Quarterly Report
July 31, 2023
MFS® Global Total
Return Fund
Return Fund
MWT-Q3
Portfolio of Investments
7/31/23 (unaudited)
The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.
Issuer | Shares/Par | Value ($) | ||
Common Stocks – 59.9% | ||||
Aerospace & Defense – 1.3% | ||||
General Dynamics Corp. | 44,845 | $10,026,445 | ||
Honeywell International, Inc. | 21,440 | 4,162,147 | ||
L3Harris Technologies, Inc. | 17,742 | 3,361,932 | ||
$17,550,524 | ||||
Alcoholic Beverages – 1.2% | ||||
Diageo PLC | 162,348 | $7,078,668 | ||
Heineken N.V. | 38,411 | 3,764,640 | ||
Kirin Holdings Co. Ltd. | 168,500 | 2,490,221 | ||
Pernod Ricard S.A. | 14,445 | 3,185,985 | ||
$16,519,514 | ||||
Apparel Manufacturers – 0.5% | ||||
Compagnie Financiere Richemont S.A. | 44,400 | $7,143,306 | ||
Automotive – 1.5% | ||||
Aptiv PLC (a) | 50,173 | $5,493,442 | ||
Bridgestone Corp. | 44,000 | 1,822,599 | ||
Lear Corp. | 25,434 | 3,936,166 | ||
LKQ Corp. | 109,118 | 5,978,575 | ||
Stellantis N.V. | 96,984 | 1,988,083 | ||
Tofas Turk Otomobil Fabriikasi A.S. | 76,283 | 855,052 | ||
$20,073,917 | ||||
Biotechnology – 0.1% | ||||
Biogen, Inc. (a) | 2,652 | $716,544 | ||
Gilead Sciences, Inc. | 15,363 | 1,169,739 | ||
$1,886,283 | ||||
Broadcasting – 0.7% | ||||
Omnicom Group, Inc. | 115,256 | $9,752,963 | ||
Brokerage & Asset Managers – 1.5% | ||||
Bank of New York Mellon Corp. | 36,607 | $1,660,493 | ||
Cboe Global Markets, Inc. | 29,851 | 4,169,588 | ||
Charles Schwab Corp. | 193,412 | 12,784,533 | ||
CME Group, Inc. | 13,177 | 2,621,696 | ||
$21,236,310 | ||||
Business Services – 2.1% | ||||
Accenture PLC, “A” | 15,266 | $4,829,399 | ||
Amdocs Ltd. | 14,307 | 1,339,708 | ||
CGI, Inc. (a) | 26,101 | 2,652,360 | ||
Experian PLC | 83,757 | 3,234,360 | ||
Fidelity National Information Services, Inc. | 46,467 | 2,805,677 | ||
Fiserv, Inc. (a) | 40,326 | 5,089,544 | ||
Nomura Research Institute Ltd. | 114,600 | 3,247,128 | ||
Secom Co. Ltd. | 81,100 | 5,434,410 | ||
$28,632,586 | ||||
Cable TV – 1.4% | ||||
Comcast Corp., “A” | 415,589 | $18,809,558 |
1
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Chemicals – 0.5% | ||||
Nutrien Ltd. | 9,020 | $621,581 | ||
PPG Industries, Inc. | 45,057 | 6,483,702 | ||
$7,105,283 | ||||
Computer Software – 0.9% | ||||
Dun & Bradstreet Holdings, Inc. | 177,666 | $2,100,012 | ||
Microsoft Corp. | 28,470 | 9,563,643 | ||
$11,663,655 | ||||
Computer Software - Systems – 2.7% | ||||
Amadeus IT Group S.A. | 53,080 | $3,806,334 | ||
Capgemini | 24,112 | 4,370,362 | ||
Fujitsu Ltd. | 36,900 | 4,768,611 | ||
Hitachi Ltd. | 141,300 | 9,234,931 | ||
Hon Hai Precision Industry Co. Ltd. | 835,000 | 2,882,838 | ||
Lenovo Group Ltd. | 1,642,000 | 1,882,250 | ||
Samsung Electronics Co. Ltd. | 155,819 | 8,532,669 | ||
Seagate Technology Holdings PLC | 17,948 | 1,139,698 | ||
$36,617,693 | ||||
Construction – 1.3% | ||||
Anhui Conch Cement Co. Ltd. | 726,500 | $2,184,465 | ||
Masco Corp. | 120,994 | 7,341,916 | ||
Stanley Black & Decker, Inc. | 38,956 | 3,867,162 | ||
Techtronic Industries Co. Ltd. | 206,000 | 2,325,751 | ||
Vulcan Materials Co. | 5,360 | 1,181,880 | ||
Zhejiang Supor Co. Ltd. | 99,600 | 696,960 | ||
$17,598,134 | ||||
Consumer Products – 1.4% | ||||
Colgate-Palmolive Co. | 63,835 | $4,868,057 | ||
Kenvue, Inc. (l) | 64,578 | 1,529,207 | ||
Kimberly-Clark Corp. | 55,467 | 7,160,790 | ||
Reckitt Benckiser Group PLC | 69,492 | 5,206,478 | ||
$18,764,532 | ||||
Electrical Equipment – 1.6% | ||||
Johnson Controls International PLC | 112,282 | $7,809,213 | ||
Legrand S.A. | 36,091 | 3,615,829 | ||
Schneider Electric SE | 55,169 | 9,829,073 | ||
$21,254,115 | ||||
Electronics – 2.6% | ||||
Analog Devices, Inc. | 7,097 | $1,416,064 | ||
Intel Corp. | 161,724 | 5,784,867 | ||
Kyocera Corp. | 99,300 | 5,335,460 | ||
Novatek Microelectronics Corp. | 100,000 | 1,349,180 | ||
NXP Semiconductors N.V. | 37,684 | 8,402,778 | ||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 45,850 | 4,546,028 | ||
Texas Instruments, Inc. | 51,790 | 9,322,200 | ||
$36,156,577 | ||||
Energy - Independent – 2.0% | ||||
ConocoPhillips | 89,712 | $10,560,897 | ||
Hess Corp. | 48,783 | 7,401,844 | ||
Phillips 66 | 27,771 | 3,097,855 | ||
Pioneer Natural Resources Co. | 15,892 | 3,586,348 | ||
Valero Energy Corp. | 24,467 | 3,154,041 | ||
$27,800,985 |
2
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Energy - Integrated – 2.2% | ||||
China Petroleum & Chemical Corp. | 8,924,000 | $4,977,548 | ||
Eni S.p.A. | 679,544 | 10,373,551 | ||
Exxon Mobil Corp. | 23,001 | 2,466,627 | ||
LUKOIL PJSC (a)(u) | 8,038 | 0 | ||
Petroleo Brasileiro S.A., ADR | 149,246 | 1,970,047 | ||
Suncor Energy, Inc. | 219,442 | 6,866,247 | ||
TotalEnergies SE | 65,140 | 3,957,800 | ||
$30,611,820 | ||||
Engineering - Construction – 0.1% | ||||
ACS Actividades de Construcción y Servicios S.A. | 21,702 | $758,552 | ||
Food & Beverages – 1.7% | ||||
Archer Daniels Midland Co. | 31,973 | $2,716,426 | ||
Coca-Cola FEMSA S.A.B. de C.V. | 15,526 | 1,309,152 | ||
Danone S.A. | 85,751 | 5,235,548 | ||
General Mills, Inc. | 102,484 | 7,659,654 | ||
J.M. Smucker Co. | 26,093 | 3,930,911 | ||
Nestle S.A. | 15,337 | 1,879,730 | ||
$22,731,421 | ||||
Food & Drug Stores – 0.9% | ||||
BIM Birlesik Magazalar A.S. | 353,807 | $2,837,783 | ||
Tesco PLC | 2,734,499 | 9,054,044 | ||
Wesfarmers Ltd. | 26,169 | 872,734 | ||
$12,764,561 | ||||
Health Maintenance Organizations – 0.8% | ||||
Cigna Group | 35,735 | $10,545,399 | ||
Insurance – 3.7% | ||||
Aon PLC | 41,743 | $13,295,146 | ||
China Pacific Insurance Co. Ltd. | 257,000 | 688,725 | ||
Chubb Ltd. | 34,369 | 7,025,367 | ||
Equitable Holdings, Inc. | 136,649 | 3,920,460 | ||
Fairfax Financial Holdings Ltd. | 1,161 | 926,264 | ||
Hartford Financial Services Group, Inc. | 23,440 | 1,684,867 | ||
Manulife Financial Corp. | 400,050 | 7,997,056 | ||
MetLife, Inc. | 48,076 | 3,027,346 | ||
Samsung Fire & Marine Insurance Co. Ltd. | 17,313 | 3,314,143 | ||
Travelers Cos., Inc. | 11,168 | 1,927,708 | ||
Willis Towers Watson PLC | 27,481 | 5,807,560 | ||
Zurich Insurance Group AG | 2,657 | 1,282,112 | ||
$50,896,754 | ||||
Internet – 0.6% | ||||
Alphabet, Inc., “A” (a) | 67,047 | $8,898,478 | ||
Machinery & Tools – 2.3% | ||||
Eaton Corp. PLC | 45,654 | $9,373,679 | ||
GEA Group AG | 22,580 | 958,063 | ||
Ingersoll Rand, Inc. | 83,413 | 5,444,366 | ||
Kubota Corp. | 226,800 | 3,418,779 | ||
Regal Rexnord Corp. | 36,649 | 5,723,841 | ||
Timken Co. | 8,639 | 802,218 | ||
Volvo Group | 249,730 | 5,505,191 | ||
$31,226,137 |
3
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Major Banks – 6.8% | ||||
ABN AMRO Group N.V., GDR | 286,976 | $4,878,096 | ||
Bank of America Corp. | 307,047 | 9,825,504 | ||
BNP Paribas | 220,426 | 14,546,350 | ||
DBS Group Holdings Ltd. | 329,600 | 8,491,894 | ||
Erste Group Bank AG | 27,730 | 1,048,217 | ||
Goldman Sachs Group, Inc. | 32,871 | 11,697,803 | ||
JPMorgan Chase & Co. | 76,302 | 12,052,664 | ||
Mitsubishi UFJ Financial Group, Inc. | 1,086,800 | 8,754,597 | ||
NatWest Group PLC | 2,580,830 | 8,091,480 | ||
Regions Financial Corp. | 57,374 | 1,168,708 | ||
UBS AG | 572,937 | 12,663,678 | ||
$93,218,991 | ||||
Medical & Health Technology & Services – 0.6% | ||||
ICON PLC (a) | 16,323 | $4,103,765 | ||
McKesson Corp. | 9,477 | 3,813,545 | ||
$7,917,310 | ||||
Medical Equipment – 1.1% | ||||
Becton, Dickinson and Co. | 19,706 | $5,490,486 | ||
Boston Scientific Corp. (a) | 44,969 | 2,331,642 | ||
Medtronic PLC | 77,929 | 6,839,049 | ||
$14,661,177 | ||||
Metals & Mining – 1.6% | ||||
Adaro Energy Indonesia TBK PT | 1,782,600 | $284,885 | ||
Fortescue Metals Group Ltd. | 27,499 | 400,453 | ||
Glencore PLC | 1,106,126 | 6,722,264 | ||
PT United Tractors Tbk | 196,400 | 358,482 | ||
Rio Tinto PLC | 153,814 | 10,165,956 | ||
United States Steel Corp. | 91,049 | 2,321,749 | ||
Vale S.A. | 127,600 | 1,866,205 | ||
$22,119,994 | ||||
Natural Gas - Distribution – 0.1% | ||||
UGI Corp. | 30,822 | $831,886 | ||
Other Banks & Diversified Financials – 1.2% | ||||
China Construction Bank Corp. | 2,240,000 | $1,301,107 | ||
Julius Baer Group Ltd. | 65,580 | 4,632,450 | ||
KB Financial Group, Inc. | 18,415 | 736,802 | ||
Northern Trust Corp. | 54,675 | 4,380,561 | ||
Sberbank of Russia PJSC (a)(u) | 780,516 | 0 | ||
SLM Corp. | 116,525 | 1,885,374 | ||
Truist Financial Corp. | 110,749 | 3,679,082 | ||
$16,615,376 | ||||
Pharmaceuticals – 5.6% | ||||
Bayer AG | 187,510 | $10,955,727 | ||
Johnson & Johnson | 107,546 | 18,017,181 | ||
Merck & Co., Inc. | 115,780 | 12,347,937 | ||
Novartis AG | 17,679 | 1,846,255 | ||
Organon & Co. | 153,029 | 3,363,577 | ||
Pfizer, Inc. | 191,058 | 6,889,552 | ||
