Quarterly Report
March 31, 2024
MFS® Total Return Bond Series
MFS® Variable Insurance Trust
VFB-Q1
Portfolio of Investments
3/31/24 (unaudited)
The Portfolio of Investments is a
complete list of all securities owned by your fund. It is categorized by broad-based asset classes.
Issuer | Shares/Par | Value ($) | ||
Bonds – 97.3% | ||||
Aerospace & Defense – 0.9% | ||||
Boeing Co., 2.196%, 2/04/2026 | $ | 6,236,000 | $5,838,138 | |
Boeing Co., 5.15%, 5/01/2030 | 1,704,000 | 1,648,632 | ||
Boeing Co., 5.705%, 5/01/2040 | 1,595,000 | 1,526,641 | ||
TransDigm, Inc., 4.625%, 1/15/2029 | 5,158,000 | 4,786,651 | ||
$13,800,062 | ||||
Asset-Backed & Securitized – 18.3% | ||||
ACREC 2021-FL1 Ltd., “C”, FLR, 7.591% ((SOFR - 1mo. + 0.11448%) + 2.15%), 10/16/2036 (n) | $ | 2,546,000 | $2,460,621 | |
ACREC 2021-FL1 Ltd., “D”, FLR, 8.091% ((SOFR - 1mo. + 0.11448%) + 2.65%), 10/16/2036 (n) | 3,070,500 | 2,929,310 | ||
ACRES 2021-FL2 Issuer Ltd., “C”, FLR, 8.089% ((SOFR - 1mo. + 0.11448%) + 2.65%), 1/15/2037 (n) | 3,129,000 | 3,033,683 | ||
Allegro CLO Ltd., 2014-1RA, “A2”, FLR, 7.179% ((SOFR - 3mo. + 0.26161%) + 1.6%), 10/21/2028 (n) | 5,554,267 | 5,567,919 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “C”, FLR, 7.439% ((SOFR - 1mo. + 0.11448%) + 2%), 12/15/2035 (n) | 905,000 | 881,291 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “D”, FLR, 8.389% ((SOFR - 1mo. + 0.11448%) + 2.95%), 12/15/2035 (n) | 831,500 | 809,017 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL2, “B”, FLR, 7.04% ((SOFR - 1mo. + 0.11448%) + 1.6%), 5/15/2036 (n) | 1,152,500 | 1,136,794 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “C”, FLR, 7.289% ((SOFR - 1mo. + 0.11448%) + 1.85%), 8/15/2034 (n) | 1,740,000 | 1,670,831 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “D”, FLR, 7.639% ((SOFR - 1mo. + 0.11448%) + 2.2%), 8/15/2034 (n) | 964,500 | 910,503 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL4, “C”, FLR, 7.739% ((SOFR - 1mo. + 0.11448%) + 2.3%), 11/15/2036 (n) | 3,443,500 | 3,347,753 | ||
Arbor Realty Trust, Inc., CLO, 2022-FL1, “D”, FLR, 8.318% (SOFR - 30 day + 3%), 1/15/2037 (n) | 9,290,000 | 8,757,485 | ||
AREIT 2019-CRE3 Trust, “B”, FLR, 6.989% ((SOFR - 1mo. + 0.11448%) + 1.55%), 9/14/2036 (n) | 2,569,500 | 2,483,108 | ||
AREIT 2019-CRE3 Trust, “C”, FLR, 7.339% (SOFR - 1mo. + 2.014%), 9/14/2036 (n) | 2,242,500 | 2,126,173 | ||
AREIT 2019-CRE3 Trust, “D”, FLR, 8.089% ((SOFR - 1mo. + 0.11448%) + 2.65%), 9/14/2036 (n) | 1,849,000 | 1,718,797 | ||
AREIT 2022-CRE6 Trust, “B”, FLR, 7.168% (SOFR - 30 day + 1.85%), 1/20/2037 (n) | 1,126,000 | 1,094,411 | ||
AREIT 2022-CRE6 Trust, “C”, FLR, 7.468% (SOFR - 30 day + 2.15%), 1/20/2037 (n) | 2,322,000 | 2,221,327 | ||
AREIT 2022-CRE6 Trust, “D”, FLR, 8.168% (SOFR - 30 day + 2.85%), 1/20/2037 (n) | 987,000 | 933,067 | ||
ARI Fleet Lease Trust, 2023-B, “A2”, 6.05%, 7/15/2032 (n) | 883,776 | 889,465 | ||
Bayview Commercial Asset Trust, 0%, 12/25/2036 (i) | 57,360 | 6 | ||
Bayview Financial Revolving Mortgage Loan Trust, FLR, 7.045% ((SOFR - 1mo. + 0.11448%) + 1.6%), 12/28/2040 (n) | 19,221 | 29,806 | ||
BBCMS Mortgage Trust, 2019-C5, “A4”, 3.063%, 11/15/2052 | 2,755,000 | 2,485,783 | ||
BDS 2021-FL7 Ltd., “B”, FLR, 6.941% ((SOFR - 1mo. + 0.11448%) + 1.5%), 6/16/2036 (n) | 1,259,500 | 1,235,401 | ||
Benchmark 2023-V3 Mortgage Trust, “A3”, 6.362%, 7/15/2056 | 991,415 | 1,036,159 | ||
Brazos Securitization LLC, 5.413%, 9/01/2050 (n) | 3,427,000 | 3,580,373 | ||
BSPDF 2021-FL1 Issuer Ltd., “B”, FLR, 7.239% ((SOFR - 1mo. + 0.11448%) + 1.8%), 10/15/2036 (n) | 4,380,500 | 4,199,414 | ||
BSPRT 2021-FL6 Issuer Ltd., “B”, FLR, 7.039% ((SOFR - 1mo. + 0.11448%) + 1.6%), 3/15/2036 (n) | 3,669,500 | 3,536,829 | ||
BSPRT 2021-FL6 Issuer Ltd., “C”, FLR, 7.489% ((SOFR - 1mo. + 0.11448%) + 2.05%), 3/15/2036 (n) | 1,288,000 | 1,236,624 | ||
BSPRT 2021-FL7 Issuer Ltd., “C”, FLR, 7.739% ((SOFR - 1mo. + 0.11448%) + 2.3%), 12/15/2038 (n) | 836,500 | 817,199 | ||
BSPRT 2021-FL7 Issuer Ltd., “D”, FLR, 8.189% ((SOFR - 1mo. + 0.11448%) + 2.75%), 12/15/2038 (n) | 952,500 | 902,672 | ||
Business Jet Securities LLC, 2020-1A, “A”, 2.981%, 11/15/2035 (n) | 399,965 | 388,692 | ||
Business Jet Securities LLC, 2021-1A, “B”, 2.918%, 4/15/2036 (n) | 328,180 | 304,356 | ||
BXMT 2020-FL2 Ltd., “B”, FLR, 6.839% ((SOFR - 1mo. + 0.11448%) + 1.4%), 2/15/2038 (n) | 1,731,000 | 1,522,847 | ||
Cantor Commercial Real Estate, 2019-CF2, “A5”, 2.874%, 11/15/2052 | 6,645,635 | 5,783,339 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 2,375,428 | 2,294,536 | ||
CHCP 2021-FL1 Ltd., “B”, FLR, 7.091% ((SOFR - 1mo. + 0.11448%) + 1.65%), 2/15/2038 (n) | 1,102,500 | 1,087,015 | ||
CHCP 2021-FL1 Ltd., “C”, FLR, 7.541% ((SOFR - 1mo. + 0.11448%) + 2.1%), 2/15/2038 (n) | 1,249,000 | 1,223,090 | ||
Chesapeake Funding II LLC, 2023-1A, “A1”, 5.65%, 5/15/2035 (n) | 1,066,829 | 1,067,970 | ||
Citigroup Commercial Mortgage Trust, 2014-GC25, “A4”, 3.635%, 10/10/2047 | 3,128,793 | 3,089,762 | ||
Citigroup Commercial Mortgage Trust, 2016-P6, “A5”, 3.72%, 12/10/2049 | 1,754,000 | 1,644,789 | ||
CLNC 2019-FL1 Ltd., “B”, FLR, 7.34% (SOFR - 1mo. + 2.01448%), 8/20/2035 (n) | 1,850,000 | 1,804,194 | ||
