Issuer | Shares/Par | Value ($) | ||
Bonds – 128.6% | ||||
Aerospace & Defense – 2.5% | ||||
Boeing Co., 5.805%, 5/01/2050 | $ | 138,000 | $133,015 | |
Bombardier, Inc., 7.125%, 6/15/2026 (n) | 320,000 | 322,680 | ||
Bombardier, Inc., 7.5%, 2/01/2029 (n) | 326,000 | 330,660 | ||
Bombardier, Inc., 8.75%, 11/15/2030 (n) | 202,000 | 211,597 | ||
F-Brasile S.p.A./F-Brasile U.S. LLC, 7.375%, 8/15/2026 (n) | 725,000 | 719,925 | ||
Moog, Inc., 4.25%, 12/15/2027 (n) | 852,000 | 797,346 | ||
Spirit AeroSystems, Inc., 9.75%, 11/15/2030 (n) | 1,009,000 | 1,080,999 | ||
Thales S.A., 4.25%, 10/18/2031 | EUR | 100,000 | 112,775 | |
TransDigm, Inc., 5.5%, 11/15/2027 | $ | 1,235,000 | 1,192,477 | |
TransDigm, Inc., 6.75%, 8/15/2028 (n) | 498,000 | 503,954 | ||
TransDigm, Inc., 4.625%, 1/15/2029 | 566,000 | 519,028 | ||
TransDigm, Inc., 6.375%, 3/01/2029 (n) | 167,000 | 167,755 | ||
TransDigm, Inc., 6.875%, 12/15/2030 (n) | 1,079,000 | 1,091,851 | ||
$7,184,062 | ||||
Airlines – 0.5% | ||||
Air Canada, 3.875%, 8/15/2026 (n) | $ | 973,000 | $921,484 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 4/20/2029 (n) | 628,525 | 614,665 | ||
$1,536,149 | ||||
Apparel Manufacturers – 0.1% | ||||
Tapestry, Inc., 3.05%, 3/15/2032 | $ | 57,000 | $46,187 | |
Wolverine World Wide, Inc., 4%, 8/15/2029 (n) | 457,000 | 366,171 | ||
$412,358 | ||||
Asset-Backed & Securitized – 4.1% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.016%, 11/15/2054 (i) | $ | 3,753,111 | $178,633 | |
ACREC 2021-FL1 Ltd., “C”, FLR, 7.585% ((SOFR - 1mo. + 0.11448%) + 2.15%), 10/16/2036 (n) | 229,500 | 221,497 | ||
AmeriCredit Automobile Receivables Trust, 2024-1, “A”, 5.61%, 1/12/2027 (n) | 156,000 | 155,928 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “C”, FLR, 7.432% ((SOFR - 1mo. + 0.11448%) + 2%), 12/15/2035 (n) | 200,000 | 194,586 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL2, “B”, FLR, 7.032% ((SOFR - 1mo. + 0.11448%) + 1.6%), 5/15/2036 (n) | 100,000 | 98,580 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL2, “C”, FLR, 7.382% ((SOFR - 1mo. + 0.11448%) + 1.95%), 5/15/2036 (n) | 275,500 | 270,315 | ||
Arbor Realty Trust, Inc., CLO, 2022-FL1, “C”, FLR, 7.625% (SOFR - 30 day + 2.3%), 1/15/2037 (n) | 327,000 | 321,034 | ||
Arbor Realty Trust, Inc., CLO, 2022-FL1, “D”, FLR, 8.324% (SOFR - 30 day + 3%), 1/15/2037 (n) | 208,000 | 197,793 | ||
AREIT 2022-CRE6 Trust, “C”, FLR, 7.474% (SOFR - 30 day + 2.15%), 1/20/2037 (n) | 100,000 | 95,562 | ||
AREIT 2022-CRE6 Trust, “D”, FLR, 8.174% (SOFR - 30 day + 2.85%), 1/20/2037 (n) | 100,000 | 94,406 | ||
ARI Fleet Lease Trust, 2023-B, “A2”, 6.05%, 7/15/2032 (n) | 100,000 | 100,728 | ||
Bayview Financial Revolving Mortgage Loan Trust, FLR, 7.043% ((SOFR - 1mo. + 0.11448%) + 1.6%), 12/28/2040 (n) | 89,186 | 134,247 | ||
BBCMS Mortgage Trust, 2020-C7, “XA”, 1.613%, 4/15/2053 (i) | 1,964,051 | 117,918 | ||
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.283%, 7/15/2054 (i) | 983,245 | 63,143 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.606%, 2/15/2054 (i) | 2,255,102 | 178,117 | ||
BBCMS Mortgage Trust, 2022-C18, “AS”, 6.149%, 12/15/2055 | 118,289 | 125,768 | ||
Benchmark 2020-B18 Mortgage Trust, “XA”, 1.78%, 7/15/2053 (i) | 3,305,134 | 205,464 | ||
Benchmark 2021-B23 Mortgage Trust, “XA”, 1.266%, 2/15/2054 (i) | 3,602,353 | 210,675 | ||
Benchmark 2021-B24 Mortgage Trust, “XA”, 1.146%, 3/15/2054 (i) | 1,990,574 | 102,428 | ||
Benchmark 2021-B26 Mortgage Trust, “XA”, 0.884%, 6/15/2054 (i) | 5,521,224 | 236,641 | ||
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.259%, 7/15/2054 (i) | 6,920,420 | 413,868 | ||
Benchmark 2021-B28 Mortgage Trust, “XA”, 1.272%, 8/15/2054 (i) | 2,323,171 | 147,931 | ||
Benchmark 2022-B36 Mortgage Trust, “XA”, 0.639%, 7/15/2055 (i) | 8,926,377 | 396,393 | ||
Benchmark 2022-B37 Mortgage Trust, “AS”, 5.751%, 11/15/2055 | 46,000 | 46,716 | ||
BSPRT 2021-FL7 Issuer Ltd., “B”, FLR, 7.482% ((SOFR - 1mo. + 0.11448%) + 2.05%), 12/15/2038 (n) | 100,000 | 98,008 | ||
BSPRT 2021-FL7 Issuer Ltd., “C”, FLR, 7.732% ((SOFR - 1mo. + 0.11448%) + 2.3%), 12/15/2038 (n) | 100,000 | 97,617 | ||
Business Jet Securities LLC, 2020-1A, “A”, 2.981%, 11/15/2035 (n) | 82,425 | 79,902 | ||
Business Jet Securities LLC, 2021-1A, “A”, 2.162%, 4/15/2036 (n) | 53,926 | 50,450 | ||
Business Jet Securities LLC, 2021-1A, “B”, 2.918%, 4/15/2036 (n) | 52,470 | 48,712 | ||
BXMT 2021-FL4 Ltd., “B”, FLR, 6.985% ((SOFR - 1mo. + 0.11448%) + 1.55%), 5/15/2038 (n) | 549,000 | 506,503 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | $ | 143,479 | $138,270 | |
Capital Automotive, 2020-1A, “B1”, REIT, 4.17%, 2/15/2050 (n) | 437,500 | 420,803 | ||
CF Hippolyta Issuer LLC, 2020-1, “A1”, 1.69%, 7/15/2060 (n) | 89,945 | 83,644 | ||
CF Hippolyta Issuer LLC, 2020-1, “B1”, 2.28%, 7/15/2060 (n) | 89,945 | 82,280 | ||
Chesapeake Funding II LLC, 2023-1A, “A1”, 5.65%, 5/15/2035 (n) | 107,985 | 107,999 | ||
CNH Equipment Trust 2023-A, “A2”, 5.34%, 9/15/2026 | 50,499 | 50,422 | ||
Colt Funding LLC, 2024-1, “A1”, 5.835%, 2/25/2069 (n) | 157,134 | 156,022 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.772%, 4/15/2054 (i) | 1,572,256 | 58,519 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN34, “XA”, 0.974%, 6/15/2063 (i) | 996,636 | 48,273 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.039%, 6/15/2064 (i) | 1,295,526 | 68,129 | ||
Commercial Mortgage Pass-Through Certificates, 2022-BNK41, “AS”, 3.79%, 4/15/2065 | 257,000 | 224,418 | ||
Commercial Mortgage Pass-Through Certificates, 2023-BNK46, “AS”, 6.385%, 8/15/2056 | 206,086 | 215,363 | ||
Crest Ltd., CDO, 7% (0.001% Cash or 7% PIK), 1/28/2040 (a)(p) | 4,586,320 | 46 | ||
DT Auto Owner Trust, 2023-1A, “A”, 5.48%, 4/15/2027 (n) | 56,278 | 56,180 | ||
Empire District Bondco LLC, 4.943%, 1/01/2033 | 165,000 | 164,123 | ||
Fortress CBO Investments Ltd., 2022-FL3, “AS”, FLR, 7.572% (SOFR - 30 day + 2.25%), 2/23/2039 (n) | 114,000 | 110,808 | ||
FS Rialto 2021-FL2 Issuer Ltd., “AS”, FLR, 6.985% ((SOFR - 1mo. + 0.11448%) + 1.55%), 5/16/2038 (n) | 297,500 | 288,044 | ||
GreatAmerica Leasing Receivables Funding LLC, 2023-1, “A2”, 5.35%, 2/16/2026 (n) | 63,956 | 63,831 | ||
LoanCore 2021-CRE5 Ltd., “B”, FLR, 7.432% ((SOFR - 1mo. + 0.11448%) + 2.0%), 7/15/2036 (n) | 100,000 | 96,766 | ||
MF1 2021-FL5 Ltd., “C”, FLR, 7.132% ((SOFR - 1mo. + 0.11448%) + 1.7%), 7/15/2036 (n) | 213,000 | 204,902 | ||
MF1 2021-FL5 Ltd., “D”, FLR, 7.932% ((SOFR - 1mo. + 0.11448%) + 2.5%), 7/15/2036 (n) | 755,000 | 724,450 | ||
MF1 2022-FL8 Ltd., “C”, FLR, 7.515% (SOFR - 30 day + 2.2%), 2/19/2037 (n) | 110,841 | 106,601 | ||
MF1 2024-FL14 LLC, “A”, FLR, 7.055% (SOFR - 1mo. + 1.737%), 3/19/2039 (n) | 229,000 | 228,916 | ||
MF1 2024-FL14 LLC, “AS”, FLR, 7.657% (SOFR - 1mo. + 2.24%), 3/19/2039 (n) | 100,000 | 99,965 | ||
MF1 2024-FL14 LLC, “B”, FLR, 8.057% (SOFR - 1mo. + 2.689%), 3/19/2039 (n) | 349,917 | 349,420 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.289%, 5/15/2054 (i) | 1,028,350 | 60,812 | ||
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.206%, 6/15/2054 (i) | 3,070,709 | 164,292 | ||
Navistar Financial Dealer Note Master Owner Trust, 2022-1, “A”, FLR, 6.574% (SOFR - 30 day + 1.25%), 5/25/2027 (n) | 103,000 | 103,073 | ||
Navistar Financial Dealer Note Master Owner Trust, 2023-1, “A”, 6.18%, 8/25/2028 (n) | 244,000 | 245,350 | ||
Navistar Financial Dealer Note Master Owner Trust, 2023-1, “B”, 6.48%, 8/25/2028 (n) | 57,000 | 57,187 | ||
OBX Trust, 2024-NQM1, “A1”, 5.928%, 11/25/2063 (n) | 124,532 | 124,264 | ||
OBX Trust, 2024-NQM2, “A1”, 5.878%, 12/25/2063 (n) | 291,729 | 290,740 | ||
Onslow Bay Financial LLC OBX Trust, 2024-NQM1, “A2”, 6.253%, 11/25/2063 (n) | 98,422 | 98,266 | ||
PFP III 2021-7 Ltd., “C”, FLR, 7.085% ((SOFR - 1mo. + 0.11448%) + 1.65%), 4/14/2038 (n) | 10,945 | 10,695 | ||
RAC Bond Co. PLC, 4.87%, 5/06/2026 | GBP | 100,000 | 122,740 | |
Shelter Growth CRE 2021-FL3 Ltd., “C”, FLR, 7.582% ((SOFR - 1mo. + 0.11448%) + 2.15%), 9/15/2036 (n) | $ | 157,500 | 150,987 | |
Starwood Commercial Mortgage, 2021-FL2, “B”, FLR, 7.235% ((SOFR - 1mo. + 0.11448%) + 1.8%), 4/18/2038 (n) | 190,000 | 179,794 | ||
Starwood Commercial Mortgage, 2021-FL2, “C”, FLR, 7.536% ((SOFR - 1mo. + 0.11448)% + 2.1%), 4/18/2038 (n) | 100,000 | 90,483 | ||
TPG Real Estate Finance, 2021-FL4, “AS”, FLR, 6.836% ((SOFR - 1mo. + 0.11448%) + 1.4%), 3/15/2038 (n) | 150,000 | 146,070 | ||
TPG Real Estate Finance, 2021-FL4, “B”, FLR, 7.285% ((SOFR - 1mo. + 0.11448%) + 1.85%), 3/15/2038 (n) | 310,000 | 292,686 | ||
Verus Securitization Trust, 2014-1, “A1”, 5.712%, 1/25/2069 (n) | 167,123 | 166,236 | ||
Wells Fargo Commercial Mortgage Trust, 2021-C60, “XA”, 1.521%, 8/15/2054 (i) | 1,952,828 | 138,111 | ||
Westlake Automobile Receivables Trust, 2023-1A, “A2B”, FLR, 6.175% (SOFR - 30 day + 0.85%), 6/15/2026 (n) | 29,898 | 29,918 | ||
$11,809,461 | ||||
Automotive – 1.3% | ||||
Clarios Global LP/Clarios U.S. Finance Co., 8.5%, 5/15/2027 (n) | $ | 621,000 | $624,218 | |
Clarios Global LP/Clarios U.S. Finance Co., 6.75%, 5/15/2028 (n) | 290,000 | 293,510 | ||
Dana, Inc., 5.375%, 11/15/2027 | 498,000 | 480,709 | ||
Dana, Inc., 4.25%, 9/01/2030 | 353,000 | 304,432 | ||
Dornoch Debt Merger Sub, Inc., 6.625%, 10/15/2029 (n) | 585,000 | 525,100 | ||
Ford Motor Credit Co. LLC, 4.445%, 2/14/2030 | EUR | 100,000 | 108,115 | |
Hyundai Capital America, 6.375%, 4/08/2030 (n) | $ | 72,000 | 75,732 | |
LKQ Corp., 6.25%, 6/15/2033 | 44,000 | 45,217 | ||
RAC Bond Co. PLC, 5.25%, 11/04/2027 (n) | GBP | 150,000 | 175,981 | |
Real Hero Merger Sub 2, Inc., 6.25%, 2/01/2029 (n) | $ | 480,000 | 417,600 | |
Volkswagen International Finance N.V., 7.5%, 9/06/2172 | EUR | 100,000 | 115,916 | |
Wabash National Corp., 4.5%, 10/15/2028 (n) | $ | 629,000 | 575,535 | |
$3,742,065 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Broadcasting – 0.7% | ||||
AMC Networks, Inc., 4.75%, 8/01/2025 | $ | 230,000 | $219,347 | |
Banijay Group S.A.S., 8.125%, 5/01/2029 (n) | 600,000 | 620,536 | ||
Discovery Communications LLC, 4.125%, 5/15/2029 | 53,000 | 49,096 | ||
Midas OpCo Holdings LLC, 5.625%, 8/15/2029 (n) | 791,000 | 706,205 | ||
Prosus N.V., 3.061%, 7/13/2031 (n) | 329,000 | 265,584 | ||
Ubisoft Entertainment S.A., 0.878%, 11/24/2027 | EUR | 200,000 | 184,891 | |
WarnerMedia Holdings, Inc., 4.279%, 3/15/2032 | $ | 45,000 | 39,698 | |
$2,085,357 | ||||
Brokerage & Asset Managers – 1.4% | ||||
AG TTMT Escrow Issuer LLC, 8.625%, 9/30/2027 (n) | $ | 625,000 | $643,336 | |
Aretec Escrow Issuer 2, Inc., 10%, 8/15/2030 (n) | 585,000 | 636,919 | ||
Aretec Escrow Issuer, Inc., 7.5%, 4/01/2029 (n) | 484,000 | 444,644 | ||
