Issuer | Shares/Par | Value ($) | ||
Bonds – 101.8% | ||||
U.S. Bonds – 96.6% | ||||
Asset-Backed & Securitized – 6.3% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.016%, 11/15/2054 (i) | $ | 1,164,895 | $55,444 | |
ACREC 2021-FL1 Ltd., “AS”, FLR, 6.935% ((SOFR - 1mo. + 0.11448%) + 1.5%), 10/16/2036 (n) | 323,500 | 316,624 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “B”, FLR, 6.932% ((SOFR - 1mo. + 0.11448%) + 1.5%), 12/15/2035 (n) | 175,500 | 171,026 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “AS”, FLR, 6.832% ((SOFR - 1mo. + 0.11448%) + 1.4%), 8/15/2034 (n) | 374,500 | 365,305 | ||
AREIT 2022-CRE6 Trust, “AS”, FLR, 6.974% (SOFR - 30 day + 1.65%), 1/20/2037 (n) | 512,000 | 502,794 | ||
ARI Fleet Lease Trust, 2023-B, “A2”, 6.05%, 7/15/2032 (n) | 100,000 | 100,728 | ||
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.283%, 7/15/2054 (i) | 1,168,805 | 75,059 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.606%, 2/15/2054 (i) | 977,258 | 77,188 | ||
BBCMS Mortgage Trust, 2022-C18, “XA”, 0.461%, 12/15/2055 (i) | 1,230,496 | 43,865 | ||
Benchmark 2021-B23 Mortgage Trust, “XA”, 1.266%, 2/15/2054 (i) | 1,968,591 | 115,129 | ||
Benchmark 2021-B24 Mortgage Trust, “XA”, 1.146%, 3/15/2054 (i) | 1,168,082 | 60,106 | ||
Benchmark 2021-B26 Mortgage Trust, “XA”, 0.884%, 6/15/2054 (i) | 1,595,306 | 68,375 | ||
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.259%, 7/15/2054 (i) | 1,449,263 | 86,672 | ||
Benchmark 2021-B28 Mortgage Trust, “XA”, 1.272%, 8/15/2054 (i) | 2,191,732 | 139,561 | ||
Benchmark 2021-B29 Mortgage Trust, “XA”, 1.032%, 9/15/2054 (i) | 1,880,381 | 92,197 | ||
BSPDF 2021-FL1 Issuer Ltd., “A”, FLR, 6.632% ((SOFR - 1mo. + 0.11448%) + 1.2%), 10/15/2036 (n) | 197,061 | 193,576 | ||
BSPDF 2021-FL1 Issuer Ltd., “AS”, FLR, 6.912% ((SOFR - 1mo. + 0.11448%) + 1.48%), 10/15/2036 (n) | 253,500 | 244,513 | ||
BXMT 2021-FL4 Ltd., “AS”, FLR, 6.736% ((SOFR - 1mo. + 0.11448%) + 1.3%), 5/15/2038 (n) | 345,000 | 323,513 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 98,646 | 95,065 | ||
Chesapeake Funding II LLC, 2023-2A, “A2”, FLR, 6.425% (SOFR - 30 day + 1.1%), 10/15/2035 (n) | 328,465 | 329,088 | ||
Citigroup Commercial Mortgage Trust, 2019-XA, “C7”, 0.857%, 12/15/2072 (i)(n) | 1,412,892 | 52,546 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN31, “XA”, 1.298%, 2/15/2054 (i) | 1,496,079 | 99,580 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.772%, 4/15/2054 (i) | 993,551 | 36,980 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.039%, 6/15/2064 (i) | 988,405 | 51,978 | ||
Dell Equipment Finance Trust, 2023-1, “A2”, 5.65%, 9/22/2028 (n) | 192,313 | 192,303 | ||
Dell Equipment Finance Trust, 2023-3, “A2”, 6.1%, 4/23/2029 (n) | 100,000 | 100,390 | ||
GLS Auto Select Receivables Trust, 2023-2A, 6.37%, 6/15/2028 (n) | 114,970 | 115,810 | ||
LAD Auto Receivables Trust, 2022-1A, “A”, 5.21%, 6/15/2027 (n) | 56,117 | 55,969 | ||
