UNITED STATES
SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-02794
MFS SERIES TRUST III
(Exact name of registrant as specified in charter)
111 Huntington Avenue, Boston, Massachusetts 02199 (Address of principal executive offices) (Zip code)
Christopher R. Bohane
Massachusetts Financial Services Company
111Huntington 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: January 31
Date of reporting period: July 31, 2023
ITEM 1. REPORTS TO STOCKHOLDERS.
Item 1(a):
Semiannual Report
July 31, 2023
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The report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a current prospectus.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Portfolio structure (i)
Top five industries (i)
| Cable TV | 8.4% |
| Medical & Health Technology & Services | 4.5% |
| Midstream | 4.2% |
| Consumer Services | 4.2% |
| Energy - Independent | 3.7% |
Composition including fixed income credit quality (a)(i)
| BBB | 1.8% |
| BB | 41.1% |
| B | 38.8% |
| CCC | 12.3% |
| U.S. Government | 0.5% |
| Not Rated | 2.0% |
| Non-Fixed Income | (0.5)% |
| Cash & Cash Equivalents | 5.2% |
| Other | (1.2)% |
Portfolio facts
| Average Duration (d) | 3.6 |
| Average Effective Maturity (m) | 4.9 yrs. |
| (a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change. Not Rated includes fixed income securities and fixed income derivatives that have not been rated by any rating agency. Non-Fixed Income includes equity securities (including convertible bonds and equity derivatives), ETFs and Options on ETFs, and/or commodity-linked derivatives. The fund may or may not have held all of these instruments on this date. The fund is not rated by these agencies. |
Portfolio Composition - continued
| (d) | Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value due to the interest rate move. The Average Duration calculation reflects the impact of the equivalent exposure of derivative positions, if any. |
| (f) | The fund invests a portion of its assets in Exchange-Traded Funds (ETFs) or Options on ETFs to gain fixed income exposure. Percentages include the direct exposure from investing in ETFs or Options on ETFs and not the indirect exposure to the underlying holdings. |
| (i) | For purposes of this presentation, the components include the value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include any accrued interest amounts. |
| (m) | In determining each instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening feature (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity. |
Where the fund holds convertible bonds, they are treated as part of the equity portion of the portfolio.
Cash & Cash Equivalents includes any cash, investments in money market funds, short-term securities, and other assets less liabilities. Please see the Statement of Assets and Liabilities for additional information related to the fund’s cash position and other assets and liabilities.
Other includes equivalent exposure from currency derivatives and/or any offsets to derivative positions and may be negative.
Percentages are based on net assets as of July 31, 2023.
The portfolio is actively managed and current holdings may be different.
Expense Table
Fund expenses borne by the shareholders during the period,
February 1, 2023 through July 31, 2023
As a shareholder of the fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on certain purchase or redemption payments, and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period February 1, 2023 through July 31, 2023.
Actual Expenses
The first line for each share class in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line for each share class in the following table provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line for each share class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Expense Table - continued
Share
Class | | Annualized
Expense
Ratio | Beginning
Account Value
2/01/23 | Ending
Account Value
7/31/23 | Expenses
Paid During
Period (p)
2/01/23-7/31/23 |
| A | Actual | 0.87% | $1,000.00 | $1,022.10 | $4.36 |
| Hypothetical (h) | 0.87% | $1,000.00 | $1,020.48 | $4.36 |
| B | Actual | 1.62% | $1,000.00 | $1,021.74 | $8.12 |
| Hypothetical (h) | 1.62% | $1,000.00 | $1,016.76 | $8.10 |
| C | Actual | 1.62% | $1,000.00 | $1,018.32 | $8.11 |
| Hypothetical (h) | 1.62% | $1,000.00 | $1,016.76 | $8.10 |
| I | Actual | 0.62% | $1,000.00 | $1,023.34 | $3.11 |
| Hypothetical (h) | 0.62% | $1,000.00 | $1,021.72 | $3.11 |
| R1 | Actual | 1.62% | $1,000.00 | $1,021.74 | $8.12 |
| Hypothetical (h) | 1.62% | $1,000.00 | $1,016.76 | $8.10 |
| R2 | Actual | 1.12% | $1,000.00 | $1,024.26 | $5.62 |
| Hypothetical (h) | 1.12% | $1,000.00 | $1,019.24 | $5.61 |
| R3 | Actual | 0.87% | $1,000.00 | $1,025.54 | $4.37 |
| Hypothetical (h) | 0.87% | $1,000.00 | $1,020.48 | $4.36 |
| R4 | Actual | 0.62% | $1,000.00 | $1,026.77 | $3.12 |
| Hypothetical (h) | 0.62% | $1,000.00 | $1,021.72 | $3.11 |
| R6 | Actual | 0.51% | $1,000.00 | $1,023.93 | $2.56 |
| Hypothetical (h) | 0.51% | $1,000.00 | $1,022.27 | $2.56 |
| (h) | 5% class return per year before expenses. |
| (p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Portfolio of Investments
7/31/23 (unaudited)
The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.
| Issuer | | | Shares/Par | Value ($) |
| Bonds – 93.1% |
| Aerospace & Defense – 2.8% |
| Bombardier, Inc., 7.5%, 3/15/2025 (n) | | $ | 1,206,000 | $1,210,241 |
| Bombardier, Inc., 7.125%, 6/15/2026 (n) | | | 3,609,000 | 3,580,509 |
| Bombardier, Inc., 7.5%, 2/01/2029 (n) | | | 1,576,000 | 1,561,385 |
| F-Brasile S.p.A./F-Brasile U.S. LLC, 7.375%, 8/15/2026 (n) | | | 5,985,000 | 5,501,605 |
| Moog, Inc., 4.25%, 12/15/2027 (n) | | | 6,263,000 | 5,803,546 |
| Spirit AeroSystems, Inc., 4.6%, 6/15/2028 | | | 6,293,000 | 5,354,011 |
| TransDigm, Inc., 6.25%, 3/15/2026 (n) | | | 5,657,000 | 5,626,543 |
| TransDigm, Inc., 6.375%, 6/15/2026 | | | 4,135,000 | 4,092,704 |
| TransDigm, Inc., 5.5%, 11/15/2027 | | | 6,735,000 | 6,383,535 |
| TransDigm, Inc., 6.75%, 8/15/2028 (n) | | | 5,455,000 | 5,471,278 |
| TransDigm, Inc., 4.625%, 1/15/2029 | | | 5,578,000 | 4,978,365 |
| | | | | $49,563,722 |
| Airlines – 0.5% |
| Air Canada, 3.875%, 8/15/2026 (n) | | $ | 6,030,000 | $5,595,600 |
| American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 4/20/2029 (n) | | | 3,639,578 | 3,523,543 |
| | | | | $9,119,143 |
| Asset-Backed & Securitized – 0.0% |
| COBALT CMBS Commercial Mortgage Trust, 2006-2A, “F”, CDO, FLR, 5.63% ((SOFR - 3mo. + 0.26161%) + 1.3% Cash or PIK) to 4/26/2050 (a)(n)(p) | | $ | 829,378 | $83 |
| COBALT CMBS Commercial Mortgage Trust, 2006-2A, “G”, CDO, FLR, 5.83% ((SOFR - 3mo. + 0.26161%) + 1.5% Cash or PIK) to 4/26/2050 (a)(n)(p) | | | 2,640,638 | 264 |
| | | | | $347 |
| Automotive – 2.7% |
| Clarios Global LP/Clarios U.S. Finance Co., 8.5%, 5/15/2027 (n) | | $ | 5,581,000 | $5,650,690 |
| Clarios Global LP/Clarios U.S. Finance Co., 6.75%, 5/15/2028 (n) | | | 2,546,000 | 2,557,363 |
| Dana, Inc., 5.375%, 11/15/2027 | | | 4,884,000 | 4,676,940 |
| Dana, Inc., 4.25%, 9/01/2030 | | | 3,189,000 | 2,725,046 |
| Dornoch Debt Merger Sub, Inc., 6.625%, 10/15/2029 (n) | | | 5,301,000 | 4,544,801 |
| Ford Motor Co., 5.113%, 5/03/2029 | | | 7,835,000 | 7,316,085 |
| Ford Motor Credit Co. LLC, 4.134%, 8/04/2025 | | | 16,274,000 | 15,522,086 |
| Real Hero Merger Sub 2, Inc., 6.25%, 2/01/2029 (n) | | | 4,358,000 | 3,515,558 |
| | | | | $46,508,569 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Broadcasting – 1.1% |
| Gray Escrow II, Inc., 5.375%, 11/15/2031 (n) | | $ | 8,713,000 | $6,079,888 |
| Gray Television, Inc., 5.875%, 7/15/2026 (n) | | | 1,043,000 | 938,911 |
| Midas OpCo Holdings LLC, 5.625%, 8/15/2029 (n) | | | 6,692,000 | 5,693,989 |
| Summer (BC) Bidco B LLC, 5.5%, 10/31/2026 (n) | | | 6,155,000 | 5,241,689 |
| Summer (BC) Holdco S.à r.l., “A”, 9.25%, 10/31/2027 | | EUR | 590,189 | 522,375 |
| | | | | $18,476,852 |
| Brokerage & Asset Managers – 1.6% |
| AG Issuer LLC, 6.25%, 3/01/2028 (n) | | $ | 1,033,000 | $996,429 |
| AG TTMT Escrow Issuer LLC, 8.625%, 9/30/2027 (n) | | | 6,699,000 | 6,907,332 |
| Aretec Escrow Issuer, Inc., 7.5%, 4/01/2029 (n) | | | 6,284,000 | 5,659,144 |
| LPL Holdings, Inc., 4.375%, 5/15/2031 (n) | | | 4,053,000 | 3,563,419 |
| NFP Corp., 4.875%, 8/15/2028 (n) | | | 5,382,000 | 4,843,225 |
| NFP Corp., 6.875%, 8/15/2028 (n) | | | 5,763,000 | 5,100,907 |
| | | | | $27,070,456 |
| Building – 3.2% |
| Foundation Building Materials LLC, 6%, 3/01/2029 (n) | | $ | 6,382,000 | $5,527,533 |
| GYP Holding III Corp., 4.625%, 5/01/2029 (n) | | | 7,687,000 | 6,866,028 |
| Interface, Inc., 5.5%, 12/01/2028 (n) | | | 9,062,000 | 7,598,973 |
| MIWD Holdco II LLC/MIWD Finance Co., 5.5%, 2/01/2030 (n) | | | 5,263,000 | 4,447,235 |
| New Enterprise Stone & Lime Co., Inc., 9.75%, 7/15/2028 (n) | | | 5,042,000 | 4,962,206 |
| Patrick Industries, Inc., 7.5%, 10/15/2027 (n) | | | 7,298,000 | 7,170,285 |
| SRS Distribution, Inc., 6.125%, 7/01/2029 (n) | | | 3,778,000 | 3,314,998 |
| Standard Industries, Inc., 2.25%, 11/21/2026 | | EUR | 1,545,000 | 1,514,062 |
| Standard Industries, Inc., 4.75%, 1/15/2028 (n) | | $ | 3,317,000 | 3,090,373 |
| Standard Industries, Inc., 4.375%, 7/15/2030 (n) | | | 6,602,000 | 5,731,098 |
| White Cap Buyer LLC, 6.875%, 10/15/2028 (n) | | | 6,065,000 | 5,464,030 |
| | | | | $55,686,821 |
| Business Services – 1.3% |
| Entegris Escrow Corp., 5.95%, 6/15/2030 (n) | | $ | 2,890,000 | $2,771,476 |
| Iron Mountain, Inc., 4.875%, 9/15/2027 (n) | | | 4,410,000 | 4,136,403 |
| Iron Mountain, Inc., 5.25%, 3/15/2028 (n) | | | 3,830,000 | 3,592,588 |
| Verscend Escrow Corp., 9.75%, 8/15/2026 (n) | | | 7,214,000 | 7,234,531 |
| ZI Technologies LLC/ZI Finance Corp. Co., 3.875%, 2/01/2029 (n) | | | 6,250,000 | 5,368,337 |
| | | | | $23,103,335 |
| Cable TV – 8.3% |
| Cable One, Inc., 4%, 11/15/2030 (n) | | $ | 9,183,000 | $7,254,570 |
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027 (n) | | | 4,664,000 | 4,375,756 |
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, 3/01/2030 (n) | | | 21,438,000 | 18,581,749 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Cable TV – continued |
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, 8/15/2030 (n) | | $ | 11,414,000 | $9,671,047 |
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, 2/01/2031 (n) | | | 7,525,000 | 6,186,241 |
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, 1/15/2034 (n) | | | 5,082,000 | 3,906,130 |
| CSC Holdings LLC, 5.375%, 2/01/2028 (n) | | | 8,240,000 | 6,880,964 |
| CSC Holdings LLC, 7.5%, 4/01/2028 (n) | | | 4,200,000 | 2,594,832 |
| CSC Holdings LLC, 5.75%, 1/15/2030 (n) | | | 7,090,000 | 3,670,331 |
| CSC Holdings LLC, 4.125%, 12/01/2030 (n) | | | 2,225,000 | 1,608,731 |
| DISH DBS Corp., 7.75%, 7/01/2026 | | | 3,815,000 | 2,466,397 |
| DISH DBS Corp., 5.25%, 12/01/2026 (n) | | | 4,675,000 | 3,828,849 |
| DISH DBS Corp., 5.125%, 6/01/2029 | | | 3,990,000 | 2,004,975 |
| DISH Network Corp., 11.75%, 11/15/2027 (n) | | | 2,540,000 | 2,556,708 |
| LCPR Senior Secured Financing DAC, 6.75%, 10/15/2027 (n) | | | 7,318,000 | 6,844,455 |
| LCPR Senior Secured Financing DAC, 5.125%, 7/15/2029 (n) | | | 1,905,000 | 1,575,292 |
| Sirius XM Radio, Inc., 4%, 7/15/2028 (n) | | | 5,041,000 | 4,386,084 |
| Sirius XM Radio, Inc., 5.5%, 7/01/2029 (n) | | | 12,173,000 | 11,122,094 |
| Sirius XM Radio, Inc., 3.875%, 9/01/2031 (n) | | | 4,607,000 | 3,607,082 |
| Telenet Finance Luxembourg S.A., 5.5%, 3/01/2028 (n) | | | 11,000,000 | 10,056,200 |
| Videotron Ltd., 5.125%, 4/15/2027 (n) | | | 4,027,000 | 3,883,124 |
| Videotron Ltd., 3.625%, 6/15/2029 (n) | | | 3,653,000 | 3,178,110 |
| Virgin Media Finance PLC, 5%, 7/15/2030 (n) | | | 8,520,000 | 6,991,104 |
| Virgin Media Vendor Financing Notes IV DAC, 5%, 7/15/2028 (n) | | | 8,403,000 | 7,394,928 |
| Ziggo Bond Finance B.V., 5.125%, 2/28/2030 (n) | | | 11,765,000 | 9,294,340 |
| | | | | $143,920,093 |
| Chemicals – 3.1% |
| Axalta Coating Systems Ltd., 4.75%, 6/15/2027 (n) | | $ | 5,414,000 | $5,163,305 |
| Axalta Coating Systems Ltd., 3.375%, 2/15/2029 (n) | | | 4,349,000 | 3,722,020 |
| Element Solutions, Inc., 3.875%, 9/01/2028 (n) | | | 8,098,000 | 7,156,733 |
| Ingevity Corp., 3.875%, 11/01/2028 (n) | | | 10,280,000 | 8,872,797 |
| LSF11 A5 HoldCo LLC, 6.625%, 10/15/2029 (n) | | | 5,964,000 | 4,979,767 |
| S.P.C.M. S.A., 3.375%, 3/15/2030 (n) | | | 6,669,000 | 5,524,454 |
| SCIH Salt Holdings, Inc., 6.625%, 5/01/2029 (n) | | | 4,188,000 | 3,639,034 |
| SCIL IV LLC/SCIL USA Holdings LLC, 9.5%, 7/15/2028 (n) | | EUR | 4,709,000 | 5,270,016 |
| Tronox, Inc., 4.625%, 3/15/2029 (n) | | $ | 1,583,000 | 1,312,272 |
| Windsor Holdings III, LLC, 8.5%, 6/15/2030 (n) | | | 7,879,000 | 7,918,395 |
| | | | | $53,558,793 |
| Computer Software – 1.1% |
| Camelot Finance S.A., 4.5%, 11/01/2026 (n) | | $ | 4,372,000 | $4,123,490 |
| Clarivate Science Holdings Corp., 3.875%, 7/01/2028 (n) | | | 1,950,000 | 1,738,176 |
| Clarivate Science Holdings Corp., 4.875%, 7/01/2029 (n) | | | 3,622,000 | 3,217,428 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Computer Software – continued |
| Dun & Bradstreet Corp., 5%, 12/15/2029 (n) | | $ | 5,809,000 | $5,113,148 |
| Neptune Bidco U.S., Inc., 9.29%, 4/15/2029 (n) | | | 6,279,000 | 5,775,766 |
| | | | | $19,968,008 |
| Computer Software - Systems – 1.7% |
| Fair Isaac Corp., 5.25%, 5/15/2026 (n) | | $ | 10,153,000 | $9,962,631 |
| Sabre GLBL, Inc., 7.375%, 9/01/2025 (n) | | | 2,594,000 | 2,341,085 |
| Sabre GLBL, Inc., 11.25%, 12/15/2027 (n) | | | 2,577,000 | 2,279,872 |
| SS&C Technologies Holdings, Inc., 5.5%, 9/30/2027 (n) | | | 10,611,000 | 10,251,081 |
| Virtusa Corp., 7.125%, 12/15/2028 (n) | | | 5,072,000 | 4,248,485 |
| | | | | $29,083,154 |
| Conglomerates – 3.5% |
| BWX Technologies, Inc., 4.125%, 6/30/2028 (n) | | $ | 4,184,000 | $3,808,214 |
| BWX Technologies, Inc., 4.125%, 4/15/2029 (n) | | | 10,769,000 | 9,665,178 |
| Chart Industries, Inc., 9.5%, 1/01/2031 (n) | | | 6,226,000 | 6,677,385 |
| Emerald Debt Merger, 6.625%, 12/15/2030 (n) | | | 8,938,000 | 8,882,138 |
| Gates Global LLC, 6.25%, 1/15/2026 (n) | | | 7,527,000 | 7,433,255 |
| Griffon Corp., 5.75%, 3/01/2028 | | | 6,524,000 | 6,140,130 |
| Madison IAQ LLC, 5.875%, 6/30/2029 (n) | | | 5,538,000 | 4,645,198 |
| Regal Rexnord Corp., 6.3%, 2/15/2030 (n) | | | 4,286,000 | 4,278,972 |
| TriMas Corp., 4.125%, 4/15/2029 (n) | | | 11,503,000 | 10,151,632 |
| | | | | $61,682,102 |
| Construction – 0.8% |
| Empire Communities Corp., 7%, 12/15/2025 (n) | | $ | 4,458,000 | $4,284,774 |
| Mattamy Group Corp., 5.25%, 12/15/2027 (n) | | | 2,630,000 | 2,486,893 |
| Mattamy Group Corp., 4.625%, 3/01/2030 (n) | | | 4,490,000 | 3,938,605 |
| Weekley Homes LLC/Weekley Finance Corp., 4.875%, 9/15/2028 (n) | | | 4,627,000 | 4,152,934 |
| | | | | $14,863,206 |
| Consumer Products – 2.2% |
| Energizer Gamma Acquisition B.V., 3.5%, 6/30/2029 | | EUR | 3,000,000 | $2,689,643 |
| Energizer Holdings, Inc., 4.375%, 3/31/2029 (n) | | $ | 6,560,000 | 5,686,339 |
| Mattel, Inc., 3.375%, 4/01/2026 (n) | | | 5,571,000 | 5,179,473 |
| Mattel, Inc., 5.875%, 12/15/2027 (n) | | | 1,696,000 | 1,663,035 |
| Newell Brands, Inc., 6.375%, 9/15/2027 | | | 7,300,000 | 7,181,375 |
| Newell Brands, Inc., 6.625%, 9/15/2029 | | | 3,153,000 | 3,149,578 |
| Prestige Consumer Healthcare, Inc., 5.125%, 1/15/2028 (n) | | | 5,270,000 | 5,032,850 |
| Prestige Consumer Healthcare, Inc., 3.75%, 4/01/2031 (n) | | | 3,865,000 | 3,246,600 |
| Spectrum Brands, Inc., 3.875%, 3/15/2031 (n) | | | 3,693,000 | 3,045,826 |
| SWF Escrow Issuer Corp., 6.5%, 10/01/2029 (n) | | | 3,401,000 | 2,100,208 |
| | | | | $38,974,927 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Consumer Services – 4.1% |
| Allied Universal Holdco LLC, 9.75%, 7/15/2027 (n) | | $ | 7,117,000 | $6,526,921 |
| Allied Universal Holdco LLC, 6%, 6/01/2029 (n) | | | 3,155,000 | 2,406,712 |
| ANGI Group LLC, 3.875%, 8/15/2028 (n) | | | 7,467,000 | 6,270,751 |
| Arches Buyer, Inc., 6.125%, 12/01/2028 (n) | | | 5,270,000 | 4,538,787 |
| Cushman & Wakefield PLC, 6.75%, 5/15/2028 (n) | | | 4,773,000 | 4,375,123 |
| GoDaddy, Inc., 3.5%, 3/01/2029 (n) | | | 10,458,000 | 8,992,805 |
| GW B-CR Security Corp., 9.5%, 11/01/2027 (n) | | | 4,982,000 | 4,876,657 |
| Match Group Holdings II LLC, 5%, 12/15/2027 (n) | | | 5,498,000 | 5,209,618 |
| Match Group Holdings II LLC, 4.625%, 6/01/2028 (n) | | | 8,030,000 | 7,407,438 |
| Match Group Holdings II LLC, 4.125%, 8/01/2030 (n) | | | 2,010,000 | 1,734,529 |
| Match Group Holdings II LLC, 3.625%, 10/01/2031 (n) | | | 455,000 | 374,556 |
| Realogy Group LLC/Realogy Co-Issuer Corp., 5.75%, 1/15/2029 (n) | | | 4,578,000 | 3,387,522 |
| Realogy Group LLC/Realogy Co-Issuer Corp., 5.25%, 4/15/2030 (n) | | | 4,445,000 | 3,202,702 |
| TriNet Group, Inc., 3.5%, 3/01/2029 (n) | | | 9,278,000 | 8,095,055 |
| WASH Multi-Family Acquisition, Inc., 5.75%, 4/15/2026 (n) | | | 5,068,000 | 4,715,455 |
| | | | | $72,114,631 |
| Containers – 2.9% |
| ARD Finance S.A., 6.5% (6.5% Cash or 7.25% PIK), 6/30/2027 (n)(p) | | $ | 2,167,000 | $1,760,687 |
| Ardagh Metal Packaging Finance USA LLC, 3.25%, 9/01/2028 (n) | | | 3,715,000 | 3,208,900 |
| Ardagh Metal Packaging Finance USA LLC, 4%, 9/01/2029 (n) | | | 9,075,000 | 7,422,491 |
| Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 5.25%, 8/15/2027 (n) | | | 7,614,000 | 6,534,761 |
| Can-Pack S.A./Eastern PA Land Investment Holding LLC, 3.875%, 11/15/2029 (n) | | | 10,649,000 | 8,557,650 |
| Crown Americas LLC, 5.25%, 4/01/2030 | | | 3,061,000 | 2,920,408 |
| Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/2026 | | | 8,695,000 | 8,221,701 |
| Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 2/01/2026 | | | 3,345,000 | 3,233,587 |
| LABL, Inc., 5.875%, 11/01/2028 (n) | | | 5,234,000 | 4,774,187 |
| Mauser Packaging Solutions, 7.875%, 8/15/2026 (n) | | | 2,639,000 | 2,631,878 |
| Trivium Packaging Finance B.V., 8.5%, 8/15/2027 (n) | | | 2,018,000 | 1,941,242 |
| | | | | $51,207,492 |
| Electrical Equipment – 0.2% |
| CommScope Technologies LLC, 5%, 3/15/2027 (n) | | $ | 4,159,000 | $2,774,024 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Electronics – 1.6% |
| Entegris, Inc., 4.375%, 4/15/2028 (n) | | $ | 4,307,000 | $3,917,931 |
| Entegris, Inc., 3.625%, 5/01/2029 (n) | | | 3,723,000 | 3,222,112 |
| Sensata Technologies B.V., 5.625%, 11/01/2024 (n) | | | 2,240,000 | 2,226,427 |
| Sensata Technologies B.V., 5%, 10/01/2025 (n) | | | 8,590,000 | 8,373,836 |
| Sensata Technologies B.V., 5.875%, 9/01/2030 (n) | | | 3,585,000 | 3,454,788 |
| Synaptics, Inc., 4%, 6/15/2029 (n) | | | 6,823,000 | 5,868,109 |
| | | | | $27,063,203 |
| Energy - Independent – 3.6% |
| Callon Petroleum Co., 8%, 8/01/2028 (n) | | $ | 4,709,000 | $4,774,582 |
| Callon Petroleum Co., 7.5%, 6/15/2030 (n) | | | 1,575,000 | 1,529,037 |
| Civitas Resources, Inc., 8.375%, 7/01/2028 (n) | | | 4,997,000 | 5,139,714 |
| Civitas Resources, Inc., 8.75%, 7/01/2031 (n) | | | 2,626,000 | 2,717,910 |
| Comstock Resources, Inc., 6.75%, 3/01/2029 (n) | | | 7,880,000 | 7,350,217 |
| CrownRock LP/CrownRock Finance, Inc., “F”, 5%, 5/01/2029 (n) | | | 7,105,000 | 6,681,134 |
| Encino Acquisition Partners Holdings LLC, 8.5%, 5/01/2028 (n) | | | 4,530,000 | 4,155,269 |
| Matador Resources Co., 6.875%, 4/15/2028 (n) | | | 5,936,000 | 5,899,236 |
| Moss Creek Resources Holdings, Inc., 7.5%, 1/15/2026 (n) | | | 4,570,000 | 4,268,237 |
| Permian Resources Operating LLC, 7.75%, 2/15/2026 (n) | | | 985,000 | 994,694 |
| Permian Resources Operating LLC, 5.875%, 7/01/2029 (n) | | | 8,331,000 | 7,939,862 |
| SM Energy Co., 6.75%, 9/15/2026 | | | 1,559,000 | 1,531,718 |
| SM Energy Co., 6.5%, 7/15/2028 | | | 4,121,000 | 4,028,185 |
| Southwestern Energy Co., 8.375%, 9/15/2028 | | | 2,595,000 | 2,695,876 |
| Southwestern Energy Co., 5.375%, 3/15/2030 | | | 3,483,000 | 3,258,828 |
| | | | | $62,964,499 |
| Entertainment – 2.6% |
| Carnival Corp. PLC, 7.625%, 3/01/2026 (n) | | $ | 4,869,000 | $4,803,339 |
| Carnival Corp. PLC, 5.75%, 3/01/2027 (n) | | | 7,430,000 | 6,872,827 |
| Carnival Corp. PLC, 9.875%, 8/01/2027 (n) | | | 3,883,000 | 4,059,642 |
| Carnival Corp. PLC, 4%, 8/01/2028 (n) | | | 1,564,000 | 1,390,565 |
| Merlin Entertainments, 5.75%, 6/15/2026 (n) | | | 3,164,000 | 3,078,169 |
| Motion Bondco DAC, 6.625%, 11/15/2027 (n) | | | 3,658,000 | 3,380,632 |
| NCL Corp. Ltd., 5.875%, 3/15/2026 (n) | | | 3,819,000 | 3,613,758 |
| Royal Caribbean Cruises Ltd., 5.375%, 7/15/2027 (n) | | | 4,580,000 | 4,354,776 |
| Royal Caribbean Cruises Ltd., 5.5%, 4/01/2028 (n) | | | 6,465,000 | 6,093,245 |
| SeaWorld Parks & Entertainment, 5.25%, 8/15/2029 (n) | | | 3,692,000 | 3,322,800 |
| Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/2029 (n) | | | 2,105,000 | 1,958,134 |
| VOC Escrow Ltd., 5%, 2/15/2028 (n) | | | 3,091,000 | 2,871,964 |
| | | | | $45,799,851 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Financial Institutions – 4.6% |
| Avation Capital S.A., 8.25% (8.25% Cash or 9% PIK), 10/31/2026 (n)(p) | | $ | 5,546,128 | $4,835,201 |
| Castlelake Aviation Finance Designated Activity Co., 5%, 4/15/2027 (n) | | | 1,218,000 | 1,123,605 |
| Credit Acceptance Corp., 5.125%, 12/31/2024 (n) | | | 6,867,000 | 6,728,549 |
| Credit Acceptance Corp., 6.625%, 3/15/2026 | | | 711,000 | 697,717 |
| Global Aircraft Leasing Co. Ltd., 6.5% (6.5% Cash or 7.25% PIK), 9/15/2024 (n)(p) | | | 13,327,310 | 12,529,749 |
| Howard Hughes Corp., 4.125%, 2/01/2029 (n) | | | 8,783,000 | 7,421,723 |
| Macquarie AirFinance Ltd., 8.375%, 5/01/2028 (n) | | | 6,644,000 | 6,764,854 |
| Nationstar Mortgage Holdings, Inc., 6%, 1/15/2027 (n) | | | 9,261,000 | 8,849,997 |
| Nationstar Mortgage Holdings, Inc., 5.75%, 11/15/2031 (n) | | | 1,303,000 | 1,105,725 |
| OneMain Finance Corp., 6.875%, 3/15/2025 | | | 4,855,000 | 4,838,878 |
| OneMain Finance Corp., 7.125%, 3/15/2026 | | | 7,359,000 | 7,289,891 |
| OneMain Finance Corp., 5.375%, 11/15/2029 | | | 1,051,000 | 910,531 |
| Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029 (n) | | | 4,371,000 | 3,726,195 |
| SLM Corp., 3.125%, 11/02/2026 | | | 7,261,000 | 6,389,172 |
| UWM Holdings Corp., 5.5%, 4/15/2029 (n) | | | 7,700,000 | 6,769,282 |
| | | | | $79,981,069 |
| Food & Beverages – 2.7% |
| B&G Foods, Inc., 5.25%, 4/01/2025 | | $ | 4,115,000 | $3,920,373 |
| B&G Foods, Inc., 5.25%, 9/15/2027 | | | 1,545,000 | 1,332,332 |
| BellRing Brands, Inc., 7%, 3/15/2030 (n) | | | 7,344,000 | 7,371,760 |
| Performance Food Group Co., 5.5%, 10/15/2027 (n) | | | 7,545,000 | 7,305,799 |
| Post Holdings, Inc., 5.625%, 1/15/2028 (n) | | | 5,488,000 | 5,303,274 |
| Post Holdings, Inc., 4.625%, 4/15/2030 (n) | | | 8,465,000 | 7,459,588 |
| Primo Water Holding, Inc., 4.375%, 4/30/2029 (n) | | | 9,420,000 | 8,271,137 |
| U.S. Foods Holding Corp., 4.75%, 2/15/2029 (n) | | | 7,440,000 | 6,842,995 |
| | | | | $47,807,258 |
| Gaming & Lodging – 2.7% |
| Caesars Entertainment, Inc., 4.625%, 10/15/2029 (n) | | $ | 1,274,000 | $1,121,531 |
| Caesars Entertainment, Inc., 7%, 2/15/2030 (n) | | | 4,302,000 | 4,345,112 |
| Caesars Resort Collection LLC/CRC Finco, Inc., 8.125%, 7/01/2027 (n) | | | 6,032,000 | 6,186,859 |
| CCM Merger, Inc., 6.375%, 5/01/2026 (n) | | | 5,550,000 | 5,407,074 |
| International Game Technology PLC, 6.25%, 1/15/2027 (n) | | | 1,885,000 | 1,877,931 |
| Penn National Gaming, Inc., 4.125%, 7/01/2029 (n) | | | 5,215,000 | 4,307,460 |
| Sands China Ltd., 4.875%, 6/18/2030 | | | 4,611,000 | 4,202,086 |
| Wyndham Hotels & Resorts, Inc., 4.375%, 8/15/2028 (n) | | | 6,798,000 | 6,221,500 |
| Wynn Macau Ltd., 5.5%, 10/01/2027 (n) | | | 5,453,000 | 4,928,149 |
| Wynn Macau Ltd., 5.625%, 8/26/2028 (n) | | | 2,744,000 | 2,436,524 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Gaming & Lodging – continued |
| Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029 (n) | | $ | 6,494,000 | $5,876,279 |
| | | | | $46,910,505 |
| Industrial – 1.4% |
| Albion Financing 1 S.à r.l., 6.125%, 10/15/2026 (n) | | $ | 2,500,000 | $2,356,250 |
| Albion Financing 2 S.à r.l., 8.75%, 4/15/2027 (n) | | | 3,835,000 | 3,553,168 |
| APi Escrow Corp., 4.75%, 10/15/2029 (n) | | | 8,917,000 | 7,940,945 |
| Brand Industrial Service, Inc., 10.375%, 8/01/2030 (n) | | | 3,164,000 | 3,227,343 |
| Williams Scotsman International, Inc., 4.625%, 8/15/2028 (n) | | | 8,228,000 | 7,567,434 |
| | | | | $24,645,140 |
| Insurance - Property & Casualty – 2.5% |
| Acrisure LLC/Acrisure Finance, Inc., 7%, 11/15/2025 (n) | | $ | 3,598,000 | $3,474,469 |
| Acrisure LLC/Acrisure Finance, Inc., 4.25%, 2/15/2029 (n) | | | 2,606,000 | 2,247,033 |
| Acrisure LLC/Acrisure Finance, Inc., 6%, 8/01/2029 (n) | | | 5,779,000 | 4,954,938 |
| Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/2027 (n) | | | 2,590,000 | 2,453,258 |
| Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 5.875%, 11/01/2029 (n) | | | 7,935,000 | 7,021,318 |
| AmWINS Group Benefits, Inc., 4.875%, 6/30/2029 (n) | | | 5,219,000 | 4,788,101 |
| AssuredPartners, Inc., 5.625%, 1/15/2029 (n) | | | 5,395,000 | 4,709,407 |
| GTCR (AP) Finance, Inc., 8%, 5/15/2027 (n) | | | 3,620,000 | 3,585,287 |
| Hub International Ltd., 5.625%, 12/01/2029 (n) | | | 6,329,000 | 5,648,810 |
| Hub International Ltd., 7.25%, 6/15/2030 (n) | | | 4,319,000 | 4,401,104 |
| | | | | $43,283,725 |
| Machinery & Tools – 1.1% |
| Ritchie Bros Holdings, Inc., 6.75%, 3/15/2028 (n) | | $ | 4,579,000 | $4,636,238 |
| Ritchie Bros Holdings, Inc., 7.75%, 3/15/2031 (n) | | | 8,681,000 | 9,047,373 |
| Terex Corp., 5%, 5/15/2029 (n) | | | 6,081,000 | 5,658,188 |
| | | | | $19,341,799 |
| Major Banks – 0.4% |
| Toronto-Dominion Bank, 8.125% to 10/31/2027, FLR (CMT - 5yr. + 4.075%) to 10/31/2082 | | $ | 6,175,000 | $6,343,578 |
| Medical & Health Technology & Services – 4.4% |
| 180 Medical, Inc., 3.875%, 10/15/2029 (n) | | $ | 6,625,000 | $5,800,400 |
| Avantor Funding, Inc., 4.625%, 7/15/2028 (n) | | | 9,193,000 | 8,529,572 |
| Charles River Laboratories International, Inc., 3.75%, 3/15/2029 (n) | | | 8,203,000 | 7,238,352 |
| CHS/Community Health Systems, Inc., 8%, 12/15/2027 (n) | | | 3,888,000 | 3,801,667 |
| CHS/Community Health Systems, Inc., 6.125%, 4/01/2030 (n) | | | 7,174,000 | 4,521,933 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Medical & Health Technology & Services – continued |
| CHS/Community Health Systems, Inc., 5.25%, 5/15/2030 (n) | | $ | 6,252,000 | $4,995,575 |
| Encompass Health Corp., 5.75%, 9/15/2025 | | | 2,365,000 | 2,358,751 |
| Encompass Health Corp., 4.75%, 2/01/2030 | | | 6,387,000 | 5,805,358 |
| Encompass Health Corp., 4.625%, 4/01/2031 | | | 1,030,000 | 915,272 |
| IQVIA, Inc., 5%, 5/15/2027 (n) | | | 9,830,000 | 9,479,092 |
| IQVIA, Inc., 6.5%, 5/15/2030 (n) | | | 2,032,000 | 2,051,792 |
| Legacy LifePoint Health LLC, 4.375%, 2/15/2027 (n) | | | 2,638,000 | 2,275,275 |
| Tenet Healthcare Corp., 6.125%, 10/01/2028 | | | 4,493,000 | 4,279,987 |
| Tenet Healthcare Corp., 4.375%, 1/15/2030 | | | 1,993,000 | 1,777,528 |
| Tenet Healthcare Corp., 6.125%, 6/15/2030 | | | 6,413,000 | 6,231,833 |
| Tenet Healthcare Corp., 6.75%, 5/15/2031 (n) | | | 2,577,000 | 2,559,776 |
| U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026 (n) | | | 5,111,000 | 4,466,145 |
| | | | | $77,088,308 |
| Medical Equipment – 1.1% |
| Embecta Corp., 5%, 2/15/2030 (n) | | $ | 6,305,000 | $5,201,625 |
| Garden SpinCo Corp., 8.625%, 7/20/2030 (n) | | | 7,066,000 | 7,625,820 |
| Mozart Debt Merger Sub, Inc., 5.25%, 10/01/2029 (n) | | | 3,600,000 | 3,193,843 |
| Teleflex, Inc., 4.625%, 11/15/2027 | | | 3,116,000 | 2,940,725 |
| | | | | $18,962,013 |
| Metals & Mining – 3.2% |
| Baffinland Iron Mines Corp./Baffinland Iron Mines LP, 8.75%, 7/15/2026 (n) | | $ | 6,990,000 | $6,780,300 |
| Ero Copper Corp., 6.5%, 2/15/2030 (n) | | | 2,124,000 | 1,869,056 |
| FMG Resources Ltd., 4.375%, 4/01/2031 (n) | | | 12,300,000 | 10,576,932 |
| GrafTech Finance, Inc., 4.625%, 12/15/2028 (n) | | | 7,423,000 | 6,170,220 |
| GrafTech International Ltd., 9.875%, 12/15/2028 (n) | | | 1,049,000 | 1,065,553 |
| Kaiser Aluminum Corp., 4.625%, 3/01/2028 (n) | | | 8,333,000 | 7,479,534 |
| Kaiser Aluminum Corp., 4.5%, 6/01/2031 (n) | | | 4,463,000 | 3,648,503 |
| Novelis Corp., 3.25%, 11/15/2026 (n) | | | 4,050,000 | 3,680,146 |
| Novelis Corp., 4.75%, 1/30/2030 (n) | | | 6,187,000 | 5,560,621 |
| Novelis Corp., 3.875%, 8/15/2031 (n) | | | 2,807,000 | 2,337,398 |
| Petra Diamonds US$ Treasury PLC, 9.75%, 3/08/2026 (n) | | | 3,109,340 | 2,798,406 |
| Taseko Mines Ltd., 7%, 2/15/2026 (n) | | | 5,045,000 | 4,666,885 |
| | | | | $56,633,554 |
| Midstream – 4.2% |
| DT Midstream, Inc., 4.125%, 6/15/2029 (n) | | $ | 5,904,000 | $5,234,623 |
| DT Midstream, Inc., 4.375%, 6/15/2031 (n) | | | 8,290,000 | 7,196,886 |
| EQM Midstream Partners LP, 5.5%, 7/15/2028 | | | 13,397,000 | 12,890,236 |
| Genesis Energy LP/Genesis Energy Finance Corp., 8%, 1/15/2027 | | | 2,059,000 | 2,026,380 |
| Genesis Energy LP/Genesis Energy Finance Corp., 8.875%, 4/15/2030 | | | 3,658,000 | 3,648,615 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Midstream – continued |
| Kinetik Holdings, Inc., 5.875%, 6/15/2030 (n) | | $ | 5,665,000 | $5,445,481 |
| NuStar Logistics, LP, 6.375%, 10/01/2030 | | | 5,234,000 | 5,047,931 |
| Tallgrass Energy Partners LP, 6%, 3/01/2027 (n) | | | 2,194,000 | 2,079,108 |
| Tallgrass Energy Partners LP, 5.5%, 1/15/2028 (n) | | | 9,020,000 | 8,298,400 |
| Venture Global Calcasieu Pass LLC, 3.875%, 8/15/2029 (n) | | | 7,555,000 | 6,541,927 |
| Venture Global Calcasieu Pass LLC, 6.25%, 1/15/2030 (n) | | | 2,732,000 | 2,671,412 |
| Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031 (n) | | | 5,370,000 | 4,555,013 |
| Venture Global LNG, Inc., 8.125%, 6/01/2028 (n) | | | 3,853,000 | 3,916,117 |
| Venture Global LNG, Inc., 8.375%, 6/01/2031 (n) | | | 3,481,000 | 3,532,230 |
| | | | | $73,084,359 |
| Network & Telecom – 0.5% |
| Iliad Holding S.A.S., 6.5%, 10/15/2026 (n) | | $ | 1,907,000 | $1,827,596 |
| Iliad Holding S.A.S., 7%, 10/15/2028 (n) | | | 7,362,000 | 6,911,750 |
| | | | | $8,739,346 |
| Oil Services – 0.6% |
| Nabors Industries Ltd., 7.25%, 1/15/2026 (n) | | $ | 6,668,000 | $6,419,683 |
| Solaris Midstream Holding LLC, 7.625%, 4/01/2026 (n) | | | 4,498,000 | 4,409,727 |
| | | | | $10,829,410 |
| Oils – 1.0% |
| Parkland Corp., 4.625%, 5/01/2030 (n) | | $ | 11,354,000 | $9,963,726 |
| PBF Holding Co. LLC/PBF Finance Corp., 6%, 2/15/2028 | | | 4,898,000 | 4,624,887 |
| Puma International Financing S.A., 5%, 1/24/2026 | | | 2,433,000 | 2,218,696 |
| | | | | $16,807,309 |
| Personal Computers & Peripherals – 0.6% |
| NCR Corp., 5%, 10/01/2028 (n) | | $ | 6,910,000 | $6,250,703 |
| NCR Corp., 5.125%, 4/15/2029 (n) | | | 4,146,000 | 3,707,556 |
| | | | | $9,958,259 |
| Pharmaceuticals – 1.5% |
| 1375209 BC Ltd., 9%, 1/30/2028 (n) | | $ | 3,603,000 | $3,612,001 |
| Bausch Health Co., Inc., 11%, 9/30/2028 (n) | | | 3,989,000 | 2,940,896 |
| Bausch Health Co., Inc., 14%, 10/15/2030 (n) | | | 799,000 | 505,601 |
| Jazz Securities DAC, 4.375%, 1/15/2029 (n) | | | 9,701,000 | 8,625,293 |
| Organon Finance 1 LLC, 4.125%, 4/30/2028 (n) | | | 6,752,000 | 6,050,748 |
| Organon Finance 1 LLC, 5.125%, 4/30/2031 (n) | | | 5,759,000 | 4,881,837 |
| | | | | $26,616,376 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Pollution Control – 1.0% |
| GFL Environmental, Inc., 4.25%, 6/01/2025 (n) | | $ | 2,160,000 | $2,094,765 |
| GFL Environmental, Inc., 4%, 8/01/2028 (n) | | | 6,063,000 | 5,426,033 |
| GFL Environmental, Inc., 4.75%, 6/15/2029 (n) | | | 1,935,000 | 1,765,035 |
| GFL Environmental, Inc., 4.375%, 8/15/2029 (n) | | | 2,355,000 | 2,099,873 |
| Stericycle, Inc., 3.875%, 1/15/2029 (n) | | | 7,781,000 | 6,830,084 |
| | | | | $18,215,790 |
| Precious Metals & Minerals – 0.7% |
| Coeur Mining, Inc., 5.125%, 2/15/2029 (n) | | $ | 5,763,000 | $4,781,793 |
| Eldorado Gold Corp., 6.25%, 9/01/2029 (n) | | | 2,729,000 | 2,442,773 |
| IAMGOLD Corp., 5.75%, 10/15/2028 (n) | | | 6,778,000 | 5,219,060 |
| | | | | $12,443,626 |
| Printing & Publishing – 0.4% |
| Cimpress PLC, 7%, 6/15/2026 | | $ | 7,135,000 | $6,733,656 |
| Real Estate - Healthcare – 0.5% |
| MPT Operating Partnership LP/MPT Finance Corp., REIT, 0.993%, 10/15/2026 | | EUR | 1,545,000 | $1,313,796 |
| MPT Operating Partnership LP/MPT Finance Corp., REIT, 5%, 10/15/2027 | | $ | 7,731,000 | 6,775,704 |
| | | | | $8,089,500 |
| Real Estate - Other – 0.6% |
| RHP Hotel Properties, LP/RHP Finance Corp., 7.25%, 7/15/2028 (n) | | $ | 3,541,000 | $3,594,211 |
| XHR LP, REIT, 4.875%, 6/01/2029 (n) | | | 7,178,000 | 6,244,152 |
| | | | | $9,838,363 |
| Restaurants – 0.3% |
| Fertitta Entertainment LLC, 6.75%, 1/15/2030 (n) | | $ | 5,329,000 | $4,572,288 |
| Retailers – 2.3% |
| Asbury Automotive Group, Inc., 4.625%, 11/15/2029 (n) | | $ | 7,042,000 | $6,230,088 |
| Bath & Body Works, Inc., 5.25%, 2/01/2028 | | | 10,362,000 | 9,871,219 |
| Lithia Motors, Inc., 3.875%, 6/01/2029 (n) | | | 5,273,000 | 4,540,788 |
| Macy's Retail Holdings LLC, 5.875%, 4/01/2029 (n) | | | 5,139,000 | 4,773,874 |
| NMG Holding Co. Inc./Neiman Marcus Group LLC, 7.125%, 4/01/2026 (n) | | | 3,415,000 | 3,191,719 |
| Penske Automotive Group Co., 3.75%, 6/15/2029 | | | 7,145,000 | 6,179,887 |
| Victoria's Secret & Co., 4.625%, 7/15/2029 (n) | | | 7,047,000 | 5,287,465 |
| | | | | $40,075,040 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Specialty Stores – 0.6% |
| Michael Cos., Inc., 5.25%, 5/01/2028 (n) | | $ | 3,600,000 | $3,060,144 |
| Michael Cos., Inc., 7.875%, 5/01/2029 (n) | | | 3,830,000 | 2,728,875 |
| PetSmart, Inc./PetSmart Finance Corp., 7.75%, 2/15/2029 (n) | | | 5,720,000 | 5,579,631 |
| | | | | $11,368,650 |
| Supermarkets – 0.4% |
| Albertsons Cos. LLC/Safeway, Inc., 4.625%, 1/15/2027 (n) | | $ | 2,470,000 | $2,340,691 |
| Albertsons Cos. LLC/Safeway, Inc., 3.5%, 3/15/2029 (n) | | | 5,210,000 | 4,535,574 |
| | | | | $6,876,265 |
| Telecommunications - Wireless – 0.9% |
| Altice France S.A., 6%, 2/15/2028 (n) | | $ | 8,145,000 | $3,031,215 |
| SBA Communications Corp., 3.875%, 2/15/2027 | | | 5,075,000 | 4,675,450 |
| SBA Communications Corp., 3.125%, 2/01/2029 | | | 9,720,000 | 8,194,914 |
| | | | | $15,901,579 |
| Tobacco – 0.2% |
| Vector Group Ltd., 5.75%, 2/01/2029 (n) | | $ | 3,120,000 | $2,711,392 |
| U.S. Treasury Obligations – 0.5% |
| U.S. Treasury Notes, 3%, 6/30/2024 | | $ | 8,912,000 | $8,720,183 |
| Utilities - Electric Power – 3.3% |
| Calpine Corp., 4.5%, 2/15/2028 (n) | | $ | 7,722,000 | $7,087,956 |
| Calpine Corp., 5.125%, 3/15/2028 (n) | | | 7,800,000 | 7,073,334 |
| Clearway Energy Operating LLC, 4.75%, 3/15/2028 (n) | | | 4,823,000 | 4,474,069 |
| Clearway Energy Operating LLC, 3.75%, 2/15/2031 (n) | | | 12,528,000 | 10,383,150 |
| NextEra Energy, Inc., 4.25%, 7/15/2024 (n) | | | 1,521,000 | 1,492,481 |
| NextEra Energy, Inc., 4.25%, 9/15/2024 (n) | | | 728,000 | 698,880 |
| NextEra Energy, Inc., 4.5%, 9/15/2027 (n) | | | 4,430,000 | 4,149,581 |
| Pacific Gas & Electric Co., 6.1%, 1/15/2029 | | | 2,456,000 | 2,441,854 |
| Pacific Gas & Electric Co., 6.4%, 6/15/2033 | | | 3,065,000 | 3,080,239 |
| TerraForm Global Operating LLC, 6.125%, 3/01/2026 (n) | | | 5,065,000 | 4,947,137 |
| TerraForm Power Operating LLC, 5%, 1/31/2028 (n) | | | 8,444,000 | 7,836,265 |
| TerraForm Power Operating LLC, 4.75%, 1/15/2030 (n) | | | 3,754,000 | 3,312,593 |
| | | | | $56,977,539 |
| Total Bonds (Identified Cost, $1,742,374,136) | | $1,623,059,107 |
| Common Stocks – 0.2% |
| Cable TV – 0.1% | |
| Intelsat Emergence S.A. (a) | | 59,284 | $1,274,606 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Common Stocks – continued |
| Oil Services – 0.1% | |
| LTRI Holdings LP (a)(u) | | 3,250 | $1,157,552 |
| Total Common Stocks (Identified Cost, $3,122,016) | | $2,432,158 |
| Contingent Value Rights – 0.0% |
| Cable TV – 0.0% |
| Intelsat Jackson Holdings S.A. - Series A, 12/05/2025 (a) | | | 6,206 | $38,788 |
| Intelsat Jackson Holdings S.A. - Series B, 12/05/2025 (a) | | | 6,206 | 24,824 |
| Total Contingent Value Rights (Identified Cost, $0) | | $63,612 |
| | Strike
Price | First
Exercise | | |
| Warrants – 0.0% | | | | |
| Other Banks & Diversified Financials – 0.0% |
| Avation Capital S.A. (1 share for 1 warrant, Expiration 10/31/26) (a) (Identified Cost, $0) | GBP 1.14 | 6/24/22 | 62,563 | $21,678 |
| | | | | |
| Investment Companies (h) – 4.9% |
| Money Market Funds – 4.9% | |
| MFS Institutional Money Market Portfolio, 5.25% (v) (Identified Cost, $85,655,853) | | �� | 85,656,915 | $85,656,915 |
| Underlying/Expiration Date/Exercise Price | Put/Call | Counterparty | Notional
Amount | Par Amount/
Number of
Contracts | |
| Purchased Options – 0.0% | |
| Fixed Income ETFs – 0.0% | |
| iShares iBoxx $ High Yield Corporate Bond ETF – September 2023 @ $73 (Premiums Paid, $868,965) | Put | Goldman Sachs International | $ 69,059,850 | 9,147 | $182,940 |
|
|
| Other Assets, Less Liabilities – 1.8% | | 31,195,117 |
| Net Assets – 100.0% | $1,742,611,527 |
| (a) | Non-income producing security. | | | |
| (h) | An affiliated issuer, which 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. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $85,656,915 and $1,625,759,495, respectively. | | | |
| (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 $1,371,773,838, representing 78.7% of net assets. | | | |
Portfolio of Investments (unaudited) – continued
| (p) | Payment-in-kind (PIK) security for which interest income may be received in additional securities and/or cash. | | | |
| (u) | The security was valued using significant unobservable inputs and is considered level 3 under the fair value hierarchy. For further information about the fund’s level 3 holdings, please see Note 2 in the Notes to Financial Statements. | | | |
| (v) | Affiliated issuer 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. | | | |
| The following abbreviations are used in this report and are defined: |
| CDO | Collateralized Debt Obligation |
| CMT | Constant Maturity Treasury |
| ETF | Exchange-Traded Fund |
| FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
| REIT | Real Estate Investment Trust |
| SOFR | Secured Overnight Financing Rate |
| 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 |
| GBP | British Pound |
Derivative Contracts at 7/31/23
| Forward Foreign Currency Exchange Contracts |
Currency
Purchased | Currency
Sold | Counterparty | Settlement
Date | Unrealized
Appreciation
(Depreciation) |
| Asset Derivatives |
| USD | 12,811,348 | EUR | 11,366,367 | State Street Bank Corp. | 10/20/2023 | $264,755 |
| Liability Derivatives |
| EUR | 351,624 | USD | 393,123 | Barclays Bank PLC | 10/20/2023 | $(4,988) |
| EUR | 225,330 | USD | 253,058 | Morgan Stanley Capital Services, Inc. | 10/20/2023 | (4,331) |
| EUR | 355,292 | USD | 400,872 | State Street Bank Corp. | 10/20/2023 | (8,687) |
| GBP | 364,436 | USD | 470,172 | Barclays Bank PLC | 10/20/2023 | (2,372) |
| | | | | | | $(20,378) |
| Futures Contracts |
| Description | Long/
Short | Currency | Contracts | Notional
Amount | Expiration
Date | Value/Unrealized
Appreciation
(Depreciation) |
| Liability Derivatives |
| Interest Rate Futures | | |
| U.S. Treasury Bond | Long | USD | 85 | $10,577,188 | September – 2023 | $(229,228) |
| U.S. Treasury Ultra Note 10 yr | Long | USD | 184 | 21,525,125 | September – 2023 | (545,493) |
| | | | | | | $(774,721) |
Portfolio of Investments (unaudited) – continued
At July 31, 2023, the fund had cash collateral of $846,700 to cover any collateral or margin obligations for certain derivative contracts. Restricted cash and/or deposits with brokers in the Statement of Assets and Liabilities are comprised of cash collateral.
See Notes to Financial Statements
Financial Statements
Statement of Assets and Liabilities
At 7/31/23 (unaudited)
This statement represents your fund’s balance sheet, which details the assets and liabilities comprising the total value of the fund.
| Assets | |
| Investments in unaffiliated issuers, at value (identified cost, $1,746,365,117) | $1,625,759,495 |
| Investments in affiliated issuers, at value (identified cost, $85,655,853) | 85,656,915 |
| Deposits with brokers for | |
| Futures contracts | 846,700 |
| Receivables for | |
| Forward foreign currency exchange contracts | 264,755 |
| Net daily variation margin on open futures contracts | 33,186 |
| Investments sold | 8,231,758 |
| Fund shares sold | 1,634,801 |
| Interest and dividends | 25,938,971 |
| Other assets | 39,092 |
| Total assets | $1,748,405,673 |
| Liabilities | |
| Payables for | |
| Distributions | $213,341 |
| Forward foreign currency exchange contracts | 20,378 |
| Investments purchased | 3,185,752 |
| Fund shares reacquired | 1,802,189 |
| Payable to affiliates | |
| Investment adviser | 84,216 |
| Administrative services fee | 2,830 |
| Shareholder servicing costs | 323,943 |
| Distribution and service fees | 18,943 |
| Payable for independent Trustees' compensation | 957 |
| Accrued expenses and other liabilities | 141,597 |
| Total liabilities | $5,794,146 |
| Net assets | $1,742,611,527 |
| Net assets consist of | |
| Paid-in capital | $2,064,763,571 |
| Total distributable earnings (loss) | (322,152,044) |
| Net assets | $1,742,611,527 |
| Shares of beneficial interest outstanding | 584,240,934 |
Statement of Assets and Liabilities (unaudited) – continued
| | Net assets | Shares
outstanding | Net asset value
per share (a) |
| Class A | $634,477,934 | 212,612,397 | $2.98 |
| Class B | 2,644,778 | 885,108 | 2.99 |
| Class C | 10,911,277 | 3,645,681 | 2.99 |
| Class I | 136,984,280 | 46,047,481 | 2.97 |
| Class R1 | 721,448 | 241,538 | 2.99 |
| Class R2 | 1,431,272 | 482,253 | 2.97 |
| Class R3 | 1,033,126 | 346,980 | 2.98 |
| Class R4 | 362,105 | 121,290 | 2.99 |
| Class R6 | 954,045,307 | 319,858,206 | 2.98 |
| (a) | Maximum offering price per share was equal to the net asset value per share for all share classes, except for Class A, for which the maximum offering price per share was $3.11 [100 / 95.75 x $2.98]. On sales of $100,000 or more, the maximum offering price of Class A shares is reduced. A contingent deferred sales charge may be imposed on redemptions of Class A, Class B, and Class C shares. Redemption price per share was equal to the net asset value per share for Classes I, R1, R2, R3, R4, and R6. |
See Notes to Financial Statements
Financial Statements
Statement of Operations
Six months ended 7/31/23 (unaudited)
This statement describes how much your fund earned in investment income and accrued in expenses. It also describes any gains and/or losses generated by fund operations.
| Net investment income (loss) | |
| Income | |
| Interest | $52,633,224 |
| Dividends from affiliated issuers | 1,838,665 |
| Dividends | 82,322 |
| Other | 54,361 |
| Total investment income | $54,608,572 |
| Expenses | |
| Management fee | $3,891,799 |
| Distribution and service fees | 851,789 |
| Shareholder servicing costs | 582,059 |
| Administrative services fee | 128,922 |
| Independent Trustees' compensation | 15,631 |
| Custodian fee | 51,265 |
| Shareholder communications | 57,993 |
| Audit and tax fees | 47,889 |
| Legal fees | 4,089 |
| Miscellaneous | 121,587 |
| Total expenses | $5,753,023 |
| Reduction of expenses by investment adviser and distributor | (109,663) |
| Net expenses | $5,643,360 |
| Net investment income (loss) | $48,965,212 |
Statement of Operations (unaudited) – continued
| Realized and unrealized gain (loss) |
| Realized gain (loss) (identified cost basis) | |
| Unaffiliated issuers | $(46,271,200) |
| Affiliated issuers | 2,709 |
| Futures contracts | 61,024 |
| Forward foreign currency exchange contracts | (283,606) |
| Foreign currency | (6,080) |
| Net realized gain (loss) | $(46,497,153) |
| Change in unrealized appreciation or depreciation | |
| Unaffiliated issuers | $40,802,138 |
| Affiliated issuers | (6,856) |
| Futures contracts | (809,891) |
| Forward foreign currency exchange contracts | 298,909 |
| Translation of assets and liabilities in foreign currencies | (2,433) |
| Net unrealized gain (loss) | $40,281,867 |
| Net realized and unrealized gain (loss) | $(6,215,286) |
| Change in net assets from operations | $42,749,926 |
See Notes to Financial Statements
Financial Statements
Statements of Changes in Net Assets
These statements describe the increases and/or decreases in net assets resulting from operations, any distributions, and any shareholder transactions.
| | Six months ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 |
| Change in net assets | | |
| From operations | | |
| Net investment income (loss) | $48,965,212 | $86,712,586 |
| Net realized gain (loss) | (46,497,153) | (58,003,285) |
| Net unrealized gain (loss) | 40,281,867 | (119,528,825) |
| Change in net assets from operations | $42,749,926 | $(90,819,524) |
| Total distributions to shareholders | $(51,094,577) | $(94,049,766) |
| Change in net assets from fund share transactions | $(2,588,462) | $(30,606,598) |
| Total change in net assets | $(10,933,113) | $(215,475,888) |
| Net assets | | |
| At beginning of period | 1,753,544,640 | 1,969,020,528 |
| At end of period | $1,742,611,527 | $1,753,544,640 |
See Notes to Financial Statements
Financial Statements
Financial Highlights
The financial highlights table is intended to help you understand the fund's financial performance for the semiannual period and the past 5 fiscal years. Certain information reflects financial results for a single fund share. The total returns in the table represent the rate that an investor would have earned (or lost) on an investment in the fund share class (assuming reinvestment of all distributions) held for the entire period.
| Class A | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $3.00 | $3.31 | $3.44 | $3.44 | $3.30 | $3.44 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.08 | $0.14 | $0.13 | $0.14 | $0.15 | $0.15 |
| Net realized and unrealized gain (loss) | (0.02) | (0.30) | (0.11) | 0.01 | 0.15 | (0.13) |
| Total from investment operations | $0.06 | $(0.16) | $0.02 | $0.15 | $0.30 | $0.02 |
| Less distributions declared to shareholders |
| From net investment income | $(0.08) | $(0.15) | $(0.15) | $(0.15) | $(0.16) | $(0.16) |
| Net asset value, end of period (x) | $2.98 | $3.00 | $3.31 | $3.44 | $3.44 | $3.30 |
| Total return (%) (r)(s)(t)(x) | 2.21(n) | (4.60) | 0.48 | 4.71 | 9.24 | 0.68 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f) | 0.89(a) | 0.89 | 0.90 | 0.93 | 0.94 | 0.94 |
| Expenses after expense reductions (f) | 0.87(a) | 0.87 | 0.89 | 0.91 | 0.92 | 0.92 |
| Net investment income (loss) | 5.53(a) | 4.69 | 3.88 | 4.34 | 4.46 | 4.67 |
| Portfolio turnover | 25(n) | 33 | 64 | 50 | 58 | 44 |
| Net assets at end of period (000 omitted) | $634,478 | $625,602 | $679,622 | $612,075 | $552,035 | $489,120 |
See Notes to Financial Statements
Financial Highlights – continued
| Class B | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $3.00 | $3.31 | $3.44 | $3.45 | $3.30 | $3.44 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.07 | $0.12 | $0.11 | $0.12 | $0.13 | $0.13 |
| Net realized and unrealized gain (loss) | (0.01) | (0.30) | (0.12) | 0.00(w) | 0.15 | (0.13) |
| Total from investment operations | $0.06 | $(0.18) | $(0.01) | $0.12 | $0.28 | $0.00(w) |
| Less distributions declared to shareholders |
| From net investment income | $(0.07) | $(0.13) | $(0.12) | $(0.13) | $(0.13) | $(0.14) |
| Net asset value, end of period (x) | $2.99 | $3.00 | $3.31 | $3.44 | $3.45 | $3.30 |
| Total return (%) (r)(s)(t)(x) | 2.17(n) | (5.31) | (0.28) | 3.62 | 8.74 | (0.07) |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f) | 1.64(a) | 1.64 | 1.65 | 1.68 | 1.69 | 1.69 |
| Expenses after expense reductions (f) | 1.62(a) | 1.62 | 1.64 | 1.67 | 1.68 | 1.68 |
| Net investment income (loss) | 4.78(a) | 3.91 | 3.15 | 3.63 | 3.72 | 3.91 |
| Portfolio turnover | 25(n) | 33 | 64 | 50 | 58 | 44 |
| Net assets at end of period (000 omitted) | $2,645 | $2,986 | $4,729 | $6,914 | $10,650 | $13,361 |
| Class C | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $3.01 | $3.32 | $3.45 | $3.45 | $3.31 | $3.44 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.07 | $0.12 | $0.11 | $0.12 | $0.13 | $0.13 |
| Net realized and unrealized gain (loss) | (0.02) | (0.30) | (0.12) | 0.01 | 0.14 | (0.12) |
| Total from investment operations | $0.05 | $(0.18) | $(0.01) | $0.13 | $0.27 | $0.01 |
| Less distributions declared to shareholders |
| From net investment income | $(0.07) | $(0.13) | $(0.12) | $(0.13) | $(0.13) | $(0.14) |
| Net asset value, end of period (x) | $2.99 | $3.01 | $3.32 | $3.45 | $3.45 | $3.31 |
| Total return (%) (r)(s)(t)(x) | 1.83(n) | (5.29) | (0.27) | 3.93 | 8.42 | 0.23 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f) | 1.64(a) | 1.64 | 1.65 | 1.68 | 1.69 | 1.69 |
| Expenses after expense reductions (f) | 1.62(a) | 1.62 | 1.64 | 1.67 | 1.68 | 1.68 |
| Net investment income (loss) | 4.78(a) | 3.92 | 3.15 | 3.61 | 3.72 | 3.91 |
| Portfolio turnover | 25(n) | 33 | 64 | 50 | 58 | 44 |
| Net assets at end of period (000 omitted) | $10,911 | $11,888 | $16,636 | $21,918 | $27,415 | $31,793 |
See Notes to Financial Statements
Financial Highlights – continued
| Class I | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $2.99 | $3.30 | $3.43 | $3.43 | $3.29 | $3.43 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.08 | $0.15 | $0.14 | $0.15 | $0.16 | $0.16 |
| Net realized and unrealized gain (loss) | (0.01) | (0.30) | (0.11) | 0.01 | 0.15 | (0.13) |
| Total from investment operations | $0.07 | $(0.15) | $0.03 | $0.16 | $0.31 | $0.03 |
| Less distributions declared to shareholders |
| From net investment income | $(0.09) | $(0.16) | $(0.16) | $(0.16) | $(0.17) | $(0.17) |
| Net asset value, end of period (x) | $2.97 | $2.99 | $3.30 | $3.43 | $3.43 | $3.29 |
| Total return (%) (r)(s)(t)(x) | 2.33(n) | (4.38) | 0.71 | 4.97 | 9.52 | 0.92 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f) | 0.64(a) | 0.63 | 0.65 | 0.68 | 0.69 | 0.69 |
| Expenses after expense reductions (f) | 0.62(a) | 0.62 | 0.64 | 0.66 | 0.68 | 0.68 |
| Net investment income (loss) | 5.77(a) | 4.93 | 4.13 | 4.55 | 4.67 | 4.90 |
| Portfolio turnover | 25(n) | 33 | 64 | 50 | 58 | 44 |
| Net assets at end of period (000 omitted) | $136,984 | $189,210 | $208,682 | $216,905 | $147,591 | $89,637 |
| Class R1 | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $3.00 | $3.31 | $3.44 | $3.44 | $3.30 | $3.44 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.07 | $0.12 | $0.11 | $0.12 | $0.13 | $0.13 |
| Net realized and unrealized gain (loss) | (0.01) | (0.30) | (0.12) | 0.01 | 0.14 | (0.13) |
| Total from investment operations | $0.06 | $(0.18) | $(0.01) | $0.13 | $0.27 | $0.00(w) |
| Less distributions declared to shareholders |
| From net investment income | $(0.07) | $(0.13) | $(0.12) | $(0.13) | $(0.13) | $(0.14) |
| Net asset value, end of period (x) | $2.99 | $3.00 | $3.31 | $3.44 | $3.44 | $3.30 |
| Total return (%) (r)(s)(t)(x) | 2.17(n) | (5.32) | (0.28) | 3.92 | 8.43 | (0.07) |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f) | 1.64(a) | 1.64 | 1.65 | 1.68 | 1.69 | 1.69 |
| Expenses after expense reductions (f) | 1.62(a) | 1.62 | 1.64 | 1.67 | 1.68 | 1.68 |
| Net investment income (loss) | 4.78(a) | 3.94 | 3.14 | 3.60 | 3.71 | 3.92 |
| Portfolio turnover | 25(n) | 33 | 64 | 50 | 58 | 44 |
| Net assets at end of period (000 omitted) | $721 | $695 | $946 | $957 | $963 | $867 |
See Notes to Financial Statements
Financial Highlights – continued
| Class R2 | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $2.98 | $3.29 | $3.43 | $3.44 | $3.30 | $3.43 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.08 | $0.13 | $0.13 | $0.14 | $0.14 | $0.15 |
| Net realized and unrealized gain (loss) | (0.01) | (0.29) | (0.13) | (0.01) | 0.15 | (0.13) |
| Total from investment operations | $0.07 | $(0.16) | $0.00 | $0.13 | $0.29 | $0.02 |
| Less distributions declared to shareholders |
| From net investment income | $(0.08) | $(0.15) | $(0.14) | $(0.14) | $(0.15) | $(0.15) |
| Net asset value, end of period (x) | $2.97 | $2.98 | $3.29 | $3.43 | $3.44 | $3.30 |
| Total return (%) (r)(s)(t)(x) | 2.43(n) | (4.90) | (0.09) | 4.14 | 8.96 | 0.72 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f) | 1.14(a) | 1.14 | 1.16 | 1.18 | 1.19 | 1.19 |
| Expenses after expense reductions (f) | 1.12(a) | 1.12 | 1.15 | 1.17 | 1.18 | 1.18 |
| Net investment income (loss) | 5.28(a) | 4.44 | 3.67 | 4.10 | 4.21 | 4.42 |
| Portfolio turnover | 25(n) | 33 | 64 | 50 | 58 | 44 |
| Net assets at end of period (000 omitted) | $1,431 | $1,606 | $2,029 | $13,943 | $15,270 | $14,618 |
| Class R3 | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $2.99 | $3.30 | $3.43 | $3.44 | $3.30 | $3.43 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.08 | $0.14 | $0.13 | $0.14 | $0.15 | $0.15 |
| Net realized and unrealized gain (loss) | (0.01) | (0.30) | (0.11) | 0.00(w) | 0.15 | (0.12) |
| Total from investment operations | $0.07 | $(0.16) | $0.02 | $0.14 | $0.30 | $0.03 |
| Less distributions declared to shareholders |
| From net investment income | $(0.08) | $(0.15) | $(0.15) | $(0.15) | $(0.16) | $(0.16) |
| Net asset value, end of period (x) | $2.98 | $2.99 | $3.30 | $3.43 | $3.44 | $3.30 |
| Total return (%) (r)(s)(t)(x) | 2.55(n) | (4.63) | 0.46 | 4.40 | 9.23 | 0.98 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f) | 0.89(a) | 0.89 | 0.90 | 0.93 | 0.94 | 0.94 |
| Expenses after expense reductions (f) | 0.87(a) | 0.87 | 0.89 | 0.92 | 0.93 | 0.93 |
| Net investment income (loss) | 5.53(a) | 4.60 | 3.90 | 4.31 | 4.47 | 4.66 |
| Portfolio turnover | 25(n) | 33 | 64 | 50 | 58 | 44 |
| Net assets at end of period (000 omitted) | $1,033 | $1,295 | $2,574 | $2,929 | $2,255 | $2,193 |
See Notes to Financial Statements
Financial Highlights – continued
| Class R4 | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $3.00 | $3.31 | $3.44 | $3.44 | $3.30 | $3.43 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.08 | $0.15 | $0.14 | $0.15 | $0.16 | $0.16 |
| Net realized and unrealized gain (loss) | (0.00)(w) | (0.30) | (0.11) | 0.01 | 0.15 | (0.12) |
| Total from investment operations | $0.08 | $(0.15) | $0.03 | $0.16 | $0.31 | $0.04 |
| Less distributions declared to shareholders |
| From net investment income | $(0.09) | $(0.16) | $(0.16) | $(0.16) | $(0.17) | $(0.17) |
| Net asset value, end of period (x) | $2.99 | $3.00 | $3.31 | $3.44 | $3.44 | $3.30 |
| Total return (%) (r)(s)(t)(x) | 2.68(n) | (4.35) | 0.72 | 4.97 | 9.51 | 1.23 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f) | 0.64(a) | 0.64 | 0.65 | 0.68 | 0.69 | 0.69 |
| Expenses after expense reductions (f) | 0.62(a) | 0.62 | 0.64 | 0.67 | 0.68 | 0.68 |
| Net investment income (loss) | 5.78(a) | 4.95 | 4.15 | 4.63 | 4.68 | 4.91 |
| Portfolio turnover | 25(n) | 33 | 64 | 50 | 58 | 44 |
| Net assets at end of period (000 omitted) | $362 | $362 | $371 | $555 | $796 | $447 |
| Class R6 | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $3.00 | $3.31 | $3.44 | $3.44 | $3.30 | $3.43 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.09 | $0.15 | $0.15 | $0.16 | $0.16 | $0.17 |
| Net realized and unrealized gain (loss) | (0.02) | (0.30) | (0.12) | 0.00(w) | 0.15 | (0.13) |
| Total from investment operations | $0.07 | $(0.15) | $0.03 | $0.16 | $0.31 | $0.04 |
| Less distributions declared to shareholders |
| From net investment income | $(0.09) | $(0.16) | $(0.16) | $(0.16) | $(0.17) | $(0.17) |
| Net asset value, end of period (x) | $2.98 | $3.00 | $3.31 | $3.44 | $3.44 | $3.30 |
| Total return (%) (r)(s)(t)(x) | 2.39(n) | (4.25) | 0.84 | 5.08 | 9.63 | 1.33 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f) | 0.52(a) | 0.52 | 0.54 | 0.57 | 0.58 | 0.58 |
| Expenses after expense reductions (f) | 0.51(a) | 0.51 | 0.53 | 0.56 | 0.57 | 0.57 |
| Net investment income (loss) | 5.90(a) | 5.05 | 4.25 | 4.69 | 4.82 | 5.02 |
| Portfolio turnover | 25(n) | 33 | 64 | 50 | 58 | 44 |
| Net assets at end of period (000 omitted) | $954,045 | $919,902 | $1,048,137 | $1,123,867 | $942,482 | $829,451 |
See Notes to Financial Statements
Financial Highlights – continued
| (a) | Annualized. |
| (d) | Per share data is based on average shares outstanding. |
| (f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. See Note 2 in the Notes to Financial Statements for additional information. |
| (n) | Not annualized. |
| (r) | Certain expenses have been reduced without which performance would have been lower. |
| (s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
| (t) | Total returns do not include any applicable sales charges. |
| (w) | Per share amount was less than $0.01. |
| (x) | The net asset values and total returns have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
See Notes to Financial Statements
Notes to Financial Statements
(unaudited)
(1) Business and Organization
MFS High Income Fund (the fund) is a diversified series of MFS Series Trust III (the trust). The trust is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.
The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies.
(2) Significant Accounting Policies
General — The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. In the preparation of these financial statements, management has evaluated subsequent events occurring after the date of the fund’s Statement of Assets and Liabilities through the date that the financial statements were issued. The fund invests in high-yield securities rated below investment grade. Investments in below investment grade quality securities can involve a substantially greater risk of default or can already be in default, and their values can decline significantly. Below investment grade quality securities tend to be more sensitive to adverse news about the issuer, or the market or economy in general, than higher quality debt instruments. The fund invests in foreign securities. Investments in foreign securities are vulnerable to the effects of changes in the relative values of the local currency and the U.S. dollar and to the effects of changes in each country’s market, economic, industrial, political, regulatory, geopolitical, environmental, public health, and other conditions.
Balance Sheet Offsetting — The fund's accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the International Swaps and Derivatives Association (ISDA) Master Agreement, or similar agreement, does not result in an offset of reported amounts of financial assets and financial liabilities in the Statement of Assets and Liabilities across transactions between the fund and the applicable counterparty. The fund's right to setoff may be restricted or prohibited by the bankruptcy or insolvency laws of the particular jurisdiction to which a specific master netting agreement counterparty is subject. Balance sheet offsetting disclosures, to the extent applicable to the fund, have been included in the fund’s Significant Accounting Policies note under the captions for each of the fund’s in-scope financial instruments and transactions.
Investment Valuations — Subject to its oversight, the fund's Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments to MFS as the fund's adviser, pursuant to the fund’s valuation policy and procedures which have been adopted by the adviser and approved by the Board. In accordance with Rule 2a-5 under the Investment Company Act of 1940, the Board of Trustees designated the adviser as the “valuation designee” of the fund. If the
Notes to Financial Statements (unaudited) - continued
adviser, as valuation designee, determines that reliable market quotations are not readily available for an investment, the investment is valued at fair value as determined in good faith by the adviser in accordance with the adviser’s fair valuation policy and procedures.
Under the fund's valuation policy and procedures, equity securities, including restricted equity securities, are generally valued at the last sale or official closing price on their primary market or exchange as provided by a third-party pricing service. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation on their primary market or exchange as provided by a third-party pricing service. Debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value.
Exchange-traded options are generally valued at the last sale or official closing price on their primary exchange as provided by a third-party pricing service. Exchange-traded options for which there were no sales reported that day are generally valued at the last daily bid quotation on their primary exchange as provided by a third-party pricing service. For put options, the position may be valued at the last daily ask quotation if there are no trades reported during the day. Options not traded on an exchange are generally valued at a broker/dealer bid quotation. Foreign currency options are generally valued at valuations provided by a third-party pricing service. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party pricing service.
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. 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.
Under the fund’s valuation policy and procedures, market quotations are not considered to be readily available for debt instruments, floating rate loans, and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services or otherwise determined by the adviser in accordance with the adviser’s fair valuation policy and procedures. 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. In determining values, third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, spreads and other market data. An investment may also be valued at fair value if the adviser determines that the 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 halt 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 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
Notes to Financial Statements (unaudited) - continued
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 significant unobservable inputs, which may include the adviser's own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts and forward foreign currency exchange contracts. The following is a summary of the levels used as of July 31, 2023 in valuing the fund's assets and liabilities:
Notes to Financial Statements (unaudited) - continued
| Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
| Equity Securities: | | | | |
| United States | $182,940 | $— | $1,157,552 | $1,340,492 |
| Luxembourg | — | 1,338,218 | — | 1,338,218 |
| United Kingdom | — | 21,678 | — | 21,678 |
| U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 8,720,183 | — | 8,720,183 |
| U.S. Corporate Bonds | — | 1,355,049,691 | — | 1,355,049,691 |
| Asset-Backed Securities (including CDOs) | — | 347 | — | 347 |
| Foreign Bonds | — | 259,288,886 | — | 259,288,886 |
| Mutual Funds | 85,656,915 | — | — | 85,656,915 |
| Total | $85,839,855 | $1,624,419,003 | $1,157,552 | $1,711,416,410 |
| Other Financial Instruments | | | | |
| Futures Contracts – Liabilities | $(774,721) | $— | $— | $(774,721) |
| Forward Foreign Currency Exchange Contracts – Assets | — | 264,755 | — | 264,755 |
| Forward Foreign Currency Exchange Contracts – Liabilities | — | (20,378) | — | (20,378) |
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 1/31/23 | $1,402,657 |
| Realized gain (loss) | 391,535 |
| Change in unrealized appreciation or depreciation | (245,105) |
| Sales | (391,535) |
| Balance as of 7/31/23 | $1,157,552 |
The net change in unrealized appreciation or depreciation from investments held as level 3 at July 31, 2023 is $68,672. At July 31, 2023, the fund held one level 3 security.
Foreign Currency Translation — Purchases and sales of foreign investments, income, and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions or on the reporting date for foreign denominated receivables and payables. Gains and losses attributable to foreign currency exchange rates on sales of securities are recorded for financial statement purposes as net realized gains and losses on investments. Gains and losses attributable to foreign exchange rate movements on receivables, payables, income and expenses
Notes to Financial Statements (unaudited) - continued
are recorded for financial statement purposes as foreign currency transaction gains and losses. That portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
Derivatives — The fund uses derivatives primarily to increase or decrease exposure to a particular market or segment of the market, or security, to increase or decrease interest rate exposure, or as alternatives to direct investments. Derivatives are used for hedging or non-hedging purposes. While hedging can reduce or eliminate losses, it can also reduce or eliminate gains. When the fund uses derivatives as an investment to increase market exposure, or for hedging purposes, gains and losses from derivative instruments may be substantially greater than the derivative’s original cost.
The derivative instruments used by the fund during the period were purchased options, futures contracts, and forward foreign currency exchange contracts. Depending on the type of derivative, a fund may exit a derivative position by entering into an offsetting transaction with a counterparty or exchange, negotiating an agreement with the derivative counterparty, or novating the position to a third party.
The following table presents, by major type of derivative contract, the fair value, on a gross basis, of the asset and liability components of derivatives held by the fund at July 31, 2023 as reported in the Statement of Assets and Liabilities:
| | | Fair Value (a) |
| Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
| Equity | Purchased Option Contracts | $182,940 | $— |
| Interest Rate | Futures Contracts | — | (774,721) |
| Foreign Exchange | Forward Foreign Currency Exchange Contracts | 264,755 | (20,378) |
| Total | | $447,695 | $(795,099) |
| (a) | The value of purchased options outstanding is included in investments in unaffiliated issuers, at value, within the Statement of Assets and Liabilities. Values presented in this table for futures contracts correspond to the values reported in the Portfolio of Investments. Only the current day net variation margin for futures contracts is reported separately within the Statement of Assets and Liabilities. |
The following table presents, by major type of derivative contract, the realized gain (loss) on derivatives held by the fund for the six months ended July 31, 2023 as reported in the Statement of Operations:
| Risk | Futures
Contracts | Forward Foreign
Currency
Exchange
Contracts | Unaffiliated Issuers
(Purchased
Options) |
| Interest Rate | $61,024 | $— | $— |
| Foreign Exchange | — | (283,606) | — |
| Equity | — | — | (1,554,492) |
| Total | $61,024 | $(283,606) | $(1,554,492) |
Notes to Financial Statements (unaudited) - continued
The following table presents, by major type of derivative contract, the change in unrealized appreciation or depreciation on derivatives held by the fund for the six months ended July 31, 2023 as reported in the Statement of Operations:
| Risk | Futures
Contracts | Forward Foreign
Currency
Exchange
Contracts | Unaffiliated Issuers
(Purchased
Options) |
| Interest Rate | $(809,891) | $— | $— |
| Foreign Exchange | — | 298,909 | — |
| Equity | — | — | (686,025) |
| Total | $(809,891) | $298,909 | $(686,025) |
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain, but not all, uncleared derivatives, the fund attempts to reduce its exposure to counterparty credit risk whenever possible by entering into an ISDA Master Agreement on a bilateral basis. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a specified deterioration in the credit quality of the other party. Upon an event of default or a termination of the ISDA Master Agreement, the non-defaulting party has the right to close out all transactions traded under such agreement and to net amounts owed under each agreement to one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the fund's credit risk to such counterparty equal to any amounts payable by the fund under the applicable transactions, if any.
Collateral and margin requirements differ by type of derivative. For cleared derivatives (e.g., futures contracts, cleared swaps, and exchange-traded options), margin requirements are set by the clearing broker and the clearing house and collateral, in the form of cash or securities, is posted by the fund directly with the clearing broker. Collateral terms are counterparty agreement specific for uncleared derivatives (e.g., forward foreign currency exchange contracts, uncleared swap agreements, and uncleared options) and collateral, in the form of cash and securities, is held in segregated accounts with the fund's custodian in connection with these agreements. For derivatives traded under an ISDA Master Agreement, which contains a credit support annex, the collateral requirements are netted across all transactions traded under such counterparty-specific agreement and an amount is posted from one party to the other to collateralize such obligations. Cash that has been segregated or delivered to cover the fund's collateral or margin obligations under derivative contracts, if any, will be reported separately in the Statement of Assets and Liabilities as restricted cash for uncleared derivatives and/or deposits with brokers for cleared derivatives. Securities pledged as collateral or margin for the same purpose, if any, are noted in the Portfolio of Investments. The fund may be required to make payments of interest on uncovered collateral or margin obligations with the broker. Any such payments are included in “Miscellaneous” expense in the Statement of Operations.
Notes to Financial Statements (unaudited) - continued
Purchased Options — The fund purchased put options for a premium. Purchased put options entitle the holder to buy a specified number of shares or units of a particular security, currency or index at a specified price at a specified date or within a specified period of time. Purchasing put options may hedge against an anticipated decline in the value of portfolio securities or currency or decrease the fund's exposure to an underlying instrument.
The premium paid is initially recorded as an investment in the Statement of Assets and Liabilities. That investment is subsequently marked-to-market daily with the difference between the premium paid and the market value of the purchased option being recorded as unrealized appreciation or depreciation. Premiums paid for purchased put options which have expired are treated as realized losses on investments in the Statement of Operations. Upon the exercise or closing of a purchased put option, the premium paid is added to the cost of the security or financial instrument purchased.
Whether or not the option is exercised, the fund's maximum risk of loss from purchasing an option is the amount of premium paid. All option contracts involve credit risk if the counterparty to the option contract fails to perform. For uncleared options, this risk is mitigated in cases where there is an ISDA Master Agreement between the fund and the counterparty providing for netting as described above and, where applicable, by the posting of collateral by the counterparty to the fund to cover the fund’s exposure to the counterparty under such ISDA Master Agreement.
Futures Contracts — The fund entered into futures contracts which may be used to hedge against or obtain broad market exposure, interest rate exposure, currency exposure, or to manage duration. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a futures contract, the fund is required to deposit with the broker, either in cash or securities, an initial margin in an amount equal to a specified percentage of the notional amount of the contract. Subsequent payments (variation margin) are made or received by the fund each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gain or loss by the fund until the contract is closed or expires at which point the gain or loss on futures contracts is realized.
The fund bears the risk of interest rates, exchange rates or securities prices moving unexpectedly, in which case, the fund may not achieve the anticipated benefits of the futures contracts and may realize a loss. While futures contracts may present less counterparty risk to the fund since the contracts are exchange traded and the exchange’s clearinghouse guarantees payments to the broker, there is still counterparty credit risk due to the insolvency of the broker. The fund’s maximum risk of loss due to counterparty credit risk is equal to the margin posted by the fund to the broker plus any gains or minus any losses on the outstanding futures contracts.
Forward Foreign Currency Exchange Contracts — The fund entered into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. These contracts may be used to hedge the fund’s currency risk or for non-hedging purposes. For hedging purposes, the fund may enter into contracts to deliver or receive foreign currency that the fund will receive from or use in its normal investment activities. The fund may also use contracts to hedge against declines in the value of foreign currency denominated securities due to
Notes to Financial Statements (unaudited) - continued
unfavorable exchange rate movements. For non-hedging purposes, the fund may enter into contracts with the intent of changing the relative exposure of the fund’s portfolio of securities to different currencies to take advantage of anticipated exchange rate changes.
Forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any unrealized gains or losses are recorded as a receivable or payable for forward foreign currency exchange contracts until the contract settlement date. On contract settlement date, any gain or loss on the contract is recorded as realized gains or losses on forward foreign currency exchange contracts.
Risks may arise upon entering into these contracts from unanticipated movements in the value of the contract and from the potential inability of counterparties to meet the terms of their contracts. Generally, the fund’s maximum risk due to counterparty credit risk is the unrealized gain on the contract due to the use of Continuous Linked Settlement, a multicurrency cash settlement system for the centralized settlement of foreign transactions. This risk is mitigated in cases where there is an ISDA Master Agreement between the fund and the counterparty providing for netting as described above and, where applicable, by the posting of collateral by the counterparty to the fund to cover the fund’s exposure to the counterparty under such ISDA Master Agreement.
Indemnifications — Under the fund's organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the fund. Additionally, in the normal course of business, the fund enters into agreements with service providers that may contain indemnification clauses. The fund's maximum exposure under these agreements is unknown as this would involve future claims that may be made against the fund that have not yet occurred.
Investment Transactions and Income — Interest income is recorded on the accrual basis. All premium and discount is amortized or accreted for financial statement purposes in accordance with U.S. generally accepted accounting principles. Dividends received in cash are recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded when the fund is informed of the dividend if such information is obtained subsequent to the ex-dividend date. Dividend and interest payments received in additional securities are recorded on the ex-dividend or ex-interest date in an amount equal to the value of the security on such date.
The fund may receive proceeds from litigation settlements. Any proceeds received from litigation involving portfolio holdings are reflected in the Statement of Operations in realized gain/loss if the security has been disposed of by the fund or in unrealized gain/loss if the security is still held by the fund. Any other proceeds from litigation not related to portfolio holdings are reflected as other income in the Statement of Operations.
Investment transactions are recorded on the trade date. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
Fees Paid Indirectly — The fund's custody fee may be reduced by a credit earned under an arrangement that measures the value of U.S. dollars deposited with the custodian by the fund. For the six months ended July 31, 2023, custodian fees were not reduced.
Notes to Financial Statements (unaudited) - continued
Tax Matters and Distributions — The fund intends to qualify as a regulated investment company, as defined under Subchapter M of the Internal Revenue Code, and to distribute all of its taxable income, including realized capital gains. As a result, no provision for federal income tax is required. The fund’s federal tax returns, when filed, will remain subject to examination by the Internal Revenue Service for a three year period. Management has analyzed the fund’s tax positions taken on federal and state tax returns for all open tax years and does not believe that there are any uncertain tax positions that require recognition of a tax liability. Foreign taxes, if any, have been accrued by the fund in the accompanying financial statements in accordance with the applicable foreign tax law. Foreign income taxes may be withheld by certain countries in which the fund invests. Additionally, capital gains realized by the fund on securities issued in or by certain foreign countries may be subject to capital gains tax imposed by those countries.
Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences which arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future.
Book/tax differences primarily relate to amortization and accretion of debt securities.
The tax character of distributions made during the current period will be determined at fiscal year end. The tax character of distributions declared to shareholders for the last fiscal year is as follows:
| | Year ended
1/31/23 |
| Ordinary income (including any short-term capital gains) | $94,049,766 |
The federal tax cost and the tax basis components of distributable earnings were as follows:
| As of 7/31/23 | |
| Cost of investments | $1,839,798,722 |
| Gross appreciation | 8,052,198 |
| Gross depreciation | (136,434,510) |
| Net unrealized appreciation (depreciation) | $(128,382,312) |
| As of 1/31/23 | |
| Undistributed ordinary income | 5,599,539 |
| Capital loss carryforwards | (140,965,138) |
| Other temporary differences | (8,092,922) |
| Net unrealized appreciation (depreciation) | (170,348,872) |
The aggregate cost above includes prior fiscal year end tax adjustments, if applicable.
Notes to Financial Statements (unaudited) - continued
As of January 31, 2023, the fund had capital loss carryforwards available to offset future realized gains. These net capital losses may be carried forward indefinitely and their character is retained as short-term and/or long-term losses. Such losses are characterized as follows:
| Short-Term | $(20,610,653) |
| Long-Term | (120,354,485) |
| Total | $(140,965,138) |
Multiple Classes of Shares of Beneficial Interest — The fund offers multiple classes of shares, which differ in their respective distribution and service fees. The fund's income and common expenses are allocated to shareholders based on the value of settled shares outstanding of each class. The fund's realized and unrealized gain (loss) are allocated to shareholders based on the daily net assets of each class. Dividends are declared separately for each class. Differences in per share dividend rates are generally due to differences in separate class expenses. Class B and Class C shares will convert to Class A shares approximately eight years after purchase. The fund’s distributions declared to shareholders as reported in the Statements of Changes in Net Assets are presented by class as follows:
| | Six months ended
7/31/23 | Year ended
1/31/23 |
| Class A | $17,876,930 | $31,925,762 |
| Class B | 69,661 | 160,560 |
| Class C | 281,299 | 569,072 |
| Class I | 4,700,222 | 9,621,986 |
| Class R1 | 17,640 | 29,527 |
| Class R2 | 41,118 | 86,874 |
| Class R3 | 30,266 | 87,286 |
| Class R4 | 10,351 | 18,781 |
| Class R6 | 28,067,090 | 51,479,518 |
| Total | $51,094,577 | $94,049,766 |
(3) Transactions with Affiliates
Investment Adviser — The fund has an investment advisory agreement with MFS to provide overall investment management and related administrative services and facilities to the fund. The management fee is computed daily and paid monthly at the following annual rates based on the fund's average daily net assets:
| Up to $1.4 billion | 0.46% |
| In excess of $1.4 billion and up to $3 billion | 0.44% |
| In excess of $3 billion | 0.42% |
MFS has agreed in writing to reduce its management fee by a specified amount if certain MFS mutual fund assets exceed thresholds agreed to by MFS and the fund's Board of Trustees. MFS has also agreed in writing to waive at least 0.01% of its management fee as part of this agreement. The agreement to waive at least 0.01% of the management fee will continue until modified by the fund's Board of Trustees, but such agreement will continue at least until May 31, 2024. For the six months ended July 31, 2023, this management fee reduction amounted to $108,590, which is
Notes to Financial Statements (unaudited) - continued
included in the reduction of total expenses in the Statement of Operations. The management fee incurred for the six months ended July 31, 2023 was equivalent to an annual effective rate of 0.44% of the fund's average daily net assets.
Distributor — MFS Fund Distributors, Inc. (MFD), a wholly-owned subsidiary of MFS, as distributor, received $10,876 for the six months ended July 31, 2023, as its portion of the initial sales charge on sales of Class A shares of the fund.
The Board of Trustees has adopted a distribution plan for certain share classes pursuant to Rule 12b-1 of the Investment Company Act of 1940.
The fund's distribution plan provides that the fund will pay MFD for services provided by MFD and financial intermediaries in connection with the distribution and servicing of certain share classes. One component of the plan is a distribution fee paid to MFD and another component of the plan is a service fee paid to MFD. MFD may subsequently pay all, or a portion, of the distribution and/or service fees to financial intermediaries. The distribution and service fees are computed daily and paid monthly.
Distribution Plan Fee Table:
| | Distribution
Fee Rate (d) | Service
Fee Rate (d) | Total
Distribution
Plan (d) | Annual
Effective
Rate (e) | Distribution
and Service
Fee |
| Class A | — | 0.25% | 0.25% | 0.25% | $ 773,396 |
| Class B | 0.75% | 0.25% | 1.00% | 1.00% | 13,864 |
| Class C | 0.75% | 0.25% | 1.00% | 1.00% | 55,993 |
| Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 3,507 |
| Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 3,721 |
| Class R3 | — | 0.25% | 0.25% | 0.25% | 1,308 |
| Total Distribution and Service Fees | | | | | $851,789 |
| (d) | In accordance with the distribution plan for certain classes, the fund pays distribution and/or service fees equal to these annual percentage rates of each class’s average daily net assets. The distribution and service fee rates disclosed by class represent the current rates in effect at the end of the reporting period. Any rate changes, if applicable, are detailed below. |
| (e) | The annual effective rates represent actual fees incurred under the distribution plan for the six months ended July 31, 2023 based on each class's average daily net assets. MFD has voluntarily agreed to rebate a portion of each class's 0.25% service fee attributable to accounts for which there is no financial intermediary specified on the account except for accounts attributable to MFS or its affiliates' seed money. For the six months ended July 31, 2023, this rebate amounted to $1,073 for Class A shares and is included in the reduction of total expenses in the Statement of Operations. |
Certain Class A shares are subject to a contingent deferred sales charge (CDSC) in the event of a shareholder redemption within 18 months of purchase. Class B shares are subject to a CDSC in the event of a shareholder redemption within six years of
Notes to Financial Statements (unaudited) - continued
purchase. Class C shares are subject to a CDSC in the event of a shareholder redemption within 12 months of purchase. All contingent deferred sales charges are paid to MFD and during the six months ended July 31, 2023, were as follows:
| | Amount |
| Class A | $7,607 |
| Class B | 576 |
| Class C | 2,205 |
Shareholder Servicing Agent — MFS Service Center, Inc. (MFSC), a wholly-owned subsidiary of MFS, receives a fee from the fund for its services as shareholder servicing agent calculated as a percentage of the average daily net assets of the fund as determined periodically under the supervision of the fund's Board of Trustees. For the six months ended July 31, 2023, the fee was $96,679, which equated to 0.0113% annually of the fund's average daily net assets. MFSC also receives reimbursement from the fund for out-of-pocket expenses, sub-accounting and other shareholder servicing costs which may be paid to affiliated and unaffiliated service providers. Class R6 shares do not incur sub-accounting fees. For the six months ended July 31, 2023, these out-of-pocket expenses, sub-accounting and other shareholder servicing costs amounted to $485,380.
Administrator — MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to the fund. Under an administrative services agreement, the fund reimburses MFS the costs incurred to provide these services. The fund is charged an annual fixed amount of $17,500 plus a fee based on average daily net assets. The administrative services fee is computed daily and paid monthly. The administrative services fee incurred for the six months ended July 31, 2023 was equivalent to an annual effective rate of 0.0151% of the fund's average daily net assets.
Trustees’ and Officers’ Compensation — The fund pays compensation to independent Trustees in the form of a retainer, attendance fees, and additional compensation to Board and Committee chairpersons. Independent Trustees’ compensation is accrued daily and paid subsequent to each Trustee Board meeting. The fund does not pay compensation directly to Trustees or officers of the fund who are also officers of the investment adviser, all of whom receive remuneration from MFS for their services to the fund. Certain officers and Trustees of the fund are officers or directors of MFS, MFD, and MFSC.
Prior to December 31, 2001, the fund had an unfunded defined benefit plan (“DB plan”) for independent Trustees. As of December 31, 2001, the Board took action to terminate the DB plan with respect to then-current and any future independent Trustees, such that the DB plan covers only certain of those former independent Trustees who retired on or before December 31, 2001. The DB plan resulted in a pension expense of $827 and is included in “Independent Trustees’ compensation” in the Statement of Operations for the six months ended July 31, 2023. The liability for deferred retirement benefits payable to those former independent Trustees under the DB plan amounted to $957 at July 31, 2023, and is included in “Payable for independent Trustees’ compensation” in the Statement of Assets and Liabilities. The deferred retirement benefits compensation fee is accrued daily and paid monthly.
Notes to Financial Statements (unaudited) - continued
Other — The fund invests in the MFS Institutional Money Market Portfolio which is managed by MFS and seeks current income consistent with preservation of capital and liquidity. This money market fund does not pay a management fee to MFS but does incur investment and operating costs.