Charles Schwab Corp., 5.643% to 5/19/2028, FLR (SOFR - 1 day + 2.210%) to 5/19/2029 | 43,000 | 43,543 | ||
Charles Schwab Corp., 6.136% to 8/24/2033, FLR (SOFR - 1 day + 2.01%) to 8/24/2034 | 42,000 | 43,512 | ||
LPL Holdings, Inc., 4%, 3/15/2029 (n) | 575,000 | 527,543 | ||
LPL Holdings, Inc., 4.375%, 5/15/2031 (n) | 562,000 | 508,360 | ||
LSEG Netherlands B.V., 4.231%, 9/29/2030 | EUR | 100,000 | 111,812 | |
NFP Corp., 4.875%, 8/15/2028 (n) | $ | 632,000 | 630,420 | |
NFP Corp., 6.875%, 8/15/2028 (n) | 488,000 | 495,622 | ||
$4,085,711 | ||||
Building – 2.7% | ||||
ABC Supply Co., Inc., 3.875%, 11/15/2029 (n) | $ | 378,000 | $337,588 | |
Foundation Building Materials LLC, 6%, 3/01/2029 (n) | 857,000 | 747,802 | ||
GYP Holding III Corp., 4.625%, 5/01/2029 (n) | 821,000 | 765,131 | ||
HeidelbergCement Finance Luxembourg S.A., 4.875%, 11/21/2033 | EUR | 55,000 | 62,692 | |
Holcim Sterling Finance (Netherlands) B.V., 2.25%, 4/04/2034 | GBP | 100,000 | 96,300 | |
Imerys S.A., 4.75%, 11/29/2029 | EUR | 100,000 | 109,805 | |
Interface, Inc., 5.5%, 12/01/2028 (n) | $ | 380,000 | 356,389 | |
MIWD Holdco II LLC/MIWD Finance Co., 5.5%, 2/01/2030 (n) | 636,000 | 580,314 | ||
New Enterprise Stone & Lime Co., Inc., 5.25%, 7/15/2028 (n) | 923,000 | 879,520 | ||
New Enterprise Stone & Lime Co., Inc., 9.75%, 7/15/2028 (n) | 240,000 | 243,000 | ||
Patrick Industries, Inc., 7.5%, 10/15/2027 (n) | 767,000 | 769,876 | ||
SRM Concrete, 8.875%, 11/15/2031 (n) | 790,000 | 837,229 | ||
Standard Industries, Inc., 4.75%, 1/15/2028 (n) | 501,000 | 472,662 | ||
Standard Industries, Inc., 4.375%, 7/15/2030 (n) | 867,000 | 773,005 | ||
Vulcan Materials Co., 3.5%, 6/01/2030 | 96,000 | 87,437 | ||
White Cap Buyer LLC, 6.875%, 10/15/2028 (n) | 694,000 | 676,688 | ||
$7,795,438 | ||||
Business Services – 1.1% | ||||
Corning, Inc., 4.125%, 5/15/2031 | EUR | 100,000 | $110,588 | |
Euronet Worldwide, Inc., 1.375%, 5/22/2026 | 100,000 | 100,468 | ||
Fiserv, Inc., 4.4%, 7/01/2049 | $ | 95,000 | 79,478 | |
Iron Mountain, Inc., 4.875%, 9/15/2027 (n) | 454,000 | 435,428 | ||
Iron Mountain, Inc., 5.25%, 3/15/2028 (n) | 533,000 | 513,703 | ||
Mastercard, Inc., 3.3%, 3/26/2027 | 45,000 | 43,168 | ||
Mastercard, Inc., 3.85%, 3/26/2050 | 77,000 | 63,608 | ||
Tencent Holdings Ltd., 3.8%, 2/11/2025 | 700,000 | 689,422 | ||
Verscend Escrow Corp., 9.75%, 8/15/2026 (n) | 942,000 | 943,818 | ||
Visa, Inc., 3.65%, 9/15/2047 | 118,000 | 94,145 | ||
$3,073,826 | ||||
Cable TV – 5.2% | ||||
Cable One, Inc., 4%, 11/15/2030 (n) | $ | 1,206,000 | $911,254 | |
CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027 (n) | 400,000 | 378,066 | ||
CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, 3/01/2030 (n) | 2,167,000 | 1,843,434 | ||
CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, 8/15/2030 (n) | 1,169,000 | 969,709 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Cable TV – continued | ||||
CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, 1/15/2034 (n) | $ | 277,000 | $207,101 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.908%, 7/23/2025 | 42,000 | 41,419 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.8%, 3/01/2050 | 42,000 | 30,392 | ||
Cox Communications, Inc., 5.45%, 9/15/2028 (n) | 83,000 | 83,661 | ||
CSC Holdings LLC, 5.375%, 2/01/2028 (n) | 800,000 | 697,304 | ||
CSC Holdings LLC, 7.5%, 4/01/2028 (n) | 250,000 | 177,721 | ||
CSC Holdings LLC, 11.75%, 1/31/2029 (n) | 417,000 | 435,899 | ||
CSC Holdings LLC, 5.75%, 1/15/2030 (n) | 825,000 | 485,162 | ||
CSC Holdings LLC, 4.125%, 12/01/2030 (n) | 250,000 | 186,145 | ||
DIRECTV Financing LLC, 8.875%, 2/01/2030 (n) | 139,000 | 139,926 | ||
DISH DBS Corp., 7.75%, 7/01/2026 | 441,000 | 281,138 | ||
DISH DBS Corp., 5.25%, 12/01/2026 (n) | 507,000 | 404,966 | ||
DISH DBS Corp., 5.125%, 6/01/2029 | 284,000 | 121,119 | ||
DISH Network Corp., 11.75%, 11/15/2027 (n) | 255,000 | 265,857 | ||
LCPR Senior Secured Financing DAC, 6.75%, 10/15/2027 (n) | 893,000 | 843,885 | ||
LCPR Senior Secured Financing DAC, 5.125%, 7/15/2029 (n) | 210,000 | 176,467 | ||
SES S.A., 3.5%, 1/14/2029 | EUR | 200,000 | 209,736 | |
Sirius XM Radio, Inc., 4%, 7/15/2028 (n) | $ | 350,000 | 315,321 | |
Sirius XM Radio, Inc., 5.5%, 7/01/2029 (n) | 1,131,000 | 1,069,536 | ||
Sirius XM Radio, Inc., 3.875%, 9/01/2031 (n) | 389,000 | 321,538 | ||
Summer BidCo B.V., 10%, 2/15/2029 (n) | EUR | 120,000 | 133,008 | |
Videotron Ltd., 5.125%, 4/15/2027 (n) | $ | 406,000 | 397,818 | |
Videotron Ltd., 3.625%, 6/15/2029 (n) | 407,000 | 365,616 | ||
Virgin Media Finance PLC, 5%, 7/15/2030 (n) | 1,200,000 | 1,035,979 | ||
Virgin Media Vendor Financing Notes IV DAC, 5%, 7/15/2028 (n) | 891,000 | 821,939 | ||
Ziggo Bond Finance B.V., 3.375%, 2/28/2030 | EUR | 170,000 | 156,870 | |
Ziggo Bond Finance B.V., 5.125%, 2/28/2030 (n) | $ | 1,715,000 | 1,467,396 | |
$14,975,382 | ||||
Chemicals – 1.9% | ||||
Axalta Coating Systems Ltd., 4.75%, 6/15/2027 (n) | $ | 540,000 | $521,346 | |
Axalta Coating Systems Ltd., 3.375%, 2/15/2029 (n) | 310,000 | 275,494 | ||
Element Solutions, Inc., 3.875%, 9/01/2028 (n) | 620,000 | 561,922 | ||
LSF11 A5 HoldCo LLC, 6.625%, 10/15/2029 (n) | 700,000 | 607,487 | ||
Sasol Financing (USA) LLC, 5.5%, 3/18/2031 | 550,000 | 457,888 | ||
SCIH Salt Holdings, Inc., 6.625%, 5/01/2029 (n) | 831,000 | 755,594 | ||
SCIL IV LLC/SCIL USA Holdings LLC, 9.5%, 7/15/2028 (n) | EUR | 337,000 | 395,280 | |
SNF Group SACA, 3.375%, 3/15/2030 (n) | $ | 1,105,000 | 953,135 | |
Windsor Holdings III, LLC, 8.5%, 6/15/2030 (n) | 801,000 | 828,771 | ||
$5,356,917 | ||||
Computer Software – 0.4% | ||||
Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc., 8%, 6/15/2029 (n) | $ | 575,000 | $589,341 | |
Dun & Bradstreet Corp., 5%, 12/15/2029 (n) | 646,000 | 594,320 | ||
Microsoft Corp., 2.525%, 6/01/2050 | 101,000 | 65,034 | ||
Oracle Corp., 4%, 7/15/2046 | 62,000 | 47,684 | ||
$1,296,379 | ||||
Computer Software - Systems – 1.0% | ||||
Fair Isaac Corp., 5.25%, 5/15/2026 (n) | $ | 934,000 | $924,095 | |
Sabre GLBL, Inc., 8.625%, 6/01/2027 (n) | 337,000 | 296,616 | ||
Sabre GLBL, Inc., 11.25%, 12/15/2027 (n) | 292,000 | 274,480 | ||
SS&C Technologies Holdings, Inc., 5.5%, 9/30/2027 (n) | 1,158,000 | 1,127,660 | ||
Virtusa Corp., 7.125%, 12/15/2028 (n) | 361,000 | 320,162 | ||
$2,943,013 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Conglomerates – 2.4% | ||||
BWX Technologies, Inc., 4.125%, 6/30/2028 (n) | $ | 500,000 | $465,055 | |
BWX Technologies, Inc., 4.125%, 4/15/2029 (n) | 1,151,000 | 1,068,140 | ||
Chart Industries, Inc., 9.5%, 1/01/2031 (n) | 379,000 | 407,186 | ||
Emerald Debt Merger, 6.625%, 12/15/2030 (n) | 1,046,000 | 1,049,661 | ||
Gates Global LLC, 6.25%, 1/15/2026 (n) | 497,000 | 495,307 | ||
Griffon Corp., 5.75%, 3/01/2028 | 526,000 | 508,905 | ||
Madison IAQ LLC, 5.875%, 6/30/2029 (n) | 611,000 | 545,526 | ||
nVent Finance S.à r.l., 5.65%, 5/15/2033 | 69,000 | 69,000 | ||
Regal Rexnord Corp., 6.05%, 4/15/2028 (n) | 130,000 | 130,816 | ||
Regal Rexnord Corp., 6.3%, 2/15/2030 (n) | 482,000 | 490,783 | ||
Siemens Financieringsmaatschappij N.V., 3.375%, 2/22/2037 | EUR | 100,000 | 106,326 | |
TriMas Corp., 4.125%, 4/15/2029 (n) | $ | 1,565,000 | 1,426,560 | |
Veralto Corp., 4.15%, 9/19/2031 | EUR | 100,000 | 109,549 | |
Westinghouse Air Brake Technologies Corp., 4.7%, 9/15/2028 | $ | 75,000 | 73,162 | |
Westinghouse Air Brake Technologies Corp., 5.611%, 3/11/2034 (w) | 39,000 | 39,162 | ||
$6,985,138 | ||||
Construction – 0.5% | ||||
Mattamy Group Corp., 5.25%, 12/15/2027 (n) | $ | 237,000 | $228,494 | |
Mattamy Group Corp., 4.625%, 3/01/2030 (n) | 516,000 | 463,052 | ||
Weekley Homes LLC/Weekley Finance Corp., 4.875%, 9/15/2028 (n) | 684,000 | 634,814 | ||
$1,326,360 | ||||
Consumer Cyclical – 0.0% | ||||
Pluxee N.V., 3.75%, 9/04/2032 (w) | EUR | 100,000 | $107,044 | |
Consumer Products – 1.3% | ||||
Amer Sports Co., 6.75%, 2/16/2031 (n) | $ | 501,000 | $498,600 | |
Energizer Gamma Acquisition B.V., 3.5%, 6/30/2029 | EUR | 340,000 | 325,068 | |
Energizer Holdings, Inc., 4.375%, 3/31/2029 (n) | $ | 575,000 | 509,438 | |
HFC Prestige Products, Inc./HFC Prestige International US LLC, 6.625%, 7/15/2030 (n) | 974,000 | 989,827 | ||
Kenvue, Inc., 5.05%, 3/22/2053 | 122,000 | 117,492 | ||
Prestige Consumer Healthcare, Inc., 5.125%, 1/15/2028 (n) | 855,000 | 826,409 | ||
Prestige Consumer Healthcare, Inc., 3.75%, 4/01/2031 (n) | 415,000 | 358,523 | ||
$3,625,357 | ||||
Consumer Services – 3.0% | ||||
Allied Universal Holdco LLC, 9.75%, 7/15/2027 (n) | $ | 1,070,000 | $1,066,278 | |
Allied Universal Holdco LLC, 6%, 6/01/2029 (n) | 400,000 | 331,192 | ||
Arches Buyer, Inc., 6.125%, 12/01/2028 (n) | 649,000 | 549,853 | ||
Booking Holdings, Inc., 3.75%, 3/01/2036 (w) | EUR | 100,000 | 106,757 | |
Compass Group PLC, 3.25%, 2/06/2031 | 100,000 | 106,547 | ||
Cushman & Wakefield PLC, 6.75%, 5/15/2028 (n) | $ | 464,000 | 457,073 | |
GoDaddy, Inc., 3.5%, 3/01/2029 (n) | 1,013,000 | 901,952 | ||
GW B-CR Security Corp., 9.5%, 11/01/2027 (n) | 694,000 | 696,633 | ||
Match Group Holdings II LLC, 5%, 12/15/2027 (n) | 584,000 | 557,032 | ||
Match Group Holdings II LLC, 4.625%, 6/01/2028 (n) | 926,000 | 870,597 | ||
Match Group Holdings II LLC, 4.125%, 8/01/2030 (n) | 226,000 | 199,655 | ||
Match Group Holdings II LLC, 3.625%, 10/01/2031 (n) | 72,000 | 60,660 | ||
Realogy Group LLC/Realogy Co-Issuer Corp., 5.75%, 1/15/2029 (n) | 703,000 | 522,927 | ||
Realogy Group LLC/Realogy Co-Issuer Corp., 5.25%, 4/15/2030 (n) | 430,000 | 301,186 | ||
Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2043 (n) | 818,284 | 242,785 | ||
TriNet Group, Inc., 3.5%, 3/01/2029 (n) | 1,296,000 | 1,147,530 | ||
Verisure Midholding AB, 5.25%, 2/15/2029 | EUR | 100,000 | 104,327 | |
WASH Multi-Family Acquisition, Inc., 5.75%, 4/15/2026 (n) | $ | 571,000 | 553,870 | |
$8,776,854 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Containers – 1.9% | ||||
ARD Finance S.A., 6.5% (6.5% Cash or 7.25% PIK), 6/30/2027 (n)(p) | $ | 238,000 | $101,745 | |
Ardagh Metal Packaging Finance USA LLC, 3.25%, 9/01/2028 (n) | 765,000 | 662,987 | ||
Ardagh Metal Packaging Finance USA LLC, 4%, 9/01/2029 (n) | 371,000 | 301,312 | ||
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 5.25%, 8/15/2027 (n) | 840,000 | 609,043 | ||
Can-Pack S.A./Eastern PA Land Investment Holding LLC, 3.875%, 11/15/2029 (n) | 1,069,000 | 927,432 | ||
Crown Americas LLC, 5.25%, 4/01/2030 | 342,000 | 329,414 | ||
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/2026 | 673,000 | 645,917 | ||