CLNC 2019-FL1 Ltd., “C”, FLR, 7.84% (SOFR - 1mo. + 2.51448%), 8/20/2035 (n) | 3,006,500 | 2,948,691 | ||
Commercial Mortgage Pass-Through Certificates, 2023-BNK46, “A4”, 5.745%, 8/15/2056 | 4,656,029 | 4,878,945 | ||
Commercial Mortgage Pass-Through Certificates, 2023-BNK46, “AS”, 6.385%, 8/15/2056 | 2,699,147 | 2,890,313 | ||
Commercial Mortgage Trust, 2015-LC21, “A4”, 3.708%, 7/10/2048 | 10,000,000 | 9,746,223 | ||
Commercial Mortgage Trust, 2015-PC1, “A5”, 3.902%, 7/10/2050 | 2,888,848 | 2,830,232 | ||
Consumers 2023 Securitization Funding LLC, 5.55%, 3/01/2028 | 2,493,000 | 2,499,677 | ||
Credit Acceptance Auto Loan Trust, 2021-3A, “C”, 1.63%, 9/16/2030 (n) | 523,000 | 508,766 | ||
Credit Acceptance Auto Loan Trust, 2023-3A, “A”, 6.39%, 8/15/2033 (n) | 973,000 | 986,730 | ||
CSAIL Commercial Mortgage Trust, 2015-C2, “A4”, 3.504%, 6/15/2057 | 2,695,346 | 2,628,401 |
1
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Cutwater 2015-1A Ltd., “BR”, FLR, 7.375% ((SOFR - 3mo. + 0.26161%) + 1.8%), 1/15/2029 (n) | $ | 10,770,000 | $10,760,738 | |
DLLST LLC, 2024-1A, “A2”, 5.33%, 1/20/2026 (n) | 839,335 | 837,457 | ||
DT Auto Owner Trust, 2023-1A, “A”, 5.48%, 4/15/2027 (n) | 1,388,357 | 1,386,870 | ||
Empire District Bondco LLC, 4.943%, 1/01/2033 | 1,641,000 | 1,634,141 | ||
Enterprise Fleet Financing 2023-3 LLC, “A2”, 6.4%, 3/20/2030 (n) | 2,225,000 | 2,259,032 | ||
GLGU 2023-1A Ltd., “B”, FLR, 8.317% (SOFR - 3mo. + 3%), 7/20/2035 (n) | 3,420,864 | 3,476,761 | ||
GLS Auto Select Receivables Trust, 2023-2A, 6.37%, 6/15/2028 (n) | 1,596,029 | 1,607,407 | ||
GS Mortgage Securities Trust, 2015-GC30, “A4”, 3.382%, 5/10/2050 | 7,904,407 | 7,677,202 | ||
HarbourView CLO VII Ltd., 7RA, “B”, FLR, 7.259% ((SOFR - 3mo. + 0.26161%) + 1.7%), 7/18/2031 (n) | 6,545,000 | 6,400,329 | ||
JPMBB Commercial Mortgage Securities Trust, 2015-C28, “A4”, 3.227%, 10/15/2048 | 12,188,428 | 11,867,423 | ||
JPMorgan Chase Commercial Mortgage Securities Corp., 5.71%, 7/15/2042 (n) | 726 | 633 | ||
JPMorgan Mortgage Trust, “A1”, 5.119%, 10/25/2033 | 34,050 | 31,019 | ||
KKR Static CLO I Ltd. 2022-1A, “BR”, FLR, 7.317% (SOFR - 3mo. + 2%), 7/20/2031 (n) | 4,871,468 | 4,871,137 | ||
Kubota Credit Owner Trust, 2023-2A, “A2”, 5.61%, 7/15/2026 (n) | 1,154,512 | 1,154,610 | ||
LCCM 2021-FL2 Trust, “C”, FLR, 7.589% ((SOFR - 1mo. + 0.11448%) + 2.15%), 12/13/2038 (n) | 1,985,500 | 1,872,124 | ||
LoanCore 2021-CRE5 Ltd., “AS”, FLR, 7.189% ((SOFR - 1mo. + 0.11448%) + 1.75%), 7/15/2036 (n) | 5,666,000 | 5,596,601 | ||
LoanCore 2021-CRE5 Ltd., “B”, FLR, 7.439% ((SOFR - 1mo. + 0.11448%) + 2.0%), 7/15/2036 (n) | 5,318,000 | 5,151,004 | ||
LoanCore 2021-CRE6 Ltd., “B”, FLR, 7.339% ((SOFR - 1mo. + 0.11448%) + 1.9%), 11/15/2038 (n) | 9,970,000 | 9,675,965 | ||
Madison Park Funding Ltd., 2017- 23A, “CR”, FLR, 7.581% ((SOFR - 3mo. + 0.26161%) + 2%), 7/27/2031 (n) | 5,894,060 | 5,868,875 | ||
Merrill Lynch Mortgage Investors, Inc., “A”, 5.722%, 5/25/2036 | 35,449 | 34,123 | ||
Merrill Lynch Mortgage Investors, Inc., “A5”, 4.856%, 4/25/2035 | 61,093 | 53,221 | ||
MF1 2020-FL4 Ltd., “AS”, FLR, 7.539% ((SOFR - 1mo. + 0.11448%) + 2.1%), 11/15/2035 (n) | 2,602,500 | 2,592,889 | ||
MF1 2021-FL5 Ltd., “C”, FLR, 7.139% ((SOFR - 1mo. + 0.11448%) + 1.7%), 7/15/2036 (n) | 2,589,000 | 2,491,268 | ||
MF1 2022-FL8 Ltd., “C”, FLR, 7.526% (SOFR - 30 day + 2.2%), 2/19/2037 (n) | 2,433,741 | 2,342,906 | ||
MF1 2022-FL8 Ltd., “D”, FLR, 7.976% (SOFR - 30 day + 2.65%), 2/19/2037 (n) | 1,407,473 | 1,331,114 | ||
MF1 2024-FL14 LLC, “AS”, FLR, 7.566% (SOFR - 1mo. + 2.24%), 3/19/2039 (n) | 3,688,167 | 3,686,895 | ||
Morgan Stanley Residential Mortgage Loan Trust, 2024-NQM1, “A-1”, 6.152%, 12/25/2068 (n) | 3,590,301 | 3,492,960 | ||
MSWF Commercial Mortgage Trust 2023-2, “A5”, 6.014%, 12/15/2056 | 3,231,641 | 3,457,203 | ||
Neuberger Berman CLO Ltd., 2013-15A, “CR2”, FLR, 7.425% ((SOFR - 3mo. + 0.26161%) + 1.85%), 10/15/2029 (n) | 7,481,614 | 7,468,357 | ||
Oaktree CLO 2019-1A Ltd., “BR”, FLR, 7.329% ((SOFR - 3mo. + 0.26161%) + 1.75%), 4/22/2030 (n) | 5,000,000 | 4,979,015 | ||
Oaktree CLO 2019-1A Ltd., “CR”, FLR, 7.929% ((SOFR - 3mo. + 0.26161%) + 2.35%), 4/22/2030 (n) | 5,744,568 | 5,677,006 | ||
PFP III 2021-8 Ltd., “D”, FLR, 7.589% ((SOFR - 1mo. + 0.11448%) + 2.15%), 8/09/2037 (n) | 3,737,500 | 3,498,419 | ||
Preferred Term Securities XIX Ltd., CDO, FLR, 5.94% ((SOFR - 3mo. + 0.26161%) + 0.35%), 12/22/2035 (n) | 98,234 | 92,340 | ||
Race Point CLO Ltd., 2013-8A, “AR-2”, FLR, 6.62% ((SOFR - 3mo. + 0.26161%) + 1.04%), 2/20/2030 (n) | 2,401,457 | 2,400,986 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL7, “C”, FLR, 7.643% ((SOFR - 1mo. + 0.11448%) + 2.95%), 11/25/2036 (z) | 1,340,000 | 1,285,047 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL7, “D”, FLR, 8.393% ((SOFR - 1mo. + 0.11448%) + 2.95%), 11/25/2036 (z) | 1,575,000 | 1,472,790 | ||
Residential Funding Mortgage Securities, Inc., FGIC, 3.812%, 12/25/2035 (d)(q) | 2,975 | 80 | ||
Rockford Tower CLO 2020-1A, Ltd., “BR”, 7.419% (SOFR - 3mo. + 2.1%), 1/20/2036 (n) | 3,331,195 | 3,334,799 | ||
Starwood Commercial Mortgage, 2021-FL2, “C”, FLR, 7.541% ((SOFR - 1mo. + 0.11448)% + 2.1%), 4/18/2038 (n) | 2,027,000 | 1,837,016 | ||
