|
Issuer
|
|
|
Shares/Par
|
Value ($)
|
|
Bonds – 75.8%
|
||||
|
Aerospace & Defense – 0.2%
|
||||
|
Huntington Ingalls Industries, Inc., 5.353%, 1/15/2030
|
|
$
|
1,903,000
|
$1,921,353
|
|
Apparel, Footwear, & Accessories – 0.4%
|
||||
|
Gildan Activewear, Inc., 4.7%, 10/07/2030 (n)
|
|
$
|
1,426,000
|
$1,393,657
|
|
Tapestry, Inc., 5.1%, 3/11/2030
|
|
|
1,939,000
|
1,940,401
|
|
|
|
|
|
$3,334,058
|
|
Asset-Backed & Securitized – 17.5%
|
||||
|
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 0.985%, 11/15/2054 (i)
|
|
$
|
19,328,305
|
$587,233
|
|
ACORE Issuer LLC, 2026-FL1, “B”, 5.569%, 8/20/2043 (n)
|
|
|
2,131,500
|
2,133,722
|
|
ACREC 2021-FL1 Ltd., “AS”, FLR, 5.293% ((SOFR - 1mo. + 0.11448%) + 1.5%), 10/16/2036 (n)
|
|
|
460,702
|
460,702
|
|
ACREC 2021-FL1 Ltd., “B”, FLR, 5.593% ((SOFR - 1mo. + 0.11448%) + 1.8%), 10/16/2036 (n)
|
|
|
1,406,000
|
1,406,082
|
|
ACREC 2021-FL1 Ltd., “C”, FLR, 5.943% ((SOFR - 1mo. + 0.11448%) + 2.15%), 10/16/2036 (n)
|
|
|
1,129,000
|
1,129,433
|
|
American Credit Acceptance Receivables Trust, 2026-2, “B”, 4.5%, 10/08/2030 (n)
|
|
|
600,000
|
597,667
|
|
Angel Oak Mortgage Trust, 2024-13, “A1”, 5.464%, 12/26/2069 (n)
|
|
|
2,291,152
|
2,285,603
|
|
Angel Oak Mortgage Trust, 2024-7, “A1”, 5.621%, 5/25/2069 (n)
|
|
|
1,697,724
|
1,699,617
|
|
Angel Oak Mortgage Trust, 2024-9, “A1”, 5.138%, 9/25/2069 (n)
|
|
|
1,185,891
|
1,183,241
|
|
Angel Oak Mortgage Trust, 2025-10, “A1”, 4.96%, 9/25/2070 (n)
|
|
|
1,071,739
|
1,059,936
|
|
Arbor Realty Trust, Inc., CLO, 2022-FL1, “C”, FLR, 5.925% (SOFR - 30 day + 2.3%), 1/15/2037 (n)
|
|
|
2,695,500
|
2,695,500
|
|
ARDN Mortgage Trust, 2025-ARCP, “A”, FLR, 5.426% (SOFR - 1mo. + 1.75%), 6/15/2035 (n)
|
|
|
2,999,000
|
3,001,808
|
|
AREIT 2022-CRE6 Trust, “C”, FLR, 5.771% (SOFR - 30 day + 2.15%), 1/20/2037 (n)
|
|
|
894,000
|
894,825
|
|
AREIT 2022-CRE6 Trust, “D”, FLR, 6.471% (SOFR - 30 day + 2.85%), 1/20/2037 (n)
|
|
|
795,500
|
796,155
|
|
AREIT 2022-CRE7 LLC, “B”, FLR, 6.923% (SOFR - 1mo. + 3.244%), 6/17/2039 (n)
|
|
|
2,563,500
|
2,564,274
|
|
ARI Fleet Lease Trust, 2023-B, “A2”, 6.05%, 7/15/2032 (n)
|
|
|
49,124
|
49,251
|
|
Aspire Mortgage Trust, 2026-1, “A1”, 4.855%, 1/25/2066 (n)
|
|
|
637,695
|
629,452
|
|
AutoNation Finance Trust, 2025-1A, “A2”, 4.72%, 4/10/2028 (n)
|
|
|
81,346
|
81,368
|
|
Bain Capital Credit CLO Ltd., 2021-4A, “BRR”, FLR, 5.079% (SOFR - 3mo. + 1.35%), 10/20/2034 (n)
|
|
|
3,204,420
|
3,199,402
|
|
Balboa Bay Loan Funding Ltd., 2022-1A, “BR”, 5.579% (SOFR - 3mo. + 1.85%), 4/20/2037 (n)
|
|
|
3,115,644
|
3,117,635
|
|
BBCMS Mortgage Trust, 2018-C2, “XA”, 0.735%, 12/15/2051 (i)(n)
|
|
|
17,699,554
|
227,494
|
|
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.19%, 7/15/2054 (i)
|
|
|
6,344,772
|
280,585
|
|
BBCMS Mortgage Trust, 2021-C11, “XA”, 1.318%, 9/15/2054 (i)
|
|
|
6,767,684
|
317,716
|
|
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.538%, 2/15/2054 (i)
|
|
|
10,667,736
|
588,765
|
|
BDS 2024-FL13 Ltd., “A”, FLR, 5.245% (SOFR - 1mo. + 1.5762%), 9/19/2039 (n)
|
|
|
682,556
|
682,882
|
|
BDS LLC, 2026-FL17, “B”, FLR, 5.469% (SOFR - 1mo. + 1.8%), 5/19/2043 (n)
|
|
|
3,108,348
|
3,108,332
|
|
BDS Ltd., 2026-FL17, “AS”, FLR, 5.219% (SOFR - 1mo. + 1.55%), 5/19/2043 (n)
|
|
|
1,120,045
|
1,120,357
|
|
BDS Ltd., 2026-FL17, “C”, FLR, 5.619% (SOFR - 1mo. + 1.95%), 5/19/2043 (n)
|
|
|
565,250
|
565,247
|
|
BDS Ltd., 2026-FL18, “AS”, FLR, 5% (SOFR - 1mo. + 1.5%), 2/19/2044 (n)
|
|
|
1,135,048
|
1,135,400
|
|
BDS Ltd., 2026-FL18, “B”, FLR, 0% (SOFR - 1mo. + 1.7%), 2/19/2044 (n)(w)
|
|
|
948,125
|
948,422
|
|
Benchmark 2021-B23 Mortgage Trust, “XA”, 1.244%, 2/15/2054 (i)
|
|
|
12,142,770
|
486,895
|
|
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.343%, 7/15/2054 (i)
|
|
|
13,813,080
|
572,270
|
|
Benchmark 2021-B28 Mortgage Trust, “XA”, 1.215%, 8/15/2054 (i)
|
|
|
9,685,082
|
419,507
|
|
Benchmark 2021-B29 Mortgage Trust, “XA”, 1.097%, 9/15/2054 (i)
|
|
|
14,232,108
|
432,574
|
|
Benchmark 2025-V18 Mortgage Trust, “A3”, 5.183%, 10/15/2058
|
|
|
1,538,903
|
1,541,469
|
|
BlueMountain CLO Ltd., 2020-29AR, “CR2”, FLR, 5.76% (SOFR - 3mo. + 1.95%), 7/25/2034 (n)
|
|
|
1,679,104
|
1,676,308
|
|
BSPRT Issuer Ltd., 2026-FL13, “A”, FLR, 5.169% (SOFR - 1mo. + 1.5%), 10/18/2043 (n)
|
|
|
2,975,000
|
2,978,219
|
|
Business Jet Securities LLC, 2024-1A, “A”, 6.197%, 5/15/2039 (n)
|
|
|
539,027
|
543,915
|
|
Business Jet Securities LLC, 2024-1A, “B”, 6.924%, 5/15/2039 (n)
|
|
|
64,443
|
65,575
|
|
Business Jet Securities LLC, 2024-2A, “A”, 5.364%, 9/15/2039 (n)
|
|
|
716,915
|
713,405
|
|
Business Jet Securities LLC, 2024-2A, “B”, 5.754%, 9/15/2039 (n)
|
|
|
418,143
|
415,096
|
|
Business Jet Securities LLC, 2026-1A, “A”, 5.464%, 6/15/2041 (n)
|
|
|
490,000
|
487,444
|
|
Business Jet Securities LLC, 2026-1A, “C”, 6.099%, 6/15/2041 (n)
|
|
|
180,320
|
179,687
|
|
BX Trust, 2026-CLS, “C”, FLR, 6.026% (SOFR - 1mo. + 2.35%), 5/15/2043 (n)
|
|
|
332,000
|
332,697
|
|
BX Trust, 2026-CLS, “D”, FLR, 7.126% (SOFR - 1mo. + 3.45%), 5/15/2043 (n)
|
|
|
187,000
|
187,585
|
|
BX Trust, 2026-CSMO, “A”, FLR, 5.076% (SOFR - 1mo. + 1.4%), 2/15/2043 (n)
|
|
|
910,000
|
912,559
|
|
BXMT 2020-FL2 Ltd., “B”, FLR, 5.443% ((SOFR - 1mo. + 0.11448%) + 1.4%), 2/15/2038 (n)
|
|
|
1,492,000
|
1,485,147
|
|
BXMT 2021-FL4 Ltd., “AS”, FLR, 5.343% ((SOFR - 1mo. + 0.11448%) + 1.3%), 5/15/2038 (n)
|
|
|
2,601,000
|
2,587,035
|
|
Issuer
|
|
|
Shares/Par
|
Value ($)
|
|
Bonds – continued
|
||||
|
Asset-Backed & Securitized – continued
|
||||
|
CarMax Select Receivables Trust, 2025-B, “A2”, 4.19%, 3/15/2029
|
|
$
|
1,335,514
|
$1,334,948
|
|
CarMax Select Recievables Trust, 2026-B, “B”, 4.88%, 10/15/2032
|
|
|
409,000
|
409,027
|
|
CD 2017-CD4 Mortgage Trust, “XA”, 1.35%, 5/10/2050 (i)
|
|
|
8,257,226
|
28,696
|
|
CF Hippolyta Issuer LLC, 2020-1, “A1”, 1.69%, 7/15/2060 (n)
|
|
|
347,895
|
286,561
|
|
CF Hippolyta Issuer LLC, 2020-1, “B1”, 2.28%, 7/15/2060 (n)
|
|
|
113,394
|
68,211
|
|
Chesapeake Funding II LLC, 2023-2A, “A1”, 6.16%, 10/15/2035 (n)
|
|
|
195,893
|
196,052
|
|
Colt Funding LLC, 2024-2, “A1”, 6.125%, 4/25/2069 (n)
|
|
|
608,147
|
609,259
|
|
Colt Funding LLC, 2024-3, “A1”, 6.393%, 6/25/2069 (n)
|
|
|
957,505
|
961,923
|
|
Colt Funding LLC, 2024-3, “A2”, 6.646%, 6/25/2069 (n)
|
|
|
317,779
|
319,378
|
|
Colt Funding LLC, 2024-5, “A1”, 5.123%, 8/25/2069 (n)
|
|
|
1,379,021
|
1,371,410
|
|
