Issuer | Shares/Par | Value ($) | ||
Bonds – 100.1% | ||||
Asset-Backed & Securitized – 15.2% | ||||
ACRES 2021-FL2 Issuer Ltd., “C”, FLR, 8.096% ((SOFR - 1mo. + 0.11448%) + 2.65%), 1/15/2037 (n) | $ | 200,000 | $193,353 | |
Allegro CLO V Ltd., 2017-1A, “BR”, FLR, 7.026% ((SOFR - 3mo. + 0.26161%) + 1.45%), 10/16/2030 (n) | 250,000 | 249,365 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “B”, FLR, 7.048% ((SOFR - 1mo. + 0.11448%) + 1.6%), 8/15/2034 (n) | 200,000 | 193,042 | ||
ARI Fleet Lease Trust, 2023-B, “A2”, 6.05%, 7/15/2032 (n) | 100,000 | 101,058 | ||
BDS 2021-FL10 Ltd., “A”, FLR, 6.519% ((SOFR - 1mo. + 0.11448%) + 1.07%), 6/16/2036 (n) | 117,324 | 116,043 | ||
Benchmark 2023-V3 Mortgage Trust, “A3”, 6.363%, 7/15/2056 | 10,878 | 11,500 | ||
BSPRT 2021-FL6 Issuer Ltd., “C”, FLR, 7.498% ((SOFR - 1mo. + 0.11448%) + 2.05%), 3/15/2036 (n) | 100,000 | 95,793 | ||
Chesapeake Funding II LLC, 2023-1A, “A1”, 5.65%, 5/15/2035 (n) | 81,337 | 81,565 | ||
Commercial Mortgage Pass-Through Certificates, 2023-BNK46, “A4”, 5.745%, 8/15/2056 | 145,414 | 154,841 | ||
Commercial Mortgage Trust, 2015-PC1, “A5”, 3.902%, 7/10/2050 | 250,000 | 244,698 | ||
Consumers 2023 Securitization Funding LLC, 5.55%, 3/01/2028 | 44,000 | 44,177 | ||
Dryden 68 CLO, Ltd., 2019-68A, “BR”, FLR, 7.276% ((SOFR - 3mo. + 0.26161%) + 1.7%), 7/15/2035 (n) | 250,000 | 249,881 | ||
Dryden Senior Loan Fund, 2022-113A, “A1R”, CLO, FLR, 7.045% (SOFR - 3mo. + 1.63%), 10/20/2035 (n) | 250,000 | 250,595 | ||
DT Auto Owner Trust, 2023-1A, “A”, 5.48%, 4/15/2027 (n) | 33,726 | 33,665 | ||
Empire District Bondco LLC, 4.943%, 1/01/2033 | 41,000 | 41,077 | ||
Enterprise Fleet Financing 2023-1 LLC, “A2”, 5.51%, 1/22/2029 (n) | 52,662 | 52,763 | ||
GLS Auto Select Receivables Trust, 2023-1A, “A2”, 6.27%, 8/16/2027 (n) | 53,945 | 54,251 | ||
JPMBB Commercial Mortgage Securities Trust, 2014-C26, “A4”, 3.494%, 1/15/2048 | 75,000 | 73,331 | ||
KREF 2018-FT1 Ltd., “A”, FLR, 6.516% ((SOFR - 1mo. + 0.11448%) + 1.07%), 2/15/2039 (n) | 200,000 | 197,311 | ||
Kubota Credit Owner Trust, 2023-2A, “A2”, 5.61%, 7/15/2026 (n) | 100,000 | 100,234 | ||
LoanCore 2021-CRE5 Ltd., “B”, FLR, 7.448% ((SOFR - 1mo. + 0.11448%) + 2.0%), 7/15/2036 (n) | 100,000 | 96,580 | ||
MF1 2021-FL7 Ltd., “AS”, FLR, 6.899% ((SOFR - 1mo. + 0.11448%) + 1.45%), 10/16/2036 (n) | 250,000 | 243,692 | ||
MF1 2022-FL10 Ltd., “AS”, FLR, 8.524% (SOFR - 1mo. + 3.187%), 9/17/2037 (n) | 250,000 | 250,013 | ||
MF1 2022-FL8 Ltd., “B”, FLR, 7.287% (SOFR - 30 day + 1.95%), 2/19/2037 (n) | 100,000 | 97,766 | ||
