Quarterly Report
February 29, 2020
MFS® Charter Income Trust
Portfolio of Investments
2/29/20 (unaudited)
The Portfolio of Investments is a
complete list of all securities owned by your fund. It is categorized by broad-based asset classes.
| Issuer | Shares/Par | Value ($) | ||
| Bonds – 121.4% | ||||
| Aerospace – 1.6% | ||||
| Bombardier, Inc., 7.5%, 3/15/2025 (n) | $ | 813,000 | $802,837 | |
| Bombardier, Inc., 7.875%, 4/15/2027 (n) | 525,000 | 521,063 | ||
| F-Brasile S.p.A./F-Brasile U.S. LLC, 7.375%, 8/15/2026 (n) | 525,000 | 557,812 | ||
| Huntington Ingalls Industries, Inc., 3.483%, 12/01/2027 | 140,000 | 151,409 | ||
| L3Harris Technologies, Inc., 3.85%, 6/15/2023 (n) | 213,000 | 228,075 | ||
| Lockheed Martin Corp., 3.55%, 1/15/2026 | 263,000 | 291,533 | ||
| Moog, Inc., 4.25%, 12/15/2027 (n) | 1,085,000 | 1,103,987 | ||
| TransDigm, Inc., 6.5%, 7/15/2024 | 1,180,000 | 1,206,550 | ||
| TransDigm, Inc., 6.375%, 6/15/2026 | 855,000 | 878,555 | ||
| TransDigm, Inc., 5.5%, 11/15/2027 (n) | 755,000 | 754,056 | ||
| $6,495,877 | ||||
| Apparel Manufacturers – 0.0% | ||||
| Tapestry, Inc., 4.125%, 7/15/2027 | $ | 132,000 | $139,222 | |
| Asset-Backed & Securitized – 6.5% | ||||
| AA Bond Co. Ltd., 6.269%, 7/02/2043 | GBP | 200,000 | $273,820 | |
| ALM Loan Funding, CLO, 2015-16A, “BR2”, FLR, 3.731% (LIBOR - 3mo. + 1.9%), 7/15/2027 (n) | $ | 1,120,000 | 1,119,103 | |
| Bayview Financial Revolving Mortgage Loan Trust, FLR, 3.259% (LIBOR - 1mo. + 1.6%), 12/28/2040 (n) | 275,708 | 281,085 | ||
| Benchmark Mortgage Trust, 2018-B8, “A5”, 4.231%, 1/15/2052 | 700,000 | 823,086 | ||
| Benchmark Mortgage Trust, 2019-B10, “A4”, 3.717%, 3/15/2062 | 909,508 | 1,037,921 | ||
| Benchmark Mortgage Trust, 2019-B12, “A5”, 3.115%, 8/15/2052 | 1,335,878 | 1,463,872 | ||
| Cantor Commercial Real Estate, 2019-CF3, “A4”, 3.006%, 1/15/2053 | 820,000 | 891,875 | ||
| Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 145,449 | 145,949 | ||
| Capital Automotive, 2020-1A, “B1”, REIT, 4.17%, 2/15/2050 (n) | 437,500 | 439,688 | ||
| Citigroup Commercial Mortgage Trust, 2019-C7, “A4”, 3.102%, 12/15/2072 | 358,885 | 392,891 | ||
| Commercial Mortgage Pass-Through Certificates, 2018-BNK10, “A5”, 3.688%, 2/15/2061 | 911,597 | 1,032,271 | ||
| Commercial Mortgage Pass-Through Certificates, 2019-BN24, “A3”, 2.96%, 11/15/2062 | 453,066 | 492,832 | ||
| Commercial Mortgage Pass-Through Certificates, 2019-BNK19, “A3”, 3.183%, 8/15/2061 (n) | 2,000,000 | 2,200,456 | ||
| Commercial Mortgage Trust, 2015-DC1, “A5”, 3.35%, 2/10/2048 | 500,000 | 538,605 | ||
| Crest Ltd., CDO, 0.001%, (0.001% cash or 7% PIK) 1/28/2040 (a)(p) | 3,146,211 | 61,518 | ||
| Dryden Senior Loan Fund, 2013-26A, “AR”, CLO, FLR, 2.731% (LIBOR - 3mo. + 0.9%), 4/15/2029 (n) | 592,000 | 588,448 | ||
| Flagship CLO, 2014-8A, “BRR”, FLR, 3.242% (LIBOR - 3mo. + 1.4%), 1/16/2026 (n) | 1,142,526 | 1,138,413 | ||
| Fort CRE LLC, 2018-1A, “A1”, FLR, 2.977% (LIBOR - 1mo. + 1.35%), 11/16/2035 (n) | 290,500 | 290,500 | ||
| GS Mortgage Securities Trust, 2019-GSA1, “A4”, 3.047%, 11/10/2052 | 2,000,000 | 2,166,093 | ||
| HarbourView CLO VII Ltd., 7RA, “B”, FLR, 3.519% (LIBOR - 3mo. + 1.7%), 7/18/2031 (n) | 940,000 | 921,726 | ||
| KKR Real Estate Financial Trust, Inc., 2018-FL1, “A”, FLR, 2.758% (LIBOR - 1mo. + 1.1%), 6/15/2036 (n) | 385,000 | 384,999 | ||
| Loomis, Sayles & Co., CLO, 2015-2A, “A1R”, FLR, 2.731% (LIBOR - 3mo. + 0.9%), 4/15/2028 (n) | 2,526,000 | 2,521,706 | ||
| Magnetite CLO Ltd., 2012-7A, “A1R2”, FLR, 2.631% (LIBOR - 3mo. + 0.8%), 1/15/2028 (n) | 693,000 | 687,248 | ||
| Morgan Stanley Capital I Trust, “2019-H7, ”A4“, 3.261%, 7/15/2052 | 1,217,392 | 1,344,890 | ||
| Octagon Investment Partners XVII Ltd., 2013-1A, ”BR2“, FLR, 3.194% (LIBOR - 3mo. + 1.4%), 1/25/2031 (n) | 1,050,000 | 1,027,950 | ||
| Securitized Term Auto Receivable Trust 2019-CRTA, ”B“, 2.453%, 3/25/2026 (n) | 352,017 | 354,766 | ||
| Securitized Term Auto Receivable Trust 2019-CRTA, ”C“, 2.849%, 3/25/2026 (n) | 452,100 | 455,612 | ||
| Wells Fargo Commercial Mortgage Trust, 2015-NXS1, ”A5“, 3.148%, 5/15/2048 | 768,632 | 821,546 | ||
| Wells Fargo Commercial Mortgage Trust, 2019-C53, “A4”, 3.04%, 10/15/2052 | 2,000,000 | 2,166,908 | ||
| $26,065,777 | ||||
| Automotive – 1.7% | ||||
| Adient Global Holdings Ltd., 4.875%, 8/15/2026 (n) | $ | 615,000 | $530,438 | |
| Allison Transmission, Inc., 5%, 10/01/2024 (n) | 2,001,000 | 2,023,430 | ||
| Allison Transmission, Inc., 4.75%, 10/01/2027 (n) | 220,000 | 225,500 | ||
| Allison Transmission, Inc., 5.875%, 6/01/2029 (n) | 365,000 | 395,569 | ||
| Dana, Inc., 5.375%, 11/15/2027 | 159,000 | 160,590 | ||
| Ford Motor Credit Co. LLC, 1.514%, 2/17/2023 | EUR | 100,000 | 111,006 | |
| General Motors Co., 6.75%, 4/01/2046 | $ | 123,000 | 144,225 | |
| IAA Spinco, Inc., 5.5%, 6/15/2027 (n) | 1,230,000 | 1,302,262 | ||
1
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Automotive – continued | ||||
| KAR Auction Services, Inc., 5.125%, 6/01/2025 (n) | $ | 635,000 | $652,399 | |
| Lear Corp., 3.8%, 9/15/2027 | 162,000 | 171,808 | ||
| Panther BR Aggregator 2 LP/Panther Finance Co., Inc., 8.5%, 5/15/2027 (n) | 905,000 | 919,751 | ||
| Volkswagen Financial Services AG, 1.5%, 10/01/2024 | EUR | 165,000 | 188,655 | |
| Volkswagen International Finance N.V., 1.625%, 2/10/2024 | GBP | 100,000 | 127,455 | |
| $6,953,088 | ||||
| Broadcasting – 1.9% | ||||
| Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/2027 (n) | $ | 210,000 | $169,397 | |
| Discovery, Inc., 4.125%, 5/15/2029 | 78,000 | 86,252 | ||
| iHeartCommunications, Inc., 6.375%, 5/01/2026 (n) | 340,000 | 365,398 | ||
| iHeartCommunications, Inc., 8.375%, 5/01/2027 | 365,000 | 396,372 | ||
| iHeartCommunications, Inc., 5.25%, 8/15/2027 (n) | 165,000 | 170,165 | ||
| Lions Gate Capital Holding Co., 5.875%, 11/01/2024 | 590,000 | 570,648 | ||
| MMS USA Financing, Inc., 1.75%, 6/13/2031 | EUR | 400,000 | 465,414 | |
| National CineMedia LLC, 5.875%, 4/15/2028 (n) | $ | 445,000 | 454,699 | |
| Netflix, Inc., 5.875%, 2/15/2025 | 1,025,000 | 1,142,875 | ||
| Netflix, Inc., 5.875%, 11/15/2028 | 375,000 | 421,612 | ||
| Nexstar Escrow Corp., 5.625%, 7/15/2027 (n) | 765,000 | 791,813 | ||
| Prosus N.V., 3.68%, 1/21/2030 (n) | 413,000 | 428,021 | ||
| Terrier Media Buyer, Inc., 8.875%, 12/15/2027 (z) | 160,000 | 158,800 | ||
| ViacomCBS, Inc., 4.375%, 3/15/2043 | 140,000 | 150,346 | ||
| WMG Acquisition Corp., 5%, 8/01/2023 (n) | 210,000 | 213,675 | ||
| WMG Acquisition Corp., 4.125%, 11/01/2024 | EUR | 418,500 | 475,863 | |
| WMG Acquisition Corp., 4.875%, 11/01/2024 (n) | $ | 995,000 | 1,022,362 | |
| WMG Acquisition Corp., 5.5%, 4/15/2026 (n) | 225,000 | 235,125 | ||
| $7,718,837 | ||||
| Brokerage & Asset Managers – 0.4% | ||||
| Banco BTG Pactual S.A. (Cayman Islands), 4.5%, 1/10/2025 (n) | $ | 300,000 | $309,450 | |
| E*TRADE Financial Corp., 2.95%, 8/24/2022 | 145,000 | 150,001 | ||
| Euroclear Investments S.A., 2.625%, 4/11/2048 | EUR | 100,000 | 118,371 | |
| LPL Holdings, Inc., 4.625%, 11/15/2027 (n) | $ | 875,000 | 885,937 | |
| Vivion Investments, 3%, 8/08/2024 | EUR | 200,000 | 224,102 | |
| $1,687,861 | ||||
| Building – 3.0% | ||||
| ABC Supply Co., Inc., 5.875%, 5/15/2026 (n) | $ | 1,365,000 | $1,413,321 | |
| ABC Supply Co., Inc., 4%, 1/15/2028 (n) | 990,000 | 966,487 | ||
| Beacon Escrow Corp., 4.875%, 11/01/2025 (n) | 662,000 | 638,631 | ||
| Beacon Roofing Supply, Inc., 4.5%, 11/15/2026 (n) | 300,000 | 297,750 | ||
| Core & Main LP, 8.625%, (8.625% cash or 9.375% PIK) 9/15/2024 (n)(p) | 305,000 | 316,438 | ||
| Core & Main LP, 6.125%, 8/15/2025 (n) | 525,000 | 531,615 | ||
| Cornerstone Building Brands, Inc., 8%, 4/15/2026 (n) | 370,000 | 366,189 | ||
| CRH America Finance, Inc., 4.5%, 4/04/2048 (n) | 205,000 | 248,892 | ||
| HD Supply, Inc., 5.375%, 10/15/2026 (n) | 855,000 | 894,544 | ||
| Imerys S.A., 1.5%, 1/15/2027 | EUR | 100,000 | 114,307 | |
| James Hardie International Finance Ltd., 4.75%, 1/15/2025 (n) | $ | 205,000 | 211,150 | |
| James Hardie International Finance Ltd., 5%, 1/15/2028 (n) | 730,000 | 761,025 | ||
| New Enterprise Stone & Lime Co., Inc., 10.125%, 4/01/2022 (n) | 380,000 | 396,625 | ||
| New Enterprise Stone & Lime Co., Inc., 6.25%, 3/15/2026 (n) | 876,000 | 919,191 | ||
| Patrick Industries, Inc., 7.5%, 10/15/2027 (n) | 340,000 | 367,200 | ||
| PriSo Acquisition Corp., 9%, 5/15/2023 (n) | 637,000 | 621,075 | ||
| SRS Distribution, Inc., 8.25%, 7/01/2026 (n) | 210,000 | 220,500 | ||
| Standard Industries, Inc., 5.375%, 11/15/2024 (n) | 975,000 | 987,285 | ||
| Standard Industries, Inc., 6%, 10/15/2025 (n) | 505,000 | 527,725 | ||
| Standard Industries, Inc., 2.25%, 11/21/2026 (n) | EUR | 370,000 | 411,028 | |
| Summit Materials LLC/Summit Materials Finance Co., 6.125%, 7/15/2023 | $ | 855,000 | 861,412 | |
| $12,072,390 | ||||
2
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Business Services – 2.0% | ||||
| Ascend Learning LLC, 6.875%, 8/01/2025 (n) | $ | 535,000 | $551,050 | |
| CDK Global, Inc., 4.875%, 6/01/2027 | 870,000 | 896,100 | ||
| CDK Global, Inc., 5.25%, 5/15/2029 (n) | 265,000 | 282,556 | ||
| Euronet Worldwide, Inc., 1.375%, 5/22/2026 | EUR | 350,000 | 393,343 | |
| Fidelity National Information Services, Inc., 3.875%, 6/05/2024 | $ | 146,000 | 158,765 | |
| Fidelity National Information Services, Inc., 2.602%, 5/21/2025 | GBP | 100,000 | 135,754 | |
| Fidelity National Information Services, Inc., 2.25%, 12/03/2029 | 100,000 | 132,008 | ||
| Fidelity National Information Services, Inc., 3.36%, 5/21/2031 | 100,000 | 144,836 | ||
| Fiserv, Inc., 4.4%, 7/01/2049 | $ | 95,000 | 113,671 | |
| Iron Mountain, Inc., REIT, 4.875%, 9/15/2027 (n) | 425,000 | 430,312 | ||
| MSCI, Inc., 5.75%, 8/15/2025 (n) | 410,000 | 424,350 | ||
| MSCI, Inc., 4.75%, 8/01/2026 (n) | 1,835,000 | 1,905,574 | ||
| MSCI, Inc., 5.375%, 5/15/2027 (n) | 10,000 | 10,700 | ||
| Refinitiv U.S. Holdings, Inc., 8.25%, 11/15/2026 (n) | 280,000 | 308,280 | ||
