Quarterly Report
July 31, 2020
MFS® Multimarket Income Trust
Portfolio of Investments
7/31/20 (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 – 121.6% | ||||
Aerospace – 2.4% | ||||
Bombardier, Inc., 7.5%, 3/15/2025 (n) | $ | 1,108,000 | $894,710 | |
Bombardier, Inc., 7.875%, 4/15/2027 (n) | 725,000 | 576,375 | ||
F-Brasile S.p.A./F-Brasile U.S. LLC, 7.375%, 8/15/2026 (n) | 605,000 | 485,694 | ||
Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 (n) | 324,000 | 359,974 | ||
Huntington Ingalls Industries, Inc., 3.483%, 12/01/2027 | 290,000 | 321,213 | ||
L3Harris Technologies, Inc., 3.85%, 6/15/2023 | 600,000 | 653,605 | ||
Leonardo S.p.A., 2.375%, 1/08/2026 | EUR | 167,000 | 197,819 | |
Lockheed Martin Corp., 2.8%, 6/15/2050 | $ | 679,000 | 765,524 | |
Moog, Inc., 4.25%, 12/15/2027 (n) | 1,265,000 | 1,293,197 | ||
TransDigm, Inc., 6.5%, 7/15/2024 | 635,000 | 636,588 | ||
TransDigm, Inc., 6.25%, 3/15/2026 (n) | 1,327,000 | 1,399,985 | ||
TransDigm, Inc., 6.375%, 6/15/2026 | 605,000 | 593,118 | ||
TransDigm, Inc., 5.5%, 11/15/2027 | 1,060,000 | 1,005,622 | ||
$9,183,424 | ||||
Apparel Manufacturers – 0.1% | ||||
Tapestry, Inc., 4.125%, 7/15/2027 | $ | 511,000 | $486,187 | |
Asset-Backed & Securitized – 3.3% | ||||
AA Bond Co. Ltd., 2.75%, 7/31/2023 | GBP | 625,000 | $770,286 | |
Barclays Commercial Mortgage Securities LLC, 2020-C7, “XA”, 1.633%, 4/15/2053 (i) | $ | 999,704 | 112,131 | |
Bayview Financial Revolving Mortgage Loan Trust, FLR, 1.772% (LIBOR - 1mo. + 1.6%), 12/28/2040 (n) | 877,806 | 903,043 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 145,449 | 146,526 | ||
Capital Automotive, 2020-1A, “B1”, REIT, 4.17%, 2/15/2050 (n) | 437,500 | 428,237 | ||
CF Hippolyta Issuer LLC, 2020-1, “B1”, 2.28%, 7/15/2060 (n) | 100,000 | 101,152 | ||
Crest Ltd., CDO, 7%, (0.001% cash or 7% PIK) 1/28/2040 (a)(p) | 3,201,269 | 73,607 | ||
GS Mortgage Securities Trust, 2019-GSA1, “A4”, 3.047%, 11/10/2052 | 2,000,000 | 2,239,897 | ||
HarbourView CLO VII Ltd., 7RA, “B”, FLR, 1.971% (LIBOR - 3mo. + 1.7%), 7/18/2031 (n) | 2,500,000 | 2,370,932 | ||
Lehman Brothers Commercial Conduit Mortgage Trust, 0.941%, 2/18/2030 (i) | 49,930 | 0 | ||
Loomis, Sayles & Co., CLO, 2015-2A, “A1R”, FLR, 1.175% (LIBOR - 3mo. + 0.9%), 4/15/2028 (n) | 2,333,602 | 2,303,179 | ||
MF1 CLO Ltd., 2019-FL2, “A”, FLR, 1.302% (LIBOR - 1mo. + 1.13%), 12/25/2034 (n) | 350,000 | 343,000 | ||
MF1 CLO Ltd., 2020-FL3, “AS”, FLR, 3.025% (LIBOR - 1mo. + 2.85%), 7/15/2035 | 571,500 | 573,286 | ||
Morgan Stanley Capital I Trust, “2019-H7, ”A4“, 3.261%, 7/15/2052 | 1,289,610 | 1,460,564 | ||
Securitized Term Auto Receivable Trust, 2019-CRTA, ”B“, 2.453%, 3/25/2026 (n) | 375,509 | 381,316 | ||
Securitized Term Auto Receivable Trust, 2019-CRTA, ”C“, 2.849%, 3/25/2026 (n) | 481,459 | 489,802 | ||
$12,696,958 | ||||
Automotive – 2.9% | ||||
Adient Global Holdings Ltd., 4.875%, 8/15/2026 (n) | $ | 675,000 | $630,281 | |
Adient U.S. LLC, 7%, 5/15/2026 (n) | 60,000 | 64,350 | ||
Allison Transmission, Inc., 5%, 10/01/2024 (n) | 1,470,000 | 1,498,297 | ||
Allison Transmission, Inc., 5.875%, 6/01/2029 (n) | 405,000 | 447,432 | ||
American Axle & Manufacturing, Inc., 6.25%, 3/15/2026 | 235,000 | 236,852 | ||
Conti Gummi Finance B.V., 1.125%, 9/25/2024 | EUR | 217,000 | 259,902 | |
Continental AG, 2.5%, 8/26/2027 | 184,000 | 233,647 | ||
Dana, Inc., 5.5%, 12/15/2024 | $ | 95,000 | 97,138 | |
Dana, Inc., 5.375%, 11/15/2027 | 513,000 | 540,702 | ||
Dana, Inc., 5.625%, 6/15/2028 | 176,000 | 184,800 | ||
Delphi Automotive PLC, 1.5%, 3/10/2025 | EUR | 625,000 | 757,511 | |
Ferrari N.V., 1.5%, 5/27/2025 | 441,000 | 524,836 | ||
Fiat Chrysler Automobiles N.V., 3.875%, 1/05/2026 | 593,000 | 743,691 | ||
General Motors Co., 6.125%, 10/01/2025 | $ | 557,000 | 651,060 | |
Hyundai Capital America, 6.375%, 4/08/2030 (n) | 626,000 | 790,339 | ||
IAA Spinco, Inc., 5.5%, 6/15/2027 (n) | 1,050,000 | 1,119,562 | ||
KAR Auction Services, Inc., 5.125%, 6/01/2025 (n) | 785,000 | 788,925 | ||
Panther BR Aggregator 2 LP/Panther Finance Co., Inc., 8.5%, 5/15/2027 (n) | 885,000 | 930,135 |
1
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Automotive – continued | ||||
Volkswagen International Finance N.V., 1.625%, 2/10/2024 | GBP | 200,000 | $263,884 | |
Volkswagen International Finance N.V., 3.5% to 6/17/2025, FLR (EUR Swap Rate - 5yr. + 3.746%) to 6/17/2030, FLR (EUR Swap Rate - 5yr. + 3.996%) to 6/17/2045, FLR (EUR Swap Rate - 5yr. + 4.746%) to 6/17/2165 | EUR | 400,000 | 464,370 | |
$11,227,714 | ||||
Broadcasting – 2.6% | ||||
Discovery, Inc., 4.125%, 5/15/2029 | $ | 219,000 | $252,780 | |
iHeartCommunications, Inc., 6.375%, 5/01/2026 (n) | 400,000 | 421,000 | ||
iHeartCommunications, Inc., 8.375%, 5/01/2027 | 515,000 | 514,191 | ||
iHeartCommunications, Inc., 5.25%, 8/15/2027 (n) | 190,000 | 191,900 | ||
MMS USA Financing, Inc., 1.75%, 6/13/2031 | EUR | 1,000,000 | 1,196,447 | |
Netflix, Inc., 5.875%, 2/15/2025 | $ | 1,340,000 | 1,541,000 | |
Netflix, Inc., 3.625%, 6/15/2025 (n) | 555,000 | 588,300 | ||
Netflix, Inc., 4.375%, 11/15/2026 | 405,000 | 449,704 | ||
Netflix, Inc., 5.875%, 11/15/2028 | 470,000 | 580,450 | ||
Netflix, Inc., 5.375%, 11/15/2029 (n) | 200,000 | 242,250 | ||
Nexstar Escrow Corp., 5.625%, 7/15/2027 (n) | 1,015,000 | 1,086,355 | ||
Prosus N.V., 1.539%, 8/03/2028 | EUR | 150,000 | 177,938 | |
Prosus N.V., 3.68%, 1/21/2030 (n) | $ | 251,000 | 268,916 | |
RELX Finance B.V., 0.5%, 3/10/2028 | EUR | 100,000 | 117,513 | |
Terrier Media Buyer, Inc., 8.875%, 12/15/2027 (n) | $ | 290,000 | 297,250 | |
WMG Acquisition Corp., 3.875%, 7/15/2030 (n) | 1,502,000 | 1,607,140 | ||
WPP Finance, 3.75%, 9/19/2024 | 352,000 | 386,228 | ||
$9,919,362 | ||||
Brokerage & Asset Managers – 1.4% | ||||
Charles Schwab Corp., 5.375%, 4/30/2070 | $ | 598,000 | $654,810 | |
Deutsche Boerse AG, 1.25% to 6/17/2027, FLR (EUR Swap Rate - 5yr. + 1.681%) to 6/16/2047 | EUR | 100,000 | 117,736 | |
E*TRADE Financial Corp., 2.95%, 8/24/2022 | $ | 245,000 | 256,943 | |
Euroclear Bank S.A., 0.125%, 7/07/2025 | EUR | 158,000 | 187,650 | |
Euroclear Investments S.A., 2.625%, 4/11/2048 | 400,000 | 504,869 | ||
Intercontinental Exchange, Inc., 3.75%, 12/01/2025 | $ | 450,000 | 518,256 | |
Low Income Investment Fund, 3.386%, 7/01/2026 | 185,000 | 193,355 | ||
Low Income Investment Fund, 3.711%, 7/01/2029 | 490,000 | 516,429 | ||
LPL Holdings, Inc., 4.625%, 11/15/2027 (n) | 1,340,000 | 1,380,200 | ||
NASDAQ, Inc., 3.25%, 4/28/2050 | 340,000 | 390,404 | ||
Raymond James Financial, 4.65%, 4/01/2030 | 658,000 | 813,386 | ||
$5,534,038 | ||||
Building – 4.2% | ||||
ABC Supply Co., Inc., 5.875%, 5/15/2026 (n) | $ | 845,000 | $893,587 | |
ABC Supply Co., Inc., 4%, 1/15/2028 (n) | 1,090,000 | 1,133,600 | ||
Beacon Escrow Corp., 4.875%, 11/01/2025 (n) | 1,151,000 | 1,126,679 | ||
CEMEX S.A.B. de C.V., 7.375%, 6/05/2027 (n) | 238,000 | 253,734 | ||
Core & Main LP, 8.625%, (8.625% cash or 9.375% PIK) 9/15/2024 (n)(p) | 330,000 | 333,300 | ||
Core & Main LP, 6.125%, 8/15/2025 (n) | 837,000 | 862,177 | ||
Cornerstone Building Brands, Inc., 8%, 4/15/2026 (n) | 570,000 | 587,813 | ||
CRH America Finance, Inc., 4.5%, 4/04/2048 (n) | 451,000 | 521,893 | ||
HD Supply, Inc., 5.375%, 10/15/2026 (n) | 880,000 | 922,187 | ||
Holcim Finance (Luxembourg) S.A., 2.375%, 4/09/2025 | EUR | 489,000 | 624,692 | |
James Hardie International Finance Ltd., 4.75%, 1/15/2025 (n) | $ | 560,000 | 575,400 | |
James Hardie International Finance Ltd., 5%, 1/15/2028 (n) | 600,000 | 639,000 | ||
Masco Corp., 4.45%, 4/01/2025 | 170,000 | 196,989 | ||
Masco Corp., 4.375%, 4/01/2026 | 791,000 | 917,941 | ||
Mohawk Capital Finance S.A., 1.75%, 6/12/2027 | EUR | 100,000 | 105,222 | |
New Enterprise Stone & Lime Co., Inc., 6.25%, 3/15/2026 (n) | $ | 691,000 | 711,730 | |
New Enterprise Stone & Lime Co., Inc., 9.75%, 7/15/2028 (n) | 406,000 | 425,285 | ||
Patrick Industries, Inc., 7.5%, 10/15/2027 (n) | 710,000 | 755,610 | ||
PriSo Acquisition Corp., 9%, 5/15/2023 (n) | 734,000 | 689,960 |
2
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Building – continued | ||||
SRS Distribution, Inc., 8.25%, 7/01/2026 (n) | $ | 485,000 | $504,400 | |
Standard Industries, Inc., 6%, 10/15/2025 (n) | 655,000 | 682,156 | ||
Standard Industries, Inc., 4.375%, 7/15/2030 (n) | 645,000 | 696,600 | ||
Summit Materials LLC/Summit Materials Finance Co., 6.125%, 7/15/2023 | 960,000 | 960,576 | ||
Summit Materials LLC/Summit Materials Finance Co., 5.25%, 1/15/2029 (n) | 333,000 | 345,488 | ||
Vulcan Materials Co., 3.5%, 6/01/2030 | 550,000 | 617,547 | ||
$16,083,566 | ||||
Business Services – 2.2% | ||||
Ascend Learning LLC, 6.875%, 8/01/2025 (n) | $ | 910,000 | $932,750 | |
CDK Global, Inc., 4.875%, 6/01/2027 | 1,000,000 | 1,068,740 | ||
CDK Global, Inc., 5.25%, 5/15/2029 (n) | 295,000 | 323,040 | ||
Euronet Worldwide, Inc., 1.375%, 5/22/2026 | EUR | 950,000 | 1,072,545 | |
Fidelity National Information Services, Inc., 3.875%, 6/05/2024 | $ | 180,000 | 199,319 | |
Iron Mountain, Inc., REIT, 4.875%, 9/15/2027 (n) | 490,000 | 508,987 | ||
Iron Mountain, Inc., REIT, 5.25%, 7/15/2030 (n) | 342,000 | 358,672 | ||
MSCI, Inc., 4.75%, 8/01/2026 (n) | 890,000 | 934,500 | ||
NXP Semiconductors N.V., 3.4%, 5/01/2030 (n) | 726,000 | 801,165 | ||
QualityTech LP/QTS Finance Corp., 4.75%, 11/15/2025 (n) | 290,000 | 300,150 | ||
Refinitiv U.S. Holdings, Inc., 8.25%, 11/15/2026 (n) | 325,000 | 358,719 | ||
Tencent Holdings Ltd., 3.8%, 2/11/2025 | 700,000 | 775,731 | ||
Verscend Escrow Corp., 9.75%, 8/15/2026 (n) | 640,000 | 708,666 | ||
$8,342,984 | ||||
