NPORT-EX 2 edgar.htm NPORT PART F
Quarterly Report
June 30, 2024
MFS®  Total Return Fund
MTR-Q3
Portfolio of Investments
6/30/24 (unaudited)
The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.
Issuer     Shares/Par Value ($)
Common Stocks – 58.6%
Aerospace & Defense – 1.8%  
General Dynamics Corp.   131,740 $38,223,043
Honeywell International, Inc.   219,037 46,773,161
L3Harris Technologies, Inc.   227,886 51,178,638
        $136,174,842
Alcoholic Beverages – 0.8%  
Constellation Brands, Inc., “A”   139,550 $35,903,424
Diageo PLC   884,754 27,843,005
        $63,746,429
Automotive – 1.7%  
Aptiv PLC (a)   716,243 $50,437,832
Lear Corp.   290,439 33,171,038
LKQ Corp.   1,085,068 45,127,978
        $128,736,848
Broadcasting – 0.9%  
Omnicom Group, Inc.   638,590 $57,281,523
Warner Bros. Discovery, Inc. (a)   1,844,901 13,726,063
        $71,007,586
Brokerage & Asset Managers – 2.7%  
Cboe Global Markets, Inc.   185,016 $31,463,821
Charles Schwab Corp.   2,031,513 149,702,193
CME Group, Inc.   125,306 24,635,160
        $205,801,174
Business Services – 2.2%  
Accenture PLC, “A”   123,458 $37,458,392
Amdocs Ltd.   312,821 24,687,833
Cognizant Technology Solutions Corp., “A”   370,577 25,199,236
Fidelity National Information Services, Inc.   490,837 36,989,476
Fiserv, Inc. (a)   314,661 46,897,076
        $171,232,013
Cable TV – 1.5%  
Comcast Corp., “A”   3,042,842 $119,157,693
Chemicals – 0.8%  
PPG Industries, Inc.   475,774 $59,895,189
Computer Software – 2.9%  
Dun & Bradstreet Holdings, Inc.   4,998,665 $46,287,638
Microsoft Corp.   322,055 143,942,482
Oracle Corp.   241,903 34,156,704
        $224,386,824
Construction – 1.9%  
Masco Corp.   1,560,235 $104,020,867
Stanley Black & Decker, Inc.   384,895 30,749,262
Summit Materials, Inc., “A” (a)   379,273 13,885,185
        $148,655,314
Consumer Products – 0.9%  
Kenvue, Inc.   3,899,029 $70,884,347
1
Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Common Stocks – continued
Consumer Services – 0.3%  
Booking Holdings, Inc.   5,720 $22,659,780
Electrical Equipment – 1.5%  
Johnson Controls International PLC   1,732,000 $115,126,040
Electronics – 2.2%  
Applied Materials, Inc.   94,925 $22,401,351
Intel Corp.   1,558,031 48,252,220
NXP Semiconductors N.V.   316,876 85,268,163
Taiwan Semiconductor Manufacturing Co. Ltd., ADR   99,347 17,267,502
        $173,189,236
Energy - Independent – 2.1%  
ConocoPhillips   814,379 $93,148,670
Hess Corp.   477,556 70,449,061
        $163,597,731
Energy - Integrated – 1.6%  
Chevron Corp.   143,835 $22,498,671
Exxon Mobil Corp.   414,309 47,695,252
Suncor Energy, Inc.   1,301,005 49,594,248
        $119,788,171
Energy - Renewables – 0.2%  
GE Vernova, Inc. (a)   71,215 $12,214,085
Food & Beverages – 0.2%  
Archer Daniels Midland Co.   279,659 $16,905,387
Health Maintenance Organizations – 1.6%  
Cigna Group   384,788 $127,199,369
Insurance – 3.7%  
Aon PLC   308,905 $90,688,330
Chubb Ltd.   325,492 83,026,499
Principal Financial Group, Inc.   177,048 13,889,416
Travelers Cos., Inc.   141,379 28,748,006
Willis Towers Watson PLC   258,731 67,823,744
        $284,175,995
Internet – 0.8%  
Alphabet, Inc., “A”   350,301 $63,807,327
Leisure & Toys – 0.2%  
Electronic Arts, Inc.   116,044 $16,168,410
Machinery & Tools – 1.5%  
Eaton Corp. PLC   255,070 $79,977,198
Regal Rexnord Corp.   271,481 36,709,661
        $116,686,859
Major Banks – 7.3%  
Bank of America Corp.   3,085,989 $122,729,783
Goldman Sachs Group, Inc.   392,335 177,460,967
JPMorgan Chase & Co.   812,797 164,396,321
Morgan Stanley   624,485 60,693,697
PNC Financial Services Group, Inc.   218,783 34,016,381
        $559,297,149
2
Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Common Stocks – continued
Medical & Health Technology & Services – 1.9%  
ICON PLC (a)   132,037 $41,389,638
McKesson Corp.   147,148 85,940,318
Quest Diagnostics, Inc.   113,521 15,538,755
        $142,868,711
Medical Equipment – 1.9%  
Becton, Dickinson and Co.   154,227 $36,044,392
Medtronic PLC   1,363,320 107,306,917
        $143,351,309
Metals & Mining – 0.2%  
Glencore PLC   2,895,221 $16,509,578
Other Banks & Diversified Financials – 1.8%  
Northern Trust Corp.   938,006 $78,773,744
Truist Financial Corp.   1,466,099 56,957,946
        $135,731,690
Pharmaceuticals – 3.2%  
Johnson & Johnson   752,926 $110,047,664
Organon & Co.   506,476 10,484,054
Pfizer, Inc.   3,296,593 92,238,672
Roche Holding AG   133,889 37,181,040
        $249,951,430
Railroad & Shipping – 1.0%  
Union Pacific Corp.   337,453 $76,352,116
Restaurants – 0.2%  
Wendy's Co.   753,422 $12,778,037
Specialty Chemicals – 1.4%  
Air Products & Chemicals, Inc.   77,688 $20,047,388
Axalta Coating Systems Ltd. (a)   1,389,760 47,488,099
DuPont de Nemours, Inc.   550,073 44,275,376
        $111,810,863
Specialty Stores – 0.2%  
Target Corp.   111,935 $16,570,857
Telecommunications - Wireless – 0.9%  
T-Mobile USA, Inc.   383,269 $67,524,332
Tobacco – 1.3%  
Altria Group, Inc.   493,489 $22,478,424
Philip Morris International, Inc.   730,593 74,030,989
        $96,509,413
Utilities - Electric Power – 3.3%  
Dominion Energy, Inc.   193,639 $9,488,311
Duke Energy Corp.   564,367 56,566,504
Exelon Corp.   736,430 25,487,842