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 2/01/2026 | 490,000 | 479,392 | ||
Crown European Holdings S.A., 4.75%, 3/15/2029 (n) | EUR | 352,000 | 384,674 | |
Titan Holdings II B.V., 5.125%, 7/15/2029 | 531,000 | 502,057 | ||
Trivium Packaging Finance B.V., 8.5%, 8/15/2027 (n) | $ | 601,000 | 585,853 | |
$5,529,826 | ||||
Electrical Equipment – 0.0% | ||||
Arrow Electronics, Inc., 2.95%, 2/15/2032 | $ | 78,000 | $65,182 | |
Electronics – 0.9% | ||||
Entegris Escrow Corp., 5.95%, 6/15/2030 (n) | $ | 255,000 | $250,041 | |
Entegris, Inc., 4.375%, 4/15/2028 (n) | 430,000 | 401,802 | ||
Entegris, Inc., 3.625%, 5/01/2029 (n) | 480,000 | 424,800 | ||
Intel Corp., 5.7%, 2/10/2053 | 70,000 | 70,958 | ||
NXP B.V./NXP Funding LLC/NXP USA, Inc., 3.4%, 5/01/2030 | 36,000 | 32,269 | ||
NXP B.V./NXP Funding LLC/NXP USA, Inc., 5%, 1/15/2033 | 17,000 | 16,417 | ||
Sensata Technologies B.V., 5%, 10/01/2025 (n) | 909,000 | 900,524 | ||
Sensata Technologies B.V., 5.875%, 9/01/2030 (n) | 385,000 | 374,967 | ||
Sensata Technologies, Inc., 4.375%, 2/15/2030 (n) | 177,000 | 161,280 | ||
$2,633,058 | ||||
Emerging Market Quasi-Sovereign – 3.5% | ||||
Dua Capital Ltd. (Federation of Malaysia), 2.78%, 5/11/2031 | $ | 404,000 | $344,394 | |
Empresa Nacional del Petroleo (Republic of Chile), 3.75%, 8/05/2026 | 600,000 | 568,486 | ||
Empresa Nacional del Petroleo (Republic of Chile), 5.25%, 11/06/2029 | 400,000 | 386,405 | ||
EQUATE Petrochemical B.V. (State of Kuwait), 4.25%, 11/03/2026 | 522,000 | 501,120 | ||
Eskom Holdings SOC Ltd. (Republic of South Africa), 6.35%, 8/10/2028 | 624,000 | 595,920 | ||
Indian Railway Finance Corp., 2.8%, 2/10/2031 (n) | 299,000 | 252,083 | ||
Indian Railway Finance Corp., 2.8%, 2/10/2031 | 800,000 | 674,470 | ||
Ipoteka Bank (Republic of Uzbekistan), 5.5%, 11/19/2025 | 700,000 | 667,492 | ||
Korea Development Bank, 4.25%, 9/08/2032 | 531,000 | 506,376 | ||
Magyar Export-Import Bank PLC (Republic of Hungary), 6.125%, 12/04/2027 (n) | 200,000 | 200,541 | ||
NAK Naftogaz Ukraine via Kondor Finance PLC, 7.625%, 11/08/2028 (a)(d)(n) | 1,116,000 | 592,526 | ||
Office Cherifien des Phosphates S.A. (Kingdom of Morocco), 5.125%, 6/23/2051 (n) | 650,000 | 478,634 | ||
Oryx Funding Ltd. (Sultanate of Oman), 5.8%, 2/03/2031 (n) | 200,000 | 198,200 | ||
Petroleos Mexicanos, 6.49%, 1/23/2027 | 904,000 | 844,492 | ||
Petroleos Mexicanos, 5.95%, 1/28/2031 | 100,000 | 77,626 | ||
Petroleos Mexicanos, 10%, 2/07/2033 | 60,000 | 58,272 | ||
Petroleos Mexicanos, 6.75%, 9/21/2047 | 980,000 | 622,822 | ||
Petroleos Mexicanos, 7.69%, 1/23/2050 | 75,000 | 51,626 | ||
QNB Finance Ltd. (State of Qatar), 2.75%, 2/12/2027 | 352,000 | 327,440 | ||
REC Ltd. (Republic of India), 5.625%, 4/11/2028 (n) | 200,000 | 200,409 | ||
Southern Gas Corridor CJSC (Republic of Azerbaijan), 6.875%, 3/24/2026 | 1,065,000 | 1,075,650 | ||
SPP-Distribucia A.S. (Republic of Slovakia), 1%, 6/09/2031 | EUR | 180,000 | 146,295 | |
State Oil Company of the Azerbaijan Republic, 6.95%, 3/18/2030 | $ | 500,000 | 511,966 | |
Turkiye Ihracat Kredi Bankasi A.S., 7.5%, 2/06/2028 (n) | 200,000 | 199,460 | ||
$10,082,705 | ||||
Emerging Market Sovereign – 13.1% | ||||
Republic of India, 7.18%, 8/14/2033 | INR | 33,600,000 | $406,676 | |
Arab Republic of Egypt, 8.5%, 1/31/2047 | $ | 965,000 | 747,682 | |
Czech Republic, 2.5%, 8/25/2028 | CZK | 18,240,000 | 740,644 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – continued | ||||
Czech Republic, 2%, 10/13/2033 | CZK | 5,660,000 | $206,782 | |
Dominican Republic, 5.5%, 2/22/2029 (n) | $ | 761,000 | 734,989 | |
Dominican Republic, 7.05%, 2/03/2031 (n) | 150,000 | 154,650 | ||
Dominican Republic, 5.3%, 1/21/2041 (n) | 181,000 | 152,219 | ||
Dominican Republic, 5.875%, 1/30/2060 (n) | 1,360,000 | 1,145,808 | ||
Federal Republic of Nigeria, 8.747%, 1/21/2031 (n) | 519,000 | 487,876 | ||
Federative Republic of Brazil, 10%, 1/01/2027 | BRL | 1,375,000 | 276,257 | |
Federative Republic of Brazil, 10%, 1/01/2029 | 11,200,000 | 2,217,998 | ||
Hellenic Republic (Republic of Greece), 3.375%, 6/15/2034 | EUR | 3,271,000 | 3,507,508 | |
Hellenic Republic (Republic of Greece), 4.375%, 7/18/2038 | 380,000 | 438,467 | ||
Kingdom of Morocco, 1.375%, 3/30/2026 | 428,000 | 436,955 | ||
Kingdom of Morocco, 3%, 12/15/2032 (n) | $ | 459,000 | 364,813 | |
Kingdom of Saudi Arabia, 5%, 1/18/2053 | 200,000 | 176,000 | ||
Oriental Republic of Uruguay, 8.25%, 5/21/2031 | UYU | 23,377,000 | 567,583 | |
Oriental Republic of Uruguay, 9.75%, 7/20/2033 | 8,914,000 | 238,420 | ||
People's Republic of China, 3.13%, 11/21/2029 | CNY | 3,100,000 | 449,705 | |
People's Republic of China, 2.88%, 2/25/2033 | 8,520,000 | 1,227,382 | ||
Republic of Angola, 9.375%, 5/08/2048 | $ | 670,000 | 546,693 | |
Republic of Angola, 9.125%, 11/26/2049 | 200,000 | 160,160 | ||
Republic of Argentina, 3.625%, 7/09/2035 | 627,494 | 232,571 | ||
Republic of Benin, 6.875%, 1/19/2052 (n) | EUR | 114,000 | 99,093 | |
Republic of Benin, 6.875%, 1/19/2052 | 400,000 | 347,693 | ||
Republic of Cote d'Ivoire, 5.25%, 3/22/2030 | 929,000 | 912,482 | ||
Republic of Cote d'Ivoire, 6.875%, 10/17/2040 | 200,000 | 178,699 | ||
Republic of Ghana, 8.125%, 3/26/2032 (a)(d)(n) | $ | 305,000 | 129,625 | |
Republic of Guatemala, 6.125%, 6/01/2050 (n) | 382,000 | 348,575 | ||
Republic of Hungary, 5.5%, 6/16/2034 (n) | 650,000 | 630,835 | ||
Republic of Kenya, 8%, 5/22/2032 (n) | 478,000 | 430,200 | ||
Republic of Korea, 2.375%, 12/10/2027 | KRW | 325,000,000 | 235,604 | |
Republic of Korea, 1.875%, 6/10/2029 | 3,174,250,000 | 2,205,915 | ||
Republic of Korea, 1.375%, 6/10/2030 | 2,721,670,000 | 1,806,472 | ||
Republic of Paraguay, 6%, 2/09/2036 (n) | $ | 200,000 | 200,300 | |
Republic of Paraguay, 5.6%, 3/13/2048 | 200,000 | 177,000 | ||
Republic of Paraguay, 5.4%, 3/30/2050 (n) | 1,150,000 | 986,125 | ||
Republic of Philippines, 3.556%, 9/29/2032 | 334,000 | 297,761 | ||
Republic of Romania, 5.875%, 1/30/2029 (n) | 34,000 | 33,707 | ||
Republic of Romania, 1.75%, 7/13/2030 (n) | EUR | 247,000 | 215,824 | |
Republic of Romania, 2%, 1/28/2032 | 350,000 | 295,555 | ||
Republic of Romania, 2%, 4/14/2033 | 250,000 | 202,384 | ||
Republic of Serbia, 2.05%, 9/23/2036 (n) | 452,000 | 335,839 | ||
Republic of Sri Lanka, 7.55%, 3/28/2030 (a)(d)(n) | $ | 446,000 | 236,769 | |
Sultanate of Oman, 7%, 1/25/2051 | 800,000 | 827,024 | ||
United Mexican States, 7.5%, 6/03/2027 | MXN | 145,100,000 | 8,064,493 | |
United Mexican States, 7.75%, 5/29/2031 | 29,100,000 | 1,582,106 | ||
United Mexican States, 4.75%, 4/27/2032 | $ | 727,000 | 683,652 | |
United Mexican States, 4.875%, 5/19/2033 | 441,000 | 414,580 | ||
United Mexican States, 3.771%, 5/24/2061 | 774,000 | 494,424 | ||
$37,990,574 | ||||
Energy - Independent – 3.4% | ||||
Callon Petroleum Co., 8%, 8/01/2028 (n) | $ | 340,000 | $355,136 | |
Callon Petroleum Co., 7.5%, 6/15/2030 (n) | 175,000 | 184,361 | ||
Civitas Resources, Inc., 8.375%, 7/01/2028 (n) | 505,000 | 528,444 | ||
Civitas Resources, Inc., 8.625%, 11/01/2030 (n) | 173,000 | 185,124 | ||
Civitas Resources, Inc., 8.75%, 7/01/2031 (n) | 349,000 | 371,151 | ||
Comstock Resources, Inc., 6.75%, 3/01/2029 (n) | 1,075,000 | 991,622 | ||
CrownRock LP/CrownRock Finance, Inc., “F”, 5%, 5/01/2029 (n) | 653,000 | 642,389 | ||
Energean Israel Finance Ltd., 5.875%, 3/30/2031 | 500,000 | 426,250 | ||
Leviathan Bond Ltd., 6.125%, 6/30/2025 (n) | 479,000 | 468,151 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Energy - Independent – continued | ||||
Matador Resources Co., 6.875%, 4/15/2028 (n) | $ | 657,000 | $667,146 | |
Medco Bell Pte. Ltd., 6.375%, 1/30/2027 (n) | 492,000 | 477,834 | ||
Moss Creek Resources Holdings, Inc., 7.5%, 1/15/2026 (n) | 515,000 | 512,010 | ||
Occidental Petroleum Corp., 6.45%, 9/15/2036 | 103,000 | 108,445 | ||
Permian Resources Operating LLC, 7.75%, 2/15/2026 (n) | 110,000 | 111,315 | ||
Permian Resources Operating LLC, 5.875%, 7/01/2029 (n) | 908,000 | 887,259 | ||
Permian Resources Operating LLC, 7%, 1/15/2032 (n) | 354,000 | 363,479 | ||
Pioneer Natural Resources Co., 2.15%, 1/15/2031 | 108,000 | 90,353 | ||
Santos Finance Ltd., 6.875%, 9/19/2033 (n) | 82,000 | 85,389 | ||
Sitio Royalties Operating Partnership, LP, 7.875%, 11/01/2028 (n) | 684,000 | 699,117 | ||
SM Energy Co., 6.5%, 7/15/2028 | 458,000 | 458,572 | ||
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 | 987,000 | 924,323 | ||
Tengizchevroil Finance Co. International Ltd., 3.25%, 8/15/2030 (n) | 323,000 | 263,546 | ||
$9,801,416 | ||||
Energy - Integrated – 0.5% | ||||
Artera Services LLC, 8.5%, 2/15/2031 (n) | $ | 459,000 | $468,893 | |
BP Capital Markets America, Inc., 4.812%, 2/13/2033 | 54,000 | 52,682 | ||
BP Capital Markets B.V., 4.323%, 5/12/2035 | EUR | 100,000 | 112,667 | |
Citgo Petroleum Corp., 8.375%, 1/15/2029 (n) | $ | 585,000 | 614,349 | |
Eni S.p.A., 3.875%, 1/15/2034 | EUR | 100,000 | 106,925 | |
Exxon Mobil Corp., 1.408%, 6/26/2039 | 100,000 | 76,796 | ||
$1,432,312 | ||||
Entertainment – 2.2% | ||||
Carnival Corp. PLC, 7.625%, 3/01/2026 (n) | $ | 642,000 | $650,353 | |
Carnival Corp. PLC, 5.75%, 3/01/2027 (n) | 1,027,000 | 1,014,136 | ||
Carnival Corp. PLC, 4%, 8/01/2028 (n) | 366,000 | 337,584 | ||
Carnival Corp. PLC, 6%, 5/01/2029 (n) | 367,000 | 358,637 | ||
Merlin Entertainments, 7.375%, 2/15/2031 (n) | 484,000 | 484,250 | ||
Motion Finco S.à r.l., 7.375%, 6/15/2030 (n) | EUR | 100,000 | 112,285 | |
NCL Corp. Ltd., 5.875%, 3/15/2026 (n) | $ | 590,000 | 576,283 | |
NCL Corp. Ltd., 7.75%, 2/15/2029 (n) | 343,000 | 351,627 | ||
Royal Caribbean Cruises Ltd., 5.375%, 7/15/2027 (n) | 566,000 | 555,129 | ||
Royal Caribbean Cruises Ltd., 5.5%, 4/01/2028 (n) | 646,000 | 635,709 | ||
SeaWorld Parks & Entertainment, 5.25%, 8/15/2029 (n) | 460,000 | 428,952 | ||
Viking Cruises Ltd. Co., 5.875%, 9/15/2027 (n) | 228,000 | 222,870 | ||
Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/2029 (n) | 401,000 | 386,965 | ||
VOC Escrow Ltd., 5%, 2/15/2028 (n) | 358,000 | 343,834 | ||
$6,458,614 | ||||
Financial Institutions – 3.6% | ||||
Avation Capital S.A., 8.25% (8.25% Cash or 9% PIK), 10/31/2026 (n)(p) | $ | 574,138 | $488,148 | |
Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 69,000 | 66,578 | ||
Citycon Treasurey B.V., 6.5%, 3/08/2029 (w) | EUR | 100,000 | 108,759 | |
Credit Acceptance Corp., 9.25%, 12/15/2028 (n) | $ | 690,000 | 729,916 | |
Dar Al-Arkan Sukuk Co. Ltd., 6.875%, 2/26/2027 | 550,000 | 547,734 | ||
Exor N.V., 3.75%, 2/14/2033 | EUR | 100,000 | 106,476 | |
Freedom Mortgage Corp., 7.625%, 5/01/2026 (n) | $ | 516,000 | 512,194 | |
Freedom Mortgage Holdings LLC, 9.25%, 2/01/2029 (n) | 143,000 | 145,174 | ||