| Tencent Holdings Ltd., 3.8%, 2/11/2025 | 1,171,000 | 1,277,193 | ||
| Verscend Escrow Corp., 9.75%, 8/15/2026 (n) | 795,000 | 864,523 | ||
| $8,029,015 | ||||
| Cable TV – 4.8% | ||||
| Altice Financing S.A., 7.5%, 5/15/2026 (n) | $ | 270,000 | $284,850 | |
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 1/15/2024 | 90,000 | 91,737 | ||
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025 (n) | 560,000 | 575,456 | ||
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 2/15/2026 (n) | 1,770,000 | 1,840,269 | ||
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027 (n) | 1,150,000 | 1,195,770 | ||
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, 3/01/2030 (n) | 875,000 | 899,609 | ||
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | 135,000 | 178,311 | ||
| Comcast Corp., 1.5%, 2/20/2029 | GBP | 100,000 | 127,871 | |
| Comcast Corp., 0.75%, 2/20/2032 | EUR | 150,000 | 167,238 | |
| Comcast Corp., 4.7%, 10/15/2048 | $ | 296,000 | 389,159 | |
| CSC Holdings LLC, 5.5%, 5/15/2026 (n) | 705,000 | 729,925 | ||
| CSC Holdings LLC, 5.5%, 4/15/2027 (n) | 2,265,000 | 2,383,913 | ||
| DISH DBS Corp., 5.875%, 11/15/2024 | 265,000 | 271,819 | ||
| DISH DBS Corp., 7.75%, 7/01/2026 | 390,000 | 419,078 | ||
| Eutelsat S.A., 2.25%, 7/13/2027 | EUR | 300,000 | 354,644 | |
| Globo Comunicacoes e Participacoes S.A., 4.875%, 1/22/2030 (n) | $ | 200,000 | 200,000 | |
| Intelsat Connect Finance, 9.5%, 2/15/2023 (n) | 175,000 | 103,250 | ||
| Intelsat Jackson Holdings S.A., 5.5%, 8/01/2023 | 495,000 | 425,700 | ||
| Intelsat Jackson Holdings S.A., 9.75%, 7/15/2025 (n) | 440,000 | 388,025 | ||
| LCPR Senior Secured Financing DAC, 6.75%, 10/15/2027 (n) | 570,000 | 599,412 | ||
| SES Global Americas Holdings GP, 5.3%, 3/25/2044 (n) | 144,000 | 164,714 | ||
| SES S.A., 1.625%, 3/22/2026 | EUR | 100,000 | 116,208 | |
| Sirius XM Holdings, Inc., 4.625%, 7/15/2024 (n) | $ | 1,300,000 | 1,340,235 | |
| Sirius XM Holdings, Inc., 5.5%, 7/01/2029 (n) | 255,000 | 273,411 | ||
| Sirius XM Radio, Inc., 4.625%, 5/15/2023 (n) | 750,000 | 755,625 | ||
| Sirius XM Radio, Inc., 5.375%, 4/15/2025 (n) | 705,000 | 723,210 | ||
| Telenet Finance Luxembourg S.A., 5.5%, 3/01/2028 (n) | 1,000,000 | 1,055,000 | ||
| Telesat Holdings, Inc., 6.5%, 10/15/2027 (n) | 550,000 | 569,250 | ||
| Time Warner Cable, Inc., 4.5%, 9/15/2042 | 119,000 | 123,786 | ||
| Videotron Ltd., 5.375%, 6/15/2024 (n) | 350,000 | 373,695 | ||
| Videotron Ltd., 5.125%, 4/15/2027 (n) | 1,515,000 | 1,588,788 | ||
| Ziggo Bond Finance B.V., 5.125%, 2/28/2030 (n) | 715,000 | 723,795 | ||
| $19,433,753 | ||||
| Chemicals – 0.9% | ||||
| Axalta Coating Systems Co., 4.875%, 8/15/2024 (n) | $ | 790,000 | $800,404 | |
| Consolidated Energy Finance S.A., 6.875%, 6/15/2025 (n) | 610,000 | 593,530 | ||
| Element Solutions, Inc., 5.875%, 12/01/2025 (n) | 270,000 | 271,355 | ||
| Sasol Financing (USA) LLC, 6.5%, 9/27/2028 | 200,000 | 220,194 | ||
| Sherwin-Williams Co., 3.8%, 8/15/2049 | 127,000 | 138,974 | ||
3
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Chemicals – continued | ||||
| SPCM S.A., 4.875%, 9/15/2025 (n) | $ | 910,000 | $932,750 | |
| Starfruit Finance Co./Starfruit U.S. Holding Co. LLC, 8%, 10/01/2026 (n) | 375,000 | 372,075 | ||
| Symrise AG, 1.25%, 11/29/2025 | EUR | 140,000 | 162,369 | |
| $3,491,651 | ||||
| Computer Software – 0.8% | ||||
| Dassault Systemes S.A., 0.125%, 9/16/2026 | EUR | 100,000 | $110,947 | |
| Dell International LLC/EMC Corp., 4.9%, 10/01/2026 (n) | $ | 421,000 | 472,341 | |
| Microsoft Corp., 4.1%, 2/06/2037 | 436,000 | 540,791 | ||
| PTC, Inc., 3.625%, 2/15/2025 (n) | 605,000 | 606,512 | ||
| PTC, Inc., 4%, 2/15/2028 (n) | 105,000 | 104,738 | ||
| VeriSign, Inc., 5.25%, 4/01/2025 | 1,195,000 | 1,295,380 | ||
| VeriSign, Inc., 4.75%, 7/15/2027 | 245,000 | 255,212 | ||
| $3,385,921 | ||||
| Computer Software - Systems – 1.4% | ||||
| Apple, Inc., 4.5%, 2/23/2036 | $ | 217,000 | $276,329 | |
| Apple, Inc., 4.25%, 2/09/2047 | 123,000 | 156,186 | ||
| Fair Isaac Corp., 5.25%, 5/15/2026 (n) | 1,620,000 | 1,794,150 | ||
| Fair Isaac Corp., 4%, 6/15/2028 (n) | 151,000 | 154,775 | ||
| JDA Software Group, Inc., 7.375%, 10/15/2024 (n) | 625,000 | 646,356 | ||
| Sabre GLBL, Inc., 5.375%, 4/15/2023 (n) | 1,270,000 | 1,270,000 | ||
| SS&C Technologies Holdings, Inc., 5.5%, 9/30/2027 (n) | 1,355,000 | 1,418,956 | ||
| $5,716,752 | ||||
| Conglomerates – 2.1% | ||||
| Amsted Industries Co., 5.625%, 7/01/2027 (n) | $ | 730,000 | $773,800 | |
| BWX Technologies, Inc., 5.375%, 7/15/2026 (n) | 985,000 | 1,031,103 | ||
| CFX Escrow Corp., 6.375%, 2/15/2026 (n) | 485,000 | 514,100 | ||
| EnerSys, 5%, 4/30/2023 (n) | 835,000 | 873,969 | ||
| EnerSys, 4.375%, 12/15/2027 (n) | 155,000 | 156,744 | ||
| Gates Global LLC, 6.25%, 1/15/2026 (n) | 845,000 | 849,225 | ||
| General Electric Co., 0.875%, 5/17/2025 | EUR | 200,000 | 226,366 | |
| Granite Holdings U.S. Acquisition Co., 11%, 10/01/2027 (n) | $ | 170,000 | 176,800 | |
| Griffon Corp., 5.75%, 3/01/2028 (n) | 420,000 | 420,155 | ||
| Illinois Tool Works, Inc., 1%, 6/05/2031 | EUR | 120,000 | 141,386 | |
| MTS Systems Corp., 5.75%, 8/15/2027 (n) | $ | 500,000 | 508,750 | |
| Roper Technologies, Inc., 4.2%, 9/15/2028 | 152,000 | 175,130 | ||
| Stevens Holding Co., Inc., 6.125%, 10/01/2026 (n) | 550,000 | 596,252 | ||
| TriMas Corp., 4.875%, 10/15/2025 (n) | 1,620,000 | 1,648,350 | ||
| Westinghouse Air Brake Technologies Corp., 4.95%, 9/15/2028 | 140,000 | 160,602 | ||
| $8,252,732 | ||||
| Construction – 0.8% | ||||
| Mattamy Group Corp., 6.5%, 10/01/2025 (n) | $ | 730,000 | $783,195 | |
| Mattamy Group Corp., 5.25%, 12/15/2027 (n) | 155,000 | 161,588 | ||
| Mattamy Group Corp., 4.625%, 3/01/2030 (n) | 520,000 | 504,488 | ||
| Shea Homes LP/Shea Homes Funding Corp., 4.75%, 2/15/2028 (n) | 725,000 | 725,377 | ||
| Toll Brothers Finance Corp., 4.875%, 11/15/2025 | 485,000 | 531,075 | ||
| Toll Brothers Finance Corp., 4.35%, 2/15/2028 | 470,000 | 496,029 | ||
| $3,201,752 | ||||
| Consumer Products – 1.0% | ||||
| Coty, Inc., 6.5%, 4/15/2026 (n) | $ | 460,000 | $472,650 | |
| Energizer Holdings, Inc., 6.375%, 7/15/2026 (n) | 880,000 | 912,824 | ||
| LVMH Moet Hennessy Louis Vuitton SE, 0.125%, 2/11/2028 | EUR | 200,000 | 218,712 | |
| LVMH Moet Hennessy Louis Vuitton SE, 0.375%, 2/11/2031 | 200,000 | 218,228 | ||
| Mattel, Inc., 6.75%, 12/31/2025 (n) | $ | 340,000 | 357,323 | |
| Mattel, Inc., 5.875%, 12/15/2027 (n) | 594,000 | 620,730 | ||
4
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Consumer Products – continued | ||||
| Prestige Brands, Inc., 5.125%, 1/15/2028 (n) | $ | 260,000 | $271,700 | |
| Reckitt Benckiser Treasury Services PLC, 3.625%, 9/21/2023 (n) | 250,000 | 267,733 | ||
| Reckitt Benckiser Treasury Services PLC, 3%, 6/26/2027 (n) | 272,000 | 290,456 | ||
| Whirlpool EMEA Finance S.à r.l., 0.5%, 2/20/2028 | EUR | 200,000 | 219,991 | |
| $3,850,347 | ||||
| Consumer Services – 2.0% | ||||
| Allied Universal Holdco LLC, 9.75%, 7/15/2027 (n) | $ | 670,000 | $712,009 | |
| Booking Holdings, Inc., 3.55%, 3/15/2028 | 141,000 | 154,284 | ||
| Carriage Services, Inc., 6.625%, 6/01/2026 (n) | 420,000 | 432,764 | ||
| Cimpress N.V., 7%, 6/15/2026 (n) | 920,000 | 961,980 | ||
| Experian Finance PLC, 4.25%, 2/01/2029 (n) | 296,000 | 346,834 | ||
| Frontdoor, Inc., 6.75%, 8/15/2026 (n) | 525,000 | 574,510 | ||
| Garda World Security Corp., 4.625%, 2/15/2027 (n) | 435,000 | 429,562 | ||
| GW B-CR Security Corp., 9.5%, 11/01/2027 (n) | 312,000 | 329,940 | ||
| JD.com, Inc., 3.375%, 1/14/2030 | 211,000 | 219,773 | ||
| ManpowerGroup, Inc., 1.75%, 6/22/2026 | EUR | 150,000 | 177,977 | |
| Match Group, Inc., 6.375%, 6/01/2024 | $ | 1,010,000 | 1,044,209 | |
| Match Group, Inc., 5%, 12/15/2027 (n) | 555,000 | 574,425 | ||
| Photo Holdings Merger Sub, Inc., 8.5%, 10/01/2026 (n) | 105,000 | 99,487 | ||
| Realogy Group LLC, 9.375%, 4/01/2027 (n) | 740,000 | 758,500 | ||
| ServiceMaster Co. LLC, 5.125%, 11/15/2024 (n) | 555,000 | 572,344 | ||
| Toll Road Investors Partnership II LP, Capital Appreciation, 0%, 2/15/2043 (n) | 2,000,000 | 685,455 | ||
| $8,074,053 | ||||
| Containers – 2.0% | ||||
| ARD Finance S.A., 5%, (5% cash or 5.75% PIK) 6/30/2027 (p) | EUR | 200,000 | $220,106 | |
| ARD Finance S.A., 6.5%, (6.5% cash or 7.25% PIK) 6/30/2027 (n)(p) | $ | 745,000 | 749,693 | |
| Crown Americas LLC/Crown Americas Capital Corp. IV, 4.5%, 1/15/2023 | 875,000 | 887,250 | ||
| Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/2026 | 910,000 | 936,668 | ||
| Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 2/01/2026 | 910,000 | 938,437 | ||
| DS Smith PLC, 0.875%, 9/12/2026 | EUR | 150,000 | 165,855 | |
| Flex Acquisition Co., Inc., 6.875%, 1/15/2025 (n) | $ | 595,000 | 583,112 | |
| Reynolds Group, 5.125%, 7/15/2023 (n) | 450,000 | 454,500 | ||
| Reynolds Group, 7%, 7/15/2024 (n) | 365,000 | 368,424 | ||
| San Miguel Industrias PET S.A., 4.5%, 9/18/2022 (n) | 337,000 | 341,886 | ||
| Silgan Holdings, Inc., 4.75%, 3/15/2025 | 855,000 | 864,978 | ||
| Silgan Holdings, Inc., 4.125%, 2/01/2028 (n) | 665,000 | 669,156 | ||
| Trivium Packaging Finance B.V., 3.75%, 8/15/2026 | EUR | 265,000 | 302,045 | |
| Trivium Packaging Finance B.V., 8.5%, 8/15/2027 (n) | $ | 600,000 | 634,752 | |
| $8,116,862 | ||||
| Electrical Equipment – 0.3% | ||||
| Arrow Electronics, Inc., 3.25%, 9/08/2024 | $ | 400,000 | $413,451 | |
| CommScope Technologies LLC, 6%, 6/15/2025 (n) | 495,000 | 464,062 | ||
| CommScope Technologies LLC, 5%, 3/15/2027 (n) | 385,000 | 348,387 | ||
| $1,225,900 | ||||
| Electronics – 1.1% | ||||
| Broadcom Corp./Broadcom Cayman Finance Ltd., 3.875%, 1/15/2027 | $ | 355,000 | $371,035 | |
| Entegris, Inc., 4.625%, 2/10/2026 (n) | 1,060,000 | 1,093,125 | ||
| Qorvo, Inc., 5.5%, 7/15/2026 | 560,000 | 578,480 | ||
| Sensata Technologies B.V., 5.625%, 11/01/2024 (n) | 700,000 | 754,425 | ||
| Sensata Technologies B.V., 5%, 10/01/2025 (n) | 1,475,000 | 1,552,585 | ||
| Sensata Technologies, Inc., 4.375%, 2/15/2030 (n) | 210,000 | 211,837 | ||
