Quarterly Report
September 30, 2022
MFS® Total Return Series
MFS® Variable Insurance Trust
VTR-Q3
Portfolio of Investments
9/30/22 (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 – 55.9% | ||||
Aerospace & Defense – 2.2% | ||||
Honeywell International, Inc. | 101,918 | $17,017,248 | ||
Howmet Aerospace, Inc. | 260,723 | 8,064,162 | ||
L3Harris Technologies, Inc. | 66,073 | 13,731,952 | ||
Northrop Grumman Corp. | 15,468 | 7,274,910 | ||
$46,088,272 | ||||
Alcoholic Beverages – 0.4% | ||||
Constellation Brands, Inc., “A” | 33,310 | $7,650,641 | ||
Automotive – 1.5% | ||||
Aptiv PLC (a) | 115,367 | $9,022,853 | ||
Lear Corp. | 82,922 | 9,924,934 | ||
LKQ Corp. | 254,134 | 11,982,418 | ||
$30,930,205 | ||||
Broadcasting – 0.5% | ||||
Omnicom Group, Inc. | 128,814 | $8,126,875 | ||
Warner Bros. Discovery, Inc. (a) | 185,284 | 2,130,766 | ||
$10,257,641 | ||||
Brokerage & Asset Managers – 3.1% | ||||
Cboe Global Markets, Inc. | 67,189 | $7,885,973 | ||
Charles Schwab Corp. | 542,803 | 39,011,252 | ||
Invesco Ltd. | 392,530 | 5,377,661 | ||
NASDAQ, Inc. | 207,524 | 11,762,460 | ||
$64,037,346 | ||||
Business Services – 2.5% | ||||
Accenture PLC, “A” | 39,713 | $10,218,155 | ||
Amdocs Ltd. | 151,732 | 12,055,107 | ||
Cognizant Technology Solutions Corp., “A” | 119,203 | 6,847,020 | ||
Equifax, Inc. | 22,043 | 3,778,832 | ||
Fidelity National Information Services, Inc. | 130,386 | 9,853,270 | ||
Fiserv, Inc. (a) | 101,216 | 9,470,781 | ||
$52,223,165 | ||||
Cable TV – 1.2% | ||||
Comcast Corp., “A” | 862,936 | $25,309,913 | ||
Chemicals – 0.5% | ||||
PPG Industries, Inc. | 98,069 | $10,855,258 | ||
Computer Software – 2.2% | ||||
Microsoft Corp. | 176,105 | $41,014,854 | ||
Oracle Corp. | 77,813 | 4,752,040 | ||
$45,766,894 | ||||
Construction – 1.6% | ||||
Masco Corp. | 374,501 | $17,485,452 | ||
Stanley Black & Decker, Inc. | 123,786 | 9,309,945 | ||
Vulcan Materials Co. | 42,561 | 6,712,295 | ||
$33,507,692 | ||||
Consumer Products – 0.2% | ||||
Kimberly-Clark Corp. | 32,178 | $3,621,312 |
1
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Consumer Services – 0.2% | ||||
Booking Holdings, Inc. (a) | 1,840 | $3,023,506 | ||
Electrical Equipment – 1.0% | ||||
Johnson Controls International PLC | 401,847 | $19,778,909 | ||
Electronics – 2.3% | ||||
Applied Materials, Inc. | 101,292 | $8,298,854 | ||
Intel Corp. | 378,508 | 9,754,151 | ||
NXP Semiconductors N.V. | 81,472 | 12,017,935 | ||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 89,999 | 6,170,331 | ||
Texas Instruments, Inc. | 66,154 | 10,239,316 | ||
$46,480,587 | ||||
Energy - Independent – 2.6% | ||||
ConocoPhillips | 223,157 | $22,837,888 | ||
Hess Corp. | 153,608 | 16,741,736 | ||
Pioneer Natural Resources Co. | 65,342 | 14,148,503 | ||
$53,728,127 | ||||
Food & Beverages – 1.8% | ||||
Archer Daniels Midland Co. | 97,362 | $7,832,773 | ||
Danone S.A. | 101,939 | 4,803,048 | ||
General Mills, Inc. | 110,751 | 8,484,634 | ||
J.M. Smucker Co. | 31,568 | 4,337,759 | ||
Mondelez International, Inc. | 91,350 | 5,008,720 | ||
PepsiCo, Inc. | 35,646 | 5,819,566 | ||
$36,286,500 | ||||
General Merchandise – 0.1% | ||||
Dollar Tree, Inc. (a) | 20,781 | $2,828,294 | ||
Health Maintenance Organizations – 1.8% | ||||
Cigna Corp. | 136,055 | $37,751,181 | ||
Insurance – 3.2% | ||||
Aon PLC | 78,770 | $21,100,120 | ||
Chubb Ltd. | 106,966 | 19,454,976 | ||
Travelers Cos., Inc. | 60,140 | 9,213,448 | ||
Willis Towers Watson PLC | 77,199 | 15,512,367 | ||
$65,280,911 | ||||
Internet – 0.5% | ||||
Alphabet, Inc., “A” (a) | 110,431 | $10,562,725 | ||
Leisure & Toys – 0.3% | ||||
Electronic Arts, Inc. | 52,459 | $6,070,031 | ||
Machinery & Tools – 2.6% | ||||
Eaton Corp. PLC | 208,133 | $27,756,617 | ||
Ingersoll Rand, Inc. | 228,481 | 9,884,088 | ||
PACCAR, Inc. | 7,685 | 643,158 | ||
Regal Rexnord Corp. | 105,959 | 14,872,405 | ||
$53,156,268 | ||||
Major Banks – 6.1% | ||||
Bank of America Corp. | 813,775 | $24,576,005 | ||
Goldman Sachs Group, Inc. | 146,934 | 43,059,009 | ||
JPMorgan Chase & Co. | 310,882 | 32,487,169 |
2
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Major Banks – continued | ||||
Morgan Stanley | 200,781 | $15,863,707 | ||
PNC Financial Services Group, Inc. | 70,376 | 10,515,582 | ||
$126,501,472 | ||||
Medical & Health Technology & Services – 1.4% | ||||
ICON PLC (a) | 31,884 | $5,859,642 | ||
McKesson Corp. | 47,415 | 16,114,936 | ||
Quest Diagnostics, Inc. | 58,164 | 7,136,141 | ||
$29,110,719 | ||||
Medical Equipment – 2.5% | ||||
Becton, Dickinson and Co. | 27,504 | $6,128,716 | ||
Danaher Corp. | 74,640 | 19,278,765 | ||
Medtronic PLC | 191,737 | 15,482,763 | ||
Thermo Fisher Scientific, Inc. | 19,914 | 10,100,182 | ||
$50,990,426 | ||||
Metals & Mining – 0.2% | ||||
Rio Tinto PLC | 58,679 | $3,178,261 | ||
Other Banks & Diversified Financials – 1.7% | ||||
Northern Trust Corp. | 112,587 | $9,632,944 | ||
Truist Financial Corp. | 596,270 | 25,961,596 | ||
$35,594,540 | ||||
Pharmaceuticals – 4.6% | ||||
Bayer AG | 174,101 | $8,034,400 | ||
Johnson & Johnson | 205,079 | 33,501,705 | ||
Merck & Co., Inc. | 371,130 | 31,961,716 | ||
Organon & Co. | 162,917 | 3,812,258 | ||
Roche Holding AG | 29,431 | 9,596,244 | ||
Vertex Pharmaceuticals, Inc. (a) | 27,000 | 7,817,580 | ||
$94,723,903 | ||||
Railroad & Shipping – 1.0% | ||||
Union Pacific Corp. | 101,883 | $19,848,846 | ||
Real Estate – 0.3% | ||||
