Quarterly Report
January 31, 2023
MFS® Limited Maturity Fund
MQL-Q3
Portfolio of Investments
1/31/23 (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 – 97.7% | ||||
Aerospace & Defense – 1.2% | ||||
Boeing Co., 1.167%, 2/04/2023 | $ | 6,459,000 | $6,457,910 | |
Boeing Co., 1.433%, 2/04/2024 | 13,868,000 | 13,365,701 | ||
Boeing Co., 2.196%, 2/04/2026 | 11,032,000 | 10,199,393 | ||
Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 | 6,464,000 | 6,269,622 | ||
Raytheon Technologies Corp., 3.65%, 8/16/2023 | 362,000 | 359,359 | ||
$36,651,985 | ||||
Asset-Backed & Securitized – 20.0% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.029%, 11/15/2054 (i) | $ | 90,990,081 | $5,159,320 | |
ACREC 2021-FL1 Ltd., “AS”, FLR, 5.97% (LIBOR - 1mo. + 1.5%), 10/16/2036 (n) | 5,944,500 | 5,696,345 | ||
ACREC 2021-FL1 Ltd., “B”, FLR, 6.27% (LIBOR - 1mo. + 1.8%), 10/16/2036 (n) | 11,776,000 | 11,284,135 | ||
ACREC 2021-FL1 Ltd., “C”, FLR, 6.62% (LIBOR - 1mo. + 2.15%), 10/16/2036 (n) | 5,972,500 | 5,700,293 | ||
ACRES 2021-FL2 Issuer Ltd., “B”, FLR, 6.714% (LIBOR - 1mo. + 2.25%), 1/15/2037 (n) | 6,994,000 | 6,758,793 | ||
Allegro CLO Ltd., 2014-1RA, “A2”, FLR, 6.415% (LIBOR - 3mo. + 1.6%), 10/21/2028 (n) | 776,747 | 767,590 | ||
AmeriCredit Automobile Receivables Trust, 2020-1, “C”, 1.59%, 10/20/2025 | 2,663,000 | 2,583,665 | ||
AmeriCredit Automobile Receivables Trust, 2022-2, “A2A”, 4.2%, 12/18/2025 | 7,538,590 | 7,486,713 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “B”, FLR, 5.923% (LIBOR - 1mo. + 1.5%), 12/15/2035 (n) | 1,833,000 | 1,702,533 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “C”, FLR, 6.423% (LIBOR - 1mo. + 2%), 12/15/2035 (n) | 752,000 | 712,151 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “B”, FLR, 6.054% (LIBOR - 1mo. + 1.6%), 8/15/2034 (n) | 3,008,500 | 2,755,371 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “C”, FLR, 6.304% (LIBOR - 1mo. + 1.85%), 8/15/2034 (n) | 1,746,500 | 1,580,055 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL4, “AS”, FLR, 6.154% (LIBOR - 1mo. + 1.7%), 11/15/2036 (n) | 11,713,500 | 11,502,015 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL4, “B”, FLR, 6.454% (LIBOR - 1mo. + 2%), 11/15/2036 (n) | 7,713,500 | 7,484,902 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL4, “C”, FLR, 6.754% (LIBOR - 1mo. + 2.3%), 11/15/2036 (n) | 4,645,000 | 4,438,661 | ||
Arbor Realty Trust, Inc., CLO, 2022-FL1, “C”, FLR, 6.578% (SOFR - 30 day + 2.3%), 1/15/2037 (n) | 12,447,500 | 11,741,208 | ||
AREIT 2019-CRE3 Trust, “A”, FLR, 5.867% (LIBOR - 1mo. + 1.02%), 9/14/2036 (n) | 442,959 | 438,087 | ||
AREIT 2019-CRE3 Trust, “AS”, FLR, 5.897% (LIBOR - 1mo. + 1.3%), 9/14/2036 (n) | 2,301,000 | 2,242,219 | ||
AREIT 2019-CRE3 Trust, “B”, FLR, 6.147% (LIBOR - 1mo. + 1.55%), 9/14/2036 (n) | 1,136,500 | 1,093,707 | ||
AREIT 2019-CRE3 Trust, “C”, FLR, 6.497% (SOFR - 1mo. + 2.014%), 9/14/2036 (n) | 940,000 | 891,998 | ||
AREIT 2022-CRE6 Trust, “C”, FLR, 6.46% (SOFR - 30 day + 2.15%), 1/16/2037 (n) | 4,174,000 | 3,884,558 | ||
AREIT 2022-CRE6 Trust, “D”, FLR, 7.16% (SOFR - 30 day + 2.85%), 12/17/2024 (n) | 2,549,000 | 2,359,268 | ||
AREIT 2022-CRE7 LLC, “B”, FLR, 7.726% (SOFR - 1mo. + 3.244%), 6/17/2039 (n) | 12,436,500 | 12,159,713 | ||
ARI Fleet Lease Trust, 2020-A, “A3”, 1.8%, 8/15/2028 (n) | 1,112,617 | 1,109,939 | ||
Balboa Bay Loan Funding Ltd., 2020-1A, “BR”, FLR, 6.457% (LIBOR - 3mo. + 1.65%), 1/20/2032 (n) | 7,353,970 | 7,110,914 | ||
Balboa Bay Loan Funding Ltd., 2020-1A, “CR”, FLR, 6.908% (LIBOR - 3mo. + 2.1%), 1/20/2032 (n) | 3,983,401 | 3,767,305 | ||
Ballyrock CLO 2018-1A Ltd., “A2”, FLR, 6.407% (LIBOR - 3mo. + 1.6%), 4/20/2031 (n) | 4,282,847 | 4,188,955 | ||
Ballyrock CLO 2018-1A Ltd., “B”, FLR, 6.707% (LIBOR - 3mo. + 1.9%), 4/20/2031 (n) | 1,814,958 | 1,741,540 | ||
Bayview Commercial Asset Trust, FLR, 4.971% (LIBOR - 1mo. + 0.31%), 8/25/2035 (n) | 199,075 | 184,280 | ||
Bayview Financial Revolving Mortgage Loan Trust, FLR, 6.147% (LIBOR - 1mo. + 1.6%), 12/28/2040 (n) | 151,902 | 189,096 | ||
BBCMS Mortgage Trust, 2018-C2, “XA”, 0.757%, 12/15/2051 (i)(n) | 63,104,447 | 2,157,472 | ||
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.296%, 7/15/2054 (i) | 36,314,859 | 2,639,324 | ||
BBCMS Mortgage Trust, 2021-C11, “XA”, 1.382%, 9/15/2054 (i) | 39,295,698 | 3,017,595 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.624%, 2/15/2054 (i) | 55,059,998 | 5,002,096 | ||
BDS 2021-FL10 Ltd., “B”, FLR, 6.42% (LIBOR - 1mo. + 1.95%), 12/16/2036 (n) | 3,637,500 | 3,510,477 | ||
BDS 2021-FL10 Ltd., “C”, FLR, 6.639% (LIBOR - 1mo. + 2.3%), 12/16/2036 (n) | 2,645,500 | 2,539,906 | ||
Benchmark 2021-B23 Mortgage Trust, “XA”, 1.271%, 2/15/2054 (i) | 60,359,577 | 4,080,664 | ||
Benchmark 2021-B24 Mortgage Trust, “XA”, 1.151%, 3/15/2054 (i) | 38,472,944 | 2,349,031 | ||
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.267%, 7/15/2054 (i) | 71,405,468 | 5,154,996 | ||
Benchmark 2021-B28 Mortgage Trust, “XA”, 1.283%, 8/15/2054 (i) | 53,489,753 | 3,879,467 | ||
Benchmark 2021-B29 Mortgage Trust, “XA”, 1.042%, 9/15/2054 (i) | 78,355,309 | 4,371,787 | ||
BSPDF 2021-FL1 Issuer Ltd., “AS”, FLR, 5.934% (LIBOR - 1mo. + 1.48%), 10/15/2036 (n) | 4,140,000 | 4,022,080 | ||
BSPDF 2021-FL1 Issuer Ltd., “B”, FLR, 6.254% (LIBOR - 1mo. + 1.8%), 10/15/2036 (n) | 3,130,500 | 2,960,307 | ||
BSPDF 2021-FL1 Issuer Ltd., “C”, FLR, 6.704% (LIBOR - 1mo. + 2.25%), 10/15/2036 (n) | 8,000,000 | 7,581,688 | ||
BSPRT 2019-FL5 Issuer Ltd., “C”, FLR, 6.454% (LIBOR - 1mo. + 2%), 5/09/2029 (n) | 3,000,000 | 2,926,587 | ||
BSPRT 2021-FL6 Issuer Ltd., “C”, FLR, 6.504% (LIBOR - 1mo. + 2.05%), 3/15/2036 (n) | 2,447,500 | 2,243,109 | ||