Roche Holding AG | 58,685 | 18,210,150 | ||
Sanofi | 47,033 | 5,020,794 | ||
$76,651,173 |
4
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Printing & Publishing – 0.5% | ||||
RELX PLC | 91,067 | $3,056,913 | ||
Wolters Kluwer N.V. | 31,878 | 4,002,694 | ||
$7,059,607 | ||||
Railroad & Shipping – 0.7% | ||||
A.P. Moller-Maersk A/S | 251 | $516,080 | ||
Canadian Pacific Kansas City Ltd. | 25,978 | 2,137,499 | ||
Orient Overseas International Ltd. | 25,500 | 424,733 | ||
Union Pacific Corp. | 28,033 | 6,504,217 | ||
$9,582,529 | ||||
Real Estate – 0.4% | ||||
Broadstone Net Lease, Inc., REIT | 25,146 | $409,880 | ||
NNN REIT, Inc. | 28,925 | 1,234,519 | ||
Simon Property Group, Inc., REIT | 24,083 | 3,000,742 | ||
W.P. Carey, Inc., REIT | 17,973 | 1,213,716 | ||
$5,858,857 | ||||
Restaurants – 0.2% | ||||
Sodexo | 19,659 | $2,017,551 | ||
Texas Roadhouse, Inc. | 11,010 | 1,228,165 | ||
$3,245,716 | ||||
Specialty Chemicals – 0.6% | ||||
Akzo Nobel N.V. | 41,096 | $3,513,590 | ||
Axalta Coating Systems Ltd. (a) | 91,928 | 2,941,696 | ||
Chemours Co. | 24,784 | 916,512 | ||
Nitto Denko Corp. | 18,900 | 1,341,792 | ||
$8,713,590 | ||||
Specialty Stores – 0.2% | ||||
Home Depot, Inc. | 7,290 | $2,433,694 | ||
Telecommunications - Wireless – 1.1% | ||||
KDDI Corp. | 318,300 | $9,367,884 | ||
T-Mobile US, Inc. (a) | 45,393 | 6,253,794 | ||
$15,621,678 | ||||
Telephone Services – 0.3% | ||||
Hellenic Telecommunications Organization S.A. | 129,880 | $2,049,224 | ||
Quebecor, Inc., “B” | 87,819 | 2,149,772 | ||
$4,198,996 | ||||
Tobacco – 1.0% | ||||
British American Tobacco PLC | 123,525 | $4,146,242 | ||
Japan Tobacco, Inc. | 160,600 | 3,559,356 | ||
Philip Morris International, Inc. | 57,955 | 5,779,273 | ||
$13,484,871 | ||||
Utilities - Electric Power – 2.3% | ||||
Duke Energy Corp. | 39,958 | $3,740,868 | ||
E.ON SE | 631,406 | 7,987,126 | ||
Edison International | 65,579 | 4,719,065 | ||
Iberdrola S.A. | 422,764 | 5,278,134 | ||
National Grid PLC | 350,996 | 4,646,399 | ||
PG&E Corp. (a) | 281,368 | 4,954,891 |
5
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Utilities - Electric Power – continued | ||||
Vistra Corp. | 28,857 | $809,727 | ||
$32,136,210 | ||||
Total Common Stocks | $821,350,712 | |||
Bonds – 37.3% | ||||
Aerospace & Defense – 0.2% | ||||
Boeing Co., 5.805%, 5/01/2050 | $ | 582,000 | $585,367 | |
HEICO Corp., 5.35%, 8/01/2033 | 672,000 | 669,162 | ||
Thales S.A., 3.625%, 6/14/2029 | EUR | 800,000 | 866,626 | |
$2,121,155 | ||||
Airlines – 0.1% | ||||
Aeroporti Di Roma S.p.A, 4.875%, 7/10/2033 | EUR | 830,000 | $902,868 | |
Apparel Manufacturers – 0.0% | ||||
Tapestry, Inc., 3.05%, 3/15/2032 | $ | 703,000 | $561,377 | |
Asset-Backed & Securitized – 2.8% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.022%, 11/15/2054 (i) | $ | 7,211,831 | $372,751 | |
ACREC 2021-FL1 Ltd., “C”, FLR, 7.494% ((SOFR - 1mo. + 0.11448%) + 2.15%), 10/16/2036 (n) | 1,125,500 | 1,070,745 | ||
Arbor Realty Trust, Inc., CLO, 2019-FL2, “AS”, FLR, 6.786% ((SOFR - 1mo. + 0.11448%) + 1.45%), 9/15/2034 (n) | 302,229 | 300,950 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “B”, FLR, 6.836% ((SOFR - 1mo. + 0.11448%) + 1.5%), 12/15/2035 (n) | 423,000 | 412,199 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL2, “B”, FLR, 6.936% ((SOFR - 1mo. + 0.11448%) + 1.6%), 5/15/2036 (n) | 289,000 | 275,037 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL2, “C”, FLR, 7.286% ((SOFR - 1mo. + 0.11448%) + 1.95%), 5/15/2036 (n) | 857,500 | 804,700 | ||
Arbor Realty Trust, Inc., CLO, 2022-FL1, “B”, FLR, 7.167% (SOFR - 30 day + 2.1%), 1/15/2037 (n) | 1,712,000 | 1,649,711 | ||
Arbor Realty Trust, Inc., CLO, 2022-FL1, “C”, FLR, 7.367% (SOFR - 30 day + 2.3%), 1/15/2037 (n) | 1,648,500 | 1,568,826 | ||
AREIT 2022-CRE6 Trust, “B”, FLR, 6.918% (SOFR - 30 day + 1.85%), 1/20/2037 (n) | 620,000 | 600,564 | ||
AREIT 2022-CRE6 Trust, “C”, FLR, 7.218% (SOFR - 30 day + 2.15%), 1/20/2037 (n) | 312,000 | 301,057 | ||
BBCMS Mortgage Trust, 2020-C7, “XA”, 1.619%, 4/15/2053 (i) | 1,429,374 | 95,864 | ||
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.291%, 7/15/2054 (i) | 5,828,380 | 379,044 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.616%, 2/15/2054 (i) | 5,347,224 | 456,526 | ||
BBCMS Mortgage Trust, 2022-C18, “AS”, 6.348%, 12/15/2055 | 584,994 | 610,035 | ||
Benchmark 2021-B24 Mortgage Trust, “XA”, 1.266%, 3/15/2054 (i) | 4,604,279 | 266,513 | ||
Benchmark 2021-B26 Mortgage Trust, “XA”, 0.885%, 6/15/2054 (i) | 10,649,605 | 494,501 | ||
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.263%, 7/15/2054 (i) | 13,946,658 | 952,039 | ||
Benchmark 2021-B28 Mortgage Trust, “XA”, 1.389%, 8/15/2054 (i) | 13,158,149 | 908,329 | ||
Benchmark 2022-B37 Mortgage Trust, “AS”, 5.751%, 11/15/2055 | 226,000 | 223,906 | ||
Brazos Securitization LLC, 5.413%, 9/01/2050 (n) | 522,000 | 530,848 | ||
BSPRT 2021-FL7 Issuer Ltd., “B”, FLR, 7.386% ((SOFR - 1mo. + 0.11448%) + 2.05%), 12/15/2038 (n) | 388,000 | 379,524 | ||
BSPRT 2021-FL7 Issuer Ltd., “C”, FLR, 7.636% ((SOFR - 1mo. + 0.11448%) + 2.3%), 12/15/2038 (n) | 352,000 | 334,979 | ||
Business Jet Securities LLC, 2020-1A, “A”, 2.981%, 11/15/2035 (n) | 156,153 | 146,004 | ||
Business Jet Securities LLC, 2021-1A, “A”, 2.162%, 4/15/2036 (n) | 276,423 | 252,242 | ||
BXMT 2021-FL4 Ltd., “AS”, FLR, 6.636% ((SOFR - 1mo. + 0.11448%) + 1.3%), 5/15/2038 (n) | 1,400,000 | 1,251,341 | ||
BXMT 2021-FL4 Ltd., “B”, FLR, 6.886% ((SOFR - 1mo. + 0.11448%) + 1.55%), 5/15/2038 (n) | 1,996,500 | 1,767,244 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 518,533 | 484,685 | ||
CF Hippolyta Issuer LLC, 2020-1, “A1”, 1.69%, 7/15/2060 (n) | 367,188 | 330,714 | ||
Chesapeake Funding II LLC, 2023-1A, “A1”, 5.65%, 5/15/2035 (n) | 610,220 | 605,351 | ||
CNH Equipment Trust 2023-A, “A2”, 5.34%, 9/15/2026 | 325,248 | 323,825 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.776%, 4/15/2054 (i) | 6,775,052 | 275,059 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN34, “XA”, 1.085%, 6/15/2063 (i) | 6,599,757 | 347,172 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.043%, 6/15/2064 (i) | 6,175,183 | 350,387 | ||
Commercial Mortgage Pass-Through Certificates, 2022-BNK41, “AS”, 3.79%, 4/15/2065 | 1,304,000 | 1,119,830 | ||
Credit Acceptance Auto Loan Trust, 2021-3A, “A”, 1%, 5/15/2030 (n) | 1,301,931 | 1,270,854 | ||
DT Auto Owner Trust, 2023-1A, “A”, 5.48%, 4/15/2027 (n) | 503,226 | 501,487 | ||
Fortress CBO Investments Ltd., 2022-FL3, “AS”, FLR, 7.319% (SOFR - 30 day + 2.25%), 2/23/2039 (n) | 592,000 | 574,390 | ||
FS Rialto 2021-FL2 Issuer Ltd., “AS”, FLR, 6.886% ((SOFR - 1mo. + 0.11448%) + 1.55%), 5/16/2038 (n) | 1,454,000 | 1,373,124 | ||
GreatAmerica Leasing Receivables Funding LLC, 2023-1, “A2”, 5.35%, 2/16/2026 (n) | 302,000 | 299,411 | ||
MF1 2021-FL5 Ltd., “AS”, FLR, 6.536% ((SOFR - 1mo. + 0.11448%) + 1.2%), 7/15/2036 (n) | 1,360,000 | 1,321,209 |
6
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
MF1 2021-FL5 Ltd., “B”, FLR, 6.786% ((SOFR - 1mo. + 0.11448%) + 1.45%), 7/15/2036 (n) | $ | 1,977,500 | $1,906,657 | |
MF1 2021-FL5 Ltd., “C”, FLR, 7.036% ((SOFR - 1mo. + 0.11448%) + 1.7%), 7/15/2036 (n) | 225,000 | 211,495 | ||
MF1 2021-FL6 Ltd., “AS”, FLR, 6.794% ((SOFR - 1mo. + 0.11448%) + 1.45%), 7/16/2036 (n) | 2,200,000 | 2,134,252 | ||
MF1 2021-FL6 Ltd., “B”, FLR, 6.994% ((SOFR - 1mo. + 0.11448%) + 1.65%), 7/16/2036 (n) | 1,400,000 | 1,346,873 | ||
MF1 2022-FL8 Ltd., “A”, FLR, 6.418% (SOFR - 1mo. + 1.35%), 2/19/2037 (n) | 500,000 | 488,250 | ||
MF1 2022-FL8 Ltd., “B”, FLR, 7.018% (SOFR - 30 day + 1.95%), 2/19/2037 (n) | 604,312 | 579,618 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.292%, 5/15/2054 (i) | 4,661,947 | 300,914 | ||
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.214%, 6/15/2054 (i) | 9,629,438 | 564,379 | ||
Navistar Financial Dealer Note Master Owner Trust, 2022-1, “A”, FLR, 6.318% (SOFR - 30 day + 1.25%), 5/25/2027 (n) | 525,000 | 525,990 | ||
RAC Bond Co. PLC, 4.87%, 5/06/2026 | GBP | 530,000 | 621,042 | |
Starwood Commercial Mortgage, 2021-FL2, “A”, FLR, 6.544% ((SOFR - 1mo. + 0.11448%) + 1.2%), 4/18/2038 (n) | $ | 1,400,000 | 1,358,058 | |
Starwood Commercial Mortgage, 2021-FL2, “AS”, FLR, 6.794% ((SOFR - 1mo. + 0.11448%) + 1.45%), 4/18/2038 (n) | 1,400,000 | 1,292,758 | ||
TPG Real Estate Finance, 2021-FL4, “AS”, FLR, 6.736% ((SOFR - 1mo. + 0.11448%) + 1.4%), 3/15/2038 (n) | 700,000 | 678,453 | ||
Wells Fargo Commercial Mortgage Trust, 2021-C60, “XA”, 1.53%, 8/15/2054 (i) | 6,871,624 | 543,643 | ||
Westlake Automobile Receivables Trust, 2023-1A, “A2B”, FLR, 5.917% (SOFR - 1mo. + 0.85%), 6/15/2026 (n) | 269,000 | 268,829 | ||
$38,404,188 | ||||
Automotive – 0.1% | ||||
