Quarterly Report
February 28, 2023
MFS® Global Opportunistic
Bond Fund
Bond Fund
GLB-Q1
Portfolio of Investments
2/28/23 (unaudited)
The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.
Issuer | Shares/Par | Value ($) | ||
Bonds – 94.7% | ||||
Aerospace & Defense – 0.3% | ||||
Boeing Co., 5.805%, 5/01/2050 | $ | 1,040,000 | $989,275 | |
Raytheon Technologies Corp., 2.82%, 9/01/2051 | 2,415,000 | 1,588,212 | ||
$2,577,487 | ||||
Alcoholic Beverages – 0.1% | ||||
Pernod Ricard S.A., 3.75%, 11/02/2032 | EUR | 900,000 | $945,741 | |
Apparel Manufacturers – 0.1% | ||||
Tapestry, Inc., 3.05%, 3/15/2032 | $ | 1,264,000 | $1,004,339 | |
Asset-Backed & Securitized – 8.3% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.027%, 11/15/2054 (i) | $ | 11,859,627 | $655,434 | |
AA Bond Co. Ltd., 3.25%, 7/31/2028 | GBP | 980,000 | 929,938 | |
ACREC 2021-FL1 Ltd., “C”, FLR, 6.751% (LIBOR - 1mo. + 2.15%), 10/16/2036 (n) | $ | 2,557,500 | 2,446,142 | |
ACRES 2021-FL2 Issuer Ltd., “AS”, FLR, 6.351% (LIBOR - 1mo. + 1.75%), 1/15/2037 (n) | 1,595,500 | 1,558,844 | ||
ACRES 2021-FL2 Issuer Ltd., “B”, FLR, 6.851% (LIBOR - 1mo. + 2.25%), 1/15/2037 (n) | 2,479,000 | 2,398,163 | ||
Arbor Realty Trust, Inc., CLO, 2019-FL2, “AS”, FLR, 6.127% (LIBOR - 1mo. + 1.45%), 9/15/2034 (n) | 450,000 | 446,474 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “C”, FLR, 6.572% (LIBOR - 1mo. + 2%), 12/15/2035 (n) | 204,000 | 193,742 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL2, “B”, FLR, 6.188% (LIBOR - 1mo. + 1.6%), 5/15/2036 (n) | 418,000 | 403,558 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL2, “C”, FLR, 6.537% (LIBOR - 1mo. + 1.95%), 5/15/2036 (n) | 1,359,500 | 1,297,678 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “B”, FLR, 6.188% (LIBOR - 1mo. + 1.6%), 8/15/2034 (n) | 1,205,000 | 1,135,358 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “C”, FLR, 6.438% (LIBOR - 1mo. + 1.85%), 8/15/2034 (n) | 1,049,500 | 987,566 | ||
Arbor Realty Trust, Inc., CLO, 2022-FL1, “C”, FLR, 6.701% (SOFR - 30 day + 2.3%), 1/15/2037 (n) | 3,751,000 | 3,545,174 | ||
Arbor Realty Trust, Inc., CLO, 2022-FL1, “D”, FLR, 7.401% (SOFR - 30 day + 3%), 1/15/2037 (n) | 2,400,000 | 2,262,503 | ||
AREIT 2022-CRE6 Trust, “C”, FLR, 6.576% (SOFR - 30 day + 2.15%), 1/16/2037 (n) | 533,500 | 500,501 | ||
AREIT 2022-CRE6 Trust, “D”, FLR, 7.276% (SOFR - 30 day + 2.85%), 1/16/2037 (n) | 569,500 | 531,944 | ||
BBCMS Mortgage Trust, 2020-C7, “XA”, 1.622%, 4/15/2053 (i) | 1,434,941 | 103,203 | ||
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.297%, 7/15/2054 (i) | 9,746,523 | 709,866 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.62%, 2/15/2054 (i) | 15,103,682 | 1,350,826 | ||
BBCMS Mortgage Trust, 2022-C18, “AS”, 6.148%, 12/15/2055 | 1,004,922 | 1,055,352 | ||
Benchmark 2020-B18 Mortgage Trust, “XA”, 1.788%, 7/15/2053 (i) | 12,908,930 | 989,703 | ||
Benchmark 2021-B24 Mortgage Trust, “XA”, 1.151%, 3/15/2054 (i) | 6,403,607 | 396,755 | ||
Benchmark 2021-B26 Mortgage Trust, “XA”, 0.885%, 6/15/2054 (i) | 19,819,376 | 971,621 | ||
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.266%, 7/15/2054 (i) | 20,267,290 | 1,454,012 | ||
Benchmark 2021-B28 Mortgage Trust, “XA”, 1.282%, 8/15/2054 (i) | 20,983,897 | 1,520,546 | ||
Benchmark 2022-B37 Mortgage Trust, “AS”, 5.751%, 11/15/2055 | 394,000 | 396,830 | ||
BSPRT 2021-FL7 Issuer Ltd., “B”, FLR, 6.638% (LIBOR - 1mo. + 2.05%), 12/15/2038 (n) | 632,000 | 606,339 | ||
BSPRT 2021-FL7 Issuer Ltd., “C”, FLR, 6.887% (LIBOR - 1mo. + 2.3%), 12/15/2038 (n) | 572,500 | 548,114 | ||
Business Jet Securities LLC, 2020-1A, “A”, 2.981%, 11/15/2035 (n) | 229,710 | 216,250 | ||
Business Jet Securities LLC, 2021-1A, “A”, 2.162%, 4/15/2036 (n) | 395,093 | 354,801 | ||
BXMT 2021-FL4 Ltd., “AS”, FLR, 5.887% (LIBOR - 1mo. + 1.3%), 5/15/2038 (n) | 1,100,000 | 1,056,967 | ||
BXMT 2021-FL4 Ltd., “B”, FLR, 6.137% (LIBOR - 1mo. + 1.55%), 5/15/2038 (n) | 2,995,500 | 2,790,319 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 490,747 | 457,378 | ||
CarMax Auto Owner Trust, 2022-2, “A4”, 3.62%, 9/15/2027 | 1,435,000 | 1,380,473 | ||
CF Hippolyta Issuer LLC, 2020-1, “A1”, 1.69%, 7/15/2060 (n) | 382,645 | 342,614 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.778%, 4/15/2054 (i) | 7,806,253 | 334,261 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN34, “XA”, 0.976%, 6/15/2063 (i) | 11,363,581 | 628,082 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.046%, 6/15/2064 (i) | 9,482,424 | 558,075 | ||
Commercial Mortgage Pass-Through Certificates, 2022-BNK41, “AS”, 3.79%, 4/15/2065 | 2,344,000 | 2,035,968 | ||
DT Auto Owner Trust, 2023-1A, “A”, 5.48%, 4/15/2027 (n) | 1,225,392 | 1,222,968 | ||
Fortress CBO Investments Ltd., 2022-FL3, “AS”, FLR, 6.725% (SOFR - 30 day + 2.25%), 2/23/2039 (n) | 990,500 | 953,047 | ||
FS Rialto 2021-FL2 Issuer Ltd., “AS”, FLR, 6.14% (LIBOR - 1mo. + 1.6%), 5/16/2038 (n) | 2,483,500 | 2,366,867 | ||
HarbourView CLO VII Ltd., 7RA, “B”, FLR, 6.494% (LIBOR - 3mo. + 1.7%), 7/18/2031 (n) | 2,560,000 | 2,464,458 | ||
KREF 2018-FT1 Ltd., “AS”, FLR, 5.901% (LIBOR - 1mo. + 1.3%), 2/15/2039 (n) | 2,500,000 | 2,385,872 | ||
KREF 2021-FL2 Ltd., “B”, FLR, 6.251% (LIBOR - 1mo. + 1.65%), 2/15/2039 (n) | 2,155,000 | 2,004,284 | ||
LoanCore 2021-CRE5 Ltd., “AS”, FLR, 6.338% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | 3,300,000 | 3,191,134 |
1
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
LoanCore 2021-CRE5 Ltd., “B”, FLR, 6.588% (LIBOR - 1mo. + 2%), 7/15/2036 (n) | $ | 1,395,500 | $1,326,304 | |
MF1 2020-FL4 Ltd., “AS”, FLR, 6.776% (LIBOR - 1mo. + 2.1%), 11/15/2035 (n) | 647,000 | 646,225 | ||
MF1 2021-FL5 Ltd., “B”, FLR, 6.126% (LIBOR - 1mo. + 1.45%), 7/15/2036 (n) | 2,542,500 | 2,458,636 | ||
MF1 2021-FL5 Ltd., “C”, FLR, 6.376% (LIBOR - 1mo. + 1.7%), 7/15/2036 (n) | 645,000 | 606,290 | ||
MF1 2021-FL6 Ltd., “AS”, FLR, 6.051% (LIBOR - 1mo. + 1.45%), 7/16/2036 (n) | 2,500,000 | 2,414,149 | ||
MF1 2021-FL6 Ltd., “B”, FLR, 6.251% (LIBOR - 1mo. + 1.65%), 7/16/2036 (n) | 3,800,000 | 3,632,194 | ||
MF1 2022-FL8 Ltd., “C”, FLR, 6.634% (SOFR - 30 day + 2.2%), 2/19/2037 (n) | 1,130,366 | 1,061,139 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.295%, 5/15/2054 (i) | 5,713,766 | 388,923 | ||
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.228%, 6/15/2054 (i) | 17,331,833 | 1,081,191 | ||
Navistar Financial Dealer Note Master Owner Trust, 2022-1, “A”, FLR, 5.684% (SOFR - 30 day + 1.25%), 5/25/2027 (n) | 947,000 | 949,637 | ||
PFP III 2021-7 Ltd., “AS”, FLR, 5.738% (LIBOR - 1mo. + 1.15%), 4/14/2038 (n) | 871,956 | 832,071 | ||
PFP III 2021-7 Ltd., “B”, FLR, 5.99% (LIBOR - 1mo. + 1.4%), 4/14/2038 (n) | 684,966 | 645,419 | ||
PFP III 2021-7 Ltd., “C”, FLR, 6.24% (LIBOR - 1mo. + 1.65%), 4/14/2038 (n) | 468,477 | 438,685 | ||
PFP III 2021-8 Ltd., “B”, FLR, 6.09% (LIBOR - 1mo. + 1.5%), 8/09/2037 (n) | 812,000 | 763,665 | ||
RAC Bond Co. PLC, 4.87%, 5/06/2026 | GBP | 670,000 | 748,755 | |
Shelter Growth CRE 2021-FL3 Ltd., “C”, FLR, 6.737% (LIBOR - 1mo. + 2.15%), 9/15/2036 (n) | $ | 1,212,000 | 1,144,578 | |
Starwood Commercial Mortgage, 2021-FL2, “B”, FLR, 6.401% (LIBOR - 1mo. + 1.8%), 4/18/2038 (n) | 1,223,000 | 1,153,943 | ||
Starwood Commercial Mortgage, 2021-FL2, “C”, FLR, 6.701% (LIBOR - 1mo. + 2.1%), 4/18/2038 (n) | 238,000 | 221,899 | ||
TPG Real Estate Finance, 2021-FL4, “A”, FLR, 5.801% (LIBOR - 1mo. + 1.2%), 3/15/2038 (n) | 762,000 | 738,022 | ||
TPG Real Estate Finance, 2021-FL4, “AS”, FLR, 6.001% (LIBOR - 1mo. + 1.4%), 3/15/2038 (n) | 800,000 | 761,763 | ||
Wells Fargo Commercial Mortgage Trust, 2021-C59, “XA”, 1.534%, 4/15/2054 (i) | 9,345,910 | 789,608 | ||
Wells Fargo Commercial Mortgage Trust, 2021-C60, “XA”, 1.545%, 8/15/2054 (i) | 15,653,306 | 1,360,543 | ||
Westlake Automobile Receivable Trust, 2023-1A, “A2B”, FLR, 5.251% (SOFR - 1mo. + 0.85%), 6/15/2026 (n) | 472,000 | 472,019 | ||
$78,775,662 | ||||
Automotive – 0.7% | ||||
Hyundai Capital America, 2%, 6/15/2028 (n) | $ | 590,000 | $491,388 | |
Hyundai Capital America, 6.375%, 4/08/2030 (n) | 466,000 | 480,837 | ||
Mercedes-Benz Financial Services (Canada), 3%, 2/23/2027 | EUR | 580,000 | 597,365 | |
RAC Bond Co. PLC, 5.25%, 11/04/2027 | GBP | 200,000 | 198,522 | |
RAC Bond Co. PLC, 5.25%, 11/04/2046 (n) | 1,950,000 | 1,935,584 | ||
TI Automotive Finance PLC, 3.75%, 4/15/2029 (n) | EUR | 2,590,000 | 2,071,293 | |
TI Automotive Finance PLC, 3.75%, 4/15/2029 | 1,050,000 | 839,713 | ||
