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Quarterly Report
January 31, 2024
MFS® Limited Maturity Fund
![](https://capedge.com/proxy/NPORT-P/0001752724-24-067312/imge175af092.gif)
MQL-Q3
Portfolio of Investments
1/31/24 (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 – 98.1% | ||||
Aerospace & Defense – 0.9% | ||||
Boeing Co., 1.433%, 2/04/2024 | $ | 13,868,000 | $13,862,621 | |
Boeing Co., 2.196%, 2/04/2026 | 11,032,000 | 10,390,283 | ||
$24,252,904 | ||||
Apparel Manufacturers – 0.2% | ||||
Tapestry, Inc., 7.05%, 11/27/2025 | $ | 2,945,000 | $3,012,518 | |
Tapestry, Inc., 7%, 11/27/2026 | 1,785,000 | 1,841,146 | ||
$4,853,664 | ||||
Asset-Backed & Securitized – 22.1% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.129%, 11/15/2054 (i) | $ | 90,295,124 | $4,388,975 | |
ACREC 2021-FL1 Ltd., “AS”, FLR, 6.949% ((SOFR - 1mo. + 0.11448%) + 1.5%), 10/16/2036 (n) | 5,944,500 | 5,815,128 | ||
ACREC 2021-FL1 Ltd., “B”, FLR, 7.249% ((SOFR - 1mo. + 0.11448%) + 1.8%), 10/16/2036 (n) | 11,776,000 | 11,452,419 | ||
ACREC 2021-FL1 Ltd., “C”, FLR, 7.599% ((SOFR - 1mo. + 0.11448%) + 2.15%), 10/16/2036 (n) | 5,972,500 | 5,759,227 | ||
ACREC 2023-FL2 LLC, “A”, FLR, 7.563% (SOFR - 1mo. + 2.23%), 2/19/2038 (n) | 5,550,486 | 5,548,215 | ||
ACRES 2021-FL2 Issuer Ltd., “B”, FLR, 7.696% ((SOFR - 1mo. + 0.11448%) + 2.25%), 1/15/2037 (n) | 6,994,000 | 6,844,888 | ||
Allegro CLO Ltd., 2014-1RA, “A2”, FLR, 7.179% ((SOFR - 3mo. + 0.26161%) + 1.6%), 10/21/2028 (n) | 776,747 | 779,573 | ||
AmeriCredit Automobile Receivables Trust, 2020-1, “C”, 1.59%, 10/20/2025 | 755,476 | 750,905 | ||
AmeriCredit Automobile Receivables Trust, 2022-2, “A2A”, 4.2%, 12/18/2025 | 1,562,216 | 1,558,323 | ||
AmeriCredit Automobile Receivables Trust, 2024-1, “A”, 5.61%, 1/12/2027 (n) | 4,377,000 | 4,377,175 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “B”, FLR, 6.947% ((SOFR - 1mo. + 0.11448%) + 1.5%), 12/15/2035 (n) | 1,833,000 | 1,784,444 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “C”, FLR, 7.448% ((SOFR - 1mo. + 0.11448%) + 2%), 12/15/2035 (n) | 752,000 | 730,875 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “B”, FLR, 7.048% ((SOFR - 1mo. + 0.11448%) + 1.6%), 8/15/2034 (n) | 3,008,500 | 2,903,837 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “C”, FLR, 7.297% ((SOFR - 1mo. + 0.11448%) + 1.85%), 8/15/2034 (n) | 1,746,500 | 1,672,447 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL4, “AS”, FLR, 7.147% ((SOFR - 1mo. + 0.11448%) + 1.7%), 11/15/2036 (n) | 11,713,500 | 11,544,612 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL4, “B”, FLR, 7.448% ((SOFR - 1mo. + 0.11448%) + 2%), 11/15/2036 (n) | 7,713,500 | 7,579,768 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL4, “C”, FLR, 7.748% ((SOFR - 1mo. + 0.11448%) + 2.3%), 11/15/2036 (n) | 4,645,000 | 4,508,463 | ||
Arbor Realty Trust, Inc., CLO, 2022-FL1, “C”, FLR, 7.646% (SOFR - 30 day + 2.3%), 1/15/2037 (n) | 12,447,500 | 12,004,806 | ||
AREIT 2019-CRE3 Trust, “AS”, FLR, 6.752% ((SOFR - 1mo. + 0.11448%) + 1.3%), 9/14/2036 (n) | 1,602,171 | 1,585,376 | ||
AREIT 2019-CRE3 Trust, “B”, FLR, 7.002% ((SOFR - 1mo. + 0.11448%) + 1.55%), 9/14/2036 (n) | 1,136,500 | 1,097,610 | ||
AREIT 2019-CRE3 Trust, “C”, FLR, 7.352% (SOFR - 1mo. + 2.014%), 9/14/2036 (n) | 940,000 | 866,171 | ||
AREIT 2022-CRE6 Trust, “C”, FLR, 7.495% (SOFR - 30 day + 2.15%), 1/20/2037 (n) | 4,174,000 | 3,983,198 | ||
AREIT 2022-CRE6 Trust, “D”, FLR, 8.195% (SOFR - 30 day + 2.85%), 1/20/2037 (n) | 2,549,000 | 2,402,229 | ||
AREIT 2022-CRE7 LLC, “B”, FLR, 8.575% (SOFR - 1mo. + 3.244%), 6/17/2039 (n) | 12,436,500 | 12,324,348 | ||
ARI Fleet Lease Trust, 2023-B, “A2”, 6.05%, 7/15/2032 (n) | 2,526,586 | 2,553,316 | ||
Balboa Bay Loan Funding Ltd., 2020-1A, “BR”, FLR, 7.229% ((SOFR - 3mo. + 0.26161%) + 1.65%), 1/20/2032 (n) | 7,353,970 | 7,351,484 | ||
Balboa Bay Loan Funding Ltd., 2020-1A, “CR”, FLR, 7.679% ((SOFR - 3mo. + 0.26161%) + 2.1%), 1/20/2032 (n) | 3,983,401 | 3,955,521 | ||
Ballyrock CLO 2018-1A Ltd., “A2”, FLR, 7.179% ((SOFR - 3mo. + 0.26161%) + 1.6%), 4/20/2031 (n) | 4,282,847 | 4,269,977 | ||
Ballyrock CLO 2018-1A Ltd., “B”, FLR, 7.479% ((SOFR - 3mo. + 0.26161%) + 1.9%), 4/20/2031 (n) | 1,814,958 | 1,801,644 | ||
Bayview Commercial Asset Trust, FLR, 5.915% ((SOFR - 1mo. + 0.11448%) + 0.4658%), 8/25/2035 (n) | 168,288 | 155,058 | ||
Bayview Financial Revolving Mortgage Loan Trust, FLR, 7.051% ((SOFR - 1mo. + 0.11448%) + 1.6%), 12/28/2040 (n) | 112,636 | 167,494 | ||
BBCMS Mortgage Trust, 2018-C2, “XA”, 0.753%, 12/15/2051 (i)(n) | 62,560,330 | 1,776,444 | ||
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.283%, 7/15/2054 (i) | 36,045,038 | 2,362,648 | ||
BBCMS Mortgage Trust, 2021-C11, “XA”, 1.372%, 9/15/2054 (i) | 39,063,588 | 2,705,642 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.606%, 2/15/2054 (i) | 54,555,385 | 4,395,647 | ||
BDS 2021-FL10 Ltd., “B”, FLR, 7.399% ((SOFR - 1mo. + 0.11448%) + 1.95%), 12/16/2036 (n) | 3,637,500 | 3,563,468 | ||
BDS 2021-FL10 Ltd., “C”, FLR, 7.749% ((SOFR - 1mo. + 0.11448%) + 2.3%), 12/16/2036 (n) | 2,645,500 | 2,574,818 | ||
