UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04492
MFS SERIES TRUST X
(Exact name of registrant as specified in charter)
111 Huntington Avenue, Boston, Massachusetts 02199
(Address of principal executive offices) (Zip code)
Christopher R. Bohane
Massachusetts Financial Services Company
111 Huntington Avenue
Boston, Massachusetts 02199
(Name and address of agents for service)
Registrant’s telephone number, including area code: (617) 954-5000
Date of fiscal year end: November 30*
Date of reporting period: May 31, 2022
* | This Form N-CSR pertains only to the following series of the Registrant: MFS Global Opportunistic Bond Fund. Each remaining series of the Registrant has a fiscal year end other than November 30th. |
ITEM 1. | REPORTS TO STOCKHOLDERS. |
Item 1(a):
Bond Fund
Bond Fund
1 | |
2 | |
5 | |
7 | |
34 | |
36 | |
38 | |
39 | |
48 | |
70 | |
71 | |
71 | |
71 | |
71 | |
71 |
back cover |
Emerging Markets Bonds | 30.2% |
Investment Grade Corporates | 20.8% |
High Yield Corporates | 11.4% |
Mortgage-Backed Securities | 4.8% |
Commercial Mortgage-Backed Securities | 3.9% |
Collateralized Debt Obligations | 3.8% |
Asset-Backed Securities | 0.7% |
Municipal Bonds | 0.3% |
Non-U.S. Government Bonds | 0.2% |
U.S. Government Agencies (o) | 0.0% |
U.S. Treasury Securities | (0.8)% |
AAA | 11.6% |
AA | 7.7% |
A | 19.8% |
BBB | 21.5% |
BB | 16.0% |
B | 3.9% |
CCC | 1.0% |
U.S. Government | 3.8% |
Federal Agencies | 4.8% |
Not Rated | (14.8)% |
Cash & Cash Equivalents | 1.9% |
Other | 22.8% |
Average Duration (d) | 6.2 |
Average Effective Maturity (m) | 9.1 yrs. |
United States | 57.2% |
China | 8.0% |
United Kingdom | 7.0% |
Japan | 4.9% |
South Korea | 4.5% |
New Zealand | 4.4% |
Canada | (4.8)% |
Germany | (5.0)% |
Australia | (5.9)% |
Other Countries | 29.7% |
(a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Federal Agencies includes rated and unrated U.S. Agency fixed-income securities, U.S. Agency mortgage-backed securities, and collateralized mortgage obligations of U.S. Agency mortgage-backed securities. |
(d) | Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value due to the interest rate move. |
(i) | For purposes of this presentation, the components include the value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include any accrued interest amounts. |
(m) | In determining each instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening device (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity. |
(o) | Less than 0.1%. |
(x) | Represents the portfolio’s exposure to issuer countries as a percentage of a portfolio’s net assets. For purposes of this presentation, United States includes Cash & Cash Equivalents and Other. |
December 1, 2021 through May 31, 2022
Share Class | Annualized Expense Ratio | Beginning Account Value 12/01/21 | Ending Account Value 5/31/22 | Expenses Paid During Period (p) 12/01/21-5/31/22 | |
A | Actual | 0.93% | $1,000.00 | $916.05 | $4.44 |
Hypothetical (h) | 0.93% | $1,000.00 | $1,020.29 | $4.68 | |
B | Actual | 1.68% | $1,000.00 | $913.11 | $8.01 |
Hypothetical (h) | 1.68% | $1,000.00 | $1,016.55 | $8.45 | |
C | Actual | 1.68% | $1,000.00 | $911.99 | $8.01 |
Hypothetical (h) | 1.68% | $1,000.00 | $1,016.55 | $8.45 | |
I | Actual | 0.67% | $1,000.00 | $917.76 | $3.20 |
Hypothetical (h) | 0.67% | $1,000.00 | $1,021.59 | $3.38 | |
R1 | Actual | 1.68% | $1,000.00 | $911.97 | $8.01 |
Hypothetical (h) | 1.68% | $1,000.00 | $1,016.55 | $8.45 | |
R2 | Actual | 1.18% | $1,000.00 | $914.33 | $5.63 |
Hypothetical (h) | 1.18% | $1,000.00 | $1,019.05 | $5.94 | |
R3 | Actual | 0.92% | $1,000.00 | $916.59 | $4.40 |
Hypothetical (h) | 0.92% | $1,000.00 | $1,020.34 | $4.63 | |
R4 | Actual | 0.67% | $1,000.00 | $917.76 | $3.20 |
Hypothetical (h) | 0.67% | $1,000.00 | $1,021.59 | $3.38 | |
R6 | Actual | 0.58% | $1,000.00 | $918.05 | $2.77 |
Hypothetical (h) | 0.58% | $1,000.00 | $1,022.04 | $2.92 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Bonds – 95.2% | ||||
Aerospace & Defense – 0.1% | ||||
Raytheon Technologies Corp., 2.82%, 9/01/2051 | $ | 1,987,000 | $ 1,488,415 | |
Airlines – 0.1% | ||||
EasyJet Finco B.V., 1.875%, 3/03/2028 | EUR | 1,190,000 | $ 1,159,315 | |
Apparel Manufacturers – 0.1% | ||||
Tapestry, Inc., 3.05%, 3/15/2032 | $ | 1,264,000 | $ 1,070,773 | |
Asset-Backed & Securitized – 8.4% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.034%, 11/15/2054 (i) | $ | 11,922,591 | $ 786,557 | |
AA Bond Co. Ltd., 3.25%, 7/31/2028 | GBP | 980,000 | 1,101,707 | |
ACREC 2021-FL1 Ltd., “C”, FLR, 3.085% (LIBOR - 1mo. + 2.15%), 10/16/2036 (n) | $ | 2,557,500 | 2,482,456 | |
ACRES 2021-FL2 Issuer Ltd., “AS”, FLR, 2.637% (LIBOR - 1mo. + 1.75%), 1/15/2037 (n) | 1,595,500 | 1,533,247 | ||
ACRES 2021-FL2 Issuer Ltd., “B”, FLR, 3.136% (LIBOR - 1mo. + 2.25%), 1/15/2037 (n) | 2,479,000 | 2,383,510 | ||
Allegro CLO Ltd., 2016-1A, “BR2”, FLR, 2.594% (LIBOR - 3mo. + 1.55%), 1/15/2030 (n) | 855,495 | 834,353 | ||
Arbor Multi-Family Mortgage Securities Trust, 2021-MF3, “A5”, 2.574%, 10/15/2054 (n) | 4,500,000 | 3,943,917 | ||
Arbor Realty Trust, Inc., CLO, 2019-FL2, “AS”, FLR, 2.346% (LIBOR - 1mo. + 1.45%), 9/15/2034 (n) | 450,000 | 443,816 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “C”, FLR, 2.875% (LIBOR - 1mo. + 2%), 12/15/2035 (n) | 204,000 | 196,938 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL2, “B”, FLR, 2.474% (LIBOR - 1mo. + 1.6%), 5/15/2036 (n) | 418,000 | 401,511 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL2, “C”, FLR, 2.825% (LIBOR - 1mo. + 1.95%), 5/15/2036 (n) | 1,359,500 | 1,301,935 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “B”, FLR, 2.475% (LIBOR - 1mo. + 1.6%), 8/15/2034 (n) | 1,205,000 | 1,177,967 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “C”, FLR, 2.725% (LIBOR - 1mo. + 1.85%), 8/15/2034 (n) | 1,049,500 | 1,016,675 | ||
Arbor Realty Trust, Inc., CLO, 2022-FL1, “C”, FLR, 2.699% (SOFR - 30 day + 2.3%), 1/15/2037 (n) | 3,751,000 | 3,713,099 | ||
Arbor Realty Trust, Inc., CLO, 2022-FL1, “D”, FLR, 3.398% (SOFR - 30 day + 3%), 1/15/2037 (n) | 2,400,000 | 2,375,799 | ||
AREIT 2022-CRE6 Trust, “C”, FLR, 2.615% (SOFR - 30 day + 2.15%), 1/16/2037 (n) | 533,500 | 523,253 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
AREIT 2022-CRE6 Trust, “D”, FLR, 3.315% (SOFR - 30 day + 2.85%), 12/17/2024 (n) | $ | 569,500 | $ 558,555 | |
BBCMS Mortgage Trust, 2020-C7, “XA”, 1.625%, 4/15/2053 (i) | 1,439,239 | 121,951 | ||
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.304%, 7/15/2054 (i) | 9,791,455 | 806,303 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.633%, 2/15/2054 (i) | 15,187,677 | 1,573,226 | ||
Benchmark 2020-B18 Mortgage Trust, “XA”, 1.79%, 7/15/2053 (i) | 12,931,822 | 1,181,044 | ||
Benchmark 2021-B24 Mortgage Trust, “XA”, 1.153%, 3/15/2054 (i) | 6,410,605 | 446,537 | ||
Benchmark 2021-B26 Mortgage Trust, “XA”, 0.999%, 6/15/2054 (i) | 19,832,112 | 1,110,953 | ||
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.27%, 7/15/2054 (i) | 20,322,867 | 1,652,654 | ||
Benchmark 2021-B28 Mortgage Trust, “XA”, 1.288%, 8/15/2054 (i) | 21,068,485 | 1,736,277 | ||
BSPRT 2021-FL7 Issuer Ltd., “B”, FLR, 2.925% (LIBOR - 1mo. + 2.05%), 12/15/2038 (n) | 632,000 | 610,991 | ||
BSPRT 2021-FL7 Issuer Ltd., “C”, FLR, 3.174% (LIBOR - 1mo. + 2.3%), 12/15/2038 (n) | 572,500 | 556,946 | ||
Business Jet Securities LLC, 2020-1A, “A”, 2.981%, 11/15/2035 (n) | 418,740 | 388,491 | ||
Business Jet Securities LLC, 2021-1A, “A”, 2.162%, 4/15/2036 (n) | 476,081 | 428,009 | ||
BXMT 2021-FL4 Ltd., “AS”, FLR, 2.175% (LIBOR - 1mo. + 1.3%), 5/15/2038 (n) | 1,100,000 | 1,070,118 | ||
BXMT 2021-FL4 Ltd., “B”, FLR, 2.424% (LIBOR - 1mo. + 1.55%), 5/15/2038 (n) | 2,995,500 | 2,889,368 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 492,603 | 471,854 | ||
CarMax Auto Owner Trust, 2022-2, “A4”, 3.62%, 9/15/2027 | 1,435,000 | 1,427,600 | ||
CF Hippolyta Issuer LLC, 2020-1, “A1”, 1.69%, 7/15/2060 (n) | 390,275 | 357,989 | ||
Commercial Mortgage Pass-Through Certificates, 2018-BN10, “A5”, 3.688%, 2/15/2061 | 2,924,308 | 2,875,328 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.782%, 4/15/2054 (i) | 7,817,330 | 388,575 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN34, “XA”, 0.978%, 6/15/2063 (i) | 11,374,199 | 725,007 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.051%, 6/15/2064 (i) | 9,515,098 | 641,367 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Commercial Mortgage Pass-Through Certificates, 2022-BNK41, “AS”, 3.916%, 4/15/2065 | $ | 2,344,000 | $ 2,215,400 | |
Fortress CBO Investments Ltd., 2022-FL3, “AS”, FLR, 2.766% (SOFR - 30 day + 2.25%), 2/23/2039 (n) | 990,500 | 984,081 | ||
FS Rialto 2021-FL2 Issuer Ltd., “AS”, FLR, 2.424% (LIBOR - 1mo. + 1.6%), 5/16/2038 (n) | 2,483,500 | 2,419,572 | ||
HarbourView CLO VII Ltd., 7RA, “B”, FLR, 2.744% (LIBOR - 3mo. + 1.7%), 7/18/2031 (n) | 2,560,000 | 2,421,097 | ||
Harley-Davidson Motorcycle Trust, 2022-A, “A3”, 3.06%, 2/15/2027 | 2,572,000 | 2,556,494 | ||
KREF 2018-FT1 Ltd., “AS”, FLR, 2.187% (LIBOR - 1mo. + 1.3%), 2/15/2039 (n) | 2,500,000 | 2,390,757 | ||
KREF 2021-FL2 Ltd., “B”, FLR, 2.537% (LIBOR - 1mo. + 1.65%), 2/15/2039 (n) | 2,155,000 | 2,073,944 | ||
LoanCore 2021-CRE5 Ltd., “AS”, FLR, 2.625% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | 3,300,000 | 3,147,265 | ||
LoanCore 2021-CRE5 Ltd., “B”, FLR, 2.874% (LIBOR - 1mo. + 2%), 7/15/2036 (n) | 1,395,500 | 1,317,987 | ||
MF1 2020-FL3 Ltd., “AS”, FLR, 3.746% (LIBOR - 1mo. + 2.85%), 7/15/2035 (z) | 714,500 | 705,930 | ||
MF1 2020-FL4 Ltd., “AS”, FLR, 3.01% (LIBOR - 1mo. + 2.1%), 11/15/2035 (n) | 647,000 | 634,883 | ||
MF1 2021-FL5 Ltd., “B”, FLR, 2.36% (LIBOR - 1mo. + 1.45%), 7/15/2036 (n) | 2,542,500 | 2,504,340 | ||
MF1 2021-FL5 Ltd., “C”, FLR, 2.61% (LIBOR - 1mo. + 1.7%), 7/15/2036 (n) | 645,000 | 622,398 | ||
MF1 2021-FL6 Ltd., “AS”, FLR, 2.386% (LIBOR - 1mo. + 1.45%), 7/16/2036 (n) | 2,500,000 | 2,398,405 | ||
MF1 2021-FL6 Ltd., “B”, FLR, 2.585% (LIBOR - 1mo. + 1.65%), 7/16/2036 (n) | 3,800,000 | 3,626,642 | ||
MF1 2022-FL8 Ltd., “C”, FLR, 2.682% (SOFR - 30 day + 2.2%), 2/19/2037 (n) | 1,130,366 | 1,098,327 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.298%, 5/15/2054 (i) | 5,723,965 | 458,404 | ||
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.234%, 6/15/2054 (i) | 17,415,880 | 1,265,906 | ||
Navistar Financial Dealer Note Master Trust, 2022-1, “A”, FLR, 1.538% (SOFR - 30 day + 1.25%), 5/25/2027 (n) | 947,000 | 945,830 | ||
PFP III 2021-7 Ltd., “AS”, FLR, 2.025% (LIBOR - 1mo. + 1.15%), 4/14/2038 (n) | 871,957 | 850,502 | ||
PFP III 2021-7 Ltd., “B”, FLR, 2.274% (LIBOR - 1mo. + 1.4%), 4/14/2038 (n) | 684,966 | 641,378 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
PFP III 2021-7 Ltd., “C”, FLR, 2.525% (LIBOR - 1mo. + 1.65%), 4/14/2038 (n) | $ | 468,477 | $ 450,640 | |
PFP III 2021-8 Ltd., “B”, FLR, 2.375% (LIBOR - 1mo. + 1.5%), 8/09/2037 (n) | 812,000 | 780,787 | ||
Shelter Growth CRE 2021-FL3 Ltd., “C”, FLR, 3.024% (LIBOR - 1mo. + 2.15%), 9/15/2036 (n) | 1,212,000 | 1,134,138 | ||
Starwood Commercial Mortgage, 2021-FL2, “B”, FLR, 2.736% (LIBOR - 1mo. + 1.8%), 4/18/2038 (n) | 1,223,000 | 1,175,685 | ||
Starwood Commercial Mortgage, 2021-FL2, “C”, FLR, 3.035% (LIBOR - 1mo. + 2.1%), 4/18/2038 (n) | 238,000 | 228,849 | ||
TPG Real Estate Finance, 2021-FL4, “A”, FLR, 2.087% (LIBOR - 1mo. + 1.2%), 3/15/2038 (n) | 762,000 | 746,326 | ||
TPG Real Estate Finance, 2021-FL4, “AS”, FLR, 2.286% (LIBOR - 1mo. + 1.4%), 3/15/2038 (n) | 800,000 | 783,298 | ||
Wells Fargo Commercial Mortgage Trust, 2021-C59, “XA”, 1.545%, 4/15/2054 (i) | 9,395,846 | 891,188 | ||
Wells Fargo Commercial Mortgage Trust, 2021-C60, “XA”, 1.553%, 8/15/2054 (i) | 15,829,784 | 1,595,064 | ||
$ 89,301,400 | ||||
Automotive – 1.1% | ||||
Daimler Finance North America LLC, 1.45%, 3/02/2026 (n) | $ | 1,951,000 | $ 1,792,709 | |
Hyundai Capital America, 2%, 6/15/2028 (n) | 1,492,000 | 1,282,224 | ||
Hyundai Capital America, 6.375%, 4/08/2030 (n) | 1,680,000 | 1,822,660 | ||
RAC Bond Co. PLC, 5.25%, 11/04/2027 (n) | GBP | 1,950,000 | 2,116,005 | |
RAC Bond Co. PLC, 5.25%, 11/04/2027 | 200,000 | 217,026 | ||
Stellantis N.V., 2.75%, 4/01/2032 | EUR | 810,000 | 793,895 | |
TI Automotive Finance PLC, 3.75%, 4/15/2029 (n) | 2,590,000 | 2,213,312 | ||
