N-Q 1 d276153dnq.htm MFS SERIES TRUST III N-Q MFS SERIES TRUST III N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-02794

MFS SERIES TRUST III

(Exact name of registrant as specified in charter)

111 Huntington Avenue, Boston, Massachusetts 02199

(Address of principal executive offices) (Zip code)

Christopher R. Bohane

Massachusetts Financial Services Company

111 Huntington Avenue

Boston, Massachusetts 02199

(Name and address of agents for service)

Registrant’s telephone number, including area code: (617) 954-5000

Date of fiscal year end: January 31

Date of reporting period: October 31, 2016

ITEM 1. SCHEDULE OF INVESTMENTS.

QUARTERLY REPORT

October 31, 2016

 

LOGO

 

MFS® GLOBAL HIGH YIELD FUND

 

LOGO

PORTFOLIO OF INVESTMENTS

10/31/16 (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 - 30.7%                 
Aerospace - 0.3%                 
TA Aerospace, 3.625%, 4/15/2023 (n)    EUR 1,225,000      $ 1,323,934   
Asset-Backed & Securitized - 0.1%                 
Citigroup Commercial Mortgage Trust, FRN, 5.711%, 12/10/2049    $ 2,500,000      $ 206,133   
Crest Ltd., CDO, 7%, 1/28/2040 (a)(p)      1,532,951        179,386   
Falcon Franchise Loan LLC, FRN, 306.234%, 1/05/2025 (i)(z)      3,018        733   
LB Commercial Conduit Mortgage Trust, FRN, 1.092%, 2/18/2030 (i)      109,307        96   
Morgan Stanley Capital I, Inc., FRN, 1.478%, 4/28/2039 (i)(z)      511,952        3,563   
    

 

 

  
      $ 389,911   
Automotive - 1.0%                 
IHO Verwaltungs GbmH, 3.75%, 9/15/2026 (z)    EUR 1,000,000      $ 1,084,117   
Schaeffler Finance B.V., 3.25%, 5/15/2025 (n)    EUR 905,000        1,067,974   
Volkswagen International Finance N.V., 3.5% to 3/20/2030, FRN to 12/31/2049    EUR 1,080,000        1,086,278   
ZF North America Capital, Inc., 4.5%, 4/29/2022 (n)    $ 200,000        211,750   
ZF North America Capital, Inc., 4.75%, 4/29/2025 (n)      705,000        743,775   
    

 

 

  
      $ 4,193,894   
Building - 2.4%                 
CEMEX S.A.B. de C.V., 5.7%, 1/11/2025    $ 200,000      $ 203,500   
Cimpor Financial Operations B.V., 5.75%, 7/17/2024 (n)      918,000        792,959   
Cimpor Financial Operations B.V., 5.75%, 7/17/2024      1,265,000        1,092,694   
Elementia S.A. de C.V., 5.5%, 1/15/2025 (n)      1,664,000        1,693,952   
Grupo Cementos de Chihuahua S.A.B. de C.V., 8.125%, 2/08/2020      1,563,000        1,645,058   
Grupo Cementos de Chihuahua S.A.B. de C.V., 8.125%, 2/08/2020 (n)      795,000        836,738   
Paroc Group Oy, 6.25%, 5/15/2020    EUR 1,125,000        1,262,447   
Titan Global Finance PLC, 4.25%, 7/10/2019    EUR 1,125,000        1,291,530   
Union Andina de Cementos S.A.A., 5.875%, 10/30/2021 (n)    $ 1,627,000        1,690,453   
    

 

 

  
      $ 10,509,331   
Business Services - 0.3%   
Worldpay Finance PLC, 3.75%, 11/15/2022    EUR 540,000      $ 638,726   
Worldpay Finance PLC, 3.75%, 11/15/2022 (n)    EUR 479,000        566,573   
    

 

 

  
      $ 1,205,299   
Cable TV - 2.9%                 
Altice Financing S.A., 6.625%, 2/15/2023 (n)    $ 400,000      $ 412,000   
Altice Financing S.A., 7.5%, 5/15/2026 (n)      1,775,000        1,828,250   
Altice Finco S.A., 8.125%, 1/15/2024 (n)      278,000        284,950   
Cogeco Communications, Inc., 4.875%, 5/01/2020 (n)      1,135,000        1,171,888   
LGE Holdco VI B.V., 7.125%, 5/15/2024    EUR 380,000        471,374   
LGE Holdco VI B.V., 7.125%, 5/15/2024 (n)    $ 755,000        936,545   
Telenet Group Holding N.V., 6.25%, 8/15/2022 (n)    EUR 780,000        909,760   
Unitymedia Hessen NRW GmbH, 6.25%, 1/15/2029    EUR 960,000        1,169,783   
Unitymedia KabelBW GmbH, 6.125%, 1/15/2025 (n)    $ 200,000        208,500   
Videotron Ltd., 5.375%, 6/15/2024 (n)      1,590,000        1,663,538   
Virgin Media Secured Finance PLC, 5.375%, 4/15/2021 (n)      814,500        840,971   
Virgin Media Secured Finance PLC, 5.25%, 1/15/2026 (n)      485,000        480,005   
VTR Finance B.V., 6.875%, 1/15/2024 (n)      1,320,000        1,381,050   
Ziggo Bond Co. B.V., 3.75%, 1/15/2025    EUR 900,000        991,877   
    

 

 

  
      $ 12,750,491   

 

1

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Chemicals - 1.3%                 
Axalta Coating Systems Dutch Holding B.V., 3.75%, 1/15/2025 (n)    EUR 1,435,000      $ 1,577,240   
Consolidated Energy Finance S.A., 6.75%, 10/15/2019 (n)    $ 1,354,000        1,354,000   
Consolidated Energy Finance S.A., 6.75%, 10/15/2019      200,000        200,000   
INEOS Group Holdings S.A., 5.75%, 2/15/2019    EUR 760,000        855,080   
SPCM S.A., 2.875%, 6/15/2023    EUR 720,000        787,977   
SPCM S.A., 2.875%, 6/15/2023 (n)    EUR 647,000        708,085   
    

 

 

  
      $ 5,482,382   
Conglomerates - 0.6%                 
Grupo Kuo S.A.B. de C.V., 6.25%, 12/04/2022    $ 1,505,000      $ 1,538,682   
Votorantim Cimentos S.A., 7.25%, 4/05/2041      1,154,000        1,122,265   
    

 

 

  
      $ 2,660,947   
Construction - 0.5%                 
Buzzi Unicem S.p.A., 2.125%, 4/28/2023    EUR 1,440,000      $ 1,609,648   
Empresas ICA S.A.B. de C.V., 8.375%, 7/24/2017 (a)(d)(n)    $ 150,000        28,125   
Empresas ICA S.A.B. de C.V., 8.375%, 7/24/2017 (a)(d)      291,000        54,563   
Empresas ICA S.A.B. de C.V., 8.9%, 2/04/2021 (a)(d)      1,639,000        305,264   
Empresas ICA S.A.B. de C.V., 8.875%, 5/29/2024 (a)(d)(n)      915,000        170,190   
    

 

 

  
      $ 2,167,790   
Consumer Services - 0.5%                 
Grupo Posadas S.A.B. de C.V., 7.875%, 6/30/2022 (n)    $ 2,049,000      $ 2,121,740   
Containers - 0.6%                 
Ardagh Packaging Finance PLC, 4.125%, 5/15/2023    EUR 1,260,000      $ 1,448,865   
San Miguel Industrias PET S.A., 7.75%, 11/06/2020 (n)    $ 1,211,000        1,279,422   
    

 

 

  
      $ 2,728,287   
Emerging Market Quasi-Sovereign - 2.2%                 
Banco de Reservas de la Republica Dominicana, 7%, 2/01/2023 (n)    $ 606,000      $ 618,120   
Banco do Brasil S.A., 6.25% to 4/15/2024, FRN to 12/31/2049 (n)      935,000        691,900   
Banco do Brasil S.A., 9% to 6/18/2024, FRN to 12/31/2049      910,000        842,660   
Gazprom OAO Via Gaz Capital S.A., 4.95%, 7/19/2022      1,640,000        1,684,027   
Petrobras Global Finance B.V., 8.375%, 5/23/2021      1,211,000        1,339,729   
Petrobras Global Finance B.V., 8.75%, 5/23/2026      71,000        79,982   
Petrobras Global Finance B.V., 4.375%, 5/20/2023      1,181,000        1,070,281   
Petrobras Global Finance B.V., 6.25%, 3/17/2024      1,080,000        1,067,580   
Sberbank of Russia, 5.25%, 5/23/2023      1,115,000        1,092,700   
Southern Gas Corridor CJSC, 6.875%, 3/24/2026 (n)      422,000        476,050   
Trade & Development Bank of Mongolia LLC, 9.375%, 5/19/2020 (n)      600,000        594,862   
    

 

 

  
      $ 9,557,891   
Emerging Market Sovereign - 2.2%                 
Dominican Republic, 7.5%, 5/06/2021 (n)    $ 790,000      $ 869,158   
Dominican Republic, 6.6%, 1/28/2024 (n)      122,000        132,370   
Dominican Republic, 5.875%, 4/18/2024 (n)      111,000        115,176   
Dominican Republic, 7.45%, 4/30/2044 (n)      107,000        118,770   
Government of Jamaica, 7.875%, 7/28/2045      499,000        575,167   
Republic of Argentina, 6.875%, 4/22/2021 (n)      255,000        275,910   
Republic of Argentina, 7.5%, 4/22/2026 (n)      1,204,000        1,315,370   
Republic of Argentina, 7.125%, 7/06/2036 (n)      851,000        877,381   
Republic of Croatia, 5.5%, 4/04/2023 (n)      1,064,000        1,159,760   
Republic of Ecuador, 10.5%, 3/24/2020 (n)      1,446,000        1,525,530   
Republic of Sri Lanka, 6.125%, 6/03/2025      1,143,000        1,145,954   

 

2

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Emerging Market Sovereign - continued                 
Republic of Venezuela, 7%, 3/31/2038    $ 965,000      $ 403,853   
Russian Federation, 5%, 4/29/2020      800,000        853,504   
    

 

 

  
      $ 9,367,903   
Energy - Independent - 0.0%                 
Afren PLC, 6.625%, 12/09/2020 (a)(d)(n)    $ 528,000      $ 53   
Afren PLC, 11.5%, 2/01/2017 (a)(d)(n)      1,000,000        100   
Seven Generations Energy, 8.25%, 5/15/2020 (n)      140,000        148,400   
    

 

 

  
      $ 148,553   
Energy - Integrated - 1.0%                 
Cenovus Energy, Inc., 6.75%, 11/15/2039    $ 350,000      $ 390,701   
Inkia Energy Ltd., 8.375%, 4/04/2021      1,597,000        1,660,880   
LUKOIL International Finance B.V., 4.563%, 4/24/2023      1,655,000        1,675,886   
Pacific Rubiales Energy Corp., 7.25%, 12/12/2021 (n)      2,406,000        481,200   
    

 

 

  
      $ 4,208,667   
Entertainment - 0.4%                 
CPUK Finance Ltd., 7%, 2/28/2042    GBP 360,000      $ 465,276   
CPUK Finance Ltd., 7%, 2/28/2042 (n)    GBP 1,110,000        1,434,602   
    

 

 

  
      $ 1,899,878   
Food & Beverages - 0.9%                 
Central American Bottling Corp., 6.75%, 2/09/2022    $ 1,295,000      $ 1,340,325   
JBS Investments GmbH, 7.75%, 10/28/2020 (n)      979,000        1,020,608   
JBS Investments GmbH, 7.25%, 4/03/2024      538,000        543,380   
Marfrig Holdings (Europe) B.V., 8%, 6/08/2023 (n)      760,000        784,700   
    

 

 

  
      $ 3,689,013   
Gaming & Lodging - 0.6%                 
Cirsa Funding Luxembourg S.A., 5.875%, 5/15/2023    EUR 1,250,000      $ 1,430,505   
Great Canadian Gaming Corp., 6.625%, 7/25/2022 (n)    CAD 1,375,000        1,076,381   
    

 

 

  
      $ 2,506,886   
Industrial - 0.7%                 
Galapagos Holding S.A., 7%, 6/15/2022    EUR 1,031,000      $ 933,719   
Galapagos S.A., 5.375%, 6/15/2021    EUR 281,000        297,671   
Transfield Services Ltd., 8.375%, 5/15/2020 (n)    $ 1,500,000        1,595,625   
    

 

 

  
      $ 2,827,015   
International Market Quasi-Sovereign - 0.3%                 
Electricite de France S.A., 5.375% to 1/29/2025, FRN to 12/31/2049    EUR 1,100,000      $ 1,242,319   
Machinery & Tools - 1.1%                 
Ashtead Capital, Inc., 5.625%, 10/01/2024 (n)    $ 620,000      $ 652,550   
CNH Industrial Finance Europe S.A., 2.875%, 5/17/2023    EUR 2,160,000        2,447,016   
Loxam SAS, 7%, 7/23/2022    EUR 1,500,000        1,782,472   
    

 

 

  
      $ 4,882,038   
Major Banks - 1.5%                 
Banco Bilbao Vizcaya Argentaria S.A. , 8.875% to 4/14/2021, FRN to 12/31/2049    EUR 800,000      $ 946,260   
Barclays PLC, 8%, 12/31/2049    EUR 1,080,000        1,213,727   
Royal Bank of Scotland Group PLC, 6%, 12/19/2023    $ 1,850,000        1,909,635   
Royal Bank of Scotland Group PLC, 3.625% to 3/25/2019, FRN to 3/25/2024    EUR 1,850,000        2,016,936   
Royal Bank of Scotland Group PLC, 7.5% to 8/10/2020, FRN to 12/31/2049    $ 325,000        298,188   
    

 

 

  
      $ 6,384,746   

 

3

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Medical & Health Technology & Services - 0.3%                 
Medi-Partenaires SAS, 7%, 5/15/2020    EUR 1,300,000      $ 1,496,516   
Metals & Mining - 0.6%                 
Bluescope Steel Finance Ltd./Bluescope Steel, 6.5%, 5/15/2021 (n)    $ 475,000      $ 501,173   
Freeport-McMoRan, Inc., 5.45%, 3/15/2043      230,000        190,900   
Hudbay Minerals, Inc., 9.5%, 10/01/2020      175,000        179,375   
Lundin Mining Corp., 7.5%, 11/01/2020 (n)      150,000        159,375   
Lundin Mining Corp., 7.875%, 11/01/2022 (n)      150,000        162,000   
Petra Diamonds U.S. Treasury PLC, 8.25%, 5/31/2020      360,000        372,150   
Petra Diamonds U.S. Treasury PLC, 8.25%, 5/31/2020 (n)      955,000        987,231   
    

 

 

  
      $ 2,552,204   
Network & Telecom - 0.9%                 
Columbus International, Inc., 7.375%, 3/30/2021 (n)    $ 1,387,000      $ 1,484,090   
Columbus International, Inc., 7.375%, 3/30/2021      200,000        214,000   
Telecom Italia S.p.A., 5.303%, 5/30/2024 (n)      2,240,000        2,276,400   
    

 

 

  
      $ 3,974,490   
Oil Services - 0.1%                 
Odebrecht Offshore Drilling Finance Ltd., 6.75%, 10/01/2022 (n)    $ 1,645,127      $ 331,082   
Oils - 0.1%                 
CITGO Holding, Inc., 10.75%, 2/15/2020 (n)    $ 275,000      $ 280,775   
Other Banks & Diversified Financials - 2.2%                 
Banco de Bogota S.A., 6.25%, 5/12/2026 (z)    $ 1,199,000      $ 1,237,968   
Banco de Bogota S.A., 6.25%, 5/12/2026 (n)      938,000        968,485   
Banco Popolare Societa Cooperativa, 3.5%, 3/14/2019    EUR 1,280,000        1,463,324   
BBVA Subordinated Capital S.A.U., 3.5% to 4/11/2019, FRN to 4/11/2024    EUR 900,000        1,035,762   
Deutsche Bank AG , 6% to 4/30/2022, FRN to 12/31/2049    EUR 900,000        765,681   
Groupe BPCE S.A., 12.5% to 9/30/2019, FRN to 12/31/2049 (n)      407,000        514,171   
ING Groep N.V., 6.5% to 4/16/2025. FRN to 12/31/2049      1,850,000        1,826,875   
UBS AG, 6.875%, 12/31/2049      710,000        702,619   
UniCredit S.p.A. , 6.75% to 9/10/2021, FRN to 12/31/2049    EUR 1,080,000        1,046,266   
    

 

 

  
      $ 9,561,151   
Pollution Control - 0.1%                 
Paprec Holding S.A., 5.25%, 4/01/2022 (n)    EUR 365,000      $ 423,117   
Restaurants - 0.3%                 
Stonegate Pub Co. Financing PLC, 5.75%, 4/15/2019    GBP 1,075,000      $ 1,348,037   
Retailers - 0.7%                 
AA Bond Co. Ltd., 5.5%, 7/31/2022 (n)    GBP 545,000      $ 663,745   
AA Bond Co. Ltd., 5.5%, 7/31/2022    GBP 400,000        487,152   
Dufry Finance S.C.A., 4.5%, 8/01/2023    EUR 1,080,000        1,265,596   
Kirk Beauty Zero GmbH, 6.25%, 7/15/2022 (n)    EUR 600,000        717,928   
    

 

 

  
      $ 3,134,421   
Supermarkets - 0.3%                 
Casino Guichard Perrachon S.A., 4.87% to 1/31/2019, FRN to 12/31/2049    EUR 1,200,000      $ 1,271,194   
Telecommunications - Wireless - 2.3%                 
Altice Luxembourg S.A., 7.75%, 5/15/2022 (n)    $ 930,000      $ 971,269   
Altice Luxembourg S.A., 7.625%, 2/15/2025 (n)      200,000        208,000   
Comcel Trust, 6.875%, 2/06/2024 (n)      459,000        469,328   

 

4

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Telecommunications - Wireless - continued                 
Digicel Group Ltd., 8.25%, 9/30/2020 (n)    $ 423,000      $ 374,355   
Digicel Group Ltd., 6%, 4/15/2021 (n)      1,436,000        1,284,789   
Digicel Group Ltd., 6.75%, 3/01/2023 (n)      400,000        358,880   
Digicel Group Ltd., 6.75%, 3/01/2023      341,000        305,945   
Millicom International Cellular S.A., 4.75%, 5/22/2020 (n)      768,000        770,993   
Millicom International Cellular S.A., 6.625%, 10/15/2021 (n)      1,314,000        1,374,838   
MTS International Funding Ltd., 5%, 5/30/2023 (n)      2,138,000        2,210,264   
VimpelCom Ltd., 5.95%, 2/13/2023 (n)      1,550,000        1,592,625   
    

 

 

  
      $ 9,921,286   
Transportation - Services - 0.5%                 
Europcar Groupe S.A., 5.75%, 6/15/2022    EUR 1,080,000      $ 1,237,901   
Navios South American Logistics, Inc., 7.25%, 5/01/2022    $ 335,000        264,650   
Navios South American Logistics, Inc./Navios Logistics Finance (U.S.), Inc., 7.25%, 5/01/2022 (n)      990,000        782,100   
Ultrapetrol Bahamas Ltd., 8.875%, 6/15/2021 (a)(d)      147,000        27,930   
    

 

 

  
      $ 2,312,581   
Utilities - Electric Power - 0.9%                 
Enel S.p.A., 8.75% to 9/24/2023, FRN to 9/24/2073 (n)    $ 955,000      $ 1,114,485   
Greenko Dutch B.V., 8%, 8/01/2019 (n)      1,060,000        1,132,202   
TerraForm Global Operating LLC, 13.75%, 8/15/2022 (n)      1,730,000        1,799,200   
    

 

 

  
             $ 4,045,887   
Total Bonds      $ 132,901,656   
Underlying Affiliated Funds - 67.4%                 
MFS High Yield Pooled Portfolio (v)      31,731,140      $ 291,609,180   
Money Market Funds - 1.9%                 
MFS Institutional Money Market Portfolio, 0.45% (v)      8,291,372      $ 8,291,372   
Total Investments      $ 432,802,208   
Other Assets, Less Liabilities - 0.0%        130,679   
Net Assets - 100.0%      $ 432,932,887   

 

(a) Non-income producing security.
(d) In default.
(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 $66,161,843, representing 15.3% of net assets.
(p) Payment-in-kind security.
(v) Underlying affiliated fund that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end.
(z) Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities:

 

Restricted Securities    Acquisition
Date		     
Cost		      Value  
Banco de Bogota S.A., 6.25%, 5/12/2026      10/28/16         $1,224,838         $1,237,968   
Falcon Franchise Loan LLC, FRN, 306.234%, 1/05/2025      1/29/03         287         733   
IHO Verwaltungs GbmH, 3.75%, 9/15/2026      10/17/16         1,104,514         1,084,117   
Morgan Stanley Capital I, Inc., FRN, 1.478%, 4/28/2039      7/20/04         57,666         3,563   
Total Restricted Securities            $2,326,381   
% of Net assets         0.5%   

 

5

Portfolio of Investments (unaudited) – continued

 

The following abbreviations are used in this report and are defined:

 

CDO   Collateralized Debt Obligation
FRN   Floating Rate Note. Interest rate resets periodically and the current rate may not be the rate reported at period end.
PLC   Public Limited Company

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:

 

CAD   Canadian Dollar
EUR   Euro
GBP   British Pound

Derivative Contracts at 10/31/16

Forward Foreign Currency Exchange Contracts at 10/31/16

 

Type   Currency     Counterparty   Contracts to
Deliver/Receive		   Settlement
Date Range		   In Exchange
For		     Contracts
at Value		     Net Unrealized
Appreciation
(Depreciation)		  
Asset Derivatives               
SELL     CAD     

Merrill Lynch International

   1,375,000   12/09/16     $1,042,575        $1,025,394        $17,181   
SELL     EUR     

Goldman Sachs

   32,100,690   12/09/16     36,086,366        35,295,051        791,315   
SELL     EUR     

Morgan Stanley Capital Services, Inc.

   6,709,032   12/09/16     7,413,462        7,376,652        36,810   
SELL     GBP     

Merrill Lynch International

   4,022,433   12/09/16     5,235,900        4,927,448        308,452   
             

 

 

  
                $1,153,758   
             

 

 

  
Liability Derivatives          
BUY     EUR     

Goldman Sachs

   1,267,413   12/09/16     $1,404,713        $1,393,534        $(11,179 ) 
BUY     EUR     

UBS AG

   833,679   12/09/16     920,132        916,639        (3,493 ) 
SELL     EUR     

Barclays Bank PLC

   107,458   12/09/16     118,043        118,151        (108 ) 
SELL     EUR     

Brown Brothers Harriman

   860,780   12/09/16     940,530        946,437        (5,907 ) 
SELL     EUR     

Citibank

   215,116   12/09/16     236,411        236,522        (111 ) 
SELL     EUR     

Morgan Stanley Capital Services, Inc.

   1,711,317   12/09/16     1,881,364        1,881,611        (247 ) 
SELL     GBP     

Brown Brothers Harriman

   386,442   12/09/16     469,975        473,389        (3,414 ) 
             

 

 

  
                $(24,459 ) 
             

 

 

  

Derivative Contracts at 10/31/16

Futures Contracts at 10/31/16

 

Description    Currency      Contracts      Value    Expiration Date      Unrealized
Appreciation
(Depreciation)		  
Asset Derivatives               
Interest Rate Futures               
U.S. Treasury Note 10 yr (Short)      USD         12       $1,555,500      December - 2016         $19,458   
              

 

 

  

At October 31, 2016, the fund had cash collateral of $16,200 to cover any commitments 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.

 

6

Supplemental Information

10/31/16 (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 Standard Codification Topic 946 Financial Services – Investment Companies.

(1) Investment Valuations

The investments of the fund and the MFS High Yield Pooled Portfolio are valued as described below. 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. 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. 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 as provided by a third-party pricing service on the market on which they are primarily traded. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation as provided by a third-party pricing service on the market on which such futures contracts are primarily traded. 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. Values obtained from 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 halting of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.

Various inputs are used in determining the value of the fund’s assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. Other

 

7

Supplemental Information (unaudited) – continued

 

financial instruments are derivative instruments not reflected in total investments, such as futures contracts, and forward foreign currency exchange contracts. The following is a summary of the levels used as of October 31, 2016 in valuing the fund’s assets or liabilities:

 

Investments at Value    Level 1      Level 2      Level 3      Total  
Non-U.S. Sovereign Debt      $—         $20,168,111         $—         $20,168,111   
U.S. Corporate Bonds      —         3,372,849         —         3,372,849   
Commercial Mortgage-Backed Securities      —         210,525         —         210,525   
Asset-Backed Securities (including CDOs)      —         179,386         —         179,386   
Foreign Bonds      —         108,970,785         —         108,970,785   
Mutual Funds      299,900,552         —         —         299,900,552   
Total Investments      $299,900,552         $132,901,656         $—         $432,802,208   
Other Financial Instruments                            
Futures Contracts      $19,458         $—         $—         $19,458   
Forward Foreign Currency Contracts      —         1,129,299         —         1,129,299   

For further information regarding security characteristics, see the Portfolio of Investments. Please refer to the High Yield Pooled Portfolio’s shareholder report for further information regarding the levels used in valuing its assets or liabilities.

(2) Portfolio Securities

The cost and unrealized appreciation and depreciation in the value of the investments owned by the fund, as computed on a federal income tax basis, are as follows:

 

Aggregate cost      $469,407,931   
Gross unrealized appreciation      3,962,835   
Gross unrealized depreciation      (40,568,558 ) 
Net unrealized appreciation (depreciation)      $(36,605,723 ) 

The aggregate cost above includes prior fiscal year end tax adjustments, if applicable.

(3) Transactions in Underlying Affiliated Funds – 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 fund assumes the following to be affiliated issuers:

 

Underlying Affiliated Funds    Beginning
Shares/Par
Amount		      Acquisitions
Shares/Par
Amount		      Dispositions
Shares/Par
Amount		      Ending
Shares/Par
Amount		  
MFS High Yield Pooled Portfolio      33,012,769         3,051,125         (4,332,754 )       31,731,140   
MFS Institutional Money Market Portfolio      4,900,492         61,781,403         (58,390,523 )       8,291,372   
Underlying Affiliated Funds    Realized
Gain (Loss)		      Capital Gain
Distributions		      Dividend
Income		      Ending
Value		  
MFS High Yield Pooled Portfolio      $(878,027 )       $—         $14,322,618         $291,609,180   
MFS Institutional Money Market Portfolio      130            27,199         8,291,372   
  

 

 

     

 

 

     

 

 

     

 

 

  
     $(877,897 )       $—         $14,349,817         $299,900,552   
  

 

 

     

 

 

     

 

 

     

 

 

  

(4) Issuer Country Weightings

Issuer country weighting percentages of portfolio holdings based on net assets, as of October 31, 2016, are as follows:

 

United States     61.1%   
United Kingdom     4.3%   
Canada     3.7%   
Brazil     3.1%   
Germany     2.9%   
Italy     2.6%   
Luxembourg     2.5%   
France     2.5%   
Netherlands     2.2%   
Other Countries     15.1%   

This issuer country weighting percentages include both accrued interest amounts and the equivalent exposure from any derivative holdings, if applicable.

 

8

QUARTERLY REPORT

October 31, 2016

 

LOGO

 

MFS® HIGH INCOME FUND

 

LOGO

PORTFOLIO OF INVESTMENTS

10/31/16 (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 - 92.6%                 
Aerospace - 0.8%                 
CPI International, Inc., 8.75%, 2/15/2018    $ 5,857,000      $ 5,944,827   
TransDigm, Inc., 6%, 7/15/2022      1,095,000        1,141,538   
TransDigm, Inc., 6.5%, 7/15/2024      3,865,000        4,067,913   
    

 

 

  
      $ 11,154,278   
Asset-Backed & Securitized - 0.0%                 
Citigroup Commercial Mortgage Trust, FRN, 5.711%, 12/10/2049    $ 2,948,120      $ 243,081   
CW Capital Cobalt Commercial Mortgage Trust, “F”, CDO, FRN, 2.183%, 4/26/2050 (a)(z)(p)      685,700        7   
CW Capital Cobalt Commercial Mortgage Trust, “G”, CDO, FRN, 2.383%, 4/26/2050 (a)(z)(p)      2,154,805        22   
Falcon Franchise Loan LLC, FRN, 441.768%, 1/05/2025 (i)(z)      23,788        5,775   
LB Commercial Conduit Mortgage Trust, FRN, 1.092%, 2/18/2030 (i)      744,728        656   
Morgan Stanley Capital I, Inc., FRN, 1.478%, 4/28/2039 (i)(z)      2,440,809        16,988   
    

 

 

  
      $ 266,529   
Automotive - 1.8%                 
Accuride Corp., 9.5%, 8/01/2018    $ 3,760,000      $ 3,750,600   
Allison Transmission, Inc., 5%, 10/01/2024 (n)      6,268,000        6,393,355   
Gates Global LLC, 6%, 7/15/2022 (n)      3,535,000        3,340,575   
IHO Verwaltungs GmbH, 4.75%, 9/15/2026 (n)      5,440,000        5,426,400   
ZF North America Capital, Inc., 4.5%, 4/29/2022 (n)      4,445,000        4,706,144   
ZF North America Capital, Inc., 4.75%, 4/29/2025 (n)      3,505,000        3,697,775   
    

 

 

  
      $ 27,314,849   
Broadcasting - 2.5%                 
AMC Networks, Inc., 5%, 4/01/2024    $ 2,940,000      $ 2,976,750   
CBS Radio, Inc., 7.25%, 11/01/2024 (z)      2,630,000        2,731,913   
Clear Channel Worldwide Holdings, Inc., “A”, 6.5%, 11/15/2022      1,810,000        1,819,050   
Clear Channel Worldwide Holdings, Inc., “B”, 6.5%, 11/15/2022      4,655,000        4,741,118   
iHeartMedia, Inc., 9%, 3/01/2021      4,447,000        3,179,605   
Liberty Media Corp., 8.5%, 7/15/2029      4,285,000        4,756,350   
Liberty Media Corp., 8.25%, 2/01/2030      40,000        42,800   
Match Group, Inc., 6.375%, 6/01/2024      3,445,000        3,720,600   
Netflix, Inc., 5.375%, 2/01/2021      3,625,000        3,928,594   
Netflix, Inc., 5.875%, 2/15/2025      2,490,000        2,760,788   
Netflix, Inc., 4.375%, 11/15/2026 (z)      2,365,000        2,326,569   
Nexstar Broadcasting, Inc., 6.875%, 11/15/2020      4,675,000        4,844,469   
    

 

 

  
      $ 37,828,606   
Building - 2.9%                 
Allegion PLC, 5.875%, 9/15/2023    $ 2,480,000      $ 2,672,200   
Allegion U.S. Holding Co., Inc., 5.75%, 10/01/2021      5,671,000        5,904,929   
Beacon Roofing Supply, Inc., 6.375%, 10/01/2023      4,495,000        4,809,650   
Gibraltar Industries, Inc., 6.25%, 2/01/2021      4,755,000        4,927,369   
HD Supply, Inc., 5.75%, 4/15/2024 (n)      4,230,000        4,441,500   
PriSo Acquisition Corp., 9%, 5/15/2023 (n)      5,105,000        4,964,613   
Standard Industries, Inc., 5.375%, 11/15/2024 (n)      4,155,000        4,295,231   
Standard Industries, Inc., 6%, 10/15/2025 (n)      4,355,000        4,648,745   
Summit Materials LLC/Summit Materials Finance Co., 6.125%, 7/15/2023      6,630,000        6,795,750   
    

 

 

  
      $ 43,459,987   
Business Services - 1.8%                 
Alliance Data Systems Corp., 5.875%, 11/01/2021 (z)    $ 4,720,000      $ 4,755,400   
Equinix, Inc., 4.875%, 4/01/2020      3,670,000        3,798,450   

 

1

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Business Services - continued                 
Equinix, Inc., 5.375%, 1/01/2022    $ 1,620,000      $ 1,717,200   
Equinix, Inc., 5.375%, 4/01/2023      3,135,000        3,272,156   
Equinix, Inc., 5.75%, 1/01/2025      1,045,000        1,105,088   
Iron Mountain, Inc., REIT, 6%, 10/01/2020 (n)      2,085,000        2,207,494   
Iron Mountain, Inc., REIT, 6%, 8/15/2023      5,205,000        5,530,313   
NeuStar, Inc., 4.5%, 1/15/2023      4,790,000        4,448,713   
    

 

 

  
      $ 26,834,814   
Cable TV - 5.7%                 
Altice Financing S.A., 6.625%, 2/15/2023 (n)    $ 8,260,000      $ 8,507,800   
CCO Holdings LLC, 5.25%, 9/30/2022      500,000        520,625   
CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023 (n)      5,480,000        5,658,100   
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 1/15/2024      7,745,000        8,190,338   
CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025 (n)      1,395,000        1,433,363   
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 2/15/2026 (n)      3,195,000        3,328,791   
Cequel Communications Holdings, 6.375%, 9/15/2020 (n)      3,890,000        4,006,700   
CSC Holdings LLC, 5.5%, 4/15/2027 (n)      5,960,000        6,045,675   
DISH DBS Corp., 5%, 3/15/2023      2,975,000        2,930,375   
DISH DBS Corp., 5.875%, 11/15/2024      5,540,000        5,578,088   
Intelsat Jackson Holdings S.A., 7.25%, 4/01/2019      2,880,000        2,322,000   
Intelsat Jackson Holdings S.A., 5.5%, 8/01/2023      3,675,000        2,434,688   
Intelsat Jackson Holdings S.A., 8%, 2/15/2024 (n)      1,215,000        1,221,075   
LGE Holdco VI B.V., 7.125%, 5/15/2024 (n)      2,225,000        2,760,018   
Lynx II Corp., 6.375%, 4/15/2023 (n)      2,635,000        2,687,700   
Sirius XM Radio, Inc., 4.625%, 5/15/2023 (n)      2,750,000        2,767,188   
Sirius XM Radio, Inc., 6%, 7/15/2024 (n)      5,565,000        5,905,856   
Sirius XM Radio, Inc., 5.375%, 4/15/2025 (n)      2,285,000        2,330,472   
Unitymedia Hessen, 5.5%, 1/15/2023 (n)      4,235,000        4,388,519   
Unitymedia KabelBW GmbH, 6.125%, 1/15/2025 (n)      3,000,000        3,127,500   
Virgin Media Finance PLC, 5.75%, 1/15/2025 (n)      1,125,000        1,113,750   
Virgin Media Secured Finance PLC, 5.375%, 4/15/2021 (n)      1,417,500        1,463,569   
Virgin Media Secured Finance PLC, 5.25%, 1/15/2026 (n)      3,950,000        3,909,315   
Ziggo Bond Finance B.V., 5.875%, 1/15/2025 (n)      2,600,000        2,580,500   
    

 

 

  
      $ 85,212,005   
Chemicals - 2.4%                 
Axalta Coating Systems Co., 4.875%, 8/15/2024 (n)    $ 4,050,000      $ 4,110,750   
Chemours Co., 6.625%, 5/15/2023      3,695,000        3,584,150   
GCP Applied Technologies Co., 9.5%, 2/01/2023 (n)      3,540,000        4,009,050   
Hexion U.S. Finance Corp., 6.625%, 4/15/2020      2,495,000        2,183,125   
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, 8.875%, 2/01/2018      2,445,000        2,323,973   
Momentive Performance Materials, Inc., 3.88%, 10/24/2021      4,155,000        3,697,950   
Tronox Finance LLC, 6.375%, 8/15/2020      6,250,000        5,609,375   
Tronox Finance LLC, 7.5%, 3/15/2022 (n)      3,830,000        3,427,850   
W.R. Grace & Co., 5.125%, 10/01/2021 (n)      5,885,000        6,267,525   
    

 

 

  
      $ 35,213,748   
Computer Software - 0.8%                 
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.02%, 6/15/2026 (n)    $ 4,180,000      $ 4,556,430   
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.875%, 6/15/2021 (n)      1,810,000        1,907,664   
VeriSign, Inc., 4.625%, 5/01/2023      5,390,000        5,551,700   
    

 

 

  
      $ 12,015,794   
Computer Software - Systems - 1.7%                 
CDW LLC/CDW Finance Corp., 6%, 8/15/2022    $ 2,200,000      $ 2,332,000   
CDW LLC/CDW Finance Corp., 5.5%, 12/01/2024      2,440,000        2,562,756   

 

2

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Computer Software - Systems - continued                 
JDA Software Group, Inc., 7.375%, 10/15/2024 (n)    $ 3,260,000      $ 3,365,950   
Quintiles IMS Holdings, Inc., 5%, 10/15/2026 (n)      4,420,000        4,569,175   
Sabre GLBL, Inc., 5.375%, 4/15/2023 (n)      7,225,000        7,414,656   
Western Digital Corp., 10.5%, 4/01/2024 (n)      4,315,000        4,983,825   
    

 

 

  
      $ 25,228,362   
Conglomerates - 2.8%                 
Amsted Industries Co., 5%, 3/15/2022 (n)    $ 7,720,000      $ 7,739,300   
Apex Tool Group, 7%, 2/01/2021 (n)      5,315,000        4,849,938   
EnerSys, 5%, 4/30/2023 (n)      8,560,000        8,774,000   
Enpro Industries, Inc., 5.875%, 9/15/2022      5,845,000        6,078,800   
Entegris, Inc., 6%, 4/01/2022 (n)      5,105,000        5,283,675   
Renaissance Acquisition, 6.875%, 8/15/2021 (n)      5,585,000        5,473,300   
SPX FLOW, Inc., 5.625%, 8/15/2024 (n)      3,830,000        3,882,663   
    

 

 

  
      $ 42,081,676   
Construction - 0.1%                 
Empresas ICA S.A.B. de C.V., 8.9%, 2/04/2021 (a)(d)    $ 2,555,000      $ 475,869   
Empresas ICA S.A.B. de C.V., 8.875%, 5/29/2024 (a)(d)(n)      1,546,000        287,556   
    

 

 

  
      $ 763,425   
Consumer Products - 1.0%                 
NBTY, Inc., 7.625%, 5/15/2021 (n)    $ 5,860,000      $ 5,728,150   
Prestige Brands, Inc., 5.375%, 12/15/2021 (n)      4,125,000        4,279,688   
Spectrum Brands, Inc., 6.125%, 12/15/2024      710,000        777,450   
Spectrum Brands, Inc., 5.75%, 7/15/2025      4,315,000        4,670,988   
    

 

 

  
      $ 15,456,276   
Consumer Services - 2.6%                 
ADT Corp., 6.25%, 10/15/2021    $ 8,055,000      $ 8,810,156   
ADT Corp., 4.125%, 6/15/2023      1,585,000        1,549,829   
Garda World Security Corp., 7.25%, 11/15/2021 (n)      3,555,000        3,395,025   
Garda World Security Corp., 7.25%, 11/15/2021 (n)      3,755,000        3,586,025   
Interval Acquisition Corp., 5.625%, 4/15/2023      7,655,000        7,903,788   
Mobile Mini, Inc., 5.875%, 7/01/2024      5,045,000        5,259,413   
Monitronics International, Inc., 9.125%, 4/01/2020      4,750,000        4,500,625   
Service Corp. International, 5.375%, 5/15/2024      3,295,000        3,459,750   
    

 

 

  
      $ 38,464,611   
Containers - 4.1%                 
Ball Corp., 5%, 3/15/2022    $ 3,515,000      $ 3,778,625   
Berry Plastics Group, Inc., 5.5%, 5/15/2022      5,470,000        5,688,800   
Berry Plastics Group, Inc., 6%, 10/15/2022      4,140,000        4,378,050   
Crown American LLC, 4.5%, 1/15/2023      5,170,000        5,299,250   
Crown American LLC, 4.25%, 9/30/2026 (n)      2,600,000        2,551,250   
Multi-Color Corp., 6.125%, 12/01/2022 (n)      5,755,000        5,999,588   
Plastipak Holdings, Inc., 6.5%, 10/01/2021 (n)      5,802,000        6,005,070   
Reynolds Group, 9.875%, 8/15/2019      106,000        108,650   
Reynolds Group, 5.75%, 10/15/2020      2,760,000        2,832,533   
Reynolds Group, 8.25%, 2/15/2021      7,720,000        8,065,478   
Reynolds Group, 5.125%, 7/15/2023 (n)      2,425,000        2,489,408   
Reynolds Group, 7%, 7/15/2024 (n)      305,000        325,969   
Sealed Air Corp., 4.875%, 12/01/2022 (n)      5,815,000        6,127,556   
Sealed Air Corp., 5.125%, 12/01/2024 (n)      1,355,000        1,432,913   
Signode Industrial Group, 6.375%, 5/01/2022 (n)      6,230,000        6,292,300   
    

