Quarterly Report
July 31, 2022
MFS® Total Return
Bond Fund
Bond Fund
RBF-Q1
Portfolio of Investments
7/31/22 (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 – 98.5% | ||||
Aerospace & Defense – 0.8% | ||||
Boeing Co., 2.196%, 2/04/2026 | $ | 26,637,000 | $24,803,042 | |
Boeing Co., 5.15%, 5/01/2030 | 7,084,000 | 7,150,776 | ||
Boeing Co., 5.705%, 5/01/2040 | 6,632,000 | 6,599,308 | ||
Boeing Co., 5.805%, 5/01/2050 | 6,457,000 | 6,414,602 | ||
TransDigm, Inc., 4.625%, 1/15/2029 | 20,143,000 | 18,128,700 | ||
$63,096,428 | ||||
Asset-Backed & Securitized – 17.3% | ||||
ACREC 2021-FL1 Ltd., “C”, FLR, 4.306% (LIBOR - 1mo. + 2.15%), 10/16/2036 (n) | $ | 10,841,500 | $10,435,474 | |
ACREC 2021-FL1 Ltd., “D”, FLR, 4.806% (LIBOR - 1mo. + 2.65%), 10/16/2036 (n) | 13,074,500 | 12,217,359 | ||
ACRES 2021-FL2 Issuer Ltd., “C”, FLR, 4.649% (LIBOR - 1mo. + 2.65%), 1/15/2037 (n) | 13,618,500 | 12,907,192 | ||
Allegro CLO Ltd., 2014-1RA, “A2”, FLR, 4.332% (LIBOR - 3mo. + 1.6%), 10/21/2028 (n) | 14,107,464 | 13,748,133 | ||
Arbor Realty Trust, Inc., CLO, 2019-FL2, “AS”, FLR, 3.523% (LIBOR - 1mo. + 1.45%), 9/15/2034 (n) | 4,019,500 | 3,932,345 | ||
Arbor Realty Trust, Inc., CLO, 2019-FL2, “B”, FLR, 3.823% (LIBOR - 1mo. + 1.75%), 9/15/2034 (n) | 3,215,500 | 3,179,541 | ||
Arbor Realty Trust, Inc., CLO, 2020-FL1, “B”, FLR, 3.873% (LIBOR - 1mo. + 1.8%), 2/15/2035 (n) | 4,500,000 | 4,491,355 | ||
Arbor Realty Trust, Inc., CLO, 2020-FL1, “C”, FLR, 4.123% (LIBOR - 1mo. + 2.05%), 2/15/2035 (n) | 15,774,500 | 15,483,098 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “C”, FLR, 3.999% (LIBOR - 1mo. + 2%), 12/15/2035 (n) | 4,863,500 | 4,622,737 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “D”, FLR, 4.949% (LIBOR - 1mo. + 2.95%), 12/15/2035 (n) | 3,420,500 | 3,207,374 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL2, “B”, FLR, 3.599% (LIBOR - 1mo. + 1.6%), 5/15/2036 (n) | 4,735,000 | 4,526,333 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “C”, FLR, 3.849% (LIBOR - 1mo. + 1.85%), 8/15/2034 (n) | 9,870,000 | 9,108,441 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “D”, FLR, 4.199% (LIBOR - 1mo. + 2.2%), 8/15/2034 (n) | 4,110,000 | 3,789,839 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL4, “C”, FLR, 4.299% (LIBOR - 1mo. + 2.3%), 11/15/2036 (n) | 14,892,500 | 13,816,216 | ||
Arbor Realty Trust, Inc., CLO, 2022-FL1, “D”, FLR, 4.416% (SOFR - 30 day + 3%), 1/15/2037 (n) | 40,620,500 | 37,582,927 | ||
AREIT 2019-CRE3 Trust, “A”, FLR, 3.343% (LIBOR - 1mo. + 1.02%), 9/14/2036 (n) | 877,423 | 869,120 | ||
AREIT 2019-CRE3 Trust, “B”, FLR, 3.623% (LIBOR - 1mo. + 1.55%), 9/14/2036 (n) | 7,734,500 | 7,707,476 | ||
AREIT 2019-CRE3 Trust, “C”, FLR, 3.973% (SOFR - 1mo. + 2.014%), 9/14/2036 (n) | 6,751,000 | 6,694,541 | ||
AREIT 2019-CRE3 Trust, “D”, FLR, 4.723% (LIBOR - 1mo. + 2.65%), 9/14/2036 (n) | 6,243,500 | 6,019,783 | ||
AREIT 2022-CRE6 Trust, “B”, FLR, 3.321% (SOFR - 30 day + 1.85%), 1/16/2037 (n) | 4,924,000 | 4,903,964 | ||
AREIT 2022-CRE6 Trust, “C”, FLR, 3.621% (SOFR - 30 day + 2.15%), 1/16/2037 (n) | 10,134,500 | 9,592,061 | ||
AREIT 2022-CRE6 Trust, “D”, FLR, 4.321% (SOFR - 30 day + 2.85%), 12/17/2024 (n) | 4,313,500 | 4,233,972 | ||
Atrium XII Corp., 2012-A, “B1R”, FLR, 4.109% (LIBOR - 3mo. + 1.35%), 4/22/2027 (n) | 15,670,000 | 15,229,657 | ||
Babson CLO Ltd., 2013-IIA, “BR”, FLR, 3.96% (LIBOR - 3mo. + 1.25%), 1/20/2028 (n) | 23,804,982 | 23,120,476 | ||
Bayview Commercial Asset Trust, 0%, 12/25/2036 (i)(n) | 1,846,835 | 185 | ||
Bayview Commercial Asset Trust, FLR, 2.724% (LIBOR - 1mo. + 0.31%), 8/25/2035 (n) | 118,267 | 107,691 | ||
Bayview Financial Revolving Mortgage Loan Trust, FLR, 3.946% (LIBOR - 1mo. + 1.6%), 12/28/2040 (n) | 634,036 | 736,062 | ||
BBCMS Mortgage Trust, 2019-C5, “A4”, 3.063%, 11/15/2052 | 9,055,000 | 8,571,733 | ||
BDS 2019-FL4 Ltd., “A”, FLR, 3.099% (LIBOR - 1mo. + 1.10%), 8/15/2036 (n) | 3,283,772 | 3,287,217 | ||
BDS 2019-FL4 Ltd., “C”, FLR, 3.999% (LIBOR - 1mo. + 2%), 8/15/2036 (n) | 10,946,500 | 10,601,963 | ||
BDS 2021-FL7 Ltd., “B”, FLR, 3.656% (LIBOR - 1mo. + 1.5%), 6/16/2036 (n) | 5,159,500 | 4,929,835 | ||
BSPRT 2019-FL5 Issuer Ltd., “C”, FLR, 3.999% (LIBOR - 1mo. + 2%), 5/15/2029 (n) | 9,385,000 | 9,120,099 | ||
BSPRT 2021-FL6 Issuer Ltd., “B”, FLR, 3.599% (LIBOR - 1mo. + 1.6%), 3/15/2036 (n) | 15,128,000 | 14,243,193 | ||
BSPRT 2021-FL6 Issuer Ltd., “C”, FLR, 4.049% (LIBOR - 1mo. + 2.05%), 3/15/2036 (n) | 5,310,500 | 4,986,214 | ||
BSPRT 2021-FL7 Issuer Ltd., “C”, FLR, 4.299% (LIBOR - 1mo. + 2.3%), 12/15/2038 (n) | 3,651,000 | 3,431,812 | ||
BSPRT 2021-FL7 Issuer Ltd., “D”, FLR, 4.749% (LIBOR - 1mo. + 2.75%), 12/15/2038 (n) | 4,152,500 | 3,843,450 | ||
Business Jet Securities LLC, 2020-1A, “A”, 2.981%, 11/15/2035 (n) | 5,239,218 | 4,868,701 | ||
Business Jet Securities LLC, 2021-1A, “B”, 2.918%, 4/15/2036 (n) | 2,046,988 | 1,844,603 | ||
BXMT 2020-FL2 Ltd., “B”, FLR, 3.473% (LIBOR - 1mo. + 1.4%), 2/15/2038 (n) | 6,104,500 | 5,788,446 | ||
BXMT 2021-FL4 Ltd., “AS”, FLR, 3.299% (LIBOR - 1mo. + 1.3%), 5/15/2038 (n) | 17,470,500 | 16,958,134 | ||
BXMT 2021-FL4 Ltd., “B”, FLR, 3.549% (LIBOR - 1mo. + 1.55%), 5/15/2038 (n) | 38,262,000 | 36,291,327 | ||
Cantor Commercial Real Estate, 2019-CF2, “A5”, 2.874%, 11/15/2052 | 20,960,656 | 19,425,344 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 8,145,184 | 7,755,819 | ||
C-BASS Mortgage Loan Trust, 2007-CB1, “AF3”, 3.135%, 1/25/2037 (d)(q) | 1,166,362 | 423,503 | ||
C-BASS Mortgage Loan Trust, 2007-CB3, “A3”, 3.31%, 3/25/2037 (d)(q) | 1,222,087 | 498,412 | ||
CHCP 2021-FL1 Ltd., “B”, FLR, 3.865% (LIBOR - 1mo. + 1.65%), 2/15/2038 (n) | 6,412,000 | 6,188,808 | ||
CHCP 2021-FL1 Ltd., “C”, FLR, 4.315% (LIBOR - 1mo. + 2.1%), 2/15/2038 (n) | 5,168,000 | 4,959,700 | ||
Citigroup Commercial Mortgage Trust, 2014-GC25, “A4”, 3.635%, 10/10/2047 | 4,461,971 | 4,414,549 |
1
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Citigroup Commercial Mortgage Trust, 2015-GC27, “A5”, 3.137%, 2/10/2048 | $ | 11,154,926 | $10,946,918 | |
Citigroup Commercial Mortgage Trust, 2016-P6, “A5”, 3.72%, 12/10/2049 | 5,948,000 | 5,904,991 | ||
CLNC 2019-FL1 Ltd., “B”, FLR, 4.177% (LIBOR - 1mo. + 1.9%), 8/20/2035 (n) | 6,270,000 | 6,254,670 | ||