TI Automotive Finance PLC, 3.75%, 4/15/2029 | 1,050,000 | 897,289 | ||
Volkswagen International Finance N.V., 4.375%, 3/28/2071 | 900,000 | 874,228 | ||
$ 12,009,348 | ||||
Broadcasting – 1.1% | ||||
Discovery, Inc., 4.125%, 5/15/2029 | $ | 1,860,000 | $ 1,775,433 | |
Magallanes, Inc., 4.279%, 3/15/2032 (n) | 1,563,000 | 1,460,851 | ||
Prosus N.V., 1.539%, 8/03/2028 | EUR | 1,200,000 | 1,063,005 | |
Prosus N.V., 2.085%, 1/19/2030 | 720,000 | 620,752 | ||
Prosus N.V., 3.061%, 7/13/2031 (n) | $ | 895,000 | 692,061 | |
Prosus N.V., 4.027%, 8/03/2050 | 1,400,000 | 956,560 | ||
Summer (BC) Holdco S.à r.l., “A”, 9.25%, 10/31/2027 | EUR | 2,230,105 | 2,239,924 | |
WMG Acquisition Corp., 2.25%, 8/31/2031 (n) | 1,764,000 | 1,562,337 | ||
WMG Acquisition Corp., 2.25%, 8/31/2031 | 1,460,000 | 1,293,091 | ||
$ 11,664,014 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Brokerage & Asset Managers – 0.9% | ||||
Ameriprise Financial, Inc., 4.5%, 5/13/2032 | $ | 551,000 | $ 557,870 | |
Intercontinental Exchange, Inc., 3.75%, 12/01/2025 | 1,400,000 | 1,415,526 | ||
Intercontinental Exchange, Inc., 1.85%, 9/15/2032 | 2,037,000 | 1,652,097 | ||
Intercontinental Exchange, Inc., 3%, 9/15/2060 | 1,646,000 | 1,169,259 | ||
Low Income Investment Fund, 3.386%, 7/01/2026 | 310,000 | 305,087 | ||
Low Income Investment Fund, 3.711%, 7/01/2029 | 840,000 | 829,250 | ||
LPL Holdings, Inc., 4.625%, 11/15/2027 (n) | 2,785,000 | 2,715,375 | ||
LPL Holdings, Inc., 4%, 3/15/2029 (n) | 915,000 | 847,519 | ||
$ 9,491,983 | ||||
Building – 0.5% | ||||
Holcim Sterling Finance (Netherlands) B.V., 2.25%, 4/04/2034 | GBP | 1,020,000 | $ 1,047,722 | |
Imerys S.A., 1%, 7/15/2031 | EUR | 900,000 | 755,951 | |
New Enterprise Stone & Lime Co., Inc., 5.25%, 7/15/2028 (n) | $ | 2,465,000 | 2,181,448 | |
Vulcan Materials Co., 3.5%, 6/01/2030 | 1,618,000 | 1,517,207 | ||
$ 5,502,328 | ||||
Business Services – 0.9% | ||||
Equinix, Inc., REIT, 1%, 3/15/2033 | EUR | 1,425,000 | $ 1,188,253 | |
Euronet Worldwide, Inc., 1.375%, 5/22/2026 | 1,900,000 | 1,866,454 | ||
Fiserv, Inc., 2.65%, 6/01/2030 | $ | 1,341,000 | 1,168,634 | |
Fiserv, Inc., 4.4%, 7/01/2049 | 669,000 | 599,276 | ||
Mastercard, Inc., 3.3%, 3/26/2027 | 1,960,000 | 1,959,329 | ||
Mastercard, Inc., 3.85%, 3/26/2050 | 691,000 | 647,224 | ||
Visa, Inc., 2%, 6/15/2029 (w) | EUR | 1,040,000 | 1,105,512 | |
Visa, Inc., 3.65%, 9/15/2047 | $ | 563,000 | 516,162 | |
$ 9,050,844 | ||||
Cable TV – 1.1% | ||||
CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, 8/15/2030 (n) | $ | 3,620,000 | $ 3,269,222 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.8%, 3/01/2050 | 942,000 | 809,837 | ||
Comcast Corp., 3.75%, 4/01/2040 | 861,000 | 787,751 | ||
Virgin Media Finance PLC, 3.75%, 7/15/2030 | EUR | 3,150,000 | 2,762,496 | |
VTR Comunicaciones S.p.A., 5.125%, 1/15/2028 | $ | 1,900,000 | 1,546,847 | |
Ziggo B.V., 3.375%, 2/28/2030 | EUR | 3,175,000 | 2,752,722 | |
$ 11,928,875 | ||||
Chemicals – 0.5% | ||||
Axalta Coating Systems Ltd., 3.375%, 2/15/2029 (n) | $ | 3,265,000 | $ 2,870,898 | |
LYB International Finance III, LLC, 4.2%, 5/01/2050 | 585,000 | 516,508 | ||
Sasol Financing (USA) LLC, 4.375%, 9/18/2026 | 1,200,000 | 1,099,800 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Chemicals – continued | ||||
Synthos S.A., 2.5%, 6/07/2028 (n) | EUR | 1,286,000 | $ 1,158,408 | |
$ 5,645,614 | ||||
Computer Software – 0.3% | ||||
Microsoft Corp., 3.3%, 2/06/2027 | $ | 1,346,000 | $ 1,362,019 | |
Microsoft Corp., 2.525%, 6/01/2050 | 888,000 | 686,481 | ||
Microsoft Corp., 2.675%, 6/01/2060 | 1,695,000 | 1,296,608 | ||
$ 3,345,108 | ||||
Computer Software - Systems – 0.3% | ||||
Apple, Inc., 3.2%, 5/11/2027 | $ | 2,523,000 | $ 2,521,571 | |
Apple, Inc., 4.5%, 2/23/2036 | 953,000 | 1,024,387 | ||
$ 3,545,958 | ||||
Conglomerates – 0.7% | ||||
Carrier Global Corp., 3.577%, 4/05/2050 | $ | 1,631,000 | $ 1,306,538 | |
Highland Holdings S.á r.l., 0.318%, 12/15/2026 | EUR | 820,000 | 806,679 | |
TriMas Corp., 4.125%, 4/15/2029 (n) | $ | 4,110,000 | 3,699,000 | |
Westinghouse Air Brake Technologies Corp., 4.95%, 9/15/2028 | 2,127,000 | 2,140,624 | ||
$ 7,952,841 | ||||
Consumer Products – 0.2% | ||||
GSK Consumer Healthcare Capital US LLC, 2.125%, 3/29/2034 | EUR | 310,000 | $ 308,354 | |
JAB Holdings B.V., 2.25%, 12/19/2039 | 1,600,000 | 1,279,397 | ||
L'Oréal S.A., 0.875%, 6/29/2026 | 600,000 | 630,352 | ||
$ 2,218,103 | ||||
Consumer Services – 0.5% | ||||
Booking Holdings, Inc., 3.65%, 3/15/2025 | $ | 1,076,000 | $ 1,080,587 | |
Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2027 (n) | 1,754,000 | 1,335,167 | ||
TriNet Group, Inc., 3.5%, 3/01/2029 (n) | 3,625,000 | 3,231,723 | ||
$ 5,647,477 | ||||
Containers – 0.5% | ||||
ARD Finance S.A., 5%, (5% cash or 5.75% PIK) 6/30/2027 (p) | EUR | 1,831,829 | $ 1,551,124 | |
Ardagh Metal Packaging Finance USA LLC, 3%, 9/01/2029 (n) | 1,800,000 | 1,538,901 | ||
Ardagh Metal Packaging Finance USA LLC, 3%, 9/01/2029 | 750,000 | 641,209 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Containers – continued | ||||
Can-Pack S.A./Eastern PA Land Investment Holding LLC, 3.125%, 11/01/2025 | $ | 2,100,000 | $ 1,947,750 | |
$ 5,678,984 | ||||
Electrical Equipment – 0.4% | ||||
Arrow Electronics, Inc., 3.25%, 9/08/2024 | $ | 506,000 | $ 501,021 | |
Arrow Electronics, Inc., 2.95%, 2/15/2032 | 1,680,000 | 1,443,646 | ||
Telefonaktiebolaget LM Ericsson, 1.125%, 2/08/2027 | EUR | 1,200,000 | 1,116,793 | |
Telefonaktiebolaget LM Ericsson, 1%, 5/26/2029 | 1,170,000 | 985,105 | ||
$ 4,046,565 | ||||
Electronics – 0.5% | ||||
ASML Holding N.V., 2.25%, 5/17/2032 | EUR | 410,000 | $ 437,107 | |
Broadcom, Inc., 3.419%, 4/15/2033 (n) | $ | 1,876,000 | 1,615,100 | |
Broadcom, Inc., 3.137%, 11/15/2035 (n) | 289,000 | 235,973 | ||
Broadcom, Inc., 3.187%, 11/15/2036 (n) | 50,000 | 40,085 | ||
NXP B.V./NXP Funding LLC/NXP USA, Inc., 3.4%, 5/01/2030 | 2,849,000 | 2,635,431 | ||
$ 4,963,696 | ||||
Emerging Market Quasi-Sovereign – 3.1% | ||||
Banco de Reservas de la Republica Dominicana, 7%, 2/01/2023 | $ | 700,000 | $ 703,682 | |
CEZ A.S. (Czech Republic), 2.462%, 4/06/2027 | EUR | 1,155,000 | 1,206,278 | |
Comision Federal de Electricidad (United Mexican States), 3.348%, 2/09/2031 | $ | 600,000 | 481,206 | |
Comision Federal de Electricidad (United Mexican States), 3.875%, 7/26/2033 (n) | 1,344,000 | 1,069,165 | ||
DAE Funding LLC (United Arab Emirates), 3.375%, 3/20/2028 | 1,750,000 | 1,561,875 | ||
Dua Capital Ltd. (Federation of Malaysia), 2.78%, 5/11/2031 | 2,400,000 | 2,033,760 | ||
Emirates Development Bank PJSC, 1.639%, 6/15/2026 | 1,430,000 | 1,315,600 | ||
Emirates NBD Bank PJSC, 6.125% to 7/09/2026, FLR (Swap Rate - 6yr. + 5.702%) to 1/09/2170 | 2,100,000 | 2,100,000 | ||
Eskom Holdings SOC Ltd. (Republic of South Africa), 7.125%, 2/11/2025 | 1,200,000 | 1,142,640 | ||
Export-Import Bank of India, 2.25%, 1/13/2031 | 1,800,000 | 1,468,853 | ||
First Abu Dhabi Bank PJSC, 1.625%, 4/07/2027 | EUR | 1,630,000 | 1,687,346 | |
Huarong Finance 2017 Co. Ltd. (People's Republic of China), 4.95%, 11/07/2047 | $ | 870,000 | 656,850 | |
Indian Railway Finance Corp., 2.8%, 2/10/2031 | 2,100,000 | 1,757,362 | ||
Industrial & Commercial Bank of China Ltd., 4.875%, 9/21/2025 | 1,700,000 | 1,763,937 | ||
Ipoteka Bank (Republic of Uzbekistan), 5.5%, 11/19/2025 | 2,202,000 | 1,968,037 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Quasi-Sovereign – continued | ||||
KazMunayGas National Co., JSC (Republic of Kazakhstan), 6.375%, 10/24/2048 | $ | 1,097,000 | $ 995,466 | |
Krung Thai Bank PLC (Cayman Islands Branch), 4.4% to 3/25/2026, FLR (CMT - 5yr. + 3.53%) to 9/25/2169 | 1,500,000 | 1,351,800 | ||
Office Cherifien des Phosphates S.A. (Kingdom of Morocco), 3.75%, 6/23/2031 (n) | 1,077,000 | 893,156 | ||
Ooredoo International Finance Ltd. (State of Qatar), 2.625%, 4/08/2031 | 1,180,000 | 1,047,101 | ||
Petroleos Mexicanos, 7.69%, 1/23/2050 | 3,440,000 | 2,674,256 | ||
PT Freeport Indonesia, 5.315%, 4/14/2032 (n) | 755,000 | 733,709 | ||
PT Pertamina (Persero) (Republic of Indonesia), 6%, 5/03/2042 (n) | 900,000 | 921,396 | ||
Southern Gas Corridor CJSC (Republic of Azerbaijan), 6.875%, 3/24/2026 | 1,420,000 | 1,469,598 | ||
State Grid Overseas Investment (2016) Ltd. (People's Republic of China), 3.5%, 5/04/2027 | 600,000 | 596,795 | ||
State Oil Company of the Azerbaijan Republic, 6.95%, 3/18/2030 | 1,000,000 | 1,035,000 | ||
$ 32,634,868 | ||||
Emerging Market Sovereign – 22.7% | ||||
Arab Republic of Egypt, 7.052%, 1/15/2032 | $ | 1,500,000 | $ 1,175,499 | |
Arab Republic of Egypt, 8.875%, 5/29/2050 | 1,900,000 | 1,395,626 | ||
Dominican Republic, 4.875%, 9/23/2032 | 1,300,000 | 1,119,747 | ||
Dominican Republic, 5.875%, 1/30/2060 | 2,400,000 | 1,866,184 | ||
Federative Republic of Brazil, 10%, 1/01/2025 | BRL | 100,690,000 | 20,087,682 | |
Federative Republic of Brazil, 5.625%, 2/21/2047 | $ | 1,000,000 | 856,668 | |
Hellenic Republic (Republic of Greece), 0%, 2/12/2026 (n) | EUR | 7,701,000 | 7,545,168 | |
Hellenic Republic (Republic of Greece), 2%, 4/22/2027 (n) | 13,156,000 | 13,882,415 | ||
Hellenic Republic (Republic of Greece), 1.75%, 6/18/2032 (n) | 13,320,000 | 12,124,704 | ||
Hellenic Republic (Republic of Greece), 1.875%, 1/24/2052 (n) | 2,211,000 | 1,505,055 | ||
Kingdom of Morocco, 2%, 9/30/2030 | 1,900,000 | 1,646,686 | ||
Kingdom of Morocco, 3%, 12/15/2032 | $ | 650,000 | 507,812 | |
Kingdom of Saudi Arabia, 3.25%, 11/17/2051 (n) | 1,300,000 | 1,055,530 | ||
Oriental Republic of Uruguay, 4.375%, 1/23/2031 | 1,084,000 | 1,130,190 | ||
Oriental Republic of Uruguay, 8.25%, 5/21/2031 | UYU | 382,632,000 | 8,395,558 | |
People's Republic of China, 3.03%, 3/11/2026 | CNY | 393,850,000 | 60,298,219 | |
People's Republic of China, 3.13%, 11/21/2029 | 99,490,000 | 15,281,114 | ||
Republic of Benin, 6.875%, 1/19/2052 | EUR | 1,500,000 | 1,240,433 | |
Republic of Cote d'Ivoire, 6.875%, 10/17/2040 | 2,800,000 | 2,470,702 | ||
Republic of Guatemala, 6.125%, 6/01/2050 | $ | 1,500,000 | 1,388,244 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – continued | ||||
Republic of Hungary, 2.125%, 9/22/2031 (n) | $ | 1,195,000 | $ 962,692 | |
Republic of Indonesia, 3.55%, 3/31/2032 | 1,180,000 | 1,125,886 | ||
Republic of Korea, 1.875%, 6/10/2029 | KRW | 39,614,110,000 | 29,150,453 | |
Republic of Korea, 1.375%, 6/10/2030 | 22,845,000,000 | 15,946,126 | ||
Republic of Panama, 3.298%, 1/19/2033 | $ | 2,309,000 | 2,059,651 | |
Republic of Paraguay, 6.1%, 8/11/2044 (n) | 1,760,000 | 1,678,847 | ||
Republic of Paraguay, 5.6%, 3/13/2048 | 2,000,000 | 1,740,537 | ||
Republic of Philippines, 3.556%, 9/29/2032 | 759,000 | 730,121 | ||
Republic of Romania, 2%, 1/28/2032 | EUR | 2,220,000 | 1,811,813 | |
Republic of Senegal, 6.25%, 5/23/2033 | $ | 1,400,000 | 1,225,700 | |
Republic of Serbia, 1.65%, 3/03/2033 | EUR | 1,028,000 | 775,815 | |
Republic of Serbia, 2.05%, 9/23/2036 (n) | 896,000 | 656,293 | ||
Republic of Serbia, 2.05%, 9/23/2036 | 800,000 | 585,976 | ||
Republic of South Africa, 8.25%, 3/31/2032 | ZAR | 325,183,000 | 18,202,973 | |
Republic of South Africa, 5.875%, 4/20/2032 | $ | 1,155,000 | 1,096,095 | |
Sultanate of Oman, 7%, 1/25/2051 | 2,550,000 | 2,435,913 | ||
United Mexican States, 7.5%, 6/03/2027 | MXN | 118,000,000 | 5,704,388 | |
United Mexican States, 3.771%, 5/24/2061 | $ | 1,046,000 | 750,387 | |
$ 241,612,902 | ||||
Energy - Independent – 0.6% | ||||
Diamondback Energy, Inc., 4.4%, 3/24/2051 | $ | 1,104,000 | $ 996,916 | |
Energean Israel Finance Ltd., 4.875%,���3/30/2026 | 1,500,000 | 1,413,750 | ||
Leviathan Bond Ltd., 6.75%, 6/30/2030 (n) | 1,400,000 | 1,382,500 | ||
Medco Bell Pte. Ltd., 6.375%, 1/30/2027 | 1,000,000 | 925,500 | ||
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 (n) | 1,500,000 | 1,335,000 | ||
$ 6,053,666 | ||||
Energy - Integrated – 0.7% | ||||
BP Capital Markets PLC, 3.625%, 6/22/2170 | EUR | 2,500,000 | $ 2,496,004 | |
Cenovus Energy, Inc., 2.65%, 1/15/2032 | $ | 875,000 | 753,123 | |
Eni S.p.A., 4.25%, 5/09/2029 (n) | 1,139,000 | 1,135,318 | ||
Galp Energia SGPS S.A., 2%, 1/15/2026 | EUR | 2,000,000 | 2,109,234 | |
MOL PLC, 1.5%, 10/08/2027 | 600,000 | 545,562 | ||
$ 7,039,241 | ||||
Engineering - Construction – 0.0% | ||||