 

 

  
      $ 61,375,440   

 

3

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Electronics - 1.3%                 
Micron Technology, Inc., 5.875%, 2/15/2022    $ 3,455,000      $ 3,568,670   
Micron Technology, Inc., 5.5%, 2/01/2025      1,780,000        1,744,952   
NXP B.V., 5.75%, 2/15/2021 (n)      2,100,000        2,184,000   
NXP B.V./NXP Funding LLC, 5.75%, 3/15/2023 (n)      4,875,000        5,191,875   
Sensata Technologies B.V., 5.625%, 11/01/2024 (n)      3,145,000        3,333,700   
Sensata Technologies B.V., 5%, 10/01/2025 (n)      3,310,000        3,392,750   
    

 

 

  
      $ 19,415,947   
Energy - Independent - 5.1%                 
Bonanza Creek Energy, Inc., 6.75%, 4/15/2021    $ 4,215,000      $ 2,560,613   
Carrizo Oil & Gas, Inc., 6.25%, 4/15/2023      6,400,000        6,576,000   
Chaparral Energy, Inc., 7.625%, 11/15/2022 (a)(d)      2,890,000        2,239,750   
Concho Resources, Inc., 5.5%, 4/01/2023      4,860,000        4,971,780   
Consol Energy, Inc., 5.875%, 4/15/2022      1,990,000        1,839,506   
Consol Energy, Inc., 8%, 4/01/2023      5,595,000        5,539,050   
Continental Resources, Inc., 4.5%, 4/15/2023      7,000,000        6,667,500   
Gulfport Energy Corp., 6%, 10/15/2024 (z)      4,465,000        4,548,719   
PDC Energy, Inc., 6.125%, 9/15/2024 (n)      6,320,000        6,572,800   
QEP Resources, Inc., 5.25%, 5/01/2023      6,660,000        6,543,450   
Range Resources Corp., 4.875%, 5/15/2025      6,965,000        6,655,127   
Rice Energy, Inc., 7.25%, 5/01/2023      5,945,000        6,301,700   
Sanchez Energy Corp., 6.125%, 1/15/2023      7,010,000        5,993,550   
Seven Generations Energy, 8.25%, 5/15/2020 (n)      2,970,000        3,148,200   
Whiting Petroleum Corp., 6.25%, 4/01/2023      5,900,000        5,442,750   
    

 

 

  
      $ 75,600,495   
Energy - Integrated - 0.5%                 
Cenovus Energy, Inc., 6.75%, 11/15/2039    $ 3,923,000      $ 4,379,202   
Cenovus Energy, Inc., 4.45%, 9/15/2042      3,175,000        2,783,053   
    

 

 

  
      $ 7,162,255   
Entertainment - 1.3%                 
AMC Entertainment Holdings, Inc., 5.875%, 11/15/2026 (z)    $ 940,000      $ 943,525   
Cedar Fair LP, 5.25%, 3/15/2021      5,270,000        5,465,359   
Cedar Fair LP, 5.375%, 6/01/2024      2,045,000        2,157,475   
Cinemark USA, Inc., 5.125%, 12/15/2022      3,780,000        3,883,950   
Cinemark USA, Inc., 4.875%, 6/01/2023      2,495,000        2,498,119   
Six Flags Entertainment Corp., 5.25%, 1/15/2021 (n)      4,755,000        4,897,650   
    

 

 

  
      $ 19,846,078   
Financial Institutions - 5.0%                 
Aircastle Ltd., 4.625%, 12/15/2018    $ 3,385,000      $ 3,528,863   
Aircastle Ltd., 5.125%, 3/15/2021      2,710,000        2,875,988   
Aircastle Ltd., 5.5%, 2/15/2022      5,290,000        5,673,525   
CIT Group, Inc., 5.25%, 3/15/2018      3,330,000        3,448,748   
CIT Group, Inc., 6.625%, 4/01/2018 (n)      5,369,000        5,637,450   
CIT Group, Inc., 5.5%, 2/15/2019 (n)      5,562,000        5,854,005   
CIT Group, Inc., 5%, 8/15/2022      1,690,000        1,801,963   
Credit Acceptance Corp., 6.125%, 2/15/2021      645,000        648,225   
Credit Acceptance Corp., 7.375%, 3/15/2023      4,665,000        4,816,613   
Icahn Enterprises LP, 6%, 8/01/2020      4,240,000        4,165,800   
Icahn Enterprises LP, 5.875%, 2/01/2022      5,265,000        5,008,331   
Nationstar Mortgage LLC/Capital Corp., 6.5%, 8/01/2018      3,450,000        3,490,969   
Nationstar Mortgage LLC/Capital Corp., 7.875%, 10/01/2020      6,300,000        6,426,000   
Nationstar Mortgage LLC/Capital Corp., 6.5%, 7/01/2021      1,590,000        1,578,075   

 

4

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Financial Institutions - continued                 
Navient Corp., 8%, 3/25/2020    $ 6,735,000      $ 7,307,475   
Navient Corp., 5.875%, 3/25/2021      2,040,000        2,042,550   
Navient Corp., 7.25%, 1/25/2022      6,825,000        6,893,250   
Navient Corp., 7.25%, 9/25/2023      1,300,000        1,295,125   
Navient Corp., 6.125%, 3/25/2024      2,915,000        2,667,225   
    

 

 

  
      $ 75,160,180   
Food & Beverages - 1.7%                 
JBS Investments GmbH, 7.25%, 4/03/2024    $ 2,060,000      $ 2,080,600   
JBS USA LLC/JBS USA Finance, Inc., 5.875%, 7/15/2024 (n)      6,820,000        6,854,100   
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.875%, 1/15/2024      4,625,000        4,960,313   
Sun Merger Sub, Inc., 5.875%, 8/01/2021 (n)      5,305,000        5,530,463   
U.S. Foods Holding Corp., 5.875%, 6/15/2024 (n)      5,790,000        6,021,600   
    

 

 

  
      $ 25,447,076   
Forest & Paper Products - 0.2%                 
Appvion, Inc., 9%, 6/01/2020 (n)    $ 4,005,000      $ 2,483,100   
Gaming & Lodging - 3.3%                 
CCM Merger, Inc., 9.125%, 5/01/2019 (n)    $ 3,689,000      $ 3,855,005   
GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/01/2023      5,250,000        5,630,625   
GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026      730,000        775,625   
Greektown Holdings LLC, 8.875%, 3/15/2019 (n)      4,640,000        4,906,800   
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.625%, 10/15/2021      6,095,000        6,277,850   
Isle of Capri Casinos, Inc., 8.875%, 6/15/2020      1,385,000        1,466,369   
Isle of Capri Casinos, Inc., 5.875%, 3/15/2021      5,285,000        5,496,400   
MGM Resorts International, 6.625%, 12/15/2021      4,660,000        5,204,661   
MGM Resorts International, 6%, 3/15/2023      5,685,000        6,154,013   
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2021      6,215,000        6,401,450   
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2023      2,205,000        2,249,100   
    

 

 

  
      $ 48,417,898   
Industrial - 1.0%                 
Dematic S.A., 7.75%, 12/15/2020 (n)    $ 8,045,000      $ 8,366,800   
Howard Hughes Corp., 6.875%, 10/01/2021 (n)      5,795,000        6,122,418   
    

 

 

  
      $ 14,489,218   
Insurance - Health - 0.5%                 
Centene Corp., 5.625%, 2/15/2021    $ 2,805,000      $ 2,942,473   
Centene Corp., 6.125%, 2/15/2024      3,900,000        4,153,500   
    

 

 

  
      $ 7,095,973   
Machinery & Tools - 1.6%                 
Ashtead Capital, Inc., 5.625%, 10/01/2024 (n)    $ 5,085,000      $ 5,351,963   
CNH Industrial Capital LLC, 4.375%, 11/06/2020      7,075,000        7,234,188   
CNH Industrial N.V., 4.5%, 8/15/2023      3,010,000        3,025,050   
H&E Equipment Services Co., 7%, 9/01/2022      6,250,000        6,575,000   
Light Tower Rentals, Inc., 8.125%, 8/01/2019 (n)      3,250,000        1,458,438   
    

 

 

  
      $ 23,644,639   
Major Banks - 1.9%                 
Bank of America Corp., FRN, 6.1%, 12/29/2049    $ 13,035,000      $ 13,618,447   
Bank of America Corp., FRN, 6.3%, 12/29/2049      1,825,000        1,991,349   
JPMorgan Chase & Co., 6% to 8/01/2023, FRN to 12/29/2049      6,865,000        7,156,763   
Royal Bank of Scotland Group PLC, 7.5% to 8/10/2020, FRN to 12/29/2049      3,635,000        3,335,113   

 

5

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Major Banks - continued                 
Royal Bank of Scotland Group PLC, 8.625% to 8/15/2021, FRN to 12/29/2049    $ 2,740,000      $ 2,726,300   
    

 

 

  
      $ 28,827,972   
Medical & Health Technology & Services - 6.2%                 
AmSurg Corp., 5.625%, 7/15/2022    $ 4,775,000      $ 4,870,500   
CHS/Community Health Systems, Inc., 6.875%, 2/01/2022      7,075,000        5,394,688   
DaVita, Inc., 5.125%, 7/15/2024      925,000        904,766   
DaVita, Inc., 5%, 5/01/2025      5,385,000        5,196,525   
HCA, Inc., 4.25%, 10/15/2019      5,110,000        5,301,625   
HCA, Inc., 7.5%, 2/15/2022      6,995,000        7,960,310   
HCA, Inc., 5.875%, 3/15/2022      5,855,000        6,440,500   
HCA, Inc., 5%, 3/15/2024      4,605,000        4,796,108   
HCA, Inc., 5.375%, 2/01/2025      6,100,000        6,226,270   
HCA, Inc., 5.875%, 2/15/2026      2,275,000        2,388,750   
HealthSouth Corp., 5.125%, 3/15/2023      5,075,000        5,125,750   
HealthSouth Corp., 5.75%, 11/01/2024      4,565,000        4,707,656   
LifePoint Health, Inc., 5.375%, 5/01/2024 (z)      3,240,000        3,219,912   
MEDNAX, Inc., 5.25%, 12/01/2023 (n)      4,145,000        4,331,525   
Quorum Health Corp., 11.625%, 4/15/2023 (n)      4,395,000        3,186,375   
Tenet Healthcare Corp., 8%, 8/01/2020      8,860,000        8,771,400   
Tenet Healthcare Corp., 8.125%, 4/01/2022      6,145,000        6,006,738   
Tenet Healthcare Corp., 6.75%, 6/15/2023      3,330,000        3,059,438   
Universal Health Services, Inc., 7.625%, 8/15/2020      4,660,000        4,473,600   
    

 

 

  
      $ 92,362,436   
Medical Equipment - 0.8%                 
Hologic, Inc., 5.25%, 7/15/2022 (n)    $ 5,230,000      $ 5,531,248   
Teleflex, Inc., 5.25%, 6/15/2024      4,155,000        4,300,425   
Teleflex, Inc., 4.875%, 6/01/2026      2,475,000        2,536,875   
    

 

 

  
      $ 12,368,548   
Metals & Mining - 4.4%                 
Allegheny Technologies, Inc., 5.95%, 1/15/2021    $ 4,012,000      $ 3,711,100   
Century Aluminum Co., 7.5%, 6/01/2021 (n)      4,690,000        4,267,900   
Commercial Metals Co., 4.875%, 5/15/2023      4,343,000        4,299,570   
First Quantum Minerals Ltd., 7.25%, 10/15/2019 (n)      5,093,000        5,022,971   
First Quantum Minerals Ltd., 7.25%, 5/15/2022 (n)      1,583,000        1,497,914   
Freeport-McMoRan Copper & Gold, Inc., 3.875%, 3/15/2023      5,135,000        4,634,338   
Freeport-McMoRan Oil & Gas LLC, 6.5%, 11/15/2020      825,000        842,531   
Freeport-McMoRan Oil & Gas LLC, 6.875%, 2/15/2023      1,626,000        1,686,975   
Freeport-McMoRan, Inc., 5.45%, 3/15/2043      2,350,000        1,950,500   
GrafTech International Co., 6.375%, 11/15/2020      4,680,000        3,556,800   
Hudbay Minerals, Inc., 9.5%, 10/01/2020      4,090,000        4,192,250   
Kaiser Aluminum Corp., 5.875%, 5/15/2024      4,300,000        4,541,875   
Kinross Gold Corp., 5.125%, 9/01/2021      2,565,000        2,667,600   
Kinross Gold Corp., 5.95%, 3/15/2024      2,540,000        2,667,000   
Lundin Mining Corp., 7.5%, 11/01/2020 (n)      1,910,000        2,029,375   
Lundin Mining Corp., 7.875%, 11/01/2022 (n)      2,870,000        3,099,600   
Steel Dynamics, Inc., 5.125%, 10/01/2021      1,670,000        1,740,975   
Steel Dynamics, Inc., 5.25%, 4/15/2023      1,610,000        1,666,350   
Steel Dynamics, Inc., 5.5%, 10/01/2024      2,170,000        2,289,350   
Suncoke Energy Partners LP/Suncoke Energy Partners Finance Corp., 7.375%, 2/01/2020      4,995,000        4,807,688   
Suncoke Energy, Inc., 7.625%, 8/01/2019      600,000        541,500   
TMS International Corp., 7.625%, 10/15/2021 (n)      4,625,000        3,815,625   
    

 

 

  
      $ 65,529,787   

 

6

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Midstream - 6.2%                 
Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022 (n)    $ 6,350,000      $ 6,207,125   
Crestwood Midstream Partners LP, 6%, 12/15/2020      3,215,000        3,271,263   
Crestwood Midstream Partners LP, 6.125%, 3/01/2022      2,420,000        2,474,450   
Crestwood Midstream Partners LP, 6.25%, 4/01/2023      1,935,000        1,959,188   
Energy Transfer Equity LP, 7.5%, 10/15/2020      8,025,000        8,747,250   
EnLink Midstream Partners LP, 4.4%, 4/01/2024      5,495,000        5,466,734   
Ferrellgas LP/Ferrellgas Finance Corp., 6.5%, 5/01/2021      2,035,000        1,917,988   
Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, 1/15/2022      4,885,000        4,579,688   
Kinder Morgan (Delaware), Inc., 7.75%, 1/15/2032      6,095,000        7,453,600   
MPLX LP, 5.5%, 2/15/2023      3,605,000        3,755,938   
MPLX LP, 4.5%, 7/15/2023      4,669,000        4,803,047   
Sabine Pass Liquefaction LLC, 5.625%, 2/01/2021      5,475,000        5,762,438   
Sabine Pass Liquefaction LLC, 5.625%, 4/15/2023      8,195,000        8,707,188   
Sabine Pass Liquefaction LLC, 5.75%, 5/15/2024      2,390,000        2,527,425   
Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025      3,370,000        3,565,966   
Sabine Pass Liquefaction LLC, 5.875%, 6/30/2026 (n)      2,280,000        2,457,156   
Targa Resources Partners LP/Targa Resources Finance Corp., 4.125%, 11/15/2019      2,670,000        2,693,363   
Targa Resources Partners LP/Targa Resources Finance Corp., 5.25%, 5/01/2023      2,775,000        2,754,465   
Targa Resources Partners LP/Targa Resources Finance Corp., 5.375%, 2/01/2027 (n)      6,525,000        6,525,000   
Williams Cos., Inc., 4.55%, 6/24/2024      6,560,000        6,674,800   
    

 

 

  
      $ 92,304,072   
Network & Telecom - 1.8%                 
Centurylink, Inc., 6.45%, 6/15/2021    $ 4,215,000      $ 4,499,513   
Centurylink, Inc., 7.65%, 3/15/2042      4,390,000        3,907,100   
Frontier Communications Corp., 6.25%, 9/15/2021      1,995,000        1,895,250   
Frontier Communications Corp., 7.125%, 1/15/2023      3,910,000        3,516,556   
Frontier Communications Corp., 11%, 9/15/2025      4,570,000        4,679,223   
Frontier Communications Corp., 9%, 8/15/2031      2,535,000        2,205,450   
Telecom Italia Capital, 6%, 9/30/2034      1,515,000        1,507,425   
Telecom Italia S.p.A., 5.303%, 5/30/2024 (n)      4,255,000        4,324,144   
    

 

 

  
      $ 26,534,661   
Oil Services - 0.5%                 
Bristow Group, Inc., 6.25%, 10/15/2022    $ 2,715,000      $ 2,165,213   
Weatherford International Ltd., 8.25%, 6/15/2023      5,325,000        5,511,375   
    

 

 

  
      $ 7,676,588   
Oils - 0.6%                 
CITGO Holding, Inc., 10.75%, 2/15/2020 (n)    $ 2,845,000      $ 2,904,745   
CITGO Petroleum Corp., 6.25%, 8/15/2022 (n)      5,470,000        5,593,075   
    

 

 

  
      $ 8,497,820   
Other Banks & Diversified Financials - 0.8%                 
Groupe BPCE S.A., 12.5% to 9/30/2019, FRN to 8/29/2049 (n)    $ 3,895,000      $ 4,920,631   
UBS AG, 6.875%, 12/29/2049      6,415,000        6,348,310   
    

 

 

  
      $ 11,268,941   
Pharmaceuticals - 1.8%                 
Endo Finance LLC/Endo Finco, Inc., 7.25%, 1/15/2022 (n)    $ 5,945,000      $ 5,632,888   
Mallinckrodt International Finance S.A., 5.75%, 8/01/2022 (n)      3,440,000        3,259,400   
Mallinckrodt International Finance S.A., 5.5%, 4/15/2025 (n)      3,685,000        3,408,625   
Valeant Pharmaceuticals International, Inc., 7%, 10/01/2020 (n)      6,430,000        5,754,850   
Valeant Pharmaceuticals International, Inc., 7.5%, 7/15/2021 (n)      2,850,000        2,536,500   
Valeant Pharmaceuticals International, Inc., 7.25%, 7/15/2022 (n)      3,850,000        3,349,500   

 

7

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Pharmaceuticals - continued                 
VRX Escrow Corp., 5.875%, 5/15/2023 (n)    $ 3,625,000      $ 2,854,688   
    

 

 

  
      $ 26,796,451   
Precious Metals & Minerals - 0.7%                 
Eldorado Gold Corp., 6.125%, 12/15/2020 (n)    $ 4,360,000      $ 4,403,600   
Teck Resources Ltd., 4.5%, 1/15/2021      2,610,000        2,623,050   
Teck Resources Ltd., 8%, 6/01/2021 (n)      2,285,000        2,496,363   
Teck Resources Ltd., 3.75%, 2/01/2023      1,610,000        1,522,456   
    

 

 

  
      $ 11,045,469   
Printing & Publishing - 1.2%                 
Nielsen Finance LLC, 5%, 4/15/2022 (n)    $ 7,775,000      $ 7,930,500   
Outdoor Americas Capital LLC/Outfront Media Capital Corp., 5.625%, 2/15/2024      2,685,000        2,792,400   
TEGNA, Inc., 5.125%, 7/15/2020      1,645,000        1,710,800   
TEGNA, Inc., 4.875%, 9/15/2021 (n)      2,120,000        2,210,100   
TEGNA, Inc., 6.375%, 10/15/2023      3,430,000        3,627,225   
    

 

 

  
      $ 18,271,025   
Real Estate - Healthcare - 0.7%                 
MPT Operating Partnership LP, REIT, 6.375%, 2/15/2022    $ 4,305,000      $ 4,466,438   
MPT Operating Partnership LP, REIT, 5.25%, 8/01/2026      5,110,000        5,212,200   
    

 

 

  
      $ 9,678,638   
Real Estate - Other - 0.9%                 
DuPont Fabros Technology LP, REIT, 5.875%, 9/15/2021    $ 7,325,000      $ 7,672,938   
Felcor Lodging LP, REIT, 5.625%, 3/01/2023      5,205,000        5,371,508   
    

 

 

  
      $ 13,044,446   
Restaurants - 0.3%                 
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, 6/01/2026 (n)    $ 4,270,000      $ 4,451,475   
Retailers - 1.5%                 
Dollar Tree, Inc., 5.75%, 3/01/2023    $ 6,665,000      $ 7,098,225   
DriveTime Automotive Group, Inc./DT Acceptance Corp., 8%, 6/01/2021 (n)      4,183,000        3,994,765   
Neiman Marcus Group Ltd., 8%, 10/15/2021 (n)      1,785,000        1,472,625   
Rite Aid Corp., 9.25%, 3/15/2020      1,660,000        1,747,150   
Rite Aid Corp., 6.75%, 6/15/2021      1,490,000        1,564,500   
Rite Aid Corp., 6.125%, 4/01/2023 (n)      3,675,000        3,877,125   
Sally Beauty Holdings, Inc., 5.625%, 12/01/2025      2,900,000        3,095,750   
    

 

 

  
      $ 22,850,140   
Specialty Chemicals - 0.9%                 
Chemtura Corp., 5.75%, 7/15/2021    $ 6,565,000      $ 6,839,909   
Univar USA, Inc., 6.75%, 7/15/2023 (n)      6,550,000        6,779,244   
    

 

 

  
      $ 13,619,153   
Specialty Stores - 1.1%                 
Argos Merger Sub, Inc., 7.125%, 3/15/2023 (n)    $ 5,850,000      $ 6,120,563   
Group 1 Automotive, Inc., 5%, 6/01/2022      5,960,000        5,945,100   
Michaels Stores, Inc., 5.875%, 12/15/2020 (n)      4,530,000        4,660,238   
    

 

 

  
      $ 16,725,901   
Supermarkets - 0.4%                 
Albertsons Cos. LLC/Safeway, Inc., 6.625%, 6/15/2024 (n)    $ 5,545,000      $ 5,752,938   

 

8

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Telecommunications - Wireless - 3.9%                 
Altice Luxembourg S.A., 7.75%, 5/15/2022 (n)    $ 3,490,000      $ 3,644,869   
Altice Luxembourg S.A., 7.625%, 2/15/2025 (n)      4,630,000        4,815,200   
Digicel Group Ltd., 8.25%, 9/30/2020 (n)      1,590,000        1,407,150   
Digicel Group Ltd., 7.125%, 4/01/2022 (n)      2,189,000        1,734,126   
Digicel Group Ltd., 6.75%, 3/01/2023 (n)      7,337,000        6,582,756   
Sprint Capital Corp., 6.875%, 11/15/2028      4,245,000        3,905,400   
Sprint Corp., 7.875%, 9/15/2023      3,480,000        3,445,200   
Sprint Corp., 7.125%, 6/15/2024      8,525,000        8,013,500   
Sprint Nextel Corp., 9%, 11/15/2018 (n)      2,170,000        2,387,000   
Sprint Nextel Corp., 6%, 11/15/2022      2,045,000        1,905,695   
T-Mobile USA, Inc., 6.125%, 1/15/2022      1,065,000        1,123,575   
T-Mobile USA, Inc., 6.5%, 1/15/2024      2,330,000        2,493,100   
T-Mobile USA, Inc., 6.464%, 4/28/2019      1,760,000        1,788,600   
T-Mobile USA, Inc., 6.25%, 4/01/2021      7,105,000        7,398,081   
T-Mobile USA, Inc., 6.633%, 4/28/2021      3,350,000        3,513,313   
T-Mobile USA, Inc., 6.5%, 1/15/2026      3,610,000        3,957,282   
    

 

 

  
      $ 58,114,847   
Telephone Services - 0.5%                 
Level 3 Financing, Inc., 5.375%, 1/15/2024    $ 2,690,000      $ 2,743,800   
Level 3 Financing, Inc., 5.375%, 5/01/2025      5,265,000        5,343,975   
    

 

 

  
      $ 8,087,775   
Transportation - Services - 0.6%                 
Navios Maritime Acquisition Corp., 8.125%, 11/15/2021 (n)    $ 4,179,000      $ 3,155,145   
Navios Maritime Holding, Inc., 7.375%, 1/15/2022 (n)      3,945,000        2,051,400   
Navios South American Logistics, Inc., 7.25%, 5/01/2022      1,080,000        853,200   
Syncreon Group BV/Syncre, 8.625%, 11/01/2021 (n)      3,300,000        2,442,000   
Ultrapetrol Bahamas Ltd., 8.875%, 6/15/2021 (a)(d)      953,000        181,070   
    

 

 

  
      $ 8,682,815   
Utilities - Electric Power - 2.4%                 
Calpine Corp., 5.5%, 2/01/2024    $ 4,015,000      $ 3,914,625   
Calpine Corp., 5.75%, 1/15/2025      4,530,000        4,405,425   
Covanta Holding Corp., 7.25%, 12/01/2020      4,425,000        4,541,156   
Covanta Holding Corp., 6.375%, 10/01/2022      2,485,000        2,528,488   
Covanta Holding Corp., 5.875%, 3/01/2024      3,965,000        3,895,613   
Dynegy, Inc., 7.375%, 11/01/2022      9,125,000        8,799,922   
Dynegy, Inc., 8%, 1/15/2025 (z)      1,625,000        1,568,125   
NRG Energy, Inc., 6.625%, 3/15/2023      4,715,000        4,703,213   
NRG Energy, Inc., 7.25%, 5/15/2026 (n)      1,360,000        1,338,118   
    

 

 

  
      $ 35,694,685   
Total Bonds      $ 1,379,619,842   
Floating Rate Loans (g)(r) - 3.7%                 
Aerospace - 0.2%                 
TransDigm, Inc., Term Loan C, 3.82%, 2/28/2020    $ 3,469,181      $ 3,461,472   
Broadcasting - 0.2%                 
Nexstar Broadcasting, Inc., Term Loan B, 9/23/2023 (o)    $ 2,218,376      $ 2,226,297   
Building - 0.5%                 
ABC Supply Co., Inc., Term Loan B, 3.5%, 4/16/2020    $ 5,435,111      $ 5,446,846   
HD Supply, Inc., Term Loan B, 3.75%, 8/13/2021      2,412,508        2,417,533   
    

 

 

  
      $ 7,864,379   

 

9

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Floating Rate Loans (g)(r) - continued                 
Chemicals - 0.1%                 
GCP Applied Technologies, Inc., Term Loan B, 4.08%, 2/03/2022 (o)    $ 1,943,497      $ 1,955,644   
Computer Software - Systems - 0.3%                 
CDW LLC, Term Loan B, 3%, 8/17/2023    $ 2,412,554      $ 2,419,017   
Sabre GLBL, Inc., Term Loan B, 2/19/2019 (o)      1,863,100        1,868,756   
    

 

 

  
      $ 4,287,773   
Conglomerates - 0.2%                 
Entegris, Inc., Term Loan B, 3.5%, 4/30/2021    $ 3,461,685      $ 3,477,550   
Consumer Products - 0.1%                 
Spectrum Brands, Inc., Term Loan B, 6/23/2022 (o)(q)    $ 1,863,100      $ 1,871,484   
Entertainment - 0.2%                 
Cedar Fair LP, Term Loan B, 3.25%, 3/06/2020    $ 1,464,211      $ 1,468,330   
Six Flags Theme Parks, Inc., Term Loan B, 6/30/2022 (o)      1,863,100        1,867,758   
    

 

 

  
      $ 3,336,088   
Food & Beverages - 0.1%                 
Pinnacle Foods Finance LLC, Term Loan I, 1/13/2023 (o)    $ 1,858,419      $ 1,870,906   
Gaming & Lodging - 0.2%                 
Hilton Worldwide Finance LLC, Term Loan B1, 3.5%, 10/25/2020    $ 3,000,168      $ 3,009,276   
Medical & Health Technology & Services - 0.3%                 
DaVita Healthcare Partners, Inc., Term Loan B, 3.5%, 6/24/2021    $ 3,660,139      $ 3,660,139   
Printing & Publishing - 0.2%                 
CBS Outdoor, Term Loan B, 3%, 1/31/2021    $ 2,293,500      $ 2,291,589   
Retailers - 0.1%                 
Rite Aid Corp., Second Lien Term Loan, 4.87%, 6/21/2021    $ 1,149,016      $ 1,151,027   
Telephone Services - 0.2%                 
Level 3 Financing, Inc., Term Loan B, 4%, 1/15/2020    $ 2,217,100      $ 2,226,800   
Transportation - Services - 0.5%                 
Commercial Barge Line Co., First Lien Term Loan, 9.75%, 11/12/2020    $ 7,665,322      $ 7,406,618   
Utilities - Electric Power - 0.3%                 
Calpine Construction Finance Co., Term Loan B1, 3.09%, 5/03/2020    $ 4,606,275      $ 4,568,849   
Total Floating Rate Loans      $ 54,665,891   
Common Stocks - 0.5%                 
Special Products & Services - 0.5%                 
iShares iBoxx $ High Yield Corporate Bond ETF      87,100      $ 7,492,342   
Money Market Funds - 2.9%                 
MFS Institutional Money Market Portfolio, 0.44% (v)      42,303,169      $ 42,303,169   
Total Investments      $ 1,484,081,244   
Other Assets, Less Liabilities - 0.3%        5,159,342   
Net Assets - 100.0%      $ 1,489,240,586   

 

10

Portfolio of Investments (unaudited) – continued

 

 

(a) Non-income producing security.
(d) In default.
(g) The rate shown represents a weighted average coupon rate on settled positions at period end, unless otherwise indicated.
(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 $503,855,249 representing 33.8% of net assets.
(o) All or a portion of this position has not settled. Upon settlement date, interest rates for unsettled amounts will be determined. The rate shown, if any, represents the weighted average coupon rate for settled amounts.
(p) Payment-in-kind security.
(q) All or a portion of this position represents an unfunded loan commitment. The rate shown represents a weighted average coupon rate on the full position, including the unfunded loan commitment which has no current coupon rate.
(r) Remaining maturities of floating rate loans may be less than 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. Floating rate loans generally have rates of interest which are determined periodically by reference to a base lending rate plus a premium.
(v) Underlying affiliated fund that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end.
(z) Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities:

 

Restricted Securities   

Acquisition

Date

    Cost      Value  
AMC Entertainment Holdings, Inc., 5.875%, 11/15/2026    10/28/16      $940,000         $943,525   
Alliance Data Systems Corp., 5.875%, 11/01/2021    10/24/16      4,734,360         4,755,400   
CBS Radio, Inc., 7.25%, 11/01/2024    10/07/16-10/25/16      2,703,203         2,731,913   
CW Capital Cobalt Commercial Mortgage Trust, “F”, CDO, FRN, 2.183%, 4/26/2050    4/12/06-10/28/16      657,150         7   
CW Capital Cobalt Commercial Mortgage Trust, “G”, CDO, FRN, 2.383%, 4/26/2050    4/12/06-10/28/16      2,054,697         22   
Dynegy, Inc., 8%, 1/15/2025    10/05/16-10/06/16      1,631,370         1,568,125   
Falcon Franchise Loan LLC, FRN, 441.768%, 1/05/2025    1/29/03      2,264         5,775   
Gulfport Energy Corp., 6%, 10/15/2024    10/06/16-10/21/16      4,562,537         4,548,719   
LifePoint Health, Inc., 5.375%, 5/01/2024    10/24/16-10/27/16      3,269,643         3,219,912   
Morgan Stanley Capital I, Inc., FRN, 1.478%, 4/28/2039    7/20/04      274,931         16,988   
Netflix, Inc., 4.375%, 11/15/2026    10/24/16      2,365,000         2,326,569   
Total Restricted Securities         $20,116,955   
% of Net assets         1.4%   

The following abbreviations are used in this report and are defined:

 

CDO   Collateralized Debt Obligation
ETF   Exchange-Traded Fund
FRN   Floating Rate Note. Interest rate resets periodically and the current rate may not be the rate reported at period end.
PLC   Public Limited Company
REIT   Real Estate Investment Trust

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:

 

EUR   Euro

Derivative Contracts at 10/31/16

Forward Foreign Currency Exchange Contracts at 10/31/16

 

Type    Currency      Counterparty   Contracts to
Deliver/Receive		   Settlement
Date Range		   In Exchange
For		     Contracts
at Value		    

Net Unrealized
Appreciation

(Depreciation)

  
Asset Derivatives          
SELL      EUR      

Goldman Sachs International

   2,488,013   12/09/16     $2,796,484        $2,735,596        $60,888   
               

 

 

  

 

11

Portfolio of Investments (unaudited) – continued

 

Derivative Contracts at 10/31/16

Futures Contracts at 10/31/16

 

Description    Currency      Contracts      Value    Expiration
Date		      Unrealized
Appreciation
(Depreciation)		  
Asset Derivatives               
Interest Rate Futures               
U.S. Treasury Note 10 yr (Short)      USD         114       $14,777,250      December - 2016         $184,854   
              

 

 

  

At October 31, 2016, the fund had cash collateral of $153,900 to cover any commitments 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.

 

12

Supplemental Information

10/31/16 (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 Standard 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. Futures contracts are generally valued at last posted settlement price as provided by a third-party pricing service on the market on which they are primarily traded. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation as provided by a third-party pricing service on the market on which such futures contracts are primarily traded. 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. Values obtained from 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 halting of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.

Various inputs are used in determining the value of the fund’s assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. Other

 

13

Supplemental Information (unaudited) – continued

 

financial instruments are derivative instruments not reflected in total investments, such as futures contracts and forward foreign currency exchange contracts, The following is a summary of the levels used as of October 31, 2016 in valuing the fund’s assets or liabilities:

 

Investments at Value    Level 1      Level 2      Level 3      Total  
Equity Securities      $7,492,342         $—         $—         $7,492,342   
U.S. Corporate Bonds      —         1,190,100,736         —         1,190,100,736   
Commercial Mortgage-Backed Securities      —         266,500         —         266,500   
Asset-Backed Securities (including CDOs)      —         29         —         29   
Foreign Bonds      —         189,252,577         —         189,252,577   
Floating Rate Loans      —         54,665,891         —         54,665,891   
Mutual Funds      42,303,169         —         —         42,303,169   
Total Investments      $49,795,511         $1,434,285,733         $—         $1,484,081,244   
Other Financial Instruments                            
Futures Contracts      $184,854         $—         $—         $184,854   
Forward Foreign Currency Exchange Contracts      —         60,888         —         60,888   

For further information regarding security characteristics, see the Portfolio of Investments.

(2) Portfolio Securities

The cost and unrealized appreciation and depreciation in the value of the investments owned by the fund, as computed on a federal income tax basis, are as follows:

 

Aggregate cost      $1,498,290,166   
Gross unrealized appreciation      32,569,025   
Gross unrealized depreciation      (46,777,947 ) 
Net unrealized appreciation (depreciation)      $(14,208,922 ) 

The aggregate cost above includes prior fiscal year end tax adjustments, if applicable.

