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Quarterly Report
August 31, 2021
MFS® Charter Income Trust
![](https://capedge.com/proxy/NPORT-P/0001752724-21-223755/imgf7d29d5d2.gif)
MCR-Q3
Portfolio of Investments
8/31/21 (unaudited)
The Portfolio of Investments is a
complete list of all securities owned by your fund. It is categorized by broad-based asset classes.
Issuer | Shares/Par | Value ($) | ||
Bonds – 120.8% | ||||
Aerospace & Defense – 1.4% | ||||
Bombardier, Inc., 7.5%, 3/15/2025 (n) | $ | 503,000 | $516,717 | |
Bombardier, Inc., 7.125%, 6/15/2026 (n) | 267,000 | 281,685 | ||
F-Brasile S.p.A./F-Brasile U.S. LLC, 7.375%, 8/15/2026 (n) | 725,000 | 747,388 | ||
Moog, Inc., 4.25%, 12/15/2027 (n) | 990,000 | 1,017,225 | ||
TransDigm, Inc., 6.25%, 3/15/2026 (n) | 15,000 | 15,750 | ||
TransDigm, Inc., 6.375%, 6/15/2026 | 535,000 | 555,491 | ||
TransDigm, Inc., 5.5%, 11/15/2027 | 1,320,000 | 1,349,990 | ||
TransDigm, Inc., 4.625%, 1/15/2029 (n) | 880,000 | 869,000 | ||
$5,353,246 | ||||
Airlines – 0.2% | ||||
American Airlines, Inc./AAadvantage Loyalty IP Ltd., 5.5%, 4/20/2026 (n) | $ | 705,000 | $743,070 | |
Asset-Backed & Securitized – 3.6% | ||||
Allegro CLO Ltd., 2016-1A, “BR2”, FLR, 1.676% (LIBOR - 3mo. + 1.55%), 1/15/2030 (n) | $ | 250,000 | $250,030 | |
Arbor Multi-Family Mortgage Securities Trust, Inc., 2021-MF2, “A5”, 2.513%, 6/15/2054 (n) | 490,000 | 511,899 | ||
Arbor Realty Trust, Inc., CLO, 2020-FL1, “C”, FLR, 2.214% (LIBOR - 1mo. + 2.05%), 2/15/2035 (n) | 300,000 | 299,969 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “C”, FLR, 2.095% (LIBOR - 1mo. + 2%), 12/15/2035 (n) | 200,000 | 200,249 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL2, “B”, FLR, 1.695% (LIBOR - 1mo. + 1.6%), 5/15/2036 (n) | 100,000 | 100,062 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL2, “C”, FLR, 2.045% (LIBOR - 1mo. + 1.95%), 5/15/2036 (n) | 275,500 | 275,841 | ||
Bancorp Commercial Mortgage Trust, 2018-CRE4, “D”, FLR, 2.195% (LIBOR - 1mo. + 2.1%), 9/15/2035 (n) | 136,401 | 135,709 | ||
Bancorp Commercial Mortgage Trust, 2019-CRE6, “A”, FLR, 1.214% (LIBOR - 1mo. + 1.05%), 9/15/2036 (n) | 23,393 | 23,395 | ||
Bank, 2021-BN35, “XA”, 1.159%, 7/15/2031 (i) | 1,310,724 | 107,561 | ||
Barclays Commercial Mortgage Securities LLC, 2020-C7, “XA”, 1.742%, 4/15/2053 (i) | 1,991,627 | 206,896 | ||
Bayview Financial Revolving Mortgage Loan Trust, FLR, 1.684% (LIBOR - 1mo. + 1.6%), 12/28/2040 (n) | 196,219 | 213,505 | ||
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.433%, 7/15/2054 (i) | 999,555 | 99,692 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.767%, 2/15/2054 (i) | 2,301,116 | 284,581 | ||
Benchmark Mortgage Trust, 2019-B12, “A5”, 3.115%, 8/15/2052 | 227,000 | 248,721 | ||
Benchmark Mortgage Trust, 2020-B18, “XA”, 1.918%, 7/15/2053 (i) | 3,392,602 | 375,667 | ||
Benchmark Mortgage Trust, 2021-B23, “XA”, 1.385%, 2/15/2054 (i) | 3,636,896 | 340,551 | ||
Benchmark Mortgage Trust, 2021-B24, “XA”, 1.273%, 3/15/2054 (i) | 1,998,854 | 169,703 | ||
Benchmark Mortgage Trust, 2021-B26, “XA”, 0.999%, 6/15/2054 (i) | 5,530,252 | 376,390 | ||
Benchmark Mortgage Trust, 2021-B27, “XA”, 1.389%, 7/15/2054 (i) | 6,989,864 | 685,888 | ||
Benchmark Mortgage Trust, 2021-B28, “XA”, 1.406%, 8/15/2054 (i) | 2,356,274 | 234,075 | ||
BPCRE Holder LLC, FLR, 1.642% (LIBOR - 1mo. + 1.55%), 2/15/2037 (n) | 338,000 | 337,894 | ||
Business Jet Securities LLC, 2020-1A, “A”, 2.981%, 11/15/2035 (n) | 353,805 | 360,877 | ||
Business Jet Securities LLC, 2021-1A, “A”, 2.162%, 4/15/2036 (n) | 111,169 | 111,919 | ||
Business Jet Securities LLC, 2021-1A, “B”, 2.918%, 4/15/2036 (n) | 92,613 | 93,709 | ||
BXMT Ltd., 2021-FL4, “B”, FLR, 1.645% (LIBOR - 1mo. + 1.55%), 5/15/2038 (n) | 549,000 | 548,999 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 145,146 | 149,124 | ||
Capital Automotive, 2020-1A, “B1”, REIT, 4.17%, 2/15/2050 (n) | 437,500 | 453,075 | ||
CF Hippolyta Issuer LLC, 2020-1, “A1”, 1.69%, 7/15/2060 (n) | 94,879 | 96,680 | ||
CF Hippolyta Issuer LLC, 2020-1, “B1”, 2.28%, 7/15/2060 (n) | 94,879 | 96,843 | ||
Commercial Mortgage Pass-Through Certificates, 2020-BN28, “A4”, 1.844%, 3/15/2063 | 115,359 | 115,018 | ||
Commercial Mortgage Pass-Through Certificates, 2020-BN29, “A4”, 1.997%, 11/15/2053 | 516,973 | 521,024 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.893%, 4/15/2054 (i) | 1,581,324 | 93,502 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN34, “XA”, 1.089%, 6/15/2063 (i) | 999,799 | 77,384 | ||
Crest Ltd., CDO, 7%, (0.001% cash or 7% PIK) 1/28/2040 (a)(d)(p) | 3,372,294 | 34 | ||
FS Rialto 2019-FL1 Issuer Ltd., 2021-FL2, “AS”, FLR, 1.645% (LIBOR - 1mo. + 1.6%), 4/16/2028 (n) | 297,500 | 297,592 | ||
HarbourView CLO VII Ltd., 7RA, “B”, FLR, 1.834% (LIBOR - 3mo. + 1.7%), 7/18/2031 (n) | 440,000 | 436,424 | ||
LoanCore Ltd., 2021-CRE5, “AS”, FLR, 1.845% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | 375,000 | 375,117 | ||
LoanCore Ltd., 2021-CRE5, “B”, FLR, 2.095% (LIBOR - 1mo. + 2%), 7/15/2036 (n) | 258,000 | 258,080 | ||
MF1 CLO Ltd., 2019-FL2, “A”, FLR, 1.294% (LIBOR - 1mo. + 1.13%), 12/25/2034 (n) | 23,970 | 23,978 | ||
MF1 CLO Ltd., 2020-FL3, “AS”, FLR, 3.014% (LIBOR - 1mo. + 2.85%), 7/15/2035 (z) | 428,000 | 435,444 | ||
MF1 CLO Ltd., 2021-FL5, “B”, FLR, 1.614% (LIBOR - 1mo. + 1.45%), 7/15/2036 (n) | 423,500 | 424,027 | ||
MF1 CLO Ltd., 2021-FL5, “C”, FLR, 1.864% (LIBOR - 1mo. + 1.7%), 7/15/2036 (n) | 213,000 | 213,331 |
1
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
MF1 Multi-Family Housing Mortgage Loan Trust, 2020-FL4, FLR, 2.264% (LIBOR - 1mo. + 2.1%), 11/15/2035 (n) | $ | 154,000 | $155,924 | |
MF1 Multi-Family Housing Mortgage Loan Trust, 2021-FL5, “D”, FLR, 2.664% (LIBOR - 1mo. + 2.5%), 7/15/2036 (n) | 755,000 | 757,584 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.425%, 5/15/2054 (i) | 1,034,987 | 99,286 | ||
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.356%, 6/15/2054 (i) | 3,140,181 | 275,642 | ||
Multi-Family Housing Mortgage, MF1-2021, “B”, FLR, 1.745% (LIBOR - 1mo. + 1.65%), 7/16/2036 (n) | 450,000 | 450,561 | ||
PFP III Ltd., 2021-7, “B”, FLR, 1.495% (LIBOR - 1mo. + 1.4%), 4/14/2038 (n) | 212,489 | 211,692 | ||
PFP III Ltd., 2021-7, “C”, FLR, 1.745% (LIBOR - 1mo. + 1.65%), 4/14/2038 (n) | 199,990 | 199,240 | ||
Securitized Term Auto Receivable Trust, 2019-CRTA, “C”, 2.849%, 3/25/2026 (n) | 196,085 | 199,117 | ||
Starwood Commercial Mortgage, 2021-FL2, “B”, FLR, 1.888% (LIBOR - 1mo. + 1.8%), 4/18/2038 (n) | 190,000 | 190,234 | ||
Starwood Commercial Mortgage, 2021-FL2, “C”, FLR, 2.188% (LIBOR - 1mo. + 2.1%), 4/18/2038 (n) | 100,000 | 100,186 | ||
TPG Real Estate Finance, 2021-FL4, “AS”, FLR, 1.492% (LIBOR - 1mo. + 1.4%), 3/15/2038 (n) | 150,000 | 150,046 | ||
TPG Real Estate Finance, 2021-FL4, “B”, FLR, 1.942% (LIBOR - 1mo. + 1.85%), 3/15/2038 (n) | 310,000 | 310,096 | ||
Wells Fargo Commercial Mortgage Trust, 2021-C60, 1.684%, 8/15/2054 (i) | 1,999,249 | 236,822 | ||
$13,996,889 | ||||
Automotive – 2.0% | ||||
Adient Global Holdings Ltd., 4.875%, 8/15/2026 (n) | $ | 815,000 | $837,413 | |
Daimler Finance North America LLC, 1.45%, 3/02/2026 (n) | 150,000 | 151,520 | ||
Dana, Inc., 5.375%, 11/15/2027 | 484,000 | 510,620 | ||
Dana, Inc., 5.625%, 6/15/2028 | 166,000 | 178,437 | ||
Dana, Inc., 4.25%, 9/01/2030 | 735,000 | 764,238 | ||
Ferrari N.V., 1.5%, 5/27/2025 | EUR | 152,000 | 186,896 | |
General Motors Financial Co., Inc., 1.55%, 7/30/2027 | GBP | 100,000 | 137,177 | |
Hyundai Capital America, 6.375%, 4/08/2030 (n) | $ | 450,000 | 585,166 | |
IAA Spinco, Inc., 5.5%, 6/15/2027 (n) | 870,000 | 908,062 | ||
Lear Corp., 3.8%, 9/15/2027 | 162,000 | 180,353 | ||
Panther BR Aggregator 2 LP/Panther Finance Co., Inc., 8.5%, 5/15/2027 (n) | 800,000 | 854,000 | ||
PM General Purchaser LLC, 9.5%, 10/01/2028 (n) | 305,000 | 331,657 | ||
Real Hero Merger Sub 2, Inc., 6.25%, 2/01/2029 (n) | 470,000 | 486,765 | ||
TI Automotive Finance PLC, 3.75%, 4/15/2029 (n) | EUR | 480,000 | 581,326 | |
Volkswagen International Finance N.V., 3.5% to 6/17/2025, FLR (EUR Swap Rate - 5yr. + 3.746%) to 6/17/2030, FLR (EUR Swap Rate - 5yr. + 3.996%) to 6/17/2045, FLR (EUR Swap Rate - 5yr. + 4.746%) to 6/17/2070 | 200,000 | 254,681 | ||
Volkswagen International Finance N.V., 3.5% to 3/20/2030, FLR (EUR Swap Rate - 15yr. + 3.06%) to 3/20/2050, FLR (EUR Swap Rate - 15yr. + 3.81%) to 12/29/2166 | 200,000 | 261,659 | ||
Wheel Pros, Inc., 6.5%, 5/15/2029 (n) | $ | 430,000 | 429,463 | |
$7,639,433 | ||||
Broadcasting – 2.2% | ||||
Advantage Sales & Marketing, Inc., 6.5%, 11/15/2028 (n) | $ | 980,000 | $1,024,100 | |
Discovery, Inc., 4.125%, 5/15/2029 | 78,000 | 88,080 | ||
iHeartCommunications, Inc., 8.375%, 5/01/2027 | 605,000 | 642,691 | ||
Netflix, Inc., 5.875%, 11/15/2028 | 180,000 | 223,200 | ||
Nexstar Escrow Corp., 5.625%, 7/15/2027 (n) | 860,000 | 913,062 | ||
Prosus N.V., 1.539%, 8/03/2028 | EUR | 150,000 | 181,863 | |
Prosus N.V., 3.061%, 7/13/2031 (n) | $ | 329,000 | 321,869 | |
Scripps Escrow II, Inc., 5.875%, 7/15/2027 (n) | 860,000 | 882,824 | ||
Summer (BC) Bidco B LLC, 5.5%, 10/31/2026 (n) | 540,000 | 547,425 | ||
Summer (BC) Holdco S.à r.l., “A”, 9.25%, 10/31/2027 | EUR | 513,600 | 658,102 | |
Univision Communications, Inc., 4.5%, 5/01/2029 (n) | $ | 1,260,000 | 1,278,144 | |
WMG Acquisition Corp., 3.875%, 7/15/2030 (n) | 1,449,000 | 1,526,913 | ||
WMG Acquisition Corp., 2.25%, 8/31/2031 (n) | EUR | 242,000 | 286,967 | |
$8,575,240 | ||||
Brokerage & Asset Managers – 1.0% | ||||
Aretec Escrow Issuer, Inc., 7.5%, 4/01/2029 (n) | $ | 325,000 | $340,437 | |
Banco BTG Pactual S.A. (Cayman Islands Branch), 4.5%, 1/10/2025 (n) | 906,000 | 937,891 | ||
Intercontinental Exchange, Inc., 3%, 9/15/2060 | 55,000 | 54,489 | ||
London Stock Exchange Group PLC, 0.25%, 4/06/2028 | EUR | 100,000 | 118,668 | |
LPL Holdings, Inc., 4.625%, 11/15/2027 (n) | $ | 1,395,000 | 1,445,569 |
2
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Brokerage & Asset Managers – continued | ||||
LPL Holdings, Inc., 4%, 3/15/2029 (n) | $ | 610,000 | $622,993 | |
Vivion Investments, 3%, 8/08/2024 | EUR | 400,000 | 471,093 | |
$3,991,140 | ||||
Building – 2.8% | ||||
ABC Supply Co., Inc., 4%, 1/15/2028 (n) | $ | 1,560,000 | $1,611,324 | |
CP Atlas Buyer, Inc., 7%, 12/01/2028 (n) | 254,000 | 259,080 | ||
GYP Holding III Corp., 4.625%, 5/01/2029 (n) | 735,000 | 740,512 | ||
Holcim Finance (Luxembourg) S.A., 0.625%, 4/06/2030 | EUR | 140,000 | 166,887 | |
Holcim Finance (Luxembourg) S.A., 0.5%, 4/23/2031 | 125,000 | 145,561 | ||
Interface, Inc., 5.5%, 12/01/2028 (n) | $ | 735,000 | 768,075 | |
New Enterprise Stone & Lime Co., Inc., 6.25%, 3/15/2026 (n) | 1,076,000 | 1,105,590 | ||
New Enterprise Stone & Lime Co., Inc., 9.75%, 7/15/2028 (n) | 407,000 | 450,753 | ||
Park River Holdings, Inc., 5.625%, 2/01/2029 (n) | 465,000 | 442,052 | ||
Patrick Industries, Inc., 7.5%, 10/15/2027 (n) | 695,000 | 754,075 | ||
