Issuer | Shares/Par | Value ($) | ||
Bonds – 97.9% | ||||
Aerospace & Defense – 1.4% | ||||
Boeing Co., 1.167%, 2/04/2023 | $ | 1,135,000 | $1,138,849 | |
Boeing Co., 1.433%, 2/04/2024 | 2,269,000 | 2,275,020 | ||
Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 | 2,486,000 | 2,720,285 | ||
$6,134,154 | ||||
Apparel Manufacturers – 0.6% | ||||
NIKE, Inc., 2.75%, 3/27/2027 | $ | 2,600,000 | $2,823,597 | |
Asset-Backed & Securitized – 1.5% | ||||
BXMT Ltd., 2021-FL4, “AS”, FLR, 1.393% (LIBOR - 1mo. + 1.3%), 5/15/2038 (n) | $ | 2,000,000 | $2,000,160 | |
Commercial Mortgage Trust, 2017-COR2, “A3”, 3.51%, 9/10/2050 | 1,676,352 | 1,868,774 | ||
GS Mortgage Securities Trust, 2010-C1, “A2”, 4.592%, 8/10/2043 (n) | 324,340 | 324,301 | ||
Shackleton CLO Ltd., 2015-8A, “A1R”, FLR, 1.054% (LIBOR - 3mo. + 0.92%), 10/20/2027 (n) | 1,404,938 | 1,406,166 | ||
UBS Commercial Mortgage Trust, 2017-C1, “A4”, 3.544%, 11/15/2050 | 875,000 | 979,126 | ||
$6,578,527 | ||||
Automotive – 1.7% | ||||
Hyundai Capital America, 2.375%, 2/10/2023 (n) | $ | 577,000 | $591,665 | |
Hyundai Capital America, 5.875%, 4/07/2025 (n) | 2,094,000 | 2,430,406 | ||
Volkswagen Group of America Finance LLC, 2.85%, 9/26/2024 (n) | 1,765,000 | 1,869,646 | ||
Volkswagen Group of America Finance LLC, 1.625%, 11/24/2027 (n) | 1,500,000 | 1,506,246 | ||
Volkswagen Group of America Finance LLC, 3.75%, 5/13/2030 (n) | 1,000,000 | 1,137,861 | ||
$7,535,824 | ||||
Brokerage & Asset Managers – 3.2% | ||||
Brookfield Finance, Inc., 2.724%, 4/15/2031 | $ | 2,844,000 | $2,989,147 | |
E*TRADE Financial Corp., 2.95%, 8/24/2022 | 3,500,000 | 3,593,564 | ||
Low Income Investment Fund, 3.386%, 7/01/2026 | 705,000 | 753,571 | ||
Low Income Investment Fund, 3.711%, 7/01/2029 | 1,905,000 | 2,068,782 | ||
National Securities Clearing Corp., 1.5%, 4/23/2025 (n) | 1,117,000 | 1,143,672 | ||
TD Ameritrade Holding Corp., 3.3%, 4/01/2027 | 3,150,000 | 3,483,900 | ||
$14,032,636 | ||||
Building – 0.3% | ||||
Martin Marietta Materials, Inc., 3.5%, 12/15/2027 | $ | 1,196,000 | $1,334,293 | |
Business Services – 0.9% | ||||
Tencent Holdings Ltd., 2.88%, 4/22/2031 (n) | $ | 1,499,000 | $1,573,809 | |
Western Union Co., 1.35%, 3/15/2026 | 2,570,000 | 2,571,118 | ||
$4,144,927 | ||||
Cable TV – 0.4% | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.908%, 7/23/2025 | $ | 1,350,000 | $1,532,394 | |
Computer Software – 0.7% | ||||
Dell International LLC/EMC Corp., 5.85%, 7/15/2025 | $ | 399,000 | $469,499 | |
Dell International LLC/EMC Corp., 4.9%, 10/01/2026 | 2,054,000 | 2,394,122 | ||
$2,863,621 | ||||
Computer Software - Systems – 1.2% | ||||
