Quarterly Report
May 31, 2023
MFS® Diversified
Income Fund
Income Fund
DIF-Q1
Portfolio of Investments
5/31/23 (unaudited)
The Portfolio of Investments is a
complete list of all securities owned by your fund. It is categorized by broad-based asset classes.
| Issuer | Shares/Par | Value ($) | ||
| Bonds – 43.7% | ||||
| Aerospace & Defense – 0.4% | ||||
| Boeing Co., 2.196%, 2/04/2026 | $ | 920,000 | $856,134 | |
| Boeing Co., 5.15%, 5/01/2030 | 731,000 | 725,003 | ||
| Boeing Co., 5.805%, 5/01/2050 | 2,462,000 | 2,410,299 | ||
| General Dynamics Corp., 3.625%, 4/01/2030 | 1,362,000 | 1,278,993 | ||
| Raytheon Technologies Corp., 1.9%, 9/01/2031 | 1,540,000 | 1,236,809 | ||
| Raytheon Technologies Corp., 2.375%, 3/15/2032 | 1,796,000 | 1,485,626 | ||
| Raytheon Technologies Corp., 3.03%, 3/15/2052 | 1,272,000 | 878,018 | ||
| $8,870,882 | ||||
| Apparel Manufacturers – 0.0% | ||||
| Tapestry, Inc., 4.125%, 7/15/2027 | $ | 667,000 | $631,448 | |
| Tapestry, Inc., 3.05%, 3/15/2032 | 683,000 | 549,629 | ||
| $1,181,077 | ||||
| Asset-Backed & Securitized – 1.4% | ||||
| 3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.025%, 11/15/2054 (i) | $ | 6,493,674 | $346,126 | |
| ACREC 2021-FL1 Ltd., “A”, FLR, 6.261% (LIBOR - 1mo. + 1.15%), 10/16/2036 (n) | 1,091,500 | 1,073,908 | ||
| ACREC 2023-FL2 LLC, “A”, FLR, 7.303% (SOFR - 1mo. + 2.23%), 2/19/2038 (n) | 888,988 | 881,948 | ||
| Arbor Realty Trust, Inc., CLO, 2021-FL1, “A”, FLR, 6.076% (LIBOR - 1mo. + 1.35%), 12/15/2035 (n) | 765,500 | 748,917 | ||
| Arbor Realty Trust, Inc., CLO, 2021-FL1, “B”, FLR, 6.605% (LIBOR - 1mo. + 1.5%), 12/15/2035 (n) | 998,500 | 959,763 | ||
| Arbor Realty Trust, Inc., CLO, 2021-FL4, “AS”, FLR, 6.807% (LIBOR - 1mo. + 1.7%), 11/15/2036 (n) | 484,000 | 472,623 | ||
| AREIT 2022-CRE6 Trust, “AS”, FLR, 6.564% (SOFR - 30 day + 1.65%), 1/20/2037 (n) | 946,500 | 908,681 | ||
| ARI Fleet Lease Trust, 2023-A, “A2”, 5.41%, 2/17/2032 (n) | 519,273 | 515,635 | ||
| BBCMS Mortgage Trust, 2021-C9, “XA”, 1.619%, 2/15/2054 (i) | 3,522,682 | 309,020 | ||
| BBCMS Mortgage Trust, 2022-C18, “XA”, 0.46%, 12/15/2055 (i) | 4,287,954 | 165,570 | ||
| BDS 2021-FL7 Ltd., “B”, FLR, 6.611% (LIBOR - 1mo. + 1.5%), 6/16/2036 (n) | 431,500 | 411,187 | ||
| Benchmark 2021-B24 Mortgage Trust, “XA”, 1.15%, 3/15/2054 (i) | 6,684,099 | 398,957 | ||
| Benchmark 2021-B26 Mortgage Trust, “XA”, 0.885%, 6/15/2054 (i) | 6,503,176 | 311,249 | ||
| Benchmark 2021-B27 Mortgage Trust, “XA”, 1.264%, 7/15/2054 (i) | 7,582,418 | 532,653 | ||
| Benchmark 2022-B36 Mortgage Trust, “XA”, 0.638%, 7/15/2055 (i) | 6,962,076 | 334,977 | ||
| Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 511,760 | 478,601 | ||
| CarMax Auto Owner Trust, 2023-2, “A1”, 5.508%, 5/15/2024 | 1,019,082 | 1,018,820 | ||
| Citigroup Commercial Mortgage Trust, 2019-XA, “C7”, 0.864%, 12/15/2072 (i) | 9,380,441 | 396,305 | ||
| Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.777%, 4/15/2054 (i) | 4,817,540 | 201,444 | ||
| Commercial Mortgage Pass-Through Certificates, 2022-BN43, “XA”, 0.895%, 8/15/2055 (i) | 7,974,061 | 491,342 | ||
| CPS Auto Trust, 2019-D, “E”, 3.86%, 10/15/2025 (n) | 1,008,000 | 985,353 | ||
| Dell Equipment Finance Trust 2023-1, “A2”, 5.65%, 9/22/2028 (n) | 900,000 | 896,952 | ||
| DT Auto Owner Trust, 2023-1A, “A”, 5.48%, 4/15/2027 (n) | 538,481 | 535,505 | ||
| DT Auto Owner Trust, 2023-2A, “A”, 5.88%, 4/15/2027 (n) | 1,338,162 | 1,334,631 | ||
| Flagship Credit Auto Trust, 2019-3, “D”, 2.86%, 12/15/2025 (n) | 500,000 | 487,169 | ||
| KREF 2018-FT1 Ltd., “A”, FLR, 6.178% (LIBOR - 1mo. + 1.1%), 2/15/2039 (n) | 478,500 | 463,433 | ||
| KREF 2018-FT1 Ltd., “AS”, FLR, 6.408% (LIBOR - 1mo. + 1.3%), 2/15/2039 (n) | 526,000 | 496,414 | ||
| LAD Auto Receivables Trust, 2022-1A, “A”, 5.21%, 6/15/2027 (n) | 323,064 | 319,591 | ||
| LAD Auto Receivables Trust, 2023-1A, “A2”, 5.68%, 10/15/2026 (n) | 332,000 | 330,385 | ||
| LAD Auto Receivables Trust, 2023-2A, “A2”, 5.93%, 6/15/2027 (n) | 801,000 | 798,685 | ||
| LoanCore 2021-CRE5 Ltd., “AS”, FLR, 6.857% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | 750,000 | 709,500 | ||
| MF1 2020-FL4 Ltd., “A”, FLR, 6.881% (LIBOR - 1mo. + 1.7%), 11/15/2035 (a)(n) | 1,040,613 | 1,030,282 | ||
| MF1 2021-FL5 Ltd., “AS”, FLR, 6.381% (LIBOR - 1mo. + 1.2%), 7/15/2036 (n) | 985,000 | 953,602 | ||
| MF1 2021-FL5 Ltd., “B”, FLR, 6.631% (LIBOR - 1mo. + 1.45%), 7/15/2036 (n) | 1,241,000 | 1,198,479 | ||
| MF1 2022-FL8 Ltd., “A”, FLR, 6.273% (SOFR - 1mo. + 1.35%), 2/19/2037 (n) | 1,430,921 | 1,399,537 | ||
| Morgan Stanley Capital I Trust, 2018-H4, “XA”, 0.83%, 12/15/2051 (i) | 9,678,610 | 331,115 | ||
| Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.294%, 5/15/2054 (i) | 2,691,053 | 178,930 | ||
| Nissan Auto Receivables Owner Trust, 2023-A, 5.424%, 5/15/2024 | 520,099 | 519,939 | ||
| Palmer Square Loan Funding 2020-1A Ltd., “A2”, FLR, 6.729% (LIBOR - 3mo. + 1.35%), 2/20/2028 (n) | 1,308,942 | 1,293,253 | ||
| PFP III 2021-7 Ltd., “AS”, FLR, 6.257% (LIBOR - 1mo. + 1.15%), 4/14/2038 (n) | 1,383,931 | 1,331,364 | ||
| PFP III 2021-8 Ltd., “A”, FLR, 6.105% (LIBOR - 1mo. + 1%), 8/09/2037 (n) | 692,162 | 673,146 | ||
1
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Asset-Backed & Securitized – continued | ||||
| PFP III 2021-8 Ltd., “AS”, FLR, 6.355% (LIBOR - 1mo. + 1.25%), 8/09/2037 (n) | $ | 1,010,000 | $954,434 | |
| ReadyCap Commercial Mortgage Trust, 2021-FL5, “A”, FLR, 6.138% (LIBOR - 1mo. + 1%), 4/25/2038 (n) | 463,464 | 453,647 | ||
| ReadyCap Commercial Mortgage Trust, 2021-FL7, “A”, FLR, 6.338% (LIBOR - 1mo. + 1.2%), 11/25/2036 (n) | 350,381 | 341,429 | ||
| ReadyCap Commercial Mortgage Trust, 2021-FL7, “AS”, FLR, 6.638% (LIBOR - 1mo. + 1.5%), 11/25/2036 (n) | 109,000 | 106,307 | ||
| Santander Drive Auto Receivables Trust, 2022-5, “A2”, 3.98%, 1/15/2025 | 199,251 | 198,935 | ||
| Santander Drive Auto Receivables Trust, 2022-6, “A2”, 4.37%, 5/15/2025 | 93,564 | 93,351 | ||
| Toyota Lease Owner Trust, 2023-A, “A1”, 5.388%, 4/22/2024 (n) | 350,975 | 350,636 | ||
| Toyota Lease Owner Trust, 2023-A, “A2”, 5.3%, 8/20/2025 (n) | 1,199,000 | 1,191,756 | ||
| Wells Fargo Commercial Mortgage Trust, 2018-C48, “XA”, 0.937%, 1/15/2052 (i) | 5,178,658 | 203,112 | ||
| Westlake Automobile Receivables Trust, 2022-3A, “A2”, 5.24%, 7/15/2025 (n) | 850,000 | 846,956 | ||
| Westlake Automobile Receivables Trust, 2023-1A, “A2B”, FLR, 5.722% (SOFR - 1mo. + 0.85%), 6/15/2026 (n) | 187,000 | 186,889 | ||
| World Omni Select Auto Trust 2023-A, “A2B”, FLR, 5.731% (SOFR - 1mo. + 0.85%), 3/15/2027 | 1,350,000 | 1,348,708 | ||
| $33,501,151 | ||||
| Automotive – 0.1% | ||||
| Hyundai Capital America, 6.375%, 4/08/2030 (n) | $ | 851,000 | $887,537 | |
| LKQ Corp., 5.75%, 6/15/2028 (n) | 893,000 | 888,405 | ||
| $1,775,942 | ||||
| Broadcasting – 0.5% | ||||
| Activision Blizzard, Inc., 2.5%, 9/15/2050 | $ | 1,594,000 | $1,006,295 | |
| Discovery Communications LLC, 3.625%, 5/15/2030 | 2,384,000 | 2,069,301 | ||
| Discovery Communications LLC, 4%, 9/15/2055 | 1,082,000 | 687,119 | ||
| Prosus N.V., 4.193%, 1/19/2032 (n) | 881,000 | 726,076 | ||
| Prosus N.V., 4.027%, 8/03/2050 (n) | 1,149,000 | 695,424 | ||
| Prosus N.V., 3.832%, 2/08/2051 (n) | 1,016,000 | 598,618 | ||
| Walt Disney Co., 3.35%, 3/24/2025 | 2,391,000 | 2,332,741 | ||
| Walt Disney Co., 3.5%, 5/13/2040 | 2,155,000 | 1,769,589 | ||
| Walt Disney Co., 3.8%, 5/13/2060 | 1,364,000 | 1,059,228 | ||
| Warnermedia Holdings, Inc., 5.391%, 3/15/2062 | 882,000 | 686,083 | ||
| WarnerMedia Holdings, Inc., 4.279%, 3/15/2032 | 2,105,000 | 1,839,015 | ||
| $13,469,489 | ||||
| Brokerage & Asset Managers – 0.2% | ||||
| Brookfield Finance, Inc., 2.34%, 1/30/2032 | $ | 1,462,000 | $1,155,325 | |
| Charles Schwab Corp., 1.95%, 12/01/2031 | 766,000 | 581,046 | ||
| Intercontinental Exchange, Inc., 1.85%, 9/15/2032 | 303,000 | 235,014 | ||
| Intercontinental Exchange, Inc., 5.2%, 6/15/2062 | 622,000 | 616,437 | ||
| LPL Holdings, Inc., 4.625%, 11/15/2027 (n) | 1,043,000 | 967,097 | ||
| LPL Holdings, Inc., 4.375%, 5/15/2031 (n) | 1,216,000 | 1,057,072 | ||
| National Securities Clearing Corp., 5.15%, 5/30/2025 (n) | 520,000 | 521,316 | ||
| $5,133,307 | ||||
| Building – 0.1% | ||||
| CEMEX S.A.B. de C.V., 9.125%, 3/14/2171 (n) | $ | 956,000 | $959,537 | |
| GCC S.A.B de C.V., 3.614%, 4/20/2032 (n) | 916,000 | 779,694 | ||
| Vulcan Materials Co., 3.5%, 6/01/2030 | 1,023,000 | 923,738 | ||
| Vulcan Materials Co., 4.5%, 6/15/2047 | 325,000 | 278,304 | ||
| $2,941,273 | ||||
| Business Services – 0.4% | ||||
| Equifax, Inc., 3.1%, 5/15/2030 | $ | 1,406,000 | $1,213,523 | |
| Equifax, Inc., 2.35%, 9/15/2031 | 1,098,000 | 875,310 | ||
| Equinix, Inc., 2.5%, 5/15/2031 | 2,649,000 | 2,160,707 | ||
| Fiserv, Inc., 4.4%, 7/01/2049 | 1,953,000 | 1,613,762 | ||
| Mastercard, Inc., 3.85%, 3/26/2050 | 1,013,000 | 862,872 | ||
| Visa, Inc., 2.05%, 4/15/2030 | 1,889,000 | 1,632,022 | ||
| Visa, Inc., 2.7%, 4/15/2040 | 1,339,000 | 1,029,114 | ||
2
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Business Services – continued | ||||
| Visa, Inc., 2%, 8/15/2050 | $ | 1,791,000 | $1,093,541 | |
| $10,480,851 | ||||
| Cable TV – 0.2% | ||||
| Cable Onda S.A., 4.5%, 1/30/2030 (n) | $ | 1,326,000 | $1,090,900 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | 1,092,000 | 1,056,641 | ||
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.375%, 5/01/2047 | 1,236,000 | 985,951 | ||
| Comcast Corp., 3.75%, 4/01/2040 | 978,000 | 817,075 | ||
| Liberty Costa Rica Senior Secured Finance, 10.875%, 1/15/2031 (n) | 570,000 | 545,769 | ||
| United Group B.V., 4.625%, 8/15/2028 (n) | EUR | 367,000 | 311,326 | |
| $4,807,662 | ||||
| Chemicals – 0.1% | ||||
| Nutrien Ltd., 4.9%, 3/27/2028 | $ | 815,000 | $807,893 | |
| RPM International, Inc., 4.55%, 3/01/2029 | 1,380,000 | 1,303,777 | ||
| RPM International, Inc., 4.25%, 1/15/2048 | 110,000 | 83,582 | ||
| Sasol Financing (USA) LLC, 8.75%, 5/03/2029 (n) | 960,000 | 919,267 | ||
| $3,114,519 | ||||
| Computer Software – 0.4% | ||||
| Cisco Systems, Inc., 5.5%, 1/15/2040 | $ | 745,000 | $785,139 | |
| Microsoft Corp., 2.525%, 6/01/2050 | 7,093,000 | 4,882,471 | ||
| Oracle Corp., 5.55%, 2/06/2053 | 1,130,000 | 1,055,238 | ||
| VeriSign, Inc., 4.75%, 7/15/2027 | 2,180,000 | 2,145,894 | ||
| $8,868,742 | ||||
| Computer Software - Systems – 0.3% | ||||
| Apple, Inc., 2.05%, 9/11/2026 | $ | 2,272,000 | $2,120,163 | |
| Apple, Inc., 1.7%, 8/05/2031 | 3,997,000 | 3,323,722 | ||
| Apple, Inc., 2.65%, 5/11/2050 | 2,850,000 | 1,960,628 | ||
| $7,404,513 | ||||
| Conglomerates – 0.4% | ||||
| Grupo KUO S.A.B. de C.V., 5.75%, 7/07/2027 (n) | $ | 1,187,000 | $1,055,512 | |
| nVent Finance S.à r.l., 5.65%, 5/15/2033 | 1,255,000 | 1,230,220 | ||
| Otis Worldwide Corp., 2.565%, 2/15/2030 | 101,000 | 87,345 | ||
| Regal Rexnord Corp., 6.05%, 4/15/2028 (n) | 1,114,000 | 1,100,897 | ||
| Regal Rexnord Corp., 6.3%, 2/15/2030 (n) | 955,000 | 952,753 | ||
| Regal Rexnord Corp., 6.4%, 4/15/2033 (n) | 1,392,000 | 1,376,793 | ||
| Westinghouse Air Brake Technologies Corp., 4.95%, 9/15/2028 | 3,268,000 | 3,180,188 | ||
| $8,983,708 | ||||
| Construction – 0.0% | ||||