Starwood Commercial Mortgage, 2022-FL3, “B”, FLR, 7.268% (SOFR - 30 day + 1.95%), 11/15/2038 (n) | 1,391,000 | 1,330,652 | ||
Starwood Commercial Mortgage, 2022-FL3, “C”, FLR, 7.518% (SOFR - 30 day + 2.2%), 11/15/2038 (n) | 2,632,000 | 2,478,949 | ||
Stratus Static CLO Ltd., 2022-3A, “BR”, FLR, 7.217% (SOFR - 3mo. + 1.9%), 10/20/2031 (n) | 907,944 | 907,884 | ||
Toyota Lease Owner Trust, 2023-A, “A2”, 5.3%, 8/20/2025 (n) | 706,925 | 706,068 | ||
UBS Commercial Mortgage Trust, 2017-C8, “A4”, 3.983%, 2/15/2051 | 5,865,766 | 5,551,362 | ||
Verus Securitization Trust, 2014-1, “A1”, 5.712%, 1/25/2069 (n) | 2,011,789 | 1,999,527 | ||
Voya CLO 2012-4A Ltd., “A2R3”, FLR, 7.025% ((SOFR - 3mo. + 0.26161%) + 1.45%), 10/15/2030 (n) | 1,957,793 | 1,945,520 | ||
Voya CLO 2012-4A Ltd., “BR3”, FLR, 7.525% ((SOFR - 3mo. + 0.26161%) + 1.95%), 10/15/2030 (n) | 828,265 | 825,374 | ||
Voya CLO 2012-4A Ltd., “C1R3”, FLR, 8.875% ((SOFR - 3mo. + 0.26161%) + 3.3%), 10/15/2030 (n) | 1,187,823 | 1,187,917 | ||
Wells Fargo Commercial Mortgage Trust, 2016-LC25, “A4”, 3.64%, 12/15/2059 | 13,071,416 | 12,495,133 | ||
Wells Fargo Commercial Mortgage Trust, 2017-C42, “A5”, 3.589%, 12/15/2050 | 3,970,000 | 3,643,226 | ||
$278,889,763 | ||||
Broadcasting – 0.9% | ||||
Discovery Communications LLC, 4.65%, 5/15/2050 | $ | 4,028,000 | $3,146,502 | |
WarnerMedia Holdings, Inc., 5.05%, 3/15/2042 | 5,334,000 | 4,584,537 | ||
WarnerMedia Holdings, Inc., 5.141%, 3/15/2052 | 4,694,000 | 3,896,008 | ||
WarnerMedia Holdings, Inc., 5.391%, 3/15/2062 | 1,915,000 | 1,589,215 | ||
WMG Acquisition Corp., 3%, 2/15/2031 (n) | 1,568,000 | 1,332,978 | ||
$14,549,240 |
2
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Brokerage & Asset Managers – 1.1% | ||||
Charles Schwab Corp., 5.853% to 5/19/2033, FLR (SOFR - 1 day + 2.5%) to 5/19/2034 | $ | 2,300,000 | $2,355,309 | |
Charles Schwab Corp., 6.136% to 8/24/2033, FLR (SOFR - 1 day + 2.01%) to 8/24/2034 | 2,878,000 | 3,002,315 | ||
Charles Schwab Corp., 5% to 6/01/2027, FLR (CMT - 5yr. + 3.256%) to 6/01/2170 | 6,058,000 | 5,791,812 | ||
LPL Holdings, Inc., 6.75%, 11/17/2028 | 1,167,000 | 1,222,210 | ||
LPL Holdings, Inc., 4%, 3/15/2029 (n) | 4,555,000 | 4,187,864 | ||
$16,559,510 | ||||
Building – 0.7% | ||||
Standard Industries, Inc., 4.375%, 7/15/2030 (n) | $ | 5,875,000 | $5,278,953 | |
Standard Industries, Inc., 3.375%, 1/15/2031 (n) | 2,760,000 | 2,314,160 | ||
Vulcan Materials Co., 3.5%, 6/01/2030 | 3,356,000 | 3,075,899 | ||
$10,669,012 | ||||
Business Services – 1.2% | ||||
Equinix, Inc., 2.15%, 7/15/2030 | $ | 4,789,000 | $3,968,798 | |
Fiserv, Inc., 3.5%, 7/01/2029 | 2,280,000 | 2,123,061 | ||
Fiserv, Inc., 5.6%, 3/02/2033 | 2,183,000 | 2,225,607 | ||
Global Payments, Inc., 2.9%, 5/15/2030 | 5,153,000 | 4,474,899 | ||
Global Payments, Inc., 2.9%, 11/15/2031 | 1,508,000 | 1,265,512 | ||
Iron Mountain, Inc., 4.5%, 2/15/2031 (n) | 5,315,000 | 4,795,393 | ||
$18,853,270 | ||||
Cable TV – 1.6% | ||||
CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, 8/15/2030 (n) | $ | 6,587,000 | $5,520,217 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.25%, 4/01/2053 | 6,586,000 | 5,215,880 | ||
CSC Holdings LLC, 4.125%, 12/01/2030 (n) | 2,940,000 | 2,102,247 | ||
CSC Holdings LLC, 4.5%, 11/15/2031 (n) | 4,065,000 | 2,877,885 | ||
Sirius XM Radio, Inc., 5.5%, 7/01/2029 (n) | 2,184,000 | 2,080,174 | ||
Sirius XM Radio, Inc., 4.125%, 7/01/2030 (n) | 3,995,000 | 3,492,302 | ||
Time Warner Cable, Inc., 4.5%, 9/15/2042 | 3,558,000 | 2,632,231 | ||
Time Warner Entertainment Co. LP, 8.375%, 7/15/2033 | 290,000 | 323,666 | ||
$24,244,602 | ||||
Computer Software – 0.5% | ||||
Dell International LLC/EMC Corp., 5.3%, 10/01/2029 | $ | 6,901,000 | $6,985,704 | |
Computer Software - Systems – 0.3% | ||||
SS&C Technologies Holdings, Inc., 5.5%, 9/30/2027 (n) | $ | 4,802,000 | $4,695,192 | |
Conglomerates – 1.0% | ||||
Regal Rexnord Corp., 6.05%, 4/15/2028 (n) | $ | 1,521,000 | $1,541,934 | |
Regal Rexnord Corp., 6.3%, 2/15/2030 (n) | 4,643,000 | 4,753,076 | ||
Regal Rexnord Corp., 6.4%, 4/15/2033 (n) | 3,600,000 | 3,733,653 | ||
Westinghouse Air Brake Technologies Corp., 4.7%, 9/15/2028 | 4,993,000 | 4,911,114 | ||
$14,939,777 | ||||
Consumer Products – 0.2% | ||||
Haleon US Capital LLC, 3.625%, 3/24/2032 | $ | 3,229,000 | $2,910,004 | |
Consumer Services – 0.9% | ||||
Match Group Holdings II LLC, 3.625%, 10/01/2031 (n) | $ | 4,782,000 | $4,063,518 | |
Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2026 (n) | 2,145,000 | 1,866,479 | ||
Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2029 (n) | 6,221,000 | 4,318,952 | ||
Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2031 (n) | 2,145,000 | 1,278,061 | ||
Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2043 (n) | 5,091,546 | 1,591,108 | ||
$13,118,118 | ||||
Electrical Equipment – 0.3% | ||||
Arrow Electronics, Inc., 2.95%, 2/15/2032 | $ | 4,838,000 | $4,060,875 |
3
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Electronics – 0.4% | ||||
Broadcom, Inc., 3.137%, 11/15/2035 (n) | $ | 3,219,000 | $2,600,635 | |
Broadcom, Inc., 4.926%, 5/15/2037 (n) | 3,219,000 | 3,055,044 | ||
$5,655,679 | ||||
Energy - Independent – 0.7% | ||||
EQT Corp., 3.9%, 10/01/2027 | $ | 2,315,000 | $2,200,486 | |