Cable TV – 6.1% | ||||
Altice Financing S.A., 7.5%, 5/15/2026 (n) | $ | 980,000 | $1,053,745 | |
CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025 (n) | 235,000 | 242,344 | ||
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 2/15/2026 (n) | 1,925,000 | 2,016,437 | ||
CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027 (n) | 1,545,000 | 1,633,837 | ||
CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, 3/01/2030 (n) | 1,800,000 | 1,915,875 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | 347,000 | 478,218 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.8%, 3/01/2050 | 271,000 | 328,385 | ||
Comcast Corp., 0.25%, 5/20/2027 | EUR | 150,000 | 178,050 | |
Comcast Corp., 3.75%, 4/01/2040 | $ | 578,000 | 720,431 | |
CSC Holdings LLC, 5.5%, 5/15/2026 (n) | 665,000 | 697,419 | ||
CSC Holdings LLC, 5.5%, 4/15/2027 (n) | 2,775,000 | 2,976,187 | ||
DISH DBS Corp., 5.875%, 11/15/2024 | 650,000 | 677,755 | ||
DISH DBS Corp., 7.75%, 7/01/2026 | 750,000 | 845,700 | ||
Eutelsat S.A., 2.25%, 7/13/2027 | EUR | 1,000,000 | 1,228,369 | |
Intelsat Jackson Holdings S.A., 5.5%, 8/01/2023 (a)(d) | $ | 570,000 | 356,963 | |
Intelsat Jackson Holdings S.A., 9.75%, 7/15/2025 (a)(d)(n) | 310,000 | 206,150 | ||
LCPR Senior Secured Financing DAC, 6.75%, 10/15/2027 (n) | 595,000 | 642,897 | ||
SES S.A., 2%, 7/02/2028 | EUR | 293,000 | 349,149 | |
Sirius XM Holdings, Inc., 4.625%, 7/15/2024 (n) | $ | 1,335,000 | 1,405,755 | |
Sirius XM Holdings, Inc., 5.5%, 7/01/2029 (n) | 530,000 | 590,288 | ||
Telenet Finance Luxembourg S.A., 5.5%, 3/01/2028 (n) | 1,200,000 | 1,260,000 | ||
Telesat Holdings, Inc., 6.5%, 10/15/2027 (n) | 770,000 | 791,406 | ||
Time Warner Cable, Inc., 4.5%, 9/15/2042 | 210,000 | 244,901 | ||
Videotron Ltd., 5.375%, 6/15/2024 (n) | 165,000 | 179,025 | ||
Videotron Ltd., 5.125%, 4/15/2027 (n) | 1,555,000 | 1,644,412 | ||
Ziggo Bond Finance B.V., 5.125%, 2/28/2030 (n) | 820,000 | 873,546 | ||
$23,537,244 | ||||
Chemicals – 1.2% | ||||
Axalta Coating Systems Ltd., 4.875%, 8/15/2024 (n) | $ | 910,000 | $932,750 | |
Axalta Coating Systems Ltd., 4.75%, 6/15/2027 (n) | 157,000 | 164,458 | ||
Consolidated Energy Finance S.A., 6.875%, 6/15/2025 (n) | 805,000 | 762,737 | ||
Element Solutions, Inc., 5.875%, 12/01/2025 (n) | 555,000 | 573,037 | ||
Sasol Financing (USA) LLC, 6.5%, 9/27/2028 | 350,000 | 315,875 |
3
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Chemicals – continued | ||||
SPCM S.A., 4.875%, 9/15/2025 (n) | $ | 805,000 | $828,160 | |
Starfruit Finance Co./Starfruit U.S. Holding Co. LLC, 8%, 10/01/2026 (n) | 550,000 | 585,750 | ||
Symrise AG, 1.25%, 11/29/2025 | EUR | 385,000 | 464,985 | |
$4,627,752 | ||||
Computer Software – 1.8% | ||||
Camelot Finance S.A., 4.5%, 11/01/2026 (n) | $ | 945,000 | $978,075 | |
Dell International LLC/EMC Corp., 5.85%, 7/15/2025 (n) | 257,000 | 300,559 | ||
Dell International LLC/EMC Corp., 4.9%, 10/01/2026 (n) | 863,000 | 973,657 | ||
Microsoft Corp., 4.1%, 2/06/2037 | 893,000 | 1,196,140 | ||
Microsoft Corp., 2.525%, 6/01/2050 | 529,000 | 580,693 | ||
Microsoft Corp., 3.95%, 8/08/2056 | 293,000 | 410,412 | ||
Microsoft Corp., 2.675%, 6/01/2060 | 61,000 | 67,384 | ||
PTC, Inc., 3.625%, 2/15/2025 (n) | 750,000 | 777,577 | ||
PTC, Inc., 4%, 2/15/2028 (n) | 200,000 | 210,070 | ||
VeriSign, Inc., 5.25%, 4/01/2025 | 530,000 | 604,200 | ||
VeriSign, Inc., 4.75%, 7/15/2027 | 770,000 | 836,051 | ||
$6,934,818 | ||||
Computer Software - Systems – 1.7% | ||||
Apple, Inc., 4.5%, 2/23/2036 | $ | 1,100,000 | $1,500,300 | |
BY Crown Parent LLC, 4.25%, 1/31/2026 (n) | 227,000 | 235,297 | ||
Capgemini SE, 2%, 4/15/2029 | EUR | 300,000 | 391,358 | |
Capgemini SE, 1.125%, 6/23/2030 | 200,000 | 241,921 | ||
Fair Isaac Corp., 5.25%, 5/15/2026 (n) | $ | 1,495,000 | 1,681,875 | |
Fair Isaac Corp., 4%, 6/15/2028 (n) | 286,000 | 299,156 | ||
JDA Software Group, Inc., 7.375%, 10/15/2024 (n) | 720,000 | 729,900 | ||
Sabre GLBL, Inc., 5.375%, 4/15/2023 (n) | 590,000 | 578,937 | ||
SS&C Technologies Holdings, Inc., 5.5%, 9/30/2027 (n) | 950,000 | 1,020,062 | ||
$6,678,806 | ||||
Conglomerates – 3.9% | ||||
Amsted Industries Co., 5.625%, 7/01/2027 (n) | $ | 1,015,000 | $1,070,825 | |
BWX Technologies, Inc., 5.375%, 7/15/2026 (n) | 1,350,000 | 1,410,750 | ||
BWX Technologies, Inc., 4.125%, 6/30/2028 (n) | 260,000 | 270,400 | ||
CFX Escrow Corp., 6.375%, 2/15/2026 (n) | 795,000 | 858,600 | ||
EnerSys, 5%, 4/30/2023 (n) | 870,000 | 891,097 | ||
EnerSys, 4.375%, 12/15/2027 (n) | 460,000 | 464,738 | ||
Gates Global LLC, 6.25%, 1/15/2026 (n) | 820,000 | 858,950 | ||
General Electric Co., 0.875%, 5/17/2025 | EUR | 275,000 | 314,383 | |
Granite Holdings U.S. Acquisition Co., 11%, 10/01/2027 (n) | $ | 455,000 | 436,800 | |
Griffon Corp., 5.75%, 3/01/2028 | 555,000 | 579,975 | ||
Griffon Corp., 5.75%, 3/01/2028 (n) | 235,000 | 245,575 | ||
Grupo KUO S.A.B. de C.V., 5.75%, 7/07/2027 (n) | 805,000 | 755,493 | ||
MTS Systems Corp., 5.75%, 8/15/2027 (n) | 810,000 | 788,495 | ||
Roper Technologies, Inc., 4.2%, 9/15/2028 | 343,000 | 415,512 | ||
Roper Technologies, Inc., 2.95%, 9/15/2029 | 270,000 | 302,906 | ||
Roper Technologies, Inc., 2%, 6/30/2030 | 658,000 | 686,286 | ||
Stevens Holding Co., Inc., 6.125%, 10/01/2026 (n) | 830,000 | 888,100 | ||
Thyssenkrupp AG, 2.875%, 2/22/2024 | EUR | 200,000 | 228,522 | |
TriMas Corp., 4.875%, 10/15/2025 (n) | $ | 1,930,000 | 1,974,023 | |
WESCO Distribution, Inc., 7.125%, 6/15/2025 (n) | 298,000 | 327,022 | ||
WESCO Distribution, Inc., 7.25%, 6/15/2028 (n) | 298,000 | 325,565 | ||
Westinghouse Air Brake Technologies Corp., 4.4%, 3/15/2024 | 370,000 | 400,629 | ||
Westinghouse Air Brake Technologies Corp., 4.95%, 9/15/2028 | 364,000 | 415,962 | ||
$14,910,608 |
4
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Construction – 0.9% | ||||
Mattamy Group Corp., 5.25%, 12/15/2027 (n) | $ | 230,000 | $238,625 | |
Mattamy Group Corp., 4.625%, 3/01/2030 (n) | 700,000 | 710,500 | ||
Shea Homes LP/Shea Homes Funding Corp., 4.75%, 2/15/2028 (n) | 790,000 | 828,828 | ||
Taylor Morrison Communities, Inc., 5.875%, 6/15/2027 (n) | 115,000 | 127,075 | ||
Toll Brothers Finance Corp., 4.875%, 11/15/2025 | 570,000 | 627,000 | ||
Toll Brothers Finance Corp., 4.35%, 2/15/2028 | 1,050,000 | 1,136,625 | ||
$3,668,653 | ||||
Consumer Products – 1.4% | ||||
CD&R Smokey Buyer, Inc., 6.75%, 7/15/2025 (n) | $ | 470,000 | $502,900 | |
Coty, Inc., 6.5%, 4/15/2026 (n) | 715,000 | 557,793 | ||
Energizer Holdings, Inc., 6.375%, 7/15/2026 (n) | 780,000 | 830,700 | ||
LVMH Moet Hennessy Louis Vuitton SE, 0.375%, 2/11/2031 | EUR | 200,000 | 236,096 | |
Mattel, Inc., 6.75%, 12/31/2025 (n) | $ | 730,000 | 781,881 | |
Mattel, Inc., 5.875%, 12/15/2027 (n) | 342,000 | 371,135 | ||
Prestige Brands, Inc., 5.125%, 1/15/2028 (n) | 355,000 | 372,498 | ||
Reckitt Benckiser Treasury Services PLC, 3.625%, 9/21/2023 (n) | 500,000 | 541,341 | ||
Reckitt Benckiser Treasury Services PLC, 0.375%, 5/19/2026 | EUR | 311,000 | 370,889 | |
Reckitt Benckiser Treasury Services PLC, 3%, 6/26/2027 (n) | $ | 396,000 | 441,493 | |
Reckitt Benckiser Treasury Services PLC, 1.75%, 5/19/2032 | GBP | 212,000 | 292,392 | |
Whirlpool Corp., 4.75%, 2/26/2029 | $ | 135,000 | 167,013 | |
$5,466,131 | ||||
Consumer Services – 2.2% | ||||
Allied Universal Holdco LLC, 6.625%, 7/15/2026 (n) | $ | 228,000 | $243,960 | |
Allied Universal Holdco LLC, 9.75%, 7/15/2027 (n) | 615,000 | 683,585 | ||
Booking Holdings, Inc., 3.55%, 3/15/2028 | 238,000 | 267,072 | ||
Frontdoor, Inc., 6.75%, 8/15/2026 (n) | 675,000 | 728,156 | ||
Garda World Security Corp., 4.625%, 2/15/2027 (n) | 280,000 | 287,678 | ||
GW B-CR Security Corp., 9.5%, 11/01/2027 (n) | 361,000 | 393,490 | ||
IHS Markit Ltd., 4.25%, 5/01/2029 | 630,000 | 747,262 | ||
Match Group, Inc., 5%, 12/15/2027 (n) | 655,000 | 687,750 | ||
Match Group, Inc., 4.625%, 6/01/2028 (n) | 610,000 | 644,135 | ||
Realogy Group LLC, 9.375%, 4/01/2027 (n) | 825,000 | 843,562 | ||
Service Corp. International, 5.125%, 6/01/2029 | 570,000 | 629,850 | ||
ServiceMaster Co. LLC, 5.125%, 11/15/2024 (n) | 695,000 | 715,850 | ||
Toll Road Investors Partnership II LP, Capital Appreciation, NATL, 0%, 2/15/2027 (n) | 1,052,000 | 766,473 | ||
Visa, Inc., 4.15%, 12/14/2035 | 465,000 | 616,341 | ||
Visa, Inc., 3.65%, 9/15/2047 | 273,000 | 360,731 | ||
$8,615,895 | ||||
Containers – 2.7% | ||||
ARD Finance S.A., 6.5%, (6.5% cash or 7.25% PIK) 6/30/2027 (n)(p) | $ | 685,000 | $700,413 | |
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 5.25%, 8/15/2027 (n) | 940,000 | 983,964 | ||
Berry Global Group, Inc., 4.875%, 7/15/2026 (n) | 520,000 | 549,250 | ||
Berry Global Group, Inc., 5.625%, 7/15/2027 (n) | 365,000 | 390,550 | ||
Crown Americas LLC/Crown Americas Capital Corp. IV, 4.5%, 1/15/2023 | 927,000 | 978,467 | ||
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/2026 | 1,080,000 | 1,145,210 | ||
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 2/01/2026 | 470,000 | 490,436 | ||
DS Smith PLC, 0.875%, 9/12/2026 | EUR | 350,000 | 407,383 | |
Flex Acquisition Co., Inc., 6.875%, 1/15/2025 (n) | $ | 635,000 | 644,525 | |
LABL Escrow Issuer LLC, 6.75%, 7/15/2026 (n) | 290,000 | 313,200 | ||
Mauser Packaging Solutions, 5.5%, 4/15/2024 (n) | 240,000 | 244,699 | ||
Reynolds Group, 5.125%, 7/15/2023 (n) | 725,000 | 736,092 | ||
Reynolds Group, 7%, 7/15/2024 (n) | 230,000 | 234,313 | ||
San Miguel Industrias PET S.A., 4.5%, 9/18/2022 | 839,000 | 846,467 | ||
Silgan Holdings, Inc., 4.75%, 3/15/2025 | 900,000 | 915,750 | ||
Silgan Holdings, Inc., 4.125%, 2/01/2028 | 358,000 | 366,950 |
