N-Q 1 dnq.htm MFS INTERMEDIATE HIGH INCOME FUND N-Q MFS INTERMEDIATE HIGH INCOME FUND 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 811-5567

MFS INTERMEDIATE HIGH INCOME FUND

(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: November 30

Date of reporting period: February 28, 2010


ITEM 1. SCHEDULE OF INVESTMENTS.


LOGO


MFS Intermediate High Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 2/28/10

 

Issuer

   Shares/Par    Value ($)

Bonds – 123.1%

     

Aerospace – 1.3%

     

BE Aerospace, Inc., 8.5%, 2018

   $ 225,000    $ 235,687

Hawker Beechcraft Acquisition Co. LLC, 8.5%, 2015

     406,000      306,530

Spirit AeroSystems Holdings, Inc., 7.5%, 2017 (n)

     240,000      237,600
         
      $ 779,817
         

Airlines – 1.8%

     

American Airlines Pass-Through Trust, 7.377%, 2019

   $ 126,830    $ 101,464

Continental Airlines, Inc., 7.339%, 2014

     524,000      495,180

Delta Air Lines, Inc., 7.111%, 2013

     150,000      151,500

Delta Air Lines, Inc., 7.711%, 2013

     330,000      326,700
         
      $ 1,074,844
         

Apparel Manufacturers – 1.2%

     

Broder Brothers Co., 11.25%, 2010

   $ 260,000    $ 202,800

Hanesbrands, Inc., 8%, 2016

     160,000      163,200

Hanesbrands, Inc., FRN, 3.83%, 2014

     220,000      206,250

Levi Strauss & Co., 9.75%, 2015

     105,000      109,462
         
      $ 681,712
         

Asset Backed & Securitized – 2.1%

     

Banc of America Commercial Mortgage, Inc., FRN, 5.811%, 2051

   $ 176,159    $ 135,890

Banc of America Commercial Mortgage, Inc., FRN, 6.209%, 2051 (z)

     450,000      116,954

Citigroup Commercial Mortgage Trust, FRN, 5.7%, 2049

     275,000      53,515

Credit Suisse Mortgage Capital Certificate, 5.343%, 2039

     197,320      151,464

JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.746%, 2049

     250,617      78,311

JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.746%, 2049

     404,598      118,596

JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.746%, 2049

     1,169,622      311,913

JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 6.061%, 2051

     155,000      49,699

Merrill Lynch Mortgage Trust, FRN, 5.826%, 2050

     155,000      43,803

Merrill Lynch/Countrywide Commercial Mortgage Trust, FRN, 5.746%, 2050

     125,000      85,316

Wachovia Bank Commercial Mortgage Trust, FRN, 5.692%, 2047

     250,000      47,398

Wachovia Bank Commercial Mortgage Trust, FRN, 5.752%, 2047

     175,000      28,988
         
      $ 1,221,847
         

Automotive – 3.3%

     

Allison Transmission, Inc., 11%, 2015 (n)

   $ 270,000    $ 280,125

Ford Motor Credit Co. LLC, 12%, 2015

     1,110,000      1,267,980

Goodyear Tire & Rubber Co., 8.625%, 2011

     107,000      111,012

Goodyear Tire & Rubber Co., 9%, 2015

     194,000      200,062

Goodyear Tire & Rubber Co., 10.5%, 2016

     65,000      70,037
         
      $ 1,929,216
         

Basic Industry – 0.2%

     

TriMas Corp., 9.75%, 2017 (n)

   $ 125,000    $ 125,625
         

Broadcasting – 6.0%

     

Allbritton Communications Co., 7.75%, 2012

   $ 265,000    $ 262,681

Bonten Media Acquisition Co., 9%, 2015 (p)(z)

     153,982      50,442

Inmarsat Finance PLC, 7.375%, 2017 (n)

     130,000      133,250

Intelsat Jackson Holdings Ltd., 9.5%, 2016

     540,000      567,000

Lamar Media Corp., 6.625%, 2015

     260,000      248,300

Lamar Media Corp., “C”, 6.625%, 2015

     165,000      154,275

LBI Media, Inc., 8.5%, 2017 (z)

     150,000      126,750

LIN TV Corp., 6.5%, 2013

     355,000      336,362

Local TV Finance LLC, 10%, 2015 (p)(z)

     463,050      253,906

Newport Television LLC, 13%, 2017 (n)(p)

     352,468      181,815

Nexstar Broadcasting Group, Inc., 0.5% to 2011, 7% to 2014 (n)(p)

     292,534      229,444

Nexstar Broadcasting Group, Inc., 7%, 2014

     96,000      75,360

Salem Communications Corp., 9.625%, 2016 (n)

     80,000      82,600

Sinclair Broadcast Group, Inc., 9.25%, 2017 (n)

     125,000      129,688

 

1


MFS Intermediate High Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 2/28/10 - continued

 

Issuer

   Shares/Par    Value ($)

Bonds – continued

     

Broadcasting – continued

     

Univision Communications, Inc., 12%, 2014 (n)

   $ 95,000    $ 102,838

Univision Communications, Inc., 9.75%, 2015 (n)(p)

     657,812      549,931

Young Broadcasting, Inc., 8.75%, 2014 (d)

     120,000      840
         
      $ 3,485,482
         

Brokerage & Asset Managers – 0.8%

     

Janus Capital Group, Inc., 6.7%, 2017

   $ 275,000    $ 271,275

Nuveen Investments, Inc., 10.5%, 2015

     185,000      167,425
         
      $ 438,700
         

Building – 2.9%

     

Associated Materials, Inc., 11.25%, 2014

   $ 270,000    $ 267,300

Building Materials Holding Corp., 7%, 2020 (z)

     155,000      155,000

CEMEX Finance Europe B.V., 9.625%, 2017 (n)

   EUR   150,000      204,758

Nortek, Inc., 11%, 2013

   $ 381,688      400,772

Owens Corning, 9%, 2019

     330,000      381,286

Ply Gem Industries, Inc., 11.75%, 2013

     115,000      116,725

Ply Gem Industries, Inc., 13.125%, 2014 (z)