National Grid PLC   3,427,713 38,242,811
PG&E Corp.   3,834,336 66,947,507
Southern Co.   758,463 58,833,975
        $255,566,950
Total Common Stocks   $4,516,019,084
3
Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – 39.9%
Aerospace & Defense – 0.0%
BAE Systems PLC, 3.4%, 4/15/2030 (n)   $ 3,048,000 $2,760,502
Asset-Backed & Securitized – 6.2%
ACRES 2021-FL2 Issuer Ltd., “AS”, FLR, 7.193% ((SOFR - 1mo. + 0.11448%) + 1.75%), 1/15/2037 (n)   $ 6,082,500 $5,997,204
AmeriCredit Automobile Receivables Trust, 2024-1, “A2A”, 5.75%, 2/18/2028      7,812,000 7,812,439
Arbor Realty Trust, Inc., CLO, 2021-FL1, “AS”, FLR, 6.643% ((SOFR - 1mo. + 0.11448%) + 1.2%), 12/15/2035 (n)     6,771,500 6,688,285
Arbor Realty Trust, Inc., CLO, 2021-FL3, “B”, FLR, 7.043% ((SOFR - 1mo. + 0.11448%) + 1.6%), 8/15/2034 (n)     5,818,000 5,774,673
Arbor Realty Trust, Inc., CLO, 2022-FL1, “B”, FLR, 7.433% (SOFR - 30 day + 2.1%), 1/15/2037 (n)     16,706,500 16,559,563
AREIT 2022-CRE6 Trust, “B”, FLR, 7.183% (SOFR - 30 day + 1.85%), 1/20/2037 (n)     10,151,500 9,989,167
ARI Fleet Lease Trust, 2023-B, “A2”, 6.05%, 7/15/2032 (n)     4,281,057 4,297,079
Bain Capital Credit CLO Ltd., 2020-4A, “A1R”, FLR, 7.075% (SOFR - 3mo. + 1.75%), 10/20/2036 (n)     11,516,802 11,612,173
Bayview Financial Revolving Mortgage Loan Trust, FLR, 7.058% ((SOFR - 1mo. + 0.11448%) + 1.6%), 12/28/2040 (n)     742,572 1,197,492
Benchmark 2023-V3 Mortgage Trust, “A3”, 6.363%, 7/15/2056      1,190,323 1,228,386
Brazos Securitization LLC, 5.243%, 9/01/2040 (n)     5,403,000 5,377,117
BSPRT 2021-FL6 Issuer Ltd., “AS”, FLR, 6.743% ((SOFR - 1mo. + 0.11448%) + 1.3%), 3/15/2036 (n)     17,122,500 16,657,487
BSPRT 2021-FL7 Issuer Ltd., “B”, FLR, 7.493% ((SOFR - 1mo. + 0.11448%) + 2.05%), 12/15/2038 (n)     2,794,000 2,746,063
BSPRT 2022-FL8 Issuer Ltd., “B”, FLR, 7.383% (SOFR - 30 day + 2.05%), 2/15/2037 (n)     5,979,000 5,848,124
Business Jet Securities LLC, 2021-1A, “A”, 2.162%, 4/15/2036 (n)     1,799,551 1,704,096
Business Jet Securities LLC, 2024-1A, “A”, 6.197%, 5/15/2039 (n)     3,842,606 3,855,412
BXMT 2021-FL4 Ltd., “AS”, FLR, 6.743% ((SOFR - 1mo. + 0.11448%) + 1.3%), 5/15/2038 (n)     16,816,500 15,519,349
Columbia Cent CLO 28 Ltd., “A-2-R”, FLR, 7.289% ((SOFR - 3mo. + 0.26161%) + 1.7%) 11/07/2030 (n)     11,264,069 11,282,689
Commercial Mortgage Pass-Through Certificates, 2023-BNK46, “A4”, 5.745%, 8/15/2056      16,647,021 17,071,898
Commercial Mortgage Trust, 2015-DC1, “A5”, 3.35%, 2/10/2048      7,000,000 6,894,354
Commercial Mortgage Trust, 2015-LC21, “A4”, 3.708%, 7/10/2048      9,641,397 9,443,241
Commercial Mortgage Trust, 2015-PC1, “A5”, 3.902%, 7/10/2050      11,000,000 10,824,844
Consumers 2023 Securitization Funding LLC, 5.55%, 3/01/2028      4,816,000 4,815,432
Credit Acceptance Auto Loan Trust, 2021-3A, “B”, 1.38%, 7/15/2030 (n)     3,623,000 3,602,881
CSAIL Commercial Mortgage Trust, 2015-C2, “A4”, 3.504%, 6/15/2057      5,534,308 5,422,865
Dryden Senior Loan Fund, 2013-26A, “AR”, CLO, FLR, 6.49% ((SOFR - 3mo. + 0.26161%) + 0.9%), 4/15/2029 (n)     5,658,312 5,665,322
Dryden Senior Loan Fund, 2018-55A, “A1”, CLO, FLR, 6.61% ((SOFR - 3mo. + 0.26161%) + 1.02%), 4/15/2031 (n)     10,565,699 10,583,238
ELM Trust, 2024-ELM, “B10”, 5.995%, 6/10/2039 (n)     8,492,449 8,501,837
Empire District Bondco LLC, 4.943%, 1/01/2033      4,396,000 4,361,981
GLS Auto Select Receivables Trust, 2023-1A, “A2”, 6.27%, 8/16/2027 (n)     10,311,189 10,341,300
GLS Auto Select Receivables Trust, 2023-2A, 6.37%, 6/15/2028 (n)     2,829,760 2,845,724
GMAC Mortgage Corp. Loan Trust, FGIC, 5.805%, 10/25/2036      157,983 162,414
GS Mortgage Securities Trust, 2015-GC30, “A4”, 3.382%, 5/10/2050      10,734,280 10,474,612
JPMBB Commercial Mortgage Securities Trust, 2015-C28, “A4”, 3.227%, 10/15/2048      13,361,337 13,109,051
Kubota Credit Owner Trust, 2023-2A, “A2”, 5.61%, 7/15/2026 (n)     2,435,025 2,434,104
LCCM 2021-FL2 Trust, “B”, FLR, 7.343% ((SOFR - 1mo. + 0.11448%) + 1.9%), 12/13/2038 (n)     8,231,500 7,899,392
LoanCore 2021-CRE5 Ltd., “AS”, FLR, 7.193% ((SOFR - 1mo. + 0.11448%) + 1.75%), 7/15/2036 (n)     16,915,500 16,832,863
MF1 2020-FL4 Ltd., “A”, FLR, 7.143% ((SOFR - 1mo. + 0.11448%) + 1.7%), 11/15/2035 (n)     1,900,758 1,901,133
MF1 2021-FL5 Ltd., “AS”, FLR, 6.643% ((SOFR - 1mo. + 0.11448%) + 1.2%), 7/15/2036 (n)     17,497,000 17,392,368
MF1 2022-FL8 Ltd., “B”, FLR, 7.289% (SOFR - 30 day + 1.95%), 2/19/2037 (n)     7,392,231 7,253,137
MF1 2023-FL12 LLC, FLR, “A”, 7.405% (SOFR - 1mo. + 2.066%), 10/19/2038 (n)     14,505,000 14,530,681
MF1 2024-FL5 Ltd., “AS”, FLR, 7.34% (SOFR - 1mo. + 2.04%), 8/18/2041 (n)(w)     8,571,000 8,549,573
MidOcean Credit CLO, 2013-2A, “BR”, FLR, 7.236% ((SOFR - 3mo. + 0.26161%) + 1.65%), 1/29/2030 (n)     12,682,806 12,677,682
Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C34, “A4”, 3.536%, 11/15/2052      4,195,516 3,906,586
MSWF Commercial Mortgage Trust 2023-2, “A5”, 6.014%, 12/15/2056      7,477,126 7,859,005
Neuberger Berman CLO Ltd., 2013-15A, “BR2”, FLR, 6.94% ((SOFR - 3mo. + 0.26161%) + 1.35%), 10/15/2029 (n)     5,618,950 5,618,883
Neuberger Berman CLO Ltd., 2015-20A, “ARR”, FLR, 6.75% ((SOFR - 3mo. + 0.26161%) + 1.16%), 7/15/2034 (n)     5,725,000 5,730,925