(3) Transactions in Underlying Affiliated Funds – 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 fund assumes the following to be (an) affiliated issuer:

 

Underlying Affiliated Fund    Beginning
Shares/Par
Amount		      Acquisitions
Shares/Par
Amount		      Dispositions
Shares/Par
Amount		      Ending
Shares/Par
Amount		  
MFS Institutional Money Market Portfolio      43,971,779         252,913,544         (254,582,154 )       42,303,169   
Underlying Affiliated Fund    Realized
Gain (Loss)		      Capital Gain
Distributions		      Dividend
Income		      Ending
Value		  
MFS Institutional Money Market Portfolio      $878         $—         $174,045         $42,303,169   

 

14

QUARTERLY REPORT

October 31, 2016

 

LOGO

 

MFS® HIGH YIELD POOLED PORTFOLIO

 

LOGO

PORTFOLIO OF INVESTMENTS

10/31/16 (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 - 91.6%                 
Aerospace - 0.7%                 
CPI International, Inc., 8.75%, 2/15/2018    $   5,895,000      $ 5,983,398   
TransDigm, Inc., 6%, 7/15/2022      875,000        912,188   
TransDigm, Inc., 6.5%, 7/15/2024      3,345,000        3,520,613   
    

 

 

  
      $ 10,416,199   
Automotive - 1.8%                 
Accuride Corp., 9.5%, 8/01/2018    $ 3,590,000      $ 3,581,025   
Allison Transmission, Inc., 5%, 10/01/2024 (n)      6,064,000        6,185,280   
Gates Global LLC, 6%, 7/15/2022 (n)      3,625,000        3,425,625   
IHO Verwaltungs Gmbh, 4.75%, 9/15/2026 (n)      5,250,000        5,236,875   
ZF North America Capital, Inc., 4.5%, 4/29/2022 (n)      3,825,000        4,049,719   
ZF North America Capital, Inc., 4.75%, 4/29/2025 (n)      4,195,000        4,425,725   
    

 

 

  
      $ 26,904,249   
Broadcasting - 2.5%                 
AMC Networks, Inc., 5%, 4/01/2024    $ 3,060,000      $ 3,098,250   
CBS Radio, Inc., 7.25%, 11/01/2024 (z)      2,570,000        2,669,588   
Clear Channel Worldwide Holdings, Inc., “A”, 6.5%, 11/15/2022      1,675,000        1,683,375   
Clear Channel Worldwide Holdings, Inc., “B”, 6.5%, 11/15/2022      4,685,000        4,771,673   
iHeartMedia, Inc., 9%, 3/01/2021      4,358,000        3,115,970   
Liberty Media Corp., 8.5%, 7/15/2029      2,790,000        3,096,900   
Liberty Media Corp., 8.25%, 2/01/2030      1,215,000        1,300,050   
Match Group, Inc., 6.375%, 6/01/2024      3,495,000        3,774,600   
Netflix, Inc., 5.375%, 2/01/2021      3,335,000        3,614,306   
Netflix, Inc., 5.875%, 2/15/2025      2,350,000        2,605,563   
Netflix, Inc., 4.375%, 11/15/2026 (z)      2,315,000        2,277,381   
Nexstar Broadcasting, Inc., 6.875%, 11/15/2020      5,005,000        5,186,431   
    

 

 

  
      $ 37,194,087   
Building - 2.9%                 
Allegion PLC, 5.875%, 9/15/2023    $ 2,530,000      $ 2,726,075   
Allegion U.S. Holding Co., Inc., 5.75%, 10/01/2021      5,120,000        5,331,200   
Beacon Roofing Supply, Inc., 6.375%, 10/01/2023      4,410,000        4,718,700   
Gibraltar Industries, Inc., 6.25%, 2/01/2021      4,675,000        4,844,469   
HD Supply, Inc., 5.75%, 4/15/2024 (n)      3,830,000        4,021,500   
PriSo Acquisition Corp., 9%, 5/15/2023 (n)      5,265,000        5,120,213   
Standard Industries, Inc., 5.375%, 11/15/2024 (n)      3,840,000        3,969,600   
Standard Industries, Inc., 6%, 10/15/2025 (n)      4,745,000        5,065,050   
Summit Materials LLC/Summit Materials Finance Co., 6.125%, 7/15/2023      6,490,000        6,652,250   
    

 

 

  
      $ 42,449,057   
Business Services - 1.7%                 
Alliance Data Systems Corp., 5.875%, 11/01/2021 (z)    $ 4,635,000      $ 4,669,763   
Equinix, Inc., 4.875%, 4/01/2020      3,450,000        3,570,750   
Equinix, Inc., 5.375%, 1/01/2022      1,825,000        1,934,500   
Equinix, Inc., 5.375%, 4/01/2023      2,605,000        2,718,969   
Equinix, Inc., 5.75%, 1/01/2025      1,020,000        1,078,650   
Iron Mountain, Inc., REIT, 6%, 10/01/2020 (n)      2,080,000        2,202,200   
Iron Mountain, Inc., REIT, 6%, 8/15/2023      4,760,000        5,057,500   
NeuStar, Inc., 4.5%, 1/15/2023      4,870,000        4,523,013   
    

 

 

  
      $ 25,755,345   

 

1

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Cable TV - 5.7%                 
Altice Financing S.A., 6.625%, 2/15/2023 (n)    $   8,055,000      $ 8,296,650   
CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023 (n)      5,185,000        5,353,513   
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 1/15/2024      8,130,000        8,597,475   
CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025 (n)      1,325,000        1,361,438   
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 2/15/2026 (n)      3,245,000        3,380,884   
Cequel Communications Holdings, 6.375%, 9/15/2020 (n)      3,535,000        3,641,050   
CSC Holdings LLC, 5.5%, 4/15/2027 (n)      5,795,000        5,878,303   
DISH DBS Corp., 5%, 3/15/2023      2,750,000        2,708,750   
DISH DBS Corp., 5.875%, 11/15/2024      5,645,000        5,683,809   
Intelsat Jackson Holdings S.A., 7.25%, 4/01/2019      2,850,000        2,297,813   
Intelsat Jackson Holdings S.A., 5.5%, 8/01/2023      2,945,000        1,951,063   
Intelsat Jackson Holdings S.A., 8%, 2/15/2024 (n)      1,255,000        1,261,275   
LGE Holdco VI B.V., 7.125%, 5/15/2024 (n)      1,895,000        2,350,667   
Lynx II Corp., 6.375%, 4/15/2023 (n)      2,530,000        2,580,600   
Sirius XM Radio, Inc., 4.625%, 5/15/2023 (n)      2,495,000        2,510,594   
Sirius XM Radio, Inc., 6%, 7/15/2024 (n)      5,830,000        6,187,088   
Sirius XM Radio, Inc., 5.375%, 4/15/2025 (n)      2,570,000        2,621,143   
Unitymedia Hessen, 5.5%, 1/15/2023 (n)      4,480,000        4,642,400   
Unitymedia KabelBW GmbH, 6.125%, 1/15/2025 (n)      2,960,000        3,085,800   
Virgin Media Finance PLC, 5.75%, 1/15/2025 (n)      1,230,000        1,217,700   
Virgin Media Secured Finance PLC, 5.375%, 4/15/2021 (n)      1,251,000        1,291,658   
Virgin Media Secured Finance PLC, 5.25%, 1/15/2026 (n)      3,860,000        3,820,242   
Ziggo Bond Finance B.V., 5.875%, 1/15/2025 (n)      2,750,000        2,729,375   
    

 

 

  
      $ 83,449,290   
Chemicals - 2.3%                 
Axalta Coating Systems Co., 4.875%, 8/15/2024 (n)    $ 3,900,000      $ 3,958,500   
Chemours Co., 6.625%, 5/15/2023      3,855,000        3,739,350   
GCP Applied Technologies Co., 9.5%, 2/01/2023 (n)      3,345,000        3,788,213   
Hexion U.S. Finance Corp., 6.625%, 4/15/2020      2,280,000        1,995,000   
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, 8.875%, 2/01/2018      2,440,000        2,319,220   
Momentive Performance Materials, Inc., 3.88%, 10/24/2021      4,180,000        3,720,200   
Tronox Finance LLC, 6.375%, 8/15/2020      5,520,000        4,954,200   
Tronox Finance LLC, 7.5%, 3/15/2022 (n)      4,060,000        3,633,700   
W.R. Grace & Co., 5.125%, 10/01/2021 (n)      5,590,000        5,953,350   
    

 

 

  
      $ 34,061,733   
Computer Software - 0.8%                 
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.02%, 6/15/2026 (n)    $ 4,245,000      $ 4,627,283   
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.875%, 6/15/2021 (n)      1,850,000        1,949,822   
VeriSign, Inc., 4.625%, 5/01/2023      4,940,000        5,088,200   
    

 

 

  
      $ 11,665,305   
Computer Software - Systems - 1.7%                 
CDW LLC/CDW Finance Corp., 6%, 8/15/2022    $ 1,710,000      $ 1,812,600   
CDW LLC/CDW Finance Corp., 5.5%, 12/01/2024      2,895,000        3,040,647   
JDA Software Group, Inc., 7.375%, 10/15/2024 (n)      3,160,000        3,262,700   
Quintiles IMS Holdings, Inc., 5%, 10/15/2026 (n)      4,270,000        4,414,113   
Sabre GLBL, Inc., 5.375%, 4/15/2023 (n)      7,060,000        7,245,325   
Western Digital Corp., 10.5%, 4/01/2024 (n)      4,445,000        5,133,975   
    

 

 

  
      $ 24,909,360   
Conglomerates - 2.8%                 
Amsted Industries Co., 5%, 3/15/2022 (n)    $ 7,610,000      $ 7,629,025   
Apex Tool Group, 7%, 2/01/2021 (n)      5,175,000        4,722,188   

 

2

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Conglomerates - continued                 
EnerSys, 5%, 4/30/2023 (n)    $   8,365,000      $ 8,574,125   
Enpro Industries, Inc., 5.875%, 9/15/2022      5,560,000        5,782,400   
Entegris, Inc., 6%, 4/01/2022 (n)      4,825,000        4,993,875   
Renaissance Acquisition, 6.875%, 8/15/2021 (n)      5,775,000        5,659,500   
SPX FLOW, Inc., 5.625%, 8/15/2024 (n)      3,685,000        3,735,669   
    

 

 

  
      $ 41,096,782   
Construction - 0.0%                 
Empresas ICA S.A.B. de C.V., 8.9%, 2/04/2021 (a)(d)    $ 2,120,000      $ 394,850   
Empresas ICA S.A.B. de C.V., 8.875%, 5/29/2024 (a)(d)(n)      1,723,000        320,478   
    

 

 

  
      $ 715,328   
Consumer Products - 1.0%                 
NBTY, Inc., 7.625%, 5/15/2021 (n)    $ 5,740,000      $ 5,610,850   
Prestige Brands, Inc., 5.375%, 12/15/2021 (n)      3,800,000        3,942,500   
Spectrum Brands, Inc., 6.125%, 12/15/2024      1,065,000        1,166,175   
Spectrum Brands, Inc., 5.75%, 7/15/2025      3,670,000        3,972,775   
    

 

 

  
      $ 14,692,300   
Consumer Services - 2.6%                 
ADT Corp., 6.25%, 10/15/2021    $ 8,105,000      $ 8,864,844   
ADT Corp., 4.125%, 6/15/2023      1,360,000        1,329,822   
Garda World Security Corp., 7.25%, 11/15/2021 (n)      2,385,000        2,277,675   
Garda World Security Corp., 7.25%, 11/15/2021 (n)      4,540,000        4,335,700   
Interval Acquisition Corp., 5.625%, 4/15/2023      8,300,000        8,569,750   
Mobile Mini, Inc., 5.875%, 7/01/2024      5,060,000        5,275,050   
Monitronics International, Inc., 9.125%, 4/01/2020      4,800,000        4,548,000   
Service Corp. International, 5.375%, 5/15/2024      3,235,000        3,396,750   
    

 

 

  
      $ 38,597,591   
Containers - 4.1%                 
Ball Corp., 5%, 3/15/2022    $ 3,365,000      $ 3,617,375   
Berry Plastics Group, Inc., 5.5%, 5/15/2022      6,035,000        6,276,400   
Berry Plastics Group, Inc., 6%, 10/15/2022      3,685,000        3,896,888   
Crown American LLC, 4.5%, 1/15/2023      5,248,000        5,379,200   
Crown American LLC, 4.25%, 9/30/2026 (n)      2,515,000        2,467,844   
Multi-Color Corp., 6.125%, 12/01/2022 (n)      5,630,000        5,869,275   
Plastipak Holdings, Inc., 6.5%, 10/01/2021 (n)      5,712,000        5,911,920   
Reynolds Group, 9.875%, 8/15/2019      124,000        127,100   
Reynolds Group, 5.75%, 10/15/2020      2,550,000        2,617,014   
Reynolds Group, 8.25%, 2/15/2021      7,085,000        7,402,061   
Reynolds Group, 5.125%, 7/15/2023 (n)      2,900,000        2,977,024   
Reynolds Group, 7%, 7/15/2024 (n)      315,000        336,656   
Sealed Air Corp., 4.875%, 12/01/2022 (n)      4,940,000        5,205,525   
Sealed Air Corp., 5.125%, 12/01/2024 (n)      2,215,000        2,342,363   
Signode Industrial Group, 6.375%, 5/01/2022 (n)      5,880,000        5,938,800   
    

 

 

  
      $ 60,365,445   
Electronics - 1.3%                 
Micron Technology, Inc., 5.875%, 2/15/2022    $ 3,780,000      $ 3,904,362   
Micron Technology, Inc., 5.5%, 2/01/2025      1,110,000        1,088,144   
NXP B.V., 5.75%, 2/15/2021 (n)      1,645,000        1,710,800   
NXP B.V./NXP Funding LLC, 5.75%, 3/15/2023 (n)      5,390,000        5,740,350   
Sensata Technologies B.V., 5.625%, 11/01/2024 (n)      3,185,000        3,376,100   
Sensata Technologies B.V., 5%, 10/01/2025 (n)      3,125,000        3,203,125   
    

 

 

  
      $ 19,022,881   

 

3

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Energy - Independent - 5.0%                 
Bonanza Creek Energy, Inc., 6.75%, 4/15/2021    $   4,270,000      $ 2,594,025   
Carrizo Oil & Gas, Inc., 6.25%, 4/15/2023      6,245,000        6,416,738   
Chaparral Energy, Inc., 7.625%, 11/15/2022 (a)(d)      2,950,000        2,286,250   
Concho Resources, Inc., 5.5%, 4/01/2023      4,330,000        4,429,590   
Consol Energy, Inc., 5.875%, 4/15/2022      1,890,000        1,747,069   
Consol Energy, Inc., 8%, 4/01/2023      5,555,000        5,499,450   
Continental Resources, Inc., 4.5%, 4/15/2023      6,845,000        6,519,863   
Gulfport Energy Corp., 6%, 10/15/2024 (z)      4,370,000        4,451,938   
PDC Energy, Inc., 6.125%, 9/15/2024 (n)      6,120,000        6,364,800   
QEP Resources, Inc., 5.25%, 5/01/2023      6,545,000        6,430,463   
Range Resources Corp., 4.875%, 5/15/2025      6,845,000        6,540,466   
Rice Energy, Inc., 7.25%, 5/01/2023      5,815,000        6,163,900   
Sanchez Energy Corp., 6.125%, 1/15/2023      6,525,000        5,578,875   
Seven Generations Energy, 8.25%, 5/15/2020 (n)      2,825,000        2,994,500   
Whiting Petroleum Corp., 6.25%, 4/01/2023      5,790,000        5,341,275   
    

 

 

  
      $ 73,359,202   
Energy - Integrated - 0.4%                 
Cenovus Energy, Inc., 6.75%, 11/15/2039    $ 3,341,000      $ 3,729,522   
Cenovus Energy, Inc., 4.45%, 9/15/2042      3,215,000        2,818,115   
    

 

 

  
      $ 6,547,637   
Entertainment - 1.4%                 
AMC Entertainment Holdings, Inc., 5.875%, 11/15/2026 (z)    $ 925,000      $ 928,469   
Cedar Fair LP, 5.25%, 3/15/2021      5,025,000        5,211,277   
Cedar Fair LP, 5.375%, 6/01/2024      2,490,000        2,626,950   
Cinemark USA, Inc., 5.125%, 12/15/2022      3,135,000        3,221,213   
Cinemark USA, Inc., 4.875%, 6/01/2023      3,010,000        3,013,763   
Six Flags Entertainment Corp., 5.25%, 1/15/2021 (n)      4,915,000        5,062,450   
    

 

 

  
      $ 20,064,122   
Financial Institutions - 5.0%                 
Aircastle Ltd., 4.625%, 12/15/2018    $ 3,340,000      $ 3,481,950   
Aircastle Ltd., 5.125%, 3/15/2021      2,295,000        2,435,569   
Aircastle Ltd., 5.5%, 2/15/2022      5,495,000        5,893,388   
CIT Group, Inc., 5.25%, 3/15/2018      4,360,000        4,515,478   
CIT Group, Inc., 6.625%, 4/01/2018 (n)      4,776,000        5,014,800   
CIT Group, Inc., 5.5%, 2/15/2019 (n)      5,607,000        5,901,368   
CIT Group, Inc., 5%, 8/15/2022      1,885,000        2,009,881   
Credit Acceptance Corp., 6.125%, 2/15/2021      666,000        669,330   
Credit Acceptance Corp., 7.375%, 3/15/2023      4,415,000        4,558,488   
Icahn Enterprises LP, 6%, 8/01/2020      4,310,000        4,234,575   
Icahn Enterprises LP, 5.875%, 2/01/2022      5,000,000        4,756,250   
Nationstar Mortgage LLC/Capital Corp., 6.5%, 8/01/2018      3,080,000        3,116,575   
Nationstar Mortgage LLC/Capital Corp., 7.875%, 10/01/2020      6,025,000        6,145,500   
Nationstar Mortgage LLC/Capital Corp., 6.5%, 7/01/2021      1,605,000        1,592,963   
Navient Corp., 8%, 3/25/2020      6,835,000        7,415,975   
Navient Corp., 5.875%, 3/25/2021      1,975,000        1,977,469   
Navient Corp., 7.25%, 1/25/2022      6,615,000        6,681,150   
Navient Corp., 7.25%, 9/25/2023      1,260,000        1,255,275   
Navient Corp., 6.125%, 3/25/2024      2,850,000        2,607,750   
    

 

 

  
      $ 74,263,734   

 

4

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Food & Beverages - 1.7%                 
JBS Investments GmbH, 7.25%, 4/03/2024    $   2,070,000      $ 2,090,700   
JBS USA LLC/JBS USA Finance, Inc., 5.875%, 7/15/2024 (n)      6,730,000        6,763,650   
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.875%, 1/15/2024      4,380,000        4,697,550   
Sun Merger Sub, Inc., 5.875%, 8/01/2021 (n)      5,380,000        5,608,650   
U.S. Foods Holding Corp., 5.875%, 6/15/2024 (n)      5,615,000        5,839,600   
    

 

 

  
      $ 25,000,150   
Forest & Paper Products - 0.2%                 
Appvion, Inc., 9%, 6/01/2020 (n)    $ 4,245,000      $ 2,631,900   
Gaming & Lodging - 3.2%                 
CCM Merger, Inc., 9.125%, 5/01/2019 (n)    $ 3,555,000      $ 3,714,975   
GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/01/2023      5,715,000        6,129,338   
GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026      750,000        796,875   
Greektown Holdings LLC, 8.875%, 3/15/2019 (n)      5,100,000        5,393,250   
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.625%, 10/15/2021      5,675,000        5,845,250   
Isle of Capri Casinos, Inc., 8.875%, 6/15/2020      1,110,000        1,175,213   
Isle of Capri Casinos, Inc., 5.875%, 3/15/2021      5,520,000        5,740,800   
MGM Resorts International, 6.625%, 12/15/2021      4,865,000        5,433,621   
MGM Resorts International, 6%, 3/15/2023      5,340,000        5,780,550   
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2021      5,675,000        5,845,250   
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2023      2,155,000        2,198,100   
    

 

 

  
      $ 48,053,222   
Industrial - 0.9%                 
Dematic S.A., 7.75%, 12/15/2020 (n)    $ 7,725,000      $ 8,034,000   
Howard Hughes Corp., 6.875%, 10/01/2021 (n)      5,480,000        5,789,620   
    

 

 

  
      $ 13,823,620   
Insurance - Health - 0.5%                 
Centene Corp., 5.625%, 2/15/2021    $ 2,790,000      $ 2,926,738   
Centene Corp., 6.125%, 2/15/2024      3,770,000        4,015,050   
    

 

 

  
      $ 6,941,788   
Machinery & Tools - 1.6%                 
Ashtead Capital, Inc., 5.625%, 10/01/2024 (n)    $ 4,975,000      $ 5,236,188   
CNH Industrial Capital LLC, 4.375%, 11/06/2020      7,190,000        7,351,775   
CNH Industrial N.V., 4.5%, 8/15/2023      2,920,000        2,934,600   
H&E Equipment Services Co., 7%, 9/01/2022      5,800,000        6,101,600   
Light Tower Rentals, Inc., 8.125%, 8/01/2019 (n)      3,300,000        1,480,875   
    

 

 

  
      $ 23,105,038   
Major Banks - 1.9%                 
Bank of America Corp., FRN, 6.1%, 12/29/2049    $ 12,345,000      $ 12,897,562   
Bank of America Corp., FRN, 6.3%, 12/29/2049      1,905,000        2,078,641   
JPMorgan Chase & Co., 6% to 8/01/2023, FRN to 12/29/2049      6,460,000        6,734,550   
Royal Bank of Scotland Group PLC, 7.5% to 8/10/2020, FRN to 12/29/2049      3,760,000        3,449,800   
Royal Bank of Scotland Group PLC, 8.625% to 8/15/2021, FRN to 12/29/2049      2,600,000        2,587,000   
    

 

 

  
      $ 27,747,553   
Medical & Health Technology & Services - 6.1%                 
AmSurg Corp., 5.625%, 7/15/2022    $ 4,430,000      $ 4,518,600   
CHS/Community Health Systems, Inc., 6.875%, 2/01/2022      6,990,000        5,329,875   
DaVita, Inc., 5.125%, 7/15/2024      615,000        601,547   
DaVita, Inc., 5%, 5/01/2025      5,210,000        5,027,650   
HCA, Inc., 4.25%, 10/15/2019      4,370,000        4,533,875   

 

5

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Medical & Health Technology & Services - continued                 
HCA, Inc., 7.5%, 2/15/2022    $   7,040,000      $ 8,011,520   
HCA, Inc., 5.875%, 3/15/2022      5,470,000        6,017,000   
HCA, Inc., 5%, 3/15/2024      4,960,000        5,165,840   
HCA, Inc., 5.375%, 2/01/2025      5,735,000        5,853,715   
HCA, Inc., 5.875%, 2/15/2026      2,780,000        2,919,000   
HealthSouth Corp., 5.125%, 3/15/2023      5,430,000        5,484,300   
HealthSouth Corp., 5.75%, 11/01/2024      4,015,000        4,140,469   
LifePoint Health, Inc., 5.375%, 5/01/2024 (z)      3,190,000        3,170,222   
MEDNAX, Inc., 5.25%, 12/01/2023 (n)      3,940,000        4,117,300   
Quorum Health Corp., 11.625%, 4/15/2023 (n)      4,500,000        3,262,500   
Tenet Healthcare Corp., 8%, 8/01/2020      8,615,000        8,528,850   
Tenet Healthcare Corp., 8.125%, 4/01/2022      6,175,000        6,036,063   
Tenet Healthcare Corp., 6.75%, 6/15/2023      3,275,000        3,008,906   
Universal Health Services, Inc., 7.625%, 8/15/2020      4,380,000        4,204,800   
    

 

 

  
      $ 89,932,032   
Medical Equipment - 0.9%                 
Hologic, Inc., 5.25%, 7/15/2022 (n)    $ 5,190,000      $ 5,488,944   
Teleflex, Inc., 5.25%, 6/15/2024      4,750,000        4,916,250   
Teleflex, Inc., 4.875%, 6/01/2026      2,525,000        2,588,125   
    

 

 

  
      $ 12,993,319   
Metals & Mining - 4.4%                 
Allegheny Technologies, Inc., 5.95%, 1/15/2021    $ 3,939,000      $ 3,643,575   
Century Aluminum Co., 7.5%, 6/01/2021 (n)      4,715,000        4,290,650   
Commercial Metals Co., 4.875%, 5/15/2023      4,263,000        4,220,370   
First Quantum Minerals Ltd., 7.25%, 10/15/2019 (n)      4,577,000        4,514,066   
First Quantum Minerals Ltd., 7.25%, 5/15/2022 (n)      2,005,000        1,897,231   
Freeport-McMoRan Copper & Gold, Inc., 3.875%, 3/15/2023      5,245,000        4,733,613   
Freeport-McMoRan Oil & Gas LLC, 6.5%, 11/15/2020      845,000        862,956   
Freeport-McMoRan Oil & Gas LLC, 6.875%, 2/15/2023      1,587,000        1,646,513   
Freeport-McMoRan, Inc., 5.45%, 3/15/2043      2,405,000        1,996,150   
GrafTech International Co., 6.375%, 11/15/2020      4,795,000        3,644,200   
Hudbay Minerals, Inc., 9.5%, 10/01/2020      4,270,000        4,376,750   
Kaiser Aluminum Corp., 5.875%, 5/15/2024      4,230,000        4,467,938   
Kinross Gold Corp., 5.125%, 9/01/2021      2,535,000        2,636,400   
Kinross Gold Corp., 5.95%, 3/15/2024      2,580,000        2,709,000   
Lundin Mining Corp., 7.5%, 11/01/2020 (n)      2,165,000        2,300,313   
Lundin Mining Corp., 7.875%, 11/01/2022 (n)      2,545,000        2,748,600   
Steel Dynamics, Inc., 5.125%, 10/01/2021      1,725,000        1,798,313   
Steel Dynamics, Inc., 5.25%, 4/15/2023      720,000        745,200   
Steel Dynamics, Inc., 5.5%, 10/01/2024      2,725,000        2,874,875   
Suncoke Energy Partners LP/Suncoke Energy Partners Finance Corp., 7.375%, 2/01/2020      5,255,000        5,057,938   
Suncoke Energy, Inc., 7.625%, 8/01/2019      472,000        425,980   
TMS International Corp., 7.625%, 10/15/2021 (n)      4,555,000        3,757,875   
    

 

 

  
      $ 65,348,506   
Midstream - 6.1%                 
Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022 (n)    $ 6,250,000      $ 6,109,375   
Crestwood Midstream Partners LP, 6%, 12/15/2020      2,690,000        2,737,075   
Crestwood Midstream Partners LP, 6.125%, 3/01/2022      2,930,000        2,995,925   
Crestwood Midstream Partners LP, 6.25%, 4/01/2023      1,830,000        1,852,875   
Energy Transfer Equity LP, 7.5%, 10/15/2020      7,680,000        8,371,200   
EnLink Midstream Partners LP, 4.4%, 4/01/2024      5,510,000        5,481,657   
Ferrellgas LP/Ferrellgas Finance Corp., 6.5%, 5/01/2021      2,080,000        1,960,400   

 

6

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Midstream - continued                 
Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, 1/15/2022    $   4,270,000      $ 4,003,125   
Kinder Morgan (Delaware), Inc., 7.75%, 1/15/2032      5,952,000        7,278,725   
MPLX LP, 5.5%, 2/15/2023      3,370,000        3,511,099   
MPLX LP, 4.5%, 7/15/2023      4,924,000        5,065,368   
Sabine Pass Liquefaction LLC, 5.625%, 2/01/2021      5,880,000        6,188,700   
Sabine Pass Liquefaction LLC, 5.625%, 4/15/2023      7,540,000        8,011,250   
Sabine Pass Liquefaction LLC, 5.75%, 5/15/2024      2,545,000        2,691,338   
Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025      3,104,000        3,284,498   
Sabine Pass Liquefaction LLC, 5.875%, 6/30/2026 (n)      2,170,000        2,338,609   
Targa Resources Partners LP/Targa Resources Finance Corp., 4.125%, 11/15/2019      2,555,000        2,577,356   
Targa Resources Partners LP/Targa Resources Finance Corp., 5.25%, 5/01/2023      2,800,000        2,779,280   
Targa Resources Partners LP/Targa Resources Finance Corp., 5.375%, 2/01/2027 (n)      6,315,000        6,315,000   
Williams Cos., Inc., 4.55%, 6/24/2024      6,510,000        6,623,925   
    

 

 

  
      $ 90,176,780   
Network & Telecom - 1.7%                 
Centurylink, Inc., 6.45%, 6/15/2021    $ 4,305,000      $ 4,595,588   
Centurylink, Inc., 7.65%, 3/15/2042      3,875,000        3,448,750   
Frontier Communications Corp., 6.25%, 9/15/2021      1,590,000        1,510,500   
Frontier Communications Corp., 7.125%, 1/15/2023      3,400,000        3,057,875   
Frontier Communications Corp., 11%, 9/15/2025      4,300,000        4,402,770   
Frontier Communications Corp., 9%, 8/15/2031      2,815,000        2,449,050   
Telecom Italia Capital, 6%, 9/30/2034      1,680,000        1,671,600   
Telecom Italia S.p.A., 5.303%, 5/30/2024 (n)      3,865,000        3,927,806   
    

 

 

  
      $ 25,063,939   
Oil Services - 0.5%                 
Bristow Group, Inc., 6.25%, 10/15/2022    $ 2,973,000      $ 2,370,968   
Weatherford International Ltd., 8.25%, 6/15/2023      5,325,000        5,511,375   
    

 

 

  
      $ 7,882,343   
Oils - 0.6%                 
CITGO Holding, Inc., 10.75%, 2/15/2020 (n)    $ 2,765,000      $ 2,823,065   
CITGO Petroleum Corp., 6.25%, 8/15/2022 (n)      5,445,000        5,567,513   
    

 

 

  
      $ 8,390,578   
Other Banks & Diversified Financials - 0.8%                 
Groupe BPCE S.A., 12.5% to 9/30/2019, FRN to 8/29/2049 (n)    $ 3,873,000      $ 4,892,838   
UBS AG, 6.875%, 12/29/2049      6,405,000        6,338,414   
    

 

 

  
      $ 11,231,252   
Pharmaceuticals - 1.7%                 
Endo Finance LLC/Endo Finco, Inc., 7.25%, 1/15/2022 (n)    $ 5,835,000      $ 5,528,663   
Mallinckrodt International Finance S.A., 5.75%, 8/01/2022 (n)      3,400,000        3,221,500   
Mallinckrodt International Finance S.A., 5.5%, 4/15/2025 (n)      3,555,000        3,288,375   
Valeant Pharmaceuticals International, Inc., 7%, 10/01/2020 (n)      6,110,000        5,468,450   
Valeant Pharmaceuticals International, Inc., 7.5%, 7/15/2021 (n)      3,230,000        2,874,700   
Valeant Pharmaceuticals International, Inc., 7.25%, 7/15/2022 (n)      3,390,000        2,949,300   
VRX Escrow Corp., 5.875%, 5/15/2023 (n)      3,240,000        2,551,500   
    

 

 

  
      $ 25,882,488   
Precious Metals & Minerals - 0.7%                 
Eldorado Gold Corp., 6.125%, 12/15/2020 (n)    $ 4,095,000      $ 4,135,950   
Teck Resources Ltd., 4.5%, 1/15/2021      2,475,000        2,487,375   
Teck Resources Ltd., 8%, 6/01/2021 (n)      2,340,000        2,556,450   
Teck Resources Ltd., 3.75%, 2/01/2023      1,600,000        1,513,000   
    

 

 

  
      $ 10,692,775   

 

7

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Printing & Publishing - 1.2%                 
Nielsen Finance LLC, 5%, 4/15/2022 (n)    $   8,015,000      $ 8,175,300   
Outdoor Americas Capital LLC/Outfront Media Capital Corp., 5.625%, 2/15/2024      2,590,000        2,693,600   
TEGNA, Inc., 5.125%, 7/15/2020      1,415,000        1,471,600   
TEGNA, Inc., 4.875%, 9/15/2021 (n)      1,900,000        1,980,750   
TEGNA, Inc., 6.375%, 10/15/2023      3,900,000        4,124,250   
    

 

 

  
      $ 18,445,500   
Real Estate - Healthcare - 0.7%                 
MPT Operating Partnership LP, REIT, 6.375%, 2/15/2022    $ 4,905,000      $ 5,088,938   
MPT Operating Partnership LP, REIT, 5.25%, 8/01/2026      4,595,000        4,686,900   
    

 

 

  
      $ 9,775,838   
Real Estate - Other - 0.9%                 
DuPont Fabros Technology LP, REIT, 5.875%, 9/15/2021    $ 7,260,000      $ 7,604,850   
Felcor Lodging LP, REIT, 5.625%, 3/01/2023      5,115,000        5,278,629   
    

 

 

  
      $ 12,883,479   
Restaurants - 0.3%                 
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, 6/01/2026 (n)    $ 4,340,000      $ 4,524,450   
Retailers - 1.6%                 
Dollar Tree, Inc., 5.75%, 3/01/2023    $ 6,865,000      $ 7,311,225   
DriveTime Automotive Group, Inc./DT Acceptance Corp., 8%, 6/01/2021 (n)      4,418,000        4,219,190   
Neiman Marcus Group Ltd., 8%, 10/15/2021 (n)      1,755,000        1,447,875   
Rite Aid Corp., 9.25%, 3/15/2020      1,000,000        1,052,500   
Rite Aid Corp., 6.75%, 6/15/2021      1,380,000        1,449,000   
Rite Aid Corp., 6.125%, 4/01/2023 (n)      4,245,000        4,478,475   
Sally Beauty Holdings, Inc., 5.625%, 12/01/2025      2,910,000        3,106,425   
    

 

 

  
      $ 23,064,690   
Specialty Chemicals - 0.9%                 
Chemtura Corp., 5.75%, 7/15/2021    $ 6,165,000      $ 6,423,159   
Univar USA, Inc., 6.75%, 7/15/2023 (n)      6,455,000        6,680,925   
    

 

 

  
      $ 13,104,084   
Specialty Stores - 1.1%                 
Argos Merger Sub, Inc., 7.125%, 3/15/2023 (n)    $ 5,730,000      $ 5,995,013   
Group 1 Automotive, Inc., 5%, 6/01/2022      6,105,000        6,089,738   
Michaels Stores, Inc., 5.875%, 12/15/2020 (n)      4,255,000        4,377,331   
    

 

 

  
      $ 16,462,082   
Supermarkets - 0.4%                 
Albertsons Cos. LLC/Safeway, Inc., 6.625%, 6/15/2024 (n)    $ 5,440,000      $ 5,644,000   
Telecommunications - Wireless - 3.8%                 
Altice Luxembourg S.A., 7.75%, 5/15/2022 (n)    $ 3,570,000      $ 3,728,419   
Altice Luxembourg S.A., 7.625%, 2/15/2025 (n)      4,145,000        4,310,800   
Digicel Group Ltd., 8.25%, 9/30/2020 (n)      1,445,000        1,278,825   
Digicel Group Ltd., 7.125%, 4/01/2022 (n)      2,231,000        1,767,398   
Digicel Group Ltd., 6.75%, 3/01/2023 (n)      7,033,000        6,310,008   
Sprint Capital Corp., 6.875%, 11/15/2028      3,690,000        3,394,800   
Sprint Corp., 7.875%, 9/15/2023      3,395,000        3,361,050   
Sprint Corp., 7.125%, 6/15/2024      8,300,000        7,802,000   
Sprint Nextel Corp., 9%, 11/15/2018 (n)      1,980,000        2,178,000   
Sprint Nextel Corp., 6%, 11/15/2022      2,625,000        2,446,185   

 

8

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Telecommunications - Wireless - continued                 
T-Mobile USA, Inc., 6.125%, 1/15/2022    $      475,000      $ 501,125   
T-Mobile USA, Inc., 6.5%, 1/15/2024      3,035,000        3,247,450   
T-Mobile USA, Inc., 6.464%, 4/28/2019      1,465,000        1,488,806   
T-Mobile USA, Inc., 6.25%, 4/01/2021      7,535,000        7,845,819   
T-Mobile USA, Inc., 6.633%, 4/28/2021      1,890,000        1,982,138   
T-Mobile USA, Inc., 6.5%, 1/15/2026      3,600,000        3,946,320   
    

 

 

  
      $ 55,589,143   
Telephone Services - 0.5%                 
Level 3 Financing, Inc., 5.375%, 1/15/2024    $ 1,900,000      $ 1,938,000   
Level 3 Financing, Inc., 5.375%, 5/01/2025      6,000,000        6,090,000   
    

 

 

  
      $ 8,028,000   
Transportation - Services - 0.6%                 
Navios Maritime Acquisition Corp., 8.125%, 11/15/2021 (n)    $ 3,947,000      $ 2,979,985   
Navios Maritime Holding, Inc., 7.375%, 1/15/2022 (n)      4,175,000        2,171,000   
Navios South American Logistics, Inc., 7.25%, 5/01/2022      1,110,000        876,900   
Syncreon Group BV/Syncre, 8.625%, 11/01/2021 (n)      3,185,000        2,356,900   
Ultrapetrol Bahamas Ltd., 8.875%, 6/15/2021 (a)(d)      786,000        149,340   
    

 

 

  
      $ 8,534,125   
Utilities - Electric Power - 2.4%                 
Calpine Corp., 5.5%, 2/01/2024    $ 3,935,000      $ 3,836,625   
Calpine Corp., 5.75%, 1/15/2025      4,305,000        4,186,613   
Covanta Holding Corp., 7.25%, 12/01/2020      4,290,000        4,402,613   
Covanta Holding Corp., 6.375%, 10/01/2022      2,185,000        2,223,238   
Covanta Holding Corp., 5.875%, 3/01/2024      3,840,000        3,772,800   
Dynegy, Inc., 7.375%, 11/01/2022      8,630,000        8,322,556   
Dynegy, Inc., 8%, 1/15/2025 (z)      1,585,000        1,529,525   
NRG Energy, Inc., 6.625%, 3/15/2023      4,945,000        4,932,638   
NRG Energy, Inc., 7.25%, 5/15/2026 (n)      1,620,000        1,593,934   
    

 

 

  
             $ 34,800,542   
Total Bonds            $ 1,351,282,863   
Floating Rate Loans (g)(r) - 3.6%                 
Aerospace - 0.2%                 
TransDigm, Inc., Term Loan C, 3.75%, 2/28/2020    $ 3,641,456      $ 3,633,365   
Broadcasting - 0.2%                 
Nexstar Broadcasting, Inc., Term Loan B, 3%, 9/23/2023 (o)    $ 2,168,198      $ 2,175,942   
Building - 0.5%                 
ABC Supply Co., Inc., Term Loan B, 3.5%, 4/16/2020    $ 5,014,702      $ 5,025,529   
HD Supply, Inc., Term Loan B, 3.75%, 8/13/2021      2,285,429        2,290,189   
    

 

 

  
      $ 7,315,718   
Chemicals - 0.1%                 
GCP Applied Technologies, Inc., Term Loan B, 4%, 2/03/2022 (o)    $ 1,881,355      $ 1,893,113   
Computer Software - Systems - 0.3%                 
CDW LLC, Term Loan B, 3%, 8/17/2023    $ 2,285,472      $ 2,291,595   
Sabre GLBL, Inc., Term Loan B, 4%, 2/19/2019 (o)      1,791,200        1,796,638   
    

 

 

  
      $ 4,088,233   

 

9

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Floating Rate Loans (g)(r) - continued                 
Conglomerates - 0.2%                 
Entegris, Inc., Term Loan B, 3.5%, 4/30/2021    $ 3,281,332      $ 3,296,370   
Consumer Products - 0.1%                 
Spectrum Brands, Inc., Term Loan B, 3.5%, 6/23/2022    $ 1,791,200      $ 1,799,260   
Entertainment - 0.2%                 
Cedar Fair LP, Term Loan B, 3.25%, 3/06/2020    $ 1,045,272      $ 1,048,213   
Six Flags Theme Parks, Inc., Term Loan B, 3.25%, 6/30/2022 (o)      1,791,200        1,795,678   
    

 

 

  
      $ 2,843,891   
Food & Beverages - 0.1%                 
Pinnacle Foods Finance LLC, Term Loan I, 2.75%, 1/13/2023 (o)    $ 1,786,700      $ 1,798,704   
Gaming & Lodging - 0.2%                 
Hilton Worldwide Finance LLC, Term Loan B1, 3.5%, 10/25/2020    $ 2,836,642      $ 2,845,254   
Medical & Health Technology & Services - 0.3%                 
DaVita Healthcare Partners, Inc., Term Loan B, 3.5%, 6/24/2021    $ 3,893,247      $ 3,893,247   
Printing & Publishing - 0.2%                 
CBS Outdoor, Term Loan B, 3%, 1/31/2021    $ 2,644,824      $ 2,642,620   
Retailers - 0.1%                 
Rite Aid Corp., Second Lien Term Loan, 4.87%, 6/21/2021    $ 937,940      $ 939,581   
Telephone Services - 0.1%                 
Level 3 Financing, Inc., Term Loan B, 4%, 1/15/2020    $ 2,100,200      $ 2,109,388   
Transportation - Services - 0.5%                 
Commercial Barge Line Co., First Lien Term Loan, 9.75%, 11/12/2020    $ 7,193,385      $ 6,950,609   
Utilities - Electric Power - 0.3%                 
Calpine Construction Finance Co., Term Loan B1, 3%, 5/03/2020 (o)    $ 4,918,152      $ 4,878,192   
Total Floating Rate Loans            $ 53,103,487   
Common Stocks - 0.5%                 
Special Products & Services - 0.5%                 
iShares iBoxx $ High Yield Corporate Bond ETF      83,300      $ 7,165,466   
Total Common Stocks            $ 7,165,466   
Money Market Funds - 4.0%                 
MFS Institutional Money Market Portfolio, 0.44% (v)      58,213,662      $ 58,213,662   
Total Investments            $ 1,469,765,478   
Other Assets, Less Liabilities - 0.3%              4,876,912   
Net Assets - 100.0%            $ 1,474,642,390   

 

(a) Non-income producing security.
(d) In default.
(g) The rate shown represents a weighted average coupon rate on settled positions at period end, unless otherwise indicated.
(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 $495,716,292 representing 33.6% of net assets.

 

10

Portfolio of Investments (unaudited) – continued

 

(o) All or a portion of this position has not settled. Upon settlement date, interest rates for unsettled amounts will be determined. The rate shown, if any, represents the weighted average coupon rate for settled amounts.
(r) Remaining maturities of floating rate loans may be less than 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. Floating rate loans generally have rates of interest which are determined periodically by reference to a base lending rate plus a premium.
(v) Underlying affiliated fund that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end.
(z) Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities:

 

Restricted Securities    Acquisition
Date		     
Cost		      Value  
AMC Entertainment Holdings, Inc., 5.875%, 11/15/2026      10/28/16         $925,000         $928,469   
Alliance Data Systems Corp., 5.875%, 11/01/2021      10/24/16-10/25/16         4,649,148         4,669,763   
CBS Radio, Inc., 7.25%, 11/01/2024      10/07/16-10/25/16         2,641,694         2,669,588   
Dynegy, Inc., 8%, 1/15/2025      10/05/16-10/06/16         1,591,221         1,529,525   
Gulfport Energy Corp., 6%, 10/15/2024      10/06/16-10/21/16         4,465,700         4,451,938   
LifePoint Health, Inc., 5.375%, 5/01/2024      10/24/16-10/27/16         3,219,105         3,170,222   
Netflix, Inc., 4.375%, 11/15/2026      10/24/16         2,315,000         2,277,381   
Total Restricted Securities            $19,696,886   
% of Net assets            1.3%   

The following abbreviations are used in this report and are defined:

 

ETF   Exchange-Traded Fund
FRN   Floating Rate Note. Interest rate resets periodically and the current rate may not be the rate reported at period end.
PLC   Public Limited Company
REIT   Real Estate Investment Trust

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:

 

EUR   Euro

Derivative Contracts at 10/31/16

Forward Foreign Currency Exchange Contracts at 10/31/16

 

Type    Currency      Counterparty    Contracts to
Deliver/Receive		    Settlement
Date Range		    In Exchange
For		      Contracts
at Value		      Net Unrealized
Appreciation
(Depreciation)		  
Asset Derivatives            
SELL      EUR      

Goldman Sachs International

    2,033,642    12/09/16      $2,285,779         $2,236,011         $49,768   
                    

 

 

  

Futures Contracts at 10/31/16

 

Description    Currency      Contracts      Value    Expiration
Date		      Unrealized
Appreciation
(Depreciation)		  
Asset Derivatives               
Interest Rate Futures               
U.S. Treasury Note 10 yr (Short)      USD         91       $11,795,875      December - 2016         $147,559   
              

 

 

  

At October 31, 2016, the fund had cash collateral of $122,850 to cover any commitments 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.