     185,000      185,925
         
      $ 1,711,766
         

Business Services – 3.3%

     

First Data Corp., 9.875%, 2015

   $ 610,000    $ 527,650

First Data Corp., 11.25%, 2016

     255,000      209,100

Iron Mountain, Inc., 6.625%, 2016

     185,000      182,225

Iron Mountain, Inc., 8.375%, 2021

     135,000      138,544

SunGard Data Systems, Inc., 9.125%, 2013

     365,000      373,669

SunGard Data Systems, Inc., 10.25%, 2015

     377,000      391,137

Terremark Worldwide, Inc., 12%, 2017 (n)

     95,000      104,263
         
      $ 1,926,588
         

Cable TV – 3.9%

     

Cablevision Systems Corp., 8%, 2012

   $ 325,000    $ 342,469

Cablevision Systems Corp., 8.625%, 2017 (z)

     70,000      72,100

CCO Holdings LLC, 8.75%, 2013

     525,000      532,875

Charter Communications, Inc., 10.875%, 2014 (n)

     260,000      289,575

CSC Holdings, Inc., 8.5%, 2014 (n)

     255,000      268,069

Mediacom LLC, 9.125%, 2019 (n)

     255,000      256,275

Videotron LTEE, 6.875%, 2014

     110,000      110,412

Virgin Media Finance PLC, 8.75%, 2014

     38,000      38,855

Virgin Media Finance PLC, 8.75%, 2014

   EUR 33,628      47,163

Virgin Media Finance PLC, 9.125%, 2016

   $ 100,000      103,250

Virgin Media Finance PLC, 9.5%, 2016

     200,000      212,000
         
      $ 2,273,043
         

Chemicals – 4.4%

     

Ashland, Inc., 9.125%, 2017 (n)

   $ 435,000    $ 476,325

Hexion Finance Escrow LLC, 8.875%, 2018 (n)

     290,000      271,150

Hexion Specialty Chemicals, Inc., 9.75%, 2014

     160,000      151,200

Huntsman International LLC, 6.875%, 2013 (n)

   EUR 200,000      253,948

Huntsman International LLC, 5.5%, 2016 (n)

   $ 125,000      110,000

Innophos Holdings, Inc., 8.875%, 2014

     465,000      477,787

Lumena Resources Corp., 12%, 2014 (n)

     152,000      129,250

Momentive Performance Materials, Inc., 12.5%, 2014 (n)

     455,000      500,500

Momentive Performance Materials, Inc., 11.5%, 2016

     109,000      88,699

Nalco Co., 8.875%, 2013

     130,000      133,250
         
      $ 2,592,109
         

Computer Software - Systems – 0.5%

     

DuPont Fabros Technology, Inc., 8.5%, 2017 (n)

   $ 285,000    $ 289,275

 

2


MFS Intermediate High Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 2/28/10 - continued

 

Issuer

   Shares/Par    Value ($)

Bonds – continued

     

Consumer Products – 1.2%

     

ACCO Brands Corp., 10.625%, 2015 (n)

   $ 30,000    $ 32,610

ACCO Brands Corp., 7.625%, 2015

     80,000      73,400

Central Garden & Pet Co., 8.25%, 2018

     150,000      151,313

Jarden Corp., 7.5%, 2017

     215,000      216,075

Libbey Glass, Inc., 10%, 2015 (z)

     115,000      119,025

Visant Holding Corp., 8.75%, 2013

     125,000      126,875
         
      $ 719,298
         

Consumer Services – 2.7%

     

Corrections Corp. of America, 7.75%, 2017

   $ 50,000    $ 51,250

KAR Holdings, Inc., 10%, 2015

     340,000      354,450

KAR Holdings, Inc., FRN, 4.248%, 2014

     100,000      92,500

Service Corp. International, 7.375%, 2014

     50,000      50,875

Service Corp. International, 7%, 2017

     785,000      769,300

Ticketmaster Entertainment, Inc., 10.75%, 2016

     215,000      236,500
         
      $ 1,554,875
         

Containers – 1.9%

     

Crown Americas LLC, 7.625%, 2013

   $ 86,000    $ 88,580

Graham Packaging Holdings Co., 9.875%, 2014

     400,000      408,000

Greif, Inc., 6.75%, 2017

     350,000      344,750

Owens-Brockway Glass Container, Inc., 8.25%, 2013

     65,000      65,975

Owens-Illinois, Inc., 7.375%, 2016

     95,000      98,088

Reynolds Group, 7.75%, 2016 (n)

     105,000      106,313
         
      $ 1,111,706
         

Defense Electronics – 0.5%

     

L-3 Communications Corp., 6.375%, 2015

   $ 310,000    $ 315,037
         

Electronics – 1.2%

     

Flextronics International Ltd., 6.25%, 2014

   $ 144,000    $ 143,640

Freescale Semiconductor, Inc., 8.875%, 2014

     325,000      288,437

Freescale Semiconductor, Inc., 10.125%, 2018 (z)

     105,000      106,050

Jabil Circuit, Inc., 7.75%, 2016

     160,000      165,600
         
      $ 703,727
         

Energy - Independent – 7.3%

     

Berry Petroleum Co., 10.25%, 2014

   $ 150,000    $ 163,125

Chaparral Energy, Inc., 8.875%, 2017

     220,000      179,850

Chesapeake Energy Corp., 7%, 2014

     114,000      114,000

Chesapeake Energy Corp., 9.5%, 2015

     90,000      97,875

Chesapeake Energy Corp., 6.375%, 2015

     230,000      222,525

Forest Oil Corp., 8.5%, 2014

     60,000      61,950

Forest Oil Corp., 7.25%, 2019

     165,000      161,700

Hilcorp Energy I LP, 9%, 2016 (n)