Bouygues S.A., 2.25%, 6/24/2029 | EUR | 400,000 | $ 425,620 | |
Financial Institutions – 1.9% | ||||
Adler Group S.A., 2.25%, 1/14/2029 | EUR | 1,200,000 | $ 650,571 | |
Adler Group, Inc., 3.25%, 8/05/2025 | 800,000 | 495,396 | ||
Adler Group, Inc., 2.75%, 11/13/2026 | 500,000 | 296,032 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Financial Institutions – continued | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.65%, 7/21/2027 | $ | 1,489,000 | $ 1,388,544 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.3%, 1/30/2032 | 375,000 | 316,425 | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.85%, 10/29/2041 | 299,000 | 233,529 | ||
Air Lease Corp., 2.875%, 1/15/2032 | 1,029,000 | 852,591 | ||
Avolon Holdings Funding Ltd., 3.95%, 7/01/2024 (n) | 773,000 | 755,647 | ||
Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 1,336,000 | 1,285,856 | ||
Credit Logement S.A., 1.081% to 2/15/2029, FLR (EUR ICE Swap Rate - 5yr. + 1.1%) to 2/15/2034 | EUR | 1,300,000 | 1,190,208 | |
CTP N.V., 0.942%, 1/20/2026 | 880,000 | 820,551 | ||
CTP N.V., 1.5%, 9/27/2031 | 1,140,000 | 844,161 | ||
EXOR N.V., 2.25%, 4/29/2030 | 860,000 | 884,030 | ||
Global Aircraft Leasing Co. Ltd., 6.5% (6.5% cash or 7.25% PIK), 9/15/2024 (n)(p) | $ | 2,775,000 | 2,240,813 | |
Global Aircraft Leasing Co. Ltd., 6.5%,(6.5% cash or 7.25% PIK) 9/15/2024 (n)(p) | 1,210,000 | 977,075 | ||
Grand City Properties S.A., 1.5%, 12/09/2069 | EUR | 1,200,000 | 1,052,890 | |
Logicor Financing S.à r.l., 1.625%, 1/17/2030 | 940,000 | 842,262 | ||
Logicor Financing S.à r.l., 0.875%, 1/14/2031 | 830,000 | 668,306 | ||
P3 Group S.à r.l., 0.875%, 1/26/2026 | 1,160,000 | 1,100,822 | ||
SBB Treasury Oyj, 0.75%, 12/14/2028 | 730,000 | 552,599 | ||
SBB Treasury Oyj, 1.125%, 11/26/2029 | 580,000 | 425,985 | ||
VGP N.V., 1.5%, 4/08/2029 | 1,500,000 | 1,151,513 | ||
Vonovia SE, 2.375%, 3/25/2032 | 500,000 | 491,921 | ||
Vonovia SE, 1.625%, 9/01/2051 | 500,000 | 326,268 | ||
$ 19,843,995 | ||||
Food & Beverages – 0.8% | ||||
Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038 | $ | 1,112,000 | $ 1,066,066 | |
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | 669,000 | 725,013 | ||
Bacardi Ltd., 5.15%, 5/15/2038 (n) | 728,000 | 716,492 | ||
Central America Bottling Co., 5.25%, 4/27/2029 (n) | 1,160,000 | 1,107,460 | ||
Constellation Brands, Inc., 4.75%, 12/01/2025 | 667,000 | 690,397 | ||
Constellation Brands, Inc., 3.15%, 8/01/2029 | 821,000 | 753,188 | ||
Constellation Brands, Inc., 2.25%, 8/01/2031 | 760,000 | 632,824 | ||
Diageo Capital PLC, 1.875%, 6/08/2034 | EUR | 520,000 | 515,884 | |
JBS Finance Luxembourg S.á r.l., 3.625%, 1/15/2032 | $ | 800,000 | 677,672 | |
JBS Finance Luxembourg S.à r.l., 3.625%, 1/15/2032 (n) | 795,000 | 673,437 | ||
Kraft Heinz Foods Co., 3.875%, 5/15/2027 | 1,250,000 | 1,235,535 | ||
$ 8,793,968 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Gaming & Lodging – 0.5% | ||||
InterContinental Hotels Group PLC, 3.375%, 10/08/2028 | GBP | 890,000 | $ 1,078,807 | |
Las Vegas Sands Corp., 3.9%, 8/08/2029 | $ | 925,000 | 806,005 | |
Marriott International, Inc., 2.85%, 4/15/2031 | 1,632,000 | 1,413,826 | ||
VICI Properties LP, REIT, 4.95%, 2/15/2030 | 1,767,000 | 1,736,890 | ||
$ 5,035,528 | ||||
Industrial – 0.6% | ||||
Albion Financing 1 S.à r.l., 5.25%, 10/15/2026 | EUR | 2,370,000 | $ 2,385,345 | |
Dar Al-Arkan Sukuk Co. Ltd., 6.875%, 2/26/2027 | $ | 1,500,000 | 1,474,155 | |
Peach Property Finance GmbH, 4.375%, 11/15/2025 | EUR | 1,530,000 | 1,544,395 | |
Trustees of the University of Pennsylvania, 2.396%, 10/01/2050 | $ | 1,894,000 | 1,407,600 | |
$ 6,811,495 | ||||
Insurance – 0.6% | ||||
AIA Group Ltd., 0.88%, 9/09/2033 | EUR | 730,000 | $ 664,386 | |
Argentum Netherlands B.V., 5.125%, 6/01/2048 | $ | 670,000 | 665,866 | |
Aviva PLC, 3.875% to 7/03/2024, FLR (EUR Swap Rate - 5yr. + 3.48%) to 7/03/2044 | EUR | 750,000 | 823,278 | |
Aviva PLC, 4% to 6/03/2035, FLR (GBP Government Yield - 5yr. + 4.7%) to 6/03/2055 | GBP | 1,139,000 | 1,285,580 | |
Corebridge Financial, Inc., 4.35%, 4/05/2042 (n) | $ | 270,000 | 245,140 | |
Credit Agricole Assurances S.A., 2%, 7/17/2030 | EUR | 1,100,000 | 1,018,276 | |
La Mondiale, 4.375% to 10/24/2029, FLR (EUR Swap Rate - 5yr. + 4.411%) to 4/24/2069 | 1,300,000 | 1,312,146 | ||
Zurich Finance (Ireland) DAC, 3%, 4/19/2051 | $ | 800,000 | 657,200 | |
$ 6,671,872 | ||||
Insurance - Health – 0.2% | ||||
UnitedHealth Group, Inc., 4.625%, 7/15/2035 | $ | 1,031,000 | $ 1,078,825 | |
UnitedHealth Group, Inc., 3.5%, 8/15/2039 | 670,000 | 606,424 | ||
UnitedHealth Group, Inc., 3.25%, 5/15/2051 | 701,000 | 584,662 | ||
$ 2,269,911 | ||||
Insurance - Property & Casualty – 0.2% | ||||
Aon Corp./Aon Global Holdings PLC, 2.6%, 12/02/2031 | $ | 204,000 | $ 176,013 | |
Berkshire Hathaway, Inc., 0.5%, 1/15/2041 | EUR | 995,000 | 679,836 | |
QBE Insurance Group Ltd., 2.5% to 9/13/2028, FLR (GBP Government Yield - 5yr. + 2.061%) to 9/13/2038 | GBP | 685,000 | 748,435 | |
$ 1,604,284 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
International Market Quasi-Sovereign – 1.3% | ||||
Deutsche Bahn Finance GmbH (Federal Republic of Germany), 0.625%, 12/08/2050 | EUR | 770,000 | $ 492,773 | |
Electricite de France S.A., 2.625% to 6/01/2028, FLR (EUR Swap Rate - 5yr. + 2.86%) to 6/01/2033, FLR (EUR Swap Rate - 5yr. + 3.11%) to 6/01/2048, FLR (EUR Swap Rate - 5yr. + 3.86%) to 12/29/2049 | 600,000 | 525,503 | ||
Electricite de France S.A., 2.875% to 3/15/2027, FLR (EUR Swap Rate - 5yr. + 3.373%) to 3/15/2031, FLR (EUR Swap Rate - 5yr. + 3.623%) to 3/15/2047, FLR (EUR Swap Rate - 5yr. + 4.373%) to 3/15/2070 | 1,400,000 | 1,301,948 | ||
Electricite de France S.A., 5.875% to 1/22/2029, FLR (GBP Swap Rate - 15yr. + 3.046%) to 1/22/2049, FLR (GBP Swap Rate - 15yr. + 3.796%) to 12/31/2165 | GBP | 1,000,000 | 1,160,023 | |
ESB Finance DAC, 1%, 7/19/2034 | EUR | 1,300,000 | 1,180,980 | |
Islandsbanki (Republic of Iceland), 0.75%, 3/25/2025 | 830,000 | 847,644 | ||
Kreditanstalt Fuer Wiederaufbau, 1.125%, 3/31/2037 | 5,228,000 | 5,033,745 | ||
Landsbankinn Bank (Republic of Iceland), 0.375%, 5/23/2025 | 2,020,000 | 2,034,770 | ||
Ontario Teachers' Cadillac Fairview Properties, 2.5%, 10/15/2031 (n) | $ | 878,000 | 766,169 | |
RTE Reseau de Transport d'Electricite, 0.75%, 1/12/2034 | EUR | 700,000 | 624,651 | |
$ 13,968,206 | ||||
International Market Sovereign – 17.5% | ||||
Commonwealth of Australia, 3.25%, 6/21/2039 | AUD | 16,259,000 | $ 11,102,611 | |
Commonwealth of Australia, 1.75%, 6/21/2051 | 13,112,000 | 6,176,152 | ||
Government of Bermuda, 2.375%, 8/20/2030 (n) | $ | 508,000 | 445,230 | |
Government of Canada, 4%, 6/01/2041 | CAD | 5,836,000 | 5,295,795 | |
Government of Japan, 1.7%, 6/20/2032 | JPY | 1,741,150,000 | 15,447,389 | |
Government of Japan, 0.4%, 3/20/2036 | 1,975,600,000 | 15,201,846 | ||
Government of Japan, 2.3%, 3/20/2040 | 2,084,800,000 | 20,584,515 | ||
Government of New Zealand, 1.5%, 5/15/2031 | NZD | 27,373,000 | 15,022,757 | |
Government of New Zealand , 0.25%, 5/15/2028 | 59,877,000 | 32,252,065 | ||
Kingdom of Belgium, 0%, 10/22/2031 (n) | EUR | 12,178,000 | 11,237,936 | |
Republic of Cyprus, 0%, 2/09/2026 | 3,087,000 | 3,102,613 | ||
Republic of Cyprus, 0.625%, 1/21/2030 | 4,456,000 | 4,142,644 | ||
Republic of Cyprus, 0.95%, 1/20/2032 | 5,594,000 | 5,090,210 | ||
Republic of Iceland, 5%, 11/15/2028 | ISK | 1,088,000,000 | 8,339,205 | |
Republic of Italy, 1.65%, 3/01/2032 | EUR | 9,869,000 | 9,363,127 | |
United Kingdom Treasury, 1.25%, 7/22/2027 | GBP | 10,857,000 | 13,385,398 | |
United Kingdom Treasury, 1.75%, 9/07/2037 | 8,292,000 | 9,587,459 | ||
United Kingdom Treasury, 1.75%, 1/22/2049 | 736,000 | 806,695 | ||
$ 186,583,647 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Local Authorities – 0.6% | ||||
City of Oslo, 2.17%, 5/18/2029 | NOK | 26,000,000 | $ 2,570,803 | |
Government of Ontario, 1.9%, 12/02/2051 | CAD | 4,785,000 | 2,501,244 | |
Province of Alberta, 4.5%, 12/01/2040 | 760,000 | 649,964 | ||
Province of British Columbia, 2.95%, 6/18/2050 | 765,000 | 515,998 | ||
$ 6,238,009 | ||||
Machinery & Tools – 0.1% | ||||
Sarens Finance Co. N.V., 5.75%, 2/21/2027 | EUR | 1,611,000 | $ 1,374,650 | |
Major Banks – 3.9% | ||||
Australia and New Zealand Banking Group Ltd., 2.57% to 11/25/2030, FLR (CMT - 5yr. + 1.7%) to 11/25/2035 (n) | $ | 1,133,000 | $ 929,034 | |
Bank of America Corp., 3.5%, 4/19/2026 | 4,425,000 | 4,391,822 | ||
Bank of America Corp., 0.694%, 3/22/2031 | EUR | 1,180,000 | 1,087,097 | |
Bank of America Corp., 2.687% to 4/22/2031, FLR (SOFR - 1 day + 1.32%) to 4/22/2032 | $ | 1,746,000 | 1,521,642 | |
BNP Paribas S.A., 2.1%, 4/07/2032 | EUR | 700,000 | 690,846 | |
Commonwealth Bank of Australia, 2.688%, 3/11/2031 (n) | $ | 1,696,000 | 1,420,918 | |
Goldman Sachs Group, Inc., 2.383% to 7/21/2031, FLR (SOFR - 1 day + 1.248%) to 7/21/2032 | 1,958,000 | 1,644,909 | ||
Goldman Sachs Group, Inc., 3.436% to 2/24/2042, FLR (SOFR - 1 day + 1.632%) to 2/24/2043 | 1,439,000 | 1,212,362 | ||
HSBC Holdings PLC, 4.375%, 11/23/2026 | 2,272,000 | 2,276,512 | ||
JPMorgan Chase & Co., 1.47%, 9/22/2027 | 4,598,000 | 4,141,370 | ||
JPMorgan Chase & Co., 1.963%, 3/23/2030 | EUR | 954,000 | 983,261 | |
JPMorgan Chase & Co., 1.953% to 2/04/2031, FLR (SOFR - 1 day + 1.065%) to 2/04/2032 | $ | 879,000 | 729,086 | |
Mitsubishi UFJ Financial Group, Inc., 2.494% to 10/13/2031, FLR (CMT - 1yr. + 0.97%) to 10/13/2032 | 458,000 | 387,172 | ||
Morgan Stanley, 3.125%, 7/27/2026 | 1,950,000 | 1,895,156 | ||
Morgan Stanley, 1.593% to 5/04/2026, FLR (SOFR - 1 day + 0.879%) to 5/04/2027 | 1,525,000 | 1,387,843 | ||
Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR - 1 day + 3.12%) to 4/01/2031 | 3,475,000 | 3,309,971 | ||
NatWest Group PLC, 3.619%, 3/29/2029 | GBP | 460,000 | 568,591 | |
Standard Chartered PLC, 0.8% to 11/17/2028, FLR (EUR Swap Rate - 1yr. + 0.85%) to 11/17/2029 | EUR | 780,000 | 723,785 | |
Toronto Dominion Bank, 1.952%, 4/08/2030 | 1,580,000 | 1,612,250 | ||
UBS Group AG, 2.746% to 2/11/2032, FLR (CMT - 1yr. + 1.1%) to 2/11/2033 (n) | $ | 1,703,000 | 1,449,135 | |
Unicaja Banco S.A., 1%, 12/01/2026 | EUR | 1,200,000 | 1,188,278 | |
UniCredit S.p.A., 0.925% to 1/28/2027, FLR (EURIBOR - 3mo. + 0.85%) to 1/18/2028 | 1,940,000 | 1,886,060 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
Wells Fargo & Co., 3.526% to 3/24/2027, FLR (SOFR - 1 day + 1.51%) to 3/24/2028 | $ | 2,658,000 | $ 2,584,097 | |
Wells Fargo & Co., 2.572% to 2/11/2030, FLR (LIBOR - 3mo. +1%) to 2/11/2031 | 1,828,000 | 1,624,178 | ||
Wells Fargo & Co., 2.125%, 9/24/2031 | GBP | 1,110,000 | 1,206,405 | |
Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033 | $ | 1,212,000 | 1,118,086 | |
$ 41,969,866 | ||||
Medical & Health Technology & Services – 1.2% | ||||
Alcon Finance B.V., 2.375%, 5/31/2028 | EUR | 540,000 | $ 576,684 | |
Alcon, Inc., 2.6%, 5/27/2030 (n) | $ | 2,129,000 | 1,851,325 | |
Alcon, Inc., 3.8%, 9/23/2049 (n) | 971,000 | 798,133 | ||
Becton Dickinson Euro Finance S.à r.l., 1.336%, 8/13/2041 | EUR | 490,000 | 363,718 | |
Charles River Laboratories International, Inc., 3.75%, 3/15/2029 (n) | $ | 3,900,000 | 3,613,645 | |
HCA, Inc., 5.125%, 6/15/2039 | 896,000 | 870,403 | ||
New York Society for the Relief of the Ruptured & Crippled, 2.667%, 10/01/2050 | 1,500,000 | 1,041,129 | ||
ProMedica Toledo Hospital, “B”, AGM, 6.015%, 11/15/2048 | 675,000 | 785,198 | ||
Thermo Fisher Scientific Finance I B.V., 1.125%, 10/18/2033 | EUR | 890,000 | 810,748 | |
Thermo Fisher Scientific Finance I B.V., 2%, 10/18/2051 | 790,000 | 646,218 | ||
Thermo Fisher Scientific, Inc., 1.75%, 10/15/2028 | $ | 1,011,000 | 896,317 | |
$ 12,253,518 | ||||
Medical Equipment – 0.1% | ||||
American Medical Systems Europe B.V., 1.625%, 3/08/2031 | EUR | 680,000 | $ 665,431 | |
American Medical Systems Europe B.V., 1.875%, 3/08/2034 | 690,000 | 656,707 | ||
$ 1,322,138 | ||||
Metals & Mining – 0.8% | ||||
Anglo American Capital PLC, 5.625%, 4/01/2030 (n) | $ | 451,000 | $ 471,484 | |
Coeur Mining, Inc., 5.125%, 2/15/2029 (n) | 2,930,000 | 2,373,300 | ||
First Quantum Minerals Ltd., 6.875%, 10/15/2027 (n) | 1,200,000 | 1,197,486 | ||
Glencore Funding LLC, 2.85%, 4/27/2031 (n) | 788,000 | 676,928 | ||