$6,614,702 | ||||
Broadcasting – 1.1% | ||||
Discovery, Inc., 4.125%, 5/15/2029 | $ | 1,860,000 | $1,666,280 | |
Prosus N.V., 3.061%, 7/13/2031 (n) | 895,000 | 686,898 | ||
Prosus N.V., 4.027%, 8/03/2050 | 1,200,000 | 758,986 | ||
Summer (BC) Holdco S.à r.l., “A”, 9.25%, 10/31/2027 | EUR | 2,230,105 | 1,951,256 | |
Ubisoft Entertainment S.A., 0.878%, 11/24/2027 | 1,400,000 | 1,109,474 | ||
Warnermedia Holdings, Inc., 4.279%, 3/15/2032 (n) | $ | 1,563,000 | 1,349,355 | |
WMG Acquisition Corp., 2.25%, 8/31/2031 (n) | EUR | 1,764,000 | 1,394,497 | |
WMG Acquisition Corp., 2.25%, 8/31/2031 | 1,360,000 | 1,075,123 | ||
$9,991,869 | ||||
Brokerage & Asset Managers – 0.2% | ||||
Ameriprise Financial, Inc., 4.5%, 5/13/2032 | $ | 551,000 | $536,416 | |
Low Income Investment Fund, 3.386%, 7/01/2026 | 310,000 | 293,622 | ||
Low Income Investment Fund, 3.711%, 7/01/2029 | 840,000 | 754,120 | ||
$1,584,158 | ||||
Building – 0.6% | ||||
Holcim Sterling Finance (Netherlands) B.V., 2.25%, 4/04/2034 | GBP | 1,020,000 | $882,433 | |
New Enterprise Stone & Lime Co., Inc., 5.25%, 7/15/2028 (n) | $ | 2,130,000 | 1,947,042 | |
Standard Industries, Inc., 4.75%, 1/15/2028 (n) | 1,770,000 | 1,590,264 | ||
Vulcan Materials Co., 3.5%, 6/01/2030 | 1,618,000 | 1,435,707 | ||
$5,855,446 |
2
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Business Services – 0.8% | ||||
Entegris Escrow Corp., 5.95%, 6/15/2030 (n) | $ | 2,241,000 | $2,084,338 | |
Euronet Worldwide, Inc., 1.375%, 5/22/2026 | EUR | 770,000 | 726,064 | |
Fiserv, Inc., 2.65%, 6/01/2030 | $ | 1,341,000 | 1,123,368 | |
Fiserv, Inc., 4.4%, 7/01/2049 | 669,000 | 540,885 | ||
Mastercard, Inc., 3.3%, 3/26/2027 | 1,960,000 | 1,853,391 | ||
Mastercard, Inc., 3.85%, 3/26/2050 | 691,000 | 581,998 | ||
Visa, Inc., 3.65%, 9/15/2047 | 1,125,000 | 931,470 | ||
$7,841,514 | ||||
Cable TV – 1.2% | ||||
CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, 8/15/2030 (n) | $ | 2,995,000 | $2,463,447 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.908%, 7/23/2025 | 607,000 | 593,953 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.8%, 3/01/2050 | 942,000 | 688,472 | ||
Comcast Corp., 3.75%, 4/01/2040 | 870,000 | 712,533 | ||
SES S.A., 3.5%, 1/14/2029 | EUR | 1,040,000 | 1,008,791 | |
Virgin Media Finance PLC, 3.75%, 7/15/2030 | 2,950,000 | 2,409,430 | ||
VTR Comunicaciones S.p.A., 5.125%, 1/15/2028 | $ | 1,900,000 | 1,342,996 | |
Ziggo B.V., 3.375%, 2/28/2030 | EUR | 2,875,000 | 2,303,472 | |
$11,523,094 | ||||
Chemicals – 0.6% | ||||
Axalta Coating Systems Ltd., 3.375%, 2/15/2029 (n) | $ | 2,700,000 | $2,241,114 | |
BASF SE, 4.5%, 3/08/2035 | EUR | 1,000,000 | 1,056,251 | |
LYB International Finance III, LLC, 4.2%, 5/01/2050 | $ | 1,382,000 | 1,039,807 | |
Sasol Financing (USA) LLC, 4.375%, 9/18/2026 | 800,000 | 718,792 | ||
Synthos S.A., 2.5%, 6/07/2028 (n) | EUR | 1,286,000 | 1,067,568 | |
$6,123,532 | ||||
Computer Software – 0.3% | ||||
Microsoft Corp., 3.3%, 2/06/2027 | $ | 774,000 | $739,484 | |
Microsoft Corp., 2.525%, 6/01/2050 | 888,000 | 593,006 | ||
Microsoft Corp., 2.675%, 6/01/2060 | 1,695,000 | 1,098,332 | ||
$2,430,822 | ||||
Computer Software - Systems – 0.4% | ||||
Apple, Inc., 3.2%, 5/11/2027 | $ | 2,523,000 | $2,383,933 | |
Apple, Inc., 4.5%, 2/23/2036 | 953,000 | 934,015 | ||
$3,317,948 | ||||
Conglomerates – 0.8% | ||||
ABB Finance B.V., 3.25%, 1/16/2027 | EUR | 210,000 | $218,871 | |
ABB Finance B.V., 3.375%, 1/16/2031 | 390,000 | 399,270 | ||
Regal Rexnord Corp., 6.05%, 4/15/2028 (n) | $ | 1,259,000 | 1,231,061 | |
Siemens Financieringsmaatschappij N.V., 3.625%, 2/24/2043 | EUR | 700,000 | 700,057 | |
TriMas Corp., 4.125%, 4/15/2029 (n) | $ | 3,265,000 | 2,840,550 | |
Westinghouse Air Brake Technologies Corp., 4.95%, 9/15/2028 | 2,727,000 | 2,631,601 | ||
$8,021,410 | ||||
Consumer Products – 0.1% | ||||
JAB Holdings B.V., 2.25%, 12/19/2039 | EUR | 1,900,000 | $1,370,359 | |
Consumer Services – 0.5% | ||||
Booking Holdings, Inc., 4.75%, 11/15/2034 | EUR | 540,000 | $588,957 | |
Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2027 (n) | $ | 1,754,000 | 1,300,275 | |
TriNet Group, Inc., 3.5%, 3/01/2029 (n) | 3,190,000 | 2,663,659 | ||
$4,552,891 |
3
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Containers – 0.4% | ||||
ARD Finance S.A., 5%, (5% Cash or 5.75% PIK) 6/30/2027 (p) | EUR | 1,831,829 | $1,484,784 | |
Ardagh Metal Packaging Finance USA LLC, 3%, 9/01/2029 (n) | 1,800,000 | 1,427,358 | ||
Ardagh Metal Packaging Finance USA LLC, 3%, 9/01/2029 | 450,000 | 356,840 | ||
Can-Pack S.A./Eastern PA Land Investment Holding LLC, 3.125%, 11/01/2025 | $ | 900,000 | 795,616 | |
$4,064,598 | ||||
Electrical Equipment – 0.4% | ||||
Arrow Electronics, Inc., 2.95%, 2/15/2032 | $ | 1,680,000 | $1,349,933 | |
Nokia Corp., 4.375%, 8/21/2031 | EUR | 140,000 | 145,167 | |
Telefonaktiebolaget LM Ericsson, 1.125%, 2/08/2027 | 1,390,000 | 1,267,389 | ||
Telefonaktiebolaget LM Ericsson, 1%, 5/26/2029 | 1,830,000 | 1,490,413 | ||
$4,252,902 | ||||
Electronics – 0.2% | ||||
Broadcom, Inc., 3.419%, 4/15/2033 (n) | $ | 1,876,000 | $1,510,363 | |
Broadcom, Inc., 3.187%, 11/15/2036 (n) | 50,000 | 36,207 | ||
SK Hynix, Inc., 6.375%, 1/17/2028 (n) | 459,000 | 451,950 | ||
$1,998,520 | ||||
Emerging Market Quasi-Sovereign – 2.6% | ||||
CEZ A.S. (Czech Republic), 2.375%, 4/06/2027 | EUR | 1,045,000 | $1,015,588 | |
Comision Federal de Electricidad (United Mexican States), 3.348%, 2/09/2031 | $ | 600,000 | 474,367 | |
Comision Federal de Electricidad (United Mexican States), 3.875%, 7/26/2033 (n) | 844,000 | 639,390 | ||
DAE Funding LLC (United Arab Emirates), 3.375%, 3/20/2028 | 850,000 | 757,410 | ||
Dua Capital Ltd. (Federation of Malaysia), 2.78%, 5/11/2031 | 3,745,000 | 3,073,746 | ||
Emirates NBD Bank PJSC, 6.125% to 7/09/2026, FLR (Swap Rate - 6yr. + 5.702%) to 1/09/2170 | 1,800,000 | 1,786,500 | ||
Eskom Holdings SOC Ltd. (Republic of South Africa), 7.125%, 2/11/2025 | 1,200,000 | 1,176,000 | ||
Export-Import Bank of India, 2.25%, 1/13/2031 | 1,800,000 | 1,413,020 | ||
Indian Railway Finance Corp., 2.8%, 2/10/2031 | 1,850,000 | 1,492,895 | ||
Ipoteka Bank (Republic of Uzbekistan), 5.5%, 11/19/2025 | 1,302,000 | 1,228,828 | ||
KazMunayGas National Co., JSC (Republic of Kazakhstan), 3.5%, 4/14/2033 | 637,000 | 475,692 | ||
KazMunayGas National Co., JSC (Republic of Kazakhstan), 6.375%, 10/24/2048 | 1,097,000 | 919,962 | ||
Krung Thai Bank PLC (Cayman Islands Branch), 4.4% to 3/25/2026, FLR (CMT - 5yr. + 3.53%) to 9/25/2169 | 1,500,000 | 1,346,250 | ||
Office Cherifien des Phosphates S.A. (Kingdom of Morocco), 3.75%, 6/23/2031 (n) | 677,000 | 542,308 | ||
Petroleos Mexicanos, 10%, 2/07/2033 (n) | 1,848,000 | 1,780,363 | ||
Petroleos Mexicanos, 7.69%, 1/23/2050 | 2,390,000 | 1,686,363 | ||
PT Freeport Indonesia, 5.315%, 4/14/2032 (n) | 755,000 | 694,382 | ||
Southern Gas Corridor CJSC (Republic of Azerbaijan), 6.875%, 3/24/2026 | 1,420,000 | 1,448,968 | ||
SPP-Distribucia A.S. (Republic of Slovakia), 1%, 6/09/2031 | EUR | 2,800,000 | 1,927,928 | |
State Oil Company of the Azerbaijan Republic, 6.95%, 3/18/2030 | $ | 1,000,000 | 1,026,200 | |
$24,906,160 | ||||
Emerging Market Sovereign – 17.8% | ||||
Arab Republic of Egypt, 7.053%, 1/15/2032 | $ | 1,100,000 | $766,753 | |
Arab Republic of Egypt, 8.875%, 5/29/2050 | 1,400,000 | 899,119 | ||
Dominican Republic, 7.05%, 2/03/2031 (n) | 789,000 | 787,667 | ||
Dominican Republic, 4.875%, 9/23/2032 | 1,300,000 | 1,086,577 | ||
Dominican Republic, 5.875%, 1/30/2060 | 2,400,000 | 1,798,785 | ||
Hellenic Republic (Republic of Greece), 1.75%, 6/18/2032 (n) | EUR | 14,486,000 | 12,282,173 | |
Hellenic Republic (Republic of Greece), 4.25%, 6/15/2033 (n) | 9,709,000 | 10,083,234 | ||
Hellenic Republic (Republic of Greece), 1.875%, 1/24/2052 | 2,561,000 | 1,559,769 | ||
Kingdom of Saudi Arabia, 3.25%, 11/17/2051 (n) | $ | 1,300,000 | 893,854 | |
Oriental Republic of Uruguay, 8.25%, 5/21/2031 | UYU | 482,632,000 | 11,211,539 | |
People's Republic of China, 3.03%, 3/11/2026 | CNY | 65,100,000 | 9,506,927 | |
People's Republic of China, 3.13%, 11/21/2029 | 52,220,000 | 7,684,731 | ||
Republic of Angola, 9.125%, 11/26/2049 | $ | 900,000 | 756,000 | |
Republic of Benin, 6.875%, 1/19/2052 | EUR | 1,500,000 | 1,143,363 | |
Republic of Cote d'Ivoire, 6.875%, 10/17/2040 | 2,600,000 | 2,029,124 | ||
Republic of Guatemala, 6.125%, 6/01/2050 | $ | 800,000 | 756,811 |
4
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – continued | ||||