| Seazen Group Ltd., 4.45%, 7/13/2025 | $ | 1,614,000 | $702,090 | |
| Consumer Products – 0.2% | ||||
| Hasbro, Inc., 3.9%, 11/19/2029 | $ | 1,181,000 | $1,077,698 | |
| Kenvue, Inc., 5.1%, 3/22/2043 (n) | 1,017,000 | 1,023,600 | ||
| Kenvue, Inc., 5.05%, 3/22/2053 (n) | 960,000 | 966,347 | ||
| Mattel, Inc., 3.75%, 4/01/2029 (n) | 1,163,000 | 1,014,236 | ||
| $4,081,881 | ||||
| Consumer Services – 0.2% | ||||
| Booking Holdings, Inc., 3.55%, 3/15/2028 | $ | 1,755,000 | $1,674,149 | |
| Booking Holdings, Inc., 4.625%, 4/13/2030 | 876,000 | 870,600 | ||
| Conservation Fund, 3.474%, 12/15/2029 | 1,031,000 | 885,860 | ||
| Meituan, 3.05%, 10/28/2030 (n) | 1,511,000 | 1,194,417 | ||
| Meituan, 3.05%, 10/28/2030 | 1,024,000 | 809,453 | ||
| $5,434,479 | ||||
3
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Containers – 0.1% | ||||
| Berry Global, Inc., 5.5%, 4/15/2028 (n) | $ | 908,000 | $898,033 | |
| San Miguel Industrias PET S.A., 3.5%, 8/02/2028 (n) | 2,000,000 | 1,681,178 | ||
| $2,579,211 | ||||
| Electrical Equipment – 0.1% | ||||
| Arrow Electronics, Inc., 3.875%, 1/12/2028 | $ | 1,769,000 | $1,647,824 | |
| Electronics – 0.2% | ||||
| Broadcom, Inc., 3.187%, 11/15/2036 (n) | $ | 1,074,000 | $803,699 | |
| Intel Corp., 5.7%, 2/10/2053 | 793,000 | 783,364 | ||
| Lam Research Corp., 1.9%, 6/15/2030 | 988,000 | 827,576 | ||
| Lam Research Corp., 4.875%, 3/15/2049 | 795,000 | 758,931 | ||
| NXP B.V./NXP Funding LLC/NXP USA, Inc., 3.125%, 2/15/2042 | 767,000 | 527,540 | ||
| SK Hynix, Inc., 6.375%, 1/17/2028 (n) | 1,259,000 | 1,274,383 | ||
| $4,975,493 | ||||
| Emerging Market Quasi-Sovereign – 3.2% | ||||
| Abu Dhabi Crude Oil Pipeline, 4.6%, 11/02/2047 | $ | 870,000 | $803,863 | |
| Abu Dhabi National Energy Co. PJSC, 4.696%, 4/24/2033 (n) | 1,147,000 | 1,145,071 | ||
| Aeropuerto Internacional de Tocumen S.A. (Republic of Panama), 5.125%, 8/11/2061 (n) | 530,000 | 398,560 | ||
| Autoridad del Canal de Panama, 4.95%, 7/29/2035 (n) | 281,000 | 261,976 | ||
| Autoridad del Canal de Panama, 4.95%, 7/29/2035 | 1,220,000 | 1,137,407 | ||
| Banco do Brasil S.A. (Cayman Branch), 6.25%, 4/18/2030 (n) | 826,000 | 821,416 | ||
| Bank Gospodarstwa Krajowego (Republic of Poland), 5.375%, 5/22/2033 (n) | 1,041,000 | 1,040,305 | ||
| Bulgarian Energy Holding EAD, 2.45%, 7/22/2028 | EUR | 1,054,000 | 913,971 | |
| China Development Bank Financial Leasing Co. Ltd., 2.875% to 9/28/2025, FLR (CMT - 1yr. + 2.75%) to 9/28/2030 | $ | 753,000 | 706,849 | |
| Comision Federal de Electricidad (United Mexican States), 4.688%, 5/15/2029 (n) | 932,000 | 832,538 | ||
| Comision Federal de Electricidad (United Mexican States), 3.875%, 7/26/2033 (n) | 1,391,000 | 1,060,707 | ||
| DP World Salaam (United Arab Emirates), 6% to 1/01/2026, FLR (CMT - 5yr. + 5.75%) to 1/01/2031, FLR (CMT - 5yr. + 6.75%) to 1/01/2070 | 1,464,000 | 1,451,339 | ||
| Dua Capital Ltd. (Federation of Malaysia), 2.78%, 5/11/2031 | 1,263,000 | 1,084,341 | ||
| Empresa de Transmision Electrica S.A. (Republic of Panama), 5.125%, 5/02/2049 (n) | 1,694,000 | 1,346,730 | ||
| Empresa Nacional del Petroleo, 5.25%, 11/06/2029 | 624,000 | 608,400 | ||
| Empresa Nacional del Petroleo (Republic of Chile), 3.45%, 9/16/2031 (n) | 1,391,000 | 1,154,009 | ||
| Empresa Nacional del Petroleo (Republic of Chile), 6.15%, 5/10/2033 (n) | 800,000 | 794,680 | ||
| Empresa Nacional del Petroleo (Republic of Chile), 4.5%, 9/14/2047 | 895,000 | 669,744 | ||
| Eskom Holdings SOC Ltd. (Republic of South Africa), 7.125%, 2/11/2025 | 3,186,000 | 3,045,580 | ||
| Eskom Holdings SOC Ltd. (Republic of South Africa), 6.35%, 8/10/2028 (n) | 1,294,000 | 1,168,146 | ||
| Eskom Holdings SOC Ltd. (Republic of South Africa), 8.45%, 8/10/2028 | 845,000 | 771,181 | ||
| Export-Import Bank of India, 5.5%, 1/18/2033 (n) | 2,154,000 | 2,173,730 | ||
| Export-Import Bank of Korea, 4.5%, 9/15/2032 | 631,000 | 625,018 | ||
| Export-Import Bank of Korea, 5.125%, 1/11/2033 | 437,000 | 455,122 | ||
| GACI First Investment Co. (Kingdom of Saudi Arabia), 4.875%, 2/14/2035 | 594,000 | 574,310 | ||
| Huarong Finance 2017 Co. Ltd. (People's Republic of China), 4.25%, 11/07/2027 | 1,496,000 | 1,190,895 | ||
| Huarong Finance 2017 Co. Ltd. (People's Republic of China), 4.95%, 11/07/2047 | 1,673,000 | 1,053,345 | ||
| Indian Railway Finance Corp., 2.8%, 2/10/2031 (n) | 2,640,000 | 2,205,182 | ||
| Ipoteka Bank (Republic of Uzbekistan), 5.5%, 11/19/2025 | 1,553,000 | 1,405,465 | ||
| KazMunayGas National Co., JSC (Republic of Kazakhstan), 3.5%, 4/14/2033 | 1,039,000 | 777,238 | ||
| KazMunayGas National Co., JSC (Republic of Kazakhstan), 5.75%, 4/19/2047 | 1,109,000 | 850,488 | ||
| KazMunayGas National Co., JSC (Republic of Kazakhstan), 6.375%, 10/24/2048 | 3,964,000 | 3,230,660 | ||
| Magyar Export-Import Bank PLC (Republic of Hungary), 6.125%, 12/04/2027 (n) | 798,000 | 791,870 | ||
| MDGH - GMTN RSC Ltd. (United Arab Emirates), 5.084%, 5/22/2053 (n) | 299,000 | 297,816 | ||
| NAK Naftogaz Ukraine via Kondor Finance PLC, 7.625%, 11/08/2026 (a)(z) | 3,111,000 | 746,640 | ||
| National Central Cooling Co. PJSC, 2.5%, 10/21/2027 | 957,000 | 863,214 | ||
| NBK SPC Ltd. (State of Kuwait), 1.625% to 9/15/2026, FLR (SOFR - 1 day + 1.05%) to 9/15/2027 (n) | 1,101,000 | 986,150 | ||
| NPC Ukrenergo (Government of Ukraine), 6.875%, 11/09/2028 (a)(n) | 905,000 | 153,850 | ||
| OCP S.A. (Republic of Madagascar), 6.875%, 4/25/2044 | 1,263,000 | 1,152,442 | ||
| Office Cherifien des Phosphates S.A. (Kingdom of Morocco), 5.125%, 6/23/2051 (n) | 2,245,000 | 1,617,971 | ||
| Oryx Funding Ltd. (Sultanate of Oman), 5.8%, 2/03/2031 (n) | 1,210,000 | 1,167,892 | ||
4
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Emerging Market Quasi-Sovereign – continued | ||||
| Pertamina PT, 5.625%, 5/20/2043 | $ | 957,000 | $904,370 | |
| Petroleos Mexicanos, 6.84%, 1/23/2030 | 1,186,000 | 924,651 | ||
| Petroleos Mexicanos, 10%, 2/07/2033 (n) | 2,302,000 | 2,064,710 | ||
| Petroleos Mexicanos, 6.75%, 9/21/2047 | 3,572,000 | 2,155,846 | ||
| Petroleos Mexicanos, 7.69%, 1/23/2050 | 3,942,000 | 2,554,972 | ||
| Petroleos Mexicanos, 6.95%, 1/28/2060 | 3,229,000 | 1,927,946 | ||
| PETRONAS Capital Ltd. (Federation of Malaysia), 3.404%, 4/28/2061 | 1,343,000 | 959,654 | ||
| Power Finance Corp. Ltd. (Republic of India), 3.95%, 4/23/2030 (n) | 1,228,000 | 1,105,575 | ||
| PT Bank Negara Indonesia (Persero) Tbk, 3.75%, 3/30/2026 | 1,838,000 | 1,682,689 | ||
| PT Freeport Indonesia, 5.315%, 4/14/2032 (n) | 1,564,000 | 1,464,107 | ||
| PT Freeport Indonesia, 6.2%, 4/14/2052 (n) | 1,473,000 | 1,311,481 | ||
| PT Indonesia Asahan Aluminium (Persero), 5.8%, 5/15/2050 (n) | 1,883,000 | 1,668,809 | ||
| Qatar Petroleum, 2.25%, 7/12/2031 (n) | 1,397,000 | 1,177,084 | ||
| Qatar Petroleum, 3.125%, 7/12/2041 (n) | 1,997,000 | 1,505,642 | ||
| Qatar Petroleum, 3.3%, 7/12/2051 (n) | 1,053,000 | 755,970 | ||
| QNB Finance Ltd. (State of Qatar), 2.75%, 2/12/2027 | 1,129,000 | 1,047,147 | ||
| REC Ltd. (Republic of India), 5.625%, 4/11/2028 (n) | 1,175,000 | 1,175,157 | ||
| Saudi Arabian Oil Co., 3.5%, 11/24/2070 (n) | 3,601,000 | 2,371,619 | ||
| Southern Gas Corridor CJSC (Republic of Azerbaijan), 6.875%, 3/24/2026 (n) | 1,530,000 | 1,561,864 | ||
| State Oil Company of the Azerbaijan Republic, 6.95%, 3/18/2030 | 3,263,000 | 3,354,886 | ||
| State Savings Bank of Ukraine PJSC, 9.625%, 3/20/2025 | 426,400 | 351,780 | ||
| Sweihan PV Power Co. PJSC, 3.625%, 1/31/2049 (n) | 997,920 | 805,754 | ||
| T.C. Ziraat Bankasi A.S. (Republic of Turkey), 9.5%, 8/01/2026 (n) | 752,000 | 720,529 | ||
| Uzbekneftegaz JSC (Republic of Uzbekistan), 4.75%, 11/16/2028 (n) | 1,236,000 | 991,766 | ||
| $78,080,119 | ||||
| Emerging Market Sovereign – 6.6% | ||||
| Arab Republic of Egypt, 7.6%, 3/01/2029 (n) | $ | 1,396,000 | $857,842 | |
| Arab Republic of Egypt, 7.903%, 2/21/2048 (n) | 1,492,000 | 727,469 | ||
| Arab Republic of Egypt, 7.903%, 2/21/2048 | 1,356,000 | 661,158 | ||
| Arab Republic of Egypt, 8.875%, 5/29/2050 (n) | 1,302,000 | 669,772 | ||
| Arab Republic of Egypt, 7.5%, 2/16/2061 (n) | 1,617,000 | 768,722 | ||
| Czech Republic, 5%, 9/30/2030 | CZK | 11,550,000 | 531,582 | |
| Czech Republic, 2%, 10/13/2033 | 20,180,000 | 718,560 | ||
| Dominican Republic, 6%, 7/19/2028 (n) | $ | 1,663,000 | 1,603,177 | |
| Dominican Republic, 5.5%, 2/22/2029 (n) | 1,714,000 | 1,589,744 | ||
| Dominican Republic, 7.05%, 2/03/2031 (n) | 764,000 | 758,025 | ||
| Dominican Republic, 4.875%, 9/23/2032 (n) | 1,192,000 | 999,778 | ||
| Dominican Republic, 6%, 2/22/2033 (n) | 2,048,000 | 1,865,295 | ||
| Dominican Republic, 5.3%, 1/21/2041 (n) | 1,002,000 | 775,519 | ||
| Dominican Republic, 5.875%, 1/30/2060 (n) | 2,282,000 | 1,689,282 | ||
| Dominican Republic, 5.875%, 1/30/2060 | 2,407,000 | 1,781,815 | ||
| Emirate of Sharjah, 6.5%, 11/23/2032 (n) | 518,000 | 527,110 | ||
| Federal Republic of Nigeria, 6.125%, 9/28/2028 (n) | 1,457,000 | 1,172,885 | ||
| Federal Republic of Nigeria, 7.875%, 2/16/2032 | 2,090,000 | 1,637,390 | ||
| Federal Republic of Nigeria, 7.375%, 9/28/2033 (n) | 1,259,000 | 923,842 | ||
| Federal Republic of Nigeria, 7.696%, 2/23/2038 | 969,000 | 668,610 | ||
| Federal Republic of Nigeria, 7.625%, 11/28/2047 | 843,000 | 551,339 | ||
| Federative Republic of Brazil, 10%, 1/01/2027 | BRL | 4,632,000 | 888,403 | |
| Federative Republic of Brazil, 6%, 10/20/2033 | $ | 1,003,000 | 983,385 | |
| Federative Republic of Brazil, 4.75%, 1/14/2050 | 1,053,000 | 761,686 | ||
| Government of Ukraine, 7.75%, 9/01/2028 (a) | 1,262,000 | 241,200 | ||
| Government of Ukraine, 6.876%, 5/21/2031 (a) | 598,000 | 106,257 | ||
| Government of Ukraine, 4.375%, 1/27/2032 (a) | EUR | 1,074,000 | 204,703 | |
| Government of Ukraine, 7.253%, (7.253% cash or 7.253% PIK) 3/15/2035 (a)(p) | $ | 3,089,000 | 568,183 | |
| Government of Ukraine, GDP Linked Bond, 0%, 8/01/2041 (a) | 2,068,000 | 591,706 | ||
| Hashemite Kingdom of Jordan, 7.5%, 1/13/2029 (n) | 687,000 | 677,381 | ||
| Hashemite Kingdom of Jordan, 5.85%, 7/07/2030 (n) | 1,642,000 | 1,467,537 | ||
| Hashemite Kingdom of Jordan, 7.375%, 10/10/2047 | 3,663,000 | 3,054,026 | ||
5
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Emerging Market Sovereign – continued | ||||
| Islamic Republic of Pakistan, 6%, 4/08/2026 (n) | $ | 1,550,000 | $585,125 | |
| Islamic Republic of Pakistan, 8.875%, 4/08/2051 (n) | 1,504,000 | 518,868 | ||
| Kingdom of Morocco, 5.95%, 3/08/2028 (n) | 881,000 | 891,153 | ||
| Kingdom of Morocco, 6.5%, 9/08/2033 (n) | 2,760,000 | 2,810,370 | ||
| Kingdom of Saudi Arabia, 4.875%, 7/18/2033 (n) | 603,000 | 607,255 | ||
| Kingdom of Saudi Arabia, 4.5%, 10/26/2046 | 2,723,000 | 2,372,256 | ||
| Kingdom of Saudi Arabia, 4.625%, 10/04/2047 | 3,863,000 | 3,390,092 | ||
| Kingdom of Saudi Arabia, 5.25%, 1/16/2050 | 1,032,000 | 990,720 | ||
| Kingdom of Saudi Arabia, 3.25%, 11/17/2051 (n) | 2,103,000 | 1,458,750 | ||
| Kingdom of Saudi Arabia, 5%, 1/18/2053 (n) | 872,000 | 800,060 | ||
| Oriental Republic of Uruguay, 8.25%, 5/21/2031 | UYU | 89,988,000 | 2,094,228 | |
| Oriental Republic of Uruguay, 5.75%, 10/28/2034 | $ | 1,729,000 | 1,888,713 | |