MF1 2023-FL12 LLC, FLR, “A”, 7.401% (SOFR - 1mo. + 2.066%), 10/19/2038 (n) | 128,500 | 128,719 | ||
MSWF Commercial Mortgage Trust 2023-2, “A5”, 6.014%, 12/15/2056 | 69,165 | 75,334 | ||
OneMain Financial Issuance Trust 2022-3A, “A”, 5.94%, 5/15/2034 (n) | 89,000 | 89,622 | ||
Palmer Square Loan Funding 2020-2A Ltd., “A1”, FLR, 6.429% ((SOFR - 3mo. + 0.26161%) + 0.8%), 5/20/2029 (n) | 66,240 | 66,250 | ||
Ready Capital Mortgage Financing LLC, 2022-FL9, FLR, 8.447% (SOFR - 1mo. + 3.111%), 6/25/2037 (n) | 250,000 | 249,999 | ||
Toyota Lease Owner Trust, 2023-A, “A2”, 5.3%, 8/20/2025 (n) | 10,825 | 10,814 | ||
Wells Fargo Commercial Mortgage Trust, 2015-C28, “A4”, 3.54%, 5/15/2048 | 250,000 | 242,793 | ||
Wells Fargo Commercial Mortgage Trust, 2015-NXS1, “A5”, 3.148%, 5/15/2048 | 250,000 | 242,246 | ||
Wells Fargo Commercial Mortgage Trust, 2017-RB1, “A5”, 3.635%, 3/15/2050 | 175,000 | 165,327 | ||
Westlake Automobile Receivables Trust, 2022-3A, “A2”, 5.24%, 7/15/2025 (n) | 9,587 | 9,583 | ||
$4,507,281 | ||||
Automotive – 0.8% | ||||
Lear Corp., 3.8%, 9/15/2027 | $ | 68,000 | $65,656 | |
Stellantis Finance US, Inc., 2.691%, 9/15/2031 (n) | 200,000 | 167,527 | ||
$233,183 | ||||
Broadcasting – 0.7% | ||||
Walt Disney Co., 3.5%, 5/13/2040 | $ | 68,000 | $56,436 | |
WarnerMedia Holdings, Inc., 5.141%, 3/15/2052 | 161,000 | 138,391 | ||
$194,827 | ||||
Brokerage & Asset Managers – 1.7% | ||||
Charles Schwab Corp., 5.853% to 5/19/2033, FLR (SOFR - 1 day + 2.5%) to 5/19/2034 | $ | 198,000 | $205,106 | |
Intercontinental Exchange, Inc., 2.1%, 6/15/2030 | 103,000 | 87,933 | ||
LPL Holdings, Inc., 4.625%, 11/15/2027 (n) | 43,000 | 41,405 | ||
LPL Holdings, Inc., 6.75%, 11/17/2028 | 11,000 | 11,565 | ||
LPL Holdings, Inc., 4.375%, 5/15/2031 (n) | 178,000 | 161,800 | ||
$507,809 | ||||
Building – 0.3% | ||||
Masco Corp., 2%, 2/15/2031 | $ | 117,000 | $96,496 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Business Services – 1.5% | ||||
Equinix, Inc., 1.8%, 7/15/2027 | $ | 83,000 | $75,288 | |
Equinix, Inc., 2.5%, 5/15/2031 | 69,000 | 58,608 | ||
Fiserv, Inc., 2.65%, 6/01/2030 | 88,000 | 77,389 | ||
Global Payments, Inc., 1.2%, 3/01/2026 | 87,000 | 80,373 | ||
Global Payments, Inc., 2.9%, 11/15/2031 | 77,000 | 65,629 | ||
Verisk Analytics, Inc., 5.75%, 4/01/2033 | 70,000 | 74,342 | ||
$431,629 | ||||
Cable TV – 1.0% | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | $ | 69,000 | $69,570 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.375%, 5/01/2047 | 98,000 | 82,038 | ||
