ITEM 1. |
REPORTS TO STOCKHOLDERS. |
Item 1(a):
Semiannual Report
May 31, 2022
MFS® Charter Income Trust
MANAGED DISTRIBUTION POLICY DISCLOSURE
The MFS Charter Income Trust’s (the fund) Board of
Trustees adopted a managed distribution policy. The fund seeks to pay monthly distributions based on an annual rate of 8.00% of the fund’s average monthly net asset value. The primary purpose of the managed distribution policy is to provide
shareholders with a constant, but not guaranteed, fixed rate of distribution each month. You should not draw any conclusions about the fund’s investment performance from the amount of the current distribution or from the terms of the
fund’s managed distribution policy. The Board may amend or terminate the managed distribution policy at any time without prior notice to fund shareholders. The amendment or termination of the managed distribution policy could have an adverse
effect on the market price of the fund’s shares.
With each distribution, the fund will issue a notice to
shareholders and an accompanying press release which will provide detailed information regarding the amount and composition of the distribution and other related information. The amounts and sources of distributions reported in the notice to
shareholders are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting purposes will depend upon the fund’s investment experience during the remainder of its
fiscal year and may be subject to changes based on tax regulations. The fund will send you a Form 1099-DIV for the calendar year that will tell you how to report these distributions for federal income tax purposes. Please refer to “Tax Matters
and Distributions” under Note 2 of the Notes to Financial Statements for information regarding the tax character of the fund’s distributions.
Under a managed distribution policy the fund may at times
distribute more than its net investment income and net realized capital gains; therefore, a portion of your distribution may result in a return of capital. A return of capital may occur, for example, when some or all of the money that you invested
in the fund is paid back to you. Any such returns of capital will decrease the fund’s total assets and, therefore, could have the effect of increasing the fund’s expense ratio. In addition, in order to make the level of distributions
called for under its managed distribution policy, the fund may have to sell portfolio securities at a less than opportune time. A return of capital does not necessarily reflect the fund’s investment performance and should not be confused with
‘yield’ or ‘income’. The fund’s total return in relation to changes in net asset value is presented in the Financial Highlights.
MFS® Charter
Income Trust
New York Stock Exchange Symbol:
MCR
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1
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2
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4
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4
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6
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44
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46
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48
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49
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50
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52
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69
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70
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70
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70
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70
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NOT FDIC INSURED • MAY LOSE VALUE
• NO BANK GUARANTEE
LETTER FROM THE CHAIR AND
CEO
Dear Shareholders:
Global markets have recently been buffeted by a series of
crosscurrents, including rising inflation, tighter financial conditions, the continued spread of the coronavirus (particularly in Asia), and the evolving geopolitical landscape in the wake of Russia’s invasion of Ukraine. Consequently, at a
time when global growth faces multiple headwinds, central banks have been presented with the challenge of reining in rising prices without tipping economies into recession. At its June meeting, the US Federal Reserve undertook a 0.75% rate hike, its
largest since 1994. Additional larger-than-normal hikes are expected in coming meetings as the Fed seeks to move policy into restrictive territory by year-end to slow the economy and dampen inflation. Richly valued, rate-sensitive growth equities
have been hit particularly hard by higher interest rates, and volatility in credit markets has picked up too.
There are, however, encouraging signs for
the markets. The latest wave of COVID-19 cases appears to be receding in Asia, cases outside of Asia remain well below prior peaks, and fewer are seriously ill. Meanwhile, unemployment is low and there are signs that some global supply chain
bottlenecks are beginning to ease, though lingering coronavirus restrictions in China and disruptions stemming from Russia’s invasion of Ukraine could hamper these advances. Additionally, easier Chinese monetary and regulatory policies and the
record pace of corporate stock buybacks are supportive elements, albeit in an otherwise turbulent investment environment.
It is important to have a deep understanding of company
fundamentals during times of market transition, and we have built our unique global research platform to do just that.
At MFS®, we put our clients’ assets to work responsibly by carefully navigating increasingly complex global capital markets. Our investment team is guided by a commitment to
long-term fundamental investing. Our global investment platform — combining collective expertise, long-term discipline, and thoughtful risk management — seeks to uncover what we believe are the best, most durable investment ideas in
markets around the world, enabling us to potentially create value for investors.