CLNC 2019-FL1 Ltd., “C”, FLR, 4.677% (LIBOR - 1mo. + 2.4%), 8/20/2035 (n) | 10,190,000 | 9,712,979 | ||
Columbia Cent CLO 28 Ltd., “A-2-R”, 4.563%, 11/07/2030 (n) | 28,014,809 | 26,738,258 | ||
Columbia Cent CLO 28 Ltd., “B-R”, 5.01%, 11/07/2030 (n) | 17,835,205 | 16,670,049 | ||
Commercial Mortgage Pass-Through Certificates, 2014-LC19 “A4”, 3.183%, 2/10/2048 | 9,743,000 | 9,571,952 | ||
Commercial Mortgage Trust, 2015-DC1, “A5”, 3.35%, 2/10/2048 | 9,577,577 | 9,414,462 | ||
Commercial Mortgage Trust, 2015-LC21, “A4”, 3.708%, 7/10/2048 | 9,963,398 | 9,894,068 | ||
Commercial Mortgage Trust, 2015-PC1, “A5”, 3.902%, 7/10/2050 | 4,781,393 | 4,763,016 | ||
Commercial Mortgage Trust, 2017-COR2, “A3”, 3.51%, 9/10/2050 | 26,790,000 | 26,220,086 | ||
Credit Acceptance Auto Loan Trust, 2021-3A, “C”, 1.63%, 9/16/2030 (n) | 2,159,000 | 1,992,260 | ||
CSAIL Commercial Mortgage Trust, 2015-C2, “A4”, 3.504%, 6/15/2057 | 3,687,246 | 3,626,812 | ||
Cutwater 2014-1A Ltd., “BR”, FLR, 4.912% (LIBOR - 3mo. + 2.4%), 7/15/2026 (n) | 4,271,121 | 4,223,165 | ||
Cutwater 2015-1A Ltd., “BR”, FLR, 4.312% (LIBOR - 3mo. + 1.8%), 1/15/2029 (n) | 27,695,000 | 26,884,755 | ||
Dryden Senior Loan Fund, 2014-36A, “BR3”, CLO, FLR, 3.962% (LIBOR - 3mo. + 1.45%), 4/15/2029 (n) | 14,975,000 | 14,499,948 | ||
Dryden Senior Loan Fund, 2017-49A, “CR”, CLO, FLR, 4.79% (LIBOR - 3mo. + 2.05%), 7/18/2030 (n) | 16,500,000 | 15,605,221 | ||
Exeter Automobile Receivables Trust, 2020-1A, 2.49%, 1/15/2025 (n) | 2,458,062 | 2,454,977 | ||
GMAC Mortgage Corp. Loan Trust, 5.805%, 10/25/2036 | 108,296 | 109,780 | ||
GS Mortgage Securities Trust, 2015-GC30, “A4”, 3.382%, 5/10/2050 | 11,461,699 | 11,278,195 | ||
HarbourView CLO VII Ltd., 7RA, “B”, FLR, 4.44% (LIBOR - 3mo. + 1.7%), 7/18/2031 (n) | 15,920,000 | 14,823,733 | ||
IMPAC CMB Trust, FLR, 2.999% (LIBOR - 1mo. + 0.74%), 11/25/2034 | 18,630 | 18,422 | ||
IMPAC CMB Trust, FLR, 3.179% (LIBOR - 1mo. + 0.92%), 11/25/2034 | 9,315 | 9,279 | ||
IMPAC Secured Assets Corp., FLR, 2.959% (LIBOR - 1mo. + 0.35%), 5/25/2036 | 34,662 | 31,902 | ||
JPMBB Commercial Mortgage Securities Trust, 2014-C26, “A4”, 3.494%, 1/15/2048 | 13,025,174 | 12,862,118 | ||
JPMBB Commercial Mortgage Securities Trust, 2015-C28, “A4”, 3.227%, 10/15/2048 | 23,872,958 | 23,327,248 | ||
JPMDB Commercial Mortgage Securities Trust, 2017-C7, 3.409%, 10/15/2050 | 11,500,000 | 11,249,990 | ||
JPMorgan Chase Commercial Mortgage Securities Corp., 5.646%, 7/15/2042 (n) | 435,491 | 357,076 | ||
LCCM 2021-FL2 Trust, “C”, FLR, 4.149% (LIBOR - 1mo. + 2.15%), 12/13/2038 (n) | 8,225,000 | 7,812,146 | ||
LoanCore 2018-CRE1 Ltd., “AS”, FLR, 3.499% (LIBOR - 1mo. + 1.5%), 5/15/2028 (n) | 21,675,000 | 21,469,694 | ||
LoanCore 2018-CRE1 Ltd., “C”, FLR, 4.549% (LIBOR - 1mo. + 2.55%), 5/15/2028 (n) | 5,705,000 | 5,665,807 | ||
LoanCore 2018-CRE1 Ltd., “C”, FLR, 3.949% (LIBOR - 1mo. + 1.95%), 4/15/2034 (n) | 5,553,900 | 5,426,488 | ||
LoanCore 2018-CRE3 Ltd., “B”, FLR, 3.599% (LIBOR - 1mo. + 1.6%), 4/15/2034 (n) | 5,351,850 | 5,277,796 | ||
LoanCore 2019-CRE2 Ltd., “D”, FLR, 4.449% (LIBOR - 1mo. + 2.45%), 5/15/2036 (n) | 3,164,500 | 3,112,029 | ||
LoanCore 2019-CRE3 Ltd., “AS”, FLR, 3.369% (LIBOR - 1mo. + 1.37%), 4/15/2034 (n) | 3,883,718 | 3,867,376 | ||
LoanCore 2021-CRE5 Ltd., “AS”, FLR, 3.749% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | 23,249,000 | 22,157,531 | ||
LoanCore 2021-CRE5 Ltd., “B”, FLR, 3.999% (LIBOR - 1mo. + 2%), 7/15/2036 (n) | 8,432,000 | 7,862,250 | ||
LoanCore 2021-CRE6 Ltd., “B”, FLR, 3.899% (LIBOR - 1mo. + 1.9%), 11/15/2038 (n) | 42,852,000 | 41,111,095 | ||
Madison Park Funding Ltd., 2017- 23A, “CR”, FLR, 4.769% (LIBOR - 3mo. + 2%), 7/27/2031 (n) | 24,271,403 | 23,051,280 | ||
Merrill Lynch Mortgage Investors, Inc., 4.315%, 2/25/2037 (a)(d) | 1,812,832 | 267,898 | ||
MF1 2020-FL4 Ltd., “AS”, FLR, 4.173% (LIBOR - 1mo. + 2.1%), 11/15/2035 (n) | 10,615,000 | 10,397,244 | ||
MF1 2021-FL5 Ltd., “C”, FLR, 3.773% (LIBOR - 1mo. + 1.7%), 7/15/2036 (n) | 10,670,500 | 10,153,173 | ||
MF1 2022-FL8 Ltd., “C”, FLR, 3.671% (SOFR - 30 day + 2.2%), 2/19/2037 (n) | 10,626,099 | 9,772,770 | ||
MF1 2022-FL8 Ltd., “D”, FLR, 4.121% (SOFR - 30 day + 2.65%), 2/19/2037 (n) | 6,141,972 | 5,587,241 | ||
MidOcean Credit CLO, 2013-2A, “BR”, FLR, 4.456% (LIBOR - 3mo. + 1.65%), 1/29/2030 (n) | 31,520,702 | 30,017,763 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, 2015-C21, “A4”, 3.338%, 3/15/2048 | 8,114,737 | 7,953,130 | ||
Neuberger Berman CLO Ltd., 2013-15A, “CR2”, FLR, 4.362% (LIBOR - 3mo. + 1.85%), 10/15/2029 (n) | 5,663,303 | 5,354,211 | ||
Neuberger Berman CLO Ltd., 2016-21A, “CR2”, 4.76%, 4/20/2034 (n) | 9,973,559 | 9,363,397 | ||
Neuberger Berman CLO Ltd., 2017-16SA, “BR”, FLR, 3.912% (LIBOR - 3mo. + 1.4%), 4/15/2034 (n) | 20,000,000 | 18,995,160 | ||
NextGear Floorplan Master Owner Trust, 2019-2A, “A2”, 2.07%, 10/15/2024 (n) | 7,876,000 | 7,854,891 | ||
Oaktree CLO 2019-1A Ltd., “BR”, FLR, 4.509% (LIBOR - 3mo. + 1.75%), 4/22/2030 (n) | 16,780,750 | 15,930,604 | ||
Oaktree CLO 2019-1A Ltd., “CR”, FLR, 5.109% (LIBOR - 3mo. + 2.35%), 4/22/2030 (n) | 22,979,914 | 21,488,449 | ||
Ownit Mortgage Loan Asset-Backed Certificates, 3.12%, 10/25/2035 | 497,487 | 308,020 | ||
Palmer Square Loan Funding 2020-1A Ltd., “A2”, FLR, 2.828% (LIBOR - 3mo. + 1.35%), 2/20/2028 (n) | 13,300,000 | 12,981,492 | ||
Palmer Square Loan Funding 2020-1A Ltd., “B”, FLR, 3.378% (LIBOR - 3mo. + 1.9%), 2/20/2028 (n) | 11,690,351 | 11,111,375 | ||
Parallel 2015-1A Ltd., “C1R”, FLR, 4.459% (LIBOR - 3mo. + 1.75%), 7/20/2027 (n) | 3,700,000 | 3,630,714 | ||
Parallel 2015-1A Ltd., “C2R”, FLR, 4.46% (LIBOR - 3mo. + 1.75%), 7/20/2027 (n) | 3,990,000 | 3,875,443 | ||
PFP III 2021-7 Ltd., “B”, FLR, 3.399% (LIBOR - 1mo. + 1.4%), 4/14/2038 (n) | 3,866,807 | 3,583,293 | ||
PFP III 2021-7 Ltd., “C”, FLR, 3.649% (LIBOR - 1mo. + 1.65%), 4/14/2038 (n) | 6,776,662 | 6,352,158 |
2
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Preferred Term Securities XIX Ltd., CDO, FLR, 2.178% (LIBOR - 3mo. + 0.35%), 12/22/2035 (n) | $ | 2,287,710 | $2,041,895 | |