Cox Communications, Inc., 1.8%, 10/01/2030 (n) | 88,000 | 71,639 | ||
Time Warner Entertainment Co. LP, 8.375%, 7/15/2033 | 58,000 | 66,516 | ||
$289,763 | ||||
Computer Software – 0.3% | ||||
Oracle Corp., 4.9%, 2/06/2033 | $ | 22,000 | $21,773 | |
Roper Technologies, Inc., 2%, 6/30/2030 | 89,000 | 75,582 | ||
$97,355 | ||||
Conglomerates – 0.4% | ||||
Westinghouse Air Brake Technologies Corp., 3.2%, 6/15/2025 | $ | 129,000 | $125,367 | |
Consumer Products – 0.2% | ||||
Kenvue, Inc., 4.9%, 3/22/2033 | $ | 60,000 | $61,204 | |
Consumer Services – 0.5% | ||||
Booking Holdings, Inc., 4.625%, 4/13/2030 | $ | 138,000 | $138,378 | |
Electrical Equipment – 0.4% | ||||
Arrow Electronics, Inc., 2.95%, 2/15/2032 | $ | 147,000 | $124,361 | |
Electronics – 0.6% | ||||
Broadcom, Inc., 4.3%, 11/15/2032 | $ | 63,000 | $59,799 | |
Broadcom, Inc., 4.926%, 5/15/2037 (n) | 108,000 | 104,160 | ||
$163,959 | ||||
Financial Institutions – 1.2% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, 10/29/2026 | $ | 150,000 | $139,128 | |
Air Lease Corp., 2.875%, 1/15/2032 | 93,000 | 78,530 | ||
Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 79,000 | 76,625 | ||
Avolon Holdings Funding Ltd., 3.25%, 2/15/2027 (n) | 78,000 | 72,438 | ||
$366,721 | ||||
Food & Beverages – 1.1% | ||||
Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038 | $ | 163,000 | $155,024 | |
Diageo Capital PLC, 2.375%, 10/24/2029 | 200,000 | 178,329 | ||
$333,353 | ||||
Gaming & Lodging – 0.8% | ||||
GLP Capital LP/GLP Financing II, Inc., 5.3%, 1/15/2029 | $ | 64,000 | $63,053 | |
Las Vegas Sands Corp., 3.9%, 8/08/2029 | 65,000 | 59,995 | ||
Marriott International, Inc., 4.625%, 6/15/2030 | 108,000 | 106,502 | ||
$229,550 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Insurance – 0.9% | ||||
Corebridge Financial, Inc., 3.9%, 4/05/2032 | $ | 82,000 | $73,866 | |
Corebridge Financial, Inc., 5.75%, 1/15/2034 | 42,000 | 43,081 | ||
Metropolitan Life Global Funding I, 3.3%, 3/21/2029 (n) | 150,000 | 139,457 | ||
$256,404 | ||||
Insurance - Health – 0.1% | ||||
Humana, Inc., 5.875%, 3/01/2033 | $ | 38,000 | $39,812 | |
Insurance - Property & Casualty – 0.9% | ||||
Aon Corp., 4.5%, 12/15/2028 | $ | 61,000 | $60,420 | |
Aon Corp., 3.75%, 5/02/2029 | 57,000 | 54,670 | ||
Brown & Brown, Inc., 4.2%, 3/17/2032 | 84,000 | 77,649 | ||
Fairfax Financial Holdings Ltd., 5.625%, 8/16/2032 | 85,000 | 85,106 | ||
$277,845 | ||||
Machinery & Tools – 0.9% | ||||
Ashtead Capital, Inc., 5.5%, 8/11/2032 (n) | $ | 200,000 | $198,936 | |