5
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Containers – continued | ||||
Trivium Packaging Finance B.V., 8.5%, 8/15/2027 (n) | $ | 600,000 | $657,000 | |
$10,604,669 | ||||
Electrical Equipment – 0.4% | ||||
CommScope Technologies LLC, 6%, 6/15/2025 (n) | $ | 545,000 | $556,826 | |
CommScope Technologies LLC, 5%, 3/15/2027 (n) | 715,000 | 690,576 | ||
Telefonaktiebolaget LM Ericsson, 1.875%, 3/01/2024 | EUR | 350,000 | 428,052 | |
$1,675,454 | ||||
Electronics – 1.7% | ||||
ASML Holding N.V., 0.625%, 5/07/2029 | EUR | 127,000 | $153,522 | |
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.875%, 1/15/2027 | $ | 767,000 | 852,073 | |
Broadcom, Inc., 4.15%, 11/15/2030 (n) | 211,000 | 236,998 | ||
Diebold Nixdorf, Inc., 9.375%, 7/15/2025 (n) | 289,000 | 305,704 | ||
Entegris, Inc., 4.625%, 2/10/2026 (n) | 1,000,000 | 1,039,120 | ||
Entegris, Inc., 4.375%, 4/15/2028 (n) | 320,000 | 337,107 | ||
Sensata Technologies B.V., 5.625%, 11/01/2024 (n) | 710,000 | 773,900 | ||
Sensata Technologies B.V., 5%, 10/01/2025 (n) | 785,000 | 847,800 | ||
Sensata Technologies, Inc., 4.375%, 2/15/2030 (n) | 1,405,000 | 1,501,510 | ||
Texas Instruments, Inc., 2.25%, 9/04/2029 | 312,000 | 340,611 | ||
$6,388,345 | ||||
Emerging Market Quasi-Sovereign – 8.3% | ||||
Abu Dhabi Crude Oil Pipeline, 3.65%, 11/02/2029 | $ | 1,100,000 | $1,271,301 | |
Aeropuerto Internacional de Tocumen S.A. (Republic of Panama), 6%, 11/18/2048 (n) | 1,015,491 | 1,123,042 | ||
Banco de Reservas de la Republica Dominicana, 7%, 2/01/2023 (n) | 946,000 | 946,009 | ||
CEZ A.S. (Czech Republic), 0.875%, 12/02/2026 | EUR | 650,000 | 773,406 | |
China Construction Bank Corp., 4.25% to 2/27/2024, FLR (CMT - 5yr. + 1.88%) to 2/27/2029 | $ | 964,000 | 1,039,890 | |
China Construction Bank Corp., Hong Kong Branch, 1.25%, 8/04/2025 | 1,050,000 | 1,054,638 | ||
CNPC (HK) Overseas Capital Ltd. (People's Republic of China), 4.5%, 4/28/2021 (n) | 1,242,000 | 1,271,882 | ||
Empresa Nacional del Petroleo (Republic of Chile), 3.75%, 8/05/2026 (n) | 423,000 | 447,361 | ||
Empresa Nacional del Petroleo (Republic of Chile), 3.75%, 8/05/2026 | 1,306,000 | 1,381,214 | ||
EQUATE Petrochemical B.V. (State of Kuwait), 4.25%, 11/03/2026 | 1,034,000 | 1,109,610 | ||
Eskom Holdings SOC Ltd. (Republic of South Africa), 6.35%, 8/10/2028 (n) | 1,052,000 | 1,058,838 | ||
Export-Import Bank of India, 3.375%, 8/05/2026 | 1,366,000 | 1,442,195 | ||
Gaz Capital S.A. (Russian Federation), 4.95%, 2/06/2028 (n) | 492,000 | 553,612 | ||
KazMunayGas National Co., JSC (Republic of Kazakhstan), 5.375%, 4/24/2030 (n) | 1,002,000 | 1,184,825 | ||
KazMunayGas National Co., JSC (Republic of Kazakhstan), 6.375%, 10/24/2048 (n) | 984,000 | 1,313,640 | ||
MDGH - GMTN B.V. (United Arab Emirates), 2.5%, 11/07/2024 | 508,000 | 533,400 | ||
MDGH - GMTN B.V. (United Arab Emirates), 2.875%, 11/07/2029 (n) | 1,091,000 | 1,184,750 | ||
NAK Naftogaz Ukraine via Standard Bank London Holdings PLC, 7.625%, 11/08/2026 (n) | 869,000 | 836,351 | ||
NTPC Ltd. (Republic of India), 4.25%, 2/26/2026 | 613,000 | 646,041 | ||
Office Cherifien des Phosphates S.A. (Kingdom of Morocco), 6.875%, 4/25/2044 (n) | 373,000 | 463,303 | ||
Petrobras Global Finance B.V. (Federative Republic of Brazil), 5.75%, 2/01/2029 | 1,322,000 | 1,428,157 | ||
Petroleos del Peru S.A., 4.75%, 6/19/2032 | 1,067,000 | 1,237,720 | ||
Petroleos Mexicanos, 6.49%, 1/23/2027 (n) | 904,000 | 863,320 | ||
Petroleos Mexicanos, 5.35%, 2/12/2028 | 1,000,000 | 877,500 | ||
PT Pertamina (Persero) (Republic of Indonesia), 3.65%, 7/30/2029 | 650,000 | 695,562 | ||
PT Pertamina (Persero) (Republic of Indonesia), 6.5%, 11/07/2048 (n) | 1,200,000 | 1,694,594 | ||
QNB Finance Ltd. (State of Qatar), 2.75%, 2/12/2027 | 200,000 | 209,971 | ||
Sinopec Capital (2013) Ltd. (People's Republic of China), 3.125%, 4/24/2023 (n) | 666,000 | 699,315 | ||
Southern Gas Corridor CJSC (Republic of Azerbaijan), 6.875%, 3/24/2026 | 1,367,000 | 1,608,412 | ||
State Grid Overseas Investment (2014) Ltd. (People's Republic of China), 4.125%, 5/07/2024 (n) | 1,563,000 | 1,738,905 | ||
State Oil Company of the Azerbaijan Republic, 6.95%, 3/18/2030 | 1,152,000 | 1,382,953 | ||
$32,071,717 |
6
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – 8.3% | ||||
Arab Republic of Egypt, 6.588%, 2/21/2028 | $ | 1,087,000 | $1,072,054 | |
Arab Republic of Egypt, 6.375%, 4/11/2031 (n) | EUR | 1,011,000 | 1,102,078 | |
Arab Republic of Egypt, 7.903%, 2/21/2048 | $ | 1,120,000 | 1,029,627 | |
Dominican Republic, 5.95%, 1/25/2027 | 997,000 | 1,057,817 | ||
Dominican Republic, 5.875%, 1/30/2060 (n) | 1,170,000 | 1,117,350 | ||
Federal Republic of Nigeria, 8.747%, 1/21/2031 (n) | 1,415,000 | 1,453,403 | ||
Government of Ukraine, 7.75%, 9/01/2023 | 1,061,000 | 1,100,681 | ||
Government of Ukraine, 7.253%, 3/15/2033 (n) | 492,000 | 479,088 | ||
Government of Ukraine, GDP Linked Bond, 0%, 5/31/2040 | 824,000 | 722,648 | ||
Kingdom of Saudi Arabia, 4.375%, 4/16/2029 (n) | 942,000 | 1,119,802 | ||
Republic of Angola, 9.5%, 11/12/2025 | 400,000 | 363,964 | ||
Republic of Angola, 8.25%, 5/09/2028 | 491,000 | 414,895 | ||
Republic of Argentina, 6.875%, 1/26/2027 (a) | 1,669,000 | 705,153 | ||
Republic of Colombia, 3%, 1/30/2030 | 829,000 | 853,456 | ||
Republic of Colombia, 5%, 6/15/2045 | 1,050,000 | 1,294,125 | ||
Republic of Cote d'Ivoire, 5.25%, 3/22/2030 | EUR | 750,000 | 815,260 | |
Republic of Ghana, 8.125%, 3/26/2032 (n) | $ | 593,000 | 553,981 | |
Republic of Guatemala, 6.125%, 6/01/2050 (n) | 792,000 | 964,656 | ||
Republic of Hungary, 7.625%, 3/29/2041 | 488,000 | 851,703 | ||
Republic of Indonesia, 4.125%, 1/15/2025 (n) | 339,000 | 377,304 | ||
Republic of Kenya, 8%, 5/22/2032 (n) | 1,046,000 | 1,031,289 | ||
Republic of Paraguay, 5.6%, 3/13/2048 | 1,049,000 | 1,350,587 | ||
Republic of Peru, 2.392%, 1/23/2026 | 91,000 | 96,733 | ||
Republic of Romania, 2%, 12/08/2026 (n) | EUR | 1,011,000 | 1,219,850 | |
Republic of Romania, 2.124%, 7/16/2031 (n) | 1,200,000 | 1,379,050 | ||
Republic of South Africa, 4.875%, 4/14/2026 | $ | 432,000 | 435,620 | |
Republic of Sri Lanka, 6.125%, 6/03/2025 | 668,000 | 507,696 | ||
Republic of Turkey, 4.25%, 3/13/2025 | 702,000 | 631,870 | ||
Republic of Turkey, 7.625%, 4/26/2029 | 856,000 | 867,342 | ||
Russian Federation, 4.75%, 5/27/2026 | 1,000,000 | 1,154,050 | ||
Russian Federation, 4.25%, 6/23/2027 | 1,000,000 | 1,126,980 | ||
Russian Federation, 4.375%, 3/21/2029 | 400,000 | 458,500 | ||
State of Qatar, 4%, 3/14/2029 (n) | 533,000 | 631,392 | ||
State of Qatar, 4.817%, 3/14/2049 (n) | 1,404,000 | 2,004,339 | ||
State of Qatar, 4.4%, 4/16/2050 | 203,000 | 275,573 | ||
United Mexican States, 4.5%, 4/22/2029 | 1,300,000 | 1,458,600 | ||
$32,078,516 | ||||
Energy - Independent – 1.6% | ||||
Afren PLC, 11.5%, 2/01/2016 (a)(d) | $ | 326,905 | $268 | |
Afren PLC, 10.25%, 4/08/2019 (a)(d) | 213,708 | 1,864 | ||
Apache Corp., 4.375%, 10/15/2028 | 920,000 | 918,850 | ||
CrownRock LP/CrownRock Finance, Inc., 5.625%, 10/15/2025 (n) | 830,000 | 813,400 | ||
Jagged Peak Energy LLC, 5.875%, 5/01/2026 | 450,000 | 459,000 | ||
Laredo Petroleum, Inc., 10.125%, 1/15/2028 | 145,000 | 102,950 | ||
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6%, 8/01/2026 (n) | 580,000 | 558,975 | ||
Matador Resources Co., 5.875%, 9/15/2026 | 355,000 | 269,800 | ||
Medco Bell Pte. Ltd., 6.375%, 1/30/2027 (n) | 498,000 | 453,634 | ||
Parsley Energy LLC/Parsley Finance Corp., 5.625%, 10/15/2027 (n) | 460,000 | 481,850 | ||
PDC Energy, Inc., 5.75%, 5/15/2026 | 145,000 | 145,320 | ||
Southwestern Energy Co., 6.45%, 1/23/2025 | 310,800 | 287,074 | ||
Southwestern Energy Co., 7.5%, 4/01/2026 | 181,000 | 169,823 | ||
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 (n) | 422,000 | 450,970 | ||
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 | 1,025,000 | 1,095,366 | ||
$6,209,144 |
7
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Energy - Integrated – 0.8% | ||||
Eni S.p.A., 4%, 9/12/2023 (n) | $ | 329,000 | $355,890 | |
Eni S.p.A., 1.25%, 5/18/2026 | EUR | 248,000 | 307,081 | |
Eni S.p.A., 4.25%, 5/09/2029 (n) | $ | 379,000 | 423,782 | |
Galp Energia SGPS S.A., 2%, 1/15/2026 | EUR | 300,000 | 356,834 | |
OMV AG, 0.75%, 6/16/2030 | 223,000 | 264,842 | ||
Repsol International Finance B.V., 3.75% to 6/11/2026, FLR (EUR Swap Rate - 5yr. + 4%) to 6/11/2031, FLR (EUR Swap Rate - 5yr. + 4.25%) to 6/11/2046, FLR (EUR Swap Rate - 5yr. + 5.25%) to 6/11/2056 | 287,000 | 338,528 | ||
Shell International Finance B.V., 3.75%, 9/12/2046 | $ | 735,000 | 894,689 | |
$2,941,646 | ||||
Entertainment – 1.0% | ||||
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp./Millennium Operations LLC, 5.375%, 4/15/2027 | $ | 230,000 | $221,950 | |
Live Nation Entertainment, Inc., 5.625%, 3/15/2026 (n) | 1,205,000 | 1,144,991 | ||
NCL Corp. Ltd., 3.625%, 12/15/2024 (n) | 300,000 | 198,000 | ||
NCL Corp. Ltd., 10.25%, 2/01/2026 (n) | 343,000 | 338,712 | ||
Royal Caribbean Cruises Ltd., 10.875%, 6/01/2023 (n) | 230,000 | 242,445 | ||
Royal Caribbean Cruises Ltd., 3.7%, 3/15/2028 | 755,000 | 528,500 | ||
Six Flags Entertainment Corp., 4.875%, 7/31/2024 (n) | 760,000 | 721,772 | ||
Six Flags Entertainment Corp., 7%, 7/01/2025 (n) | 460,000 | 493,723 | ||
$3,890,093 | ||||
Financial Institutions – 3.3% | ||||
AerCap Ireland Capital DAC, 3.65%, 7/21/2027 | $ | 1,230,000 | $1,118,278 | |
AnaCap Financial Europe S.A. SICAV-RAIF, 5%, 8/01/2024 | EUR | 650,000 | 620,191 | |
Avation Capital S.A., 6.5%, 5/15/2021 (n) | $ | 400,000 | 295,000 | |