Benchmark 2021-B23 Mortgage Trust, “XA”, 1.266%, 2/15/2054 (i) | 60,125,293 | 3,592,739 | ||
Benchmark 2021-B24 Mortgage Trust, “XA”, 1.146%, 3/15/2054 (i) | 38,399,677 | 2,017,707 | ||
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.259%, 7/15/2054 (i) | 71,087,621 | 4,336,736 | ||
Benchmark 2021-B28 Mortgage Trust, “XA”, 1.272%, 8/15/2054 (i) | 53,163,529 | 3,456,230 | ||
Benchmark 2021-B29 Mortgage Trust, “XA”, 1.032%, 9/15/2054 (i) | 77,961,046 | 3,905,708 | ||
BSPDF 2021-FL1 Issuer Ltd., “AS”, FLR, 6.927% ((SOFR - 1mo. + 0.11448%) + 1.48%), 10/15/2036 (n) | 4,140,000 | 3,988,294 | ||
BSPDF 2021-FL1 Issuer Ltd., “B”, FLR, 7.248% ((SOFR - 1mo. + 0.11448%) + 1.8%), 10/15/2036 (n) | 3,130,500 | 2,989,102 | ||
BSPDF 2021-FL1 Issuer Ltd., “C”, FLR, 7.698% ((SOFR - 1mo. + 0.11448%) + 2.25%), 10/15/2036 (n) | 8,000,000 | 7,505,952 | ||
BSPRT 2021-FL6 Issuer Ltd., “C”, FLR, 7.498% ((SOFR - 1mo. + 0.11448%) + 2.05%), 3/15/2036 (n) | 2,447,500 | 2,344,543 |
1
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
BSPRT 2021-FL7 Issuer Ltd., “B”, FLR, 7.498% ((SOFR - 1mo. + 0.11448%) + 2.05%), 12/15/2038 (n) | $ | 1,552,000 | $1,520,085 | |
BSPRT 2021-FL7 Issuer Ltd., “C”, FLR, 7.747% ((SOFR - 1mo. + 0.11448%) + 2.3%), 12/15/2038 (n) | 1,869,500 | 1,823,536 | ||
BSPRT 2022-FL8 Issuer Ltd., “A”, FLR, 6.846% (SOFR - 30 day + 1.5%), 2/15/2037 (n) | 14,846,500 | 14,703,160 | ||
BSPRT 2022-FL8 Issuer Ltd., “B”, FLR, 7.396% (SOFR - 30 day + 2.05%), 2/15/2037 (n) | 2,054,500 | 2,002,683 | ||
BSPRT 2022-FL8 Issuer Ltd., “C”, FLR, 7.646% (SOFR - 30 day + 2.3%), 2/15/2037 (n) | 3,317,000 | 3,203,060 | ||
Business Jet Securities LLC, 2020-1A, “A”, 2.981%, 11/15/2035 (n) | 443,783 | 430,189 | ||
Business Jet Securities LLC, 2021-1A, “A”, 2.162%, 4/15/2036 (n) | 1,132,350 | 1,059,295 | ||
Business Jet Securities LLC, 2021-1A, “B”, 2.918%, 4/15/2036 (n) | 233,993 | 217,221 | ||
BXMT 2020-FL2 Ltd., “B”, FLR, 6.846% ((SOFR - 1mo. + 0.11448%) + 1.4%), 2/15/2038 (n) | 5,795,500 | 5,035,484 | ||
BXMT 2020-FL2 Ltd., “A”, FLR, 6.346% ((SOFR - 1mo. + 0.11448%) + 0.9%), 2/15/2038 (n) | 5,107,358 | 4,874,212 | ||
BXMT 2021-FL4 Ltd., “AS”, FLR, 6.746% ((SOFR - 1mo. + 0.11448%) + 1.3%), 5/15/2038 (n) | 12,062,500 | 11,227,062 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 2,181,470 | 2,101,929 | ||
C-BASS Mortgage Loan Trust, 2007-CB1, “AF3”, 3.197%, 1/25/2037 (d)(q) | 1,618,206 | 489,212 | ||
C-BASS Mortgage Loan Trust, 2007-CB3, “A3”, 3.35%, 3/25/2037 (d)(q) | 2,139,188 | 771,642 | ||
CD 2017-CD4 Mortgage Trust, “XA”, 1.222%, 5/10/2050 (i) | 34,643,396 | 1,031,053 | ||
CF Hippolyta Issuer LLC, 2020-1, “A1”, 1.69%, 7/15/2060 (n) | 1,568,623 | 1,462,431 | ||
CF Hippolyta Issuer LLC, 2020-1, “B1”, 2.28%, 7/15/2060 (n) | 499,890 | 458,116 | ||
Chesapeake Funding II LLC, 2023-1A, “A1”, 5.65%, 5/15/2035 (n) | 5,481,308 | 5,496,653 | ||
Chesapeake Funding II LLC, 2023-2A, “A1”, 6.16%, 10/15/2035 (n) | 5,282,886 | 5,333,365 | ||
CNH Equipment Trust 2023-A, “A2”, 5.34%, 9/15/2026 | 3,882,910 | 3,879,490 | ||
Commercial Equipment Finance 2021-A, LLC, “A”, 2.05%, 2/16/2027 (n) | 1,204,271 | 1,180,785 | ||
Commercial Mortgage Pass-Through Certificates, 2019-BN24, “XA”, 0.635%, 11/15/2062 (i) | 34,493,224 | 1,086,716 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN31, “XA”, 1.298%, 2/15/2054 (i) | 52,085,580 | 3,537,262 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.773%, 4/15/2054 (i) | 48,726,141 | 1,851,359 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN34, “XA”, 0.974%, 6/15/2063 (i) | 55,797,300 | 2,758,942 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.039%, 6/15/2064 (i) | 31,780,111 | 1,706,287 | ||
Credit Acceptance Auto Loan Trust, 2021-2A, “A”, 0.96%, 2/15/2030 (n) | 108,250 | 108,022 | ||
Credit Acceptance Auto Loan Trust, 2021-2A, “B”, 1.26%, 4/15/2030 (n) | 1,037,000 | 1,027,488 | ||
Credit Acceptance Auto Loan Trust, 2021-3A, “B”, 1.38%, 7/15/2030 (n) | 1,499,000 | 1,456,344 | ||
Credit Acceptance Auto Loan Trust, 2021-3A, “C”, 1.63%, 9/16/2030 (n) | 916,000 | 880,690 | ||
Credit Acceptance Auto Loan Trust, 2021-4, “A”, 1.26%, 10/15/2030 (n) | 1,347,324 | 1,321,406 | ||
Credit Acceptance Auto Loan Trust, 2021-4, “B”, 1.74%, 12/16/2030 (n) | 3,258,000 | 3,126,684 | ||
Cutwater 2015-1A Ltd., “AR”, FLR, 6.796% ((SOFR - 3mo. + 0.26161%) + 1.22%), 1/15/2029 (n) | 375,384 | 375,586 | ||
Dell Equipment Finance Trust, 2023-1, “A2”, 5.65%, 9/22/2028 (n) | 11,343,758 | 11,346,312 | ||
DLLST LLC, 2024-1A, “A3”, 5.05%, 8/20/2027 (n) | 1,899,400 | 1,900,006 | ||
Dryden Senior Loan Fund, 2017-49A, “BR”, CLO, FLR, 7.16% ((SOFR - 3mo. + 0.26161%) + 1.6%), 7/18/2030 (n) | 9,054,010 | 9,010,560 | ||
DT Auto Owner Trust 2022-3A, “A”, 6.05%, 10/15/2026 (n) | 2,787,432 | 2,789,214 | ||
DT Auto Owner Trust 2022-3A, “B”, 6.74%, 7/17/2028 (n) | 5,250,000 | 5,288,673 | ||
DT Auto Owner Trust 2022-3A, “C”, 7.69%, 7/17/2028 (n) | 2,000,000 | 2,050,315 | ||
DT Auto Owner Trust, 2023-2A, “A”, 5.88%, 4/15/2027 (n) | 5,731,568 | 5,737,800 | ||
Empire District Bondco LLC, 4.943%, 1/01/2033 | 3,253,000 | 3,259,137 | ||