Specialty Building Products Holdings LLC, 6.375%, 9/30/2026 (n) | 545,000 | 573,612 | ||
SRM Escrow Issuer LLC, 6%, 11/01/2028 (n) | 680,000 | 720,800 | ||
SRS Distribution, Inc., 6.125%, 7/01/2029 (n) | 505,000 | 523,938 | ||
Standard Industries, Inc., 2.25%, 11/21/2026 (n) | EUR | 370,000 | 426,907 | |
Standard Industries, Inc., 2.25%, 11/21/2026 | 100,000 | 115,380 | ||
Standard Industries, Inc., 4.375%, 7/15/2030 (n) | $ | 900,000 | 924,579 | |
Standard Industries, Inc., 3.375%, 1/15/2031 (n) | 160,000 | 154,200 | ||
Vantage Towers AG, 0.75%, 3/31/2030 | EUR | 100,000 | 119,823 | |
Vulcan Materials Co., 3.5%, 6/01/2030 | $ | 137,000 | 152,454 | |
White Cap Buyer LLC, 6.875%, 10/15/2028 (n) | 390,000 | 414,863 | ||
$10,570,465 | ||||
Business Services – 2.0% | ||||
Ascend Learning LLC, 6.875%, 8/01/2025 (n) | $ | 450,000 | $457,875 | |
Austin BidCo, Inc., 7.125%, 12/15/2028 (n) | 410,000 | 415,637 | ||
Equinix, Inc., REIT, 1%, 3/15/2033 | EUR | 100,000 | 119,362 | |
Euronet Worldwide, Inc., 1.375%, 5/22/2026 | 200,000 | 240,719 | ||
Fiserv, Inc., 4.4%, 7/01/2049 | $ | 95,000 | 116,235 | |
Iron Mountain, Inc., 5.25%, 3/15/2028 (n) | 360,000 | 378,990 | ||
Iron Mountain, Inc., 5.25%, 7/15/2030 (n) | 453,000 | 482,445 | ||
Iron Mountain, Inc., REIT, 4.875%, 9/15/2027 (n) | 625,000 | 650,781 | ||
Nielsen Finance LLC, 4.5%, 7/15/2029 (n) | 1,000,000 | 990,900 | ||
NXP Semiconductors N.V., 3.4%, 5/01/2030 (n) | 331,000 | 363,036 | ||
Paysafe Finance PLC, 4%, 6/15/2029 (z) | 555,000 | 534,593 | ||
Switch Ltd., 3.75%, 9/15/2028 (n) | 1,251,000 | 1,272,780 | ||
Switch Ltd., 4.125%, 6/15/2029 (n) | 250,000 | 257,813 | ||
Tencent Holdings Ltd., 3.8%, 2/11/2025 | 700,000 | 758,088 | ||
Verscend Escrow Corp., 9.75%, 8/15/2026 (n) | 510,000 | 538,687 | ||
$7,577,941 | ||||
Cable TV – 5.9% | ||||
CCO Holdings LLC, 4.25%, 1/15/2034 (n) | $ | 600,000 | $605,400 | |
CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, 3/01/2030 (n) | 2,035,000 | 2,153,193 | ||
CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, 8/15/2030 (n) | 1,190,000 | 1,243,383 | ||
CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, 2/01/2031 (n) | 875,000 | 897,969 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.8%, 3/01/2050 | 101,000 | 117,960 | ||
CSC Holdings LLC, 5.5%, 4/15/2027 (n) | 1,920,000 | 2,008,565 | ||
CSC Holdings LLC, 5.75%, 1/15/2030 (n) | 1,350,000 | 1,426,545 | ||
CSC Holdings LLC, 4.125%, 12/01/2030 (n) | 255,000 | 255,319 | ||
DISH DBS Corp., 7.75%, 7/01/2026 | 285,000 | 326,453 | ||
DISH DBS Corp., 5.125%, 6/01/2029 (w) | 450,000 | 447,741 | ||
Eutelsat S.A., 2.25%, 7/13/2027 | EUR | 100,000 | 130,249 | |
Eutelsat S.A., 1.5%, 10/13/2028 | 100,000 | 124,502 | ||
Intelsat Jackson Holdings S.A., 5.5%, 8/01/2023 (a)(d) | $ | 455,000 | 236,600 |
3
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Cable TV – continued | ||||
Intelsat Jackson Holdings S.A., 9.75%, 7/15/2025 (a)(d)(n) | $ | 295,000 | $156,350 | |
LCPR Senior Secured Financing DAC, 6.75%, 10/15/2027 (n) | 770,000 | 822,938 | ||
LCPR Senior Secured Financing DAC, 5.125%, 7/15/2029 (n) | 210,000 | 217,350 | ||
Sirius XM Holdings, Inc., 3.875%, 9/01/2031 (n) | 835,000 | 831,410 | ||
Sirius XM Radio, Inc., 4%, 7/15/2028 (n) | 892,000 | 910,843 | ||
Sirius XM Radio, Inc., 5.5%, 7/01/2029 (n) | 1,970,000 | 2,157,150 | ||
Telenet Finance Luxembourg S.A., 3.5%, 3/01/2028 | EUR | 500,000 | 611,776 | |
Telenet Finance Luxembourg S.A., 5.5%, 3/01/2028 (n) | $ | 1,000,000 | 1,051,500 | |
Videotron Ltd., 5.375%, 6/15/2024 (n) | 280,000 | 308,350 | ||
Videotron Ltd., 5.125%, 4/15/2027 (n) | 1,245,000 | 1,296,356 | ||
Videotron Ltd., 3.625%, 6/15/2029 (n) | 265,000 | 272,950 | ||
Virgin Media Finance PLC, 3.75%, 7/15/2030 | EUR | 355,000 | 421,304 | |
Virgin Media Finance PLC, 5%, 7/15/2030 (n) | $ | 800,000 | 828,360 | |
Virgin Media Vendor Financing Notes IV DAC, 5%, 7/15/2028 (n) | 800,000 | 829,000 | ||
VTR Comunicaciones S.p.A., 5.125%, 1/15/2028 | 267,000 | 279,015 | ||
Ziggo Bond Finance B.V., 4.25%, 1/15/2027 | EUR | 320,000 | 389,198 | |
Ziggo Bond Finance B.V., 5.125%, 2/28/2030 (n) | $ | 1,115,000 | 1,144,770 | |
$22,502,499 | ||||
Chemicals – 1.3% | ||||
Axalta Coating Systems Ltd., 4.75%, 6/15/2027 (n) | $ | 300,000 | $314,988 | |
Axalta Coating Systems Ltd., 3.375%, 2/15/2029 (n) | 540,000 | 529,200 | ||
Consolidated Energy Finance S.A., 6.875%, 6/15/2025 (n) | 610,000 | 629,825 | ||
Element Solutions, Inc., 3.875%, 9/01/2028 (n) | 875,000 | 892,500 | ||
Herens Holdco S.à r.l., 4.75%, 5/15/2028 (n) | 785,000 | 787,795 | ||
Ingevity Corp., 3.875%, 11/01/2028 (n) | 813,000 | 816,049 | ||
LYB International Finance III, LLC, 4.2%, 5/01/2050 | 139,000 | 163,021 | ||
Sasol Financing (USA) LLC, 4.375%, 9/18/2026 | 200,000 | 206,500 | ||
Sasol Financing (USA) LLC, 5.5%, 3/18/2031 | 550,000 | 581,625 | ||
Sherwin-Williams Co., 3.8%, 8/15/2049 | 38,000 | 44,014 | ||
Synthos S.A., 2.5%, 6/07/2028 (n) | EUR | 147,000 | 172,460 | |
$5,137,977 | ||||
Computer Software – 0.8% | ||||
Camelot Finance S.A., 4.5%, 11/01/2026 (n) | $ | 1,350,000 | $1,408,793 | |
Clarivate Science Holdings Corp., 4.875%, 7/01/2029 (n) | 505,000 | 520,892 | ||
Dell International LLC/EMC Corp., 4.9%, 10/01/2026 | 221,000 | 255,747 | ||
PTC, Inc., 3.625%, 2/15/2025 (n) | 605,000 | 618,613 | ||
PTC, Inc., 4%, 2/15/2028 (n) | 395,000 | 408,331 | ||
$3,212,376 | ||||
Computer Software - Systems – 1.4% | ||||
CommScope Holding Co., Inc., 7.125%, 7/01/2028 (n) | $ | 185,000 | $194,019 | |
Endurance International Group Holdings, Inc., 6%, 2/15/2029 (n) | 425,000 | 409,062 | ||
Fair Isaac Corp., 5.25%, 5/15/2026 (n) | 1,690,000 | 1,928,780 | ||
Fair Isaac Corp., 4%, 6/15/2028 (n) | 311,000 | 321,885 | ||
SS&C Technologies Holdings, Inc., 5.5%, 9/30/2027 (n) | 1,740,000 | 1,842,573 | ||
Twilio, Inc., 3.625%, 3/15/2029 | 505,000 | 521,261 | ||
$5,217,580 | ||||
Conglomerates – 2.3% | ||||
Amsted Industries Co., 5.625%, 7/01/2027 (n) | $ | 880,000 | $921,800 | |
BWX Technologies, Inc., 4.125%, 6/30/2028 (n) | 210,000 | 215,775 | ||
BWX Technologies, Inc., 4.125%, 4/15/2029 (n) | 975,000 | 1,003,031 | ||
Carrier Global Corp., 3.577%, 4/05/2050 | 129,000 | 140,365 | ||
EnerSys, 5%, 4/30/2023 (n) | 515,000 | 535,600 | ||
EnerSys, 4.375%, 12/15/2027 (n) | 360,000 | 378,000 | ||
Gates Global LLC, 6.25%, 1/15/2026 (n) | 560,000 | 584,500 | ||
Granite Holdings U.S. Acquisition Co., 11%, 10/01/2027 (n) | 480,000 | 533,400 |
4
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Conglomerates – continued | ||||
Griffon Corp., 5.75%, 3/01/2028 | $ | 778,000 | $825,606 | |
Madison IAQ LLC, 5.875%, 6/30/2029 (n) | 555,000 | 568,181 | ||
Stevens Holding Co., Inc., 6.125%, 10/01/2026 (n) | 675,000 | 727,252 | ||
TriMas Corp., 4.125%, 4/15/2029 (n) | 2,144,000 | 2,183,964 | ||
Westinghouse Air Brake Technologies Corp., 4.95%, 9/15/2028 | 87,000 | 101,268 | ||
$8,718,742 | ||||
Construction – 1.0% | ||||
Empire Communities Corp., 7%, 12/15/2025 (n) | $ | 490,000 | $516,950 | |
Mattamy Group Corp., 5.25%, 12/15/2027 (n) | 255,000 | 265,837 | ||
Mattamy Group Corp., 4.625%, 3/01/2030 (n) | 615,000 | 630,375 | ||
Shea Homes LP/Shea Homes Funding Corp., 4.75%, 2/15/2028 (n) | 830,000 | 867,562 | ||
Taylor Morrison Communities, Inc., 5.75%, 1/15/2028 (n) | 380,000 | 428,450 | ||
Taylor Morrison Communities, Inc., 5.125%, 8/01/2030 (n) | 365,000 | 399,303 | ||
Weekley Homes LLC/Weekley Finance Corp., 4.875%, 9/15/2028 (n) | 638,000 | 661,127 | ||
$3,769,604 | ||||
Consumer Products – 1.1% | ||||
Coty, Inc., 6.5%, 4/15/2026 (n) | $ | 535,000 | $551,719 | |
Energizer Holdings, Inc., 4.375%, 3/31/2029 (n) | 745,000 | 747,138 | ||
International Design Group S.p.A., 6.5%, 11/15/2025 | EUR | 330,000 | 405,109 | |
JAB Holdings B.V., 1%, 7/14/2031 | 100,000 | 118,660 | ||
JAB Holdings B.V., 2.25%, 12/19/2039 | 100,000 | 126,409 | ||
Mattel, Inc., 3.375%, 4/01/2026 (n) | $ | 557,000 | 578,600 | |
Mattel, Inc., 5.875%, 12/15/2027 (n) | 304,000 | 331,740 | ||
Mattel, Inc., 5.45%, 11/01/2041 | 210,000 | 252,525 | ||
Prestige Consumer Healthcare, Inc., 5.125%, 1/15/2028 (n) | 630,000 | 659,925 | ||
Prestige Consumer Healthcare, Inc., 3.75%, 4/01/2031 (n) | 400,000 | 395,000 | ||
$4,166,825 | ||||
Consumer Services – 3.0% | ||||
AA Bond Co. Ltd., 6.5%, 1/31/2026 | GBP | 200,000 | $288,086 | |
Allied Universal Holdco LLC, 6.625%, 7/15/2026 (n) | $ | 216,000 | 230,850 | |
Allied Universal Holdco LLC, 9.75%, 7/15/2027 (n) | 420,000 | 459,375 | ||
Allied Universal Holdco LLC, 6%, 6/01/2029 (n) | 400,000 | 399,964 | ||
ANGI Group LLC, 3.875%, 8/15/2028 (n) | 742,000 | 729,015 | ||
Arches Buyer, Inc., 6.125%, 12/01/2028 (n) | 625,000 | 645,081 | ||
Booking Holdings, Inc., 0.5%, 3/08/2028 | EUR | 100,000 | 120,263 | |
Garda World Security Corp., 4.625%, 2/15/2027 (n) | $ | 245,000 | 245,613 | |
GoDaddy, Inc., 3.5%, 3/01/2029 (n) | 1,651,000 | 1,630,362 | ||
GW B-CR Security Corp., 9.5%, 11/01/2027 (n) | 467,000 | 508,558 | ||
Match Group, Inc., 5%, 12/15/2027 (n) | 555,000 | 583,694 | ||
Match Group, Inc., 4.625%, 6/01/2028 (n) | 1,635,000 | 1,707,267 | ||
Match Group, Inc., 4.125%, 8/01/2030 (n) | 225,000 | 235,688 | ||
Meituan, 2.125%, 10/28/2025 (n) | 200,000 | 195,322 | ||
Realogy Group LLC, 9.375%, 4/01/2027 (n) | 510,000 | 562,913 | ||
Realogy Group LLC, 5.75%, 1/15/2029 (n) | 210,000 | 219,776 | ||
Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2043 (n) | 2,000,000 | 636,948 | ||
TriNet Group, Inc., 3.5%, 3/01/2029 (n) | 1,475,000 | 1,486,062 | ||
WASH Multifamily Acquisition, Inc., 5.75%, 4/15/2026 (n) | 420,000 | 439,438 | ||
$11,324,275 | ||||
Containers – 1.9% | ||||
ARD Finance S.A., 5%, (5% cash or 5.75% PIK) 6/30/2027 (p) | EUR | 335,000 | $407,370 | |
ARD Finance S.A., 6.5%, (6.5% cash or 7.25% PIK) 6/30/2027 (n)(p) | $ | 405,000 | 426,538 | |
Ardagh Metal Packaging, 3.25%, 9/01/2028 (n) | 365,000 | 367,738 | ||
Ardagh Metal Packaging, 3%, 9/01/2029 (n) | EUR | 320,000 | 378,724 | |
Ardagh Metal Packaging, 4%, 9/01/2029 (n) | $ | 646,000 | 658,436 | |
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 5.25%, 8/15/2027 (n) | 880,000 | 910,800 |
5
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Containers – continued | ||||
Canpack S.A./Eastern PA Land Investment Holding LLC, 3.125%, 11/01/2025 (n) | $ | 350,000 | $355,250 | |
Crown Americas LLC/Crown Americas Capital Corp. IV, 4.5%, 1/15/2023 | 690,000 | 723,085 | ||
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/2026 | 980,000 | 1,055,950 | ||
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 2/01/2026 | 325,000 | 337,188 | ||
DS Smith PLC, 0.875%, 9/12/2026 | EUR | 150,000 | 181,984 | |
Greif, Inc., 6.5%, 3/01/2027 (n) | $ | 590,000 | 619,618 | |
Reynolds Group, 4%, 10/15/2027 (n) | 795,000 | 794,690 | ||
$7,217,371 | ||||
Electrical Equipment – 0.3% | ||||
Arrow Electronics, Inc., 3.25%, 9/08/2024 | $ | 86,000 | $91,206 | |