| $4,561,487 | ||||
5
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Emerging Market Quasi-Sovereign – 5.3% | ||||
| Aeropuerto Internacional de Tocumen S.A. (Republic of Panama), 6%, 11/18/2048 (n) | $ | 1,137,000 | $1,443,990 | |
| Banco de Reservas de la Republica Dominicana, 7%, 2/01/2023 | 1,224,000 | 1,286,742 | ||
| Banco del Estado de Chile, 2.704%, 1/09/2025 (n) | 311,000 | 314,421 | ||
| CCBL (Cayman) 1 Corp. Ltd., 3.5%, 5/16/2024 | 379,000 | 400,724 | ||
| Centrais Eletricas Brasileiras S.A., 3.625%, 2/04/2025 (n) | 207,000 | 205,965 | ||
| CEZ A.S. (Czech Republic), 0.875%, 12/02/2026 | EUR | 250,000 | 281,386 | |
| China Construction Bank Corp., 4.25% to 2/27/2024, FLR (CMT - 5yr. + 1.88%) to 2/27/2029 | $ | 960,000 | 1,028,690 | |
| Consorcio Transmantaro S.A. (Republic of Peru), 4.7%, 4/16/2034 (n) | 200,000 | 227,752 | ||
| Empresa de Transmision Electrica S.A. (Republic of Panama), 5.125%, 5/02/2049 (n) | 483,000 | 573,476 | ||
| EQUATE Petrochemical B.V. (State of Kuwait), 4.25%, 11/03/2026 | 1,022,000 | 1,101,428 | ||
| Eskom Holdings SOC Ltd. (Republic of South Africa), 6.35%, 8/10/2028 | 624,000 | 661,440 | ||
| Industrial and Commercial Bank of China, 4.875%, 9/21/2025 | 359,000 | 400,841 | ||
| KazMunayGas National Co., JSC (Republic of Kazakhstan), 5.375%, 4/24/2030 (n) | 500,000 | 581,100 | ||
| KazTransGas JSC (Republic of Kazakhstan), 4.375%, 9/26/2027 | 750,000 | 799,962 | ||
| MDGH - GMTN B.V. (United Arab Emirates), 2.5%, 11/07/2024 (n) | 553,000 | 562,029 | ||
| MDGH - GMTN B.V. (United Arab Emirates), 2.5%, 11/07/2024 | 200,000 | 203,266 | ||
| MDGH - GMTN B.V. (United Arab Emirates), 2.875%, 11/07/2029 (n) | 1,086,000 | 1,116,136 | ||
| NAK Naftogaz Ukraine via Standard Bank London Holdings PLC, 7.625%, 11/08/2026 (n) | 1,316,000 | 1,382,105 | ||
| Office Cherifien des Phosphates S.A. (Republic of Madagascar), 6.875%, 4/25/2044 | 200,000 | 262,936 | ||
| Petrobras Global Finance B.V. (Federative Republic of Brazil), 5.75%, 2/01/2029 | 1,007,000 | 1,135,392 | ||
| Petrobras Global Finance B.V. (Federative Republic of Brazil), 6.9%, 3/19/2049 | 916,000 | 1,096,910 | ||
| Petrobras International Finance Co. (Federative Republic of Brazil), 6.75%, 1/27/2041 | 492,000 | 589,086 | ||
| Petroleos del Peru S.A., 4.75%, 6/19/2032 (n) | 1,062,000 | 1,188,702 | ||
| Petroleos Mexicanos, 6.49%, 1/23/2027 (n) | 904,000 | 946,940 | ||
| Power Finance Corp. Ltd. (Republic of India), 3.75%, 12/06/2027 | 200,000 | 204,389 | ||
| PT Indonesia Asahan Aluminium (Persero), 6.757%, 11/15/2048 (n) | 944,000 | 1,240,593 | ||
| PT Pertamina (Persero) (Republic of Indonesia), 3.65%, 7/30/2029 | 250,000 | 259,430 | ||
| Saudi Arabian Oil Co., 4.25%, 4/16/2039 (n) | 300,000 | 332,427 | ||
| Southern Gas Corridor CJSC (Republic of Azerbaijan), 6.875%, 3/24/2026 | 1,315,000 | 1,569,342 | ||
| $21,397,600 | ||||
| Emerging Market Sovereign – 11.0% | ||||
| Arab Republic of Egypt, 6.375%, 4/11/2031 (n) | EUR | 989,000 | $1,134,114 | |
| Arab Republic of Egypt, 7.052%, 1/15/2032 (n) | $ | 320,000 | 324,959 | |
| Arab Republic of Egypt, 8.5%, 1/31/2047 | 1,395,000 | 1,492,817 | ||
| Dominican Republic, 5.95%, 1/25/2027 | 489,000 | 534,849 | ||
| Dominican Republic, 4.5%, 1/30/2030 (n) | 560,000 | 562,106 | ||
| Dominican Republic, 5.875%, 1/30/2060 (n) | 1,155,000 | 1,146,338 | ||
| Federal Republic of Nigeria, 7.625%, 11/21/2025 (n) | 313,000 | 342,317 | ||
| Federal Republic of Nigeria, 8.747%, 1/21/2031 (n) | 798,000 | 864,592 | ||
| Federative Republic of Brazil, 4.5%, 5/30/2029 | 400,000 | 435,404 | ||
| Government of Jamaica, 7.875%, 7/28/2045 | 479,000 | 650,247 | ||
| Government of Ukraine, 7.75%, 9/01/2024 | 1,047,000 | 1,134,464 | ||
| Government of Ukraine, 7.75%, 9/01/2025 | 900,000 | 979,668 | ||
| Government of Ukraine, 7.75%, 9/01/2027 | 699,000 | 763,487 | ||
| Hellenic Republic (Republic of Greece), 3.875%, 3/12/2029 | EUR | 7,108,000 | 9,513,790 | |
| Hellenic Republic (Republic of Greece), 1.875%, 2/04/2035 | 666,000 | 736,567 | ||
| Kingdom of Saudi Arabia, 4.375%, 4/16/2029 (n) | $ | 934,000 | 1,063,787 | |
| Oriental Republic of Uruguay, 4.375%, 1/23/2031 | 500,000 | 574,505 | ||
| Republic of Angola, 9.375%, 5/08/2048 | 454,000 | 461,667 | ||
| Republic of Argentina, 5.875%, 1/11/2028 | 1,000,000 | 402,510 | ||
| Republic of Argentina, 5.25%, 12/31/2038 | 300,000 | 120,750 | ||
| Republic of Colombia, 3%, 1/30/2030 | 1,340,000 | 1,352,073 | ||
| Republic of Cote d'Ivoire, 5.25%, 3/22/2030 | EUR | 929,000 | 1,044,799 | |
| Republic of Croatia, 1.125%, 6/19/2029 | 1,925,000 | 2,198,896 | ||
| Republic of Ghana, 8.125%, 3/26/2032 (n) | $ | 610,000 | 619,150 | |
| Republic of Guatemala, 6.125%, 6/01/2050 (n) | 777,000 | 934,343 | ||
| Republic of Hungary, 7.625%, 3/29/2041 | 470,000 | 803,657 | ||
| Republic of Indonesia, 3.5%, 1/11/2028 | 600,000 | 632,645 | ||
6
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Emerging Market Sovereign – continued | ||||
| Republic of Indonesia, 2.85%, 2/14/2030 | $ | 439,000 | $441,905 | |
| Republic of Indonesia, 7.5%, 6/15/2035 | IDR | 6,000,000,000 | 422,373 | |
| Republic of Kazakhstan, 1.5%, 9/30/2034 (n) | EUR | 281,000 | 317,190 | |
| Republic of Kenya, 8%, 5/22/2032 (n) | $ | 1,028,000 | 1,111,410 | |
| Republic of Paraguay, 6.1%, 8/11/2044 (n) | 300,000 | 385,503 | ||
| Republic of Paraguay, 5.4%, 3/30/2050 (n) | 1,100,000 | 1,322,761 | ||
| Republic of Romania, 2%, 12/08/2026 (n) | EUR | 989,000 | 1,178,059 | |
| Republic of South Africa, 4.85%, 9/30/2029 | $ | 396,000 | 397,337 | |
| Republic of Sri Lanka, 7.55%, 3/28/2030 (n) | 446,000 | 415,895 | ||
| Republic of Turkey, 5.6%, 11/14/2024 | 841,000 | 837,846 | ||
| Republic of Turkey, 4.25%, 3/13/2025 | 695,000 | 647,825 | ||
| Republic of Turkey, 4.875%, 10/09/2026 | 516,000 | 483,079 | ||
| Russian Federation, 4.75%, 5/27/2026 | 800,000 | 899,026 | ||
| Russian Federation, 4.375%, 3/21/2029 | 1,000,000 | 1,110,510 | ||
| Russian Federation, 5.1%, 3/28/2035 (n) | 600,000 | 721,494 | ||
| State of Qatar, 4%, 3/14/2029 (n) | 683,000 | 772,044 | ||
| State of Qatar, 4.817%, 3/14/2049 (n) | 483,000 | 616,103 | ||
| United Mexican States, 4.5%, 4/22/2029 | 800,000 | 904,400 | ||
| United Mexican States, 8.5%, 5/31/2029 | MXN | 8,200,000 | 466,058 | |
| $44,275,319 | ||||
| Energy - Independent – 1.7% | ||||
| Afren PLC, 10.25%, 4/08/2019 (a)(d)(z) | $ | 451,812 | $371 | |
| Callon Petroleum Co., 6.375%, 7/01/2026 | 485,000 | 377,088 | ||
| Carrizo Oil & Gas, Inc., 8.25%, 7/15/2025 | 182,400 | 162,336 | ||
| CrownRock LP/CrownRock Finance, Inc., 5.625%, 10/15/2025 (n) | 720,000 | 693,000 | ||
| Highpoint Operating Corp., 7%, 10/15/2022 | 180,000 | 156,600 | ||
| Hilcorp Energy I/Hilcorp Finance Co., 5.75%, 10/01/2025 (n) | 131,300 | 105,040 | ||
| Jagged Peak Energy LLC, 5.875%, 5/01/2026 | 490,000 | 488,628 | ||
| Laredo Petroleum, Inc., 10.125%, 1/15/2028 | 130,000 | 93,259 | ||
| Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6%, 8/01/2026 (n) | 505,000 | 505,000 | ||
| Matador Resources Co., 5.875%, 9/15/2026 | 310,000 | 277,450 | ||
| Medco Bell Pte. Ltd., 6.375%, 1/30/2027 (n) | 729,000 | 665,770 | ||
| Parsley Energy LLC/Parsley Finance Corp., 5.625%, 10/15/2027 (n) | 525,000 | 520,406 | ||
| QEP Resources, Inc., 5.625%, 3/01/2026 | 336,300 | 269,040 | ||
| Sanchez Energy Corp., 6.125%, 1/15/2023 (a)(d) | 680,000 | 20,400 | ||
| SM Energy Co., 6.75%, 9/15/2026 | 560,000 | 442,400 | ||
| Southwestern Energy Co., 6.2%, 1/23/2025 | 196,200 | 145,188 | ||
| Southwestern Energy Co., 7.5%, 4/01/2026 | 157,600 | 119,776 | ||
| Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 | 987,000 | 1,036,178 | ||
| WPX Energy, Inc., 5.75%, 6/01/2026 | 735,000 | 729,267 | ||
| $6,807,197 | ||||
| Energy - Integrated – 0.3% | ||||
| BP Capital Markets America, Inc., 3.41%, 2/11/2026 | $ | 487,000 | $529,944 | |
| Eni S.p.A., 4.25%, 5/09/2029 (n) | 200,000 | 229,241 | ||
| OMV AG, 1%, 7/03/2034 | EUR | 70,000 | 80,036 | |
| Shell International Finance B.V., 3.75%, 9/12/2046 | $ | 236,000 | 269,494 | |
| $1,108,715 | ||||
| Entertainment – 0.8% | ||||
| Live Nation Entertainment, Inc., 4.875%, 11/01/2024 (n) | $ | 260,000 | $265,200 | |
| Live Nation Entertainment, Inc., 5.625%, 3/15/2026 (n) | 1,460,000 | 1,500,150 | ||
| Live Nation Entertainment, Inc., 4.75%, 10/15/2027 (n) | 175,000 | 175,875 | ||
| NCL Corp. Ltd., 3.625%, 12/15/2024 (n) | 160,000 | 148,226 | ||
| Royal Caribbean Cruises Ltd., 3.7%, 3/15/2028 | 130,000 | 133,539 | ||
| Six Flags Entertainment Corp., 4.875%, 7/31/2024 (n) | 840,000 | 829,080 | ||
| $3,052,070 | ||||
7
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Financial Institutions – 2.0% | ||||
| AerCap Ireland Capital DAC, 3.65%, 7/21/2027 | $ | 212,000 | $218,651 | |
| Arrow Global Finance PLC, 5.125%, 9/15/2024 | GBP | 420,000 | 541,249 | |
| Avation Capital S.A., 6.5%, 5/15/2021 (n) | $ | 350,000 | 347,970 | |
| Avolon Holdings Funding Ltd., 5.125%, 10/01/2023 | 405,000 | 434,087 | ||
| Avolon Holdings Funding Ltd., 3.95%, 7/01/2024 (n) | 381,000 | 395,003 | ||
| Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 134,000 | 142,976 | ||
| Credit Acceptance Corp., 5.125%, 12/31/2024 (n) | 540,000 | 556,200 | ||
| GE Capital International Funding Co., 3.373%, 11/15/2025 | 382,000 | 407,293 | ||
| Global Aircraft Leasing Co. Ltd., 6.5%, (6.5% cash or 7.25% PIK) 9/15/2024 (n)(p) | 1,575,000 | 1,551,375 | ||
| Grand City Properties S.A., 1.375%, 8/03/2026 | EUR | 300,000 | 348,105 | |
| Grand City Properties S.A., 2.5%, 10/24/2069 | 100,000 | 113,707 | ||
| Nationstar Mortgage Holdings, Inc., 8.125%, 7/15/2023 (n) | $ | 560,000 | 582,232 | |
| Nationstar Mortgage Holdings, Inc., 6%, 1/15/2027 (n) | 260,000 | 264,129 | ||
| OneMain Financial Corp., 6.875%, 3/15/2025 | 410,000 | 451,000 | ||
| OneMain Financial Corp., 7.125%, 3/15/2026 | 485,000 | 538,350 | ||
| Park Aerospace Holdings Ltd., 5.5%, 2/15/2024 (n) | 750,000 | 824,724 | ||