BSPRT 2021-FL7 Issuer Ltd., “B”, FLR, 6.504% (LIBOR - 1mo. + 2.05%), 12/15/2038 (n) | 1,552,000 | 1,449,452 | ||
BSPRT 2021-FL7 Issuer Ltd., “C”, FLR, 6.754% (LIBOR - 1mo. + 2.3%), 12/15/2038 (n) | 1,869,500 | 1,733,288 |
1
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
BSPRT 2022-FL8 Issuer Ltd., “A”, FLR, 5.778% (SOFR - 30 day + 1.5%), 2/15/2037 (n) | $ | 14,846,500 | $14,510,697 | |
BSPRT 2022-FL8 Issuer Ltd., “B”, FLR, 6.329% (SOFR - 30 day + 2.05%), 2/15/2037 (n) | 2,054,500 | 1,984,935 | ||
BSPRT 2022-FL8 Issuer Ltd., “C”, FLR, 6.578% (SOFR - 30 day + 2.3%), 2/15/2037 (n) | 3,317,000 | 3,157,036 | ||
Business Jet Securities LLC, 2020-1A, “A”, 2.981%, 11/15/2035 (n) | 823,598 | 755,676 | ||
Business Jet Securities LLC, 2021-1A, “A”, 2.162%, 4/15/2036 (n) | 1,582,045 | 1,421,784 | ||
Business Jet Securities LLC, 2021-1A, “B”, 2.918%, 4/15/2036 (n) | 300,623 | 261,907 | ||
BXMT 2020-FL2 Ltd., “B”, FLR, 5.997% (LIBOR - 1mo. + 1.4%), 2/15/2038 (n) | 5,795,500 | 5,480,318 | ||
BXMT 2020-FL2 Ltd., “A”, FLR, 5.497% (LIBOR - 1mo. + 0.9%), 2/15/2038 (n) | 6,977,086 | 6,872,974 | ||
BXMT 2021-FL4 Ltd., “AS”, FLR, 5.759% (LIBOR - 1mo. + 1.3%), 5/15/2038 (n) | 12,062,500 | 11,564,710 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 2,192,523 | 2,071,210 | ||
C-BASS Mortgage Loan Trust, 2007-CB1, “AF3”, 3.11%, 1/25/2037 (d)(q) | 1,667,776 | 531,090 | ||
C-BASS Mortgage Loan Trust, 2007-CB3, “A3”, 3.27%, 3/25/2037 (d)(q) | 2,239,558 | 855,952 | ||
CD 2017-CD4 Mortgage Trust, “XA”, 1.226%, 5/10/2050 (i) | 35,341,196 | 1,381,848 | ||
CF Hippolyta Issuer LLC, 2020-1, “A1”, 1.69%, 7/15/2060 (n) | 1,573,950 | 1,422,339 | ||
CF Hippolyta Issuer LLC, 2020-1, “B1”, 2.28%, 7/15/2060 (n) | 501,588 | 446,261 | ||
Commercial Equipment Finance 2021-A, LLC, “A”, 2.05%, 2/16/2027 (n) | 2,961,230 | 2,855,832 | ||
Commercial Mortgage Pass-Through Certificates, 2019-BN24, “XA”, 0.64%, 11/15/2062 (i) | 34,656,308 | 1,216,630 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN31, “XA”, 1.324%, 2/15/2054 (i) | 52,869,292 | 3,986,815 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.779%, 4/15/2054 (i) | 48,864,772 | 2,126,399 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN34, “XA”, 0.976%, 6/15/2063 (i) | 55,870,038 | 3,111,749 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.046%, 6/15/2064 (i) | 31,932,941 | 1,909,271 | ||
Credit Acceptance Auto Loan Trust, 2021-4, “B”, 1.74%, 12/16/2030 (n) | 3,258,000 | 3,028,051 | ||
Credit Acceptance Auto Loan Trust, 2021-2A, “A”, 0.96%, 2/15/2030 (n) | 2,192,000 | 2,116,726 | ||
Credit Acceptance Auto Loan Trust, 2021-2A, “B”, 1.26%, 4/15/2030 (n) | 1,037,000 | 957,752 | ||
Credit Acceptance Auto Loan Trust, 2021-3A, “B”, 1.38%, 7/15/2030 (n) | 1,499,000 | 1,390,160 | ||
Credit Acceptance Auto Loan Trust, 2021-3A, “C”, 1.63%, 9/16/2030 (n) | 916,000 | 833,242 | ||
Credit Acceptance Auto Loan Trust, 2021-4, “A”, 1.26%, 10/15/2030 (n) | 1,778,000 | 1,679,409 | ||
Cutwater 2015-1A Ltd., “AR”, FLR, 6.012% (LIBOR - 3mo. + 1.22%), 1/15/2029 (n) | 1,966,959 | 1,958,141 | ||
Dryden Senior Loan Fund, 2017-49A, “BR”, CLO, FLR, 6.394% (LIBOR - 3mo. + 1.6%), 7/18/2030 (n) | 9,054,010 | 8,844,772 | ||
DT Auto Owner Trust 2022-3A, “A”, 6.05%, 10/15/2026 (n) | 7,925,512 | 7,955,919 | ||
DT Auto Owner Trust 2022-3A, “B”, 6.74%, 7/17/2028 (n) | 5,250,000 | 5,371,682 | ||
DT Auto Owner Trust 2022-3A, “C”, 7.69%, 7/17/2028 (n) | 2,000,000 | 2,073,464 | ||
Enterprise Fleet Financing LLC, 2022-4, “A2”, 5.76%, 10/22/2029 (n) | 6,250,000 | 6,315,594 | ||
Fortress CBO Investments Ltd., 2022-FL3, “A”, FLR, 6.16% (SOFR - 30 day + 1.85%), 2/23/2039 (n) | 8,935,000 | 8,662,340 | ||
Fortress CBO Investments Ltd., 2022-FL3, “AS”, FLR, 6.56% (SOFR - 30 day + 2.25%), 2/23/2039 (n) | 8,299,000 | 7,971,181 | ||
GLS Auto Receivables Trust, 2021-3A, “B”, 0.78%, 11/17/2025 (n) | 4,655,544 | 4,548,689 | ||
GS Mortgage Securities Trust, 2017-GS6, “XA”, 1.012%, 5/10/2050 (i) | 38,643,696 | 1,357,240 | ||
GS Mortgage Securities Trust, 2017-GS7, “XA”, 1.082%, 8/10/2050 (i) | 36,818,443 | 1,300,258 | ||
GS Mortgage Securities Trust, 2020-GC47, “A5”, 1.129%, 5/12/2053 (i) | 39,159,911 | 2,448,560 | ||
IMPAC CMB Trust, FLR, 5.246% (LIBOR - 1mo. + 0.74%), 11/25/2034 | 34,521 | 33,655 | ||
IMPAC CMB Trust, FLR, 5.426% (LIBOR - 1mo. + 0.92%), 11/25/2034 | 36,338 | 35,663 | ||
IMPAC Secured Assets Corp., FLR, 5.205% (LIBOR - 1mo. + 0.35%), 5/25/2036 | 54,727 | 46,488 | ||
Interstar Millennium Trust, FLR, 5.152% (LIBOR - 3mo. + 0.4%), 3/14/2036 | 23,129 | 22,150 | ||
Jamestown CLO Ltd., 2020-15A, “C”, FLR, 7.242% (LIBOR - 3mo. + 2.45%), 4/15/2033 (n) | 14,432,415 | 13,708,081 | ||
JPMorgan Chase Commercial Mortgage Securities Corp., 0.987%, 9/15/2050 (i) | 40,045,060 | 1,266,926 | ||
LAD Auto Receivables Trust, 2022-1A, “A”, 5.21%, 6/15/2027 (n) | 4,836,611 | 4,773,322 | ||
LoanCore 2018-CRE1 Ltd., “AS”, FLR, 5.959% (LIBOR - 1mo. + 1.5%), 5/15/2028 (n) | 3,303,917 | 3,291,306 | ||
LoanCore 2018-CRE1 Ltd., “C”, FLR, 7.009% (LIBOR - 1mo. + 2.55%), 5/15/2028 (n) | 1,859,500 | 1,807,514 | ||
LoanCore 2019-CRE3 Ltd., “AS”, FLR, 5.829% (LIBOR - 1mo. + 1.37%), 4/15/2034 (n) | 6,052,584 | 6,079,790 | ||
LoanCore 2021-CRE5 Ltd., “AS”, FLR, 6.204% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | 8,481,500 | 8,041,897 | ||
LoanCore 2021-CRE5 Ltd., “B”, FLR, 6.454% (LIBOR - 1mo. + 2%), 7/15/2036 (n) | 3,588,000 | 3,389,339 | ||
Madison Park Funding Ltd., 2014-13A, “BR2”, FLR, 6.297% (LIBOR - 3mo. + 1.5%), 4/19/2030 (n) | 6,806,093 | 6,697,025 | ||
Magnetite CLO Ltd., 2015-16A, “BR”, FLR, 5.995% (LIBOR - 3mo. + 1.2%), 1/18/2028 (n) | 9,726,000 | 9,593,785 | ||
Merrill Lynch Mortgage Investors, Inc., 1.315%, 2/25/2037 (a)(d) | 1,660,442 | 228,363 | ||
