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 811-05440
MFS INTERMEDIATE INCOME 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: January 31, 2012
| ITEM 1. | SCHEDULE OF INVESTMENTS. |
MFS® Intermediate Income Trust
QUARTERLY REPORT
January 31, 2012
PORTFOLIO OF INVESTMENTS
1/31/12 (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 - 99.3% | ||||||||
| Airlines - 0.3% | ||||||||
| Continental Airlines, Inc., FRN, 0.878%, 2013 | $ | 2,333,698 | $ | 2,217,013 | ||||
| Apparel Manufacturers - 0.2% | ||||||||
| VF Corp., FRN, 1.245%, 2013 | $ | 1,350,000 | $ | 1,350,221 | ||||
| Asset-Backed & Securitized - 2.8% | ||||||||
| Anthracite Ltd., “A”, CDO, FRN, 0.637%, 2019 (z) | $ | 956,079 | $ | 793,546 | ||||
| Commercial Mortgage Acceptance Corp., FRN, 2.069%, 2030 (i) | 8,746,367 | 354,009 | ||||||
| Credit Suisse Mortgage Capital Certificate, FRN, 5.695%, 2040 | 2,000,000 | 2,158,446 | ||||||
| Falcon Franchise Loan LLC, FRN, 4.739%, 2023 (i)(z) | 3,449,833 | 207,335 | ||||||
| FUEL Trust, 4.207%, 2016 (n) | 1,970,000 | 2,023,025 | ||||||
| Goldman Sachs Mortgage Securities Corp. II, 5.587%, 2038 | 3,015,742 | 3,222,920 | ||||||
| Hertz Global Holdings, Inc., 4.26%, 2014 (n) | 2,300,000 | 2,359,219 | ||||||
| Hertz Vehicle Financing LLC, 2010-1A, “A1”, 2.6%, 2015 (n) | 630,000 | 640,402 | ||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.475%, 2043 | 3,000,000 | 3,349,035 | ||||||
| Lehman Brothers/UBS Commercial Mortgage Trust, 5.642%, 2032 | 1,777,290 | 1,881,372 | ||||||
| Mercedes-Benz Auto Lease Trust, “A2”, 0.79%, 2013 (n) | 1,451,364 | 1,452,199 | ||||||
| Nationstar Home Equity Loan Trust, FRN, 0.406%, 2036 | 224,143 | 217,129 | ||||||
| Wachovia Bank Commercial Mortgage Trust, 5.418%, 2045 | 2,000,000 | 2,213,844 | ||||||
|
|
|
|||||||
| $ | 20,872,481 | |||||||
| Automotive - 1.4% | ||||||||
| Daimler Finance North America LLC, FRN, 1.741%, 2013 (n) | $ | 2,450,000 | $ | 2,446,705 | ||||
| Harley-Davidson Financial Services, 3.875%, 2016 (n) | 2,880,000 | 3,021,152 | ||||||
| RCI Banque S.A., 4.6%, 2016 (n) | 2,110,000 | 2,014,466 | ||||||
| Toyota Motor Credit Corp., 3.2%, 2015 | 2,740,000 | 2,920,741 | ||||||
|
|
|
|||||||
| $ | 10,403,064 | |||||||
| Banks & Diversified Financials (Covered Bonds) - 1.0% | ||||||||
| BNP Paribas Home Loan, 2.2%, 2015 (n) | $ | 2,640,000 | $ | 2,547,592 | ||||
| Compagnie de Financement Foncier, 2.125%, 2013 (n) | 1,600,000 | 1,584,467 | ||||||
| Eurohypo AG, 5.125%, 2016 | 3,140,000 | 3,056,181 | ||||||
|
|
|
|||||||
| $ | 7,188,240 | |||||||
| Broadcasting - 0.3% | ||||||||
| CBS Corp., 5.75%, 2020 | $ | 940,000 | $ | 1,079,897 | ||||
| WPP Finance, 8%, 2014 | 812,000 | 915,173 | ||||||
|
|
|
|||||||
| $ | 1,995,070 | |||||||
| Brokerage & Asset Managers - 0.3% | ||||||||
| TD Ameritrade Holding Co., 4.15%, 2014 | $ | 2,007,000 | $ | 2,142,214 | ||||
| Building - 0.2% | ||||||||
| CRH PLC, 8.125%, 2018 | $ | 1,160,000 | $ | 1,356,952 | ||||
| Cable TV - 1.2% | ||||||||
| DIRECTV Holdings LLC, 5.875%, 2019 | $ | 1,400,000 | $ | 1,598,033 | ||||
| Myriad International Holdings B.V., 6.375%, 2017 (n) | 1,825,000 | 1,989,250 | ||||||
| Time Warner Cable, Inc., 5.4%, 2012 | 2,670,000 | 2,722,441 | ||||||
| Time Warner Cable, Inc., 4%, 2021 | 2,770,000 | 2,896,996 | ||||||
|
|
|
|||||||
| $ | 9,206,720 | |||||||
1
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Chemicals - 1.3% | ||||||||
| Dow Chemical Co., 8.55%, 2019 | $ | 3,190,000 | $ | 4,228,654 | ||||
| PPG Industries, Inc., 5.75%, 2013 | 3,465,000 | 3,640,935 | ||||||
| Sociedad Quimica y Minera de Chile S.A., 6.125%, 2016 | 1,463,000 | 1,606,247 | ||||||
|
|
|
|||||||
| $ | 9,475,836 | |||||||
| Computer Software - 0.3% | ||||||||
| Adobe Systems, Inc., 3.25%, 2015 | $ | 1,950,000 | $ | 2,055,548 | ||||
| Conglomerates - 0.6% | ||||||||
| Ingersoll-Rand Global Holding Co. Ltd., 6%, 2013 | $ | 4,460,000 | $ | 4,765,260 | ||||
| Consumer Products - 1.2% | ||||||||
| Newell Rubbermaid, Inc., 5.5%, 2013 | $ | 1,015,000 | $ | 1,066,712 | ||||
| Procter & Gamble Co., 0.7%, 2014 | 1,450,000 | 1,459,194 | ||||||
| Royal Philips Electronics N.V., 4.625%, 2013 | 4,290,000 | 4,471,729 | ||||||
| Whirlpool Corp., 8%, 2012 | 2,165,000 | 2,201,506 | ||||||
|
|
|
|||||||
| $ | 9,199,141 | |||||||
| Defense Electronics - 0.2% | ||||||||
| BAE Systems Holdings, Inc., 6.375%, 2019 (n) | $ | 1,400,000 | $ | 1,594,610 | ||||
