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 811-5912
MFS SPECIAL VALUE TRUST
(Exact name of registrant as specified in charter)
500 Boylston Street, Boston, Massachusetts 02116
(Address of principal executive offices) (Zip code)
Susan S. Newton
Massachusetts Financial Services Company
500 Boylston Street
Boston, Massachusetts 02116
(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, 2012
| ITEM 1. | SCHEDULE OF INVESTMENTS. |
QUARTERLY REPORT
July 31, 2012
MFS® SPECIAL VALUE TRUST
PORTFOLIO OF INVESTMENTS
7/31/12 (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 - 72.5% | ||||||||
| Aerospace - 1.4% | ||||||||
| Bombardier, Inc., 7.5%, 2018 (n) | $ | 105,000 | $ | 115,466 | ||||
| Bombardier, Inc., 7.75%, 2020 (n) | 55,000 | 61,806 | ||||||
| CPI International, Inc., 8%, 2018 | 115,000 | 108,100 | ||||||
| Heckler & Koch GmbH, 9.5%, 2018 (z) | EUR | 100,000 | 89,204 | |||||
| Huntington Ingalls Industries, Inc., 7.125%, 2021 | $ | 130,000 | 139,588 | |||||
| Kratos Defense & Security Solutions, Inc., 10%, 2017 | 150,000 | 161,250 | ||||||
|
|
|
|||||||
| $ | 675,414 | |||||||
| Agricultural Products - 0.4% | ||||||||
| Virgolino de Oliveira Finance Ltd., 10.5%, 2018 | $ | 200,000 | $ | 196,000 | ||||
| Apparel Manufacturers - 0.4% | ||||||||
| Hanesbrands, Inc., 8%, 2016 | $ | 50,000 | $ | 55,563 | ||||
| Hanesbrands, Inc., 6.375%, 2020 | 60,000 | 64,125 | ||||||
| Jones Group, Inc., 6.875%, 2019 | 65,000 | 63,131 | ||||||
| Levi Strauss & Co., 6.875%, 2022 | 15,000 | 15,431 | ||||||
|
|
|
|||||||
| $ | 198,250 | |||||||
| Asset-Backed & Securitized - 0.3% | ||||||||
| Banc of America Commercial Mortgage, Inc., FRN, 6.248%, 2051 (z) | $ | 328,951 | $ | 46,843 | ||||
| Citigroup Commercial Mortgage Trust, FRN, 5.7%, 2049 | 220,000 | 50,041 | ||||||
| Falcon Franchise Loan LLC, FRN, 5.459%, 2025 (i)(z) | 123,045 | 19,318 | ||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., “C”, FRN, 6.049%, 2051 | 95,000 | 21,240 | ||||||
| Morgan Stanley Capital I, Inc., FRN, 1.332%, 2039 (i)(z) | 245,698 | 5,221 | ||||||
| Preferred Term Securities XII Ltd., CDO, 0%, 2033 (a)(c)(z) | 225,000 | 68 | ||||||
| Preferred Term Securities XVI Ltd., CDO, 0%, 2035 (a)(c)(z) | 300,000 | 30 | ||||||
| Preferred Term Securities XVII Ltd., CDO, 0%, 2035 (a)(c)(z) | 187,000 | 19 | ||||||
|
|
|
|||||||
| $ | 142,780 | |||||||
| Automotive - 3.3% | ||||||||
| Accuride Corp., 9.5%, 2018 | $ | 180,000 | $ | 181,575 | ||||
| Allison Transmission, Inc., 7.125%, 2019 (n) | 100,000 | 105,125 | ||||||
| Chrysler Group LLC/CG Co-Issuer, Inc., 8.25%, 2021 | 200,000 | 208,250 | ||||||
| Ford Motor Co., 7.45%, 2031 | 35,000 | 43,444 | ||||||
| Ford Motor Credit Co. LLC, 12%, 2015 | 445,000 | 549,920 | ||||||
| General Motors Financial Co., Inc., 6.75%, 2018 | 20,000 | 22,019 | ||||||
| Goodyear Tire & Rubber Co., 7%, 2022 | 40,000 | 40,850 | ||||||
| IDQ Holdings, Inc., 11.5%, 2017 (z) | 35,000 | 36,706 | ||||||
| Jaguar Land Rover PLC, 8.125%, 2021 (n) | 300,000 | 318,750 | ||||||
| Lear Corp., 8.125%, 2020 | 36,000 | 40,545 | ||||||
|
|
|
|||||||
| $ | 1,547,184 | |||||||
| Basic Industry - 0.2% | ||||||||
| Trimas Corp., 9.75%, 2017 | $ | 80,000 | $ | 89,200 | ||||
| Broadcasting - 4.3% | ||||||||
| Allbritton Communications Co., 8%, 2018 | $ | 55,000 | $ | 58,438 | ||||
| AMC Networks, Inc., 7.75%, 2021 | 71,000 | 80,408 | ||||||
| Clear Channel Communications, Inc., 9%, 2021 | 187,000 | 156,145 | ||||||
| Clear Channel Worldwide Holdings, Inc., 7.625%, 2020 (n) | 55,000 | 52,663 | ||||||
| Clear Channel Worldwide Holdings, Inc., “A”, 7.625%, 2020 (n) | 5,000 | 4,688 | ||||||
| Hughes Network Systems LLC, 7.625%, 2021 | 70,000 | 77,350 | ||||||
1
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Broadcasting - continued | ||||||||
| Intelsat Bermuda Ltd., 11.25%, 2017 | $ | 205,000 | $ | 213,200 | ||||
| Intelsat Bermuda Ltd., 11.5%, 2017 (p) | 125,000 | 130,000 | ||||||
| Intelsat Jackson Holdings Ltd., 11.25%, 2016 | 52,000 | 54,730 | ||||||
| LBI Media Holdings, Inc., 11%, 2013 | 140,000 | 60,200 | ||||||
| LBI Media, Inc., 8.5%, 2017 (z) | 90,000 | 19,575 | ||||||
| Liberty Media Corp., 8.5%, 2029 | 95,000 | 99,275 | ||||||
| Liberty Media Corp., 8.25%, 2030 | 50,000 | 51,750 | ||||||
| Local TV Finance LLC, 9.25%, 2015 (p)(z) | 157,527 | 160,678 | ||||||
| Newport Television LLC, 13%, 2017 (n)(p) | 114,372 | 122,950 | ||||||
| Nexstar Broadcasting Group, Inc., 8.875%, 2017 | 50,000 | 53,000 | ||||||
| Sinclair Broadcast Group, Inc., 9.25%, 2017 (n) | 55,000 | 61,050 | ||||||
| Sinclair Broadcast Group, Inc., 8.375%, 2018 | 15,000 | 16,350 | ||||||
| SIRIUS XM Radio, Inc., 13%, 2014 (n) | 65,000 | 72,150 | ||||||
| SIRIUS XM Radio, Inc., 8.75%, 2015 (n) | 105,000 | 119,175 | ||||||
| SIRIUS XM Radio, Inc., 7.625%, 2018 (n) | 75,000 | 81,375 | ||||||
| Townsquare Radio LLC, 9%, 2019 (z) | 40,000 | 42,300 | ||||||
| Univision Communications, Inc., 6.875%, 2019 (n) | 25,000 | 26,000 | ||||||
| Univision Communications, Inc., 7.875%, 2020 (n) | 80,000 | 86,200 | ||||||
| Univision Communications, Inc., 8.5%, 2021 (n) | 130,000 | 131,300 | ||||||
|
|
|
|||||||
| $ | 2,030,950 | |||||||
| Brokerage & Asset Managers - 0.8% | ||||||||
| E*TRADE Financial Corp., 7.875%, 2015 | $ | 155,000 | $ | 158,294 | ||||
| E*TRADE Financial Corp., 12.5%, 2017 | 190,000 | 217,550 | ||||||
|
|
|
|||||||
| $ | 375,844 | |||||||
| Building - 1.2% | ||||||||
| Building Materials Holding Corp., 7%, 2020 (n) | $ | 45,000 | $ | 49,050 | ||||
| CEMEX S.A., 9.25%, 2020 | 130,000 | 114,400 | ||||||