MF1 2020-FL4 Ltd., “B”, FLR, 7.347% (LIBOR - 1mo. + 2.75%), 11/15/2035 (n) | 10,472,500 | 10,459,587 | ||
MF1 2021-FL5 Ltd., “B”, FLR, 6.047% (LIBOR - 1mo. + 1.45%), 7/15/2036 (n) | 13,063,500 | 12,618,654 | ||
MF1 2021-FL5 Ltd., “C”, FLR, 6.297% (LIBOR - 1mo. + 1.7%), 7/15/2036 (n) | 3,716,500 | 3,468,669 | ||
MF1 2021-FL6 Ltd., “B”, FLR, 6.12% (LIBOR - 1mo. + 1.65%), 7/16/2036 (n) | 10,716,294 | 10,175,200 | ||
MF1 2022-FL8 Ltd., “C”, FLR, 6.509% (SOFR - 30 day + 2.2%), 2/19/2037 (n) | 2,198,259 | 2,060,067 |
2
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
MF1 2022-FL9 Ltd., “B”, FLR, 7.638% (SOFR - 1mo. + 3.15%), 6/19/2037 (n) | $ | 15,126,500 | $14,804,260 | |
Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C33, “XA”, 1.251%, 5/15/2050 (i) | 33,733,869 | 1,302,863 | ||
Morgan Stanley Capital I Trust, 2017-H1, “XA”, 1.324%, 6/15/2050 (i) | 16,463,365 | 604,538 | ||
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 0.831%, 12/15/2051 (i) | 52,369,200 | 1,903,238 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.296%, 5/15/2054 (i) | 45,319,379 | 3,135,852 | ||
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.227%, 6/15/2054 (i) | 43,371,787 | 2,752,690 | ||
Navistar Financial Dealer Note Master Owner Trust, 2022-1, “A”, FLR, 5.56% (SOFR - 30 day + 1.25%), 5/25/2027 (n) | 10,812,000 | 10,848,108 | ||
NextGear Floorplan Master Owner Trust, 2022-1A, “A1”, FLR, 5.328% (SOFR - 30 day + 1.05%), 3/15/2027 (n) | 6,113,000 | 6,114,400 | ||
Oaktree CLO 2019-1A Ltd., “BR”, FLR, 6.565% (LIBOR - 3mo. + 1.75%), 4/22/2030 (n) | 8,692,908 | 8,433,329 | ||
Oaktree CLO 2019-1A Ltd., “CR”, FLR, 7.165% (LIBOR - 3mo. + 2.35%), 4/22/2030 (n) | 7,442,908 | 7,102,112 | ||
OneMain Financial Issuance Trust, 2020-1A, “A”, 3.84%, 5/14/2032 (n) | 3,133,500 | 3,113,642 | ||
OneMain Financial Issuance Trust, 2020-2A, “A”, 1.75%, 9/14/2035 (n) | 8,570,000 | 7,636,607 | ||
OneMain Financial Issuance Trust, 2022-S1, “A”, 4.13%, 5/14/2035 (n) | 5,509,000 | 5,357,015 | ||
Ownit Mortgage Loan Asset-Backed Certificates, 3.116%, 10/25/2035 | 1,043,205 | 607,044 | ||
Palmer Square Loan Funding 2020-1A Ltd., “A2”, FLR, 6.025% (LIBOR - 3mo. + 1.35%), 2/20/2028 (n) | 13,000,000 | 12,844,936 | ||
PFP III 2021-7 Ltd., “B”, FLR, 5.854% (LIBOR - 1mo. + 1.4%), 4/14/2038 (n) | 3,004,350 | 2,812,069 | ||
PFP III 2021-7 Ltd., “C”, FLR, 6.104% (LIBOR - 1mo. + 1.65%), 4/14/2038 (n) | 955,952 | 889,594 | ||
PFP III 2021-8 Ltd., “B”, FLR, 5.954% (LIBOR - 1mo. + 1.5%), 8/09/2037 (n) | 3,244,500 | 3,049,979 | ||
Progress Residential 2021-SFR1 Trust, “B”, 1.303%, 4/17/2038 (n) | 1,210,000 | 1,062,067 | ||
Progress Residential 2021-SFR1 Trust, “C”, 1.555%, 4/17/2038 (n) | 908,000 | 793,962 | ||
Securitized Term Auto Receivable Trust, 2019-CRTA, “B”, 2.453%, 3/25/2026 (n) | 210,085 | 209,122 | ||
Securitized Term Auto Receivable Trust, 2019-CRTA, “C”, 2.849%, 3/25/2026 (n) | 269,148 | 268,034 | ||
Shackleton 2013-4RA CLO Ltd., “B”, FLR, 6.715% (LIBOR - 3mo. + 1.9%), 4/13/2031 (n) | 2,268,542 | 2,112,591 | ||
Shackleton 2015-8A CLO Ltd., “CR”, FLR, 6.458% (LIBOR - 3mo. + 1.65%), 10/20/2027 (n) | 2,414,922 | 2,359,847 | ||
Shelter Growth CRE 2021-FL3 Ltd., “C”, FLR, 6.604% (LIBOR - 1mo. + 2.15%), 9/15/2036 (n) | 6,411,000 | 6,043,673 | ||
Southwick Park CLO, Ltd., 2019-4A, “B1R”, FLR, 6.307% (LIBOR - 3mo. + 1.5%), 7/20/2032 (n) | 2,957,000 | 2,877,735 | ||
Southwick Park CLO, Ltd., 2019-4A, “B2R”, 2.46%, 7/20/2032 (n) | 5,142,000 | 4,388,815 | ||
Southwick Park CLO, Ltd., 2019-4A, “CR”, FLR, 6.757% (LIBOR - 3mo. + 1.95%), 7/20/2032 (n) | 7,004,000 | 6,695,677 | ||
Starwood Commercial Mortgage, 2021-FL2, “B”, FLR, 6.27% (LIBOR - 1mo. + 1.8%), 4/18/2038 (n) | 8,644,500 | 8,186,559 | ||
Stratus CLO 2022-3A, Ltd., “C”, FLR, 8.198% (SOFR - 3mo. + 4%), 10/20/2031 (n) | 8,000,000 | 7,972,608 | ||
Thornburg Mortgage Securities Trust, FLR, 5.185% (LIBOR - 1mo. + 0.68%), 4/25/2043 | 24,879 | 24,735 | ||
TICP CLO 2018-3R Ltd., “B”, FLR, 6.157% (LIBOR - 3mo. + 1.35%), 4/20/2028 (n) | 2,132,575 | 2,117,619 | ||
TICP CLO 2018-3R Ltd., “C”, FLR, 6.607% (LIBOR - 3mo. + 1.8%), 4/20/2028 (n) | 3,742,444 | 3,688,613 | ||
TPG Real Estate Finance, 2021-FL4, “AS”, FLR, 5.864% (LIBOR - 1mo. + 1.4%), 3/15/2038 (n) | 6,062,000 | 5,760,470 | ||
TPG Real Estate Finance, 2021-FL4, “B”, FLR, 6.314% (LIBOR - 1mo. + 1.85%), 3/15/2038 (n) | 13,226,000 | 12,563,034 | ||
UBS Commercial Mortgage Trust, 2017-C1, “XA”, 1.014%, 11/15/2050 (i) | 23,696,419 | 838,263 | ||
UBS Commercial Mortgage Trust, 2018-C14, “XA”, 0.91%, 12/15/2051 (i) | 21,392,789 | 851,315 | ||
Wells Fargo Commercial Mortgage Trust, 2021-C61, “XA”, 1.368%, 11/15/2054 (i) | 47,206,491 | 3,551,760 | ||
Westlake Automobile Receivable Trust, 2023-1A, “A2B”, FLR, 5.25% (SOFR - 1mo. + 0.85%), 6/15/2026 (n) | 3,076,000 | 3,075,986 | ||
World Omni Auto Receivables Trust, 3.67%, 6/15/2027 | 3,072,000 | 2,997,823 | ||
$596,623,333 | ||||
Automotive – 2.4% | ||||
Daimler Trucks Finance North America LLC, 1.625%, 12/13/2024 (n) | $ | 10,519,000 | $9,883,637 | |
Daimler Trucks Finance North America LLC, 5.2%, 1/17/2025 (n) | 2,231,000 | 2,242,525 | ||
General Motors Financial Co., 1.7%, 8/18/2023 | 7,349,000 | 7,208,826 | ||
Hyundai Capital America, 2.375%, 2/10/2023 (n) | 2,145,000 | 2,143,335 | ||
Hyundai Capital America, 5.75%, 4/06/2023 (n) | 12,206,000 | 12,211,981 | ||
Hyundai Capital America, 0.8%, 1/08/2024 (n) | 863,000 | 828,082 | ||
Hyundai Capital America, 5.875%, 4/07/2025 (n) | 8,600,000 | 8,687,729 | ||
Mercedes-Benz Finance North America LLC, 0.75%, 3/01/2024 (n) | 5,167,000 | 4,937,787 | ||
Stellantis Finance US, Inc., 1.711%, 1/29/2027 (n) | 8,000,000 | 7,053,766 | ||