| Electronics - 0.1% | ||||||||
| Tyco Electronics Group S.A., 3.5%, 2022 | $ | 909,000 | $ | 905,428 | ||||
| Emerging Market Quasi-Sovereign - 4.4% | ||||||||
| Banco del Estado de Chile, 4.125%, 2020 (n) | $ | 114,000 | $ | 117,990 | ||||
| Banco do Brasil (Cayman Branch), 6%, 2020 (n) | 1,430,000 | 1,573,000 | ||||||
| Banco do Nordeste do Brasil (BNB), 3.625%, 2015 (n) | 992,000 | 987,040 | ||||||
| BNDES Participacoes S.A., 6.5%, 2019 (n) | 3,267,000 | 3,786,453 | ||||||
| BNDES Participacoes S.A., 5.5%, 2020 (n) | 138,000 | 151,800 | ||||||
| CNPC (HK) Overseas Capital Ltd., 4.5%, 2021 (n) | 1,090,000 | 1,157,289 | ||||||
| Corporacion Nacional del Cobre de Chile, 4.75%, 2014 (n) | 1,312,000 | 1,418,255 | ||||||
| Corporacion Nacional del Cobre de Chile, 3.75%, 2020 (n) | 840,000 | 874,082 | ||||||
| Development Bank of Kazakhstan, 5.5%, 2015 (n) | 972,000 | 974,430 | ||||||
| Empresa Nacional del Petroleo, 6.25%, 2019 | 723,000 | 819,007 | ||||||
| Gaz Capital S.A., 8.125%, 2014 (n) | 2,036,000 | 2,234,510 | ||||||
| Gaz Capital S.A., 5.999%, 2021 (n) | 2,578,000 | 2,629,560 | ||||||
| Pemex Project Funding Master Trust, 5.75%, 2018 | 760,000 | 841,700 | ||||||
| Petrobras International Finance Co., 3.875%, 2016 | 572,000 | 585,662 | ||||||
| Petrobras International Finance Co., 7.875%, 2019 | 1,777,000 | 2,132,167 | ||||||
| Petroleos Mexicanos, 8%, 2019 | 776,000 | 970,000 | ||||||
| Petroleos Mexicanos, 6%, 2020 | 2,970,000 | 3,326,400 | ||||||
| Petroleos Mexicanos, 5.5%, 2021 | 1,315,000 | 1,423,488 | ||||||
| Petroleos Mexicanos, 4.875%, 2022 (z) | 907,000 | 935,998 | ||||||
| Petronas Capital Ltd., 7.875%, 2022 | 1,089,000 | 1,480,618 | ||||||
| Ras Laffan Liquefied Natural Gas Co. Ltd., 6.75%, 2019 (n) | 1,584,000 | 1,877,040 | ||||||
| Transnet Ltd., 4.5%, 2016 (n) | 212,000 | 217,869 | ||||||
| VTB Capital S.A., 6.465%, 2015 (n) | 857,000 | 889,137 | ||||||
| VTB Capital S.A., 6.551%, 2020 (n) | 1,339,000 | 1,315,567 | ||||||
|
|
|
|||||||
| $ | 32,719,062 | |||||||
| Emerging Market Sovereign - 1.6% | ||||||||
| Republic of Lithuania, 6.125%, 2021 (n) | $ | 219,000 | $ | 216,263 | ||||
| Republic of Lithuania, 6.625%, 2022 (z) | 1,854,000 | 1,885,249 | ||||||
| Republic of Peru, 9.875%, 2015 | 485,000 | 597,520 | ||||||
| Republic of Poland, 5%, 2022 | 1,402,000 | 1,421,628 | ||||||
| Republic of South Africa, 5.5%, 2020 | 2,423,000 | 2,683,473 | ||||||
2
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Emerging Market Sovereign - continued | ||||||||
| Republic of South Africa, 4.665%, 2024 | $ | 1,617,000 | $ | 1,637,213 | ||||
| United Mexican States, 3.625%, 2022 | 3,754,000 | 3,785,909 | ||||||
|
|
|
|||||||
| $ | 12,227,255 | |||||||
| Energy - Independent - 0.1% | ||||||||
| Talisman Energy, Inc., 7.75%, 2019 | $ | 480,000 | $ | 600,799 | ||||
| Energy - Integrated - 2.9% | ||||||||
| BG Energy Capital PLC, 2.875%, 2016 (n) | $ | 2,320,000 | $ | 2,416,846 | ||||
| BP Capital Markets PLC, 4.5%, 2020 | 853,000 | 955,175 | ||||||
| BP Capital Markets PLC, 4.742%, 2021 | 1,810,000 | 2,077,576 | ||||||
| Hess Corp., 8.125%, 2019 | 1,230,000 | 1,599,422 | ||||||
| Husky Energy, Inc., 5.9%, 2014 | 2,755,000 | 3,021,626 | ||||||
| LUKOIL International Finance B.V., 6.125%, 2020 (n) | 2,738,000 | 2,816,718 | ||||||
| Petro-Canada, 6.05%, 2018 | 904,000 | 1,088,270 | ||||||
| Petro-Canada Financial Partnership, 5%, 2014 | 2,140,000 | 2,336,698 | ||||||
| Royal Dutch Shell PLC, 3.1%, 2015 | 2,710,000 | 2,921,846 | ||||||
| TOTAL S.A., 3%, 2015 | 1,860,000 | 1,983,867 | ||||||
|
|
|
|||||||
| $ | 21,218,044 | |||||||
| Entertainment - 0.4% | ||||||||
| Viacom, Inc., 3.875%, 2021 | $ | 2,590,000 | $ | 2,724,724 | ||||
| Financial Institutions - 1.3% | ||||||||
| General Electric Capital Corp., 5.45%, 2013 | $ | 2,000,000 | $ | 2,091,858 | ||||
| General Electric Capital Corp., 4.8%, 2013 | 2,120,000 | 2,220,732 | ||||||
| General Electric Capital Corp., 6%, 2019 | 1,180,000 | 1,366,275 | ||||||
| NYSE Euronext, Inc., 4.8%, 2013 | 4,000,000 | 4,204,324 | ||||||
|
|
|
|||||||
| $ | 9,883,189 | |||||||
| Food & Beverages - 2.9% | ||||||||
| Anheuser-Busch InBev S.A., 7.75%, 2019 | $ | 2,780,000 | $ | 3,653,012 | ||||
| Cadbury Schweppes U.S. Finance, 5.125%, 2013 | 1,590,000 | 1,687,721 | ||||||
| Coca-Cola Co., 1.8%, 2016 | 1,930,000 | 1,986,564 | ||||||
