MFS SPECIAL VALUE TRUST N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-05912

MFS SPECIAL VALUE TRUST

(Exact name of registrant as specified in charter)

111 Huntington Avenue, Boston, Massachusetts 02199

(Address of principal executive offices) (Zip code)

Susan S. Newton

Massachusetts Financial Services Company

111 Huntington Avenue

Boston, Massachusetts 02199

(Name and address of agents for service)

Registrant’s telephone number, including area code: (617) 954-5000

Date of fiscal year end: October 31

Date of reporting period: January 31, 2013


ITEM 1. SCHEDULE OF INVESTMENTS.


QUARTERLY REPORT

January 31, 2013

 

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MFS® SPECIAL VALUE TRUST

 

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PORTFOLIO OF INVESTMENTS

1/31/13 (unaudited)

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

 

Issuer    Shares/Par     Value ($)  
    
Bonds - 69.6%                 
Aerospace - 1.6%                 
Bombardier, Inc., 7.5%, 2018 (n)    $ 105,000      $ 118,125   
Bombardier, Inc., 7.75%, 2020 (n)      55,000        62,288   
CPI International, Inc., 8%, 2018      115,000        114,955   
Heckler & Koch GmbH, 9.5%, 2018 (z)    EUR 100,000        120,165   
Huntington Ingalls Industries, Inc., 7.125%, 2021    $ 170,000        187,000   
Kratos Defense & Security Solutions, Inc., 10%, 2017      175,000        192,063   
    

 

 

 
             $ 794,596   
Apparel Manufacturers - 0.4%                 
Hanesbrands, Inc., 6.375%, 2020    $ 60,000      $ 64,950   
Jones Group, Inc., 6.875%, 2019      85,000        88,719   
PVH Corp., 4.5%, 2022      60,000        59,700   
    

 

 

 
             $ 213,369   
Asset-Backed & Securitized - 0.3%                 
Banc of America Commercial Mortgage, Inc., FRN, 6.254%, 2051 (z)    $ 328,951      $ 78,481   
Citigroup Commercial Mortgage Trust, FRN, 5.701%, 2049      220,000        42,460   
Falcon Franchise Loan LLC, FRN, 6.542%, 2025 (i)(z)      78,634        12,361   
JPMorgan Chase Commercial Mortgage Securities Corp., “C”, FRN, 6.001%, 2051      95,000        27,702   
Morgan Stanley Capital I, Inc., FRN, 1.384%, 2039 (i)(z)      205,428        4,006   
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   
    

 

 

 
             $ 165,127   
Automotive - 2.7%                 
Accuride Corp., 9.5%, 2018    $ 135,000      $ 133,313   
Allison Transmission, Inc., 7.125%, 2019 (n)      160,000        173,600   
Ford Motor Credit Co. LLC, 12%, 2015      345,000        420,900   
General Motors Financial Co., Inc., 4.75%, 2017 (n)      105,000        109,734   
General Motors Financial Co., Inc., 6.75%, 2018      20,000        23,150   
Goodyear Tire & Rubber Co., 8.25%, 2020      25,000        27,438   
Goodyear Tire & Rubber Co., 7%, 2022      40,000        42,900   
Jaguar Land Rover PLC, 8.125%, 2021 (n)      300,000        336,750   
Lear Corp., 8.125%, 2020      36,000        40,230   
Lear Corp., 4.75%, 2023 (z)      25,000        24,875   
    

 

 

 
             $ 1,332,890   
Broadcasting - 4.3%                 
Allbritton Communications Co., 8%, 2018    $ 55,000      $ 59,538   
AMC Networks, Inc., 7.75%, 2021      101,000        115,393   
Clear Channel Communications, Inc., 9%, 2021      202,000        187,860   
Clear Channel Worldwide Holdings, Inc., 6.5%, 2022 (n)      25,000        26,375   
Clear Channel Worldwide Holdings, Inc., 6.5%, 2022 (n)      65,000        69,225   
Clear Channel Worldwide Holdings, Inc., “A”, 7.625%, 2020      5,000        5,175   
Clear Channel Worldwide Holdings, Inc., “B”, 7.625%, 2020      55,000        57,475   
Hughes Network Systems LLC, 7.625%, 2021      70,000        80,150   
IAC/InterActiveCorp, 4.75%, 2022 (n)      10,000        9,925   
Intelsat Bermuda Ltd., 11.25%, 2017      205,000        217,300   
Intelsat Bermuda Ltd., 11.5%, 2017 (p)      145,000        153,700   
Intelsat Jackson Holdings Ltd., 6.625%, 2022 (n)      85,000        86,381   
LBI Media Holdings, Inc., 11%, 2013      140,000        16,800   

 

1


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Broadcasting - continued                 
LBI Media, Inc., 13.5% to 2015, 11.5% to 2020 (p)(z)    $ 57,000      $ 23,370   
Liberty Media Corp., 8.5%, 2029      110,000        122,650   
Liberty Media Corp., 8.25%, 2030      35,000        38,675   
Local TV Finance LLC, 9.25%, 2015 (p)(z)      157,527        158,708   
Netflix, Inc., 5.375%, 2021 (z)      50,000        49,750   
Nexstar Broadcasting Group, Inc., 8.875%, 2017      50,000        55,125   
Nexstar Broadcasting Group, Inc., 6.875%, 2020 (n)      10,000        10,425   
Sinclair Broadcast Group, Inc., 9.25%, 2017 (n)      55,000        60,088   
Sinclair Broadcast Group, Inc., 8.375%, 2018      15,000        16,688   
SIRIUS XM Radio, Inc., 8.75%, 2015 (n)      105,000        118,913   
SIRIUS XM Radio, Inc., 7.625%, 2018 (n)      75,000        83,250   
SIRIUS XM Radio, Inc., 5.25%, 2022 (n)      15,000        15,263   
Univision Communications, Inc., 6.875%, 2019 (n)      25,000        26,250   
Univision Communications, Inc., 7.875%, 2020 (n)      80,000        86,600   
Univision Communications, Inc., 8.5%, 2021 (n)      130,000        138,450   
    