Nissan Master Owner Trust, 2024-A, “A”, FLR, 6.003% (SOFR - 1mo. + 0.67%), 2/15/2028 (n)     5,130,663 5,138,669
Oaktree CLO 2019-1A Ltd., “BR”, FLR, 7.336% ((SOFR - 3mo. + 0.26161%) + 1.75%), 4/22/2030 (n)     16,678,518 16,712,442
Palmer Square Loan Funding 2024-3A Ltd., “A-2”, FLR, 6.987% (SOFR - 3mo. + 1.65%), 8/08/2032 (n)     13,939,469 13,952,781
ReadyCap Commercial Mortgage Trust, 2021-FL7, “B”, FLR, 7.259% ((SOFR - 1mo. + 0.11448%) + 1.8%), 11/25/2036 (z)     3,695,000 3,648,872
Residential Funding Mortgage Securities, Inc., FGIC, 3.824%, 12/25/2035 (d)(q)     140,906 3,382
Rockford Tower CLO 2020-1 Ltd., 2020-1A, “A2R”, FLR, 7.125% (SOFR - 3mo. + 1.8%), 1/20/2036 (n)     18,536,627 18,567,972
Starwood Commercial Mortgage, 2022-FL3, “AS”, FLR, 7.133% (SOFR - 30 day + 1.8%), 11/15/2038 (n)     17,154,000 16,634,079
Toyota Lease Owner Trust, 2023-A, “A2”, 5.3%, 8/20/2025 (n)     1,590,438 1,589,498
TPG Real Estate Finance, 2021-FL4, “A”, FLR, 6.643% ((SOFR - 1mo. + 0.11448%) + 1.2%), 3/15/2038 (n)     10,923,867 10,795,075
4
Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Asset-Backed & Securitized – continued
Virginia Power Fuel Securitization LLC, 5.088%, 5/01/2027    $ 4,759,000 $4,735,725
Voya CLO 2012-4A Ltd., “A2R3”, FLR, 7.04% ((SOFR - 3mo. + 0.26161%) + 1.45%), 10/15/2030 (n)     6,439,259 6,418,364
Wells Fargo Commercial Mortgage Trust, 2015-NXS1, “A5”, 3.148%, 5/15/2048      6,507,931 6,360,712
        $475,411,695
Automotive – 0.4%
Lear Corp., 4.25%, 5/15/2029    $ 2,163,000 $2,061,628
Magna International, Inc., 2.45%, 6/15/2030      6,114,000 5,277,438
Stellantis Finance US, Inc., 2.691%, 9/15/2031 (n)     10,166,000 8,403,327
Volkswagen Group of America Finance LLC, 3.35%, 5/13/2025 (n)     12,232,000 11,995,992
        $27,738,385
Broadcasting – 0.2%
Walt Disney Co., 3.5%, 5/13/2040    $ 7,789,000 $6,214,239
WarnerMedia Holdings, Inc., 5.05%, 3/15/2042      8,293,000 6,745,600
WarnerMedia Holdings, Inc., 5.141%, 3/15/2052      5,588,000 4,350,863
        $17,310,702
Brokerage & Asset Managers – 0.4%
Charles Schwab Corp., 5.853% to 5/19/2033, FLR (SOFR - 1 day + 2.5%) to 5/19/2034    $ 13,058,000 $13,312,875
Intercontinental Exchange, Inc., 2.1%, 6/15/2030      6,958,000 5,917,710
LPL Holdings, Inc., 6.75%, 11/17/2028      1,274,000 1,337,875
LPL Holdings, Inc., 4.375%, 5/15/2031 (n)     14,519,000 13,316,070
        $33,884,530
Building – 0.2%
Martin Marietta Materials, Inc., 2.5%, 3/15/2030    $ 622,000 $540,450
Masco Corp., 2%, 2/15/2031      12,460,000 10,149,804
Vulcan Materials Co., 3.5%, 6/01/2030      1,246,000 1,134,889
        $11,825,143
Business Services – 0.6%
Equinix, Inc., 2.625%, 11/18/2024    $ 9,037,000 $8,930,398
Equinix, Inc., 1.8%, 7/15/2027      5,883,000 5,315,564
Equinix, Inc., 2.5%, 5/15/2031      7,470,000 6,257,802
Experian Finance PLC, 4.25%, 2/01/2029 (n)     4,011,000 3,859,177
Fiserv, Inc., 2.65%, 6/01/2030      2,445,000 2,126,971
Global Payments, Inc., 1.2%, 3/01/2026      6,442,000 5,995,971
Global Payments, Inc., 2.9%, 11/15/2031      8,226,000 6,887,808
Verisk Analytics, Inc., 4.125%, 3/15/2029      2,750,000 2,643,647
Verisk Analytics, Inc., 5.75%, 4/01/2033      5,062,000 5,195,996
        $47,213,334
Cable TV – 0.3%
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035    $ 3,413,000 $3,327,674
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.5%, 6/01/2041      6,803,000 4,569,014
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.375%, 5/01/2047      1,390,000 1,110,480
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.25%, 4/01/2053      5,724,000 4,490,604
Cox Communications, Inc., 1.8%, 10/01/2030 (n)     4,310,000 3,465,930
Time Warner Entertainment Co. LP, 8.375%, 7/15/2033      6,553,000 7,239,965
        $24,203,667
Chemicals – 0.1%
RPM International, Inc., 2.95%, 1/15/2032    $ 4,666,000 $3,903,141
Computer Software – 0.1%
Oracle Corp., 4.9%, 2/06/2033    $ 2,585,000 $2,507,535
Roper Technologies, Inc., 2%, 6/30/2030      4,196,000 3,505,406
        $6,012,941
5
Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Conglomerates – 0.1%
Westinghouse Air Brake Technologies Corp., 3.2%, 6/15/2025    $ 2,623,000 $2,559,600
Westinghouse Air Brake Technologies Corp., 4.7%, 9/15/2028      6,723,000 6,590,642
        $9,150,242
Consumer Products – 0.1%
Kenvue, Inc., 4.9%, 3/22/2033    $ 10,448,000 $10,333,029
Consumer Services – 0.1%
Booking Holdings, Inc., 4.625%, 4/13/2030    $ 4,593,000 $4,523,622
Electrical Equipment – 0.1%
Arrow Electronics, Inc., 2.95%, 2/15/2032    $ 9,575,000 $8,010,886
Electronics – 0.1%
Broadcom, Inc., 4.3%, 11/15/2032    $ 4,290,000 $4,009,733
Broadcom, Inc., 4.926%, 5/15/2037 (n)     2,223,000 2,090,761
        $6,100,494
Energy - Independent – 0.2%
Diamondback Energy, Inc., 5.4%, 4/18/2034    $ 4,744,000 $4,696,787
EQT Corp., 5.75%, 2/01/2034      10,541,000 10,448,513
        $15,145,300
Energy - Integrated – 0.3%
BP Capital Markets America, Inc., 2.721%, 1/12/2032    $ 13,688,000 $11,627,731
Eni S.p.A., 4.75%, 9/12/2028 (n)     11,589,000 11,362,505
        $22,990,236
Financial Institutions – 0.4%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, 10/29/2026    $ 13,587,000 $12,674,409