Volkswagen Group of America Finance LLC, 3.125%, 5/12/2023 (n) | 1,111,000 | 1,105,440 | ||
Volkswagen Group of America Finance LLC, 2.85%, 9/26/2024 (n) | 4,128,000 | 3,980,393 | ||
Volkswagen Group of America Finance LLC, 3.35%, 5/13/2025 (n) | 7,295,000 | 7,025,667 | ||
Volkswagen Group of America Finance LLC, 1.25%, 11/24/2025 (n) | 5,071,000 | 4,583,904 | ||
$71,893,072 |
3
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Broadcasting – 0.8% | ||||
Warnermedia Holdings, Inc., 3.788%, 3/15/2025 (n) | $ | 17,801,000 | $17,196,669 | |
Warnermedia Holdings, Inc., 3.755%, 3/15/2027 (n) | 6,864,000 | 6,433,058 | ||
$23,629,727 | ||||
Brokerage & Asset Managers – 1.5% | ||||
Brookfield Finance, Inc., 3.9%, 1/25/2028 | $ | 13,949,000 | $13,325,233 | |
Charles Schwab Corp., 0.75%, 3/18/2024 | 6,272,000 | 5,995,454 | ||
National Securities Clearing Corp., 1.2%, 4/23/2023 (n) | 9,500,000 | 9,426,288 | ||
National Securities Clearing Corp., 0.4%, 12/07/2023 (n) | 5,086,000 | 4,901,979 | ||
National Securities Clearing Corp., 1.5%, 4/23/2025 (n) | 3,257,000 | 3,040,110 | ||
National Securities Clearing Corp., 0.75%, 12/07/2025 (n) | 10,182,000 | 9,170,385 | ||
$45,859,449 | ||||
Business Services – 1.0% | ||||
Equinix, Inc., 1.25%, 7/15/2025 | $ | 6,132,000 | $5,613,875 | |
Global Payments, Inc., 1.2%, 3/01/2026 | 8,692,000 | 7,728,550 | ||
Tencent Holdings Ltd., 1.81%, 1/26/2026 (n) | 7,043,000 | 6,468,259 | ||
Western Union Co., 1.35%, 3/15/2026 | 11,707,000 | 10,415,750 | ||
$30,226,434 | ||||
Cable TV – 0.3% | ||||
SES S.A., 3.6%, 4/04/2023 (n) | $ | 10,292,000 | $10,228,157 | |
Chemicals – 0.1% | ||||
Westlake Chemical Corp., 0.875%, 8/15/2024 | $ | 3,244,000 | $3,037,333 | |
Computer Software – 0.3% | ||||
Dell International LLC/EMC Corp., 4%, 7/15/2024 | $ | 4,900,000 | $4,832,767 | |
Dell International LLC/EMC Corp., 5.85%, 7/15/2025 | 1,522,000 | 1,550,843 | ||
Infor, Inc., 1.45%, 7/15/2023 (n) | 1,594,000 | 1,560,035 | ||
$7,943,645 | ||||
Computer Software - Systems – 0.3% | ||||
VMware, Inc., 1%, 8/15/2024 | $ | 5,405,000 | $5,081,934 | |
VMware, Inc., 1.4%, 8/15/2026 | 4,186,000 | 3,706,759 | ||
$8,788,693 | ||||
Conglomerates – 0.9% | ||||
Carrier Global Corp., 2.242%, 2/15/2025 | $ | 956,000 | $907,562 | |
Regal Rexnord Corp., 6.05%, 2/15/2026 (n) | 9,148,000 | 9,296,419 | ||
Regal Rexnord Corp., 6.05%, 4/15/2028 (n) | 5,533,000 | 5,617,188 | ||
Westinghouse Air Brake Technologies Corp., 4.4%, 3/15/2024 | 9,885,000 | 9,759,502 | ||
$25,580,671 | ||||
Consumer Products – 0.5% | ||||
GSK Consumer Healthcare Capital UK PLC, 3.125%, 3/24/2025 | $ | 10,091,000 | $9,706,283 | |
GSK Consumer Healthcare Capital UK PLC, 3.375%, 3/24/2027 | 4,466,000 | 4,227,410 | ||
$13,933,693 | ||||
Containers – 0.5% | ||||
Berry Global, Inc., 1.57%, 1/15/2026 | $ | 7,474,000 | $6,756,297 | |
Berry Global, Inc., 1.65%, 1/15/2027 | 9,789,000 | 8,563,516 | ||
$15,319,813 | ||||
Electronics – 1.4% | ||||
Broadcom, Inc., 3.15%, 11/15/2025 | $ | 5,544,000 | $5,300,111 | |
Microchip Technology, Inc., 0.983%, 9/01/2024 | 18,197,000 | 17,041,484 | ||
Qorvo, Inc., 1.75%, 12/15/2024 (n) | 3,654,000 | 3,418,975 | ||
SK Hynix, Inc., 6.25%, 1/17/2026 (n) | 12,203,000 | 12,331,986 |
4
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Electronics – continued | ||||
Skyworks Solutions, Inc., 0.9%, 6/01/2023 | $ | 3,692,000 | $3,634,982 | |
$41,727,538 | ||||
Emerging Market Quasi-Sovereign – 0.4% | ||||
DAE Funding LLC (United Arab Emirates), 1.55%, 8/01/2024 (n) | $ | 3,903,000 | $3,685,828 | |
DAE Funding LLC (United Arab Emirates), 2.625%, 3/20/2025 (n) | 6,500,000 | 6,131,645 | ||
Indian Oil Corp. Ltd., 5.75%, 8/01/2023 | 2,973,000 | 2,979,896 | ||
$12,797,369 | ||||
Emerging Market Sovereign – 0.3% | ||||
Emirate of Abu Dhabi, 0.75%, 9/02/2023 (n) | $ | 7,805,000 | $7,609,875 | |
Energy - Independent – 0.4% | ||||
EQT Corp., 5.678%, 10/01/2025 | $ | 3,011,000 | $3,014,929 | |
EQT Corp., 5.7%, 4/01/2028 | 3,013,000 | 3,048,584 | ||
Pioneer Natural Resources Co., 0.55%, 5/15/2023 | 5,857,000 | 5,785,017 | ||
$11,848,530 | ||||
Energy - Integrated – 0.6% | ||||
Eni S.p.A., 4%, 9/12/2023 (n) | $ | 9,261,000 | $9,195,251 | |
Exxon Mobil Corp., 1.571%, 4/15/2023 | 9,200,000 | 9,139,711 | ||
$18,334,962 | ||||
Financial Institutions – 2.1% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.875%, 1/16/2024 | $ | 6,254,000 | $6,218,505 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.15%, 2/15/2024 | 11,511,000 | 11,220,740 | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.75%, 10/29/2024 | 5,472,000 | 5,103,133 | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.5%, 7/15/2025 | 5,664,000 | 5,767,653 | ||
Air Lease Corp., 2.2%, 1/15/2027 | 7,822,000 | 7,013,332 | ||
Avolon Holdings Funding Ltd., 3.95%, 7/01/2024 (n) | 5,703,000 | 5,526,284 | ||
Avolon Holdings Funding Ltd., 5.5%, 1/15/2026 (n) | 3,134,000 | 3,080,637 | ||
Avolon Holdings Funding Ltd., 2.125%, 2/21/2026 (n) | 8,784,000 | 7,857,780 | ||
Avolon Holdings Funding Ltd., 4.25%, 4/15/2026 (n) | 2,797,000 | 2,656,140 | ||
Avolon Holdings Funding Ltd., 2.528%, 11/18/2027 (n) | 6,154,000 | 5,310,918 | ||
Avolon Holdings Funding Ltd., 2.75%, 2/21/2028 (n) | 4,709,000 | 4,056,966 | ||
$63,812,088 | ||||
Food & Beverages – 1.4% | ||||
General Mills, Inc., 5.241%, 11/18/2025 | $ | 7,214,000 | $7,251,788 | |
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.125%, 2/01/2028 (n) | 4,517,000 | 4,418,635 | ||
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029 (n) | 11,955,000 | 10,261,574 | ||
JDE Peet's N.V., 0.8%, 9/24/2024 (n) | 11,971,000 | 11,058,120 | ||
JDE Peet's N.V., 1.375%, 1/15/2027 (n) | 8,356,000 | 7,249,610 | ||
