Issuer | Shares/Par | Value ($) | ||
Bonds – 94.2% | ||||
Aerospace & Defense – 1.5% | ||||
Boeing Co., 1.167%, 2/04/2023 | $ | 1,135,000 | $1,134,842 | |
Boeing Co., 1.433%, 2/04/2024 | 2,269,000 | 2,245,391 | ||
Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 | 2,486,000 | 2,607,665 | ||
$5,987,898 | ||||
Apparel Manufacturers – 0.7% | ||||
NIKE, Inc., 2.75%, 3/27/2027 | $ | 2,600,000 | $2,693,187 | |
Asset-Backed & Securitized – 3.7% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.038%, 11/15/2054 (i) | $ | 10,535,475 | $752,581 | |
ACREC 2021-FL1 Ltd., “AS”, FLR, 1.609% (LIBOR - 1mo. + 1.5%), 10/16/2036 (n) | 1,087,000 | 1,080,873 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “AS”, FLR, 1.509% (LIBOR - 1mo. + 1.4%), 8/15/2034 (n) | 1,112,500 | 1,101,508 | ||
AREIT 2022-CRE6 Trust, “AS”, FLR, 1.75% (SOFR - 30 day + 1.65%), 11/17/2024 (n) | 1,522,500 | 1,522,500 | ||
BDS 2021-FL9 Ltd., “A”, 1.174%, 11/16/2038 (n) | 958,000 | 955,667 | ||
BSPDF 2021-FL1 Issuer Ltd., “A”, 1.391%, 10/15/2036 (n) | 599,000 | 595,695 | ||
BSPDF 2021-FL1 Issuer Ltd., “AS”, FLR, 1.589% (LIBOR - 1mo. + 1.48%), 10/15/2036 (n) | 774,500 | 774,500 | ||
BXMT 2021-FL4 Ltd., “AS”, FLR, 1.409% (LIBOR - 1mo. + 1.3%), 5/15/2038 (n) | 2,000,000 | 1,987,518 | ||
Commercial Mortgage Trust, 2017-COR2, “A3”, 3.51%, 9/10/2050 | 1,676,352 | 1,768,254 | ||
LoanCore 2021-CRE6 Ltd., “AS”, FLR, 1.759% (LIBOR - 1mo. + 1.65%), 11/15/2038 (n) | 1,500,000 | 1,500,459 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL7, “A”, FLR, 1.301% (LIBOR - 1mo. + 1.2%), 11/25/2036 (z) | 649,948 | 646,429 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL7, “AS”, FLR, 1.601% (LIBOR - 1mo. + 1.5%), 11/25/2036 (z) | 199,500 | 197,644 | ||
Shackleton 2015-8A CLO Ltd., “A1R”, FLR, 1.051% (LIBOR - 3mo. + 0.92%), 10/20/2027 (n) | 1,078,574 | 1,079,826 | ||
UBS Commercial Mortgage Trust, 2017-C1, “A4”, 3.544%, 11/15/2050 | 875,000 | 926,031 | ||
$14,889,485 | ||||
Automotive – 2.3% | ||||
Hyundai Capital America, 5.875%, 4/07/2025 (n) | $ | 2,094,000 | $2,323,414 | |
Hyundai Capital America, 1.65%, 9/17/2026 (n) | 1,000,000 | 961,423 | ||
Stellantis Finance US, Inc., 1.711%, 1/29/2027 (n) | 1,150,000 | 1,106,892 | ||
Stellantis N.V., 2.691%, 9/15/2031 (n) | 532,000 | 503,687 | ||
Volkswagen Group of America Finance LLC, 2.85%, 9/26/2024 (n) | 1,765,000 | 1,807,353 | ||
Volkswagen Group of America Finance LLC, 1.625%, 11/24/2027 (n) | 1,500,000 | 1,423,633 | ||
Volkswagen Group of America Finance LLC, 3.75%, 5/13/2030 (n) | 1,000,000 | 1,059,870 | ||
$9,186,272 | ||||
Brokerage & Asset Managers – 2.4% | ||||
Brookfield Finance, Inc., 2.724%, 4/15/2031 | $ | 2,844,000 | $2,783,106 | |
Charles Schwab Corp., 3.3%, 4/01/2027 | 3,150,000 | 3,328,800 | ||