Hyundai Capital America, 6.375%, 4/08/2030 (n) | $ | 366,000 | $377,779 | |
LKQ Corp., 6.25%, 6/15/2033 (n) | 515,000 | 518,360 | ||
Volkswagen Financial Services N.V. , 5.875%, 5/23/2029 | GBP | 500,000 | 630,127 | |
$1,526,266 | ||||
Broadcasting – 0.3% | ||||
Discovery Communications LLC, 4.125%, 5/15/2029 | $ | 835,000 | $766,974 | |
Prosus N.V., 3.68%, 1/21/2030 (n) | 587,000 | 501,162 | ||
Ubisoft Entertainment S.A., 0.878%, 11/24/2027 | EUR | 1,900,000 | 1,633,031 | |
Walt Disney Co., 3.5%, 5/13/2040 | $ | 658,000 | 536,980 | |
WarnerMedia Holdings, Inc., 4.279%, 3/15/2032 | 831,000 | 737,051 | ||
$4,175,198 | ||||
Brokerage & Asset Managers – 0.2% | ||||
Ameriprise Financial, Inc., 4.5%, 5/13/2032 | $ | 292,000 | $279,356 | |
Charles Schwab Corp., 5.643% to 5/19/2028, FLR (SOFR - 1 day + 2.210%) to 5/19/2029 | 543,000 | 547,751 | ||
Low Income Investment Fund, 3.386%, 7/01/2026 | 285,000 | 266,221 | ||
Low Income Investment Fund, 3.711%, 7/01/2029 | 760,000 | 679,913 | ||
LPL Holdings, Inc., 4%, 3/15/2029 (n) | 994,000 | 890,990 | ||
$2,664,231 | ||||
Building – 0.2% | ||||
CRH SMW Finance DAC, 4%, 7/11/2031 | EUR | 470,000 | $516,063 | |
CRH SMW Finance DAC, 4.25%, 7/11/2035 | 500,000 | 548,945 | ||
Holcim Sterling Finance (Netherlands) B.V., 2.25%, 4/04/2034 | GBP | 850,000 | 768,969 | |
Vulcan Materials Co., 3.5%, 6/01/2030 | $ | 908,000 | 821,526 | |
$2,655,503 | ||||
Business Services – 0.2% | ||||
Corning, Inc., 4.125%, 5/15/2031 | EUR | 460,000 | $503,559 | |
Euronet Worldwide, Inc., 1.375%, 5/22/2026 | 825,000 | 826,738 | ||
Fiserv, Inc., 4.4%, 7/01/2049 | $ | 281,000 | 235,900 | |
Mastercard, Inc., 3.85%, 3/26/2050 | 542,000 | 462,679 | ||
Verisk Analytics, Inc., 4%, 6/15/2025 | 747,000 | 728,131 | ||
$2,757,007 |
7
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Cable TV – 0.2% | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | $ | 709,000 | $696,354 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.8%, 3/01/2050 | 405,000 | 306,907 | ||
Cox Communications, Inc., 5.45%, 9/15/2028 (n) | 1,068,000 | 1,067,185 | ||
SES S.A., 3.5%, 1/14/2029 | EUR | 580,000 | 592,237 | |
$2,662,683 | ||||
Chemicals – 0.1% | ||||
Alpek SAB de C.V., 3.25%, 2/25/2031 (n) | $ | 501,000 | $404,479 | |
Lonza Finance International N.V., 3.875%, 5/25/2033 | EUR | 150,000 | 163,655 | |
LYB International Finance III, LLC, 4.2%, 5/01/2050 | $ | 306,000 | 234,534 | |
Nutrien Ltd., 4.9%, 3/27/2028 | 741,000 | 729,781 | ||
$1,532,449 | ||||
Computer Software – 0.0% | ||||
Microsoft Corp., 2.921%, 3/17/2052 | $ | 753,000 | $550,103 | |
Computer Software - Systems – 0.1% | ||||
Apple, Inc., 2.9%, 9/12/2027 | $ | 608,000 | $571,495 | |
Apple, Inc., 4.5%, 2/23/2036 | 204,000 | 206,556 | ||
$778,051 | ||||
Conglomerates – 0.3% | ||||
Johnson Controls International PLC, 4.25%, 5/23/2035 | EUR | 460,000 | $509,584 | |
nVent Finance S.à r.l., 5.65%, 5/15/2033 | $ | 923,000 | 905,648 | |
Regal Rexnord Corp., 6.05%, 4/15/2028 (n) | 1,007,000 | 1,000,853 | ||
Siemens Financieringsmaatschappij N.V., 3.625%, 2/24/2043 | EUR | 500,000 | 530,691 | |
Westinghouse Air Brake Technologies Corp., 4.95%, 9/15/2028 | $ | 1,384,000 | 1,347,424 | |
$4,294,200 | ||||
Consumer Products – 0.1% | ||||
JAB Holdings B.V., 2.25%, 12/19/2039 | EUR | 900,000 | $697,286 | |
Kenvue, Inc., 5.05%, 3/22/2053 (n) | $ | 931,000 | 935,957 | |
$1,633,243 | ||||
Consumer Services – 0.1% | ||||
Booking Holdings, Inc., 4.125%, 5/12/2033 | EUR | 530,000 | $582,653 | |
Containers – 0.0% | ||||
DS Smith PLC, 4.5%, 7/27/2030 | EUR | 490,000 | $536,627 | |
Electrical Equipment – 0.1% | ||||
Arrow Electronics, Inc., 3.25%, 9/08/2024 | $ | 647,000 | $627,961 | |
Telefonaktiebolaget LM Ericsson, 1%, 5/26/2029 | EUR | 870,000 | 766,218 | |
$1,394,179 | ||||
Electronics – 0.1% | ||||
Broadcom, Inc., 3.137%, 11/15/2035 (n) | $ | 859,000 | $659,004 | |
Intel Corp., 5.7%, 2/10/2053 | 385,000 | 392,529 | ||
$1,051,533 | ||||
Emerging Market Quasi-Sovereign – 0.4% | ||||
Bank Gospodarstwa Krajowego (Republic of Poland), 5.375%, 5/22/2033 (n) | $ | 753,000 | $750,696 | |
CEZ A.S. (Czech Republic), 2.375%, 4/06/2027 | EUR | 807,000 | 828,863 | |
Magyar Export-Import Bank PLC (Republic of Hungary), 6.125%, 12/04/2027 (n) | $ | 314,000 | 314,521 | |
MDGH - GMTN RSC Ltd. (United Arab Emirates), 2.5%, 6/03/2031 | 675,000 | 576,159 | ||
Ooredoo International Finance Ltd. (State of Qatar), 2.625%, 4/08/2031 | 820,000 | 707,414 | ||
Qatar Petroleum, 3.125%, 7/12/2041 | 776,000 | 588,335 | ||
REC Ltd. (Republic of India), 5.625%, 4/11/2028 (n) | 612,000 | 604,774 |
8
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Quasi-Sovereign – continued | ||||
SPP-Distribucia A.S. (Republic of Slovakia), 1%, 6/09/2031 | EUR | 2,200,000 | $1,666,380 | |
$6,037,142 | ||||
Emerging Market Sovereign – 6.2% | ||||
Czech Republic, 2.5%, 8/25/2028 | CZK | 31,590,000 | $1,333,468 | |
Czech Republic, 2%, 10/13/2033 | 34,000,000 | 1,295,293 | ||
Oriental Republic of Uruguay, 4.375%, 1/23/2031 | $ | 2,450,000 | 2,397,581 | |
Oriental Republic of Uruguay, 8.25%, 5/21/2031 | UYU | 131,835,000 | 3,342,436 | |
Oriental Republic of Uruguay, 9.75%, 7/20/2033 | 40,347,000 | 1,120,541 | ||
People's Republic of China, 3.13%, 11/21/2029 | CNY | 22,230,000 | 3,216,598 | |
People's Republic of China, 2.88%, 2/25/2033 | 85,820,000 | 12,238,757 | ||
Republic of Chile, 4.125%, 7/05/2034 | EUR | 990,000 | 1,072,177 | |
Republic of Croatia, 4%, 6/14/2035 | 2,555,000 | 2,800,514 | ||
Republic of Hungary, 5.5%, 6/16/2034 (n) | $ | 640,000 | 622,451 | |
Republic of Indonesia, 3.55%, 3/31/2032 | 990,000 | 894,930 | ||
Republic of Korea, 2.125%, 6/10/2027 | KRW | 9,100,000,000 | 6,738,975 | |
Republic of Korea, 2.375%, 12/10/2027 | 1,900,000,000 | 1,410,187 | ||
Republic of Korea, 1.875%, 6/10/2029 | 25,986,970,000 | 18,433,886 | ||
Republic of Korea, 1.375%, 6/10/2030 | 16,761,200,000 | 11,300,435 | ||
Republic of Peru, 7.3%, 8/12/2033 | PEN | 9,629,000 | 2,776,549 | |
State of Qatar, 4.4%, 4/16/2050 | $ | 299,000 | 270,105 | |
United Mexican States, 7.5%, 6/03/2027 | MXN | 154,900,000 | 8,728,146 | |
United Mexican States, 2.659%, 5/24/2031 | $ | 943,000 | 783,953 | |
United Mexican States, 7.75%, 5/29/2031 | MXN | 66,000,000 | 3,698,720 | |
United Mexican States, 6.338%, 5/04/2053 | $ | 433,000 | 441,457 | |
United Mexican States, 3.771%, 5/24/2061 | 770,000 | 523,237 | ||
$85,440,396 | ||||
Energy - Independent – 0.3% | ||||
Occidental Petroleum Corp., 6.45%, 9/15/2036 | $ | 640,000 | $671,904 | |
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 (n) | 3,609,000 | 3,269,754 | ||
$3,941,658 | ||||
Energy - Integrated – 0.2% | ||||
BP Capital Markets America, Inc., 4.812%, 2/13/2033 | $ | 489,000 | $480,892 | |
BP Capital Markets B.V., 4.323%, 5/12/2035 | EUR | 610,000 | 670,086 | |
Eni S.p.A., 3.625%, 5/19/2027 | 515,000 | 560,441 | ||
Eni S.p.A., 4.25%, 5/09/2029 (n) | $ | 607,000 | 577,569 | |
$2,288,988 | ||||
Engineering - Construction – 0.0% | ||||
Arcadis N.V., 4.875%, 2/28/2028 | EUR | 477,000 | $527,179 | |
Financial Institutions – 0.5% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 5.75%, 6/06/2028 | $ | 596,000 | $593,859 | |
Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 537,000 | 504,740 | ||
Corporacion Inmobiliaria Vesta S.A.B. de C.V., 3.625%, 5/13/2031 | 285,000 | 238,688 | ||
CTP N.V., 0.875%, 1/20/2026 | EUR | 650,000 | 626,689 | |
EXOR N.V., 0.875%, 1/19/2031 | 720,000 | 627,547 | ||
Grand City Properties S.A., 1.5%, 12/09/2069 | 900,000 | 421,182 | ||
Logicor Financing S.à r.l., 1.625%, 1/17/2030 | 890,000 | 744,504 | ||
Logicor Financing S.à r.l., 0.875%, 1/14/2031 | 275,000 | 210,847 | ||
P3 Group S.à r.l., 1.625%, 1/26/2029 | 680,000 | 605,859 | ||
Samhallsbyggnadsbolaget i Norden AB, 1.75%, 1/14/2025 | 610,000 | 514,758 | ||
Samhallsbyggnadsbolaget i Norden AB, 1.125%, 9/04/2026 | 565,000 | 415,577 | ||
SBB Treasury Oyj, 0.75%, 12/14/2028 | 590,000 | 368,224 | ||
VGP N.V., 1.5%, 4/08/2029 | 800,000 | 638,123 | ||
$6,510,597 |
9
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Food & Beverages – 0.5% | ||||
Anheuser-Busch InBev S.A./N.V., 2%, 1/23/2035 | EUR | 590,000 | $550,817 | |
Anheuser-Busch InBev Worldwide, Inc., 4%, 4/13/2028 | $ | 974,000 | 939,726 | |
Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038 | 446,000 | 413,508 | ||
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | 512,000 | 531,322 | ||
Bacardi Ltd., 5.15%, 5/15/2038 (n) | 658,000 | 616,406 | ||
Bacardi-Martini B.V., 5.4%, 6/15/2033 (n) | 572,000 | 566,847 | ||
Constellation Brands, Inc., 3.15%, 8/01/2029 | 899,000 | 810,714 | ||
Constellation Brands, Inc., 2.25%, 8/01/2031 | 400,000 | 323,785 | ||