Kaiser Aluminum Corp., 4.625%, 3/01/2028 (n) | 3,685,000 | 3,388,092 | ||
$ 8,107,290 | ||||
Midstream – 1.0% | ||||
DT Midstream, Inc., 4.125%, 6/15/2029 (n) | $ | 3,275,000 | $ 3,066,628 | |
Enbridge, Inc., 5.375%, 9/27/2077 | CAD | 1,400,000 | 1,053,091 | |
Enterprise Products Partners LP, 3.125%, 7/31/2029 | $ | 1,109,000 | 1,039,369 | |
Galaxy Pipeline Assets Bidco Ltd., 1.75%, 9/30/2027 | 892,020 | 842,459 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Midstream – continued | ||||
Plains All American Pipeline LP/PAA Finance Corp., 3.55%, 12/15/2029 | $ | 1,820,000 | $ 1,683,600 | |
Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 | 792,000 | 782,803 | ||
Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | 1,093,000 | 1,089,278 | ||
Targa Resources Corp., 4.2%, 2/01/2033 | 118,000 | 111,735 | ||
Targa Resources Corp., 4.95%, 4/15/2052 | 716,000 | 655,591 | ||
$ 10,324,554 | ||||
Mortgage-Backed – 4.7% | ||||
Fannie Mae, 5%, 8/01/2040 | $ | 323,782 | $ 339,016 | |
Fannie Mae, 4%, 9/01/2040 - 11/01/2044 | 219,522 | 224,604 | ||
Fannie Mae, 4.5%, 2/01/2041 - 4/01/2044 | 1,559,858 | 1,623,935 | ||
Fannie Mae, 3.5%, 9/01/2045 - 12/01/2047 | 745,756 | 744,313 | ||
Fannie Mae, UMBS, 2%, 4/01/2042 - 3/01/2052 | 2,303,443 | 2,077,350 | ||
Fannie Mae, UMBS, 3.5%, 5/01/2049 | 180,844 | 180,386 | ||
Fannie Mae, UMBS, 2.5%, 3/01/2050 - 4/01/2052 | 893,173 | 828,331 | ||
Fannie Mae, UMBS, 3%, 12/01/2051 | 387,762 | 370,916 | ||
Freddie Mac, 0.206%, 9/25/2026 (i) | 62,189,000 | 577,897 | ||
Freddie Mac, 1.367%, 3/25/2027 (i) | 1,517,000 | 88,219 | ||
Freddie Mac, 0.291%, 2/25/2028 (i) | 46,151,000 | 789,519 | ||
Freddie Mac, 0.106%, 4/25/2028 (i) | 46,683,000 | 378,370 | ||
Freddie Mac, 0.111%, 5/25/2028 (i) | 47,225,000 | 411,051 | ||
Freddie Mac, 1.798%, 4/25/2030 (i) | 2,395,024 | 285,944 | ||
Freddie Mac, 1.868%, 4/25/2030 (i) | 2,589,254 | 318,101 | ||
Freddie Mac, 1.663%, 5/25/2030 (i) | 3,408,930 | 381,369 | ||
Freddie Mac, 1.797%, 5/25/2030 (i) | 7,523,890 | 906,699 | ||
Freddie Mac, 1.342%, 6/25/2030 (i) | 3,170,959 | 286,890 | ||
Freddie Mac, 1.6%, 8/25/2030 (i) | 2,931,170 | 322,432 | ||
Freddie Mac, 1.17%, 9/25/2030 (i) | 1,901,519 | 155,878 | ||
Freddie Mac, 1.081%, 11/25/2030 (i) | 3,948,102 | 304,282 | ||
Freddie Mac, 0.33%, 1/25/2031 (i) | 15,742,943 | 356,990 | ||
Freddie Mac, 0.517%, 3/25/2031 (i) | 20,469,152 | 742,795 | ||
Freddie Mac, 0.938%, 7/25/2031 (i) | 5,068,698 | 361,562 | ||
Freddie Mac, 0.536%, 9/25/2031 (i) | 21,590,988 | 868,195 | ||
Freddie Mac, 0.567%, 12/25/2031 (i) | 5,486,706 | 243,666 | ||
Freddie Mac, 3%, 8/25/2032 (i) | 1,828,271 | 1,745,233 | ||
Freddie Mac, 4.5%, 12/01/2039 - 5/01/2042 | 703,851 | 734,377 | ||
Freddie Mac, 5%, 7/01/2041 | 320,688 | 339,959 | ||
Freddie Mac, 4%, 4/01/2044 | 36,856 | 37,766 | ||
Freddie Mac, UMBS, 3%, 6/01/2050 | 111,038 | 106,407 | ||
Freddie Mac, UMBS, 2.5%, 10/01/2051 - 4/01/2052 | 1,319,275 | 1,216,750 | ||
Freddie Mac, UMBS, 2%, 3/01/2052 | 248,965 | 221,122 | ||
Ginnie Mae, 2.5%, 8/20/2051 | 232,450 | 218,464 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Ginnie Mae, TBA, 3%, 6/15/2052 | $ | 2,900,000 | $ 2,797,367 | |
Ginnie Mae, TBA, 3.5%, 6/15/2052 | 3,150,000 | 3,120,469 | ||
Ginnie Mae, TBA, 4%, 6/15/2052 - 8/15/2052 | 1,000,000 | 1,004,903 | ||
UMBS, TBA, 2%, 6/16/2037 - 7/14/2052 | 3,650,000 | 3,441,386 | ||
UMBS, TBA, 2.5%, 6/16/2037 - 7/14/2052 | 7,100,000 | 6,639,520 | ||
UMBS, TBA, 3%, 6/13/2052 | 7,750,000 | 7,379,756 | ||
UMBS, TBA, 3.5%, 6/13/2052 | 6,900,000 | 6,759,844 | ||
UMBS, TBA, 4%, 6/13/2052 | 475,000 | 474,703 | ||
$ 50,406,736 | ||||
Municipals – 0.3% | ||||
Massachusetts Educational Financing Authority, Education Loan Subordinate Rev., Taxable, “A”, 2.641%, 7/01/2037 | $ | 1,060,000 | $ 924,994 | |
Michigan Finance Authority Hospital Rev., Taxable (Trinity Health Credit Group), 3.384%, 12/01/2040 | 1,040,000 | 895,412 | ||
New Jersey Economic Development Authority State Pension Funding Rev., Taxable, “A”, NPFG, 7.425%, 2/15/2029 | 890,000 | 1,010,120 | ||
Oklahoma Development Finance Authority, Health System Rev., Taxable (OU Medicine Project), “C”, 5.45%, 8/15/2028 | 742,000 | 754,634 | ||
$ 3,585,160 | ||||
Natural Gas - Distribution – 0.2% | ||||
National Grid PLC, 1.125%, 1/14/2033 | GBP | 1,218,000 | $ 1,148,937 | |
NiSource, Inc., 2.95%, 9/01/2029 | $ | 1,406,000 | 1,271,450 | |
$ 2,420,387 | ||||
Natural Gas - Pipeline – 0.2% | ||||
APT Pipelines Ltd., 0.75%, 3/15/2029 | EUR | 1,130,000 | $ 1,029,796 | |
APT Pipelines Ltd., 2.5%, 3/15/2036 | GBP | 910,000 | 904,292 | |
$ 1,934,088 | ||||
Network & Telecom – 0.5% | ||||
AT&T, Inc., 3.5%, 9/15/2053 | $ | 335,000 | $ 270,083 | |
Orange S.A., 2.375%, 5/18/2032 | EUR | 300,000 | 319,420 | |
Verizon Communications, Inc., 2.1%, 3/22/2028 | $ | 1,414,000 | 1,286,114 | |
Verizon Communications, Inc., 2.355%, 3/15/2032 | 2,105,000 | 1,812,946 | ||
Verizon Communications, Inc., 3.875%, 3/01/2052 | 1,355,000 | 1,214,212 | ||
$ 4,902,775 | ||||
Oil Services – 0.1% | ||||
MV24 Capital B.V., 6.748%, 6/01/2034 | $ | 1,264,298 | $ 1,156,694 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Oils – 0.4% | ||||
Neste Oyj, 0.75%, 3/25/2028 | EUR | 2,000,000 | $ 1,938,765 | |
Parkland Corp., 4.625%, 5/01/2030 (n) | $ | 3,040,000 | 2,741,502 | |
$ 4,680,267 | ||||
Other Banks & Diversified Financials – 1.9% | ||||
AIB Group PLC, 2.25%, 4/04/2028 | EUR | 780,000 | $ 807,065 | |
Bank Hapoalim B.M., 3.255% to 1/21/2027, FLR (CMT - 5yr. + 2.155%) to 1/21/2032 (n) | $ | 1,065,000 | 935,869 | |
Banque Federative du Credit Mutuel S.A., 1.125%, 11/19/2031 | EUR | 900,000 | 766,419 | |
Belfius Bank S.A., 1.25% to 4/06/2029, FLR (EUR Swap Rate - 5yr. + 1.3%) to 4/06/2034 | 1,100,000 | 988,195 | ||
Commercial Bank PSQC, 4.5% to 9/03/2026, FLR (CMT - 5yr. + 3.874%) to 9/03/2169 | $ | 2,500,000 | 2,331,250 | |
Deutsche Bank AG, 1.875% to 2/23/2027, FLR (EURIBOR - 3mo. + 1.38%) to 2/23/2028 | EUR | 600,000 | 605,106 | |
Deutsche Bank AG, 3.25% to 5/24/2027, FLR (EURIBOR - 3mo. + 1.93%) to 5/24/2028 | 300,000 | 320,635 | ||
Deutsche Bank AG, 1.375% to 2/17/2031, FLR (EURIBOR - 3mo. + 1.5%) to 2/17/2032 | 700,000 | 616,213 | ||
Groupe BPCE S.A., 4.5%, 3/15/2025 (n) | $ | 1,100,000 | 1,100,590 | |
Groupe BPCE S.A., 0.75%, 3/03/2031 | EUR | 1,000,000 | 894,136 | |
Groupe des Assurances du Credit Mutuel, 1.85% to 4/21/2032, FLR (EURIBOR - 3mo. + 2.65%) to 4/21/2042 | 1,200,000 | 1,048,682 | ||
Intesa Sanpaolo S.p.A., 2.625%, 3/11/2036 | GBP | 1,330,000 | 1,273,960 | |
Macquarie Group Ltd., 4.08%, 5/31/2029 | 1,210,000 | 1,522,483 | ||
Shinhan Bank Co., Ltd., 4.375%, 4/13/2032 (n) | $ | 2,050,000 | 2,001,864 | |
UBS AG, 5.125%, 5/15/2024 | 379,000 | 384,609 | ||
United Overseas Bank Ltd., 2% to 10/14/2026, FLR (CMT - 5yr. + 1.23%) to 10/14/2031 (n) | 1,200,000 | 1,094,028 | ||
Uzbek Industrial and Construction Bank, 5.75%, 12/02/2024 | 1,930,000 | 1,761,125 | ||
Virgin Money UK PLC, 5.125% to 12/11/2025, FLR (GBP Government Yield - 5yr. + 5.25%) to 12/11/2030 | GBP | 960,000 | 1,213,584 | |
$ 19,665,813 | ||||
Pollution Control – 0.3% | ||||
GFL Environmental, Inc., 4%, 8/01/2028 (n) | $ | 3,140,000 | $ 2,824,587 | |
Printing & Publishing – 0.1% | ||||
Informa PLC, 3.125%, 7/05/2026 | GBP | 473,000 | $ 585,696 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Railroad & Shipping – 0.3% | ||||
Canadian Pacific Railway Co., 2.45%, 12/02/2031 | $ | 906,000 | $ 798,186 | |
Wabtec Transportation Netherlands B.V., 1.25%, 12/03/2027 | EUR | 2,049,000 | 1,973,179 | |
$ 2,771,365 | ||||
Real Estate - Office – 0.2% | ||||
Corporate Office Property LP, REIT, 2.25%, 3/15/2026 | $ | 841,000 | $ 775,315 | |
Corporate Office Property LP, REIT, 2%, 1/15/2029 | 382,000 | 319,391 | ||
Corporate Office Property LP, REIT, 2.75%, 4/15/2031 | 946,000 | 795,205 | ||
$ 1,889,911 | ||||
Real Estate - Other – 0.3% | ||||
EPR Properties, REIT, 3.6%, 11/15/2031 | $ | 694,000 | $ 583,659 | |
Lexington Realty Trust Co., 2.7%, 9/15/2030 | 880,000 | 744,359 | ||
W.P. Carey, Inc., REIT, 2.4%, 2/01/2031 | 1,717,000 | 1,442,281 | ||
$ 2,770,299 | ||||
Real Estate - Retail – 0.3% | ||||
Brixmor Operating Partnership LP, REIT, 4.05%, 7/01/2030 | $ | 947,000 | $ 889,927 | |
Hammerson Ireland Finance Designated Activity Co., 1.75%, 6/03/2027 | EUR | 776,000 | 721,443 | |
Regency Centers Corp., 3.7%, 6/15/2030 | $ | 679,000 | 637,339 | |
STORE Capital Corp., REIT, 2.75%, 11/18/2030 | 1,370,000 | 1,164,970 | ||
$ 3,413,679 | ||||
Restaurants – 0.1% | ||||
Mcdonald's Corp., 2.375%, 5/31/2029 | EUR | 827,000 | $ 880,256 | |
Retailers – 0.0% | ||||
Nordstrom, Inc., 4.25%, 8/01/2031 | $ | 597,000 | $ 503,277 | |
Specialty Chemicals – 0.2% | ||||
Akzo Nobel N.V., 2%, 3/28/2032 | EUR | 840,000 | $ 831,881 | |
CTEC II GmbH, 5.25%, 2/15/2030 (n) | 1,669,000 | 1,484,469 | ||
$ 2,316,350 | ||||
Specialty Stores – 0.3% | ||||
DICK'S Sporting Goods, 3.15%, 1/15/2032 | $ | 1,054,000 | $ 878,798 | |
Michael Cos., Inc., 7.875%, 5/01/2029 (n) | 2,785,000 | 1,995,703 | ||
$ 2,874,501 | ||||
Supermarkets – 0.3% | ||||
Auchan Holding S.A., 3.25%, 7/23/2027 | EUR | 800,000 | $ 797,895 | |
Iceland Bondco PLC, 4.625%, 3/15/2025 | GBP | 1,795,000 | 1,894,066 | |
$ 2,691,961 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Supranational – 0.2% | ||||
International Bank for Reconstruction and Development, 4.25%, 6/24/2025 | AUD | 590,000 | $ 434,466 | |
West African Development Bank, 4.7%, 10/22/2031 | $ | 1,576,000 | 1,447,273 | |
$ 1,881,739 | ||||
Telecommunications - Wireless – 0.9% | ||||
American Tower Corp., REIT, 2.75%, 1/15/2027 | $ | 680,000 | $ 634,653 | |
Cellnex Finance Co. S.A., 2%, 2/15/2033 | EUR | 3,900,000 | 3,112,082 | |
Crown Castle International Corp., REIT, 3.7%, 6/15/2026 | $ | 2,033,000 | 2,008,265 | |
Millicom International Cellular S.A., 5.125%, 1/15/2028 | 720,000 | 681,480 | ||
Rogers Communications, Inc., 3.8%, 3/15/2032 (n) | 821,000 | 778,706 | ||
Rogers Communications, Inc., 3.7%, 11/15/2049 | 532,000 | 428,353 | ||
T-Mobile USA, Inc., 3.875%, 4/15/2030 | 1,622,000 | 1,559,797 | ||
$ 9,203,336 | ||||
Telephone Services – 0.1% | ||||
TELUS Corp., 2.85%, 11/13/2031 | CAD | 1,475,000 | $ 987,189 | |
Transportation - Services – 0.4% | ||||
ERAC USA Finance LLC, 7%, 10/15/2037 (n) | $ | 210,000 | $ 253,944 | |
Holding d'Infrastructures de Transport, 1.475%, 1/18/2031 | EUR | 1,200,000 | 1,083,988 | |
Q-Park Holding I B.V., 2%, 3/01/2027 | 3,400,000 | 3,106,597 | ||
$ 4,444,529 | ||||
U.S. Government Agencies and Equivalents – 0.0% | ||||
Small Business Administration, 2.22%, 3/01/2033 | $ | 277,268 | $ 262,652 | |
U.S. Treasury Obligations – 3.8% | ||||
U.S. Treasury Bonds, 1.125%, 8/15/2040 (f) | $ | 45,868,000 | $ 32,320,815 | |
U.S. Treasury Bonds, 2.25%, 8/15/2049 | 590,000 | 491,705 | ||
U.S. Treasury Bonds, 2.375%, 11/15/2049 (f) | 8,987,000 | 7,699,682 | ||
$ 40,512,202 | ||||
Utilities - Electric Power – 2.5% | ||||
Adani Transmission Ltd., 4.25%, 5/21/2036 | $ | 1,176,500 | $ 1,014,809 | |
American Transmission Systems, Inc., 2.65%, 1/15/2032 (n) | 1,316,000 | 1,145,664 | ||
Bruce Power LP, 2.68%, 12/21/2028 | CAD | 1,650,000 | 1,175,174 | |
Clearway Energy Operating LLC, 3.75%, 2/15/2031 (n) | $ | 3,555,000 | 3,137,288 | |
ContourGlobal Power Holdings S.A., 2.75%, 1/01/2026 | EUR | 2,300,000 | 2,205,952 | |
ContourGlobal Power Holdings S.A., 3.125%, 1/01/2028 | 679,000 | 637,823 | ||
Duke Energy Corp., 2.55%, 6/15/2031 | $ | 1,238,000 | 1,059,964 | |
Enel Finance International N.V., 3.5%, 4/06/2028 (n) | 505,000 | 486,135 | ||
Enel Finance International N.V., 2.875%, 4/11/2029 | GBP | 580,000 | 693,907 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Utilities - Electric Power – continued | ||||
Enel S.p.A., 2.25% to 3/10/2027, FLR (EUR Swap Rate - 5yr. + 2.679%) to 3/10/2032, FLR (EUR Swap Rate - 5yr. + 2.929%) to 3/10/2047, FLR (EUR Swap Rate - 5yr. + 3.679%) to 3/10/2070 | EUR | 1,530,000 | $ 1,505,380 | |
Enel S.p.A., 1.875%, 3/08/2170 | 1,195,000 | 1,001,900 | ||
Energuate Trust, 5.875%, 5/03/2027 | $ | 1,500,000 | 1,432,515 | |
ENGIE Energía Chile S.A., 4.5%, 1/29/2025 (n) | 820,000 | 819,590 | ||
ENGIE Energía Chile S.A., 4.5%, 1/29/2025 | 858,000 | 857,571 | ||
Evergy, Inc., 2.9%, 9/15/2029 | 1,575,000 | 1,421,381 | ||