     280,000      283,500

Mariner Energy, Inc., 8%, 2017

     300,000      286,500

McMoRan Exploration Co., 11.875%, 2014

     130,000      139,100

Newfield Exploration Co., 6.625%, 2014

     155,000      157,325

OPTI Canada, Inc., 8.25%, 2014

     205,000      182,450

Penn Virginia Corp., 10.375%, 2016

     280,000      302,400

Petrohawk Energy Corp., 10.5%, 2014

     140,000      151,900

Pioneer Natural Resources Co., 6.875%, 2018

     175,000      172,114

Pioneer Natural Resources Co., 7.5%, 2020

     200,000      200,760

Plains Exploration & Production Co., 7%, 2017

     350,000      342,125

Quicksilver Resources, Inc., 8.25%, 2015

     285,000      287,850

Range Resources Corp., 8%, 2019

     170,000      178,075

SandRidge Energy, Inc., 9.875%, 2016 (n)

     75,000      77,438

SandRidge Energy, Inc., 8%, 2018 (n)

     320,000      306,400

 

3


MFS Intermediate High Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 2/28/10 - continued

 

Issuer

   Shares/Par    Value ($)

Bonds – continued

     

Energy - Independent – continued

     

Southwestern Energy Co., 7.5%, 2018

   $ 175,000    $ 184,625
         
      $ 4,253,587
         

Entertainment – 1.7%

     

AMC Entertainment, Inc., 11%, 2016

   $ 325,000    $ 348,562

AMC Entertainment, Inc., 8.75%, 2019

     250,000      258,125

Cinemark USA, Inc., 8.625%, 2019

     380,000      395,200
         
      $ 1,001,887
         

Financial Institutions – 4.0%

     

CIT Group, Inc., 7%, 2014

   $ 125,000    $ 114,375

CIT Group, Inc., 7%, 2017

     625,000      552,344

Credit Acceptance Corp., 9.125%, 2017 (z)

     135,000      134,325

GMAC, Inc., 7%, 2012

     105,000      104,475

GMAC, Inc., 6.75%, 2014

     370,000      353,350

GMAC, Inc., 8%, 2031

     574,000      529,515

International Lease Finance Corp., 5.625%, 2013

     610,000      520,335
         
      $ 2,308,719
         

Food & Beverages – 2.5%

     

ARAMARK Corp., 8.5%, 2015

   $ 430,000    $ 434,300

Dean Foods Co., 7%, 2016

     250,000      237,500

Del Monte Foods Co., 6.75%, 2015

     335,000      341,700

Pinnacle Foods Finance LLC, 9.25%, 2015

     330,000      334,950

TreeHouse Foods, Inc., 7.75%, 2018

     135,000      138,544
         
      $ 1,486,994
         

Forest & Paper Products – 3.4%

     

Abitibi-Consolidated, Inc., 8.375%, 2015 (d)

   $ 380,000    $ 77,900

Bowater, Inc., 6.5%, 2013 (d)

     500,000      145,000

Cascades, Inc., 7.75%, 2017 (n)

     115,000      116,150

Cellu Tissue Holdings, Inc., 11.5%, 2014

     235,000      260,263

Georgia-Pacific Corp., 7.125%, 2017 (n)

     190,000      191,900

Georgia-Pacific Corp., 8%, 2024

     425,000      443,062

Georgia-Pacific Corp., 7.25%, 2028

     55,000      52,937

Graphic Packaging International Corp., 9.5%, 2013

     165,000      168,300

Jefferson Smurfit Corp., 8.25%, 2012 (d)

     70,000      57,750

JSG Funding PLC, 7.75%, 2015

     10,000      9,700

Millar Western Forest Products Ltd., 7.75%, 2013

     375,000      300,000

Smurfit Kappa Group PLC, 7.75%, 2019 (n)

   EUR   120,000      162,581
         
      $ 1,985,543
         

Gaming & Lodging – 6.9%

     

Ameristar Casinos, Inc., 9.25%, 2014

   $ 115,000    $ 117,588

Boyd Gaming Corp., 6.75%, 2014

     140,000      119,175

Circus & Eldorado Joint Venture, 10.125%, 2012

     300,000      262,500

Firekeepers Development Authority, 13.875%, 2015 (n)

     335,000      385,250

Fontainebleau Las Vegas Holdings LLC, 10.25%, 2015 (d)(n)

     695,000      7,384

Gaylord Entertainment Co., 6.75%, 2014

     220,000      206,800

Harrah’s Operating Co., Inc., 11.25%, 2017

     155,000      160,813

Harrah’s Operating Co., Inc., 10%, 2018

     164,000      123,820

Harrah’s Operating Co., Inc., 10%, 2018

     440,000      332,200

Host Hotels & Resorts, Inc., 6.75%, 2016

     250,000      246,250

Host Hotels & Resorts, Inc., 9%, 2017 (n)

     340,000      363,800

MGM Mirage, 10.375%, 2014 (n)

     40,000      42,400

MGM Mirage, 7.5%, 2016

     125,000      99,063

MGM Mirage, 11.125%, 2017 (n)

     105,000      113,400

MGM Mirage, 11.375%, 2018 (n)

     260,000      240,500

Penn National Gaming, Inc., 8.75%, 2019 (n)

     185,000      183,150

 

4


MFS Intermediate High Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 2/28/10 - continued

 

Issuer

   Shares/Par    Value ($)

Bonds – continued

     

Gaming & Lodging – continued

     

Pinnacle Entertainment, Inc., 7.5%, 2015

   $ 145,000    $ 119,988

Royal Caribbean Cruises Ltd., 7%, 2013

     125,000      124,062

Royal Caribbean Cruises Ltd., 11.875%, 2015

     185,000      209,513

Starwood Hotels & Resorts Worldwide, Inc., 6.75%, 2018

     100,000      99,500

Station Casinos, Inc., 6%, 2012 (d)

     245,000      35,525

Station Casinos, Inc., 6.875%, 2016 (d)

     715,000      3,718

Station Casinos, Inc., 6.625%, 2018 (d)

     875,000      4,550

Wyndham Worldwide Corp., 6%, 2016

     460,000      446,635
         
      $ 4,047,584
         

Industrial – 1.7%

     

Altra Holdings, Inc., 8.125%, 2016 (n)

   $ 115,000    $ 117,875

Aquilex Corp., 11.125%, 2016 (n)

