Quarterly Report
November 30, 2023
MFS® Diversified
Income Fund
Income Fund
DIF-Q3
Portfolio of Investments
11/30/23 (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 – 0.3% | ||||
| Boeing Co., 2.196%, 2/04/2026 | $ | 920,000 | $860,060 | |
| Boeing Co., 5.15%, 5/01/2030 | 731,000 | 724,256 | ||
| Boeing Co., 5.805%, 5/01/2050 | 2,462,000 | 2,401,220 | ||
| General Dynamics Corp., 3.625%, 4/01/2030 | 1,362,000 | 1,263,830 | ||
| L3 Harris Technologies, Inc., 5.4%, 1/15/2027 | 1,115,000 | 1,124,270 | ||
| L3 Harris Technologies, Inc., 5.4%, 7/31/2033 | 892,000 | 889,080 | ||
| $7,262,716 | ||||
| Apparel Manufacturers – 0.0% | ||||
| Tapestry, Inc., 4.125%, 7/15/2027 | $ | 667,000 | $616,501 | |
| Tapestry, Inc., 3.05%, 3/15/2032 | 553,000 | 413,481 | ||
| $1,029,982 | ||||
| Asset-Backed & Securitized – 1.6% | ||||
| 3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.131%, 11/15/2054 (i) | $ | 6,468,863 | $317,673 | |
| ACREC 2021-FL1 Ltd., “A”, FLR, 6.594% ((SOFR - 1mo. + 0.11448%) + 1.15%), 10/16/2036 (n) | 1,035,769 | 1,014,180 | ||
| ACREC 2023-FL2 LLC, “A”, FLR, 7.553% (SOFR - 1mo. + 2.23%), 2/19/2038 (n) | 888,988 | 887,175 | ||
| Arbor Realty Trust, Inc., CLO, 2021-FL1, “A”, FLR, 6.407% ((SOFR - 1mo. + 0.11448%) + 0.97%), 12/15/2035 (n) | 726,160 | 718,335 | ||
| Arbor Realty Trust, Inc., CLO, 2021-FL1, “B”, FLR, 6.937% ((SOFR - 1mo. + 0.11448%) + 1.5%), 12/15/2035 (n) | 998,500 | 969,607 | ||
| Arbor Realty Trust, Inc., CLO, 2021-FL4, “AS”, FLR, 7.137% ((SOFR - 1mo. + 0.11448%) + 1.7%), 11/15/2036 (n) | 484,000 | 474,620 | ||
| AREIT 2022-CRE6 Trust, “AS”, FLR, 6.975% (SOFR - 30 day + 1.65%), 1/20/2037 (n) | 946,500 | 922,411 | ||
| AREIT 2023-CRE8 Trust LLC, “A”, 7.441% (SOFR - 1mo. + 2.1118%), 2/17/2028 (n) | 481,000 | 479,212 | ||
| ARI Fleet Lease Trust, 2023-A, “A2”, 5.41%, 2/17/2032 (n) | 514,151 | 511,447 | ||
| ARI Fleet Lease Trust, 2023-B, “A2”, 6.05%, 7/15/2032 (n) | 300,093 | 301,293 | ||
| BBCMS Mortgage Trust, 2021-C9, “XA”, 1.734%, 2/15/2054 (i) | 3,506,591 | 285,142 | ||
| BBCMS Mortgage Trust, 2022-C18, “XA”, 0.638%, 12/15/2055 (i) | 4,282,054 | 154,726 | ||
| BDS 2021-FL7 Ltd., “B”, FLR, 6.946% ((SOFR - 1mo. + 0.11448%) + 1.5%), 6/16/2036 (n) | 431,500 | 422,089 | ||
| Benchmark 2021-B24 Mortgage Trust, “XA”, 1.264%, 3/15/2054 (i) | 6,677,586 | 355,760 | ||
| Benchmark 2021-B26 Mortgage Trust, “XA”, 0.996%, 6/15/2054 (i) | 6,500,300 | 285,992 | ||
| Benchmark 2021-B27 Mortgage Trust, “XA”, 1.377%, 7/15/2054 (i) | 7,564,846 | 465,923 | ||
| Benchmark 2022-B36 Mortgage Trust, “XA”, 0.809%, 7/15/2055 (i) | 6,962,076 | 314,544 | ||
| Benchmark 2023-V3 Mortgage Trust, “A3”, 6.363%, 7/15/2056 | 176,194 | 180,296 | ||
| Bridgecrest Lending Auto Securitization Trust, 2023-1, “A2”, 6.34%, 7/15/2026 | 455,000 | 455,054 | ||
| Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 510,468 | 485,617 | ||
| Chesapeake Funding II LLC, 2023-2A, “A2”, FLR, 6.424% (SOFR - 1mo. + 1.1%), 10/15/2035 (n) | 1,139,444 | 1,138,602 | ||
| Citigroup Commercial Mortgage Trust, 2019-XA, “C7”, 0.987%, 12/15/2072 (i)(n) | 9,342,549 | 361,146 | ||
| Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.883%, 4/15/2054 (i) | 4,810,562 | 185,093 | ||
| Commercial Mortgage Pass-Through Certificates, 2022-BN43, “XA”, 1.069%, 8/15/2055 (i) | 7,956,972 | 459,790 | ||
| CPS Auto Trust, 2019-D, “E”, 3.86%, 10/15/2025 (n) | 839,594 | 832,968 | ||
| Dell Equipment Finance Trust, 2023-1, “A2”, 5.65%, 9/22/2028 (n) | 900,000 | 898,031 | ||
| Dell Equipment Finance Trust, 2023-3, “A2”, 6.1%, 4/23/2029 (n) | 534,000 | 535,343 | ||
| Dryden Senior Loan Fund, 2022-113A, “A1R”, CLO, FLR, 7.046% (SOFR - 3mo. + 1.63%), 10/20/2035 (n) | 2,500,000 | 2,498,880 | ||
| DT Auto Owner Trust, 2023-1A, “A”, 5.48%, 4/15/2027 (n) | 329,049 | 328,054 | ||
| DT Auto Owner Trust, 2023-2A, “A”, 5.88%, 4/15/2027 (n) | 888,802 | 888,055 | ||
| Exeter Automobile Receivables Trust 23-3A, “A2”, 6.11%, 9/15/2025 | 507,201 | 507,272 | ||
| Flagship Credit Auto Trust, 2019-3, “D”, 2.86%, 12/15/2025 (n) | 377,807 | 372,979 | ||
| GLS Auto Select Receivables Trust, 2023-1A, “A2”, 6.27%, 8/16/2027 (n) | 726,506 | 726,829 | ||
| GLS Auto Select Receivables Trust, 2023-2A, 6.37%, 6/15/2028 (n) | 493,000 | 494,710 | ||
| KREF 2018-FT1 Ltd., “A”, FLR, 6.514% ((SOFR - 1mo. + 0.11448%) + 1.07%), 2/15/2039 (n) | 478,500 | 466,040 | ||
| KREF 2018-FT1 Ltd., “AS”, FLR, 6.744% ((SOFR - 1mo. + 0.11448%) + 1.3%), 2/15/2039 (n) | 526,000 | 492,897 | ||
| LAD Auto Receivables Trust, 2022-1A, “A”, 5.21%, 6/15/2027 (n) | 232,391 | 231,038 | ||
| LAD Auto Receivables Trust, 2023-1A, “A2”, 5.68%, 10/15/2026 (n) | 225,957 | 225,444 | ||
| LAD Auto Receivables Trust, 2023-2A, “A2”, 5.93%, 6/15/2027 (n) | 1,140,924 | 1,139,803 | ||
| LoanCore 2021-CRE5 Ltd., “AS”, FLR, 7.187% ((SOFR - 1mo. + 0.11448%) + 1.75%), 7/15/2036 (n) | 750,000 | 733,936 | ||
| MF1 2020-FL4 Ltd., “A”, FLR, 7.144% ((SOFR - 1mo. + 0.11448%) + 1.7%), 11/15/2035 (n) | 814,208 | 812,736 | ||
| MF1 2021-FL5 Ltd., “AS”, FLR, 6.644% ((SOFR - 1mo. + 0.11448%) + 1.2%), 7/15/2036 (n) | 985,000 | 963,136 | ||
1
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Asset-Backed & Securitized – continued | ||||
| MF1 2021-FL5 Ltd., “B”, FLR, 6.894% ((SOFR - 1mo. + 0.11448%) + 1.45%), 7/15/2036 (n) | $ | 1,241,000 | $1,208,327 | |
| MF1 2022-FL8 Ltd., “A”, FLR, 6.683% (SOFR - 1mo. + 1.35%), 2/19/2037 (n) | 1,430,921 | 1,402,994 | ||
| Morgan Stanley Capital I Trust, 2018-H4, “XA”, 0.981%, 12/15/2051 (i) | 9,104,404 | 298,421 | ||
| Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.414%, 5/15/2054 (i) | 2,686,843 | 164,347 | ||
| Navistar Financial Dealer Note Master Owner Trust, 2023-1, “A”, 6.18%, 8/25/2028 (n) | 393,000 | 393,963 | ||
| Navistar Financial Dealer Note Master Owner Trust, 2023-1, “B”, 6.48%, 8/25/2028 (n) | 218,000 | 218,580 | ||
| Nissan Auto Receivables Owner Trust, 2023-A, 5.424%, 5/15/2024 | 41,055 | 41,052 | ||
| PFP III 2021-7 Ltd., “AS”, FLR, 6.594% ((SOFR - 1mo. + 0.114%) + 1.15%), 4/14/2038 (n) | 1,124,897 | 1,110,907 | ||
| PFP III 2021-8 Ltd., “A”, FLR, 6.444% ((SOFR - 1mo. + 0.11448%) + 1%), 8/09/2037 (n) | 269,934 | 265,840 | ||
| PFP III 2021-8 Ltd., “AS”, FLR, 6.694% ((SOFR - 1mo. + 0.11448%) + 1.25%), 8/09/2037 (n) | 1,010,000 | 975,097 | ||
| PFS Financing Corp., 2023-C, “B”, 5.91%, 10/15/2028 (n) | 208,000 | 206,372 | ||
| ReadyCap Commercial Mortgage Trust, 2021-FL5, “A”, FLR, 6.457% ((SOFR - 1mo. + 0.11448%) + 1%), 4/25/2038 (z) | 258,157 | 255,580 | ||
| ReadyCap Commercial Mortgage Trust, 2021-FL7, “A”, FLR, 6.657% ((SOFR - 1mo. + 0.11448%) + 1.2%), 11/25/2036 (z) | 258,963 | 255,687 | ||
| ReadyCap Commercial Mortgage Trust, 2021-FL7, “AS”, FLR, 6.957% ((SOFR - 1mo. + 0.11448%) + 1.5%), 11/25/2036 (z) | 109,000 | 106,255 | ||
| SBNA Auto Lease Trust, 2023-A, “A2”, 6.27%, 4/20/2026 (n) | 810,000 | 812,789 | ||
| Toyota Lease Owner Trust, 2023-A, “A2”, 5.3%, 8/20/2025 (n) | 1,002,476 | 999,668 | ||
| Wells Fargo Commercial Mortgage Trust, 2018-C48, “XA”, 1.105%, 1/15/2052 (i)(n) | 5,120,774 | 185,222 | ||
| Westlake Automobile Receivables Trust, 2022-3A, “A2”, 5.24%, 7/15/2025 (n) | 303,934 | 303,642 | ||
| Westlake Automobile Receivables Trust, 2023-1A, “A2B”, FLR, 6.174% (SOFR - 1mo. + 0.85%), 6/15/2026 (n) | 138,186 | 138,222 | ||
| World Omni Select Auto Trust 2023-A, “A2B”, FLR, 6.174% (SOFR - 1mo. + 0.85%), 3/15/2027 | 1,105,759 | 1,106,266 | ||
| $35,743,109 | ||||
| Automotive – 0.2% | ||||
| Hyundai Capital America, 6.375%, 4/08/2030 (n) | $ | 1,300,000 | $1,333,365 | |
| Volkswagen Group of America Finance LLC, 6.2%, 11/16/2028 (n) | 2,280,000 | 2,317,183 | ||
| $3,650,548 | ||||
| Broadcasting – 0.5% | ||||
| Discovery Communications LLC, 4%, 9/15/2055 | $ | 907,000 | $599,941 | |
| Prosus N.V., 4.193%, 1/19/2032 (n) | 881,000 | 741,540 | ||
| Prosus N.V., 4.027%, 8/03/2050 (n) | 1,149,000 | 708,400 | ||
| Walt Disney Co., 3.35%, 3/24/2025 | 2,391,000 | 2,333,033 | ||
| Walt Disney Co., 3.5%, 5/13/2040 | 2,155,000 | 1,735,583 | ||
| Walt Disney Co., 3.8%, 5/13/2060 | 1,364,000 | 1,023,298 | ||
| WarnerMedia Holdings, Inc., 4.279%, 3/15/2032 | 1,322,000 | 1,166,220 | ||
| WarnerMedia Holdings, Inc., 5.391%, 3/15/2062 | 882,000 | 702,842 | ||
| Weibo Corp., 3.375%, 7/08/2030 | 1,482,000 | 1,233,706 | ||
| $10,244,563 | ||||
| Brokerage & Asset Managers – 0.3% | ||||
| Brookfield Finance, Inc., 2.34%, 1/30/2032 | $ | 1,462,000 | $1,128,180 | |
| Charles Schwab Corp., 5.643% to 5/19/2028, FLR (SOFR - 1 day + 2.210%) to 5/19/2029 | 756,000 | 753,169 | ||
| Charles Schwab Corp., 1.95%, 12/01/2031 | 766,000 | 584,954 | ||
| Charles Schwab Corp., 6.136% to 8/24/2033, FLR (SOFR - 1 day + 2.01%) to 8/24/2034 | 885,000 | 887,261 | ||
| LPL Holdings, Inc., 4.625%, 11/15/2027 (n) | 1,219,000 | 1,147,166 | ||
| LPL Holdings, Inc., 6.75%, 11/17/2028 | 325,000 | 332,464 | ||
| LPL Holdings, Inc., 4.375%, 5/15/2031 (n) | 1,216,000 | 1,048,800 | ||
| $5,881,994 | ||||
| Building – 0.1% | ||||
| GCC S.A.B de C.V., 3.614%, 4/20/2032 (n) | $ | 916,000 | $748,171 | |
| Vulcan Materials Co., 3.5%, 6/01/2030 | 2,242,000 | 1,995,447 | ||
| Vulcan Materials Co., 4.5%, 6/15/2047 | 325,000 | 272,642 | ||
| $3,016,260 | ||||
2
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Business Services – 0.3% | ||||
| Fiserv, Inc., 4.4%, 7/01/2049 | $ | 1,653,000 | $1,359,282 | |
| Mastercard, Inc., 3.85%, 3/26/2050 | 1,013,000 | 827,474 | ||
| Visa, Inc., 2.05%, 4/15/2030 | 1,889,000 | 1,612,898 | ||
| Visa, Inc., 2.7%, 4/15/2040 | 1,339,000 | 981,958 | ||
| Visa, Inc., 2%, 8/15/2050 | 1,791,000 | 1,037,638 | ||
| $5,819,250 | ||||
| Cable TV – 0.3% | ||||
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | $ | 1,092,000 | $1,072,080 | |
| Comcast Corp., 4.8%, 5/15/2033 | 1,359,000 | 1,324,154 | ||
| Comcast Corp., 3.75%, 4/01/2040 | 978,000 | 796,686 | ||
| Comcast Corp., 5.35%, 5/15/2053 | 1,359,000 | 1,312,243 | ||
| Cox Communications, Inc., 5.7%, 6/15/2033 (n) | 1,611,000 | 1,603,088 | ||
| $6,108,251 | ||||
| Chemicals – 0.1% | ||||
| RPM International, Inc., 4.55%, 3/01/2029 | $ | 552,000 | $526,106 | |
| Sasol Financing (USA) LLC, 8.75%, 5/03/2029 (n) | 960,000 | 957,004 | ||
| $1,483,110 | ||||
| Computer Software – 0.3% | ||||
| Cisco Systems, Inc., 5.5%, 1/15/2040 | $ | 745,000 | $762,751 | |
| Microsoft Corp., 2.525%, 6/01/2050 | 2,939,000 | 1,891,864 | ||