Race Point CLO Ltd., 2013-8A, “AR-2”, FLR, 2.518% (LIBOR - 3mo. + 1.04%), 2/20/2030 (n) | 12,968,001 | 12,750,437 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL7, “C”, FLR, 4.459% (LIBOR - 1mo. + 2.2%), 11/25/2036 (n) | 5,795,000 | 5,394,670 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL7, “D”, FLR, 5.209% (LIBOR - 1mo. + 2.95%), 11/25/2036 (n) | 6,825,000 | 6,255,959 | ||
Regatta II Funding L.P., 2013-2A, “BR3”, FLR, 4.512% (LIBOR - 3mo. + 2%), 1/15/2029 (n) | 17,000,000 | 16,060,189 | ||
Residential Funding Mortgage Securities, Inc., 4.456%, 12/25/2035 | 137,728 | 137,306 | ||
Santander Retail Auto Lease Trust, 2020-A, “C”, 2.08%, 3/20/2024 (n) | 8,132,000 | 8,041,914 | ||
Securitized Term Auto Receivable Trust, 2019-CRTA, “B”, 2.453%, 3/25/2026 (n) | 1,483,582 | 1,475,110 | ||
Securitized Term Auto Receivable Trust, 2019-CRTA, “C”, 2.849%, 3/25/2026 (n) | 1,769,118 | 1,760,673 | ||
Shackleton 2015-8A CLO Ltd., “CR”, FLR, 4.359% (LIBOR - 3mo. + 1.65%), 10/20/2027 (n) | 2,000,000 | 1,929,850 | ||
Starwood Commercial Mortgage, 2021-FL2, “C”, FLR, 4.256% (LIBOR - 1mo. + 2.1%), 4/18/2038 (n) | 11,255,500 | 10,838,972 | ||
Starwood Commercial Mortgage, 2022-FL3, “B”, FLR, 3.367% (SOFR - 30 day + 1.95%), 11/15/2038 (n) | 6,082,500 | 5,784,339 | ||
Starwood Commercial Mortgage, 2022-FL3, “C”, FLR, 3.616% (SOFR - 30 day + 2.2%), 11/15/2038 (n) | 11,508,500 | 10,769,785 | ||
Thornburg Mortgage Securities Trust, FLR, 2.939% (LIBOR - 1mo. + 0.68%), 4/25/2043 | 694 | 694 | ||
TICP CLO 2018-IA Ltd., “A2”, FLR, 4.266% (LIBOR - 3mo. + 1.5%), 4/26/2028 (n) | 16,262,022 | 15,859,640 | ||
UBS Commercial Mortgage Trust, 2017-C7, “A4”, 3.679%, 12/15/2050 | 33,000,000 | 32,515,174 | ||
UBS Commercial Mortgage Trust, 2017-C8, “A4”, 3.983%, 2/15/2051 | 18,388,578 | 18,421,437 | ||
UBS Commercial Mortgage Trust, 2019-C16, “A4”, 3.605%, 4/15/2052 | 15,000,000 | 14,529,945 | ||
UBS Commercial Mortgage Trust, 2019-C17, “A4”, 2.921%, 10/15/2052 | 34,841,583 | 32,231,454 | ||
Voya CLO 2012-4A Ltd., “A2R3”, FLR, 3.962% (LIBOR - 3mo. + 1.45%), 10/15/2030 (n) | 8,202,288 | 7,780,600 | ||
Voya CLO 2012-4A Ltd., “BR3”, FLR, 4.462% (LIBOR - 3mo. + 1.95%), 10/15/2030 (n) | 3,474,736 | 3,222,025 | ||
Voya CLO 2012-4A Ltd., “C1R3”, FLR, 5.812% (LIBOR - 3mo. + 3.3%), 10/15/2030 (n) | 4,942,894 | 4,471,485 | ||
Wells Fargo Commercial Mortgage Trust, 2015-C28, “A4”, 3.54%, 5/15/2048 | 15,451,790 | 15,278,469 | ||
Wells Fargo Commercial Mortgage Trust, 2016-C34, “A4”, 3.096%, 6/15/2049 | 7,740,000 | 7,461,568 | ||
Wells Fargo Commercial Mortgage Trust, 2016-LC25, “A4”, 3.64%, 12/15/2059 | 25,027,917 | 24,755,573 | ||
Wells Fargo Commercial Mortgage Trust, 2017-C42, “A5”, 3.589%, 12/15/2050 | 13,470,000 | 13,233,919 | ||
Wells Fargo Commercial Mortgage Trust, 2018-C46, “A4”, 4.152%, 8/15/2051 | 4,840,000 | 4,885,022 | ||
$1,303,822,566 | ||||
Automotive – 0.4% | ||||
Stellantis N.V., 2.691%, 9/15/2031 (n) | $ | 14,723,000 | $12,059,067 | |
Volkswagen Group of America Finance LLC, 3.2%, 9/26/2026 (n) | 11,522,000 | 11,080,015 | ||
Volkswagen Group of America Finance LLC, 3.75%, 5/13/2030 (n) | 5,056,000 | 4,739,266 | ||
$27,878,348 | ||||
Broadcasting – 1.3% | ||||
Discovery, Inc., 4.65%, 5/15/2050 | $ | 11,068,000 | $9,119,088 | |
Magallanes, Inc., 5.05%, 3/15/2042 (n) | 24,492,000 | 21,748,230 | ||
Magallanes, Inc., 5.141%, 3/15/2052 (n) | 21,194,000 | 18,659,596 | ||
Magallanes, Inc., 5.391%, 3/15/2062 (n) | 8,483,000 | 7,489,273 | ||
Prosus N.V., 3.68%, 1/21/2030 (n) | 17,751,000 | 14,983,005 | ||
WMG Acquisition Corp., 3%, 2/15/2031 (n) | 28,310,000 | 24,588,084 | ||
$96,587,276 | ||||
Brokerage & Asset Managers – 1.2% | ||||
Charles Schwab Corp., 5% to 6/01/2027, FLR (CMT - 5yr. + 3.256%) to 6/01/2170 | $ | 26,796,000 | $25,925,130 | |
Intercontinental Exchange, Inc., 2.1%, 6/15/2030 | 6,900,000 | 6,024,390 | ||
LPL Holdings, Inc., 4%, 3/15/2029 (n) | 21,696,000 | 20,177,280 | ||
Morgan Stanley Domestic Holdings, Inc., 3.8%, 8/24/2027 | 18,580,000 | 18,473,815 | ||
Morgan Stanley Domestic Holdings, Inc., 4.5%, 6/20/2028 | 8,585,000 | 8,774,544 | ||
Raymond James Financial, Inc., 4.95%, 7/15/2046 | 14,019,000 | 13,874,466 | ||
$93,249,625 | ||||
Building – 0.6% | ||||
ABC Supply Co., Inc., 4%, 1/15/2028 (n) | $ | 7,940,000 | $7,430,808 | |
Martin Marietta Materials, Inc., 3.45%, 6/01/2027 | 2,060,000 | 1,993,627 | ||
Standard Industries, Inc., 4.375%, 7/15/2030 (n) | 17,370,000 | 15,172,348 | ||
Standard Industries, Inc., 3.375%, 1/15/2031 (n) | 15,475,000 | 12,583,496 |
3
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Building – continued | ||||
Vulcan Materials Co., 3.5%, 6/01/2030 | $ | 9,570,000 | $8,869,761 | |
$46,050,040 | ||||
Business Services – 0.9% | ||||
Equinix, Inc., 1.8%, 7/15/2027 | $ | 9,219,000 | $8,237,418 | |
Equinix, Inc., 2.15%, 7/15/2030 | 21,402,000 | 18,099,860 | ||
Fiserv, Inc., 3.5%, 7/01/2029 | 17,324,000 | 16,421,049 | ||
Iron Mountain, Inc., 4.5%, 2/15/2031 (n) | 27,150,000 | 23,822,632 | ||
$66,580,959 | ||||
Cable TV – 1.7% | ||||
CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, 8/15/2030 (n) | $ | 17,665,000 | $15,702,772 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.908%, 7/23/2025 | 10,635,000 | 10,777,634 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | 6,428,000 | 6,755,396 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.25%, 4/01/2053 | 35,959,000 | 31,474,822 | ||
CSC Holdings LLC, 4.125%, 12/01/2030 (n) | 17,470,000 | 14,857,187 | ||
CSC Holdings LLC, 4.5%, 11/15/2031 (n) | 16,620,000 | 14,127,000 | ||
Sirius XM Radio, Inc., 5.5%, 7/01/2029 (n) | 8,250,000 | 8,105,625 | ||
Sirius XM Radio, Inc., 4.125%, 7/01/2030 (n) | 15,640,000 | 14,120,574 | ||
Time Warner Cable, Inc., 4.5%, 9/15/2042 | 9,503,000 | 7,633,860 | ||
Time Warner Entertainment Co. LP, 8.375%, 7/15/2033 | 4,688,000 | 5,590,438 | ||
$129,145,308 | ||||
Chemicals – 0.2% | ||||
Axalta Coating Systems Ltd., 3.375%, 2/15/2029 (n) | $ | 19,805,000 | $17,267,362 | |
Computer Software – 0.4% | ||||
Dell International LLC/EMC Corp., 5.3%, 10/01/2029 | $ | 26,757,000 | $27,136,551 | |
Computer Software - Systems – 0.3% | ||||
SS&C Technologies Holdings, Inc., 5.5%, 9/30/2027 (n) | $ | 19,560,000 | $19,266,991 | |
Conglomerates – 0.7% | ||||
BWX Technologies, Inc., 4.125%, 6/30/2028 (n) | $ | 9,016,000 | $8,542,660 | |
Carrier Global Corp., 3.577%, 4/05/2050 | 27,527,000 | 21,818,991 | ||