 

 

 
             $ 2,089,502   
Brokerage & Asset Managers - 0.3%                 
E*TRADE Financial Corp., 6.375%, 2019    $ 140,000      $ 145,250   
Building - 1.8%                 
Boise Cascade LLC/Finance Corp., 6.375%, 2020 (n)    $ 45,000      $ 47,025   
Building Materials Holding Corp., 7%, 2020 (n)      45,000        49,050   
CEMEX S.A.B. de C.V., 9.25%, 2020      130,000        139,750   
Gibraltar Industries, Inc., 6.25%, 2021 (z)      10,000        10,388   
HD Supply, Inc., 13.5%, 2015      70,000        72,188   
HD Supply, Inc., 8.125%, 2019 (n)      45,000        50,963   
HD Supply, Inc., 11.5%, 2020 (n)      40,000        46,100   
HD Supply, Inc., 10.5%, 2021 (z)      5,000        5,113   
Masonite International Corp., 8.25%, 2021 (n)      105,000        115,500   
Nortek, Inc., 8.5%, 2021      150,000        169,875   
Roofing Supply Group LLC/Roofing Supply Finance, Inc., 10%, 2020 (n)      30,000        33,900   
USG Corp., 6.3%, 2016      95,000        99,988   
USG Corp., 7.875%, 2020 (n)      45,000        51,300   
    

 

 

 
             $ 891,140   
Business Services - 1.1%                 
Ceridian Corp., 12.25%, 2015 (p)    $ 40,000      $ 40,600   
Ceridian Corp., 8.875%, 2019 (n)      20,000        22,300   
Fidelity National Information Services, Inc., 5%, 2022      75,000        81,188   
iGATE Corp., 9%, 2016      165,000        181,294   
Iron Mountain, Inc., 8.375%, 2021      20,000        22,050   
Legend Acquisition Sub, Inc., 10.75%, 2020 (n)      70,000        61,600   
Lender Processing Services, Inc., 5.75%, 2023      55,000        58,300   
SunGard Data Systems, Inc., 7.375%, 2018      45,000        47,813   
    

 

 

 
             $ 515,145   
Cable TV - 1.7%                 
Bresnan Broadband Holdings LLC, 8%, 2018 (n)    $ 25,000      $ 27,000   
CCO Holdings LLC, 7.875%, 2018      25,000        26,719   
CCO Holdings LLC, 8.125%, 2020      125,000        140,313   
CCO Holdings LLC, 5.125%, 2023      30,000        29,550   
Cequel Communications Holdings, 6.375%, 2020 (n)      25,000        26,188   
DISH DBS Corp., 6.75%, 2021      60,000        67,200   
DISH DBS Corp., 5%, 2023 (n)      60,000        59,250   

 

2


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Cable TV - continued                 
Nara Cable Funding Ltd., 8.875%, 2018 (z)    $ 200,000      $ 204,000   
UPC Holding B.V., 9.875%, 2018 (n)      100,000        113,000   
Ziggo Bond Co. B.V., 8%, 2018 (n)    EUR 100,000        146,914   
    

 

 

 
             $ 840,134   
Chemicals - 1.2%                 
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        121,200   
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, 9%, 2020      65,000        60,450   
Huntsman International LLC, 8.625%, 2021      120,000        137,400   
INEOS Group Holdings PLC, 8.5%, 2016 (n)      150,000        151,125   
Polypore International, Inc., 7.5%, 2017      50,000        54,375   
    

 

 

 
             $ 595,725   
Computer Software - 0.8%                 
Infor U.S., Inc., 11.5%, 2018    $ 80,000      $ 94,200   
Nuance Communications, Inc., 5.375%, 2020 (n)      80,000        82,400   
Seagate HDD Cayman, 6.875%, 2020      18,000        19,530   
Syniverse Holdings, Inc., 9.125%, 2019      130,000        141,375   
TransUnion Holding Co., Inc., 9.625%, 2018      45,000        48,038   
TransUnion LLC/TransUnion Financing Corp., 11.375%, 2018      15,000        17,344   
    

 

 

 
             $ 402,887   
Computer Software - Systems - 0.7%                 
Audatex North America, Inc., 6.75%, 2018 (n)    $ 40,000      $ 42,900   
CDW LLC/CDW Finance Corp., 12.535%, 2017      69,000        73,830   
CDW LLC/CDW Finance Corp., 8.5%, 2019      110,000        121,825   
DuPont Fabros Technology, Inc., REIT, 8.5%, 2017      95,000        103,075   
    

 

 

 
             $ 341,630   
Conglomerates - 0.9%                 
Amsted Industries, Inc., 8.125%, 2018 (n)    $ 185,000      $ 197,488   
BC Mountain LLC, 7%, 2021 (z)      10,000        10,250   
Dynacast International LLC, 9.25%, 2019      75,000        80,063   
Griffon Corp., 7.125%, 2018      150,000        162,375   
    

 

 

 
             $ 450,176   
Consumer Products - 0.6%                 
Easton-Bell Sports, Inc., 9.75%, 2016    $ 85,000      $ 91,695   
Elizabeth Arden, Inc., 7.375%, 2021      100,000        111,250   
Libbey Glass, Inc., 6.875%, 2020      30,000        32,288   
Prestige Brands, Inc., 8.125%, 2020      10,000        11,200   
Spectrum Brands Escrow Corp., 6.375%, 2020 (n)      30,000        31,913   
Spectrum Brands Escrow Corp., 6.625%, 2022 (n)      5,000        5,400   
    

 

 

 
             $ 283,746   
Consumer Services - 0.4%                 
QVC, Inc., 7.375%, 2020 (n)    $ 50,000      $ 55,193   
Service Corp. International, 7%, 2019      145,000        159,319   
    

 

 

 
             $ 214,512   
Containers - 1.3%                 
Ardagh Packaging Finance PLC, 9.125%, 2020 (n)    $ 200,000      $ 218,500   
Berry Plastics Group, Inc., 9.5%, 2018      30,000        33,525   
Reynolds Group, 7.125%, 2019      175,000        186,813   