LoanCore 2021-CRE5 Ltd., “AS”, FLR, 7.182% ((SOFR - 1mo. + 0.11448%) + 1.75%), 7/15/2036 (n) | 283,500 | 279,831 | ||
LoanCore 2021-CRE6 Ltd., “AS”, FLR, 7.082% ((SOFR - 1mo. + 0.11448%) + 1.65%), 11/15/2038 (n) | 500,000 | 490,763 | ||
MF1 2021-FL5 Ltd., “AS”, FLR, 6.632% ((SOFR - 1mo. + 0.11448%) + 1.2%), 7/15/2036 (n) | 173,500 | 170,489 | ||
MF1 2021-FL5 Ltd., “B”, FLR, 6.882% ((SOFR - 1mo. + 0.11448%) + 1.45%), 7/15/2036 (n) | 279,500 | 274,533 | ||
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 0.806%, 12/15/2051 (i) | 1,500,626 | 47,442 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.289%, 5/15/2054 (i) | 734,482 | 43,434 | ||
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.206%, 6/15/2054 (i) | 1,128,415 | 60,374 | ||
Morgan Stanley Capital I Trust, 2021-L7, “XA”, 1.092%, 10/15/2054 (i) | 3,348,384 | 171,728 | ||
Navistar Financial Dealer Note Master Owner Trust, 2023-1, “A”, 6.18%, 8/25/2028 (n) | 121,000 | 121,669 | ||
Navistar Financial Dealer Note Master Owner Trust, 2023-1, “B”, 6.48%, 8/25/2028 (n) | 50,000 | 50,164 | ||
OBX Trust, 2024-NQM1, “A1”, 5.928%, 11/25/2063 (n) | 113,460 | 113,216 | ||
Onslow Bay Financial LLC OBX Trust, 2024-NQM1, “A2”, 6.253%, 11/25/2063 (n) | 98,422 | 98,266 | ||
PFS Financing Corp., 2023-C, “B”, 5.91%, 10/15/2028 (n) | 63,000 | 62,547 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL7, “A”, FLR, 6.635% ((SOFR - 1mo. + 0.11448%) + 1.2%), 11/25/2036 (z) | 152,158 | 150,847 | ||
Santander Drive Auto Receivables Trust, 2024-1, “A2”, 5.71%, 2/16/2027 | 92,000 | 92,030 | ||
Verus Securitization Trust, 2014-1, “A1”, 5.712%, 1/25/2069 (n) | 235,309 | 234,059 | ||
Verus Securitization Trust, 2024-1, “A2”, 5.915%, 1/25/2069 (n) | 99,170 | 98,447 | ||
Wells Fargo Commercial Mortgage Trust, 2018-C48, “XA”, 0.934%, 1/15/2052 (i)(n) | 854,545 | 29,388 | ||
$6,750,611 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Bonds – continued | ||||
Broadcasting – 0.9% | ||||
Discovery Communications LLC, 4.65%, 5/15/2050 | $ | 229,000 | $173,658 | |
Walt Disney Co., 3.5%, 5/13/2040 | 612,000 | 491,044 | ||
WarnerMedia Holdings, Inc., 4.279%, 3/15/2032 | 379,000 | 334,349 | ||
$999,051 | ||||
Cable TV – 0.3% | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.908%, 7/23/2025 | $ | 242,000 | $238,651 | |
Time Warner Cable, Inc., 4.5%, 9/15/2042 | 100,000 | 73,226 | ||
$311,877 | ||||
Consumer Products – 0.2% | ||||
Haleon US Capital LLC, 3.625%, 3/24/2032 | $ | 250,000 | $223,951 | |
Consumer Services – 0.1% | ||||
Conservation Fund, 3.474%, 12/15/2029 | $ | 159,000 | $143,865 | |
Electrical Equipment – 0.2% | ||||
Arrow Electronics, Inc., 6.125%, 3/01/2026 | $ | 171,000 | $170,842 | |
Electronics – 0.6% | ||||
Broadcom, Inc., 3.187%, 11/15/2036 (n) | $ | 750,000 | $587,968 | |
Food & Beverages – 0.4% | ||||
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029 | $ | 488,000 | $427,781 | |
Tyson Foods, Inc., 5.15%, 8/15/2044 | 38,000 | 34,199 | ||