Investment Energy Resources Ltd., 6.25%, 4/26/2029 (n) | 1,120,000 | 1,058,411 | ||
Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | 626,000 | 546,009 | ||
Mong Duong Finance Holdings B.V., 5.125%, 5/07/2029 | 1,700,000 | 1,479,000 | ||
Southern California Edison Co., 3.65%, 2/01/2050 | 1,010,000 | 807,109 | ||
Star Energy Geothermal (Wayang Windu) Ltd., 6.75%, 4/24/2033 | 822,700 | 814,884 | ||
Virginia Electric & Power Co., 3.5%, 3/15/2027 | 2,038,000 | 2,022,199 | ||
WEC Energy Group, Inc., 1.8%, 10/15/2030 | 1,145,000 | 937,730 | ||
Xcel Energy, Inc., 4.6%, 6/01/2032 | 422,000 | 432,949 | ||
$ 26,693,344 | ||||
Total Bonds (Identified Cost, $1,131,046,589) | $ 1,012,909,662 | |||
Investment Companies (h) – 4.8% | ||||
Money Market Funds – 4.8% | ||||
MFS Institutional Money Market Portfolio, 0.64% (v) (Identified Cost, $51,275,453) | 51,275,500 | $ 51,275,499 |
Underlying/Expiration Date/Exercise Price | Put/Call | Counterparty | Notional Amount | Par Amount/ Number of Contracts | |
Purchased Options – 0.1% | |||||
Market Index Securities – 0.1% | |||||
Markit CDX North America High Yield Series 38 Index Credit Default Swap - Fund receives 5%, Fund pays notional amount upon a defined credit event of an Index constituent – September 2022 @ $103 (Premiums Paid, $736,025) | Call | BNP Paribas | $ 114,731,066 | $ 111,790,000 | $780,312 |
Value ($) | ||||
Written Options (see table below) – (0.0)% | ||||
(Premiums Received, $559,793) | $ (290,959) | |||
Other Assets, Less Liabilities – (0.1)% | (1,249,318) | |||
Net Assets – 100.0% | $ 1,063,425,196 |
(f) | All or a portion of the security has been segregated as collateral for open futures contracts. |
(h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $51,275,499 and $1,013,689,974, 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 $211,691,576, representing 19.9% of net assets. |
(p) | Payment-in-kind (PIK) security for which interest income may be received in additional securities and/or cash. |
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
(w) | When-issued security. |
(z) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities: |
Restricted Securities | Acquisition Date | Cost | Value |
MF1 2020-FL3 Ltd., “AS”, FLR, 3.746% (LIBOR - 1mo. + 2.85%), 7/15/2035 | 6/12/20 | $714,500 | $705,930 |
% of Net assets | 0.1% |
The following abbreviations are used in this report and are defined: | |
AGM | Assured Guaranty Municipal |
BBSW | Bank Bill Swap Reference Rate |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
EURIBOR | Euro Interbank Offered Rate |
FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
NPFG | National Public Finance Guarantee Corp. |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
SONIA | Sterling Overnight Index Average |
TBA | To Be Announced |
UMBS | Uniform Mortgage-Backed Security |
Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below: | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CLP | Chilean Peso |
CNH | Chinese Yuan Renminbi (Offshore) |
CNY | China Yuan Renminbi |
CZK | Czech Koruna |
EUR | Euro |
GBP | British Pound |
ISK | Iceland Krona |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
SGD | Singapore Dollar |
TWD | Taiwan Dollar |
UYU | Uruguayan Peso |
ZAR | South African Rand |
Written Options | |||||||
Underlying | Put/ Call | Counterparty | Par Amount/ Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value |
Liability Derivatives | |||||||
Market Index Securities | |||||||
Markit CDX North America High Yield Series 38 Index Credit Default Swap - Fund receives 5%, Fund pays notional amount upon a defined credit event of an Index constituent | Put | BNP Paribas | $(36,950,000) | $(37,922,112) | $92.00 | September – 2022 | $(290,959) |
Forward Foreign Currency Exchange Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives | ||||||
AUD | 1,198,382 | USD | 858,303 | Brown Brothers Harriman | 7/15/2022 | $2,288 |
CAD | 7,142,000 | USD | 5,490,569 | Deutsche Bank AG | 7/15/2022 | 154,598 |
CLP | 4,624,293,000 | USD | 5,581,861 | Goldman Sachs International | 6/29/2022 | 3,378 |
CNH | 21,137,597 | USD | 3,142,187 | State Street Bank Corp. | 7/15/2022 | 19,839 |
EUR | 10,969,610 | USD | 11,602,383 | Deutsche Bank AG | 7/15/2022 | 201,796 |
EUR | 24,361,085 | USD | 25,427,088 | HSBC Bank | 7/15/2022 | 787,389 |
EUR | 3,416,660 | USD | 3,600,255 | Merrill Lynch International | 7/15/2022 | 76,345 |
EUR | 18,014,196 | USD | 18,988,809 | Morgan Stanley Capital Services, Inc. | 7/15/2022 | 395,908 |
EUR | 6,700,883 | USD | 7,166,646 | State Street Bank Corp. | 6/15/2022 | 31,732 |
EUR | 929,816 | USD | 983,083 | State Street Bank Corp. | 7/15/2022 | 17,473 |
EUR | 1,796,970 | USD | 1,900,852 | UBS AG | 7/15/2022 | 32,831 |
GBP | 922,405 | USD | 1,156,902 | Barclays Bank PLC | 7/15/2022 | 5,747 |
GBP | 435,454 | USD | 543,168 | Brown Brothers Harriman | 6/15/2022 | 5,566 |
GBP | 3,174,734 | USD | 3,958,801 | HSBC Bank | 7/15/2022 | 42,808 |
GBP | 299,170 | USD | 375,144 | State Street Bank Corp. | 7/15/2022 | 1,947 |
GBP | 1,717,381 | USD | 2,141,253 | UBS AG | 7/15/2022 | 23,428 |
KRW | 3,366,229,149 | USD | 2,693,673 | JPMorgan Chase Bank N.A. | 7/08/2022 | 26,863 |
NOK | 103,050,318 | USD | 10,742,461 | JPMorgan Chase Bank N.A. | 7/15/2022 | 256,912 |
NZD | 8,186,214 | USD | 5,270,891 | Deutsche Bank AG | 7/15/2022 | 59,670 |
NZD | 1,555,396 | USD | 990,850 | HSBC Bank | 7/15/2022 | 21,967 |
ZAR | 8,936,656 | USD | 559,525 | HSBC Bank | 6/15/2022 | 10,744 |
USD | 17,052,866 | AUD | 23,003,000 | JPMorgan Chase Bank N.A. | 6/15/2022 | 541,448 |
USD | 16,594,108 | CAD | 20,723,900 | JPMorgan Chase Bank N.A. | 6/15/2022 | 211,342 |
USD | 1,558,474 | CNH | 10,000,000 | HSBC Bank | 7/15/2022 | 62,549 |
USD | 83,571,532 | CNH | 532,569,000 | JPMorgan Chase Bank N.A. | 6/15/2022 | 3,826,577 |
USD | 1,196,869 | CNH | 8,000,000 | State Street Bank Corp. | 7/15/2022 | 129 |
USD | 1,524,113 | EUR | 1,369,552 | Deutsche Bank AG | 7/15/2022 | 50,366 |
USD | 86,994,542 | EUR | 78,794,408 | Goldman Sachs International | 6/15/2022 | 2,350,183 |
USD | 2,015,987 | EUR | 1,830,540 | HSBC Bank | 7/15/2022 | 46,178 |
USD | 249,668,482 | EUR | 226,088,135 | JPMorgan Chase Bank N.A. | 6/15/2022 | 6,794,834 |
USD | 1,035,022 | EUR | 923,538 | State Street Bank Corp. | 7/15/2022 | 41,221 |
USD | 2,164,800 | EUR | 2,000,000 | UBS AG | 7/15/2022 | 12,640 |
USD | 4,494,563 | GBP | 3,500,000 | Deutsche Bank AG | 7/15/2022 | 82,971 |
USD | 1,575,354 | GBP | 1,204,022 | Goldman Sachs International | 6/15/2022 | 58,119 |
USD | 759,991 | GBP | 579,693 | HSBC Bank | 7/15/2022 | 29,314 |
USD | 72,276,534 | GBP | 55,267,087 | JPMorgan Chase Bank N.A. | 6/15/2022 | 2,632,316 |
USD | 1,862,811 | JPY | 229,841,972 | Deutsche Bank AG | 7/15/2022 | 74,099 |
USD | 67,839,677 | JPY | 7,980,088,710 | JPMorgan Chase Bank N.A. | 6/15/2022 | 5,821,333 |
USD | 655,676 | JPY | 84,241,005 | UBS AG | 6/15/2022 | 985 |
USD | 19,206,541 | KRW | 23,378,009,130 | Barclays Bank PLC | 7/08/2022 | 312,784 |
USD | 15,741,627 | KRW | 19,297,031,525 | Citibank N.A. | 6/30/2022 | 146,056 |
USD | 8,304,812 | KRW | 10,183,776,300 | Goldman Sachs International | 6/30/2022 | 74,437 |
USD | 1,344,500 | KRW | 1,655,590,410 | JPMorgan Chase Bank N.A. | 6/30/2022 | 6,477 |
USD | 19,595,838 | KRW | 23,884,778,950 | JPMorgan Chase Bank N.A. | 7/08/2022 | 292,518 |
Forward Foreign Currency Exchange Contracts - continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives - continued | ||||||
USD | 2,029,875 | NOK | 18,249,000 | JPMorgan Chase Bank N.A. | 6/15/2022 | $82,652 |
USD | 79,805,541 | NZD | 116,317,132 | Goldman Sachs International | 6/15/2022 | 4,031,337 |
USD | 181,779 | NZD | 261,655 | State Street Bank Corp. | 7/15/2022 | 11,399 |
USD | 2,763,110 | TWD | 79,724,000 | Barclays Bank PLC | 7/18/2022 | 14,139 |
USD | 8,542,337 | TWD | 247,070,000 | Merrill Lynch International | 7/18/2022 | 23,092 |
USD | 21,290,664 | ZAR | 323,767,131 | JPMorgan Chase Bank N.A. | 6/15/2022 | 630,317 |
$30,441,041 | ||||||
Liability Derivatives | ||||||
AUD | 2,200,592 | USD | 1,650,664 | Goldman Sachs International | 6/15/2022 | $(71,092) |
AUD | 19,993,642 | USD | 14,993,872 | JPMorgan Chase Bank N.A. | 6/15/2022 | (642,553) |
CAD | 32,524,937 | USD | 26,043,472 | JPMorgan Chase Bank N.A. | 6/15/2022 | (331,689) |
CAD | 2,155,000 | USD | 1,708,105 | State Street Bank Corp. | 7/15/2022 | (4,754) |
CZK | 24,544,000 | USD | 1,101,566 | Goldman Sachs International | 6/15/2022 | (37,415) |
CZK | 233,937,000 | USD | 10,502,835 | JPMorgan Chase Bank N.A. | 6/15/2022 | (360,057) |
EUR | 1,450,000 | USD | 1,589,087 | Deutsche Bank AG | 7/15/2022 | (28,771) |
EUR | 9,966,120 | USD | 11,143,816 | Goldman Sachs International | 6/15/2022 | (437,779) |
EUR | 16,230,180 | USD | 17,548,157 | HSBC Bank | 7/15/2022 | (83,183) |
EUR | 24,015,755 | USD | 26,549,791 | JPMorgan Chase Bank N.A. | 6/15/2022 | (751,029) |
EUR | 247,841 | USD | 270,765 | JPMorgan Chase Bank N.A. | 7/15/2022 | (4,067) |
EUR | 2,200,000 | USD | 2,460,039 | Morgan Stanley Capital Services, Inc. | 7/15/2022 | (92,663) |
GBP | 2,032,895 | USD | 2,655,233 | Deutsche Bank AG | 7/15/2022 | (92,861) |
GBP | 514,831 | USD | 674,897 | HSBC Bank | 7/15/2022 | (25,975) |
GBP | 232,579 | USD | 293,572 | JPMorgan Chase Bank N.A. | 9/14/2022 | (234) |
JPY | 704,697,007 | USD | 5,561,657 | HSBC Bank | 7/15/2022 | (77,454) |
JPY | 836,630,222 | USD | 6,515,375 | JPMorgan Chase Bank N.A. | 6/15/2022 | (13,390) |
JPY | 216,861,252 | USD | 1,697,186 | Morgan Stanley Capital Services, Inc. | 6/15/2022 | (11,820) |
NOK | 93,823,538 | USD | 10,437,734 | Goldman Sachs International | 6/15/2022 | (426,482) |
NOK | 110,000,000 | USD | 12,563,494 | JPMorgan Chase Bank N.A. | 6/15/2022 | (826,166) |
NZD | 52,317,000 | USD | 34,884,428 | Goldman Sachs International | 6/15/2022 | (802,784) |
NZD | 68,892 | USD | 46,994 | JPMorgan Chase Bank N.A. | 6/15/2022 | (2,115) |
NZD | 16,911,893 | USD | 11,062,050 | JPMorgan Chase Bank N.A. | 7/15/2022 | (49,651) |
SEK | 54,067,000 | USD | 5,675,670 | Goldman Sachs International | 7/15/2022 | (131,505) |
SEK | 2,098,000 | USD | 223,047 | JPMorgan Chase Bank N.A. | 6/15/2022 | (8,135) |
SGD | 23,517,000 | USD | 17,231,749 | JPMorgan Chase Bank N.A. | 7/15/2022 | (67,905) |
ZAR | 29,535,154 | USD | 2,003,867 | JPMorgan Chase Bank N.A. | 6/15/2022 | (119,159) |
USD | 17,380,721 | AUD | 24,300,000 | JPMorgan Chase Bank N.A. | 6/15/2022 | (61,677) |
USD | 502,533 | AUD | 711,239 | NatWest Markets PLC | 6/15/2022 | (7,990) |
USD | 13,297,624 | BRL | 68,485,422 | JPMorgan Chase Bank N.A. | 8/02/2022 | (863,513) |
USD | 6,953,996 | CAD | 8,946,591 | Citibank N.A. | 7/15/2022 | (117,553) |
USD | 619,203 | CAD | 790,768 | Goldman Sachs International | 6/15/2022 | (5,919) |
USD | 5,596,146 | CLP | 4,635,847,506 | Goldman Sachs International | 6/29/2022 | (3,049) |
USD | 10,808,085 | CZK | 258,481,000 | JPMorgan Chase Bank N.A. | 7/15/2022 | (353,131) |
USD | 881,357 | EUR | 822,791 | Brown Brothers Harriman | 6/15/2022 | (2,520) |
Forward Foreign Currency Exchange Contracts - continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Liability Derivatives - continued | ||||||
USD | 8,100,178 | EUR | 7,646,204 | Deutsche Bank AG | 7/15/2022 | $(127,750) |
USD | 14,444,119 | EUR | 13,633,223 | HSBC Bank | 7/15/2022 | (226,321) |
USD | 1,537,804 | EUR | 1,441,011 | Morgan Stanley Capital Services, Inc. | 7/15/2022 | (12,839) |
USD | 573,449 | EUR | 537,170 | State Street Bank Corp. | 7/15/2022 | (4,589) |
USD | 1,167,897 | EUR | 1,104,571 | UBS AG | 7/15/2022 | (20,710) |
USD | 13,838,026 | GBP | 11,342,650 | Deutsche Bank AG | 7/15/2022 | (458,872) |
USD | 1,513,236 | GBP | 1,210,000 | State Street Bank Corp. | 7/15/2022 | (11,914) |
USD | 21,985,998 | NOK | 207,000,000 | JPMorgan Chase Bank N.A. | 7/15/2022 | (108,744) |
USD | 3,424,679 | NZD | 5,494,706 | Deutsche Bank AG | 7/15/2022 | (153,271) |
USD | 5,461,931 | NZD | 8,639,000 | Goldman Sachs International | 7/15/2022 | (163,467) |
USD | 3,122,391 | NZD | 4,849,473 | NatWest Markets PLC | 7/15/2022 | (35,406) |
USD | 11,618,782 | TWD | 341,476,000 | JPMorgan Chase Bank N.A. | 9/12/2022 | (178,894) |
$(8,418,817) |