STORE Capital Corp., REIT | 222,679 | $6,976,533 | ||
Restaurants – 0.2% | ||||
Wendy's Co. | 242,350 | $4,529,522 | ||
Specialty Chemicals – 0.8% | ||||
Axalta Coating Systems Ltd. (a) | 447,038 | $9,414,620 | ||
DuPont de Nemours, Inc. | 157,771 | 7,951,659 | ||
$17,366,279 | ||||
Specialty Stores – 0.9% | ||||
Home Depot, Inc. | 9,322 | $2,572,313 | ||
Ross Stores, Inc. | 30,295 | 2,552,960 | ||
Wal-Mart Stores, Inc. | 102,985 | 13,357,154 | ||
$18,482,427 | ||||
Telecommunications - Wireless – 0.8% | ||||
T-Mobile US, Inc. (a) | 123,287 | $16,541,417 |
3
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Tobacco – 0.9% | ||||
Philip Morris International, Inc. | 221,400 | $18,378,414 | ||
Utilities - Electric Power – 2.2% | ||||
Duke Energy Corp. | 121,919 | $11,340,905 | ||
Exelon Corp. | 237,284 | 8,888,659 | ||
PG&E Corp. (a) | 871,654 | 10,895,675 | ||
Southern Co. | 214,277 | 14,570,836 | ||
$45,696,075 | ||||
Total Common Stocks | $1,153,114,212 | |||
Bonds – 41.1% | ||||
Aerospace & Defense – 0.1% | ||||
BAE Systems PLC, 3.4%, 4/15/2030 (n) | $ | 1,108,000 | $959,573 | |
Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 | 504,000 | 482,984 | ||
Raytheon Technologies Corp., 4.125%, 11/16/2028 | 1,570,000 | 1,466,865 | ||
$2,909,422 | ||||
Asset-Backed & Securitized – 6.2% | ||||
ACRES 2021-FL2 Issuer Ltd., “AS”, FLR, 4.689% (LIBOR - 1mo. + 1.75%), 1/15/2037 (n) | $ | 1,851,500 | $1,780,932 | |
Allegro CLO Ltd., 2016-1A, “BR2”, FLR, 4.062% (LIBOR - 3mo. + 1.55%), 1/15/2030 (n) | 2,407,803 | 2,304,366 | ||
Arbor Realty Trust, Inc., CLO, 2020-FL1, “AS”, FLR, 4.359% (LIBOR - 1mo. + 1.4%), 2/15/2035 (n) | 1,150,000 | 1,116,060 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “AS”, FLR, 4.017% (LIBOR - 1mo. + 1.2%), 12/15/2035 (n) | 2,115,000 | 2,040,702 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “B”, FLR, 4.417% (LIBOR - 1mo. + 1.6%), 8/15/2034 (n) | 1,807,500 | 1,680,975 | ||
Arbor Realty Trust, Inc., CLO, 2022-FL1, “B”, FLR, 4.385% (SOFR - 30 day + 2.1%), 1/15/2037 (n) | 5,076,500 | 4,911,352 | ||
AREIT 2019-CRE3 Trust, “AS”, FLR, 4.336% (LIBOR - 1mo. + 1.3%), 9/14/2036 (n) | 3,366,000 | 3,358,746 | ||
AREIT 2022-CRE6 Trust, “B”, FLR, 4.134% (SOFR - 30 day + 1.85%), 1/16/2037 (n) | 3,088,500 | 2,926,743 | ||
Bayview Financial Revolving Mortgage Loan Trust, FLR, 4.713% (LIBOR - 1mo. + 1.6%), 12/28/2040 (n) | 605,481 | 719,224 | ||
BDS 2019-FL4 Ltd., “A”, FLR, 4.039% (LIBOR - 1mo. + 1.10%), 8/15/2036 (n) | 176,491 | 176,491 | ||
BSPRT 2021-FL6 Issuer Ltd., “AS”, FLR, 4.118% (LIBOR - 1mo. + 1.3%), 3/15/2036 (n) | 4,964,000 | 4,763,822 | ||
BSPRT 2021-FL7 Issuer Ltd., “B”, FLR, 4.867% (LIBOR - 1mo. + 2.05%), 12/15/2038 (n) | 849,500 | 819,626 | ||
BSPRT 2022-FL8 Issuer Ltd., “B”, FLR, 4.335% (SOFR - 30 day + 2.05%), 2/15/2037 (n) | 1,817,000 | 1,770,542 | ||
Business Jet Securities LLC, 2021-1A, “A”, 2.162%, 4/15/2036 (n) | 1,155,432 | 1,014,415 | ||
BXMT 2021-FL4 Ltd., “AS”, FLR, 4.117% (LIBOR - 1mo. + 1.3%), 5/15/2038 (n) | 5,214,000 | 5,103,304 | ||
CHCP 2021-FL1 Ltd., “AS”, FLR, 4.336% (LIBOR - 1mo. + 1.3%) 2/15/2038 (n) | 2,203,500 | 2,148,624 | ||
Columbia Cent CLO 28 Ltd., “A-2-R”, 4.563%, 11/07/2030 (n) | 3,492,733 | 3,304,555 | ||
Commercial Mortgage Trust, 2015-LC21, “A4”, 3.708%, 7/10/2048 | 3,980,975 | 3,815,959 | ||
Credit Acceptance Auto Loan Trust, 2021-3A, “B”, 1.38%, 7/15/2030 (n) | 1,118,000 | 1,014,168 | ||
CSAIL Commercial Mortgage Trust, 2015-C2, “A4”, 3.504%, 6/15/2057 | 2,316,427 | 2,206,752 | ||
Cutwater 2015-1A Ltd., “AR”, FLR, 3.732% (LIBOR - 3mo. + 1.22%), 1/15/2029 (n) | 1,803,377 | 1,786,249 | ||
Dryden Senior Loan Fund, 2013-26A, “AR”, CLO, FLR, 3.412% (LIBOR - 3mo. + 0.9%), 4/15/2029 (n) | 1,901,508 | 1,861,251 | ||
Dryden Senior Loan Fund, 2018-55A, “A1”, CLO, FLR, 3.532% (LIBOR - 3mo. + 1.02%), 4/15/2031 (n) | 4,414,000 | 4,327,097 | ||
GMAC Mortgage Corp. Loan Trust, 5.805%, 10/25/2036 | 111,948 | 112,528 | ||
GS Mortgage Securities Trust, 2015-GC30, “A4”, 3.382%, 5/10/2050 | 4,243,101 | 4,036,902 | ||
JPMBB Commercial Mortgage Securities Trust, 2014-C26, “A4”, 3.494%, 1/15/2048 | 4,880,000 | 4,693,323 | ||
JPMBB Commercial Mortgage Securities Trust, 2015-C28, “A4”, 3.227%, 10/15/2048 | 3,256,792 | 3,091,795 | ||
LCCM 2021-FL2 Trust, “B”, FLR, 4.718% (LIBOR - 1mo. + 1.9%), 12/13/2038 (n) | 2,562,000 | 2,482,381 | ||
LoanCore 2021-CRE5 Ltd., “AS”, FLR, 4.567% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | 5,288,000 | 5,089,876 | ||
MF1 2020-FL4 Ltd., “A”, FLR, 4.66% (LIBOR - 1mo. + 1.7%), 11/15/2035 (n) | 1,231,738 | 1,225,825 | ||
MF1 2021-FL5 Ltd., “AS”, FLR, 4.159% (LIBOR - 1mo. + 1.2%), 7/15/2036 (n) | 5,459,500 | 5,308,250 | ||
MF1 2022-FL8 Ltd., “B”, FLR, 4.234% (SOFR - 30 day + 1.95%), 2/19/2037 (n) | 2,251,053 | 2,151,672 | ||
MidOcean Credit CLO, 2013-2A, “BR”, FLR, 4.456% (LIBOR - 3mo. + 1.65%), 1/29/2030 (n) | 3,932,725 | 3,747,034 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C34, “A4”, 3.536%, 11/15/2052 | 1,600,004 | 1,472,937 | ||
Neuberger Berman CLO Ltd., 2013-15A, “BR2”, FLR, 3.862% (LIBOR - 3mo. + 1.35%), 10/15/2029 (n) | 1,750,540 | 1,654,586 | ||
Neuberger Berman CLO Ltd., 2015-20A, “ARR”, FLR, 3.672% (LIBOR - 3mo. + 1.16%), 7/15/2034 (n) | 1,900,000 | 1,815,410 | ||
Oaktree CLO 2019-1A Ltd., “BR”, FLR, 4.509% (LIBOR - 3mo. + 1.75%), 4/22/2030 (n) | 5,195,227 | 4,869,995 | ||