Avolon Holdings Funding Ltd., 5.125%, 10/01/2023 | 1,125,000 | 1,070,316 | ||
Avolon Holdings Funding Ltd., 5.25%, 5/15/2024 (n) | 640,000 | 597,339 | ||
Avolon Holdings Funding Ltd., 3.95%, 7/01/2024 (n) | 454,000 | 413,187 | ||
Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 363,000 | 321,150 | ||
Credit Acceptance Corp., 5.125%, 12/31/2024 (n) | 805,000 | 819,490 | ||
EXOR N.V., 2.25%, 4/29/2030 | EUR | 625,000 | 758,074 | |
GE Capital International Funding Co., 3.373%, 11/15/2025 | $ | 1,086,000 | 1,147,375 | |
Global Aircraft Leasing Co. Ltd., 6.5%, (6.5% cash or 7.25% PIK) 9/15/2024 (n)(p) | 1,657,000 | 1,031,482 | ||
Nationstar Mortgage Holdings, Inc., 8.125%, 7/15/2023 (n) | 775,000 | 805,837 | ||
Nationstar Mortgage Holdings, Inc., 6%, 1/15/2027 (n) | 460,000 | 469,200 | ||
Navient Corp., 5.5%, 1/25/2023 | 480,000 | 492,000 | ||
Navient Corp., 5%, 3/15/2027 | 460,000 | 440,450 | ||
OneMain Financial Corp., 6.875%, 3/15/2025 | 510,000 | 569,925 | ||
OneMain Financial Corp., 7.125%, 3/15/2026 | 395,000 | 463,070 | ||
Park Aerospace Holdings Ltd., 5.5%, 2/15/2024 (n) | 870,000 | 826,577 | ||
Springleaf Finance Corp., 8.875%, 6/01/2025 | 359,000 | 404,773 | ||
Springleaf Finance Corp., 5.375%, 11/15/2029 | 185,000 | 195,194 | ||
$12,858,908 | ||||
Food & Beverages – 3.1% | ||||
Anheuser-Busch InBev S.A., 1.65%, 3/28/2031 | EUR | 330,000 | $419,005 | |
Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038 | $ | 209,000 | 251,399 | |
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | 331,000 | 465,262 | ||
Aramark Services, Inc., 6.375%, 5/01/2025 (n) | 345,000 | 363,975 | ||
Bacardi Ltd., 5.15%, 5/15/2038 (n) | 425,000 | 526,916 | ||
Constellation Brands, Inc., 4.25%, 5/01/2023 | 894,000 | 983,542 | ||
Constellation Brands, Inc., 4.75%, 12/01/2025 | 313,000 | 369,982 | ||
Constellation Brands, Inc., 3.15%, 8/01/2029 | 638,000 | 706,289 | ||
Cott Holdings, Inc., 5.5%, 4/01/2025 (n) | 780,000 | 810,225 | ||
Diageo Finance PLC, 1.875%, 3/27/2027 | EUR | 250,000 | 328,425 | |
Heineken N.V., 1.25%, 5/07/2033 | 538,000 | 654,466 | ||
JBS USA LLC/JBS USA Finance, Inc., 6.75%, 2/15/2028 (n) | $ | 1,260,000 | 1,408,050 | |
JBS USA Lux S.A./JBS USA Finance, Inc., 5.875%, 7/15/2024 (n) | 208,000 | 211,900 | ||
JBS USA Lux S.A./JBS USA Finance, Inc., 5.5%, 1/15/2030 (n) | 455,000 | 501,638 |
8
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Food & Beverages – continued | ||||
Lamb Weston Holdings, Inc., 4.625%, 11/01/2024 (n) | $ | 1,215,000 | $1,272,712 | |
Lamb Weston Holdings, Inc., 4.875%, 5/15/2028 (n) | 121,000 | 135,974 | ||
Performance Food Group Co., 5.5%, 10/15/2027 (n) | 675,000 | 696,937 | ||
Pilgrim's Pride Corp., 5.875%, 9/30/2027 (n) | 565,000 | 597,487 | ||
Post Holdings, Inc., 5.625%, 1/15/2028 (n) | 590,000 | 644,752 | ||
U.S. Foods Holding Corp., 5.875%, 6/15/2024 (n) | 320,000 | 319,402 | ||
U.S. Foods Holding Corp., 6.25%, 4/15/2025 (n) | 305,000 | 327,113 | ||
$11,995,451 | ||||
Forest & Paper Products – 0.3% | ||||
Mondi Finance Europe GmbH, 2.375%, 4/01/2028 | EUR | 300,000 | $389,507 | |
Suzano Austria GmbH, 6%, 1/15/2029 | $ | 860,000 | 956,750 | |
$1,346,257 | ||||
Gaming & Lodging – 3.0% | ||||
Boyd Gaming Corp., 4.75%, 12/01/2027 (n) | $ | 340,000 | $326,825 | |
Caesars Resort Collection LLC / CRC Finco, Inc., 5.25%, 10/15/2025 (n) | 565,000 | 509,415 | ||
CCM Merger, Inc., 6%, 3/15/2022 (n) | 790,000 | 774,200 | ||
Colt Merger Sub, Inc., 5.75%, 7/01/2025 (n) | 292,000 | 303,680 | ||
Colt Merger Sub, Inc., 8.125%, 7/01/2027 (n) | 610,000 | 621,438 | ||
Hilton Domestic Operating Co., Inc., 5.125%, 5/01/2026 | 660,000 | 683,100 | ||
Hilton Worldwide Finance LLC, 4.625%, 4/01/2025 | 1,075,000 | 1,092,469 | ||
Marriott International, Inc., 5.75%, 5/01/2025 | 239,000 | 265,487 | ||
Marriott International, Inc., 4.625%, 6/15/2030 | 200,000 | 214,354 | ||
MGM Growth Properties LLC, 4.625%, 6/15/2025 (n) | 675,000 | 709,587 | ||
MGM Growth Properties LLC, 5.75%, 2/01/2027 | 80,000 | 86,600 | ||
MGM Resorts International, 6.75%, 5/01/2025 | 340,000 | 353,600 | ||
Scientific Games Corp., 8.25%, 3/15/2026 (n) | 245,000 | 245,390 | ||
Scientific Games International, Inc., 7%, 5/15/2028 (n) | 245,000 | 225,400 | ||
VICI Properties LP, REIT, 4.25%, 12/01/2026 (n) | 585,000 | 602,550 | ||
VICI Properties LP, REIT, 3.75%, 2/15/2027 (n) | 860,000 | 866,450 | ||
VICI Properties, Inc., 4.125%, 8/15/2030 (n) | 743,000 | 751,916 | ||
Wyndham Hotels Group LLC, 5.375%, 4/15/2026 (n) | 1,225,000 | 1,249,500 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.5%, 3/01/2025 (n) | 915,000 | 860,100 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 5/15/2027 (n) | 335,000 | 298,334 | ||
Wynn Macau Ltd., 5.5%, 1/15/2026 (n) | 395,000 | 395,988 | ||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029 (n) | 320,000 | 306,400 | ||
$11,742,783 | ||||
Industrial – 0.6% | ||||
CPI Property Group S.A., 2.75%, 5/12/2026 | EUR | 280,000 | $338,644 | |
CPI Property Group S.A., 2.75%, 1/22/2028 | GBP | 300,000 | 378,775 | |
Grainger PLC, 3%, 7/03/2030 | 182,000 | 247,030 | ||
Investor AB, 1.5%, 6/20/2039 | EUR | 180,000 | 234,247 | |
Trustees of the University of Pennsylvania, 2.396%, 10/01/2050 | $ | 966,000 | 1,026,542 | |
$2,225,238 | ||||
Insurance – 0.8% | ||||
Argentum Zurich Insurance, 3.5%, 10/01/2046 | EUR | 375,000 | $502,022 | |
Aviva PLC, 3.875% to 7/03/2024, FLR (EUR Swap Rate - 5yr. + 3.48%) to 7/03/2044 | 350,000 | 445,015 | ||
Aviva PLC, 4% to 6/03/2035, FLR (GBP Government Yield - 5yr. + 4.7%) to 6/03/2055 | GBP | 117,000 | 160,062 | |
Bupa Finance PLC, 4.125%, 6/14/2035 | 242,000 | 335,969 | ||
CNP Assurances S.A., 2% to 7/27/2030, FLR (EURIBOR - 3mo. + 3%) to 7/27/2050 | EUR | 300,000 | 350,571 | |
Credit Agricole Assurances S.A., 2%, 7/17/2030 | 200,000 | 238,925 | ||
La Mondiale, 4.375% to 10/24/2029, FLR (EUR Swap Rate - 5yr. + 4.411%) to 12/24/2060 | 300,000 | 349,851 | ||
Zurich Finance (Ireland) DAC, 1.875% to 9/17/2030, FLR (EURIBOR - 3mo. + 2.95%) to 9/17/2050 | 560,000 | 678,558 | ||
$3,060,973 |
9
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Insurance - Health – 0.7% | ||||
Centene Corp., 5.375%, 6/01/2026 (n) | $ | 700,000 | $748,587 | |
Centene Corp., 4.25%, 12/15/2027 | 475,000 | 504,687 | ||
UnitedHealth Group, Inc., 4.625%, 7/15/2035 | 1,009,000 | 1,366,418 | ||
$2,619,692 | ||||
Insurance - Property & Casualty – 1.9% | ||||
Acrisure LLC/Acrisure Finance, Inc., 7%, 11/15/2025 (n) | $ | 395,000 | $398,993 | |
Alliant Holdings Intermediate LLC, 6.75%, 10/15/2027 (n) | 685,000 | 727,812 | ||
AmWINS Group, Inc., 7.75%, 7/01/2026 (n) | 250,000 | 275,313 | ||
AssuredPartners, Inc., 7%, 8/15/2025 (n) | 225,000 | 228,375 | ||
Fairfax Financial Holdings Ltd., 4.625%, 4/29/2030 (n) | 1,080,000 | 1,204,490 | ||
GTCR (AP) Finance, Inc., 8%, 5/15/2027 (n) | 155,000 | 163,525 | ||
Hartford Financial Services Group, Inc., 3.6%, 8/19/2049 | 526,000 | 611,565 | ||
Hub International Ltd., 7%, 5/01/2026 (n) | 1,130,000 | 1,201,190 | ||
Marsh & McLennan Cos., Inc., 3.5%, 6/03/2024 | 315,000 | 345,667 | ||
Progressive Corp., 4.125%, 4/15/2047 | 602,000 | 826,510 | ||
QBE Capital Funding III Ltd., 7.5% to 5/24/2021, FLR (GBP Swap Rate - 10yr. + 4.003%) to 5/24/2041 | GBP | 300,000 | 405,810 | |
Willis North America, Inc., 3.875%, 9/15/2049 | $ | 700,000 | 856,734 | |
$7,245,984 | ||||
International Market Quasi-Sovereign – 0.7% | ||||
Aeroports de Paris , 1%, 1/05/2029 | EUR | 200,000 | $236,959 | |
Deutsche Bahn Finance GmbH (Federal Republic of Germany), 0.875%, 6/23/2039 | 212,000 | 251,651 | ||
Deutsche Bahn Finance GmbH (Federal Republic of Germany), 1.375%, 4/16/2040 | 117,000 | 151,142 | ||
Electricite de France S.A., 2%, 10/02/2030 | 300,000 | 397,465 | ||
Electricite de France S.A., 5.875% to 1/22/2029, FLR (GBP Swap Rate - 15yr. + 3.046%) to 1/22/2049, FLR (GBP Swap Rate - 15yr. + 3.796%) to 7/22/2049 | GBP | 200,000 | 278,163 | |
Islandsbanki (Republic of Iceland), 1.125%, 1/19/2024 | EUR | 520,000 | 608,332 | |
La Banque Postale (Republic of France), 0.5% to 6/17/2025, FLR (EURIBOR - 3mo. + 0.88%) to 6/17/2026 | 400,000 | 469,046 | ||
Ontario Teachers' Finance Trust, 0.5%, 5/06/2025 | 380,000 | 458,470 | ||
$2,851,228 | ||||
International Market Sovereign – 0.1% | ||||
Government of Japan, 2.4%, 3/20/2037 | JPY | 24,900,000 | $315,045 | |
Republic of Iceland, 0.625%, 6/03/2026 | EUR | 200,000 | 240,152 | |
$555,197 | ||||
Local Authorities – 0.3% | ||||
Province of Alberta, 0.5%, 4/16/2025 | EUR | 250,000 | $303,146 | |
Province of Alberta, 4.5%, 12/01/2040 | CAD | 410,000 | 429,572 | |
Province of British Columbia, 2.3%, 6/18/2026 | 595,000 | 482,010 | ||
$1,214,728 | ||||
Machinery & Tools – 0.4% | ||||
Clark Equipment Co., 5.875%, 6/01/2025 (n) | $ | 578,000 | $607,622 | |
Sarens Finance Co. N.V., 5.75%, 2/21/2027 | EUR | 821,000 | 775,837 | |
$1,383,459 | ||||
Major Banks – 5.0% | ||||
Bank of America Corp., 3.5%, 4/19/2026 | $ | 1,437,000 | $1,629,886 | |
Bankinter S.A., 0.875%, 7/08/2026 | EUR | 400,000 | 465,385 | |
Barclays PLC, 7.875%, 12/29/2049 | $ | 900,000 | 922,896 | |
CaixaBank S.A., 2.75% to 7/14/2023, FLR (EUR Swap Rate - 5yr. + 2.35%) to 7/14/2028 | EUR | 600,000 | 724,195 | |
Credit Agricole S.A., 1% to 4/22/2025, FLR (EURIBOR - 3mo. + 1.25%) to 4/22/2026 | 300,000 | 361,305 | ||
Credit Agricole S.A., 1.625% to 6/05/2025, FLR (EUR Swap Rate - 5yr. + 1.9%) to 6/05/2030 | 300,000 | 359,921 | ||
Credit Suisse Group AG, 1.25%, 7/17/2025 | 375,000 | 452,775 | ||
Credit Suisse Group AG, 2.25% to 6/09/2027, FLR (GBP Government Yield - 1yr. + 2.23%) to 6/09/2028 | GBP | 269,000 | 360,935 | |