 

11

Supplemental Information

10/31/16 (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. 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. Values obtained from 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 halting of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.

Various inputs are used in determining the value of the fund’s assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments not reflected in total investments, such as futures contracts and forward foreign currency exchange contracts. The following is a summary of the levels used as of October 31, 2016 in valuing the fund’s assets or liabilities:

 

Investments at Value    Level 1      Level 2      Level 3      Total  
Equity Securities      $7,165,466         $—         $—         $7,165,466   
U.S. Corporate Bonds      —         1,166,082,818         —         1,166,082,818   
Foreign Bonds      —         185,200,045         —         185,200,045   
Floating Rate Loans      —         53,103,487         —         53,103,487   
Mutual Funds      58,213,662         —         —         58,213,662   
Total Investments      $65,379,128         $1,404,386,350         $—         $1,469,765,478   
Other Financial Instruments                            
Futures Contracts      $147,559         $—         $—         $147,559   
Forward Foreign Currency Exchange Contracts      —         49,768         —         49,768   

For further information regarding security characteristics, see the Portfolio of Investments.

 

12

Supplemental Information (unaudited) – continued

 

(2) Portfolio Securities

The cost and unrealized appreciation and depreciation in the value of the investments owned by the fund, as computed on a federal income tax basis, are as follows:

 

Aggregate cost      $1,460,469,080   
Gross unrealized appreciation      39,737,212   
Gross unrealized depreciation      (30,440,814 ) 
Net unrealized appreciation (depreciation)      $9,296,398   

The aggregate cost above includes prior fiscal year end tax adjustments, if applicable.

(3) Transactions in Underlying Affiliated Funds – 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 fund assumes the following to be an affiliated issuer:

 

Underlying Affiliated Fund    Beginning
Shares/Par
Amount		      Acquisitions
Shares/Par
Amount		      Dispositions
Shares/Par
Amount		      Ending
Shares/Par
Amount		  
MFS Institutional Money Market Portfolio      34,778,255         287,266,969         (263,831,562 )       58,213,662   
Underlying Affiliated Fund    Realized
Gain (Loss)		      Capital Gain
Distributions		      Dividend
Income		      Ending
Value		  
MFS Institutional Money Market Portfolio      $802         $—         $145,434         $58,213,662   

 

13

QUARTERLY REPORT

October 31, 2016

 

LOGO

 

MFS® MUNICIPAL HIGH INCOME FUND

 

LOGO

PORTFOLIO OF INVESTMENTS

10/31/16 (unaudited)

The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by jurisdiction.

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - 99.4%                 
Alabama - 1.1%                 
Alexander City, AL, Special Care Facilities Financing Authority Medical Facilities Rev., “A” (Russell Hospital Corp.), 5.75%, 12/01/2036    $ 1,900,000      $ 1,885,962   
Birmingham, AL, Special Care Facilities Financing Authority Rev. (Methodist Home for the Aging), 5.5%, 6/01/2030      1,630,000        1,814,744   
Birmingham, AL, Special Care Facilities Financing Authority Rev. (Methodist Home for the Aging), 5.75%, 6/01/2035      1,685,000        1,885,010   
Birmingham, AL, Special Care Facilities Financing Authority Rev. (Methodist Home for the Aging), 5.75%, 6/01/2045      3,945,000        4,370,626   
Birmingham, AL, Special Care Facilities Financing Authority Rev. (Methodist Home for the Aging), 6%, 6/01/2050      2,565,000        2,880,854   
Cullman County, AL, Health Care Authority (Cullman Regional Medical Center), “A”, 6.25%, 2/01/2023      1,400,000        1,496,306   
Cullman County, AL, Health Care Authority (Cullman Regional Medical Center), “A”, 6.75%, 2/01/2029      4,790,000        5,079,172   
Cullman County, AL, Health Care Authority (Cullman Regional Medical Center), “A”, 7%, 2/01/2036      1,505,000        1,600,402   
Huntsville-Redstone Village, AL, Special Care Facilities Financing Authority (Redstone Village Project), 5.5%, 1/01/2028      1,700,000        1,702,924   
Huntsville-Redstone Village, AL, Special Care Facilities Financing Authority (Redstone Village Project), 5.5%, 1/01/2043      1,560,000        1,561,716   
Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/2025      65,000        48,654   
Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/2026      805,000        565,569   
Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/2029      1,130,000        647,580   
Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/2034      1,620,000        647,773   
Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/2035      3,080,000        1,149,949   
Jefferson County, AL, Sewer Rev. Warrants, Subordinate Lien, “D”, 5%, 10/01/2017      1,165,000        1,201,639   
Jefferson County, AL, Sewer Rev. Warrants, Subordinate Lien, “D”, 5%, 10/01/2018      1,210,000        1,274,856   
Jefferson County, AL, Sewer Rev. Warrants, Subordinate Lien, “D”, 5%, 10/01/2021      1,360,000        1,494,545   
Jefferson County, AL, Sewer Rev. Warrants, Subordinate Lien, “D”, 5%, 10/01/2023      1,995,000        2,212,256   
Pell City, AL, Special Care Facilities, Financing Authority Rev. (Noland Health Services, Inc.), 5%, 12/01/2039      1,670,000        1,832,959   
Selma, AL, Industrial Development Board Rev., Gulf Opportunity Zone (International Paper Co.), “A”, 6.25%, 11/01/2033      6,750,000        7,676,235   
Selma, AL, Industrial Development Board Rev., Gulf Opportunity Zone (International Paper Co.), “A”, 5.375%, 12/01/2035      1,635,000        1,874,266   
    

 

 

  
      $ 44,903,997   
Alaska - 0.2%                 
Alaska Industrial Development & Export Authority Power Rev. (Snettisham Hydroelectric Project), 5%, 1/01/2030    $ 875,000      $ 993,353   
Alaska Industrial Development & Export Authority Power Rev. (Snettisham Hydroelectric Project), 5%, 1/01/2031      1,270,000        1,434,592   
Koyukuk, AK, Tanana Chiefs Conference, Healthcare Facilities Project, 7.75%, 10/01/2041      3,315,000        3,933,347   
    

 

 

  
      $ 6,361,292   
Arizona - 1.9%                 
Florence, AZ, Industrial Development Authority Education Rev. (Legacy Traditional School Project - Queen Creek & Casa Grande Campuses), 6%, 7/01/2043    $ 3,150,000      $ 3,447,770   
Maricopa County, AZ, Pollution Control Rev. (El Paso Electric), “B”, 7.25%, 4/01/2040      1,790,000        2,030,164   
Maricopa County, AZ, Pollution Control Rev. (Southern California Edison Co.), “A”, 5%, 6/01/2035      4,700,000        5,225,507   
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Basis Schools Projects), “A”, 5%, 7/01/2035      2,035,000        2,175,008   
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Basis Schools Projects), “A”, 5%, 7/01/2035      700,000        748,160   
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Basis Schools Projects), “A”, 5%, 7/01/2045      3,015,000        3,188,543   
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Basis Schools Projects), “A”, 5%, 7/01/2046      1,735,000        1,834,867   
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Choice Academies, Inc. Project), 5.625%, 9/01/2042      2,205,000        2,373,021   
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Great Hearts Academies Project), “A”, 5%, 7/01/2034      6,355,000        7,053,986   
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Great Hearts Academies Project), “A”, 5%, 7/01/2036      815,000        912,140   
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Great Hearts Academies Project), “A”, 5%, 7/01/2041      660,000        734,474   
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Great Hearts Academies Project), “A”, 5%, 7/01/2044      3,970,000        4,364,420   
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Great Hearts Academies Project), “A”, 5%, 7/01/2046      1,235,000        1,369,479   
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Legacy Traditional Schools Project), 6.5%, 7/01/2034      1,970,000        2,264,239   
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Legacy Traditional Schools Project), 5%, 7/01/2035      1,430,000        1,476,604   
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Legacy Traditional Schools Project), 6.75%, 7/01/2044      3,155,000        3,666,236   
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Legacy Traditional Schools Project), 5%, 7/01/2045      1,570,000        1,604,242   
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Legacy Traditional Schools Project), 5%, 7/01/2046      3,935,000        4,026,095   
Phoenix, AZ, Industrial Development Authority Education Rev. (Eagle College Prep Project), 5%, 7/01/2033      855,000        892,193   

 

1

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Arizona - continued                 
Phoenix, AZ, Industrial Development Authority Education Rev. (Eagle College Prep Project), 5%, 7/01/2043    $ 1,715,000      $ 1,772,967   
Phoenix, AZ, Industrial Development Authority Lease Rev. (Guam Facilities Foundation, Inc. Project), 5%, 2/01/2018      1,500,000        1,534,305   
Phoenix, AZ, Industrial Development Authority Rev. (Guam Facilities Foundation, Inc.), 5.125%, 2/01/2034      4,545,000        4,589,859   
Phoenix, AZ, Industrial Development Authority Rev. (Guam Facilities Foundation, Inc.), 5.375%, 2/01/2041      4,785,000        4,883,858   
Pima County, AZ, Industrial Development Authority Rev. (Tucson Electric Power Co.), “A”, 5.25%, 10/01/2040      4,755,000        5,268,017   
Salt Verde Financial Corp., AZ, Senior Gas Rev., 5%, 12/01/2032      2,940,000        3,543,406   
Tempe, AZ, Industrial Development Authority Rev. (Friendship Village), “A”, 6.25%, 12/01/2042      1,675,000        1,833,840   
Tempe, AZ, Industrial Development Authority Rev. (Friendship Village), “A”, 6.25%, 12/01/2046      1,275,000        1,394,085   
    

 

 

  
      $ 74,207,485   
Arkansas - 0.4%                 
Arkansas Development Finance Authority Hospital Rev. (Washington Regional Medical Center), “A”, 5%, 2/01/2035    $ 365,000      $ 417,699   
Arkansas Development Finance Authority Hospital Rev. (Washington Regional Medical Center), “C”, 5%, 2/01/2033      540,000        620,514   
Arkansas Development Finance Authority, Tobacco Settlement Rev. (Cancer Research Center Project), Capital Appreciation, AMBAC, 0%, 7/01/2046      6,455,000        1,993,498   
Pulaski County, AR, Public Facilities Board Healthcare Rev. (Baptist Health), 5%, 12/01/2039      9,510,000        10,858,708   
Pulaski County, AR, Public Facilities Board Healthcare Rev. (Baptist Health), 5%, 12/01/2042      1,360,000        1,550,781   
    

 

 

  
      $ 15,441,200   
California - 8.1%                 
ABAG Finance Authority for Non-Profit Corps., CA, Rev. (Episcopal Senior Communities), 6.125%, 7/01/2041    $ 4,000,000      $ 4,536,640   
Acton-Agua Dulce, CA, Unified School District (Election of 2008), Capital Appreciation, AGM, 0%, 5/01/2039      7,550,000        3,331,060   
Alameda, CA, Corridor Transportation Authority Second Subordinate Lien Rev., “B”, 5%, 10/01/2037      935,000        1,087,377   
Alameda, CA, Corridor Transportation Authority Second Subordinate Lien Rev., “B”, AGM, 5%, 10/01/2037      240,000        283,387   
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 8/01/2031      2,060,000        1,348,826   
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 8/01/2032      2,095,000        1,322,972   
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 8/01/2033      4,185,000        2,558,291   
California Educational Facilities Authority Rev., 5%, 2/01/2026 (Prerefunded 2/01/2017)      900,000        909,756   
California Educational Facilities Authority Rev., 5%, 2/01/2026      2,690,000        2,707,458   
California Educational Facilities Authority Rev. (California Lutheran University), 5.75%, 10/01/2038      2,320,000        2,496,181   
California Educational Facilities Authority Rev. (Dominican University of California), 5%, 12/01/2036      1,000,000        1,003,280   
California Educational Facilities Authority Rev. (Stanford University), 5%, 5/01/2045      13,795,000        19,220,436   
California Health Facilities Financing Authority Rev. (St. Joseph Health System), “A”, 5.75%, 7/01/2039      2,765,000        3,074,072   
California Housing Finance Agency Rev. (Home Mortgage), “E”, 4.75%, 2/01/2030      2,560,000        2,580,864   
California Housing Finance Agency Rev. (Home Mortgage), “G”, 4.95%, 8/01/2023      8,080,000        8,144,721   
California Housing Finance Agency Rev. (Home Mortgage), “L”, 5.45%, 8/01/2033      11,580,000        12,036,947   
California M-S-R Energy Authority Gas Rev., “A”, 7%, 11/01/2034      1,135,000        1,658,337   
California M-S-R Energy Authority Gas Rev., “A”, 6.5%, 11/01/2039      4,000,000        5,562,200   
California Municipal Finance Authority Rev. (Biola University), 5.8%, 10/01/2028      1,915,000        2,032,198   
California Municipal Finance Authority Rev. (Northbay Healthcare Group), 5%, 11/01/2035      475,000        531,017   
California Municipal Finance Authority Rev. (Partnerships to Uplift Communities Project), “A”, 5%, 8/01/2032      1,585,000        1,679,799   
California Municipal Finance Authority Rev. (University of La Verne), “A”, 6.25%, 6/01/2040      900,000        1,038,501   
California Pollution Control Financing Authority, Water Facilities Rev. (American Water Capital Corp. Project), 5.25%, 8/01/2040      3,500,000        3,897,040   
California Pollution Control Financing Authority, Water Furnishing Rev. (Poseidon Resources Desalination Project), 5%, 11/21/2045      4,080,000        4,492,121   
California Pollution Control Financing Authority, Water Furnishing Rev. (San Diego County Water Desalination Project Pipeline), 5%, 11/21/2045      2,975,000        3,043,931   
California Public Works Board Lease Rev. (Various Capital Projects), “G-1”, 5.75%, 10/01/2030      3,380,000        3,806,218   
California Public Works Board Lease Rev., Department of Corrections and Rehabilitation (Various Correctional Facilities), “A”, 5%, 9/01/2033      10,830,000        12,812,540   
California School Finance Authority, Charter School Rev. (Aspire Public Schools - Obligated Group), 5%, 8/01/2041      675,000        756,061   
California School Finance Authority, Charter School Rev. (Aspire Public Schools - Obligated Group), 5%, 8/01/2036      865,000        975,928   
California School Finance Authority, Charter School Rev. (Downtown Prep - Obligated Group), 5%, 6/01/2046      1,325,000        1,365,863   
California School Finance Authority, School Facility Rev. (Alliance for College-Ready Public Schools Projects), “A”, 4%, 7/01/2024      730,000        796,357   
California School Finance Authority, School Facility Rev. (Alliance for College-Ready Public Schools Projects), “A”, 4%, 7/01/2025      760,000        829,730   
California School Finance Authority, School Facility Rev. (Alliance for College-Ready Public Schools Projects), “A”, 5%, 7/01/2030      435,000        499,158   

 

2

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
California - continued                 
California School Finance Authority, School Facility Rev. (Alliance for College-Ready Public Schools Projects), “A”, 5%, 7/01/2045    $ 1,150,000      $ 1,297,189   
California School Finance Authority, School Facility Rev. (ICEF View Park Elementary and Middle Schools), “A”, 4.75%, 10/01/2024      425,000        457,789   
California School Finance Authority, School Facility Rev. (ICEF View Park Elementary and Middle Schools), “A”, 5.625%, 10/01/2034      575,000        622,834   
California School Finance Authority, School Facility Rev. (ICEF View Park Elementary and Middle Schools), “A”, 5.875%, 10/01/2044      545,000        596,132   
California School Finance Authority, School Facility Rev. (ICEF View Park Elementary and Middle Schools), “A”, 6%, 10/01/2049      620,000        681,058   
California School Finance Authority, School Facility Rev. (Kipp LA Projects), “A”, 4.125%, 7/01/2024      450,000        486,671   
California School Finance Authority, School Facility Rev. (Kipp LA Projects), “A”, 5.125%, 7/01/2044      430,000        478,749   
California Statewide Communities Development Authority Environmental Facilities Rev. (Microgy Holdings Project), 9%, 12/01/2038 (a)(d)      100,980        505   
California Statewide Communities Development Authority Rev. (899 Charleston Project), “A”, 5.25%, 11/01/2044      760,000        839,268   
California Statewide Communities Development Authority Rev. (899 Charleston Project), “A”, 5.375%, 11/01/2049      945,000        1,045,472   
California Statewide Communities Development Authority Rev. (American Baptist Homes of the West), 6.25%, 10/01/2039      2,985,000        3,355,289   
California Statewide Communities Development Authority Rev. (California Baptist University), “A”, 5.125%, 11/01/2023      540,000        594,589   
California Statewide Communities Development Authority Rev. (California Baptist University), “A”, 5.4%, 11/01/2027      1,385,000        1,434,278   
California Statewide Communities Development Authority Rev. (California Baptist University), “A”, 6.125%, 11/01/2033      1,600,000        1,816,256   
California Statewide Communities Development Authority Rev. (California Baptist University), “A”, 6.375%, 11/01/2043      1,335,000        1,528,241   
California Statewide Communities Development Authority Rev. (Enloe Medical Center), CALHF, 5%, 8/15/2038      2,500,000        2,926,950   
California Statewide Communities Development Authority Rev. (Enloe Medical Center), CALHF, 5%, 8/15/2031      440,000        529,852   
California Statewide Communities Development Authority Rev. (Lancer Educational Student Housing Project), 5.625%, 6/01/2033      2,910,000        2,984,205   
California Statewide Communities Development Authority Rev. (Lancer Educational Student Housing Project), 7.5%, 6/01/2042      1,510,000        1,654,356   
California Statewide Communities Development Authority Rev. (Lancer Plaza Project), 5.125%, 11/01/2023      555,000        594,721   
California Statewide Communities Development Authority Rev. (Lancer Plaza Project), 5.625%, 11/01/2033      780,000        826,909   
California Statewide Communities Development Authority Rev. (Lancer Plaza Project), 5.875%, 11/01/2043      1,315,000        1,398,608   
California Statewide Communities Development Authority Rev. (Loma Linda University Medical Center), “A”, 5.25%, 12/01/2034      3,400,000        3,813,644   
California Statewide Communities Development Authority Rev. (Loma Linda University Medical Center), “A”, 5.25%, 12/01/2044      6,155,000        6,800,229   
California Statewide Communities Development Authority Rev. (Loma Linda University Medical Center), “A”, 5%, 12/01/2046      8,500,000        9,370,060   
California Statewide Communities Development Authority Rev. (Loma Linda University Medical Center), “A”, 5.25%, 12/01/2056      7,010,000        7,820,426   
California Statewide Communities Development Authority Rev. (Los Angeles Jewish Home for The Aging - Fountainview at Gonda), “A”, CALHF, 5%, 8/01/2034      1,000,000        1,161,560   
California Statewide Communities Development Authority Rev. (Los Angeles Jewish Home for The Aging - Fountainview at Gonda), “A”, CALHF, 5%, 8/01/2044      2,400,000        2,765,208   
California Statewide Communities Development Authority Rev. (Los Angeles Jewish Home for The Aging - Fountainview at Gonda), “B”, CALHF, 3%, 8/01/2021      1,540,000        1,542,325   
California Statewide Communities Development Authority Rev. (Los Angeles Jewish Home for The Aging - Fountainview at Gonda), “C”, CALHF, 2.5%, 8/01/2020      1,040,000        1,041,227   
California Statewide Communities Development Authority Rev. (Los Angeles Jewish Home for The Aging - Fountainview at Gonda), “D”, 4.75%, 8/01/2020      2,650,000        2,652,412   
California Statewide Communities Development Authority Rev. (Southern California Presbyterian Homes), 7%, 11/15/2029      1,400,000        1,599,864   
California Statewide Communities Development Authority Rev. (Southern California Presbyterian Homes), 7.25%, 11/15/2041      560,000        638,954   
California Statewide Communities Development Authority Rev. (Student Housing, SUCI East Campus), 6%, 5/15/2040 (Prerefunded 5/15/2018)      2,125,000        2,293,513   
California Statewide Communities Development Authority Rev. (The Terraces at San Joaquin Gardens), “A”, 5.625%, 10/01/2032      1,000,000        1,082,910   
California Statewide Communities Development Authority Rev. (The Terraces at San Joaquin Gardens), “A”, 6%, 10/01/2042      1,000,000        1,092,300   
California Statewide Communities Development Authority Rev. (University of California, Irvine East Campus Apartments), 5.375%, 5/15/2038      3,000,000        3,410,670   
California Statewide Communities Development Authority School Facility Rev. (Aspire Public Schools), 6.125%, 7/01/2046 (Prerefunded 1/01/2019)      7,630,000        8,464,188   
California Statewide Communities Development Authority School Facility Rev. (Aspire Public Schools), 6%, 7/01/2030 (Prerefunded 1/01/2019)      1,990,000        2,202,253   
California Statewide Communities Development Authority School Facility Rev. (Aspire Public Schools), 6.375%, 7/01/2045 (Prerefunded 1/01/2019)      2,340,000        2,608,328   
California Statewide Financing Authority, Tobacco Settlement, 5.625%, 5/01/2029      2,440,000        2,479,504   

 

3

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
California - continued                 
Chula Vista, CA, Industrial Development Rev. (San Diego Gas & Electric Co.), “E”, 5.875%, 1/01/2034    $ 1,940,000      $ 2,158,269   
Escondido, CA, Union High School District (Election of 2008), Capital Appreciation, “A”, ASSD GTY, 0%, 8/01/2030      4,785,000        3,109,245   
Escondido, CA, Union High School District (Election of 2008), Capital Appreciation, “A”, ASSD GTY, 0%, 8/01/2031      4,280,000        2,681,976   
Escondido, CA, Union High School District (Election of 2008), Capital Appreciation, “A”, ASSD GTY, 0%, 8/01/2032      3,010,000        1,814,368   
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Enhanced, “A-1”, AMBAC, 4.6%, 6/01/2023      1,185,000        1,246,454   
Hartnell , CA, Community College District (Monterey and San Benito Counties), Election of 2002 General Obligation, Capital Appreciation, “D”, 0%, 8/01/2039 (Prerefunded 8/01/2019)      10,355,000        2,332,567   
Hollister, CA, (Community Development Project), BAM, 5%, 10/01/2029      1,480,000        1,764,441   
Hollister, CA, (Community Development Project), BAM, 5%, 10/01/2031      1,675,000        1,976,684   
Imperial, CA, Irrigation District Electric Rev., “C”, 5%, 11/01/2038      1,350,000        1,607,405   
Inland Valley, CA, Development Successor Agency Tax Allocation, “A”, AGM, 5%, 9/01/2044      1,745,000        1,984,205   
Irvine, CA, Special Tax Bonds, Community Facilities District No. 2013-3, 5%, 9/01/2039      1,000,000        1,113,540   
Irvine, CA, Special Tax Bonds, Community Facilities District No. 2013-3, 5%, 9/01/2044      1,500,000        1,664,850   
Jurupa, CA, Public Financing Authority, Special Tax Rev., “A”, 5%, 9/01/2042      1,535,000        1,731,848   
La Verne, CA, COP (Brethren Hillcrest Homes), 5%, 5/15/2036      455,000        492,842   
Lake Tahoe, CA, Unified School District (Election of 2008), Capital Appreciation, AGM, 0%, 8/01/2045      4,240,000        2,922,378   
Long Beach, CA, Marina Rev. (Alamitos Bay Marina Project), 5%, 5/15/2035      450,000        507,947   
Los Angeles County, CA, Regional Financing Authority Rev. (Montecedro Inc. Project), “A”, CALHF, 5%, 11/15/2034      330,000        379,764   
Los Angeles County, CA, Regional Financing Authority Rev. (Montecedro Inc. Project), “A”, CALHF, 5%, 11/15/2044      555,000        633,322   
Los Angeles County, CA, Rio Hondo Community College District, “C”, Convertible Capital Appreciation, 0% to 8/01/2024, 6.85% to 8/01/2042      10,000,000        10,386,800   
Los Angeles, CA, Community Facilities District No. 4 Special Tax Refunding (Playa Vista- Phase 1), 5%, 9/01/2029      1,000,000        1,160,350   
Los Angeles, CA, Community Facilities District No. 4 Special Tax Refunding (Playa Vista- Phase 1), 5%, 9/01/2030      1,000,000        1,152,980   
Los Angeles, CA, Community Facilities District No. 4 Special Tax Refunding (Playa Vista- Phase 1), 5%, 9/01/2031      1,660,000        1,902,642   
Los Angeles, CA, Unified School District, “D”, 5%, 1/01/2034      525,000        579,390   
Madera, CA, Irrigation Financing Authority Water Rev., 6.5%, 1/01/2040 (Prerefunded 1/01/2020)      5,970,000        6,980,661   
Merced, CA, Union High School District, Capital Appreciation, “A”, ASSD GTY, 0%, 8/01/2030      645,000        419,444   
Mount San Antonio, CA, Community College District Rev. (Election of 2008), Convertible Capital Appreciation, 0% to 8/01/2028, 6.25% to 8/01/2043      7,025,000        5,796,679   
Newport Mesa, CA, Unified School District (Election of 2005), Capital Appreciation, 0%, 8/01/2041      12,965,000        2,962,503   
Oceanside, CA, Unified School District, Capital Appreciation, ASSD GTY, 0%, 8/01/2024      3,110,000        2,576,604   
Oceanside, CA, Unified School District, Capital Appreciation, ASSD GTY, 0%, 8/01/2027      2,070,000        1,535,981   
Oceanside, CA, Unified School District, Capital Appreciation, ASSD GTY, 0%, 8/01/2029      4,025,000        2,733,096   
Oceanside, CA, Unified School District, Capital Appreciation, ASSD GTY, 0%, 8/01/2030      4,455,000        2,914,506   
Oxnard, CA, Financing Authority, Wastewater Rev., AGM, 5%, 6/01/2030      1,360,000        1,603,807   
Palomar Pomerado Health Care District, CA, COP, 6.75%, 11/01/2039      4,080,000        4,746,101   
Pittsburg, CA, Redevelopment Successor Agency, Tax Allocation (Los Medanos Community Development Project), AGM, 5%, 8/01/2025      865,000        1,058,077   
Pittsburg, CA, Redevelopment Successor Agency, Tax Allocation (Los Medanos Community Development Project), AGM, 5%, 8/01/2026      905,000        1,099,240   
Pittsburg, CA, Redevelopment Successor Agency, Tax Allocation (Los Medanos Community Development Project), AGM, 5%, 8/01/2027      1,225,000        1,477,742   
Pittsburg, CA, Redevelopment Successor Agency, Tax Allocation (Los Medanos Community Development Project), AGM, 5%, 8/01/2028      635,000        760,324   
Riverside County, CA, Public Financing Authority Tax Allocation Rev. (Project Area No. 1 Desert Communities & Interstate 215 Corridor Projects), BAM, 4%, 10/01/2037      955,000        1,029,987   
Riverside County, CA, Successor Agency to the Redevelopment Agency Tax Allocation Rev. (Jurupa Valley Redevelopment Project Area), “B”, BAM, 4%, 10/01/2036      955,000        1,031,543   
Riverside County, CA, Successor Agency to the Redevelopment Agency Tax Allocation Rev. (Mid-County Redevelopment Project Area), “C”, BAM, 4%, 10/01/2036      280,000        302,442   
Riverside County, CA, Successor Agency to the Redevelopment Agency Tax Allocation Rev. (Mid-County Redevelopment Project Area), “C”, BAM, 4%, 10/01/2037      155,000        167,171   
San Buenaventura, CA, Rev. (Community Memorial Health System), 7.5%, 12/01/2041      6,000,000        7,267,140   
San Francisco, CA, Bay Area Toll Authority, Bridge Rev., “C”, 1.875%, 4/01/2047 (Put Date 4/01/2019)      2,505,000        2,539,569   

 

4

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
California - continued                 
San Francisco, CA, City & County Redevelopment Successor Agency, Community Facilities District No. 6 (Mission Bay South Public Improvements), Capital Appreciation, “A”, 0%, 8/01/2043    $ 8,725,000      $ 2,058,489   
San Francisco, CA, City & County Redevelopment Successor Agency, Tax Allocation (Mission Bay South Redevelopment Project), “A”, 5%, 8/01/2043      225,000        255,735   
San Jose, CA, Airport Rev., “A-2”, 5.25%, 3/01/2034      6,545,000        7,477,204   
San Jose, CA, Airport Rev., “C”, 5%, 3/01/2030      885,000        1,051,292   
State of California, 5%, 5/01/2044      3,710,000        4,357,358   
Upland, CA, COP (San Antonio Community Hospital), 6.375%, 1/01/2032      600,000        693,234   
West Contra Costa, CA, Healthcare District, AMBAC, 5.5%, 7/01/2029      700,000        711,676   
West Contra Costa, CA, Unified School District (Election of 2005), Capital Appreciation, “C”, ASSD GTY, 0%, 8/01/2029      3,665,000        2,510,635   
Whittier, CA, Health Facility Rev. (PIH Health), 5%, 6/01/2044      4,300,000        4,869,965   
Whittier, CA, Union High School District, Capital Appreciation, 0%, 8/01/2034      2,270,000        847,346   
    

 

 

  
      $ 320,548,581   
Colorado - 2.7%                 
Arvada, CO, Cimarron Metropolitan District, Rev., 6%, 12/01/2022    $ 2,000,000      $ 2,002,880   
Central Platte Valley, CO, General Obligation, 5%, 12/01/2043      1,250,000        1,320,950   
Colorado Educational & Cultural Facilities Authority Rev. (Liberty Common Project), 5%, 1/15/2029      305,000        348,029   
Colorado Educational & Cultural Facilities Authority Rev. (Liberty Common Project), 5%, 1/15/2039      560,000        620,206   
Colorado Educational & Cultural Facilities Authority Rev. (Liberty Common Project), 5%, 1/15/2044      395,000        435,867   
Colorado Educational & Cultural Facilities Authority Rev. (Littleton Preparatory Charter School Project), 5%, 12/01/2033      450,000        465,957   
Colorado Educational & Cultural Facilities Authority Rev. (Littleton Preparatory Charter School Project), 5%, 12/01/2042      1,120,000        1,145,883   
Colorado Educational & Cultural Facilities Authority Rev. (Montessori Charter School Project), 5%, 7/15/2037      490,000        544,003   
Colorado Educational & Cultural Facilities Authority Rev. (Peak to Peak Charter School Project), 5%, 8/15/2030      350,000        398,024   
Colorado Educational & Cultural Facilities Authority Rev. (Peak to Peak Charter School Project), 5%, 8/15/2034      350,000        393,369   
Colorado Educational & Cultural Facilities Authority Rev. (Science, Technology, Engineering and Math School Project), 5%, 11/01/2044      885,000        921,692   
Colorado Educational & Cultural Facilities Authority Rev. (Science, Technology, Engineering and Math School Project), 5.125%, 11/01/2049      765,000        793,022   
Colorado Educational & Cultural Facilities Authority Rev. (The Classical Academy Project), 5%, 12/01/2031      1,715,000        1,964,841   
Colorado Educational & Cultural Facilities Authority Rev. (The Classical Academy Project), “A”, 5%, 12/01/2038      895,000        1,014,375   
Colorado Educational & Cultural Facilities Authority Rev. (University Lab School Project), 5%, 12/15/2035      2,000,000        2,115,460   
Colorado Educational & Cultural Facilities Authority Rev. (University Lab School Project), 5%, 12/15/2045      2,675,000        2,796,445   
Colorado Health Facilities Authority Rev. (American Baptist Homes), 8%, 8/01/2043      2,975,000        3,501,159   
Colorado Health Facilities Authority Rev. (American Baptist Homes), “A”, 5.9%, 8/01/2037      2,250,000        2,232,743   
Colorado Health Facilities Authority Rev. (Christian Living Communities Project), 6.375%, 1/01/2041      1,620,000        1,804,356   
Colorado Health Facilities Authority Rev. (Christian Living Communities Project), “A”, 5.75%, 1/01/2037      2,650,000        2,671,757   
Colorado Health Facilities Authority Rev. (Covenant Retirement Communities, Inc. Project), “A”, 5%, 12/01/2021      105,000        119,679   
Colorado Health Facilities Authority Rev. (Covenant Retirement Communities, Inc. Project), “A”, 5%, 12/01/2033      4,295,000        4,709,210   
Colorado Health Facilities Authority Rev. (Covenant Retirement Communities, Inc. Project), “A”, 5%, 12/01/2035      1,710,000        1,914,858   
Colorado Health Facilities Authority Rev. (Evangelical Lutheran Good Samaritan Society), 5.625%, 6/01/2043      825,000        950,821   
Colorado Health Facilities Authority Rev. (Total Longterm Care, Inc.), “A”, 6%, 11/15/2030 (Prerefunded 11/15/2020)      700,000        830,179   
Colorado Health Facilities Authority Rev. (Total Longterm Care, Inc.), “A”, 6.25%, 11/15/2040 (Prerefunded 11/15/2020)      1,150,000        1,375,147   
Colorado Health Facilities Hospital Authority Rev. (Adventist Health System/Sunbelt Obligated Group), “2014-E”, 5%, 11/15/2034      6,530,000        7,543,391   
Colorado Housing & Finance Authority, Solid Waste Rev. (Waste Management, Inc.), 5.7%, 7/01/2018      540,000        579,501   
Colorado Regional Transportation District, Private Activity Rev. (Denver Transportation Partners), 6%, 1/15/2034      8,490,000        9,664,167   
Denver, CO, City & County Airport Rev. (United Airlines), 5.25%, 10/01/2032      14,295,000        14,695,832   
Denver, CO, City & County Airport Rev. (United Airlines), 5.75%, 10/01/2032      4,705,000        4,861,347   
Denver, CO, Convention Center Hotel Authority Rev., 5%, 12/01/2035      1,070,000        1,204,167   
Denver, CO, Convention Center Hotel Authority Rev., 5%, 12/01/2036      675,000        758,417   
Denver, CO, Convention Center Hotel Authority Rev., 5%, 12/01/2040      1,800,000        2,019,204   
Denver, CO, Health & Hospital Authority Rev., “A”, 5.25%, 12/01/2045      795,000        888,460   
E-470 Public Highway Authority Rev., CO, Capital Appreciation, “B”, NATL, 0%, 9/01/2027      12,305,000        7,354,206   
Fruita, CO, Rev. (Family Health West Project), 7%, 1/01/2018      375,000        389,726   
Fruita, CO, Rev. (Family Health West Project), 8%, 1/01/2043      4,440,000        4,897,586   

 

5

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Colorado - continued                 
Park Creek Metropolitan District of Columbia Rev. (Senior Limited Property Tax Supported), “A”, 5%, 12/01/2045    $ 5,280,000      $ 5,935,301   
Public Authority for Colorado Energy Natural Gas Purchase Rev., 6.25%, 11/15/2028      6,860,000        8,880,887   
Stone Ridge, CO, Metropolitan District No. 2, 7.25%, 12/01/2031 (a)(d)      2,396,000        526,257   
Tallyn’s Reach, CO, Metropolitan District No. 3, CO, 5%, 12/01/2033      404,000        431,056   
Tallyn’s Reach, CO, Metropolitan District No. 3, CO, 5.125%, 11/01/2038      824,000        880,189   
    

 

 

  
      $ 108,900,606   
Connecticut - 0.9%                 
Connecticut Health & Educational Facilities Authority Rev. (Church Home of Hartford, Inc. Project), “A”, 5%, 9/01/2046    $ 750,000      $ 814,253   
Connecticut Health & Educational Facilities Authority Rev. (Church Home of Hartford, Inc. Project), “A”, 5%, 9/01/2053      985,000        1,058,570   
Connecticut Health & Educational Facilities Authority Rev. (Church Home of Hartford, Inc. Project), “B-2”, 2.875%, 9/01/2020      1,525,000        1,523,368   
Connecticut Health & Educational Facilities Authority Rev. (Trinity Health Credit Group), 5%, 12/01/2041      10,000,000        11,609,600   
Connecticut Housing Finance Authority Rev., (Housing Mortgage Finance Program), “C-1”, 3.5%, 11/15/2045      3,245,000        3,428,375   
Connecticut Housing Finance Authority Rev., (Housing Mortgage Finance Program), “D-1”, 4%, 11/15/2044      2,250,000        2,350,710   
Mohegan Tribal Finance Authority, CT, Economic Development Bonds, 7%, 2/01/2045 (n)      7,325,000        7,689,492   
Mohegan Tribe Indians, CT, Gaming Authority Rev., “C”, 4.75%, 2/01/2020 (n)      5,305,000        5,327,758   
University of Connecticut, General Obligation, “A”, 5%, 3/15/2028      1,610,000        1,973,345   
University of Connecticut, General Obligation, “A”, 5%, 3/15/2029      1,365,000        1,660,222   
    

 

 

  
      $ 37,435,693   
Delaware - 0.2%                 
Delaware Economic Development Authority (Newark Charter School, Inc.), 5%, 9/01/2036    $ 285,000      $ 327,197   
Delaware Economic Development Authority (Newark Charter School, Inc.), 5%, 9/01/2046      300,000        341,706   
Delaware Economic Development Authority Charter School Rev. (Aspira of Delaware Charter Operations, Inc. Project), “A”, 5%, 6/01/2036      920,000        981,281   
Delaware Economic Development Authority Charter School Rev. (Aspira of Delaware Charter Operations, Inc. Project), “A”, 5%, 6/01/2046      635,000        674,827   
Delaware Economic Development Authority Charter School Rev. (Aspira of Delaware Charter Operations, Inc. Project), “A”, 5%, 6/01/2051      1,100,000        1,166,132   
Delaware Economic Development Authority Rev. (Delaware Military Academy, Inc. Project), 4.625%, 9/01/2034      915,000        976,552   
Delaware Economic Development Authority Rev. (Delaware Military Academy, Inc. Project), 5%, 9/01/2044      1,030,000        1,124,389   
Delaware Economic Development Authority Rev. (Delaware Military Academy, Inc. Project), 5%, 9/01/2049      1,210,000        1,310,926   
Delaware Economic Development Authority Rev. (Newark Charter School, Inc. Project), 5%, 9/01/2042      1,420,000        1,556,746   
    

 

 

  
      $ 8,459,756   
District of Columbia - 0.6%                 
District of Columbia Rev. (Friendship Public Charter School), “A”, 5%, 6/01/2036    $ 1,635,000      $ 1,863,164   
District of Columbia Rev. (Friendship Public Charter School), “A”, 5%, 6/01/2041      1,055,000        1,192,962   
District of Columbia Rev. (Friendship Public Charter School), “A”, 5%, 6/01/2046      755,000        850,440   
District of Columbia Rev. (Kipp, D.C. Charter School), “A”, 6%, 7/01/2033      420,000        504,311   
District of Columbia Rev. (Kipp, D.C. Charter School), “A”, 6%, 7/01/2043      1,095,000        1,303,762   
District of Columbia Rev. (Methodist Home of the District of Columbia Issue), 4.5%, 1/01/2025      1,275,000        1,310,024   
District of Columbia Rev. (Methodist Home of the District of Columbia Issue), “A”, 5.125%, 1/01/2035      1,165,000        1,189,698   
District of Columbia Rev. (Methodist Home of the District of Columbia Issue), “A”, 5.25%, 1/01/2039      765,000        782,480   
District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 10/01/2030      1,475,000        1,503,674   
District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 10/01/2035      5,000,000        5,058,500   
District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 10/01/2045      8,820,000        8,859,955   
District of Columbia, Tobacco Settlement, 6.75%, 5/15/2040      885,000        915,701   
    

 

 

  
      $ 25,334,671   
Florida - 7.4%                 
Alachua County, FL, Health Facilities Authority Rev. (East Ridge Retirement Village, Inc.), 6%, 11/15/2034    $ 1,180,000      $ 1,325,329   
Alachua County, FL, Health Facilities Authority Rev. (East Ridge Retirement Village, Inc.), 6.25%, 11/15/2044      2,955,000        3,336,668   
Alachua County, FL, Health Facilities Authority Rev. (East Ridge Retirement Village, Inc.), 6.375%, 11/15/2049      1,970,000        2,217,570   
Alachua County, FL, Health Facilities Authority, Continuing Care Rev. (Oak Hammock at the University of Florida, Inc.), “A”, 8%, 10/01/2032      1,250,000        1,550,313   