Apple, Inc., 3.35%, 2/09/2027 | $ | 2,700,000 | $3,009,535 | |
VMware, Inc., 1.4%, 8/15/2026 | 2,333,000 | 2,340,992 | ||
$5,350,527 | ||||
Conglomerates – 0.5% | ||||
Westinghouse Air Brake Technologies Corp., 4.95%, 9/15/2028 | $ | 1,760,000 | $2,063,978 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Consumer Products – 1.5% | ||||
Reckitt Benckiser Treasury Services PLC, 3.625%, 9/21/2023 (n) | $ | 2,274,000 | $2,408,681 | |
Reckitt Benckiser Treasury Services PLC, 2.75%, 6/26/2024 (n) | 4,000,000 | 4,218,956 | ||
$6,627,637 | ||||
Consumer Services – 1.5% | ||||
Booking Holdings, Inc., 3.55%, 3/15/2028 | $ | 2,737,000 | $3,068,640 | |
Conservation Fund, 3.474%, 12/15/2029 | 563,000 | 607,196 | ||
Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2026 (n) | 480,000 | 406,544 | ||
Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2027 (n) | 1,525,000 | 1,237,775 | ||
Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2029 (n) | 1,392,000 | 962,467 | ||
Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2031 (n) | 480,000 | 296,478 | ||
$6,579,100 | ||||
Containers – 0.4% | ||||
Berry Global, Inc., 1.65%, 1/15/2027 (n) | $ | 1,542,000 | $1,543,573 | |
Electronics – 1.0% | ||||
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.875%, 1/15/2027 | $ | 1,845,000 | $2,045,897 | |
Broadcom, Inc., 3.469%, 4/15/2034 (n) | 2,055,000 | 2,188,026 | ||
$4,233,923 | ||||
Emerging Market Quasi-Sovereign – 1.0% | ||||
DAE Funding LLC (United Arab Emirates), 1.55%, 8/01/2024 (n) | $ | 613,000 | $612,387 | |
Qatar Petroleum, 2.25%, 7/12/2031 (n) | 1,635,000 | 1,654,215 | ||
Sinopec Capital (2013) Ltd. (People's Republic of China), 3.125%, 4/24/2023 (n) | 733,000 | 761,396 | ||
Sinopec Group Overseas Development (2018) Ltd. (People's Republic of China), 1.45%, 1/08/2026 (n) | 1,357,000 | 1,365,014 | ||
$4,393,012 | ||||
Emerging Market Sovereign – 0.2% | ||||
Republic of Poland, 5%, 3/23/2022 | $ | 772,000 | $795,404 | |
Energy - Independent – 0.2% | ||||
Diamondback Energy, Inc., 0.9%, 3/24/2023 | $ | 966,000 | $965,739 | |
Energy - Integrated – 1.5% | ||||
Cenovus Energy, Inc., 5.375%, 7/15/2025 | $ | 1,600,000 | $1,825,443 | |
Eni S.p.A., 4%, 9/12/2023 (n) | 1,327,000 | 1,416,453 | ||
Exxon Mobil Corp., 3.294%, 3/19/2027 | 3,000,000 | 3,333,943 | ||
$6,575,839 | ||||
Financial Institutions – 2.2% | ||||
AerCap Ireland Capital DAC, 4.875%, 1/16/2024 | $ | 1,719,000 | $1,869,833 | |
AerCap Ireland Capital DAC, 6.5%, 7/15/2025 | 2,326,000 | 2,722,884 | ||
Avolon Holdings Funding Ltd., 3.95%, 7/01/2024 (n) | 3,123,000 | 3,336,630 | ||
Avolon Holdings Funding Ltd., 3.25%, 2/15/2027 (n) | 583,000 | 613,107 | ||
