MFS INTERMEDIATE INCOME TRUST N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-5440

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)

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: October 31

Date of reporting period: July 31, 2015


ITEM 1. SCHEDULE OF INVESTMENTS.


QUARTERLY REPORT

July 31, 2015

 

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MFS® INTERMEDIATE INCOME TRUST

 

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PORTFOLIO OF INVESTMENTS

7/31/15 (unaudited)

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

 

Issuer    Shares/Par     Value ($)  
Bonds - 97.7%                 
Asset-Backed & Securitized - 6.6%                 
ARI Fleet Lease Trust, “A”, FRN, 0.737%, 3/15/20 (n)    $ 55,781      $ 55,773   
Babson Ltd., CLO, “A1”, FRN, 0.512%, 1/18/21 (z)      625,507        615,814   
Chesapeake Funding LLC, “A”, FRN, 0.938%, 11/07/23 (n)      432,280        432,303   
Chesapeake Funding LLC, 2015-1A, “A”, FRN, 0.688%, 2/07/27 (n)      4,260,000        4,257,389   
Commercial Mortgage Acceptance Corp., FRN, 1.989%, 9/15/30 (i)      1,460,468        29,125   
Credit Suisse Commercial Mortgage Trust, “A4”, FRN, 5.948%, 9/15/39      928,506        983,820   
Credit Suisse Mortgage Capital Certificate, FRN, 5.695%, 9/15/40      2,000,000        2,118,150   
CWCapital Cobalt Ltd., “A4”, FRN, 5.766%, 5/15/46      1,214,071        1,291,667   
DT Auto Owner Trust, 0.98%, 4/16/18 (n)      1,234,764        1,234,586   
Exeter Automobile Receivables Trust, 2015-2A, “A”, 1.54%, 11/15/19 (n)      2,914,601        2,913,132   
Falcon Franchise Loan LLC, FRN, 6.62%, 1/05/23 (i)(z)      740,989        77,878   
Ford Credit Auto Owner Trust, 2014-1,“A”, 2.26%, 11/15/25 (n)      339,000        342,325   
Ford Credit Auto Owner Trust, 2014-2,“A”, 2.31%, 4/15/26 (n)      1,247,000        1,257,646   
Ford Credit Floorplan Master Owner Trust, 2015-1, “A2”, FRN, 0.587%, 1/15/20      2,470,000        2,468,236   
GE Dealer Floorplan Master Note Trust, 2014-1, “A”, FRN, 0.568%, 7/20/19      2,270,000        2,262,066   
GM Financial Automobile Leasing Trust, 2014-2A, “A2”, 0.73%, 2/20/17 (n)      1,565,345        1,564,655   
Go Financial Auto Securitization Trust, 2015-1, “A”, 1.81%, 3/15/18 (z)      1,179,459        1,178,266   
HLSS Servicer Advance Receivables Trust, 2013-T1, “A2”, 1.495%, 1/16/46 (n)      2,080,000        2,077,920   
JPMorgan Chase Commercial Mortgage Securities Corp., 5.42%, 1/15/49      1,925,248        2,014,974   
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.475%, 4/15/43      2,162,980        2,186,094   
Kingsland III Ltd., “A1”, CDO, FRN, 0.497%, 8/24/21 (n)      805,495        801,261   
Kubota Credit Owner Trust, 2015-1A, “A2”, 0.94%, 12/15/17 (n)      2,160,000        2,161,916   
Motor PLC, 2014-1A, “A1”, FRN, 0.67%, 8/25/21 (n)      808,920        809,331   
Nextgear Floorplan Master Owner Trust, 2015-1A, “A”, 1.8%, 7/15/19 (z)      1,301,000        1,301,356   
Sierra Receivables Funding Co. LLC, 2015-1A, “A”, 2.4%, 3/22/32 (n)      1,737,611        1,733,458   
Suntrust Auto Receivables Trust, 0.99%, 6/15/18 (n)      2,430,000        2,429,948   
Wachovia Bank Commercial Mortgage Trust, 5.418%, 1/15/45      1,456,733        1,462,980   
    

 

 

 
      $ 40,062,069   
Automotive - 4.1%                 
American Honda Finance Corp., FRN, 0.657%, 5/26/16 (n)    $ 2,000,000      $ 2,004,716   
American Honda Finance Corp., FRN, 0.784%, 10/07/16      790,000        793,053   
Daimler Finance North America LLC, 1.875%, 1/11/18 (n)      3,640,000        3,653,766   
Daimler Finance North America LLC, 1.65%, 5/18/18 (n)      3,000,000        2,991,003   
Ford Motor Credit Co. LLC, 4.207%, 4/15/16      1,970,000        2,010,440   
Ford Motor Credit Co. LLC, FRN, 0.798%, 9/08/17      800,000        794,537   
Ford Motor Credit Co. LLC, FRN, 1.223%, 1/09/18      1,670,000        1,671,476   
Harley-Davidson Financial Services, Inc., 3.875%, 3/15/16 (n)      2,880,000        2,932,566   
Hyundai Capital America, 1.875%, 8/09/16 (n)      1,590,000        1,598,621   
Nissan Motor Acceptance Corp., FRN, 0.98%, 9/26/16 (n)      2,520,000        2,529,773   
Nissan Motor Acceptance Corp., FRN, 0.832%, 3/03/17 (n)      1,340,000        1,341,867   
Volkswagen Group of America Finance LLC, 1.65%, 5/22/18 (n)      2,310,000        2,300,169   
    

 

 