Commercial Mortgage Pass-Through Certificates, 2019-BN24, “XA”, 0.632%, 11/15/2062 (i)
|
|
|
8,808,430
|
164,152
|
|
Commercial Mortgage Pass-Through Certificates, 2021-BN31, “XA”, 1.278%, 2/15/2054 (i)
|
|
|
10,575,915
|
466,614
|
|
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.703%, 4/15/2054 (i)
|
|
|
9,915,704
|
255,926
|
|
Commercial Mortgage Pass-Through Certificates, 2021-BN34, “XA”, 1.063%, 6/15/2063 (i)
|
|
|
11,218,553
|
366,834
|
|
Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.002%, 6/15/2064 (i)
|
|
|
5,598,317
|
212,471
|
|
COOPR Residential Mortgage Trust, 2025-CES1, “A1A”, 5.654%, 5/25/2060 (n)
|
|
|
340,715
|
341,064
|
|
CPS Auto Trust, 2026-B, “B”, 4.59%, 12/16/2030 (n)
|
|
|
434,000
|
432,872
|
|
Credit Acceptance Auto Loan Trust, 2023-3A, “B”, 7.09%, 10/17/2033 (n)
|
|
|
1,050,721
|
1,055,020
|
|
Dell Equipment Finance Trust, 2024-2, “A3”, 4.59%, 8/22/2030 (n)
|
|
|
729,494
|
730,254
|
|
DLLST LLC, 2024-1A, “A3”, 5.05%, 8/20/2027 (n)
|
|
|
93,179
|
93,319
|
|
Dryden Senior Loan Fund CLO Ltd., 2019-75A, “BR3”, FLR, 5.252% (SOFR - 3mo. + 1.5%), 4/14/2034 (n)
|
|
|
4,026,477
|
4,024,878
|
|
Dryden Senior Loan Fund CLO Ltd., 2021-95A, “BR”, FLR, 5.241% (SOFR - 3mo. + 1.6%), 8/20/2034 (n)
|
|
|
3,250,000
|
3,251,700
|
|
Dryden Senior Loan Fund, 2017-49A, “BR”, CLO, FLR, 5.59% ((SOFR - 3mo. + 0.26161%) + 1.6%), 7/18/2030 (n)
|
|
|
841,194
|
842,198
|
|
Dwight Issuer LLC, 2025-FL1, 2026-FL2, “AS”, FLR, 5.25% (SOFR - 1mo. + 1.65%), 1/18/2044 (n)
|
|
|
466,084
|
466,554
|
|
Ellington Financial Mortgage Trust, 2026-AE3, “A28”, FLR, 4.966% (SOFR - 1mo. + 1.35%), 6/25/2061 (n)
|
|
|
1,453,217
|
1,452,765
|
|
Empire District Bondco LLC, 4.943%, 1/01/2033
|
|
|
518,205
|
516,703
|
|
Enterprise Fleet Financing 2023-2 LLC, “A2”, 5.56%, 4/22/2030 (n)
|
|
|
56,520
|
56,604
|
|
Enterprise Fleet Financing 2023-2 LLC, “A3”, 5.5%, 4/22/2030 (n)
|
|
|
689,000
|
692,939
|
|
Enterprise Fleet Financing 2024-3 LLC, “A2”, 5.31%, 4/20/2027 (n)
|
|
|
29,398
|
29,413
|
|
Fortress CBO Investments Ltd., 2022-FL3, “AS”, FLR, 5.866% (SOFR - 30 day + 2.25%), 2/23/2039 (n)
|
|
|
1,162,212
|
1,161,049
|
|
General Motors Co., FLR, 4.075% (SOFR - 1mo. + 0.45%), 11/15/2028 (n)
|
|
|
1,225,000
|
1,225,164
|
|
General Motors Co., FLR, 4.175% (SOFR - 1mo. + 0.55%), 11/15/2029 (n)
|
|
|
1,693,000
|
1,696,134
|
|
GLS Auto Select Receivables Trust, 2026-2A, “A2”, 4.46%, 6/15/2032 (n)
|
|
|
1,270,000
|
1,267,504
|
|
GS Mortgage Securities Trust, 2017-GS6, “XA”, 1.149%, 5/10/2050 (i)
|
|
|
9,090,051
|
44,372
|
|
GS Mortgage Securities Trust, 2017-GS7, “XA”, 1.165%, 8/10/2050 (i)
|
|
|
10,127,004
|
55,780
|
|
GS Mortgage Securities Trust, 2020-GC47, “A5”, 1.12%, 5/12/2053 (i)
|
|
|
8,572,602
|
295,275
|
|
Harbor Park CLO Ltd., 2018-1A, “BR2”, FLR, 5.129% (SOFR - 3mo. + 1.4%), 1/20/2031 (n)
|
|
|
2,600,000
|
2,598,359
|
|
Home Owner Mortgage Enhanced, 5.077%, 8/25/2060 (n)
|
|
|
649,177
|
641,221
|
|
Invesco CLO Ltd., 2022-2A, “BR”, FLR, 5.409% (SOFR - 3mo. + 1.68%), 7/20/2035 (n)
|
|
|
3,344,351
|
3,352,026
|
|
Invesco CLO Ltd., 2023-3A, “BR”, FLR, 5.502% (SOFR - 3mo. + 1.75%), 7/15/2038 (n)
|
|
|
2,068,965
|
2,075,244
|
|
Jersey Mikes Funding LLC, 2026-1A, “A2I”, 4.952%, 2/15/2056 (n)
|
|
|
974,557
|
953,070
|
|
JPMorgan Chase Commercial Mortgage Securities Corp., 1.146%, 9/15/2050 (i)
|
|
|
8,309,654
|
42,640
|
|
JPMorgan Mortgage Trust, 5.592%, 2/25/2064 (n)
|
|
|
684,758
|
686,380
|
|
JPMorgan Mortgage Trust, 2026-NQM1, “A1”, 4.745%, 6/25/2066 (n)
|
|
|
537,998
|
529,773
|
|
LoanCore 2025-CRE8 Ltd., “A”, FLR, 5.064% (SOFR - 1mo. + 1.385%), 8/17/2042 (n)
|
|
|
1,791,500
|
1,791,692
|
|
LoanCore 2025-CRE8 Ltd., “AS”, FLR, 5.27% (SOFR - 1mo. + 1.5909%), 8/17/2042 (n)
|
|
|
2,698,500
|
2,698,967
|
|
MF1 2022-FL8 Ltd., “C”, FLR, 5.867% (SOFR - 30 day + 2.2%), 2/19/2037 (n)
|
|
|
941,914
|
939,850
|
|
MF1 2022-FL9 LLC, “B”, FLR, 6.818% (SOFR - 1mo. + 3.15%), 6/19/2037 (n)
|
|
|
2,988,000
|
2,989,625
|
|
MF1 2025-FL20 LLC, “AS”, FLR, 5.37% (SOFR - 1mo. + 1.7%), 2/18/2043 (n)
|
|
|
2,000,000
|
2,006,191
|
|
MF1 2025-FL20 LLC, “B”, FLR, 5.619% (SOFR - 1mo. + 1.95%), 2/18/2043 (n)
|
|
|
1,128,514
|
1,131,669
|
|
MF1 2026-FL21 LLC, “AS”, FLR, 5.22% (SOFR - 1mo. + 1.55%), 2/18/2041 (n)
|
|
|
780,014
|
780,296
|
|
MF1 2026-FL21 LLC, “B”, FLR, 5.419% (SOFR - 1mo. + 1.75%), 2/18/2041 (n)
|
|
|
374,772
|
374,770
|
|
MF1 2026-FL21 LLC, “C”, FLR, 5.62% (SOFR - 1mo. + 1.95%), 2/18/2041 (n)
|
|
|
1,240,411
|
1,240,404
|
|
Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C33, “XA”, 1.384%, 5/15/2050 (i)
|
|
|
8,070,975
|
45,528
|
|
Morgan Stanley Capital I Trust, 2017-H1, “XA”, 1.386%, 6/15/2050 (i)
|
|
|
3,193,882
|
19,244
|
|
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 0.966%, 12/15/2051 (i)
|
|
|
13,788,642
|
212,818
|
|
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.176%, 5/15/2054 (i)
|
|
|
8,244,915
|
349,111
|
|
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.14%, 6/15/2054 (i)
|
|
|
7,098,154
|
250,226
|
|
Morgan Stanley Residential Mortgage Loan Trust, 2025-NQM9, “A1”, 5.016%, 9/25/2070 (n)
|
|
|
1,269,178
|
1,254,640
|
|
Issuer
|
|
|
Shares/Par
|
Value ($)
|
|
Bonds – continued
|
||||
|
Asset-Backed & Securitized – continued
|
||||
|
Morgan Stanley Residential Mortgage Loan Trust, 2026-NQM4, “A1”, 5.075%, 3/25/2071 (n)
|
|
$
|
1,002,000
|
$990,509
|
|
Morgan Stanley Residential Mortgage Loan Trust, 2026-NQM8, “A1”, 5.508%, 6/25/2071 (n)
|
|
|
941,736
|
939,711
|
|
New Residential Mortgage Loan Trust, 2024-NQM3, “A1”, 5.53%, 5/25/2065 (n)
|
|
|
537,368
|
535,699
|
|
New Residential Mortgage Loan Trust, 2024-NQMI, “A1”, 6.129%, 3/25/2064 (n)
|
|
|
1,093,229
|
1,095,407
|
|
OBX Trust, 2023-NQM5, “A1”, 5.988%, 1/25/2064 (n)
|
|
|
317,564
|
318,034
|
|
OBX Trust, 2024-NQM1, “A1”, 5.928%, 11/25/2063 (n)
|
|
|
365,716
|
366,613
|
|
OBX Trust, 2024-NQM1, “A1”, 5.875%, 6/25/2064 (n)
|
|
|
1,070,613
|
1,076,259
|
|
OBX Trust, 2024-NQM1, “A2”, 6.253%, 11/25/2063 (n)
|
|
|
110,695
|
110,735
|
|
OBX Trust, 2024-NQM8, “A1”, 6.233%, 5/25/2064 (n)
|
|
|
680,352
|
683,036
|
|
OCP CLO 2015-10A Ltd., “B1R3”, FLR, 5.46% (SOFR - 3mo. + 1.65%), 1/26/2038 (n)
|
|
|
2,250,000
|
2,252,842
|
|
OneMain Financial Issuance Trust, 2020-2A, “A”, 1.75%, 9/14/2035 (n)
|
|
|
692,731
|
685,884
|
|
OneMain Financial Issuance Trust, 2022-S1, “A”, 4.13%, 5/14/2035 (n)
|
|
|
132,218
|
132,189
|
|