Enterprise Fleet Financing 2022-4 LLC, “A2”, 5.76%, 10/22/2029 (n) | 5,222,768 | 5,249,157 | ||
Enterprise Fleet Financing 2023-1 LLC, “A2”, 5.51%, 1/22/2029 (n) | 6,227,486 | 6,239,436 | ||
Enterprise Fleet Financing 2023-2 LLC, “A2”, 5.56%, 4/22/2030 (n) | 5,865,000 | 5,883,668 | ||
Enterprise Fleet Financing 2023-2 LLC, “A3”, 5.5%, 4/22/2030 (n) | 3,561,000 | 3,606,656 | ||
Fortress CBO Investments Ltd., 2022-FL3, “A”, FLR, 7.195% (SOFR - 30 day + 1.85%), 2/23/2039 (n) | 8,935,000 | 8,700,876 | ||
Fortress CBO Investments Ltd., 2022-FL3, “AS”, FLR, 7.595% (SOFR - 30 day + 2.25%), 2/23/2039 (n) | 8,299,000 | 8,059,491 | ||
GreatAmerica Leasing Receivables Funding LLC, 2023-1, “A2”, 5.35%, 2/16/2026 (n) | 4,073,000 | 4,070,757 | ||
GS Mortgage Securities Trust, 2017-GS6, “XA”, 1.009%, 5/10/2050 (i) | 38,241,678 | 1,019,428 | ||
GS Mortgage Securities Trust, 2017-GS7, “XA”, 1.078%, 8/10/2050 (i) | 36,528,397 | 1,042,477 | ||
GS Mortgage Securities Trust, 2020-GC47, “A5”, 1.127%, 5/12/2053 (i) | 39,092,841 | 2,134,293 | ||
IMPAC CMB Trust, FLR, 6.19% ((SOFR - 1mo. + 0.11448%) + 0.74%), 11/25/2034 | 26,552 | 25,881 | ||
IMPAC CMB Trust, FLR, 6.37% ((SOFR - 1mo. + 0.11448%) + 0.92%), 11/25/2034 | 27,949 | 27,398 | ||
IMPAC Secured Assets Corp., FLR, 6.15% ((SOFR - 1mo. + 0.11448%) + 0.7%), 5/25/2036 | 49,732 | 44,153 | ||
Jamestown CLO Ltd., 2020-15A, “C”, FLR, 8.026% ((SOFR - 3mo. + 0.26161%) + 2.45%), 4/15/2033 (n) | 14,432,415 | 14,359,863 | ||
JPMorgan Chase Commercial Mortgage Securities Corp., 0.985%, 9/15/2050 (i) | 39,216,857 | 936,855 | ||
LAD Auto Receivables Trust, 2022-1A, “A”, 5.21%, 6/15/2027 (n) | 2,578,130 | 2,574,056 | ||
LAD Auto Receivables Trust, 2023-4A, “A2”, 6.21%, 10/15/2026 (n) | 3,913,000 | 3,922,356 | ||
LoanCore 2021-CRE5 Ltd., “AS”, FLR, 7.198% ((SOFR - 1mo. + 0.11448%) + 1.75%), 7/15/2036 (n) | 8,481,500 | 8,358,225 |
2
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
LoanCore 2021-CRE5 Ltd., “B”, FLR, 7.448% ((SOFR - 1mo. + 0.11448%) + 2.0%), 7/15/2036 (n) | $ | 3,588,000 | $3,465,304 | |
Madison Park Funding Ltd., 2014-13A, “BR2”, FLR, 7.071% ((SOFR - 3mo. + 0.26161%) + 1.5%), 4/19/2030 (n) | 6,806,093 | 6,789,643 | ||
Merrill Lynch Mortgage Investors, Inc., 3.999%, 2/25/2037 (a)(d) | 1,630,349 | 204,511 | ||
MF1 2020-FL4 Ltd., “B”, FLR, 8.196% ((SOFR - 1mo. + 0.11448%) + 2.75%), 11/15/2035 (n) | 10,472,500 | 10,444,351 | ||
MF1 2021-FL5 Ltd., “B”, FLR, 6.896% ((SOFR - 1mo. + 0.11448%) + 1.45%), 7/15/2036 (n) | 13,063,500 | 12,812,537 | ||
MF1 2021-FL5 Ltd., “C”, FLR, 7.146% ((SOFR - 1mo. + 0.11448%) + 1.7%), 7/15/2036 (n) | 3,716,500 | 3,570,070 | ||
MF1 2021-FL6 Ltd., “B”, FLR, 7.099% ((SOFR - 1mo. + 0.11448%) + 1.65%), 7/16/2036 (n) | 10,716,294 | 10,412,887 | ||
MF1 2022-FL8 Ltd., “C”, FLR, 7.536% (SOFR - 30 day + 2.2%), 2/19/2037 (n) | 2,198,259 | 2,111,544 | ||
MF1 2022-FL9 Ltd., “B”, FLR, 8.486% (SOFR - 1mo. + 3.15%), 6/19/2037 (n) | 15,126,500 | 15,001,782 | ||
MF1 2024-FL14 LLC, “C”, FLR, 8.657% (SOFR - 1mo. + 3.289%), 3/19/2039 (n) | 3,863,210 | 3,853,552 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C33, “XA”, 1.248%, 5/15/2050 (i) | 32,837,089 | 942,638 | ||
Morgan Stanley Capital I Trust, 2017-H1, “XA”, 1.305%, 6/15/2050 (i) | 15,464,678 | 411,990 | ||
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 0.806%, 12/15/2051 (i) | 48,589,442 | 1,568,700 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.289%, 5/15/2054 (i) | 45,180,204 | 2,728,821 | ||
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.206%, 6/15/2054 (i) | 42,818,954 | 2,341,606 | ||
Navistar Financial Dealer Note Master Owner Trust, 2022-1, “A”, FLR, 6.587% (SOFR - 30 day + 1.25%), 5/25/2027 (n) | 10,812,000 | 10,822,092 | ||
NextGear Floorplan Master Owner Trust, 2022-1A, “A1”, FLR, 6.396% (SOFR - 30 day + 1.05%), 3/15/2027 (n) | 6,113,000 | 6,143,254 | ||
NextGear Floorplan Master Owner Trust, 2023-1A, “A1”, FLR, 6.446% (SOFR - 1mo. + 1.1%), 3/15/2028 (n) | 4,992,000 | 5,027,545 | ||
Oaktree CLO 2019-1A Ltd., “BR”, FLR, 7.329% ((SOFR - 3mo. + 0.26161%) + 1.75%), 4/22/2030 (n) | 8,692,908 | 8,599,329 | ||
Oaktree CLO 2019-1A Ltd., “CR”, FLR, 7.929% ((SOFR - 3mo. + 0.26161%) + 2.35%), 4/22/2030 (n) | 7,442,908 | 7,358,438 | ||
OBX Trust, 2024-NQM1, “A1”, 5.928%, 11/25/2063 (n) | 3,523,100 | 3,541,922 | ||
OneMain Financial Issuance Trust, 2020-2A, “A”, 1.75%, 9/14/2035 (n) | 8,570,000 | 7,939,558 | ||
OneMain Financial Issuance Trust, 2022-S1, “A”, 4.13%, 5/14/2035 (n) | 5,509,000 | 5,368,662 | ||
Onslow Bay Financial LLC OBX Trust, 2024-NQM1, “A2”, 6.253%, 11/25/2063 (n) | 1,067,819 | 1,074,446 | ||
OSD CLO, 2023-27, Ltd., “B”, FLR, 7.714% (SOFR - 3mo. + 2.4%), 4/16/2035 (n) | 8,390,839 | 8,419,745 | ||
Ownit Mortgage Loan Asset-Backed Certificates, 3.161%, 10/25/2035 | 982,085 | 552,593 | ||
Palmer Square Loan Funding 2023-1A Ltd., “A2”, FLR, 7.817% (SOFR - 3mo. + 2.5%), 7/20/2031 (n) | 15,111,215 | 15,121,309 | ||
PFP III 2021-7 Ltd., “C”, FLR, 7.102% ((SOFR - 1mo. + 0.11448%) + 1.65%), 4/14/2038 (n) | 145,358 | 141,750 | ||