 
      $ 24,621,987   
Banks & Diversified Financials (Covered Bonds) - 1.2%                 
Australia & New Zealand Banking Group, FRN, 0.893%, 10/06/15 (n)    $ 1,150,000      $ 1,150,953   
BNP Paribas Home Loan, 2.2%, 11/02/15 (n)      2,640,000        2,649,662   
Hypothekenbank Frankfurt AG, 5.125%, 1/21/16      3,140,000        3,190,601   
    

 

 

 
      $ 6,991,216   

 

1


Portfolio of Investments (unaudited) - continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Broadcasting - 0.3%                 
Discovery Communications, Inc., 3.45%, 3/15/25    $ 701,000      $ 659,518   
SES Global Americas Holdings GP, 2.5%, 3/25/19 (n)      910,000        904,845   
    

 

 

 
      $ 1,564,363   
Brokerage & Asset Managers - 0.7%                 
CME Group, Inc., 3%, 3/15/25    $ 1,879,000      $ 1,836,895   
Franklin Resources, Inc., 1.375%, 9/15/17      588,000        588,123   
NYSE Euronext, 2%, 10/05/17      1,558,000        1,574,945   
    

 

 

 
      $ 3,999,963   
Building - 0.3%                 
CRH PLC, 8.125%, 7/15/18    $ 1,160,000      $ 1,354,698   
Owens Corning, Inc., 4.2%, 12/15/22      576,000        585,106   
    

 

 

 
      $ 1,939,804   
Business Services - 0.5%                 
Cisco Systems, Inc., FRN, 0.562%, 3/03/17    $ 2,730,000      $ 2,734,139   
Cable TV - 0.9%                 
Cox Communications, Inc., 3.25%, 12/15/22 (n)    $ 2,925,000      $ 2,776,843   
Time Warner Cable, Inc., 4%, 9/01/21      2,770,000        2,781,174   
    

 

 

 
      $ 5,558,017   
Chemicals - 0.9%                 
Chevron Phillips Chemical Co. LLC, 1.7%, 5/01/18 (n)    $ 1,810,000      $ 1,804,910   
Dow Chemical Co., 8.55%, 5/15/19      2,490,000        3,027,765   
LyondellBasell Industries N.V., 5%, 4/15/19      690,000        748,631   
    

 

 

 
      $ 5,581,306   
Computer Software - Systems - 0.4%                 
Apple, Inc., FRN, 0.528%, 5/03/18    $ 1,560,000      $ 1,561,699   
Seagate HDD Cayman, 3.75%, 11/15/18      751,000        782,004   
    

 

 

 
      $ 2,343,703   
Conglomerates - 0.3%                 
ABB Treasury Center (USA), Inc., 2.5%, 6/15/16 (n)    $ 1,655,000      $ 1,677,453   
Consumer Products - 0.6%                 
Newell Rubbermaid, Inc., 2.875%, 12/01/19    $ 1,530,000      $ 1,549,414   
Reckitt Benckiser Treasury Services PLC, 3.625%, 9/21/23 (n)      2,274,000        2,340,294   
    

 

 

 
      $ 3,889,708   
Consumer Services - 0.5%                 
Experian Finance PLC, 2.375%, 6/15/17 (n)    $ 1,154,000      $ 1,162,115   
Priceline Group, Inc., 3.65%, 3/15/25      1,879,000        1,840,321   
    

 

 

 
      $ 3,002,436   
Defense Electronics - 0.3%                 
BAE Systems Holdings, Inc., 6.375%, 6/01/19 (n)    $ 1,400,000      $ 1,597,641   
Electrical Equipment - 0.5%                 
Amphenol Corp., 1.55%, 9/15/17    $ 890,000      $ 889,264   
Arrow Electronics, Inc., 3%, 3/01/18      742,000        755,427   
Molex Electronic Technologies LLC, 2.878%, 4/15/20 (n)      1,703,000        1,682,022   
    

 

 

 
      $ 3,326,713   

 

2


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Electronics - 0.3%                 
Lam Research Corp., 2.75%, 3/15/20    $ 1,152,000      $ 1,147,678   
Tyco Electronics Group S.A., 2.375%, 12/17/18      623,000        629,683   
    

 

 

 
      $ 1,777,361   
Emerging Market Quasi-Sovereign - 2.5%                 
CNPC (HK) Overseas Capital Ltd., 4.5%, 4/28/21 (n)    $ 1,090,000      $ 1,159,883   
Corporacion Financiera de Desarrollo S.A., 3.25%, 7/15/19 (z)      1,337,000        1,350,370   
Corporacion Financiera de Desarrollo S.A., 4.75%, 2/08/22 (n)      228,000        237,622   
Corporacion Nacional del Cobre de Chile, 3.75%, 11/04/20 (n)      840,000        865,937   
Empresa Nacional del Petroleo, 6.25%, 7/08/19      723,000        801,802   
Korea Gas Corp., 2.25%, 7/25/17 (n)      1,630,000        1,648,258   
Petroleos Mexicanos, 6%, 3/05/20      2,970,000        3,322,688   
Petronas Capital Ltd., 7.875%, 5/22/22      1,089,000        1,387,520   
Ras Laffan Liquefied Natural Gas Co. Ltd., 6.75%, 9/30/19 (n)      1,584,000        1,870,292   
Sinopec Capital (2013) Ltd., 3.125%, 4/24/23 (n)      1,466,000        1,410,428   
State Grid International Development Co. Ltd., 1.75%, 5/22/18 (n)      1,330,000        1,320,336   
    

 

 

 
      $ 15,375,136   
Emerging Market Sovereign - 1.0%                 
Republic of Poland, 5%, 3/23/22    $ 772,000      $ 862,363   
Republic of Slovakia, 4.375%, 5/21/22 (n)      2,960,000        3,265,442   
United Mexican States, 3.625%, 3/15/22      1,754,000        1,777,679   
    