OneMain Financial Issuance Trust, 2023-2A, “B”, 6.17%, 9/15/2036 (n)
|
|
|
969,000
|
985,057
|
|
OneMain Financial Issuance Trust, 2023-2A, “C”, 6.74%, 9/15/2036 (n)
|
|
|
2,280,000
|
2,329,431
|
|
Palmer Square Loan Funding, 2025-1A Ltd., “A2”, FLR, 4.851% (SOFR - 3mo. + 1.2%), 2/15/2033 (n)
|
|
|
3,000,000
|
2,998,443
|
|
Palmer Square Loan Funding, 2025-2A Ltd., “A2”, FLR, 5.152% (SOFR - 3mo. + 1.4%), 7/15/2033 (n)
|
|
|
2,500,000
|
2,500,385
|
|
PFP III 2026-13 Ltd., “AS”, FLR, 5.319% (SOFR - 1mo. + 1.65%), 8/18/2043 (n)
|
|
|
3,000,000
|
3,009,346
|
|
PFP III 2026-13 Ltd., “B”, FLR, 5.52% (SOFR - 1mo. + 1.85%), 8/18/2043 (n)
|
|
|
1,250,000
|
1,255,173
|
|
PFP III, 2025-12 Ltd., “A”, FLR, 5.158% (SOFR - 1mo. + 1.4892%), 12/18/2042 (n)
|
|
|
3,350,000
|
3,362,305
|
|
PFS Financing Corp., 2026-A, “A”, FLR, 4.325% (SOFR - 1mo. + 0.7%), 2/15/2030 (n)
|
|
|
1,970,000
|
1,975,063
|
|
Planet Fitness Master Issuer, 2025-1A, “A2I”, 5.274%, 12/06/2055 (n)
|
|
|
713,212
|
699,216
|
|
PMT Loan Trust, 2026-INV4, “A36”, FLR, 5.066% (SOFR - 1mo. + 1.45%), 3/25/2057 (n)
|
|
|
1,557,935
|
1,557,653
|
|
Provident Funding Mortgage Trust, 2024-1, “A3”, 5.5%, 12/25/2054 (n)
|
|
|
1,352,518
|
1,347,406
|
|
Provident Funding Mortgage Trust, 2025-1, “A”, 5.5%, 2/25/2055 (n)
|
|
|
1,895,027
|
1,887,615
|
|
Rate Mortgage Trust, 2025-J3, “A27”, FLR, 5.166% (SOFR - 1mo. + 1.55%), 11/25/2055 (n)
|
|
|
2,684,006
|
2,691,856
|
|
Santander Mortgage Asset Receivables Trust, 2025-NQM2, “A1”, 5.732%, 2/25/2065 (n)
|
|
|
348,806
|
349,134
|
|
Sequoia Mortgage Trust, 2026-Med2, “A1A”, 5.614%, 8/25/2056 (n)
|
|
|
871,870
|
866,776
|
|
Shackleton 2013-4RA CLO Ltd., “B”, FLR, 5.924% ((SOFR - 3mo. + 2.1616%) + 1.9%) 4/13/2031 (n)
|
|
|
722,762
|
722,799
|
|
Southwick Park CLO Ltd., 2019-4A, “B2R”, 2.46%, 7/20/2032 (n)
|
|
|
1,123,000
|
1,043,110
|
|
Speak CLO Ltd., 2014-1A, “BR4”, FLR, 5.349% (SOFR - 3mo. + 1.6%), 4/17/2034 (n)
|
|
|
2,700,000
|
2,702,981
|
|
Taco Bell Funding LLC, 2025-1A, “A2I”, 4.821%, 8/25/2055 (n)
|
|
|
2,021,619
|
1,980,481
|
|
TCW Gem Ltd., 2020-1A, “BR3”, FLR, 5.329% (SOFR - 3mo. + 1.6%), 4/20/2034 (n)
|
|
|
4,157,184
|
4,168,658
|
|
TPG Real Estate Finance, 2025-FL7, “AS”, FLR, 5.37% (SOFR - 1mo. + 1.7%), 6/18/2043 (n)
|
|
|
849,947
|
851,539
|
|
TPG Real Estate Finance, 2025-FL7, “B”, FLR, 5.62% (SOFR - 1mo. + 1.95%), 6/18/2043 (n)
|
|
|
1,560,956
|
1,563,660
|
|
Trinitas CLO Ltd., 2021-15A, “B1R”, FLR, 5.383% (SOFR - 3mo. + 1.65%), 4/22/2034 (n)
|
|
|
3,427,373
|
3,428,134
|
|
UBS Commercial Mortgage Trust, 2017-C1, “XA”, 1.082%, 11/15/2050 (i)
|
|
|
4,740,837
|
45,690
|
|
UBS Commercial Mortgage Trust, 2018-C14, “XA”, 1.062%, 12/15/2051 (i)
|
|
|
5,319,850
|
83,877
|
|
Verus Securitization Trust, 2024-3, “A2”, 6.642%, 4/25/2069 (n)
|
|
|
490,146
|
492,332
|
|
Verus Securitization Trust, 2024-6, “A1”, 5.799%, 7/25/2069 (n)
|
|
|
514,090
|
514,922
|
|
Virginia Power Fuel Securitization LLC, 5.088%, 5/01/2027
|
|
|
151,483
|
151,720
|
|
Volvo Financial Equipment LLC, 2026-1A, “A2”, 3.9%, 11/15/2028 (n)
|
|
|
446,000
|
444,515
|
|
Wells Fargo Commercial Mortgage Trust, 2021-C61, “XA”, 1.47%, 11/15/2054 (i)
|
|
|
4,740,663
|
241,771
|
|
|
|
|
|
$163,750,226
|
|
Auto & Auto Components – 1.4%
|
||||
|
Ford Motor Credit Co. LLC, 5.8%, 3/05/2027
|
|
$
|
4,336,000
|
$4,358,094
|
|
Ford Motor Credit Co. LLC, 5.753%, 4/06/2033
|
|
|
1,018,000
|
1,000,310
|
|
Hyundai Capital America, 4.5%, 6/16/2028 (n)
|
|
|
1,743,000
|
1,732,423
|
|
Hyundai Capital America, 4.75%, 6/18/2029 (n)
|
|
|
813,000
|
807,435
|
|
Hyundai Capital America, 5%, 6/18/2031 (n)
|
|
|
1,743,000
|
1,723,411
|
|
Stellantis Finance U.S., Inc., 1.711%, 1/29/2027 (n)
|
|
|
1,276,000
|
1,256,621
|
|
Stellantis Finance U.S., Inc., 2.691%, 9/15/2031 (n)
|
|
|
1,738,000
|
1,467,778
|
|
Stellantis Financial Services US Corp., 5.4%, 6/15/2029 (n)
|
|
|
1,177,000
|
1,168,725
|
|
|
|
|
|
$13,514,797
|
|
Brokerage & Asset Managers – 1.6%
|
||||
|
Brookfield Finance, Inc., 3.9%, 1/25/2028
|
|
$
|
4,053,000
|
$4,006,723
|
|
Citadel Finance LLC, 4.75%, 2/14/2029 (n)
|
|
|
1,657,000
|
1,624,662
|
|
Citadel Securities Global Holdings LLC, 5.125%, 1/27/2032 (n)
|
|
|
1,205,000
|
1,179,026
|
|
Issuer
|
|
|
Shares/Par
|
Value ($)
|
|
Bonds – continued
|
||||
|
Brokerage & Asset Managers – continued
|
||||
|
LPL Holdings, Inc., 5.7%, 5/20/2027
|
|
$
|
2,077,000
|
$2,093,520
|
|
LPL Holdings, Inc., 4.625%, 11/15/2027 (n)
|
|
|
1,426,000
|
1,417,527
|
|
LPL Holdings, Inc., 6.75%, 11/17/2028
|
|
|
1,075,000
|
1,114,829
|
|
LPL Holdings, Inc., 4%, 3/15/2029 (n)
|
|
|
2,257,000
|
2,191,728
|
|
LPL Holdings, Inc., 5.2%, 3/15/2030
|
|
|
1,082,000
|
1,080,620
|
|
|
|
|
|
$14,708,635
|
|
Business Services – 0.8%
|
||||
|
Equifax, Inc., 5%, 8/15/2029
|
|
$
|
1,153,000
|
$1,154,539
|
|
Fidelity National Information Services, Inc., 4.45%, 3/10/2028
|
|
|
1,398,000
|
1,390,451
|
|
Fidelity National Information Services, Inc., 4.55%, 3/10/2029
|
|
|
777,000
|
770,009
|
|
Fidelity National Information Services, Inc., 4.8%, 3/10/2031
|
|
|
1,398,000
|
1,373,317
|
|
Paychex, Inc., 5.1%, 4/15/2030
|
|
|
3,124,000
|
3,126,306
|
|
|
|
|
|
$7,814,622
|
|
Cable TV – 0.6%
|
||||
|
Cox Communications, Inc., 5.45%, 9/15/2028 (n)
|
|
$
|
3,417,000
|
$3,437,400
|
|
Videotron Ltd., 3.625%, 6/15/2029 (n)
|
|
|
2,687,000
|
2,584,146
|
|
|
|
|
|
$6,021,546
|
|
Conglomerates – 0.2%
|
||||
|
Regal Rexnord Corp., 6.05%, 4/15/2028
|
|
$
|
2,278,000
|
$2,320,620
|
|
Consumer Services – 1.1%
|
||||
|
CBRE Services, Inc., 5.5%, 4/01/2029
|
|
$
|
2,639,000
|
$2,681,061
|
|
CBRE Services, Inc., 4.8%, 6/15/2030
|
|
|
735,000
|
727,159
|
|
Meituan, 4.5%, 4/02/2028 (n)
|
|
|
1,575,000
|
1,565,256
|
|
Meituan, 4.625%, 10/02/2029 (n)
|
|
|
845,000
|
833,326
|
|
Meituan, 4.5%, 5/05/2031 (n)
|
|
|
632,000
|
609,619
|
|
Rentokil Terminix LLC, 5%, 4/28/2030 (n)
|
|
|
3,880,000
|
3,866,256
|
|
|
|
|
|
$10,282,677
|
|
Containers – 0.3%
|
||||
|
Berry Global, Inc., 1.65%, 1/15/2027
|
|
$
|
2,847,000
|
$2,811,478
|
|
Diversified Financial Services – 1.8%
|
||||
|
Apollo Debt Solutions BDC, 5.2%, 12/08/2028 (n)
|
|
$
|
687,000
|
$676,539
|
|
Aviation Capital Group, 4.25%, 4/30/2029 (n)
|
|
|
1,984,000
|
1,944,758
|
|
Avolon Holdings Funding Ltd., 2.528%, 11/18/2027 (n)
|
|
|
2,263,000
|
2,198,798
|
|
Avolon Holdings Funding Ltd., 2.75%, 2/21/2028 (n)
|
|
|
1,729,000
|
1,674,321
|
|
Blackstone Secured Lending Fund, 2.125%, 2/15/2027