CommScope Technologies LLC, 5%, 3/15/2027 (n) | 1,005,000 | 989,460 | ||
$1,080,666 | ||||
Electronics – 1.7% | ||||
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.875%, 1/15/2027 | $ | 168,000 | $185,390 | |
Broadcom, Inc., 4.15%, 11/15/2030 | 83,000 | 93,356 | ||
Broadcom, Inc., 3.419%, 4/15/2033 (n) | 133,000 | 141,127 | ||
Broadcom, Inc., 3.469%, 4/15/2034 (n) | 187,000 | 197,978 | ||
Diebold Nixdorf, Inc., 8.5%, 4/15/2024 | 160,000 | 163,400 | ||
Diebold Nixdorf, Inc., 9.375%, 7/15/2025 (n) | 374,000 | 410,933 | ||
Entegris, Inc., 3.625%, 5/01/2029 (n) | 1,435,000 | 1,482,929 | ||
Infineon Technologies AG, 1.625%, 6/24/2029 | EUR | 100,000 | 128,656 | |
Sensata Technologies B.V., 5.625%, 11/01/2024 (n) | $ | 680,000 | 756,500 | |
Sensata Technologies B.V., 5%, 10/01/2025 (n) | 1,435,000 | 1,604,143 | ||
Sensata Technologies, Inc., 4.375%, 2/15/2030 (n) | 495,000 | 530,888 | ||
Synaptics, Inc., 4%, 6/15/2029 (n) | 650,000 | 662,187 | ||
$6,357,487 | ||||
Emerging Market Quasi-Sovereign – 5.1% | ||||
Banco de Reservas de la Republica Dominicana, 7%, 2/01/2023 | $ | 1,074,000 | $1,130,396 | |
Banco del Estado de Chile, 3.875%, 2/08/2022 | 600,000 | 608,676 | ||
Bank Mandiri, 4.75%, 5/13/2025 | 317,000 | 352,394 | ||
China Construction Bank Corp., 4.25% to 2/27/2024, FLR (CMT - 5yr. + 1.88%) to 2/27/2029 | 960,000 | 1,028,583 | ||
China Development Bank, 3.45%, 9/20/2029 | CNY | 14,600,000 | 2,282,504 | |
Comision Federal de Electricidad (United Mexican States), 3.348%, 2/09/2031 (n) | $ | 202,000 | 200,992 | |
DAE Funding LLC (United Arab Emirates), 3.375%, 3/20/2028 (n) | 200,000 | 206,808 | ||
Empresa Nacional del Petroleo (Republic of Chile), 3.75%, 8/05/2026 | 600,000 | 635,219 | ||
EQUATE Petrochemical B.V. (State of Kuwait), 4.25%, 11/03/2026 | 1,022,000 | 1,134,962 | ||
Eskom Holdings SOC Ltd. (Republic of South Africa), 7.125%, 2/11/2025 | 367,000 | 387,185 | ||
Eskom Holdings SOC Ltd. (Republic of South Africa), 6.35%, 8/10/2028 | 624,000 | 689,755 | ||
Export-Import Bank of India, 2.25%, 1/13/2031 (n) | 300,000 | 284,091 | ||
First Abu Dhabi Bank PJSC, 0.125%, 2/16/2026 | EUR | 175,000 | 206,584 | |
Indian Railway Finance Corp., 2.8%, 2/10/2031 (n) | $ | 299,000 | 293,134 | |
Indian Railway Finance Corp., 2.8%, 2/10/2031 | 600,000 | 588,228 | ||
Industrial and Commercial Bank of China, 4.875%, 9/21/2025 | 359,000 | 402,114 | ||
Ipoteka Bank (Republic of Uzbekistan), 5.5%, 11/19/2025 | 900,000 | 928,692 | ||
MDGH - GMTN B.V. (United Arab Emirates), 2.5%, 11/07/2024 | 200,000 | 209,786 | ||
MDGH - GMTN B.V. (United Arab Emirates), 2.875%, 11/07/2029 (n) | 1,086,000 | 1,149,781 | ||
NAK Naftogaz Ukraine via Standard Bank London Holdings PLC, 7.625%, 11/08/2026 (n) | 1,316,000 | 1,356,792 | ||
Office Cherifien des Phosphates S.A. (Kingdom of Morocco), 3.75%, 6/23/2031 (n) | 200,000 | 202,315 | ||
Office Cherifien des Phosphates S.A. (Kingdom of Morocco), 5.125%, 6/23/2051 (n) | 450,000 | 453,937 | ||
Ooredoo International Finance Ltd. (State of Qatar), 2.625%, 4/08/2031 | 200,000 | 206,000 | ||
Oryx Funding Ltd. (Sultanate of Oman), 5.8%, 2/03/2031 (n) | 200,000 | 211,560 | ||
Petrobras Global Finance Co. (Federative Republic of Brazil), 5.5%, 6/10/2051 | 137,000 | 136,829 | ||
Petroleos Mexicanos, 6.49%, 1/23/2027 | 904,000 | 957,680 | ||
Petroleos Mexicanos, 5.95%, 1/28/2031 | 350,000 | 343,101 | ||
Petroleos Mexicanos, 7.69%, 1/23/2050 | 200,000 | 190,954 | ||
QNB Finance Ltd. (State of Qatar), 2.75%, 2/12/2027 | 554,000 | 581,766 |
6
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Quasi-Sovereign – continued | ||||
Southern Gas Corridor CJSC (Republic of Azerbaijan), 6.875%, 3/24/2026 | $ | 1,065,000 | $1,261,705 | |
State Oil Company of the Azerbaijan Republic, 6.95%, 3/18/2030 | 700,000 | 868,000 | ||
$19,490,523 | ||||
Emerging Market Sovereign – 12.3% | ||||
Arab Republic of Egypt, 6.375%, 4/11/2031 (n) | EUR | 539,000 | $659,679 | |
Arab Republic of Egypt, 7.052%, 1/15/2032 (n) | $ | 320,000 | 331,264 | |
Arab Republic of Egypt, 8.5%, 1/31/2047 | 1,265,000 | 1,327,870 | ||
Arab Republic of Egypt, 8.875%, 5/29/2050 | 200,000 | 215,250 | ||
Dominican Republic, 5.3%, 1/21/2041 (n) | 181,000 | 184,622 | ||
Dominican Republic, 5.875%, 1/30/2060 (n) | 2,249,000 | 2,288,380 | ||
Dominican Republic, 5.875%, 1/30/2060 | 200,000 | 203,502 | ||
Federal Republic of Nigeria, 8.747%, 1/21/2031 (n) | 519,000 | 587,736 | ||
Federative Republic of Brazil, 10%, 1/01/2023 | BRL | 12,043,000 | 2,368,733 | |
Federative Republic of Brazil, 10%, 1/01/2025 | 2,770,000 | 542,659 | ||
Federative Republic of Brazil, 3.875%, 6/12/2030 | $ | 500,000 | 501,205 | |
Government of Oman, 7%, 1/25/2051 | 600,000 | 624,990 | ||
Government of Ukraine, 7.75%, 9/01/2026 | 700,000 | 778,022 | ||
Government of Ukraine, 7.253%, 3/15/2033 (n) | 981,000 | 1,038,867 | ||
Government of Ukraine, 7.253%, 3/15/2033 | 300,000 | 317,696 | ||
Hellenic Republic (Republic of Greece), 1.875%, 7/23/2026 (n) | EUR | 714,000 | 921,190 | |
Hellenic Republic (Republic of Greece), 1.875%, 2/04/2035 | 480,000 | 641,342 | ||
Kingdom of Morocco, 1.375%, 3/30/2026 | 428,000 | 510,870 | ||
Kingdom of Morocco, 2.375%, 12/15/2027 (n) | $ | 432,000 | 426,600 | |
Kingdom of Morocco, 2%, 9/30/2030 | EUR | 300,000 | 352,029 | |
Kingdom of Morocco, 3%, 12/15/2032 (n) | $ | 459,000 | 444,044 | |
Oriental Republic of Uruguay, 8.25%, 5/21/2031 | UYU | 35,144,000 | 836,722 | |
People's Republic of China, 2.68%, 5/21/2030 | CNY | 39,160,000 | 5,930,348 | |
People's Republic of China, 3.27%, 11/19/2030 | 24,400,000 | 3,883,994 | ||
Republic of Angola, 9.375%, 5/08/2048 | $ | 454,000 | 482,326 | |
Republic of Argentina, 1.125%, 7/09/2035 | 627,494 | 219,002 | ||
Republic of Benin, 6.875%, 1/19/2052 (n) | EUR | 214,000 | 265,224 | |
Republic of Cote d'Ivoire, 5.25%, 3/22/2030 | 929,000 | 1,169,375 | ||
Republic of Cote d'Ivoire, 6.875%, 10/17/2040 | 400,000 | 527,657 | ||
Republic of Ghana, 8.125%, 3/26/2032 (n) | $ | 305,000 | 305,367 | |
Republic of Guatemala, 5.375%, 4/24/2032 (n) | 200,000 | 230,900 | ||
Republic of Guatemala, 6.125%, 6/01/2050 (n) | 777,000 | 931,242 | ||
Republic of Guatemala, 6.125%, 6/01/2050 | 300,000 | 359,553 | ||
Republic of Hungary, 7.625%, 3/29/2041 | 470,000 | 799,089 | ||
Republic of Indonesia, 4.35%, 1/11/2048 | 800,000 | 927,425 | ||
Republic of Kenya, 8%, 5/22/2032 (n) | 778,000 | 888,835 | ||
Republic of Korea, 1.875%, 6/10/2029 | KRW | 1,264,300,000 | 1,089,250 | |
Republic of Paraguay, 4.95%, 4/28/2031 (n) | $ | 280,000 | 325,503 | |
Republic of Paraguay, 5.6%, 3/13/2048 | 200,000 | 240,002 | ||
Republic of Paraguay, 5.4%, 3/30/2050 (n) | 900,000 | 1,074,600 | ||
Republic of Romania, 2%, 12/08/2026 (n) | EUR | 989,000 | 1,257,810 | |
Republic of Romania, 1.75%, 7/13/2030 (n) | 347,000 | 411,265 | ||
Republic of Romania, 2%, 4/14/2033 | 500,000 | 587,661 | ||
Republic of Romania, 2.625%, 12/02/2040 (n) | 163,000 | 189,758 | ||
Republic of Senegal, 6.25%, 5/23/2033 | $ | 247,000 | 265,723 | |
Republic of Serbia, 1.65%, 3/03/2033 (n) | EUR | 227,000 | 265,350 | |
Republic of Serbia, 1.65%, 3/03/2033 | 100,000 | 116,894 | ||
Republic of South Africa, 8%, 1/31/2030 | ZAR | 23,861,000 | 1,568,531 | |
Republic of South Africa, 8.25%, 3/31/2032 | 10,867,000 | 690,334 | ||
Republic of Sri Lanka, 7.55%, 3/28/2030 (n) | $ | 446,000 | 283,768 | |
Russian Federation, 4.75%, 5/27/2026 | 800,000 | 907,360 | ||
Russian Federation, 4.375%, 3/21/2029 | 1,000,000 | 1,142,660 | ||
Russian Federation, 5.1%, 3/28/2035 | 200,000 | 243,738 | ||
Russian Federation, 5.1%, 3/28/2035 (n) | 200,000 | 243,738 |
7
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – continued | ||||
State of Qatar, 4.817%, 3/14/2049 (n) | $ | 683,000 | $891,960 | |
United Mexican States, 4.5%, 4/22/2029 | 800,000 | 915,312 | ||
United Mexican States, 4.75%, 4/27/2032 | 727,000 | 840,775 | ||
United Mexican States, 3.771%, 5/24/2061 | 774,000 | 737,963 | ||
$47,313,564 | ||||
Energy - Independent – 3.2% | ||||
Apache Corp., 5.35%, 7/01/2049 | $ | 210,000 | $234,192 | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 5.875%, 6/30/2029 (n) | 475,000 | 455,354 | ||
Callon Petroleum Co., 8%, 8/01/2028 (n) | 275,000 | 264,688 | ||
CNX Resources Corp., 6%, 1/15/2029 (n) | 675,000 | 702,898 | ||
Comstock Resources, Inc., 6.75%, 3/01/2029 (n) | 660,000 | 692,670 | ||
Continental Resources, Inc., 4.9%, 6/01/2044 | 165,000 | 185,816 | ||
Encino Acquisition Partners Holdings LLC, 8.5%, 5/01/2028 (n) | 360,000 | 361,310 | ||
Energean Israel Finance Ltd., 4.875%, 3/30/2026 | 271,000 | 277,396 | ||
EQT Corp., 5%, 1/15/2029 | 567,000 | 644,861 | ||
Leviathan Bond Ltd., 6.125%, 6/30/2025 (n) | 1,007,000 | 1,096,220 | ||
Medco Bell Pte. Ltd., 6.375%, 1/30/2027 (n) | 492,000 | 500,285 | ||
Murphy Oil Corp., 5.875%, 12/01/2027 | 225,000 | 234,000 | ||
Occidental Petroleum Corp., 5.875%, 9/01/2025 | 570,000 | 641,284 | ||
Occidental Petroleum Corp., 5.5%, 12/01/2025 | 760,000 | 847,400 | ||
Occidental Petroleum Corp., 6.625%, 9/01/2030 | 110,000 | 137,225 | ||
Occidental Petroleum Corp., 6.45%, 9/15/2036 | 275,000 | 343,750 | ||
Occidental Petroleum Corp., 6.6%, 3/15/2046 | 575,000 | 727,438 | ||
Ovintiv, Inc., 6.5%, 2/01/2038 | 130,000 | 179,616 | ||
Range Resources Corp., 8.25%, 1/15/2029 (n) | 535,000 | 593,882 | ||
SM Energy Co., 5.625%, 6/01/2025 | 235,000 | 235,757 | ||
SM Energy Co., 6.5%, 7/15/2028 | 250,000 | 251,218 | ||
Southwestern Energy Co., 6.45%, 1/23/2025 | 173,200 | 188,769 | ||
Southwestern Energy Co., 8.375%, 9/15/2028 | 305,000 | 341,600 | ||
Southwestern Energy Co., 5.375%, 3/15/2030 | 340,000 | 353,678 | ||
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 | 1,187,000 | 1,286,646 | ||
Tengizchevroil Finance Co. International Ltd., 3.25%, 8/15/2030 (n) | 323,000 | 331,075 | ||
$12,109,028 | ||||
Energy - Integrated – 0.2% | ||||
BP Capital Markets B.V., 0.933%, 12/04/2040 | EUR | 100,000 | $112,277 | |
Eni S.p.A., 0.375%, 6/14/2028 | 100,000 | 119,484 | ||
Eni S.p.A., 4.25%, 5/09/2029 (n) | $ | 200,000 | 230,087 | |
Eni S.p.A., 2.625% to 1/13/2026, FLR (EUR Swap Rate - 5yr. + 3.167%) to 1/13/2031, FLR (EUR Swap Rate - 5yr. + 3.417%) to 1/13/2046, FLR (EUR Swap Rate - 5yr. + 4.167%) to 1/13/2170 | EUR | 100,000 | 123,831 | |
Galp Energia SGPS S.A., 2%, 1/15/2026 | 200,000 | 248,999 | ||
OMV AG, 2.5% to 9/01/2026, FLR (EUR Swap Rate - 5yr. + 2.82%) to 9/01/2030, FLR (EUR Swap Rate - 5yr. + 3.82%) to 9/01/2070 | 100,000 | 124,810 | ||
$959,488 | ||||
Entertainment – 2.0% | ||||
AMC Entertainment Holdings, Inc., 12%, (10% cash or 12% PIK) 6/15/2026 (n)(p) | $ | 225,000 | $202,763 | |
Boyne USA, Inc., 4.75%, 5/15/2029 (n) | 775,000 | 800,187 | ||
Carnival Corp. PLC, 7.625%, 3/01/2026 (n) | 1,115,000 | 1,184,805 | ||
Carnival Corp. PLC, 5.75%, 3/01/2027 (n) | 895,000 | 914,985 | ||
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp./Millennium Operations LLC, 5.375%, 4/15/2027 | 375,000 | 384,375 | ||