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.65%, 7/21/2027      7,729,000 7,335,907
Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n)     2,248,000 2,186,713
Avolon Holdings Funding Ltd., 3.25%, 2/15/2027 (n)     7,097,000 6,641,877
Avolon Holdings Funding Ltd., 2.528%, 11/18/2027 (n)     5,867,000 5,276,859
        $34,115,765
Food & Beverages – 0.3%
Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038    $ 2,398,000 $2,182,809
Anheuser-Busch InBev Worldwide, Inc., 8%, 11/15/2039      9,558,000 12,077,696
Diageo Capital PLC, 2.375%, 10/24/2029      8,369,000 7,396,599
Keurig Dr Pepper, Inc., 3.2%, 5/01/2030      986,000 888,674
        $22,545,778
Gaming & Lodging – 0.2%
GLP Capital LP/GLP Financing II, Inc., 5.3%, 1/15/2029    $ 5,014,000 $4,940,165
Las Vegas Sands Corp., 3.9%, 8/08/2029      2,476,000 2,264,804
Marriott International, Inc., 4.625%, 6/15/2030      6,716,000 6,517,862
Marriott International, Inc., 2.85%, 4/15/2031      23,000 19,698
Marriott International, Inc., 2.75%, 10/15/2033      5,250,000 4,237,491
        $17,980,020
Insurance – 0.6%
AIA Group Ltd., 3.375%, 4/07/2030 (n)   $ 7,948,000 $7,237,379
Corebridge Financial, Inc., 3.9%, 4/05/2032      11,118,000 9,951,683
Corebridge Financial, Inc., 5.75%, 1/15/2034      4,447,000 4,476,505
Metropolitan Life Global Funding I, 3.3%, 3/21/2029 (n)     15,225,000 14,113,809
Sammons Financial Group, Inc., 6.875%, 4/15/2034 (n)     8,996,000 9,223,085
        $45,002,461
6
Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Insurance - Health – 0.1%
Humana, Inc., 5.875%, 3/01/2033    $ 4,392,000 $4,467,711
Insurance - Property & Casualty – 0.4%
Aon Corp., 4.5%, 12/15/2028    $ 6,955,000 $6,757,356
Brown & Brown, Inc., 4.2%, 3/17/2032      7,012,000 6,400,030
Fairfax Financial Holdings Ltd., 5.625%, 8/16/2032      14,394,000 14,188,818
Fairfax Financial Holdings Ltd., 6%, 12/07/2033 (n)     357,000 362,608
Liberty Mutual Group, Inc., 3.951%, 10/15/2050 (n)     3,061,000 2,225,571
        $29,934,383
International Market Quasi-Sovereign – 0.0%
Electricite de France S.A., 6.9%, 5/23/2053 (n)   $ 2,221,000 $2,359,288
Machinery & Tools – 0.2%
Ashtead Capital, Inc., 5.5%, 8/11/2032 (n)   $ 14,128,000 $13,783,255
CNH Industrial Capital LLC, 1.875%, 1/15/2026      1,459,000 1,380,813
        $15,164,068
Major Banks – 2.6%
Bank of America Corp., 2.572% to 10/20/2031, FLR (SOFR - 1 day + 1.21%) to 10/20/2032    $ 11,722,000 $9,715,823
Barclays PLC, 2.894% to 11/24/2031, FLR (CMT - 1yr. + 1.3%) to 11/24/2032      3,616,000 2,991,154
Barclays PLC, 7.437% to 11/02/2032, FLR (CMT - 1yr. + 3.5%) to 11/02/2033      9,484,000 10,429,870
Capital One Financial Corp., 3.75%, 3/09/2027      5,440,000 5,224,718
Capital One Financial Corp., 3.273% to 3/01/2029, FLR (SOFR - 1 day + 1.79%) to 3/01/2030      16,465,000 14,862,099
Deutsche Bank AG, 7.146% to 7/13/2026, FLR (SOFR - 1 day + 2.52%) to 7/13/2027      2,981,000 3,053,552
Deutsche Bank AG, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027      2,877,000 2,656,242
Deutsche Bank AG, 6.72% to 1/18/2028, FLR (SOFR - 1 day + 3.18%) to 1/18/2029      7,588,000 7,830,681
Goldman Sachs Group, Inc., 2.6%, 2/07/2030      10,872,000 9,527,155
Goldman Sachs Group, Inc., 2.383% to 7/21/2031, FLR (SOFR - 1 day + 1.248%) to 7/21/2032      9,008,000 7,397,646
HSBC Holdings PLC, 4.7% to 9/09/2031, FLR (CMT - 1yr. + 3.25%) to 9/09/2169      3,072,000 2,618,452
HSBC Holdings PLC, 4% to 9/09/2026, FLR (CMT - 1yr. + 3.222%) to 9/09/2170      1,215,000 1,137,922
JPMorgan Chase & Co., 2.956% to 5/13/2030, FLR (SOFR - 1 day + 2.515%) to 5/13/2031      1,546,000 1,354,944
JPMorgan Chase & Co., 2.545% to 11/08/2031, FLR (SOFR - 1 day + 1.18%) to 11/08/2032      15,046,000 12,528,581
JPMorgan Chase & Co., 2.963% to 1/25/2032, FLR (SOFR - 1 day + 1.26%) to 1/25/2033      5,837,000 4,976,672
JPMorgan Chase & Co., 5.766%, 4/22/2035      4,657,000 4,778,119
JPMorgan Chase & Co., 3.109% to 4/22/2040, FLR (SOFR - 1 day + 2.46%) to 4/22/2041      7,872,000 5,891,347
JPMorgan Chase & Co., 3.897% to 1/23/2048, FLR ((SOFR - 3mo. + 0.26161%) + 1.22%) to 1/23/2049      2,847,000 2,243,056
Mitsubishi UFJ Financial Group, Inc., 2.852% to 1/19/2032, FLR (CMT - 1yr. + 1.1%) to 1/19/2033      9,207,000 7,780,944
Morgan Stanley, 2.699% to 1/22/2030, FLR (SOFR - 1 day + 1.143%) to 1/22/2031      19,340,000 16,953,062
Morgan Stanley, 2.943% to 1/21/2032, FLR (SOFR - 1 day + 1.29%) to 1/21/2033      10,273,000 8,731,220
Sumitomo Mitsui Financial Group, Inc., 2.472%, 1/14/2029      17,106,000 15,228,063
UBS Group AG, 2.095% to 2/11/2031, FLR (CMT - 1yr. + 1.0%) to 2/11/2032 (n)     20,862,000 16,763,901
Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033      25,966,000 22,517,861
        $197,193,084
Medical & Health Technology & Services – 0.5%
Adventist Health System/West, 5.43%, 3/01/2032    $ 8,829,000 $8,726,582
Alcon Finance Corp., 2.6%, 5/27/2030 (n)     944,000 822,394
Becton, Dickinson and Co., 4.669%, 6/06/2047      5,389,000 4,697,238
Cigna Corp., 3.2%, 3/15/2040      1,517,000 1,122,129
CVS Health Corp., 5.3%, 6/01/2033      9,092,000 8,885,244
HCA, Inc., 5.125%, 6/15/2039      5,707,000 5,286,321