Respectfully,
Michael W.
Roberge
Chair and Chief Executive Officer
MFS Investment Management
July 15, 2022
The opinions expressed in this letter are subject to change
and may not be relied upon for investment advice. No forecasts can be guaranteed.
Portfolio structure at value (v)
Portfolio structure reflecting equivalent exposure of derivative positions
(i)
Fixed income sectors (i)
High
Yield Corporates |
58.7%
|
Emerging
Markets Bonds |
25.6%
|
Investment
Grade Corporates |
9.3%
|
Commercial
Mortgage-Backed Securities |
2.1%
|
Mortgage-Backed
Securities |
2.1%
|
Collateralized
Debt Obligations |
1.8%
|
Asset-Backed
Securities |
0.6%
|
Municipal
Bonds |
0.5%
|
Non-U.S.
Government Bonds |
(12.4)%
|
U.S.
Treasury Securities |
(12.9)%
|
Portfolio facts (i)
Average
Duration (d) |
5.4
|
Average
Effective Maturity (m) |
8.9 yrs.
|
Composition including fixed income credit quality (a)(i)
AAA
|
8.1%
|
AA
|
3.6%
|
A
|
7.9%
|
BBB
|
14.2%
|
BB
|
39.7%
|
B
|
26.1%
|
CCC
|
7.1%
|
CC
|
0.1%
|
C
(o) |
0.0%
|
D
(o) |
0.0%
|
U.S.
Government |
16.8%
|
Federal
Agencies |
2.1%
|
Not
Rated |
(50.3)%
|
Non-Fixed
Income |
0.7%
|
Cash
& Cash Equivalents (Less Liabilities) (b) |
(29.4)%
|
Other
|
53.3%
|
Portfolio Composition -
continued
(a)
|
For all
securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three
agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the
security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned.
Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury.
Federal Agencies includes rated and unrated U.S. Agency fixed-income securities, U.S. Agency mortgage-backed securities, and collateralized mortgage obligations of U.S. Agency mortgage-backed securities. |
Not Rated includes fixed income securities and fixed income
derivatives that have not been rated by any rating agency. Non-Fixed Income includes equity securities (including convertible bonds and equity derivatives) and/or commodity-linked derivatives. The fund may or may not have held all of these
instruments on this date. The fund is not rated by these agencies.
(b)
|
Cash
& Cash Equivalents (Less Liabilities) includes any cash, investments in money market funds, short-term securities, and other assets less liabilities. Liabilities include the value of outstanding borrowings made by the fund for leverage
transactions. Cash & Cash Equivalents (Less Liabilities) is negative due to these borrowings. Please see the Statement of Assets and Liabilities for additional information related to the fund’s cash position and other assets and
liabilities. Please see Note 6 in the Notes to Financial Statements for more information on the fund's outstanding borrowings. |
(d)
|
Duration is
a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value due to the interest rate move.
|
(i)
|
For
purposes of this presentation, the components include the value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated
amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the
portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include
any accrued interest amounts. |
(m)
|
In
determining each instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes
it is probable that a maturity-shortening device (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity. |
(v)
|
For
purposes of this presentation, market value of fixed income and/or equity derivatives, if any, is included in Cash & Cash Equivalents. |
Where the fund holds convertible bonds, they are treated as
part of the equity portion of the portfolio.
Other
includes equivalent exposure from currency derivatives and/or any offsets to derivative positions and may be negative.
Percentages are based on net assets as of May 31, 2022.
The portfolio is actively managed and current holdings may be
different.