FTAI Aviation Ltd., 5.5%, 5/01/2028 (n) | 332,000 | 317,877 | ||
FTAI Aviation Ltd., 7.875%, 12/01/2030 (n) | 386,000 | 404,722 | ||
Global Aircraft Leasing Co. Ltd., 6.5% (6.5% Cash or 7.25% PIK), 9/15/2024 (n)(p) | 1,534,693 | 1,457,958 | ||
Grand City Properties S.A., 1.5% to 6/9/2026, FLR (EUR Swap Rate - 5yr. + 2.184%) to 6/9/2031, FLR (EUR Swap Rate - 5yr. + 2.434%) to 6/09/2046, FLR (EUR Swap Rate - 5yr. + 3.184%) to 12/09/2069 | EUR | 100,000 | 59,444 | |
Heimstaden Bostad Treasury B.V., 1%, 4/13/2028 | 100,000 | 85,044 | ||
Howard Hughes Corp., 4.125%, 2/01/2029 (n) | $ | 832,000 | 738,558 | |
Jefferson Capital Holdings LLC, 9.5%, 2/15/2029 (n) | 509,000 | 514,109 | ||
Macquarie AirFinance Holdings Ltd., 8.375%, 5/01/2028 (n) | 758,000 | 793,990 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Financial Institutions – continued | ||||
Macquarie AirFinance Holdings Ltd., 8.125%, 3/30/2029 (n) | $ | 126,000 | $131,008 | |
Nationstar Mortgage Holdings, Inc., 6%, 1/15/2027 (n) | 1,023,000 | 1,005,783 | ||
OneMain Finance Corp., 6.875%, 3/15/2025 | 601,000 | 607,010 | ||
OneMain Finance Corp., 7.125%, 3/15/2026 | 763,000 | 775,393 | ||
OneMain Finance Corp., 5.375%, 11/15/2029 | 395,000 | 366,535 | ||
PRA Group, Inc., 8.375%, 2/01/2028 (n) | 228,000 | 222,870 | ||
Samhallsbyggnadsbolaget i Norden AB, 3%, 1/14/2025 | EUR | 100,000 | 100,498 | |
Samhallsbyggnadsbolaget i Norden AB, 2.375%, 9/04/2026 | 100,000 | 83,321 | ||
Samhallsbyggnadsbolaget i Norden AB, 2.875% to 1/30/2027, FLR (EUR Swap Rate - 5yr. + 3.223%) to 1/30/2032, FLR (EUR Swap Rate - 5yr. + 3.473%) to 1/30/2047, FLR (EUR Swap Rate - 5yr. + 4.473%) to 1/30/2171 (a) | 280,000 | 55,967 | ||
Vonovia SE, 5.5%, 1/18/2036 | GBP | 100,000 | 122,308 | |
$10,547,374 | ||||
Food & Beverages – 2.8% | ||||
Anheuser-Busch InBev S.A./N.V., 2%, 1/23/2035 | EUR | 100,000 | $93,694 | |
Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038 | $ | 144,000 | 131,683 | |
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | 42,000 | 43,057 | ||
B&G Foods, Inc., 5.25%, 9/15/2027 | 519,000 | 482,549 | ||
B&G Foods, Inc., 8%, 9/15/2028 (n) | 216,000 | 224,869 | ||
Bacardi-Martini B.V., 5.4%, 6/15/2033 (n) | 129,000 | 126,888 | ||
Central America Bottling Co., 5.25%, 4/27/2029 (n) | 755,000 | 707,975 | ||
Chobani LLC/Chobani Finance Corp., 7.625%, 7/01/2029 (n) | 57,000 | 57,296 | ||
Constellation Brands, Inc., 3.15%, 8/01/2029 | 32,000 | 29,035 | ||
Constellation Brands, Inc., 2.25%, 8/01/2031 | 53,000 | 43,246 | ||
Fiesta Purchaser, Inc., 7.875%, 3/01/2031 (n) | 460,000 | 474,334 | ||
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.625%, 1/15/2032 | 781,000 | 656,692 | ||
Kraft Heinz Foods Co., 3.5%, 3/15/2029 (w) | EUR | 100,000 | 107,976 | |
Kraft Heinz Foods Co., 4.375%, 6/01/2046 | $ | 89,000 | 73,735 | |
Performance Food Group Co., 5.5%, 10/15/2027 (n) | 712,000 | 697,285 | ||
Post Holdings, Inc., 5.625%, 1/15/2028 (n) | 544,000 | 534,018 | ||
Post Holdings, Inc., 4.625%, 4/15/2030 (n) | 935,000 | 850,733 | ||
Primo Water Holding, Inc., 4.375%, 4/30/2029 (n) | 1,031,000 | 935,375 | ||
TreeHouse Foods, Inc., 4%, 9/01/2028 | 633,000 | 558,622 | ||
U.S. Foods Holding Corp., 4.75%, 2/15/2029 (n) | 826,000 | 775,424 | ||
United Natural Foods, Inc., 6.75%, 10/15/2028 (n) | 489,000 | 407,205 | ||
$8,011,691 | ||||
Gaming & Lodging – 2.5% | ||||
Caesars Entertainment, Inc., 4.625%, 10/15/2029 (n) | $ | 310,000 | $283,029 | |
Caesars Entertainment, Inc., 7%, 2/15/2030 (n) | 601,000 | 615,700 | ||
Caesars Entertainment, Inc., 6.5%, 2/15/2032 (n) | 172,000 | 173,287 | ||
Caesars Resort Collection LLC/CRC Finco, Inc., 8.125%, 7/01/2027 (n) | 702,000 | 720,804 | ||
CCM Merger, Inc., 6.375%, 5/01/2026 (n) | 591,000 | 583,007 | ||
CDI Escrow Issuer, Inc., 5.75%, 4/01/2030 (n) | 859,000 | 825,375 | ||
Las Vegas Sands Corp., 3.9%, 8/08/2029 | 69,000 | 62,404 | ||
Marriott International, Inc., 2.85%, 4/15/2031 | 90,000 | 76,839 | ||
Penn National Gaming, Inc., 4.125%, 7/01/2029 (n) | 860,000 | 722,400 | ||
VICI Properties LP, REIT, 4.95%, 2/15/2030 | 47,000 | 44,745 | ||
Wyndham Hotels & Resorts, Inc., 4.375%, 8/15/2028 (n) | 752,000 | 699,174 | ||
Wynn Macau Ltd., 5.5%, 10/01/2027 (n) | 705,000 | 669,569 | ||
Wynn Macau Ltd., 5.625%, 8/26/2028 (n) | 883,000 | 829,632 | ||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029 (n) | 752,000 | 709,365 | ||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 7.125%, 2/15/2031 (n) | 286,000 | 295,347 | ||
$7,310,677 | ||||
Industrial – 1.0% | ||||
Albion Financing 1 S.à r.l., 6.125%, 10/15/2026 (n) | $ | 200,000 | $197,780 | |
Albion Financing 2 S.à r.l., 8.75%, 4/15/2027 (n) | 635,000 | 634,946 | ||
APi Escrow Corp., 4.75%, 10/15/2029 (n) | 1,016,000 | 942,340 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Industrial – continued | ||||
Arcadis N.V., 4.875%, 2/28/2028 | EUR | 100,000 | $111,491 | |
Trustees of the University of Pennsylvania, 2.396%, 10/01/2050 | $ | 35,000 | 21,742 | |
Williams Scotsman International, Inc., 4.625%, 8/15/2028 (n) | 903,000 | 847,935 | ||
$2,756,234 | ||||
Insurance – 0.3% | ||||
Allianz SE, 4.851% to 7/26/2034, FLR (EURIBOR - 3mo. + 3.35%) to 7/26/2054 | EUR | 100,000 | $109,372 | |
Allianz SE, 3.2% to 4/30/2028, FLR (CMT - 5yr. + 2.165%) to 4/30/2171 (n) | $ | 200,000 | 158,397 | |
ASR Nederland N.V., 7% to 12/07/2033, FLR (EUR Swap Rate - 5yr. + 5.3%) to 12/07/2043 | EUR | 100,000 | 121,248 | |
Corebridge Financial, Inc., 4.35%, 4/05/2042 | $ | 101,000 | 83,353 | |
Equitable Holdings, Inc., 5.594%, 1/11/2033 | 16,000 | 16,127 | ||
Groupe des Assurances du Credit Mutuel, 1.85% to 4/21/2032, FLR (EURIBOR - 3mo. + 2.65%) to 4/21/2042 | EUR | 200,000 | 173,062 | |
Sogecap S.A., 6.5% to 5/16/2034, FLR (EURIBOR - 3mo. + 4.4%) to 5/16/2044 | 100,000 | 116,800 | ||
$778,359 | ||||
Insurance - Health – 0.0% | ||||
UnitedHealth Group, Inc., 3.25%, 5/15/2051 | $ | 74,000 | $51,895 | |
Insurance - Property & Casualty – 2.2% | ||||
Acrisure LLC/Acrisure Finance, Inc., 8.25%, 2/01/2029 (n) | $ | 344,000 | $339,884 | |
Acrisure LLC/Acrisure Finance, Inc., 4.25%, 2/15/2029 (n) | 74,000 | 65,636 | ||
Acrisure LLC/Acrisure Finance, Inc., 6%, 8/01/2029 (n) | 343,000 | 308,805 | ||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/2027 (n) | 591,000 | 574,171 | ||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 5.875%, 11/01/2029 (n) | 850,000 | 778,081 | ||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 7%, 1/15/2031 (n) | 450,000 | 448,240 | ||
American International Group, Inc., 5.125%, 3/27/2033 | 74,000 | 72,992 | ||
AmWINS Group Benefits, Inc., 4.875%, 6/30/2029 (n) | 691,000 | 637,311 | ||
Aon Corp./Aon Global Holdings PLC, 3.9%, 2/28/2052 | 82,000 | 62,071 | ||
Ardonagh Finco Ltd., 7.75%, 2/15/2031 (n) | 461,000 | 455,284 | ||
Arthur J. Gallagher & Co., 6.5%, 2/15/2034 | 45,000 | 48,082 | ||
Arthur J. Gallagher & Co., 6.75%, 2/15/2054 | 60,000 | 67,637 | ||
AssuredPartners, Inc., 5.625%, 1/15/2029 (n) | 459,000 | 422,199 | ||
Fairfax Financial Holdings Ltd., 4.25%, 12/06/2027 | CAD | 175,000 | 125,581 | |
GTCR (AP) Finance, Inc., 8%, 5/15/2027 (n) | $ | 484,000 | 484,817 | |
Hub International Ltd., 5.625%, 12/01/2029 (n) | 575,000 | 533,681 | ||
Hub International Ltd., 7.25%, 6/15/2030 (n) | 478,000 | 487,612 | ||
Hub International Ltd., 7.375%, 1/31/2032 (n) | 484,000 | 485,533 | ||
QBE Insurance Group Ltd., 2.5% to 9/13/2028, FLR (GBP Government Yield - 5yr. + 2.061%) to 9/13/2038 | GBP | 100,000 | 106,262 | |
$6,503,879 | ||||
International Market Quasi-Sovereign – 0.3% | ||||
Belfius Bank S.A. (Kingdom of Belgium), 3.75%, 1/22/2029 | EUR | 100,000 | $106,656 | |
Belfius Bank S.A. (Kingdom of Belgium), 4.125%, 9/12/2029 | 100,000 | 110,635 | ||
Deutsche Bahn Finance GmbH (Federal Republic of Germany), 3.375%, 1/29/2038 | 20,000 | 21,208 | ||
La Banque Postale (Republic of France), 3.5%, 6/13/2030 | 100,000 | 107,105 | ||
Logicor Financing S.à r.l. (Grand Duchy of Luxembourg), 1.625%, 1/17/2030 | 110,000 | 101,159 | ||
NBN Co. Ltd. (Commonwealth of Australia), 5.75%, 10/06/2028 (n) | $ | 200,000 | 205,888 | |
P3 Group S.à r.l. (Grand Duchy of Luxembourg), 1.625%, 1/26/2029 | EUR | 100,000 | 94,787 | |
$747,438 | ||||
International Market Sovereign – 8.0% | ||||
Commonwealth of Australia, 3.25%, 6/21/2039 | AUD | 13,861,000 | $7,894,816 | |
Commonwealth of Australia, 2.75%, 5/21/2041 | 911,000 | 472,868 | ||
Government of Bermuda, 2.375%, 8/20/2030 (n) | $ | 200,000 | 166,700 | |
Government of Bermuda, 5%, 7/15/2032 (n) | 560,000 | 536,928 | ||
Government of Canada, 1.25%, 6/01/2030 | CAD | 545,000 | 351,071 | |
Government of Japan, 0.3%, 12/20/2039 | JPY | 196,350,000 | 1,140,813 | |
Government of Japan, 1.7%, 6/20/2044 | 91,100,000 | 632,517 | ||
Government of Japan, 0.3%, 6/20/2046 | 69,950,000 | 357,990 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
International Market Sovereign – continued | ||||
Government of Japan, 0.4%, 3/20/2050 | JPY | 171,900,000 | $845,477 | |
Government of Japan, 0.7%, 12/20/2051 | 322,500,000 | 1,682,197 | ||
Government of New Zealand, 3.5%, 4/14/2033 | NZD | 372,000 | 206,369 | |
Kingdom of Belgium, 3%, 6/22/2033 (n) | EUR | 378,000 | 412,053 | |
Kingdom of Belgium, 0.4%, 6/22/2040 | 347,000 | 241,478 | ||
Kingdom of Spain, 3.25%, 4/30/2034 | 864,000 | 930,449 | ||
Kingdom of Spain, 3.9%, 7/30/2039 (n) | 935,000 | 1,041,592 | ||
Kingdom of Spain, 1%, 10/31/2050 | 650,000 | 378,763 | ||
Kingdom of Spain, 4%, 10/31/2054 | 462,000 | 506,375 | ||
Republic of Finland, 2.95%, 4/15/2055 (n) | 270,000 | 285,138 | ||
Republic of Iceland, 2.5%, 4/15/2024 | ISK | 28,000,000 | 200,468 | |
Republic of Italy, 4.1%, 2/01/2029 | EUR | 2,079,000 | 2,323,586 | |
Republic of Italy, 1.45%, 3/01/2036 | 466,000 | 384,091 | ||
Republic of Italy, 4.15%, 10/01/2039 (n) | 276,000 | 296,779 | ||
United Kingdom Treasury, 0.375%, 10/22/2030 | GBP | 1,522,000 | 1,520,752 | |
United Kingdom Treasury, 1.75%, 9/07/2037 | 246,000 | 229,781 | ||
United Kingdom Treasury, 1.25%, 10/22/2041 | 214,000 | 165,294 | ||
$23,204,345 | ||||
Local Authorities – 0.0% | ||||
Province of British Columbia, 2.95%, 6/18/2050 | CAD | 115,000 | $66,656 | |
Machinery & Tools – 0.7% | ||||
CNH Industrial Capital LLC, 5.5%, 1/12/2029 | $ | 71,000 | $71,968 | |
Ritchie Bros Holdings, Inc., 7.75%, 3/15/2031 (n) | 1,054,000 | 1,108,018 | ||
Sarens Finance Co. N.V., 5.75%, 2/21/2027 | EUR | 110,000 | 113,801 | |
Terex Corp., 5%, 5/15/2029 (n) | $ | 693,000 | 647,125 | |
$1,940,912 | ||||
Major Banks – 1.2% | ||||