EQT Corp., 5%, 1/15/2029 | 1,294,000 | 1,267,610 | ||
EQT Corp., 3.625%, 5/15/2031 (n) | 1,506,000 | 1,325,445 | ||
Santos Finance Ltd., 6.875%, 9/19/2033 (n) | 3,007,000 | 3,180,134 | ||
Tengizchevroil Finance Co. International Ltd., 3.25%, 8/15/2030 | 3,294,000 | 2,662,804 | ||
$10,636,479 | ||||
Financial Institutions – 1.2% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.5%, 7/15/2025 | $ | 3,195,000 | $3,225,803 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3%, 10/29/2028 | 2,329,000 | 2,107,327 | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.3%, 1/30/2032 | 2,763,000 | 2,369,704 | ||
Avolon Holdings Funding Ltd., 2.125%, 2/21/2026 (n) | 2,890,000 | 2,692,341 | ||
Avolon Holdings Funding Ltd., 4.25%, 4/15/2026 (n) | 1,779,000 | 1,716,952 | ||
Avolon Holdings Funding Ltd., 2.75%, 2/21/2028 (n) | 2,615,000 | 2,339,770 | ||
Global Aircraft Leasing Co. Ltd., 6.5% (6.5% Cash or 7.25% PIK), 9/15/2024 (n)(p) | 4,133,778 | 3,931,754 | ||
$18,383,651 | ||||
Food & Beverages – 0.5% | ||||
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.5%, 1/15/2030 | $ | 4,965,000 | $4,893,085 | |
Post Holdings, Inc., 5.5%, 12/15/2029 (n) | 1,441,000 | 1,392,513 | ||
Post Holdings, Inc., 4.625%, 4/15/2030 (n) | 1,225,000 | 1,124,560 | ||
Post Holdings, Inc., 4.5%, 9/15/2031 (n) | 216,000 | 194,290 | ||
$7,604,448 | ||||
Gaming & Lodging – 0.2% | ||||
Marriott International, Inc., 3.5%, 10/15/2032 | $ | 3,330,000 | $2,919,158 | |
Insurance – 0.5% | ||||
Corebridge Financial, Inc., 3.9%, 4/05/2032 | $ | 3,293,000 | $2,961,800 | |
Corebridge Financial, Inc., 5.75%, 1/15/2034 | 2,801,000 | 2,857,543 | ||
Corebridge Financial, Inc., 4.35%, 4/05/2042 | 442,000 | 373,070 | ||
Corebridge Financial, Inc., 4.4%, 4/05/2052 | 1,291,000 | 1,053,036 | ||
$7,245,449 | ||||
Insurance - Health – 0.3% | ||||
Humana, Inc., 5.875%, 3/01/2033 | $ | 4,131,000 | $4,262,949 | |
Insurance - Property & Casualty – 1.2% | ||||
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/2025 | $ | 6,835,000 | $6,668,112 | |
Aon Corp., 3.75%, 5/02/2029 | 817,000 | 771,787 | ||
Fairfax Financial Holdings Ltd., 4.85%, 4/17/2028 | 5,692,000 | 5,619,794 | ||
Fairfax Financial Holdings Ltd., 3.375%, 3/03/2031 | 1,060,000 | 921,609 | ||
Fairfax Financial Holdings Ltd., 5.625%, 8/16/2032 | 2,374,000 | 2,371,603 | ||
Liberty Mutual Group, Inc., 3.951%, 10/15/2050 (n) | 2,221,000 | 1,670,067 | ||
$18,022,972 | ||||
International Market Quasi-Sovereign – 0.1% | ||||
Electricite de France S.A., 6.9%, 5/23/2053 (n) | $ | 1,704,000 | $1,857,808 |
4
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Machinery & Tools – 0.4% | ||||
Ashtead Capital, Inc., 5.55%, 5/30/2033 (n) | $ | 3,631,000 | $3,570,657 | |
Ashtead Capital, Inc., 5.8%, 4/15/2034 (n) | 871,000 | 870,115 | ||
CNH Industrial N.V., 3.85%, 11/15/2027 | 1,328,000 | 1,275,251 | ||
$5,716,023 | ||||
Major Banks – 7.6% | ||||
Bank of America Corp., 2.496% to 2/13/2030, FLR ((SOFR - 3mo. + 0.26161%) + 0.99%) to 2/13/2031 | $ | 4,007,000 | $3,451,796 | |
Bank of America Corp., 2.572% to 10/20/2031, FLR (SOFR - 1 day + 1.21%) to 10/20/2032 | 10,928,000 | 9,066,121 | ||
Bank of America Corp., 5.875% to 3/15/2028, FLR ((SOFR - 3mo. + 0.26161%) + 2.931%) to 9/15/2171 | 3,924,000 | 3,863,973 | ||
Bank of America Corp., 6.1%, 9/17/2171 | 6,096,000 | 6,112,843 | ||
Bank of America Corp., 6.5% to 10/23/2024, FLR ((SOFR - 3mo. + 0.26161%) + 4.174%) to 4/23/2172 | 3,843,000 | 3,846,259 | ||
Barclays PLC, 4.972% to 5/16/2028, FLR (LIBOR - 3mo. + 1.902%) to 5/16/2029 | 3,191,000 | 3,127,249 | ||
Barclays PLC, 2.894% to 11/24/2031, FLR (CMT - 1yr. + 1.3%) to 11/24/2032 | 3,776,000 | 3,140,009 | ||
Capital One Financial Corp., 5.817% to 2/01/2033, FLR (SOFR - 1 day + 2.6%) to 2/01/2034 | 2,325,000 | 2,321,461 | ||
Capital One Financial Corp., 6.377% to 6/08/2033, FLR (SOFR - 1 day + 2.860%) to 6/08/2034 | 3,594,000 | 3,732,419 | ||
Capital One Financial Corp., 6.051% to 2/01/2034, FLR (SOFR - 1 day + 2.26%) to 2/01/2035 | 2,981,000 | 3,034,978 | ||
Deutsche Bank AG, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027 | 5,055,000 | 4,621,595 | ||
Deutsche Bank AG, 6.72% to 1/18/2028, FLR (SOFR - 1 day + 3.18%) to 1/18/2029 | 5,453,000 | 5,639,287 | ||
Goldman Sachs Group, Inc., 2.6%, 2/07/2030 | 6,000,000 | 5,251,906 | ||
HSBC Holdings PLC, 4.7% to 9/09/2031, FLR (CMT - 1yr. + 3.25%) to 9/09/2169 | 6,176,000 | 5,193,812 | ||
HSBC Holdings PLC, 4% to 9/09/2026, FLR (CMT - 1yr. + 3.222%) to 9/09/2170 | 2,447,000 | 2,273,263 | ||
JPMorgan Chase & Co., 3.509% to 1/23/2028, FLR ((SOFR - 3mo. + 0.26161%) + 0.945%) to 1/23/2029 | 2,290,000 | 2,166,185 | ||
JPMorgan Chase & Co., 4.005% to 4/23/2028, FLR ((SOFR - 3mo. + 0.26161%) + 1.12%) to 4/23/2029 | 5,871,000 | 5,627,475 | ||
JPMorgan Chase & Co., 4.203% to 7/23/2028, FLR ((SOFR - 3mo. + 0.26161%) + 1.26%) to 7/23/2029 | 2,576,000 | 2,483,456 | ||
JPMorgan Chase & Co., 2.956% to 5/13/2030, FLR (SOFR - 1 day + 2.515%) to 5/13/2031 | 4,435,000 | 3,876,890 | ||
JPMorgan Chase & Co., 2.545% to 11/08/2031, FLR (SOFR - 1 day + 1.18%) to 11/08/2032 | 3,363,000 | 2,798,375 | ||
Lloyds Bank PLC, 3.75%, 1/11/2027 | 2,765,000 | 2,661,685 | ||