 

3


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Containers - continued                 
Reynolds Group, 5.75%, 2020    $ 50,000      $ 51,125   
Reynolds Group, 8.25%, 2021      115,000        120,463   
    

 

 

 
             $ 610,426   
Defense Electronics - 0.4%                 
Ducommun, Inc., 9.75%, 2018    $ 98,000      $ 107,555   
MOOG, Inc., 7.25%, 2018      80,000        83,600   
    

 

 

 
             $ 191,155   
Electrical Equipment - 0.3%                 
Avaya, Inc., 9.75%, 2015    $ 110,000      $ 104,775   
Avaya, Inc., 7%, 2019 (n)      25,000        23,875   
    

 

 

 
             $ 128,650   
Electronics - 0.9%                 
Freescale Semiconductor, Inc., 9.25%, 2018 (n)    $ 190,000      $ 209,000   
Nokia Corp., 5.375%, 2019      80,000        76,600   
Nokia Corp., 6.625%, 2039      25,000        23,375   
Sensata Technologies B.V., 6.5%, 2019 (n)      105,000        112,613   
    

 

 

 
             $ 421,588   
Emerging Market Quasi-Sovereign - 0.8%                 
Banco de la Provincia de Buenos Aires, 11.75%, 2015 (n)    $ 124,000      $ 102,300   
OAO Gazprom, 9.625%, 2013      60,000        60,317   
Petroleos de Venezuela S.A., 5.25%, 2017      250,000        216,875   
    

 

 

 
             $ 379,492   
Emerging Market Sovereign - 1.0%                 
Republic of Argentina, 7%, 2015    $ 260,000      $ 222,687   
Republic of Venezuela, 12.75%, 2022      107,000        128,400   
Republic of Venezuela, 7%, 2038      160,000        130,000   
    

 

 

 
             $ 481,087   
Energy - Independent - 4.2%                 
BreitBurn Energy Partners LP, 8.625%, 2020    $ 50,000      $ 54,875   
BreitBurn Energy Partners LP, 7.875%, 2022 (n)      100,000        105,750   
Carrizo Oil & Gas, Inc., 8.625%, 2018      45,000        48,488   
Chaparral Energy, Inc., 7.625%, 2022      65,000        70,200   
Chesapeake Energy Corp., 6.875%, 2020      85,000        93,500   
Concho Resources, Inc., 8.625%, 2017      25,000        27,000   
Denbury Resources, Inc., 8.25%, 2020      135,000        150,525   
Energy XXI Gulf Coast, Inc., 9.25%, 2017      165,000        187,894   
EP Energy LLC, 9.375%, 2020      270,000        302,400   
EPL Oil & Gas, Inc., 8.25%, 2018 (n)      55,000        57,888   
EXCO Resources, Inc., 7.5%, 2018      40,000        37,900   
Harvest Operations Corp., 6.875%, 2017      30,000        33,338   
Hilcorp Energy I/Hilcorp Finance Co., 8%, 2020 (n)      40,000        44,300   
Laredo Petroleum, Inc., 9.5%, 2019      65,000        73,450   
LINN Energy LLC, 8.625%, 2020      40,000        44,100   
LINN Energy LLC, 7.75%, 2021      20,000        21,400   
MEG Energy Corp., 6.5%, 2021 (n)      30,000        31,500   
Newfield Exploration Co., 6.875%, 2020      55,000        59,469   
Plains Exploration & Production Co., 8.625%, 2019      95,000        108,300   
Plains Exploration & Production Co., 6.5%, 2020      35,000        38,719   
Plains Exploration & Production Co., 6.75%, 2022      50,000        56,313   

 

4


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Energy - Independent - continued                 
QEP Resources, Inc., 6.875%, 2021    $ 80,000      $ 92,600   
Samson Investment Co., 9.75%, 2020 (n)      75,000        79,781   
SandRidge Energy, Inc., 8%, 2018 (n)      175,000        183,750   
Whiting Petroleum Corp., 6.5%, 2018      20,000        21,450   
    

 

 

 
             $ 2,024,890   
Energy - Integrated - 0.2%                 
Pacific Rubiales Energy Corp., 7.25%, 2021 (n)    $ 100,000      $ 116,600   
Engineering - Construction - 0.2%                 
BakerCorp International, Inc., 8.25%, 2019    $ 85,000      $ 86,063   
Entertainment - 1.0%                 
AMC Entertainment, Inc., 8.75%, 2019    $ 180,000      $ 198,900   
AMC Entertainment, Inc., 9.75%, 2020      78,000        90,870   
Cinemark USA, Inc., 8.625%, 2019      75,000        83,063   
Cinemark USA, Inc., 5.125%, 2022 (n)      15,000        15,188   
NAI Entertainment Holdings LLC, 8.25%, 2017 (n)      40,000        43,800   
Six Flags Entertainment Corp., 5.25%, 2021 (n)      65,000        64,675   
    

 

 

 
             $ 496,496   
Financial Institutions - 3.0%                 
Aviation Capital Group, 4.625%, 2018 (z)    $ 25,000      $ 25,327   
CIT Group, Inc., 5.25%, 2018      40,000        42,800   
CIT Group, Inc., 6.625%, 2018 (n)      119,000        133,280   
CIT Group, Inc., 5.5%, 2019 (n)      118,000        126,260   
Credit Acceptance Corp., 9.125%, 2017      105,000        114,713   
Icahn Enterprises LP, 8%, 2018      112,000        119,980   
International Lease Finance Corp., 7.125%, 2018 (n)      137,000        160,290   
Nationstar Mortgage LLC/Capital Corp., 10.875%, 2015      300,000        319,500   
Nationstar Mortgage LLC/Capital Corp., 7.875%, 2020 (n)      30,000        32,700   
PHH Corp., 9.25%, 2016      85,000        99,663   
PHH Corp., 7.375%, 2019      40,000        44,900   
SLM Corp., 8.45%, 2018      25,000        29,784   
SLM Corp., 8%, 2020      130,000        150,475   
SLM Corp., 7.25%, 2022      40,000        44,700   
    