     60,000      62,700

Baldor Electric Co., 8.625%, 2017

     465,000      476,625

Great Lakes Dredge & Dock Corp., 7.75%, 2013

     140,000      138,600

Johnsondiversey Holdings, Inc., 8.25%, 2019 (n)

     160,000      164,800

Oshkosh Corp., 8.25%, 2017 (z)

     30,000      30,000

Oshkosh Corp., 8.5%, 2020 (z)

     30,000      30,000
         
      $ 1,020,600
         

Insurance – 1.2%

     

ING Groep N.V., 5.775% to 2015, FRN to 2049

   $ 470,000    $ 366,460

MetLife, Inc., 9.25% to 2038, FRN to 2068 (n)

     300,000      333,000
         
      $ 699,460
         

Insurance - Property & Casualty – 2.3%

     

Liberty Mutual Group, Inc., 10.75% to 2038, FRN to 2088 (n)

   $ 330,000    $ 356,400

USI Holdings Corp., 9.75%, 2015 (z)

     575,000      527,563

ZFS Finance USA Trust II, 6.45% to 2016, FRN to 2065 (z)

     500,000      450,000
         
      $ 1,333,963
         

Machinery & Tools – 1.1%

     

Case New Holland, Inc., 7.125%, 2014

   $ 335,000    $ 335,000

Rental Service Corp., 9.5%, 2014

     325,000      314,437
         
      $ 649,437
         

Major Banks – 2.0%

     

Bank of America Corp., 8% to 2018, FRN to 2049

   $ 635,000    $ 605,231

JPMorgan Chase & Co., 7.9% to 2018, FRN to 2049

     470,000      485,891

Royal Bank of Scotland Group PLC, FRN, 7.648%, 2049

     110,000      88,825
         
      $ 1,179,947
         

Medical & Health Technology & Services – 9.9%

     

Biomet, Inc., 10%, 2017

   $ 135,000    $ 147,488

Biomet, Inc., 11.625%, 2017

     405,000      447,525

Community Health Systems, Inc., 8.875%, 2015

     435,000      450,225

Cooper Cos., Inc., 7.125%, 2015

     120,000      118,200

DaVita, Inc., 7.25%, 2015

     395,000      396,481

Fresenius Medical Care AG & Co. KGaA, 9%, 2015 (n)

     165,000      182,325

HCA, Inc., 6.375%, 2015

     285,000      267,900

HCA, Inc., 9.25%, 2016

     1,025,000      1,087,781

HCA, Inc., 8.5%, 2019 (n)

     160,000      171,600

HealthSouth Corp., 8.125%, 2020

     260,000      253,500

Psychiatric Solutions, Inc., 7.75%, 2015

     165,000      158,400

Tenet Healthcare Corp., 9.25%, 2015

     425,000      431,375

U.S. Oncology, Inc., 10.75%, 2014

     215,000      223,600

U.S. Oncology, Inc., FRN, 6.427%, 2012 (p)

     306,000      276,796

United Surgical Partners International, Inc., 8.875%, 2017

     50,000      51,125

United Surgical Partners International, Inc., 9.25%, 2017 (p)

     80,000      82,400

Universal Hospital Services, Inc., 8.5%, 2015 (p)

     400,000      388,000

 

5


MFS Intermediate High Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 2/28/10 - continued

 

Issuer

   Shares/Par    Value ($)

Bonds – continued

     

Medical & Health Technology & Services – continued

     

VWR Funding, Inc., 11.25%, 2015 (p)

   $ 602,062    $ 638,186
         
      $ 5,772,907
         

Metals & Mining – 3.4%

     

Arch Western Finance LLC, 6.75%, 2013

   $ 255,000    $ 255,637

Cloud Peak Energy, Inc., 8.25%, 2017 (n)

     140,000      139,650

Cloud Peak Energy, Inc., 8.5%, 2019 (n)

     140,000      141,400

FMG Finance Ltd., 10.625%, 2016 (n)

     190,000      211,850

Freeport-McMoRan Copper & Gold, Inc., 8.375%, 2017

     730,000      792,050

Peabody Energy Corp., 7.375%, 2016

     405,000      428,287
         
      $ 1,968,874
         

Municipals – 1.2%

     

Cabazon Band of Mission Indians, CA, Mortgage Notes, 13%, 2011 (a)

   $ 575,000    $ 380,144

Virginia Tobacco Settlement Financing Corp., “A-1”, 6.706%, 2046

     410,000      299,804
         
      $ 679,948
         

Natural Gas - Distribution – 1.3%

     

AmeriGas Partners LP, 7.125%, 2016

   $ 345,000    $ 345,862

Inergy LP, 6.875%, 2014

     450,000      438,750
         
      $ 784,612
         

Natural Gas - Pipeline – 3.0%

     

Atlas Pipeline Partners LP, 8.125%, 2015

   $ 175,000    $ 164,062

Atlas Pipeline Partners LP, 8.75%, 2018

     250,000      233,750

Colorado Interstate Gas Co., 6.8%, 2015

     91,000      102,664

Crosstex Energy, Inc., 8.875%, 2018 (z)

     115,000      116,725

Deutsche Bank (El Paso Performance-Linked Trust, CLN), 7.75%, 2011 (n)

     30,000      31,282

El Paso Corp., 6.875%, 2014

     325,000      327,726

El Paso Corp., 8.25%, 2016

     155,000      164,300

El Paso Corp., 7%, 2017

     90,000      90,276

El Paso Corp., 7.75%, 2032

     90,000      86,961

MarkWest Energy Partners LP, 6.875%, 2014

     210,000      202,650

MarkWest Energy Partners LP, 8.75%, 2018

     40,000      40,500

Williams Cos., Inc., 7.75%, 2031

     159,000      183,129
         
      $ 1,744,025
         

Network & Telecom – 5.3%

     

Cincinnati Bell, Inc., 8.375%, 2014

   $ 300,000    $ 302,250

Cincinnati Bell, Inc., 7%, 2015

     395,000      379,200

Citizens Communications Co., 7.875%, 2027

     325,000      297,375

Citizens Communications Co., 9%, 2031

     70,000      67,900

Nordic Telephone Co. Holdings, 8.25%, 2016 (n)