Republic of Hungary, 6.125%, 5/22/2028 (n) | $ | 1,031,000 | $1,046,630 | |
Republic of Hungary, 5.5%, 6/16/2034 (n) | 1,364,000 | 1,309,484 | ||
Republic of Indonesia, 3.55%, 3/31/2032 | 780,000 | 701,413 | ||
Republic of Korea, 2.125%, 6/10/2027 | KRW | 15,663,000,000 | 11,058,974 | |
Republic of Korea, 1.875%, 6/10/2029 | 48,314,110,000 | 32,701,315 | ||
Republic of Korea, 1.375%, 6/10/2030 | 33,332,080,000 | 21,371,253 | ||
Republic of Paraguay, 6.1%, 8/11/2044 (n) | $ | 1,760,000 | 1,659,423 | |
Republic of Paraguay, 5.6%, 3/13/2048 | 2,000,000 | 1,719,372 | ||
Republic of Poland, 5.75%, 11/16/2032 | 678,000 | 709,920 | ||
Republic of Romania, 2%, 1/28/2032 | EUR | 2,220,000 | 1,634,508 | |
Republic of Senegal, 6.25%, 5/23/2033 | $ | 1,400,000 | 1,158,780 | |
Republic of Serbia, 1.65%, 3/03/2033 | EUR | 1,028,000 | 694,177 | |
Republic of Serbia, 2.05%, 9/23/2036 (n) | 896,000 | 552,035 | ||
Republic of Serbia, 2.05%, 9/23/2036 | 100,000 | 61,611 | ||
Sultanate of Oman, 7%, 1/25/2051 | $ | 2,550,000 | 2,513,443 | |
United Mexican States, 7.5%, 6/03/2027 | MXN | 395,600,000 | 19,942,270 | |
United Mexican States, 7.75%, 5/29/2031 | 105,000,000 | 5,249,053 | ||
United Mexican States, 4.875%, 5/19/2033 | $ | 1,049,000 | 973,633 | |
United Mexican States, 6.35%, 2/09/2035 | 371,000 | 380,640 | ||
$168,684,360 | ||||
Energy - Independent – 0.4% | ||||
Energean Israel Finance Ltd., 4.875%, 3/30/2026 | $ | 1,300,000 | $1,200,875 | |
Leviathan Bond Ltd., 6.75%, 6/30/2030 (n) | 1,100,000 | 1,025,723 | ||
Medco Bell Pte. Ltd., 6.375%, 1/30/2027 | 668,000 | 612,087 | ||
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 (n) | 1,500,000 | 1,321,200 | ||
$4,159,885 | ||||
Energy - Integrated – 0.5% | ||||
BP Capital Markets America, Inc., 4.812%, 2/13/2033 | $ | 621,000 | $609,984 | |
BP Capital Markets PLC, 3.625%, 6/22/2170 | EUR | 1,280,000 | 1,182,409 | |
Eni S.p.A., 4.25%, 5/09/2029 (n) | $ | 1,139,000 | 1,050,083 | |
Galp Energia SGPS S.A., 2%, 1/15/2026 | EUR | 2,000,000 | 1,975,728 | |
$4,818,204 | ||||
Engineering - Construction – 0.1% | ||||
Arcadis N.V., 4.875%, 2/28/2028 | EUR | 609,000 | $638,230 | |
Bouygues S.A., 4.625%, 6/07/2032 | 600,000 | 658,342 | ||
$1,296,572 | ||||
Financial Institutions – 1.7% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.85%, 10/29/2041 | $ | 299,000 | $218,903 | |
Avolon Holdings Funding Ltd., 3.95%, 7/01/2024 (n) | 773,000 | 747,468 | ||
Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 1,336,000 | 1,242,861 | ||
CTP N.V., 0.875%, 1/20/2026 | EUR | 880,000 | 797,083 | |
EXOR N.V., 2.25%, 4/29/2030 | 1,000,000 | 916,954 | ||
Global Aircraft Leasing Co. Ltd., 6.5% (6.5% Cash or 7.25% PIK), 9/15/2024 (n)(p) | $ | 2,275,593 | 2,057,159 | |
Global Aircraft Leasing Co. Ltd., 6.5% (6.5% Cash or 7.25% PIK), 9/15/2024 (n)(p) | 1,253,862 | 1,133,504 | ||
Grand City Properties S.A., 1.5%, 12/09/2069 | EUR | 1,200,000 | 619,453 | |
Logicor Financing S.à r.l., 1.625%, 1/17/2030 | 1,100,000 | 881,794 | ||
Logicor Financing S.à r.l., 0.875%, 1/14/2031 | 970,000 | 690,621 | ||
Nationstar Mortgage Holdings, Inc., 6%, 1/15/2027 (n) | $ | 2,005,000 | 1,844,600 | |
P3 Group S.à r.l., 0.875%, 1/26/2026 | EUR | 1,160,000 | 1,081,707 | |
Samhallsbyggnadsbolaget i Norden AB, 1.75%, 1/14/2025 | 780,000 | 743,132 | ||
Samhallsbyggnadsbolaget i Norden AB, 2.875% to 1/30/2027, FLR (EUR Swap Rate - 5yr. + 3.223%) to 1/30/32, FLR (EUR Swap Rate - 5yr. + 3.473%) to 1/30/47, FLR (EUR Swap Rate - 5yr. + 4.473%) to 1/30/2171 | 2,600,000 | 1,155,008 | ||
SBB Treasury Oyj, 0.75%, 12/14/2028 | 730,000 | 505,120 | ||
SBB Treasury Oyj, 1.125%, 11/26/2029 | 580,000 | 397,219 |
5
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Financial Institutions – continued | ||||
VGP N.V., 1.5%, 4/08/2029 | EUR | 1,500,000 | $1,116,535 | |
$16,149,121 | ||||
Food & Beverages – 0.8% | ||||
Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038 | $ | 1,112,000 | $994,329 | |
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | 364,000 | 366,243 | ||
Central America Bottling Co., 5.25%, 4/27/2029 (n) | 1,160,000 | 1,067,919 | ||
Compania Cervecerias Unidas S.A., 3.35%, 1/19/2032 | 578,000 | 478,873 | ||
Constellation Brands, Inc., 4.75%, 12/01/2025 | 667,000 | 658,281 | ||
Constellation Brands, Inc., 3.15%, 8/01/2029 | 821,000 | 720,110 | ||
Constellation Brands, Inc., 2.25%, 8/01/2031 | 760,000 | 598,388 | ||
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.625%, 1/15/2032 (n) | 1,595,000 | 1,277,627 | ||
Kraft Heinz Foods Co., 3.875%, 5/15/2027 | 1,624,000 | 1,543,712 | ||
$7,705,482 | ||||
Gaming & Lodging – 0.4% | ||||
Las Vegas Sands Corp., 3.9%, 8/08/2029 | $ | 925,000 | $806,530 | |
Marriott International, Inc., 2.85%, 4/15/2031 | 1,632,000 | 1,346,097 | ||
VICI Properties LP, REIT, 4.95%, 2/15/2030 | 1,767,000 | 1,649,685 | ||
$3,802,312 | ||||
Industrial – 0.5% | ||||
Albion Financing 1 S.à r.l., 5.25%, 10/15/2026 | EUR | 2,370,000 | $2,289,213 | |
Dar Al-Arkan Sukuk Co. Ltd., 6.875%, 2/26/2027 | $ | 1,000,000 | 988,300 | |
Investor AB, 2.75%, 6/10/2032 | EUR | 295,000 | 286,432 | |
Trustees of the University of Pennsylvania, 2.396%, 10/01/2050 | $ | 1,894,000 | 1,231,955 | |
$4,795,900 | ||||
Insurance – 0.4% | ||||
AIA Group Ltd., 0.88%, 9/09/2033 | EUR | 1,140,000 | $957,077 | |
ASR Nederland N.V., 7% to 12/07/2033, FLR (EUR Swap Rate - 5yr. + 5.3%) to 12/07/2043 | 920,000 | 1,016,707 | ||
Corebridge Financial, Inc., 4.35%, 4/05/2042 (n) | $ | 1,170,000 | 964,379 | |
Equitable Holdings, Inc., 5.594%, 1/11/2033 | 1,100,000 | 1,090,577 | ||
$4,028,740 | ||||
Insurance - Health – 0.3% | ||||
Humana, Inc., 5.5%, 3/15/2053 | $ | 247,000 | $238,510 | |
UnitedHealth Group, Inc., 4.625%, 7/15/2035 | 1,611,000 | 1,543,360 | ||
UnitedHealth Group, Inc., 3.5%, 8/15/2039 | 670,000 | 547,164 | ||
UnitedHealth Group, Inc., 3.25%, 5/15/2051 | 701,000 | 502,038 | ||
$2,831,072 | ||||
Insurance - Property & Casualty – 0.1% | ||||
Aon Corp./Aon Global Holdings PLC, 2.6%, 12/02/2031 | $ | 204,000 | $166,255 | |
QBE Insurance Group Ltd., 2.5% to 9/13/2028, FLR (GBP Government Yield - 5yr. + 2.061%) to 9/13/2038 | GBP | 685,000 | 636,969 | |
$803,224 | ||||
International Market Quasi-Sovereign – 1.6% | ||||
Caixa Geral de Depositos S.A. (Republic of Portugal), 5.75% to 10/31/2027, FLR (EUR Swap Rate - 1yr. + 2.75%) to 10/31/2028 | EUR | 600,000 | $652,328 | |
Electricite de France S.A., 2.625% to 6/01/2028, FLR (EUR Swap Rate - 5yr. + 2.86%) to 6/01/2033, FLR (EUR Swap Rate - 5yr. + 3.11%) to 6/01/2048, FLR (EUR Swap Rate - 5yr. + 3.86%) to 12/29/2049 | 600,000 | 504,777 | ||
Electricite de France S.A., 2.875% to 3/15/2027, FLR (EUR Swap Rate - 5yr. + 3.373%) to 3/15/2031, FLR (EUR Swap Rate - 5yr. + 3.623%) to 3/15/2047, FLR (EUR Swap Rate - 5yr. + 4.373%) to 3/15/2070 | 1,400,000 | 1,248,949 | ||
Electricite de France S.A., 5.875% to 1/22/2029, FLR (GBP Swap Rate - 15yr. + 3.323%) to 1/22/2049, FLR (GBP Swap Rate - 15yr. + 4.073%) to 12/31/2165 | GBP | 1,000,000 | 1,016,524 | |
EnBW International Finance B.V., 3.5%, 7/24/2028 | EUR | 825,000 | 850,002 | |
EnBW International Finance B.V., 4.049%, 11/22/2029 | 250,000 | 265,200 | ||
ESB Finance DAC, 1%, 7/19/2034 | 1,520,000 | 1,175,852 |
6
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
International Market Quasi-Sovereign – continued | ||||
Kreditanstalt Fuer Wiederaufbau, 1.125%, 3/31/2037 | EUR | 6,983,000 | $5,560,194 | |
La Banque Postale S.A., 4.375%, 1/17/2030 | 1,100,000 | 1,136,245 | ||
Landsbankinn Bank (Republic of Iceland), 0.375%, 5/23/2025 | 2,020,000 | 1,899,687 | ||
Ontario Teachers' Cadillac Fairview Properties, 2.5%, 10/15/2031 (n) | $ | 878,000 | 673,990 | |
RTE Reseau de Transport d'Electricite, 0.75%, 1/12/2034 | EUR | 800,000 | 616,962 | |
$15,600,710 | ||||
International Market Sovereign – 15.9% | ||||
Commonwealth of Australia, 3.25%, 6/21/2039 | AUD | 19,383,000 | $11,680,735 | |
Commonwealth of Australia, 3%, 3/21/2047 | 4,540,000 | 2,499,869 | ||
Federal Republic of Germany, 1.7%, 8/15/2032 | EUR | 13,110,000 | 12,835,754 | |
Federal Republic of Germany, 0%, 8/15/2052 | 6,692,375 | 3,400,622 | ||
Government of Bermuda, 2.375%, 8/20/2030 (n) | $ | 508,000 | 422,181 | |
Government of Bermuda, 5%, 7/15/2032 (n) | 1,933,000 | 1,879,427 | ||
Government of Canada, 0.5%, 12/01/2030 | CAD | 21,639,000 | 12,795,952 | |
Government of Japan, 1.7%, 6/20/2044 | JPY | 2,033,400,000 | 16,167,139 | |