Low Income Investment Fund, 3.386%, 7/01/2026 | 705,000 | 726,897 | ||
Low Income Investment Fund, 3.711%, 7/01/2029 | 1,905,000 | 2,012,697 | ||
National Securities Clearing Corp., 1.5%, 4/23/2025 (n) | 1,117,000 | 1,104,268 | ||
$9,955,768 | ||||
Business Services – 1.0% | ||||
Tencent Holdings Ltd., 2.88%, 4/22/2031 (n) | $ | 1,499,000 | $1,482,217 | |
Western Union Co., 1.35%, 3/15/2026 | 2,570,000 | 2,470,672 | ||
$3,952,889 | ||||
Cable TV – 0.4% | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.908%, 7/23/2025 | $ | 1,350,000 | $1,456,741 | |
Computer Software – 0.7% | ||||
Dell International LLC/EMC Corp., 5.85%, 7/15/2025 | $ | 399,000 | $443,420 | |
Dell International LLC/EMC Corp., 4.9%, 10/01/2026 | 2,054,000 | 2,254,281 | ||
$2,697,701 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Computer Software - Systems – 1.3% | ||||
Apple, Inc., 3.35%, 2/09/2027 | $ | 2,700,000 | $2,857,565 | |
VMware, Inc., 1.4%, 8/15/2026 | 2,333,000 | 2,234,778 | ||
$5,092,343 | ||||
Conglomerates – 0.5% | ||||
Westinghouse Air Brake Technologies Corp., 4.95%, 9/15/2028 | $ | 1,760,000 | $1,958,790 | |
Consumer Services – 1.6% | ||||
Booking Holdings, Inc., 3.55%, 3/15/2028 | $ | 2,737,000 | $2,936,938 | |
Conservation Fund, 3.474%, 12/15/2029 | 563,000 | 583,341 | ||
Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2026 (n) | 480,000 | 404,141 | ||
Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2027 (n) | 1,525,000 | 1,229,093 | ||
Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2029 (n) | 1,392,000 | 1,011,732 | ||
Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2031 (n) | 480,000 | 317,204 | ||
$6,482,449 | ||||
Containers – 0.4% | ||||
Berry Global, Inc., 1.65%, 1/15/2027 | $ | 1,542,000 | $1,460,613 | |
Electronics – 1.1% | ||||
Broadcom, Inc., 3.469%, 4/15/2034 (n) | $ | 2,055,000 | $2,035,520 | |
Broadcom, Inc., 3.137%, 11/15/2035 (n) | 1,845,000 | 1,748,848 | ||
Qorvo, Inc., 1.75%, 12/15/2024 (n) | 634,000 | 622,087 | ||
$4,406,455 | ||||
Emerging Market Quasi-Sovereign – 1.0% | ||||
DAE Funding LLC (United Arab Emirates), 1.55%, 8/01/2024 (n) | $ | 613,000 | $597,044 | |
Qatar Petroleum, 2.25%, 7/12/2031 (n) | 1,635,000 | 1,573,688 | ||
Sinopec Capital (2013) Ltd. (People's Republic of China), 3.125%, 4/24/2023 (n) | 733,000 | 745,366 | ||
Sinopec Group Overseas Development (2018) Ltd. (People's Republic of China), 1.45%, 1/08/2026 (n) | 1,357,000 | 1,322,273 | ||
$4,238,371 | ||||
Emerging Market Sovereign – 0.2% | ||||
Republic of Poland, 5%, 3/23/2022 | $ | 772,000 | $776,617 | |
Energy - Integrated – 1.4% | ||||
Cenovus Energy, Inc., 5.375%, 7/15/2025 | $ | 885,000 | $967,390 | |
Eni S.p.A., 4%, 9/12/2023 (n) | 1,327,000 | 1,375,190 | ||
Exxon Mobil Corp., 3.294%, 3/19/2027 | 3,000,000 | 3,166,933 | ||
$5,509,513 | ||||