Portfolio
Managers' Profiles
Portfolio
Manager |
Primary
Role |
Since
|
Title
and Five Year History |
Robert
Spector |
Lead
and Debt Instruments Portfolio Manager |
2015
|
Investment
Officer of MFS; employed in the investment management area of MFS since 2011. |
Ward
Brown |
Emerging
Markets Debt Instruments Portfolio Manager |
2012
|
Investment
Officer of MFS; employed in the investment management area of MFS since 2005. |
Philipp
Burgener |
Structured
Securities Portfolio Manager |
2019
|
Investment
Officer of MFS; employed in the investment management area of MFS since 2003. |
David
Cole |
Below
Investment Grade Debt Instruments Portfolio Manager |
2006
|
Investment
Officer of MFS; employed in the investment management area of MFS since 2004. |
Pilar
Gomez-Bravo |
Debt
Instruments Portfolio Manager |
2013
|
Investment
Officer of MFS; employed in the investment management area of MFS since 2013. |
Andy
Li |
Investment
Grade Debt Instruments Portfolio Manager |
2019
|
Investment
Officer of MFS; employed in the investment management area of MFS since 2018; Portfolio Manager of Man GLG from 2014 to 2018. |
Henry
Peabody |
Investment
Grade Debt Instruments Portfolio Manager |
2019
|
Investment
Officer of MFS; employed in the investment management area of MFS since 2019; Portfolio Manager and Analyst at Eaton Vance Management from 2014 to 2019. |
Matt
Ryan |
Emerging
Markets Debt Instruments Portfolio Manager |
2004
|
Investment
Officer of MFS; employed in the investment management area of MFS since 1997. |
Michael
Skatrud |
Below
Investment Grade Debt Instruments Portfolio Manager |
2018
|
Investment
Officer of MFS; employed in the investment management area of MFS since 2013. |
Erik
Weisman |
Sovereign
Debt Instruments Portfolio Manager |
2012
|
Investment
Officer of MFS; employed in the investment management area of MFS since 2002. |
Other Notes
The fund’s shares may trade at a discount or premium to
net asset value. When fund shares trade at a premium, buyers pay more than the net asset value underlying fund shares, and shares purchased at a premium would receive less than the amount paid for them in the event of the fund’s concurrent
liquidation.
The fund's target annual distribution rate is calculated based
on an annual rate of 8.00% of the fund's average monthly net asset value, not a fixed share price, and the fund's dividend amount will fluctuate with changes in the fund's average monthly net assets.
In accordance with Section 23(c) of the Investment Company
Act of 1940, the fund hereby gives notice that it may from time to time repurchase shares of the fund in the open market at the option of the Board of Trustees and on such terms as the Trustees shall determine.
Portfolio of
Investments
5/31/22 (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