Government of Japan, 0.3%, 6/20/2046 | 1,378,950,000 | 8,107,199 | ||
Government of Japan, 1.6%, 12/20/2052 | 397,350,000 | 3,056,258 | ||
Kingdom of Belgium, 0.4%, 6/22/2040 | EUR | 11,274,000 | 7,118,026 | |
Kingdom of Spain, 2.55%, 10/31/2032 | 5,469,000 | 5,300,972 | ||
Kingdom of Spain, 3.15%, 4/30/2033 | 10,301,000 | 10,421,986 | ||
Kingdom of Spain, 3.9%, 7/30/2039 (n) | 5,384,000 | 5,641,947 | ||
Kingdom of Spain, 1%, 10/31/2050 | 16,298,000 | 8,835,057 | ||
Kingdom of Sweden, 1.75%, 11/11/2033 | SEK | 123,455,000 | 10,791,698 | |
Portuguese Republic, 3.5%, 6/18/2038 (n) | EUR | 3,666,000 | 3,727,964 | |
Republic of Finland , 0.5%, 9/15/2027 | 9,846,000 | 9,298,846 | ||
Republic of Italy, 0.5%, 7/15/2028 | 10,500,000 | 9,270,053 | ||
United Kingdom Treasury, 1.25%, 7/22/2027 | GBP | 4,068,000 | 4,406,938 | |
United Kingdom Treasury, 1.25%, 10/22/2041 | 2,395,000 | 1,805,595 | ||
United Kingdom Treasury, 1.25%, 7/31/2051 | 3,214,805 | 2,026,154 | ||
$151,490,372 | ||||
Local Authorities – 0.6% | ||||
City of Oslo, 2.17%, 5/18/2029 | NOK | 26,000,000 | $2,236,469 | |
Province of Alberta, 4.5%, 12/01/2040 | CAD | 760,000 | 571,301 | |
Province of British Columbia, 2.95%, 6/18/2050 | 765,000 | 450,220 | ||
Province of Ontario (Canada), 1.9%, 12/02/2051 | 5,653,000 | 2,586,418 | ||
$5,844,408 | ||||
Machinery & Tools – 0.2% | ||||
Sarens Finance Co. N.V., 5.75%, 2/21/2027 | EUR | 1,611,000 | $1,405,957 | |
Major Banks – 5.0% | ||||
Australia and New Zealand Banking Group Ltd., 2.57% to 11/25/2030, FLR (CMT - 5yr. + 1.7%) to 11/25/2035 (n) | $ | 1,133,000 | $864,002 | |
Bank of America Corp., 3.5%, 4/19/2026 | 2,195,000 | 2,091,603 | ||
Bank of America Corp., 0.694%, 3/22/2031 | EUR | 1,740,000 | 1,429,905 | |
Bank of America Corp., 2.687% to 4/22/2031, FLR (SOFR - 1 day + 1.32%) to 4/22/2032 | $ | 2,325,000 | 1,885,655 | |
Bank of Ireland Group PLC, 4.875% to 7/16/2027, FLR (EUR Swap Rate - 1yr. + 2.05%) to 7/16/2028 | EUR | 210,000 | 221,898 | |
Barclays Bank PLC, 8.407% to 11/14/2027, FLR (GBP Swap Rate - 5yr. + 4.75%) to 11/14/2032 | GBP | 400,000 | 503,661 | |
BNP Paribas S.A., 3.875%, 1/10/2031 | EUR | 1,000,000 | 1,037,974 | |
Commonwealth Bank of Australia, 2.688%, 3/11/2031 (n) | $ | 1,696,000 | 1,335,955 | |
Crédit Agricole Group, 3.875%, 11/28/2034 | EUR | 900,000 | 918,546 | |
Credit Suisse AG (London), 2.125%, 5/31/2024 | 890,000 | 904,791 | ||
Credit Suisse AG (London), 5.5%, 8/20/2026 | 1,380,000 | 1,437,016 | ||
Danske Bank A.S., 4.625% to 4/13/2026, FLR (GBP Swap Rate - 1yr. + 1.7%) to 4/13/2027 | GBP | 510,000 | 600,864 | |
Danske Bank A.S., 4.125% to 1/10/2030, FLR (EUR Swap Rate - 1yr. + 1.25%) to 1/10/2031 | EUR | 980,000 | 1,025,793 | |
Goldman Sachs Group, Inc., 2.383% to 7/21/2031, FLR (SOFR - 1 day + 1.248%) to 7/21/2032 | $ | 1,958,000 | 1,537,853 | |
Goldman Sachs Group, Inc., 3.436% to 2/24/2042, FLR (SOFR - 1 day + 1.632%) to 2/24/2043 | 816,000 | 608,854 | ||
HSBC Holdings PLC, 4.375%, 11/23/2026 | 2,272,000 | 2,181,044 |
7
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
ING Groep N.V., 6.25%, 5/20/2033 | GBP | 1,000,000 | $1,179,090 | |
JPMorgan Chase & Co., 1.47% to 9/22/2026, FLR (SOFR - 1 day + 0.765%) to 9/22/2027 | $ | 2,790,000 | 2,418,708 | |
JPMorgan Chase & Co., 1.963%, 3/23/2030 | EUR | 1,280,000 | 1,174,348 | |
JPMorgan Chase & Co., 3.328% to 4/22/2051, FLR (SOFR - 1 day + 1.58%) to 4/22/2052 | $ | 2,081,000 | 1,476,327 | |
Lloyds Banking Group PLC, 6.625% to 6/02/2028, FLR (GBP Swap Rate - 5yr. + 3.1%) to 6/02/2033 | GBP | 630,000 | 754,045 | |
mBank S.A., 0.966% to 9/21/2026, FLR (EURIBOR - 3mo. + 1.25%) to 9/21/2027 | EUR | 500,000 | 409,679 | |
Morgan Stanley, 3.125%, 7/27/2026 | $ | 1,950,000 | 1,814,652 | |
Morgan Stanley, 1.593% to 5/04/2026, FLR (SOFR - 1 day + 0.879%) to 5/04/2027 | 1,525,000 | 1,346,410 | ||
Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR - 1 day + 3.12%) to 4/01/2031 | 3,475,000 | 3,077,012 | ||
Nationwide Building Society, 6.178% to 12/07/2026, FLR (SONIA + 2.213%) to 12/07/2027 | GBP | 240,000 | 293,902 | |
Nationwide Building Society, 0.25%, 9/14/2028 | EUR | 1,420,000 | 1,208,967 | |
NatWest Group PLC, 5.763% to 2/28/2029, FLR (EUR Swap Rate - 5yr. + 2.6%) to 2/28/2034 | 620,000 | 654,569 | ||
NatWest Markets PLC, 6.375%, 11/08/2027 | GBP | 392,000 | 488,542 | |
Société Générale S.A., 4%, 11/16/2027 | EUR | 1,000,000 | 1,055,902 | |
Société Générale S.A., 4.25%, 12/06/2030 | 800,000 | 818,572 | ||
Standard Chartered PLC, 0.8% to 11/17/2028, FLR (EUR Swap Rate - 1yr. + 0.85%) to 11/17/2029 | 910,000 | 786,272 | ||
Toronto-Dominion Bank, 4.108%, 6/08/2027 | $ | 2,190,000 | 2,099,185 | |
UBS Group AG, 4.375% to 1/11/2030, FLR (EUR ICE Swap Rate - 1yr. + 1.55%) to 1/11/2031 | EUR | 820,000 | 860,948 | |
Unicaja Banco S.A., 1%, 12/01/2026 | 700,000 | 662,205 | ||
Unicaja Banco S.A., 5.125% to 2/21/2028, FLR (EUR Swap Rate - 1yr. + 2.15%) to 2/21/2029 | 900,000 | 929,921 | ||
UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n) | $ | 1,350,000 | 1,217,767 | |
Wells Fargo & Co., 3.526% to 3/24/2027, FLR (SOFR - 1 day + 1.51%) to 3/24/2028 | 2,658,000 | 2,461,303 | ||
Wells Fargo & Co., 2.572% to 2/11/2030, FLR (LIBOR - 3mo. +1%) to 2/11/2031 | 1,828,000 | 1,521,553 | ||
Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033 | 709,000 | 599,462 | ||
$47,894,755 | ||||
Medical & Health Technology & Services – 0.8% | ||||
Alcon Finance B.V., 2.375%, 5/31/2028 | EUR | 570,000 | $556,325 | |
Alcon Finance Corp., 2.6%, 5/27/2030 (n) | $ | 1,443,000 | 1,212,834 | |
Becton, Dickinson and Co., 4.298%, 8/22/2032 | 428,000 | 397,656 | ||
CVS Health Corp., 5.625%, 2/21/2053 | 856,000 | 828,406 | ||
HCA, Inc., 5.125%, 6/15/2039 | 1,542,000 | 1,371,679 | ||
New York Society for the Relief of the Ruptured & Crippled, 2.667%, 10/01/2050 | 1,500,000 | 958,400 | ||
ProMedica Toledo Hospital, “B”, AGM, 6.015%, 11/15/2048 | 675,000 | 649,719 | ||
Thermo Fisher Scientific Finance I B.V., 2%, 10/18/2051 | EUR | 920,000 | 601,804 | |
Thermo Fisher Scientific, Inc., 1.75%, 10/15/2028 | $ | 866,000 | 730,473 | |
$7,307,296 | ||||
Medical Equipment – 0.4% | ||||
Boston Scientific Corp., 0.625%, 12/01/2027 | EUR | 800,000 | $727,936 | |
Boston Scientific Corp., 2.65%, 6/01/2030 | $ | 2,680,000 | 2,291,765 | |
DH Europe Finance II S.à r.l., 0.45%, 3/18/2028 | EUR | 800,000 | 716,371 | |
$3,736,072 | ||||
Metals & Mining – 0.8% | ||||
Anglo American Capital PLC, 5.625%, 4/01/2030 (n) | $ | 451,000 | $445,981 | |
Anglo American Capital PLC, 4.75%, 9/21/2032 | EUR | 610,000 | 638,424 | |
Coeur Mining, Inc., 5.125%, 2/15/2029 (n) | $ | 2,585,000 | 1,956,328 | |
Glencore Capital Finance DAC, 1.125%, 3/10/2028 | EUR | 1,620,000 | 1,434,257 | |
Glencore Funding LLC, 2.85%, 4/27/2031 (n) | $ | 788,000 | 644,714 | |
Novelis Sheet Ingot GmbH, 3.375%, 4/15/2029 | EUR | 2,290,000 | 2,031,956 | |
$7,151,660 | ||||
Midstream – 1.0% | ||||
DT Midstream, Inc., 4.125%, 6/15/2029 (n) | $ | 3,165,000 | $2,713,988 | |
Enbridge, Inc., 5.375%, 9/27/2077 | CAD | 1,400,000 | 945,044 | |
EQM Midstream Partners LP, 7.5%, 6/01/2030 (n) | $ | 1,050,000 | 1,000,357 | |
Plains All American Pipeline LP/PAA Finance Corp., 3.55%, 12/15/2029 | 839,000 | 727,475 | ||
Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 | 792,000 | 743,468 |
8
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Midstream – continued | ||||
Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | $ | 1,093,000 | $1,023,860 | |
Targa Resources Corp., 4.2%, 2/01/2033 | 280,000 | 243,778 | ||
Targa Resources Corp., 4.95%, 4/15/2052 | 716,000 | 572,716 | ||
Venture Global Calcasieu Pass LLC, 6.25%, 1/15/2030 (n) | 1,267,000 | 1,249,579 | ||
$9,220,265 | ||||
Mortgage-Backed – 7.8% | ||||
Fannie Mae, 5%, 8/01/2040 | $ | 298,071 | $298,460 | |
Fannie Mae, 4%, 9/01/2040 - 11/01/2044 | 197,885 | 190,047 | ||
Fannie Mae, 4.5%, 2/01/2041 - 4/01/2044 | 1,392,003 | 1,380,271 | ||
Fannie Mae, 3.5%, 9/01/2045 - 12/01/2047 | 683,801 | 637,874 | ||
Fannie Mae, UMBS, 5.5%, 4/01/2031 - 3/01/2053 | 5,439,010 | 5,434,586 | ||
Fannie Mae, UMBS, 2%, 5/01/2037 - 3/01/2052 | 5,620,681 | 4,699,963 | ||
Fannie Mae, UMBS, 3.5%, 5/01/2049 | 163,642 | 152,709 | ||
Fannie Mae, UMBS, 2.5%, 3/01/2050 - 6/01/2052 | 15,790,323 | 13,396,090 | ||
Fannie Mae, UMBS, 3%, 12/01/2051 - 7/01/2052 | 8,736,595 | 7,691,241 | ||
Fannie Mae, UMBS, 4%, 6/01/2052 - 12/01/2052 | 3,908,647 | 3,671,927 | ||