| HD Supply, Inc., 8.125%, 2019 (n) | 45,000 | 49,050 | ||||||
| Masonite International Corp., 8.25%, 2021 (n) | 105,000 | 109,200 | ||||||
| Nortek, Inc., 8.5%, 2021 | 150,000 | 154,500 | ||||||
| Roofing Supply Group LLC/Roofing Supply Finance, Inc., 10%, 2020 (n) | 30,000 | 32,175 | ||||||
| USG Corp., 7.875%, 2020 (n) | 45,000 | 47,869 | ||||||
|
|
|
|||||||
| $ | 556,244 | |||||||
| Business Services - 0.8% | ||||||||
| Ceridian Corp., 12.25%, 2015 (p) | $ | 70,000 | $ | 69,475 | ||||
| Ceridian Corp., 8.875%, 2019 (z) | 20,000 | 21,050 | ||||||
| iGATE Corp., 9%, 2016 | 165,000 | 174,900 | ||||||
| Iron Mountain, Inc., 8.375%, 2021 | 20,000 | 22,150 | ||||||
| SunGard Data Systems, Inc., 10.25%, 2015 | 31,000 | 31,736 | ||||||
| SunGard Data Systems, Inc., 7.375%, 2018 | 45,000 | 47,813 | ||||||
|
|
|
|||||||
| $ | 367,124 | |||||||
| Cable TV - 2.2% | ||||||||
| Bresnan Broadband Holdings LLC, 8%, 2018 (n) | $ | 25,000 | $ | 26,094 | ||||
| CCH II LLC, 13.5%, 2016 | 205,000 | 227,038 | ||||||
| CCO Holdings LLC, 7.875%, 2018 | 25,000 | 27,281 | ||||||
| CCO Holdings LLC, 8.125%, 2020 | 125,000 | 141,250 | ||||||
| Cequel Communications Holdings, 8.625%, 2017 (n) | 60,000 | 64,650 | ||||||
| DISH DBS Corp., 6.75%, 2021 | 60,000 | 65,625 | ||||||
| Nara Cable Funding Ltd., 8.875%, 2018 (z) | 200,000 | 176,000 | ||||||
| UPC Holding B.V., 9.875%, 2018 (n) | 100,000 | 110,500 | ||||||
2
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Cable TV - continued | ||||||||
| Virgin Media Finance PLC, 9.5%, 2016 | $ | 42,000 | $ | 46,988 | ||||
| Ziggo Bond Co. B.V., 8%, 2018 (n) | EUR | 100,000 | 134,114 | |||||
|
|
|
|||||||
| $ | 1,019,540 | |||||||
| Chemicals - 1.8% | ||||||||
| Celanese U.S. Holdings LLC, 6.625%, 2018 | $ | 65,000 | $ | 71,175 | ||||
| Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, 8.875%, 2018 | 120,000 | 121,500 | ||||||
| Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, 9%, 2020 | 25,000 | 21,125 | ||||||
| Huntsman International LLC, 8.625%, 2021 | 80,000 | 92,000 | ||||||
| INEOS Group Holdings PLC, 8.5%, 2016 (n) | 150,000 | 135,750 | ||||||
| Momentive Performance Materials, Inc., 12.5%, 2014 | 193,000 | 201,203 | ||||||
| Momentive Performance Materials, Inc., 11.5%, 2016 | 167,000 | 114,813 | ||||||
| Polypore International, Inc., 7.5%, 2017 | 100,000 | 107,000 | ||||||
|
|
|
|||||||
| $ | 864,566 | |||||||
| Computer Software - 1.0% | ||||||||
| Lawson Software, Inc., 11.5%, 2018 (n) | $ | 220,000 | $ | 249,150 | ||||
| Lawson Software, Inc., 9.375%, 2019 (n) | 20,000 | 21,400 | ||||||
| Syniverse Holdings, Inc., 9.125%, 2019 | 125,000 | 136,563 | ||||||
| TransUnion Holding Co., Inc., 9.625%, 2018 (n)(p) | 45,000 | 48,600 | ||||||
| TransUnion LLC/TransUnion Financing Corp., 11.375%, 2018 | 15,000 | 17,681 | ||||||
|
|
|
|||||||
| $ | 473,394 | |||||||
| Computer Software - Systems - 0.8% | ||||||||
| Audatex North America, Inc., 6.75%, 2018 (n) | $ | 40,000 | $ | 42,700 | ||||
| CDW LLC/CDW Finance Corp., 12.535%, 2017 | 55,000 | 58,988 | ||||||
| CDW LLC/CDW Finance Corp., 8.5%, 2019 | 150,000 | 159,000 | ||||||
| DuPont Fabros Technology, Inc., REIT, 8.5%, 2017 | 95,000 | 104,738 | ||||||
|
|
|
|||||||
| $ | 365,426 | |||||||
| Conglomerates - 0.9% | ||||||||
| Amsted Industries, Inc., 8.125%, 2018 (n) | $ | 185,000 | $ | 196,100 | ||||
| Dynacast International LLC, 9.25%, 2019 | 75,000 | 77,438 | ||||||
| Griffon Corp., 7.125%, 2018 | 150,000 | 156,750 | ||||||
|
|
|
|||||||
| $ | 430,288 | |||||||
| Consumer Products - 0.6% | ||||||||
| ACCO Brands Corp., 6.75%, 2020 | $ | 15,000 | $ | 16,125 | ||||
| Easton-Bell Sports, Inc., 9.75%, 2016 | 85,000 | 92,863 | ||||||
| Elizabeth Arden, Inc., 7.375%, 2021 | 90,000 | 99,000 | ||||||
| FGI Operating Co./FGI Finance, Inc., 7.875%, 2020 (z) | 5,000 | 5,275 | ||||||
| Libbey Glass, Inc., 6.875%, 2020 (n) | 30,000 | 31,650 | ||||||
| Prestige Brands, Inc., 8.125%, 2020 (n) | 10,000 | 11,063 | ||||||
|
|
|
|||||||
| $ | 255,976 | |||||||
| Consumer Services - 0.3% | ||||||||
| Service Corp. International, 7%, 2019 | $ | 145,000 | $ | 157,688 | ||||
| Containers - 1.2% | ||||||||
| Ardagh Packaging Finance PLC, 9.125%, 2020 (n) | $ | 200,000 | $ | 208,250 | ||||
| Consolidated Container Co. LLC/Consolidated Container Finance, Inc., 10.125%, 2020 (z) | 35,000 | 36,488 | ||||||
| Reynolds Group, 7.125%, 2019 | 175,000 | 185,938 | ||||||
| Reynolds Group, 8.5%, 2021 | 115,000 | 112,988 | ||||||
| Sealed Air Corp., 8.125%, 2019 (n) | 15,000 | 16,838 | ||||||
| Sealed Air Corp., 8.375%, 2021 (n) | 15,000 | 17,100 | ||||||
|
|
|
|||||||
| $ | 577,602 | |||||||
3
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Defense Electronics - 0.3% | ||||||||
| Ducommun, Inc., 9.75%, 2018 | $ | 98,000 | $ | 101,430 | ||||
| ManTech International Corp., 7.25%, 2018 | 20,000 | 21,150 | ||||||
|
|
|
|||||||
| $ | 122,580 | |||||||
| Electrical Equipment - 0.2% | ||||||||
| Avaya, Inc., 9.75%, 2015 | $ | 110,000 | $ | 85,800 | ||||
| Avaya, Inc., 7%, 2019 (n) | 25,000 | 22,531 | ||||||
|
|
|
|||||||
| $ | 108,331 | |||||||
| Electronics - 0.9% | ||||||||
| Freescale Semiconductor, Inc., 9.25%, 2018 (n) | $ | 210,000 | $ | 224,700 | ||||
| Nokia Corp., 5.375%, 2019 | 80,000 | 62,084 | ||||||
| Sensata Technologies B.V., 6.5%, 2019 (n) | 105,000 | 109,463 | ||||||
|
|
|
|||||||
| $ | 396,247 | |||||||
| Emerging Market Quasi-Sovereign - 0.7% | ||||||||
| Banco de la Provincia de Buenos Aires, 11.75%, 2015 (n) | $ | 124,000 | $ | 91,760 | ||||
| OAO Gazprom, 9.625%, 2013 | 60,000 | 62,880 | ||||||