 

 

 
             $ 1,444,372   
Food & Beverages - 0.8%                 
ARAMARK Corp., 8.5%, 2015    $ 105,000      $ 105,657   
B&G Foods, Inc., 7.625%, 2018      92,000        99,245   
Constellation Brands, Inc., 7.25%, 2016      55,000        62,975   
Pinnacle Foods Finance LLC, 8.25%, 2017      30,000        31,913   
TreeHouse Foods, Inc., 7.75%, 2018      80,000        86,600   
    

 

 

 
             $ 386,390   
Forest & Paper Products - 0.8%                 
Boise, Inc., 8%, 2020    $ 105,000      $ 116,288   
Clearwater Paper Corp., 4.5%, 2023 (z)      10,000        9,925   
Georgia-Pacific Corp., 8%, 2024      9,000        12,551   
Graphic Packaging Holding Co., 7.875%, 2018      65,000        71,338   
Millar Western Forest Products Ltd., 8.5%, 2021      25,000        24,188   
Smurfit Kappa Group PLC, 7.75%, 2019 (n)    EUR  50,000        74,340   
Tembec Industries, Inc., 11.25%, 2018    $ 55,000        60,638   
    

 

 

 
             $ 369,268   

 

5


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Gaming & Lodging - 3.0%                 
Boyd Gaming Corp., 9%, 2020 (n)    $ 40,000      $ 40,600   
Caesars Entertainment Operating Co., Inc., 8.5%, 2020      110,000        110,550   
Choice Hotels International, Inc., 5.75%, 2022      15,000        16,650   
CityCenter Holdings LLC, 10.75%, 2017 (p)      40,000        44,150   
FelCor Lodging LP, 5.625%, 2023 (n)      10,000        10,088   
Fontainebleau Las Vegas Holdings LLC, 10.25%, 2015 (a)(d)(n)      290,000        181   
GWR Operating Partnership LLP, 10.875%, 2017      85,000        96,688   
Host Hotels & Resorts, Inc., REIT, 5.25%, 2022      55,000        59,950   
Isle of Capri Casinos, Inc., 8.875%, 2020      85,000        92,863   
MGM Mirage, 6.625%, 2015      40,000        43,200   
MGM Resorts International, 11.375%, 2018      235,000        292,575   
MGM Resorts International, 6.625%, 2021      35,000        36,050   
Penn National Gaming, Inc., 8.75%, 2019      160,000        182,400   
Pinnacle Entertainment, Inc., 8.75%, 2020      50,000        54,250   
Seven Seas Cruises S. DE R.L., 9.125%, 2019      130,000        137,800   
Viking Cruises Ltd., 8.5%, 2022 (n)      55,000        60,638   
Wyndham Worldwide Corp., 7.375%, 2020      50,000        61,045   
Wynn Las Vegas LLC, 7.75%, 2020      95,000        107,113   
    

 

 

 
             $ 1,446,791   
Industrial - 0.8%                 
Dematic S.A., 7.75%, 2020 (z)    $ 60,000      $ 61,350   
Hyva Global B.V., 8.625%, 2016 (n)      200,000        194,000   
Mueller Water Products, Inc., 8.75%, 2020      66,000        75,075   
SPL Logistics Escrow LLC, 8.875%, 2020 (n)      45,000        48,150   
Unifrax I LLC, 7.5%, 2019 (z)      10,000        10,000   
    

 

 

 
             $ 388,575   
Insurance - 0.7%                 
American International Group, Inc., 8.25%, 2018    $ 100,000      $ 129,801   
American International Group, Inc., 8.175% to 2038, FRN to 2068      180,000        234,000   
    

 

 

 
             $ 363,801   
Insurance - Property & Casualty - 1.1%                 
Liberty Mutual Group, Inc., 10.75% to 2038, FRN to 2088 (n)    $ 235,000      $ 357,200   
XL Group PLC, 6.5% to 2017, FRN to 2049      175,000        168,219   
    

 

 

 
             $ 525,419   
International Market Quasi-Sovereign - 0.1%                 
Exportfinans ASA, 5.5%, 2016    $ 35,000      $ 36,538   
Machinery & Tools - 1.4%                 
Case New Holland, Inc., 7.875%, 2017    $ 95,000      $ 112,338   
CNH America LLC, 7.25%, 2016      50,000        55,875   
H&E Equipment Services LLC, 7%, 2022 (n)      105,000        114,713   
NESCO LLC/NESCO Holdings Corp., 11.75%, 2017 (n)      130,000        141,700   
RSC Equipment Rental, Inc., 8.25%, 2021      140,000        159,250   
United Rentals North America, Inc., 5.75%, 2018      45,000        48,375   
United Rentals North America, Inc., 7.625%, 2022      48,000        53,520   
    

 

 

 
             $ 685,771   
Major Banks - 0.9%                 
Bank of America Corp., 5.65%, 2018    $ 50,000      $ 57,735   
RBS Capital Trust II, 6.425% to 2034, FRN to 2049      95,000        85,500   
Royal Bank of Scotland Group PLC, 6.99% to 2017, FRN to 2049 (n)      100,000        94,000   

 

6


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Major Banks - continued                 
Royal Bank of Scotland Group PLC, 7.648% to 2031, FRN to 2049    $ 210,000      $ 221,550   
    

 

 