Bank of America Corp., 5.202% to 4/25/2028, FLR (SOFR - 1 day + 1.63%) to 4/25/2029 | $ | 100,000 | $99,458 | |
Bank of America Corp., 2.687% to 4/22/2031, FLR (SOFR - 1 day + 1.32%) to 4/22/2032 | 92,000 | 77,043 | ||
BNP Paribas S.A., FLR, 5.97% (LIBOR - 6mo. + 0.075%) 3/23/2172 | 200,000 | 199,700 | ||
Capital One Financial Corp., 6.377% to 6/08/2033, FLR (SOFR - 1 day + 2.860%) to 6/08/2034 | 62,000 | 63,885 | ||
Commonwealth Bank of Australia, 2.688%, 3/11/2031 (n) | 221,000 | 181,692 | ||
Credit Agricole S.A., 3.75%, 1/22/2034 | EUR | 100,000 | 108,298 | |
Danske Bank A.S., 1.549%, 9/10/2027 (n) | $ | 200,000 | 181,627 | |
JPMorgan Chase & Co., 1.47% to 9/22/2026, FLR (SOFR - 1 day + 0.765%) to 9/22/2027 | 44,000 | 39,980 | ||
JPMorgan Chase & Co., 5.04% to 1/23/2027, FLR (SOFR - 1 day + 1.19%) to 1/23/2028 | 66,000 | 65,649 | ||
JPMorgan Chase & Co., 1.953% to 2/04/2031, FLR (SOFR - 1 day + 1.065%) to 2/04/2032 | 108,000 | 86,856 | ||
JPMorgan Chase & Co., 3.328% to 4/22/2051, FLR (SOFR - 1 day + 1.58%) to 4/22/2052 | 56,000 | 39,755 | ||
Lloyds Banking Group PLC, 4.75% to 9/21/2030, FLR (EUR Swap Rate - 1yr. + 1.6%) to 9/21/2031 | EUR | 100,000 | 111,727 | |
mBank S.A., 0.966% to 9/21/2026, FLR (EURIBOR - 3mo. + 1.25%) to 9/21/2027 | 100,000 | 95,684 | ||
Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR - 1 day + 3.12%) to 4/01/2031 | $ | 154,000 | 139,905 | |
Morgan Stanley, 5.424% to 7/21/2033, FLR (SOFR - 1 day + 1.88%) to 7/21/2034 | 43,000 | 42,745 | ||
NatWest Markets PLC, 3.625%, 1/09/2029 | EUR | 100,000 | 107,416 | |
PNC Financial Services Group, Inc., 5.3% to 1/21/2027, FLR (SOFR - 1 day + 1.342%) to 1/21/2028 | $ | 46,000 | 45,943 | |
PNC Financial Services Group, Inc., 5.676% to 1/22/2034, FLR (SOFR - 1 day + 1.902%) to 1/22/2035 | 55,000 | 55,159 | ||
Toronto-Dominion Bank, 8.125% to 10/31/2027, FLR (CMT - 5yr. + 4.075%) to 10/31/2082 | 985,000 | 1,025,148 | ||
UBS Group AG, 4.125% to 6/09/2032, FLR (EUR ICE Swap Rate - 1yr. + 1.75%) to 6/09/2033 | EUR | 200,000 | 215,443 | |
UBS Group AG, 9.25% to 11/13/2028, FLR (CMT - 5yr. + 4.745%) to 5/13/2172 (n) | $ | 200,000 | 213,520 | |
UniCredit S.p.A., 4.3%, 1/23/2031 | EUR | 150,000 | 161,326 | |
Wells Fargo & Co., 3.526% to 3/24/2027, FLR (SOFR - 1 day + 1.51%) to 3/24/2028 | $ | 45,000 | 42,665 | |
Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033 | 69,000 | 59,224 | ||
$3,459,848 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Medical & Health Technology & Services – 4.0% | ||||
180 Medical, Inc., 3.875%, 10/15/2029 (n) | $ | 965,000 | $863,675 | |
Avantor Funding, Inc., 4.625%, 7/15/2028 (n) | 1,103,000 | 1,041,103 | ||
Bausch & Lomb Escrow Corp., 8.375%, 10/01/2028 (n) | 486,000 | 507,870 | ||
Becton, Dickinson and Co., 4.298%, 8/22/2032 | 45,000 | 42,175 | ||
CAB SELAS, 3.375%, 2/01/2028 | EUR | 100,000 | 98,083 | |
Charles River Laboratories International, Inc., 3.75%, 3/15/2029 (n) | $ | 1,063,000 | 958,963 | |
CHS/Community Health Systems, Inc., 8%, 12/15/2027 (n) | 413,000 | 394,973 | ||
CHS/Community Health Systems, Inc., 6.125%, 4/01/2030 (n) | 815,000 | 509,848 | ||
CHS/Community Health Systems, Inc., 5.25%, 5/15/2030 (n) | 843,000 | 672,569 | ||
CVS Health Corp., 5.625%, 2/21/2053 | 54,000 | 51,879 | ||
Encompass Health Corp., 5.75%, 9/15/2025 | 244,000 | 243,135 | ||
Encompass Health Corp., 4.75%, 2/01/2030 | 680,000 | 630,822 | ||
Encompass Health Corp., 4.625%, 4/01/2031 | 120,000 | 108,619 | ||
HCA, Inc., 5.125%, 6/15/2039 | 103,000 | 95,716 | ||
IQVIA Holdings, Inc., 6.25%, 2/01/2029 | 63,000 | 64,819 | ||
IQVIA, Inc., 5%, 5/15/2027 (n) | 1,010,000 | 983,274 | ||
IQVIA, Inc., 6.5%, 5/15/2030 (n) | 600,000 | 608,316 | ||
Legacy LifePoint Health LLC, 4.375%, 2/15/2027 (n) | 569,000 | 527,813 | ||
New York Society for the Relief of the Ruptured & Crippled, 2.667%, 10/01/2050 | 179,000 | 108,769 | ||
ProMedica Toledo Hospital, “B”, AGM, 6.015%, 11/15/2048 | 142,000 | 146,698 | ||
Star Parent, Inc., 9%, 10/01/2030 (n) | 623,000 | 657,495 | ||
Tenet Healthcare Corp., 6.125%, 10/01/2028 | 484,000 | 478,555 | ||
Tenet Healthcare Corp., 4.375%, 1/15/2030 | 416,000 | 381,012 | ||
Tenet Healthcare Corp., 6.125%, 6/15/2030 | 701,000 | 694,242 | ||
Tenet Healthcare Corp., 6.75%, 5/15/2031 (n) | 295,000 | 297,581 | ||
Thermo Fisher Scientific (Finance I) B.V., 2%, 10/18/2051 | EUR | 100,000 | 74,723 | |
U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026 (n) | $ | 441,000 | 399,136 | |
$11,641,863 | ||||
Medical Equipment – 0.6% | ||||
American Medical Systems Europe B.V., 3.5%, 3/08/2032 | EUR | 100,000 | $107,400 | |
Garden SpinCo Corp., 8.625%, 7/20/2030 (n) | $ | 620,000 | 657,264 | |
Medline Borrower LP, 5.25%, 10/01/2029 (n) | 863,000 | 798,263 | ||
Teleflex, Inc., 4.625%, 11/15/2027 | 281,000 | 268,320 | ||
$1,831,247 | ||||
Metals & Mining – 2.2% | ||||
Baffinland Iron Mines Corp./Baffinland Iron Mines LP, 8.75%, 7/15/2026 (n) | $ | 742,000 | $664,200 | |
FMG Resources Ltd., 4.375%, 4/01/2031 (n) | 1,627,000 | 1,458,036 | ||
Glencore Funding LLC, 2.85%, 4/27/2031 (n) | 86,000 | 73,281 | ||
GrafTech Finance, Inc., 4.625%, 12/15/2028 (n) | 838,000 | 550,829 | ||
GrafTech Finance, Inc., 9.875%, 12/15/2028 (n) | 273,000 | 216,762 | ||
Kaiser Aluminum Corp., 4.625%, 3/01/2028 (n) | 1,009,000 | 930,334 | ||
Kaiser Aluminum Corp., 4.5%, 6/01/2031 (n) | 418,000 | 357,162 | ||
Novelis Corp., 3.25%, 11/15/2026 (n) | 486,000 | 450,692 | ||
Novelis Corp., 4.75%, 1/30/2030 (n) | 797,000 | 727,827 | ||
Novelis Corp., 3.875%, 8/15/2031 (n) | 248,000 | 209,872 | ||
Petra Diamonds US$ Treasury PLC, 9.75%, 3/08/2026 (n) | 373,170 | 298,536 | ||
Taseko Mines Ltd., 7%, 2/15/2026 (n) | 528,000 | 519,904 | ||
$6,457,435 | ||||
Midstream – 3.6% | ||||
Columbia Pipelines Operating Co. LLC, 5.927%, 8/15/2030 (n) | $ | 88,000 | $89,637 | |
Columbia Pipelines Operating Co. LLC, 6.036%, 11/15/2033 (n) | 45,000 | 46,206 | ||
DT Midstream, Inc., 4.125%, 6/15/2029 (n) | 904,000 | 826,026 | ||
DT Midstream, Inc., 4.375%, 6/15/2031 (n) | 859,000 | 773,346 | ||
Enbridge, Inc., 5.7%, 3/08/2033 | 42,000 | 42,474 | ||
Enbridge, Inc., 8.5% to 1/15/2034, FLR (CMT - 5yr. + 4.431%) to 1/15/2054, FLR (CMT - 5yr. + 5.181%) to 1/15/2084 | 74,000 | 78,908 | ||
Energy Transfer LP, 5.95%, 5/15/2054 | 60,000 | 58,558 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Midstream – continued | ||||
EQM Midstream Partners LP, 5.5%, 7/15/2028 | $ | 1,269,000 | $1,244,588 | |
EQT Midstream Partners LP, 6.375%, 4/01/2029 (n) | 172,000 | 172,494 | ||
Kinetik Holdings, Inc., 5.875%, 6/15/2030 (n) | 793,000 | 772,710 | ||
NuStar Logistics, LP, 6.375%, 10/01/2030 | 583,000 | 584,650 | ||
Peru LNG, 5.375%, 3/22/2030 | 518,000 | 444,217 | ||
Tallgrass Energy Partners LP, 5.5%, 1/15/2028 (n) | 944,000 | 896,800 | ||
Tallgrass Energy Partners LP, 7.375%, 2/15/2029 (n) | 338,000 | 337,243 | ||
Targa Resources Corp., 4.2%, 2/01/2033 | 28,000 | 25,203 | ||
Targa Resources Corp., 4.95%, 4/15/2052 | 79,000 | 67,588 | ||
Venture Global Calcasieu Pass LLC, 3.875%, 8/15/2029 (n) | 644,000 | 577,996 | ||
Venture Global Calcasieu Pass LLC, 6.25%, 1/15/2030 (n) | 423,000 | 422,331 | ||
Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031 (n) | 625,000 | 548,537 | ||
Venture Global LNG, Inc., 8.125%, 6/01/2028 (n) | 833,000 | 846,250 | ||
Venture Global LNG, Inc., 9.5%, 2/01/2029 (n) | 643,000 | 685,575 | ||
Venture Global LNG, Inc., 8.375%, 6/01/2031 (n) | 854,000 | 863,788 | ||
$10,405,125 | ||||
Mortgage-Backed – 3.1% | ||||
Fannie Mae, 6.5%, 4/01/2032 - 1/01/2033 | $ | 12,253 | $12,581 | |
Fannie Mae, 5.5%, 7/01/2033 - 7/01/2035 | 49,305 | 50,002 | ||
Fannie Mae, 6%, 8/01/2034 - 2/01/2037 | 26,034 | 26,819 | ||
Fannie Mae, 3.5%, 12/01/2047 | 37,574 | 34,514 | ||
Fannie Mae, 4%, 10/01/2052 | 473,186 | 436,661 | ||
Fannie Mae, UMBS, 2%, 4/01/2042 - 5/01/2052 | 539,006 | 432,755 | ||
Fannie Mae, UMBS, 6.5%, 2/01/2043 | 45,871 | 46,678 | ||
Fannie Mae, UMBS, 3.5%, 5/01/2049 - 7/01/2050 | 119,152 | 108,170 | ||
Fannie Mae, UMBS, 2.5%, 1/01/2050 - 4/01/2052 | 806,887 | 665,479 | ||
Fannie Mae, UMBS, 3%, 12/01/2051 - 6/01/2052 | 51,920 | 44,606 | ||
Fannie Mae, UMBS, 5%, 8/01/2052 | 172,261 | 167,253 | ||
Fannie Mae, UMBS, 5.5%, 11/01/2052 | 113,645 | 112,775 | ||
Fannie Mae, UMBS, 6%, 11/01/2053 | 97,806 | 98,240 | ||
Freddie Mac, 0.133%, 2/25/2025 (i) | 38,000,000 | 56,764 | ||
Freddie Mac, 1.366%, 3/25/2027 (i) | 448,000 | 16,757 | ||
Freddie Mac, 0.127%, 2/25/2028 (i) | 36,576,000 | 208,845 | ||
Freddie Mac, 0.294%, 2/25/2028 (i) | 15,572,000 | 180,808 | ||
Freddie Mac, 0.107%, 4/25/2028 (i) | 15,983,000 | 90,910 | ||
Freddie Mac, 5%, 11/25/2028 | 266,572 | 268,960 | ||
Freddie Mac, 5.976%, 3/25/2029 | 175,977 | 176,011 | ||
Freddie Mac, 1.09%, 7/25/2029 (i) | 1,876,972 | 89,300 | ||
Freddie Mac, 5.966%, 7/25/2029 - 9/25/2029 | 501,354 | 501,463 | ||
Freddie Mac, 1.799%, 4/25/2030 (i) | 845,640 | 78,445 | ||
Freddie Mac, 1.868%, 4/25/2030 (i) | 731,897 | 69,516 | ||
Freddie Mac, 1.666%, 5/25/2030 (i) | 896,340 | 77,233 | ||
Freddie Mac, 1.798%, 5/25/2030 (i) | 2,034,877 | 189,387 | ||
Freddie Mac, 1.341%, 6/25/2030 (i) | 821,458 | 57,881 | ||
Freddie Mac, 1.599%, 8/25/2030 (i) | 719,995 | 61,620 | ||
Freddie Mac, 1.169%, 9/25/2030 (i) | 455,646 | 28,919 | ||
Freddie Mac, 1.08%, 11/25/2030 (i) | 901,677 | 54,391 | ||
Freddie Mac, 4.94%, 11/25/2030 | 227,690 | 229,573 | ||
Freddie Mac, 0.327%, 1/25/2031 (i) | 3,180,160 | 54,350 | ||
Freddie Mac, 0.515%, 3/25/2031 (i) | 3,730,179 | 104,968 | ||
Freddie Mac, 0.938%, 7/25/2031 (i) | 670,491 | 39,045 | ||
Freddie Mac, 0.536%, 9/25/2031 (i) | 2,699,427 | 88,080 | ||
Freddie Mac, 0.567%, 12/25/2031 (i) | 659,754 | 23,139 | ||
Freddie Mac, 6%, 8/01/2034 | 18,962 | 19,534 | ||
Freddie Mac, 3%, 4/01/2052 | 499,148 | 427,345 | ||
Freddie Mac, 4.5%, 11/01/2053 | 123,968 | 117,366 | ||
Freddie Mac, UMBS, 4.5%, 6/01/2038 - 7/01/2038 | 157,754 | 154,316 | ||
Freddie Mac, UMBS, 2.5%, 4/01/2051 - 7/01/2051 | 546,766 | 450,087 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Freddie Mac, UMBS, 2%, 8/01/2051 - 9/01/2051 | $ | 69,740 | $54,997 | |
Freddie Mac, UMBS, 3%, 4/01/2052 | 22,539 | 19,337 | ||
Freddie Mac, UMBS, 5%, 11/01/2052 | 216,066 | 209,734 | ||
Freddie Mac, UMBS, 6%, 8/01/2053 | 70,043 | 70,737 | ||
Ginnie Mae, 2.5%, 8/20/2051 - 10/20/2052 | 433,725 | 367,214 | ||
Ginnie Mae, 2%, 3/20/2052 | 30,557 | 24,876 | ||
Ginnie Mae, 3%, 6/20/2052 - 11/20/2052 | 68,320 | 59,903 | ||
Ginnie Mae, 3.5%, 7/20/2052 | 78,176 | 70,713 | ||
Ginnie Mae, 4%, 7/20/2052 - 11/20/2052 | 104,605 | 97,361 | ||