 

 

 
      $ 5,905,484   
Energy - Independent - 0.5%                 
Anadarko Petroleum Corp., 6.375%, 9/15/17    $ 1,700,000      $ 1,858,243   
Hess Corp., 8.125%, 2/15/19      1,230,000        1,451,796   
    

 

 

 
      $ 3,310,039   
Energy - Integrated - 1.8%                 
BG Energy Capital PLC, 2.875%, 10/15/16 (n)    $ 2,320,000      $ 2,361,762   
BP Capital Markets PLC, 4.5%, 10/01/20      853,000        935,494   
BP Capital Markets PLC, 4.742%, 3/11/21      1,810,000        1,997,226   
LUKOIL International Finance B.V., 3.416%, 4/24/18 (n)      1,619,000        1,556,805   
LUKOIL International Finance B.V., 4.563%, 4/24/23 (n)      2,192,000        1,955,172   
Petro-Canada, 6.05%, 5/15/18      904,000        1,001,844   
Total Capital International S.A., 1.5%, 2/17/17      1,000,000        1,007,412   
    

 

 

 
      $ 10,815,715   
Financial Institutions - 0.8%                 
General Electric Capital Corp., 6%, 8/07/19    $ 1,180,000      $ 1,355,323   
General Electric Capital Corp., 3.1%, 1/09/23      1,102,000        1,106,779   
LeasePlan Corp. N.V., 3%, 10/23/17 (n)      1,970,000        2,011,191   
LeasePlan Corp. N.V., 2.5%, 5/16/18 (n)      466,000        468,574   
    

 

 

 
      $ 4,941,867   
Food & Beverages - 2.5%                 
Diageo Capital PLC, 1.5%, 5/11/17    $ 1,530,000      $ 1,532,391   
Grupo Bimbo S.A.B. de C.V., 4.5%, 1/25/22 (n)      290,000        304,210   
H.J. Heinz Co., 1.6%, 6/30/17 (n)      2,090,000        2,092,506   
Kerry Group Financial Services, 3.2%, 4/09/23 (n)      2,850,000        2,773,401   
Kraft Foods Group, Inc., 6.125%, 8/23/18      2,380,000        2,658,334   
Tyson Foods, Inc., 4.5%, 6/15/22      1,447,000        1,535,325   
Want Want China Finance Co., 1.875%, 5/14/18 (n)      1,430,000        1,407,764   

 

3


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Food & Beverages - continued                 
Wm. Wrigley Jr. Co., 2.4%, 10/21/18 (n)    $ 613,000      $ 620,981   
Wm. Wrigley Jr. Co., 3.375%, 10/21/20 (n)      1,876,000        1,929,624   
    

 

 

 
      $ 14,854,536   
Food & Drug Stores - 0.7%                 
CVS Health Corp., 3.875%, 7/20/25    $ 2,800,000      $ 2,848,244   
Walgreens Boots Alliance, Inc., 3.3%, 11/18/21      1,522,000        1,514,041   
    

 

 

 
      $ 4,362,285   
Gaming & Lodging - 0.8%                 
Wyndham Worldwide Corp., 2.95%, 3/01/17    $ 1,686,000      $ 1,712,996   
Wyndham Worldwide Corp., 5.625%, 3/01/21      2,890,000        3,175,818   
    

 

 

 
      $ 4,888,814   
Industrial - 0.6%                 
Johns Hopkins University, 5.25%, 7/01/19    $ 544,000      $ 607,187   
Princeton University, 4.95%, 3/01/19      2,860,000        3,171,145   
    

 

 

 
      $ 3,778,332   
Insurance - 2.3%                 
AIA Group Ltd., 3.2%, 3/11/25 (n)    $ 1,924,000      $ 1,869,495   
American International Group, Inc., 3.75%, 7/10/25      2,808,000        2,807,798   
Metropolitan Life Global Funding I, 2%, 4/14/20 (n)      1,600,000        1,585,200   
Principal Financial Group, Inc., 8.875%, 5/15/19      2,230,000        2,738,663   
Unum Group, 4%, 3/15/24      2,863,000        2,925,044   
UnumProvident Corp., 6.85%, 11/15/15 (n)      890,000        903,734   
Voya Financial, Inc., 2.9%, 2/15/18      1,141,000        1,170,942   
    

 

 

 
      $ 14,000,876   
Insurance - Health - 0.7%                 
UnitedHealth Group, Inc., 3.75%, 7/15/25    $ 2,800,000      $ 2,853,502   
Wellpoint, Inc., 1.25%, 9/10/15      1,220,000        1,220,454   
    

 

 

 
      $ 4,073,956   
Insurance - Property & Casualty - 1.7%                 
ACE Ltd., 2.6%, 11/23/15    $ 2,000,000      $ 2,010,710   
AXIS Capital Holdings Ltd., 5.875%, 6/01/20      1,610,000        1,821,939   
Liberty Mutual Group, Inc., 4.95%, 5/01/22 (n)      2,197,000        2,392,551   
Marsh & McLennan Cos., Inc., 2.35%, 9/10/19      1,260,000        1,267,850   
ZFS Finance USA Trust V, 6.5% to 5/09/17, FRN to 5/09/67 (n)      3,000,000        3,082,500   
    

 

 

 
      $ 10,575,550   
International Market Quasi-Sovereign - 1.8%                 
Bank Nederlandse Gemeenten N.V., 1.375%, 3/19/18 (n)    $ 1,746,000      $ 1,756,474   
Dexia Credit Local S.A., 2.25%, 1/30/19 (n)      3,280,000        3,341,592   
Electricite de France, 2.15%, 1/22/19 (n)      1,784,000        1,802,306   
Statoil A.S.A., 1.8%, 11/23/16      1,420,000        1,436,373   
Statoil A.S.A., FRN, 0.563%, 5/15/18      2,887,000        2,868,766   
    

