, 6/15/2019 | 6/06/16 | 669,310 | 675,225 | |||||||||
| Loomis, Sayles & Co., CLO, “A1”, FRN, 2.21%, 10/15/2027 | 6/27/16 | 1,112,294 | 1,111,809 | |||||||||
9
Portfolio of Investments (unaudited) – continued
| Restricted Securities - continued | Acquisition Date |
Cost | Value | |||||||||
| SBA Tower Trust, 2.877%, 7/15/2046 | 6/21/16 | $586,000 | $591,349 | |||||||||
| State of Qatar, 2.375%, 6/02/2021 | 5/25/16 | 1,682,273 | 1,712,920 | |||||||||
| Total Restricted Securities | $4,781,119 | |||||||||||
| % of Net assets | 0.8% | |||||||||||
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 the current rate may not be the rate reported at period end. | |
| PLC | Public Limited Company | |
| REIT | Real Estate Investment Trust |
Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below:
| AUD | Australian Dollar | |
| CAD | Canadian Dollar | |
| DKK | Danish Krone | |
| EUR | Euro | |
| GBP | British Pound | |
| JPY | Japanese Yen | |
| NOK | Norwegian Krone | |
| NZD | New Zealand Dollar | |
| SEK | Swedish Krona |
Derivative Contracts at 7/31/16
Forward Foreign Currency Exchange Contracts at 7/31/16
| Type | Currency | Counterparty | Contracts to Deliver/Receive |
Settlement Date Range |
In Exchange For |
Contracts at Value |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||
| Asset Derivatives | ||||||||||||||||||||||
| SELL | AUD | Westpac Banking Corp. |
4,469,012 | 9/30/16 | $3,400,226 | $3,389,956 | $10,270 | |||||||||||||||
| SELL | CAD | Merrill Lynch International |
4,854,367 | 9/30/16 | 3,727,877 | 3,719,073 | 8,804 | |||||||||||||||
| BUY | EUR | Goldman Sachs International |
2,000,000 | 9/30/16 | 2,219,700 | 2,241,567 | 21,867 | |||||||||||||||
| SELL | EUR | Deutsche Bank AG |
24,603,977 | 9/15/16 | 27,822,177 | 27,556,436 | 265,741 | |||||||||||||||
| SELL | GBP | Merrill Lynch International |
9,405,477 | 9/30/16 | 12,492,825 | 12,460,408 | 32,417 | |||||||||||||||
| SELL | NOK | Deutsche Bank AG |
16,602,437 | 9/30/16 | 1,972,019 | 1,967,958 | 4,061 | |||||||||||||||
| SELL | NZD | Westpac Banking Corp. |
3,052,658 | 9/30/16 | 2,223,303 | 2,198,807 | 24,496 | |||||||||||||||
| SELL | SEK | Goldman Sachs International |
11,649,976 | 9/30/16 | 1,371,981 | 1,365,502 | 6,479 | |||||||||||||||
|
|
|
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| $374,135 | ||||||||||||||||||||||
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|
|
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| Liability Derivatives | ||||||||||||||||||||||
| SELL | DKK | Goldman Sachs International |
9,466,576 | 9/30/16 | $1,413,894 | $1,426,408 | $(12,514 | ) | ||||||||||||||
| SELL | EUR | Goldman Sachs International |
27,808,723 | 9/30/16 | 30,988,734 | 31,167,558 | (178,824 | ) | ||||||||||||||
| SELL | JPY | Goldman Sachs International |
550,245,901 | 9/30/16 | 5,260,377 | 5,404,913 | (144,536 | ) | ||||||||||||||
|
|
|
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| $(335,874 | ) | |||||||||||||||||||||
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10
Portfolio of Investments (unaudited) – continued
Futures Contracts at 7/31/16
| Description | Currency | Contracts | Value | Expiration Date | Unrealized Appreciation (Depreciation) |
|||||||||||||
| Liability Derivatives | ||||||||||||||||||
| Interest Rate Futures | ||||||||||||||||||
| U.S. Treasury Note 10 yr (Long) | USD | 240 | 31,931,250 | September - 2016 | $880,806 | |||||||||||||
|
|
|
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At July 31, 2016, the fund had cash collateral of $324,000 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.
11
Supplemental Information
7/31/16 (unaudited)
The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
(1) Investment Valuations
Debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party pricing service. Forward foreign currency exchange contracts are generally valued at the mean of bid and asked prices for the time period interpolated from rates provided by a third-party pricing service for proximate time periods. Open-end investment companies are generally valued at net asset value per share. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. Values obtained from third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.
The Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments (including any fair valuation) to the adviser pursuant to valuation policies and procedures approved by the Board. If the adviser determines that reliable market quotations are not readily available, investments are valued at fair value as determined in good faith by the adviser in accordance with such procedures under the oversight of the Board of Trustees. Under the fund’s valuation policies and procedures, market quotations are not considered to be readily available for most types of debt instruments and floating rate loans and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services. In addition, investments may be valued at fair value if the adviser determines that an investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund’s net asset value, or after the halting of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.
Various inputs are used in determining the value of the fund’s assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments.
12
Supplemental Information (unaudited) – continued
Other financial instruments are derivative instruments not reflected in total investments, such as futures contracts and forward foreign currency exchange contracts. The following is a summary of the levels used as of July 31, 2016 in valuing the fund’s assets or liabilities:
| Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| U.S. Treasury Bonds & U.S. Government Agency & Equivalents | $— | $4,769,972 | $— | $4,769,972 | ||||||||||||
| Non-U.S. Sovereign Debt | — | 121,520,762 | — | 121,520,762 | ||||||||||||
| U.S. Corporate Bonds | — | 249,688,086 | — | 249,688,086 | ||||||||||||
| Residential Mortgage-Backed Securities | — | 13,294,164 | — | 13,294,164 | ||||||||||||
| Commercial Mortgage-Backed Securities | — | 5,488,059 | — | 5,488,059 | ||||||||||||
| Asset-Backed Securities (including CDOs) | — | 26,451,473 | — | 26,451,473 | ||||||||||||
| Foreign Bonds | — | 155,811,883 | — | 155,811,883 | ||||||||||||
| Mutual Funds | 629 | — | — | 629 | ||||||||||||
| Total Investments | $629 | $577,024,399 | $— | $577,025,028 | ||||||||||||
| Other Financial Instruments | ||||||||||||||||
| Futures Contracts | $880,806 | $— | $— | $880,806 | ||||||||||||
| Forward Currency Contracts | — | 38,261 | — | 38,261 | ||||||||||||
For further information regarding security characteristics, see the Portfolio of Investments.
(4) 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 | $572,699,612 | |||
| Gross unrealized appreciation | 17,629,158 | |||
| Gross unrealized depreciation | (13,303,742 | ) | ||
| Net unrealized appreciation (depreciation) | $4,325,416 |
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 | 777 | 88,771,126 | (88,771,274 | ) | 629 | |||||||||||
| Underlying Affiliated Fund | Realized Gain (Loss) |
Capital Gain Distributions |
Dividend Income |
Ending Value |
||||||||||||
| MFS Institutional Money Market Portfolio | $— | $— | $12,932 | $629 | ||||||||||||
(4) Issuer Country Weightings
Issuer country weighting percentages of portfolio holdings based on net assets, as of July 31, 2016, are as follows:
| United States | 51.6% | |||
| United Kingdom | 5.3% | |||
| France | 5.0% | |||
| Italy | 4.6% | |||
| Germany | 3.7% | |||
| Canada | 3.4% | |||
| Japan | 3.4% | |||
| Netherlands | 2.6% | |||
| Switzerland | 2.2% | |||
| Other Countries | 18.2% |
The issuer country weighting percentages include both accrued interest amounts and the equivalent exposure from any derivative holdings, if applicable.
13
| ITEM 2. | CONTROLS AND PROCEDURES. |
| (a) | Based upon their evaluation of the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as conducted within 90 days of the filing date of this Form N-Q, the registrant’s principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
| (b) | There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
| ITEM 3. | EXHIBITS. |
File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto.
Notice
A copy of the Amended and Restated Declaration of Trust, as amended, of the Registrant is on file with the Secretary of State of The Commonwealth of Massachusetts and notice is hereby given that this instrument is executed on behalf of the Registrant by an officer of the Registrant as an officer and not individually and the obligations of or arising out of this instrument are not binding upon any of the Trustees or shareholders individually, but are binding only upon the assets and property of the respective constituent series of the Registrant.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: MFS INTERMEDIATE INCOME TRUST
| By (Signature and Title)* | ROBIN A. STELMACH | |
| Robin A. Stelmach, President |
Date: September 16, 2016
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By (Signature and Title)* | ROBIN A. STELMACH | |
| Robin A. Stelmach, President (Principal Executive Officer) |
Date: September 16, 2016
| By (Signature and Title)* | DAVID L. DILORENZO | |
| David L. DiLorenzo, Treasurer (Principal Financial Officer and Accounting Officer) |
Date: September 16, 2016
| * | Print name and title of each signing officer under his or her signature. |