| Shriram Transport Finance, 5.1%, 7/16/2023 (n) | 273,000 | 274,701 | ||
| Springleaf Finance Corp., 5.375%, 11/15/2029 | 125,000 | 127,663 | ||
| $8,119,415 | ||||
| Food & Beverages – 2.3% | ||||
| Anheuser-Busch InBev S.A., 1.65%, 3/28/2031 | EUR | 100,000 | $119,361 | |
| Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038 | $ | 80,000 | 92,625 | |
| Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | 110,000 | 149,482 | ||
| Bacardi Ltd., 5.15%, 5/15/2038 (n) | 153,000 | 185,189 | ||
| Coca Cola Femsa S.A.B. de C.V., 2.75%, 1/22/2030 | 461,000 | 487,198 | ||
| Constellation Brands, Inc., 4.4%, 11/15/2025 | 227,000 | 257,827 | ||
| Cott Holdings, Inc., 5.5%, 4/01/2025 (n) | 845,000 | 864,714 | ||
| Danone S.A., 2.077%, 11/02/2021 (n) | 236,000 | 237,980 | ||
| Danone S.A., 2.589%, 11/02/2023 (n) | 553,000 | 569,969 | ||
| Fomento Economico Mexicano S.A.B. de C.V., 3.5%, 1/16/2050 | 440,000 | 462,460 | ||
| JBS Investments II GmbH, 5.75%, 1/15/2028 (n) | 265,000 | 276,925 | ||
| JBS USA LLC/JBS USA Finance, Inc., 6.75%, 2/15/2028 (n) | 1,060,000 | 1,149,358 | ||
| JBS USA Lux S.A./JBS USA Finance, Inc., 5.875%, 7/15/2024 (n) | 556,000 | 565,741 | ||
| Lamb Weston Holdings, Inc., 4.625%, 11/01/2024 (n) | 930,000 | 967,219 | ||
| Performance Food Group Co., 5.5%, 10/15/2027 (n) | 515,000 | 543,325 | ||
| Picard Bondco S.A., 5.5%, 11/30/2024 | EUR | 170,000 | 168,904 | |
| Pilgrim's Pride Corp., 5.75%, 3/15/2025 (n) | $ | 410,000 | 418,077 | |
| Pilgrim's Pride Corp., 5.875%, 9/30/2027 (n) | 580,000 | 601,054 | ||
| U.S. Foods Holding Corp., 5.875%, 6/15/2024 (n) | 1,235,000 | 1,256,613 | ||
| $9,374,021 | ||||
| Forest & Paper Products – 0.3% | ||||
| Inversiones CMPC S.A., 3.85%, 1/13/2030 (n) | $ | 200,000 | $204,500 | |
| Suzano Austria GmbH, 5%, 1/15/2030 | 756,000 | 785,333 | ||
| $989,833 | ||||
| Gaming & Lodging – 2.4% | ||||
| CCM Merger, Inc., 6%, 3/15/2022 (n) | $ | 715,000 | $722,150 | |
| GLP Capital LP/GLP Financing II, Inc., 5.25%, 6/01/2025 | 1,060,000 | 1,186,299 | ||
| GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026 | 475,000 | 536,171 | ||
| Hilton Domestic Operating Co., Inc., 5.125%, 5/01/2026 | 980,000 | 1,006,068 | ||
| Hilton Worldwide Finance LLC, 4.625%, 4/01/2025 | 930,000 | 933,487 | ||
| Las Vegas Sands Corp., 3.9%, 8/08/2029 | 101,000 | 107,590 | ||
| Scientific Games Corp., 8.25%, 3/15/2026 (z) | 610,000 | 626,592 | ||
| Scientific Games International, Inc., 7%, 5/15/2028 (z) | 425,000 | 411,060 | ||
| VICI Properties LP, REIT, 4.25%, 12/01/2026 (n) | 1,015,000 | 1,025,251 | ||
| VICI Properties LP, REIT, 3.75%, 2/15/2027 (n) | 605,000 | 600,463 | ||
| VICI Properties LP, REIT, 4.625%, 12/01/2029 (n) | 125,000 | 129,063 | ||
8
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Gaming & Lodging – continued | ||||
| Wyndham Hotels Group LLC, 5.375%, 4/15/2026 (n) | $ | 1,250,000 | $1,295,756 | |
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.5%, 3/01/2025 (n) | 815,000 | 799,719 | ||
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 5/15/2027 (n) | 260,000 | 252,200 | ||
| $9,631,869 | ||||
| Industrial – 0.2% | ||||
| Bilfinger SE, 4.5%, 6/14/2024 | EUR | 300,000 | $360,493 | |
| CPI Property Group S.A., 2.75%, 1/22/2028 | GBP | 200,000 | 258,320 | |
| Investor AB, 1.5%, 6/20/2039 | EUR | 100,000 | 125,215 | |
| $744,028 | ||||
| Insurance – 0.3% | ||||
| American International Group, Inc., 1.875%, 6/21/2027 | EUR | 110,000 | $130,675 | |
| American International Group, Inc., 3.875%, 1/15/2035 | $ | 225,000 | 256,943 | |
| Argentum Zurich Insurance, 3.5%, 10/01/2046 | EUR | 200,000 | 255,996 | |
| Assicurazioni Generali S.p.A., 2.124%, 10/01/2030 | 150,000 | 169,212 | ||
| Aviva PLC, 3.875% to 7/03/2024, FLR (EUR Swap Rate - 5yr. + 3.48%) to 7/03/2044 | 150,000 | 183,397 | ||
| CNP Assurances S.A., 2% to 7/27/2030, FLR (EURIBOR - 3mo. + 3%) to 7/27/2050 | 100,000 | 112,133 | ||
| La Mondiale, 4.375% to 10/24/2029, FLR (EUR Swap Rate - 5yr. + 4.411%) to 12/31/2099 | 100,000 | 114,192 | ||
| $1,222,548 | ||||
| Insurance - Health – 0.4% | ||||
| Centene Corp., 6.125%, 2/15/2024 | $ | 590,000 | $608,113 | |
| Centene Corp., 5.375%, 6/01/2026 (n) | 705,000 | 740,497 | ||
| Centene Corp., 4.25%, 12/15/2027 (n) | 215,000 | 221,192 | ||
| $1,569,802 | ||||
| Insurance - Property & Casualty – 0.9% | ||||
| Alliant Holdings Intermediate LLC, 6.75%, 10/15/2027 (n) | $ | 560,000 | $558,611 | |
| Aon Corp., 3.75%, 5/02/2029 | 400,000 | 446,065 | ||
| Berkshire Hathaway, Inc., 2.75%, 3/15/2023 | 234,000 | 243,210 | ||
| Chubb INA Holdings, Inc., 2.875%, 11/03/2022 | 221,000 | 229,832 | ||
| Hartford Financial Services Group, Inc., 3.6%, 8/19/2049 | 202,000 | 221,811 | ||
| Hub International Ltd., 7%, 5/01/2026 (n) | 1,065,000 | 1,075,597 | ||
| Marsh & McLennan Cos., Inc., 1.979%, 3/21/2030 | EUR | 100,000 | 124,030 | |
| Progressive Corp., 4.125%, 4/15/2047 | $ | 111,000 | 138,620 | |
| QBE Capital Funding III Ltd., 7.5% to 5/24/2021, FLR (GBP Swap Rate - 10yr. + 4.003%) to 5/24/2041 | GBP | 200,000 | 269,174 | |
| Willis North America, Inc., 3.875%, 9/15/2049 | $ | 250,000 | 275,892 | |
| $3,582,842 | ||||
| International Market Quasi-Sovereign – 0.4% | ||||
| Electricite de France, 5.875% to 1/22/2029, FLR (GBP Swap Rate - 15yr. + 3.046%) to 1/22/2049, FLR (GBP Swap Rate - 15yr. + 3.796%) to 7/22/2049 | GBP | 300,000 | $432,199 | |
| Islandsbanki (Republic of Iceland), 1.125%, 1/19/2024 | EUR | 300,000 | 335,695 | |
| KFW German Government Development Bank, 1.125%, 6/15/2037 | 510,000 | 673,378 | ||
| $1,441,272 | ||||
| International Market Sovereign – 13.4% | ||||
| Commonwealth of Australia, 2.75%, 6/21/2035 | AUD | 3,202,000 | $2,593,475 | |
| Government of Bermuda, 4.75%, 2/15/2029 (n) | $ | 487,000 | 563,069 | |
| Government of Canada, 1.5%, 6/01/2026 | CAD | 5,444,000 | 4,163,357 | |
| Government of Canada, 5.75%, 6/01/2033 | 2,314,000 | 2,690,688 | ||
| Government of France, 0.75%, 5/25/2052 (n) | EUR | 675,024 | 806,047 | |
| Government of Japan, 1.8%, 9/20/2030 | JPY | 756,300,000 | 8,444,041 | |
| Government of Japan, 1.8%, 6/20/2031 | 108,000,000 | 1,216,457 | ||
| Government of Japan, 2.4%, 3/20/2037 | 631,200,000 | 8,141,871 | ||
| Kingdom of Spain, 1.95%, 7/30/2030 | EUR | 55,000 | 70,937 | |
| Kingdom of Spain, 1.85%, 7/30/2035 | 1,530,000 | 1,990,893 | ||
| Obrigacoes do Tesouro (Republic of Portugal), 2.25%, 4/18/2034 | 1,020,000 | 1,379,530 | ||
9
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| International Market Sovereign – continued | ||||
| Republic of Cyprus, 2.75%, 2/26/2034 | EUR | 525,000 | $719,599 | |
| Republic of Cyprus, 2.75%, 5/03/2049 | 600,000 | 875,351 | ||
| Republic of France, 1.25%, 5/25/2036 | 1,750,000 | 2,313,272 | ||
| Republic of France, 1.5%, 5/25/2050 | 1,345,000 | 1,935,495 | ||
| Republic of Italy, 1.65%, 3/01/2032 | 3,382,000 | 3,881,035 | ||
| Republic of Italy, 3.45%, 3/01/2048 | 95,000 | 135,622 | ||
| Republic of Portugal, 4.1%, 4/15/2037 | 485,000 | 821,339 | ||
| United Kingdom Treasury, 4.25%, 12/07/2027 | GBP | 285,000 | 475,628 | |
| United Kingdom Treasury, 0.875%, 10/22/2029 | 6,830,000 | 9,133,996 | ||
| United Kingdom Treasury, 1.75%, 9/07/2037 | 365,000 | 539,426 | ||
| VEON Holdings B.V., 0.625%, 1/21/2030 | EUR | 196,000 | 216,543 | |
| VEON Holdings B.V., 1.25%, 1/21/2040 | 466,000 | 519,842 | ||
| $53,627,513 | ||||
| Local Authorities – 0.6% | ||||
| City of Oslo, 2.45%, 5/24/2023 | NOK | 2,000,000 | $218,052 | |
| City of Oslo, 2.05%, 10/31/2024 | 7,000,000 | 756,730 | ||
| Province of Alberta, 4.5%, 12/01/2040 | CAD | 255,000 | 257,042 | |
| Province of British Columbia, 2.3%, 6/18/2026 | 370,000 | 287,069 | ||
| Province of Ontario, 2.05%, 6/02/2030 | 440,000 | 333,033 | ||
| Province of Saskatchewan, 3.05%, 12/02/2028 | 410,000 | 333,599 | ||
| $2,185,525 | ||||
| Major Banks – 2.0% | ||||
| Bank of America Corp., 3.5%, 4/19/2026 | $ | 400,000 | $437,027 | |
| Bank of New York Mellon Corp., 2.95%, 1/29/2023 | 414,000 | 429,988 | ||
| Bankinter S.A., 0.875%, 7/08/2026 | EUR | 200,000 | 222,980 | |
| Barclays PLC, 7.875%, 12/29/2049 | $ | 600,000 | 633,302 | |
| Credit Agricole S.A., 1.25%, 10/02/2024 | GBP | 100,000 | 127,980 | |
| Credit Agricole S.A., 0.875%, 1/14/2032 | EUR | 200,000 | 218,853 | |
| Credit Suisse Group AG, 1.25%, 7/17/2025 | 150,000 | 170,519 | ||
| Credit Suisse Group AG, 7.25%, 12/29/2049 (n) | $ | 600,000 | 663,000 | |
| Erste Group Bank AG, 0.875%, 5/22/2026 | EUR | 100,000 | 113,191 | |
| Erste Group Bank AG, 1% to 6/10/2025, FLR (EUR ICE Swap Rate - 5yr. + 1.3%) to 6/10/2030 | 100,000 | 108,367 | ||
| HSBC Holdings PLC, 4.375%, 11/23/2026 | $ | 269,000 | 292,317 | |
| JPMorgan Chase & Co., 2.95%, 10/01/2026 | 201,000 | 213,154 | ||
| JPMorgan Chase & Co., 3.54%, 5/01/2028 | 291,000 | 318,365 | ||
| JPMorgan Chase & Co., 4.26%, 2/22/2048 | 153,000 | 193,995 | ||
| Lloyds Banking Group PLC, 1.875% to 9/15/2025, FLR (GBP Government Yield - 5yr. + 1.3%) to 1/15/2026 | GBP | 150,000 | 191,620 | |
| Morgan Stanley, 3.125%, 7/27/2026 | $ | 188,000 | 200,406 | |
| Nationwide Building Society, 1.5%, 3/08/2026 | EUR | 200,000 | 229,719 | |
| PNC Financial Services Group, Inc., 2.55%, 1/22/2030 | $ | 263,000 | 271,766 | |
| Sumitomo Mitsui Financial Group, Inc., 0.465%, 5/30/2024 | EUR | 100,000 | 111,585 | |
| Sumitomo Mitsui Financial Group, Inc., 3.544%, 1/17/2028 | $ | 439,000 | 485,246 | |
| Svenska Handelsbanken AB, 0.5%, 2/18/2030 | EUR | 200,000 | 217,686 | |
| Svenska Handelsbanken AB, 5.25%, 12/29/2049 | $ | 239,000 | 241,301 | |
| UBS Group AG, 6.875% to 8/07/2025, FLR (Swap Rate - 5yr. + 4.59%) to 12/29/2049 | 1,020,000 | 1,113,075 | ||
| UBS Group Funding (Switzerland) AG, 2.859%, 8/15/2023 (n) | 350,000 | 358,698 | ||
| UniCredito Italiano S.p.A., 6.572%, 1/14/2022 (n) | 350,000 | 375,981 | ||
| Wells Fargo & Co., 0.625%, 8/14/2030 | EUR | 200,000 | 215,900 | |
| $8,156,021 | ||||
| Medical & Health Technology & Services – 4.2% | ||||
| Alcon, Inc., 3.8%, 9/23/2049 (n) | $ | 200,000 | $223,219 | |