| Oriental Republic of Uruguay, 4.975%, 4/20/2055 | 1,300,000 | 1,248,962 | ||
| Republic of Angola, 8.75%, 4/14/2032 (n) | 1,396,000 | 1,170,532 | ||
| Republic of Angola, 9.375%, 5/08/2048 | 2,905,000 | 2,226,276 | ||
| Republic of Angola, 9.125%, 11/26/2049 | 3,425,000 | 2,550,844 | ||
| Republic of Argentina, 3.875%, 1/09/2038 | 3,155,000 | 907,366 | ||
| Republic of Argentina, 3.5%, 7/09/2041 | 11,085,000 | 2,853,246 | ||
| Republic of Cameroon, 5.95%, 7/07/2032 | EUR | 1,136,000 | 824,854 | |
| Republic of Chile, 2.55%, 1/27/2032 | $ | 997,000 | 855,520 | |
| Republic of Chile, 3.86%, 6/21/2047 | 1,166,000 | 933,407 | ||
| Republic of Chile, 4%, 1/31/2052 | 2,111,000 | 1,687,874 | ||
| Republic of Colombia, 8%, 4/20/2033 | 1,186,000 | 1,191,050 | ||
| Republic of Costa Rica, 6.55%, 4/03/2034 (n) | 1,734,000 | 1,750,906 | ||
| Republic of Costa Rica, 7.158%, 3/12/2045 | 958,000 | 948,480 | ||
| Republic of Cote d'Ivoire, 4.875%, 1/30/2032 (n) | EUR | 1,386,000 | 1,118,677 | |
| Republic of Cote d'Ivoire, 6.875%, 10/17/2040 (n) | 1,164,000 | 903,918 | ||
| Republic of Cote d'Ivoire, 6.625%, 3/22/2048 (n) | 602,000 | 435,943 | ||
| Republic of Gabon, 7%, 11/24/2031 (n) | $ | 1,694,000 | 1,326,741 | |
| Republic of Ghana, 7.75%, 4/07/2029 (a)(n) | 982,000 | 392,800 | ||
| Republic of Ghana, 7.875%, 2/11/2035 (a)(n) | 2,325,000 | 930,372 | ||
| Republic of Guatemala, 3.7%, 10/07/2033 (n) | 1,018,000 | 816,903 | ||
| Republic of Guatemala, 4.65%, 10/07/2041 (n) | 808,000 | 634,259 | ||
| Republic of Guatemala, 6.125%, 6/01/2050 | 1,673,000 | 1,508,428 | ||
| Republic of Hungary, 6.25%, 9/22/2032 (n) | 1,389,000 | 1,411,571 | ||
| Republic of Hungary, 2.25%, 4/20/2033 | HUF | 627,180,000 | 1,153,613 | |
| Republic of Hungary, 5.5%, 6/16/2034 (n) | $ | 2,223,000 | 2,120,911 | |
| Republic of Hungary, 6.75%, 9/25/2052 (n) | 1,056,000 | 1,065,050 | ||
| Republic of Indonesia, 1.1%, 3/12/2033 | EUR | 1,082,000 | 854,083 | |
| Republic of Indonesia, 5.125%, 1/15/2045 | $ | 816,000 | 795,600 | |
| Republic of Indonesia, 4.35%, 1/11/2048 | 2,767,000 | 2,414,207 | ||
| Republic of Indonesia, 5.45%, 9/20/2052 | 644,000 | 651,573 | ||
| Republic of Indonesia, 5.65%, 1/11/2053 | 833,000 | 865,290 | ||
| Republic of Kazakhstan, 6.5%, 7/21/2045 | 1,362,000 | 1,407,861 | ||
| Republic of Kenya, 8%, 5/22/2032 | 2,864,000 | 2,302,358 | ||
| Republic of Panama, 6.4%, 2/14/2035 | 1,962,000 | 2,050,978 | ||
| Republic of Panama, 6.853%, 3/28/2054 | 835,000 | 855,811 | ||
| Republic of Paraguay, 5.6%, 3/13/2048 | 1,093,000 | 938,352 | ||
| Republic of Paraguay, 5.4%, 3/30/2050 (n) | 3,361,000 | 2,814,165 | ||
| Republic of Paraguay, 5.4%, 3/30/2050 | 1,091,000 | 913,494 | ||
| Republic of Peru, 2.783%, 1/23/2031 | 708,000 | 603,481 | ||
| Republic of Peru, 6.95%, 8/12/2031 | PEN | 4,851,000 | 1,317,003 | |
| Republic of Peru, 1.862%, 12/01/2032 | $ | 545,000 | 412,367 | |
| Republic of Peru, 7.3%, 8/12/2033 | PEN | 2,074,000 | 563,553 | |
| Republic of Philippines, 5.609%, 4/13/2033 | $ | 701,000 | 749,186 | |
| Republic of Philippines, 5%, 7/17/2033 | 1,231,000 | 1,257,143 | ||
| Republic of Philippines, 5.5%, 1/17/2048 | 840,000 | 869,454 | ||
| Republic of Poland, 5.75%, 11/16/2032 | 1,038,000 | 1,101,355 | ||
| Republic of Poland, 4.875%, 10/04/2033 | 828,000 | 824,900 | ||
6
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Emerging Market Sovereign – continued | ||||
| Republic of Poland, 5.5%, 4/04/2053 | $ | 677,000 | $680,046 | |
| Republic of Romania, 6.625%, 2/17/2028 (n) | 1,032,000 | 1,057,259 | ||
| Republic of Romania, 1.75%, 7/13/2030 (n) | EUR | 1,556,000 | 1,243,887 | |
| Republic of Romania, 2.124%, 7/16/2031 | 1,547,000 | 1,228,781 | ||
| Republic of Romania, 2%, 1/28/2032 (n) | 1,241,000 | 952,431 | ||
| Republic of Romania, 2%, 1/28/2032 | 1,150,000 | 882,591 | ||
| Republic of Romania, 7.125%, 1/17/2033 (n) | $ | 1,186,000 | 1,249,000 | |
| Republic of Romania, 2.625%, 12/02/2040 (n) | EUR | 602,000 | 378,011 | |
| Republic of Romania, 2.75%, 4/14/2041 (n) | 611,000 | 386,266 | ||
| Republic of Senegal, 6.75%, 3/13/2048 | $ | 1,161,000 | 769,994 | |
| Republic of Serbia, 6.25%, 5/26/2028 (n) | 1,236,000 | 1,224,223 | ||
| Republic of Serbia, 6.5%, 9/26/2033 (n) | 1,519,000 | 1,473,977 | ||
| Republic of South Africa, 9%, 1/31/2040 | ZAR | 23,730,000 | 892,940 | |
| Republic of South Africa, 5.75%, 9/30/2049 | $ | 1,921,000 | 1,297,828 | |
| Republic of South Africa, 7.3%, 4/20/2052 | 1,626,000 | 1,300,563 | ||
| Republic of Sri Lanka, 6.125%, 6/03/2025 (a) | 4,379,000 | 1,676,273 | ||
| Republic of Sri Lanka, 7.55%, 3/28/2030 (a) | 2,892,000 | 1,056,378 | ||
| Republic of Turkey, 6.125%, 10/24/2028 | 1,507,000 | 1,307,503 | ||
| Republic of Turkey, 7.625%, 4/26/2029 | 979,000 | 893,337 | ||
| Republic of Turkey, 5.25%, 3/13/2030 | 1,110,000 | 879,675 | ||
| Republic of Turkey, 5.95%, 1/15/2031 | 1,598,000 | 1,288,308 | ||
| Republic of Turkey, 5.875%, 6/26/2031 | 1,176,000 | 934,920 | ||
| Republic of Turkey, 9.375%, 1/19/2033 | 1,048,000 | 1,006,814 | ||
| Republic of Turkey, 6.5%, 9/20/2033 | 1,591,000 | 1,279,934 | ||
| Republic of Zambia, 8.97%, 7/30/2027 (a)(d) | 1,909,000 | 925,865 | ||
| Socialist Republic of Vietnam, 4.8%, 11/19/2024 | 1,088,000 | 1,067,813 | ||
| State of Qatar, 5.103%, 4/23/2048 (n) | 1,215,000 | 1,204,301 | ||
| State of Qatar, 4.817%, 3/14/2049 (n) | 819,000 | 778,129 | ||
| State of Qatar, 4.817%, 3/14/2049 | 619,000 | 588,109 | ||
| State of Qatar, 4.4%, 4/16/2050 (n) | 652,000 | 588,759 | ||
| Sultanate of Oman, 6.5%, 3/08/2047 | 1,218,000 | 1,110,263 | ||
| Sultanate of Oman, 6.75%, 1/17/2048 | 4,130,000 | 3,882,200 | ||
| Sultanate of Oman, 7%, 1/25/2051 (n) | 1,897,000 | 1,835,366 | ||
| Sultanate of Oman, 7%, 1/25/2051 | 3,459,000 | 3,346,617 | ||
| United Arab Emirates, 4.951%, 7/07/2052 (n) | 1,132,000 | 1,117,714 | ||
| United Mexican States, 5.75%, 3/05/2026 | MXN | 17,400,000 | 892,526 | |
| United Mexican States, 7.5%, 6/03/2027 | 16,400,000 | 875,730 | ||
| United Mexican States, 7.75%, 5/29/2031 | 37,800,000 | 2,005,287 | ||
| United Mexican States, 4.875%, 5/19/2033 | $ | 1,282,000 | 1,224,375 | |
| United Mexican States, 3.5%, 2/12/2034 | 1,435,000 | 1,205,384 | ||
| United Mexican States, 6.338%, 5/04/2053 | 6,055,000 | 6,071,862 | ||
| $161,022,929 | ||||
| Energy - Independent – 0.7% | ||||
| Energean PLC, 6.5%, 4/30/2027 (n) | $ | 1,565,000 | $1,411,192 | |
| EQT Corp., 3.625%, 5/15/2031 (n) | 2,977,000 | 2,537,386 | ||
| Hess Corp., 5.8%, 4/01/2047 | 2,385,000 | 2,285,445 | ||
| Leviathan Bond Ltd., 6.75%, 6/30/2030 (n) | 1,396,000 | 1,286,576 | ||
| Medco Bell Pte. Ltd., 6.375%, 1/30/2027 (n) | 1,146,000 | 1,033,526 | ||
| Medco Laurel Tree Pte. Ltd., 6.95%, 11/12/2028 (n) | 845,000 | 740,540 | ||
| Pioneer Natural Resources Co., 1.9%, 8/15/2030 | 2,149,000 | 1,745,779 | ||
| Sierracol Energy Andina LLC, 6%, 6/15/2028 (n) | 743,000 | 544,396 | ||
| Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 (n) | 2,119,000 | 1,864,720 | ||
| Tengizchevroil Finance Co. International Ltd., 3.25%, 8/15/2030 (n) | 4,736,000 | 3,548,590 | ||
| $16,998,150 | ||||
7
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Energy - Integrated – 0.2% | ||||
| BP Capital Markets America, Inc., 1.749%, 8/10/2030 | $ | 1,672,000 | $1,372,269 | |
| BP Capital Markets America, Inc., 4.812%, 2/13/2033 | 1,140,000 | 1,127,223 | ||
| BP Capital Markets America, Inc., 3.001%, 3/17/2052 | 1,301,000 | 875,281 | ||
| Eni S.p.A., 4.75%, 9/12/2028 (n) | 1,818,000 | 1,799,789 | ||
| Eni S.p.A., 4.25%, 5/09/2029 (n) | 976,000 | 933,657 | ||
| $6,108,219 | ||||
| Financial Institutions – 0.4% | ||||
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.65%, 7/21/2027 | $ | 1,425,000 | $1,310,805 | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.3%, 1/30/2032 | 2,323,000 | 1,887,945 | ||
| Avolon Holdings Funding Ltd., 4.25%, 4/15/2026 (n) | 909,000 | 841,634 | ||
| Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 855,000 | 789,588 | ||
| Avolon Holdings Funding Ltd., 2.75%, 2/21/2028 (n) | 1,636,000 | 1,360,939 | ||
| Muthoot Finance Ltd., 4.4%, 9/02/2023 (n) | 686,000 | 679,003 | ||
| Shriram Transport Finance Co. Ltd., 4.4%, 3/13/2024 (n) | 2,049,000 | 1,995,278 | ||
| Sunac China Holdings Ltd., 7.5%, 2/01/2024 (a)(d) | 1,792,000 | 266,462 | ||
| Times China Holdings Ltd., 6.75%, 7/08/2025 (a) | 1,256,000 | 70,005 | ||
| $9,201,659 | ||||
| Food & Beverages – 1.0% | ||||
| Agrosuper S.A., 4.6%, 1/20/2032 (n) | $ | 610,000 | $525,166 | |
| Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | 2,533,000 | 2,648,879 | ||
| Aragvi Finance International DAC, 8.45%, 4/29/2026 (n) | 826,000 | 553,998 | ||
| Bacardi Ltd., 5.15%, 5/15/2038 (n) | 1,036,000 | 973,016 | ||
| Central America Bottling Co., 5.25%, 4/27/2029 (n) | 2,121,000 | 1,972,530 | ||
| Compania Cervecerias Unidas S.A., 3.35%, 1/19/2032 (n) | 1,439,000 | 1,221,711 | ||
| Constellation Brands, Inc., 2.25%, 8/01/2031 | 1,839,000 | 1,501,455 | ||
| Constellation Brands, Inc., 4.1%, 2/15/2048 | 3,081,000 | 2,479,605 | ||
| JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029 (n) | 1,065,000 | 898,104 | ||
| JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.625%, 1/15/2032 (n) | 1,557,000 | 1,259,779 | ||
| JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.75%, 4/01/2033 (n) | 894,000 | 833,700 | ||
| Kraft Heinz Foods Co., 4.875%, 10/01/2049 | 816,000 | 736,595 | ||
| Kraft Heinz Foods Co., 5.5%, 6/01/2050 | 1,419,000 | 1,397,706 | ||
| Mars, Inc., 4.55%, 4/20/2028 (n) | 2,150,000 | 2,146,236 | ||
| PT Indofood CBP Sukses Makmur Tbk, 3.398%, 6/09/2031 | 1,243,000 | 1,050,335 | ||
| PT Indofood CBP Sukses Makmur Tbk, 4.805%, 4/27/2052 | 1,637,000 | 1,204,147 | ||
| SYSCO Corp., 2.45%, 12/14/2031 | 2,369,000 | 1,949,499 | ||
| SYSCO Corp., 4.45%, 3/15/2048 | 1,219,000 | 1,023,101 | ||
| $24,375,562 | ||||
| Gaming & Lodging – 0.3% | ||||
| GENM Capital Labuan Ltd., 3.882%, 4/19/2031 (n) | $ | 803,000 | $642,852 | |
| Marriott International, Inc., 2.85%, 4/15/2031 | 2,566,000 | 2,157,764 | ||
| Marriott International, Inc., 3.5%, 10/15/2032 | 2,052,000 | 1,768,902 | ||
| Sands China Ltd., 3.75%, 8/08/2031 | 1,670,000 | 1,342,388 | ||
| VICI Properties LP, REIT, 4.75%, 2/15/2028 | 1,316,000 | 1,252,437 | ||
| VICI Properties LP/VICI Note Co., Inc., 4.25%, 12/01/2026 (n) | 264,000 | 247,648 | ||
| $7,411,991 | ||||
| Industrial – 0.1% | ||||
| GEMS Menasa Cayman Ltd./GEMS Education Delaware LLC, 7.125%, 7/31/2026 (n) | $ | 627,000 | $606,090 | |
| Howard University, Washington D.C., AGM, 2.416%, 10/01/2024 | 230,000 | 221,688 | ||
| Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | 285,000 | 265,822 | ||
| Trustees of the University of Pennsylvania, 2.396%, 10/01/2050 | 2,127,000 | 1,376,047 | ||
| $2,469,647 | ||||
8
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Insurance – 0.3% | ||||
| AIA Group Ltd., 5.625%, 10/25/2027 (n) | $ | 896,000 | $928,402 | |
| Corebridge Financial, Inc., 3.9%, 4/05/2032 | 2,080,000 | 1,803,985 | ||
| Corebridge Financial, Inc., 4.35%, 4/05/2042 | 2,580,000 | 2,063,267 | ||
| Equitable Holdings, Inc., 5.594%, 1/11/2033 | 2,538,000 | 2,488,219 | ||
| $7,283,873 | ||||
