Issuer | Shares/Par | Value ($) | ||
Bonds – 99.3% | ||||
Asset-Backed & Securitized – 13.9% | ||||
ACRES 2021-FL2 Issuer Ltd., “C”, FLR, 4.649% (LIBOR - 1mo. + 2.65%), 1/15/2037 (n) | $ | 200,000 | $189,554 | |
Allegro CLO V Ltd., 2017-1A, “BR”, FLR, 4.19% (LIBOR - 3mo. + 1.45%), 10/16/2030 (n) | 250,000 | 242,161 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “B”, FLR, 3.599% (LIBOR - 1mo. + 1.6%), 8/15/2034 (n) | 200,000 | 187,959 | ||
BDS 2021-FL10 Ltd., 2021-FL7, “A”, FLR, 3.226% (LIBOR - 1mo. + 1.07%), 6/16/2036 (n) | 200,000 | 191,055 | ||
BSPRT 2021-FL6 Issuer Ltd., “C”, FLR, 4.049% (LIBOR - 1mo. + 2.05%), 3/15/2036 (n) | 100,000 | 93,894 | ||
Commercial Mortgage Trust, 2015-PC1, “A5”, 3.902%, 7/10/2050 | 250,000 | 249,039 | ||
Dryden 68 CLO, Ltd., 2019-68A, “BR”, FLR, 4.212% (LIBOR - 3mo. + 1.7%), 7/15/2035 (n) | 250,000 | 237,132 | ||
JPMBB Commercial Mortgage Securities Trust, 2014-C26, “A4”, 3.494%, 1/15/2048 | 75,000 | 74,061 | ||
KREF 2018-FT1 Ltd., “A”, FLR, 3.069% (LIBOR - 1mo. + 1.1%), 2/15/2039 (n) | 200,000 | 194,949 | ||
LoanCore 2021-CRE5 Ltd., “B”, FLR, 3.999% (LIBOR - 1mo. + 2%), 7/15/2036 (n) | 100,000 | 93,243 | ||
MF1 2021-FL7 Ltd., “AS”, FLR, 3.606% (LIBOR - 1mo. + 1.45%), 10/16/2036 (n) | 250,000 | 236,868 | ||
MF1 2022-FL10 Ltd., “AS”, FLR, 0% (SOFR - 1mo. + 3.187%), 9/19/2037 (n) | 250,000 | 248,747 | ||
MF1 2022-FL8 Ltd., “B”, FLR, 3.421% (SOFR - 30 day + 1.95%), 2/19/2037 (n) | 100,000 | 92,900 | ||
Palmer Square Loan Funding 2020-2A Ltd., “A1”, FLR, 2.278% (LIBOR - 3mo. + 0.8%), 5/20/2029 (n) | 110,082 | 108,614 | ||
Palmer Square Loan Funding 2022-5A Ltd., “A1”, FLR, 2.1% (SOFR - 3mo. + 1.56%), 7/15/2035 (n) | 250,000 | 247,500 | ||
Ready Capital Mortgage Financing LLC, 2022-FL9, FLR, 5.368% (SOFR - 1mo. + 3.111%), 6/25/2037 (z) | 250,000 | 246,095 | ||
Wells Fargo Commercial Mortgage Trust, 2015-C28, “A4”, 3.54%, 5/15/2048 | 250,000 | 247,196 | ||
Wells Fargo Commercial Mortgage Trust, 2015-NXS1, “A5”, 3.148%, 5/15/2048 | 250,000 | 244,939 | ||
Wells Fargo Commercial Mortgage Trust, 2017-RB1, “A5”, 3.635%, 3/15/2050 | 175,000 | 172,802 | ||
$3,598,708 | ||||
Automotive – 2.1% | ||||
Hyundai Capital America, 2.65%, 2/10/2025 (n) | $ | 65,000 | $62,353 | |
Lear Corp., 3.8%, 9/15/2027 | 68,000 | 65,851 | ||
Magna International, Inc., 2.45%, 6/15/2030 | 68,000 | 60,031 | ||
Stellantis N.V., 2.691%, 9/15/2031 (n) | 200,000 | 163,813 | ||
Volkswagen Group of America Finance LLC, 3.35%, 5/13/2025 (n) | 200,000 | 195,873 | ||
$547,921 | ||||
Broadcasting – 0.9% | ||||
Magallanes, Inc., 5.141%, 3/15/2052 (n) | $ | 161,000 | $141,748 | |
Walt Disney Co., 3.5%, 5/13/2040 | 94,000 | 83,838 | ||
$225,586 | ||||
Brokerage & Asset Managers – 0.6% | ||||