Avolon Holdings Funding Ltd., 2.75%, 2/21/2028 (n) | 852,000 | 859,761 | ||
$9,402,215 | ||||
Food & Beverages – 0.9% | ||||
Constellation Brands, Inc., 4.4%, 11/15/2025 | $ | 3,306,000 | $3,747,052 | |
Gaming & Lodging – 1.4% | ||||
GLP Capital LP/GLP Financing II, Inc., 4%, 1/15/2031 | $ | 3,055,000 | $3,341,223 | |
Marriott International, Inc., 2.3%, 1/15/2022 | 1,686,000 | 1,696,619 | ||
Marriott International, Inc., 5.75%, 5/01/2025 | 271,000 | 312,710 | ||
Marriott International, Inc., 2.85%, 4/15/2031 | 802,000 | 821,372 | ||
$6,171,924 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Industrial – 0.3% | ||||
Howard University, Washington D.C., AGM, 2.757%, 10/01/2027 | $ | 1,250,000 | $1,322,133 | |
Insurance – 0.1% | ||||
AIA Group Ltd., 3.375%, 4/07/2030 (n) | $ | 563,000 | $626,205 | |
Insurance - Property & Casualty – 1.6% | ||||
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/2025 | $ | 3,110,000 | $3,426,495 | |
Fairfax Financial Holdings Ltd., 4.85%, 4/17/2028 | 2,971,000 | 3,464,324 | ||
$6,890,819 | ||||
International Market Quasi-Sovereign – 0.6% | ||||
Dexia Credit Local S.A. (Kingdom of Belgium), 1.875%, 9/15/2021 (n) | $ | 2,510,000 | $2,515,120 | |
Internet – 0.3% | ||||
Baidu, Inc., 3.875%, 9/29/2023 | $ | 1,361,000 | $1,444,713 | |
Machinery & Tools – 0.9% | ||||
CNH Industrial Capital LLC, 4.2%, 1/15/2024 | $ | 472,000 | $510,504 | |
CNH Industrial Capital LLC, 3.85%, 11/15/2027 | 3,066,000 | 3,437,451 | ||
$3,947,955 | ||||
Major Banks – 13.5% | ||||
Bank of America Corp., 3.124% to 1/20/2022, FLR (LIBOR - 3mo. + 1.16%) to 1/20/2023 | $ | 5,400,000 | $5,468,200 | |
Bank of America Corp., 4.125%, 1/22/2024 | 2,876,000 | 3,126,226 | ||
Bank of America Corp., 1.734% to 7/22/2026, FLR (SOFR + 0.96%) to 7/22/2027 | 2,224,000 | 2,262,615 | ||
Bank of New York Mellon Corp., 3.5%, 4/28/2023 | 3,446,000 | 3,639,324 | ||
Barclays PLC, 4.61% to 2/15/2022, FLR (LIBOR - 3mo. + 1.4%) to 2/15/2023 | 3,857,000 | 3,942,643 | ||
Credit Suisse Group AG, 3.574%, 1/09/2023 (n) | 1,500,000 | 1,520,639 | ||
Credit Suisse Group AG, 6.5%, 8/08/2023 (n) | 915,000 | 1,008,787 | ||
Credit Suisse Group AG, 3.869% to 1/12/2028, FLR (LIBOR - 3mo. + 1.41%) to 1/12/2029 (n) | 2,250,000 | 2,499,034 | ||
Deutsche Bank AG, 1.447% to 4/1/2024, FLR (SOFR + 1.131%) to 4/01/2025 | 2,012,000 | 2,028,223 | ||
Goldman Sachs Group, Inc., 5.75%, 1/24/2022 | 1,924,000 | 1,974,244 | ||
Goldman Sachs Group, Inc., 2.908% to 6/05/2022, FLR (LIBOR - 3mo. + 1.053%) to 6/05/2023 | 1,750,000 | 1,786,682 | ||
Goldman Sachs Group, Inc., 3.5%, 4/01/2025 | 1,500,000 | 1,628,555 | ||