| Insurance - Health – 0.3% | ||||
| Centene Corp., 2.625%, 8/01/2031 | $ | 1,568,000 | $1,256,204 | |
| Humana, Inc., 4.95%, 10/01/2044 | 1,465,000 | 1,321,170 | ||
| Humana, Inc., 5.5%, 3/15/2053 | 269,000 | 263,358 | ||
| UnitedHealth Group, Inc., 5.3%, 2/15/2030 | 1,215,000 | 1,258,526 | ||
| UnitedHealth Group, Inc., 2.3%, 5/15/2031 | 1,986,000 | 1,694,801 | ||
| UnitedHealth Group, Inc., 4.625%, 7/15/2035 | 444,000 | 435,581 | ||
| UnitedHealth Group, Inc., 5.875%, 2/15/2053 | 971,000 | 1,061,695 | ||
| $7,291,335 | ||||
| Insurance - Property & Casualty – 0.3% | ||||
| American International Group, Inc., 5.125%, 3/27/2033 | $ | 1,615,000 | $1,582,465 | |
| Aon Corp./Aon Global Holdings PLC, 2.05%, 8/23/2031 | 3,843,000 | 3,095,390 | ||
| Aon Corp./Aon Global Holdings PLC, 2.6%, 12/02/2031 | 187,000 | 154,966 | ||
| Fairfax Financial Holdings Ltd., 3.375%, 3/03/2031 | 632,000 | 534,723 | ||
| Fairfax Financial Holdings Ltd., 5.625%, 8/16/2032 | 1,589,000 | 1,555,375 | ||
| RenaissanceRe Holdings Ltd., 5.75%, 6/05/2033 | 1,274,000 | 1,270,267 | ||
| $8,193,186 | ||||
| International Market Quasi-Sovereign – 0.1% | ||||
| Electricite de France S.A., 5.7%, 5/23/2028 (n) | $ | 554,000 | $558,834 | |
| Ontario Teachers' Cadillac Fairview Properties, 2.5%, 10/15/2031 (n) | 1,158,000 | 915,178 | ||
| $1,474,012 | ||||
| International Market Sovereign – 0.2% | ||||
| Government of Bermuda, 5%, 7/15/2032 (n) | $ | 3,115,000 | $3,060,750 | |
| Government of Bermuda, 3.375%, 8/20/2050 (n) | 2,322,000 | 1,601,600 | ||
| $4,662,350 | ||||
| Machinery & Tools – 0.2% | ||||
| Ashtead Capital, Inc., 4.375%, 8/15/2027 (n) | $ | 208,000 | $195,961 | |
| Ashtead Capital, Inc., 5.55%, 5/30/2033 (n) | 1,339,000 | 1,297,091 | ||
| CNH Industrial N.V., 3.85%, 11/15/2027 | 3,018,000 | 2,856,221 | ||
| $4,349,273 | ||||
| Major Banks – 3.3% | ||||
| Australia and New Zealand Banking Group Ltd., 2.57% to 11/25/2030, FLR (CMT - 5yr. + 1.7%) to 11/25/2035 (n) | $ | 2,249,000 | $1,712,989 | |
| Banco Mercantil del Norte S.A., 6.625% to 1/24/2032, FLR (CMT - 10yr. + 5.034%) to 1/24/2171 | 1,055,000 | 838,198 | ||
| Bank of America Corp., 3.366% to 1/23/2025, FLR (LIBOR - 3mo. + 0.81%) to 1/23/2026 | 3,238,000 | 3,110,864 | ||
| Bank of America Corp., 3.419% to 12/20/2027, FLR (LIBOR - 3mo. + 1.04%) to 12/20/2028 | 3,227,000 | 2,967,524 | ||
| Bank of America Corp., 2.496% to 2/13/2030, FLR (LIBOR - 3mo. + 0.99%) to 2/13/2031 | 505,000 | 423,151 | ||
| Bank of America Corp., 2.687% to 4/22/2031, FLR (SOFR - 1 day + 1.32%) to 4/22/2032 | 2,851,000 | 2,356,033 | ||
| Bank of New York Mellon Corp., 5.802% to 10/25/2027, FLR (SOFR - 1 day + 1.802%) to 10/25/2028 | 598,000 | 616,304 | ||
| Bank of New York Mellon Corp., 5.834% to 10/25/2032, FLR (SOFR - 1 day + 2.074%) to 10/25/2033 | 582,000 | 611,898 | ||
| Barclays PLC, 2.894% to 11/24/2031, FLR (CMT - 1yr. + 1.3%) to 11/24/2032 | 3,578,000 | 2,826,085 | ||
| Commonwealth Bank of Australia, 3.61% to 9/12/2029, FLR (CMT - 1yr. + 2.05%) to 9/12/2034 (n) | 1,818,000 | 1,545,679 | ||
| Commonwealth Bank of Australia, 3.305%, 3/11/2041 (n) | 2,351,000 | 1,627,378 | ||
| Credit Agricole S.A., 1.247% to 1/26/2026, FLR (SOFR - 1 day + 0.89162%) to 1/26/2027 (n) | 3,272,000 | 2,910,101 | ||
| Goldman Sachs Group, Inc., 2.64% to 2/24/2027, FLR (SOFR - 1 day + 1.114%) to 2/24/2028 | 3,267,000 | 2,961,913 | ||
| HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR - 1 day + 1.929%) to 6/04/2026 | 3,837,000 | 3,565,093 | ||
| HSBC Holdings PLC, 2.357% to 8/18/2030, FLR (SOFR - 1 day + 1.947%) to 8/18/2031 | 3,604,000 | 2,900,143 | ||
| JPMorgan Chase & Co., 3.782% to 2/01/2027, FLR (LIBOR - 3mo. + 1.337%) to 2/01/2028 | 2,435,000 | 2,315,660 | ||
| JPMorgan Chase & Co., 2.545% to 11/08/2031, FLR (SOFR - 1 day + 1.18%) to 11/08/2032 | 3,984,000 | 3,265,502 | ||
9
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Major Banks – continued | ||||
| JPMorgan Chase & Co., 3.109% to 4/22/2040, FLR (SOFR - 1 day + 2.46%) to 4/22/2041 | $ | 2,419,000 | $1,806,230 | |
| Kasikornbank PLC (Hong Kong Branch), 3.343% to 10/02/2026, FLR (CMT - 5yr. + 1.7%) to 10/02/2031 | 940,000 | 830,799 | ||
| Mitsubishi UFJ Financial Group, Inc., 1.64% to 10/13/2026, FLR (CMT - 1yr. + 0.67%) to 10/13/2027 | 2,438,000 | 2,149,582 | ||
| Mitsubishi UFJ Financial Group, Inc., 2.494% to 10/13/2031, FLR (CMT - 1yr. + 0.97%) to 10/13/2032 | 6,270,000 | 5,065,374 | ||
| Morgan Stanley, 3.125%, 7/27/2026 | 4,414,000 | 4,163,057 | ||
| Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR - 1 day + 3.12%) to 4/01/2031 | 2,960,000 | 2,675,424 | ||
| Morgan Stanley, 2.484% to 9/16/2031, FLR (SOFR - 1 day + 1.36%) to 9/16/2036 | 1,478,000 | 1,115,540 | ||
| National Australia Bank Ltd., 3.347% to 1/12/2032, FLR (CMT - 5yr. + 1.7%) to 1/12/2037 (n) | 2,091,000 | 1,647,166 | ||
| NatWest Group PLC, 5.847% to 3/02/2026, FLR (CMT - 1yr. + 1.35%) to 3/02/2027 | 956,000 | 958,602 | ||
| NatWest Group PLC, 6.016% to 3/02/2033, FLR (CMT - 1yr. + 2.1%) to 3/02/2034 | 250,000 | 255,022 | ||
| Nordea Bank Abp, 1.5%, 9/30/2026 (n) | 3,606,000 | 3,187,058 | ||
| Oversea-Chinese Banking Corp. Ltd., 1.832% to 9/10/2025, FLR (CMT - 1yr. + 1.58%) to 9/10/2030 (n) | 723,000 | 661,704 | ||
| Oversea-Chinese Banking Corp. Ltd., 4.602%, 6/15/2032 | 671,000 | 653,715 | ||
| Royal Bank of Canada, 2.3%, 11/03/2031 | 4,776,000 | 3,879,279 | ||
| Sumitomo Mitsui Financial Group, Inc., 1.71%, 1/12/2031 | 2,461,000 | 1,923,531 | ||
| Sumitomo Mitsui Trust Bank Ltd., 5.65%, 3/09/2026 (n) | 1,964,000 | 1,986,177 | ||
| Toronto-Dominion Bank, 4.108%, 6/08/2027 | 1,725,000 | 1,660,451 | ||
| Toronto-Dominion Bank, 4.693%, 9/15/2027 | 1,665,000 | 1,634,375 | ||
| Toronto-Dominion Bank, 2%, 9/10/2031 | 1,949,000 | 1,541,931 | ||
| Toronto-Dominion Bank, 4.456%, 6/08/2032 | 379,000 | 358,308 | ||
| UBS Group AG, 3.179% to 2/11/2042, FLR (CMT - 1yr. + 1.1%) to 2/11/2043 (n) | 2,859,000 | 1,996,363 | ||
| UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n) | 1,750,000 | 1,581,927 | ||
| UniCredit S.p.A., 1.982% to 6/03/2026, FLR (CMT - 1yr. + 1.2%) to 6/03/2027 (n) | 282,000 | 249,442 | ||
| Wells Fargo & Co., 4.54% to 8/15/2025, FLR (SOFR - 1 day + 1.56%) to 8/15/2026 | 1,269,000 | 1,247,350 | ||
| Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033 | 2,462,000 | 2,114,800 | ||
| $81,897,722 | ||||
| Medical & Health Technology & Services – 0.6% | ||||
| Alcon Finance Corp., 2.6%, 5/27/2030 (n) | $ | 1,260,000 | $1,081,795 | |
| Alcon, Inc., 2.75%, 9/23/2026 (n) | 1,818,000 | 1,688,745 | ||
| Becton, Dickinson and Co., 2.823%, 5/20/2030 | 1,871,000 | 1,641,635 | ||
| Becton, Dickinson and Co., 4.298%, 8/22/2032 | 3,123,000 | 2,969,110 | ||
| CVS Health Corp., 5%, 2/20/2026 | 1,211,000 | 1,212,428 | ||
| CVS Health Corp., 5.25%, 1/30/2031 (w) | 543,000 | 545,060 | ||
| CVS Health Corp., 5.625%, 2/21/2053 | 1,246,000 | 1,215,063 | ||
| HCA, Inc., 5.2%, 6/01/2028 | 1,003,000 | 996,798 | ||
| HCA, Inc., 5.875%, 2/01/2029 | 810,000 | 823,129 | ||
| Marin General Hospital, 7.242%, 8/01/2045 | 839,000 | 839,831 | ||
| ProMedica Toledo Hospital, “B”, AGM, 5.325%, 11/15/2028 | 1,721,000 | 1,704,859 | ||
| Thermo Fisher Scientific, Inc., 2%, 10/15/2031 | 497,000 | 405,721 | ||
| Thermo Fisher Scientific, Inc., 2.8%, 10/15/2041 | 832,000 | 613,843 | ||
| $15,738,017 | ||||
| Medical Equipment – 0.1% | ||||
| Danaher Corp., 2.6%, 10/01/2050 | $ | 4,299,000 | $2,820,367 | |
| Metals & Mining – 0.4% | ||||
| Anglo American Capital PLC, 4.5%, 3/15/2028 (n) | $ | 1,578,000 | $1,506,829 | |
| Anglo American Capital PLC, 2.875%, 3/17/2031 (n) | 1,479,000 | 1,228,544 | ||
| Antofagasta PLC, 5.625%, 5/13/2032 (n) | 1,059,000 | 1,040,303 | ||
| Ero Copper Corp., 6.5%, 2/15/2030 (n) | 341,000 | 294,965 | ||
| First Quantum Minerals Ltd., 8.625%, 6/01/2031 (n) | 1,185,000 | 1,168,706 | ||
| Glencore Funding LLC, 2.85%, 4/27/2031 (n) | 1,809,000 | 1,486,779 | ||
| Petra Diamonds US$ Treasury PLC, 10.5% (10.5% PIK/9.75% Cash to 6/30/2023), 9.75% Cash to 3/08/2026 (n)(p) | 1,694,753 | 1,592,831 | ||
| Prumo Participacoes e Investimentos S.A., 7.5%, 12/31/2031 | 770,268 | 712,430 | ||
| $9,031,387 | ||||
10
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Midstream – 1.0% | ||||
| Cheniere Corpus Christi Holdings LLC, 3.7%, 11/15/2029 | $ | 822,000 | $749,519 | |
| Enbridge, Inc., 5.969%, 3/08/2026 | 861,000 | 864,431 | ||
| Enbridge, Inc., 5.7%, 3/08/2033 | 1,199,000 | 1,219,277 | ||
| Enbridge, Inc., 3.4%, 8/01/2051 | 1,735,000 | 1,171,768 | ||
| Energy Transfer LP, 4%, 10/01/2027 | 893,000 | 844,175 | ||
| Energy Transfer LP, 3.75%, 5/15/2030 | 888,000 | 804,274 | ||
| Energy Transfer Partners LP, 5.15%, 3/15/2045 | 1,428,000 | 1,198,599 | ||
| Galaxy Pipeline Assets Bidco Ltd., 1.75%, 9/30/2027 (n) | 2,093,292 | 1,937,140 | ||
| Galaxy Pipeline Assets Bidco Ltd., 2.625%, 3/31/2036 (n) | 1,010,000 | 819,099 | ||
| Galaxy Pipeline Assets Bidco Ltd., 2.94%, 9/30/2040 (n) | 1,689,783 | 1,361,481 | ||
| Galaxy Pipeline Assets Bidco Ltd., 3.25%, 9/30/2040 (n) | 1,589,000 | 1,239,468 | ||
| Peru LNG, 5.375%, 3/22/2030 | 1,254,000 | 997,762 | ||
| Plains All American Pipeline LP/PAA Finance Corp., 4.65%, 10/15/2025 | 414,000 | 407,004 | ||
| Plains All American Pipeline LP/PAA Finance Corp., 3.55%, 12/15/2029 | 1,827,000 | 1,616,340 | ||
| Plains All American Pipeline LP/PAA Finance Corp., 4.3%, 1/31/2043 | 1,810,000 | 1,323,647 | ||
| Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 | 3,055,000 | 2,910,332 | ||
| Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | 1,798,000 | 1,700,062 | ||
| Targa Resources Corp., 4.2%, 2/01/2033 | 2,118,000 | 1,869,351 | ||
| Targa Resources Corp., 4.95%, 4/15/2052 | 2,512,000 | 1,995,703 | ||
| $25,029,432 | ||||
| Mortgage-Backed – 7.3% | ||||
| Fannie Mae, 5%, 7/01/2023 - 3/01/2042 | $ | 2,628,867 | $2,651,143 | |
| Fannie Mae, 4.5%, 5/01/2025 - 11/01/2042 | 1,339,190 | 1,331,807 | ||
| Fannie Mae, 3%, 11/01/2028 - 9/01/2046 | 6,483,328 | 6,088,490 | ||
| Fannie Mae, 2.5%, 11/01/2031 - 10/01/2046 | 556,821 | 493,516 | ||
| Fannie Mae, 3.5%, 12/25/2031 - 2/25/2036 (i) | 454,597 | 41,985 | ||
| Fannie Mae, 6.5%, 1/01/2033 - 10/01/2037 | 38,481 | 39,562 | ||
| Fannie Mae, 3%, 2/25/2033 (i) | 605,640 | 53,715 | ||
| Fannie Mae, 5.5%, 5/01/2033 - 5/01/2044 | 2,465,811 | 2,535,903 | ||
| Fannie Mae, 6%, 8/01/2034 - 6/01/2038 | 128,291 | 131,857 | ||
| Fannie Mae, 3.5%, 4/25/2040 - 12/01/2047 | 2,234,160 | 2,104,595 | ||
| Fannie Mae, 4%, 9/01/2040 - 7/01/2043 | 3,569,266 | 3,449,659 | ||
| Fannie Mae, 2%, 10/25/2040 - 5/25/2044 | 97,026 | 93,708 | ||
| Fannie Mae, UMBS, 2.5%, 8/01/2036 - 3/01/2052 | 23,007,949 | 19,931,728 | ||
| Fannie Mae, UMBS, 2%, 5/01/2037 - 9/01/2052 | 21,609,468 | 18,134,436 | ||
| Fannie Mae, UMBS, 1.5%, 2/01/2042 - 9/01/2051 | 2,097,135 | 1,635,812 | ||
| Fannie Mae, UMBS, 5.5%, 5/01/2044 - 11/01/2052 | 1,383,504 | 1,397,176 | ||
| Fannie Mae, UMBS, 3.5%, 5/01/2049 - 7/01/2052 | 766,157 | 715,908 | ||
| Fannie Mae, UMBS, 3%, 7/01/2050 - 3/01/2052 | 4,921,642 | 4,379,367 | ||
| Fannie Mae, UMBS, 4%, 5/01/2052 - 9/01/2052 | 1,969,893 | 1,864,511 | ||