Westinghouse Air Brake Technologies Corp., 4.95%, 9/15/2028 | 21,336,000 | 21,186,108 | ||
$51,547,759 | ||||
Consumer Products – 0.3% | ||||
GSK Consumer Healthcare Capital US LLC, 3.375%, 3/24/2029 (n) | $ | 6,859,000 | $6,630,868 | |
GSK Consumer Healthcare Capital US LLC, 3.625%, 3/24/2032 (n) | 15,416,000 | 14,933,587 | ||
$21,564,455 | ||||
Consumer Services – 0.4% | ||||
Match Group Holdings II LLC, 3.625%, 10/01/2031 (n) | $ | 12,640,000 | $10,797,594 | |
Toll Road Investors Partnership II LP, Capital Appreciation, 0%, 2/15/2026 (n) | 5,237,000 | 4,290,781 | ||
Toll Road Investors Partnership II LP, Capital Appreciation, 0%, 2/15/2029 (n) | 15,190,000 | 10,582,134 | ||
Toll Road Investors Partnership II LP, Capital Appreciation, 0%, 2/15/2031 (n) | 5,237,000 | 3,252,873 | ||
Toll Road Investors Partnership II LP, Capital Appreciation, 0%, 2/15/2043 (n) | 17,518,127 | 4,747,786 | ||
$33,671,168 | ||||
Containers – 0.2% | ||||
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 2/01/2026 | $ | 15,606,000 | $15,487,082 | |
Electrical Equipment – 0.2% | ||||
Arrow Electronics, Inc., 2.95%, 2/15/2032 | $ | 21,913,000 | $18,574,130 |
4
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Electronics – 0.7% | ||||
Broadcom, Inc., 4.15%, 11/15/2030 | $ | 8,877,000 | $8,422,323 | |
Broadcom, Inc., 3.469%, 4/15/2034 (n) | 14,353,000 | 12,283,056 | ||
Broadcom, Inc., 3.137%, 11/15/2035 (n) | 12,875,000 | 10,352,683 | ||
Broadcom, Inc., 3.187%, 11/15/2036 (n) | 12,521,000 | 10,029,275 | ||
Broadcom, Inc., 4.926%, 5/15/2037 (n) | 12,031,000 | 11,405,862 | ||
NXP B.V./NXP Funding LLC/NXP USA, Inc., 2.7%, 5/01/2025 | 1,921,000 | 1,850,362 | ||
$54,343,561 | ||||
Emerging Market Quasi-Sovereign – 0.1% | ||||
Indian Railway Finance Corp., 2.8%, 2/10/2031 (n) | $ | 5,243,000 | $4,347,615 | |
Energy - Independent – 0.7% | ||||
Diamondback Energy, Inc., 4.4%, 3/24/2051 | $ | 8,948,000 | $8,003,013 | |
Energean Israel Finance Ltd., 4.875%, 3/30/2026 | 16,253,000 | 14,895,874 | ||
Energean Israel Finance Ltd., 5.375%, 3/30/2028 | 3,720,000 | 3,277,692 | ||
Leviathan Bond Ltd., 6.5%, 6/30/2027 (n) | 9,070,000 | 8,697,368 | ||
Leviathan Bond Ltd., 6.75%, 6/30/2030 (n) | 11,033,000 | 10,390,262 | ||
Tengizchevroil Finance Co. International Ltd., 3.25%, 8/15/2030 | 13,596,000 | 9,925,080 | ||
$55,189,289 | ||||
Energy - Integrated – 0.4% | ||||
Eni S.p.A., 4%, 9/12/2023 (n) | $ | 13,354,000 | $13,325,724 | |
Eni S.p.A., 4.25%, 5/09/2029 (n) | 13,598,000 | 13,553,068 | ||
$26,878,792 | ||||
Financial Institutions – 1.7% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.5%, 9/15/2023 | $ | 18,880,000 | $18,857,758 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.5%, 7/15/2025 | 12,700,000 | 13,132,645 | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3%, 10/29/2028 | 10,175,000 | 8,928,840 | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.3%, 1/30/2032 | 12,067,000 | 10,134,593 | ||
Avolon Holdings Funding Ltd., 5.25%, 5/15/2024 (n) | 15,117,000 | 14,935,968 | ||
Avolon Holdings Funding Ltd., 3.95%, 7/01/2024 (n) | 12,497,000 | 12,042,096 | ||
Avolon Holdings Funding Ltd., 2.125%, 2/21/2026 (n) | 12,112,000 | 10,524,726 | ||
Avolon Holdings Funding Ltd., 4.25%, 4/15/2026 (n) | 7,451,000 | 6,938,999 | ||
Avolon Holdings Funding Ltd., 3.25%, 2/15/2027 (n) | 7,098,000 | 6,205,364 | ||
Avolon Holdings Funding Ltd., 2.528%, 11/18/2027 (n) | 5,071,000 | 4,201,572 | ||
Avolon Holdings Funding Ltd., 2.75%, 2/21/2028 (n) | 10,959,000 | 9,066,132 | ||
Global Aircraft Leasing Co. Ltd., 6.5% (6.5% cash or 7.25% PIK), 9/15/2024 (n)(p) | 14,072,333 | 10,835,696 | ||
$125,804,389 | ||||
Food & Beverages – 0.6% | ||||
Anheuser-Busch InBev Worldwide, Inc., 5.45%, 1/23/2039 | $ | 7,779,000 | $8,338,528 | |
JBS USA Lux S.A./JBS USA Finance, Inc., 5.5%, 1/15/2030 (n) | 20,690,000 | 20,099,235 | ||
PT Indofood CBP Sukses Makmur Tbk, 3.541%, 4/27/2032 | 22,400,000 | 18,315,813 | ||
$46,753,576 | ||||
Gaming & Lodging – 0.4% | ||||
Marriott International, Inc., 3.5%, 10/15/2032 | $ | 12,991,000 | $11,595,329 | |
Marriott International, Inc., 2.75%, 10/15/2033 | 18,167,000 | 14,865,664 | ||
$26,460,993 | ||||
Insurance – 0.3% | ||||
Corebridge Financial, Inc., 3.9%, 4/05/2032 (n) | $ | 15,987,000 | $14,880,367 | |
Corebridge Financial, Inc., 4.35%, 4/05/2042 (n) | 1,846,000 | 1,615,146 | ||
Corebridge Financial, Inc., 4.4%, 4/05/2052 (n) | 5,568,000 | 4,808,038 | ||
$21,303,551 |
5
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Insurance - Property & Casualty – 1.5% | ||||
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/2025 | $ | 13,217,000 | $13,021,986 | |
Ambac Assurance Corp., 5.1%, 6/07/2060 (n) | 13,854 | 13,265 | ||
American International Group, Inc., 3.9%, 4/01/2026 | 7,299,000 | 7,302,649 | ||
Aon Corp., 3.75%, 5/02/2029 | 23,260,000 | 22,643,637 | ||
Aon Corp./Aon Global Holdings PLC, 2.6%, 12/02/2031 | 2,778,000 | 2,425,085 | ||
Brown & Brown, Inc., 4.2%, 3/17/2032 | 15,616,000 | 14,713,013 | ||
Brown & Brown, Inc., 4.95%, 3/17/2052 | 18,116,000 | 16,553,832 | ||
Fairfax Financial Holdings Ltd., 4.85%, 4/17/2028 | 15,409,000 | 15,441,890 | ||
Fairfax Financial Holdings Ltd., 3.375%, 3/03/2031 | 7,257,000 | 6,451,418 | ||
Liberty Mutual Group, Inc., 3.951%, 10/15/2050 (n) | 11,271,000 | 8,876,608 | ||
Marsh & McLennan Cos., Inc., 4.2%, 3/01/2048 | 9,884,000 | 9,026,980 | ||
$116,470,363 | ||||
International Market Quasi-Sovereign – 0.1% | ||||
Electricite de France S.A., 4.875%, 9/21/2038 (n) | $ | 6,911,000 | $6,392,843 | |
Machinery & Tools – 0.1% | ||||
CNH Industrial Capital LLC, 4.2%, 1/15/2024 | $ | 3,387,000 | $3,395,501 | |
CNH Industrial Capital LLC, 3.85%, 11/15/2027 | 7,799,000 | 7,479,391 | ||
$10,874,892 | ||||
Major Banks – 7.4% | ||||
Bank of America Corp., 3.419% to 12/20/2027, FLR (LIBOR - 3mo. + 1.04%) to 12/20/2028 | $ | 7,070,000 | $6,764,695 | |
Bank of America Corp., 3.97% to 3/05/2028, FLR (LIBOR - 3mo. + 1.07%) to 3/05/2029 | 8,931,000 | 8,742,205 | ||
Bank of America Corp., 2.496% to 2/13/2030, FLR (LIBOR - 3mo. + 0.99%) to 2/13/2031 | 39,891,000 | 34,827,107 | ||
Bank of America Corp., 2.572% to 10/20/2031, FLR (SOFR + 1.21%) to 10/20/2032 | 45,881,000 | 39,329,294 | ||