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp./Millennium Operations LLC, 5.25%, 7/15/2029 | 220,000 | 225,364 | ||
Live Nation Entertainment, Inc., 5.625%, 3/15/2026 (n) | 773,000 | 805,543 | ||
Live Nation Entertainment, Inc., 3.75%, 1/15/2028 (n) | 360,000 | 360,137 | ||
Motion Bondco DAC, 6.625%, 11/15/2027 (n) | 430,000 | 432,150 | ||
NCL Corp. Ltd., 3.625%, 12/15/2024 (n) | 280,000 | 264,600 | ||
NCL Corp. Ltd., 5.875%, 3/15/2026 (n) | 315,000 | 315,788 | ||
Royal Caribbean Cruises Ltd., 5.5%, 4/01/2028 (n) | 800,000 | 805,848 |
8
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Entertainment – continued | ||||
SeaWorld Parks & Entertainment, 5.25%, 8/15/2029 (n) | $ | 695,000 | $692,804 | |
Six Flags Entertainment Corp., 4.875%, 7/31/2024 (n) | 460,000 | 464,977 | ||
$7,854,326 | ||||
Financial Institutions – 2.6% | ||||
Adler Group S.A., 2.25%, 1/14/2029 | EUR | 400,000 | $453,078 | |
Avation Capital S.A., 8.25%, (8.25% cash or 9% PIK) 10/31/2026 (n)(p) | $ | 351,215 | 287,996 | |
Avolon Holdings Funding Ltd., 3.95%, 7/01/2024 (n) | 195,000 | 208,011 | ||
Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 134,000 | 145,609 | ||
Canary Wharf Group, 3.375%, 4/23/2028 | GBP | 138,000 | 193,666 | |
Credit Acceptance Corp., 5.125%, 12/31/2024 (n) | $ | 775,000 | 798,250 | |
CTP B.V., 0.75%, 2/18/2027 | EUR | 100,000 | 118,492 | |
CTP N.V., 1.25%, 6/21/2029 | 100,000 | 119,043 | ||
EXOR N.V., 2.25%, 4/29/2030 | 100,000 | 132,288 | ||
Freedom Mortgage Corp., 7.625%, 5/01/2026 (n) | $ | 675,000 | 676,741 | |
Garfunkelux Holdco 3 S.A., 7.75%, 11/01/2025 | GBP | 265,000 | 382,082 | |
Global Aircraft Leasing Co. Ltd., 6.5%, (6.5% cash or 7.25% PIK) 9/15/2024 (n)(p) | $ | 2,113,613 | 2,095,119 | |
Grand City Properties S.A., 1.5% to 6/9/2026, FLR (EUR Swap Rate - 5yr. + 2.184%) to 6/9/2031, FLR (EUR Swap Rate - 5yr. + 2.434%) to 6/9/2046, FLR (EUR Swap Rate - 5yr. + 3.184%) to 12/09/2069 | EUR | 100,000 | 116,448 | |
Howard Hughes Corp., 4.125%, 2/01/2029 (n) | $ | 908,000 | 912,540 | |
Logicor Financing S.à r.l., 0.875%, 1/14/2031 | EUR | 100,000 | 115,923 | |
Nationstar Mortgage Holdings, Inc., 6%, 1/15/2027 (n) | $ | 705,000 | 742,894 | |
Nationstar Mortgage Holdings, Inc., 5.5%, 8/15/2028 (n) | 180,000 | 186,975 | ||
OneMain Finance Corp., 6.875%, 3/15/2025 | 480,000 | 543,600 | ||
OneMain Finance Corp., 8.875%, 6/01/2025 | 332,000 | 364,104 | ||
OneMain Finance Corp., 7.125%, 3/15/2026 | 340,000 | 397,375 | ||
SBB Treasury Oyj, 0.75%, 12/14/2028 | EUR | 113,000 | 132,988 | |
SBB Treasury Oyj, 1.125%, 11/26/2029 | 100,000 | 119,913 | ||
Tritax EuroBox PLC, 0.95%, 6/02/2026 | 100,000 | 119,223 | ||
VGP Group LLC, 1.5%, 4/08/2029 | 200,000 | 235,938 | ||
Vonovia SE, 0.75%, 9/01/2032 | 100,000 | 117,161 | ||
Vonovia SE, 1.5%, 6/14/2041 | 100,000 | 120,383 | ||
Vonovia SE, 1.625%, 9/01/2051 | 100,000 | 116,683 | ||
$9,952,523 | ||||
Food & Beverages – 2.6% | ||||
Anheuser-Busch InBev S.A., 1.65%, 3/28/2031 | EUR | 100,000 | $130,384 | |
Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038 | $ | 189,000 | 225,545 | |
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | 110,000 | 152,911 | ||
Aramark Services, Inc., 6.375%, 5/01/2025 (n) | 930,000 | 984,451 | ||
Bacardi Ltd., 5.15%, 5/15/2038 (n) | 153,000 | 191,472 | ||
Central American Bottling Corp., 5.75%, 1/31/2027 (n) | 900,000 | 942,750 | ||
Constellation Brands, Inc., 3.15%, 8/01/2029 | 204,000 | 220,425 | ||
Constellation Brands, Inc., 2.25%, 8/01/2031 | 104,000 | 104,090 | ||
JBS Finance Luxembourg S.à r.l., 3.625%, 1/15/2032 (n) | 781,000 | 808,187 | ||
JBS USA Lux S.A./JBS USA Finance, Inc., 6.75%, 2/15/2028 (n) | 1,055,000 | 1,156,544 | ||
JBS USA Lux S.A./JBS USA Finance, Inc., 5.5%, 1/15/2030 (n) | 475,000 | 536,061 | ||
JDE Peet's N.V., 0.5%, 1/16/2029 | EUR | 100,000 | 118,075 | |
Kraft Heinz Foods Co., 4.375%, 6/01/2046 | $ | 1,070,000 | 1,240,625 | |
Performance Food Group Co., 5.5%, 10/15/2027 (n) | 745,000 | 775,731 | ||
Post Holdings, Inc., 5.625%, 1/15/2028 (n) | 520,000 | 547,300 | ||
Post Holdings, Inc., 4.625%, 4/15/2030 (n) | 520,000 | 530,955 | ||
Primo Water Holding, Inc., 4.375%, 4/30/2029 (n) | 515,000 | 519,898 | ||
U.S. Foods Holding Corp., 4.75%, 2/15/2029 (n) | 800,000 | 819,000 | ||
$10,004,404 |
9
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Gaming & Lodging – 4.7% | ||||
Boyd Gaming Corp., 4.75%, 12/01/2027 | $ | 665,000 | $685,781 | |
Boyd Gaming Corp., 4.75%, 6/15/2031 (n) | 270,000 | 278,837 | ||
Caesars Resort Collection LLC/CRC Finco, Inc., 5.25%, 10/15/2025 (n) | 760,000 | 770,792 | ||
CCM Merger, Inc., 6.375%, 5/01/2026 (n) | 570,000 | 601,350 | ||
Colt Merger Sub, Inc., 5.75%, 7/01/2025 (n) | 434,000 | 456,025 | ||
Colt Merger Sub, Inc., 8.125%, 7/01/2027 (n) | 574,000 | 634,442 | ||
GENM Capital Labuan Ltd., 3.882%, 4/19/2031 (n) | 298,000 | 299,845 | ||
Hilton Domestic Operating Co., Inc., 3.75%, 5/01/2029 (n) | 1,402,000 | 1,430,040 | ||
Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032 (n) | 666,000 | 661,005 | ||
International Game Technology PLC, 4.125%, 4/15/2026 (n) | 1,000,000 | 1,038,550 | ||
International Game Technology PLC, 6.25%, 1/15/2027 (n) | 225,000 | 256,500 | ||
Marriott International, Inc., 2.85%, 4/15/2031 | 90,000 | 91,815 | ||
Marriott Ownership Resorts, Inc., 4.5%, 6/15/2029 (n) | 665,000 | 671,583 | ||
MGM China Holdings Ltd., 5.875%, 5/15/2026 (n) | 345,000 | 362,147 | ||
MGM China Holdings Ltd., 4.75%, 2/01/2027 (n) | 234,000 | 237,510 | ||
MGM Growth Properties LLC, 4.625%, 6/15/2025 (n) | 645,000 | 693,246 | ||
MGM Growth Properties LLC, 5.75%, 2/01/2027 | 285,000 | 328,075 | ||
MGM Growth Properties LLC, 3.875%, 2/15/2029 (n) | 488,000 | 517,280 | ||
MGM Resorts International, 5.5%, 4/15/2027 | 475,000 | 517,014 | ||
Penn National Gaming, Inc., 4.125%, 7/01/2029 (n) | 700,000 | 699,125 | ||
Scientific Games Corp., 8.625%, 7/01/2025 (n) | 170,000 | 183,530 | ||
Scientific Games Corp., 8.25%, 3/15/2026 (n) | 380,000 | 404,178 | ||
Scientific Games International, Inc., 7%, 5/15/2028 (n) | 445,000 | 479,688 | ||
VICI Properties LP, REIT, 4.25%, 12/01/2026 (n) | 1,115,000 | 1,171,216 | ||
VICI Properties LP, REIT, 3.75%, 2/15/2027 (n) | 715,000 | 743,600 | ||
Whitbread Group PLC, 3%, 5/31/2031 | GBP | 100,000 | 141,691 | |
Wyndham Hotels & Resorts, Inc., 4.375%, 8/15/2028 (n) | $ | 1,018,000 | 1,053,314 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 5/15/2027 (n) | 450,000 | 472,500 | ||
Wynn Macau Ltd., 5.5%, 1/15/2026 (n) | 375,000 | 384,769 | ||
Wynn Macau Ltd., 5.625%, 8/26/2028 (n) | 1,083,000 | 1,097,036 | ||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029 (n) | 545,000 | 566,800 | ||
$17,929,284 | ||||
Industrial – 0.8% | ||||
CPI Property Group S.A., 2.75%, 1/22/2028 | GBP | 100,000 | $141,318 | |
CPI Property Group S.A., 1.5%, 1/27/2031 | EUR | 100,000 | 116,878 | |
Dar Al-Arkan Sukuk Co. Ltd., 6.875%, 2/26/2027 | $ | 850,000 | 877,642 | |
Dycom Industries, Inc., 4.5%, 4/15/2029 (n) | 665,000 | 683,287 | ||
Peach Property Finance GmbH, 4.375%, 11/15/2025 | EUR | 200,000 | 246,377 | |
Peach Property Group, 4.375%, 11/15/2025 (n) | 225,000 | 277,174 | ||
Trustees of the University of Pennsylvania, 2.396%, 10/01/2050 | $ | 35,000 | 34,376 | |
Williams Scotsman International, Inc., 4.625%, 8/15/2028 (n) | 777,000 | 806,137 | ||
$3,183,189 | ||||
Insurance – 0.3% | ||||
Argentum Zurich Insurance, 3.5% to 10/01/2026, FLR (EURIBOR - 3mo. + 3.95%) to 10/01/2046 | EUR | 100,000 | $135,324 | |
Assicurazioni Generali S.p.A., 1.713%, 6/30/2032 | 100,000 | 119,846 | ||
Aviva PLC, 3.875% to 7/03/2024, FLR (EUR Swap Rate - 5yr. + 3.48%) to 7/03/2044 | 150,000 | 194,930 | ||
Aviva PLC, 4% to 6/03/2035, FLR (GBP Government Yield - 5yr. + 4.7%) to 6/03/2055 | GBP | 175,000 | 270,000 | |
Credit Agricole Assurances S.A., 2%, 7/17/2030 | EUR | 100,000 | 125,705 | |
La Mondiale, 4.375% to 10/24/2029, FLR (EUR Swap Rate - 5yr. + 4.411%) to 4/24/2069 | 100,000 | 131,502 | ||
Zurich Finance (Ireland) DAC, 1.875% to 9/17/2030, FLR (EURIBOR - 3mo. + 2.95%) to 9/17/2050 | 105,000 | 132,223 | ||
$1,109,530 | ||||
Insurance - Health – 0.0% | ||||
UnitedHealth Group, Inc., 3.5%, 8/15/2039 | $ | 38,000 | $42,887 |
10
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Insurance - Property & Casualty – 1.0% | ||||
Alliant Holdings Intermediate LLC, 6.75%, 10/15/2027 (n) | $ | 1,260,000 | $1,310,400 | |
AmWINS Group Benefits, Inc., 4.875%, 6/30/2029 (n) | 780,000 | 792,675 | ||
AssuredPartners, Inc., 5.625%, 1/15/2029 (n) | 445,000 | 447,884 | ||
Berkshire Hathaway, Inc., 0.5%, 1/15/2041 | EUR | 100,000 | 108,106 | |
Broadstreet Partners, Inc., 5.875%, 4/15/2029 (n) | $ | 415,000 | 418,229 | |
Fairfax Financial Holdings Ltd., 4.625%, 4/29/2030 | 189,000 | 216,730 | ||
GTCR (AP) Finance, Inc., 8%, 5/15/2027 (n) | 220,000 | 232,650 | ||
Hartford Financial Services Group, Inc., 3.6%, 8/19/2049 | 102,000 | 114,579 | ||
Willis North America, Inc., 3.875%, 9/15/2049 | 250,000 | 282,393 | ||
$3,923,646 | ||||
International Market Quasi-Sovereign – 0.2% | ||||
Deutsche Bahn Finance GmbH (Federal Republic of Germany), 0.625%, 12/08/2050 | EUR | 75,000 | $81,219 | |
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 | 200,000 | 245,464 | ||
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 | 200,000 | 314,181 | |
La Banque Postale S.A. (Republic of France), 0.875% to 1/26/2026, FLR (EUR Swap Rate - 5yr. + 1.38%) to 1/26/2031 | EUR | 100,000 | 118,912 | |
Landsbankinn Bank (Republic of Iceland), 0.375%, 5/23/2025 | 100,000 | 118,609 | ||
$878,385 | ||||
International Market Sovereign – 9.6% | ||||
Commonwealth of Australia, 3.25%, 6/21/2039 | AUD | 3,170,000 | $2,861,556 | |
Commonwealth of Australia, 1.75%, 6/21/2051 | 2,134,000 | 1,465,541 | ||
Government of Bermuda, 2.375%, 8/20/2030 (n) | $ | 200,000 | 200,750 | |
Government of Japan, 2.4%, 3/20/2037 | JPY | 9,500,000 | 114,558 | |
Government of Japan, 2.3%, 3/20/2040 | 549,000,000 | 6,716,149 | ||
Government of Japan, 0.6%, 9/20/2050 | 44,450,000 | 400,153 | ||
Kingdom of Belgium, 0.4%, 6/22/2040 (n) | EUR | 712,000 | 829,980 | |
Kingdom of Belgium, 1.7%, 6/22/2050 (n) | 443,000 | 654,341 | ||
Kingdom of Spain, 1.25%, 10/31/2030 (n) | 1,211,000 | 1,566,272 | ||
Kingdom of Spain, 1.85%, 7/30/2035 | 643,000 | 883,802 | ||
Kingdom of Spain, 1.2%, 10/31/2040 (n) | 772,000 | 950,827 | ||
Republic of Cyprus, 0%, 2/09/2026 | 864,000 | 1,030,509 | ||
Republic of Cyprus, 1.25%, 1/21/2040 | 730,000 | 909,812 | ||
Republic of Iceland, 5%, 11/15/2028 | ISK | 188,496,000 | 1,642,796 | |
Republic of Italy, 0.5%, 7/15/2028 (n) | EUR | 7,999,000 | 9,549,660 | |
Republic of Italy, 1.65%, 3/01/2032 | 1,209,000 | 1,555,491 | ||
Republic of Italy, 1.45%, 3/01/2036 | 2,346,000 | 2,899,374 | ||
Republic of Italy, 1.7%, 9/01/2051 | 1,436,000 | 1,693,438 | ||