Financial Institutions – 2.8% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.875%, 1/16/2024 | $ | 1,719,000 | $1,798,327 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.5%, 7/15/2025 | 2,326,000 | 2,606,322 | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.3%, 1/30/2032 | 332,000 | 324,112 | ||
Avolon Holdings Funding Ltd., 3.95%, 7/01/2024 (n) | 3,123,000 | 3,228,614 | ||
Avolon Holdings Funding Ltd., 3.25%, 2/15/2027 (n) | 583,000 | 578,742 | ||
Avolon Holdings Funding Ltd., 2.528%, 11/18/2027 (n) | 869,000 | 824,072 | ||
Avolon Holdings Funding Ltd., 2.75%, 2/21/2028 (n) | 2,336,000 | 2,233,827 | ||
$11,594,016 | ||||
Food & Beverages – 1.7% | ||||
Constellation Brands, Inc., 4.4%, 11/15/2025 | $ | 3,306,000 | $3,562,378 | |
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029 (n) | 1,451,000 | 1,422,473 | ||
JDE Peet's N.V., 1.375%, 1/15/2027 (n) | 1,931,000 | 1,826,825 | ||
$6,811,676 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Gaming & Lodging – 1.7% | ||||
GLP Capital LP/GLP Financing II, Inc., 4%, 1/15/2031 | $ | 3,055,000 | $3,141,151 | |
Hyatt Hotels Corp., 1.8%, 10/01/2024 | 1,286,000 | 1,276,695 | ||
Marriott International, Inc., 5.75%, 5/01/2025 | 29,000 | 32,117 | ||
Marriott International, Inc., 2.85%, 4/15/2031 | 802,000 | 774,274 | ||
Marriott International, Inc., 2.75%, 10/15/2033 | 1,750,000 | 1,634,182 | ||
$6,858,419 | ||||
Industrial – 0.3% | ||||
Howard University, Washington D.C., AGM, 2.757%, 10/01/2027 | $ | 1,250,000 | $1,248,644 | |
Insurance – 0.1% | ||||
AIA Group Ltd., 3.375%, 4/07/2030 (n) | $ | 563,000 | $592,012 | |
Insurance - Property & Casualty – 1.6% | ||||
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/2025 | $ | 3,110,000 | $3,298,044 | |
Fairfax Financial Holdings Ltd., 4.85%, 4/17/2028 | 2,971,000 | 3,242,151 | ||
$6,540,195 | ||||
Internet – 0.3% | ||||
Baidu, Inc., 3.875%, 9/29/2023 | $ | 1,361,000 | $1,405,484 | |
Machinery & Tools – 0.9% | ||||
CNH Industrial Capital LLC, 4.2%, 1/15/2024 | $ | 472,000 | $492,621 | |
CNH Industrial Capital LLC, 3.85%, 11/15/2027 | 3,066,000 | 3,261,667 | ||
$3,754,288 | ||||
Major Banks – 11.4% | ||||
Bank of America Corp., 4.125%, 1/22/2024 | $ | 2,876,000 | $3,020,860 | |
Bank of America Corp., 1.734% to 7/22/2026, FLR (SOFR - 1 day + 0.96%) to 7/22/2027 | 2,224,000 | 2,157,049 | ||
Barclays PLC, 4.61% to 2/15/2022, FLR (LIBOR - 3mo. + 1.4%) to 2/15/2023 | 1,801,000 | 1,803,085 | ||
Barclays PLC, 2.279% to 11/24/2026, FLR (CMT - 1yr. + 1.05%) to 11/24/2027 | 1,435,000 | 1,405,353 | ||
BNP Paribas S.A., 2.591% to 1/20/2027, FLR (SOFR - 1 day + 1.228%) to 1/20/2028 (n) | 1,723,000 | 1,710,700 | ||
Credit Suisse Group AG, 6.5%, 8/08/2023 (n) | 915,000 | 976,232 | ||
Credit Suisse Group AG, 3.869% to 1/12/2028, FLR (LIBOR - 3mo. + 1.41%) to 1/12/2029 (n) | 2,250,000 | 2,335,868 | ||