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
Australian Bond 10 yr | Short | AUD | 307 | $26,926,876 | June – 2022 | $777,954 |
Canadian Treasury Bond 5 yr | Short | CAD | 837 | 75,822,003 | September – 2022 | 288,485 |
Euro-Bobl 5 yr | Short | EUR | 381 | 51,737,263 | June – 2022 | 241,730 |
Euro-Bund 10 yr | Short | EUR | 304 | 49,466,264 | June – 2022 | 3,695,819 |
Long Gilt 10 yr | Short | GBP | 141 | 20,604,865 | September – 2022 | 282,121 |
U.S. Treasury Note 5 yr | Short | USD | 688 | 77,711,750 | September – 2022 | 277,058 |
U.S. Treasury Ultra Note 10 yr | Short | USD | 405 | 52,036,172 | September – 2022 | 372,667 |
$5,935,834 | ||||||
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
Canadian Treasury Bond 10 yr | Long | CAD | 16 | $1,606,641 | September – 2022 | $(15,610) |
Euro-Buxl 30 yr | Long | EUR | 176 | 30,646,847 | June – 2022 | (2,070,850) |
U.S. Treasury Bond | Long | USD | 60 | 8,366,250 | September – 2022 | (79,910) |
U.S. Treasury Note 10 yr | Long | USD | 254 | 30,341,094 | September – 2022 | (205,318) |
U.S. Treasury Note 2 yr | Long | USD | 98 | 20,687,953 | September – 2022 | (35,958) |
U.S. Treasury Ultra Bond | Long | USD | 133 | 20,714,750 | September – 2022 | (418,678) |
$(2,826,324) |
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 | ||||||||||
6/15/24 | AUD | 16,200,000 | centrally cleared | FLR (3-Month BBSW)/Quarterly | 3.05%/Quarterly | $8,300 | $467 | $8,767 | ||
6/15/24 | AUD | 50,705,000 | centrally cleared | FLR (3-Month BBSW)/Quarterly | 3.05%/Quarterly | (81,221) | 108,664 | 27,442 | ||
6/15/24 | AUD | 20,282,000 | centrally cleared | FLR (3-Month BBSW)/Quarterly | 3.05%/Quarterly | (11,034) | 22,011 | 10,977 | ||
6/15/24 | AUD | 34,804,000 | centrally cleared | FLR (3-Month BBSW)/Quarterly | 3.05%/Quarterly | 39,456 | (20,620) | 18,836 | ||
6/15/24 | AUD | 26,850,000 | centrally cleared | FLR (3-Month BBSW)/Quarterly | 3.05%/Quarterly | 47,384 | (32,852) | 14,532 | ||
$2,885 | $77,670 | $80,554 | ||||||||
Liability Derivatives | ||||||||||
Interest Rate Swaps | ||||||||||
6/15/27 | AUD | 6,800,000 | centrally cleared | 3.45%/Semi-annually | FLR (6-Month BBSW)/Semi-annually | $(12,913) | $211 | $(12,702) | ||
6/15/27 | GBP | 38,500,000 | centrally cleared | 1.75%/Annually | FLR (SONIA)/Annually | (434,061) | (781,069) | (1,215,130) | ||
6/15/27 | AUD | 21,505,000 | centrally cleared | 3.45%/Semi-annually | FLR (6-Month BBSW)/Semi-annually | 59,452 | (99,622) | (40,169) | ||
6/15/27 | AUD | 8,603,000 | centrally cleared | 3.45%/Semi-annually | FLR (6-Month BBSW)/Semi-annually | 264 | (16,333) | (16,069) | ||
6/15/27 | AUD | 14,697,000 | centrally cleared | 3.45%/Semi-annually | FLR (6-Month BBSW)/Semi-annually | (54,630) | 27,177 | (27,453) | ||
6/15/27 | AUD | 11,420,000 | centrally cleared | 3.45%/Semi-annually | FLR (6-Month BBSW)/Semi-annually | (56,537) | 35,206 | (21,331) | ||
$(498,425) | $(834,430) | $(1,332,854) |
Uncleared 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 | ||||||||||
Credit Default Swaps | ||||||||||
12/20/26 | EUR | 985,000 | Goldman Sachs International | 5.00%/Quarterly | (1) | $(30,685) | $196,588 | $165,903 | ||
Liability Derivatives | ||||||||||
Credit Default Swaps | ||||||||||
12/20/31 | EUR | 1,160,000 | Barclays Bank PLC | 1.00%/Quarterly | (2) | $(44,282) | $12,121 | $(32,161) |
(1) | Fund, as protection seller, to pay notional amount upon a defined credit event by Glencore Funding LLC, 1.875%, 9/13/23, a BBB+ rated bond. The fund entered into the contract to gain issuer exposure. |
(2) | Fund, as protection seller, to pay notional amount upon a defined credit event by Daimler Finance North America LLC, 1.4%, 1/12/24, an A- rated bond. The fund entered into the contract to gain issuer exposure. |
Assets | |
Investments in unaffiliated issuers, at value (identified cost, $1,131,782,614) | $1,013,689,974 |
Investments in affiliated issuers, at value (identified cost, $51,275,453) | 51,275,499 |
Cash | 3,577,733 |
Restricted cash for | |
Forward foreign currency exchange contracts | 300,000 |
Receivables for | |
Forward foreign currency exchange contracts | 30,441,041 |
Net daily variation margin on open futures contracts | 826,592 |
Investments sold | 305,891 |
TBA sale commitments | 6,215,965 |
Fund shares sold | 600,938 |
Interest | 8,430,835 |
Uncleared swaps, at value (net of unamortized premiums paid, $196,588) | 165,903 |
Other assets | 51,353 |
Total assets | $1,115,881,724 |
Liabilities | |
Payable to custodian | $16,259 |
Payables for | |
Distributions | 104,089 |
Net daily variation margin on open cleared swap agreements | 261,222 |
Forward foreign currency exchange contracts | 8,418,817 |
Investments purchased | 4,271,624 |
TBA purchase commitments | 37,658,626 |
Fund shares reacquired | 79,874 |
When-issued investments purchased | 1,112,863 |
Written options (premiums received, $559,793) | 290,959 |
Uncleared swaps, at value (net of unamortized premiums paid, $12,121) | 32,161 |
Payable to affiliates | |
Investment adviser | 77,266 |
Administrative services fee | 2,573 |
Shareholder servicing costs | 15,954 |
Distribution and service fees | 877 |
Accrued expenses and other liabilities | 113,364 |
Total liabilities | $52,456,528 |
Net assets | $1,063,425,196 |
Net assets consist of | |
Paid-in capital | $1,202,935,776 |
Total distributable earnings (loss) | (139,510,580) |
Net assets | $1,063,425,196 |
Shares of beneficial interest outstanding | 130,741,395 |
Net assets | Shares outstanding | Net asset value per share (a) | |
Class A | $18,486,299 | 2,259,912 | $8.18 |
Class B | 193,175 | 23,739 | 8.14 |
Class C | 487,559 | 59,933 | 8.14 |
Class I | 10,791,194 | 1,325,424 | 8.14 |
Class R1 | 541,688 | 66,587 | 8.14 |
Class R2 | 776,008 | 95,396 | 8.13 |
Class R3 | 594,893 | 73,099 | 8.14 |
Class R4 | 205,657 | 25,260 | 8.14 |
Class R6 | 1,031,348,723 | 126,812,045 | 8.13 |
(a) | Maximum offering price per share was equal to the net asset value per share for all share classes, except for Class A, for which the maximum offering price per share was $8.54 [100 / 95.75 x $8.18]. On sales of $100,000 or more, the maximum offering price of Class A shares is reduced. A contingent deferred sales charge may be imposed on redemptions of Class A, Class B, and Class C shares. Redemption price per share was equal to the net asset value per share for Classes I, R1, R2, R3, R4, and R6. |
Net investment income (loss) | |
Income | |
Interest | $16,323,743 |
Dividends from affiliated issuers | 51,411 |
Foreign taxes withheld | (38,928) |
Total investment income | $16,336,226 |
Expenses | |
Management fee | $3,093,851 |
Distribution and service fees | 34,787 |
Shareholder servicing costs | 31,509 |
Administrative services fee | 88,446 |
Independent Trustees' compensation | 8,735 |
Custodian fee | 94,730 |
Shareholder communications | 8,367 |
Audit and tax fees | 39,380 |
Legal fees | 2,347 |
Miscellaneous | 99,260 |
Total expenses | $3,501,412 |
Fees paid indirectly | (4,746) |
Reduction of expenses by investment adviser | (80,872) |
Net expenses | $3,415,794 |
Net investment income (loss) | $12,920,432 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers (net of $240 country tax) | $(60,367,782) |
Written options | 191,384 |
Futures contracts | 10,301,242 |
Swap agreements | 65,312 |
Forward foreign currency exchange contracts | 29,335,338 |
Foreign currency | (815,184) |
Net realized gain (loss) | $(21,289,690) |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $(98,771,051) |
Affiliated issuers | (1) |
Written options | 268,834 |
Futures contracts | 4,858,621 |
Swap agreements | (561,178) |
Forward foreign currency exchange contracts | 2,798,995 |
Translation of assets and liabilities in foreign currencies | 107,531 |
Net unrealized gain (loss) | $(91,298,249) |
Net realized and unrealized gain (loss) | $(112,587,939) |
Change in net assets from operations | $(99,667,507) |
Six months ended | Year ended | |
5/31/22 (unaudited) | 11/30/21 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $12,920,432 | $17,121,587 |
Net realized gain (loss) | (21,289,690) | 16,541,802 |
Net unrealized gain (loss) | (91,298,249) | (45,947,965) |
Change in net assets from operations | $(99,667,507) | $(12,284,576) |
Total distributions to shareholders | $(53,633,155) | $(33,101,269) |
Change in net assets from fund share transactions | $23,836,314 | $475,958,309 |
Total change in net assets | $(129,464,348) | $430,572,464 |
Net assets | ||
At beginning of period | 1,192,889,544 | 762,317,080 |
At end of period | $1,063,425,196 | $1,192,889,544 |
Class A | Six months ended | Year ended | ||||
5/31/22 (unaudited) | 11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | 11/30/17 | |
Net asset value, beginning of period | $9.33 | $9.82 | $9.11 | $8.44 | $8.97 | $8.53 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.08 | $0.13 | $0.10 | $0.16 | $0.15 | $0.12 |
Net realized and unrealized gain (loss) | (0.83) | (0.28) | 0.75 | 0.67 | (0.52) | 0.44 |
Total from investment operations | $(0.75) | $(0.15) | $0.85 | $0.83 | $(0.37) | $0.56 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.14) | $(0.18) | $(0.13) | $(0.16) | $(0.16) | $(0.12) |
From net realized gain | (0.26) | (0.16) | (0.01) | — | — | — |
From tax return of capital | — | — | — | — | — | (0.00)(w) |
Total distributions declared to shareholders | $(0.40) | $(0.34) | $(0.14) | $(0.16) | $(0.16) | $(0.12) |
Net asset value, end of period (x) | $8.18 | $9.33 | $9.82 | $9.11 | $8.44 | $8.97 |
Total return (%) (r)(s)(t)(x) | (8.40)(n) | (1.64) | 9.55 | 9.91 | (4.16) | 6.60 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.94(a) | 1.05 | 1.10 | 1.13 | 1.13 | 1.16 |
Expenses after expense reductions (f) | 0.93(a) | 0.99 | 1.04 | 1.05 | 1.05 | 1.05 |
Net investment income (loss) | 1.91(a) | 1.40 | 1.13 | 1.78 | 1.72 | 1.40 |
Portfolio turnover | 74(n) | 216 | 210 | 126 | 108 | 50 |
Net assets at end of period (000 omitted) | $18,486 | $21,218 | $19,934 | $16,487 | $14,062 | $12,104 |
Class B | Six months ended | Year ended | ||||
5/31/22 (unaudited) | 11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | 11/30/17 | |
Net asset value, beginning of period | $9.28 | $9.77 | $9.06 | $8.40 | $8.92 | $8.48 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.05 | $0.06 | $0.04 | $0.09 | $0.08 | $0.06 |
Net realized and unrealized gain (loss) | (0.82) | (0.29) | 0.74 | 0.67 | (0.51) | 0.43 |
Total from investment operations | $(0.77) | $(0.23) | $0.78 | $0.76 | $(0.43) | $0.49 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.11) | $(0.10) | $(0.06) | $(0.10) | $(0.09) | $(0.05) |
From net realized gain | (0.26) | (0.16) | (0.01) | — | — | — |
From tax return of capital | — | — | — | — | — | (0.00)(w) |
Total distributions declared to shareholders | $(0.37) | $(0.26) | $(0.07) | $(0.10) | $(0.09) | $(0.05) |
Net asset value, end of period (x) | $8.14 | $9.28 | $9.77 | $9.06 | $8.40 | $8.92 |
Total return (%) (r)(s)(t)(x) | (8.69)(n) | (2.40) | 8.78 | 9.01 | (4.80) | 5.84 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.69(a) | 1.80 | 1.86 | 1.88 | 1.89 | 1.92 |
Expenses after expense reductions (f) | 1.68(a) | 1.75 | 1.79 | 1.80 | 1.80 | 1.80 |
Net investment income (loss) | 1.16(a) | 0.64 | 0.42 | 1.04 | 0.97 | 0.66 |
Portfolio turnover | 74(n) | 216 | 210 | 126 | 108 | 50 |
Net assets at end of period (000 omitted) | $193 | $268 | $373 | $605 | $712 | $956 |
Class C | Six months ended | Year ended | ||||
5/31/22 (unaudited) | 11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | 11/30/17 | |
Net asset value, beginning of period | $9.28 | $9.77 | $9.06 | $8.40 | $8.92 | $8.48 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.05 | $0.06 | $0.04 | $0.09 | $0.09 | $0.06 |
Net realized and unrealized gain (loss) | (0.82) | (0.29) | 0.74 | 0.67 | (0.52) | 0.43 |
Total from investment operations | $(0.77) | $(0.23) | $0.78 | $0.76 | $(0.43) | $0.49 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.11) | $(0.10) | $(0.06) | $(0.10) | $(0.09) | $(0.05) |
From net realized gain | (0.26) | (0.16) | (0.01) | — | — | — |
From tax return of capital | — | — | — | — | — | (0.00)(w) |
Total distributions declared to shareholders | $(0.37) | $(0.26) | $(0.07) | $(0.10) | $(0.09) | $(0.05) |