Credit Suisse Group AG, 7.25%, 12/29/2049 (n) | $ | 700,000 | 744,625 | |
Erste Group Bank AG, 0.875%, 5/13/2027 | EUR | 300,000 | 366,204 |
10
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
Erste Group Bank AG, 1% to 6/10/2025, FLR (EUR ICE Swap Rate - 5yr. + 1.3%) to 6/10/2030 | EUR | 500,000 | $564,788 | |
Erste Group Bank AG, 3.375% to 4/15/2027, FLR (EUR Swap Rate - 5yr. + 3.433%) to 10/15/2068 | 600,000 | 581,432 | ||
HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR + 1.929%) to 6/04/2026 | $ | 645,000 | 660,223 | |
HSBC Holdings PLC, 4.375%, 11/23/2026 | 399,000 | 450,255 | ||
JPMorgan Chase & Co., 2.95%, 10/01/2026 | 1,137,000 | 1,263,691 | ||
JPMorgan Chase & Co., 4.26%, 2/22/2048 | 300,000 | 403,256 | ||
Mitsubishi UFJ Financial Group, Inc., 1.412%, 7/17/2025 | 926,000 | 944,416 | ||
Morgan Stanley, 3.125%, 7/27/2026 | 982,000 | 1,102,705 | ||
Nationwide Building Society, 1.5%, 3/08/2026 | EUR | 600,000 | 741,374 | |
NatWest Markets PLC, 2.75%, 4/02/2025 | 350,000 | 447,220 | ||
Royal Bank of Canada, 2.55%, 7/16/2024 | $ | 1,761,000 | 1,887,838 | |
Royal Bank of Scotland Group PLC, 3.622% to 8/14/2025, FLR (GBP Government Yield - 5yr. + 3.55%) to 8/14/2030 | GBP | 152,000 | 209,087 | |
Sumitomo Mitsui Financial Group, Inc., 3.544%, 1/17/2028 | $ | 1,027,000 | 1,163,801 | |
Svenska Handelsbanken AB, 0.5%, 2/18/2030 | EUR | 500,000 | 587,541 | |
UBS Group AG, 6.875% to 8/07/2025, FLR (Swap Rate - 5yr. + 4.59%) to 12/29/2049 | $ | 785,000 | 843,881 | |
UniCredit S.p.A., 1.25% to 6/16/2025, FLR (EURIBOR - 3mo. + 1.6%) to 6/16/2026 | EUR | 400,000 | 473,090 | |
UniCredit S.p.A., 2.2% to 7/22/2026, FLR (EURIBOR - 3mo. + 2.55%) to 7/22/2027 | 610,000 | 722,355 | ||
$19,435,080 | ||||
Medical & Health Technology & Services – 5.4% | ||||
Alcon, Inc., 3.8%, 9/23/2049 (n) | $ | 200,000 | $243,623 | |
Avantor Funding, Inc., 4.625%, 7/15/2028 (n) | 867,000 | 915,986 | ||
BCPE Cycle Merger Sub II, Inc., 10.625%, 7/15/2027 (n) | 420,000 | 447,300 | ||
Change Healthcare Holdings, Inc./Change Healthcare Finance, Inc., 5.75%, 3/01/2025 (n) | 235,000 | 240,288 | ||
CHS/Community Health Systems, Inc., 6.625%, 2/15/2025 (n) | 1,070,000 | 1,081,021 | ||
CHS/Community Health Systems, Inc., 8%, 12/15/2027 (n) | 120,000 | 120,600 | ||
Cigna Corp., 4.125%, 11/15/2025 | 522,000 | 604,858 | ||
DaVita, Inc., 5%, 5/01/2025 | 830,000 | 852,825 | ||
DaVita, Inc., 4.625%, 6/01/2030 (n) | 466,000 | 496,290 | ||
Encompass Health Corp., 5.75%, 9/15/2025 | 445,000 | 460,557 | ||
HCA, Inc., 5.375%, 2/01/2025 | 1,810,000 | 2,040,775 | ||
HCA, Inc., 5.875%, 2/15/2026 | 1,110,000 | 1,299,033 | ||
HCA, Inc., 5.25%, 6/15/2026 | 471,000 | 553,373 | ||
HCA, Inc., 5.625%, 9/01/2028 | 160,000 | 190,800 | ||
HCA, Inc., 3.5%, 9/01/2030 | 845,000 | 888,107 | ||
HCA, Inc., 5.125%, 6/15/2039 | 287,000 | 364,664 | ||
HealthSouth Corp., 5.125%, 3/15/2023 | 820,000 | 824,272 | ||
HealthSouth Corp., 5.75%, 11/01/2024 | 143,000 | 144,430 | ||
Heartland Dental LLC, 8.5%, 5/01/2026 (n) | 460,000 | 424,350 | ||
IQVIA Holdings, Inc., 5%, 10/15/2026 (n) | 835,000 | 880,908 | ||
IQVIA Holdings, Inc., 5%, 5/15/2027 (n) | 1,365,000 | 1,456,711 | ||
Laboratory Corp. of America Holdings, 4.7%, 2/01/2045 | 614,000 | 814,369 | ||
LifePoint Health, Inc., 4.375%, 2/15/2027 (n) | 240,000 | 245,258 | ||
Memorial Sloan-Kettering Cancer Center, 2.955%, 1/01/2050 | 406,000 | 458,644 | ||
MPH Acquisition Holdings LLC, 7.125%, 6/01/2024 (n) | 660,000 | 677,325 | ||
ProMedica Toledo Hospital, ”B“, 6.015%, 11/15/2048 | 400,000 | 560,141 | ||
Radiology Partners, Inc., 9.25%, 2/01/2028 (n) | 425,000 | 426,063 | ||
Regional Care/LifePoint Health, Inc., 9.75%, 12/01/2026 (n) | 920,000 | 1,021,384 | ||
Team Health Holdings, Inc., 6.375%, 2/01/2025 (n) | 200,000 | 116,000 | ||
Tenet Healthcare Corp., 4.875%, 1/01/2026 (n) | 875,000 | 915,215 | ||
Tenet Healthcare Corp., 5.125%, 11/01/2027 (n) | 525,000 | 557,156 | ||
West Street Merger Sub, Inc., 6.375%, 9/01/2025 (n) | 485,000 | 492,275 | ||
$20,814,601 | ||||
Medical Equipment – 1.0% | ||||
Abbott Ireland Financing DAC, 1.5%, 9/27/2026 | EUR | 350,000 | $444,513 | |
Boston Scientific Corp., 0.625%, 12/01/2027 | 200,000 | 233,494 | ||
DH Europe Finance II S.à r.l., 0.45%, 3/18/2028 | 100,000 | 117,176 | ||
Hill-Rom Holdings, Inc., 4.375%, 9/15/2027 (n) | $ | 910,000 | 958,530 |
11
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Medical Equipment – continued | ||||
Hologic, Inc., 4.375%, 10/15/2025 (n) | $ | 285,000 | $292,125 | |
Teleflex, Inc., 4.875%, 6/01/2026 | 420,000 | 441,000 | ||
Teleflex, Inc., 4.625%, 11/15/2027 | 1,115,000 | 1,205,616 | ||
$3,692,454 | ||||
Metals & Mining – 2.9% | ||||
Anglo American Capital PLC, 5.625%, 4/01/2030 (n) | $ | 371,000 | $465,015 | |
Arconic Corp., 6%, 5/15/2025 (n) | 405,000 | 436,639 | ||
Baffinland Iron Mines Corp./Baffinland Iron Mines LP, 8.75%, 7/15/2026 (n) | 550,000 | 570,829 | ||
Cleveland-Cliffs, Inc., 6.75%, 3/15/2026 (n) | 515,000 | 517,575 | ||
Cleveland-Cliffs, Inc., 5.875%, 6/01/2027 | 480,000 | 412,800 | ||
Compass Minerals International, Inc., 6.75%, 12/01/2027 (n) | 675,000 | 732,375 | ||
Constellium N.V., 5.875%, 2/15/2026 (n) | 275,000 | 283,250 | ||
Constellium SE, 5.625%, 6/15/2028 (n) | 250,000 | 262,250 | ||
First Quantum Minerals Ltd., 7.25%, 4/01/2023 (n) | 200,000 | 200,890 | ||
First Quantum Minerals Ltd., 6.875%, 3/01/2026 (n) | 200,000 | 200,540 | ||
Freeport-McMoRan Copper & Gold, Inc., 5.4%, 11/14/2034 | 550,000 | 617,375 | ||
Freeport-McMoRan, Inc., 5%, 9/01/2027 | 670,000 | 713,409 | ||
Freeport-McMoRan, Inc., 4.375%, 8/01/2028 | 465,000 | 493,040 | ||
Freeport-McMoRan, Inc., 5.25%, 9/01/2029 | 670,000 | 731,975 | ||
Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.375%, 12/15/2023 (n) | 630,000 | 640,238 | ||
Kaiser Aluminum Corp., 4.625%, 3/01/2028 (n) | 1,317,000 | 1,311,073 | ||
Newcrest Finance Pty Ltd., 3.25%, 5/13/2030 (n) | 401,000 | 444,384 | ||
Novelis Corp., 5.875%, 9/30/2026 (n) | 1,130,000 | 1,205,608 | ||
Petra Diamonds US$ Treasury PLC, 7.25%, 5/01/2022 (a)(d)(n) | 263,000 | 96,468 | ||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.5%, 6/15/2025 (n) | 305,000 | 280,600 | ||
TMS International Corp., 7.25%, 8/15/2025 (n) | 790,000 | 655,700 | ||
$11,272,033 | ||||
Midstream – 3.7% | ||||
AI Candelaria Spain SLU, 7.5%, 12/15/2028 (n) | $ | 1,248,000 | $1,329,120 | |
Cheniere Energy Partners LP, 5.25%, 10/01/2025 | 1,690,000 | 1,732,250 | ||
Cheniere Energy Partners LP, 4.5%, 10/01/2029 | 590,000 | 624,102 | ||
Cheniere Energy, Inc., 3.7%, 11/15/2029 (n) | 419,000 | 443,013 | ||
Cosan Ltd., 5.5%, 9/20/2029 (n) | 919,000 | 948,867 | ||
DCP Midstream Operating LP, 5.125%, 5/15/2029 | 365,000 | 367,416 | ||
EnLink Midstream Partners LP, 4.85%, 7/15/2026 | 175,000 | 135,649 | ||
EQM Midstream Partners LP, 6%, 7/01/2025 (n) | 176,000 | 186,676 | ||
EQM Midstream Partners LP, 6.5%, 7/01/2027 (n) | 170,000 | 187,442 | ||
EQM Midstream Partners LP, 5.5%, 7/15/2028 | 1,130,000 | 1,171,584 | ||
Genesis Energy LP/Genesis Energy Finance Corp., 5.625%, 6/15/2024 | 180,000 | 166,275 | ||
Genesis Energy LP/Genesis Energy Finance Corp., 6.25%, 5/15/2026 | 666,500 | 624,844 | ||
GNL Quintero S.A., 4.634%, 7/31/2029 (n) | 530,000 | 571,075 | ||
MPLX LP, 4.5%, 4/15/2038 | 371,000 | 395,795 | ||
Peru LNG, 5.375%, 3/22/2030 | 1,047,000 | 807,499 | ||
Plains All American Pipeline LP/PAA Finance Corp., 3.55%, 12/15/2029 | 436,000 | 430,686 | ||
Sabine Pass Liquefaction LLC, 5%, 3/15/2027 | 500,000 | 572,052 | ||
Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 | 400,000 | 440,276 | ||
Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 (n) | 123,000 | 141,890 | ||
Targa Resources Partners LP/Targa Resources Finance Corp., 5.25%, 5/01/2023 | 690,000 | 694,623 | ||
Targa Resources Partners LP/Targa Resources Finance Corp., 5.375%, 2/01/2027 | 865,000 | 893,692 | ||
Targa Resources Partners LP/Targa Resources Finance Corp., 6.875%, 1/15/2029 | 430,000 | 485,092 | ||
Western Midstream Operating LP, 5.05%, 2/01/2030 | 990,000 | 1,002,504 | ||
$14,352,422 | ||||
Mortgage-Backed – 0.5% | ||||
Fannie Mae, TBA, 3%, 8/01/2035 | $ | 1,850,000 | $1,941,561 |
12
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Municipals – 0.5% | ||||
Commonwealth of Puerto Rico, Public Improvement, ”C-7“, 6%, 7/01/2027 | $ | 50,000 | $51,205 | |
Michigan Finance Authority Hospital Rev. (Trinity Health Credit Group), 3.384%, 12/01/2040 | 605,000 | 686,923 | ||
New Jersey Economic Development Authority State Pension Funding Rev., ”A“, 7.425%, 2/15/2029 | 526,000 | 654,707 | ||
Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), ”C“, 5.45%, 8/15/2028 | 209,000 | 246,127 | ||
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority Rev. (Cogeneration Facilities - AES Puerto Rico Project), 9.12%, 6/01/2022 | 285,000 | 292,125 | ||
$1,931,087 | ||||
Natural Gas - Distribution – 0.5% | ||||
ENGIE S.A., 0.5%, 10/24/2030 | EUR | 400,000 | $471,637 | |
Naturgy Finance B.V., 1.25%, 1/15/2026 | 500,000 | 619,599 | ||
NiSource, Inc., 2.95%, 9/01/2029 | $ | 826,000 | 921,809 | |
$2,013,045 | ||||
Natural Gas - Pipeline – 0.2% | ||||
APT Pipelines Ltd., 5%, 3/23/2035 (n) | $ | 542,000 | $672,502 | |
Network & Telecom – 0.3% | ||||
C&W Senior Financing DAC, 6.875%, 9/15/2027 (n) | $ | 450,000 | $480,510 | |
Front Range BidCo, Inc., 6.125%, 3/01/2028 (n) | 370,000 | 382,025 | ||
Verizon Communications, Inc., 0.875%, 3/19/2032 | EUR | 360,000 | 429,609 | |
$1,292,144 | ||||
Oil Services – 0.3% | ||||