$40,239,727 | ||||
Food & Drug Stores – 0.6% | ||||
7-Eleven, Inc., 0.625%, 2/10/2023 (n) | $ | 10,326,000 | $10,315,158 | |
7-Eleven, Inc., 0.8%, 2/10/2024 (n) | 7,744,000 | 7,404,018 | ||
$17,719,176 | ||||
Forest & Paper Products – 0.2% | ||||
Fibria Overseas Finance Ltd., 5.5%, 1/17/2027 | $ | 5,928,000 | $5,957,096 | |
Gaming & Lodging – 1.5% | ||||
GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/01/2023 | $ | 4,936,000 | $4,938,468 | |
GLP Capital LP/GLP Financing II, Inc., 5.25%, 6/01/2025 | 8,847,000 | 8,781,355 | ||
GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026 | 1,551,000 | 1,549,418 | ||
Hyatt Hotels Corp., 1.3%, 10/01/2023 | 8,139,000 | 7,921,696 | ||
Hyatt Hotels Corp., 1.8%, 10/01/2024 | 7,537,000 | 7,151,199 |
5
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Gaming & Lodging – continued | ||||
Las Vegas Sands Corp., 3.2%, 8/08/2024 | $ | 5,950,000 | $5,726,170 | |
Marriott International, Inc., 5.75%, 5/01/2025 | 1,617,000 | 1,644,467 | ||
Marriott International, Inc., 3.75%, 10/01/2025 | 1,655,000 | 1,607,344 | ||
Sands China Ltd., 4.3%, 1/08/2026 | 6,819,000 | 6,468,148 | ||
$45,788,265 | ||||
Industrial – 0.1% | ||||
Howard University, Washington D.C., 2.801%, 10/01/2023 | $ | 424,000 | $417,410 | |
Howard University, Washington D.C., AGM, 2.416%, 10/01/2024 | 467,000 | 443,351 | ||
Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | 578,000 | 545,093 | ||
$1,405,854 | ||||
Insurance – 0.9% | ||||
AIG Global Funding, 0.8%, 7/07/2023 (n) | $ | 4,511,000 | $4,430,776 | |
Corebridge Financial, Inc., 3.5%, 4/04/2025 (n) | 3,720,000 | 3,595,179 | ||
Corebridge Financial, Inc., 3.65%, 4/05/2027 (n) | 7,440,000 | 7,111,033 | ||
Equitable Financial Life Insurance Co., 1.4%, 7/07/2025 (n) | 4,044,000 | 3,711,232 | ||
Metropolitan Life Global Funding I, 0.4%, 1/07/2024 (n) | 7,624,000 | 7,309,763 | ||
$26,157,983 | ||||
Insurance - Property & Casualty – 0.0% | ||||
Ambac Assurance Corp., 5.1%, 6/07/2060 (z) | $ | 23,513 | $34,212 | |
Internet – 0.1% | ||||
Baidu, Inc., 3.875%, 9/29/2023 | $ | 3,736,000 | $3,699,537 | |
Machinery & Tools – 0.4% | ||||
CNH Industrial Capital LLC, 4.2%, 1/15/2024 | $ | 6,502,000 | $6,444,197 | |
CNH Industrial Capital LLC, 1.875%, 1/15/2026 | 2,401,000 | 2,222,689 | ||
CNH Industrial N.V., 4.5%, 8/15/2023 | 4,043,000 | 4,027,504 | ||
$12,694,390 | ||||
Major Banks – 17.9% | ||||
Bank of America Corp., 4.2%, 8/26/2024 | $ | 3,106,000 | $3,071,920 | |
Bank of America Corp., 4.45%, 3/03/2026 | 6,999,000 | 6,935,787 | ||
Bank of America Corp., 4.25%, 10/22/2026 | 4,033,000 | 3,954,196 | ||
Bank of America Corp., 1.734% to 7/22/2026, FLR (SOFR - 1 day + 0.96%) to 7/22/2027 | 22,751,000 | 20,385,186 | ||
Bank of America Corp., 4.183%, 11/25/2027 | 6,721,000 | 6,599,698 | ||
Barclays PLC, 1.007% to 12/10/2023, FLR (CMT - 1yr. + 0.8%) to 12/10/2024 | 2,837,000 | 2,729,835 | ||
Barclays PLC, 2.852% to 5/07/2025, FLR (LIBOR - 3mo. + 2.452%) to 5/07/2026 | 2,564,000 | 2,425,247 | ||
Barclays PLC, 2.279% to 11/24/2026, FLR (CMT - 1yr. + 1.05%) to 11/24/2027 | 10,326,000 | 9,256,343 | ||
BNP Paribas S.A., 2.591% to 1/20/2027, FLR (SOFR - 1 day + 1.228%) to 1/20/2028 (n) | 12,560,000 | 11,390,618 | ||
Capital One Financial Corp., 4.166% to 5/09/2024, FLR (SOFR - 1 day + 1.37%) to 5/09/2025 | 6,912,000 | 6,799,372 | ||
Capital One Financial Corp., 2.636% to 3/03/2025, FLR (SOFR - 1 day + 1.29%) to 3/03/2026 | 12,928,000 | 12,242,588 | ||
Credit Agricole S.A., 1.907% to 6/16/2025, FLR (SOFR - 1 day + 1.676%) to 6/16/2026 (n) | 2,080,000 | 1,920,857 | ||
Deutsche Bank AG, 0.898%, 5/28/2024 | 2,663,000 | 2,516,796 | ||
Deutsche Bank AG, 1.447% to 4/01/2024, FLR (SOFR - 1 day + 1.131%) to 4/01/2025 | 12,981,000 | 12,260,712 | ||
Deutsche Bank AG, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027 | 3,240,000 | 2,863,580 | ||
Deutsche Bank AG, 6.72% to 1/18/2028, FLR (SOFR - 1 day + 3.18%) to 1/18/2029 | 680,000 | 715,519 | ||
Goldman Sachs Group, Inc., 1.757% to 1/24/2024, FLR (SOFR - 1 day + 0.73%) to 1/24/2025 | 10,205,000 | 9,824,864 | ||
Goldman Sachs Group, Inc., 3.5%, 4/01/2025 | 5,300,000 | 5,144,834 | ||
Goldman Sachs Group, Inc., 1.093% to 12/09/2025, FLR (SOFR - 1 day + 0.789%) to 12/09/2026 | 4,637,000 | 4,144,995 | ||
Goldman Sachs Group, Inc., 5.95%, 1/15/2027 | 14,381,000 | 14,955,407 | ||
Goldman Sachs Group, Inc., 1.948% to 10/21/2026, FLR (SOFR - 1 day + 0.913%) to 10/21/2027 | 8,452,000 | 7,565,637 | ||
HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR - 1 day + 1.929%) to 6/04/2026 | 4,303,000 | 3,988,089 | ||
HSBC Holdings PLC, 7.336% to 11/03/2025, FLR (SOFR - 1 day + 3.03%) to 11/03/2026 | 4,354,000 | 4,595,647 | ||
HSBC Holdings PLC, 1.589% to 5/24/2026, FLR (SOFR - 1 day + 1.29%) to 5/24/2027 | 3,448,000 | 3,054,838 | ||
HSBC Holdings PLC, 2.251% to 11/22/2026, FLR (SOFR - 1 day + 1.1%) to 11/22/2027 | 12,000,000 | 10,771,073 | ||
Huntington Bancshares, Inc., 4.008% to 5/16/2024, FLR (SOFR - 1 day + 1.205%) to 5/16/2025 | 5,554,000 | 5,468,610 |
6
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
Huntington Bancshares, Inc., 5.699% to 11/18/2024, FLR (SOFR - 1 day + 1.215%) to 11/18/2025 | $ | 9,500,000 | $9,607,748 | |
JPMorgan Chase & Co., 3.375%, 5/01/2023 | 4,455,000 | 4,439,607 | ||
JPMorgan Chase & Co., 3.797% to 7/23/2023, FLR (LIBOR - 3mo. + 0.89%) to 7/23/2024 | 7,253,000 | 7,204,548 | ||
JPMorgan Chase & Co., 5.546% to 12/15/2024, FLR (SOFR - 1 day + 1.07%) to 12/15/2025 | 8,000,000 | 8,064,547 | ||
JPMorgan Chase & Co., 2.005% to 3/13/2025, FLR (SOFR - 1 day + 1.585%) to 3/13/2026 | 7,223,000 | 6,794,807 | ||
JPMorgan Chase & Co., 1.04% to 2/04/2026, FLR (SOFR - 1 day + 0.695%) to 2/04/2027 | 6,220,000 | 5,538,767 | ||