| Conagra Foods, Inc., 5.875%, 2014 | 2,240,000 | 2,456,469 | ||||||
| Diageo Capital PLC, 7.375%, 2014 | 2,200,000 | 2,479,816 | ||||||
| Dr Pepper Snapple Group, Inc., 2.35%, 2012 | 1,650,000 | 1,674,006 | ||||||
| Grupo Bimbo S.A.B. de C.V., 4.5%, 2022 (z) | 290,000 | 295,985 | ||||||
| Kraft Foods, Inc., 6.75%, 2014 | 1,390,000 | 1,547,158 | ||||||
| Kraft Foods, Inc., 6.125%, 2018 | 1,310,000 | 1,579,555 | ||||||
| Miller Brewing Co., 5.5%, 2013 (n) | 2,200,000 | 2,330,504 | ||||||
| Pernod-Ricard S.A., 4.45%, 2022 (n) | 1,428,000 | 1,491,752 | ||||||
|
|
|
|||||||
| $ | 21,182,542 | |||||||
| Food & Drug Stores - 0.2% | ||||||||
| CVS Caremark Corp., 3.25%, 2015 | $ | 1,096,000 | $ | 1,162,883 | ||||
| Forest & Paper Products - 0.3% | ||||||||
| Votorantim Participacoes S.A., 6.75%, 2021 (n) | $ | 2,063,000 | $ | 2,217,725 | ||||
| Industrial - 1.2% | ||||||||
| Johns Hopkins University, 5.25%, 2019 | $ | 4,350,000 | $ | 5,183,765 | ||||
| Princeton University, 4.95%, 2019 | 2,860,000 | 3,412,123 | ||||||
|
|
|
|||||||
| $ | 8,595,888 | |||||||
3
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Insurance - 2.8% | ||||||||
| Jackson National Life Global Funding, 5.375%, 2013 (n) | $ | 5,000,000 | $ | 5,221,010 | ||||
| Lincoln National Corp., 4.3%, 2015 | 1,360,000 | 1,438,628 | ||||||
| Metropolitan Life Global Funding I, 5.125%, 2013 (n) | 2,815,000 | 2,950,539 | ||||||
| Metropolitan Life Global Funding I, 5.125%, 2014 (n) | 1,020,000 | 1,108,386 | ||||||
| New York Life Global Funding, 4.65%, 2013 (n) | 3,000,000 | 3,139,815 | ||||||
| Principal Financial Group, Inc., 8.875%, 2019 | 2,230,000 | 2,837,245 | ||||||
| Prudential Financial, Inc., 6.2%, 2015 | 2,210,000 | 2,447,898 | ||||||
| UnumProvident Corp., 6.85%, 2015 (n) | 1,740,000 | 1,931,008 | ||||||
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|
|
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| $ | 21,074,529 | |||||||
| Insurance - Property & Casualty - 1.9% | ||||||||
| ACE Ltd., 2.6%, 2015 | $ | 2,000,000 | $ | 2,066,184 | ||||
| Aon Corp., 3.5%, 2015 | 2,750,000 | 2,877,119 | ||||||
| AXIS Capital Holdings Ltd., 5.875%, 2020 | 4,110,000 | 4,280,022 | ||||||
| PartnerRe Ltd., 5.5%, 2020 | 2,120,000 | 2,198,046 | ||||||
| ZFS Finance USA Trust V, 6.5% to 2017, FRN to 2067 (n) | 3,000,000 | 2,767,500 | ||||||
|
|
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| $ | 14,188,871 | |||||||
| International Market Quasi-Sovereign - 4.1% | ||||||||
| Bank of Ireland, 2.75%, 2012 (n) | $ | 1,610,000 | $ | 1,603,112 | ||||
| Eksportfinans A.S.A., 1.6%, 2014 | JPY | 350,000,000 | 4,020,215 | |||||
| Electricite de France PLC, 5.5%, 2014 (n) | $ | 3,475,000 | 3,719,199 | |||||
| ING Bank N.V., 3.9%, 2014 (n) | 3,150,000 | 3,318,021 | ||||||
| Irish Life & Permanent PLC, 3.6%, 2013 (e)(n) | 3,600,000 | 3,375,724 | ||||||
| Societe Financement de l’ Economie Francaise, 3.375%, 2014 (n) | 2,315,000 | 2,408,156 | ||||||
| Statoil A.S.A., 1.8%, 2016 | 1,420,000 | 1,452,227 | ||||||
| Swedish Export Credit Corp., FRN, 1.202%, 2014 | 3,300,000 | 3,294,156 | ||||||
| Swedish Housing Finance Corp., 3.125%, 2012 (n) | 5,260,000 | 5,279,488 | ||||||
| Westpac Banking Corp., 3.45%, 2014 (n) | 2,015,000 | 2,143,912 | ||||||
|
|
|
|||||||
| $ | 30,614,210 | |||||||
| International Market Sovereign - 20.5% | ||||||||
| Federal Republic of Germany, 3.75%, 2015 | EUR | 8,922,000 | $ | 12,835,126 | ||||
| Federal Republic of Germany, 4.25%, 2018 | EUR | 2,608,000 | 4,072,453 | |||||
| Government of Bermuda, 5.603%, 2020 (n) | $ | 1,098,000 | 1,220,877 | |||||
| Government of Canada, 4.5%, 2015 | CAD | 1,980,000 | 2,193,501 | |||||
| Government of Canada, 4.25%, 2018 | CAD | 1,024,000 | 1,191,106 | |||||
| Government of Canada, 5.75%, 2033 | CAD | 358,000 | 546,369 | |||||
| Government of Japan, 1.3%, 2014 | JPY | 978,000,000 | 13,236,477 | |||||
| Government of Japan, 1.7%, 2017 | JPY | 2,201,000,000 | 30,845,794 | |||||
| Kingdom of Belgium, 5.5%, 2017 | EUR | 2,494,000 | 3,694,201 | |||||
| Kingdom of Spain, 4.6%, 2019 | EUR | 4,110,000 | 5,496,750 | |||||
| Kingdom of Sweden, 4.5%, 2015 | SEK | 9,300,000 | 1,531,694 | |||||
| Kingdom of the Netherlands, 3.75%, 2014 | EUR | 1,389,000 | 1,963,074 | |||||
| Kingdom of the Netherlands, 4%, 2016 | EUR | 2,000,000 | 2,950,437 | |||||
| Republic of Austria, 4.65%, 2018 | EUR | 4,138,000 | 6,067,647 | |||||