 

 

 
      $ 11,205,511   
International Market Sovereign - 16.2%                 
Buoni Poliennali del Tesoro, 5.5%, 9/01/22    EUR 2,969,000      $ 4,167,221   
Commonwealth of Australia, 5.75%, 5/15/21    AUD 3,836,000        3,330,472   
Federal Republic of Germany, 3.25%, 7/04/21    EUR 1,200,000        1,562,108   
Federal Republic of Germany, 1.75%, 2/15/24    EUR 4,050,000        4,931,715   
Government of Canada, 4.25%, 6/01/18    CAD 505,000        427,944   

 

4


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
International Market Sovereign - continued                 
Government of Canada, 3.25%, 6/01/21    CAD 1,579,000      $ 1,368,551   
Government of Canada, 2.5%, 6/01/24    CAD 2,343,000        1,965,014   
Government of Japan, 1.1%, 6/20/20    JPY 800,000,000        6,768,387   
Government of Japan, 0.8%, 6/20/23    JPY 340,000,000        2,859,583   
Government of Japan, 2.1%, 9/20/24    JPY 220,000,000        2,053,322   
Government of New Zealand, 5.5%, 4/15/23    NZD 2,664,000        2,055,842   
Government of Norway, 3.75%, 5/25/21    NOK 6,400,000        897,740   
Government of Norway, 3%, 3/14/24    NOK 7,844,000        1,078,683   
Kingdom of Belgium, 4.25%, 9/28/21    EUR 404,000        549,861   
Kingdom of Belgium, 2.6%, 6/22/24    EUR 2,845,000        3,612,823   
Kingdom of Denmark, 3%, 11/15/21    DKK 4,447,000        764,390   
Kingdom of Denmark, 1.5%, 11/15/23    DKK 4,198,000        663,070   
Kingdom of Spain, 5.4%, 1/31/23    EUR 1,925,000        2,688,542   
Kingdom of Spain, 5.5%, 7/30/17    EUR 711,000        864,142   
Kingdom of Spain, 4.6%, 7/30/19    EUR 4,110,000        5,226,541   
Kingdom of Sweden, 5%, 12/01/20    SEK 6,500,000        948,438   
Kingdom of Sweden, 3.5%, 6/01/22    SEK 4,235,000        593,560   
Kingdom of the Netherlands, 4%, 7/15/16    EUR 2,000,000        2,283,953   
Kingdom of the Netherlands, 2%, 7/15/24    EUR 1,251,000        1,530,907   
Republic of Austria, 1.75%, 10/20/23    EUR 210,000        251,689   
Republic of France, 2.5%, 10/25/20    EUR 1,500,000        1,842,445   
Republic of France, 5%, 10/25/16    EUR 9,214,000        10,763,393   
Republic of Iceland, 4.875%, 6/16/16 (n)    $ 2,179,000        2,235,037   
Republic of Italy, 5.25%, 8/01/17    EUR 11,388,000        13,783,305   
Republic of Italy, 3.75%, 3/01/21    EUR 2,600,000        3,282,342   
United Kingdom Treasury, 8%, 6/07/21    GBP 2,500,000        5,323,765   
United Kingdom Treasury, 2.25%, 9/07/23    GBP 4,750,000        7,663,001   
    

 

 

 
      $ 98,337,786   
Internet - 0.5%                 
Baidu, Inc., 3.25%, 8/06/18    $ 1,709,000      $ 1,746,360   
Baidu, Inc., 2.75%, 6/09/19      1,510,000        1,509,040   
    

 

 

 
      $ 3,255,400   
Local Authorities - 0.8%                 
Florida Hurricane Catastrophe Fund Finance Corp. Rev, “A”, 2.107%, 7/01/18    $ 1,850,000      $ 1,865,522   
Province of Ontario, 4.75%, 1/19/16      3,000,000        3,059,010   
    

 

 

 
      $ 4,924,532   
Machinery & Tools - 0.1%                 
Atlas Copco AB, 5.6%, 5/22/17 (n)    $ 510,000      $ 546,648   
Major Banks - 12.1%                 
ABN AMRO Bank N.V., 4.25%, 2/02/17 (n)    $ 1,997,000      $ 2,077,196   
ABN AMRO Bank N.V., 1.8%, 6/04/18 (n)      1,450,000        1,449,996   
ABN AMRO Bank N.V., FRN, 0.688%, 6/06/16 (n)      2,090,000        2,090,140   
Bank of America Corp., 1.5%, 10/09/15      1,780,000        1,782,528   
Bank of America Corp., 6.5%, 8/01/16      1,420,000        1,491,156   
Bank of America Corp., 6.875%, 4/25/18      1,000,000        1,127,893   
Bank of America Corp., 4.125%, 1/22/24      2,876,000        2,975,676   
Bank of America Corp., FRN, 0.565%, 6/15/16      2,200,000        2,193,605   
Barclays Bank PLC, 2.5%, 2/20/19      3,080,000        3,116,128   
BNP Paribas, 2.7%, 8/20/18      1,200,000        1,228,337   
BNP Paribas, FRN, 0.763%, 3/17/17      2,660,000        2,663,628   
Commonwealth Bank of Australia, 5%, 10/15/19 (n)      2,560,000        2,847,037   

 