| Microsoft Corp., 2.5%, 9/15/2050 (n) | 1,594,000 | 1,010,866 | ||
| Oracle Corp., 5.55%, 2/06/2053 | 1,130,000 | 1,065,256 | ||
| VeriSign, Inc., 4.75%, 7/15/2027 | 2,140,000 | 2,076,313 | ||
| $6,807,050 | ||||
| Computer Software - Systems – 0.3% | ||||
| Apple, Inc., 2.05%, 9/11/2026 | $ | 2,272,000 | $2,116,933 | |
| Apple, Inc., 1.7%, 8/05/2031 | 2,747,000 | 2,229,254 | ||
| Apple, Inc., 2.65%, 5/11/2050 | 2,850,000 | 1,852,581 | ||
| $6,198,768 | ||||
| Conglomerates – 0.2% | ||||
| Grupo KUO S.A.B. de C.V., 5.75%, 7/07/2027 (n) | $ | 414,000 | $364,974 | |
| nVent Finance S.à r.l., 5.65%, 5/15/2033 | 1,255,000 | 1,207,356 | ||
| Regal Rexnord Corp., 6.05%, 4/15/2028 (n) | 1,114,000 | 1,096,045 | ||
| Regal Rexnord Corp., 6.3%, 2/15/2030 (n) | 955,000 | 943,772 | ||
| Westinghouse Air Brake Technologies Corp., 4.7%, 9/15/2028 | 2,058,000 | 1,989,073 | ||
| $5,601,220 | ||||
| Consumer Products – 0.2% | ||||
| Kenvue, Inc., 5%, 3/22/2030 | $ | 1,572,000 | $1,579,504 | |
| Kenvue, Inc., 5.1%, 3/22/2043 | 1,017,000 | 990,538 | ||
| Kenvue, Inc., 5.05%, 3/22/2053 | 960,000 | 918,755 | ||
| Mattel, Inc., 3.75%, 4/01/2029 (n) | 2,210,000 | 1,958,229 | ||
| $5,447,026 | ||||
| Consumer Services – 0.3% | ||||
| Booking Holdings, Inc., 3.55%, 3/15/2028 | $ | 1,755,000 | $1,667,168 | |
| Booking Holdings, Inc., 4.625%, 4/13/2030 | 405,000 | 395,426 | ||
| CBRE Group, Inc., 5.95%, 8/15/2034 | 2,586,000 | 2,574,584 | ||
| Conservation Fund, 3.474%, 12/15/2029 | 1,031,000 | 887,109 | ||
| Meituan, 3.05%, 10/28/2030 (n) | 641,000 | 523,200 | ||
| $6,047,487 | ||||
3
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Containers – 0.1% | ||||
| Berry Global, Inc., 5.5%, 4/15/2028 (n) | $ | 462,000 | $454,536 | |
| San Miguel Industrias PET S.A., 3.5%, 8/02/2028 (n) | 2,000,000 | 1,673,111 | ||
| $2,127,647 | ||||
| Electronics – 0.3% | ||||
| Intel Corp., 5.2%, 2/10/2033 | $ | 1,359,000 | $1,377,879 | |
| Intel Corp., 5.7%, 2/10/2053 | 1,594,000 | 1,619,437 | ||
| Lam Research Corp., 1.9%, 6/15/2030 | 388,000 | 322,139 | ||
| Lam Research Corp., 4.875%, 3/15/2049 | 1,703,000 | 1,574,249 | ||
| SK Hynix, Inc., 6.375%, 1/17/2028 (n) | 745,000 | 757,625 | ||
| $5,651,329 | ||||
| Emerging Market Quasi-Sovereign – 2.6% | ||||
| Abu Dhabi Crude Oil Pipeline, 4.6%, 11/02/2047 | $ | 870,000 | $754,139 | |
| Abu Dhabi National Energy Co. PJSC, 4.696%, 4/24/2033 (n) | 1,147,000 | 1,108,548 | ||
| Bank Gospodarstwa Krajowego (Republic of Poland), 6.25%, 10/31/2028 (n) | 753,000 | 781,730 | ||
| Bank Gospodarstwa Krajowego (Republic of Poland), 5.375%, 5/22/2033 (n) | 1,041,000 | 1,015,069 | ||
| Bulgarian Energy Holding EAD, 2.45%, 7/22/2028 | EUR | 1,054,000 | 959,928 | |
| Chile Electricity Lux MPC S.à r.l., 6.01%, 1/20/2033 (n) | $ | 479,000 | 480,916 | |
| Comision Federal de Electricidad (United Mexican States), 4.688%, 5/15/2029 (n) | 932,000 | 841,357 | ||
| Comision Federal de Electricidad (United Mexican States), 3.875%, 7/26/2033 (n) | 479,000 | 363,075 | ||
| Dua Capital Ltd. (Federation of Malaysia), 2.78%, 5/11/2031 | 878,000 | 739,459 | ||
| Empresa de Transmision Electrica S.A. (Republic of Panama), 5.125%, 5/02/2049 (n) | 1,694,000 | 1,209,092 | ||
| Empresa Nacional del Petroleo (Republic of Chile), 5.25%, 11/06/2029 | 624,000 | 588,365 | ||
| Empresa Nacional del Petroleo (Republic of Chile), 3.45%, 9/16/2031 (n) | 1,391,000 | 1,128,099 | ||
| Empresa Nacional del Petroleo (Republic of Chile), 6.15%, 5/10/2033 (n) | 800,000 | 775,622 | ||
| Empresa Nacional del Petroleo (Republic of Chile), 4.5%, 9/14/2047 | 895,000 | 628,513 | ||
| Eskom Holdings SOC Ltd. (Republic of South Africa), 7.125%, 2/11/2025 | 3,186,000 | 3,170,070 | ||
| Eskom Holdings SOC Ltd. (Republic of South Africa), 6.35%, 8/10/2028 (n) | 1,294,000 | 1,216,360 | ||
| Eskom Holdings SOC Ltd. (Republic of South Africa), 8.45%, 8/10/2028 | 845,000 | 832,675 | ||
| Export-Import Bank of India, 5.5%, 1/18/2033 (n) | 2,154,000 | 2,138,884 | ||
| GACI First Investment Co. (Kingdom of Saudi Arabia), 4.875%, 2/14/2035 | 594,000 | 555,404 | ||
| Grupo Energia Bogota S.A. ESP, 7.85%, 11/09/2033 (n) | 634,000 | 659,360 | ||
| Indian Railway Finance Corp., 2.8%, 2/10/2031 (n) | 1,354,000 | 1,121,744 | ||
| Ipoteka Bank (Republic of Uzbekistan), 5.5%, 11/19/2025 | 1,553,000 | 1,417,066 | ||
| KazMunayGas National Co., JSC (Republic of Kazakhstan), 3.5%, 4/14/2033 | 1,039,000 | 805,225 | ||
| KazMunayGas National Co., JSC (Republic of Kazakhstan), 5.75%, 4/19/2047 | 1,109,000 | 882,249 | ||
| KazMunayGas National Co., JSC (Republic of Kazakhstan), 6.375%, 10/24/2048 | 3,964,000 | 3,369,289 | ||
| Magyar Export-Import Bank PLC (Republic of Hungary), 6.125%, 12/04/2027 (n) | 798,000 | 791,616 | ||
| Magyar Export-Import Bank PLC (Republic of Hungary), 6%, 5/16/2029 | EUR | 540,000 | 603,014 | |
| MDGH - GMTN RSC Ltd. (United Arab Emirates), 5.084%, 5/22/2053 (n) | $ | 299,000 | 269,848 | |
| NAK Naftogaz Ukraine via Kondor Finance PLC, 7.625%, 11/08/2028 (a)(d)(n) | 3,111,000 | 1,477,725 | ||
| NPC Ukrenergo (Government of Ukraine), 6.875%, 11/09/2028 (a)(n) | 905,000 | 240,187 | ||
| OCP S.A. (Republic of Madagascar), 6.875%, 4/25/2044 | 1,263,000 | 1,143,015 | ||
| Office Cherifien des Phosphates S.A. (Kingdom of Morocco), 5.125%, 6/23/2051 (n) | 2,245,000 | 1,605,961 | ||
| Oryx Funding Ltd. (Sultanate of Oman), 5.8%, 2/03/2031 (n) | 1,210,000 | 1,172,429 | ||
| Pertamina PT, 5.625%, 5/20/2043 | 957,000 | 885,416 | ||
| Petroleos Mexicanos, 6.84%, 1/23/2030 | 1,186,000 | 959,156 | ||
| Petroleos Mexicanos, 10%, 2/07/2033 | 1,580,000 | 1,475,398 | ||
| Petroleos Mexicanos, 6.75%, 9/21/2047 | 4,294,000 | 2,627,607 | ||
| Petroleos Mexicanos, 7.69%, 1/23/2050 | 3,942,000 | 2,618,707 | ||
| Petroleos Mexicanos, 6.95%, 1/28/2060 | 3,229,000 | 1,979,140 | ||
| Power Finance Corp. Ltd. (Republic of India), 3.95%, 4/23/2030 (n) | 773,000 | 689,743 | ||
| PT Freeport Indonesia, 6.2%, 4/14/2052 (n) | 800,000 | 728,202 | ||
| PT Indonesia Asahan Aluminium (Persero), 5.8%, 5/15/2050 (n) | 1,050,000 | 913,195 | ||
| Qatar Petroleum, 3.125%, 7/12/2041 (n) | 1,397,000 | 998,855 | ||
| Qatar Petroleum, 3.3%, 7/12/2051 (n) | 1,053,000 | 701,793 | ||
| QNB Finance Ltd. (State of Qatar), 2.75%, 2/12/2027 | 1,129,000 | 1,033,419 | ||
| REC Ltd. (Republic of India), 5.625%, 4/11/2028 (n) | 693,000 | 690,546 | ||
4
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Emerging Market Quasi-Sovereign – continued | ||||
| Saudi Arabian Oil Co., 3.5%, 11/24/2070 (n) | $ | 1,784,000 | $1,109,181 | |
| Southern Gas Corridor CJSC (Republic of Azerbaijan), 6.875%, 3/24/2026 (n) | 1,530,000 | 1,537,206 | ||
| State Oil Company of the Azerbaijan Republic, 6.95%, 3/18/2030 | 2,535,000 | 2,557,181 | ||
| State Savings Bank of Ukraine PJSC, 9.625%, 3/20/2025 | 319,800 | 294,462 | ||
| Sweihan PV Power Co. PJSC, 3.625%, 1/31/2049 (n) | 993,748 | 762,453 | ||
| Turkiye Ihracat Kredi Bankasi A.S., 9%, 1/28/2027 (n) | 928,000 | 945,279 | ||
| Uzbekneftegaz JSC (Republic of Uzbekistan), 4.75%, 11/16/2028 (n) | 1,236,000 | 991,890 | ||
| $59,344,862 | ||||
| Emerging Market Sovereign – 7.8% | ||||
| Arab Republic of Egypt, 7.6%, 3/01/2029 (n) | $ | 523,000 | $367,742 | |
| Arab Republic of Egypt, 7.903%, 2/21/2048 (n) | 1,492,000 | 820,854 | ||
| Arab Republic of Egypt, 7.903%, 2/21/2048 | 1,356,000 | 746,031 | ||
| Arab Republic of Egypt, 8.875%, 5/29/2050 (n) | 638,000 | 369,817 | ||
| Arab Republic of Egypt, 7.5%, 2/16/2061 (n) | 1,057,000 | 573,423 | ||
| Czech Republic, 5%, 9/30/2030 | CZK | 46,520,000 | 2,171,027 | |
| Czech Republic, 2%, 10/13/2033 | 60,310,000 | 2,206,745 | ||
| Dominican Republic, 6%, 7/19/2028 (n) | $ | 1,663,000 | 1,619,196 | |
| Dominican Republic, 5.5%, 2/22/2029 (n) | 1,714,000 | 1,618,653 | ||
| Dominican Republic, 7.05%, 2/03/2031 (n) | 764,000 | 769,697 | ||
| Dominican Republic, 4.875%, 9/23/2032 (n) | 1,192,000 | 1,026,751 | ||
| Dominican Republic, 6%, 2/22/2033 (n) | 2,048,000 | 1,907,274 | ||
| Dominican Republic, 5.3%, 1/21/2041 (n) | 1,002,000 | 808,217 | ||
| Dominican Republic, 5.875%, 1/30/2060 (n) | 2,282,000 | 1,830,840 | ||
| Dominican Republic, 5.875%, 1/30/2060 | 2,407,000 | 1,931,127 | ||
| Federal Republic of Nigeria, 6.125%, 9/28/2028 (n) | 1,457,000 | 1,237,416 | ||
| Federal Republic of Nigeria, 7.875%, 2/16/2032 | 2,737,000 | 2,312,272 | ||
| Federal Republic of Nigeria, 7.375%, 9/28/2033 (n) | 1,709,000 | 1,356,741 | ||
| Federal Republic of Nigeria, 7.375%, 9/28/2033 | 1,753,000 | 1,391,672 | ||
| Federal Republic of Nigeria, 7.696%, 2/23/2038 (n) | 990,000 | 751,747 | ||
| Federal Republic of Nigeria, 7.696%, 2/23/2038 | 969,000 | 735,800 | ||
| Federal Republic of Nigeria, 7.625%, 11/28/2047 | 843,000 | 611,175 | ||
| Federative Republic of Brazil, 10%, 1/01/2027 | BRL | 16,250,000 | 3,285,863 | |
| Federative Republic of Brazil, 10%, 1/01/2029 | 12,971,000 | 2,578,746 | ||
| Federative Republic of Brazil, 10%, 1/01/2031 | 7,514,000 | 1,470,226 | ||
| Federative Republic of Brazil, 4.75%, 1/14/2050 | $ | 763,000 | 551,021 | |
| Government of Ukraine, 7.75%, (7.75% cash or 7.75% PIK) 9/01/2028 (a)(p) | 1,262,000 | 349,637 | ||
| Government of Ukraine, 6.876%, (6.876% cash or 6.876% PIK) 5/21/2031 (a)(p) | 598,000 | 139,633 | ||
| Government of Ukraine, 4.375%, (4.375% cash or 4.375% PIK) 1/27/2032 (a)(n)(p) | EUR | 1,074,000 | 245,500 | |
| Government of Ukraine, 7.253%, (7.253% cash or 7.253% PIK) 3/15/2035 (a)(p) | $ | 3,089,000 | 735,954 | |
| Government of Ukraine, GDP Linked Bond, 7.75%, 8/01/2041 (a) | 2,068,000 | 892,259 | ||
| Hashemite Kingdom of Jordan, 7.375%, 10/10/2047 | 427,000 | 369,362 | ||
| Hazine Mustesarligi Varlik Kiralama AS, 8.509%, 1/14/2029 (n) | 768,000 | 777,984 | ||
| Islamic Republic of Pakistan, 6%, 4/08/2026 | 557,000 | 377,713 | ||
| Islamic Republic of Pakistan, 6.875%, 12/05/2027 | 2,244,000 | 1,472,136 | ||
| Islamic Republic of Pakistan, 7.375%, 4/08/2031 | 1,496,000 | 883,029 | ||
| Islamic Republic of Pakistan, 8.875%, 4/08/2051 (n) | 1,504,000 | 883,600 | ||
| Kingdom of Morocco, 6.5%, 9/08/2033 (n) | 1,780,000 | 1,798,619 | ||
| Kingdom of Saudi Arabia, 4.875%, 7/18/2033 (n) | 603,000 | 590,156 | ||
| Kingdom of Saudi Arabia, 4.5%, 10/26/2046 | 2,723,000 | 2,205,565 | ||
| Kingdom of Saudi Arabia, 4.625%, 10/04/2047 | 3,863,000 | 3,174,961 | ||