| Republic of France, 5%, 2016 | EUR | 9,214,000 | 13,724,033 | |||||
| Republic of Iceland, 4.875%, 2016 (n) | $ | 2,587,000 | 2,603,572 | |||||
| Republic of Italy, 5.25%, 2017 | EUR | 11,388,000 | 15,033,113 | |||||
| State of Israel, 5.125%, 2014 | $ | 3,000,000 | 3,218,556 | |||||
| State of Israel, 4%, 2022 | 3,752,000 | 3,741,160 | ||||||
| United Kingdom Treasury, 5%, 2012 | GBP | 6,837,000 | 10,820,906 | |||||
| United Kingdom Treasury, 8%, 2015 | GBP | 7,664,000 | 15,469,107 | |||||
|
|
|
|||||||
| $ | 152,455,953 | |||||||
4
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Local Authorities - 0.8% | ||||||||
| Louisiana Gas & Fuels Tax Rev. (Build America Bonds), FRN, 3%, 2043 | $ | 2,780,000 | $ | 2,811,386 | ||||
| Province of Ontario, 4.75%, 2016 | 3,000,000 | 3,398,829 | ||||||
|
|
|
|||||||
| $ | 6,210,215 | |||||||
| Machinery & Tools - 0.1% | ||||||||
| Atlas Copco AB, 5.6%, 2017 (n) | $ | 510,000 | $ | 579,597 | ||||
| Major Banks - 10.1% | ||||||||
| ABN Amro Bank N.V., 4.25%, 2017 (z) | $ | 2,997,000 | $ | 2,998,289 | ||||
| ABN Amro Bank N.V., FRN, 2.323%, 2014 (n) | 3,010,000 | 2,939,105 | ||||||
| Bank of America Corp., 4.9%, 2013 | 2,300,000 | 2,363,733 | ||||||
| Bank of America Corp., 7.375%, 2014 | 200,000 | 215,803 | ||||||
| Bank of America Corp., 6.5%, 2016 | 1,420,000 | 1,514,130 | ||||||
| Bank of Tokyo-Mitsubishi UFJ, 2.6%, 2013 (n) | 2,930,000 | 2,977,738 | ||||||
| Barclays Bank PLC, 5.125%, 2020 | 2,760,000 | 2,947,109 | ||||||
| BB&T Corp., 2.05%, 2014 | 2,030,000 | 2,068,341 | ||||||
| Commonwealth Bank of Australia, 5%, 2019 (n) | 2,560,000 | 2,757,253 | ||||||
| Credit Suisse New York, 5.5%, 2014 | 3,790,000 | 4,043,449 | ||||||
| Goldman Sachs Group, Inc., 6%, 2014 | 2,490,000 | 2,677,878 | ||||||
| Goldman Sachs Group, Inc., 5.75%, 2022 | 3,044,000 | 3,155,225 | ||||||
| HSBC USA, Inc., 4.875%, 2020 | 3,370,000 | 3,342,241 | ||||||
| ING Bank N.V., FRN, 1.596%, 2013 (n) | 1,230,000 | 1,213,754 | ||||||
| ING Bank N.V., FRN, 1.94%, 2014 (n) | 4,650,000 | 4,479,522 | ||||||
| Intesa Sanpaolo S.p.A., FRN, 2.906%, 2014 (n) | 1,540,000 | 1,419,498 | ||||||
| JPMorgan Chase & Co., 4.625%, 2021 | 2,890,000 | 2,993,670 | ||||||
| JPMorgan Chase & Co., FRN, 1.161%, 2013 | 2,800,000 | 2,817,142 | ||||||
| JPMorgan Chase & Co., FRN, 1.361%, 2014 | 1,300,000 | 1,296,337 | ||||||
| Kookmin Bank, 7.25%, 2014 (n) | 2,100,000 | 2,311,359 | ||||||
| Macquarie Group Ltd., 6%, 2020 (n) | 3,361,000 | 3,232,862 | ||||||
| Merrill Lynch & Co., Inc., 6.15%, 2013 | 2,190,000 | 2,277,243 | ||||||
| Morgan Stanley, 6%, 2014 | 2,330,000 | 2,444,892 | ||||||
| Morgan Stanley, 6.625%, 2018 | 1,532,000 | 1,614,273 | ||||||
| Morgan Stanley, 5.625%, 2019 | 640,000 | 636,853 | ||||||
| Royal Bank of Scotland PLC, 6.125%, 2021 | 1,800,000 | 1,934,534 | ||||||
| Santander UK PLC, 3.875%, 2014 (n) | 3,440,000 | 3,370,849 | ||||||
| Standard Chartered PLC, 3.85%, 2015 (n) | 2,320,000 | 2,398,509 | ||||||
| SunTrust Banks, Inc., 3.5%, 2017 | 2,237,000 | 2,292,263 | ||||||
| Wells Fargo & Co., 3.75%, 2014 | 2,900,000 | 3,073,533 | ||||||
| Wells Fargo & Co., 7.98% to 2018, FRN to 2049 | 1,190,000 | 1,288,175 | ||||||
|
|
|
|||||||
| $ | 75,095,562 | |||||||
| Medical & Health Technology & Services - 0.7% | ||||||||
| Hospira, Inc., 6.05%, 2017 | $ | 1,060,000 | $ | 1,164,923 | ||||
| Thermo Fisher Scientific, Inc., 2.25%, 2016 | 3,650,000 | 3,792,178 | ||||||
|
|
|
|||||||
| $ | 4,957,101 | |||||||
| Metals & Mining - 1.1% | ||||||||
| ArcelorMittal, 6.5%, 2014 | $ | 2,070,000 | $ | 2,203,925 | ||||
| Gold Fields Orogen Holding Ltd., 4.875%, 2020 (n) | 2,590,000 | 2,456,884 | ||||||
| Vale Overseas Ltd., 5.625%, 2019 | 492,000 | 549,362 | ||||||
| Vale Overseas Ltd., 4.625%, 2020 | 1,561,000 | 1,647,300 | ||||||
| Vale Overseas Ltd., 6.875%, 2039 | 1,086,000 | 1,286,710 | ||||||
|
|
|
|||||||
| $ | 8,144,181 | |||||||
| Mortgage-Backed - 6.6% | ||||||||
| Fannie Mae, 4.845%, 2013 | $ | 1,879,627 | $ | 1,944,630 | ||||
| Fannie Mae, 4.61%, 2014 | 2,737,571 | 2,900,681 | ||||||
5
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Mortgage-Backed - continued | ||||||||
| Fannie Mae, 4.842%, 2014 | $ | 3,116,803 | $ | 3,315,818 | ||||
| Fannie Mae, 5.412%, 2014 | 1,810,438 | 1,953,722 | ||||||
| Fannie Mae, 4.62%, 2015 | 888,317 | 957,388 | ||||||
| Fannie Mae, 4.893%, 2015 | 1,110,529 | 1,219,958 | ||||||