|
|
|
687,000
|
676,313
|
|
Blackstone Secured Lending Fund, 5.9%, 5/21/2031
|
|
|
738,000
|
717,703
|
|
Blue Owl Credit Income Corp., 7.95%, 6/13/2028
|
|
|
475,000
|
489,399
|
|
Goldman Sachs Private Credit Corp., 5.05%, 2/23/2028
|
|
|
344,000
|
341,916
|
|
Goldman Sachs Private Credit Corp., 6.15%, 6/16/2031 (n)
|
|
|
588,000
|
580,386
|
|
SMBC Aviation Capital Finance DAC, 5.3%, 4/03/2029 (n)
|
|
|
4,319,000
|
4,350,370
|
|
Sumisho Air Lease Corp., 4.4%, 3/24/2028 (n)
|
|
|
1,735,000
|
1,723,652
|
|
Sumisho Air Lease Corp., 4.5%, 3/24/2029 (n)
|
|
|
1,088,000
|
1,074,880
|
|
|
|
|
|
$16,449,035
|
|
Electrical Equipment – 0.7%
|
||||
|
Arrow Electronics, Inc., 5.15%, 8/21/2029
|
|
$
|
3,068,000
|
$3,077,860
|
|
Arrow Electronics, Inc., 2.95%, 2/15/2032
|
|
|
1,491,000
|
1,309,421
|
|
Molex Electronic Technologies LLC, 4.75%, 4/30/2028 (n)
|
|
|
2,320,000
|
2,326,268
|
|
|
|
|
|
$6,713,549
|
|
Emerging Market Sovereign – 0.2%
|
||||
|
Eagle Funding LuxCo S.à r.l. (United Mexican States), 5.5%, 8/17/2030 (n)
|
|
$
|
2,225,000
|
$2,221,106
|
|
Issuer
|
|
|
Shares/Par
|
Value ($)
|
|
Bonds – continued
|
||||
|
Energy - Independent – 0.4%
|
||||
|
Antero Resources Corp., 5.375%, 3/01/2030 (n)
|
|
$
|
200,000
|
$200,342
|
|
EQT Corp., 5.7%, 4/01/2028
|
|
|
3,496,000
|
3,544,691
|
|
|
|
|
|
$3,745,033
|
|
Food & Beverages – 2.3%
|
||||
|
Bacardi Ltd., 4.7%, 5/15/2028 (n)
|
|
$
|
1,006,000
|
$1,001,516
|
|
Bacardi-Martini B.V., 5.25%, 1/15/2029 (n)
|
|
|
4,191,000
|
4,209,615
|
|
Constellation Brands, Inc., 4.8%, 5/01/2030
|
|
|
1,510,000
|
1,499,515
|
|
JBS N.V./JBS USA Foods Group Holdings, Inc./JBS USA Food Co., 3%, 2/02/2029
|
|
|
5,268,000
|
5,035,084
|
|
JDE Peet's N.V., 1.375%, 1/15/2027 (n)
|
|
|
1,537,000
|
1,513,760
|
|
Mars, Inc., 4.6%, 3/01/2028 (n)
|
|
|
1,941,000
|
1,941,756
|
|
Mars, Inc., 4.8%, 3/01/2030 (n)
|
|
|
4,084,000
|
4,070,090
|
|
Suntory Holdings Ltd., 5.124%, 6/11/2029 (n)
|
|
|
1,958,000
|
1,970,002
|
|
|
|
|
|
$21,241,338
|
|
Global Systemically Important Banks – 3.8%
|
||||
|
Barclays PLC, 2.279% to 11/24/2026, FLR (CMT - 1yr. + 1.05%) to 11/24/2027
|
|
$
|
2,856,000
|
$2,836,486
|
|
BNP Paribas S.A., 2.591% to 1/20/2027, FLR (SOFR - 1 day + 1.228%) to 1/20/2028 (n)
|
|
|
3,494,000
|
3,459,975
|
|
Goldman Sachs Group, Inc., 5.24% to 7/21/2031, FLR (SOFR - 1 day + 1.17%) to 7/21/2032
|
|
|
1,735,000
|
1,731,588
|
|
HSBC Holdings PLC, 4.899% to 3/03/2028, FLR (SOFR - 1 day + 1.03%) to 3/03/2029
|
|
|
3,032,000
|
3,037,589
|
|
Mitsubishi UFJ Financial Group, Inc., 4.592% to 4/18/2029, FLR (CMT - 1yr. + 0.78%)
to 4/18/2030
|
|
|
1,800,000
|
1,785,042
|
|
Mitsubishi UFJ Financial Group, Inc., 5.159%, 4/24/2031
|
|
|
932,000
|
933,104
|
|
Mitsubishi UFJ Financial Group, Inc., 4.847% to 4/21/2031, FLR (CMT - 1yr. + 0.92%)
to 4/21/2032
|
|
|
747,000
|
736,031
|
|
Mizuho Financial Group, Inc., 4.711% to 7/08/2030, FLR (CMT - 1yr. + 0.92%) to 7/08/2031
|
|
|
2,778,000
|
2,738,784
|
|
Morgan Stanley, 4.994% to 4/12/2028, FLR (SOFR - 1 day + 1.38%) to 4/12/2029
|
|
|
1,853,000
|
1,858,979
|
|
Morgan Stanley, 4.555% to 4/10/2029, FLR (SOFR - 1 day + 0.96%) to 4/10/2030
|
|
|
2,413,000
|
2,388,199
|
|
Société Générale S.A., 4.857% to 7/07/2028, FLR (SOFR - 1 day + 0.855%) to 7/07/2029 (n)
|
|
|
3,317,000
|
3,303,923
|
|
Sumitomo Mitsui Financial Group, Inc., 2.174%, 1/14/2027
|
|
|
2,842,000
|
2,815,418
|
|
UBS Group AG, 4.703% to 8/05/2026, FLR (CMT - 1yr. + 2.05%) to 8/05/2027 (n)
|
|
|
1,637,000
|
1,636,986
|
|
UBS Group AG, 9.25% to 11/13/2028, FLR (CMT - 5yr. + 4.745%) to 5/13/2172 (n)
|
|
|
428,000
|
458,319
|
|
UBS Group AG, 6.6% to 2/05/2031, FLR (USD SOFR ICE Swap Rate - 5yr. + 3.122%) to 2/05/2174 (n)
|
|
|
2,393,000
|
2,405,752
|
|
Wells Fargo & Co., 3.526% to 3/24/2027, FLR (SOFR - 1 day + 1.51%) to 3/24/2028
|
|
|
3,868,000
|
3,841,967
|
|
|
|
|
|
$35,968,142
|
|
Hardware, Peripherals, & Assembly – 0.2%
|
||||
|
VMware, Inc., 1.4%, 8/15/2026
|
|
$
|
1,504,000
|
$1,502,238
|
|
Industrial – 0.1%
|
||||
|
Booz Allen Hamilton, Inc., 4%, 7/01/2029 (n)
|
|
$
|
1,081,000
|
$1,043,445
|
|
Insurance – 1.3%
|
||||
|
CNO Global Funding, 4.7%, 12/11/2030 (n)
|
|
$
|
1,701,000
|
$1,659,314
|
|
Corebridge Financial, Inc., 3.65%, 4/05/2027
|
|
|
2,425,000
|
2,410,885
|
|
Corebridge Global Funding, 5.2%, 1/12/2029 (n)
|
|
|
1,469,000
|
1,477,968
|
|
Corebridge Global Funding, 4.8%, 5/29/2029 (n)
|
|
|
1,739,000
|
1,733,701
|
|
Sammons Financial Group Global Funding, 5.05%, 1/10/2028 (n)
|
|
|
979,000
|
980,147
|
|
Sammons Financial Group Global Funding, 5.1%, 12/10/2029 (n)
|
|
|
3,609,000
|
3,604,952
|
|
|
|
|
|
$11,866,967
|
|
Insurance - Health – 0.3%
|
||||
|
Elevance Health, Inc., 4.5%, 10/30/2026
|
|
$
|
1,298,000
|
$1,299,070
|
|
Elevance Health, Inc., 4.75%, 2/15/2030
|
|
|
1,104,000
|
1,097,971
|
|
|
|
|
|
$2,397,041
|
|
Insurance - Property & Casualty – 0.7%
|
||||
|
Arthur J. Gallagher & Co., 4.85%, 12/15/2029
|
|
$
|
1,739,000
|
$1,738,964
|
|
Brown & Brown, Inc., 4.7%, 6/23/2028
|
|
|
1,027,000
|
1,025,028
|
|
Marsh & McLennan Cos., Inc., 4.55%, 11/08/2027
|
|
|
1,712,000
|
1,712,216
|
|
Issuer
|
|
|
Shares/Par
|
Value ($)
|
|
Bonds – continued
|
||||
|
Insurance - Property & Casualty – continued
|
||||
|
Marsh & McLennan Cos., Inc., 4.65%, 3/15/2030
|
|
$
|
1,712,000
|
$1,699,685
|
|
|
|
|
|
$6,175,893
|
|
International Market Quasi-Sovereign – 0.2%
|
||||
|
NBN Co. Ltd. (Commonwealth of Australia), 5.75%, 10/06/2028 (n)
|
|
$
|
2,064,000
|
$2,107,276
|
|
Machinery & Tools – 0.4%
|
||||
|
AGCO Corp., 5.45%, 3/21/2027
|
|
$
|
1,337,000
|
$1,342,573
|
|
Ashtead Capital, Inc., 4.25%, 11/01/2029 (n)
|
|
|
1,627,000
|
1,581,239
|
|
Sunbelt Rentals Holdings, Inc., 4.95%, 8/12/2030 (n)
|
|
|
1,109,000
|
1,100,041
|
|
|
|
|
|
$4,023,853
|
|
Media – 0.7%
|
||||
|
Meta Platforms, Inc., 4.55%, 5/15/2031
|
|
$
|
4,176,000
|
$4,075,247
|
|
News Corp., 3.875%, 5/15/2029 (n)
|
|
|
2,396,000
|
2,308,572
|
|
|
|
|
|
$6,383,819
|
|
Medical & Health Technology & Services – 0.3%
|
||||
|
HCA, Inc., 4.3%, 11/15/2030
|
|
$
|
585,000
|
$567,030
|
|
ICON Investments Six DAC, 5.849%, 5/08/2029
|
|
|
1,081,000
|
1,102,919
|
|
IQVIA, Inc., 5.7%, 5/15/2028
|
|
|
788,000
|
796,223
|
|
IQVIA, Inc., 6.25%, 2/01/2029
|
|
|
598,000
|
614,082
|
|
|
|
|
|
$3,080,254
|
|
Metals & Mining – 0.9%
|
||||
|
Anglo American Capital PLC, 4.75%, 4/10/2027 (n)
|
|
$
|
2,917,000
|
$2,922,638
|
|