| Avantor, Inc., 9%, 10/01/2025 (n) | 1,085,000 | 1,184,169 | ||
| BCPE Cycle Merger Sub II, Inc., 10.625%, 7/15/2027 (n) | 175,000 | 177,188 | ||
| Becton, Dickinson and Co., 3.734%, 12/15/2024 | 239,000 | 258,850 | ||
| Cigna Corp., 4.125%, 11/15/2025 | 201,000 | 223,948 | ||
| Community Health Systems, Inc., 6.625%, 2/15/2025 (n) | 725,000 | 739,500 | ||
10
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Medical & Health Technology & Services – continued | ||||
| DaVita, Inc., 5%, 5/01/2025 | $ | 620,000 | $629,145 | |
| Encompass Health Corp., 5.75%, 9/15/2025 | 350,000 | 363,125 | ||
| HCA, Inc., 7.5%, 2/15/2022 | 795,000 | 878,634 | ||
| HCA, Inc., 5.375%, 2/01/2025 | 2,005,000 | 2,216,527 | ||
| HCA, Inc., 5.875%, 2/15/2026 | 1,060,000 | 1,197,800 | ||
| HCA, Inc., 5.625%, 9/01/2028 | 125,000 | 141,673 | ||
| HCA, Inc., 3.5%, 9/01/2030 | 515,000 | 504,504 | ||
| HCA, Inc., 5.125%, 6/15/2039 | 103,000 | 119,741 | ||
| HealthSouth Corp., 5.125%, 3/15/2023 | 1,020,000 | 1,022,550 | ||
| Heartland Dental LLC, 8.5%, 5/01/2026 (n) | 565,000 | 577,712 | ||
| IQVIA Holdings, Inc., 5%, 10/15/2026 (n) | 510,000 | 526,119 | ||
| IQVIA Holdings, Inc., 5%, 5/15/2027 (n) | 1,410,000 | 1,457,587 | ||
| Laboratory Corp. of America Holdings, 4.7%, 2/01/2045 | 135,000 | 162,712 | ||
| LifePoint Health, Inc., 4.375%, 2/15/2027 (n) | 210,000 | 207,312 | ||
| MPH Acquisition Holdings LLC, 7.125%, 6/01/2024 (n) | 420,000 | 390,692 | ||
| Polaris, 8.5%, (8.5% cash or 8.5% PIK) 12/01/2022 (n)(p) | 295,000 | 250,780 | ||
| Radiology Partners, Inc., 9.25%, 2/01/2028 (n) | 130,000 | 130,650 | ||
| Rede D'Or Finance S.à r.l., 4.5%, 1/22/2030 (n) | 431,000 | 420,656 | ||
| Regional Care/LifePoint Health, Inc., 9.75%, 12/01/2026 (n) | 735,000 | 785,494 | ||
| Team Health Holdings, Inc., 6.375%, 2/01/2025 (n) | 170,000 | 91,375 | ||
| Tenet Healthcare Corp., 4.875%, 1/01/2026 (n) | 565,000 | 575,594 | ||
| Tenet Healthcare Corp., 5.125%, 11/01/2027 (n) | 525,000 | 545,344 | ||
| Thermo Fisher Scientific, Inc., 0.875%, 10/01/2031 | EUR | 100,000 | 109,356 | |
| Toledo Hospital, 6.015%, 11/15/2048 | $ | 142,000 | 200,677 | |
| West Street Merger Sub, Inc., 6.375%, 9/01/2025 (n) | 500,000 | 490,600 | ||
| $16,803,233 | ||||
| Medical Equipment – 0.7% | ||||
| Abbott Ireland Financing DAC, 1.5%, 9/27/2026 | EUR | 150,000 | $178,532 | |
| Boston Scientific Corp., 0.625%, 12/01/2027 | 100,000 | 110,498 | ||
| EssilorLuxottica S.A., 0.375%, 11/27/2027 | 100,000 | 111,722 | ||
| EssilorLuxottica S.A., 0.75%, 11/27/2031 | 100,000 | 113,287 | ||
| Hill-Rom Holdings, Inc., 4.375%, 9/15/2027 (n) | $ | 790,000 | 817,729 | |
| Teleflex, Inc., 4.875%, 6/01/2026 | 285,000 | 297,112 | ||
| Teleflex, Inc., 4.625%, 11/15/2027 | 980,000 | 1,028,412 | ||
| $2,657,292 | ||||
| Metals & Mining – 1.9% | ||||
| Baffinland Iron Mines Corp./Baffinland Iron Mines LP, 8.75%, 7/15/2026 (n) | $ | 365,000 | $372,300 | |
| Cleveland-Cliffs, Inc., 5.875%, 6/01/2027 (n) | 365,000 | 307,512 | ||
| Compass Minerals International, Inc., 6.75%, 12/01/2027 (n) | 575,000 | 609,500 | ||
| First Quantum Minerals Ltd., 6.875%, 3/01/2026 (n) | 200,000 | 187,260 | ||
| Freeport-McMoRan Copper & Gold, Inc., 5.4%, 11/14/2034 | 535,000 | 521,815 | ||
| Freeport-McMoRan, Inc., 5%, 9/01/2027 | 580,000 | 572,472 | ||
| Freeport-McMoRan, Inc., 5.25%, 9/01/2029 | 580,000 | 582,900 | ||
| Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.375%, 12/15/2023 (n) | 595,000 | 587,384 | ||
| Kaiser Aluminum Corp., 4.625%, 3/01/2028 (n) | 1,024,000 | 1,013,760 | ||
| Northwest Acquisitions ULC/Dominion Finco, Inc., 7.125%, 11/01/2022 (n) | 565,000 | 429,400 | ||
| Novelis Corp., 5.875%, 9/30/2026 (n) | 1,210,000 | 1,249,755 | ||
| Petra Diamonds U.S. Treasury PLC, 7.25%, 5/01/2022 (n) | 245,000 | 145,775 | ||
| SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.5%, 6/15/2025 (n) | 230,000 | 207,000 | ||
| TMS International Corp., 7.25%, 8/15/2025 (n) | 935,000 | 871,887 | ||
| $7,658,720 | ||||
| Midstream – 2.9% | ||||
| AI Candelaria Spain SLU, 7.5%, 12/15/2028 (n) | $ | 1,232,000 | $1,363,584 | |
| AI Candelaria Spain SLU, 7.5%, 12/15/2028 | 250,000 | 276,701 | ||
| APT Pipelines Ltd., 5%, 3/23/2035 (n) | 280,000 | 328,098 | ||
| Cheniere Energy Partners LP, 5.25%, 10/01/2025 | 1,820,000 | 1,823,981 | ||
11
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Midstream – continued | ||||
| Cheniere Energy, Inc., 4.5%, 10/01/2029 (n) | $ | 500,000 | $479,310 | |
| Cheniere Energy, Inc., 3.7%, 11/15/2029 (n) | 157,000 | 157,268 | ||
| Cosan Ltd., 5.5%, 9/20/2029 (n) | 1,207,000 | 1,227,881 | ||
| EnLink Midstream Partners LP, 4.85%, 7/15/2026 | 160,000 | 138,600 | ||
| EQT Midstream Partners LP , 5.5%, 7/15/2028 | 420,000 | 351,750 | ||
| Genesis Energy LP/Genesis Energy Finance Corp., 5.625%, 6/15/2024 | 160,000 | 137,600 | ||
| Genesis Energy LP/Genesis Energy Finance Corp., 6.25%, 5/15/2026 | 690,700 | 576,734 | ||
| MPLX LP, 4.5%, 4/15/2038 | 170,000 | 172,986 | ||
| Peru LNG, 5.375%, 3/22/2030 | 1,358,000 | 1,154,300 | ||
| Plains All American Pipeline, 3.55%, 12/15/2029 | 166,000 | 163,197 | ||
| Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 | 333,000 | 353,400 | ||
| Targa Resources Partners LP/Targa Resources Finance Corp., 5.25%, 5/01/2023 | 550,000 | 548,680 | ||
| Targa Resources Partners LP/Targa Resources Finance Corp., 5.125%, 2/01/2025 (n) | 680,000 | 682,564 | ||
| Targa Resources Partners LP/Targa Resources Finance Corp., 5.875%, 4/15/2026 | 385,000 | 396,589 | ||
| Targa Resources Partners LP/Targa Resources Finance Corp., 5.375%, 2/01/2027 | 770,000 | 789,250 | ||
| Targa Resources Partners LP/Targa Resources Finance Corp., 6.875%, 1/15/2029 | 365,000 | 393,744 | ||
| $11,516,217 | ||||
| Mortgage-Backed – 7.8% | ||||
| Fannie Mae, 6.5%, 4/01/2032 - 1/01/2033 | $ | 32,823 | $37,362 | |
| Fannie Mae, 5.5%, 7/01/2033 - 7/01/2035 | 115,922 | 130,597 | ||
| Fannie Mae, 6%, 8/01/2034 - 2/01/2037 | 55,608 | 64,946 | ||
| Fannie Mae, 2.5%, 10/01/2034 - 3/01/2050 | 2,080,509 | 2,136,667 | ||
| Fannie Mae, 3%, 11/01/2034 - 3/01/2050 | 2,589,286 | 2,680,235 | ||
| Fannie Mae, 3.5%, 11/01/2048 | 42,113 | 44,335 | ||
| Fannie Mae, TBA, 2.5%, 3/25/2035 - 3/25/2050 | 1,050,000 | 1,076,541 | ||
| Fannie Mae, TBA, 3.5%, 4/25/2049 - 3/25/2050 | 1,910,000 | 1,983,384 | ||
| Fannie Mae, TBA, 3%, 3/12/2050 - 4/25/2050 | 1,025,000 | 1,054,956 | ||
| Fannie Mae, TBA, 4%, 3/25/2050 | 1,600,000 | 1,685,562 | ||
| Freddie Mac, 0.132%, 2/25/2025 (i) | 38,000,000 | 318,018 | ||
| Freddie Mac, 3.117%, 6/25/2027 | 2,988,000 | 3,285,612 | ||
| Freddie Mac, 0.125%, 2/25/2028 (i) | 36,576,000 | 469,303 | ||
| Freddie Mac, 0.29%, 2/25/2028 (i) | 15,572,000 | 391,697 | ||
| Freddie Mac, 3.65%, 2/25/2028 | 880,000 | 1,006,271 | ||
| Freddie Mac, 0.105%, 4/25/2028 (i) | 15,983,000 | 190,463 | ||
| Freddie Mac, 3.9%, 4/25/2028 - 8/25/2028 | 2,560,000 | 2,989,391 | ||
| Freddie Mac, 3.926%, 7/25/2028 | 5,400,000 | 6,322,690 | ||
| Freddie Mac, 4.06%, 10/25/2028 | 1,990,000 | 2,355,673 | ||
| Freddie Mac, 1.089%, 7/25/2029 (i) | 1,890,914 | 171,763 | ||
| Freddie Mac, 6%, 8/01/2034 | 45,021 | 52,256 | ||
| Ginnie Mae, 3%, 11/20/2049 | 2,158,925 | 2,233,233 | ||
| Ginnie Mae, 3.5%, 12/20/2049 | 666,799 | 694,764 | ||
| $31,375,719 | ||||
| Municipals – 0.5% | ||||
| Commonwealth of Puerto Rico, Public Improvement, ”C-7“, 6%, 7/01/2027 | $ | 20,000 | $20,604 | |
| Michigan Finance Authority Hospital Rev. (Trinity Health Credit Group), 3.384%, 12/01/2040 | 215,000 | 242,230 | ||
| New Jersey Economic Development Authority State Pension Funding Rev., ”A“, 7.425%, 2/15/2029 | 499,000 | 651,554 | ||
| Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), ”C“, 5.45%, 8/15/2028 | 346,000 | 409,681 | ||
| Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), ”C“, 4.65%, 8/15/2030 | 221,000 | 269,525 | ||
| Puerto Rico Electric Power Authority Rev., ”PP“, 5%, 7/01/2022 | 95,000 | 96,611 | ||
| Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority Rev. (Cogeneration Facilities - AES Puerto Rico Project), 9.12%, 6/01/2022 | 255,000 | 261,375 | ||
| $1,951,580 | ||||
| Natural Gas - Distribution – 0.1% | ||||
| Boston Gas Co., 3.15%, 8/01/2027 (n) | $ | 248,000 | $268,439 | |
| Infraestructura Energética Nova S.A.B. de C.V., 4.875%, 1/14/2048 | 250,000 | 253,437 | ||
| $521,876 | ||||
12
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Natural Gas - Pipeline – 0.1% | ||||
| Promigas S.A. ESP/Gases del Pacifico SAC, 3.75%, 10/16/2029 (n) | $ | 267,000 | $275,678 | |
| Network & Telecom – 0.4% | ||||
| C&W Senior Financing DAC, 7.5%, 10/15/2026 (n) | $ | 388,000 | $407,400 | |
| C&W Senior Financing DAC, 6.875%, 9/15/2027 (n) | 400,000 | 422,000 | ||
| Front Range BidCo, Inc., 6.125%, 3/01/2028 (z) | 165,000 | 162,970 | ||
| Verizon Communications, Inc., 0.875%, 3/19/2032 | EUR | 130,000 | 143,350 | |
| Zayo Group LLC/Zayo Capital, Inc., 5.75%, 1/15/2027 (n) | $ | 410,000 | 419,225 | |
| $1,554,945 | ||||
| Oil Services – 0.3% | ||||
| Apergy Corp., 6.375%, 5/01/2026 | $ | 555,000 | $579,201 | |
| Diamond Offshore Drill Co., 5.7%, 10/15/2039 | 545,000 | 236,056 | ||
| Ensign Drilling, Inc., 9.25%, 4/15/2024 (n) | 365,000 | 328,051 | ||
| Halliburton Co., 5%, 11/15/2045 | 148,000 | 160,616 | ||
| $1,303,924 | ||||
| Oils – 0.7% | ||||
| Neste Oyj, 1.5%, 6/07/2024 | EUR | 200,000 | $231,150 | |
| Parkland Fuel Corp., 6%, 4/01/2026 (n) | $ | 1,040,000 | 1,086,800 | |
| PBF Holding Co. LLC/PBF Finance Corp., 7.25%, 6/15/2025 | 700,000 | 719,250 | ||
| PBF Holding Co. LLC/PBF Finance Corp., 6%, 2/15/2028 (n) | 365,000 | 360,437 | ||
| Thaioil Treasury Center Co. Ltd., 5.375%, 11/20/2048 (n) | 355,000 | 487,780 | ||
| $2,885,417 | ||||
| Other Banks & Diversified Financials – 1.2% | ||||
| AIB Group PLC, 1.25%, 5/28/2024 | EUR | 200,000 | $225,016 | |
| Banco de Credito del Peru, 2.7%, 1/11/2025 (n) | $ | 392,000 | 393,470 | |
| Bank Leumi le-Israel B.M., 3.275%, 1/29/2031 (n) | 274,000 | 274,121 | ||