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029 (n) | 621,000 | 532,487 | ||
Kraft Heinz Foods Co., 3.875%, 5/15/2027 | 1,121,000 | 1,074,792 | ||
PT Indofood CBP Sukses Makmur Tbk, 3.398%, 6/09/2031 | 988,000 | 829,584 | ||
$7,189,988 | ||||
Gaming & Lodging – 0.1% | ||||
Marriott International, Inc., 2.85%, 4/15/2031 | $ | 1,076,000 | $910,944 | |
VICI Properties LP, REIT, 4.95%, 2/15/2030 | 770,000 | 728,535 | ||
$1,639,479 | ||||
Insurance – 0.4% | ||||
AIA Group Ltd., 0.88%, 9/09/2033 | EUR | 843,000 | $740,945 | |
Allianz SE, 3.2% to 4/30/2028, FLR (CMT - 5yr. + 2.165%) to 4/30/2171 (n) | $ | 800,000 | 612,982 | |
ASR Nederland N.V., 7% to 12/07/2033, FLR (EUR Swap Rate - 5yr. + 5.3%) to 12/07/2043 | EUR | 740,000 | 858,066 | |
Assicurazioni Generali S.p.A., 5.399%, 4/20/2033 | 505,000 | 564,235 | ||
Axa S.A., 5.5% to 7/11/2033, FLR (EURIBOR - 3mo. + 3.6%) to 7/11/2043 | 580,000 | 642,805 | ||
Corebridge Financial, Inc., 4.35%, 4/05/2042 | $ | 1,179,000 | 958,173 | |
Equitable Holdings, Inc., 5.594%, 1/11/2033 | 907,000 | 897,342 | ||
NN Group N.V., 6.367% to 11/03/2033, FLR (EURIBOR - 3mo. + 4%) to 11/03/2043 | EUR | 550,000 | 607,374 | |
$5,881,922 | ||||
Insurance - Health – 0.0% | ||||
UnitedHealth Group, Inc., 4.625%, 7/15/2035 | $ | 184,000 | $180,205 | |
Insurance - Property & Casualty – 0.3% | ||||
American International Group, Inc., 5.125%, 3/27/2033 | $ | 586,000 | $576,164 | |
Aon Corp./Aon Global Holdings PLC, 2.6%, 12/02/2031 | 244,000 | 202,259 | ||
Aon Corp./Aon Global Holdings PLC, 3.9%, 2/28/2052 | 718,000 | 562,712 | ||
Fairfax Financial Holdings Ltd., 4.25%, 12/06/2027 | CAD | 1,360,000 | 965,196 | |
QBE Insurance Group Ltd., 2.5% to 9/13/2028, FLR (GBP Government Yield - 5yr. + 2.061%) to 9/13/2038 | GBP | 738,000 | 742,580 | |
RenaissanceRe Holdings Ltd., 5.75%, 6/05/2033 | $ | 756,000 | 745,741 | |
$3,794,652 | ||||
International Market Quasi-Sovereign – 0.4% | ||||
Electricite de France S.A., 6.25%, 5/23/2033 (n) | $ | 700,000 | $720,815 | |
Electricite de France S.A., 5.875% to 1/22/2029, FLR (GBP Swap Rate - 15yr. + 3.323%) to 1/22/2049, FLR (GBP Swap Rate - 15yr. + 4.073%) to 12/31/2165 | GBP | 800,000 | 859,844 | |
La Banque Postale S.A., 4%, 5/03/2028 | EUR | 1,300,000 | 1,433,601 | |
La Poste S.A., 3.75%, 6/12/2030 | 600,000 | 658,827 | ||
Landsbankinn Bank (Republic of Iceland), 0.375%, 5/23/2025 | 623,000 | 623,613 | ||
NBN Co. Ltd., 4.375%, 3/15/2033 | 353,000 | 395,952 | ||
Ontario Teachers' Cadillac Fairview Properties, 2.5%, 10/15/2031 (n) | $ | 927,000 | 728,262 | |
$5,420,914 | ||||
International Market Sovereign – 9.3% | ||||
Commonwealth of Australia, 3.25%, 6/21/2039 | AUD | 4,381,000 | $2,592,505 | |
Federal Republic of Germany, 1.7%, 8/15/2032 | EUR | 1,220,000 | 1,262,272 | |
Government of Bermuda, 2.375%, 8/20/2030 (n) | $ | 418,000 | 349,101 | |
Government of Bermuda, 5%, 7/15/2032 (n) | 1,331,000 | 1,305,046 | ||
Government of Canada, 1.25%, 3/01/2027 | CAD | 2,168,000 | 1,488,935 | |
Government of Canada, 2%, 6/01/2032 | 797,000 | 534,095 |
10
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
International Market Sovereign – continued | ||||
Government of Japan, 2.1%, 12/20/2027 | JPY | 334,950,000 | $2,558,701 | |
Government of Japan, 2.4%, 6/20/2028 | 3,159,000,000 | 24,601,186 | ||
Government of Japan, 0.3%, 12/20/2039 | 1,195,500,000 | 7,468,209 | ||
Government of Japan, 2.3%, 3/20/2040 | 206,150,000 | 1,721,392 | ||
Government of Japan, 1.7%, 6/20/2044 | 887,450,000 | 6,742,162 | ||
Government of Japan, 0.3%, 6/20/2046 | 474,150,000 | 2,674,191 | ||
Government of Japan, 1.6%, 12/20/2052 | 416,600,000 | 3,029,278 | ||
Government of New Zealand, 1.5%, 5/15/2031 | NZD | 14,812,000 | 7,306,392 | |
Government of New Zealand, 3.5%, 4/14/2033 | 11,575,000 | 6,525,650 | ||
Government of New Zealand , 2%, 5/15/2032 | 7,980,000 | 4,004,433 | ||
Kingdom of Belgium, 3%, 6/22/2033 (n) | EUR | 8,904,000 | 9,685,603 | |
Kingdom of Belgium, 0.4%, 6/22/2040 | 3,016,000 | 2,045,823 | ||
Kingdom of Spain, 1.25%, 10/31/2030 | 2,908,000 | 2,783,488 | ||
Kingdom of Spain, 2.55%, 10/31/2032 | 5,015,000 | 5,144,390 | ||
Kingdom of Spain, 3.15%, 4/30/2033 | 11,572,000 | 12,410,418 | ||
Kingdom of Spain, 3.9%, 7/30/2039 (n) | 3,866,000 | 4,284,216 | ||
Kingdom of Spain, 1%, 10/31/2050 | 1,075,000 | 616,237 | ||
Kingdom of Sweden, 1%, 11/12/2026 | SEK | 29,945,000 | 2,673,111 | |
Kingdom of Sweden, 0.75%, 5/12/2028 | 63,500,000 | 5,511,740 | ||
Kingdom of Sweden, 1.75%, 11/11/2033 | 9,385,000 | 830,424 | ||
Republic of Italy, 0.5%, 7/15/2028 | EUR | 2,790,000 | 2,640,349 | |
United Kingdom Treasury, 1.75%, 9/07/2037 | GBP | 1,217,000 | 1,124,837 | |
United Kingdom Treasury, 1.25%, 10/22/2041 | 2,951,000 | 2,284,119 | ||
United Kingdom Treasury, 1.25%, 7/31/2051 | 2,146,991 | 1,362,392 | ||
$127,560,695 | ||||
Local Authorities – 0.0% | ||||
Province of British Columbia, 2.95%, 6/18/2050 | CAD | 600,000 | $359,609 | |
Machinery & Tools – 0.1% | ||||
Ashtead Capital, Inc., 5.95%, 10/15/2033 (n) | $ | 881,000 | $878,663 | |
CNH Industrial Capital LLC, 1.875%, 1/15/2026 | 983,000 | 900,866 | ||
$1,779,529 | ||||
Major Banks – 2.3% | ||||
Australia and New Zealand Banking Group Ltd., 2.57% to 11/25/2030, FLR (CMT - 5yr. + 1.7%) to 11/25/2035 (n) | $ | 1,034,000 | $790,730 | |
Banco de Sabadell S.A., 5%, 6/07/2029 | EUR | 700,000 | 779,294 | |
Bank of America Corp., 4.134%, 6/12/2028 | 491,000 | 539,945 | ||
Bank of America Corp., 5.202% to 4/25/2033, FLR (SOFR - 1 day + 1.63%) to 4/25/2029 | $ | 1,089,000 | 1,081,636 | |
Bank of America Corp., 2.687% to 4/22/2031, FLR (SOFR - 1 day + 1.32%) to 4/22/2032 | 1,617,000 | 1,339,338 | ||
Bank of Ireland Group PLC, 5% to 7/04/2030, FLR (EUR ICE Swap Rate - 1yr. + 2.05%) to 7/04/2031 | EUR | 610,000 | 679,939 | |
Barclays Bank PLC, 8.407% to 11/14/2027, FLR (GBP Swap Rate - 5yr. + 4.75%) to 11/14/2032 | GBP | 300,000 | 394,799 | |
Barclays Bank PLC, 5.235%, 8/14/2171 | $ | 910,000 | 907,725 | |
BNP Paribas S.A., 4.25% to 4/13/2030, FLR (EURIBOR - 3mo. + 1.37%) to 4/13/2031 | EUR | 700,000 | 761,058 | |
BNP Paribas S.A., FLR, 5.285% (LIBOR - 6mo. + 0.075%), 12/31/2164 | $ | 1,670,000 | 1,544,750 | |
Capital One Financial Corp., 6.377% to 6/08/2033, FLR (SOFR - 1 day + 2.860%) to 6/08/2034 | 913,000 | 921,711 | ||
Commonwealth Bank of Australia, 2.688%, 3/11/2031 (n) | 1,471,000 | 1,159,922 | ||
Credit Agricole S.A., 4.75%, 3/23/2171 (n) | 268,000 | 218,795 | ||
Goldman Sachs Group, Inc., 2.383% to 7/21/2031, FLR (SOFR - 1 day + 1.248%) to 7/21/2032 | 893,000 | 713,552 | ||
Goldman Sachs Group, Inc., 3.436% to 2/24/2042, FLR (SOFR - 1 day + 1.632%) to 2/24/2043 | 362,000 | 276,505 | ||
HSBC Bank PLC, 5.46%, 3/18/2171 | 310,000 | 308,667 | ||
HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR - 1 day + 1.929%) to 6/04/2026 | 1,029,000 | 957,998 | ||
HSBC Holdings PLC, 4.375%, 11/23/2026 | 510,000 | 485,461 | ||
HSBC Holdings PLC, 4.856% to 5/23/2032, FLR (EURIBOR - 3mo. + 1.942%) to 5/23/2033 | EUR | 810,000 | 902,473 | |
ING Groep N.V., 6.25%, 5/20/2033 | GBP | 800,000 | 977,763 | |
JPMorgan Chase & Co., 1.47% to 9/22/2026, FLR (SOFR - 1 day + 0.765%) to 9/22/2027 | $ | 581,000 | 514,352 | |
JPMorgan Chase & Co., 1.953% to 2/04/2031, FLR (SOFR - 1 day + 1.065%) to 2/04/2032 | 1,056,000 | 840,723 | ||
JPMorgan Chase & Co., 3.109% to 4/22/2050, FLR (SOFR - 1 day + 2.44%) to 4/22/2051 | 677,000 | 476,637 | ||
mBank S.A., 0.966% to 9/21/2026, FLR (EURIBOR - 3mo. + 1.25%) to 9/21/2027 | EUR | 1,000,000 | 881,579 |
11
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
Mitsubishi UFJ Financial Group, Inc., 1.412%, 7/17/2025 | $ | 1,681,000 | $1,549,593 | |
Mitsubishi UFJ Financial Group, Inc., 2.494% to 10/13/2031, FLR (CMT - 1yr. + 0.97%) to 10/13/2032 | 484,000 | 389,394 | ||
Morgan Stanley, 3.125%, 7/27/2026 | 534,000 | 501,387 | ||
Morgan Stanley, 1.593% to 5/04/2026, FLR (SOFR - 1 day + 0.879%) to 5/04/2027 | 1,063,000 | 953,687 | ||
Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR - 1 day + 3.12%) to 4/01/2031 | 423,000 | 380,173 | ||
Morgan Stanley, 5.424% to 7/21/2033, FLR (SOFR - 1 day + 1.88%) to 7/21/2034 | 547,000 | 546,570 | ||
NatWest Group PLC, 4.771%, 2/16/2029 | EUR | 540,000 | 593,314 | |
NatWest Group PLC, 5.763% to 2/28/2029, FLR (EUR Swap Rate - 5yr. + 2.6%) to 2/28/2034 | 490,000 | 539,829 | ||
NatWest Group PLC, 4.5%, 3/31/2171 | GBP | 572,000 | 576,502 | |
Royal Bank of Canada, 4.125%, 7/05/2028 | EUR | 580,000 | 641,813 | |
Société Générale S.A., 5.625%, 6/02/2033 | 500,000 | 552,644 | ||
Standard Chartered PLC, 0.8% to 11/17/2028, FLR (EUR Swap Rate - 1yr. + 0.85%) to 11/17/2029 | 610,000 | 560,319 | ||