Ginnie Mae, 5.5%, 2/20/2053 - 4/20/2053 | 94,797 | 94,253 | ||
Ginnie Mae, 5%, 3/20/2053 - 4/20/2053 | 193,229 | 188,825 | ||
Ginnie Mae, 6%, 2/20/2054 | 25,000 | 25,138 | ||
Ginnie Mae, TBA, 6%, 3/15/2054 | 25,000 | 25,122 | ||
Ginnie Mae, TBA, 6.5%, 3/15/2054 | 75,000 | 76,017 | ||
Ginnie Mae, TBA, 3%, 3/20/2054 | 50,000 | 43,831 | ||
Ginnie Mae, TBA, 2%, 4/15/2054 | 75,000 | 61,099 | ||
UMBS, TBA, 2%, 3/13/2054 - 4/25/2054 | 1,275,000 | 1,002,432 | ||
UMBS, TBA, 3%, 3/13/2054 | 250,000 | 213,804 | ||
UMBS, TBA, 5.5%, 3/13/2054 | 100,000 | 98,917 | ||
$8,955,856 | ||||
Municipals – 0.4% | ||||
Iowa Student Loan Liquidity Corp. Rev., Taxable, “A”, 5.08%, 12/01/2039 | $ | 115,000 | $112,340 | |
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, Issue M, “A”, 2.641%, 7/01/2037 | 145,000 | 125,396 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, Issue M, “A”, 4.949%, 7/01/2038 | 185,000 | 169,455 | ||
Massachusetts Housing Finance Agency, Single Family Housing Rev., Taxable, “226”, 5.562%, 12/01/2052 | 155,000 | 153,681 | ||
Michigan Finance Authority Hospital Rev., Taxable (Trinity Health Credit Group), 3.384%, 12/01/2040 | 70,000 | 56,719 | ||
Minnesota Housing Finance Agency, Residential Housing, Taxable, “G”, 4.337%, 1/01/2047 | 190,000 | 185,015 | ||
Oklahoma Development Finance Authority, Health System Rev., Taxable (OU Medicine Project), “C”, 5.45%, 8/15/2028 | 246,000 | 221,316 | ||
Oklahoma Development Finance Authority, Health System Rev., Taxable (OU Medicine Project), “C”, AGM, 4.65%, 8/15/2030 | 221,000 | 205,573 | ||
$1,229,495 | ||||
Natural Gas - Distribution – 0.1% | ||||
ENGIE S.A., 3.875%, 3/06/2036 (w) | EUR | 100,000 | $107,165 | |
ENGIE S.A., 4.25%, 1/11/2043 | 100,000 | 108,317 | ||
$215,482 | ||||
Natural Gas - Pipeline – 0.1% | ||||
APA Infrastructure Ltd., 0.75%, 3/15/2029 | EUR | 110,000 | $101,699 | |
APA Infrastructure Ltd., 2.5%, 3/15/2036 | GBP | 100,000 | 89,115 | |
Prairie Acquiror LP, 9%, 8/01/2029 (n) | $ | 172,000 | 173,309 | |
$364,123 | ||||
Network & Telecom – 0.4% | ||||
Iliad Holding S.A.S., 6.5%, 10/15/2026 (n) | $ | 200,000 | $197,722 | |
Iliad Holding S.A.S., 7%, 10/15/2028 (n) | 1,012,000 | 1,001,330 | ||
$1,199,052 | ||||
Oil Services – 0.5% | ||||
EnBW Energie Baden-Wuerttemberg AG, 5.25%, 1/23/2084 | EUR | 100,000 | $109,161 | |
MV24 Capital B.V., 6.748%, 6/01/2034 | $ | 455,593 | 427,498 | |
Nabors Industries Ltd., 7.25%, 1/15/2026 (n) | 346,000 | 340,810 | ||
Nabors Industries Ltd., 7.5%, 1/15/2028 (n) | 172,000 | 158,240 | ||
Nabors Industries Ltd., 9.125%, 1/31/2030 (n) | 275,000 | 281,875 | ||
$1,317,584 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Oils – 1.0% | ||||
FS Luxembourg S.à r.l., 8.875%, 2/12/2031 (n) | $ | 200,000 | $198,000 | |
Parkland Corp., 4.625%, 5/01/2030 (n) | 1,528,000 | 1,395,767 | ||
PBF Holding Co. LLC/PBF Finance Corp., 6%, 2/15/2028 | 656,000 | 637,960 | ||
Puma International Financing S.A., 5%, 1/24/2026 | 289,000 | 273,539 | ||
Thaioil Treasury Center Co. Ltd., 5.375%, 11/20/2048 (n) | 355,000 | 326,161 | ||
$2,831,427 | ||||
Other Banks & Diversified Financials – 0.9% | ||||
ABANCA Corp. Bancaria S.A., 5.875% to 4/02/2029, FLR (EUR Swap Rate - 1yr. + 2.6%) to 4/02/2030 | EUR | 100,000 | $115,150 | |
AIB Group PLC, 6.608% to 9/13/2028, FLR (SOFR - 1 day + 2.33%) to 9/13/2029 (n) | $ | 200,000 | 207,526 | |
Banque Federative du Credit Mutuel S.A., 5%, 10/22/2029 (w) | GBP | 100,000 | 125,366 | |
Banque Federative du Credit Mutuel S.A., 4.375%, 1/11/2034 | EUR | 100,000 | 105,837 | |
Banque Federative du Credit Mutuel S.A., 3.75%, 2/03/2034 | 100,000 | 107,464 | ||
BBVA Bancomer S.A. (Texas), 8.125%, 1/08/2039 (n) | $ | 200,000 | 207,322 | |
BPCE S.A., 4.5%, 3/15/2025 (n) | 250,000 | 245,460 | ||
BPCE S.A., 1%, 3/08/2033 (w) | EUR | 100,000 | 107,438 | |
BPCE S.A., 4.25% to 1/11/2034, FLR (EURIBOR - 3mo. + 1.85%) to 1/11/2035 | 100,000 | 108,345 | ||
BPCE S.A., 4.875%, 2/26/2036 | 100,000 | 108,554 | ||
CaixaBank S.A., 4.125%, 2/09/2032 | 100,000 | 107,929 | ||
Deutsche Bank AG, 3.75% to 1/15/2029, FLR (EURIBOR - 3mo. + 1.25%) to 1/15/2030 | 100,000 | 106,879 | ||
Deutsche Bank AG, 1.375% to 2/17/2031, FLR (EURIBOR - 3mo. + 1.5%) to 2/17/2032 | 100,000 | 88,452 | ||
Deutsche Bank AG, 4% to 6/24/2027, FLR (EUR ICE Swap Rate - 5yr. + 3.3%) to 6/24/2032 | 100,000 | 102,914 | ||
Howden UK Refinance PLC/Howden UK Refinance 2 PLC/Howden US Refinance LLC, 7.25%, 2/15/2031 (n) | $ | 386,000 | 386,579 | |
Intesa Sanpaolo S.p.A., 7.2%, 11/28/2033 (n) | 200,000 | 209,371 | ||
KBC Group N.V., 4.75%, 4/17/2035 | EUR | 100,000 | 107,550 | |
M&T Bank Corp., 4.553% to 8/16/2027, FLR (SOFR - 1 day + 1.78%) to 8/16/2028 | $ | 88,000 | 83,928 | |
Macquarie Group Ltd., 6.255% to 12/07/2033, FLR (SOFR - 1 day + 2.303%) to 12/07/2034 (n) | 59,000 | 61,047 | ||
Truist Financial Corp., 5.711% to 1/24/2034, FLR (SOFR - 1 day + 1.922%) to 1/24/2035 | 39,000 | 38,611 | ||
$2,731,722 | ||||
Personal Computers & Peripherals – 0.4% | ||||
NCR Voyix Corp., 5%, 10/01/2028 (n) | $ | 726,000 | $674,729 | |
NCR Voyix Corp., 5.125%, 4/15/2029 (n) | 484,000 | 448,753 | ||
$1,123,482 | ||||
Pharmaceuticals – 0.8% | ||||
1375209 BC Ltd., 9%, 1/30/2028 (n) | $ | 416,000 | $406,665 | |
AbbVie, Inc., 5.35%, 3/15/2044 | 41,000 | 41,377 | ||
AbbVie, Inc., 5.4%, 3/15/2054 | 51,000 | 51,771 | ||
Bausch Health Co., Inc., 11%, 9/30/2028 (n) | 443,000 | 297,917 | ||
Bausch Health Co., Inc., 14%, 10/15/2030 (n) | 90,000 | 52,928 | ||
Bristol-Myers Squibb Co., 5.5%, 2/22/2044 | 34,000 | 34,409 | ||
Bristol-Myers Squibb Co., 5.55%, 2/22/2054 | 42,000 | 42,498 | ||
Grifols S.A., 3.2%, 5/01/2025 | EUR | 270,000 | 280,364 | |
Organon Finance 1 LLC, 4.125%, 4/30/2028 (n) | $ | 454,000 | 415,347 | |
Organon Finance 1 LLC, 5.125%, 4/30/2031 (n) | 625,000 | 535,700 | ||
Roche Holdings, Inc., 5.489%, 11/13/2030 (n) | 132,000 | 135,970 | ||
$2,294,946 | ||||
Pollution Control – 0.8% | ||||
GFL Environmental, Inc., 4.25%, 6/01/2025 (n) | $ | 50,000 | $49,116 | |
GFL Environmental, Inc., 4%, 8/01/2028 (n) | 730,000 | 669,317 | ||
GFL Environmental, Inc., 4.75%, 6/15/2029 (n) | 255,000 | 238,766 | ||
GFL Environmental, Inc., 4.375%, 8/15/2029 (n) | 345,000 | 314,319 | ||
GFL Environmental, Inc., 6.75%, 1/15/2031 (n) | 127,000 | 129,903 | ||
Stericycle, Inc., 3.875%, 1/15/2029 (n) | 895,000 | 805,427 | ||
Waste Management, Inc., 4.625%, 2/15/2033 | 88,000 | 84,999 | ||
$2,291,847 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Precious Metals & Minerals – 0.6% | ||||
Coeur Mining, Inc., 5.125%, 2/15/2029 (n) | $ | 418,000 | $384,882 | |
Eldorado Gold Corp., 6.25%, 9/01/2029 (n) | 414,000 | 387,740 | ||
IAMGOLD Corp., 5.75%, 10/15/2028 (n) | 923,000 | 823,796 | ||
Northern Star Resources Ltd. Co., 6.125%, 4/11/2033 (n) | 78,000 | 77,979 | ||
$1,674,397 | ||||
Printing & Publishing – 0.2% | ||||
Cimpress PLC, 7%, 6/15/2026 | $ | 468,000 | $465,969 | |
Real Estate - Office – 0.1% | ||||
Boston Properties, Inc., REIT, 3.65%, 2/01/2026 | $ | 71,000 | $68,274 | |
Corporate Office Property LP, REIT, 2.25%, 3/15/2026 | 149,000 | 139,342 | ||
Corporate Office Property LP, REIT, 2%, 1/15/2029 | 52,000 | 43,069 | ||
Corporate Office Property LP, REIT, 2.75%, 4/15/2031 | 39,000 | 31,479 | ||
$282,164 | ||||
Real Estate - Other – 0.6% | ||||
EPR Properties, REIT, 3.6%, 11/15/2031 | $ | 104,000 | $84,902 | |
Lexington Realty Trust Co., 2.7%, 9/15/2030 | 70,000 | 57,715 | ||
RHP Hotel Properties, LP/RHP Finance Corp., 7.25%, 7/15/2028 (n) | 965,000 | 988,331 | ||
XHR LP, REIT, 4.875%, 6/01/2029 (n) | 547,000 | 505,157 | ||
$1,636,105 | ||||
Real Estate - Retail – 0.1% | ||||
STORE Capital Corp., REIT, 2.75%, 11/18/2030 | $ | 113,000 | $89,122 | |
STORE Capital Corp., REIT, 2.7%, 12/01/2031 | 18,000 | 14,014 | ||
WEA Finance LLC, 2.875%, 1/15/2027 (n) | 100,000 | 90,848 | ||
$193,984 | ||||
Restaurants – 0.2% | ||||
Fertitta Entertainment LLC, 6.75%, 1/15/2030 (n) | $ | 692,000 | $611,208 | |
Retailers – 1.3% | ||||
Alimentation Couche-Tard, Inc., 4.011%, 2/12/2036 | EUR | 100,000 | $107,223 | |
Asbury Automotive Group, Inc., 4.625%, 11/15/2029 (n) | $ | 531,000 | 483,711 | |
AutoZone, Inc., 4.75%, 8/01/2032 | 66,000 | 63,379 | ||
Home Depot, Inc., 3.625%, 4/15/2052 | 122,000 | 92,157 | ||
Lithia Motors, Inc., 3.875%, 6/01/2029 (n) | 583,000 | 520,328 | ||
Macy's Retail Holdings LLC, 5.875%, 4/01/2029 (n) | 503,000 | 484,424 | ||
Maxeda DIY Holding B.V., 5.875%, 10/01/2026 | EUR | 345,000 | 311,038 | |
NMG Holding Co. Inc./Neiman Marcus Group LLC, 7.125%, 4/01/2026 (n) | $ | 487,000 | 477,668 | |
Penske Automotive Group Co., 3.75%, 6/15/2029 | 809,000 | 716,562 | ||
Victoria's Secret & Co., 4.625%, 7/15/2029 (n) | 590,000 | 497,678 | ||
$3,754,168 | ||||
Specialty Chemicals – 0.1% | ||||
Covestro AG, 1.375%, 6/12/2030 | EUR | 80,000 | $76,237 | |
CTEC II GmbH, 5.25%, 2/15/2030 (n) | 100,000 | 96,411 | ||
International Flavors & Fragrances, Inc., 1.832%, 10/15/2027 (n) | $ | 53,000 | 46,579 | |
International Flavors & Fragrances, Inc., 4.375%, 6/01/2047 | 62,000 | 46,253 | ||
$265,480 | ||||
Specialty Stores – 0.6% | ||||
DICK'S Sporting Goods, 3.15%, 1/15/2032 | $ | 68,000 | $56,984 | |
Dufry One B.V., 3.375%, 4/15/2028 | EUR | 100,000 | 103,353 | |
Michael Cos., Inc., 5.25%, 5/01/2028 (n) | $ | 410,000 | 318,323 | |
Michael Cos., Inc., 7.875%, 5/01/2029 (n) | 521,000 | 336,412 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Specialty Stores – continued | ||||
PetSmart, Inc./PetSmart Finance Corp., 7.75%, 2/15/2029 (n) | $ | 870,000 | $859,705 | |
$1,674,777 | ||||
Supermarkets – 0.6% | ||||
KeHE Distributors LLC/KeHE Finance Corp., 9%, 2/15/2029 (n) | $ | 575,000 | $576,688 | |
Ocado Group PLC, 3.875%, 10/08/2026 | GBP | 500,000 | 548,903 | |
Picard Bondco S.A., 5.375%, 7/01/2027 | EUR | 516,000 | 544,085 | |
$1,669,676 | ||||
Supranational – 0.8% | ||||
European Financial Stability Facility, 3%, 9/04/2034 | EUR | 437,000 | $473,079 | |
European Investment Bank, 3%, 2/15/2039 | 450,000 | 478,353 | ||
European Union, 3.25%, 7/04/2034 | 400,000 | 442,047 | ||
European Union, 2.625%, 2/04/2048 | 510,000 | 491,303 | ||
European Union, 3%, 3/04/2053 | 519,000 | 524,024 | ||
$2,408,806 | ||||
Telecommunications - Wireless – 1.0% | ||||
Altice France S.A., 5.5%, 1/15/2028 (n) | $ | 300,000 | $244,778 | |
Altice France S.A., 6%, 2/15/2028 (n) | 334,000 | 168,585 | ||
Altice France S.A., 5.125%, 7/15/2029 (n) | 200,000 | 151,029 | ||
Millicom International Cellular S.A., 5.125%, 1/15/2028 | 635,400 | 605,800 | ||
Rogers Communications, Inc., 3.8%, 3/15/2032 | 98,000 | 87,094 | ||