Deutsche Bank, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027 | 457,000 | 443,920 | ||
Deutsche Bank AG, 1.447% to 4/1/2024, FLR (SOFR - 1 day + 1.131%) to 4/01/2025 | 2,012,000 | 1,978,460 | ||
Goldman Sachs Group, Inc., 2.908% to 6/05/2022, FLR (LIBOR - 3mo. + 1.053%) to 6/05/2023 | 1,750,000 | 1,759,392 | ||
Goldman Sachs Group, Inc., 3.5%, 4/01/2025 | 1,500,000 | 1,557,394 | ||
Goldman Sachs Group, Inc., 1.093% to 12/09/2025, FLR (SOFR - 1 day + 0.789%) to 12/09/2026 | 894,000 | 849,673 | ||
HSBC Holdings PLC, 3.262% to 3/13/2022, FLR (LIBOR - 3mo. + 1.055%) to 3/13/2023 | 4,000,000 | 4,009,602 | ||
HSBC Holdings PLC, 3.033% to 11/22/2022, FLR (LIBOR - 3mo. + 0.923%) to 11/22/2023 | 1,500,000 | 1,519,844 | ||
HSBC Holdings PLC, 2.251% to 11/22/2026, FLR (SOFR - 1 day + 1.1%) to 11/22/2027 | 1,446,000 | 1,416,149 | ||
JPMorgan Chase & Co., 2.005% to 3/13/2025, FLR (SOFR - 1 day + 1.585%) to 3/13/2026 | 2,500,000 | 2,487,651 | ||
JPMorgan Chase & Co., 2.58% to 4/22/2031, FLR (SOFR - 1 day + 1.25%) to 4/22/2032 | 2,250,000 | 2,187,343 | ||
Morgan Stanley, 3.875%, 1/27/2026 | 5,400,000 | 5,729,971 | ||
Morgan Stanley, 3.95%, 4/23/2027 | 1,100,000 | 1,172,008 | ||
Morgan Stanley, 1.512% to 7/20/2026, FLR (SOFR - 1 day + 0.858%) to 7/20/2027 | 977,000 | 937,450 | ||
NatWest Group PLC, 4.269% to 3/22/2024, FLR (LIBOR - 3mo. + 1.762%) to 3/22/2025 | 2,621,000 | 2,736,613 | ||
Sumitomo Mitsui Trust Bank Ltd., 0.85%, 3/25/2024 (n) | 946,000 | 928,878 | ||
UBS Group AG, 1.008% to 7/30/2023, FLR (CMT - 1yr. + 0.83%) to 7/30/2024 (n) | 770,000 | 760,889 | ||
UBS Group Funding (Switzerland) AG, 4.253%, 3/23/2028 (n) | 2,449,000 | 2,639,155 | ||
$46,523,539 | ||||
Medical & Health Technology & Services – 1.2% | ||||
ProMedica Toledo Hospital, “B”, AGM, 5.75%, 11/15/2038 | $ | 1,250,000 | $1,432,993 | |
Thermo Fisher Scientific, Inc., 1.215%, 10/18/2024 | 3,589,000 | 3,537,428 | ||
$4,970,421 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Metals & Mining – 2.0% | ||||
Anglo American Capital PLC, 4.75%, 4/10/2027 (n) | $ | 1,547,000 | $1,693,828 | |
Anglo American Capital PLC, 2.25%, 3/17/2028 (n) | 744,000 | 719,031 | ||
Anglo American Capital PLC, 2.875%, 3/17/2031 (n) | 870,000 | 842,481 | ||
Glencore Funding LLC, 4.125%, 5/30/2023 (n) | 1,518,000 | 1,563,358 | ||
Glencore Funding LLC, 1.625%, 4/27/2026 (n) | 1,191,000 | 1,154,430 | ||
Glencore Funding LLC, 3.875%, 10/27/2027 (n) | 1,887,000 | 1,977,397 | ||
$7,950,525 | ||||
Midstream – 1.5% | ||||
Enbridge, Inc., 3.125%, 11/15/2029 | $ | 1,506,000 | $1,538,702 | |
MPLX LP, 3.5%, 12/01/2022 | 1,584,000 | 1,612,440 | ||
MPLX LP, 4%, 3/15/2028 | 1,395,000 | 1,477,575 | ||
Plains All American Pipeline LP, 3.8%, 9/15/2030 | 1,510,000 | 1,540,797 | ||