(4) Portfolio Securities
For the six months ended July 31, 2023, purchases and sales of investments, other than purchased options with an expiration date of less than one year from the time of purchase and short-term obligations, aggregated $404,870,466 and $456,796,677, respectively.
(5) Shares of Beneficial Interest
The fund's Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest. Transactions in fund shares were as follows:
| | Six months ended
7/31/23 | | Year ended
1/31/23 |
| | Shares | Amount | | Shares | Amount |
| Shares sold | | | | | |
| Class A | 15,400,563 | $45,612,045 | | 34,239,361 | $103,975,427 |
| Class B | 9,871 | 29,502 | | 57,318 | 172,695 |
| Class C | 256,606 | 759,624 | | 510,661 | 1,531,529 |
| Class I | 6,068,970 | 17,928,281 | | 38,542,522 | 115,441,933 |
| Class R1 | 12,334 | 36,518 | | 26,943 | 81,037 |
| Class R2 | 23,632 | 69,479 | | 236,743 | 739,407 |
| Class R3 | 34,924 | 103,055 | | 222,741 | 712,439 |
| Class R4 | 9,237 | 27,312 | | 8,221 | 25,343 |
| Class R6 | 15,479,463 | 45,800,215 | | 21,815,819 | 66,118,697 |
| Class 529A | — | — | | 194,427 | 621,092 |
| Class 529C | — | — | | 4,009 | 13,074 |
| | 37,295,600 | $110,366,031 | | 95,858,765 | $289,432,673 |
Notes to Financial Statements (unaudited) - continued
| | Six months ended
7/31/23 | | Year ended
1/31/23 |
| | Shares | Amount | | Shares | Amount |
Shares issued to shareholders
in reinvestment of distributions | | | | | |
| Class A | 5,886,284 | $17,443,078 | | 10,385,501 | $31,089,436 |
| Class B | 22,704 | 67,351 | | 51,185 | 153,778 |
| Class C | 92,240 | 274,249 | | 183,364 | 551,602 |
| Class I | 1,290,506 | 3,810,018 | | 2,645,976 | 7,896,443 |
| Class R1 | 5,945 | 17,639 | | 9,847 | 29,511 |
| Class R2 | 13,953 | 41,116 | | 29,102 | 86,684 |
| Class R3 | 10,238 | 30,261 | | 28,937 | 87,242 |
| Class R4 | 3,489 | 10,351 | | 6,275 | 18,779 |
| Class R6 | 9,425,012 | 27,929,686 | | 17,115,265 | 51,246,373 |
| Class 529A | — | — | | 17,073 | 54,383 |
| Class 529B | — | — | | 61 | 251 |
| Class 529C | — | — | | 379 | 1,239 |
| | 16,750,371 | $49,623,749 | | 30,472,965 | $91,215,721 |
| Shares reacquired | | | | | |
| Class A | (17,347,773) | $(51,313,745) | | (41,474,679) | $(124,583,060) |
| Class B | (142,081) | (420,901) | | (542,109) | (1,625,622) |
| Class C | (657,020) | (1,946,306) | | (1,756,772) | (5,346,479) |
| Class I | (24,617,889) | (72,606,639) | | (41,165,559) | (125,307,188) |
| Class R1 | (8,312) | (24,631) | | (90,964) | (292,009) |
| Class R2 | (93,902) | (276,944) | | (344,291) | (1,055,962) |
| Class R3 | (130,938) | (386,026) | | (598,859) | (1,809,442) |
| Class R4 | (12,055) | (35,453) | | (6,028) | (18,457) |
| Class R6 | (12,042,097) | (35,567,597) | | (49,066,141) | (145,737,382) |
| Class 529A | — | — | | (1,665,310) | (4,989,975) |
| Class 529B | — | — | | (20,862) | (66,973) |
| Class 529C | — | — | | (131,973) | (422,443) |
| | (55,052,067) | $(162,578,242) | | (136,863,547) | $(411,254,992) |
Notes to Financial Statements (unaudited) - continued
| | Six months ended
7/31/23 | | Year ended
1/31/23 |
| | Shares | Amount | | Shares | Amount |
| Net change | | | | | |
| Class A | 3,939,074 | $11,741,378 | | 3,150,183 | $10,481,803 |
| Class B | (109,506) | (324,048) | | (433,606) | (1,299,149) |
| Class C | (308,174) | (912,433) | | (1,062,747) | (3,263,348) |
| Class I | (17,258,413) | (50,868,340) | | 22,939 | (1,968,812) |
| Class R1 | 9,967 | 29,526 | | (54,174) | (181,461) |
| Class R2 | (56,317) | (166,349) | | (78,446) | (229,871) |
| Class R3 | (85,776) | (252,710) | | (347,181) | (1,009,761) |
| Class R4 | 671 | 2,210 | | 8,468 | 25,665 |
| Class R6 | 12,862,378 | 38,162,304 | | (10,135,057) | (28,372,312) |
| Class 529A | — | — | | (1,453,810) | (4,314,500) |
| Class 529B | — | — | | (20,801) | (66,722) |
| Class 529C | — | — | | (127,585) | (408,130) |
| | (1,006,096) | $(2,588,462) | | (10,531,817) | $(30,606,598) |
Effective June 1, 2019, purchases of the fund’s Class B and Class 529B shares were closed to new and existing investors subject to certain exceptions. Effective after the close of business on March 18, 2022, all sales of Class 529B and Class 529C shares were suspended, and Class 529B and Class 529C shares were converted into Class 529A shares of the fund effective March 21, 2022. Effective after the close of business on May 13, 2022, all sales and redemptions of Class 529A shares were suspended, and all Class 529A shares were redeemed on May 20, 2022. On March 30, 2023, the fund announced that effective after the close of business on September 29, 2023, purchases of Class R1 and Class R2 shares will be closed to new eligible investors.
The fund is one of several mutual funds in which certain MFS funds may invest. The MFS funds do not invest in the underlying funds for the purpose of exercising management or control. At the end of the period, the MFS Moderate Allocation Fund, the MFS Growth Allocation Fund, the MFS Conservative Allocation Fund, the MFS Lifetime 2030 Fund, the MFS Lifetime 2035 Fund, the MFS Lifetime 2040 Fund, the MFS Lifetime Income Fund, and the MFS Lifetime 2025 Fund were the owners of record of approximately 15%, 15%, 9%, 2%, 1%, 1%, 1%, and 1%, respectively, of the value of outstanding voting shares of the fund. In addition, the MFS Lifetime 2045 Fund was the owner of record of less than 1% of the value of outstanding voting shares of the fund.
(6) Line of Credit
The fund and certain other funds managed by MFS participate in a $1.45 billion unsecured committed line of credit of which $1.2 billion is reserved for use by the fund and certain other MFS U.S. funds. The line of credit is provided by a syndicate of banks under a credit agreement. Borrowings may be made for temporary financing needs. Interest is charged to each fund, based on its borrowings, generally at a rate equal to the highest of 1) Daily Simple SOFR (Secured Overnight Financing Rate) plus 0.10%, 2) the Federal Funds Effective Rate, or 3) the Overnight Bank Funding Rate, each plus an
Notes to Financial Statements (unaudited) - continued
agreed upon spread. A commitment fee, based on the average daily unused portion of the committed line of credit, is allocated among the participating funds. The line of credit expires on March 14, 2024 unless extended or renewed. In addition, the fund and other funds managed by MFS have established unsecured uncommitted borrowing arrangements with certain banks for temporary financing needs. Interest is charged to each fund, based on its borrowings, at rates equal to customary reference rates plus an agreed upon spread. For the six months ended July 31, 2023, the fund’s commitment fee and interest expense were $4,339 and $0, respectively, and are included in “Miscellaneous” expense in the Statement of Operations.
(7) Investments in 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 following were affiliated issuers:
| Affiliated Issuers | Beginning
Value | Purchases | Sales
Proceeds | Realized
Gain
(Loss) | Change in
Unrealized
Appreciation or
Depreciation | Ending
Value |
| MFS Institutional Money Market Portfolio | $64,030,541 | $218,341,531 | $196,711,010 | $2,709 | $(6,856) | $85,656,915 |
| Affiliated Issuers | Dividend
Income | Capital Gain
Distributions |
| MFS Institutional Money Market Portfolio | $1,838,665 | $— |
Board Review of Investment Advisory Agreement
MFS High Income Fund
The Investment Company Act of 1940 requires that both the full Board of Trustees and a majority of the non-interested (“independent”) Trustees, voting separately, annually approve the continuation of the Fund’s investment advisory agreement with MFS. The Trustees consider matters bearing on the Fund and its advisory arrangements at their meetings throughout the year, including a review of performance data at each regular meeting. In addition, the independent Trustees met several times over the course of three months beginning in May and ending in July, 2023 (“contract review meetings”) for the specific purpose of considering whether to approve the continuation of the investment advisory agreement for the Fund and the other investment companies that the Board oversees (the “MFS Funds”). The independent Trustees were assisted in their evaluation of the Fund’s investment advisory agreement by independent legal counsel, from whom they received separate legal advice and with whom they met separately from MFS during various contract review meetings. The independent Trustees were also assisted in this process by an independent consultant who was retained by and reported to the independent Trustees.
In connection with their deliberations regarding the continuation of the investment advisory agreement, the Trustees, including the independent Trustees, considered such information and factors as they believed, in light of the legal advice furnished to them and their own business judgment, to be relevant. The investment advisory agreement for the Fund was considered separately, although the Trustees also took into account the common interests of all MFS Funds in their review. As described below, the Trustees considered the nature, quality, and extent of the various investment advisory, administrative, and shareholder services performed by MFS under the existing investment advisory agreement and other arrangements with the Fund.
In connection with their contract review meetings, the Trustees received and relied upon materials that included, among other items: (i) information provided by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent third party, on the investment performance of the Fund for various time periods ended December 31, 2022 and the investment performance of a group of funds with substantially similar investment classifications/objectives (the “Broadridge performance universe”), (ii) information provided by Broadridge on the Fund’s advisory fees and other expenses and the advisory fees and other expenses of comparable funds identified by Broadridge as well as all other funds in the same investment classification/category (the “Broadridge expense group and universe”), (iii) information provided by MFS on the advisory fees of portfolios of other clients of MFS, including institutional separate accounts and other clients, (iv) information as to whether and to what extent applicable expense waivers, reimbursements or fee “breakpoints” are observed for the Fund, (v) information regarding MFS’ financial results and financial condition, including MFS’ and certain of its affiliates’ estimated profitability from services performed for the Fund and the MFS Funds as a whole, and compared to MFS’ institutional business, (vi) MFS’ views regarding the outlook for the mutual fund industry and the strategic business plans of MFS, (vii) descriptions of various functions performed by MFS for the Funds, such as compliance monitoring and portfolio trading practices, and (viii) information regarding the overall organization of MFS, including information about
Board Review of Investment Advisory Agreement - continued
MFS’ senior management and other personnel providing investment advisory, administrative and other services to the Fund and the other MFS Funds. The comparative performance, fee and expense information prepared and provided by Broadridge was not independently verified and the independent Trustees did not independently verify any information provided to them by MFS.
The Trustees’ conclusion as to the continuation of the investment advisory agreement was based on a comprehensive consideration of all information provided to the Trustees and not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations are described below, although individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. It is also important to recognize that the fee arrangements for the Fund and other MFS Funds are the result of years of review and discussion between the independent Trustees and MFS, that certain aspects of such arrangements may receive greater scrutiny in some years than in others, and that the Trustees’ conclusions may be based, in part, on their consideration of these same arrangements during the course of the year and in prior years.
Based on information provided by Broadridge and MFS, the Trustees reviewed the Fund’s total return investment performance as well as the Broadridge performance universe over various time periods. The Trustees placed particular emphasis on the total return performance of the Fund’s Class I shares in comparison to the performance of funds in its Broadridge performance universe over the five-year period ended December 31, 2022, which the Trustees believed was a long enough period to reflect differing market conditions. The total return performance of the Fund’s Class I shares was in the 3rd quintile relative to the other funds in the universe for this five-year period (the 1st quintile being the best performers and the 5th quintile being the worst performers). The total return performance of the Fund’s Class I shares was in the 3rd quintile for the one-year period and the 4th quintile for the three-year period ended December 31, 2022 relative to the Broadridge performance universe. Because of the passage of time, these performance results may differ from the performance results for more recent periods, including those shown elsewhere in this report.
In addition to considering the performance information provided in connection with the contract review meetings, the Trustees noted that, in light of the Fund’s substandard relative performance at the time of their contract review meetings in 2022, they had met at each of their regular meetings since then with MFS’ senior investment management personnel to discuss the Fund’s performance and MFS’ efforts to improve the Fund’s performance. The Trustees further noted that the Fund’s five-year performance as compared to its Broadridge performance universe improved for the period ended December 31, 2022, as compared to the prior year. Taking this information into account, the Trustees concluded, within the context of their overall conclusions regarding the investment advisory agreement, that they were satisfied with MFS’ responses and efforts relating to investment performance.
In assessing the reasonableness of the Fund’s advisory fee, the Trustees considered, among other information, the Fund’s advisory fee and the total expense ratio of the Fund’s Class I shares as a percentage of average daily net assets and the advisory fee and total expense ratios of the Broadridge expense group based on information provided by Broadridge. The Trustees considered that, according to the data provided by Broadridge (which takes into account any fee reductions or expense limitations that
Board Review of Investment Advisory Agreement - continued
were in effect during the Fund’s last fiscal year), the Fund’s effective advisory fee rate was lower than the Broadridge expense group median and the Fund’s total expense ratio was approximately at the Broadridge expense group median.
The Trustees also considered the advisory fees charged by MFS to any institutional separate accounts advised by MFS (“separate accounts”) and unaffiliated investment companies for which MFS serves as subadviser (“subadvised funds”) that have comparable investment strategies to the Fund, if any. In comparing these fees, the Trustees considered information provided by MFS as to the generally broader scope of services provided by MFS to the Fund, as well as the more extensive regulatory burdens imposed on MFS in managing the Fund, in comparison to separate accounts and subadvised funds. The Trustees also considered the higher demands placed on MFS’ investment personnel and trading infrastructure as a result of the daily cash in-flows and out-flows of the Fund in comparison to separate accounts.
The Trustees also considered whether the Fund may benefit from any economies of scale in the management of the Fund in the event of growth in assets of the Fund and/or growth in assets of the MFS Funds as a whole. They noted that the Fund’s advisory fee rate schedule is subject to contractual breakpoints that reduce the Fund’s advisory fee rate on average daily net assets over $1.4 billion and $3 billion. The Trustees also noted that MFS has agreed in writing to waive a portion of the management fees of certain MFS Funds, including the Fund, if the total combined assets of certain funds within the MFS Funds’ complex increase above agreed upon thresholds (the “group fee waiver”), enabling the Fund’s shareholders to share in the benefits from any economies of scale at the complex level. The group fee waiver is reviewed and renewed annually between the Board and MFS. The Trustees concluded that the breakpoints and the group fee waiver were sufficient to allow the Fund to benefit from economies of scale as its assets and overall complex assets grow.
The Trustees also considered information prepared by MFS relating to MFS’ costs and profits with respect to the Fund, the MFS Funds considered as a group, and other investment companies and accounts advised by MFS, as well as MFS’ methodologies used to determine and allocate its costs to the MFS Funds, the Fund and other accounts and products for purposes of estimating profitability.
After reviewing these and other factors described herein, the Trustees concluded, within the context of their overall conclusions regarding the investment advisory agreement, that the advisory fees charged to the Fund represent reasonable compensation in light of the services being provided by MFS to the Fund.
In addition, the Trustees considered MFS’ resources and related efforts to continue to retain, attract and motivate capable personnel to serve the Fund. The Trustees also considered current and developing conditions in the financial services industry, including the presence of large and well-capitalized companies which are spending, and appear to be prepared to continue to spend, substantial sums to engage personnel and to provide services to competing investment companies. In this regard, the Trustees also considered the financial resources of MFS and its ultimate parent, Sun Life Financial Inc. The Trustees also considered the advantages and possible disadvantages to the Fund of having an adviser that also serves other investment companies as well as other accounts.
Board Review of Investment Advisory Agreement - continued
The Trustees also considered the nature, quality, cost, and extent of administrative, transfer agency, and distribution services provided to the Fund by MFS and its affiliates under agreements and plans other than the investment advisory agreement, including any 12b-1 fees the Fund pays to MFS Fund Distributors, Inc., an affiliate of MFS. The Trustees also considered the nature, extent and quality of certain other services MFS performs or arranges for on the Fund’s behalf, which may include securities lending programs, directed expense payment programs, class action recovery programs, and MFS’ interaction with third-party service providers, principally custodians and sub-custodians. The Trustees concluded that the various non-advisory services provided by MFS and its affiliates on behalf of the Fund were satisfactory.
The Trustees considered so-called “fall-out benefits” to MFS such as reputational value derived from serving as investment manager to the MFS Funds. The Trustees also considered that MFS discontinued its historic practice of obtaining investment research from portfolio brokerage commissions paid by certain MFS Funds effective January 2018, and directly pays or voluntarily reimburses a Fund, if applicable, for the costs of external research acquired through the use of the Fund’s portfolio brokerage commissions.
Based on their evaluation of factors that they deemed to be material, including those factors described above, the Board of Trustees, including the independent Trustees, concluded that the Fund’s investment advisory agreement with MFS should be continued for an additional one-year period, commencing August 1, 2023.
Statement Regarding Liquidity Risk Management Program
The fund has adopted and implemented a liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940, as amended. The fund’s Board of Trustees (the “Board”) has designated MFS as the administrator of the Program. The Program is reasonably designed to assess and manage the liquidity risk of the fund. Liquidity risk is the risk that the fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors' interests.
MFS provided a written report to the Board for consideration at its March 2023 meeting that addressed the operation of the Program and provided an assessment of the adequacy and effectiveness of the Program during the period from January 1, 2022 to December 31, 2022 (the “Covered Period”). The report concluded that during the Covered Period the Program had operated effectively in all material respects and had adequately and effectively been implemented to assess and manage the fund’s liquidity risk. MFS also reported that there were no liquidity events that impacted the fund or its ability to timely meet redemptions without dilution to existing shareholders during the Covered Period.
There can be no assurance that the Program will achieve its objectives in the future. Further information on liquidity risk, and other principal risks to which an investment in the fund may be subject, can be found in the prospectus.
Proxy Voting Policies and Information
MFS votes proxies on behalf of the fund pursuant to proxy voting policies and procedures that are available without charge, upon request, by calling 1-800-225-2606, by visiting mfs.com/proxyvoting, or by visiting the SEC’s Web site at http://www.sec.gov.
Information regarding how the fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available by August 31 of each year without charge by visiting mfs.com/proxyvoting, or by visiting the SEC’s Web site at http://www.sec.gov.
Quarterly Portfolio Disclosure
The fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund's Form N-PORT reports are available on the SEC's Web site at http://www.sec.gov. A shareholder can obtain the portfolio holdings report for the first and third quarters of the fund's fiscal year at mfs.com/openendfunds by choosing the fund's name and then scrolling to the “Resources” section and clicking on the “Prospectus and Reports” tab.
Further Information
From time to time, MFS may post important information about the fund or the MFS Funds on the MFS Web site (mfs.com). This information is available at https://www.mfs.com/announcements or at mfs.com/openendfunds by choosing the fund’s name and then scrolling to the “Resources” section and clicking on the “Announcements” tab, if any.
Information About Fund Contracts and Legal Claims
The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent, and custodian who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
Under the Trust’s By-Laws and Declaration of Trust, any claims asserted against or on behalf of the MFS Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.
Provision of Financial Reports and Summary Prospectuses
The fund produces financial reports every six months and updates its summary prospectus and prospectus annually. To avoid sending duplicate copies of materials to households, only one copy of the fund’s annual and semiannual report and summary prospectus may be mailed to shareholders having the same last name and residential address on the fund’s records. However, any shareholder may contact MFSC (please see back cover for address and telephone number) to request that copies of these reports and summary prospectuses be sent personally to that shareholder.
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CONTACT
WEB SITE
mfs.com
MFS TALK
1-800-637-8255
24 hours a day
ACCOUNT SERVICE AND LITERATURE
Shareholders
1-800-225-2606
Financial advisors
1-800-343-2829
Retirement plan services
1-800-637-1255
MAILING ADDRESS
MFS Service Center, Inc.
P.O. Box 219341
Kansas City, MO 64121-9341
OVERNIGHT MAIL
MFS Service Center, Inc.
Suite 219341
430 W 7th Street
Kansas City, MO 64105-1407
Semiannual Report
July 31, 2023
MFS® Municipal High
Income Fund
MFS® Municipal High
Income Fund
| 1 |
| 3 |
| 5 |
| 113 |
| 115 |
| 116 |
| 117 |
| 122 |
| 133 |
| 137 |
| 138 |
| 138 |
| 138 |
| 138 |
| 138 |
The report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a current prospectus.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Portfolio structure (i)
Top ten industries (i)
| Healthcare Revenue - Long Term Care | 14.8% |
| Healthcare Revenue - Hospitals | 12.1% |
| Universities - Secondary Schools | 9.5% |
| Miscellaneous Revenue - Other | 7.5% |
| General Obligations - General Purpose | 5.5% |
| Tax - Sales | 5.4% |
| Multi-Family Housing Revenue | 4.7% |
| Universities - Colleges | 4.7% |
| Universities – Dormitories | 3.7% |
| General Obligations - Schools | 3.5% |
Composition including fixed income credit quality (a)(i)
| AAA | 1.2% |
| AA | 5.6% |
| A | 13.8% |
| BBB | 22.0% |
| BB | 16.3% |
| B | 2.1% |
| CCC | 1.3% |
| CC | 0.1% |
| C | 1.1% |
| D | 0.1% |
| Not Rated | 36.6% |
| Cash & Cash Equivalents | 0.1% |
| Other | (0.3)% |
Portfolio facts
| Average Duration (d) | 9.6 |
| Average Effective Maturity (m) | 19.2 yrs. |
| (a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change. Not Rated includes fixed income securities and fixed income derivatives that have not been rated by any rating agency. The fund may or may not have held all of these instruments on this date. The fund is not rated by these agencies. |
Portfolio Composition - continued
| (d) | Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value due to the interest rate move. The Average Duration calculation reflects the impact of the equivalent exposure of derivative positions, if any. |
| (i) | For purposes of this presentation, the components include the value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include any accrued interest amounts. |
| (m) | In determining each instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening feature (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity. |
Cash & Cash Equivalents includes any cash, investments in money market funds, short-term securities, and other assets less liabilities. Please see the Statement of Assets and Liabilities for additional information related to the fund’s cash position and other assets and liabilities.
Other includes equivalent exposure from currency derivatives and/or any offsets to derivative positions and/or the leverage created through the issuance of self-deposited inverse floaters and may be negative.
Percentages are based on net assets as of July 31, 2023.
The portfolio is actively managed and current holdings may be different.
Expense Table
Fund expenses borne by the shareholders during the period, February 1, 2023 through July 31, 2023
As a shareholder of the fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on certain purchase or redemption payments, and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period February 1, 2023 through July 31, 2023.
Actual Expenses
The first line for each share class in the following tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line for each share class in the following tables provides information about hypothetical account values and hypothetical expenses based on each fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line for each share class in the tables is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Expense Table - continued
Share
Class | | Annualized
Expense
Ratio | Beginning
Account Value
2/01/23 | Ending
Account Value
7/31/23 | Expenses
Paid During
Period (p)
2/01/23-7/31/23 |
| A | Actual | 0.60% | $1,000.00 | $991.58 | $2.96 |
| Hypothetical (h) | 0.60% | $1,000.00 | $1,021.82 | $3.01 |
| B | Actual | 1.35% | $1,000.00 | $987.95 | $6.65 |
| Hypothetical (h) | 1.35% | $1,000.00 | $1,018.10 | $6.76 |
| C | Actual | 1.60% | $1,000.00 | $986.72 | $7.88 |
| Hypothetical (h) | 1.60% | $1,000.00 | $1,016.86 | $8.00 |
| I | Actual | 0.60% | $1,000.00 | $991.54 | $2.96 |
| Hypothetical (h) | 0.60% | $1,000.00 | $1,021.82 | $3.01 |
| R6 | Actual | 0.52% | $1,000.00 | $993.29 | $2.57 |
| Hypothetical (h) | 0.52% | $1,000.00 | $1,022.22 | $2.61 |
| (h) | 5% class return per year before expenses. |
| (p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Notes to Expense Table
Expense ratios include 0.02% of investment related expenses from self-deposited inverse floaters (See Note 2 of the Notes to Financial Statements) that are outside of the expense limitation arrangement (See Note 3 of the Notes to Financial Statements).
Portfolio of Investments
7/31/23 (unaudited)
The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by jurisdiction.
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - 98.1% |
| Alabama - 1.3% |
| Alabama Stadium Trace Village Improvement District Development Incentive Anticipation, 3.625%, 3/01/2036 | | $ | 1,825,000 | $1,461,237 |
| Birmingham, AL, Airport Authority Rev., BAM, 4%, 7/01/2037 | | | 260,000 | 262,647 |
| Birmingham, AL, Airport Authority Rev., BAM, 4%, 7/01/2039 | | | 340,000 | 337,754 |
| Birmingham, AL, Special Care Facilities Financing Authority Rev. (Methodist Home for the Aging), 5.5%, 6/01/2030 | | | 1,630,000 | 1,554,883 |
| Birmingham, AL, Special Care Facilities Financing Authority Rev. (Methodist Home for the Aging), 5.75%, 6/01/2035 | | | 1,685,000 | 1,580,303 |
| Birmingham, AL, Special Care Facilities Financing Authority Rev. (Methodist Home for the Aging), 5.75%, 6/01/2045 | | | 6,355,000 | 5,372,246 |
| Birmingham, AL, Special Care Facilities Financing Authority Rev. (Methodist Home for the Aging), 6%, 6/01/2050 | | | 2,565,000 | 2,198,587 |
| Black Belt Energy Gas District, AL, Gas Project Rev., “C-1”, 5.25%, 2/01/2053 (Put Date 6/01/2029) | | | 10,000,000 | 10,498,252 |
| Black Belt Energy Gas District, AL, Gas Project Rev., “F”, 5.5%, 11/01/2053 (Put Date 12/01/2028) | | | 5,175,000 | 5,456,720 |
| Huntsville-Redstone Village, AL, Special Care Facilities Financing Authority (Redstone Village Project), 5.5%, 1/01/2028 (a)(d) | | | 1,485,000 | 891,000 |
| Huntsville-Redstone Village, AL, Special Care Facilities Financing Authority (Redstone Village Project), 5.5%, 1/01/2043 (a)(d) | | | 1,560,000 | 936,000 |
| Jacksonville, AL, Public Educational Building Authority Higher Education Facilities Rev. (Jacksonville State University Foundation), “A”, AGM, 5.25%, 8/01/2053 | | | 2,165,000 | 2,348,518 |
| Jacksonville, AL, Public Educational Building Authority Higher Education Facilities Rev. (Jacksonville State University Foundation), “A”, AGM, 5.5%, 8/01/2058 | | | 1,820,000 | 1,996,198 |
| Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/2026 | | | 805,000 | 683,550 |
| Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/2029 | | | 1,130,000 | 813,216 |
| Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/2034 | | | 1,620,000 | 822,679 |
| Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/2035 | | | 3,080,000 | 1,464,867 |
| Muscle Shoals, Sheffield, and Tuscumbia, AL, Solid Waste Disposal Authority Rev. (Cherokee Industrial Landfill Project), “A”, 6%, 5/01/2040 (z) | | | 4,200,000 | 3,150,000 |
| Muscle Shoals, Sheffield, and Tuscumbia, AL, Solid Waste Disposal Authority Rev., Taxable (Cherokee Industrial Landfill Project), “B”, 8%, 5/01/2029 (z) | | | 1,297,641 | 973,231 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Alabama - continued |
| Prichard, AL, Water Works & Sewer Board Rev., 4%, 11/01/2044 | | $ | 1,800,000 | $794,356 |
| Prichard, AL, Water Works & Sewer Board Rev., 4%, 11/01/2049 | | | 3,500,000 | 1,539,933 |
| Southeast Alabama Energy Authority Commodity Supply Rev. (Project No. 3), “A-1”, 5.5%, 1/01/2053 (Put Date 12/01/2029) | | | 4,980,000 | 5,305,843 |
| Sumter County, AL, Industrial Development Authority Exempt Facilities Rev. (Enviva Inc. Project), 6%, 7/15/2052 (Put Date 7/15/2032) | | | 9,565,000 | 6,470,514 |
| | | | | $56,912,534 |
| Alaska - 0.2% |
| Alaska Industrial Development & Export Authority Power Rev. (Snettisham Hydroelectric Project), 5%, 1/01/2030 | | $ | 875,000 | $889,473 |
| Alaska Industrial Development & Export Authority Power Rev. (Snettisham Hydroelectric Project), 5%, 1/01/2031 | | | 1,270,000 | 1,291,171 |
| Northern Alaska Tobacco Securitization Corp., Tobacco Settlement Asset-Backed, Capital Appreciation, “B-2”, 0%, 6/01/2066 | | | 61,290,000 | 7,772,393 |
| | | | | $9,953,037 |
| Arizona - 3.4% |
| Arizona Industrial Development Authority Education Rev. (Academies of Math & Science Projects), 4%, 7/01/2029 (n) | | $ | 725,000 | $696,141 |
| Arizona Industrial Development Authority Education Rev. (Academies of Math & Science Projects), 5%, 7/01/2039 (n) | | | 870,000 | 841,227 |
| Arizona Industrial Development Authority Education Rev. (Academies of Math & Science Projects), 5.25%, 7/01/2043 | | | 120,000 | 116,391 |
| Arizona Industrial Development Authority Education Rev. (Academies of Math & Science Projects), 5%, 7/01/2049 (n) | | | 1,395,000 | 1,268,800 |
| Arizona Industrial Development Authority Education Rev. (Academies of Math & Science Projects), 5.375%, 7/01/2053 | | | 440,000 | 417,746 |
| Arizona Industrial Development Authority Education Rev. (Academies of Math & Science Projects), 5%, 7/01/2054 (n) | | | 2,185,000 | 1,952,176 |
| Arizona Industrial Development Authority Education Rev. (Academies of Math & Science Projects), 5.5%, 7/01/2058 | | | 410,000 | 392,241 |
| Arizona Industrial Development Authority Education Rev. (Academies of Math & Science Projects), “A”, 5%, 7/01/2052 | | | 1,140,000 | 1,144,093 |
| Arizona Industrial Development Authority Education Rev. (Academies of Math & Science Projects), “B”, 5.5%, 7/01/2038 (n) | | | 1,065,000 | 1,074,824 |
| Arizona Industrial Development Authority Education Rev. (Academies of Math & Science Projects), “B”, 5.625%, 7/01/2048 (n) | | | 2,050,000 | 2,043,079 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Arizona - continued |
| Arizona Industrial Development Authority Education Rev. (Academies of Math & Science Projects), “B”, 5.75%, 7/01/2053 (n) | | $ | 3,190,000 | $3,191,769 |
| Arizona Industrial Development Authority Education Rev. (Basis Schools Projects), “D”, 5%, 7/01/2037 (n) | | | 450,000 | 440,273 |
| Arizona Industrial Development Authority Education Rev. (Basis Schools Projects), “D”, 5%, 7/01/2047 (n) | | | 740,000 | 671,890 |
| Arizona Industrial Development Authority Education Rev. (Basis Schools Projects), “D”, 5%, 7/01/2051 (n) | | | 1,970,000 | 1,755,744 |
| Arizona Industrial Development Authority Education Rev. (Basis Schools Projects), “G”, 5%, 7/01/2037 (n) | | | 770,000 | 753,356 |
| Arizona Industrial Development Authority Education Rev. (Basis Schools Projects), “G”, 5%, 7/01/2047 (n) | | | 770,000 | 699,129 |
| Arizona Industrial Development Authority Education Rev. (Basis Schools Projects), “G”, 5%, 7/01/2051 (n) | | | 735,000 | 655,062 |
| Arizona Industrial Development Authority Education Rev. (Benjamin Franklin Charter School Projects), “A”, 5.25%, 7/01/2053 | | | 440,000 | 409,327 |
| Arizona Industrial Development Authority Education Rev. (Benjamin Franklin Charter School Projects), “A”, 5.5%, 7/01/2058 | | | 440,000 | 415,299 |
| Arizona Industrial Development Authority Education Rev. (KIPP Nashville Projects), “A”, 5%, 7/01/2047 | | | 375,000 | 367,066 |
| Arizona Industrial Development Authority Education Rev. (KIPP Nashville Projects), “A”, 5%, 7/01/2057 | | | 475,000 | 455,506 |
| Arizona Industrial Development Authority Education Rev. (KIPP Nashville Projects), “A”, 5%, 7/01/2062 | | | 665,000 | 625,965 |
| Arizona Industrial Development Authority Education Rev. (Mater Academy of Nevada - Bonanza Campus Project), “A”, 4%, 12/15/2030 (n) | | | 2,455,000 | 2,323,955 |
| Arizona Industrial Development Authority Education Rev. (Mater Academy of Nevada - Bonanza Campus Project), “A”, 5%, 12/15/2040 (n) | | | 1,000,000 | 954,135 |
| Arizona Industrial Development Authority Education Rev. (Mater Academy of Nevada - Bonanza Campus Project), “A”, 5%, 12/15/2050 (n) | | | 1,700,000 | 1,531,610 |
| Arizona Industrial Development Authority Education Rev. (Pinecrest Academy of Nevada - Cadence Campus Project), “A”, 4%, 7/15/2030 (n) | | | 955,000 | 907,012 |
| Arizona Industrial Development Authority Education Rev. (Pinecrest Academy of Nevada - Cadence Campus Project), “A”, 4%, 7/15/2040 (n) | | | 1,425,000 | 1,187,081 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Arizona - continued |
| Arizona Industrial Development Authority Education Rev. (Pinecrest Academy of Nevada - Cadence Campus Project), “A”, 4%, 7/15/2050 (n) | | $ | 1,600,000 | $1,200,930 |
| Arizona Industrial Development Authority Education Rev. (Pinecrest Academy of Nevada - Inspirada and St. Rose Campus Projects), “A”, 5%, 7/15/2028 (n) | | | 1,565,000 | 1,572,201 |
| Arizona Industrial Development Authority Education Rev. (Pinecrest Academy of Nevada - Inspirada and St. Rose Campus Projects), “A”, 5.75%, 7/15/2038 (n) | | | 1,810,000 | 1,831,436 |
| Arizona Industrial Development Authority Education Rev. (Pinecrest Academy of Nevada - Inspirada and St. Rose Campus Projects), “A”, 5.75%, 7/15/2048 (n) | | | 3,100,000 | 3,075,546 |
| Arizona Industrial Development Authority Education Rev. (Pinecrest Academy of Northern Nevada Project), “A”, 4.5%, 7/15/2029 | | | 250,000 | 242,002 |
| Arizona Industrial Development Authority Education Rev. (Somerset Academy of Las Vegas - Aliante & Skye Canyon Campus Projects), “A”, 3%, 12/15/2031 (n) | | | 605,000 | 519,672 |
| Arizona Industrial Development Authority Education Rev. (Somerset Academy of Las Vegas - Aliante & Skye Canyon Campus Projects), “A”, 4%, 12/15/2041 (n) | | | 1,090,000 | 875,299 |
| Arizona Industrial Development Authority Education Rev. (Somerset Academy of Las Vegas - Aliante & Skye Canyon Campus Projects), “A”, 4%, 12/15/2051 (n) | | | 435,000 | 316,610 |
| Arizona Industrial Development Authority Education Rev. (Somerset Academy of Las Vegas - Lone Mountain Campus Project), “A”, 3.75%, 12/15/2029 (n) | | | 410,000 | 380,834 |
| Arizona Industrial Development Authority Education Rev. (Somerset Academy of Las Vegas - Lone Mountain Campus Project), “A”, 5%, 12/15/2039 (n) | | | 340,000 | 321,084 |
| Arizona Industrial Development Authority Education Rev. (Somerset Academy of Las Vegas - Lone Mountain Campus Project), “A”, 5%, 12/15/2049 (n) | | | 600,000 | 530,372 |
| Arizona Industrial Development Authority National Charter School Revolving Loan Fund Rev., “A”, 4%, 11/01/2051 | | | 2,450,000 | 2,140,955 |
| Glendale, AZ, Industrial Development Authority Refunding Rev. (Terraces of Phoenix Project), “A”, 4%, 7/01/2028 | | | 300,000 | 276,218 |
| Glendale, AZ, Industrial Development Authority Refunding Rev. (Terraces of Phoenix Project), “A”, 5%, 7/01/2033 | | | 250,000 | 229,229 |
| Glendale, AZ, Industrial Development Authority Refunding Rev. (Terraces of Phoenix Project), “A”, 5%, 7/01/2038 | | | 300,000 | 260,526 |
| Glendale, AZ, Industrial Development Authority Refunding Rev. (Terraces of Phoenix Project), “A”, 5%, 7/01/2048 | | | 1,800,000 | 1,437,112 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Arizona - continued |
| Glendale, AZ, Industrial Development Authority, Graduate & Professional Student Loan Program Rev. (Midwestern University Foundation), “A”, 2.125%, 7/01/2033 | | $ | 1,405,000 | $1,151,770 |
| Glendale, AZ, Industrial Development Authority, Graduate & Professional Student Loan Program Rev. (Midwestern University Foundation), “A”, 3%, 7/01/2035 | | | 2,705,000 | 2,378,376 |
| Glendale, AZ, Industrial Development Authority, Senior Living Rev. (Royal Oaks - Inspirata Pointe Project), “A”, 5%, 5/15/2041 | | | 1,000,000 | 922,302 |
| Glendale, AZ, Industrial Development Authority, Senior Living Rev. (Royal Oaks - Inspirata Pointe Project), “A”, 5%, 5/15/2056 | | | 5,955,000 | 5,059,938 |
| La Paz County, AZ, Industrial Development Authority (Harmony Education Foundation-Harmony Public Schools Project), “A”, 4%, 2/15/2041 | | | 430,000 | 372,349 |
| La Paz County, AZ, Industrial Development Authority (Harmony Education Foundation-Harmony Public Schools Project), “A”, 4%, 2/15/2046 | | | 345,000 | 283,658 |
| La Paz County, AZ, Industrial Development Authority (Harmony Education Foundation-Harmony Public Schools Project), “A”, 4%, 2/15/2051 | | | 580,000 | 459,259 |
| La Paz County, AZ, Industrial Development Authority Education Facility Lease Rev. (Charter School Solutions-Harmony Public Schools Project), “A”, 5%, 2/15/2038 | | | 800,000 | 803,357 |
| La Paz County, AZ, Industrial Development Authority Education Facility Lease Rev. (Charter School Solutions-Harmony Public Schools Project), “A”, 5%, 2/15/2048 | | | 435,000 | 419,056 |
| Maricopa County, AZ, Industrial Development Authority Education Rev. (Legacy Traditional Schools Projects), “A”, 4%, 7/01/2034 | | | 215,000 | 214,915 |
| Maricopa County, AZ, Industrial Development Authority Education Rev. (Legacy Traditional Schools Projects), “A”, 5%, 7/01/2039 | | | 380,000 | 392,814 |
| Maricopa County, AZ, Industrial Development Authority Education Rev. (Legacy Traditional Schools Projects), “A”, 5%, 7/01/2039 (n) | | | 1,115,000 | 1,059,732 |
| Maricopa County, AZ, Industrial Development Authority Education Rev. (Legacy Traditional Schools Projects), “A”, 5%, 7/01/2049 (n) | | | 705,000 | 715,894 |
| Maricopa County, AZ, Industrial Development Authority Education Rev. (Legacy Traditional Schools Projects), “A”, 5%, 7/01/2049 (n) | | | 590,000 | 533,818 |
| Maricopa County, AZ, Industrial Development Authority Education Rev. (Legacy Traditional Schools Projects), “A”, 5%, 7/01/2054 | | | 895,000 | 905,443 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Arizona - continued |
| Maricopa County, AZ, Industrial Development Authority Education Rev. (Legacy Traditional Schools Projects), “A”, 5%, 7/01/2054 (n) | | $ | 2,660,000 | $2,352,156 |
| Maricopa County, AZ, Pollution Control Corp. Rev. (Public Service Company of New Mexico Palo Verde Project), “B”, 0.875%, 6/01/2043 (Put Date 10/01/2026) | | | 855,000 | 756,952 |
| Phoenix, AZ, Industrial Development Authority Rev. (Guam Facilities Foundation, Inc.), 5.125%, 2/01/2034 | | | 4,545,000 | 4,537,202 |
| Phoenix, AZ, Industrial Development Authority Rev. (Guam Facilities Foundation, Inc.), 5.375%, 2/01/2041 | | | 3,980,000 | 3,914,886 |
| Phoenix, AZ, Industrial Development Authority, Education Facility Rev. (Basis Schools Projects), “A”, 5%, 7/01/2035 (n) | | | 2,070,000 | 2,071,404 |
| Phoenix, AZ, Industrial Development Authority, Education Facility Rev. (Basis Schools Projects), “A”, 5%, 7/01/2035 (n) | | | 700,000 | 700,475 |
| Phoenix, AZ, Industrial Development Authority, Education Facility Rev. (Basis Schools Projects), “A”, 5%, 7/01/2045 (n) | | | 3,065,000 | 2,816,238 |
| Phoenix, AZ, Industrial Development Authority, Education Facility Rev. (Basis Schools Projects), “A”, 5%, 7/01/2046 (n) | | | 1,770,000 | 1,616,729 |
| Phoenix, AZ, Industrial Development Authority, Education Facility Rev. (Great Hearts Academies Project), “A”, 5%, 7/01/2034 | | | 6,355,000 | 6,388,310 |
| Phoenix, AZ, Industrial Development Authority, Education Facility Rev. (Great Hearts Academies Project), “A”, 5%, 7/01/2036 | | | 815,000 | 820,014 |
| Phoenix, AZ, Industrial Development Authority, Education Facility Rev. (Great Hearts Academies Project), “A”, 5%, 7/01/2041 | | | 660,000 | 660,066 |
| Phoenix, AZ, Industrial Development Authority, Education Facility Rev. (Great Hearts Academies Project), “A”, 5%, 7/01/2044 | | | 3,970,000 | 3,914,213 |
| Phoenix, AZ, Industrial Development Authority, Education Facility Rev. (Great Hearts Academies Project), “A”, 5%, 7/01/2046 | | | 1,235,000 | 1,207,016 |
| Phoenix, AZ, Industrial Development Authority, Education Facility Rev. (Legacy Traditional Schools Project), 6.5%, 7/01/2034 (n) | | | 1,970,000 | 2,003,051 |
| Phoenix, AZ, Industrial Development Authority, Education Facility Rev. (Legacy Traditional Schools Project), 5%, 7/01/2035 (n) | | | 1,430,000 | 1,423,594 |
| Phoenix, AZ, Industrial Development Authority, Education Facility Rev. (Legacy Traditional Schools Project), 6.75%, 7/01/2044 (n) | | | 3,255,000 | 3,298,396 |
| Phoenix, AZ, Industrial Development Authority, Education Facility Rev. (Legacy Traditional Schools Project), 5%, 7/01/2045 (n) | | | 1,570,000 | 1,449,992 |
| Phoenix, AZ, Industrial Development Authority, Education Facility Rev. (Legacy Traditional Schools Project), 5%, 7/01/2046 (n) | | | 3,935,000 | 3,613,121 |
| Phoenix, AZ, Industrial Development Authority, Hotel Rev. (Provident Group - Falcon Properties LLC, Project), “A”, 4%, 12/01/2041 (n) | | | 2,605,000 | 2,159,284 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Arizona - continued |
| Phoenix, AZ, Industrial Development Authority, Hotel Rev. (Provident Group - Falcon Properties LLC, Project), “A”, 4%, 12/01/2051 (n) | | $ | 8,630,000 | $6,607,215 |
| Phoenix, AZ, Industrial Development Authority, Hotel Rev. (Provident Group - Falcon Properties LLC, Project), “A”, 4.15%, 12/01/2057 (n) | | | 3,245,000 | 2,431,897 |
| Phoenix, AZ, Industrial Development Authority, Hotel Rev. (Provident Group - Falcon Properties LLC, Project), “B”, 5.75%, 12/15/2057 (n) | | | 8,330,000 | 6,581,873 |
| Phoenix, AZ, Industrial Development Authority, Student Housing Refunding Rev. (Downtown Phoenix Student Housing II LLC - Arizona State University Project), “A”, 5%, 7/01/2044 | | | 540,000 | 543,788 |
| Phoenix, AZ, Industrial Development Authority, Student Housing Refunding Rev. (Downtown Phoenix Student Housing II LLC - Arizona State University Project), “A”, 5%, 7/01/2049 | | | 1,325,000 | 1,325,613 |
| Phoenix, AZ, Industrial Development Authority, Student Housing Refunding Rev. (Downtown Phoenix Student Housing II LLC - Arizona State University Project), “A”, 5%, 7/01/2059 | | | 1,085,000 | 1,067,163 |
| Phoenix, AZ, Industrial Development Authority, Student Housing Refunding Rev. (Downtown Phoenix Student Housing LLC - Arizona State University Project), “A”, 5%, 7/01/2030 | | | 150,000 | 157,240 |
| Phoenix, AZ, Industrial Development Authority, Student Housing Refunding Rev. (Downtown Phoenix Student Housing LLC - Arizona State University Project), “A”, 5%, 7/01/2031 | | | 570,000 | 596,735 |
| Phoenix, AZ, Industrial Development Authority, Student Housing Refunding Rev. (Downtown Phoenix Student Housing LLC - Arizona State University Project), “A”, 5%, 7/01/2033 | | | 315,000 | 327,775 |
| Phoenix, AZ, Industrial Development Authority, Student Housing Refunding Rev. (Downtown Phoenix Student Housing LLC - Arizona State University Project), “A”, 5%, 7/01/2037 | | | 500,000 | 509,788 |
| Phoenix, AZ, Industrial Development Authority, Student Housing Refunding Rev. (Downtown Phoenix Student Housing LLC - Arizona State University Project), “A”, 5%, 7/01/2042 | | | 555,000 | 559,785 |
| Pima County, AZ, Industrial Development Authority Education Facility Rev. (American Leadership Academy Project), 5%, 6/15/2034 (n) | | | 630,000 | 631,968 |
| Pima County, AZ, Industrial Development Authority Education Facility Rev. (American Leadership Academy Project), 5%, 6/15/2039 (n) | | | 655,000 | 627,269 |
| Pima County, AZ, Industrial Development Authority Education Facility Rev. (American Leadership Academy Project), 4%, 6/15/2041 (n) | | | 510,000 | 418,067 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Arizona - continued |
| Pima County, AZ, Industrial Development Authority Education Facility Rev. (American Leadership Academy Project), 4%, 6/15/2041 (n) | | $ | 2,735,000 | $2,241,985 |
| Pima County, AZ, Industrial Development Authority Education Facility Rev. (American Leadership Academy Project), 5%, 6/15/2049 (n) | | | 1,235,000 | 1,109,467 |
| Pima County, AZ, Industrial Development Authority Education Facility Rev. (American Leadership Academy Project), 4%, 6/15/2051 (n) | | | 3,020,000 | 2,242,964 |
| Pima County, AZ, Industrial Development Authority Education Facility Rev. (American Leadership Academy Project), 4%, 6/15/2051 (n) | | | 780,000 | 579,308 |
| Pima County, AZ, Industrial Development Authority Education Facility Rev. (American Leadership Academy Project), 4%, 6/15/2057 (n) | | | 685,000 | 491,281 |
| Pima County, AZ, Industrial Development Authority Education Facility Rev. (American Leadership Academy Project), 4%, 6/15/2057 (n) | | | 3,420,000 | 2,452,820 |
| Pima County, AZ, Industrial Development Authority Senior Living Rev. (La Posada at Pusch Ridge Project), “A”, 6.75%, 11/15/2042 (n) | | | 1,825,000 | 1,844,799 |
| Pima County, AZ, Industrial Development Authority Senior Living Rev. (La Posada at Pusch Ridge Project), “A”, 6.875%, 11/15/2052 (n) | | | 5,160,000 | 5,189,125 |
| Pima County, AZ, Industrial Development Authority Senior Living Rev. (La Posada at Pusch Ridge Project), “A”, 7%, 11/15/2057 (n) | | | 2,320,000 | 2,332,223 |
| Pima County, AZ, Industrial Development Authority Senior Living Rev. (La Posada at Pusch Ridge Project), “B3”, 5.125%, 11/15/2029 (n) | | | 1,250,000 | 1,234,394 |
| Salt Verde Financial Corp., AZ, Senior Gas Rev., 5%, 12/01/2032 | | | 2,940,000 | 3,115,300 |
| | | | | $149,096,545 |
| Arkansas - 0.3% |
| Arkansas Development Finance Authority, Charter School Capital Improvement Rev. (LISA Academy Project), 4%, 7/01/2028 | | $ | 800,000 | $770,218 |
| Arkansas Development Finance Authority, Charter School Capital Improvement Rev. (LISA Academy Project), 4.5%, 7/01/2033 | | | 1,620,000 | 1,560,902 |
| Arkansas Development Finance Authority, Charter School Capital Improvement Rev. (LISA Academy Project), 4.5%, 7/01/2039 | | | 170,000 | 156,181 |
| Arkansas Development Finance Authority, Health Care Rev. (Baptist Memorial Health Care Corp.), “B-1”, 5%, 9/01/2036 | | | 930,000 | 964,129 |
| Arkansas Development Finance Authority, Health Care Rev. (Baptist Memorial Health Care Corp.), “B-1”, 5%, 9/01/2037 | | | 645,000 | 663,654 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Arkansas - continued |
| Arkansas Development Finance Authority, Health Care Rev. (Baptist Memorial Health Care Corp.), “B-1”, 5%, 9/01/2039 | | $ | 520,000 | $530,963 |
| Arkansas Development Finance Authority, Health Care Rev. (Baptist Memorial Health Care Corp.), “B-1”, 5%, 9/01/2040 | | | 570,000 | 580,033 |
| Arkansas Development Finance Authority, Healthcare Facilities Rev. (Carti Surgery Center Project), “B”, 3%, 7/01/2032 | | | 180,000 | 154,057 |
| Arkansas Development Finance Authority, Healthcare Facilities Rev. (Carti Surgery Center Project), “B”, 3.125%, 7/01/2036 | | | 520,000 | 411,917 |
| Arkansas Development Finance Authority, Healthcare Facilities Rev. (Carti Surgery Center Project), “B”, 4.25%, 7/01/2041 | | | 195,000 | 173,737 |
| Arkansas Development Finance Authority, Healthcare Facilities Rev. (Carti Surgery Center Project), “B”, 3.5%, 7/01/2046 | | | 1,185,000 | 789,790 |
| Arkansas Development Finance Authority, Healthcare Facilities Rev. (Carti Surgery Center Project), “B”, 4%, 7/01/2052 | | | 850,000 | 657,554 |
| Arkansas Development Finance Authority, Hospital Rev. (Washington Regional Medical Center), “A”, 5%, 2/01/2035 | | | 365,000 | 369,257 |
| Arkansas Development Finance Authority, Hospital Rev. (Washington Regional Medical Center), “C”, 5%, 2/01/2033 | | | 540,000 | 546,746 |
| Arkansas Development Finance Authority, Tobacco Settlement Rev. (Cancer Research Center Project), Capital Appreciation, AAC, 0%, 7/01/2046 | | | 6,455,000 | 2,161,292 |
| Pulaski County, AR, Public Facilities Board, Healthcare Rev. (Baptist Health), 5%, 12/01/2039 (Prerefunded 12/01/2024) | | | 4,510,000 | 4,610,676 |
| | | | | $15,101,106 |
| California - 7.0% |
| Acton-Agua Dulce, CA, Unified School District (Election of 2008), Capital Appreciation, AGM, 0%, 5/01/2039 | | $ | 7,550,000 | $3,870,391 |
| Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 8/01/2032 | | | 2,095,000 | 1,559,648 |
| California Community Choice Financing Authority, Clean Energy Project Rev., “C”, 5.25%, 1/01/2054 (Put Date 10/01/2031) | | | 25,510,000 | 26,643,264 |
| California Community College Financing Authority Student Housing Rev. (NCCD - Napa Valley Properties LLC - Napa Valley College Project), “A”, 5.75%, 7/01/2060 (n) | | | 12,810,000 | 12,712,202 |
| California Community Housing Agency, Essential Housing Rev. (Aster), “A-1”, 4%, 2/01/2056 (n) | | | 6,870,000 | 5,639,138 |
| California Community Housing Agency, Essential Housing Rev. (Aster), “A-2”, 4%, 2/01/2043 (n) | | | 6,855,000 | 5,828,264 |
| California County Tobacco Securitization Agency Settlement (Gold Country Settlement Funding Corp.), Capital Appreciation, “B-2”, 0%, 6/01/2055 | | | 8,415,000 | 1,836,319 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| California - continued |
| California County Tobacco Securitization Agency Settlement (Los Angeles County Securitization Corp.), “A”, 5%, 6/01/2032 | | $ | 160,000 | $175,685 |
| California County Tobacco Securitization Agency Settlement (Los Angeles County Securitization Corp.), “A”, 4%, 6/01/2035 | | | 210,000 | 213,763 |
| California County Tobacco Securitization Agency Settlement (Los Angeles County Securitization Corp.), “A”, 4%, 6/01/2037 | | | 340,000 | 340,388 |
| California County Tobacco Securitization Agency Settlement (Los Angeles County Securitization Corp.), “A”, 4%, 6/01/2038 | | | 145,000 | 143,872 |
| California County Tobacco Securitization Agency Settlement (Los Angeles County Securitization Corp.), “A”, 4%, 6/01/2039 | | | 185,000 | 182,640 |
| California Health Facilities Financing Authority Rev. (CommonSpirit Health), “A”, 4%, 4/01/2049 | | | 1,005,000 | 927,931 |
| California Housing Finance Agency Municipal Certificates, “X”, 0.764%, 8/20/2036 (i)(n) | | | 26,860,776 | 1,440,398 |
| California Housing Finance Agency Municipal Certificates, “X”, 0.366%, 9/20/2036 (i) | | | 146,163,443 | 3,657,609 |
| California M-S-R Energy Authority Gas Rev., “A”, 7%, 11/01/2034 | | | 1,135,000 | 1,403,843 |
| California Municipal Finance Authority Rev. (California Baptist University), “A”, 5%, 11/01/2046 (n) | | | 5,470,000 | 5,294,297 |
| California Municipal Finance Authority Rev. (Community Medical Centers), “A”, 5%, 2/01/2042 | | | 1,385,000 | 1,418,017 |
| California Municipal Finance Authority Rev. (NorthBay Healthcare Group), 5%, 11/01/2035 | | | 475,000 | 478,368 |
| California Municipal Finance Authority Rev. (NorthBay Healthcare Group), “A”, 5.25%, 11/01/2036 | | | 1,370,000 | 1,379,113 |
| California Municipal Finance Authority Rev. (NorthBay Healthcare Group), “A”, 5.25%, 11/01/2041 | | | 1,265,000 | 1,241,313 |
| California Municipal Finance Authority Rev. (NorthBay Healthcare Group), “A”, 5.25%, 11/01/2047 | | | 210,000 | 199,373 |
| California Municipal Finance Authority Rev. (William Jessup University), 5%, 8/01/2039 | | | 6,550,000 | 6,079,430 |
| California Municipal Finance Authority Rev. (William Jessup University), 5%, 8/01/2048 | | | 2,325,000 | 2,031,326 |
| California Municipal Finance Authority, Charter School Lease Rev. (Palmdale Aerospace Academy Project), “A”, 3.875%, 7/01/2028 (n) | | | 900,000 | 860,872 |
| California Municipal Finance Authority, Charter School Lease Rev. (Palmdale Aerospace Academy Project), “A”, 5%, 7/01/2049 (n) | | | 1,600,000 | 1,461,321 |
| California Municipal Finance Authority, COP (Palomar Health), “A”, AGM, 5.25%, 11/01/2052 | | | 3,370,000 | 3,594,054 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| California - continued |
| California Municipal Finance Authority, Multi-Family Housing Rev. (CityView Apartments), “A”, 4%, 11/01/2036 (n) | | $ | 2,120,000 | $1,939,420 |
| California Municipal Finance Authority, Student Housing Rev. (CHF-Davis II LLC - Orchard Park Student Housing Project), BAM, 4%, 5/15/2033 | | | 310,000 | 319,763 |
| California Municipal Finance Authority, Student Housing Rev. (CHF-Davis II LLC - Orchard Park Student Housing Project), BAM, 4%, 5/15/2038 | | | 425,000 | 419,131 |
| California Municipal Special Finance Agency XII, Essential Housing Rev. (Allure Apartments), “A-1”, 3.25%, 2/01/2057 (n) | | | 1,650,000 | 1,120,510 |
| California Municipal Special Finance Agency, Essential Housing Rev. (Solana at Grand), “A-1”, 4%, 8/01/2056 (n) | | | 3,380,000 | 2,770,813 |
| California Pollution Control Financing Authority, Solid Waste Disposal Rev. (CalPlant I Project), 7.5%, 7/01/2032 (a)(d)(z) | | | 2,250,000 | 112,500 |
| California Pollution Control Financing Authority, Solid Waste Disposal Rev. (CalPlant I Project), 8%, 7/01/2039 (a)(d)(z) | | | 11,405,000 | 570,250 |
| California Pollution Control Financing Authority, Solid Waste Disposal Rev. (CalPlant I Project), 7.5%, 12/01/2039 (a)(d)(z) | | | 12,890,000 | 644,500 |
| California Public Finance Authority Rev. (Henry Mayo Newhall Hospital), 5%, 10/15/2033 | | | 215,000 | 222,281 |
| California Public Finance Authority Rev. (Henry Mayo Newhall Hospital), 5%, 10/15/2037 | | | 435,000 | 442,342 |
| California Public Finance Authority Rev. (Henry Mayo Newhall Hospital), 5%, 10/15/2047 | | | 435,000 | 435,929 |
| California Public Finance Authority, Senior Living Refunding Rev. (Enso Village Project), “A”, 5%, 11/15/2036 (n) | | | 1,670,000 | 1,620,966 |
| California Public Finance Authority, Senior Living Refunding Rev. (Enso Village Project), “A”, 5%, 11/15/2046 (n) | | | 4,770,000 | 4,291,036 |
| California Public Finance Authority, Senior Living Refunding Rev. (Enso Village Project), “A”, 5%, 11/15/2051 (n) | | | 2,350,000 | 2,063,442 |
| California Public Finance Authority, Senior Living Refunding Rev. (Enso Village Project), “A”, 5%, 11/15/2056 (n) | | | 3,445,000 | 2,977,211 |
| California Public Finance Authority, Senior Living Rev. (Enso Village Project), “B-1”, 3.125%, 5/15/2029 (n) | | | 2,200,000 | 2,089,327 |
| California Public Finance Authority, Senior Living Rev. (Enso Village Project), “B-2”, 2.375%, 11/15/2028 (n) | | | 1,465,000 | 1,417,027 |
| California Public Finance Authority, Senior Living Rev. (Kendal at Ventura Project), “A”, 10%, 5/15/2028 (n) | | | 7,490,000 | 7,398,929 |
| California School Finance Authority, Charter School Refunding Rev. (Aspire Public Schools), 5%, 8/01/2036 (n) | | | 790,000 | 797,918 |
| California School Finance Authority, Charter School Refunding Rev. (Aspire Public Schools), 5%, 8/01/2041 (Prerefunded 8/01/2025) (n) | | | 50,000 | 51,824 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| California - continued |
| California School Finance Authority, Charter School Refunding Rev. (Aspire Public Schools), 5%, 8/01/2041 (n) | | $ | 625,000 | $626,857 |
| California School Finance Authority, Charter School Rev. (Aspire Public Schools - Obligated Group - Issue No. 5), “A”, 4%, 8/01/2061 (n) | | | 1,145,000 | 897,939 |
| California School Finance Authority, Charter School Rev. (Downtown College Prep - Obligated Group), 5%, 6/01/2046 (n) | | | 1,325,000 | 1,236,087 |
| California School Finance Authority, Charter School Rev. (Hawking STEAM Charter School Project)., “A”, 5%, 7/01/2042 (n) | | | 1,610,000 | 1,532,365 |
| California School Finance Authority, Charter School Rev. (Hawking STEAM Charter School Project)., “A”, 5.25%, 7/01/2052 (n) | | | 2,000,000 | 1,894,741 |
| California School Finance Authority, Charter School Rev. (Hawking STEAM Charter School Project)., “A”, 5.375%, 7/01/2056 (n) | | | 995,000 | 951,398 |
| California School Finance Authority, Charter School Rev. (Hawking STEAM Charter School Project)., “A”, 5.5%, 7/01/2062 (n) | | | 1,775,000 | 1,714,238 |
| California School Finance Authority, School Facility Rev. (Alliance for College-Ready Public Schools Projects), “A”, 4%, 7/01/2024 (n) | | | 730,000 | 729,053 |
| California School Finance Authority, School Facility Rev. (Alliance for College-Ready Public Schools Projects), “A”, 4%, 7/01/2025 (n) | | | 760,000 | 758,138 |
| California School Finance Authority, School Facility Rev. (Alliance for College-Ready Public Schools Projects), “A”, 5%, 7/01/2030 (n) | | | 435,000 | 444,224 |
| California School Finance Authority, School Facility Rev. (Alliance for College-Ready Public Schools Projects), “A”, 5%, 7/01/2045 (n) | | | 1,150,000 | 1,154,276 |
| California School Finance Authority, School Facility Rev. (Green Dot Public Schools California Projects), “A”, 5%, 8/01/2048 (n) | | | 750,000 | 740,751 |
| California School Finance Authority, School Facility Rev. (ICEF View Park Elementary and Middle Schools), “A”, 4.75%, 10/01/2024 | | | 140,000 | 139,553 |
| California School Finance Authority, School Facility Rev. (ICEF View Park Elementary and Middle Schools), “A”, 5.625%, 10/01/2034 | | | 575,000 | 577,293 |
| California School Finance Authority, School Facility Rev. (ICEF View Park Elementary and Middle Schools), “A”, 5.875%, 10/01/2044 | | | 545,000 | 545,584 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| California - continued |
| California School Finance Authority, School Facility Rev. (ICEF View Park Elementary and Middle Schools), “A”, 6%, 10/01/2049 | | $ | 1,320,000 | $1,321,190 |
| California School Finance Authority, School Facility Rev. (KIPP LA Projects), “A”, 5.125%, 7/01/2044 | | | 430,000 | 432,555 |
| California School Finance Authority, School Facility Rev. (KIPP LA Projects), “A”, 4%, 7/01/2050 (n) | | | 3,360,000 | 2,958,812 |
| California Statewide Communities Development Authority Rev. (899 Charleston Project), “A”, 5.25%, 11/01/2044 (n) | | | 760,000 | 618,275 |
| California Statewide Communities Development Authority Rev. (899 Charleston Project), “A”, 5.375%, 11/01/2049 (n) | | | 945,000 | 753,961 |
| California Statewide Communities Development Authority Rev. (California Baptist University), “A”, 5.125%, 11/01/2023 | | | 100,000 | 100,062 |
| California Statewide Communities Development Authority Rev. (California Baptist University), “A”, 5%, 11/01/2032 (n) | | | 1,370,000 | 1,403,570 |
| California Statewide Communities Development Authority Rev. (California Baptist University), “A”, 6.125%, 11/01/2033 | | | 1,600,000 | 1,608,400 |
| California Statewide Communities Development Authority Rev. (California Baptist University), “A”, 5%, 11/01/2041 (n) | | | 2,045,000 | 2,030,334 |
| California Statewide Communities Development Authority Rev. (California Baptist University), “A”, 6.375%, 11/01/2043 | | | 1,335,000 | 1,340,351 |
| California Statewide Communities Development Authority Rev. (Enloe Medical Center), “A”, AGM, 5.25%, 8/15/2052 | | | 2,635,000 | 2,803,005 |
| California Statewide Communities Development Authority Rev. (Enloe Medical Center), “A”, AGM, 5.375%, 8/15/2057 | | | 2,515,000 | 2,688,346 |
| California Statewide Communities Development Authority Rev. (Lancer Plaza Project), 5.125%, 11/01/2023 | | | 155,000 | 155,107 |
| California Statewide Communities Development Authority Rev. (Lancer Plaza Project), 5.625%, 11/01/2033 | | | 780,000 | 782,314 |
| California Statewide Communities Development Authority Rev. (Lancer Plaza Project), 5.875%, 11/01/2043 | | | 1,315,000 | 1,316,886 |
| California Statewide Communities Development Authority Rev. (Loma Linda University Medical Center), “A”, 5.25%, 12/01/2034 | | | 3,400,000 | 3,448,250 |
| California Statewide Communities Development Authority Rev. (Loma Linda University Medical Center), “A”, 5%, 12/01/2041 (n) | | | 3,000,000 | 2,981,282 |
| California Statewide Communities Development Authority Rev. (Loma Linda University Medical Center), “A”, 5%, 12/01/2046 (n) | | | 11,095,000 | 10,826,246 |
| California Statewide Communities Development Authority Rev. (Loma Linda University Medical Center), “A”, 5.5%, 12/01/2058 | | | 8,600,000 | 8,602,744 |
| California Statewide Communities Development Authority, College Housing Rev. (NCCD-Hooper Street LLC College of the Arts Project), 5%, 7/01/2029 (n) | | | 880,000 | 885,076 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| California - continued |
| California Statewide Communities Development Authority, College Housing Rev. (NCCD-Hooper Street LLC College of the Arts Project), 5.25%, 7/01/2039 (n) | | $ | 725,000 | $711,933 |
| California Statewide Communities Development Authority, College Housing Rev. (NCCD-Hooper Street LLC College of the Arts Project), 5.25%, 7/01/2049 (n) | | | 2,550,000 | 2,435,290 |
| California Statewide Communities Development Authority, College Housing Rev. (NCCD-Hooper Street LLC College of the Arts Project), 5.25%, 7/01/2052 (n) | | | 1,280,000 | 1,210,889 |
| California Statewide Communities Development Authority, Essential Housing Rev. (Oceanaire-Long Beach), “A-2”, 4%, 9/01/2056 (n) | | | 4,795,000 | 3,547,963 |
| California Statewide Communities Development Authority, Essential Housing Rev. (Orange Portfolio), “B”, 4%, 3/01/2057 (n) | | | 2,630,000 | 1,847,703 |
| Escondido, CA, Union High School District (Election of 2008), Capital Appreciation, “A”, AGM, 0%, 8/01/2032 | | | 3,010,000 | 2,217,164 |
| Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B-1”, 3.85%, 6/01/2050 | | | 25,275,000 | 22,629,931 |
| Lake Tahoe, CA, Unified School District (Election of 2008), Convertible Capital Appreciation, AGM, 0% to 8/01/2032, 6.375% to 8/01/2045 | | | 4,240,000 | 3,388,098 |
| Long Beach, CA, Marina Rev. (Alamitos Bay Marina Project), 5%, 5/15/2035 | | | 450,000 | 459,737 |
| Los Angeles County, CA, Rio Hondo Community College District, “C”, Convertible Capital Appreciation, 0% to 8/01/2024, 6.85% to 8/01/2042 | | | 10,000,000 | 11,894,019 |
| Los Angeles, CA, Department of Airports Refunding Rev. (Los Angeles International), “A”, 5%, 5/15/2036 | | | 1,955,000 | 2,132,349 |
| Los Angeles, CA, Department of Airports Refunding Rev. (Los Angeles International), “A”, 5%, 5/15/2037 | | | 1,455,000 | 1,573,284 |
| Los Angeles, CA, Department of Airports Refunding Rev. (Los Angeles International), “A”, 5%, 5/15/2040 | | | 2,400,000 | 2,558,380 |
| Los Angeles, CA, Department of Airports Rev. (Los Angeles International), “A”, 5%, 5/15/2034 | | | 660,000 | 702,982 |
| Los Angeles, CA, Department of Airports Rev. (Los Angeles International), “A”, 5%, 5/15/2036 | | | 775,000 | 817,034 |
| Modesto, CA, Elementary School District, General Obligation, “B”, 3%, 8/01/2046 | | | 1,735,000 | 1,346,488 |
| Modesto, CA, Elementary School District, General Obligation, “B”, 3%, 8/01/2050 | | | 1,080,000 | 813,208 |
| Morongo Band of Mission Indians California Rev., “A”, 5%, 10/01/2042 (n) | | | 4,180,000 | 4,109,404 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| California - continued |
| Morongo Band of Mission Indians California Rev., “B”, 5%, 10/01/2042 (n) | | $ | 3,605,000 | $3,544,115 |
| Mount San Antonio, CA, Community College District Rev. (Election of 2008), Convertible Capital Appreciation, “A”, 0% to 8/01/2028, 6.25% to 8/01/2043 | | | 7,025,000 | 6,443,052 |
| Oceanside, CA, Unified School District General Obligation, Capital Appreciation, “A”, AGM, 0%, 8/01/2027 | | | 1,585,000 | 1,385,221 |
| Oceanside, CA, Unified School District General Obligation, Capital Appreciation, “A”, ETM, AGM, 0%, 8/01/2024 | | | 380,000 | 367,864 |
| Oceanside, CA, Unified School District General Obligation, Capital Appreciation, “A”, ETM, AGM, 0%, 8/01/2027 | | | 205,000 | 182,147 |
| Oceanside, CA, Unified School District General Obligation, Capital Appreciation, “A”, ETM, AGM, 0%, 8/01/2027 | | | 100,000 | 88,852 |
| Oceanside, CA, Unified School District General Obligation, Capital Appreciation, “A”, ETM, AGM, 0%, 8/01/2027 | | | 180,000 | 159,934 |
| Oceanside, CA, Unified School District General Obligation, Capital Appreciation, “A”, ETM, AGM, 0%, 8/01/2029 | | | 285,000 | 240,641 |
| Oceanside, CA, Unified School District General Obligation, Capital Appreciation, “A”, ETM, AGM, 0%, 8/01/2029 | | | 170,000 | 143,540 |
| Oceanside, CA, Unified School District General Obligation, Capital Appreciation, “A”, ETM, AGM, 0%, 8/01/2030 | | | 235,000 | 193,098 |
| Oceanside, CA, Unified School District General Obligation, Capital Appreciation, “A”, ETM, AGM, 0%, 8/01/2030 | | | 170,000 | 138,728 |
| Palomar Health, CA, Refunding Rev., 5%, 11/01/2042 | | | 10,000,000 | 10,037,528 |
| Pomona, CA, Unified School District, General Obligation, “F”, BAM, 3%, 8/01/2048 | | | 940,000 | 743,768 |
| Sacramento County, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Capital Appreciation, “A-1”, 0%, 6/01/2060 | | | 18,750,000 | 2,840,752 |
| San Diego County, CA, Regional Airport Authority Rev., “B”, 4%, 7/01/2046 | | | 2,095,000 | 1,974,865 |
| San Francisco, CA, City & County Redevelopment Successor Agency, Community Facilities District No. 6 (Mission Bay South Public Improvements), Capital Appreciation, “A”, 0%, 8/01/2043 | | | 8,725,000 | 2,718,019 |
| San Francisco, CA, City & County Redevelopment Successor Agency, Tax Allocation (Mission Bay South Redevelopment Project), “A”, 5%, 8/01/2043 | | | 225,000 | 229,472 |
| Tulare and Kings Counties, CA, College of the Sequoias Community District (Area Improvement District No. 3), “E”, 3%, 8/01/2051 | | | 2,070,000 | 1,570,131 |
| University of California, Hastings Campus Housing Finance Authority, Campus Housing Rev., “A”, 5%, 7/01/2045 (n) | | | 8,810,000 | 7,580,020 |
| University of California, Hastings Campus Housing Finance Authority, Campus Housing Rev., “A”, 5%, 7/01/2061 (n) | | | 9,125,000 | 7,354,953 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| California - continued |
| University of California, Hastings Campus Housing Finance Authority, Campus Housing Rev., Convertible Capital Appreciation, “B”, 0% to 7/01/2035, 6.75% to 7/01/2061 (n) | | $ | 12,970,000 | $4,544,010 |
| West Contra Costa, CA, Unified School District (Election of 2005), Capital Appreciation, “C”, AGM, 0%, 8/01/2029 | | | 3,665,000 | 3,013,377 |
| | | | | $303,207,164 |
| Colorado - 2.0% |
| Arvada, CO, Vauxmont Metropolitan District Rev., AGM, 5%, 12/15/2027 | | $ | 73,000 | $76,794 |
| Arvada, CO, Vauxmont Metropolitan District Rev., AGM, 5%, 12/15/2028 | | | 70,000 | 73,648 |
| Arvada, CO, Vauxmont Metropolitan District Rev., AGM, 5%, 12/15/2029 | | | 70,000 | 73,619 |
| Arvada, CO, Vauxmont Metropolitan District Rev., AGM, 5%, 12/01/2030 | | | 124,000 | 136,662 |
| Arvada, CO, Vauxmont Metropolitan District Rev., AGM, 5%, 12/01/2032 | | | 140,000 | 154,167 |
| Arvada, CO, Vauxmont Metropolitan District Rev., AGM, 5%, 12/15/2032 | | | 90,000 | 94,603 |
| Arvada, CO, Vauxmont Metropolitan District Rev., AGM, 5%, 12/01/2034 | | | 160,000 | 175,149 |
| Arvada, CO, Vauxmont Metropolitan District Rev., AGM, 5%, 12/01/2035 | | | 56,000 | 60,944 |
| Colorado Educational & Cultural Facilities Authority Rev. (Classical Academy Project), “A”, 5%, 12/01/2038 | | | 895,000 | 903,713 |
| Colorado Educational & Cultural Facilities Authority Rev. (Liberty Common Project), 5%, 1/15/2029 | | | 305,000 | 306,353 |
| Colorado Educational & Cultural Facilities Authority Rev. (Liberty Common Project), 5%, 1/15/2039 | | | 560,000 | 560,901 |
| Colorado Educational & Cultural Facilities Authority Rev. (Liberty Common Project), 5%, 1/15/2044 | | | 395,000 | 395,243 |
| Colorado Educational & Cultural Facilities Authority Rev. (Littleton Preparatory Charter School Project), 5%, 12/01/2033 | | | 450,000 | 445,678 |
| Colorado Educational & Cultural Facilities Authority Rev. (Littleton Preparatory Charter School Project), 5%, 12/01/2042 | | | 1,120,000 | 1,055,040 |
| Colorado Educational & Cultural Facilities Authority Rev. (Montessori Charter School Project), 5%, 7/15/2037 | | | 490,000 | 490,579 |
| Colorado Educational & Cultural Facilities Authority Rev. (Peak to Peak Charter School Project), 5%, 8/15/2030 | | | 350,000 | 355,305 |
| Colorado Educational & Cultural Facilities Authority Rev. (Peak to Peak Charter School Project), 5%, 8/15/2034 | | | 350,000 | 355,139 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Colorado - continued |
| Colorado Educational & Cultural Facilities Authority Rev. (Science, Technology, Engineering and Math School Project), 5%, 11/01/2044 | | $ | 1,770,000 | $1,711,442 |
| Colorado Educational & Cultural Facilities Authority Rev. (Science, Technology, Engineering and Math School Project), 5.125%, 11/01/2049 | | | 1,530,000 | 1,484,370 |
| Colorado Educational & Cultural Facilities Authority Rev. (Stargate Charter School Project), “A”, 4%, 12/01/2048 | | | 4,310,000 | 3,826,151 |
| Colorado Educational & Cultural Facilities Authority Rev. (Union Colony School Project), 5%, 4/01/2038 | | | 295,000 | 302,933 |
| Colorado Educational & Cultural Facilities Authority Rev. (Union Colony School Project), 5%, 4/01/2048 | | | 350,000 | 354,217 |
| Colorado Educational & Cultural Facilities Authority Rev. (Union Colony School Project), 5%, 4/01/2053 | | | 365,000 | 368,444 |
| Colorado Educational & Cultural Facilities Authority Rev. (University Lab School Project), 5%, 12/15/2035 | | | 2,000,000 | 2,041,455 |
| Colorado Educational & Cultural Facilities Authority Rev. (University Lab School Project), 5%, 12/15/2045 | | | 2,675,000 | 2,698,496 |
| Colorado Educational & Cultural Facilities Authority, Charter School Refunding Rev. (Thomas MacLaren State Charter School Project), “A”, 5%, 6/01/2035 | | | 570,000 | 604,150 |
| Colorado Educational & Cultural Facilities Authority, Charter School Refunding Rev. (Windsor Charter Academy Project), 4%, 9/01/2050 | | | 515,000 | 464,155 |
| Colorado Educational & Cultural Facilities Authority, Charter School Refunding Rev. (Windsor Charter Academy Project), 4%, 9/01/2055 | | | 925,000 | 819,583 |
| Colorado Educational & Cultural Facilities Authority, Charter School Rev. (Aspen View Academy Project), 4%, 5/01/2036 | | | 175,000 | 163,112 |
| Colorado Educational & Cultural Facilities Authority, Charter School Rev. (Aspen View Academy Project), 4%, 5/01/2041 | | | 175,000 | 152,278 |
| Colorado Educational & Cultural Facilities Authority, Charter School Rev. (Aspen View Academy Project), 4%, 5/01/2051 | | | 350,000 | 281,986 |
| Colorado Educational & Cultural Facilities Authority, Charter School Rev. (Aspen View Academy Project), 4%, 5/01/2061 | | | 610,000 | 468,955 |
| Colorado Educational & Cultural Facilities Authority, Charter School Rev. (James Irwin Educational Foundation Project), 5%, 9/01/2052 | | | 750,000 | 724,612 |
| Colorado Educational & Cultural Facilities Authority, Charter School Rev. (James Irwin Educational Foundation Project), 5%, 9/01/2057 | | | 1,750,000 | 1,659,508 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Colorado - continued |
| Colorado Educational & Cultural Facilities Authority, Charter School Rev. (James Irwin Educational Foundation Project), 5%, 9/01/2062 | | $ | 2,200,000 | $2,047,015 |
| Colorado Educational & Cultural Facilities Authority, Charter School Rev. (New Summit Charter Academy Project), “A”, 4%, 7/01/2031 (n) | | | 450,000 | 425,660 |
| Colorado Educational & Cultural Facilities Authority, Charter School Rev. (New Summit Charter Academy Project), “A”, 4%, 7/01/2041 (n) | | | 600,000 | 494,065 |
| Colorado Educational & Cultural Facilities Authority, Charter School Rev. (New Summit Charter Academy Project), “A”, 4%, 7/01/2051 (n) | | | 715,000 | 533,287 |
| Colorado Educational & Cultural Facilities Authority, Charter School Rev. (New Summit Charter Academy Project), “A”, 4%, 7/01/2061 (n) | | | 2,030,000 | 1,436,664 |
| Colorado Health Facilities Authority Rev. (American Baptist Homes), 8%, 8/01/2043 | | | 2,975,000 | 2,976,398 |
| Colorado Health Facilities Authority Rev. (Christian Living Neighborhoods), 4%, 1/01/2042 | | | 2,635,000 | 1,972,839 |
| Colorado Health Facilities Authority Rev. (CommonSpirit Health), “A”, 5.5%, 11/01/2047 | | | 3,210,000 | 3,431,705 |
| Colorado Health Facilities Authority Rev. (CommonSpirit Health), “A”, 5.25%, 11/01/2052 | | | 4,870,000 | 5,073,310 |
| Colorado Health Facilities Authority Rev. (CommonSpirit Health), “A-2”, 4%, 8/01/2049 | | | 3,880,000 | 3,530,760 |
| Colorado Health Facilities Authority Rev. (Frasier Project), “A”, 4%, 5/15/2041 | | | 1,375,000 | 1,133,215 |
| Colorado Health Facilities Authority Rev. (Frasier Project), “A”, 4%, 5/15/2048 | | | 2,600,000 | 1,988,518 |
| Colorado Housing & Finance Authority Rev., Single Family Mortgage Class I, “C”, 4.75%, 5/01/2049 (u) | | | 4,540,000 | 4,573,461 |
| Colorado Regional Transportation District (Denver Transit Partners Eagle P3 Project), “A”, 4%, 1/15/2033 | | | 395,000 | 406,792 |
| Colorado Regional Transportation District (Denver Transit Partners Eagle P3 Project), “A”, 4%, 7/15/2033 | | | 395,000 | 409,972 |
| Colorado Regional Transportation District (Denver Transit Partners Eagle P3 Project), “A”, 4%, 7/15/2034 | | | 790,000 | 812,775 |
| Colorado Regional Transportation District (Denver Transit Partners Eagle P3 Project), “A”, 4%, 7/15/2036 | | | 660,000 | 667,901 |
| Colorado Regional Transportation District (Denver Transit Partners Eagle P3 Project), “A”, 4%, 7/15/2038 | | | 470,000 | 467,625 |
| Denver, CO, City & County Airport System Rev., “A”, 4.125%, 11/15/2047 | | | 3,360,000 | 3,244,889 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Colorado - continued |
| Denver, CO, City & County Airport System Rev., “A”, 4.125%, 11/15/2053 | | $ | 3,150,000 | $2,990,278 |
| Denver, CO, Convention Center Hotel Authority Rev., 5%, 12/01/2035 | | | 1,070,000 | 1,087,118 |
| Denver, CO, Convention Center Hotel Authority Rev., 5%, 12/01/2036 | | | 675,000 | 682,092 |
| Denver, CO, Convention Center Hotel Authority Rev., 5%, 12/01/2040 | | | 1,800,000 | 1,800,741 |
| Denver, CO, Health & Hospital Authority Rev. (550 Acoma, Inc.), COP, 5%, 12/01/2048 | | | 2,670,000 | 2,621,752 |
| Denver, CO, Health & Hospital Authority Rev., “A”, 5%, 12/01/2039 | | | 3,660,000 | 3,663,142 |
| Denver, CO, Health & Hospital Authority Rev., “A”, 5.25%, 12/01/2045 | | | 795,000 | 796,728 |
| Loretto Heights, CO, Community Authority Special Rev., 4.875%, 12/01/2051 (n) | | | 14,945,000 | 11,610,026 |
| Tallyn's Reach, CO, Metropolitan District No. 3, 5%, 12/01/2033 (Prerefunded 12/01/2023) | | | 358,000 | 359,778 |
| | | | | $85,077,890 |
| Connecticut - 1.1% |
| Connecticut Health & Educational Facilities Authority Rev. (Connecticut Children's Medical Issue), “E”, 5.25%, 7/15/2048 | | $ | 1,790,000 | $1,925,556 |
| Connecticut Health & Educational Facilities Authority Rev. (Connecticut Children's Medical Issue), “E”, 4.25%, 7/15/2053 | | | 2,055,000 | 1,983,883 |
| Connecticut Health & Educational Facilities Authority Rev. (Griffin Hospital), “G-1”, 5%, 7/01/2039 (n) | | | 900,000 | 872,443 |
| Connecticut Health & Educational Facilities Authority Rev. (Griffin Hospital), “G-1”, 5%, 7/01/2050 (n) | | | 2,250,000 | 2,059,213 |
| Connecticut Health & Educational Facilities Authority Rev. (Masonicare), “F”, 5%, 7/01/2043 | | | 8,535,000 | 7,847,727 |
| Connecticut Health & Educational Facilities Authority Rev. (McLean Issue), “A”, 5%, 1/01/2030 (n) | | | 500,000 | 488,151 |
| Connecticut Health & Educational Facilities Authority Rev. (McLean Issue), “A”, 5%, 1/01/2045 (n) | | | 1,500,000 | 1,291,306 |
| Connecticut Health & Educational Facilities Authority Rev. (McLean Issue), “A”, 5%, 1/01/2055 (n) | | | 2,800,000 | 2,290,846 |
| Great Pond, CT, Improvement District Special Obligation Rev. (Great Pond Phase II Project), 5.5%, 10/01/2042 (n) | | | 2,120,000 | 2,121,206 |
| Great Pond, CT, Improvement District Special Obligation Rev. (Great Pond Phase II Project), 5.75%, 10/01/2052 (n) | | | 5,740,000 | 5,743,185 |
| Mohegan Tribal Finance Authority, CT, Economic Development Bonds, 7%, 2/01/2045 (n) | | | 18,190,000 | 18,189,525 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Connecticut - continued |
| Steel Point Infrastructure Improvement District, CT, Special Obligation Rev. (Steel Point Harbor Project), 4%, 4/01/2031 (n) | | $ | 155,000 | $147,501 |
| Steel Point Infrastructure Improvement District, CT, Special Obligation Rev. (Steel Point Harbor Project), 4%, 4/01/2036 (n) | | | 255,000 | 231,050 |
| Steel Point Infrastructure Improvement District, CT, Special Obligation Rev. (Steel Point Harbor Project), 4%, 4/01/2041 (n) | | | 300,000 | 261,543 |
| Steel Point Infrastructure Improvement District, CT, Special Obligation Rev. (Steel Point Harbor Project), 4%, 4/01/2051 (n) | | | 860,000 | 702,932 |
| | | | | $46,156,067 |
| Delaware - 0.6% |
| Delaware Affordable Housing Pass-Thru Trust Certificates, 6%, 10/05/2040 | | $ | 11,081,470 | $10,800,383 |
| Delaware Economic Development Authority Rev. (Delaware Military Academy, Inc. Project), 4.625%, 9/01/2034 (Prerefunded 9/01/2024) | | | 1,105,000 | 1,120,381 |
| Delaware Economic Development Authority Rev. (Delaware Military Academy, Inc. Project), 5%, 9/01/2044 (Prerefunded 9/01/2024) | | | 1,030,000 | 1,048,402 |
| Delaware Economic Development Authority Rev. (Delaware Military Academy, Inc. Project), 5%, 9/01/2049 (Prerefunded 9/01/2024) | | | 1,210,000 | 1,231,618 |
| Delaware Economic Development Authority Rev. (Newark Charter School, Inc.), “A”, 5%, 9/01/2036 | | | 285,000 | 292,254 |
| Delaware Economic Development Authority Rev. (Newark Charter School, Inc.), “A”, 5%, 9/01/2046 | | | 620,000 | 624,553 |
| Delaware Economic Development Authority, Charter School Rev. (Aspira of Delaware Charter Operations, Inc. Project), “A”, 5%, 6/01/2036 | | | 920,000 | 895,308 |
| Delaware Economic Development Authority, Charter School Rev. (Aspira of Delaware Charter Operations, Inc. Project), “A”, 5%, 6/01/2046 | | | 1,635,000 | 1,455,339 |
| Delaware Health Facilities Authority Rev. (Beebe Medical Center Project), 5%, 6/01/2043 | | | 4,230,000 | 4,316,406 |
| Delaware Health Facilities Authority Rev. (Beebe Medical Center Project), 5%, 6/01/2048 | | | 2,115,000 | 2,143,708 |
| Kent County, DE, Student Housing and Dining Facility Rev. (CHF - Dover LLC - Delaware State University Project), “A”, 5%, 7/01/2040 | | | 750,000 | 723,414 |
| Kent County, DE, Student Housing and Dining Facility Rev. (CHF - Dover LLC - Delaware State University Project), “A”, 5%, 7/01/2048 | | | 1,025,000 | 945,450 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Delaware - continued |
| Kent County, DE, Student Housing and Dining Facility Rev. (CHF - Dover LLC - Delaware State University Project), “A”, 5%, 7/01/2053 | | $ | 895,000 | $811,438 |
| Kent County, DE, Student Housing and Dining Facility Rev. (CHF - Dover LLC - Delaware State University Project), “A”, 5%, 7/01/2058 | | | 1,165,000 | 1,041,979 |
| | | | | $27,450,633 |
| District of Columbia - 0.6% |
| District of Columbia Rev. (Rocketship D.C.), “A”, 5%, 6/01/2039 (n) | | $ | 2,090,000 | $1,950,998 |
| District of Columbia Rev. (Rocketship D.C.), “A”, 5%, 6/01/2049 (n) | | | 1,330,000 | 1,162,657 |
| District of Columbia Rev. (Rocketship D.C.), “A”, 5%, 6/01/2051 (n) | | | 1,000,000 | 866,620 |
| District of Columbia Rev. (Rocketship D.C.), “A”, 5%, 6/01/2056 (n) | | | 1,680,000 | 1,431,596 |
| District of Columbia Rev. (Rocketship D.C.), “A”, 5%, 6/01/2061 (n) | | | 1,100,000 | 923,378 |
| District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 10/01/2030 | | | 1,745,000 | 1,744,984 |
| District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 10/01/2035 | | | 5,605,000 | 5,510,922 |
| District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 10/01/2045 | | | 9,810,000 | 9,366,659 |
| District of Columbia, Tobacco Settlement, 6.75%, 5/15/2040 | | | 860,000 | 885,375 |
| Metropolitan Washington, D.C., Airport Authority, Dulles Toll Road Rev. (Dulles Metrorail and Capital Improvement Projects), “A”, AGM, 4%, 10/01/2052 | | | 2,670,000 | 2,529,116 |
| | | | | $26,372,305 |
| Florida - 6.5% |
| Alachua County, FL, Health Facilities Authority, Continuing Care Retirement Community Rev. (Oak Hammock, Inc. at the University of Florida), 4%, 10/01/2040 | | $ | 645,000 | $511,436 |
| Alachua County, FL, Health Facilities Authority, Continuing Care Retirement Community Rev. (Oak Hammock, Inc. at the University of Florida), 4%, 10/01/2046 | | | 860,000 | 632,350 |
| Arborwood Community Development District, FL, Capital Improvement Refunding Rev. (Subordinate Lien), “A-2”, 4.625%, 5/01/2028 | | | 680,000 | 683,671 |
| Arborwood Community Development District, FL, Capital Improvement Refunding Rev. (Subordinate Lien), “A-2”, 5%, 5/01/2036 | | | 860,000 | 862,962 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Florida - continued |
| Arborwood Community Development District, FL, Capital Improvement Rev., “A-1”, 6.9%, 5/01/2036 | | $ | 230,000 | $230,430 |
| Arborwood Community Development District, FL, Capital Improvement Rev., “A-2”, 6.9%, 5/01/2036 | | | 20,000 | 20,006 |