$461,980 | ||||
Industrial – 0.0% | ||||
Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | $ | 42,000 | $40,356 | |
Insurance – 0.4% | ||||
Corebridge Financial, Inc., 3.85%, 4/05/2029 | $ | 500,000 | $463,675 | |
Insurance - Health – 0.2% | ||||
Humana, Inc., 3.7%, 3/23/2029 | $ | 167,000 | $156,182 | |
Insurance - Property & Casualty – 0.1% | ||||
Liberty Mutual Group, Inc., 3.951%, 10/15/2050 (n) | $ | 99,000 | $74,092 | |
Major Banks – 1.8% | ||||
Bank of America Corp., 2.687% to 4/22/2031, FLR (SOFR - 1 day + 1.32%) to 4/22/2032 | $ | 750,000 | $628,071 | |
JPMorgan Chase & Co., 2.58% to 4/22/2031, FLR (SOFR - 1 day + 1.25%) to 4/22/2032 | 750,000 | 627,529 | ||
Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR - 1 day + 3.12%) to 4/01/2031 | 588,000 | 534,182 | ||
State Street Corp., 3.152% to 3/30/2030, FLR (SOFR + 2.65%) to 3/30/2031 | 138,000 | 122,731 | ||
$1,912,513 | ||||
Medical & Health Technology & Services – 1.0% | ||||
Becton, Dickinson and Co., 4.685%, 12/15/2044 | $ | 123,000 | $110,083 | |
Laboratory Corp. of America Holdings, 4.7%, 2/01/2045 | 106,000 | 94,609 | ||
Montefiore Obligated Group, AGM, 5.246%, 11/01/2048 | 614,000 | 586,024 | ||
ProMedica Toledo Hospital, “B”, AGM, 5.325%, 11/15/2028 | 106,000 | 106,793 | ||
ProMedica Toledo Hospital, “B”, AGM, 5.75%, 11/15/2038 | 175,000 | 174,803 | ||
$1,072,312 | ||||
Midstream – 0.1% | ||||
Targa Resources Corp., 4.95%, 4/15/2052 | $ | 109,000 | $93,255 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Bonds – continued | ||||
Mortgage-Backed – 42.8% | ||||
Fannie Mae, 3%, 11/01/2028 - 5/25/2053 | $ | 2,556,097 | $2,342,880 | |
Fannie Mae, 3.5%, 1/25/2030 - 6/25/2048 | 1,273,842 | 1,159,241 | ||
Fannie Mae, 6.5%, 5/01/2031 - 1/01/2037 | 146,288 | 150,510 | ||
Fannie Mae, 2.5%, 11/01/2031 - 10/01/2046 | 202,802 | 181,776 | ||
Fannie Mae, 3.5%, 12/25/2031 - 2/25/2036 (i) | 59,923 | 5,116 | ||
Fannie Mae, 2%, 1/25/2033 - 4/25/2046 | 128,503 | 117,000 | ||
Fannie Mae, 3%, 2/25/2033 (i) | 92,178 | 7,570 | ||
Fannie Mae, 5.5%, 10/01/2033 - 3/01/2038 | 844,036 | 856,948 | ||
Fannie Mae, 6%, 8/01/2034 - 7/01/2037 | 238,088 | 244,371 | ||
Fannie Mae, 5%, 6/01/2035 - 3/25/2042 | 267,868 | 265,344 | ||
Fannie Mae, 4%, 9/01/2040 - 7/01/2047 | 1,827,616 | 1,719,421 | ||
Fannie Mae, 4.5%, 2/01/2041 - 11/01/2042 | 340,827 | 332,426 | ||
Fannie Mae, 2.25%, 4/25/2041 | 71,640 | 66,298 | ||
Fannie Mae, 1.75%, 9/25/2041 - 10/25/2041 | 256,864 | 235,470 | ||
Fannie Mae, 2.75%, 9/25/2042 | 75,517 | 70,599 | ||
Fannie Mae, 5.736%, 12/25/2045 | 31,030 | 29,919 | ||
Fannie Mae, UMBS, 2.5%, 7/01/2037 - 7/01/2052 | 4,706,382 | 3,922,559 | ||
Fannie Mae, UMBS, 5.5%, 8/01/2038 - 11/01/2052 | 390,563 | 388,320 | ||
Fannie Mae, UMBS, 2%, 2/01/2042 - 3/01/2052 | 3,964,561 | 3,172,626 | ||
Fannie Mae, UMBS, 1.5%, 3/01/2051 | 119,704 | 89,601 | ||
Fannie Mae, UMBS, 3%, 6/01/2051 - 8/01/2053 | 1,474,586 | 1,267,631 | ||