PFP III 2021-8 Ltd., “B”, FLR, 6.952% ((SOFR - 1mo. + 0.11448%) + 1.5%), 8/09/2037 (n) | 3,244,500 | 3,127,763 | ||
Progress Residential 2021-SFR1 Trust, “B”, 1.303%, 4/17/2038 (n) | 1,210,000 | 1,107,978 | ||
Progress Residential 2021-SFR1 Trust, “C”, 1.555%, 4/17/2038 (n) | 908,000 | 831,674 | ||
Shackleton 2013-4RA CLO Ltd., “B”, FLR, 7.475% ((SOFR - 3mo. + 2.1616%) + 1.9%), 4/13/2031 (n) | 2,268,542 | 2,229,389 | ||
Shelter Growth CRE 2021-FL3 Ltd., “C”, FLR, 7.598% ((SOFR - 1mo. + 0.11448%) + 2.15%), 9/15/2036 (n) | 6,411,000 | 6,135,903 | ||
Southwick Park CLO, Ltd., 2019-4A, “B1R”, FLR, 7.079% ((SOFR - 3mo. + 0.26161%) + 1.5%), 7/20/2032 (n) | 2,957,000 | 2,945,225 | ||
Southwick Park CLO, Ltd., 2019-4A, “B2R”, 2.46%, 7/20/2032 (n) | 5,142,000 | 4,547,569 | ||
Southwick Park CLO, Ltd., 2019-4A, “CR”, FLR, 7.529% ((SOFR - 3mo. + 0.26161%) + 1.95%), 7/20/2032 (n) | 7,004,000 | 6,987,337 | ||
Starwood Commercial Mortgage, 2021-FL2, “B”, FLR, 7.249% ((SOFR - 1mo. + 0.11448%) + 1.8%), 4/18/2038 (n) | 8,644,500 | 8,165,357 | ||
Stratus Static CLO Ltd., 2022-3A, “BR”, FLR, 7.218% (SOFR - 3mo. + 1.9%), 10/19/2031 (n) | 2,308,226 | 2,308,159 | ||
Thornburg Mortgage Securities Trust, FLR, 6.13% ((SOFR - 1mo. + 0.11448%) + 0.68%), 4/25/2043 | 5,967 | 5,954 | ||
TPG Real Estate Finance, 2021-FL4, “AS”, FLR, 6.846% ((SOFR - 1mo. + 0.11448%) + 1.4%), 3/15/2038 (n) | 6,062,000 | 5,895,525 | ||
TPG Real Estate Finance, 2021-FL4, “B”, FLR, 7.296% ((SOFR - 1mo. + 0.11448%) + 1.85%), 3/15/2038 (n) | 13,226,000 | 12,795,018 | ||
UBS Commercial Mortgage Trust, 2017-C1, “XA”, 1.012%, 11/15/2050 (i) | 23,468,715 | 658,276 | ||
UBS Commercial Mortgage Trust, 2018-C14, “XA”, 0.867%, 12/15/2051 (i) | 20,428,876 | 670,110 | ||
Wells Fargo Commercial Mortgage Trust, 2021-C61, “XA”, 1.358%, 11/15/2054 (i) | 46,878,323 | 3,107,503 | ||
Westlake Automobile Receivables Trust, 2023-1A, “A2B”, FLR, 6.196% (SOFR - 1mo. + 0.85%), 6/15/2026 (n) | 1,849,949 | 1,851,371 | ||
World Omni Auto Receivables Trust, 3.67%, 6/15/2027 | 3,072,000 | 3,029,282 | ||
World Omni Select Auto Trust 2023-A, “A2B”, FLR, 6.196% (SOFR - 1mo. + 0.85%), 3/15/2027 | 6,645,688 | 6,652,852 | ||
$619,030,500 | ||||
Automotive – 1.5% | ||||
Ford Motor Credit Co. LLC, 5.8%, 3/05/2027 | $ | 5,877,000 | $5,914,541 | |
Hyundai Capital America, 5.875%, 4/07/2025 (n) | 8,600,000 | 8,644,739 | ||
LKQ Corp., 5.75%, 6/15/2028 | 9,655,000 | 9,852,491 | ||
Stellantis Finance US, Inc., 1.711%, 1/29/2027 (n) | 6,594,000 | 6,042,851 | ||
Volkswagen Group of America Finance LLC, 2.85%, 9/26/2024 (n) | 4,128,000 | 4,055,486 | ||
Volkswagen Group of America Finance LLC, 3.35%, 5/13/2025 (n) | 7,295,000 | 7,119,508 | ||
$41,629,616 |
3
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Broadcasting – 0.2% | ||||
WarnerMedia Holdings, Inc., 3.755%, 3/15/2027 | $ | 6,864,000 | $6,593,802 | |
Brokerage & Asset Managers – 1.7% | ||||
Brookfield Finance, Inc., 3.9%, 1/25/2028 | $ | 13,949,000 | $13,494,339 | |
Charles Schwab Corp., 5.875%, 8/24/2026 | 7,766,000 | 7,951,366 | ||
Charles Schwab Corp., 5.643% to 5/19/2028, FLR (SOFR - 1 day + 2.210%) to 5/19/2029 | 11,590,000 | 11,858,338 | ||
LPL Holdings, Inc., 4.625%, 11/15/2027 (n) | 4,392,000 | 4,229,124 | ||
LPL Holdings, Inc., 6.75%, 11/17/2028 | 3,449,000 | 3,626,003 | ||
LPL Holdings, Inc., 4%, 3/15/2029 (n) | 7,092,000 | 6,536,122 | ||
$47,695,292 | ||||
Business Services – 0.5% | ||||
Global Payments, Inc., 1.2%, 3/01/2026 | $ | 8,692,000 | $8,029,938 | |
Tencent Holdings Ltd., 1.81%, 1/26/2026 (n) | 7,043,000 | 6,626,434 | ||
$14,656,372 | ||||
Cable TV – 0.7% | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.15%, 11/10/2026 | $ | 6,865,000 | $7,012,500 | |
Cox Communications, Inc., 5.45%, 9/15/2028 (n) | 13,143,000 | 13,412,199 | ||
$20,424,699 | ||||
Computer Software – 0.2% | ||||
Dell International LLC/EMC Corp., 4%, 7/15/2024 | $ | 4,900,000 | $4,863,160 | |
Computer Software - Systems – 0.3% | ||||
VMware, Inc., 1%, 8/15/2024 | $ | 5,405,000 | $5,270,989 | |
VMware, Inc., 1.4%, 8/15/2026 | 4,186,000 | 3,831,540 | ||
$9,102,529 | ||||
Conglomerates – 0.9% | ||||
Regal Rexnord Corp., 6.05%, 2/15/2026 (n) | $ | 9,148,000 | $9,245,367 | |
Regal Rexnord Corp., 6.05%, 4/15/2028 (n) | 5,533,000 | 5,614,046 | ||
Westinghouse Air Brake Technologies Corp., 4.15%, 3/15/2024 | 9,885,000 | 9,865,965 | ||
$24,725,378 | ||||
Consumer Products – 0.5% | ||||
Haleon UK Capital LLC, 3.125%, 3/24/2025 | $ | 10,091,000 | $9,872,493 | |
Haleon US Capital LLC, 3.375%, 3/24/2027 | 4,466,000 | 4,300,148 | ||
$14,172,641 | ||||
Containers – 0.6% | ||||
Berry Global, Inc., 1.57%, 1/15/2026 | $ | 7,474,000 | $6,976,900 | |
Berry Global, Inc., 1.65%, 1/15/2027 | 9,789,000 | 8,840,324 | ||
Berry Global, Inc., 5.5%, 4/15/2028 (n) | 1,938,000 | 1,957,717 | ||
$17,774,941 | ||||
Electrical Equipment – 0.4% | ||||
Arrow Electronics, Inc., 6.125%, 3/01/2026 | $ | 10,017,000 | $10,021,228 | |
Electronics – 1.2% | ||||
Microchip Technology, Inc., 0.983%, 9/01/2024 | $ | 18,197,000 | $17,714,046 | |