5


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Major Banks - continued                 
Credit Suisse Group AG, 6.5%, 8/08/23 (n)    $ 2,480,000      $ 2,740,400   
Credit Suisse New York, 1.75%, 1/29/18      1,440,000        1,438,684   
DBS Bank Ltd., 2.35%, 2/28/17 (n)      1,830,000        1,860,228   
DNB Bank A.S.A., 3.2%, 4/03/17 (n)      2,220,000        2,284,185   
Goldman Sachs Group, Inc., 5.75%, 1/24/22      3,044,000        3,485,727   
Goldman Sachs Group, Inc., FRN, 1.496%, 4/30/18      1,240,000        1,251,603   
Goldman Sachs Group, Inc., FRN, 1.314%, 10/23/19      140,000        141,073   
Huntington National Bank, FRN, 0.717%, 4/24/17      2,460,000        2,448,131   
ING Bank N.V., 1.8%, 3/16/18 (n)      660,000        661,706   
ING Bank N.V., 5.8%, 9/25/23 (n)      2,912,000        3,184,289   
JPMorgan Chase & Co., 2.2%, 10/22/19      2,090,000        2,086,616   
JPMorgan Chase & Co., 4.625%, 5/10/21      2,890,000        3,144,528   
Morgan Stanley, 6.625%, 4/01/18      1,532,000        1,716,062   
Morgan Stanley, 5.625%, 9/23/19      640,000        717,039   
Morgan Stanley, 3.7%, 10/23/24      1,816,000        1,818,522   
Morgan Stanley, FRN, 1.532%, 2/25/16      1,900,000        1,907,879   
Morgan Stanley, FRN, 1.034%, 7/23/19      1,070,000        1,062,803   
Nordea Bank AB, FRN, 0.736%, 5/13/16 (n)      1,492,000        1,495,209   
PNC Bank N.A., 1.5%, 10/18/17      1,600,000        1,600,592   
PNC Bank N.A., 1.6%, 6/01/18      2,340,000        2,333,141   
Royal Bank of Canada, FRN, 0.741%, 9/09/16      3,000,000        3,009,372   
Royal Bank of Scotland PLC, 2.55%, 9/18/15      996,000        997,684   
Sumitomo Mitsui Banking Corp., FRN, 0.606%, 7/11/17      1,720,000        1,714,503   
Wells Fargo & Co., FRN, 0.538%, 9/08/17      3,110,000        3,094,326   
Westpac Banking Corp., 2%, 8/14/17      2,320,000        2,353,721   
    

 

 

 
      $ 73,591,343   
Medical & Health Technology & Services - 1.1%                 
Becton, Dickinson and Co., 1.8%, 12/15/17    $ 1,870,000      $ 1,862,698   
Laboratory Corp. of America Holdings, 2.625%, 2/01/20      1,250,000        1,244,448   
Thermo Fisher Scientific, Inc., 2.25%, 8/15/16      3,650,000        3,687,759   
    

 

 

 
      $ 6,794,905   
Metals & Mining - 1.7%                 
Barrick Gold Corp., 4.1%, 5/01/23    $ 2,731,000      $ 2,444,177   
Freeport-McMoRan Copper & Gold, Inc., 2.375%, 3/15/18      1,090,000        1,016,425   
Freeport-McMoRan Copper & Gold, Inc., 3.1%, 3/15/20      1,740,000        1,587,750   
Glencore Funding LLC, 2.125%, 4/16/18 (n)      1,270,000        1,252,457   
Glencore Funding LLC, FRN, 1.444%, 5/27/16 (n)      2,300,000        2,300,313   
Kinross Gold Corp., 5.95%, 3/15/24      1,897,000        1,706,904   
    

 

 

 
      $ 10,308,026   
Midstream - 2.1%                 
APT Pipelines Ltd., 4.2%, 3/23/25 (n)    $ 2,246,000      $ 2,201,718   
Energy Transfer Partners LP, 4.05%, 3/15/25      2,807,000        2,613,401   
Kinder Morgan Energy Partners LP, 3.5%, 3/01/21      1,854,000        1,797,651   
ONEOK Partners LP, 3.2%, 9/15/18      1,510,000        1,530,243   
Spectra Energy Capital LLC, 8%, 10/01/19      1,299,000        1,536,449   
Sunoco Logistics Partners LP, 4.25%, 4/01/24      774,000        748,443   
TransCanada PipeLines Ltd., 1.875%, 1/12/18      940,000        944,757   
TransCanada PipeLines Ltd., FRN, 0.961%, 6/30/16      790,000        790,955   
Williams Cos., Inc., 3.7%, 1/15/23      807,000        728,348   
    

 

 

 
      $ 12,891,965   

 

6


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Mortgage-Backed - 2.8%                 
Fannie Mae, 5.443%, 2/01/16    $ 1,458,178      $ 1,476,471   
Fannie Mae, 6%, 11/01/16      46,571        47,487   
Fannie Mae, 5.395%, 12/01/16      1,203,624        1,262,017   
Fannie Mae, 1.114%, 2/25/17      2,130,040        2,139,551   
Fannie Mae, 5.5%, 9/01/17 - 4/01/25      788,586        854,268   
Fannie Mae, 4.5%, 3/01/19      846,343        882,695   
Fannie Mae, 5%, 5/01/19 - 12/01/20      200,406        212,235   
Fannie Mae, 6.5%, 11/01/31      1,240,017        1,472,470   
Fannie Mae, FRN, 0.476%, 12/25/17      1,187,143        1,188,073   
Freddie Mac, 6%, 8/01/17 - 8/01/34      161,533        170,325   
Freddie Mac, 5.5%, 9/01/17 - 6/01/20      875,585        936,094   
Freddie Mac, 3.882%, 11/25/17      1,423,992        1,501,510   
Freddie Mac, 5%, 6/01/19      515,932        544,206   
Freddie Mac, 4.224%, 3/25/20      2,249,154        2,467,722   
Ginnie Mae, 6%, 6/15/33      550,468        621,943   
Ginnie Mae, 6%, 10/15/36 (f)      351,068        407,288   
Ginnie Mae, 6.357%, 4/20/58      461,938        481,629   
    