Fannie Mae, UMBS, 4%, 8/01/2051 | 98,165 | 91,478 | ||
Fannie Mae, UMBS, 3.5%, 5/01/2052 | 69,291 | 61,928 | ||
Fannie Mae, UMBS, 4.5%, 9/01/2052 | 86,433 | 82,574 | ||
Fannie Mae, UMBS, 6%, 12/01/2052 - 12/01/2053 | 721,277 | 726,719 | ||
Freddie Mac, 0.941%, 4/25/2024 (i) | 1,654,408 | 377 | ||
Freddie Mac, 0.643%, 7/25/2024 (i) | 3,171,203 | 3,493 | ||
Freddie Mac, 3.064%, 8/25/2024 | 413,956 | 409,041 | ||
Freddie Mac, 4.5%, 9/01/2024 - 5/01/2042 | 364,955 | 356,008 | ||
Freddie Mac, 2.67%, 12/25/2024 | 827,000 | 810,656 | ||
Freddie Mac, 0.069%, 5/25/2025 (i) | 21,790,570 | 27,809 | ||
Freddie Mac, 3.208%, 2/25/2026 | 170,404 | 165,255 | ||
Freddie Mac, 1.366%, 3/25/2027 (i) | 391,000 | 14,625 | ||
Freddie Mac, 5.686%, 3/25/2027 | 121,979 | 120,821 | ||
Freddie Mac, 3.117%, 6/25/2027 | 200,000 | 190,547 | ||
Freddie Mac, 0.569%, 7/25/2027 (i) | 8,237,499 | 132,867 | ||
Freddie Mac, 0.417%, 8/25/2027 (i) | 6,370,288 | 80,426 | ||
Freddie Mac, 0.294%, 1/25/2028 (i) | 11,365,898 | 121,415 | ||
Freddie Mac, 0.304%, 1/25/2028 (i) | 4,882,450 | 53,846 | ||
Freddie Mac, 0.134%, 2/25/2028 (i) | 13,599,550 | 74,270 | ||
Freddie Mac, 0.118%, 4/25/2028 (i) | 8,890,759 | 47,847 | ||
Freddie Mac, 3%, 6/15/2028 - 2/25/2059 | 2,324,644 | 2,102,018 | ||
Freddie Mac, 3.5%, 6/15/2028 - 10/25/2058 | 2,320,819 | 2,139,314 | ||
Freddie Mac, 4.86%, 10/25/2028 | 52,609 | 52,774 | ||
Freddie Mac, 5.976%, 3/25/2029 | 292,666 | 292,721 | ||
Freddie Mac, 1.09%, 7/25/2029 (i) | 1,253,020 | 59,614 | ||
Freddie Mac, 5.966%, 7/25/2029 - 9/25/2029 | 846,570 | 847,129 | ||
Freddie Mac, 1.142%, 8/25/2029 (i) | 2,533,345 | 127,258 | ||
Freddie Mac, 6.006%, 9/25/2029 | 324,115 | 324,527 | ||
Freddie Mac, 5.816%, 12/25/2029 | 137,500 | 136,724 | ||
Freddie Mac, 1.799%, 4/25/2030 (i) | 600,527 | 55,707 | ||
Freddie Mac, 1.868%, 4/25/2030 (i) | 1,277,474 | 121,335 | ||
Freddie Mac, 1.666%, 5/25/2030 (i) | 612,877 | 52,809 | ||
Freddie Mac, 1.798%, 5/25/2030 (i) | 1,389,954 | 129,364 | ||
Freddie Mac, 1.115%, 6/25/2030 (i) | 887,038 | 49,866 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Freddie Mac, 1.341%, 6/25/2030 (i) | $ | 559,633 | $39,432 | |
Freddie Mac, 5.711%, 6/25/2030 | 105,167 | 104,783 | ||
Freddie Mac, 5.751%, 6/25/2030 | 77,175 | 76,696 | ||
Freddie Mac, 1.599%, 8/25/2030 (i) | 633,757 | 54,240 | ||
Freddie Mac, 1.169%, 9/25/2030 (i) | 314,905 | 19,986 | ||
Freddie Mac, 1.08%, 11/25/2030 (i) | 789,331 | 47,614 | ||
Freddie Mac, 4.94%, 11/25/2030 | 169,740 | 171,144 | ||
Freddie Mac, 0.327%, 1/25/2031 (i) | 2,855,327 | 48,798 | ||
Freddie Mac, 0.781%, 1/25/2031 (i) | 873,865 | 39,348 | ||
Freddie Mac, 0.935%, 1/25/2031 (i) | 663,744 | 35,074 | ||
Freddie Mac, 0.515%, 3/25/2031 (i) | 2,266,485 | 63,779 | ||
Freddie Mac, 0.732%, 3/25/2031 (i) | 973,113 | 42,007 | ||
Freddie Mac, 1.215%, 5/25/2031 (i) | 399,402 | 28,325 | ||
Freddie Mac, 0.938%, 7/25/2031 (i) | 489,989 | 28,534 | ||