Standard Chartered PLC, 4.874%, 5/10/2031 | 840,000 | 924,919 | ||
Toronto-Dominion Bank, 4.108%, 6/08/2027 | $ | 884,000 | 849,266 | |
UBS Group AG, 2.746% to 2/11/2032, FLR (CMT - 1yr. + 1.1%) to 2/11/2033 (n) | 1,057,000 | 837,730 | ||
Unicaja Banco S.A., 1%, 12/01/2026 | EUR | 300,000 | 299,425 | |
Unicaja Banco S.A., 5.125% to 2/21/2028, FLR (EUR Swap Rate - 1yr. + 2.15%) to 2/21/2029 | 700,000 | 758,381 | ||
UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n) | $ | 1,030,000 | 942,740 | |
Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033 | 738,000 | 631,813 | ||
Wells Fargo & Co., 3.9%, 5/01/2045 | 316,000 | 255,602 | ||
$31,740,453 | ||||
Medical & Health Technology & Services – 0.4% | ||||
Alcon Finance Corp., 3.8%, 9/23/2049 (n) | $ | 231,000 | $178,071 | |
Becton, Dickinson and Co., 4.298%, 8/22/2032 | 326,000 | 309,809 | ||
CVS Health Corp., 5.25%, 1/30/2031 | 242,000 | 242,018 | ||
CVS Health Corp., 5.625%, 2/21/2053 | 672,000 | 660,112 | ||
HCA, Inc., 5.25%, 6/15/2026 | 369,000 | 365,672 | ||
HCA, Inc., 5.125%, 6/15/2039 | 399,000 | 368,677 | ||
Laboratory Corp. of America Holdings, 3.6%, 2/01/2025 | 589,000 | 572,097 | ||
Memorial Sloan-Kettering Cancer Center, 2.955%, 1/01/2050 | 670,000 | 460,524 | ||
New York Society for the Relief of the Ruptured & Crippled, 2.667%, 10/01/2050 | 1,300,000 | 797,783 | ||
ProMedica Toledo Hospital, “B”, AGM, 6.015%, 11/15/2048 | 590,000 | 586,341 | ||
Thermo Fisher Scientific Finance I B.V., 2%, 10/18/2051 | EUR | 630,000 | 450,391 | |
Thermo Fisher Scientific, Inc., 1.75%, 10/15/2028 | $ | 415,000 | 358,476 | |
$5,349,971 | ||||
Metals & Mining – 0.2% | ||||
Anglo American Capital PLC, 5.625%, 4/01/2030 (n) | $ | 572,000 | $571,384 | |
Anglo American Capital PLC, 4.75%, 9/21/2032 | EUR | 730,000 | 807,973 | |
Glencore Funding LLC, 2.85%, 4/27/2031 (n) | $ | 808,000 | 664,891 | |
$2,044,248 | ||||
Midstream – 0.2% | ||||
Enbridge, Inc., 5.7%, 3/08/2033 | $ | 537,000 | $544,366 | |
Energy Transfer LP, 5.55%, 2/15/2028 | 478,000 | 479,852 | ||
Galaxy Pipeline Assets Bidco Ltd., 2.16%, 3/31/2034 (n) | 971,375 | 825,816 | ||
Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 | 757,000 | 720,044 | ||
Targa Resources Corp., 4.2%, 2/01/2033 | 201,000 | 179,522 | ||
Targa Resources Corp., 4.95%, 4/15/2052 | 649,000 | 540,412 | ||
$3,290,012 | ||||
Mortgage-Backed – 4.2% | ||||
Fannie Mae, 4.5%, 3/01/2025 - 2/01/2046 | $ | 2,982,211 | $2,913,227 | |
Fannie Mae, 5.5%, 1/01/2037 | 10,785 | 11,024 | ||
Fannie Mae, 6%, 9/01/2037 - 6/01/2038 | 119,714 | 122,807 | ||
Fannie Mae, 5%, 4/01/2040 - 8/01/2040 | 816,535 | 818,097 | ||
Fannie Mae, 4%, 11/01/2040 - 2/01/2041 | 909,640 | 864,043 | ||
Fannie Mae, 3.5%, 5/01/2043 - 12/01/2046 | 1,408,366 | 1,297,953 |
12
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Fannie Mae, UMBS, 2%, 3/01/2037 - 7/01/2052 | $ | 7,035,196 | $5,801,702 | |
Fannie Mae, UMBS, 2.5%, 4/01/2037 - 5/01/2052 | 8,844,887 | 7,486,433 | ||
Fannie Mae, UMBS, 3%, 5/01/2037 - 6/01/2052 | 3,119,063 | 2,734,919 | ||
Fannie Mae, UMBS, 1.5%, 4/01/2052 | 1,043,255 | 801,993 | ||
Fannie Mae, UMBS, 3.5%, 5/01/2052 - 7/01/2052 | 43,563 | 39,533 | ||
Fannie Mae, UMBS, 4.5%, 8/01/2052 - 10/01/2052 | 1,298,904 | 1,243,546 | ||
Fannie Mae, UMBS, 5.5%, 11/01/2052 | 2,410,100 | 2,397,757 | ||
Fannie Mae, UMBS, 6%, 12/01/2052 - 6/01/2053 | 161,913 | 163,081 | ||
Freddie Mac, 1.367%, 3/25/2027 (i) | 1,523,000 | 67,347 | ||
Freddie Mac, 3.224%, 3/25/2027 | 1,500,000 | 1,418,319 | ||
Freddie Mac, 3.194%, 7/25/2027 | 3,914,000 | 3,696,563 | ||
Freddie Mac, 3.286%, 11/25/2027 | 2,576,000 | 2,424,295 | ||
Freddie Mac, 1.8%, 4/25/2030 (i) | 3,170,226 | 316,873 | ||
Freddie Mac, 1.868%, 4/25/2030 (i) | 2,614,093 | 264,293 | ||
Freddie Mac, 1.665%, 5/25/2030 (i) | 3,298,344 | 306,762 | ||
Freddie Mac, 1.798%, 5/25/2030 (i) | 7,375,798 | 737,934 | ||
Freddie Mac, 1.342%, 6/25/2030 (i) | 3,056,884 | 233,488 | ||
Freddie Mac, 1.6%, 8/25/2030 (i) | 2,713,457 | 248,939 | ||
Freddie Mac, 1.17%, 9/25/2030 (i) | 1,752,322 | 119,862 | ||
Freddie Mac, 1.081%, 11/25/2030 (i) | 3,594,105 | 231,000 | ||
Freddie Mac, 0.328%, 1/25/2031 (i) | 13,659,211 | 254,869 | ||
Freddie Mac, 0.516%, 3/25/2031 (i) | 16,735,390 | 513,028 | ||
Freddie Mac, 0.938%, 7/25/2031 (i) | 3,177,082 | 192,895 | ||
Freddie Mac, 0.536%, 9/25/2031 (i) | 13,281,588 | 444,185 | ||
Freddie Mac, 0.855%, 9/25/2031 (i) | 4,021,884 | 222,057 | ||
Freddie Mac, 0.568%, 12/25/2031 (i) | 3,294,996 | 124,230 | ||
Freddie Mac, 3.5%, 7/25/2032 | 525,000 | 480,992 | ||
Freddie Mac, 4.35%, 1/25/2033 | 202,666 | 198,108 | ||
Freddie Mac, 5.5%, 7/01/2037 | 21,093 | 21,644 | ||
Freddie Mac, 4.5%, 12/01/2039 - 5/01/2042 | 919,916 | 904,899 | ||
Freddie Mac, 5%, 7/01/2041 | 335,959 | 338,212 | ||
Freddie Mac, UMBS, 2%, 5/01/2037 - 12/01/2051 | 220,301 | 187,620 | ||
Freddie Mac, UMBS, 3.5%, 1/01/2047 | 624,704 | 575,998 | ||
Freddie Mac, UMBS, 3%, 6/01/2050 - 6/01/2052 | 1,057,877 | 928,177 | ||
Freddie Mac, UMBS, 2.5%, 10/01/2051 - 4/01/2052 | 899,498 | 760,455 | ||
Freddie Mac, UMBS, 4%, 5/01/2052 - 10/01/2052 | 1,233,211 | 1,152,428 | ||
Freddie Mac, UMBS, 4.5%, 9/01/2052 | 273,257 | 261,616 | ||
Freddie Mac, UMBS, 5.5%, 10/01/2052 | 399,315 | 397,778 | ||
Freddie Mac, UMBS, 6%, 11/01/2052 | 485,666 | 489,722 | ||
Ginnie Mae, 5%, 5/15/2040 - 4/20/2053 | 789,058 | 775,044 | ||
Ginnie Mae, 3.5%, 6/20/2043 - 11/20/2052 | 484,065 | 454,030 | ||
Ginnie Mae, 2.5%, 8/20/2051 - 5/20/2052 | 1,881,835 | 1,622,993 | ||
Ginnie Mae, 3%, 10/20/2051 - 11/20/2052 | 2,429,578 | 2,163,360 | ||
Ginnie Mae, 2%, 1/20/2052 | 857,832 | 717,371 | ||
Ginnie Mae, 4%, 7/20/2052 - 10/20/2052 | 1,439,919 | 1,355,821 | ||
Ginnie Mae, 4.5%, 9/20/2052 - 11/20/2052 | 1,440,477 | 1,385,464 | ||
Ginnie Mae, 5.5%, 2/20/2053 - 4/20/2053 | 818,925 | 814,017 | ||
Ginnie Mae, 6%, 8/20/2053 | 800,000 | 804,654 | ||
Ginnie Mae, TBA, 3.5%, 8/21/2053 - 9/21/2053 | 1,400,000 | 1,286,988 | ||
Ginnie Mae, TBA, 5.5%, 8/21/2053 | 200,000 | 198,750 | ||
Ginnie Mae, TBA, 6.5%, 9/21/2053 | 200,000 | 203,078 | ||
UMBS, TBA, 2%, 8/17/2038 | 350,000 | 309,271 | ||
$57,301,544 |
13
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Municipals – 0.7% | ||||
Colorado Housing & Finance Authority Rev., Single Family Mortgage Class I, Taxable, “D-1”, GNMA, 5%, 11/01/2047 | $ | 735,000 | $717,110 | |
Connecticut Higher Education Supplemental Loan Authority Rev. Taxable (Chesla Loan Program), “C”, 4.668%, 11/15/2034 | 1,200,000 | 1,116,007 | ||
Iowa Student Loan Liquidity Corp. Rev., Taxable, “A”, 5.08%, 12/01/2039 | 640,000 | 584,982 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “M-A”, 2.641%, 7/01/2037 | 1,235,000 | 1,085,151 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, Issue M, “A”, 4.949%, 7/01/2038 | 1,815,000 | 1,709,801 | ||
Massachusetts Housing Finance Agency, Single Family Housing Rev., Taxable, “226”, 5.562%, 12/01/2052 | 1,080,000 | 1,073,447 | ||
Michigan Finance Authority Hospital Rev., Taxable (Trinity Health Credit Group), 3.384%, 12/01/2040 | 585,000 | 464,220 | ||
Minnesota Housing Finance Agency, Residential Housing, Taxable, “G”, 4.337%, 1/01/2047 | 1,005,000 | 957,364 | ||
New Jersey Economic Development Authority State Pension Funding Rev., Taxable, “A”, NPFG, 7.425%, 2/15/2029 | 445,000 | 478,530 | ||
Oklahoma Development Finance Authority, Health System Rev., Taxable (OU Medicine Project), “C”, AGM, 4.65%, 8/15/2030 | 992,000 | 893,455 | ||
$9,080,067 | ||||
Natural Gas - Distribution – 0.1% | ||||
Boston Gas Co., 3.15%, 8/01/2027 (n) | $ | 310,000 | $282,743 | |
Engie S.A., 4.25%, 1/11/2043 | EUR | 300,000 | 331,173 | |
Infraestructura Energética Nova S.A.B. de C.V., 4.875%, 1/14/2048 | $ | 710,000 | 559,125 | |
$1,173,041 | ||||
Natural Gas - Pipeline – 0.1% | ||||
APA Infrastructure Ltd., 0.75%, 3/15/2029 | EUR | 970,000 | $873,849 | |
APA Infrastructure Ltd., 2.5%, 3/15/2036 | GBP | 1,140,000 | 974,163 | |
$1,848,012 | ||||
Oils – 0.0% | ||||
Neste Oyj, 3.875%, 3/16/2029 | EUR | 220,000 | $241,987 | |
Phillips 66, 4.875%, 11/15/2044 | $ | 300,000 | 276,477 | |
$518,464 | ||||
Other Banks & Diversified Financials – 0.8% | ||||
Arion Banki HF, 4.875%, 12/21/2024 | EUR | 850,000 | $924,490 | |
Banque Federative du Credit Mutuel S.A., 4.375%, 5/02/2030 | 700,000 | 770,674 | ||
Banque Federative du Credit Mutuel S.A., 4.125%, 6/14/2033 | 600,000 | 660,015 | ||
Belfius Bank S.A., 3.875%, 6/12/2028 | 500,000 | 548,752 | ||
BPCE S.A., 2.277% to 1/20/2031, FLR (SOFR - 1 day + 1.312%) to 1/20/2032 (n) | $ | 960,000 | 746,958 | |
BPCE S.A., 4.75% to 6/14/2033, FLR (EURIBOR - 3mo. + 1.83%) to 6/14/2034 | EUR | 400,000 | 441,432 | |