| Fannie Mae, 5.395%, 2016 | 1,290,777 | 1,453,050 | ||||||
| Fannie Mae, 5.423%, 2016 | 2,234,448 | 2,539,570 | ||||||
| Fannie Mae, 6%, 2016 | 332,394 | 357,241 | ||||||
| Fannie Mae, 5.5%, 2017 - 2025 | 3,199,303 | 3,475,049 | ||||||
| Fannie Mae, 4.5%, 2019 | 3,451,041 | 3,704,699 | ||||||
| Fannie Mae, 5%, 2019 | 473,364 | 512,100 | ||||||
| Fannie Mae, 6.5%, 2031 | 2,705,729 | 3,108,074 | ||||||
| Freddie Mac, 3.882%, 2017 | 1,423,992 | 1,572,676 | ||||||
| Freddie Mac, 5.5%, 2017 - 2020 | 3,439,172 | 3,746,739 | ||||||
| Freddie Mac, 6%, 2017 - 2034 | 716,598 | 773,810 | ||||||
| Freddie Mac, 5%, 2019 - 2020 | 2,171,581 | 2,343,178 | ||||||
| Freddie Mac, 4.224%, 2020 | 2,249,154 | 2,531,333 | ||||||
| Ginnie Mae, 6%, 2033 | 977,954 | 1,108,997 | ||||||
| Ginnie Mae, 6%, 2036 (f) | 1,196,205 | 1,352,382 | ||||||
| Ginnie Mae, 5.612%, 2058 | 4,010,331 | 4,298,832 | ||||||
| Ginnie Mae, 6.357%, 2058 | 3,449,581 | 3,688,626 | ||||||
|
|
|
|||||||
| $ | 48,858,553 | |||||||
| Natural Gas - Pipeline - 1.9% | ||||||||
| Enbridge Energy Partners LP, 4.2%, 2021 | $ | 3,080,000 | $ | 3,266,556 | ||||
| Energy Transfer Partners LP, 8.5%, 2014 | 2,630,000 | 2,998,529 | ||||||
| Enterprise Products Operating LP, 5.65%, 2013 | 376,000 | 396,267 | ||||||
| Enterprise Products Operating LP, 3.7%, 2015 | 2,930,000 | 3,100,406 | ||||||
| Kinder Morgan Energy Partners LP, 5.85%, 2012 | 2,115,000 | 2,177,784 | ||||||
| TransCanada PipeLines Ltd., 3.4%, 2015 | 1,957,000 | 2,077,690 | ||||||
|
|
|
|||||||
| $ | 14,017,232 | |||||||
| Network & Telecom - 1.3% | ||||||||
| AT&T, Inc., 3.875%, 2021 | $ | 3,700,000 | $ | 3,971,754 | ||||
| British Telecommunications PLC, 5.15%, 2013 | 943,000 | 979,997 | ||||||
| Telefonica S.A., 5.877%, 2019 | 2,940,000 | 3,015,205 | ||||||
| Verizon Communications, Inc., 8.75%, 2018 | 1,060,000 | 1,470,282 | ||||||
|
|
|
|||||||
| $ | 9,437,238 | |||||||
| Oil Services - 0.5% | ||||||||
| Noble Corp., 5.875%, 2013 | $ | 2,200,000 | $ | 2,325,833 | ||||
| Noble Corp., 3.45%, 2015 | 1,030,000 | 1,074,914 | ||||||
|
|
|
|||||||
| $ | 3,400,747 | |||||||
| Other Banks & Diversified Financials - 3.8% | ||||||||
| Banco Santander Chile, 2.875%, 2012 (n) | $ | 1,840,000 | $ | 1,846,387 | ||||
| Capital One Financial Corp., FRN, 1.717%, 2014 | 2,780,000 | 2,740,607 | ||||||
| Citigroup, Inc., 5.5%, 2013 | 5,500,000 | 5,707,801 | ||||||
| Groupe BPCE S.A., 12.5% to 2019, FRN to 2049 (n) | 2,556,000 | 2,407,547 | ||||||
| Lloyds TSB Bank PLC, 5.8%, 2020 (n) | 3,960,000 | 4,034,464 | ||||||
| Rabobank Nederland N.V., 3.375%, 2017 | 1,757,000 | 1,808,329 | ||||||
| Santander Holdings USA, Inc., 4.625%, 2016 | 450,000 | 439,447 | ||||||
| Santander International Debt S.A., 2.991%, 2013 (n) | 2,100,000 | 2,036,780 | ||||||
| Svenska Handelsbanken AB, 4.875%, 2014 (n) | 3,060,000 | 3,220,007 | ||||||
| UBS Preferred Funding Trust V, 6.243% to 2016, FRN to 2049 | 2,000,000 | 1,800,000 | ||||||
| Union Bank, FRN, 1.478%, 2014 | 2,500,000 | 2,465,135 | ||||||
|
|
|
|||||||
| $ | 28,506,504 | |||||||
6
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| Pharmaceuticals - 1.9% | ||||||||
| Celgene Corp., 3.95%, 2020 | $ | 2,320,000 | $ | 2,411,053 | ||||
| Pfizer, Inc., 6.2%, 2019 | 2,490,000 | 3,132,639 | ||||||
| Roche Holdings, Inc., 6%, 2019 (n) | 3,200,000 | 3,940,077 | ||||||
| Sanofi, 1.2%, 2014 | 1,550,000 | 1,568,436 | ||||||
| Teva Pharmaceutical Finance III, FRN, 1.344%, 2013 | 3,120,000 | 3,142,813 | ||||||
|
|
|
|||||||
| $ | 14,195,018 | |||||||
| Pollution Control - 0.4% | ||||||||
| Republic Services, Inc., 5.25%, 2021 | $ | 2,620,000 | $ | 3,007,692 | ||||
| Printing & Publishing - 0.1% | ||||||||
| Pearson PLC, 5.5%, 2013 (n) | $ | 410,000 | $ | 430,257 | ||||
| Real Estate - 0.7% | ||||||||
| Boston Properties LP, REIT, 3.7%, 2018 | $ | 1,476,000 | $ | 1,554,321 | ||||
| Kimco Realty Corp., REIT, 6.875%, 2019 | 690,000 | 804,679 | ||||||
| WEA Finance LLC, REIT, 6.75%, 2019 (n) | 2,290,000 | 2,705,768 | ||||||
|
|
|
|||||||
| $ | 5,064,768 | |||||||
| Retailers - 1.7% | ||||||||
| AutoZone, Inc., 6.5%, 2014 | $ | 2,660,000 | $ | 2,913,599 | ||||
| Kohl’s Corp., 4%, 2021 | 1,346,000 | 1,396,184 | ||||||
| Macy’s, Inc., 7.875%, 2015 | 2,670,000 | 3,136,847 | ||||||
| Staples, Inc., 9.75%, 2014 | 2,330,000 | 2,670,266 | ||||||