JPMorgan Chase & Co., 1.578% to 4/22/2026, FLR (SOFR - 1 day + 0.885%) to 4/22/2027 | 5,268,000 | 4,734,569 | ||
JPMorgan Chase & Co., 1.47% to 9/22/2026, FLR (SOFR - 1 day + 0.765%) to 9/22/2027 | 10,000,000 | 8,859,005 | ||
JPMorgan Chase & Co., 4.25%, 10/01/2027 | 6,722,000 | 6,655,802 | ||
Lloyds Banking Group PLC, 3.511% to 3/18/2025, FLR (CMT - 1yr. + 1.6%) to 3/18/2026 | 15,414,000 | 14,831,731 | ||
Mitsubishi UFJ Financial Group, Inc., 0.848% to 9/15/2023, FLR (CMT - 1yr. + 0.68%) to 9/15/2024 | 10,500,000 | 10,186,676 | ||
Mitsubishi UFJ Financial Group, Inc., 0.953% to 7/19/2024, FLR (CMT - 1yr. + 0.55%) to 7/19/2025 | 7,128,000 | 6,680,786 | ||
Mitsubishi UFJ Financial Group, Inc., 0.962% to 10/11/2024, FLR (CMT - 1yr. + 0.45%) to 10/11/2025 | 7,021,000 | 6,515,636 | ||
Mizuho Financial Group, 0.849% to 9/08/2023, FLR (LIBOR - 3mo. + 0.61%) to 9/08/2024 | 7,800,000 | 7,575,940 | ||
Morgan Stanley, 5.04% to 11/10/2022, FLR (SOFR - 1 day + 0.466%) to 11/10/2023 | 9,002,000 | 8,997,589 | ||
Morgan Stanley, 5% to 1/25/2023, FLR (SOFR - 1 day + 0.455%) to 1/25/2024 | 12,221,000 | 12,209,011 | ||
Morgan Stanley, 0.864% to 10/21/2024, FLR (SOFR - 1 day + 0.745%) to 10/21/2025 | 8,651,000 | 8,017,337 | ||
Morgan Stanley, 4.35%, 9/08/2026 | 9,466,000 | 9,279,699 | ||
Morgan Stanley, 3.625%, 1/20/2027 | 6,092,000 | 5,904,903 | ||
Morgan Stanley, 3.95%, 4/23/2027 | 2,189,000 | 2,115,995 | ||
Morgan Stanley, 1.512% to 7/20/2026, FLR (SOFR - 1 day + 0.858%) to 7/20/2027 | 7,636,000 | 6,813,058 | ||
Nationwide Building Society, 2.972% to 2/16/2027, FLR (SOFR - 1 day + 1.29%) to 2/16/2028 (n) | 9,261,000 | 8,422,025 | ||
NatWest Group PLC, 2.359% to 5/22/2023, FLR (CMT - 1yr. + 2.15%) to 5/22/2024 | 8,063,000 | 7,976,030 | ||
NatWest Group PLC, 4.269% to 3/22/2024, FLR (LIBOR - 3mo. + 1.762%) to 3/22/2025 | 15,826,000 | 15,621,818 | ||
NatWest Markets PLC, 3.479%, 3/22/2025 (n) | 8,888,000 | 8,581,234 | ||
PNC Bank N.A., 2.5%, 8/27/2024 | 4,237,000 | 4,092,540 | ||
PNC Financial Services Group, Inc., 5.354% to 12/02/2027, FLR (SOFR - 1 day + 1.62%) to 12/02/2028 | 15,162,000 | 15,608,338 | ||
Royal Bank of Canada, 1.6%, 4/17/2023 | 10,000,000 | 9,943,610 | ||
Royal Bank of Canada, 0.5%, 10/26/2023 | 16,550,000 | 16,023,136 | ||
Standard Chartered PLC, 0.991% to 1/12/2024, FLR (CMT - 1yr. + 0.78%) to 1/12/2025 (n) | 5,088,000 | 4,867,984 | ||
Standard Chartered PLC, 1.214% to 3/23/2024, FLR (CMT - 1yr. + 0.88%) to 3/23/2025 (n) | 2,614,000 | 2,484,070 | ||
Standard Chartered PLC, 1.822% to 11/23/2024, FLR (CMT - 1yr. + 0.95%) to 11/23/2025 (n) | 2,554,000 | 2,373,593 | ||
Standard Chartered PLC, 3.971% to 3/30/2025, FLR (CMT - 1yr. + 1.65%) to 3/30/2026 (n) | 3,723,000 | 3,599,432 | ||
Standard Chartered PLC, 6.17%, 1/09/2027 (n) | 4,409,000 | 4,516,999 | ||
Sumitomo Mitsui Financial Group, Inc., 0.508%, 1/12/2024 | 2,541,000 | 2,433,811 | ||
Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025 | 7,574,000 | 6,957,793 | ||
Sumitomo Mitsui Financial Group, Inc., 2.174%, 1/14/2027 | 8,414,000 | 7,583,611 | ||
Sumitomo Mitsui Trust Bank Ltd., 0.8%, 9/12/2023 (n) | 9,000,000 | 8,768,064 | ||
Sumitomo Mitsui Trust Bank Ltd., 0.85%, 3/25/2024 (n) | 5,661,000 | 5,391,294 | ||
UBS Group AG, 1.008% to 7/30/2023, FLR (CMT - 1yr. + 0.83%) to 7/30/2024 (n) | 2,226,000 | 2,179,403 | ||
UBS Group AG, 5.711%, 1/12/2027 (n) | 10,083,000 | 10,212,557 | ||
UBS Group AG, 4.703% to 8/05/2026, FLR (CMT - 1yr. + 2.05%) to 8/05/2027 (n) | 6,561,000 | 6,475,870 | ||
UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n) | 8,699,000 | 7,891,803 | ||
Wells Fargo & Co., 1.654% to 6/02/2023, FLR (SOFR - 1 day + 1.6%) to 6/02/2024 | 13,775,000 | 13,613,010 | ||
Wells Fargo & Co., 2.164% to 2/11/2025, FLR (LIBOR - 3mo. + 0.75%) to 2/11/2026 | 9,707,000 | 9,159,543 | ||
Wells Fargo & Co., 3.526% to 3/24/2027, FLR (SOFR - 1 day + 1.51%) to 3/24/2028 | 13,228,000 | 12,579,867 | ||
$533,967,444 | ||||
Medical & Health Technology & Services – 1.6% | ||||
HCA, Inc., 5%, 3/15/2024 | $ | 7,222,000 | $7,205,030 | |
HCA, Inc., 3.125%, 3/15/2027 (n) | 7,303,000 | 6,789,261 | ||
PerkinElmer, Inc., 0.85%, 9/15/2024 | 10,000,000 | 9,358,700 | ||
Thermo Fisher Scientific, Inc., 1.215%, 10/18/2024 | 25,217,000 | 23,816,109 | ||
$47,169,100 | ||||
Metals & Mining – 1.1% | ||||
Anglo American Capital PLC, 4.75%, 4/10/2027 (n) | $ | 10,084,000 | $10,037,703 | |
Glencore Funding LLC, 4.125%, 3/12/2024 (n) | 4,410,000 | 4,358,057 | ||
Glencore Funding LLC, 4.625%, 4/29/2024 (n) | 3,375,000 | 3,350,576 |
7
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Metals & Mining – continued | ||||
Glencore Funding LLC, 1.625%, 9/01/2025 (n) | $ | 7,900,000 | $7,242,396 | |
Glencore Funding LLC, 1.625%, 4/27/2026 (n) | 8,268,000 | 7,443,777 | ||
$32,432,509 | ||||
Midstream – 1.4% | ||||
DCP Midstream Operating, LP, 5.625%, 7/15/2027 | $ | 3,663,000 | $3,717,639 | |
Enbridge, Inc., 2.5%, 2/14/2025 | 6,525,000 | 6,208,672 | ||
Energy Transfer LP, 2.9%, 5/15/2025 | 3,676,000 | 3,506,992 | ||
Energy Transfer LP, 5.55%, 2/15/2028 | 3,921,000 | 3,984,638 | ||
Gray Oak Pipeline LLC, 2%, 9/15/2023 (n) | 7,337,000 | 7,168,623 | ||
Plains All American Pipeline LP, 3.85%, 10/15/2023 | 3,750,000 | 3,712,344 | ||
Plains All American Pipeline LP/PAA Finance Corp., 4.65%, 10/15/2025 | 10,480,000 | 10,370,390 | ||
Western Midstream Operating LP, 3.35%, 2/01/2025 | 3,357,000 | 3,205,935 | ||
$41,875,233 | ||||
Mortgage-Backed – 0.4% | ||||
Fannie Mae, 4.5%, 3/01/2023 | $ | 1,143 | $1,143 | |
Fannie Mae, 5%, 7/01/2023 | 6,039 | 6,138 | ||
Fannie Mae, 3%, 12/01/2031 | 1,041,614 | 1,014,369 | ||