| Kingdom of Saudi Arabia, 3.25%, 11/17/2051 (n) | 2,103,000 | 1,362,113 | ||
| Kingdom of Saudi Arabia, 5%, 1/18/2053 (n) | 872,000 | 746,470 | ||
| Oriental Republic of Uruguay, 8.25%, 5/21/2031 | UYU | 89,988,000 | 2,120,811 | |
| Oriental Republic of Uruguay, 9.75%, 7/20/2033 | 56,723,000 | 1,459,234 | ||
| Oriental Republic of Uruguay, 5.75%, 10/28/2034 | $ | 1,729,000 | 1,810,436 | |
| Oriental Republic of Uruguay, 4.975%, 4/20/2055 | 1,300,000 | 1,186,170 | ||
| Republic of Angola, 8.75%, 4/14/2032 (n) | 1,396,000 | 1,165,660 | ||
| Republic of Angola, 9.375%, 5/08/2048 | 2,391,000 | 1,846,521 | ||
5
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Emerging Market Sovereign – continued | ||||
| Republic of Angola, 9.125%, 11/26/2049 | $ | 3,425,000 | $2,595,438 | |
| Republic of Argentina, 3.625%, 7/09/2035 | 3,756,000 | 1,211,839 | ||
| Republic of Argentina, 4.25%, 1/09/2038 | 3,708,000 | 1,360,135 | ||
| Republic of Argentina, 3.5%, 7/09/2041 | 8,460,000 | 2,756,956 | ||
| Republic of Azerbaijan, 3.5%, 9/01/2032 | 857,000 | 712,253 | ||
| Republic of Bulgaria, 4.875%, 5/13/2036 | EUR | 797,000 | 875,446 | |
| Republic of Chile, 4%, 1/31/2052 | $ | 2,111,000 | 1,616,800 | |
| Republic of Chile, 5.33%, 1/05/2054 | 1,321,569 | 1,231,559 | ||
| Republic of Colombia, 8%, 4/20/2033 | 559,000 | 580,642 | ||
| Republic of Colombia, 8%, 11/14/2035 | 940,000 | 970,692 | ||
| Republic of Colombia, 8.75%, 11/14/2053 | 632,000 | 671,461 | ||
| Republic of Costa Rica, 6.55%, 4/03/2034 (n) | 1,734,000 | 1,744,837 | ||
| Republic of Costa Rica, 7.158%, 3/12/2045 | 958,000 | 972,103 | ||
| Republic of Costa Rica, 7.3%, 11/13/2054 (n) | 1,579,000 | 1,612,687 | ||
| Republic of Cote d'Ivoire, 4.875%, 1/30/2032 (n) | EUR | 1,386,000 | 1,222,649 | |
| Republic of Cote d'Ivoire, 6.875%, 10/17/2040 (n) | 1,164,000 | 1,002,497 | ||
| Republic of Cote d'Ivoire, 6.625%, 3/22/2048 (n) | 602,000 | 489,033 | ||
| Republic of Ecuador, 3.5%, 7/31/2035 | $ | 2,342,000 | 819,853 | |
| Republic of Ecuador, 2.5%, 7/31/2040 | 2,731,000 | 846,610 | ||
| Republic of El Salvador, 8.25%, 4/10/2032 | 1,430,000 | 1,172,537 | ||
| Republic of Gabon, 7%, 11/24/2031 (n) | 671,000 | 524,118 | ||
| Republic of Ghana, 7.75%, 4/07/2029 (a)(d)(n) | 982,000 | 419,707 | ||
| Republic of Ghana, 7.875%, 2/11/2035 (a)(d) | 2,325,000 | 996,332 | ||
| Republic of Guatemala, 3.7%, 10/07/2033 | 936,000 | 722,592 | ||
| Republic of Guatemala, 6.6%, 6/13/2036 (n) | 703,000 | 676,781 | ||
| Republic of Hungary, 6.25%, 9/22/2032 (n) | 1,389,000 | 1,417,619 | ||
| Republic of Hungary, 2.25%, 4/20/2033 | HUF | 627,180,000 | 1,271,244 | |
| Republic of Hungary, 5.5%, 6/16/2034 (n) | $ | 2,223,000 | 2,116,763 | |
| Republic of Hungary, 6.75%, 9/25/2052 (n) | 708,000 | 720,333 | ||
| Republic of Indonesia, 4.35%, 1/11/2048 | 1,063,000 | 895,454 | ||
| Republic of Indonesia, 5.45%, 9/20/2052 | 644,000 | 631,120 | ||
| Republic of Kenya, 8%, 5/22/2032 | 1,634,000 | 1,372,560 | ||
| Republic of Korea, 3.25%, 3/10/2028 | KRW | 1,213,610,000 | 927,427 | |
| Republic of Panama, 6.4%, 2/14/2035 | $ | 894,000 | 834,727 | |
| Republic of Panama, 6.875%, 1/31/2036 | 318,000 | 302,850 | ||
| Republic of Panama, 6.853%, 3/28/2054 | 835,000 | 737,743 | ||
| Republic of Paraguay, 3.849%, 6/28/2033 | 1,268,000 | 1,068,487 | ||
| Republic of Paraguay, 5.85%, 8/21/2033 (n) | 942,000 | 911,516 | ||
| Republic of Paraguay, 5.6%, 3/13/2048 | 1,093,000 | 913,648 | ||
| Republic of Paraguay, 5.4%, 3/30/2050 (n) | 3,361,000 | 2,739,132 | ||
| Republic of Paraguay, 5.4%, 3/30/2050 | 1,091,000 | 889,138 | ||
| Republic of Peru, 6.95%, 8/12/2031 | PEN | 8,457,000 | 2,263,606 | |
| Republic of Peru, 1.862%, 12/01/2032 | $ | 545,000 | 409,412 | |
| Republic of Peru, 7.3%, 8/12/2033 | PEN | 7,726,000 | 2,087,994 | |
| Republic of Philippines, 5.5%, 1/17/2048 | $ | 840,000 | 823,171 | |
| Republic of Poland, 1.75%, 4/25/2032 | PLN | 4,864,000 | 916,526 | |
| Republic of Poland, 5.75%, 11/16/2032 | $ | 1,038,000 | 1,077,438 | |
| Republic of Poland, 4.875%, 10/04/2033 | 828,000 | 802,580 | ||
| Republic of Poland, 5.5%, 4/04/2053 | 677,000 | 652,658 | ||
| Republic of Romania, 6.625%, 2/17/2028 (n) | 1,032,000 | 1,048,956 | ||
| Republic of Romania, 5.5%, 9/18/2028 (n) | EUR | 1,132,000 | 1,228,845 | |
| Republic of Romania, 1.75%, 7/13/2030 (n) | 1,556,000 | 1,312,690 | ||
| Republic of Romania, 2%, 1/28/2032 (n) | 1,241,000 | 996,236 | ||
| Republic of Romania, 7.125%, 1/17/2033 (n) | $ | 1,186,000 | 1,226,843 | |
| Republic of Romania, 2.625%, 12/02/2040 (n) | EUR | 602,000 | 401,554 | |
| Republic of Romania, 2.75%, 4/14/2041 (n) | 611,000 | 407,610 | ||
| Republic of Senegal, 6.75%, 3/13/2048 | $ | 540,000 | 379,458 | |
| Republic of Serbia, 6.25%, 5/26/2028 (n) | 895,000 | 896,278 | ||
| Republic of Serbia, 6.5%, 9/26/2033 (n) | 716,000 | 703,613 | ||
6
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Emerging Market Sovereign – continued | ||||
| Republic of South Africa, 9%, 1/31/2040 | ZAR | 23,730,000 | $978,593 | |
| Republic of South Africa, 5.75%, 9/30/2049 | $ | 1,059,000 | 765,128 | |
| Republic of Sri Lanka, 6.125%, 6/03/2025 (a)(d) | 4,379,000 | 2,219,055 | ||
| Republic of Sri Lanka, 7.55%, 3/28/2030 (a)(d) | 2,892,000 | 1,432,307 | ||
| Republic of Turkey, 6.125%, 10/24/2028 | 1,507,000 | 1,416,830 | ||
| Republic of Turkey, 5.25%, 3/13/2030 | 1,110,000 | 961,544 | ||
| Republic of Turkey, 5.95%, 1/15/2031 | 2,172,000 | 1,922,515 | ||
| Republic of Turkey, 5.875%, 6/26/2031 | 2,188,000 | 1,917,235 | ||
| Republic of Turkey, 9.375%, 1/19/2033 | 348,000 | 369,785 | ||
| Republic of Turkey, 6.5%, 9/20/2033 | 2,849,000 | 2,539,918 | ||
| Republic of Turkey, 6.875%, 3/17/2036 | 2,300,000 | 2,029,750 | ||
| Republic of Turkey, 6%, 1/14/2041 | 2,611,000 | 2,004,162 | ||
| Republic of Turkey, 5.75%, 5/11/2047 | 1,575,000 | 1,110,375 | ||
| Republic of Uzbekistan, 7.85%, 10/12/2028 (n) | 668,000 | 677,232 | ||
| Republic of Uzbekistan, 5.375%, 2/20/2029 | 1,081,000 | 989,483 | ||
| Republic of Venezuela, 7%, 3/31/2038 (a)(d) | 6,312,000 | 947,464 | ||
| Republic of Zambia, 8.97%, 7/30/2027 (a)(d) | 2,828,000 | 1,700,335 | ||
| Socialist Republic of Vietnam, 4.8%, 11/19/2024 | 1,088,000 | 1,070,048 | ||
| State of Qatar, 4.817%, 3/14/2049 (n) | 819,000 | 728,473 | ||
| State of Qatar, 4.817%, 3/14/2049 | 619,000 | 550,579 | ||
| State of Qatar, 4.4%, 4/16/2050 (n) | 652,000 | 545,235 | ||
| Sultanate of Oman, 6.5%, 3/08/2047 | 1,218,000 | 1,166,072 | ||
| Sultanate of Oman, 6.75%, 1/17/2048 | 4,130,000 | 4,020,216 | ||
| Sultanate of Oman, 7%, 1/25/2051 (n) | 1,897,000 | 1,907,851 | ||
| Sultanate of Oman, 7%, 1/25/2051 | 3,459,000 | 3,478,785 | ||
| United Mexican States, 5.75%, 3/05/2026 | MXN | 17,400,000 | 919,074 | |
| United Mexican States, 7.5%, 6/03/2027 | 33,500,000 | 1,813,496 | ||
| United Mexican States, 8.5%, 5/31/2029 | 32,000,000 | 1,783,440 | ||
| United Mexican States, 7.75%, 5/29/2031 | 37,800,000 | 1,997,131 | ||
| United Mexican States, 4.875%, 5/19/2033 | $ | 787,000 | 731,144 | |
| United Mexican States, 3.5%, 2/12/2034 | 1,435,000 | 1,168,823 | ||
| United Mexican States, 6.338%, 5/04/2053 | 5,380,000 | 5,132,648 | ||
| $175,829,108 | ||||
| Energy - Independent – 0.5% | ||||
| Energean PLC, 6.5%, 4/30/2027 (n) | $ | 621,000 | $546,172 | |
| EQT Corp., 3.625%, 5/15/2031 (n) | 982,000 | 851,276 | ||
| Hunt Oil Co. of Peru LLC, 8.55%, 9/18/2033 (n) | 483,000 | 501,641 | ||
| Medco Bell Pte. Ltd., 6.375%, 1/30/2027 (n) | 570,000 | 535,586 | ||
| Medco Laurel Tree Pte. Ltd., 6.95%, 11/12/2028 (n) | 584,000 | 542,690 | ||
| Medco Maple Tree Pte. Ltd., 8.96%, 4/27/2029 (n) | 796,000 | 789,339 | ||
| Occidental Petroleum Corp., 6.125%, 1/01/2031 | 752,000 | 759,400 | ||
| Occidental Petroleum Corp., 4.4%, 4/15/2046 | 715,000 | 547,756 | ||
| Pioneer Natural Resources Co., 1.9%, 8/15/2030 | 1,491,000 | 1,222,879 | ||
| Pioneer Natural Resources Co., 2.15%, 1/15/2031 | 757,000 | 622,848 | ||
| Sierracol Energy Andina LLC, 6%, 6/15/2028 (n) | 743,000 | 599,970 | ||
| Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 (n) | 2,119,000 | 1,942,064 | ||
| Tengizchevroil Finance Co. International Ltd., 3.25%, 8/15/2030 (n) | 2,417,000 | 1,865,900 | ||
| $11,327,521 | ||||
| Energy - Integrated – 0.2% | ||||
| BP Capital Markets America, Inc., 1.749%, 8/10/2030 | $ | 1,672,000 | $1,369,379 | |
| BP Capital Markets America, Inc., 4.812%, 2/13/2033 | 390,000 | 378,529 | ||
| BP Capital Markets America, Inc., 3.001%, 3/17/2052 | 1,301,000 | 848,380 | ||
| Eni S.p.A., 4.75%, 9/12/2028 (n) | 1,818,000 | 1,784,274 | ||
| $4,380,562 | ||||
7
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Financial Institutions – 0.2% | ||||
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.65%, 7/21/2027 | $ | 1,425,000 | $1,325,073 | |
| Avolon Holdings Funding Ltd., 2.75%, 2/21/2028 (n) | 1,323,000 | 1,148,720 | ||
| Seazen Group Ltd., 4.45%, 7/13/2025 | 1,614,000 | 516,480 | ||
| Shriram Transport Finance Co. Ltd., 4.4%, 3/13/2024 (n) | 2,049,000 | 2,031,584 | ||
| Sunac China Holdings Ltd., 6%, (5% cash or 6% PIK) 9/30/2026 (n)(p) | 49,505 | 7,673 | ||
| Sunac China Holdings Ltd., 6.25%, (5.25% cash or 6.25% PIK) 9/30/2027 (n)(p) | 49,505 | 6,931 | ||
| Sunac China Holdings Ltd., 6.5%, (5.5% cash or 6.5% PIK) 9/30/2027 (n)(p) | 99,010 | 11,386 | ||
| Sunac China Holdings Ltd., 6.75%, (5.5% cash or 6.5% PIK) 9/30/2028 (n)(p) | 148,516 | 15,965 | ||
| Sunac China Holdings Ltd., 7%, (6% cash or 7% PIK) 9/30/2029 (n)(p) | 148,516 | 13,366 | ||
| Sunac China Holdings Ltd., 7.25%, (6.25% cash or 7.25% PIK) 9/30/2030 (n)(p) | 69,766 | 5,930 | ||
| Times China Holdings Ltd., 6.75%, 7/08/2025 (a)(d) | 1,256,000 | 23,236 | ||
| $5,106,344 | ||||
| Food & Beverages – 1.3% | ||||
| Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | $ | 2,533,000 | $2,582,336 | |
| Aragvi Finance International DAC, 8.45%, 4/29/2026 (n) | 826,000 | 562,258 | ||
| Bacardi Ltd., 5.15%, 5/15/2038 (n) | 2,936,000 | 2,644,797 | ||
| Bimbo Bakeries USA, Inc., 6.05%, 1/15/2029 (n) | 764,000 | 780,861 | ||
| Central America Bottling Co., 5.25%, 4/27/2029 (n) | 2,121,000 | 1,933,843 | ||
| Compania Cervecerias Unidas S.A., 3.35%, 1/19/2032 (n) | 1,439,000 | 1,194,370 | ||
| Constellation Brands, Inc., 2.25%, 8/01/2031 | 746,000 | 600,331 | ||
| Constellation Brands, Inc., 4.1%, 2/15/2048 | 2,470,000 | 1,946,162 | ||