$6,169,514 | ||||
Mortgage-Backed – 0.7% | ||||
Fannie Mae, 6.5%, 11/01/2031 | $ | 405,037 | $458,277 | |
Freddie Mac, 3.064%, 8/25/2024 | 1,440,421 | 1,489,523 | ||
Freddie Mac, 3.187%, 9/25/2027 | 550,000 | 588,647 | ||
Freddie Mac, 6%, 8/01/2034 | 5,045 | 5,673 | ||
Ginnie Mae, 6%, 6/15/2033 - 10/15/2036 | 260,926 | 296,365 | ||
$2,838,485 | ||||
Municipals – 6.4% | ||||
Bridgeview, IL, Stadium and Redevelopment Projects, AAC, 5.06%, 12/01/2025 | $ | 3,360,000 | $3,423,448 | |
California Earthquake Authority Rev., “B”, 1.327%, 7/01/2022 | 575,000 | 576,991 | ||
California Earthquake Authority Rev., “B”, 1.477%, 7/01/2023 | 405,000 | 406,687 | ||
Florida State Board of Administration Finance Corp. Rev., “A”, 1.705%, 7/01/2027 | 1,709,000 | 1,679,256 | ||
Gainesville, TX, Hospital District, “A”, 5.711%, 8/15/2033 | 2,330,000 | 2,733,423 | ||
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., “B”, 3%, 6/01/2046 | 765,000 | 777,506 | ||
Guam International Airport Authority Rev. (A.B. Won Pat Airport), “A”, 3.839%, 10/01/2036 | 110,000 | 110,202 | ||
Massachusetts Educational Financing Authority, Education Loan Subordinate Rev., “A”, 2.641%, 7/01/2037 | 2,070,000 | 2,051,968 | ||
Michigan Finance Authority Hospital Refunding Rev. (Trinity Health Credit Group), “T”, 3.084%, 12/01/2034 | 2,500,000 | 2,589,621 | ||
Michigan Finance Authority Tobacco Settlement Asset-Backed Rev. (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 324,730 | 326,567 | ||
New Jersey Economic Development Authority State Pension Funding Rev., Capital Appreciation, “B”, AGM, 0%, 2/15/2023 | 3,704,000 | 3,666,886 | ||
Puerto Rico Electric Power Authority Rev., “RR”, NPFG, 5%, 7/01/2022 | 1,675,000 | 1,713,484 | ||
Rhose Island Student Loan Authority, Education Loan Rev., Federally Taxable, “2”, 2.348%, 12/01/2040 | 1,000,000 | 989,036 | ||
Syracuse, NY, Industrial Development Agency PILOT Rev. (Carousel Center Project), “B”, 5%, 1/01/2036 (n) | 3,635,000 | 3,031,910 | ||
University of California, General Taxable Rev., “BG”, 1.614%, 5/15/2030 | 2,010,000 | 1,895,650 | ||
$25,972,635 | ||||
Network & Telecom – 0.4% | ||||
Verizon Communications, Inc., 2.355%, 3/15/2032 (n) | $ | 1,726,000 | $1,639,049 | |
Oils – 1.1% | ||||
Marathon Petroleum Corp., 3.625%, 9/15/2024 | $ | 1,003,000 | $1,039,546 | |
Valero Energy Corp., 3.4%, 9/15/2026 | 3,386,000 | 3,518,958 | ||
$4,558,504 | ||||
Other Banks & Diversified Financials – 0.4% | ||||
Macquarie Group Ltd., 1.34% to 1/12/2026, FLR (SOFR - 1 day + 1.069%) to 1/12/2027 (n) | $ | 1,784,000 | $1,706,298 | |
Real Estate - Retail – 2.1% | ||||
Brixmor Operating Partnership LP, REIT, 4.05%, 7/01/2030 | $ | 2,349,000 | $2,508,234 | |
Realty Income Corp., REIT, 3.4%, 1/15/2028 | 2,875,000 | 3,008,585 | ||