CaixaBank S.A., 6.875% to 10/25/2028, FLR (GBP Swap Rate - 5yr. + 3.7%) to 10/25/2033 | GBP | 400,000 | 493,254 | |
CaixaBank, S.A., 5% to 7/19/2028, FLR (EURIBOR - 3mo. + 1.65%) to 7/19/2029 | EUR | 500,000 | 554,105 | |
Deutsche Bank AG, 1.875% to 2/23/2027, FLR (EURIBOR - 3mo. + 1.38%) to 2/23/2028 | 200,000 | 198,262 | ||
Deutsche Bank AG, 6.125% to 12/12/2029, FLR (SONIA + 2.621%) to 12/12/2030 | GBP | 600,000 | 725,689 | |
Deutsche Bank AG, 1.375% to 2/17/2031, FLR (EURIBOR - 3mo. + 1.5%) to 2/17/2032 | EUR | 400,000 | 334,024 | |
Deutsche Bank AG, 4%, 6/24/2032 | 700,000 | 694,243 | ||
Groupe BPCE S.A., 4.5%, 3/15/2025 (n) | $ | 950,000 | 916,389 | |
Groupe des Assurances du Credit Mutuel, 1.85% to 4/21/2032, FLR (EURIBOR - 3mo. + 2.65%) to 4/21/2042 | EUR | 1,000,000 | 814,173 | |
Intesa Sanpaolo S.p.A., 4.875%, 5/19/2030 | 640,000 | 717,086 | ||
Manufacturers and Traders Trust Co., 4.7%, 1/27/2028 | $ | 650,000 | 620,962 | |
Virgin Money UK PLC, 5.125% to 12/11/2025, FLR (GBP Government Yield - 5yr. + 5.25%) to 12/11/2030 | GBP | 650,000 | 769,094 | |
$10,929,602 | ||||
Pharmaceuticals – 0.2% | ||||
Amgen, Inc., 5.25%, 3/02/2030 | $ | 268,000 | $269,755 | |
Amgen, Inc., 5.6%, 3/02/2043 | 273,000 | 271,489 | ||
Bayer AG, 4.625%, 5/26/2033 | EUR | 730,000 | 815,098 | |
Pfizer Investment Enterprises Pte. Ltd., 4.75%, 5/19/2033 | $ | 799,000 | 793,717 | |
$2,150,059 |
14
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Pollution Control – 0.1% | ||||
Waste Management, Inc., 4.625%, 2/15/2033 | $ | 907,000 | $887,410 | |
Precious Metals & Minerals – 0.1% | ||||
Northern Star Resources Ltd. Co., 6.125%, 4/11/2033 (n) | $ | 881,000 | $855,636 | |
Real Estate - Office – 0.1% | ||||
Corporate Office Property LP, REIT, 2.25%, 3/15/2026 | $ | 675,000 | $600,905 | |
Corporate Office Property LP, REIT, 2%, 1/15/2029 | 425,000 | 328,795 | ||
Corporate Office Property LP, REIT, 2.75%, 4/15/2031 | 504,000 | 387,764 | ||
$1,317,464 | ||||
Real Estate - Other – 0.2% | ||||
EPR Properties, REIT, 3.6%, 11/15/2031 | $ | 725,000 | $566,262 | |
Extra Space Storage LP, 5.5%, 7/01/2030 | 778,000 | 777,050 | ||
Lexington Realty Trust Co., 2.7%, 9/15/2030 | 677,000 | 538,199 | ||
W.P. Carey, Inc., REIT, 2.4%, 2/01/2031 | 699,000 | 562,846 | ||
$2,444,357 | ||||
Real Estate - Retail – 0.1% | ||||
Spirit Realty, LP, REIT, 3.2%, 1/15/2027 | $ | 531,000 | $479,844 | |
STORE Capital Corp., REIT, 2.7%, 12/01/2031 | 949,000 | 664,714 | ||
WEA Finance LLC, 2.875%, 1/15/2027 (n) | 800,000 | 690,846 | ||
$1,835,404 | ||||
Restaurants – 0.1% | ||||
McDonald's Corp., 4.25%, 3/07/2035 | EUR | 560,000 | $624,982 | |
Retailers – 0.1% | ||||
AutoZone, Inc., 4.75%, 8/01/2032 | $ | 558,000 | $538,583 | |
Home Depot, Inc., 4.875%, 2/15/2044 | 281,000 | 273,359 | ||
Home Depot, Inc., 3.625%, 4/15/2052 | 603,000 | 475,503 | ||
$1,287,445 | ||||
Specialty Chemicals – 0.0% | ||||
International Flavors & Fragrances, Inc., 1.832%, 10/15/2027 (n) | $ | 429,000 | $364,234 | |
Specialty Stores – 0.1% | ||||
DICK'S Sporting Goods, 3.15%, 1/15/2032 | $ | 696,000 | $565,553 | |
Supranational – 0.1% | ||||
European Stability Mechanism, 1%, 6/23/2027 | EUR | 450,000 | $456,493 | |
European Stability Mechanism, 0.5%, 3/05/2029 | 480,000 | 458,866 | ||
European Stability Mechanism, 0.01%, 10/15/2031 | 540,000 | 464,108 | ||
International Bank for Reconstruction and Development, 4.25%, 6/24/2025 | AUD | 440,000 | 294,191 | |
$1,673,658 | ||||
Telecommunications - Wireless – 0.3% | ||||
Crown Castle, Inc., REIT, 1.35%, 7/15/2025 | $ | 501,000 | $461,938 | |
Crown Castle, Inc., REIT, 4.45%, 2/15/2026 | 483,000 | 471,140 | ||
Rogers Communications, Inc., 3.8%, 3/15/2032 | 828,000 | 719,594 | ||
TDF Infrastructure S.A.S., 5.625%, 7/21/2028 | EUR | 300,000 | 330,351 | |
Tele2 AB, 3.75%, 11/22/2029 | 310,000 | 336,261 | ||
T-Mobile USA, Inc., 3.875%, 4/15/2030 | $ | 1,004,000 | 922,415 | |
Vodafone Group PLC, 3.375%, 8/08/2049 | GBP | 650,000 | 546,173 | |
Vodafone Group PLC, 5.625%, 2/10/2053 | $ | 581,000 | 564,366 | |
$4,352,238 |
15
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Telephone Services – 0.1% | ||||
A1 Towers Holding GmbH, 5.25%, 7/13/2028 | EUR | 400,000 | $449,572 | |
TELUS Corp., 2.85%, 11/13/2031 | CAD | 1,775,000 | 1,120,916 | |
$1,570,488 | ||||
Tobacco – 0.1% | ||||
B.A.T. International Finance PLC, 2.25%, 1/16/2030 | EUR | 650,000 | $598,662 | |
Philip Morris International, Inc., 5.125%, 11/17/2027 | $ | 1,077,000 | 1,079,427 | |
$1,678,089 | ||||
Transportation - Services – 0.4% | ||||
Autostrade per l'Italia S.p.A., 5.125%, 6/14/2033 | EUR | 310,000 | $343,790 | |
Autostrade per L'Italia S.p.A., 4.75%, 1/24/2031 | 730,000 | 799,877 | ||
Holding d'Infrastructures de Transport, 1.475%, 1/18/2031 | 800,000 | 715,072 | ||
Sydney Airport Finance Co. Pty Ltd., 4.375%, 5/03/2033 | 882,000 | 966,431 | ||
Transurban Finance Co. Pty Ltd., 4.225%, 4/26/2033 | 870,000 | 963,885 | ||
Triton International Ltd., 3.15%, 6/15/2031 (n) | $ | 769,000 | 592,206 | |
United Parcel Service, 5.05%, 3/03/2053 | 980,000 | 986,187 | ||
$5,367,448 | ||||
U.S. Government Agencies and Equivalents – 0.0% | ||||
Small Business Administration, 5.31%, 5/01/2027 | $ | 25,470 | $24,871 | |
U.S. Treasury Obligations – 1.2% | ||||
U.S. Treasury Bonds, 3.875%, 5/15/2043 (f) | $ | 15,833,000 | $15,135,359 | |
U.S. Treasury Bonds, 3.625%, 5/15/2053 | 1,007,000 | 940,758 | ||
$16,076,117 | ||||
Utilities - Electric Power – 1.1% | ||||
American Electric Power Co., Inc., 5.699%, 8/15/2025 | $ | 428,000 | $428,505 | |
American Electric Power Co., Inc., 2.3%, 3/01/2030 | 684,000 | 566,914 | ||
Berkshire Hathaway Energy Co., 5.15%, 11/15/2043 | 163,000 | 152,856 | ||
Berkshire Hathaway Energy Co., 4.6%, 5/01/2053 | 136,000 | 115,258 | ||
Bruce Power LP, 2.68%, 12/21/2028 | CAD | 1,600,000 | 1,072,734 | |
Duke Energy Corp., 3.75%, 9/01/2046 | $ | 515,000 | 393,086 | |
E.ON International Finance B.V., 5.875%, 10/30/2037 | GBP | 650,000 | 828,705 | |
Enel Americas S.A., 4%, 10/25/2026 | $ | 3,133,000 | 2,995,931 | |
Enel Finance International N.V., 2.25%, 7/12/2031 (n) | 580,000 | 459,091 | ||
Enel Finance International N.V., 4.5%, 2/20/2043 | EUR | 420,000 | 449,331 | |
Enel Finance International N.V., 4.75%, 5/25/2047 (n) | $ | 456,000 | 385,667 | |
Enel S.p.A., 2.25% to 3/10/2027, FLR (EUR Swap Rate - 5yr. + 2.679%) to 3/10/2032, FLR (EUR Swap Rate - 5yr. + 2.929%) to 3/10/2047, FLR (EUR Swap Rate - 5yr. + 3.679%) to 3/10/2070 | EUR | 645,000 | 623,385 | |
Enel S.p.A., 1.875%, 3/08/2170 | 685,000 | 561,132 | ||
Evergy, Inc., 2.9%, 9/15/2029 | $ | 511,000 | 446,015 | |
Florida Power & Light Co., 2.875%, 12/04/2051 | 549,000 | 373,838 | ||
Georgia Power Co., 4.95%, 5/17/2033 | 835,000 | 822,721 | ||
Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | 548,000 | 452,008 | ||
National Grid Electricity Transmission PLC, 2%, 4/17/2040 | GBP | 820,000 | 630,655 | |
National Grid PLC, 4.275%, 1/16/2035 | EUR | 390,000 | 422,424 | |
NextEra Energy Capital Holdings, Inc., 6.051%, 3/01/2025 | $ | 398,000 | 400,886 | |
Pacific Gas & Electric Co., 6.1%, 1/15/2029 | 460,000 | 457,351 | ||
Pacific Gas & Electric Co., 6.4%, 6/15/2033 | 274,000 | 275,362 | ||
PPL Electric Utilities Corp, 1st Mortgage, 5.25%, 5/15/2053 | 948,000 | 951,995 | ||
Southern Co., 1.875%, 9/15/2081 | EUR | 100,000 | 86,448 | |
Virginia Electric & Power Co., 3.5%, 3/15/2027 | $ | 575,000 | 545,366 | |
Xcel Energy, Inc., 4.6%, 6/01/2032 | 379,000 | 358,536 | ||
$15,256,200 | ||||
Total Bonds | $510,943,534 |
16
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Preferred Stocks – 0.9% | ||||
Computer Software - Systems – 0.1% | ||||
Samsung Electronics Co. Ltd. | 21,275 | $958,055 | ||
Consumer Products – 0.5% | ||||
Henkel AG & Co. KGaA | 96,735 | $7,464,354 | ||
Metals & Mining – 0.3% | ||||
Gerdau S.A. | 583,785 | $3,611,041 | ||
Total Preferred Stocks | $12,033,450 | |||
Investment Companies (h) – 1.6% | ||||
Money Market Funds – 1.6% | ||||
MFS Institutional Money Market Portfolio, 5.25% (v) | 21,632,885 | $21,632,885 | ||
Collateral for Securities Loaned – 0.0% | ||||
JPMorgan U.S. Government Money Market Fund - Class IM Shares, 5.2% (j) | 803,996 | $803,996 | ||
Other Assets, Less Liabilities – 0.3% | 4,039,187 | |||
Net Assets – 100.0% | $1,370,803,764 |
(a) | Non-income producing security. | |||
(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 $21,632,885 and $1,345,131,692, 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. | |||
(j) | The rate quoted is the annualized seven-day yield of the fund at period end. | |||
(l) | A portion of this security is on loan. | |||
(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 $74,414,988, representing 5.4% of net assets. | |||