Freddie Mac, 0.208%, 9/25/2026 (i) | 62,189,000 | 456,293 | ||
Freddie Mac, 1.368%, 3/25/2027 (i) | 1,517,000 | 73,774 | ||
Freddie Mac, 0.294%, 2/25/2028 (i) | 46,151,000 | 664,390 | ||
Freddie Mac, 0.108%, 4/25/2028 (i) | 46,683,000 | 326,286 | ||
Freddie Mac, 0.111%, 5/25/2028 (i) | 47,225,000 | 356,298 | ||
Freddie Mac, 1.8%, 4/25/2030 (i) | 2,395,024 | 251,361 | ||
Freddie Mac, 1.868%, 4/25/2030 (i) | 2,589,254 | 274,749 | ||
Freddie Mac, 1.665%, 5/25/2030 (i) | 3,408,930 | 332,528 | ||
Freddie Mac, 1.797%, 5/25/2030 (i) | 7,523,890 | 789,626 | ||
Freddie Mac, 1.341%, 6/25/2030 (i) | 3,170,959 | 254,399 | ||
Freddie Mac, 1.6%, 8/25/2030 (i) | 2,931,170 | 281,415 | ||
Freddie Mac, 1.17%, 9/25/2030 (i) | 1,901,519 | 136,026 | ||
Freddie Mac, 1.08%, 11/25/2030 (i) | 3,948,102 | 264,927 | ||
Freddie Mac, 0.329%, 1/25/2031 (i) | 15,726,906 | 311,184 | ||
Freddie Mac, 0.516%, 3/25/2031 (i) | 20,453,406 | 653,427 | ||
Freddie Mac, 0.937%, 7/25/2031 (i) | 5,068,698 | 319,712 | ||
Freddie Mac, 0.536%, 9/25/2031 (i) | 21,590,988 | 805,517 | ||
Freddie Mac, 0.567%, 12/25/2031 (i) | 5,486,706 | 215,048 | ||
Freddie Mac, 4.5%, 12/01/2039 - 5/01/2042 | 636,629 | 632,761 | ||
Freddie Mac, 5%, 7/01/2041 | 308,368 | 311,470 | ||
Freddie Mac, 4%, 4/01/2044 | 32,889 | 31,576 | ||
Freddie Mac, UMBS, 3%, 6/01/2050 - 4/01/2052 | 369,129 | 326,682 | ||
Freddie Mac, UMBS, 2.5%, 8/01/2051 - 1/01/2053 | 2,707,710 | 2,297,458 | ||
Freddie Mac, UMBS, 2%, 2/01/2052 - 5/01/2052 | 6,593,067 | 5,376,218 | ||
Freddie Mac, UMBS, 5%, 8/01/2052 | 532,665 | 524,626 | ||
Freddie Mac, UMBS, 3.5%, 9/01/2052 | 3,397,587 | 3,094,759 | ||
Freddie Mac, UMBS, 4.5%, 10/01/2052 | 583,739 | 562,721 | ||
Freddie Mac, UMBS, 5.5%, 12/01/2052 - 1/01/2053 | 972,145 | 971,135 | ||
Freddie Mac, UMBS, 6%, 12/01/2052 | 274,499 | 282,174 | ||
Ginnie Mae, 2.5%, 8/20/2051 - 5/20/2052 | 1,979,187 | 1,712,478 | ||
Ginnie Mae, 2%, 3/20/2052 | 671,716 | 563,271 | ||
Ginnie Mae, 3%, 5/20/2052 - 10/20/2052 | 1,250,664 | 1,117,411 | ||
Ginnie Mae, 4.5%, 9/20/2052 | 2,051,188 | 1,990,492 | ||
Ginnie Mae, 3.5%, 10/20/2052 - 11/20/2052 | 2,332,251 | 2,143,915 | ||
Ginnie Mae, 4%, 10/20/2052 - 11/20/2052 | 1,091,359 | 1,031,511 | ||
Ginnie Mae, TBA, 5%, 3/15/2053 - 4/20/2053 | 1,825,000 | 1,802,958 | ||
Ginnie Mae, TBA, 5.5%, 3/15/2053 | 925,000 | 928,216 | ||
Ginnie Mae, TBA, 3%, 3/21/2053 | 1,600,000 | 1,428,156 | ||
UMBS, TBA, 6%, 3/13/2053 | 1,175,000 | 1,188,580 | ||
UMBS, TBA, 2.5%, 3/25/2053 | 1,650,000 | 1,397,537 | ||
$74,036,233 |
9
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Municipals – 1.2% | ||||
Iowa Student Loan Liquidity Corp. Rev., Taxable, “A”, 5.08%, 12/01/2039 | $ | 1,845,000 | $1,701,723 | |
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 4.949%, 7/01/2038 | 2,690,000 | 2,610,637 | ||
Massachusetts Educational Financing Authority, Education Loan Subordinate Rev., Taxable, “A”, 2.641%, 7/01/2037 | 1,060,000 | 964,986 | ||
Massachusetts Housing Finance Agency, Single Family Housing Rev., Taxable, “226”, 5.562%, 12/01/2052 | 1,855,000 | 1,837,090 | ||
Michigan Finance Authority Hospital Rev., Taxable (Trinity Health Credit Group), 3.384%, 12/01/2040 | 1,040,000 | 845,050 | ||
Minnesota Housing Finance Agency, Residential Housing, Taxable, “G”, 4.337%, 1/01/2047 | 1,775,000 | 1,686,671 | ||
New Jersey Economic Development Authority State Pension Funding Rev., Taxable, “A”, NPFG, 7.425%, 2/15/2029 | 890,000 | 958,193 | ||
Oklahoma Development Finance Authority, Health System Rev., Taxable (OU Medicine Project), “C”, 5.45%, 8/15/2028 | 742,000 | 612,085 | ||
$11,216,435 | ||||
Natural Gas - Distribution – 0.1% | ||||
Engie S.A., 4.25%, 1/11/2043 | EUR | 100,000 | $102,079 | |
NiSource, Inc., 2.95%, 9/01/2029 | $ | 1,406,000 | 1,213,508 | |
$1,315,587 | ||||
Natural Gas - Pipeline – 0.2% | ||||
APA Infrastructure Ltd., 0.75%, 3/15/2029 | EUR | 1,130,000 | $962,381 | |
APA Infrastructure Ltd., 2.5%, 3/15/2036 | GBP | 910,000 | 735,805 | |
$1,698,186 | ||||
Network & Telecom – 0.4% | ||||
AT&T, Inc., 3.5%, 9/15/2053 | $ | 335,000 | $229,973 | |
Orange S.A., 3.625%, 11/16/2031 | EUR | 1,100,000 | 1,144,996 | |
Verizon Communications, Inc., 2.1%, 3/22/2028 | $ | 1,414,000 | 1,220,428 | |
Verizon Communications, Inc., 3.875%, 3/01/2052 | 1,355,000 | 1,037,518 | ||
$3,632,915 | ||||
Oil Services – 0.1% | ||||
MV24 Capital B.V., 6.748%, 6/01/2034 | $ | 1,199,100 | $1,076,340 | |
Oils – 0.4% | ||||
Neste Oyj, 0.75%, 3/25/2028 | EUR | 1,400,000 | $1,262,631 | |
Parkland Corp., 4.625%, 5/01/2030 (n) | $ | 2,822,000 | 2,349,315 | |
$3,611,946 | ||||
Other Banks & Diversified Financials – 1.9% | ||||
AIB Group PLC, 5.75% to 2/16/2028, FLR (EUR Swap Rate - 1yr. + 2.85%) to 2/16/2029 | EUR | 650,000 | $708,444 | |
Arion Banki HF, 4.875%, 12/21/2024 | 1,650,000 | 1,714,493 | ||
BPCE S.A., 4.625% to 3/02/2029, FLR (EURIBOR - 3mo. + 1.6%) to 3/02/2030 | 500,000 | 525,545 | ||
BPCE S.A., 2.277% to 1/20/2031, FLR (SOFR - 1 day + 1.312%) to 1/20/2032 (n) | $ | 1,240,000 | 949,478 | |
CaixaBank S.A., 5.375% to 11/14/2029, FLR (EURIBOR - 3mo. + 2.4%) to 11/14/2030 | EUR | 600,000 | 650,361 | |
CaixaBank S.A., 6.875% to 10/25/2028, FLR (GBP Swap Rate - 5yr. + 3.7%) to 10/25/2033 | GBP | 500,000 | 592,410 | |
Deutsche Bank AG, 1.875% to 2/23/2027, FLR (EURIBOR - 3mo. + 1.38%) to 2/23/2028 | EUR | 700,000 | 653,250 | |
Deutsche Bank AG, 3.25% to 5/24/2027, FLR (EURIBOR - 3mo. + 1.93%) to 5/24/2028 | 400,000 | 392,978 | ||
Deutsche Bank AG, 6.125% to 12/12/2029, FLR (SONIA + 2.621%) to 12/12/2030 | GBP | 1,000,000 | 1,173,139 | |
Deutsche Bank AG, 1.375% to 2/17/2031, FLR (EURIBOR - 3mo. + 1.5%) to 2/17/2032 | EUR | 800,000 | 630,488 | |
Deutsche Bank AG, 4%, 6/24/2032 | 700,000 | 666,572 | ||
Groupe BPCE S.A., 4.5%, 3/15/2025 (n) | $ | 1,100,000 | 1,063,092 | |
Groupe des Assurances du Credit Mutuel, 1.85% to 4/21/2032, FLR (EURIBOR - 3mo. + 2.65%) to 4/21/2042 | EUR | 1,800,000 | 1,395,469 | |
Intesa Sanpaolo S.p.A., 2.625%, 3/11/2036 | GBP | 1,330,000 | 1,083,456 | |
Macquarie Group Ltd., 4.08%, 5/31/2029 | 1,210,000 | 1,318,345 | ||
Shinhan Bank Co., Ltd., 4.375%, 4/13/2032 (n) | $ | 1,850,000 | 1,684,171 | |
United Overseas Bank Ltd., 2% to 10/14/2026, FLR (CMT - 5yr. + 1.23%) to 10/14/2031 (n) | 1,000,000 | 876,269 | ||
Uzbek Industrial and Construction Bank, 5.75%, 12/02/2024 | 1,230,000 | 1,168,500 | ||
Virgin Money UK PLC, 5.125% to 12/11/2025, FLR (GBP Government Yield - 5yr. + 5.25%) to 12/11/2030 | GBP | 960,000 | 1,086,992 | |
$18,333,452 |
10
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Pharmaceuticals – 0.1% | ||||
Amgen, Inc., 5.25%, 3/02/2030 | $ | 527,000 | $524,429 | |
Amgen, Inc., 5.599%, 3/02/2043 | 737,000 | 727,812 | ||
$1,252,241 | ||||
Pollution Control – 0.5% | ||||
GFL Environmental, Inc., 4%, 8/01/2028 (n) | $ | 2,774,000 | $2,413,961 | |
Waste Connections, Inc., 4.2%, 1/15/2033 | 1,896,000 | 1,752,137 | ||
Waste Management, Inc., 4.625%, 2/15/2033 | 1,029,000 | 990,234 | ||
$5,156,332 | ||||
Printing & Publishing – 0.1% | ||||
Informa PLC, 3.125%, 7/05/2026 | GBP | 473,000 | $523,728 | |
Railroad & Shipping – 0.1% | ||||
Canadian Pacific Railway Co., 2.45%, 12/02/2031 | $ | 906,000 | $754,478 | |
Real Estate - Office – 0.2% | ||||
Corporate Office Property LP, REIT, 2.25%, 3/15/2026 | $ | 841,000 | $750,005 | |
Corporate Office Property LP, REIT, 2%, 1/15/2029 | 382,000 | 294,058 | ||
Corporate Office Property LP, REIT, 2.75%, 4/15/2031 | 946,000 | 712,262 | ||
$1,756,325 | ||||
Real Estate - Other – 0.3% | ||||
EPR Properties, REIT, 3.6%, 11/15/2031 | $ | 694,000 | $522,265 | |
Lexington Realty Trust Co., 2.7%, 9/15/2030 | 880,000 | 704,074 | ||
W.P. Carey, Inc., REIT, 2.4%, 2/01/2031 | 1,717,000 | 1,384,222 | ||
$2,610,561 | ||||
Real Estate - Retail – 0.3% | ||||
Regency Centers Corp., 3.7%, 6/15/2030 | $ | 679,000 | $600,582 | |
STORE Capital Corp., REIT, 2.75%, 11/18/2030 | 1,370,000 | 1,034,725 | ||
WEA Finance LLC, 2.875%, 1/15/2027 (n) | 1,010,000 | 875,654 | ||
$2,510,961 | ||||
Restaurants – 0.1% | ||||
McDonald's Corp., 4.25%, 3/07/2035 | EUR | 710,000 | $743,442 | |
Retailers – 0.5% | ||||
AutoZone, Inc., 4.75%, 8/01/2032 | $ | 450,000 | $429,414 | |
Bath & Body Works, Inc., 5.25%, 2/01/2028 | 1,267,000 | 1,179,894 | ||
BK LC Lux Finco 1 S.à r.l., 5.25%, 4/30/2029 | EUR | 1,660,000 | 1,557,133 | |
Home Depot, Inc., 3.625%, 4/15/2052 | $ | 1,771,000 | 1,356,104 | |
Nordstrom, Inc., 4.25%, 8/01/2031 | 597,000 | 436,831 | ||