| Bellalago, FL, Educational Facilities Benefit District Capital Improvement Refunding Rev., 4.375%, 5/01/2030 | | | 690,000 | 694,814 |
| Bellalago, FL, Educational Facilities Benefit District Capital Improvement Refunding Rev., 4.5%, 5/01/2033 | | | 320,000 | 321,646 |
| Collier County, FL, Industrial Development Authority, Continuing Care Community Rev. (Arlington of Naples Project), “A”, 5.5%, 5/15/2025 (a)(d)(z) | | | 225,921 | 12,426 |
| Collier County, FL, Industrial Development Authority, Continuing Care Community Rev. (Arlington of Naples Project), “A”, 6.25%, 5/15/2035 (a)(d)(z) | | | 225,921 | 12,426 |
| Collier County, FL, Industrial Development Authority, Continuing Care Community Rev. (Arlington of Naples Project), “A”, 7.75%, 5/15/2035 (a)(d)(z) | | | 786,707 | 43,269 |
| Collier County, FL, Industrial Development Authority, Continuing Care Community Rev. (Arlington of Naples Project), “A”, 8.125%, 5/15/2044 (a)(d)(z) | | | 7,896,896 | 434,329 |
| Collier County, FL, Industrial Development Authority, Continuing Care Community Rev. (Arlington of Naples Project), “A”, 6.5%, 5/15/2049 (a)(d)(z) | | | 606,221 | 33,342 |
| Creekside Community Development District, FL, Special Assessment, 5.2%, 5/01/2038 (a)(d) | | | 1,400,000 | 658,000 |
| Daytona Beach, FL, Halifax Hospital Medical Center Rev., 5%, 6/01/2024 | | | 575,000 | 581,151 |
| Daytona Beach, FL, Halifax Hospital Medical Center Rev., 5%, 6/01/2025 | | | 670,000 | 685,083 |
| Daytona Beach, FL, Halifax Hospital Medical Center Rev., 5%, 6/01/2036 | | | 825,000 | 847,133 |
| Florida Capital Region Community Development District, Capital Improvement Rev., “A-1”, 4.625%, 5/01/2028 | | | 400,000 | 402,189 |
| Florida Capital Region Community Development District, Capital Improvement Rev., “A-1”, 5.125%, 5/01/2039 | | | 2,730,000 | 2,736,617 |
| Florida Capital Trust Agency, Educational Facilities Rev. (Florida Charter Educational Foundation, Inc. Project), “A”, 4.5%, 6/15/2028 (n) | | | 875,000 | 846,708 |
| Florida Capital Trust Agency, Educational Facilities Rev. (Florida Charter Educational Foundation, Inc. Project), “A”, 5.375%, 6/15/2038 (n) | | | 1,005,000 | 965,655 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Florida - continued |
| Florida Capital Trust Agency, Educational Facilities Rev. (Florida Charter Educational Foundation, Inc. Project), “A”, 5.375%, 6/15/2048 (n) | | $ | 1,700,000 | $1,543,157 |
| Florida Capital Trust Agency, Educational Facilities Rev. (Imagine School at North Manatee Project), “A”, 3.25%, 6/01/2031 (n) | | | 240,000 | 205,314 |
| Florida Capital Trust Agency, Educational Facilities Rev. (Imagine School at North Manatee Project), “A”, 5%, 6/01/2041 (n) | | | 325,000 | 291,984 |
| Florida Capital Trust Agency, Educational Facilities Rev. (Imagine School at North Manatee Project), “A”, 5%, 6/01/2056 (n) | | | 900,000 | 748,110 |
| Florida Capital Trust Agency, Educational Facilities Rev. (Imagine School at North Manatee Project), “C”, 5%, 6/01/2041 (n) | | | 230,000 | 206,635 |
| Florida Capital Trust Agency, Educational Facilities Rev. (Imagine School at North Manatee Project), “C”, 5%, 6/01/2056 (n) | | | 520,000 | 432,241 |
| Florida Capital Trust Agency, Educational Facilities Rev. (Liza Jackson Preparatory School, Inc. Project), “A”, 4%, 8/01/2030 | | | 100,000 | 98,522 |
| Florida Capital Trust Agency, Educational Facilities Rev. (Liza Jackson Preparatory School, Inc. Project), “A”, 5%, 8/01/2040 | | | 165,000 | 165,442 |
| Florida Capital Trust Agency, Educational Facilities Rev. (Liza Jackson Preparatory School, Inc. Project), “A”, 5%, 8/01/2055 | | | 515,000 | 494,346 |
| Florida Capital Trust Agency, Educational Facilities Rev. (Renaissance Charter School, Inc. Project), “A”, 5%, 6/15/2039 (n) | | | 3,090,000 | 2,881,139 |
| Florida Capital Trust Agency, Educational Facilities Rev. (Renaissance Charter School, Inc. Project), “A”, 5%, 6/15/2049 (n) | | | 11,995,000 | 10,428,157 |
| Florida Capital Trust Agency, Educational Facilities Rev. (Viera Charter Schools, Inc. Project), “A”, 4%, 10/15/2029 (n) | | | 450,000 | 426,917 |
| Florida Capital Trust Agency, Educational Facilities Rev. (Viera Charter Schools, Inc. Project), “A”, 5%, 10/15/2037 (n) | | | 510,000 | 488,442 |
| Florida Capital Trust Agency, Educational Facilities Rev. (Viera Charter Schools, Inc. Project), “A”, 5%, 10/15/2039 (n) | | | 1,130,000 | 1,068,668 |
| Florida Capital Trust Agency, Educational Facilities Rev. (Viera Charter Schools, Inc. Project), “A”, 5%, 10/15/2047 (n) | | | 1,180,000 | 1,062,175 |
| Florida Capital Trust Agency, Educational Facilities Rev. (Viera Charter Schools, Inc. Project), “A”, 5%, 10/15/2049 (n) | | | 1,860,000 | 1,660,639 |
| Florida Capital Trust Agency, Educational Facilities Rev. (Viera Charter Schools, Inc. Project), “A”, 5%, 10/15/2052 (n) | | | 1,295,000 | 1,141,659 |
| Florida Capital Trust Agency, Educational Facilities Rev. (Viera Charter Schools, Inc. Project), “A”, 5%, 10/15/2054 (n) | | | 1,345,000 | 1,178,318 |
| Florida Development Finance Corp. Educational Facilities Rev. (Drs. Kiran & Pallavi Patel 2017 Foundation for Global Understanding, Inc. Project), “A”, 3%, 7/01/2031 (n) | | | 170,000 | 153,916 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Florida - continued |
| Florida Development Finance Corp. Educational Facilities Rev. (Drs. Kiran & Pallavi Patel 2017 Foundation for Global Understanding, Inc. Project), “A”, 4%, 7/01/2051 (n) | | $ | 1,005,000 | $819,462 |
| Florida Development Finance Corp. Educational Facilities Rev. (Florida Charter Educational Foundation, Inc. Project), “A”, 6.25%, 6/15/2036 (n) | | | 1,155,000 | 1,185,308 |
| Florida Development Finance Corp. Educational Facilities Rev. (Florida Charter Educational Foundation, Inc. Project), “A”, 6.375%, 6/15/2046 (n) | | | 1,980,000 | 2,015,798 |
| Florida Development Finance Corp. Educational Facilities Rev. (Imagine School at Broward Project), “A”, 5%, 12/15/2034 (n) | | | 525,000 | 532,314 |
| Florida Development Finance Corp. Educational Facilities Rev. (Imagine School at Broward Project), “A”, 5%, 12/15/2039 (n) | | | 610,000 | 599,494 |
| Florida Development Finance Corp. Educational Facilities Rev. (Imagine School at Broward Project), “A”, 5%, 12/15/2049 (n) | | | 4,340,000 | 4,163,704 |
| Florida Development Finance Corp. Educational Facilities Rev. (Mater Academy Projects), “A”, 5%, 6/15/2052 | | | 1,135,000 | 1,088,524 |
| Florida Development Finance Corp. Educational Facilities Rev. (Mater Academy Projects), “A”, 5%, 6/15/2056 | | | 1,660,000 | 1,575,258 |
| Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School Projects), “A”, 6.125%, 6/15/2044 | | | 5,000,000 | 5,042,680 |
| Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School Projects), “C”, 4%, 9/15/2030 (n) | | | 240,000 | 219,279 |
| Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School Projects), “C”, 5%, 9/15/2040 (n) | | | 550,000 | 486,766 |
| Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School Projects), “C”, 5%, 9/15/2050 (n) | | | 1,080,000 | 886,468 |
| Florida Development Finance Corp. Educational Facilities Rev. (River City Science Academy Projects), “A”, 4%, 7/01/2035 | | | 175,000 | 165,009 |
| Florida Development Finance Corp. Educational Facilities Rev. (River City Science Academy Projects), “A”, 4%, 7/01/2045 | | | 320,000 | 266,369 |
| Florida Development Finance Corp. Educational Facilities Rev. (River City Science Academy Projects), “A”, 4%, 7/01/2055 | | | 445,000 | 347,851 |
| Florida Development Finance Corp. Educational Facilities Rev. (River City Science Academy Projects), “A-1”, 5%, 7/01/2042 | | | 220,000 | 219,748 |
| Florida Development Finance Corp. Educational Facilities Rev. (River City Science Academy Projects), “A-1”, 5%, 7/01/2051 | | | 200,000 | 193,223 |
| Florida Development Finance Corp. Educational Facilities Rev. (River City Science Academy Projects), “A-1”, 5%, 2/01/2057 | | | 235,000 | 222,234 |
| Florida Development Finance Corp. Educational Facilities Rev. (Southwest Charter Foundation, Inc. Project), “A”, 6%, 6/15/2037 (n) | | | 1,510,000 | 1,434,932 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Florida - continued |
| Florida Development Finance Corp. Educational Facilities Rev. (Southwest Charter Foundation, Inc. Project), “A”, 6.125%, 6/15/2047 (n) | | $ | 4,365,000 | $3,990,372 |
| Florida Development Finance Corp. Senior Living Rev. (Glenridge on Palmer Ranch Project), 5%, 6/01/2031 (n) | | | 430,000 | 417,500 |
| Florida Development Finance Corp. Senior Living Rev. (Glenridge on Palmer Ranch Project), 5%, 6/01/2035 (n) | | | 330,000 | 310,021 |
| Florida Development Finance Corp. Senior Living Rev. (Glenridge on Palmer Ranch Project), 5%, 6/01/2051 (n) | | | 11,890,000 | 9,738,524 |
| Florida Development Finance Corp. Senior Living Rev. (Mayflower Retirement Community Project), “A”, 4%, 6/01/2036 (n) | | | 2,905,000 | 2,274,930 |
| Florida Development Finance Corp. Senior Living Rev. (Mayflower Retirement Community Project), “A”, 5.125%, 6/01/2040 (n) | | | 3,760,000 | 3,252,611 |
| Florida Development Finance Corp. Senior Living Rev. (Mayflower Retirement Community Project), “A”, 4%, 6/01/2041 (n) | | | 2,730,000 | 1,973,914 |
| Florida Development Finance Corp. Senior Living Rev. (Mayflower Retirement Community Project), “A”, 4%, 6/01/2046 (n) | | | 3,755,000 | 2,528,114 |
| Florida Development Finance Corp. Senior Living Rev. (Mayflower Retirement Community Project), “A”, 5.25%, 6/01/2050 (n) | | | 7,500,000 | 6,169,135 |
| Florida Development Finance Corp. Senior Living Rev. (Mayflower Retirement Community Project), “A”, 4%, 6/01/2055 (n) | | | 840,000 | 520,224 |
| Florida Development Finance Corp. Senior Living Rev. (Mayflower Retirement Community Project), “B-1”, 2.375%, 6/01/2027 (n) | | | 235,000 | 225,757 |
| Florida Development Finance Corp. Senior Living Rev. (Mayflower Retirement Community Project), “B-2”, 1.75%, 6/01/2026 (n) | | | 135,000 | 134,968 |
| Florida Higher Educational Facilities Financing Authority Rev. (Florida Institute of Technology), 5%, 10/01/2031 | | | 1,235,000 | 1,293,374 |
| Florida Higher Educational Facilities Financing Authority Rev. (Florida Institute of Technology), 5%, 10/01/2033 | | | 1,700,000 | 1,771,957 |
| Florida Higher Educational Facilities Financing Authority Rev. (Florida Institute of Technology), 5%, 10/01/2034 | | | 1,395,000 | 1,451,283 |
| Florida Higher Educational Facilities Financing Authority Rev. (Florida Institute of Technology), 5%, 10/01/2035 | | | 780,000 | 807,021 |
| Florida Higher Educational Facilities Financing Authority Rev. (Florida Institute of Technology), 5%, 10/01/2036 | | | 1,070,000 | 1,098,935 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Florida - continued |
| Florida Higher Educational Facilities Financing Authority Rev. (Florida Institute of Technology), 4%, 10/01/2037 | | $ | 1,490,000 | $1,356,428 |
| Florida Higher Educational Facilities Financing Authority Rev. (Florida Institute of Technology), 4%, 10/01/2038 | | | 2,030,000 | 1,818,839 |
| Florida Higher Educational Facilities Financing Authority Rev. (Florida Institute of Technology), 4%, 10/01/2039 | | | 2,420,000 | 2,147,180 |
| Florida Higher Educational Facilities Financing Authority Rev. (Florida Institute of Technology), 4%, 10/01/2044 | | | 3,480,000 | 2,979,766 |
| Florida Higher Educational Facilities Financing Authority Rev. (Jacksonville University Project), “A”, 4.5%, 6/01/2033 (n) | | | 2,220,000 | 2,147,876 |
| Florida Higher Educational Facilities Financing Authority Rev. (Jacksonville University Project), “A”, 4.75%, 6/01/2038 (n) | | | 3,475,000 | 3,236,181 |
| Florida Higher Educational Facilities Financing Authority Rev. (Jacksonville University Project), “A”, 5%, 6/01/2048 (n) | | | 3,995,000 | 3,586,548 |
| Florida Housing Finance Corp., Homeowner Mortgage Rev., “1”, FHLMC, 4%, 7/01/2049 | | | 2,250,000 | 2,232,478 |
| Hillsborough County FL, Industrial Development Authority, Hospital Rev. (Tampa General Hospital Project), “A”, 4%, 8/01/2055 | | | 2,315,000 | 2,037,626 |
| Jacksonville, FL, Cypress Bluff Community Development District, 3.75%, 5/01/2024 | | | 225,000 | 224,005 |
| Jacksonville, FL, Cypress Bluff Community Development District, 4.125%, 5/01/2029 | | | 1,265,000 | 1,250,230 |
| Jacksonville, FL, Cypress Bluff Community Development District, 4.9%, 5/01/2039 | | | 3,595,000 | 3,501,685 |
| Jacksonville, FL, Cypress Bluff Community Development District, 5.1%, 5/01/2048 | | | 2,600,000 | 2,525,067 |
| Jacksonville, FL, Educational Facilities Rev. (Jacksonville University Project), “B”, 5%, 6/01/2053 (n) | | | 2,345,000 | 2,062,107 |
| Lakewood Ranch Stewardship District, FL, Special Assessment Rev. (Lakewood Centre North Project), 4.25%, 5/01/2025 | | | 320,000 | 319,547 |
| Lakewood Ranch Stewardship District, FL, Special Assessment Rev. (Lakewood Centre North Project), 4.875%, 5/01/2035 | | | 1,295,000 | 1,296,516 |
| Lakewood Ranch Stewardship District, FL, Special Assessment Rev. (Lakewood Centre North Project), 4.875%, 5/01/2045 | | | 2,305,000 | 2,170,048 |
| Lakewood Ranch Stewardship District, FL, Special Assessment Rev. (Lakewood National and Polo Run Projects), 5.375%, 5/01/2047 | | | 2,820,000 | 2,851,467 |
| Legends Bay Community Development District, FL, “A”, 5.875%, 5/01/2038 | | | 835,000 | 835,546 |
| Live Oak Lake Community Development District, FL, Capital Improvement Rev., 4.5%, 5/01/2036 | | | 3,770,000 | 3,611,658 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Florida - continued |
| Live Oak Lake Community Development District, FL, Capital Improvement Rev., 4.625%, 5/01/2047 | | $ | 2,720,000 | $2,423,900 |
| Marshall Creek, FL, Community Development District Rev. (St. John's County), “A”, 5%, 5/01/2032 | | | 1,265,000 | 1,270,883 |
| Miami Beach, FL, Health Facilities Authority Hospital Rev. (Mount Sinai Medical Center of Florida), “B”, 4%, 11/15/2046 | | | 2,000,000 | 1,837,658 |
| Miami Beach, FL, Health Facilities Authority Hospital Rev. (Mount Sinai Medical Center of Florida), “B”, 4%, 11/15/2051 | | | 4,030,000 | 3,607,153 |
| Miami-Dade County, FL, Industrial Development Authority Rev. (Doral Academy Project), 5%, 1/15/2032 | | | 1,000,000 | 1,019,235 |
| Miami-Dade County, FL, Industrial Development Authority Rev. (Doral Academy Project), 5%, 1/15/2037 | | | 1,215,000 | 1,219,778 |
| Miami-Dade County, FL, Industrial Development Authority Rev. (Doral Academy Project), 5%, 1/15/2048 | | | 4,185,000 | 3,965,791 |
| Miami-Dade County, FL, Industrial Development Authority Rev. (Pinecrest Academy Project), 5%, 9/15/2024 | | | 205,000 | 205,590 |
| Miami-Dade County, FL, Industrial Development Authority Rev. (Pinecrest Academy Project), 5.25%, 9/15/2044 | | | 2,895,000 | 2,921,451 |
| Miami-Dade County, FL, Rickenbacker Causeway Rev., 5%, 10/01/2043 | | | 2,000,000 | 2,012,163 |
| Miami-Dade County, FL, Seaport Refunding Rev., “A”, 5.25%, 10/01/2052 | | | 1,610,000 | 1,688,974 |
| Midtown Miami, FL, Community Development District Special Assessment (Infrastructure Project), “B”, 5%, 5/01/2029 | | | 1,195,000 | 1,194,988 |
| Midtown Miami, FL, Community Development District Special Assessment (Infrastructure Project), “B”, 5%, 5/01/2037 | | | 740,000 | 728,223 |
| Midtown Miami, FL, Community Development District Special Assessment (Parking Garage Project), “A”, 5%, 5/01/2037 | | | 1,055,000 | 1,038,210 |
| Naturewalk Community Development District, FL, Capital Improvement Rev., “B”, 5.3%, 5/01/2016 (a)(d) | | | 1,575,000 | 504,000 |
| North Broward, FL, Hospital District Rev. (Broward Health), “B”, 5%, 1/01/2042 | | | 7,340,000 | 7,494,266 |
| Orange County, FL, Health Facilities Authority Rev. (Presbyterian Retirement Communities Obligated Group Project), “A”, 4%, 8/01/2047 | | | 3,025,000 | 2,543,524 |
| Osceola County, FL, Transportation Improvement and Refunding Rev. (Osceola Parkway), “A-1”, 5%, 10/01/2044 | | | 1,000,000 | 1,020,053 |
| Osceola County, FL, Transportation Improvement and Refunding Rev. (Osceola Parkway), Capital Appreciation, “A-2”, 0%, 10/01/2035 | | | 700,000 | 411,129 |
| Osceola County, FL, Transportation Improvement and Refunding Rev. (Osceola Parkway), Capital Appreciation, “A-2”, 0%, 10/01/2036 | | | 840,000 | 463,914 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Florida - continued |
| Osceola County, FL, Transportation Improvement and Refunding Rev. (Osceola Parkway), Capital Appreciation, “A-2”, 0%, 10/01/2037 | | $ | 320,000 | $166,105 |
| Osceola County, FL, Transportation Improvement and Refunding Rev. (Osceola Parkway), Capital Appreciation, “A-2”, 0%, 10/01/2038 | | | 980,000 | 480,586 |
| Osceola County, FL, Transportation Improvement and Refunding Rev. (Osceola Parkway), Capital Appreciation, “A-2”, 0%, 10/01/2039 | | | 1,180,000 | 546,684 |
| Osceola County, FL, Transportation Improvement and Refunding Rev. (Osceola Parkway), Capital Appreciation, “A-2”, 0%, 10/01/2040 | | | 1,265,000 | 553,072 |
| Osceola County, FL, Transportation Improvement and Refunding Rev. (Osceola Parkway), Capital Appreciation, “A-2”, 0%, 10/01/2041 | | | 1,405,000 | 580,332 |
| Osceola County, FL, Transportation Improvement and Refunding Rev. (Osceola Parkway), Capital Appreciation, “A-2”, 0%, 10/01/2042 | | | 1,125,000 | 438,079 |
| Osceola County, FL, Transportation Improvement and Refunding Rev. (Osceola Parkway), Capital Appreciation, “A-2”, 0%, 10/01/2043 | | | 1,545,000 | 568,883 |
| Osceola County, FL, Transportation Improvement and Refunding Rev. (Osceola Parkway), Capital Appreciation, “A-2”, 0%, 10/01/2044 | | | 1,685,000 | 584,638 |
| Osceola County, FL, Transportation Improvement and Refunding Rev. (Osceola Parkway), Capital Appreciation, “A-2”, 0%, 10/01/2045 | | | 1,965,000 | 642,142 |
| Palm Beach County, FL, Health Facilities Authority Hospital Rev. (BRRH Corp. Obligated Group), 5%, 12/01/2031 (Prerefunded 12/01/2024) | | | 1,000,000 | 1,022,323 |
| Palm Beach County, FL, Health Facilities Authority Hospital Rev. (Jupiter Medical Center Project), “A”, 5%, 11/01/2047 | | | 940,000 | 943,064 |
| Palm Beach County, FL, Health Facilities Authority Hospital Rev. (Jupiter Medical Center Project), “A”, 5%, 11/01/2052 | | | 1,220,000 | 1,203,760 |
| Palm Beach County, FL, Health Facilities Authority Retirement Communities Rev. (Acts Retirement-Life Communities, Inc. Obligated Group), “B”, 5%, 11/15/2042 | | | 985,000 | 942,616 |
| Palm Beach County, FL, Health Facilities Authority Rev. (Toby & Leon Cooperman Sinai Residences of Boca Raton Expansion), “A”, 5%, 6/01/2055 | | | 2,770,000 | 2,347,436 |
| Palm Beach County, FL, Health Facilities Authority Rev. (Toby & Leon Cooperman Sinai Residences of Boca Raton), 4%, 6/01/2031 | | | 1,015,000 | 938,026 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Florida - continued |
| Palm Beach County, FL, Health Facilities Authority Rev. (Toby & Leon Cooperman Sinai Residences of Boca Raton), 4%, 6/01/2036 | | $ | 1,740,000 | $1,488,934 |
| Palm Beach County, FL, Health Facilities Authority Rev. (Toby & Leon Cooperman Sinai Residences of Boca Raton), 4%, 6/01/2041 | | | 1,450,000 | 1,141,748 |
| Palm Beach County, FL, Health Facilities Authority Rev. (Toby & Leon Cooperman Sinai Residences of Boca Raton), 4.25%, 6/01/2056 | | | 4,960,000 | 3,582,882 |
| Palm Beach County, FL, Provident Group Rev. (Lynn University Housing Project), “A”, 4.25%, 6/01/2031 (n) | | | 1,500,000 | 1,398,204 |
| Palm Beach County, FL, Provident Group Rev. (Lynn University Housing Project), “A”, 5%, 6/01/2057 (n) | | | 18,845,000 | 16,127,683 |
| Palm Beach County, FL, Provident Group Rev., Taxable (Lynn University Housing Project), “B”, 5%, 6/01/2027 (n) | | | 1,120,000 | 1,054,675 |
| Pasco County, FL, Bexley Community Development District, Special Assessment Rev., 4.1%, 5/01/2026 | | | 300,000 | 298,130 |
| Pasco County, FL, Bexley Community Development District, Special Assessment Rev., 4.7%, 5/01/2036 | | | 1,370,000 | 1,338,134 |
| Pasco County, FL, Bexley Community Development District, Special Assessment Rev., 4.875%, 5/01/2047 | | | 2,515,000 | 2,324,333 |
| Pasco County, FL, Concord Station Community Development District, “A-1”, 3.5%, 5/01/2032 | | | 1,435,000 | 1,385,558 |
| Pasco County, FL, Concord Station Community Development District, “A-1”, 3.625%, 5/01/2035 | | | 865,000 | 842,848 |
| Pasco County, FL, Concord Station Community Development District, “A-1”, 3.75%, 5/01/2046 | | | 1,000,000 | 877,818 |
| Pasco County, FL, Del Webb Bexley Community Development District, Special Assessment Rev., 5.3%, 5/01/2039 | | | 985,000 | 996,132 |
| Pasco County, FL, Del Webb Bexley Community Development District, Special Assessment Rev., 5.4%, 5/01/2049 | | | 1,265,000 | 1,258,346 |
| Pasco County, FL, Estancia at Wiregrass Community Development District, Capital Improvement, 5.25%, 11/01/2035 | | | 430,000 | 433,275 |
| Pasco County, FL, Estancia at Wiregrass Community Development District, Capital Improvement, 7%, 11/01/2045 | | | 1,995,000 | 2,108,639 |
| Pasco County, FL, Estancia at Wiregrass Community Development District, Capital Improvement, 5.375%, 11/01/2046 | | | 370,000 | 370,315 |
| Pompano Beach, FL, Refunding Rev. (John Knox Village Project), 4%, 9/01/2050 | | | 5,175,000 | 3,933,287 |
| Pompano Beach, FL, Refunding Rev. (John Knox Village Project), “A”, 4%, 9/01/2051 | | | 3,925,000 | 2,960,140 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Florida - continued |
| Pompano Beach, FL, Refunding Rev. (John Knox Village Project), “A”, 4%, 9/01/2056 | | $ | 5,860,000 | $4,288,451 |
| Pompano Beach, FL, Refunding Rev. (John Knox Village Project), “B-2”, 1.45%, 1/01/2027 | | | 810,000 | 724,530 |
| Sarasota County, FL, Health Facility Authority Retirement Facility Improvement Rev. (Village on the Isle Project), “A”, 5%, 1/01/2047 | | �� | 1,020,000 | 869,788 |
| Sarasota County, FL, Health Facility Authority Retirement Facility Improvement Rev. (Village on the Isle Project), “A”, 5%, 1/01/2052 | | | 1,875,000 | 1,556,535 |
| Seminole County, FL, Industrial Development Authority, Educational Facilities Rev. (Galileo Schools for Gifted Learning Project), “A”, 4%, 6/15/2036 (n) | | | 315,000 | 275,254 |
| Seminole County, FL, Industrial Development Authority, Educational Facilities Rev. (Galileo Schools for Gifted Learning Project), “A”, 4%, 6/15/2041 (n) | | | 425,000 | 346,722 |
| Seminole County, FL, Industrial Development Authority, Educational Facilities Rev. (Galileo Schools for Gifted Learning Project), “A”, 4%, 6/15/2051 (n) | | | 505,000 | 372,859 |
| Seminole County, FL, Industrial Development Authority, Educational Facilities Rev. (Galileo Schools for Gifted Learning Project), “A”, 4%, 6/15/2056 (n) | | | 1,310,000 | 935,811 |
| St. John's & Duval County, FL, Tolomato Community Development District Special Assessment Refunding, “A-2”, 3.5%, 5/01/2024 (n) | | | 180,000 | 178,861 |
| St. John's & Duval County, FL, Tolomato Community Development District Special Assessment Refunding, “A-2”, 3.85%, 5/01/2029 (n) | | | 700,000 | 681,364 |
| St. John's & Duval County, FL, Tolomato Community Development District Special Assessment Refunding, “A-2”, 4.25%, 5/01/2037 (n) | | | 1,000,000 | 931,671 |
| St. John's County, FL, Industrial Development Authority, Senior Living Rev. (Vicars Landing Project), “A”, 4%, 12/15/2027 | | | 110,000 | 104,440 |
| St. John's County, FL, Industrial Development Authority, Senior Living Rev. (Vicars Landing Project), “A”, 4%, 12/15/2028 | | | 105,000 | 98,875 |
| St. John's County, FL, Industrial Development Authority, Senior Living Rev. (Vicars Landing Project), “A”, 4%, 12/15/2029 | | | 120,000 | 112,209 |
| St. John's County, FL, Industrial Development Authority, Senior Living Rev. (Vicars Landing Project), “A”, 4%, 12/15/2030 | | | 105,000 | 97,362 |
| St. John's County, FL, Industrial Development Authority, Senior Living Rev. (Vicars Landing Project), “A”, 4%, 12/15/2031 | | | 110,000 | 101,129 |
| St. John's County, FL, Industrial Development Authority, Senior Living Rev. (Vicars Landing Project), “A”, 4%, 12/15/2036 | | | 525,000 | 448,875 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Florida - continued |
| St. John's County, FL, Industrial Development Authority, Senior Living Rev. (Vicars Landing Project), “A”, 4%, 12/15/2041 | | $ | 390,000 | $308,662 |
| St. John's County, FL, Industrial Development Authority, Senior Living Rev. (Vicars Landing Project), “A”, 4%, 12/15/2046 | | | 390,000 | 291,044 |
| St. John's County, FL, Industrial Development Authority, Senior Living Rev. (Vicars Landing Project), “A”, 4%, 12/15/2050 | | | 380,000 | 274,022 |
| Sterling Hill Community Development District, FL, Capital Improvement Rev., “B”, 5.5%, 11/01/2010 (d) | | | 498,907 | 254,443 |
| Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5%, 7/01/2026 | | | 155,000 | 155,868 |
| Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5%, 7/01/2029 | | | 145,000 | 145,779 |
| Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5.125%, 7/01/2034 | | | 315,000 | 316,855 |
| Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5.25%, 7/01/2044 | | | 935,000 | 936,702 |
| Tallahassee, FL, Health Facilities Rev. (Tallahassee Memorial Healthcare, Inc.), “A”, 5%, 12/01/2040 | | | 5,935,000 | 5,935,189 |
| Tallahassee, FL, Health Facilities Rev. (Tallahassee Memorial Healthcare, Inc.), “A”, 5%, 12/01/2044 | | | 2,695,000 | 2,666,998 |
| Tallahassee, FL, Health Facilities Rev. (Tallahassee Memorial Healthcare, Inc.), “A”, 5%, 12/01/2055 | | | 7,125,000 | 7,112,700 |
| Tampa, FL (University of Tampa Project), 5%, 4/01/2040 | | | 965,000 | 977,783 |
| Tampa, FL, Capital Improvement Cigarette Tax Allocation (H. Lee Moffitt Cancer Center Project), Capital Appreciation, “A”, 0%, 9/01/2034 | | | 1,570,000 | 987,551 |
| Tampa, FL, Capital Improvement Cigarette Tax Allocation (H. Lee Moffitt Cancer Center Project), Capital Appreciation, “A”, 0%, 9/01/2035 | | | 865,000 | 511,278 |
| Tampa, FL, Capital Improvement Cigarette Tax Allocation (H. Lee Moffitt Cancer Center Project), Capital Appreciation, “A”, 0%, 9/01/2036 | | | 1,340,000 | 744,798 |
| Tampa, FL, Capital Improvement Cigarette Tax Allocation (H. Lee Moffitt Cancer Center Project), Capital Appreciation, “A”, 0%, 9/01/2037 | | | 630,000 | 328,998 |
| Tampa, FL, Capital Improvement Cigarette Tax Allocation (H. Lee Moffitt Cancer Center Project), Capital Appreciation, “A”, 0%, 9/01/2038 | | | 865,000 | 427,073 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Florida - continued |
| Tampa, FL, Capital Improvement Cigarette Tax Allocation (H. Lee Moffitt Cancer Center Project), Capital Appreciation, “A”, 0%, 9/01/2039 | | $ | 865,000 | $403,642 |
| Tampa, FL, Capital Improvement Cigarette Tax Allocation (H. Lee Moffitt Cancer Center Project), Capital Appreciation, “A”, 0%, 9/01/2040 | | | 1,180,000 | 520,117 |
| Tampa, FL, Capital Improvement Cigarette Tax Allocation (H. Lee Moffitt Cancer Center Project), Capital Appreciation, “A”, 0%, 9/01/2041 | | | 525,000 | 218,716 |
| Tampa, FL, Capital Improvement Cigarette Tax Allocation (H. Lee Moffitt Cancer Center Project), Capital Appreciation, “A”, 0%, 9/01/2042 | | | 525,000 | 206,174 |
| Tampa, FL, Hospital Rev. (H. Lee Moffitt Cancer Center Project), “B”, 4%, 7/01/2038 | | | 340,000 | 333,426 |
| Tampa, FL, Hospital Rev. (H. Lee Moffitt Cancer Center Project), “B”, 4%, 7/01/2039 | | | 345,000 | 334,447 |
| Tampa, FL, Hospital Rev. (H. Lee Moffitt Cancer Center Project), “B”, 5%, 7/01/2040 | | | 525,000 | 544,402 |
| Tampa, FL, Hospital Rev. (H. Lee Moffitt Cancer Center Project), “B”, 4%, 7/01/2045 | | | 1,835,000 | 1,696,692 |
| Trout Creek Community Development District, FL, Capital Improvement Rev., 5.5%, 5/01/2035 | | | 2,255,000 | 2,278,124 |
| Trout Creek Community Development District, FL, Capital Improvement Rev., 5.625%, 5/01/2045 | | | 3,970,000 | 3,984,333 |
| Wildwood, FL, Special Assessment Rev. (Village Community Development District No. 15), 4.85%, 5/01/2038 | | | 575,000 | 581,247 |
| Wildwood, FL, Special Assessment Rev. (Village Community Development District No. 15), 5%, 5/01/2043 | | | 900,000 | 912,628 |
| Wildwood, FL, Special Assessment Rev. (Village Community Development District No. 15), 5.25%, 5/01/2054 | | | 1,685,000 | 1,706,238 |
| Wiregrass Community Development District, FL, Capital Improvement Rev., 5.375%, 5/01/2035 | | | 385,000 | 388,902 |
| Wiregrass Community Development District, FL, Capital Improvement Rev., 4.875%, 5/01/2036 | | | 915,000 | 908,721 |
| Wiregrass Community Development District, FL, Capital Improvement Rev., 5.625%, 5/01/2045 | | | 1,000,000 | 1,005,942 |
| Wiregrass Community Development District, FL, Capital Improvement Rev., 5%, 5/01/2047 | | | 1,695,000 | 1,617,673 |
| | | | | $284,096,896 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Georgia - 1.1% |
| Atlanta, GA, Geo. L. Smith II World Congress Center Authority Convention Center Hotel Rev., “B”, 3.625%, 1/01/2031 (n) | | $ | 2,175,000 | $1,911,900 |
| Atlanta, GA, Geo. L. Smith II World Congress Center Authority Convention Center Hotel Rev., “B”, 5%, 1/01/2036 (n) | | | 1,995,000 | 1,882,461 |
| Atlanta, GA, Geo. L. Smith II World Congress Center Authority Convention Center Hotel Rev., “B”, 5%, 1/01/2054 (n) | | | 6,200,000 | 5,201,479 |
| Cobb County, GA, Development Authority Student Housing Refunding Rev. (Kennesaw State University Foundation, Inc.), “C”, 5%, 7/15/2030 | | | 570,000 | 575,046 |
| Cobb County, GA, Development Authority Student Housing Refunding Rev. (Kennesaw State University Foundation, Inc.), “C”, 5%, 7/15/2030 (Prerefunded 7/15/2025) | | | 10,000 | 10,345 |
| Cobb County, GA, Development Authority Student Housing Refunding Rev. (Kennesaw State University Foundation, Inc.), “C”, 5%, 7/15/2033 (Prerefunded 2/15/2025) | | | 50,000 | 51,725 |
| Cobb County, GA, Development Authority Student Housing Refunding Rev. (Kennesaw State University Foundation, Inc.), “C”, 5%, 7/15/2033 | | | 975,000 | 980,915 |
| Cobb County, GA, Development Authority Student Housing Refunding Rev. (Kennesaw State University Foundation, Inc.), “C”, 5%, 7/15/2038 (Prerefunded 7/15/2025) | | | 40,000 | 41,380 |
| Cobb County, GA, Development Authority Student Housing Refunding Rev. (Kennesaw State University Foundation, Inc.), “C”, 5%, 7/15/2038 | | | 1,060,000 | 1,056,658 |
| Cobb County, GA, Kennestone Hospital Authority Rev. (WellStar Health System, Inc. Project), “B”, 4%, 4/01/2032 | | | 365,000 | 374,194 |
| Cobb County, GA, Kennestone Hospital Authority Rev. (WellStar Health System, Inc. Project), “B”, 4%, 4/01/2034 | | | 385,000 | 393,728 |
| Cobb County, GA, Kennestone Hospital Authority Rev. (WellStar Health System, Inc. Project), “B”, 4%, 4/01/2036 | | | 340,000 | 343,303 |
| Cobb County, GA, Kennestone Hospital Authority Rev. (WellStar Health System, Inc. Project), “B”, 5%, 4/01/2037 | | | 350,000 | 372,223 |
| Cobb County, GA, Kennestone Hospital Authority Rev. (WellStar Health System, Inc. Project), “B”, 5%, 4/01/2038 | | | 370,000 | 390,878 |
| Fulton County, GA, Development Authority Hospital Rev. (WellStar Health System, Inc. Project), “A”, 4%, 4/01/2050 | | | 3,705,000 | 3,460,207 |
| Fulton County, GA, Residential Care Facilities, Elderly Authority Rev. (Lenbrook Square Foundation, Inc. Project), 5%, 7/01/2042 | | | 5,030,000 | 4,725,098 |
| Georgia Housing & Finance Authority Rev., Single Family Mortgage, “A-1”, 4%, 6/01/2044 | | | 35,000 | 34,929 |
| Georgia Main Street Natural Gas, Inc., Gas Project Rev., “A”, 5.5%, 9/15/2028 | | | 2,245,000 | 2,378,835 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Georgia - continued |
| Georgia Main Street Natural Gas, Inc., Gas Supply Rev., “A”, 5%, 6/01/2053 (Put Date 6/01/2030) | | $ | 10,500,000 | $10,861,065 |
| Georgia Municipal Electric Authority (Project One), “A”, 5%, 1/01/2044 | | | 3,880,000 | 3,964,705 |
| Georgia Ports Authority Rev., 4%, 7/01/2047 | | | 2,340,000 | 2,302,870 |
| Georgia Ports Authority Rev., 4%, 7/01/2052 | | | 3,670,000 | 3,543,235 |
| Glynn-Brunswick, GA, Memorial Hospital Authority Rev., Anticipation Certificates (Southeast Georgia Health System Project), 4%, 8/01/2035 | | | 380,000 | 369,106 |
| Glynn-Brunswick, GA, Memorial Hospital Authority Rev., Anticipation Certificates (Southeast Georgia Health System Project), 4%, 8/01/2036 | | | 415,000 | 395,938 |
| Glynn-Brunswick, GA, Memorial Hospital Authority Rev., Anticipation Certificates (Southeast Georgia Health System Project), 4%, 8/01/2037 | | | 285,000 | 266,615 |
| | | | | $45,888,838 |
| Guam - 0.3% |
| Guam Government Business Privilege Tax Refunding, “F”, 5%, 1/01/2029 | | $ | 400,000 | $416,016 |
| Guam Government Business Privilege Tax Refunding, “F”, 5%, 1/01/2030 | | | 300,000 | 313,692 |
| Guam Government Business Privilege Tax Refunding, “F”, 5%, 1/01/2031 | | | 400,000 | 419,836 |
| Guam Government Business Privilege Tax Refunding, “F”, 4%, 1/01/2042 | | | 1,710,000 | 1,511,525 |
| Guam Government Department of Education (John F. Kennedy High School Energy Efficiency Project), “A”, COP, 3.625%, 2/01/2025 | | | 765,000 | 743,331 |
| Guam Government Department of Education (John F. Kennedy High School Energy Efficiency Project), “A”, COP, 4.25%, 2/01/2030 | | | 1,750,000 | 1,729,595 |
| Guam Government Department of Education (John F. Kennedy High School Energy Efficiency Project), “A”, COP, 5%, 2/01/2040 | | | 2,375,000 | 2,363,342 |
| Guam Government, Hotel Occupancy Tax Rev., “A”, 5%, 11/01/2027 | | | 250,000 | 259,397 |
| Guam Government, Hotel Occupancy Tax Rev., “A”, 5%, 11/01/2028 | | | 250,000 | 261,768 |
| Guam Government, Hotel Occupancy Tax Rev., “A”, 5%, 11/01/2029 | | | 325,000 | 342,884 |
| Guam Government, Hotel Occupancy Tax Rev., “A”, 5%, 11/01/2030 | | | 250,000 | 264,373 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Guam - continued |
| Guam Government, Hotel Occupancy Tax Rev., “A”, 5%, 11/01/2035 | | $ | 1,000,000 | $1,042,040 |
| Guam Government, Hotel Occupancy Tax Rev., “A”, 5%, 11/01/2040 | | | 1,000,000 | 1,007,322 |
| Guam International Airport Authority Rev., Taxable (A.B. Won Pat Airport), “A”, 3.839%, 10/01/2036 | | | 930,000 | 735,951 |
| Guam International Airport Authority Rev., Taxable (A.B. Won Pat Airport), “A”, 4.46%, 10/01/2043 | | | 1,070,000 | 799,676 |
| Guam Waterworks Authority Rev. (Water and Wastewater System), 5%, 7/01/2036 | | | 355,000 | 362,329 |
| Guam Waterworks Authority Rev. (Water and Wastewater System), 5%, 1/01/2046 | | | 1,620,000 | 1,634,800 |
| | | | | $14,207,877 |
| Hawaii - 0.1% |
| Hawaii Department of Budget & Finance, Special Purpose Rev. (Chaminade University), 5%, 1/01/2030 (n) | | $ | 1,765,000 | $1,701,144 |
| Hawaii Department of Budget & Finance, Special Purpose Rev. (Chaminade University), 5%, 1/01/2035 (n) | | | 1,125,000 | 1,033,804 |
| Hawaii Department of Budget & Finance, Special Purpose Rev. (Chaminade University), 5%, 1/01/2045 (n) | | | 1,140,000 | 971,779 |
| Hawaii Harbor System Rev., “A”, 4%, 7/01/2033 | | | 525,000 | 532,858 |
| Hawaii Harbor System Rev., “A”, 4%, 7/01/2034 | | | 460,000 | 465,743 |
| Hawaii Harbor System Rev., “A”, 4%, 7/01/2035 | | | 330,000 | 332,237 |
| | | | | $5,037,565 |
| Idaho - 0.2% |
| Idaho Health Facilities Authority Rev. (Madison Memorial Hospital Project), 5%, 9/01/2037 | | $ | 830,000 | $831,665 |
| Idaho Health Facilities Authority Rev. (St. Luke's Health System Project), “A”, 4%, 3/01/2038 | | | 3,880,000 | 3,752,630 |
| Idaho Housing and Finance Association Nonprofit Facilities Rev. (Compass Public Charter School, Inc. Project), “A”, 4.625%, 7/01/2029 (n) | | | 160,000 | 160,981 |
| Idaho Housing and Finance Association Nonprofit Facilities Rev. (Compass Public Charter School, Inc. Project), “A”, 6%, 7/01/2039 (n) | | | 1,100,000 | 1,151,243 |
| Idaho Housing and Finance Association Nonprofit Facilities Rev. (Compass Public Charter School, Inc. Project), “A”, 6%, 7/01/2049 (n) | | | 515,000 | 533,313 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Idaho - continued |
| Idaho Housing and Finance Association Nonprofit Facilities Rev. (Compass Public Charter School, Inc. Project), “A”, 6%, 7/01/2054 (n) | | $ | 565,000 | $583,855 |
| | | | | $7,013,687 |
| Illinois - 10.4% |
| Bridgeview, IL, Stadium and Redevelopment Projects, Taxable, AAC, 5.14%, 12/01/2036 | | $ | 12,665,000 | $11,340,479 |
| Burbank, IL, Educational Facility Rev. (Intercultural Montessori Language School Project), “A”, 6%, 9/01/2035 (n) | | | 2,170,000 | 2,155,164 |
| Burbank, IL, Educational Facility Rev. (Intercultural Montessori Language School Project), “A”, 6.25%, 9/01/2045 (n) | | | 3,565,000 | 3,510,274 |
| Chicago, IL, Board of Education (School Reform), Capital Appreciation, “A”, NPFG, 0%, 12/01/2029 | | | 4,250,000 | 3,270,220 |
| Chicago, IL, Board of Education (School Reform), Capital Appreciation, “A”, NPFG, 0%, 12/01/2030 | | | 1,835,000 | 1,350,683 |
| Chicago, IL, Board of Education (School Reform), Capital Appreciation, “B-1”, NPFG, 0%, 12/01/2026 | | | 4,335,000 | 3,783,835 |
| Chicago, IL, Board of Education (School Reform), Capital Appreciation, “B-1”, NPFG, 0%, 12/01/2028 | | | 5,515,000 | 4,435,047 |
| Chicago, IL, Board of Education, Dedicated Capital Improvement Tax Bond, 5%, 4/01/2033 | | | 380,000 | 395,731 |
| Chicago, IL, Board of Education, Dedicated Capital Improvement Tax Bond, 5%, 4/01/2033 | | | 280,000 | 293,653 |
| Chicago, IL, Board of Education, Dedicated Capital Improvement Tax Bond, 5%, 4/01/2036 | | | 1,110,000 | 1,145,722 |
| Chicago, IL, Board of Education, Dedicated Capital Improvement Tax Bond, 5%, 4/01/2037 | | | 1,115,000 | 1,145,922 |
| Chicago, IL, Board of Education, Dedicated Capital Improvement Tax Bond, 5%, 4/01/2042 | | | 2,015,000 | 2,047,751 |
| Chicago, IL, Board of Education, Dedicated Capital Improvement Tax Bond, 5%, 4/01/2045 | | | 2,700,000 | 2,809,098 |
| Chicago, IL, Board of Education, Dedicated Capital Improvement Tax Bond, 5%, 4/01/2046 | | | 2,755,000 | 2,788,328 |
| Chicago, IL, Board of Education, Dedicated Capital Improvement Tax Bond, 6%, 4/01/2046 | | | 19,865,000 | 20,933,602 |
| Chicago, IL, Board of Education, Dedicated Capital Improvement Tax Bond, 5.75%, 4/01/2048 | | | 6,135,000 | 6,730,168 |
| Chicago, IL, Board of Education, Unlimited Tax General Obligation Dedicated Rev., “A”, 4%, 12/01/2047 | | | 10,385,000 | 8,869,969 |
| Chicago, IL, Board of Education, Unlimited Tax General Obligation Dedicated Rev., “A”, AAC, 5.5%, 12/01/2028 | | | 1,685,000 | 1,770,438 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Illinois - continued |
| Chicago, IL, Board of Education, Unlimited Tax General Obligation Dedicated Rev., “A”, AAC, 5.5%, 12/01/2029 | | $ | 1,030,000 | $1,093,535 |
| Chicago, IL, Board of Education, Unlimited Tax General Obligation Dedicated Rev., “A”, AAC, 5.5%, 12/01/2030 | | | 845,000 | 905,698 |
| Chicago, IL, Board of Education, Unlimited Tax General Obligation Dedicated Rev., “A”, AAC, 5.5%, 12/01/2031 | | | 2,315,000 | 2,498,292 |
| Chicago, IL, Board of Education, Unlimited Tax General Obligation Dedicated Rev., “C”, AGM, 5%, 12/01/2032 | | | 6,425,000 | 6,777,827 |
| Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “A”, 5%, 12/01/2034 | | | 1,250,000 | 1,286,544 |
| Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “A”, 5%, 12/01/2035 | | | 1,500,000 | 1,534,980 |
| Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “A”, 5%, 12/01/2042 | | | 14,200,000 | 13,957,231 |
| Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “A”, 7%, 12/01/2046 (n) | | | 7,105,000 | 7,656,079 |
| Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “A”, AGM, 5%, 12/01/2030 | | | 800,000 | 844,536 |
| Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “A”, AGM, 5%, 12/01/2031 | | | 800,000 | 844,483 |
| Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “A”, AGM, 5%, 12/01/2032 | | | 800,000 | 843,932 |
| Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “A”, AGM, 5%, 12/01/2033 | | | 715,000 | 753,571 |
| Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “A”, AGM, 5%, 12/01/2034 | | | 715,000 | 752,201 |
| Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “A”, AGM, 5%, 12/01/2035 | | | 515,000 | 539,838 |
| Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “B”, 4%, 12/01/2036 | | | 1,215,000 | 1,139,468 |
| Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “B”, 4%, 12/01/2039 | | | 1,920,000 | 1,751,371 |
| Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “B”, 4%, 12/01/2040 | | | 1,255,000 | 1,134,542 |
| Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “B”, 4%, 12/01/2041 | | | 2,270,000 | 2,037,586 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Illinois - continued |
| Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “G”, 5%, 12/01/2034 | | $ | 5,735,000 | $5,840,092 |
| Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “H”, 5%, 12/01/2046 | | | 10,610,000 | 10,394,252 |
| Chicago, IL, General Obligation (Chicago Works), “A”, 5.5%, 1/01/2039 | | | 4,935,000 | 5,403,899 |
| Chicago, IL, General Obligation (Chicago Works), “A”, 5.5%, 1/01/2041 | | | 1,740,000 | 1,860,143 |
| Chicago, IL, General Obligation (Chicago Works), “A”, 5.5%, 1/01/2043 | | | 435,000 | 462,575 |
| Chicago, IL, General Obligation (Neighborhood Alive 21 Program), “B”, 5.5%, 1/01/2037 | | | 2,680,000 | 2,722,447 |
| Chicago, IL, General Obligation, “A”, 5%, 1/01/2025 | | | 1,045,000 | 1,062,755 |
| Chicago, IL, General Obligation, “A”, 5%, 1/01/2027 | | | 3,365,000 | 3,524,888 |
| Chicago, IL, General Obligation, “A”, 5%, 1/01/2028 | | | 760,000 | 803,733 |
| Chicago, IL, General Obligation, “A”, 5%, 1/01/2029 | | | 8,860,000 | 9,455,678 |
| Chicago, IL, General Obligation, “A”, 5%, 1/01/2033 | | | 23,735,000 | 25,665,880 |
| Chicago, IL, General Obligation, “A”, 5%, 1/01/2034 | | | 12,000,000 | 12,954,611 |
| Chicago, IL, General Obligation, “A”, 5.5%, 1/01/2035 | | | 2,925,000 | 3,155,763 |
| Chicago, IL, General Obligation, “A”, 5.25%, 1/01/2038 | | | 7,390,000 | 7,978,431 |
| Chicago, IL, General Obligation, “A”, 5%, 1/01/2039 | | | 4,170,000 | 4,306,724 |
| Chicago, IL, General Obligation, “A”, 5.5%, 1/01/2039 | | | 2,380,000 | 2,416,338 |
| Chicago, IL, General Obligation, “A”, 5%, 1/01/2040 | | | 800,000 | 823,801 |
| Chicago, IL, General Obligation, “A”, 5.5%, 1/01/2040 | | | 500,000 | 545,283 |
| Chicago, IL, General Obligation, “A”, 5%, 1/01/2044 | | | 12,975,000 | 13,237,681 |
| Chicago, IL, General Obligation, “D”, 5.5%, 1/01/2033 | | | 1,630,000 | 1,660,884 |
| Chicago, IL, General Obligation, “D”, 5.5%, 1/01/2040 | | | 1,100,000 | 1,115,868 |
| Chicago, IL, General Obligation, “F”, 5.5%, 1/01/2042 | | | 8,225,000 | 8,332,269 |
| Chicago, IL, Metropolitan Pier & Exposition Authority Refunding Bonds (McCormick Place Expansion Project), “A”, 4%, 6/15/2052 | | | 985,000 | 897,282 |
| Chicago, IL, Metropolitan Pier & Exposition Authority Refunding Bonds (McCormick Place Expansion Project), Capital Appreciation, “B”, BAM, 0%, 12/15/2054 | | | 11,735,000 | 2,699,016 |
| Chicago, IL, Metropolitan Pier & Exposition Authority Refunding Bonds (McCormick Place Expansion Project), Capital Appreciation, “B-1”, AGM, 0%, 6/15/2046 | | | 15,000,000 | 5,290,094 |
| Chicago, IL, Metropolitan Pier & Exposition Authority Refunding Bonds (McCormick Place Expansion Project), Capital Appreciation, “B-1”, AGM, 0%, 6/15/2047 | | | 29,475,000 | 9,874,072 |
| Chicago, IL, Metropolitan Pier & Exposition Authority Rev. (McCormick Place Expansion Project), Capital Appreciation, “A”, AGM, 0%, 12/15/2056 | | | 5,495,000 | 1,150,789 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Illinois - continued |
| Chicago, IL, O’Hare International Airport Rev., Special Facilities, 5%, 7/01/2033 | | $ | 745,000 | $774,737 |
| Chicago, IL, O’Hare International Airport Rev., Special Facilities, 5%, 7/01/2038 | | | 2,065,000 | 2,100,403 |
| Chicago, IL, O’Hare International Airport Rev., Special Facilities, 5%, 7/01/2048 | | | 6,550,000 | 6,550,357 |
| Chicago, IL, O'Hare International Airport Rev., Customer Facility Charge, AGM, 5.25%, 1/01/2032 | | | 675,000 | 677,154 |
| Chicago, IL, O'Hare International Airport Rev., Customer Facility Charge, AGM, 5.25%, 1/01/2033 | | | 335,000 | 336,071 |
| Chicago, IL, O'Hare International Airport Rev., Senior Lien, “A”, 4.5%, 1/01/2048 | | | 5,490,000 | 5,427,466 |
| Chicago, IL, O'Hare International Airport Rev., Senior Lien, “A”, 5%, 1/01/2048 | | | 4,695,000 | 4,811,553 |
| Chicago, IL, O'Hare International Airport Rev., Senior Lien, “A”, 4.625%, 1/01/2053 | | | 6,585,000 | 6,547,629 |
| Du Page County, IL, Special Service Area No. 31 Special Tax (Monarch Landing Project), 5.625%, 3/01/2036 | | | 723,000 | 714,591 |
| Illinois Finance Authority Rev. (Dominican University), 5%, 3/01/2034 | | | 405,000 | 415,088 |
| Illinois Finance Authority Rev. (Dominican University), 5%, 3/01/2038 | | | 500,000 | 492,091 |
| Illinois Finance Authority Rev. (Dominican University), 5%, 3/01/2042 | | | 310,000 | 299,823 |
| Illinois Finance Authority Rev. (Dominican University), 5%, 3/01/2047 | | | 565,000 | 538,321 |
| Illinois Finance Authority Rev. (Dominican University), 5%, 3/01/2052 | | | 490,000 | 457,051 |
| Illinois Finance Authority Rev. (McKinley Foundation), “A”, 5.125%, 11/01/2055 (n) | | | 3,570,000 | 2,960,901 |
| Illinois Finance Authority Rev. (Mercy Health Corp.), 5%, 12/01/2040 | | | 3,020,000 | 3,059,192 |
| Illinois Finance Authority Rev. (Plymouth Place, Inc.), “A”, 5%, 5/15/2041 | | | 400,000 | 341,755 |
| Illinois Finance Authority Rev. (Plymouth Place, Inc.), “A”, 6.5%, 5/15/2042 | | | 1,745,000 | 1,788,754 |
| Illinois Finance Authority Rev. (Plymouth Place, Inc.), “A”, 6.5%, 5/15/2047 | | | 2,530,000 | 2,564,856 |
| Illinois Finance Authority Rev. (Plymouth Place, Inc.), “A”, 5%, 5/15/2051 | | | 1,000,000 | 792,073 |
| Illinois Finance Authority Rev. (Plymouth Place, Inc.), “A”, 6.625%, 5/15/2052 | | | 2,060,000 | 2,087,499 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Illinois - continued |
| Illinois Finance Authority Rev. (Plymouth Place, Inc.), “A”, 5%, 5/15/2056 | | $ | 1,330,000 | $1,027,007 |
| Illinois Finance Authority Rev. (Plymouth Place, Inc.), “A”, 6.75%, 5/15/2058 | | | 2,735,000 | 2,781,753 |
| Illinois Finance Authority Rev. (Presence Health Network), 4%, 2/15/2041 (Prerefunded 2/15/2027) | | | 20,000 | 20,616 |
| Illinois Finance Authority Rev. (Presence Health Network), “C”, 4%, 2/15/2041 (Prerefunded 2/15/2027) | | | 435,000 | 448,405 |
| Illinois Finance Authority Rev. (Presence Health Network), “C”, 4%, 2/15/2041 | | | 9,405,000 | 9,136,651 |
| Illinois Finance Authority Rev. (Rosalind Franklin University), “A”, 5%, 8/01/2042 | | | 640,000 | 638,516 |
| Illinois Finance Authority Rev. (Rosalind Franklin University), “A”, 5%, 8/01/2047 | | | 1,310,000 | 1,287,604 |
| Illinois Finance Authority Rev. (Rosalind Franklin University, Research Building Project), “C”, 5%, 8/01/2046 | | | 1,005,000 | 986,205 |
| Illinois Finance Authority Rev. (Rosalind Franklin University, Research Building Project), “C”, 5%, 8/01/2049 | | | 970,000 | 948,342 |
| Illinois Finance Authority Rev., Taxable (McKinley Foundation), “B”, 7%, 11/01/2037 (n) | | | 1,105,000 | 1,065,634 |
| Illinois Finance Authority, Academic Facilities Lease Rev. (Provident Group - UIUC Properties LLC - University of Illinois at Urbana-Champaign Project), “A”, 5%, 10/01/2051 | | | 580,000 | 592,858 |
| Illinois Finance Authority, Educational Facility Rev. (Rogers Park Montessori School Project), 6%, 2/01/2034 | | | 700,000 | 702,303 |
| Illinois Finance Authority, Educational Facility Rev. (Rogers Park Montessori School Project), 6.125%, 2/01/2045 | | | 1,800,000 | 1,804,127 |
| Illinois Finance Authority, Graduate & Professional Student Loan Program Rev. (Midwestern University Foundation), “A”, 2.25%, 7/01/2033 | | | 610,000 | 507,123 |
| Illinois Finance Authority, Graduate & Professional Student Loan Program Rev. (Midwestern University Foundation), “A”, 3%, 7/01/2035 | | | 690,000 | 606,684 |
| Illinois Finance Authority, Student Housing and Academic Facility Rev. (CHF - Chicago LLC - University of Illinois at Chicago Project), “A”, 5%, 2/15/2028 | | | 210,000 | 212,981 |
| Illinois Finance Authority, Student Housing and Academic Facility Rev. (CHF - Chicago LLC - University of Illinois at Chicago Project), “A”, 5%, 2/15/2037 | | | 1,415,000 | 1,400,685 |
| Illinois Finance Authority, Student Housing and Academic Facility Rev. (CHF - Chicago LLC - University of Illinois at Chicago Project), “A”, 5%, 2/15/2047 | | | 825,000 | 771,929 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Illinois - continued |
| Illinois Finance Authority, Student Housing and Academic Facility Rev. (CHF - Chicago LLC - University of Illinois at Chicago Project), “A”, 5%, 2/15/2050 | | $ | 415,000 | $383,485 |
| Illinois Housing Development Authority Rev., “A”, FHLMC, 3.87%, 11/15/2035 (z) | | | 9,098,315 | 8,172,051 |
| Illinois Housing Development Authority Rev., “B”, FHLMC, 3.87%, 11/15/2035 (z) | | | 3,710,500 | 3,332,748 |
| Illinois Housing Development Authority Rev., “C”, FHLMC, 3.87%, 11/15/2035 (z) | | | 3,702,592 | 3,265,472 |
| Illinois Housing Development Authority Rev., “D”, FHLMC, 3.87%, 11/15/2035 (z) | | | 3,378,609 | 2,966,840 |
| Illinois Housing Development Authority Rev., “E”, FHLMC, 3.87%, 11/15/2035 (z) | | | 2,326,354 | 2,033,993 |
| Lincolnshire, IL, Special Service Area No. 1 (Sedgebrook Project), 6.25%, 3/01/2034 | | | 2,064,000 | 2,065,564 |
| Northern Illinois University, Auxiliary Facilities System Refunding Rev., BAM, 4%, 10/01/2039 | | | 445,000 | 429,717 |
| Northern Illinois University, Auxiliary Facilities System Refunding Rev., BAM, 4%, 10/01/2041 | | | 430,000 | 404,555 |
| Northern Illinois University, Auxiliary Facilities System Refunding Rev., BAM, 4%, 10/01/2043 | | | 260,000 | 240,732 |
| Northern Illinois University, Auxiliary Facilities System Refunding Rev., “B”, BAM, 4%, 4/01/2036 | | | 755,000 | 750,317 |
| Northern Illinois University, Auxiliary Facilities System Refunding Rev., “B”, BAM, 4%, 4/01/2038 | | | 850,000 | 825,570 |
| Northern Illinois University, Auxiliary Facilities System Refunding Rev., “B”, BAM, 4%, 4/01/2040 | | | 810,000 | 769,447 |
| Northern Illinois University, Auxiliary Facilities System Refunding Rev., “B”, BAM, 4%, 4/01/2041 | | | 385,000 | 362,543 |
| Romeoville, IL, Rev. (Lewis University Project), “A”, 5%, 10/01/2042 | | | 1,450,000 | 1,415,141 |
| Romeoville, IL, Rev. (Lewis University Project), “B”, 5%, 10/01/2039 | | | 1,500,000 | 1,493,890 |
| Romeoville, IL, Rev. (Lewis University Project), “B”, 4.125%, 10/01/2041 | | | 1,130,000 | 971,306 |
| Romeoville, IL, Rev. (Lewis University Project), “B”, 4.125%, 10/01/2046 | | | 1,120,000 | 918,393 |
| State of Illinois, General Obligation, 5%, 11/01/2028 | | | 2,595,000 | 2,709,159 |
| State of Illinois, General Obligation, 4.125%, 11/01/2031 | | | 2,195,000 | 2,205,087 |
| State of Illinois, General Obligation, 5%, 1/01/2033 | | | 300,000 | 307,830 |
| State of Illinois, General Obligation, 5.5%, 5/01/2039 | | | 8,810,000 | 9,628,785 |
| State of Illinois, General Obligation, 4.5%, 11/01/2039 | | | 2,420,000 | 2,405,818 |
| State of Illinois, General Obligation, 5%, 11/01/2040 | | | 10,180,000 | 10,292,227 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Illinois - continued |
| State of Illinois, General Obligation, 5.75%, 5/01/2045 | | $ | 9,310,000 | $10,174,622 |
| State of Illinois, General Obligation, AGM, 4%, 2/01/2030 | | | 900,000 | 917,326 |
| State of Illinois, General Obligation, “A”, 5%, 11/01/2027 | | | 12,495,000 | 13,290,764 |
| State of Illinois, General Obligation, “A”, 5%, 3/01/2034 | | | 2,000,000 | 2,195,351 |
| State of Illinois, General Obligation, “A”, 5%, 4/01/2036 | | | 2,295,000 | 2,295,587 |
| State of Illinois, General Obligation, “B”, 5%, 12/01/2033 | | | 2,000,000 | 2,215,078 |
| State of Illinois, General Obligation, “B”, 4%, 11/01/2038 | | | 1,665,000 | 1,637,031 |
| State of Illinois, General Obligation, “B”, 5.5%, 5/01/2047 | | | 3,465,000 | 3,776,914 |
| University of Illinois, Auxiliary Facilities System Rev., “A”, BAM, 4%, 4/01/2044 | | | 1,055,000 | 1,016,454 |
| University of Illinois, Auxiliary Facilities System Rev., “A”, BAM, 4%, 4/01/2050 | | | 1,205,000 | 1,122,831 |
| Upper Illinois River Valley Development Authority Rev. (Morris Hospital), 5%, 12/01/2043 | | | 8,455,000 | 8,520,244 |
| Upper Illinois River Valley Development Authority Rev. (Morris Hospital), 5%, 12/01/2048 | | | 8,460,000 | 8,487,787 |
| | | | | $451,440,493 |
| Indiana - 0.8% |
| Indiana Finance Authority Refunding Rev., Taxable (BHI Senior Living), “B”, 3.21%, 11/15/2028 | | $ | 785,000 | $690,288 |
| Indiana Finance Authority Refunding Rev., Taxable (BHI Senior Living), “B”, 3.26%, 11/15/2029 | | | 930,000 | 799,150 |
| Indiana Finance Authority Refunding Rev., Taxable (BHI Senior Living), “B”, 3.3%, 11/15/2030 | | | 720,000 | 605,294 |
| Indiana Finance Authority Refunding Rev., Taxable (BHI Senior Living), “B”, 3.39%, 11/15/2031 | | | 570,000 | 471,093 |
| Indiana Finance Authority Rev. (Marquette Project), “A”, 5%, 3/01/2030 | | | 460,000 | 461,574 |
| Indiana Finance Authority Rev. (Marquette Project), “A”, 5%, 3/01/2039 | | | 1,155,000 | 1,119,700 |
| Indiana Finance Authority Student Housing Rev. (CHF - Tippecanoe, LLC - Student Housing Project), “A”, 5%, 6/01/2053 | | | 960,000 | 971,839 |
| Indiana Finance Authority Student Housing Rev. (CHF - Tippecanoe, LLC - Student Housing Project), “A”, 5.125%, 6/01/2058 | | | 790,000 | 804,299 |
| Indiana Finance Authority Student Housing Rev. (CHF - Tippecanoe, LLC - Student Housing Project), “A”, 5.375%, 6/01/2064 | | | 2,360,000 | 2,400,381 |
| Indiana Finance Authority, Educational Facilities Multipurpose Rev. (KIPP Indianapolis, Inc. Project), “A”, 4%, 7/01/2030 | | | 210,000 | 197,258 |
| Indiana Finance Authority, Educational Facilities Multipurpose Rev. (KIPP Indianapolis, Inc. Project), “A”, 5%, 7/01/2040 | | | 340,000 | 324,663 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Indiana - continued |
| Indiana Finance Authority, Educational Facilities Multipurpose Rev. (KIPP Indianapolis, Inc. Project), “A”, 5%, 7/01/2055 | | $ | 915,000 | $824,987 |
| Indiana Finance Authority, Educational Facilities Tax-Exempt Rev. (Marian University Project), 4%, 9/15/2044 | | | 470,000 | 403,068 |
| Indiana Finance Authority, Educational Facilities Tax-Exempt Rev. (Marian University Project), 4%, 9/15/2049 | | | 460,000 | 379,490 |
| Indiana Finance Authority, Hospital Rev. (Reid Health), AGM, 4.25%, 1/01/2047 | | | 2,460,000 | 2,376,787 |
| Lake County, IN, Hammond Multi-School Building Corp., 5%, 7/15/2035 | | | 550,000 | 581,332 |
| Terre Haute, IN, Rev. (Westminster Village), 6%, 8/01/2039 | | | 4,600,000 | 4,072,628 |
| Valparaiso, IN, Exempt Facilities Rev. (Pratt Paper LLC Project), 6.75%, 1/01/2034 | | | 4,370,000 | 4,421,956 |
| Valparaiso, IN, Exempt Facilities Rev. (Pratt Paper LLC Project), 7%, 1/01/2044 | | | 10,875,000 | 11,011,275 |
| | | | | $32,917,062 |
| Iowa - 0.7% |
| Iowa Finance Authority Senior Housing Rev. (Northcrest, Inc. Project), “A”, 5%, 3/01/2033 | | $ | 1,095,000 | $1,060,931 |
| Iowa Finance Authority Senior Housing Rev. (Northcrest, Inc. Project), “A”, 5%, 3/01/2038 | | | 865,000 | 796,684 |
| Iowa Finance Authority Senior Housing Rev. (Northcrest, Inc. Project), “A”, 5%, 3/01/2048 | | | 1,590,000 | 1,345,487 |
| Iowa Finance Authority, Single Family Mortgage Rev., “A”, FNMA, 4%, 7/01/2047 | | | 530,000 | 525,578 |
| Iowa Higher Education Loan Authority, Private College Facility Rev. (Des Moines University Project), 4.75%, 10/01/2042 | | | 775,000 | 775,929 |
| Iowa Higher Education Loan Authority, Private College Facility Rev. (Des Moines University Project), 5%, 10/01/2047 | | | 820,000 | 830,057 |
| Iowa Higher Education Loan Authority, Private College Facility Rev. (Des Moines University Project), 5.375%, 10/01/2052 | | | 910,000 | 939,257 |
| Iowa Student Loan Liquidity Corp. Rev., “B”, 3%, 12/01/2039 | | | 285,000 | 269,958 |
| Iowa Student Loan Liquidity Corp. Rev., “B”, 3.5%, 12/01/2044 | | | 7,710,000 | 6,291,354 |
| Iowa Tobacco Settlement Authority Asset-Backed, Senior Capital Appreciation, “B-2”, 0%, 6/01/2065 | | | 157,900,000 | 18,217,460 |
| | | | | $31,052,695 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Kansas - 1.2% |
| Coffeyville, KS, Electric Utility System Rev., “B”, NPFG, 5%, 6/01/2038 (Prerefunded 6/01/2025) (n) | | $ | 3,600,000 | $3,696,470 |
| Coffeyville, KS, Electric Utility System Rev., “B”, NPFG, 5%, 6/01/2042 (Prerefunded 6/01/2025) (n) | | | 1,500,000 | 1,540,196 |
| Hutchinson, KS, Hospital Facilities Rev. (Hutchinson Regional Medical Center, Inc.), 5%, 12/01/2036 | | | 1,405,000 | 1,364,486 |
| Hutchinson, KS, Hospital Facilities Rev. (Hutchinson Regional Medical Center, Inc.), 5%, 12/01/2041 | | | 615,000 | 566,908 |
| Lenexa, KS, Health Care Facility Rev. (Lakeview Village, Inc.), “A”, 5%, 5/15/2030 | | | 1,085,000 | 1,085,375 |
| Lenexa, KS, Health Care Facility Rev. (Lakeview Village, Inc.), “A”, 5%, 5/15/2032 | | | 985,000 | 978,706 |
| Lenexa, KS, Health Care Facility Rev. (Lakeview Village, Inc.), “A”, 5%, 5/15/2039 | | | 1,280,000 | 1,205,215 |
| Lenexa, KS, Health Care Facility Rev. (Lakeview Village, Inc.), “A”, 5%, 5/15/2043 | | | 4,000,000 | 3,674,434 |
| Manhattan, KS, Health Care Facilities Rev. (Meadowlark Hills), “A”, 4%, 6/01/2036 | | | 1,000,000 | 833,009 |
| Manhattan, KS, Health Care Facilities Rev. (Meadowlark Hills), “A”, 4%, 6/01/2046 | | | 890,000 | 642,155 |
| Manhattan, KS, Health Care Facilities Rev. (Meadowlark Hills), “A”, 4%, 6/01/2052 | | | 4,390,000 | 3,011,178 |
| Overland Park, KS, Development Corp. Improvement and Refunding Rev. (Overland Park Convention Center Hotel), 5%, 3/01/2032 | | | 1,360,000 | 1,344,097 |
| Overland Park, KS, Development Corp. Improvement and Refunding Rev. (Overland Park Convention Center Hotel), 5%, 3/01/2033 | | | 1,430,000 | 1,413,715 |
| Overland Park, KS, Development Corp. Improvement and Refunding Rev. (Overland Park Convention Center Hotel), 5%, 3/01/2034 | | | 1,500,000 | 1,489,008 |
| Overland Park, KS, Development Corp. Improvement and Refunding Rev. (Overland Park Convention Center Hotel), 5%, 3/01/2036 | | | 1,660,000 | 1,656,720 |
| Overland Park, KS, Development Corp. Improvement and Refunding Rev. (Overland Park Convention Center Hotel), 5%, 3/01/2038 | | | 1,835,000 | 1,793,109 |
| Overland Park, KS, Development Corp. Improvement and Refunding Rev. (Overland Park Convention Center Hotel), 5%, 3/01/2044 | | | 2,615,000 | 2,514,202 |
| Overland Park, KS, Development Corp. Improvement and Refunding Rev. (Overland Park Convention Center Hotel), 5%, 3/01/2049 | | | 5,640,000 | 5,346,156 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Kansas - continued |
| Overland Park, KS, Sales Tax Special Rev. (Bluhawk STAR Bond Project), “A”, 5.5%, 11/15/2028 (n) | | $ | 750,000 | $765,774 |
| Overland Park, KS, Sales Tax Special Rev. (Bluhawk STAR Bond Project), “A”, 6%, 11/15/2034 (n) | | | 2,415,000 | 2,489,371 |
| Topeka, KS, Health Care Facilities Rev. (Brewster Place), “A”, 6.25%, 12/01/2042 | | | 1,320,000 | 1,308,175 |
| Topeka, KS, Health Care Facilities Rev. (Brewster Place), “A”, 6.5%, 12/01/2052 | | | 2,420,000 | 2,394,698 |
| Wichita, KS, Health Care Facilities Rev. (Presbyterian Manors, Inc.), “A”, 6.375%, 5/15/2043 | | | 4,165,000 | 3,612,197 |
| Wichita, KS, Health Care Facilities Rev. (Presbyterian Manors, Inc.), “I”, 5%, 5/15/2033 | | | 605,000 | 525,286 |
| Wichita, KS, Health Care Facilities Rev. (Presbyterian Manors, Inc.), “I”, 5%, 5/15/2038 | | | 710,000 | 556,136 |
| Wichita, KS, Health Care Facilities Rev. (Presbyterian Manors, Inc.), “I”, 4.625%, 5/15/2041 | | | 605,000 | 430,490 |
| Wichita, KS, Health Care Facilities Rev. (Presbyterian Manors, Inc.), “I”, 5%, 5/15/2047 | | | 1,860,000 | 1,298,740 |
| Wichita, KS, Health Care Facilities Rev. (Presbyterian Manors, Inc.), “III”, 5%, 5/15/2034 | | | 1,750,000 | 1,497,377 |
| Wichita, KS, Health Care Facilities Rev. (Presbyterian Manors, Inc.), “IV-A”, 6.5%, 5/15/2048 | | | 1,500,000 | 1,282,949 |
| Wyandotte County/Kansas City, KS, Unified Government Community Improvement District Sales Tax Rev. (Legends Apartments Garage & West Lawn Project), 4.5%, 6/01/2040 | | | 1,235,000 | 1,137,437 |
| | | | | $51,453,769 |
| Kentucky - 1.2% |
| Henderson, KY, Exempt Facilities Rev. (Pratt Paper LLC Project), “B”, 4.45%, 1/01/2042 (n) | | $ | 4,005,000 | $3,856,564 |
| Kentucky Economic Development Finance Authority Healthcare Facilities Rev. (Baptist Life Communities Project), “A”, 6%, 11/15/2036 | | | 2,385,000 | 1,996,980 |
| Kentucky Economic Development Finance Authority Healthcare Facilities Rev. (Baptist Life Communities Project), “A”, 6.25%, 11/15/2046 | | | 5,105,000 | 3,943,151 |
| Kentucky Economic Development Finance Authority Healthcare Facilities Rev. (Baptist Life Communities Project), “A”, 6.375%, 11/15/2051 | | | 5,415,000 | 4,137,987 |
| Kentucky Economic Development Finance Authority Healthcare Facilities Rev. (Masonic Homes of Kentucky, Inc.), 5.375%, 11/15/2042 | | | 2,915,000 | 2,404,124 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Kentucky - continued |
| Kentucky Economic Development Finance Authority Healthcare Facilities Rev. (Masonic Homes of Kentucky, Inc.), 5.5%, 11/15/2045 | | $ | 1,325,000 | $1,084,233 |
| Kentucky Economic Development Finance Authority Hospital Rev. (Baptist Healthcare System), “B”, 5%, 8/15/2037 | | | 1,250,000 | 1,296,882 |
| Kentucky Economic Development Finance Authority Hospital Rev. (Baptist Healthcare System), “B”, 5%, 8/15/2046 | | | 5,245,000 | 5,360,214 |
| Kentucky Economic Development Finance Authority Hospital Rev. (Owensboro Health, Inc.), “A”, 5%, 6/01/2041 | | | 1,995,000 | 1,980,444 |
| Kentucky Economic Development Finance Authority Hospital Rev. (Owensboro Health, Inc.), “A”, 5.25%, 6/01/2041 | | | 1,555,000 | 1,589,916 |
| Kentucky Economic Development Finance Authority Hospital Rev. (Owensboro Health, Inc.), “A”, 5%, 6/01/2045 | | | 2,490,000 | 2,443,757 |
| Kentucky Economic Development Finance Authority Rev. (Masonic Home Independent Living II, Inc. - Meadow Project and Grove Pointe Project), “A”, 5%, 5/15/2036 | | | 2,505,000 | 2,114,154 |
| Kentucky Economic Development Finance Authority Rev. (Masonic Home Independent Living II, Inc. - Meadow Project and Grove Pointe Project), “A”, 5%, 5/15/2046 | | | 6,945,000 | 5,140,183 |
| Kentucky Economic Development Finance Authority Rev. (Masonic Home Independent Living II, Inc. - Meadow Project and Grove Pointe Project), “A”, 5%, 5/15/2051 | | | 1,755,000 | 1,258,015 |
| Kentucky Higher Education Student Loan Corp. Rev., “B-1”, 5%, 6/01/2036 | | | 8,965,000 | 9,200,980 |
| Kentucky State University, Certificates of Participation, BAM, 4%, 11/01/2036 | | | 80,000 | 82,218 |
| Kentucky State University, Certificates of Participation, BAM, 4%, 11/01/2038 | | | 170,000 | 170,042 |
| Kentucky State University, Certificates of Participation, BAM, 4%, 11/01/2041 | | | 130,000 | 129,054 |
| Kentucky State University, Certificates of Participation, BAM, 4%, 11/01/2051 | | | 275,000 | 265,240 |
| Louisville & Jefferson County, KY, Metro Government College Improvement Rev. (Bellarmine University Project), “A”, 5%, 5/01/2034 | | | 1,440,000 | 1,372,559 |
| Louisville & Jefferson County, KY, Metro Government College Improvement Rev. (Bellarmine University Project), “A”, 5%, 5/01/2035 | | | 2,290,000 | 2,169,552 |
| | | | | $51,996,249 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Louisiana - 2.4% |
| Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (Cameron Parish GOMESA Project), 5.65%, 11/01/2037 (n) | | $ | 1,260,000 | $1,324,829 |
| Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (CDF Healthcare), “A”, 5.625%, 6/01/2045 | | | 10,650,000 | 8,806,361 |
| Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (Jefferson Parish GOMESA Project), 4%, 11/01/2044 (n) | | | 4,810,000 | 4,312,509 |
| Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (Lafourche Parish GOMESA Project), 3.95%, 11/01/2043 (n) | | | 3,718,658 | 3,289,897 |
| Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (Ragin' Cajun Facilities, Inc. - Student Housing & Parking Project), AGM, 5%, 10/01/2043 | | | 560,000 | 574,067 |
| Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (St. Bernard Parish GOMESA Project), 4%, 11/01/2045 (n) | | | 4,220,000 | 3,729,578 |
| Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (St. James Parish GOMESA Project), 3.9%, 11/01/2044 (n) | | | 4,400,000 | 3,833,355 |
| Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (St. Mary's Parish GOMESA Project), 4.4%, 11/01/2044 (n) | | | 3,295,000 | 3,128,852 |
| Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (St. Tammany Parish GOMESA Project), 3.875%, 11/01/2045 (n) | | | 5,500,000 | 4,701,058 |
| Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (Tangipahoa Parish GOMESA Project), 5.375%, 11/01/2038 (n) | | | 1,920,000 | 1,996,349 |
| Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (Terrebonne Parish GOMESA Project), 5.5%, 11/01/2039 (n) | | | 1,410,000 | 1,473,803 |
| Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (Vermilion Parish GOMESA Project), 4.625%, 11/01/2038 (n) | | | 1,525,000 | 1,535,850 |
| Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (Westside Habilitation Center Project), “A”, 5.75%, 2/01/2032 (n) | | | 900,000 | 855,928 |
| Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (Westside Habilitation Center Project), “A”, 6.125%, 2/01/2037 (n) | | | 3,480,000 | 3,286,580 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Louisiana - continued |
| Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (Westside Habilitation Center Project), “A”, 6.25%, 2/01/2047 (n) | | $ | 2,830,000 | $2,573,373 |
| Louisiana Local Government, Environmental Facilities & Community Development Authority Student Housing Rev. (Provident Group - ULM Properties LLC - University of Louisiana at Monroe Project), “A”, 5%, 7/01/2029 (n) | | | 635,000 | 608,003 |
| Louisiana Local Government, Environmental Facilities & Community Development Authority Student Housing Rev. (Provident Group - ULM Properties LLC - University of Louisiana at Monroe Project), “A”, 5%, 7/01/2039 (n) | | | 1,660,000 | 1,399,219 |
| Louisiana Local Government, Environmental Facilities & Community Development Authority Student Housing Rev. (Provident Group - ULM Properties LLC - University of Louisiana at Monroe Project), “A”, 5%, 7/01/2054 (n) | | | 2,635,000 | 2,001,070 |
| Louisiana Local Government, Environmental Facilities & Community Development Authority, Healthcare Refunding Rev. (St. James Place of Baton Rouge Project), “A”, 5.25%, 11/15/2025 | | | 890,000 | 880,886 |
| Louisiana Local Government, Environmental Facilities & Community Development Authority, Healthcare Refunding Rev. (St. James Place of Baton Rouge Project), “A”, 6%, 11/15/2035 | | | 1,145,000 | 1,124,417 |
| Louisiana Local Government, Environmental Facilities & Community Development Authority, Healthcare Refunding Rev. (St. James Place of Baton Rouge Project), “A”, 6.25%, 11/15/2045 | | | 5,405,000 | 5,154,872 |
| Louisiana Public Facilities Authority Rev. (BBR Schools - Materra Campus Project), “A”, 4%, 6/01/2031 (n) | | | 580,000 | 531,104 |
| Louisiana Public Facilities Authority Rev. (BBR Schools - Materra Campus Project), “A”, 4%, 6/01/2041 (n) | | | 1,330,000 | 1,053,483 |
| Louisiana Public Facilities Authority Rev. (BBR Schools - Materra Campus Project), “A”, 4%, 6/01/2051 (n) | | | 3,545,000 | 2,527,758 |
| Louisiana Public Facilities Authority Rev. (BBR Schools - Materra Campus Project), “A”, 4%, 6/01/2056 (n) | | | 2,200,000 | 1,519,749 |
| Louisiana Public Facilities Authority Rev. (BBR Schools - Materra Campus Project), “C”, 4%, 6/01/2031 (n) | | | 485,000 | 444,113 |
| Louisiana Public Facilities Authority Rev. (BBR Schools - Materra Campus Project), “C”, 4%, 6/01/2041 (n) | | | 880,000 | 697,041 |
| Louisiana Public Facilities Authority Rev. (BBR Schools - Materra Campus Project), “C”, 4%, 6/01/2056 (n) | | | 1,160,000 | 801,322 |
| Louisiana Public Facilities Authority Rev. (BBR Schools - Mid City Campus Project), “C”, 4%, 6/01/2051 (n) | | | 1,250,000 | 891,311 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Louisiana - continued |
| Louisiana Public Facilities Authority Rev. (GEO Academies EBR - GEO Prep Mid-City Project), 5.625%, 6/01/2037 (n) | | $ | 415,000 | $411,035 |
| Louisiana Public Facilities Authority Rev. (GEO Academies EBR - GEO Prep Mid-City Project), 6.125%, 6/01/2052 (n) | | | 1,030,000 | 1,018,893 |
| Louisiana Public Facilities Authority Rev. (GEO Academies EBR - GEO Prep Mid-City Project), 6.25%, 6/01/2062 (n) | | | 1,425,000 | 1,410,471 |
| Louisiana Public Facilities Authority Rev. (Jefferson Rise Charter School Project), “A”, 6%, 6/01/2037 (n) | | | 500,000 | 478,241 |
| Louisiana Public Facilities Authority Rev. (Jefferson Rise Charter School Project), “A”, 6.25%, 6/01/2052 (n) | | | 1,000,000 | 943,980 |
| Louisiana Public Facilities Authority Rev. (Jefferson Rise Charter School Project), “A”, 6.375%, 6/01/2062 (n) | | | 1,545,000 | 1,443,543 |
| Louisiana Public Facilities Authority Rev. (Loyola University Project), Convertible Capital Appreciation, 0% to 10/01/2023, 5.25% to 10/01/2046 | | | 8,470,000 | 8,404,649 |
| Louisiana Public Facilities Authority Rev. (Provident Group - HSC Properties, Inc., LSU Health Foundation, New Orleans Project), “A-1”, 5.375%, 1/01/2040 (n) | | | 4,365,000 | 4,210,314 |
| Louisiana Public Facilities Authority Rev. (Provident Group - HSC Properties, Inc., LSU Health Foundation, New Orleans Project), “A-1”, 5.5%, 1/01/2050 (n) | | | 2,995,000 | 2,793,864 |
| Louisiana Public Facilities Authority Rev. (Provident Group - HSC Properties, Inc., LSU Health Foundation, New Orleans Project), “A-1”, 5.1%, 1/01/2057 (n) | | | 10,045,000 | 8,606,242 |
| Louisiana Public Facilities Authority Rev. (Provident Group - HSC Properties, Inc., LSU Health Foundation, New Orleans Project), “A-2”, 7%, 1/01/2057 (n) | | | 10,000,000 | 9,377,810 |
| New Orleans, LA, Aviation Board Special Facility Rev. (Parking Facilities Corp. Consolidated Garage System), “A”, AGM, 5%, 10/01/2043 | | | 1,100,000 | 1,151,712 |
| | | | | $105,307,491 |
| Maine - 0.2% |
| Maine Finance Authority Solid Waste Disposal Rev. (Casella Waste Systems, Inc.), “R-2”, 4.375%, 8/01/2035 (Put Date 8/01/2025) (n) | | $ | 2,685,000 | $2,667,536 |
| Maine Finance Authority Solid Waste Disposal Rev. (Casella Waste Systems, Inc.), “R-3”, 5.25%, 1/01/2025 (n) | | | 6,170,000 | 6,205,573 |
| | | | | $8,873,109 |
| Maryland - 1.3% |
| Baltimore, MD, Convention Center Hotel Rev., 5%, 9/01/2025 | | $ | 1,550,000 | $1,534,937 |
| Baltimore, MD, Convention Center Hotel Rev., 5%, 9/01/2026 | | | 520,000 | 515,492 |
| Baltimore, MD, Convention Center Hotel Rev., 5%, 9/01/2034 | | | 3,595,000 | 3,610,905 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Maryland - continued |
| Baltimore, MD, Convention Center Hotel Rev., 5%, 9/01/2042 | | $ | 2,375,000 | $2,219,939 |
| Baltimore, MD, Convention Center Hotel Rev., 5%, 9/01/2046 | | | 1,480,000 | 1,351,468 |
| Baltimore, MD, Special Obligation (East Baltimore Research Park Project), “A”, 5%, 9/01/2038 | | | 2,680,000 | 2,686,287 |
| Brunswick, MD, Special Obligation Refunding (Brunswick Crossing Special Taxing District), 4%, 7/01/2029 | | | 500,000 | 489,160 |
| Brunswick, MD, Special Obligation Refunding (Brunswick Crossing Special Taxing District), 5%, 7/01/2036 | | | 550,000 | 556,491 |
| Frederick County, MD, Limited Obligation (Jefferson Technology Park Project), “B”, 4.625%, 7/01/2043 (n) | | | 1,020,000 | 985,804 |
| Howard County, MD, Retirement Community Rev. (Vantage House Facility), 5%, 4/01/2036 | | | 1,225,000 | 1,094,252 |
| Howard County, MD, Retirement Community Rev. (Vantage House Facility), 5%, 4/01/2036 | | | 3,930,000 | 3,510,537 |
| Howard County, MD, Special Obligation (Downtown Columbia Project), “A”, 4.125%, 2/15/2034 (n) | | | 850,000 | 809,738 |
| Howard County, MD, Special Obligation (Downtown Columbia Project), “A”, 4.375%, 2/15/2039 (n) | | | 745,000 | 702,851 |
| Howard County, MD, Special Obligation (Downtown Columbia Project), “A”, 4.5%, 2/15/2047 (n) | | | 2,190,000 | 1,988,742 |
| Maryland Community Development Administration, Department of Housing & Community Development Housing Rev., “A”, 4.5%, 9/01/2048 (u) | | | 4,465,000 | 4,476,852 |
| Maryland Community Development Administration, Department of Housing & Community Development Housing Rev., “B”, 4.5%, 9/01/2048 (u) | | | 3,635,000 | 3,618,975 |
| Maryland Economic Development Corp., Senior Student Housing Rev. (Morgan State University Project), “A”, 6%, 7/01/2058 | | | 2,250,000 | 2,486,782 |
| Maryland Economic Development Corp., Special Obligation (Port Covington Project), 3.25%, 9/01/2030 (n) | | | 265,000 | 248,472 |
| Maryland Economic Development Corp., Special Obligation (Port Covington Project), 4%, 9/01/2040 (n) | | | 920,000 | 822,937 |
| Maryland Economic Development Corp., Subordinate Parking Facilities Rev. (Baltimore City Project), “C”, 4%, 6/01/2038 | | | 175,000 | 147,816 |
| Maryland Economic Development Corp., Subordinate Parking Facilities Rev. (Baltimore City Project), “C”, 4%, 6/01/2048 | | | 525,000 | 395,803 |
| Maryland Economic Development Corp., Subordinate Parking Facilities Rev. (Baltimore City Project), “C”, 4%, 6/01/2058 | | | 1,800,000 | 1,280,440 |
| Maryland Health & Higher Educational Facilities Authority Rev. (Adventist Healthcare), 5%, 1/01/2036 | | | 810,000 | 841,679 |
| Maryland Health & Higher Educational Facilities Authority Rev. (Adventist Healthcare), “A”, 5.5%, 1/01/2036 | | | 2,290,000 | 2,375,755 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Maryland - continued |
| Maryland Health & Higher Educational Facilities Authority Rev. (Doctors Community Hospital), “A”, 5%, 7/01/2034 | | $ | 860,000 | $891,026 |
| Maryland Stadium Authority Rev., Baltimore City Public Schools Construction and Revitalization Program, Capital Appreciation, “C”, 0%, 5/01/2051 | | | 6,160,000 | 1,696,437 |
| Maryland Stadium Authority Rev., Baltimore City Public Schools Construction and Revitalization Program, Capital Appreciation, “C”, 0%, 5/01/2052 | | | 9,235,000 | 2,410,432 |
| Maryland Stadium Authority Rev., Baltimore City Public Schools Construction and Revitalization Program, Capital Appreciation, “C”, 0%, 5/01/2053 | | | 4,515,000 | 1,117,186 |
| Maryland Stadium Authority Rev., Baltimore City Public Schools Construction and Revitalization Program, Capital Appreciation, “C”, 0%, 5/01/2054 | | | 6,775,000 | 1,594,716 |
| Maryland Stadium Authority Rev., Baltimore City Public Schools Construction and Revitalization Program, Capital Appreciation, “C”, 0%, 5/01/2055 | | | 4,185,000 | 936,895 |
| Prince George's County, MD, Special Obligation (Westphalia Town Center Project), 5.125%, 7/01/2039 (n) | | | 790,000 | 781,077 |
| Prince George's County, MD, Special Obligation (Westphalia Town Center Project), 5.25%, 7/01/2048 (n) | | | 775,000 | 762,582 |
| Rockville, MD, Mayor & Council Economic Development Refunding Rev. (Ingleside at King Farm Project), “A-1”, 5%, 11/01/2037 | | | 890,000 | 802,316 |
| Rockville, MD, Mayor & Council Economic Development Rev. (Ingleside at King Farm Project), “B”, 5%, 11/01/2042 | | | 1,530,000 | 1,323,611 |
| Rockville, MD, Mayor & Council Economic Development Rev. (Ingleside at King Farm Project), “B”, 5%, 11/01/2047 | | | 1,605,000 | 1,345,513 |
| Westminster, MD, Refunding Rev. (Carroll Lutheran Village, Inc.), 5.125%, 7/01/2040 | | | 2,600,000 | 2,638,232 |
| | | | | $55,052,137 |
| Massachusetts - 2.2% |
| Collegiate Charter School of Lowell, MA, Rev., 4%, 6/15/2024 | | $ | 100,000 | $99,339 |
| Collegiate Charter School of Lowell, MA, Rev., 5%, 6/15/2029 | | | 905,000 | 912,642 |
| Collegiate Charter School of Lowell, MA, Rev., 5%, 6/15/2049 | | | 750,000 | 701,462 |
| Collegiate Charter School of Lowell, MA, Rev., 5%, 6/15/2054 | | | 580,000 | 534,694 |
| Massachusetts Development Finance Agency Rev. (Adventcare), “A”, 6.75%, 10/15/2037 (a)(d) | | | 7,684,178 | 76,842 |
| Massachusetts Development Finance Agency Rev. (Boston Medical Center), “G”, 4.375%, 7/01/2052 | | | 2,815,000 | 2,693,595 |
| Massachusetts Development Finance Agency Rev. (Emerson College), 5%, 1/01/2031 | | | 835,000 | 849,750 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Massachusetts - continued |
| Massachusetts Development Finance Agency Rev. (Emmanuel College), “A”, 5%, 10/01/2043 | | $ | 2,930,000 | $2,892,203 |
| Massachusetts Development Finance Agency Rev. (Emmanuel College), “A”, 4%, 10/01/2046 | | | 870,000 | 724,195 |
| Massachusetts Development Finance Agency Rev. (Foxborough Regional Charter School), “B”, 5%, 7/01/2037 | | | 1,000,000 | 1,003,459 |
| Massachusetts Development Finance Agency Rev. (Foxborough Regional Charter School), “B”, 5%, 7/01/2042 | | | 3,000,000 | 2,924,983 |
| Massachusetts Development Finance Agency Rev. (Lasell University), 4%, 7/01/2040 | | | 1,075,000 | 922,290 |
| Massachusetts Development Finance Agency Rev. (Lasell University), 4%, 7/01/2045 | | | 495,000 | 401,636 |
| Massachusetts Development Finance Agency Rev. (Lowell General Hospital), “G”, 5%, 7/01/2037 | | | 2,085,000 | 2,068,293 |
| Massachusetts Development Finance Agency Rev. (Newbridge on the Charles, Inc.), 5%, 10/01/2037 (n) | | | 400,000 | 382,745 |
| Massachusetts Development Finance Agency Rev. (Newbridge on the Charles, Inc.), 5%, 10/01/2047 (n) | | | 3,140,000 | 2,819,192 |
| Massachusetts Development Finance Agency Rev. (Newbridge on the Charles, Inc.), 5%, 10/01/2057 (n) | | | 7,070,000 | 6,157,448 |
| Massachusetts Development Finance Agency Rev. (North Hill Communities), “A”, 6.25%, 11/15/2033 (Prerefunded 11/15/2023) (n) | | | 1,350,000 | 1,360,018 |
| Massachusetts Development Finance Agency Rev. (Sabis International Charter School Issue), 5%, 4/15/2025 | | | 160,000 | 160,100 |
| Massachusetts Development Finance Agency Rev. (Salem Community Corp.), 5.125%, 1/01/2040 (n) | | | 515,000 | 469,834 |
| Massachusetts Development Finance Agency Rev. (Salem Community Corp.), 5.25%, 1/01/2050 (n) | | | 1,355,000 | 1,168,310 |
| Massachusetts Development Finance Agency Rev. (Simmons College), “K-1”, 5%, 10/01/2025 | | | 800,000 | 808,857 |
| Massachusetts Development Finance Agency Rev. (Simmons University), “N”, 5.25%, 10/01/2037 (w) | | | 545,000 | 564,337 |
| Massachusetts Development Finance Agency Rev. (Simmons University), “N”, 5.25%, 10/01/2038 (w) | | | 550,000 | 566,771 |
| Massachusetts Development Finance Agency Rev. (Simmons University), “N”, 5.25%, 10/01/2039 (w) | | | 580,000 | 597,156 |
| Massachusetts Development Finance Agency Rev. (Simmons University), “N”, 5%, 10/01/2043 (w) | | | 1,750,000 | 1,736,134 |
| Massachusetts Development Finance Agency Rev. (Springfield College), “B”, 4%, 6/01/2041 | | | 2,750,000 | 2,409,505 |
| Massachusetts Development Finance Agency Rev. (Springfield College), “B”, 4%, 6/01/2050 | | | 2,700,000 | 2,195,615 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Massachusetts - continued |
| Massachusetts Development Finance Agency Rev. (Suffolk University), 5%, 7/01/2033 | | $ | 480,000 | $500,853 |
| Massachusetts Development Finance Agency Rev. (Suffolk University), 5%, 7/01/2034 | | | 645,000 | 670,165 |
| Massachusetts Development Finance Agency Rev. (Wellforce, Inc.), “A”, 5%, 7/01/2039 | | | 1,435,000 | 1,429,248 |
| Massachusetts Development Finance Agency Rev. (Wellforce, Inc.), “A”, 5%, 7/01/2044 | | | 1,520,000 | 1,492,893 |
| Massachusetts Development Finance Agency Rev. (Wentworth Institute of Technology), 5%, 10/01/2046 | | | 985,000 | 965,135 |
| Massachusetts Development Finance Agency Rev. (Western New England University), 5%, 9/01/2028 | | | 960,000 | 967,968 |
| Massachusetts Educational Financing Authority, Education Loan Rev., “B”, 3%, 7/01/2035 | | | 270,000 | 268,560 |
| Massachusetts Educational Financing Authority, Education Loan Rev., “B”, 2%, 7/01/2037 | | | 485,000 | 409,402 |
| Massachusetts Educational Financing Authority, Education Loan Rev., “C”, 2.625%, 7/01/2036 | | | 90,000 | 86,674 |
| Massachusetts Educational Financing Authority, Education Loan Rev., “C”, 4.125%, 7/01/2046 | | | 9,285,000 | 8,115,434 |
| Massachusetts Educational Financing Authority, Education Loan Rev., “C”, 3.75%, 7/01/2047 | | | 10,430,000 | 8,719,156 |
| Massachusetts Educational Financing Authority, Education Loan Rev., “J”, 4.7%, 7/01/2026 | | | 415,000 | 415,069 |
| Massachusetts Educational Financing Authority, Education Loan Rev., “J”, 4.9%, 7/01/2028 | | | 430,000 | 430,086 |
| Massachusetts Educational Financing Authority, Education Loan Rev., “J”, 3.5%, 7/01/2033 | | | 10,920,000 | 10,628,188 |
| Massachusetts Educational Financing Authority, Education Loan Rev., Issue L, “C”, 5%, 7/01/2053 | | | 4,500,000 | 4,430,850 |
| Massachusetts Educational Financing Authority, Education Loan Subordinate Rev., “C”, 3%, 7/01/2051 | | | 3,215,000 | 2,207,622 |
| Massachusetts Educational Financing Authority, Education Loan Subordinate Rev., “C”, 4.125%, 7/01/2052 | | | 10,360,000 | 8,612,361 |
| Massachusetts Housing Finance Agency, Single Family Housing Rev., “177”, 4%, 6/01/2039 | | | 150,000 | 148,938 |
| Tisbury, MA, General Obligation, Municipal Purpose Loan, Unlimited Tax, 3%, 8/15/2047 | | | 5,905,000 | 4,731,651 |
| Tisbury, MA, General Obligation, Municipal Purpose Loan, Unlimited Tax, 3%, 8/15/2052 | | | 3,715,000 | 2,857,524 |
| | | | | $96,289,182 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Michigan - 0.5% |
| Detroit, MI, General Obligation, 5.5%, 4/01/2045 | | $ | 1,250,000 | $1,300,612 |
| Detroit, MI, General Obligation, 5.5%, 4/01/2050 | | | 1,850,000 | 1,911,884 |
| Detroit, MI, Unlimited Tax General Obligation, “C”, 6%, 5/01/2043 | | | 1,500,000 | 1,673,004 |
| Downriver, MI, Utility Wastewater Authority, Sewer System Rev., AGM, 5%, 4/01/2038 | | | 665,000 | 700,662 |
| Grand Rapids, MI, Economic Development Corp. Rev. (Beacon Hill at Eastgate Project), “A”, 5%, 11/01/2037 | | | 1,155,000 | 1,000,333 |
| Grand Rapids, MI, Economic Development Corp. Rev. (Beacon Hill at Eastgate Project), “A”, 5%, 11/01/2047 | | | 2,660,000 | 2,081,642 |
| Grand Rapids, MI, Economic Development Corp. Rev. (Beacon Hill at Eastgate Project), “A”, 5%, 11/01/2052 | | | 1,185,000 | 903,442 |
| Michigan Building Authority Rev. (Facilities Program), 4%, 10/15/2052 | | | 1,685,000 | 1,633,991 |
| Michigan Finance Authority (Detroit Financial Recovery Income Tax Rev.), “F”, 3.875%, 10/01/2023 | | | 635,000 | 634,437 |
| Michigan Finance Authority (Detroit Financial Recovery Income Tax Rev.), “F”, 4%, 10/01/2024 | | | 800,000 | 795,028 |
| Michigan Finance Authority Hospital Rev. (Beaumont Health Credit Group), “A”, 5%, 8/01/2033 (Prerefunded 8/01/2024) | | | 20,000 | 20,299 |
| Michigan Finance Authority Local Government Loan Program Rev. (Detroit Water and Sewerage Department Sewage Disposal System Rev. Refunding Second Lien Local Project), “C”, 5%, 7/01/2033 | | | 875,000 | 895,106 |
| Michigan Finance Authority Local Government Loan Program Rev. (Detroit Water and Sewerage Department Water Supply System Rev. Refunding Local Project), “D-2”, 5%, 7/01/2034 | | | 885,000 | 905,171 |
| Michigan Finance Authority Tobacco Settlement Asset-Backed Rev. (2007 Sold Tobacco Receipts), “B-1”, 5%, 6/01/2049 | | | 740,000 | 758,659 |
| Michigan Strategic Fund Ltd. (Canterbury Health Care, Inc.), 5%, 7/01/2046 (n) | | | 1,000,000 | 602,812 |
| Michigan Strategic Fund Ltd. (Canterbury Health Care, Inc.), 5%, 7/01/2051 (n) | | | 900,000 | 520,696 |
| Waterford Township, MI, Economic Development Corp. (Canterbury Health Care, Inc.), “A”, 5%, 7/01/2046 (n) | | | 2,070,000 | 1,247,821 |
| Waterford Township, MI, Economic Development Corp. (Canterbury Health Care, Inc.), “A”, 5%, 7/01/2051 (n) | | | 2,070,000 | 1,197,600 |
| Wayne County, MI, Airport Authority Rev. (Detroit Metropolitan Wayne County Airport), “B”, BAM, 5%, 12/01/2039 | | | 750,000 | 759,617 |
| Wayne County, MI, Airport Authority Rev. (Detroit Metropolitan Wayne County Airport), “C”, 5%, 12/01/2039 | | | 575,000 | 576,453 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Michigan - continued |
| Wayne County, MI, Airport Authority Rev. (Detroit Metropolitan Wayne County Airport), “C”, 5%, 12/01/2044 | | $ | 1,240,000 | $1,239,918 |
| | | | | $21,359,187 |
| Minnesota - 0.6% |