 

6

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Florida - continued                 
Alachua County, FL, Health Facilities Authority, Continuing Care Rev. (Oak Hammock at the University of Florida, Inc.), “A”, 8%, 10/01/2042    $ 2,000,000      $ 2,472,060   
Alachua County, FL, Health Facilities Authority, Continuing Care Rev. (Oak Hammock at the University of Florida, Inc.), “A”, 8%, 10/01/2046      1,000,000        1,234,230   
Arborwood Community Development District, FL, Capital Improvement Rev. (Centex Homes Project), “A-3”, 5.5%, 5/01/2036      265,000        264,216   
Arborwood Community Development District, FL, Capital Improvement Rev. (Master Infrastructure Projects), “A-2”, 5.35%, 5/01/2036      1,230,000        1,226,162   
Arborwood Community Development District, FL, Capital Improvement Rev., Convertible Capital Appreciation, “A-1”, 6.9%, 5/01/2036      300,000        340,098   
Arborwood Community Development District, FL, Capital Improvement Rev., “B”, 6.9%, 5/01/2025      325,000        357,442   
Arborwood Community Development District, FL, Capital Improvement Rev., “B”, “A-2”, 6.9%, 5/01/2036      35,000        39,678   
Baker, FL, Correctional Development Corp. (Baker County Detention Center), 7.5%, 2/01/2030      1,560,000        1,244,771   
Bellalago, FL, Educational Facilities Benefit District (Osceola County) Capital Improvement Refunding Rev., 4.375%, 5/01/2030      690,000        741,778   
Bellalago, FL, Educational Facilities Benefit District (Osceola County) Capital Improvement Refunding Rev., 4.5%, 5/01/2033      320,000        342,256   
Bellalago, FL, Educational Facilities Benefit District (Osceola County) Capital Improvement Refunding Rev., 4.6%, 5/01/2034      1,355,000        1,456,273   
Brevard County, FL, Industrial Development Rev. (TUFF Florida Tech LLC Project), 6.75%, 11/01/2039      4,720,000        5,175,858   
Cape Coral, FL, Health Facilities Authority, Senior Housing Rev. (Gulf Care, Inc. Project), 5.875%, 7/01/2040      3,590,000        3,927,281   
Capital Region Community Development District, FL, Capital Improvement Rev., “A”, 7%, 5/01/2039      2,430,000        2,454,786   
Capital Trust Agency, FL, Charter School Rev. (River City Educational Services, Inc. Project) “A”, 5.375%, 2/01/2035      1,465,000        1,504,145   
Capital Trust Agency, FL, Charter School Rev. (River City Educational Services, Inc. Project) “A”, 5.625%, 2/01/2045      2,725,000        2,805,333   
Century Gardens Village Community Development District, FL, Special Assessment, 5.1%, 5/01/2037      915,000        912,118   
Collier County, FL, Educational Facilities Authority Rev. (Ave Maria University, Inc. Project), “A”, 6.125%, 6/01/2043      5,910,000        6,856,368   
Collier County, FL, Industrial Development Authority Continuing Care Community Rev. (The Arlington of Naples Project), “A”, 5.5%, 5/15/2025      300,000        309,390   
Collier County, FL, Industrial Development Authority Continuing Care Community Rev. (The Arlington of Naples Project), “A”, 6.25%, 5/15/2035      300,000        309,102   
Collier County, FL, Industrial Development Authority Continuing Care Community Rev. (The Arlington of Naples Project), “A”, 8.125%, 5/15/2044      4,970,000        5,892,879   
Collier County, FL, Industrial Development Authority Continuing Care Community Rev. (The Arlington of Naples Project), “A”, 6.5%, 5/15/2049      805,000        829,182   
Collier County, FL, Industrial Development Authority Continuing Care Community Rev. (The Arlington of Naples Project), “B”, 5.25%, 5/15/2022      2,560,000        2,560,742   
Collier County, FL, Industrial Development Authority Continuing Care Community Rev. (The Arlington of Naples Project), “B-1”, 6.875%, 5/15/2021      1,180,000        1,181,900   
Collier County, FL, Industrial Development Authority Continuing Care Community Rev. (The Arlington of Naples Project), “B-2”, 6.5%, 5/15/2020      570,000        571,015   
Creekside Community Development District, FL, Special Assessment, 5.2%, 5/01/2038 (a)(d)      1,400,000        559,468   
Daytona Beach, FL, Halifax Hospital Medical Center Rev., 5%, 6/01/2020      395,000        443,735   
Daytona Beach, FL, Halifax Hospital Medical Center Rev., 5%, 6/01/2021      620,000        712,498   
Daytona Beach, FL, Halifax Hospital Medical Center Rev., 5%, 6/01/2022      520,000        610,449   
Daytona Beach, FL, Halifax Hospital Medical Center Rev., 5%, 6/01/2023      685,000        815,938   
Daytona Beach, FL, Halifax Hospital Medical Center Rev., 5%, 6/01/2024      575,000        694,646   
Daytona Beach, FL, Halifax Hospital Medical Center Rev., 5%, 6/01/2025      670,000        818,593   
Daytona Beach, FL, Halifax Hospital Medical Center Rev., 5%, 6/01/2035      1,650,000        1,902,104   
Daytona Beach, FL, Halifax Hospital Medical Center Rev., 5%, 6/01/2046      2,245,000        2,538,938   
Escambia County, FL, Health Facilities Authority (Baptist Hospital, Inc.), “A”, 5.75%, 8/15/2029      1,000,000        1,129,460   
Escambia County, FL, Health Facilities Authority (Baptist Hospital, Inc.), “A”, 6%, 8/15/2036      3,050,000        3,434,666   
Florida Board of Education, Lottery Rev., “A”, 5%, 7/01/2020      8,410,000        9,578,906   
Florida Citizens Property Insurance Corp., “A-1”, 5%, 6/01/2019      660,000        725,254   
Florida Development Finance Corp. Educational Facilities Rev. (Bay Area Charter Foundation LLC), “A”, 7.75%, 6/15/2042      3,480,000        3,889,387   
Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School), “A”, 6%, 9/15/2030      2,575,000        2,705,089   
Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School), “A”, 6%, 6/15/2032      1,950,000        2,128,113   
Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School), “A”, 6%, 9/15/2040      5,490,000        5,737,654   
Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School), “A”, 7.625%, 6/15/2041      10,375,000        11,999,310   
Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School), “A”, 6.125%, 6/15/2043      4,070,000        4,449,975   

 

7

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Florida - continued                 
Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School), “A”, 6.125%, 6/15/2044    $ 5,000,000      $ 5,170,050   
Florida Housing Finance Corp, Homeowner Mortgage Rev. (Special Program), “A”, FHLMC, 3.5%, 7/01/2046      1,585,000        1,666,136   
Florida Mid-Bay Bridge Authority Rev., “A”, 5%, 10/01/2035      5,000,000        5,709,900   
Heritage Harbour North Community Development District, FL, Capital Improvement Rev., 6.375%, 5/01/2038      1,705,000        1,728,580   
Hillsborough County, FL, Industrial Development Authority Rev. (University Community Hospital), “A”, 5.625%, 8/15/2029 (Prerefunded 8/15/2018)      4,700,000        5,093,578   
Lakeland, FL, Hospital Rev. (Lakeland Regional Health Systems), 5%, 11/15/2033      1,905,000        2,182,654   
Lakeland, FL, Hospital Rev. (Lakeland Regional Health Systems), 5%, 11/15/2034      1,655,000        1,887,312   
Lakeland, FL, Hospital Rev. (Lakeland Regional Health Systems), 5%, 11/15/2035      2,340,000        2,657,749   
Lakewood Ranch Stewardship District, FL, Special Assessment Rev. (Lakewood Centre North Project), 4.25%, 5/01/2025      880,000        918,746   
Lakewood Ranch Stewardship District, FL, Special Assessment Rev. (Lakewood Centre North Project), 4.875%, 5/01/2035      1,400,000        1,457,120   
Lakewood Ranch Stewardship District, FL, Special Assessment Rev. (Lakewood Centre North Project), 4.875%, 5/01/2045      2,520,000        2,601,421   
Lee County, FL, Industrial Development Authority Healthcare Facilities Rev. (Shell Point Alliance), “B”, 6.5%, 11/15/2031      1,600,000        1,866,576   
Legends Bay Community Development District, FL, “A”, 5.875%, 5/01/2038      1,325,000        1,320,031   
Live Oak Lake Community Development District, FL, Capital Improvement Rev., 4.5%, 5/01/2036      4,830,000        4,653,753   
Live Oak Lake Community Development District, FL, Capital Improvement Rev., 4.625%, 5/01/2047      2,720,000        2,595,587   
Main Street Community Development District, FL, “A”, 6.8%, 5/01/2038      1,580,000        1,592,482   
Marshall Creek, FL, Community Development District Rev. (St. John’s County), “A”, 5%, 5/01/2032      1,560,000        1,622,977   
Miami-Dade County, FL, Health Facilities Authority Hospital Rev. (Miami Children’s Hospital), 6%, 8/01/2046      7,250,000        8,368,965   
Miami-Dade County, FL, Industrial Development Authority Rev. (Pinecrest Academy Project), 5.25%, 9/15/2044      2,895,000        3,161,687   
Miami-Dade County, FL, Industrial Development Authority Rev. (Pinecrest Academy Project), 5%, 9/15/2024      345,000        394,349   
Miami-Dade County, FL, Rickenbacker Causeway Rev., 5%, 10/01/2043      2,000,000        2,239,560   
Mid-Bay Bridge Authority Rev., FL, Springing Lien, “A”, 7.25%, 10/01/2034 (Prerefunded 10/01/2021)      300,000        384,825   
Mid-Bay Bridge Authority Rev., FL, Springing Lien, “A”, 7.25%, 10/01/2040 (Prerefunded 10/01/2021)      8,365,000        10,730,204   
Middle Village Community Development District, FL, Special Assessment, “A”, 5.8%, 5/01/2022      385,000        342,446   
Midtown Miami, FL, Community Development District Special Assessment (Infrastructure Project), “B”, 5%, 5/01/2029      1,215,000        1,301,022   
Midtown Miami, FL, Community Development District Special Assessment (Infrastructure Project), “B”, 5%, 5/01/2037      740,000        785,813   
Midtown Miami, FL, Community Development District Special Assessment (Parking Garage Project), “A”, 5%, 5/01/2037      1,055,000        1,120,315   
Miromar Lakes, FL, Community Development District, Capital Improvement Rev., 4.875%, 5/01/2022      650,000        697,795   
Miromar Lakes, FL, Community Development District, Capital Improvement Rev., 5.375%, 5/01/2032      990,000        1,062,221   
Naturewalk Community Development District, FL, Capital Improvement Rev., “B”, 5.3%, 5/01/2016 (d)(q)      1,575,000        865,604   
OTC Community Development District, FL, Special Assessment, “A”, 5.3%, 5/01/2038      4,255,000        4,257,255   
Palm Beach County, FL, Health Facilities Authority Hospital Rev. (BRRH Corp. Obligated Group), 5%, 12/01/2031      1,000,000        1,137,970   
Palm Beach County, FL, Health Facilities Rev. (Sinai Residences of Boca Raton Project), 7.5%, 6/01/2049      2,030,000        2,475,078   
Palm River, FL, Community Development District, Special Assessment Rev., “A”, 5.375%, 5/01/2036 (a)(d)      895,000        352,863   
Palm River, FL, Community Development District, Special Assessment Rev., “B”, 5.15%, 5/01/2013 (a)(d)      1,000,000        393,650   
Parkway Center Community Development District, FL, Special Assessment, “B”, 7%, 5/01/2023      970,000        989,778   
Pasco County, FL, Bexley Community Development District, Special Assessment Rev., 3.5%, 5/01/2021      390,000        390,160   
Pasco County, FL, Bexley Community Development District, Special Assessment Rev., 4.1%, 5/01/2026      500,000        501,485   
Pasco County, FL, Bexley Community Development District, Special Assessment Rev., 4.7%, 5/01/2036      1,370,000        1,373,850   
Pasco County, FL, Bexley Community Development District, Special Assessment Rev., 4.875%, 5/01/2047      2,530,000        2,518,463   
Pasco County, FL, Concord Station Community Development District, “A-1”, 3.625%, 5/01/2035      865,000        829,449   
Pasco County, FL, Concord Station Community Development District, “A-1”, 3.5%, 5/01/2032      1,435,000        1,383,283   
Pasco County, FL, Concord Station Community Development District, “A-1”, 3.75%, 5/01/2046      1,000,000        922,700   
Pasco County, FL, Estancia At Wiregrass Community Development District, Capital Improvement, 5.25%, 11/01/2035      500,000        516,080   
Pasco County, FL, Estancia At Wiregrass Community Development District, Capital Improvement, 7%, 11/01/2045      1,995,000        2,431,945   
Pasco County, FL, Estancia At Wiregrass Community Development District, Capital Improvement, 5.375%, 11/01/2046      435,000        448,950   
Paseo Community Development District, FL, Capital Improvement Rev., “B”, 4.875%, 5/01/2020 (a)(d)      1,415,000        14   
Paseo Community Development District, FL, Capital Improvement Rev., Capital Appreciation, “A-2”, 0%, 5/01/2036      1,845,000        820,527   
Paseo Community Development District, FL, Special Assessment, “A-1”, 5.4%, 5/01/2036      235,000        235,089   
Pinellas County, FL, Educational Facilities Authority Rev. (Barry University), 6%, 10/01/2041      5,330,000        6,116,122   
Pompano Beach, FL (John Knox Village Project), 5%, 9/01/2044      2,215,000        2,471,342   
Sarasota County, FL, Health Facility Authority Rev. (Sarasota Manatee), 5.75%, 7/01/2037      3,240,000        3,276,644   
Sarasota County, FL, Health Facility Authority Rev. (Sarasota Manatee), 5.75%, 7/01/2045      395,000        399,104   
Seminole County, FL, Industrial Development Authority Rev. (Choices in Learning, Inc.), “A”, 7.375%, 11/15/2041      3,900,000        4,451,889   

 

8

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Florida - continued                 
Seminole Tribe, FL, Special Obligation Rev., “A”, 5.75%, 10/01/2022 (n)    $ 4,150,000      $ 4,298,114   
Seminole Tribe, FL, Special Obligation Rev., “A”, 5.5%, 10/01/2024 (n)      2,505,000        2,588,742   
Seminole Tribe, FL, Special Obligation Rev., “A”, 5.25%, 10/01/2027 (n)      1,840,000        1,894,777   
South Lake County, FL, Hospital District Rev. (South Lake Hospital), “A”, 6%, 4/01/2029      1,155,000        1,275,778   
South Lake County, FL, Hospital District Rev. (South Lake Hospital), “A”, 6.25%, 4/01/2039      1,715,000        1,895,521   
St. John’s County, FL, Industrial Development Authority Rev. (Bayview Project), “A”, 5.2%, 10/01/2027      1,590,000        1,527,465   
St. John’s County, FL, Industrial Development Authority Rev. (Bayview Project), “A”, 5.25%, 10/01/2041      2,800,000        2,569,280   
St. John’s County, FL, Industrial Development Authority Rev. (Presbyterian Retirement), “A”, 6%, 8/01/2045      7,715,000        8,684,313   
Sterling Hill Community Development District, FL, Capital Improvement Rev., “B”, 5.5%, 11/01/2020 (d)      525,000        367,416   
Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5%, 7/01/2026      155,000        182,167   
Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5%, 7/01/2029      145,000        166,952   
Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5.125%, 7/01/2034      315,000        356,996   
Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5.25%, 7/01/2044      935,000        1,054,932   
Tallahassee, FL, Health Facilities Rev. (Tallahassee Memorial Healthcare, Inc.), “A”, 5%, 12/01/2040      5,935,000        6,650,702   
Tallahassee, FL, Health Facilities Rev. (Tallahassee Memorial Healthcare, Inc.), “A”, 5%, 12/01/2044      2,695,000        3,005,087   
Tallahassee, FL, Health Facilities Rev. (Tallahassee Memorial Healthcare, Inc.), “A”, 5%, 12/01/2055      6,300,000        7,055,685   
Tampa, FL (University of Tampa Project), 5%, 4/01/2040      965,000        1,092,255   
Trout Creek Community Development District, FL, Capital Improvement Rev., 5.5%, 5/01/2035      2,280,000        2,309,959   
Trout Creek Community Development District, FL, Capital Improvement Rev., 5.625%, 5/01/2045      4,180,000        4,227,276   
Tuscany Reserve Community Development District, FL, Special Assessment, “B”, 5.25%, 5/01/2021      730,000        729,650   
University of South Florida Financing Corp, Refunding Certificates of Participation, “A”, 5%, 7/01/2028      4,380,000        5,213,383   
University of South Florida Financing Corp, Refunding Certificates of Participation, “A”, 5%, 7/01/2031      5,420,000        6,340,858   
Villa Portofino East Community Development District, FL, Special Assessment, 5.2%, 5/01/2037      1,780,000        1,787,547   
Villa Vizcaya Community Development District, FL, “A”, 5.55%, 5/01/2039 (a)(d)      790,000        434,263   
Watergrass Community Development District, FL, Special Assessment, “B”, 6.96%, 11/01/2017      150,000        149,930   
Wiregrass Community Development District, FL, Capital Improvement Rev., 5.625%, 5/01/2045      1,000,000        1,034,590   
Wiregrass Community Development District, FL, Capital Improvement Rev., 5.375%, 5/01/2035      485,000        501,199   
Wiregrass Community Development District, FL, Capital Improvement Rev., 4.875%, 5/01/2036      915,000        923,802   
Wiregrass Community Development District, FL, Capital Improvement Rev., 5%, 5/01/2047      1,695,000        1,711,221   
    

 

 

  
      $ 293,216,134   
Georgia - 1.3%                 
Americus and Sumter County, GA, Hospital Authority Rev. (Magnolia Manor Obligated Group), “A”, 6.25%, 5/15/2033    $ 1,060,000      $ 1,204,499   
Americus and Sumter County, GA, Hospital Authority Rev. (Magnolia Manor Obligated Group), “A”, 6.375%, 5/15/2043      1,060,000        1,203,895   
Atlanta, GA, Water & Wastewater Rev., “A”, 6%, 11/01/2022 (Prerefunded 11/01/2019)      2,895,000        3,318,654   
Clayton County, GA, Development Authority Special Facilities Rev. (Delta Airlines, Inc.), “A”, 8.75%, 6/01/2029      4,070,000        4,921,281   
Cobb County, GA, Development Authority Student Housing Rev. (Kennesaw State University Real Estate Foundations), “C”, 5%, 7/15/2030      580,000        650,540   
Cobb County, GA, Development Authority Student Housing Rev. (Kennesaw State University Real Estate Foundations), “C”, 5%, 7/15/2033      1,025,000        1,133,794   
Cobb County, GA, Development Authority Student Housing Rev. (Kennesaw State University Real Estate Foundations), “C”, 5%, 7/15/2038      1,100,000        1,206,403   
DeKalb County, GA, Hospital Authority Rev. (DeKalb Medical Center, Inc.), 6.125%, 9/01/2040      7,170,000        8,069,405   
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 10/01/2031      175,000        205,991   
Georgia Housing & Finance Authority Rev., Single Family Mortgage, “A”, 3.5%, 6/01/2045      2,110,000        2,222,590   
Georgia Housing & Finance Authority Rev., Single Family Mortgage, “A-1”, 4%, 6/01/2044      1,270,000        1,337,869   
Georgia Main Street Natural Gas, Inc., Gas Project Rev., “A”, 5.5%, 9/15/2028      2,245,000        2,827,667   
Georgia Medical Center Hospital Authority Rev. (Spring Harbor Green Island Project), 5.25%, 7/01/2037      4,610,000        4,628,163   
Glynn-Brunswick, GA, Memorial Hospital Authority Rev., 5.625%, 8/01/2034 (Prerefunded 8/01/2018)      1,235,000        1,336,221   
Glynn-Brunswick, GA, Memorial Hospital Authority Rev., Unrefunded Balance, 5.625%, 8/01/2034      140,000        149,205   
Hall County and Gainesville, GA, Hospital Authority Rev. (Northeast Georgia Health System, Inc.), “A”, 5.5%, 8/15/2054      3,465,000        4,166,593   
Marietta, GA, Development Facilities Authority Rev. (Life University), 7%, 6/15/2030      2,330,000        2,434,477   
Marietta, GA, Development Facilities Authority Rev. (Life University), 7%, 6/15/2039      4,360,000        4,540,896   

 

9

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Georgia - continued                 
Private Colleges & Universities, GA, Authority Rev. (Mercer University), “C”, 5.25%, 10/01/2027    $ 920,000      $ 1,064,348   
Rockdale County, GA, Development Authority Project Rev. (Visy Paper Project), “A”, 6.125%, 1/01/2034      4,835,000        4,857,821   
    

 

 

  
      $ 51,480,312   
Guam - 0.5%                 
Guam Education Financing Foundation, COP (Guam Public School Facilities Project), “B”, 5%, 10/01/2026    $ 12,905,000      $ 13,284,407   
Guam Government Business Privilege Tax Rev., “A”, 5.25%, 1/01/2036      970,000        1,061,539   
Guam Government Department of Education (John F. Kennedy High School), “A”, COP, 6.875%, 12/01/2040      3,055,000        3,329,889   
Guam Government, “A”, 7%, 11/15/2039 (Prerefunded 11/15/2019)      1,115,000        1,312,723   
Guam Waterworks Authority Rev. (Water and Wastewater System), 5%, 7/01/2036      355,000        406,166   
Guam Waterworks Authority Rev. (Water and Wastewater System), 5%, 1/01/2046      1,620,000        1,841,972   
    

 

 

  
      $ 21,236,696   
Hawaii - 0.5%                 
Hawaii Department of Budget & Finance, Special Purpose Rev. (15 Craigside Project), “A”, 8.75%, 11/15/2029    $ 945,000      $ 1,129,086   
Hawaii Department of Budget & Finance, Special Purpose Rev. (15 Craigside Project), “A”, 9%, 11/15/2044      1,190,000        1,422,740   
Hawaii Department of Budget & Finance, Special Purpose Rev. (Chaminade University), 5%, 1/01/2030      2,015,000        2,133,925   
Hawaii Department of Budget & Finance, Special Purpose Rev. (Chaminade University), 5%, 1/01/2035      1,125,000        1,168,470   
Hawaii Department of Budget & Finance, Special Purpose Rev. (Chaminade University), 5%, 1/01/2045      1,140,000        1,171,464   
Hawaii Department of Budget & Finance, Special Purpose Rev. (Hawaiian Electric Co. & Subsidiary), 6.5%, 7/01/2039      10,580,000        11,799,451   
    

 

 

  
      $ 18,825,136   
Idaho - 0.0%                 
Idaho Health Facilities Authority Rev. (Madison Memorial Hospital Project), 5%, 9/01/2037    $ 830,000      $ 931,177   
Idaho Health Facilities Authority Rev. (The Terraces of Boise Project), “B2”, 6%, 10/01/2021      830,000        831,204   
    

 

 

  
      $ 1,762,381   
Illinois - 7.7%                 
Burbank, IL, Educational Facility Rev. (Intercultural Montessori Language School Project), “A”, 6%, 9/01/2035    $ 2,170,000      $ 2,263,419   
Burbank, IL, Educational Facility Rev. (Intercultural Montessori Language School Project), “A”, 6.25%, 9/01/2045      3,565,000        3,752,305   
Chicago, IL (Modern Schools Program), “A”, AMBAC, 5%, 12/01/2024      4,580,000        4,595,206   
Chicago, IL (Modern Schools Program), “G”, AMBAC, 5%, 12/01/2023      945,000        948,175   
Chicago, IL (Modern Schools Program), “H”, AMBAC, 5%, 12/01/2020      2,880,000        2,889,562   
Chicago, IL (Modern Schools Program), “H”, AMBAC, 5%, 12/01/2021      1,675,000        1,680,595   
Chicago, IL, “A”, 5.25%, 1/01/2028      595,000        631,015   
Chicago, IL, “A”, 5%, 1/01/2036      1,920,000        1,944,442   
Chicago, IL, “A”, AGM, 5%, 1/01/2017      70,000        70,244   
Chicago, IL, “A”, AGM, 5%, 1/01/2022      50,000        50,175   
Chicago, IL, “A”, AGM, 5%, 1/01/2022      785,000        791,398   
Chicago, IL, “A”, AGM, 5%, 1/01/2023      20,000        20,171   
Chicago, IL, “A”, AGM, 5%, 1/01/2023      505,000        509,116   
Chicago, IL, “A”, AGM, 5%, 1/01/2024      25,000        25,087   
Chicago, IL, “A”, AGM, 5%, 1/01/2025      70,000        70,571   
Chicago, IL, “A”, AGM, 5%, 1/01/2026      50,000        50,277   
Chicago, IL, “A”, AGM, 5%, 1/01/2027      295,000        296,640   
Chicago, IL, “A”, AGM, 5%, 1/01/2028      15,070,000        16,128,818   
Chicago, IL, “A”, AGM, 4.75%, 1/01/2030      815,000        817,494   
Chicago, IL, “A”, AGM, 5%, 1/01/2034      2,605,000        2,613,466   
Chicago, IL, “A”, AGM, 5%, 1/01/2037      4,935,000        4,962,340   
Chicago, IL, “A”, AMBAC, 5%, 1/01/2022      5,070,000        5,095,604   
Chicago, IL, “A”, AMBAC, 5%, 1/01/2024      1,500,000        1,507,470   
Chicago, IL, “A”, Capital Appreciation, NATL, 0%, 1/01/2027      2,610,000        1,710,464   
Chicago, IL, “C”, NATL, 5%, 1/01/2023      640,000        665,267   
Chicago, IL, “C”, NATL, 5%, 1/01/2028      315,000        327,213   
Chicago, IL, “C”, NATL, 5%, 1/01/2029      5,915,000        6,144,325   

 

10

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Illinois - continued                 
Chicago, IL, “D”, 5.5%, 1/01/2033    $ 1,630,000      $ 1,732,250   
Chicago, IL, “D”, AMBAC, 5%, 12/01/2022      4,465,000        4,480,092   
Chicago, IL, Board of Education, “B”, AMBAC, 5%, 12/01/2020      4,575,000        4,702,368   
Chicago, IL, Board of Education, “B”, AGM, 5%, 12/01/2027      4,345,000        4,446,934   
Chicago, IL, Board of Education, “B”, AGM, 5%, 12/01/2035      5,655,000        5,787,666   
Chicago, IL, Board of Education, “C”, AGM, 5%, 12/01/2032      14,335,000        15,010,179   
Chicago, IL, Board of Education, “C”, ASSD GTY, 5.25%, 12/01/2025      10,350,000        10,958,684   
Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “B”, AMBAC, 5%, 12/01/2021      6,890,000        7,075,065   
Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “B”, AMBAC, 5%, 12/01/2023      1,630,000        1,670,424   
Chicago, IL, Capital Appreciation, NATL, 0%, 1/01/2027      3,180,000        2,084,013   
Chicago, IL, O’Hare International Airport Rev., Customer Facility Charge, AGM, 5.25%, 1/01/2032      675,000        785,896   
Chicago, IL, O’Hare International Airport Rev., Customer Facility Charge, AGM, 5.25%, 1/01/2033      335,000        389,622   
Chicago, IL, O’Hare International Airport Rev., Customer Facility Charge, AGM, 5.5%, 1/01/2043      1,350,000        1,559,210   
Chicago, IL, O’Hare International Airport Rev., Senior Lien, “B”, 5%, 1/01/2030      4,970,000        5,870,465   
Chicago, IL, O’Hare International Airport Rev., Third Lien, “A”, 5.625%, 1/01/2035      5,645,000        6,483,395   
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 12/01/2031      540,000        603,083   
Chicago, IL, Wastewater Transmission Rev., “C”, 5%, 1/01/2035      435,000        483,594   
Chicago, IL, Wastewater Transmission Rev., “C”, 5%, 1/01/2039      650,000        721,143   
Du Page County, IL, Special Service Area No. 31 Special Tax (Monarch Landing Project), 5.625%, 3/01/2036      945,000        941,834   
Illinois Finance Authority Charter School Rev. (Uno Charter School Network, Inc.), “A”, 7.125%, 10/01/2041      2,000,000        2,251,680   
Illinois Finance Authority Educational Facility Rev. (Rogers Park Montessori School Project), 6%, 2/01/2034      700,000        749,091   
Illinois Finance Authority Educational Facility Rev. (Rogers Park Montessori School Project), 6.125%, 2/01/2045      1,800,000        1,922,850   
Illinois Finance Authority Rev., 6.125%, 5/15/2025 (Prerefunded 5/15/2019)      90,000        101,408   
Illinois Finance Authority Rev., 7.75%, 8/15/2034 (Prerefunded 8/15/2019)      35,000        41,242   
Illinois Finance Authority Rev. (Christian Homes, Inc.), 6.125%, 5/15/2027 (Prerefunded 5/15/2020)      1,470,000        1,721,502   
Illinois Finance Authority Rev. (Christian Homes, Inc.), 6.125%, 5/15/2027      2,680,000        2,975,738   
Illinois Finance Authority Rev. (Christian Homes, Inc.), 5%, 5/15/2036      760,000        830,482   
Illinois Finance Authority Rev. (Christian Homes, Inc.), 5%, 5/15/2040      1,690,000        1,836,354   
Illinois Finance Authority Rev. (Evangelical Retirement Homes of Greater Chicago, Inc.), 7.25%, 2/15/2045      3,600,000        3,846,960   
Illinois Finance Authority Rev. (Franciscan Communities, Inc.), “A”, 5.5%, 5/15/2027      1,600,000        1,625,232   
Illinois Finance Authority Rev. (Franciscan Communities, Inc.), “A”, 5.5%, 5/15/2037      8,015,000        8,118,313   
Illinois Finance Authority Rev. (Franciscan Communities, Inc.), “A”, 4.75%, 5/15/2033      2,745,000        2,872,039   
Illinois Finance Authority Rev. (Franciscan Communities, Inc.), “A”, 5.125%, 5/15/2043      3,410,000        3,610,644   
Illinois Finance Authority Rev. (Friendship Village), “A”, 5.375%, 2/15/2025      4,270,000        4,272,391   
Illinois Finance Authority Rev. (KishHealth Systems Obligated Group), 5.75%, 10/01/2028 (Prerefunded 10/01/2018)      3,770,000        4,115,898   
Illinois Finance Authority Rev. (Lutheran Home & Services), 5.5%, 5/15/2027      680,000        738,657   
Illinois Finance Authority Rev. (Lutheran Home & Services), 5.625%, 5/15/2042      3,505,000        3,752,173   
Illinois Finance Authority Rev. (Mercy Health Corp.), 5%, 12/01/2040      8,245,000        9,330,454   
Illinois Finance Authority Rev. (Mercy Health Corp.), 5%, 12/01/2046      3,020,000        3,393,876   
Illinois Finance Authority Rev. (Montgomery Place), “A”, 5.75%, 5/15/2038      1,730,000        1,740,069   
Illinois Finance Authority Rev. (OSF Healthcare), “A”, 7%, 11/15/2029 (Prerefunded 5/15/2019)      3,025,000        3,479,506   
Illinois Finance Authority Rev. (OSF Healthcare), “A”, 7.125%, 11/15/2037 (Prerefunded 5/15/2019)      2,555,000        2,946,886   
Illinois Finance Authority Rev. (Presbyterian Homes Obligated Group), “A”, 5%, 11/01/2030      740,000        879,009   
Illinois Finance Authority Rev. (Presbyterian Homes Obligated Group), “A”, 5%, 11/01/2031      550,000        650,161   
Illinois Finance Authority Rev. (Presbyterian Homes Obligated Group), “B”, FRN, 1.719%, 5/01/2036 (Put Date 5/01/2021)      1,070,000        1,074,483   
Illinois Finance Authority Rev. (Presence Health Network), “A”, 7.75%, 8/15/2034      3,830,000        4,531,618   
Illinois Finance Authority Rev. (Presence Health Network), “C”, 5%, 2/15/2036      2,625,000        2,884,009   
Illinois Finance Authority Rev. (Presence Health Network), “C”, 4%, 2/15/2041      15,240,000        14,554,200   
Illinois Finance Authority Rev. (Presence Health Network), “C”, 5%, 2/15/2041      5,515,000        6,010,137   
Illinois Finance Authority Rev. (Presence Health Obligated Group), 6.125%, 5/15/2025 (Prerefunded 5/15/2019)      75,000        84,506   
Illinois Finance Authority Rev. (Provena Health), “A”, 6%, 5/01/2028      4,125,000        4,821,259   
Illinois Finance Authority Rev. (Rehabilitation Institute of Chicago), “A”, 6%, 7/01/2043      1,305,000        1,551,188   
Illinois Finance Authority Rev. (Resurrection Health Care Corp.), 6.125%, 5/15/2025 (Prerefunded 5/15/2019)      2,455,000        2,766,171   
Illinois Finance Authority Rev. (Roosevelt University Project), 6.25%, 4/01/2029      6,045,000        6,531,562   
Illinois Finance Authority Rev. (Silver Cross Hospital & Medical Centers), 6.875%, 8/15/2038 (Prerefunded 8/15/2019)      1,500,000        1,741,530   

 

11

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Illinois - continued                 
Illinois Finance Authority Rev. (Silver Cross Hospital & Medical Centers), 7%, 8/15/2044 (Prerefunded 8/15/2019)    $ 2,545,000      $ 2,963,525   
Illinois Finance Authority Student Housing Rev. (Illinois State University), 6.75%, 4/01/2031      1,875,000        2,119,031   
Illinois Finance Authority Student Housing Rev. (Northern Illinois University Project), 6.625%, 10/01/2031      5,785,000        6,705,278   
Illinois Railsplitter Tobacco Settlement Authority, 5.5%, 6/01/2023      560,000        649,219   
Illinois Railsplitter Tobacco Settlement Authority, 6.25%, 6/01/2024      3,110,000        3,145,485   
Illinois Railsplitter Tobacco Settlement Authority, 6%, 6/01/2028      14,375,000        16,879,844   
Illinois Toll Highway Authority Rev., “B”, 5.5%, 1/01/2033 (Prerefunded 1/01/2018)      4,355,000        4,591,651   
Illinois Toll Highway Authority Rev., “C”, 5%, 1/01/2037      7,500,000        8,631,825   
Lincolnshire, IL, Special Service Area No. 1 (Sedgebrook Project), 6.25%, 3/01/2034      2,855,000        2,838,869   
Romeoville, IL, Rev. (Lewis University Project), “A”, 5%, 10/01/2042      1,450,000        1,619,665   
State of Illinois, NATL, 5%, 1/01/2019      1,575,000        1,580,324   
Upper Illinois River Valley Development Authority (Pleasant View Lutheran Home), 7.25%, 11/15/2040      1,080,000        1,159,283   
Upper Illinois River Valley Development Authority (Pleasant View Lutheran Home), 7.375%, 11/15/2045      1,250,000        1,340,588   
    

 

 

  
      $ 304,924,641   
Indiana - 1.7%                 
Carmel, IN, Rev. (Barrington of Carmel Project), “A”, 7.125%, 11/15/2042    $ 3,000,000      $ 3,373,710   
Indiana Finance Authority Rev. (I-69 Section 5 Project), 5.25%, 9/01/2034      3,205,000        3,452,298   
Indiana Finance Authority Rev. (I-69 Section 5 Project), 5.25%, 9/01/2040      3,005,000        3,215,260   
Indiana Finance Authority Rev. (Marquette Project), 4.75%, 3/01/2032      4,790,000        5,000,521   
Indiana Finance Authority Rev. (Marquette Project), 5%, 3/01/2039      1,215,000        1,287,135   
Indiana Finance Authority Rev. (Marquette Project), “A”, 5%, 3/01/2030      460,000        511,939   
Indiana Finance Authority Rev. (Marquette Project), “A”, 5%, 3/01/2039      1,155,000        1,251,431   
Indiana Finance Authority Rev. (Ohio River Bridges East End Crossing Project), “A”, 5%, 7/01/2035      2,095,000        2,329,661   
Indiana Finance Authority Rev. (Ohio River Bridges East End Crossing Project), “A”, 5%, 7/01/2040      5,350,000        5,933,953   
Indiana Finance Authority Rev. (Ohio River Bridges East End Crossing Project), “A”, 5%, 7/01/2044      3,260,000        3,584,989   
Indiana Finance Authority Rev. (Ohio River Bridges East End Crossing Project), “A”, 5%, 7/01/2048      4,020,000        4,395,589   
Indiana Finance Authority Rev. (Ohio River Bridges East End Crossing Project), “B”, 5%, 1/01/2019      2,540,000        2,557,120   
Knox County, IN, Economic Development Rev. (Good Samaritan Hospital), “A”, 5%, 4/01/2042      1,430,000        1,520,448   
Richmond, IN, Hospital Authority Rev. (Reid Hospital & Health Center Services), “A”, 6.625%, 1/01/2039 (Prerefunded 1/01/2019)      4,760,000        5,320,347   
Terre Haute, IN, Rev. (Westminster Village), 6%, 8/01/2039      3,600,000        3,684,672   
University of Southern Indiana Rev. (Student Fee), “J”, ASSD GTY, 5.75%, 10/01/2028      1,445,000        1,623,891   
Valparaiso, IN, Exempt Facilities Rev. (Pratt Paper LLC Project), 6.75%, 1/01/2034      4,370,000        5,365,705   
Valparaiso, IN, Exempt Facilities Rev. (Pratt Paper LLC Project), 7%, 1/01/2044      10,875,000        13,486,523   
    

 

 

  
      $ 67,895,192   
Iowa - 0.7%                 
Altoona, IA, Urban Renewal Tax Increment Rev., 6%, 6/01/2043    $ 3,000,000      $ 3,240,960   
Iowa Finance Authority Health Facilities Rev. (UnityPoint Health), “C”, 5%, 2/15/2030      800,000        927,280   
Iowa Finance Authority Health Facilities Rev. (UnityPoint Health), “C”, 5%, 2/15/2031      1,480,000        1,706,973   
Iowa Finance Authority Health Facilities Rev. (UnityPoint Health), “C”, 5%, 2/15/2032      715,000        821,077   
Iowa Student Loan Liquidity Corp. Rev., “A-1”, 4.625%, 12/01/2019      2,430,000        2,534,344   
Iowa Student Loan Liquidity Corp. Rev., “A-1”, 4.875%, 12/01/2020      450,000        469,274   
Iowa Student Loan Liquidity Corp. Rev., “A-2”, 5.5%, 12/01/2025      1,100,000        1,184,392   
Iowa Student Loan Liquidity Corp. Rev., “A-2”, 5.6%, 12/01/2026      1,110,000        1,195,470   
Iowa Student Loan Liquidity Corp. Rev., “A-2”, 5.7%, 12/01/2027      130,000        139,198   
Iowa Student Loan Liquidity Corp. Rev., “A-2”, 5.75%, 12/01/2028      2,240,000        2,397,270   
Iowa Tobacco Settlement Authority, Tobacco Settlement Rev., Asset Backed, “B”, 5.6%, 6/01/2034      4,295,000        4,314,886   
Iowa Tobacco Settlement Authority, Tobacco Settlement Rev., Asset Backed, “C”, 5.625%, 6/01/2046      8,000,000        7,858,160   
Scott County, IA, Rev. (Christian Retirement Homes, Inc.), 5.25%, 11/15/2021      2,410,000        2,414,242   
    

 

 

  
      $ 29,203,526   
Kansas - 0.7%                 
Atchison, KS, Hospital Rev. (Atchison Hospital Assn.), “A”, 6.75%, 9/01/2030    $ 2,600,000      $ 2,668,562   
Coffeyville, KS, Electric Utility System Rev., “B”, NATL, 5%, 6/01/2038      3,600,000        3,880,944   

 