Morgan Stanley, 5.449% to 7/20/2028, FLR (SOFR - 1 day + 1.63%) to 7/20/2029 | 1,239,000 | 1,249,865 | ||
Morgan Stanley, 2.511% to 10/20/2031, FLR (SOFR - 1 day + 1.2%) to 10/20/2032 | 6,985,000 | 5,777,768 | ||
Morgan Stanley, 5.424% to 7/21/2033, FLR (SOFR - 1 day + 1.88%) to 7/21/2034 | 2,940,000 | 2,949,113 | ||
NatWest Group PLC, 6.016% to 3/02/2033, FLR (CMT - 1yr. + 2.1%) to 3/02/2034 | 769,000 | 793,382 | ||
Sumitomo Mitsui Financial Group, Inc., 2.13%, 7/08/2030 | 5,402,000 | 4,524,522 | ||
UBS Group AG, 4.375% to 2/10/2031, FLR (CMT - 1yr. + 3.313%) to 8/10/2171 (n) | 7,084,000 | 5,825,324 | ||
UBS Group Funding (Jersey) Ltd., 4.125%, 9/24/2025 (n) | 4,524,000 | 4,431,014 | ||
Wells Fargo & Co., 2.572% to 2/11/2030, FLR ((SOFR - 3mo. + 0.26161%) + 1%) to 2/11/2031 | 4,514,000 | 3,891,134 | ||
Westpac Banking Corp., 2.894% to 2/04/2025, FLR (CMT - 5yr. + 1.35%) to 2/04/2030 | 2,633,000 | 2,561,377 | ||
$116,294,536 | ||||
Medical & Health Technology & Services – 1.9% | ||||
Adventist Health System/West, 5.43%, 3/01/2032 | $ | 4,476,000 | $4,517,900 | |
Alcon Finance Corp., 2.75%, 9/23/2026 (n) | 593,000 | 559,429 | ||
Alcon Finance Corp., 2.6%, 5/27/2030 (n) | 1,096,000 | 946,274 | ||
Alcon Finance Corp., 5.375%, 12/06/2032 (n) | 1,318,000 | 1,329,549 | ||
HCA, Inc., 4.125%, 6/15/2029 | 3,255,000 | 3,082,600 | ||
HCA, Inc., 4.375%, 3/15/2042 | 3,251,000 | 2,728,448 | ||
Marin General Hospital, 7.242%, 8/01/2045 | 2,243,000 | 2,433,572 | ||
Northwell Healthcare, Inc., 3.979%, 11/01/2046 | 1,503,000 | 1,210,381 | ||
ProMedica Toledo Hospital, “B”, 5.325%, 11/15/2028 | 7,120,000 | 6,660,974 | ||
ProMedica Toledo Hospital, “B”, AGM, 5.75%, 11/15/2038 | 2,562,000 | 2,539,415 | ||
Tower Health, 4.451%, 2/01/2050 | 6,211,000 | 2,981,280 | ||
$28,989,822 | ||||
Metals & Mining – 1.4% | ||||
Anglo American Capital PLC, 2.25%, 3/17/2028 (n) | $ | 2,504,000 | $2,225,370 | |
Anglo American Capital PLC, 3.875%, 3/16/2029 (n) | 3,434,000 | 3,212,623 | ||
Anglo American Capital PLC, 2.875%, 3/17/2031 (n) | 2,927,000 | 2,490,457 | ||
Anglo American Capital PLC, 4.75%, 3/16/2052 (n) | 4,511,000 | 3,809,770 | ||
FMG Resources Ltd., 4.375%, 4/01/2031 (n) | 3,922,000 | 3,504,173 | ||
Glencore Funding LLC, 2.85%, 4/27/2031 (n) | 4,010,000 | 3,426,369 |
5
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Metals & Mining – continued | ||||
Novelis Corp., 3.875%, 8/15/2031 (n) | $ | 2,661,000 | $2,285,814 | |
$20,954,576 | ||||
Midstream – 2.4% | ||||
Cheniere Corpus Christi Holdings LLC, 2.742%, 12/31/2039 | $ | 1,939,000 | $1,566,183 | |
Cheniere Energy Partners LP, 4.5%, 10/01/2029 | 2,483,000 | 2,363,187 | ||
Enbridge, Inc., 5.7%, 3/08/2033 | 1,601,000 | 1,639,670 | ||
Energy Transfer LP, 5.55%, 2/15/2028 | 1,261,000 | 1,278,871 | ||
Energy Transfer LP, 5.75%, 2/15/2033 | 3,863,000 | 3,924,212 | ||
Kinder Morgan (Delaware), Inc., 7.75%, 1/15/2032 | 3,350,000 | 3,801,776 | ||
Kinder Morgan Energy Partners LP, 6.375%, 3/01/2041 | 2,040,000 | 2,113,447 | ||
MPLX LP, 4.95%, 3/14/2052 | 5,874,000 | 5,159,511 | ||
Plains All American Pipeline LP, 3.55%, 12/15/2029 | 2,839,000 | 2,605,320 | ||
Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | 1,975,000 | 1,899,380 | ||
Targa Resources Corp., 4.2%, 2/01/2033 | 930,000 | 847,879 | ||
Targa Resources Corp., 6.125%, 3/15/2033 | 4,345,000 | 4,533,017 | ||
Targa Resources Corp., 4.95%, 4/15/2052 | 1,533,000 | 1,343,119 | ||
Venture Global Calcasieu Pass LLC, 6.25%, 1/15/2030 (n) | 4,349,000 | 4,375,368 | ||
$37,450,940 | ||||
Mortgage-Backed – 21.1% | ||||
Fannie Mae, 4.5%, 5/01/2024 - 6/01/2044 | $ | 7,342,410 | $7,179,213 | |
Fannie Mae, 5.5%, 7/01/2024 - 4/01/2040 | 3,088,076 | 3,150,814 | ||
Fannie Mae, 3.5%, 3/01/2026 - 7/01/2046 | 5,929,722 | 5,456,980 | ||
Fannie Mae, 3.95%, 1/01/2027 | 306,977 | 300,122 | ||
Fannie Mae, 3%, 11/01/2028 - 8/01/2047 | 5,199,096 | 4,665,404 | ||
Fannie Mae, 2.5%, 11/01/2031 - 11/01/2046 | 697,977 | 601,697 | ||
Fannie Mae, 6.5%, 7/01/2032 - 1/01/2033 | 1,783 | 1,828 | ||
Fannie Mae, 3%, 2/25/2033 (i) | 306,368 | 24,593 | ||
Fannie Mae, 5%, 11/01/2033 - 3/01/2042 | 2,218,816 | 2,219,523 | ||
Fannie Mae, 6%, 10/01/2035 - 3/01/2039 | 797,709 | 823,518 | ||
Fannie Mae, 4%, 12/01/2039 - 1/01/2047 | 12,304,544 | 11,653,783 | ||
Fannie Mae, 3.25%, 5/25/2040 | 100,219 | 91,330 | ||
Fannie Mae, 2%, 4/25/2046 | 230,084 | 206,225 | ||
Fannie Mae, 4%, 7/25/2046 (i) | 353,868 | 65,693 | ||
Fannie Mae, 3.5%, 12/01/2046 (f) | 1,263,666 | 1,155,807 | ||
Fannie Mae, UMBS, 2.5%, 4/01/2036 - 1/01/2053 | 41,588,557 | 34,850,954 | ||
Fannie Mae, UMBS, 2%, 1/01/2037 - 3/01/2052 | 43,901,828 | 36,218,879 | ||
Fannie Mae, UMBS, 3%, 12/01/2037 - 10/01/2052 | 18,004,548 | 15,713,234 | ||
Fannie Mae, UMBS, 1.5%, 2/01/2042 | 166,155 | 135,114 | ||
Fannie Mae, UMBS, 6.5%, 4/01/2043 - 12/01/2053 | 1,561,026 | 1,594,818 | ||
Fannie Mae, UMBS, 3.5%, 5/01/2052 | 853,107 | 766,748 | ||
Fannie Mae, UMBS, 4.5%, 9/01/2052 | 721,721 | 693,380 | ||
Fannie Mae, UMBS, 5%, 12/01/2052 - 3/01/2053 | 6,092,227 | 5,947,052 | ||
Fannie Mae, UMBS, 6%, 12/01/2052 - 2/01/2053 | 1,960,790 | 1,999,581 | ||
Fannie Mae, UMBS, 5.5%, 4/01/2053 - 11/01/2053 | 3,790,054 | 3,772,485 | ||