| Diageo Capital PLC, 5.625%, 10/05/2033 | 2,845,000 | 2,940,252 | ||
| JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029 | 1,065,000 | 910,409 | ||
| JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.75%, 12/01/2031 | 568,000 | 470,663 | ||
| JDE Peet's N.V., 0.8%, 9/24/2024 (n) | 981,000 | 939,269 | ||
| JM Smucker Co., 6.5%, 11/15/2053 | 1,422,000 | 1,511,108 | ||
| Kraft Heinz Foods Co., 4.875%, 10/01/2049 | 816,000 | 716,992 | ||
| Kraft Heinz Foods Co., 5.5%, 6/01/2050 | 1,531,000 | 1,475,513 | ||
| Mars, Inc., 4.55%, 4/20/2028 (n) | 2,150,000 | 2,117,519 | ||
| Mars, Inc., 4.75%, 4/20/2033 (n) | 1,812,000 | 1,759,479 | ||
| PT Indofood CBP Sukses Makmur Tbk, 3.398%, 6/09/2031 | 1,243,000 | 1,028,233 | ||
| PT Indofood CBP Sukses Makmur Tbk, 4.805%, 4/27/2052 | 1,637,000 | 1,251,570 | ||
| SYSCO Corp., 2.45%, 12/14/2031 | 2,369,000 | 1,919,793 | ||
| SYSCO Corp., 4.45%, 3/15/2048 | 1,219,000 | 992,518 | ||
| $30,278,276 | ||||
| Gaming & Lodging – 0.2% | ||||
| Marriott International, Inc., 2.85%, 4/15/2031 | $ | 2,128,000 | $1,775,341 | |
| Marriott International, Inc., 3.5%, 10/15/2032 | 891,000 | 757,297 | ||
| Sands China Ltd., 3.5%, 8/08/2031 | 1,670,000 | 1,332,100 | ||
| VICI Properties LP/VICI Note Co., Inc., 4.25%, 12/01/2026 (n) | 688,000 | 648,186 | ||
| $4,512,924 | ||||
| Industrial – 0.1% | ||||
| Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | $ | 285,000 | $268,703 | |
| Trustees of the University of Pennsylvania, 2.396%, 10/01/2050 | 2,127,000 | 1,246,836 | ||
| $1,515,539 | ||||
| Insurance – 0.2% | ||||
| Corebridge Financial, Inc., 3.9%, 4/05/2032 | $ | 1,617,000 | $1,415,561 | |
| Corebridge Financial, Inc., 4.35%, 4/05/2042 | 1,747,000 | 1,401,650 | ||
| Equitable Holdings, Inc., 5.594%, 1/11/2033 | 1,380,000 | 1,355,728 | ||
| $4,172,939 | ||||
| Insurance - Health – 0.3% | ||||
| Humana, Inc., 4.95%, 10/01/2044 | $ | 1,465,000 | $1,301,332 | |
| Humana, Inc., 5.5%, 3/15/2053 | 269,000 | 258,424 | ||
| UnitedHealth Group, Inc., 5.3%, 2/15/2030 | 1,215,000 | 1,240,753 | ||
8
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Insurance - Health – continued | ||||
| UnitedHealth Group, Inc., 2.3%, 5/15/2031 | $ | 1,986,000 | $1,655,896 | |
| UnitedHealth Group, Inc., 4.625%, 7/15/2035 | 896,000 | 860,880 | ||
| UnitedHealth Group, Inc., 5.875%, 2/15/2053 | 971,000 | 1,031,859 | ||
| $6,349,144 | ||||
| Insurance - Property & Casualty – 0.3% | ||||
| American International Group, Inc., 5.125%, 3/27/2033 | $ | 1,155,000 | $1,122,857 | |
| Aon Corp./Aon Global Holdings PLC, 2.05%, 8/23/2031 | 246,000 | 193,433 | ||
| Arthur J. Gallagher & Co., 6.5%, 2/15/2034 | 1,095,000 | 1,156,428 | ||
| Arthur J. Gallagher & Co., 6.75%, 2/15/2054 | 1,057,000 | 1,148,146 | ||
| Fairfax Financial Holdings Ltd., 3.375%, 3/03/2031 | 1,087,000 | 919,556 | ||
| Fairfax Financial Holdings Ltd., 5.625%, 8/16/2032 | 344,000 | 333,912 | ||
| RenaissanceRe Holdings Ltd., 5.75%, 6/05/2033 | 1,678,000 | 1,642,224 | ||
| $6,516,556 | ||||
| International Market Quasi-Sovereign – 0.1% | ||||
| NBN Co. Ltd. (Commonwealth of Australia), 5.75%, 10/06/2028 (n) | $ | 1,470,000 | $1,504,513 | |
| Ontario Teachers' Cadillac Fairview Properties, 2.5%, 10/15/2031 (n) | 1,858,000 | 1,447,657 | ||
| $2,952,170 | ||||
| International Market Sovereign – 0.2% | ||||
| Government of Bermuda, 5%, 7/15/2032 (n) | $ | 3,915,000 | $3,703,590 | |
| Government of Bermuda, 3.375%, 8/20/2050 (n) | 2,322,000 | 1,445,445 | ||
| $5,149,035 | ||||
| Machinery & Tools – 0.2% | ||||
| Ashtead Capital, Inc., 4.375%, 8/15/2027 (n) | $ | 408,000 | $384,178 | |
| Ashtead Capital, Inc., 5.55%, 5/30/2033 (n) | 1,339,000 | 1,272,282 | ||
| Ashtead Capital, Inc., 5.95%, 10/15/2033 (n) | 536,000 | 520,510 | ||
| CNH Industrial Capital LLC, 5.5%, 1/12/2029 | 1,405,000 | 1,402,364 | ||
| CNH Industrial N.V., 3.85%, 11/15/2027 | 2,049,000 | 1,936,278 | ||
| $5,515,612 | ||||
| Major Banks – 3.0% | ||||
| Banco Mercantil del Norte S.A., 6.625% to 1/24/2032, FLR (CMT - 10yr. + 5.034%) to 1/24/2171 | $ | 1,055,000 | $875,123 | |
| Bank of America Corp., 3.366% to 1/23/2025, FLR ((SOFR - 3mo. + 0.26161%) + 0.81%) to 1/23/2026 | 1,278,000 | 1,238,115 | ||
| Bank of America Corp., 3.419% to 12/20/2027, FLR ((SOFR - 3mo. + 0.26161%) + 1.04%) to 12/20/2028 | 2,164,000 | 1,987,864 | ||
| Bank of America Corp., 5.819% to 9/15/2028, FLR (SOFR - 1 day + 1.57%) to 9/15/2029 | 1,463,000 | 1,476,046 | ||
| Bank of America Corp., 2.687% to 4/22/2031, FLR (SOFR - 1 day + 1.32%) to 4/22/2032 | 2,851,000 | 2,316,210 | ||
| Bank of America Corp., 5.872% to 9/15/2033, FLR (SOFR - 1 day + 1.84%) to 9/15/2034 | 1,438,000 | 1,442,817 | ||
| Bank of New York Mellon Corp., 5.802% to 10/25/2027, FLR (SOFR - 1 day + 1.802%) to 10/25/2028 | 598,000 | 608,021 | ||
| Bank of New York Mellon Corp., 5.834% to 10/25/2032, FLR (SOFR - 1 day + 2.074%) to 10/25/2033 | 582,000 | 592,835 | ||
| Barclays PLC, 2.894% to 11/24/2031, FLR (CMT - 1yr. + 1.3%) to 11/24/2032 | 1,466,000 | 1,154,131 | ||
| Capital One Financial Corp., 6.312% to 6/08/2028, FLR (SOFR - 1 day + 2.640%) to 6/08/2029 | 749,000 | 744,606 | ||
| Capital One Financial Corp., 6.377% to 6/08/2033, FLR (SOFR - 1 day + 2.860%) to 6/08/2034 | 339,000 | 329,910 | ||
| Commonwealth Bank of Australia, 3.61% to 9/12/2029, FLR (CMT - 1yr. + 2.05%) to 9/12/2034 (n) | 1,818,000 | 1,557,216 | ||
| Commonwealth Bank of Australia, 3.305%, 3/11/2041 (n) | 2,351,000 | 1,577,429 | ||
| Credit Agricole S.A., 1.247% to 1/26/2026, FLR (SOFR - 1 day + 0.89162%) to 1/26/2027 (n) | 3,272,000 | 2,963,134 | ||
| Goldman Sachs Group, Inc., 2.64% to 2/24/2027, FLR (SOFR - 1 day + 1.114%) to 2/24/2028 | 1,210,000 | 1,102,085 | ||
| HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR - 1 day + 1.929%) to 6/04/2026 | 1,171,000 | 1,103,586 | ||
| HSBC Holdings PLC, 2.357% to 8/18/2030, FLR (SOFR - 1 day + 1.947%) to 8/18/2031 | 1,554,000 | 1,243,837 | ||
| Huntington Bancshares, Inc., 6.208% to 8/21/2028, FLR (SOFR - 1 day + 2.02%) to 8/21/2029 | 1,125,000 | 1,126,747 | ||
| JPMorgan Chase & Co., 6.07% to 10/22/2026, FLR (SOFR - 1 day + 1.33%) to 10/22/2027 | 1,791,000 | 1,820,084 | ||
| JPMorgan Chase & Co., 3.782% to 2/01/2027, FLR ((SOFR - 3mo. + 0.26161%) + 1.337%) to 2/01/2028 | 1,934,000 | 1,841,194 | ||
| JPMorgan Chase & Co., 2.545% to 11/08/2031, FLR (SOFR - 1 day + 1.18%) to 11/08/2032 | 3,984,000 | 3,202,734 | ||
| Mitsubishi UFJ Financial Group, Inc., 1.64% to 10/13/2026, FLR (CMT - 1yr. + 0.67%) to 10/13/2027 | 2,438,000 | 2,182,396 | ||
| Mitsubishi UFJ Financial Group, Inc., 2.494% to 10/13/2031, FLR (CMT - 1yr. + 0.97%) to 10/13/2032 | 3,570,000 | 2,870,756 | ||
| Morgan Stanley, 3.125%, 7/27/2026 | 4,414,000 | 4,173,252 | ||
| Morgan Stanley, 5.449% to 7/20/2028, FLR (SOFR - 1 day + 1.63%) to 7/20/2029 | 705,000 | 702,326 | ||
9
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Major Banks – continued | ||||
| Morgan Stanley, 5.424% to 7/21/2033, FLR (SOFR - 1 day + 1.88%) to 7/21/2034 | $ | 806,000 | $781,626 | |
| National Australia Bank Ltd., 3.347% to 1/12/2032, FLR (CMT - 5yr. + 1.7%) to 1/12/2037 (n) | 1,681,000 | 1,315,263 | ||
| NatWest Group PLC, 5.847% to 3/02/2026, FLR (CMT - 1yr. + 1.35%) to 3/02/2027 | 956,000 | 952,814 | ||
| Nordea Bank Abp, 1.5%, 9/30/2026 (n) | 3,606,000 | 3,228,516 | ||
| Oversea-Chinese Banking Corp. Ltd., 1.832% to 9/10/2025, FLR (CMT - 1yr. + 1.58%) to 9/10/2030 (n) | 723,000 | 672,716 | ||
| Oversea-Chinese Banking Corp. Ltd., 4.602%, 6/15/2032 | 671,000 | 652,914 | ||
| Royal Bank of Canada, 2.3%, 11/03/2031 | 3,243,000 | 2,604,875 | ||
| Sumitomo Mitsui Financial Group, Inc., 1.71%, 1/12/2031 | 2,461,000 | 1,899,894 | ||
| Sumitomo Mitsui Trust Bank Ltd., 5.65%, 3/09/2026 (n) | 1,964,000 | 1,971,884 | ||
| Toronto-Dominion Bank, 4.108%, 6/08/2027 | 830,000 | 798,251 | ||
| Toronto-Dominion Bank, 4.693%, 9/15/2027 | 1,665,000 | 1,634,397 | ||
| Toronto-Dominion Bank, 2%, 9/10/2031 | 1,539,000 | 1,223,402 | ||
| UBS Group AG, 3.126% to 8/13/2029, FLR (LIBOR - 3mo. + 1.468%) to 8/13/2030 (n) | 2,757,000 | 2,376,850 | ||
| UBS Group AG, 3.179% to 2/11/2042, FLR (CMT - 1yr. + 1.1%) to 2/11/2043 (n) | 2,359,000 | 1,613,081 | ||
| UBS Group AG, 9.25% to 11/13/2028, FLR (CMT - 5yr. + 4.745%) to 5/13/2172 (n) | 893,000 | 932,986 | ||
| UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n) | 1,750,000 | 1,623,672 | ||
| UniCredit S.p.A., 1.982% to 6/03/2026, FLR (CMT - 1yr. + 1.2%) to 6/03/2027 (n) | 282,000 | 253,836 | ||
| Wells Fargo & Co., 4.54% to 8/15/2025, FLR (SOFR - 1 day + 1.56%) to 8/15/2026 | 1,269,000 | 1,243,725 | ||
| Wells Fargo & Co., 5.574% to 7/25/2028, FLR (SOFR - 1 day + 1.74%) to 7/25/2029 | 1,172,000 | 1,170,120 | ||
| Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033 | 708,000 | 592,611 | ||
| $67,775,887 | ||||
| Medical & Health Technology & Services – 0.7% | ||||
| Alcon Finance Corp., 2.6%, 5/27/2030 (n) | $ | 1,260,000 | $1,054,528 | |
| Alcon, Inc., 2.75%, 9/23/2026 (n) | 2,618,000 | 2,437,793 | ||
| Becton, Dickinson and Co., 2.823%, 5/20/2030 | 671,000 | 580,110 | ||
| Becton, Dickinson and Co., 4.298%, 8/22/2032 | 844,000 | 783,836 | ||
| CVS Health Corp., 5%, 2/20/2026 | 1,211,000 | 1,205,280 | ||
| CVS Health Corp., 5.625%, 2/21/2053 | 1,456,000 | 1,379,354 | ||
| HCA, Inc., 5.2%, 6/01/2028 | 1,003,000 | 988,669 | ||
| HCA, Inc., 5.875%, 2/01/2029 | 375,000 | 378,324 | ||
| IQVIA, Inc., 6.25%, 2/01/2029 (n) | 1,089,000 | 1,105,349 | ||
| Marin General Hospital, 7.242%, 8/01/2045 | 839,000 | 855,071 | ||
| ProMedica Toledo Hospital, “B”, AGM, 5.325%, 11/15/2028 | 1,165,000 | 1,138,246 | ||
| Quest Diagnostics, Inc., 6.4%, 11/30/2033 | 1,538,000 | 1,628,251 | ||
| Thermo Fisher Scientific, Inc., 4.977%, 8/10/2030 | 2,257,000 | 2,253,533 | ||
| Thermo Fisher Scientific, Inc., 2%, 10/15/2031 | 497,000 | 403,069 | ||
| Thermo Fisher Scientific, Inc., 2.8%, 10/15/2041 | 832,000 | 589,853 | ||
| $16,781,266 | ||||
| Medical Equipment – 0.0% | ||||
| Danaher Corp., 2.6%, 10/01/2050 | $ | 1,499,000 | $923,319 | |
| Metals & Mining – 0.2% | ||||
| Anglo American Capital PLC, 4.5%, 3/15/2028 (n) | $ | 1,378,000 | $1,318,340 | |
| Glencore Funding LLC, 2.85%, 4/27/2031 (n) | 1,809,000 | 1,483,363 | ||
| Petra Diamonds US$ Treasury PLC, 9.75%, 3/08/2026 (n) | 1,728,366 | 1,382,693 | ||
| $4,184,396 | ||||