| Fannie Mae, UMBS, 4.5%, 7/01/2052 - 9/01/2052 | 452,160 | 441,242 | ||
| Fannie Mae, UMBS, 5%, 8/01/2052 - 9/01/2052 | 2,407,707 | 2,373,445 | ||
| Fannie Mae, UMBS, 6%, 2/01/2053 | 291,705 | 305,685 | ||
| Freddie Mac, 0.904%, 4/25/2024 (i) | 13,925,469 | 75,677 | ||
| Freddie Mac, 0.598%, 7/25/2024 (i) | 20,160,923 | 91,696 | ||
| Freddie Mac, 4.5%, 9/01/2024 - 5/01/2042 | 1,834,226 | 1,813,995 | ||
| Freddie Mac, 4%, 7/01/2025 - 4/01/2044 | 1,225,328 | 1,184,571 | ||
| Freddie Mac, 3.5%, 1/15/2027 - 10/25/2058 | 3,762,160 | 3,517,871 | ||
| Freddie Mac, 1.367%, 3/25/2027 (i) | 2,188,000 | 100,090 | ||
| Freddie Mac, 0.572%, 7/25/2027 (i) | 44,405,831 | 881,185 | ||
| Freddie Mac, 0.422%, 8/25/2027 (i) | 33,487,477 | 514,173 | ||
| Freddie Mac, 0.293%, 1/25/2028 (i) | 60,337,345 | 769,766 | ||
| Freddie Mac, 0.304%, 1/25/2028 (i) | 25,951,748 | 341,177 | ||
| Freddie Mac, 0.135%, 2/25/2028 (i) | 77,622,266 | 517,958 | ||
| Freddie Mac, 2.5%, 3/15/2028 | 44,311 | 44,055 | ||
| Freddie Mac, 0.12%, 4/25/2028 (i) | 50,140,670 | 319,687 | ||
| Freddie Mac, 3%, 6/15/2028 - 10/01/2046 | 3,601,050 | 3,297,660 | ||
| Freddie Mac, 1.091%, 7/25/2029 (i) | 8,080,569 | 440,667 | ||
11
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Mortgage-Backed – continued | ||||
| Freddie Mac, 1.143%, 8/25/2029 (i) | $ | 14,155,874 | $813,163 | |
| Freddie Mac, 1.799%, 4/25/2030 (i) | 3,344,437 | 345,662 | ||
| Freddie Mac, 1.868%, 4/25/2030 (i) | 8,166,315 | 853,764 | ||
| Freddie Mac, 1.665%, 5/25/2030 (i) | 4,373,949 | 420,603 | ||
| Freddie Mac, 1.798%, 5/25/2030 (i) | 9,928,903 | 1,027,147 | ||
| Freddie Mac, 5.5%, 6/01/2030 - 9/01/2041 | 825,171 | 850,991 | ||
| Freddie Mac, 1.342%, 6/25/2030 (i) | 3,957,955 | 312,464 | ||
| Freddie Mac, 1.6%, 8/25/2030 (i) | 3,506,241 | 331,480 | ||
| Freddie Mac, 1.17%, 9/25/2030 (i) | 2,193,674 | 155,012 | ||
| Freddie Mac, 0.329%, 1/25/2031 (i) | 12,715,086 | 244,465 | ||
| Freddie Mac, 0.781%, 1/25/2031 (i) | 4,987,462 | 247,077 | ||
| Freddie Mac, 0.855%, 9/25/2031 (i) | 5,826,990 | 331,479 | ||
| Freddie Mac, 3.82%, 12/25/2032 | 1,600,000 | 1,531,802 | ||
| Freddie Mac, 4.35%, 1/25/2033 | 2,384,286 | 2,380,299 | ||
| Freddie Mac, 5%, 5/01/2034 - 12/01/2044 | 1,373,331 | 1,387,030 | ||
| Freddie Mac, 6%, 8/01/2034 - 10/01/2038 | 159,159 | 165,131 | ||
| Freddie Mac, 5.5%, 2/15/2036 (i) | 148,745 | 23,593 | ||
| Freddie Mac, 6.5%, 5/01/2037 | 5,922 | 6,194 | ||
| Freddie Mac, 4.5%, 12/15/2040 (i) | 44,233 | 3,741 | ||
| Freddie Mac, 3.25%, 11/25/2061 | 1,449,407 | 1,311,004 | ||
| Freddie Mac, UMBS, 2%, 4/01/2037 - 6/01/2052 | 15,747,840 | 13,203,524 | ||
| Freddie Mac, UMBS, 2.5%, 4/01/2037 - 4/01/2052 | 9,374,980 | 8,067,437 | ||
| Freddie Mac, UMBS, 3%, 3/01/2047 - 4/01/2052 | 3,415,110 | 3,062,797 | ||
| Freddie Mac, UMBS, 1.5%, 6/01/2051 - 11/01/2051 | 63,971 | 49,873 | ||
| Freddie Mac, UMBS, 3.5%, 5/01/2052 - 9/01/2052 | 4,651,655 | 4,275,525 | ||
| Freddie Mac, UMBS, 4%, 5/01/2052 - 6/01/2052 | 1,444,060 | 1,369,548 | ||
| Freddie Mac, UMBS, 6%, 10/01/2052 | 93,176 | 94,503 | ||
| Freddie Mac, UMBS, 5.5%, 12/01/2052 | 584,839 | 586,267 | ||
| Freddie Mac, UMBS, 4.5%, 1/01/2053 | 318,406 | 308,388 | ||
| Ginnie Mae, 5.5%, 5/15/2033 - 4/20/2053 | 4,502,052 | 4,504,037 | ||
| Ginnie Mae, 4.5%, 7/20/2033 - 12/20/2052 | 10,996,737 | 10,731,843 | ||
| Ginnie Mae, 5.678%, 8/20/2034 | 389,569 | 396,881 | ||
| Ginnie Mae, 4%, 5/16/2039 - 10/20/2052 | 3,959,640 | 3,780,678 | ||
| Ginnie Mae, 3.5%, 10/20/2041 (i) | 181,941 | 7,993 | ||
| Ginnie Mae, 3.5%, 12/15/2041 - 11/20/2052 | 6,050,327 | 5,665,947 | ||
| Ginnie Mae, 2.5%, 6/20/2042 - 6/20/2052 | 9,690,658 | 8,480,508 | ||
| Ginnie Mae, 4%, 8/16/2042 (i) | 277,604 | 40,424 | ||
| Ginnie Mae, 3%, 4/20/2045 - 10/20/2052 | 7,744,725 | 7,006,265 | ||
| Ginnie Mae, 5%, 5/20/2049 - 5/20/2053 | 3,850,503 | 3,804,696 | ||
| Ginnie Mae, 2%, 1/20/2052 - 3/20/2052 | 2,163,300 | 1,833,608 | ||
| Ginnie Mae, 0.586%, 2/16/2059 (i) | 1,007,195 | 33,646 | ||
| Ginnie Mae, TBA, 5.5%, 6/15/2053 | 2,775,000 | 2,773,266 | ||
| UMBS, 2.5%, 3/01/2037 | 34,289 | 31,594 | ||
| UMBS, TBA, 2.5%, 6/13/2053 | 3,250,000 | 2,778,306 | ||
| $179,735,133 | ||||
| Municipals – 0.2% | ||||
| Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B”, 2.746%, 6/01/2034 | $ | 855,000 | $705,427 | |
| Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B”, 3%, 6/01/2046 | 650,000 | 599,927 | ||
| Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.682%, 7/01/2027 | 255,000 | 234,624 | ||
| Michigan Finance Authority Tobacco Settlement Asset-Backed Rev., Taxable (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 390,762 | 373,329 | ||
| Philadelphia, PA, School District, Taxable, “A”, AGM, 5.995%, 9/01/2030 | 1,210,000 | 1,308,287 | ||
| State of Florida, Taxable, “A”, 2.154%, 7/01/2030 | 936,000 | 790,528 | ||
| West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, Taxable, “A-1”, 1.497%, 6/01/2024 | 210,000 | 200,845 | ||
| West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, Taxable, “A-1”, 1.647%, 6/01/2025 | 175,000 | 162,433 | ||
| $4,375,400 | ||||
12
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Natural Gas - Distribution – 0.0% | ||||
| NiSource, Inc., 5.65%, 2/01/2045 | $ | 295,000 | $294,828 | |
| Natural Gas - Pipeline – 0.1% | ||||
| APA Infrastructure Ltd., 5%, 3/23/2035 (n) | $ | 1,605,000 | $1,508,335 | |
| Network & Telecom – 0.1% | ||||
| AT&T, Inc., 2.75%, 6/01/2031 | $ | 775,000 | $655,509 | |
| AT&T, Inc., 3.55%, 9/15/2055 | 633,000 | 435,492 | ||
| Total Play Telecomunicaciones S.A. de C.V., 6.375%, 9/20/2028 (n) | 1,574,000 | 931,910 | ||
| $2,022,911 | ||||
| Oil Services – 0.0% | ||||
| Acu Petroleo Luxembourg S.à r.l., 7.5%, 1/13/2032 (n) | $ | 625,150 | $537,441 | |
| Oils – 0.0% | ||||
| Puma International Financing S.A., 5%, 1/24/2026 | $ | 650,000 | $594,714 | |
| Other Banks & Diversified Financials – 0.6% | ||||
| American Express Co., 4.989% to 5/26/2032, FLR (SOFR - 1 day + 2.255%) to 5/26/2033 | $ | 1,296,000 | $1,255,052 | |
| Banco Continental S.A.E.C.A., 2.75%, 12/10/2025 (n) | 1,239,000 | 1,122,844 | ||
| Banco GNB Sudameris S.A., 7.5% to 4/16/2026, FLR (CMT - 5yr. + 6.66%) to 4/16/2031 (n) | 1,456,000 | 1,083,726 | ||
| Banco Industrial S.A., 4.875% to 1/29/2026, FLR (CMT - 5yr. + 4.442%) to 1/29/2031 (n) | 1,050,000 | 982,275 | ||
| Bangkok Bank Public Co. Ltd., 3.466% to 9/23/2031, FLR (CMT - 5yr. + 2.15%) to 9/23/2036 (n) | 1,185,000 | 959,368 | ||
| Bangkok Bank Public Co. Ltd. (Hong Kong), 3.733% to 9/25/2029, FLR (CMT - 5yr. + 1.9%) to 9/25/2034 | 1,004,000 | 850,990 | ||
| BSF Finance, 5.5%, 11/23/2027 | 800,000 | 814,896 | ||
| Manufacturers and Traders Trust Co., 4.7%, 1/27/2028 | 1,246,000 | 1,165,966 | ||
| Mizrahi Tefahot Bank Ltd., 3.077% to 4/07/2026, FLR (CMT - 5yr. + 2.25%) to 4/07/2031 (n) | 1,218,000 | 1,058,418 | ||
| United Overseas Bank Ltd., 2% to 10/14/2026, FLR (CMT - 5yr. + 1.23%) to 10/14/2031 (n) | 1,677,000 | 1,485,640 | ||
| United Overseas Bank Ltd., 3.863% to 10/07/2027, FLR (CMT - 5yr. + 1.45%) to 10/07/2032 (n) | 934,000 | 883,075 | ||
| Uzbek Industrial and Construction Bank, 5.75%, 12/02/2024 | 3,783,000 | 3,518,190 | ||
| $15,180,440 | ||||
| Pharmaceuticals – 0.2% | ||||
| Amgen, Inc., 5.15%, 3/02/2028 | $ | 638,000 | $643,277 | |
| Amgen, Inc., 5.25%, 3/02/2030 | 601,000 | 605,665 | ||
| AstraZeneca PLC, 1.375%, 8/06/2030 | 913,000 | 738,721 | ||
| Merck & Co., Inc., 2.75%, 12/10/2051 | 826,000 | 562,980 | ||
| Pfizer Investment Enterprises Pte. Ltd., 4.75%, 5/19/2033 | 1,770,000 | 1,777,099 | ||
| Pfizer, Inc., 2.55%, 5/28/2040 | 826,000 | 599,608 | ||
| Teva Pharmaceutical Finance Netherlands III B.V., 7.875%, 9/15/2029 | 636,000 | 652,518 | ||
| Teva Pharmaceutical Finance Netherlands III B.V., 8.125%, 9/15/2031 | 424,000 | 440,255 | ||
| $6,020,123 | ||||
| Pollution Control – 0.1% | ||||
| Waste Connections, Inc., 4.2%, 1/15/2033 | $ | 1,072,000 | $1,010,965 | |
| Waste Management, Inc., 4.625%, 2/15/2033 | 1,806,000 | 1,784,891 | ||
| $2,795,856 | ||||
| Precious Metals & Minerals – 0.1% | ||||
| Northern Star Resources Ltd. Co., 6.125%, 4/11/2033 (n) | $ | 2,052,000 | $2,009,109 | |
| Railroad & Shipping – 0.0% | ||||
| Canadian Pacific Railway Co., 3.1%, 12/02/2051 | $ | 1,167,000 | $808,332 | |
| Real Estate - Apartment – 0.0% | ||||
| American Homes 4 Rent LP, REIT, 2.375%, 7/15/2031 | $ | 1,118,000 | $887,231 | |
13
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Real Estate - Office – 0.1% | ||||
| Corporate Office Property LP, REIT, 2%, 1/15/2029 | $ | 2,124,000 | $1,628,280 | |
| Corporate Office Property LP, REIT, 2.75%, 4/15/2031 | 1,544,000 | 1,151,194 | ||
| $2,779,474 | ||||
| Real Estate - Other – 0.1% | ||||
| EPR Properties, REIT, 3.6%, 11/15/2031 | $ | 741,000 | $566,307 | |
| Lexington Realty Trust Co., 2.7%, 9/15/2030 | 1,082,000 | 867,593 | ||
| Lexington Realty Trust Co., 2.375%, 10/01/2031 | 474,000 | 359,987 | ||
| W.P. Carey, Inc., REIT, 2.45%, 2/01/2032 | 386,000 | 301,821 | ||
| $2,095,708 | ||||
| Real Estate - Retail – 0.1% | ||||
| STORE Capital Corp., REIT, 2.75%, 11/18/2030 | $ | 2,605,000 | $1,887,802 | |
| Retailers – 0.3% | ||||
| Alibaba Group Holding Ltd., 3.15%, 2/09/2051 | $ | 1,582,000 | $1,024,049 | |
| Alimentation Couche-Tard, Inc., 3.8%, 1/25/2050 (n) | 936,000 | 666,465 | ||
| Amazon.com, Inc., 3.6%, 4/13/2032 | 1,488,000 | 1,395,794 | ||
| AutoZone, Inc., 4.75%, 8/01/2032 | 1,156,000 | 1,125,460 | ||
| Grupo Axo S.A.P.I. de C.V., 5.75%, 6/08/2026 (n) | 1,154,000 | 1,017,227 | ||
| Home Depot, Inc., 3.9%, 6/15/2047 | 1,446,000 | 1,208,281 | ||
| $6,437,276 | ||||
| Specialty Chemicals – 0.1% | ||||
| International Flavors & Fragrances, Inc., 1.23%, 10/01/2025 (n) | $ | 801,000 | $714,383 | |
| International Flavors & Fragrances, Inc., 1.832%, 10/15/2027 (n) | 417,000 | 352,500 | ||
| International Flavors & Fragrances, Inc., 2.3%, 11/01/2030 (n) | 762,000 | 604,961 | ||
| International Flavors & Fragrances, Inc., 3.268%, 11/15/2040 (n) | 1,208,000 | 833,792 | ||
| $2,505,636 | ||||
| Specialty Stores – 0.1% | ||||
| DICK'S Sporting Goods, 3.15%, 1/15/2032 | $ | 910,000 | $736,113 | |
| DICK'S Sporting Goods, 4.1%, 1/15/2052 | 1,181,000 | 787,144 | ||
| $1,523,257 | ||||
| Telecommunications - Wireless – 0.7% | ||||
| Crown Castle, Inc., REIT, 4.45%, 2/15/2026 | $ | 1,267,000 | $1,244,547 | |
| Crown Castle, Inc., REIT, 3.7%, 6/15/2026 | 2,254,000 | 2,159,632 | ||
| Millicom International Cellular S.A., 4.5%, 4/27/2031 (n) | 737,000 | 551,991 | ||
| Rogers Communications, Inc., 3.8%, 3/15/2032 (n) | 764,000 | 675,166 | ||
| Rogers Communications, Inc., 4.5%, 3/15/2042 (n) | 2,401,000 | 1,989,303 | ||
| Rogers Communications, Inc., 3.7%, 11/15/2049 | 1,709,000 | 1,200,711 | ||
| Sitios Latinoamerica, S.A.B. de C.V., 5.375%, 4/04/2032 | 879,000 | 788,374 | ||
| Telefonica Celular del Paraguay S.A., 5.875%, 4/15/2027 | 1,203,000 | 1,107,819 | ||
| T-Mobile USA, Inc., 3.5%, 4/15/2025 | 2,182,000 | 2,115,796 | ||
| T-Mobile USA, Inc., 2.05%, 2/15/2028 | 1,390,000 | 1,211,685 | ||
| T-Mobile USA, Inc., 5.05%, 7/15/2033 | 1,507,000 | 1,485,961 | ||
| VEON Holdings B.V., 4%, 4/09/2025 (n) | 1,444,000 | 1,220,180 | ||