– 126.6% |
Aerospace
& Defense – 1.4% |
Bombardier,
Inc., 7.5%, 3/15/2025 (n) |
|
$
|
301,000
|
$
289,177 |
Bombardier,
Inc., 7.125%, 6/15/2026 (n) |
|
|
317,000
|
289,600
|
F-Brasile
S.p.A./F-Brasile U.S. LLC, 7.375%, 8/15/2026 (n) |
|
|
725,000
|
583,625
|
Moog,
Inc., 4.25%, 12/15/2027 (n) |
|
|
885,000
|
838,538
|
Raytheon
Technologies Corp., 2.82%, 9/01/2051 |
|
|
166,000
|
124,347
|
TransDigm,
Inc., 6.25%, 3/15/2026 (n) |
|
|
175,000
|
178,020
|
TransDigm,
Inc., 6.375%, 6/15/2026 |
|
|
535,000
|
530,988
|
TransDigm,
Inc., 5.5%, 11/15/2027 |
|
|
1,235,000
|
1,182,364
|
TransDigm,
Inc., 4.625%, 1/15/2029 |
|
|
460,000
|
412,422
|
|
|
|
|
$
4,429,081 |
Airlines
– 0.0% |
EasyJet
Finco B.V., 1.875%, 3/03/2028 |
|
EUR
|
140,000
|
$
136,390 |
Apparel
Manufacturers – 0.0% |
Tapestry,
Inc., 3.05%, 3/15/2032 |
|
$
|
157,000
|
$
133,000 |
Asset-Backed
& Securitized – 4.5% |
3650R
Commercial Mortgage Trust, 2021-PF1, “XA”, 1.034%, 11/15/2054 (i) |
|
$
|
3,802,378
|
$
250,850 |
ACREC
2021-FL1 Ltd., “C”, FLR, 3.085% (LIBOR - 1mo. + 2.15%), 10/16/2036 (n) |
|
|
229,500
|
222,766
|
ACRES
2021-FL2 Issuer Ltd., “AS”, FLR, 2.637% (LIBOR - 1mo. + 1.75%), 1/15/2037 (n) |
|
|
154,500
|
148,472
|
ACRES
2021-FL2 Issuer Ltd., “B”, FLR, 3.136% (LIBOR - 1mo. + 2.25%), 1/15/2037 (n) |
|
|
261,500
|
251,427
|
Allegro
CLO Ltd., 2016-1A, “BR2”, FLR, 2.594% (LIBOR - 3mo. + 1.55%), 1/15/2030 (n) |
|
|
250,000
|
243,822
|
Arbor
Multi-Family Mortgage Securities Trust, 2021-MF3, “A5”, 2.574%, 10/15/2054 (n) |
|
|
550,000
|
482,034
|
Arbor
Realty Trust, Inc., CLO, 2020-FL1, “C”, FLR, 2.946% (LIBOR - 1mo. + 2.05%), 2/15/2035 (n) |
|
|
300,000
|
293,407
|
Arbor
Realty Trust, Inc., CLO, 2021-FL1, “C”, FLR, 2.875% (LIBOR - 1mo. + 2%), 12/15/2035 (n) |
|
|
200,000
|
193,076
|
Arbor
Realty Trust, Inc., CLO, 2021-FL2, “B”, FLR, 2.474% (LIBOR - 1mo. + 1.6%), 5/15/2036 (n) |
|
|
100,000
|
96,055
|
Arbor
Realty Trust, Inc., CLO, 2021-FL2, “C”, FLR, 2.825% (LIBOR - 1mo. + 1.95%), 5/15/2036 (n) |
|
|
275,500
|
263,835
|
Arbor
Realty Trust, Inc., CLO, 2022-FL1, “C”, FLR, 2.699% (SOFR - 30 day + 2.3%), 1/15/2037 (n) |
|
|
327,000
|
323,696
|
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Asset-Backed
& Securitized – continued |
Arbor
Realty Trust, Inc., CLO, 2022-FL1, “D”, FLR, 3.398% (SOFR - 30 day + 3%), 1/15/2037 (n) |
|
$
|
208,000
|
$
205,903 |
AREIT
2022-CRE6 Trust, “C”, FLR, 2.615% (SOFR - 30 day + 2.15%), 1/16/2037 (n) |
|
|
100,000
|
98,079
|
AREIT
2022-CRE6 Trust, “D”, FLR, 3.315% (SOFR - 30 day + 2.85%), 12/17/2024 (n) |
|
|
100,000
|
98,078
|
Bayview
Financial Revolving Mortgage Loan Trust, FLR, 2.661% (LIBOR - 1mo. + 1.6%), 12/28/2040 (n) |
|
|
153,832
|
175,010
|
BBCMS
Mortgage Trust, 2020-C7, “XA”, 1.625%, 4/15/2053 (i) |
|
|