Federal Home Loan Bank, 5%, 7/01/2035 | 659,680 | 663,972 | ||
Freddie Mac, 2.67%, 12/25/2024 | 2,784,000 | 2,733,350 | ||
Freddie Mac, 2.811%, 1/25/2025 | 3,360,406 | 3,292,917 | ||
Freddie Mac, 4%, 7/01/2025 - 4/01/2044 | 1,203,033 | 1,144,253 | ||
Freddie Mac, 4.5%, 7/01/2025 - 5/01/2042 | 1,894,429 | 1,858,161 | ||
Freddie Mac, 3.3%, 10/25/2026 | 2,958,000 | 2,852,804 | ||
Freddie Mac, 3%, 6/15/2028 - 2/25/2059 | 9,323,238 | 8,307,506 | ||
Freddie Mac, 1.09%, 7/25/2029 (i) | 4,024,900 | 189,694 | ||
Freddie Mac, 1.141%, 8/25/2029 (i) | 6,936,342 | 344,917 | ||
Freddie Mac, 1.868%, 4/25/2030 (i) | 1,901,414 | 178,486 | ||
Freddie Mac, 5.5%, 5/01/2034 - 1/01/2038 | 143,253 | 146,273 | ||
Freddie Mac, 6%, 8/01/2034 - 7/01/2038 | 42,147 | 43,386 | ||
Freddie Mac, 5%, 11/01/2035 - 7/01/2041 | 660,161 | 660,539 |
6
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Freddie Mac, 5.5%, 2/15/2036 (i) | $ | 64,569 | $11,333 | |
Freddie Mac, 3.5%, 11/01/2037 - 10/25/2058 | 10,601,528 | 9,723,465 | ||
Freddie Mac, 4.5%, 12/15/2040 (i) | 35,380 | 3,080 | ||
Freddie Mac, 4%, 8/15/2044 (i) | 66,243 | 6,745 | ||
Freddie Mac, 3.25%, 11/25/2061 | 749,099 | 643,241 | ||
Freddie Mac, UMBS, 2%, 4/01/2037 - 5/01/2052 | 37,045,537 | 29,812,219 | ||
Freddie Mac, UMBS, 2.5%, 7/01/2037 - 9/01/2052 | 19,932,089 | 16,580,601 | ||
Freddie Mac, UMBS, 3.5%, 12/01/2046 - 1/01/2054 | 2,736,622 | 2,461,462 | ||
Freddie Mac, UMBS, 3%, 3/01/2047 - 6/01/2052 | 2,734,905 | 2,391,600 | ||
Freddie Mac, UMBS, 5%, 8/01/2052 - 10/01/2052 | 734,789 | 717,198 | ||
Freddie Mac, UMBS, 4.5%, 10/01/2052 | 1,553,651 | 1,479,432 | ||
Freddie Mac, UMBS, 5.5%, 4/01/2053 - 10/01/2053 | 6,707,334 | 6,682,751 | ||
Ginnie Mae, 5.5%, 5/15/2033 - 4/20/2053 | 4,920,027 | 4,937,403 | ||
Ginnie Mae, 4.5%, 10/20/2033 - 12/20/2052 | 12,986,169 | 12,573,166 | ||
Ginnie Mae, 6%, 1/20/2036 - 1/15/2039 | 76,487 | 79,027 | ||
Ginnie Mae, 4%, 10/20/2040 - 10/20/2052 | 8,065,144 | 7,571,727 | ||
Ginnie Mae, 3.5%, 11/15/2040 - 9/20/2053 | 9,665,682 | 8,865,955 | ||
Ginnie Mae, 3%, 11/20/2044 - 10/20/2052 | 12,466,775 | 11,081,919 | ||
Ginnie Mae, 2.5%, 8/20/2051 - 4/20/2052 | 11,804,205 | 10,057,130 | ||
Ginnie Mae, 2%, 1/20/2052 - 3/20/2052 | 6,594,773 | 5,404,907 | ||
Ginnie Mae, 5%, 1/20/2053 - 5/20/2053 | 11,735,682 | 11,532,963 | ||
Ginnie Mae, 7%, 12/20/2053 | 300,000 | 306,625 | ||
Ginnie Mae, TBA, 2%, 4/18/2054 - 5/15/2054 | 7,375,000 | 6,046,188 | ||
Ginnie Mae, TBA, 6.5%, 5/01/2054 | 1,450,000 | 1,472,760 | ||
Ginnie Mae, TBA, 6%, 5/15/2054 | 1,975,000 | 1,990,642 | ||
Ginnie Mae, TBA, 3%, 5/20/2054 | 1,900,000 | 1,676,929 | ||
UMBS, TBA, 2.5%, 4/16/2039 - 5/15/2054 | 2,150,000 | 1,937,400 | ||
UMBS, TBA, 3%, 4/25/2039 | 850,000 | 791,050 | ||
UMBS, TBA, 5%, 5/01/2039 | 275,000 | 274,535 | ||
UMBS, TBA, 3.5%, 4/11/2054 - 5/25/2054 | 1,925,000 | 1,723,248 | ||
UMBS, TBA, 4%, 4/11/2054 | 1,325,000 | 1,226,952 | ||
UMBS, TBA, 2%, 4/25/2054 - 5/13/2054 | 1,025,000 | 811,633 | ||
$322,580,319 | ||||
Municipals – 1.3% | ||||
Bridgeview, IL, Stadium and Redevelopment Projects, Taxable, AAC, 5.06%, 12/01/2025 | $ | 415,000 | $408,364 | |
Bridgeview, IL, Stadium and Redevelopment Projects, Taxable, AAC, 5.14%, 12/01/2036 | 8,850,000 | 7,879,544 | ||
Escambia County, FL, Health Facilities Authority Rev., Taxable (Baptist Health Care Corp.), “B”, AGM, 3.607%, 8/15/2040 | 1,295,000 | 1,027,523 | ||
Oklahoma Development Finance Authority, Health System Rev., Taxable (OU Medicine Project), “C”, 5.45%, 8/15/2028 | 3,770,000 | 3,414,000 | ||
Philadelphia, PA, School District, Taxable, “B”, AGM, 6.615%, 6/01/2030 | 3,250,000 | 3,448,933 | ||
State of Florida, Taxable, “A”, 2.154%, 7/01/2030 | 5,223,000 | 4,461,433 | ||
$20,639,797 | ||||
Natural Gas - Distribution – 0.7% | ||||
Boston Gas Co., 3.15%, 8/01/2027 (n) | $ | 9,122,000 | $8,459,880 | |
NiSource, Inc., 3.6%, 5/01/2030 | 2,622,000 | 2,414,982 | ||
$10,874,862 | ||||
Oils – 0.2% | ||||
Marathon Petroleum Corp., 5.85%, 12/15/2045 | $ | 2,507,000 | $2,480,546 | |
Other Banks & Diversified Financials – 1.9% | ||||
BPCE S.A., 4.5%, 3/15/2025 (n) | $ | 5,458,000 | $5,377,482 | |
Discover Financial Services, 6.7%, 11/29/2032 | 7,435,000 | 7,859,130 | ||
Macquarie Bank Ltd. of London, 6.125% to 3/08/2027, FLR (Swap Rate - 5yr. + 4.332%) to 12/31/2165 (n) | 4,694,000 | 4,505,509 | ||
Macquarie Group Ltd., 4.442% to 6/21/2032, FLR (SOFR - 1 day + 2.405%) to 6/21/2033 (n) | 11,447,000 | 10,627,211 | ||
$28,369,332 |
7
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Real Estate - Office – 0.4% | ||||
Boston Properties LP, REIT, 2.55%, 4/01/2032 | $ | 7,238,000 | $5,725,656 | |
Retailers – 0.3% | ||||
Penske Automotive Group Co., 3.75%, 6/15/2029 | $ | 5,509,000 | $4,940,603 | |
Specialty Chemicals – 0.3% | ||||
International Flavors & Fragrances, Inc., 2.3%, 11/01/2030 (n) | $ | 4,745,000 | $3,941,886 | |
Specialty Stores – 0.2% | ||||
DICK'S Sporting Goods, 3.15%, 1/15/2032 | $ | 3,801,000 | $3,243,000 | |
Telecommunications - Wireless – 1.1% | ||||
Rogers Communications, Inc., 4.5%, 3/15/2042 | $ | 6,129,000 | $5,323,108 | |
Rogers Communications, Inc., 4.55%, 3/15/2052 | 6,129,000 | 5,157,121 | ||