Freddie Mac, 0.536%, 9/25/2031 (i) | 2,619,786 | 85,481 | ||
Freddie Mac, 0.856%, 9/25/2031 (i) | 2,591,485 | 133,503 | ||
Freddie Mac, 0.349%, 11/25/2031 (i) | 3,899,181 | 88,395 | ||
Freddie Mac, 0.498%, 12/25/2031 (i) | 3,898,081 | 121,799 | ||
Freddie Mac, 0.567%, 12/25/2031 (i) | 644,718 | 22,611 | ||
Freddie Mac, 0.154%, 11/25/2032 (i) | 3,670,222 | 52,838 | ||
Freddie Mac, 6.051%, 7/25/2033 | 527,584 | 528,673 | ||
Freddie Mac, 0.128%, 8/25/2033 (i) | 2,899,969 | 41,177 | ||
Freddie Mac, 5.639%, 4/15/2035 | 9,187 | 9,091 | ||
Freddie Mac, 6%, 5/01/2035 - 10/01/2038 | 209,831 | 216,208 | ||
Freddie Mac, 5.5%, 8/01/2035 - 6/01/2036 | 153,259 | 155,831 | ||
Freddie Mac, 5%, 2/15/2036 - 12/01/2044 | 664,242 | 660,586 | ||
Freddie Mac, 5.5%, 2/15/2036 (i) | 23,901 | 4,230 | ||
Freddie Mac, 6.5%, 5/01/2037 | 29,037 | 30,438 | ||
Freddie Mac, 4%, 8/01/2037 - 4/01/2044 | 153,151 | 144,708 | ||
Freddie Mac, 5.689%, 3/15/2039 | 128,038 | 123,879 | ||
Freddie Mac, 4.5%, 12/15/2040 (i) | 4,503 | 357 | ||
Freddie Mac, 6.772%, 10/25/2053 | 50,602 | 51,478 | ||
Freddie Mac, 3.25%, 11/25/2061 | 353,314 | 310,147 | ||
Freddie Mac, UMBS, 2.5%, 4/01/2037 - 9/01/2052 | 2,252,068 | 1,867,264 | ||
Freddie Mac, UMBS, 2%, 2/01/2042 - 3/01/2052 | 2,541,867 | 2,015,394 | ||
Freddie Mac, UMBS, 1.5%, 6/01/2051 | 436,413 | 326,361 | ||
Freddie Mac, UMBS, 3.5%, 8/01/2051 - 5/01/2052 | 129,851 | 116,521 | ||
Freddie Mac, UMBS, 3%, 1/01/2052 - 6/01/2052 | 397,695 | 340,848 | ||
Freddie Mac, UMBS, 4%, 5/01/2052 | 179,412 | 166,420 | ||
Freddie Mac, UMBS, 5%, 7/01/2052 - 2/01/2054 | 690,737 | 670,991 | ||
Freddie Mac, UMBS, 5.5%, 4/01/2053 | 71,066 | 71,187 | ||
Freddie Mac, UMBS, 6%, 11/01/2053 | 381,162 | 382,851 | ||
Ginnie Mae, 5.5%, 7/15/2033 - 1/20/2042 | 269,874 | 275,307 | ||
Ginnie Mae, 5.673%, 8/20/2034 | 62,785 | 63,724 | ||
Ginnie Mae, 4%, 5/16/2039 - 8/20/2052 | 295,110 | 278,720 | ||
Ginnie Mae, 4.5%, 9/20/2041 - 9/20/2052 | 916,228 | 877,911 | ||
Ginnie Mae, 3.5%, 10/20/2041 - 1/20/2043 (i) | 202,754 | 29,514 | ||
Ginnie Mae, 3.5%, 4/15/2042 - 7/20/2043 | 609,581 | 561,470 | ||
Ginnie Mae, 2.5%, 6/20/2042 - 8/20/2052 | 1,899,983 | 1,609,064 | ||
Ginnie Mae, 4%, 8/16/2042 (i) | 38,841 | 5,534 | ||
Ginnie Mae, 2.25%, 9/20/2043 | 16,210 | 15,657 | ||
Ginnie Mae, 3%, 4/20/2045 - 11/20/2051 | 723,843 | 641,217 | ||
Ginnie Mae, 2%, 1/20/2052 - 5/20/2052 | 474,658 | 386,374 | ||
Ginnie Mae, 5%, 1/20/2053 - 1/20/2054 | 663,535 | 648,325 | ||
Ginnie Mae, 6%, 2/20/2054 - 11/20/2055 | 1,121,850 | 1,131,041 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Ginnie Mae, 0.584%, 2/16/2059 (i) | $ | 170,914 | $5,153 | |
Ginnie Mae, TBA, 6.5%, 3/15/2054 | 300,000 | 304,069 | ||
Ginnie Mae, TBA, 3%, 3/20/2054 | 675,000 | 591,721 | ||
Ginnie Mae, TBA, 5%, 3/20/2054 | 400,000 | 390,681 | ||
Ginnie Mae, TBA, 5.5%, 3/20/2054 | 625,000 | 620,825 | ||
Ginnie Mae, TBA, 2%, 4/15/2054 | 620,008 | 505,088 | ||