1,985,820
|
168,264
|
BBCMS
Mortgage Trust, 2021-C10, “XA”, 1.304%, 7/15/2054 (i) |
|
|
995,320
|
81,962
|
BBCMS
Mortgage Trust, 2021-C9, “XA”, 1.633%, 2/15/2054 (i) |
|
|
2,288,915
|
237,099
|
Benchmark
2019-B12 Mortgage Trust, “A5”, 3.115%, 8/15/2052 |
|
|
227,000
|
213,148
|
Benchmark
2020-B18 Mortgage Trust, “XA”, 1.79%, 7/15/2053 (i) |
|
|
3,386,905
|
309,321
|
Benchmark
2021-B23 Mortgage Trust, “XA”, 1.275%, 2/15/2054 (i) |
|
|
3,626,833
|
279,532
|
Benchmark
2021-B24 Mortgage Trust, “XA”, 1.153%, 3/15/2054 (i) |
|
|
1,996,684
|
139,081
|
Benchmark
2021-B26 Mortgage Trust, “XA”, 0.999%, 6/15/2054 (i) |
|
|
5,529,735
|
309,764
|
Benchmark
2021-B27 Mortgage Trust, “XA”, 1.27%, 7/15/2054 (i) |
|
|
6,971,227
|
566,899
|
Benchmark
2021-B28 Mortgage Trust, “XA”, 1.288%, 8/15/2054 (i) |
|
|
2,347,075
|
193,425
|
BSPRT
2021-FL7 Issuer Ltd., “B”, FLR, 2.925% (LIBOR - 1mo. + 2.05%), 12/15/2038 (n) |
|
|
100,000
|
96,676
|
BSPRT
2021-FL7 Issuer Ltd., “C”, FLR, 3.174% (LIBOR - 1mo. + 2.3%), 12/15/2038 (n) |
|
|
100,000
|
97,283
|
Business
Jet Securities LLC, 2020-1A, “A”, 2.981%, 11/15/2035 (n) |
|
|
267,709
|
248,370
|
Business
Jet Securities LLC, 2021-1A, “A”, 2.162%, 4/15/2036 (n) |
|
|
93,681
|
84,221
|
Business
Jet Securities LLC, 2021-1A, “B”, 2.918%, 4/15/2036 (n) |
|
|
80,118
|
71,966
|
BXMT
2021-FL4 Ltd., “B”, FLR, 2.424% (LIBOR - 1mo. + 1.55%), 5/15/2038 (n) |
|
|
549,000
|
529,549
|
Capital
Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) |
|
|
144,752
|
138,655
|
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Asset-Backed
& Securitized – continued |
Capital
Automotive, 2020-1A, “B1”, REIT, 4.17%, 2/15/2050 (n) |
|
$
|
437,500
|
$
417,635 |
CarMax
Auto Owner Trust, 2022-2, “A4”, 3.62%, 9/15/2027 |
|
|
155,000
|
154,201
|
CF
Hippolyta Issuer LLC, 2020-1, “A1”, 1.69%, 7/15/2060 (n) |
|
|
92,050
|
84,435
|
CF
Hippolyta Issuer LLC, 2020-1, “B1”, 2.28%, 7/15/2060 (n) |
|
|
92,050
|
83,866
|
Commercial
Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.782%, 4/15/2054 (i) |
|
|
1,579,101
|
78,492
|
Commercial
Mortgage Pass-Through Certificates, 2021-BN34, “XA”, 0.978%, 6/15/2063 (i) |
|
|
998,872
|
63,670
|
Commercial
Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.051%, 6/15/2064 (i) |
|
|
1,306,266
|
88,049
|
Commercial
Mortgage Pass-Through Certificates, 2022-BNK41, “AS”, 3.916%, 4/15/2065 |
|
|
257,000
|
242,900
|
Crest
Ltd., CDO, 7%, (0.001% cash or 7% PIK) 1/28/2040 (a)(p) |
|
|
3,372,294
|
34
|
Fortress
CBO Investments Ltd., 2022-FL3, “AS”, FLR, 2.766% (SOFR - 30 day + 2.25%), 2/23/2039 (n) |
|
|
114,000
|
113,261
|
FS
Rialto 2021-FL2 Issuer Ltd., “AS”, FLR, 2.424% (LIBOR - 1mo. + 1.6%), 5/16/2038 (n) |
|
|
297,500
|
289,842
|
HarbourView
CLO VII Ltd., 7RA, “B”, FLR, 2.744% (LIBOR - 3mo. + 1.7%), 7/18/2031 (n) |