 

 

 
      $ 16,665,984   
Network & Telecom - 1.9%                 
AT&T, Inc., FRN, 1.194%, 11/27/18    $ 2,940,000      $ 2,949,417   
British Telecommunications PLC, 2.35%, 2/14/19      1,330,000        1,330,222   
Verizon Communications, Inc., 1.35%, 6/09/17      1,130,000        1,129,032   
Verizon Communications, Inc., 6.1%, 4/15/18      1,300,000        1,442,776   
Verizon Communications, Inc., 5.15%, 9/15/23      3,027,000        3,331,574   
Verizon Communications, Inc., FRN, 1.053%, 6/17/19      1,250,000        1,248,951   
    

 

 

 
      $ 11,431,972   
Oil Services - 0.2%                 
Noble Corp., 3.45%, 8/01/15    $ 1,030,000      $ 1,030,000   
Oils - 0.2%                 
Marathon Petroleum Corp., 3.625%, 9/15/24    $ 1,003,000      $ 985,480   
Other Banks & Diversified Financials - 7.3%                 
Banco de Credito e Inversiones, 3%, 9/13/17 (n)    $ 200,000      $ 202,824   
Banco Santander Chile, FRN, 1.186%, 4/11/17 (n)      3,410,000        3,393,690   
Bank of Tokyo-Mitsubishi UFJ Ltd., FRN, 0.891%, 9/09/16 (n)      2,870,000        2,875,177   
Banque Federative du Credit Mutuel, FRN, 1.143%, 10/28/16 (n)      2,490,000        2,501,230   
Banque Federative du Credit Mutuel, FRN, 1.137%, 1/20/17 (n)      960,000        965,580   
Capital One Bank (USA) N.A., FRN, 0.958%, 2/05/18      2,650,000        2,650,655   
Capital One Financial Corp., FRN, 0.919%, 11/06/15      1,160,000        1,160,995   
Citigroup, Inc., 8.5%, 5/22/19      1,960,000        2,390,048   
Discover Bank, 3.1%, 6/04/20      1,152,000        1,157,709   
Fifth Third Bancorp, 1.35%, 6/01/17      2,570,000        2,567,232   
Fifth Third Bancorp, 2.3%, 3/01/19      795,000        795,245   
First Republic Bank, 2.375%, 6/17/19      578,000        577,788   
Groupe BPCE S.A., 12.5% to 2019, FRN to 8/29/49 (n)      2,556,000        3,380,310   
Intesa Sanpaolo S.p.A., 2.375%, 1/13/17      880,000        883,443   
Intesa Sanpaolo S.p.A., 3.875%, 1/16/18      1,752,000        1,809,660   
Lloyds Bank PLC, 2.3%, 11/27/18      780,000        789,295   
Lloyds TSB Bank PLC, 5.8%, 1/13/20 (n)      2,080,000        2,372,024   
Macquarie Bank Ltd., 5%, 2/22/17 (n)      918,000        966,214   
Rabobank Nederland N.V., 3.375%, 1/19/17      1,757,000        1,811,977   

 

7


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Other Banks & Diversified Financials - continued                 
Skandinaviska Enskilda Banken AB, 2.45%, 5/27/20 (n)    $ 1,810,000      $ 1,806,769   
Svenska Handelsbanken AB, FRN, 0.73%, 3/21/16      1,250,000        1,252,553   
Svenska Handelsbanken AB, FRN, 0.751%, 9/23/16      2,940,000        2,947,415   
Swedbank AB, 2.125%, 9/29/17 (n)      3,568,000        3,603,841   
UBS AG, FRN, 0.655%, 8/14/17      1,470,000        1,466,434   
    

 

 

 
      $ 44,328,108   
Pharmaceuticals - 2.2%                 
AbbVie, Inc., 1.8%, 5/14/18    $ 2,410,000      $ 2,403,426   
Actavis Funding SCS, 3%, 3/12/20      3,625,000        3,606,737   
Actavis Funding SCS, 3.45%, 3/15/22      3,000,000        2,951,067   
EMD Finance LLC, 1.7%, 3/19/18 (n)      2,500,000        2,502,090   
Hospira, Inc., 6.05%, 3/30/17      1,060,000        1,138,062   
Mylan, Inc., 1.8%, 6/24/16      770,000        773,045   
    

 

 

 
      $ 13,374,427   
Pollution Control - 0.5%                 
Republic Services, Inc., 5.25%, 11/15/21    $ 2,620,000      $ 2,928,366   
Real Estate - Healthcare - 0.3%                 
Health Care REIT, Inc., 2.25%, 3/15/18    $ 828,000      $ 832,598   
Ventas Realty LP, REIT, 1.55%, 9/26/16      1,000,000        1,003,523   
    

 

 

 
      $ 1,836,121   
Real Estate - Office - 0.4%                 
Boston Properties LP, REIT, 3.7%, 11/15/18    $ 1,476,000      $ 1,551,342   
Vornado Realty LP, REIT, 2.5%, 6/30/19      1,169,000        1,168,684   
    

 

 

 
      $ 2,720,026   
Real Estate - Retail - 0.3%                 
Kimco Realty Corp., REIT, 6.875%, 10/01/19    $ 690,000      $ 806,805   
WEA Finance LLC/Westfield Co., REIT, 1.75%, 9/15/17 (n)      770,000        770,885   
    

 

 