ChampionX Corp., 6.375%, 5/01/2026 | $ | 495,000 | $464,062 | |
Diamond Offshore Drill Co., 5.7%, 10/15/2039 (a)(d) | 560,000 | 60,990 | ||
Ensign Drilling, Inc., 9.25%, 4/15/2024 (n) | 425,000 | 170,000 | ||
Halliburton Co., 5%, 11/15/2045 | 420,000 | 448,701 | ||
$1,143,753 | ||||
Oils – 1.1% | ||||
Neste Oyj, 1.5%, 6/07/2024 | EUR | 500,000 | $604,477 | |
Parkland Fuel Corp., 6%, 4/01/2026 (n) | $ | 1,185,000 | 1,256,337 | |
PBF Holding Co. LLC/PBF Finance Corp., 7.25%, 6/15/2025 | 580,000 | 524,900 | ||
PBF Holding Co. LLC/PBF Finance Corp., 6%, 2/15/2028 (n) | 415,000 | 332,706 | ||
Puma International Financing S.A., 5%, 1/24/2026 | 900,000 | 794,309 | ||
Thaioil Treasury Center Co. Ltd., 5.375%, 11/20/2048 (n) | 359,000 | 460,187 | ||
Valero Energy Corp., 2.85%, 4/15/2025 | 341,000 | 362,599 | ||
$4,335,515 | ||||
Other Banks & Diversified Financials – 2.2% | ||||
Alpha Bank, 4.25%, 2/13/2030 | EUR | 740,000 | $706,946 | |
Banca Monte dei Paschi di Siena S.p.A., 2.625%, 4/28/2025 | 625,000 | 723,070 | ||
Bangkok Bank (Hong Kong), 4.05%, 3/19/2024 (n) | $ | 1,046,000 | 1,137,534 | |
Deutsche Bank AG, 2.625%, 12/16/2024 | GBP | 500,000 | 664,732 | |
Groupe BPCE S.A., 4.5%, 3/15/2025 (n) | $ | 652,000 | 722,210 | |
Groupe BPCE S.A., 1.375%, 12/23/2026 | GBP | 300,000 | 400,303 | |
ING Groep N.V., 2.125% to 5/26/2026, FLR (EUR Swap Rate - 5yr. + 2.4%) to 5/26/2031 | EUR | 300,000 | 366,630 | |
Intesa Sanpaolo S.p.A., 2.125%, 5/26/2025 | 490,000 | 607,147 | ||
Intesa Sanpaolo S.p.A., 2.5%, 1/15/2030 | GBP | 350,000 | 454,473 | |
JSC Kazkommertsbank, 5.5%, 12/21/2022 | $ | 910,653 | 906,527 | |
KBC Group N.V., 0.375% to 6/16/2026, FLR (EURIBOR - 3mo. + 0.72%) to 6/16/2027 | EUR | 200,000 | 237,906 | |
Macquarie Group Ltd., 1.25% to 3/5/2024, FLR (EURIBOR - 3mo. + 0.839%) to 3/05/2025 | 300,000 | 359,445 | ||
UBS AG, 5.125%, 5/15/2024 | $ | 981,000 | 1,068,064 | |
$8,354,987 | ||||
Personal Computers & Peripherals – 0.1% | ||||
NCR Corp., 5.75%, 9/01/2027 (n) | $ | 230,000 | $237,475 |
13
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Pharmaceuticals – 1.2% | ||||
Bausch Health Companies, Inc., 5.5%, 3/01/2023 (n) | $ | 275,000 | $275,000 | |
Bausch Health Companies, Inc., 6.125%, 4/15/2025 (n) | 2,025,000 | 2,090,813 | ||
Bausch Health Companies, Inc., 5%, 1/30/2028 (n) | 290,000 | 291,444 | ||
Bayer AG, 1.375%, 7/06/2032 | EUR | 300,000 | 356,897 | |
Jaguar Holding Co. II / Pharmaceutical Development LLC, 5%, 6/15/2028 (n) | $ | 179,000 | 190,581 | |
Par Pharmaceutical, Inc., 7.5%, 4/01/2027 (n) | 405,000 | 430,770 | ||
Takeda Pharmaceutical Co. Ltd., 1.375%, 7/09/2032 | EUR | 423,000 | 515,654 | |
Upjohn Finance B.V., 1.362%, 6/23/2027 | 263,000 | 319,185 | ||
$4,470,344 | ||||
Pollution Control – 0.3% | ||||
Covanta Holding Corp., 5.875%, 3/01/2024 | $ | 595,000 | $610,149 | |
GFL Environmental, Inc., 7%, 6/01/2026 (n) | 385,000 | 408,100 | ||
GFL Environmental, Inc., 8.5%, 5/01/2027 (n) | 246,000 | 275,594 | ||
$1,293,843 | ||||
Printing & Publishing – 0.4% | ||||
Cimpress N.V., 7%, 6/15/2026 (n) | $ | 770,000 | $780,010 | |
Meredith Corp., 6.875%, 2/01/2026 | 645,000 | 560,312 | ||
Wolters Kluwer N.V., 0.75%, 7/03/2030 | EUR | 295,000 | 351,297 | |
$1,691,619 | ||||
Railroad & Shipping – 0.4% | ||||
Lima Metro Line 2 Finance Ltd., 5.875%, 7/05/2034 | $ | 537,534 | $656,598 | |
Lima Metro Line 2 Finance Ltd., 4.35%, 4/05/2036 (n) | 314,000 | 346,656 | ||
Watco Cos. LLC/Watco Finance Corp., 6.5%, 6/15/2027 (n) | 590,000 | 629,825 | ||
$1,633,079 | ||||
Real Estate - Apartment – 0.1% | ||||
Camden Property Trust, 2.8%, 5/15/2030 | $ | 174,000 | $193,423 | |
Real Estate - Healthcare – 0.3% | ||||
MPT Operating Partnership LP/MPT Financial Co., REIT, 5.25%, 8/01/2026 | $ | 780,000 | $819,000 | |
MPT Operating Partnership LP/MPT Financial Co., REIT, 5%, 10/15/2027 | 435,000 | 466,538 | ||
$1,285,538 | ||||
Real Estate - Office – 0.4% | ||||
Alexandria Real Estate Equities, Inc., REIT, 1.875%, 2/01/2033 | $ | 431,000 | $432,659 | |
Boston Properties, Inc., REIT, 3.125%, 9/01/2023 | 332,000 | 353,080 | ||
Merlin Properties SOCIMI S.A., REIT, 1.875%, 11/02/2026 | EUR | 250,000 | 292,752 | |
Merlin Properties SOCIMI S.A., REIT, 2.375%, 7/13/2027 | 200,000 | 237,046 | ||
Merlin Properties SOCIMI S.A., REIT, 1.875%, 12/04/2034 | 300,000 | 324,015 | ||
$1,639,552 | ||||
Real Estate - Other – 0.3% | ||||
Prologis International Funding II S.A., 1.625%, 6/17/2032 | EUR | 125,000 | $156,393 | |
Ryman Hospitality Properties, Inc., REIT, 4.75%, 10/15/2027 (n) | $ | 599,000 | 558,747 | |
SELP Finance S.à r.l., 1.5%, 12/20/2026 | EUR | 460,000 | 547,872 | |
$1,263,012 | ||||
Real Estate - Retail – 0.8% | ||||
Brixmor Operating Partnership LP, REIT, 4.05%, 7/01/2030 | $ | 710,000 | $747,459 | |
Realty Income Corp., REIT, 3.25%, 1/15/2031 | 613,000 | 687,826 | ||
Regency Centers Corp., 3.7%, 6/15/2030 | 901,000 | 997,920 | ||
VEREIT Operating Partnership LP, REIT, 3.4%, 1/15/2028 | 223,000 | 231,421 | ||
VEREIT Operating Partnership LP, REIT, 3.1%, 12/15/2029 | 485,000 | 491,243 | ||
$3,155,869 |
14
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Restaurants – 0.3% | ||||
Golden Nugget, Inc., 6.75%, 10/15/2024 (n) | $ | 895,000 | $619,787 | |
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, 6/01/2026 (n) | 395,000 | 414,632 | ||
$1,034,419 | ||||
Retailers – 0.6% | ||||
DriveTime Automotive Group, Inc., 8%, 6/01/2021 (n) | $ | 770,000 | $747,439 | |
EG Global Finance PLC, 6.75%, 2/07/2025 (n) | 400,000 | 417,920 | ||
L Brands, Inc., 9.375%, 7/01/2025 (n) | 80,000 | 89,200 | ||
L Brands, Inc., 5.25%, 2/01/2028 | 935,000 | 868,391 | ||
Sally Beauty Holdings, Inc., 5.625%, 12/01/2025 | 320,000 | 328,400 | ||
$2,451,350 | ||||
Specialty Chemicals – 0.4% | ||||
Covestro AG, 0.875%, 2/03/2026 | EUR | 91,000 | $109,629 | |
Koppers, Inc., 6%, 2/15/2025 (n) | $ | 595,000 | 612,850 | |
Univar Solutions USA, Inc., 5.125%, 12/01/2027 (n) | 857,000 | 899,850 | ||
$1,622,329 | ||||
Specialty Stores – 0.5% | ||||
Penske Automotive Group Co., 5.375%, 12/01/2024 | $ | 535,000 | $548,375 | |
Penske Automotive Group Co., 5.5%, 5/15/2026 | 520,000 | 543,400 | ||
PetSmart, Inc., 7.125%, 3/15/2023 (n) | 405,000 | 409,050 | ||
PetSmart, Inc., 8.875%, 6/01/2025 (n) | 225,000 | 232,875 | ||
Richemont International Holding S.A., 0.75%, 5/26/2028 | EUR | 218,000 | 266,899 | |
$2,000,599 | ||||
Supermarkets – 1.0% | ||||
Albertsons Cos. LLC/Safeway, Inc., 6.625%, 6/15/2024 | $ | 135,000 | $140,481 | |
Albertsons Cos. LLC/Safeway, Inc., 5.75%, 3/15/2025 | 535,000 | 553,725 | ||
Albertsons Cos. LLC/Safeway, Inc., 4.625%, 1/15/2027 (n) | 1,000,000 | 1,057,500 | ||
Albertsons Cos. LLC/Safeway, Inc., 5.875%, 2/15/2028 (n) | 55,000 | 60,225 | ||
Auchan Holding S.A., 2.875%, 1/29/2026 | EUR | 300,000 | 359,845 | |
Auchan Holding S.A., 3.25%, 7/23/2027 | 300,000 | 359,314 | ||
Eurotorg LLC Via Bonitron DAC, 8.75%, 10/30/2022 | $ | 1,003,000 | 1,010,021 | |
Loblaw Cos. Ltd., 4.86%, 9/12/2023 | CAD | 421,000 | 348,593 | |
$3,889,704 | ||||
Supranational – 0.6% | ||||
Corporacion Andina de Fomento, 1.625%, 6/03/2025 | EUR | 630,000 | $756,581 | |
International Bank for Reconstruction and Development, 4.25%, 6/24/2025 | AUD | 405,000 | 339,445 | |
West African Development Bank, 4.7%, 10/22/2031 | $ | 463,000 | 469,945 | |
West African Development Bank, 4.7%, 10/22/2031 (n) | 806,000 | 818,090 | ||
$2,384,061 | ||||
Telecommunications - Wireless – 4.2% | ||||
Altice France S.A., 7.375%, 5/01/2026 (n) | $ | 1,215,000 | $1,295,980 | |
Altice France S.A., 8.125%, 2/01/2027 (n) | 650,000 | 725,595 | ||
Altice France S.A., 5.5%, 1/15/2028 (n) | 200,000 | 210,250 | ||
Altice France S.A., 6%, 2/15/2028 (n) | 485,000 | 484,413 | ||
American Tower Corp., REIT, 3.5%, 1/31/2023 | 743,000 | 795,774 | ||
American Tower Corp., REIT, 3.8%, 8/15/2029 | 602,000 | 705,340 | ||
Cellnex Telecom S.A., 1.875%, 6/27/2029 | EUR | 300,000 | 355,658 | |
Crown Castle International Corp., 1.35%, 7/15/2025 | $ | 271,000 | 276,692 | |
Crown Castle International Corp., 3.7%, 6/15/2026 | 314,000 | 358,758 | ||
Digicel International Finance Ltd., 8.75%, 5/25/2024 (n) | 400,000 | 402,500 | ||
Millicom International Cellular S.A., 6.625%, 10/15/2026 (n) | 683,000 | 744,470 | ||
Rogers Communications, Inc., 3.7%, 11/15/2049 | 339,000 | 402,260 | ||
SBA Communications Corp., 4.875%, 9/01/2024 | 1,000,000 | 1,027,500 | ||
SBA Communications Corp., 3.875%, 2/15/2027 (n) | 745,000 | 771,075 |
15
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Telecommunications - Wireless – continued | ||||
Sprint Capital Corp., 6.875%, 11/15/2028 | $ | 1,210,000 | $1,569,007 | |
Sprint Corp., 7.125%, 6/15/2024 | 290,000 | 338,300 | ||
Sprint Corp., 7.625%, 3/01/2026 | 1,980,000 | 2,474,960 | ||
Tele2 AB Co., 2.125%, 5/15/2028 | EUR | 525,000 | 680,098 | |
Telefónica Celular del Paraguay S.A., 5.875%, 4/15/2027 (n) | $ | 900,000 | 952,389 | |
T-Mobile USA, Inc., 6.5%, 1/15/2026 | 590,000 | 621,948 | ||
T-Mobile USA, Inc., 5.375%, 4/15/2027 | 1,125,000 | 1,227,656 | ||
$16,420,623 | ||||
Telephone Services – 0.1% | ||||
Iliad S.A., 2.375%, 6/17/2026 | EUR | 300,000 | $355,930 | |
Tobacco – 0.3% | ||||
B.A.T. International Finance PLC, 2.25%, 6/26/2028 | GBP | 249,000 | $328,998 | |
B.A.T. Netherlands Finance B.V., 2.375%, 10/07/2024 | EUR | 343,000 | 433,697 | |
Vector Group Ltd., 6.125%, 2/01/2025 (n) | $ | 170,000 | 168,938 | |
Vector Group Ltd., 10.5%, 11/01/2026 (n) | 350,000 | 358,312 | ||
$1,289,945 | ||||
Transportation - Services – 1.1% | ||||