$4,959,376 | ||||
Specialty Chemicals – 0.3% | ||||
Covestro AG, 4.75%, 11/15/2028 | EUR | 900,000 | $956,214 | |
CTEC II GmbH, 5.25%, 2/15/2030 (n) | 1,669,000 | 1,449,630 | ||
International Flavors & Fragrances, Inc., 1.832%, 10/15/2027 (n) | $ | 917,000 | 767,728 | |
$3,173,572 | ||||
Specialty Stores – 0.3% | ||||
DICK'S Sporting Goods, 3.15%, 1/15/2032 | $ | 1,054,000 | $832,487 | |
Michael Cos., Inc., 7.875%, 5/01/2029 (n) | 2,653,000 | 1,996,382 | ||
$2,828,869 | ||||
Supermarkets – 0.1% | ||||
ELO SACA, 4.875%, 12/08/2028 | EUR | 700,000 | $696,124 |
11
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Supranational – 1.4% | ||||
Corporacion Andina de Fomento, 4.5%, 3/07/2028 | EUR | 1,020,000 | $1,077,289 | |
European Financial Stability Facility, 3.375%, 4/03/2037 | 2,114,000 | 2,219,642 | ||
European Stability Mechanism, 0.01%, 10/15/2031 | 6,700,000 | 5,390,996 | ||
European Union, 3.375%, 11/04/2042 | 2,623,768 | 2,706,469 | ||
International Bank for Reconstruction and Development, 4.25%, 6/24/2025 | AUD | 590,000 | 397,140 | |
West African Development Bank, 4.7%, 10/22/2031 | $ | 1,576,000 | 1,347,480 | |
$13,139,016 | ||||
Telecommunications - Wireless – 1.0% | ||||
American Tower Corp., REIT, 2.75%, 1/15/2027 | $ | 680,000 | $614,387 | |
Cellnex Finance Co. S.A., 2%, 2/15/2033 | EUR | 3,900,000 | 3,075,622 | |
Crown Castle, Inc., REIT, 3.7%, 6/15/2026 | $ | 2,033,000 | 1,924,506 | |
Millicom International Cellular S.A., 5.125%, 1/15/2028 | 720,000 | 633,797 | ||
Rogers Communications, Inc., 3.8%, 3/15/2032 (n) | 821,000 | 717,126 | ||
Rogers Communications, Inc., 3.7%, 11/15/2049 | 532,000 | 375,047 | ||
T-Mobile USA, Inc., 3.875%, 4/15/2030 | 582,000 | 527,727 | ||
Vodafone Group PLC, 5.625%, 2/10/2053 | 730,000 | 701,399 | ||
Vodafone International Financing DAC, 4%, 2/10/2043 | EUR | 449,000 | 440,515 | |
$9,010,126 | ||||
Telephone Services – 0.2% | ||||
Deutsche Telekom AG, 1.375%, 7/05/2034 | EUR | 1,430,000 | $1,170,789 | |
TELUS Corp., 2.85%, 11/13/2031 | CAD | 1,475,000 | 905,723 | |
$2,076,512 | ||||
Tobacco – 0.3% | ||||
B.A.T. Capital Corp., 2.125%, 8/15/2025 | GBP | 1,140,000 | $1,264,297 | |
B.A.T. International Finance PLC, 2.25%, 1/16/2030 | EUR | 830,000 | 713,581 | |
Philip Morris International, Inc., 5.125%, 11/17/2027 | $ | 1,203,000 | 1,197,356 | |
$3,175,234 | ||||
Transportation - Services – 0.8% | ||||
Autostrade per L'Italia S.p.A., 4.75%, 1/24/2031 | EUR | 910,000 | $924,684 | |
ERAC USA Finance LLC, 7%, 10/15/2037 (n) | $ | 210,000 | 236,689 | |
Holding d'Infrastructures de Transport, 1.475%, 1/18/2031 | EUR | 1,400,000 | 1,178,843 | |
Q-Park Holding I B.V., 2%, 3/01/2027 | 3,100,000 | 2,735,732 | ||
Triton International Ltd., 3.15%, 6/15/2031 (n) | $ | 1,009,000 | 788,688 | |
United Parcel Service, 5.05%, 3/03/2053 | 1,557,000 | 1,537,172 | ||
$7,401,808 | ||||
U.S. Government Agencies and Equivalents – 0.0% | ||||
Small Business Administration, 2.22%, 3/01/2033 | $ | 212,688 | $191,577 | |
U.S. Treasury Obligations – 4.0% | ||||
U.S. Treasury Bonds, 1.125%, 8/15/2040 (f) | $ | 34,431,000 | $21,684,806 | |
U.S. Treasury Bonds, 2.25%, 8/15/2049 | 1,272,000 | 912,312 | ||
U.S. Treasury Bonds, 2.375%, 11/15/2049 (f) | 15,808,000 | 11,657,165 | ||
U.S. Treasury Notes, 2.75%, 8/15/2032 | 4,547,000 | 4,132,086 | ||
$38,386,369 | ||||
Utilities - Electric Power – 3.0% | ||||
Adani Transmission Ltd., 4.25%, 5/21/2036 | $ | 1,098,500 | $765,766 | |
American Electric Power Co., Inc., 5.625%, 3/01/2033 | 529,000 | 528,708 | ||
American Transmission Systems, Inc., 2.65%, 1/15/2032 (n) | 1,316,000 | 1,078,405 | ||
Bruce Power LP, 2.68%, 12/21/2028 | CAD | 1,650,000 | 1,072,893 | |
Clearway Energy Operating LLC, 3.75%, 2/15/2031 (n) | $ | 3,260,000 | 2,652,825 | |
ContourGlobal Power Holdings S.A., 2.75%, 1/01/2026 | EUR | 2,300,000 | 2,167,666 | |
Duke Energy Corp., 2.55%, 6/15/2031 | $ | 1,238,000 | 997,084 | |
E.ON SE, 3.875%, 1/12/2035 | EUR | 570,000 | 580,302 |
12
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Utilities - Electric Power – continued | ||||
Enel Finance International N.V., 3.5%, 4/06/2028 (n) | $ | 505,000 | $453,486 | |
Enel Finance International N.V., 4.5%, 2/20/2043 | EUR | 530,000 | 526,547 | |
Enel S.p.A., 2.25% to 3/10/2027, FLR (EUR Swap Rate - 5yr. + 2.679%) to 3/10/2032, FLR (EUR Swap Rate - 5yr. + 2.929%) to 3/10/2047, FLR (EUR Swap Rate - 5yr. + 3.679%) to 3/10/2070 | 1,780,000 | 1,614,420 | ||
Enel S.p.A., 1.875%, 3/08/2170 | 1,395,000 | 1,056,821 | ||
Energuate Trust, 5.875%, 5/03/2027 | $ | 1,100,000 | 1,024,011 | |
ENGIE Energía Chile S.A., 4.5%, 1/29/2025 (n) | 620,000 | 577,339 | ||
ENGIE Energía Chile S.A., 4.5%, 1/29/2025 | 858,000 | 798,963 | ||
Evergy, Inc., 2.9%, 9/15/2029 | 1,575,000 | 1,348,026 | ||
Florida Power & Light Co., 2.875%, 12/04/2051 | 710,000 | 473,205 | ||
Investment Energy Resources Ltd., 6.25%, 4/26/2029 (n) | 820,000 | 733,436 | ||
Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | 294,000 | 240,056 | ||
Listrindo Capital B.V., 4.95%, 9/14/2026 | 1,396,000 | 1,317,286 | ||
Mong Duong Finance Holdings B.V., 5.125%, 5/07/2029 | 1,450,000 | 1,234,419 | ||
National Grid Electricity Transmission PLC, 2%, 4/17/2040 | GBP | 1,000,000 | 739,803 | |
National Grid PLC, 3.875%, 1/16/2029 | EUR | 530,000 | 548,859 | |
National Grid PLC, 4.275%, 1/16/2035 | 490,000 | 499,222 | ||
NextEra Energy Capital Holdings, Inc., 6.051%, 3/01/2025 | $ | 509,000 | 512,100 | |
PPL Electric Utilities Corp, 1st Mortgage, 5.25%, 5/15/2053 | 1,212,000 | 1,194,760 | ||
Southern California Edison Co., 3.65%, 2/01/2050 | 1,010,000 | 741,960 | ||
Southern Co., 1.875%, 9/15/2081 | EUR | 100,000 | 84,097 | |
Star Energy Geothermal (Wayang Windu) Ltd., 6.75%, 4/24/2033 | $ | 810,800 | 783,484 | |
Virginia Electric & Power Co., 3.5%, 3/15/2027 | 558,000 | 525,293 | ||
WEC Energy Group, Inc., 1.8%, 10/15/2030 | 1,145,000 | 896,205 | ||
Xcel Energy, Inc., 4.6%, 6/01/2032 | 422,000 | 400,157 | ||
$28,167,604 | ||||
Total Bonds | $899,914,870 | |||
Investment Companies (h) – 5.1% | ||||
Money Market Funds – 5.1% | ||||
MFS Institutional Money Market Portfolio, 4.55% (v) | 48,424,085 | $48,424,085 |
Underlying/Expiration Date/Exercise Price | Put/Call | Counterparty | Notional Amount | Par Amount/ Number of Contracts | |
Purchased Options – 0.1% | |||||
Market Index Securities – 0.1% | |||||
iTraxx Europe Crossover Series 38 Index Credit Default Swap-Fund pays 5%, Fund receives notional amount upon a defined credit event of an index constituent – April 2023 @ 5% | Put | Merrill Lynch International | $ 14,395,158 | EUR 13,050,000 | $59,670 |
iTraxx Europe Crossover Series 38 Index Credit Default Swap-Fund pays 5%, Fund receives notional amount upon a defined credit event of an index constituent – April 2023 @ 5% | Put | Barclays Bank PLC | 6,717,740 | 6,090,000 | 27,846 |
iTraxx Europe Crossover Series 38 Index Credit Default Swap-Fund pays 5%, Fund receives notional amount upon a defined credit event of an index constituent – April 2023 @ 5% | Put | Barclays Bank PLC | 20,186,313 | 18,300,000 | 83,675 |
iTraxx Europe Crossover Series 38 Index Credit Default Swap-Fund pays 5%, Fund receives notional amount upon a defined credit event of an index constituent – April 2023 @ 5% | Put | BNP Paribas S.A. | 10,799,126 | 9,790,000 | 44,764 |
iTraxx Europe Crossover Series 38 Index Credit Default Swap-Fund pays 5%, Fund receives notional amount upon a defined credit event of an index constituent – April 2023 @ 5.25% | Put | Goldman Sachs International | 27,940,946 | 25,330,000 | 84,628 |
iTraxx Europe Crossover Series 38 Index Credit Default Swap-Fund receives 5%, Fund pays notional amount upon a defined credit event of an index constituent – March 2023 @ 4.75% | Call | Merrill Lynch International | 16,093,897 | 14,590,000 | 351,726 |
13
Portfolio of Investments (unaudited) – continued
Underlying/Expiration Date/Exercise Price | Put/Call | Counterparty | Notional Amount | Par Amount/ Number of Contracts | Value ($) |
Purchased Options – continued | |||||
Market Index Securities – continued | |||||
iTraxx Europe Crossover Series 38 Index Credit Default Swap-Fund receives 5%, Fund pays notional amount upon a defined credit event of an index constituent – March 2023 @ 4.75% | Call | Merrill Lynch International | 16,093,897 | 14,590,000 | $351,726 |
Total Purchased Options | $1,004,035 |
Other Assets, Less Liabilities – 0.1% | 687,979 | |||