Bank of America Corp., 6.5% to 10/23/2024, FLR (LIBOR - 3mo. + 4.174%) to 10/23/2049 | 4,140,000 | 4,245,165 | ||
Bank of America Corp., 6.1% to 3/17/2025, FLR (LIBOR - 3mo. + 3.898%) to 12/29/2049 | 15,392,000 | 15,563,278 | ||
Bank of America Corp., 5.875% to 3/15/2028, FLR (LIBOR - 3mo. + 2.931%) to 12/31/2059 | 13,771,000 | 13,030,809 | ||
Barclays PLC, 4.375%, 1/12/2026 | 4,820,000 | 4,835,697 | ||
Barclays PLC, 4.972% to 5/16/2028, FLR (LIBOR - 3mo. + 1.902%) to 5/16/2029 | 7,802,000 | 7,735,978 | ||
Barclays PLC, 2.894% to 11/24/2031, FLR (CMT - 1yr. + 1.3%) to 11/24/2032 | 16,966,000 | 13,884,521 | ||
Credit Suisse Group AG, 6.5%, 8/08/2023 (n) | 1,753,000 | 1,761,765 | ||
Credit Suisse Group AG, 3.091% to 5/14/2031, FLR (SOFR - 1 day + 1.73%) to 5/14/2032 (n) | 7,279,000 | 5,851,423 | ||
Credit Suisse Group Fund (Guernsey) Ltd., 3.75%, 3/26/2025 | 10,358,000 | 10,036,923 | ||
Deutsche Bank AG, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027 | 23,182,000 | 20,146,085 | ||
Goldman Sachs Group, Inc., 2.6%, 2/07/2030 | 15,968,000 | 14,102,884 | ||
Goldman Sachs Group, Inc., 2.65% to 10/21/2031, FLR (SOFR - 1 day + 1.264%) to 10/21/2032 | 26,935,000 | 23,178,937 | ||
HSBC Holdings PLC, 4.7% to 9/09/2031, FLR (CMT - 1yr. + 3.25%) to 9/09/2169 | 25,500,000 | 20,360,599 | ||
HSBC Holdings PLC, 4% to 9/09/2026, FLR (CMT - 1yr. + 3.222%) to 9/09/2170 | 10,111,000 | 8,940,907 | ||
JPMorgan Chase & Co., 3.509%, 1/23/2029 | 18,395,000 | 17,612,564 | ||
JPMorgan Chase & Co., 4.005%, 4/23/2029 | 28,117,000 | 27,531,155 | ||
JPMorgan Chase & Co., 4.203% to 7/23/2028, FLR (LIBOR - 3mo. + 1.26%) to 7/23/2029 | 9,246,000 | 9,127,806 | ||
JPMorgan Chase & Co., 2.739% to 10/15/2029, FLR (SOFR - 1 day + 1.51%) to 10/15/2030 | 16,953,000 | 15,199,815 | ||
JPMorgan Chase & Co., 2.956% to 5/13/2030, FLR (SOFR - 1 day + 2.515%) to 5/13/2031 | 7,484,000 | 6,690,095 | ||
JPMorgan Chase & Co., 2.545% to 11/08/2031, FLR (SOFR - 1 day + 1.18%) to 11/08/2032 | 29,061,000 | 24,976,814 | ||
Lloyds Bank PLC, 3.75%, 1/11/2027 | 3,975,000 | 3,887,028 | ||
Mitsubishi UFJ Financial Group, Inc., 2.048%, 7/17/2030 | 31,223,000 | 26,139,894 | ||
Morgan Stanley, 3.125%, 7/27/2026 | 12,844,000 | 12,567,197 | ||
Morgan Stanley, 2.699% to 1/22/2030, FLR (SOFR - 1 day + 1.143%) to 1/22/2031 | 7,037,000 | 6,291,475 | ||
Morgan Stanley, 2.511% to 10/20/2031, FLR (SOFR - 1 day + 1.2%) to 10/20/2032 | 19,284,000 | 16,545,630 | ||
Sumitomo Mitsui Financial Group, Inc., 2.13%, 7/08/2030 | 38,002,000 | 32,081,546 | ||
Sumitomo Mitsui Trust Bank Ltd., 0.85%, 3/25/2024 (n) | 6,036,000 | 5,752,407 | ||
UBS Group AG, 4.375% to 2/10/2031, FLR (CMT - 1yr. + 3.313%) to 8/10/2069 (n) | 30,010,000 | 24,120,538 | ||
UBS Group Funding (Jersey) Ltd., 4.125%, 9/24/2025 (n) | 6,610,000 | 6,640,797 | ||
UBS Group Funding (Switzerland) AG, 4.253%, 3/23/2028 (n) | 10,491,000 | 10,334,303 | ||
Wells Fargo & Co., 2.572% to 2/11/2030, FLR (LIBOR - 3mo. +1%) to 2/11/2031 | 45,462,000 | 40,095,333 | ||
Westpac Banking Corp., 2.894% to 2/4/2025, FLR (CMT - 5yr. + 1.35%) to 2/04/2030 | 18,137,000 | 17,244,522 | ||
$556,177,191 |
6
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Medical & Health Technology & Services – 1.8% | ||||
Alcon, Inc., 2.75%, 9/23/2026 (n) | $ | 4,432,000 | $4,206,293 | |
Alcon, Inc., 3%, 9/23/2029 (n) | 11,067,000 | 10,150,846 | ||
Alcon, Inc., 2.6%, 5/27/2030 (n) | 4,431,000 | 3,884,019 | ||
CommonSpirit Health, 2.95%, 11/01/2022 | 9,078,000 | 9,088,306 | ||
DaVita, Inc., 4.625%, 6/01/2030 (n) | 15,220,000 | 12,480,400 | ||
HCA Healthcare, Inc., 4.375%, 3/15/2042 (n) | 14,385,000 | 12,327,499 | ||
HCA Healthcare, Inc., 4.625%, 3/15/2052 (n) | 9,681,000 | 8,440,624 | ||
HCA, Inc., 5.25%, 6/15/2026 | 6,743,000 | 6,842,047 | ||
HCA, Inc., 4.125%, 6/15/2029 | 14,251,000 | 13,714,638 | ||
Northwell Healthcare, Inc., 3.979%, 11/01/2046 | 3,110,000 | 2,749,647 | ||
Northwell Healthcare, Inc., 4.26%, 11/01/2047 | 9,132,000 | 8,253,278 | ||
ProMedica Toledo Hospital, “B”, 5.325%, 11/15/2028 | 23,983,000 | 22,422,846 | ||
ProMedica Toledo Hospital, “B”, 5.75%, 11/15/2038 | 9,026,000 | 9,434,576 | ||
Tower Health, 4.451%, 2/01/2050 | 22,087,000 | 13,252,200 | ||
$137,247,219 | ||||
Metals & Mining – 1.1% | ||||
Anglo American Capital PLC, 2.25%, 3/17/2028 (n) | $ | 10,712,000 | $9,380,937 | |
Anglo American Capital PLC, 3.875%, 3/16/2029 (n) | 16,098,000 | 15,108,325 | ||
Anglo American Capital PLC, 2.875%, 3/17/2031 (n) | 12,521,000 | 10,635,992 | ||
Anglo American Capital PLC, 4.75%, 3/16/2052 (n) | 20,205,000 | 17,579,599 | ||
Glencore Funding LLC, 4.125%, 5/30/2023 (n) | 5,720,000 | 5,698,150 | ||
Glencore Funding LLC, 2.85%, 4/27/2031 (n) | 17,296,000 | 14,599,386 | ||
Novelis Corp., 3.25%, 11/15/2026 (n) | 3,169,000 | 2,948,945 | ||
Novelis Corp., 3.875%, 8/15/2031 (n) | 11,091,000 | 9,482,805 | ||
$85,434,139 | ||||
Midstream – 2.0% | ||||
Cheniere Corpus Christi Holdings LLC, 2.742%, 12/31/2039 | $ | 16,500,000 | $13,284,057 | |
Cheniere Energy Partners LP, 4.5%, 10/01/2029 | 13,412,000 | 12,994,015 | ||
Enbridge, Inc., 4.25%, 12/01/2026 | 9,961,000 | 10,022,736 | ||
Kinder Morgan (Delaware), Inc., 7.75%, 1/15/2032 | 7,347,000 | 8,931,467 | ||
Kinder Morgan Energy Partners LP, 6.375%, 3/01/2041 | 6,112,000 | 6,348,015 | ||
Kinder Morgan Energy Partners LP, 5.4%, 9/01/2044 | 7,661,000 | 7,365,305 | ||
MPLX LP, 4.95%, 3/14/2052 | 32,980,000 | 30,217,225 | ||
ONEOK, Inc., 5.2%, 7/15/2048 | 13,639,000 | 12,670,035 | ||
Plains All American Pipeline LP/PAA Finance Corp., 3.55%, 12/15/2029 | 33,187,000 | 30,009,905 | ||
Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 | 5,255,000 | 5,133,921 | ||
Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | 5,465,000 | 5,404,791 | ||
Targa Resources Corp., 4.2%, 2/01/2033 | 4,099,000 | 3,850,084 | ||
Targa Resources Corp., 4.95%, 4/15/2052 | 6,758,000 | 6,045,197 | ||
$152,276,753 | ||||
Mortgage-Backed – 21.2% | ||||
Fannie Mae, 2.41%, 5/01/2023 | $ | 2,242,018 | $2,233,920 | |
Fannie Mae, 2.55%, 5/01/2023 | 1,154,326 | 1,150,710 | ||
Fannie Mae, 5%, 3/01/2024 - 3/01/2042 | 5,184,606 | 5,489,321 | ||
Fannie Mae, 5.25%, 8/01/2024 | 797,089 | 816,086 | ||
Fannie Mae, 4.5%, 5/01/2025 - 6/01/2044 | 24,038,184 | 24,972,457 | ||