United Kingdom Treasury, 0.375%, 10/22/2030 | GBP | 240,000 | 321,966 | |
United Kingdom Treasury, 1.75%, 1/22/2049 | 89,000 | 142,163 | ||
United Mexican States, 1%, 10/31/2050 | EUR | 278,000 | 308,444 | |
$36,697,582 | ||||
Leisure & Toys – 0.0% | ||||
Ubisoft Entertainment S.A., 0.878%, 11/24/2027 | EUR | 100,000 | $118,291 | |
Local Authorities – 0.1% | ||||
Province of Alberta, 4.5%, 12/01/2040 | CAD | 255,000 | $262,945 | |
Province of British Columbia, 2.95%, 6/18/2050 | 115,000 | 98,846 | ||
$361,791 | ||||
Machinery & Tools – 0.4% | ||||
CNH Industrial Capital LLC, 1.875%, 1/15/2026 | $ | 251,000 | $256,566 | |
Kapla Holding S.A.S., 3.375%, 12/15/2026 | EUR | 315,000 | 369,359 | |
Sarens Finance Co. N.V., 5.75%, 2/21/2027 | 210,000 | 247,958 | ||
Terex Corp., 5%, 5/15/2029 (n) | $ | 665,000 | 699,081 | |
$1,572,964 |
11
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – 1.2% | ||||
Australia and New Zealand Banking Group Ltd., 2.57%, 11/25/2035 (n) | $ | 152,000 | $149,603 | |
Banco de Sabadell S.A., 0.875% to 6/16/2027, FLR (EUR ICE Swap Rate - 1yr. + 1.15%) to 6/16/2028 | EUR | 100,000 | 116,881 | |
Bank of America Corp., 3.5%, 4/19/2026 | $ | 493,000 | 542,812 | |
Bank of America Corp., 0.694% to 3/22/2030, FLR (EURIBOR - 3mo. + 0.79%) to 3/22/2031 | EUR | 110,000 | 130,252 | |
Bank of America Corp., 2.687% to 4/22/2031, FLR (SOFR + 1.32%) to 4/22/2032 | $ | 223,000 | 231,755 | |
Bankinter S.A., 1.25% to 12/23/2027, FLR (EUR Swap Rate - 5yr. + 1.45%) to 12/23/2032 | EUR | 100,000 | 118,761 | |
Barclays PLC, 1.125% to 3/22/2026, FLR (EUR Swap Rate - 5yr. + 1.55%) to 3/22/2031 | 100,000 | 119,348 | ||
Barclays PLC, 1.106%, 5/12/2032 | 100,000 | 119,883 | ||
CaixaBank S.A., 2.75% to 7/14/2023, FLR (EUR Swap Rate - 5yr. + 2.35%) to 7/14/2028 | 100,000 | 123,218 | ||
Commonwealth Bank of Australia, 2.688%, 3/11/2031 (n) | $ | 221,000 | 223,420 | |
Credit Agricole S.A., 1.625% to 6/05/2025, FLR (EUR Swap Rate - 5yr. + 1.9%) to 6/05/2030 | EUR | 100,000 | 123,035 | |
Credit Suisse Group AG, 3.091% to 5/14/2031, FLR (SOFR + 1.73%) to 5/14/2032 (n) | $ | 250,000 | 260,770 | |
Erste Group Bank AG, 1% to 6/10/2025, FLR (EUR ICE Swap Rate - 5yr. + 1.3%) to 6/10/2030 | EUR | 100,000 | 119,558 | |
Goldman Sachs Group, Inc., 2.383% to 7/21/2031, FLR (SOFR + 1.248%) to 7/21/2032 | $ | 135,000 | 136,481 | |
HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR + 1.929%) to 6/04/2026 | 238,000 | 244,709 | ||
HSBC Holdings PLC, 4.375%, 11/23/2026 | 269,000 | 302,526 | ||
JPMorgan Chase & Co., 2.95%, 10/01/2026 | 421,000 | 454,054 | ||
Morgan Stanley, 1.593% to 5/04/2026, FLR (SOFR + 0.879%) to 5/04/2027 | 183,000 | 184,721 | ||
Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR + 3.12%) to 4/01/2031 | 119,000 | 133,288 | ||
NatWest Group PLC, 2.105% to 11/28/2026, FLR (GBP Government Yield - 5yr. + 1.75%) to 11/28/2031 | GBP | 100,000 | 139,000 | |
Nordea Bank Abp, 0.625% to 8/18/2026, FLR (EUR Swap Rate - 5yr. + 0.92%) to 8/18/2031 | EUR | 140,000 | 166,388 | |
UniCredit S.p.A., 1.25% to 6/16/2025, FLR (EURIBOR - 3mo. + 1.6%) to 6/16/2026 | 147,000 | 179,945 | ||
UniCredit S.p.A., 0.8% to 7/05/2028, FLR (EURIBOR - 3mo. + 0.9%) to 7/05/2029 | 100,000 | 120,029 | ||
$4,440,437 | ||||
Medical & Health Technology & Services – 4.6% | ||||
Avantor Funding, Inc., 4.625%, 7/15/2028 (n) | $ | 1,504,000 | $1,590,330 | |
BCPE Cycle Merger Sub II, Inc., 10.625%, 7/15/2027 (n) | 400,000 | 419,924 | ||
Becton Dickinson Euro Finance S.à r.l., 0.334%, 8/13/2028 | EUR | 100,000 | 117,930 | |
Becton Dickinson Euro Finance S.à r.l., 1.213%, 2/12/2036 | 100,000 | 119,170 | ||
Becton Dickinson Euro Finance S.à r.l., 1.336%, 8/13/2041 | 100,000 | 115,776 | ||
Catalent, Inc., 3.125%, 2/15/2029 (n) | $ | 1,022,000 | 1,009,700 | |
Charles River Laboratories International, Inc., 3.75%, 3/15/2029 (n) | 1,971,000 | 2,031,786 | ||
CHS/Community Health Systems, Inc., 6.625%, 2/15/2025 (n) | 500,000 | 525,564 | ||
CHS/Community Health Systems, Inc., 8%, 12/15/2027 (n) | 105,000 | 115,631 | ||
CHS/Community Health Systems, Inc., 6.125%, 4/01/2030 (n) | 745,000 | 750,923 | ||
DaVita, Inc., 4.625%, 6/01/2030 (n) | 420,000 | 438,967 | ||
DaVita, Inc., 3.75%, 2/15/2031 (n) | 938,000 | 926,946 | ||
Encompass Health Corp., 5.75%, 9/15/2025 | 410,000 | 419,225 | ||
Encompass Health Corp., 4.625%, 4/01/2031 | 410,000 | 439,651 | ||
HCA, Inc., 5.875%, 2/15/2026 | 795,000 | 922,041 | ||
HCA, Inc., 5.625%, 9/01/2028 | 125,000 | 149,062 | ||
HCA, Inc., 5.875%, 2/01/2029 | 255,000 | 309,187 | ||
HCA, Inc., 3.5%, 9/01/2030 | 1,045,000 | 1,121,327 | ||
HCA, Inc., 5.125%, 6/15/2039 | 103,000 | 129,739 | ||
HealthSouth Corp., 5.125%, 3/15/2023 | 204,000 | 204,639 | ||
Heartland Dental LLC, 8.5%, 5/01/2026 (n) | 435,000 | 451,312 | ||
IQVIA Holdings, Inc., 5%, 10/15/2026 (n) | 710,000 | 731,300 | ||
IQVIA Holdings, Inc., 5%, 5/15/2027 (n) | 1,210,000 | 1,264,365 | ||
LifePoint Health, Inc., 4.375%, 2/15/2027 (n) | 210,000 | 209,475 | ||
LifePoint Health, Inc., 5.375%, 1/15/2029 (n) | 190,000 | 186,645 | ||
MPH Acquisition Holdings LLC, 5.5%, 9/01/2028 (n) | 280,000 | 284,550 | ||
New York Society for the Relief of the Ruptured & Crippled, 2.667%, 10/01/2050 | 300,000 | 290,662 | ||
ProMedica Toledo Hospital, “B”, AGM, 6.015%, 11/15/2048 | 142,000 | 206,558 | ||
Regional Care/LifePoint Health, Inc., 9.75%, 12/01/2026 (n) | 455,000 | 484,006 | ||
Syneos Health, Inc., 3.625%, 1/15/2029 (n) | 1,166,000 | 1,159,832 | ||
Thermo Fisher Scientific, Inc., 1.75%, 10/15/2028 | 137,000 | 138,240 | ||
U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026 (n) | 360,000 | 374,400 |
12
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Medical & Health Technology & Services – continued | ||||
U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026 (n) | $ | 110,000 | $113,575 | |
$17,752,438 | ||||
Medical Equipment – 0.5% | ||||
Boston Scientific Corp., 0.625%, 12/01/2027 | EUR | 100,000 | $120,756 | |
Hill-Rom Holdings, Inc., 4.375%, 9/15/2027 (n) | $ | 940,000 | 984,650 | |
Teleflex, Inc., 4.625%, 11/15/2027 | 875,000 | 916,562 | ||
$2,021,968 | ||||
Metals & Mining – 2.8% | ||||
Anglo American Capital PLC, 5.625%, 4/01/2030 (n) | $ | 209,000 | $257,017 | |
Baffinland Iron Mines Corp./Baffinland Iron Mines LP, 8.75%, 7/15/2026 (n) | 760,000 | 807,500 | ||
Coeur Mining, Inc., 5.125%, 2/15/2029 (n) | 780,000 | 774,150 | ||
Compass Minerals International, Inc., 6.75%, 12/01/2027 (n) | 645,000 | 682,894 | ||
Eldorado Gold Corp., 6.25%, 9/01/2029 (n) | 610,000 | 619,913 | ||
First Quantum Minerals Ltd., 6.875%, 3/01/2026 (n) | 200,000 | 208,995 | ||
First Quantum Minerals Ltd., 6.875%, 10/15/2027 (n) | 759,000 | 821,617 | ||
First Quantum Minerals Ltd., 6.875%, 10/15/2027 | 350,000 | 378,875 | ||
Freeport-McMoRan, Inc., 5%, 9/01/2027 | 665,000 | 699,912 | ||
Freeport-McMoRan, Inc., 4.375%, 8/01/2028 | 350,000 | 371,000 | ||
Freeport-McMoRan, Inc., 5.25%, 9/01/2029 | 550,000 | 608,658 | ||
Glencore Funding LLC, 2.85%, 4/27/2031 (n) | 144,000 | 147,367 | ||
GrafTech Finance, Inc., 4.625%, 12/15/2028 (n) | 530,000 | 540,600 | ||
Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.375%, 12/15/2023 (n) | 700,000 | 711,340 | ||
Kaiser Aluminum Corp., 4.625%, 3/01/2028 (n) | 1,009,000 | 1,046,837 | ||
Kaiser Aluminum Corp., 4.5%, 6/01/2031 (n) | 350,000 | 362,688 | ||
Novelis Corp., 3.25%, 11/15/2026 (n) | 275,000 | 281,930 | ||
Novelis Corp., 4.75%, 1/30/2030 (n) | 385,000 | 410,025 | ||
Novelis Corp., 3.875%, 8/15/2031 (n) | 330,000 | 333,003 | ||
Novelis Sheet Ingot GmbH, 3.375%, 4/15/2029 (n) | EUR | 350,000 | 428,843 | |
Petra Diamonds US$ Treasury PLC, 10.5%, (0% cash or 10.5% PIK) 3/08/2026 (n)(p) | $ | 231,252 | 232,986 | |
$10,726,150 | ||||
Midstream – 3.6% | ||||
AI Candelaria Spain SLU, 7.5%, 12/15/2028 (n) | $ | 360,000 | $398,700 | |
Cheniere Energy Partners LP, 4.5%, 10/01/2029 | 475,000 | 511,812 | ||
Cheniere Energy, Inc., 4%, 3/01/2031 (n) | 955,000 | 1,005,137 | ||
DT Midstream, Inc., 4.125%, 6/15/2029 (n) | 519,000 | 531,975 | ||
DT Midstream, Inc., 4.375%, 6/15/2031 (n) | 879,000 | 907,567 | ||
EnLink Midstream Partners LP, 5.625%, 1/15/2028 (n) | 461,000 | 481,745 | ||
EQM Midstream Partners LP, 6%, 7/01/2025 (n) | 167,000 | 180,360 | ||
EQM Midstream Partners LP, 6.5%, 7/01/2027 (n) | 161,000 | 179,515 | ||
EQM Midstream Partners LP, 5.5%, 7/15/2028 | 1,780,000 | 1,942,389 | ||
EQM Midstream Partners LP, 4.5%, 1/15/2029 (n) | 310,000 | 314,650 | ||
Galaxy Pipeline Assets Bidco Ltd., 1.75%, 9/30/2027 (n) | 308,000 | 312,840 | ||
Genesis Energy LP/Genesis Energy Finance Corp., 5.625%, 6/15/2024 | 160,000 | 157,403 | ||
Genesis Energy LP/Genesis Energy Finance Corp., 6.25%, 5/15/2026 | 610,700 | 587,799 | ||
Genesis Energy LP/Genesis Energy Finance Corp., 8%, 1/15/2027 | 50,000 | 49,652 | ||
MPLX LP, 4.5%, 4/15/2038 | 170,000 | 194,427 | ||
Northriver Midstream Finance LP, 5.625%, 2/15/2026 (n) | 805,000 | 844,075 | ||
Peru LNG, 5.375%, 3/22/2030 | 518,000 | 409,225 | ||
Plains All American Pipeline LP/PAA Finance Corp., 3.55%, 12/15/2029 | 166,000 | 175,830 | ||
Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 | 183,000 | 205,595 | ||
Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | 193,000 | 223,565 | ||
Targa Resources Partners LP/Targa Resources Finance Corp., 6.875%, 1/15/2029 | 1,305,000 | 1,467,081 | ||
Targa Resources Partners LP/Targa Resources Finance Corp., 4.875%, 2/01/2031 | 505,000 | 549,339 | ||
Venture Global Calcasieu Pass LLC, 3.875%, 8/15/2029 (n) | 495,000 | 510,152 | ||
Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031 (n) | 495,000 | 519,131 | ||
Western Midstream Operating LP, 5.3%, 2/01/2030 | 570,000 | 638,748 |
13
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Midstream – continued | ||||
Western Midstream Operation LP, 4.65%, 7/01/2026 | $ | 215,000 | $231,770 | |
Western Midstream Operation LP, 5.5%, 8/15/2048 | 175,000 | 200,567 | ||
$13,731,049 | ||||
Mortgage-Backed – 1.4% | ||||
Fannie Mae, 6.5%, 4/01/2032 - 1/01/2033 | $ | 23,135 | $26,403 | |
Fannie Mae, 5.5%, 7/01/2033 - 7/01/2035 | 85,487 | 97,581 | ||
Fannie Mae, 6%, 8/01/2034 - 2/01/2037 | 42,858 | 50,675 | ||
Fannie Mae, 3.5%, 12/01/2047 - 5/01/2049 | 120,527 | 132,714 | ||
Fannie Mae, UMBS, 2.5%, 7/01/2050 | 51,792 | 54,750 | ||
Freddie Mac, 0.265%, 2/25/2025 (i) | 38,000,000 | 216,186 | ||
Freddie Mac, 1.481%, 3/25/2027 (i) | 448,000 | 31,882 | ||
Freddie Mac, 0.26%, 2/25/2028 (i) | 36,576,000 | 377,808 | ||
Freddie Mac, 0.427%, 2/25/2028 (i) | 15,572,000 | 320,355 | ||
Freddie Mac, 0.249%, 4/25/2028 (i) | 15,983,000 | 154,888 | ||
Freddie Mac, 1.218%, 7/25/2029 (i) | 1,888,914 | 146,550 | ||
Freddie Mac, 1.915%, 4/25/2030 (i) | 845,640 | 120,792 | ||
Freddie Mac, 1.984%, 4/25/2030 (i) | 731,897 | 108,740 | ||
Freddie Mac, 1.765%, 5/25/2030 (i) | 896,340 | 119,924 | ||
Freddie Mac, 1.906%, 5/25/2030 (i) | 2,034,877 | 293,021 | ||