| Vodafone Group PLC, 5.625%, 2/10/2053 | 1,305,000 | 1,246,250 | ||
| $16,997,415 | ||||
| Tobacco – 0.1% | ||||
| Philip Morris International, Inc., 5.625%, 11/17/2029 | $ | 605,000 | $619,843 | |
| Philip Morris International, Inc., 5.125%, 2/15/2030 | 1,467,000 | 1,451,857 | ||
| $2,071,700 | ||||
14
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Transportation - Services – 0.3% | ||||
| Adani Ports & Special Economic Zone Ltd., 5%, 8/02/2041 (n) | $ | 1,694,000 | $1,126,849 | |
| Cliffton Ltd., 6.25%, 10/25/2025 (n) | 2,561,000 | 2,439,352 | ||
| ERAC USA Finance LLC, 3.3%, 12/01/2026 | 2,463,000 | 2,316,608 | ||
| ICTSI Treasury B.V., 3.5%, 11/16/2031 | 1,309,000 | 1,094,184 | ||
| Royal Capital B.V., 5% to 5/05/2026, FLR (CMT - 5yr. + 7.396%) to 7/31/2070 | 390,000 | 376,350 | ||
| $7,353,343 | ||||
| U.S. Government Agencies and Equivalents – 0.0% | ||||
| Small Business Administration, 5.16%, 2/01/2028 | $ | 14,560 | $14,143 | |
| Small Business Administration, 2.21%, 2/01/2033 | 87,239 | 79,554 | ||
| Small Business Administration, 2.22%, 3/01/2033 | 143,424 | 130,598 | ||
| Small Business Administration, 3.15%, 7/01/2033 | 178,087 | 168,181 | ||
| Small Business Administration, 3.16%, 8/01/2033 | 213,829 | 202,867 | ||
| Small Business Administration, 3.62%, 9/01/2033 | 158,712 | 152,189 | ||
| $747,532 | ||||
| U.S. Treasury Obligations – 6.1% | ||||
| U.S. Treasury Bill, 0%, 8/01/2023 | $ | 3,811,000 | $3,778,099 | |
| U.S. Treasury Bonds, 6.375%, 8/15/2027 | 106,000 | 116,120 | ||
| U.S. Treasury Bonds, 5.25%, 2/15/2029 | 2,965,000 | 3,180,426 | ||
| U.S. Treasury Bonds, 1.375%, 11/15/2040 | 3,948,000 | 2,646,856 | ||
| U.S. Treasury Bonds, 2.375%, 2/15/2042 | 10,173,000 | 7,956,399 | ||
| U.S. Treasury Bonds, 2.875%, 5/15/2043 | 6,853,400 | 5,768,368 | ||
| U.S. Treasury Bonds, 2.5%, 2/15/2046 | 3,581,000 | 2,765,064 | ||
| U.S. Treasury Bonds, 2.875%, 11/15/2046 (f) | 7,328,000 | 6,059,054 | ||
| U.S. Treasury Bonds, 2.875%, 5/15/2052 | 1,749,000 | 1,448,254 | ||
| U.S. Treasury Notes, 0.125%, 7/15/2023 | 2,180,000 | 2,165,851 | ||
| U.S. Treasury Notes, 2.5%, 8/15/2023 | 7,225,000 | 7,181,836 | ||
| U.S. Treasury Notes, 0.375%, 10/31/2023 | 11,653,300 | 11,414,771 | ||
| U.S. Treasury Notes, 0.875%, 1/31/2024 | 3,568,600 | 3,465,863 | ||
| U.S. Treasury Notes, 2.75%, 2/15/2024 | 7,855,000 | 7,716,003 | ||
| U.S. Treasury Notes, 2.25%, 3/31/2024 | 17,244,000 | 16,823,004 | ||
| U.S. Treasury Notes, 4.25%, 12/31/2024 | 1,025,000 | 1,017,513 | ||
| U.S. Treasury Notes, 3.875%, 3/31/2025 | 2,344,000 | 2,316,897 | ||
| U.S. Treasury Notes, 2.625%, 4/15/2025 | 1,925,000 | 1,860,482 | ||
| U.S. Treasury Notes, 0.875%, 9/30/2026 | 5,600,000 | 5,063,844 | ||
| U.S. Treasury Notes, 2.25%, 8/15/2027 | 8,936,000 | 8,377,849 | ||
| U.S. Treasury Notes, 3.625%, 3/31/2028 | 11,275,000 | 11,188,676 | ||
| U.S. Treasury Notes, 2.375%, 5/15/2029 | 8,149,500 | 7,548,793 | ||
| U.S. Treasury Notes, 3.875%, 9/30/2029 | 4,658,000 | 4,688,568 | ||
| U.S. Treasury Notes, 1.625%, 5/15/2031 | 4,940,000 | 4,259,592 | ||
| U.S. Treasury Notes, 1.875%, 2/15/2032 | 7,500,000 | 6,517,969 | ||
| U.S. Treasury Notes, 2.75%, 8/15/2032 | 14,707,000 | 13,675,786 | ||
| U.S. Treasury Notes, 3.25%, 5/15/2042 | 1,714,000 | 1,539,453 | ||
| $150,541,390 | ||||
| Utilities - Electric Power – 2.3% | ||||
| Adani Green Energy (UP) Ltd./Prayatna Developers Private Ltd., 6.25%, 12/10/2024 (n) | $ | 1,238,000 | $1,190,028 | |
| Adani Transmission Ltd., 4.25%, 5/21/2036 (n) | 2,546,875 | 1,958,686 | ||
| AEP Transmission Co. LLC, 5.4%, 3/15/2053 | 558,000 | 567,297 | ||
| AES Gener S.A., 7.125% to 7/06/2024, FLR (Swap Rate - 5yr. + 4.644%) to 7/06/2029, FLR (Swap Rate - 5yr. + 4.894%) to 7/06/2044, FLR (Swap Rate - 5yr. + 5.644%) to 3/26/2079 | 1,018,000 | 960,391 | ||
| AES Gener S.A., 6.35% to 4/07/2025, FLR (CMT - 5yr. + 4.917%) to 4/07/2030, FLR (CMT - 5yr. + 5.167%) to 4/07/2045, FLR (CMT - 5yr. + 5.917%) to 10/07/2079 (n) | 1,885,000 | 1,734,897 | ||
| AES Panama Generation Holdings SRL, 4.375%, 5/31/2030 (n) | 675,000 | 589,309 | ||
| Alabama Power Co., 3.45%, 10/01/2049 | 2,366,000 | 1,727,269 | ||
| Alfa Desarrollo S.p.A., 4.55%, 9/27/2051 (n) | 1,025,917 | 742,251 | ||
| American Electric Power Co., Inc., 5.699%, 8/15/2025 (w) | 763,000 | 697,344 | ||
| American Electric Power Co., Inc., 2.3%, 3/01/2030 | 1,879,000 | 1,567,475 | ||
15
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Utilities - Electric Power – continued | ||||
| American Electric Power Co., Inc., 5.625%, 3/01/2033 | $ | 668,000 | $681,350 | |
| American Transmission Systems, Inc., 2.65%, 1/15/2032 (n) | 305,000 | 253,027 | ||
| Azure Power Energy Ltd., 3.575%, 8/19/2026 (n) | 1,054,328 | 804,768 | ||
| CenterPoint Energy, Inc., 2.65%, 6/01/2031 | 936,000 | 785,225 | ||
| Clean Renewable Power (Mauritius) Pte. Ltd., 4.25%, 3/25/2027 (n) | 1,436,850 | 1,241,276 | ||
| Duke Energy Carolinas LLC, 2.85%, 3/15/2032 | 3,193,000 | 2,734,209 | ||
| Duke Energy Corp., 3.3%, 6/15/2041 | 2,162,000 | 1,586,683 | ||
| Electricidad Firme de Mexico, 4.9%, 11/20/2026 (n) | 967,000 | 855,795 | ||
| Empresa Generadora de Electricidad Haina S.A., 5.625%, 11/08/2028 (n) | 1,095,000 | 996,450 | ||
| Enel Finance International N.V., 4.625%, 6/15/2027 (n) | 1,080,000 | 1,054,784 | ||
| Enel Finance International N.V., 2.25%, 7/12/2031 (n) | 1,318,000 | 1,030,256 | ||
| Enel Finance International N.V., 7.75%, 10/14/2052 (n) | 1,023,000 | 1,175,458 | ||
| Energuate Trust, 5.875%, 5/03/2027 | 1,002,000 | 932,912 | ||
| EnfraGen Energia Sur S.A., 5.375%, 12/30/2030 (n) | 1,426,000 | 914,253 | ||
| Evergy, Inc., 2.9%, 9/15/2029 | 2,074,000 | 1,831,599 | ||
| FirstEnergy Corp., 2.65%, 3/01/2030 | 1,863,000 | 1,581,221 | ||
| Florida Power & Light Co., 2.85%, 4/01/2025 | 850,000 | 821,011 | ||
| Florida Power & Light Co., 4.45%, 5/15/2026 | 695,000 | 691,104 | ||
| Florida Power & Light Co., 3.95%, 3/01/2048 | 1,629,000 | 1,357,563 | ||
| Georgia Power Co., 4.7%, 5/15/2032 | 2,379,000 | 2,314,797 | ||
| Georgia Power Co., 5.125%, 5/15/2052 | 1,101,000 | 1,053,299 | ||
| Greenko Dutch B.V. (Republic of India), 3.85%, 3/29/2026 (n) | 1,121,420 | 989,653 | ||
| Greenko Power II Ltd. (Republic of India), 4.3%, 12/13/2028 (n) | 955,000 | 812,468 | ||
| Greenko Wind Projects (Mauritius) Ltd., 5.5%, 4/06/2025 (n) | 1,322,000 | 1,251,859 | ||
| Investment Energy Resources Ltd., 6.25%, 4/26/2029 (n) | 605,000 | 564,768 | ||
| Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | 2,404,000 | 1,998,488 | ||
| Mercury Chile Holdco LLC, 6.5%, 1/24/2027 (n) | 1,039,000 | 948,088 | ||
| NextEra Energy Capital Holdings, Inc., 6.051%, 3/01/2025 | 848,000 | 857,377 | ||
| NextEra Energy Capital Holdings, Inc., 2.44%, 1/15/2032 | 1,197,000 | 973,710 | ||
| NextEra Energy Capital Holdings, Inc., 3.8% to 3/15/2027, FLR (CMT - 5yr. + 2.547%) to 3/15/2082 | 1,173,000 | 974,499 | ||
| Pacific Gas & Electric Co., 3.25%, 2/16/2024 | 654,000 | 640,740 | ||
| Pacific Gas & Electric Co., 2.5%, 2/01/2031 | 1,645,000 | 1,296,479 | ||
| ReNew Wind Energy AP2/ReNew Power Private Ltd., 4.5%, 7/14/2028 (n) | 1,249,000 | 1,044,107 | ||
| Southern California Edison Co., 4.5%, 9/01/2040 | 454,000 | 392,420 | ||
| Southern California Edison Co., 3.65%, 2/01/2050 | 796,000 | 591,124 | ||
| TermoCandelaria Power Ltd., 7.875%, 1/30/2029 (n) | 867,225 | 763,158 | ||
| Transelec S.A., 3.875%, 1/12/2029 (n) | 811,000 | 740,496 | ||
| Virginia Electric & Power Co., 2.875%, 7/15/2029 | 1,367,000 | 1,225,436 | ||
| WEC Energy Group, Inc., 4.75%, 1/09/2026 | 2,359,000 | 2,346,475 | ||
| Xcel Energy, Inc., 4.6%, 6/01/2032 | 1,907,000 | 1,835,372 | ||
| $56,678,704 | ||||
| Utilities - Water – 0.1% | ||||
| Aegea Finance S.à r.l., 6.75%, 5/20/2029 (n) | $ | 1,634,000 | $1,531,895 | |
| Total Bonds | $1,073,314,309 | |||
| Common Stocks – 29.5% | ||||
| Aerospace & Defense – 0.5% | ||||
| General Dynamics Corp. | 56,775 | $11,592,319 | ||
| Alcoholic Beverages – 0.2% | ||||
| Kirin Holdings Co. Ltd. | 250,100 | $3,732,876 | ||
| Apparel Manufacturers – 0.1% | ||||
| Compagnie Financiere Richemont S.A. | 16,851 | $2,674,512 | ||
16
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Common Stocks – continued | ||||
| Automotive – 0.2% | ||||
| Bridgestone Corp. | 34,300 | $1,397,849 | ||
| Stellantis N.V. | 162,830 | 2,468,363 | ||
| $3,866,212 | ||||
| Biotechnology – 0.2% | ||||
| Biogen, Inc. (a) | 4,457 | $1,321,099 | ||
| Gilead Sciences, Inc. | 40,720 | 3,132,997 | ||
| $4,454,096 | ||||
| Broadcasting – 0.4% | ||||
| Omnicom Group, Inc. | 114,783 | $10,122,713 | ||
| Brokerage & Asset Managers – 0.1% | ||||
| Bank of New York Mellon Corp. | 63,423 | $2,549,605 | ||
| Business Services – 0.1% | ||||
| Amdocs Ltd. | 39,319 | $3,702,670 | ||
| Cable TV – 0.3% | ||||
| Comcast Corp., “A” | 210,444 | $8,280,971 | ||
| Chemicals – 0.0% | ||||
| Nutrien Ltd. | 15,108 | $795,966 | ||
| Computer Software – 0.1% | ||||
| Microsoft Corp. | 8,203 | $2,693,783 | ||
| Computer Software - Systems – 0.7% | ||||
| Hitachi Ltd. | 65,000 | $3,753,741 | ||
| Hon Hai Precision Industry Co. Ltd. | 1,407,000 | 4,876,593 | ||
| Lenovo Group Ltd. | 2,746,000 | 2,581,021 | ||
| Samsung Electronics Co. Ltd. | 74,482 | 4,006,792 | ||
| Seagate Technology Holdings PLC | 30,396 | 1,826,800 | ||
| $17,044,947 | ||||
| Construction – 2.1% | ||||
| American Homes 4 Rent, “A”, REIT | 348,161 | $11,934,959 | ||
| Anhui Conch Cement Co. Ltd. | 1,041,500 | 2,766,533 | ||
| AvalonBay Communities, Inc., REIT | 104,423 | 18,167,514 | ||
| Essex Property Trust, Inc., REIT | 79,478 | 17,172,017 | ||
| Zhejiang Supor Co. Ltd. | 77,800 | 489,617 | ||
| $50,530,640 | ||||
| Consumer Products – 0.8% | ||||
| Colgate-Palmolive Co. | 107,389 | $7,987,594 | ||
| Kimberly-Clark Corp. | 93,815 | 12,597,478 | ||
| $20,585,072 | ||||
| Electronics – 0.7% | ||||
| Novatek Microelectronics Corp. | 171,000 | $2,367,928 | ||
| Texas Instruments, Inc. | 91,338 | 15,881,851 | ||
| $18,249,779 | ||||
| Energy - Independent – 0.2% | ||||
| Phillips 66 | 39,644 | $3,631,787 | ||
| Valero Energy Corp. | 20,022 | 2,143,155 | ||
| $5,774,942 | ||||
17
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Common Stocks – continued | ||||
| Energy - Integrated – 1.1% | ||||
| China Petroleum & Chemical Corp. | 14,986,000 | $9,435,088 | ||
| Eni S.p.A. | 400,156 | 5,325,198 | ||
| Exxon Mobil Corp. | 38,954 | 3,980,320 | ||
| LUKOIL PJSC (a)(u) | 17,902 | 0 | ||
| Suncor Energy, Inc. | 45,494 | 1,274,502 | ||
| TotalEnergies SE | 110,015 | 6,241,944 | ||
| $26,257,052 | ||||
| Engineering - Construction – 0.0% | ||||
| ACS Actividades de Construcción y Servicios S.A. | 36,655 | $1,219,298 | ||
| Food & Beverages – 1.2% | ||||
| Archer Daniels Midland Co. | 53,778 | $3,799,416 | ||
| Coca-Cola FEMSA S.A.B. de C.V. | 25,820 | 2,138,412 | ||
| General Mills, Inc. | 172,293 | 14,500,179 | ||
| J.M. Smucker Co. | 43,868 | 6,430,610 | ||
| Nestle S.A. | 26,573 | 3,148,204 | ||
| $30,016,821 | ||||
| Food & Drug Stores – 0.4% | ||||
| BIM Birlesik Magazalar A.S. | 599,197 | $4,074,204 | ||
| Tesco PLC | 1,754,652 | 5,692,480 | ||
| $9,766,684 | ||||