| Midstream – 0.7% | ||||
| Columbia Pipelines Holdings Co. LLC, 6.055%, 8/15/2026 (n) | $ | 313,000 | $316,794 | |
| Columbia Pipelines Operating Co. LLC, 6.497%, 8/15/2043 (n) | 45,000 | 45,535 | ||
| Columbia Pipelines Operating Co. LLC, 6.544%, 11/15/2053 (n) | 1,812,000 | 1,854,034 | ||
| Enbridge, Inc., 5.969%, 3/08/2026 | 861,000 | 860,187 | ||
| Enbridge, Inc., 5.7%, 3/08/2033 | 779,000 | 778,993 | ||
| Energy Transfer LP, 4%, 10/01/2027 | 893,000 | 843,317 | ||
| Energy Transfer LP, 3.75%, 5/15/2030 | 580,000 | 520,382 | ||
| Galaxy Pipeline Assets Bidco Ltd., 1.75%, 9/30/2027 (n) | 1,855,742 | 1,724,882 | ||
| Galaxy Pipeline Assets Bidco Ltd., 2.625%, 3/31/2036 (n) | 1,010,000 | 802,514 | ||
10
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Midstream – continued | ||||
| Galaxy Pipeline Assets Bidco Ltd., 2.94%, 9/30/2040 (n) | $ | 1,660,020 | $1,302,758 | |
| Galaxy Pipeline Assets Bidco Ltd., 3.25%, 9/30/2040 (n) | 1,589,000 | 1,175,453 | ||
| Peru LNG, 5.375%, 3/22/2030 | 1,254,000 | 975,256 | ||
| Plains All American Pipeline LP, 4.65%, 10/15/2025 | 564,000 | 552,964 | ||
| Plains All American Pipeline LP, 3.55%, 12/15/2029 | 1,827,000 | 1,630,081 | ||
| Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 | 964,000 | 920,950 | ||
| Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | 565,000 | 533,413 | ||
| Targa Resources Corp., 4.95%, 4/15/2052 | 1,458,000 | 1,196,054 | ||
| $16,033,567 | ||||
| Mortgage-Backed – 8.1% | ||||
| Fannie Mae, 5%, 3/01/2024 - 3/01/2042 | $ | 2,446,064 | $2,429,416 | |
| Fannie Mae, 4.5%, 5/01/2025 - 11/01/2042 | 1,259,796 | 1,217,469 | ||
| Fannie Mae, 3%, 11/01/2028 - 9/01/2046 | 7,688,871 | 6,983,440 | ||
| Fannie Mae, 2.5%, 11/01/2031 - 10/01/2046 | 1,032,720 | 910,776 | ||
| Fannie Mae, 3.5%, 12/25/2031 - 2/25/2036 (i) | 408,369 | 35,887 | ||
| Fannie Mae, 6.5%, 1/01/2033 - 10/01/2037 | 37,056 | 38,332 | ||
| Fannie Mae, 2%, 1/25/2033 - 5/25/2044 | 742,823 | 685,325 | ||
| Fannie Mae, 3%, 2/25/2033 (i) | 549,889 | 46,409 | ||
| Fannie Mae, 5.5%, 5/01/2033 - 5/01/2044 | 2,269,631 | 2,303,793 | ||
| Fannie Mae, 3.554%, 6/25/2033 | 581,266 | 549,611 | ||
| Fannie Mae, 3.5%, 8/15/2033 - 6/25/2048 | 5,408,277 | 4,938,127 | ||
| Fannie Mae, 5.893%, 4/25/2034 | 71,838 | 71,674 | ||
| Fannie Mae, 6%, 8/01/2034 - 6/01/2038 | 114,779 | 117,891 | ||
| Fannie Mae, 5.733%, 1/25/2036 | 65,242 | 65,085 | ||
| Fannie Mae, 5.843%, 4/25/2037 | 23,942 | 23,182 | ||
| Fannie Mae, 4%, 9/01/2040 - 7/01/2043 | 3,703,077 | 3,461,746 | ||
| Fannie Mae, 2.25%, 4/25/2041 - 7/25/2043 | 853,583 | 758,944 | ||
| Fannie Mae, 5.793%, 12/25/2042 | 51,941 | 50,556 | ||
| Fannie Mae, 5.743%, 12/25/2045 | 63,681 | 61,205 | ||
| Fannie Mae, UMBS, 2.5%, 8/01/2036 - 9/01/2052 | 27,200,748 | 22,431,136 | ||
| Fannie Mae, UMBS, 2%, 10/01/2036 - 9/01/2052 | 17,362,388 | 14,086,789 | ||
| Fannie Mae, UMBS, 5.5%, 8/01/2038 - 5/01/2053 | 1,726,785 | 1,719,804 | ||
| Fannie Mae, UMBS, 1.5%, 2/01/2042 - 9/01/2051 | 2,046,021 | 1,513,682 | ||
| Fannie Mae, UMBS, 3.5%, 5/01/2049 - 7/01/2052 | 732,989 | 653,569 | ||
| Fannie Mae, UMBS, 3%, 7/01/2050 - 5/01/2053 | 6,857,015 | 5,798,370 | ||
| Fannie Mae, UMBS, 4%, 8/01/2051 - 5/01/2052 | 868,197 | 798,304 | ||
| Fannie Mae, UMBS, 4.5%, 7/01/2052 - 9/01/2052 | 392,487 | 370,125 | ||
| Fannie Mae, UMBS, 5%, 8/01/2052 - 3/01/2053 | 2,370,554 | 2,284,923 | ||
| Fannie Mae, UMBS, 6%, 2/01/2053 - 11/01/2053 | 3,612,436 | 3,630,781 | ||
| Fannie Mae, UMBS, 6.5%, 6/01/2053 - 9/01/2053 | 294,623 | 299,318 | ||
| Freddie Mac, 1.048%, 4/25/2024 (i) | 12,556,809 | 20,071 | ||
| Freddie Mac, 0.729%, 7/25/2024 (i) | 17,052,379 | 41,122 | ||
| Freddie Mac, 4.5%, 9/01/2024 - 5/01/2042 | 1,778,345 | 1,681,478 | ||
| Freddie Mac, 4%, 7/01/2025 - 4/15/2044 | 2,004,117 | 1,902,730 | ||
| Freddie Mac, 1.48%, 3/25/2027 (i) | 2,188,000 | 87,135 | ||
| Freddie Mac, 0.705%, 7/25/2027 (i) | 44,046,478 | 762,524 | ||
| Freddie Mac, 0.55%, 8/25/2027 (i) | 33,152,696 | 447,926 | ||
| Freddie Mac, 0.431%, 1/25/2028 (i) | 59,838,653 | 675,949 | ||
| Freddie Mac, 0.436%, 1/25/2028 (i) | 25,733,230 | 299,965 | ||
| Freddie Mac, 0.27%, 2/25/2028 (i) | 77,068,909 | 450,583 | ||
| Freddie Mac, 0.263%, 4/25/2028 (i) | 49,804,685 | 281,182 | ||
| Freddie Mac, 3%, 6/15/2028 - 10/01/2046 | 3,374,388 | 2,989,328 | ||
| Freddie Mac, 1.22%, 7/25/2029 (i) | 8,067,860 | 399,921 | ||
| Freddie Mac, 1.266%, 8/25/2029 (i) | 14,123,581 | 738,463 | ||
| Freddie Mac, 1.915%, 4/25/2030 (i) | 3,344,437 | 317,810 | ||
| Freddie Mac, 1.985%, 4/25/2030 (i) | 8,166,315 | 785,492 | ||
| Freddie Mac, 1.769%, 5/25/2030 (i) | 4,373,949 | 386,839 | ||
| Freddie Mac, 1.906%, 5/25/2030 (i) | 9,928,903 | 936,435 | ||
11
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Mortgage-Backed – continued | ||||
| Freddie Mac, 5.5%, 6/01/2030 - 9/01/2041 | $ | 772,353 | $784,685 | |
| Freddie Mac, 1.435%, 6/25/2030 (i) | 3,957,955 | 287,398 | ||
| Freddie Mac, 1.704%, 8/25/2030 (i) | 3,506,241 | 307,297 | ||
| Freddie Mac, 1.263%, 9/25/2030 (i) | 2,193,674 | 142,988 | ||
| Freddie Mac, 0.419%, 1/25/2031 (i) | 12,705,984 | 224,416 | ||
| Freddie Mac, 0.872%, 1/25/2031 (i) | 4,987,462 | 228,277 | ||
| Freddie Mac, 0.955%, 9/25/2031 (i) | 5,826,990 | 307,203 | ||
| Freddie Mac, 0.299%, 8/25/2033 (i) | 12,475,897 | 179,850 | ||
| Freddie Mac, 5%, 5/01/2034 - 12/01/2044 | 1,272,149 | 1,269,261 | ||
| Freddie Mac, 6%, 8/01/2034 - 10/01/2038 | 150,419 | 155,265 | ||
| Freddie Mac, 5.5%, 2/15/2036 (i) | 139,135 | 21,538 | ||
| Freddie Mac, 6.5%, 5/01/2037 | 5,578 | 5,847 | ||
| Freddie Mac, 4.5%, 12/15/2040 (i) | 34,462 | 2,776 | ||
| Freddie Mac, 3.5%, 12/01/2041 - 10/25/2058 | 3,468,614 | 3,092,910 | ||
| Freddie Mac, 3.25%, 11/25/2061 | 1,396,593 | 1,210,868 | ||
| Freddie Mac Multi-Family Structured Pass-Through Certificates, 0.612%, 10/25/2028 (i) | 6,097,106 | 121,862 | ||
| Freddie Mac Multi-Family Structured Pass-Through Certificates K-511, “A2”, 4.86%, 10/25/2028 | 670,777 | 668,924 | ||
| Freddie Mac, UMBS, 2%, 3/01/2037 - 6/01/2052 | 16,638,841 | 13,201,001 | ||
| Freddie Mac, UMBS, 2.5%, 3/01/2037 - 9/01/2052 | 8,594,369 | 7,007,730 | ||
| Freddie Mac, UMBS, 5.5%, 4/01/2038 - 9/01/2053 | 1,928,858 | 1,911,092 | ||
| Freddie Mac, UMBS, 4.5%, 6/01/2038 | 721,471 | 703,442 | ||
| Freddie Mac, UMBS, 3%, 3/01/2047 - 1/01/2053 | 3,732,959 | 3,184,778 | ||
| Freddie Mac, UMBS, 1.5%, 6/01/2051 - 11/01/2051 | 62,595 | 46,206 | ||
| Freddie Mac, UMBS, 3.5%, 5/01/2052 - 9/01/2052 | 4,528,942 | 3,974,225 | ||
| Freddie Mac, UMBS, 4%, 5/01/2052 - 6/01/2052 | 1,407,733 | 1,283,738 | ||
| Freddie Mac, UMBS, 6%, 10/01/2052 - 11/01/2053 | 1,053,401 | 1,056,712 | ||
| Freddie Mac, UMBS, 5%, 8/01/2053 | 1,774,999 | 1,708,359 | ||
| Ginnie Mae, 5.5%, 5/15/2033 - 6/20/2053 | 5,404,773 | 5,370,437 | ||
| Ginnie Mae, 4.5%, 7/20/2033 - 9/20/2052 | 7,789,178 | 7,435,026 | ||
| Ginnie Mae, 5.676%, 8/20/2034 | 357,071 | 361,049 | ||
| Ginnie Mae, 4%, 5/16/2039 - 7/20/2053 | 3,690,859 | 3,423,243 | ||
| Ginnie Mae, 5.896%, 10/20/2039 | 105,413 | 103,853 | ||
| Ginnie Mae, 3.5%, 10/20/2041 (i) | 148,367 | 5,224 | ||
| Ginnie Mae, 3.5%, 12/15/2041 - 11/20/2052 | 5,860,814 | 5,289,276 | ||
| Ginnie Mae, 2.5%, 6/20/2042 - 6/20/2052 | 7,291,944 | 6,088,485 | ||
| Ginnie Mae, 4%, 8/16/2042 (i) | 262,900 | 38,017 | ||
| Ginnie Mae, 3%, 4/20/2045 - 10/20/2052 | 7,369,598 | 6,407,326 | ||
| Ginnie Mae, 5%, 5/20/2049 - 9/20/2053 | 4,506,348 | 4,378,909 | ||
| Ginnie Mae, 2%, 1/20/2052 - 3/20/2052 | 2,076,687 | 1,675,482 | ||
| Ginnie Mae, 0.584%, 2/16/2059 (i) | 989,016 | 33,524 | ||
| Ginnie Mae, TBA, 2%, 12/15/2053 | 2,450,000 | 1,976,652 | ||
| Ginnie Mae, TBA, 6.5%, 12/15/2053 - 1/15/2054 | 3,800,000 | 3,863,070 | ||
| UMBS, TBA, 2.5%, 12/13/2053 | 52,526 | 42,521 | ||
| UMBS, TBA, 2%, 12/25/2053 | 2,525,000 | 1,960,623 | ||
| UMBS, TBA, 6%, 12/25/2053 | 925,000 | 927,568 | ||
| $184,009,555 | ||||
| Municipals – 0.1% | ||||
| Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B”, 2.746%, 6/01/2034 | $ | 855,000 | $688,259 | |
| Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.682%, 7/01/2027 | 255,000 | 233,761 | ||
| Michigan Finance Authority Tobacco Settlement Asset-Backed Rev., Taxable (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 197,203 | 186,568 | ||
| State of Florida, Taxable, “A”, 2.154%, 7/01/2030 | 673,000 | 554,717 | ||
| West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, Taxable, “A-1”, 1.497%, 6/01/2024 | 210,000 | 205,560 | ||
| West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, Taxable, “A-1”, 1.647%, 6/01/2025 | 175,000 | 164,700 | ||
| $2,033,565 | ||||
| Natural Gas - Pipeline – 0.0% | ||||
| APA Infrastructure Ltd., 5%, 3/23/2035 (n) | $ | 1,217,000 | $1,102,382 | |
12
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Oils – 0.0% | ||||
| Puma International Financing S.A., 5%, 1/24/2026 | $ | 650,000 | $602,758 | |
| Other Banks & Diversified Financials – 0.6% | ||||
| AIB Group PLC, 6.608% to 9/13/2028, FLR (SOFR - 1 day + 2.33%) to 9/13/2029 (n) | $ | 1,089,000 | $1,109,996 | |
| Banco Continental S.A.E.C.A., 2.75%, 12/10/2025 (n) | 1,239,000 | 1,140,290 | ||
| Banco GNB Sudameris S.A., 7.5% to 4/16/2026, FLR (CMT - 5yr. + 6.66%) to 4/16/2031 (n) | 1,456,000 | 1,140,048 | ||
| Bangkok Bank Public Co. Ltd. (Hong Kong), 3.733% to 9/25/2029, FLR (CMT - 5yr. + 1.9%) to 9/25/2034 | 1,222,000 | 1,049,087 | ||
| BBVA Bancomer S.A., 8.45%, 6/29/2038 (n) | 362,000 | 363,028 | ||
| BSF Finance, 5.5%, 11/23/2027 | 800,000 | 796,579 | ||
| Intesa Sanpaolo S.p.A., 7.2%, 11/28/2033 (n) | 1,472,000 | 1,490,866 | ||
| Macquarie Group Ltd., 5.887%, 6/15/2034 (n) | 1,539,000 | 1,504,067 | ||
| Manufacturers and Traders Trust Co., 4.7%, 1/27/2028 | 1,206,000 | 1,132,902 | ||
| Truist Financial Corp., 7.161% to 10/30/2028, FLR (SOFR - 1 day + 2.446%) to 10/30/2029 | 1,264,000 | 1,321,446 | ||
| United Overseas Bank Ltd., 2% to 10/14/2026, FLR (CMT - 5yr. + 1.23%) to 10/14/2031 (n) | 1,677,000 | 1,505,310 | ||
| United Overseas Bank Ltd., 3.863% to 10/07/2027, FLR (CMT - 5yr. + 1.45%) to 10/07/2032 (n) | 934,000 | 876,762 | ||
| $13,430,381 | ||||
| Pharmaceuticals – 0.5% | ||||
| Bayer US Finance LLC, 6.125%, 11/21/2026 (n) | $ | 872,000 | $874,195 | |
| Bayer US Finance LLC, 6.25%, 1/21/2029 (n) | 1,095,000 | 1,099,607 | ||
| Merck & Co., Inc., 2.75%, 12/10/2051 | 826,000 | 527,622 | ||