   EUR   240,000      351,306

Orascom Telecom Finance S.C.A., 7.875%, 2014 (z)

   $ 225,000      198,000

Qwest Communications International, Inc., 8%, 2015 (n)

     105,000      108,675

Qwest Communications International, Inc., 7.125%, 2018 (n)

     205,000      205,000

Qwest Communications International, Inc. “B”, 7.5%, 2014

     250,000      252,500

Qwest Corp., 7.5%, 2014

     145,000      154,425

Qwest Corp., 8.375%, 2016

     105,000      114,975

Windstream Corp., 8.625%, 2016

     675,000      686,812
         
      $ 3,118,418
         

Oil Services – 1.2%

     

Allis-Chalmers Energy, Inc., 8.5%, 2017

   $ 160,000    $ 136,400

Basic Energy Services, Inc., 7.125%, 2016

     65,000      55,250

Expro Finance Luxembourg, 8.5%, 2016 (n)

     200,000      199,000

McJunkin Red Man Holding Corp., 9.5%, 2016 (z)

     210,000      210,525

Trico Shipping A.S., 11.875%, 2014 (n)

     75,000      72,656
         
      $ 673,831
         

 

6


MFS Intermediate High Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 2/28/10 - continued

 

 

Issuer

   Shares/Par    Value ($)

Bonds – continued

     

Oils – 0.2%

     

Petroplus Holdings AG, 9.375%, 2019 (n)

   $ 105,000    $ 92,400
         

Other Banks & Diversified Financials – 0.6%

     

Capital One Financial Corp., 10.25%, 2039

   $ 105,000    $ 119,096

LBG Capital No.1 PLC, 7.875%, 2020 (z)

     130,000      107,900

Santander UK PLC, 8.963% to 2030, FRN to 2049

     95,000      99,275
         
      $ 326,271
         

Precious Metals & Minerals – 0.7%

     

Teck Resources Ltd., 10.25%, 2016

   $ 45,000    $ 53,663

Teck Resources Ltd., 10.75%, 2019

     300,000      369,000
         
      $ 422,663
         

Printing & Publishing – 1.9%

     

American Media Operations, Inc., 9%, 2013 (p)(z)

   $ 25,729    $ 15,714

American Media Operations, Inc., 14%, 2013 (p)(z)

     275,069      163,337

McClatchy Co., 11.5%, 2017 (z)

     180,000      175,500

Morris Publishing, 7%, 2013 (d)

     310,000      102,300

Nielsen Finance LLC, 10%, 2014

     255,000      264,563

Nielsen Finance LLC, 11.5%, 2016

     150,000      167,063

Nielsen Finance LLC, 0% to 2011, 12.5% to 2016

     175,000      158,375

Tribune Co., 5.25%, 2015 (d)

     160,000      48,000
         
      $ 1,094,852
         

Railroad & Shipping – 0.4%

     

Kansas City Southern Railway, 8%, 2015

   $ 210,000    $ 215,250

TFM S.A. de C.V., 9.375%, 2012

     31,000      31,930
         
      $ 247,180
         

Real Estate – 0.3%

     

CB Richard Ellis Group, Inc., 11.625%, 2017

   $ 180,000    $ 198,450
         

Retailers – 4.0%

     

Couche-Tard, Inc., 7.5%, 2013

   $ 70,000    $ 70,350

Dollar General Corp., 11.875%, 2017 (p)

     83,000      96,073

General Nutrition Centers, Inc., FRN, 5.177%, 2014 (p)

     205,000      188,600

Limited Brands, Inc., 5.25%, 2014

     155,000      150,350

Limited Brands, Inc., 6.95%, 2033

     70,000      59,850

Macy’s, Inc., 5.75%, 2014

     300,000      300,750

Macy’s, Inc., 5.9%, 2016

     215,000      208,550

Macy’s, Inc., 6.375%, 2037

     125,000      110,000

Neiman Marcus Group, Inc., 10.375%, 2015

     350,000      348,250

Sally Beauty Holdings, Inc., 10.5%, 2016

     275,000      296,312

Toys “R” Us, Inc., 7.625%, 2011

     70,000      71,400

Toys “R” Us, Inc., 10.75%, 2017 (n)

     280,000      307,300

Toys “R” Us, Inc., 8.5%, 2017 (n)

     145,000      146,450
         
      $ 2,354,235
         

Specialty Chemicals – 0.5%

     

INVISTA, 9.25%, 2012 (n)

   $ 285,000    $ 287,137
         

Specialty Stores – 0.5%

     

Payless ShoeSource, Inc., 8.25%, 2013

   $ 262,000    $ 266,585
         

Supermarkets – 0.2%

     

SUPERVALU, Inc., 8%, 2016

   $ 115,000    $ 115,862
         

Telecommunications - Wireless – 4.3%

     

Cricket Communications, Inc., 7.75%, 2016

   $ 135,000    $ 137,194

Crown Castle International Corp., 9%, 2015

     215,000      232,200

Crown Castle International Corp., 7.75%, 2017 (n)

     105,000      113,662

Crown Castle International Corp., 7.125%, 2019

     210,000      210,000

 

7


MFS Intermediate High Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 2/28/10 - continued

 

Issuer

   Shares/Par    Value ($)

Bonds – continued

     

Telecommunications - Wireless – continued

     

Digicel Group Ltd., 8.25%, 2017 (n)

   $ 235,000    $ 223,250

Nextel Communications, Inc., 6.875%, 2013

     170,000      163,200

NII Holdings, Inc., 10%, 2016 (n)

     160,000      173,600

SBA Communications Corp., 8%, 2016 (n)

     80,000      83,200

SBA Communications Corp., 8.25%, 2019 (n)

     65,000      68,250

Sprint Nextel Corp., 8.375%, 2017

     235,000      227,363

Sprint Nextel Corp., 8.75%, 2032

     400,000      353,000

Wind Acquisition Finance S.A., 12%, 2015 (n)