Fannie Mae, 2.557%, 12/25/2026 | 8,472,435 | 8,272,576 | ||
Fannie Mae, 3.95%, 1/01/2027 | 595,472 | 617,548 | ||
Fannie Mae, 3.5%, 1/01/2028 - 12/01/2047 | 33,015,274 | 33,289,152 | ||
Fannie Mae, 3%, 11/01/2028 - 11/01/2048 | 30,613,711 | 30,069,679 | ||
Fannie Mae, 2.5%, 11/01/2031 - 11/01/2046 | 2,856,345 | 2,712,068 | ||
Fannie Mae, 6.5%, 11/01/2031 - 1/01/2033 | 54,117 | 58,076 | ||
Fannie Mae, 3%, 2/25/2033 (i) | 1,403,057 | 134,391 | ||
Fannie Mae, 5.5%, 3/01/2033 - 12/01/2038 | 4,932,694 | 5,276,364 | ||
Fannie Mae, 6%, 5/01/2034 - 10/01/2038 | 2,102,355 | 2,269,930 | ||
Fannie Mae, 3.25%, 5/25/2040 | 442,288 | 440,995 |
7
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Fannie Mae, 4%, 9/01/2040 - 12/01/2048 | $ | 40,843,785 | $41,991,911 | |
Fannie Mae, 2%, 10/25/2040 - 4/25/2046 | 920,027 | 886,979 | ||
Fannie Mae, 4%, 7/25/2046 (i) | 1,439,135 | 271,150 | ||
Fannie Mae, UMBS, 2%, 4/01/2037 - 4/01/2052 | 101,116,304 | 93,013,495 | ||
Fannie Mae, UMBS, 2.5%, 8/01/2037 - 4/01/2052 | 154,863,418 | 145,506,238 | ||
Fannie Mae, UMBS, 1.5%, 9/01/2041 - 2/01/2042 | 1,086,241 | 966,589 | ||
Fannie Mae, UMBS, 5.5%, 5/01/2044 | 2,055,940 | 2,207,302 | ||
Fannie Mae, UMBS, 3.5%, 5/01/2049 - 7/01/2052 | 49,739,366 | 49,292,745 | ||
Fannie Mae, UMBS, 3%, 6/01/2051 - 5/01/2052 | 34,713,941 | 33,656,110 | ||
Freddie Mac, 3.32%, 2/25/2023 | 4,839,132 | 4,831,321 | ||
Freddie Mac, 3.25%, 4/25/2023 - 11/25/2061 | 11,281,405 | 11,186,784 | ||
Freddie Mac, 3.06%, 7/25/2023 | 1,328,995 | 1,323,143 | ||
Freddie Mac, 3.531%, 7/25/2023 | 2,816,666 | 2,815,117 | ||
Freddie Mac, 3.458%, 8/25/2023 | 8,845,812 | 8,843,505 | ||
Freddie Mac, 2.67%, 12/25/2024 | 4,982,063 | 4,905,691 | ||
Freddie Mac, 2.811%, 1/25/2025 | 6,476,856 | 6,405,848 | ||
Freddie Mac, 3.329%, 5/25/2025 | 8,738,328 | 8,749,468 | ||
Freddie Mac, 4%, 7/01/2025 - 4/01/2044 | 4,896,372 | 5,038,979 | ||
Freddie Mac, 4.5%, 7/01/2025 - 5/01/2042 | 5,909,566 | 6,156,182 | ||
Freddie Mac, 3.3%, 10/25/2026 | 4,957,000 | 4,976,564 | ||
Freddie Mac, 3.117%, 6/25/2027 | 17,177,017 | 17,153,551 | ||
Freddie Mac, 3%, 6/15/2028 - 2/25/2059 | 29,082,937 | 28,530,147 | ||
Freddie Mac, 4.06%, 10/25/2028 | 9,501,000 | 9,908,098 | ||
Freddie Mac, 1.09%, 7/25/2029 (i) | 12,688,293 | 803,329 | ||
Freddie Mac, 1.144%, 8/25/2029 (i) | 22,354,215 | 1,476,670 | ||
Freddie Mac, 1.868%, 4/25/2030 (i) | 6,415,004 | 771,871 | ||
Freddie Mac, 5.5%, 8/01/2033 - 1/01/2038 | 1,134,493 | 1,212,594 | ||
Freddie Mac, 6%, 11/01/2033 - 7/01/2038 | 656,086 | 697,349 | ||
Freddie Mac, 5%, 11/01/2035 - 7/01/2041 | 2,382,383 | 2,527,720 | ||
Freddie Mac, 5.5%, 2/15/2036 (i) | 268,917 | 45,978 | ||
Freddie Mac, 3.5%, 11/01/2037 - 10/25/2058 | 21,273,421 | 21,432,436 | ||
Freddie Mac, 4.5%, 12/15/2040 (i) | 223,022 | 20,847 | ||
Freddie Mac, 4%, 8/15/2044 (i) | 300,503 | 33,979 | ||
Freddie Mac, UMBS, 3%, 11/01/2034 - 4/01/2052 | 25,728,409 | 24,995,418 | ||
Freddie Mac, UMBS, 2%, 4/01/2037 - 5/01/2052 | 225,338,336 | 204,239,120 | ||
Freddie Mac, UMBS, 2.5%, 8/01/2040 - 4/01/2052 | 40,144,490 | 37,568,099 | ||
Freddie Mac, UMBS, 3.5%, 12/01/2046 - 7/01/2052 | 30,775,840 | 30,539,143 | ||
Ginnie Mae, 5.5%, 11/15/2032 - 1/20/2042 | 822,463 | 888,338 | ||
Ginnie Mae, 6%, 2/15/2034 - 1/15/2038 | 673,064 | 722,896 | ||
Ginnie Mae, 4.5%, 4/15/2039 - 7/20/2049 | 10,762,334 | 11,198,071 | ||
Ginnie Mae, 4%, 10/20/2040 - 7/20/2041 | 2,510,602 | 2,584,970 | ||
Ginnie Mae, 3.5%, 11/15/2040 - 9/20/2048 | 15,454,913 | 15,613,551 | ||
Ginnie Mae, 3%, 11/20/2044 - 7/20/2052 | 74,972,727 | 73,319,958 | ||
Ginnie Mae, 2.5%, 8/20/2051 - 11/20/2051 | 41,905,520 | 39,844,116 | ||
Ginnie Mae, 2%, 1/20/2052 | 15,303,919 | 14,095,997 | ||
Ginnie Mae, TBA, 3.5%, 8/15/2052 | 43,186,608 | 42,990,919 | ||
Ginnie Mae, TBA, 4%, 8/15/2052 | 56,996,743 | 57,582,296 | ||
Ginnie Mae, TBA, 5%, 8/15/2052 | 25,475,000 | 26,106,899 | ||
Ginnie Mae, TBA, 4.5%, 8/18/2052 | 54,875,000 | 55,927,486 | ||
UMBS, TBA, 2.5%, 8/16/2037 - 9/14/2052 | 141,705,000 | 132,763,458 | ||
UMBS, TBA, 2%, 8/25/2037 - 9/25/2052 | 110,300,000 | 101,233,844 | ||
UMBS, TBA, 3%, 8/25/2037 | 14,834,693 | 14,728,358 | ||
UMBS, TBA, 4.5%, 8/11/2052 | 20,950,000 | 21,314,170 | ||
UMBS, TBA, 4%, 8/25/2052 | 16,150,000 | 16,230,119 | ||
UMBS, TBA, 5%, 8/25/2052 | 22,525,000 | 23,134,759 | ||
UMBS, TBA, 5.5%, 9/14/2052 | 11,625,000 | 11,996,455 | ||
$1,595,061,403 |
8
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Municipals – 1.8% | ||||
Bridgeview, IL, Stadium and Redevelopment Projects, Taxable, AAC, 5.06%, 12/01/2025 | $ | 2,065,000 | $2,043,375 | |
Bridgeview, IL, Stadium and Redevelopment Projects, Taxable, AAC, 5.14%, 12/01/2036 | 24,325,000 | 22,993,476 | ||
Escambia County, FL, Health Facilities Authority Rev., Taxable (Baptist Health Care Corp.), “B”, AGM, 3.607%, 8/15/2040 | 4,565,000 | 3,912,735 | ||
New Jersey Economic Development Authority State Pension Funding Rev., Capital Appreciation, Taxable, “B”, AGM, 0%, 2/15/2023 | 29,043,000 | 28,545,638 | ||
New Jersey Economic Development Authority State Pension Funding Rev., Taxable, “A”, NPFG, 7.425%, 2/15/2029 | 25,254,000 | 28,783,668 | ||
Oklahoma Development Finance Authority, Health System Rev., Taxable (OU Medicine Project), “C”, 5.45%, 8/15/2028 | 9,717,000 | 8,873,242 | ||
Philadelphia, PA, School District, Taxable, “B”, AGM, 6.615%, 6/01/2030 | 6,320,000 | 7,302,498 | ||
Philadelphia, PA, School District, Taxable, “B”, AGM, 6.765%, 6/01/2040 | 4,260,000 | 5,236,610 | ||
State of Florida, Taxable, “A”, 2.154%, 7/01/2030 | 29,316,000 | 25,959,028 | ||
$133,650,270 | ||||
Natural Gas - Distribution – 0.6% | ||||
Boston Gas Co., 3.15%, 8/01/2027 (n) | $ | 18,261,000 | $17,277,437 | |
KeySpan Gas East Corp., 2.742%, 8/15/2026 (n) | 13,855,000 | 13,097,014 | ||
NiSource, Inc., 3.6%, 5/01/2030 | 16,331,000 | 15,538,933 | ||
$45,913,384 | ||||
Network & Telecom – 0.9% | ||||
AT&T, Inc., 3.5%, 9/15/2053 | $ | 7,351,000 | $5,811,313 | |
AT&T, Inc., 3.55%, 9/15/2055 | 19,066,000 | 14,863,191 | ||
Verizon Communications, Inc., 2.1%, 3/22/2028 | 6,322,000 | 5,783,042 | ||
Verizon Communications, Inc., 2.55%, 3/21/2031 | 31,553,000 | 28,037,202 | ||
Verizon Communications, Inc., 4.272%, 1/15/2036 | 9,727,000 | 9,591,956 | ||