Ginnie Mae, TBA , 7%, 3/20/2054 | 25,000 | 25,499 | ||
UMBS, TBA, 2%, 3/13/2054 - 4/25/2054 | 911,626 | 716,724 | ||
UMBS, TBA, 2.5%, 3/25/2054 | 250,000 | 205,377 | ||
$46,116,810 | ||||
Municipals – 2.5% | ||||
Bridgeview, IL, Stadium and Redevelopment Projects, Taxable, AAC, 5.06%, 12/01/2025 | $ | 345,000 | $339,290 | |
Chicago, IL, General Obligation, Taxable, “C”, AGM, 6.207%, 1/01/2036 | 615,000 | 648,591 | ||
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B”, 3%, 6/01/2046 | 155,000 | 142,853 | ||
Guam International Airport Authority Rev., Taxable (A.B. Won Pat Airport), “A”, 4.46%, 10/01/2043 | 5,000 | 4,005 | ||
Illinois Sales Tax Securitization Corp., Second Lien, Taxable, “B”, BAM, 3.411%, 1/01/2043 | 240,000 | 189,100 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, Issue M, “A”, 2.641%, 7/01/2037 | 515,000 | 445,372 | ||
Michigan Finance Authority Tobacco Settlement Asset-Backed Rev., Taxable (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 6,280 | 6,103 | ||
New Jersey Turnpike Authority Rev., Taxable (Build America Bonds), “F”, 7.414%, 1/01/2040 | 32,000 | 38,543 | ||
Syracuse, NY, Industrial Development Agency PILOT Rev., Taxable (Carousel Center Project), “B”, 5%, 1/01/2036 (n) | 1,215,000 | 918,696 | ||
$2,732,553 | ||||
Telecommunications - Wireless – 0.5% | ||||
T-Mobile USA, Inc., 4.375%, 4/15/2040 | $ | 650,000 | $569,823 | |
U.S. Government Agencies and Equivalents – 0.3% | ||||
Small Business Administration, 5.52%, 6/01/2024 | $ | 2,175 | $2,172 | |
Small Business Administration, 2.21%, 2/01/2033 | 56,565 | 51,159 | ||
Small Business Administration, 2.22%, 3/01/2033 | 89,233 | 81,118 | ||
Small Business Administration, 3.15%, 7/01/2033 | 73,736 | 68,792 | ||
Small Business Administration, 3.62%, 9/01/2033 | 74,276 | 70,679 | ||
$273,920 | ||||
U.S. Treasury Obligations – 36.5% | ||||
U.S. Treasury Bonds, 2.25%, 2/15/2027 | $ | 1,921,000 | $1,806,190 | |
U.S. Treasury Bonds, 5.25%, 2/15/2029 | 48,000 | 50,138 | ||
U.S. Treasury Bonds, 0.625%, 5/15/2030 | 800,000 | 642,219 | ||
U.S. Treasury Bonds, 4.75%, 2/15/2037 | 336,000 | 354,913 | ||
U.S. Treasury Bonds, 4.375%, 2/15/2038 | 1,109,000 | 1,121,996 | ||
U.S. Treasury Bonds, 4.5%, 8/15/2039 (f) | 4,503,100 | 4,573,813 | ||
U.S. Treasury Bonds, 3.125%, 2/15/2043 | 453,700 | 372,353 | ||
U.S. Treasury Bonds, 2.875%, 5/15/2043 | 1,697,100 | 1,335,737 | ||
U.S. Treasury Bonds, 2.5%, 2/15/2045 | 4,017,000 | 2,911,697 | ||
U.S. Treasury Bonds, 2.875%, 11/15/2046 | 3,470,000 | 2,654,821 | ||
U.S. Treasury Bonds, 2.375%, 5/15/2051 | 638,000 | 430,525 | ||
U.S. Treasury Notes, 2.5%, 5/15/2024 | 705,000 | 700,842 | ||
U.S. Treasury Notes, 4.125%, 1/31/2025 | 232,000 | 229,988 | ||
U.S. Treasury Notes, 3.875%, 4/30/2025 | 2,507,000 | 2,476,544 | ||
U.S. Treasury Notes, 4.25%, 5/31/2025 | 1,898,000 | 1,882,430 | ||
U.S. Treasury Notes, 2.875%, 7/31/2025 | 4,700,000 | 4,574,789 | ||