Net asset value, end of period (x) | $8.14 | $9.28 | $9.77 | $9.06 | $8.40 | $8.92 |
Total return (%) (r)(s)(t)(x) | (8.69)(n) | (2.40) | 8.78 | 9.01 | (4.80) | 5.84 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.69(a) | 1.80 | 1.86 | 1.88 | 1.88 | 1.92 |
Expenses after expense reductions (f) | 1.68(a) | 1.75 | 1.79 | 1.80 | 1.80 | 1.80 |
Net investment income (loss) | 1.17(a) | 0.63 | 0.44 | 1.04 | 0.97 | 0.66 |
Portfolio turnover | 74(n) | 216 | 210 | 126 | 108 | 50 |
Net assets at end of period (000 omitted) | $488 | $812 | $1,353 | $2,229 | $2,332 | $2,086 |
Class I | Six months ended | Year ended | ||||
5/31/22 (unaudited) | 11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | 11/30/17 | |
Net asset value, beginning of period | $9.29 | $9.78 | $9.07 | $8.41 | $8.93 | $8.48 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.09 | $0.16 | $0.12 | $0.18 | $0.17 | $0.14 |
Net realized and unrealized gain (loss) | (0.83) | (0.29) | 0.76 | 0.66 | (0.51) | 0.45 |
Total from investment operations | $(0.74) | $(0.13) | $0.88 | $0.84 | $(0.34) | $0.59 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.15) | $(0.20) | $(0.16) | $(0.18) | $(0.18) | $(0.14) |
From net realized gain | (0.26) | (0.16) | (0.01) | — | — | — |
From tax return of capital | — | — | — | — | — | (0.00)(w) |
Total distributions declared to shareholders | $(0.41) | $(0.36) | $(0.17) | $(0.18) | $(0.18) | $(0.14) |
Net asset value, end of period (x) | $8.14 | $9.29 | $9.78 | $9.07 | $8.41 | $8.93 |
Total return (%) (r)(s)(t)(x) | (8.32)(n) | (1.40) | 9.86 | 10.09 | (3.83) | 7.02 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.69(a) | 0.80 | 0.85 | 0.88 | 0.89 | 0.92 |
Expenses after expense reductions (f) | 0.67(a) | 0.74 | 0.79 | 0.80 | 0.80 | 0.80 |
Net investment income (loss) | 2.15(a) | 1.64 | 1.30 | 2.05 | 1.98 | 1.64 |
Portfolio turnover | 74(n) | 216 | 210 | 126 | 108 | 50 |
Net assets at end of period (000 omitted) | $10,791 | $12,395 | $9,731 | $862 | $1,160 | $1,521 |
Class R1 | Six months ended | Year ended | ||||
5/31/22 (unaudited) | 11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | 11/30/17 | |
Net asset value, beginning of period | $9.28 | $9.77 | $9.07 | $8.40 | $8.93 | $8.48 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.05 | $0.06 | $0.03 | $0.09 | $0.09 | $0.06 |
Net realized and unrealized gain (loss) | (0.82) | (0.29) | 0.75 | 0.68 | (0.53) | 0.44 |
Total from investment operations | $(0.77) | $(0.23) | $0.78 | $0.77 | $(0.44) | $0.50 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.11) | $(0.10) | $(0.07) | $(0.10) | $(0.09) | $(0.05) |
From net realized gain | (0.26) | (0.16) | (0.01) | — | — | — |
From tax return of capital | — | — | — | — | — | (0.00)(w) |
Total distributions declared to shareholders | $(0.37) | $(0.26) | $(0.08) | $(0.10) | $(0.09) | $(0.05) |
Net asset value, end of period (x) | $8.14 | $9.28 | $9.77 | $9.07 | $8.40 | $8.93 |
Total return (%) (r)(s)(t)(x) | (8.69)(n) | (2.40) | 8.66 | 9.13 | (4.90) | 5.96 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.69(a) | 1.80 | 1.85 | 1.88 | 1.88 | 1.92 |
Expenses after expense reductions (f) | 1.68(a) | 1.74 | 1.79 | 1.80 | 1.80 | 1.80 |
Net investment income (loss) | 1.16(a) | 0.65 | 0.33 | 1.03 | 0.99 | 0.66 |
Portfolio turnover | 74(n) | 216 | 210 | 126 | 108 | 50 |
Net assets at end of period (000 omitted) | $542 | $615 | $494 | $243 | $214 | $75 |
Class R2 | Six months ended | Year ended | ||||
5/31/22 (unaudited) | 11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | 11/30/17 | |
Net asset value, beginning of period | $9.28 | $9.77 | $9.06 | $8.39 | $8.92 | $8.48 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.07 | $0.11 | $0.07 | $0.14 | $0.13 | $0.10 |
Net realized and unrealized gain (loss) | (0.83) | (0.29) | 0.76 | 0.67 | (0.52) | 0.44 |
Total from investment operations | $(0.76) | $(0.18) | $0.83 | $0.81 | $(0.39) | $0.54 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.13) | $(0.15) | $(0.11) | $(0.14) | $(0.14) | $(0.10) |
From net realized gain | (0.26) | (0.16) | (0.01) | — | — | — |
From tax return of capital | — | — | — | — | — | (0.00)(w) |
Total distributions declared to shareholders | $(0.39) | $(0.31) | $(0.12) | $(0.14) | $(0.14) | $(0.10) |
Net asset value, end of period (x) | $8.13 | $9.28 | $9.77 | $9.06 | $8.39 | $8.92 |
Total return (%) (r)(s)(t)(x) | (8.57)(n) | (1.91) | 9.32 | 9.68 | (4.43) | 6.37 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.19(a) | 1.30 | 1.35 | 1.38 | 1.39 | 1.41 |
Expenses after expense reductions (f) | 1.18(a) | 1.24 | 1.29 | 1.30 | 1.30 | 1.30 |
Net investment income (loss) | 1.66(a) | 1.16 | 0.79 | 1.53 | 1.47 | 1.14 |
Portfolio turnover | 74(n) | 216 | 210 | 126 | 108 | 50 |
Net assets at end of period (000 omitted) | $776 | $822 | $621 | $240 | $208 | $268 |
Class R3 | Six months ended | Year ended | ||||
5/31/22 (unaudited) | 11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | 11/30/17 | |
Net asset value, beginning of period | $9.28 | $9.77 | $9.07 | $8.40 | $8.93 | $8.49 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.08 | $0.13 | $0.10 | $0.16 | $0.15 | $0.12 |
Net realized and unrealized gain (loss) | (0.82) | (0.28) | 0.75 | 0.67 | (0.52) | 0.44 |
Total from investment operations | $(0.74) | $(0.15) | $0.85 | $0.83 | $(0.37) | $0.56 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.14) | $(0.18) | $(0.14) | $(0.16) | $(0.16) | $(0.12) |
From net realized gain | (0.26) | (0.16) | (0.01) | — | — | — |
From tax return of capital | — | — | — | — | — | (0.00)(w) |
Total distributions declared to shareholders | $(0.40) | $(0.34) | $(0.15) | $(0.16) | $(0.16) | $(0.12) |
Net asset value, end of period (x) | $8.14 | $9.28 | $9.77 | $9.07 | $8.40 | $8.93 |
Total return (%) (r)(s)(t)(x) | (8.34)(n) | (1.66) | 9.47 | 9.94 | (4.18) | 6.63 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.94(a) | 1.05 | 1.10 | 1.13 | 1.14 | 1.16 |
Expenses after expense reductions (f) | 0.92(a) | 1.00 | 1.04 | 1.05 | 1.05 | 1.05 |
Net investment income (loss) | 1.91(a) | 1.39 | 1.02 | 1.80 | 1.73 | 1.41 |
Portfolio turnover | 74(n) | 216 | 210 | 126 | 108 | 50 |
Net assets at end of period (000 omitted) | $595 | $566 | $510 | $60 | $71 | $88 |
Class R4 | Six months ended | Year ended | ||||
5/31/22 (unaudited) | 11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | 11/30/17 | |
Net asset value, beginning of period | $9.29 | $9.77 | $9.07 | $8.40 | $8.93 | $8.49 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.09 | $0.15 | $0.12 | $0.18 | $0.17 | $0.14 |
Net realized and unrealized gain (loss) | (0.83) | (0.27) | 0.75 | 0.67 | (0.52) | 0.44 |
Total from investment operations | $(0.74) | $(0.12) | $0.87 | $0.85 | $(0.35) | $0.58 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.15) | $(0.20) | $(0.16) | $(0.18) | $(0.18) | $(0.14) |
From net realized gain | (0.26) | (0.16) | (0.01) | — | — | — |
From tax return of capital | — | — | — | — | — | (0.00)(w) |
Total distributions declared to shareholders | $(0.41) | $(0.36) | $(0.17) | $(0.18) | $(0.18) | $(0.14) |
Net asset value, end of period (x) | $8.14 | $9.29 | $9.77 | $9.07 | $8.40 | $8.93 |
Total return (%) (r)(s)(t)(x) | (8.32)(n) | (1.30) | 9.74 | 10.22 | (3.95) | 6.89 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.69(a) | 0.81 | 0.84 | 0.88 | 0.88 | 0.91 |
Expenses after expense reductions (f) | 0.67(a) | 0.76 | 0.79 | 0.80 | 0.80 | 0.80 |
Net investment income (loss) | 2.16(a) | 1.61 | 1.33 | 2.03 | 1.96 | 1.66 |
Portfolio turnover | 74(n) | 216 | 210 | 126 | 108 | 50 |
Net assets at end of period (000 omitted) | $206 | $213 | $557 | $77 | $53 | $55 |
Class R6 | Six months ended | Year ended | ||||
5/31/22 (unaudited) | 11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | 11/30/17 | |
Net asset value, beginning of period | $9.28 | $9.76 | $9.06 | $8.39 | $8.92 | $8.48 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.10 | $0.17 | $0.13 | $0.19 | $0.18 | $0.16 |
Net realized and unrealized gain (loss) | (0.84) | (0.28) | 0.75 | 0.67 | (0.52) | 0.43 |
Total from investment operations | $(0.74) | $(0.11) | $0.88 | $0.86 | $(0.34) | $0.59 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.15) | $(0.21) | $(0.17) | $(0.19) | $(0.19) | $(0.15) |
From net realized gain | (0.26) | (0.16) | (0.01) | — | — | — |
From tax return of capital | — | — | — | — | — | (0.00)(w) |
Total distributions declared to shareholders | $(0.41) | $(0.37) | $(0.18) | $(0.19) | $(0.19) | $(0.15) |
Net asset value, end of period (x) | $8.13 | $9.28 | $9.76 | $9.06 | $8.39 | $8.92 |
Total return (%) (r)(s)(t)(x) | (8.29)(n) | (1.22) | 9.84 | 10.33 | (3.84) | 7.03 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.60(a) | 0.70 | 0.77 | 0.78 | 0.78 | 0.79 |
Expenses after expense reductions (f) | 0.58(a) | 0.65 | 0.71 | 0.70 | 0.69 | 0.67 |
Net investment income (loss) | 2.25(a) | 1.75 | 1.46 | 2.13 | 2.07 | 1.78 |
Portfolio turnover | 74(n) | 216 | 210 | 126 | 108 | 50 |
Net assets at end of period (000 omitted) | $1,031,349 | $1,155,980 | $728,743 | $630,673 | $601,381 | $634,630 |
(a) | Annualized. |
(d) | Per share data is based on average shares outstanding. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. See Note 2 in the Notes to Financial Statements for additional information. |
(n) | Not annualized. |
(r) | Certain expenses have been reduced without which performance would have been lower. |
(s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
(t) | Total returns do not include any applicable sales charges. |
(w) | Per share amount was less than $0.01. |
(x) | The net asset values and total returns have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | $— | $40,774,854 | $— | $40,774,854 |
Non - U.S. Sovereign Debt | — | 476,681,362 | — | 476,681,362 |
Municipal Bonds | — | 3,585,160 | — | 3,585,160 |
U.S. Corporate Bonds | — | 177,782,355 | — | 177,782,355 |
Residential Mortgage-Backed Securities | — | 50,406,736 | — | 50,406,736 |
Commercial Mortgage-Backed Securities | — | 40,968,035 | — | 40,968,035 |
Asset-Backed Securities (including CDOs) | — | 48,333,365 | — | 48,333,365 |
Foreign Bonds | — | 175,158,107 | — | 175,158,107 |
Mutual Funds | 51,275,499 | — | — | 51,275,499 |
Total | $51,275,499 | $1,013,689,974 | $— | $1,064,965,473 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $5,935,834 | $— | $— | $5,935,834 |
Futures Contracts – Liabilities | (2,826,324) | — | — | (2,826,324) |
Forward Foreign Currency Exchange Contracts – Assets | — | 30,441,041 | — | 30,441,041 |
Forward Foreign Currency Exchange Contracts – Liabilities | — | (8,418,817) | — | (8,418,817) |
Swap Agreements – Assets | — | 246,457 | — | 246,457 |
Swap Agreements – Liabilities | — | (1,365,015) | — | (1,365,015) |
Written Options - Liabilities | — | (290,959) | — | (290,959) |
Fair Value (a) | |||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
Interest Rate | Futures Contracts | $5,935,834 | $(2,826,324) |
Interest Rate | Cleared Swap Agreements | 80,554 | (1,332,854) |
Foreign Exchange | Forward Foreign Currency Exchange Contracts | 30,441,041 | (8,418,817) |
Credit | Purchased Option Contracts | 780,312 | — |
Credit | Uncleared Swap Agreements | 165,903 | (32,161) |
Credit | Written Option Contracts | — | (290,959) |
Total | $37,403,644 | $(12,901,115) |
(a) | The value of purchased options outstanding is included in investments in unaffiliated issuers, at value, within the Statement of Assets and Liabilities. Values presented in this table for futures contracts and cleared swap agreements correspond to the values reported in the Portfolio of Investments. Only the current day net variation margin for futures contracts and cleared swap agreements is separately reported within the Statement of Assets and Liabilities. |
Risk | Futures Contracts | Swap Agreements | Forward Foreign Currency Exchange Contracts | Unaffiliated Issuers (Purchased Options) | Written Options |
Interest Rate | $10,301,242 | $ — | $ — | $ — | $ — |
Foreign Exchange | — | — | 29,335,338 | — | — |
Credit | — | 65,312 | — | 1,449,384 | 191,384 |
Total | $10,301,242 | $65,312 | $29,335,338 | $1,449,384 | $191,384 |
Risk | Futures Contracts | Swap Agreements | Forward Foreign Currency Exchange Contracts | Unaffiliated Issuers (Purchased Options) | Written Options |