| Forest & Paper Products – 0.8% | ||||
| Rayonier, Inc., REIT | 290,913 | $8,529,569 | ||
| Weyerhaeuser Co., REIT | 379,455 | 10,875,180 | ||
| $19,404,749 | ||||
| Health Maintenance Organizations – 0.1% | ||||
| Cigna Group | 9,262 | $2,291,511 | ||
| Insurance – 1.3% | ||||
| Equitable Holdings, Inc. | 229,843 | $5,640,347 | ||
| Hartford Financial Services Group, Inc. | 39,588 | 2,712,570 | ||
| Manulife Financial Corp. | 576,825 | 10,686,666 | ||
| MetLife, Inc. | 81,195 | 4,023,212 | ||
| Samsung Fire & Marine Insurance Co. Ltd. | 25,405 | 4,316,314 | ||
| Zurich Insurance Group AG | 7,782 | 3,640,002 | ||
| $31,019,111 | ||||
| Machinery & Tools – 0.4% | ||||
| GEA Group AG | 37,338 | $1,568,087 | ||
| Timken Co. | 14,533 | 1,039,836 | ||
| Volvo Group | 422,935 | 7,804,487 | ||
| $10,412,410 | ||||
| Major Banks – 1.1% | ||||
| BNP Paribas | 158,760 | $9,165,419 | ||
| DBS Group Holdings Ltd. | 548,700 | 12,294,321 | ||
| Erste Group Bank AG | 46,651 | 1,509,421 | ||
| Regions Financial Corp. | 188,287 | 3,251,717 | ||
| $26,220,878 | ||||
| Medical & Health Technology & Services – 0.9% | ||||
| Encompass Health Corp. | 235,589 | $14,611,230 | ||
| McKesson Corp. | 18,332 | 7,164,879 | ||
| $21,776,109 | ||||
18
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Common Stocks – continued | ||||
| Metals & Mining – 0.9% | ||||
| Adaro Energy Indonesia TBK PT | 3,010,900 | $409,756 | ||
| Fortescue Metals Group Ltd. | 46,261 | 578,339 | ||
| Glencore PLC | 352,557 | 1,804,469 | ||
| PT United Tractors Tbk | 340,200 | 504,399 | ||
| Rio Tinto PLC | 217,712 | 12,950,748 | ||
| United States Steel Corp. | 157,748 | 3,300,088 | ||
| Vale S.A. | 216,100 | 2,718,022 | ||
| $22,265,821 | ||||
| Network & Telecom – 1.2% | ||||
| Equinix, Inc., REIT | 40,181 | $29,956,945 | ||
| Other Banks & Diversified Financials – 0.3% | ||||
| China Construction Bank Corp. | 3,783,000 | $2,420,401 | ||
| KB Financial Group, Inc. | 30,256 | 1,094,208 | ||
| Sberbank of Russia PJSC (a)(u) | 1,738,404 | 0 | ||
| SLM Corp. | 193,898 | 2,958,884 | ||
| $6,473,493 | ||||
| Pharmaceuticals – 2.8% | ||||
| Bayer AG | 101,446 | $5,653,834 | ||
| Johnson & Johnson | 80,964 | 12,554,278 | ||
| Merck & Co., Inc. | 204,086 | 22,533,135 | ||
| Novartis AG | 29,885 | 2,860,035 | ||
| Organon & Co. | 258,453 | 5,011,404 | ||
| Pfizer, Inc. | 93,081 | 3,538,939 | ||
| Roche Holding AG | 44,467 | 14,071,248 | ||
| Sanofi | 33,000 | 3,346,769 | ||
| $69,569,642 | ||||
| Printing & Publishing – 0.1% | ||||
| Lamar Advertising Co., REIT | 18,154 | $1,631,682 | ||
| Railroad & Shipping – 0.0% | ||||
| A.P. Moller-Maersk A/S | 422 | $709,628 | ||
| Orient Overseas International Ltd. | 42,500 | 518,058 | ||
| $1,227,686 | ||||
| Real Estate – 7.2% | ||||
| Alexandria Real Estate Equities, Inc., REIT | 100,740 | $11,429,961 | ||
| Brixmor Property Group, Inc., REIT | 725,705 | 14,535,871 | ||
| Broadstone Net Lease, Inc., REIT | 43,566 | 683,115 | ||
| Douglas Emmett, Inc., REIT | 152,403 | 1,767,875 | ||
| Equity Lifestyle Properties, Inc., REIT | 227,166 | 14,350,076 | ||
| Extra Space Storage, Inc., REIT | 110,445 | 15,933,900 | ||
| Farmland Partners, Inc., REIT | 262,849 | 2,983,336 | ||
| NNN REIT, Inc. | 393,002 | 16,718,305 | ||
| Phillips Edison & Co., REIT | 420,887 | 12,209,932 | ||
| Prologis, Inc., REIT | 257,056 | 32,016,325 | ||
| Simon Property Group, Inc., REIT | 232,448 | 24,441,907 | ||
| Sun Communities, Inc., REIT | 124,813 | 15,805,070 | ||
| Urban Edge Properties, REIT | 868,287 | 11,574,266 | ||
| W.P. Carey, Inc., REIT | 29,528 | 2,048,062 | ||
| $176,498,001 | ||||
19
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Common Stocks – continued | ||||
| Restaurants – 0.2% | ||||
| Sodexo | 20,344 | $2,197,403 | ||
| Texas Roadhouse, Inc. | 18,454 | 1,991,187 | ||
| $4,188,590 | ||||
| Specialty Chemicals – 0.0% | ||||
| Chemours Co. | 41,609 | $1,102,222 | ||
| Telecommunications - Wireless – 1.2% | ||||
| American Tower Corp., REIT | 22,473 | $4,144,920 | ||
| KDDI Corp. | 399,200 | 12,294,759 | ||
| PT Telekom Indonesia | 6,581,400 | 1,773,773 | ||
| SBA Communications Corp., REIT | 51,335 | 11,385,076 | ||
| $29,598,528 | ||||
| Telephone Services – 0.3% | ||||
| France Telecom | 254,504 | $3,039,223 | ||
| Hellenic Telecommunications Organization S.A. | 219,357 | 3,357,621 | ||
| $6,396,844 | ||||
| Tobacco – 0.5% | ||||
| British American Tobacco PLC | 209,198 | $6,647,623 | ||
| Japan Tobacco, Inc. (l) | 271,900 | 5,932,718 | ||
| $12,580,341 | ||||
| Utilities - Electric Power – 0.8% | ||||
| E.ON SE | 432,288 | $5,226,042 | ||
| Edison International | 110,765 | 7,478,853 | ||
| Iberdrola S.A. | 234,212 | 2,853,981 | ||
| PG&E Corp. (a) | 115,470 | 1,956,062 | ||
| Vistra Corp. | 48,550 | 1,163,743 | ||
| $18,678,681 | ||||
| Total Common Stocks | $725,204,202 | |||
| Preferred Stocks – 0.3% | ||||
| Computer Software - Systems – 0.1% | ||||
| Samsung Electronics Co. Ltd. | 35,767 | $1,579,165 | ||
| Metals & Mining – 0.2% | ||||
| Gerdau S.A. | 1,011,415 | $4,778,668 | ||
| Total Preferred Stocks | $6,357,833 | |||
| Convertible Preferred Stocks – 0.2% | ||||
| Medical Equipment – 0.2% | ||||
| Boston Scientific Corp., 5.5% | 30,481 | $3,724,169 | ||
| Investment Companies (h) – 26.3% | ||||
| Mutual Funds – 22.6% | ||||
| MFS High Yield Pooled Portfolio (v) | 70,531,171 | $556,490,941 | ||
| Money Market Funds – 3.7% | ||||
| MFS Institutional Money Market Portfolio, 4.88% (v) | 90,252,732 | $90,243,706 | ||
| Total Investment Companies | $646,734,647 | |||
20
Portfolio of Investments (unaudited) –
continued
| Underlying/Expiration Date/Exercise Price | Put/Call | Counterparty | Notional Amount | Par Amount/ Number of Contracts | Value ($) |
| Purchased Options – 0.0% | |||||
| Market Index Securities – 0.0% | |||||
| S&P 500 Index – June 2023 @ $3,000 | Put | Goldman Sachs International | $ 125,394,900 | 300 | $15,000 |
| Other Assets, Less Liabilities – 0.0% | 338,990 | |||
| Net Assets – 100.0% | $2,455,689,150 | |||
| (a) | Non-income producing security. |
| (d) | In default. |
| (f) | All or a portion of the security has been segregated as collateral for open futures contracts. |
| (h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $646,734,647 and $1,808,615,513, respectively. |
| (i) | Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security. |
| (l) | A portion of this security is on loan. See Note 2 for additional information. |
| (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 $270,934,839, representing 11.0% of net assets. |
| (p) | Payment-in-kind (PIK) security for which interest income may be received in additional securities and/or cash. |
| (u) | The security was valued using significant unobservable inputs and is considered level 3 under the fair value hierarchy. |
| (v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
| (w) | When-issued security. |
| (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 |
| NAK Naftogaz Ukraine via Kondor Finance PLC, 7.625%, 11/08/2026 | 11/04/2019-6/03/2020 | $3,064,674 | $746,640 |
| % of Net assets | 0.0% |
| The following abbreviations are used in this report and are defined: | |
| AGM | Assured Guaranty Municipal |
| CLO | Collateralized Loan Obligation |
| CMT | Constant Maturity Treasury |
| FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
| LIBOR | London Interbank Offered Rate |
| REIT | Real Estate Investment Trust |
| SOFR | Secured Overnight Financing Rate |
| TBA | To Be Announced |
| UMBS | Uniform Mortgage-Backed Security |
| Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below: | |
| BRL | Brazilian Real |
| CLP | Chilean Peso |
| CZK | Czech Koruna |
| EUR | Euro |
| HUF | Hungarian Forint |
| IDR | Indonesian Rupiah |
| INR | Indian Rupee |
| JPY | Japanese Yen |
| MXN | Mexican Peso |
| MYR | Malaysian Ringgit |
| PEN | Peruvian Nuevo Sol |
| TWD | Taiwan Dollar |
| UYU | Uruguayan Peso |
| ZAR | South African Rand |
21
Portfolio of Investments (unaudited) –
continued
| Derivative Contracts at 5/31/23 | ||||||
| Forward Foreign Currency Exchange Contracts | ||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
| Asset Derivatives | ||||||
| BRL | 1,721,000 | USD | 337,722 | Banco Santander S.A. | 6/02/2023 | $1,504 |
| BRL | 2,120,418 | USD | 416,103 | Barclays Bank PLC | 6/02/2023 | 1,854 |
| BRL | 2,965,712 | USD | 578,097 | Goldman Sachs International | 6/02/2023 | 6,476 |
| CLP | 476,995,894 | USD | 587,716 | Citibank N.A. | 6/02/2023 | 1,164 |
| CLP | 1,351,595,784 | USD | 1,631,872 | Goldman Sachs International | 6/02/2023 | 36,754 |
| HUF | 407,114,506 | USD | 1,150,228 | HSBC Bank | 6/21/2023 | 17,763 |
| HUF | 616,585,048 | USD | 1,748,751 | JPMorgan Chase Bank N.A. | 7/21/2023 | 5,572 |
| USD | 344,434 | BRL | 1,721,000 | Banco Santander S.A. | 6/02/2023 | 5,207 |
| USD | 426,750 | BRL | 2,120,418 | Barclays Bank PLC | 6/02/2023 | 8,794 |
| USD | 169,888 | BRL | 875,706 | Goldman Sachs International | 9/01/2023 | 197 |
| USD | 592,608 | CLP | 476,995,894 | Citibank N.A. | 6/02/2023 | 3,727 |
| USD | 12,712,390 | EUR | 11,549,325 | HSBC Bank | 7/21/2023 | 332,158 |
| USD | 1,386,993 | EUR | 1,278,037 | Morgan Stanley Capital Services, Inc. | 7/21/2023 | 17,008 |
| USD | 1,133,670 | HUF | 392,773,357 | JPMorgan Chase Bank N.A. | 7/21/2023 | 16,142 |
| USD | 2,431,382 | MYR | 10,700,080 | Barclays Bank PLC | 6/20/2023 | 110,008 |
| USD | 986,799 | TWD | 29,788,024 | Citibank N.A. | 7/11/2023 | 13,087 |
| USD | 979,405 | ZAR | 18,786,208 | Merrill Lynch International | 7/21/2023 | 31,367 |
| $608,782 | ||||||
| Liability Derivatives | ||||||
| BRL | 875,706 | USD | 172,722 | Goldman Sachs International | 6/02/2023 | $(111) |
| EUR | 1,217,854 | USD | 1,317,467 | Brown Brothers Harriman | 7/21/2023 | (11,995) |
| EUR | 1,113,507 | USD | 1,214,901 | Merrill Lynch International | 7/21/2023 | (21,283) |
| EUR | 351,063 | USD | 388,570 | Morgan Stanley Capital Services, Inc. | 7/21/2023 | (12,250) |
| HUF | 98,959,055 | USD | 285,548 | HSBC Bank | 7/21/2023 | (3,988) |
| IDR | 14,651,874,057 | USD | 997,133 | Merrill Lynch International | 8/07/2023 | (20,410) |
| IDR | 5,081,680,399 | USD | 344,063 | Morgan Stanley Capital Services, Inc. | 8/07/2023 | (5,308) |
| INR | 109,883,065 | USD | 1,333,091 | Morgan Stanley Capital Services, Inc. | 7/11/2023 | (6,768) |
| JPY | 215,547,497 | USD | 1,640,424 | UBS AG | 7/21/2023 | (81,325) |
| MYR | 10,700,080 | USD | 2,453,697 | Barclays Bank PLC | 6/20/2023 | (132,323) |
| USD | 753,825 | BRL | 3,841,418 | Goldman Sachs International | 6/02/2023 | (3,358) |
| USD | 1,654,438 | CLP | 1,351,595,784 | Goldman Sachs International | 6/02/2023 | (14,188) |
| USD | 1,163,364 | HUF | 407,114,506 | JPMorgan Chase Bank N.A. | 6/21/2023 | (4,627) |
| USD | 908,907 | HUF | 322,770,746 | Morgan Stanley Capital Services, Inc. | 7/21/2023 | (9,448) |
| USD | 2,387,644 | MXN | 43,961,484 | HSBC Bank | 7/21/2023 | (72,193) |
| USD | 430,150 | MXN | 7,818,152 | UBS AG | 7/21/2023 | (7,310) |
| $(406,885) | ||||||
| Futures Contracts | ||||||
| Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
| Asset Derivatives | ||||||