| Wesfarmers Ltd., 6.998%, 2013 (n) | 2,330,000 | 2,465,622 | ||||||
|
|
|
|||||||
| $ | 12,582,518 | |||||||
| Specialty Chemicals - 0.5% | ||||||||
| Airgas, Inc., 2.95%, 2016 | $ | 1,900,000 | $ | 1,966,135 | ||||
| Ecolab, Inc., 4.35%, 2021 | 1,840,000 | 2,028,249 | ||||||
|
|
|
|||||||
| $ | 3,994,384 | |||||||
| Supermarkets - 0.0% | ||||||||
| Kroger Co., 5%, 2013 | $ | 303,000 | $ | 316,787 | ||||
| Supranational - 1.2% | ||||||||
| Corporacion Andina de Fomento, 6.875%, 2012 | $ | 6,000,000 | $ | 6,032,460 | ||||
| Corporacion Andina de Fomento, 5.2%, 2013 | 3,000,000 | 3,119,382 | ||||||
|
|
|
|||||||
| $ | 9,151,842 | |||||||
| Telecommunications - Wireless - 1.3% | ||||||||
| America Movil S.A.B. de C.V., 2.375%, 2016 | $ | 1,007,000 | $ | 1,019,906 | ||||
| Crown Castle Towers LLC, 6.113%, 2020 (n) | 2,934,000 | 3,290,798 | ||||||
| Rogers Communications, Inc., 6.8%, 2018 | 1,490,000 | 1,873,867 | ||||||
| Vodafone Group PLC, 5%, 2013 | 3,000,000 | 3,220,563 | ||||||
|
|
|
|||||||
| $ | 9,405,134 | |||||||
| Tobacco - 1.2% | ||||||||
| Altria Group, Inc., 8.5%, 2013 | $ | 2,700,000 | $ | 3,045,559 | ||||
| B.A.T. International Finance PLC, 8.125%, 2013 (n) | 2,250,000 | 2,510,449 | ||||||
| Lorillard Tobacco Co., 8.125%, 2019 | 1,252,000 | 1,525,370 | ||||||
| Lorillard Tobacco Co., 6.875%, 2020 | 1,340,000 | 1,546,687 | ||||||
|
|
|
|||||||
| $ | 8,628,065 | |||||||
| Transportation - Services - 0.2% | ||||||||
| ERAC USA Finance Co., 2.75%, 2013 (n) | $ | 1,500,000 | $ | 1,524,617 | ||||
7
Portfolio of Investments (unaudited) – continued
| Issuer | Shares/Par | Value ($) | ||||||
| Bonds - continued | ||||||||
| U.S. Government Agencies and Equivalents - 2.1% | ||||||||
| Aid-Egypt, 4.45%, 2015 | $ | 3,963,000 | $ | 4,471,572 | ||||
| National Credit Union Administration Guaranteed Note, 2.9%, 2020 | 520,000 | 553,669 | ||||||
| Small Business Administration, 6.35%, 2021 | 1,049,753 | 1,164,661 | ||||||
| Small Business Administration, 6.34%, 2021 | 739,654 | 821,620 | ||||||
| Small Business Administration, 6.44%, 2021 | 720,965 | 803,098 | ||||||
| Small Business Administration, 6.625%, 2021 | 951,060 | 1,063,626 | ||||||
| Small Business Administration, 5.34%, 2021 | 2,359,480 | 2,589,119 | ||||||
| Small Business Administration, 4.93%, 2024 | 1,168,860 | 1,286,315 | ||||||
| Small Business Administration, 5.36%, 2025 | 1,488,527 | 1,674,215 | ||||||
| Small Business Administration, 5.39%, 2025 | 1,085,834 | 1,214,933 | ||||||
|
|
|
|||||||
| $ | 15,642,828 | |||||||
| U.S. Treasury Obligations - 0.0% | ||||||||
| U.S. Treasury Notes, 10.625%, 2015 | $ | 30,000 | $ | 40,819 | ||||
| Utilities - Electric Power - 5.1% | ||||||||
| Allegheny Energy, Inc., 5.75%, 2019 (n) | $ | 2,820,000 | $ | 3,036,779 | ||||
| Dominion Resources, Inc., 1.95%, 2016 | 2,660,000 | 2,705,111 | ||||||
| Duke Energy Corp., 5.65%, 2013 | 1,800,000 | 1,914,095 | ||||||
| Duke Energy Corp., 3.35%, 2015 | 3,280,000 | 3,503,555 | ||||||
| E.ON International Finance B.V., 5.8%, 2018 (n) | 3,000,000 | 3,446,142 | ||||||
| EDP Finance B.V., 6%, 2018 (n) | 2,240,000 | 1,950,780 | ||||||
| Enel Finance International S.A., 6.25%, 2017 (n) | 2,240,000 | 2,243,898 | ||||||
| Exelon Generation Co. LLC, 5.35%, 2014 | 2,300,000 | 2,468,650 | ||||||
| Exelon Generation Co. LLC, 5.2%, 2019 | 1,340,000 | 1,501,033 | ||||||
| FirstEnergy Solutions Corp., 6.05%, 2021 | 1,861,000 | 2,112,862 | ||||||
| Georgia Power Co., 6%, 2013 | 1,350,000 | 1,469,644 | ||||||
| Iberdrola Finance Ireland Ltd., 3.8%, 2014 (n) | 3,950,000 | 3,967,514 | ||||||
| Oncor Electric Delivery Co., 5.95%, 2013 | 5,060,000 | 5,420,520 | ||||||
| PPL WEM Holdings PLC, 3.9%, 2016 (n) | 2,380,000 | 2,492,660 | ||||||
|
|
|
|||||||
| $ | 38,233,243 | |||||||
| Total Bonds | $ | 737,018,374 | ||||||
| Money Market Funds - 0.0% | ||||||||
| MFS Institutional Money Market Portfolio, 0.08%, at Net Asset Value (v) | 202 | $ | 202 | |||||
| Total Investments | $ | 737,018,576 | ||||||
| Other Assets, Less Liabilities - 0.7% | 4,886,976 | |||||||
| Net Assets - 100.0% | $ | 741,905,552 | ||||||
| (e) | Guaranteed by Minister for Finance of Ireland. |
| (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 $173,844,712, representing 23.4% 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 | |||||||
| ABN Amro Bank N.V., 4.25%, 2017 | 1/30/12 | $2,994,063 | $2,998,289 | |||||||