Qorvo, Inc., 1.75%, 12/15/2024 | 3,654,000 | 3,524,166 | ||
SK hynix, Inc., 6.25%, 1/17/2026 (n) | 12,203,000 | 12,347,815 | ||
$33,586,027 |
4
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Quasi-Sovereign – 0.4% | ||||
DAE Funding LLC (United Arab Emirates), 1.55%, 8/01/2024 (n) | $ | 3,903,000 | $3,802,515 | |
DAE Funding LLC (United Arab Emirates), 2.625%, 3/20/2025 (n) | 6,500,000 | 6,238,115 | ||
$10,040,630 | ||||
Energy - Independent – 0.5% | ||||
EQT Corp., 5.7%, 4/01/2028 | $ | 3,013,000 | $3,065,251 | |
Pioneer Natural Resources Co., 1.9%, 8/15/2030 | 13,968,000 | 11,900,795 | ||
$14,966,046 | ||||
Financial Institutions – 1.6% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.15%, 2/15/2024 | $ | 11,511,000 | $11,498,566 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.45%, 4/15/2027 (n) | 5,009,000 | 5,182,668 | ||
Air Lease Corp., 2.2%, 1/15/2027 | 7,822,000 | 7,183,958 | ||
Avolon Holdings Funding Ltd., 5.5%, 1/15/2026 (n) | 3,134,000 | 3,115,370 | ||
Avolon Holdings Funding Ltd., 4.25%, 4/15/2026 (n) | 2,797,000 | 2,705,081 | ||
Avolon Holdings Funding Ltd., 2.528%, 11/18/2027 (n) | 6,154,000 | 5,492,547 | ||
Avolon Holdings Funding Ltd., 2.75%, 2/21/2028 (n) | 4,709,000 | 4,214,737 | ||
Avolon Holdings Funding Ltd., 6.375%, 5/04/2028 (n) | 4,885,000 | 4,995,486 | ||
$44,388,413 | ||||
Food & Beverages – 1.5% | ||||
Bacardi-Martini B.V., 5.25%, 1/15/2029 (n) | $ | 11,526,000 | $11,573,656 | |
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029 | 11,955,000 | 10,572,940 | ||
JDE Peet's N.V., 0.8%, 9/24/2024 (n) | 11,971,000 | 11,579,287 | ||
JDE Peet's N.V., 1.375%, 1/15/2027 (n) | 8,356,000 | 7,528,983 | ||
$41,254,866 | ||||
Food & Drug Stores – 0.3% | ||||
7-Eleven, Inc., 0.8%, 2/10/2024 (n) | $ | 7,744,000 | $7,730,856 | |
Gaming & Lodging – 1.5% | ||||
GLP Capital LP/GLP Financing II, Inc., 5.25%, 6/01/2025 | $ | 8,847,000 | $8,807,280 | |
GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026 | 1,551,000 | 1,545,736 | ||
Hyatt Hotels Corp., 1.8%, 10/01/2024 | 7,537,000 | 7,344,949 | ||
Hyatt Hotels Corp., 5.75%, 1/30/2027 | 5,367,000 | 5,489,592 | ||
Las Vegas Sands Corp., 3.2%, 8/08/2024 | 5,950,000 | 5,864,515 | ||
Marriott International, Inc., 4.9%, 4/15/2029 | 5,173,000 | 5,204,755 | ||
Sands China Ltd., 4.05%, 1/08/2026 | 6,819,000 | 6,565,856 | ||
$40,822,683 | ||||
Industrial – 0.0% | ||||
Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | $ | 578,000 | $557,406 | |
Insurance – 1.2% | ||||
Corebridge Financial, Inc., 3.5%, 4/04/2025 | $ | 3,720,000 | $3,639,756 | |
Corebridge Financial, Inc., 3.65%, 4/05/2027 | 7,440,000 | 7,142,737 | ||
Corebridge Global Funding, 5.2%, 1/12/2029 (n) | 4,695,000 | 4,712,966 | ||
Equitable Financial Life Insurance Co., 1.4%, 7/07/2025 (n) | 4,044,000 | 3,827,757 | ||
Equitable Financial Life Insurance Co., 5.5%, 12/02/2025 (n) | 15,338,000 | 15,385,553 | ||
$34,708,769 | ||||
Insurance - Property & Casualty – 0.0% | ||||
Ambac Assurance Corp., 5.1%, 6/07/2172 (n) | $ | 23,513 | $30,685 | |
International Market Quasi-Sovereign – 0.4% | ||||
NBN Co. Ltd. (Commonwealth of Australia), 5.75%, 10/06/2028 (n) | $ | 10,003,000 | $10,406,444 |
5
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Machinery & Tools – 0.1% | ||||
CNH Industrial Capital LLC, 1.875%, 1/15/2026 | $ | 2,401,000 | $2,260,865 | |
Major Banks – 14.9% | ||||
Bank of America Corp., 4.2%, 8/26/2024 | $ | 3,106,000 | $3,080,623 | |
Bank of America Corp., 4.45%, 3/03/2026 | 6,999,000 | 6,935,581 | ||
Bank of America Corp., 4.25%, 10/22/2026 | 4,033,000 | 3,979,096 | ||
Bank of America Corp., 1.734% to 7/22/2026, FLR (SOFR - 1 day + 0.96%) to 7/22/2027 | 22,751,000 | 20,970,308 | ||
Bank of America Corp., 4.183%, 11/25/2027 | 6,721,000 | 6,559,447 | ||
Barclays PLC, 2.852% to 5/07/2025, FLR (SOFR - 3mo. + 2.71361%) to 5/07/2026 | 2,564,000 | 2,481,986 | ||
Barclays PLC, 2.279% to 11/24/2026, FLR (CMT - 1yr. + 1.05%) to 11/24/2027 | 10,326,000 | 9,500,628 | ||
BNP Paribas S.A., 2.591% to 1/20/2027, FLR (SOFR - 1 day + 1.228%) to 1/20/2028 (n) | 12,560,000 | 11,659,842 | ||
Capital One Financial Corp., 4.166% to 5/09/2024, FLR (SOFR - 1 day + 1.37%) to 5/09/2025 | 6,912,000 | 6,881,085 | ||
Capital One Financial Corp., 2.636% to 3/03/2025, FLR (SOFR - 1 day + 1.29%) to 3/03/2026 | 12,928,000 | 12,501,645 | ||
Capital One Financial Corp., 7.149% to 10/29/2026, FLR (SOFR - 1 day + 2.44%) to 10/29/2027 | 1,650,000 | 1,719,498 | ||
Capital One Financial Corp., 5.7% to 2/01/2029, FLR (SOFR - 1 day + 1.905%) to 1/31/2030 | 2,193,000 | 2,214,370 | ||
Credit Agricole S.A., 1.907% to 6/16/2025, FLR (SOFR - 1 day + 1.676%) to 6/16/2026 (n) | 2,080,000 | 1,982,657 | ||
Credit Agricole S.A., 5.335% to 1/10/2029, FLR (SOFR - 1 day + 1.69%) to 1/09/2030 (n) | 11,751,000 | 11,800,931 | ||
Deutsche Bank AG, 0.898%, 5/28/2024 | 2,663,000 | 2,622,912 | ||
Deutsche Bank AG, 1.447% to 4/01/2024, FLR (SOFR - 1 day + 1.131%) to 4/01/2025 | 12,981,000 | 12,875,163 | ||
Deutsche Bank AG, 7.146% to 7/13/2026, FLR (SOFR - 1 day + 2.52%) to 7/13/2027 | 3,585,000 | 3,713,059 | ||