| Interest Rate Futures | ||||||
| U.S. Treasury Bond | Long | USD | 148 | $18,994,875 | September – 2023 | $178,999 |
| U.S. Treasury Note 10 yr | Long | USD | 665 | 76,121,719 | September – 2023 | 47,211 |
| U.S. Treasury Note 2 yr | Long | USD | 274 | 56,396,906 | September – 2023 | 90,063 |
| U.S. Treasury Ultra Bond | Long | USD | 99 | 13,550,625 | September – 2023 | 221,608 |
| $537,881 | ||||||
22
Portfolio of Investments (unaudited) –
continued
| Futures Contracts − continued | ||||||
| Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
| Liability Derivatives | ||||||
| Interest Rate Futures | ||||||
| U.S. Treasury Note 5 yr | Long | USD | 100 | $10,907,813 | September – 2023 | $(2,536) |
| U.S. Treasury Ultra Note 10 yr | Short | USD | 272 | 32,763,250 | September – 2023 | (173,562) |
| $(176,098) | ||||||
At May 31, 2023, the fund had cash
collateral of $110,000 and other liquid securities with an aggregate value of $3,129,589 to cover any collateral or margin obligations for certain derivative contracts.
See attached supplemental
information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.
23
Supplemental Information
5/31/23 (unaudited)
The fund is an investment company
and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment
Companies.
(1) Investment Valuations
The investments of the fund and the
MFS High Yield Pooled Portfolio are valued as described below.
Subject to its oversight, the fund's
Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments to MFS as the fund's adviser, pursuant to the fund’s valuation policy
and procedures which have been adopted by the adviser and approved by the Board. In accordance with Rule 2a-5 under the Investment Company Act of 1940, the Board of Trustees designated the adviser as the
“valuation designee” of the fund. If the adviser, as valuation designee, determines that reliable market quotations are not readily available for an investment, the investment is valued at fair value as
determined in good faith by the adviser in accordance with the adviser’s fair valuation policy and procedures.
Under the fund's valuation policy
and procedures, equity securities, including restricted equity securities, are generally valued at the last sale or official closing price on their primary market or exchange as provided by a third-party pricing
service. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation on their primary market or exchange as provided by a third-party pricing
service. Debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with
a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value. Exchange-traded options are generally valued at the last sale or official closing price on their primary
exchange as provided by a third-party pricing service. Exchange-traded options for which there were no sales reported that day are generally valued at the last daily bid quotation on their primary exchange as provided
by a third-party pricing service. For put options, the position may be valued at the last daily ask quotation if there are no trades reported during the day. Options not traded on an exchange are generally valued at a
broker/dealer bid quotation. Foreign currency options are generally valued at valuations provided by a third-party pricing service. Futures contracts are generally valued at last posted settlement price on their
primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary
exchange as provided by a third-party pricing service. Forward foreign currency exchange contracts are generally valued at the mean of bid and asked prices for the time period interpolated from rates provided by a
third-party pricing service for proximate time periods. Open-end investment companies are generally valued at net asset value per share. The values of foreign securities and other assets and liabilities expressed in
foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.
Under the fund’s valuation
policy and procedures, market quotations are not considered to be readily available for debt instruments, floating rate loans, and many types of derivatives. These investments are generally valued at fair value based
on information from third-party pricing services or otherwise determined by the adviser in accordance with the adviser’s fair valuation policy and procedures. Securities and other assets generally valued on the
basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. In determining values, third-party pricing services can utilize both transaction data and market information
such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, spreads and other market data. An investment may also be valued at fair value if the adviser determines that the
investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the
determination of the fund’s net asset value, or after the halt of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally
traded. Events that occur after foreign markets close (such as developments in foreign markets and significant movements in the U.S. markets) and prior to the determination of the fund’s net asset value may be
deemed to have a material effect on the value of securities traded in foreign markets. Accordingly, the fund’s foreign equity securities may often be valued at fair value. The adviser generally relies on
third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the
business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes
of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund’s net
asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the
same time at which the fund determines its net asset value per share.
Various inputs are used in
determining the value of the fund's assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value
hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund's assessment of the significance of a
particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or
liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk).
24
Supplemental Information (unaudited) –
continued
Level 3 includes significant unobservable inputs,
which may include the adviser's own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts and forward foreign currency exchange
contracts. The following is a summary of the levels used as of May 31, 2023 in valuing the fund's assets and liabilities:
| Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
| Equity Securities: | ||||
| United States | $514,534,476 | $— | $— | $514,534,476 |
| Japan | 27,111,943 | — | — | 27,111,943 |
| United Kingdom | 27,095,320 | — | — | 27,095,320 |
| Switzerland | 26,394,001 | — | — | 26,394,001 |
| France | 23,990,758 | — | — | 23,990,758 |
| China | 18,210,718 | — | — | 18,210,718 |
| Canada | 12,757,134 | — | — | 12,757,134 |
| Germany | 12,447,963 | — | — | 12,447,963 |
| Singapore | 12,294,321 | — | — | 12,294,321 |
| Other Countries | 60,464,570 | — | 0 | 60,464,570 |
| U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 151,288,922 | — | 151,288,922 |
| Non - U.S. Sovereign Debt | — | 245,239,410 | — | 245,239,410 |
| Municipal Bonds | — | 4,375,400 | — | 4,375,400 |
| U.S. Corporate Bonds | — | 264,474,016 | — | 264,474,016 |
| Residential Mortgage-Backed Securities | — | 179,735,133 | — | 179,735,133 |
| Commercial Mortgage-Backed Securities | — | 10,733,781 | — | 10,733,781 |
| Asset-Backed Securities (including CDOs) | — | 22,767,370 | — | 22,767,370 |
| Foreign Bonds | — | 194,700,277 | — | 194,700,277 |
| Mutual Funds | 646,734,647 | — | — | 646,734,647 |
| Total | $1,382,035,851 | $1,073,314,309 | $0 | $2,455,350,160 |
| Other Financial Instruments | ||||
| Futures Contracts – Assets | $537,881 | $— | $— | $537,881 |
| Futures Contracts – Liabilities | (176,098) | — | — | (176,098) |
| Forward Foreign Currency Exchange Contracts – Assets | — | 608,782 | — | 608,782 |
| Forward Foreign Currency Exchange Contracts – Liabilities | — | (406,885) | — | (406,885) |
For further information regarding
security characteristics, see the Portfolio of Investments. Please refer to the MFS High Yield Pooled Portfolio's shareholder report for further information regarding the levels used in valuing its assets and
liabilities.
The following is a reconciliation of
level 3 assets for which significant unobservable inputs were used to determine fair value. The table presents the activity of level 3 securities held at the beginning and the end of the period.
| Equity Securities | |
| Balance as of 2/28/23 | $520,336 |
| Realized gain (loss) | 623,766 |
| Change in unrealized appreciation or depreciation | (520,336) |
| Disposed of as part of a corporate action | (623,766) |
| Balance as of 5/31/23 | $0 |
The net change in unrealized
appreciation or depreciation from investments held as level 3 at May 31, 2023 is $0. At May 31, 2023, the fund held two level 3 securities.
(2) Securities Lending
Collateral
At May 31, 2023, the value of
securities loaned was $2,662,271. These loans were collateralized by U.S. Treasury Obligations (held by the lending agent) of $2,813,324.
25
Supplemental Information (unaudited) –
continued
(3) Investments in Affiliated
Issuers
An affiliated issuer may be
considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the following were affiliated issuers:
| Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
| MFS High Yield Pooled Portfolio | $591,376,239 | $9,907,996 | $44,102,381 | $(5,410,725) | $4,719,812 | $556,490,941 |
| MFS Institutional Money Market Portfolio | 151,917,677 | 205,840,930 | 267,504,116 | 6,617 | (17,402) | 90,243,706 |
| $743,293,916 | $215,748,926 | $311,606,497 | $(5,404,108) | $4,702,410 | $646,734,647 |
| Affiliated Issuers | Dividend Income | Capital Gain Distributions |
| MFS High Yield Pooled Portfolio | $9,270,391 | $— |
| MFS Institutional Money Market Portfolio | 1,186,896 | — |
| $10,457,287 | $— |
(4) Issuer Country
Weightings
Issuer country weighting percentages
of portfolio holdings based on net assets, as of May 31, 2023, are as follows:
| United States | 69.1% |
| Canada | 2.8% |
| United Kingdom | 2.4% |
| Japan | 1.6% |
| Mexico | 1.3% |
| France | 1.3% |
| Switzerland | 1.3% |
| China | 1.2% |
| India | 0.9% |
| Other Countries | 18.1% |
The issuer country weighting
percentages include both accrued interest amounts and the equivalent exposure from any derivative holdings, if applicable.
(5) Russia and Ukraine
Conflict
The fund invests in securities
and/or derivative instruments that are economically tied to Russia and/or Ukraine. Escalation of the conflict between Russia and Ukraine in late February 2022 caused market volatility and disruption in the tradability
of Russian securities, including closure of the local securities market, temporary restriction on securities sales by non-residents, and disruptions to clearance and payment systems. To the extent that the fund is
unable to sell securities, whether due to market constraints or to the sanctions imposed on Russia by the United States and other countries, those securities are considered illiquid and the value of those securities
reflects their illiquid classification. Management continues to monitor these events and to evaluate the related impacts on fund performance.
26