| Pfizer Investment Enterprises Pte. Ltd., 4.75%, 5/19/2033 | 2,674,000 | 2,601,327 | ||
| Pfizer Investment Enterprises Pte. Ltd., 5.3%, 5/19/2053 | 408,000 | 397,814 | ||
| Pfizer, Inc., 2.55%, 5/28/2040 | 826,000 | 580,490 | ||
| Roche Holdings, Inc., 5.338%, 11/13/2028 (n) | 1,842,000 | 1,875,019 | ||
| Roche Holdings, Inc., 5.489%, 11/13/2030 (n) | 1,826,000 | 1,873,700 | ||
| Teva Pharmaceutical Finance Netherlands III B.V., 7.875%, 9/15/2029 | 636,000 | 662,920 | ||
| Teva Pharmaceutical Finance Netherlands III B.V., 8.125%, 9/15/2031 | 424,000 | 447,290 | ||
| $10,939,984 | ||||
| Pollution Control – 0.1% | ||||
| Waste Management, Inc., 4.625%, 2/15/2033 | $ | 2,759,000 | $2,669,810 | |
| Precious Metals & Minerals – 0.1% | ||||
| Northern Star Resources Ltd. Co., 6.125%, 4/11/2033 (n) | $ | 1,592,000 | $1,525,279 | |
| Railroad & Shipping – 0.1% | ||||
| Burlington Northern Santa Fe, LLC, 5.2%, 4/15/2054 | $ | 1,438,000 | $1,393,746 | |
| Canadian Pacific Railway Co., 3.1%, 12/02/2051 | 1,167,000 | 779,564 | ||
| $2,173,310 | ||||
| Real Estate - Office – 0.1% | ||||
| Boston Properties LP, REIT, 3.65%, 2/01/2026 | $ | 1,047,000 | $988,523 | |
| Corporate Office Property LP, REIT, 2%, 1/15/2029 | 1,230,000 | 973,287 | ||
| Corporate Office Property LP, REIT, 2.75%, 4/15/2031 | 1,252,000 | 957,396 | ||
| $2,919,206 | ||||
| Real Estate - Other – 0.2% | ||||
| EPR Properties, REIT, 3.6%, 11/15/2031 | $ | 741,000 | $575,574 | |
| Extra Space Storage LP, 5.5%, 7/01/2030 | 1,622,000 | 1,597,639 | ||
| Lexington Realty Trust Co., 2.7%, 9/15/2030 | 1,082,000 | 862,946 | ||
| Lexington Realty Trust Co., 2.375%, 10/01/2031 | 474,000 | 361,018 | ||
| Prologis LP, REIT, 5.125%, 1/15/2034 | 1,960,000 | 1,921,815 | ||
| W.P. Carey, Inc., REIT, 2.45%, 2/01/2032 | 378,000 | 291,794 | ||
| $5,610,786 | ||||
13
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Real Estate - Retail – 0.1% | ||||
| NNN REIT, Inc., 5.6%, 10/15/2033 | $ | 1,227,000 | $1,199,725 | |
| STORE Capital Corp., REIT, 2.75%, 11/18/2030 | 1,860,000 | 1,364,501 | ||
| $2,564,226 | ||||
| Retailers – 0.3% | ||||
| Alibaba Group Holding Ltd., 3.15%, 2/09/2051 | $ | 1,582,000 | $956,637 | |
| Alimentation Couche-Tard, Inc., 3.439%, 5/13/2041 (n) | 335,000 | 236,492 | ||
| Alimentation Couche-Tard, Inc., 3.8%, 1/25/2050 (n) | 936,000 | 648,685 | ||
| Amazon.com, Inc., 3.6%, 4/13/2032 | 1,488,000 | 1,368,452 | ||
| AutoZone, Inc., 4.75%, 8/01/2032 | 1,156,000 | 1,094,509 | ||
| Grupo Axo S.A.P.I. de C.V., 5.75%, 6/08/2026 (n) | 1,154,000 | 1,034,162 | ||
| Home Depot, Inc., 3.9%, 6/15/2047 | 1,320,000 | 1,051,567 | ||
| $6,390,504 | ||||
| Specialty Chemicals – 0.1% | ||||
| International Flavors & Fragrances, Inc., 1.23%, 10/01/2025 (n) | $ | 801,000 | $731,502 | |
| International Flavors & Fragrances, Inc., 1.832%, 10/15/2027 (n) | 417,000 | 357,979 | ||
| International Flavors & Fragrances, Inc., 2.3%, 11/01/2030 (n) | 514,000 | 408,176 | ||
| $1,497,657 | ||||
| Specialty Stores – 0.1% | ||||
| DICK'S Sporting Goods, 3.15%, 1/15/2032 | $ | 910,000 | $738,907 | |
| DICK'S Sporting Goods, 4.1%, 1/15/2052 | 939,000 | 626,455 | ||
| $1,365,362 | ||||
| Telecommunications - Wireless – 0.7% | ||||
| Crown Castle, Inc., REIT, 4.45%, 2/15/2026 | $ | 1,267,000 | $1,235,674 | |
| Crown Castle, Inc., REIT, 3.7%, 6/15/2026 | 2,796,000 | 2,669,010 | ||
| Liberty Costa Rica Senior Secured Finance, 10.875%, 1/15/2031 (n) | 570,000 | 560,661 | ||
| Rogers Communications, Inc., 3.8%, 3/15/2032 | 1,354,000 | 1,178,574 | ||
| Rogers Communications, Inc., 4.5%, 3/15/2042 | 1,639,000 | 1,349,863 | ||
| Sitios Latinoamerica, S.A.B. de C.V., 5.375%, 4/04/2032 | 610,000 | 542,473 | ||
| Telefonica Celular del Paraguay S.A., 5.875%, 4/15/2027 | 1,203,000 | 1,142,850 | ||
| T-Mobile USA, Inc., 3.5%, 4/15/2025 | 2,182,000 | 2,122,198 | ||
| T-Mobile USA, Inc., 2.05%, 2/15/2028 | 1,390,000 | 1,222,635 | ||
| T-Mobile USA, Inc., 5.05%, 7/15/2033 | 1,191,000 | 1,154,785 | ||
| VEON Holdings B.V., 4%, 4/09/2025 (n) | 1,444,000 | 1,285,882 | ||
| Vodafone Group PLC, 5.625%, 2/10/2053 | 2,477,000 | 2,354,181 | ||
| $16,818,786 | ||||
| Tobacco – 0.2% | ||||
| B.A.T. Capital Corp., 6.343%, 8/02/2030 | $ | 1,384,000 | $1,420,726 | |
| Philip Morris International, Inc., 5.625%, 11/17/2029 | 605,000 | 614,614 | ||
| Philip Morris International, Inc., 5.125%, 2/15/2030 | 1,467,000 | 1,447,451 | ||
| $3,482,791 | ||||
| Transportation - Services – 0.3% | ||||
| Acu Petroleo Luxembourg S.à r.l., 7.5%, 7/13/2032 (n) | $ | 372,034 | $348,225 | |
| Adani Ports & Special Economic Zone Ltd., 5%, 8/02/2041 (n) | 1,694,000 | 1,126,630 | ||
| Cliffton Ltd., 6.25%, 10/25/2025 (n) | 1,454,000 | 1,421,285 | ||
| Element Fleet Management Corp., 6.319%, 12/04/2028 (n)(w) | 1,694,000 | 1,710,273 | ||
| Prumo Participacoes e Investimentos S.A., 7.5%, 12/31/2031 | 764,608 | 730,769 | ||
| Royal Capital B.V., 5% to 5/05/2026, FLR (CMT - 5yr. + 7.396%) to 7/31/2070 | 390,000 | 375,375 | ||
| $5,712,557 | ||||
| U.S. Government Agencies and Equivalents – 0.0% | ||||
| Small Business Administration, 5.16%, 2/01/2028 | $ | 12,591 | $12,185 | |
| Small Business Administration, 2.21%, 2/01/2033 | 79,170 | 71,774 | ||
| Small Business Administration, 2.22%, 3/01/2033 | 129,274 | 116,919 | ||
14
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| U.S. Government Agencies and Equivalents – continued | ||||
| Small Business Administration, 3.15%, 7/01/2033 | $ | 152,378 | $142,155 | |
| Small Business Administration, 3.16%, 8/01/2033 | 199,428 | 185,783 | ||
| Small Business Administration, 3.62%, 9/01/2033 | 148,551 | 140,541 | ||
| $669,357 | ||||
| U.S. Treasury Obligations – 5.5% | ||||
| U.S. Treasury Bonds, 6.375%, 8/15/2027 | $ | 106,000 | $112,936 | |
| U.S. Treasury Bonds, 5.25%, 2/15/2029 | 2,965,000 | 3,085,569 | ||
| U.S. Treasury Bonds, 2.375%, 2/15/2042 | 11,483,000 | 8,178,946 | ||
| U.S. Treasury Bonds, 2.875%, 5/15/2043 | 6,853,400 | 5,235,890 | ||
| U.S. Treasury Bonds, 3.875%, 5/15/2043 | 9,961,000 | 8,877,741 | ||
| U.S. Treasury Bonds, 4.375%, 8/15/2043 | 698,000 | 667,135 | ||
| U.S. Treasury Bonds, 2.5%, 2/15/2046 | 3,581,000 | 2,483,340 | ||
| U.S. Treasury Bonds, 2.875%, 11/15/2046 (f) | 7,328,000 | 5,431,880 | ||
| U.S. Treasury Bonds, 2.875%, 5/15/2052 | 1,515,000 | 1,112,637 | ||
| U.S. Treasury Notes, 2.75%, 2/15/2024 | 7,855,000 | 7,812,963 | ||
| U.S. Treasury Notes, 2.25%, 3/31/2024 | 17,244,000 | 17,068,192 | ||
| U.S. Treasury Notes, 3.875%, 3/31/2025 | 2,344,000 | 2,309,756 | ||
| U.S. Treasury Notes, 5%, 8/31/2025 | 1,825,000 | 1,830,561 | ||
| U.S. Treasury Notes, 0.875%, 9/30/2026 | 5,600,000 | 5,073,906 | ||
| U.S. Treasury Notes, 2.25%, 8/15/2027 | 8,936,000 | 8,284,649 | ||
| U.S. Treasury Notes, 3.625%, 3/31/2028 | 11,275,000 | 10,955,248 | ||
| U.S. Treasury Notes, 2.375%, 5/15/2029 | 8,149,500 | 7,370,841 | ||
| U.S. Treasury Notes, 3.875%, 9/30/2029 | 4,658,000 | 4,537,729 | ||
| U.S. Treasury Notes, 1.625%, 5/15/2031 | 4,940,000 | 4,094,411 | ||
| U.S. Treasury Notes, 1.875%, 2/15/2032 | 7,500,000 | 6,222,363 | ||
| U.S. Treasury Notes, 2.75%, 8/15/2032 | 14,707,000 | 12,987,545 | ||
| U.S. Treasury Notes, 3.25%, 5/15/2042 | 1,714,000 | 1,403,070 | ||
| $125,137,308 | ||||
| Utilities - Electric Power – 2.2% | ||||
| Adani Green Energy (UP) Ltd./Prayatna Developers Private Ltd., 6.25%, 12/10/2024 (n) | $ | 1,238,000 | $1,212,250 | |
| Adani Transmission Ltd., 4.25%, 5/21/2036 (n) | 2,453,125 | 1,842,302 | ||
| AEP Transmission Co. LLC, 5.4%, 3/15/2053 | 1,016,000 | 977,657 | ||
| 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 | 960,765 | ||
| 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 | 1,750,267 | ||
| Alabama Power Co., 3.45%, 10/01/2049 | 2,366,000 | 1,647,529 | ||
| Alfa Desarrollo S.p.A., 4.55%, 9/27/2051 (n) | 1,024,568 | 736,071 | ||
| American Electric Power Co., Inc., 5.699%, 8/15/2025 | 543,000 | 543,351 | ||
| American Electric Power Co., Inc., 5.625%, 3/01/2033 | 961,000 | 962,654 | ||
| American Transmission Systems, Inc., 2.65%, 1/15/2032 (n) | 305,000 | 247,291 | ||
| Azure Power Energy Ltd., 3.575%, 8/19/2026 (n) | 1,014,142 | 878,552 | ||
| Berkshire Hathaway Energy Co., 5.15%, 11/15/2043 | 360,000 | 329,930 | ||
| Berkshire Hathaway Energy Co., 4.6%, 5/01/2053 | 300,000 | 245,161 | ||
| CenterPoint Energy, Inc., 2.65%, 6/01/2031 | 875,000 | 717,086 | ||
| Continuum Energy Aura Pte. Ltd., 9.5%, 2/24/2027 (n) | 828,000 | 832,487 | ||
| Duke Energy Carolinas LLC, 2.85%, 3/15/2032 | 2,231,000 | 1,866,016 | ||
| Duke Energy Florida LLC, 6.2%, 11/15/2053 | 756,000 | 802,430 | ||
| Electricidad Firme de Mexico, 4.9%, 11/20/2026 (n) | 967,000 | 861,113 | ||
| Empresa Generadora de Electricidad Haina S.A., 5.625%, 11/08/2028 (n) | 257,000 | 222,947 | ||
| Enel Finance International N.V., 4.625%, 6/15/2027 (n) | 1,080,000 | 1,045,514 | ||
| Enel Finance International N.V., 2.25%, 7/12/2031 (n) | 1,318,000 | 1,026,214 | ||
| Enel Finance International N.V., 7.75%, 10/14/2052 (n) | 1,023,000 | 1,178,227 | ||
| Energuate Trust, 5.875%, 5/03/2027 | 1,002,000 | 927,221 | ||
| EnfraGen Energia Sur S.A., 5.375%, 12/30/2030 (n) | 2,155,000 | 1,615,722 | ||
| FirstEnergy Corp., 2.65%, 3/01/2030 | 1,863,000 | 1,575,893 | ||
| Florida Power & Light Co., 3.95%, 3/01/2048 | 1,629,000 | 1,289,496 | ||
15
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Utilities - Electric Power – continued | ||||
| Georgia Power Co., 4.7%, 5/15/2032 | $ | 2,379,000 | $2,277,096 | |
| Georgia Power Co., 5.125%, 5/15/2052 | 1,101,000 | 1,010,289 | ||
| Greenko Dutch B.V. (Republic of India), 3.85%, 3/29/2026 (n) | 1,103,525 | 1,004,208 | ||
| Greenko Power II Ltd. (Republic of India), 4.3%, 12/13/2028 (n) | 927,500 | 816,189 | ||
| Investment Energy Resources Ltd., 6.25%, 4/26/2029 (n) | 405,000 | 372,600 | ||
| Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | 2,404,000 | 1,945,629 | ||
| Mercury Chile Holdco LLC, 6.5%, 1/24/2027 (n) | 1,039,000 | 946,779 | ||
| MidAmerican Energy Co., 5.85%, 9/15/2054 | 1,427,000 | 1,459,579 | ||
| NextEra Energy Capital Holdings, Inc., 6.051%, 3/01/2025 | 848,000 | 851,055 | ||
| NextEra Energy Capital Holdings, Inc., 5.749%, 9/01/2025 | 780,000 | 780,478 | ||
| NextEra Energy Capital Holdings, Inc., 2.44%, 1/15/2032 | 1,197,000 | 959,106 | ||
| Pacific Gas & Electric Co., 3.25%, 2/16/2024 | 654,000 | 649,995 | ||