| Petroleos de Venezuela S.A., 5.25%, 2017 | 250,000 | 181,575 | ||||||
|
|
|
|||||||
| $ | 336,215 | |||||||
| Emerging Market Sovereign - 0.6% | ||||||||
| Republic of Argentina, 7%, 2015 | $ | 230,000 | $ | 189,443 | ||||
| Republic of Venezuela, 7%, 2038 | 160,000 | 106,720 | ||||||
|
|
|
|||||||
| $ | 296,163 | |||||||
| Energy - Independent - 4.3% | ||||||||
| ATP Oil & Gas Corp., 11.875%, 2015 | $ | 110,000 | $ | 42,350 | ||||
| BreitBurn Energy Partners LP, 8.625%, 2020 | 50,000 | 53,375 | ||||||
| BreitBurn Energy Partners LP, 7.875%, 2022 (n) | 55,000 | 55,550 | ||||||
| Carrizo Oil & Gas, Inc., 8.625%, 2018 | 45,000 | 48,713 | ||||||
| Chaparral Energy, Inc., 7.625%, 2022 (n) | 65,000 | 68,088 | ||||||
| Chesapeake Energy Corp., 6.875%, 2020 | 60,000 | 59,400 | ||||||
| Concho Resources, Inc., 8.625%, 2017 | 25,000 | 27,625 | ||||||
| Denbury Resources, Inc., 8.25%, 2020 | 135,000 | 151,875 | ||||||
| Energy XXI Gulf Coast, Inc., 9.25%, 2017 | 165,000 | 182,738 | ||||||
| Everest Acquisition LLC/Everest Acquisition Finance, Inc., 9.375%, 2020 (n) | 245,000 | 263,681 | ||||||
| EXCO Resources, Inc., 7.5%, 2018 | 150,000 | 135,750 | ||||||
| Harvest Operations Corp., 6.875%, 2017 (n) | 30,000 | 32,175 | ||||||
| Hilcorp Energy I/Hilcorp Finance Co., 8%, 2020 (n) | 40,000 | 44,100 | ||||||
| Laredo Petroleum, Inc., 9.5%, 2019 | 65,000 | 73,450 | ||||||
| LINN Energy LLC, 8.625%, 2020 | 20,000 | 21,700 | ||||||
| LINN Energy LLC, 7.75%, 2021 | 20,000 | 21,100 | ||||||
| Newfield Exploration Co., 6.875%, 2020 | 55,000 | 60,225 | ||||||
| OGX Petroleo e Gas Participacoes S.A., 8.5%, 2018 (n) | 220,000 | 193,875 | ||||||
| Pioneer Natural Resources Co., 7.5%, 2020 | 27,000 | 33,547 | ||||||
| Plains Exploration & Production Co., 8.625%, 2019 | 90,000 | 101,250 | ||||||
| QEP Resources, Inc., 6.875%, 2021 | 80,000 | 90,400 | ||||||
| SandRidge Energy, Inc., 8%, 2018 (n) | 235,000 | 244,400 | ||||||
| Whiting Petroleum Corp., 6.5%, 2018 | 20,000 | 21,450 | ||||||
|
|
|
|||||||
| $ | 2,026,817 | |||||||
| Energy - Integrated - 0.2% | ||||||||
| Pacific Rubiales Energy Corp., 7.25%, 2021 (n) | $ | 100,000 | $ | 112,500 | ||||
4
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Engineering - Construction - 0.2% | ||||||||
| B-Corp. Merger Sub, Inc., 8.25%, 2019 (n) | $ | 85,000 | $ | 85,000 | ||||
| Entertainment - 0.9% | ||||||||
| AMC Entertainment, Inc., 8.75%, 2019 | $ | 180,000 | $ | 195,300 | ||||
| AMC Entertainment, Inc., 9.75%, 2020 | 105,000 | 113,925 | ||||||
| Cinemark USA, Inc., 8.625%, 2019 | 75,000 | 83,625 | ||||||
| NAI Entertainment Holdings LLC, 8.25%, 2017 (n) | 40,000 | 44,500 | ||||||
|
|
|
|||||||
| $ | 437,350 | |||||||
| Financial Institutions - 3.4% | ||||||||
| Ally Financial, Inc., 5.5%, 2017 | $ | 120,000 | $ | 125,012 | ||||
| CIT Group, Inc., 7%, 2017 (n) | 82,541 | 82,954 | ||||||
| CIT Group, Inc., 5.25%, 2018 | 40,000 | 42,350 | ||||||
| CIT Group, Inc., 6.625%, 2018 (n) | 119,000 | 130,305 | ||||||
| CIT Group, Inc., 5.5%, 2019 (n) | 118,000 | 124,490 | ||||||
| Credit Acceptance Corp., 9.125%, 2017 | 105,000 | 116,025 | ||||||
| GMAC, Inc., 8%, 2031 | 20,000 | 23,950 | ||||||
| Icahn Enterprise LP, 8%, 2018 (z) | 16,000 | 17,000 | ||||||
| Icahn Enterprises LP, 8%, 2018 | 96,000 | 102,000 | ||||||
| International Lease Finance Corp., 7.125%, 2018 (n) | 137,000 | 154,981 | ||||||
| Nationstar Mortgage LLC/Capital Corp., 10.875%, 2015 | 320,000 | 345,600 | ||||||
| PHH Corp., 9.25%, 2016 | 115,000 | 124,200 | ||||||
| SLM Corp., 8.45%, 2018 | 25,000 | 28,500 | ||||||
| SLM Corp., 8%, 2020 | 130,000 | 145,925 | ||||||
| SLM Corp., 7.25%, 2022 | 15,000 | 16,064 | ||||||
|
|
|
|||||||
| $ | 1,579,356 | |||||||
| Food & Beverages - 1.3% | ||||||||
| ARAMARK Corp., 8.5%, 2015 | $ | 105,000 | $ | 107,495 | ||||
| B&G Foods, Inc., 7.625%, 2018 | 130,000 | 140,400 | ||||||
| Constellation Brands, Inc., 7.25%, 2016 | 55,000 | 62,838 | ||||||
| JBS USA LLC/JBS USA Finance, 8.25%, 2020 (n) | 25,000 | 24,905 | ||||||
| Pinnacle Foods Finance LLC, 9.25%, 2015 | 130,000 | 132,925 | ||||||
| Pinnacle Foods Finance LLC, 8.25%, 2017 | 30,000 | 32,063 | ||||||
| TreeHouse Foods, Inc., 7.75%, 2018 | 80,000 | 86,400 | ||||||
|
|
|
|||||||
| $ | 587,026 | |||||||
| Forest & Paper Products - 1.1% | ||||||||
| Boise, Inc., 8%, 2020 | $ | 105,000 | $ | 118,388 | ||||
| Cascades, Inc., 7.75%, 2017 | 70,000 | 72,450 | ||||||
| Georgia-Pacific Corp., 8%, 2024 | 28,000 | 38,457 | ||||||
| Graphic Packaging Holding Co., 7.875%, 2018 | 65,000 | 72,150 | ||||||
| Millar Western Forest Products Ltd., 8.5%, 2021 | 25,000 | 19,250 | ||||||
| Smurfit Kappa Group PLC, 7.75%, 2019 (n) | EUR | 50,000 | 66,749 | |||||
| Tembec Industries, Inc., 11.25%, 2018 | $ | 50,000 | 51,875 | |||||
| Tembec Industries, Inc., 11.25%, 2018 (n) | 5,000 | 5,188 | ||||||
| Xerium Technologies, Inc., 8.875%, 2018 | 100,000 | 82,500 | ||||||
|
|
|
|||||||
| $ | 527,007 | |||||||
| Gaming & Lodging - 3.2% | ||||||||
| Boyd Gaming Corp., 7.125%, 2016 | $ | 87,000 | $ | 83,955 | ||||
| Caesars Operating Escrow LLC, 8.5%, 2020 (n) | 25,000 | 25,094 | ||||||
| Choice Hotels International, Inc., 5.75%, 2022 | 15,000 | 15,975 | ||||||
| Fontainebleau Las Vegas Holdings LLC, 10.25%, 2015 (a)(d)(n) | 290,000 | 181 | ||||||
| GWR Operating Partnership LLP, 10.875%, 2017 | 85,000 | 96,050 | ||||||
5
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Gaming & Lodging - continued | ||||||||
| Harrah’s Operating Co., Inc., 11.25%, 2017 | $ | 210,000 | $ | 227,325 | ||||
| Harrah’s Operating Co., Inc., 10%, 2018 | 66,000 | 41,910 | ||||||