|
|
440,000
|
416,126
|
Harley-Davidson
Motorcycle Trust, 2022-A, “A3”, 3.06%, 2/15/2027 |
|
|
282,000
|
280,300
|
LoanCore
2021-CRE5 Ltd., “AS”, FLR, 2.625% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) |
|
|
375,000
|
357,644
|
LoanCore
2021-CRE5 Ltd., “B”, FLR, 2.874% (LIBOR - 1mo. + 2%), 7/15/2036 (n) |
|
|
258,000
|
243,669
|
MF1
2020-FL3 Ltd., “AS”, FLR, 3.746% (LIBOR - 1mo. + 2.85%), 7/15/2035 (z) |
|
|
428,000
|
422,866
|
MF1
2020-FL4 Ltd., “AS”, FLR, 3.01% (LIBOR - 1mo. + 2.1%), 11/15/2035 (n) |
|
|
154,000
|
151,116
|
MF1
2021-FL5 Ltd., “B”, FLR, 2.36% (LIBOR - 1mo. + 1.45%), 7/15/2036 (n) |
|
|
423,500
|
417,144
|
MF1
2021-FL5 Ltd., “C”, FLR, 2.61% (LIBOR - 1mo. + 1.7%), 7/15/2036 (n) |
|
|
213,000
|
205,536
|
MF1
2021-FL5 Ltd., “D”, FLR, 3.41% (LIBOR - 1mo. + 2.5%), 7/15/2036 (n) |
|
|
755,000
|
724,873
|
MF1
2021-FL6 Ltd., “B”, FLR, 2.585% (LIBOR - 1mo. + 1.65%), 7/16/2036 (n) |
|
|
450,000
|
429,471
|
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Asset-Backed
& Securitized – continued |
MF1
2022-FL8 Ltd., “C”, FLR, 2.682% (SOFR - 30 day + 2.2%), 2/19/2037 (n) |
|
$
|
110,841
|
$
107,699 |
Morgan
Stanley Capital I Trust, 2021-L5, “XA”, 1.298%, 5/15/2054 (i) |
|
|
1,033,449
|
82,764
|
Morgan
Stanley Capital I Trust, 2021-L6, “XA”, 1.234%, 6/15/2054 (i) |
|
|
3,125,951
|
227,216
|
Navistar
Financial Dealer Note Master Trust, 2022-1, “A”, FLR, 1.538% (SOFR - 30 day + 1.25%), 5/25/2027 (n) |
|
|
103,000
|
102,873
|
PFP
III 2021-7 Ltd., “B”, FLR, 2.274% (LIBOR - 1mo. + 1.4%), 4/14/2038 (n) |
|
|
212,489
|
198,968
|
PFP
III 2021-7 Ltd., “C”, FLR, 2.525% (LIBOR - 1mo. + 1.65%), 4/14/2038 (n) |
|
|
199,990
|
192,376
|
PFP
III 2021-8 Ltd., “B”, FLR, 2.375% (LIBOR - 1mo. + 1.5%), 8/09/2037 (n) |
|
|
105,000
|
100,964
|
Securitized
Term Auto Receivable Trust, 2019-CRTA, “C”, 2.849%, 3/25/2026 (n) |
|
|
112,870
|
112,760
|
Shelter
Growth CRE 2021-FL3 Ltd., “C”, FLR, 3.024% (LIBOR - 1mo. + 2.15%), 9/15/2036 (n) |
|
|
157,500
|
147,382
|
Starwood
Commercial Mortgage, 2021-FL2, “B”, FLR, 2.736% (LIBOR - 1mo. + 1.8%), 4/18/2038 (n) |
|
|
190,000
|
182,649
|
Starwood
Commercial Mortgage, 2021-FL2, “C”, FLR, 3.035% (LIBOR - 1mo. + 2.1%), 4/18/2038 (n) |
|
|
100,000
|
96,155
|
TPG
Real Estate Finance, 2021-FL4, “AS”, FLR, 2.286% (LIBOR - 1mo. + 1.4%), 3/15/2038 (n) |
|
|
150,000
|
146,868
|
TPG
Real Estate Finance, 2021-FL4, “B”, FLR, 2.736% (LIBOR - 1mo. + 1.85%), 3/15/2038 (n) |
|
|
310,000
|
302,384
|
Wells
Fargo Commercial Mortgage Trust, 2021-C60, “XA”, 1.553%, 8/15/2054 (i) |
|
|
1,991,168
|
200,637
|
|
|
|
|
$
14,578,550 |
Automotive
– 1.9% |
Clarios
Global LP/Clarios U.S. Finance Cois, 8.5%, 5/15/2027 (n) |
|
$
|
890,000
|
$
887,018 |
Daimler
Finance North America LLC, 1.45%, 3/02/2026 (n) |
|
|
150,000