| Pacific Gas & Electric Co., 6.1%, 1/15/2029 | 531,000 | 533,535 | ||
| Pacific Gas & Electric Co., 2.5%, 2/01/2031 | 1,645,000 | 1,310,140 | ||
| ReNew Wind Energy AP2/ReNew Power Private Ltd., 4.5%, 7/14/2028 (n) | 1,249,000 | 1,070,455 | ||
| Southern California Edison Co., 4.5%, 9/01/2040 | 454,000 | 379,860 | ||
| Southern California Edison Co., 3.65%, 2/01/2050 | 796,000 | 562,657 | ||
| TermoCandelaria Power Ltd., 7.875%, 1/30/2029 (n) | 886,600 | 855,126 | ||
| Transelec S.A., 3.875%, 1/12/2029 (n) | 811,000 | 741,732 | ||
| Virginia Electric & Power Co., 2.875%, 7/15/2029 | 1,367,000 | 1,215,817 | ||
| WEC Energy Group, Inc., 4.75%, 1/09/2026 | 2,359,000 | 2,325,572 | ||
| Xcel Energy, Inc., 4.6%, 6/01/2032 | 1,907,000 | 1,782,731 | ||
| $50,144,774 | ||||
| Utilities - Other – 0.1% | ||||
| Aegea Finance S.à r.l., 6.75%, 5/20/2029 (n) | $ | 400,000 | $379,540 | |
| Aegea Finance S.à r.l., 9%, 1/20/2031 (n) | 1,115,000 | 1,157,593 | ||
| National Central Cooling Co. PJSC, 2.5%, 10/21/2027 | 957,000 | 841,096 | ||
| $2,378,229 | ||||
| Total Bonds | $989,947,904 | |||
| Common Stocks – 30.8% | ||||
| Aerospace & Defense – 0.4% | ||||
| General Dynamics Corp. | 34,952 | $8,632,095 | ||
| Alcoholic Beverages – 0.2% | ||||
| Kirin Holdings Co. Ltd. | 307,200 | $4,324,338 | ||
| Automotive – 0.3% | ||||
| Bridgestone Corp. | 80,200 | $3,298,662 | ||
| Stellantis N.V. | 149,988 | 3,249,239 | ||
| Tofas Turk Otomobil Fabriikasi A.S. | 120,879 | 998,420 | ||
| $7,546,321 | ||||
| Biotechnology – 0.0% | ||||
| Biogen, Inc. (a) | 4,052 | $948,492 | ||
| Broadcasting – 0.4% | ||||
| Omnicom Group, Inc. | 104,351 | $8,413,821 | ||
| Brokerage & Asset Managers – 0.3% | ||||
| Bank of New York Mellon Corp. | 156,974 | $7,584,984 | ||
16
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Common Stocks – continued | ||||
| Business Services – 0.2% | ||||
| SCSK Corp. | 61,700 | $1,133,622 | ||
| TriNet Group, Inc. (a) | 13,295 | 1,541,290 | ||
| Verisk Analytics, Inc., “A” | 7,519 | 1,815,312 | ||
| $4,490,224 | ||||
| Cable TV – 0.4% | ||||
| Comcast Corp., “A” | 191,319 | $8,014,353 | ||
| Chemicals – 0.0% | ||||
| Nutrien Ltd. | 13,736 | $734,706 | ||
| Computer Software – 0.1% | ||||
| Microsoft Corp. | 7,456 | $2,825,153 | ||
| Computer Software - Systems – 0.7% | ||||
| Hon Hai Precision Industry Co. Ltd. | 2,358,000 | $7,661,236 | ||
| Lenovo Group Ltd. | 2,530,000 | 3,125,536 | ||
| Samsung Electronics Co. Ltd. | 68,607 | 3,871,325 | ||
| Seagate Technology Holdings PLC | 13,745 | 1,087,229 | ||
| $15,745,326 | ||||
| Construction – 2.5% | ||||
| American Homes 4 Rent, “A”, REIT | 350,808 | $12,723,806 | ||
| Anhui Conch Cement Co. Ltd. | 1,132,000 | 2,649,106 | ||
| AvalonBay Communities, Inc., REIT | 95,344 | 16,488,791 | ||
| Compagnie de Saint-Gobain S.A. | 52,223 | 3,399,884 | ||
| Essex Property Trust, Inc., REIT | 71,027 | 15,161,423 | ||
| Heidelberg Materials AG | 53,956 | 4,393,087 | ||
| Zhejiang Supor Co. Ltd. | 155,200 | 1,137,409 | ||
| $55,953,506 | ||||
| Consumer Products – 1.0% | ||||
| Colgate-Palmolive Co. | 97,629 | $7,690,236 | ||
| Kenvue, Inc. | 57,408 | 1,173,419 | ||
| Kimberly-Clark Corp. | 94,627 | 11,708,199 | ||
| Procter & Gamble Co. | 6,434 | 987,748 | ||
| $21,559,602 | ||||
| Electrical Equipment – 0.1% | ||||
| Mitsubishi Electric Corp. | 102,400 | $1,387,573 | ||
| Electronics – 0.8% | ||||
| Broadcom, Inc. | 2,264 | $2,095,853 | ||
| Lam Research Corp. | 6,443 | 4,612,672 | ||
| Novatek Microelectronics Corp. | 157,000 | 2,568,086 | ||
| NVIDIA Corp. | 4,296 | 2,009,239 | ||
| Texas Instruments, Inc. | 42,707 | 6,521,786 | ||
| $17,807,636 | ||||
| Energy - Independent – 0.7% | ||||
| Phillips 66 | 92,246 | $11,889,587 | ||
| Valero Energy Corp. | 37,621 | 4,716,169 | ||
| $16,605,756 | ||||
| Energy - Integrated – 1.0% | ||||
| China Petroleum & Chemical Corp. | 676,000 | $347,896 | ||
| Eni S.p.A. | 368,596 | 6,085,656 | ||
| Exxon Mobil Corp. | 19,329 | 1,985,861 | ||
17
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Common Stocks – continued | ||||
| Energy - Integrated – continued | ||||
| LUKOIL PJSC (a)(u) | 17,902 | $0 | ||
| PetroChina Co. Ltd. | 8,284,000 | 5,440,441 | ||
| Suncor Energy, Inc. (l) | 87,522 | 2,885,688 | ||
| TotalEnergies SE | 101,337 | 6,867,610 | ||
| $23,613,152 | ||||
| Engineering - Construction – 0.1% | ||||
| ACS Actividades de Construcción y Servicios S.A. | 33,763 | $1,346,925 | ||
| Doosan Bobcat, Inc. | 52,082 | 1,840,824 | ||
| $3,187,749 | ||||
| Food & Beverages – 0.8% | ||||
| Archer Daniels Midland Co. | 43,078 | $3,176,141 | ||
| General Mills, Inc. | 156,635 | 9,971,384 | ||
| J.M. Smucker Co. | 39,881 | 4,376,142 | ||
| $17,523,667 | ||||
| Food & Drug Stores – 0.4% | ||||
| BIM Birlesik Magazalar A.S. | 195,523 | $2,085,561 | ||
| Tesco PLC | 1,616,261 | 5,831,602 | ||
| Wesfarmers Ltd. | 40,770 | 1,418,596 | ||
| $9,335,759 | ||||
| Forest & Paper Products – 1.0% | ||||
| Rayonier, Inc., REIT | 293,124 | $8,993,045 | ||
| Weyerhaeuser Co., REIT | 415,872 | 13,037,587 | ||
| $22,030,632 | ||||
| Gaming & Lodging – 0.0% | ||||
| Aristocrat Leisure Ltd. | 33,882 | $908,710 | ||
| Health Maintenance Organizations – 0.3% | ||||
| Cigna Group | 23,011 | $6,049,132 | ||
| Insurance – 1.5% | ||||
| China Pacific Insurance Co. Ltd. | 400,200 | $845,352 | ||
| DB Insurance Co. Ltd. | 17,888 | 1,160,505 | ||
| Equitable Holdings, Inc. | 208,955 | 6,412,829 | ||
| Hartford Financial Services Group, Inc. | 35,991 | 2,813,057 | ||
| Manulife Financial Corp. | 615,140 | 12,049,391 | ||
| MetLife, Inc. | 73,816 | 4,696,912 | ||
| Samsung Fire & Marine Insurance Co. Ltd. | 26,973 | 5,435,787 | ||
| $33,413,833 | ||||
| Machinery & Tools – 0.3% | ||||
| Timken Co. | 13,212 | $956,549 | ||
| Volvo Group | 230,794 | 5,344,742 | ||
| $6,301,291 | ||||
| Major Banks – 0.9% | ||||
| ABN AMRO Group N.V., GDR | 173,645 | $2,327,690 | ||
| BNP Paribas | 85,534 | 5,378,604 | ||
| DBS Group Holdings Ltd. | 439,600 | 10,430,518 | ||
| Erste Group Bank AG | 42,972 | 1,735,821 | ||
| Regions Financial Corp. | 88,223 | 1,471,560 | ||
| $21,344,193 | ||||
18
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Common Stocks – continued | ||||
| Medical & Health Technology & Services – 1.1% | ||||
| Encompass Health Corp. | 148,891 | $9,703,226 | ||
| McKesson Corp. | 14,572 | 6,857,000 | ||
| Universal Health Services, Inc. | 60,918 | 8,375,007 | ||
| $24,935,233 | ||||
| Metals & Mining – 0.9% | ||||
| Fortescue Ltd. | 69,772 | $1,152,085 | ||
| Glencore PLC | 254,631 | 1,420,206 | ||
| PT United Tractors Tbk | 313,300 | 442,377 | ||
| Rio Tinto PLC | 179,348 | 12,224,302 | ||
| United States Steel Corp. | 67,936 | 2,438,902 | ||
| Vale S.A. | 196,400 | 2,946,768 | ||
| $20,624,640 | ||||
| Other Banks & Diversified Financials – 0.2% | ||||
| China Construction Bank Corp. | 3,485,000 | $2,016,591 | ||
| KB Financial Group, Inc. | 27,870 | 1,131,952 | ||
| M&T Bank Corp. | 16,081 | 2,061,102 | ||
| Sberbank of Russia PJSC (a)(u) | 1,738,404 | 0 | ||
| $5,209,645 | ||||
| Pharmaceuticals – 2.3% | ||||
| AbbVie, Inc. | 78,077 | $11,117,384 | ||
| Bayer AG | 93,445 | 3,189,779 | ||
| Johnson & Johnson | 54,387 | 8,411,493 | ||
| Merck & Co., Inc. | 15,543 | 1,592,847 | ||
| Novartis AG | 61,146 | 5,943,528 | ||
| Organon & Co. | 424,328 | 4,803,393 | ||
| Pfizer, Inc. | 72,110 | 2,197,192 | ||
| Roche Holding AG | 45,528 | 12,272,336 | ||
| Sanofi | 30,397 | 2,827,626 | ||
| $52,355,578 | ||||
| Printing & Publishing – 0.2% | ||||
| Lamar Advertising Co., REIT | 35,219 | $3,567,333 | ||
| Railroad & Shipping – 0.0% | ||||
| A.P. Moller-Maersk A/S | 389 | $613,435 | ||
| Real Estate – 7.4% | ||||
| Alexandria Real Estate Equities, Inc., REIT | 108,364 | $11,855,022 | ||
| Boston Properties, Inc., REIT | 91,804 | 5,226,402 | ||
| Brixmor Property Group, Inc., REIT | 672,291 | 14,467,702 | ||
| Broadstone Net Lease, Inc., REIT | 39,607 | 633,712 | ||
| CubeSmart, REIT | 170,370 | 6,773,911 | ||
| Douglas Emmett, Inc., REIT | 170,569 | 2,084,353 | ||
| Equity Lifestyle Properties, Inc., REIT | 228,893 | 16,274,292 | ||
| Extra Space Storage, Inc., REIT | 111,283 | 14,485,708 | ||
| Farmland Partners, Inc., REIT | 282,741 | 3,500,334 | ||
| Federal Realty Investment Trust, REIT | 96,154 | 9,191,361 | ||
| NNN REIT, Inc. | 391,218 | 15,891,275 | ||
| Phillips Edison & Co., REIT | 335,920 | 11,837,821 | ||
| Prologis, Inc., REIT | 273,475 | 31,430,482 | ||
| Rexford Industrial Realty, Inc., REIT | 154,919 | 7,625,113 | ||
| Sun Communities, Inc., REIT | 128,394 | 16,606,480 | ||
| $167,883,968 | ||||
19
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Common Stocks – continued | ||||
| Restaurants – 0.3% | ||||
| Sodexo | 46,024 | $4,929,557 | ||
| Texas Roadhouse, Inc. | 16,777 | 1,888,419 | ||
| $6,817,976 | ||||
| Specialty Chemicals – 0.1% | ||||
| Chemours Co. | 37,828 | $1,037,622 | ||
| Specialty Stores – 0.3% | ||||
| Home Depot, Inc. | 11,209 | $3,513,909 | ||
| Ross Stores, Inc. | 15,973 | 2,082,560 | ||
| $5,596,469 | ||||
| Telecommunications - Wireless – 1.0% | ||||
| KDDI Corp. | 315,000 | $9,826,487 | ||
| SBA Communications Corp., REIT | 56,215 | 13,882,857 | ||
| $23,709,344 | ||||
| Telephone Services – 1.5% | ||||
| Equinix, Inc., REIT | 38,538 | $31,408,855 | ||
| Hellenic Telecommunications Organization S.A. | 202,057 | 2,962,579 | ||
| $34,371,434 | ||||
| Tobacco – 0.5% | ||||
| British American Tobacco PLC | 178,133 | $5,649,086 | ||
| Japan Tobacco, Inc. | 250,300 | 6,417,040 | ||
| $12,066,126 | ||||
| Utilities - Electric Power – 0.6% | ||||
| Edison International | 117,217 | $7,852,367 | ||
| Iberdrola S.A. | 215,739 | 2,664,168 | ||
| PG&E Corp. | 104,976 | 1,802,438 | ||
| Vistra Corp. | 44,138 | 1,562,926 | ||
| $13,881,899 | ||||
| Total Common Stocks | $698,952,706 | |||
| Preferred Stocks – 0.2% | ||||
| Metals & Mining – 0.2% | ||||
| Gerdau S.A. | 1,045,415 | $4,640,814 | ||
| Convertible Bonds – 0.1% | ||||
| Utilities - Electric Power – 0.1% | ||||
| Pacific Gas and Electric Corp., 4.25%, 12/01/2027 (n)(w) | $ | 950,000 | $961,875 | |
| Real Estate – 0.0% | ||||
| Sunac China Holdings Ltd., 0%, 9/30/2028 (n) | $ | 1,253,773 | $313,443 | |
| Sunac China Holdings Ltd., 1%, 9/30/2032 (n) | 197,035 | 19,211 | ||
| $332,654 | ||||
| Total Convertible Bonds | $1,294,529 | |||