Intercontinental Exchange, Inc., 2.1%, 6/15/2030 | $ | 103,000 | $89,929 | |
Raymond James Financial, Inc., 4.95%, 7/15/2046 | 73,000 | 72,248 | ||
$162,177 | ||||
Building – 0.4% | ||||
Masco Corp., 2%, 2/15/2031 | $ | 117,000 | $95,155 | |
Business Services – 1.2% | ||||
Equinix, Inc., 1.8%, 7/15/2027 | $ | 83,000 | $74,163 | |
Fiserv, Inc., 2.65%, 6/01/2030 | 88,000 | 77,446 | ||
Global Payments, Inc., 1.2%, 3/01/2026 | 87,000 | 78,202 | ||
S&P Global, Inc., 4.25%, 5/01/2029 (n) | 73,000 | 74,588 | ||
$304,399 | ||||
Cable TV – 1.1% | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | $ | 69,000 | $72,514 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.375%, 5/01/2047 | 98,000 | 86,218 | ||
Cox Communications, Inc., 1.8%, 10/01/2030 (n) | 88,000 | 72,255 | ||
Time Warner Entertainment Co. LP, 8.375%, 7/15/2033 | 58,000 | 69,165 | ||
$300,152 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Chemicals – 0.3% | ||||
Sherwin-Williams Co., 2.3%, 5/15/2030 | $ | 89,000 | $77,447 | |
Computer Software – 0.3% | ||||
Dell International LLC/EMC Corp., 4.9%, 10/01/2026 | $ | 74,000 | $75,783 | |
Conglomerates – 1.3% | ||||
Carrier Global Corp., 3.377%, 4/05/2040 | $ | 159,000 | $130,945 | |
Roper Technologies, Inc., 2%, 6/30/2030 | 89,000 | 74,499 | ||
Westinghouse Air Brake Technologies Corp., 3.2%, 6/15/2025 | 129,000 | 124,407 | ||
$329,851 | ||||
Consumer Services – 0.2% | ||||
Booking Holdings, Inc., 4.625%, 4/13/2030 | $ | 60,000 | $61,734 | |
Electrical Equipment – 0.3% | ||||
Arrow Electronics, Inc., 2.95%, 2/15/2032 | $ | 90,000 | $76,287 | |
Electronics – 0.9% | ||||
Broadcom, Inc., 4.15%, 11/15/2030 | $ | 78,000 | $74,005 | |
Broadcom, Inc., 4.3%, 11/15/2032 | 63,000 | 59,681 | ||
Broadcom, Inc., 4.926%, 5/15/2037 (n) | 108,000 | 102,388 | ||
$236,074 | ||||
Energy - Independent – 0.5% | ||||
EQT Corp., 7%, 2/01/2030 | $ | 113,000 | $123,720 | |
Financial Institutions – 1.4% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, 10/29/2026 | $ | 150,000 | $133,440 | |
Air Lease Corp., 2.875%, 1/15/2032 | 93,000 | 76,587 | ||
Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 79,000 | 73,738 | ||
Avolon Holdings Funding Ltd., 3.25%, 2/15/2027 (n) | 78,000 | 68,191 | ||
$351,956 | ||||
Food & Beverages – 0.6% | ||||
Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038 | $ | 163,000 | $157,486 | |
Gaming & Lodging – 0.5% | ||||
GLP Capital LP/GLP Financing II, Inc., 5.3%, 1/15/2029 | $ | 64,000 | $63,193 | |
Las Vegas Sands Corp., 3.9%, 8/08/2029 | 65,000 | 58,077 | ||
$121,270 | ||||
Insurance – 0.8% | ||||
Corebridge Financial, Inc., 3.9%, 4/05/2032 (n) | $ | 82,000 | $76,324 | |
Metropolitan Life Global Funding I, 3.3%, 3/21/2029 (n) | 150,000 | 143,150 | ||