 
             $ 458,785   
Medical & Health Technology & Services - 3.3%                 
AmSurg Corp., 5.625%, 2020 (n)    $ 20,000      $ 20,900   
CDRT Holding Corp., 9.25%, 2017 (n)(p)      25,000        25,813   
Davita, Inc., 6.625%, 2020      290,000        316,100   
Fresenius Medical Care AG & Co. KGaA, 9%, 2015 (n)      120,000        136,800   
HCA, Inc., 8.5%, 2019      140,000        155,750   
HCA, Inc., 7.5%, 2022      150,000        173,250   
HCA, Inc., 5.875%, 2022      25,000        27,188   
HealthSouth Corp., 8.125%, 2020      175,000        192,063   
IASIS Healthcare LLC/IASIS Capital Corp., 8.375%, 2019      125,000        126,875   
Select Medical Corp., 7.625%, 2015      15,000        15,019   
Tenet Healthcare Corp., 9.25%, 2015      65,000        73,613   
Tenet Healthcare Corp., 8%, 2020      65,000        70,688   
Universal Health Services, Inc, 7.625%, 2020      80,000        85,800   
Universal Health Services, Inc., 7%, 2018      30,000        33,075   
Universal Hospital Services, Inc., FRN, 3.902%, 2015      35,000        34,869   
Vanguard Health Systems, Inc., 0%, 2016      2,000        1,530   
WP Rocket Merger Sub, Inc., 10.125%, 2019 (n)      100,000        100,000   
    

 

 

 
             $ 1,589,333   
Medical Equipment - 0.5%                 
Biomet, Inc., 6.5%, 2020 (n)    $ 80,000      $ 84,000   
Hologic, Inc., 6.25%, 2020 (n)      30,000        32,250   
Physio-Control International, Inc., 9.875%, 2019 (n)      65,000        72,800   
Teleflex, Inc., 6.875%, 2019      50,000        54,250   
    

 

 

 
             $ 243,300   
Metals & Mining - 1.1%                 
Arch Coal, Inc., 7.25%, 2020    $ 80,000      $ 71,600   
Cloud Peak Energy, Inc., 8.25%, 2017      140,000        148,750   
Cloud Peak Energy, Inc., 8.5%, 2019      55,000        59,813   
Consol Energy, Inc., 8%, 2017      75,000        81,000   
Consol Energy, Inc., 8.25%, 2020      70,000        75,775   
Fortescue Metals Group Ltd., 8.25%, 2019 (n)      75,000        80,438   
    

 

 

 
             $ 517,376   
Municipals - 0.1%                 
New Jersey Tobacco Settlement Financing Corp., “1-A”, 4.5%, 2023    $ 70,000      $ 69,710   
Natural Gas - Distribution - 0.3%                 
AmeriGas Finance LLC, 6.75%, 2020    $ 80,000      $ 86,800   
Ferrellgas LP/Ferrellgas Finance Corp., 6.5%, 2021      60,000        60,600   
    

 

 

 
             $ 147,400   
Natural Gas - Pipeline - 2.1%                 
Access Midstream Partners Co., 4.875%, 2023    $ 35,000      $ 34,825   
Atlas Pipeline Partners LP, 8.75%, 2018      160,000        171,520   
Atlas Pipeline Partners LP, 5.875%, 2023 (z)      50,000        49,875   
Crosstex Energy, Inc., 8.875%, 2018      110,000        118,113   
El Paso Corp., 7%, 2017      105,000        120,369   
El Paso Corp., 7.75%, 2032      105,000        123,457   
Energy Transfer Equity LP, 7.5%, 2020      135,000        155,588   

 

7


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Natural Gas - Pipeline - continued                 
Enterprise Products Partners LP, 7.034% to 2018, FRN to 2068    $ 40,000      $ 45,800   
Inergy Midstream LP, 6%, 2020 (n)      80,000        82,600   
MarkWest Energy Partners LP, 5.5%, 2023      65,000        68,575   
Rockies Express Pipeline LLC, 5.625%, 2020 (n)      34,000        31,960   
    

 

 

 
             $ 1,002,682   
Network & Telecom - 1.7%                 
Centurylink, Inc., 7.65%, 2042    $ 95,000      $ 97,765   
Cincinnati Bell, Inc., 8.25%, 2017      30,000        32,213   
Citizens Communications Co., 9%, 2031      65,000        70,525   
Eileme 2 AB, 11.625%, 2020 (n)      200,000        235,500   
Frontier Communications Corp., 8.125%, 2018      90,000        104,175   
Qwest Communications International, Inc., 7.125%, 2018 (n)      105,000        109,537   
TW Telecom Holdings, Inc., 5.375%, 2022      35,000        36,750   
Windstream Corp., 8.125%, 2018      20,000        21,950   
Windstream Corp., 7.75%, 2020      80,000        87,000   
Windstream Corp., 7.75%, 2021      40,000        43,700   
    

 

 

 
             $ 839,115   
Oil Services - 1.5%                 
Afren PLC, 11.5%, 2016 (n)    $ 200,000      $ 233,000   
Bristow Group, Inc., 6.25%, 2022      40,000        43,200   
Chesapeake Energy Corp., 6.625%, 2019 (n)      35,000        34,650   
Dresser-Rand Group, Inc., 6.5%, 2021      45,000        47,700   
Edgen Murray Corp., 8.75%, 2020 (n)      80,000        81,800   
Pioneer Energy Services Corp., 9.875%, 2018      70,000        75,950   
Shale-Inland Holdings LLC/Finance Co., 8.75%, 2019 (n)      85,000        89,250   
Unit Corp., 6.625%, 2021      100,000        103,750   
    

 

 

 
             $ 709,300   
Other Banks & Diversified Financials - 1.8%                 
Ally Financial, Inc., 5.5%, 2017    $ 120,000      $ 129,009   
Ally Financial, Inc., 6.25%, 2017      50,000        55,630   
GMAC, Inc., 8%, 2031      20,000        25,275   
Groupe BPCE S.A., 12.5% to 2019, FRN to 2049 (n)      100,000        122,323   
LBG Capital No. 1 PLC, 7.875%, 2020 (n)      200,000        219,200   
Santander UK PLC, 8.963% to 2030, FRN to 2049      299,000        345,345   
    

 

 

 
             $ 896,782   
Pharmaceuticals - 0.6%                 
Capsugel FinanceCo. SCA, 9.875%, 2019 (n)    EUR  100,000      $ 151,734   
Valeant Pharmaceuticals International, Inc., 7%, 2020 (n)    $ 100,000        106,000   
Valeant Pharmaceuticals International, Inc., 7.25%, 2022 (n)      55,000        59,125   
    

 

 