(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. |
The following abbreviations are used in this report and are defined: | |
ADR | American Depositary Receipt |
AGM | Assured Guaranty Municipal |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
EURIBOR | Euro Interbank Offered Rate |
FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
GDR | Global Depositary Receipt |
GNMA | Government National Mortgage Assn. |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
NPFG | National Public Finance Guarantee Corp. |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
SONIA | Sterling Overnight Index Average |
TBA | To Be Announced |
UMBS | Uniform Mortgage-Backed Security |
Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below: | |
AUD | Australian Dollar |
CAD | Canadian Dollar |
CHF | Swiss Franc |
17
Portfolio of Investments (unaudited) – continued
CLP | Chilean Peso |
CNH | Chinese Yuan Renminbi (Offshore) |
CNY | China Yuan Renminbi |
COP | Colombian Peso |
CZK | Czech Koruna |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli Shekel |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PEN | Peruvian Nuevo Sol |
PLN | Polish Zloty |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thai Baht |
TWD | Taiwan Dollar |
UYU | Uruguayan Peso |
Derivative Contracts at 7/31/23 | ||||||
Forward Foreign Currency Exchange Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives | ||||||
CNH | 126,530,149 | USD | 17,772,306 | Merrill Lynch International | 10/20/2023 | $65,393 |
COP | 2,054,532,379 | USD | 492,055 | Citibank N.A. | 10/18/2023 | 20,859 |
IDR | 37,084,257,298 | USD | 2,450,232 | Citibank N.A. | 11/09/2023 | 7,527 |
KRW | 3,513,167,366 | USD | 2,752,274 | Citibank N.A. | 8/04/2023 | 4,217 |
KRW | 338,249,213 | USD | 265,954 | Morgan Stanley Capital Services, Inc. | 9/20/2023 | 178 |
TOF | 117,563,348 | USD | 3,410,352 | JPMorgan Chase Bank N.A. | 9/12/2023 | 39,017 |
TWD | 514,131 | USD | 16,473 | Citibank N.A. | 11/02/2023 | 71 |
USD | 3,173,534 | AUD | 4,643,562 | JPMorgan Chase Bank N.A. | 10/20/2023 | 45,945 |
USD | 691,359 | CZK | 14,947,554 | State Street Bank Corp. | 10/20/2023 | 5,560 |
USD | 9,475,734 | EUR | 8,399,720 | Citibank N.A. | 10/20/2023 | 203,829 |
USD | 7,593,171 | EUR | 6,839,527 | JPMorgan Chase Bank N.A. | 10/20/2023 | 43,463 |
USD | 883,217 | EUR | 787,357 | UBS AG | 10/20/2023 | 14,104 |
USD | 1,600,425 | GBP | 1,243,761 | Deutsche Bank AG | 10/20/2023 | 3,896 |
USD | 914,497 | GBP | 709,873 | Merrill Lynch International | 10/20/2023 | 3,282 |
USD | 4,799,617 | GBP | 3,719,814 | UBS AG | 10/20/2023 | 24,750 |
USD | 2,681,070 | IDR | 40,157,062,432 | Goldman Sachs International | 8/07/2023 | 18,295 |
USD | 5,658,376 | JPY | 791,401,305 | Barclays Bank PLC | 10/20/2023 | 24,873 |
USD | 4,920,411 | JPY | 684,203,993 | Morgan Stanley Capital Services, Inc. | 10/20/2023 | 49,980 |
USD | 2,476,114 | NZD | 3,881,428 | State Street Bank Corp. | 10/20/2023 | 65,206 |
USD | 19,321,964 | NZD | 30,919,496 | UBS AG | 10/20/2023 | 116,645 |
USD | 13,591,101 | SEK | 139,034,902 | Merrill Lynch International | 10/20/2023 | 333,280 |
USD | 4,284,139 | TWD | 130,773,337 | Barclays Bank PLC | 8/03/2023 | 122,393 |
USD | 3,916,492 | TWD | 119,837,996 | Citibank N.A. | 8/03/2023 | 102,754 |
$1,315,517 | ||||||
Liability Derivatives | ||||||
AUD | 3,939,974 | USD | 2,679,491 | JPMorgan Chase Bank N.A. | 10/20/2023 | $(25,792) |
AUD | 3,167,804 | USD | 2,161,655 | UBS AG | 10/20/2023 | (28,036) |
18
Portfolio of Investments (unaudited) – continued
Forward Foreign Currency Exchange Contracts − continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Liability Derivatives − continued | ||||||
CAD | 11,497,304 | USD | 8,736,701 | JPMorgan Chase Bank N.A. | 10/20/2023 | $(8,338) |
CHF | 2,610,060 | USD | 3,062,892 | State Street Bank Corp. | 10/20/2023 | (43,900) |
CLP | 230,670,610 | USD | 283,163 | Goldman Sachs International | 9/01/2023 | (9,223) |
CNH | 41,096,879 | USD | 5,795,356 | State Street Bank Corp. | 10/20/2023 | (1,687) |
CZK | 75,890,744 | USD | 3,567,508 | HSBC Bank | 10/20/2023 | (85,612) |
DKK | 7,971,326 | USD | 1,208,630 | Deutsche Bank AG | 10/20/2023 | (26,823) |
EUR | 47,142 | USD | 53,161 | Deutsche Bank AG | 10/20/2023 | (1,123) |
EUR | 4,000,360 | USD | 4,432,010 | HSBC Bank | 10/20/2023 | (16,273) |
EUR | 24,553,047 | USD | 27,699,469 | Morgan Stanley Capital Services, Inc. | 10/20/2023 | (596,957) |
EUR | 543,880 | USD | 605,295 | State Street Bank Corp. | 10/20/2023 | (4,941) |
EUR | 1,869,847 | USD | 2,100,790 | UBS AG | 10/20/2023 | (36,787) |
GBP | 2,225,837 | USD | 2,871,636 | Barclays Bank PLC | 10/20/2023 | (14,484) |
GBP | 738,210 | USD | 949,293 | Merrill Lynch International | 10/20/2023 | (1,704) |
GBP | 1,750,700 | USD | 2,254,496 | State Street Bank Corp. | 10/20/2023 | (7,245) |
HUF | 162,983,000 | USD | 477,827 | HSBC Bank | 10/20/2023 | (22,700) |
HUF | 898,036,296 | USD | 2,640,118 | UBS AG | 9/18/2023 | (117,676) |
IDR | 20,026,511,570 | USD | 1,354,424 | Barclays Bank PLC | 8/07/2023 | (26,486) |
IDR | 57,214,808,160 | USD | 3,893,753 | Merrill Lynch International | 8/07/2023 | (99,896) |
ILS | 2,118,396 | USD | 584,539 | Merrill Lynch International | 10/23/2023 | (6,439) |
JPY | 2,047,144,595 | USD | 14,967,245 | State Street Bank Corp. | 10/20/2023 | (394,871) |
JPY | 880,123,591 | USD | 6,294,024 | UBS AG | 10/20/2023 | (28,961) |
MXN | 21,990,711 | USD | 1,295,655 | Morgan Stanley Capital Services, Inc. | 10/20/2023 | (1,795) |
NOK | 3,926,036 | USD | 393,834 | Goldman Sachs International | 10/20/2023 | (5,590) |
NZD | 2,140,222 | USD | 1,331,089 | Morgan Stanley Capital Services, Inc. | 10/20/2023 | (1,713) |
NZD | 317,324 | USD | 198,364 | State Street Bank Corp. | 10/20/2023 | (1,262) |
PLN | 4,899,803 | USD | 1,229,070 | UBS AG | 10/20/2023 | (10,555) |
SEK | 42,287,508 | USD | 4,113,231 | Brown Brothers Harriman | 10/20/2023 | (80,860) |
SEK | 17,894,476 | USD | 1,725,874 | Citibank N.A. | 10/20/2023 | (19,527) |
SEK | 1,977,000 | USD | 193,208 | State Street Bank Corp. | 10/20/2023 | (4,689) |
SGD | 1,538,303 | USD | 1,168,308 | State Street Bank Corp. | 10/20/2023 | (7,006) |
TWD | 169,018,645 | USD | 5,453,531 | Barclays Bank PLC | 8/03/2023 | (74,661) |
TWD | 82,106,819 | USD | 2,617,968 | Citibank N.A. | 8/03/2023 | (4,992) |
USD | 181,188 | AUD | 270,806 | Merrill Lynch International | 10/20/2023 | (1,209) |
USD | 181,812 | CAD | 240,234 | HSBC Bank | 10/20/2023 | (566) |
USD | 2,456,074 | IDR | 37,084,257,298 | Citibank N.A. | 8/07/2023 | (2,946) |
USD | 1,375,115 | KRW | 1,777,940,816 | Citibank N.A. | 9/20/2023 | (23,757) |
USD | 26,266,183 | KRW | 34,434,309,537 | Citibank N.A. | 10/05/2023 | (848,838) |
USD | 2,767,341 | KRW | 3,513,167,366 | Citibank N.A. | 11/09/2023 | (5,265) |
USD | 2,664,599 | KRW | 3,513,167,366 | JPMorgan Chase Bank N.A. | 8/04/2023 | (91,892) |
USD | 806,279 | KRW | 1,032,360,000 | Merrill Lynch International | 9/20/2023 | (5,974) |
USD | 5,430,330 | MXN | 92,649,261 | Deutsche Bank AG | 10/20/2023 | (20,843) |
USD | 1,678,692 | THB | 57,587,528 | Barclays Bank PLC | 10/17/2023 | (16,535) |
USD | 16,334 | TWD | 514,131 | Citibank N.A. | 8/03/2023 | (27) |
$(2,836,456) |
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
Euro-Bobl 5 yr | Short | EUR | 8 | $1,019,368 | September – 2023 | $7,546 |
Euro-Bund 10 yr | Short | EUR | 34 | 4,971,939 | September – 2023 | 16,591 |
19
Portfolio of Investments (unaudited) – continued
Futures Contracts − continued | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives − continued | ||||||
Interest Rate Futures − continued | ||||||
Euro-Schatz 2 yr | Short | EUR | 111 | $12,820,775 | September – 2023 | $49,786 |
Long Gilt 10 yr | Long | GBP | 82 | 10,116,212 | September – 2023 | 85,203 |
U.S. Treasury Bond | Short | USD | 11 | 1,368,813 | September – 2023 | 29,572 |
U.S. Treasury Note 2 yr | Short | USD | 102 | 20,709,187 | September – 2023 | 180,622 |
$369,320 | ||||||
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
Canadian Treasury Bond 10 yr | Long | CAD | 112 | $10,200,736 | September – 2023 | $(300,166) |
Canadian Treasury Bond 5 yr | Long | CAD | 59 | 4,876,957 | September – 2023 | (116,065) |
Euro-BTP 10 yr | Long | EUR | 32 | 4,081,344 | September – 2023 | (43,019) |
Euro-Buxl 30 yr | Long | EUR | 30 | 4,439,121 | September – 2023 | (29,755) |
U.S. Treasury Note 10 yr | Long | USD | 215 | 23,952,344 | September – 2023 | (503,778) |
U.S. Treasury Note 5 yr | Short | USD | 81 | 8,652,445 | September – 2023 | (19,430) |
U.S. Treasury Ultra Bond | Long | USD | 18 | 2,379,937 | September – 2023 | (52,146) |