PFP III 2021-7 Ltd., “AS”, FLR, 3.967% (LIBOR - 1mo. + 1.15%), 4/14/2038 (n) | 3,912,305 | 3,745,159 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL5, “A”, FLR, 4.084% (LIBOR - 1mo. + 1%), 4/25/2038 (z) | 2,552,727 | 2,466,805 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL7, “B”, FLR, 4.884% (LIBOR - 1mo. + 1.8%), 11/25/2036 (z) | 1,130,000 | 1,072,240 |
4
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Residential Funding Mortgage Securities, Inc., 4.352%, 12/25/2035 | $ | 63,221 | $62,946 | |
Santander Drive Auto Receivables Trust, 2022-6, “A2”, 4.37%, 5/15/2025 | 449,000 | 447,398 | ||
Santander Retail Auto Lease Trust, 2020-A, “B”, 1.88%, 3/20/2024 (n) | 1,631,000 | 1,622,703 | ||
Starwood Commercial Mortgage, 2022-FL3, “AS”, FLR, 4.085% (SOFR - 30 day + 1.8%), 11/15/2038 (n) | 5,210,500 | 4,986,613 | ||
TPG Real Estate Finance, 2021-FL4, “A”, FLR, 4.139% (LIBOR - 1mo. + 1.2%), 3/15/2038 (n) | 5,181,500 | 5,068,238 | ||
UBS Commercial Mortgage Trust, 2019-C17, “A4”, 2.921%, 9/15/2052 | 2,461,404 | 2,083,333 | ||
Verizon Owner Trust, 2020-A, “B”, 1.98%, 7/22/2024 | 2,616,000 | 2,576,319 | ||
Voya CLO 2012-4A Ltd., “A2R3”, FLR, 3.962% (LIBOR - 3mo. + 1.45%), 10/15/2030 (n) | 2,010,166 | 1,882,848 | ||
Wells Fargo Commercial Mortgage Trust, 2015-C28, “A4”, 3.54%, 5/15/2048 | 4,315,766 | 4,118,293 | ||
$126,837,364 | ||||
Automotive – 0.5% | ||||
General Motors Co., 6.75%, 4/01/2046 | $ | 846,000 | $770,291 | |
Hyundai Capital America, 2.65%, 2/10/2025 (n) | 804,000 | 749,195 | ||
Hyundai Capital America, 3%, 2/10/2027 (n) | 1,389,000 | 1,233,476 | ||
Lear Corp., 4.25%, 5/15/2029 | 656,000 | 578,253 | ||
Magna International, Inc., 2.45%, 6/15/2030 | 1,902,000 | 1,540,192 | ||
Stellantis N.V., 2.691%, 9/15/2031 (n) | 2,944,000 | 2,100,419 | ||
Volkswagen Group of America Finance LLC, 3.35%, 5/13/2025 (n) | 3,607,000 | 3,421,320 | ||
$10,393,146 | ||||
Broadcasting – 0.3% | ||||
Magallanes, Inc., 5.05%, 3/15/2042 (n) | $ | 1,937,000 | $1,449,348 | |
Magallanes, Inc., 5.141%, 3/15/2052 (n) | 1,692,000 | 1,229,777 | ||
Walt Disney Co., 3.5%, 5/13/2040 | 3,478,000 | 2,685,863 | ||
$5,364,988 | ||||
Brokerage & Asset Managers – 0.2% | ||||
Intercontinental Exchange, Inc., 2.1%, 6/15/2030 | $ | 2,155,000 | $1,714,296 | |
Morgan Stanley Domestic Holdings, Inc., 4.5%, 6/20/2028 | 975,000 | 926,953 | ||
Raymond James Financial, Inc., 4.95%, 7/15/2046 | 2,057,000 | 1,812,581 | ||
$4,453,830 | ||||
Building – 0.2% | ||||
Martin Marietta Materials, Inc., 2.5%, 3/15/2030 | $ | 190,000 | $152,610 | |
Masco Corp., 2%, 2/15/2031 | 3,622,000 | 2,712,776 | ||
Vulcan Materials Co., 3.5%, 6/01/2030 | 380,000 | 325,037 | ||
$3,190,423 | ||||
Business Services – 0.6% | ||||
Equinix, Inc., 2.625%, 11/18/2024 | $ | 2,863,000 | $2,709,460 | |
Equinix, Inc., 1.8%, 7/15/2027 | 1,829,000 | 1,528,433 | ||
Experian Finance PLC, 4.25%, 2/01/2029 (n) | 1,450,000 | 1,314,799 | ||
Fiserv, Inc., 2.65%, 6/01/2030 | 730,000 | 591,849 | ||
Global Payments, Inc., 1.2%, 3/01/2026 | 2,011,000 | 1,730,757 | ||
Global Payments, Inc., 2.9%, 11/15/2031 | 1,699,000 | 1,299,004 | ||
RELX Capital, Inc., 3%, 5/22/2030 | 620,000 | 523,075 | ||
Verisk Analytics, Inc., 4.125%, 3/15/2029 | 1,857,000 | 1,693,974 | ||
$11,391,351 | ||||
Cable TV – 0.4% | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | $ | 1,053,000 | $965,668 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.5%, 6/01/2041 | 2,122,000 | 1,356,039 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.375%, 5/01/2047 | 430,000 | 332,619 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.25%, 4/01/2053 | 1,734,000 | 1,327,820 | ||
Cox Communications, Inc., 1.8%, 10/01/2030 (n) | 1,333,000 | 983,528 | ||
Time Warner Entertainment Co. LP, 8.375%, 7/15/2033 | 2,526,000 | 2,694,630 | ||
$7,660,304 |
5
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Chemicals – 0.1% | ||||
RPM International, Inc., 2.95%, 1/15/2032 | $ | 1,427,000 | $1,098,254 | |
Sherwin-Williams Co., 2.3%, 5/15/2030 | 1,542,000 | 1,231,640 | ||
$2,329,894 | ||||
Conglomerates – 0.3% | ||||
Carrier Global Corp., 3.377%, 4/05/2040 | $ | 3,222,000 | $2,329,368 | |
Roper Technologies, Inc., 4.2%, 9/15/2028 | 675,000 | 630,475 | ||
Roper Technologies, Inc., 2.95%, 9/15/2029 | 411,000 | 346,001 | ||
Roper Technologies, Inc., 2%, 6/30/2030 | 1,302,000 | 996,892 | ||
Westinghouse Air Brake Technologies Corp., 3.2%, 6/15/2025 | 808,000 | 753,177 | ||
Westinghouse Air Brake Technologies Corp., 4.95%, 9/15/2028 | 2,112,000 | 1,952,293 | ||
$7,008,206 | ||||
Consumer Products – 0.1% | ||||
GSK Consumer Healthcare Capital US LLC, 3.375%, 3/24/2029 (n) | $ | 1,861,000 | $1,621,949 | |
Consumer Services – 0.1% | ||||
Booking Holdings, Inc., 4.625%, 4/13/2030 | $ | 1,430,000 | $1,343,964 | |
Electrical Equipment – 0.1% | ||||
Arrow Electronics, Inc., 2.95%, 2/15/2032 | $ | 2,690,000 | $2,045,994 | |
Electronics – 0.4% | ||||
Broadcom, Inc., 4.15%, 11/15/2030 | $ | 505,000 | $437,100 | |
Broadcom, Inc., 4.3%, 11/15/2032 | 1,329,000 | 1,115,875 | ||
Broadcom, Inc., 3.469%, 4/15/2034 (n) | 1,184,000 | 888,301 | ||
Broadcom, Inc., 3.187%, 11/15/2036 (n) | 2,359,000 | 1,613,429 | ||
Broadcom, Inc., 4.926%, 5/15/2037 (n) | 683,000 | 563,182 | ||
NXP B.V./NXP Funding LLC/NXP USA, Inc., 2.5%, 5/11/2031 | 2,212,000 | 1,662,333 | ||
NXP B.V./NXP Funding LLC/NXP USA, Inc., 3.25%, 5/11/2041 | 1,896,000 | 1,243,512 | ||
$7,523,732 | ||||
Energy - Integrated – 0.3% | ||||