Glencore Funding LLC, 5.186%, 4/01/2030 (n)
|
|
|
2,434,000
|
2,441,216
|
|
Rio Tinto Finance (USA) PLC, 4.5%, 3/14/2028
|
|
|
1,609,000
|
1,610,576
|
|
Rio Tinto Finance (USA) PLC, 4.875%, 3/14/2030
|
|
|
1,841,000
|
1,843,618
|
|
|
|
|
|
$8,818,048
|
|
Midstream – 1.1%
|
||||
|
DCP Midstream Operating LP, 5.625%, 7/15/2027
|
|
$
|
3,776,000
|
$3,804,103
|
|
Enbridge, Inc., 5.25%, 4/05/2027
|
|
|
2,609,000
|
2,622,737
|
|
Enbridge, Inc., 4.9%, 6/20/2030
|
|
|
1,076,000
|
1,073,701
|
|
Energy Transfer LP, 5.55%, 2/15/2028
|
|
|
1,201,000
|
1,215,751
|
|
Plains All American Pipeline LP, 4.7%, 1/15/2031
|
|
|
1,819,000
|
1,788,221
|
|
|
|
|
|
$10,504,513
|
|
Mortgage-Backed – 0.3%
|
|
|||
|
Fannie Mae, 3%, 12/01/2031
|
|
$
|
76,985
|
$74,450
|
|
Fannie Mae, 4.616%, 2/25/2045 (n)
|
|
|
258,663
|
258,824
|
|
Freddie Mac, 4.266%, 7/25/2029
|
|
|
498,672
|
498,263
|
|
Freddie Mac, 1.562%, 4/25/2030 (i)
|
|
|
6,161,581
|
297,074
|
|
Freddie Mac, 3%, 4/15/2033 - 6/15/2045
|
|
|
1,761,161
|
1,695,707
|
|
Freddie Mac, 2%, 7/15/2042
|
|
|
221,591
|
207,696
|
|
|
|
|
|
$3,032,014
|
|
Municipals – 0.3%
|
||||
|
California Public Finance Authority Rev., Taxable (Children's Hospital Los Angeles),
“A”, AGM, 5.4%, 11/15/2031
|
|
$
|
1,682,000
|
$1,698,584
|
|
Kentucky Higher Education Student Loan Corp. Rev., Taxable, “A-2”, 5.949%, 6/01/2037
|
|
|
830,000
|
836,514
|
|
|
|
|
|
$2,535,098
|
|
Network & Telecom – 0.5%
|
||||
|
NTT Finance Corp., 4.567%, 7/16/2027 (n)
|
|
$
|
536,000
|
$536,402
|
|
NTT Finance Corp., 4.62%, 7/16/2028 (n)
|
|
|
1,509,000
|
1,502,598
|
|
NTT Finance Corp., 4.828%, 11/01/2029 (n)
|
|
|
1,074,000
|
1,069,255
|
|
NTT Finance Corp., 4.876%, 7/16/2030 (n)
|
|
|
1,509,000
|
1,492,961
|
|
|
|
|
|
$4,601,216
|
|
Issuer
|
|
|
Shares/Par
|
Value ($)
|
|
Bonds – continued
|
||||
|
Non-Global Systemically Important Banks – 6.1%
|
||||
|
AIB Group PLC, 6.608% to 9/13/2028, FLR (SOFR - 1 day + 2.33%) to 9/13/2029 (n)
|
|
$
|
409,000
|
$423,214
|
|
American Express Co., 4.731% to 4/25/2028, FLR (SOFR - 1 day + 1.26%) to 4/25/2029
|
|
|
2,697,000
|
2,698,839
|
|
BPCE S.A., 5.281%, 5/30/2029 (n)
|
|
|
1,969,000
|
1,992,576
|
|
BPCE S.A., 5.184% to 6/02/2031, FLR (SOFR - 1 day + 1.218%) to 6/02/2032 (n)
|
|
|
2,288,000
|
2,261,447
|
|
CaixaBank S.A., 5.673% to 3/15/2029, FLR (SOFR - 1 day + 1.78%) to 3/15/2030 (n)
|
|
|
3,255,000
|
3,313,297
|
|
Capital One Financial Corp., 7.149% to 10/29/2026, FLR (SOFR - 1 day + 2.44%) to 10/29/2027
|
|
|
1,305,000
|
1,312,415
|
|
Capital One Financial Corp., 5.7% to 2/01/2029, FLR (SOFR - 1 day + 1.905%) to 2/01/2030
|
|
|
621,000
|
630,637
|
|
Capital One Financial Corp., 4.722% to 1/30/2031, FLR (SOFR - 1 day + 1.15%) to 1/30/2032
|
|
|
1,778,000
|
1,738,647
|
|
Citizens Financial Group, Inc., 5.841% to 1/23/2029, FLR (SOFR - 1 day + 2.01%) to 1/23/2030
|
|
|
2,201,000
|
2,245,342
|
|
Danske Bank A.S., 5.705% to 3/01/2029, FLR (CMT - 1yr. + 1.4%) to 3/01/2030 (n)
|
|
|
2,107,000
|
2,143,524
|
|
Deutsche Bank AG, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027
|
|
|
1,479,000
|
1,468,956
|
|
Deutsche Bank AG, 6.72% to 1/18/2028, FLR (SOFR - 1 day + 3.18%) to 1/18/2029
|
|
|
169,000
|
173,464
|
|
Deutsche Bank AG, 4.95% to 8/04/2030, FLR (SOFR - 1 day + 1.3%) to 8/04/2031
|
|
|
1,804,000
|
1,781,736
|
|
Deutsche Bank AG, 5.06% to 4/14/2031, FLR (SOFR - 1 day + 1.41%) to 4/14/2032
|
|
|
822,000
|
812,249
|
|
Federation des Caisses Desjardins du Quebec, 4.565%, 8/26/2030 (n)
|
|
|
2,734,000
|
2,691,674
|
|
First Citizens Bancshare, Inc., 5.231% to 3/12/2030, FLR (SOFR - 1 day + 1.41%) to 3/12/2031
|
|
|
2,376,000
|
2,348,890
|
|
First-Citizens Bank & Trust Co., 5.097%, 7/13/2029
|
|
|
1,054,000
|
1,051,367
|
|
Lloyds Banking Group PLC, 4.241% to 2/10/2029, FLR (CMT - 1yr. + 0.6%) to 2/10/2030
|
|
|
1,141,000
|
1,121,816
|
|
M&T Bank Corp., 4.833% to 1/16/2028, FLR (SOFR - 1 day + 0.93%) to 1/16/2029
|
|
|
1,321,000
|
1,322,174
|
|
M&T Bank Corp., 7.413% to 10/30/2028, FLR (SOFR - 1 day + 2.80%) to 10/30/2029
|
|
|
706,000
|
743,558
|
|
Morgan Stanley Private Bank N.A., 4.466% to 7/06/2027, FLR (SOFR - 1 day + 0.77%)
to 7/06/2028
|
|
|
2,520,000
|
2,516,146
|
|
Morgan Stanley Private Bank N.A., 4.734% to 7/18/2030, FLR (SOFR - 1 day + 1.08%)
to 7/18/2031
|
|
|
3,296,000
|
3,253,437
|
|
Nationwide Building Society, 2.972% to 2/16/2027, FLR (SOFR - 1 day + 1.29%) to 2/16/2028 (n)
|
|
|
4,123,000
|
4,086,520
|
|
Pinnacle Financial Partners, Inc., 5.596% to 5/19/2031, FLR (SOFR - 1 day + 1.7%)
to 5/19/2032
|
|
|
2,720,000
|
2,696,650
|
|
PNC Financial Services Group, Inc., 5.354% to 12/02/2027, FLR (SOFR - 1 day + 1.62%)
to 12/02/2028
|
|
|
5,237,000
|
5,282,854
|
|
Synchrony Financial, 5.019% to 7/29/2028, FLR (SOFR - 1 day + 1.395%) to 7/29/2029
|
|
|
1,140,000
|
1,136,767
|
|
Texas Capital Bancshares, Inc., 5.301% to 2/27/2031, FLR (SOFR - 1 day + 1.94%) to 2/27/2032
|
|
|
2,859,000
|
2,799,803
|
|
Truist Financial Corp., 5.435% to 1/24/2029, FLR (SOFR - 1 day + 1.62%) to 1/24/2030
|
|
|
3,350,000
|
3,388,263
|
|
|
|
|
|
$57,436,262
|
|
Oil Services – 0.1%
|
||||
|
Schlumberger Holdings Corp., 5%, 5/29/2027 (n)
|
|
$
|
1,313,000
|
$1,318,486
|
|
Pharmaceuticals & Biotechnology – 0.5%
|
||||
|
Bayer US LLC Finance LLC, 5.125%, 7/20/2031 (n)
|
|
$
|
2,364,000
|
$2,343,577
|
|
Biogen, Inc., 5.05%, 1/15/2031
|
|
|
2,017,000
|
2,027,518
|
|
Viatris, Inc., 2.7%, 6/22/2030
|
|
|
704,000
|
639,986
|
|
|
|
|
|
$5,011,081
|
|
Real Estate - Apartment – 0.3%
|
||||
|
American Homes 4 Rent LP, REIT, 4.95%, 6/15/2030
|
|
$
|
2,385,000
|
$2,369,557
|
|
Real Estate - Retail – 0.6%
|
||||
|
STORE Capital Corp., REIT, 4.5%, 3/15/2028
|
|
$
|
394,000
|
$391,183
|
|
STORE Capital LLC, 4.95%, 2/11/2031
|
|
|
1,101,000
|
1,077,776
|
|
WEA Finance LLC, 4.125%, 9/20/2028 (n)
|
|
|
2,997,000
|
2,947,682
|
|
WEA Finance LLC, 3.5%, 6/15/2029 (n)
|
|
|
697,000
|
668,298
|
|
WEA Finance LLC, REIT, 2.875%, 1/15/2027 (n)
|
|
|
506,000
|
501,998
|
|
|
|
|
|
$5,586,937
|
|
Real Estate - Storage & Office – 0.0%
|
||||
|
COPT Defense Properties, REIT, 2%, 1/15/2029
|
|
$
|
524,000
|
$489,203
|
|
Refining – 0.3%
|
||||
|
Marathon Petroleum Corp., 5.15%, 3/01/2030
|
|
$
|
2,724,000
|
$2,742,277
|
|
Issuer
|
|
|
Shares/Par
|
Value ($)
|
|
Bonds – continued
|
||||
|
Retail & E-commerce – 0.8%
|
||||
|
AutoNation, Inc., 4.45%, 1/15/2029
|
|
$
|
3,977,000
|
$3,925,571
|
|