12

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Kansas - continued                 
Coffeyville, KS, Electric Utility System Rev., “B”, NATL, 5%, 6/01/2042    $ 1,500,000      $ 1,612,065   
Lenexa, KS, Health Care Facilities Rev. (Lakeview Village, Inc.), 5.375%, 5/15/2027      1,185,000        1,195,464   
Lenexa, KS, Health Care Facilities Rev. (Lakeview Village, Inc.), 7.125%, 5/15/2029      1,555,000        1,695,479   
Lenexa, KS, Health Care Facilities Rev. (Lakeview Village, Inc.), 5.5%, 5/15/2039      2,325,000        2,342,135   
Overland Park, KS, Special Assessment (Tallgrass Creek), 5.125%, 9/01/2028      3,848,000        3,861,468   
Wichita, KS, Health Care Facilities Rev. (Kansas Masonic Home), “II-A”, 5%, 12/01/2031      620,000        629,598   
Wichita, KS, Health Care Facilities Rev. (Kansas Masonic Home), “II-A”, 5.25%, 12/01/2036      415,000        424,342   
Wichita, KS, Health Care Facilities Rev. (Kansas Masonic Home), “II-A”, 5.375%, 12/01/2046      1,520,000        1,545,855   
Wichita, KS, Health Care Facilities Rev. (Presbyterian Manors, Inc.), “A”, 6.375%, 5/15/2043      4,165,000        4,599,326   
Wichita, KS, Health Care Facilities Rev. (Presbyterian Manors, Inc.), “IV-A”, 5%, 5/15/2029      500,000        514,140   
Wyandotte County/Kansas City, KS, Unified Government Special Obligation Rev., Capital Appreciation, “B”, 0%, 6/01/2021      20,000        15,271   
Wyandotte County/Kansas City, KS, Unified Government Utility System Improvement Rev., “A”, 5%, 9/01/2044      1,740,000        2,010,170   
    

 

 

  
      $ 26,994,819   
Kentucky - 1.3%                 
Glasgow, KY, Healthcare Rev. (TJ Samson Community Hospital), 6.375%, 2/01/2035    $ 2,840,000      $ 3,242,314   
Kentucky Economic Development Finance Authority Health Care Rev. (Masonic Homes of Kentucky, Inc.), 5.375%, 11/15/2042      2,915,000        3,010,379   
Kentucky Economic Development Finance Authority Health Care Rev. (Masonic Homes of Kentucky, Inc.), 5.5%, 11/15/2045      1,325,000        1,375,204   
Kentucky Economic Development Finance Authority Health Facilities Rev. (Baptist Life Communities Project), “A”, 6.25%, 11/15/2046      5,105,000        5,180,044   
Kentucky Economic Development Finance Authority Health Facilities Rev. (Baptist Life Communities Project), “A”, 6.375%, 11/15/2051      4,855,000        4,931,418   
Kentucky Economic Development Finance Authority Rev. (Masonic Home Independent Living II, Inc. - The Meadow Project and Grove Pointe Project), “A”, 5%, 5/15/2036      2,505,000        2,619,980   
Kentucky Economic Development Finance Authority Rev. (Masonic Home Independent Living II, Inc. - The Meadow Project and Grove Pointe Project), “A”, 5%, 5/15/2046      6,945,000        7,195,298   
Kentucky Economic Development Finance Authority Rev. (Masonic Home Independent Living II, Inc. - The Meadow Project and Grove Pointe Project), “A”, 5%, 5/15/2051      1,755,000        1,808,650   
Kentucky Economic Development Finance Authority Rev. (Masonic Home Independent Living II - The Miralea Project), 7.25%, 5/15/2041      3,000,000        3,770,340   
Kentucky Economic Development Finance Authority Rev. (Masonic Home Independent Living II - The Miralea Project), 7.375%, 5/15/2046      1,495,000        1,887,079   
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Baptist Healthcare System), “A”, 5.625%, 8/15/2027      815,000        872,547   
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Owensboro Medical Health System), “A”, 6%, 6/01/2030      710,000        795,946   
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Owensboro Medical Health System), “A”, 6.375%, 6/01/2040      6,255,000        7,057,767   
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Owensboro Medical Health System), “A”, 6.5%, 3/01/2045      1,955,000        2,210,636   
Owen County, KY, Waterworks System Rev. (American Water Co. Project), “A”, 6.25%, 6/01/2039      1,635,000        1,802,833   
Owen County, KY, Waterworks System Rev. (American Water Co. Project), “B”, 5.625%, 9/01/2039      1,830,000        2,005,772   
University of Kentucky, General Receipts, “A”, 5%, 4/01/2036      1,460,000        1,697,089   
    

 

 

  
      $ 51,463,296   
Louisiana - 1.9%                 
Jefferson Parish, LA, Hospital Service District No. 1 (West Jefferson Medical Center), “A”, 6%, 1/01/2039 (Prerefunded 1/01/2021)    $ 1,500,000      $ 1,788,375   
Jefferson Parish, LA, Hospital Service District No. 2 (East Jefferson General Hospital), 6.25%, 7/01/2031      3,200,000        3,519,264   
Jefferson Parish, LA, Hospital Service District No. 2 (East Jefferson General Hospital), 6.375%, 7/01/2041      2,000,000        2,174,520   
Louisiana Citizens Property Insurance Corp. Rev., AGM, 5%, 6/01/2021      1,705,000        1,973,947   
Louisiana Citizens Property Insurance Corp. Rev., AGM, 5%, 6/01/2022      1,365,000        1,616,337   
Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (CDF Healthcare), “A”, 5.625%, 6/01/2045      6,355,000        6,599,922   
Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (St. James Place of Baton Rouge Project), “A”, 6%, 11/15/2035      1,145,000        1,230,005   
Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (St. James Place of Baton Rouge Project), “A”, 6.25%, 11/15/2045      4,435,000        4,803,903   

 

13

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Louisiana - continued                 
Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (Westlake Chemical), 6.75%, 11/01/2032    $ 5,000,000      $ 5,252,650   
Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (Westlake Chemical), “A”, 6.5%, 8/01/2029      2,990,000        3,431,025   
Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (Westlake Chemical), “A-2”, 6.5%, 11/01/2035      4,000,000        4,628,560   
Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (Westside Rehab Center Project), “A”, 6.85%, 10/01/2036      6,995,000        7,145,602   
Louisiana Public Facilities Authority Hospital Rev. (Lake Charles Memorial Hospital), 6.375%, 12/01/2034      6,470,000        6,987,924   
New Orleans, LA, Aviation Board General Airport Rev. (North Terminal Project), “B”, 5%, 1/01/2040      2,675,000        3,008,305   
New Orleans, LA, Aviation Board General Airport Rev. (North Terminal Project), “B”, 5%, 1/01/2045      1,150,000        1,288,909   
New Orleans, LA, Aviation Board Gulf Opportunity Zone CFC Rev. (Consolidated Rental Car), “A”, 6.25%, 1/01/2030      2,050,000        2,232,409   
New Orleans, LA, Sewerage Service Rev., 5%, 6/01/2040      655,000        745,495   
New Orleans, LA, Sewerage Service Rev., 5%, 12/01/2040      875,000        998,279   
New Orleans, LA, Sewerage Service Rev., 5%, 6/01/2045      2,405,000        2,727,607   
New Orleans, LA, Sewerage Service Rev., 5%, 12/01/2045      1,095,000        1,241,883   
Shreveport, LA, Water and Sewer Rev., AGM, 5%, 12/01/2030      3,000,000        3,573,750   
Shreveport, LA, Water and Sewer Rev., AGM, 5%, 12/01/2034      930,000        1,087,384   
St. Charles Parish, LA, Gulf Zone Opportunity Zone Rev. (Valero Energy Corp.), 4%, 12/01/2040 (Put Date 6/01/2022)      8,660,000        9,457,066   
    

 

 

  
      $ 77,513,121   
Maine - 0.1%                 
Maine Finance Authority Solid Waste Disposal Rev. (Casella Waste Systems, Inc.), 6.25%, 1/01/2025 (Put Date 2/01/2017)    $ 3,985,000      $ 3,995,760   
Maryland - 0.6%                 
Anne Arundel County, MD, Special Obligation (National Business Park-North Project), 6.1%, 7/01/2040    $ 1,320,000      $ 1,381,842   
Anne Arundel County, MD, Special Obligation (VLG South Waugh Chapel Project), 6.25%, 7/01/2040      4,700,000        4,920,383   
Baltimore, MD, Special Obligation (East Baltimore Research Park Project), “A”, 7%, 9/01/2038      2,600,000        2,730,390   
Howard County, MD, Retirement Rev. (Vantage House Facility), 5%, 4/01/2036      1,225,000        1,257,695   
Maryland Economic Development Corp. Adjustable Mode Rev. Refunding (Constellation Energy Group, Inc. Project), “B”, 2.55%, 12/01/2025 (Put Date 6/01/2020)      3,155,000        3,192,828   
Maryland Economic Development Corp. Rev. (Port America Chesapeake Terminal Project), “B”, 5.375%, 6/01/2025      885,000        977,429   
Maryland Economic Development Corp., Senior Student Housing Rev. (University of Maryland, College Park Projects), AGM, 5%, 6/01/2035      820,000        974,488   
Maryland Health & Higher Educational Facilities Authority Rev. (Charlestown Community), 6.25%, 1/01/2041      2,360,000        2,725,234   
State of Maryland, “B”, 4%, 8/01/2027      3,105,000        3,495,485   
Westminster, MD, Refunding Rev. (Carroll Lutheran Village, Inc.), 5.125%, 7/01/2040      2,600,000        2,802,930   
    

 

 

  
      $ 24,458,704   
Massachusetts - 2.8%                 
Massachusetts College Building Authority Rev., “A”, 5%, 5/01/2031    $ 2,535,000      $ 3,001,465   
Massachusetts Development Finance Agency Rev. (Adventcare), “A”, 6.75%, 10/15/2037      9,250,000        9,474,128   
Massachusetts Development Finance Agency Rev. (Emerson College), 5%, 1/01/2021      685,000        776,132   
Massachusetts Development Finance Agency Rev. (Emerson College), 5%, 1/01/2022      685,000        791,202   
Massachusetts Development Finance Agency Rev. (Emerson College), 5%, 1/01/2023      510,000        599,306   
Massachusetts Development Finance Agency Rev. (Emerson College), 5%, 1/01/2024      1,250,000        1,487,238   
Massachusetts Development Finance Agency Rev. (Emerson College), 5%, 1/01/2029      1,450,000        1,691,744   
Massachusetts Development Finance Agency Rev. (Emerson College), 5%, 1/01/2030      3,015,000        3,496,104   
Massachusetts Development Finance Agency Rev. (Emerson College), 5%, 1/01/2031      835,000        961,661   
Massachusetts Development Finance Agency Rev. (Emerson College), 5%, 1/01/2035      9,160,000        10,329,274   
Massachusetts Development Finance Agency Rev. (Emmanuel College), “A”, 5%, 10/01/2043      2,690,000        3,035,181   
Massachusetts Development Finance Agency Rev. (Emmanuel College), “A”, 5%, 10/01/2034      3,235,000        3,699,772   
Massachusetts Development Finance Agency Rev. (Emmanuel College), “A”, 5%, 10/01/2035      1,745,000        1,990,940   
Massachusetts Development Finance Agency Rev. (Emmanuel College), “A”, 5%, 10/01/2036      2,065,000        2,342,970   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-1”, 6.25%, 11/15/2031      869,621        909,180   

 

14

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Massachusetts - continued                 
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-1”, 6.25%, 11/15/2039    $ 218,601      $ 227,627   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-1”, 6.25%, 11/15/2046      525,000        544,588   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-2”, 5.5%, 11/15/2046      58,153        54,517   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), Capital Appreciation, “B”, 0%, 11/15/2056      289,249        1,597   
Massachusetts Development Finance Agency Rev. (North Hill Communities), “A”, 6.25%, 11/15/2033      1,350,000        1,465,385   
Massachusetts Development Finance Agency Rev. (North Hill Communities), “A”, 6.5%, 11/15/2043      2,080,000        2,262,146   
Massachusetts Development Finance Agency Rev. (Sabis International Charter School Issue), 4%, 4/15/2020      90,000        95,084   
Massachusetts Development Finance Agency Rev. (Sabis International Charter School Issue), 5%, 4/15/2025      170,000        195,361   
Massachusetts Development Finance Agency Rev. (Simmons College), “H”, SYNCORA, 5.25%, 10/01/2033      430,000        522,360   
Massachusetts Development Finance Agency Rev. (Simmons College), “K-1”, 5%, 10/01/2024      1,400,000        1,687,028   
Massachusetts Development Finance Agency Rev. (Simmons College), “K-1”, 5%, 10/01/2025      800,000        974,304   
Massachusetts Development Finance Agency Rev. (UMass Memorial Health Care Obligated Group), “I”, 5%, 7/01/2036      1,685,000        1,917,362   
Massachusetts Development Finance Agency Rev. (Western New England University), 5%, 9/01/2028      960,000        1,127,501   
Massachusetts Development Finance Agency, Resource Recovery Rev. (Covanta Energy Project), “A”, 4.875%, 11/01/2027      3,585,000        3,614,935   
Massachusetts Development Finance Agency, Resource Recovery Rev. (Covanta Energy Project), “C”, 5.25%, 11/01/2042      11,780,000        11,921,242   
Massachusetts Development Finance Agency, Solid Waste Disposal Rev. (Dominion Energy Brayton), 5.75%, 12/01/2042 (Prerefunded 5/01/2019)      685,000        764,782   
Massachusetts Educational Financing Authority, Education Loan Rev, “A”, 4.25%, 1/01/2030      2,030,000        2,165,503   
Massachusetts Educational Financing Authority, Education Loan Rev, “A”, 4.25%, 1/01/2031      1,375,000        1,454,668   
Massachusetts Educational Financing Authority, Education Loan Rev., “H”, ASSD GTY, 6.35%, 1/01/2030      1,540,000        1,613,520   
Massachusetts Educational Financing Authority, Education Loan Rev., “I-A”, 5.5%, 1/01/2022      250,000        277,688   
Massachusetts Educational Financing Authority, Education Loan Rev., “J”, 4.7%, 7/01/2026      1,520,000        1,586,652   
Massachusetts Educational Financing Authority, Education Loan Rev., “J”, 4.9%, 7/01/2028      1,585,000        1,659,463   
Massachusetts Educational Financing Authority, Education Loan Rev., “J”, 3.5%, 7/01/2033 (u)      18,000,000        17,423,820   
Massachusetts Health & Educational Facilities Authority Rev. (Suffolk University), “A”, 6.25%, 7/01/2030      6,130,000        6,863,393   
Massachusetts Housing Finance Agency, Single Family Housing Rev., “169”, 4%, 12/01/2029      1,585,000        1,704,731   
Massachusetts Housing Finance Agency, Single Family Housing Rev., “177”, 4%, 6/01/2039      1,190,000        1,274,323   
Massachusetts Port Authority Special Facilities Rev. (ConRAC Project), “A”, 5.125%, 7/01/2041      340,000        377,645   
Massachusetts Port Authority Special Facilities Rev. (Delta Air Lines Project, Inc.), “A”, AMBAC, 5%, 1/01/2027      2,760,000        2,770,847   
    

 

 

  
      $ 111,134,369   
Michigan - 2.6%                 
Detroit, MI, Water & Sewerage Department, Senior Lien Sewage Disposal System Rev., “A”, 5.25%, 7/01/2039    $ 9,635,000      $ 10,761,910   
Detroit, MI, Water & Sewerage Department, Senior Lien Sewage Disposal System Rev., “A”, 5%, 7/01/2019      3,270,000        3,567,112   
Detroit, MI, Water & Sewerage Department, Senior Lien Sewage Disposal System Rev., “A”, 5%, 7/01/2020      3,275,000        3,661,254   
Detroit, MI, Water & Sewerage Department, Senior Lien Sewage Disposal System Rev., “A”, AGM, 5%, 7/01/2039      3,190,000        3,542,910   
Detroit, MI, Water Supply System Rev., Senior Lien, “A”, 5%, 7/01/2036      375,000        407,078   
Detroit, MI, Water Supply System Rev., Senior Lien, “A”, 5.25%, 7/01/2041      2,055,000        2,255,815   
Detroit, MI, Water Supply System Rev., Senior Lien, “A”, AGM, 5%, 7/01/2023      1,020,000        1,021,571   
Detroit, MI, Water Supply System Rev., Senior Lien, “A”, AGM, 5%, 7/01/2025      155,000        155,239   
Detroit, MI, Water Supply System Rev., Senior Lien, “C”, 5%, 7/01/2041      535,000        581,492   
Genesee County, MI, Water Supply System Rev., “B”, BAM, 4%, 2/01/2041      1,050,000        1,103,855   
Genesee County, MI, Water Supply System Rev., “B”, BAM, 5%, 2/01/2046      915,000        1,047,501   
Grand Valley, MI, State University Rev., 5.5%, 12/01/2027 (Prerefunded 12/01/2016)      1,015,000        1,019,009   
Kalamazoo, MI, Economic Development Corp. Rev. (Heritage Community), 5.375%, 5/15/2027      750,000        755,378   
Kalamazoo, MI, Economic Development Corp. Rev. (Heritage Community), 5.5%, 5/15/2036      3,050,000        3,069,703   
Michigan Finance Authority (City of Detroit Financial Recovery Income Tax Rev.), “F”, 3.875%, 10/01/2023      635,000        689,839   
Michigan Finance Authority (City of Detroit Financial Recovery Income Tax Rev.), “F”, 4%, 10/01/2024      800,000        869,208   
Michigan Finance Authority Hospital Rev. (Beaumont Health Credit Group), “A”, 5%, 8/01/2033      1,105,000        1,278,264   
Michigan Finance Authority Hospital Rev. (Henry Ford Health System), 5%, 11/15/2041      6,470,000        7,308,836   
Michigan Finance Authority Hospital Rev. (Sparrow Obligated Group), 5%, 11/15/2045      7,000,000        8,002,260   
Michigan Finance Authority Local Government Loan Program Rev. (Detroit Water and Sewerage Department Sewage Disposal System Rev. Refunding Second Lien Local Project), “C”, 5%, 7/01/2033      875,000        993,353   
Michigan Finance Authority Local Government Loan Program Rev. (Detroit Water and Sewerage Department Sewage Disposal System Rev. Refunding Second Lien Local Project), “C”, 5%, 7/01/2034      2,070,000        2,341,605   

 

15

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Michigan - continued                 
Michigan Finance Authority Local Government Loan Program Rev. (Detroit Water and Sewerage Department Sewage Disposal System Rev. Refunding Second Lien Local Project), “C”, 5%, 7/01/2035    $ 1,355,000      $ 1,528,426   
Michigan Finance Authority Local Government Loan Program Rev. (Detroit Water and Sewerage Department Sewage Disposal System Rev. Refunding Second Lien Local Project), “D-2”, 5%, 7/01/2034      885,000        1,001,121   
Michigan Finance Authority Local Government Loan Program Rev. (Detroit Water and Sewerage Department), “C-1”, 5%, 7/01/2044      2,375,000        2,609,056   
Michigan Finance Authority Local Government Loan Program Rev. (Detroit Water and Sewerage Department), “C-2”, 5%, 7/01/2044      1,365,000        1,467,907   
Michigan Finance Authority Local Government Loan Program Rev. (Detroit Water and Sewerage Department), “C-6”, 5%, 7/01/2033      2,280,000        2,581,804   
Michigan Hospital Finance Authority Rev. (Henry Ford Health System), 5.75%, 11/15/2039      4,405,000        5,020,467   
Michigan Housing Development Authority, “A”, 4%, 6/01/2046      6,870,000        7,393,700   
Michigan Strategic Fund (Waste Management, Inc.), 1.5%, 8/01/2027 (Put Date 8/01/2017)      4,505,000        4,515,632   
Michigan Strategic Fund Ltd. (Canterbury Health Care, Inc.), 5%, 7/01/2046      1,635,000        1,580,914   
Michigan Strategic Fund Ltd. (Canterbury Health Care, Inc.), 5%, 7/01/2051      900,000        861,012   
Michigan Strategic Fund Ltd. Obligation Rev. (Detroit Edison Co.), 5.625%, 7/01/2020      1,050,000        1,199,489   
Royal Oak, MI, Hospital Finance Authority Rev. (William Beaumont Hospital), “V”, 8.25%, 9/01/2039 (Prerefunded 9/01/2018)      6,945,000        7,875,491   
Waterford Township, MI, Economic Development Corp. (Canterbury Health Care, Inc.), “A”, 5%, 7/01/2046      2,070,000        2,003,946   
Waterford Township, MI, Economic Development Corp. (Canterbury Health Care, Inc.), “A”, 5%, 7/01/2051      2,070,000        1,982,853   
Wayne County, MI, Airport Authority Rev. (Detroit Metropolitan Wayne County Airport), “B”, 5%, 12/01/2044      2,215,000        2,520,604   
Wayne County, MI, Airport Authority Rev. (Detroit Metropolitan Wayne County Airport), “B”, BAM, 5%, 12/01/2039      750,000        866,843   
Wayne County, MI, Airport Authority Rev. (Detroit Metropolitan Wayne County Airport), “C”, 5%, 12/01/2039      575,000        642,114   
Wayne County, MI, Airport Authority Rev. (Detroit Metropolitan Wayne County Airport), “C”, 5%, 12/01/2044      1,240,000        1,381,013   
Western Michigan University Rev., “A”, 5%, 11/15/2040      1,250,000        1,427,975   
Western Michigan University Rev., “A”, 5%, 11/15/2045      1,850,000        2,105,948   
    

 

 

  
      $ 104,999,507   
Minnesota - 0.3%                 
Baytown Township, MN, Charter School Lease Rev. (St. Croix Preparatory Academy Project), “A”, 4%, 8/01/2036    $ 420,000      $ 413,213   
Baytown Township, MN, Charter School Lease Rev. (St. Croix Preparatory Academy Project), “A”, 4%, 8/01/2041      420,000        409,021   
Baytown Township, MN, Charter School Lease Rev. (St. Croix Preparatory Academy Project), “A”, 4.25%, 8/01/2046      415,000        415,635   
Brooklyn Park, MN, Charter School Lease Rev. (Athlos Leadership Academic Project), “A”, 5.25%, 7/01/2030      410,000        420,295   
Brooklyn Park, MN, Charter School Lease Rev. (Athlos Leadership Academic Project), “A”, 5.5%, 7/01/2035      540,000        554,175   
Brooklyn Park, MN, Charter School Lease Rev. (Athlos Leadership Academic Project), “A”, 5.5%, 7/01/2040      610,000        621,309   
Brooklyn Park, MN, Charter School Lease Rev. (Athlos Leadership Academic Project), “A”, 5.75%, 7/01/2046      1,145,000        1,177,220   
Deephaven, MN, Charter School Lease Rev. (Eagle Ridge Academy Project), “A”, 5.25%, 7/01/2040      500,000        545,365   
Deephaven, MN, Charter School Lease Rev. (Eagle Ridge Academy Project), “A”, 5.5%, 7/01/2050      3,000,000        3,305,880   
Minnesota Housing Finance Agency, Residential Housing, “A”, 4%, 1/01/2041      1,705,000        1,826,959   
St. Paul, MN, Housing & Redevelopment Authority Charter School Lease Rev. (Nova Classical Academy), “A”, 6.375%, 9/01/2031      630,000        711,654   
St. Paul, MN, Housing & Redevelopment Authority Charter School Lease Rev. (Nova Classical Academy), “A”, 6.625%, 9/01/2042      1,260,000        1,565,928   
St. Paul, MN, Port Authority Rev. (Energy Park Utility Co. Project), 5.45%, 8/01/2028      250,000        263,125   
St. Paul, MN, Port Authority Rev. (Energy Park Utility Co. Project), 5.7%, 8/01/2036      1,250,000        1,313,913   
    

 

 

  
      $ 13,543,692   
Mississippi - 0.4%                 
Jackson County, MS, Utility Authority Rev. (Water and Wastewater Treatment System), AGM, 5%, 9/01/2040    $ 2,345,000      $ 2,677,146   
Mississippi Development Bank Special Obligation (Greenville, MS Project), 5%, 4/01/2027      1,195,000        1,209,961   
Mississippi Home Corp. Rev. (Kirkwood Apartments Project), 6.8%, 11/01/2037 (d)(q)      3,655,000        2,772,939   
Mississippi Hospital Equipment & Facilities Authority Rev. (Baptist Memorial Healthcare), “A”, 5%, 9/01/2022      1,845,000        2,140,920   
Mississippi Hospital Equipment & Facilities Authority Rev. (Baptist Memorial Healthcare), “A”, 5%, 9/01/2023      4,810,000        5,653,289   
    

 

 

  
      $ 14,454,255   
Missouri - 1.0%                 
Dardenne, MO, Town Square Transportation Development District, “A”, 5%, 5/01/2026 (d)(q)    $ 2,495,000      $ 897,526   
Grundy County, MO, Industrial Development Authority Health Facilities Rev. (Wright Memorial Hospital), 6.125%, 9/01/2025      1,070,000        1,139,315   

 

16

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Missouri - continued                 
Grundy County, MO, Industrial Development Authority Health Facilities Rev. (Wright Memorial Hospital), 6.75%, 9/01/2034    $ 1,590,000      $ 1,702,397   
Missouri Health & Educational Facilities Authority Rev. (A.T. Still University Health Services), 5%, 10/01/2039      465,000        527,975   
Missouri Health & Educational Facilities Authority Rev. (Bethesda Health Group, Inc.), 5%, 8/01/2040      1,650,000        1,787,990   
Missouri Health & Educational Facilities Authority Rev. (Bethesda Health Group, Inc.), 5%, 8/01/2045      2,300,000        2,482,045   
Missouri Health & Educational Facilities Authority Rev. (SSM Health Care), “A”, 5%, 6/01/2031      1,735,000        2,034,218   
Missouri Health & Educational Facilities Authority, Senior Living Facilities Rev. (Lutheran Senior Service Projects), “A”, 5%, 2/01/2035      3,190,000        3,496,017   
Missouri Health & Educational Facilities Authority, Senior Living Facilities Rev. (Lutheran Senior Services Project), “A”, 5%, 2/01/2036      495,000        560,741   
Missouri Health & Educational Facilities Authority, Senior Living Facilities Rev. (Lutheran Senior Services Project), “A”, 5%, 2/01/2044      795,000        863,839   
Missouri Health & Educational Facilities Authority, Senior Living Facilities Rev. (Lutheran Senior Services Project), “A”, 5%, 2/01/2046      1,155,000        1,291,798   
Missouri Housing Development Commission, Single Family Mortgage Rev. (First Place Homeownership Loan Program), “A”, GNMA, 3.75%, 5/01/2038      1,305,000        1,387,006   
Missouri Housing Development Commission, Single Family Mortgage Rev. (Special Home Ownership Loan Program), “B”, GNMA, 4%, 11/01/2040      1,190,000        1,270,670   
Osage Beach, MO, Tax Increment Rev. (Prewitts), 5%, 5/01/2023      1,500,000        1,492,770   
St. Louis County, MO, Industrial Development Authority Health Facilities Rev. (Nazareth Living Center), “A”, 5%, 8/15/2030      695,000        732,697   
St. Louis County, MO, Industrial Development Authority Health Facilities Rev. (Nazareth Living Center), “A”, 5%, 8/15/2035      490,000        507,121   
St. Louis County, MO, Industrial Development Authority Health Facilities Rev. (Nazareth Living Center), “A”, 5.125%, 8/15/2045      1,320,000        1,359,534   
St. Louis County, MO, Industrial Development Authority Health Facilities Rev. (Nazareth Living Center), “B-2”, 3.85%, 8/15/2020      270,000        270,016   
St. Louis County, MO, Industrial Development Authority Health Facilities Rev. (Ranken-Jordan Project), 5%, 11/15/2041      1,195,000        1,276,188   
St. Louis County, MO, Industrial Development Authority Health Facilities Rev. (Ranken-Jordan Project), 5%, 11/15/2046      1,430,000        1,521,592   
St. Louis County, MO, Industrial Development Authority Health Facilities Rev. (Ranken-Jordan Project), 4%, 11/15/2036      1,165,000        1,117,142   
St. Louis County, MO, Industrial Development Authority Senior Living Facilities Rev. (St. Andrews Resources for Seniors Obligated Group), “B”, 3.125%, 12/01/2019      3,195,000        3,170,814   
St. Louis, MO, Industrial Development Authority Rev. (St. Andrew’s Resources for Seniors Obligated Group), “A”, 5.125%, 12/01/2045      3,620,000        3,763,750   
St. Louis, MO, Land Clearance Redevelopment Authority, Facilities Improvement Special Rev. (Kiel Opera House), “B”, 7%, 9/01/2035      4,005,000        4,154,867   
    

 

 

  
      $ 38,808,028   
Nebraska - 0.1%                 
Nebraska Investment Finance Authority, Single Family Housing Rev., “A”, 3%, 3/01/2044    $ 880,000      $ 901,173   
Nebraska Investment Finance Authority, Single Family Housing Rev., “A”, 4%, 9/01/2044      2,005,000        2,121,210   
    

 

 

  
      $ 3,022,383   
Nevada - 0.1%                 
Director of the State of Nevada, Department of Business and Industry, Charter School Lease Rev. (Somerset Academy), “A”, 5%, 12/15/2035    $ 1,715,000      $ 1,760,413   
Director of the State of Nevada, Department of Business and Industry, Charter School Lease Rev. (Somerset Academy), “A”, 5.125%, 12/15/2045      2,205,000        2,258,141   
    

 

 

  
      $ 4,018,554   
New Hampshire - 1.0%                 
New Hampshire Business Finance Authority Rev. (Elliot Hospital Obligated Group), “A”, 6%, 10/01/2027    $ 4,935,000      $ 5,633,303   
New Hampshire Business Finance Authority Rev. (Huggins Hospital), 6.875%, 10/01/2039      790,000        836,286   
New Hampshire Business Finance Authority, Solid Waste Disposal Rev. (Casella Waste Systems, Inc. Project), 4%, 4/01/2029 (Put Date 10/01/2019)      985,000        963,103   
New Hampshire Health & Education Facilities Authority Rev. (Dartmouth College), 5.25%, 6/01/2039 (u)      20,000,000        22,168,400   
New Hampshire Health & Education Facilities Authority Rev. (Rivermead), “A”, 6.875%, 7/01/2041      2,625,000        3,047,730   
New Hampshire Health & Educational Facilities Authority Rev. (Elliot Hospital), 5%, 10/01/2033      3,475,000        3,925,603   
New Hampshire Health & Educational Facilities Authority Rev. (Elliot Hospital), 5%, 10/01/2038      3,500,000        3,910,305   
    

 

 

  
      $ 40,484,730   

 

17

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
New Jersey - 6.4%                 
Bayonne, NJ, Redevelopment Agency (Royal Caribbean Project), “A”, 5.375%, 11/01/2035    $ 2,500,000      $ 2,500,975   
Middlesex County, NJ, New Brunswick City Guaranteed Parking Rev., “A”, BAM, 5%, 9/01/2036      1,100,000        1,299,463   
Middlesex County, NJ, New Brunswick City Guaranteed Parking Rev., “A”, BAM, 5%, 9/01/2039      1,100,000        1,293,270   
New Jersey Building Authority Rev., “A”, BAM, 5%, 6/15/2027      200,000        237,780   
New Jersey Building Authority Rev., “A”, BAM, 5%, 6/15/2028      605,000        712,406   
New Jersey Building Authority Rev., “A”, BAM, 5%, 6/15/2029      710,000        829,962   
New Jersey Casino Reinvestment Development Authority, Luxury Tax Rev., AGM, 5%, 11/01/2029      445,000        495,107   
New Jersey Casino Reinvestment Development Authority, Luxury Tax Rev., AGM, 5%, 11/01/2030      690,000        764,803   
New Jersey Casino Reinvestment Development Authority, Luxury Tax Rev., AGM, 5%, 11/01/2031      2,570,000        2,825,664   
New Jersey Casino Reinvestment Development Authority, Luxury Tax Rev., AGM, 5%, 11/01/2032      1,305,000        1,429,119   
New Jersey Economic Development Authority Rev. (Kapkowski Road Landfill Project), 5.75%, 10/01/2021      180,000        193,736   
New Jersey Economic Development Authority Rev. (Kapkowski Road Landfill Project), 6.5%, 4/01/2028      1,500,000        1,827,840   
New Jersey Economic Development Authority Rev. (Kapkowski Road Landfill Project), 6.5%, 4/01/2031      9,985,000        11,946,753   
New Jersey Economic Development Authority Rev. (Kapkowski Road Landfill Project), “B”, 6.5%, 4/01/2018      1,220,000        1,279,731   
New Jersey Economic Development Authority Rev. (Lions Gate Project), 5.125%, 1/01/2039      1,625,000        1,732,104   
New Jersey Economic Development Authority Rev. (Lions Gate Project), 4.375%, 1/01/2024      650,000        691,685   
New Jersey Economic Development Authority Rev. (Lions Gate Project), 4.875%, 1/01/2029      2,300,000        2,456,331   
New Jersey Economic Development Authority Rev. (Lions Gate Project), 5%, 1/01/2034      4,350,000        4,632,446   
New Jersey Economic Development Authority Rev. (Lions Gate Project), 5.25%, 1/01/2044      4,625,000        4,952,126   
New Jersey Economic Development Authority Rev. (Provident Group - Rowan Properties LLC - Rowan University Student Housing Project), “A”, 5%, 1/01/2021      105,000        117,307   
New Jersey Economic Development Authority Rev. (Provident Group - Rowan Properties LLC - Rowan University Student Housing Project), “A”, 5%, 1/01/2022      615,000        697,361   
New Jersey Economic Development Authority Rev. (Provident Group - Rowan Properties LLC - Rowan University Student Housing Project), “A”, 5%, 1/01/2023      705,000        809,897   
New Jersey Economic Development Authority Rev. (Provident Group - Rowan Properties LLC - Rowan University Student Housing Project), “A”, 5%, 1/01/2030      985,000        1,117,551   
New Jersey Economic Development Authority Rev. (Provident Group - Rowan Properties LLC - Rowan University Student Housing Project), “A”, 5%, 1/01/2035      1,510,000        1,685,522   
New Jersey Economic Development Authority Rev. (Provident Group - Rowan Properties LLC - Rowan University Student Housing Project), “A”, 5%, 1/01/2048      410,000        453,337   
New Jersey Economic Development Authority Rev. (The Goethals Bridge Replacement Project), 5.5%, 1/01/2027      325,000        380,458   
New Jersey Economic Development Authority Rev. (The Goethals Bridge Replacement Project), 5%, 1/01/2028      325,000        369,317   
New Jersey Economic Development Authority Rev. (The Goethals Bridge Replacement Project), AGM, 5%, 1/01/2031      975,000        1,109,979   
New Jersey Economic Development Authority Rev. (The Goethals Bridge Replacement Project), AGM, 5.125%, 1/01/2039      1,060,000        1,200,588   
New Jersey Economic Development Authority Rev. (The Goethals Bridge Replacement Project), AGM, 5.125%, 7/01/2042      530,000        598,476   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 4.875%, 9/15/2019      6,590,000        6,945,069   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 5.125%, 9/15/2023      7,870,000        8,755,926   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 5.25%, 9/15/2029      5,770,000        6,415,317   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), “A”, 5.625%, 11/15/2030      1,820,000        2,084,628   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), “B”, 5.625%, 11/15/2030      8,595,000        9,838,095   
New Jersey Educational Facilities Authority Rev. (Stockton University), “A”, AGM, 5%, 7/01/2034      610,000        713,926   
New Jersey Educational Facilities Authority Rev. (Stockton University), “A”, AGM, 5%, 7/01/2035      755,000        880,866   
New Jersey Educational Facilities Authority Rev. (Stockton University), “A”, AGM, 4%, 7/01/2036      1,115,000        1,170,627   
New Jersey Educational Facilities Authority Rev. (University of Medicine & Dentistry), “B”, 7.5%, 12/01/2032 (Prerefunded 6/01/2019)      4,280,000        4,977,512   
New Jersey Educational Facilities Authority Rev. (University of Medicine & Dentistry), “B”, ETM, 6%, 12/01/2017      2,335,000        2,410,280   
New Jersey Health Care Facilities, Financing Authority Rev. (St. Joseph’s Healthcare System), 4%, 7/01/2034      600,000        621,408   
New Jersey Health Care Facilities, Financing Authority Rev. (St. Joseph’s Healthcare System), 5%, 7/01/2035      415,000        468,203   
New Jersey Health Care Facilities, Financing Authority Rev. (St. Joseph’s Healthcare System), 5%, 7/01/2036      550,000        617,139   
New Jersey Health Care Facilities, Financing Authority Rev. (St. Joseph’s Healthcare System), 6.625%, 7/01/2038      8,000,000        8,765,680   
New Jersey Health Care Facilities, Financing Authority Rev. (University Hospital), “A”, AGM, 5%, 7/01/2046      10,225,000        11,574,905   
New Jersey Higher Education Assistance Authority Senior Student Loan Rev., “1A”, 2.75%, 12/01/2027      7,250,000        7,147,848   

New Jersey Higher Education Assistance Authority Senior Student Loan Rev., “1A”, 3.5%, 12/01/2029

      3,415,000        3,418,313   
New Jersey Higher Education Assistance Authority Student Loan Rev., “A”, ASSD GTY, 6.125%, 6/01/2030      2,210,000        2,336,589   

 

18

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
New Jersey - continued                 
New Jersey Tobacco Settlement Financing Corp., “1-A”, 4.5%, 6/01/2023    $ 17,505,000      $ 17,749,720   
New Jersey Tobacco Settlement Financing Corp., “1-A”, 4.75%, 6/01/2034      31,335,000        30,014,230   
New Jersey Tobacco Settlement Financing Corp., “1-A”, 5%, 6/01/2041      77,205,000        72,229,138   
New Jersey Tobacco Settlement Financing Corp., Capital Appreciation, “1-C”, 0%, 6/01/2041      400,000        103,520   
New Jersey Transportation Trust Fund Authority, Federal Highway Reimbursement Rev., “A-1”, 5%, 6/15/2027      4,395,000        4,967,669   
    

 

 

  
      $ 254,847,702   
New Mexico - 0.6%                 
Farmington, NM, Pollution Control Rev. (Public Service New Mexico), “D”, 5.9%, 6/01/2040    $ 11,915,000      $ 13,439,048   
New Mexico Hospital Equipment Loan Council, Hospital Rev. (Rehoboth McKinley Christian Hospital), “A”, 5.25%, 8/15/2026      1,580,000        1,593,983   
New Mexico Municipal Energy Acquisition Authority, Gas Supply Rev., “A”, 5%, 11/01/2039 (Put Date 8/01/2019)      8,250,000        9,050,580   
    

 

 