Laboratory Corp. of America Holdings, 4.7%, 2/01/2045      3,373,000 2,959,281
Northwell Healthcare, Inc., 3.979%, 11/01/2046      490,000 379,712
Northwell Healthcare, Inc., 4.26%, 11/01/2047      3,797,000 3,072,749
        $35,951,650
Medical Equipment – 0.1%
Boston Scientific Corp., 2.65%, 6/01/2030    $ 5,104,000 $4,480,294
7
Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Metals & Mining – 0.3%
Anglo American Capital PLC, 3.875%, 3/16/2029 (n)   $ 1,639,000 $1,536,691
Anglo American Capital PLC, 5.625%, 4/01/2030 (n)     4,259,000 4,286,549
Anglo American Capital PLC, 2.625%, 9/10/2030 (n)     14,840,000 12,661,533
Glencore Funding LLC, 2.5%, 9/01/2030 (n)     5,444,000 4,603,231
Glencore Funding LLC, 2.85%, 4/27/2031 (n)     2,292,000 1,930,069
        $25,018,073
Midstream – 0.3%
Enbridge, Inc., 5.625%, 4/05/2034    $ 7,064,000 $7,052,374
Plains All American Pipeline LP, 3.8%, 9/15/2030      6,093,000 5,565,664
Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030      1,665,000 1,597,287
Spectra Energy Partners LP, 3.375%, 10/15/2026      2,677,000 2,562,836
Targa Resources Corp., 4.2%, 2/01/2033      2,470,000 2,220,968
Targa Resources Corp., 6.125%, 3/15/2033      7,772,000 7,981,734
        $26,980,863
Mortgage-Backed – 12.7%  
Fannie Mae, 5.25%, 8/01/2024    $ 824,787 $821,213
Fannie Mae, 5%, 3/25/2025 - 3/01/2042      3,620,426 3,581,270
Fannie Mae, 4.54%, 7/01/2026      842,331 834,217
Fannie Mae, 3.95%, 1/01/2027      813,763 795,667
Fannie Mae, 3%, 11/01/2028 - 9/01/2046      5,780,750 5,379,318
Fannie Mae, 6.5%, 6/01/2031 - 7/01/2037      1,097,880 1,127,356
Fannie Mae, 2.5%, 11/01/2031      126,888 118,407
Fannie Mae, 5.5%, 2/01/2033 - 4/01/2040      4,945,511 4,960,915
Fannie Mae, 3%, 2/25/2033 (i)     618,186 47,623
Fannie Mae, 4.5%, 8/01/2033 - 6/01/2044      9,708,171 9,413,198
Fannie Mae, 6%, 1/01/2034 - 7/01/2037      2,970,614 3,020,353
Fannie Mae, 3.5%, 4/01/2038 - 7/01/2046      26,218,111 23,843,156
Fannie Mae, 3.25%, 5/25/2040      183,960 171,255
Fannie Mae, 4%, 9/01/2040 - 6/01/2047      21,634,040 20,382,509
Fannie Mae, 2%, 5/25/2044 - 4/25/2046      443,990 400,108
Fannie Mae, 4%, 7/25/2046 (i)     697,587 131,778
Fannie Mae, UMBS, 2%, 11/01/2036 - 9/01/2052      102,308,275 83,641,040
Fannie Mae, UMBS, 2.5%, 7/01/2037 - 8/01/2052      118,822,488 98,339,037
Fannie Mae, UMBS, 5%, 10/01/2037 - 7/01/2053      11,471,604 11,110,309
Fannie Mae, UMBS, 1.5%, 2/01/2042 - 4/01/2052      18,565,187 13,920,675
Fannie Mae, UMBS, 3%, 5/01/2051 - 2/01/2053      55,130,799 47,084,238
Fannie Mae, UMBS, 3.5%, 5/01/2052 - 6/01/2053      6,221,595 5,509,823
Fannie Mae, UMBS, 4.5%, 8/01/2052 - 3/01/2053      4,839,451 4,584,254
Fannie Mae, UMBS, 6%, 11/01/2052 - 4/01/2054      13,668,562 13,783,641
Fannie Mae, UMBS, 4%, 3/01/2053      7,904,234 7,233,584
Fannie Mae, UMBS, 5.5%, 3/01/2053 - 10/01/2053      18,867,891 18,615,457
Fannie Mae, UMBS, 6.5%, 12/01/2053      2,278,056 2,319,293
Fannie Mae, UMBS, 7%, 12/01/2053      5,945,840 6,117,739
Freddie Mac, 0.618%, 7/25/2024 (i)     40,823,000 1,657
Freddie Mac, 0.708%, 7/25/2024 (i)     3,116,912 149
Freddie Mac, 4.5%, 8/01/2024 - 5/01/2042      1,413,324 1,373,937
Freddie Mac, 0.505%, 8/25/2024 (i)     44,106,000 20,073
Freddie Mac, 0.574%, 8/25/2024 (i)     45,388,115 10,571
Freddie Mac, 3.064%, 8/25/2024      1,406,330 1,398,653
Freddie Mac, 0.448%, 10/25/2024 (i)     41,920,824 8,703
Freddie Mac, 3.171%, 10/25/2024      2,844,764 2,822,083
Freddie Mac, 0.384%, 11/25/2024 (i)     44,690,000 51,326
Freddie Mac, 2.67%, 12/25/2024      3,649,987 3,605,244
Freddie Mac, 3.5%, 12/01/2025 - 10/25/2058      13,308,862 12,176,802
Freddie Mac, 0.777%, 6/25/2027 (i)     39,273,000 741,364
Freddie Mac, 0.88%, 6/25/2027 (i)     12,212,460 215,153
Freddie Mac, 0.701%, 7/25/2027 (i)     32,644,793 478,338
8
Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Mortgage-Backed – continued  
Freddie Mac, 0.458%, 8/25/2027 (i)   $ 27,934,000 $299,712
Freddie Mac, 0.547%, 8/25/2027 (i)     17,044,569 197,911
Freddie Mac, 0.406%, 9/25/2027 (i)     30,183,000 286,811
Freddie Mac, 0.323%, 11/25/2027 (i)     47,333,000 319,247
Freddie Mac, 0.411%, 11/25/2027 (i)     32,821,825 255,442
Freddie Mac, 0.451%, 11/25/2027 (i)     29,054,961 277,373
Freddie Mac, 0.376%, 12/25/2027 (i)     29,308,000 248,561
Freddie Mac, 0.415%, 12/25/2027 (i)     32,765,000 324,459
Freddie Mac, 0.488%, 12/25/2027 (i)     49,899,131 544,629
Freddie Mac, 1.218%, 7/25/2029 (i)     850,657 38,798
Freddie Mac, 1.265%, 8/25/2029 (i)     13,254,790 638,441
Freddie Mac, 1.914%, 4/25/2030 (i)     2,500,000 221,727
Freddie Mac, 1.985%, 4/25/2030 (i)     7,819,828 717,287
Freddie Mac, 1.769%, 5/25/2030 (i)     4,048,749 342,524
Freddie Mac, 1.906%, 5/25/2030 (i)     8,995,049 808,281
Freddie Mac, 1.435%, 6/25/2030 (i)     3,687,431 249,519
Freddie Mac, 1.703%, 8/25/2030 (i)     3,331,192 273,763
Freddie Mac, 1.262%, 9/25/2030 (i)     2,196,896 134,457
Freddie Mac, 1.172%, 11/25/2030 (i)     4,320,889 248,795
Freddie Mac, 0.417%, 1/25/2031 (i)     17,050,308 279,235
Freddie Mac, 0.872%, 1/25/2031 (i)     6,541,106 283,231
Freddie Mac, 1.026%, 1/25/2031 (i)     4,767,487 242,546