| Host Hotels & Resorts, Inc., 5.25%, 2022 (n) | 55,000 | 58,231 | ||||||
| Isle of Capri Casinos, Inc., 8.875%, 2020 (z) | 40,000 | 40,050 | ||||||
| MGM Mirage, 6.625%, 2015 | 40,000 | 41,350 | ||||||
| MGM Mirage, 7.5%, 2016 | 20,000 | 20,675 | ||||||
| MGM Resorts International, 11.375%, 2018 | 235,000 | 271,425 | ||||||
| MGM Resorts International, 9%, 2020 | 45,000 | 50,119 | ||||||
| Penn National Gaming, Inc., 8.75%, 2019 | 160,000 | 177,000 | ||||||
| Pinnacle Entertainment, Inc., 8.75%, 2020 | 50,000 | 54,375 | ||||||
| Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp., 9.5%, 2019 (n) | 15,000 | 15,656 | ||||||
| Seven Seas Cruises S. DE R.L., 9.125%, 2019 | 130,000 | 135,525 | ||||||
| Wyndham Worldwide Corp., 7.375%, 2020 | 50,000 | 60,141 | ||||||
| Wynn Las Vegas LLC, 7.75%, 2020 | 95,000 | 105,450 | ||||||
|
|
|
|||||||
| $ | 1,520,487 | |||||||
| Industrial - 1.0% | ||||||||
| Altra Holdings, Inc., 8.125%, 2016 | $ | 63,000 | $ | 67,253 | ||||
| Hillman Group, Inc., 10.875%, 2018 | 85,000 | 90,313 | ||||||
| Hyva Global B.V., 8.625%, 2016 (n) | 200,000 | 170,500 | ||||||
| Mueller Water Products, Inc., 8.75%, 2020 | 74,000 | 82,695 | ||||||
| SPL Logistics Escrow, LLC, 8.875%, 2020 (z) | 45,000 | 45,900 | ||||||
|
|
|
|||||||
| $ | 456,661 | |||||||
| Insurance - 1.0% | ||||||||
| American International Group, Inc., 8.25%, 2018 | $ | 100,000 | $ | 123,202 | ||||
| American International Group, Inc., 8.175% to 2038, FRN to 2068 | 305,000 | 347,700 | ||||||
|
|
|
|||||||
| $ | 470,902 | |||||||
| Insurance - Property & Casualty - 1.1% | ||||||||
| Liberty Mutual Group, Inc., 10.75% to 2038, FRN to 2088 (n) | $ | 235,000 | $ | 325,475 | ||||
| XL Group PLC, 6.5% to 2017, FRN to 2049 | 205,000 | 177,838 | ||||||
|
|
|
|||||||
| $ | 503,313 | |||||||
| International Market Quasi-Sovereign - 0.2% | ||||||||
| Irish Life & Permanent PLC, 3.6%, 2013 (e)(n) | $ | 100,000 | $ | 98,854 | ||||
| Machinery & Tools - 1.0% | ||||||||
| Case Corp., 7.25%, 2016 | $ | 50,000 | $ | 55,500 | ||||
| Case New Holland, Inc., 7.875%, 2017 | 95,000 | 111,388 | ||||||
| NESCO LLC/NESCO Holdings Corp., 11.75%, 2017 (z) | 65,000 | 67,600 | ||||||
| RSC Equipment Rental, Inc., 8.25%, 2021 | 140,000 | 151,900 | ||||||
| UR Financing Escrow Corp., 5.75%, 2018 (n) | 45,000 | 47,025 | ||||||
| UR Financing Escrow Corp., 7.625%, 2022 (n) | 48,000 | 51,060 | ||||||
|
|
|
|||||||
| $ | 484,473 | |||||||
| Major Banks - 0.8% | ||||||||
| Bank of America Corp., 5.65%, 2018 | $ | 50,000 | $ | 55,200 | ||||
| RBS Capital Trust II, 6.425% to 2034, FRN to 2049 (a)(d) | 95,000 | 71,725 | ||||||
| Royal Bank of Scotland Group PLC, 6.99% to 2017, FRN to 2049 (a)(d)(n) | 100,000 | 81,500 | ||||||
| Royal Bank of Scotland Group PLC, 7.648% to 2031, FRN to 2049 | 210,000 | 182,700 | ||||||
|
|
|
|||||||
| $ | 391,125 | |||||||
6
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Medical & Health Technology & Services - 5.4% | ||||||||
| Biomet, Inc., 10.375%, 2017 (p) | $ | 50,000 | $ | 53,500 | ||||
| Biomet, Inc., 11.625%, 2017 | 135,000 | 145,294 | ||||||
| Biomet, Inc., 6.5%, 2020 (z) | 20,000 | 20,600 | ||||||
| Davita, Inc., 6.625%, 2020 | 265,000 | 280,900 | ||||||
| Fresenius Medical Care AG & Co. KGaA, 9%, 2015 (n) | 120,000 | 138,450 | ||||||
| HCA, Inc., 9%, 2014 | 320,000 | 355,200 | ||||||
| HCA, Inc., 8.5%, 2019 | 200,000 | 225,375 | ||||||
| HCA, Inc., 7.5%, 2022 | 90,000 | 101,025 | ||||||
| HealthSouth Corp., 8.125%, 2020 | 175,000 | 193,594 | ||||||
| Hologic, Inc., 6.25%, 2020 (z) | 15,000 | 15,863 | ||||||
| IASIS Healthcare LLC/IASIS Capital Corp., 8.375%, 2019 | 70,000 | 68,600 | ||||||
| Physio-Control International, Inc., 9.875%, 2019 (z) | 65,000 | 70,038 | ||||||
| Select Medical Corp., 7.625%, 2015 | 75,000 | 75,750 | ||||||
| Surgical Care Affiliates, Inc., 10%, 2017 (n) | 185,000 | 188,238 | ||||||
| Teleflex, Inc., 6.875%, 2019 | 50,000 | 53,125 | ||||||
| Tenet Healthcare Corp., 9.25%, 2015 | 65,000 | 72,638 | ||||||
| Truven Health Analytics, Inc., 10.625%, 2020 (z) | 45,000 | 47,813 | ||||||
| Universal Health Services, Inc., 7%, 2018 | 30,000 | 32,400 | ||||||
| Universal Hospital Services, Inc., 8.5%, 2015 (p) | 105,000 | 107,678 | ||||||
| Universal Hospital Services, Inc., 7.625%, 2020 (z) | 80,000 | 81,600 | ||||||
| Universal Hospital Services, Inc., FRN, 4.111%, 2015 | 35,000 | 34,081 | ||||||
| Vanguard Health Systems, Inc., 0%, 2016 | 2,000 | 1,360 | ||||||
| Vanguard Health Systems, Inc., 8%, 2018 | 65,000 | 67,925 | ||||||
| WP Rocket Merger Sub, Inc., 10.125%, 2019 (n) | 100,000 | 98,000 | ||||||
|
|
|
|||||||
| $ | 2,529,047 | |||||||
| Metals & Mining - 1.1% | ||||||||
| Arch Coal, Inc., 7.25%, 2020 | $ | 90,000 | $ | 78,075 | ||||
| Cloud Peak Energy, Inc., 8.25%, 2017 | 140,000 | 147,000 | ||||||
| Cloud Peak Energy, Inc., 8.5%, 2019 | 85,000 | 89,888 | ||||||
| Consol Energy, Inc., 8%, 2017 | 75,000 | 79,313 | ||||||
| Consol Energy, Inc., 8.25%, 2020 | 50,000 | 53,125 | ||||||
| Fortescue Metals Group Ltd., 8.25%, 2019 (n) | 85,000 | 89,463 | ||||||
|
|
|
|||||||
| $ | 536,864 | |||||||
| Natural Gas - Distribution - 0.3% | ||||||||
| AmeriGas Finance LLC, 6.75%, 2020 | $ | 80,000 | $ | 84,600 | ||||
| Ferrellgas LP/Ferrellgas Finance Corp., 6.5%, 2021 | 60,000 | 57,000 | ||||||
|
|
|
|||||||
| $ | 141,600 | |||||||
| Natural Gas - Pipeline - 1.7% | ||||||||
| Atlas Pipeline Partners LP, 8.75%, 2018 | $ | 160,000 | $ | 171,600 | ||||
| Crosstex Energy, Inc., 8.875%, 2018 | 110,000 | 116,600 | ||||||
| El Paso Corp., 7%, 2017 | 105,000 | 120,312 | ||||||