Deutsche Bank AG, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027 | 3,240,000 | 2,964,730 | ||
Deutsche Bank AG, 6.72% to 1/18/2028, FLR (SOFR - 1 day + 3.18%) to 1/18/2029 | 680,000 | 707,953 | ||
Goldman Sachs Group, Inc., 3.5%, 4/01/2025 | 5,300,000 | 5,199,749 | ||
Goldman Sachs Group, Inc., 1.093% to 12/09/2025, FLR (SOFR - 1 day + 0.789%) to 12/09/2026 | 4,637,000 | 4,304,144 | ||
Goldman Sachs Group, Inc., 1.948% to 10/21/2026, FLR (SOFR - 1 day + 0.913%) to 10/21/2027 | 8,452,000 | 7,773,153 | ||
HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR - 1 day + 1.929%) to 6/04/2026 | 4,303,000 | 4,114,620 | ||
HSBC Holdings PLC, 7.336% to 11/03/2025, FLR (SOFR - 1 day + 3.03%) to 11/03/2026 | 4,354,000 | 4,519,038 | ||
HSBC Holdings PLC, 1.589% to 5/24/2026, FLR (SOFR - 1 day + 1.29%) to 5/24/2027 | 3,448,000 | 3,171,890 | ||
HSBC Holdings PLC, 2.251% to 11/22/2026, FLR (SOFR - 1 day + 1.1%) to 11/22/2027 | 12,000,000 | 11,056,529 | ||
Huntington Bancshares, Inc., 4.008% to 5/16/2024, FLR (SOFR - 1 day + 1.205%) to 5/16/2025 | 10,655,000 | 10,558,174 | ||
Huntington Bancshares, Inc., 5.699% to 11/18/2024, FLR (SOFR - 1 day + 1.215%) to 11/18/2025 | 9,500,000 | 9,448,796 | ||
Huntington Bancshares, Inc., 4.443% to 8/04/2027, FLR (SOFR - 1 day + 1.970%) to 8/04/2028 | 1,309,000 | 1,272,143 | ||
JPMorgan Chase & Co., 5.546% to 12/15/2024, FLR (SOFR - 1 day + 1.07%) to 12/15/2025 | 8,000,000 | 8,004,487 | ||
JPMorgan Chase & Co., 2.005% to 3/13/2025, FLR (SOFR - 1 day + 1.585%) to 3/13/2026 | 7,223,000 | 6,954,486 | ||
JPMorgan Chase & Co., 1.04% to 2/04/2026, FLR (SOFR - 1 day + 0.695%) to 2/04/2027 | 6,220,000 | 5,742,513 | ||
JPMorgan Chase & Co., 1.578% to 4/22/2026, FLR (SOFR - 1 day + 0.885%) to 4/22/2027 | 5,268,000 | 4,889,712 | ||
JPMorgan Chase & Co., 1.47% to 9/22/2026, FLR (SOFR - 1 day + 0.765%) to 9/22/2027 | 10,000,000 | 9,127,911 | ||
JPMorgan Chase & Co., 5.04% to 1/23/2027, FLR (SOFR - 1 day + 1.19%) to 1/22/2028 | 6,919,000 | 6,948,594 | ||
Lloyds Banking Group PLC, 3.511% to 3/18/2025, FLR (CMT - 1yr. + 1.6%) to 3/18/2026 | 15,414,000 | 15,065,467 | ||
Mitsubishi UFJ Financial Group, Inc., 0.953% to 7/19/2024, FLR (CMT - 1yr. + 0.55%) to 7/19/2025 | 7,128,000 | 6,973,665 | ||
Mitsubishi UFJ Financial Group, Inc., 0.962% to 10/11/2024, FLR (CMT - 1yr. + 0.45%) to 10/11/2025 | 7,021,000 | 6,797,234 | ||
Morgan Stanley, 0.864% to 10/21/2024, FLR (SOFR - 1 day + 0.745%) to 10/21/2025 | 8,651,000 | 8,357,309 | ||
Morgan Stanley, 4.35%, 9/08/2026 | 9,466,000 | 9,324,167 | ||
Morgan Stanley, 3.625%, 1/20/2027 | 6,092,000 | 5,924,149 | ||
Morgan Stanley, 3.95%, 4/23/2027 | 2,189,000 | 2,130,307 | ||
Morgan Stanley, 1.512% to 7/20/2026, FLR (SOFR - 1 day + 0.858%) to 7/20/2027 | 7,636,000 | 7,008,272 | ||
Nationwide Building Society, 2.972% to 2/16/2027, FLR (SOFR - 1 day + 1.29%) to 2/16/2028 (n) | 9,261,000 | 8,617,196 | ||
NatWest Group PLC, 4.269% to 3/22/2024, FLR (LIBOR - 3mo. + 1.762%) to 3/22/2025 | 7,126,000 | 7,108,755 | ||
NatWest Markets PLC, 3.479%, 3/22/2025 (n) | 8,888,000 | 8,727,237 | ||
PNC Bank N.A., 2.5%, 8/27/2024 | 4,237,000 | 4,171,363 | ||
PNC Financial Services Group, Inc., 5.354% to 12/02/2027, FLR (SOFR - 1 day + 1.62%) to 12/02/2028 | 15,162,000 | 15,354,544 | ||
Standard Chartered PLC, 1.214% to 3/23/2024, FLR (CMT - 1yr. + 0.88%) to 3/23/2025 (n) | 2,614,000 | 2,593,689 | ||
Standard Chartered PLC, 1.822% to 11/23/2024, FLR (CMT - 1yr. + 0.95%) to 11/23/2025 (n) | 2,554,000 | 2,471,216 | ||
Standard Chartered PLC, 3.971% to 3/30/2025, FLR (CMT - 1yr. + 1.65%) to 3/30/2026 (n) | 3,723,000 | 3,647,389 | ||
Standard Chartered PLC, 6.17% to 1/09/2026, FLR (CMT - 1yr. + 2.05%) to 1/08/2027 (n) | 4,409,000 | 4,481,028 | ||
Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025 | 7,574,000 | 7,200,232 | ||
Sumitomo Mitsui Financial Group, Inc., 2.174%, 1/14/2027 | 8,414,000 | 7,807,918 | ||
Sumitomo Mitsui Trust Bank Ltd., 0.85%, 3/25/2024 (n) | 5,661,000 | 5,623,052 | ||
UBS Group AG, 5.711% to 1/12/2026, FLR (CMT - 1yr. + 1.55%) to 1/11/2027 (n) | 10,083,000 | 10,143,000 |
6
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
UBS Group AG, 4.703% to 8/05/2026, FLR (CMT - 1yr. + 2.05%) to 8/05/2027 (n) | $ | 6,561,000 | $6,479,668 | |
UBS Group AG, 9.25% to 11/13/2028, FLR (CMT - 5yr. + 4.745%) to 5/13/2172 (n) | 2,169,000 | 2,320,155 | ||
UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n) | 8,699,000 | 8,240,906 | ||
Wells Fargo & Co., 2.164% to 2/11/2025, FLR ((SOFR - 3mo. + 0.26161%) + 0.75%) to 2/11/2026 | 9,707,000 | 9,378,876 | ||
Wells Fargo & Co., 3.526% to 3/24/2027, FLR (SOFR - 1 day + 1.51%) to 3/24/2028 | 13,228,000 | 12,677,727 | ||
$416,861,974 | ||||
Medical & Health Technology & Services – 1.5% | ||||
IQVIA, Inc., 5.7%, 5/15/2028 (n) | $ | 4,073,000 | $4,147,924 | |
IQVIA, Inc., 6.25%, 2/01/2029 (n) | 3,009,000 | 3,131,515 | ||
PerkinElmer, Inc., 0.85%, 9/15/2024 | 10,000,000 | 9,703,816 | ||
Thermo Fisher Scientific, Inc., 1.215%, 10/18/2024 | 25,217,000 | 24,503,483 | ||
$41,486,738 | ||||
Metals & Mining – 1.3% | ||||