| Banque Federative du Credit Mutuel S.A., 1.25%, 12/05/2025 | GBP | 200,000 | 253,461 | |
| Belfius Bank S.A., 0.375%, 2/13/2026 | EUR | 300,000 | 327,027 | |
| BPCE S.A., 5.25%, 4/16/2029 | GBP | 100,000 | 160,805 | |
| Commerzbank AG, 0.625%, 8/28/2024 | EUR | 90,000 | 101,408 | |
| Deutsche Bank AG, 2.625%, 12/16/2024 | GBP | 100,000 | 130,124 | |
| Groupe BPCE S.A., 4.5%, 3/15/2025 (n) | $ | 250,000 | 272,181 | |
| Groupe BPCE S.A., 1.375%, 12/23/2026 | GBP | 200,000 | 254,266 | |
| Grupo Aval Ltd., 4.375%, 2/04/2030 (n) | $ | 316,000 | 315,605 | |
| ING Groep N.V., 1% to 11/13/2025, FLR (EUR Swap Rate - 5yr. + 1.2%) to 11/13/2030 | EUR | 200,000 | 221,887 | |
| Intesa Sanpaolo S.p.A., 2.5%, 1/15/2030 | GBP | 150,000 | 193,688 | |
| JSC Kazkommertsbank, 5.5%, 12/21/2022 | $ | 834,460 | 835,428 | |
| KBC Group N.V., 0.5% to 12/03/2024, FLR (EUR Swap Rate - 5yr. + 1.1%) to 12/03/2029 | EUR | 100,000 | 108,295 | |
| Macquarie Group Ltd., 1.25% to 3/5/2024, FLR (EURIBOR - 3mo. + 0.839%) to 3/05/2025 | 100,000 | 113,795 | ||
| UBS AG, 5.125%, 5/15/2024 | $ | 447,000 | 482,760 | |
| Virgin Money UK PLC, 4% to 9/03/2026, FLR (GBP Government Yield - 1yr. + 3.75%) to 9/03/2027 | GBP | 150,000 | 205,585 | |
| $4,868,922 | ||||
| Pharmaceuticals – 0.7% | ||||
| Allergan Funding SCS, 2.625%, 11/15/2028 | EUR | 130,000 | $166,137 | |
| Bausch Health Companies, Inc., 5.5%, 3/01/2023 (n) | $ | 276,000 | 275,655 | |
| Bausch Health Companies, Inc., 6.125%, 4/15/2025 (n) | 1,640,000 | 1,672,308 | ||
| Bausch Health Companies, Inc., 5%, 1/30/2028 (n) | 160,000 | 158,200 | ||
| Endo Finance LLC/Endo Finco, Inc., 5.375%, 1/15/2023 (n) | 495,000 | 386,100 | ||
| $2,658,400 | ||||
| Pollution Control – 0.5% | ||||
| Covanta Holding Corp., 5.875%, 3/01/2024 | $ | 530,000 | $535,962 | |
| Covanta Holding Corp., 6%, 1/01/2027 | 235,000 | 242,050 | ||
| GFL Environmental, Inc., 7%, 6/01/2026 (n) | 640,000 | 672,800 | ||
13
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Pollution Control – continued | ||||
| GFL Environmental, Inc., 8.5%, 5/01/2027 (n) | $ | 375,000 | $406,088 | |
| $1,856,900 | ||||
| Printing & Publishing – 0.3% | ||||
| Meredith Corp., 6.875%, 2/01/2026 | $ | 415,000 | $416,121 | |
| Nielsen Finance LLC, 5%, 4/15/2022 (n) | 764,000 | 761,509 | ||
| $1,177,630 | ||||
| Railroad & Shipping – 0.1% | ||||
| Lima Metro Line 2 Finance Ltd., 4.35%, 4/05/2036 (n) | $ | 511,000 | $557,246 | |
| Real Estate - Healthcare – 0.3% | ||||
| MPT Operating Partnership LP/MPT Financial Co., REIT, 5.25%, 8/01/2026 | $ | 670,000 | $698,475 | |
| MPT Operating Partnership LP/MPT Financial Co., REIT, 5%, 10/15/2027 | 375,000 | 391,316 | ||
| $1,089,791 | ||||
| Real Estate - Office – 0.1% | ||||
| Boston Properties, Inc., REIT, 3.125%, 9/01/2023 | $ | 250,000 | $263,366 | |
| Merlin Properties SOCIMI S.A., REIT, 1.875%, 11/02/2026 | EUR | 150,000 | 179,120 | |
| Merlin Properties SOCIMI S.A., REIT, 1.875%, 12/04/2034 | 100,000 | 115,505 | ||
| $557,991 | ||||
| Real Estate - Other – 0.8% | ||||
| Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.25%, 10/01/2025 (n) | $ | 100,000 | $101,375 | |
| Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.25%, 2/01/2027 (n) | 840,000 | 796,950 | ||
| Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/2023 | 465,000 | 471,394 | ||
| Ryman Hospitality Properties, Inc., REIT, 4.75%, 10/15/2027 (n) | 1,603,000 | 1,619,062 | ||
| SELP Finance S.à r.l., 1.5%, 12/20/2026 | EUR | 125,000 | 143,989 | |
| $3,132,770 | ||||
| Real Estate - Retail – 0.1% | ||||
| VEREIT Operating Partnership LP, REIT, 3.1%, 12/15/2029 | $ | 250,000 | $259,271 | |
| Restaurants – 0.5% | ||||
| Golden Nugget, Inc., 6.75%, 10/15/2024 (n) | $ | 645,000 | $633,519 | |
| KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, 6/01/2026 (n) | 1,470,000 | 1,503,090 | ||
| $2,136,609 | ||||
| Retailers – 0.4% | ||||
| AA Bond Co. Ltd., 2.75%, 7/31/2043 | GBP | 200,000 | $249,322 | |
| DriveTime Automotive Group, Inc., 8%, 6/01/2021 (n) | $ | 485,000 | 483,787 | |
| L Brands, Inc., 5.25%, 2/01/2028 | 425,000 | 412,516 | ||
| Sally Beauty Holdings, Inc., 5.625%, 12/01/2025 | 365,000 | 369,927 | ||
| Takko Luxembourg 2 S.C.A., 5.375%, 11/15/2023 | EUR | 170,000 | 164,198 | |
| $1,679,750 | ||||
| Specialty Chemicals – 0.4% | ||||
| Koppers, Inc., 6%, 2/15/2025 (n) | $ | 419,000 | $412,715 | |
| Univar Solutions USA, Inc., 5.125%, 12/01/2027 (n) | 1,082,000 | 1,093,036 | ||
| $1,505,751 | ||||
| Specialty Stores – 0.3% | ||||
| Penske Automotive Group Co., 5.375%, 12/01/2024 | $ | 395,000 | $404,381 | |
| Penske Automotive Group Co., 5.5%, 5/15/2026 | 515,000 | 526,588 | ||
| PetSmart, Inc., 7.125%, 3/15/2023 (n) | 160,000 | 155,952 | ||
| PetSmart, Inc., 8.875%, 6/01/2025 (n) | 160,000 | 159,200 | ||
| $1,246,121 | ||||
14
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Supermarkets – 0.8% | ||||
| Albertsons Cos. LLC/Safeway, Inc., 6.625%, 6/15/2024 | $ | 291,000 | $299,003 | |
| Albertsons Cos. LLC/Safeway, Inc., 5.75%, 3/15/2025 | 385,000 | 398,956 | ||
| Albertsons Cos. LLC/Safeway, Inc., 4.625%, 1/15/2027 (n) | 520,000 | 511,575 | ||
| Albertsons Cos. LLC/Safeway, Inc., 5.875%, 2/15/2028 (n) | 45,000 | 46,769 | ||
| Eurotorg LLC Via Bonitron DAC, 8.75%, 10/30/2022 | 1,553,000 | 1,635,309 | ||
| Iceland Bondco PLC, 4.625%, 3/15/2025 | GBP | 170,000 | 170,013 | |
| Loblaw Cos. Ltd., 4.86%, 9/12/2023 | CAD | 262,000 | 212,274 | |
| $3,273,899 | ||||
| Supranational – 0.5% | ||||
| International Bank for Reconstruction and Development, 2.8%, 1/13/2021 | AUD | 170,000 | $112,571 | |
| International Bank for Reconstruction and Development, 4.25%, 6/24/2025 | 210,000 | 159,679 | ||
| West African Development Bank, 4.7%, 10/22/2031 | $ | 200,000 | 213,774 | |
| West African Development Bank, 4.7%, 10/22/2031 (n) | 1,255,000 | 1,341,432 | ||
| $1,827,456 | ||||
| Telecommunications - Wireless – 3.3% | ||||
| Altice France S.A., 7.375%, 5/01/2026 (n) | $ | 890,000 | $933,343 | |
| Altice France S.A., 8.125%, 2/01/2027 (n) | 675,000 | 735,601 | ||
| Altice France S.A., 5.5%, 1/15/2028 (n) | 200,000 | 200,000 | ||
| Altice Luxembourg S.A., 7.625%, 2/15/2025 (n) | 200,000 | 207,500 | ||
| American Tower Corp., REIT, 3.5%, 1/31/2023 | 465,000 | 490,196 | ||
| American Tower Corp., REIT, 4%, 6/01/2025 | 250,000 | 274,327 | ||
| Crown Castle International Corp., 3.7%, 6/15/2026 | 157,000 | 170,501 | ||
| Digicel International Finance Ltd., 8.75%, 5/25/2024 (n) | 400,000 | 398,000 | ||
| Millicom International Cellular S.A., 5.125%, 1/15/2028 | 1,554,000 | 1,600,620 | ||
| SBA Communications Corp., 4%, 10/01/2022 | 1,190,000 | 1,203,114 | ||
| SBA Communications Corp., 4.875%, 9/01/2024 | 695,000 | 713,682 | ||
| SBA Communications Corp., 3.875%, 2/15/2027 (n) | 190,000 | 193,753 | ||
| Sprint Capital Corp., 6.875%, 11/15/2028 | 1,010,000 | 1,203,213 | ||
| Sprint Corp., 7.625%, 3/01/2026 | 985,000 | 1,162,014 | ||
| Tele2 AB Co., 2.125%, 5/15/2028 | EUR | 200,000 | 246,989 | |
| Telefónica Celular del Paraguay S.A., 5.875%, 4/15/2027 (n) | $ | 500,000 | 522,500 | |
| T-Mobile USA, Inc., 6.5%, 1/15/2024 | 315,000 | 322,481 | ||
| T-Mobile USA, Inc., 5.125%, 4/15/2025 | 640,000 | 657,600 | ||
| T-Mobile USA, Inc., 6.5%, 1/15/2026 | 615,000 | 647,472 | ||
| T-Mobile USA, Inc., 5.375%, 4/15/2027 | 910,000 | 964,600 | ||
| YPSO Finance Bis S.A., 6%, 2/15/2028 (n) | 450,000 | 432,135 | ||
| $13,279,641 | ||||
| Tobacco – 0.2% | ||||
| Imperial Brands Finance PLC, 1.375%, 1/27/2025 | EUR | 150,000 | $171,199 | |
| Philip Morris International, Inc., 1.45%, 8/01/2039 | 200,000 | 213,680 | ||
| Vector Group Ltd., 10.5%, 11/01/2026 (n) | $ | 430,000 | 426,646 | |
| $811,525 | ||||
| Transportation - Services – 0.7% | ||||
| Abertis Infraestructuras S.A., 3.375%, 11/27/2026 | GBP | 300,000 | $408,780 | |
| ERAC USA Finance LLC, 7%, 10/15/2037 (n) | $ | 250,000 | 377,087 | |
| Heathrow Funding Ltd., 4.625%, 10/31/2046 | GBP | 100,000 | 179,702 | |
| Navios South American Logistics, Inc./Navios Logistics Finance (U.S.), Inc., 7.25%, 5/01/2022 | $ | 1,360,000 | 1,305,600 | |
| Transurban Finance Co., 1.75%, 3/29/2028 | EUR | 100,000 | 120,540 | |
| Vinci S.A., 3.75%, 4/10/2029 (n) | $ | 303,000 | 349,563 | |
| $2,741,272 | ||||
| U.S. Treasury Obligations – 8.8% | ||||
| U.S. Treasury Bonds, 3.5%, 2/15/2039 (f) | $ | 12,094,000 | $16,219,660 | |
| U.S. Treasury Bonds, 3.125%, 2/15/2043 | 2,333,200 | 3,000,714 | ||
| U.S. Treasury Bonds, 2.25%, 8/15/2049 | 311,800 | 353,991 | ||
15
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| U.S. Treasury Obligations – continued | ||||
| U.S. Treasury Notes, 2%, 11/15/2026 (f) | $ | 14,859,000 | $15,784,785 | |
| $35,359,150 | ||||
| Utilities - Electric Power – 3.2% | ||||
| Adani Green Energy (UP) Ltd./Prayatna Developers Private Ltd., 6.25%, 12/10/2024 (n) | $ | 1,488,000 | $1,595,781 | |
| Adani Transmission Ltd., 4.25%, 5/21/2036 (n) | 400,000 | 406,650 | ||
| AusNet Services Holdings Pty Ltd, 0.625%, 8/25/2030 | EUR | 250,000 | 282,134 | |
| Clearway Energy Operating LLC, 5.75%, 10/15/2025 | $ | 1,880,000 | 1,942,660 | |
| Clearway Energy Operating LLC, 4.75%, 3/15/2028 (n) | 250,000 | 255,938 | ||
| Drax Finco PLC, 6.625%, 11/01/2025 (n) | 650,000 | 678,632 | ||
| Duke Energy Corp., 3.75%, 9/01/2046 | 115,000 | 127,490 | ||
| Duke Energy Corp., 4.2%, 6/15/2049 | 302,000 | 357,429 | ||
| Emera U.S. Finance LP, 2.7%, 6/15/2021 | 98,000 | 99,540 | ||
| Emera U.S. Finance LP, 3.55%, 6/15/2026 | 112,000 | 121,636 | ||
| Enel Finance International N.V., 0.375%, 6/17/2027 | EUR | 100,000 | 110,617 | |
| Enel Finance International N.V., 3.5%, 4/06/2028 (n) | $ | 200,000 | 213,025 | |
| ENGIE Energía Chile S.A., 3.4%, 1/28/2030 (n) | 606,000 | 609,878 | ||
| Exelon Corp., 3.497%, 6/01/2022 | 151,000 | 156,671 | ||
| Georgia Power Co., 3.7%, 1/30/2050 | 156,000 | 176,398 | ||
| innogy Finance B.V., 4.75%, 1/31/2034 | GBP | 100,000 | 167,951 | |