| El Paso Corp., 7.75%, 2032 | 105,000 | 122,976 | ||||||
| Energy Transfer Equity LP, 7.5%, 2020 | 135,000 | 154,238 | ||||||
| Enterprise Products Partners LP, 7.034% to 2018, FRN to 2068 | 40,000 | 43,600 | ||||||
| Rockies Express Pipeline LLC, 5.625%, 2020 (n) | 51,000 | 48,450 | ||||||
|
|
|
|||||||
| $ | 777,776 | |||||||
| Network & Telecom - 1.5% | ||||||||
| Cincinnati Bell, Inc., 8.25%, 2017 | $ | 30,000 | $ | 31,725 | ||||
| Citizens Communications Co., 9%, 2031 | 65,000 | 64,025 | ||||||
| Eileme 2 AB, 11.625%, 2020 (n) | 200,000 | 210,000 | ||||||
| Frontier Communications Corp., 8.125%, 2018 | 70,000 | 76,300 | ||||||
7
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Network & Telecom - continued | ||||||||
| Qwest Communications International, Inc., 7.125%, 2018 (n) | $ | 105,000 | $ | 111,694 | ||||
| Telefonica S.A., 5.877%, 2019 | 25,000 | 23,509 | ||||||
| Windstream Corp., 8.125%, 2018 | 20,000 | 21,350 | ||||||
| Windstream Corp., 7.75%, 2020 | 105,000 | 111,825 | ||||||
| Windstream Corp., 7.75%, 2021 | 40,000 | 42,800 | ||||||
|
|
|
|||||||
| $ | 693,228 | |||||||
| Oil Services - 1.4% | ||||||||
| Afren PLC, 11.5%, 2016 (n) | $ | 200,000 | $ | 217,530 | ||||
| Chesapeake Energy Corp., 6.625%, 2019 (n) | 35,000 | 31,850 | ||||||
| Dresser-Rand Group, Inc., 6.5%, 2021 | 45,000 | 47,250 | ||||||
| Edgen Murray Corp., 12.25%, 2015 | 150,000 | 151,500 | ||||||
| Pioneer Energy Services Corp., 9.875%, 2018 | 115,000 | 123,625 | ||||||
| Unit Corp., 6.625%, 2021 (z) | 100,000 | 99,250 | ||||||
|
|
|
|||||||
| $ | 671,005 | |||||||
| Other Banks & Diversified Financials - 1.6% | ||||||||
| Capital One Financial Corp., 10.25%, 2039 | $ | 130,000 | $ | 134,550 | ||||
| Groupe BPCE S.A., 12.5% to 2019, FRN to 2049 (n) | 100,000 | 103,234 | ||||||
| LBG Capital No. 1 PLC, 7.875%, 2020 (n) | 200,000 | 187,587 | ||||||
| Santander UK PLC, 8.963% to 2030, FRN to 2049 | 299,000 | 304,980 | ||||||
|
|
|
|||||||
| $ | 730,351 | |||||||
| Pharmaceuticals - 0.6% | ||||||||
| Capsugel FinanceCo. SCA, 9.875%, 2019 (n) | EUR | 100,000 | $ | 136,574 | ||||
| Valeant Pharmaceuticals International, Inc., 6.5%, 2016 (n) | $ | 35,000 | 37,100 | |||||
| Valeant Pharmaceuticals International, Inc., 7%, 2020 (n) | 100,000 | 103,250 | ||||||
|
|
|
|||||||
| $ | 276,924 | |||||||
| Pollution Control - 0.1% | ||||||||
| Heckmann Corp., 9.875%, 2018 (z) | $ | 60,000 | $ | 57,300 | ||||
| Printing & Publishing - 0.4% | ||||||||
| American Media, Inc., 13.5%, 2018 (z) | $ | 23,764 | $ | 22,516 | ||||
| Morris Publishing Group LLC, 10%, 2014 | 47,484 | 48,078 | ||||||
| Nielsen Finance LLC, 11.5%, 2016 | 62,000 | 69,750 | ||||||
| Nielsen Finance LLC, 7.75%, 2018 | 45,000 | 50,625 | ||||||
|
|
|
|||||||
| $ | 190,969 | |||||||
| Real Estate - 0.5% | ||||||||
| CB Richard Ellis Group, Inc., 11.625%, 2017 | $ | 120,000 | $ | 135,450 | ||||
| CNL Lifestyle Properties, Inc., REIT, 7.25%, 2019 | 50,000 | 46,000 | ||||||
| Kennedy Wilson, Inc., 8.75%, 2019 | 45,000 | 47,250 | ||||||
|
|
|
|||||||
| $ | 228,700 | |||||||
| Retailers - 1.8% | ||||||||
| Academy Ltd., 9.25%, 2019 (n) | $ | 55,000 | $ | 60,500 | ||||
| Burlington Coat Factory Warehouse Corp., 10%, 2019 | 100,000 | 106,125 | ||||||
| J. Crew Group, Inc., 8.125%, 2019 | 85,000 | 87,444 | ||||||
| Limited Brands, Inc., 6.9%, 2017 | 75,000 | 84,656 | ||||||
| Limited Brands, Inc., 6.95%, 2033 | 40,000 | 39,150 | ||||||
| Pantry, Inc., 8.375%, 2020 (z) | 40,000 | 40,650 | ||||||
| QVC, Inc., 7.375%, 2020 (n) | 50,000 | 55,934 | ||||||
| Rite Aid Corp., 9.25%, 2020 | 45,000 | 45,450 | ||||||
| Sally Beauty Holdings, Inc., 6.875%, 2019 | 45,000 | 50,231 | ||||||
8
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Retailers - continued | ||||||||
| Toys “R” Us Property Co. II LLC, 8.5%, 2017 | $ | 60,000 | $ | 64,800 | ||||
| Toys “R” Us, Inc., 10.75%, 2017 | 140,000 | 154,700 | ||||||
| Yankee Acquisition Corp., 8.5%, 2015 | 2,000 | 2,033 | ||||||
| YCC Holdings LLC/Yankee Finance, Inc., 10.25%, 2016 (p) | 50,000 | 50,938 | ||||||
|
|
|
|||||||
| $ | 842,611 | |||||||
| Specialty Chemicals - 0.1% | ||||||||
| Koppers, Inc., 7.875%, 2019 | $ | 40,000 | $ | 43,600 | ||||
| Specialty Stores - 0.4% | ||||||||
| Gymboree Corp., 9.125%, 2018 | $ | 15,000 | $ | 14,006 | ||||
| Michaels Stores, Inc., 11.375%, 2016 | 125,000 | 132,345 | ||||||
| Michaels Stores, Inc., 7.75%, 2018 | 50,000 | 53,563 | ||||||
|
|
|
|||||||
| $ | 199,914 | |||||||
| Supermarkets - 0.1% | ||||||||
| SUPERVALU, Inc., 7.5%, 2014 | $ | 50,000 | $ | 47,625 | ||||
| Telecommunications - Wireless - 3.2% | ||||||||
| Clearwire Corp., 12%, 2015 (n) | $ | 110,000 | $ | 103,950 | ||||
| Cricket Communications, Inc., 7.75%, 2016 | 95,000 | 100,700 | ||||||
| Cricket Communications, Inc., 7.75%, 2020 | 125,000 | 119,375 | ||||||
| Crown Castle International Corp., 9%, 2015 | 80,000 | 87,250 | ||||||
| Crown Castle International Corp., 7.125%, 2019 | 50,000 | 54,875 | ||||||
| Digicel Group Ltd., 10.5%, 2018 (n) | 265,000 | 282,888 | ||||||
| MetroPCS Wireless, Inc., 7.875%, 2018 | 50,000 | 53,000 | ||||||
| Sprint Capital Corp., 6.875%, 2028 | 80,000 | 71,600 | ||||||
| Sprint Nextel Corp., 6%, 2016 | 145,000 | 146,813 | ||||||
| Sprint Nextel Corp., 8.375%, 2017 | 140,000 | 152,950 | ||||||
| Sprint Nextel Corp., 9%, 2018 (n) | 25,000 | 29,188 | ||||||
| Wind Acquisition Finance S.A., 11.75%, 2017 (n) | 350,000 | 290,500 | ||||||
|
|
|
|||||||
| $ | 1,493,089 | |||||||
| Telephone Services - 0.4% | ||||||||
| Cogent Communications Group, Inc., 8.375%, 2018 (n) | $ | 45,000 | $ | 48,713 | ||||