CNH Industrial Capital LLC, 1.875%, 1/15/2026 | 79,000 | 74,389 | ||
$273,325 | ||||
Major Banks – 6.5% | ||||
Bank of America Corp., 2.572% to 10/20/2031, FLR (SOFR - 1 day + 1.21%) to 10/20/2032 | $ | 302,000 | $251,768 | |
Capital One Financial Corp., 3.273% to 3/01/2029, FLR (SOFR - 1 day + 1.79%) to 3/01/2030 | 160,000 | 143,730 | ||
Deutsche Bank AG, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027 | 150,000 | 137,256 | ||
Deutsche Bank AG, 6.72% to 1/18/2028, FLR (SOFR - 1 day + 3.18%) to 1/18/2029 | 150,000 | 156,166 | ||
Goldman Sachs Group, Inc., 2.6%, 2/07/2030 | 172,000 | 151,286 | ||
Goldman Sachs Group, Inc., 2.383% to 7/21/2031, FLR (SOFR - 1 day + 1.248%) to 7/21/2032 | 98,000 | 80,806 | ||
JPMorgan Chase & Co., 4.323% to 4/26/2027, FLR (SOFR - 1 day + 1.56%) to 4/26/2028 | 74,000 | 72,806 | ||
JPMorgan Chase & Co., 2.956% to 5/13/2030, FLR (SOFR - 1 day + 2.515%) to 5/13/2031 | 72,000 | 63,547 | ||
JPMorgan Chase & Co., 2.963% to 1/25/2032, FLR (SOFR - 1 day + 1.26%) to 1/25/2033 | 69,000 | 59,376 | ||
JPMorgan Chase & Co., 3.109% to 4/22/2040, FLR (SOFR - 1 day + 2.46%) to 4/22/2041 | 102,000 | 79,623 | ||
JPMorgan Chase & Co., 3.157% to 4/22/2041, FLR (SOFR - 1 day + 1.46%) to 4/22/2042 | 152,000 | 117,932 | ||
Morgan Stanley, 1.512% to 7/20/2026, FLR (SOFR - 1 day + 0.858%) to 7/20/2027 | 131,000 | 120,231 | ||
Morgan Stanley, 2.699% to 1/22/2030, FLR (SOFR - 1 day + 1.143%) to 1/22/2031 | 97,000 | 85,229 | ||
Morgan Stanley, 2.943% to 1/21/2032, FLR (SOFR - 1 day + 1.29%) to 1/21/2033 | 127,000 | 108,381 | ||
UBS Group AG, 2.095% to 2/11/2031, FLR (CMT - 1yr. + 1.0%) to 2/11/2032 (n) | 200,000 | 160,783 | ||
Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033 | 162,000 | 142,194 | ||
$1,931,114 | ||||
Medical & Health Technology & Services – 1.1% | ||||
Adventist Health System/West, 5.43%, 3/01/2032 | $ | 75,000 | $76,424 | |
Alcon Finance Corp., 2.6%, 5/27/2030 (n) | 200,000 | 174,988 | ||
CVS Health Corp., 5.3%, 6/01/2033 | 85,000 | 86,128 | ||
$337,540 | ||||
Metals & Mining – 0.9% | ||||
Anglo American Capital PLC, 5.625%, 4/01/2030 (n) | $ | 200,000 | $202,804 | |
Glencore Funding LLC, 2.5%, 9/01/2030 (n) | 87,000 | 75,195 | ||
$277,999 | ||||
Midstream – 1.8% | ||||
DCP Midstream Operating, LP, 3.25%, 2/15/2032 | $ | 167,000 | $144,967 | |
Plains All American Pipeline LP, 3.8%, 9/15/2030 | 174,000 | 160,738 | ||
Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | 75,000 | 73,213 | ||
Targa Resources Corp., 6.125%, 3/15/2033 | 138,000 | 144,410 | ||