Net Assets – 100.0% | $950,030,969 |
(f) | All or a portion of the security has been segregated as collateral for open futures contracts and cleared swap agreements. | |||
(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 $48,424,085 and $900,918,905, 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 $183,094,955, representing 19.3% of net assets. | |||
(p) | Payment-in-kind (PIK) security for which interest income may be received in additional securities and/or cash. | |||
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
The following abbreviations are used in this report and are defined: | |
AGM | Assured Guaranty Municipal |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
EURIBOR | Euro Interbank Offered Rate |
FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
NPFG | National Public Finance Guarantee Corp. |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
SONIA | Sterling Overnight Index Average |
TBA | To Be Announced |
UMBS | Uniform Mortgage-Backed Security |
Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below: | |
AUD | Australian Dollar |
CAD | Canadian Dollar |
CLP | Chilean Peso |
CNH | Chinese Yuan Renminbi (Offshore) |
CNY | China Yuan Renminbi |
CZK | Czech Koruna |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
SGD | Singapore Dollar |
TWD | Taiwan Dollar |
UYU | Uruguayan Peso |
14
Portfolio of Investments (unaudited) – continued
Derivative Contracts at 2/28/23 | ||||||
Forward Foreign Currency Exchange Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives | ||||||
GBP | 1,673,205 | USD | 2,012,971 | HSBC Bank | 4/21/2023 | $1,549 |
MXN | 26,201,149 | USD | 1,271,318 | JPMorgan Chase Bank N.A. | 3/15/2023 | 157,070 |
TWD | 429,037,942 | USD | 14,062,852 | Citibank N.A. | 3/01/2023 | 18,046 |
USD | 14,342,734 | AUD | 20,943,783 | Barclays Bank PLC | 4/21/2023 | 224,034 |
USD | 9,502,843 | AUD | 13,678,905 | Brown Brothers Harriman | 4/21/2023 | 281,569 |
USD | 15,355,741 | AUD | 21,975,912 | Citibank N.A. | 4/21/2023 | 541,259 |
USD | 4,790,011 | AUD | 6,955,300 | HSBC Bank | 4/21/2023 | 101,279 |
USD | 2,701,242 | AUD | 3,880,969 | State Street Bank Corp. | 4/21/2023 | 84,989 |
USD | 14,238,126 | CAD | 19,041,478 | BNP Paribas S.A. | 4/21/2023 | 275,966 |
USD | 962,972 | CAD | 1,297,209 | Citibank N.A. | 4/21/2023 | 11,793 |
USD | 4,813,238 | CAD | 6,461,789 | Deutsche Bank AG | 4/21/2023 | 75,132 |
USD | 9,561,404 | CAD | 12,780,930 | JPMorgan Chase Bank N.A. | 4/21/2023 | 189,789 |
USD | 12,623,813 | CAD | 17,002,236 | State Street Bank Corp. | 4/21/2023 | 156,928 |
USD | 12,658 | CLP | 10,587,812 | Goldman Sachs International | 6/02/2023 | 22 |
USD | 40,676,879 | CNH | 273,873,360 | BNP Paribas S.A. | 4/21/2023 | 1,136,336 |
USD | 4,780,616 | EUR | 4,404,594 | BNP Paribas S.A. | 4/21/2023 | 107,805 |
USD | 549,348 | EUR | 509,309 | Brown Brothers Harriman | 4/21/2023 | 9,024 |
USD | 6,700,571 | EUR | 6,197,174 | Citibank N.A. | 4/21/2023 | 126,021 |
USD | 6,317,204 | EUR | 5,817,755 | Deutsche Bank AG | 4/21/2023 | 145,177 |
USD | 21,340,828 | EUR | 19,591,186 | HSBC Bank | 4/21/2023 | 556,635 |
USD | 8,620,411 | EUR | 8,024,411 | JPMorgan Chase Bank N.A. | 4/21/2023 | 107,355 |
USD | 217,407,103 | EUR | 200,457,579 | State Street Bank Corp. | 4/21/2023 | 4,742,659 |
USD | 2,676,018 | EUR | 2,469,751 | UBS AG | 4/21/2023 | 55,872 |
USD | 10,641,514 | GBP | 8,793,317 | Brown Brothers Harriman | 4/21/2023 | 54,457 |
USD | 889,130 | GBP | 737,580 | Citibank N.A. | 4/21/2023 | 1,092 |
USD | 89,027,026 | GBP | 71,685,904 | Deutsche Bank AG | 4/21/2023 | 2,717,985 |
USD | 1,378,228 | GBP | 1,117,791 | HSBC Bank | 4/21/2023 | 32,420 |
USD | 7,492,390 | GBP | 6,067,857 | State Street Bank Corp. | 4/21/2023 | 186,757 |
USD | 789,429 | JPY | 101,071,612 | HSBC Bank | 4/21/2023 | 41,704 |
USD | 32,737,001 | JPY | 4,129,576,253 | Merrill Lynch International | 4/21/2023 | 2,186,511 |
USD | 4,304,253 | JPY | 572,277,117 | State Street Bank Corp. | 4/21/2023 | 70,562 |
USD | 5,463,493 | KRW | 6,752,330,500 | Barclays Bank PLC | 3/13/2023 | 358,562 |
USD | 4,261,690 | KRW | 5,502,736,300 | Barclays Bank PLC | 4/12/2023 | 95,959 |
USD | 961,381 | KRW | 1,205,975,422 | Barclays Bank PLC | 5/10/2023 | 47,154 |
USD | 10,396,470 | KRW | 12,918,653,868 | Citibank N.A. | 3/13/2023 | 629,645 |
USD | 34,066,530 | KRW | 42,281,778,927 | Citibank N.A. | 4/12/2023 | 2,057,997 |
USD | 35,831,217 | KRW | 43,964,186,532 | Merrill Lynch International | 4/28/2023 | 2,523,510 |
USD | 2,710,770 | NOK | 26,733,344 | Deutsche Bank AG | 4/21/2023 | 129,703 |
USD | 12,827,157 | NZD | 20,273,231 | Brown Brothers Harriman | 4/21/2023 | 292,157 |
USD | 5,136,508 | NZD | 8,110,371 | Deutsche Bank AG | 4/21/2023 | 121,841 |
USD | 19,743,015 | NZD | 30,998,845 | HSBC Bank | 4/21/2023 | 576,336 |
USD | 9,475,198 | NZD | 15,074,880 | JPMorgan Chase Bank N.A. | 4/21/2023 | 154,354 |
USD | 1,537,320 | SEK | 16,027,908 | Citibank N.A. | 4/21/2023 | 1,996 |
USD | 182,943 | SEK | 1,880,949 | Deutsche Bank AG | 4/21/2023 | 2,766 |
USD | 6,248,150 | SEK | 65,131,332 | JPMorgan Chase Bank N.A. | 4/21/2023 | 9,175 |
USD | 4,790,108 | SGD | 6,393,103 | Brown Brothers Harriman | 4/21/2023 | 42,777 |
USD | 14,684,019 | TWD | 436,330,613 | Barclays Bank PLC | 5/05/2023 | 268,442 |
USD | 14,108,449 | TWD | 429,037,942 | Citibank N.A. | 3/01/2023 | 27,551 |
USD | 14,209,472 | TWD | 429,037,942 | Citibank N.A. | 5/23/2023 | 6,382 |
USD | 14,159,526 | TWD | 429,037,942 | Merrill Lynch International | 3/01/2023 | 78,627 |
$21,822,731 |
15
Portfolio of Investments (unaudited) – continued
Forward Foreign Currency Exchange Contracts − continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Liability Derivatives | ||||||
AUD | 3,195,513 | USD | 2,231,442 | Citibank N.A. | 4/21/2023 | $(77,272) |
AUD | 21,472,786 | USD | 14,915,787 | Deutsche Bank AG | 4/21/2023 | (440,473) |
AUD | 6,860,881 | USD | 4,787,245 | HSBC Bank | 4/21/2023 | (162,163) |
AUD | 6,829,018 | USD | 4,807,199 | State Street Bank Corp. | 4/21/2023 | (203,596) |
CAD | 3,201,841 | USD | 2,393,758 | HSBC Bank | 4/21/2023 | (46,009) |
CAD | 1,534,220 | USD | 1,147,534 | Morgan Stanley Capital Services, Inc. | 4/21/2023 | (22,567) |
CAD | 7,874,719 | USD | 5,835,135 | State Street Bank Corp. | 4/21/2023 | (60,999) |
CLP | 10,587,812 | USD | 12,810 | Goldman Sachs International | 3/06/2023 | (23) |
CNH | 55,703,000 | USD | 8,181,421 | Merrill Lynch International | 4/21/2023 | (139,285) |
EUR | 75,679 | USD | 82,539 | Brown Brothers Harriman | 4/21/2023 | (2,252) |
EUR | 242,123 | USD | 259,218 | Citibank N.A. | 4/21/2023 | (2,351) |
EUR | 868,276 | USD | 951,320 | Deutsche Bank AG | 4/21/2023 | (30,170) |
EUR | 8,929,483 | USD | 9,613,947 | HSBC Bank | 4/21/2023 | (140,702) |
EUR | 5,598,877 | USD | 6,072,730 | JPMorgan Chase Bank N.A. | 4/21/2023 | (132,910) |
EUR | 1,344,225 | USD | 1,444,374 | Merrill Lynch International | 4/21/2023 | (18,293) |
EUR | 1,619,877 | USD | 1,756,135 | Morgan Stanley Capital Services, Inc. | 4/21/2023 | (37,615) |
EUR | 22,706,374 | USD | 24,642,257 | State Street Bank Corp. | 4/21/2023 | (553,179) |
EUR | 3,765,758 | USD | 4,074,559 | UBS AG | 4/21/2023 | (79,484) |
GBP | 5,631,918 | USD | 6,900,541 | Brown Brothers Harriman | 4/21/2023 | (119,773) |
GBP | 19,974,151 | USD | 24,751,934 | HSBC Bank | 4/21/2023 | (703,275) |
GBP | 15,941,867 | USD | 19,376,976 | State Street Bank Corp. | 4/21/2023 | (183,142) |
JPY | 525,845,677 | USD | 4,037,854 | Barclays Bank PLC | 4/21/2023 | (147,662) |
JPY | 1,306,167,956 | USD | 10,132,840 | Deutsche Bank AG | 4/21/2023 | (469,846) |
JPY | 493,684,558 | USD | 3,831,267 | HSBC Bank | 4/21/2023 | (179,003) |
JPY | 964,569,047 | USD | 7,630,096 | Merrill Lynch International | 4/21/2023 | (494,242) |
JPY | 394,737,960 | USD | 3,078,779 | State Street Bank Corp. | 4/21/2023 | (158,518) |
NOK | 3,448,000 | USD | 349,628 | Deutsche Bank AG | 4/21/2023 | (16,729) |
NZD | 20,516,550 | USD | 12,811,085 | HSBC Bank | 4/21/2023 | (125,642) |
NZD | 45,975,038 | USD | 29,093,126 | JPMorgan Chase Bank N.A. | 4/21/2023 | (666,622) |
NZD | 8,229,088 | USD | 5,138,670 | UBS AG | 4/21/2023 | (50,601) |
SEK | 2,098,000 | USD | 204,054 | Deutsche Bank AG | 4/21/2023 | (3,085) |
SGD | 1,291,594 | USD | 985,006 | HSBC Bank | 4/21/2023 | (25,906) |
SGD | 24,329,992 | USD | 18,448,304 | Merrill Lynch International | 4/21/2023 | (381,565) |