     515,000      551,050
         
      $ 2,535,969
         

Telephone Services – 0.6%

     

Embarq Corp., 7.995%, 2036

   $ 160,000    $ 170,344

Frontier Communications Corp., 8.125%, 2018

     195,000      194,025
         
      $ 364,369
         

Tobacco – 1.1%

     

Alliance One International, Inc., 10%, 2016 (n)

   $ 155,000    $ 161,200

Alliance One International, Inc., 10%, 2016 (n)

     80,000      83,200

Reynolds American, Inc., 7.625%, 2016

     345,000      389,436
         
      $ 633,836
         

Transportation - Services – 2.3%

     

Commercial Barge Line Co., 12.5%, 2017

   $ 195,000    $ 203,775

Eurocar Groupe S.A., FRN, 4.162%, 2013 (n)

   EUR   300,000      365,603

Hertz Corp., 8.875%, 2014

   $ 555,000      563,325

Quality Distribution, Inc., 9%, 2010

     265,000      238,500
         
      $ 1,371,203
         

Utilities - Electric Power – 6.9%

     

AES Corp., 8%, 2017

   $ 505,000    $ 501,844

Calpine Corp., 8%, 2016 (n)

     415,000      420,188

Dynegy Holdings, Inc., 7.5%, 2015

     125,000      108,750

Dynegy Holdings, Inc., 7.125%, 2018

     540,000      415,800

Dynegy Holdings, Inc., 7.75%, 2019

     55,000      43,175

Edison Mission Energy, 7%, 2017

     410,000      300,325

Energy Future Holdings, 10%, 2020 (n)

     130,000      132,600

Mirant North America LLC, 7.375%, 2013

     340,000      338,725

NRG Energy, Inc., 7.375%, 2016

     665,000      655,856

NRG Energy, Inc., 7.375%, 2017

     245,000      241,019

RRI Energy, Inc., 7.875%, 2017

     188,000      175,780

Texas Competitive Electric Holdings LLC, 10.25%, 2015

     970,000      724,978
         
      $ 4,059,040
         

Total Bonds

      $ 72,015,055
         

Floating Rate Loans (g)(r) – 4.4%

     

Aerospace – 0.2%

     

Hawker Beechcraft Acquisition Co. LLC, Term Loan, 10.5%, 2014

   $ 108,088    $ 98,698
         

Automotive – 1.5%

     

Federal-Mogul Corp., Term Loan B, 2.16%, 2014

   $ 268,331    $ 234,706

Ford Motor Co., Term Loan B, 3.25%, 2013

     686,355      641,170
         
      $ 875,876
         

Broadcasting – 0.8%

     

Gray Television, Inc., Term Loan B, 3.75%, 2014

   $ 110,011    $ 98,900

Local TV Finance LLC, Term Loan B, 2.26%, 2013

     15,550      13,451

Young Broadcasting, Inc., Incremental Term Loan, 4.75%, 2012 (d)

     109,414      88,990

Young Broadcasting, Inc., Term Loan, 4.75%, 2012 (d)

     308,618      251,009
         
      $ 452,350
         

 

8


MFS Intermediate High Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 2/28/10 - continued

 

Issuer

   Shares/Par    Value ($)

Floating Rate Loans (g)(r) – continued

     

Building – 0.1%

     

Building Materials Holding Corp., Term Loan, 3%, 2014

   $ 30,208    $ 29,415
         

Chemicals – 0.7%

     

LyondellBasell, DIP Term Loan, 9.16%, 2010 (q)

   $ 37,413    $ 38,938

LyondellBasell, DIP Term Loan B-3, 5.79%, 2010

     120,665      125,974

LyondellBasell, Dutch Tranche Revolving Credit Loan, 3.72%, 2014

     6,624      4,635

LyondellBasell, Dutch Tranche Term Loan, 3.72%, 2014

     14,993      10,491

LyondellBasell, German Tranche Term Loan B-1, 3.97%, 2014

     19,016      13,306

LyondellBasell, German Tranche Term Loan B-2, 3.97%, 2014

     19,016      13,306

LyondellBasell, German Tranche Term Loan B-3, 3.97%, 2014

     19,016      13,306

LyondellBasell, U.S. Tranche Revolving Credit Loan, 3.72%, 2014

     24,839      17,380

LyondellBasell, U.S. Tranche Term Loan, 3.72%, 2014

     47,325      33,114

LyondellBasell, U.S. Tranche Term Loan B-1, 7%, 2014

     82,515      57,737

LyondellBasell, U.S. Tranche Term Loan B-2, 7%, 2014

     82,515      57,737

LyondellBasell, U.S. Tranche Term Loan B-3, 7%, 2014

     82,515      57,737
         
      $ 443,661
         

Gaming & Lodging – 0.1%

     

Green Valley Ranch Gaming LLC, Second Lien Term Loan, 3.5%, 2014 (a)

   $ 525,000    $ 52,500
         

Printing & Publishing – 0.4%

     

Tribune Co., Incremental Term Loan B, 5.25%, 2014 (d)

   $ 410,906    $ 237,042
         

Specialty Stores – 0.3%

     

Michaels Stores, Inc., Term Loan B1, 2.51%, 2013

   $ 96,174    $ 86,617

Michaels Stores, Inc., Term Loan B2, 4.76%, 2016

     126,813      120,807
         
      $ 207,424
         

Utilities - Electric Power – 0.3%

     

Texas Competitive Electric Holdings Co. LLC, Term Loan B-3, 3.72%, 2014

   $ 217,016    $ 173,613
         

Total Floating Rate Loans

      $ 2,570,579
         

Common Stocks – 1.0%

     

Automotive – 0.1%

     

Accuride Corp. (a)

     35,636    $ 46,327
         

Broadcasting – 0.1%

     

Dex One Corp. (a)

     2,252    $ 67,110

Supermedia, Inc. (a)

     250      10,500
         
      $ 77,610
         

Cable TV – 0.3%

     

Cablevision Systems Corp., “A”

     4,000    $ 96,320

Time Warner Cable, Inc.