Regency Centers Corp., 3.7%, 6/15/2030 | 3,000,000 | 3,176,501 | ||
$8,693,320 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Retailers – 1.0% | ||||
Alibaba Group Holding Ltd., 2.8%, 6/06/2023 | $ | 1,605,000 | $1,630,344 | |
Kohl's Corp., 9.5%, 5/15/2025 | 1,634,000 | 1,819,193 | ||
Nordstrom, Inc., 2.3%, 4/08/2024 | 518,000 | 509,106 | ||
$3,958,643 | ||||
Supranational – 0.7% | ||||
Corporacion Andina de Fomento, 4.375%, 6/15/2022 | $ | 2,950,000 | $2,983,927 | |
Telecommunications - Wireless – 2.1% | ||||
American Tower Corp., REIT, 3.55%, 7/15/2027 | $ | 4,000,000 | $4,175,248 | |
Crown Castle International Corp., 3.65%, 9/01/2027 | 947,000 | 992,931 | ||
Crown Castle International Corp., 2.25%, 1/15/2031 | 1,000,000 | 936,662 | ||
T-Mobile USA, Inc., 3.875%, 4/15/2030 | 2,500,000 | 2,620,296 | ||
$8,725,137 | ||||
Tobacco – 0.5% | ||||
B.A.T. Capital Corp., 4.7%, 4/02/2027 | $ | 2,000,000 | $2,153,722 | |
Transportation - Services – 0.7% | ||||
Element Fleet Management Corp., 1.6%, 4/06/2024 (n) | $ | 2,990,000 | $2,964,199 | |
U.S. Government Agencies and Equivalents – 0.0% | ||||
Small Business Administration, 4.93%, 1/01/2024 | $ | 26,886 | $27,562 | |
Small Business Administration, 5.36%, 11/01/2025 | 79,765 | 83,235 | ||
Small Business Administration, 5.39%, 12/01/2025 | 46,808 | 48,697 | ||
$159,494 | ||||
U.S. Treasury Obligations – 29.3% | ||||
U.S. Treasury Notes, 1.75%, 2/28/2022 | $ | 10,420,000 | $10,433,068 | |
U.S. Treasury Notes, 1.75%, 5/15/2022 | 3,250,000 | 3,263,712 | ||
U.S. Treasury Notes, 2.125%, 12/31/2022 (f) | 14,635,000 | 14,813,364 | ||
U.S. Treasury Notes, 2.5%, 8/15/2023 | 12,710,000 | 12,993,989 | ||
U.S. Treasury Notes, 2.75%, 2/15/2024 | 8,385,000 | 8,648,341 | ||
U.S. Treasury Notes, 2.375%, 8/15/2024 | 9,230,000 | 9,478,056 | ||
U.S. Treasury Notes, 2%, 2/15/2025 | 9,900,000 | 10,075,570 | ||
U.S. Treasury Notes, 2%, 8/15/2025 | 5,225,000 | 5,316,642 | ||
U.S. Treasury Notes, 2.25%, 11/15/2025 | 5,086,000 | 5,222,289 | ||
U.S. Treasury Notes, 2%, 11/15/2026 | 6,254,000 | 6,369,308 | ||
U.S. Treasury Notes, 1.625%, 11/30/2026 | 7,750,000 | 7,763,018 | ||
U.S. Treasury Notes, 2.375%, 5/15/2027 | 4,075,000 | 4,227,017 | ||
U.S. Treasury Notes, 0.5%, 6/30/2027 | 6,500,000 | 6,113,555 | ||
U.S. Treasury Notes, 0.375%, 9/30/2027 | 5,672,000 | 5,274,517 | ||
U.S. Treasury Notes, 1.75%, 11/15/2029 | 4,500,000 | 4,506,328 | ||
U.S. Treasury Notes, 1.5%, 2/15/2030 | 5,043,500 | 4,950,904 | ||
$119,449,678 | ||||
Utilities - Electric Power – 3.1% | ||||
Enel Americas S.A., 4%, 10/25/2026 | $ | 252,000 | $265,835 | |
FirstEnergy Corp., 4.4%, 7/15/2027 | 2,827,000 | 2,880,719 | ||
ITC Holdings Corp., 2.95%, 5/14/2030 (n) | 3,000,000 | 2,993,675 | ||
Liberty Utilities Finance Co., 2.05%, 9/15/2030 (n) | 3,000,000 | 2,785,594 | ||