BP Capital Markets America, Inc., 2.721%, 1/12/2032 | $ | 4,182,000 | $3,397,447 | |
Eni S.p.A., 4.75%, 9/12/2028 (n) | 3,564,000 | 3,356,618 | ||
$6,754,065 | ||||
Financial Institutions – 0.6% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.875%, 1/16/2024 | $ | 362,000 | $356,125 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, 10/29/2026 | 4,225,000 | 3,564,238 | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.65%, 7/21/2027 | 2,329,000 | 2,033,859 | ||
Air Lease Corp., 2.2%, 1/15/2027 | 1,394,000 | 1,180,272 | ||
Air Lease Corp., 2.875%, 1/15/2032 | 1,830,000 | 1,379,282 | ||
Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 682,000 | 610,080 | ||
Avolon Holdings Funding Ltd., 3.25%, 2/15/2027 (n) | 2,183,000 | 1,828,141 | ||
Avolon Holdings Funding Ltd., 2.528%, 11/18/2027 (n) | 1,821,000 | 1,424,514 | ||
Park Aerospace Holdings Ltd., 5.5%, 2/15/2024 (n) | 639,000 | 625,517 | ||
$13,002,028 | ||||
Food & Beverages – 0.4% | ||||
Anheuser-Busch InBev S.A., 8%, 11/15/2039 | $ | 2,950,000 | $3,509,194 | |
Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038 | 737,000 | 629,288 | ||
Constellation Brands, Inc., 3.5%, 5/09/2027 | 1,544,000 | 1,426,821 | ||
Diageo Capital PLC, 2.375%, 10/24/2029 | 2,618,000 | 2,189,446 | ||
Keurig Dr Pepper, Inc., 3.2%, 5/01/2030 | 304,000 | 258,645 | ||
$8,013,394 |
6
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Gaming & Lodging – 0.3% | ||||
GLP Capital LP/GLP Financing II, Inc., 5.3%, 1/15/2029 | $ | 1,593,000 | $1,451,951 | |
Las Vegas Sands Corp., 3.9%, 8/08/2029 | 783,000 | 647,367 | ||
Marriott International, Inc., 4%, 4/15/2028 | 1,731,000 | 1,567,414 | ||
Marriott International, Inc., 4.625%, 6/15/2030 | 1,979,000 | 1,788,383 | ||
Marriott International, Inc., 2.85%, 4/15/2031 | 7,000 | 5,496 | ||
Marriott International, Inc., 2.75%, 10/15/2033 | 1,600,000 | 1,161,433 | ||
$6,622,044 | ||||
Insurance – 0.4% | ||||
AIA Group Ltd., 3.375%, 4/07/2030 (n) | $ | 2,338,000 | $2,076,330 | |
Corebridge Financial, Inc., 3.9%, 4/05/2032 (n) | 3,078,000 | 2,598,045 | ||
Metropolitan Life Global Funding I, 3.3%, 3/21/2029 (n) | 4,200,000 | 3,707,614 | ||
$8,381,989 | ||||
Insurance - Health – 0.1% | ||||
Humana, Inc., 3.7%, 3/23/2029 | $ | 1,850,000 | $1,658,990 | |
Insurance - Property & Casualty – 0.4% | ||||
Aon Corp., 3.75%, 5/02/2029 | $ | 4,102,000 | $3,689,600 | |
Aon Corp./Aon Global Holdings PLC, 2.6%, 12/02/2031 | 172,000 | 134,482 | ||
Brown & Brown, Inc., 4.2%, 3/17/2032 | 2,124,000 | 1,815,856 | ||
Fairfax Financial Holdings Ltd., 5.625%, 8/16/2032 (n) | 3,006,000 | 2,771,621 | ||
Liberty Mutual Group, Inc., 3.951%, 10/15/2050 (n) | 1,087,000 | 731,355 | ||
$9,142,914 | ||||
International Market Quasi-Sovereign – 0.3% | ||||
Temasek Financial I Ltd. (Republic of Singapore), 2.375%, 1/23/2023 (n) | $ | 6,400,000 | $6,361,728 | |
Machinery & Tools – 0.2% | ||||
Ashtead Capital, Inc., 5.5%, 8/11/2032 (n) | $ | 2,832,000 | $2,628,421 | |
CNH Industrial Capital LLC, 4.2%, 1/15/2024 | 1,679,000 | 1,653,780 | ||
CNH Industrial Capital LLC, 1.875%, 1/15/2026 | 448,000 | 398,908 | ||
$4,681,109 | ||||
Major Banks – 2.5% | ||||
Bank of America Corp., 3.366% to 1/23/2025, FLR (LIBOR - 3mo. + 0.81%) to 1/23/2026 | $ | 1,626,000 | $1,540,619 | |
Bank of America Corp., 3.5%, 4/19/2026 | 1,361,000 | 1,278,532 | ||
Bank of America Corp., 2.572% to 10/20/2031, FLR (SOFR + 1.21%) to 10/20/2032 | 3,452,000 | 2,640,187 | ||
Barclays PLC, 2.894% to 11/24/2031, FLR (CMT - 1yr. + 1.3%) to 11/24/2032 | 877,000 | 634,037 | ||
Capital One Financial Corp., 3.75%, 3/09/2027 | 1,728,000 | 1,590,797 | ||
Capital One Financial Corp., 3.273% to 3/01/2029, FLR (SOFR - 1 day + 1.79%) to 3/01/2030 | 3,742,000 | 3,128,807 | ||
Credit Suisse Group AG, 3.091% to 5/14/2031, FLR (SOFR - 1 day + 1.73%) to 5/14/2032 (n) | 1,258,000 | 883,163 | ||
Deutsche Bank AG, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027 | 880,000 | 713,824 | ||
Goldman Sachs Group, Inc., 2.6%, 2/07/2030 | 2,258,000 | 1,820,797 | ||
Goldman Sachs Group, Inc., 2.383% to 7/21/2031, FLR (SOFR - 1 day + 1.248%) to 7/21/2032 | 2,831,000 | 2,134,534 | ||
HSBC Holdings PLC, 4.7% to 9/09/2031, FLR (CMT - 1yr. + 3.25%) to 9/09/2169 | 922,000 | 654,774 | ||
HSBC Holdings PLC, 4% to 9/09/2026, FLR (CMT - 1yr. + 3.222%) to 9/09/2170 | 442,000 | 353,600 | ||
JPMorgan Chase & Co., 3.782% to 2/01/2027, FLR (LIBOR - 3mo. + 1.337%) to 2/01/2028 | 3,163,000 | 2,899,945 | ||
JPMorgan Chase & Co., 2.739% to 10/15/2029, FLR (SOFR - 1 day + 1.51%) to 10/15/2030 | 897,000 | 729,342 | ||
JPMorgan Chase & Co., 2.956% to 5/13/2030, FLR (SOFR - 1 day + 2.515%) to 5/13/2031 | 476,000 | 377,038 | ||
JPMorgan Chase & Co., 2.545% to 11/08/2031, FLR (SOFR - 1 day + 1.18%) to 11/08/2032 | 4,631,000 | 3,514,073 | ||
JPMorgan Chase & Co., 2.963% to 1/25/2032, FLR (SOFR - 1 day + 1.26%) to 1/25/2033 | 1,781,000 | 1,400,017 | ||
JPMorgan Chase & Co., 3.897% to 1/23/2048, FLR (LIBOR - 3mo. + 1.22%) to 1/23/2049 | 938,000 | 694,573 | ||
Mitsubishi UFJ Financial Group, Inc., 2.852% to 1/19/2032, FLR (CMT - 1yr. + 1.1%) to 1/19/2033 | 2,674,000 | 2,072,089 | ||
Morgan Stanley, 3.875%, 4/29/2024 | 522,000 | 512,453 | ||
Morgan Stanley, 4%, 7/23/2025 | 1,063,000 | 1,028,873 | ||
Morgan Stanley, 2.699% to 1/22/2030, FLR (SOFR - 1 day + 1.143%) to 1/22/2031 | 2,483,000 | 2,013,143 | ||