$523,328 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – 31.1% | ||||
Fannie Mae, 3%, 8/01/2046 | $ | 31,516 | $28,192 | |
Fannie Mae, UMBS, 2%, 4/01/2037 - 7/01/2052 | 1,038,983 | 857,690 | ||
Fannie Mae, UMBS, 2.5%, 5/01/2037 - 5/01/2052 | 1,519,928 | 1,286,685 | ||
Fannie Mae, UMBS, 5%, 10/01/2037 - 5/01/2053 | 167,463 | 165,448 | ||
Fannie Mae, UMBS, 4.5%, 6/01/2038 - 9/01/2052 | 180,975 | 175,702 | ||
Fannie Mae, UMBS, 5.5%, 10/01/2038 - 11/01/2053 | 119,671 | 120,243 | ||
Fannie Mae, UMBS, 3%, 5/01/2043 - 8/01/2052 | 208,816 | 184,119 | ||
Fannie Mae, UMBS, 3.5%, 7/01/2043 - 3/01/2052 | 114,959 | 106,245 | ||
Fannie Mae, UMBS, 4%, 9/01/2046 - 11/01/2052 | 149,793 | 142,034 | ||
Fannie Mae, UMBS, 1.5%, 6/01/2051 - 10/01/2051 | 140,308 | 107,937 | ||
Fannie Mae, UMBS, 6%, 11/01/2052 - 2/01/2053 | 119,347 | 121,954 | ||
Freddie Mac, UMBS, 2%, 3/01/2037 - 3/01/2052 | 803,619 | 657,211 | ||
Freddie Mac, UMBS, 3%, 4/01/2037 - 6/01/2052 | 501,422 | 445,348 | ||
Freddie Mac, UMBS, 2.5%, 5/01/2037 - 6/01/2052 | 229,871 | 193,487 | ||
Freddie Mac, UMBS, 4.5%, 6/01/2038 - 10/01/2052 | 161,820 | 157,077 | ||
Freddie Mac, UMBS, 3.5%, 1/01/2041 - 10/01/2052 | 331,624 | 304,775 | ||
Freddie Mac, UMBS, 1.5%, 3/01/2051 | 40,277 | 31,100 | ||
Freddie Mac, UMBS, 4%, 7/01/2052 - 1/01/2053 | 327,825 | 308,609 | ||
Freddie Mac, UMBS, 5.5%, 4/01/2053 - 6/01/2053 | 246,368 | 247,761 | ||
Freddie Mac, UMBS, 5%, 6/01/2053 - 11/01/2053 | 149,392 | 147,450 | ||
Freddie Mac, UMBS, 6.5%, 8/01/2053 | 24,981 | 25,570 | ||
Ginnie Mae, 4.5%, 10/20/2033 - 5/20/2053 | 378,747 | 369,132 | ||
Ginnie Mae, 5.551%, 9/20/2041 | 32,728 | 32,126 | ||
Ginnie Mae, 3%, 1/20/2051 - 11/20/2052 | 348,480 | 311,540 | ||
Ginnie Mae, 2%, 3/20/2052 - 6/20/2052 | 338,886 | 282,083 | ||
Ginnie Mae, 2.5%, 4/20/2052 | 425,711 | 368,142 | ||
Ginnie Mae, 3.5%, 6/20/2052 - 9/20/2052 | 270,285 | 249,244 | ||
Ginnie Mae, 4%, 7/20/2052 - 10/20/2052 | 141,136 | 134,033 | ||
Ginnie Mae, 5%, 1/20/2053 - 5/20/2053 | 315,795 | 313,725 | ||
Ginnie Mae, 5.5%, 2/20/2053 - 6/20/2053 | 266,858 | 268,668 | ||
Ginnie Mae, TBA, 6%, 2/20/2054 | 50,000 | 50,763 | ||
Ginnie Mae, TBA, 6.5%, 2/20/2054 - 3/20/2054 | 50,000 | 51,080 | ||
UMBS, TBA, 2%, 2/25/2039 - 3/25/2039 | 275,000 | 247,036 | ||
UMBS, TBA, 2.5%, 2/25/2039 - 3/25/2054 | 225,000 | 199,292 | ||
UMBS, TBA, 5%, 3/18/2039 | 50,000 | 50,150 | ||
UMBS, TBA, 3%, 2/25/2054 | 275,000 | 240,668 | ||
UMBS, TBA, 3.5%, 2/25/2054 - 3/25/2054 | 175,000 | 159,299 | ||
UMBS, TBA, 5.5%, 2/25/2054 | 50,000 | 50,142 | ||
$9,191,760 | ||||
Municipals – 0.3% | ||||