Freddie Mac, 0.609%, 3/25/2031 (i)     13,809,055 373,154
Freddie Mac, 0.828%, 3/25/2031 (i)     5,934,811 247,488
Freddie Mac, 1.324%, 5/25/2031 (i)     2,518,959 172,765
Freddie Mac, 1.039%, 7/25/2031 (i)     4,010,843 223,202
Freddie Mac, 0.607%, 8/25/2031 (i)     5,124,102 150,878
Freddie Mac, 0.632%, 9/25/2031 (i)     16,898,337 536,742
Freddie Mac, 0.955%, 9/25/2031 (i)     5,075,984 251,019
Freddie Mac, 0.441%, 11/25/2031 (i)     25,136,487 555,823
Freddie Mac, 0.596%, 12/25/2031 (i)     23,600,379 719,080
Freddie Mac, 0.664%, 12/25/2031 (i)     40,016,231 1,369,588
Freddie Mac, 0.43%, 11/25/2032 (i)     24,060,113 417,205
Freddie Mac, 3%, 2/15/2033 (i)     621,778 35,188
Freddie Mac, 6%, 3/01/2033 - 6/01/2037      1,184,385 1,207,130
Freddie Mac, 5%, 9/01/2033 - 7/01/2041      1,867,769 1,851,986
Freddie Mac, 5.5%, 12/01/2033 - 10/01/2035      1,055,431 1,061,150
Freddie Mac, 6.5%, 5/01/2034 - 7/01/2037      423,888 436,423
Freddie Mac, 5.5%, 2/15/2036 (i)     126,614 21,783
Freddie Mac, 4%, 8/01/2037 - 4/01/2044      4,502,558 4,253,490
Freddie Mac, 3%, 1/01/2038 - 2/25/2059      19,379,081 17,069,626
Freddie Mac, 4.5%, 12/15/2040 (i)     67,161 6,211
Freddie Mac, 4%, 8/15/2044 (i)     128,138 12,680
Freddie Mac, UMBS, 6.5%, 5/01/2028 - 8/01/2053      606,289 617,848
Freddie Mac, UMBS, 5%, 7/01/2035 - 9/01/2053      8,241,489 7,978,239
Freddie Mac, UMBS, 6%, 1/01/2036 - 5/01/2054      10,307,756 10,347,737
Freddie Mac, UMBS, 2%, 10/01/2036 - 3/01/2052      85,561,115 67,412,148
Freddie Mac, UMBS, 2.5%, 7/01/2037 - 9/01/2052      55,264,817 45,304,962
Freddie Mac, UMBS, 3%, 10/01/2037 - 7/01/2053      15,240,379 13,003,158
Freddie Mac, UMBS, 4.5%, 6/01/2038 - 1/01/2053      12,053,483 11,373,583
Freddie Mac, UMBS, 3.5%, 12/01/2046 - 1/01/2054      3,973,626 3,583,980
Freddie Mac, UMBS, 4%, 8/01/2047 - 5/01/2052      9,459,006 8,756,883
Freddie Mac, UMBS, 1.5%, 3/01/2051 - 10/01/2051      2,418,984 1,815,925
Freddie Mac, UMBS, 5.5%, 12/01/2052 - 10/01/2053      22,811,537 22,533,256
Ginnie Mae, 6%, 9/15/2032 - 8/20/2053      1,096,740 1,132,598
Ginnie Mae, 5.5%, 12/15/2032 - 8/20/2053      13,189,867 13,106,326
Ginnie Mae, 4.5%, 7/15/2033 - 12/20/2052      37,374,950 35,649,016
Ginnie Mae, 5%, 7/20/2033 - 5/20/2053      24,711,820 24,082,672
Ginnie Mae, 4%, 1/20/2041 - 10/20/2052      15,121,410 14,037,951
9
Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Mortgage-Backed – continued  
Ginnie Mae, 5.553%, 9/20/2041    $ 3,123,854 $3,068,742
Ginnie Mae, 3.5%, 12/15/2041 - 1/20/2053      27,732,361 25,011,757
Ginnie Mae, 3%, 4/20/2045 - 10/20/2052      27,475,223 24,097,435
Ginnie Mae, 2.5%, 7/20/2051 - 6/20/2052      23,081,553 19,403,832
Ginnie Mae, 2%, 1/20/2052 - 9/20/2052      16,736,061 13,551,917
Ginnie Mae, 7%, 3/20/2054      965,652 984,986
Ginnie Mae, 6.483%, 3/20/2064      2,697,998 2,709,099
Ginnie Mae, TBA, 2%, 7/15/2054 - 8/15/2054      24,875,000 20,138,760
Ginnie Mae, TBA, 2.5%, 7/15/2054 - 8/15/2054      23,275,000 19,571,615
Ginnie Mae, TBA, 3%, 7/15/2054      6,875,000 5,989,307
Ginnie Mae, TBA, 5.5%, 7/15/2054      11,425,000 11,334,736
Ginnie Mae, TBA, 6%, 7/15/2054      6,250,000 6,275,956
Ginnie Mae, TBA, 6.5%, 7/15/2054      4,700,000 4,766,969
UMBS, TBA, 2%, 7/15/2039 - 8/15/2054      5,625,000 4,845,932
UMBS, TBA, 2.5%, 7/15/2039 - 8/15/2054      35,150,000 29,071,914
UMBS, TBA, 3%, 7/15/2039 - 8/13/2054      13,575,000 11,850,810
UMBS, TBA, 4.5%, 7/25/2039 - 7/15/2054      7,025,000 6,820,841
UMBS, TBA, 5%, 7/25/2039      2,800,000 2,775,301
UMBS, TBA, 3.5%, 2/25/2052 - 7/15/2054      24,650,000 21,817,789
UMBS, TBA, 4%, 3/25/2052      7,925,000 7,251,065
UMBS, TBA, 6.5%, 3/25/2054      12,325,000 12,543,576
        $983,015,467
Municipals – 0.4%
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 6.352%, 7/01/2049    $ 9,860,000 $9,945,767
New Jersey Turnpike Authority Rev., Taxable (Build America Bonds), “F”, 7.414%, 1/01/2040      5,815,000 6,822,442
Rhode Island Student Loan Authority Education Loan Rev., Taxable, 6.081%, 12/01/2042      9,185,000 9,261,068
State of Florida, Taxable, “A”, 2.154%, 7/01/2030      3,243,000 2,747,811
        $28,777,088
Natural Gas - Distribution – 0.1%
NiSource, Inc., 2.95%, 9/01/2029    $ 3,979,000 $3,576,275
NiSource, Inc., 5.65%, 2/01/2045      1,946,000 1,878,004
        $5,454,279
Natural Gas - Pipeline – 0.0%
APA Infrastructure Ltd., 4.25%, 7/15/2027 (n)   $ 777,000 $756,509
Network & Telecom – 0.1%
Verizon Communications, Inc., 3.15%, 3/22/2030    $ 3,413,000 $3,077,659
Verizon Communications, Inc., 2.55%, 3/21/2031      2,821,000 2,396,744
Verizon Communications, Inc., 4.812%, 3/15/2039      6,030,000 5,591,803
        $11,066,206
Oils – 0.1%
Marathon Petroleum Corp., 4.75%, 9/15/2044    $ 2,845,000 $2,425,681
Phillips 66 Co., 2.15%, 12/15/2030      9,976,000 8,332,958
        $10,758,639
Other Banks & Diversified Financials – 0.4%
Macquarie Group Ltd., 4.442% to 6/21/2032, FLR (SOFR - 1 day + 2.405%) to 6/21/2033 (n)   $ 19,423,000 $17,927,301
Northern Trust Corp., 6.125%, 11/02/2032      9,142,000 9,599,602
        $27,526,903
Pollution Control – 0.3%
Republic Services, Inc., 1.45%, 2/15/2031    $ 2,765,000 $2,192,348
Waste Management, Inc., 4.875%, 2/15/2034      20,620,000 20,213,075