$64,086,704 | ||||
Oils – 0.2% | ||||
Marathon Petroleum Corp., 4.75%, 9/15/2044 | $ | 9,202,000 | $8,419,072 | |
Marathon Petroleum Corp., 5.85%, 12/15/2045 | 4,349,000 | 4,304,152 | ||
$12,723,224 | ||||
Other Banks & Diversified Financials – 1.7% | ||||
Bangkok Bank (Hong Kong), 3.733% to 9/25/2029, FLR (CMT - 5yr. + 1.9%) to 9/25/2034 (n) | $ | 17,102,000 | $15,087,042 | |
BBVA Bancomer S.A. de C.V., 6.75%, 9/30/2022 (n) | 3,408,000 | 3,412,260 | ||
Citigroup, Inc., 2.666% to 1/29/2030, FLR (SOFR - 1 day + 1.146%) to 1/29/2031 | 35,127,000 | 30,988,803 | ||
Groupe BPCE S.A., 4.5%, 3/15/2025 (n) | 7,743,000 | 7,645,970 | ||
Macquarie Bank Ltd. of London, 6.125% to 3/08/2027, FLR (Swap Rate - 5yr. + 4.332%) to 12/31/2165 (n) | 14,673,000 | 13,578,690 | ||
Macquarie Group Ltd., 4.442% to 6/21/2032, FLR (SOFR - 1 day + 2.405%) to 6/21/2033 (n) | 57,968,000 | 55,158,112 | ||
$125,870,877 | ||||
Pharmaceuticals – 0.5% | ||||
Jazz Securities DAC, 4.375%, 1/15/2029 (n) | $ | 23,655,000 | $22,776,217 | |
Organon Finance 1 LLC, 4.125%, 4/30/2028 (n) | 16,685,000 | 15,775,667 | ||
$38,551,884 | ||||
Real Estate - Office – 0.6% | ||||
Boston Properties Ltd. LP, REIT, 2.55%, 4/01/2032 | $ | 29,885,000 | $24,715,963 | |
Boston Properties Ltd. LP, REIT, 2.45%, 10/01/2033 | 27,176,000 | 21,598,424 | ||
$46,314,387 | ||||
Retailers – 0.2% | ||||
MercadoLibre, Inc., 3.125%, 1/14/2031 | $ | 20,686,000 | $15,965,286 | |
Specialty Stores – 0.3% | ||||
Penske Automotive Group Co., 3.75%, 6/15/2029 | $ | 21,146,000 | $19,031,400 |
9
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Telecommunications - Wireless – 1.9% | ||||
American Tower Corp., REIT, 2.75%, 1/15/2027 | $ | 5,838,000 | $5,469,274 | |
American Tower Corp., REIT, 3.55%, 7/15/2027 | 23,247,000 | 22,477,112 | ||
American Tower Corp., REIT, 3.8%, 8/15/2029 | 14,596,000 | 13,958,463 | ||
Crown Castle International Corp., REIT, 3.7%, 6/15/2026 | 3,555,000 | 3,507,027 | ||
Crown Castle International Corp., REIT, 4%, 3/01/2027 | 1,300,000 | 1,290,112 | ||
Crown Castle International Corp., REIT, 3.8%, 2/15/2028 | 4,492,000 | 4,369,955 | ||
Crown Castle International Corp., REIT, 3.25%, 1/15/2051 | 1,841,000 | 1,391,831 | ||
Rogers Communications, Inc., 4.5%, 3/15/2042 (n) | 27,147,000 | 25,606,235 | ||
Rogers Communications, Inc., 4.55%, 3/15/2052 (n) | 27,147,000 | 25,431,498 | ||
SBA Communications Corp., 3.125%, 2/01/2029 | 17,490,000 | 15,303,750 | ||
T-Mobile USA, Inc., 2.55%, 2/15/2031 | 28,722,000 | 25,114,265 | ||
T-Mobile USA, Inc., 4.375%, 4/15/2040 | 2,343,000 | 2,180,322 | ||
$146,099,844 | ||||
Tobacco – 0.8% | ||||
B.A.T. Capital Corp., 3.222%, 8/15/2024 | $ | 12,881,000 | $12,640,837 | |
B.A.T. Capital Corp., 4.906%, 4/02/2030 | 2,485,000 | 2,364,013 | ||
B.A.T. Capital Corp., 4.742%, 3/16/2032 | 26,499,000 | 24,278,313 | ||
B.A.T. International Finance PLC, 4.448%, 3/16/2028 | 23,935,000 | 22,919,132 | ||
$62,202,295 | ||||
Transportation - Services – 0.4% | ||||
Element Fleet Management Corp., 1.6%, 4/06/2024 (n) | $ | 13,697,000 | $13,078,701 | |
ERAC USA Finance LLC, 7%, 10/15/2037 (n) | 11,601,000 | 13,888,405 | ||
$26,967,106 | ||||
U.S. Government Agencies and Equivalents – 0.3% | ||||
Small Business Administration, 4.35%, 7/01/2023 | $ | 10,614 | $10,619 | |
Small Business Administration, 4.98%, 11/01/2023 | 17,449 | 17,441 | ||
Small Business Administration, 4.89%, 12/01/2023 | 20,964 | 20,852 | ||
Small Business Administration, 4.93%, 1/01/2024 | 19,858 | 19,804 | ||
Small Business Administration, 4.34%, 3/01/2024 | 35,209 | 34,847 | ||
Small Business Administration, 5.18%, 5/01/2024 | 27,928 | 27,989 | ||
Small Business Administration, 5.52%, 6/01/2024 | 25,600 | 25,566 | ||
Small Business Administration, 5.19%, 7/01/2024 | 31,874 | 31,821 | ||
Small Business Administration, 4.86%, 10/01/2024 | 28,082 | 27,911 | ||
Small Business Administration, 4.57%, 6/01/2025 | 85,913 | 87,110 | ||
Small Business Administration, 4.76%, 9/01/2025 | 321,227 | 316,637 | ||
Small Business Administration, 5.39%, 12/01/2025 | 18,063 | 18,094 | ||
Small Business Administration, 5.35%, 2/01/2026 | 109,022 | 109,615 | ||
Small Business Administration, 3.25%, 11/01/2030 | 726,386 | 713,850 | ||
Small Business Administration, 2.85%, 9/01/2031 | 1,244,083 | 1,246,172 | ||
Small Business Administration, 2.37%, 8/01/2032 | 747,491 | 731,245 | ||
Small Business Administration, 2.13%, 1/01/2033 | 1,448,886 | 1,385,765 | ||
Small Business Administration, 2.21%, 2/01/2033 | 383,676 | 366,692 | ||
Small Business Administration, 2.22%, 3/01/2033 | 1,372,157 | 1,309,859 | ||
Small Business Administration, 2.08%, 4/01/2033 | 2,501,776 | 2,395,240 | ||
Small Business Administration, 2.45%, 6/01/2033 | 2,746,829 | 2,634,121 | ||
Small Business Administration, 3.15%, 7/01/2033 | 3,337,749 | 3,289,454 | ||
Small Business Administration, 3.16%, 8/01/2033 | 3,513,952 | 3,512,000 | ||
Small Business Administration, 3.62%, 9/01/2033 | 2,092,388 | 2,121,626 | ||
$20,454,330 | ||||
U.S. Treasury Obligations – 19.4% | ||||
U.S. Treasury Bonds, 1.125%, 8/15/2040 | $ | 27,300,000 | $19,380,867 | |
U.S. Treasury Bonds, 1.375%, 11/15/2040 | 74,100,000 | 54,738,481 | ||
U.S. Treasury Bonds, 1.75%, 8/15/2041 | 67,500,000 | 52,734,375 | ||
U.S. Treasury Bonds, 2.375%, 2/15/2042 | 61,700,000 | 53,736,844 | ||
U.S. Treasury Bonds, 2.875%, 5/15/2043 | 58,777,000 | 54,931,239 |
10
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Treasury Obligations – continued | ||||
U.S. Treasury Bonds, 2.5%, 2/15/2045 (f) | $ | 29,323,000 | $25,421,666 | |
U.S. Treasury Bonds, 2.875%, 11/15/2046 | 27,653,000 | 25,716,210 | ||
U.S. Treasury Bonds, 3%, 2/15/2048 | 19,900,000 | 19,143,645 | ||
U.S. Treasury Bonds, 2.375%, 11/15/2049 | 34,500,000 | 29,853,281 | ||
U.S. Treasury Bonds, 1.625%, 11/15/2050 | 67,800,000 | 48,868,969 | ||
U.S. Treasury Bonds, 2.25%, 2/15/2052 | 16,600,000 | 13,998,469 | ||
U.S. Treasury Notes, 0.125%, 12/31/2022 | 154,950,000 | 153,218,917 | ||
U.S. Treasury Notes, 2.75%, 5/31/2023 | 138,210,500 | 137,956,754 | ||
U.S. Treasury Notes, 0.375%, 10/31/2023 | 140,000,000 | 135,614,063 | ||
U.S. Treasury Notes, 0.75%, 12/31/2023 | 505,000,000 | 489,613,281 | ||