Abertis Infraestructuras S.A., 3.375%, 11/27/2026 | GBP | 500,000 | $695,627 | |
Deutsche Bank AG, 0.375%, 5/20/2026 | EUR | 426,000 | 507,401 | |
Heathrow Funding Ltd., 1.5%, 2/11/2030 | 300,000 | 357,125 | ||
Rumo Luxembourg S.à r.l., 5.875%, 1/18/2025 | $ | 1,212,000 | 1,272,346 | |
Transurban Finance Co., 1.75%, 3/29/2028 | EUR | 296,000 | 362,112 | |
Vinci S.A., 3.75%, 4/10/2029 (n) | $ | 821,000 | 972,173 | |
$4,166,784 | ||||
U.S. Treasury Obligations – 1.2% | ||||
U.S. Treasury Bonds, 3.5%, 2/15/2039 | $ | 1,000,000 | $1,451,719 | |
U.S. Treasury Bonds, 2.25%, 8/15/2049 | 408,200 | 514,475 | ||
U.S. Treasury Bonds, 2.375%, 11/15/2049 (f) | 2,030,000 | 2,626,947 | ||
$4,593,141 | ||||
Utilities - Electric Power – 5.1% | ||||
Adani Green Energy (UP) Ltd./Prayatna Developers Private Ltd., 6.25%, 12/10/2024 (n) | $ | 1,601,000 | $1,686,653 | |
American Electric Power Co., Inc., 2.3%, 3/01/2030 | 317,000 | 330,951 | ||
AusNet Services Holdings Pty Ltd., 0.625%, 8/25/2030 | EUR | 300,000 | 359,950 | |
Clearway Energy Operating LLC, 5.75%, 10/15/2025 | $ | 1,750,000 | 1,868,125 | |
Clearway Energy Operating LLC, 4.75%, 3/15/2028 (n) | 345,000 | 368,719 | ||
Emera U.S. Finance LP, 2.7%, 6/15/2021 | 142,000 | 144,415 | ||
Emera U.S. Finance LP, 3.55%, 6/15/2026 | 162,000 | 183,409 | ||
Enel Finance International N.V., 3.5%, 4/06/2028 (n) | 392,000 | 435,228 | ||
Enel S.p.A., 8.75% to 9/24/2023, FLR (Swap Rate - 5yr. + 5.88%) to 9/24/2043, FLR (Swap Rate - 5yr. + 6.63%) to 9/24/2073 (n) | 500,000 | 580,000 | ||
Enel S.p.A., 6.625% to 9/15/2021, FLR (GBP Swap Rate - 5yr. + 4.089%) to 9/15/2026, FLR (GBP Swap Rate - 5yr. + 4.339%) to 9/15/2041, FLR (GBP Swap Rate - 5yr. + 5.089%) to 9/15/2076 | GBP | 230,000 | 314,922 | |
ENGIE Energía Chile S.A., 4.5%, 1/29/2025 (n) | $ | 1,023,000 | 1,123,367 | |
Evergy, Inc., 2.9%, 9/15/2029 | 918,000 | 1,015,535 | ||
FirstEnergy Corp., 2.65%, 3/01/2030 | 496,000 | 506,940 | ||
Georgia Power Co., 3.7%, 1/30/2050 | 446,000 | 535,359 | ||
Listrindo Capital B.V., 4.95%, 9/14/2026 | 910,000 | 939,575 | ||
Mong Duong Finance Holdings B.V., 5.125%, 5/07/2029 | 594,000 | 595,860 | ||
National Grid PLC, 1.125%, 7/07/2028 | GBP | 419,000 | 558,122 | |
NextEra Energy Operating Co., 4.25%, 9/15/2024 (n) | $ | 1,315,000 | 1,400,475 | |
NextEra Energy Operating Co., 4.5%, 9/15/2027 (n) | 780,000 | 848,250 | ||
NextEra Energy, Inc., 4.25%, 7/15/2024 (n) | 478,000 | 509,070 | ||
PG&E Corp., 5%, 7/01/2028 | 730,000 | 751,134 | ||
Star Energy Geothermal (Wayang Windu) Ltd., 6.75%, 4/24/2033 | 779,113 | 835,966 |
16
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Utilities - Electric Power – continued | ||||
TerraForm Global Operating LLC, 6.125%, 3/01/2026 (n) | $ | 280,000 | $282,800 | |
TerraForm Power Operating Co., 5%, 1/31/2028 (n) | 985,000 | 1,085,962 | ||
Transelec S.A., 4.25%, 1/14/2025 (n) | 1,135,000 | 1,220,125 | ||
Virginia Electric & Power Co., 3.5%, 3/15/2027 | 839,000 | 966,618 | ||
Virginia Electric & Power Co., 2.875%, 7/15/2029 | 348,000 | 394,530 | ||
$19,842,060 | ||||
Utilities - Water – 0.0% | ||||
Severn Trent Utilities Finance PLC, 2%, 6/02/2040 | GBP | 102,000 | $143,741 | |
Total Bonds | $471,183,246 | |||
Common Stocks – 1.4% | ||||
Construction – 0.0% | ||||
ICA Tenedora, S.A. de C.V. (a) | 127,848 | $240,773 | ||
Energy - Independent – 0.0% | ||||
Frontera Energy Corp. | 20,290 | $42,597 | ||
Oil Services – 0.1% | ||||
LTRI Holdings LP (a)(u) | 520 | $275,288 | ||
Special Products & Services – 1.3% | ||||
iShares iBoxx $ High Yield Corporate Bond ETF | 58,000 | $4,952,620 | ||
Total Common Stocks | $5,511,278 | |||
Floating Rate Loans (r) – 0.6% | ||||
Broadcasting – 0.1% | ||||
Nexstar Broadcasting, Inc., Term Loan B4, 2.921%, 9/18/2026 | $ | 146,015 | $141,908 | |
WMG Acquisition Corp., Term Loan F, 2.286%, 11/01/2023 | 289,000 | 283,076 | ||
$424,984 | ||||
Cable TV – 0.0% | ||||
CSC Holdings LLC, Term Loan B5, 2.674%, 4/15/2027 | $ | 151,240 | $146,325 | |
Chemicals – 0.1% | ||||
Axalta Coating Systems U.S. Holdings, Inc., Term Loan B3, 2.057%, 6/01/2024 | $ | 177,745 | $172,912 | |
Element Solutions, Inc., Term Loan B1, 2.161%, 1/31/2026 | 150,860 | 146,460 | ||
$319,372 | ||||
Computer Software - Systems – 0.1% | ||||
Sabre GLBL, Inc., Term Loan B, 2.161%, 2/22/2024 | $ | 301,679 | $273,612 | |
SS&C Technologies, Inc., Term Loan B5, 1.911%, 4/16/2025 | 150,838 | 146,187 | ||
$419,799 | ||||
Conglomerates – 0.1% | ||||
Gates Global LLC, Term Loan B2, 3.75%, 4/01/2024 | $ | 310,956 | $303,288 | |
Food & Beverages – 0.0% | ||||
U.S. Foods, Inc., Term Loan B, 1.911%, 6/27/2023 | $ | 134,547 | $127,231 | |
Medical & Health Technology & Services – 0.1% | ||||
DaVita Healthcare Partners, Inc., Term Loan B, 1.911%, 8/12/2026 | $ | 150,862 | $147,882 | |
Jaguar Holding Co. II, Term Loan, 3.5%, 8/18/2022 | 150,809 | 150,093 | ||
$297,975 | ||||
Pharmaceuticals – 0.0% | ||||
Bausch Health Companies, Inc., Term Loan B, 2.925%, 11/27/2025 | $ | 138,972 | $135,949 |
17
Portfolio of Investments (unaudited) –
continued
Issuer | Shares/Par | Value ($) | ||
Floating Rate Loans (r) – continued | ||||
Printing & Publishing – 0.1% | ||||
Nielsen Finance LLC, Term Loan B4, 2.182%, 10/04/2023 | $ | 150,831 | $146,400 | |
Total Floating Rate Loans | $2,321,323 |
Strike Price | First Exercise | |||
Warrants – 0.0% | ||||
Forest & Paper Products – 0.0% | ||||
Appvion Holdings Corp. - Tranche A (1 share for 1 warrant, Expiration 6/13/23) (a) | $27.17 | 8/24/18 | 332 | $42 |
Appvion Holdings Corp. - Tranche B (1 share for 1 warrant, Expiration 6/13/23) (a) | 31.25 | 8/24/18 | 332 | 3 |
Total Warrants | $45 |
Investment Companies (h) – 1.9% | ||||
Money Market Funds – 1.9% | ||||
MFS Institutional Money Market Portfolio, 0.15% (v) | 7,270,931 | $7,271,659 |
Underlying/Expiration Date/Exercise Price | Put/ Call | Counterparty | Notional Amount | Par Amount/ Number of Contracts | |
Purchased Options – 0.1% | |||||
Market Index Securities – 0.1% | |||||
Markit iTraxx Europe Index – August 2020 @ EUR 33 | Put | Goldman Sachs International | $ 17,473,220 | EUR 14,000,000 | $29,373 |
Markit iTraxx Europe Index – October 2020 @ EUR 33 | Put | Merrill Lynch International | 18,970,924 | 15,200,000 | 204,931 |
Total Purchased Options | $234,304 |
Other Assets, Less Liabilities – (25.6)% | (99,071,288) | |||
Net Assets – 100.0% | $387,450,567 |
(a) | Non-income producing security. | |||
(d) | In default. | |||
(f) | All or a portion of the security has been segregated as collateral for open futures contracts. | |||
(h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $7,271,659 and $479,250,196, 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 $231,578,404, representing 59.8% of net assets. | |||
(p) | Payment-in-kind (PIK) security for which interest income may be received in additional securities and/or cash. | |||
(r) | The remaining maturities of floating rate loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. These loans may be subject to restrictions on resale. The interest rate shown represents the weighted average of the floating interest rates on settled contracts within the loan facility at period end, unless otherwise indicated. The floating interest rates on settled contracts are determined periodically by reference to a base lending rate and a spread. | |||
(u) | The security was valued using significant unobservable inputs and is considered level 3 under the fair value hierarchy. | |||
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
The following abbreviations are used in this report and are defined: | |
CDO | Collateralized Debt Obligation |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
ETF | Exchange-Traded Fund |
EURIBOR | Euro Interbank Offered Rate |
FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
18
Portfolio of Investments (unaudited) –
continued
NATL | National Public Finance Guarantee Corp. |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below: | |
AUD | Australian Dollar |
CAD | Canadian Dollar |
CHF | Swiss Franc |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SGD | Singapore Dollar |
Derivative Contracts at 7/31/20 | ||||||
Forward Foreign Currency Exchange Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives | ||||||
AUD | 811,924 | USD | 567,169 | Barclays Bank PLC | 10/16/2020 | $13,054 |
CAD | 74,893 | USD | 55,044 | JPMorgan Chase Bank N.A. | 10/16/2020 | 879 |
DKK | 11,054 | USD | 1,691 | Merrill Lynch International | 10/16/2020 | 60 |
EUR | 1,132,126 | USD | 1,318,861 | Brown Brothers Harriman | 10/16/2020 | 16,788 |
EUR | 891,810 | USD | 1,034,409 | Credit Suisse Group | 10/16/2020 | 17,722 |
EUR | 1,646,189 | USD | 1,919,824 | JPMorgan Chase Bank N.A. | 10/16/2020 | 22,301 |
EUR | 102,662 | USD | 118,983 | Merrill Lynch International | 10/16/2020 | 2,134 |
EUR | 98,477 | USD | 112,312 | UBS AG | 10/16/2020 | 3,869 |
GBP | 681,202 | USD | 871,639 | Barclays Bank PLC | 10/16/2020 | 20,397 |
GBP | 264,060 | USD | 337,725 | Citibank N.A. | 10/16/2020 | 8,063 |
GBP | 636,079 | USD | 799,830 | JPMorgan Chase Bank N.A. | 10/16/2020 | 33,117 |
GBP | 512,304 | USD | 643,254 | Merrill Lynch International | 10/16/2020 | 27,609 |
GBP | 441,191 | USD | 560,887 | UBS AG | 10/16/2020 | 16,853 |
HKD | 19,818,000 | USD | 2,556,132 | State Street Bank Corp. | 10/16/2020 | 867 |
JPY | 121,283,000 | USD | 1,132,888 | Citibank N.A. | 10/16/2020 | 13,891 |
KRW | 42,694,000 | USD | 35,158 | JPMorgan Chase Bank N.A. | 9/14/2020 | 681 |
NOK | 1,421,290 | USD | 150,845 | HSBC Bank | 10/16/2020 | 5,349 |