 
             $ 316,859   
Pollution Control - 0.2%                 
Heckmann Corp., 9.875%, 2018 (z)    $ 25,000      $ 26,375   
Heckmann Corp., 9.875%, 2018      70,000        74,375   
    

 

 

 
             $ 100,750   
Precious Metals & Minerals - 0.3%                 
Eldorado Gold Corp., 6.125%, 2020 (n)    $ 55,000      $ 57,819   
IAMGOLD Corp., 6.75%, 2020 (n)      105,000        102,900   
    

 

 

 
             $ 160,719   

 

8


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Printing & Publishing - 0.2%                 
American Media, Inc., 13.5%, 2018 (z)    $ 23,764      $ 20,794   
Nielsen Finance LLC, 7.75%, 2018      45,000        50,119   
Nielsen Finance LLC, 4.5%, 2020 (n)      45,000        44,325   
    

 

 

 
             $ 115,238   
Real Estate - 1.0%                 
CB Richard Ellis Group, Inc., 11.625%, 2017    $ 120,000      $ 130,800   
CNL Lifestyle Properties, Inc., REIT, 7.25%, 2019      50,000        49,625   
Entertainment Properties Trust, REIT, 5.75%, 2022      65,000        68,414   
Kennedy Wilson, Inc., 8.75%, 2019      45,000        47,700   
MPT Operating Partnership LP, REIT, 6.375%, 2022      160,000        171,600   
    

 

 

 
             $ 468,139   
Retailers - 1.7%                 
Academy Ltd., 9.25%, 2019 (n)    $ 55,000      $ 61,325   
Burlington Coat Factory Warehouse Corp., 10%, 2019      100,000        108,750   
J. Crew Group, Inc., 8.125%, 2019      85,000        91,163   
Limited Brands, Inc., 6.9%, 2017      75,000        86,438   
Limited Brands, Inc., 6.95%, 2033      40,000        41,200   
Pantry, Inc., 8.375%, 2020 (n)      40,000        42,800   
Rite Aid Corp., 9.25%, 2020      65,000        72,313   
Sally Beauty Holdings, Inc., 6.875%, 2019      45,000        49,725   
Toys “R” Us Property Co. II LLC, 8.5%, 2017      60,000        63,150   
Toys “R” Us, Inc., 10.75%, 2017      140,000        150,500   
Yankee Acquisition Corp., 8.5%, 2015      2,000        2,005   
YCC Holdings LLC/Yankee Finance, Inc., 10.25%, 2016 (p)      50,000        51,501   
    

 

 

 
             $ 820,870   
Specialty Chemicals - 0.1%                 
Eagle Spinco, Inc., 4.625%, 2021 (z)    $ 15,000      $ 15,094   
Georgia Gulf Corp., 4.875%, 2023 (z)      5,000        5,038   
Koppers, Inc., 7.875%, 2019      40,000        44,050   
    

 

 

 
             $ 64,182   
Specialty Stores - 0.4%                 
Gymboree Corp., 9.125%, 2018    $ 40,000      $ 37,600   
Michaels Stores, Inc., 11.375%, 2016      81,000        84,545   
Michaels Stores, Inc., 7.75%, 2018      50,000        54,688   
    

 

 

 
             $ 176,833   
Telecommunications - Wireless - 3.8%                 
Altice Financing S.A., 7.875%, 2019 (z)    $ 200,000      $ 214,800   
Clearwire Corp., 12%, 2015 (n)      125,000        135,469   
Cricket Communications, Inc., 7.75%, 2016      95,000        99,988   
Cricket Communications, Inc., 7.75%, 2020      85,000        88,188   
Crown Castle International Corp., 7.125%, 2019      50,000        55,563   
Digicel Group Ltd., 10.5%, 2018 (n)      265,000        295,475   
MetroPCS Wireless, Inc., 7.875%, 2018      75,000        81,188   
Sprint Capital Corp., 6.875%, 2028      105,000        106,050   
Sprint Nextel Corp., 6%, 2016      145,000        156,238   
Sprint Nextel Corp., 8.375%, 2017      140,000        161,875   
Sprint Nextel Corp., 9%, 2018 (n)      25,000        30,938   
Sprint Nextel Corp., 6%, 2022      110,000        110,550   
Wind Acquisition Finance S.A., 11.75%, 2017 (n)      100,000        107,500   

 

9


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Bonds - continued                 
Telecommunications - Wireless - continued                 
Wind Acquisition Finance S.A., 7.25%, 2018 (n)    $ 200,000      $ 210,500   
    

 

 

 
             $ 1,854,322   
Telephone Services - 0.4%                 
Cogent Communications Group, Inc., 8.375%, 2018 (n)    $ 45,000      $ 49,838   
Level 3 Financing, Inc., 9.375%, 2019      65,000        73,450   
Level 3 Financing, Inc., 7%, 2020 (n)      25,000        26,500   
Level 3 Financing, Inc., 8.625%, 2020      45,000        50,400   
    

 

 

 
             $ 200,188   
Transportation - 0.2%                 
Navios South American Logistics, Inc., 9.25%, 2019    $ 112,000      $ 112,000   
Transportation - Services - 2.7%                 
ACL I Corp., 10.625%, 2016 (p)    $ 153,610      $ 147,663   
Aguila American Resources Ltd., 7.875%, 2018 (n)      150,000        159,000   
Avis Budget Car Rental LLC, 8.25%, 2019      65,000        71,988   
Avis Budget Car Rental LLC, 9.75%, 2020      40,000        46,300   
CEVA Group PLC, 8.375%, 2017 (n)      160,000        163,600   
Commercial Barge Line Co., 12.5%, 2017      205,000        224,988   
HDTFS, Inc., 5.875%, 2020 (n)      15,000        15,938   
Navios Maritime Acquisition Corp., 8.625%, 2017      165,000        156,338   
Navios Maritime Holdings, Inc., 8.875%, 2017      105,000        103,688   
Swift Services Holdings, Inc., 10%, 2018      190,000        214,463   
    

 

 