| Deephaven, MN, Charter School Lease Rev. (Eagle Ridge Academy Project), “A”, 5.25%, 7/01/2040 | | $ | 500,000 | $495,806 |
| Deephaven, MN, Charter School Lease Rev. (Eagle Ridge Academy Project), “A”, 5.5%, 7/01/2050 | | | 3,000,000 | 2,991,481 |
| Duluth, MN, Economic Development Authority Rev. (Benedictine Health System), “A”, 4%, 7/01/2031 | | | 1,370,000 | 1,251,054 |
| Duluth, MN, Economic Development Authority Rev. (Benedictine Health System), “A”, 4%, 7/01/2036 | | | 3,335,000 | 2,789,116 |
| Duluth, MN, Economic Development Authority Rev. (Benedictine Health System), “A”, 4%, 7/01/2041 | | | 2,755,000 | 2,149,923 |
| Duluth, MN, Economic Development Authority, Health Care Facilities Rev. (Essentia Health), “A”, 4.25%, 2/15/2043 | | | 2,500,000 | 2,412,163 |
| Duluth, MN, Economic Development Authority, Health Care Facilities Rev. (Essentia Health), “A”, 4.25%, 2/15/2048 | | | 2,895,000 | 2,731,508 |
| Duluth, MN, Independent School District No. 709, “A”, 4%, 3/01/2032 | | | 1,570,000 | 1,509,173 |
| Duluth, MN, Independent School District No. 709, “A”, 4.2%, 3/01/2034 | | | 420,000 | 404,332 |
| Minnesota Higher Educational Facilities Authority Rev. (St. Catherine University), 5%, 10/01/2052 | | | 3,000,000 | 3,007,519 |
| Minnesota Housing Finance Agency, Residential Housing, “A”, 4%, 1/01/2041 | | | 150,000 | 149,129 |
| Minnesota Office of Higher Education Supplemental Student Loan Program Rev., 4%, 11/01/2037 | | | 1,655,000 | 1,625,251 |
| Minnesota Office of Higher Education Supplemental Student Loan Program Rev., 2.65%, 11/01/2038 | | | 2,840,000 | 2,566,372 |
| St. Paul, MN, Housing & Redevelopment Authority Charter School Lease Rev. (Great River School Project), “A”, 4.75%, 7/01/2029 (n) | | | 150,000 | 147,943 |
| St. Paul, MN, Housing & Redevelopment Authority Charter School Lease Rev. (Great River School Project), “A”, 5.25%, 7/01/2033 (n) | | | 420,000 | 424,266 |
| St. Paul, MN, Housing & Redevelopment Authority Charter School Lease Rev. (Great River School Project), “A”, 5.5%, 7/01/2052 (n) | | | 705,000 | 682,188 |
| Woodbury, MN Charter School Lease Rev. (Woodbury Leadership Academy Project), “A”, 4%, 7/01/2031 | | | 690,000 | 630,510 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Minnesota - continued |
| Woodbury, MN Charter School Lease Rev. (Woodbury Leadership Academy Project), “A”, 4%, 7/01/2041 | | $ | 1,150,000 | $912,467 |
| Woodbury, MN Charter School Lease Rev. (Woodbury Leadership Academy Project), “A”, 4%, 7/01/2051 | | | 660,000 | 476,600 |
| Woodbury, MN Charter School Lease Rev. (Woodbury Leadership Academy Project), “A”, 4%, 7/01/2056 | | | 575,000 | 400,113 |
| | | | | $27,756,914 |
| Mississippi - 0.3% |
| Mississippi Development Bank Special Obligation (Hancock County GOMESA Project), 4.55%, 11/01/2039 (n) | | $ | 3,700,000 | $3,670,391 |
| Mississippi Development Bank Special Obligation (Jackson County GOMESA Project), 3.625%, 11/01/2036 (n) | | | 2,165,000 | 1,953,220 |
| Mississippi Home Corp., Single Family Mortgage Rev., “A”, 4%, 12/01/2044 | | | 1,430,000 | 1,418,460 |
| Mississippi Hospital Equipment & Facilities Authority Rev. (Baptist Memorial Healthcare), “A”, 5%, 9/01/2046 | | | 2,635,000 | 2,642,376 |
| Mississippi Hospital Equipment & Facilities Authority Rev. (Forrest County General Hospital Refunding Project), “A”, 4%, 1/01/2036 | | | 1,155,000 | 1,159,032 |
| Mississippi Hospital Equipment & Facilities Authority Rev. (Forrest County General Hospital Refunding Project), “A”, 4%, 1/01/2037 | | | 1,040,000 | 1,028,827 |
| Mississippi Hospital Equipment & Facilities Authority Rev. (Forrest County General Hospital Refunding Project), “A”, 4%, 1/01/2039 | | | 1,040,000 | 998,660 |
| Mississippi Hospital Equipment & Facilities Authority Rev. (Forrest County General Hospital Refunding Project), “A”, 4%, 1/01/2040 | | | 575,000 | 545,446 |
| | | | | $13,416,412 |
| Missouri - 1.1% |
| Cape Girardeau County, MO, Industrial Development Authority, Health Facilities Rev. (SoutheastHealth), 4%, 3/01/2041 | | $ | 460,000 | $393,479 |
| Cape Girardeau County, MO, Industrial Development Authority, Health Facilities Rev. (SoutheastHealth), 4%, 3/01/2046 | | | 520,000 | 425,587 |
| Dardenne, MO, Town Square Transportation Development District, “A”, 5%, 5/01/2026 (d)(q) | | | 2,495,000 | 1,197,600 |
| Kansas City, MO, Land Clearance for Redevelopment Authority Rev. (Convention Center Hotel Project - TIF Financing), “B”, 5%, 2/01/2040 (n) | | | 2,140,000 | 1,698,436 |
| Kansas City, MO, Land Clearance for Redevelopment Authority Rev. (Convention Center Hotel Project - TIF Financing), “B”, 5%, 2/01/2050 (n) | | | 4,845,000 | 3,537,955 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Missouri - continued |
| Missouri Development Finance Board, Infrastructure Facilities Rev. (Crackerneck Creek Project), 4%, 3/01/2036 | | $ | 1,300,000 | $1,246,377 |
| Missouri Development Finance Board, Infrastructure Facilities Rev. (Crackerneck Creek Project), 4%, 3/01/2037 | | | 415,000 | 388,582 |
| Missouri Development Finance Board, Infrastructure Facilities Rev. (Crackerneck Creek Project), 4%, 3/01/2041 | | | 520,000 | 466,272 |
| Missouri Development Finance Board, Infrastructure Facilities Rev. (Crackerneck Creek Project), 4%, 3/01/2051 | | | 1,480,000 | 1,247,681 |
| Missouri Health & Educational Facilities Authority Rev. (A.T. Still University Health Services), 5%, 10/01/2039 (Prerefunded 10/01/2023) | | | 465,000 | 466,190 |
| Missouri Health & Educational Facilities Authority Rev. (Bethesda Health Group, Inc.), 5%, 8/01/2040 | | | 1,650,000 | 1,568,381 |
| Missouri Health & Educational Facilities Authority Rev. (Bethesda Health Group, Inc.), 5%, 8/01/2045 | | | 2,300,000 | 2,102,270 |
| Missouri Health & Educational Facilities Authority Rev. (Capital Regional Medical Center), 5%, 11/01/2035 | | | 1,700,000 | 1,600,954 |
| Missouri Health & Educational Facilities Authority Rev. (Capital Regional Medical Center), 5%, 11/01/2040 | | | 2,000,000 | 1,759,677 |
| Missouri Housing Development Commission, Single Family Mortgage Rev. (First Place Homeownership Loan Program), “A”, 3.75%, 5/01/2038 | | | 235,000 | 232,958 |
| Missouri Housing Development Commission, Single Family Mortgage Rev. (First Place Homeownership Loan Program), “B”, FNMA, 4.75%, 5/01/2049 | | | 2,345,000 | 2,364,432 |
| Plaza at Noah's Ark Community District, MO, Tax Increment and Improvement Rev., 3%, 5/01/2030 | | | 345,000 | 311,911 |
| Plaza at Noah's Ark Community District, MO, Tax Increment and Improvement Rev., 3.125%, 5/01/2035 | | | 240,000 | 200,006 |
| Poplar Bluff, MO, Transportation Development District Convertible Transporation Sales Tax Refunding & Improvement Rev., “B”, 4%, 12/01/2037 | | | 1,090,000 | 1,063,663 |
| St. Louis County, MO, Industrial Development Authority Health Facilities Rev. (Nazareth Living Center), “A”, 5%, 8/15/2030 | | | 695,000 | 662,461 |
| St. Louis County, MO, Industrial Development Authority Health Facilities Rev. (Nazareth Living Center), “A”, 5%, 8/15/2035 | | | 490,000 | 446,058 |
| St. Louis County, MO, Industrial Development Authority Health Facilities Rev. (Nazareth Living Center), “A”, 5.125%, 8/15/2045 | | | 1,355,000 | 1,143,066 |
| St. Louis County, MO, Industrial Development Authority Health Facilities Rev. (Ranken-Jordan Project), 5%, 11/15/2030 | | | 1,015,000 | 1,007,927 |
| St. Louis County, MO, Industrial Development Authority Health Facilities Rev. (Ranken-Jordan Project), 4%, 11/15/2036 | | | 1,165,000 | 1,047,759 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Missouri - continued |
| St. Louis County, MO, Industrial Development Authority Rev. (Friendship Village St. Louis Obligated Group), “A”, 5.25%, 9/01/2053 | | $ | 11,920,000 | $10,155,347 |
| St. Louis County, MO, Industrial Development Authority Rev. (St. Andrew's Resources for Seniors Obligated Group), “A”, 5.125%, 12/01/2045 | | | 3,620,000 | 3,269,830 |
| St. Louis, MO, Industrial Development Authority Financing Rev. (Ballpark Village Development Project), “A”, 3.875%, 11/15/2029 | | | 1,025,000 | 889,458 |
| St. Louis, MO, Industrial Development Authority Financing Rev. (Ballpark Village Development Project), “A”, 4.375%, 11/15/2035 | | | 2,110,000 | 1,687,180 |
| St. Louis, MO, Industrial Development Authority Financing Rev. (Ballpark Village Development Project), “A”, 4.75%, 11/15/2047 | | | 4,220,000 | 3,107,691 |
| St. Louis, MO, Land Clearance Redevelopment Authority Rev. (Kiel Opera House Renovation Project), 3.875%, 10/01/2035 | | | 2,280,000 | 1,867,985 |
| | | | | $47,557,173 |
| Montana - 0.2% |
| Montana Finance Authority, Health Care Facilities Rev. (Kalispell Regional Medical Center), “B”, 5%, 7/01/2043 | | $ | 3,840,000 | $3,872,665 |
| Montana Finance Authority, Health Care Facilities Rev. (Kalispell Regional Medical Center), “B”, 5%, 7/01/2048 | | | 5,530,000 | 5,542,236 |
| | | | | $9,414,901 |
| Nebraska - 0.1% |
| Central Plains Energy Project, NE, Gas Project Rev. (Project No. 3), “A”, 5%, 9/01/2034 | | $ | 1,200,000 | $1,297,809 |
| Central Plains Energy Project, NE, Gas Project Rev. (Project No. 3), “A”, 5%, 9/01/2036 | | | 1,940,000 | 2,050,655 |
| Nebraska Investment Finance Authority, Single Family Housing Rev., “A”, 4%, 9/01/2044 | | | 260,000 | 258,987 |
| Nebraska Investment Finance Authority, Single Family Housing Rev., “C”, FHLMC, 4%, 9/01/2048 | | | 2,560,000 | 2,539,342 |
| | | | | $6,146,793 |
| Nevada - 0.3% |
| Director of the State of Nevada, Department of Business and Industry, Charter School Lease Rev. (Somerset Academy), “A”, 4.5%, 12/15/2029 (n) | | $ | 525,000 | $508,855 |
| Director of the State of Nevada, Department of Business and Industry, Charter School Lease Rev. (Somerset Academy), “A”, 5%, 12/15/2035 (n) | | | 1,715,000 | 1,682,356 |
| Director of the State of Nevada, Department of Business and Industry, Charter School Lease Rev. (Somerset Academy), “A”, 5%, 12/15/2038 (n) | | | 1,825,000 | 1,736,488 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Nevada - continued |
| Director of the State of Nevada, Department of Business and Industry, Charter School Lease Rev. (Somerset Academy), “A”, 5.125%, 12/15/2045 (n) | | $ | 2,205,000 | $2,024,820 |
| Director of the State of Nevada, Department of Business and Industry, Charter School Lease Rev. (Somerset Academy), “A”, 5%, 12/15/2048 (n) | | | 4,760,000 | 4,226,923 |
| Nevada Department of Business & Industry Charter School Rev. (Doral Academy of Nevada), “A”, 5%, 7/15/2037 (n) | | | 1,000,000 | 992,459 |
| Nevada Department of Business & Industry Charter School Rev. (Doral Academy of Nevada), “A”, 5%, 7/15/2047 (n) | | | 2,015,000 | 1,875,471 |
| Reno, NV, Sales Tax Rev. (Retrac-Reno Transportation Rail Access Corridor Project), “B”, AGM, 5%, 6/01/2038 | | | 110,000 | 116,390 |
| Reno, NV, Sales Tax Rev. (Retrac-Reno Transportation Rail Access Corridor Project), “B”, AGM, 4%, 6/01/2048 | | | 435,000 | 407,358 |
| Reno, NV, Sales Tax Rev. (Retrac-Reno Transportation Rail Access Corridor Project), “B”, AGM, 4.125%, 6/01/2058 | | | 545,000 | 508,252 |
| | | | | $14,079,372 |
| New Hampshire - 1.3% |
| National Finance Authority, New Hampshire Municipal Certificates, “A-2”, 4%, 10/20/2036 | | $ | 7,748,685 | $7,400,815 |
| National Finance Authority, New Hampshire Municipal Certificates, “X-2”, 0.674%, 10/20/2036 (i) | | | 34,320,000 | 1,708,611 |
| National Finance Authority, New Hampshire Resource Recovery Refunding Rev. (Covanta Project), “C”, 4.875%, 11/01/2042 (n) | | | 7,730,000 | 6,898,464 |
| National Finance Authority, New Hampshire Resource Recovery Refunding Rev., “B”, 3.75%, 7/01/2045 (Put Date 7/02/2040) (n) | | | 3,090,000 | 2,410,089 |
| National Finance Authority, New Hampshire Senior Living Rev. (Springpoint Senior Living Project), 4%, 1/01/2041 | | | 1,210,000 | 1,001,099 |
| National Finance Authority, NV, Lease Rev. (NCCD - UNR Properties LLC - University of Nevada, Reno Project), “A”, BAM, 5.25%, 6/01/2051 | | | 2,290,000 | 2,460,518 |
| National Finance Authority, NV, Lease Rev. (NCCD - UNR Properties LLC - University of Nevada, Reno Project), “A”, BAM, 4.5%, 6/01/2053 | | | 1,020,000 | 998,548 |
| New Hampshire Health & Education Facilities Authority Rev., 4%, 7/01/2037 | | | 12,080,000 | 10,991,487 |
| New Hampshire National Finance Authority Municipal Certificates, “1-A”, 4.375%, 9/20/2036 | | | 11,806,598 | 11,663,357 |
| New Hampshire National Finance Authority Municipal Certificates, “1-X”, 0.334%, 9/20/2036 (i) | | | 74,424,160 | 1,709,709 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| New Hampshire - continued |
| New Hampshire National Finance Authority Municipal Certificates, “2-X”, 0.813%, 1/20/2038 (i) | | $ | 124,250,707 | $7,154,356 |
| | | | | $54,397,053 |
| New Jersey - 3.2% |
| Atlantic City, NJ, Improvement Authority Lease Rev. (Stockton University Campus Phase II Project), “A”, AGM, 5%, 7/01/2035 | | $ | 170,000 | $188,998 |
| Atlantic City, NJ, Improvement Authority Lease Rev. (Stockton University Campus Phase II Project), “A”, AGM, 4%, 7/01/2038 | | | 275,000 | 277,125 |
| Atlantic City, NJ, Improvement Authority Lease Rev. (Stockton University Campus Phase II Project), “A”, AGM, 4%, 7/01/2039 | | | 235,000 | 236,477 |
| Atlantic City, NJ, Improvement Authority Lease Rev. (Stockton University Campus Phase II Project), “A”, AGM, 4%, 7/01/2040 | | | 340,000 | 341,041 |
| Atlantic City, NJ, Tax Appeal Refunding Bonds (Qualified Pursuant to the Provisions of the Municipal Qualified Bond Act), “A”, BAM, 5%, 3/01/2042 | | | 490,000 | 506,856 |
| Bayonne, NJ, Redevelopment Agency (Royal Caribbean Project), “A”, 5.375%, 11/01/2035 | | | 1,955,000 | 1,671,877 |
| Camden County, NJ, Improvement Authority School Rev. (KIPP Cooper Norcross Academy), 6%, 6/15/2042 | | | 245,000 | 262,596 |
| Camden County, NJ, Improvement Authority School Rev. (KIPP Cooper Norcross Academy), 6%, 6/15/2047 | | | 665,000 | 706,596 |
| Camden County, NJ, Improvement Authority School Rev. (KIPP Cooper Norcross Academy), 6%, 6/15/2052 | | | 600,000 | 634,013 |
| Camden County, NJ, Improvement Authority School Rev. (KIPP Cooper Norcross Academy), 6%, 6/15/2062 | | | 2,000,000 | 2,101,714 |
| New Jersey Economic Development Authority (Motor Vehicle Surcharges Subordinate Refunding Rev.), “A”, 3.125%, 7/01/2029 | | | 705,000 | 672,099 |
| New Jersey Economic Development Authority Refunding Rev. (School Facilities Construction), “SSS”, 5.25%, 6/15/2036 (w) | | | 535,000 | 589,696 |
| New Jersey Economic Development Authority Refunding Rev. (School Facilities Construction), “SSS”, 5.25%, 6/15/2037 (w) | | | 535,000 | 583,501 |
| New Jersey Economic Development Authority Refunding Rev. (School Facilities Construction), “SSS”, 5.25%, 6/15/2038 (w) | | | 705,000 | 763,438 |
| New Jersey Economic Development Authority Refunding Rev. (School Facilities Construction), “SSS”, 5.25%, 6/15/2039 (w) | | | 640,000 | 689,695 |
| New Jersey Economic Development Authority Rev. (Goethals Bridge Replacement Project), 5.5%, 1/01/2027 | | | 325,000 | 327,107 |
| New Jersey Economic Development Authority Rev. (Goethals Bridge Replacement Project), 5%, 1/01/2028 | | | 325,000 | 326,501 |
| New Jersey Economic Development Authority Rev. (Goethals Bridge Replacement Project), AGM, 5%, 1/01/2031 | | | 975,000 | 980,195 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| New Jersey - continued |
| New Jersey Economic Development Authority Rev. (Goethals Bridge Replacement Project), AGM, 5.125%, 7/01/2042 | | $ | 530,000 | $531,304 |
| New Jersey Economic Development Authority Rev. (Kapkowski Road Landfill Reclamation Project), 6.5%, 4/01/2028 | | | 3,344,938 | 3,328,664 |
| New Jersey Economic Development Authority Rev. (Kapkowski Road Landfill Reclamation Project), 6.5%, 4/01/2031 | | | 7,370,000 | 7,432,979 |
| New Jersey Economic Development Authority Rev. (Provident Group - Rowan Properties LLC - Rowan University Student Housing Project), “A”, 5%, 1/01/2030 | | | 3,485,000 | 3,434,187 |
| New Jersey Economic Development Authority Rev. (Provident Group - Rowan Properties LLC - Rowan University Student Housing Project), “A”, 5%, 1/01/2035 | | | 1,510,000 | 1,465,217 |
| New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 5.125%, 9/15/2023 | | | 2,155,000 | 2,155,447 |
| New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 5.25%, 9/15/2029 | | | 3,370,000 | 3,376,369 |
| New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), “A”, 5.625%, 11/15/2030 | | | 6,850,000 | 6,948,038 |
| New Jersey Economic Development Authority, State Lease Rev. (Juvenile Justice Commission Facilities Project), “C”, 5%, 6/15/2042 | | | 3,685,000 | 3,800,042 |
| New Jersey Health Care Facilities, Financing Authority, State Contract Refunding Bonds (Hospital Asset Transformation Program), 5%, 10/01/2034 | | | 1,455,000 | 1,554,684 |
| New Jersey Health Care Facilities, Financing Authority, State Contract Refunding Bonds (Hospital Asset Transformation Program), 5%, 10/01/2035 | | | 1,285,000 | 1,360,861 |
| New Jersey Health Care Facilities, Financing Authority, State Contract Refunding Bonds (Hospital Asset Transformation Program), 5%, 10/01/2036 | | | 1,490,000 | 1,568,829 |
| New Jersey Higher Education Student Assistance Authority, Senior Student Loan Rev., “B”, 3.25%, 12/01/2039 | | | 4,890,000 | 4,635,839 |
| New Jersey Higher Education Student Assistance Authority, Senior Student Loan Rev., “B”, 4%, 12/01/2041 | | | 14,385,000 | 14,218,102 |
| New Jersey Higher Education Student Assistance Authority, Senior Student Loan Rev., ”B“, 2.5%, 12/01/2040 | | | 2,330,000 | 1,951,644 |
| New Jersey Higher Education Student Assistance Authority, Senior Student Loan Rev., ”C“, 3.25%, 12/01/2051 | | | 960,000 | 689,434 |
| New Jersey Higher Education Student Assistance Authority, Student Loan Refunding Rev., “B”, 4%, 12/01/2044 | | | 12,080,000 | 11,756,080 |
| New Jersey Higher Education Student Assistance Authority, Student Loan Refunding Rev., “C”, 5%, 12/01/2053 | | | 1,380,000 | 1,339,977 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| New Jersey - continued |
| New Jersey Transportation Trust Fund Authority, “A”, 5%, 12/15/2039 | | $ | 625,000 | $663,543 |
| New Jersey Transportation Trust Fund Authority, “AA”, 5%, 6/15/2037 | | | 6,515,000 | 7,137,203 |
| New Jersey Transportation Trust Fund Authority, “AA”, 4%, 6/15/2038 | | | 1,580,000 | 1,577,266 |
| New Jersey Transportation Trust Fund Authority, “AA”, 5%, 6/15/2038 | | | 1,690,000 | 1,817,500 |
| New Jersey Transportation Trust Fund Authority, “AA”, 4%, 6/15/2040 | | | 1,755,000 | 1,728,631 |
| New Jersey Transportation Trust Fund Authority, “AA”, 5%, 6/15/2040 | | | 1,185,000 | 1,265,848 |
| New Jersey Transportation Trust Fund Authority, “AA”, 4%, 6/15/2045 | | | 3,070,000 | 2,981,730 |
| New Jersey Transportation Trust Fund Authority, “CC”, 5.5%, 6/15/2050 | | | 2,520,000 | 2,780,877 |
| New Jersey Transportation Trust Fund Authority, Capital Appreciation, “A”, 0%, 12/15/2037 | | | 50,000,000 | 27,287,955 |
| New Jersey Transportation Trust Fund Authority, Capital Appreciation, “C”, AAC, 0%, 12/15/2035 | | | 4,750,000 | 2,923,972 |
| New Jersey Transportation Trust Fund Authority, Capital Appreciation, “C”, AAC, 0%, 12/15/2036 | | | 12,405,000 | 7,192,264 |
| Newark, NJ, Board of Education, Energy Savings Obligation Refunding, 4%, 7/15/2034 | | | 413,000 | 427,360 |
| | | | | $141,191,371 |
| New Mexico - 0.1% |
| Los Ranchos de Albuquerque, NM, Education Facilities Rev. (Albuquerque Academy Project), 4%, 9/01/2040 | | $ | 575,000 | $550,901 |
| New Mexico Mortgage Finance Authority, Single Family Mortgage Program, “A-1”, FNMA, 4%, 1/01/2049 | | | 810,000 | 803,469 |
| Santa Fe, NM, Retirement Facility Rev. (El Castillo Retirement Residences Project), “A”, 5%, 5/15/2034 | | | 355,000 | 335,698 |
| Santa Fe, NM, Retirement Facility Rev. (El Castillo Retirement Residences Project), “A”, 5%, 5/15/2039 | | | 275,000 | 244,080 |
| Santa Fe, NM, Retirement Facility Rev. (El Castillo Retirement Residences Project), “A”, 5%, 5/15/2044 | | | 285,000 | 242,656 |
| Santa Fe, NM, Retirement Facility Rev. (El Castillo Retirement Residences Project), “A”, 5%, 5/15/2049 | | | 735,000 | 601,055 |
| | | | | $2,777,859 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| New York - 5.9% |
| Buffalo & Erie County, NY, Industrial Land Development Corp. Rev. (Charter School for Applied Technologies Project), “A”, 5%, 6/01/2035 | | $ | 1,000,000 | $1,022,352 |
| Build NYC Resource Corp. Rev. (Albert Einstein School of Medicine, Inc.), 5.5%, 9/01/2045 (n) | | | 12,455,000 | 12,366,213 |
| Build NYC Resource Corp. Rev. (Grand Concourse Academy Charter School Project), “A”, 5%, 7/01/2052 | | | 355,000 | 352,972 |
| Build NYC Resource Corp. Rev. (Grand Concourse Academy Charter School Project), “B”, 5%, 7/01/2062 | | | 2,700,000 | 2,609,942 |
| Build NYC Resource Corp. Rev. (International Leadership Charter High School Project), “A”, 6.25%, 7/01/2046 (z) | | | 1,315,000 | 1,317,678 |
| Build NYC Resource Corp. Rev. (International Leadership Charter School Project), 5.75%, 7/01/2033 | | | 3,860,000 | 3,848,251 |
| Build NYC Resource Corp. Rev. (International Leadership Charter School Project), 6%, 7/01/2043 | | | 4,025,000 | 4,024,678 |
| Build NYC Resource Corp. Rev. (KIPP NYC Public Schools Facilities - Canal West Project), 5.25%, 7/01/2057 | | | 1,695,000 | 1,714,112 |
| Build NYC Resource Corp. Rev. (KIPP NYC Public Schools Facilities - Canal West Project), 5.25%, 7/01/2062 | | | 2,125,000 | 2,141,387 |
| Jefferson County, NY, Civic Development Corp. Rev. (Samaritan Medical Center), “A”, 4%, 11/01/2032 | | | 535,000 | 502,206 |
| New Rochelle, NY, Corp. for Local Development Rev. (Iona College Project), “A”, 5%, 7/01/2034 | | | 785,000 | 804,333 |
| New Rochelle, NY, Corp. for Local Development Rev. (Iona College Project), “A”, 5%, 7/01/2040 | | | 2,130,000 | 2,154,139 |
| New Rochelle, NY, Corp. for Local Development Rev. (Iona College Project), “A”, 5%, 7/01/2045 | | | 990,000 | 997,461 |
| New York Dormitory Authority Rev. (Northwell Health Obligated Group), “A”, 4%, 5/01/2045 | | | 5,630,000 | 5,345,262 |
| New York Dormitory Authority Rev. (Orange Regional Medical Center Obligated Group Rev.), 5%, 12/01/2033 (n) | | | 800,000 | 804,951 |
| New York Dormitory Authority Rev. (Orange Regional Medical Center Obligated Group Rev.), 5%, 12/01/2035 (n) | | | 1,500,000 | 1,501,677 |
| New York Dormitory Authority Rev. (Orange Regional Medical Center Obligated Group Rev.), 5%, 12/01/2040 (n) | | | 1,000,000 | 975,687 |
| New York Environmental Facilities Corp. Rev., Solid Waste Disposal (Casella Waste Management, Inc. Project), 2.75%, 9/01/2050 (Put Date 9/02/2025) (n) | | | 620,000 | 596,025 |
| New York Liberty Development Corp., Liberty Rev. (3 World Trade Center Project), “1”, 5%, 11/15/2044 (n) | | | 24,500,000 | 23,995,249 |
| New York Liberty Development Corp., Liberty Rev. (3 World Trade Center Project), “2”, 5.375%, 11/15/2040 (n) | | | 5,850,000 | 5,857,762 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| New York - continued |
| New York Power Authority, Green Transmission Project Rev., “A”, AGM, 4%, 11/15/2047 | | $ | 2,015,000 | $1,968,502 |
| New York State Thruway Authority, Personal Income Tax Rev., “C”, 4.125%, 3/15/2057 | | | 7,385,000 | 7,206,886 |
| New York Transportation Development Corp., Special Facilities Rev. (American Airlines, Inc. John F. Kennedy International Airport Project), 3%, 8/01/2031 | | | 765,000 | 678,663 |
| New York Transportation Development Corp., Special Facilities Rev. (American Airlines, Inc. John F. Kennedy International Airport Project), 5.25%, 8/01/2031 | | | 1,760,000 | 1,824,936 |
| New York Transportation Development Corp., Special Facilities Rev. (American Airlines, Inc. John F. Kennedy International Airport Project), 5.375%, 8/01/2036 | | | 4,205,000 | 4,255,069 |
| New York Transportation Development Corp., Special Facilities Rev. (Delta Airlines, Inc. LaGuardia Airport Terminals C&D Redevelopment Project), 5%, 10/01/2035 | | | 1,415,000 | 1,480,732 |
| New York Transportation Development Corp., Special Facilities Rev. (Delta Airlines, Inc. LaGuardia Airport Terminals C&D Redevelopment Project), 4%, 1/01/2036 | | | 1,270,000 | 1,238,382 |
| New York Transportation Development Corp., Special Facilities Rev. (Delta Airlines, Inc. LaGuardia Airport Terminals C&D Redevelopment Project), 5%, 10/01/2040 | | | 7,245,000 | 7,437,779 |
| New York Transportation Development Corp., Special Facilities Rev. (Delta Airlines, Inc. LaGuardia Airport Terminals C&D Redevelopment Project), 4.375%, 10/01/2045 | | | 19,055,000 | 18,436,330 |
| New York Transportation Development Corp., Special Facilities Rev. (Terminal 4 John F. Kennedy International Airport Project), “A”, 5%, 12/01/2030 | | | 395,000 | 425,997 |
| New York Transportation Development Corp., Special Facilities Rev. (Terminal 4 John F. Kennedy International Airport Project), “A”, 5%, 12/01/2034 | | | 710,000 | 760,365 |
| New York Transportation Development Corp., Special Facilities Rev. (Terminal 4 John F. Kennedy International Airport Project), “A”, 5%, 12/01/2035 | | | 345,000 | 366,588 |
| New York Transportation Development Corp., Special Facilities Rev. (Terminal 4 John F. Kennedy International Airport Project), “A”, 5%, 12/01/2036 | | | 55,000 | 57,948 |
| New York Transportation Development Corp., Special Facilities Rev. (Terminal 4 John F. Kennedy International Airport Project), “A”, 5%, 12/01/2037 | | | 570,000 | 596,430 |
| New York Transportation Development Corp., Special Facilities Rev. (Terminal 4 John F. Kennedy International Airport Project), “A”, 4%, 12/01/2038 | | | 235,000 | 227,256 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| New York - continued |
| New York Transportation Development Corp., Special Facilities Rev. (Terminal 4 John F. Kennedy International Airport Project), “A”, 4%, 12/01/2039 | | $ | 570,000 | $548,339 |
| New York, NY, Housing Development Corp., Multi-Family Housing Rev. (8 Spruce Street), “E”, 3.5%, 2/15/2048 | | | 6,002,643 | 5,896,568 |
| New York, NY, Housing Development Corp., Multi-Family Housing Rev. (8 Spruce Street), “F”, 4.5%, 2/15/2048 | | | 46,653,261 | 45,824,345 |
| New York, NY, Industrial Development Agency, Airport Facilities Rev. (Transportation Infrastructure Properties LLC), 5%, 7/01/2028 | | | 925,000 | 925,212 |
| New York, NY, Transitional Finance Authority Building Aid Rev., “S-3”, 5%, 7/15/2043 | | | 975,000 | 1,040,382 |
| Niagara County, NY, Industrial Development Agency, Solid Waste Disposal Rev. (Covanta Energy Project), “A”, 4.75%, 11/01/2042 (n) | | | 6,865,000 | 6,027,882 |
| Niagara, NY, Area Development Corp. Rev. (Catholic Health System, Inc. Project), 4.5%, 7/01/2052 | | | 4,115,000 | 2,993,311 |
| Niagara, NY, Area Development Corp. Rev. (Catholic Health System, Inc. Project), 5%, 7/01/2052 | | | 2,460,000 | 1,862,915 |
| Orange County, NY, Funding Corp. Assisted Living Residence Rev. (Hamlet at Wallkill Assisted Living Project), 6.5%, 1/01/2046 | | | 6,600,000 | 5,237,312 |
| Port Authority of NY & NJ (214th Series), 4%, 9/01/2037 | | | 2,780,000 | 2,798,209 |
| Port Authority of NY & NJ (214th Series), 4%, 9/01/2039 | | | 1,245,000 | 1,232,362 |
| Port Authority of NY & NJ (214th Series), 4%, 9/01/2043 | | | 2,015,000 | 1,951,957 |
| Port Authority of NY & NJ (221st Series), 4%, 7/15/2045 | | | 1,570,000 | 1,507,365 |
| Port Authority of NY & NJ (223th Series), 4%, 7/15/2040 | | | 930,000 | 910,442 |
| Syracuse, NY, Industrial Development Agency PILOT Rev. (Carousel Center Project), “A”, 5%, 1/01/2028 | | | 1,905,000 | 1,483,336 |
| Syracuse, NY, Industrial Development Agency PILOT Rev. (Carousel Center Project), “A”, 5%, 1/01/2029 | | | 2,955,000 | 2,294,200 |
| Syracuse, NY, Industrial Development Agency PILOT Rev. (Carousel Center Project), “A”, 5%, 1/01/2030 | | | 2,135,000 | 1,654,289 |
| Syracuse, NY, Industrial Development Agency PILOT Rev. (Carousel Center Project), “A”, 5%, 1/01/2031 | | | 5,765,000 | 4,460,687 |
| Syracuse, NY, Industrial Development Agency PILOT Rev. (Carousel Center Project), “A”, 5%, 1/01/2032 | | | 7,900,000 | 6,106,325 |
| Syracuse, NY, Industrial Development Agency PILOT Rev. (Carousel Center Project), “A”, 5%, 1/01/2033 | | | 4,625,000 | 3,553,977 |
| Syracuse, NY, Industrial Development Agency PILOT Rev. (Carousel Center Project), “A”, 5%, 1/01/2034 | | | 17,535,000 | 13,287,560 |
| Syracuse, NY, Industrial Development Agency PILOT Rev. (Carousel Center Project), “A”, 5%, 1/01/2035 | | | 13,015,000 | 9,718,712 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| New York - continued |
| Syracuse, NY, Industrial Development Agency PILOT Rev. (Carousel Center Project), “A”, 5%, 1/01/2036 | | $ | 4,435,000 | $3,310,271 |
| Tobacco Settlement Asset Securitization Corp., NY, “A”, 5%, 6/01/2034 | | | 825,000 | 855,473 |
| Tobacco Settlement Asset Securitization Corp., NY, “A”, 5%, 6/01/2035 | | | 410,000 | 423,269 |
| Tobacco Settlement Asset Securitization Corp., NY, “A”, 5%, 6/01/2041 | | | 3,020,000 | 3,073,466 |
| Ulster County, NY, Capital Resource Corp. Rev. (Woodland Pond at New Paltz Project), 4%, 9/15/2025 | | | 1,615,000 | 1,531,278 |
| Ulster County, NY, Capital Resource Corp. Rev. (Woodland Pond at New Paltz Project), 5%, 9/15/2037 | | | 7,780,000 | 6,207,109 |
| | | | | $256,610,753 |
| North Carolina - 0.9% |
| Greater Ashville, NC, Regional Airport Authority System Rev., AGM, 5.25%, 7/01/2048 | | $ | 690,000 | $737,961 |
| North Carolina Medical Care Commission, Health Care Facilities First Mortgage Rev. (Lutheran Services for the Aging), “A”, 4%, 3/01/2030 | | | 285,000 | 262,987 |
| North Carolina Medical Care Commission, Health Care Facilities First Mortgage Rev. (Lutheran Services for the Aging), “A”, 4%, 3/01/2036 | | | 1,435,000 | 1,211,098 |
| North Carolina Medical Care Commission, Health Care Facilities First Mortgage Rev. (Lutheran Services for the Aging), “A”, 4%, 3/01/2041 | | | 505,000 | 390,660 |
| North Carolina Medical Care Commission, Health Care Facilities First Mortgage Rev. (Lutheran Services for the Aging), “A”, 4%, 3/01/2051 | | | 8,915,000 | 6,142,292 |
| North Carolina Medical Care Commission, Health Care Facilities First Mortgage Rev. (Lutheran Services for the Aging), “C”, 4%, 3/01/2036 | | | 635,000 | 535,922 |
| North Carolina Medical Care Commission, Health Care Facilities First Mortgage Rev. (Lutheran Services for the Aging), “C”, 4%, 3/01/2042 | | | 240,000 | 182,873 |
| North Carolina Medical Care Commission, Health Care Facilities First Mortgage Rev. (Pennybyrn at Maryfield), 5%, 10/01/2025 | | | 650,000 | 650,175 |
| North Carolina Medical Care Commission, Health Care Facilities First Mortgage Rev. (Pennybyrn at Maryfield), 5%, 10/01/2030 | | | 1,320,000 | 1,310,508 |
| North Carolina Medical Care Commission, Health Care Facilities First Mortgage Rev. (Pennybyrn at Maryfield), 5%, 10/01/2035 | | | 765,000 | 743,893 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| North Carolina - continued |
| North Carolina Medical Care Commission, Health Care Facilities First Mortgage Rev. (Presbyterian Homes Obligated Group), “A”, 5%, 10/01/2040 | | $ | 975,000 | $976,097 |
| North Carolina Medical Care Commission, Health Care Facilities First Mortgage Rev. (Presbyterian Homes Obligated Group), “A”, 5%, 10/01/2045 | | | 925,000 | 904,331 |
| North Carolina Medical Care Commission, Health Care Facilities First Mortgage Rev. (Presbyterian Homes Obligated Group), “A”, 5%, 10/01/2050 | | | 595,000 | 571,064 |
| North Carolina Medical Care Commission, Retirement Facilities First Mortgage Refunding Rev. (Plantation Village, Inc.), “A”, 4%, 1/01/2052 | | | 1,760,000 | 1,258,364 |
| North Carolina Medical Care Commission, Retirement Facilities First Mortgage Refunding Rev. (United Church Homes and Services), “C”, 5%, 9/01/2041 (Prerefunded 9/01/2023) | | | 1,745,000 | 1,799,449 |
| North Carolina Medical Care Commission, Retirement Facilities First Mortgage Rev. (Galloway Ridge), “A”, 5%, 1/01/2039 | | | 1,000,000 | 923,954 |
| North Carolina Medical Care Commission, Retirement Facilities First Mortgage Rev. (Pennybyrn at Maryfield Project), “A”, 5%, 10/01/2040 | | | 1,075,000 | 991,000 |
| North Carolina Medical Care Commission, Retirement Facilities First Mortgage Rev. (Pennybyrn at Maryfield Project), “A”, 5%, 10/01/2045 | | | 1,000,000 | 881,552 |
| North Carolina Medical Care Commission, Retirement Facilities First Mortgage Rev. (Salemtowne), “A”, 5%, 10/01/2026 | | | 2,500,000 | 2,482,536 |
| North Carolina Medical Care Commission, Retirement Facilities First Mortgage Rev. (Salemtowne), “A”, 5%, 10/01/2030 | | | 1,500,000 | 1,461,161 |
| North Carolina Medical Care Commission, Retirement Facilities First Mortgage Rev. (Sharon Towers), “A”, 5%, 7/01/2039 | | | 1,540,000 | 1,410,025 |
| North Carolina Medical Care Commission, Retirement Facilities First Mortgage Rev. (Sharon Towers), “A”, 5%, 7/01/2044 | | | 1,030,000 | 898,166 |
| North Carolina Medical Care Commission, Retirement Facilities First Mortgage Rev. (Southminster), 5%, 10/01/2037 | | | 2,700,000 | 2,522,770 |
| North Carolina Medical Care Commission, Retirement Facilities First Mortgage Rev. (United Church Homes and Services), “A”, 5%, 9/01/2037 (Prerefunded 9/01/2024) | | | 1,265,000 | 1,288,952 |
| North Carolina Medical Care Commission, Retirement Facilities First Mortgage Rev. (United Church Homes and Services), “C”, 5%, 9/01/2046 (Prerefunded 9/01/2023) | | | 1,815,000 | 1,871,633 |
| North Carolina Turnpike Authority, Monroe Expressway Toll Rev., “A”, 5%, 7/01/2042 | | | 505,000 | 514,440 |
| North Carolina Turnpike Authority, Monroe Expressway Toll Rev., “A”, 5%, 7/01/2047 | | | 990,000 | 1,004,294 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| North Carolina - continued |
| North Carolina Turnpike Authority, Monroe Expressway Toll Rev., “A”, 5%, 7/01/2051 | | $ | 2,015,000 | $2,040,947 |
| North Carolina Turnpike Authority, Monroe Expressway Toll Rev., “A”, 5%, 7/01/2054 | | | 1,665,000 | 1,685,148 |
| | | | | $37,654,252 |
| North Dakota - 0.4% |
| North Dakota Housing Finance Agency Rev. (Home Mortgage Finance Program), “B”, 4%, 1/01/2036 | | $ | 185,000 | $184,368 |
| North Dakota Housing Finance Agency Rev. (Home Mortgage Finance Program), “D”, 4.25%, 1/01/2049 (u) | | | 3,805,000 | 3,792,930 |
| Ward County, ND, Health Care Facilities Rev. (Trinity Obligated Group), “C”, 5%, 6/01/2034 | | | 5,445,000 | 5,156,282 |
| Ward County, ND, Health Care Facilities Rev. (Trinity Obligated Group), “C”, 5%, 6/01/2038 | | | 3,050,000 | 2,715,709 |
| Ward County, ND, Health Care Facilities Rev. (Trinity Obligated Group), “C”, 5%, 6/01/2048 | | | 710,000 | 575,259 |
| Ward County, ND, Health Care Facilities Rev. (Trinity Obligated Group), “C”, 5%, 6/01/2053 | | | 5,310,000 | 4,167,582 |
| | | | | $16,592,130 |
| Ohio - 4.1% |
| Akron, Bath, & Copley, OH, Joint Township Hospital District Facilities Rev. (Summa Health Obligated Group), 5%, 11/15/2032 | | $ | 385,000 | $410,376 |
| Buckeye, OH, Tobacco Settlement Financing Authority Senior Asset-Backed Refunding, 2020A-2, “1”, 5%, 6/01/2035 | | | 550,000 | 590,720 |
| Buckeye, OH, Tobacco Settlement Financing Authority Senior Asset-Backed Refunding, 2020A-2, “1”, 4%, 6/01/2039 | | | 550,000 | 538,594 |
| Buckeye, OH, Tobacco Settlement Financing Authority Senior Asset-Backed Refunding, 2020A-2, “1”, 4%, 6/01/2048 | | | 7,300,000 | 6,718,202 |
| Buckeye, OH, Tobacco Settlement Financing Authority Senior Asset-Backed Refunding, 2020B-2, “2”, 5%, 6/01/2055 | | | 73,080,000 | 67,922,160 |
| Butler County, OH, Hospital Facilities Rev. (UC Health), 4%, 11/15/2035 | | | 1,500,000 | 1,368,645 |
| Butler County, OH, Hospital Facilities Rev. (UC Health), 4%, 11/15/2037 | | | 1,250,000 | 1,112,439 |
| Centerville, OH, Health Care Improvement and Refunding Rev. (Graceworks Lutheran Services), 5.25%, 11/01/2037 | | | 920,000 | 861,980 |
| Centerville, OH, Health Care Improvement and Refunding Rev. (Graceworks Lutheran Services), 5.25%, 11/01/2047 | | | 2,480,000 | 2,152,747 |
| Centerville, OH, Health Care Improvement and Refunding Rev. (Graceworks Lutheran Services), 5.25%, 11/01/2050 | | | 915,000 | 783,166 |
| Cuyahoga County, OH, Hospital Rev. (Metrohealth System), 5%, 2/15/2037 | | | 1,250,000 | 1,267,689 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Ohio - continued |
| Cuyahoga County, OH, Hospital Rev. (Metrohealth System), 5%, 2/15/2042 | | $ | 3,915,000 | $3,922,574 |
| Cuyahoga County, OH, Hospital Rev. (Metrohealth System), 4.75%, 2/15/2047 | | | 5,240,000 | 4,973,278 |
| Cuyahoga County, OH, Hospital Rev. (Metrohealth System), 5.25%, 2/15/2047 | | | 3,160,000 | 3,179,698 |
| Cuyahoga County, OH, Hospital Rev. (Metrohealth System), 5%, 2/15/2057 | | | 3,355,000 | 3,248,750 |
| Cuyahoga County, OH, Hospital Rev. (Metrohealth System), 5.5%, 2/15/2057 | | | 14,395,000 | 14,606,523 |
| Cuyahoga County, OH, Port Authority Tax Increment Financing Rev. (Flats East Bank Project), “A”, 4%, 12/01/2055 (n) | | | 910,000 | 772,540 |
| Cuyahoga County, OH, Port Authority Tax Increment Financing Rev. (Flats East Bank Project), “B”, 4.5%, 12/01/2055 (n) | | | 520,000 | 456,667 |
| Darke County, OH, Hospital Facilities Rev. (Wayne Healthcare Project), “A”, 4%, 9/01/2040 | | | 860,000 | 741,964 |
| Darke County, OH, Hospital Facilities Rev. (Wayne Healthcare Project), “A”, 4%, 9/01/2045 | | | 1,545,000 | 1,255,512 |
| Darke County, OH, Hospital Facilities Rev. (Wayne Healthcare Project), “A”, 5%, 9/01/2049 | | | 1,725,000 | 1,580,141 |
| Franklin County, OH, Health Care Facilities Improvement Rev. (Friendship Village of Dublin, Inc.), 5%, 11/15/2034 | | | 1,380,000 | 1,384,156 |
| Franklin County, OH, Health Care Facilities Improvement Rev. (Friendship Village of Dublin, Inc.), 5%, 11/15/2044 | | | 2,055,000 | 2,028,342 |
| Hickory Chase, OH, Community Authority Infrastructure Improvement Rev. (Hickory Chase Project), “A”, 5%, 12/01/2040 (n) | | | 1,875,000 | 1,684,952 |
| Middleburg Heights, OH, Hospital Facilities Improvement Rev. (Southwest General Health Center Project), “A”, 4%, 8/01/2041 | | | 3,455,000 | 3,189,624 |
| Middleburg Heights, OH, Hospital Facilities Improvement Rev. (Southwest General Health Center Project), “A”, 4%, 8/01/2047 | | | 2,075,000 | 1,839,319 |
| Montgomery County, OH, Hospital Facilities Rev. (Premier Health Partners Obligated Group), “A”, 4%, 11/15/2038 | | | 2,210,000 | 2,066,554 |
| Montgomery County, OH, Hospital Facilities Rev. (Premier Health Partners Obligated Group), “A”, 4%, 11/15/2045 | | | 1,100,000 | 971,767 |
| Montgomery County, OH, Hospital Facilities Rev. (Premier Health Partners Obligated Group), “A”, 5%, 11/15/2035 | | | 1,000,000 | 1,035,365 |
| Northeast Ohio Medical University, General Receipts and Refunding Bonds, “A”, 4%, 12/01/2035 | | | 160,000 | 156,551 |
| Northeast Ohio Medical University, General Receipts and Refunding Bonds, “A”, 4%, 12/01/2045 | | | 120,000 | 105,847 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Ohio - continued |
| Ohio Air Quality Development Authority Refunding Rev. (Duke Energy Corp. Project), “A”, 4.25%, 11/01/2039 (Put Date 6/01/2027) | | $ | 3,355,000 | $3,324,412 |
| Ohio Air Quality Development Authority, Facilities Rev. (Pratt Paper LLC Project), 3.75%, 1/15/2028 (n) | | | 3,800,000 | 3,771,539 |
| Ohio Air Quality Development Authority, Facilities Rev. (Pratt Paper LLC Project), 4.25%, 1/15/2038 (n) | | | 2,325,000 | 2,301,019 |
| Ohio Air Quality Development Authority, Facilities Rev. (Pratt Paper LLC Project), 4.5%, 1/15/2048 (n) | | | 3,115,000 | 3,001,727 |
| Ohio Educational Facility Commission Rev. (Cleveland Institute of Art Project), 5%, 12/01/2038 | | | 1,360,000 | 1,274,006 |
| Ohio Educational Facility Commission Rev. (Cleveland Institute of Art Project), 5.25%, 12/01/2043 | | | 1,390,000 | 1,304,024 |
| Ohio Educational Facility Commission Rev. (Cleveland Institute of Art Project), 5.25%, 12/01/2048 | | | 1,600,000 | 1,460,093 |
| Ohio Educational Facility Commission Rev. (Cleveland Institute of Art Project), 5.5%, 12/01/2053 | | | 1,000,000 | 930,446 |
| Ohio Higher Educational Facility Rev. (Cleveland Institute of Music 2022 Project), 5.125%, 12/01/2042 | | | 1,455,000 | 1,466,269 |
| Ohio Higher Educational Facility Rev. (Cleveland Institute of Music 2022 Project), 5.375%, 12/01/2052 | | | 2,115,000 | 2,132,987 |
| Ohio Housing Finance Agency Residential Mortgage Rev. (Mortgage-Backed Securities Program), “A”, 4.5%, 9/01/2048 (u) | | | 5,570,000 | 5,579,969 |
| Ohio Housing Finance Agency Residential Mortgage Rev. (Mortgage-Backed Securities Program), “A”, 4.8%, 9/01/2048 | | | 8,565,000 | 8,609,954 |
| Ohio Housing Finance Agency Residential Mortgage Rev. (Mortgage-Backed Securities Program), “A”, 4.9%, 9/01/2053 | | | 4,105,000 | 4,152,730 |
| Ohio State Hospital Rev. (Premier Health Partners Obligated Group), 5%, 11/15/2035 | | | 825,000 | 860,234 |
| Ohio State Hospital Rev. (Premier Health Partners Obligated Group), 4%, 11/15/2037 | | | 675,000 | 630,676 |
| Ohio State Hospital Rev. (Premier Health Partners Obligated Group), 4%, 11/15/2038 | | | 660,000 | 608,952 |
| Ohio State Hospital Rev. (Premier Health Partners Obligated Group), 4%, 11/15/2040 | | | 725,000 | 654,640 |
| Riversouth, OH, Authority Rev. (Lazarus Building), “A”, 5.75%, 12/01/2027 | | | 2,295,000 | 2,294,801 |
| | | | | $177,285,320 |
| Oklahoma - 1.2% |
| Catoosa, OK, Industrial Authority Sales Tax Rev., 4%, 10/01/2028 | | $ | 140,000 | $135,359 |
| Norman, OK, Regional Hospital Authority Rev., 4%, 9/01/2045 | | | 2,790,000 | 2,333,305 |
| Norman, OK, Regional Hospital Authority Rev., 5%, 9/01/2045 | | | 3,740,000 | 3,679,915 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Oklahoma - continued |
| Oklahoma Development Finance Authority, First Mortgage Rev. (Sommerset Project), 5%, 7/01/2042 | | $ | 1,390,000 | $1,190,464 |
| Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), “A”, 5.5%, 8/15/2041 | | | 3,295,000 | 3,166,744 |
| Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), “A”, 5.5%, 8/15/2044 | | | 3,340,000 | 3,184,053 |
| Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), “B”, 5%, 8/15/2038 | | | 4,935,000 | 4,785,143 |
| Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), “B”, 5.25%, 8/15/2043 | | | 4,280,000 | 4,236,689 |
| Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), “B”, 5.25%, 8/15/2048 | | | 4,930,000 | 4,784,440 |
| Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), “B”, 5.5%, 8/15/2057 | | | 14,300,000 | 14,061,034 |
| Oklahoma Development Finance Authority, Health System Rev., Taxable (OU Medicine Project), “C”, 5.45%, 8/15/2028 | | | 6,254,000 | 5,431,798 |
| Oklahoma Housing Finance Agency, Single Family Mortgage Rev. (Homeownership Loan Project), “A”, 4.75%, 9/01/2048 | | | 2,385,000 | 2,403,181 |
| Tulsa, OK, Airport Improvement Trust Rev., “A”, 5%, 6/01/2045 (Prerefunded 6/01/2024) | | | 660,000 | 666,736 |
| | | | | $50,058,861 |
| Oregon - 0.8% |
| Clackamas County, OR, Hospital Facility Authority Senior Living Rev. (Rose Villa Project), “A”, 5.125%, 11/15/2040 (n) | | $ | 1,000,000 | $946,682 |
| Clackamas County, OR, Hospital Facility Authority Senior Living Rev. (Rose Villa Project), “A”, 5.25%, 11/15/2050 (n) | | | 2,000,000 | 1,834,678 |
| Clackamas County, OR, Hospital Facility Authority Senior Living Rev. (Rose Villa Project), “A”, 5.375%, 11/15/2055 (n) | | | 3,000,000 | 2,761,492 |
| Multnomah County, OR, Hospital Facilities Authority Refunding Rev. (Terwilliger Plaza - Parkview Project), “A”, 4%, 12/01/2041 | | | 2,860,000 | 2,140,425 |
| Multnomah County, OR, Hospital Facilities Authority Refunding Rev. (Terwilliger Plaza - Parkview Project), “A”, 4%, 12/01/2051 | | | 7,725,000 | 5,193,606 |
| Multnomah County, OR, Hospital Facilities Authority Refunding Rev. (Terwilliger Plaza - Parkview Project), “A”, 4%, 12/01/2056 | | | 10,440,000 | 6,775,420 |
| Multnomah County, OR, Hospital Facilities Authority Refunding Rev. (Terwilliger Plaza - Parkview Project), “B-1”, 1.2%, 6/01/2028 | | | 860,000 | 729,244 |
| Multnomah County, OR, Hospital Facilities Authority Refunding Rev. (Terwilliger Plaza - Parkview Project), “B-2”, 0.95%, 6/01/2027 | | | 2,225,000 | 1,945,571 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Oregon - continued |
| Multnomah County, OR, Hospital Facilities Authority Refunding Rev., Taxable (Terwilliger Plaza - Parkview Project), “C”, 1.25%, 6/01/2026 | | $ | 1,065,000 | $966,754 |
| Port of Portland, OR, International Airport Rev., “24B”, 5%, 7/01/2042 | | | 1,160,000 | 1,183,304 |
| Yamhill County, OR, Hospital Authority Rev. (Friendsview Retirement), “A”, 5%, 11/15/2036 | | | 795,000 | 710,085 |
| Yamhill County, OR, Hospital Authority Rev. (Friendsview Retirement), “A”, 5%, 11/15/2046 | | | 2,625,000 | 2,081,462 |
| Yamhill County, OR, Hospital Authority Rev. (Friendsview Retirement), “A”, 5%, 11/15/2051 | | | 725,000 | 556,052 |
| Yamhill County, OR, Hospital Authority Rev. (Friendsview Retirement), “A”, 5%, 11/15/2051 | | | 3,115,000 | 2,389,108 |
| Yamhill County, OR, Hospital Authority Rev. (Friendsview Retirement), “A”, 5%, 11/15/2056 | | | 6,520,000 | 4,818,838 |
| Yamhill County, OR, Hospital Authority Rev. (Friendsview Retirement), “B-1”, 2.5%, 11/15/2028 | | | 965,000 | 826,111 |
| Yamhill County, OR, Hospital Authority Rev. (Friendsview Retirement), “B-2”, 2.125%, 11/15/2027 | | | 385,000 | 348,162 |
| Yamhill County, OR, Hospital Authority Rev. (Friendsview Retirement), “B-3”, 1.75%, 11/15/2026 | | | 525,000 | 492,190 |
| | | | | $36,699,184 |
| Pennsylvania - 6.2% |
| Allegheny County, PA, Hospital Development Authority Rev. (Allegheny Health Network Obligated Group), “A”, 4%, 4/01/2044 | | $ | 3,110,000 | $2,801,206 |
| Allentown, PA, Neighborhood Improvement Zone Development Authority Tax Rev. (City Center Project), 5%, 5/01/2028 (n) | | | 900,000 | 918,001 |
| Allentown, PA, Neighborhood Improvement Zone Development Authority Tax Rev. (City Center Project), 5%, 5/01/2033 (n) | | | 765,000 | 779,209 |
| Allentown, PA, Neighborhood Improvement Zone Development Authority Tax Rev. (City Center Project), 5%, 5/01/2042 (n) | | | 2,175,000 | 2,166,971 |
| Allentown, PA, Neighborhood Improvement Zone Development Authority Tax Rev. (City Center Project), 5.25%, 5/01/2042 (n) | | | 6,405,000 | 6,404,456 |
| Allentown, PA, Neighborhood Improvement Zone Development Authority Tax Rev. (City Center Project), 5.375%, 5/01/2042 (n) | | | 6,700,000 | 6,742,365 |
| Allentown, PA, Neighborhood Improvement Zone Development Authority Tax Rev. (City Center Refunding Project), 5%, 5/01/2032 (n) | | | 2,505,000 | 2,549,305 |
| Allentown, PA, Neighborhood Improvement Zone Development Authority Tax Rev. (City Center Refunding Project), 5%, 5/01/2042 (n) | | | 1,990,000 | 1,990,331 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Pennsylvania - continued |
| Berks County, PA, Industrial Development Authority Health System Rev. (Tower Health Project), 4%, 11/01/2038 | | $ | 990,000 | $611,821 |
| Berks County, PA, Industrial Development Authority Health System Rev. (Tower Health Project), 4%, 11/01/2047 | | | 1,840,000 | 1,098,018 |
| Berks County, PA, Industrial Development Authority Health System Rev. (Tower Health Project), 5%, 11/01/2047 | | | 12,200,000 | 7,889,713 |
| Berks County, PA, Industrial Development Authority Health System Rev. (Tower Health Project), 5%, 11/01/2050 | | | 22,365,000 | 14,458,277 |
| Berks County, PA, Municipal Authority Rev. (Tower Health Project), “B-2”, 5%, 2/01/2040 (Put Date 2/01/2027) | | | 8,255,000 | 5,654,504 |
| Berks County, PA, Municipal Authority Rev. (Tower Health Project), “B-3”, 5%, 2/01/2040 (Put Date 2/01/2030) | | | 2,690,000 | 1,752,558 |
| Blythe, PA, Solid Waste Authority Rev., 7.75%, 12/01/2037 (Prerefunded 12/01/2027) | | | 5,195,000 | 5,930,817 |
| Chester County, PA, Health & Education Facilities Authority Rev. (Simpson Senior Services Project), 4%, 12/01/2035 | | | 6,355,000 | 5,100,141 |
| Chester County, PA, Health & Education Facilities Authority Rev. (Simpson Senior Services Project), 4%, 12/01/2040 | | | 5,915,000 | 4,405,470 |
| Chester County, PA, Health & Education Facilities Authority Rev. (Simpson Senior Services Project), 4%, 12/01/2044 | | | 4,455,000 | 3,162,930 |
| Chester County, PA, Health & Education Facilities Authority Rev. (Simpson Senior Services Project), 4%, 12/01/2051 | | | 3,445,000 | 2,292,451 |
| Chester County, PA, Health & Education Facilities Authority Rev. (Simpson Senior Services Project), 5%, 12/01/2051 | | | 4,550,000 | 3,691,042 |
| Chester County, PA, Health & Education Facilities Authority Rev. (Simpson Senior Services Project), “A”, 5%, 12/01/2030 | | | 815,000 | 765,782 |
| Chester County, PA, Health & Education Facilities Authority Rev. (Simpson Senior Services Project), “A”, 5%, 12/01/2035 | | | 1,000,000 | 907,160 |
| Chester County, PA, Health & Education Facilities Authority Rev. (Simpson Senior Services Project), “A”, 5.25%, 12/01/2045 | | | 1,730,000 | 1,505,918 |
| Chester County, PA, Industrial Development Authority Educational Facilities Rev. (Avon Grove Charter School), “A”, 4.75%, 12/15/2037 | | | 885,000 | 868,771 |
| Chester County, PA, Industrial Development Authority Educational Facilities Rev. (Avon Grove Charter School), “A”, 5%, 12/15/2047 | | | 2,040,000 | 1,982,607 |
| Chester County, PA, Industrial Development Authority Educational Facilities Rev. (Avon Grove Charter School), “A”, 5%, 12/15/2051 | | | 610,000 | 584,824 |
| Cumberland County, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries), 4%, 1/01/2033 (Prerefunded 1/01/2025) | | | 335,000 | 338,309 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Pennsylvania - continued |
| Cumberland County, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries), 4%, 1/01/2033 (Prerefunded 1/01/2025) | | $ | 1,185,000 | $1,196,707 |
| Cumberland County, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries), 4%, 1/01/2033 | | | 865,000 | 814,301 |
| Cumberland County, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries), 5%, 1/01/2038 (Prerefunded 1/01/2025) | | | 40,000 | 40,943 |
| Cumberland County, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries), 5%, 1/01/2038 (Prerefunded 1/01/2025) | | | 155,000 | 158,655 |
| Cumberland County, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries), 5%, 1/01/2038 | | | 190,000 | 190,171 |
| Cumberland County, PA, Municipal Authority Rev. (Penn State Health), 4%, 11/01/2049 | | | 4,310,000 | 4,013,172 |
| Dallas, PA, Municipal Authority, University Rev. (Misericordia University Project), 5%, 5/01/2048 | | | 715,000 | 662,571 |
| Doylestown, PA, Hospital Rev. (Doylestown Hospital), “A”, 4%, 7/01/2045 | | | 765,000 | 571,436 |
| Doylestown, PA, Hospital Rev. (Doylestown Hospital), “A”, 5%, 7/01/2049 | | | 770,000 | 657,706 |
| East Hempfield Township, PA, Industrial Development Authority Rev. (Student Services, Inc., Student Housing Project at Millersville University of Pennsylvania), 5%, 7/01/2030 (Prerefunded 7/01/2025) | | | 330,000 | 340,853 |
| East Hempfield Township, PA, Industrial Development Authority Rev. (Student Services, Inc., Student Housing Project at Millersville University of Pennsylvania), 5%, 7/01/2035 (Prerefunded 7/01/2025) | | | 420,000 | 433,813 |
| East Hempfield Township, PA, Industrial Development Authority Rev. (Student Services, Inc., Student Housing Project at Millersville University of Pennsylvania), 5%, 7/01/2039 (Prerefunded 7/01/2024) | | | 325,000 | 329,710 |
| East Hempfield Township, PA, Industrial Development Authority Rev. (Student Services, Inc., Student Housing Project at Millersville University of Pennsylvania), 5%, 7/01/2046 (Prerefunded 7/01/2024) | | | 180,000 | 182,609 |
| Erie County, PA, Water Authority Rev., “D”, BAM, 4%, 12/01/2038 | | | 750,000 | 748,897 |
| Franklin County, PA, Industrial Development Authority Rev. (Menno-Haven, Inc. Project), 5%, 12/01/2029 | | | 175,000 | 165,527 |
| Franklin County, PA, Industrial Development Authority Rev. (Menno-Haven, Inc. Project), 5%, 12/01/2032 | | | 1,250,000 | 1,159,038 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Pennsylvania - continued |
| Franklin County, PA, Industrial Development Authority Rev. (Menno-Haven, Inc. Project), 5%, 12/01/2038 | | $ | 2,795,000 | $2,438,366 |
| Franklin County, PA, Industrial Development Authority Rev. (Menno-Haven, Inc. Project), 5%, 12/01/2039 | | | 385,000 | 331,551 |
| Franklin County, PA, Industrial Development Authority Rev. (Menno-Haven, Inc. Project), 5%, 12/01/2043 | | | 3,685,000 | 3,029,937 |
| Franklin County, PA, Industrial Development Authority Rev. (Menno-Haven, Inc. Project), 5%, 12/01/2048 | | | 3,730,000 | 2,935,029 |
| Franklin County, PA, Industrial Development Authority Rev. (Menno-Haven, Inc. Project), 5%, 12/01/2049 | | | 510,000 | 398,678 |
| Franklin County, PA, Industrial Development Authority Rev. (Menno-Haven, Inc. Project), 5%, 12/01/2053 | | | 5,560,000 | 4,258,300 |
| Fulton County, PA, Industrial Development Authority Hospital Rev. (Medical Center Project), 5%, 7/01/2040 | | | 7,745,000 | 7,197,504 |
| Fulton County, PA, Industrial Development Authority Hospital Rev. (Medical Center Project), “B”, 5%, 7/01/2046 | | | 3,450,000 | 3,122,775 |
| Fulton County, PA, Industrial Development Authority Hospital Rev. (Medical Center Project), “B”, 5%, 7/01/2051 | | | 5,280,000 | 4,704,484 |
| Lancaster County, PA, Hospital Authority Rev. (Saint Anne's Retirement Community, Inc. Project), 5%, 3/01/2040 | | | 500,000 | 427,713 |
| Lancaster County, PA, Hospital Authority Rev. (Saint Anne's Retirement Community, Inc. Project), 5%, 3/01/2045 | | | 750,000 | 611,435 |
| Lancaster County, PA, Hospital Authority Rev. (Saint Anne's Retirement Community, Inc. Project), 5%, 3/01/2050 | | | 1,500,000 | 1,185,344 |
| Lehigh County, PA, Water & Sewer Authority Rev., “A”, 5%, 12/01/2043 (Prerefunded 12/01/2023) | | | 4,115,000 | 4,138,167 |
| Maxatawny Township, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries), “A”, 5%, 1/01/2039 | | | 265,000 | 257,773 |
| Maxatawny Township, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries), “A”, 5%, 1/01/2040 | | | 930,000 | 894,691 |
| Maxatawny Township, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries), “A”, 5%, 1/01/2041 | | | 685,000 | 654,289 |
| Maxatawny Township, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries), “A”, 5%, 1/01/2042 | | | 710,000 | 673,914 |
| Maxatawny Township, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries), “A”, 4.5%, 1/01/2045 | | | 2,440,000 | 2,118,461 |
| Montgomery County, PA, Higher Education & Health Authority Rev. (Thomas Jefferson University), 4%, 9/01/2044 | | | 2,765,000 | 2,628,659 |
| Montgomery County, PA, Higher Education & Health Authority Rev. (Thomas Jefferson University), 4%, 9/01/2049 | | | 2,635,000 | 2,458,066 |
| Montgomery County, PA, Higher Education & Health Authority Rev. (Thomas Jefferson University), “A”, 4%, 9/01/2049 | | | 1,920,000 | 1,791,076 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Pennsylvania - continued |
| Montgomery County, PA, Higher Education & Health Authority Rev. (Thomas Jefferson University), “B”, AGM, 3.125%, 5/01/2053 | | $ | 2,975,000 | $2,199,614 |
| Montgomery County, PA, Higher Education & Health Authority Rev., Taxable (Thomas Jefferson University), 4%, 9/01/2051 | | | 4,795,000 | 4,435,012 |
| Montgomery County, PA, Industrial Development Authority Retirement Communities Rev. (Acts Retirement-Life Communities, Inc. Obligated Group), “C”, 5%, 11/15/2045 | | | 1,525,000 | 1,442,587 |
| Montgomery County, PA, Industrial Development Authority Rev. (Whitemarsh Continuing Care Retirement Community Project), 5.375%, 1/01/2050 | | | 14,730,000 | 12,650,287 |
| Northeastern, PA, Hospital & Education Authority College Rev. (King's College Project), 5%, 5/01/2044 | | | 1,810,000 | 1,722,373 |
| Northeastern, PA, Hospital & Education Authority College Rev. (King's College Project), 5%, 5/01/2049 | | | 1,095,000 | 1,017,582 |
| Pennsylvania Economic Development Financing Authority Rev. (Presbyterian Senior Living Project), 4%, 7/01/2030 | | | 1,600,000 | 1,544,562 |
| Pennsylvania Economic Development Financing Authority Rev. (Presbyterian Senior Living Project), 4%, 7/01/2033 | | | 1,750,000 | 1,661,745 |
| Pennsylvania Economic Development Financing Authority Rev. (Presbyterian Senior Living Project), 4%, 7/01/2041 | | | 1,050,000 | 892,229 |
| Pennsylvania Economic Development Financing Authority Rev. (Presbyterian Senior Living Project), 4%, 7/01/2046 | | | 2,000,000 | 1,614,038 |
| Pennsylvania Economic Development Financing Authority, Guaranteed Parking Rev. (Capitol Region Parking System), Capital Appreciation, “B-2”, 0%, 1/01/2035 | | | 1,460,000 | 906,636 |
| Pennsylvania Economic Development Financing Authority, Guaranteed Parking Rev. (Capitol Region Parking System), Capital Appreciation, “B-2”, 0%, 1/01/2036 | | | 1,540,000 | 902,926 |
| Pennsylvania Economic Development Financing Authority, Guaranteed Parking Rev. (Capitol Region Parking System), Capital Appreciation, “B-2”, 0%, 1/01/2037 | | | 1,490,000 | 818,663 |
| Pennsylvania Economic Development Financing Authority, Guaranteed Parking Rev. (Capitol Region Parking System), Capital Appreciation, “B-2”, 0%, 1/01/2038 | | | 1,535,000 | 786,304 |
| Pennsylvania Economic Development Financing Authority, Guaranteed Parking Rev. (Capitol Region Parking System), Capital Appreciation, “B-2”, 0%, 1/01/2039 | | | 1,675,000 | 811,584 |
| Pennsylvania Economic Development Financing Authority, Guaranteed Parking Rev. (Capitol Region Parking System), Capital Appreciation, “B-2”, 0%, 1/01/2040 | | | 1,615,000 | 732,632 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Pennsylvania - continued |
| Pennsylvania Economic Development Financing Authority, Guaranteed Parking Rev. (Capitol Region Parking System), Capital Appreciation, “B-2”, 0%, 1/01/2041 | | $ | 1,555,000 | $663,412 |
| Pennsylvania Economic Development Financing Authority, Guaranteed Parking Rev. (Capitol Region Parking System), Capital Appreciation, “B-2”, 0%, 1/01/2042 | | | 1,490,000 | 595,940 |
| Pennsylvania Economic Development Financing Authority, Guaranteed Parking Rev. (Capitol Region Parking System), Capital Appreciation, “B-2”, 0%, 1/01/2043 | | | 1,425,000 | 539,859 |
| Pennsylvania Economic Development Financing Authority, Guaranteed Parking Rev. (Capitol Region Parking System), Capital Appreciation, “B-3”, 0%, 1/01/2049 | | | 7,090,000 | 1,293,288 |
| Pennsylvania Economic Development Financing Authority, Private Activity Rev. (PennDOT Major Bridges Package One Project), 5.25%, 6/30/2053 | | | 5,000,000 | 5,207,509 |
| Pennsylvania Economic Development Financing Authority, Private Activity Rev. (PennDOT Major Bridges Package One Project), AGM, 5%, 12/31/2057 | | | 14,325,000 | 14,814,901 |
| Pennsylvania Economic Development Financing Authority, UPMC Rev., “A”, 4%, 5/15/2053 | | | 1,985,000 | 1,819,761 |
| Pennsylvania Higher Educational Assistance Agency, Education Loan Rev., “A”, 2.625%, 6/01/2042 | | | 1,360,000 | 1,151,640 |
| Pennsylvania Higher Educational Assistance Agency, Education Loan Rev., “A”, 4.5%, 6/01/2043 | | | 1,015,000 | 1,017,961 |
| Pennsylvania Higher Educational Assistance Agency, Education Loan Rev., “B”, 3.125%, 6/01/2048 | | | 1,800,000 | 1,365,730 |
| Pennsylvania Higher Educational Assistance Agency, Education Loan Rev., “B”, 5%, 6/01/2050 | | | 775,000 | 775,819 |
| Pennsylvania Housing Finance Agency, Single Family Mortgage Rev., “128A”, 4.75%, 4/01/2033 (u) | | | 3,365,000 | 3,359,898 |
| Philadelphia, PA, Authority for Industrial Development Charter School Rev. (Green Woods Charter School Project), “A”, 5.125%, 6/15/2042 | | | 415,000 | 387,604 |
| Philadelphia, PA, Authority for Industrial Development Charter School Rev. (Green Woods Charter School Project), “A”, 5.25%, 6/15/2052 | | | 470,000 | 431,495 |
| Philadelphia, PA, Authority for Industrial Development Charter School Rev. (Green Woods Charter School Project), “A”, 5.375%, 6/15/2057 | | | 225,000 | 206,529 |
| Philadelphia, PA, Authority for Industrial Development Charter School Rev. (Philadelphia Performing Arts: A String Theory Charter School Project), 5%, 6/15/2050 (n) | | | 1,700,000 | 1,613,277 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Pennsylvania - continued |
| Philadelphia, PA, Authority for Industrial Development Charter School Rev. (Tacony Academy School Project), 5%, 6/15/2033 (n) | | $ | 2,000,000 | $2,006,066 |
| Philadelphia, PA, Authority for Industrial Development Charter School Rev. (Tacony Academy School Project), 5.375%, 6/15/2038 (n) | | | 1,500,000 | 1,488,533 |
| Philadelphia, PA, Authority for Industrial Development Charter School Rev. (Tacony Academy School Project), 5.5%, 6/15/2043 (n) | | | 550,000 | 541,474 |
| Philadelphia, PA, Authority for Industrial Development Rev. (KIPP Charter School Project), “B”, 4%, 4/01/2026 | | | 665,000 | 649,701 |
| Philadelphia, PA, Authority for Industrial Development Rev. (KIPP Charter School Project), “B”, 5%, 4/01/2046 | | | 3,500,000 | 3,190,158 |
| Philadelphia, PA, Authority for Industrial Development Rev. (MaST Charter School Project), “A”, 5.625%, 8/01/2036 | | | 885,000 | 904,166 |
| Philadelphia, PA, Authority for Industrial Development Rev. (MaST Charter School Project), “A”, 5.75%, 8/01/2046 | | | 2,515,000 | 2,548,064 |
| Philadelphia, PA, Authority for Industrial Development Rev. (MaST Charter School Project), “A”, 5.375%, 8/01/2051 | | | 1,910,000 | 1,934,902 |
| Philadelphia, PA, Authority for Industrial Development Rev. (MaST Charter School Project), “B”, 6%, 8/01/2051 | | | 3,000,000 | 3,051,680 |
| Philadelphia, PA, Authority for Industrial Development Rev. (MaST Community Charter School II Project), 5%, 8/01/2030 | | | 455,000 | 466,623 |
| Philadelphia, PA, Authority for Industrial Development Rev. (MaST Community Charter School II Project), 5%, 8/01/2040 | | | 600,000 | 601,257 |
| Philadelphia, PA, Authority for Industrial Development Rev. (MaST Community Charter School II Project), 5%, 8/01/2050 | | | 575,000 | 556,458 |
| Philadelphia, PA, Authority for Industrial Development Rev. (Thomas Jefferson University), “A”, 5%, 9/01/2035 | | | 895,000 | 933,648 |
| Philadelphia, PA, Authority for Industrial Development, Multi-Family Housing Rev. (University Square Apartment Project-Section 8), “I”, 5%, 12/01/2037 | | | 2,615,000 | 2,680,380 |
| Philadelphia, PA, Authority for Industrial Development, Multi-Family Housing Rev. (University Square Apartment Project-Section 8), “III”, 5.25%, 12/01/2047 (n) | | | 3,245,000 | 2,897,345 |
| Philadelphia, PA, Authority for Industrial Development, Multi-Family Housing Rev. (University Square Apartment Project-Section 8), “III”, 5.5%, 12/01/2058 (n) | | | 4,690,000 | 4,215,142 |
| Philadelphia, PA, Authority for Industrial Development, Senior Living Facilities Rev. (Wesley Enhanced Living Obligated Group), “A”, 5%, 7/01/2037 | | | 2,290,000 | 1,992,259 |
| Philadelphia, PA, Authority for Industrial Development, Senior Living Facilities Rev. (Wesley Enhanced Living Obligated Group), “A”, 5%, 7/01/2042 | | | 3,665,000 | 3,042,767 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Pennsylvania - continued |
| Philadelphia, PA, Authority for Industrial Development, Senior Living Facilities Rev. (Wesley Enhanced Living Obligated Group), “A”, 5%, 7/01/2049 | | $ | 3,790,000 | $3,015,968 |
| Philadelphia, PA, School District General Obligation, “F”, 5%, 9/01/2038 (Prerefunded 9/01/2026) | | | 5,000 | 5,303 |
| Philadelphia, PA, School District General Obligation, “F”, 5%, 9/01/2038 | | | 240,000 | 244,880 |
| Philadelphia, PA, School District, “A”, 5%, 9/01/2036 | | | 510,000 | 546,273 |
| Philadelphia, PA, School District, “A”, 4%, 9/01/2037 | | | 1,560,000 | 1,536,805 |
| Philadelphia, PA, School District, “A”, 5%, 9/01/2037 | | | 510,000 | 543,170 |
| Philadelphia, PA, School District, “A”, 4%, 9/01/2038 | | | 2,410,000 | 2,347,560 |
| Philadelphia, PA, School District, “A”, 5%, 9/01/2038 | | | 510,000 | 539,583 |
| Philadelphia, PA, School District, “F”, 5%, 9/01/2037 | | | 980,000 | 1,001,344 |
| Scranton-Lackawanna, PA, Health and Welfare Authority, University Rev. (Marywood University Project), 5%, 6/01/2046 | | | 10,015,000 | 8,857,205 |
| Washington County, PA, Redevelopment Authority Refunding Rev. (Victory Centre Tax Increment Financing Project), 5%, 7/01/2035 | | | 355,000 | 349,046 |
| Washington County, PA, Trinity Area School District, AGM, 4%, 11/01/2041 | | | 655,000 | 659,060 |
| Washington County, PA, Trinity Area School District, AGM, 4%, 11/01/2043 | | | 695,000 | 696,032 |
| Washington County, PA, Trinity Area School District, AGM, 4%, 11/01/2046 | | | 1,175,000 | 1,163,371 |
| West Shore, PA, Area Authority Rev. (Messiah Village Project), “A”, 5%, 7/01/2030 | | | 395,000 | 393,614 |
| West Shore, PA, Area Authority Rev. (Messiah Village Project), “A”, 5%, 7/01/2035 | | | 390,000 | 379,408 |
| | | | | $270,637,920 |
| Puerto Rico - 6.3% |
| Commonwealth of Puerto Rico, General Obligation Restructured Bonds, Capital Appreciation, Series 2022A, 0%, 7/01/2024 | | $ | 431,512 | $414,352 |
| Commonwealth of Puerto Rico, General Obligation Restructured Bonds, Capital Appreciation, Series 2022A, 0%, 7/01/2033 | | | 3,413,676 | 2,080,117 |
| Commonwealth of Puerto Rico, General Obligation Restructured Bonds, Series 2022A, 5.375%, 7/01/2025 | | | 2,954,287 | 3,021,740 |
| Commonwealth of Puerto Rico, General Obligation Restructured Bonds, Series 2022A, 5.625%, 7/01/2027 | | | 2,927,530 | 3,076,536 |
| Commonwealth of Puerto Rico, General Obligation Restructured Bonds, Series 2022A, 5.625%, 7/01/2029 | | | 2,880,036 | 3,077,324 |
| Commonwealth of Puerto Rico, General Obligation Restructured Bonds, Series 2022A, 5.75%, 7/01/2031 | | | 5,443,355 | 5,932,030 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Puerto Rico - continued |
| Commonwealth of Puerto Rico, General Obligation Restructured Bonds, Series 2022A, 4%, 7/01/2033 | | $ | 2,652,627 | $2,516,826 |
| Commonwealth of Puerto Rico, General Obligation Restructured Bonds, Series 2022A, 4%, 7/01/2035 | | | 4,289,927 | 3,962,730 |
| Commonwealth of Puerto Rico, General Obligation Restructured Bonds, Series 2022A, 4%, 7/01/2037 | | | 2,046,409 | 1,833,425 |
| Commonwealth of Puerto Rico, General Obligation Restructured Bonds, Series 2022A, 4%, 7/01/2041 | | | 5,782,333 | 4,961,542 |
| Commonwealth of Puerto Rico, General Obligation Restructured Bonds, Series 2022A, 4%, 7/01/2046 | | | 2,893,588 | 2,407,895 |
| Puerto Rico Electric Power Authority Refunding Rev., “DDD”, 5%, 7/01/2020 (a)(d) | | | 525,000 | 195,563 |
| Puerto Rico Electric Power Authority Refunding Rev., “DDD”, 5%, 7/01/2021 (a)(d) | | | 8,560,000 | 3,188,600 |
| Puerto Rico Electric Power Authority Refunding Rev., “DDD”, 5%, 7/01/2022 (a)(d) | | | 14,860,000 | 5,535,350 |
| Puerto Rico Electric Power Authority Refunding Rev., “NN”, NPFG, 4.75%, 7/01/2033 | | | 1,530,000 | 1,486,350 |
| Puerto Rico Electric Power Authority Refunding Rev., “PP”, NPFG, 5%, 7/01/2024 | | | 270,000 | 270,055 |
| Puerto Rico Electric Power Authority Refunding Rev., “PP”, NPFG, 5%, 7/01/2025 | | | 260,000 | 260,053 |
| Puerto Rico Electric Power Authority Refunding Rev., “VV”, NPFG, 5.25%, 7/01/2025 | | | 475,000 | 470,019 |
| Puerto Rico Electric Power Authority Refunding Rev., “VV”, NPFG, 5.25%, 7/01/2026 | | | 1,260,000 | 1,243,449 |
| Puerto Rico Electric Power Authority Refunding Rev., “VV”, NPFG, 5.25%, 7/01/2029 | | | 5,090,000 | 5,035,325 |
| Puerto Rico Electric Power Authority Refunding Rev., “VV”, NPFG, 5.25%, 7/01/2030 | | | 5,270,000 | 5,209,094 |
| Puerto Rico Electric Power Authority Refunding Rev., “VV”, NPFG, 5.25%, 7/01/2034 | | | 630,000 | 620,112 |
| Puerto Rico Electric Power Authority Rev., “A”, 5%, 7/01/2029 (a)(d) | | | 27,420,000 | 10,213,950 |
| Puerto Rico Electric Power Authority Rev., “A”, 5%, 7/01/2042 (a)(d) | | | 2,965,000 | 1,104,462 |
| Puerto Rico Electric Power Authority Rev., “AAA”, 5.25%, 7/01/2021 (a)(d) | | | 1,075,000 | 400,438 |
| Puerto Rico Electric Power Authority Rev., “AAA”, 5.25%, 7/01/2030 (a)(d) | | | 500,000 | 186,250 |
| Puerto Rico Electric Power Authority Rev., “CCC”, 5.25%, 7/01/2027 (a)(d) | | | 6,605,000 | 2,460,362 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Puerto Rico - continued |
| Puerto Rico Electric Power Authority Rev., “DDD”, AGM, 3.65%, 7/01/2024 | | $ | 2,345,000 | $2,319,069 |
| Puerto Rico Electric Power Authority Rev., “RR”, AGM, 5%, 7/01/2028 | | | 185,000 | 186,233 |
| Puerto Rico Electric Power Authority Rev., “SS”, AGM, 4.375%, 7/01/2030 | | | 515,000 | 498,190 |
| Puerto Rico Electric Power Authority Rev., “TT”, 5%, 7/01/2021 (a)(d) | | | 2,425,000 | 903,312 |
| Puerto Rico Electric Power Authority Rev., “TT”, 5%, 7/01/2023 (a)(d) | | | 3,275,000 | 1,219,937 |
| Puerto Rico Electric Power Authority Rev., “TT”, 5%, 7/01/2027 (a)(d) | | | 425,000 | 158,313 |
| Puerto Rico Electric Power Authority Rev., “TT”, 5%, 7/01/2037 (a)(d) | | | 11,890,000 | 4,429,025 |
| Puerto Rico Electric Power Authority Rev., “TT”, NPFG, 5%, 7/01/2024 | | | 1,230,000 | 1,230,727 |
| Puerto Rico Electric Power Authority Rev., “TT”, NPFG, 5%, 7/01/2026 | | | 65,000 | 65,038 |
| Puerto Rico Electric Power Authority Rev., “UU”, AGM, 4.25%, 7/01/2027 | | | 1,705,000 | 1,663,602 |
| Puerto Rico Electric Power Authority Rev., “WW”, 5.375%, 7/01/2022 (a)(d) | | | 445,000 | 165,763 |
| Puerto Rico Electric Power Authority Rev., “WW”, 5.25%, 7/01/2025 (a)(d) | | | 1,010,000 | 376,225 |
| Puerto Rico Electric Power Authority Rev., “XX”, 5.75%, 7/01/2036 (a)(d) | | | 4,890,000 | 1,821,525 |
| Puerto Rico Electric Power Authority Rev., “ZZ”, 5%, 7/01/2018 (a)(d) | | | 4,720,000 | 1,758,200 |
| Puerto Rico Electric Power Authority Rev., “ZZ”, 5.25%, 7/01/2023 (a)(d) | | | 5,265,000 | 1,961,212 |
| Puerto Rico Electric Power Authority Rev., “ZZ”, 5.25%, 7/01/2024 (a)(d) | | | 1,180,000 | 439,550 |
| Puerto Rico Electric Power Authority Rev., “ZZ”, 5.25%, 7/01/2026 (a)(d) | | | 3,705,000 | 1,380,112 |
| Puerto Rico Electric Power Authority Rev., Taxable, “EEE”, 6.05%, 7/01/2032 (a)(d) | | | 10,450,000 | 3,892,625 |
| Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority Rev. (Cogeneration Facilities - AES Puerto Rico Project), 6.625%, 6/01/2026 (a)(d) | | | 4,335,000 | 3,034,500 |
| Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Educational Facilities Rev. (University Plaza Project), NPFG, 5%, 7/01/2033 | | | 4,165,000 | 4,083,866 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Puerto Rico - continued |
| Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (University of Sacred Heart), 4.375%, 10/01/2031 | | $ | 525,000 | $525,489 |
| Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (University of Sacred Heart), 5%, 10/01/2042 | | | 1,330,000 | 1,332,939 |
| Puerto Rico Municipal Finance Agency, “A”, AGM, 5%, 8/01/2027 | | | 215,000 | 216,433 |
| Puerto Rico Sales Tax Financing Corp., Restructured Sales Tax Rev., “2019A-1”, 4.55%, 7/01/2040 | | | 1,542,000 | 1,490,651 |
| Puerto Rico Sales Tax Financing Corp., Restructured Sales Tax Rev., “2019A-1”, 4.75%, 7/01/2053 | | | 8,003,000 | 7,578,699 |
| Puerto Rico Sales Tax Financing Corp., Restructured Sales Tax Rev., “2019A-1”, 5%, 7/01/2058 | | | 98,138,000 | 95,514,133 |
| Puerto Rico Sales Tax Financing Corp., Restructured Sales Tax Rev., “2019A-2”, 4.329%, 7/01/2040 | | | 14,758,000 | 13,892,215 |
| Puerto Rico Sales Tax Financing Corp., Restructured Sales Tax Rev., “2019A-2”, 4.329%, 7/01/2040 | | | 9,598,000 | 9,034,929 |
| Puerto Rico Sales Tax Financing Corp., Restructured Sales Tax Rev., “2019A-2”, 4.536%, 7/01/2053 | | | 298,000 | 272,447 |
| Puerto Rico Sales Tax Financing Corp., Restructured Sales Tax Rev., “2019A-2”, 4.784%, 7/01/2058 | | | 3,802,000 | 3,579,645 |
| Puerto Rico Sales Tax Financing Corp., Restructured Sales Tax Rev., Capital Appreciation, “2019A-1”, 0%, 7/01/2024 | | | 175,000 | 168,787 |
| Puerto Rico Sales Tax Financing Corp., Restructured Sales Tax Rev., Capital Appreciation, “2019A-1”, 0%, 7/01/2027 | | | 2,598,000 | 2,217,431 |
| Puerto Rico Sales Tax Financing Corp., Restructured Sales Tax Rev., Capital Appreciation, “2019A-1”, 0%, 7/01/2029 | | | 825,000 | 644,176 |
| Puerto Rico Sales Tax Financing Corp., Restructured Sales Tax Rev., Capital Appreciation, “2019A-1”, 0%, 7/01/2031 | | | 20,100,000 | 14,328,882 |
| Puerto Rico Sales Tax Financing Corp., Restructured Sales Tax Rev., Capital Appreciation, “2019A-1”, 0%, 7/01/2033 | | | 20,115,000 | 13,053,151 |
| Puerto Rico Sales Tax Financing Corp., Restructured Sales Tax Rev., Capital Appreciation, “2019A-1”, 0%, 7/01/2046 | | | 25,857,000 | 7,375,645 |
| University of Puerto Rico Rev., “P”, NPFG, 5%, 6/01/2025 | | | 595,000 | 595,645 |
| | | | | $274,572,270 |
| Rhode Island - 0.1% |
| Rhode Island Student Loan Authority, Education Loan Rev., “A”, 2.25%, 12/01/2039 | | $ | 2,290,000 | $1,909,357 |
| Rhode Island Student Loan Authority, Student Loan Rev., “A”, 3.5%, 12/01/2034 | | | 1,120,000 | 1,084,915 |
| | | | | $2,994,272 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| South Carolina - 1.0% |
| Berkeley County, SC, Assessment Rev. (Nexton Improvement District), 4%, 11/01/2030 (n) | | $ | 425,000 | $401,876 |
| Berkeley County, SC, Assessment Rev. (Nexton Improvement District), 4.25%, 11/01/2040 (n) | | | 1,000,000 | 866,846 |
| Berkeley County, SC, Assessment Rev. (Nexton Improvement District), 4.375%, 11/01/2049 (n) | | | 500,000 | 413,271 |
| South Carolina Jobs & Economic Development Authority, Educational Facilities Rev. (Green Charter Schools Project), “A”, 4%, 6/01/2036 (n) | | | 520,000 | 433,995 |
| South Carolina Jobs & Economic Development Authority, Educational Facilities Rev. (Green Charter Schools Project), “A”, 4%, 6/01/2046 (n) | | | 330,000 | 234,668 |
| South Carolina Jobs & Economic Development Authority, Educational Facilities Rev. (Green Charter Schools Project), “A”, 4%, 6/01/2056 (n) | | | 1,195,000 | 778,575 |
| South Carolina Jobs & Economic Development Authority, Health Facilities Rev. (Lutheran Homes of South Carolina, Inc.), 5.125%, 5/01/2048 | | | 805,000 | 639,674 |
| South Carolina Jobs & Economic Development Authority, Health Facilities Rev. (Lutheran Homes of South Carolina, Inc.), “B”, 5%, 5/01/2037 | | | 925,000 | 803,847 |
| South Carolina Jobs & Economic Development Authority, Health Facilities Rev. (Wesley Commons), 5%, 10/01/2036 (n) | | | 5,735,000 | 5,311,202 |
| South Carolina Jobs & Economic Development Authority, Hospital Facilities Rev. (Bon Secours Mercy Health, Inc.), “A”, 4%, 12/01/2044 | | | 6,215,000 | 6,032,347 |
| South Carolina Jobs & Economic Development Authority, Hospital Rev. (Hampton Regional Medical Center Project), 4%, 11/01/2029 | | | 3,240,000 | 3,241,621 |
| South Carolina Jobs & Economic Development Authority, Hospital Rev. (Hampton Regional Medical Center Project), 5%, 11/01/2033 | | | 3,570,000 | 3,652,525 |
| South Carolina Jobs & Economic Development Authority, Hospital Rev. (Hampton Regional Medical Center Project), 5%, 11/01/2037 | | | 1,380,000 | 1,382,514 |
| South Carolina Jobs & Economic Development Authority, Hospital Rev. (Hampton Regional Medical Center Project), 5%, 11/01/2042 | | | 3,515,000 | 3,252,937 |
| South Carolina Jobs & Economic Development Authority, Hospital Rev. (Hampton Regional Medical Center Project), 5%, 11/01/2046 | | | 1,905,000 | 1,736,612 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| South Carolina - continued |
| South Carolina Jobs & Economic Development Authority, Residential Care Facilities Rev. (Episcopal Home at Still Hopes), 5%, 4/01/2047 | | $ | 3,480,000 | $2,923,324 |
| South Carolina Jobs & Economic Development Authority, Residential Care Facilities Rev. (Episcopal Home at Still Hopes), 5%, 4/01/2048 | | | 1,500,000 | 1,252,472 |
| South Carolina Jobs & Economic Development Authority, Residential Care Facilities Rev. (Episcopal Home at Still Hopes), 5%, 4/01/2052 | | | 2,610,000 | 2,132,670 |
| South Carolina Jobs & Economic Development Authority, Residential Care Facilities Rev. (Episcopal Home at Still Hopes), 5.25%, 4/01/2053 | | | 4,060,000 | 3,437,957 |
| South Carolina Ports Authority Rev., 5.25%, 7/01/2050 (Prerefunded 7/01/2025) | | | 1,485,000 | 1,528,132 |
| Spartanburg County, SC, Regional Health Services District Hospital Rev., “A”, 5%, 4/15/2048 | | | 1,330,000 | 1,356,250 |
| Spartanburg County, SC, Regional Health Services District Hospital Rev., “A”, AGM, 4%, 4/15/2045 | | | 1,200,000 | 1,145,879 |
| | | | | $42,959,194 |
| Tennessee - 1.0% |
| Knox County, TN, Health, Educational & Housing Facility Board Rev. (University Health Systems, Inc.), 5%, 4/01/2030 | | $ | 680,000 | $707,522 |
| Knox County, TN, Health, Educational & Housing Facility Board Rev. (University Health Systems, Inc.), 5%, 4/01/2031 | | | 800,000 | 832,449 |
| Knox County, TN, Health, Educational & Housing Facility Board Rev. (University Health Systems, Inc.), 5%, 4/01/2036 | | | 1,380,000 | 1,423,073 |
| Memphis-Shelby County, TN, Economic Development Growth Engine Industrial Development Board, Senior Tax Rev. (Graceland Project), “A”, 4.75%, 7/01/2027 | | | 590,000 | 500,523 |
| Memphis-Shelby County, TN, Economic Development Growth Engine Industrial Development Board, Senior Tax Rev. (Graceland Project), “A”, 5.5%, 7/01/2037 | | | 3,425,000 | 2,379,137 |
| Memphis-Shelby County, TN, Economic Development Growth Engine Industrial Development Board, Senior Tax Rev. (Graceland Project), “A”, 5.625%, 1/01/2046 | | | 250,000 | 149,490 |
| Metropolitan Government of Nashville & Davidson County, TN, Health & Educational Facilities Board Rev., Refunding & Improvement (Trevecca Nazarene University Project), 5%, 10/01/2034 | | | 240,000 | 247,581 |
| Shelby County, TN, Health, Educational & Housing Board Residential Care Facility Mortgage Rev. (Village at Germantown), 5%, 12/01/2034 | | | 500,000 | 475,848 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Tennessee - continued |
| Shelby County, TN, Health, Educational & Housing Board Residential Care Facility Mortgage Rev. (Village at Germantown), 5.25%, 12/01/2044 | | $ | 1,000,000 | $906,987 |
| Shelby County, TN, New Memphis Arena Public Building Authority, Local Government Public Improvement (City of Memphis Project), Capital Appreciation, 0%, 4/01/2032 | | | 610,000 | 438,699 |
| Shelby County, TN, New Memphis Arena Public Building Authority, Local Government Public Improvement (City of Memphis Project), Capital Appreciation, 0%, 4/01/2033 | | | 875,000 | 602,298 |
| Shelby County, TN, New Memphis Arena Public Building Authority, Local Government Public Improvement (City of Memphis Project), Capital Appreciation, 0%, 4/01/2034 | | | 520,000 | 342,168 |
| Shelby County, TN, New Memphis Arena Public Building Authority, Local Government Public Improvement (City of Memphis Project), Capital Appreciation, 0%, 4/01/2035 | | | 680,000 | 424,133 |
| Shelby County, TN, New Memphis Arena Public Building Authority, Local Government Public Improvement (City of Memphis Project), Capital Appreciation, 0%, 4/01/2036 | | | 650,000 | 381,481 |
| Shelby County, TN, New Memphis Arena Public Building Authority, Local Government Public Improvement (City of Memphis Project), Capital Appreciation, 0%, 4/01/2037 | | | 780,000 | 429,338 |
| Shelby County, TN, New Memphis Arena Public Building Authority, Local Government Public Improvement (City of Memphis Project), Capital Appreciation, 0%, 4/01/2038 | | | 650,000 | 335,311 |
| Tennergy Corp., TN, Gas Supply Rev., “A”, 5.5%, 10/01/2053 (Put Date 12/01/2030) | | | 13,735,000 | 14,568,109 |
| Tennessee Energy Acquisition Corp., Gas Project Rev., “A-1”, 5%, 5/01/2053 (Put Date 5/01/2028) | | | 15,000,000 | 15,451,799 |
| Tennessee Housing Development Agency, Residential Finance Program Rev., “3”, 4.25%, 7/01/2049 | | | 1,380,000 | 1,373,806 |
| | | | | $41,969,752 |
| Texas - 7.0% |
| Arlington, TX, Higher Education Finance Corp. Education Rev. (Basis Texas Charter Schools, Inc.), “A”, 4%, 6/15/2030 (n) | | $ | 985,000 | $912,019 |
| Arlington, TX, Higher Education Finance Corp. Education Rev. (Basis Texas Charter Schools, Inc.), “A”, 4%, 6/15/2040 (n) | | | 3,620,000 | 2,921,248 |
| Arlington, TX, Higher Education Finance Corp. Education Rev. (Basis Texas Charter Schools, Inc.), “A”, 4%, 6/15/2050 (n) | | | 5,810,000 | 4,231,765 |
| Arlington, TX, Higher Education Finance Corp. Education Rev. (Brooks Academies of Texas), “A”, 4%, 6/15/2031 (n) | | | 4,035,000 | 3,713,057 |
| Arlington, TX, Higher Education Finance Corp. Education Rev. (Brooks Academies of Texas), “A”, 5%, 6/15/2041 (n) | | | 8,445,000 | 7,611,951 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Texas - continued |
| Arlington, TX, Higher Education Finance Corp. Education Rev. (Brooks Academies of Texas), “A”, 5%, 6/15/2051 (n) | | $ | 3,500,000 | $2,954,001 |
| Arlington, TX, Higher Education Finance Corp. Education Rev. (Newman International Academy), “A”, 4%, 8/15/2031 | | | 355,000 | 321,209 |
| Arlington, TX, Higher Education Finance Corp. Education Rev. (Newman International Academy), “A”, 5%, 8/15/2041 | | | 900,000 | 800,713 |
| Arlington, TX, Higher Education Finance Corp. Education Rev. (Newman International Academy), “A”, 5%, 8/15/2051 | | | 1,500,000 | 1,260,312 |
| Arlington, TX, Higher Education Finance Corp. Education Rev. (UME Preparatory Academy), “A”, 5%, 8/15/2038 | | | 1,060,000 | 998,988 |
| Arlington, TX, Higher Education Finance Corp. Education Rev. (UME Preparatory Academy), “A”, 5%, 8/15/2048 | | | 1,750,000 | 1,555,712 |
| Arlington, TX, Higher Education Finance Corp. Education Rev. (UME Preparatory Academy), “A”, 5%, 8/15/2053 | | | 1,695,000 | 1,481,488 |
| Arlington, TX, Higher Education Finance Corp. Rev. (Basis Charter Schools, Inc.), 4.5%, 6/15/2056 (Put Date 6/15/2026) (n) | | | 900,000 | 890,898 |
| Arlington, TX, Higher Education Finance Corp. Rev. (Newman International Academy), “A”, 5.375%, 8/15/2036 | | | 820,000 | 789,053 |
| Arlington, TX, Higher Education Finance Corp. Rev. (Newman International Academy), “A”, 5.5%, 8/15/2046 | | | 3,680,000 | 3,404,336 |
| Arlington, TX, Senior Lien Special Tax Rev., “A”, AGM, 5%, 2/15/2037 | | | 800,000 | 850,556 |
| Arlington, TX, Senior Lien Special Tax Rev., “A”, AGM, 5%, 2/15/2038 | | | 655,000 | 692,625 |
| Austin, TX, Airport System Rev., “B”, 5%, 11/15/2041 | | | 930,000 | 942,520 |
| Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, 5%, 1/01/2029 | | | 890,000 | 907,697 |
| Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, 5%, 1/01/2031 | | | 1,325,000 | 1,353,532 |
| Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, 5%, 1/01/2034 | | | 260,000 | 259,931 |
| Austin, TX, Convention Center (Convention Enterprises, Inc.), “B”, 5%, 1/01/2026 | | | 615,000 | 609,834 |
| Austin, TX, Convention Center (Convention Enterprises, Inc.), “B”, 5%, 1/01/2028 | | | 400,000 | 398,389 |
| Austin, TX, Convention Center (Convention Enterprises, Inc.), “B”, 5%, 1/01/2030 | | | 585,000 | 584,317 |
| Brazos, TX, Higher Education Authority, Inc., Student Loan Program Rev., “1A”, 2.35%, 4/01/2040 | | | 50,000 | 49,723 |
| Brazos, TX, Higher Education Authority, Inc., Student Loan Program Rev., “1A”, 3%, 4/01/2040 | | | 1,100,000 | 831,974 |
| Brazos, TX, Higher Education Authority, Inc., Student Loan Program Rev., Taxable, “1A”, 3.414%, 4/01/2040 | | | 95,000 | 94,474 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Texas - continued |
| Central Texas Regional Mobility Authority Senior Lien Rev., “A”, 5%, 1/01/2045 (Prerefunded 7/01/2025) | | $ | 1,315,000 | $1,360,726 |
| Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 6%, 8/15/2033 | | | 845,000 | 846,688 |
| Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 6%, 8/15/2043 | | | 1,850,000 | 1,852,665 |
| Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 3.375%, 12/01/2024 | | | 125,000 | 122,633 |
| Conroe, TX, Local Government Corp., First Lien Hotel Rev. (Convention Center Hotel), “A”, 2.5%, 10/01/2031 | | | 470,000 | 396,173 |
| Conroe, TX, Local Government Corp., First Lien Hotel Rev. (Convention Center Hotel), “A”, 4%, 10/01/2050 | | | 1,540,000 | 1,233,773 |
| Conroe, TX, Local Government Corp., Second Lien Hotel Rev. (Convention Center Hotel), “B”, 3.5%, 10/01/2031 (n) | | | 385,000 | 327,749 |
| Conroe, TX, Local Government Corp., Second Lien Hotel Rev. (Convention Center Hotel), “B”, 5%, 10/01/2050 (n) | | | 730,000 | 598,759 |
| Conroe, TX, Local Government Corp., Third Lien Hotel Rev. (Convention Center Hotel), “C”, 4%, 10/01/2041 | | | 310,000 | 305,130 |