Morgan Stanley, 2.943% to 1/21/2032, FLR (SOFR - 1 day + 1.29%) to 1/21/2033 | 3,130,000 | 2,474,463 | ||
Royal Bank of Canada, 1.15%, 6/10/2025 | 2,774,000 | 2,503,203 |
7
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
State Street Corp., 2.901% to 3/30/2025, FLR (SOFR + 2.6%) to 3/30/2026 | $ | 344,000 | $324,704 | |
Sumitomo Mitsui Financial Group, Inc., 2.472%, 1/14/2029 | 5,230,000 | 4,290,590 | ||
UBS Group AG, 2.095% to 2/11/2031, FLR (CMT - 1yr. + 1.0%) to 2/11/2032 (n) | 6,416,000 | 4,662,940 | ||
Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033 | 5,150,000 | 4,176,486 | ||
$51,047,603 | ||||
Medical & Health Technology & Services – 0.3% | ||||
Alcon, Inc., 2.6%, 5/27/2030 (n) | $ | 302,000 | $243,642 | |
Cigna Corp., 3.2%, 3/15/2040 | 474,000 | 340,753 | ||
HCA Healthcare, Inc., 4.375%, 3/15/2042 (n) | 1,202,000 | 898,320 | ||
HCA, Inc., 4.125%, 6/15/2029 | 1,809,000 | 1,586,475 | ||
HCA, Inc., 5.125%, 6/15/2039 | 1,932,000 | 1,621,282 | ||
Laboratory Corp. of America Holdings, 4.7%, 2/01/2045 | 980,000 | 810,047 | ||
Northwell Healthcare, Inc., 3.979%, 11/01/2046 | 153,000 | 119,239 | ||
Northwell Healthcare, Inc., 4.26%, 11/01/2047 | 1,205,000 | 964,472 | ||
$6,584,230 | ||||
Medical Equipment – 0.1% | ||||
Boston Scientific Corp., 2.65%, 6/01/2030 | $ | 1,590,000 | $1,319,282 | |
Metals & Mining – 0.4% | ||||
Anglo American Capital PLC, 3.875%, 3/16/2029 (n) | $ | 496,000 | $426,220 | |
Anglo American Capital PLC, 5.625%, 4/01/2030 (n) | 1,394,000 | 1,318,857 | ||
Anglo American Capital PLC, 2.625%, 9/10/2030 (n) | 4,564,000 | 3,513,078 | ||
Glencore Funding LLC, 4.125%, 5/30/2023 (n) | 1,244,000 | 1,236,113 | ||
Glencore Funding LLC, 2.5%, 9/01/2030 (n) | 1,695,000 | 1,296,213 | ||
Glencore Funding LLC, 2.85%, 4/27/2031 (n) | 709,000 | 548,550 | ||
$8,339,031 | ||||
Midstream – 0.4% | ||||
Cheniere Corpus Christi Holdings LLC, 3.7%, 11/15/2029 | $ | 1,833,000 | $1,589,606 | |
Enbridge, Inc., 2.5%, 1/15/2025 | 969,000 | 909,777 | ||
Kinder Morgan Energy Partners LP, 4.15%, 2/01/2024 | 1,030,000 | 1,015,967 | ||
ONEOK, Inc., 4.95%, 7/13/2047 | 2,331,000 | 1,793,803 | ||
Plains All American Pipeline LP, 3.8%, 9/15/2030 | 1,881,000 | 1,577,241 | ||
Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | 512,000 | 466,416 | ||
Spectra Energy Partners LP, 3.375%, 10/15/2026 | 828,000 | 763,841 | ||
Targa Resources Corp., 4.2%, 2/01/2033 | 746,000 | 621,267 | ||
$8,737,918 | ||||
Mortgage-Backed – 11.9% | ||||
Fannie Mae, 5%, 12/01/2023 - 3/01/2041 | $ | 1,813,758 | $1,823,232 | |
Fannie Mae, 3%, 11/01/2028 - 9/01/2046 | 3,371,748 | 3,142,854 | ||
Fannie Mae, 6.5%, 6/01/2031 - 7/01/2037 | 738,813 | 765,133 | ||
Fannie Mae, 2.5%, 11/01/2031 | 67,308 | 62,306 | ||
Fannie Mae, 5.5%, 2/01/2033 - 4/01/2040 | 4,413,884 | 4,473,770 | ||
Fannie Mae, 3%, 2/25/2033 (i) | 318,537 | 29,771 | ||
Fannie Mae, 4.5%, 8/01/2033 - 6/01/2044 | 3,999,904 | 3,913,711 | ||
Fannie Mae, 6%, 1/01/2034 - 7/01/2037 | 2,489,305 | 2,564,309 | ||
Fannie Mae, 3.5%, 4/01/2038 - 7/01/2046 | 10,676,751 | 9,807,668 | ||
Fannie Mae, 3.25%, 5/25/2040 | 100,929 | 94,191 | ||
Fannie Mae, 4%, 9/01/2040 - 6/01/2047 | 7,389,710 | 7,041,215 | ||
Fannie Mae, 2%, 10/25/2040 - 4/25/2046 | 283,783 | 263,204 | ||
Fannie Mae, 4%, 7/25/2046 (i) | 319,449 | 61,093 | ||
Fannie Mae, UMBS, 2%, 4/01/2037 - 9/01/2052 | 24,854,242 | 20,651,261 | ||
Fannie Mae, UMBS, 2.5%, 5/01/2037 - 8/01/2052 | 37,039,785 | 31,271,879 | ||
Fannie Mae, UMBS, 1.5%, 2/01/2042 | 144,971 | 115,461 | ||
Fannie Mae, UMBS, 3%, 6/01/2051 - 1/01/2052 | 4,166,499 | 3,657,486 | ||
Fannie Mae, UMBS, 3.5%, 5/01/2052 | 615,920 | 555,019 |
8
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Fannie Mae, UMBS, 4.5%, 7/01/2052 - 10/01/2052 | $ | 4,275,001 | $4,084,086 | |
Fannie Mae, UMBS, 5%, 9/01/2052 | 1,999,802 | 1,950,187 | ||
Freddie Mac, 2.51%, 11/25/2022 | 935,981 | 933,906 | ||
Freddie Mac, 3.111%, 2/25/2023 | 1,853,651 | 1,847,464 | ||
Freddie Mac, 3.32%, 2/25/2023 | 693,646 | 691,118 | ||
Freddie Mac, 3.25%, 4/25/2023 - 11/25/2061 | 2,945,282 | 2,874,487 | ||
Freddie Mac, 3.06%, 7/25/2023 | 175,000 | 173,173 | ||
Freddie Mac, 3.458%, 8/25/2023 | 1,628,422 | 1,614,368 | ||
Freddie Mac, 1.043%, 4/25/2024 (i) | 4,048,544 | 46,094 | ||
Freddie Mac, 0.623%, 7/25/2024 (i) | 14,179,000 | 127,775 | ||
Freddie Mac, 0.714%, 7/25/2024 (i) | 4,549,892 | 34,147 | ||
Freddie Mac, 4.5%, 8/01/2024 - 5/01/2042 | 724,757 | 711,211 | ||
Freddie Mac, 0.433%, 8/25/2024 (i) | 15,246,000 | 123,874 | ||
Freddie Mac, 0.503%, 8/25/2024 (i) | 24,946,851 | 176,472 | ||
Freddie Mac, 3.064%, 8/25/2024 | 777,174 | 757,331 | ||
Freddie Mac, 0.469%, 10/25/2024 (i) | 18,283,146 | 97,056 | ||
Freddie Mac, 3.171%, 10/25/2024 | 1,304,000 | 1,267,466 | ||
Freddie Mac, 0.399%, 11/25/2024 (i) | 15,385,000 | 84,054 | ||
Freddie Mac, 2.67%, 12/25/2024 | 1,561,000 | 1,499,145 | ||
Freddie Mac, 3.329%, 5/25/2025 | 2,610,000 | 2,526,054 | ||
Freddie Mac, 3.01%, 7/25/2025 | 423,000 | 405,361 | ||
Freddie Mac, 0.775%, 6/25/2027 (i) | 13,682,000 | 377,384 | ||
Freddie Mac, 0.887%, 6/25/2027 (i) | 4,628,679 | 131,278 | ||
Freddie Mac, 0.709%, 7/25/2027 (i) | 11,882,617 | 270,958 | ||
Freddie Mac, 0.459%, 8/25/2027 (i) | 9,650,000 | 149,384 | ||
Freddie Mac, 0.557%, 8/25/2027 (i) | 6,546,959 | 115,108 | ||
Freddie Mac, 0.406%, 9/25/2027 (i) | 10,419,000 | 141,836 | ||
Freddie Mac, 0.324%, 11/25/2027 (i) | 16,290,000 | 164,891 | ||