| Anthracite Ltd., “A”, CDO, FRN, 0.637%, 2019 | 1/28/10 | 723,607 | 793,546 | |||||||
| Falcon Franchise Loan LLC, FRN, 4.739%, 2023 | 1/18/02 | 165,902 | 207,335 | |||||||
8
Portfolio of Investments (unaudited) – continued
| Restricted Securities - continued | Acquisition Date |
Cost | Value | |||||||
| Grupo Bimbo S.A.B. de C.V., 4.5%, 2022 | 1/18/12 | $287,655 | $295,985 | |||||||
| Petroleos Mexicanos, 4.875%, 2022 | 1/17/12 | 899,023 | 935,998 | |||||||
| Republic of Lithuania, 6.625%, 2022 | 1/25/12 | 1,837,351 | 1,885,249 | |||||||
| Total Restricted Securities | $7,116,402 | |||||||||
| % of Net assets | 1% | |||||||||
The following abbreviations are used in this report and are defined:
| 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:
| CAD | Canadian Dollar | |
| EUR | Euro | |
| GBP | British Pound | |
| JPY | Japanese Yen | |
| SEK | Swedish Krona |
Derivative Contracts at 1/31/12
Forward Foreign Currency Exchange Contracts at 1/31/12
| Type | Currency | Counterparty | Contracts to Deliver/Receive |
Settlement Date Range |
In Exchange For |
Contracts at Value |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||||
| Asset Derivatives | ||||||||||||||||||||||||
| BUY | EUR | Barclays Bank PLC | 426,668 | 4/12/12 | $ | 543,140 | $ | 558,227 | $ | 15,087 | ||||||||||||||
| BUY | EUR | Credit Suisse Group | 426,668 | 4/12/12 | 543,093 | 558,227 | 15,134 | |||||||||||||||||
| SELL | EUR | UBS AG | 49,207,954 | 3/15/12 | 65,842,703 | 64,372,985 | 1,469,718 | |||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $ | 1,499,939 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Liability Derivatives | ||||||||||||||||||||||||
| SELL | CAD | Merrill Lynch International Bank | 3,738,879 | 4/12/12 | $ | 3,636,310 | $ | 3,722,793 | $ | (86,483 | ) | |||||||||||||
| SELL | GBP | Barclays Bank PLC | 7,746,739 | 4/12/12 | 11,962,243 | 12,200,267 | (238,024 | ) | ||||||||||||||||
| SELL | GBP | Deutsche Bank AG | 7,746,739 | 4/12/12 | 11,962,282 | 12,200,267 | (237,985 | ) | ||||||||||||||||
| SELL | JPY | Credit Suisse Group | 3,479,913,927 | 4/12/12 | 45,197,209 | 45,695,828 | (498,619 | ) | ||||||||||||||||
| SELL | SEK | Goldman Sachs International | 4,768,079 | 4/12/12 | 685,966 | 698,736 | (12,770 | ) | ||||||||||||||||
| SELL | SEK | Merrill Lynch International Bank | 4,768,079 | 4/12/12 | 685,787 | 698,736 | (12,949 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $ | (1,086,830 | ) | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
Futures Contracts Outstanding at 1/31/12
| Description | Currency | Contracts | Value | Expiration Date | Unrealized Appreciation (Depreciation) |
|||||||||||||
| Asset Derivatives | ||||||||||||||||||
| Interest Rate Futures | ||||||||||||||||||
| U.S. Treasury Note 10 yr (Long) | USD | 60 | $7,935,000 | March - 2012 | $137,603 | |||||||||||||
| U.S. Treasury Note 5 yr (Long) | USD | 198 | 24,561,281 | March - 2012 | 245,260 | |||||||||||||
|
|
|
|||||||||||||||||
| $382,863 | ||||||||||||||||||
|
|
|
|||||||||||||||||
9
Portfolio of Investments (unaudited) – continued
Swap Agreements at 1/31/12
| Expiration | Notional Amount | Counterparty | Cash Flows to Receive |
Cash Flows to Pay | Fair Value |
|||||||||||||
| Asset Derivatives | ||||||||||||||||||
| Credit Default Swaps | ||||||||||||||||||
| 9/20/14 | USD | 3,960,000 | Goldman Sachs International (a) | 1.00% (fixed rate) | (1) | $53,997 | ||||||||||||
|
|
|
|||||||||||||||||
| (1) | Fund, as protection seller, to pay notional amount upon a defined credit event by Cargill, Inc., 7.375%, 10/01/25, an A rated bond. The fund entered into the contract to gain issuer exposure. |
| (a) | Net unamortized premiums received by the fund amounted to $4,837. |
The credit ratings presented here are an indicator of the current payment/performance risk of the related swap, the reference obligation for which may be either a single security or, in the case of a credit default index, a basket of securities issued by corporate or sovereign issuers. Ratings are assigned to each reference security, including each individual security within a reference basket of securities, utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). The ratings for a credit default index are calculated by MFS as a weighted average of the external credit ratings of the individual securities that compose the index’s reference basket of securities.