Fannie Mae, 2.105%, 3/01/2033 | 32,348 | 31,765 | ||
Fannie Mae, 3.375%, 5/01/2033 | 71,606 | 70,528 | ||
Fannie Mae, 2%, 5/25/2044 | 536,727 | 517,212 | ||
Freddie Mac, 0.903%, 4/25/2024 (i) | 214,670 | 1,861 | ||
Freddie Mac, 1.583%, 4/25/2030 (i) | 29,012,112 | 2,535,891 | ||
Freddie Mac, 3%, 4/15/2033 - 6/15/2045 | 8,257,713 | 7,805,547 | ||
Freddie Mac, 2%, 7/15/2042 | 1,218,882 | 1,127,818 | ||
Ginnie Mae, 2.625%, 7/20/2032 | 28,831 | 27,996 | ||
$13,140,268 | ||||
Municipals – 1.1% | ||||
California Earthquake Authority Rev., Taxable, “B”, 1.477%, 7/01/2023 | $ | 2,425,000 | $2,388,784 | |
California Municipal Finance Authority Rev., Taxable (Century Housing Corp.), 1.605%, 11/01/2023 | 1,295,000 | 1,258,882 | ||
Illinois Sales Tax Securitization Corp., Second Lien, Taxable, “B”, BAM, 2.225%, 1/01/2024 | 2,890,000 | 2,822,477 | ||
Long Island, NY, Power Authority, Electric System General Rev., Taxable, “C”, 0.764%, 3/01/2023 | 3,570,000 | 3,557,514 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 1.904%, 7/01/2023 | 360,000 | 355,501 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.156%, 7/01/2024 | 1,000,000 | 961,184 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.306%, 7/01/2025 | 790,000 | 742,925 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.562%, 7/01/2026 | 1,005,000 | 937,293 | ||
Michigan Finance Authority Tobacco Settlement Asset-Backed Rev., Taxable (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 2,073,278 | 1,984,791 | ||
New Jersey Economic Development Authority State Pension Funding Rev., Capital Appreciation, Taxable, “B”, AGM, 0%, 2/15/2023 | 10,353,000 | 10,334,696 | ||
New Jersey Transportation Trust Fund Authority, Transportation System, Taxable, “B”, 2.551%, 6/15/2023 | 1,835,000 | 1,817,401 | ||
New Jersey Transportation Trust Fund Authority, Transportation System, Taxable, “B”, 2.631%, 6/15/2024 | 1,720,000 | 1,661,632 | ||
Port Authority of NY & NJ, Taxable, “AAA”, 1.086%, 7/01/2023 | 4,925,000 | 4,850,330 | ||
$33,673,410 | ||||
Natural Gas - Distribution – 0.7% | ||||
Atmos Energy Corp., 0.625%, 3/09/2023 | $ | 14,123,000 | $14,064,627 | |
CenterPoint Energy Resources Corp., 0.7%, 3/02/2023 | 7,769,000 | 7,744,783 | ||
$21,809,410 | ||||
Natural Gas - Pipeline – 0.5% | ||||
APA Infrastructure Ltd., 4.2%, 3/23/2025 (n) | $ | 14,780,000 | $14,428,817 | |
Network & Telecom – 0.5% | ||||
AT&T, Inc., 0.9%, 3/25/2024 | $ | 15,796,000 | $15,111,113 |
8
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Oils – 0.2% | ||||
Valero Energy Corp., 1.2%, 3/15/2024 | $ | 7,070,000 | $6,777,511 | |
Other Banks & Diversified Financials – 1.5% | ||||
American Express Co., 2.25%, 3/04/2025 | $ | 6,463,000 | $6,148,843 | |
Banque Federative du Credit Mutuel S.A., 0.65%, 2/27/2024 (n) | 10,142,000 | 9,686,117 | ||
Groupe BPCE S.A., 4%, 9/12/2023 (n) | 3,667,000 | 3,631,063 | ||
Groupe BPCE S.A., FLR, 5.975% (LIBOR - 3mo. + 1.24%), 9/12/2023 (n) | 3,667,000 | 3,672,486 | ||
Macquarie Group Ltd., 1.201% to 10/14/2024, FLR (SOFR - 1 day + 0.694%) to 10/14/2025 (n) | 10,208,000 | 9,455,380 | ||
Macquarie Group Ltd., 1.34% to 1/12/2026, FLR (SOFR - 1 day + 1.069%) to 1/12/2027 (n) | 6,707,000 | 5,960,980 | ||
National Bank of Canada, 0.55% to 11/15/2023, FLR (CMT - 1yr. + 0.4%) to 11/15/2024 | 5,738,000 | 5,530,190 | ||
$44,085,059 | ||||
Pharmaceuticals – 0.2% | ||||
Royalty Pharma PLC, 0.75%, 9/02/2023 | $ | 7,338,000 | $7,152,571 | |
Railroad & Shipping – 0.4% | ||||
Canadian Pacific Railway Co., 1.35%, 12/02/2024 | $ | 11,123,000 | $10,452,650 | |
Real Estate - Office – 0.4% | ||||
Corporate Office Property LP, REIT, 2.25%, 3/15/2026 | $ | 13,184,000 | $11,931,604 | |
Retailers – 0.7% | ||||
Alibaba Group Holding Ltd., 2.8%, 6/06/2023 | $ | 5,754,000 | $5,708,372 | |
Kohl's Corp., 9.5%, 5/15/2025 | 9,595,000 | 10,221,680 | ||
Nordstrom, Inc., 2.3%, 4/08/2024 | 3,956,000 | 3,754,719 | ||
$19,684,771 | ||||
Specialty Stores – 0.4% | ||||
Genuine Parts Co., 1.75%, 2/01/2025 | $ | 5,643,000 | $5,305,212 | |
Ross Stores, Inc., 0.875%, 4/15/2026 | 7,614,000 | 6,771,701 | ||
$12,076,913 | ||||
Telecommunications - Wireless – 1.1% | ||||
Crown Castle, Inc., REIT, 3.15%, 7/15/2023 | $ | 5,334,000 | $5,293,459 | |
Crown Castle, Inc., REIT, 1.35%, 7/15/2025 | 1,776,000 | 1,631,614 | ||
Crown Castle, Inc., REIT, 2.9%, 3/15/2027 | 3,817,000 | 3,549,256 | ||
Rogers Communications, Inc., 3.2%, 3/15/2027 (n) | 12,002,000 | 11,287,295 | ||
T-Mobile USA, Inc., 3.5%, 4/15/2025 | 10,518,000 | 10,213,446 | ||
$31,975,070 | ||||
Tobacco – 0.9% | ||||
B.A.T. Capital Corp., 3.222%, 8/15/2024 | $ | 4,881,000 | $4,747,806 | |
Imperial Brands Finance PLC, 6.125%, 7/27/2027 (n) | 4,706,000 | 4,832,337 | ||
Philip Morris International, Inc., 1.125%, 5/01/2023 | 3,763,000 | 3,727,026 | ||
Philip Morris International, Inc., 5.125%, 11/15/2024 | 7,150,000 | 7,200,035 | ||
Philip Morris International, Inc., 5%, 11/17/2025 | 3,250,000 | 3,293,375 | ||
Philip Morris International, Inc., 5.125%, 11/17/2027 | 2,895,000 | 2,958,786 | ||
$26,759,365 | ||||
Transportation - Services – 1.2% | ||||
Element Fleet Management Corp., 1.6%, 4/06/2024 (n) | $ | 24,483,000 | $23,347,709 | |
ERAC USA Finance LLC, 2.7%, 11/01/2023 (n) | 5,924,000 | 5,804,895 | ||
ERAC USA Finance LLC, 3.85%, 11/15/2024 (n) | 2,559,000 | 2,493,230 | ||
ERAC USA Finance LLC, 3.8%, 11/01/2025 (n) | 2,559,000 | 2,468,656 | ||
$34,114,490 |
9
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Treasury Obligations – 20.0% | ||||
U.S. Treasury Notes, 0.25%, 5/15/2024 (f) | $ | 91,929,700 | $86,941,796 | |
U.S. Treasury Notes, 3%, 7/31/2024 | 75,066,000 | 73,453,253 | ||
U.S. Treasury Notes, 0.375%, 9/15/2024 | 109,702,000 | 102,879,907 | ||