$219,474 | ||||
Insurance - Health – 0.3% | ||||
Humana, Inc., 3.7%, 3/23/2029 | $ | 79,000 | $77,502 | |
Insurance - Property & Casualty – 0.3% | ||||
Brown & Brown, Inc., 4.2%, 3/17/2032 | $ | 84,000 | $79,143 | |
Machinery & Tools – 0.3% | ||||
CNH Industrial Capital LLC, 1.875%, 1/15/2026 | $ | 79,000 | $72,746 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – 6.2% | ||||
Bank of America Corp., 2.572% to 10/20/2031, FLR (SOFR + 1.21%) to 10/20/2032 | $ | 302,000 | $258,875 | |
Capital One Financial Corp., 3.273% to 3/01/2029, FLR (SOFR - 1 day + 1.79%) to 3/01/2030 | 87,000 | 78,799 | ||
Deutsche Bank AG, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027 | 150,000 | 130,356 | ||
Goldman Sachs Group, Inc., 2.6%, 2/07/2030 | 172,000 | 151,910 | ||
Goldman Sachs Group, Inc., 2.383% to 7/21/2031, FLR (SOFR - 1 day + 1.248%) to 7/21/2032 | 98,000 | 82,677 | ||
JPMorgan Chase & Co., 4.323% to 4/26/2027, FLR (SOFR - 1 day + 1.56%) to 4/26/2028 | 74,000 | 74,306 | ||
JPMorgan Chase & Co., 2.956% to 5/13/2030, FLR (SOFR - 1 day + 2.515%) to 5/13/2031 | 72,000 | 64,362 | ||
JPMorgan Chase & Co., 2.963% to 1/25/2032, FLR (SOFR - 1 day + 1.26%) to 1/25/2033 | 69,000 | 61,380 | ||
JPMorgan Chase & Co., 3.109% to 4/22/2040, FLR (SOFR - 1 day + 2.46%) to 4/22/2041 | 102,000 | 82,759 | ||
JPMorgan Chase & Co., 3.157% to 4/22/2041, FLR (SOFR - 1 day + 1.46%) to 4/22/2042 | 152,000 | 124,022 | ||
Morgan Stanley, 2.699% to 1/22/2030, FLR (SOFR - 1 day + 1.143%) to 1/22/2031 | 97,000 | 86,723 | ||
Morgan Stanley, 2.943% to 1/21/2032, FLR (SOFR - 1 day + 1.29%) to 1/21/2033 | 127,000 | 113,439 | ||
UBS Group AG, 2.095% to 2/11/2031, FLR (CMT - 1yr. + 1.0%) to 2/11/2032 (n) | 200,000 | 161,796 | ||
Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033 | 162,000 | 148,763 | ||
$1,620,167 | ||||
Medical & Health Technology & Services – 1.3% | ||||
Alcon, Inc., 2.6%, 5/27/2030 (n) | $ | 200,000 | $175,311 | |
Becton, Dickinson and Co., 4.669%, 6/06/2047 | 78,000 | 77,430 | ||
HCA, Inc., 4.125%, 6/15/2029 | 79,000 | 76,027 | ||
$328,768 | ||||
Metals & Mining – 1.1% | ||||
Anglo American Capital PLC, 5.625%, 4/01/2030 (n) | $ | 200,000 | $205,793 | |
Glencore Funding LLC, 2.5%, 9/01/2030 (n) | 87,000 | 72,263 | ||
$278,056 | ||||
Midstream – 1.0% | ||||
Cheniere Corpus Christi Holdings LLC, 3.7%, 11/15/2029 | $ | 84,000 | $78,663 | |
Plains All American Pipeline LP, 3.8%, 9/15/2030 | 113,000 | 102,528 | ||
Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | 75,000 | 74,174 | ||
$255,365 | ||||
Mortgage-Backed – 25.1% | ||||
Fannie Mae, 3%, 8/01/2046 | $ | 35,170 | $34,394 | |
Fannie Mae, UMBS, 2%, 7/01/2042 | 313,091 | 289,644 | ||
Fannie Mae, UMBS, 2.5%, 7/01/2042 - 3/01/2052 | 295,420 | 277,860 | ||