SBA Communications Corp., 3.125%, 2/01/2029 | 4,025,000 | 3,552,085 | ||
T-Mobile USA, Inc., 2.55%, 2/15/2031 | 1,939,000 | 1,651,675 | ||
T-Mobile USA, Inc., 4.375%, 4/15/2040 | 635,000 | 565,558 | ||
Vodafone Group PLC, 5.625%, 2/10/2053 | 1,337,000 | 1,328,761 | ||
$17,578,308 | ||||
Tobacco – 1.1% | ||||
B.A.T. Capital Corp., 4.742%, 3/16/2032 | $ | 5,611,000 | $5,366,972 | |
B.A.T. International Finance PLC, 4.448%, 3/16/2028 | 4,936,000 | 4,793,094 | ||
Philip Morris International, Inc., 5.125%, 11/17/2027 | 2,140,000 | 2,151,067 | ||
Philip Morris International, Inc., 5.625%, 11/17/2029 | 922,000 | 949,540 | ||
Philip Morris International, Inc., 5.125%, 2/15/2030 | 3,757,000 | 3,756,959 | ||
$17,017,632 | ||||
Transportation - Services – 0.1% | ||||
ERAC USA Finance LLC, 7%, 10/15/2037 (n) | $ | 1,983,000 | $2,261,365 | |
U.S. Government Agencies and Equivalents – 0.7% | ||||
Small Business Administration, 4.99%, 9/01/2024 | $ | 384 | $381 | |
Small Business Administration, 4.86%, 1/01/2025 | 1,779 | 1,763 | ||
Small Business Administration, 4.625%, 2/01/2025 | 2,317 | 2,289 | ||
Small Business Administration, 5.11%, 4/01/2025 | 1,602 | 1,588 | ||
Small Business Administration, 4.43%, 5/01/2029 | 68,040 | 66,644 | ||
Small Business Administration, 3.21%, 9/01/2030 | 1,085,560 | 1,030,577 | ||
Small Business Administration, 3.25%, 11/01/2030 | 116,802 | 110,947 | ||
Small Business Administration, 2.85%, 9/01/2031 | 228,891 | 212,915 | ||
Small Business Administration, 2.37%, 8/01/2032 | 181,659 | 164,337 | ||
Small Business Administration, 2.13%, 1/01/2033 | 859,250 | 777,379 | ||
Small Business Administration, 2.21%, 2/01/2033 | 216,066 | 195,833 | ||
Small Business Administration, 2.22%, 3/01/2033 | 689,324 | 623,760 | ||
Small Business Administration, 2.08%, 4/01/2033 | 1,364,694 | 1,234,691 | ||
Small Business Administration, 2.45%, 6/01/2033 | 1,436,065 | 1,307,595 | ||
Small Business Administration, 3.15%, 7/01/2033 | 1,766,441 | 1,650,520 | ||
Small Business Administration, 3.16%, 8/01/2033 | 1,990,599 | 1,862,398 | ||
Small Business Administration, 3.62%, 9/01/2033 | 1,662,383 | 1,579,738 | ||
$10,823,355 | ||||
U.S. Treasury Obligations – 19.9% | ||||
U.S. Treasury Bonds, 1.375%, 11/15/2040 (f) | $ | 30,300,000 | $19,484,320 | |
U.S. Treasury Bonds, 1.75%, 8/15/2041 | 9,700,000 | 6,545,984 | ||
U.S. Treasury Bonds, 2.375%, 2/15/2042 | 9,900,000 | 7,363,512 | ||
U.S. Treasury Bonds, 4%, 11/15/2042 | 17,580,000 | 16,559,536 | ||
U.S. Treasury Bonds, 4.375%, 8/15/2043 | 9,600,000 | 9,486,000 | ||
U.S. Treasury Bonds, 4.75%, 11/15/2043 | 30,400,000 | 31,535,250 |
8
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Treasury Obligations – continued | ||||
U.S. Treasury Notes, 5%, 8/31/2025 | $ | 56,100,000 | $56,213,953 | |
U.S. Treasury Notes, 4.375%, 12/15/2026 | 31,000,000 | 30,923,711 | ||
U.S. Treasury Notes, 4.125%, 2/15/2027 | 71,000,000 | 70,400,938 | ||
U.S. Treasury Notes, 4.125%, 7/31/2028 | 51,400,000 | 51,078,750 | ||
U.S. Treasury Notes, 3.875%, 8/15/2033 | 3,500,000 | 3,407,031 | ||
$302,998,985 | ||||
Utilities - Electric Power – 1.3% | ||||
American Electric Power Co., Inc., 5.95%, 11/01/2032 | $ | 2,985,000 | $3,102,777 | |
Calpine Corp., 3.75%, 3/01/2031 (n) | 3,680,000 | 3,222,623 | ||
Enel Finance International N.V., 7.5%, 10/14/2032 (n) | 746,000 | 840,608 | ||
Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | 5,303,000 | 4,406,315 | ||
Pacific Gas & Electric Co., 3%, 6/15/2028 | 2,630,000 | 2,402,244 | ||
Pacific Gas & Electric Co., 3.3%, 8/01/2040 | 8,840,000 | 6,472,032 | ||
$20,446,599 | ||||
Total Bonds | $1,484,191,864 | |||
Investment Companies (h) – 2.3% | ||||
Money Market Funds – 2.3% | ||||
MFS Institutional Money Market Portfolio, 5.38% (v) | 34,877,656 | $34,884,632 | ||
Other Assets, Less Liabilities – 0.4% | 6,184,934 | |||
Net Assets – 100.0% | $1,525,261,430 |
(d) | In default. |
(f) | All or a portion of the security has been segregated as collateral for open futures contracts. |
(h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $34,884,632 and $1,484,191,864, 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 $365,584,808, representing 24.0% of net assets. |
(p) | Payment-in-kind (PIK) security for which interest income may be received in additional securities and/or cash. |
(q) | Interest received was less than stated coupon rate. |
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
(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-FL7, “C”, FLR, 7.643% ((SOFR - 1mo. + 0.11448%) + 2.95%), 11/25/2036 | 11/12/21 | $1,340,000 | $1,285,047 |
ReadyCap Commercial Mortgage Trust, 2021-FL7, “D”, FLR, 8.393% ((SOFR - 1mo. + 0.11448%) + 2.95%), 11/25/2036 | 11/12/21 | 1,575,000 | 1,472,790 |
Total Restricted Securities | $2,757,837 | ||
% of Net assets | 0.2% |
The following abbreviations are used in this report and are defined: | |
AAC | Ambac Assurance Corp. |
AGM | Assured Guaranty Municipal |
CDO | Collateralized Debt Obligation |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
FGIC | Financial Guaranty Insurance Co. |
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 |
9
Portfolio of Investments (unaudited) –
continued