U.S. Treasury Notes, 0.75%, 11/15/2024 | 129,640,000 | 121,734,999 | ||
U.S. Treasury Notes, 2.75%, 5/15/2025 (f) | 217,085,000 | 210,852,286 | ||
$595,862,241 | ||||
Utilities - Electric Power – 5.3% | ||||
Edison International, 4.7%, 8/15/2025 | $ | 10,842,000 | $10,681,547 | |
Emera US Finance LP, 0.833%, 6/15/2024 | 3,730,000 | 3,506,241 | ||
Enel Finance International N.V., 4.25%, 6/15/2025 (n) | 15,000,000 | 14,686,204 | ||
Enel Finance International N.V., 6.8%, 10/14/2025 (n) | 3,086,000 | 3,197,805 | ||
ENGIE Energía Chile S.A., 4.5%, 1/29/2025 (n) | 14,822,000 | 14,451,450 | ||
Entergy Louisiana LLC, 0.95%, 10/01/2024 | 27,870,000 | 26,197,754 | ||
Exelon Corp., 2.75%, 3/15/2027 | 7,104,000 | 6,632,061 | ||
FirstEnergy Corp., 2.05%, 3/01/2025 | 5,731,000 | 5,370,679 | ||
FirstEnergy Corp., 1.6%, 1/15/2026 | 2,459,000 | 2,207,221 | ||
NextEra Energy Capital Holdings, Inc., 0.65%, 3/01/2023 | 6,270,000 | 6,250,905 | ||
Pacific Gas & Electric Co., 1.7%, 11/15/2023 | 3,088,000 | 3,007,790 | ||
Pacific Gas & Electric Co., 3.25%, 2/16/2024 | 10,584,000 | 10,388,652 | ||
Pacific Gas & Electric Co., 4.95%, 6/08/2025 | 7,450,000 | 7,374,958 | ||
Southern California Edison Co., 0.7%, 8/01/2023 | 7,725,000 | 7,565,859 | ||
Southern California Edison Co., 0.975%, 8/01/2024 | 7,618,000 | 7,170,963 | ||
Vistra Operations Co. LLC, 4.875%, 5/13/2024 (n) | 16,784,000 | 16,564,801 | ||
WEC Energy Group, Inc., 0.8%, 3/15/2024 | 3,658,000 | 3,490,429 | ||
Xcel Energy, Inc., 0.5%, 10/15/2023 | 8,847,000 | 8,586,803 | ||
$157,332,122 | ||||
Total Bonds | $2,911,354,278 | |||
Investment Companies (h) – 1.9% | ||||
Money Market Funds – 1.9% | ||||
MFS Institutional Money Market Portfolio, 4.29% (v) | 56,983,665 | $56,989,363 | ||
Other Assets, Less Liabilities – 0.4% | 11,730,046 | |||
Net Assets – 100.0% | $2,980,073,687 |
(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 and cleared swap agreements. |
(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 $56,989,363 and $2,911,354,278, 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 $1,087,655,094, representing 36.5% of net assets. |
(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. |
(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 |
Ambac Assurance Corp., 5.1%, 6/07/2060 | 2/14/18 | $9,229 | $34,212 |
% of Net assets | 0.0% |
10
Portfolio of Investments (unaudited) –
continued
The following abbreviations are used in this report and are defined: | |
AGM | Assured Guaranty Municipal |
BAM | Build America Mutual |
CLO | Collateralized Loan Obligation |
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. |
LIBOR | London Interbank Offered Rate |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
Derivative Contracts at 1/31/23 | ||||||
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Note 2 yr | Long | USD | 175 | $35,988,477 | March – 2023 | $125,713 |
Cleared Swap Agreements | ||||||||||
Maturity Date | Notional Amount | Counterparty | Cash Flows to Receive/ Frequency | Cash Flows to Pay/ Frequency | Unrealized Appreciation (Depreciation) | Net Unamortized Upfront Payments (Receipts) | Value | |||
Asset Derivatives | ||||||||||
Interest Rate Swaps | ||||||||||
10/17/25 | USD | 73,100,000 | centrally cleared | 4.20%/Annually | SOFR - 1 day/Annually | $640,713 | $— | $640,713 | ||
Liability Derivatives | ||||||||||
Interest Rate Swaps | ||||||||||
12/06/25 | USD | 231,100,000 | centrally cleared | 3.82%/Annually | SOFR - 1 day/Annually | $(273,781) | $32,428 | $(241,353) |
At January 31, 2023, the fund had
liquid securities with an aggregate value of $6,597,575 to cover any collateral or margin obligations for securities and 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.
11
Supplemental Information
1/31/23 (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
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. Effective September 8, 2022, and 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. 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. Swap agreements are generally valued using valuations provided by a third-party pricing service, which for cleared swaps includes an evaluation of any trading activity at the
clearinghouses. 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; 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).
12
Supplemental Information (unaudited) –
continued
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 swap agreements. The following is a
summary of the levels used as of January 31, 2023 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 | $— | $595,862,241 | $— | $595,862,241 |
Non - U.S. Sovereign Debt | — | 20,407,244 | — | 20,407,244 |
Municipal Bonds | — | 33,673,410 | — | 33,673,410 |
U.S. Corporate Bonds | — | 1,027,272,629 | — | 1,027,272,629 |
Residential Mortgage-Backed Securities | — | 17,381,437 | — | 17,381,437 |
Commercial Mortgage-Backed Securities | — | 173,016,913 | — | 173,016,913 |
Asset-Backed Securities (including CDOs) | — | 419,365,251 | — | 419,365,251 |
Foreign Bonds | — | 624,375,153 | — | 624,375,153 |
Mutual Funds | 56,989,363 | — | — | 56,989,363 |
Total | $56,989,363 | $2,911,354,278 | $— | $2,968,343,641 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $125,713 | $— | $— | $125,713 |
Swap Agreements – Assets | — | 640,713 | — | 640,713 |
Swap Agreements – Liabilities | — | (241,353) | — | (241,353) |
For further information regarding
security characteristics, see the Portfolio of Investments.
(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 | $155,032,857 | $526,287,914 | $624,332,349 | $(8,681) | $9,622 | $56,989,363 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $1,731,911 | $— |
13