AutoNation, Inc., 3.85%, 3/01/2032
|
|
|
2,258,000
|
2,090,676
|
|
Genuine Parts Co., 4.95%, 8/15/2029
|
|
|
1,945,000
|
1,932,113
|
|
|
|
|
|
$7,948,360
|
|
Semiconductor & Electronic Components – 0.1%
|
||||
|
NXP B.V./NXP Funding LLC/NXP USA, Inc., 4.3%, 8/19/2028
|
|
$
|
784,000
|
$776,441
|
|
Software – 0.7%
|
||||
|
Oracle Corp., 4.55%, 2/04/2029
|
|
$
|
2,357,000
|
$2,297,816
|
|
Oracle Corp., 4.95%, 2/04/2031
|
|
|
1,650,000
|
1,576,026
|
|
Salesforce, Inc., 4.5%, 3/15/2028
|
|
|
1,154,000
|
1,151,353
|
|
ServiceNow, Inc., 4.25%, 5/15/2028
|
|
|
1,176,000
|
1,169,704
|
|
|
|
|
|
$6,194,899
|
|
Telecommunications - Wireless – 0.6%
|
||||
|
Crown Castle, Inc., REIT, 2.9%, 3/15/2027
|
|
$
|
448,000
|
$443,831
|
|
Rogers Communications, Inc., 3.2%, 3/15/2027
|
|
|
4,027,000
|
3,995,997
|
|
T-Mobile USA, Inc., 4.2%, 10/01/2029
|
|
|
1,122,000
|
1,100,793
|
|
|
|
|
|
$5,540,621
|
|
Tobacco – 1.0%
|
||||
|
B.A.T. International Finance PLC, 5.931%, 2/02/2029
|
|
$
|
2,754,000
|
$2,826,652
|
|
Japan Tobacco, Inc., 4.85%, 5/15/2028 (n)
|
|
|
2,340,000
|
2,347,745
|
|
Philip Morris International, Inc., 5.125%, 11/17/2027
|
|
|
1,241,000
|
1,249,879
|
|
Philip Morris International, Inc., 4.875%, 2/15/2028
|
|
|
1,661,000
|
1,668,106
|
|
Philip Morris International, Inc., 4.125%, 4/28/2028
|
|
|
1,184,000
|
1,175,174
|
|
|
|
|
|
$9,267,556
|
|
Transportation & Logistics – 1.7%
|
||||
|
Element Fleet Management Corp., 5.643%, 3/13/2027 (n)
|
|
$
|
4,254,000
|
$4,277,465
|
|
Element Fleet Management Corp., 4.8%, 5/29/2029 (n)
|
|
|
1,159,000
|
1,151,892
|
|
Element Fleet Management Corp., 5.037%, 3/25/2030 (n)
|
|
|
3,307,000
|
3,292,544
|
|
GXO Logistics, Inc., 6.25%, 5/06/2029
|
|
|
1,230,000
|
1,265,689
|
|
Penske Truck Leasing Co. LP, 5.35%, 1/12/2027 (n)
|
|
|
1,598,000
|
1,602,951
|
|
Penske Truck Leasing Co. LP, 5.35%, 3/30/2029 (n)
|
|
|
1,804,000
|
1,819,818
|
|
Penske Truck Leasing Co. LP, 5.25%, 7/01/2029 (n)
|
|
|
1,278,000
|
1,287,009
|
|
Triton International Ltd., 5.15%, 2/15/2033
|
|
|
1,006,000
|
973,406
|
|
|
|
|
|
$15,670,774
|
|
Travel, Gaming, & Lodging – 0.7%
|
||||
|
Flutter Treasury DAC, 5.875%, 6/04/2031 (n)
|
|
$
|
2,823,000
|
$2,781,012
|
|
Hyatt Hotels Corp., 5.75%, 1/30/2027
|
|
|
1,067,000
|
1,071,788
|
|
Las Vegas Sands Corp., 5.9%, 6/01/2027
|
|
|
1,085,000
|
1,093,952
|
|
Las Vegas Sands Corp., 5.625%, 6/15/2028
|
|
|
1,592,000
|
1,606,435
|
|
|
|
|
|
$6,553,187
|
|
U.S. Treasury Obligations – 19.9%
|
||||
|
U.S. Treasury Notes, 4.125%, 10/31/2026 (f)(s)
|
|
$
|
18,477,000
|
$18,484,073
|
|
U.S. Treasury Notes, 4.125%, 1/31/2027 (f)(s)
|
|
|
30,747,000
|
30,768,018
|
|
U.S. Treasury Notes, 3.875%, 3/31/2027 (f)(s)
|
|
|
30,641,000
|
30,609,880
|
|
U.S. Treasury Notes, 3.875%, 3/15/2028
|
|
|
33,733,000
|
33,535,346
|
|
U.S. Treasury Notes, 4.875%, 10/31/2028 (f)
|
|
|
41,222,000
|
41,716,342
|
|
U.S. Treasury Notes, 4.625%, 4/30/2029
|
|
|
30,912,000
|
31,147,463
|
|
|
|
|
|
$186,261,122
|
|
Issuer
|
|
|
Shares/Par
|
Value ($)
|
|
Bonds – continued
|
||||
|
Utilities – 1.8%
|
||||
|
Con Edison Co. of NY, Inc., FLR, 4.141% (SOFR - 1 day + 0.52%), 11/18/2027
|
|
$
|
1,985,000
|
$1,987,439
|
|
Eversource Energy, 4.45%, 12/15/2030
|
|
|
3,161,000
|
3,082,111
|
|
Liberty Utilities Co., 5.1%, 5/15/2031 (n)
|
|
|
2,352,000
|
2,323,794
|
|
Pacific Gas & Electric Co., 6.1%, 1/15/2029
|
|
|
2,045,000
|
2,098,466
|
|
Pacific Gas & Electric Co., 5.55%, 5/15/2029
|
|
|
3,384,000
|
3,434,212
|
|
PSEG Power LLC, 5.2%, 5/15/2030 (n)
|
|
|
790,000
|
792,132
|
|
Vistra Operations Co. LLC, 4.55%, 10/30/2028 (n)
|
|
|
1,781,000
|
1,765,057
|
|
Vistra Operations Co. LLC, 5%, 4/30/2031 (n)
|
|
|
1,834,000
|
1,805,834
|
|
|
|
|
|
$17,289,045
|
|
Total Bonds
|
|
$711,345,698
|
||
|
Mutual Funds (h) – 13.4%
|
||||
|
Money Market Funds – 13.4%
|
|
|||
|
MFS Institutional Money Market Portfolio, 3.73% (v)
|
|
|
125,931,931
|
$125,957,117
|
|
Short-Term Obligations (s)(y) – 4.7%
|
|
|
|
|
|
Federal Home Loan Bank, 3.53%, due 8/03/2026
|
|
$
|
43,745,000
|
$43,731,895
|
|
|
||||
|
Other Assets, Less Liabilities – 6.1%
|
|
56,816,048
|
||
|
Net Assets – 100.0%
|
$937,850,758
|
|||
|
(f)
|
All or a portion of the security has been segregated as collateral for open futures
contracts, cleared swap agreements, and uncleared 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 $125,957,117 and
$755,077,593, respectively.
|
|
(i)
|
Interest only security for which the fund receives interest on notional principal
(Par amount). Par amount shown is the notional principal and does not reflect
the cost of the security.
|
|
(n)
|
Securities exempt from registration under Rule 144A of the Securities Act of 1933.
These securities may be sold in the ordinary course of business in
transactions exempt from registration, normally to qualified institutional buyers.
At period end, the aggregate value of these securities was $304,491,994,
representing 32.5% of net assets.
|
|
(s)
|
All or a portion of security is held by a wholly-owned subsidiary. See Principles
of Consolidation in the notes for details of the wholly-owned subsidiary.
|
|
(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.
|
|
(y)
|
The rate shown represents an annualized yield at time of purchase.
|
|
The following abbreviations are used in this report and are defined:
|
|
|
AGM
|
Assured Guaranty Municipal
|
|
BCOMBOTR
|
Bloomberg Soybean Oil Subindex Total Return, this index is composed of futures contracts
on soybean oil. It is quoted in USD.
|
|
BCOMCLTR
|
Bloomberg WTI Crude Oil Subindex Total Return, this index is composed of composed
of futures contracts on WTI crude oil. It reflects the
return on fully collateralized futures positions. It is quoted in USD.
|
|
BCOMCOT
|
Bloomberg Brent Crude Subindex Total Return, this index is composed of futures contracts
on brent crude. It is quoted in USD.
|
|
BCOMCTTR
|
Bloomberg Cotton Subindex Total Return, this index is composed of futures contracts
on cotton. It reflects the return on fully collateralized
futures positions. It is quoted in USD.
|
|
BCOMF3T
|
Bloomberg Commodity Index 3 Month Forward Total Return, this index is composed of
longer-dated futures contracts on 19 physical
commodities. It is quoted in USD.
|
|
BCOMF6T
|
Bloomberg Commodity Index 6 Month Forward Total Return, this index is composed of
longer-dated futures contracts on 21 physical
commodities. It is quoted in USD.