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 3/31/24 | ||||||
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Note 5 yr | Long | USD | 58 | $6,206,906 | June – 2024 | $15,698 |
U.S. Treasury Ultra Bond 30 yr | Long | USD | 672 | 86,688,000 | June – 2024 | 1,241,677 |
$1,257,375 | ||||||
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Bond 30 yr | Long | USD | 200 | $24,087,500 | June – 2024 | $(282,000) |
U.S. Treasury Note 2 yr | Long | USD | 332 | 67,888,813 | June – 2024 | (33,505) |
$(315,505) |
At March 31, 2024, the fund had
liquid securities with an aggregate value of $5,877,604 to cover any collateral or margin obligations for certain derivative
contracts.
See attached supplemental
information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.
10
Supplemental Information
3/31/24 (unaudited)
The fund is an investment company
and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment
Companies.
(1) Investment Valuations
Subject to its oversight, the fund's
Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments to MFS as the fund's adviser, pursuant to the fund’s valuation policy
and procedures which have been adopted by the adviser and approved by the Board. In accordance with Rule 2a-5 under the Investment Company Act of 1940, the Board of Trustees designated the adviser as the
“valuation designee” of the fund. If the adviser, as valuation designee, determines that reliable market quotations are not readily available for an investment, the investment is valued at fair value as
determined in good faith by the adviser in accordance with the adviser’s fair valuation policy and procedures.
Under the fund's valuation policy
and procedures, debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term
instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value. Futures contracts are generally valued at last posted settlement price on their primary
exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as
provided by a third-party pricing service. Open-end investment companies are generally valued at net asset value per share. The values of foreign securities and other assets and liabilities expressed in foreign
currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.
Under the fund’s valuation
policy and procedures, market quotations are not considered to be readily available for debt instruments, floating rate loans, and many types of derivatives. These investments are generally valued at fair value based
on information from third-party pricing services or otherwise determined by the adviser in accordance with the adviser’s fair valuation policy and procedures. Securities and other assets generally valued on the
basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. In determining values, third-party pricing services can utilize both transaction data and market information
such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, spreads and other market data. An investment may also be valued at fair value if the adviser determines that the
investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the
determination of the fund’s net asset value, or after the halt of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally
traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment
characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The
value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used
to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it
were to sell the investment at the same time at which the fund determines its net asset value per share.
Various inputs are used in
determining the value of the fund's assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value
hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund's assessment of the significance of a
particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or
liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk).
11
Supplemental Information (unaudited) –
continued
Level 3 includes significant unobservable inputs,
which may include the adviser's own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts. The following is a summary of the levels
used as of March 31, 2024 in valuing the fund's assets and liabilities:
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | $— | $313,822,340 | $— | $313,822,340 |
Non - U.S. Sovereign Debt | — | 1,857,808 | — | 1,857,808 |
Municipal Bonds | — | 20,639,797 | — | 20,639,797 |
U.S. Corporate Bonds | — | 397,565,401 | — | 397,565,401 |
Residential Mortgage-Backed Securities | — | 328,072,886 | — | 328,072,886 |
Commercial Mortgage-Backed Securities | — | 102,553,388 | — | 102,553,388 |
Asset-Backed Securities (including CDOs) | — | 170,843,808 | — | 170,843,808 |
Foreign Bonds | — | 148,836,436 | — | 148,836,436 |
Mutual Funds | 34,884,632 | — | — | 34,884,632 |
Total | $34,884,632 | $1,484,191,864 | $— | $1,519,076,496 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $1,257,375 | $— | $— | $1,257,375 |
Futures Contracts – Liabilities | (315,505) | — | — | (315,505) |
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 | $31,028,388 | $79,968,596 | $76,114,504 | $(805) | $2,957 | $34,884,632 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $294,025 | $— |
12