| Level 3 Financing, Inc., 9.375%, 2019 | 90,000 | 98,550 | ||||||
| Level 3 Financing, Inc., 8.625%, 2020 | 45,000 | 48,263 | ||||||
|
|
|
|||||||
| $ | 195,526 | |||||||
| Transportation - 0.2% | ||||||||
| Navios South American Logistics, Inc., 9.25%, 2019 | $ | 112,000 | $ | 102,480 | ||||
| Transportation - Services - 2.8% | ||||||||
| ACL I Corp., 10.625%, 2016 (p) | $ | 145,207 | $ | 136,773 | ||||
| Aguila American Resources Ltd., 7.875%, 2018 (n) | 150,000 | 159,000 | ||||||
| Atlas Airlines, Inc. Pass-Through Certificates, “B”, 7.68%, 2015 | 46,464 | 44,141 | ||||||
| Avis Budget Car Rental LLC, 8.25%, 2019 (n) | 20,000 | 21,475 | ||||||
| Avis Budget Car Rental LLC, 8.25%, 2019 | 45,000 | 48,319 | ||||||
| Avis Budget Car Rental LLC, 9.75%, 2020 | 40,000 | 44,750 | ||||||
| CEVA Group PLC, 8.375%, 2017 (n) | 160,000 | 156,400 | ||||||
| Commercial Barge Line Co., 12.5%, 2017 | 205,000 | 231,138 | ||||||
| Navios Maritime Acquisition Corp., 8.625%, 2017 | 165,000 | 154,688 | ||||||
| Navios Maritime Holdings, Inc., 8.875%, 2017 (z) | 35,000 | 35,000 | ||||||
| Navios Maritime Holdings, Inc., 8.875%, 2017 | 70,000 | 70,700 | ||||||
| Swift Services Holdings, Inc., 10%, 2018 | 180,000 | 195,750 | ||||||
|
|
|
|||||||
| $ | 1,298,134 | |||||||
9
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Utilities - Electric Power - 4.6% | ||||||||
| AES Corp., 8%, 2017 | $ | 175,000 | $ | 203,438 | ||||
| Atlantic Power Corp., 9%, 2018 | 60,000 | 62,550 | ||||||
| Calpine Corp., 8%, 2016 (n) | 125,000 | 135,469 | ||||||
| Calpine Corp., 7.875%, 2020 (n) | 120,000 | 135,300 | ||||||
| Covanta Holding Corp., 7.25%, 2020 | 75,000 | 82,316 | ||||||
| Covanta Holding Corp., 6.375%, 2022 | 25,000 | 26,832 | ||||||
| Dolphin Subsidiary ll, Inc., 7.25%, 2021 (n) | 80,000 | 91,000 | ||||||
| Edison Mission Energy, 7%, 2017 | 90,000 | 49,050 | ||||||
| EDP Finance B.V., 6%, 2018 (n) | 300,000 | 271,745 | ||||||
| Energy Future Holdings Corp., 10%, 2020 | 180,000 | 194,625 | ||||||
| Energy Future Holdings Corp., 10%, 2020 | 250,000 | 275,313 | ||||||
| Energy Future Holdings Corp., 11.75%, 2022 (n) | 85,000 | 87,975 | ||||||
| GenOn Energy, Inc., 9.875%, 2020 | 165,000 | 180,675 | ||||||
| NGC Corp. Capital Trust, 8.316%, 2027 (a) | 275,000 | 41,250 | ||||||
| NRG Energy, Inc., 8.25%, 2020 | 195,000 | 210,113 | ||||||
| Texas Competitive Electric Holdings Co. LLC, 11.5%, 2020 (n) | 125,000 | 92,500 | ||||||
|
|
|
|||||||
| $ | 2,140,151 | |||||||
| Total Bonds | $ | 34,060,771 | ||||||
| Common Stocks - 23.2% | ||||||||
| Aerospace - 1.7% | ||||||||
| Lockheed Martin Corp. | 4,540 | $ | 405,286 | |||||
| United Technologies Corp. | 5,200 | 387,088 | ||||||
|
|
|
|||||||
| $ | 792,374 | |||||||
| Alcoholic Beverages - 0.7% | ||||||||
| Diageo PLC, ADR | 2,940 | $ | 314,286 | |||||
| Automotive - 0.4% | ||||||||
| Accuride Corp. (a) | 2,414 | $ | 12,529 | |||||
| Delphi Automotive PLC (a) | 6,410 | 181,980 | ||||||
|
|
|
|||||||
| $ | 194,509 | |||||||
| Broadcasting - 0.9% | ||||||||
| New Young Broadcasting Holding Co., Inc. (a) | 18 | $ | 52,200 | |||||
| Viacom, Inc., “B” | 7,430 | 347,055 | ||||||
|
|
|
|||||||
| $ | 399,255 | |||||||
| Brokerage & Asset Managers - 0.6% | ||||||||
| BlackRock, Inc. | 1,723 | $ | 293,358 | |||||
| Business Services - 0.7% | ||||||||
| Accenture PLC, “A” | 5,710 | $ | 344,313 | |||||
| Chemicals - 1.4% | ||||||||
| 3M Co. | 4,080 | $ | 372,218 | |||||
| PPG Industries, Inc. | 2,460 | 269,272 | ||||||
|
|
|
|||||||
| $ | 641,490 | |||||||
| Computer Software - 0.7% | ||||||||
| Oracle Corp. | 11,590 | $ | 350,018 | |||||
10
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Common Stocks - continued | ||||||||
| Computer Software - Systems - 0.9% | ||||||||
| International Business Machines Corp. | 2,250 | $ | 440,955 | |||||
| Electrical Equipment - 1.6% | ||||||||
| Danaher Corp. | 7,130 | $ | 376,535 | |||||
| Tyco International Ltd. | 7,160 | 393,370 | ||||||
|
|
|
|||||||
| $ | 769,905 | |||||||
| Energy - Independent - 0.9% | ||||||||
| Occidental Petroleum Corp. | 4,750 | $ | 413,393 | |||||
| Energy - Integrated - 0.7% | ||||||||
| Exxon Mobil Corp. | 3,890 | $ | 337,847 | |||||
| Food & Beverages - 0.8% | ||||||||
| General Mills, Inc. | 9,810 | $ | 379,647 | |||||
| General Merchandise - 0.9% | ||||||||
| Target Corp. | 6,760 | $ | 409,994 | |||||
| Insurance - 1.3% | ||||||||
| MetLife, Inc. | 8,130 | $ | 250,160 | |||||
| Travelers Cos., Inc. | 5,900 | 369,635 | ||||||
|
|
|
|||||||
| $ | 619,795 | |||||||
| Machinery & Tools - 0.4% | ||||||||
| Eaton Corp. | 4,730 | $ | 207,363 | |||||
| Major Banks - 2.3% | ||||||||
| Bank of New York Mellon Corp. | 12,760 | $ | 271,533 | |||||
| Goldman Sachs Group, Inc. | 2,600 | 262,340 | ||||||
| JPMorgan Chase & Co. | 14,710 | 529,560 | ||||||
|
|
|
|||||||
| $ | 1,063,433 | |||||||
| Medical Equipment - 0.6% | ||||||||
| St. Jude Medical, Inc. | 6,970 | $ | 260,399 | |||||
| Other Banks & Diversified Financials - 0.5% | ||||||||
| Western Union Co. | 14,330 | $ | 249,772 | |||||
| Pharmaceuticals - 2.4% | ||||||||
| Abbott Laboratories | 5,400 | $ | 358,074 | |||||
| Johnson & Johnson | 4,590 | 317,720 | ||||||
| Pfizer, Inc. | 18,160 | 436,566 | ||||||
|
|
|
|||||||
| $ | 1,112,360 | |||||||
| Printing & Publishing - 0.1% | ||||||||
| American Media Operations, Inc. (a) | 6,090 | $ | 33,800 | |||||
| Telecommunications - Wireless - 0.7% | ||||||||
| Vodafone Group PLC, ADR | 11,260 | $ | 323,725 | |||||
| Telephone Services - 0.8% | ||||||||
| AT&T, Inc. | 9,800 | $ | 371,616 | |||||
11