Goldman Sachs Group, Inc., 1.093% to 12/09/2025, FLR (SOFR + 0.789%) to 12/09/2026 | 894,000 | 888,119 | ||
HSBC Holdings PLC, 3.262% to 3/13/2022, FLR (LIBOR - 3mo. + 1.055%) to 3/13/2023 | 4,000,000 | 4,071,203 | ||
HSBC Holdings PLC, 3.033% to 11/22/2022, FLR (LIBOR - 3mo. + 0.923%) to 11/22/2023 | 1,500,000 | 1,551,876 | ||
JPMorgan Chase & Co., 2.005% to 3/13/2025, FLR (SOFR + 1.585%) to 3/13/2026 | 2,500,000 | 2,590,799 | ||
JPMorgan Chase & Co., 2.58% to 4/22/2031, FLR (SOFR + 1.25%) to 4/22/2032 | 2,250,000 | 2,340,571 | ||
Morgan Stanley, 3.875%, 1/27/2026 | 5,400,000 | 6,054,646 | ||
NatWest Group PLC, 4.269% to 3/22/2024, FLR (LIBOR - 3mo. + 1.762%) to 3/22/2025 | 2,621,000 | 2,848,503 | ||
State Street Corp., 2.901% to 3/30/2025, FLR (SOFR + 2.6%) to 3/30/2026 | 407,000 | 436,340 | ||
Sumitomo Mitsui Financial Group, Inc., 3.102%, 1/17/2023 | 1,145,000 | 1,191,993 | ||
Sumitomo Mitsui Trust Bank Ltd., 0.85%, 3/25/2024 (n) | 946,000 | 950,579 | ||
UBS Group AG, 1.008% to 7/30/2023, FLR (CMT - 1yr. + 0.83%) to 7/30/2024 (n) | 770,000 | 775,693 | ||
UBS Group Funding (Switzerland) AG, 4.253%, 3/23/2028 (n) | 2,449,000 | 2,798,836 | ||
UniCredito Italiano S.p.A., 6.572%, 1/14/2022 (n) | 1,500,000 | 1,538,342 | ||
$58,922,672 | ||||
Medical & Health Technology & Services – 0.4% | ||||
ProMedica Toledo Hospital, “B”, AGM, 5.75%, 11/15/2038 | $ | 1,250,000 | $1,536,784 | |
Metals & Mining – 1.5% | ||||
Anglo American Capital PLC, 2.25%, 3/17/2028 (n) | $ | 744,000 | $758,146 | |
Anglo American Capital PLC, 2.875%, 3/17/2031 (n) | 870,000 | 904,379 | ||
Glencore Funding LLC, 4.125%, 5/30/2023 (n) | 1,518,000 | 1,609,823 | ||
Glencore Funding LLC, 1.625%, 4/27/2026 (n) | 1,191,000 | 1,200,123 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Metals & Mining – continued | ||||
Glencore Funding LLC, 3.875%, 10/27/2027 (n) | $ | 1,887,000 | $2,098,786 | |
$6,571,257 | ||||
Midstream – 1.9% | ||||
Enbridge, Inc., 3.125%, 11/15/2029 | $ | 1,506,000 | $1,622,296 | |
Enbridge, Inc., 2.5%, 8/01/2033 | 1,743,000 | 1,776,486 | ||
MPLX LP, 3.5%, 12/01/2022 | 1,584,000 | 1,642,901 | ||
MPLX LP, 4%, 3/15/2028 | 1,395,000 | 1,566,139 | ||
Plains All American Pipeline LP, 3.8%, 9/15/2030 | 1,510,000 | 1,637,938 | ||
$8,245,760 | ||||
Mortgage-Backed – 0.9% | ||||
Fannie Mae, 6.5%, 11/01/2031 | $ | 438,211 | $513,657 | |
Freddie Mac, 3.064%, 8/25/2024 | 1,457,127 | 1,550,872 | ||
Freddie Mac, 3.187%, 9/25/2027 | 550,000 | 616,573 | ||
Freddie Mac, 4.06%, 10/25/2028 | 582,000 | 690,014 | ||
Freddie Mac, 6%, 8/01/2034 | 6,213 | 7,263 | ||
Ginnie Mae, 6%, 6/15/2033 - 10/15/2036 | 301,788 | 354,269 | ||
Ginnie Mae, 5.87%, 4/20/2058 | 26,705 | 30,781 | ||