 
      $ 1,577,690   
Retailers - 0.2%                 
Dollar General Corp., 1.875%, 4/15/18    $ 275,000      $ 273,309   
Wesfarmers Ltd., 1.874%, 3/20/18 (n)      1,119,000        1,119,357   
    

 

 

 
      $ 1,392,666   
Specialty Chemicals - 0.3%                 
Airgas, Inc., 2.95%, 6/15/16    $ 1,900,000      $ 1,927,263   
Supermarkets - 0.3%                 
Kroger Co., 3.85%, 8/01/23    $ 1,489,000      $ 1,526,027   
Supranational - 0.8%                 
Banco Latinoamericano de Comercio Exterior S.A., 3.25%, 5/07/20 (n)    $ 1,900,000      $ 1,896,200   
Corporacion Andina de Fomento, 4.375%, 6/15/22      2,950,000        3,197,210   
    

 

 

 
      $ 5,093,410   
Telecommunications - Wireless - 1.6%                 
America Movil S.A.B. de C.V., 2.375%, 9/08/16    $ 1,007,000      $ 1,019,990   
American Tower Trust I, REIT, 1.551%, 3/15/18 (n)      1,540,000        1,529,299   
Crown Castle Towers LLC, 6.113%, 1/15/20 (n)      2,934,000        3,270,662   
Rogers Communications, Inc., 6.8%, 8/15/18      1,490,000        1,694,596   

 

8


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Telecommunications - Wireless - continued                 
SBA Tower Trust, 2.898%, 10/15/44 (n)    $ 1,920,000      $ 1,922,857   
    

 

 

 
      $ 9,437,404   
Telephone Services - 0.2%                 
Qwest Corp., 6.5%, 6/01/17    $ 1,200,000      $ 1,284,000   
Tobacco - 0.7%                 
Reynolds American, Inc., 8.125%, 6/23/19 (z)    $ 1,316,000      $ 1,567,091   
Reynolds American, Inc., 6.875%, 5/01/20 (z)      1,340,000        1,553,209   
Reynolds American, Inc., 3.25%, 6/12/20      1,140,000        1,157,950   
    

 

 

 
      $ 4,278,250   
Transportation - Services - 0.6%                 
ERAC USA Finance Co., 2.75%, 3/15/17 (n)    $ 1,247,000      $ 1,273,803   
TTX Co., 2.6%, 6/15/20 (n)      2,450,000        2,457,419   
    

 

 

 
      $ 3,731,222   
U.S. Government Agencies and Equivalents - 1.7%                 
Aid-Egypt, 4.45%, 9/15/15    $ 3,963,000      $ 3,981,915   
Aid-Ukraine, 1.847%, 5/29/20      2,500,000        2,519,798   
National Credit Union Administration Guaranteed Note, 2.9%, 10/29/20      515,874        527,376   
Small Business Administration, 6.35%, 4/01/21      314,439        341,150   
Small Business Administration, 6.34%, 5/01/21      207,122        225,396   
Small Business Administration, 6.44%, 6/01/21      204,402        223,424   
Small Business Administration, 6.625%, 7/01/21      218,160        239,346   
Small Business Administration, 5.34%, 11/01/21      653,005        699,936   
Small Business Administration, 4.93%, 1/01/24      391,545        423,043   
Small Business Administration, 5.36%, 11/01/25      613,344        668,268   
Small Business Administration, 5.39%, 12/01/25      436,542        480,278   
    

 

 

 
      $ 10,329,930   
U.S. Treasury Obligations - 0.0%                 
U.S. Treasury Notes, 10.625%, 8/15/15    $ 30,000      $ 30,096   
Utilities - Electric Power - 4.5%                 
Dominion Resources, Inc., 1.95%, 8/15/16    $ 2,660,000      $ 2,682,240   
E.ON International Finance B.V., 5.8%, 4/30/18 (n)      3,000,000        3,269,064   
Empresa Nacional de Electricidad S.A., 4.25%, 4/15/24      710,000        720,468   
Enel Finance International S.A., 6.25%, 9/15/17 (n)      2,240,000        2,446,940   
Exelon Generation Co. LLC, 5.2%, 10/01/19      1,340,000        1,477,247   
Exelon Generation Co. LLC, 4.25%, 6/15/22      1,040,000        1,068,885   
NextEra Energy Capital Holdings, Inc., 1.339%, 9/01/15      3,080,000        3,081,515   
Oncor Electric Delivery Co., 4.1%, 6/01/22      2,206,000        2,340,771   
PG&E Corp., 2.4%, 3/01/19      1,448,000        1,453,458   
PPL WEM Holdings PLC, 3.9%, 5/01/16 (n)      2,800,000        2,848,726   
PPL WEM Holdings PLC, 5.375%, 5/01/21 (n)      546,000        608,631   
Southern Co., 2.45%, 9/01/18      2,280,000        2,323,368   
Transelec S.A., 4.625%, 7/26/23 (n)      927,000        956,885   
Transelec S.A., 4.25%, 1/14/25 (n)      228,000        228,808   
Xcel Energy, Inc., 1.2%, 6/01/17      1,500,000        1,500,133   
    

 

 

 
      $ 27,007,139   
Total Bonds      $ 592,322,166   

 

9


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Money Market Funds - 1.4%                 
MFS Institutional Money Market Portfolio, 0.1%, at Net Asset Value (v)      8,393,908      $ 8,393,908   
Total Investments      $ 600,716,074   
Other Assets, Less Liabilities - 0.9%        5,637,942   
Net Assets - 100.0%      $ 606,354,016   

 