Fannie Mae, UMBS, 3%, 5/01/2043 - 9/01/2049 | 44,751 | 43,630 | ||
Fannie Mae, UMBS, 3.5%, 7/01/2043 | 50,632 | 51,353 | ||
Fannie Mae, UMBS, 4%, 9/01/2046 | 51,696 | 52,938 | ||
Freddie Mac, UMBS, 2%, 7/01/2037 | 300,000 | 285,515 | ||
Freddie Mac, UMBS, 3.5%, 1/01/2041 - 8/01/2052 | 469,996 | 468,365 | ||
Freddie Mac, UMBS, 3%, 6/01/2052 | 275,000 | 265,237 | ||
Ginnie Mae, 2%, 7/20/2052 | 75,000 | 68,911 | ||
Ginnie Mae, 2.5%, 7/20/2052 | 225,000 | 213,253 | ||
Ginnie Mae, 3%, 7/20/2052 | 325,000 | 316,759 | ||
Ginnie Mae, TBA, 3%, 8/15/2052 | 25,000 | 24,345 | ||
Ginnie Mae, TBA, 3.5%, 8/15/2052 | 275,000 | 273,754 | ||
Ginnie Mae, TBA, 4%, 8/15/2052 | 225,000 | 227,312 | ||
Ginnie Mae, TBA, 5%, 8/15/2052 - 9/15/2052 | 125,000 | 127,837 | ||
Ginnie Mae, TBA, 4.5%, 8/18/2052 | 250,000 | 254,795 | ||
UMBS, TBA, 2.5%, 8/16/2037 - 9/14/2052 | 1,250,000 | 1,167,288 | ||
UMBS, TBA, 2%, 8/25/2037 - 9/25/2052 | 1,200,000 | 1,081,251 | ||
UMBS, TBA, 3%, 8/25/2037 | 100,000 | 99,283 | ||
UMBS, TBA, 4.5%, 8/11/2052 | 175,000 | 178,042 | ||
UMBS, TBA, 4%, 8/25/2052 | 400,000 | 401,984 | ||
UMBS, TBA, 5%, 8/25/2052 | 175,000 | 179,737 | ||
UMBS, TBA, 5.5%, 9/14/2052 | 125,000 | 128,994 | ||
$6,512,481 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Natural Gas - Distribution – 0.3% | ||||
NiSource, Inc., 5.65%, 2/01/2045 | $ | 73,000 | $76,470 | |
Network & Telecom – 0.6% | ||||
Verizon Communications, Inc., 2.55%, 3/21/2031 | $ | 84,000 | $74,640 | |
Verizon Communications, Inc., 4.272%, 1/15/2036 | 78,000 | 76,917 | ||
$151,557 | ||||
Oils – 0.3% | ||||
Marathon Petroleum Corp., 4.75%, 9/15/2044 | $ | 83,000 | $75,938 | |
Other Banks & Diversified Financials – 0.5% | ||||
Macquarie Group Ltd., 4.442% to 6/21/2032, FLR (SOFR - 1 day + 2.405%) to 6/21/2033 (n) | $ | 148,000 | $140,826 | |
Retailers – 0.6% | ||||
Alimentation Couche-Tard, Inc., 3.439%, 5/13/2041 (n) | $ | 117,000 | $90,689 | |
Best Buy Co., Inc., 4.45%, 10/01/2028 | 63,000 | 63,781 | ||
$154,470 | ||||
Specialty Stores – 0.2% | ||||
Genuine Parts Co., 2.75%, 2/01/2032 | $ | 63,000 | $54,051 | |
Telecommunications - Wireless – 1.4% | ||||
Crown Castle International Corp., REIT, 3.65%, 9/01/2027 | $ | 79,000 | $76,831 | |
Rogers Communications, Inc., 3.8%, 3/15/2032 (n) | 146,000 | 141,341 | ||
T-Mobile USA, Inc., 2.05%, 2/15/2028 | 69,000 | 61,876 | ||
T-Mobile USA, Inc., 4.5%, 4/15/2050 | 83,000 | 76,812 | ||
$356,860 | ||||
Tobacco – 0.6% | ||||
B.A.T. International Finance PLC, 4.448%, 3/16/2028 | $ | 158,000 | $151,294 | |
Transportation - Services – 0.5% | ||||
ERAC USA Finance LLC, 7%, 10/15/2037 (n) | $ | 107,000 | $128,098 | |
U.S. Treasury Obligations – 29.7% | ||||