| Conroe, TX, Local Government Corp., Third Lien Hotel Rev. (Convention Center Hotel), “C”, 4%, 10/01/2046 | | | 365,000 | 345,748 |
| Cypress-Fairbanks, TX, Independent School District, Unlimited Tax School Building, Texas PSF, 4%, 2/15/2048 | | | 1,970,000 | 1,931,536 |
| Ector County, TX, Hospital District General Obligation Refunding, 5%, 9/15/2033 | | | 550,000 | 580,262 |
| Ector County, TX, Hospital District General Obligation Refunding, 4%, 9/15/2034 | | | 1,270,000 | 1,247,235 |
| Fredericksburg, TX, Independent School District, Unlimited Tax School Building, Texas PSF, 4%, 2/15/2052 | | | 4,945,000 | 4,733,463 |
| Gulf Coast, TX, Industrial Development Authority Rev. (CITGO Petroleum Corp.), 4.875%, 5/01/2025 | | | 2,845,000 | 2,836,087 |
| Gulf Coast, TX, Industrial Development Authority Rev. (CITGO Petroleum Corp.), 8%, 4/01/2028 | | | 875,000 | 875,739 |
| Harris County, TX, Cultural Education Facilities Finance Corp., Hospital Rev. (Memorial Hermann Health System), “A”, 4.125%, 7/01/2052 | | | 10,140,000 | 9,706,075 |
| Harris County-Houston, TX, Sports Authority Rev., “C”, 5%, 11/15/2032 | | | 185,000 | 187,473 |
| Harris County-Houston, TX, Sports Authority Rev., “C”, 5%, 11/15/2033 | | | 450,000 | 455,913 |
| Harris County-Houston, TX, Sports Authority Rev., Capital Appreciation, “A”, AGM, 0%, 11/15/2034 | | | 5,165,000 | 3,019,974 |
| Harris County-Houston, TX, Sports Authority Rev., Capital Appreciation, “A”, AGM, 0%, 11/15/2038 | | | 40,280,000 | 17,745,092 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Texas - continued |
| Harris County-Houston, TX, Sports Authority Rev., Capital Appreciation, “A”, AGM, 0%, 11/15/2041 | | $ | 745,000 | $314,510 |
| Harris County-Houston, TX, Sports Authority Rev., Capital Appreciation, “A”, AGM, 0%, 11/15/2046 | | | 1,865,000 | 597,341 |
| Houston, TX, Airport System Rev., Special Facilities Rev. (Continental Airlines, Inc.), 6.625%, 7/15/2038 | | | 7,680,000 | 7,703,740 |
| Houston, TX, Airport System Rev., Special Facilities Rev. (United Airlines, Inc. Terminal E Project), 5%, 7/01/2029 | | | 160,000 | 160,411 |
| Houston, TX, Airport System Rev., Special Facilities Rev. (United Airlines, Inc. Terminal E Project), “A”, 5%, 7/01/2027 | | | 730,000 | 737,317 |
| Houston, TX, Airport System Rev., Special Facilities Rev. (United Airlines, Inc. Terminal Improvement Projects), “B-1”, 5%, 7/15/2030 | | | 16,260,000 | 16,364,898 |
| Houston, TX, Airport System Rev., Special Facilities Rev. (United Airlines, Inc. Terminal Improvement Projects), “B-2”, 5%, 7/15/2027 | | | 1,005,000 | 1,015,272 |
| Houston, TX, Higher Education Finance Corp. University Rev. (Houston Baptist University Project), 3.375%, 10/01/2037 | | | 260,000 | 223,102 |
| Houston, TX, Higher Education Finance Corp. University Rev. (Houston Baptist University Project), 4%, 10/01/2051 | | | 880,000 | 742,838 |
| Irving, TX, Hotel Occupancy Tax Rev., 5%, 8/15/2035 | | | 190,000 | 199,015 |
| Irving, TX, Hotel Occupancy Tax Rev., 5%, 8/15/2037 | | | 285,000 | 293,146 |
| Irving, TX, Hotel Occupancy Tax Rev., 5%, 8/15/2038 | | | 310,000 | 316,871 |
| Irving, TX, Hotel Occupancy Tax Rev., 5%, 8/15/2043 | | | 565,000 | 570,183 |
| Mission, TX, Economic Development Corp. (NatGasoline Project), 4.625%, 10/01/2031 (n) | | | 4,240,000 | 4,128,678 |
| Mission, TX, Economic Development Corp., Solid Waste Disposal Rev. (Waste Management, Inc. Project), 4.25%, 6/01/2048 (Put Date 6/03/2024) | | | 2,855,000 | 2,858,246 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Capital Improvement Rev. (CHF - Collegiate Housing Denton LLC - Texas Woman's University Housing Project), “A-1”, AGM, 5%, 7/01/2038 | | | 460,000 | 469,554 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Capital Improvement Rev. (CHF - Collegiate Housing Denton LLC - Texas Woman's University Housing Project), “A-1”, AGM, 5%, 7/01/2058 | | | 1,685,000 | 1,695,009 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Education Rev. (Beta Academy), “A”, 3.375%, 8/15/2029 (n) | | | 705,000 | 636,678 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Education Rev. (Beta Academy), “A”, 5%, 8/15/2039 (n) | | | 2,550,000 | 2,436,161 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Education Rev. (Beta Academy), “A”, 5%, 8/15/2049 (n) | | | 1,555,000 | 1,396,565 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Texas - continued |
| New Hope, TX, Cultural Education Facilities Finance Corp., Education Rev. (Cumberland Academy), “A”, 5%, 8/15/2040 (n) | | $ | 3,500,000 | $3,192,356 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Education Rev. (Cumberland Academy), “A”, 5%, 8/15/2050 (n) | | | 3,000,000 | 2,572,562 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Education Rev. (Jubilee Academic Center), 4%, 8/15/2046 (n) | | | 3,040,000 | 2,320,591 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Longhorn Village Project), 5%, 1/01/2037 | | | 2,000,000 | 1,871,636 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Longhorn Village Project), 5%, 1/01/2042 | | | 3,000,000 | 2,705,313 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Morningside Ministries Project), 4%, 1/01/2032 | | | 430,000 | 366,908 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Morningside Ministries Project), 4%, 1/01/2037 | | | 585,000 | 458,934 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Morningside Ministries Project), 4%, 1/01/2042 | | | 925,000 | 677,142 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Morningside Ministries Project), 4%, 1/01/2047 | | | 1,505,000 | 1,038,932 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Morningside Ministries Project), 4.25%, 1/01/2057 | | | 3,225,000 | 2,114,635 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Morningside Ministries Project), 5%, 1/01/2057 | | | 2,100,000 | 1,614,669 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (MRC Senior Living - Langford Project), “A”, 5%, 11/15/2026 | | | 270,000 | 260,319 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (MRC Senior Living - Langford Project), “A”, 5.375%, 11/15/2036 | | | 1,250,000 | 1,095,653 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (MRC Senior Living - Langford Project), “A”, 5.5%, 11/15/2046 | | | 835,000 | 683,799 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (MRC Senior Living - Langford Project), “A”, 5.5%, 11/15/2052 | | | 960,000 | 764,700 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Texas - continued |
| New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Wesleyan Homes, Inc. Project), 3%, 1/01/2024 | | $ | 75,000 | $73,976 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Wesleyan Homes, Inc. Project), 4%, 1/01/2029 | | | 440,000 | 385,495 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Wesleyan Homes, Inc. Project), 5.5%, 1/01/2035 | | | 1,325,000 | 1,180,979 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Wesleyan Homes, Inc. Project), 5%, 1/01/2039 | | | 655,000 | 520,018 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Wesleyan Homes, Inc. Project), 5.5%, 1/01/2043 | | | 3,630,000 | 2,963,654 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Wesleyan Homes, Inc. Project), 5.5%, 1/01/2049 | | | 1,470,000 | 1,145,092 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Wesleyan Homes, Inc. Project), 5%, 1/01/2050 | | | 780,000 | 556,445 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Wesleyan Homes, Inc. Project), 5%, 1/01/2055 | | | 2,050,000 | 1,421,330 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (CHF - Collegiate Housing Stephenville III LLC - Tarleton State University Project), 5%, 4/01/2030 (Prerefunded 4/01/2025) | | | 310,000 | 318,729 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (CHF - Collegiate Housing Stephenville III LLC - Tarleton State University Project), 5%, 4/01/2035 (Prerefunded 4/01/2025) | | | 310,000 | 318,729 |
| New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (CHF - Collegiate Housing Stephenville III LLC - Tarleton State University Project), 5%, 4/01/2047 (Prerefunded 4/01/2025) | | | 770,000 | 791,681 |
| Newark, TX, Higher Education Finance Corp. Rev. (A+ Charter Schools, Inc.), “A”, 5.5%, 8/15/2035 (n) | | | 1,530,000 | 1,572,185 |
| Newark, TX, Higher Education Finance Corp. Rev. (A+ Charter Schools, Inc.), “A”, 5.75%, 8/15/2045 (n) | | | 2,250,000 | 2,296,980 |
| Peaster, TX, Independent School District, Unlimited Tax School Building Bonds, Texas PSF, 3%, 8/15/2051 | | | 3,250,000 | 2,436,182 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Texas - continued |
| Port Beaumont, TX, Industrial Development Authority Facility Rev., Taxable (Jefferson Gulf Coast Energy Project), “B”, 4.1%, 1/01/2028 (n) | | $ | 23,050,000 | $18,313,640 |
| Port Beaumont, TX, Navigation District, Dock & Wharf Facility Rev. (Jefferson Gulf Coast Energy Project), “A”, 3.625%, 1/01/2035 (n) | | | 3,655,000 | 2,917,513 |
| Port Beaumont, TX, Navigation District, Dock & Wharf Facility Rev. (Jefferson Gulf Coast Energy Project), “A”, 3%, 1/01/2050 (n) | | | 1,940,000 | 1,133,080 |
| Port Beaumont, TX, Navigation District, Dock & Wharf Facility Rev. (Jefferson Gulf Coast Energy Project), “A”, 4%, 1/01/2050 (n) | | | 11,680,000 | 8,325,671 |
| Port Beaumont, TX, Navigation District, Dock & Wharf Facility Rev. Taxable (Jefferson Gulf Coast Energy Project), “A”, 6%, 1/01/2025 (n) | | | 10,945,000 | 10,310,881 |
| Red River, TX, Education Finance Corp., Higher Education Rev. (Houston Baptist University Project), 5.5%, 10/01/2046 | | | 9,170,000 | 9,363,913 |
| Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (MRC Crossings Project), “A”, 7.5%, 11/15/2034 (Prerefunded 11/15/2024) | | | 1,075,000 | 1,130,912 |
| Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (MRC Crossings Project), “A”, 7.75%, 11/15/2044 (Prerefunded 11/15/2024) | | | 1,970,000 | 2,078,607 |
| Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (MRC Crossings Project), “A”, 8%, 11/15/2049 (Prerefunded 11/15/2024) | | | 1,680,000 | 1,776,767 |
| SA Energy Acquisition Public Facility Corp. (Gas Supply Revenue Bonds), 5.5%, 8/01/2027 | | | 4,000,000 | 4,170,253 |
| San Antonio, TX, Airport System Rev., “A”, 5%, 7/01/2031 | | | 540,000 | 581,410 |
| San Antonio, TX, Airport System Rev., “A”, 5%, 7/01/2032 | | | 540,000 | 580,959 |
| San Antonio, TX, Passenger Facility Charge and Subordinate Lien Airport System Rev., “A”, 5%, 7/01/2031 | | | 485,000 | 522,192 |
| San Antonio, TX, Passenger Facility Charge and Subordinate Lien Airport System Rev., “A”, 5%, 7/01/2032 | | | 595,000 | 640,131 |
| Tarrant County, TX, Cultural Education Facilities Finance Corp. (Christus Health), “A”, 4%, 7/01/2053 | | | 11,230,000 | 10,521,212 |
| Tarrant County, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Barton Creek Senior Living Center, Inc., Querencia Project), 5%, 11/15/2030 | | | 1,500,000 | 1,483,669 |
| Tarrant County, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Barton Creek Senior Living Center, Inc., Querencia Project), 5%, 11/15/2035 | | | 3,345,000 | 3,211,193 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Texas - continued |
| Tarrant County, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Stayton at Museum Way), 5.75%, 12/01/2054 (a)(d) | | $ | 22,954,217 | $14,920,241 |
| Tarrant County, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Trinity Terrace Project), “A-1”, 5%, 10/01/2044 | | | 2,525,000 | 2,470,048 |
| Temple, TX, Reinvestment Zone 1 Rev., “A”, BAM, 4%, 8/01/2040 | | | 415,000 | 413,258 |
| Texas Department of Housing & Community Affairs, Residential Mortgage Rev., “A”, 4.75%, 1/01/2049 (u) | | | 3,855,000 | 3,883,071 |
| Texas Department of Housing & Community Affairs, Single Family Mortgage Rev., “A”, 4.75%, 3/01/2049 (u) | | | 2,045,000 | 2,056,681 |
| Texas Municipal Gas Acquisition and Supply Corp. III, Gas Supply Rev., 5%, 12/15/2030 | | | 1,135,000 | 1,171,353 |
| Texas Municipal Gas Acquisition and Supply Corp. III, Gas Supply Rev., 5%, 12/15/2031 | | | 3,255,000 | 3,370,443 |
| Texas Private Activity Surface Transportation Corp., Senior Lien Rev. (NTE Mobility Partners Segments 3 LLC Segments 3A & 3B Facility), 7%, 12/31/2038 | | | 1,375,000 | 1,378,319 |
| Texas Private Activity Surface Transportation Corp., Senior Lien Rev. (NTE Mobility Partners Segments 3 LLC Segments 3A & 3B Facility), 6.75%, 6/30/2043 | | | 1,105,000 | 1,107,312 |
| Texas Rockwall Independent School District, Unlimited Tax School Building, Texas PSF, 4%, 2/15/2053 | | | 2,130,000 | 2,037,262 |
| Texas State Technical College System Rev., Financing System Improvement, “A”, AGM, 5.5%, 8/01/2042 | | | 1,595,000 | 1,794,942 |
| Texas State Technical College System Rev., Financing System Improvement, “A”, AGM, 5.75%, 8/01/2047 | | | 2,275,000 | 2,576,185 |
| Texas State Technical College System Rev., Financing System Improvement, “A”, AGM, 6%, 8/01/2054 | | | 2,185,000 | 2,496,446 |
| Texas Transportation Commission, Central Texas Turnpike System Rev., Capital Appreciation, “B”, 0%, 8/15/2036 | | | 4,605,000 | 2,517,927 |
| Texas Transportation Commission, State Highway 249 System Rev., “A”, 5%, 8/01/2057 | | | 5,725,000 | 5,768,632 |
| Texas Transportation Commission, State Highway 249 System Rev., Capital Appreciation, “A”, 0%, 8/01/2037 | | | 640,000 | 339,022 |
| Texas Transportation Commission, State Highway 249 System Rev., Capital Appreciation, “A”, 0%, 8/01/2038 | | | 470,000 | 233,984 |
| Texas Transportation Commission, State Highway 249 System Rev., Capital Appreciation, “A”, 0%, 8/01/2039 | | | 520,000 | 244,375 |
| Texas Transportation Commission, State Highway 249 System Rev., Capital Appreciation, “A”, 0%, 8/01/2040 | | | 520,000 | 230,504 |
| Texas Transportation Commission, State Highway 249 System Rev., Capital Appreciation, “A”, 0%, 8/01/2041 | | | 1,040,000 | 435,784 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Texas - continued |
| Texas Transportation Commission, State Highway 249 System Rev., Capital Appreciation, “A”, 0%, 8/01/2042 | | $ | 1,430,000 | $569,128 |
| Texas Transportation Commission, State Highway 249 System Rev., Capital Appreciation, “A”, 0%, 8/01/2043 | | | 1,170,000 | 440,710 |
| White Settlement, TX, Independent School District, Unlimited Tax School Building Bonds, Texas PSF, 4%, 8/15/2052 | | | 2,475,000 | 2,333,687 |
| | | | | $302,561,691 |
| U.S. Virgin Islands - 0.0% |
| Matching Fund Special Purpose Securitization Corp., “A”, 5%, 10/01/2025 | | $ | 370,000 | $375,046 |
| Matching Fund Special Purpose Securitization Corp., “A”, 5%, 10/01/2026 | | | 1,755,000 | 1,776,017 |
| | | | | $2,151,063 |
| Utah - 0.4% |
| Utah Charter School Finance Authority, Charter School Rev. (Bridge Elementary Project), “A”, 4%, 6/15/2031 (n) | | $ | 550,000 | $492,826 |
| Utah Charter School Finance Authority, Charter School Rev. (Bridge Elementary Project), “A”, 4%, 6/15/2041 (n) | | | 890,000 | 677,815 |
| Utah Charter School Finance Authority, Charter School Rev. (Bridge Elementary Project), “A”, 4.25%, 6/15/2051 (n) | | | 1,315,000 | 941,528 |
| Utah Charter School Finance Authority, Charter School Rev. (Mountain Sunrise Academy), “A”, 4%, 12/15/2041 (n) | | | 2,770,000 | 2,092,106 |
| Utah Charter School Finance Authority, Charter School Rev. (Mountain Sunrise Academy), “A”, 4%, 12/15/2051 (n) | | | 4,120,000 | 2,801,215 |
| Utah Charter School Finance Authority, Charter School Rev. (Mountain Sunrise Academy), “A”, 4%, 12/15/2056 (n) | | | 2,770,000 | 1,811,600 |
| Utah Charter School Finance Authority, Charter School Rev. (Reagan Academy Project), 5%, 2/15/2036 (n) | | | 1,530,000 | 1,493,786 |
| Utah Charter School Finance Authority, Charter School Rev. (Reagan Academy Project), 5%, 2/15/2046 (n) | | | 1,285,000 | 1,191,597 |
| Utah Charter School Finance Authority, Charter School Rev. (Reagan Academy Project), “A”, 3.5%, 2/15/2026 (n) | | | 185,000 | 178,549 |
| Utah Charter School Finance Authority, Charter School Rev. (Summit Academy, Inc.), “A”, 5%, 4/15/2049 | | | 650,000 | 663,951 |
| Utah Housing Corp., Tax Exempt Mortgage-Backed Securities, “G”, GNMA, 4.5%, 7/21/2049 | | | 947,423 | 933,661 |
| Utah Housing Corp., Tax Exempt Mortgage-Backed Securities, “H”, GNMA, 4.5%, 8/21/2049 | | | 586,415 | 572,646 |
| Utah Housing Corp., Tax Exempt Mortgage-Backed Securities, “I”, GNMA, 4%, 9/21/2049 | | | 934,145 | 900,826 |
| Utah Housing Corp., Tax Exempt Mortgage-Backed Securities, “I”, GNMA, 2.5%, 8/21/2051 | | | 3,759,649 | 3,214,089 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Utah - continued |
| Utah Housing Corp., Tax-Exempt Mortgage-Backed Securities, “G”, GNMA, 3.5%, 2/21/2050 | | $ | 1,263,191 | $1,188,841 |
| | | | | $19,155,036 |
| Vermont - 0.2% |
| Vermont Economic Development Authority, Solid Waste Disposal Rev. (Casella Waste Systems, Inc.), 4.625%, 4/01/2036 (Put Date 4/03/2028) (n) | | $ | 2,445,000 | $2,410,075 |
| Vermont Student Assistance Corp., Education Loan Rev., “A”, 3.625%, 6/15/2029 | | | 195,000 | 192,870 |
| Vermont Student Assistance Corp., Education Loan Rev., “A”, 3.75%, 6/15/2030 | | | 220,000 | 217,645 |
| Vermont Student Assistance Corp., Education Loan Rev., “A”, 4%, 6/15/2033 | | | 200,000 | 198,028 |
| Vermont Student Assistance Corp., Education Loan Rev., “A”, 4%, 6/15/2034 | | | 220,000 | 217,849 |
| Vermont Student Assistance Corp., Education Loan Rev., “A”, 2.375%, 6/15/2039 | | | 990,000 | 909,002 |
| Vermont Student Assistance Corp., Education Loan Rev., “A”, 4.375%, 6/15/2040 | | | 1,600,000 | 1,608,138 |
| Vermont Student Assistance Corp., Education Loan Rev., “B”, 4.375%, 6/15/2046 | | | 755,000 | 648,733 |
| Vermont Student Assistance Corp., Education Loan Rev., “B”, 4%, 6/15/2047 | | | 1,740,000 | 1,424,426 |
| | | | | $7,826,766 |
| Virginia - 0.8% |
| Charles City County, VA, Industrial Development Authority, Solid Waste Disposal Rev. (Waste Management, Inc. Project), 1.45%, 4/01/2027 | | $ | 440,000 | $398,179 |
| Cherry Hill Community Development Authority, Prince William County, VA (Potomac Shores Project), 5.4%, 3/01/2045 (n) | | | 1,770,000 | 1,776,287 |
| Henrico County, VA, Economic Development Authority Rev., Residential Care Facility (Westminster-Canterbury of Richmond), “A”, 5%, 10/01/2052 | | | 2,220,000 | 2,236,502 |
| James City County, VA, Economic Development Authority, Residential Care Facility Rev. (United Methodist Homes of Williamsburg, Inc.), “A”, 4%, 6/01/2041 | | | 1,250,000 | 943,458 |
| James City County, VA, Economic Development Authority, Residential Care Facility Rev. (United Methodist Homes of Williamsburg, Inc.), “A”, 4%, 6/01/2047 | | | 2,055,000 | 1,440,373 |
| Peninsula Town Center Community Development Authority, VA, Special Obligation Refunding, 4%, 9/01/2023 (n) | | | 240,000 | 239,850 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Virginia - continued |
| Peninsula Town Center Community Development Authority, VA, Special Obligation Refunding, 4.5%, 9/01/2028 (n) | | $ | 580,000 | $574,857 |
| Peninsula Town Center Community Development Authority, VA, Special Obligation Refunding, 5%, 9/01/2037 (n) | | | 1,105,000 | 1,084,161 |
| Peninsula Town Center Community Development Authority, VA, Special Obligation Refunding, 4.5%, 9/01/2045 (n) | | | 3,675,000 | 3,246,887 |
| Peninsula Town Center Community Development Authority, VA, Special Obligation Refunding, 5%, 9/01/2045 (n) | | | 1,905,000 | 1,779,381 |
| Roanoke, VA, Economic Development Authority, Educational Facilities Rev. (Lynchburg College), “A”, 5%, 9/01/2032 | | | 1,140,000 | 1,189,906 |
| Roanoke, VA, Economic Development Authority, Educational Facilities Rev. (Lynchburg College), “A”, 5%, 9/01/2034 | | | 490,000 | 510,755 |
| Virginia College Building Authority, Educational Facilities Rev. (Marymount University Project), “B”, 5.25%, 7/01/2030 (n) | | | 2,810,000 | 2,833,249 |
| Virginia College Building Authority, Educational Facilities Rev. (Marymount University Project), “B”, 5.25%, 7/01/2035 (n) | | | 2,590,000 | 2,600,154 |
| Virginia Small Business Financing Authority Rev., 5%, 6/01/2047 | | | 1,500,000 | 1,385,975 |
| Virginia Small Business Financing Authority Rev., 5%, 6/01/2052 | | | 3,880,000 | 3,533,119 |
| Virginia Small Business Financing Authority Rev. (Obligated Group of National Senior Campuses, Inc.), “A”, 4%, 1/01/2039 | | | 6,020,000 | 5,638,999 |
| Virginia Small Business Financing Authority Rev. (Obligated Group of National Senior Campuses, Inc.), “A”, 4%, 1/01/2040 | | | 3,000,000 | 2,782,907 |
| Virginia Small Business Financing Authority Rev. (Obligated Group of National Senior Campuses, Inc.), “A”, 4%, 1/01/2045 | | | 1,965,000 | 1,748,298 |
| Virginia Small Business Financing Authority Rev., Solid Waste Disposal (Covanta Project), 5%, 1/01/2048 (Put Date 7/01/2038) (n) | | | 715,000 | 657,711 |
| West Point, VA, Industrial Development Authority, Solid Waste Disposal Rev. (Chesapeake Corp.), “A”, 6.375%, 3/01/2019 (a)(d) | | | 769,496 | 8 |
| West Point, VA, Industrial Development Authority, Solid Waste Disposal Rev. (Chesapeake Corp.), “B”, 6.25%, 3/01/2019 (a)(d) | | | 6,569,570 | 66 |
| | | | | $36,601,082 |
| Washington - 2.0% |
| Everett, WA, Housing Authority Refunding Rev. (Huntington Park Apartments Project), 4%, 7/01/2037 | | $ | 12,345,000 | $11,710,725 |
| Grays Harbor County, WA, Public Hospital District No. 2, Limited Tax General Obligation Refunding, 5%, 12/15/2033 | | | 2,675,000 | 2,816,068 |
| Grays Harbor County, WA, Public Hospital District No. 2, Limited Tax General Obligation Refunding, 5%, 12/15/2038 | | | 3,415,000 | 3,517,593 |
| Grays Harbor County, WA, Public Hospital District No. 2, Limited Tax General Obligation Refunding, 5%, 12/15/2048 | | | 6,565,000 | 6,698,433 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Washington - continued |
| Kalispel Tribe of Indians, WA, Priority District Rev., “A”, 5.25%, 1/01/2038 (n) | | $ | 2,500,000 | $2,566,916 |
| Kalispel Tribe of Indians, WA, Priority District Rev., “B”, 5%, 1/01/2032 (n) | | | 700,000 | 718,723 |
| Kalispel Tribe of Indians, WA, Priority District Rev., “B”, 5.25%, 1/01/2038 (n) | | | 900,000 | 924,090 |
| Port of Seattle, WA, Industrial Development Corp., Special Facilities Rev. (Delta Airlines, Inc.), 5%, 4/01/2030 | | | 4,000,000 | 4,001,453 |
| Seattle, WA, Port Intermediate Lien Refunding Rev., “B”, 4%, 8/01/2047 | | | 1,460,000 | 1,348,558 |
| Washington Health Care Facilities Authority Rev. (CommonSpirit Health), “A-2”, 5%, 8/01/2044 | | | 5,000,000 | 5,154,025 |
| Washington Health Care Facilities Authority Rev. (Virginia Mason Medical Center), 5%, 8/15/2034 | | | 1,215,000 | 1,248,777 |
| Washington Health Care Facilities Authority Rev. (Virginia Mason Medical Center), 5%, 8/15/2035 | | | 560,000 | 572,620 |
| Washington Health Care Facilities Authority Rev. (Virginia Mason Medical Center), 5%, 8/15/2037 | | | 1,805,000 | 1,821,073 |
| Washington Health Care Facilities Authority Rev. (Virginia Mason Medical Center), 4%, 8/15/2042 | | | 4,925,000 | 4,336,218 |
| Washington Housing Finance Commission Nonprofit Housing Refunding Rev. (Hearthstone Project), “A”, 5%, 7/01/2038 (n) | | | 830,000 | 671,181 |
| Washington Housing Finance Commission Nonprofit Housing Refunding Rev. (Hearthstone Project), “A”, 5%, 7/01/2048 (n) | | | 1,420,000 | 1,033,447 |
| Washington Housing Finance Commission Nonprofit Housing Refunding Rev. (Hearthstone Project), “A”, 5%, 7/01/2053 (n) | | | 1,375,000 | 972,189 |
| Washington Housing Finance Commission Nonprofit Housing Refunding Rev. (Judson Park Project), 4%, 7/01/2028 (n) | | | 225,000 | 207,163 |
| Washington Housing Finance Commission Nonprofit Housing Refunding Rev. (Judson Park Project), 5%, 7/01/2033 (n) | | | 225,000 | 206,777 |
| Washington Housing Finance Commission Nonprofit Housing Refunding Rev. (Judson Park Project), 5%, 7/01/2038 (n) | | | 325,000 | 281,954 |
| Washington Housing Finance Commission Nonprofit Housing Refunding Rev. (Judson Park Project), 5%, 7/01/2048 (n) | | | 450,000 | 361,589 |
| Washington Housing Finance Commission Nonprofit Housing Rev. (Presbyterian Retirement Communities Northwest Projects), “A”, 5%, 1/01/2036 (n) | | | 2,460,000 | 2,148,766 |
| Washington Housing Finance Commission Nonprofit Housing Rev. (Presbyterian Retirement Communities Northwest Projects), “A”, 5%, 1/01/2046 (n) | | | 4,675,000 | 3,691,148 |
| Washington Housing Finance Commission Nonprofit Housing Rev. (Presbyterian Retirement Communities Northwest Projects), “A”, 5%, 1/01/2051 (n) | | | 2,970,000 | 2,264,570 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Washington - continued |
| Washington Housing Finance Commission Nonprofit Housing Rev. (Wesley Homes at Lea Hill Project), 5%, 7/01/2036 (n) | | $ | 1,000,000 | $884,601 |
| Washington Housing Finance Commission Nonprofit Housing Rev. (Wesley Homes at Lea Hill Project), 5%, 7/01/2041 (n) | | | 2,000,000 | 1,668,382 |
| Washington Housing Finance Commission Nonprofit Housing Rev. (Wesley Homes at Lea Hill Project), 5%, 7/01/2046 (n) | | | 2,385,000 | 1,908,661 |
| Washington Housing Finance Commission Nonprofit Housing Rev. (Wesley Homes at Lea Hill Project), 5%, 7/01/2051 (n) | | | 3,635,000 | 2,813,949 |
| Washington State Housing Finance Commission Municipal Certificates, “A”, 3.5%, 12/20/2035 | | | 17,249,377 | 15,935,260 |
| Washington State Housing Finance Commission Municipal Certificates, “X”, 0.725%, 12/20/2035 (i) | | | 66,985,259 | 3,137,221 |
| | | | | $85,622,130 |
| West Virginia - 0.5% |
| Monongalia County, WV, Commission Special District Excise Tax Refunding & Improvement Rev. (University Town Centre Economic Opportunity Development District), “A”, 4.125%, 6/01/2043 (n) | | $ | 1,430,000 | $1,283,636 |
| Monongalia County, WV, Special District Excise Tax Rev. (University Town Centre Economic Opportunity Development District), “B”, 4.875%, 6/01/2043 (n) | | | 3,660,000 | 3,548,876 |
| Ohio County, WV, Commission Tax Increment Rev. (Fort Henry Centre), 4.75%, 6/01/2031 | | | 1,000,000 | 987,887 |
| West Virginia Hospital Finance Authority Hospital Improvement Rev. (Cabell Huntington Hospital Obligated Group), “A”, 5%, 1/01/2043 | | | 8,615,000 | 8,270,674 |
| West Virginia Hospital Finance Authority Hospital Improvement Rev. (Charleston Area Medical Center, Inc.), “A”, 5%, 9/01/2038 | | | 1,160,000 | 1,180,310 |
| West Virginia Hospital Finance Authority Hospital Improvement Rev. (Charleston Area Medical Center, Inc.), “A”, 5%, 9/01/2039 | | | 350,000 | 352,786 |
| West Virginia Hospital Finance Authority Hospital Rev. (West Virginia University Health System Obligated Group), “A”, AGM, 4%, 6/01/2051 | | | 6,660,000 | 6,293,923 |
| West Virginia Housing Development Fund, “A”, FHA, 3.45%, 11/01/2033 | | | 610,000 | 602,934 |
| West Virginia Housing Development Fund, “A”, FHA, 3.75%, 11/01/2038 | | | 585,000 | 559,672 |
| Wheeling, WV, Combined Waterworks and Sewerage System Rev., “A”, BAM, 4%, 6/01/2046 | | | 650,000 | 636,140 |
| | | | | $23,716,838 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Wisconsin - 6.5% |
| Wisconsin Center District Junior Dedicated Tax Rev., Capital Appreciation, “D”, AGM, 0%, 12/15/2032 | | $ | 725,000 | $503,939 |
| Wisconsin Center District Junior Dedicated Tax Rev., Capital Appreciation, “D”, AGM, 0%, 12/15/2033 | | | 1,105,000 | 733,508 |
| Wisconsin Center District Junior Dedicated Tax Rev., Capital Appreciation, “D”, AGM, 0%, 12/15/2034 | | | 1,050,000 | 664,634 |
| Wisconsin Center District Junior Dedicated Tax Rev., Capital Appreciation, “D”, AGM, 0%, 12/15/2035 | | | 1,580,000 | 945,862 |
| Wisconsin Center District Junior Dedicated Tax Rev., Capital Appreciation, “D”, AGM, 0%, 12/15/2036 | | | 1,620,000 | 913,783 |
| Wisconsin Center District Junior Dedicated Tax Rev., Capital Appreciation, “D”, AGM, 0%, 12/15/2037 | | | 2,630,000 | 1,403,408 |
| Wisconsin Center District Junior Dedicated Tax Rev., Capital Appreciation, “D”, AGM, 0%, 12/15/2038 | | | 2,845,000 | 1,443,155 |
| Wisconsin Center District Junior Dedicated Tax Rev., Capital Appreciation, “D”, AGM, 0%, 12/15/2039 | | | 3,095,000 | 1,487,481 |
| Wisconsin Center District Junior Dedicated Tax Rev., Capital Appreciation, “D”, AGM, 0%, 12/15/2040 | | | 1,340,000 | 611,898 |
| Wisconsin Center District Senior Dedicated Tax Rev., Capital Appreciation, “C”, AGM, 0%, 12/15/2031 | | | 545,000 | 396,530 |
| Wisconsin Center District Senior Dedicated Tax Rev., Capital Appreciation, “C”, AGM, 0%, 12/15/2032 | | | 740,000 | 514,365 |
| Wisconsin Center District Senior Dedicated Tax Rev., Capital Appreciation, “C”, AGM, 0%, 12/15/2033 | | | 710,000 | 471,304 |
| Wisconsin Center District Senior Dedicated Tax Rev., Capital Appreciation, “C”, AGM, 0%, 12/15/2034 | | | 655,000 | 414,605 |
| Wisconsin Center District Senior Dedicated Tax Rev., Capital Appreciation, “C”, AGM, 0%, 12/15/2035 | | | 840,000 | 504,084 |
| Wisconsin Center District Senior Dedicated Tax Rev., Capital Appreciation, “C”, AGM, 0%, 12/15/2036 | | | 815,000 | 460,916 |
| Wisconsin Center District Senior Dedicated Tax Rev., Capital Appreciation, “C”, AGM, 0%, 12/15/2037 | | | 815,000 | 434,896 |
| Wisconsin Center District Senior Dedicated Tax Rev., Capital Appreciation, “C”, AGM, 0%, 12/15/2038 | | | 840,000 | 426,099 |
| Wisconsin Center District Senior Dedicated Tax Rev., Capital Appreciation, “C”, AGM, 0%, 12/15/2039 | | | 790,000 | 379,680 |
| Wisconsin Center District Senior Dedicated Tax Rev., Capital Appreciation, “C”, AGM, 0%, 12/15/2040 | | | 195,000 | 89,045 |
| Wisconsin Health & Educational Facilities Authority Refunding Rev. (American Baptist Homes), 5%, 8/01/2027 | | | 2,025,000 | 1,896,583 |
| Wisconsin Health & Educational Facilities Authority Refunding Rev. (American Baptist Homes), 5%, 8/01/2032 | | | 2,315,000 | 2,011,122 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Wisconsin - continued |
| Wisconsin Health & Educational Facilities Authority Refunding Rev. (American Baptist Homes), 5%, 8/01/2037 | | $ | 1,265,000 | $1,018,248 |
| Wisconsin Health & Educational Facilities Authority Refunding Rev. (American Baptist Homes), 5%, 8/01/2039 | | | 1,315,000 | 1,028,096 |
| Wisconsin Health & Educational Facilities Authority Refunding Rev. (Saint John's Communities, Inc.), 4%, 9/15/2036 | | | 530,000 | 463,137 |
| Wisconsin Health & Educational Facilities Authority Refunding Rev. (Saint John's Communities, Inc.), 4%, 9/15/2036 | | | 800,000 | 699,075 |
| Wisconsin Health & Educational Facilities Authority Refunding Rev. (Saint John's Communities, Inc.), 4%, 9/15/2041 | | | 770,000 | 627,031 |
| Wisconsin Health & Educational Facilities Authority Refunding Rev. (Saint John's Communities, Inc.), 4%, 9/15/2045 | | | 650,000 | 505,195 |
| Wisconsin Health & Educational Facilities Authority Rev. (American Baptist Homes of the Midwest Obligated Group), 4.375%, 8/01/2027 | | | 100,000 | 91,504 |
| Wisconsin Health & Educational Facilities Authority Rev. (Benevolent Corp. Cedar Community), 5%, 6/01/2037 | | | 1,110,000 | 1,008,516 |
| Wisconsin Health & Educational Facilities Authority Rev. (Benevolent Corp. Cedar Community), 5%, 6/01/2041 | | | 1,910,000 | 1,675,844 |
| Wisconsin Health & Educational Facilities Authority Rev. (Cedar Crest, Inc. Project), 5.125%, 4/01/2057 | | | 13,945,000 | 10,228,013 |
| Wisconsin Health & Educational Facilities Authority Rev. (Marshfield Clinic Health System, Inc.), “C”, 5%, 2/15/2047 | | | 675,000 | 653,699 |
| Wisconsin Health & Educational Facilities Authority Rev. (Milwaukee Science Education Consortium, Inc.), “A”, 4.75%, 3/15/2043 | | | 465,000 | 451,532 |
| Wisconsin Health & Educational Facilities Authority Rev. (Milwaukee Science Education Consortium, Inc.), “A”, 5%, 3/15/2053 | | | 460,000 | 444,100 |
| Wisconsin Health & Educational Facilities Authority Rev. (Oakwood Lutheran Senior Ministries), 4%, 1/01/2037 | | | 2,085,000 | 1,702,714 |
| Wisconsin Health & Educational Facilities Authority Rev. (Oakwood Lutheran Senior Ministries), 4%, 1/01/2047 | | | 2,685,000 | 1,936,642 |
| Wisconsin Health & Educational Facilities Authority Rev. (Oakwood Lutheran Senior Ministries), 4%, 1/01/2057 | | | 4,580,000 | 3,080,801 |
| Wisconsin Health & Educational Facilities Authority Rev. (Sauk-Prairie Memorial Hospital), 5.25%, 2/01/2043 | | | 4,870,000 | 4,554,262 |
| Wisconsin Health & Educational Facilities Authority Rev. (Sauk-Prairie Memorial Hospital), “A”, 5.125%, 2/01/2038 | | | 5,110,000 | 4,866,303 |
| Wisconsin Health & Educational Facilities Authority Rev. (St. Camillus Health System, Inc.), “A”, 5%, 11/01/2039 | | | 1,060,000 | 908,464 |
| Wisconsin Health & Educational Facilities Authority Rev. (St. Camillus Health System, Inc.), “A”, 5%, 11/01/2046 | | | 1,995,000 | 1,606,557 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Wisconsin - continued |
| Wisconsin Health & Educational Facilities Authority Rev. (St. Camillus Health System, Inc.), “A”, 5%, 11/01/2054 | | $ | 11,510,000 | $8,863,218 |
| Wisconsin Health & Educational Facilities Authority Rev. (St. John's Community, Inc.), “A”, 5%, 9/15/2040 (Prerefunded 9/15/2023) | | | 1,195,000 | 1,197,063 |
| Wisconsin Health & Educational Facilities Authority Rev. (St. John's Community, Inc.), “A”, 5%, 9/15/2045 (Prerefunded 9/15/2023) | | | 1,595,000 | 1,597,753 |
| Wisconsin Health & Educational Facilities Authority Rev. (St. John's Community, Inc.), “A”, 5%, 9/15/2050 (Prerefunded 9/15/2023) | | | 6,430,000 | 6,441,098 |
| Wisconsin Housing & Economic Development Authority Home Ownership, “D”, 4%, 3/01/2047 | | | 3,840,000 | 3,808,914 |
| Wisconsin Public Finance Authority Airport Facilities Rev. (Transportation Infrastructure Properties LLC), “B”, 5%, 7/01/2042 | | | 17,855,000 | 17,854,536 |
| Wisconsin Public Finance Authority Airport Facilities Rev. (Transportation Infrastructure Properties LLC), “C”, 5%, 7/01/2042 | | | 2,870,000 | 2,869,925 |
| Wisconsin Public Finance Authority Charter School Rev. (Alamance Community School Project), “A”, 4.25%, 6/15/2031 (n) | | | 170,000 | 150,466 |
| Wisconsin Public Finance Authority Charter School Rev. (Alamance Community School Project), “A”, 5%, 6/15/2041 (n) | | | 515,000 | 434,489 |
| Wisconsin Public Finance Authority Charter School Rev. (Alamance Community School Project), “A”, 5%, 6/15/2051 (n) | | | 930,000 | 723,842 |
| Wisconsin Public Finance Authority Charter School Rev. (Alamance Community School Project), “A”, 5%, 6/15/2056 (n) | | | 900,000 | 681,550 |
| Wisconsin Public Finance Authority Charter School Rev. (Eno River Academy Project), “A”, 4%, 6/15/2030 (n) | | | 475,000 | 453,499 |
| Wisconsin Public Finance Authority Charter School Rev. (Eno River Academy Project), “A”, 5%, 6/15/2040 (n) | | | 815,000 | 779,150 |
| Wisconsin Public Finance Authority Charter School Rev. (Eno River Academy Project), “A”, 5%, 6/15/2054 (n) | | | 1,380,000 | 1,233,007 |
| Wisconsin Public Finance Authority Education Facilities Rev. (Piedmont Community Charter School), 5%, 6/15/2039 | | | 285,000 | 286,184 |
| Wisconsin Public Finance Authority Education Facilities Rev. (Piedmont Community Charter School), 5%, 6/15/2049 | | | 865,000 | 838,474 |
| Wisconsin Public Finance Authority Education Facilities Rev. (Piedmont Community Charter School), 5%, 6/15/2053 | | | 580,000 | 555,657 |
| Wisconsin Public Finance Authority Education Rev. (Mountain Island Charter School), 5%, 7/01/2037 | | | 665,000 | 666,557 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Wisconsin - continued |
| Wisconsin Public Finance Authority Education Rev. (Mountain Island Charter School), 5%, 7/01/2047 | | $ | 1,015,000 | $990,800 |
| Wisconsin Public Finance Authority Education Rev. (Pine Lake Preparatory), 4.95%, 3/01/2030 (n) | | | 1,025,000 | 1,032,443 |
| Wisconsin Public Finance Authority Education Rev. (Pine Lake Preparatory), 5.25%, 3/01/2035 (n) | | | 1,005,000 | 1,016,363 |
| Wisconsin Public Finance Authority Education Rev. (Signature Preparatory), “A”, 5%, 6/15/2041 (n) | | | 1,945,000 | 1,721,716 |
| Wisconsin Public Finance Authority Education Rev. (Signature Preparatory), “A”, 5%, 6/15/2051 (n) | | | 2,435,000 | 2,038,243 |
| Wisconsin Public Finance Authority Education Rev. (Triad Educational Services, Inc.), 5%, 6/15/2042 | | | 520,000 | 501,559 |
| Wisconsin Public Finance Authority Education Rev. (Triad Educational Services, Inc.), 5.5%, 6/15/2050 | | | 675,000 | 676,809 |
| Wisconsin Public Finance Authority Education Rev. (Triad Educational Services, Inc.), 5.25%, 6/15/2052 | | | 735,000 | 709,811 |
| Wisconsin Public Finance Authority Education Rev. (Triad Educational Services, Inc.), 5.375%, 6/15/2057 | | | 705,000 | 688,262 |
| Wisconsin Public Finance Authority Education Rev. (Triad Educational Services, Inc.), 5.5%, 6/15/2062 | | | 1,100,000 | 1,085,937 |
| Wisconsin Public Finance Authority Education Rev. (Wilson Preparatory Academy), “A”, 4.125%, 6/15/2029 (n) | | | 395,000 | 373,545 |
| Wisconsin Public Finance Authority Education Rev. (Wilson Preparatory Academy), “A”, 5%, 6/15/2039 (n) | | | 500,000 | 476,270 |
| Wisconsin Public Finance Authority Education Rev. (Wilson Preparatory Academy), “A”, 5%, 6/15/2049 (n) | | | 1,100,000 | 984,121 |
| Wisconsin Public Finance Authority Educational Facilities Rev. (Community School of Davidson Project), 3.75%, 10/01/2023 (n) | | | 75,000 | 74,889 |
| Wisconsin Public Finance Authority Educational Facilities Rev. (Community School of Davidson Project), 5%, 10/01/2033 (n) | | | 670,000 | 659,996 |
| Wisconsin Public Finance Authority Educational Facilities Rev. (Community School of Davidson Project), 5%, 10/01/2048 (n) | | | 3,265,000 | 3,035,321 |
| Wisconsin Public Finance Authority Entrance Fee Principal Redemption Accredited Rev. (Searstone CCRC Project), “B2”, 2.25%, 6/01/2027 (n) | | | 2,165,000 | 2,009,725 |
| Wisconsin Public Finance Authority Entrance Fee Principal Redemption Accredited Rev., Taxable (Searstone CCRC Project), “C”, 2.75%, 6/01/2026 (n) | | | 1,295,000 | 1,253,948 |
| Wisconsin Public Finance Authority Healthcare Facility Rev. (Appalachian Regional Healthcare System Obligated Group), “A”, 5%, 7/01/2039 | | | 500,000 | 515,704 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Wisconsin - continued |
| Wisconsin Public Finance Authority Healthcare Facility Rev. (Appalachian Regional Healthcare System Obligated Group), “A”, 4%, 7/01/2046 | | $ | 2,200,000 | $1,805,422 |
| Wisconsin Public Finance Authority Healthcare Facility Rev. (Blue Ridge Healthcare), “A”, 4%, 1/01/2045 | | | 715,000 | 671,600 |
| Wisconsin Public Finance Authority Healthcare Facility Rev. (Church Home of Hartford, Inc. Project), “A”, 5%, 9/01/2025 (n) | | | 345,000 | 340,242 |
| Wisconsin Public Finance Authority Healthcare Facility Rev. (Church Home of Hartford, Inc. Project), “A”, 5%, 9/01/2030 (n) | | | 920,000 | 869,539 |
| Wisconsin Public Finance Authority Healthcare Facility Rev. (Church Home of Hartford, Inc. Project), “A”, 5%, 9/01/2038 (n) | | | 1,215,000 | 1,061,534 |
| Wisconsin Public Finance Authority Higher Education Facilities Rev. (Gannon University Project), 5%, 5/01/2042 | | | 595,000 | 576,028 |
| Wisconsin Public Finance Authority Higher Education Facilities Rev. (Gannon University Project), 5%, 5/01/2047 | | | 650,000 | 614,170 |
| Wisconsin Public Finance Authority Hotel & Conference Center Facilities Rev. (Foundation of the University of North Carolina at Charlotte, Inc.), “A”, 4%, 9/01/2036 (n) | | | 2,040,000 | 1,829,303 |
| Wisconsin Public Finance Authority Hotel & Conference Center Facilities Rev. (Foundation of the University of North Carolina at Charlotte, Inc.), “A”, 4%, 9/01/2041 (n) | | | 1,860,000 | 1,544,350 |
| Wisconsin Public Finance Authority Hotel & Conference Center Facilities Rev. (Foundation of the University of North Carolina at Charlotte, Inc.), “A”, 4%, 9/01/2051 (n) | | | 5,480,000 | 4,150,267 |
| Wisconsin Public Finance Authority Hotel & Conference Center Facilities Rev. (Foundation of the University of North Carolina at Charlotte, Inc.), “A”, 4%, 9/01/2056 (n) | | | 2,665,000 | 1,953,236 |
| Wisconsin Public Finance Authority Limited Obligation Grant Rev. (American Dream at Meadowlands Project), “A”, 6.25%, 8/01/2027 (a)(d)(n) | | | 27,380,000 | 20,911,475 |
| Wisconsin Public Finance Authority Limited Obligation Grant Rev., Taxable (American Dream at Meadowlands Project), ”A“, 5.625%, 8/01/2024 (a)(d)(n) | | | 5,730,000 | 4,376,287 |
| Wisconsin Public Finance Authority Limited Obligation PILOT Rev. (American Dream at Meadowlands Project), 6.5%, 12/01/2037 (n) | | | 8,355,000 | 7,502,308 |
| Wisconsin Public Finance Authority Limited Obligation PILOT Rev. (American Dream at Meadowlands Project), 7%, 12/01/2050 | | | 7,930,000 | 7,208,192 |
| Wisconsin Public Finance Authority Retirement Communities Rev. (Acts Retirement-Life Communities, Inc. Obligated Group), “A”, 5%, 11/15/2041 | | | 1,115,000 | 1,073,520 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Wisconsin - continued |
| Wisconsin Public Finance Authority Retirement Facilities First Mortgage Rev. (Galloway Ridge Project), “A”, 6.875%, 1/01/2043 | | $ | 5,125,000 | $5,237,679 |
| Wisconsin Public Finance Authority Retirement Facilities First Mortgage Rev. (United Methodist Retirement Homes), “A”, 4%, 10/01/2041 | | | 265,000 | 214,165 |
| Wisconsin Public Finance Authority Retirement Facilities First Mortgage Rev. (United Methodist Retirement Homes), “A”, 4%, 10/01/2046 | | | 360,000 | 273,819 |
| Wisconsin Public Finance Authority Retirement Facilities First Mortgage Rev. (United Methodist Retirement Homes), “A”, 4%, 10/01/2051 | | | 1,010,000 | 731,571 |
| Wisconsin Public Finance Authority Retirement Facilities Rev. (Penick Village), 5%, 9/01/2039 (n) | | | 770,000 | 649,669 |
| Wisconsin Public Finance Authority Retirement Facilities Rev. (Penick Village), 5%, 9/01/2049 (n) | | | 1,455,000 | 1,105,484 |
| Wisconsin Public Finance Authority Retirement Facilities Rev. (Penick Village), 5%, 9/01/2054 (n) | | | 1,365,000 | 1,011,382 |
| Wisconsin Public Finance Authority Rev. (McLemore Hotel & Conference Center), “B”, 6.5%, 6/01/2056 (n) | | | 6,165,000 | 5,018,156 |
| Wisconsin Public Finance Authority Rev. (Obligated Group of National Senior Communities, Inc.), 4%, 1/01/2047 | | | 360,000 | 307,776 |
| Wisconsin Public Finance Authority Rev. (Obligated Group of National Senior Communities, Inc.), 4%, 1/01/2052 | | | 490,000 | 401,480 |
| Wisconsin Public Finance Authority Rev. (Roseman University of Health Sciences Project), 5%, 4/01/2030 (n) | | | 600,000 | 614,495 |
| Wisconsin Public Finance Authority Rev. (Roseman University of Health Sciences Project), 4%, 4/01/2032 (n) | | | 915,000 | 871,052 |
| Wisconsin Public Finance Authority Rev. (Roseman University of Health Sciences Project), 5.75%, 4/01/2035 | | | 2,805,000 | 2,862,668 |
| Wisconsin Public Finance Authority Rev. (Roseman University of Health Sciences Project), 5%, 4/01/2040 (Prerefunded 4/01/2030) (n) | | | 95,000 | 107,532 |
| Wisconsin Public Finance Authority Rev. (Roseman University of Health Sciences Project), 5%, 4/01/2040 (n) | | | 1,055,000 | 1,029,301 |
| Wisconsin Public Finance Authority Rev. (Roseman University of Health Sciences Project), 4%, 4/01/2042 (n) | | | 1,000,000 | 835,548 |
| Wisconsin Public Finance Authority Rev. (Roseman University of Health Sciences Project), 5%, 4/01/2050 (Prerefunded 4/01/2030) (n) | | | 100,000 | 113,191 |
| Wisconsin Public Finance Authority Rev. (Roseman University of Health Sciences Project), 5%, 4/01/2050 (n) | | | 1,900,000 | 1,762,777 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Wisconsin - continued |
| Wisconsin Public Finance Authority Rev. (Roseman University of Health Sciences Project), 4%, 4/01/2052 (n) | | $ | 1,950,000 | $1,495,724 |
| Wisconsin Public Finance Authority Rev. (Roseman University of Health Sciences Project), 4%, 4/01/2052 (Prerefunded 4/01/2032) (n) | | | 105,000 | 115,383 |
| Wisconsin Public Finance Authority Rev., Subordinate-Social Certificates, “B-1”, 4%, 12/28/2044 (n) | | | 13,297,280 | 10,464,934 |
| Wisconsin Public Finance Authority Senior Living Refunding Bonds Rev. (Mary's Woods at Marylhurst Project), “A”, 5.25%, 5/15/2037 (n) | | | 2,415,000 | 2,287,695 |
| Wisconsin Public Finance Authority Senior Living Refunding Bonds Rev. (Mary's Woods at Marylhurst Project), “A”, 5.25%, 5/15/2042 (n) | | | 4,080,000 | 3,711,926 |
| Wisconsin Public Finance Authority Senior Living Refunding Bonds Rev. (Mary's Woods at Marylhurst Project), “A”, 5.25%, 5/15/2047 (n) | | | 4,360,000 | 3,833,123 |
| Wisconsin Public Finance Authority Senior Living Refunding Bonds Rev. (Mary's Woods at Marylhurst Project), “A”, 5.25%, 5/15/2052 (n) | | | 10,880,000 | 9,395,399 |
| Wisconsin Public Finance Authority Senior Living Rev. (Rose Villa Project), “A”, 5.125%, 11/15/2029 (n) | | | 1,905,000 | 1,936,781 |
| Wisconsin Public Finance Authority Senior Living Rev. (Rose Villa Project), “A”, 5.5%, 11/15/2034 (n) | | | 1,730,000 | 1,766,924 |
| Wisconsin Public Finance Authority Senior Living Rev. (Rose Villa Project), “A”, 5.75%, 11/15/2044 (n) | | | 1,685,000 | 1,726,198 |
| Wisconsin Public Finance Authority Senior Living Rev. (Rose Villa Project), “A”, 6%, 11/15/2049 (n) | | | 3,465,000 | 3,559,165 |
| Wisconsin Public Finance Authority Senior Secured Rev. (McLemore Hotel & Conference Center), “A”, 4.5%, 6/01/2056 (n) | | | 17,295,000 | 12,939,176 |
| Wisconsin Public Finance Authority Student Housing Rev. (Beyond Boone LLC - Appalachian State University Project), “A”, AGM, 5%, 7/01/2044 | | | 520,000 | 534,332 |
| Wisconsin Public Finance Authority Student Housing Rev. (Beyond Boone LLC - Appalachian State University Project), “A”, AGM, 4%, 7/01/2045 | | | 995,000 | 945,819 |
| Wisconsin Public Finance Authority Student Housing Rev. (Beyond Boone LLC - Appalachian State University Project), “A”, AGM, 4%, 7/01/2050 | | | 855,000 | 785,929 |
| Wisconsin Public Finance Authority Student Housing Rev. (Beyond Boone LLC - Appalachian State University Project), “A”, AGM, 4%, 7/01/2055 | | | 965,000 | 866,445 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Municipal Bonds - continued |
| Wisconsin - continued |
| Wisconsin Public Finance Authority Student Housing Rev. (NC A&T Real Estate Foundation LLC Project), “B”, 5%, 6/01/2034 | | $ | 2,380,000 | $2,437,835 |
| Wisconsin Public Finance Authority Student Housing Rev. (NC A&T Real Estate Foundation LLC Project), “B”, 5%, 6/01/2039 | | | 1,490,000 | 1,488,282 |
| Wisconsin Public Finance Authority Student Housing Rev. (NC A&T Real Estate Foundation LLC Project), “B”, 5%, 6/01/2044 | | | 1,770,000 | 1,718,588 |
| Wisconsin Public Finance Authority Student Housing Rev. (NC A&T Real Estate Foundation LLC Project), “B”, 5%, 6/01/2049 | | | 2,540,000 | 2,409,327 |
| Wisconsin Public Finance Authority Student Housing Rev. (University of Hawai'i Foundation Project), “A-1”, 4%, 7/01/2041 (n) | | | 365,000 | 306,789 |
| Wisconsin Public Finance Authority Student Housing Rev. (University of Hawai'i Foundation Project), “A-1”, 4%, 7/01/2051 (n) | | | 1,835,000 | 1,407,952 |
| Wisconsin Public Finance Authority Student Housing Rev. (University of Hawai'i Foundation Project), “A-1”, 4%, 7/01/2061 (n) | | | 3,235,000 | 2,357,330 |
| Wisconsin Public Finance Authority Student Housing Rev. (University of Hawai'i Foundation Project), “B”, 5.25%, 7/01/2061 (n) | | | 1,795,000 | 1,424,163 |
| Wisconsin Public Finance Authority Student Housing Rev. (Western Carolina University Project), 5.25%, 7/01/2047 | | | 2,480,000 | 2,356,853 |
| Wisconsin Public Finance Authority Student Housing Rev., Taxable (University of Hawai'i Foundation Project), “A-2”, 4.85%, 7/01/2031 (n) | | | 365,000 | 316,111 |
| Wisconsin Public Finance Authority Student Housing Rev., Taxable (University of Hawai'i Foundation Project), “A-2”, 5.35%, 7/01/2040 (n) | | | 1,575,000 | 1,280,225 |
| Wisconsin Public Finance Authority, Air Cargo Obligated Group Rev. (AFCO Airport Real Estate Group), 5.5%, 7/01/2035 | | | 1,295,000 | 1,411,837 |
| Wisconsin Public Finance Authority, Air Cargo Obligated Group Rev. (AFCO Airport Real Estate Group), 5.5%, 7/01/2038 | | | 1,140,000 | 1,198,162 |
| Wisconsin Public Finance Authority, Air Cargo Obligated Group Rev. (AFCO Airport Real Estate Group), 5.25%, 7/01/2053 | | | 1,000,000 | 996,897 |
| | | | | $280,647,996 |
| Wyoming - 0.0% |
| Laramie County, WY, Hospital Refunding Rev. (Cheyenne Regional Medical Center Project), 4%, 5/01/2035 | | $ | 255,000 | $259,785 |
| Laramie County, WY, Hospital Refunding Rev. (Cheyenne Regional Medical Center Project), 4%, 5/01/2037 | | | 225,000 | 224,079 |
| | | | | $483,864 |
| Total Municipal Bonds (Identified Cost, $4,734,417,186) | | $4,264,851,740 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – 0.8% |
| Consumer Services – 0.7% | |
| Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2025 (n) | | $ | 8,970,000 | $8,005,863 |
| Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2026 (n) | | | 8,338,000 | 6,962,320 |
| Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2027 (n) | | | 1,149,000 | 896,552 |
| Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2028 (n) | | | 2,923,000 | 2,122,902 |
| Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2033 (n) | | | 4,735,000 | 2,439,589 |
| Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2043 (z) | | | 32,524,990 | 10,435,753 |
| | | $30,862,979 |
| Medical & Health Technology & Services – 0.1% | |
| ProMedica Toledo Hospital, “B”, 5.325%, 11/15/2028 | | $ | 2,215,000 | $1,799,688 |
| Total Bonds (Identified Cost, $35,951,941) | | $32,662,667 |
| Other Municipal Bonds – 0.3% |
| Multi-Family Housing Revenue – 0.3% | |
| FRETE 2021-ML10 Trust, “X-CA”, FHLMC, 1.517%, 6/25/2038 (i)(n) | | $ | 30,049,700 | $3,516,770 |
| FRETE 2021-ML10 Trust, “X-US”, FHLMC, 2.057%, 1/25/2038 (i)(n) | | | 28,334,349 | 4,421,890 |
| FRETE 2021-ML12 Trust, “X-US”, FHLMC, 1.219%, 7/25/2041 (i)(n) | | | 17,502,906 | 1,717,754 |
| FRETE 2022-ML13 Trust, “X-CA”, 0.953%, 7/25/2036 (i) | | | 38,206,952 | 2,150,089 |
| Total Other Municipal Bonds (Identified Cost, $13,524,084) | | $11,806,503 |
| Contingent Value Instruments - 0.1% |
| General Obligations - General Purpose – 0.1% | |
| Commonwealth of Puerto Rico, General Obligation Contingent Value Instrument, 11/01/2043 (Identified Cost, $7,419,461) | | $ | 12,559,518 | $6,436,753 |
| Investment Companies (h) - 0.2% |
| Money Market Funds – 0.2% | |
| MFS Institutional Money Market Portfolio, 5.25% (v) (Identified Cost, $10,535,590) | | | 10,535,610 | $10,535,610 |
|
|
| Other Assets, Less Liabilities - 0.5% | | 21,877,262 |
| Net Assets - 100.0% | | $4,348,170,535 |
Portfolio of Investments (unaudited) – continued
| (a) | Non-income producing security. |
| (d) | In default. |
| (h) | An affiliated issuer, which 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. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $10,535,610 and $4,315,757,663, respectively. |
| (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 $1,001,153,965, representing 23.0% of net assets. |
| (q) | Interest received was less than stated coupon rate. |
| (u) | Underlying security deposited into special purpose trust upon creation of self-deposited inverse floaters. |
| (v) | Affiliated issuer 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. |
| (w) | When-issued security. |
| (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 |
| Build NYC Resource Corp. Rev. (International Leadership Charter High School Project), “A”, 6.25%, 7/01/2046 | 7/14/2016 | $1,315,227 | $1,317,678 |
| California Pollution Control Financing Authority, Solid Waste Disposal Rev. (CalPlant I Project), 7.5%, 7/01/2032 | 10/8/2020 | 1,800,000 | 112,500 |
| California Pollution Control Financing Authority, Solid Waste Disposal Rev. (CalPlant I Project), 8%, 7/01/2039 | 5/25/2017-6/1/2018 | 11,564,858 | 570,250 |
| California Pollution Control Financing Authority, Solid Waste Disposal Rev. (CalPlant I Project), 7.5%, 12/01/2039 | 7/26/2019 | 11,288,456 | 644,500 |
| Collier County, FL, Industrial Development Authority, Continuing Care Community Rev. (Arlington of Naples Project), “A”, 5.5%, 5/15/2025 | 6/30/2015 | 161,096 | 12,426 |
| Collier County, FL, Industrial Development Authority, Continuing Care Community Rev. (Arlington of Naples Project), “A”, 6.25%, 5/15/2035 | 6/30/2015 | 152,256 | 12,426 |
| Collier County, FL, Industrial Development Authority, Continuing Care Community Rev. (Arlington of Naples Project), “A”, 7.75%, 5/15/2035 | 11/15/2017 | 529,197 | 43,269 |
Portfolio of Investments (unaudited) – continued
| Restricted Securities - continued | Acquisition
Date | Cost | Value |
| Collier County, FL, Industrial Development Authority, Continuing Care Community Rev. (Arlington of Naples Project), “A”, 8.125%, 5/15/2044 | 12/16/2013-8/29/2018 | $4,775,334 | $434,329 |
| Collier County, FL, Industrial Development Authority, Continuing Care Community Rev. (Arlington of Naples Project), “A”, 6.5%, 5/15/2049 | 6/30/2015 | 400,648 | 33,342 |
| Illinois Housing Development Authority Rev., “A”, FHLMC, 3.87%, 11/15/2035 | 2/4/2021 | 10,653,516 | 8,172,051 |
| Illinois Housing Development Authority Rev., “B”, FHLMC, 3.87%, 11/15/2035 | 2/4/2021 | 4,344,746 | 3,332,748 |
| Illinois Housing Development Authority Rev., “C”, FHLMC, 3.87%, 11/15/2035 | 2/4/2021 | 4,335,486 | 3,265,472 |
| Illinois Housing Development Authority Rev., “D”, FHLMC, 3.87%, 11/15/2035 | 2/4/2021 | 3,956,125 | 2,966,840 |
| Illinois Housing Development Authority Rev., “E”, FHLMC, 3.87%, 11/15/2035 | 2/4/2021 | 2,724,005 | 2,033,993 |
| Muscle Shoals, Sheffield, and Tuscumbia, AL, Solid Waste Disposal Authority Rev. (Cherokee Industrial Landfill Project), “A”, 6%, 5/01/2040 | 6/10/2020 | 4,200,000 | 3,150,000 |
| Muscle Shoals, Sheffield, and Tuscumbia, AL, Solid Waste Disposal Authority Rev., Taxable (Cherokee Industrial Landfill Project), “B”, 8%, 5/01/2029 | 6/10/2020 | 1,297,641 | 973,231 |
| Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2043 | 9/26/2019-10/4/2019 | 11,886,483 | 10,435,753 |
| Total Restricted Securities | | | $37,510,808 |
| % of Net assets | | | 0.9% |
| The following abbreviations are used in this report and are defined: |
| AAC | Ambac Assurance Corp. |
| AGM | Assured Guaranty Municipal |
| BAM | Build America Mutual |
| COP | Certificate of Participation |
| ETM | Escrowed to Maturity |
| FHA | Federal Housing Administration |
| FHLMC | Federal Home Loan Mortgage Corp. |
| FNMA | Federal National Mortgage Assn. |
| GNMA | Government National Mortgage Assn. |
| NPFG | National Public Finance Guarantee Corp. |
| PSF | Permanent School Fund |
See Notes to Financial Statements
Financial Statements
Statement of Assets and Liabilities
At 7/31/23 (unaudited)
This statement represents your fund’s balance sheet, which details the assets and liabilities comprising the total value of the fund.
| Assets | |
| Investments in unaffiliated issuers, at value (identified cost, $4,791,312,672) | $4,315,757,663 |
| Investments in affiliated issuers, at value (identified cost, $10,535,590) | 10,535,610 |
| Cash | 123,792 |
| Receivables for | |
| Investments sold | 3,223,055 |
| Fund shares sold | 9,929,556 |
| Interest | 43,964,106 |
| Other assets | 29,275 |
| Total assets | $4,383,563,057 |
| Liabilities | |
| Payables for | |
| Distributions | $2,257,023 |
| When-issued investments purchased | 6,040,128 |
| Fund shares reacquired | 9,951,618 |
| Interest expense and fees | 179,191 |
| Payable to the holders of the floating rate certificates | 15,634,965 |
| Payable to affiliates | |
| Investment adviser | 4,200 |
| Administrative services fee | 6,779 |
| Shareholder servicing costs | 975,622 |
| Distribution and service fees | 8,982 |
| Payable for independent Trustees' compensation | 852 |
| Accrued expenses and other liabilities | 333,162 |
| Total liabilities | $35,392,522 |
| Net assets | $4,348,170,535 |
| Net assets consist of | |
| Paid-in capital | $5,032,649,404 |
| Total distributable earnings (loss) | (684,478,869) |
| Net assets | $4,348,170,535 |
| Shares of beneficial interest outstanding | 602,270,765 |
Statement of Assets and Liabilities (unaudited) – continued
| | Net assets | Shares
outstanding | Net asset value
per share (a) |
| Class A | $1,537,884,200 | 212,928,891 | $7.22 |
| Class B | 2,260,513 | 312,675 | 7.23 |
| Class C | 80,370,166 | 11,115,998 | 7.23 |
| Class I | 1,838,625,411 | 254,715,225 | 7.22 |
| Class R6 | 889,030,245 | 123,197,976 | 7.22 |
| (a) | Maximum offering price per share was equal to the net asset value per share for all share classes, except for Class A, for which the maximum offering price per share was $7.54 [100 / 95.75 x $7.22]. On sales of $100,000 or more, the maximum offering price of Class A shares is reduced. A contingent deferred sales charge may be imposed on redemptions of Class A, Class B, and Class C shares. Redemption price per share was equal to the net asset value per share for Classes I and R6. |
See Notes to Financial Statements
Financial Statements
Statement of Operations
Six months ended 7/31/23 (unaudited)
This statement describes how much your fund earned in investment income and accrued in expenses. It also describes any gains and/or losses generated by fund operations.
| Net investment income (loss) | |
| Income | |
| Interest | $100,537,235 |
| Dividends from affiliated issuers | 1,334,494 |
| Other | 1,175 |
| Total investment income | $101,872,904 |
| Expenses | |
| Management fee | $11,534,868 |
| Distribution and service fees | 438,918 |
| Shareholder servicing costs | 1,498,216 |
| Administrative services fee | 311,115 |
| Independent Trustees' compensation | 37,873 |
| Custodian fee | 198,756 |
| Shareholder communications | 98,840 |
| Audit and tax fees | 37,264 |
| Legal fees | 42,776 |
| Interest expense and fees | 410,383 |
| Miscellaneous | 213,252 |
| Total expenses | $14,822,261 |
| Fees paid indirectly | (910) |
| Reduction of expenses by investment adviser and distributor | (1,638,129) |
| Net expenses | $13,183,222 |
| Net investment income (loss) | $88,689,682 |
| Realized and unrealized gain (loss) |
| Realized gain (loss) (identified cost basis) | |
| Unaffiliated issuers | $643,315 |
| Affiliated issuers | 8,338 |
| Net realized gain (loss) | $651,653 |
| Change in unrealized appreciation or depreciation | |
| Unaffiliated issuers | $(125,893,135) |
| Affiliated issuers | (8,810) |
| Net unrealized gain (loss) | $(125,901,945) |
| Net realized and unrealized gain (loss) | $(125,250,292) |
| Change in net assets from operations | $(36,560,610) |
See Notes to Financial Statements
Financial Statements
Statements of Changes in Net Assets
These statements describe the increases and/or decreases in net assets resulting from operations, any distributions, and any shareholder transactions.
| | Six months ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 |
| Change in net assets | | |
| From operations | | |
| Net investment income (loss) | $88,689,682 | $189,937,105 |
| Net realized gain (loss) | 651,653 | (140,029,078) |
| Net unrealized gain (loss) | (125,901,945) | (605,332,618) |
| Change in net assets from operations | $(36,560,610) | $(555,424,591) |
| Total distributions to shareholders | $(94,537,390) | $(200,636,156) |
| Change in net assets from fund share transactions | $55,501,219 | $(1,635,060,219) |
| Total change in net assets | $(75,596,781) | $(2,391,120,966) |
| Net assets | | |
| At beginning of period | 4,423,767,316 | 6,814,888,282 |
| At end of period | $4,348,170,535 | $4,423,767,316 |
See Notes to Financial Statements
Financial Statements
Financial Highlights
The financial highlights table is intended to help you understand the fund's financial performance for the semiannual period and the past 5 fiscal years. Certain information reflects financial results for a single fund share. The total returns in the table represent the rate that an investor would have earned (or lost) on an investment in the fund share class (assuming reinvestment of all distributions) held for the entire period.
| Class A | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $7.44 | $8.42 | $8.62 | $8.66 | $8.09 | $8.16 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.15 | $0.28 | $0.26 | $0.30 | $0.32 | $0.35 |
| Net realized and unrealized gain (loss) | (0.21) | (0.97) | (0.21) | (0.04) | 0.56 | (0.08) |
| Total from investment operations | $(0.06) | $(0.69) | $0.05 | $0.26 | $0.88 | $0.27 |
| Less distributions declared to shareholders |
| From net investment income | $(0.16) | $(0.29) | $(0.25) | $(0.30) | $(0.31) | $(0.34) |
| Net asset value, end of period (x) | $7.22 | $7.44 | $8.42 | $8.62 | $8.66 | $8.09 |
| Total return (%) (r)(s)(t)(x) | (0.84)(n) | (8.11) | 0.58 | 3.24 | 11.06 | 3.31 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f) | 0.68(a) | 0.67 | 0.63 | 0.65 | 0.67 | 0.67 |
| Expenses after expense reductions (f) | 0.60(a) | 0.62 | 0.62 | 0.64 | 0.66 | 0.66 |
| Net investment income (loss) | 4.07(a) | 3.67 | 2.94 | 3.65 | 3.82 | 4.35 |
| Portfolio turnover | 4(n) | 18 | 17 | 30 | 12 | 24 |
| Net assets at end of period (000 omitted) | $1,537,884 | $1,585,048 | $2,066,744 | $1,971,228 | $1,999,299 | $1,623,004 |
| Supplemental Ratios (%): |
| Ratios of expenses to average net assets after expense reductions and excluding interest expense and fees (f)(l) | 0.58(a) | 0.60 | 0.61 | 0.62 | 0.63 | 0.64 |
See Notes to Financial Statements
Financial Highlights – continued
| Class B | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $7.45 | $8.42 | $8.63 | $8.67 | $8.10 | $8.16 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.12 | $0.22 | $0.19 | $0.25 | $0.26 | $0.29 |
| Net realized and unrealized gain (loss) | (0.21) | (0.95) | (0.21) | (0.05) | 0.56 | (0.07) |
| Total from investment operations | $(0.09) | $(0.73) | $(0.02) | $0.20 | $0.82 | $0.22 |
| Less distributions declared to shareholders |
| From net investment income | $(0.13) | $(0.24) | $(0.19) | $(0.24) | $(0.25) | $(0.28) |
| Net asset value, end of period (x) | $7.23 | $7.45 | $8.42 | $8.63 | $8.67 | $8.10 |
| Total return (%) (r)(s)(t)(x) | (1.21)(n) | (8.67) | (0.28) | 2.49 | 10.24 | 2.68 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f) | 1.68(a) | 1.67 | 1.63 | 1.66 | 1.67 | 1.67 |
| Expenses after expense reductions (f) | 1.35(a) | 1.37 | 1.37 | 1.40 | 1.41 | 1.41 |
| Net investment income (loss) | 3.31(a) | 2.89 | 2.21 | 3.00 | 3.12 | 3.61 |
| Portfolio turnover | 4(n) | 18 | 17 | 30 | 12 | 24 |
| Net assets at end of period (000 omitted) | $2,261 | $2,792 | $5,096 | $6,519 | $13,733 | $17,392 |
| Supplemental Ratios (%): |
| Ratios of expenses to average net assets after expense reductions and excluding interest expense and fees (f)(l) | 1.33(a) | 1.35 | 1.36 | 1.38 | 1.38 | 1.40 |
See Notes to Financial Statements
Financial Highlights – continued
| Class C | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $7.45 | $8.42 | $8.63 | $8.67 | $8.10 | $8.16 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.11 | $0.20 | $0.17 | $0.22 | $0.24 | $0.27 |
| Net realized and unrealized gain (loss) | (0.21) | (0.95) | (0.21) | (0.04) | 0.56 | (0.08) |
| Total from investment operations | $(0.10) | $(0.75) | $(0.04) | $0.18 | $0.80 | $0.19 |
| Less distributions declared to shareholders |
| From net investment income | $(0.12) | $(0.22) | $(0.17) | $(0.22) | $(0.23) | $(0.25) |
| Net asset value, end of period (x) | $7.23 | $7.45 | $8.42 | $8.63 | $8.67 | $8.10 |
| Total return (%) (r)(s)(t)(x) | (1.33)(n) | (8.90) | (0.53) | 2.23 | 9.96 | 2.42 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f) | 1.68(a) | 1.67 | 1.63 | 1.66 | 1.67 | 1.67 |
| Expenses after expense reductions (f) | 1.60(a) | 1.62 | 1.62 | 1.64 | 1.66 | 1.66 |
| Net investment income (loss) | 3.07(a) | 2.65 | 1.95 | 2.69 | 2.84 | 3.35 |
| Portfolio turnover | 4(n) | 18 | 17 | 30 | 12 | 24 |
| Net assets at end of period (000 omitted) | $80,370 | $92,366 | $148,124 | $167,087 | $242,387 | $230,387 |
| Supplemental Ratios (%): |
| Ratios of expenses to average net assets after expense reductions and excluding interest expense and fees (f)(l) | 1.58(a) | 1.60 | 1.61 | 1.63 | 1.63 | 1.64 |
See Notes to Financial Statements
Financial Highlights – continued
| Class I | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $7.44 | $8.41 | $8.62 | $8.66 | $8.09 | $8.15 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.15 | $0.28 | $0.25 | $0.30 | $0.32 | $0.35 |
| Net realized and unrealized gain (loss) | (0.21) | (0.96) | (0.21) | (0.04) | 0.56 | (0.08) |
| Total from investment operations | $(0.06) | $(0.68) | $0.04 | $0.26 | $0.88 | $0.27 |
| Less distributions declared to shareholders |
| From net investment income | $(0.16) | $(0.29) | $(0.25) | $(0.30) | $(0.31) | $(0.33) |
| Net asset value, end of period (x) | $7.22 | $7.44 | $8.41 | $8.62 | $8.66 | $8.09 |
| Total return (%) (r)(s)(t)(x) | (0.85)(n) | (8.01) | 0.46 | 3.24 | 11.06 | 3.44 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f) | 0.68(a) | 0.67 | 0.63 | 0.65 | 0.67 | 0.67 |
| Expenses after expense reductions (f) | 0.60(a) | 0.62 | 0.62 | 0.64 | 0.66 | 0.66 |
| Net investment income (loss) | 4.07(a) | 3.64 | 2.94 | 3.64 | 3.82 | 4.34 |
| Portfolio turnover | 4(n) | 18 | 17 | 30 | 12 | 24 |
| Net assets at end of period (000 omitted) | $1,838,625 | $1,832,629 | $2,792,475 | $2,831,021 | $2,687,508 | $2,145,125 |
| Supplemental Ratios (%): |
| Ratios of expenses to average net assets after expense reductions and excluding interest expense and fees (f)(l) | 0.58(a) | 0.60 | 0.61 | 0.62 | 0.63 | 0.64 |
See Notes to Financial Statements
Financial Highlights – continued
| Class R6 | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $7.43 | $8.41 | $8.62 | $8.65 | $8.08 | $8.15 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.15 | $0.28 | $0.26 | $0.31 | $0.33 | $0.36 |
| Net realized and unrealized gain (loss) | (0.20) | (0.96) | (0.21) | (0.03) | 0.56 | (0.09) |
| Total from investment operations | $(0.05) | $(0.68) | $0.05 | $0.28 | $0.89 | $0.27 |
| Less distributions declared to shareholders |
| From net investment income | $(0.16) | $(0.30) | $(0.26) | $(0.31) | $(0.32) | $(0.34) |
| Net asset value, end of period (x) | $7.22 | $7.43 | $8.41 | $8.62 | $8.65 | $8.08 |
| Total return (%) (r)(s)(t)(x) | (0.67)(n) | (8.06) | 0.54 | 3.44 | 11.16 | 3.40 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f) | 0.59(a) | 0.58 | 0.54 | 0.57 | 0.59 | 0.58 |
| Expenses after expense reductions (f) | 0.52(a) | 0.54 | 0.53 | 0.56 | 0.58 | 0.57 |
| Net investment income (loss) | 4.15(a) | 3.71 | 3.01 | 3.73 | 3.89 | 4.41 |
| Portfolio turnover | 4(n) | 18 | 17 | 30 | 12 | 24 |
| Net assets at end of period (000 omitted) | $889,030 | $910,932 | $1,802,449 | $1,398,315 | $1,195,880 | $856,776 |
| Supplemental Ratios (%): |
| Ratios of expenses to average net assets after expense reductions and excluding interest expense and fees (f)(l) | 0.50(a) | 0.52 | 0.52 | 0.54 | 0.55 | 0.56 |
| (a) | Annualized. |
| (d) | Per share data is based on average shares outstanding. |
| (f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. See Note 2 in the Notes to Financial Statements for additional information. |
| (l) | Interest expense and fees include payments made to the holders of the floating rate certificates. |
| (n) | Not annualized. |
| (r) | Certain expenses have been reduced without which performance would have been lower. |
| (s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
| (t) | Total returns do not include any applicable sales charges. |
| (x) | The net asset values and total returns have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
See Notes to Financial Statements
Notes to Financial Statements
(unaudited)
(1) Business and Organization
MFS Municipal High Income Fund (the fund) is a diversified series of MFS Series Trust III which is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.
The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies.
(2) Significant Accounting Policies
General — The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. In the preparation of these financial statements, management has evaluated subsequent events occurring after the date of the fund’s Statement of Assets and Liabilities through the date that the financial statements were issued. The fund invests primarily in municipal instruments, which generally trade in the over-the-counter market. The value of municipal instruments can be affected by changes in their actual or perceived credit quality. The credit quality of, and the ability to pay principal and interest when due by, an issuer of a municipal instrument depends on the credit quality of the entity supporting the municipal instrument, how essential any services supported by the municipal instrument are, the sufficiency of any revenues or taxes that support the municipal instrument, and/or the willingness or ability of the appropriate government entity to approve any appropriations necessary to support the municipal instrument. Municipal instruments may be supported by insurance which typically guarantees the timely payment of all principal and interest due on the underlying municipal instrument. The value of a municipal instrument can be volatile and significantly affected by adverse tax changes or court rulings, legislative or political changes, changes in specific or general market and economic conditions in the region where the instrument is issued, and the financial condition of municipal issuers and of municipal instrument insurers of which there are a limited number. Also, because many municipal instruments are issued to finance similar projects, conditions in certain industries can significantly affect the fund and the overall municipal market. If the Internal Revenue Service determines an issuer of a municipal instrument has not complied with the applicable tax requirements, interest from the security could become taxable, the security could decline in value, and distributions made by the fund could be taxable to shareholders. The fund invests in high-yield securities rated below investment grade. Investments in below investment grade quality securities can involve a substantially greater risk of default or can already be in default, and their values can decline significantly. Below investment grade quality securities tend to be more sensitive to adverse news about the issuer, or the market or economy in general, than higher quality debt instruments.
Notes to Financial Statements (unaudited) - continued
Balance Sheet Offsetting — The fund's accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the International Swaps and Derivatives Association (ISDA) Master Agreement, or similar agreement, does not result in an offset of reported amounts of financial assets and financial liabilities in the Statement of Assets and Liabilities across transactions between the fund and the applicable counterparty. The fund's right to setoff may be restricted or prohibited by the bankruptcy or insolvency laws of the particular jurisdiction to which a specific master netting agreement counterparty is subject. Balance sheet offsetting disclosures, to the extent applicable to the fund, have been included in the fund’s Significant Accounting Policies note under the captions for each of the fund’s in-scope financial instruments and transactions.
Investment Valuations — Subject to its oversight, the fund's Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments to MFS as the fund's adviser, pursuant to the fund’s valuation policy and procedures which have been adopted by the adviser and approved by the Board. In accordance with Rule 2a-5 under the Investment Company Act of 1940, the Board of Trustees designated the adviser as the “valuation designee” of the fund. If the adviser, as valuation designee, determines that reliable market quotations are not readily available for an investment, the investment is valued at fair value as determined in good faith by the adviser in accordance with the adviser’s fair valuation policy and procedures.
Under the fund's valuation policy and procedures, debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value. Open-end investment companies are generally valued at net asset value per share.
Under the fund’s valuation policy and procedures, market quotations are not considered to be readily available for debt instruments, floating rate loans, and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services or otherwise determined by the adviser in accordance with the adviser’s fair valuation policy and procedures. 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. In determining values, third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, spreads and other market data. An investment may also be valued at fair value if the adviser determines that the 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 halt of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the
Notes to Financial Statements (unaudited) - continued
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 significant unobservable inputs, which may include the adviser's own assumptions in determining the fair value of investments. The following is a summary of the levels used as of July 31, 2023 in valuing the fund's assets and liabilities:
| Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
| Municipal Bonds | $— | $4,283,094,996 | $— | $4,283,094,996 |
| U.S. Corporate Bonds | — | 32,662,667 | — | 32,662,667 |
| Mutual Funds | 10,535,610 | — | — | 10,535,610 |
| Total | $10,535,610 | $4,315,757,663 | $— | $4,326,293,273 |
For further information regarding security characteristics, see the Portfolio of Investments.
Inverse Floaters — The fund invests in municipal inverse floating rate securities in the form of self-deposited secondary market inverse floaters which have variable rates of interest that typically move in the opposite direction of short-term rates. A self-deposited secondary market inverse floater is created when the fund transfers a municipal bond from its portfolio to a special purpose trust (“the trust”) and causes the trust to issue (a) inverse floaters to be held by the fund and (b) floating rate certificates to be held by third parties. The floating rate certificates usually pay tax-exempt interest at short-term rates that reset weekly and the holders of those certificates typically have the option to tender at par plus accrued interest. Self-deposited secondary market inverse floaters are accounted for as secured borrowings, with the municipal bonds transferred to the trust being reflected as fund investments and the amounts owed to floating rate certificate holders being reflected as fund liabilities in the Statement of Assets and Liabilities as “Payable to the holders of the floating rate certificates”. The carrying value of that liability as reported in the fund’s Statement of Assets and Liabilities approximates its fair value which would be considered level 2 under the fair value hierarchy.
At July 31, 2023, the fund’s payable to the holders of the floating rate certificates was $15,634,965 and the related weighted average interest rate on the settled floating rate certificates issued by the trust was 4.01%. For the six months ended July 31, 2023, the average payable to the holders of the settled floating rate certificates was $25,336,381 at a weighted average interest rate of 3.45%. Interest expense and fees, which are recorded as incurred, include interest payments made to the holders of the floating rate
Notes to Financial Statements (unaudited) - continued
certificates and associated fees. For the six months ended July 31, 2023, the related interest expense and fees amounted to $396,826 which is included in “Interest expense and fees” in the Statement of Operations.
Indemnifications — Under the fund's organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the fund. Additionally, in the normal course of business, the fund enters into agreements with service providers that may contain indemnification clauses. The fund's maximum exposure under these agreements is unknown as this would involve future claims that may be made against the fund that have not yet occurred.
Investment Transactions and Income — Interest income is recorded on the accrual basis. All premium and discount is amortized or accreted for financial statement purposes in accordance with U.S. generally accepted accounting principles. Interest payments received in additional securities are recorded on the ex-interest date in an amount equal to the value of the security on such date. Debt obligations may be placed on non-accrual status or set to accrue at a rate of interest less than the contractual coupon when the collection of all or a portion of interest has become doubtful. Interest income for those debt obligations may be further reduced by the write-off of the related interest receivables when deemed uncollectible.
The fund may receive proceeds from litigation settlements. Any proceeds received from litigation involving portfolio holdings are reflected in the Statement of Operations in realized gain/loss if the security has been disposed of by the fund or in unrealized gain/loss if the security is still held by the fund. Any other proceeds from litigation not related to portfolio holdings are reflected as other income in the Statement of Operations.
Investment transactions are recorded on the trade date. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
The fund may purchase or sell securities on a when-issued or delayed delivery basis. In these extended settlement transactions, the receipt or delivery of the securities by the fund and related payments occur at a future date, usually beyond the customary settlement period. The price of such security and the date that the security will be settled are generally fixed at the time the transaction is negotiated. The value of the security varies with market fluctuations and for debt securities no interest accrues to the fund until settlement takes place. When the fund sells securities on a when-issued or delayed delivery basis, the fund typically owns or has the right to acquire securities equivalent in kind and amount to the securities sold. Purchase and sale commitments for when-issued or delayed delivery securities are held at carrying amount, which approximates fair value and are categorized as level 2 within the fair value hierarchy, and included in When-issued investments purchased and When-issued investments sold in the Statement of Assets and Liabilities, as applicable. Losses may arise due to changes in the value of the underlying securities prior to settlement date or if the counterparty does not perform under the contract’s terms, or if the issuer does not issue the securities due to political, economic or other factors.
Legal fees and other related expenses incurred to preserve and protect the value of a security owned are added to the cost of the security; other legal fees are expensed. Capital infusions made directly to the security issuer, which are generally non-recurring, incurred to protect or enhance the value of high-yield debt securities, are reported as
Notes to Financial Statements (unaudited) - continued
additions to the cost basis of the security. Costs that are incurred to negotiate the terms or conditions of capital infusions or that are expected to result in a plan of reorganization are reported as realized losses. Ongoing costs incurred to protect or enhance an investment, or costs incurred to pursue other claims or legal actions, are expensed.
Fees Paid Indirectly — The fund's custody fee may be reduced by a credit earned under an arrangement that measures the value of U.S. dollars deposited with the custodian by the fund. The amount of the credit, for the six months ended July 31, 2023, is shown as a reduction of total expenses in the Statement of Operations.
Tax Matters and Distributions — The fund intends to qualify as a regulated investment company, as defined under Subchapter M of the Internal Revenue Code, and to distribute all of its taxable and tax-exempt income, including realized capital gains. As a result, no provision for federal income tax is required. The fund’s federal tax returns, when filed, will remain subject to examination by the Internal Revenue Service for a three year period. Management has analyzed the fund’s tax positions taken on federal and state tax returns for all open tax years and does not believe that there are any uncertain tax positions that require recognition of a tax liability.
Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences which arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future.
Book/tax differences primarily relate to defaulted bonds and treating a portion of the proceeds from redemptions as a distribution for tax purposes.
The tax character of distributions made during the current period will be determined at fiscal year end. The tax character of distributions declared to shareholders for the last fiscal year is as follows:
| | Year ended
1/31/23 |
| Ordinary income (including any short-term capital gains) | $11,156,872 |
| Tax-exempt income | 189,479,284 |
| Total distributions | $200,636,156 |
Notes to Financial Statements (unaudited) - continued
The federal tax cost and the tax basis components of distributable earnings were as follows:
| As of 7/31/23 | |
| Cost of investments | $4,821,771,138 |
| Gross appreciation | 48,504,289 |
| Gross depreciation | (559,617,119) |
| Net unrealized appreciation (depreciation) | $(511,112,830) |
| As of 1/31/23 | |
| Undistributed tax-exempt income | 57,484,336 |
| Capital loss carryforwards | (212,307,070) |
| Other temporary differences | (16,066,777) |
| Net unrealized appreciation (depreciation) | (382,491,358) |
The aggregate cost above includes prior fiscal year end tax adjustments, if applicable.
As of January 31, 2023, the fund had capital loss carryforwards available to offset future realized gains. These net capital losses may be carried forward indefinitely and their character is retained as short-term and/or long-term losses. Such losses are characterized as follows:
| Short-Term | $(113,570,573) |
| Long-Term | (98,736,497) |
| Total | $(212,307,070) |
Multiple Classes of Shares of Beneficial Interest — The fund offers multiple classes of shares, which differ in their respective distribution and service fees. The fund's income and common expenses are allocated to shareholders based on the value of settled shares outstanding of each class. The fund's realized and unrealized gain (loss) are allocated to shareholders based on the daily net assets of each class. Dividends are declared separately for each class. Differences in per share dividend rates are generally due to differences in separate class expenses. Class B and Class C shares will convert to Class A shares approximately eight years after purchase. The fund’s distributions declared to shareholders as reported in the Statements of Changes in Net Assets are presented by class as follows:
| | Six months ended
7/31/23 | Year ended
1/31/23 |
| Class A | $33,416,145 | $66,743,480 |
| Class B | 44,317 | 116,915 |
| Class C | 1,422,643 | 3,246,712 |
| Class I | 40,072,503 | 83,213,404 |
| Class R6 | 19,581,782 | 47,315,645 |
| Total | $94,537,390 | $200,636,156 |
Notes to Financial Statements (unaudited) - continued
(3) Transactions with Affiliates
Investment Adviser — The fund has an investment advisory agreement with MFS to provide overall investment management and related administrative services and facilities to the fund. The management fee is computed daily and paid monthly at the following annual rates based on the fund's average daily net assets:
| Up to $2.5 billion | 0.55% |
| In excess of $2.5 billion and up to $5 billion | 0.50% |
| In excess of $5 billion and up to $10 billion | 0.45% |
| In excess of $10 billion | 0.425% |
MFS has agreed in writing to reduce its management fee by a specified amount if certain MFS mutual fund assets exceed thresholds agreed to by MFS and the fund's Board of Trustees. MFS has also agreed in writing to waive at least 0.01% of its management fee as part of this agreement. The agreement to waive at least 0.01% of the management fee will continue until modified by the fund's Board of Trustees, but such agreement will continue at least until May 31, 2024. For the six months ended July 31, 2023, this management fee reduction amounted to $277,947, which is included in the reduction of total expenses in the Statement of Operations. The management fee incurred for the six months ended July 31, 2023 was equivalent to an annual effective rate of 0.52% of the fund's average daily net assets.