$3,763,429 | ||||
Municipals – 6.0% | ||||
Bridgeview, IL, Stadium and Redevelopment Projects, AAC, 5.06%, 12/01/2025 | $ | 4,000,000 | $4,126,783 | |
California Earthquake Authority Rev., “B”, 1.327%, 7/01/2022 | 575,000 | 580,260 | ||
California Earthquake Authority Rev., “B”, 1.477%, 7/01/2023 | 405,000 | 413,106 | ||
Florida State Board of Administration Finance Corp. Rev., “A”, 1.705%, 7/01/2027 | 1,709,000 | 1,758,868 | ||
Gainesville, TX, Hospital District, “A”, 5.711%, 8/15/2033 | 2,330,000 | 2,862,095 | ||
Guam International Airport Authority Rev. (A.B. Won Pat Airport), “A”, 3.839%, 10/01/2036 (w) | 110,000 | 116,017 | ||
Massachusetts Educational Financing Authority, Education Loan Subordinate Rev., “A”, 2.641%, 7/01/2037 | 2,070,000 | 2,122,143 | ||
Michigan Finance Authority Hospital Refunding Rev. (Trinity Health Credit Group), “T”, 3.084%, 12/01/2034 | 2,500,000 | 2,772,282 | ||
Michigan Finance Authority Tobacco Settlement Asset-Backed Rev. (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 324,730 | 339,324 | ||
New Jersey Economic Development Authority State Pension Funding Rev., Capital Appreciation, “B”, AGM, 0%, 2/15/2023 | 3,704,000 | 3,676,962 | ||
Puerto Rico Electric Power Authority Rev., “RR”, NPFG, 5%, 7/01/2022 | 1,675,000 | 1,699,181 | ||
Syracuse, NY, Industrial Development Agency PILOT Rev. (Carousel Center Project), “B”, 5%, 1/01/2036 (n) | 3,635,000 | 3,594,400 | ||
University of California, General Taxable Rev., “BG”, 1.614%, 5/15/2030 | 2,010,000 | 2,014,775 | ||
$26,076,196 | ||||
Network & Telecom – 0.4% | ||||
Verizon Communications, Inc., 0.75%, 3/22/2024 | $ | 1,714,000 | $1,721,764 | |
Oils – 1.1% | ||||
Marathon Petroleum Corp., 3.625%, 9/15/2024 | $ | 1,003,000 | $1,079,163 | |
Valero Energy Corp., 3.4%, 9/15/2026 | 3,386,000 | 3,677,758 | ||
$4,756,921 | ||||
Other Banks & Diversified Financials – 0.4% | ||||
Macquarie Group Ltd., 1.34% to 1/12/2026, FLR (SOFR + 1.069%) to 1/12/2027 (n) | $ | 1,784,000 | $1,780,746 | |
Personal Computers & Peripherals – 0.2% | ||||
Equifax, Inc., 2.6%, 12/15/2025 | $ | 832,000 | $885,107 | |
Pharmaceuticals – 0.7% | ||||
AbbVie, Inc., 3.45%, 3/15/2022 | $ | 3,000,000 | $3,042,277 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Real Estate - Retail – 2.1% | ||||
Brixmor Operating Partnership LP, REIT, 4.05%, 7/01/2030 | $ | 2,349,000 | $2,675,679 | |
Regency Centers Corp., 3.7%, 6/15/2030 | 3,000,000 | 3,387,321 | ||
VEREIT Operating Partnership LP, REIT, 3.4%, 1/15/2028 | 2,875,000 | 3,171,617 | ||
$9,234,617 | ||||
Retailers – 0.9% | ||||
Alibaba Group Holding Ltd., 2.8%, 6/06/2023 | $ | 1,605,000 | $1,664,719 | |