Freddie Mac, 0.416%, 11/25/2027 (i) | 11,529,597 | 141,920 | ||
Freddie Mac, 0.458%, 11/25/2027 (i) | 10,304,468 | 148,171 | ||
Freddie Mac, 0.375%, 12/25/2027 (i) | 10,109,000 | 125,823 | ||
Freddie Mac, 0.415%, 12/25/2027 (i) | 11,210,000 | 163,857 | ||
Freddie Mac, 0.493%, 12/25/2027 (i) | 17,595,041 | 283,775 | ||
Freddie Mac, 1.218%, 7/25/2029 (i) | 827,769 | 48,867 | ||
Freddie Mac, 1.268%, 8/25/2029 (i) | 5,198,283 | 320,802 | ||
Freddie Mac, 1.916%, 4/25/2030 (i) | 900,000 | 97,326 | ||
Freddie Mac, 1.985%, 4/25/2030 (i) | 2,701,417 | 303,359 | ||
Freddie Mac, 1.766%, 5/25/2030 (i) | 1,301,002 | 132,294 | ||
Freddie Mac, 1.905%, 5/25/2030 (i) | 3,334,078 | 364,741 | ||
Freddie Mac, 1.436%, 6/25/2030 (i) | 1,327,631 | 111,217 | ||
Freddie Mac, 1.703%, 8/25/2030 (i) | 1,191,673 | 119,081 | ||
Freddie Mac, 1.262%, 9/25/2030 (i) | 775,587 | 58,000 | ||
Freddie Mac, 1.172%, 11/25/2030 (i) | 1,356,411 | 95,327 | ||
Freddie Mac, 0.421%, 1/25/2031 (i) | 5,325,871 | 110,468 | ||
Freddie Mac, 0.873%, 1/25/2031 (i) | 2,233,850 | 116,446 | ||
Freddie Mac, 1.026%, 1/25/2031 (i) | 1,493,151 | 92,360 | ||
Freddie Mac, 0.612%, 3/25/2031 (i) | 4,291,917 | 143,295 | ||
Freddie Mac, 0.828%, 3/25/2031 (i) | 1,837,683 | 91,976 | ||
Freddie Mac, 1.333%, 5/25/2031 (i) | 822,353 | 67,869 | ||
Freddie Mac, 1.039%, 7/25/2031 (i) | 1,237,840 | 81,444 | ||
Freddie Mac, 0.607%, 8/25/2031 (i) | 1,665,166 | 58,707 | ||
Freddie Mac, 0.632%, 9/25/2031 (i) | 5,442,448 | 197,441 | ||
Freddie Mac, 0.955%, 9/25/2031 (i) | 1,567,181 | 94,486 | ||
Freddie Mac, 0.441%, 11/25/2031 (i) | 8,030,040 | 211,404 | ||
Freddie Mac, 0.597%, 12/25/2031 (i) | 7,179,988 | 261,009 | ||
Freddie Mac, 0.664%, 12/25/2031 (i) | 12,162,189 | 496,018 | ||
Freddie Mac, 0.436%, 11/25/2032 (i) | 8,482,367 | 182,563 | ||
Freddie Mac, 5%, 9/01/2033 - 1/15/2040 | 977,111 | 983,006 | ||
Freddie Mac, 5.5%, 12/01/2033 - 2/01/2037 | 696,905 | 708,570 |
9
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Freddie Mac, 6%, 4/01/2034 - 6/01/2037 | $ | 902,102 | $934,823 | |
Freddie Mac, 6.5%, 5/01/2034 - 7/01/2037 | 435,375 | 450,001 | ||
Freddie Mac, 5.5%, 2/15/2036 (i) | 60,481 | 10,162 | ||
Freddie Mac, 4%, 8/01/2037 - 4/01/2044 | 2,447,408 | 2,331,276 | ||
Freddie Mac, 3.5%, 11/01/2037 - 10/25/2058 | 6,678,988 | 6,164,921 | ||
Freddie Mac, 3%, 1/01/2038 - 2/25/2059 | 9,257,547 | 8,303,378 | ||
Freddie Mac, 4.5%, 12/15/2040 (i) | 47,933 | 4,380 | ||
Freddie Mac, 4%, 8/15/2044 (i) | 66,216 | 8,318 | ||
Freddie Mac, UMBS, 2%, 12/01/2031 - 8/01/2052 | 33,285,508 | 27,445,948 | ||
Freddie Mac, UMBS, 6.5%, 10/01/2034 | 25,135 | 26,023 | ||
Freddie Mac, UMBS, 5%, 10/01/2035 - 8/01/2052 | 650,239 | 639,175 | ||
Freddie Mac, UMBS, 6%, 1/01/2036 - 3/01/2036 | 68,143 | 69,391 | ||
Freddie Mac, UMBS, 2.5%, 5/01/2037 - 8/01/2052 | 11,866,017 | 10,033,057 | ||
Freddie Mac, UMBS, 3.5%, 12/01/2046 - 9/01/2052 | 2,906,118 | 2,632,962 | ||
Freddie Mac, UMBS, 3%, 7/01/2047 - 1/01/2052 | 1,540,494 | 1,350,296 | ||
Freddie Mac, UMBS, 4%, 8/01/2047 - 5/01/2052 | 1,557,394 | 1,460,917 | ||
Ginnie Mae, 6%, 9/15/2032 - 1/15/2038 | 1,065,071 | 1,127,471 | ||
Ginnie Mae, 5.5%, 5/15/2033 - 10/15/2035 | 620,776 | 648,016 | ||
Ginnie Mae, 4.5%, 7/20/2033 - 9/20/2052 | 6,726,976 | 6,482,520 | ||
Ginnie Mae, 5%, 7/20/2033 - 8/20/2052 | 1,469,809 | 1,446,926 | ||
Ginnie Mae, 4%, 1/20/2041 - 9/20/2052 | 2,138,400 | 2,029,249 | ||
Ginnie Mae, 3.5%, 12/15/2041 - 3/20/2048 | 3,774,069 | 3,494,469 | ||
Ginnie Mae, 3%, 4/20/2045 - 6/20/2052 | 7,909,132 | 7,066,376 | ||
Ginnie Mae, 2.5%, 8/20/2051 - 6/20/2052 | 11,743,016 | 10,124,447 | ||
Ginnie Mae, 2%, 1/20/2052 | 2,842,288 | 2,376,189 | ||
Ginnie Mae, 0.585%, 2/16/2059 (i) | 2,458,645 | 89,149 | ||
Ginnie Mae, TBA, 3%, 10/20/2052 | 1,575,000 | 1,391,722 | ||
Ginnie Mae, TBA, 3.5%, 10/20/2052 - 11/21/2052 | 1,250,000 | 1,136,426 | ||
Ginnie Mae, TBA, 4%, 10/20/2052 | 3,325,000 | 3,104,849 | ||
Ginnie Mae, TBA, 4.5%, 10/20/2052 | 3,550,000 | 3,397,877 | ||
Ginnie Mae, TBA, 5%, 10/20/2052 | 3,900,000 | 3,816,840 | ||
UMBS, TBA, 2.5%, 10/18/2037 - 10/13/2052 | 4,370,000 | 3,785,920 | ||
UMBS, TBA, 3%, 10/18/2037 - 10/13/2052 | 6,500,000 | 5,662,078 | ||
UMBS, TBA, 2%, 10/13/2052 | 4,475,000 | 3,622,303 | ||
UMBS, TBA, 5.5%, 10/13/2052 - 11/25/2052 | 1,850,000 | 1,837,359 | ||
UMBS, TBA, 6%, 10/13/2052 | 625,000 | 634,937 | ||
$245,221,004 | ||||
Municipals – 0.4% | ||||
New Jersey Economic Development Authority State Pension Funding Rev., Taxable, “A”, NPFG, 7.425%, 2/15/2029 | $ | 2,750,000 | $2,943,722 | |
New Jersey Turnpike Authority Rev., Taxable (Build America Bonds), “F”, 7.414%, 1/01/2040 | 3,685,000 | 4,508,353 | ||
State of Florida, Taxable, “A”, 2.154%, 7/01/2030 | 1,437,000 | 1,153,695 | ||
$8,605,770 | ||||
Natural Gas - Distribution – 0.0% | ||||
NiSource, Inc., 5.65%, 2/01/2045 | $ | 414,000 | $383,219 | |
Natural Gas - Pipeline – 0.2% | ||||
APT Pipelines Ltd., 4.2%, 3/23/2025 (n) | $ | 3,344,000 | $3,202,095 | |
APT Pipelines Ltd., 4.25%, 7/15/2027 (n) | 253,000 | 234,311 | ||
$3,436,406 | ||||
Network & Telecom – 0.2% | ||||
Verizon Communications, Inc., 3.15%, 3/22/2030 | $ | 1,053,000 | $895,667 | |
Verizon Communications, Inc., 4.272%, 1/15/2036 | 1,477,000 | 1,260,242 | ||
Verizon Communications, Inc., 4.812%, 3/15/2039 | 1,877,000 | 1,652,090 | ||
$3,807,999 |
10
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Oils – 0.2% | ||||