SBA Communications Corp., 3.875%, 2/15/2027 | 618,000 | 583,137 | ||
SBA Communications Corp., 3.125%, 2/01/2029 | 961,000 | 850,480 | ||
T-Mobile USA, Inc., 3.875%, 4/15/2030 | 106,000 | 98,391 | ||
T-Mobile USA, Inc., 5.75%, 1/15/2034 | 26,000 | 26,762 | ||
Vodafone Group PLC, 3.375%, 8/08/2049 | GBP | 100,000 | 86,106 | |
Vodafone Group PLC, 5.625%, 2/10/2053 | $ | 62,000 | 59,997 | |
$2,962,159 | ||||
Telephone Services – 0.0% | ||||
TELUS Corp., 2.85%, 11/13/2031 | CAD | 151,000 | $96,477 | |
Transportation - Services – 0.3% | ||||
Aeroporti di Roma S.p.A., 4.875%, 7/10/2033 | EUR | 100,000 | $112,623 | |
Autostrade per l’Italia S.p.A., 5.125%, 6/14/2033 | 100,000 | 112,881 | ||
Autostrade per L'Italia S.p.A., 4.625%, 2/28/2036 | 100,000 | 107,640 | ||
Element Fleet Management Corp., 6.271%, 6/26/2026 (n) | $ | 60,000 | 60,536 | |
Element Fleet Management Corp., 6.319%, 12/04/2028 (n) | 72,000 | 73,847 | ||
Heathrow Funding Ltd., 6%, 3/05/2032 (w) | GBP | 100,000 | 126,009 | |
Transurban Finance Co. Pty Ltd., 4.225%, 4/26/2033 | EUR | 100,000 | 111,549 | |
Triton International Ltd., 3.15%, 6/15/2031 (n) | $ | 104,000 | 81,866 | |
United Parcel Service, 5.05%, 3/03/2053 | 107,000 | 103,875 | ||
$890,826 | ||||
U.S. Treasury Obligations – 20.9% | ||||
U.S. Treasury Bonds, 1.125%, 8/15/2040 (f) | $ | 17,919,000 | $10,948,789 | |
U.S. Treasury Bonds, 3.875%, 5/15/2043 | 4,857,000 | 4,441,499 | ||
U.S. Treasury Bonds, 2.375%, 11/15/2049 | 19,586,000 | 13,329,956 | ||
U.S. Treasury Bonds, 4.75%, 11/15/2053 | 951,000 | 1,011,775 | ||
U.S. Treasury Notes, 4%, 6/30/2028 | 3,400,000 | 3,358,961 | ||
U.S. Treasury Notes, 3.75%, 12/31/2028 | 389,000 | 380,156 | ||
U.S. Treasury Notes, 4.125%, 8/31/2030 | 7,000,000 | 6,936,836 | ||
U.S. Treasury Notes, 4.875%, 10/31/2030 | 5,490,000 | 5,675,287 | ||
U.S. Treasury Notes, 2.75%, 8/15/2032 (f) | 16,124,000 | 14,395,079 | ||
$60,478,338 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Utilities - Electric Power – 4.0% | ||||
Adani Green Energy (UP) Ltd./Prayatna Developers Private Ltd., 6.25%, 12/10/2024 (n) | $ | 1,081,000 | $1,075,415 | |
American Transmission Systems, Inc., 2.65%, 1/15/2032 (n) | 86,000 | 70,622 | ||
Berkshire Hathaway Energy Co., 5.15%, 11/15/2043 | 20,000 | 19,202 | ||
Berkshire Hathaway Energy Co., 4.6%, 5/01/2053 | 17,000 | 14,515 | ||
Bruce Power LP, 2.68%, 12/21/2028 | CAD | 200,000 | 134,986 | |
Calpine Corp., 4.5%, 2/15/2028 (n) | $ | 918,000 | 864,707 | |
Calpine Corp., 5.125%, 3/15/2028 (n) | 615,000 | 584,645 | ||
Clearway Energy Operating LLC, 4.75%, 3/15/2028 (n) | 504,000 | 471,161 | ||
Clearway Energy Operating LLC, 3.75%, 2/15/2031 (n) | 1,620,000 | 1,366,090 | ||
Clearway Energy Operating LLC, 3.75%, 1/15/2032 (n) | 142,000 | 118,777 | ||
ContourGlobal Power Holdings S.A., 2.75%, 1/01/2026 (n) | EUR | 180,000 | 185,579 | |
Duke Energy Florida LLC, 6.2%, 11/15/2053 | $ | 56,000 | 60,645 | |
E.CL S.A., 4.5%, 1/29/2025 | 300,000 | 295,575 | ||
E.ON International Finance B.V., 5.875%, 10/30/2037 | GBP | 50,000 | 64,287 | |
Enel Finance International N.V., 2.25%, 7/12/2031 (n) | $ | 200,000 | 159,823 | |
Enel Finance International N.V., 3.875%, 1/23/2035 | EUR | 100,000 | 106,565 | |
EPH Financing International A.S., 6.651%, 11/13/2028 | 107,000 | 118,023 | ||
Eversource Energy, 5.5%, 1/01/2034 | $ | 55,000 | 54,437 | |
Florida Power & Light Co., 2.875%, 12/04/2051 | 75,000 | 48,753 | ||
Georgia Power Co., 4.95%, 5/17/2033 | 103,000 | 100,845 | ||
Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | 28,000 | 23,146 | ||
Mong Duong Finance Holdings B.V., 5.125%, 5/07/2029 (n) | 258,241 | 246,476 | ||
Mong Duong Finance Holdings B.V., 5.125%, 5/07/2029 | 545,996 | 521,120 | ||
National Grid Electricity Transmission PLC, 2%, 4/17/2040 | GBP | 100,000 | 78,865 | |
National Grid PLC, 4.275%, 1/16/2035 | EUR | 100,000 | 108,936 | |
NextEra Energy Capital Holdings, Inc., 6.051%, 3/01/2025 | $ | 31,000 | 31,112 | |
NextEra Energy Capital Holdings, Inc., 5.749%, 9/01/2025 | 45,000 | 45,240 | ||
NextEra Energy, Inc., 4.25%, 7/15/2024 (n) | 161,000 | 158,899 | ||
NextEra Energy, Inc., 4.25%, 9/15/2024 (n) | 102,000 | 98,430 | ||
NextEra Energy, Inc., 4.5%, 9/15/2027 (n) | 644,000 | 600,814 | ||
NextEra Energy, Inc., 7.25%, 1/15/2029 (n) | 679,000 | 690,197 | ||
Pacific Gas & Electric Co., 6.1%, 1/15/2029 | 58,000 | 59,373 | ||
Pacific Gas & Electric Co., 6.4%, 6/15/2033 | 28,000 | 29,112 | ||
PPL Electric Utilities Corp, 1st Mortgage, 5.25%, 5/15/2053 | 97,000 | 94,244 | ||
Star Energy Geothermal (Wayang Windu) Ltd., 6.75%, 4/24/2033 (n) | 732,963 | 735,895 | ||
TerraForm Global Operating LLC, 6.125%, 3/01/2026 (n) | 577,000 | 568,432 | ||
TerraForm Power Operating LLC, 5%, 1/31/2028 (n) | 913,000 | 862,710 | ||
TerraForm Power Operating LLC, 4.75%, 1/15/2030 (n) | 438,000 | 395,991 | ||
WEC Energy Group, Inc., 1.8%, 10/15/2030 | 67,000 | 54,212 | ||
Xcel Energy, Inc., 4.6%, 6/01/2032 | 43,000 | 40,095 | ||
Xcel Energy, Inc., 5.5%, 3/15/2034 | 87,000 | 85,512 | ||
$11,443,463 | ||||
Utilities - Gas – 0.1% | ||||
EP Infrastructure A.S., 2.045%, 10/09/2028 | EUR | 222,000 | $205,703 | |
Utilities - Other – 0.0% | ||||
United Utilities Water Finance PLC, 3.75%, 5/23/2034 | EUR | 100,000 | $106,902 | |
Total Bonds | $372,201,154 | |||
Common Stocks – 0.1% | ||||
Cable TV – 0.0% | ||||
Intelsat Emergence S.A. (a) | 7,072 | $182,104 | ||
Oil Services – 0.1% | ||||
LTRI Holdings LP (a)(u) | 615 | $311,295 | ||
Total Common Stocks | $493,399 |
Issuer | Shares/Par | Value ($) | ||
Convertible Bonds – 0.1% | ||||
Utilities - Electric Power – 0.1% | ||||
Pacific Gas and Electric Corp., 4.25%, 12/01/2027 (n) | $ | 264,000 | $263,736 |
Strike Price | First Exercise | |||
Warrants – 0.0% | ||||
Other Banks & Diversified Financials – 0.0% | ||||
Avation Capital S.A. (1 share for 1 warrant, Expiration 10/31/26) (a) | GBP 1.14 | N/A | 6,125 | $1,160 |
Investment Companies (h) – 2.5% | ||||
Money Market Funds – 2.5% | ||||
MFS Institutional Money Market Portfolio, 5.37% (v) | 7,184,352 | $7,184,352 |
Underlying/Expiration Date/Exercise Price | Put/Call | Counterparty | Notional Amount | Par Amount/ Number of Contracts | |
Purchased Options – 0.1% | |||||
Market Index Securities – 0.1% | |||||
iTraxx Europe Crossover Series 40 Index Credit Default Swap – Fund receives 5%, Fund pays notional amount upon a defined credit event of an index constituent – May 2024 @ 3% | Call | Merrill Lynch International | $ 18,782,510 | EUR 15,960,000 | $74,279 |
iTraxx Europe Crossover Series 40 Index Credit Default Swap – Fund receives 5%, Fund pays notional amount upon a defined credit event of an index constituent – May 2024 @ 3.5% | Call | Merrill Lynch International | 9,250,033 | 7,860,000 | 143,534 |
iTraxx Europe Crossover Series 40 Index Credit Default Swap – Fund receives 5%, Fund pays notional amount upon a defined credit event of an index constituent – May 2024 @ 3.5% | Call | Barclays Bank PLC | 4,519,100 | 3,840,000 | 70,124 |
Total Purchased Options | $287,937 |
Other Assets, Less Liabilities – (31.4)% | (90,991,213) | |||
Net Assets – 100.0% | $289,440,525 |
(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 and cleared swap agreements. | |||
(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 $7,184,352 and $373,247,386, 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 $193,313,952, representing 66.8% 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. |
The following abbreviations are used in this report and are defined: | |
AGM | Assured Guaranty Municipal |
BZDIOVRA | Brazil Interbank Deposit Rate |
CDI | Interbank Deposit Certificates |
CDO | Collateralized Debt Obligation |
CFRR | China Fixing Repo Rate |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
EURIBOR | Euro Interbank Offered Rate |
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. |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
NPFG | National Public Finance Guarantee Corp. |
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: | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CNH | Chinese Yuan Renminbi (Offshore) |
CNY | China Yuan Renminbi |
CZK | Czech Koruna |
EUR | Euro |
GBP | British Pound |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
ISK | Iceland Krona |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thai Baht |
TWD | Taiwan Dollar |
UYU | Uruguayan Peso |
Derivative Contracts at 2/29/24 | ||||||
Forward Foreign Currency Exchange Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives | ||||||
EUR | 1,381,558 | USD | 1,491,323 | HSBC Bank | 4/19/2024 | $4,663 |
EUR | 609,505 | USD | 658,693 | State Street Bank Corp. | 4/19/2024 | 1,296 |
EUR | 881,049 | USD | 951,803 | UBS AG | 4/19/2024 | 2,221 |
GBP | 101,764 | USD | 128,463 | Deutsche Bank AG | 4/19/2024 | 28 |
IDR | 440,309,060 | USD | 27,926 | Barclays Bank PLC | 5/06/2024 | 45 |
JPY | 5,012,239 | USD | 33,574 | JPMorgan Chase Bank N.A. | 4/19/2024 | 100 |
KRW | 1,614,162,341 | USD | 1,214,478 | Barclays Bank PLC | 4/26/2024 | 1,030 |
KRW | 185,620,000 | USD | 139,469 | Merrill Lynch International | 4/26/2024 | 307 |
MXN | 8,812,998 | USD | 502,534 | Deutsche Bank AG | 4/19/2024 | 10,772 |
USD | 10,635,473 | AUD | 15,805,306 | HSBC Bank | 4/19/2024 | 347,377 |
USD | 688,653 | AUD | 1,047,865 | JPMorgan Chase Bank N.A. | 4/19/2024 | 6,571 |
USD | 301,200 | AUD | 449,654 | State Street Bank Corp. | 4/19/2024 | 8,509 |
USD | 319,475 | AUD | 490,643 | UBS AG | 4/19/2024 | 102 |
USD | 477,395 | BRL | 2,372,727 | Barclays Bank PLC | 5/03/2024 | 2,860 |
USD | 284,064 | BRL | 1,421,000 | Goldman Sachs International | 5/21/2024 | 345 |
USD | 2,248,389 | CAD | 3,029,864 | State Street Bank Corp. | 4/19/2024 | 14,246 |
USD | 50,772 | CNH | 364,000 | Barclays Bank PLC | 4/19/2024 | 120 |
USD | 848,283 | CNH | 6,089,656 | JPMorgan Chase Bank N.A. | 4/19/2024 | 877 |
USD | 1,641,966 | CNH | 11,700,611 | UBS AG | 4/19/2024 | 13,768 |
Forward Foreign Currency Exchange Contracts − continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives − continued | ||||||
USD | 1,416,163 | CZK | 31,924,040 | BNP Paribas S.A. | 4/19/2024 | $55,088 |
USD | 208,907 | CZK | 4,811,462 | Brown Brothers Harriman | 4/19/2024 | 3,771 |
USD | 210,513 | CZK | 4,808,903 | Deutsche Bank AG | 4/19/2024 | 5,486 |
USD | 1,731,183 | CZK | 39,018,271 | Merrill Lynch International | 4/19/2024 | 67,647 |
USD | 337,875 | CZK | 7,772,530 | UBS AG | 4/19/2024 | 6,494 |
USD | 710,667 | EUR | 653,802 | Brown Brothers Harriman | 4/19/2024 | 2,713 |
USD | 107,779 | EUR | 98,792 | Citibank N.A. | 4/19/2024 | 804 |