NZD | 451,000 | USD | 294,841 | JPMorgan Chase Bank N.A. | 10/16/2020 | 4,274 |
SGD | 54,000 | USD | 38,920 | Citibank N.A. | 10/16/2020 | 388 |
USD | 52,441 | CAD | 70,000 | JPMorgan Chase Bank N.A. | 10/16/2020 | 172 |
$208,468 | ||||||
Liability Derivatives | ||||||
USD | 1,159,949 | AUD | 1,660,578 | Goldman Sachs International | 10/16/2020 | $(26,745) |
USD | 193,300 | CHF | 180,919 | Citibank N.A. | 10/16/2020 | (4,935) |
USD | 36,445,123 | EUR | 31,965,778 | Citibank N.A. | 10/16/2020 | (1,267,171) |
USD | 10,302,176 | EUR | 9,002,755 | HSBC Bank | 9/21/2020 | (313,456) |
USD | 176,038 | EUR | 150,000 | JPMorgan Chase Bank N.A. | 10/16/2020 | (927) |
USD | 225,013 | EUR | 199,176 | JPMorgan Chase Bank N.A. | 10/23/2020 | (10,002) |
USD | 696,384 | EUR | 609,115 | Merrill Lynch International | 10/16/2020 | (22,233) |
USD | 337,708 | EUR | 298,266 | Morgan Stanley Capital Services, Inc. | 10/16/2020 | (14,178) |
USD | 393,836 | GBP | 304,000 | Citibank N.A. | 10/16/2020 | (4,252) |
USD | 9,979,202 | GBP | 7,900,939 | Goldman Sachs International | 10/16/2020 | (367,095) |
19
Portfolio of Investments (unaudited) –
continued
Forward Foreign Currency Exchange Contracts − continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Liability Derivatives − continued | ||||||
USD | 1,431,655 | MXN | 32,899,000 | JPMorgan Chase Bank N.A. | 10/16/2020 | $(33,061) |
$(2,064,055) |
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
Euro-Buxl 30 yr | Long | EUR | 9 | $2,383,654 | September – 2020 | $156,245 |
U.S. Treasury Bond | Long | USD | 8 | 1,458,250 | September – 2020 | 36,855 |
U.S. Treasury Note 5 yr | Long | USD | 48 | 6,054,000 | September – 2020 | 36,206 |
U.S. Treasury Ultra Bond | Long | USD | 42 | 9,562,875 | September – 2020 | 578,802 |
$808,108 | ||||||
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
Euro-Bobl 5 yr | Short | EUR | 210 | $33,454,270 | September – 2020 | $(299,817) |
Euro-Bund 10 yr | Short | EUR | 68 | 14,219,466 | September – 2020 | (274,817) |
Long Gilt 10 yr | Short | GBP | 9 | 1,632,258 | September – 2020 | (17,819) |
U.S. Treasury Note 10 yr | Short | USD | 458 | 64,155,781 | September – 2020 | (656,463) |
$(1,248,916) |
At July 31, 2020, the fund had cash
collateral of $1,250,000 and other liquid securities with an aggregate value of $957,604 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.
20
Supplemental Information
7/31/20 (unaudited)
The fund is an investment company
and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment
Companies.
(1) Investment Valuations
Equity securities, including
restricted equity securities, are generally valued at the last sale or official closing price on their primary market or exchange as provided by a third-party pricing service. Equity securities, for which there were
no sales reported that day, are generally valued at the last quoted daily bid quotation on their primary market or exchange as provided by a third-party pricing service. Debt instruments and floating rate loans,
including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less
may be valued at amortized cost, which approximates market value. Exchange-traded options are generally valued at the last sale or official closing price on their primary exchange as provided by a third-party
pricing service. Exchange-traded options for which there were no sales reported that day are generally valued at the last daily bid quotation on their primary exchange as provided by a third-party pricing service. For
put options, the position may be valued at the last daily ask quotation if there are no trades reported during the day. Options not traded on an exchange are generally valued at a broker/dealer bid quotation. Foreign
currency options are generally valued at valuations provided by a third-party pricing service. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a
third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party
pricing service. Forward foreign currency exchange contracts are generally valued at the mean of bid and asked prices for the time period interpolated from rates provided by a third-party pricing service for
proximate time periods. Open-end investment companies are generally valued at net asset value per share. Securities and other assets generally valued on the basis of information from a third-party pricing
service may also be valued at a broker/dealer bid quotation. In determining values, third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate,
maturity, type of issue, trading characteristics, and other market data. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the
mean of bid and asked prices for rates provided by a third-party pricing service.
The Board of Trustees has delegated
primary responsibility for determining or causing to be determined the value of the fund’s investments (including any fair valuation) to the adviser pursuant to valuation policies and procedures approved by the
Board. If the adviser determines that reliable market quotations are not readily available, investments are valued at fair value as determined in good faith by the adviser in accordance with such procedures under the
oversight of the Board of Trustees. Under the fund’s valuation policies and procedures, market quotations are not considered to be readily available for most types of debt instruments and floating rate loans and
many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services. In addition, investments may be valued at fair value if the adviser determines
that an investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior
to the determination of the fund’s net asset value, or after the halt of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is
principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost
and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an
investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an
investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an
investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.
Various inputs are used in
determining the value of the fund's assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value
hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund's assessment of the significance of a
particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or
liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk).
21
Supplemental Information (unaudited) –
continued
Level 3 includes unobservable inputs, which may
include the adviser's own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts and forward foreign currency exchange contracts.
The following is a summary of the levels used as of July 31, 2020 in valuing the fund's assets or liabilities:
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Equity Securities: | ||||
United States | $4,952,620 | $45 | $275,288 | $5,227,953 |
Mexico | — | 240,773 | — | 240,773 |
Canada | 42,597 | — | — | 42,597 |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 4,593,141 | — | 4,593,141 |
Non - U.S. Sovereign Debt | — | 69,940,719 | — | 69,940,719 |
Municipal Bonds | — | 1,931,087 | — | 1,931,087 |
U.S. Corporate Bonds | — | 260,753,335 | — | 260,753,335 |
Residential Mortgage-Backed Securities | — | 1,941,561 | — | 1,941,561 |
Commercial Mortgage-Backed Securities | — | 4,728,878 | — | 4,728,878 |
Asset-Backed Securities (including CDOs) | — | 7,968,080 | — | 7,968,080 |
Foreign Bonds | — | 119,560,749 | — | 119,560,749 |
Floating Rate Loans | — | 2,321,323 | — | 2,321,323 |
Mutual Funds | 7,271,659 | — | — | 7,271,659 |
Total | $12,266,876 | $473,979,691 | $275,288 | $486,521,855 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $808,108 | $— | $— | $808,108 |
Futures Contracts – Liabilities | (1,248,916) | — | — | (1,248,916) |
Forward Foreign Currency Exchange Contracts – Assets | — | 208,468 | — | 208,468 |
Forward Foreign Currency Exchange Contracts – Liabilities | — | (2,064,055) | — | (2,064,055) |
For further information regarding
security characteristics, see the Portfolio of Investments.
The following is a reconciliation of
level 3 assets for which significant unobservable inputs were used to determine fair value. The table presents the activity of level 3 securities held at the beginning and the end of the period.
Equity Securities | |
Balance as of 10/31/19 | $263,011 |
Change in unrealized appreciation or depreciation | 12,277 |
Balance as of 7/31/20 | $275,288 |
The net change in unrealized
appreciation or depreciation from investments held as level 3 at July 31, 2020 is $12,277. At July 31, 2020, the fund held one level 3 security.
(2) Investments in Affiliated
Issuers
An affiliated issuer may be
considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the following were affiliated issuers:
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $15,258,936 | $117,545,162 | $125,533,149 | $2,004 | $(1,294) | $7,271,659 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $97,747 | $— |
(3) Impacts of COVID-19
The pandemic related to the global
spread of novel coronavirus disease (COVID-19), which was first detected in December 2019, has resulted in significant disruptions to global business activity and the global economy, as well as the economies of
individual countries, the financial performance of individual companies and sectors, and the securities and commodities markets in general. This pandemic, the full effects of which are still unknown, has resulted in
substantial market volatility and may have adversely impacted the prices and liquidity of the fund's investments and the fund's performance.
22