U.S. Treasury Notes, 5%, 9/30/2025 | 3,216,000 | 3,226,301 | ||
U.S. Treasury Notes, 0.75%, 5/31/2026 | 567,700 | 521,885 | ||
U.S. Treasury Notes, 0.875%, 6/30/2026 | 678,600 | 624,392 | ||
U.S. Treasury Notes, 2%, 11/15/2026 | 6,071,000 | 5,694,171 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Bonds – continued | ||||
U.S. Treasury Obligations – continued | ||||
U.S. Treasury Notes, 4%, 2/29/2028 | $ | 3,068,000 | $3,030,249 | |
U.S. Treasury Notes, 3.25%, 5/15/2042 | 165,000 | 138,755 | ||
$39,354,748 | ||||
Utilities - Electric Power – 1.4% | ||||
FirstEnergy Corp., 4.15%, 7/15/2027 | $ | 694,000 | $659,125 | |
Pacific Gas & Electric Co., 5.45%, 6/15/2027 | 357,000 | 356,434 | ||
Vistra Operations Co. LLC, 4.875%, 5/13/2024 (n) | 500,000 | 498,475 | ||
$1,514,034 | ||||
Total U.S. Bonds | $104,024,418 | |||
Foreign Bonds – 5.2% | ||||
Australia – 0.0% | ||||
APA Infrastructure Ltd., 4.25%, 7/15/2027 (n) | $ | 16,000 | $15,614 | |
Bermuda – 0.4% | ||||
Government of Bermuda, 5%, 7/15/2032 (n) | $ | 400,000 | $383,520 | |
Chile – 0.7% | ||||
Banco del Estado de Chile, 2.704%, 1/09/2025 (n) | $ | 241,000 | $234,177 | |
Chile Electricity Lux MPC S.à r.l., 6.01%, 1/20/2033 (n) | 200,000 | 202,856 | ||
Corporación Nacional del Cobre de Chile, 5.95%, 1/08/2034 (n) | 200,000 | 197,365 | ||
Republic of Chile, 2.55%, 1/27/2032 | 200,000 | 168,127 | ||
$802,525 | ||||
China – 0.4% | ||||
Tencent Holdings Ltd., 2.88%, 4/22/2031 (n) | $ | 501,000 | $434,331 | |
India – 0.9% | ||||
Export-Import Bank of India, 2.25%, 1/13/2031 (n) | $ | 317,000 | $260,569 | |
Indian Railway Finance Corp., 2.8%, 2/10/2031 (n) | 376,000 | 317,001 | ||
Power Finance Corp. Ltd. (Republic of India), 5.25%, 8/10/2028 | 370,000 | 365,871 | ||
$943,441 | ||||
Indonesia – 0.3% | ||||
PT Indofood CBP Sukses Makmur Tbk, 4.805%, 4/27/2052 | $ | 416,000 | $333,962 | |
Ireland – 0.3% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.3%, 1/30/2032 | $ | 355,000 | $300,218 | |
Malaysia – 0.3% | ||||
Dua Capital Ltd. (Federation of Malaysia), 2.78%, 5/11/2031 | $ | 400,000 | $340,984 | |
Mexico – 0.5% | ||||
Comision Federal de Electricidad (United Mexican States), 3.348%, 2/09/2031 (n) | $ | 232,000 | $195,607 | |
United Mexican States, 4.75%, 4/27/2032 | 324,000 | 304,681 | ||
$500,288 | ||||
Philippines – 0.2% | ||||
Republic of Philippines, 5.5%, 1/17/2048 | $ | 200,000 | $201,443 | |
Poland – 0.2% | ||||
Bank Gospodarstwa Krajowego (Republic of Poland), 6.25%, 10/31/2028 (n) | $ | 264,000 | $274,105 | |
United Arab Emirates – 0.2% | ||||
Abu Dhabi National Energy Co. PJSC, 4.696%, 4/24/2033 (n) | $ | 200,000 | $194,692 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Foreign Bonds – continued | ||||
United Kingdom – 0.7% | ||||
B.A.T. Capital Corp., 4.7%, 4/02/2027 | $ | 600,000 | $587,211 | |
Imperial Brands Finance PLC, 6.125%, 7/27/2027 (n) | 200,000 | 203,598 | ||
$790,809 | ||||
Uruguay – 0.1% | ||||