Freddie Mac, 1.436%, 6/25/2030 (i) | 821,458 | 89,503 | ||
Freddie Mac, 1.704%, 8/25/2030 (i) | 719,995 | 94,593 | ||
Freddie Mac, 1.263%, 9/25/2030 (i) | 455,646 | 44,775 | ||
Freddie Mac, 1.172%, 11/25/2030 (i) | 901,677 | 83,163 | ||
Freddie Mac, 0.423%, 1/25/2031 (i) | 3,190,492 | 87,088 | ||
Freddie Mac, 0.625%, 3/25/2031 (i) | 3,763,299 | 167,689 | ||
Freddie Mac, 6%, 8/01/2034 | 31,010 | 36,246 | ||
Ginnie Mae, 2.5%, 8/20/2051 | 150,000 | 155,722 | ||
UMBS, TBA, 2%, 9/25/2036 - 9/25/2051 | 750,000 | 761,861 | ||
UMBS, TBA, 2.5%, 9/25/2036 - 9/14/2051 | 450,000 | 468,435 | ||
UMBS, TBA, 3.5%, 9/14/2051 | 325,000 | 343,814 | ||
UMBS, TBA, 3%, 9/25/2051 | 550,000 | 575,330 | ||
UMBS, TBA, 4%, 9/25/2051 | 225,000 | 241,074 | ||
$5,401,562 | ||||
Municipals – 0.6% | ||||
Massachusetts Educational Financing Authority, Education Loan Subordinate Rev., “A”, 2.641%, 7/01/2037 | $ | 150,000 | $151,559 | |
Michigan Finance Authority Hospital Rev. (Trinity Health Credit Group), 3.384%, 12/01/2040 | 215,000 | 241,970 | ||
New Jersey Economic Development Authority State Pension Funding Rev., “A”, NPFG, 7.425%, 2/15/2029 | 499,000 | 647,590 | ||
Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), “C”, 5.45%, 8/15/2028 | 346,000 | 393,908 | ||
Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), “C”, AGM, 4.65%, 8/15/2030 | 221,000 | 263,554 | ||
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority Rev. (Cogeneration Facilities - AES Puerto Rico Project), 9.12%, 6/01/2022 | 195,000 | 199,875 | ||
State of Florida, “A”, 2.154%, 7/01/2030 | 259,000 | 265,719 | ||
$2,164,175 | ||||
Natural Gas - Distribution – 0.1% | ||||
Boston Gas Co., 3.15%, 8/01/2027 (n) | $ | 198,000 | $212,522 | |
National Grid PLC, 1.125%, 1/14/2033 | GBP | 100,000 | 127,239 | |
NiSource, Inc., 3.6%, 5/01/2030 | $ | 183,000 | 203,818 | |
$543,579 | ||||
Natural Gas - Pipeline – 0.2% | ||||
APT Pipelines Ltd., 1.25%, 3/15/2033 | EUR | 200,000 | $240,286 | |
APT Pipelines Ltd., 5%, 3/23/2035 (n) | $ | 280,000 | 348,919 | |
$589,205 |
14
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Network & Telecom – 0.3% | ||||
AT&T, Inc., 3.5%, 9/15/2053 (n) | $ | 259,000 | $266,046 | |
Front Range BidCo, Inc., 6.125%, 3/01/2028 (n) | 640,000 | 651,200 | ||
Verizon Communications, Inc., 2.625%, 8/15/2026 | 127,000 | 135,121 | ||
Verizon Communications, Inc., 2.1%, 3/22/2028 | 86,000 | 88,280 | ||
$1,140,647 | ||||
Oil Services – 0.3% | ||||
Guara Norte S.à r.l., 5.198%, 6/15/2034 (n) | $ | 196,458 | $202,234 | |
Halliburton Co., 5%, 11/15/2045 | 74,000 | 88,921 | ||
MV24 Capital B.V., 6.748%, 6/01/2034 | 527,580 | 574,276 | ||
Solaris Midstream Holding LLC, 7.625%, 4/01/2026 (n) | 355,000 | 376,332 | ||
$1,241,763 | ||||
Oils – 0.3% | ||||
Neste Oyj, 1.5%, 6/07/2024 | EUR | 100,000 | $122,150 | |
PBF Holding Co. LLC/PBF Finance Corp., 7.25%, 6/15/2025 | $ | 465,000 | 325,500 | |
PBF Holding Co. LLC/PBF Finance Corp., 6%, 2/15/2028 | 400,000 | 262,000 | ||
Thaioil Treasury Center Co. Ltd., 5.375%, 11/20/2048 (n) | 355,000 | 410,611 | ||
$1,120,261 | ||||
Other Banks & Diversified Financials – 0.8% | ||||
Bangkok Bank Public Co. Ltd., 3.733%, 9/25/2034 | $ | 750,000 | $775,125 | |
Banque Fédérative du Crédit Mutuel, 0.625%, 11/03/2028 | EUR | 100,000 | 119,634 | |
Deutsche Bank AG, 1.875% to 12/22/2027, FLR (SONIA + 1.634%) to 12/22/2028 | GBP | 100,000 | 137,993 | |
Deutsche Bank AG, 1.375% to 2/17/2031, FLR (EURIBOR - 3mo. + 1.5%) to 2/17/2032 | EUR | 100,000 | 120,838 | |
Groupe BPCE S.A., 4.5%, 3/15/2025 (n) | $ | 250,000 | 276,458 | |
KBC Group N.V., 0.625%, 12/07/2031 | EUR | 200,000 | 236,091 | |
Macquarie Group Ltd., 0.35%, 3/03/2028 | 125,000 | 147,160 | ||
UBS AG, 5.125%, 5/15/2024 | $ | 447,000 | 490,638 | |
Uzbek Industrial and Construction Bank, 5.75%, 12/02/2024 | 269,000 | 282,154 | ||
Virgin Money UK PLC, 5.125% to 12/11/2025, FLR (GBP Government Yield - 5yr. + 5.25%) to 12/11/2030 | GBP | 200,000 | 306,403 | |
$2,892,494 | ||||
Personal Computers & Peripherals – 0.3% | ||||
NCR Corp., 5%, 10/01/2028 (n) | $ | 815,000 | $843,525 | |
NCR Corp., 5.125%, 4/15/2029 (n) | 390,000 | 404,367 | ||
$1,247,892 | ||||
Pharmaceuticals – 1.7% | ||||
Bausch Health Companies, Inc., 6.125%, 4/15/2025 (n) | $ | 1,288,000 | $1,316,980 | |
Bausch Health Companies, Inc., 5%, 1/30/2028 (n) | 1,190,000 | 1,134,963 | ||
Bausch Health Companies, Inc., 5%, 2/15/2029 (n) | 485,000 | 452,883 | ||
Emergent BioSolutions, Inc., 3.875%, 8/15/2028 (n) | 517,000 | 504,075 | ||
Endo Luxembourg Finance Co I S.à r.l., 6.125%, 4/01/2029 (n) | 365,000 | 361,350 | ||
Jazz Securities DAC, 4.375%, 1/15/2029 (n) | 760,000 | 787,550 | ||
Organon Finance 1 LLC, 4.125%, 4/30/2028 (n) | 700,000 | 722,190 | ||
Organon Finance 1 LLC, 5.125%, 4/30/2031 (n) | 675,000 | 708,048 | ||
Par Pharmaceutical, Inc., 7.5%, 4/01/2027 (n) | 380,000 | 384,750 | ||
$6,372,789 | ||||
Pollution Control – 0.5% | ||||
GFL Environmental, Inc., 4%, 8/01/2028 (n) | $ | 375,000 | $372,188 | |
GFL Environmental, Inc., 3.5%, 9/01/2028 (n) | 415,000 | 414,072 | ||
GFL Environmental, Inc., 4.75%, 6/15/2029 (n) | 215,000 | 220,913 | ||
GFL Environmental, Inc., 4.375%, 8/15/2029 (n) | 280,000 | 281,400 | ||
Stericycle, Inc., 3.875%, 1/15/2029 (n) | 750,000 | 763,282 | ||
$2,051,855 |
15
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Precious Metals & Minerals – 0.3% | ||||
IAMGOLD Corp., 5.75%, 10/15/2028 (n) | $ | 745,000 | $742,206 | |
Taseko Mines Ltd., 7%, 2/15/2026 (n) | 360,000 | 370,282 | ||
$1,112,488 | ||||
Printing & Publishing – 0.4% | ||||
Cimpress N.V., 7%, 6/15/2026 (n) | $ | 740,000 | $773,300 | |
Informa PLC, 3.125%, 7/05/2026 | GBP | 100,000 | 146,552 | |
Informa PLC, 1.25%, 4/22/2028 | EUR | 150,000 | 181,912 | |
Mav Acquisition Corp., 8%, 8/01/2029 (n) | $ | 280,000 | 275,100 | |
$1,376,864 | ||||
Railroad & Shipping – 0.2% | ||||
Wabtec Transportation Netherlands B.V., 1.25%, 12/03/2027 | EUR | 200,000 | $243,766 | |
Watco Cos. LLC/Watco Finance Corp., 6.5%, 6/15/2027 (n) | $ | 655,000 | 700,850 | |
$944,616 | ||||
Real Estate - Office – 0.1% | ||||
Corporate Office Property LP, REIT, 2.25%, 3/15/2026 | $ | 149,000 | $153,676 | |
Corporate Office Property LP, REIT, 2%, 1/15/2029 | 52,000 | 51,560 | ||
Corporate Office Property LP, REIT, 2.75%, 4/15/2031 | 109,000 | 111,233 | ||
$316,469 | ||||
Real Estate - Other – 0.6% | ||||
EPR Properties, REIT, 4.5%, 6/01/2027 | $ | 490,000 | $518,909 | |
EPR Properties, REIT, 4.95%, 4/15/2028 | 105,000 | 113,421 | ||
InterMed Holdings Ltd., 5.875%, 10/01/2028 (n) | 610,000 | 649,650 | ||
Lexington Realty Trust Co., 2.7%, 9/15/2030 | 195,000 | 200,332 | ||
Sun Communities, Inc., 2.7%, 7/15/2031 | 66,000 | 67,206 | ||
W.P. Carey, Inc., REIT, 2.4%, 2/01/2031 | 282,000 | 283,302 | ||
XHR LP, REIT, 4.875%, 6/01/2029 (n) | 640,000 | 659,200 | ||
$2,492,020 | ||||
Real Estate - Retail – 0.2% | ||||
Brixmor Operating Partnership LP, REIT, 4.05%, 7/01/2030 | $ | 93,000 | $105,265 | |
Hammerson Ireland Finance DAC, 1.75%, 6/03/2027 | EUR | 100,000 | 119,974 | |
Regency Centers Corp., 3.7%, 6/15/2030 | $ | 339,000 | 380,516 | |
STORE Capital Corp., REIT, 2.75%, 11/18/2030 | 313,000 | 318,742 | ||
$924,497 | ||||
Retailers – 0.5% | ||||
Bath & Body Works, Inc., 5.25%, 2/01/2028 | $ | 1,205,000 | $1,349,594 | |
Home Depot, Inc., 3%, 4/01/2026 | 166,000 | 180,639 | ||
Kohl's Corp., 3.375%, 5/01/2031 | 125,000 | 131,155 | ||
Victoria's Secret & Co., 4.625%, 7/15/2029 (n) | 450,000 | 450,668 | ||
$2,112,056 | ||||
Specialty Chemicals – 0.2% | ||||
Univar Solutions USA, Inc., 5.125%, 12/01/2027 (n) | $ | 637,000 | $665,665 | |
Specialty Stores – 0.9% | ||||
Group 1 Automotive, Inc., 4%, 8/15/2028 (n) | $ | 795,000 | $808,912 | |
Magic Mergeco, Inc., 5.25%, 5/01/2028 (n) | 370,000 | 379,713 | ||
Magic Mergeco, Inc., 7.875%, 5/01/2029 (n) | 445,000 | 458,550 | ||
Nordstrom, Inc., 4.25%, 8/01/2031 | 106,000 | 110,327 | ||
Penske Automotive Group Co., 3.75%, 6/15/2029 | 955,000 | 971,712 | ||
PetSmart, Inc./PetSmart Finance Corp., 4.75%, 2/15/2028 (n) | 250,000 | 260,313 | ||
PetSmart, Inc./PetSmart Finance Corp., 7.75%, 2/15/2029 (n) | 250,000 | 274,688 | ||
$3,264,215 |
16
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Supermarkets – 0.6% | ||||
Albertsons Cos. LLC/Safeway, Inc., 4.625%, 1/15/2027 (n) | $ | 825,000 | $873,469 | |
Albertsons Cos. LLC/Safeway, Inc., 3.5%, 3/15/2029 (n) | 540,000 | 545,400 | ||
Auchan Holding S.A., 3.25%, 7/23/2027 | EUR | 100,000 | 136,407 | |
Bellis Acquisition Co. PLC, 3.25%, 2/16/2026 | GBP | 375,000 | 513,227 | |
Loblaw Cos. Ltd., 4.86%, 9/12/2023 | CAD | 262,000 | 221,852 | |
$2,290,355 | ||||
Supranational – 0.4% | ||||
International Bank for Reconstruction and Development, 4.25%, 6/24/2025 | AUD | 210,000 | $174,429 | |
West African Development Bank, 4.7%, 10/22/2031 | $ | 200,000 | 219,680 | |
West African Development Bank, 4.7%, 10/22/2031 (n) | 1,055,000 | 1,158,812 | ||
West African Development Bank, 2.75%, 1/22/2033 | EUR | 100,000 | 125,632 | |
$1,678,553 | ||||
Telecommunications - Wireless – 2.5% | ||||
Altice France S.A., 6%, 2/15/2028 (n) | $ | 855,000 | $847,519 | |
American Tower Corp., REIT, 4%, 6/01/2025 | 186,000 | 204,334 | ||
Cellnex Finance Co. S.A., 2%, 2/15/2033 | EUR | 500,000 | 586,933 | |
Crown Castle International Corp., 1.35%, 7/15/2025 | $ | 99,000 | 99,721 | |
Crown Castle International Corp., 3.7%, 6/15/2026 | 157,000 | 172,881 | ||
Digicel International Finance Ltd., 8.75%, 5/25/2024 (n) | 400,000 | 415,500 | ||
Millicom International Cellular S.A., 5.125%, 1/15/2028 | 635,400 | 662,405 | ||
Rogers Communications, Inc., 3.7%, 11/15/2049 | 106,000 | 112,530 | ||
SBA Communications Corp., 3.875%, 2/15/2027 | 1,116,000 | 1,159,836 | ||
SBA Communications Corp., 3.125%, 2/01/2029 (n) | 750,000 | 736,875 | ||
Sprint Capital Corp., 6.875%, 11/15/2028 | 1,000,000 | 1,303,480 | ||
Sprint Corp., 7.125%, 6/15/2024 | 275,000 | 316,250 | ||
Sprint Corp., 7.625%, 3/01/2026 | 1,235,000 | 1,522,693 | ||
T-Mobile USA, Inc., 3.5%, 4/15/2025 | 189,000 | 203,997 | ||
T-Mobile USA, Inc., 2.625%, 2/15/2029 | 760,000 | 769,500 | ||
T-Mobile USA, Inc., 3.5%, 4/15/2031 | 350,000 | 372,663 | ||
$9,487,117 | ||||
Telephone Services – 0.1% | ||||
Iliad S.A., 2.375%, 6/17/2026 | EUR | 100,000 | $117,985 | |
Iliad S.A., 1.875%, 2/11/2028 | 100,000 | 112,690 | ||
TELUS Corp., 2.85%, 11/13/2031 | CAD | 225,000 | 181,065 | |
$411,740 | ||||
Tobacco – 0.2% | ||||
B.A.T. International Finance PLC, 2.25%, 6/26/2028 | GBP | 100,000 | $138,582 | |
Vector Group Ltd., 10.5%, 11/01/2026 (n) | $ | 350,000 | 369,250 | |
Vector Group Ltd., 5.75%, 2/01/2029 (n) | 415,000 | 422,263 | ||
$930,095 | ||||
Transportation - Services – 0.5% | ||||
Abertis Infraestructuras S.A., 1.875%, 3/26/2032 | EUR | 100,000 | $127,705 | |
Arena Luxembourg Finance S.à r.l., 1.875%, 2/01/2028 | 490,000 | 540,041 | ||
Element Fleet Management Corp., 1.6%, 4/06/2024 (n) | $ | 261,000 | 264,937 | |