Rhode Island Student Loan Authority Education Loan Rev., Taxable, 6.081%, 12/01/2042 | $ | 95,000 | $97,127 | |
Natural Gas - Distribution – 0.3% | ||||
NiSource, Inc., 5.65%, 2/01/2045 | $ | 73,000 | $73,249 | |
Network & Telecom – 0.2% | ||||
Verizon Communications, Inc., 2.55%, 3/21/2031 | $ | 57,000 | $48,998 | |
Oils – 0.3% | ||||
Marathon Petroleum Corp., 4.75%, 9/15/2044 | $ | 83,000 | $74,926 | |
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 | $137,992 | |
Pollution Control – 0.6% | ||||
Waste Management, Inc., 4.875%, 2/15/2034 | $ | 179,000 | $180,206 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Retailers – 0.5% | ||||
Alimentation Couche-Tard, Inc., 2.95%, 1/25/2030 (n) | $ | 62,000 | $55,680 | |
Alimentation Couche-Tard, Inc., 3.439%, 5/13/2041 (n) | 117,000 | 88,228 | ||
$143,908 | ||||
Specialty Stores – 0.3% | ||||
Genuine Parts Co., 2.75%, 2/01/2032 | $ | 115,000 | $96,547 | |
Telecommunications - Wireless – 1.2% | ||||
Crown Castle, Inc., REIT, 3.65%, 9/01/2027 | $ | 79,000 | $75,213 | |
Rogers Communications, Inc., 3.8%, 3/15/2032 | 146,000 | 132,800 | ||
T-Mobile USA, Inc., 2.05%, 2/15/2028 | 69,000 | 62,256 | ||
T-Mobile USA, Inc., 4.5%, 4/15/2050 | 83,000 | 72,669 | ||
Vodafone Group PLC, 5.625%, 2/10/2053 | 22,000 | 22,163 | ||
$365,101 | ||||
Tobacco – 1.0% | ||||
B.A.T. International Finance PLC, 4.448%, 3/16/2028 | $ | 158,000 | $154,546 | |
Philip Morris International, Inc., 5.125%, 11/17/2027 | 25,000 | 25,409 | ||
Philip Morris International, Inc., 5.625%, 11/17/2029 | 11,000 | 11,480 | ||
Philip Morris International, Inc., 5.125%, 2/15/2030 | 52,000 | 52,857 | ||
Philip Morris International, Inc., 5.75%, 11/17/2032 | 48,000 | 50,239 | ||
$294,531 | ||||
Transportation - Services – 0.1% | ||||
ERAC USA Finance LLC, 7%, 10/15/2037 (n) | $ | 36,000 | $42,059 | |
U.S. Treasury Obligations – 21.9% | ||||
U.S. Treasury Bonds, 2.375%, 2/15/2042 | $ | 1,288,000 | $974,654 | |
U.S. Treasury Bonds, 4%, 11/15/2042 | 437,000 | 419,503 | ||
U.S. Treasury Bonds, 4.375%, 8/15/2043 | 150,000 | 151,078 | ||
U.S. Treasury Bonds, 2.25%, 2/15/2052 (f) | 1,800,000 | 1,208,180 | ||
U.S. Treasury Bonds, 4%, 11/15/2052 | 383,000 | 367,979 | ||
U.S. Treasury Notes, 3.875%, 3/31/2025 | 420,000 | 416,505 | ||
U.S. Treasury Notes, 4.75%, 7/31/2025 | 2,250,000 | 2,260,547 | ||
U.S. Treasury Notes, 5%, 8/31/2025 | 400,000 | 403,703 | ||
U.S. Treasury Notes, 4.25%, 12/31/2025 | 200,000 | 200,016 | ||
U.S. Treasury Notes, 4.375%, 8/31/2028 | 67,000 | 68,353 | ||
$6,470,518 | ||||