Kohl's Corp., 9.5%, 5/15/2025 | 1,634,000 | 2,094,328 | ||
$3,759,047 | ||||
Specialty Stores – 0.8% | ||||
Advance Auto Parts, 1.75%, 10/01/2027 | $ | 3,000,000 | $3,016,856 | |
Nordstrom, Inc., 2.3%, 4/08/2024 | 518,000 | 519,912 | ||
$3,536,768 | ||||
Supranational – 0.7% | ||||
Corporacion Andina de Fomento, 4.375%, 6/15/2022 | $ | 2,950,000 | $3,047,330 | |
Telecommunications - Wireless – 2.1% | ||||
American Tower Corp., REIT, 3.55%, 7/15/2027 | $ | 4,000,000 | $4,423,603 | |
Crown Castle International Corp., 3.65%, 9/01/2027 | 947,000 | 1,055,797 | ||
Crown Castle International Corp., 2.25%, 1/15/2031 | 1,000,000 | 1,002,779 | ||
T-Mobile USA, Inc., 3.875%, 4/15/2030 | 2,500,000 | 2,822,725 | ||
$9,304,904 | ||||
Tobacco – 0.5% | ||||
B.A.T. Capital Corp., 4.7%, 4/02/2027 | $ | 2,000,000 | $2,275,168 | |
Transportation - Services – 0.7% | ||||
Element Fleet Management Corp., 1.6%, 4/06/2024 (n) | $ | 2,990,000 | $3,041,050 | |
U.S. Government Agencies and Equivalents – 0.0% | ||||
Small Business Administration, 5.34%, 11/01/2021 | $ | 17,296 | $17,447 | |
Small Business Administration, 4.93%, 1/01/2024 | 35,081 | 36,538 | ||
Small Business Administration, 5.36%, 11/01/2025 | 96,327 | 103,514 | ||
Small Business Administration, 5.39%, 12/01/2025 | 57,164 | 61,069 | ||
$218,568 | ||||
U.S. Treasury Obligations – 31.8% | ||||
U.S. Treasury Notes, 1.75%, 11/30/2021 | $ | 3,010,000 | $3,026,753 | |
U.S. Treasury Notes, 2.625%, 12/15/2021 | 12,500,000 | 12,618,652 | ||
U.S. Treasury Notes, 1.75%, 2/28/2022 | 10,420,000 | 10,521,351 | ||
U.S. Treasury Notes, 1.75%, 5/15/2022 | 3,250,000 | 3,292,656 | ||
U.S. Treasury Notes, 2.125%, 12/31/2022 (f) | 14,635,000 | 15,047,181 | ||
U.S. Treasury Notes, 2.5%, 8/15/2023 | 12,710,000 | 13,304,788 | ||
U.S. Treasury Notes, 2.75%, 2/15/2024 | 8,385,000 | 8,911,683 | ||
U.S. Treasury Notes, 2.375%, 8/15/2024 | 9,230,000 | 9,792,093 | ||
U.S. Treasury Notes, 2%, 2/15/2025 | 9,900,000 | 10,433,672 | ||
U.S. Treasury Notes, 2%, 8/15/2025 | 5,225,000 | 5,526,458 | ||
U.S. Treasury Notes, 2.25%, 11/15/2025 | 5,086,000 | 5,443,609 | ||
U.S. Treasury Notes, 2%, 11/15/2026 | 6,254,000 | 6,659,289 | ||
U.S. Treasury Notes, 1.625%, 11/30/2026 | 7,750,000 | 8,103,594 | ||
U.S. Treasury Notes, 2.375%, 5/15/2027 | 4,075,000 | 4,433,950 | ||
U.S. Treasury Notes, 0.5%, 6/30/2027 | 6,500,000 | 6,371,777 | ||
U.S. Treasury Notes, 0.375%, 9/30/2027 | 5,672,000 | 5,497,852 | ||
U.S. Treasury Notes, 1.75%, 11/15/2029 | 4,500,000 | 4,728,340 | ||
U.S. Treasury Notes, 1.5%, 2/15/2030 | 5,043,500 | 5,188,698 | ||
$138,902,396 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Utilities - Electric Power – 3.3% | ||||