 
             $ 1,303,966   
Utilities - Electric Power - 3.9%                 
AES Corp., 8%, 2017    $ 175,000      $ 202,125   
AES Corp., 7.375%, 2021      40,000        44,600   
Calpine Corp., 8%, 2016 (n)      125,000        131,875   
Calpine Corp., 7.875%, 2020 (n)      108,000        119,070   
Covanta Holding Corp., 7.25%, 2020      75,000        82,620   
Covanta Holding Corp., 6.375%, 2022      25,000        27,284   
EDP Finance B.V., 6%, 2018 (n)      145,000        153,338   
Energy Future Holdings Corp., 10%, 2020      318,000        364,905   
Energy Future Holdings Corp., 10%, 2020 (z)      145,000        166,025   
Energy Future Holdings Corp., 11.75%, 2022 (n)      85,000        96,794   
GenOn Energy, Inc., 9.875%, 2020      165,000        189,750   
NRG Energy, Inc., 8.25%, 2020      195,000        220,350   
Texas Competitive Electric Holdings Co. LLC, 11.5%, 2020 (n)      125,000        98,750   
    

 

 

 
             $ 1,897,486   
Total Bonds            $ 33,924,536   
Common Stocks - 24.3%                 
Aerospace - 1.8%                 
Lockheed Martin Corp.      4,850      $ 421,319   
United Technologies Corp.      5,200        455,364   
    

 

 

 
             $ 876,683   
Alcoholic Beverages - 0.6%                 
Diageo PLC, ADR      2,250      $ 268,425   

 

10


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Common Stocks - continued                 
Automotive - 0.7%                 
Accuride Corp. (a)      2,414      $ 9,077   
Delphi Automotive PLC (a)      8,080        312,373   
    

 

 

 
             $ 321,450   
Broadcasting - 1.0%                 
New Young Broadcasting Holding Co., Inc. (a)      9      $ 33,750   
Viacom, Inc., “B”      7,430        448,401   
    

 

 

 
             $ 482,151   
Brokerage & Asset Managers - 0.9%                 
BlackRock, Inc.      1,914      $ 452,240   
Business Services - 0.9%                 
Accenture PLC, “A”      6,260      $ 450,031   
Chemicals - 1.2%                 
3M Co.      2,600      $ 261,430   
LyondellBasell Industries N.V., “A”      8        507   
PPG Industries, Inc.      2,460        339,160   
    

 

 

 
             $ 601,097   
Computer Software - 0.5%                 
Oracle Corp.      7,220      $ 256,382   
Computer Software - Systems - 0.9%                 
International Business Machines Corp.      2,250      $ 456,908   
Electrical Equipment - 1.7%                 
Danaher Corp.      7,130      $ 427,301   
Tyco International Ltd.      13,010        393,292   
    

 

 

 
             $ 820,593   
Energy - Independent - 1.1%                 
Occidental Petroleum Corp.      5,930      $ 523,441   
Energy - Integrated - 0.7%                 
Exxon Mobil Corp.      3,890      $ 349,983   
Food & Beverages - 0.8%                 
General Mills, Inc.      9,810      $ 411,431   
General Merchandise - 0.7%                 
Target Corp.      5,470      $ 330,443   
Insurance - 1.7%                 
MetLife, Inc.      8,130      $ 303,574   
Travelers Cos., Inc.      6,650        521,759   
    

 

 

 
             $ 825,333   
Major Banks - 2.0%                 
Bank of New York Mellon Corp.      12,760      $ 346,562   
JPMorgan Chase & Co.      12,840        604,122   
    

 

 

 
             $ 950,684   

 

11


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Common Stocks - continued                 
Medical Equipment - 1.3%                 
Abbott Laboratories      10,220      $ 346,254   
St. Jude Medical, Inc.      6,970        283,679   
    

 

 

 
             $ 629,933   
Natural Gas - Distribution - 0.1%                 
Dynegy, Inc. (a)      1,785      $ 35,700   
Other Banks & Diversified Financials - 0.4%                 
Western Union Co.      14,330      $ 203,916   
Pharmaceuticals - 2.2%                 
Johnson & Johnson      7,920      $ 585,446   
Pfizer, Inc.      18,160        495,405   
    

 

 

 
             $ 1,080,851   
Printing & Publishing - 0.1%                 
American Media Operations, Inc. (a)      6,090      $ 28,928   
Telecommunications - Wireless - 0.6%                 
Vodafone Group PLC, ADR      11,260      $ 307,623   
Telephone Services - 1.3%                 
AT&T, Inc.      12,230      $ 425,482   
Verizon Communications, Inc.      5,270        229,825   
    

 

 

 
             $ 655,307   
Tobacco - 1.1%                 
Philip Morris International, Inc.      6,220      $ 548,355   
Total Common Stocks            $ 11,867,888   
Preferred Stocks - 0.3%                 
Other Banks & Diversified Financials - 0.3%                 
Ally Financial, Inc., 7% (z)      60      $ 58,558   
GMAC Capital Trust I, 8.125%      3,325        88,678   
Total Preferred Stocks            $ 147,236   
Convertible Bonds - 0.2%                 
Network & Telecom - 0.2%                 
Nortel Networks Corp., 2.125%, 2014 (a)(d)      105,000      $ 104,475   
Convertible Preferred Stocks - 0.2%                 
Automotive - 0.2%                 
General Motors Co., 4.75%      1,800      $ 77,976   
Floating Rate Loans (g)(r) - 0.1%                 
Utilities - Electric Power - 0.1%                 
Dynegy Midwest Generation LLC, Term Loan, 9.25%, 2016      11,565      $ 11,999   
Dynegy Power LLC, Term Loan, 9.25%, 2016      15,297        15,936   
Total Floating Rate Loans            $ 27,935   

 

12


Portfolio of Investments (unaudited) – continued

 

Issuer    Strike Price      First Exercise      Shares/Par     Value ($)  
          