Utilities - Electric Power – 1.5% | ||||
American Electric Power Co., Inc., 5.95%, 11/01/2032 | $ | 43,000 | $45,362 | |
Duke Energy Carolinas LLC, 4.95%, 1/15/2033 | 118,000 | 118,904 | ||
Duke Energy Progress LLC, 3.45%, 3/15/2029 | 118,000 | 112,248 | ||
Pacific Gas & Electric Co., 2.1%, 8/01/2027 | 82,000 | 74,193 | ||
Pacific Gas & Electric Co., 3%, 6/15/2028 | 108,000 | 99,091 | ||
$449,798 | ||||
Utilities - Gas – 0.5% | ||||
East Ohio Gas Co., 2%, 6/15/2030 (n) | $ | 176,000 | $147,166 | |
Total Bonds | $29,632,489 | |||
Investment Companies (h) – 3.5% | ||||
Money Market Funds – 3.5% | ||||
MFS Institutional Money Market Portfolio, 5.4% (v) | 1,025,266 | $1,025,369 | ||
Other Assets, Less Liabilities – (3.6)% | (1,061,444) | |||
Net Assets – 100.0% | $29,596,414 |
(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 $1,025,369 and $29,632,489, 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 $5,330,839, representing 18.0% of net assets. | |||
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
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. |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
UMBS | Uniform Mortgage-Backed Security |
Derivative Contracts at 1/31/24 | ||||||
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Note 2 yr | Long | USD | 2 | $411,312 | March – 2024 | $3,710 |
U.S. Treasury Note 5 yr | Long | USD | 25 | 2,709,766 | March – 2024 | 52,903 |
U.S. Treasury Ultra Bond 30 yr | Long | USD | 1 | 129,219 | March – 2024 | 8,401 |
$65,014 | ||||||
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Ultra Note 10 yr | Short | USD | 4 | $467,500 | March – 2024 | $(16,580) |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | $— | $6,470,518 | $— | $6,470,518 |
Municipal Bonds | — | 97,127 | — | 97,127 |
U.S. Corporate Bonds | — | 6,961,616 | — | 6,961,616 |
Residential Mortgage-Backed Securities | — | 9,191,760 | — | 9,191,760 |
Commercial Mortgage-Backed Securities | — | 1,556,649 | — | 1,556,649 |
Asset-Backed Securities (including CDOs) | — | 2,950,632 | — | 2,950,632 |
Foreign Bonds | — | 2,404,187 | — | 2,404,187 |
Mutual Funds | 1,025,369 | — | — | 1,025,369 |
Total | $1,025,369 | $29,632,489 | $— | $30,657,858 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $65,014 | $— | $— | $65,014 |
Futures Contracts – Liabilities | (16,580) | — | — | (16,580) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $1,202,650 | $6,242,837 | $6,419,898 | $(44) | $(176) | $1,025,369 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $33,306 | $— |