|
137,830
|
Dana,
Inc., 5.375%, 11/15/2027 |
|
|
434,000
|
412,034
|
Dana,
Inc., 4.25%, 9/01/2030 |
|
|
315,000
|
274,540
|
Dornoch
Debt Merger Sub, Inc., 6.625%, 10/15/2029 (n) |
|
|
475,000
|
378,812
|
Ford
Motor Co., 5.113%, 5/03/2029 |
|
|
485,000
|
472,691
|
Ford
Motor Co., 4.75%, 1/15/2043 |
|
|
535,000
|
441,375
|
Ford
Motor Credit Co. LLC, 4.134%, 8/04/2025 |
|
|
665,000
|
648,142
|
Hyundai
Capital America, 6.375%, 4/08/2030 (n) |
|
|
315,000
|
341,749
|
IAA
Spinco, Inc., 5.5%, 6/15/2027 (n) |
|
|
715,000
|
692,835
|
RAC
Bond Co. PLC, 5.25%, 11/04/2027 (n) |
|
GBP
|
250,000
|
271,283
|
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Automotive
– continued |
Real
Hero Merger Sub 2, Inc., 6.25%, 2/01/2029 (n) |
|
$
|
470,000
|
$
369,729 |
Stellantis
N.V., 2.75%, 4/01/2032 |
|
EUR
|
100,000
|
98,012
|
TI
Automotive Finance PLC, 3.75%, 4/15/2029 (n) |
|
|
380,000
|
324,733
|
Volkswagen
International Finance N.V., 4.375% to 3/28/2031, FLR (EUR Swap Rate - 9yr. + 3.36%) to 3/28/2032, FLR (EUR Swap Rate - 9yr. + 3.61%) to 3/28/2051, FLR (EUR Swap Rate - 9yr. + 4.11%) to 3/28/2071 |
|
|
100,000
|
97,136
|
Wheel
Pros, Inc., 6.5%, 5/15/2029 (n) |
|
$
|
430,000
|
306,548
|
|
|
|
|
$
6,154,467 |
Broadcasting
– 2.0% |
Advantage
Sales & Marketing, Inc., 6.5%, 11/15/2028 (n) |
|
$
|
587,000
|
$
522,841 |
Discovery,
Inc., 4.125%, 5/15/2029 |
|
|
78,000
|
74,454
|
Gray
Escrow II, Inc., 5.375%, 11/15/2031 (n) |
|
|
845,000
|
769,554
|
iHeartCommunications,
Inc., 8.375%, 5/01/2027 |
|
|
160,000
|
150,080
|
Magallanes,
Inc., 4.279%, 3/15/2032 (n) |
|
|
200,000
|
186,929
|
Netflix,
Inc., 5.875%, 11/15/2028 |
|
|
570,000
|
590,338
|
Prosus
N.V., 1.539%, 8/03/2028 |
|
EUR
|
150,000
|
132,876
|
Prosus
N.V., 2.085%, 1/19/2030 |
|
|
100,000
|
86,215
|
Prosus
N.V., 3.061%, 7/13/2031 (n) |
|
$
|
329,000
|
254,400
|
Prosus
N.V., 2.031%, 8/03/2032 |
|
EUR
|
100,000
|
79,651
|
Scripps
Escrow II, Inc., 5.875%, 7/15/2027 (n) |
|
$
|
635,000
|
601,104
|
Summer
(BC) Bidco B LLC, 5.5%, 10/31/2026 (n) |
|
|
540,000
|
502,740
|
Summer
(BC) Holdco S.à r.l., “A”, 9.25%, 10/31/2027 |
|
EUR
|
423,495
|
425,359
|
Univision
Communications, Inc., 4.5%, 5/01/2029 (n) |
|
$
|
763,000
|
699,099
|
WMG
Acquisition Corp., 3.875%, 7/15/2030 (n) |
|
|
1,209,000
|
1,111,277
|
WMG
Acquisition Corp., 2.25%, 8/31/2031 (n) |
|
EUR
|
242,000
|
214,334
|
WMG
Acquisition Corp., 2.25%, 8/31/2031 |
|
|
140,000
|
123,995
|
|
|
|
|
$
6,525,246 |
Brokerage
& Asset Managers – 1.6% |
Ameriprise
Financial, Inc., 4.5%, 5/13/2032 |
|
$
|
59,000
|
$
59,736 |
Aretec
Escrow Issuer, Inc., 7.5%, 4/01/2029 (n) |
|
|
475,000
|
423,563
|
Banco
BTG Pactual S.A. (Cayman Islands Branch), 4.5%, 1/10/2025 (n) |
|
|
906,000
|
897,964
|
Intercontinental
Exchange, Inc., 3.75%, 12/01/2025 |
|
|
151,000
|