Enel Americas S.A., 4%, 10/25/2026 | $ | 252,000 | $275,625 | |
FirstEnergy Corp., 4.4%, 7/15/2027 | 2,827,000 | 3,150,048 | ||
ITC Holdings Corp., 2.95%, 5/14/2030 (n) | 3,000,000 | 3,207,573 | ||
Liberty Utilities Finance Co., 2.05%, 9/15/2030 (n) | 3,000,000 | 2,957,282 | ||
Pacific Gas & Electric Co., 2.1%, 8/01/2027 | 952,000 | 926,113 | ||
Pacific Gas & Electric Co., 3%, 6/15/2028 | 1,731,000 | 1,732,208 | ||
Southern California Edison, 6.65%, 4/01/2029 | 816,000 | 1,026,697 | ||
Transelec S.A., 4.625%, 7/26/2023 (n) | 927,000 | 991,899 | ||
Transelec S.A., 4.25%, 1/14/2025 (n) | 228,000 | 247,806 | ||
$14,515,251 | ||||
Total Bonds | $427,314,853 | |||
Investment Companies (h) – 2.1% | ||||
Money Market Funds – 2.1% | ||||
MFS Institutional Money Market Portfolio, 0.03% (v) | 9,142,532 | $9,142,532 | ||
Other Assets, Less Liabilities – 0.0% | 54,393 | |||
Net Assets – 100.0% | $436,511,778 |
(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 $9,142,532 and $427,314,853, 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 $74,490,643, representing 17.1% 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. | |||
(w) | When-issued security. |
The following abbreviations are used in this report and are defined: | |
AAC | Ambac Assurance Corp. |
AGM | Assured Guaranty Municipal |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
LIBOR | London Interbank Offered Rate |
NPFG | National Public Finance Guarantee Corp. |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
Derivative Contracts at 7/31/21 | ||||||
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Ultra Note 10 yr | Short | USD | 30 | $4,507,500 | September – 2021 | $(150,961) |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | $— | $139,120,964 | $— | $139,120,964 |
Non - U.S. Sovereign Debt | — | 10,750,866 | — | 10,750,866 |
Municipal Bonds | — | 26,076,196 | — | 26,076,196 |
U.S. Corporate Bonds | — | 153,773,036 | — | 153,773,036 |
Residential Mortgage-Backed Securities | — | 3,763,429 | — | 3,763,429 |
Commercial Mortgage-Backed Securities | — | 5,172,361 | — | 5,172,361 |
Asset-Backed Securities (including CDOs) | — | 1,406,166 | — | 1,406,166 |
Foreign Bonds | — | 87,251,835 | — | 87,251,835 |
Mutual Funds | 9,142,532 | — | — | 9,142,532 |
Total | $9,142,532 | $427,314,853 | $— | $436,457,385 |
Other Financial Instruments | ||||
Futures Contracts – Liabilities | $(150,961) | $— | $— | $(150,961) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $6,790,424 | $78,634,914 | $76,282,806 | $— | $— | $9,142,532 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $3,279 | $— |