Oriental Republic of Uruguay, 5.75%, 10/28/2034 | $ | 96,000 | $100,850 | |
Total Foreign Bonds | $5,616,782 | |||
Total Bonds | $109,641,200 | |||
Investment Companies (h) – 0.2% | ||||
Money Market Funds – 0.2% | ||||
MFS Institutional Money Market Portfolio, 5.37% (v) | 268,999 | $268,999 | ||
Other Assets, Less Liabilities – (2.0)% | (2,176,359) | |||
Net Assets – 100.0% | $107,733,840 |
(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 $268,999 and $109,641,200, respectively. |
(i) | Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security. |
(n) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $10,175,288, representing 9.4% of net assets. |
(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. |
(z) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities: |
Restricted Securities | Acquisition Date | Cost | Value |
ReadyCap Commercial Mortgage Trust, 2021-FL7, “A”, FLR, 6.635% ((SOFR - 1mo. + 0.11448%) + 1.2%), 11/25/2036 | 11/12/21 | $152,158 | $150,847 |
% of Net assets | 0.1% |
The following abbreviations are used in this report and are defined: | |
AAC | Ambac Assurance Corp. |
AGM | Assured Guaranty Municipal |
BAM | Build America Mutual |
CLO | Collateralized Loan Obligation |
FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
UMBS | Uniform Mortgage-Backed Security |
Derivative Contracts at 2/29/24 | ||||||
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Note 10 yr | Long | USD | 213 | $23,523,188 | June - 2024 | $71,531 |
U.S. Treasury Note 5 yr | Long | USD | 40 | 4,276,250 | June - 2024 | 3,124 |
U.S. Treasury Ultra Bond 30 yr | Long | USD | 20 | 2,557,500 | June - 2024 | 14,462 |
$89,117 | ||||||
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Bond 30 yr | Short | USD | 44 | $5,247,000 | June - 2024 | $(23,861) |
U.S. Treasury Note 2 yr | Short | USD | 35 | 7,166,250 | June - 2024 | (5,747) |
U.S. Treasury Ultra Note 10 yr | Short | USD | 74 | 8,448,719 | June - 2024 | (41,355) |
$(70,963) |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | $— | $39,628,668 | $— | $39,628,668 |
Non - U.S. Sovereign Debt | — | 3,741,849 | — | 3,741,849 |
Municipal Bonds | — | 2,732,553 | — | 2,732,553 |
U.S. Corporate Bonds | — | 8,795,777 | — | 8,795,777 |
Residential Mortgage-Backed Securities | — | 46,660,798 | — | 46,660,798 |
Commercial Mortgage-Backed Securities | — | 3,320,571 | — | 3,320,571 |
Asset-Backed Securities (including CDOs) | — | 2,886,052 | — | 2,886,052 |
Foreign Bonds | — | 1,874,932 | — | 1,874,932 |
Mutual Funds | 268,999 | — | — | 268,999 |
Total | $268,999 | $109,641,200 | $— | $109,910,199 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $89,117 | $— | $— | $89,117 |
Futures Contracts – Liabilities | (70,963) | — | — | (70,963) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $1,282,508 | $10,063,473 | $11,077,247 | $301 | $(36) | $268,999 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $12,928 | $— |