     1,300      60,697
         
      $ 157,017
         

Construction – 0.2%

     

Nortek, Inc. (a)

     4,005    $ 148,185
         

Gaming & Lodging – 0.2%

     

Ameristar Casinos, Inc.

     2,100    $ 31,689

Pinnacle Entertainment, Inc. (a)

     8,100      58,563
         
      $ 90,252
         

Printing & Publishing – 0.1%

     

American Media, Inc. (a)

     4,713    $ 13,525

World Color Press, Inc. (a)

     1,658      18,238
         
      $ 31,763
         

Special Products & Services – 0.0%

     

Mark IV Industries LLC, Common Units, “A” (a)

     207    $ 5,175
         

Trucking – 0.0%

     

Quality Distribution, Inc. (a)

     2,687    $ 11,044
         

 

9


MFS Intermediate High Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 2/28/10 - continued

 

Issuer

             Shares/Par    Value ($)  

Common Stocks – continued

           

Total Common Stocks

            $ 567,373   
                 

Preferred Stocks – 0.5%

           

Financial Institutions – 0.3%

           

GMAC, Inc., 7% (z)

           229    $ 162,082   
                 

Major Banks – 0.2%

           

Bank of America Corp., 8.625%

           4,900    $ 123,088   
                 

Total Preferred Stocks

            $ 285,170   
                 

Convertible Bonds – 0.1%

           

Automotive – 0.1%

           

Accuride Corp., 7.5%, 2020

         $ 50,909    $ 88,636   
                 
     Strike Price    First Exercise            

Warrants – 0.0%

           

Cable TV – 0.0%

           

SIRIUS XM Radio, Inc. (0.024759 shares for 1 warrant) (a)

   $ 9.83    9/16/00      600    $ 36   

Printing & Publishing – 0.0%

           

World Color Press, Inc. (1 share for 1 warrant) (a)

   $ 13.00    8/26/09      940    $ 4,944   

World Color Press, Inc. (1 share for 1 warrant) (a)

   $ 16.30    8/26/09      940      3,572   
                 
            $ 8,516   
                 

Telephone Services – 0.0%

           

Jazztel PLC (6 shares for 1 warrant) (a)(z)

   EUR   204.6    7/05/00      350    $ 0   
                 

Total Warrants

            $ 8,552   
                 

Money Market Funds (v) – 4.7%

           

MFS Institutional Money Market Portfolio, 0.14%, at Net Asset Value

           2,721,758    $ 2,721,758   
                 

Total Investments

            $ 78,257,123   
                 

Other Assets, Less Liabilities (33.8)%

              (19,769,523
                 

Net Assets – 100.0%

            $ 58,487,600   
                 

 

(a) Non-income producing security.
(d) Non-income producing security - in default.
(g) The rate shown represents a weighted average coupon rate on settled positions at period end, unless otherwise indicated.
(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 $13,877,691, representing 23.7% of net assets.
(p) Payment-in-kind security.
(q) All or a portion of this position represents an unfunded loan commitment. The rate shown represents a weighted average coupon rate on the full position, including the unfunded loan commitment which has no current coupon rate.
(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 fund that is available only to investment companies managed by MFS. The rate quoted 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    Current
Market Value

American Media Operations, Inc., 9%, 2013

   1/29/09 - 10/15/09    $ 16,278    $ 15,714

American Media Operations, Inc., 14%, 2013

   1/29/09 - 10/15/09      150,926      163,337

Banc of America Commercial Mortgage, Inc., FRN, 6.209%, 2051

   6/19/08      325,497      116,954

Bonten Media Acquisition Co., 9%, 2015

   6/26/09 - 11/15/09      42,671      50,442

 

10


MFS Intermediate High Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 2/28/10 - continued

 

Restricted Securities

  

Acquisition

Date

   Cost    Current
Market Value
 

Building Materials Holding Corp., 7%, 2020

   2/02/10    $ 155,000    $ 155,000   

Cablevision Systems Corp., 8.625%, 2017

   4/15/08      72,800      72,100   

Credit Acceptance Corp., 9.125%, 2017

   1/25/10      131,645      134,325   

Crosstex Energy, Inc., 8.875%, 2018

   2/03/10      112,604      116,725   

Freescale Semiconductor, Inc., 10.125%, 2018

   2/09/10      105,000      106,050   

GMAC, Inc., 7% (Preferred Stock)

   12/26/08      176,330      162,082   

Jazztel PLC (Warrants)

   11/29/00      602      0   

LBG Capital No.1 PLC, 7.875%, 2020

   1/08/10      117,000      107,900   

LBI Media, Inc., 8.5%, 2017

   7/18/07      147,525      126,750   

Libbey Glass, Inc., 10%, 2015

   1/28/10 - 2/24/10      117,685      119,025   

Local TV Finance LLC, 10%, 2015

   5/02/07 - 11/30/09      463,575      253,906   

McClatchy Co., 11.5%, 2017

   2/04/10 - 2/08/10      177,770      175,500   

McJunkin Red Man Holding Corp., 9.5%, 2016

   1/21/10 - 2/24/10      212,550      210,525   

Orascom Telecom Finance S.C.A., 7.875%, 2014

   2/01/07      225,000      198,000   

Oshkosh Corp., 8.25%, 2017

   2/26/10      30,000      30,000   

Oshkosh Corp., 8.5%, 2020

   2/26/10      30,000      30,000   

Ply Gem Industries, Inc., 13.125%, 2014

   1/06/10      179,707      185,925   

USI Holdings Corp., 9.75%, 2015

   4/26/07 - 9/13/07      548,500      527,563   

ZFS Finance USA Trust II, 6.45%, 2065

   12/16/09      437,500      450,000   
              

Total Restricted Securities

         $ 3,507,823   

% of Net Assets

           6.0

The following abbreviations are used in this report and are defined:

 

CLN

   Credit-Linked Note

DIP

   Debtor-in-Possession

FRN

   Floating Rate Note. Interest rate resets periodically and may not be the rate reported at period end.

PLC

   Public Limited Company

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

See attached supplemental information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.