Phillips 66 Co., 2.15%, 12/15/2030 | $ | 2,934,000 | $2,260,536 | |
Valero Energy Corp., 6.625%, 6/15/2037 | 2,124,000 | 2,113,994 | ||
$4,374,530 | ||||
Other Banks & Diversified Financials – 0.2% | ||||
Macquarie Group Ltd., 4.442% to 6/21/2032, FLR (SOFR - 1 day + 2.405%) to 6/21/2033 (n) | $ | 5,881,000 | $5,011,829 | |
Pollution Control – 0.0% | ||||
Republic Services, Inc., 1.45%, 2/15/2031 | $ | 851,000 | $635,369 | |
Real Estate - Office – 0.0% | ||||
Boston Properties Ltd. LP, REIT, 2.55%, 4/01/2032 | $ | 1,316,000 | $970,319 | |
Real Estate - Retail – 0.1% | ||||
Brixmor Operating Partnership LP, REIT, 4.125%, 5/15/2029 | $ | 172,000 | $149,498 | |
Brixmor Operating Partnership LP, REIT, 4.05%, 7/01/2030 | 1,681,000 | 1,416,148 | ||
Realty Income Corp., REIT, 3.25%, 1/15/2031 | 485,000 | 413,867 | ||
$1,979,513 | ||||
Retailers – 0.2% | ||||
Alimentation Couche-Tard, Inc., 3.439%, 5/13/2041 (n) | $ | 2,106,000 | $1,434,521 | |
Best Buy Co., Inc., 4.45%, 10/01/2028 | 1,738,000 | 1,624,084 | ||
$3,058,605 | ||||
Specialty Stores – 0.1% | ||||
Genuine Parts Co., 2.75%, 2/01/2032 | $ | 2,771,000 | $2,144,620 | |
Telecommunications - Wireless – 0.7% | ||||
American Tower Trust I, REIT, 3.07%, 3/15/2048 (n) | $ | 3,121,000 | $3,099,340 | |
Crown Castle, Inc., REIT, 1.35%, 7/15/2025 | 701,000 | 629,074 | ||
Crown Castle, Inc., REIT, 3.65%, 9/01/2027 | 2,565,000 | 2,321,980 | ||
Rogers Communications, Inc., 3.8%, 3/15/2032 (n) | 5,197,000 | 4,494,633 | ||
T-Mobile USA, Inc., 2.05%, 2/15/2028 | 1,892,000 | 1,569,989 | ||
T-Mobile USA, Inc., 4.5%, 4/15/2050 | 2,244,000 | 1,796,443 | ||
$13,911,459 | ||||
Tobacco – 0.2% | ||||
B.A.T. International Finance PLC, 4.448%, 3/16/2028 | $ | 4,200,000 | $3,743,282 | |
Transportation - Services – 0.1% | ||||
ERAC USA Finance LLC, 7%, 10/15/2037 (n) | $ | 1,826,000 | $1,906,233 | |
U.S. Government Agencies and Equivalents – 0.0% | ||||
Small Business Administration, 4.35%, 7/01/2023 | $ | 279 | $278 | |
Small Business Administration, 4.77%, 4/01/2024 | 33,622 | 33,257 | ||
Small Business Administration, 5.18%, 5/01/2024 | 43,268 | 42,998 | ||
Small Business Administration, 5.52%, 6/01/2024 | 2,134 | 2,139 | ||
Small Business Administration, 4.99%, 9/01/2024 | 41,884 | 41,123 | ||
Small Business Administration, 4.95%, 3/01/2025 | 1,780 | 1,788 | ||
Small Business Administration, 5.11%, 8/01/2025 | 167,807 | 166,372 | ||
$287,955 | ||||
U.S. Treasury Obligations – 9.5% | ||||
U.S. Treasury Bonds, 1.375%, 11/15/2040 | $ | 5,500,000 | $3,555,449 | |
U.S. Treasury Bonds, 1.75%, 8/15/2041 | 4,700,000 | 3,213,441 | ||
U.S. Treasury Bonds, 2.375%, 2/15/2042 | 6,600,000 | 5,057,250 | ||
U.S. Treasury Bonds, 2.875%, 5/15/2043 | 9,096,000 | 7,496,738 | ||
U.S. Treasury Bonds, 2.5%, 2/15/2045 | 9,797,000 | 7,469,064 |
11
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Treasury Obligations – continued | ||||
U.S. Treasury Bonds, 3%, 11/15/2045 | $ | 3,638,000 | $3,036,025 | |
U.S. Treasury Bonds, 3%, 2/15/2048 | 7,000,000 | 5,893,125 | ||
U.S. Treasury Bonds, 2.875%, 5/15/2049 | 900,000 | 750,094 | ||
U.S. Treasury Bonds, 2.375%, 11/15/2049 (f) | 43,390,000 | 32,674,704 | ||
U.S. Treasury Bonds, 2.25%, 2/15/2052 | 6,300,000 | 4,577,344 | ||
U.S. Treasury Notes, 1.375%, 1/31/2025 | 54,500,000 | 51,046,914 | ||
U.S. Treasury Notes, 0.375%, 11/30/2025 | 62,900,000 | 55,767,238 | ||
U.S. Treasury Notes, 2.5%, 3/31/2027 | 15,300,000 | 14,292,352 | ||
$194,829,738 | ||||
Utilities - Electric Power – 0.8% | ||||
American Transmission Systems, Inc., 2.65%, 1/15/2032 (n) | $ | 250,000 | $196,257 | |
Duke Energy Corp., 2.65%, 9/01/2026 | 294,000 | 266,724 | ||
Duke Energy Corp., 4.5%, 8/15/2032 | 3,023,000 | 2,733,763 | ||
Enel Finance International N.V., 2.65%, 9/10/2024 | 1,020,000 | 965,383 | ||
Enel Finance International N.V., 4.75%, 5/25/2047 (n) | 392,000 | 286,951 | ||
Evergy, Inc., 2.9%, 9/15/2029 | 1,644,000 | 1,358,171 | ||
Exelon Corp., 4.05%, 4/15/2030 | 1,632,000 | 1,479,173 | ||
FirstEnergy Corp., 3.4%, 3/01/2050 | 1,078,000 | 706,090 | ||
Georgia Power Co., 3.7%, 1/30/2050 | 147,000 | 106,551 | ||
Jersey Central Power & Light Co., 4.3%, 1/15/2026 (n) | 1,333,000 | 1,279,590 | ||
Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | 924,000 | 733,119 | ||
Oncor Electric Delivery Co. LLC, 5.75%, 3/15/2029 | 2,121,000 | 2,180,659 | ||
Pacific Gas & Electric Co., 2.1%, 8/01/2027 | 480,000 | 388,017 | ||
Pacific Gas & Electric Co., 3%, 6/15/2028 | 1,410,000 | 1,161,764 | ||
Pacific Gas & Electric Co., 2.5%, 2/01/2031 | 1,738,000 | 1,264,659 | ||
Pacific Gas & Electric Co., 3.3%, 8/01/2040 | 926,000 | 592,786 | ||
Xcel Energy, Inc., 3.4%, 6/01/2030 | 968,000 | 839,993 | ||
$16,539,650 | ||||
Utilities - Gas – 0.0% | ||||
East Ohio Gas Co., 2%, 6/15/2030 (n) | $ | 1,135,000 | $882,606 | |
Total Bonds | $846,450,998 | |||
Convertible Preferred Stocks – 0.8% | ||||
Automotive – 0.2% | ||||
Aptiv PLC, 5.5% | 39,000 | $3,712,800 | ||
Medical Equipment – 0.3% | ||||
Boston Scientific Corp., 5.5% | 66,836 | $6,765,140 | ||
Telecommunications - Wireless – 0.3% | ||||
T-Mobile USA, Inc., 5.25% (a) | 5,432 | $6,122,767 | ||
Total Convertible Preferred Stocks | $16,600,707 | |||
Preferred Stocks – 0.6% | ||||
Computer Software - Systems – 0.2% | ||||
Samsung Electronics Co. Ltd. | 94,253 | $3,066,852 | ||
Consumer Products – 0.4% | ||||
Henkel AG & Co. KGaA | 154,017 | $9,210,626 | ||