U.S. Treasury Notes, 0.875%, 6/30/2026 | 120,000,000 | 111,595,313 | ||
U.S. Treasury Notes, 2.5%, 3/31/2027 | 33,400,000 | 33,085,570 | ||
$1,459,607,944 | ||||
Utilities - Electric Power – 1.9% | ||||
AEP Transmission Co. LLC, 4%, 12/01/2046 | $ | 7,457,000 | $6,675,116 | |
Calpine Corp., 3.75%, 3/01/2031 (n) | 16,125,000 | 14,313,759 | ||
Clearway Energy Operating LLC, 4.75%, 3/15/2028 (n) | 7,175,000 | 6,941,812 | ||
Enel Finance International N.V., 3.5%, 4/06/2028 (n) | 30,284,000 | 28,056,235 | ||
Evergy, Inc., 2.9%, 9/15/2029 | 3,000,000 | 2,714,723 | ||
FirstEnergy Corp., 2.65%, 3/01/2030 | 15,914,000 | 14,004,320 | ||
FirstEnergy Corp., 5.35%, 7/15/2047 | 6,821,000 | 6,111,241 | ||
FirstEnergy Corp., 3.4%, 3/01/2050 | 9,936,000 | 7,415,734 | ||
Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | 21,954,000 | 19,354,041 | ||
Pacific Gas & Electric Co., 3%, 6/15/2028 | 11,170,000 | 9,836,757 | ||
Pacific Gas & Electric Co., 3.3%, 8/01/2040 | 34,169,000 | 24,937,437 | ||
$140,361,175 | ||||
Total Bonds | $7,409,742,727 | |||
Investment Companies (h) – 7.6% | ||||
Money Market Funds – 7.6% | ||||
MFS Institutional Money Market Portfolio, 1.72% (v) | 570,963,731 | $570,963,731 | ||
Other Assets, Less Liabilities – (6.1)% | (456,799,294) | |||
Net Assets – 100.0% | $7,523,907,164 |
(a) | Non-income producing security. | |||
(d) | In default. | |||
(f) | All or a portion of the security has been segregated as collateral for open futures contracts. | |||
(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 $570,963,731 and $7,409,742,727, 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 $2,048,724,187, representing 27.2% of net assets. | |||
(p) | Payment-in-kind (PIK) security for which interest income may be received in additional securities and/or cash. | |||
(q) | Interest received was less than stated coupon rate. | |||
(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: | |
AAC | Ambac Assurance Corp. |
AGM | Assured Guaranty Municipal |
CDO | Collateralized Debt Obligation |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
11
Portfolio of Investments (unaudited) – continued
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. |
LIBOR | London Interbank Offered Rate |
NPFG | National Public Finance Guarantee Corp. |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
UMBS | Uniform Mortgage-Backed Security |
Derivative Contracts at 7/31/22 | ||||||
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Note 5 yr | Long | USD | 3,216 | $365,744,627 | September – 2022 | $5,133,247 |
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Note 2 yr | Long | USD | 2,719 | $572,243,290 | September – 2022 | $(2,739,517) |
U.S. Treasury Ultra Bond | Long | USD | 2,311 | 365,860,188 | September – 2022 | (1,352,989) |
U.S. Treasury Ultra Note 10 yr | Short | USD | 756 | 99,225,000 | September – 2022 | (1,395,183) |
$(5,487,689) |
At July 31, 2022, the fund had liquid securities with an aggregate value of $23,346,964 to cover any collateral or margin obligations for certain derivative contracts.
See attached supplemental information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.
12
Supplemental Information
7/31/22 (unaudited)
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.
(1) Investment Valuations
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. Open-end investment companies are generally valued at net asset value per share. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. 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, and other market data. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.
The Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments (including any fair valuation) to the adviser pursuant to valuation policies and procedures approved by the Board. If the adviser determines that reliable market quotations are not readily available, investments are valued at fair value as determined in good faith by the adviser in accordance with such procedures under the oversight of the Board of Trustees. Under the fund’s valuation policies and procedures, market quotations are not considered to be readily available for most types of debt instruments and floating rate loans and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services. In addition, investments may be valued at fair value if the adviser determines that an investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund’s net asset value, or after the 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 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. The following is a summary of the levels used as of July 31, 2022 in valuing the fund's assets and liabilities:
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | $— | $1,480,062,274 | $— | $1,480,062,274 |
Non - U.S. Sovereign Debt | — | 10,740,458 | — | 10,740,458 |
Municipal Bonds | — | 133,650,270 | — | 133,650,270 |
U.S. Corporate Bonds | — | 2,011,613,071 | — | 2,011,613,071 |
Residential Mortgage-Backed Securities | — | 1,596,866,619 | — | 1,596,866,619 |
Commercial Mortgage-Backed Securities | — | 571,153,732 | — | 571,153,732 |
Asset-Backed Securities (including CDOs) | — | 730,863,618 | — | 730,863,618 |
Foreign Bonds | — | 874,792,685 | — | 874,792,685 |
Mutual Funds | 570,963,731 | — | — | 570,963,731 |
Total | $570,963,731 | $7,409,742,727 | $— | $7,980,706,458 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $5,133,247 | $— | $— | $5,133,247 |
Futures Contracts – Liabilities | (5,487,689) | — | — | (5,487,689) |
For further information regarding security characteristics, see the Portfolio of Investments.
13
Supplemental Information (unaudited) – continued
(2) 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 | $663,218,414 | $382,840,383 | $475,090,981 | $(17,315) | $13,230 | $570,963,731 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $186,555 | $— |
(3) Russia and Ukraine Conflict
The market disruptions, which began in late February 2022, associated with geopolitical events related to the conflict between Russia and Ukraine may adversely affect the value of the fund’s assets and thus the fund’s performance. Management continues to monitor these events and to evaluate the related impacts, if any, to the fund.
14