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Common Stocks - continued | ||||||||
| Tobacco - 1.2% | ||||||||
| Philip Morris International, Inc. | 6,220 | $ | 568,757 | |||||
| Total Common Stocks | $ | 10,892,364 | ||||||
| Preferred Stocks - 0.3% | ||||||||||||||||
| Other Banks & Diversified Financials - 0.3% | ||||||||||||||||
| Ally Financial, Inc., 7% (z) | 60 | $ | 53,918 | |||||||||||||
| GMAC Capital Trust I, 8.125% | 3,325 | 81,064 | ||||||||||||||
| Total Preferred Stocks | $ | 134,982 | ||||||||||||||
| Convertible Bonds - 0.2% | ||||||||||||||||
| Network & Telecom - 0.2% | ||||||||||||||||
| Nortel Networks Corp., 2.125%, 2014 (a)(d) | $ | 105,000 | $ | 103,950 | ||||||||||||
| Convertible Preferred Stocks - 0.1% | ||||||||||||||||
| Automotive - 0.1% | ||||||||||||||||
| General Motors Co., 4.75% | 1,690 | $ | 56,564 | |||||||||||||
| Floating Rate Loans (g)(r) - 0.1% | ||||||||||||||||
| Utilities - Electric Power - 0.1% | ||||||||||||||||
| Dynegy Midwest Generation LLC, Term Loan, 9.25%, 2017 | $ | 13,304 | $ | 13,608 | ||||||||||||
| Dynegy Power LLC, Term Loan, 9.25%, 2017 | 19,956 | 20,655 | ||||||||||||||
| Total Floating Rate Loans | $ | 34,263 | ||||||||||||||
| Strike Price |
First Exercise |
|||||||||||||||
| Warrants - 0.1% | ||||||||||||||||
| Broadcasting - 0.1% | ||||||||||||||||
| New Young Broadcasting Holding Co., Inc. (1 share for 1 warrant) (a) | $ | 0.01 | 12/24/24 | 15 | $ | 43,500 | ||||||||||
| Money Market Funds - 2.6% | ||||||||||||||||
| MFS Institutional Money Market Portfolio, 0.15%, at Net Asset Value (v) | 1,208,149 | $ | 1,208,149 | |||||||||||||
| Total Investments | $ | 46,534,543 | ||||||||||||||
| Other Assets, Less Liabilities - 0.9% | 440,569 | |||||||||||||||
| Net Assets - 100.0% | $ | 46,975,112 | ||||||||||||||
| (a) | Non-income producing security. |
| (c) | The rate shown represents a current effective yield, not a coupon rate. |
| (d) | In default. Interest and/or scheduled principal payment(s) have been missed. |
| (e) | Guaranteed by Minister for Finance of Ireland. |
| (g) | The rate shown represents a weighted average coupon rate on settled positions at period end, unless otherwise indicated. |
| (i) | Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security. |
| (n) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $9,739,429, representing 20.7% of net assets. |
| (p) | Payment-in-kind security. |
| (r) | Remaining maturities of floating rate loans may be less than stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. These loans may be subject to restrictions on resale. Floating rate loans generally have rates of interest which are determined periodically by reference to a base lending rate plus a premium. |
| (v) | Underlying affiliated fund that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
12
Portfolio of Investments (unaudited) – continued
| (z) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities: |
| Restricted Securities | Acquisition Date |
Cost | Value | |||||||
| Ally Financial, Inc., 7% | 4/13/11-4/14/11 | $56,250 | $53,918 | |||||||
| American Media, Inc., 13.5%, 2018 | 12/22/10 | 24,090 | 22,516 | |||||||
| Banc of America Commercial Mortgage, Inc., FRN, 6.248%, 2051 | 6/19/08 | 240,903 | 46,843 | |||||||
| Biomet, Inc., 6.5%, 2020 | 7/25/12 | 20,000 | 20,600 | |||||||
| Ceridian Corp., 8.875%, 2019 | 6/28/12 | 20,000 | 21,050 | |||||||
| Consolidated Container Co. LLC/Consolidated Container Finance, Inc., 10.125%, 2020 | 6/28/12-7/17/12 | 35,498 | 36,488 | |||||||
| FGI Operating Co./FGI Finance, Inc., 7.875%, 2020 | 4/12/12 | 5,000 | 5,275 | |||||||
| Falcon Franchise Loan LLC, FRN, 5.459%, 2025 | 1/29/03 | 9,148 | 19,318 | |||||||
| Heckler & Koch GmbH, 9.5%, 2018 | 5/06/11 | 141,969 | 89,204 | |||||||
| Heckmann Corp., 9.875%, 2018 | 4/04/12 | 59,678 | 57,300 | |||||||
| Icahn Enterprise LP, 8%, 2018 | 7/09/12 | 16,873 | 17,000 | |||||||
| Hologic, Inc., 6.25%, 2020 | 7/19/12 | 15,000 | 15,863 | |||||||
| IDQ Holdings, Inc., 11.5%, 2017 | 3/20/12 | 34,337 | 36,706 | |||||||
| Isle of Capri Casinos, Inc., 8.875%, 2020 | 7/26/12-8/06/12 | 40,200 | 40,050 | |||||||
| LBI Media, Inc., 8.5%, 2017 | 7/18/07 | 89,102 | 19,575 | |||||||
| Local TV Finance LLC, 9.25%, 2015 | 11/14/07-2/16/11 | 155,085 | 160,678 | |||||||
| Morgan Stanley Capital I, Inc., FRN, 1.332%, 2039 | 7/20/04 | 6,494 | 5,221 | |||||||
| Nara Cable Funding Ltd., 8.875%, 2018 | 1/26/12 | 194,197 | 176,000 | |||||||
| Navios Maritime Holdings, Inc., 8.875%, 2017 | 6/27/12 | 35,000 | 35,000 | |||||||
| NESCO LLC/NESCO Holdings Corp., 11.75%, 2017 | 4/05/12-6/15/12 | 64,584 | 67,600 | |||||||
| Pantry, Inc., 8.375%, 2020 | 7/25/12 | 40,000 | 40,650 | |||||||
| Physio-Control International, Inc., 9.875%, 2019 | 1/13/12-1/30/12 | 66,068 | 70,038 | |||||||
| Preferred Term Securities XII Ltd., CDO, 0%, 2033 | 1/07/05 | 127,734 | 68 | |||||||
| Preferred Term Securities XVI Ltd., CDO, 0%, 2035 | 12/08/04 | 187,576 | 30 | |||||||
| Preferred Term Securities XVII Ltd., CDO, 0%, 2035 | 3/09/05 | 114,513 | 19 | |||||||
| SPL Logistics Escrow, LLC, 8.875%, 2020 | 7/24/12 | 45,000 | 45,900 | |||||||
| Townsquare Radio LLC, 9%, 2019 | 3/30/12 | 39,614 | 42,300 | |||||||
| Truven Health Analytics, Inc., 10.625%, 2020 | 5/24/12-6/15/12 | 45,802 | 47,813 | |||||||
| Unit Corp., 6.625%, 2021 | 7/12/12 | 98,752 | 99,250 | |||||||
| Universal Hospital Services, Inc., 7.625%, 2020 | 7/24/12 | 80,000 | 81,600 | |||||||
| Total Restricted Securities | $1,373,873 | |||||||||
| % of Net assets | 2.9% | |||||||||