Interest Rate | $4,858,621 | $ — | $ — | $ — | $ — |
Foreign Exchange | — | — | 2,798,995 | — | — |
Credit | — | (561,178) | — | (1,086,099) | 268,834 |
Total | $4,858,621 | $(561,178) | $2,798,995 | $(1,086,099) | $269,834 |
Gross Amounts of: | Derivative Assets | Derivative Liabilities |
Futures Contracts (a) | $826,592 | $— |
Uncleared Swaps, at value | 165,903 | 32,161 |
Cleared Swap Agreements (a) | — | 261,222 |
Forward Foreign Currency Exchange Contracts | 30,441,041 | 8,418,817 |
Purchased Options | 780,312 | — |
Written Options | — | 290,959 |
Total Gross Amount of Derivative Assets and Liabilities Presented in the Statement of Assets & Liabilities | $32,213,848 | $9,003,159 |
Less: Derivatives Assets and Liabilities Not Subject to a Master Netting Agreement or Similar Arrangement | 2,021,164 | 759,519 |
Total Gross Amount of Derivative Assets and Liabilities Subject to a Master Netting Agreement or Similar Arrangement | $30,192,684 | $8,243,640 |
Amounts Not Offset in the Statement of Assets & Liabilities | |||||
Gross Amount of Derivative Assets Subject to a Master Netting Agreement (or Similar Arrangement) by Counterparty | Financial Instruments Available for Offset | Financial Instruments Collateral Received (b) | Cash Collateral Received (b) | Net Amount of Derivative Assets by Counterparty | |
Barclays Bank PLC | $332,670 | $(32,161) | $(300,509) | $— | $— |
BNP Paribas | 780,312 | (290,959) | — | — | 489,353 |
Brown Brothers Harriman | 7,854 | (2,520) | — | — | 5,334 |
Citibank N.A. | 146,056 | (117,553) | — | (28,503) | — |
Deutsche Bank AG | 623,500 | (623,500) | — | — | — |
Goldman Sachs International | 6,683,357 | (2,079,492) | — | (4,460,000) | 143,865 |
JPMorgan Chase Bank N.A. | 21,123,590 | (4,742,108) | (1,036,428) | (15,345,054) | — |
Merrill Lynch International | 99,437 | — | — | (99,437) | — |
Morgan Stanley Capital Services, Inc. | 395,908 | (117,322) | — | (210,000) | 68,586 |
Total | $30,192,684 | $(8,005,615) | $(1,336,937) | $(20,142,994) | $707,138 |
Amounts Not Offset in the Statement of Assets & Liabilities | |||||
Gross Amount of Derivative Liabilities Subject to a Master Netting Agreement (or Similar Arrangement) by Counterparty | Financial Instruments Available for Offset | Financial Instruments Collateral Pledged (b) | Cash Collateral Pledged (b) | Net Amount of Derivative Liabilities by Counterparty | |
Barclays Bank PLC | $32,161 | $(32,161) | $— | $— | $— |
BNP Paribas | 290,959 | (290,959) | — | — | — |
Brown Brothers Harriman | 2,520 | (2,520) | — | — | — |
Citibank N.A. | 117,553 | (117,553) | — | — | — |
Deutsche Bank AG | 861,525 | (623,500) | — | (300,000) | (61,975) |
Goldman Sachs International | 2,079,492 | (2,079,492) | — | — | — |
JPMorgan Chase Bank N.A. | 4,742,108 | (4,742,108) | — | — | — |
Morgan Stanley Capital Services, Inc. | 117,322 | (117,322) | — | — | — |
Total | $8,243,640 | $(8,005,615) | $— | $(300,000) | $(61,975) |
(b) | The amount presented here may be less than the total amount of collateral (received)/pledged as the excess collateral (received)/pledged is not shown for purposes of this presentation. |
Year ended 11/30/21 | |
Ordinary income (including any short-term capital gains) | $28,501,026 |
Long-term capital gains | 4,600,243 |
Total distributions | $33,101,269 |
As of 5/31/22 | |
Cost of investments | $1,189,890,011 |
Gross appreciation | 2,607,059 |
Gross depreciation | (127,531,597) |
Net unrealized appreciation (depreciation) | $ (124,924,538) |
As of 11/30/21 | |
Undistributed ordinary income | 17,314,976 |
Undistributed long-term capital gain | 25,712,081 |
Other temporary differences | (1,854,837) |
Net unrealized appreciation (depreciation) | (27,382,138) |
Six months ended 5/31/22 | Year ended 11/30/21 | ||
Class A | $906,721 | $718,005 | |
Class B | 9,996 | 9,688 | |
Class C | 30,692 | 33,968 | |
Class I | 549,477 | 407,919 | |
Class R1 | 24,950 | 15,115 | |
Class R2 | 34,751 | 21,030 | |
Class R3 | 24,542 | 17,585 | |
Class R4 | 9,486 | 17,735 | |
Class R6 | 52,042,540 | 31,860,224 | |
Total | $53,633,155 | $33,101,269 |
Up to $1 billion | 0.55% |
In excess of $1 billion and up to $2.5 billion | 0.45% |
In excess of $2.5 billion | 0.425% |
Classes | ||||||||
A | B | C | I | R1 | R2 | R3 | R4 | R6 |
0.97% | 1.72% | 1.72% | 0.72% | 1.72% | 1.22% | 0.97% | 0.72% | 0.64% |
Distribution Fee Rate (d) | Service Fee Rate (d) | Total Distribution Plan (d) | Annual Effective Rate (e) | Distribution and Service Fee | |
Class A | — | 0.25% | 0.25% | 0.25% | $ 25,193 |
Class B | 0.75% | 0.25% | 1.00% | 1.00% | 1,108 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 2,951 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 2,860 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 1,996 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 679 |
Total Distribution and Service Fees | $34,787 |
(d) | In accordance with the distribution plan for certain classes, the fund pays distribution and/or service fees equal to these annual percentage rates of each class’s average daily net assets. The distribution and service fee rates disclosed by class represent the current rates in effect at the end of the reporting period. Any rate changes, if applicable, are detailed below. |
(e) | The annual effective rates represent actual fees incurred under the distribution plan for the six months ended May 31, 2022 based on each class's average daily net assets. MFD has voluntarily agreed to rebate a portion of each class's 0.25% service fee attributable to accounts for which there is no financial intermediary specified on the account except for accounts attributable to MFS or its affiliates' seed money. There were no service fee rebates for the six months, ended May 31, 2022. |
Amount | |
Class A | $— |
Class B | 199 |
Class C | 11 |
Purchases | Sales | |
U.S. Government securities | $146,659,889 | $128,657,713 |
Non-U.S. Government securities | 705,647,660 | 686,588,023 |
Six months ended 5/31/22 | Year ended 11/30/21 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 216,447 | $1,898,756 | 652,705 | $6,235,880 | |
Class B | 419 | 3,600 | 4,350 | 41,051 | |
Class C | 2,095 | 17,996 | 26,461 | 251,757 | |
Class I | 195,652 | 1,686,717 | 909,468 | 8,600,174 | |
Class R1 | 12,440 | 106,848 | 14,748 | 141,455 | |
Class R2 | 3,508 | 30,087 | 38,261 | 363,390 | |
Class R3 | 13,135 | 108,078 | 37,269 | 352,205 | |
Class R4 | 1,715 | 14,400 | 7,254 | 68,638 | |
Class R6 | 5,572,063 | 48,462,370 | 48,251,772 | 454,004,087 | |
6,017,474 | $52,328,852 | 49,942,288 | $470,058,637 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Class A | 100,521 | $901,618 | 73,303 | $707,884 | |
Class B | 1,108 | 9,941 | 999 | 9,663 | |
Class C | 3,374 | 30,299 | 3,339 | 32,340 | |
Class I | 61,363 | 547,474 | 42,082 | 403,688 | |
Class R1 | 2,781 | 24,950 | 1,564 | 15,115 | |
Class R2 | 3,891 | 34,751 | 2,188 | 21,027 | |
Class R3 | 2,748 | 24,533 | 1,829 | 17,581 | |
Class R4 | 1,064 | 9,486 | 1,800 | 17,377 | |
Class R6 | 5,564,285 | 49,542,448 | 3,261,947 | 31,222,711 | |
5,741,135 | $51,125,500 | 3,389,051 | $32,447,386 |
Six months ended 5/31/22 | Year ended 11/30/21 | ||||
Shares | Amount | Shares | Amount | ||
Shares reacquired | |||||
Class A | (331,468) | $(2,845,518) | (481,827) | $(4,592,886) | |
Class B | (6,714) | (58,858) | (14,626) | (138,858) | |
Class C | (33,070) | (291,542) | (80,788) | (771,444) | |
Class I | (266,310) | (2,285,121) | (612,364) | (5,768,011) | |
Class R1 | (14,898) | (128,144) | (619) | (5,921) | |
Class R2 | (646) | (5,605) | (15,427) | (145,270) | |
Class R3 | (3,757) | (32,624) | (30,284) | (285,175) | |
Class R4 | (430) | (3,804) | (43,200) | (406,651) | |
Class R6 | (8,942,126) | (73,966,822) | (1,526,656) | (14,433,498) | |
(9,599,419) | $(79,618,038) | (2,805,791) | $(26,547,714) | ||
Net change | |||||
Class A | (14,500) | $(45,144) | 244,181 | $2,350,878 | |
Class B | (5,187) | (45,317) | (9,277) | (88,144) | |
Class C | (27,601) | (243,247) | (50,988) | (487,347) | |
Class I | (9,295) | (50,930) | 339,186 | 3,235,851 | |
Class R1 | 323 | 3,654 | 15,693 | 150,649 | |
Class R2 | 6,753 | 59,233 | 25,022 | 239,147 | |
Class R3 | 12,126 | 99,987 | 8,814 | 84,611 | |
Class R4 | 2,349 | 20,082 | (34,146) | (320,636) | |
Class R6 | 2,194,222 | 24,037,996 | 49,987,063 | 470,793,300 | |
2,159,190 | $23,836,314 | 50,525,548 | $475,958,309 |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $44,596,212 | $477,576,963 | $470,897,677 | $— | $1 | $51,275,499 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $51,411 | $— |
Item 1(b): |
Not applicable
ITEM 2. | CODE OF ETHICS. |
During the period covered by this report, the Registrant has not amended any provision in its Code of Ethics (the “Code”) that relates to an element of the Code’s definition enumerated in paragraph (b) of Item 2 of this Form N-CSR. During the period covered by this report, the Registrant did not grant a waiver, including an implicit waiver, from any provision of the Code.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
Not applicable for semi-annual reports.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Not applicable for semi-annual reports.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable to the Registrant.
ITEM 6. | INVESTMENTS |
A schedule of investments for MFS Global Opportunistic Bond Fund, a series of the Registrant, is included as part of the report to shareholders of such series under Item 1(a) of this Form N-CSR.
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the Registrant.
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the Registrant.
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable to the Registrant.
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
There were no material changes to the procedures by which shareholders may send recommendations to the Board for nominees to the Registrant’s Board since the Registrant last provided disclosure as to such procedures in response to the requirements of Item 407 (c)(2)(iv) of Regulation S-K or this Item.
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | Based upon their evaluation of the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as conducted within 90 days of the filing date of this report on Form N-CSR, the registrant’s principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
(b) | There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by the report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
ITEM 12. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the Registrant.
ITEM 13. | EXHIBITS. |
(a) | (1) | Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. Not applicable. |
(2) | A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2). Attached hereto as EX-99.302CERT. |
(3) | Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable. |
(4) | Change in the registrant’s independent public accountant. Not applicable. |
(b) | If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for the purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Attached hereto as EX-99.906CERT. |
Notice
A copy of the Amended and Restated Declaration of Trust, as amended, of the Registrant is on file with the Secretary of State of The Commonwealth of Massachusetts and notice is hereby given that this instrument is executed on behalf of the Registrant by an officer of the Registrant as an officer and not individually and the obligations of or arising out of this instrument are not binding upon any of the Trustees or shareholders individually, but are binding only upon the assets and property of the respective constituent series of the Registrant.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) MFS SERIES TRUST X
By (Signature and Title)* | /S/ DAVID L. DILORENZO | |
David L. DiLorenzo, President |
Date: July 15, 2022
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /S/ DAVID L. DILORENZO | |
David L. DiLorenzo, President (Principal Executive Officer) |
Date: July 15, 2022
By (Signature and Title)* | /S/ JAMES O. YOST | |
James O. Yost, Treasurer (Principal Financial Officer and Accounting Officer) |
Date: July 15, 2022
* | Print name and title of each signing officer under his or her signature. |