Anglo American Capital PLC, 4.75%, 4/10/2027 (n) | $ | 14,029,000 | $13,866,940 | |
Glencore Funding LLC, 4.125%, 3/12/2024 (n) | 4,410,000 | 4,402,533 | ||
Glencore Funding LLC, 4.625%, 4/29/2024 (n) | 3,375,000 | 3,364,336 | ||
Glencore Funding LLC, 1.625%, 9/01/2025 (n) | 7,900,000 | 7,491,545 | ||
Glencore Funding LLC, 1.625%, 4/27/2026 (n) | 8,268,000 | 7,683,199 | ||
$36,808,553 | ||||
Midstream – 1.9% | ||||
DCP Midstream Operating, LP, 5.625%, 7/15/2027 | $ | 12,562,000 | $12,799,861 | |
Enbridge, Inc., 2.5%, 2/14/2025 | 6,525,000 | 6,345,607 | ||
Enbridge, Inc., 5.969%, 3/08/2026 | 6,227,000 | 6,226,724 | ||
Energy Transfer LP, 2.9%, 5/15/2025 | 3,676,000 | 3,568,365 | ||
Energy Transfer LP, 5.55%, 2/15/2028 | 3,921,000 | 3,989,998 | ||
Plains All American Pipeline LP, 4.65%, 10/15/2025 | 10,480,000 | 10,401,361 | ||
TC Energy Corp., 6.203%, 3/09/2026 | 5,661,000 | 5,660,580 | ||
Western Midstream Operating LP, 3.1%, 2/01/2025 | 3,357,000 | 3,271,194 | ||
$52,263,690 | ||||
Mortgage-Backed – 0.6% | ||||
Fannie Mae, 3%, 12/01/2031 | $ | 853,564 | $818,749 | |
Fannie Mae, 4.105%, 3/01/2033 | 29,653 | 29,615 | ||
Fannie Mae, 5.375%, 5/01/2033 | 65,155 | 64,391 | ||
Fannie Mae, 2%, 5/25/2044 | 224,683 | 219,646 | ||
Freddie Mac, 1.087%, 4/25/2024 (i) | 141,650 | 111 | ||
Freddie Mac, 5.978%, 7/25/2029 (i) | 4,799,931 | 4,795,223 | ||
Freddie Mac, 1.695%, 4/25/2030 (i) | 28,857,460 | 2,221,098 | ||
Freddie Mac, 3%, 4/15/2033 - 6/15/2045 | 7,997,213 | 7,568,460 | ||
Freddie Mac, 2%, 7/15/2042 | 1,060,039 | 972,729 | ||
Ginnie Mae, 3.625%, 7/20/2032 | 24,580 | 24,291 | ||
$16,714,313 | ||||
Municipals – 0.6% | ||||
Kentucky Higher Education Student Loan Corp. Rev., Taxable, “A-2”, 5.949%, 6/01/2037 | $ | 12,155,000 | $11,972,547 | |
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.156%, 7/01/2024 | 1,000,000 | 987,260 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.306%, 7/01/2025 | 790,000 | 763,058 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.562%, 7/01/2026 | 1,005,000 | 958,521 | ||
Michigan Finance Authority Tobacco Settlement Asset-Backed Rev., Taxable (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 1,046,307 | 1,028,660 | ||
New Jersey Transportation Trust Fund Authority, Transportation System, Taxable, “B”, 2.631%, 6/15/2024 | 1,720,000 | 1,700,592 | ||
$17,410,638 | ||||
Natural Gas - Pipeline – 0.5% | ||||
APA Infrastructure Ltd., 4.2%, 3/23/2025 (n) | $ | 14,780,000 | $14,578,013 |
7
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Other Banks & Diversified Financials – 2.5% | ||||
AIB Group PLC, 7.583% to 10/14/2025, FLR (SOFR - 1 day + 3.456%) to 10/14/2026 (n) | $ | 12,719,000 | $13,126,511 | |
AIB Group PLC, 6.608% to 9/13/2028, FLR (SOFR - 1 day + 2.33%) to 9/13/2029 (n) | 1,836,000 | 1,928,818 | ||
American Express Co., 2.25%, 3/04/2025 | 6,463,000 | 6,263,386 | ||
Banque Federative du Credit Mutuel S.A., 0.65%, 2/27/2024 (n) | 10,142,000 | 10,107,958 | ||
Banque Federative du Credit Mutuel S.A., 5.896%, 7/13/2026 (n) | 7,978,000 | 8,144,977 | ||
Citizens Financial Group, Inc. , 5.841% to 1/23/2029, FLR (SOFR - 1 day + 2.01%) to 1/22/2030 | 7,025,000 | 7,073,805 | ||
Macquarie Group Ltd., 1.201% to 10/14/2024, FLR (SOFR - 1 day + 0.694%) to 10/14/2025 (n) | 10,208,000 | 9,893,867 | ||
Macquarie Group Ltd., 1.34% to 1/12/2026, FLR (SOFR - 1 day + 1.069%) to 1/12/2027 (n) | 6,707,000 | 6,191,724 | ||
Truist Financial Corp., 5.435% to 1/24/2029, FLR (SOFR - 1 day + 1.62%) to 1/23/2030 | 8,266,000 | 8,336,450 | ||
$71,067,496 | ||||
Pharmaceuticals – 0.3% | ||||
Amgen, Inc., 5.507%, 3/02/2026 | $ | 2,748,000 | $2,748,462 | |
Bayer US Finance LLC, 6.125%, 11/21/2026 (n) | 2,950,000 | 2,994,438 | ||
Bayer US Finance LLC, 6.25%, 1/21/2029 (n) | 2,837,000 | 2,901,433 | ||
$8,644,333 | ||||
Railroad & Shipping – 0.4% | ||||
Canadian Pacific Railway Co., 1.35%, 12/02/2024 | $ | 11,123,000 | $10,757,117 | |
Real Estate - Office – 0.5% | ||||
Corporate Office Property LP, REIT, 2.25%, 3/15/2026 | $ | 13,184,000 | $12,385,904 | |
Corporate Office Property LP, REIT, 2%, 1/15/2029 | 2,060,000 | 1,730,765 | ||
$14,116,669 | ||||
Real Estate - Other – 0.2% | ||||
Sun Communities Operating LP, 5.5%, 1/15/2029 | $ | 7,053,000 | $7,120,396 | |
Retailers – 0.1% | ||||
Nordstrom, Inc., 2.3%, 4/08/2024 | $ | 3,956,000 | $3,916,440 | |
Specialty Chemicals – 0.6% | ||||
International Flavors & Fragrances, Inc., 1.23%, 10/01/2025 (n) | $ | 14,678,000 | $13,678,153 | |
International Flavors & Fragrances, Inc., 1.832%, 10/15/2027 (n) | 4,697,000 | 4,161,815 | ||
$17,839,968 | ||||
Specialty Stores – 0.4% | ||||
Genuine Parts Co., 1.75%, 2/01/2025 | $ | 5,643,000 | $5,452,824 | |
Ross Stores, Inc., 0.875%, 4/15/2026 | 7,614,000 | 7,010,874 | ||
$12,463,698 | ||||
Telecommunications - Wireless – 1.0% | ||||
Crown Castle, Inc., REIT, 1.35%, 7/15/2025 | $ | 1,776,000 | $1,680,507 | |
Crown Castle, Inc., REIT, 2.9%, 3/15/2027 | 3,817,000 | 3,579,487 | ||
Rogers Communications, Inc., 3.2%, 3/15/2027 | 12,002,000 | 11,472,077 | ||