ERAC USA Finance LLC, 7%, 10/15/2037 (n) | 120,000 | 181,813 | ||
Promontoria Holding 264 B.V., 6.75%, 8/15/2023 | EUR | 245,000 | 283,490 | |
Q-Park Holding I B.V., 2%, 3/01/2027 | 480,000 | 536,983 | ||
$1,934,969 | ||||
U.S. Treasury Obligations – 9.4% | ||||
U.S. Treasury Bonds, 2.25%, 8/15/2049 | $ | 115,500 | $123,662 | |
U.S. Treasury Bonds, 2.375%, 11/15/2049 | 11,229,000 | 12,348,829 | ||
U.S. Treasury Notes, 2.375%, 5/15/2029 | 11,786,000 | 12,856,869 |
17
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Treasury Obligations – continued | ||||
U.S. Treasury Notes, 1.125%, 8/15/2040 (f) | $ | 12,169,000 | $10,802,840 | |
$36,132,200 | ||||
Utilities - Electric Power – 3.5% | ||||
Adani Green Energy (UP) Ltd./Prayatna Developers Private Ltd., 6.25%, 12/10/2024 (n) | $ | 1,081,000 | $1,177,101 | |
Adani Transmission Ltd., 4.25%, 5/21/2036 (n) | 187,000 | 193,514 | ||
Calpine Corp., 4.5%, 2/15/2028 (n) | 665,000 | 684,950 | ||
Calpine Corp., 5.125%, 3/15/2028 (n) | 1,040,000 | 1,058,200 | ||
Clearway Energy Operating LLC, 4.75%, 3/15/2028 (n) | 285,000 | 301,730 | ||
Clearway Energy Operating LLC, 3.75%, 2/15/2031 (n) | 1,450,000 | 1,473,338 | ||
ContourGlobal Power Holdings S.A., 2.75%, 1/01/2026 (n) | EUR | 380,000 | 458,998 | |
Duke Energy Corp., 2.55%, 6/15/2031 | $ | 204,000 | 209,777 | |
E.CL S.A., 4.5%, 1/29/2025 | 300,000 | 327,567 | ||
Enel Finance International N.V., 3.5%, 4/06/2028 (n) | 200,000 | 220,469 | ||
Enel Finance International N.V., 0.5%, 6/17/2030 | EUR | 120,000 | 143,252 | |
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 | 200,000 | 249,386 | ||
Enel S.p.A., 1.875% to 9/08/2030, FLR (EUR Swap Rate - 5yr. + 2.011%) to 9/08/2035, FLR (EUR Swap Rate - 5yr. + 2.261%) to 9/08/2050, FLR (EUR Swap Rate - 5yr. + 3.011%) to 3/08/2170 | 150,000 | 177,817 | ||
Investment Energy Resources Ltd., 6.25%, 4/26/2029 (n) | $ | 200,000 | 218,000 | |
Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | 98,000 | 101,910 | ||
Mong Duong Finance Holdings B.V., 5.125%, 5/07/2029 (n) | 280,000 | 281,400 | ||
Mong Duong Finance Holdings B.V., 5.125%, 5/07/2029 | 592,000 | 594,960 | ||
NextEra Energy Operating Co., 4.25%, 9/15/2024 (n) | 102,000 | 107,355 | ||
NextEra Energy Operating Co., 4.5%, 9/15/2027 (n) | 370,000 | 398,675 | ||
NextEra Energy, Inc., 4.25%, 7/15/2024 (n) | 885,000 | 934,250 | ||
Southern California Edison Co.'s First & Refunding Mortgage Bonds, 3.65%, 2/01/2050 | 104,000 | 105,981 | ||
Star Energy Geothermal (Wayang Windu) Ltd., 6.75%, 4/24/2033 (n) | 801,577 | 921,813 | ||
TerraForm Global Operating LLC, 6.125%, 3/01/2026 (n) | 430,000 | 442,363 | ||
TerraForm Power Operating LLC, 5%, 1/31/2028 (n) | 980,000 | 1,058,400 | ||
TerraForm Power Operating LLC, 4.75%, 1/15/2030 (n) | 545,000 | 573,574 | ||
Transelec S.A., 4.25%, 1/14/2025 (n) | 600,000 | 651,750 | ||
Virginia Electric & Power Co., 3.5%, 3/15/2027 | 375,000 | 416,052 | ||
WEC Energy Group, Inc., 1.8%, 10/15/2030 | 37,000 | 36,025 | ||
$13,518,607 | ||||
Total Bonds | $463,685,021 | |||
Common Stocks – 0.9% | ||||
Construction – 0.1% | ||||
ICA Tenedora, S.A. de C.V. (a) | 110,829 | $456,680 | ||
Energy - Independent – 0.0% | ||||
Frontera Energy Corp. (a) | 16,354 | $90,110 | ||
Oil Services – 0.1% | ||||
LTRI Holdings LP (a)(u) | 615 | $157,225 | ||
Precious Metals & Minerals – 0.0% | ||||
Petra Diamonds Ltd. (a) | 3,310,768 | $77,381 | ||
Special Products & Services – 0.7% | ||||
iShares iBoxx $ High Yield Corporate Bond ETF | 31,000 | $2,730,790 | ||
Total Common Stocks | $3,512,186 |
18
Portfolio of Investments (unaudited) –
continued
Issuer | Strike Price | First Exercise | Shares/Par | Value ($) |
Warrants – 0.0% | ||||
Forest & Paper Products – 0.0% | ||||
Appvion Holdings Corp. - Tranche A (1 share for 1 warrant, Expiration 6/13/23) (a) | $11.50 | 8/24/18 | 274 | $3 |
Appvion Holdings Corp. - Tranche B (1 share for 1 warrant, Expiration 6/13/23) (a) | 13.23 | 8/24/18 | 274 | 3 |
Total Warrants | $ 6 |
Investment Companies (h) – 3.9% | ||||
Money Market Funds – 3.9% | ||||
MFS Institutional Money Market Portfolio, 0.04% (v) | 14,867,637 | $14,867,637 |
Underlying/Expiration Date/Exercise Price | Put/Call | Counterparty | Notional Amount | Par Amount/ Number of Contracts | |
Purchased Options – 0.1% | |||||
Other – 0.1% | |||||
U.S. Treasury 10 yr - Interest Rate Swap - Fund pays 1.75%, Fund receives FLR (3-month LIBOR) – September 2022 | Put | Merrill Lynch International | $ 20,100,000 | $ 20,100,000 | $368,642 |
Other Assets, Less Liabilities – (25.7)% | (98,694,389) | |||
Net Assets – 100.0% | $383,739,103 |
(a) | Non-income producing security. |
(d) | In default. |
(f) | All or a portion of the security has been segregated as collateral for open futures contracts. |
(h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $14,867,637 and $467,565,855, 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 $259,510,989, representing 67.6% of net assets. |
(p) | Payment-in-kind (PIK) security for which interest income may be received in additional securities and/or cash. |
(u) | The security was valued using significant unobservable inputs and is considered level 3 under the fair value hierarchy. |
(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 CLO Ltd., 2020-FL3, “AS”, FLR, 3.014% (LIBOR - 1mo. + 2.85%), 7/15/2035 | 6/12/20 | $428,000 | $435,444 |
Paysafe Finance PLC, 4%, 6/15/2029 | 6/10/21 | 555,000 | 534,593 |
Total Restricted Securities | $970,037 | ||
% of Net assets | 0.3% |
The following abbreviations are used in this report and are defined: | |
AGM | Assured Guaranty Municipal |
CDO | Collateralized Debt Obligation |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
ETF | Exchange-Traded Fund |
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. |
19
Portfolio of Investments (unaudited) –
continued
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 |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ISK | Iceland Krona |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PLN | Polish Zloty |
SEK | Swedish Krona |
THB | Thai Baht |
TRY | Turkish Lira |
TWD | Taiwan Dollar |
UYU | Uruguayan Peso |
ZAR | South African Rand |
Derivative Contracts at 8/31/21 | ||||||
Forward Foreign Currency Exchange Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives | ||||||
CZK | 33,565,000 | USD | 1,547,647 | Deutsche Bank AG | 10/08/2021 | $10,699 |
EUR | 2,248,119 | USD | 2,641,408 | Citibank N.A. | 10/08/2021 | 14,948 |
EUR | 100,000 | USD | 117,973 | Credit Suisse Group | 10/08/2021 | 186 |
EUR | 480,030 | USD | 565,236 | Deutsche Bank AG | 10/08/2021 | 1,964 |
GBP | 311,622 | USD | 428,031 | Citibank N.A. | 10/08/2021 | 442 |
GBP | 1,255,217 | USD | 1,709,972 | UBS AG | 10/08/2021 | 15,923 |
HUF | 230,295,000 | USD | 756,852 | Deutsche Bank AG | 10/08/2021 | 21,611 |
JPY | 16,314,417 | USD | 147,952 | Barclays Bank PLC | 10/08/2021 | 386 |
JPY | 70,519,216 | USD | 639,600 | Deutsche Bank AG | 10/08/2021 | 1,592 |
NOK | 1,400,000 | USD | 157,334 | Citibank N.A. | 10/08/2021 | 3,695 |
NOK | 40,885,486 | USD | 4,664,077 | State Street Bank Corp. | 10/08/2021 | 38,580 |
NZD | 5,325,000 | USD | 3,742,490 | Citibank N.A. | 10/08/2021 | 9,662 |
NZD | 1,119,000 | USD | 784,755 | Goldman Sachs International | 10/08/2021 | 3,725 |
NZD | 1,086,752 | USD | 755,380 | JPMorgan Chase Bank N.A. | 10/08/2021 | 10,377 |
PLN | 1,474,000 | USD | 384,482 | Deutsche Bank AG | 10/08/2021 | 387 |
PLN | 1,439,000 | USD | 375,250 | Goldman Sachs International | 10/08/2021 | 480 |
THB | 75,430,000 | USD | 2,325,789 | JPMorgan Chase Bank N.A. | 9/20/2021 | 14,259 |
THB | 30,870,000 | USD | 952,219 | JPMorgan Chase Bank N.A. | 10/04/2021 | 5,435 |
TRY | 219,000 | USD | 24,410 | JPMorgan Chase Bank N.A. | 10/08/2021 | 1,432 |
TWD | 43,245,000 | USD | 1,553,758 | Barclays Bank PLC | 11/22/2021 | 6,672 |
ZAR | 2,265,998 | USD | 151,077 | UBS AG | 10/08/2021 | 4,171 |
20
Portfolio of Investments (unaudited) –
continued
Forward Foreign Currency Exchange Contracts − continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives − continued | ||||||
USD | 548,764 | AUD | 738,211 | Citibank N.A. | 10/08/2021 | $8,614 |
USD | 218,188 | AUD | 297,540 | Deutsche Bank AG | 10/08/2021 | 478 |
USD | 1,552,649 | AUD | 2,115,000 | Goldman Sachs International | 10/08/2021 | 5,103 |
USD | 4,664,836 | AUD | 6,238,982 | HSBC Bank | 10/08/2021 | 99,769 |
USD | 2,083,484 | AUD | 2,807,919 | State Street Bank Corp. | 10/08/2021 | 28,929 |
USD | 413,819 | AUD | 561,671 | UBS AG | 10/08/2021 | 2,844 |
USD | 1,410,899 | BRL | 7,277,418 | Goldman Sachs International | 10/04/2021 | 9,388 |
USD | 778,304 | CAD | 974,000 | Citibank N.A. | 10/08/2021 | 6,344 |
USD | 178,175 | EUR | 150,229 | Citibank N.A. | 10/08/2021 | 665 |
USD | 1,677,947 | EUR | 1,414,578 | Deutsche Bank AG | 10/08/2021 | 6,496 |
USD | 471,416 | EUR | 397,000 | Goldman Sachs International | 10/08/2021 | 2,324 |
USD | 411,303 | EUR | 346,827 | JPMorgan Chase Bank N.A. | 10/08/2021 | 1,496 |
USD | 5,776,598 | GBP | 4,175,961 | Goldman Sachs International | 10/08/2021 | 34,748 |
USD | 1,899,131 | SEK | 16,370,000 | Merrill Lynch International | 10/08/2021 | 1,646 |
$375,470 | ||||||
Liability Derivatives | ||||||
AUD | 435,110 | USD | 320,249 | UBS AG | 10/08/2021 | $(1,879) |
CAD | 975,000 | USD | 783,646 | Goldman Sachs International | 10/08/2021 | (10,894) |
CAD | 1,876,247 | USD | 1,498,687 | JPMorgan Chase Bank N.A. | 10/08/2021 | (11,636) |
CLP | 1,182,171,000 | USD | 1,617,861 | Barclays Bank PLC | 9/27/2021 | (91,667) |
EUR | 1,663,875 | USD | 1,967,611 | Citibank N.A. | 10/08/2021 | (1,594) |
EUR | 454,343 | USD | 538,720 | Deutsche Bank AG | 10/08/2021 | (1,873) |
EUR | 65,199 | USD | 77,269 | HSBC Bank | 10/08/2021 | (231) |
EUR | 272,000 | USD | 322,337 | JPMorgan Chase Bank N.A. | 10/08/2021 | (944) |
GBP | 459,391 | USD | 634,637 | Citibank N.A. | 10/08/2021 | (2,985) |
GBP | 515,237 | USD | 715,681 | HSBC Bank | 10/08/2021 | (7,241) |
JPY | 74,995,000 | USD | 684,390 | State Street Bank Corp. | 10/08/2021 | (2,502) |
MXN | 16,111,392 | USD | 800,395 | Citibank N.A. | 10/08/2021 | (2,018) |
MXN | 12,559,000 | USD | 625,057 | Goldman Sachs International | 10/08/2021 | (2,713) |
MXN | 3,178,000 | USD | 158,142 | JPMorgan Chase Bank N.A. | 10/08/2021 | (661) |
USD | 310,650 | AUD | 435,000 | Deutsche Bank AG | 10/08/2021 | (7,640) |
USD | 549,205 | BRL | 2,870,036 | Goldman Sachs International | 10/04/2021 | (3,517) |
USD | 2,262,544 | CAD | 2,856,000 | Brown Brothers Harriman | 10/08/2021 | (1,027) |
USD | 1,049,381 | CAD | 1,339,000 | JPMorgan Chase Bank N.A. | 10/08/2021 | (11,866) |
USD | 486,526 | CAD | 621,000 | Merrill Lynch International | 10/08/2021 | (5,658) |
USD | 38,122 | CLP | 29,886,000 | Goldman Sachs International | 9/21/2021 | (470) |
USD | 1,847,897 | CNH | 12,022,000 | Citibank N.A. | 10/08/2021 | (8,984) |