        $22,405,423
10
Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Real Estate - Office – 0.0%
Boston Properties LP, REIT, 2.55%, 4/01/2032    $ 4,222,000 $3,292,369
Real Estate - Other – 0.2%
Public Storage Operating, REIT, 5.1%, 8/01/2033    $ 15,515,000 $15,387,059
Real Estate - Retail – 0.1%
Brixmor Operating Partnership LP, REIT, 4.125%, 5/15/2029    $ 567,000 $535,168
Brixmor Operating Partnership LP, REIT, 4.05%, 7/01/2030      5,371,000 4,984,411
Realty Income Corp., REIT, 3.25%, 1/15/2031      1,594,000 1,410,044
        $6,929,623
Retailers – 0.1%
Alimentation Couche-Tard, Inc., 3.439%, 5/13/2041 (n)   $ 6,827,000 $5,151,677
Specialty Stores – 0.1%
Genuine Parts Co., 2.75%, 2/01/2032    $ 12,549,000 $10,422,142
Telecommunications - Wireless – 0.5%
Crown Castle, Inc., REIT, 3.65%, 9/01/2027    $ 7,941,000 $7,546,369
Rogers Communications, Inc., 3.8%, 3/15/2032      17,162,000 15,334,270
T-Mobile USA, Inc., 2.05%, 2/15/2028      6,192,000 5,561,668
T-Mobile USA, Inc., 4.5%, 4/15/2050      7,223,000 6,032,405
Vodafone Group PLC, 5.625%, 2/10/2053      2,616,000 2,504,332
        $36,979,044
Tobacco – 0.4%
B.A.T. International Finance PLC, 4.448%, 3/16/2028    $ 17,004,000 $16,461,914
Philip Morris International, Inc., 5.125%, 11/17/2027      3,015,000 3,014,304
Philip Morris International, Inc., 5.625%, 11/17/2029      1,299,000 1,326,751
Philip Morris International, Inc., 5.125%, 2/15/2030      4,902,000 4,884,373
Philip Morris International, Inc., 5.75%, 11/17/2032      5,756,000 5,876,488
        $31,563,830
Transportation - Services – 0.0%
ERAC USA Finance LLC, 7%, 10/15/2037 (n)   $ 2,711,000 $3,068,963
U.S. Government Agencies and Equivalents – 0.0%
Small Business Administration, 4.99%, 9/01/2024    $ 19,320 $19,259
Small Business Administration, 4.95%, 3/01/2025      39,788 39,679
        $58,938
U.S. Treasury Obligations – 8.0%
U.S. Treasury Bonds, 2.375%, 2/15/2042    $ 9,700,000 $7,061,297
U.S. Treasury Bonds, 4%, 11/15/2042      28,650,000 26,402,766
U.S. Treasury Bonds, 2.875%, 5/15/2043      36,361,000 28,236,589
U.S. Treasury Bonds, 4.375%, 8/15/2043      39,100,000 37,740,664
U.S. Treasury Bonds, 4.75%, 11/15/2043      11,250,000 11,399,414
U.S. Treasury Bonds, 4.5%, 2/15/2044      6,800,000 6,670,375
U.S. Treasury Bonds, 3%, 11/15/2045      215,000 166,474
U.S. Treasury Bonds, 2.875%, 11/15/2046      14,148,000 10,618,737
U.S. Treasury Bonds, 2.375%, 11/15/2049      151,800,000 100,792,829
U.S. Treasury Bonds, 1.875%, 11/15/2051      9,015,000 5,232,926
U.S. Treasury Bonds, 2.25%, 2/15/2052      44,658,400 28,448,796
U.S. Treasury Bonds, 4%, 11/15/2052      7,700,000 7,014,820
U.S. Treasury Notes, 0.375%, 11/30/2025 (f)     172,500,000 161,833,300
U.S. Treasury Notes, 4%, 1/15/2027      91,300,000 89,973,297
U.S. Treasury Notes, 2.5%, 3/31/2027      52,800,000 50,046,562
U.S. Treasury Notes, 2.75%, 4/30/2027      13,267,600 12,640,499
11
Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
U.S. Treasury Obligations – continued
U.S. Treasury Notes, 4.125%, 7/31/2028    $ 30,000,000 $29,682,422
        $613,961,767
Utilities - Electric Power – 0.9%
American Electric Power Co., Inc., 5.95%, 11/01/2032    $ 4,413,000 $4,515,139
American Transmission Systems, Inc., 2.65%, 1/15/2032 (n)     1,738,000 1,445,778
Duke Energy Carolinas LLC, 4.95%, 1/15/2033      13,849,000 13,611,851
Duke Energy Corp., 2.65%, 9/01/2026      1,236,000 1,168,434
Duke Energy Corp., 4.5%, 8/15/2032      10,428,000 9,750,703
Duke Energy Progress LLC, 3.45%, 3/15/2029      5,584,000 5,207,987
Enel Finance International N.V., 6.8%, 10/14/2025 (n)     2,896,000 2,941,338
Enel Finance International N.V., 4.75%, 5/25/2047 (n)     2,194,000 1,834,741
Exelon Corp., 4.05%, 4/15/2030      5,246,000 4,922,871
Georgia Power Co., 3.7%, 1/30/2050      482,000 355,694
Jersey Central Power & Light Co., 4.3%, 1/15/2026 (n)     4,141,000 4,067,366
Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n)     2,958,000 2,444,443
Oncor Electric Delivery Co. LLC, 5.75%, 3/15/2029      3,548,000 3,656,710
Pacific Gas & Electric Co., 2.1%, 8/01/2027      1,561,000 1,408,451
Pacific Gas & Electric Co., 3%, 6/15/2028      4,502,000 4,116,381
Pacific Gas & Electric Co., 2.5%, 2/01/2031      6,796,000 5,602,061
Pacific Gas & Electric Co., 3.3%, 8/01/2040      3,004,000 2,139,283
Xcel Energy, Inc., 3.4%, 6/01/2030      3,122,000 2,802,507
        $71,991,738
Utilities - Gas – 0.0%
East Ohio Gas Co., 2%, 6/15/2030 (n)   $ 3,679,000 $3,048,366
Total Bonds   $3,079,327,317
Preferred Stocks – 0.8%
Computer Software - Systems – 0.3%        
Samsung Electronics Co. Ltd.   541,288 $24,857,163
Consumer Products – 0.5%        
Henkel AG & Co. KGaA   427,756 $38,123,522
Total Preferred Stocks   $62,980,685
Investment Companies (h) – 2.8%
Money Market Funds – 2.8%  
MFS Institutional Money Market Portfolio, 5.39% (v)     215,608,951 $215,630,512
 
Other Assets, Less Liabilities – (2.1)%   (158,698,966)
Net Assets – 100.0% $7,715,258,632
(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 $215,630,512 and $7,658,327,086, 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 $563,231,454, representing 7.3% of net assets.