Although contract-specific, credit events generally consist of a combination of the following: bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium, each as defined in the 2003 International Swaps and Derivatives Association (ISDA) Credit Derivatives Definitions as amended by the relevant contract. Restructuring is generally not applicable when the reference obligation is issued by a North American corporation and obligation acceleration, obligation default, or repudiation/moratorium are generally only applicable when the reference obligation is issued by a sovereign entity or an entity in an emerging country. The maximum amount of future, undiscounted payments that the fund, as protection seller, could be required to make is equal to the swap’s notional amount.
At January 31, 2012, the fund had sufficient cash and/or securities to cover any commitments under these derivative contracts.
See attached supplemental information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.
10
Supplemental Information
1/31/12 (unaudited)
| (1) | Investment Valuations |
Debt instruments and floating rate loans (other than short-term instruments), including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less generally are valued at amortized cost, which approximates market value. Futures contracts are generally valued at last posted settlement price as provided by a third-party pricing service on the market on which they are primarily traded. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation as provided by a third-party pricing service on the market on which such futures contracts are primarily traded. Forward foreign currency exchange contracts are generally valued at the mean of bid and asked prices for the time period interpolated from rates provided by a third-party pricing service for proximate time periods. Swaps are generally valued at valuations provided by a third-party pricing service. 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
11
Supplemental Information (unaudited) – continued
instruments not reflected in total investments, such as futures, forward foreign currency exchange contracts, and swap contracts. The following is a summary of the levels used as of January 31, 2012 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 | $— | $15,683,647 | $— | $15,683,647 | ||||||||||||
| Non-U.S. Sovereign Debt | — | 237,168,322 | — | 237,168,322 | ||||||||||||
| Corporate Bonds | — | 258,924,169 | — | 258,924,169 | ||||||||||||
| Residential Mortgage-Backed Securities | — | 49,075,682 | — | 49,075,682 | ||||||||||||
| Commercial Mortgage-Backed Securities | — | 13,386,961 | — | 13,386,961 | ||||||||||||
| Asset-Backed Securities (including CDOs) | — | 7,268,391 | — | 7,268,391 | ||||||||||||
| Foreign Bonds | — | 155,511,202 | — | 155,511,202 | ||||||||||||
| Mutual Funds | 202 | — | — | 202 | ||||||||||||
| Total Investments | $202 | $737,018,374 | $— | $737,018,576 | ||||||||||||
| Other Financial Instruments | ||||||||||||||||
| Futures | $382,863 | $— | $— | $382,863 | ||||||||||||
| Swaps | — | 53,997 | — | 53,997 | ||||||||||||
| Forward Foreign Currency Exchange Contracts | — | 413,109 | — | 413,109 | ||||||||||||
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 | $696,104,613 | |||
| Gross unrealized appreciation | $51,241,502 | |||
| Gross unrealized depreciation | (10,327,539 | ) | ||
| Net unrealized appreciation (depreciation) | $40,913,963 |
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 affiliated issuers:
| Underlying Affiliated Funds | Beginning Shares/Par Amount |
Acquisitions Shares/Par Amount |
Dispositions Shares/Par Amount |
Ending Shares/Par Amount |
||||||||||||
| MFS Institutional Money Market Portfolio | 381,588 | 25,010,678 | (25,392,064 | ) | 202 | |||||||||||
| Underlying Affiliated Funds | Realized Gain (Loss) |
Capital Gain Distributions |
Dividend Income |
Ending Value |
||||||||||||
| MFS Institutional Money Market Portfolio | $— | $— | $612 | $202 | ||||||||||||
| (4) | Issuer Country Weightings |
Issuer country weighting percentages of portfolio holdings based on net assets, as of January 31, 2012 are as follows:
| United States | 46.5% | |||
| United Kingdom | 8.3% | |||
| Japan | 6.8% | |||
| France | 4.6% | |||
| Netherlands | 4.0% | |||
| Germany | 3.2% | |||
| Italy | 2.6% | |||
| Canada | 2.5% | |||
| Brazil | 2.0% | |||
| Other Countries | 19.5% |
The issuer country weighting percentages include both accrued interest amounts and the equivalent exposure from any derivative holdings, if applicable.
12
| 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)* | JOHN M. CORCORAN | |
| John M. Corcoran, President |
Date: March 19, 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: March 19, 2012
| By (Signature and Title)* | DAVID L. DILORENZO | |
| David L. DiLorenzo, Treasurer (Principal Financial Officer and Accounting Officer) |
Date: March 19, 2012
| * | Print name and title of each signing officer under his or her signature. |