The following abbreviations are used in this report and are defined:
| ADR | American Depositary Receipt | |
| CDO | Collateralized Debt Obligation | |
| FRN | Floating Rate Note. Interest rate resets periodically and may not be the rate reported at period end. | |
| PLC | Public Limited Company | |
| REIT | Real Estate Investment Trust |
Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below:
| EUR | Euro |
13
Portfolio of Investments (unaudited) – continued
Derivative Contracts at 7/31/12
Forward Foreign Currency Exchange Contracts at 7/31/12
| Type | Currency | Counterparty | Contracts to Deliver/Receive |
Settlement Date Range |
In Exchange For |
Contracts at Value |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||
| Liability Derivatives | ||||||||||||||||||||||
| SELL | EUR | Goldman Sachs | 174,240 | 10/12/12 | $ | 213,152 | $ | 214,574 | $ | (1,422 | ) | |||||||||||
| SELL | EUR | UBS AG | 174,240 | 10/12/12 | 213,252 | 214,574 | (1,322 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||||
| $ | (2,744 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
See attached supplemental information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.
14
Supplemental Information
7/31/12 (unaudited)
(1) Investment Valuations
Equity securities, including restricted equity securities, are generally valued at the last sale or official closing price as provided by a third-party pricing service on the market or exchange on which they are primarily traded. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation as provided by a third-party pricing service on the market or exchange on which such securities are primarily traded. Debt instruments and floating rate loans (other than short-term instruments), including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less generally are valued at amortized cost, which approximates market value. 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. Events that occur on a frequent basis after foreign markets close (such as developments in foreign markets and significant movements in the U.S. markets) and prior to the determination of the fund’s net asset value may be deemed to have a material effect on the value of securities traded in foreign markets. Accordingly, the fund’s foreign equity securities may often be valued at fair value. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the 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 forward foreign currency exchange contracts. The following is a summary of the levels used as of July 31, 2012 in valuing the fund’s assets or liabilities:
| Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Equity Securities | ||||||||||||||||
| United States |
$10,305,982 | $149,617 | $33,800 | $10,489,399 | ||||||||||||
| United Kingdom |
638,011 | 638,011 | ||||||||||||||
| Non-U.S. Sovereign Debt | — | 731,232 | — | 731,232 | ||||||||||||
| Corporate Bonds | — | 27,214,232 | — | 27,214,232 | ||||||||||||
| Commercial Mortgage-Backed Securities | — | 142,663 | — | 142,663 | ||||||||||||
| Asset-Backed Securities (including CDOs) | — | 117 | — | 117 | ||||||||||||
| Foreign Bonds | — | 6,076,477 | — | 6,076,477 | ||||||||||||
| Floating Rate Loans | — | 34,263 | — | 34,263 | ||||||||||||
| Mutual Funds | 1,208,149 | — | — | 1,208,149 | ||||||||||||
| Total Investments | $12,152,142 | $34,348,601 | $33,800 | $46,534,543 | ||||||||||||
| Other Financial Instruments | ||||||||||||||||
| Forward Foreign Currency Exchange Contracts | — | (2,744 | ) | — | (2,744 | ) | ||||||||||
15
Supplemental Information (unaudited) – continued
For further information regarding security characteristics, see the Portfolio of Investments.
The following is a reconciliation of level 3 assets for which significant unobservable inputs were used to determine fair value. The fund’s policy is to recognize transfers between the levels as of the end of the period. The table presents the activity of level 3 securities held at the beginning and the end of the period.
| Equity Securities |
||||
| Balance as of 10/31/11 | $79,962 | |||
| Change in unrealized appreciation (depreciation) |
(46,162 | ) | ||
| Realized gain (loss) |
0 | |||
| Disposition of worthless securities |
0 | |||
| Balance as of 7/31/12 | $33,800 | |||
The net change in unrealized appreciation (depreciation) from investments still held as level 3 at July 31, 2012 is $(46,162).
(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 | $46,743,683 | |||
| Gross unrealized appreciation | $3,130,824 | |||
| Gross unrealized depreciation | (3,339,964 | ) | ||
| Net unrealized appreciation (depreciation) | $(209,140 | ) |
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 | 547,157 | 9,266,590 | (8,605,598 | ) | 1,208,149 | |||||||||||
| Underlying Affiliated Fund | Realized Gain (Loss) |
Capital Gain Distributions |
Dividend Income |
Ending Value |
||||||||||||
| MFS Institutional Money Market Portfolio | $— | $— | $1,052 | $1,208,149 | ||||||||||||
16
| 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 SPECIAL VALUE TRUST
| By (Signature and Title)* | JOHN M. CORCORAN | |
| John M. Corcoran, President |
Date: September 18, 2012
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By (Signature and Title)* | JOHN M. CORCORAN | |
| John M. Corcoran, President | ||
| (Principal Executive Officer) |
Date: September 18, 2012
| By (Signature and Title)* | DAVID L. DILORENZO | |
| David L. DiLorenzo, Treasurer | ||
| (Principal Financial Officer and Accounting Officer) |
Date: September 18, 2012
| * | Print name and title of each signing officer under his or her signature. |