(f) All or a portion of the security has been segregated as collateral for open futures contracts.
(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 $183,560,746 representing 30.3% 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  
Babson Ltd., CLO, “A1”, FRN, 0.512%, 1/18/21      6/24/14         $620,928         $615,814   
Corporacion Financiera de Desarrollo S.A., 3.25%, 7/15/19      7/07/15         1,331,261         1,350,370   
Falcon Franchise Loan LLC, FRN, 6.62%, 1/05/23      1/18/02         23,737         77,878   
Go Financial Auto Securitization Trust, 2015-1, “A”, 1.81%, 3/15/18      5/19/15         1,179,394         1,178,266   
Nextgear Floorplan Master Owner Trust, 2015-1A, “A”, 1.8%, 7/15/19      7/22/15         1,300,846         1,301,356   
Reynolds American, Inc., 8.125%, 6/23/19      7/10/15         1,549,371         1,567,091   
Reynolds American, Inc., 6.875%, 5/01/20      7/10/15         1,556,155         1,553,209   
Total Restricted Securities         $7,643,984   
% of Net assets         1.3%   

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

 

10


Portfolio of Investments (unaudited) – continued

 

Derivative Contracts at 7/31/15

Forward Foreign Currency Exchange Contracts at 7/31/15

 

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    10/09/15    $ 3,303,025       $ 3,255,209       $ 47,816   
SELL      CAD      

Merrill Lynch International

   4,854,367    10/09/15      3,830,885         3,710,186         120,699   
SELL      DKK      

Goldman Sachs International

   9,466,576    10/09/15      1,406,373         1,395,323         11,050   
SELL      EUR      

Deutsche Bank AG

   24,603,977    9/17/15      27,736,678         27,036,824         699,854   
SELL      JPY      

Credit Suisse Group

   698,106,567    10/09/15      5,706,515         5,638,130         68,385   
SELL      JPY      

Deutsche Bank AG

   698,106,567    10/09/15      5,706,236         5,638,130         68,106   
SELL      NZD      

Westpac Banking Corp.

   4,041,526    10/09/15      2,669,186         2,653,812         15,374   
SELL      SEK      

Goldman Sachs International

   11,649,976    10/09/15      1,364,630         1,352,184         12,446   
                    

 

 

 
                     $ 1,043,730   
                    

 

 

 
Liability Derivatives                     
SELL      EUR      

UBS AG

   27,808,723    10/09/15    $ 30,431,058       $ 30,568,607       $ (137,549
SELL      GBP      

Barclays Bank PLC

   4,702,739    10/09/15      7,310,807         7,340,703         (29,896
SELL      GBP      

Merrill Lynch International

   4,702,739    10/09/15      7,318,797         7,340,703         (21,906
SELL      NOK      

Goldman Sachs International

   16,602,437    10/09/15      2,016,572         2,029,556         (12,984
BUY      NZD      

Goldman Sachs International

   988,868    10/09/15      653,028         649,326         (3,702
                    

 

 

 
                     $ (206,037
                    

 

 

 

Futures Contracts at 7/31/15

 

Description    Currency      Contracts      Value    Expiration Date   

Unrealized

Appreciation

(Depreciation)

 
Liability Derivatives               
Interest Rate Futures               
U.S. Treasury Note 5 yr (Short)      USD         150       $17,976,563    September - 2015      $(87,244
              

 

 

 

At July 31, 2015, the fund had liquid securities with an aggregate value of $168,042 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

7/31/15 (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 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. The following is a summary of the levels used as of July 31, 2015 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      $—         $10,360,026         $—         $10,360,026   
Non-U.S. Sovereign Debt              135,917,327                 135,917,327   
U.S. Corporate Bonds              229,133,349                 229,133,349   
Residential Mortgage-Backed Securities              16,665,984                 16,665,984   
Commercial Mortgage-Backed Securities              10,164,688                 10,164,688   
Asset-Backed Securities (including CDOs)              29,897,381                 29,897,381   
Foreign Bonds              160,183,411                 160,183,411   
Mutual Funds      8,393,908                         8,393,908   
Total Investments      $8,393,908         $592,322,166         $—         $600,716,074   
Other Financial Instruments                            
Futures Contracts      $(87,244      $—         $—         $(87,244
Forward Foreign Currency Exchange Contracts              837,693                 837,693   

 

12


Supplemental Information (unaudited) – continued

 

For further information regarding security characteristics, see the Portfolio of Investments.

(2) Portfolio Securities

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

 

Aggregate cost      $606,812,767   
Gross unrealized appreciation      13,900,036   
Gross unrealized depreciation      (19,996,729
Net unrealized appreciation (depreciation)      $(6,096,693

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

(3) Transactions in Underlying Affiliated Funds – Affiliated Issuers

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

 

Underlying Affiliated Fund   

Beginning
Shares/Par

Amount

     Acquisitions
Shares/Par
Amount
     Dispositions
Shares/Par
Amount
    

Ending
Shares/Par

Amount

 
MFS Institutional Money Market Portfolio      8,955,378         133,406,482         (133,967,952      8,393,908   
Underlying Affiliated Fund    Realized
Gain (Loss)
     Capital Gain
Distributions
     Dividend
Income
     Ending
Value
 
MFS Institutional Money Market Portfolio      $—         $—         $10,594         $8,393,908   

(4) Issuer Country Weightings

Issuer country weighting percentages of portfolio holdings based on net assets, as of July 31, 2015, are as follows:

 

United States     50.5%   
United Kingdom     5.7%   
France     4.9%   
Italy     4.4%   
Germany     4.1%   
Japan     3.8%   
Netherlands     3.2%   
Canada     3.1%   
Australia     2.3%   
Other Countries     18.0%   

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, 2015

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, 2015

 

By (Signature and Title)*    DAVID L. DILORENZO
 

David L. DiLorenzo, Treasurer

(Principal Financial Officer

and Accounting Officer)

Date: September 16, 2015

 

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