  
      $ 24,083,611   
New York - 5.8%                 
Brooklyn, NY, Arena Local Development Corp. (Barclays Center Project), 6%, 7/15/2030    $ 2,265,000      $ 2,614,240   
Buffalo & Erie County, NY, Industrial Land Development Corp. Rev. (Catholic Health System, Inc.), 5%, 7/01/2020      155,000        173,691   
Buffalo & Erie County, NY, Industrial Land Development Corp. Rev. (Catholic Health System, Inc.), 5%, 7/01/2024      210,000        252,174   
Buffalo & Erie County, NY, Industrial Land Development Corp. Rev. (Catholic Health System, Inc.), 5%, 7/01/2025      155,000        187,510   
Build NYC Resource Corp. Rev. (Albert Einstein School of Medicine, Inc.), 5.5%, 9/01/2045      8,235,000        9,667,478   
Build NYC Resource Corp. Rev. (International Leadership Charter School Project), 5.75%, 7/01/2033      3,860,000        3,684,563   
Build NYC Resource Corp. Rev. (International Leadership Charter School Project), 6%, 7/01/2043      4,025,000        3,824,837   
Build NYC Resource Corp. Solid Waste Disposal Rev. (Pratt Paper, Inc. Project), 5%, 1/01/2035      3,360,000        3,773,515   
Build NYC Resource Corp., New York Rev. (Federally Taxable, International Leadership Charter High School Project), “B”, 5%, 7/01/2021      200,000        198,756   
Build NYC Resource Corp., New York Rev. (International Leadership Charter High School Project), “A”, 6.25%, 7/01/2046      1,315,000        1,273,538   
Chautauqua County, NY, Capital Resource Corp. Rev. (Women’s Christian Assn.), “A”, 8%, 11/15/2030      3,890,000        3,900,503   
East Rochester, NY, Housing Authority Rev. (Woodland Village Project), 5.5%, 8/01/2033      600,000        606,468   
Glen Cove, NY, Local Economic Assistance Corp. (Garvies Point Public Improvement Project), Capital Appreciation, “B”, 0%, 1/01/2045      6,995,000        1,320,516   
Glen Cove, NY, Local Economic Assistance Corp. (Garvies Point Public Improvement Project), Capital Appreciation, “C”, 0%, 1/01/2055      8,890,000        6,200,775   
Hudson Yards, NY, Infrastructure Corp. Rev., “A”, 5%, 2/15/2047      3,340,000        3,379,880   
Hudson Yards, NY, Infrastructure Corp. Rev., “A”, 5.75%, 2/15/2047      3,230,000        3,773,900   
New Rochelle, NY, Corp. for Local Development Rev. (Iona College Project), “A”, 5%, 7/01/2034      785,000        899,492   
New Rochelle, NY, Corp. for Local Development Rev. (Iona College Project), “A”, 5%, 7/01/2040      2,130,000        2,414,653   
New Rochelle, NY, Corp. for Local Development Rev. (Iona College Project), “A”, 5%, 7/01/2045      990,000        1,117,512   
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.5%, 8/15/2030      1,570,000        1,739,544   
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.25%, 2/15/2035      975,000        1,071,827   
New York Dormitory Authority Rev., Non-State Supported Debt (Orange Regional Medical Center), 5%, 12/01/2040      1,000,000        1,107,230   
New York Energy Research & Development Authority Pollution Control Rev. (New York Electric & Gas Corp. Project), “C”, 2%, 6/01/2029 (Put Date 5/01/2020)      3,015,000        3,062,788   
New York Liberty Development Corp. Rev. (Goldman Sachs Headquarters), 5.25%, 10/01/2035      35,370,000        44,728,902   
New York Liberty Development Corp., Liberty Rev. (3 World Trade Center Project), “1”, 5%, 11/15/2044      12,985,000        14,606,567   
New York Liberty Development Corp., Liberty Rev. (3 World Trade Center Project), “2”, 5.375%, 11/15/2040      5,850,000        6,757,628   
New York Liberty Development Corp., Liberty Rev. (3 World Trade Center Project), “3”, 7.25%, 11/15/2044      3,970,000        5,129,081   
New York Liberty Development Corp., Liberty Rev. (One Bryant Park LLC), 6.375%, 7/15/2049      4,760,000        5,316,777   
New York Transportation Development Corp., Special Facility Rev. (American Airlines, Inc. John F. Kennedy International Airport Project), 5%, 8/01/2026      8,280,000        9,047,556   
New York Transportation Development Corp., Special Facility Rev. (American Airlines, Inc. John F. Kennedy International Airport Project), 5%, 8/01/2031      5,185,000        5,534,780   
New York, NY, “J-9”, FRN, 1.03%, 8/01/2027      3,355,000        3,353,457   
New York, NY, City Housing Development Corp., Multifamily Housing Rev. (8 Spruce Street), “F”, 4.5%, 2/15/2048      10,911,318        11,479,470   
New York, NY, City Industrial Development Agency Rev. (Yankee Stadium Project), “A”, ASSD GTY, 7%, 3/01/2049      10,000,000        11,329,700   
New York, NY, Municipal Water Finance Authority, Water & Sewer Systems Rev., “CC”, 5%, 6/15/2047      1,330,000        1,545,394   
Niagara County, NY, Industrial Development Agency, Solid Waste Disposal Rev. (Covanta Energy Project), “A”, 5.25%, 11/01/2042      12,055,000        12,240,888   
Onondaga, NY, Civic Development Corp. Rev. (St. Joseph’s Hospital Health Center), 5%, 7/01/2025      505,000        558,156   

 

19

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
New York - continued                 
Onondaga, NY, Civic Development Corp. Rev. (St. Joseph’s Hospital Health Center), 5.125%, 7/01/2031    $ 510,000      $ 565,355   
Onondaga, NY, Civic Development Corp. Rev. (St. Joseph’s Hospital Health Center), 5%, 7/01/2042      3,110,000        3,743,258   
Orange County, NY, Funding Corp. Assisted Living Residence Rev. (The Hamlet at Wallkill Assisted Living Project), 6.5%, 1/01/2046      3,000,000        3,051,360   
Port Authority of NY & NJ, Special Obligation Rev. (JFK International Air Terminal LLC), 6%, 12/01/2036      2,435,000        2,828,326   
Port Authority of NY & NJ, Special Obligation Rev. (JFK International Air Terminal LLC), 6%, 12/01/2042      2,780,000        3,220,408   
Seneca Nation of Indians, NY, Capital Improvements Authority, Special Obligation, 5%, 12/01/2023 (n)      6,470,000        6,570,091   
Seneca Nation of Indians, NY, Capital Improvements Authority, Special Obligation, “A”, 5.25%, 12/01/2016 (n)      45,000        45,105   
Tobacco Settlement Asset Securitization Corp., NY, “1”, 5%, 6/01/2026      10,730,000        10,710,150   
Ulster County, NY, Capital Resource Corp Rev. (Health Alliance Senior Living- Woodland Pond at New Paltz), “B”, 7%, 9/15/2044      2,010,000        2,094,179   
Ulster County, NY, Capital Resource Corp Rev. (Health Alliance Senior Living- Woodland Pond at New Paltz), Convertible Capital Appreciation, “A”, 0% to 9/15/2019, 7.5% to 9/15/2044      3,615,000        3,230,979   
Ulster County, NY, Industrial Development Agency (Woodland Pond), “A”, 6%, 9/15/2037      5,620,000        5,686,653   
    

 

 

  
      $ 229,619,610   
North Carolina - 0.6%                 
North Carolina Housing Finance Agency Rev., “30-A”, 5.25%, 7/01/2039    $ 6,645,000      $ 6,659,885   
North Carolina Medical Care Commission Retirement Facilities First Mortgage Rev. (Aldersgate), 5%, 7/01/2045      1,325,000        1,416,266   
North Carolina Medical Care Commission Retirement Facilities First Mortgage Rev. (Salemtowne), “A”, 5%, 10/01/2026      3,585,000        4,049,975   
North Carolina Medical Care Commission Retirement Facilities First Mortgage Rev. (Salemtowne), “A”, 5%, 10/01/2030      1,500,000        1,665,015   
North Carolina Medical Care Commission Retirement Facilities First Mortgage Rev. (Southminster), 5%, 10/01/2031      1,200,000        1,332,240   
North Carolina Medical Care Commission Retirement Facilities First Mortgage Rev. (United Church Homes and Services), “A”, 5%, 9/01/2037      1,260,000        1,346,575   
North Carolina Medical Care Commission Retirement Facilities First Mortgage Rev. (United Methodist Retirement Homes), “A”, 5%, 10/01/2030      355,000        417,835   
North Carolina Medical Care Commission Retirement Facilities First Mortgage Rev. (United Methodist Retirement Homes), “A”, 5%, 10/01/2031      120,000        140,564   
North Carolina Medical Care Commission, Health Care Facilities Rev. (Pennybyrn at Maryfield), 5%, 10/01/2025      1,030,000        1,181,410   
North Carolina Medical Care Commission, Health Care Facilities Rev. (Pennybyrn at Maryfield), 5%, 10/01/2030      1,310,000        1,453,419   
North Carolina Medical Care Commission, Health Care Facilities Rev. (Pennybyrn at Maryfield), 5%, 10/01/2035      750,000        821,753   
University of North Carolina at Wilmington (Student Housing Projects), 5%, 6/01/2029      1,190,000        1,418,432   
University of North Carolina, Greensboro, Rev., 5%, 4/01/2039      955,000        1,096,187   
    

 

 

  
      $ 22,999,556   
North Dakota - 0.1%                 
North Dakota Housing Finance Agency Rev. (Home Mortgage Finance Program), “A”, 4%, 7/01/2034    $ 755,000      $ 805,940   
North Dakota Housing Finance Agency Rev., (Home Mortgage Finance Program), “B”, 4%, 1/01/2036      1,530,000        1,641,568   
    

 

 

  
      $ 2,447,508   
Ohio - 6.7%                 
American Municipal Power, Inc. (Prairie State Energy Campus Project), “A”, 5%, 2/15/2042    $ 3,440,000      $ 3,925,969   
Bowling Green, OH, Student Housing Rev. (State University Project), 6%, 6/01/2045      5,990,000        6,498,431   
Buckeye, OH, Tobacco Settlement Financing Authority Rev., “A-2”, 5.125%, 6/01/2024      28,745,000        27,163,738   
Buckeye, OH, Tobacco Settlement Financing Authority Rev., “A-2”, 5.375%, 6/01/2024      17,075,000        16,819,729   
Buckeye, OH, Tobacco Settlement Financing Authority Rev., “A-2”, 5.875%, 6/01/2030      13,310,000        12,555,855   
Buckeye, OH, Tobacco Settlement Financing Authority Rev., “A-2”, 5.75%, 6/01/2034      4,485,000        4,181,455   
Buckeye, OH, Tobacco Settlement Financing Authority Rev., “A-2”, 6%, 6/01/2042      21,225,000        20,233,580   
Buckeye, OH, Tobacco Settlement Financing Authority Rev., “A-2”, 5.875%, 6/01/2047      7,930,000        7,454,438   
Buckeye, OH, Tobacco Settlement Financing Authority Rev., “A-2”, 6.5%, 6/01/2047      79,705,000        78,400,229   
Buckeye, OH, Tobacco Settlement Financing Authority Rev., “A-3”, 6.25%, 6/01/2037      11,535,000        11,204,407   
Butler County, OH, Hospital Facilities Rev. (UC Health), 5.5%, 11/01/2040      5,435,000        6,237,206   
Butler County, OH, Hospital Facilities Rev. (UC Health), 5.75%, 11/01/2040      2,210,000        2,558,407   
Cleveland-Cuyahoga County, OH, Port Authority Development Rev. (Euclid Avenue Development Corp. Project), 5%, 8/01/2044      1,025,000        1,104,376   
Cleveland-Cuyahoga County, OH, Port Authority Rev. (Flats East Development Project), 7%, 5/15/2040      1,125,000        1,265,006   
Franklin County, OH, Health Care Facilities Improvement Rev. (Friendship Village of Dublin, OH, Inc.), 5%, 11/15/2034      1,380,000        1,553,783   

 

20

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Ohio - continued                 
Franklin County, OH, Health Care Facilities Improvement Rev. (Friendship Village of Dublin, OH, Inc.), 5%, 11/15/2044    $ 2,055,000      $ 2,292,209   
Gallia County, OH, Hospital Facilities Rev. (Holzer Health Systems), “A”, 8%, 7/01/2042      8,380,000        9,858,483   
Lake County, OH, Hospital Facilities Rev., 6%, 8/15/2043 (Prerefunded 8/15/2018)      2,410,000        2,629,623   
Lake County, OH, Hospital Facilities Rev., 6%, 8/15/2043      460,000        494,776   
Montgomery County, OH, Health Care & Multifamily Housing Rev. (St. Leonard), 6.375%, 4/01/2030      2,235,000        2,455,259   
Montgomery County, OH, Health Care & Multifamily Housing Rev. (St. Leonard), 6.625%, 4/01/2040      3,230,000        3,551,740   
Ohio Tax Exempt Private Activity (Portsmouth Bypass Project), AGM, 5%, 12/31/2035      7,865,000        8,922,449   
Riversouth, OH, Authority Rev. (Lazarus Building), “A”, 5.75%, 12/01/2027      3,975,000        4,122,711   
Scioto County, OH, Hospital Facilities Rev. (Southern Ohio Medical Center), 5.625%, 2/15/2031      1,370,000        1,453,940   
Scioto County, OH, Hospital Facilities Rev. (Southern Ohio Medical Center), 5.75%, 2/15/2038      4,100,000        4,357,767   
Southeastern Ohio Port Authority, Hospital Facilities Improvement Rev. (Memorial Health System Obligated Group Project), 5.5%, 12/01/2029      690,000        767,404   
Southeastern Ohio Port Authority, Hospital Facilities Improvement Rev. (Memorial Health System Obligated Group Project), 5.75%, 12/01/2032      3,725,000        4,213,422   
Southeastern Ohio Port Authority, Hospital Facilities Improvement Rev. (Memorial Health System Obligated Group Project), 5%, 12/01/2035      1,520,000        1,618,648   
Southeastern Ohio Port Authority, Hospital Facilities Improvement Rev. (Memorial Health System Obligated Group Project), 5%, 12/01/2043      1,715,000        1,812,978   
Southeastern Ohio Port Authority, Hospital Facilities Improvement Rev. (Memorial Health System Obligated Group Project), 5.5%, 12/01/2043      2,100,000        2,349,501   
Summit County, OH, Port Authority Building Rev. (Flats East Development Recovery Zone Facility Bonds), 6.875%, 5/15/2040      415,000        460,716   
The Ohio State University, Special Purpose Rev., “A”, 5%, 6/01/2038 (u)      3,355,000        3,882,809   
The Ohio State University, Special Purpose Rev., “A”, 5%, 6/01/2043 (u)      8,150,000        9,394,668   
    

 

 

  
      $ 265,795,712   
Oklahoma - 0.9%                 
Fort Sill Apache Tribe, OK, Economic Development Authority, Gaming Enterprise., “A”, 8.5%, 8/25/2026 (n)    $ 2,710,000      $ 3,220,537   
Norman, OK, Regional Hospital Authority Rev., 5%, 9/01/2027      1,350,000        1,360,719   
Norman, OK, Regional Hospital Authority Rev., 5.375%, 9/01/2029      795,000        795,103   
Oklahoma Development Finance Authority Continuing Care Retirement Community Rev. (Inverness Village), 5.75%, 1/01/2037      3,720,000        3,953,318   
Oklahoma Development Finance Authority, First Mortgage Rev. (Sommerset Project), 5%, 7/01/2042      1,390,000        1,489,830   
Tulsa County, OK, Industrial Authority, Senior Living Community Rev. (Montereau, Inc.), “A”, 7.25%, 11/01/2045      3,500,000        3,819,130   
Tulsa, OK, Airport Improvement Trust Rev., “A”, 5%, 6/01/2045      660,000        732,844   
Tulsa, OK, Industrial Authority Rev. (University of Tulsa), 6%, 10/01/2027      4,795,000        5,419,836   
Tulsa, OK, Municipal Airport Trust Rev. (American Airlines, Inc.), 5%, 6/01/2035 (Put Date 6/01/2025)      2,005,000        2,317,259   
Tulsa, OK, Municipal Airport Trust Rev. (American Airlines, Inc.), “B”, 5.5%, 6/01/2035      3,205,000        3,615,849   
Tulsa, OK, Municipal Airport Trust Rev. (American Airlines, Inc.), “B”, 5.5%, 12/01/2035      6,615,000        7,432,614   
    

 

 

  
      $ 34,157,039   
Oregon - 0.5%                 
Forest Grove, OR, Campus Improvement Rev. (Pacific University Project), “A”, 4.5%, 5/01/2029    $ 655,000      $ 714,657   
Forest Grove, OR, Campus Improvement Rev. (Pacific University Project), “A”, 5%, 5/01/2030      215,000        251,090   
Forest Grove, OR, Campus Improvement Rev. (Pacific University Project), “A”, 5%, 5/01/2036      1,100,000        1,255,122   
Forest Grove, OR, Campus Improvement Rev. (Pacific University Project), “A”, 5%, 5/01/2040      815,000        901,431   
Forest Grove, OR, Student Housing Rev. (Oak Tree Foundation, Inc.), 5.5%, 3/01/2037      2,815,000        2,835,690   
Oregon Facilities Authority Rev. (College Housing Northwest Project), 5%, 10/01/2036      650,000        722,443   
Oregon Facilities Authority Rev. (College Housing Northwest Project), 5%, 10/01/2048      2,805,000        3,078,431   
Oregon Facilities Authority Rev. (Concordia University Project), “A”, 6.125%, 9/01/2030      2,390,000        2,559,905   
Oregon Facilities Authority Rev. (Concordia University Project), “A”, 6.375%, 9/01/2040      4,100,000        4,410,903   
Yamhill Country Hospital Authority Rev. (Friendsview Retirement Community Oregon), “A”, 5%, 11/15/2031      370,000        404,728   
Yamhill Country Hospital Authority Rev. (Friendsview Retirement Community Oregon), “A”, 5%, 11/15/2036      420,000        453,104   
Yamhill Country Hospital Authority Rev. (Friendsview Retirement Community Oregon), “A”, 5%, 11/15/2046      1,065,000        1,149,955   
Yamhill Country Hospital Authority Rev. (Friendsview Retirement Community Oregon), “A”, 5%, 11/15/2051      990,000        1,066,507   
    

 

 

  
      $ 19,803,966   

 

21

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Pennsylvania - 5.7%                 
Allegheny County, PA, Higher Education Building Authority Rev. (Robert Morris University), “A”, 5.9%, 10/15/2028    $ 1,305,000      $ 1,410,470   
Allegheny County, PA, Higher Education Building Authority Rev. (Robert Morris University), “A”, 6%, 10/15/2038      2,025,000        2,224,665   
Allentown, PA, Neighborhood Improvement Zone Development Authority Tax Rev., “A”, 5%, 5/01/2035      1,110,000        1,191,496   
Allentown, PA, Neighborhood Improvement Zone Development Authority Tax Rev., “A”, 5%, 5/01/2042      4,605,000        4,909,897   
Bucks County, PA, Industrial Development Authority Rev. (Lutheran Community Telford Center), 5.75%, 1/01/2027      620,000        621,674   
Bucks County, PA, Industrial Development Authority Rev. (Lutheran Community Telford Center), 5.75%, 1/01/2037      800,000        801,648   
Chartiers Valley, PA, Industrial & Commercial Development Authority (Asbury Health Center Project), 5.75%, 12/01/2022      500,000        501,045   
Chester County, PA, Health & Educational Facilities Authority Rev. (Simpson Senior Services Project), “A”, 5.25%, 12/01/2045      1,730,000        1,784,893   
Chester County, PA, Health & Educational Facilities Authority Rev. (Simpson Senior Services Project), “A”, 5%, 12/01/2030      815,000        856,810   
Chester County, PA, Health & Educational Facilities Authority Rev. (Simpson Senior Services Project), “A”, 5%, 12/01/2035      815,000        838,586   
Clairton, PA, Municipal Authority, “B”, 5%, 12/01/2037      1,735,000        1,932,721   
Clarion County, PA, Industrial Development Authority, Student Housing Rev. (Clarion University Foundation, Inc.), 5%, 7/01/2034      330,000        359,773   
Commonwealth of Pennsylvania, State Public School Building Authority Lease Rev. (School District of Philadelphia Project), 5%, 4/01/2028      1,740,000        1,895,486   
Commonwealth of Pennsylvania, State Public School Building Authority Lease Rev. (School District of Philadelphia Project), AGM, 5%, 6/01/2032      19,385,000        22,110,919   
Cumberland County, PA, Municipal Authority Rev. (Asbury Atlantic, Inc.), 6%, 1/01/2030      1,035,000        1,107,378   
Cumberland County, PA, Municipal Authority Rev. (Asbury Atlantic, Inc.), 6%, 1/01/2040      4,300,000        4,580,790   
Cumberland County, PA, Municipal Authority Rev. (Asbury Atlantic, Inc.), 5.25%, 1/01/2041      965,000        1,020,285   
Cumberland County, PA, Municipal Authority Rev. (Asbury Atlantic, Inc.), 6.125%, 1/01/2045      7,220,000        7,708,144   
Cumberland County, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries Project), 5%, 1/01/2021      685,000        776,722   
Cumberland County, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries Project), 5%, 1/01/2022      1,660,000        1,917,366   
Cumberland County, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries Project), 5%, 1/01/2023      855,000        1,004,719   
Cumberland County, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries Project), 6.125%, 1/01/2029      90,000        98,839   
Cumberland County, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries Project), 6.125%, 1/01/2029 (Prerefunded 1/01/2019)      815,000        903,917   
Cumberland County, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries Project), 6.375%, 1/01/2039      705,000        780,054   
Cumberland County, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries Project), 6.375%, 1/01/2039 (Prerefunded 1/01/2019)      6,355,000        7,082,330   
Dallas, PA, Area Municipal Authority Rev. (Misericordia University Project), 5%, 5/01/2029      1,335,000        1,487,510   
Delaware County, PA, Authority College Rev. (Neumann University), 6%, 10/01/2025 (Prerefunded 10/01/2018)      510,000        559,312   
Delaware County, PA, Authority University Rev. (Neumann University), 6.125%, 10/01/2034 (Prerefunded 10/01/2018)      250,000        274,765   
Delaware Valley, PA, Regional Finance Authority, 5.75%, 7/01/2017      3,520,000        3,631,971   
Delaware Valley, PA, Regional Finance Authority, AMBAC, 5.5%, 8/01/2018      1,680,000        1,795,298   
East Hempfield, PA, Industrial Development Authority Rev. (Millersville University Student Services), 5%, 7/01/2039      325,000        352,736   
East Hempfield, PA, Industrial Development Authority Rev. (Millersville University Student Services), 5%, 7/01/2046      180,000        194,488   
East Hempfield, PA, Industrial Development Authority Rev. (Student Services, Inc., Student Housing Project at Millersville University of Pennsylvania), 5%, 7/01/2030      330,000        368,808   
East Hempfield, PA, Industrial Development Authority Rev. (Student Services, Inc., Student Housing Project at Millersville University of Pennsylvania), 5%, 7/01/2035      420,000        461,126   
Erie, PA, Water Authority Rev., AGM, 5%, 12/01/2049      2,325,000        2,674,634   
Fulton County, PA, Industrial Development Authority Hospital Rev. (Medical Center Project), 5%, 7/01/2040      5,045,000        5,346,187   
Fulton County, PA, Industrial Development Authority Hospital Rev. (Medical Center Project), “B”, 5%, 7/01/2046      2,600,000        2,751,840   
Fulton County, PA, Industrial Development Authority Hospital Rev. (Medical Center Project), “B”, 5%, 7/01/2051      3,125,000        3,273,406   
Lancaster County, PA, Hospital Authority Health System Rev. (Landis Homes Retirement Community Project), “A”, 5%, 7/01/2045      2,500,000        2,756,525   
Lancaster County, PA, Hospital Authority Health System Rev. (Masonic Villages Project), 5%, 1/11/2027      580,000        701,353   
Lancaster County, PA, Hospital Authority Health System Rev. (Masonic Villages Project), 5%, 11/01/2035      210,000        241,817   
Lehigh County, PA, Water and Sewer Authority Rev. (Allentown Concession), “A”, 5%, 12/01/2043      7,735,000        8,768,164   
Luzerne County, PA, “A”, AGM, 5%, 11/15/2029      6,760,000        7,729,181   
Montgomery County, PA, Higher Education & Health Authority Rev. (AHF/Montgomery), 6.875%, 4/01/2036      4,315,000        4,420,976   
Montgomery County, PA, Industrial Development Authority Pollution Control Rev. (Peco Energy Company Project), “A”, 2.55%, 6/01/2029 (Put Date 6/01/2020)      1,025,000        1,034,994   
Montgomery County, PA, Industrial Development Authority Rev. (Albert Einstein Healthcare Network Issue), “A”, 5.25%, 1/15/2036      8,510,000        9,461,163   

 

22

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Pennsylvania - continued                 
Montgomery County, PA, Industrial Development Authority Rev. (Whitemarsh Continuing Care Retirement Community Project), 5.375%, 1/01/2050    $ 8,275,000      $ 8,544,765   
Moon Industrial Development Authority Rev. (Baptist Homes Society), 6.125%, 7/01/2050      3,915,000        4,410,522   
Northampton County, PA, General Purpose Authority Hospital Rev. (St. Luke’s Hospital), “A”, 5.5%, 8/15/2040      1,075,000        1,161,645   
Northeastern PA, Hospital & Education Authority Rev. (Wilkes University Project), “A”, 5%, 3/01/2037      1,355,000        1,528,237   
Pennsylvania Economic Development Financing Authority Rev. (The Pennsylvania Rapid Bridge Replacement Project), 5%, 6/30/2026      590,000        702,277   
Pennsylvania Economic Development Financing Authority Rev. (The Pennsylvania Rapid Bridge Replacement Project), 5%, 12/31/2030      2,010,000        2,317,731   
Pennsylvania Economic Development Financing Authority Rev. (The Pennsylvania Rapid Bridge Replacement Project), 5%, 12/31/2034      15,950,000        17,924,929   
Pennsylvania Economic Development Financing Authority Rev. (The Pennsylvania Rapid Bridge Replacement Project), 5%, 12/31/2038      6,900,000        7,700,331   
Pennsylvania Economic Development Financing Authority, Sewer Sludge Disposal Rev. (Philadelphia Biosolids Facility), 6.25%, 1/01/2032      3,415,000        3,719,140   
Pennsylvania Higher Educational Facilities Authority Rev. (East Stroudsburg University), 5%, 7/01/2042      2,525,000        2,653,270   
Pennsylvania Higher Educational Facilities Authority Rev. (Edinboro University Foundation), 5.8%, 7/01/2030      740,000        860,576   
Pennsylvania Higher Educational Facilities Authority Rev. (Saint Francis University Project), “JJ2”, 6.25%, 11/01/2041      1,545,000        1,748,940   
Pennsylvania Higher Educational Facilities Authority Rev. (Shippensburg University Student Services), 6.25%, 10/01/2043      5,500,000        6,241,345   
Philadelphia, PA, Authority for Industrial Development Rev. (Discovery Charter School Project), 6.25%, 4/01/2037      1,065,000        1,082,498   
Philadelphia, PA, Authority for Industrial Development Rev. (Discovery Charter School Project), 6.25%, 4/01/2042      1,950,000        1,979,328   
Philadelphia, PA, Authority for Industrial Development Rev. (KIPP Charter School Project), “B”, 4%, 4/01/2026      1,035,000        1,055,338   
Philadelphia, PA, Authority for Industrial Development Rev. (KIPP Charter School Project), “B”, 5%, 4/01/2046      2,000,000        2,060,700   
Philadelphia, PA, Authority for Industrial Development Rev. (MaST Charter School), 6%, 8/01/2035      470,000        515,430   
Philadelphia, PA, Authority for Industrial Development Rev. (Philadelphia Performing Arts Charter School Project), 6.5%, 6/15/2033      2,780,000        2,935,235   
Philadelphia, PA, Authority for Industrial Development Rev. (Philadelphia Performing Arts Charter School Project), 6.75%, 6/15/2043      5,820,000        6,167,047   
Philadelphia, PA, Authority for Industrial Development Rev. (Tacony Academy Charter School Project), 6.875%, 6/15/2033      1,145,000        1,293,392   
Philadelphia, PA, Authority for Industrial Development Rev. (Tacony Academy Charter School Project), 7.375%, 6/15/2043      1,975,000        2,282,843   
Philadelphia, PA, Authority for Industrial Development Rev. (Tacony Academy Charter School Project), “A-1”, 6.75%, 6/15/2033      850,000        969,638   
Philadelphia, PA, Authority for Industrial Development Rev. (Tacony Academy Charter School Project), “A-1”, 7%, 6/15/2043      1,670,000        1,925,276   
Philadelphia, PA, Gas Works Rev., 5%, 10/01/2033      2,910,000        3,416,864   
Philadelphia, PA, Gas Works Rev., 5%, 10/01/2034      625,000        730,938   
Philadelphia, PA, Municipal Authority Rev., 6.5%, 4/01/2034      1,060,000        1,172,763   
Philadelphia, PA, School District, “F”, 5%, 9/01/2037      980,000        1,085,497   
Philadelphia, PA, School District, “F”, 5%, 9/01/2038      245,000        270,527   
Scranton-Lackawanna, PA, Health and Welfare Authority, University Rev. (Marywood University Project), 5%, 6/01/2046      3,340,000        3,522,498   
Southcentral, PA, General Authority Rev. (WellSpan Health Obligated Group), “A”, 5%, 6/01/2044      3,000,000        3,397,650   
Washington County, PA, Redevelopment Authority (Victory Centre Project), “A”, 5.45%, 7/01/2035      705,000        707,919   
West Shore, PA, Area Authority Rev. (Messiah Village Project) “A”, 5%, 7/01/2030      395,000        445,240   
West Shore, PA, Area Authority Rev. (Messiah Village Project) “A”, 5%, 7/01/2035      690,000        760,801   
Wilkes-Barre, PA, Finance Authority Rev. (Wilkes University), 5%, 3/01/2037 (Prerefunded 3/01/2017)      1,795,000        1,820,686   
Wilkes-Barre, PA, Finance Authority Rev. (Wilkes University), 5%, 3/01/2037      1,205,000        1,217,954   
    

 

 

  
      $ 227,036,651   
Puerto Rico - 5.8%                 
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., “A”, ASSD GTY, 5%, 7/01/2028    $ 810,000      $ 832,631   
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., “A”, ASSD GTY, 5.125%, 7/01/2047      3,355,000        3,443,002   
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “BB”, AMBAC, 5.25%, 7/01/2017      135,000        137,650   
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “BB”, AMBAC, 5.25%, 7/01/2018      1,305,000        1,363,177   
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “CC”, AGM, 5.5%, 7/01/2029      80,000        93,921   
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “CC”, AGM, 5.25%, 7/01/2032      1,080,000        1,256,580   
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “CC”, AGM, 5.25%, 7/01/2033      2,800,000        3,271,212   
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “CC”, AGM, 5.25%, 7/01/2036      2,960,000        3,491,586   

 

23

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Puerto Rico - continued                 
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “D”, AGM, 5%, 7/01/2032    $ 8,365,000      $ 8,454,589   
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “J”, NATL, 5%, 7/01/2029      630,000        630,498   
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “L”, NATL, 5.25%, 7/01/2035      3,675,000        3,997,959   
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “L”, AMBAC, 5.25%, 7/01/2038      20,105,000        21,409,412   
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “M”, ASSD GTY, 5%, 7/01/2032      1,130,000        1,141,989   
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “N”, AMBAC, 5.25%, 7/01/2030      4,645,000        4,902,101   
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “N”, AMBAC, 5.25%, 7/01/2031      3,090,000        3,263,071   
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “N”, NATL, 5.25%, 7/01/2033      3,100,000        3,391,028   
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “N”, ASSD GTY, 5.25%, 7/01/2034      6,205,000        7,275,673   
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “N”, ASSD GTY, 5.25%, 7/01/2036      7,560,000        8,917,700   
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., Capital Appreciation, “A”, AMBAC, 0%, 7/01/2017      410,000        403,768   
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., Capital Appreciation, “A”, AMBAC, 0%, 7/01/2018      165,000        155,423   
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., Capital Appreciation, “N”, AMBAC, 0%, 1/07/2019      875,000        795,165   
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., Capital Appreciation, “N”, AMBAC, 0%, 1/07/2020      1,545,000        1,333,289   
Commonwealth of Puerto Rico Infrastructure Financing Authority Rev., “C”, AMBAC, 5.5%, 7/01/2017      2,670,000        2,726,791   
Commonwealth of Puerto Rico Infrastructure Financing Authority Rev., “C”, AMBAC, 5.5%, 7/01/2025      945,000        1,005,442   
Commonwealth of Puerto Rico, “A”, NATL, 5.5%, 7/01/2020      2,320,000        2,535,482   
Commonwealth of Puerto Rico, “A”, NATL, 5.5%, 7/01/2021      875,000        968,958   
Commonwealth of Puerto Rico, “A”, AGM, 5.375%, 7/01/2025      750,000        818,558   
Commonwealth of Puerto Rico, Public Improvement, “A”, AGM, 5.125%, 7/01/2030      7,405,000        7,416,700   
Commonwealth of Puerto Rico, Public Improvement, “A”, AGM, 5%, 7/01/2035      6,790,000        7,294,293   
Commonwealth of Puerto Rico, Public Improvement, “A-4”, AGM, 5.25%, 7/01/2030      1,345,000        1,437,496   
Commonwealth of Puerto Rico, Public Improvement, “C”, AGM, 5.25%, 7/01/2027      465,000        465,902   
Commonwealth of Puerto Rico, Public Improvement, “C-7”, NATL, 6%, 7/01/2027      3,540,000        3,681,281   
Puerto Rico Convention Center District Authority, Hotel Occupancy Tax Rev., “A”, AMBAC, 5%, 7/01/2020      840,000        842,310   
Puerto Rico Convention Center District Authority, Hotel Occupancy Tax Rev., “A”, AMBAC, 5%, 7/01/2031      9,770,000        9,792,862   
Puerto Rico Electric Power Authority Rev., “DDD”, AGM, 3.625%, 7/01/2023      555,000        552,214   
Puerto Rico Electric Power Authority Rev., “DDD”, AGM, 3.65%, 7/01/2024      2,345,000        2,333,275   
Puerto Rico Electric Power Authority Rev., “LL”, NATL, 5.5%, 7/01/2017      145,000        148,518   
Puerto Rico Electric Power Authority Rev., “MM”, NATL, 5%, 7/01/2020      65,000        69,960   
Puerto Rico Electric Power Authority Rev., “NN”, NATL, 5.25%, 7/01/2022      2,165,000        2,393,841   
Puerto Rico Electric Power Authority Rev., “NN”, NATL, 4.75%, 7/01/2033      380,000        380,232   
Puerto Rico Electric Power Authority Rev., “PP”, NATL, 5%, 7/01/2024      240,000        240,346   
Puerto Rico Electric Power Authority Rev., “RR”, ASSD GTY, 5%, 7/01/2028      185,000        185,294   
Puerto Rico Electric Power Authority Rev., “SS”, NATL, 5%, 7/01/2019      3,825,000        3,873,463   
Puerto Rico Electric Power Authority Rev., “SS”, ASSD GTY, 4.375%, 7/01/2030      280,000        280,232   
Puerto Rico Electric Power Authority Rev., “TT”, NATL, 5%, 7/01/2026      65,000        65,629   
Puerto Rico Electric Power Authority Rev., “UU”, NATL, 4.5%, 7/01/2018      155,000        160,682   
Puerto Rico Electric Power Authority Rev., “UU”, NATL, 5%, 7/01/2019      885,000        937,472   
Puerto Rico Electric Power Authority Rev., “UU”, AGM, 5%, 7/01/2022      490,000        497,428   
Puerto Rico Electric Power Authority Rev., “UU”, ASSD GTY, 4.25%, 7/01/2027      1,705,000        1,715,810   
Puerto Rico Electric Power Authority Rev., “V”, AGM, 5.25%, 7/01/2027      160,000        181,006   
Puerto Rico Electric Power Authority Rev., “VV”, NATL, 5.25%, 7/01/2025      475,000        509,286   
Puerto Rico Electric Power Authority Rev., “VV”, 5.25%, 7/01/2029      2,645,000        2,876,411   
Puerto Rico Electric Power Authority Rev., “VV”, NATL, 5.25%, 7/01/2030      4,615,000        5,032,288   
Puerto Rico Electric Power Authority Rev., “VV”, NATL, 5.25%, 7/01/2032      485,000        531,051   
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority (Cogeneration Facilities - AES Puerto Rico Project), 6.625%, 6/01/2026      4,530,000        4,300,873   
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Educational Facilities Rev. (University Plaza Project), NATL, 5%, 7/01/2033      4,780,000        4,809,110   
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5%, 4/01/2017      505,000        505,162   
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5%, 4/01/2018      320,000        319,942   

 

24

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Puerto Rico - continued                 
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 4%, 4/01/2020    $ 165,000      $ 158,819   
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University Project), 5%, 3/01/2021      100,000        99,035   
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5%, 4/01/2021      570,000        563,320   
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University Project), 5.375%, 12/01/2021      665,000        665,007   
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5%, 4/01/2022      645,000        632,990   
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5%, 4/01/2027      1,340,000        1,251,024   
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5.5%, 12/01/2031      980,000        928,040   
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5.125%, 4/01/2032      1,330,000        1,201,522   
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5%, 3/01/2036      1,015,000        883,964   
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5.375%, 4/01/2042      1,625,000        1,454,489   
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (University of Sacred Heart), 4.375%, 10/01/2031      525,000        371,348   
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (University of Sacred Heart), 5%, 10/01/2042      260,000        181,901   
Puerto Rico Infrastructure Financing Authority Special Tax Rev., “C”, AMBAC, 5.5%, 7/01/2018      715,000        749,778   
Puerto Rico Infrastructure Financing Authority Special Tax Rev., “C”, AMBAC, 5.5%, 7/01/2023      3,900,000        4,125,225   
Puerto Rico Infrastructure Financing Authority Special Tax Rev., “C”, AMBAC, 5.5%, 7/01/2024      8,405,000        8,918,630   
Puerto Rico Infrastructure Financing Authority Special Tax Rev., “C”, AMBAC, 5.5%, 7/01/2026      5,775,000        6,164,466   
Puerto Rico Infrastructure Financing Authority Special Tax Rev., “C”, AMBAC, 5.5%, 7/01/2027      17,780,000        19,044,514   
Puerto Rico Infrastructure Financing Authority Special Tax Rev., “C”, AMBAC, 5.5%, 7/01/2028      1,075,000        1,154,883   
Puerto Rico Municipal Finance Agency, “A”, AGM, 5%, 8/01/2027      325,000        338,065   
Puerto Rico Public Buildings Authority Government Facilities Rev., “M-3”, NATL, 6%, 7/01/2027      1,470,000        1,528,668   
Puerto Rico Public Buildings Authority Government Facilities Rev., “M-3”, NATL, 6%, 7/01/2028      490,000        508,346   
Puerto Rico Public Buildings Authority Government Facilities Rev., “N”, ASSD GTY, 5%, 7/01/2032      690,000        696,783   
Puerto Rico Public Buildings Authority Rev., “M-2”, AMBAC, 5.5%, 7/01/2035 (Put Date 7/01/2017)      6,225,000        6,333,377   
Puerto Rico Public Buildings Authority Rev., Guaranteed (Government Facilities), “I”, ASSD GTY, 5%, 7/01/2036      735,000        735,809   
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., “C”, 5%, 8/01/2040      5,570,000        4,010,289   
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., Capital Appreciation, “A”, NATL, 0%, 8/01/2042      7,955,000        1,894,801   
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., Capital Appreciation, “A”, NATL, 0%, 8/01/2045      2,145,000        432,260   
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., Capital Appreciation, “A”, NATL, 0%, 8/01/2046      43,880,000        8,339,394   
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., Capital Appreciation, “A”, AMBAC, 0%, 8/01/2047      14,305,000        2,400,236   
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., Capital Appreciation, “A”, AMBAC, 0%, 8/01/2054      12,535,000        1,370,452   
University of Puerto Rico Rev., “P”, NATL, 5%, 6/01/2025      595,000        595,643   
    

 

 

  
      $ 229,580,102   
Rhode Island - 0.1%                 
Rhode Island Health & Educational Building Corp., Hospital Financing (Lifespan Obligated Group), 5%, 5/15/2039    $ 1,235,000      $ 1,396,958   
Rhode Island Student Loan Authority, Student Loan Rev., “A”, 3.625%, 12/01/2034      3,620,000        3,447,254   
    

 

 

  
      $ 4,844,212   
South Carolina - 1.2%                 
Lancaster County, SC, Assessment Rev. (Sun City Carolina Lakes), 5.45%, 12/01/2037    $ 1,300,000      $ 1,301,469   
North Charleston, SC, Housing Authority Rev. (Horizon Village), “A”, GNMA, 5.15%, 2/20/2048      1,380,000        1,381,394   
Richland County, SC, Environmental Improvement Rev. (International Paper), “A”, 3.875%, 4/01/2023      4,130,000        4,443,095   
South Carolina Housing, Finance & Development Authority Mortgage Rev., “A-1”, 4%, 7/01/2041      8,855,000        9,428,450   
South Carolina Jobs & Economic Development Authority Hospital Rev. (Palmetto Health), 5.75%, 8/01/2039      940,000        1,010,791   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), “A”, 6%, 11/15/2032      1,499,418        1,548,644   