The investment adviser has agreed in writing to pay a portion of the fund’s total annual operating expenses, excluding interest, taxes, extraordinary expenses, brokerage and transaction costs, certain tax reclaim recovery expenses (including contingency fees and closing agreement expenses), and investment-related expenses (such as interest expense and fees associated with investments in inverse floating rate instruments), such that total fund operating expenses do not exceed the following rates annually of each class’s average daily net assets:
| | | Classes | | |
| A | B | C | I | R6 |
| 0.59% | 1.34% | 1.59% | 0.59% | 0.50% |
This written agreement will continue until modified by the fund’s Board of Trustees, but such agreement will continue at least until May 31, 2025. For the six months ended July 31, 2023, this reduction amounted to $1,357,086, which is included in the reduction of total expenses in the Statement of Operations.
Distributor — MFS Fund Distributors, Inc. (MFD), a wholly-owned subsidiary of MFS, as distributor, received $18,893 for the six months ended July 31, 2023, as its portion of the initial sales charge on sales of Class A shares of the fund.
The Board of Trustees has adopted a distribution plan for certain share classes pursuant to Rule 12b-1 of the Investment Company Act of 1940.
The fund's distribution plan provides that the fund will pay MFD for services provided by MFD and financial intermediaries in connection with the distribution and servicing of certain share classes. One component of the plan is a distribution fee paid to MFD and another component of the plan is a service fee paid to MFD. MFD may subsequently pay all, or a portion, of the distribution and/or service fees to financial intermediaries. The distribution and service fees are computed daily and paid monthly.
Notes to Financial Statements (unaudited) - continued
Distribution Plan Fee Table:
| | Distribution
Fee Rate (d) | Service
Fee Rate (d) | Total
Distribution
Plan (d) | Annual
Effective
Rate (e) | Distribution
and Service
Fee |
| Class B | 0.75% | 0.25% | 1.00% | 0.75% | $ 12,374 |
| Class C | 0.75% | 0.25% | 1.00% | 1.00% | 426,544 |
| Total Distribution and Service Fees | | | | | $438,918 |
| (d) | In accordance with the distribution plan for certain classes, the fund pays distribution and/or service fees equal to these annual percentage rates of each class’s average daily net assets. The distribution and service fee rates disclosed by class represent the current rates in effect at the end of the reporting period. Any rate changes, if applicable, are detailed below. |
| (e) | The annual effective rates represent actual fees incurred under the distribution plan for the six months ended July 31, 2023 based on each class's average daily net assets. MFD has agreed in writing to reduce the Class B service fee rate to 0.00% for all Class B shares. This agreement will continue until modified by the fund’s Board of Trustees, but such agreement will continue until at least May 31, 2025. For the six months ended July 31, 2023, this waiver amounted to $3,093, which is included in the reduction of total expenses in the Statement of Operations. MFD has also voluntarily agreed to rebate a portion of each class's 0.25% service fee attributable to accounts for which there is no financial intermediary specified on the account except for accounts attributable to MFS or its affiliates' seed money. For the six months ended July 31, 2023, this rebate amounted to $3 for Class C shares and is included in the reduction of total expenses in the Statement of Operations. |
Certain Class A shares are subject to a contingent deferred sales charge (CDSC) in the event of a shareholder redemption within 18 months of purchase. Class B shares are subject to a CDSC in the event of a shareholder redemption within six years of purchase. Class C shares are subject to a CDSC in the event of a shareholder redemption within 12 months of purchase. All contingent deferred sales charges are paid to MFD and during the six months ended July 31, 2023, were as follows:
| | Amount |
| Class A | $35,640 |
| Class B | 648 |
| Class C | 1,780 |
Shareholder Servicing Agent — MFS Service Center, Inc. (MFSC), a wholly-owned subsidiary of MFS, receives a fee from the fund for its services as shareholder servicing agent calculated as a percentage of the average daily net assets of the fund as determined periodically under the supervision of the fund's Board of Trustees. For the six months ended July 31, 2023, the fee was $43,878, which equated to 0.0020% annually of the fund's average daily net assets. MFSC also receives reimbursement from the fund for out-of-pocket expenses, sub-accounting and other shareholder servicing costs which may be paid to affiliated and unaffiliated service providers. Class R6 shares do not incur sub-accounting fees. For the six months ended July 31, 2023, these out-of-pocket expenses, sub-accounting and other shareholder servicing costs amounted to $1,454,338.
Administrator — MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to the fund. Under an administrative services agreement, the fund reimburses MFS the costs incurred to provide these services. The fund is charged an annual fixed amount of $17,500 plus a fee based on
Notes to Financial Statements (unaudited) - continued
average daily net assets. The administrative services fee is computed daily and paid monthly. The administrative services fee incurred for the six months ended July 31, 2023 was equivalent to an annual effective rate of 0.0143% of the fund's average daily net assets.
Trustees’ and Officers’ Compensation — The fund pays compensation to independent Trustees in the form of a retainer, attendance fees, and additional compensation to Board and Committee chairpersons. Independent Trustees’ compensation is accrued daily and paid subsequent to each Trustee Board meeting. The fund does not pay compensation directly to Trustees or officers of the fund who are also officers of the investment adviser, all of whom receive remuneration from MFS for their services to the fund. Certain officers and Trustees of the fund are officers or directors of MFS, MFD, and MFSC.
Prior to December 31, 2001, the fund had an unfunded defined benefit plan (“DB plan”) for independent Trustees. As of December 31, 2001, the Board took action to terminate the DB plan with respect to then-current and any future independent Trustees, such that the DB plan covers only certain of those former independent Trustees who retired on or before December 31, 2001. The DB plan resulted in a pension expense of $965 and is included in “Independent Trustees’ compensation” in the Statement of Operations for the six months ended July 31, 2023. The liability for deferred retirement benefits payable to those former independent Trustees under the DB plan amounted to $852 at July 31, 2023, and is included in “Payable for independent Trustees’ compensation” in the Statement of Assets and Liabilities. The deferred retirement benefits compensation fee is accrued daily and paid monthly.
Other — The fund invests in the MFS Institutional Money Market Portfolio which is managed by MFS and seeks current income consistent with preservation of capital and liquidity. This money market fund does not pay a management fee to MFS but does incur investment and operating costs.
On August 3, 2022, MFS redeemed 14 shares of Class R6 for an aggregate amount of $108.
During the six months ended July 31, 2023, pursuant to a policy adopted by the Board of Trustees and designed to comply with Rule 17a-7 under the Investment Company Act of 1940 (the “Act”) and relevant guidance, the fund engaged in purchase transactions with funds and accounts for which MFS serves as investment adviser or sub-adviser (“cross-trades”) which amounted to $583,035.
(4) Portfolio Securities
For the six months ended July 31, 2023, purchases and sales of investments, other than short-term obligations, aggregated $271,771,560 and $180,360,192, respectively.
Notes to Financial Statements (unaudited) - continued
(5) Shares of Beneficial Interest
The fund's Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest. Transactions in fund shares were as follows:
| | Six months ended
7/31/23 | | Year ended
1/31/23 |
| | Shares | Amount | | Shares | Amount |
| Shares sold | | | | | |
| Class A | 17,928,952 | $130,618,069 | | 55,296,913 | $414,788,041 |
| Class B | 336 | 2,456 | | 12,223 | 95,384 |
| Class C | 660,552 | 4,806,219 | | 1,461,463 | 11,017,590 |
| Class I | 55,408,071 | 403,571,200 | | 196,100,976 | 1,461,595,281 |
| Class R6 | 13,356,291 | 97,101,763 | | 85,433,027 | 659,248,790 |
| | 87,354,202 | $636,099,707 | | 338,304,602 | $2,546,745,086 |
Shares issued to shareholders
in reinvestment of distributions | | | | | |
| Class A | 4,313,843 | $31,245,254 | | 8,257,045 | $62,030,038 |
| Class B | 4,947 | 35,881 | | 11,938 | 89,991 |
| Class C | 183,179 | 1,328,649 | | 399,183 | 3,004,239 |
| Class I | 4,891,582 | 35,422,575 | | 9,731,779 | 73,224,857 |
| Class R6 | 1,896,098 | 13,730,134 | | 4,603,741 | 34,704,834 |
| | 11,289,649 | $81,762,493 | | 23,003,686 | $173,053,959 |
| Shares reacquired | | | | | |
| Class A | (22,345,251) | $(162,481,635) | | (96,110,584) | $(722,064,548) |
| Class B | (67,503) | (490,430) | | (254,286) | (1,911,981) |
| Class C | (2,128,624) | (15,478,766) | | (7,042,549) | (53,126,048) |
| Class I | (52,037,955) | (377,940,248) | | (291,406,893) | (2,179,451,919) |
| Class R6 | (14,591,791) | (105,969,902) | | (181,867,637) | (1,398,304,768) |
| | (91,171,124) | $(662,360,981) | | (576,681,949) | $(4,354,859,264) |
| Net change | | | | | |
| Class A | (102,456) | $(618,312) | | (32,556,626) | $(245,246,469) |
| Class B | (62,220) | (452,093) | | (230,125) | (1,726,606) |
| Class C | (1,284,893) | (9,343,898) | | (5,181,903) | (39,104,219) |
| Class I | 8,261,698 | 61,053,527 | | (85,574,138) | (644,631,781) |
| Class R6 | 660,598 | 4,861,995 | | (91,830,869) | (704,351,144) |
| | 7,472,727 | $55,501,219 | | (215,373,661) | $(1,635,060,219) |
Effective June 1, 2019, purchases of the fund’s Class B shares were closed to new and existing investors subject to certain exceptions.
(6) Line of Credit
The fund and certain other funds managed by MFS participate in a $1.45 billion unsecured committed line of credit of which $1.2 billion is reserved for use by the fund and certain other MFS U.S. funds. The line of credit is provided by a syndicate of banks
Notes to Financial Statements (unaudited) - continued
under a credit agreement. Borrowings may be made for temporary financing needs. Interest is charged to each fund, based on its borrowings, generally at a rate equal to the highest of 1) Daily Simple SOFR (Secured Overnight Financing Rate) plus 0.10%, 2) the Federal Funds Effective Rate, or 3) the Overnight Bank Funding Rate, each plus an agreed upon spread. A commitment fee, based on the average daily unused portion of the committed line of credit, is allocated among the participating funds. The line of credit expires on March 14, 2024 unless extended or renewed. In addition, the fund and other funds managed by MFS have established unsecured uncommitted borrowing arrangements with certain banks for temporary financing needs. Interest is charged to each fund, based on its borrowings, at rates equal to customary reference rates plus an agreed upon spread. For the six months ended July 31, 2023, the fund’s commitment fee and interest expense were $11,591 and $0, respectively, and are included in “Interest expense and fees” in the Statement of Operations.
(7) Investments in 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 following were affiliated issuers:
| Affiliated Issuers | Beginning
Value | Purchases | Sales
Proceeds | Realized
Gain
(Loss) | Change in
Unrealized
Appreciation or
Depreciation | Ending
Value |
| MFS Institutional Money Market Portfolio | $89,056,536 | $269,544,077 | $348,064,531 | $8,338 | $(8,810) | $10,535,610 |
| Affiliated Issuers | Dividend
Income | Capital Gain
Distributions |
| MFS Institutional Money Market Portfolio | $1,334,494 | $— |
Board Review of Investment Advisory Agreement
MFS Municipal High Income Fund
The Investment Company Act of 1940 requires that both the full Board of Trustees and a majority of the non-interested (“independent”) Trustees, voting separately, annually approve the continuation of the Fund’s investment advisory agreement with MFS. The Trustees consider matters bearing on the Fund and its advisory arrangements at their meetings throughout the year, including a review of performance data at each regular meeting. In addition, the independent Trustees met several times over the course of three months beginning in May and ending in July, 2023 (“contract review meetings”) for the specific purpose of considering whether to approve the continuation of the investment advisory agreement for the Fund and the other investment companies that the Board oversees (the “MFS Funds”). The independent Trustees were assisted in their evaluation of the Fund’s investment advisory agreement by independent legal counsel, from whom they received separate legal advice and with whom they met separately from MFS during various contract review meetings. The independent Trustees were also assisted in this process by an independent consultant who was retained by and reported to the independent Trustees.
In connection with their deliberations regarding the continuation of the investment advisory agreement, the Trustees, including the independent Trustees, considered such information and factors as they believed, in light of the legal advice furnished to them and their own business judgment, to be relevant. The investment advisory agreement for the Fund was considered separately, although the Trustees also took into account the common interests of all MFS Funds in their review. As described below, the Trustees considered the nature, quality, and extent of the various investment advisory, administrative, and shareholder services performed by MFS under the existing investment advisory agreement and other arrangements with the Fund.
In connection with their contract review meetings, the Trustees received and relied upon materials that included, among other items: (i) information provided by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent third party, on the investment performance of the Fund for various time periods ended December 31, 2022 and the investment performance of a group of funds with substantially similar investment classifications/objectives (the “Broadridge performance universe”), (ii) information provided by Broadridge on the Fund’s advisory fees and other expenses and the advisory fees and other expenses of comparable funds identified by Broadridge as well as all other funds in the same investment classification/category (the “Broadridge expense group and universe”), (iii) information provided by MFS on the advisory fees of portfolios of other clients of MFS, including institutional separate accounts and other clients, (iv) information as to whether and to what extent applicable expense waivers, reimbursements or fee “breakpoints” are observed for the Fund, (v) information regarding MFS’ financial results and financial condition, including MFS’ and certain of its affiliates’ estimated profitability from services performed for the Fund and the MFS Funds as a whole, and compared to MFS’ institutional business, (vi) MFS’ views regarding the outlook for the mutual fund industry and the strategic business plans of MFS, (vii) descriptions of various functions performed by MFS for the Funds, such as compliance monitoring and portfolio trading practices, and (viii) information regarding the overall organization of MFS, including information about
Board Review of Investment Advisory Agreement - continued
MFS’ senior management and other personnel providing investment advisory, administrative and other services to the Fund and the other MFS Funds. The comparative performance, fee and expense information prepared and provided by Broadridge was not independently verified and the independent Trustees did not independently verify any information provided to them by MFS.
The Trustees’ conclusion as to the continuation of the investment advisory agreement was based on a comprehensive consideration of all information provided to the Trustees and not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations are described below, although individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. It is also important to recognize that the fee arrangements for the Fund and other MFS Funds are the result of years of review and discussion between the independent Trustees and MFS, that certain aspects of such arrangements may receive greater scrutiny in some years than in others, and that the Trustees’ conclusions may be based, in part, on their consideration of these same arrangements during the course of the year and in prior years.
Based on information provided by Broadridge and MFS, the Trustees reviewed the Fund’s total return investment performance as well as the Broadridge performance universe over various time periods. The Trustees placed particular emphasis on the total return performance of the Fund’s Class I shares in comparison to the performance of funds in its Broadridge performance universe over the five-year period ended December 31, 2022, which the Trustees believed was a long enough period to reflect differing market conditions. The total return performance of the Fund’s Class I shares was in the 3rd quintile relative to the other funds in the universe for this five-year period (the 1st quintile being the best performers and the 5th quintile being the worst performers). The total return performance of the Fund’s Class I shares was in the 3rd quintile for the one-year period and the 4th quintile for the three-year period ended December 31, 2022 relative to the Broadridge performance universe. Because of the passage of time, these performance results may differ from the performance results for more recent periods, including those shown elsewhere in this report.
In the course of their deliberations, the Trustees took into account information provided by MFS in connection with the contract review meetings, as well as during investment review meetings conducted with portfolio management personnel during the course of the year regarding the Fund’s performance. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the investment advisory agreement, that they were satisfied with MFS’ responses and efforts relating to investment performance.
In assessing the reasonableness of the Fund’s advisory fee, the Trustees considered, among other information, the Fund’s advisory fee and the total expense ratio of the Fund’s Class I shares as a percentage of average daily net assets and the advisory fee and total expense ratios of the Broadridge expense group based on information provided by Broadridge. The Trustees considered that MFS currently observes an expense limitation for the Fund, which may not be changed without the Trustees’ approval. The Trustees also considered that, according to the data provided by Broadridge (which takes into account any fee reductions or expense limitations that
Board Review of Investment Advisory Agreement - continued
were in effect during the Fund's last fiscal year), the Fund’s effective advisory fee rate was approximately at the Broadridge expense group median and the Fund’s total expense ratio was higher than the Broadridge expense group median.
The Trustees also considered the advisory fees charged by MFS to any institutional separate accounts advised by MFS (“separate accounts”) and unaffiliated investment companies for which MFS serves as subadviser (“subadvised funds”) that have comparable investment strategies to the Fund, if any. In comparing these fees, the Trustees considered information provided by MFS as to the generally broader scope of services provided by MFS to the Fund, as well as the more extensive regulatory burdens imposed on MFS in managing the Fund, in comparison to separate accounts and subadvised funds. The Trustees also considered the higher demands placed on MFS’ investment personnel and trading infrastructure as a result of the daily cash in-flows and out-flows of the Fund in comparison to separate accounts.
The Trustees also considered whether the Fund may benefit from any economies of scale in the management of the Fund in the event of growth in assets of the Fund and/or growth in assets of the MFS Funds as a whole. They noted that the Fund’s advisory fee rate schedule is subject to contractual breakpoints that reduce the Fund’s advisory fee rate on average daily net assets over $2.5 billion, $5 billion, and $10 billion. The Trustees also noted that MFS has agreed in writing to waive a portion of the management fees of certain MFS Funds, including the Fund, if the total combined assets of certain funds within the MFS Funds’ complex increase above agreed upon thresholds (the “group fee waiver”), enabling the Fund’s shareholders to share in the benefits from any economies of scale at the complex level. The group fee waiver is reviewed and renewed annually between the Board and MFS. The Trustees concluded that the breakpoints and the group fee waiver were sufficient to allow the Fund to benefit from economies of scale as its assets and overall complex assets grow.
The Trustees also considered information prepared by MFS relating to MFS’ costs and profits with respect to the Fund, the MFS Funds considered as a group, and other investment companies and accounts advised by MFS, as well as MFS’ methodologies used to determine and allocate its costs to the MFS Funds, the Fund and other accounts and products for purposes of estimating profitability.
After reviewing these and other factors described herein, the Trustees concluded, within the context of their overall conclusions regarding the investment advisory agreement, that the advisory fees charged to the Fund represent reasonable compensation in light of the services being provided by MFS to the Fund.
In addition, the Trustees considered MFS’ resources and related efforts to continue to retain, attract and motivate capable personnel to serve the Fund. The Trustees also considered current and developing conditions in the financial services industry, including the presence of large and well-capitalized companies which are spending, and appear to be prepared to continue to spend, substantial sums to engage personnel and to provide services to competing investment companies. In this regard, the Trustees also considered the financial resources of MFS and its ultimate parent, Sun Life Financial Inc. The Trustees also considered the advantages and possible disadvantages to the Fund of having an adviser that also serves other investment companies as well as other accounts.
Board Review of Investment Advisory Agreement - continued
The Trustees also considered the nature, quality, cost, and extent of administrative, transfer agency, and distribution services provided to the Fund by MFS and its affiliates under agreements and plans other than the investment advisory agreement, including any 12b-1 fees the Fund pays to MFS Fund Distributors, Inc., an affiliate of MFS. The Trustees also considered the nature, extent and quality of certain other services MFS performs or arranges for on the Fund’s behalf, which may include securities lending programs, directed expense payment programs, class action recovery programs, and MFS’ interaction with third-party service providers, principally custodians and sub-custodians. The Trustees concluded that the various non-advisory services provided by MFS and its affiliates on behalf of the Fund were satisfactory.
The Trustees considered so-called “fall-out benefits” to MFS such as reputational value derived from serving as investment manager to the MFS Funds. The Trustees also considered that MFS discontinued its historic practice of obtaining investment research from portfolio brokerage commissions paid by certain MFS Funds effective January 2018, and directly pays or voluntarily reimburses a Fund, if applicable, for the costs of external research acquired through the use of the Fund’s portfolio brokerage commissions.
Based on their evaluation of factors that they deemed to be material, including those factors described above, the Board of Trustees, including the independent Trustees, concluded that the Fund’s investment advisory agreement with MFS should be continued for an additional one-year period, commencing August 1, 2023.
Statement Regarding Liquidity Risk Management Program
The fund has adopted and implemented a liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940, as amended. The fund’s Board of Trustees (the “Board”) has designated MFS as the administrator of the Program. The Program is reasonably designed to assess and manage the liquidity risk of the fund. Liquidity risk is the risk that the fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors' interests.
MFS provided a written report to the Board for consideration at its March 2023 meeting that addressed the operation of the Program and provided an assessment of the adequacy and effectiveness of the Program during the period from January 1, 2022 to December 31, 2022 (the “Covered Period”). The report concluded that during the Covered Period the Program had operated effectively in all material respects and had adequately and effectively been implemented to assess and manage the fund’s liquidity risk. MFS also reported that there were no liquidity events that impacted the fund or its ability to timely meet redemptions without dilution to existing shareholders during the Covered Period.
There can be no assurance that the Program will achieve its objectives in the future. Further information on liquidity risk, and other principal risks to which an investment in the fund may be subject, can be found in the prospectus.
Proxy Voting Policies and Information
MFS votes proxies on behalf of the fund pursuant to proxy voting policies and procedures that are available without charge, upon request, by calling 1-800-225-2606, by visiting mfs.com/proxyvoting, or by visiting the SEC’s Web site at http://www.sec.gov.
Information regarding how the fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available by August 31 of each year without charge by visiting mfs.com/proxyvoting, or by visiting the SEC’s Web site at http://www.sec.gov.
Quarterly Portfolio Disclosure
The fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund's Form N-PORT reports are available on the SEC's Web site at http://www.sec.gov. A shareholder can obtain the portfolio holdings report for the first and third quarters of the fund's fiscal year at mfs.com/openendfunds by choosing the fund's name and then scrolling to the “Resources” section and clicking on the “Prospectus and Reports” tab.
Further Information
From time to time, MFS may post important information about the fund or the MFS Funds on the MFS Web site (mfs.com). This information is available at https://www.mfs.com/announcements or at mfs.com/openendfunds by choosing the fund’s name and then scrolling to the “Resources” section and clicking on the “Announcements” tab, if any.
Information About Fund Contracts and Legal Claims
The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent, and custodian who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
Under the Trust’s By-Laws and Declaration of Trust, any claims asserted against or on behalf of the MFS Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.
Provision of Financial Reports and Summary Prospectuses
The fund produces financial reports every six months and updates its summary prospectus and prospectus annually. To avoid sending duplicate copies of materials to households, only one copy of the fund’s annual and semiannual report and summary prospectus may be mailed to shareholders having the same last name and residential address on the fund’s records. However, any shareholder may contact MFSC (please see back cover for address and telephone number) to request that copies of these reports and summary prospectuses be sent personally to that shareholder.
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CONTACT
WEB SITE
mfs.com
MFS TALK
1-800-637-8255
24 hours a day
ACCOUNT SERVICE AND LITERATURE
Shareholders
1-800-225-2606
Financial advisors
1-800-343-2829
Retirement plan services
1-800-637-1255
MAILING ADDRESS
MFS Service Center, Inc.
P.O. Box 219341
Kansas City, MO 64121-9341
OVERNIGHT MAIL
MFS Service Center, Inc.
Suite 219341
430 W 7th Street
Kansas City, MO 64105-1407
Semiannual Report
July 31, 2023
MFS® High Yield Pooled Portfolio
MFS® High Yield Pooled Portfolio
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The report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a current prospectus.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Portfolio structure (i)
Top five industries (i)
| Cable TV | 8.7% |
| Medical & Health Technology & Services | 4.6% |
| Midstream | 4.4% |
| Consumer Services | 4.4% |
| Energy - Independent | 3.8% |
Composition including fixed income credit quality (a)(i)
| BBB | 1.8% |
| BB | 42.3% |
| B | 40.2% |
| CCC | 12.8% |
| U.S. Government | 0.5% |
| Not Rated | 2.1% |
| Non-Fixed Income | (0.4)% |
| Cash & Cash Equivalents | 1.8% |
| Other | (1.1)% |
Portfolio facts
| Average Duration (d) | 3.7 |
| Average Effective Maturity (m) | 4.9 yrs. |
| (a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Not Rated includes fixed income securities and fixed income derivatives that have not been rated by any rating agency. |
Non-Fixed Income includes equity securities (including convertible bonds and equity derivatives), ETFs and Options on ETFs, and/or commodity-linked derivatives. The fund may or may not have held all of these instruments on this date. The fund is not rated by these agencies.
Portfolio Composition - continued
| (d) | Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value due to the interest rate move. The Average Duration calculation reflects the impact of the equivalent exposure of derivative positions, if any. |
| (f) | The fund invests a portion of its assets in Exchange-Traded Funds (ETFs) or Options on ETFs to gain fixed income exposure. Percentages include the direct exposure from investing in ETFs or Options on ETFs and not the indirect exposure to the underlying holdings. |
| (i) | For purposes of this presentation, the components include the value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include any accrued interest amounts. |
| (m) | In determining each instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening feature (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity. |
Where the fund holds convertible bonds, they are treated as part of the equity portion of the portfolio.
Cash & Cash Equivalents includes any cash, investments in money market funds, short-term securities, and other assets less liabilities. Please see the Statement of Assets and Liabilities for additional information related to the fund’s cash position and other assets and liabilities.
Other includes equivalent exposure from currency derivatives and/or any offsets to derivative positions and may be negative.
Percentages are based on net assets as of July 31, 2023.
The portfolio is actively managed and current holdings may be different.
Expense Table
Fund expenses borne by the shareholders during the period,
February 1, 2023 through July 31, 2023
As a shareholder of the fund, you incur ongoing costs, including fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period February 1, 2023 through July 31, 2023.
Actual Expenses
The first line of the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the following table provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | Annualized
Expense
Ratio | Beginning
Account Value
2/01/23 | Ending
Account Value
7/31/23 | Expenses
Paid During
Period (p)
2/01/23-7/31/23 |
| Actual | 0.02% | $1,000.00 | $1,030.65 | $0.10 |
| Hypothetical (h) | 0.02% | $1,000.00 | $1,024.70 | $0.10 |
| (h) | 5% fund return per year before expenses. |
| (p) | “Expenses Paid During Period” are equal to the fund’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
Portfolio of Investments
7/31/23 (unaudited)
The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.
| Issuer | | | Shares/Par | Value ($) |
| Bonds – 96.3% |
| Aerospace & Defense – 2.9% |
| Bombardier, Inc., 7.5%, 3/15/2025 (n) | | $ | 567,000 | $568,994 |
| Bombardier, Inc., 7.125%, 6/15/2026 (n) | | | 1,404,000 | 1,392,916 |
| Bombardier, Inc., 7.5%, 2/01/2029 (n) | | | 629,000 | 623,167 |
| F-Brasile S.p.A./F-Brasile U.S. LLC, 7.375%, 8/15/2026 (n) | | | 2,450,000 | 2,252,119 |
| Moog, Inc., 4.25%, 12/15/2027 (n) | | | 2,461,000 | 2,280,461 |
| Spirit AeroSystems, Inc., 4.6%, 6/15/2028 | | | 2,503,000 | 2,129,523 |
| TransDigm, Inc., 6.25%, 3/15/2026 (n) | | | 2,352,000 | 2,339,337 |
| TransDigm, Inc., 6.375%, 6/15/2026 | | | 1,650,000 | 1,633,123 |
| TransDigm, Inc., 5.5%, 11/15/2027 | | | 2,707,000 | 2,565,736 |
| TransDigm, Inc., 6.75%, 8/15/2028 (n) | | | 1,991,000 | 1,996,941 |
| TransDigm, Inc., 4.625%, 1/15/2029 | | | 2,377,000 | 2,121,472 |
| | | | | $19,903,789 |
| Airlines – 0.5% |
| Air Canada, 3.875%, 8/15/2026 (n) | | $ | 2,464,000 | $2,286,494 |
| American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 4/20/2029 (n) | | | 1,486,960 | 1,439,554 |
| | | | | $3,726,048 |
| Automotive – 2.7% |
| Clarios Global LP/Clarios U.S. Finance Co., 8.5%, 5/15/2027 (n) | | $ | 2,237,000 | $2,264,933 |
| Clarios Global LP/Clarios U.S. Finance Co., 6.75%, 5/15/2028 (n) | | | 1,045,000 | 1,049,664 |
| Dana, Inc., 5.375%, 11/15/2027 | | | 1,897,000 | 1,816,575 |
| Dana, Inc., 4.25%, 9/01/2030 | | | 1,495,000 | 1,277,499 |
| Dornoch Debt Merger Sub, Inc., 6.625%, 10/15/2029 (n) | | | 2,072,000 | 1,776,425 |
| Ford Motor Co., 5.113%, 5/03/2029 | | | 3,005,000 | 2,805,978 |
| Ford Motor Credit Co. LLC, 4.134%, 8/04/2025 | | | 6,547,000 | 6,244,506 |
| Real Hero Merger Sub 2, Inc., 6.25%, 2/01/2029 (n) | | | 1,705,000 | 1,375,408 |
| | | | | $18,610,988 |
| Broadcasting – 1.1% |
| Gray Escrow II, Inc., 5.375%, 11/15/2031 (n) | | $ | 3,580,000 | $2,498,106 |
| Gray Television, Inc., 5.875%, 7/15/2026 (n) | | | 425,000 | 382,586 |
| Midas OpCo Holdings LLC, 5.625%, 8/15/2029 (n) | | | 2,674,000 | 2,275,213 |
| Summer (BC) Bidco B LLC, 5.5%, 10/31/2026 (n) | | | 2,545,000 | 2,167,360 |
| Summer (BC) Holdco S.à r.l., “A”, 9.25%, 10/31/2027 | | EUR | 215,351 | 190,607 |
| | | | | $7,513,872 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Brokerage & Asset Managers – 1.6% |
| AG Issuer LLC, 6.25%, 3/01/2028 (n) | | $ | 428,000 | $412,848 |
| AG TTMT Escrow Issuer LLC, 8.625%, 9/30/2027 (n) | | | 2,748,000 | 2,833,460 |
| Aretec Escrow Issuer, Inc., 7.5%, 4/01/2029 (n) | | | 2,578,000 | 2,321,654 |
| LPL Holdings, Inc., 4.375%, 5/15/2031 (n) | | | 1,657,000 | 1,456,843 |
| NFP Corp., 4.875%, 8/15/2028 (n) | | | 2,230,000 | 2,006,762 |
| NFP Corp., 6.875%, 8/15/2028 (n) | | | 2,327,000 | 2,059,658 |
| | | | | $11,091,225 |
| Building – 3.3% |
| Foundation Building Materials LLC, 6%, 3/01/2029 (n) | | $ | 2,495,000 | $2,160,952 |
| GYP Holding III Corp., 4.625%, 5/01/2029 (n) | | | 3,006,000 | 2,684,959 |
| Interface, Inc., 5.5%, 12/01/2028 (n) | | | 3,784,000 | 3,173,087 |
| MIWD Holdco II LLC/MIWD Finance Co., 5.5%, 2/01/2030 (n) | | | 2,149,000 | 1,815,905 |
| New Enterprise Stone & Lime Co., Inc., 9.75%, 7/15/2028 (n) | | | 2,007,000 | 1,975,237 |
| Patrick Industries, Inc., 7.5%, 10/15/2027 (n) | | | 2,885,000 | 2,834,513 |
| SRS Distribution, Inc., 6.125%, 7/01/2029 (n) | | | 1,545,000 | 1,355,657 |
| Standard Industries, Inc., 2.25%, 11/21/2026 | | EUR | 655,000 | 641,884 |
| Standard Industries, Inc., 4.75%, 1/15/2028 (n) | | $ | 1,364,000 | 1,270,808 |
| Standard Industries, Inc., 4.375%, 7/15/2030 (n) | | | 2,673,000 | 2,320,391 |
| White Cap Buyer LLC, 6.875%, 10/15/2028 (n) | | | 2,494,000 | 2,246,874 |
| | | | | $22,480,267 |
| Business Services – 1.4% |
| Entegris Escrow Corp., 5.95%, 6/15/2030 (n) | | $ | 1,220,000 | $1,169,966 |
| Iron Mountain, Inc., 4.875%, 9/15/2027 (n) | | | 1,835,000 | 1,721,156 |
| Iron Mountain, Inc., 5.25%, 3/15/2028 (n) | | | 1,590,000 | 1,491,440 |
| Verscend Escrow Corp., 9.75%, 8/15/2026 (n) | | | 2,992,000 | 3,000,515 |
| ZI Technologies LLC/ZI Finance Corp. Co., 3.875%, 2/01/2029 (n) | | | 2,551,000 | 2,191,141 |
| | | | | $9,574,218 |
| Cable TV – 8.5% |
| Cable One, Inc., 4%, 11/15/2030 (n) | | $ | 3,729,000 | $2,945,910 |
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027 (n) | | | 1,920,000 | 1,801,340 |
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, 3/01/2030 (n) | | | 8,358,000 | 7,244,438 |
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, 8/15/2030 (n) | | | 4,337,000 | 3,674,727 |
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, 2/01/2031 (n) | | | 3,089,000 | 2,539,442 |
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, 1/15/2034 (n) | | | 2,113,000 | 1,624,095 |
| CSC Holdings LLC, 5.375%, 2/01/2028 (n) | | | 3,050,000 | 2,546,959 |
| CSC Holdings LLC, 7.5%, 4/01/2028 (n) | | | 1,700,000 | 1,050,289 |
| CSC Holdings LLC, 5.75%, 1/15/2030 (n) | | | 2,990,000 | 1,547,855 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Cable TV – continued |
| CSC Holdings LLC, 4.125%, 12/01/2030 (n) | | $ | 975,000 | $704,950 |
| DISH DBS Corp., 7.75%, 7/01/2026 | | | 1,380,000 | 892,170 |
| DISH DBS Corp., 5.25%, 12/01/2026 (n) | | | 1,815,000 | 1,486,494 |
| DISH DBS Corp., 5.125%, 6/01/2029 | | | 2,015,000 | 1,012,537 |
| DISH Network Corp., 11.75%, 11/15/2027 (n) | | | 1,067,000 | 1,074,019 |
| LCPR Senior Secured Financing DAC, 6.75%, 10/15/2027 (n) | | | 2,919,000 | 2,730,113 |
| LCPR Senior Secured Financing DAC, 5.125%, 7/15/2029 (n) | | | 930,000 | 769,040 |
| Sirius XM Radio, Inc., 4%, 7/15/2028 (n) | | | 2,037,000 | 1,772,357 |
| Sirius XM Radio, Inc., 5.5%, 7/01/2029 (n) | | | 4,846,000 | 4,427,640 |
| Sirius XM Radio, Inc., 3.875%, 9/01/2031 (n) | | | 1,868,000 | 1,462,563 |
| Telenet Finance Luxembourg S.A., 5.5%, 3/01/2028 (n) | | | 4,400,000 | 4,022,480 |
| Videotron Ltd., 5.125%, 4/15/2027 (n) | | | 1,597,000 | 1,539,943 |
| Videotron Ltd., 3.625%, 6/15/2029 (n) | | | 1,483,000 | 1,290,210 |
| Virgin Media Finance PLC, 5%, 7/15/2030 (n) | | | 3,640,000 | 2,986,810 |
| Virgin Media Vendor Financing Notes IV DAC, 5%, 7/15/2028 (n) | | | 3,178,000 | 2,796,749 |
| Ziggo Bond Finance B.V., 5.125%, 2/28/2030 (n) | | | 4,730,000 | 3,736,696 |
| | | | | $57,679,826 |
| Chemicals – 3.2% |
| Axalta Coating Systems Ltd., 4.75%, 6/15/2027 (n) | | $ | 2,274,000 | $2,168,702 |
| Axalta Coating Systems Ltd., 3.375%, 2/15/2029 (n) | | | 1,580,000 | 1,352,217 |
| Element Solutions, Inc., 3.875%, 9/01/2028 (n) | | | 3,322,000 | 2,935,869 |
| Ingevity Corp., 3.875%, 11/01/2028 (n) | | | 4,108,000 | 3,545,666 |
| LSF11 A5 HoldCo LLC, 6.625%, 10/15/2029 (n) | | | 2,508,000 | 2,094,107 |
| S.P.C.M. S.A., 3.375%, 3/15/2030 (n) | | | 2,608,000 | 2,160,410 |
| SCIH Salt Holdings, Inc., 6.625%, 5/01/2029 (n) | | | 1,681,000 | 1,460,653 |
| SCIL IV LLC/SCIL USA Holdings LLC, 9.5%, 7/15/2028 (n) | | EUR | 1,857,000 | 2,078,238 |
| Tronox, Inc., 4.625%, 3/15/2029 (n) | | $ | 621,000 | 514,796 |
| Windsor Holdings III, LLC, 8.5%, 6/15/2030 (n) | | | 3,143,000 | 3,158,715 |
| | | | | $21,469,373 |
| Computer Software – 1.2% |
| Camelot Finance S.A., 4.5%, 11/01/2026 (n) | | $ | 1,788,000 | $1,686,368 |
| Clarivate Science Holdings Corp., 3.875%, 7/01/2028 (n) | | | 745,000 | 664,072 |
| Clarivate Science Holdings Corp., 4.875%, 7/01/2029 (n) | | | 1,489,000 | 1,322,681 |
| Dun & Bradstreet Corp., 5%, 12/15/2029 (n) | | | 2,329,000 | 2,050,012 |
| Neptune Bidco U.S., Inc., 9.29%, 4/15/2029 (n) | | | 2,503,000 | 2,302,396 |
| | | | | $8,025,529 |
| Computer Software - Systems – 1.7% |
| Fair Isaac Corp., 5.25%, 5/15/2026 (n) | | $ | 4,021,000 | $3,945,606 |
| Sabre GLBL, Inc., 7.375%, 9/01/2025 (n) | | | 1,057,000 | 953,942 |
| Sabre GLBL, Inc., 11.25%, 12/15/2027 (n) | | | 1,075,000 | 951,052 |
| SS&C Technologies Holdings, Inc., 5.5%, 9/30/2027 (n) | | | 4,327,000 | 4,180,231 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Computer Software - Systems – continued |
| Virtusa Corp., 7.125%, 12/15/2028 (n) | | $ | 2,086,000 | $1,747,307 |
| | | | | $11,778,138 |
| Conglomerates – 3.7% |
| BWX Technologies, Inc., 4.125%, 6/30/2028 (n) | | $ | 1,658,000 | $1,509,086 |
| BWX Technologies, Inc., 4.125%, 4/15/2029 (n) | | | 4,316,000 | 3,873,610 |
| Chart Industries, Inc., 9.5%, 1/01/2031 (n) | | | 2,543,000 | 2,727,367 |
| Emerald Debt Merger, 6.625%, 12/15/2030 (n) | | | 3,644,000 | 3,621,225 |
| Gates Global LLC, 6.25%, 1/15/2026 (n) | | | 3,101,000 | 3,062,379 |
| Griffon Corp., 5.75%, 3/01/2028 | | | 2,691,000 | 2,532,663 |
| Madison IAQ LLC, 5.875%, 6/30/2029 (n) | | | 2,165,000 | 1,815,972 |
| Regal Rexnord Corp., 6.3%, 2/15/2030 (n) | | | 1,752,000 | 1,749,127 |
| TriMas Corp., 4.125%, 4/15/2029 (n) | | | 4,734,000 | 4,177,852 |
| | | | | $25,069,281 |
| Construction – 0.9% |
| Empire Communities Corp., 7%, 12/15/2025 (n) | | $ | 1,744,000 | $1,676,232 |
| Mattamy Group Corp., 5.25%, 12/15/2027 (n) | | | 1,110,000 | 1,049,601 |
| Mattamy Group Corp., 4.625%, 3/01/2030 (n) | | | 1,727,000 | 1,514,916 |
| Weekley Homes LLC/Weekley Finance Corp., 4.875%, 9/15/2028 (n) | | | 1,810,000 | 1,624,554 |
| | | | | $5,865,303 |
| Consumer Products – 2.3% |
| Energizer Gamma Acquisition B.V., 3.5%, 6/30/2029 | | EUR | 1,290,000 | $1,156,547 |
| Energizer Holdings, Inc., 4.375%, 3/31/2029 (n) | | $ | 2,661,000 | 2,306,608 |
| Mattel, Inc., 3.375%, 4/01/2026 (n) | | | 2,210,000 | 2,054,683 |
| Mattel, Inc., 5.875%, 12/15/2027 (n) | | | 673,000 | 659,919 |
| Newell Brands, Inc., 6.375%, 9/15/2027 | | | 2,912,000 | 2,864,680 |
| Newell Brands, Inc., 6.625%, 9/15/2029 | | | 1,169,000 | 1,167,731 |
| Prestige Consumer Healthcare, Inc., 5.125%, 1/15/2028 (n) | | | 2,200,000 | 2,101,000 |
| Prestige Consumer Healthcare, Inc., 3.75%, 4/01/2031 (n) | | | 1,351,000 | 1,134,840 |
| Spectrum Brands, Inc., 3.875%, 3/15/2031 (n) | | | 1,445,000 | 1,191,773 |
| SWF Escrow Issuer Corp., 6.5%, 10/01/2029 (n) | | | 1,362,000 | 841,071 |
| | | | | $15,478,852 |
| Consumer Services – 4.3% |
| Allied Universal Holdco LLC, 9.75%, 7/15/2027 (n) | | $ | 2,737,000 | $2,510,072 |
| Allied Universal Holdco LLC, 6%, 6/01/2029 (n) | | | 1,480,000 | 1,128,981 |
| ANGI Group LLC, 3.875%, 8/15/2028 (n) | | | 3,064,000 | 2,573,133 |
| Arches Buyer, Inc., 6.125%, 12/01/2028 (n) | | | 2,113,000 | 1,819,821 |
| Cushman & Wakefield PLC, 6.75%, 5/15/2028 (n) | | | 1,908,000 | 1,748,949 |
| GoDaddy, Inc., 3.5%, 3/01/2029 (n) | | | 4,304,000 | 3,700,998 |
| GW B-CR Security Corp., 9.5%, 11/01/2027 (n) | | | 2,049,000 | 2,005,674 |
| Match Group Holdings II LLC, 5%, 12/15/2027 (n) | | | 2,251,000 | 2,132,930 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Consumer Services – continued |
| Match Group Holdings II LLC, 4.625%, 6/01/2028 (n) | | $ | 3,115,000 | $2,873,495 |
| Match Group Holdings II LLC, 4.125%, 8/01/2030 (n) | | | 810,000 | 698,990 |
| Match Group Holdings II LLC, 3.625%, 10/01/2031 (n) | | | 245,000 | 201,684 |
| Realogy Group LLC/Realogy Co-Issuer Corp., 5.75%, 1/15/2029 (n) | | | 1,772,000 | 1,311,204 |
| Realogy Group LLC/Realogy Co-Issuer Corp., 5.25%, 4/15/2030 (n) | | | 1,760,000 | 1,268,111 |
| TriNet Group, Inc., 3.5%, 3/01/2029 (n) | | | 3,712,000 | 3,238,720 |
| WASH Multi-Family Acquisition, Inc., 5.75%, 4/15/2026 (n) | | | 2,073,000 | 1,928,796 |
| | | | | $29,141,558 |
| Containers – 3.1% |
| ARD Finance S.A., 6.5% (6.5% Cash or 7.25% PIK), 6/30/2027 (n)(p) | | $ | 859,000 | $697,938 |
| Ardagh Metal Packaging Finance USA LLC, 3.25%, 9/01/2028 (n) | | | 1,450,000 | 1,252,464 |
| Ardagh Metal Packaging Finance USA LLC, 4%, 9/01/2029 (n) | | | 3,777,000 | 3,089,228 |
| Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 5.25%, 8/15/2027 (n) | | | 3,001,000 | 2,575,626 |
| Can-Pack S.A./Eastern PA Land Investment Holding LLC, 3.875%, 11/15/2029 (n) | | | 4,405,000 | 3,539,905 |
| Crown Americas LLC, 5.25%, 4/01/2030 | | | 1,203,000 | 1,147,746 |
| Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/2026 | | | 3,670,000 | 3,470,229 |
| Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 2/01/2026 | | | 1,280,000 | 1,237,367 |
| LABL, Inc., 5.875%, 11/01/2028 (n) | | | 2,099,000 | 1,914,600 |
| Mauser Packaging Solutions, 7.875%, 8/15/2026 (n) | | | 1,031,000 | 1,028,218 |
| Trivium Packaging Finance B.V., 8.5%, 8/15/2027 (n) | | | 1,115,000 | 1,072,589 |
| | | | | $21,025,910 |
| Electrical Equipment – 0.2% |
| CommScope Technologies LLC, 5%, 3/15/2027 (n) | | $ | 1,661,000 | $1,107,875 |
| Electronics – 1.6% |
| Entegris, Inc., 4.375%, 4/15/2028 (n) | | $ | 1,696,000 | $1,542,793 |
| Entegris, Inc., 3.625%, 5/01/2029 (n) | | | 1,382,000 | 1,196,067 |
| Sensata Technologies B.V., 5.625%, 11/01/2024 (n) | | | 930,000 | 924,365 |
| Sensata Technologies B.V., 5%, 10/01/2025 (n) | | | 3,575,000 | 3,485,037 |
| Sensata Technologies B.V., 5.875%, 9/01/2030 (n) | | | 1,340,000 | 1,291,329 |
| Synaptics, Inc., 4%, 6/15/2029 (n) | | | 2,690,000 | 2,313,530 |
| | | | | $10,753,121 |
| Energy - Independent – 3.8% |
| Callon Petroleum Co., 8%, 8/01/2028 (n) | | $ | 1,891,000 | $1,917,336 |
| Callon Petroleum Co., 7.5%, 6/15/2030 (n) | | | 629,000 | 610,644 |
| Civitas Resources, Inc., 8.375%, 7/01/2028 (n) | | | 1,975,000 | 2,031,406 |
| Civitas Resources, Inc., 8.75%, 7/01/2031 (n) | | | 1,042,000 | 1,078,470 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Energy - Independent – continued |
| Comstock Resources, Inc., 6.75%, 3/01/2029 (n) | | $ | 3,249,000 | $3,030,565 |
| CrownRock LP/CrownRock Finance, Inc., “F”, 5%, 5/01/2029 (n) | | | 2,955,000 | 2,778,712 |
| Encino Acquisition Partners Holdings LLC, 8.5%, 5/01/2028 (n) | | | 1,890,000 | 1,733,655 |
| Matador Resources Co., 6.875%, 4/15/2028 (n) | | | 2,371,000 | 2,356,316 |
| Moss Creek Resources Holdings, Inc., 7.5%, 1/15/2026 (n) | | | 1,869,000 | 1,745,587 |
| Permian Resources Operating LLC, 7.75%, 2/15/2026 (n) | | | 445,000 | 449,380 |
| Permian Resources Operating LLC, 5.875%, 7/01/2029 (n) | | | 3,291,000 | 3,136,489 |
| SM Energy Co., 6.75%, 9/15/2026 | | | 632,000 | 620,940 |
| SM Energy Co., 6.5%, 7/15/2028 | | | 1,673,000 | 1,635,320 |
| Southwestern Energy Co., 8.375%, 9/15/2028 | | | 1,015,000 | 1,054,456 |
| Southwestern Energy Co., 5.375%, 3/15/2030 | | | 1,413,000 | 1,322,057 |
| | | | | $25,501,333 |
| Entertainment – 2.7% |
| Carnival Corp. PLC, 7.625%, 3/01/2026 (n) | | $ | 1,978,000 | $1,951,326 |
| Carnival Corp. PLC, 5.75%, 3/01/2027 (n) | | | 2,988,000 | 2,763,931 |
| Carnival Corp. PLC, 9.875%, 8/01/2027 (n) | | | 1,583,000 | 1,655,012 |
| Carnival Corp. PLC, 4%, 8/01/2028 (n) | | | 638,000 | 567,251 |
| Merlin Entertainments, 5.75%, 6/15/2026 (n) | | | 1,161,000 | 1,129,505 |
| Motion Bondco DAC, 6.625%, 11/15/2027 (n) | | | 1,535,000 | 1,418,609 |
| NCL Corp. Ltd., 5.875%, 3/15/2026 (n) | | | 1,535,000 | 1,452,506 |
| Royal Caribbean Cruises Ltd., 5.375%, 7/15/2027 (n) | | | 1,616,000 | 1,536,532 |
| Royal Caribbean Cruises Ltd., 5.5%, 4/01/2028 (n) | | | 2,920,000 | 2,752,092 |
| SeaWorld Parks & Entertainment, 5.25%, 8/15/2029 (n) | | | 1,444,000 | 1,299,600 |
| Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/2029 (n) | | | 831,000 | 773,021 |
| VOC Escrow Ltd., 5%, 2/15/2028 (n) | | | 1,281,000 | 1,190,225 |
| | | | | $18,489,610 |
| Financial Institutions – 4.7% |
| Avation Capital S.A., 8.25% (8.25% Cash or 9% PIK), 10/31/2026 (n)(p) | | $ | 2,402,290 | $2,094,354 |
| Castlelake Aviation Finance Designated Activity Co., 5%, 4/15/2027 (n) | | | 477,000 | 440,032 |
| Credit Acceptance Corp., 5.125%, 12/31/2024 (n) | | | 2,692,000 | 2,637,725 |
| Credit Acceptance Corp., 6.625%, 3/15/2026 | | | 296,000 | 290,470 |
| Global Aircraft Leasing Co. Ltd., 6.5% (6.5% Cash or 7.25% PIK), 9/15/2024 (n)(p) | | | 5,255,595 | 4,952,925 |
| Howard Hughes Corp., 4.125%, 2/01/2029 (n) | | | 3,592,000 | 3,035,276 |
| Macquarie AirFinance Ltd., 8.375%, 5/01/2028 (n) | | | 2,667,000 | 2,715,513 |
| Nationstar Mortgage Holdings, Inc., 6%, 1/15/2027 (n) | | | 3,669,000 | 3,506,170 |
| Nationstar Mortgage Holdings, Inc., 5.75%, 11/15/2031 (n) | | | 532,000 | 451,455 |
| OneMain Finance Corp., 6.875%, 3/15/2025 | | | 2,011,000 | 2,004,322 |
| OneMain Finance Corp., 7.125%, 3/15/2026 | | | 2,876,000 | 2,848,991 |
| OneMain Finance Corp., 5.375%, 11/15/2029 | | | 419,000 | 363,000 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Financial Institutions – continued |
| Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029 (n) | | $ | 1,755,000 | $1,496,104 |
| SLM Corp., 3.125%, 11/02/2026 | | | 2,978,000 | 2,620,432 |
| UWM Holdings Corp., 5.5%, 4/15/2029 (n) | | | 3,022,000 | 2,656,723 |
| | | | | $32,113,492 |
| Food & Beverages – 2.9% |
| B&G Foods, Inc., 5.25%, 4/01/2025 | | $ | 1,735,000 | $1,652,940 |
| B&G Foods, Inc., 5.25%, 9/15/2027 | | | 650,000 | 560,528 |
| BellRing Brands, Inc., 7%, 3/15/2030 (n) | | | 3,036,000 | 3,047,476 |
| Performance Food Group Co., 5.5%, 10/15/2027 (n) | | | 2,993,000 | 2,898,112 |
| Post Holdings, Inc., 5.625%, 1/15/2028 (n) | | | 2,368,000 | 2,288,293 |
| Post Holdings, Inc., 4.625%, 4/15/2030 (n) | | | 3,229,000 | 2,845,482 |
| Primo Water Holding, Inc., 4.375%, 4/30/2029 (n) | | | 3,892,000 | 3,417,332 |
| U.S. Foods Holding Corp., 4.75%, 2/15/2029 (n) | | | 3,115,000 | 2,865,044 |
| | | | | $19,575,207 |
| Gaming & Lodging – 2.8% |
| Caesars Entertainment, Inc., 4.625%, 10/15/2029 (n) | | $ | 458,000 | $403,188 |
| Caesars Entertainment, Inc., 7%, 2/15/2030 (n) | | | 1,784,000 | 1,801,878 |
| Caesars Resort Collection LLC/CRC Finco, Inc., 8.125%, 7/01/2027 (n) | | | 2,284,000 | 2,342,637 |
| CCM Merger, Inc., 6.375%, 5/01/2026 (n) | | | 2,340,000 | 2,279,739 |
| International Game Technology PLC, 6.25%, 1/15/2027 (n) | | | 830,000 | 826,887 |
| Penn National Gaming, Inc., 4.125%, 7/01/2029 (n) | | | 2,122,000 | 1,752,719 |
| Sands China Ltd., 4.875%, 6/18/2030 | | | 1,784,000 | 1,625,791 |
| Wyndham Hotels & Resorts, Inc., 4.375%, 8/15/2028 (n) | | | 2,858,000 | 2,615,629 |
| Wynn Macau Ltd., 5.5%, 10/01/2027 (n) | | | 2,229,000 | 2,014,459 |
| Wynn Macau Ltd., 5.625%, 8/26/2028 (n) | | | 1,123,000 | 997,164 |
| Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029 (n) | | | 2,655,000 | 2,402,452 |
| | | | | $19,062,543 |
| Industrial – 1.4% |
| Albion Financing 1 S.à r.l., 6.125%, 10/15/2026 (n) | | $ | 980,000 | $923,650 |
| Albion Financing 2 S.à r.l., 8.75%, 4/15/2027 (n) | | | 1,530,000 | 1,417,561 |
| APi Escrow Corp., 4.75%, 10/15/2029 (n) | | | 3,525,000 | 3,139,154 |
| Brand Industrial Service, Inc., 10.375%, 8/01/2030 (n) | | | 1,238,000 | 1,262,785 |
| Williams Scotsman International, Inc., 4.625%, 8/15/2028 (n) | | | 3,362,000 | 3,092,089 |
| | | | | $9,835,239 |
| Insurance - Property & Casualty – 2.5% |
| Acrisure LLC/Acrisure Finance, Inc., 7%, 11/15/2025 (n) | | $ | 1,467,000 | $1,416,633 |
| Acrisure LLC/Acrisure Finance, Inc., 4.25%, 2/15/2029 (n) | | | 1,065,000 | 918,300 |
| Acrisure LLC/Acrisure Finance, Inc., 6%, 8/01/2029 (n) | | | 2,293,000 | 1,966,027 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Insurance - Property & Casualty – continued |
| Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/2027 (n) | | $ | 1,090,000 | $1,032,452 |
| Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 5.875%, 11/01/2029 (n) | | | 3,111,000 | 2,752,782 |
| AmWINS Group Benefits, Inc., 4.875%, 6/30/2029 (n) | | | 2,118,000 | 1,943,130 |
| AssuredPartners, Inc., 5.625%, 1/15/2029 (n) | | | 2,140,000 | 1,868,050 |
| GTCR (AP) Finance, Inc., 8%, 5/15/2027 (n) | | | 1,401,000 | 1,387,566 |
| Hub International Ltd., 5.625%, 12/01/2029 (n) | | | 2,482,000 | 2,215,255 |
| Hub International Ltd., 7.25%, 6/15/2030 (n) | | | 1,725,000 | 1,757,792 |
| | | | | $17,257,987 |
| Machinery & Tools – 1.1% |
| Ritchie Bros Holdings, Inc., 6.75%, 3/15/2028 (n) | | $ | 1,885,000 | $1,908,563 |
| Ritchie Bros Holdings, Inc., 7.75%, 3/15/2031 (n) | | | 3,378,000 | 3,520,565 |
| Terex Corp., 5%, 5/15/2029 (n) | | | 2,487,000 | 2,314,079 |
| | | | | $7,743,207 |
| Major Banks – 0.4% |
| Toronto-Dominion Bank, 8.125% to 10/31/2027, FLR (CMT - 5yr. + 4.075%) to 10/31/2082 | | $ | 2,545,000 | $2,614,478 |
| Medical & Health Technology & Services – 4.5% |
| 180 Medical, Inc., 3.875%, 10/15/2029 (n) | | $ | 2,775,000 | $2,429,602 |
| Avantor Funding, Inc., 4.625%, 7/15/2028 (n) | | | 3,749,000 | 3,478,447 |
| Charles River Laboratories International, Inc., 3.75%, 3/15/2029 (n) | | | 3,224,000 | 2,844,867 |
| CHS/Community Health Systems, Inc., 8%, 12/15/2027 (n) | | | 1,400,000 | 1,368,913 |
| CHS/Community Health Systems, Inc., 6.125%, 4/01/2030 (n) | | | 2,934,000 | 1,849,366 |
| CHS/Community Health Systems, Inc., 5.25%, 5/15/2030 (n) | | | 2,548,000 | 2,035,944 |
| Encompass Health Corp., 5.75%, 9/15/2025 | | | 832,000 | 829,802 |
| Encompass Health Corp., 4.75%, 2/01/2030 | | | 2,633,000 | 2,393,222 |
| Encompass Health Corp., 4.625%, 4/01/2031 | | | 435,000 | 386,547 |
| IQVIA, Inc., 5%, 5/15/2027 (n) | | | 3,940,000 | 3,799,351 |
| IQVIA, Inc., 6.5%, 5/15/2030 (n) | | | 817,000 | 824,958 |
| Legacy LifePoint Health LLC, 4.375%, 2/15/2027 (n) | | | 895,000 | 771,938 |
| Tenet Healthcare Corp., 6.125%, 10/01/2028 | | | 1,804,000 | 1,718,472 |
| Tenet Healthcare Corp., 4.375%, 1/15/2030 | | | 853,000 | 760,779 |
| Tenet Healthcare Corp., 6.125%, 6/15/2030 | | | 2,430,000 | 2,361,352 |
| Tenet Healthcare Corp., 6.75%, 5/15/2031 (n) | | | 1,053,000 | 1,045,962 |
| U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026 (n) | | | 1,950,000 | 1,703,968 |
| | | | | $30,603,490 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Medical Equipment – 1.1% |
| Embecta Corp., 5%, 2/15/2030 (n) | | $ | 2,514,000 | $2,074,050 |
| Garden SpinCo Corp., 8.625%, 7/20/2030 (n) | | | 2,895,000 | 3,124,363 |
| Mozart Debt Merger Sub, Inc., 5.25%, 10/01/2029 (n) | | | 1,515,000 | 1,344,076 |
| Teleflex, Inc., 4.625%, 11/15/2027 | | | 1,223,000 | 1,154,206 |
| | | | | $7,696,695 |
| Metals & Mining – 3.6% |
| Baffinland Iron Mines Corp./Baffinland Iron Mines LP, 8.75%, 7/15/2026 (n) | | $ | 2,859,000 | $2,773,230 |
| Coeur Mining, Inc., 5.125%, 2/15/2029 (n) | | | 2,377,000 | 1,972,292 |
| Eldorado Gold Corp., 6.25%, 9/01/2029 (n) | | | 1,115,000 | 998,055 |
| Ero Copper Corp., 6.5%, 2/15/2030 (n) | | | 830,000 | 730,375 |
| FMG Resources Ltd., 4.375%, 4/01/2031 (n) | | | 4,915,000 | 4,226,474 |
| GrafTech Finance, Inc., 4.625%, 12/15/2028 (n) | | | 3,119,000 | 2,592,606 |
| GrafTech International Ltd., 9.875%, 12/15/2028 (n) | | | 417,000 | 423,580 |
| Kaiser Aluminum Corp., 4.625%, 3/01/2028 (n) | | | 3,771,000 | 3,384,774 |
| Kaiser Aluminum Corp., 4.5%, 6/01/2031 (n) | | | 1,455,000 | 1,189,463 |
| Novelis Corp., 3.25%, 11/15/2026 (n) | | | 1,250,000 | 1,135,847 |
| Novelis Corp., 4.75%, 1/30/2030 (n) | | | 2,527,000 | 2,271,164 |
| Novelis Corp., 3.875%, 8/15/2031 (n) | | | 1,367,000 | 1,138,305 |
| Petra Diamonds US$ Treasury PLC, 9.75%, 3/08/2026 (n) | | | 1,481,632 | 1,333,469 |
| | | | | $24,169,634 |
| Midstream – 4.3% |
| DT Midstream, Inc., 4.125%, 6/15/2029 (n) | | $ | 2,436,000 | $2,159,814 |
| DT Midstream, Inc., 4.375%, 6/15/2031 (n) | | | 3,288,000 | 2,854,446 |
| EQM Midstream Partners LP, 5.5%, 7/15/2028 | | | 5,375,000 | 5,171,681 |
| Genesis Energy LP/Genesis Energy Finance Corp., 8%, 1/15/2027 | | | 857,000 | 843,423 |
| Genesis Energy LP/Genesis Energy Finance Corp., 8.875%, 4/15/2030 | | | 1,426,000 | 1,422,342 |
| Kinetik Holdings, Inc., 5.875%, 6/15/2030 (n) | | | 2,247,000 | 2,159,929 |
| NuStar Logistics, LP, 6.375%, 10/01/2030 | | | 2,099,000 | 2,024,380 |
| Tallgrass Energy Partners LP, 6%, 3/01/2027 (n) | | | 914,000 | 866,137 |
| Tallgrass Energy Partners LP, 5.5%, 1/15/2028 (n) | | | 3,620,000 | 3,330,400 |
| Venture Global Calcasieu Pass LLC, 3.875%, 8/15/2029 (n) | | | 3,165,000 | 2,740,596 |
| Venture Global Calcasieu Pass LLC, 6.25%, 1/15/2030 (n) | | | 1,028,000 | 1,005,202 |
| Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031 (n) | | | 1,990,000 | 1,687,984 |
| Venture Global LNG, Inc., 8.125%, 6/01/2028 (n) | | | 1,537,000 | 1,562,178 |
| Venture Global LNG, Inc., 8.375%, 6/01/2031 (n) | | | 1,413,000 | 1,433,795 |
| | | | | $29,262,307 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Network & Telecom – 0.5% |
| Iliad Holding S.A.S., 6.5%, 10/15/2026 (n) | | $ | 693,000 | $664,145 |
| Iliad Holding S.A.S., 7%, 10/15/2028 (n) | | | 3,007,000 | 2,823,096 |
| | | | | $3,487,241 |
| Oil Services – 0.7% |
| Nabors Industries Ltd., 7.25%, 1/15/2026 (n) | | $ | 2,761,000 | $2,658,180 |
| Solaris Midstream Holding LLC, 7.625%, 4/01/2026 (n) | | | 1,864,000 | 1,827,419 |
| | | | | $4,485,599 |
| Oils – 1.0% |
| Parkland Corp., 4.625%, 5/01/2030 (n) | | $ | 4,552,000 | $3,994,617 |
| PBF Holding Co. LLC/PBF Finance Corp., 6%, 2/15/2028 | | | 1,999,000 | 1,887,536 |
| Puma International Financing S.A., 5%, 1/24/2026 | | | 1,001,000 | 912,829 |
| | | | | $6,794,982 |
| Personal Computers & Peripherals – 0.6% |
| NCR Corp., 5%, 10/01/2028 (n) | | $ | 2,879,000 | $2,604,309 |
| NCR Corp., 5.125%, 4/15/2029 (n) | | | 1,559,000 | 1,394,134 |
| | | | | $3,998,443 |
| Pharmaceuticals – 1.6% |
| 1375209 BC Ltd., 9%, 1/30/2028 (n) | | $ | 1,495,000 | $1,485,723 |
| Bausch Health Co., Inc., 11%, 9/30/2028 (n) | | | 1,582,000 | 1,166,332 |
| Bausch Health Co., Inc., 14%, 10/15/2030 (n) | | | 375,000 | 237,297 |
| Jazz Securities DAC, 4.375%, 1/15/2029 (n) | | | 4,010,000 | 3,565,346 |
| Organon Finance 1 LLC, 4.125%, 4/30/2028 (n) | | | 2,634,000 | 2,360,437 |
| Organon Finance 1 LLC, 5.125%, 4/30/2031 (n) | | | 2,351,000 | 1,992,915 |
| | | | | $10,808,050 |
| Pollution Control – 1.1% |
| GFL Environmental, Inc., 4.25%, 6/01/2025 (n) | | $ | 550,000 | $533,389 |
| GFL Environmental, Inc., 4%, 8/01/2028 (n) | | | 2,405,000 | 2,152,335 |
| GFL Environmental, Inc., 4.75%, 6/15/2029 (n) | | | 957,000 | 872,940 |
| GFL Environmental, Inc., 4.375%, 8/15/2029 (n) | | | 985,000 | 878,291 |
| Stericycle, Inc., 3.875%, 1/15/2029 (n) | | | 3,173,000 | 2,785,228 |
| | | | | $7,222,183 |
| Precious Metals & Minerals – 0.6% |
| IAMGOLD Corp., 5.75%, 10/15/2028 (n) | | $ | 2,750,000 | $2,117,500 |
| Taseko Mines Ltd., 7%, 2/15/2026 (n) | | | 2,069,000 | 1,913,932 |
| | | | | $4,031,432 |
| Printing & Publishing – 0.4% |
| Cimpress PLC, 7%, 6/15/2026 | | $ | 2,965,000 | $2,798,219 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Real Estate - Healthcare – 0.5% |
| MPT Operating Partnership LP/MPT Finance Corp., REIT, 0.993%, 10/15/2026 | | EUR | 655,000 | $556,981 |
| MPT Operating Partnership LP/MPT Finance Corp., REIT, 5%, 10/15/2027 | | $ | 3,066,000 | 2,687,144 |
| | | | | $3,244,125 |
| Real Estate - Other – 0.6% |
| RHP Hotel Properties, LP/RHP Finance Corp., 7.25%, 7/15/2028 (n) | | $ | 1,415,000 | $1,436,264 |
| XHR LP, REIT, 4.875%, 6/01/2029 (n) | | | 2,978,000 | 2,590,566 |
| | | | | $4,026,830 |
| Restaurants – 0.3% |
| Fertitta Entertainment LLC, 6.75%, 1/15/2030 (n) | | $ | 2,085,000 | $1,788,932 |
| Retailers – 1.8% |
| Asbury Automotive Group, Inc., 4.625%, 11/15/2029 (n) | | $ | 2,967,000 | $2,624,918 |
| Bath & Body Works, Inc., 5.25%, 2/01/2028 | | | 4,244,000 | 4,042,990 |
| Macy's Retail Holdings LLC, 5.875%, 4/01/2029 (n) | | | 2,055,000 | 1,908,992 |
| NMG Holding Co. Inc./Neiman Marcus Group LLC, 7.125%, 4/01/2026 (n) | | | 1,362,000 | 1,272,949 |
| Victoria's Secret & Co., 4.625%, 7/15/2029 (n) | | | 2,896,000 | 2,172,910 |
| | | | | $12,022,759 |
| Specialty Stores – 1.3% |
| Lithia Motors, Inc., 3.875%, 6/01/2029 (n) | | $ | 2,063,000 | $1,776,530 |
| Michael Cos., Inc., 5.25%, 5/01/2028 (n) | | | 1,315,000 | 1,117,803 |
| Michael Cos., Inc., 7.875%, 5/01/2029 (n) | | | 1,855,000 | 1,321,687 |
| Penske Automotive Group Co., 3.75%, 6/15/2029 | | | 2,935,000 | 2,538,554 |
| PetSmart, Inc./PetSmart Finance Corp., 7.75%, 2/15/2029 (n) | | | 2,415,000 | 2,355,736 |
| | | | | $9,110,310 |
| Supermarkets – 0.4% |
| Albertsons Cos. LLC/Safeway, Inc., 4.625%, 1/15/2027 (n) | | $ | 990,000 | $938,172 |
| Albertsons Cos. LLC/Safeway, Inc., 3.5%, 3/15/2029 (n) | | | 2,190,000 | 1,906,508 |
| | | | | $2,844,680 |
| Telecommunications - Wireless – 0.9% |
| Altice France S.A., 6%, 2/15/2028 (n) | | $ | 3,210,000 | $1,194,623 |
| SBA Communications Corp., 3.875%, 2/15/2027 | | | 1,776,000 | 1,636,177 |
| SBA Communications Corp., 3.125%, 2/01/2029 | | | 4,014,000 | 3,384,196 |
| | | | | $6,214,996 |
| Tobacco – 0.2% |
| Vector Group Ltd., 5.75%, 2/01/2029 (n) | | $ | 1,268,000 | $1,101,937 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| U.S. Treasury Obligations – 0.5% |
| U.S. Treasury Notes, 3%, 6/30/2024 | | $ | 3,500,000 | $3,424,668 |
| Utilities - Electric Power – 3.3% |
| Calpine Corp., 4.5%, 2/15/2028 (n) | | $ | 3,148,000 | $2,889,522 |
| Calpine Corp., 5.125%, 3/15/2028 (n) | | | 3,057,000 | 2,772,203 |
| Clearway Energy Operating LLC, 4.75%, 3/15/2028 (n) | | | 1,747,000 | 1,620,609 |
| Clearway Energy Operating LLC, 3.75%, 2/15/2031 (n) | | | 5,162,000 | 4,278,242 |
| NextEra Energy, Inc., 4.25%, 7/15/2024 (n) | | | 188,000 | 184,475 |
| NextEra Energy, Inc., 4.25%, 9/15/2024 (n) | | | 488,000 | 468,480 |
| NextEra Energy, Inc., 4.5%, 9/15/2027 (n) | | | 2,075,000 | 1,943,653 |
| Pacific Gas & Electric Co., 6.1%, 1/15/2029 | | | 985,000 | 979,327 |
| Pacific Gas & Electric Co., 6.4%, 6/15/2033 | | | 1,230,000 | 1,236,115 |
| TerraForm Global Operating LLC, 6.125%, 3/01/2026 (n) | | | 1,955,000 | 1,909,507 |
| TerraForm Power Operating LLC, 5%, 1/31/2028 (n) | | | 3,345,000 | 3,104,252 |
| TerraForm Power Operating LLC, 4.75%, 1/15/2030 (n) | | | 1,478,000 | 1,304,212 |
| | | | | $22,690,597 |
| Total Bonds (Identified Cost, $702,426,954) | | $654,316,378 |
| Common Stocks – 0.3% |
| Cable TV – 0.1% | |
| Intelsat Emergence S.A. (a) | | 35,390 | $760,885 |
| Oil Services – 0.2% | |
| LTRI Holdings LP (a)(u) | | 3,300 | $1,175,361 |
| Total Common Stocks (Identified Cost, $2,353,280) | | $1,936,246 |
| Contingent Value Rights – 0.0% |
| Cable TV – 0.0% |
| Intelsat Jackson Holdings S.A. - Series A, 12/05/2025 (a) | | | 3,704 | $23,150 |
| Intelsat Jackson Holdings S.A. - Series B, 12/05/2025 (a) | | | 3,704 | 14,816 |
| Total Contingent Value Rights (Identified Cost, $0) | | $37,966 |
| | Strike
Price | First
Exercise | | |
| Warrants – 0.0% | | | | |
| Other Banks & Diversified Financials – 0.0% |
| Avation Capital S.A. (1 share for 1 warrant, Expiration 10/31/26) (a) (Identified Cost, $0) | GBP 1.14 | 6/24/22 | 42,350 | $14,674 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Investment Companies (h) – 1.7% |
| Money Market Funds – 1.7% | |
| MFS Institutional Money Market Portfolio, 5.25% (v) (Identified Cost, $11,252,810) | | | 11,252,910 | $11,252,910 |
| Underlying/Expiration Date/Exercise Price | Put/Call | Counterparty | Notional
Amount | Par Amount/
Number of
Contracts | |
| Purchased Options – 0.0% | |
| Fixed Income ETFs – 0.0% | |
| iShares iBoxx $ High Yield Corporate Bond ETF – September 2023 @ $73 (Premiums Paid, $360,335) | Put | Goldman Sachs International | $ 28,637,150 | 3,793 | $75,860 |
|
|
| Other Assets, Less Liabilities – 1.7% | �� | 11,513,608 |
| Net Assets – 100.0% | $679,147,642 |
| (a) | Non-income producing security. | | | |
| (h) | An affiliated issuer, which 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. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $11,252,910 and $656,381,124, respectively. | | | |
| (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 $553,043,138, representing 81.4% of net assets. | | | |
| (p) | Payment-in-kind (PIK) security for which interest income may be received in additional securities and/or cash. | | | |
| (u) | The security was valued using significant unobservable inputs and is considered level 3 under the fair value hierarchy. For further information about the fund’s level 3 holdings, please see Note 2 in the Notes to Financial Statements. | | | |
| (v) | Affiliated issuer 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. | | | |
| The following abbreviations are used in this report and are defined: |
| CMT | Constant Maturity Treasury |
| ETF | Exchange-Traded Fund |
| FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
| 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 |
| GBP | British Pound |
Portfolio of Investments (unaudited) – continued
Derivative Contracts at 7/31/23
| Forward Foreign Currency Exchange Contracts |
Currency
Purchased | Currency
Sold | Counterparty | Settlement
Date | Unrealized
Appreciation
(Depreciation) |
| Asset Derivatives |
| USD | 5,262,953 | EUR | 4,669,349 | State Street Bank Corp. | 10/20/2023 | $108,762 |
| Liability Derivatives |
| EUR | 127,247 | USD | 142,265 | Barclays Bank PLC | 10/20/2023 | $(1,805) |
| EUR | 103,308 | USD | 116,020 | Morgan Stanley Capital Services, Inc. | 10/20/2023 | (1,985) |
| EUR | 134,740 | USD | 152,025 | State Street Bank Corp. | 10/20/2023 | (3,295) |
| GBP | 197,752 | USD | 255,127 | Barclays Bank PLC | 10/20/2023 | (1,287) |
| | | | | | | $(8,372) |
| Futures Contracts |
| Description | Long/
Short | Currency | Contracts | Notional
Amount | Expiration
Date | Value/Unrealized
Appreciation
(Depreciation) |
| Liability Derivatives |
| Interest Rate Futures | | |
| U.S. Treasury Bond | Long | USD | 30 | $3,733,125 | September – 2023 | $(80,904) |
| U.S. Treasury Ultra Note 10 yr | Long | USD | 75 | 8,773,828 | September – 2023 | (222,348) |
| | | | | | | $(303,252) |
At July 31, 2023, the fund had cash collateral of $327,000 to cover any collateral or margin obligations for certain derivative contracts. Restricted cash and/or deposits with brokers in the Statement of Assets and Liabilities are comprised of cash collateral.
See Notes to Financial Statements
Financial Statements
Statement of Assets and Liabilities
At 7/31/23 (unaudited)
This statement represents your fund’s balance sheet, which details the assets and liabilities comprising the total value of the fund.
| Assets | |
| Investments in unaffiliated issuers, at value (identified cost, $705,140,569) | $656,381,124 |
| Investments in affiliated issuers, at value (identified cost, $11,252,810) | 11,252,910 |
| Deposits with brokers for | |
| Futures contracts | 327,000 |
| Receivables for | |
| Forward foreign currency exchange contracts | 108,762 |
| Net daily variation margin on open futures contracts | 12,655 |
| Investments sold | 3,056,204 |
| Fund shares sold | 56,060 |
| Interest and dividends | 10,477,210 |
| Other assets | 905 |
| Total assets | $681,672,830 |
| Liabilities | |
| Payables for | |
| Distributions | $400 |
| Forward foreign currency exchange contracts | 8,372 |
| Investments purchased | 1,246,511 |
| Fund shares reacquired | 1,204,805 |
| Payable to affiliates | |
| Administrative services fee | 192 |
| Shareholder servicing costs | 12 |
| Accrued expenses and other liabilities | 64,896 |
| Total liabilities | $2,525,188 |
| Net assets | $679,147,642 |
| Net assets consist of | |
| Paid-in capital | $831,454,163 |
| Total distributable earnings (loss) | (152,306,521) |
| Net assets | $679,147,642 |
| Shares of beneficial interest outstanding | 84,626,845 |
| Net asset value per share (net assets of $679,147,642 / 84,626,845 shares of beneficial interest outstanding) | $8.03 |
See Notes to Financial Statements
Financial Statements
Statement of Operations
Six months ended 7/31/23 (unaudited)
This statement describes how much your fund earned in investment income and accrued in expenses. It also describes any gains and/or losses generated by fund operations.
| Net investment income (loss) | |
| Income | |
| Interest | $22,114,904 |
| Dividends from affiliated issuers | 414,831 |
| Other | 23,126 |
| Total investment income | $22,552,861 |
| Expenses | |
| Shareholder servicing costs | $20 |
| Administrative services fee | 8,679 |
| Custodian fee | 24,971 |
| Shareholder communications | 1,882 |
| Audit and tax fees | 25,748 |
| Legal fees | 1,754 |
| Pricing service fees | 4,075 |
| Form N-CEN/N-PORT preparation fees | 4,860 |
| Miscellaneous | 8,927 |
| Total expenses | $80,916 |
| Fees paid indirectly | (4) |
| Net expenses | $80,912 |
| Net investment income (loss) | $22,471,949 |
| Realized and unrealized gain (loss) |
| Realized gain (loss) (identified cost basis) | |
| Unaffiliated issuers | $(20,638,429) |
| Affiliated issuers | 1,998 |
| Futures contracts | 219,603 |
| Forward foreign currency exchange contracts | (113,294) |
| Foreign currency | (595) |
| Net realized gain (loss) | $(20,530,717) |
| Change in unrealized appreciation or depreciation | |
| Unaffiliated issuers | $17,914,602 |
| Affiliated issuers | (1,221) |
| Futures contracts | (196,914) |
| Forward foreign currency exchange contracts | 124,964 |
| Translation of assets and liabilities in foreign currencies | (2,488) |
| Net unrealized gain (loss) | $17,838,943 |
| Net realized and unrealized gain (loss) | $(2,691,774) |
| Change in net assets from operations | $19,780,175 |
See Notes to Financial Statements
Financial Statements
Statements of Changes in Net Assets
These statements describe the increases and/or decreases in net assets resulting from operations, any distributions, and any shareholder transactions.
| | Six months ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 |
| Change in net assets | | |
| From operations | | |
| Net investment income (loss) | $22,471,949 | $46,442,609 |
| Net realized gain (loss) | (20,530,717) | (35,574,607) |
| Net unrealized gain (loss) | 17,838,943 | (55,397,358) |
| Change in net assets from operations | $19,780,175 | $(44,529,356) |
| Total distributions to shareholders | $(22,910,143) | $(47,089,882) |
| Change in net assets from fund share transactions | $(44,337,471) | $(179,131,688) |
| Total change in net assets | $(47,467,439) | $(270,750,926) |
| Net assets | | |
| At beginning of period | 726,615,081 | 997,366,007 |
| At end of period | $679,147,642 | $726,615,081 |
See Notes to Financial Statements
Financial Statements
Financial Highlights
The financial highlights table is intended to help you understand the fund's financial performance for the semiannual period and the past 5 fiscal years. Certain information reflects financial results for a single fund share. The total returns in the table represent the rate that an investor would have earned (or lost) on an investment in the fund share class (assuming reinvestment of all distributions) held for the entire period.
| | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $8.05 | $8.88 | $9.25 | $9.33 | $8.94 | $9.31 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.26 | $0.47 | $0.47 | $0.50 | $0.51 | $0.52 |
| Net realized and unrealized gain (loss) | (0.02) | (0.82) | (0.34) | (0.06)(g) | 0.39 | (0.36) |
| Total from investment operations | $0.24 | $(0.35) | $0.13 | $0.44 | $0.90 | $0.16 |
| Less distributions declared to shareholders |
| From net investment income | $(0.26) | $(0.48) | $(0.50) | $(0.52) | $(0.51) | $(0.53) |
| Net asset value, end of period (x) | $8.03 | $8.05 | $8.88 | $9.25 | $9.33 | $8.94 |
| Total return (%) (s)(x) | 3.06(n) | (3.84) | 1.39 | 5.02 | 10.29 | 1.86 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses (f) | 0.02(a) | 0.02 | 0.02 | 0.02 | 0.02 | 0.02 |
| Net investment income (loss) | 6.49(a) | 5.77 | 5.09 | 5.58 | 5.51 | 5.77 |
| Portfolio turnover | 23(n) | 25 | 60 | 66 | 59 | 38 |
| Net assets at end of period (000 omitted) | $679,148 | $726,615 | $997,366 | $1,228,318 | $889,031 | $788,437 |
| (a) | Annualized. |
| (d) | Per share data is based on average shares outstanding. |
| (f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. See Note 2 in the Notes to Financial Statements for additional information. |
| (g) | The per share amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of fund shares and the per share amount of realized and unrealized gains and losses at such time. |
| (n) | Not annualized. |
| (s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
| (x) | The net asset values and total returns have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
See Notes to Financial Statements
Notes to Financial Statements
(unaudited)
(1) Business and Organization
MFS High Yield Pooled Portfolio (the fund) is a diversified series of MFS Series Trust III (the trust). The trust is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. This fund is available only to certain U.S. registered investment companies managed by MFS. MFS does not receive a management fee from this fund.
The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies.
(2) Significant Accounting Policies
General — The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. In the preparation of these financial statements, management has evaluated subsequent events occurring after the date of the fund’s Statement of Assets and Liabilities through the date that the financial statements were issued. The fund invests in high-yield securities rated below investment grade. Investments in below investment grade quality securities can involve a substantially greater risk of default or can already be in default, and their values can decline significantly. Below investment grade quality securities tend to be more sensitive to adverse news about the issuer, or the market or economy in general, than higher quality debt instruments. The fund invests in foreign securities. Investments in foreign securities are vulnerable to the effects of changes in the relative values of the local currency and the U.S. dollar and to the effects of changes in each country’s market, economic, industrial, political, regulatory, geopolitical, environmental, public health, and other conditions.
Balance Sheet Offsetting — The fund's accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the International Swaps and Derivatives Association (ISDA) Master Agreement, or similar agreement, does not result in an offset of reported amounts of financial assets and financial liabilities in the Statement of Assets and Liabilities across transactions between the fund and the applicable counterparty. The fund's right to setoff may be restricted or prohibited by the bankruptcy or insolvency laws of the particular jurisdiction to which a specific master netting agreement counterparty is subject. Balance sheet offsetting disclosures, to the extent applicable to the fund, have been included in the fund’s Significant Accounting Policies note under the captions for each of the fund’s in-scope financial instruments and transactions.
Investment Valuations — Subject to its oversight, the fund's Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments to MFS as the fund's adviser, pursuant to the fund’s valuation policy and procedures which have been adopted by the adviser and approved by the Board. In accordance with Rule 2a-5 under the Investment Company Act of 1940, the
Notes to Financial Statements (unaudited) - continued
Board of Trustees designated the adviser as the “valuation designee” of the fund. If the adviser, as valuation designee, determines that reliable market quotations are not readily available for an investment, the investment is valued at fair value as determined in good faith by the adviser in accordance with the adviser’s fair valuation policy and procedures.
Under the fund's valuation policy and procedures, equity securities, including restricted equity securities, are generally valued at the last sale or official closing price on their primary market or exchange as provided by a third-party pricing service. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation on their primary market or exchange as provided by a third-party pricing service. Debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value.
Exchange-traded options are generally valued at the last sale or official closing price on their primary exchange as provided by a third-party pricing service. Exchange-traded options for which there were no sales reported that day are generally valued at the last daily bid quotation on their primary exchange as provided by a third-party pricing service. For put options, the position may be valued at the last daily ask quotation if there are no trades reported during the day. Options not traded on an exchange are generally valued at a broker/dealer bid quotation. Foreign currency options are generally valued at valuations provided by a third-party pricing service. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party pricing service.
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. 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.
Under the fund’s valuation policy and procedures, market quotations are not considered to be readily available for debt instruments, floating rate loans, and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services or otherwise determined by the adviser in accordance with the adviser’s fair valuation policy and procedures. 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. In determining values, third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, spreads and other market data. An investment may also be valued at fair value if the adviser determines that the 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 halt of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets;
Notes to Financial Statements (unaudited) - continued
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 significant unobservable inputs, which may include the adviser's own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts and forward foreign currency exchange contracts. The following is a summary of the levels used as of July 31, 2023 in valuing the fund's assets and liabilities:
| Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
| Equity Securities: | | | | |
| United States | $75,860 | $— | $1,175,361 | $1,251,221 |
| Luxembourg | — | 798,851 | — | 798,851 |
| United Kingdom | — | 14,674 | — | 14,674 |
| U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 3,424,668 | — | 3,424,668 |
| U.S. Corporate Bonds | — | 545,994,440 | — | 545,994,440 |
| Foreign Bonds | — | 104,897,270 | — | 104,897,270 |
| Mutual Funds | 11,252,910 | — | — | 11,252,910 |
| Total | $11,328,770 | $655,129,903 | $1,175,361 | $667,634,034 |
| Other Financial Instruments | | | | |
| Futures Contracts – Liabilities | $(303,252) | $— | $— | $(303,252) |
| Forward Foreign Currency Exchange Contracts – Assets | — | 108,762 | — | 108,762 |
| Forward Foreign Currency Exchange Contracts – Liabilities | — | (8,372) | — | (8,372) |
For further information regarding security characteristics, see the Portfolio of Investments.
Notes to Financial Statements (unaudited) - continued
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 1/31/23 | $1,339,032 |
| Realized gain (loss) | 275,672 |
| Change in unrealized appreciation or depreciation | (163,671) |
| Sales | (275,672) |
| Balance as of 7/31/23 | $1,175,361 |
The net change in unrealized appreciation or depreciation from investments held as level 3 at July 31, 2023 is $69,729. At July 31, 2023, the fund held one level 3 security.
Foreign Currency Translation — Purchases and sales of foreign investments, income, and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions or on the reporting date for foreign denominated receivables and payables. Gains and losses attributable to foreign currency exchange rates on sales of securities are recorded for financial statement purposes as net realized gains and losses on investments. Gains and losses attributable to foreign exchange rate movements on receivables, payables, income and expenses are recorded for financial statement purposes as foreign currency transaction gains and losses. That portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
Derivatives — The fund uses derivatives primarily to increase or decrease exposure to a particular market or segment of the market, or security, to increase or decrease interest rate exposure, or as alternatives to direct investments. Derivatives are used for hedging or non-hedging purposes. While hedging can reduce or eliminate losses, it can also reduce or eliminate gains. When the fund uses derivatives as an investment to increase market exposure, or for hedging purposes, gains and losses from derivative instruments may be substantially greater than the derivative’s original cost.
The derivative instruments used by the fund during the period were purchased options, futures contracts, and forward foreign currency exchange contracts. Depending on the type of derivative, a fund may exit a derivative position by entering into an offsetting transaction with a counterparty or exchange, negotiating an agreement with the derivative counterparty, or novating the position to a third party. The fund may be unable to promptly close out a futures position in instances where the daily fluctuation in the price for that type of future exceeds the daily limit set by the exchange. The fund's period end derivatives, as presented in the Portfolio of Investments and the associated Derivative Contract tables, generally are indicative of the volume of its derivative activity during the period.
Notes to Financial Statements (unaudited) - continued
The following table presents, by major type of derivative contract, the fair value, on a gross basis, of the asset and liability components of derivatives held by the fund at July 31, 2023 as reported in the Statement of Assets and Liabilities:
| | | Fair Value (a) |
| Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
| Interest Rate | Futures Contracts | $— | $(303,252) |
| Foreign Exchange | Forward Foreign Currency Exchange Contracts | 108,762 | (8,372) |
| Equity | Purchased Option Contracts | 75,860 | — |
| Total | | $184,622 | $(311,624) |
| (a) | The value of purchased options outstanding is included in investments in unaffiliated issuers, at value, within the Statement of Assets and Liabilities. Values presented in this table for futures contracts correspond to the values reported in the Portfolio of Investments. Only the current day net variation margin for futures contracts is reported separately within the Statement of Assets and Liabilities. |
The following table presents, by major type of derivative contract, the realized gain (loss) on derivatives held by the fund for the six months ended July 31, 2023 as reported in the Statement of Operations:
| Risk | Futures
Contracts | Forward Foreign
Currency
Exchange
Contracts | Unaffiliated Issuers
(Purchased
Options) |
| Interest Rate | $219,603 | $— | $— |
| Foreign Exchange | — | (113,294) | — |
| Equity | — | — | (644,276) |
| Total | $219,603 | $(113,294) | $(644,276) |
The following table presents, by major type of derivative contract, the change in unrealized appreciation or depreciation on derivatives held by the fund for the six months ended July 31, 2023 as reported in the Statement of Operations:
| Risk | Futures
Contracts | Forward Foreign
Currency
Exchange
Contracts | Unaffiliated Issuers
(Purchased
Options) |
| Interest Rate | $(196,914) | $— | $— |
| Foreign Exchange | — | 124,964 | — |
| Equity | — | — | (284,475) |
| Total | $(196,914) | $124,964 | $(284,475) |
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain, but not all, uncleared derivatives, the fund attempts to reduce its exposure to counterparty credit risk whenever possible by entering into an ISDA Master Agreement on a bilateral basis. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a specified deterioration in the credit quality of the other party. Upon an event of default or a termination of the ISDA Master Agreement, the non-defaulting party has the right to close out all transactions
Notes to Financial Statements (unaudited) - continued
traded under such agreement and to net amounts owed under each agreement to one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the fund's credit risk to such counterparty equal to any amounts payable by the fund under the applicable transactions, if any.
Collateral and margin requirements differ by type of derivative. For cleared derivatives (e.g., futures contracts, cleared swaps, and exchange-traded options), margin requirements are set by the clearing broker and the clearing house and collateral, in the form of cash or securities, is posted by the fund directly with the clearing broker. Collateral terms are counterparty agreement specific for uncleared derivatives (e.g., forward foreign currency exchange contracts, uncleared swap agreements, and uncleared options) and collateral, in the form of cash and securities, is held in segregated accounts with the fund's custodian in connection with these agreements. For derivatives traded under an ISDA Master Agreement, which contains a credit support annex, the collateral requirements are netted across all transactions traded under such counterparty-specific agreement and an amount is posted from one party to the other to collateralize such obligations. Cash that has been segregated or delivered to cover the fund's collateral or margin obligations under derivative contracts, if any, will be reported separately in the Statement of Assets and Liabilities as restricted cash for uncleared derivatives and/or deposits with brokers for cleared derivatives. Securities pledged as collateral or margin for the same purpose, if any, are noted in the Portfolio of Investments. The fund may be required to make payments of interest on uncovered collateral or margin obligations with the broker. Any such payments are included in “Miscellaneous” expense in the Statement of Operations.
Purchased Options — The fund purchased put options for a premium. Purchased put options entitle the holder to sell a specified number of shares or units of a particular security, currency or index at a specified price at a specified date or within a specified period of time. Purchasing put options may hedge against an anticipated decline in the value of portfolio securities or currency or decrease the fund's exposure to an underlying instrument.
The premium paid is initially recorded as an investment in the Statement of Assets and Liabilities. That investment is subsequently marked-to-market daily with the difference between the premium paid and the market value of the purchased option being recorded as unrealized appreciation or depreciation. Premiums paid for purchased put options which have expired are treated as realized losses on investments in the Statement of Operations. Upon the exercise or closing of a purchased put option, the premium paid is offset against the proceeds on the sale of the underlying security or financial instrument in order to determine the realized gain or loss on investments.
Whether or not the option is exercised, the fund's maximum risk of loss from purchasing an option is the amount of premium paid. All option contracts involve credit risk if the counterparty to the option contract fails to perform. For uncleared options, this risk is mitigated in cases where there is an ISDA Master Agreement between the fund and the counterparty providing for netting as described above and, where applicable, by the posting of collateral by the counterparty to the fund to cover the fund’s exposure to the counterparty under such ISDA Master Agreement.
Notes to Financial Statements (unaudited) - continued
Futures Contracts — The fund entered into futures contracts which may be used to hedge against or obtain broad market exposure, interest rate exposure, currency exposure, or to manage duration. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a futures contract, the fund is required to deposit with the broker, either in cash or securities, an initial margin in an amount equal to a specified percentage of the notional amount of the contract. Subsequent payments (variation margin) are made or received by the fund each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gain or loss by the fund until the contract is closed or expires at which point the gain or loss on futures contracts is realized.
The fund bears the risk of interest rates, exchange rates or securities prices moving unexpectedly, in which case, the fund may not achieve the anticipated benefits of the futures contracts and may realize a loss. While futures contracts may present less counterparty risk to the fund since the contracts are exchange traded and the exchange’s clearinghouse guarantees payments to the broker, there is still counterparty credit risk due to the insolvency of the broker. The fund’s maximum risk of loss due to counterparty credit risk is equal to the margin posted by the fund to the broker plus any gains or minus any losses on the outstanding futures contracts.
Forward Foreign Currency Exchange Contracts — The fund entered into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. These contracts may be used to hedge the fund’s currency risk or for non-hedging purposes. For hedging purposes, the fund may enter into contracts to deliver or receive foreign currency that the fund will receive from or use in its normal investment activities. The fund may also use contracts to hedge against declines in the value of foreign currency denominated securities due to unfavorable exchange rate movements. For non-hedging purposes, the fund may enter into contracts with the intent of changing the relative exposure of the fund’s portfolio of securities to different currencies to take advantage of anticipated exchange rate changes.
Forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any unrealized gains or losses are recorded as a receivable or payable for forward foreign currency exchange contracts until the contract settlement date. On contract settlement date, any gain or loss on the contract is recorded as realized gains or losses on forward foreign currency exchange contracts.
Risks may arise upon entering into these contracts from unanticipated movements in the value of the contract and from the potential inability of counterparties to meet the terms of their contracts. Generally, the fund’s maximum risk due to counterparty credit risk is the unrealized gain on the contract due to the use of Continuous Linked Settlement, a multicurrency cash settlement system for the centralized settlement of foreign transactions. This risk is mitigated in cases where there is an ISDA Master Agreement between the fund and the counterparty providing for netting as described above and, where applicable, by the posting of collateral by the counterparty to the fund to cover the fund’s exposure to the counterparty under such ISDA Master Agreement.
Notes to Financial Statements (unaudited) - continued
Indemnifications — Under the fund's organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the fund. Additionally, in the normal course of business, the fund enters into agreements with service providers that may contain indemnification clauses. The fund's maximum exposure under these agreements is unknown as this would involve future claims that may be made against the fund that have not yet occurred.
Investment Transactions and Income — Interest income is recorded on the accrual basis. All premium and discount is amortized or accreted for financial statement purposes in accordance with U.S. generally accepted accounting principles. Dividends received in cash are recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded when the fund is informed of the dividend if such information is obtained subsequent to the ex-dividend date. Dividend and interest payments received in additional securities are recorded on the ex-dividend or ex-interest date in an amount equal to the value of the security on such date.
The fund may receive proceeds from litigation settlements. Any proceeds received from litigation involving portfolio holdings are reflected in the Statement of Operations in realized gain/loss if the security has been disposed of by the fund or in unrealized gain/loss if the security is still held by the fund. Any other proceeds from litigation not related to portfolio holdings are reflected as other income in the Statement of Operations.
Investment transactions are recorded on the trade date. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
Fees Paid Indirectly — The fund's custody fee may be reduced by a credit earned under an arrangement that measures the value of U.S. dollars deposited with the custodian by the fund. The amount of the credit, for the six months ended July 31, 2023, is shown as a reduction of total expenses in the Statement of Operations.
Tax Matters and Distributions — The fund intends to qualify as a regulated investment company, as defined under Subchapter M of the Internal Revenue Code, and to distribute all of its taxable income, including realized capital gains. As a result, no provision for federal income tax is required. The fund’s federal tax returns, when filed, will remain subject to examination by the Internal Revenue Service for a three year period. Management has analyzed the fund’s tax positions taken on federal and state tax returns for all open tax years and does not believe that there are any uncertain tax positions that require recognition of a tax liability. Foreign taxes, if any, have been accrued by the fund in the accompanying financial statements in accordance with the applicable foreign tax law. Foreign income taxes may be withheld by certain countries in which the fund invests. Additionally, capital gains realized by the fund on securities issued in or by certain foreign countries may be subject to capital gains tax imposed by those countries.
Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net
Notes to Financial Statements (unaudited) - continued
asset value per share. Temporary differences which arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future.
Book/tax differences primarily relate to amortization and accretion of debt securities.
The tax character of distributions made during the current period will be determined at fiscal year end. The tax character of distributions declared to shareholders for the last fiscal year is as follows:
| | Year ended
1/31/23 |
| Ordinary income (including any short-term capital gains) | $47,089,882 |
The federal tax cost and the tax basis components of distributable earnings were as follows:
| As of 7/31/23 | |
| Cost of investments | $716,829,413 |
| Gross appreciation | 4,050,457 |
| Gross depreciation | (53,245,836) |
| Net unrealized appreciation (depreciation) | $(49,195,379) |
| As of 1/31/23 | |
| Undistributed ordinary income | 3,909,051 |
| Capital loss carryforwards | (79,955,813) |
| Other temporary differences | (3,872,570) |
| Net unrealized appreciation (depreciation) | (69,257,221) |
The aggregate cost above includes prior fiscal year end tax adjustments, if applicable.
As of January 31, 2023, the fund had capital loss carryforwards available to offset future realized gains. These net capital losses may be carried forward indefinitely and their character is retained as short-term and/or long-term losses. Such losses are characterized as follows:
| Short-Term | $(12,341,397) |
| Long-Term | (67,614,416) |
| Total | $(79,955,813) |
(3) Transactions with Affiliates
Investment Adviser — The fund has an investment advisory agreement with MFS to provide overall investment management and related administrative services and facilities to the fund. MFS receives no compensation under this agreement; however MFS receives management fees from MFS funds that invest in the fund.