| Mong Duong Finance Holdings B.V., 5.125%, 5/07/2029 (n) | $ | 280,000 | 293,836 | |
| Mong Duong Finance Holdings B.V., 5.125%, 5/07/2029 | 592,000 | 621,253 | ||
| NextEra Energy Operating Co., 4.25%, 9/15/2024 (n) | 1,175,000 | 1,182,872 | ||
| NextEra Energy Operating Co., 4.5%, 9/15/2027 (n) | 355,000 | 370,270 | ||
| NextEra Energy, Inc., 4.25%, 7/15/2024 (n) | 515,000 | 524,528 | ||
| PPL WEM Holdings PLC, 5.375%, 5/01/2021 (n) | 250,000 | 257,989 | ||
| Star Energy Geothermal (Wayang Windu) Ltd., 6.75%, 4/24/2033 (n) | 831,680 | 905,583 | ||
| TerraForm Global Operating LLC, 6.125%, 3/01/2026 (n) | 180,000 | 186,300 | ||
| Terraform Power Operating Co., 5%, 1/31/2028 (n) | 790,000 | 850,277 | ||
| Virginia Electric & Power Co., 3.5%, 3/15/2027 | 475,000 | 523,926 | ||
| $13,019,264 | ||||
| Utilities - Other – 0.0% | ||||
| United Utilities Water Finance PLC, 1.75%, 2/10/2038 | GBP | 100,000 | $126,418 | |
| Total Bonds | $487,429,245 | |||
| Floating Rate Loans (r) – 0.4% | ||||
| Broadcasting – 0.1% | ||||
| Nexstar Broadcasting, Inc., Term Loan B4, 4.405%, 9/18/2026 | $ | 102,742 | $101,972 | |
| WMG Acquisition Corp., Term Loan F, 3.728%, 11/01/2023 | 103,000 | 101,197 | ||
| $203,169 | ||||
| Cable TV – 0.0% | ||||
| CSC Holdings LLC, Term Loan B5, 4.158%, 4/15/2027 | $ | 103,000 | $101,584 | |
| Chemicals – 0.1% | ||||
| Axalta Coating Systems U.S. Holdings, Inc., Term Loan B3, 3.694%, 6/01/2024 | $ | 152,622 | $149,283 | |
| Element Solutions, Inc., Term Loan B1, 3.603%, 1/31/2026 | 102,742 | 100,816 | ||
| $250,099 | ||||
| Computer Software - Systems – 0.1% | ||||
| Sabre GLBL, Inc., Term Loan B, 3.603%, 2/22/2024 | $ | 205,476 | $196,058 | |
| SS&C Technologies, Inc., Term Loan B5, 3.353%, 4/16/2025 | 102,738 | 100,897 | ||
| $296,955 | ||||
| Conglomerates – 0.1% | ||||
| Gates Global LLC, Term Loan B2, 4.353%, 4/01/2024 | $ | 221,222 | $216,245 | |
16
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Floating Rate Loans (r) – continued | ||||
| Medical & Health Technology & Services – 0.0% | ||||
| DaVita, Inc., 3.353%, 8/12/2026 | $ | 102,743 | $101,561 | |
| Jaguar Holding Co. II, Term Loan, 4.103%, 8/18/2022 | 102,731 | 101,533 | ||
| $203,094 | ||||
| Pharmaceuticals – 0.0% | ||||
| Bausch Health Companies, Inc., Term Loan B, 4.408%, 11/27/2025 | $ | 100,057 | $99,963 | |
| Printing & Publishing – 0.0% | ||||
| Nielsen Finance LLC, Term Loan B4, 3.67%, 10/04/2023 | $ | 102,736 | $101,580 | |
| Total Floating Rate Loans | $1,472,689 | |||
| Common Stocks – 0.1% | ||||
| Construction – 0.0% | ||||
| ICA Tenedora, S.A. de C.V. (a) | 110,829 | $208,768 | ||
| Energy - Independent – 0.0% | ||||
| Frontera Energy Corp. | 16,354 | $89,847 | ||
| Oil Services – 0.1% | ||||
| LTRI Holdings LP (a)(u) | 615 | $325,581 | ||
| Total Common Stocks | $624,196 | |||
| Strike Price | First Exercise | |||
| Warrants – 0.0% | ||||
| Forest & Paper Products – 0.0% | ||||
| Appvion Holdings Corp. - Tranche A (1 share for 1 warrant, Expiration 6/13/23) (a) | $27.17 | 8/24/18 | 274 | $34 |
| Appvion Holdings Corp. - Tranche B (1 share for 1 warrant, Expiration 6/13/23) (a) | 31.25 | 8/24/18 | 274 | 3 |
| Total Warrants | $37 | |||
| Investment Companies (h) – 2.6% | ||||
| Money Market Funds – 2.6% | ||||
| MFS Institutional Money Market Portfolio, 1.61% (v) | 10,377,374 | $10,378,412 | ||
| Underlying/Expiration Date/Exercise Price | Put/Call | Counterparty | Notional Amount | Par Amount/ Number of Contracts | |
| Purchased Options – 0.0% | |||||
| Market Index Securities – 0.0% | |||||
| Markit iTraxx Europe Crossover Index – March 2020 @ EUR 212.5 | Call | Barclays Bank PLC | $ 2,782,990 | EUR 2,300,000 | $282 |
| Markit iTraxx Europe Crossover Index – March 2020 @ EUR 275 | Put | Barclays Bank PLC | 9,450,066 | 7,810,000 | 160,339 |
| Total Purchased Options | $160,621 | ||||
| Other Assets, Less Liabilities – (24.5)% | (98,468,674) | |||
| Net Assets – 100.0% | $401,596,526 | |||
| (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 $10,378,412 and $489,686,788, 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. |
17
Portfolio of Investments (unaudited) –
continued
| (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 $201,853,353, representing 50.3% of net assets. |
| (p) | Payment-in-kind (PIK) security for which interest income may be received in additional securities and/or cash. |
| (r) | The remaining maturities of floating rate loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. These loans may be subject to restrictions on resale. The interest rate shown represents the weighted average of the floating interest rates on settled contracts within the loan facility at period end, unless otherwise indicated. The floating interest rates on settled contracts are determined periodically by reference to a base lending rate and a spread. |
| (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. |
| (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 |
| Afren PLC, 10.25%, 4/08/2019 | 3/01/12-4/02/13 | $482,712 | $370 |
| Front Range BidCo, Inc., 6.125%, 3/01/2028 | 2/21/20 | 166,856 | 162,971 |
| Scientific Games Corp., 8.25%, 3/15/2026 | 3/21/19-11/22/19 | 634,870 | 626,592 |
| Scientific Games International, Inc., 7%, 5/15/2028 | 12/05/19-1/17/20 | 451,821 | 411,060 |
| Terrier Media Buyer, Inc., 8.875%, 12/15/2027 | 1/17/20 | 169,465 | 158,800 |
| Total Restricted Securities | $1,359,793 | ||
| % of Net assets | 0.3% |
| The following abbreviations are used in this report and are defined: | |
| CDO | Collateralized Debt Obligation |
| 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 |
| REIT | Real Estate Investment Trust |
| TBA | To Be Announced |
| 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 |
| CLP | Chilean Peso |
| CNH | Chinese Yuan Renminbi (Offshore) |
| DKK | Danish Krone |
| EUR | Euro |
| GBP | British Pound |
| IDR | Indonesian Rupiah |
| 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 |
18
Portfolio of Investments (unaudited) –
continued
| Derivative Contracts at 2/29/20 | ||||||
| Forward Foreign Currency Exchange Contracts | ||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
| Asset Derivatives | ||||||
| DKK | 31,438 | USD | 4,610 | Citibank N.A. | 5/26/2020 | $59 |
| EUR | 304,000 | USD | 335,108 | Deutsche Bank AG | 5/22/2020 | 2,043 |
| EUR | 1,780,000 | USD | 1,965,853 | Goldman Sachs International | 5/22/2020 | 8,255 |
| EUR | 428,001 | USD | 466,755 | Merrill Lynch International | 5/20/2020 | 7,869 |
| EUR | 2,378,258 | USD | 2,618,529 | State Street Bank Corp. | 5/22/2020 | 19,076 |
| SGD | 2,141 | USD | 1,534 | Goldman Sachs International | 5/22/2020 | 5 |
| USD | 866,153 | AUD | 1,319,528 | Brown Brothers Harriman | 5/22/2020 | 5,261 |
| USD | 1,821,473 | BRL | 8,101,000 | Goldman Sachs International | 4/02/2020 | 13,398 |
| USD | 10,265,388 | CAD | 13,656,508 | Citibank N.A. | 5/22/2020 | 91,370 |
| USD | 493,395 | CAD | 657,000 | UBS AG | 5/22/2020 | 3,934 |
| USD | 98,109 | CLP | 79,993,000 | Citibank N.A. | 3/17/2020 | 302 |
| USD | 1,781,930 | CLP | 1,448,709,000 | Goldman Sachs International | 3/17/2020 | 10,612 |
| USD | 982,133 | CNH | 6,819,000 | UBS AG | 4/15/2020 | 6,118 |
| USD | 15,152,623 | GBP | 11,717,632 | Merrill Lynch International | 5/22/2020 | 99,945 |
| USD | 473,366 | GBP | 366,124 | UBS AG | 5/20/2020 | 3,055 |
| USD | 42,652 | IDR | 599,769,000 | JPMorgan Chase Bank N.A. | 4/13/2020 | 1,004 |
| USD | 484,943 | MXN | 9,470,691 | JPMorgan Chase Bank N.A. | 5/22/2020 | 9,737 |
| USD | 2,944,435 | NZD | 4,670,659 | Brown Brothers Harriman | 5/22/2020 | 22,826 |
| USD | 1,954,534 | THB | 60,485,000 | JPMorgan Chase Bank N.A. | 3/16/2020 | 37,281 |
| $342,150 | ||||||
| Liability Derivatives | ||||||
| BRL | 8,101,000 | USD | 1,895,459 | JPMorgan Chase Bank N.A. | 4/02/2020 | $(87,384) |
| CLP | 1,180,000,000 | USD | 1,516,222 | Barclays Bank PLC | 3/17/2020 | (73,452) |
| CLP | 348,702,000 | USD | 452,272 | Citibank N.A. | 3/17/2020 | (25,919) |
| CNH | 6,800,000 | USD | 985,717 | JPMorgan Chase Bank N.A. | 4/15/2020 | (12,422) |
| EUR | 459,000 | USD | 513,488 | Merrill Lynch International | 4/15/2020 | (5,456) |
| KRW | 1,138,317,000 | USD | 982,918 | Barclays Bank PLC | 4/21/2020 | (44,968) |
| KRW | 276,117,000 | USD | 239,415 | JPMorgan Chase Bank N.A. | 3/16/2020 | (12,024) |
| NOK | 1,856,000 | USD | 197,617 | Deutsche Bank AG | 5/22/2020 | (356) |
| NOK | 9,274,000 | USD | 988,403 | Goldman Sachs International | 5/22/2020 | (2,735) |
| NOK | 8,113,824 | USD | 864,928 | Merrill Lynch International | 5/22/2020 | (2,568) |
| USD | 96,596 | CAD | 130,000 | Goldman Sachs International | 5/22/2020 | (253) |
| USD | 2,113,103 | EUR | 1,934,000 | Citibank N.A. | 5/22/2020 | (31,799) |
| USD | 51,199,733 | EUR | 46,833,236 | Goldman Sachs International | 5/22/2020 | (740,644) |
| USD | 166,059 | EUR | 152,280 | Merrill Lynch International | 5/20/2020 | (2,810) |
| USD | 14,348,499 | JPY | 1,577,574,434 | Deutsche Bank AG | 5/22/2020 | (336,221) |
| USD | 1,169,353 | KRW | 1,421,524,500 | Barclays Bank PLC | 3/16/2020 | (1,314) |
| USD | 5,718 | SEK | 55,464 | Goldman Sachs International | 5/22/2020 | (73) |
| USD | 1,963,494 | SEK | 18,957,000 | JPMorgan Chase Bank N.A. | 5/22/2020 | (15,942) |
| $(1,396,340) | ||||||
19
Portfolio of Investments (unaudited) –
continued
| 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 | 105 | $12,888,750 | June – 2020 | $136,762 |
| U.S. Treasury Ultra Bond | Long | USD | 19 | 3,942,500 | June – 2020 | 48,182 |
| $184,944 | ||||||
| Liability Derivatives | ||||||
| Interest Rate Futures | ||||||
| Canadian Treasury Bond 10 yr | Short | CAD | 40 | $4,253,157 | June – 2020 | $(58,230) |
| Euro-Bobl 5 yr | Short | EUR | 191 | 28,604,519 | March – 2020 | (295,622) |
| Euro-Bund 10 yr | Short | EUR | 87 | 17,043,908 | March – 2020 | (472,729) |
| Euro-Buxl 30 yr | Short | EUR | 5 | 1,213,131 | March – 2020 | (80,070) |
| Japan Government Bond 10 yr | Short | JPY | 6 | 8,570,554 | March – 2020 | (102,995) |