Total Preferred Stocks | $12,277,478 |
12
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Investment Companies (h) – 2.6% | ||||
Money Market Funds – 2.6% | ||||
MFS Institutional Money Market Portfolio, 2.64% (v) | 53,798,478 | $53,803,858 | ||
Other Assets, Less Liabilities – (1.0)% | (21,485,511) | |||
Net Assets – 100.0% | $2,060,761,742 |
(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 $53,803,858 and $2,028,443,395, 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 $179,216,695, representing 8.7% of net assets. |
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
(z) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities: |
Restricted Securities | Acquisition Date | Cost | Value |
ReadyCap Commercial Mortgage Trust, 2021-FL5, “A”, FLR, 4.084% (LIBOR - 1mo. + 1%), 4/25/2038 | 3/19/2021 | $2,552,727 | $2,466,805 |
ReadyCap Commercial Mortgage Trust, 2021-FL7, “B”, FLR, 4.884% (LIBOR - 1mo. + 1.8%), 11/25/2036 | 11/12/2021 | 1,130,000 | 1,072,240 |
Total Restricted Securities | $3,539,045 | ||
% of Net assets | 0.2% |
The following abbreviations are used in this report and are defined: | |
ADR | American Depositary Receipt |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
LIBOR | London Interbank Offered Rate |
NPFG | National Public Finance Guarantee Corp. |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
UMBS | Uniform Mortgage-Backed Security |
Derivative Contracts at 9/30/22 | ||||||
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Ultra Note 10 yr | Short | USD | 177 | $20,971,734 | December – 2022 | $597,930 |
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Note 2 yr | Long | USD | 63 | $12,939,609 | December – 2022 | $(204,256) |
U.S. Treasury Note 5 yr | Long | USD | 617 | 66,332,321 | December – 2022 | (2,306,362) |
U.S. Treasury Ultra Bond | Long | USD | 86 | 11,782,000 | December – 2022 | (915,146) |
$(3,425,764) |
13
Portfolio of Investments (unaudited) –
continued
At September 30, 2022, the fund had
liquid securities with an aggregate value of $1,262,112 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.
14
Supplemental Information
9/30/22 (unaudited)
The fund is an investment company
and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment
Companies.
(1) Investment Valuations
Subject to its oversight, the fund's
Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments to MFS as the fund's adviser, pursuant to the fund’s valuation policy
and procedures which have been adopted by the adviser and approved by the Board. Effective September 8, 2022, and in accordance with Rule 2a-5 under the Investment Company Act of 1940, the Board of Trustees designated
the adviser as the “valuation designee” of the fund. If the adviser, as valuation designee, determines that reliable market quotations are not readily available for an investment, the investment is valued
at fair value as determined in good faith by the adviser in accordance with the adviser’s fair valuation policy and procedures.
Under the fund's valuation policy
and procedures, 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. 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).
15
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. The following is a summary of the levels
used as of September 30, 2022 in valuing the fund's assets and liabilities:
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Equity Securities: | ||||
United States | $1,131,809,868 | $6,122,767 | $— | $1,137,932,635 |
Germany | 9,210,626 | 8,034,400 | — | 17,245,026 |
Switzerland | — | 9,596,244 | — | 9,596,244 |
Taiwan | 6,170,331 | — | — | 6,170,331 |
France | — | 4,803,048 | — | 4,803,048 |
United Kingdom | — | 3,178,261 | — | 3,178,261 |
South Korea | — | 3,066,852 | — | 3,066,852 |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 195,117,693 | — | 195,117,693 |
Non - U.S. Sovereign Debt | — | 6,361,728 | — | 6,361,728 |
Municipal Bonds | — | 8,605,770 | — | 8,605,770 |
U.S. Corporate Bonds | — | 180,405,568 | — | 180,405,568 |
Residential Mortgage-Backed Securities | — | 245,396,478 | — | 245,396,478 |
Commercial Mortgage-Backed Securities | — | 45,743,122 | — | 45,743,122 |
Asset-Backed Securities (including CDOs) | — | 80,918,768 | — | 80,918,768 |
Foreign Bonds | — | 83,901,871 | — | 83,901,871 |
Mutual Funds | 53,803,858 | — | — | 53,803,858 |
Total | $1,200,994,683 | $881,252,570 | $— | $2,082,247,253 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $597,930 | $— | $— | $597,930 |
Futures Contracts – Liabilities | (3,425,764) | — | — | (3,425,764) |
For further information regarding
security characteristics, see the Portfolio of Investments.
(2) Investments in Affiliated
Issuers
An affiliated issuer may be
considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the following were affiliated issuers:
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $146,917,118 | $469,993,539 | $562,104,230 | $(9,344) | $6,775 | $53,803,858 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $488,416 | $— |
(3) Russia and Ukraine
Conflict
The market disruptions, which began
in late February 2022, associated with geopolitical events related to the conflict between Russia and Ukraine may adversely affect the value of the fund’s assets and thus the fund’s performance. Management
continues to monitor these events and to evaluate the related impacts, if any, to the fund.
16