Shareholder Servicing Agent — MFS Service Center, Inc. (MFSC), a wholly-owned subsidiary of MFS, provides transfer agent and recordkeeping functions in connection with the issuance, transfer, and redemption of shares of the fund under a Shareholder Servicing Agent Agreement. MFSC is not paid a fee for providing these services. MFSC receives reimbursement from the fund for out-of-pocket expenses paid by MFSC on behalf of the fund. For the six months ended July 31, 2023, these costs amounted to $20.
Notes to Financial Statements (unaudited) - continued
Administrator — MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to the fund. Under an administrative services agreement, the fund reimburses MFS the costs incurred to provide these services. The fund pays an annual fixed amount of $17,500. The administrative services fee is computed daily and paid monthly. The administrative services fee incurred for the six months ended July 31, 2023 was equivalent to an annual effective rate of 0.0025% of the fund's average daily net assets.
Trustees’ and Officers’ Compensation - The fund may pay compensation to independent Trustees in the form of a retainer, attendance fees, and additional compensation to Board and Committee chairpersons. Independent Trustees’ compensation is accrued daily and paid subsequent to each Trustee Board meeting. The fund does not pay compensation directly to Trustees or officers of the fund who are also officers of the investment adviser, all of whom receive remuneration from MFS for their services to the fund. Certain officers and Trustees of the fund are officers or directors of MFS, MFS Fund Distributors, Inc. (MFD), and MFSC. The independent Trustees do not currently receive compensation from the fund.
Other — The fund invests in the MFS Institutional Money Market Portfolio which is managed by MFS and seeks current income consistent with preservation of capital and liquidity. This money market fund does not pay a management fee to MFS but does incur investment and operating costs.
(4) Portfolio Securities
For the six months ended July 31, 2023, purchases and sales of investments, other than purchased options with an expiration date of less than one year from the time of purchase and short-term obligations, aggregated $156,122,988 and $203,872,911, respectively.
(5) Shares of Beneficial Interest
The fund's Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest. Transactions in fund shares were as follows:
| | Six months ended
7/31/23 | | Year ended
1/31/23 |
| | Shares | Amount | | Shares | Amount |
| Shares sold | 2,120,450 | $16,884,998 | | 4,236,645 | $34,051,394 |
Shares issued to shareholders in
reinvestment of distributions | 2,875,789 | 22,910,143 | | 5,845,303 | 47,089,882 |
| Shares reacquired | (10,595,742) | (84,132,612) | | (32,206,489) | (260,272,964) |
| Net change | (5,599,503) | $(44,337,471) | | (22,124,541) | $(179,131,688) |
The fund is an MFS Pooled Portfolio, which is designed to be used by certain MFS funds to invest in a particular security type rather than invest in the security type directly. The fund is solely invested in by other MFS funds for the purpose of gaining exposure to high income debt instruments, rather than investing in high income debt instruments directly. The MFS funds do not invest in this fund for the purpose of exercising
Notes to Financial Statements (unaudited) - continued
management or control. At the end of the period, the MFS Diversified Income Fund, the MFS Global High Yield Fund, and the MFS Income Portfolio were the owners of record of approximately 81%, 18%, and 1%, respectively, of the value of outstanding voting shares of the fund.
(6) Line of Credit
The fund and certain other funds managed by MFS participate in a $1.45 billion unsecured committed line of credit of which $1.2 billion is reserved for use by the fund and certain other MFS U.S. funds. The line of credit is provided by a syndicate of banks under a credit agreement. Borrowings may be made for temporary financing needs. Interest is charged to each fund, based on its borrowings, generally at a rate equal to the highest of 1) Daily Simple SOFR (Secured Overnight Financing Rate) plus 0.10%, 2) the Federal Funds Effective Rate, or 3) the Overnight Bank Funding Rate, each plus an agreed upon spread. A commitment fee, based on the average daily unused portion of the committed line of credit, is allocated among the participating funds. The line of credit expires on March 14, 2024 unless extended or renewed. In addition, the fund and other funds managed by MFS have established unsecured uncommitted borrowing arrangements with certain banks for temporary financing needs. Interest is charged to each fund, based on its borrowings, at rates equal to customary reference rates plus an agreed upon spread. For the six months ended July 31, 2023, the fund’s commitment fee and interest expense were $1,848 and $0, respectively, and are included in “Miscellaneous” expense in the Statement of Operations.
(7) Investments in 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 following were affiliated issuers:
| Affiliated Issuers | Beginning
Value | Purchases | Sales
Proceeds | Realized
Gain
(Loss) | Change in
Unrealized
Appreciation or
Depreciation | Ending
Value |
| MFS Institutional Money Market Portfolio | $16,165,324 | $89,914,765 | $94,827,956 | $1,998 | $(1,221) | $11,252,910 |
| Affiliated Issuers | Dividend
Income | Capital Gain
Distributions |
| MFS Institutional Money Market Portfolio | $414,831 | $— |
Board Review of Investment Advisory Agreement
MFS High Yield Pooled Portfolio
The Investment Company Act of 1940 requires that both the full Board of Trustees and a majority of the non-interested (“independent”) Trustees, voting separately, annually approve the continuation of the Fund’s investment advisory agreement with MFS. The Trustees consider matters bearing on the Fund and its advisory arrangements at their meetings throughout the year, including a review of performance data at each regular meeting. In addition, the independent Trustees met several times over the course of three months beginning in May and ending in July, 2023 (“contract review meetings”) for the specific purpose of considering whether to approve the continuation of the investment advisory agreement for the Fund and the other investment companies that the Board oversees (the “MFS Funds”). The independent Trustees were assisted in their evaluation of the Fund’s investment advisory agreement by independent legal counsel, from whom they received separate legal advice and with whom they met separately from MFS during various contract review meetings. The independent Trustees were also assisted in this process by an independent consultant who was retained by and reported to the independent Trustees.
In connection with their deliberations regarding the continuation of the investment advisory agreement, the Trustees, including the independent Trustees, considered such information and factors as they believed, in light of the legal advice furnished to them and their own business judgment, to be relevant. The investment advisory agreement for the Fund was considered separately, although the Trustees also took into account the common interests of all MFS Funds in their review. As described below, the Trustees considered the nature, quality, and extent of the various investment advisory, administrative, and shareholder services performed by MFS under the existing investment advisory agreement and other arrangements with the Fund.
As part of their deliberations, the Trustees took into account that the Fund was formed solely to act as a vehicle to pool the portions of other MFS funds invested in high yielding debt instruments, and that shares of the Fund are not distributed or sold to the public. The Trustees gave substantial consideration to the fact that MFS does not charge a separate advisory fee to the Fund under the investment advisory agreement or charge transfer agency fees, administrative services fees, sales loads or distribution and service fees to the Fund, but that MFS receives advisory and other fees from the MFS funds that invest a portion of their assets in the Fund.
In connection with their contract review meetings, the Trustees received and relied upon materials that included, among other items: (i) information provided by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent third party, on the investment performance of the Fund for various time periods ended December 31, 2022 and the investment performance of a group of funds with substantially similar investment classifications/objectives (the “Broadridge performance universe”), (ii) information provided by Broadridge on the Fund’s fees and expenses and the fees and expenses of comparable funds identified by Broadridge as well as all other funds in the same investment classification/category (the “Broadridge expense group and universe”), (iii) information as to whether and to what extent applicable expense waivers and reimbursements are observed for the Fund, (iv) information regarding MFS’
Board Review of Investment Advisory Agreement - continued
financial results and financial condition, including MFS’ and certain of its affiliates’ estimated profitability from services performed for the Fund and the MFS Funds as a whole, and compared to MFS’ institutional business, (v) MFS’ views regarding the outlook for the mutual fund industry and the strategic business plans of MFS, (vi) descriptions of various functions performed by MFS for the Funds, such as compliance monitoring and portfolio trading practices, and (vii) information regarding the overall organization of MFS, including information about MFS’ senior management and other personnel providing investment advisory, administrative and other services to the Fund and the other MFS Funds. The comparative performance, fee and expense information prepared and provided by Broadridge was not independently verified and the independent Trustees did not independently verify any information provided to them by MFS.
The Trustees’ conclusion as to the continuation of the investment advisory agreement was based on a comprehensive consideration of all information provided to the Trustees and not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations are described below, although individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. It is also important to recognize that the fee arrangements for the Fund and other MFS Funds are the result of years of review and discussion between the independent Trustees and MFS, that certain aspects of such arrangements may receive greater scrutiny in some years than in others, and that the Trustees’ conclusions may be based, in part, on their consideration of these same arrangements during the course of the year and in prior years.
Based on information provided by Broadridge and MFS, the Trustees reviewed the Fund’s total return investment performance as well as the Broadridge performance universe over various time periods. The Trustees placed particular emphasis on the total return performance of the Fund’s shares in comparison to the performance of funds in its Broadridge performance universe over the five-year period ended December 31, 2022, which the Trustees believed was a long enough period to reflect differing market conditions. The total return performance of the Fund’s shares was in the 2nd quintile relative to the other funds in the universe for this five-year period (the 1st quintile being the best performers and the 5th quintile being the worst performers). The total return performance of the Fund’s shares was in the 2nd quintile for the one-year period and the 3rd quintile for the three-year period ended December 31, 2022 relative to the Broadridge performance universe. Because of the passage of time, these performance results may differ from the performance results for more recent periods, including those shown elsewhere in this report.
In the course of their deliberations, the Trustees took into account information provided by MFS in connection with the contract review meetings, as well as during investment review meetings conducted with portfolio management personnel during the course of the year regarding the Fund’s performance. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the investment advisory agreement, that they were satisfied with MFS’ responses and efforts relating to investment performance.
In assessing the reasonableness of the Fund’s expenses, the Trustees considered, among other information, the total expense ratio of the Fund’s shares as a percentage of average daily net assets and the total expense ratios of the Broadridge expense group
Board Review of Investment Advisory Agreement - continued
based on information provided by Broadridge. The Trustees considered that, according to the data provided by Broadridge (which takes into account any expense limitations that were in effect during the Fund’s last fiscal year), the Fund’s total expense ratio was lower than the Broadridge expense group median. Because the Fund does not pay an advisory fee, the Trustees did not consider the extent to which economies of scale would be realized due to the Fund’s growth of assets, whether fee levels reflect economies of scale for shareholders, or the fees paid by similar funds to other investment advisers or by similar clients of MFS.
The Trustees also considered information prepared by MFS relating to MFS’ costs and profits with respect to the Fund, the MFS Funds considered as a group, and other investment companies and accounts advised by MFS, as well as MFS’ methodologies used to determine and allocate its costs to the MFS Funds, the Fund and other accounts and products for purposes of estimating profitability.
In addition, the Trustees considered MFS’ resources and related efforts to continue to retain, attract and motivate capable personnel to serve the Fund. The Trustees also considered current and developing conditions in the financial services industry, including the presence of large and well-capitalized companies which are spending, and appear to be prepared to continue to spend, substantial sums to engage personnel and to provide services to competing investment companies. In this regard, the Trustees also considered the financial resources of MFS and its ultimate parent, Sun Life Financial Inc. The Trustees also considered the advantages and possible disadvantages to the Fund of having an adviser that also serves other investment companies as well as other accounts.
The Trustees also considered the nature, quality, cost, and extent of administrative and transfer agency services provided to the Fund by MFS and its affiliates under agreements other than the investment advisory agreement. The Trustees also considered the nature, extent and quality of certain other services MFS performs or arranges for on the Fund’s behalf, which may include securities lending programs, directed expense payment programs, class action recovery programs, and MFS’ interaction with third-party service providers, principally custodians and sub-custodians. The Trustees concluded that the various non-advisory services provided by MFS and its affiliates on behalf of the Fund were satisfactory.
The Trustees considered so-called “fall-out benefits” to MFS such as reputational value derived from serving as investment manager to the MFS Funds. The Trustees also considered that MFS discontinued its historic practice of obtaining investment research from portfolio brokerage commissions paid by certain MFS Funds effective January 2018, and directly pays or voluntarily reimburses a Fund, if applicable, for the costs of external research acquired through the use of the Fund’s portfolio brokerage commissions.
Based on their evaluation of factors that they deemed to be material, including those factors described above, the Board of Trustees, including the independent Trustees, concluded that the Fund’s investment advisory agreement with MFS should be continued for an additional one-year period, commencing August 1, 2023.
Statement Regarding Liquidity Risk Management Program
The fund has adopted and implemented a liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940, as amended. The fund’s Board of Trustees (the “Board”) has designated MFS as the administrator of the Program. The Program is reasonably designed to assess and manage the liquidity risk of the fund. Liquidity risk is the risk that the fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors' interests.
MFS provided a written report to the Board for consideration at its March 2023 meeting that addressed the operation of the Program and provided an assessment of the adequacy and effectiveness of the Program during the period from January 1, 2022 to December 31, 2022 (the “Covered Period”). The report concluded that during the Covered Period the Program had operated effectively in all material respects and had adequately and effectively been implemented to assess and manage the fund’s liquidity risk. MFS also reported that there were no liquidity events that impacted the fund or its ability to timely meet redemptions without dilution to existing shareholders during the Covered Period.
There can be no assurance that the Program will achieve its objectives in the future. Further information on liquidity risk, and other principal risks to which an investment in the fund may be subject, can be found in the prospectus.
Proxy Voting Policies and Information
MFS votes proxies on behalf of the fund pursuant to proxy voting policies and procedures that are available without charge, upon request, by calling 1-800-225-2606, by visiting mfs.com/proxyvoting, or by visiting the SEC’s Web site at http://www.sec.gov.
Information regarding how the fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available by August 31 of each year without charge by visiting mfs.com/proxyvoting, or by visiting the SEC’s Web site at http://www.sec.gov.
Quarterly Portfolio Disclosure
The fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s Web site at http://www.sec.gov.
Further Information
From time to time, MFS may post important information about the fund or the MFS Funds on the MFS Web site (mfs.com). This information is available at https://www.mfs.com/announcements.
Information About Fund Contracts and Legal Claims
The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent, and custodian who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
Under the Trust’s By-Laws and Declaration of Trust, any claims asserted against or on behalf of the MFS Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.
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CONTACT
WEB SITE
mfs.com
MFS TALK
1-800-637-8255
24 hours a day
ACCOUNT SERVICE AND LITERATURE
Shareholders
1-800-225-2606
Financial advisors
1-800-343-2829
Retirement plan services
1-800-637-1255
MAILING ADDRESS
MFS Service Center, Inc.
P.O. Box 219341
Kansas City, MO 64121-9341
OVERNIGHT MAIL
MFS Service Center, Inc.
Suite 219341
430 W 7th Street
Kansas City, MO 64105-1407
Semiannual Report
July 31, 2023
MFS® Global High Yield Fund
MFS® Global High Yield Fund
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The report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a current prospectus.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Portfolio structure (i)
Top five industries (i)
| Cable TV | 6.8% |
| Utilities - Electrical Power | 6.6% |
| Wireless Communications | 4.0% |
| Medical & Health Technology & Services | 3.5% |
| Consumer Services | 3.3% |
Composition including fixed income credit quality (a)(i)
| BBB | 1.7% |
| BB | 43.5% |
| B | 38.6% |
| CCC | 11.3% |
| CC | 0.1% |
| U.S. Government | 0.3% |
| Not Rated | 1.4% |
| Non-Fixed Income | (0.2)% |
| Cash & Cash Equivalents | 3.5% |
| Other | (0.2)% |
Portfolio facts
| Average Duration (d) | 3.6 |
| Average Effective Maturity (m) | 5.0 yrs. |
Issuer country weightings (i)(x)
| United States | 58.7% |
| Canada | 3.9% |
| United Kingdom | 3.7% |
| France | 2.9% |
| Mexico | 2.9% |
| Netherlands | 2.7% |
| Brazil | 2.3% |
| Spain | 2.1% |
| India | 1.8% |
| Other Countries | 19.0% |
Portfolio Composition - continued
| (a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change. Not Rated includes fixed income securities and fixed income derivatives that have not been rated by any rating agency. Non-Fixed Income includes equity securities (including convertible bonds and equity derivatives), ETFs and Options on ETFs, and/or commodity-linked derivatives. The fund may or may not have held all of these instruments on this date. The fund is not rated by these agencies. |
| (d) | Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value due to the interest rate move. The Average Duration calculation reflects the impact of the equivalent exposure of derivative positions, if any. |
| (i) | For purposes of this presentation, the components include the value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include any accrued interest amounts. |
| (f) | For purposes of this presentation, ETFs includes indirect exposure to Exchange-Traded Funds (ETFs) or Options on ETFs held by the MFS High Yield Pooled Portfolio. |
| (m) | In determining each instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening feature (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity. |
| (x) | Represents the portfolio’s exposure to issuer countries as a percentage of a portfolio’s net assets. For purposes of this presentation, United States includes Cash & Cash Equivalents and Other. |
Where the fund holds convertible bonds, they are treated as part of the equity portion of the portfolio.
The fund invests a portion of its assets in the MFS High Yield Pooled Portfolio. Percentages include the indirect exposure to the underlying holdings, including investments in money market funds and Other, of the MFS High Yield Pooled Portfolio and not the direct exposure from investing in the MFS High Yield Pooled Portfolio itself.
Cash & Cash Equivalents includes any direct exposure to cash, direct and indirect exposure to investments in money market funds, cash equivalents, short-term securities, and other assets less liabilities. Please see the Statement of Assets and Liabilities for additional information related to the fund’s direct cash position and other assets and liabilities.
Other includes the direct and indirect equivalent exposure from currency derivatives and/or any offsets to derivative positions and may be negative.
Percentages are based on net assets as of July 31, 2023.
Portfolio Composition - continued
The portfolio is actively managed and current holdings may be different.
Expense Table
Fund expenses borne by the shareholders during the period,
February 1, 2023 through July 31, 2023
As a shareholder of the fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on certain purchase or redemption payments, and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.
In addition to the fees and expenses which the fund bears directly, the fund indirectly bears a pro rata share of the fees and expenses of the MFS High Yield Pooled Portfolio, an underlying MFS Pooled Portfolio in which the fund invests. MFS Pooled Portfolios are mutual funds advised by MFS that do not pay management fees to MFS but do incur investment and operating costs. If these transactional and indirect costs were included, your costs would have been higher.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period February 1, 2023 through July 31, 2023.
Actual Expenses
The first line for each share class in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line for each share class in the following table provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line for each share class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Expense Table - continued
Share
Class | | Annualized
Expense
Ratio | Beginning
Account Value
2/01/23 | Ending
Account Value
7/31/23 | Expenses
Paid During
Period (p)
2/01/23-7/31/23 |
| A | Actual | 1.05% | $1,000.00 | $1,025.37 | $5.27 |
| Hypothetical (h) | 1.05% | $1,000.00 | $1,019.59 | $5.26 |
| B | Actual | 1.80% | $1,000.00 | $1,021.55 | $9.02 |
| Hypothetical (h) | 1.80% | $1,000.00 | $1,015.87 | $9.00 |
| C | Actual | 1.80% | $1,000.00 | $1,021.53 | $9.02 |
| Hypothetical (h) | 1.80% | $1,000.00 | $1,015.87 | $9.00 |
| I | Actual | 0.80% | $1,000.00 | $1,026.62 | $4.02 |
| Hypothetical (h) | 0.80% | $1,000.00 | $1,020.83 | $4.01 |
| R1 | Actual | 1.80% | $1,000.00 | $1,021.54 | $9.02 |
| Hypothetical (h) | 1.80% | $1,000.00 | $1,015.87 | $9.00 |
| R2 | Actual | 1.30% | $1,000.00 | $1,022.11 | $6.52 |
| Hypothetical (h) | 1.30% | $1,000.00 | $1,018.35 | $6.51 |
| R3 | Actual | 1.05% | $1,000.00 | $1,025.35 | $5.27 |
| Hypothetical (h) | 1.05% | $1,000.00 | $1,019.59 | $5.26 |
| R4 | Actual | 0.80% | $1,000.00 | $1,026.63 | $4.02 |
| Hypothetical (h) | 0.80% | $1,000.00 | $1,020.83 | $4.01 |
| R6 | Actual | 0.70% | $1,000.00 | $1,027.14 | $3.52 |
| Hypothetical (h) | 0.70% | $1,000.00 | $1,021.32 | $3.51 |
| (h) | 5% class return per year before expenses. |
| (p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. In addition to the fees and expenses which the fund bears directly, the fund indirectly bears a pro rata share of the fees and expenses of the underlying funds in which the fund invests. If these indirect costs were included, your costs would have been higher. |
Portfolio of Investments
7/31/23 (unaudited)
The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.
| Issuer | | | Shares/Par | Value ($) |
| Bonds – 32.4% |
| Automotive – 1.2% |
| RAC Bond Co. PLC, 5.25%, 11/04/2027 (n) | | GBP | 699,000 | $706,768 |
| RENK AG, 5.75%, 7/15/2025 | | EUR | 345,000 | 377,306 |
| Renk GmbH (Frankfurt), 5.75%, 7/15/2025 (n) | | | 465,000 | 508,542 |
| TI Automotive Finance PLC, 3.75%, 4/15/2029 (n) | | | 815,000 | 743,314 |
| | | | | $2,335,930 |
| Basic Industry – 0.2% |
| Peoplecert Wisdom Issuer PLC, 5.75%, 9/15/2026 (n) | | EUR | 435,000 | $460,825 |
| Broadcasting – 0.8% |
| Banijay Group S.A.S., 3.5%, 3/01/2025 | | EUR | 315,000 | $338,993 |
| Banijay Group S.A.S., 6.5%, 3/01/2026 | | | 475,000 | 514,428 |
| Summer (BC) Holdco S.à r.l., “A”, 9.25%, 10/31/2027 | | | 292,842 | 259,194 |
| WMG Acquisition Corp., 2.25%, 8/15/2031 (n) | | | 510,000 | 453,551 |
| | | | | $1,566,166 |
| Building – 0.5% |
| Standard Industries, Inc., 2.25%, 11/21/2026 (n) | | EUR | 430,000 | $421,390 |
| Victoria PLC, 3.625%, 8/24/2026 | | | 553,000 | 502,045 |
| | | | | $923,435 |
| Business Services – 0.6% |
| Nexi S.p.A., 2.125%, 4/30/2029 | | EUR | 1,160,000 | $1,096,019 |
| Cable TV – 1.2% |
| Summer BidCo B.V., 9%, 11/15/2025 | | EUR | 906,087 | $907,842 |
| United Group B.V., 3.125%, 2/15/2026 | | | 220,000 | 211,956 |
| Virgin Media Vendor Financing Notes III DAC, 4.875%, 7/15/2028 | | GBP | 370,000 | 386,504 |
| Ziggo B.V., 2.875%, 1/15/2030 (n) | | EUR | 760,000 | 699,103 |
| Ziggo B.V., 2.875%, 1/15/2030 | | | 100,000 | 91,987 |
| | | | | $2,297,392 |
| Chemicals – 1.0% |
| HT Troplast GmbH, 9.375%, 7/15/2028 (n) | | EUR | 364,000 | $399,610 |
| Sasol Financing (USA) LLC, 5.5%, 3/18/2031 | | $ | 940,000 | 774,663 |
| SCIL IV LLC/SCIL USA Holdings LLC, 4.375%, 11/01/2026 (n) | | EUR | 715,000 | 724,293 |
| | | | | $1,898,566 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Conglomerates – 0.7% |
| Grupo KUO S.A.B. de C.V., 5.75%, 7/07/2027 (n) | | $ | 805,000 | $724,500 |
| Industria Macchine Automatiche S.p.A., 3.75%, 1/15/2028 | | EUR | 585,000 | 585,190 |
| | | | | $1,309,690 |
| Consumer Products – 0.3% |
| Natura & Co. Luxembourg Holdings S.à r.l., 6%, 4/19/2029 (n) | | $ | 510,000 | $485,231 |
| Consumer Services – 0.5% |
| Verisure Holding AB, 3.25%, 2/15/2027 | | EUR | 315,000 | $313,043 |
| Verisure Midholding AB, 5.25%, 2/15/2029 | | | 710,000 | 682,947 |
| | | | | $995,990 |
| Containers – 1.3% |
| Ardagh Metal Packaging Finance USA LLC, 3%, 9/01/2029 (n) | | EUR | 180,000 | $150,137 |
| Ardagh Metal Packaging Finance USA LLC, 3%, 9/01/2029 | | | 300,000 | 250,228 |
| Can-Pack S.A./Eastern PA Land Investment Holding LLC, 3.875%, 11/15/2029 (n) | | $ | 834,000 | 670,211 |
| San Miguel Industrias PET S.A., 3.5%, 8/02/2028 (n) | | | 840,000 | 717,859 |
| Titan Holdings II B.V., 5.125%, 7/15/2029 (n) | | EUR | 635,000 | 582,982 |
| | | | | $2,371,417 |
| Emerging Market Quasi-Sovereign – 1.9% |
| Bulgarian Energy Holding EAD, 2.45%, 7/22/2028 | | EUR | 870,000 | $802,993 |
| Petroleos Mexicanos, 6.5%, 3/13/2027 | | $ | 545,000 | 484,668 |
| Petroleos Mexicanos, 6.84%, 1/23/2030 | | | 450,000 | 360,765 |
| Petroleos Mexicanos, 10%, 2/07/2033 (n) | | | 560,000 | 521,493 |
| Petroleos Mexicanos, 6.5%, 6/02/2041 | | | 1,335,000 | 865,263 |
| Petroleos Mexicanos, 7.69%, 1/23/2050 | | | 740,000 | 514,983 |
| | | | | $3,550,165 |
| Energy - Independent – 0.4% |
| Kosmos Energy Ltd., 7.125%, 4/04/2026 | | $ | 440,000 | $413,160 |
| Sierracol Energy Andina LLC, 6%, 6/15/2028 (n) | | | 459,000 | 361,658 |
| | | | | $774,818 |
| Entertainment – 0.1% |
| Motion Finco S.à r.l., 7.375%, 6/15/2030 (n) | | EUR | 210,000 | $228,298 |
| Financial Institutions – 1.0% |
| Encore Capital Group, Inc., 5.375%, 2/15/2026 (n) | | GBP | 635,000 | $718,016 |
| Encore Capital Group, Inc., 4.25%, 6/01/2028 (n) | | | 390,000 | 380,385 |
| Globalworth Ltd., REIT, 2.95%, 7/29/2026 | | EUR | 315,000 | 261,264 |
| Samhallsbyggnadsbolaget i Norden AB, 1.125%, 9/04/2026 | | | 373,000 | 274,354 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Financial Institutions – continued |
| Samhallsbyggnadsbolaget i Norden AB, 2.875% to 1/30/2027, FLR (EUR Swap Rate - 5yr. + 3.223%) to 1/30/32, FLR (EUR Swap Rate - 5yr. + 3.473%) to 1/30/47, FLR (EUR Swap Rate - 5yr. + 4.473%) to 1/30/2171 | | EUR | 805,000 | $167,062 |
| | | | | $1,801,081 |
| Food & Beverages – 0.9% |
| Aragvi Finance International DAC, 8.45%, 4/29/2026 (n) | | $ | 400,000 | $272,840 |
| Central America Bottling Co., 5.25%, 4/27/2029 (n) | | | 716,000 | 660,514 |
| Coca-Cola Icecek A.S., 4.5%, 1/20/2029 (n) | | | 920,000 | 827,264 |
| | | | | $1,760,618 |
| Gaming & Lodging – 0.9% |
| Allwyn International, 3.875%, 2/15/2027 (n) | | EUR | 665,000 | $686,383 |
| Allwyn International A.S., 3.875%, 2/15/2027 | | | 345,000 | 356,094 |
| NH Hotel Group S.A., 4%, 7/02/2026 (n) | | | 415,000 | 439,465 |
| NH Hotel Group S.A., 4%, 7/02/2026 | | | 175,000 | 185,317 |
| | | | | $1,667,259 |
| Industrial – 0.4% |
| Arabian Centres Sukuk II Ltd., 5.625%, 10/07/2026 (n) | | $ | 738,000 | $680,312 |
| International Market Quasi-Sovereign – 0.5% |
| Electricite de France S.A., 3.375% to 9/15/2030, FLR (EUR Swap Rate - 5yr. + 3.97%) to 9/15/50, FLR (EUR Swap Rate - 5yr. + 4.72%) to 9/15/2071 | | EUR | 800,000 | $692,175 |
| Electricite de France S.A., 9.125% to 6/15/2033, FLR (CMT - 5yr. + 5.411%) to 12/15/2171 (n) | | $ | 280,000 | 294,350 |
| | | | | $986,525 |
| Machinery & Tools – 0.3% |
| Sarens Finance Co. N.V., 5.75%, 2/21/2027 | | EUR | 555,000 | $514,509 |
| Major Banks – 0.3% |
| UniCredit S.p.A., 3.875% to 6/03/2027, FLR (EUR ICE Swap Rate - 5yr. + 4.081%) to 6/03/2070 | | EUR | 645,000 | $565,973 |
| Medical & Health Technology & Services – 0.5% |
| Chrome Holdco S.A.S., 5%, 5/31/2029 (n) | | EUR | 465,000 | $394,484 |
| Chrome Holdco S.A.S., 5%, 5/31/2029 | | | 200,000 | 169,670 |
| Laboratoire Eimer Selas, 5%, 2/01/2029 | | | 475,000 | 399,291 |
| | | | | $963,445 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Metals & Mining – 0.9% |
| Baffinland Iron Mines Corp./Baffinland Iron Mines LP, 8.75%, 7/15/2026 (n) | | $ | 140,000 | $135,800 |
| Ero Copper Corp., 6.5%, 2/15/2030 (n) | | | 193,000 | 169,834 |
| First Quantum Minerals Ltd., 8.625%, 6/01/2031 (n) | | | 634,000 | 649,058 |
| Novelis Sheet Ingot GmbH, 3.375%, 4/15/2029 (n) | | EUR | 460,000 | 443,805 |
| Petra Diamonds US$ Treasury PLC, 9.75%, 3/08/2026 (n)(p) | | $ | 359,667 | 294,619 |
| | | | | $1,693,116 |
| Midstream – 0.3% |
| Peru LNG, 5.375%, 3/22/2030 | | $ | 645,000 | $519,974 |
| Network & Telecom – 1.0% |
| Iliad Holding S.A.S., 5.625%, 10/15/2028 (n) | | EUR | 580,000 | $604,578 |
| Kaixo Bondco Telecom S.A., 5.125%, 9/30/2029 (n) | | | 835,000 | 810,208 |
| Total Play Telecomunicaciones S.A. de C.V., 6.375%, 9/20/2028 (n) | | $ | 695,000 | 398,704 |
| | | | | $1,813,490 |
| Oil Services – 0.2% |
| MV24 Capital B.V., 6.748%, 6/01/2034 (n) | | $ | 462,325 | $427,115 |
| Oils – 0.3% |
| MC Brazil Downstream Trading S.à r.l., 7.25%, 6/30/2031 (n) | | $ | 736,284 | $477,975 |
| Puma International Financing S.A., 5%, 1/24/2026 | | | 200,000 | 182,383 |
| | | | | $660,358 |
| Other Banks & Diversified Financials – 0.6% |
| Banco GNB Sudameris S.A., 7.5% to 4/16/2026, FLR (CMT - 5yr. + 6.66%) to 4/16/2031 | | $ | 755,000 | $628,537 |
| Intesa Sanpaolo S.p.A., 4.125% to 2/27/2030, FLR (EUR Swap Rate - 5yr. + 4.274%) to 2/27/2070 | | EUR | 645,000 | 529,224 |
| | | | | $1,157,761 |
| Pharmaceuticals – 0.5% |
| Organon Finance 1 LLC, 2.875%, 4/30/2028 (n) | | EUR | 235,000 | $227,654 |
| Teva Pharmaceutical Finance Netherlands III B.V., 4.75%, 5/09/2027 | | $ | 825,000 | 769,038 |
| | | | | $996,692 |
| Restaurants – 0.3% |
| MIDCO GB, 7.75%, 11/01/2027 (n) | | EUR | 465,000 | $478,035 |
| Retailers – 1.0% |
| Grupo Axo S.A.P.I. de C.V., 5.75%, 6/08/2026 (n) | | $ | 844,000 | $738,762 |
| Marks & Spencer PLC, 4.5%, 7/10/2027 | | GBP | 505,000 | 583,896 |
| Mobilux Finance S.A.S., 4.25%, 7/15/2028 (n) | | EUR | 575,000 | 548,387 |
| | | | | $1,871,045 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Specialty Chemicals – 0.4% |
| CTEC II GmbH, 5.25%, 2/15/2030 (n) | | EUR | 453,000 | $414,558 |
| CTEC II GmbH, 5.25%, 2/15/2030 | | | 325,000 | 297,421 |
| | | | | $711,979 |
| Specialty Stores – 0.5% |
| Dufry One B.V., 3.375%, 4/15/2028 | | EUR | 990,000 | $990,540 |
| Supermarkets – 0.3% |
| Ocado Group PLC, 3.875%, 10/08/2026 | | GBP | 462,000 | $503,938 |
| Telecommunications - Wireless – 3.4% |
| Altice France Holding S.A., 4%, 2/15/2028 | | EUR | 100,000 | $35,734 |
| Altice France S.A., 4%, 2/15/2028 (n) | | | 380,000 | 135,788 |
| Cellnex Finance Co. S.A., 1.5%, 6/08/2028 | | | 800,000 | 766,534 |
| Cellnex Finance Co. S.A., 2%, 2/15/2033 | | | 700,000 | 609,752 |
| Millicom International Cellular S.A., 5.125%, 1/15/2028 (n) | | $ | 977,400 | 875,760 |
| PLT VII Finance S.à r.l., 4.625%, 1/05/2026 | | EUR | 642,000 | 687,350 |
| PPF Telecom Group B.V., 2.125%, 1/31/2025 | | | 270,000 | 286,475 |
| PPF Telecom Group B.V., 3.25%, 9/29/2027 | | | 733,000 | 757,800 |
| Turkcell Iletisim Hizmetleri A.S., 5.8%, 4/11/2028 | | $ | 465,000 | 421,406 |
| VMED O2 UK Financing I PLC, 4%, 1/31/2029 | | GBP | 449,000 | 468,118 |
| Vodafone Group PLC, 3% to 8/27/2030, FLR (EUR Swap Rate - 5yr. + 3.477%) to 8/27/2050, FLR (EUR Swap Rate - 5yr. + 4.227%) to 8/27/2080 | | EUR | 705,000 | 641,038 |
| WP/AP Telecom Holdings III B.V., 5.5%, 1/15/2030 (n) | | | 730,000 | 680,878 |
| | | | | $6,366,633 |
| Transportation – 0.2% |
| Hidrovias International Finance S.à r.l., 4.95%, 2/08/2031 | | $ | 440,000 | $354,208 |
| Transportation - Services – 1.5% |
| Arena Luxembourg Finance S.à r.l., 1.875%, 2/01/2028 (n) | | EUR | 1,180,000 | $1,079,014 |
| Cliffton Ltd., 6.25%, 10/25/2025 (n) | | $ | 663,000 | 643,110 |
| Q-Park Holding I B.V., 1.5%, 3/01/2025 (n) | | EUR | 915,000 | 968,260 |
| Q-Park Operations Holding B.V., 1.5%, 3/01/2025 | | | 200,000 | 211,641 |
| | | | | $2,902,025 |
| Utilities - Electric Power – 4.4% |
| Adani Green Energy (UP) Ltd./Prayatna Developers Private Ltd., 6.25%, 12/10/2024 (n) | | $ | 761,000 | $726,819 |
| AES Gener S.A., 7.125% to 7/06/2024, FLR (Swap Rate - 5yr. + 4.644%) to 7/06/2029, FLR (Swap Rate - 5yr. + 4.894%) to 7/06/2044, FLR (Swap Rate - 5yr. + 5.644%) to 3/26/2079 | | | 595,000 | 569,237 |
| Azure Power Energy Ltd., 3.575%, 8/19/2026 (n) | | | 489,028 | 378,068 |
| Azure Power Solar Energy Private Ltd., 5.65%, 12/24/2024 (n) | | | 302,000 | 260,173 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Utilities - Electric Power – continued |
| ContourGlobal Power Holdings S.A., 2.75%, 1/01/2026 (n) | | EUR | 640,000 | $649,453 |
| ContourGlobal Power Holdings S.A., 3.125%, 1/01/2028 | | | 258,000 | 235,348 |
| Electricidad Firme de Mexico, 4.9%, 11/20/2026 (n) | | $ | 752,000 | 668,663 |
| Empresa Generadora de Electricidad Haina S.A., 5.625%, 11/08/2028 (n) | | | 570,000 | 503,738 |
| Greenko Dutch B.V. (Republic of India), 3.85%, 3/29/2026 (n) | | | 694,660 | 630,404 |
| Investment Energy Resources Ltd., 6.25%, 4/26/2029 (n) | | | 718,000 | 673,125 |
| Mercury Chile Holdco LLC, 6.5%, 1/24/2027 (n) | | | 687,000 | 635,298 |
| Mong Duong Finance Holdings B.V., 5.125%, 5/07/2029 (n) | | | 689,000 | 620,082 |
| ReNew Wind Energy AP2/ReNew Power Private Ltd., 4.5%, 7/14/2028 (n) | | | 729,000 | 625,261 |
| SCC Power PLC, 8% (8% Cash or 4% Cash and 4% PIK) to 6/15/2024, 8% Cash to 12/31/2028 (n)(p) | | | 820,291 | 268,645 |
| SCC Power PLC, 4% (4% Cash or 4% PIK) to 6/15/2024, 4% Cash to 5/17/2032 (n)(p) | | | 444,324 | 43,766 |
| TerraForm Global Operating LLC, 6.125%, 3/01/2026 (n) | | | 836,000 | 816,546 |
| | | | | $8,304,626 |
| Utilities - Gas – 0.5% |
| EP Infrastructure A.S., 2.045%, 10/09/2028 | | EUR | 346,000 | $294,970 |
| EP Infrastructure A.S., 1.816%, 3/02/2031 | | | 917,000 | 690,706 |
| | | | | $985,676 |
| Utilities - Water – 0.6% |
| Aegea Finance S.à r.l., 6.75%, 5/20/2029 (n) | | $ | 1,136,000 | $1,075,476 |
| Total Bonds (Identified Cost, $69,646,441) | | $61,046,351 |
| Investment Companies (h) – 66.8% |
| Bond Funds – 64.3% |
| MFS High Yield Pooled Portfolio (v)(y) | | | 15,093,213 | $121,198,498 |
| Money Market Funds – 2.5% | |
| MFS Institutional Money Market Portfolio, 5.25% (v) | | | 4,725,651 | $4,725,651 |
| Total Investment Companies (Identified Cost, $138,395,682) | $125,924,149 |
|
|
| Other Assets, Less Liabilities – 0.8% | | 1,467,438 |
| Net Assets – 100.0% | $188,437,938 |
| (h) | An affiliated issuer, which 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. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $125,924,149 and $61,046,351, respectively. | | | |
Portfolio of Investments (unaudited) – continued
| (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 $34,691,197, representing 18.4% of net assets. | | | |
| (p) | Payment-in-kind (PIK) security for which interest income may be received in additional securities and/or cash. | | | |
| (v) | Affiliated issuer 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. | | | |
| (y) | The unaudited semiannual report for MFS High Yield Pooled Portfolio as of July 31, 2023 has been included as Appendix A. | | | |
| The following abbreviations are used in this report and are defined: |
| CMT | Constant Maturity Treasury |
| FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
| ICE | Intercontinental Exchange |
| 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 |
| GBP | British Pound |
Derivative Contracts at 7/31/23
| Forward Foreign Currency Exchange Contracts |
Currency
Purchased | Currency
Sold | Counterparty | Settlement
Date | Unrealized
Appreciation
(Depreciation) |
| Asset Derivatives |
| USD | 750,728 | EUR | 665,365 | Morgan Stanley Capital Services, Inc. | 10/20/2023 | $16,275 |
| USD | 31,928,663 | EUR | 28,327,424 | State Street Bank Corp. | 10/20/2023 | 659,862 |
| USD | 468,367 | GBP | 358,142 | State Street Bank Corp. | 10/20/2023 | 8,644 |
| USD | 4,202,236 | GBP | 3,256,831 | UBS AG | 10/20/2023 | 21,670 |
| | | | | | | $706,451 |
| Liability Derivatives |
| EUR | 186,550 | USD | 210,362 | Citibank N.A. | 10/20/2023 | $(4,441) |
| GBP | 627,463 | USD | 823,022 | Brown Brothers Harriman | 10/20/2023 | (17,593) |
| | | | | | | $(22,034) |
| Futures Contracts |
| Description | Long/
Short | Currency | Contracts | Notional
Amount | Expiration
Date | Value/Unrealized
Appreciation
(Depreciation) |
| Liability Derivatives |
| Interest Rate Futures | | |
| Long Gilt 10 yr | Short | GBP | 2 | $246,737 | September – 2023 | $(2,805) |
Portfolio of Investments (unaudited) – continued
At July 31, 2023, the fund had cash collateral of $13,582 to cover any collateral or margin obligations for certain derivative contracts. Restricted cash and/or deposits with brokers in the Statement of Assets and Liabilities are comprised of cash collateral.
See Notes to Financial Statements
Financial Statements
Statement of Assets and Liabilities
At 7/31/23 (unaudited)
This statement represents your fund’s balance sheet, which details the assets and liabilities comprising the total value of the fund.
| Assets | |
| Investments in unaffiliated issuers, at value (identified cost, $69,646,441) | $61,046,351 |
| Investments in affiliated issuers, at value (identified cost, $138,395,682) | 125,924,149 |
| Foreign currency, at value (identified cost, $10,245) | 10,219 |
| Deposits with brokers for | |
| Futures contracts | 13,582 |
| Receivables for | |
| Forward foreign currency exchange contracts | 706,451 |
| Investments sold | 147,426 |
| Fund shares sold | 142,326 |
| Interest and dividends | 891,735 |
| Receivable from investment adviser | 19,509 |
| Other assets | 72,948 |
| Total assets | $188,974,696 |
| Liabilities | |
| Payable to custodian | $16,343 |
| Payables for | |
| Distributions | 26,246 |
| Forward foreign currency exchange contracts | 22,034 |
| Net daily variation margin on open futures contracts | 483 |
| Fund shares reacquired | 327,713 |
| Payable to affiliates | |
| Administrative services fee | 407 |
| Shareholder servicing costs | 68,591 |
| Distribution and service fees | 3,500 |
| Accrued expenses and other liabilities | 71,441 |
| Total liabilities | $536,758 |
| Net assets | $188,437,938 |
| Net assets consist of | |
| Paid-in capital | $279,273,731 |
| Total distributable earnings (loss) | (90,835,793) |
| Net assets | $188,437,938 |
| Shares of beneficial interest outstanding | 36,255,980 |
Statement of Assets and Liabilities (unaudited) – continued
| | Net assets | Shares
outstanding | Net asset value
per share (a) |
| Class A | $104,779,146 | 20,159,342 | $5.20 |
| Class B | 691,594 | 132,746 | 5.21 |
| Class C | 4,510,388 | 868,801 | 5.19 |
| Class I | 53,979,791 | 10,387,960 | 5.20 |
| Class R1 | 70,471 | 13,559 | 5.20 |
| Class R2 | 455,575 | 87,530 | 5.20 |
| Class R3 | 1,535,463 | 293,759 | 5.23 |
| Class R4 | 7,250,916 | 1,388,747 | 5.22 |
| Class R6 | 15,164,594 | 2,923,536 | 5.19 |
| (a) | Maximum offering price per share was equal to the net asset value per share for all share classes, except for Class A, for which the maximum offering price per share was $5.43 [100 / 95.75 x $5.20]. On sales of $100,000 or more, the maximum offering price of Class A shares is reduced. A contingent deferred sales charge may be imposed on redemptions of Class A, Class B, and Class C shares. Redemption price per share was equal to the net asset value per share for Classes I, R1, R2, R3, R4, and R6. |
See Notes to Financial Statements
Financial Statements
Statement of Operations
Six months ended 7/31/23 (unaudited)
This statement describes how much your fund earned in investment income and accrued in expenses. It also describes any gains and/or losses generated by fund operations.
| Net investment income (loss) | |
| Income | |
| Dividends from affiliated issuers | $4,231,855 |
| Interest | 1,925,865 |
| Other | 3,182 |
| Foreign taxes withheld | (95) |
| Total investment income | $6,160,807 |
| Expenses | |
| Management fee | $624,663 |
| Distribution and service fees | 162,683 |
| Shareholder servicing costs | 129,672 |
| Administrative services fee | 19,032 |
| Independent Trustees' compensation | 2,606 |
| Custodian fee | 13,548 |
| Shareholder communications | 14,021 |
| Audit and tax fees | 48,238 |
| Legal fees | 488 |
| Registration fees | 71,360 |
| Miscellaneous | 16,540 |
| Total expenses | $1,102,851 |
| Fees paid indirectly | (22) |
| Reduction of expenses by investment adviser | (178,724) |
| Net expenses | $924,105 |
| Net investment income (loss) | $5,236,702 |
Statement of Operations (unaudited) – continued
| Realized and unrealized gain (loss) |
| Realized gain (loss) (identified cost basis) | |
| Unaffiliated issuers | $(1,946,045) |
| Affiliated issuers | (3,625,895) |
| Forward foreign currency exchange contracts | (970,617) |
| Foreign currency | 23,412 |
| Net realized gain (loss) | $(6,519,145) |
| Change in unrealized appreciation or depreciation | |
| Unaffiliated issuers | $2,043,174 |
| Affiliated issuers | 3,280,795 |
| Futures contracts | (2,805) |
| Forward foreign currency exchange contracts | 860,816 |
| Translation of assets and liabilities in foreign currencies | (17,367) |
| Net unrealized gain (loss) | $6,164,613 |
| Net realized and unrealized gain (loss) | $(354,532) |
| Change in net assets from operations | $4,882,170 |
See Notes to Financial Statements
Financial Statements
Statements of Changes in Net Assets
These statements describe the increases and/or decreases in net assets resulting from operations, any distributions, and any shareholder transactions.
| | Six months ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 |
| Change in net assets | | |
| From operations | | |
| Net investment income (loss) | $5,236,702 | $10,559,857 |
| Net realized gain (loss) | (6,519,145) | (14,777,410) |
| Net unrealized gain (loss) | 6,164,613 | (11,546,247) |
| Change in net assets from operations | $4,882,170 | $(15,763,800) |
| Total distributions to shareholders | $(5,328,297) | $(17,296,566) |
| Change in net assets from fund share transactions | $(1,219,293) | $(45,953,868) |
| Total change in net assets | $(1,665,420) | $(79,014,234) |
| Net assets | | |
| At beginning of period | 190,103,358 | 269,117,592 |
| At end of period | $188,437,938 | $190,103,358 |
See Notes to Financial Statements
Financial Statements
Financial Highlights
The financial highlights table is intended to help you understand the fund's financial performance for the semiannual period and the past 5 fiscal years. Certain information reflects financial results for a single fund share. The total returns in the table represent the rate that an investor would have earned (or lost) on an investment in the fund share class (assuming reinvestment of all distributions) held for the entire period.
| Class A | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $5.21 | $5.94 | $6.24 | $6.28 | $6.00 | $6.25 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.14 | $0.25 | $0.26 | $0.27 | $0.28 | $0.28 |
| Net realized and unrealized gain (loss) | (0.01) | (0.54) | (0.24) | (0.04) | 0.28 | (0.25) |
| Total from investment operations | $0.13 | $(0.29) | $0.02 | $0.23 | $0.56 | $0.03 |
| Less distributions declared to shareholders |
| From net investment income | $(0.14) | $(0.44) | $(0.32) | $(0.27) | $(0.28) | $(0.28) |
| Net asset value, end of period (x) | $5.20 | $5.21 | $5.94 | $6.24 | $6.28 | $6.00 |
| Total return (%) (r)(s)(t)(x) | 2.54(n) | (4.59) | 0.31 | 3.86 | 9.59 | 0.50 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f)(h) | 1.24(a) | 1.20 | 1.16 | 1.17 | 1.15 | 1.14 |
| Expenses after expense reductions (f)(h) | 1.05(a) | 1.05 | 1.05 | 1.05 | 1.05 | 1.05 |
| Net investment income (loss) | 5.37(a) | 4.68 | 4.16 | 4.47 | 4.50 | 4.70 |
| Portfolio turnover | 11(n) | 14 | 38 | 22 | 26 | 13 |
| Net assets at end of period (000 omitted) | $104,779 | $108,712 | $133,193 | $182,411 | $203,428 | $191,590 |
See Notes to Financial Statements
Financial Highlights – continued
| Class B | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $5.22 | $5.95 | $6.25 | $6.29 | $6.01 | $6.26 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.12 | $0.21 | $0.21 | $0.22 | $0.23 | $0.24 |
| Net realized and unrealized gain (loss) | (0.01) | (0.54) | (0.23) | (0.04) | 0.29 | (0.26) |
| Total from investment operations | $0.11 | $(0.33) | $(0.02) | $0.18 | $0.52 | $(0.02) |
| Less distributions declared to shareholders |
| From net investment income | $(0.12) | $(0.40) | $(0.28) | $(0.22) | $(0.24) | $(0.23) |
| Net asset value, end of period (x) | $5.21 | $5.22 | $5.95 | $6.25 | $6.29 | $6.01 |
| Total return (%) (r)(s)(t)(x) | 2.16(n) | (5.28) | (0.44) | 3.09 | 8.77 | (0.25) |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f)(h) | 1.99(a) | 1.95 | 1.91 | 1.92 | 1.90 | 1.90 |
| Expenses after expense reductions (f)(h) | 1.80(a) | 1.80 | 1.80 | 1.80 | 1.80 | 1.80 |
| Net investment income (loss) | 4.62(a) | 3.89 | 3.42 | 3.74 | 3.78 | 3.94 |
| Portfolio turnover | 11(n) | 14 | 38 | 22 | 26 | 13 |
| Net assets at end of period (000 omitted) | $692 | $924 | $1,831 | $3,032 | $5,741 | $7,941 |
| Class C | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $5.20 | $5.93 | $6.23 | $6.28 | $5.99 | $6.24 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.12 | $0.21 | $0.21 | $0.22 | $0.23 | $0.24 |
| Net realized and unrealized gain (loss) | (0.01) | (0.54) | (0.23) | (0.05) | 0.30 | (0.26) |
| Total from investment operations | $0.11 | $(0.33) | $(0.02) | $0.17 | $0.53 | $(0.02) |
| Less distributions declared to shareholders |
| From net investment income | $(0.12) | $(0.40) | $(0.28) | $(0.22) | $(0.24) | $(0.23) |
| Net asset value, end of period (x) | $5.19 | $5.20 | $5.93 | $6.23 | $6.28 | $5.99 |
| Total return (%) (r)(s)(t)(x) | 2.15(n) | (5.33) | (0.45) | 2.92 | 8.96 | (0.26) |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f)(h) | 1.99(a) | 1.95 | 1.91 | 1.92 | 1.90 | 1.90 |
| Expenses after expense reductions (f)(h) | 1.80(a) | 1.80 | 1.80 | 1.80 | 1.80 | 1.80 |
| Net investment income (loss) | 4.62(a) | 3.92 | 3.42 | 3.74 | 3.79 | 3.93 |
| Portfolio turnover | 11(n) | 14 | 38 | 22 | 26 | 13 |
| Net assets at end of period (000 omitted) | $4,510 | $5,314 | $7,408 | $8,855 | $21,084 | $29,122 |
See Notes to Financial Statements
Financial Highlights – continued
| Class I | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $5.21 | $5.94 | $6.24 | $6.28 | $6.00 | $6.25 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.14 | $0.26 | $0.27 | $0.28 | $0.29 | $0.30 |
| Net realized and unrealized gain (loss) | (0.00)(w) | (0.53) | (0.23) | (0.04) | 0.29 | (0.26) |
| Total from investment operations | $0.14 | $(0.27) | $0.04 | $0.24 | $0.58 | $0.04 |
| Less distributions declared to shareholders |
| From net investment income | $(0.15) | $(0.46) | $(0.34) | $(0.28) | $(0.30) | $(0.29) |
| Net asset value, end of period (x) | $5.20 | $5.21 | $5.94 | $6.24 | $6.28 | $6.00 |
| Total return (%) (r)(s)(t)(x) | 2.66(n) | (4.34) | 0.56 | 4.12 | 9.86 | 0.75 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f)(h) | 0.98(a) | 0.95 | 0.91 | 0.91 | 0.90 | 0.89 |
| Expenses after expense reductions (f)(h) | 0.80(a) | 0.80 | 0.80 | 0.80 | 0.80 | 0.80 |
| Net investment income (loss) | 5.59(a) | 4.87 | 4.42 | 4.69 | 4.75 | 4.93 |
| Portfolio turnover | 11(n) | 14 | 38 | 22 | 26 | 13 |
| Net assets at end of period (000 omitted) | $53,980 | $49,233 | $96,925 | $73,648 | $65,250 | $63,671 |
| Class R1 | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $5.21 | $5.94 | $6.24 | $6.28 | $6.00 | $6.26 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.12 | $0.21 | $0.21 | $0.22 | $0.23 | $0.24 |
| Net realized and unrealized gain (loss) | (0.01) | (0.54) | (0.23) | (0.04) | 0.29 | (0.27) |
| Total from investment operations | $0.11 | $(0.33) | $(0.02) | $0.18 | $0.52 | $(0.03) |
| Less distributions declared to shareholders |
| From net investment income | $(0.12) | $(0.40) | $(0.28) | $(0.22) | $(0.24) | $(0.23) |
| Net asset value, end of period (x) | $5.20 | $5.21 | $5.94 | $6.24 | $6.28 | $6.00 |
| Total return (%) (r)(s)(t)(x) | 2.15(n) | (5.30) | (0.45) | 3.09 | 8.78 | (0.42) |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f)(h) | 1.99(a) | 1.94 | 1.91 | 1.92 | 1.90 | 1.90 |
| Expenses after expense reductions (f)(h) | 1.80(a) | 1.80 | 1.80 | 1.80 | 1.80 | 1.80 |
| Net investment income (loss) | 4.61(a) | 3.95 | 3.42 | 3.72 | 3.75 | 3.95 |
| Portfolio turnover | 11(n) | 14 | 38 | 22 | 26 | 13 |
| Net assets at end of period (000 omitted) | $70 | $68 | $68 | $70 | $67 | $61 |
See Notes to Financial Statements
Financial Highlights – continued
| Class R2 | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $5.22 | $5.95 | $6.25 | $6.29 | $6.01 | $6.26 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.13 | $0.24 | $0.24 | $0.25 | $0.26 | $0.27 |
| Net realized and unrealized gain (loss) | (0.02) | (0.54) | (0.23) | (0.04) | 0.29 | (0.26) |
| Total from investment operations | $0.11 | $(0.30) | $0.01 | $0.21 | $0.55 | $0.01 |
| Less distributions declared to shareholders |
| From net investment income | $(0.13) | $(0.43) | $(0.31) | $(0.25) | $(0.27) | $(0.26) |
| Net asset value, end of period (x) | $5.20 | $5.22 | $5.95 | $6.25 | $6.29 | $6.01 |
| Total return (%) (r)(s)(t)(x) | 2.21(n) | (4.79) | 0.06 | 3.60 | 9.31 | 0.25 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f)(h) | 1.49(a) | 1.45 | 1.41 | 1.41 | 1.40 | 1.39 |
| Expenses after expense reductions (f)(h) | 1.30(a) | 1.30 | 1.30 | 1.30 | 1.30 | 1.29 |
| Net investment income (loss) | 5.11(a) | 4.44 | 3.92 | 4.17 | 4.26 | 4.46 |
| Portfolio turnover | 11(n) | 14 | 38 | 22 | 26 | 13 |
| Net assets at end of period (000 omitted) | $456 | $427 | $443 | $519 | $308 | $297 |
| Class R3 | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $5.24 | $5.97 | $6.28 | $6.32 | $6.00 | $6.25 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.14 | $0.25 | $0.26 | $0.27 | $0.29 | $0.28 |
| Net realized and unrealized gain (loss) | (0.01) | (0.53) | (0.24) | (0.04) | 0.32 | (0.25) |
| Total from investment operations | $0.13 | $(0.28) | $0.02 | $0.23 | $0.61 | $0.03 |
| Less distributions declared to shareholders |
| From net investment income | $(0.14) | $(0.45) | $(0.33) | $(0.27) | $(0.29) | $(0.28) |
| Net asset value, end of period (x) | $5.23 | $5.24 | $5.97 | $6.28 | $6.32 | $6.00 |
| Total return (%) (r)(s)(t)(x) | 2.53(n) | (4.51) | 0.17 | 3.87 | 10.28 | 0.50 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f)(h) | 1.24(a) | 1.20 | 1.16 | 1.17 | 1.15 | 1.14 |
| Expenses after expense reductions (f)(h) | 1.05(a) | 1.05 | 1.05 | 1.05 | 1.05 | 1.05 |
| Net investment income (loss) | 5.39(a) | 4.70 | 4.18 | 4.47 | 4.62 | 4.70 |
| Portfolio turnover | 11(n) | 14 | 38 | 22 | 26 | 13 |
| Net assets at end of period (000 omitted) | $1,535 | $2,328 | $2,567 | $2,286 | $2,347 | $10,444 |
See Notes to Financial Statements
Financial Highlights – continued
| Class R4 | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $5.23 | $5.97 | $6.27 | $6.31 | $6.03 | $6.28 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.14 | $0.27 | $0.28 | $0.28 | $0.30 | $0.30 |
| Net realized and unrealized gain (loss) | (0.00)(w) | (0.55) | (0.24) | (0.04) | 0.28 | (0.26) |
| Total from investment operations | $0.14 | $(0.28) | $0.04 | $0.24 | $0.58 | $0.04 |
| Less distributions declared to shareholders |
| From net investment income | $(0.15) | $(0.46) | $(0.34) | $(0.28) | $(0.30) | $(0.29) |
| Net asset value, end of period (x) | $5.22 | $5.23 | $5.97 | $6.27 | $6.31 | $6.03 |
| Total return (%) (r)(s)(t)(x) | 2.66(n) | (4.46) | 0.58 | 4.13 | 9.83 | 0.77 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f)(h) | 0.99(a) | 0.94 | 0.91 | 0.92 | 0.90 | 0.89 |
| Expenses after expense reductions (f)(h) | 0.80(a) | 0.80 | 0.80 | 0.80 | 0.80 | 0.80 |
| Net investment income (loss) | 5.61(a) | 4.98 | 4.42 | 4.72 | 4.76 | 4.94 |
| Portfolio turnover | 11(n) | 14 | 38 | 22 | 26 | 13 |
| Net assets at end of period (000 omitted) | $7,251 | $6,804 | $6,316 | $6,406 | $6,689 | $6,885 |
| Class R6 | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $5.20 | $5.93 | $6.23 | $6.27 | $5.99 | $6.24 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.15 | $0.27 | $0.28 | $0.29 | $0.30 | $0.30 |
| Net realized and unrealized gain (loss) | (0.01) | (0.54) | (0.23) | (0.04) | 0.29 | (0.25) |
| Total from investment operations | $0.14 | $(0.27) | $0.05 | $0.25 | $0.59 | $0.05 |
| Less distributions declared to shareholders |
| From net investment income | $(0.15) | $(0.46) | $(0.35) | $(0.29) | $(0.31) | $(0.30) |
| Net asset value, end of period (x) | $5.19 | $5.20 | $5.93 | $6.23 | $6.27 | $5.99 |
| Total return (%) (r)(s)(t)(x) | 2.71(n) | (4.27) | 0.65 | 4.23 | 9.98 | 0.85 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f)(h) | 0.89(a) | 0.85 | 0.81 | 0.81 | 0.80 | 0.79 |
| Expenses after expense reductions (f)(h) | 0.70(a) | 0.70 | 0.70 | 0.70 | 0.70 | 0.70 |
| Net investment income (loss) | 5.72(a) | 5.03 | 4.53 | 4.81 | 4.84 | 5.04 |
| Portfolio turnover | 11(n) | 14 | 38 | 22 | 26 | 13 |
| Net assets at end of period (000 omitted) | $15,165 | $16,294 | $20,365 | $22,976 | $21,846 | $19,019 |
See Notes to Financial Statements
Financial Highlights – continued
| (a) | Annualized. |
| (d) | Per share data is based on average shares outstanding. |
| (f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. See Note 2 in the Notes to Financial Statements for additional information. |
| (h) | In addition to the fees and expenses which the fund bears directly, the fund indirectly bears a pro rata share of the fees and expenses of the underlying affiliated funds in which the fund invests. Accordingly, the expense ratio for the fund reflects only those fees and expenses borne directly by the fund. Because the underlying affiliated funds have varied expense and fee levels and the fund may own different proportions of the underlying affiliated funds at different times, the amount of fees and expenses incurred indirectly by the fund will vary. |
| (n) | Not annualized. |
| (r) | Certain expenses have been reduced without which performance would have been lower. |
| (s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
| (t) | Total returns do not include any applicable sales charges. |
| (w) | Per share amount was less than $0.01. |
| (x) | The net asset values and total returns have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
See Notes to Financial Statements
Notes to Financial Statements
(unaudited)
(1) Business and Organization
MFS Global High Yield Fund (the fund) is a diversified series of MFS Series Trust III (the trust). The trust is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.
The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies.
(2) Significant Accounting Policies
General — The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. In the preparation of these financial statements, management has evaluated subsequent events occurring after the date of the fund’s Statement of Assets and Liabilities through the date that the financial statements were issued. As of July 31, 2023, 64.3% of the fund’s net assets was invested in the MFS High Yield Pooled Portfolio (“High Yield Pooled Portfolio”). MFS does not receive a management fee from the High Yield Pooled Portfolio. The High Yield Pooled Portfolio’s investment objective is to seek total return with an emphasis on high current income, but also considering capital appreciation. The accounting policies of the High Yield Pooled Portfolio are outlined in its shareholder report. The accounting policies detailed in the Significant Accounting Policies note cover both the fund and the High Yield Pooled Portfolio. For purposes of this policy disclosure, “fund” refers to both the fund and the High Yield Pooled Portfolio in which the fund invests. The High Yield Pooled Portfolio’s shareholder report is not covered by this report. The current shareholder report for the High Yield Pooled Portfolio as of July 31, 2023 has been included as Appendix A, and should be read in conjunction with the fund's financial statements. The fund and the High Yield Pooled Portfolio invest in high-yield securities rated below investment grade. Investments in below investment grade quality securities can involve a substantially greater risk of default or can already be in default, and their values can decline significantly. Below investment grade quality securities tend to be more sensitive to adverse news about the issuer, or the market or economy in general, than higher quality debt instruments. The fund and the High Yield Pooled Portfolio invest in foreign securities. Investments in foreign securities are vulnerable to the effects of changes in the relative values of the local currency and the U.S. dollar and to the effects of changes in each country’s market, economic, industrial, political, regulatory, geopolitical, environmental, public health, and other conditions.
Balance Sheet Offsetting — The fund's accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the International Swaps and Derivatives Association (ISDA) Master Agreement, or similar agreement, does not result in an offset of reported amounts of financial assets and financial liabilities in the Statement of Assets and Liabilities across
Notes to Financial Statements (unaudited) - continued
transactions between the fund and the applicable counterparty. The fund's right to setoff may be restricted or prohibited by the bankruptcy or insolvency laws of the particular jurisdiction to which a specific master netting agreement counterparty is subject. Balance sheet offsetting disclosures, to the extent applicable to the fund, have been included in the fund’s Significant Accounting Policies note under the captions for each of the fund’s in-scope financial instruments and transactions.
Investment Valuations — The investments of the fund and the High Yield Pooled Portfolio are valued as described below.
Subject to its oversight, the fund's Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments to MFS as the fund's adviser, pursuant to the fund’s valuation policy and procedures which have been adopted by the adviser and approved by the Board. In accordance with Rule 2a-5 under the Investment Company Act of 1940, the Board of Trustees designated the adviser as the “valuation designee” of the fund. If the adviser, as valuation designee, determines that reliable market quotations are not readily available for an investment, the investment is valued at fair value as determined in good faith by the adviser in accordance with the adviser’s fair valuation policy and procedures.
Under the fund's valuation policy and procedures, equity securities, including restricted equity securities, are generally valued at the last sale or official closing price on their primary market or exchange as provided by a third-party pricing service. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation on their primary market or exchange as provided by a third-party pricing service. Debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value.
Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party pricing service.
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. 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.
Under the fund’s valuation policy and procedures, market quotations are not considered to be readily available for debt instruments, floating rate loans, and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services or otherwise determined by the adviser in accordance with the adviser’s fair valuation policy and procedures. 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. In determining values, third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, spreads and other market data. An investment may also be valued at fair value if the adviser determines that the investment’s value has been materially affected by events occurring after the
Notes to Financial Statements (unaudited) - continued
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 halt of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.
Various inputs are used in determining the value of the fund's assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund's assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes significant unobservable inputs, which may include the adviser's own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts and forward foreign currency exchange contracts. The following is a summary of the levels used as of July 31, 2023 in valuing the fund's assets and liabilities:
| Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
| Non - U.S. Sovereign Debt | $— | $4,536,690 | $— | $4,536,690 |
| U.S. Corporate Bonds | — | 3,769,459 | — | 3,769,459 |
| Foreign Bonds | — | 52,740,202 | — | 52,740,202 |
| Mutual Funds | 125,924,149 | — | — | 125,924,149 |
| Total | $125,924,149 | $61,046,351 | $— | $186,970,500 |
| Other Financial Instruments | | | | |
| Futures Contracts – Liabilities | $(2,805) | $— | $— | $(2,805) |
| Forward Foreign Currency Exchange Contracts – Assets | — | 706,451 | — | 706,451 |
| Forward Foreign Currency Exchange Contracts – Liabilities | — | (22,034) | — | (22,034) |
For further information regarding security characteristics, see the Portfolio of Investments. Please refer to the High Yield Pooled Portfolio's shareholder report for further information regarding the levels used in valuing its assets and liabilities.
Notes to Financial Statements (unaudited) - continued
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 1/31/23 | $228,697 |
| Realized gain (loss) | 270,760 |
| Change in unrealized appreciation or depreciation | (228,697) |
| Sales | (270,760) |
| Balance as of 7/31/23 | $— |
Foreign Currency Translation — Purchases and sales of foreign investments, income, and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions or on the reporting date for foreign denominated receivables and payables. Gains and losses attributable to foreign currency exchange rates on sales of securities are recorded for financial statement purposes as net realized gains and losses on investments. Gains and losses attributable to foreign exchange rate movements on receivables, payables, income and expenses are recorded for financial statement purposes as foreign currency transaction gains and losses. That portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
Derivatives — The fund uses derivatives primarily to increase or decrease exposure to a particular market or segment of the market, or security, to increase or decrease interest rate or currency exposure, or as alternatives to direct investments. Derivatives are used for hedging or non-hedging purposes. While hedging can reduce or eliminate losses, it can also reduce or eliminate gains. When the fund uses derivatives as an investment to increase market exposure, or for hedging purposes, gains and losses from derivative instruments may be substantially greater than the derivative’s original cost.
The derivative instruments used by the fund during the period were futures contracts and forward foreign currency exchange contracts. Depending on the type of derivative, a fund may exit a derivative position by entering into an offsetting transaction with a counterparty or exchange, negotiating an agreement with the derivative counterparty, or novating the position to a third party. The fund may be unable to promptly close out a futures position in instances where the daily fluctuation in the price for that type of future exceeds the daily limit set by the exchange. The fund's period end derivatives, as presented in the Portfolio of Investments and the associated Derivative Contract tables, generally are indicative of the volume of its derivative activity during the period.
Notes to Financial Statements (unaudited) - continued
The following table presents, by major type of derivative contract, the fair value, on a gross basis, of the asset and liability components of derivatives held by the fund at July 31, 2023 as reported in the Statement of Assets and Liabilities:
| | | Fair Value (a) |
| Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
| Interest Rate | Futures Contracts | $— | $(2,805) |
| Foreign Exchange | Forward Foreign Currency Exchange Contracts | 706,451 | (22,034) |
| Total | | $706,451 | $(24,839) |
| (a) | Values presented in this table for futures contracts correspond to the values reported in the Portfolio of Investments. Only the current day net variation margin for futures contracts is reported separately within the Statement of Assets and Liabilities. |
The following table presents, by major type of derivative contract, the realized gain (loss) on derivatives held by the fund for the six months ended July 31, 2023 as reported in the Statement of Operations:
| Risk | Forward Foreign
Currency
Exchange
Contracts |
| Foreign Exchange | $(970,617) |
The following table presents, by major type of derivative contract, the change in unrealized appreciation or depreciation on derivatives held by the fund for the six months ended July 31, 2023 as reported in the Statement of Operations:
| Risk | Futures
Contracts | Forward Foreign
Currency
Exchange
Contracts |
| Interest Rate | $(2,805) | $— |
| Foreign Exchange | — | 860,816 |
| Total | $(2,805) | $860,816 |
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain, but not all, uncleared derivatives, the fund attempts to reduce its exposure to counterparty credit risk whenever possible by entering into an ISDA Master Agreement on a bilateral basis. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a specified deterioration in the credit quality of the other party. Upon an event of default or a termination of the ISDA Master Agreement, the non-defaulting party has the right to close out all transactions traded under such agreement and to net amounts owed under each agreement to one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the fund's credit risk to such counterparty equal to any amounts payable by the fund under the applicable transactions, if any.
Notes to Financial Statements (unaudited) - continued
Collateral and margin requirements differ by type of derivative. For cleared derivatives (e.g., futures contracts, cleared swaps, and exchange-traded options), margin requirements are set by the clearing broker and the clearing house and collateral, in the form of cash or securities, is posted by the fund directly with the clearing broker. Collateral terms are counterparty agreement specific for uncleared derivatives (e.g., forward foreign currency exchange contracts, uncleared swap agreements, and uncleared options) and collateral, in the form of cash and securities, is held in segregated accounts with the fund's custodian in connection with these agreements. For derivatives traded under an ISDA Master Agreement, which contains a credit support annex, the collateral requirements are netted across all transactions traded under such counterparty-specific agreement and an amount is posted from one party to the other to collateralize such obligations. Cash that has been segregated or delivered to cover the fund's collateral or margin obligations under derivative contracts, if any, will be reported separately in the Statement of Assets and Liabilities as restricted cash for uncleared derivatives and/or deposits with brokers for cleared derivatives. Securities pledged as collateral or margin for the same purpose, if any, are noted in the Portfolio of Investments. The fund may be required to make payments of interest on uncovered collateral or margin obligations with the broker. Any such payments are included in “Miscellaneous” expense in the Statement of Operations.
Futures Contracts — The fund entered into futures contracts which may be used to hedge against or obtain broad market exposure, interest rate exposure, currency exposure, or to manage duration. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a futures contract, the fund is required to deposit with the broker, either in cash or securities, an initial margin in an amount equal to a specified percentage of the notional amount of the contract. Subsequent payments (variation margin) are made or received by the fund each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gain or loss by the fund until the contract is closed or expires at which point the gain or loss on futures contracts is realized.
The fund bears the risk of interest rates, exchange rates or securities prices moving unexpectedly, in which case, the fund may not achieve the anticipated benefits of the futures contracts and may realize a loss. While futures contracts may present less counterparty risk to the fund since the contracts are exchange traded and the exchange’s clearinghouse guarantees payments to the broker, there is still counterparty credit risk due to the insolvency of the broker. The fund’s maximum risk of loss due to counterparty credit risk is equal to the margin posted by the fund to the broker plus any gains or minus any losses on the outstanding futures contracts.
Forward Foreign Currency Exchange Contracts — The fund entered into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. These contracts may be used to hedge the fund’s currency risk or for non-hedging purposes. For hedging purposes, the fund may enter into contracts to deliver or receive foreign currency that the fund will receive from or use in its normal investment activities. The fund may also use contracts to hedge against declines in the value of foreign currency denominated securities due to
Notes to Financial Statements (unaudited) - continued
unfavorable exchange rate movements. For non-hedging purposes, the fund may enter into contracts with the intent of changing the relative exposure of the fund’s portfolio of securities to different currencies to take advantage of anticipated exchange rate changes.
Forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any unrealized gains or losses are recorded as a receivable or payable for forward foreign currency exchange contracts until the contract settlement date. On contract settlement date, any gain or loss on the contract is recorded as realized gains or losses on forward foreign currency exchange contracts.
Risks may arise upon entering into these contracts from unanticipated movements in the value of the contract and from the potential inability of counterparties to meet the terms of their contracts. Generally, the fund’s maximum risk due to counterparty credit risk is the unrealized gain on the contract due to the use of Continuous Linked Settlement, a multicurrency cash settlement system for the centralized settlement of foreign transactions. This risk is mitigated in cases where there is an ISDA Master Agreement between the fund and the counterparty providing for netting as described above and, where applicable, by the posting of collateral by the counterparty to the fund to cover the fund’s exposure to the counterparty under such ISDA Master Agreement.
Indemnifications — Under the fund's organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the fund. Additionally, in the normal course of business, the fund enters into agreements with service providers that may contain indemnification clauses. The fund's maximum exposure under these agreements is unknown as this would involve future claims that may be made against the fund that have not yet occurred.
Investment Transactions and Income — Interest income is recorded on the accrual basis. All premium and discount is amortized or accreted for financial statement purposes in accordance with U.S. generally accepted accounting principles. Dividends received in cash are recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded when the fund is informed of the dividend if such information is obtained subsequent to the ex-dividend date. Dividend and interest payments received in additional securities are recorded on the ex-dividend or ex-interest date in an amount equal to the value of the security on such date. Distributions of income and capital gains from the High Yield Pooled Portfolio are recorded on the ex-dividend date.
The MFS Global High Yield Fund may receive proceeds from litigation settlements. Any proceeds received from litigation involving portfolio holdings are reflected in the Statement of Operations in realized gain/loss if the security has been disposed of by the fund or in unrealized gain/loss if the security is still held by the fund. Any other proceeds from litigation not related to portfolio holdings are reflected as other income in the Statement of Operations.
Investment transactions are recorded on the trade date. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
Notes to Financial Statements (unaudited) - continued
Fees Paid Indirectly — The fund's custody fee may be reduced by a credit earned under an arrangement that measures the value of U.S. dollars deposited with the custodian by the fund. The amount of the credit, for the six months ended July 31, 2023, is shown as a reduction of total expenses in the Statement of Operations.
Tax Matters and Distributions — The fund intends to qualify as a regulated investment company, as defined under Subchapter M of the Internal Revenue Code, and to distribute all of its taxable income, including realized capital gains. As a result, no provision for federal income tax is required. The fund’s federal tax returns, when filed, will remain subject to examination by the Internal Revenue Service for a three year period. Management has analyzed the fund’s tax positions taken on federal and state tax returns for all open tax years and does not believe that there are any uncertain tax positions that require recognition of a tax liability. Foreign taxes, if any, have been accrued by the fund in the accompanying financial statements in accordance with the applicable foreign tax law. Foreign income taxes may be withheld by certain countries in which the fund invests. Additionally, capital gains realized by the fund on securities issued in or by certain foreign countries may be subject to capital gains tax imposed by those countries.
Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences which arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future.
Book/tax differences primarily relate to amortization and accretion of debt securities and wash sale loss deferrals.
The tax character of distributions made during the current period will be determined at fiscal year end. The tax character of distributions declared to shareholders for the last fiscal year is as follows:
| | Year ended
1/31/23 |
| Ordinary income (including any short-term capital gains) | $17,296,566 |
Notes to Financial Statements (unaudited) - continued
The federal tax cost and the tax basis components of distributable earnings were as follows:
| As of 7/31/23 | |
| Cost of investments | $219,899,940 |
| Gross appreciation | 668,056 |
| Gross depreciation | (33,597,496) |
| Net unrealized appreciation (depreciation) | $(32,929,440) |
| As of 1/31/23 | |
| Capital loss carryforwards | (50,361,062) |
| Late year ordinary loss deferral | (594,053) |
| Other temporary differences | (854,871) |
| Net unrealized appreciation (depreciation) | (38,579,680) |
The aggregate cost above includes prior fiscal year end tax adjustments, if applicable.
As of January 31, 2023, the fund had capital loss carryforwards available to offset future realized gains. These net capital losses may be carried forward indefinitely and their character is retained as short-term and/or long-term losses. Such losses are characterized as follows:
| Short-Term | $(4,672,774) |
| Long-Term | (45,688,288) |
| Total | $(50,361,062) |
Multiple Classes of Shares of Beneficial Interest — The fund offers multiple classes of shares, which differ in their respective distribution and service fees. The fund's income and common expenses are allocated to shareholders based on the value of settled shares outstanding of each class. The fund's realized and unrealized gain (loss) are allocated to shareholders based on the daily net assets of each class. Dividends are declared separately for each class. Differences in per share dividend rates are generally due to differences in separate class expenses. Class B and Class C shares will convert to Class A shares approximately eight years after purchase. The fund’s distributions declared to shareholders as reported in the Statements of Changes in Net Assets are presented by class as follows:
| | Six months ended
7/31/23 | Year ended
1/31/23 |
| Class A | $2,849,843 | $9,260,281 |
| Class B | 19,224 | 91,110 |
| Class C | 113,544 | 434,406 |
| Class I | 1,631,383 | 5,285,914 |
| Class R1 | 1,601 | 4,928 |
| Class R2 | 11,104 | 33,320 |
| Class R3 | 57,325 | 178,558 |
| Class R4 | 194,024 | 541,415 |
| Class R6 | 450,249 | 1,466,634 |
| Total | $5,328,297 | $17,296,566 |
Notes to Financial Statements (unaudited) - continued
(3) Transactions with Affiliates
Investment Adviser — The fund has an investment advisory agreement with MFS to provide overall investment management and related administrative services and facilities to the fund. The management fee is computed daily and paid monthly at the following annual rates based on the fund's average daily net assets:
| Up to $1.5 billion | 0.65% |
| In excess of $1.5 billion and up to $2.5 billion | 0.60% |
| In excess of $2.5 billion | 0.55% |
MFS has agreed in writing to reduce its management fee by a specified amount if certain MFS mutual fund assets exceed thresholds agreed to by MFS and the fund's Board of Trustees. MFS has also agreed in writing to waive at least 0.01% of its management fee as part of this agreement. The agreement to waive at least 0.01% of the management fee will continue until modified by the fund's Board of Trustees, but such agreement will continue at least until May 31, 2024. For the six months ended July 31, 2023, this management fee reduction amounted to $12,236, which is included in the reduction of total expenses in the Statement of Operations. The management fee incurred for the six months ended July 31, 2023 was equivalent to an annual effective rate of 0.64% of the fund's average daily net assets.
For the period from February 1, 2023 through July 31, 2023, the investment adviser had agreed in writing to pay a portion of the fund’s total annual operating expenses, excluding interest, taxes, extraordinary expenses, brokerage and transaction costs, certain tax reclaim recovery expenses (including contingency fees and closing agreement expenses), and investment-related expenses (such as fees and expenses associated with investments in investment companies and other similar investment vehicles), such that total fund operating expenses did not exceed the following rates annually of each class’s average daily net assets:
| | | | | Classes | | | | |
| A | B | C | I | R1 | R2 | R3 | R4 | R6 |
| 1.05% | 1.80% | 1.80% | 0.80% | 1.80% | 1.30% | 1.05% | 0.80% | 0.73% |
This written agreement terminated on July 31, 2023. For the six months ended July 31, 2023, this reduction amounted to $166,488 which is included in the reduction of total expenses in the Statement of Operations. Effective August 1, 2023 the investment adviser has agreed in writing to pay a portion of the fund’s total annual operating expenses, excluding interest, taxes, extraordinary expenses, brokerage and transaction costs, certain tax reclaim recovery expenses (including contingency fees and closing agreement expenses), and investment-related expenses (such as fees and expenses associated with investments in investment companies and other similar investment vehicles), such that total fund operating expenses do not exceed the following rates annually of each class’s average daily net assets:
| Classes |
| A | B | C | I | R1 | R2 | R3 | R4 | R6 |
| 1.05% | 1.80% | 1.80% | 0.80% | 1.80% | 1.30% | 1.05% | 0.80% | 0.72% |
This written agreement will continue until modified by the fund’s Board of Trustees, but such agreement will continue at least until May 31, 2025.
Notes to Financial Statements (unaudited) - continued
Distributor — MFS Fund Distributors, Inc. (MFD), a wholly-owned subsidiary of MFS, as distributor, received $1,952 for the six months ended July 31, 2023, as its portion of the initial sales charge on sales of Class A shares of the fund.
The Board of Trustees has adopted a distribution plan for certain share classes pursuant to Rule 12b-1 of the Investment Company Act of 1940.
The fund's distribution plan provides that the fund will pay MFD for services provided by MFD and financial intermediaries in connection with the distribution and servicing of certain share classes. One component of the plan is a distribution fee paid to MFD and another component of the plan is a service fee paid to MFD. MFD may subsequently pay all, or a portion, of the distribution and/or service fees to financial intermediaries. The distribution and service fees are computed daily and paid monthly.
Distribution Plan Fee Table:
| | Distribution
Fee Rate (d) | Service
Fee Rate (d) | Total
Distribution
Plan (d) | Annual
Effective
Rate (e) | Distribution
and Service
Fee |
| Class A | — | 0.25% | 0.25% | 0.25% | $ 130,488 |
| Class B | 0.75% | 0.25% | 1.00% | 1.00% | 4,071 |
| Class C | 0.75% | 0.25% | 1.00% | 1.00% | 24,100 |
| Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 341 |
| Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 1,069 |
| Class R3 | — | 0.25% | 0.25% | 0.25% | 2,614 |
| Total Distribution and Service Fees | | | | | $162,683 |
| (d) | In accordance with the distribution plan for certain classes, the fund pays distribution and/or service fees equal to these annual percentage rates of each class’s average daily net assets. The distribution and service fee rates disclosed by class represent the current rates in effect at the end of the reporting period. Any rate changes, if applicable, are detailed below. |
| (e) | The annual effective rates represent actual fees incurred under the distribution plan for the six months ended July 31, 2023 based on each class's average daily net assets. MFD has voluntarily agreed to rebate a portion of each class's 0.25% service fee attributable to accounts for which there is no financial intermediary specified on the account except for accounts attributable to MFS or its affiliates' seed money. There were no service fee rebates for the six months ended July 31, 2023. |
Certain Class A shares are subject to a contingent deferred sales charge (CDSC) in the event of a shareholder redemption within 18 months of purchase. Class B shares are subject to a CDSC in the event of a shareholder redemption within six years of purchase. Class C shares are subject to a CDSC in the event of a shareholder redemption within 12 months of purchase. All contingent deferred sales charges are paid to MFD and during the six months ended July 31, 2023, were as follows:
| | Amount |
| Class A | $34 |
| Class B | 130 |
| Class C | 67 |
Shareholder Servicing Agent — MFS Service Center, Inc. (MFSC), a wholly-owned subsidiary of MFS, receives a fee from the fund for its services as shareholder servicing agent calculated as a percentage of the average daily net assets of the fund as
Notes to Financial Statements (unaudited) - continued
determined periodically under the supervision of the fund's Board of Trustees. For the six months ended July 31, 2023, the fee was $29,562, which equated to 0.0308% annually of the fund's average daily net assets. MFSC also receives reimbursement from the fund for out-of-pocket expenses, sub-accounting and other shareholder servicing costs which may be paid to affiliated and unaffiliated service providers. Class R6 shares do not incur sub-accounting fees. For the six months ended July 31, 2023, these out-of-pocket expenses, sub-accounting and other shareholder servicing costs amounted to $100,110.
Administrator — MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to the fund. Under an administrative services agreement, the fund reimburses MFS the costs incurred to provide these services. The fund is charged an annual fixed amount of $17,500 plus a fee based on average daily net assets. The administrative services fee is computed daily and paid monthly. The administrative services fee incurred for the six months ended July 31, 2023 was equivalent to an annual effective rate of 0.0198% of the fund's average daily net assets.
Trustees’ and Officers’ Compensation — The fund pays compensation to independent Trustees in the form of a retainer, attendance fees, and additional compensation to Board and Committee chairpersons. Independent Trustees’ compensation is accrued daily and paid subsequent to each Trustee Board meeting. The fund does not pay compensation directly to Trustees or officers of the fund who are also officers of the investment adviser, all of whom receive remuneration from MFS for their services to the fund. Certain officers and Trustees of the fund are officers or directors of MFS, MFD, and MFSC.
Other — The fund invests in the MFS Institutional Money Market Portfolio which is managed by MFS and seeks current income consistent with preservation of capital and liquidity. This money market fund does not pay a management fee to MFS but does incur investment and operating costs.
The fund invests in the MFS High Yield Pooled Portfolio, which is a mutual fund advised by MFS that does not pay management fees to MFS and does not pay distribution and/or service fees to MFD, but does incur investment and operating costs. The fund invests in MFS High Yield Pooled Portfolio to gain exposure to high income debt instruments, rather than investing in high income debt instruments directly (see Appendix A). Income earned on this investment is included in “Dividends from affiliated issuers” in the Statement of Operations.
At July 31, 2023, MFS held approximately 88% of the outstanding shares of Class R1.
(4) Portfolio Securities
For the six months ended July 31, 2023, purchases and sales of investments, other than short-term obligations, aggregated $20,047,654 and $28,494,817, respectively.
Notes to Financial Statements (unaudited) - continued
(5) Shares of Beneficial Interest
The fund's Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest. Transactions in fund shares were as follows:
| | Six months ended
7/31/23 | | Year ended
1/31/23 |
| | Shares | Amount | | Shares | Amount |
| Shares sold | | | | | |
| Class A | 1,155,026 | $5,936,302 | | 3,580,063 | $19,470,073 |
| Class B | 433 | 2,238 | | 1,755 | 10,371 |
| Class C | 48,286 | 246,470 | | 73,777 | 399,216 |
| Class I | 3,930,576 | 20,209,692 | | 2,992,830 | 16,083,675 |
| Class R1 | 382 | 1,969 | | 578 | 3,056 |
| Class R2 | 7,576 | 38,826 | | 12,003 | 65,754 |
| Class R3 | 46,970 | 242,774 | | 110,236 | 588,744 |
| Class R4 | 206,054 | 1,061,006 | | 723,151 | 3,818,548 |
| Class R6 | 268,110 | 1,375,547 | | 344,686 | 1,867,076 |
| | 5,663,413 | $29,114,824 | | 7,839,079 | $42,306,513 |
Shares issued to shareholders
in reinvestment of distributions | | | | | |
| Class A | 530,969 | $2,732,226 | | 1,694,870 | $8,838,276 |
| Class B | 3,702 | 19,083 | | 17,343 | 90,794 |
| Class C | 22,048 | 113,295 | | 83,273 | 432,780 |
| Class I | 315,167 | 1,621,156 | | 998,773 | 5,247,733 |
| Class R1 | 311 | 1,601 | | 950 | 4,928 |
| Class R2 | 2,156 | 11,104 | | 6,379 | 33,202 |
| Class R3 | 11,040 | 57,070 | | 34,124 | 178,557 |
| Class R4 | 37,532 | 194,024 | | 103,763 | 541,413 |
| Class R6 | 79,003 | 405,702 | | 254,687 | 1,327,036 |
| | 1,001,928 | $5,155,261 | | 3,194,162 | $16,694,719 |
| Shares reacquired | | | | | |
| Class A | (2,393,541) | $(12,326,150) | | (6,822,086) | $(36,711,613) |
| Class B | (48,301) | (248,560) | | (149,703) | (792,724) |
| Class C | (222,939) | (1,142,960) | | (384,101) | (2,040,151) |
| Class I | (3,310,118) | (17,020,583) | | (10,856,153) | (56,699,160) |
| Class R1 | (176) | (915) | | (15) | (77) |
| Class R2 | (4,127) | (21,173) | | (10,967) | (57,978) |
| Class R3 | (208,736) | (1,075,336) | | (129,563) | (715,704) |
| Class R4 | (155,132) | (800,350) | | (584,697) | (3,114,016) |
| Class R6 | (557,990) | (2,853,351) | | (899,083) | (4,823,677) |
| | (6,901,060) | $(35,489,378) | | (19,836,368) | $(104,955,100) |
Notes to Financial Statements (unaudited) - continued
| | Six months ended
7/31/23 | | Year ended
1/31/23 |
| | Shares | Amount | | Shares | Amount |
| Net change | | | | | |
| Class A | (707,546) | $(3,657,622) | | (1,547,153) | $(8,403,264) |
| Class B | (44,166) | (227,239) | | (130,605) | (691,559) |
| Class C | (152,605) | (783,195) | | (227,051) | (1,208,155) |
| Class I | 935,625 | 4,810,265 | | (6,864,550) | (35,367,752) |
| Class R1 | 517 | 2,655 | | 1,513 | 7,907 |
| Class R2 | 5,605 | 28,757 | | 7,415 | 40,978 |
| Class R3 | (150,726) | (775,492) | | 14,797 | 51,597 |
| Class R4 | 88,454 | 454,680 | | 242,217 | 1,245,945 |
| Class R6 | (210,877) | (1,072,102) | | (299,710) | (1,629,565) |
| | (235,719) | $(1,219,293) | | (8,803,127) | $(45,953,868) |
Effective June 1, 2019, purchases of the fund’s Class B shares were closed to new and existing investors subject to certain exceptions. On March 30, 2023, the fund announced that effective after the close of business on September 29, 2023, purchases of Class R1 and Class R2 shares will be closed to new eligible investors.
(6) Line of Credit
The fund and certain other funds managed by MFS participate in a $1.45 billion unsecured committed line of credit of which $1.2 billion is reserved for use by the fund and certain other MFS U.S. funds. The line of credit is provided by a syndicate of banks under a credit agreement. Borrowings may be made for temporary financing needs. Interest is charged to each fund, based on its borrowings, generally at a rate equal to the highest of 1) Daily Simple SOFR (Secured Overnight Financing Rate) plus 0.10%, 2) the Federal Funds Effective Rate, or 3) the Overnight Bank Funding Rate, each plus an agreed upon spread. A commitment fee, based on the average daily unused portion of the committed line of credit, is allocated among the participating funds. The line of credit expires on March 14, 2024 unless extended or renewed. In addition, the fund and other funds managed by MFS have established unsecured uncommitted borrowing arrangements with certain banks for temporary financing needs. Interest is charged to each fund, based on its borrowings, at rates equal to customary reference rates plus an agreed upon spread. For the six months ended July 31, 2023, the fund’s commitment fee and interest expense were $504 and $0, respectively, and are included in “Miscellaneous” expense in the Statement of Operations.
Notes to Financial Statements (unaudited) - continued
(7) Investments in 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 following were affiliated issuers:
| Affiliated Issuers | Beginning
Value | Purchases | Sales
Proceeds | Realized
Gain
(Loss) | Change in
Unrealized
Appreciation or
Depreciation | Ending
Value |
| MFS High Yield Pooled Portfolio | $121,247,426 | $15,657,528 | $15,362,799 | $(3,624,782) | $3,281,125 | $121,198,498 |
| MFS Institutional Money Market Portfolio | 3,151,528 | 28,551,476 | 26,975,910 | (1,113) | (330) | 4,725,651 |
| | $124,398,954 | $44,209,004 | $42,338,709 | $(3,625,895) | $3,280,795 | $125,924,149 |
| Affiliated Issuers | Dividend
Income | Capital Gain
Distributions |
| MFS High Yield Pooled Portfolio | $4,064,241 | $— |
| MFS Institutional Money Market Portfolio | 167,614 | — |
| | $4,231,855 | $— |
Board Review of Investment Advisory Agreement
MFS Global High Yield Fund
The Investment Company Act of 1940 requires that both the full Board of Trustees and a majority of the non-interested (“independent”) Trustees, voting separately, annually approve the continuation of the Fund’s investment advisory agreement with MFS. The Trustees consider matters bearing on the Fund and its advisory arrangements at their meetings throughout the year, including a review of performance data at each regular meeting. In addition, the independent Trustees met several times over the course of three months beginning in May and ending in July, 2023 (“contract review meetings”) for the specific purpose of considering whether to approve the continuation of the investment advisory agreement for the Fund and the other investment companies that the Board oversees (the “MFS Funds”). The independent Trustees were assisted in their evaluation of the Fund’s investment advisory agreement by independent legal counsel, from whom they received separate legal advice and with whom they met separately from MFS during various contract review meetings. The independent Trustees were also assisted in this process by an independent consultant who was retained by and reported to the independent Trustees.
In connection with their deliberations regarding the continuation of the investment advisory agreement, the Trustees, including the independent Trustees, considered such information and factors as they believed, in light of the legal advice furnished to them and their own business judgment, to be relevant. The investment advisory agreement for the Fund was considered separately, although the Trustees also took into account the common interests of all MFS Funds in their review. As described below, the Trustees considered the nature, quality, and extent of the various investment advisory, administrative, and shareholder services performed by MFS under the existing investment advisory agreement and other arrangements with the Fund.
In connection with their contract review meetings, the Trustees received and relied upon materials that included, among other items: (i) information provided by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent third party, on the investment performance of the Fund for various time periods ended December 31, 2022 and the investment performance of a group of funds with substantially similar investment classifications/objectives (the “Broadridge performance universe”), (ii) information provided by Broadridge on the Fund’s advisory fees and other expenses and the advisory fees and other expenses of comparable funds identified by Broadridge as well as all other funds in the same investment classification/category (the “Broadridge expense group and universe”), (iii) information provided by MFS on the advisory fees of portfolios of other clients of MFS, including institutional separate accounts and other clients, (iv) information as to whether and to what extent applicable expense waivers, reimbursements or fee “breakpoints” are observed for the Fund, (v) information regarding MFS’ financial results and financial condition, including MFS’ and certain of its affiliates’ estimated profitability from services performed for the Fund and the MFS Funds as a whole, and compared to MFS’ institutional business, (vi) MFS’ views regarding the outlook for the mutual fund industry and the strategic business plans of MFS, (vii) descriptions of various functions performed by MFS for the Funds, such as compliance monitoring and portfolio trading practices, and (viii) information regarding the overall organization of MFS, including information about
Board Review of Investment Advisory Agreement - continued
MFS’ senior management and other personnel providing investment advisory, administrative and other services to the Fund and the other MFS Funds. The comparative performance, fee and expense information prepared and provided by Broadridge was not independently verified and the independent Trustees did not independently verify any information provided to them by MFS.
The Trustees’ conclusion as to the continuation of the investment advisory agreement was based on a comprehensive consideration of all information provided to the Trustees and not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations are described below, although individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. It is also important to recognize that the fee arrangements for the Fund and other MFS Funds are the result of years of review and discussion between the independent Trustees and MFS, that certain aspects of such arrangements may receive greater scrutiny in some years than in others, and that the Trustees’ conclusions may be based, in part, on their consideration of these same arrangements during the course of the year and in prior years.
Based on information provided by Broadridge and MFS, the Trustees reviewed the Fund’s total return investment performance as well as the Broadridge performance universe over various time periods. The Trustees placed particular emphasis on the total return performance of the Fund’s Class I shares in comparison to the performance of funds in its Broadridge performance universe over the five-year period ended December 31, 2022, which the Trustees believed was a long enough period to reflect differing market conditions. The total return performance of the Fund’s Class I shares was in the 3rd quintile relative to the other funds in the universe for this five-year period (the 1st quintile being the best performers and the 5th quintile being the worst performers). The total return performance of the Fund’s Class I shares was in the 2nd quintile for the one-year period and the 4th quintile for the three-year period ended December 31, 2022 relative to the Broadridge performance universe. Because of the passage of time, these performance results may differ from the performance results for more recent periods, including those shown elsewhere in this report.
In addition to considering the performance information provided in connection with the contract review meetings, the Trustees noted that, in light of the Fund’s substandard relative performance at the time of their contract review meetings in 2022, they had met at each of their regular meetings since then with MFS’ senior investment management personnel to discuss the Fund’s performance and MFS’ efforts to improve the Fund’s performance. The Trustees further noted that the Fund’s five-year performance as compared to its Broadridge performance universe improved for the period ended December 31, 2022, as compared to the prior year. Taking this information into account, the Trustees concluded, within the context of their overall conclusions regarding the investment advisory agreement, that they were satisfied with MFS’ responses and efforts relating to investment performance.
In assessing the reasonableness of the Fund’s advisory fee, the Trustees considered, among other information, the Fund’s advisory fee and the total expense ratio of the Fund’s Class I shares as a percentage of average daily net assets and the advisory fee and total expense ratios of the Broadridge expense group based on information provided by Broadridge. The Trustees considered that MFS currently observes an expense limitation for the Fund, which may not be changed without the Trustees’
Board Review of Investment Advisory Agreement - continued
approval. The Trustees also considered that, according to the data provided by Broadridge (which takes into account any fee reductions or expense limitations that were in effect during the Fund’s last fiscal year), the Fund’s effective advisory fee rate and total expense ratio were each approximately at the Broadridge expense group median. The Trustees also noted that MFS has agreed to further reduce the expense limitation for Class R6 shares of the Fund effective August 1, 2023, which may not be changed without the Trustees approval.
The Trustees also considered the advisory fees charged by MFS to any institutional separate accounts advised by MFS (“separate accounts”) and unaffiliated investment companies for which MFS serves as subadviser (“subadvised funds”) that have comparable investment strategies to the Fund, if any. In comparing these fees, the Trustees considered information provided by MFS as to the generally broader scope of services provided by MFS to the Fund, as well as the more extensive regulatory burdens imposed on MFS in managing the Fund, in comparison to separate accounts and subadvised funds. The Trustees also considered the higher demands placed on MFS’ investment personnel and trading infrastructure as a result of the daily cash in-flows and out-flows of the Fund in comparison to separate accounts.