Warrants - 0.0%                                   
Broadcasting - 0.0%                                   
New Young Broadcasting Holding Co., Inc. (1 share for 1 warrant) (a)    $ 0.01         12/24/24         6      $ 22,500   
Money Market Funds - 3.8%                                   
MFS Institutional Money Market Portfolio, 0.14%, at Net Asset Value (v)                        1,872,487      $ 1,872,487   
Total Investments                              $ 48,045,033   
Other Assets, Less Liabilities - 1.5%                                714,350   
Net Assets - 100.0%                              $ 48,759,383   

 

(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.
(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 $10,159,245, representing 20.8% 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.
(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         $58,558   
Altice Financing S.A., 7.875%, 2019    12/7/12      200,000         214,800   
American Media, Inc., 13.5%, 2018    12/22/10      24,071         20,794   
Atlas Pipeline Partners LP, 5.875%, 2023    1/28/13      50,000         49,875   
Aviation Capital Group, 4.625%, 2018    1/14/13      25,000         25,327   
BC Mountain LLC, 7%, 2021    1/25/13      10,000         10,250   
Banc of America Commercial Mortgage, Inc., FRN, 6.254%, 2051    6/19/08      241,307         78,481   
Clearwater Paper Corp., 4.5%, 2023    1/17/13      10,000         9,925   
Dematic S.A., 7.75%, 2020    12/13/12      60,000         61,350   
Eagle Spinco, Inc., 4.625%, 2021    1/17/13      15,000         15,094   
Energy Future Holdings Corp., 10%, 2020    1/7/10 - 8/6/10      146,461         166,025   
Falcon Franchise Loan LLC, FRN, 6.542%, 2025    1/29/03      6,545         12,361   
Georgia Gulf Corp., 4.875%, 2023    1/17/13      5,000         5,038   
Gibraltar Industries, Inc., 6.25%, 2021    1/18/13      10,000         10,388   
HD Supply, Inc., 10.5%, 2021    1/9/13      5,000         5,113   
Heckler & Koch GmbH, 9.5%, 2018    5/06/11      142,063         120,165   
Heckmann Corp., 9.875%, 2018    10/26/12      25,061         26,375   
LBI Media, Inc., 13.5% to 2015, 11.5% to , 2020    12/26/12      27,233         23,370   
Lear Corp., 4.75%, 2023    1/14/13      25,000         24,875   
Local TV Finance LLC, 9.25%, 2015    11/14/07 - 2/16/11      155,466         158,708   
Morgan Stanley Capital I, Inc., FRN, 1.384%, 2039    7/20/04      5,968         4,006   

 

13


Portfolio of Investments (unaudited) – continued

 

Restricted Securities - continued    Acquisition
Date
   Cost      Value  
Nara Cable Funding Ltd., 8.875%, 2018    1/26/12      $194,544         $204,000   
Netflix, Inc., 5.375%, 2021    1/29/13 - 1/30/13      50,075         49,750   
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   
Unifrax I LLC, 7.5%, 2019    1/31/13      10,000         10,000   
Total Restricted Securities            $1,364,745   
% of Net assets            2.8%   

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

Derivative Contracts at 10/31/12

Forward Foreign Currency Exchange Contracts at 10/31/12

 

Type    Currency      Counterparty   

Contracts to

Deliver/Receive

  

Settlement

Date Range

  

In Exchange

For

     Contracts
at Value
    

Net Unrealized

Appreciation

(Depreciation)

 
Liability Derivatives                     
SELL      EUR       Barclays Bank PLC    27,000    4/15/13    $ 36,061       $ 36,675       $ (614
SELL      EUR       JPMorgan Chase Bank    348,481    4/15/13      455,833         473,347         (17,514
                    

 

 

 
                     $ (18,128
                    

 

 

 

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

1/31/13 (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).

 

15


Supplemental Information (unaudited) – continued

 

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 January 31, 2013 in valuing the fund’s assets or liabilities:

 

Investments at Value    Level 1      Level 2      Level 3      Total  
Equity Securities:            

United States

     $11,395,816         $114,808         $28,928         $11,539,552   

United Kingdom

     576,048                         576,048   
Non-U.S. Sovereign Debt              897,117                 897,117   
Municipal Bonds              69,710                 69,710   
U.S. Corporate Bonds              26,596,785                 26,596,785   
Commercial Mortgage-Backed Securities              165,010                 165,010   
Asset-Backed Securities (including CDOs)              117                 117   
Foreign Bonds              6,300,272                 6,300,272   
Floating Rate Loans              27,935                 27,935   
Mutual Funds      1,872,487                         1,872,487   
Total Investments      $13,844,351         $34,171,754         $28,928         $48,045,033   
Other Financial Instruments                            
Forward Foreign Currency Exchange Contracts      $—         $(18,128      $—         $(18,128

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 10/31/12      $32,216   

Change in unrealized appreciation (depreciation)

     (3,288
Balance as of 1/31/13      $28,928   

The net change in unrealized appreciation (depreciation) from investments still held as level 3 at January 31, 2013 is $(3,288).

(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      $45,260,492   
Gross unrealized appreciation      4,665,125   
Gross unrealized depreciation      (1,880,584
Net unrealized appreciation (depreciation)      $2,784,541   

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

(3) Transactions in Underlying Affiliated Funds – Affiliated Issuers

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

 

Underlying Affiliated Fund   

Beginning

Shares/Par

Amount

    

Acquisitions

Shares/Par

Amount

    

Dispositions

Shares/Par

Amount

    

Ending

Shares/Par

Amount

 
MFS Institutional Money Market Portfolio      1,578,168         2,145,952         (1,851,633      1,872,487   
Underlying Affiliated Fund   

Realized

Gain (Loss)

     Capital Gain
Distributions
     Dividend
Income
     Ending Value  
MFS Institutional Money Market Portfolio      $—         $—         $722         $1,872,487   

 

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: March 18, 2013

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)*    JOHN M. CORCORAN
  John M. Corcoran, President (Principal Executive Officer)

Date: March 18, 2013

 

By (Signature and Title)*    DAVID L. DILORENZO
  David L. DiLorenzo, Treasurer (Principal Financial Officer and Accounting Officer)

Date: March 18, 2013

 

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