U.S. Treasury Ultra Note 10 yr | Long | USD | 51 | 5,966,203 | September – 2023 | (11,772) |
$(1,076,131) |
Uncleared Swap Agreements | ||||||||||
Maturity Date | Notional Amount | Counterparty | Cash Flows to Receive/ Frequency | Cash Flows to Pay/ Frequency | Unrealized Appreciation (Depreciation) | Net Unamortized Upfront Payments (Receipts) | Value | |||
Asset Derivatives | ||||||||||
Credit Default Swaps | ||||||||||
6/20/28 | EUR | 1,020,000 | Barclays Bank PLC | 5.00%/Quarterly | (1) | $30,971 | $146,077 | $177,048 |
(1) Fund, as protection seller, to pay notional amount upon a defined credit event by Glencore Funding LLC, 1.875%, 9/13/23, a BBB+ rated bond. The fund entered into the contract to gain issuer exposure.
The credit ratings presented here are an indicator of the current payment/performance risk of the related swap agreement, the reference obligation for which may be either a single security or, in the case of a credit default swap index, a basket of securities issued by corporate or sovereign issuers. Ratings are assigned to each reference security, including each individual security within a reference basket of securities, utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, than the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). The ratings for a credit default swap index are calculated by MFS as a weighted average of the external credit ratings of the individual securities that compose the index’s reference basket of securities.
Although contract-specific, credit events generally consist of a combination of the following: bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium, each as defined in the 2003 International Swaps and Derivatives Association (ISDA) Credit Derivatives Definitions as amended by the relevant contract. Restructuring is generally not applicable when the reference obligation is issued by a North American corporation and obligation acceleration, obligation default, or repudiation/moratorium are generally only applicable when the reference obligation is issued by a sovereign entity or an entity in an emerging country. The maximum amount of future, undiscounted payments that the fund, as protection seller, could be required to make is equal to the swap agreement’s notional amount.
At July 31, 2023, the fund had cash collateral of $1,630,000 and other liquid securities with an aggregate value of $1,974,016 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.
20
Supplemental Information
7/31/23 (unaudited)
The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies.
(1) Investment Valuations
Subject to its oversight, the fund's Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments to MFS as the fund's adviser, pursuant to the fund’s valuation policy and procedures which have been adopted by the adviser and approved by the Board. In accordance with Rule 2a-5 under the Investment Company Act of 1940, the Board of Trustees designated the adviser as the “valuation designee” of the fund. If the adviser, as valuation designee, determines that reliable market quotations are not readily available for an investment, the investment is valued at fair value as determined in good faith by the adviser in accordance with the adviser’s fair valuation policy and procedures.
Under the fund's valuation policy and procedures, 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. 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. Swap agreements are generally valued using valuations provided by a third-party pricing service, which for cleared swaps includes an evaluation of any trading activity at the clearinghouses. Open-end investment companies are generally valued at net asset value per share. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.
Under the fund’s valuation policy and procedures, market quotations are not considered to be readily available for debt instruments, floating rate loans, and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services or otherwise determined by the adviser in accordance with the adviser’s fair valuation policy and procedures. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. In determining values, third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, spreads and other market data. An investment may also be valued at fair value if the adviser determines that the investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund’s net asset value, or after the halt of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. Events that occur after foreign markets close (such as developments in foreign markets and significant movements in the U.S. markets) and prior to the determination of the fund’s net asset value may be deemed to have a material effect on the value of securities traded in foreign markets. Accordingly, the fund’s foreign equity securities may often be valued at fair value. 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).
21
Supplemental Information (unaudited) – continued
Level 3 includes significant unobservable inputs, which may include the adviser's own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts, forward foreign currency exchange contracts, and swap agreements. The following is a summary of the levels used as of July 31, 2023 in valuing the fund's assets and liabilities:
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Equity Securities: | ||||
United States | $455,911,200 | $— | $— | $455,911,200 |
United Kingdom | 61,402,804 | — | — | 61,402,804 |
Japan | 58,775,768 | — | — | 58,775,768 |
France | 51,779,292 | — | — | 51,779,292 |
Switzerland | 47,657,681 | — | — | 47,657,681 |
Germany | 27,365,270 | — | — | 27,365,270 |
Canada | 23,350,779 | — | — | 23,350,779 |
Netherlands | 16,159,020 | — | — | 16,159,020 |
South Korea | 13,541,669 | — | — | 13,541,669 |
Other Countries | 77,440,679 | — | 0 | 77,440,679 |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 16,100,988 | — | 16,100,988 |
Non - U.S. Sovereign Debt | — | 226,132,805 | — | 226,132,805 |
Municipal Bonds | — | 9,080,067 | — | 9,080,067 |
U.S. Corporate Bonds | — | 69,461,446 | — | 69,461,446 |
Residential Mortgage-Backed Securities | — | 57,301,544 | — | 57,301,544 |
Commercial Mortgage-Backed Securities | — | 13,251,843 | — | 13,251,843 |
Asset-Backed Securities (including CDOs) | — | 25,152,345 | — | 25,152,345 |
Foreign Bonds | — | 94,462,496 | — | 94,462,496 |
Mutual Funds | 22,436,881 | — | — | 22,436,881 |
Total | $855,821,043 | $510,943,534 | $0 | $1,366,764,577 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $369,320 | $— | $— | $369,320 |
Futures Contracts – Liabilities | (1,076,131) | — | — | (1,076,131) |
Forward Foreign Currency Exchange Contracts – Assets | — | 1,315,517 | — | 1,315,517 |
Forward Foreign Currency Exchange Contracts – Liabilities | — | (2,836,456) | — | (2,836,456) |
Swap Agreements – Assets | — | 177,048 | — | 177,048 |
For further information regarding security characteristics, see the Portfolio of Investments. At July 31, 2023, the fund held two level 3 securities valued at $0, which were also held and valued at $0 at October 31, 2022.
(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 | $35,384,108 | $390,655,762 | $404,408,737 | $2,984 | $(1,232) | $21,632,885 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $799,333 | $— |
22
Supplemental Information (unaudited) – continued
(3) Issuer Country Weightings
Issuer country weighting percentages of portfolio holdings based on net assets, as of July 31, 2023, are as follows:
United States | 47.7% |
Japan | 8.0% |
United Kingdom | 6.7% |
France | 5.0% |
South Korea | 3.8% |
Switzerland | 3.6% |
Canada | 3.5% |
Spain | 2.8% |
China | 2.1% |
Other Countries | 16.8% |
The issuer country weighting percentages include both accrued interest amounts and the equivalent exposure from any derivative holdings, if applicable.
(4) Russia and Ukraine Conflict
The fund invests in securities and/or derivative instruments that are economically tied to Russia and/or Ukraine. Escalation of the conflict between Russia and Ukraine in late February 2022 caused market volatility and disruption in the tradability of Russian securities, including closure of the local securities market, temporary restriction on securities sales by non-residents, and disruptions to clearance and payment systems. To the extent that the fund is unable to sell securities, whether due to market constraints or to the sanctions imposed on Russia by the United States and other countries, those securities are considered illiquid and the value of those securities reflects their illiquid classification. Management continues to monitor these events and to evaluate the related impacts on fund performance.
23