|
|
BCOMFCT
|
Bloomberg Feeder Cattle Subindex Total Return, this index is comprised of futures
contracts on feeder cattle. It is quoted in USD.
|
|
BCOMGCTR
|
Bloomberg Gold Subindex Total Return, this index is composed of futures contracts
on gold. It is quoted in USD.
|
|
BCOMHGTR
|
Bloomberg Copper Subindex Total Return, this index is composed of futures contracts
on copper. It is quoted in USD.
|
|
BCOMLCTR
|
Bloomberg Live Cattle Subindex Total Return, this index is composed of futures contracts
on live cattle. It is quoted in USD.
|
|
BCOMLHTR
|
Bloomberg Lean Hogs Subindex Total Return, this index is composed of futures contracts
on lean hogs. It reflects the return of underlying
commodity futures price movements only. It is quoted in USD.
|
|
BCOMNGTR
|
Bloomberg Natural Gas Subindex Total Return, this index is composed of futures contracts
on natural gas. It reflects the return on fully
collateralized futures positions. It is quoted in USD.
|
|
BCOMPBTR
|
Bloomberg Lead Subindex Total Return, this index is composed of futures contracts
on lead. It reflects the return of underlying commodity
futures price movements only. It is quoted in USD.
|
|
BCOMRBTR
|
Bloomberg Unleaded Gasoline Subindex Total Return, this index is composed of futures
contracts on unleaded gasoline. It reflects the return
on fully collateralized futures positions. It is quoted in USD.
|
|
BCOMSBTR
|
Bloomberg Sugar Subindex Total Return, this index is composed of futures contracts
on sugar. It reflects the return on fully collateralized
futures positions. It is quoted in USD.
|
|
BCOMSITR
|
Bloomberg Silver Subindex Total Return, this index is composed of futures contracts
on silver. It is quoted in USD.
|
|
BCOMTR
|
Bloomberg Commodity Index Total Return
|
|
BCOMWHTR
|
Bloomberg Wheat Subindex Total Return, this index is composed of futures contracts
on wheat. It reflects the return on fully collateralized
futures positions. It is quoted in USD.
|
|
CLO
|
Collateralized Loan Obligation
|
|
CMT
|
Constant Maturity Treasury
|
|
CVICPTD0
|
Citibank Bloomberg Commodity Index Total Return
|
|
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
|
|
MLCILPRT
|
Merrill Lynch International Bloomberg Commodity Index Total Return
|
|
REIT
|
Real Estate Investment Trust
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
Derivative Contracts at 7/31/26
|
||||||
|
Futures Contracts
|
||||||
|
Description
|
Long/
Short
|
Currency
|
Contracts
|
Notional
Amount
|
Expiration
Date
|
Value/Unrealized
Appreciation
(Depreciation)
|
|
Liability Derivatives
|
||||||
|
Interest Rate Futures
|
||||||
|
U.S. Treasury Note 2 yr
|
Long
|
USD
|
24
|
$4,934,625
|
September – 2026
|
$(12,834
)
|
|
Cleared Swap Agreements
|
||||||||
|
Maturity
Date
|
Notional
Amount
|
Counterparty
|
Cash Flows
to Receive/
Frequency
|
Cash Flows
to Pay/
Frequency
|
Unrealized
Appreciation
(Depreciation)
|
Net
Unamortized
Upfront
Payments
(Receipts)
|
Value
|
|
|
Asset Derivatives
|
|
|
|
|||||
|
Interest Rate Swaps
|
|
|
|
|||||
|
10/02/26
|
USD
|
13,800,000
|
centrally cleared
|
4.664%/Annually
|
1-day SOFR / Annually
|
$125,741
|
$—
|
$125,741
|
|
10/02/26
|
USD
|
44,600,000
|
centrally cleared
|
4.697%/Annually
|
1-day SOFR / Annually
|
422,426
|
(4,023
)
|
418,403
|
|
12/23/27
|
USD
|
34,600,000
|
centrally cleared
|
4.106% Annually
|
1-day SOFR / Annually
|
89,976
|
—
|
89,976
|
|
|
|
|
|
|
|
$638,143
|
$(4,023
)
|
$634,120
|
|
Uncleared Swap Agreements
|
||||||||
|
Maturity
Date
|
Notional
Amount
|
Counterparty
|
Cash Flows
to Receive
(Monthly)
|
Cash Flows
to Pay
(Monthly)
|
Unrealized
Appreciation
(Depreciation)
|
Net
Unamortized
Upfront
Payments
(Receipts)
|
Value
|
|
|
Asset Derivatives
|
|
|
|
|||||
|
Total Return Swaps
|
|
|
|
|||||
|
3/24/27
|
USD
|
19,585,125 (Short)
|
Merrill Lynch
International
|
3 month T-Bill -
0.03%
|
BCOMHGTR
(floating rate)
|
$58,414
|
$—
|
$58,414
|
|
3/24/27
|
USD
|
13,496,311 (Short)
|
JPMorgan Chase
Bank N.A.
|
3 month T-Bill -
0.05%
|
BCOMCCTR
(floating rate)
|
38,942
|
—
|
38,942
|
|
4/28/27
|
USD
|
9,588,011 (Short)
|
Citibank N.A.
|
3 month T-Bill -
0.04%
|
BCOMBOTR
(floating rate)
|
28,802
|
—
|
28,802
|
|
4/28/27
|
USD
|
8,117,856 (Short)
|
JPMorgan Chase
Bank N.A.
|
3 month T-Bill -
0.04%
|
BCOMSITR (floating
rate)
|
25,888
|
—
|
25,888
|
|
Uncleared Swap Agreements − continued
|
||||||||
|
Maturity
Date
|
Notional
Amount
|
Counterparty
|
Cash Flows
to Receive
(Monthly)
|
Cash Flows
to Pay
(Monthly)
|
Unrealized
Appreciation
(Depreciation)
|
Net
Unamortized
Upfront
Payments
(Receipts)
|
Value
|
|
|
Asset Derivatives − continued
|
||||||||
|
Total Return Swaps − continued
|
||||||||
|
4/28/27
|
USD
|
21,154,688 (Short)
|
JPMorgan Chase
Bank N.A.
|
3 month T-Bill -
0.02%
|
BCOMCTTR
(floating rate)
|
$61,426
|
$—
|
$61,426
|
|
5/26/27
|
USD
|
21,148,888 (Short)
|
JPMorgan Chase
Bank N.A.
|
3 month T-Bill -
0.03%
|
BCOMWHTR
(floating rate)
|
60,116
|
—
|
60,116
|
|
5/26/27
|
USD
|
9,376,462 (Short)
|
Merrill Lynch
International
|
3 month T-Bill -
0.04%
|
BCOMPBTR
(floating rate)
|
28,951
|
—
|
28,951
|
|
5/26/27
|
USD
|
9,241,093 (Short)
|
Merrill Lynch
International
|
3 month T-Bill -
0.03%
|
BCOMGCTR
(floating rate)
|
28,426
|
—
|
28,426
|
|
5/26/27
|
USD
|
10,262,420 (Short)
|
JPMorgan Chase
Bank N.A.
|
3 month T-Bill -
0.05%
|
BCOMSBTR
(floating rate)
|
31,813
|
—
|
31,813
|
|
|
|
|
|
|
|
$362,778
|
$—
|
$362,778
|
|
Liability Derivatives
|
|
|
|
|||||
|
Total Return Swaps
|
|
|
|
|||||
|
12/11/26
|
USD
|
124,375,145 (Long)
|
Citibank N.A.
|
CVICPTD0 (floating
rate)(b)
|
3 month T-Bill +
0.11%
|
$(399,478
)
|
$—
|
$(399,478
)
|
|
3/24/27
|
USD
|
9,411,474 (Long)
|
Merrill Lynch
International
|
BCOMFCT (floating
rate)
|
3 month T-Bill +
0.08%
|
(31,835
)
|
—
|
(31,835
)
|
|
3/24/27
|
USD
|
20,727,038 (Long)
|
Goldman Sachs
International
|
BCOMCOT (floating
rate)
|
3 month T-Bill +
0.07%
|
(55,865
)
|
—
|
(55,865
)
|
|
4/28/27
|
USD
|
6,038,819 (Long)
|
JPMorgan Chase
Bank N.A.
|
BCOMRBTR
(floating rate)
|
3 month T-Bill +
0.07%
|
(16,786
)
|
—
|
(16,786
)
|
|
4/28/27
|
USD
|
8,712,633 (Long)
|
Goldman Sachs
International
|
BCOMNGTR
(floating rate)
|
3 month T-Bill +
0.07%
|
(33,309
)
|
—
|
(33,309
)
|
|
4/28/27
|
USD
|
18,885,934 (Long)
|
Merrill Lynch
International
|
BCOMLCTR
(floating rate)
|
3 month T-Bill +
0.1%
|
(63,265
)
|
—
|
(63,265
)
|
|
5/26/27
|
USD
|
15,795,164 (Long)
|
Merrill Lynch
International
|
BCOMLHTR
(floating rate)
|
3 month T-Bill +
0.1%
|
(50,295
)
|
—
|
(50,295
)
|
|
5/26/27
|
USD
|
21,518,790 (Long)
|
JPMorgan Chase
Bank N.A.
|
BCOMCLTR (floating
rate)
|
3 month T-Bill +
0.07%
|
(57,888
)
|
—
|
(57,888
)
|
|
6/23/27
|
USD
|
154,592,554 (Long)
|
Merrill Lynch
International
|
MLCILPRT (floating
rate)(a)
|
3 month T-Bill +
0.13%
|
(465,158
)
|
—
|
(465,158
)
|
|
7/14/27
|
USD
|
28,227,079 (Long)
|
Citibank N.A.
|
CVICPTD0 (floating
rate)(b)
|
3 month T-Bill +
0.11%
|
(84,382
)
|
—
|
(84,382
)
|
|
7/14/27
|
USD
|
150,790,932 (Long)
|
JPMorgan Chase
Bank N.A.
|
BCOMF3T (floating
rate)
|
3 month T-Bill +
0.08%
|
(455,993
)
|
—
|
(455,993
)
|
|
7/14/27
|
USD
|
20,421,409 (Long)
|
Merrill Lynch
International
|
BCOMTR (floating
rate)
|
3 month T-Bill +
0.06%
|
(60,213
)
|
—
|
(60,213
)
|
|
8/09/27
|
USD
|
15,548,626 (Long)
|
Merrill Lynch
International
|
MLCILPRT (floating
rate)(a)
|
3 month T-Bill +
0.13%
|
(34,303
)
|
—
|
(34,303
)
|
|
8/11/27
|
USD
|
150,092,165 (Long)
|
Goldman Sachs
International
|
BCOMF6T (floating
rate)
|
3 month T-Bill +
0.09%
|
(457,406
)
|
—
|
(457,406
)
|
|
8/11/27
|
USD
|
25,960,038 (Long)
|
JPMorgan Chase
Bank N.A.