TOF | 640,047,588 | USD | 19,016,775 | Barclasys Bank PLC | 4/17/2023 | (786,795) |
TOF | 168,372,485 | USD | 5,041,092 | JPMorgan Chase Bank N.A. | 4/17/2023 | (245,469) |
TWD | 429,037,942 | USD | 14,108,450 | Merrill Lynch International | 3/01/2023 | (27,551) |
USD | 9,436,104 | AUD | 14,001,585 | Merrill Lynch International | 4/21/2023 | (2,697) |
USD | 2,138,713 | CAD | 2,917,046 | State Street Bank Corp. | 4/21/2023 | (211) |
USD | 11,073 | CLP | 10,587,812 | Goldman Sachs International | 3/06/2023 | (1,714) |
USD | 16,924 | CZK | 377,401 | Goldman Sachs International | 4/21/2023 | (15) |
USD | 4,758,843 | EUR | 4,498,930 | Deutsche Bank AG | 4/21/2023 | (14,049) |
USD | 1,825,934 | EUR | 1,721,407 | JPMorgan Chase Bank N.A. | 4/21/2023 | (298) |
USD | 641,478 | EUR | 606,412 | State Street Bank Corp. | 4/21/2023 | (1,861) |
USD | 611,662 | GBP | 508,398 | Brown Brothers Harriman | 4/21/2023 | (444) |
USD | 1,066,198 | GBP | 887,638 | UBS AG | 4/21/2023 | (2,508) |
USD | 2,184,518 | MXN | 41,526,152 | HSBC Bank | 4/21/2023 | (63,115) |
USD | 3,345,374 | SEK | 34,977,427 | JPMorgan Chase Bank N.A. | 4/21/2023 | (5,137) |
$(7,026,818) |
16
Portfolio of Investments (unaudited) – continued
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
Australian Bond 10 yr | Short | AUD | 183 | $14,488,763 | March – 2023 | $433,836 |
Euro-Bobl 5 yr | Short | EUR | 1,294 | 157,642,698 | March – 2023 | 4,170,648 |
Euro-BTP 10 yr | Short | EUR | 346 | 41,240,506 | March – 2023 | 1,524,636 |
Euro-Bund 10 yr | Short | EUR | 12 | 1,686,947 | March – 2023 | 989 |
Euro-Schatz 2 yr | Short | EUR | 681 | 75,616,433 | March – 2023 | 1,148,494 |
U.S. Treasury Note 10 yr | Short | USD | 202 | 22,554,563 | June – 2023 | 27,621 |
U.S. Treasury Note 2 yr | Short | USD | 137 | 27,910,539 | June – 2023 | 80,028 |
U.S. Treasury Note 5 yr | Short | USD | 154 | 16,486,422 | June – 2023 | 43,969 |
$7,430,221 | ||||||
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
Canadian Treasury Bond 10 yr | Long | CAD | 439 | $39,083,708 | June – 2023 | $(233,608) |
Canadian Treasury Bond 5 yr | Long | CAD | 358 | 29,309,036 | June – 2023 | (87,110) |
Euro-Buxl 30 yr | Long | EUR | 62 | 8,805,733 | March – 2023 | (1,445,082) |
Long Gilt 10 yr | Long | GBP | 60 | 7,214,213 | June – 2023 | (66,519) |
U.S. Treasury Bond | Long | USD | 81 | 10,142,719 | June – 2023 | (5,652) |
U.S. Treasury Ultra Bond | Long | USD | 20 | 2,701,250 | June – 2023 | (12,898) |
U.S. Treasury Ultra Note 10 yr | Short | USD | 383 | 44,882,812 | June – 2023 | (36,966) |
$(1,887,835) |
Cleared Swap Agreements | ||||||||||
Maturity Date | Notional Amount | Counterparty | Cash Flows to Receive/ Frequency | Cash Flows to Pay/ Frequency | Unrealized Appreciation (Depreciation) | Net Unamortized Upfront Payments (Receipts) | Value | |||
Liability Derivatives | ||||||||||
Credit Default Swaps | ||||||||||
12/20/27 | EUR | 29,180,000 | centrally cleared | (1) | 5.00%/Quarterly | $(544,387) | $(779,720) | $(1,324,107) |
(1) Fund, as protection buyer, to receive notional amount upon a defined credit event by a reference obligation specified in the iTraxx Europe Crossover Series 38 Index.
At February 28, 2023, the fund had cash collateral of $366,000 and other liquid securities with an aggregate value of $12,251,194 to cover any collateral or margin obligations for securities and 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.
17
Supplemental Information
2/28/23 (unaudited)
The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies.
(1) Investment Concentration
The fund may invest between 25% and 35% of its total assets in the securities of issuers in any particular industry if, at the time of investment, that industry represents 20% or more of the global bond market, as a whole, as measured by an index determined by MFS to be an appropriate measure of the global bond market. At February 28, 2023, the fund did not have more than 25% of its assets invested in any one industry.
(2) 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, debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value. Exchange-traded options are generally valued at the last sale or official closing price on their primary exchange as provided by a third-party pricing service. Exchange-traded options for which there were no sales reported that day are generally valued at the last daily bid quotation on their primary exchange as provided by a third-party pricing service. For put options, the position may be valued at the last daily ask quotation if there are no trades reported during the day. Options not traded on an exchange are generally valued at a broker/dealer bid quotation. Foreign currency options are generally valued at valuations provided by a third-party pricing service. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party pricing service. Forward foreign currency exchange contracts are generally valued at the mean of bid and asked prices for the time period interpolated from rates provided by a third-party pricing service for proximate time periods. Swap agreements are generally valued using valuations provided by a third-party pricing service, which for cleared swaps includes an evaluation of any trading activity at the clearinghouses. Open-end investment companies are generally valued at net asset value per share. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.
Under the fund’s valuation policy and procedures, market quotations are not considered to be readily available for debt instruments, floating rate loans, and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services or otherwise determined by the adviser in accordance with the adviser’s fair valuation policy and procedures. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. In determining values, third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, spreads and other market data. An investment may also be valued at fair value if the adviser determines that the investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund’s net asset value, or after the halt of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. 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). Level 3 includes significant unobservable inputs, which may include the adviser's own assumptions in determining the fair value of
18
Supplemental Information (unaudited) – continued
investments. Other financial instruments are derivative instruments, such as futures contracts, forward foreign currency exchange contracts, swap agreements, and purchased options. The following is a summary of the levels used as of February 28, 2023 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 | $— | $38,577,946 | $— | $38,577,946 |
Non - U.S. Sovereign Debt | — | 373,820,618 | — | 373,820,618 |
Municipal Bonds | — | 11,216,435 | — | 11,216,435 |
U.S. Corporate Bonds | — | 155,334,734 | — | 155,334,734 |
Residential Mortgage-Backed Securities | — | 74,036,233 | — | 74,036,233 |
Commercial Mortgage-Backed Securities | — | 32,448,528 | — | 32,448,528 |
Asset-Backed Securities (including CDOs) | — | 46,327,134 | — | 46,327,134 |
Foreign Bonds | — | 169,157,277 | — | 169,157,277 |
Mutual Funds | 48,424,085 | — | — | 48,424,085 |
Total | $48,424,085 | $900,918,905 | $— | $949,342,990 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $7,430,221 | $— | $— | $7,430,221 |
Futures Contracts – Liabilities | (1,887,835) | — | — | (1,887,835) |
Forward Foreign Currency Exchange Contracts – Assets | — | 21,822,731 | — | 21,822,731 |
Forward Foreign Currency Exchange Contracts – Liabilities | — | (7,026,818) | — | (7,026,818) |
Swap Agreements – Liabilities | — | (1,324,107) | — | (1,324,107) |
For further information regarding security characteristics, see the Portfolio of Investments.
(3) 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 | $41,764,910 | $151,787,328 | $145,136,057 | $8,302 | $(398) | $48,424,085 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $301,013 | $— |
(4) Issuer Country Weightings
Issuer country weighting percentages of portfolio holdings based on net assets, as of February 28, 2023, are as follows:
United States | 66.2% |
Canada | 10.2% |
South Korea | 7.1% |
United Kingdom | 4.0% |
Spain | 3.8% |
Mexico | 3.3% |
Japan | 2.9% |
Greece | 2.5% |
Germany | (22.4)% |
Other Countries | 22.4% |
The issuer country weighting percentages include both accrued interest amounts and the equivalent exposure from any derivative holdings, if applicable.
19