(q) Interest received was less than stated coupon rate.
(v) Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end.
(w) When-issued security.
12
Portfolio of Investments (unaudited) – continued
(z) Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities:
Restricted Securities Acquisition
Date 		Cost Value
ReadyCap Commercial Mortgage Trust, 2021-FL7, “B”, FLR, 7.259% ((SOFR - 1mo. + 0.11448%) + 1.8%), 11/25/2036 11/12/21 $3,695,000 $3,648,872
% of Net assets     0.0%
The following abbreviations are used in this report and are defined:
ADR American Depositary Receipt
CLO Collateralized Loan Obligation
CMT Constant Maturity Treasury
FGIC Financial Guaranty Insurance Co.
FLR Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted.
REIT Real Estate Investment Trust
SOFR Secured Overnight Financing Rate
TBA To Be Announced
UMBS Uniform Mortgage-Backed Security
Derivative Contracts at 6/30/24
Futures Contracts
Description Long/
Short 		Currency Contracts Notional
Amount 		Expiration
Date 		Value/Unrealized
Appreciation
(Depreciation)
Asset Derivatives
Interest Rate Futures 
U.S. Treasury Note 2 yr Long USD 974 $198,909,062 September – 2024 $479,863
U.S. Treasury Note 5 yr Long USD 1,549 165,089,516 September – 2024 1,071,539
U.S. Treasury Ultra Bond 30 yr Long USD 589 73,827,469 September – 2024 697,170
            $2,248,572
Liability Derivatives
Interest Rate Futures 
U.S. Treasury Ultra Note 10 yr Short USD 728 $82,650,750 September – 2024 $(958,017)
At June 30, 2024, the fund had liquid securities with an aggregate value of $5,331,563 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.
13
Supplemental Information
6/30/24 (unaudited)
The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies.
(1) Investment Valuations
Subject to its oversight, the fund's Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments to MFS as the fund's adviser, pursuant to the fund’s valuation policy and procedures which have been adopted by the adviser and approved by the Board. In accordance with Rule 2a-5 under the Investment Company Act of 1940, the Board of Trustees designated the adviser as the “valuation designee” of the fund. If the adviser, as valuation designee, determines that reliable market quotations are not readily available for an investment, the investment is valued at fair value as determined in good faith by the adviser in accordance with the adviser’s fair valuation policy and procedures.
Under the fund's valuation policy and procedures, equity securities, including restricted equity securities, are generally valued at the last sale or official closing price on their primary market or exchange as provided by a third-party pricing service. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation on their primary market or exchange as provided by a third-party pricing service. Debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party pricing service. Open-end investment companies are generally valued at net asset value per share. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.
Under the fund’s valuation policy and procedures, market quotations are not considered to be readily available for debt instruments, floating rate loans, and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services or otherwise determined by the adviser in accordance with the adviser’s fair valuation policy and procedures. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. In determining values, third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, spreads and other market data. An investment may also be valued at fair value if the adviser determines that the investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund’s net asset value, or after the halt of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. Events that occur after foreign markets close (such as developments in foreign markets and significant movements in the U.S. markets) and prior to the determination of the fund’s net asset value may be deemed to have a material effect on the value of securities traded in foreign markets. Accordingly, the fund’s foreign equity securities may often be valued at fair value. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.
Various inputs are used in determining the value of the fund's assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund's assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk).
14
Supplemental Information (unaudited) – continued
Level 3 includes significant unobservable inputs, which may include the adviser's own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts. The following is a summary of the levels used as of June 30, 2024 in valuing the fund's assets and liabilities:
Financial Instruments Level 1 Level 2 Level 3 Total
Equity Securities:        
United States $4,329,380,900 $— $— $4,329,380,900
United Kingdom 82,595,394 — — 82,595,394
Canada 49,594,248 — — 49,594,248
Germany 38,123,522 — — 38,123,522
Switzerland 37,181,040 — — 37,181,040
South Korea — 24,857,163 — 24,857,163
Taiwan 17,267,502 — — 17,267,502
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents — 614,020,705 — 614,020,705
Non - U.S. Sovereign Debt — 2,359,288 — 2,359,288
Municipal Bonds — 28,777,088 — 28,777,088
U.S. Corporate Bonds — 686,706,004 — 686,706,004
Residential Mortgage-Backed Securities — 983,181,263 — 983,181,263
Commercial Mortgage-Backed Securities — 130,254,779 — 130,254,779
Asset-Backed Securities (including CDOs) — 344,991,120 — 344,991,120
Foreign Bonds — 289,037,070 — 289,037,070
Mutual Funds 215,630,512 — — 215,630,512
Total $4,769,773,118 $3,104,184,480 $— $7,873,957,598
Other Financial Instruments        
Futures Contracts – Assets $2,248,572 $— $— $2,248,572
Futures Contracts – Liabilities (958,017) — — (958,017)
For further information regarding security characteristics, see the Portfolio of Investments.
(2) Investments in Affiliated Issuers
An affiliated issuer may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the following were affiliated issuers:
Affiliated Issuers Beginning
Value 		Purchases Sales
Proceeds 		Realized
Gain
(Loss) 		Change in
Unrealized
Appreciation or
Depreciation 		Ending
Value
MFS Institutional Money Market Portfolio $96,489,227 $925,530,953 $806,394,212 $(590) $5,134 $215,630,512
Affiliated Issuers Dividend
Income 		Capital Gain
Distributions
MFS Institutional Money Market Portfolio $5,329,634 $—
15