|
BCOMF6T (floating
rate)
|
3 month T-Bill +
0.085%
|
(60,222
)
|
—
|
(60,222
)
|
|
9/08/27
|
USD
|
150,790,932 (Long)
|
Goldman Sachs
International
|
BCOMF3T (floating
rate)
|
3 month T-Bill +
0.09%
|
(457,224
)
|
—
|
(457,224
)
|
|
Uncleared Swap Agreements − continued
|
||||||||
|
Maturity
Date
|
Notional
Amount
|
Counterparty
|
Cash Flows
to Receive
(Monthly)
|
Cash Flows
to Pay
(Monthly)
|
Unrealized
Appreciation
(Depreciation)
|
Net
Unamortized
Upfront
Payments
(Receipts)
|
Value
|
|
|
Liability Derivatives − continued
|
||||||||
|
Total Return Swaps − continued
|
||||||||
|
10/06/27
|
USD
|
150,092,165 (Long)
|
Citibank N.A.
|
BCOMF6T (floating
rate)
|
3 month T-Bill +
0.09%
|
$(457,406
)
|
$—
|
$(457,406
)
|
|
|
|
|
|
|
|
$(3,241,028
)
|
$—
|
$(3,241,028
)
|
|
Referenced Commodity Futures Contracts
|
% of Notional
|
Notional
Amount:
$15,548,626*
|
Notional
Amount:
$154,592,554*
|
|
Long Futures Contracts
|
|
|
|
|
Soybean Oil - December 2026
|
3.4%
|
522,281
|
5,192,794
|
|
Corn - September 2026
|
1.3%
|
198,268
|
1,971,286
|
|
Corn - December 2026
|
3.7%
|
574,000
|
5,707,003
|
|
Cocoa - September 2026
|
0.4%
|
56,843
|
565,159
|
|
Cocoa - September 2026
|
1.0%
|
160,343
|
1,594,214
|
|
WTI - September 2026
|
2.4%
|
365,609
|
3,635,078
|
|
WTI - November 2026
|
6.0%
|
933,940
|
9,285,721
|
|
Brent - November 2026
|
10.3%
|
1,607,657
|
15,984,161
|
|
Cotton - December 2026
|
1.8%
|
274,232
|
2,726,557
|
|
Gold - December 2026
|
12.0%
|
1,868,879
|
18,581,366
|
|
Copper Comex - September 2026
|
1.6%
|
255,153
|
2,536,868
|
|
Copper Comex - December 2026
|
4.6%
|
711,927
|
7,078,354
|
|
Heating Oil - September 2026
|
1.0%
|
159,208
|
1,582,924
|
|
Heating Oil - November 2026
|
2.6%
|
406,348
|
4,040,128
|
|
Coffee - September 2026
|
0.6%
|
93,720
|
931,808
|
|
Coffee - September 2026
|
1.6%
|
244,186
|
2,427,829
|
|
Kansas Wheat - September 2026
|
0.6%
|
86,675
|
861,770
|
|
Kansas Wheat - December 2026
|
1.6%
|
243,831
|
2,424,299
|
|
Aluminum - September 2026
|
1.0%
|
149,239
|
1,483,810
|
|
Aluminum - November 2026
|
2.6%
|
409,740
|
4,073,849
|
|
Live Cattle - October 2026
|
3.3%
|
509,626
|
5,066,967
|
|
Lean Hogs - October 2026
|
1.6%
|
242,615
|
2,412,201
|
|
Lead - September 2026
|
0.2%
|
31,265
|
310,854
|
|
Lead - November 2026
|
0.6%
|
87,247
|
867,458
|
|
Nickel - September 2026
|
0.5%
|
77,906
|
774,586
|
|
Nickel - November 2026
|
1.4%
|
215,900
|
2,146,590
|
|
Zinc - September 2026
|
0.6%
|
94,800
|
942,552
|
|
Zinc - November 2026
|
1.7%
|
259,044
|
2,575,547
|
|
Natural Gas - September 2026
|
1.6%
|
246,756
|
2,453,378
|
|
Natural Gas - November 2026
|
4.8%
|
742,065
|
7,377,996
|
|
Gasoil - September 2026
|
1.4%
|
216,224
|
2,149,816
|
|
Gasoil - November 2026
|
3.4%
|
527,810
|
5,247,766
|
|
Soybeans - November 2026
|
5.2%
|
812,509
|
8,078,392
|
|
Sugar - October 2026
|
2.5%
|
393,755
|
3,914,921
|
|
Silver - September 2026
|
0.7%
|
106,740
|
1,061,265
|
|
Silver - December 2026
|
1.9%
|
296,796
|
2,950,904
|
|
Soybean Meal - December 2026
|
2.7%
|
420,592
|
4,181,749
|
|
Referenced Commodity Futures Contracts
|
% of Notional
|
Notional
Amount:
$15,548,626*
|
Notional
Amount:
$154,592,554*
|
|
Wheat - September 2026
|
0.8%
|
122,102
|
1,214,004
|
|
Wheat - December 2026
|
2.2%
|
345,367
|
3,433,823
|
|
Gasoline RBOB - September 2026
|
0.9%
|
141,899
|
1,410,830
|
|
Gasoline RBOB - November 2026
|
2.2%
|
335,526
|
3,335,974
|
|
|
100.0%
|
$15,548,626
|
$154,592,554
|
|
* The notional amount is indicative of the quantity and proportionate value of each
commodity futures contract.
|
|||
|
(b) The Citigroup CVICPTD0 Commodity Index seeks to provide exposure to a diversified
group of commodities. The portfolio has indirect exposure to all of the
underlying positions that make up the non-public index through its investment in the
swap, the fund has indirect exposure to the following positions that
compose the CVICPTDO:
|
|||
|
Referenced Commodity Futures Contracts
|
% of Notional
|
Notional
Amount:
$28,227,079*
|
Notional
Amount:
$124,375,145*
|
|
Long Futures Contracts
|
|
|
|
|
Soybean Oil - December 2026
|
3.3%
|
939,171
|
4,138,210
|
|
Corn - December 2026
|
4.7%
|
1,322,382
|
5,826,727
|
|
Cocoa - December 2026
|
1.4%
|
382,336
|
1,684,661
|
|
WTI - November 2026
|
8.8%
|
2,492,508
|
10,982,574
|
|
Brent - November 2026
|
10.4%
|
2,926,075
|
12,892,976
|
|
Cotton - December 2026
|
1.7%
|
487,058
|
2,146,093
|
|
Gold - December 2026
|
11.6%
|
3,281,567
|
14,454,879
|
|
Copper Comex - December 2026
|
6.2%
|
1,743,643
|
7,687,379
|
|
Heating Oil - November 2026
|
3.8%
|
1,077,428
|
4,747,399
|
|
Coffee- December 2026
|
2.1%
|
600,249
|
2,644,837
|
|
Kansas Wheat - December 2026
|
2.0%
|
577,018
|
2,542,477
|
|
Aluminum - November 2026
|
3.6%
|
1,009,372
|
4,447,531
|
|
Live Cattle - October 2026
|
3.3%
|
939,482
|
4,139,578
|
|
Lean Hogs - October 2026
|
1.9%
|
526,237
|
2,318,726
|
|
Lead - November 2026
|
0.8%
|
212,606
|
936,794
|
|
Nickel - November 2026
|
1.9%
|
523,810
|
2,308,030
|
|
Zinc - November 2026
|
2.3%
|
649,195
|
2,860,504
|
|
Natural Gas - November 2026
|
6.1%
|
1,710,109
|
7,535,144
|
|
Gasoil - November 2026
|
5.1%
|
1,440,823
|
6,348,605
|
|
Soybeans - November 2026
|
5.2%
|
1,455,614
|
6,413,777
|
|
Sugar - October 2026
|
2.5%
|
700,765
|
3,087,737
|
|
Silver - December 2026
|
2.5%
|
713,581
|
3,144,204
|
|
Soybean Meal - December 2026
|
2.7%
|
753,155
|
3,318,578
|
|
Wheat - December 2026
|
2.7%
|
811,867
|
3,577,278
|
|
Gasoline RBOB - November 2026
|
3.4%
|
951,027
|
4,190,447
|
|
|
100.0%
|
$28,227,079
|
$124,375,145
|
|
Financial Instruments
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents
|
$—
|
$186,261,122
|
$—
|
$186,261,122
|
|
Non - U.S. Sovereign Debt
|
—
|
4,328,382
|
—
|
4,328,382
|
|
Municipal Bonds
|
—
|
2,535,098
|
—
|
2,535,098
|
|
U.S. Corporate Bonds
|
—
|
227,528,215
|
—
|
227,528,215
|
|
Residential Mortgage-Backed Securities
|
—
|
33,881,373
|
—
|
33,881,373
|
|
Commercial Mortgage-Backed Securities
|
—
|
22,080,500
|
—
|
22,080,500
|
|
Asset-Backed Securities (including CDOs)
|
—
|
110,820,367
|
—
|
110,820,367
|
|
Foreign Bonds
|
—
|
123,910,641
|
—
|
123,910,641
|
|
Short-Term Securities
|
—
|
43,731,895
|
—
|
43,731,895
|
|
Investment Companies
|
125,957,117
|
—
|
—
|
125,957,117
|
|
Total
|
$125,957,117
|
$755,077,593
|
$—
|
$881,034,710
|
|
Other Financial Instruments
|
|
|
|
|
|
Futures Contracts – Liabilities
|
$(12,834
)
|
$—
|
$—
|
$(12,834
)
|
|
Swap Agreements – Assets
|
—
|
996,898
|
—
|
996,898
|
|
Swap Agreements – Liabilities
|
—
|
(3,241,028
)
|
—
|
(3,241,028
)
|
|
Affiliated Issuers
|
Beginning
Value
|
Purchases
|
Sales
Proceeds
|
Realized
Gain
(Loss)
|
Change in
Unrealized
Appreciation or
Depreciation
|
Ending
Value
|
|
MFS Institutional Money Market Portfolio
|
$40,719,286
|
$637,931,394
|
$552,696,890
|
$(9,186
)
|
$12,513
|
$125,957,117
|
|
Affiliated Issuers
|
Dividend
Income
|
Capital Gain
Distributions
|
|
MFS Institutional Money Market Portfolio
|
$1,818,550
|
$—
|