 

11


MFS Intermediate High Income Fund

Supplemental Information (Unaudited) 2/28/10

(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. 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. Equity securities held short, for which there were no sales reported for that day, are generally valued at the last quoted daily ask quotation as provided by a third-party pricing service on the market or exchange on which such securities are primarily traded. 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 contracts are generally valued at the mean of bid and asked prices for the time period interpolated from rates provided by a third-party pricing service for proximate time periods. Open-end investment companies are generally valued at net asset value per share. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. Values obtained from third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.

The Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments (including any fair valuation) to the adviser pursuant to valuation policies and procedures approved by the Board. If the adviser determines that reliable market quotations are not readily available, investments are valued at fair value as determined in good faith by the adviser in accordance with such procedures under the oversight of the Board of Trustees. Under the fund’s valuation policies and procedures, market quotations are not considered to be readily available for most types of debt instruments and floating rate loans and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services. In addition, investments may be valued at fair value if the adviser determines that an investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund’s net asset value, or after the halting of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. Events that occur on a frequent basis after foreign markets close (such as developments in foreign markets and significant movements in the U.S. markets) and prior to the determination of the fund’s net asset value may be deemed to have a material effect on the value of securities traded in foreign markets. Accordingly, the fund’s foreign equity securities may often be valued at fair value. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.

Various inputs are used in determining the value of the fund’s assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments not reflected in total investments, such as futures, forwards, swap contracts, and written options.

 

12


MFS Intermediate High Income Fund

Supplemental Information (Unaudited) 2/28/10 - continued

 

(1) Investment Valuations - continued

The following is a summary of the levels used as of February 28, 2010 in valuing the fund’s assets or liabilities:

 

Investments at Value

   Level 1    Level 2    Level 3    Total

Equity Securities

   $ 532,092    $ 315,478    $ 13,525    $ 861,095

Municipal Bonds

     —        679,948      —        679,948

Corporate Bonds

     —        63,186,104      —        63,186,104

Commercial Mortgage-Backed Securities

     —        1,221,847      —        1,221,847

Foreign Bonds

     —        6,984,510      —        6,984,510

Floating Rate Loans

     —        2,570,579      —        2,570,579

Other Fixed Income Securities

     —        31,282      —        31,282

Mutual Funds

     2,721,758      —        —        2,721,758
                           

Total Investments

   $ 3,253,850    $ 74,989,748    $ 13,525    $ 78,257,123
                           

Other Financial Instruments

                   

Forward Currency Contracts

     —      $ 129,720      —      $ 129,720

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 table presents the activity of Level 3 securities held at the beginning and the end of the period.

 

     Equity Securities

Balance as of 11/30/09

   $ 6,315

Accrued discounts/premiums

     —  

Realized gain (loss)

     —  

Change in unrealized appreciation (depreciation)

     7,210

Net purchases (sales)

     —  

Transfers in and/or out of Level 3

     —  
      

Balance as of 2/28/10

   $ 13,525
      

The net change in unrealized appreciation (depreciation) from investments still held as Level 3 at February 28, 2010 is $7,210.

In January 2010, Accounting Standards Update (ASU) No. 2010-06, Improving Disclosures about Fair Value Measurements (the “Update”) was issued, and is effective for interim and annual reporting periods beginning after December 15, 2009. This Update provides for expanded disclosures about fair value measurements. Management has evaluated the application of the Update to the fund, and believes the impact is limited to expanded disclosures resulting from the adoption of this Update in the fund’s financial statements.

 

13


MFS Intermediate High Income Fund

Supplemental Information (Unaudited) 2/28/10 - continued

 

(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

   $ 82,372,722   
        

Gross unrealized appreciation

   $ 3,687,457   

Gross unrealized depreciation

     (7,803,056
        

Net unrealized appreciation (depreciation)

   $ (4,115,599
        

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

(3) Derivative Contracts at 2/28/10

Forward Foreign Currency Exchange Contracts at 2/28/10

 

Type

   Currency   

Counterparty

   Contracts to
Deliver/Receive
   Settlement Date
Range
   In Exchange For    Contracts
at Value
   Net Unrealized
Appreciation
(Depreciation)
 

Asset Derivatives

              

SELL

   EUR    Barclays Bank PLC    204,000    3/15/10    $ 298,658    $ 277,771    $ 20,887   

SELL

   EUR    HSBC Bank    108,758    3/15/10      154,507      148,087      6,420   

SELL

   EUR    UBS AG    1,108,450    3/15/10      1,619,446      1,509,293      110,153   
                          
                     $ 137,460   
                          

Liability Derivatives

              

BUY

   EUR    Barclays Bank PLC    249,054    3/15/10    $ 345,426    $ 339,118    $ (6,308

BUY

   EUR    Goldman Sachs International    49,974    3/15/10      69,478      68,046      (1,432
                          
                     $ (7,740
                          

At February 28, 2010, the fund had sufficient cash and/or other liquid securities to cover any commitments under these derivative contracts.

(4) Transactions in Underlying 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 Funds

   Beginning
Shares/Par
Amount
   Acquisitions
Shares/Par
Amount
   Dispositions
Shares/Par
Amount
    Ending
Shares/Par
Amount

MFS Institutional Money Market Portfolio

     1,330,053      7,070,197      (5,678,492     2,721,758

Underlying Funds

   Realized
Gain
(Loss)
   Capital Gain
Distributions
   Dividend
Income
    Ending
Value

MFS Institutional Money Market Portfolio

   $ —      $ —      $ 565      $ 2,721,758

 

14


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 Agreement and 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 HIGH INCOME FUND

 

By (Signature and Title)*    MARIA F. DWYER
  Maria F. Dwyer, President

Date: April 16, 2010

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)*    MARIA F. DWYER
  Maria F. Dwyer, President (Principal Executive Officer)

Date: April 16, 2010

 

By (Signature and Title)*    JOHN M. CORCORAN
 

John M. Corcoran, Treasurer

(Principal Financial Officer

and Accounting Officer)

Date: April 16, 2010

 

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