USD | 589,871 | EUR | 544,161 | Deutsche Bank AG | 4/19/2024 | 639 |
USD | 565,948 | EUR | 518,127 | HSBC Bank | 4/19/2024 | 4,905 |
USD | 34,187,944 | EUR | 31,291,100 | JPMorgan Chase Bank N.A. | 4/19/2024 | 305,117 |
USD | 217,437 | EUR | 199,303 | NatWest Markets PLC | 4/19/2024 | 1,627 |
USD | 2,950,826 | EUR | 2,710,402 | State Street Bank Corp. | 4/19/2024 | 15,932 |
USD | 3,328,641 | EUR | 3,064,614 | UBS AG | 4/19/2024 | 10,194 |
USD | 233,095 | GBP | 183,721 | Barclays Bank PLC | 4/19/2024 | 1,121 |
USD | 7,139,236 | GBP | 5,643,058 | BNP Paribas S.A. | 4/19/2024 | 14,069 |
USD | 76,166 | GBP | 60,256 | Citibank N.A. | 4/19/2024 | 85 |
USD | 820,826 | GBP | 644,329 | State Street Bank Corp. | 4/19/2024 | 7,268 |
USD | 126,371 | GBP | 99,675 | UBS AG | 4/19/2024 | 517 |
USD | 1,328,491 | JPY | 193,729,764 | Barclays Bank PLC | 4/19/2024 | 26,969 |
USD | 766,993 | JPY | 112,399,962 | Brown Brothers Harriman | 4/19/2024 | 11,864 |
USD | 1,430,243 | JPY | 209,296,424 | State Street Bank Corp. | 4/19/2024 | 24,139 |
USD | 1,774,177 | JPY | 257,523,622 | UBS AG | 4/19/2024 | 44,073 |
USD | 1,289,530 | KRW | 1,710,708,145 | Barclays Bank PLC | 4/04/2024 | 2,818 |
USD | 10,334,515 | NZD | 16,777,791 | HSBC Bank | 4/19/2024 | 119,110 |
USD | 210,246 | NZD | 344,257 | JPMorgan Chase Bank N.A. | 4/19/2024 | 640 |
USD | 1,733,114 | NZD | 2,838,255 | State Street Bank Corp. | 4/19/2024 | 5,001 |
USD | 42,127 | SEK | 430,832 | HSBC Bank | 4/19/2024 | 488 |
USD | 6,838 | SGD | 9,139 | State Street Bank Corp. | 4/19/2024 | 33 |
USD | 1,332,622 | THB | 47,325,830 | Barclays Bank PLC | 4/03/2024 | 13,449 |
USD | 869,138 | THB | 30,154,737 | JPMorgan Chase Bank N.A. | 4/03/2024 | 28,596 |
USD | 953 | TWD | 29,550 | Goldman Sachs International | 4/25/2024 | 13 |
$1,195,907 | ||||||
Liability Derivatives | ||||||
AUD | 453,861 | USD | 305,466 | UBS AG | 4/19/2024 | $(10,036) |
BRL | 18,972 | USD | 3,819 | Goldman Sachs International | 5/03/2024 | (25) |
CAD | 120,108 | USD | 88,968 | State Street Bank Corp. | 4/19/2024 | (403) |
CAD | 1,840,342 | USD | 1,366,979 | UBS AG | 4/19/2024 | (9,960) |
CNH | 172,236 | USD | 24,167 | State Street Bank Corp. | 4/19/2024 | (200) |
EUR | 1,357,657 | USD | 1,478,274 | Barclays Bank PLC | 4/19/2024 | (8,168) |
EUR | 562,493 | USD | 616,790 | HSBC Bank | 4/19/2024 | (7,707) |
EUR | 797,647 | USD | 873,736 | JPMorgan Chase Bank N.A. | 4/19/2024 | (10,023) |
EUR | 240,942 | USD | 262,835 | Merrill Lynch International | 4/19/2024 | (1,936) |
EUR | 5,668,686 | USD | 6,187,531 | State Street Bank Corp. | 4/19/2024 | (49,328) |
EUR | 480,961 | USD | 521,001 | UBS AG | 4/19/2024 | (204) |
GBP | 40,137 | USD | 51,239 | Brown Brothers Harriman | 4/19/2024 | (561) |
GBP | 1,031,011 | USD | 1,306,845 | HSBC Bank | 4/19/2024 | (5,046) |
GBP | 1,177,324 | USD | 1,497,883 | JPMorgan Chase Bank N.A. | 4/19/2024 | (11,344) |
GBP | 1,073,379 | USD | 1,359,731 | State Street Bank Corp. | 4/19/2024 | (4,436) |
GBP | 265,923 | USD | 337,729 | UBS AG | 4/19/2024 | (1,963) |
HUF | 1,034,638 | USD | 2,968 | BNP Paribas S.A. | 4/19/2024 | (130) |
JPY | 355,418,527 | USD | 2,448,988 | HSBC Bank | 4/19/2024 | (61,203) |
JPY | 5,246,015 | USD | 35,936 | UBS AG | 4/19/2024 | (692) |
KRW | 491,915,341 | USD | 370,452 | Citibank N.A. | 4/04/2024 | (457) |
NOK | 2,198,119 | USD | 210,580 | Deutsche Bank AG | 4/19/2024 | (3,394) |
Forward Foreign Currency Exchange Contracts − continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Liability Derivatives − continued | ||||||
NOK | 3,029,521 | USD | 290,079 | Merrill Lynch International | 4/19/2024 | $(4,530) |
NOK | 24,921,912 | USD | 2,399,475 | State Street Bank Corp. | 4/19/2024 | (50,440) |
NZD | 380,622 | USD | 232,123 | HSBC Bank | 4/19/2024 | (376) |
NZD | 19,231,484 | USD | 11,822,851 | State Street Bank Corp. | 4/19/2024 | (113,478) |
SEK | 448,000 | USD | 43,794 | State Street Bank Corp. | 4/19/2024 | (495) |
SGD | 81,797 | USD | 61,207 | State Street Bank Corp. | 4/19/2024 | (294) |
THB | 72,398,888 | USD | 2,084,687 | Barclays Bank PLC | 4/03/2024 | (66,621) |
THB | 16,018,061 | USD | 461,682 | JPMorgan Chase Bank N.A. | 4/03/2024 | (15,190) |
TWD | 568,890 | USD | 18,335 | Citibank N.A. | 4/25/2024 | (227) |
USD | 654,523 | CNH | 4,706,263 | JPMorgan Chase Bank N.A. | 4/19/2024 | (377) |
USD | 58,170 | CZK | 1,380,060 | UBS AG | 4/19/2024 | (668) |
USD | 960,660 | EUR | 890,750 | Brown Brothers Harriman | 4/19/2024 | (3,867) |
USD | 289,418 | EUR | 268,107 | Deutsche Bank AG | 4/19/2024 | (896) |
USD | 504,393 | EUR | 469,326 | HSBC Bank | 4/19/2024 | (3,806) |
USD | 753,084 | EUR | 696,986 | JPMorgan Chase Bank N.A. | 4/19/2024 | (1,632) |
USD | 678,822 | EUR | 628,817 | State Street Bank Corp. | 4/19/2024 | (2,077) |
USD | 249,089 | EUR | 230,842 | UBS AG | 4/19/2024 | (873) |
USD | 2,597 | IDR | 40,950,329 | Barclays Bank PLC | 5/06/2024 | (4) |
USD | 697,806 | JPY | 103,935,982 | Deutsche Bank AG | 4/19/2024 | (460) |
USD | 1,173,550 | JPY | 174,687,349 | State Street Bank Corp. | 4/19/2024 | (40) |
USD | 4,720,058 | KRW | 6,276,968,792 | JPMorgan Chase Bank N.A. | 4/26/2024 | (6,670) |
USD | 6,184,056 | MXN | 107,963,730 | Barclays Bank PLC | 4/19/2024 | (104,191) |
USD | 1,414,337 | MXN | 24,447,868 | Deutsche Bank AG | 4/19/2024 | (9,607) |
USD | 855,744 | MXN | 14,943,575 | State Street Bank Corp. | 4/19/2024 | (14,630) |
USD | 529,296 | MXN | 9,144,411 | UBS AG | 4/19/2024 | (3,312) |
USD | 289,981 | THB | 10,448,004 | Barclays Bank PLC | 4/03/2024 | (1,250) |
$(593,227) |
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
Euro-Schatz 2 yr | Short | EUR | 203 | $23,070,152 | March – 2024 | $205,493 |
Long Gilt 10 yr | Long | GBP | 7 | 866,733 | June – 2024 | 2,742 |
U.S. Treasury Bond 30 yr | Long | USD | 9 | 1,073,250 | June – 2024 | 4,749 |
$212,984 | ||||||
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
Australian Bond 10 yr | Short | AUD | 86 | $6,429,402 | March – 2024 | $(74,306) |
Euro-Bobl 5 yr | Long | EUR | 74 | 9,295,178 | March – 2024 | (88,137) |
Euro-Bund 10 yr | Long | EUR | 21 | 3,010,729 | March – 2024 | (31,344) |
Euro-Buxl 30 yr | Long | EUR | 3 | 431,758 | March – 2024 | (34,571) |
Japan Government Bond 10 yr | Short | JPY | 6 | 5,853,522 | March – 2024 | (59,292) |
U.S. Treasury Note 10 yr | Short | USD | 78 | 8,614,125 | June – 2024 | (27,100) |
U.S. Treasury Note 2 yr | Short | USD | 107 | 21,908,250 | June – 2024 | (17,796) |
U.S. Treasury Note 5 yr | Short | USD | 321 | 34,316,906 | June – 2024 | (66,287) |
U.S. Treasury Ultra Bond 30 yr | Short | USD | 84 | 10,741,500 | June – 2024 | (59,183) |
U.S. Treasury Ultra Note 10 yr | Short | USD | 4 | 456,687 | June – 2024 | (2,235) |
$(460,251) |
Cleared Swap Agreements | ||||||||||
Maturity Date | Notional Amount | Counterparty | Cash Flows to Receive/ Frequency | Cash Flows to Pay/ Frequency | Unrealized Appreciation (Depreciation) | Net Unamortized Upfront Payments (Receipts) | Value | |||
Asset Derivatives | ||||||||||
Interest Rate Swaps | ||||||||||
1/02/26 | BRL | 2,900,000 | centrally cleared | 11.095% / At Maturity | Average Daily BZDIOVRA / At Maturity | $6,743 | $— | $6,743 | ||
1/02/26 | BRL | 2,900,000 | centrally cleared | Average Daily BZDIOVRA / At Maturity | 11.095% / At Maturity | 11,572 | (5,818) | 5,754 | ||
1/03/28 | BRL | 5,800,000 | centrally cleared | 10.63% / Annually | Average Daily BZDIOVRA / Annually | (772) | 3,121 | 2,349 | ||
3/21/29 | CNY | 13,310,000 | centrally cleared | 2.38% / Quarterly | CFRR / Quarterly | 18,023 | 8,430 | 26,453 | ||
6/18/55 | USD | 1,800,000 | centrally cleared | SOFR - 1 day / Annually | 3.458% / Annually | 19,469 | — | 19,469 | ||
$55,035 | $5,733 | $60,768 | ||||||||
Liability Derivatives | ||||||||||
Interest Rate Swaps | ||||||||||
1/02/26 | BRL | 2,900,000 | centrally cleared | 10.48% / At Maturity | Average Daily BZDIOVRA / At Maturity | $(72) | $— | $(72) | ||
1/02/26 | BRL | 2,900,000 | centrally cleared | Average Daily BZDIOVRA / At Maturity | 10.48% / At Maturity | (1,554) | 989 | (565) | ||
1/04/27 | BRL | 3,000,000 | centrally cleared | 10.3625% / At Maturity | Average Daily BZDIOVRA / At Maturity | (161) | — | (161) | ||
6/18/27 | USD | 16,600,000 | centrally cleared | 3.412% / Annually | SOFR - 1 day / Annually | (90,908) | — | (90,908) | ||
$(92,695) | $989 | $(91,706) | ||||||||
Credit Default Swaps | ||||||||||
12/20/28 | EUR | 1,885,000 | centrally cleared | (1) | 5.00% / Quarterly | $(48,716) | $(132,290) | $(181,006) | ||
$(141,411) | $(131,301) | $(272,712) |
Uncleared Swap Agreements | ||||||||||
Maturity Date | Notional Amount | Counterparty | Cash Flows to Receive/ Frequency | Cash Flows to Pay/ Frequency | Unrealized Appreciation (Depreciation) | Net Unamortized Upfront Payments (Receipts) | Value | |||
Asset Derivatives | ||||||||||
Credit Default Swaps | ||||||||||
6/20/28 | EUR | 130,000 | Barclays Bank PLC | 5.00% / Quarterly | (2) | $6,360 | $16,450 | $22,810 |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Equity Securities: | ||||
United States | $— | $— | $311,295 | $311,295 |
Luxembourg | — | 182,104 | — | 182,104 |
United Kingdom | — | 1,160 | — | 1,160 |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 60,478,338 | — | 60,478,338 |
Non - U.S. Sovereign Debt | — | 74,433,868 | — | 74,433,868 |
Municipal Bonds | — | 1,229,495 | — | 1,229,495 |
U.S. Corporate Bonds | — | 158,346,224 | — | 158,346,224 |
Residential Mortgage-Backed Securities | — | 9,791,384 | — | 9,791,384 |
Commercial Mortgage-Backed Securities | — | 4,578,028 | — | 4,578,028 |
Asset-Backed Securities (including CDOs) | — | 6,571,886 | — | 6,571,886 |
Foreign Bonds | — | 57,323,604 | — | 57,323,604 |
Mutual Funds | 7,184,352 | — | — | 7,184,352 |
Total | $7,184,352 | $372,936,091 | $311,295 | $380,431,738 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $212,984 | $— | $— | $212,984 |
Futures Contracts – Liabilities | (460,251) | — | — | (460,251) |
Forward Foreign Currency Exchange Contracts – Assets | — | 1,195,907 | — | 1,195,907 |
Forward Foreign Currency Exchange Contracts – Liabilities | — | (593,227) | — | (593,227) |
Swap Agreements – Assets | — | 83,578 | — | 83,578 |
Swap Agreements – Liabilities | — | (272,712) | — | (272,712) |
Equity Securities | |
Balance as of 11/30/23 | $219,045 |
Change in unrealized appreciation or depreciation | 92,250 |
Balance as of 2/29/24 | $311,295 |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $4,523,758 | $37,681,074 | $35,019,209 | $(822) | $(449) | $7,184,352 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $104,249 | $— |