T-Mobile USA, Inc., 3.5%, 4/15/2025 | 10,518,000 | 10,311,789 | ||
$27,043,860 | ||||
Tobacco – 0.8% | ||||
B.A.T. International Finance PLC, 5.931%, 2/02/2029 | $ | 4,159,000 | $4,317,523 | |
Imperial Brands Finance PLC, 6.125%, 7/27/2027 (n) | 4,706,000 | 4,837,331 | ||
Philip Morris International, Inc., 5%, 11/17/2025 | 3,250,000 | 3,265,825 | ||
Philip Morris International, Inc., 5.125%, 11/17/2027 | 2,895,000 | 2,942,387 | ||
Philip Morris International, Inc., 4.875%, 2/15/2028 | 6,100,000 | 6,150,537 | ||
$21,513,603 |
8
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Transportation - Services – 1.8% | ||||
Element Fleet Management Corp., 1.6%, 4/06/2024 (n) | $ | 24,483,000 | $24,283,313 | |
Element Fleet Management Corp., 6.271%, 6/26/2026 (n) | 14,322,000 | 14,580,855 | ||
ERAC USA Finance LLC, 3.85%, 11/15/2024 (n) | 2,559,000 | 2,526,608 | ||
ERAC USA Finance LLC, 3.8%, 11/01/2025 (n) | 2,559,000 | 2,503,331 | ||
Penske Truck Leasing Co. LP, 5.35%, 1/12/2027 (n) | 5,489,000 | 5,520,522 | ||
$49,414,629 | ||||
U.S. Treasury Obligations – 24.5% | ||||
U.S. Treasury Notes, 4.125%, 6/15/2026 (f) | $ | 279,372,000 | $279,437,479 | |
U.S. Treasury Notes, 4.5%, 7/15/2026 | 179,504,000 | 181,179,839 | ||
U.S. Treasury Notes, 4.625%, 11/15/2026 | 221,923,000 | 225,321,196 | ||
$685,938,514 | ||||
Utilities - Electric Power – 4.3% | ||||
American Electric Power Co., Inc., 5.699%, 8/15/2025 | $ | 3,455,000 | $3,481,569 | |
Edison International, 4.7%, 8/15/2025 | 10,842,000 | 10,746,269 | ||
Emera US Finance LP, 0.833%, 6/15/2024 | 3,730,000 | 3,656,364 | ||
Enel Finance International N.V., 4.25%, 6/15/2025 (n) | 15,000,000 | 14,805,277 | ||
Enel Finance International N.V., 6.8%, 10/14/2025 (n) | 3,086,000 | 3,163,955 | ||
Entergy Louisiana LLC, 0.95%, 10/01/2024 | 17,870,000 | 17,381,113 | ||
FirstEnergy Corp., 2.05%, 3/01/2025 | 5,731,000 | 5,500,728 | ||
FirstEnergy Corp., 1.6%, 1/15/2026 | 2,459,000 | 2,288,074 | ||
NextEra Energy Capital Holdings, Inc., 6.051%, 3/01/2025 | 7,426,000 | 7,488,594 | ||
NextEra Energy Capital Holdings, Inc., 5.749%, 9/01/2025 | 7,988,000 | 8,068,665 | ||
Pacific Gas & Electric Co., 4.95%, 6/08/2025 | 7,450,000 | 7,413,265 | ||
Pacific Gas & Electric Co., 6.1%, 1/15/2029 | 7,485,000 | 7,754,815 | ||
Southern California Edison Co., 0.975%, 8/01/2024 | 7,618,000 | 7,444,259 | ||
Vistra Operations Co. LLC, 4.875%, 5/13/2024 (n) | 16,784,000 | 16,734,361 | ||
WEC Energy Group, Inc., 0.8%, 3/15/2024 | 3,658,000 | 3,635,324 | ||
$119,562,632 | ||||
Total Bonds | $2,746,073,690 | |||
Investment Companies (h) – 1.5% | ||||
Money Market Funds – 1.5% | ||||
MFS Institutional Money Market Portfolio, 5.4% (v) | 42,198,868 | $42,203,088 | ||
Other Assets, Less Liabilities – 0.4% | 12,583,424 | |||
Net Assets – 100.0% | $2,800,860,202 |
(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 $42,203,088 and $2,746,073,690, 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 $1,040,976,151, representing 37.2% 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. |
9
Portfolio of Investments (unaudited) –
continued
The following abbreviations are used in this report and are defined: | |
AGM | Assured Guaranty Municipal |
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 1/31/24 | ||||||
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 | 761 | $156,504,406 | March – 2024 | $1,411,481 |
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 | ||||||||||
10/02/25 | USD | 70,900,000 | centrally cleared | 5.014%/Annually | Daily SOFR/Annually | $698,631 | $(5,583) | $693,048 | ||
10/02/26 | USD | 228,000,000 | centrally cleared | 4.697%/Annually | Daily SOFR/Annually | 3,956,925 | (18,420) | 3,938,505 | ||
$4,655,556 | $(24,003) | $4,631,553 |
At January 31, 2024, the fund had
liquid securities with an aggregate value of $6,246,424 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.
10
Supplemental Information
1/31/24 (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. 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).
11
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, 2024 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 | $— | $685,938,514 | $— | $685,938,514 |
Non - U.S. Sovereign Debt | — | 20,447,074 | — | 20,447,074 |
Municipal Bonds | — | 17,410,638 | — | 17,410,638 |
U.S. Corporate Bonds | — | 854,184,072 | — | 854,184,072 |
Residential Mortgage-Backed Securities | — | 23,348,639 | — | 23,348,639 |
Commercial Mortgage-Backed Securities | — | 155,827,474 | — | 155,827,474 |
Asset-Backed Securities (including CDOs) | — | 456,568,700 | — | 456,568,700 |
Foreign Bonds | — | 532,348,579 | — | 532,348,579 |
Mutual Funds | 42,203,088 | — | — | 42,203,088 |
Total | $42,203,088 | $2,746,073,690 | $— | $2,788,276,778 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $1,411,481 | $— | $— | $1,411,481 |
Swap Agreements – Assets | — | 4,631,553 | — | 4,631,553 |
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 | $45,501,380 | $655,139,844 | $658,443,664 | $12,546 | $(7,018) | $42,203,088 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $1,638,461 | $— |
12