| Long Gilt 10 yr | Short | GBP | 38 | 6,596,918 | June – 2020 | (59,819) |
| U.S. Treasury Bond | Short | USD | 1 | 170,250 | June – 2020 | (3,219) |
| U.S. Treasury Note 10 yr | Short | USD | 344 | 46,354,000 | June – 2020 | (532,807) |
| U.S. Treasury Note 2 yr | Short | USD | 15 | 3,274,922 | June – 2020 | (16,090) |
| U.S. Treasury Ultra Note 10 yr | Short | USD | 73 | 10,965,969 | June – 2020 | (219,249) |
| $(1,840,830) | ||||||
| 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 | ||||||||||
| Credit Default Swaps | ||||||||||
| 12/20/24 | EUR | 1,350,000 | centrally cleared | 5.00%/Quarterly | (1) | $9,073 | $133,801 | $142,874 | ||
| 12/20/24 | EUR | 450,000 | centrally cleared | 5.00%/Quarterly | (1) | 3,024 | 44,600 | 47,624 | ||
| $12,097 | $178,401 | $190,498 | ||||||||
(1) Fund, as protection seller, to
pay notional amount upon a defined credit event by a reference obligation specified in the Markit iTraxx Europe Crossover Index, 5.00%, 12/24/20, a BBB+ rated credit default index. The fund entered into the contract
to gain issuer exposure.
Although contract-specific, credit
events generally consist of a combination of the following: bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium, each as defined in the 2003 International
Swaps and Derivatives Association (ISDA) Credit Derivatives Definitions as amended by the relevant contract. Restructuring is generally not applicable when the reference obligation is issued by a North American
corporation and obligation acceleration, obligation default, or repudiation/moratorium are generally only applicable when the reference obligation is issued by a sovereign entity or an entity in an emerging country.
The maximum amount of future, undiscounted payments that the fund, as protection seller, could be required to make is equal to the swap agreement’s notional amount.
At February 29, 2020, the fund had
cash collateral of $260,000 and other liquid securities with an aggregate value of $1,318,911 to cover any collateral or margin obligations for certain derivative contracts.
See attached supplemental
information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.
20
Supplemental Information
2/29/20 (unaudited)
The fund is an investment company
and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment
Companies.
(1) Investment Valuations
Equity securities, including
restricted equity securities, are generally valued at the last sale or official closing price on their primary market or exchange as provided by a third-party pricing service. Equity securities, for which there were
no sales reported that day, are generally valued at the last quoted daily bid quotation on their primary market or exchange as provided by a third-party pricing service. Debt instruments and floating rate loans,
including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less
may be valued at amortized cost, which approximates market value. Exchange-traded options are generally valued at the last sale or official closing price on their primary exchange as provided by a third-party
pricing service. Exchange-traded options for which there were no sales reported that day are generally valued at the last daily bid quotation on their primary exchange as provided by a third-party pricing service. For
put options, the position may be valued at the last daily ask quotation if there are no trades reported during the day. Options not traded on an exchange are generally valued at a broker/dealer bid quotation. Foreign
currency options are generally valued at valuations provided by a third-party pricing service. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a
third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party
pricing service. Forward foreign currency exchange contracts are generally valued at the mean of bid and asked prices for the time period interpolated from rates provided by a third-party pricing service for
proximate time periods. Swap agreements are generally valued using valuations provided by a third-party pricing service, which for cleared swaps includes an evaluation of any trading activity at the
clearinghouses. Open-end investment companies are generally valued at net asset value per share. Securities and other assets generally valued on the basis of information from a third-party pricing service
may also be valued at a broker/dealer bid quotation. In determining values, third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity,
type of issue, trading characteristics, and other market data. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of
bid and asked prices for rates provided by a third-party pricing service.
The Board of Trustees has delegated
primary responsibility for determining or causing to be determined the value of the fund’s investments (including any fair valuation) to the adviser pursuant to valuation policies and procedures approved by the
Board. If the adviser determines that reliable market quotations are not readily available, investments are valued at fair value as determined in good faith by the adviser in accordance with such procedures under the
oversight of the Board of Trustees. Under the fund’s valuation policies and procedures, market quotations are not considered to be readily available for most types of debt instruments and floating rate loans and
many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services. In addition, investments may be valued at fair value if the adviser determines
that an investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior
to the determination of the fund’s net asset value, or after the halt of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is
principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost
and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an
investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an
investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an
investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.
Various inputs are used in
determining the value of the fund's assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value
hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund's assessment of the significance of a
particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or
liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk).
21
Supplemental Information (unaudited) –
continued
Level 3 includes unobservable inputs, which may
include the adviser's own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts, forward foreign currency exchange contracts, and
swap agreements. The following is a summary of the levels used as of February 29, 2020 in valuing the fund's assets or liabilities:
| Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
| Equity Securities: | ||||
| United States | $— | $37 | $325,581 | $325,618 |
| Mexico | — | 208,768 | — | 208,768 |
| Canada | 89,847 | — | — | 89,847 |
| U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 35,359,150 | — | 35,359,150 |
| Non - U.S. Sovereign Debt | — | 122,569,160 | — | 122,569,160 |
| Municipal Bonds | — | 1,951,580 | — | 1,951,580 |
| U.S. Corporate Bonds | — | 194,069,306 | — | 194,069,306 |
| Residential Mortgage-Backed Securities | — | 31,375,719 | — | 31,375,719 |
| Commercial Mortgage-Backed Securities | — | 15,373,246 | — | 15,373,246 |
| Asset-Backed Securities (including CDOs) | — | 10,941,853 | — | 10,941,853 |
| Foreign Bonds | — | 75,949,852 | — | 75,949,852 |
| Floating Rate Loans | — | 1,472,689 | — | 1,472,689 |
| Mutual Funds | 10,378,412 | — | — | 10,378,412 |
| Total | $10,468,259 | $489,271,360 | $325,581 | $500,065,200 |
| Other Financial Instruments | ||||
| Futures Contracts – Assets | $184,944 | $— | $— | $184,944 |
| Futures Contracts – Liabilities | (1,840,830) | — | — | (1,840,830) |
| Forward Foreign Currency Exchange Contracts – Assets | — | 342,150 | — | 342,150 |
| Forward Foreign Currency Exchange Contracts – Liabilities | — | (1,396,340) | — | (1,396,340) |
| Swap Agreements – Assets | — | 190,498 | — | 190,498 |
For further information regarding
security characteristics, see the Portfolio of Investments.
The following is a reconciliation of
level 3 assets for which significant unobservable inputs were used to determine fair value. The table presents the activity of level 3 securities held at the beginning and the end of the period.
| Equity Securities | |
| Balance as of 11/30/19 | $311,061 |
| Change in unrealized appreciation or depreciation | 14,520 |
| Balance as of 2/29/20 | $325,581 |
The net change in unrealized
appreciation or depreciation from investments held as level 3 at February 29, 2020 is $14,520. At February 29, 2020, the fund held one level 3 security.
(2) Investments in Affiliated
Issuers
An affiliated issuer 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. For the purposes of this report, the following were affiliated issuers:
| Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
| MFS Institutional Money Market Portfolio | $10,417,155 | $33,562,111 | $33,600,449 | $(170) | $(235) | $10,378,412 |
| Affiliated Issuers | Dividend Income | Capital Gain Distributions |
| MFS Institutional Money Market Portfolio | $55,358 | $— |
22
Supplemental Information (unaudited) –
continued
(3) Impacts of COVID-19
The pandemic related to the global
spread of novel coronavirus disease (COVID-19), which was first detected in December 2019, has resulted in significant disruptions to global business activity and the global economy, as well as the economies of
individual countries, the financial performance of individual companies and sectors, and the securities and commodities markets in general. This pandemic, the full effects of which are still unknown, has resulted in
substantial market volatility and may have adversely impacted the prices and liquidity of the fund's investments and the fund's performance during the period February 29, 2020 through April 16, 2020, the date that
these financial statements were issued.
23