U.S. Treasury Bonds, 2.375%, 2/15/2042 | $ | 1,600,000 | $1,393,500 | |
U.S. Treasury Bonds, 2.25%, 2/15/2052 | 1,500,000 | 1,264,922 | ||
U.S. Treasury Notes, 2.25%, 3/31/2024 (f) | 5,000,000 | 4,942,383 | ||
U.S. Treasury Notes, 2.5%, 3/31/2027 | 100,000 | 99,058 | ||
$7,699,863 | ||||
Utilities - Electric Power – 1.1% | ||||
Duke Energy Progress LLC, 3.45%, 3/15/2029 | $ | 118,000 | $115,615 | |
Pacific Gas & Electric Co., 2.1%, 8/01/2027 | 82,000 | 70,115 | ||
Pacific Gas & Electric Co., 3%, 6/15/2028 | 108,000 | 95,109 | ||
$280,839 | ||||
Utilities - Gas – 0.6% | ||||
East Ohio Gas Co., 2%, 6/15/2030 (n) | $ | 176,000 | $150,842 | |
Total Bonds | $25,710,516 | |||
Investment Companies (h) – 17.6% | ||||
Money Market Funds – 17.6% | ||||
MFS Institutional Money Market Portfolio, 1.72% | 4,546,729 | $4,546,728 | ||
Other Assets, Less Liabilities – (16.9)% | (4,371,900) | |||
Net Assets – 100.0% | $25,885,344 |
(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 $4,546,728 and $25,710,516, respectively. |
(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 $4,805,956, representing 18.6% of net assets. |
(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 |
Ready Capital Mortgage Financing LLC, 2022-FL9, FLR, 5.368% (SOFR - 1mo. + 3.111%), 6/25/2037 | 6/23/2022 | $248,008 | $246,095 |
% of Net assets | 1.0% |
The following abbreviations are used in this report and are defined: | |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
LIBOR | London Interbank Offered Rate |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
UMBS | Uniform Mortgage-Backed Security |
Derivative Contracts at 7/31/22 | ||||||
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Note 5 yr | Long | USD | 29 | $3,298,070 | September – 2022 | $57,009 |
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Ultra Note 10 yr | Short | USD | 2 | $262,500 | September – 2022 | $(11,726) |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | $— | $7,699,863 | $— | $7,699,863 |
U.S. Corporate Bonds | — | 5,941,036 | — | 5,941,036 |
Residential Mortgage-Backed Securities | — | 6,512,481 | — | 6,512,481 |
Commercial Mortgage-Backed Securities | — | 1,327,375 | — | 1,327,375 |
Asset-Backed Securities (including CDOs) | — | 2,271,333 | — | 2,271,333 |
Foreign Bonds | — | 1,958,428 | — | 1,958,428 |
Mutual Funds | 4,546,728 | — | — | 4,546,728 |
Total | $4,546,728 | $25,710,516 | $— | $30,257,244 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $57,009 | $— | $— | $57,009 |
Futures Contracts – Liabilities | (11,726) | — | — | (11,726) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $— | $19,993,146 | $15,446,943 | $73 | $452 | $4,546,728 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $8,865 | $— |