USD | 567,867 | CNH | 3,700,000 | Goldman Sachs International | 10/08/2021 | (3,624) |
USD | 3,695,926 | CNH | 24,042,000 | HSBC Bank | 10/08/2021 | (17,526) |
USD | 5,325,434 | CNH | 34,729,000 | JPMorgan Chase Bank N.A. | 10/08/2021 | (38,700) |
USD | 60,656,445 | EUR | 51,335,291 | Citibank N.A. | 10/08/2021 | (825) |
USD | 969,432 | EUR | 823,552 | Deutsche Bank AG | 10/08/2021 | (3,669) |
USD | 689,382 | EUR | 585,000 | Goldman Sachs International | 10/08/2021 | (1,848) |
USD | 1,909,686 | EUR | 1,622,000 | Merrill Lynch International | 10/08/2021 | (6,853) |
USD | 1,182,703 | EUR | 1,009,000 | NatWest Markets PLC | 10/08/2021 | (9,521) |
USD | 232,960 | EUR | 197,358 | UBS AG | 10/08/2021 | (237) |
USD | 1,536,703 | GBP | 1,118,486 | Deutsche Bank AG | 10/08/2021 | (1,189) |
USD | 94,759 | IDR | 1,389,827,358 | Barclays Bank PLC | 9/22/2021 | (2,526) |
USD | 4,752,329 | JPY | 522,746,178 | Citibank N.A. | 10/08/2021 | (715) |
USD | 199,954 | JPY | 22,000,000 | Deutsche Bank AG | 10/08/2021 | (79) |
USD | 1,088,500 | KRW | 1,281,273,350 | Barclays Bank PLC | 9/23/2021 | (16,275) |
USD | 773,375 | KRW | 911,268,000 | Barclays Bank PLC | 10/06/2021 | (12,252) |
USD | 218,503 | NOK | 1,900,000 | Citibank N.A. | 10/08/2021 | (35) |
USD | 370,166 | SEK | 3,207,000 | Citibank N.A. | 10/08/2021 | (1,565) |
21
Portfolio of Investments (unaudited) –
continued
Forward Foreign Currency Exchange Contracts − continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Liability Derivatives − continued | ||||||
USD | 767,836 | SEK | 6,761,000 | Credit Suisse Group | 10/08/2021 | $(15,848) |
USD | 1,583,411 | SEK | 13,680,698 | Deutsche Bank AG | 10/08/2021 | (2,352) |
USD | 380,042 | SEK | 3,293,000 | Goldman Sachs International | 10/08/2021 | (1,657) |
USD | 771,348 | SEK | 6,743,000 | NatWest Markets PLC | 10/08/2021 | (10,250) |
USD | 2,302,793 | THB | 75,428,000 | JPMorgan Chase Bank N.A. | 9/20/2021 | (37,192) |
USD | 905,069 | THB | 29,862,000 | JPMorgan Chase Bank N.A. | 10/04/2021 | (21,315) |
USD | 1,594,560 | TWD | 44,257,000 | Barclays Bank PLC | 11/22/2021 | (2,388) |
USD | 2,434,130 | ZAR | 35,987,157 | Deutsche Bank AG | 10/08/2021 | (31,411) |
$(417,852) |
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
Canadian Treasury Bond 10 yr | Short | CAD | 29 | $3,358,911 | December – 2021 | $15,079 |
Canadian Treasury Bond 5 yr | Short | CAD | 41 | 4,093,013 | December – 2021 | 1,495 |
Euro-Bobl 5 yr | Long | EUR | 73 | 11,633,710 | September – 2021 | 84,297 |
Long Gilt 10 yr | Short | GBP | 22 | 3,878,837 | December – 2021 | 26,237 |
U.S. Treasury Bond | Long | USD | 49 | 7,985,468 | December – 2021 | 15,342 |
$142,450 | ||||||
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
Euro-Bund 10 yr | Short | EUR | 147 | $30,452,912 | September – 2021 | $(651,228) |
Euro-Buxl 30 yr | Short | EUR | 7 | 1,756,531 | September – 2021 | (88,549) |
Japan Government Bond 10 yr | Short | JPY | 6 | 8,298,505 | September – 2021 | (43,712) |
U.S. Treasury Note 10 yr | Short | USD | 337 | 44,973,703 | December – 2021 | (14,388) |
U.S. Treasury Note 2 yr | Short | USD | 22 | 4,847,219 | December – 2021 | (3,967) |
U.S. Treasury Note 5 yr | Short | USD | 125 | 15,464,844 | December – 2021 | (24,857) |
U.S. Treasury Ultra Bond | Short | USD | 5 | 986,406 | December – 2021 | (3,093) |
U.S. Treasury Ultra Note 10 yr | Short | USD | 113 | 16,725,766 | December – 2021 | (11,087) |
$(840,881) |
At August 31, 2021, the fund had
liquid securities with an aggregate value of $1,662,718 to cover any collateral or margin obligations for certain derivative contracts.
See attached supplemental
information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.
22
Supplemental Information
8/31/21 (unaudited)
The fund is an investment company
and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment
Companies.
(1) Investment Valuations
Equity securities, including
restricted equity securities, are generally valued at the last sale or official closing price on their primary market or exchange as provided by a third-party pricing service. Equity securities, for which there were
no sales reported that day, are generally valued at the last quoted daily bid quotation on their primary market or exchange as provided by a third-party pricing service. Debt instruments and floating rate loans,
including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be
valued at amortized cost, which approximates market value. Exchange-traded options are generally valued at the last sale or official closing price on their primary exchange as provided by a third-party pricing
service. Exchange-traded options for which there were no sales reported that day are generally valued at the last daily bid quotation on their primary exchange as provided by a third-party pricing service. For put
options, the position may be valued at the last daily ask quotation if there are no trades reported during the day. Options not traded on an exchange are generally valued at a broker/dealer bid quotation. Foreign
currency options are generally valued at valuations provided by a third-party pricing service. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a
third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party
pricing service. Forward foreign currency exchange contracts are generally valued at the mean of bid and asked prices for the time period interpolated from rates provided by a third-party pricing service for proximate
time periods. Open-end investment companies are generally valued at net asset value per share. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be
valued at a broker/dealer bid quotation. In determining values, third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue,
trading characteristics, and other market data. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices
for rates provided by a third-party pricing service.
The Board of Trustees has delegated
primary responsibility for determining or causing to be determined the value of the fund’s investments (including any fair valuation) to the adviser pursuant to valuation policies and procedures approved by the
Board. If the adviser determines that reliable market quotations are not readily available, investments are valued at fair value as determined in good faith by the adviser in accordance with such procedures under the
oversight of the Board of Trustees. Under the fund’s valuation policies and procedures, market quotations are not considered to be readily available for most types of debt instruments and floating rate loans and
many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services. In addition, investments may be valued at fair value if the adviser determines
that an investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior
to the determination of the fund’s net asset value, or after the halt of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is
principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost
and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an
investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an
investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an
investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.
Various inputs are used in
determining the value of the fund's assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value
hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund's assessment of the significance of a
particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or
liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk).
23
Supplemental Information (unaudited) –
continued
Level 3 includes unobservable inputs, which may
include the adviser's own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts, and forward foreign currency exchange contracts.
The following is a summary of the levels used as of August 31, 2021 in valuing the fund's assets or liabilities:
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Equity Securities: | ||||
United States | $2,730,790 | $6 | $157,225 | $2,888,021 |
Mexico | — | 456,680 | — | 456,680 |
Canada | 90,110 | — | — | 90,110 |
United Kingdom | 77,381 | — | — | 77,381 |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 36,500,842 | — | 36,500,842 |
Non - U.S. Sovereign Debt | — | 106,058,607 | — | 106,058,607 |
Municipal Bonds | — | 2,164,175 | — | 2,164,175 |
U.S. Corporate Bonds | — | 230,463,141 | — | 230,463,141 |
Residential Mortgage-Backed Securities | — | 5,401,562 | — | 5,401,562 |
Commercial Mortgage-Backed Securities | — | 7,609,850 | — | 7,609,850 |
Asset-Backed Securities (including CDOs) | — | 6,387,039 | — | 6,387,039 |
Foreign Bonds | — | 69,468,447 | — | 69,468,447 |
Mutual Funds | 14,867,637 | — | — | 14,867,637 |
Total | $17,765,918 | $464,510,349 | $157,225 | $482,433,492 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $142,450 | $— | $— | $142,450 |
Futures Contracts – Liabilities | (840,881) | — | — | (840,881) |
Forward Foreign Currency Exchange Contracts – Assets | — | 375,470 | — | 375,470 |
Forward Foreign Currency Exchange Contracts – Liabilities | — | (417,852) | — | (417,852) |
For further information regarding
security characteristics, see the Portfolio of Investments.
The following is a reconciliation of
level 3 assets for which significant unobservable inputs were used to determine fair value. The table presents the activity of level 3 securities held at the beginning and the end of the period.
Equity Securities | |
Balance as of 11/30/20 | $173,750 |
Change in unrealized appreciation or depreciation | (16,525) |
Balance as of 8/31/21 | $157,225 |
The net change in unrealized
appreciation or depreciation from investments held as level 3 at August 31, 2021 is $(16,525). At August 31, 2021, the fund held one level 3 security.
(2) Investments in Affiliated
Issuers
An affiliated issuer may be
considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the following were affiliated issuers:
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $19,288,281 | $254,044,771 | $258,465,416 | $531 | $(530) | $14,867,637 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $6,952 | $— |
(3) Impacts of COVID-19
The pandemic related to the global
spread of novel coronavirus disease (COVID-19), which was first detected in December 2019, has resulted in significant disruptions to global business activity and the global economy, as well as the economies of
individual countries, the financial performance of individual companies and sectors, and the securities and commodities markets in general. Multiple surges in cases globally, the availability and widespread adoption
of vaccines, and the emergence of variant strains of the virus continue to create uncertainty as to the future and long-term impacts resulting from the pandemic including impacts to the prices and liquidity of the
fund's investments and the fund's performance.
24