The Trustees also considered whether the Fund may benefit from any economies of scale in the management of the Fund in the event of growth in assets of the Fund and/or growth in assets of the MFS Funds as a whole. They noted that the Fund’s advisory fee rate schedule is subject to contractual breakpoints that reduce the Fund’s advisory fee rate on average daily net assets over $1.5 billion and $2.5 billion. The Trustees also noted that MFS has agreed in writing to waive a portion of the management fees of certain MFS Funds, including the Fund, if the total combined assets of certain funds within the MFS Funds’ complex increase above agreed upon thresholds (the “group fee waiver”), enabling the Fund’s shareholders to share in the benefits from any economies of scale at the complex level. The group fee waiver is reviewed and renewed annually between the Board and MFS. The Trustees concluded that the breakpoints and the group fee waiver were sufficient to allow the Fund to benefit from economies of scale as its assets and overall complex assets grow.
The Trustees also considered information prepared by MFS relating to MFS’ costs and profits with respect to the Fund, the MFS Funds considered as a group, and other investment companies and accounts advised by MFS, as well as MFS’ methodologies used to determine and allocate its costs to the MFS Funds, the Fund and other accounts and products for purposes of estimating profitability.
After reviewing these and other factors described herein, the Trustees concluded, within the context of their overall conclusions regarding the investment advisory agreement, that the advisory fees charged to the Fund represent reasonable compensation in light of the services being provided by MFS to the Fund.
In addition, the Trustees considered MFS’ resources and related efforts to continue to retain, attract and motivate capable personnel to serve the Fund. The Trustees also considered current and developing conditions in the financial services industry, including the presence of large and well-capitalized companies which are spending, and appear to be prepared to continue to spend, substantial sums to engage personnel and to provide services to competing investment companies. In this regard, the
Board Review of Investment Advisory Agreement - continued
Trustees also considered the financial resources of MFS and its ultimate parent, Sun Life Financial Inc. The Trustees also considered the advantages and possible disadvantages to the Fund of having an adviser that also serves other investment companies as well as other accounts.
The Trustees also considered the nature, quality, cost, and extent of administrative, transfer agency, and distribution services provided to the Fund by MFS and its affiliates under agreements and plans other than the investment advisory agreement, including any 12b-1 fees the Fund pays to MFS Fund Distributors, Inc., an affiliate of MFS. The Trustees also considered the nature, extent and quality of certain other services MFS performs or arranges for on the Fund’s behalf, which may include securities lending programs, directed expense payment programs, class action recovery programs, and MFS’ interaction with third-party service providers, principally custodians and sub-custodians. The Trustees concluded that the various non-advisory services provided by MFS and its affiliates on behalf of the Fund were satisfactory.
The Trustees considered so-called “fall-out benefits” to MFS such as reputational value derived from serving as investment manager to the MFS Funds. The Trustees also considered that MFS discontinued its historic practice of obtaining investment research from portfolio brokerage commissions paid by certain MFS Funds effective January 2018, and directly pays or voluntarily reimburses a Fund, if applicable, for the costs of external research acquired through the use of the Fund’s portfolio brokerage commissions.
Based on their evaluation of factors that they deemed to be material, including those factors described above, the Board of Trustees, including the independent Trustees, concluded that the Fund’s investment advisory agreement with MFS should be continued for an additional one-year period, commencing August 1, 2023.
Statement Regarding Liquidity Risk Management Program
The fund has adopted and implemented a liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940, as amended. The fund’s Board of Trustees (the “Board”) has designated MFS as the administrator of the Program. The Program is reasonably designed to assess and manage the liquidity risk of the fund. Liquidity risk is the risk that the fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors' interests.
MFS provided a written report to the Board for consideration at its March 2023 meeting that addressed the operation of the Program and provided an assessment of the adequacy and effectiveness of the Program during the period from January 1, 2022 to December 31, 2022 (the “Covered Period”). The report concluded that during the Covered Period the Program had operated effectively in all material respects and had adequately and effectively been implemented to assess and manage the fund’s liquidity risk. MFS also reported that there were no liquidity events that impacted the fund or its ability to timely meet redemptions without dilution to existing shareholders during the Covered Period.
There can be no assurance that the Program will achieve its objectives in the future. Further information on liquidity risk, and other principal risks to which an investment in the fund may be subject, can be found in the prospectus.
Proxy Voting Policies and Information
MFS votes proxies on behalf of the fund pursuant to proxy voting policies and procedures that are available without charge, upon request, by calling 1-800-225-2606, by visiting mfs.com/proxyvoting, or by visiting the SEC’s Web site at http://www.sec.gov.
Information regarding how the fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available by August 31 of each year without charge by visiting mfs.com/proxyvoting, or by visiting the SEC’s Web site at http://www.sec.gov.
Quarterly Portfolio Disclosure
The fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund's Form N-PORT reports are available on the SEC's Web site at http://www.sec.gov. A shareholder can obtain the portfolio holdings report for the first and third quarters of the fund's fiscal year at mfs.com/openendfunds by choosing the fund's name and then scrolling to the “Resources” section and clicking on the “Prospectus and Reports” tab.
Further Information
From time to time, MFS may post important information about the fund or the MFS Funds on the MFS Web site (mfs.com). This information is available at https://www.mfs.com/announcements or at mfs.com/openendfunds by choosing the fund’s name and then scrolling to the “Resources” section and clicking on the “Announcements” tab, if any.
Information About Fund Contracts and Legal Claims
The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent, and custodian who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
Under the Trust’s By-Laws and Declaration of Trust, any claims asserted against or on behalf of the MFS Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.
Provision of Financial Reports and Summary Prospectuses
The fund produces financial reports every six months and updates its summary prospectus and prospectus annually. To avoid sending duplicate copies of materials to households, only one copy of the fund’s annual and semiannual report and summary prospectus may be mailed to shareholders having the same last name and residential address on the fund’s records. However, any shareholder may contact MFSC (please see back cover for address and telephone number) to request that copies of these reports and summary prospectuses be sent personally to that shareholder.
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CONTACT
WEB SITE
mfs.com
MFS TALK
1-800-637-8255
24 hours a day
ACCOUNT SERVICE AND LITERATURE
Shareholders
1-800-225-2606
Financial advisors
1-800-343-2829
Retirement plan services
1-800-637-1255
MAILING ADDRESS
MFS Service Center, Inc.
P.O. Box 219341
Kansas City, MO 64121-9341
OVERNIGHT MAIL
MFS Service Center, Inc.
Suite 219341
430 W 7th Street
Kansas City, MO 64105-1407
Appendix A
Semiannual Report
July 31, 2023
MFS® High Yield Pooled Portfolio
MFS® High Yield Pooled Portfolio
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The report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a current prospectus.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Portfolio structure (i)
Top five industries (i)
| Cable TV | 8.7% |
| Medical & Health Technology & Services | 4.6% |
| Midstream | 4.4% |
| Consumer Services | 4.4% |
| Energy - Independent | 3.8% |
Composition including fixed income credit quality (a)(i)
| BBB | 1.8% |
| BB | 42.3% |
| B | 40.2% |
| CCC | 12.8% |
| U.S. Government | 0.5% |
| Not Rated | 2.1% |
| Non-Fixed Income | (0.4)% |
| Cash & Cash Equivalents | 1.8% |
| Other | (1.1)% |
Portfolio facts
| Average Duration (d) | 3.7 |
| Average Effective Maturity (m) | 4.9 yrs. |
| (a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Not Rated includes fixed income securities and fixed income derivatives that have not been rated by any rating agency. |
Non-Fixed Income includes equity securities (including convertible bonds and equity derivatives), ETFs and Options on ETFs, and/or commodity-linked derivatives. The fund may or may not have held all of these instruments on this date. The fund is not rated by these agencies.
Portfolio Composition - continued
| (d) | Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value due to the interest rate move. The Average Duration calculation reflects the impact of the equivalent exposure of derivative positions, if any. |
| (f) | The fund invests a portion of its assets in Exchange-Traded Funds (ETFs) or Options on ETFs to gain fixed income exposure. Percentages include the direct exposure from investing in ETFs or Options on ETFs and not the indirect exposure to the underlying holdings. |
| (i) | For purposes of this presentation, the components include the value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include any accrued interest amounts. |
| (m) | In determining each instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening feature (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity. |
Where the fund holds convertible bonds, they are treated as part of the equity portion of the portfolio.
Cash & Cash Equivalents includes any cash, investments in money market funds, short-term securities, and other assets less liabilities. Please see the Statement of Assets and Liabilities for additional information related to the fund’s cash position and other assets and liabilities.
Other includes equivalent exposure from currency derivatives and/or any offsets to derivative positions and may be negative.
Percentages are based on net assets as of July 31, 2023.
The portfolio is actively managed and current holdings may be different.
Expense Table
Fund expenses borne by the shareholders during the period,
February 1, 2023 through July 31, 2023
As a shareholder of the fund, you incur ongoing costs, including fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period February 1, 2023 through July 31, 2023.
Actual Expenses
The first line of the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the following table provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | Annualized
Expense
Ratio | Beginning
Account Value
2/01/23 | Ending
Account Value
7/31/23 | Expenses
Paid During
Period (p)
2/01/23-7/31/23 |
| Actual | 0.02% | $1,000.00 | $1,030.65 | $0.10 |
| Hypothetical (h) | 0.02% | $1,000.00 | $1,024.70 | $0.10 |
| (h) | 5% fund return per year before expenses. |
| (p) | “Expenses Paid During Period” are equal to the fund’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
Portfolio of Investments
7/31/23 (unaudited)
The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.
| Issuer | | | Shares/Par | Value ($) |
| Bonds – 96.3% |
| Aerospace & Defense – 2.9% |
| Bombardier, Inc., 7.5%, 3/15/2025 (n) | | $ | 567,000 | $568,994 |
| Bombardier, Inc., 7.125%, 6/15/2026 (n) | | | 1,404,000 | 1,392,916 |
| Bombardier, Inc., 7.5%, 2/01/2029 (n) | | | 629,000 | 623,167 |
| F-Brasile S.p.A./F-Brasile U.S. LLC, 7.375%, 8/15/2026 (n) | | | 2,450,000 | 2,252,119 |
| Moog, Inc., 4.25%, 12/15/2027 (n) | | | 2,461,000 | 2,280,461 |
| Spirit AeroSystems, Inc., 4.6%, 6/15/2028 | | | 2,503,000 | 2,129,523 |
| TransDigm, Inc., 6.25%, 3/15/2026 (n) | | | 2,352,000 | 2,339,337 |
| TransDigm, Inc., 6.375%, 6/15/2026 | | | 1,650,000 | 1,633,123 |
| TransDigm, Inc., 5.5%, 11/15/2027 | | | 2,707,000 | 2,565,736 |
| TransDigm, Inc., 6.75%, 8/15/2028 (n) | | | 1,991,000 | 1,996,941 |
| TransDigm, Inc., 4.625%, 1/15/2029 | | | 2,377,000 | 2,121,472 |
| | | | | $19,903,789 |
| Airlines – 0.5% |
| Air Canada, 3.875%, 8/15/2026 (n) | | $ | 2,464,000 | $2,286,494 |
| American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 4/20/2029 (n) | | | 1,486,960 | 1,439,554 |
| | | | | $3,726,048 |
| Automotive – 2.7% |
| Clarios Global LP/Clarios U.S. Finance Co., 8.5%, 5/15/2027 (n) | | $ | 2,237,000 | $2,264,933 |
| Clarios Global LP/Clarios U.S. Finance Co., 6.75%, 5/15/2028 (n) | | | 1,045,000 | 1,049,664 |
| Dana, Inc., 5.375%, 11/15/2027 | | | 1,897,000 | 1,816,575 |
| Dana, Inc., 4.25%, 9/01/2030 | | | 1,495,000 | 1,277,499 |
| Dornoch Debt Merger Sub, Inc., 6.625%, 10/15/2029 (n) | | | 2,072,000 | 1,776,425 |
| Ford Motor Co., 5.113%, 5/03/2029 | | | 3,005,000 | 2,805,978 |
| Ford Motor Credit Co. LLC, 4.134%, 8/04/2025 | | | 6,547,000 | 6,244,506 |
| Real Hero Merger Sub 2, Inc., 6.25%, 2/01/2029 (n) | | | 1,705,000 | 1,375,408 |
| | | | | $18,610,988 |
| Broadcasting – 1.1% |
| Gray Escrow II, Inc., 5.375%, 11/15/2031 (n) | | $ | 3,580,000 | $2,498,106 |
| Gray Television, Inc., 5.875%, 7/15/2026 (n) | | | 425,000 | 382,586 |
| Midas OpCo Holdings LLC, 5.625%, 8/15/2029 (n) | | | 2,674,000 | 2,275,213 |
| Summer (BC) Bidco B LLC, 5.5%, 10/31/2026 (n) | | | 2,545,000 | 2,167,360 |
| Summer (BC) Holdco S.à r.l., “A”, 9.25%, 10/31/2027 | | EUR | 215,351 | 190,607 |
| | | | | $7,513,872 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Brokerage & Asset Managers – 1.6% |
| AG Issuer LLC, 6.25%, 3/01/2028 (n) | | $ | 428,000 | $412,848 |
| AG TTMT Escrow Issuer LLC, 8.625%, 9/30/2027 (n) | | | 2,748,000 | 2,833,460 |
| Aretec Escrow Issuer, Inc., 7.5%, 4/01/2029 (n) | | | 2,578,000 | 2,321,654 |
| LPL Holdings, Inc., 4.375%, 5/15/2031 (n) | | | 1,657,000 | 1,456,843 |
| NFP Corp., 4.875%, 8/15/2028 (n) | | | 2,230,000 | 2,006,762 |
| NFP Corp., 6.875%, 8/15/2028 (n) | | | 2,327,000 | 2,059,658 |
| | | | | $11,091,225 |
| Building – 3.3% |
| Foundation Building Materials LLC, 6%, 3/01/2029 (n) | | $ | 2,495,000 | $2,160,952 |
| GYP Holding III Corp., 4.625%, 5/01/2029 (n) | | | 3,006,000 | 2,684,959 |
| Interface, Inc., 5.5%, 12/01/2028 (n) | | | 3,784,000 | 3,173,087 |
| MIWD Holdco II LLC/MIWD Finance Co., 5.5%, 2/01/2030 (n) | | | 2,149,000 | 1,815,905 |
| New Enterprise Stone & Lime Co., Inc., 9.75%, 7/15/2028 (n) | | | 2,007,000 | 1,975,237 |
| Patrick Industries, Inc., 7.5%, 10/15/2027 (n) | | | 2,885,000 | 2,834,513 |
| SRS Distribution, Inc., 6.125%, 7/01/2029 (n) | | | 1,545,000 | 1,355,657 |
| Standard Industries, Inc., 2.25%, 11/21/2026 | | EUR | 655,000 | 641,884 |
| Standard Industries, Inc., 4.75%, 1/15/2028 (n) | | $ | 1,364,000 | 1,270,808 |
| Standard Industries, Inc., 4.375%, 7/15/2030 (n) | | | 2,673,000 | 2,320,391 |
| White Cap Buyer LLC, 6.875%, 10/15/2028 (n) | | | 2,494,000 | 2,246,874 |
| | | | | $22,480,267 |
| Business Services – 1.4% |
| Entegris Escrow Corp., 5.95%, 6/15/2030 (n) | | $ | 1,220,000 | $1,169,966 |
| Iron Mountain, Inc., 4.875%, 9/15/2027 (n) | | | 1,835,000 | 1,721,156 |
| Iron Mountain, Inc., 5.25%, 3/15/2028 (n) | | | 1,590,000 | 1,491,440 |
| Verscend Escrow Corp., 9.75%, 8/15/2026 (n) | | | 2,992,000 | 3,000,515 |
| ZI Technologies LLC/ZI Finance Corp. Co., 3.875%, 2/01/2029 (n) | | | 2,551,000 | 2,191,141 |
| | | | | $9,574,218 |
| Cable TV – 8.5% |
| Cable One, Inc., 4%, 11/15/2030 (n) | | $ | 3,729,000 | $2,945,910 |
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027 (n) | | | 1,920,000 | 1,801,340 |
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, 3/01/2030 (n) | | | 8,358,000 | 7,244,438 |
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, 8/15/2030 (n) | | | 4,337,000 | 3,674,727 |
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, 2/01/2031 (n) | | | 3,089,000 | 2,539,442 |
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, 1/15/2034 (n) | | | 2,113,000 | 1,624,095 |
| CSC Holdings LLC, 5.375%, 2/01/2028 (n) | | | 3,050,000 | 2,546,959 |
| CSC Holdings LLC, 7.5%, 4/01/2028 (n) | | | 1,700,000 | 1,050,289 |
| CSC Holdings LLC, 5.75%, 1/15/2030 (n) | | | 2,990,000 | 1,547,855 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Cable TV – continued |
| CSC Holdings LLC, 4.125%, 12/01/2030 (n) | | $ | 975,000 | $704,950 |
| DISH DBS Corp., 7.75%, 7/01/2026 | | | 1,380,000 | 892,170 |
| DISH DBS Corp., 5.25%, 12/01/2026 (n) | | | 1,815,000 | 1,486,494 |
| DISH DBS Corp., 5.125%, 6/01/2029 | | | 2,015,000 | 1,012,537 |
| DISH Network Corp., 11.75%, 11/15/2027 (n) | | | 1,067,000 | 1,074,019 |
| LCPR Senior Secured Financing DAC, 6.75%, 10/15/2027 (n) | | | 2,919,000 | 2,730,113 |
| LCPR Senior Secured Financing DAC, 5.125%, 7/15/2029 (n) | | | 930,000 | 769,040 |
| Sirius XM Radio, Inc., 4%, 7/15/2028 (n) | | | 2,037,000 | 1,772,357 |
| Sirius XM Radio, Inc., 5.5%, 7/01/2029 (n) | | | 4,846,000 | 4,427,640 |
| Sirius XM Radio, Inc., 3.875%, 9/01/2031 (n) | | | 1,868,000 | 1,462,563 |
| Telenet Finance Luxembourg S.A., 5.5%, 3/01/2028 (n) | | | 4,400,000 | 4,022,480 |
| Videotron Ltd., 5.125%, 4/15/2027 (n) | | | 1,597,000 | 1,539,943 |
| Videotron Ltd., 3.625%, 6/15/2029 (n) | | | 1,483,000 | 1,290,210 |
| Virgin Media Finance PLC, 5%, 7/15/2030 (n) | | | 3,640,000 | 2,986,810 |
| Virgin Media Vendor Financing Notes IV DAC, 5%, 7/15/2028 (n) | | | 3,178,000 | 2,796,749 |
| Ziggo Bond Finance B.V., 5.125%, 2/28/2030 (n) | | | 4,730,000 | 3,736,696 |
| | | | | $57,679,826 |
| Chemicals – 3.2% |
| Axalta Coating Systems Ltd., 4.75%, 6/15/2027 (n) | | $ | 2,274,000 | $2,168,702 |
| Axalta Coating Systems Ltd., 3.375%, 2/15/2029 (n) | | | 1,580,000 | 1,352,217 |
| Element Solutions, Inc., 3.875%, 9/01/2028 (n) | | | 3,322,000 | 2,935,869 |
| Ingevity Corp., 3.875%, 11/01/2028 (n) | | | 4,108,000 | 3,545,666 |
| LSF11 A5 HoldCo LLC, 6.625%, 10/15/2029 (n) | | | 2,508,000 | 2,094,107 |
| S.P.C.M. S.A., 3.375%, 3/15/2030 (n) | | | 2,608,000 | 2,160,410 |
| SCIH Salt Holdings, Inc., 6.625%, 5/01/2029 (n) | | | 1,681,000 | 1,460,653 |
| SCIL IV LLC/SCIL USA Holdings LLC, 9.5%, 7/15/2028 (n) | | EUR | 1,857,000 | 2,078,238 |
| Tronox, Inc., 4.625%, 3/15/2029 (n) | | $ | 621,000 | 514,796 |
| Windsor Holdings III, LLC, 8.5%, 6/15/2030 (n) | | | 3,143,000 | 3,158,715 |
| | | | | $21,469,373 |
| Computer Software – 1.2% |
| Camelot Finance S.A., 4.5%, 11/01/2026 (n) | | $ | 1,788,000 | $1,686,368 |
| Clarivate Science Holdings Corp., 3.875%, 7/01/2028 (n) | | | 745,000 | 664,072 |
| Clarivate Science Holdings Corp., 4.875%, 7/01/2029 (n) | | | 1,489,000 | 1,322,681 |
| Dun & Bradstreet Corp., 5%, 12/15/2029 (n) | | | 2,329,000 | 2,050,012 |
| Neptune Bidco U.S., Inc., 9.29%, 4/15/2029 (n) | | | 2,503,000 | 2,302,396 |
| | | | | $8,025,529 |
| Computer Software - Systems – 1.7% |
| Fair Isaac Corp., 5.25%, 5/15/2026 (n) | | $ | 4,021,000 | $3,945,606 |
| Sabre GLBL, Inc., 7.375%, 9/01/2025 (n) | | | 1,057,000 | 953,942 |
| Sabre GLBL, Inc., 11.25%, 12/15/2027 (n) | | | 1,075,000 | 951,052 |
| SS&C Technologies Holdings, Inc., 5.5%, 9/30/2027 (n) | | | 4,327,000 | 4,180,231 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Computer Software - Systems – continued |
| Virtusa Corp., 7.125%, 12/15/2028 (n) | | $ | 2,086,000 | $1,747,307 |
| | | | | $11,778,138 |
| Conglomerates – 3.7% |
| BWX Technologies, Inc., 4.125%, 6/30/2028 (n) | | $ | 1,658,000 | $1,509,086 |
| BWX Technologies, Inc., 4.125%, 4/15/2029 (n) | | | 4,316,000 | 3,873,610 |
| Chart Industries, Inc., 9.5%, 1/01/2031 (n) | | | 2,543,000 | 2,727,367 |
| Emerald Debt Merger, 6.625%, 12/15/2030 (n) | | | 3,644,000 | 3,621,225 |
| Gates Global LLC, 6.25%, 1/15/2026 (n) | | | 3,101,000 | 3,062,379 |
| Griffon Corp., 5.75%, 3/01/2028 | | | 2,691,000 | 2,532,663 |
| Madison IAQ LLC, 5.875%, 6/30/2029 (n) | | | 2,165,000 | 1,815,972 |
| Regal Rexnord Corp., 6.3%, 2/15/2030 (n) | | | 1,752,000 | 1,749,127 |
| TriMas Corp., 4.125%, 4/15/2029 (n) | | | 4,734,000 | 4,177,852 |
| | | | | $25,069,281 |
| Construction – 0.9% |
| Empire Communities Corp., 7%, 12/15/2025 (n) | | $ | 1,744,000 | $1,676,232 |
| Mattamy Group Corp., 5.25%, 12/15/2027 (n) | | | 1,110,000 | 1,049,601 |
| Mattamy Group Corp., 4.625%, 3/01/2030 (n) | | | 1,727,000 | 1,514,916 |
| Weekley Homes LLC/Weekley Finance Corp., 4.875%, 9/15/2028 (n) | | | 1,810,000 | 1,624,554 |
| | | | | $5,865,303 |
| Consumer Products – 2.3% |
| Energizer Gamma Acquisition B.V., 3.5%, 6/30/2029 | | EUR | 1,290,000 | $1,156,547 |
| Energizer Holdings, Inc., 4.375%, 3/31/2029 (n) | | $ | 2,661,000 | 2,306,608 |
| Mattel, Inc., 3.375%, 4/01/2026 (n) | | | 2,210,000 | 2,054,683 |
| Mattel, Inc., 5.875%, 12/15/2027 (n) | | | 673,000 | 659,919 |
| Newell Brands, Inc., 6.375%, 9/15/2027 | | | 2,912,000 | 2,864,680 |
| Newell Brands, Inc., 6.625%, 9/15/2029 | | | 1,169,000 | 1,167,731 |
| Prestige Consumer Healthcare, Inc., 5.125%, 1/15/2028 (n) | | | 2,200,000 | 2,101,000 |
| Prestige Consumer Healthcare, Inc., 3.75%, 4/01/2031 (n) | | | 1,351,000 | 1,134,840 |
| Spectrum Brands, Inc., 3.875%, 3/15/2031 (n) | | | 1,445,000 | 1,191,773 |
| SWF Escrow Issuer Corp., 6.5%, 10/01/2029 (n) | | | 1,362,000 | 841,071 |
| | | | | $15,478,852 |
| Consumer Services – 4.3% |
| Allied Universal Holdco LLC, 9.75%, 7/15/2027 (n) | | $ | 2,737,000 | $2,510,072 |
| Allied Universal Holdco LLC, 6%, 6/01/2029 (n) | | | 1,480,000 | 1,128,981 |
| ANGI Group LLC, 3.875%, 8/15/2028 (n) | | | 3,064,000 | 2,573,133 |
| Arches Buyer, Inc., 6.125%, 12/01/2028 (n) | | | 2,113,000 | 1,819,821 |
| Cushman & Wakefield PLC, 6.75%, 5/15/2028 (n) | | | 1,908,000 | 1,748,949 |
| GoDaddy, Inc., 3.5%, 3/01/2029 (n) | | | 4,304,000 | 3,700,998 |
| GW B-CR Security Corp., 9.5%, 11/01/2027 (n) | | | 2,049,000 | 2,005,674 |
| Match Group Holdings II LLC, 5%, 12/15/2027 (n) | | | 2,251,000 | 2,132,930 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Consumer Services – continued |
| Match Group Holdings II LLC, 4.625%, 6/01/2028 (n) | | $ | 3,115,000 | $2,873,495 |
| Match Group Holdings II LLC, 4.125%, 8/01/2030 (n) | | | 810,000 | 698,990 |
| Match Group Holdings II LLC, 3.625%, 10/01/2031 (n) | | | 245,000 | 201,684 |
| Realogy Group LLC/Realogy Co-Issuer Corp., 5.75%, 1/15/2029 (n) | | | 1,772,000 | 1,311,204 |
| Realogy Group LLC/Realogy Co-Issuer Corp., 5.25%, 4/15/2030 (n) | | | 1,760,000 | 1,268,111 |
| TriNet Group, Inc., 3.5%, 3/01/2029 (n) | | | 3,712,000 | 3,238,720 |
| WASH Multi-Family Acquisition, Inc., 5.75%, 4/15/2026 (n) | | | 2,073,000 | 1,928,796 |
| | | | | $29,141,558 |
| Containers – 3.1% |
| ARD Finance S.A., 6.5% (6.5% Cash or 7.25% PIK), 6/30/2027 (n)(p) | | $ | 859,000 | $697,938 |
| Ardagh Metal Packaging Finance USA LLC, 3.25%, 9/01/2028 (n) | | | 1,450,000 | 1,252,464 |
| Ardagh Metal Packaging Finance USA LLC, 4%, 9/01/2029 (n) | | | 3,777,000 | 3,089,228 |
| Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 5.25%, 8/15/2027 (n) | | | 3,001,000 | 2,575,626 |
| Can-Pack S.A./Eastern PA Land Investment Holding LLC, 3.875%, 11/15/2029 (n) | | | 4,405,000 | 3,539,905 |
| Crown Americas LLC, 5.25%, 4/01/2030 | | | 1,203,000 | 1,147,746 |
| Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/2026 | | | 3,670,000 | 3,470,229 |
| Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 2/01/2026 | | | 1,280,000 | 1,237,367 |
| LABL, Inc., 5.875%, 11/01/2028 (n) | | | 2,099,000 | 1,914,600 |
| Mauser Packaging Solutions, 7.875%, 8/15/2026 (n) | | | 1,031,000 | 1,028,218 |
| Trivium Packaging Finance B.V., 8.5%, 8/15/2027 (n) | | | 1,115,000 | 1,072,589 |
| | | | | $21,025,910 |
| Electrical Equipment – 0.2% |
| CommScope Technologies LLC, 5%, 3/15/2027 (n) | | $ | 1,661,000 | $1,107,875 |
| Electronics – 1.6% |
| Entegris, Inc., 4.375%, 4/15/2028 (n) | | $ | 1,696,000 | $1,542,793 |
| Entegris, Inc., 3.625%, 5/01/2029 (n) | | | 1,382,000 | 1,196,067 |
| Sensata Technologies B.V., 5.625%, 11/01/2024 (n) | | | 930,000 | 924,365 |
| Sensata Technologies B.V., 5%, 10/01/2025 (n) | | | 3,575,000 | 3,485,037 |
| Sensata Technologies B.V., 5.875%, 9/01/2030 (n) | | | 1,340,000 | 1,291,329 |
| Synaptics, Inc., 4%, 6/15/2029 (n) | | | 2,690,000 | 2,313,530 |
| | | | | $10,753,121 |
| Energy - Independent – 3.8% |
| Callon Petroleum Co., 8%, 8/01/2028 (n) | | $ | 1,891,000 | $1,917,336 |
| Callon Petroleum Co., 7.5%, 6/15/2030 (n) | | | 629,000 | 610,644 |
| Civitas Resources, Inc., 8.375%, 7/01/2028 (n) | | | 1,975,000 | 2,031,406 |
| Civitas Resources, Inc., 8.75%, 7/01/2031 (n) | | | 1,042,000 | 1,078,470 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Energy - Independent – continued |
| Comstock Resources, Inc., 6.75%, 3/01/2029 (n) | | $ | 3,249,000 | $3,030,565 |
| CrownRock LP/CrownRock Finance, Inc., “F”, 5%, 5/01/2029 (n) | | | 2,955,000 | 2,778,712 |
| Encino Acquisition Partners Holdings LLC, 8.5%, 5/01/2028 (n) | | | 1,890,000 | 1,733,655 |
| Matador Resources Co., 6.875%, 4/15/2028 (n) | | | 2,371,000 | 2,356,316 |
| Moss Creek Resources Holdings, Inc., 7.5%, 1/15/2026 (n) | | | 1,869,000 | 1,745,587 |
| Permian Resources Operating LLC, 7.75%, 2/15/2026 (n) | | | 445,000 | 449,380 |
| Permian Resources Operating LLC, 5.875%, 7/01/2029 (n) | | | 3,291,000 | 3,136,489 |
| SM Energy Co., 6.75%, 9/15/2026 | | | 632,000 | 620,940 |
| SM Energy Co., 6.5%, 7/15/2028 | | | 1,673,000 | 1,635,320 |
| Southwestern Energy Co., 8.375%, 9/15/2028 | | | 1,015,000 | 1,054,456 |
| Southwestern Energy Co., 5.375%, 3/15/2030 | | | 1,413,000 | 1,322,057 |
| | | | | $25,501,333 |
| Entertainment – 2.7% |
| Carnival Corp. PLC, 7.625%, 3/01/2026 (n) | | $ | 1,978,000 | $1,951,326 |
| Carnival Corp. PLC, 5.75%, 3/01/2027 (n) | | | 2,988,000 | 2,763,931 |
| Carnival Corp. PLC, 9.875%, 8/01/2027 (n) | | | 1,583,000 | 1,655,012 |
| Carnival Corp. PLC, 4%, 8/01/2028 (n) | | | 638,000 | 567,251 |
| Merlin Entertainments, 5.75%, 6/15/2026 (n) | | | 1,161,000 | 1,129,505 |
| Motion Bondco DAC, 6.625%, 11/15/2027 (n) | | | 1,535,000 | 1,418,609 |
| NCL Corp. Ltd., 5.875%, 3/15/2026 (n) | | | 1,535,000 | 1,452,506 |
| Royal Caribbean Cruises Ltd., 5.375%, 7/15/2027 (n) | | | 1,616,000 | 1,536,532 |
| Royal Caribbean Cruises Ltd., 5.5%, 4/01/2028 (n) | | | 2,920,000 | 2,752,092 |
| SeaWorld Parks & Entertainment, 5.25%, 8/15/2029 (n) | | | 1,444,000 | 1,299,600 |
| Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/2029 (n) | | | 831,000 | 773,021 |
| VOC Escrow Ltd., 5%, 2/15/2028 (n) | | | 1,281,000 | 1,190,225 |
| | | | | $18,489,610 |
| Financial Institutions – 4.7% |
| Avation Capital S.A., 8.25% (8.25% Cash or 9% PIK), 10/31/2026 (n)(p) | | $ | 2,402,290 | $2,094,354 |
| Castlelake Aviation Finance Designated Activity Co., 5%, 4/15/2027 (n) | | | 477,000 | 440,032 |
| Credit Acceptance Corp., 5.125%, 12/31/2024 (n) | | | 2,692,000 | 2,637,725 |
| Credit Acceptance Corp., 6.625%, 3/15/2026 | | | 296,000 | 290,470 |
| Global Aircraft Leasing Co. Ltd., 6.5% (6.5% Cash or 7.25% PIK), 9/15/2024 (n)(p) | | | 5,255,595 | 4,952,925 |
| Howard Hughes Corp., 4.125%, 2/01/2029 (n) | | | 3,592,000 | 3,035,276 |
| Macquarie AirFinance Ltd., 8.375%, 5/01/2028 (n) | | | 2,667,000 | 2,715,513 |
| Nationstar Mortgage Holdings, Inc., 6%, 1/15/2027 (n) | | | 3,669,000 | 3,506,170 |
| Nationstar Mortgage Holdings, Inc., 5.75%, 11/15/2031 (n) | | | 532,000 | 451,455 |
| OneMain Finance Corp., 6.875%, 3/15/2025 | | | 2,011,000 | 2,004,322 |
| OneMain Finance Corp., 7.125%, 3/15/2026 | | | 2,876,000 | 2,848,991 |
| OneMain Finance Corp., 5.375%, 11/15/2029 | | | 419,000 | 363,000 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Financial Institutions – continued |
| Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029 (n) | | $ | 1,755,000 | $1,496,104 |
| SLM Corp., 3.125%, 11/02/2026 | | | 2,978,000 | 2,620,432 |
| UWM Holdings Corp., 5.5%, 4/15/2029 (n) | | | 3,022,000 | 2,656,723 |
| | | | | $32,113,492 |
| Food & Beverages – 2.9% |
| B&G Foods, Inc., 5.25%, 4/01/2025 | | $ | 1,735,000 | $1,652,940 |
| B&G Foods, Inc., 5.25%, 9/15/2027 | | | 650,000 | 560,528 |
| BellRing Brands, Inc., 7%, 3/15/2030 (n) | | | 3,036,000 | 3,047,476 |
| Performance Food Group Co., 5.5%, 10/15/2027 (n) | | | 2,993,000 | 2,898,112 |
| Post Holdings, Inc., 5.625%, 1/15/2028 (n) | | | 2,368,000 | 2,288,293 |
| Post Holdings, Inc., 4.625%, 4/15/2030 (n) | | | 3,229,000 | 2,845,482 |
| Primo Water Holding, Inc., 4.375%, 4/30/2029 (n) | | | 3,892,000 | 3,417,332 |
| U.S. Foods Holding Corp., 4.75%, 2/15/2029 (n) | | | 3,115,000 | 2,865,044 |
| | | | | $19,575,207 |
| Gaming & Lodging – 2.8% |
| Caesars Entertainment, Inc., 4.625%, 10/15/2029 (n) | | $ | 458,000 | $403,188 |
| Caesars Entertainment, Inc., 7%, 2/15/2030 (n) | | | 1,784,000 | 1,801,878 |
| Caesars Resort Collection LLC/CRC Finco, Inc., 8.125%, 7/01/2027 (n) | | | 2,284,000 | 2,342,637 |
| CCM Merger, Inc., 6.375%, 5/01/2026 (n) | | | 2,340,000 | 2,279,739 |
| International Game Technology PLC, 6.25%, 1/15/2027 (n) | | | 830,000 | 826,887 |
| Penn National Gaming, Inc., 4.125%, 7/01/2029 (n) | | | 2,122,000 | 1,752,719 |
| Sands China Ltd., 4.875%, 6/18/2030 | | | 1,784,000 | 1,625,791 |
| Wyndham Hotels & Resorts, Inc., 4.375%, 8/15/2028 (n) | | | 2,858,000 | 2,615,629 |
| Wynn Macau Ltd., 5.5%, 10/01/2027 (n) | | | 2,229,000 | 2,014,459 |
| Wynn Macau Ltd., 5.625%, 8/26/2028 (n) | | | 1,123,000 | 997,164 |
| Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029 (n) | | | 2,655,000 | 2,402,452 |
| | | | | $19,062,543 |
| Industrial – 1.4% |
| Albion Financing 1 S.à r.l., 6.125%, 10/15/2026 (n) | | $ | 980,000 | $923,650 |
| Albion Financing 2 S.à r.l., 8.75%, 4/15/2027 (n) | | | 1,530,000 | 1,417,561 |
| APi Escrow Corp., 4.75%, 10/15/2029 (n) | | | 3,525,000 | 3,139,154 |
| Brand Industrial Service, Inc., 10.375%, 8/01/2030 (n) | | | 1,238,000 | 1,262,785 |
| Williams Scotsman International, Inc., 4.625%, 8/15/2028 (n) | | | 3,362,000 | 3,092,089 |
| | | | | $9,835,239 |
| Insurance - Property & Casualty – 2.5% |
| Acrisure LLC/Acrisure Finance, Inc., 7%, 11/15/2025 (n) | | $ | 1,467,000 | $1,416,633 |
| Acrisure LLC/Acrisure Finance, Inc., 4.25%, 2/15/2029 (n) | | | 1,065,000 | 918,300 |
| Acrisure LLC/Acrisure Finance, Inc., 6%, 8/01/2029 (n) | | | 2,293,000 | 1,966,027 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Insurance - Property & Casualty – continued |
| Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/2027 (n) | | $ | 1,090,000 | $1,032,452 |
| Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 5.875%, 11/01/2029 (n) | | | 3,111,000 | 2,752,782 |
| AmWINS Group Benefits, Inc., 4.875%, 6/30/2029 (n) | | | 2,118,000 | 1,943,130 |
| AssuredPartners, Inc., 5.625%, 1/15/2029 (n) | | | 2,140,000 | 1,868,050 |
| GTCR (AP) Finance, Inc., 8%, 5/15/2027 (n) | | | 1,401,000 | 1,387,566 |
| Hub International Ltd., 5.625%, 12/01/2029 (n) | | | 2,482,000 | 2,215,255 |
| Hub International Ltd., 7.25%, 6/15/2030 (n) | | | 1,725,000 | 1,757,792 |
| | | | | $17,257,987 |
| Machinery & Tools – 1.1% |
| Ritchie Bros Holdings, Inc., 6.75%, 3/15/2028 (n) | | $ | 1,885,000 | $1,908,563 |
| Ritchie Bros Holdings, Inc., 7.75%, 3/15/2031 (n) | | | 3,378,000 | 3,520,565 |
| Terex Corp., 5%, 5/15/2029 (n) | | | 2,487,000 | 2,314,079 |
| | | | | $7,743,207 |
| Major Banks – 0.4% |
| Toronto-Dominion Bank, 8.125% to 10/31/2027, FLR (CMT - 5yr. + 4.075%) to 10/31/2082 | | $ | 2,545,000 | $2,614,478 |
| Medical & Health Technology & Services – 4.5% |
| 180 Medical, Inc., 3.875%, 10/15/2029 (n) | | $ | 2,775,000 | $2,429,602 |
| Avantor Funding, Inc., 4.625%, 7/15/2028 (n) | | | 3,749,000 | 3,478,447 |
| Charles River Laboratories International, Inc., 3.75%, 3/15/2029 (n) | | | 3,224,000 | 2,844,867 |
| CHS/Community Health Systems, Inc., 8%, 12/15/2027 (n) | | | 1,400,000 | 1,368,913 |
| CHS/Community Health Systems, Inc., 6.125%, 4/01/2030 (n) | | | 2,934,000 | 1,849,366 |
| CHS/Community Health Systems, Inc., 5.25%, 5/15/2030 (n) | | | 2,548,000 | 2,035,944 |
| Encompass Health Corp., 5.75%, 9/15/2025 | | | 832,000 | 829,802 |
| Encompass Health Corp., 4.75%, 2/01/2030 | | | 2,633,000 | 2,393,222 |
| Encompass Health Corp., 4.625%, 4/01/2031 | | | 435,000 | 386,547 |
| IQVIA, Inc., 5%, 5/15/2027 (n) | | | 3,940,000 | 3,799,351 |
| IQVIA, Inc., 6.5%, 5/15/2030 (n) | | | 817,000 | 824,958 |
| Legacy LifePoint Health LLC, 4.375%, 2/15/2027 (n) | | | 895,000 | 771,938 |
| Tenet Healthcare Corp., 6.125%, 10/01/2028 | | | 1,804,000 | 1,718,472 |
| Tenet Healthcare Corp., 4.375%, 1/15/2030 | | | 853,000 | 760,779 |
| Tenet Healthcare Corp., 6.125%, 6/15/2030 | | | 2,430,000 | 2,361,352 |
| Tenet Healthcare Corp., 6.75%, 5/15/2031 (n) | | | 1,053,000 | 1,045,962 |
| U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026 (n) | | | 1,950,000 | 1,703,968 |
| | | | | $30,603,490 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Medical Equipment – 1.1% |
| Embecta Corp., 5%, 2/15/2030 (n) | | $ | 2,514,000 | $2,074,050 |
| Garden SpinCo Corp., 8.625%, 7/20/2030 (n) | | | 2,895,000 | 3,124,363 |
| Mozart Debt Merger Sub, Inc., 5.25%, 10/01/2029 (n) | | | 1,515,000 | 1,344,076 |
| Teleflex, Inc., 4.625%, 11/15/2027 | | | 1,223,000 | 1,154,206 |
| | | | | $7,696,695 |
| Metals & Mining – 3.6% |
| Baffinland Iron Mines Corp./Baffinland Iron Mines LP, 8.75%, 7/15/2026 (n) | | $ | 2,859,000 | $2,773,230 |
| Coeur Mining, Inc., 5.125%, 2/15/2029 (n) | | | 2,377,000 | 1,972,292 |
| Eldorado Gold Corp., 6.25%, 9/01/2029 (n) | | | 1,115,000 | 998,055 |
| Ero Copper Corp., 6.5%, 2/15/2030 (n) | | | 830,000 | 730,375 |
| FMG Resources Ltd., 4.375%, 4/01/2031 (n) | | | 4,915,000 | 4,226,474 |
| GrafTech Finance, Inc., 4.625%, 12/15/2028 (n) | | | 3,119,000 | 2,592,606 |
| GrafTech International Ltd., 9.875%, 12/15/2028 (n) | | | 417,000 | 423,580 |
| Kaiser Aluminum Corp., 4.625%, 3/01/2028 (n) | | | 3,771,000 | 3,384,774 |
| Kaiser Aluminum Corp., 4.5%, 6/01/2031 (n) | | | 1,455,000 | 1,189,463 |
| Novelis Corp., 3.25%, 11/15/2026 (n) | | | 1,250,000 | 1,135,847 |
| Novelis Corp., 4.75%, 1/30/2030 (n) | | | 2,527,000 | 2,271,164 |
| Novelis Corp., 3.875%, 8/15/2031 (n) | | | 1,367,000 | 1,138,305 |
| Petra Diamonds US$ Treasury PLC, 9.75%, 3/08/2026 (n) | | | 1,481,632 | 1,333,469 |
| | | | | $24,169,634 |
| Midstream – 4.3% |
| DT Midstream, Inc., 4.125%, 6/15/2029 (n) | | $ | 2,436,000 | $2,159,814 |
| DT Midstream, Inc., 4.375%, 6/15/2031 (n) | | | 3,288,000 | 2,854,446 |
| EQM Midstream Partners LP, 5.5%, 7/15/2028 | | | 5,375,000 | 5,171,681 |
| Genesis Energy LP/Genesis Energy Finance Corp., 8%, 1/15/2027 | | | 857,000 | 843,423 |
| Genesis Energy LP/Genesis Energy Finance Corp., 8.875%, 4/15/2030 | | | 1,426,000 | 1,422,342 |
| Kinetik Holdings, Inc., 5.875%, 6/15/2030 (n) | | | 2,247,000 | 2,159,929 |
| NuStar Logistics, LP, 6.375%, 10/01/2030 | | | 2,099,000 | 2,024,380 |
| Tallgrass Energy Partners LP, 6%, 3/01/2027 (n) | | | 914,000 | 866,137 |
| Tallgrass Energy Partners LP, 5.5%, 1/15/2028 (n) | | | 3,620,000 | 3,330,400 |
| Venture Global Calcasieu Pass LLC, 3.875%, 8/15/2029 (n) | | | 3,165,000 | 2,740,596 |
| Venture Global Calcasieu Pass LLC, 6.25%, 1/15/2030 (n) | | | 1,028,000 | 1,005,202 |
| Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031 (n) | | | 1,990,000 | 1,687,984 |
| Venture Global LNG, Inc., 8.125%, 6/01/2028 (n) | | | 1,537,000 | 1,562,178 |
| Venture Global LNG, Inc., 8.375%, 6/01/2031 (n) | | | 1,413,000 | 1,433,795 |
| | | | | $29,262,307 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Network & Telecom – 0.5% |
| Iliad Holding S.A.S., 6.5%, 10/15/2026 (n) | | $ | 693,000 | $664,145 |
| Iliad Holding S.A.S., 7%, 10/15/2028 (n) | | | 3,007,000 | 2,823,096 |
| | | | | $3,487,241 |
| Oil Services – 0.7% |
| Nabors Industries Ltd., 7.25%, 1/15/2026 (n) | | $ | 2,761,000 | $2,658,180 |
| Solaris Midstream Holding LLC, 7.625%, 4/01/2026 (n) | | | 1,864,000 | 1,827,419 |
| | | | | $4,485,599 |
| Oils – 1.0% |
| Parkland Corp., 4.625%, 5/01/2030 (n) | | $ | 4,552,000 | $3,994,617 |
| PBF Holding Co. LLC/PBF Finance Corp., 6%, 2/15/2028 | | | 1,999,000 | 1,887,536 |
| Puma International Financing S.A., 5%, 1/24/2026 | | | 1,001,000 | 912,829 |
| | | | | $6,794,982 |
| Personal Computers & Peripherals – 0.6% |
| NCR Corp., 5%, 10/01/2028 (n) | | $ | 2,879,000 | $2,604,309 |
| NCR Corp., 5.125%, 4/15/2029 (n) | | | 1,559,000 | 1,394,134 |
| | | | | $3,998,443 |
| Pharmaceuticals – 1.6% |
| 1375209 BC Ltd., 9%, 1/30/2028 (n) | | $ | 1,495,000 | $1,485,723 |
| Bausch Health Co., Inc., 11%, 9/30/2028 (n) | | | 1,582,000 | 1,166,332 |
| Bausch Health Co., Inc., 14%, 10/15/2030 (n) | | | 375,000 | 237,297 |
| Jazz Securities DAC, 4.375%, 1/15/2029 (n) | | | 4,010,000 | 3,565,346 |
| Organon Finance 1 LLC, 4.125%, 4/30/2028 (n) | | | 2,634,000 | 2,360,437 |
| Organon Finance 1 LLC, 5.125%, 4/30/2031 (n) | | | 2,351,000 | 1,992,915 |
| | | | | $10,808,050 |
| Pollution Control – 1.1% |
| GFL Environmental, Inc., 4.25%, 6/01/2025 (n) | | $ | 550,000 | $533,389 |
| GFL Environmental, Inc., 4%, 8/01/2028 (n) | | | 2,405,000 | 2,152,335 |
| GFL Environmental, Inc., 4.75%, 6/15/2029 (n) | | | 957,000 | 872,940 |
| GFL Environmental, Inc., 4.375%, 8/15/2029 (n) | | | 985,000 | 878,291 |
| Stericycle, Inc., 3.875%, 1/15/2029 (n) | | | 3,173,000 | 2,785,228 |
| | | | | $7,222,183 |
| Precious Metals & Minerals – 0.6% |
| IAMGOLD Corp., 5.75%, 10/15/2028 (n) | | $ | 2,750,000 | $2,117,500 |
| Taseko Mines Ltd., 7%, 2/15/2026 (n) | | | 2,069,000 | 1,913,932 |
| | | | | $4,031,432 |
| Printing & Publishing – 0.4% |
| Cimpress PLC, 7%, 6/15/2026 | | $ | 2,965,000 | $2,798,219 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Real Estate - Healthcare – 0.5% |
| MPT Operating Partnership LP/MPT Finance Corp., REIT, 0.993%, 10/15/2026 | | EUR | 655,000 | $556,981 |
| MPT Operating Partnership LP/MPT Finance Corp., REIT, 5%, 10/15/2027 | | $ | 3,066,000 | 2,687,144 |
| | | | | $3,244,125 |
| Real Estate - Other – 0.6% |
| RHP Hotel Properties, LP/RHP Finance Corp., 7.25%, 7/15/2028 (n) | | $ | 1,415,000 | $1,436,264 |
| XHR LP, REIT, 4.875%, 6/01/2029 (n) | | | 2,978,000 | 2,590,566 |
| | | | | $4,026,830 |
| Restaurants – 0.3% |
| Fertitta Entertainment LLC, 6.75%, 1/15/2030 (n) | | $ | 2,085,000 | $1,788,932 |
| Retailers – 1.8% |
| Asbury Automotive Group, Inc., 4.625%, 11/15/2029 (n) | | $ | 2,967,000 | $2,624,918 |
| Bath & Body Works, Inc., 5.25%, 2/01/2028 | | | 4,244,000 | 4,042,990 |
| Macy's Retail Holdings LLC, 5.875%, 4/01/2029 (n) | | | 2,055,000 | 1,908,992 |
| NMG Holding Co. Inc./Neiman Marcus Group LLC, 7.125%, 4/01/2026 (n) | | | 1,362,000 | 1,272,949 |
| Victoria's Secret & Co., 4.625%, 7/15/2029 (n) | | | 2,896,000 | 2,172,910 |
| | | | | $12,022,759 |
| Specialty Stores – 1.3% |
| Lithia Motors, Inc., 3.875%, 6/01/2029 (n) | | $ | 2,063,000 | $1,776,530 |
| Michael Cos., Inc., 5.25%, 5/01/2028 (n) | | | 1,315,000 | 1,117,803 |
| Michael Cos., Inc., 7.875%, 5/01/2029 (n) | | | 1,855,000 | 1,321,687 |
| Penske Automotive Group Co., 3.75%, 6/15/2029 | | | 2,935,000 | 2,538,554 |
| PetSmart, Inc./PetSmart Finance Corp., 7.75%, 2/15/2029 (n) | | | 2,415,000 | 2,355,736 |
| | | | | $9,110,310 |
| Supermarkets – 0.4% |
| Albertsons Cos. LLC/Safeway, Inc., 4.625%, 1/15/2027 (n) | | $ | 990,000 | $938,172 |
| Albertsons Cos. LLC/Safeway, Inc., 3.5%, 3/15/2029 (n) | | | 2,190,000 | 1,906,508 |
| | | | | $2,844,680 |
| Telecommunications - Wireless – 0.9% |
| Altice France S.A., 6%, 2/15/2028 (n) | | $ | 3,210,000 | $1,194,623 |
| SBA Communications Corp., 3.875%, 2/15/2027 | | | 1,776,000 | 1,636,177 |
| SBA Communications Corp., 3.125%, 2/01/2029 | | | 4,014,000 | 3,384,196 |
| | | | | $6,214,996 |
| Tobacco – 0.2% |
| Vector Group Ltd., 5.75%, 2/01/2029 (n) | | $ | 1,268,000 | $1,101,937 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| U.S. Treasury Obligations – 0.5% |
| U.S. Treasury Notes, 3%, 6/30/2024 | | $ | 3,500,000 | $3,424,668 |
| Utilities - Electric Power – 3.3% |
| Calpine Corp., 4.5%, 2/15/2028 (n) | | $ | 3,148,000 | $2,889,522 |
| Calpine Corp., 5.125%, 3/15/2028 (n) | | | 3,057,000 | 2,772,203 |
| Clearway Energy Operating LLC, 4.75%, 3/15/2028 (n) | | | 1,747,000 | 1,620,609 |
| Clearway Energy Operating LLC, 3.75%, 2/15/2031 (n) | | | 5,162,000 | 4,278,242 |
| NextEra Energy, Inc., 4.25%, 7/15/2024 (n) | | | 188,000 | 184,475 |
| NextEra Energy, Inc., 4.25%, 9/15/2024 (n) | | | 488,000 | 468,480 |
| NextEra Energy, Inc., 4.5%, 9/15/2027 (n) | | | 2,075,000 | 1,943,653 |
| Pacific Gas & Electric Co., 6.1%, 1/15/2029 | | | 985,000 | 979,327 |
| Pacific Gas & Electric Co., 6.4%, 6/15/2033 | | | 1,230,000 | 1,236,115 |
| TerraForm Global Operating LLC, 6.125%, 3/01/2026 (n) | | | 1,955,000 | 1,909,507 |
| TerraForm Power Operating LLC, 5%, 1/31/2028 (n) | | | 3,345,000 | 3,104,252 |
| TerraForm Power Operating LLC, 4.75%, 1/15/2030 (n) | | | 1,478,000 | 1,304,212 |
| | | | | $22,690,597 |
| Total Bonds (Identified Cost, $702,426,954) | | $654,316,378 |
| Common Stocks – 0.3% |
| Cable TV – 0.1% | |
| Intelsat Emergence S.A. (a) | | 35,390 | $760,885 |
| Oil Services – 0.2% | |
| LTRI Holdings LP (a)(u) | | 3,300 | $1,175,361 |
| Total Common Stocks (Identified Cost, $2,353,280) | | $1,936,246 |
| Contingent Value Rights – 0.0% |
| Cable TV – 0.0% |
| Intelsat Jackson Holdings S.A. - Series A, 12/05/2025 (a) | | | 3,704 | $23,150 |
| Intelsat Jackson Holdings S.A. - Series B, 12/05/2025 (a) | | | 3,704 | 14,816 |
| Total Contingent Value Rights (Identified Cost, $0) | | $37,966 |
| | Strike
Price | First
Exercise | | |
| Warrants – 0.0% | | | | |
| Other Banks & Diversified Financials – 0.0% |
| Avation Capital S.A. (1 share for 1 warrant, Expiration 10/31/26) (a) (Identified Cost, $0) | GBP 1.14 | 6/24/22 | 42,350 | $14,674 |
Portfolio of Investments (unaudited) – continued
| Issuer | | | Shares/Par | Value ($) |
| Investment Companies (h) – 1.7% |
| Money Market Funds – 1.7% | |
| MFS Institutional Money Market Portfolio, 5.25% (v) (Identified Cost, $11,252,810) | | | 11,252,910 | $11,252,910 |
| Underlying/Expiration Date/Exercise Price | Put/Call | Counterparty | Notional
Amount | Par Amount/
Number of
Contracts | |
| Purchased Options – 0.0% | |
| Fixed Income ETFs – 0.0% | |
| iShares iBoxx $ High Yield Corporate Bond ETF – September 2023 @ $73 (Premiums Paid, $360,335) | Put | Goldman Sachs International | $ 28,637,150 | 3,793 | $75,860 |
|
|
| Other Assets, Less Liabilities – 1.7% | | 11,513,608 |
| Net Assets – 100.0% | $679,147,642 |
| (a) | Non-income producing security. | | | |
| (h) | An affiliated issuer, which 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. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $11,252,910 and $656,381,124, respectively. | | | |
| (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 $553,043,138, representing 81.4% of net assets. | | | |
| (p) | Payment-in-kind (PIK) security for which interest income may be received in additional securities and/or cash. | | | |
| (u) | The security was valued using significant unobservable inputs and is considered level 3 under the fair value hierarchy. For further information about the fund’s level 3 holdings, please see Note 2 in the Notes to Financial Statements. | | | |
| (v) | Affiliated issuer 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. | | | |
| The following abbreviations are used in this report and are defined: |
| CMT | Constant Maturity Treasury |
| ETF | Exchange-Traded Fund |
| FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
| 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 |
| GBP | British Pound |
Portfolio of Investments (unaudited) – continued
Derivative Contracts at 7/31/23
| Forward Foreign Currency Exchange Contracts |
Currency
Purchased | Currency
Sold | Counterparty | Settlement
Date | Unrealized
Appreciation
(Depreciation) |
| Asset Derivatives |
| USD | 5,262,953 | EUR | 4,669,349 | State Street Bank Corp. | 10/20/2023 | $108,762 |
| Liability Derivatives |
| EUR | 127,247 | USD | 142,265 | Barclays Bank PLC | 10/20/2023 | $(1,805) |
| EUR | 103,308 | USD | 116,020 | Morgan Stanley Capital Services, Inc. | 10/20/2023 | (1,985) |
| EUR | 134,740 | USD | 152,025 | State Street Bank Corp. | 10/20/2023 | (3,295) |
| GBP | 197,752 | USD | 255,127 | Barclays Bank PLC | 10/20/2023 | (1,287) |
| | | | | | | $(8,372) |
| Futures Contracts |
| Description | Long/
Short | Currency | Contracts | Notional
Amount | Expiration
Date | Value/Unrealized
Appreciation
(Depreciation) |
| Liability Derivatives |
| Interest Rate Futures | | |
| U.S. Treasury Bond | Long | USD | 30 | $3,733,125 | September – 2023 | $(80,904) |
| U.S. Treasury Ultra Note 10 yr | Long | USD | 75 | 8,773,828 | September – 2023 | (222,348) |
| | | | | | | $(303,252) |
At July 31, 2023, the fund had cash collateral of $327,000 to cover any collateral or margin obligations for certain derivative contracts. Restricted cash and/or deposits with brokers in the Statement of Assets and Liabilities are comprised of cash collateral.
See Notes to Financial Statements
Financial Statements
Statement of Assets and Liabilities
At 7/31/23 (unaudited)
This statement represents your fund’s balance sheet, which details the assets and liabilities comprising the total value of the fund.
| Assets | |
| Investments in unaffiliated issuers, at value (identified cost, $705,140,569) | $656,381,124 |
| Investments in affiliated issuers, at value (identified cost, $11,252,810) | 11,252,910 |
| Deposits with brokers for | |
| Futures contracts | 327,000 |
| Receivables for | |
| Forward foreign currency exchange contracts | 108,762 |
| Net daily variation margin on open futures contracts | 12,655 |
| Investments sold | 3,056,204 |
| Fund shares sold | 56,060 |
| Interest and dividends | 10,477,210 |
| Other assets | 905 |
| Total assets | $681,672,830 |
| Liabilities | |
| Payables for | |
| Distributions | $400 |
| Forward foreign currency exchange contracts | 8,372 |
| Investments purchased | 1,246,511 |
| Fund shares reacquired | 1,204,805 |
| Payable to affiliates | |
| Administrative services fee | 192 |
| Shareholder servicing costs | 12 |
| Accrued expenses and other liabilities | 64,896 |
| Total liabilities | $2,525,188 |
| Net assets | $679,147,642 |
| Net assets consist of | |
| Paid-in capital | $831,454,163 |
| Total distributable earnings (loss) | (152,306,521) |
| Net assets | $679,147,642 |
| Shares of beneficial interest outstanding | 84,626,845 |
| Net asset value per share (net assets of $679,147,642 / 84,626,845 shares of beneficial interest outstanding) | $8.03 |
See Notes to Financial Statements
Financial Statements
Statement of Operations
Six months ended 7/31/23 (unaudited)
This statement describes how much your fund earned in investment income and accrued in expenses. It also describes any gains and/or losses generated by fund operations.
| Net investment income (loss) | |
| Income | |
| Interest | $22,114,904 |
| Dividends from affiliated issuers | 414,831 |
| Other | 23,126 |
| Total investment income | $22,552,861 |
| Expenses | |
| Shareholder servicing costs | $20 |
| Administrative services fee | 8,679 |
| Custodian fee | 24,971 |
| Shareholder communications | 1,882 |
| Audit and tax fees | 25,748 |
| Legal fees | 1,754 |
| Pricing service fees | 4,075 |
| Form N-CEN/N-PORT preparation fees | 4,860 |
| Miscellaneous | 8,927 |
| Total expenses | $80,916 |
| Fees paid indirectly | (4) |
| Net expenses | $80,912 |
| Net investment income (loss) | $22,471,949 |
| Realized and unrealized gain (loss) |
| Realized gain (loss) (identified cost basis) | |
| Unaffiliated issuers | $(20,638,429) |
| Affiliated issuers | 1,998 |
| Futures contracts | 219,603 |
| Forward foreign currency exchange contracts | (113,294) |
| Foreign currency | (595) |
| Net realized gain (loss) | $(20,530,717) |
| Change in unrealized appreciation or depreciation | |
| Unaffiliated issuers | $17,914,602 |
| Affiliated issuers | (1,221) |
| Futures contracts | (196,914) |
| Forward foreign currency exchange contracts | 124,964 |
| Translation of assets and liabilities in foreign currencies | (2,488) |
| Net unrealized gain (loss) | $17,838,943 |
| Net realized and unrealized gain (loss) | $(2,691,774) |
| Change in net assets from operations | $19,780,175 |
See Notes to Financial Statements
Financial Statements
Statements of Changes in Net Assets
These statements describe the increases and/or decreases in net assets resulting from operations, any distributions, and any shareholder transactions.
| | Six months ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 |
| Change in net assets | | |
| From operations | | |
| Net investment income (loss) | $22,471,949 | $46,442,609 |
| Net realized gain (loss) | (20,530,717) | (35,574,607) |
| Net unrealized gain (loss) | 17,838,943 | (55,397,358) |
| Change in net assets from operations | $19,780,175 | $(44,529,356) |
| Total distributions to shareholders | $(22,910,143) | $(47,089,882) |
| Change in net assets from fund share transactions | $(44,337,471) | $(179,131,688) |
| Total change in net assets | $(47,467,439) | $(270,750,926) |
| Net assets | | |
| At beginning of period | 726,615,081 | 997,366,007 |
| At end of period | $679,147,642 | $726,615,081 |
See Notes to Financial Statements
Financial Statements
Financial Highlights
The financial highlights table is intended to help you understand the fund's financial performance for the semiannual period and the past 5 fiscal years. Certain information reflects financial results for a single fund share. The total returns in the table represent the rate that an investor would have earned (or lost) on an investment in the fund share class (assuming reinvestment of all distributions) held for the entire period.
| | Six months
ended | Year ended |
| | 7/31/23
(unaudited) | 1/31/23 | 1/31/22 | 1/31/21 | 1/31/20 | 1/31/19 |
| Net asset value, beginning of period | $8.05 | $8.88 | $9.25 | $9.33 | $8.94 | $9.31 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.26 | $0.47 | $0.47 | $0.50 | $0.51 | $0.52 |
| Net realized and unrealized gain (loss) | (0.02) | (0.82) | (0.34) | (0.06)(g) | 0.39 | (0.36) |
| Total from investment operations | $0.24 | $(0.35) | $0.13 | $0.44 | $0.90 | $0.16 |
| Less distributions declared to shareholders |
| From net investment income | $(0.26) | $(0.48) | $(0.50) | $(0.52) | $(0.51) | $(0.53) |
| Net asset value, end of period (x) | $8.03 | $8.05 | $8.88 | $9.25 | $9.33 | $8.94 |
| Total return (%) (s)(x) | 3.06(n) | (3.84) | 1.39 | 5.02 | 10.29 | 1.86 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses (f) | 0.02(a) | 0.02 | 0.02 | 0.02 | 0.02 | 0.02 |
| Net investment income (loss) | 6.49(a) | 5.77 | 5.09 | 5.58 | 5.51 | 5.77 |
| Portfolio turnover | 23(n) | 25 | 60 | 66 | 59 | 38 |
| Net assets at end of period (000 omitted) | $679,148 | $726,615 | $997,366 | $1,228,318 | $889,031 | $788,437 |
| (a) | Annualized. |
| (d) | Per share data is based on average shares outstanding. |
| (f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. See Note 2 in the Notes to Financial Statements for additional information. |
| (g) | The per share amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of fund shares and the per share amount of realized and unrealized gains and losses at such time. |
| (n) | Not annualized. |
| (s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
| (x) | The net asset values and total returns have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
See Notes to Financial Statements
Notes to Financial Statements
(unaudited)
(1) Business and Organization
MFS High Yield Pooled Portfolio (the fund) is a diversified series of MFS Series Trust III (the trust). The trust is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. This fund is available only to certain U.S. registered investment companies managed by MFS. MFS does not receive a management fee from this fund.
The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies.
(2) Significant Accounting Policies
General — The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. In the preparation of these financial statements, management has evaluated subsequent events occurring after the date of the fund’s Statement of Assets and Liabilities through the date that the financial statements were issued. The fund invests in high-yield securities rated below investment grade. Investments in below investment grade quality securities can involve a substantially greater risk of default or can already be in default, and their values can decline significantly. Below investment grade quality securities tend to be more sensitive to adverse news about the issuer, or the market or economy in general, than higher quality debt instruments. The fund invests in foreign securities. Investments in foreign securities are vulnerable to the effects of changes in the relative values of the local currency and the U.S. dollar and to the effects of changes in each country’s market, economic, industrial, political, regulatory, geopolitical, environmental, public health, and other conditions.
Balance Sheet Offsetting — The fund's accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the International Swaps and Derivatives Association (ISDA) Master Agreement, or similar agreement, does not result in an offset of reported amounts of financial assets and financial liabilities in the Statement of Assets and Liabilities across transactions between the fund and the applicable counterparty. The fund's right to setoff may be restricted or prohibited by the bankruptcy or insolvency laws of the particular jurisdiction to which a specific master netting agreement counterparty is subject. Balance sheet offsetting disclosures, to the extent applicable to the fund, have been included in the fund’s Significant Accounting Policies note under the captions for each of the fund’s in-scope financial instruments and transactions.
Investment Valuations — Subject to its oversight, the fund's Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments to MFS as the fund's adviser, pursuant to the fund’s valuation policy and procedures which have been adopted by the adviser and approved by the Board. In accordance with Rule 2a-5 under the Investment Company Act of 1940, the
Notes to Financial Statements (unaudited) - continued
Board of Trustees designated the adviser as the “valuation designee” of the fund. If the adviser, as valuation designee, determines that reliable market quotations are not readily available for an investment, the investment is valued at fair value as determined in good faith by the adviser in accordance with the adviser’s fair valuation policy and procedures.
Under the fund's valuation policy and procedures, equity securities, including restricted equity securities, are generally valued at the last sale or official closing price on their primary market or exchange as provided by a third-party pricing service. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation on their primary market or exchange as provided by a third-party pricing service. Debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value.
Exchange-traded options are generally valued at the last sale or official closing price on their primary exchange as provided by a third-party pricing service. Exchange-traded options for which there were no sales reported that day are generally valued at the last daily bid quotation on their primary exchange as provided by a third-party pricing service. For put options, the position may be valued at the last daily ask quotation if there are no trades reported during the day. Options not traded on an exchange are generally valued at a broker/dealer bid quotation. Foreign currency options are generally valued at valuations provided by a third-party pricing service. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party pricing service.
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. 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.
Under the fund’s valuation policy and procedures, market quotations are not considered to be readily available for debt instruments, floating rate loans, and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services or otherwise determined by the adviser in accordance with the adviser’s fair valuation policy and procedures. 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. In determining values, third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, spreads and other market data. An investment may also be valued at fair value if the adviser determines that the 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 halt of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets;
Notes to Financial Statements (unaudited) - continued
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 significant unobservable inputs, which may include the adviser's own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts and forward foreign currency exchange contracts. The following is a summary of the levels used as of July 31, 2023 in valuing the fund's assets and liabilities:
| Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
| Equity Securities: | | | | |
| United States | $75,860 | $— | $1,175,361 | $1,251,221 |
| Luxembourg | — | 798,851 | — | 798,851 |
| United Kingdom | — | 14,674 | — | 14,674 |
| U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 3,424,668 | — | 3,424,668 |
| U.S. Corporate Bonds | — | 545,994,440 | — | 545,994,440 |
| Foreign Bonds | — | 104,897,270 | — | 104,897,270 |
| Mutual Funds | 11,252,910 | — | — | 11,252,910 |
| Total | $11,328,770 | $655,129,903 | $1,175,361 | $667,634,034 |
| Other Financial Instruments | | | | |
| Futures Contracts – Liabilities | $(303,252) | $— | $— | $(303,252) |
| Forward Foreign Currency Exchange Contracts – Assets | — | 108,762 | — | 108,762 |
| Forward Foreign Currency Exchange Contracts – Liabilities | — | (8,372) | — | (8,372) |
For further information regarding security characteristics, see the Portfolio of Investments.
Notes to Financial Statements (unaudited) - continued
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 1/31/23 | $1,339,032 |
| Realized gain (loss) | 275,672 |
| Change in unrealized appreciation or depreciation | (163,671) |
| Sales | (275,672) |
| Balance as of 7/31/23 | $1,175,361 |
The net change in unrealized appreciation or depreciation from investments held as level 3 at July 31, 2023 is $69,729. At July 31, 2023, the fund held one level 3 security.
Foreign Currency Translation — Purchases and sales of foreign investments, income, and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions or on the reporting date for foreign denominated receivables and payables. Gains and losses attributable to foreign currency exchange rates on sales of securities are recorded for financial statement purposes as net realized gains and losses on investments. Gains and losses attributable to foreign exchange rate movements on receivables, payables, income and expenses are recorded for financial statement purposes as foreign currency transaction gains and losses. That portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
Derivatives — The fund uses derivatives primarily to increase or decrease exposure to a particular market or segment of the market, or security, to increase or decrease interest rate exposure, or as alternatives to direct investments. Derivatives are used for hedging or non-hedging purposes. While hedging can reduce or eliminate losses, it can also reduce or eliminate gains. When the fund uses derivatives as an investment to increase market exposure, or for hedging purposes, gains and losses from derivative instruments may be substantially greater than the derivative’s original cost.
The derivative instruments used by the fund during the period were purchased options, futures contracts, and forward foreign currency exchange contracts. Depending on the type of derivative, a fund may exit a derivative position by entering into an offsetting transaction with a counterparty or exchange, negotiating an agreement with the derivative counterparty, or novating the position to a third party. The fund may be unable to promptly close out a futures position in instances where the daily fluctuation in the price for that type of future exceeds the daily limit set by the exchange. The fund's period end derivatives, as presented in the Portfolio of Investments and the associated Derivative Contract tables, generally are indicative of the volume of its derivative activity during the period.
Notes to Financial Statements (unaudited) - continued
The following table presents, by major type of derivative contract, the fair value, on a gross basis, of the asset and liability components of derivatives held by the fund at July 31, 2023 as reported in the Statement of Assets and Liabilities:
| | | Fair Value (a) |
| Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
| Interest Rate | Futures Contracts | $— | $(303,252) |
| Foreign Exchange | Forward Foreign Currency Exchange Contracts | 108,762 | (8,372) |
| Equity | Purchased Option Contracts | 75,860 | — |
| Total | | $184,622 | $(311,624) |
| (a) | The value of purchased options outstanding is included in investments in unaffiliated issuers, at value, within the Statement of Assets and Liabilities. Values presented in this table for futures contracts correspond to the values reported in the Portfolio of Investments. Only the current day net variation margin for futures contracts is reported separately within the Statement of Assets and Liabilities. |
The following table presents, by major type of derivative contract, the realized gain (loss) on derivatives held by the fund for the six months ended July 31, 2023 as reported in the Statement of Operations:
| Risk | Futures
Contracts | Forward Foreign
Currency
Exchange
Contracts | Unaffiliated Issuers
(Purchased
Options) |
| Interest Rate | $219,603 | $— | $— |
| Foreign Exchange | — | (113,294) | — |
| Equity | — | — | (644,276) |
| Total | $219,603 | $(113,294) | $(644,276) |
The following table presents, by major type of derivative contract, the change in unrealized appreciation or depreciation on derivatives held by the fund for the six months ended July 31, 2023 as reported in the Statement of Operations:
| Risk | Futures
Contracts | Forward Foreign
Currency
Exchange
Contracts | Unaffiliated Issuers
(Purchased
Options) |
| Interest Rate | $(196,914) | $— | $— |
| Foreign Exchange | — | 124,964 | — |
| Equity | — | — | (284,475) |
| Total | $(196,914) | $124,964 | $(284,475) |
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain, but not all, uncleared derivatives, the fund attempts to reduce its exposure to counterparty credit risk whenever possible by entering into an ISDA Master Agreement on a bilateral basis. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a specified deterioration in the credit quality of the other party. Upon an event of default or a termination of the ISDA Master Agreement, the non-defaulting party has the right to close out all transactions
Notes to Financial Statements (unaudited) - continued
traded under such agreement and to net amounts owed under each agreement to one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the fund's credit risk to such counterparty equal to any amounts payable by the fund under the applicable transactions, if any.
Collateral and margin requirements differ by type of derivative. For cleared derivatives (e.g., futures contracts, cleared swaps, and exchange-traded options), margin requirements are set by the clearing broker and the clearing house and collateral, in the form of cash or securities, is posted by the fund directly with the clearing broker. Collateral terms are counterparty agreement specific for uncleared derivatives (e.g., forward foreign currency exchange contracts, uncleared swap agreements, and uncleared options) and collateral, in the form of cash and securities, is held in segregated accounts with the fund's custodian in connection with these agreements. For derivatives traded under an ISDA Master Agreement, which contains a credit support annex, the collateral requirements are netted across all transactions traded under such counterparty-specific agreement and an amount is posted from one party to the other to collateralize such obligations. Cash that has been segregated or delivered to cover the fund's collateral or margin obligations under derivative contracts, if any, will be reported separately in the Statement of Assets and Liabilities as restricted cash for uncleared derivatives and/or deposits with brokers for cleared derivatives. Securities pledged as collateral or margin for the same purpose, if any, are noted in the Portfolio of Investments. The fund may be required to make payments of interest on uncovered collateral or margin obligations with the broker. Any such payments are included in “Miscellaneous” expense in the Statement of Operations.
Purchased Options — The fund purchased put options for a premium. Purchased put options entitle the holder to sell a specified number of shares or units of a particular security, currency or index at a specified price at a specified date or within a specified period of time. Purchasing put options may hedge against an anticipated decline in the value of portfolio securities or currency or decrease the fund's exposure to an underlying instrument.
The premium paid is initially recorded as an investment in the Statement of Assets and Liabilities. That investment is subsequently marked-to-market daily with the difference between the premium paid and the market value of the purchased option being recorded as unrealized appreciation or depreciation. Premiums paid for purchased put options which have expired are treated as realized losses on investments in the Statement of Operations. Upon the exercise or closing of a purchased put option, the premium paid is offset against the proceeds on the sale of the underlying security or financial instrument in order to determine the realized gain or loss on investments.
Whether or not the option is exercised, the fund's maximum risk of loss from purchasing an option is the amount of premium paid. All option contracts involve credit risk if the counterparty to the option contract fails to perform. For uncleared options, this risk is mitigated in cases where there is an ISDA Master Agreement between the fund and the counterparty providing for netting as described above and, where applicable, by the posting of collateral by the counterparty to the fund to cover the fund’s exposure to the counterparty under such ISDA Master Agreement.
Notes to Financial Statements (unaudited) - continued
Futures Contracts — The fund entered into futures contracts which may be used to hedge against or obtain broad market exposure, interest rate exposure, currency exposure, or to manage duration. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a futures contract, the fund is required to deposit with the broker, either in cash or securities, an initial margin in an amount equal to a specified percentage of the notional amount of the contract. Subsequent payments (variation margin) are made or received by the fund each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gain or loss by the fund until the contract is closed or expires at which point the gain or loss on futures contracts is realized.
The fund bears the risk of interest rates, exchange rates or securities prices moving unexpectedly, in which case, the fund may not achieve the anticipated benefits of the futures contracts and may realize a loss. While futures contracts may present less counterparty risk to the fund since the contracts are exchange traded and the exchange’s clearinghouse guarantees payments to the broker, there is still counterparty credit risk due to the insolvency of the broker. The fund’s maximum risk of loss due to counterparty credit risk is equal to the margin posted by the fund to the broker plus any gains or minus any losses on the outstanding futures contracts.
Forward Foreign Currency Exchange Contracts — The fund entered into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. These contracts may be used to hedge the fund’s currency risk or for non-hedging purposes. For hedging purposes, the fund may enter into contracts to deliver or receive foreign currency that the fund will receive from or use in its normal investment activities. The fund may also use contracts to hedge against declines in the value of foreign currency denominated securities due to unfavorable exchange rate movements. For non-hedging purposes, the fund may enter into contracts with the intent of changing the relative exposure of the fund’s portfolio of securities to different currencies to take advantage of anticipated exchange rate changes.
Forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any unrealized gains or losses are recorded as a receivable or payable for forward foreign currency exchange contracts until the contract settlement date. On contract settlement date, any gain or loss on the contract is recorded as realized gains or losses on forward foreign currency exchange contracts.
Risks may arise upon entering into these contracts from unanticipated movements in the value of the contract and from the potential inability of counterparties to meet the terms of their contracts. Generally, the fund’s maximum risk due to counterparty credit risk is the unrealized gain on the contract due to the use of Continuous Linked Settlement, a multicurrency cash settlement system for the centralized settlement of foreign transactions. This risk is mitigated in cases where there is an ISDA Master Agreement between the fund and the counterparty providing for netting as described above and, where applicable, by the posting of collateral by the counterparty to the fund to cover the fund’s exposure to the counterparty under such ISDA Master Agreement.
Notes to Financial Statements (unaudited) - continued
Indemnifications — Under the fund's organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the fund. Additionally, in the normal course of business, the fund enters into agreements with service providers that may contain indemnification clauses. The fund's maximum exposure under these agreements is unknown as this would involve future claims that may be made against the fund that have not yet occurred.
Investment Transactions and Income — Interest income is recorded on the accrual basis. All premium and discount is amortized or accreted for financial statement purposes in accordance with U.S. generally accepted accounting principles. Dividends received in cash are recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded when the fund is informed of the dividend if such information is obtained subsequent to the ex-dividend date. Dividend and interest payments received in additional securities are recorded on the ex-dividend or ex-interest date in an amount equal to the value of the security on such date.
The fund may receive proceeds from litigation settlements. Any proceeds received from litigation involving portfolio holdings are reflected in the Statement of Operations in realized gain/loss if the security has been disposed of by the fund or in unrealized gain/loss if the security is still held by the fund. Any other proceeds from litigation not related to portfolio holdings are reflected as other income in the Statement of Operations.
Investment transactions are recorded on the trade date. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
Fees Paid Indirectly — The fund's custody fee may be reduced by a credit earned under an arrangement that measures the value of U.S. dollars deposited with the custodian by the fund. The amount of the credit, for the six months ended July 31, 2023, is shown as a reduction of total expenses in the Statement of Operations.
Tax Matters and Distributions — The fund intends to qualify as a regulated investment company, as defined under Subchapter M of the Internal Revenue Code, and to distribute all of its taxable income, including realized capital gains. As a result, no provision for federal income tax is required. The fund’s federal tax returns, when filed, will remain subject to examination by the Internal Revenue Service for a three year period. Management has analyzed the fund’s tax positions taken on federal and state tax returns for all open tax years and does not believe that there are any uncertain tax positions that require recognition of a tax liability. Foreign taxes, if any, have been accrued by the fund in the accompanying financial statements in accordance with the applicable foreign tax law. Foreign income taxes may be withheld by certain countries in which the fund invests. Additionally, capital gains realized by the fund on securities issued in or by certain foreign countries may be subject to capital gains tax imposed by those countries.
Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net
Notes to Financial Statements (unaudited) - continued
asset value per share. Temporary differences which arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future.
Book/tax differences primarily relate to amortization and accretion of debt securities.
The tax character of distributions made during the current period will be determined at fiscal year end. The tax character of distributions declared to shareholders for the last fiscal year is as follows:
| | Year ended
1/31/23 |
| Ordinary income (including any short-term capital gains) | $47,089,882 |
The federal tax cost and the tax basis components of distributable earnings were as follows:
| As of 7/31/23 | |
| Cost of investments | $716,829,413 |
| Gross appreciation | 4,050,457 |
| Gross depreciation | (53,245,836) |
| Net unrealized appreciation (depreciation) | $(49,195,379) |
| As of 1/31/23 | |
| Undistributed ordinary income | 3,909,051 |
| Capital loss carryforwards | (79,955,813) |
| Other temporary differences | (3,872,570) |
| Net unrealized appreciation (depreciation) | (69,257,221) |
The aggregate cost above includes prior fiscal year end tax adjustments, if applicable.
As of January 31, 2023, the fund had capital loss carryforwards available to offset future realized gains. These net capital losses may be carried forward indefinitely and their character is retained as short-term and/or long-term losses. Such losses are characterized as follows:
| Short-Term | $(12,341,397) |
| Long-Term | (67,614,416) |
| Total | $(79,955,813) |
(3) Transactions with Affiliates
Investment Adviser — The fund has an investment advisory agreement with MFS to provide overall investment management and related administrative services and facilities to the fund. MFS receives no compensation under this agreement; however MFS receives management fees from MFS funds that invest in the fund.
Shareholder Servicing Agent — MFS Service Center, Inc. (MFSC), a wholly-owned subsidiary of MFS, provides transfer agent and recordkeeping functions in connection with the issuance, transfer, and redemption of shares of the fund under a Shareholder Servicing Agent Agreement. MFSC is not paid a fee for providing these services. MFSC receives reimbursement from the fund for out-of-pocket expenses paid by MFSC on behalf of the fund. For the six months ended July 31, 2023, these costs amounted to $20.
Notes to Financial Statements (unaudited) - continued
Administrator — MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to the fund. Under an administrative services agreement, the fund reimburses MFS the costs incurred to provide these services. The fund pays an annual fixed amount of $17,500. The administrative services fee is computed daily and paid monthly. The administrative services fee incurred for the six months ended July 31, 2023 was equivalent to an annual effective rate of 0.0025% of the fund's average daily net assets.
Trustees’ and Officers’ Compensation - The fund may pay compensation to independent Trustees in the form of a retainer, attendance fees, and additional compensation to Board and Committee chairpersons. Independent Trustees’ compensation is accrued daily and paid subsequent to each Trustee Board meeting. The fund does not pay compensation directly to Trustees or officers of the fund who are also officers of the investment adviser, all of whom receive remuneration from MFS for their services to the fund. Certain officers and Trustees of the fund are officers or directors of MFS, MFS Fund Distributors, Inc. (MFD), and MFSC. The independent Trustees do not currently receive compensation from the fund.
Other — The fund invests in the MFS Institutional Money Market Portfolio which is managed by MFS and seeks current income consistent with preservation of capital and liquidity. This money market fund does not pay a management fee to MFS but does incur investment and operating costs.
(4) Portfolio Securities
For the six months ended July 31, 2023, purchases and sales of investments, other than purchased options with an expiration date of less than one year from the time of purchase and short-term obligations, aggregated $156,122,988 and $203,872,911, respectively.
(5) Shares of Beneficial Interest
The fund's Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest. Transactions in fund shares were as follows:
| | Six months ended
7/31/23 | | Year ended
1/31/23 |
| | Shares | Amount | | Shares | Amount |
| Shares sold | 2,120,450 | $16,884,998 | | 4,236,645 | $34,051,394 |
Shares issued to shareholders in
reinvestment of distributions | 2,875,789 | 22,910,143 | | 5,845,303 | 47,089,882 |
| Shares reacquired | (10,595,742) | (84,132,612) | | (32,206,489) | (260,272,964) |
| Net change | (5,599,503) | $(44,337,471) | | (22,124,541) | $(179,131,688) |
The fund is an MFS Pooled Portfolio, which is designed to be used by certain MFS funds to invest in a particular security type rather than invest in the security type directly. The fund is solely invested in by other MFS funds for the purpose of gaining exposure to high income debt instruments, rather than investing in high income debt instruments directly. The MFS funds do not invest in this fund for the purpose of exercising
Notes to Financial Statements (unaudited) - continued
management or control. At the end of the period, the MFS Diversified Income Fund, the MFS Global High Yield Fund, and the MFS Income Portfolio were the owners of record of approximately 81%, 18%, and 1%, respectively, of the value of outstanding voting shares of the fund.
(6) Line of Credit
The fund and certain other funds managed by MFS participate in a $1.45 billion unsecured committed line of credit of which $1.2 billion is reserved for use by the fund and certain other MFS U.S. funds. The line of credit is provided by a syndicate of banks under a credit agreement. Borrowings may be made for temporary financing needs. Interest is charged to each fund, based on its borrowings, generally at a rate equal to the highest of 1) Daily Simple SOFR (Secured Overnight Financing Rate) plus 0.10%, 2) the Federal Funds Effective Rate, or 3) the Overnight Bank Funding Rate, each plus an agreed upon spread. A commitment fee, based on the average daily unused portion of the committed line of credit, is allocated among the participating funds. The line of credit expires on March 14, 2024 unless extended or renewed. In addition, the fund and other funds managed by MFS have established unsecured uncommitted borrowing arrangements with certain banks for temporary financing needs. Interest is charged to each fund, based on its borrowings, at rates equal to customary reference rates plus an agreed upon spread. For the six months ended July 31, 2023, the fund’s commitment fee and interest expense were $1,848 and $0, respectively, and are included in “Miscellaneous” expense in the Statement of Operations.
(7) Investments in 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 following were affiliated issuers:
| Affiliated Issuers | Beginning
Value | Purchases | Sales
Proceeds | Realized
Gain
(Loss) | Change in
Unrealized
Appreciation or
Depreciation | Ending
Value |
| MFS Institutional Money Market Portfolio | $16,165,324 | $89,914,765 | $94,827,956 | $1,998 | $(1,221) | $11,252,910 |
| Affiliated Issuers | Dividend
Income | Capital Gain
Distributions |
| MFS Institutional Money Market Portfolio | $414,831 | $— |
Board Review of Investment Advisory Agreement
MFS High Yield Pooled Portfolio
The Investment Company Act of 1940 requires that both the full Board of Trustees and a majority of the non-interested (“independent”) Trustees, voting separately, annually approve the continuation of the Fund’s investment advisory agreement with MFS. The Trustees consider matters bearing on the Fund and its advisory arrangements at their meetings throughout the year, including a review of performance data at each regular meeting. In addition, the independent Trustees met several times over the course of three months beginning in May and ending in July, 2023 (“contract review meetings”) for the specific purpose of considering whether to approve the continuation of the investment advisory agreement for the Fund and the other investment companies that the Board oversees (the “MFS Funds”). The independent Trustees were assisted in their evaluation of the Fund’s investment advisory agreement by independent legal counsel, from whom they received separate legal advice and with whom they met separately from MFS during various contract review meetings. The independent Trustees were also assisted in this process by an independent consultant who was retained by and reported to the independent Trustees.
In connection with their deliberations regarding the continuation of the investment advisory agreement, the Trustees, including the independent Trustees, considered such information and factors as they believed, in light of the legal advice furnished to them and their own business judgment, to be relevant. The investment advisory agreement for the Fund was considered separately, although the Trustees also took into account the common interests of all MFS Funds in their review. As described below, the Trustees considered the nature, quality, and extent of the various investment advisory, administrative, and shareholder services performed by MFS under the existing investment advisory agreement and other arrangements with the Fund.
As part of their deliberations, the Trustees took into account that the Fund was formed solely to act as a vehicle to pool the portions of other MFS funds invested in high yielding debt instruments, and that shares of the Fund are not distributed or sold to the public. The Trustees gave substantial consideration to the fact that MFS does not charge a separate advisory fee to the Fund under the investment advisory agreement or charge transfer agency fees, administrative services fees, sales loads or distribution and service fees to the Fund, but that MFS receives advisory and other fees from the MFS funds that invest a portion of their assets in the Fund.
In connection with their contract review meetings, the Trustees received and relied upon materials that included, among other items: (i) information provided by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent third party, on the investment performance of the Fund for various time periods ended December 31, 2022 and the investment performance of a group of funds with substantially similar investment classifications/objectives (the “Broadridge performance universe”), (ii) information provided by Broadridge on the Fund’s fees and expenses and the fees and expenses of comparable funds identified by Broadridge as well as all other funds in the same investment classification/category (the “Broadridge expense group and universe”), (iii) information as to whether and to what extent applicable expense waivers and reimbursements are observed for the Fund, (iv) information regarding MFS’
Board Review of Investment Advisory Agreement - continued
financial results and financial condition, including MFS’ and certain of its affiliates’ estimated profitability from services performed for the Fund and the MFS Funds as a whole, and compared to MFS’ institutional business, (v) MFS’ views regarding the outlook for the mutual fund industry and the strategic business plans of MFS, (vi) descriptions of various functions performed by MFS for the Funds, such as compliance monitoring and portfolio trading practices, and (vii) information regarding the overall organization of MFS, including information about MFS’ senior management and other personnel providing investment advisory, administrative and other services to the Fund and the other MFS Funds. The comparative performance, fee and expense information prepared and provided by Broadridge was not independently verified and the independent Trustees did not independently verify any information provided to them by MFS.
The Trustees’ conclusion as to the continuation of the investment advisory agreement was based on a comprehensive consideration of all information provided to the Trustees and not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations are described below, although individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. It is also important to recognize that the fee arrangements for the Fund and other MFS Funds are the result of years of review and discussion between the independent Trustees and MFS, that certain aspects of such arrangements may receive greater scrutiny in some years than in others, and that the Trustees’ conclusions may be based, in part, on their consideration of these same arrangements during the course of the year and in prior years.
Based on information provided by Broadridge and MFS, the Trustees reviewed the Fund’s total return investment performance as well as the Broadridge performance universe over various time periods. The Trustees placed particular emphasis on the total return performance of the Fund’s shares in comparison to the performance of funds in its Broadridge performance universe over the five-year period ended December 31, 2022, which the Trustees believed was a long enough period to reflect differing market conditions. The total return performance of the Fund’s shares was in the 2nd quintile relative to the other funds in the universe for this five-year period (the 1st quintile being the best performers and the 5th quintile being the worst performers). The total return performance of the Fund’s shares was in the 2nd quintile for the one-year period and the 3rd quintile for the three-year period ended December 31, 2022 relative to the Broadridge performance universe. Because of the passage of time, these performance results may differ from the performance results for more recent periods, including those shown elsewhere in this report.
In the course of their deliberations, the Trustees took into account information provided by MFS in connection with the contract review meetings, as well as during investment review meetings conducted with portfolio management personnel during the course of the year regarding the Fund’s performance. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the investment advisory agreement, that they were satisfied with MFS’ responses and efforts relating to investment performance.
In assessing the reasonableness of the Fund’s expenses, the Trustees considered, among other information, the total expense ratio of the Fund’s shares as a percentage of average daily net assets and the total expense ratios of the Broadridge expense group
Board Review of Investment Advisory Agreement - continued
based on information provided by Broadridge. The Trustees considered that, according to the data provided by Broadridge (which takes into account any expense limitations that were in effect during the Fund’s last fiscal year), the Fund’s total expense ratio was lower than the Broadridge expense group median. Because the Fund does not pay an advisory fee, the Trustees did not consider the extent to which economies of scale would be realized due to the Fund’s growth of assets, whether fee levels reflect economies of scale for shareholders, or the fees paid by similar funds to other investment advisers or by similar clients of MFS.
The Trustees also considered information prepared by MFS relating to MFS’ costs and profits with respect to the Fund, the MFS Funds considered as a group, and other investment companies and accounts advised by MFS, as well as MFS’ methodologies used to determine and allocate its costs to the MFS Funds, the Fund and other accounts and products for purposes of estimating profitability.
In addition, the Trustees considered MFS’ resources and related efforts to continue to retain, attract and motivate capable personnel to serve the Fund. The Trustees also considered current and developing conditions in the financial services industry, including the presence of large and well-capitalized companies which are spending, and appear to be prepared to continue to spend, substantial sums to engage personnel and to provide services to competing investment companies. In this regard, the Trustees also considered the financial resources of MFS and its ultimate parent, Sun Life Financial Inc. The Trustees also considered the advantages and possible disadvantages to the Fund of having an adviser that also serves other investment companies as well as other accounts.
The Trustees also considered the nature, quality, cost, and extent of administrative and transfer agency services provided to the Fund by MFS and its affiliates under agreements other than the investment advisory agreement. The Trustees also considered the nature, extent and quality of certain other services MFS performs or arranges for on the Fund’s behalf, which may include securities lending programs, directed expense payment programs, class action recovery programs, and MFS’ interaction with third-party service providers, principally custodians and sub-custodians. The Trustees concluded that the various non-advisory services provided by MFS and its affiliates on behalf of the Fund were satisfactory.
The Trustees considered so-called “fall-out benefits” to MFS such as reputational value derived from serving as investment manager to the MFS Funds. The Trustees also considered that MFS discontinued its historic practice of obtaining investment research from portfolio brokerage commissions paid by certain MFS Funds effective January 2018, and directly pays or voluntarily reimburses a Fund, if applicable, for the costs of external research acquired through the use of the Fund’s portfolio brokerage commissions.
Based on their evaluation of factors that they deemed to be material, including those factors described above, the Board of Trustees, including the independent Trustees, concluded that the Fund’s investment advisory agreement with MFS should be continued for an additional one-year period, commencing August 1, 2023.
Statement Regarding Liquidity Risk Management Program
The fund has adopted and implemented a liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940, as amended. The fund’s Board of Trustees (the “Board”) has designated MFS as the administrator of the Program. The Program is reasonably designed to assess and manage the liquidity risk of the fund. Liquidity risk is the risk that the fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors' interests.
MFS provided a written report to the Board for consideration at its March 2023 meeting that addressed the operation of the Program and provided an assessment of the adequacy and effectiveness of the Program during the period from January 1, 2022 to December 31, 2022 (the “Covered Period”). The report concluded that during the Covered Period the Program had operated effectively in all material respects and had adequately and effectively been implemented to assess and manage the fund’s liquidity risk. MFS also reported that there were no liquidity events that impacted the fund or its ability to timely meet redemptions without dilution to existing shareholders during the Covered Period.
There can be no assurance that the Program will achieve its objectives in the future. Further information on liquidity risk, and other principal risks to which an investment in the fund may be subject, can be found in the prospectus.
Proxy Voting Policies and Information
MFS votes proxies on behalf of the fund pursuant to proxy voting policies and procedures that are available without charge, upon request, by calling 1-800-225-2606, by visiting mfs.com/proxyvoting, or by visiting the SEC’s Web site at http://www.sec.gov.
Information regarding how the fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available by August 31 of each year without charge by visiting mfs.com/proxyvoting, or by visiting the SEC’s Web site at http://www.sec.gov.
Quarterly Portfolio Disclosure
The fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s Web site at http://www.sec.gov.
Further Information
From time to time, MFS may post important information about the fund or the MFS Funds on the MFS Web site (mfs.com). This information is available at https://www.mfs.com/announcements.
Information About Fund Contracts and Legal Claims
The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent, and custodian who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
Under the Trust’s By-Laws and Declaration of Trust, any claims asserted against or on behalf of the MFS Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.
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CONTACT
WEB SITE
mfs.com
MFS TALK
1-800-637-8255
24 hours a day
ACCOUNT SERVICE AND LITERATURE
Shareholders
1-800-225-2606
Financial advisors
1-800-343-2829
Retirement plan services
1-800-637-1255
MAILING ADDRESS
MFS Service Center, Inc.
P.O. Box 219341
Kansas City, MO 64121-9341
OVERNIGHT MAIL
MFS Service Center, Inc.
Suite 219341
430 W 7th Street
Kansas City, MO 64105-1407
Item 1(b):
Not applicable.
ITEM 2. CODE OF ETHICS.
During the period covered by this report, the Registrant has not amended any provision in its Code of Ethics (the "Code") that relates to an element of the Code's definition enumerated in paragraph (b) of Item 2 of this Form N-CSR. During the period covered by this report, the Registrant did not grant a waiver, including an implicit waiver, from any provision of the Code.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual reports.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to the Registrant.
ITEM 6. INVESTMENTS
A schedule of investments for each series covered by this Form N-CSR is included as part of the report to shareholders of such series under Item 1(a) of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable to the Registrant.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There were no material changes to the procedures by which shareholders may send recommendations to the Board for nominees to the Registrant's Board since the Registrant last provided disclosure as to such procedures in response to the requirements of Item 407 (c)(2)(iv) of Regulation S-K or this Item.
ITEM 11. 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 report on Form N-CSR, 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 period covered by the report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 13. EXHIBITS.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable.
(2)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 as EX-99.302CERT.
(3)Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable.
(4)Change in the registrant's independent public accountant. Not applicable.
(b)If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed "filed" for the purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Attached hereto as EX-99.906CERT.
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 SERIES TRUST III
By (Signature and Title)*
/S/ DAVID L. DILORENZO
David L. DiLorenzo, President
Date: September 15, 2023
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)*
/S/ DAVID L. DILORENZO
David L. DiLorenzo, President (Principal Executive Officer)
Date: September 15, 2023
By (Signature and Title)*
/S/ JAMES O. YOST
James O. Yost, Treasurer (Principal Financial Officer and Accounting Officer) Date: September 15, 2023
* Print name and title of each signing officer under his or her signature.