Pacific Gas & Electric Co., 1.7%, 11/15/2023 | 435,000 | 431,457 | ||
Pacific Gas & Electric Co., 2.1%, 8/01/2027 | 952,000 | 897,291 | ||
Southern California Edison, 6.65%, 4/01/2029 | 816,000 | 974,519 | ||
Transelec S.A., 4.625%, 7/26/2023 (n) | 927,000 | 960,613 | ||
Transelec S.A., 4.25%, 1/14/2025 (n) | 228,000 | 238,360 | ||
$12,428,063 | ||||
Total Bonds | $383,394,979 |
Issuer | Shares/Par | Value ($) | ||
Investment Companies (h) – 5.6% | ||||
Money Market Funds – 5.6% | ||||
MFS Institutional Money Market Portfolio, 0.06% (v) | 22,681,374 | $22,681,374 | ||
Other Assets, Less Liabilities – 0.2% | 904,611 | |||
Net Assets – 100.0% | $406,980,964 |
(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 $22,681,374 and $383,394,979, 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 $79,681,999, representing 19.6% 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, 1.301% (LIBOR - 1mo. + 1.2%), 11/25/2036 | 11/12/21 | $649,948 | $646,429 |
ReadyCap Commercial Mortgage Trust, 2021-FL7, “AS”, FLR, 1.601% (LIBOR - 1mo. + 1.5%), 11/25/2036 | 11/12/21 | 199,500 | 197,644 |
Total Restricted Securities | $844,073 | ||
% of Net assets | 0.2% |
The following abbreviations are used in this report and are defined: | |
AAC | Ambac Assurance Corp. |
AGM | Assured Guaranty Municipal |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
LIBOR | London Interbank Offered Rate |
NPFG | National Public Finance Guarantee Corp. |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
Derivative Contracts at 1/31/22 | ||||||
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Ultra Note 10 yr | Short | USD | 5 | $714,140 | March – 2022 | $4,300 |
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Note 5 yr | Long | USD | 58 | $6,913,781 | March – 2022 | $(116,065) |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | $— | $119,609,172 | $— | $119,609,172 |
Non - U.S. Sovereign Debt | — | 7,998,915 | — | 7,998,915 |
Municipal Bonds | — | 25,972,635 | — | 25,972,635 |
U.S. Corporate Bonds | — | 135,192,027 | — | 135,192,027 |
Residential Mortgage-Backed Securities | — | 2,838,485 | — | 2,838,485 |
Commercial Mortgage-Backed Securities | — | 9,538,216 | — | 9,538,216 |
Asset-Backed Securities (including CDOs) | — | 5,351,269 | — | 5,351,269 |
Foreign Bonds | — | 76,894,260 | — | 76,894,260 |
Mutual Funds | 22,681,374 | — | — | 22,681,374 |
Total | $22,681,374 | $383,394,979 | $— | $406,076,353 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $4,300 | $— | $— | $4,300 |
Futures Contracts – Liabilities | (116,065) | — | — | (116,065) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $3,207,574 | $39,687,375 | $20,213,575 | $— | $— | $22,681,374 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $1,664 | $— |