| Investment Companies (h) – 25.0% | ||||
| Bond Funds – 22.3% | ||||
| MFS High Yield Pooled Portfolio (v) | 63,152,969 | $506,486,808 | ||
20
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Investment Companies (h) – continued | ||||
| Money Market Funds – 2.7% | ||||
| MFS Institutional Money Market Portfolio, 5.46% (v) | 61,491,256 | $61,497,406 | ||
| Total Investment Companies | $567,984,214 | |||
| Collateral for Securities Loaned – 0.1% | ||||
| JPMorgan U.S. Government Money Market Fund - Class IM Shares, 5.29% (j) | 2,765,416 | $2,765,416 | ||
| Other Assets, Less Liabilities – 0.1% | 2,439,710 | |||
| Net Assets – 100.0% | $2,268,025,293 | |||
| (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 $567,984,214 and $1,697,601,369, 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. |
| (j) | The rate quoted is the annualized seven-day yield of the fund at period end. |
| (l) | A portion of this security is on loan. |
| (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 $251,242,515, representing 11.1% 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 |
| ReadyCap Commercial Mortgage Trust, 2021-FL5, “A”, FLR, 6.457% ((SOFR - 1mo. + 0.11448%) + 1%), 4/25/2038 | 2/14/2022 | $256,128 | $255,580 |
| ReadyCap Commercial Mortgage Trust, 2021-FL7, “A”, FLR, 6.657% ((SOFR - 1mo. + 0.11448%) + 1.2%), 11/25/2036 | 11/12/2021-5/25/2022 | 258,955 | 255,687 |
| ReadyCap Commercial Mortgage Trust, 2021-FL7, “AS”, FLR, 6.957% ((SOFR - 1mo. + 0.11448%) + 1.5%), 11/25/2036 | 11/12/2021 | 109,000 | 106,255 |
| Total Restricted Securities | $617,522 | ||
| % 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. |
| GDR | Global Depositary Receipt |
| 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 |
| CNH | Chinese Yuan Renminbi (Offshore) |
| CZK | Czech Koruna |
| EUR | Euro |
| HUF | Hungarian Forint |
21
Portfolio of Investments (unaudited) –
continued
| JPY | Japanese Yen |
| KRW | South Korean Won |
| MXN | Mexican Peso |
| PEN | Peruvian Nuevo Sol |
| PHP | Philippine Peso |
| PLN | Polish Zloty |
| TRY | Turkish Lira |
| UYU | Uruguayan Peso |
| ZAR | South African Rand |
| Derivative Contracts at 11/30/23 | ||||||
| Forward Foreign Currency Exchange Contracts | ||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
| Asset Derivatives | ||||||
| BRL | 18,301,145 | USD | 3,708,063 | Barclays Bank PLC | 12/04/2023 | $10,133 |
| BRL | 1,724,169 | USD | 349,340 | Goldman Sachs International | 12/04/2023 | 955 |
| BRL | 4,333,044 | USD | 877,934 | JPMorgan Chase Bank N.A. | 12/04/2023 | 2,399 |
| BRL | 11,709,691 | USD | 2,372,544 | Morgan Stanley Capital Services, Inc. | 12/04/2023 | 6,483 |
| CLP | 607,804,750 | USD | 680,130 | Barclays Bank PLC | 1/16/2024 | 14,575 |
| CLP | 610,664,751 | USD | 688,337 | Citibank N.A. | 1/16/2024 | 9,637 |
| CNH | 7,890,000 | USD | 1,082,732 | Deutsche Bank AG | 1/19/2024 | 25,402 |
| CNH | 7,783,000 | USD | 1,090,700 | JPMorgan Chase Bank N.A. | 1/19/2024 | 2,407 |
| EUR | 2,796,482 | USD | 2,996,375 | Morgan Stanley Capital Services, Inc. | 1/19/2024 | 54,188 |
| HUF | 237,846,898 | USD | 663,844 | Morgan Stanley Capital Services, Inc. | 1/19/2024 | 13,663 |
| JPY | 215,547,497 | USD | 1,462,275 | Barclays Bank PLC | 1/19/2024 | 2,939 |
| MXN | 11,856,184 | USD | 675,194 | Brown Brothers Harriman | 1/19/2024 | 2,117 |
| MXN | 12,110,420 | USD | 680,568 | Morgan Stanley Capital Services, Inc. | 1/19/2024 | 11,268 |
| PLN | 8,224,706 | USD | 1,944,021 | Morgan Stanley Capital Services, Inc. | 1/19/2024 | 108,879 |
| TRY | 48,984,414 | USD | 1,594,745 | BNP Paribas S.A. | 1/19/2024 | 33,642 |
| USD | 6,340,381 | BRL | 31,269,490 | Citibank N.A. | 2/02/2024 | 31,724 |
| $330,411 | ||||||
| Liability Derivatives | ||||||
| BRL | 31,269,490 | USD | 6,386,742 | Citibank N.A. | 12/04/2023 | $(33,802) |
| BRL | 5,676,191 | USD | 1,152,927 | Goldman Sachs International | 1/30/2024 | (7,360) |
| BRL | 4,798,560 | USD | 977,345 | Goldman Sachs International | 12/04/2023 | (2,434) |
| HUF | 223,772,706 | USD | 640,358 | BNP Paribas S.A. | 1/19/2024 | (2,941) |
| USD | 3,712,652 | BRL | 18,301,145 | Barclays Bank PLC | 12/04/2023 | (5,544) |
| USD | 6,335,628 | BRL | 31,269,490 | Citibank N.A. | 12/04/2023 | (17,313) |
| USD | 1,319,809 | BRL | 6,522,728 | Goldman Sachs International | 12/04/2023 | (5,397) |
| USD | 853,844 | BRL | 4,333,044 | JPMorgan Chase Bank N.A. | 12/04/2023 | (26,489) |
| USD | 2,316,457 | BRL | 11,709,691 | Morgan Stanley Capital Services, Inc. | 12/04/2023 | (62,570) |
| USD | 2,189,909 | CNH | 15,964,000 | Barclays Bank PLC | 1/19/2024 | (52,201) |
| USD | 3,560,390 | CZK | 83,154,688 | HSBC Bank | 1/19/2024 | (158,097) |
| USD | 718,125 | CZK | 16,756,307 | UBS AG | 1/19/2024 | (31,178) |
| USD | 11,180,167 | EUR | 10,530,984 | HSBC Bank | 1/19/2024 | (307,636) |
| USD | 837,572 | EUR | 778,821 | JPMorgan Chase Bank N.A. | 1/19/2024 | (12,010) |
| USD | 787,450 | EUR | 743,730 | Merrill Lynch International | 1/19/2024 | (23,853) |
| USD | 1,022,407 | EUR | 957,088 | Morgan Stanley Capital Services, Inc. | 1/19/2024 | (21,638) |
| USD | 1,138,075 | HUF | 419,401,851 | State Street Bank Corp. | 1/19/2024 | (56,592) |
| USD | 904,751 | KRW | 1,210,376,000 | Barclays Bank PLC | 1/26/2024 | (36,482) |
| USD | 5,437,734 | MXN | 100,382,197 | HSBC Bank | 1/19/2024 | (296,828) |
| USD | 4,239,983 | PEN | 16,472,760 | Merrill Lynch International | 2/29/2024 | (154,182) |
| USD | 47,292 | PHP | 2,638,000 | Barclays Bank PLC | 2/07/2024 | (241) |
| USD | 1,804,611 | PLN | 7,571,617 | UBS AG | 1/19/2024 | (85,277) |
| USD | 652,657 | TRY | 19,826,074 | BNP Paribas S.A. | 1/19/2024 | (6,421) |
| USD | 961,900 | TRY | 29,158,340 | UBS AG | 1/19/2024 | (7,410) |
22
Portfolio of Investments (unaudited) –
continued
| Forward Foreign Currency Exchange Contracts − continued | ||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
| Liability Derivatives − continued | ||||||
| USD | 990,296 | ZAR | 18,786,208 | UBS AG | 1/19/2024 | $(2,140) |
| $(1,416,036) | ||||||
| Futures Contracts | ||||||
| Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
| Asset Derivatives | ||||||
| Interest Rate Futures | ||||||
| U.S. Treasury Note 2 yr | Long | USD | 367 | $75,037,164 | March – 2024 | $238,706 |
| U.S. Treasury Bond 30 yr | Long | USD | 48 | 5,589,000 | March – 2024 | 63,194 |
| U.S. Treasury Note 10 yr | Long | USD | 568 | 62,364,625 | March – 2024 | 367,099 |
| U.S. Treasury Ultra Bond 30 yr | Long | USD | 122 | 15,006,000 | March – 2024 | 233,826 |
| $902,825 | ||||||
| Liability Derivatives | ||||||
| Interest Rate Futures | ||||||
| U.S. Treasury Note 5 yr | Short | USD | 171 | $18,271,617 | March – 2024 | $(100,951) |
| U.S. Treasury Ultra Note 10 yr | Short | USD | 245 | 27,811,328 | March – 2024 | (187,721) |
| $(288,672) | ||||||
At November 30, 2023, the fund had
liquid securities with an aggregate value of $2,025,095 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
11/30/23 (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 November 30, 2023 in valuing the fund's assets and liabilities:
| Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
| Equity Securities: | ||||
| United States | $496,622,656 | $— | $— | $496,622,656 |
| Japan | 26,387,722 | — | — | 26,387,722 |
| United Kingdom | 25,125,196 | — | — | 25,125,196 |
| France | 23,403,281 | — | — | 23,403,281 |
| Switzerland | 18,215,864 | — | — | 18,215,864 |
| China | 15,562,331 | 313,443 | — | 15,875,774 |
| Canada | 15,669,785 | — | — | 15,669,785 |
| South Korea | 13,440,393 | — | — | 13,440,393 |
| Singapore | 10,430,518 | — | — | 10,430,518 |
| Other Countries | 58,735,774 | — | 0 | 58,735,774 |
| U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 125,806,665 | — | 125,806,665 |
| Non - U.S. Sovereign Debt | — | 243,275,175 | — | 243,275,175 |
| Municipal Bonds | — | 2,033,565 | — | 2,033,565 |
| U.S. Corporate Bonds | — | 234,939,202 | — | 234,939,202 |
| Residential Mortgage-Backed Securities | — | 184,009,555 | — | 184,009,555 |
| Commercial Mortgage-Backed Securities | — | 10,402,833 | — | 10,402,833 |
| Asset-Backed Securities (including CDOs) | — | 25,340,276 | — | 25,340,276 |
| Foreign Bonds | — | 165,121,719 | — | 165,121,719 |
| Mutual Funds | 570,749,630 | — | — | 570,749,630 |
| Total | $1,274,343,150 | $991,242,433 | $0 | $2,265,585,583 |
| Other Financial Instruments | ||||
| Futures Contracts – Assets | $902,825 | $— | $— | $902,825 |
| Futures Contracts – Liabilities | (288,672) | — | — | (288,672) |
| Forward Foreign Currency Exchange Contracts – Assets | — | 330,411 | — | 330,411 |
| Forward Foreign Currency Exchange Contracts – Liabilities | — | (1,416,036) | — | (1,416,036) |
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) |
| Sales | (623,766) |
| Balance as of 11/30/23 | $0 |
The net change in unrealized
appreciation or depreciation from investments held as level 3 at November 30, 2023 is $0. At November 30, 2023, the fund held two level 3 securities.
(2) Investments in Affiliated
Issuers
An affiliated issuer may be
considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the following were affiliated issuers:
| Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
| MFS High Yield Pooled Portfolio | $591,376,239 | $29,691,000 | $121,880,086 | $(15,043,984) | $22,343,639 | $506,486,808 |
| MFS Institutional Money Market Portfolio | 151,917,677 | 534,885,105 | 625,309,055 | 8,416 | (4,737) | 61,497,406 |
| $743,293,916 | $564,576,105 | $747,189,141 | $(15,035,568) | $22,338,902 | $567,984,214 |
25
Supplemental Information (unaudited) –
continued
| Affiliated Issuers | Dividend Income | Capital Gain Distributions |
| MFS High Yield Pooled Portfolio | $27,755,735 | $— |
| MFS Institutional Money Market Portfolio | 3,122,091 | — |
| $30,877,826 | $— |
(3) Issuer Country
Weightings
Issuer country weighting percentages
of portfolio holdings based on net assets, as of November 30, 2023, are as follows:
| United States | 69.0% |
| Canada | 2.8% |
| United Kingdom | 2.4% |
| Japan | 1.6% |
| France | 1.5% |
| Mexico | 1.3% |
| Switzerland | 1.2% |
| China | 0.9% |
| Brazil | 0.9% |
| Other Countries | 18.4% |
The issuer country weighting
percentages include both accrued interest amounts and the equivalent exposure from any derivative holdings, if applicable.
(4) 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