 

25

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
South Carolina - continued                 
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), “A”, 6%, 11/15/2047    $ 1,724,709      $ 1,752,046   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), Capital Appreciation, “B”, 0%, 11/15/2047      489,752        54,216   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), Capital Appreciation, “B”, 0%, 11/15/2047      514,212        56,923   
South Carolina Jobs & Economic Development Authority, Health Facilities Rev. (Lutheran Homes of South Carolina, Inc.), 5.125%, 5/01/2048      805,000        828,104   
South Carolina Jobs & Economic Development Authority, Health Facilities Rev. (Wesley Commons), 5%, 10/01/2036      5,735,000        6,013,606   
South Carolina Public Service Authority Rev., “A”, 5%, 12/01/2046      1,800,000        2,059,434   
South Carolina Public Service Authority Rev., “A”, 5%, 12/01/2049      10,000,000        11,333,400   
South Carolina Public Service Authority Rev., “B”, 5%, 12/01/2056      4,130,000        4,705,144   
    

 

 

  
      $ 45,916,716   
South Dakota - 0.0%                 
South Dakota Health & Educational Facilities Authority Rev. (Sanford Obligated Group), “B”, 5%, 11/01/2034    $ 1,520,000      $ 1,737,117   
Tennessee - 1.8%                 
Blount County, TN, Health & Educational Facilities Board Rev. (Asbury, Inc.), “A”, 5%, 1/01/2037    $ 750,000      $ 806,265   
Blount County, TN, Health & Educational Facilities Board Rev. (Asbury, Inc.), “A”, 5%, 1/01/2047      1,575,000        1,672,934   
Chattanooga, TN, Health Educational & Housing Facility Board Rev. (Catholic Health Initiatives), “A”, 5.25%, 1/01/2045      2,270,000        2,529,802   
Claiborne County, TN, Industrial Development Board Rev. (Lincoln Memorial University Project), 6.125%, 10/01/2040      5,000,000        5,387,100   
Hardeman County, TN, Correctional Facilities Rev., 7.75%, 8/01/2017      790,000        789,945   
Johnson City, TN, Health & Educational Facilities Board Rev. (Appalachian Christian Village Project), “A”, 5%, 2/15/2043      3,000,000        3,168,600   
Johnson City, TN, Health & Educational Facilities Board, Hospital Rev. (Mountain States Health Alliance), 6%, 7/01/2038      1,700,000        1,905,258   
Metropolitan Government of Nashville, TN, Airport Authority Improvement Rev., “B”, 5%, 7/01/2040      3,000,000        3,427,740   
Nashville & Davidson County, TN, Metropolitan Government Health & Educational Facilities Board (Vanderbilt University), “A”, 5%, 10/01/2039 (u)      10,000,000        11,002,200   
Nashville & Davidson County, TN, Metropolitan Government Health & Educational Facilities Board (Vanderbilt University), “B”, 5%, 10/01/2039 (u)      10,000,000        11,129,500   
Shelby County, TN, Health, Educational & Housing Facility Board Residential Care Facility Mortgage Rev. (Village at Germantown), 5%, 12/01/2034      500,000        531,740   
Shelby County, TN, Health, Educational & Housing Facility Board Residential Care Facility Mortgage Rev. (Village at Germantown), 5.25%, 12/01/2044      1,000,000        1,055,860   
Shelby County, TN, Health, Educational & Housing Facility Board Residential Care Facility Mortgage Rev. (Village at Germantown), 5.25%, 12/01/2049      2,265,000        2,388,420   
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 9/01/2019      12,055,000        13,290,035   
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 9/01/2022      2,105,000        2,474,785   
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 9/01/2024      3,625,000        4,344,309   
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 9/01/2026      250,000        306,420   
Tennessee Housing Development Agency Rev., Housing Finance Program, “A”, 3.5%, 7/01/2045      5,185,000        5,468,049   
Tennessee Housing Development Agency, Residential Financing Program Rev., “2-C”, 4%, 1/01/2045      1,760,000        1,871,742   
    

 

 

  
      $ 73,550,704   
Texas - 8.6%                 
Arlington, TX, Higher Education Finance Corp. Education Rev. (Newman International Academy), “A”, 5.375%, 8/15/2036    $ 820,000      $ 822,403   
Arlington, TX, Higher Education Finance Corp. Education Rev. (Newman International Academy), “A”, 5.5%, 8/15/2046      3,680,000        3,669,622   
Arlington, TX, Higher Education Finance Corp. Education Rev. (Wayside Schools), “A”, 4.375%, 8/15/2036      555,000        557,947   
Arlington, TX, Higher Education Finance Corp. Education Rev. (Wayside Schools), “A”, 4.625%, 8/15/2046      1,040,000        1,047,259   
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, SYNCORA, 5.25%, 1/01/2017      845,000        850,078   
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, SYNCORA, 5.25%, 1/01/2020      830,000        833,752   
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, SYNCORA, 5.25%, 1/01/2024      4,640,000        4,662,875   
Bell County, TX, Health Facility Development Corp. (Advanced Living Technologies, Inc.), 8%, 12/15/2036 (a)(d)      4,650,000        47   
Bexar County, TX, Health Facilities Development Corp. (Army Retirement Residence Foundation), 4%, 7/15/2036      1,070,000        1,077,661   
Bexar County, TX, Health Facilities Development Corp. (Army Retirement Residence Foundation), 5%, 7/15/2041      1,280,000        1,414,579   
Brazos River, TX, Brazoria County Environmental Rev. (Dow Chemical, Co.), “A-3”, 5.125%, 5/15/2033      4,685,000        4,851,599   
Brazos River, TX, Harbor Navigation District (Dow Chemical Co.), “A”, 5.95%, 5/15/2033      8,455,000        9,127,426   
Brazos River, TX, Harbor Navigation District (Dow Chemical Co.), “B-2”, 4.95%, 5/15/2033      1,625,000        1,681,599   

 

26

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Texas - continued                 
Cass County, TX, Industrial Development Corp. (International Paper Co.), “A”, 4.625%, 3/01/2027    $ 3,750,000      $ 3,762,675   
Central Texas Regional Mobility Authority Senior Lien Rev., “A”, 5%, 1/01/2045      1,315,000        1,478,034   
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 6%, 8/15/2033      845,000        1,011,085   
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 5.75%, 8/15/2041      695,000        777,003   
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 5%, 8/15/2042      3,385,000        3,744,047   
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 6%, 8/15/2043      1,850,000        2,213,618   
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 3.375%, 12/01/2024      470,000        480,185   
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 6.125%, 12/01/2040      4,940,000        5,583,731   
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 6.25%, 12/01/2045      1,670,000        1,892,177   
Dallas and Fort Worth, TX, International Airport Rev., “A”, 5%, 11/01/2038      4,430,000        4,873,000   
Dallas and Fort Worth, TX, International Airport Rev., “B”, 5%, 11/01/2044      4,370,000        5,027,729   
Dallas and Fort Worth, TX, International Airport Rev., “C”, 5%, 11/01/2045      9,175,000        10,420,782   
Deaf Smith County, TX, Hospital District, “A”, 6.5%, 3/01/2040      3,800,000        4,194,554   
Decatur Hospital Authority Rev. (Wise Regional Health System), “A”, 5.25%, 9/01/2044      1,860,000        1,985,531   
Gregg County, TX, Health Facilities Development Corp. Hospital Rev., (Good Shepherd Obligated Group), “A”, FRN, 4.269%, 10/01/2029 (Put Date 3/01/2017)      5,125,000        5,133,098   
Gulf Coast, TX, Industrial Development Authority Rev. (CITGO Petroleum Corp.), 4.875%, 5/01/2025      2,345,000        2,467,479   
Gulf Coast, TX, Industrial Development Authority Rev. (Microgy Holdings Project), 7%, 12/01/2036 (a)(d)      746,831        3,734   
Harris County, TX, 5.625%, 5/01/2020      724,159        728,359   
Harris County, TX, Cultural Education Facilities Finance Corp. Rev. (Brazos Presbyterian Homes Inc. Project), 7%, 1/01/2043      2,265,000        2,972,971   
Harris County, TX, Cultural Education Facilities Finance Corp., Medical Facilities Rev. (Baylor College of Medicine), “D”, 5.625%, 11/15/2032      4,535,000        4,963,558   
Harris County, TX, Health Facilities Development Corp., Hospital Rev. (Memorial Hermann Healthcare Systems), “B”, 7.25%, 12/01/2035 (Prerefunded 12/01/2018)      2,400,000        2,713,464   
Harris County-Houston, TX, Sports Authority Rev., “C”, 5%, 11/15/2031      1,425,000        1,640,403   
Harris County-Houston, TX, Sports Authority Rev., “C”, 5%, 11/15/2032      185,000        211,964   
Harris County-Houston, TX, Sports Authority Rev., “C”, 5%, 11/15/2033      450,000        513,860   
Harris County-Houston, TX, Sports Authority Rev., Capital Appreciation, “A”, 0%, 11/15/2034      4,580,000        2,239,208   
Harris County-Houston, TX, Sports Authority Rev., Capital Appreciation, “A”, 0%, 11/15/2038      40,280,000        15,518,273   
Harris County-Houston, TX, Sports Authority Rev., Capital Appreciation, “A”, AGM, 0%, 11/15/2041      745,000        264,170   
Harris County-Houston, TX, Sports Authority Rev., Capital Appreciation, “A”, AGM, 0%, 11/15/2046      1,865,000        512,166   
Houston, TX, Airport System Rev., “B”, 5%, 7/01/2026      1,335,000        1,541,885   
Houston, TX, Airport System Rev., Special Facilities Rev. (Continental Airlines, Inc.), 6.625%, 7/15/2038      7,680,000        8,832,845   
Houston, TX, Airport System Rev., Special Facilities Rev. (United Airlines, Inc. Terminal E Project), 4.5%, 7/01/2020      3,075,000        3,311,252   
Houston, TX, Airport System Rev., Special Facilities Rev. (United Airlines, Inc. Terminal E Project), 4.75%, 7/01/2024      9,305,000        10,500,879   
Houston, TX, Airport System Rev., Special Facilities Rev. (United Airlines, Inc. Terminal E Project), 5%, 7/01/2029      9,905,000        11,068,937   
Houston, TX, Airport System Rev., Special Facilities Rev. (United Airlines, Inc. Terminal Improvement Projects), “B-1”, 5%, 7/15/2030      6,515,000        7,347,356   
Houston, TX, Airport System Rev., Special Facilities Rev. (United Airlines, Inc. Terminal Improvement Projects), “B-2”, 5%, 7/15/2020      7,970,000        8,743,329   
Houston, TX, Industrial Development Corp. (United Parcel Service, Inc.), 6%, 3/01/2023      185,000        185,198   
La Vernia, TX, Higher Education Finance Corp. Rev. (KIPP, Inc.), “A”, 6.25%, 8/15/2039 (Prerefunded 8/15/2019)      1,670,000        1,905,804   
La Vernia, TX, Higher Education Finance Corp. Rev. (Lifeschool of Dallas), “A”, 7.5%, 8/15/2041 (Prerefunded 8/15/2019)      4,385,000        5,147,639   
Lufkin, TX, Health Facilities Development Corp. Rev. (Memorial Health System), 5.5%, 2/15/2037 (Prerefunded 2/15/2017)      6,400,000        6,488,064   
Lufkin, TX, Health Facilities Development Corp. Rev. (Memorial Health System), 6.25%, 2/15/2037 (Prerefunded 2/15/2019)      4,340,000        4,854,507   
Matagorda County, TX, Pollution Control Rev. (Central Power & Light Co.), “A”, 6.3%, 11/01/2029      2,680,000        2,996,267   
Mesquite, TX, Health Facilities Development Corp., Retirement Facility Rev. (Christian Care Centers, Inc.), 5%, 2/15/2024      300,000        339,561   
Mesquite, TX, Health Facilities Development Corp., Retirement Facility Rev. (Christian Care Centers, Inc.), 5%, 2/15/2030      905,000        1,008,776   
Mesquite, TX, Health Facilities Development Corp., Retirement Facility Rev. (Christian Care Centers, Inc.), 5.125%, 2/15/2030      750,000        829,298   
Mesquite, TX, Health Facilities Development Corp., Retirement Facility Rev. (Christian Care Centers, Inc.), 5%, 2/15/2035      1,135,000        1,245,356   
Mesquite, TX, Health Facilities Development Corp., Retirement Facility Rev. (Christian Care Centers, Inc.), 5%, 2/15/2036      500,000        537,200   
Mesquite, TX, Health Facilities Development Corp., Retirement Facility Rev. (Christian Care Centers, Inc.), 5.125%, 2/15/2042      1,750,000        1,889,388   
New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Wesleyan Homes, Inc. Project), 5.5%, 1/01/2035      1,325,000        1,424,945   

 

27

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Texas - continued                 
New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Wesleyan Homes, Inc. Project), 5.5%, 1/01/2043    $ 1,420,000      $ 1,516,063   
New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Carillon Lifecare Community Project), 5%, 7/01/2036      1,035,000        1,079,515   
New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Carillon Lifecare Community Project), 5%, 7/01/2046      1,655,000        1,695,316   
New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (MRC Senior Living - The Langford Project), “A”, 5%, 11/15/2026      295,000        303,676   
New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (MRC Senior Living - The Langford Project), “A”, 5.375%, 11/15/2036      420,000        421,445   
New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (MRC Senior Living - The Langford Project), “A”, 5.5%, 11/15/2046      835,000        837,538   
New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (MRC Senior Living - The Langford Project), “A”, 5.5%, 11/15/2052      960,000        951,053   
New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (MRC Senior Living- The Langford Project), “B-1”, 3.25%, 11/15/2022      1,140,000        1,138,130   
New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (MRC Senior Living- The Langford Project), “B-2”, 3%, 11/15/2021      650,000        649,090   
New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Wesleyan Homes, Inc. Project), 5.5%, 1/01/2049      1,470,000        1,561,522   
New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Westminster Project), 5%, 11/01/2031      550,000        619,586   
New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Westminster Project), 4%, 11/01/2036      810,000        821,348   
New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Westminster Project), 5%, 11/01/2040      605,000        668,501   
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “A-1”, 5%, 7/01/2031      230,000        267,085   
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “A-1”, 4%, 7/01/2036      1,170,000        1,215,630   
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “A-1”, 5%, 7/01/2046      2,330,000        2,606,315   
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “A-1”, 5%, 7/01/2051      2,330,000        2,599,767   
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “B”, 4%, 7/01/2031      525,000        537,679   
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “B”, 4.25%, 7/01/2036      790,000        811,417   
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “B”, 5%, 7/01/2046      2,105,000        2,327,393   
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “B”, 4.75%, 7/01/2051      1,845,000        1,942,453   
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (MRC Crestview Project), 5%, 11/15/2031      610,000        683,767   
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (MRC Crestview Project), 5%, 11/15/2036      400,000        443,304   
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (MRC Crestview Project), 5%, 11/15/2046      1,120,000        1,230,522   
New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (CHF - Collegiate Housing Stephenville III, L.L.C. - Tarleton State University Project), 5%, 4/01/2030      310,000        343,161   
New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (CHF - Collegiate Housing Stephenville III, L.L.C. - Tarleton State University Project), 5%, 4/01/2035      310,000        337,271   
New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (CHF - Collegiate Housing Stephenville III, L.L.C. - Tarleton State University Project), 5%, 4/01/2047      770,000        828,535   
New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (Collegiate Housing Corpus Christi II LLC - Texas A&M University - Corpus Christi Project), 5%, 4/01/2031      330,000        367,448   
New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (Collegiate Housing Corpus Christi II LLC - Texas A&M University - Corpus Christi Project), 5%, 4/01/2036      360,000        394,218   
New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (Collegiate Housing Corpus Christi II LLC - Texas A&M University - Corpus Christi Project), 5%, 4/01/2048      590,000        638,787   

 

28

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Texas - continued                 
New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (Texas A&M University Project), “A”, AGM, 5%, 4/01/2046    $ 1,295,000      $ 1,430,677   
New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (Texas A&M University Project), “A”, 5%, 4/01/2044      5,000,000        5,371,100   
Newark, TX, Higher Education Finance Corp. Authority Rev. (A+ Charter Schools, Inc.), “A”, 5.5%, 8/15/2035      1,530,000        1,599,248   
Newark, TX, Higher Education Finance Corp. Authority Rev. (A+ Charter Schools, Inc.), “A”, 5.75%, 8/15/2045      1,025,000        1,082,031   
North Texas Education Finance Corp., Education Rev. (Uplift Education), “A”, 5.125%, 12/01/2042      2,355,000        2,568,693   
North Texas Tollway Authority Rev., 6%, 1/01/2043      1,280,000        1,500,454   
Red River, TX, Education Finance Corp., Higher Education Rev. (St. Edwards University Project), 4%, 6/01/2041      725,000        765,165   
Red River, TX, Education Finance Corp., Higher Education Rev. (St. Edwards University Project), 5%, 6/01/2046      850,000        967,870   
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (MRC The Crossings Project), “A”, 7.5%, 11/15/2034      1,075,000        1,258,535   
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (MRC The Crossings Project), “A”, 7.75%, 11/15/2044      1,970,000        2,317,252   
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (MRC The Crossings Project), “A”, 8%, 11/15/2049      1,680,000        1,999,922   
SA Energy Acquisition Public Facility Corp. (Tex Gas Supply), 5.5%, 8/01/2027      4,000,000        5,017,560   
San Juan, TX, Higher Education Finance Authority Education Rev. (Idea Public Schools), “A”, 6.7%, 8/15/2040      2,955,000        3,542,099   
San Leanna, TX, Educational Facilities Corp., Higher Education Rev. (St. Edwards University), 5.125%, 6/01/2036      1,055,000        1,081,491   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Northwest Senior Housing Corporation Edgemere Project), “B”, 5%, 11/15/2036      3,840,000        4,257,869   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Air Force Village Foundation, Inc.), 5.75%, 11/15/2019      475,000        506,664   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Air Force Village Obligated Group Project), 5.125%, 5/15/2027      895,000        915,773   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Air Force Village Obligated Group Project), 6.125%, 11/15/2029      520,000        595,774   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Air Force Village Obligated Group Project), 5.125%, 5/15/2037      835,000        854,380   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Air Force Village Obligated Group Project), 6.375%, 11/15/2044      8,515,000        9,819,157   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Barton Creek Senior Living Center, Inc., Querencia Project), 5%, 11/15/2035      2,470,000        2,740,786   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Barton Creek Senior Living Center, Inc., Querencia Project), 5%, 11/15/2040      3,310,000        3,662,118   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Buckingham Senior Living Community, Inc. Project), 3.875%, 11/15/2020      2,785,000        2,803,492   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Buckingham Senior Living Community, Inc. Project), 5.625%, 11/15/2041      2,750,000        2,971,128   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Buckingham Senior Living Community, Inc. Project), “A”, 5.25%, 11/15/2035      845,000        921,768   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Buckingham Senior Living Community, Inc. Project), “A”, 5.5%, 11/15/2045      3,750,000        4,125,300   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Buckner Retirement Services, Inc. Project), “B”, 5%, 11/15/2040      5,250,000        6,026,685   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Buckner Retirement Services, Inc. Project), “B”, 5%, 11/15/2046      9,180,000        10,478,970   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Northwest Senior Housing Corporation Edgemere Project), “A”, 5%, 11/15/2030      2,000,000        2,237,300   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Northwest Senior Housing Corporation Edgemere Project), “A”, 5%, 11/15/2035      2,350,000        2,590,452   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Northwest Senior Housing Corporation Edgemere Project), “B”, 5%, 11/15/2030      2,055,000        2,298,826   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Stayton at Museum Way), 8%, 11/15/2028      1,000,000        1,075,130   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Stayton at Museum Way), 8.25%, 11/15/2044      7,500,000        8,050,200   

 

29

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Texas - continued                 
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Trinity Terrace Project), “A-1”, 5%, 10/01/2044    $ 660,000      $ 734,191   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Trinity Terrace Project), “A-1”, 5%, 10/01/2049      450,000        498,632   
Texas Private Activity Surface Transportation Corp. Senior Lien Rev. (Blueridge Transportation Group LLC SH 288 Toll Lanes Project), 5%, 12/31/2055      2,945,000        3,220,063   
Texas Private Activity Surface Transportation Corp. Senior Lien Rev. (NTE Mobility Partners Segments 3 LLC Segments 3A & 3B Facility), 7%, 12/31/2038      1,375,000        1,700,958   
Texas Private Activity Surface Transportation Corp. Senior Lien Rev. (NTE Mobility Partners Segments 3 LLC Segments 3A & 3B Facility), 6.75%, 6/30/2043      1,105,000        1,348,553   
Texas Transportation Commission, Central Texas Turnpike System Rev., Capital Appreciation, “B”, 0%, 8/15/2036      4,605,000        2,126,819   
Travis County, TX, Health Facilities Development Corp. Rev. (Westminster Manor Health), 7%, 11/01/2030 (Prerefunded 11/01/2020)      3,165,000        3,885,386   
Travis County, TX, Health Facilities Development Corp. Rev. (Westminster Manor Health), 7.125%, 11/01/2040      3,560,000        4,387,629   
Travis County, TX, Health Facilities Development Corp. Rev., Unrefunded Balance, (Westminster Manor Health), 7%, 11/01/2030      775,000        901,511   
    

 

 

  
      $ 344,197,337   
Utah - 0.6%                 
Utah Charter School Finance Authority, Charter School Rev. (Early Light Academy Project), 8.25%, 7/15/2035    $ 3,670,000      $ 4,029,587   
Utah Charter School Finance Authority, Charter School Rev. (Hawthorn Academy Project), 8.25%, 7/15/2035 (Prerefunded 7/15/2018)      3,955,000        4,448,465   
Utah Charter School Finance Authority, Charter School Rev. (Reagan Academy Project), 5%, 2/15/2046      1,285,000        1,333,316   
Utah Charter School Finance Authority, Charter School Rev. (Reagan Academy Project), 5%, 2/15/2036      715,000        750,157   
Utah Charter School Finance Authority, Charter School Rev. (Reagan Academy Project), “A”, 3.5%, 2/15/2026      595,000        585,694   
Utah Charter School Finance Authority, Charter School Rev. (Spectrum Academy), 5%, 4/15/2030      745,000        760,608   
Utah Charter School Finance Authority, Charter School Rev. (Spectrum Academy), 6%, 4/15/2045      1,765,000        1,859,781   
Utah County, UT, Charter School Rev. (Renaissance Academy), “A”, 5.625%, 7/15/2037      2,405,000        2,415,101   
Utah County, UT, Charter School Rev. (Ronald Wilson Reagan Academy), “A”, 6%, 2/15/2038      6,070,000        6,459,633   
    

 

 

  
      $ 22,642,342   
Vermont - 0.3%                 
Burlington, VT, Airport Rev., “A”, 5%, 7/01/2022    $ 3,785,000      $ 4,230,646   
Burlington, VT, Airport Rev., “A”, AGM, 5%, 7/01/2024      110,000        129,137   
Burlington, VT, Airport Rev., “A”, 4%, 7/01/2028      4,645,000        4,863,083   
Burlington, VT, Airport Rev., “A”, AGM, 5%, 7/01/2030      190,000        218,301   
Vermont Economic Development Authority, Solid Waste Disposal Rev. (Casella Waste Systems, Inc.), 4.75%, 4/01/2036 (Put Date 4/02/2018)      3,275,000        3,272,708   
    

 

 

  
      $ 12,713,875   
Virginia - 0.9%                 
Embrey Mill Community Development Authority, VA, Special Assessment Rev., 7.25%, 3/01/2043    $ 4,780,000      $ 5,177,457   
James City County, VA, Economic Development Authority, Residential Care Facilities Rev. (Virginia United Methodist Homes of Williamsburg), “A”, 2%, 10/01/2048      981,912        45,855   
Norfolk, VA, Redevelopment & Housing Authority Rev. (Fort Norfolk Retirement Community), 5%, 1/01/2046      995,000        1,029,318   
Norfolk, VA, Redevelopment & Housing Authority Rev. (Fort Norfolk Retirement Community), 5.375%, 1/01/2046      2,390,000        2,535,647   
Prince William County, VA, Cherry Hill Community Development Authority Rev. (Potomac Shores Project), 5.4%, 3/01/2045      1,780,000        1,901,414   
Prince William County, VA, Industrial Development Authority, Residential Care Facilities (Westminster at Lake Ridge), 5%, 1/01/2046      2,500,000        2,684,225   
Virginia College Building Authority, Educational Facilities Rev. (Marymount University), “B”, 5.25%, 7/01/2030      2,810,000        3,172,518   
Virginia College Building Authority, Educational Facilities Rev. (Marymount University), “B”, 5.25%, 7/01/2035      2,590,000        2,871,015   
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 6%, 1/01/2037      6,065,000        7,060,691   
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 5.5%, 1/01/2042      9,705,000        10,888,234   
West Point, VA, Industrial Development Authority, Solid Waste Disposal Rev. (Chesapeake Corp.), “A”, 6.375%, 3/01/2019 (a)(d)      769,496        77   
West Point, VA, Industrial Development Authority, Solid Waste Disposal Rev. (Chesapeake Corp.), “B”, 6.25%, 3/01/2019 (a)(d)      6,569,571        657   
    

 

 

  
      $ 37,367,108   

 

30

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Washington - 1.4%                 
Port Seattle, WA, Industrial Development Corp., Special Facilities Rev. (Delta Airlines, Inc.), 5%, 4/01/2030    $ 4,000,000      $ 4,288,560   
Skagit County, WA, Public Hospital District No. 001 Rev. (Skagit Valley Hospital), 5.5%, 12/01/2030      2,750,000        2,762,705   
Skagit County, WA, Public Hospital District No. 001 Rev. (Skagit Valley Hospital), 5.75%, 12/01/2032      2,205,000        2,323,761   
Washington Health Care Facilities Authority Rev. (Central Washington Health Services), 6.75%, 7/01/2029 (Prerefunded 7/01/2019)      1,550,000        1,785,259   
Washington Health Care Facilities Authority Rev. (Central Washington Health Services), 7%, 7/01/2039 (Prerefunded 7/01/2019)      3,665,000        4,245,316   
Washington Health Care Facilities Authority Rev. (Highline Medical Center), FHA, 6.25%, 8/01/2036 (Prerefunded 8/01/2018)      5,670,000        6,198,217   
Washington Health Care Facilities Authority Rev. (Virginia Mason Medical Center), “A”, 6.25%, 8/15/2042      5,075,000        5,259,933   
Washington Health Care Facilities Authority Rev. (Virginia Mason Medical Center), “B”, ACA, 5.75%, 8/15/2037      1,000,000        1,032,380   
Washington Higher Education Facilities Authority Rev. (Whitworth University), 5.875%, 10/01/2034      2,435,000        2,678,427   
Washington Housing Finance Commission Nonprofit Housing Rev. (Presbyterian Retirement Communities Northwest Projects), “A”, 5%, 1/01/2036      2,460,000        2,746,836   
Washington Housing Finance Commission Nonprofit Housing Rev. (Presbyterian Retirement Communities Northwest Projects), “A”, 5%, 1/01/2046      2,675,000        2,966,522   
Washington Housing Finance Commission Nonprofit Housing Rev. (Presbyterian Retirement Communities Northwest Projects), “A”, 5%, 1/01/2051      2,970,000        3,275,880   
Washington Housing Finance Commission Nonprofit Housing Rev. (Wesley Homes at Lea Hill Project), 5%, 7/01/2036      1,000,000        1,056,860   
Washington Housing Finance Commission Nonprofit Housing Rev. (Wesley Homes at Lea Hill Project), 5%, 7/01/2041      1,000,000        1,052,490   
Washington Housing Finance Commission Nonprofit Housing Rev. (Wesley Homes at Lea Hill Project), 5%, 7/01/2046      2,385,000        2,500,959   
Washington Housing Finance Commission Nonprofit Housing Rev. (Wesley Homes at Lea Hill Project), 5%, 7/01/2051      3,635,000        3,783,199   
Washington Housing Finance Community Nonprofit Housing Rev. (Heron’s Key Senior Living), “A”, 7%, 7/01/2045      1,570,000        1,676,368   
Washington Housing Finance Community Nonprofit Housing Rev. (Heron’s Key Senior Living), “A”, 7%, 7/01/2050      1,480,000        1,569,999   
Washington Housing Finance Community Nonprofit Housing Rev. (Heron’s Key Senior Living), “B-1”, 5.5%, 1/01/2024      1,095,000        1,101,242   
Washington Housing Finance Community Nonprofit Housing Rev. (Heron’s Key Senior Living), “B-2”, 4.875%, 1/01/2022      2,100,000        2,103,150   
Washington Housing Finance Community Nonprofit Housing Rev. (Heron’s Key Senior Living), “B-3”, 4.375%, 1/01/2021      3,020,000        3,042,499   
    

 

 

  
      $ 57,450,562   
West Virginia - 0.3%                 
Monongalia County, WV, Building Commission Improvement Rev. (Monongalia Health System Obligated Group), 5%, 7/01/2028    $ 1,285,000      $ 1,526,195   
Monongalia County, WV, Building Commission Improvement Rev. (Monongalia Health System Obligated Group), 5%, 7/01/2029      515,000        607,499   
Monongalia County, WV, Building Commission Improvement Rev. (Monongalia Health System Obligated Group), 5%, 7/01/2030      1,005,000        1,179,126   
Ohio County, WV, Commission Tax Increment Rev. (Fort Henry Centre), 4.75%, 6/01/2031      1,000,000        1,073,890   
Ohio County, WV, Commission Tax Increment Rev. (Fort Henry Centre), “A”, 5.85%, 6/01/2034      865,000        890,673   
West Virginia Hospital Finance Authority Hospital Rev. (Charleston Area Medical Center), “A”, 5%, 9/01/2027      2,100,000        2,466,954   
West Virginia Hospital Finance Authority Hospital Rev. (Charleston Area Medical Center), “A”, 5%, 9/01/2028      1,000,000        1,166,230   
West Virginia Hospital Finance Authority Hospital Rev. (Thomas Health System), 6.5%, 10/01/2038      3,450,000        3,615,911   
    

 

 

  
      $ 12,526,478   
Wisconsin - 2.3%                 
Wisconsin Health & Educational Facilities Authority Rev. (American Eagle Nursing Home), 7.15%, 6/01/2028    $ 3,015,000      $ 3,177,147   
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Healthcare, Inc.), “B-1”, 1.25%, 8/15/2025 (Put Date 8/15/2017)      2,115,000        2,119,674   
Wisconsin Health & Educational Facilities Authority Rev. (Beloit College), 5%, 7/01/2039      1,550,000        1,733,815   
Wisconsin Health & Educational Facilities Authority Rev. (Beloit College), 5%, 7/01/2036      625,000        703,481   
Wisconsin Health & Educational Facilities Authority Rev. (Beloit College), “A”, 6.125%, 6/01/2035      710,000        834,009   
Wisconsin Health & Educational Facilities Authority Rev. (Beloit College), “A”, 6.125%, 6/01/2039      1,435,000        1,685,637   
Wisconsin Health & Educational Facilities Authority Rev. (Meritor Hospital), “A”, 5.5%, 5/01/2031 (Prerefunded 5/01/2021)      1,855,000        2,207,005   
Wisconsin Health & Educational Facilities Authority Rev. (Meritor Hospital), “A”, 6%, 5/01/2041 (Prerefunded 5/01/2021)      1,405,000        1,702,326   
Wisconsin Health & Educational Facilities Authority Rev. (Sauk-Prairie Memorial Hospital), 5.25%, 2/01/2043      4,870,000        5,285,216   
Wisconsin Health & Educational Facilities Authority Rev. (Sauk-Prairie Memorial Hospital), “A”, 5.125%, 2/01/2038      5,110,000        5,539,393   
Wisconsin Health & Educational Facilities Authority Rev. (St. John’s Community, Inc.), “A”, 7.25%, 9/15/2029      485,000        569,725   
Wisconsin Health & Educational Facilities Authority Rev. (St. John’s Community, Inc.), “A”, 7.625%, 9/15/2039      1,960,000        2,323,129   
Wisconsin Health & Educational Facilities Authority Rev. (St. John’s Community, Inc.), “B”, 5%, 9/15/2037      290,000        312,739   
Wisconsin Health & Educational Facilities Authority Rev. (St. John’s Community, Inc.), “B”, 5%, 9/15/2045      435,000        466,720   
Wisconsin Public Finance Authority Education Rev. (North Carolina Charter), “A”, 5%, 6/15/2036      2,880,000        2,876,256   
Wisconsin Public Finance Authority Education Rev. (North Carolina Charter), “A”, 5%, 6/15/2046      3,870,000        3,806,455   
Wisconsin Public Finance Authority Education Rev. (Pine Lake Preparatory), 4.95%, 3/01/2030      1,025,000        1,082,216   

 

31

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Wisconsin - continued                 
Wisconsin Public Finance Authority Education Rev. (Pine Lake Preparatory), 5.25%, 3/01/2035    $ 1,005,000      $ 1,066,154   
Wisconsin Public Finance Authority Education Rev. (Pine Lake Preparatory), 5.5%, 3/01/2045      2,770,000        2,956,560   
Wisconsin Public Finance Authority Healthcare Facility (Church Home of Hartford, Inc. Project), “A”, 4%, 9/01/2020      605,000        635,244   
Wisconsin Public Finance Authority Healthcare Facility (Church Home of Hartford, Inc. Project), “A”, 5%, 9/01/2025      520,000        581,318   
Wisconsin Public Finance Authority Healthcare Facility (Church Home of Hartford, Inc. Project), “A”, 5%, 9/01/2030      895,000        966,502   
Wisconsin Public Finance Authority Healthcare Facility (Church Home of Hartford, Inc. Project), “A”, 5%, 9/01/2038      1,185,000        1,254,962   
Wisconsin Public Finance Authority Rev. (Celanese Corp.), “B”, 5%, 12/01/2025      3,055,000        3,515,297   
Wisconsin Public Finance Authority Rev. (Roseman University of Health Sciences Project), 5.75%, 4/01/2035      2,805,000        2,979,611   
Wisconsin Public Finance Authority Senior Living Rev. (Rose Villa Project), “A”, 5.125%, 11/15/2029      1,905,000        2,054,123   
Wisconsin Public Finance Authority Senior Living Rev. (Rose Villa Project), “A”, 5.5%, 11/15/2034      1,730,000        1,894,419   
Wisconsin Public Finance Authority Senior Living Rev. (Rose Villa Project), “A”, 5.75%, 11/15/2044      1,685,000        1,855,556   
Wisconsin Public Finance Authority Senior Living Rev. (Rose Villa Project), “A”, 6%, 11/15/2049      3,465,000        3,871,791   
Wisconsin Public Finance Authority Student Housing Rev., (Western Carolina University Project), 5.25%, 7/01/2047      2,480,000        2,745,211   
Wisconsin Public Finance Authority, Airport Facilities Rev. (Transportation Infrastructure Properties LLC), “B”, 5%, 7/01/2022      1,235,000        1,359,068   
Wisconsin Public Finance Authority, Airport Facilities Rev. (Transportation Infrastructure Properties LLC), “B”, 5.25%, 7/01/2028      3,815,000        4,216,185   
Wisconsin Public Finance Authority, Airport Facilities Rev. (Transportation Infrastructure Properties LLC), “B”, 5%, 7/01/2042      17,610,000        18,626,801   
Wisconsin Public Finance Authority, Airport Facilities Rev. (Transportation Infrastructure Properties LLC), “C”, 5%, 7/01/2042      2,870,000        3,066,279   
    

 

 

  
      $ 90,070,024   
Total Municipal Bonds      $ 3,958,416,449   
Money Market Funds - 1.7%                 
MFS Institutional Money Market Portfolio, 0.44% (v)      67,532,808      $ 67,532,808   
Total Investments      $ 4,025,949,257   
Other Assets, Less Liabilities - (1.1)%        (42,855,370 ) 
Net Assets - 100.0%      $ 3,983,093,887   

 

(a) Non-income producing security.
(d) In default.
(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 $31,634,616 representing 0.8% of net assets.
(q) Interest received was less than stated coupon rate.
(u) Underlying security deposited into special purpose trust (“the trust”) upon creation of self-deposited inverse floaters.
(v) Underlying affiliated fund 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:

 

CALHF   California Health Facility Construction Loan Insurance Program
COP   Certificate of Participation
ETM   Escrowed to Maturity
FRN   Floating Rate Note. Interest rate resets periodically and the current rate may not be the rate reported at period end.
LOC   Letter of Credit

 

Insurers      
ACA    ACA Financial Guaranty Corp.
AGM    Assured Guaranty Municipal
AMBAC    AMBAC Indemnity Corp.
ASSD GTY    Assured Guaranty Insurance Co.
BAM    Build America Mutual
CALHF    California Health Facility Construction Loan Insurance Program
FHA    Federal Housing Administration
FHLMC    Federal Home Loan Mortgage Corp.
GNMA    Government National Mortgage Assn.
NATL    National Public Finance Guarantee Corp.
SYNCORA    Syncora Guarantee Inc.

See attached supplemental information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.

 

32

Supplemental Information

10/31/16 (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

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. 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. Values obtained from 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 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 halting of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.

Various inputs are used in determining the value of the fund’s assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. The following is a summary of the levels used as of October 31, 2016 in valuing the fund’s assets or liabilities:

 

Investments at Value    Level 1      Level 2      Level 3      Total  
Municipal Bonds      $—         $3,958,416,449         $—         $3,958,416,449   
Mutual Funds      67,532,808         —         —         67,532,808   
Total Investments      $67,532,808         $3,958,416,449         $—         $4,025,949,257   

For further information regarding security characteristics, see the Portfolio of Investments.

(2) Portfolio Securities

The cost and unrealized appreciation and depreciation in the value of the investments owned by the fund, as computed on a federal income tax basis, are as follows:

 

Aggregate cost      $3,726,595,999   
Gross unrealized appreciation      293,484,594   
Gross unrealized depreciation      (28,953,686 ) 
Net unrealized appreciation (depreciation)      $264,530,908   

The aggregate cost above includes prior year end tax adjustments, if applicable.

 

33

Supplemental Information (unaudited) – continued

 

(3) Transactions in Underlying Affiliated Funds – 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 fund assumes the following to be an affiliated issuer:

 

Underlying Affiliated Fund    Beginning
Shares/Par
Amount		      Acquisitions
Shares/Par
Amount		      Dispositions
Shares/Par
Amount		      Ending
Shares/Par
Amount		  
MFS Institutional Money Market Portfolio      88,246,100         595,887,303         (616,600,595 )       67,532,808   
Underlying Affiliated Fund    Realized
Gain (Loss)		      Capital Gain
Distributions		      Dividend
Income		      Ending
Value		  
MFS Institutional Money Market Portfolio      $—         $—         $162,071         $67,532,808   

 

34

ITEM 2. CONTROLS AND PROCEDURES.

 

(a) Based upon their evaluation of the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as conducted within 90 days of the filing date of this Form N-Q, the registrant’s principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

 

(b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

ITEM 3. EXHIBITS.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto.

Notice

A copy of the Amended and Restated Declaration of Trust, as amended, of the Registrant is on file with the Secretary of State of The Commonwealth of Massachusetts and notice is hereby given that this instrument is executed on behalf of the Registrant by an officer of the Registrant as an officer and not individually and the obligations of or arising out of this instrument are not binding upon any of the Trustees or shareholders individually, but are binding only upon the assets and property of the respective constituent series of the Registrant.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant: MFS SERIES TRUST III

 

By (Signature and Title)*    ROBIN A. STELMACH
  Robin A. Stelmach, President

Date: December 15, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)*    ROBIN A. STELMACH
 

Robin A. Stelmach, President

(Principal Executive Officer)

Date: December 15, 2016

 

By (Signature and Title)*    DAVID L. DILORENZO
 

David L. DiLorenzo, Treasurer

(Principal Financial Officer

and Accounting Officer)

Date: December 15, 2016

 

* Print name and title of each signing officer under his or her signature.