152,675
|
Intercontinental
Exchange, Inc., 3%, 9/15/2060 |
|
|
151,000
|
107,265
|
LPL
Holdings, Inc., 4.625%, 11/15/2027 (n) |
|
|
1,330,000
|
1,296,750
|
LPL
Holdings, Inc., 4%, 3/15/2029 (n) |
|
|
905,000
|
838,256
|
LPL
Holdings, Inc., 4.375%, 5/15/2031 (n) |
|
|
435,000
|
390,956
|
NFP
Corp., 4.875%, 8/15/2028 (n) |
|
|
540,000
|
501,261
|
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Brokerage
& Asset Managers – continued |
NFP
Corp., 6.875%, 8/15/2028 (n) |
|
$
|
580,000
|
$
505,580 |
|
|
|
|
$
5,174,006 |
Building
– 2.4% |
ABC
Supply Co., Inc., 4%, 1/15/2028 (n) |
|
$
|
1,230,000
|
$
1,156,926 |
Foundation
Building Materials LLC, 6%, 3/01/2029 (n) |
|
|
325,000
|
264,875
|
GYP
Holding III Corp., 4.625%, 5/01/2029 (n) |
|
|
855,000
|
713,962
|
Holcim
Sterling Finance (Netherlands) B.V., 2.25%, 4/04/2034 |
|
GBP
|
100,000
|
102,718
|
Imerys
S.A., 1%, 7/15/2031 |
|
EUR
|
100,000
|
83,994
|
Interface,
Inc., 5.5%, 12/01/2028 (n) |
|
$
|
815,000
|
723,015
|
MIWD
Holdco II LLC/MIWD Finance Co., 5.5%, 2/01/2030 (n) |
|
|
415,000
|
352,797
|
New
Enterprise Stone & Lime Co., Inc., 5.25%, 7/15/2028 (n) |
|
|
270,000
|
238,942
|
New
Enterprise Stone & Lime Co., Inc., 9.75%, 7/15/2028 (n) |
|
|
481,000
|
461,331
|
Park
River Holdings, Inc., 5.625%, 2/01/2029 (n) |
|
|
330,000
|
234,262
|
Patrick
Industries, Inc., 7.5%, 10/15/2027 (n) |
|
|
695,000
|
688,050
|
SRM
Escrow Issuer LLC, 6%, 11/01/2028 (n) |
|
|
460,000
|
429,474
|
SRS
Distribution, Inc., 6.125%, 7/01/2029 (n) |
|
|
580,000
|
497,350
|
Standard
Industries, Inc., 4.75%, 1/15/2028 (n) |
|
|
316,000
|
299,735
|
Standard
Industries, Inc., 4.375%, 7/15/2030 (n) |
|
|
880,000
|
792,796
|
Standard
Industries, Inc., 3.375%, 1/15/2031 (n) |
|
|
160,000
|
134,290
|
Vulcan
Materials Co., 3.5%, 6/01/2030 |
|
|
137,000
|
128,466
|
White
Cap Buyer LLC, 6.875%, 10/15/2028 (n) |
|
|
460,000
|
409,400
|
|
|
|
|
$
7,712,383 |
Business
Services – 1.6% |
Equinix,
Inc., REIT, 1%, 3/15/2033 |
|
EUR
|
200,000
|
$
166,772 |
Euronet
Worldwide, Inc., 1.375%, 5/22/2026 |
|
|
200,000
|
196,469
|
Fiserv,
Inc., 4.4%, 7/01/2049 |
|
$
|
95,000
|
85,099
|
HealthEquity,
Inc., 4.5%, 10/01/2029 (n) |
|
|
740,000
|
690,050
|
Iron
Mountain, Inc., 5.25%, 3/15/2028 (n) |
|
|
360,000
|
350,093
|
Iron
Mountain, Inc., REIT, 4.875%, 9/15/2027 (n) |
|
|
480,000
|
472,997
|
Mastercard,
Inc., 3.3%, 3/26/2027 |
|
|
212,000
|
211,927
|
Mastercard,
Inc., 3.85%, 3/26/2050 |
|
|
77,000
|
72,122
|
Nielsen
Finance LLC, 4.5%, 7/15/2029 (n) |
|
|
425,000
|
401,605
|
Paysafe
Finance PLC, 4%, 6/15/2029 (n) |
|
|
595,000
|
464,100
|
Switch
Ltd., 3.75%, 9/15/2028 (n) |
|
|
601,000
|
601,176
|
Tencent
Holdings Ltd., 3.8%, 2/11/2025 |
|
|
700,000
|
702,121
|
Verscend
Escrow Corp., 9.75%, 8/15/2026 (n) |
|
|
510,000
|
525,098
|
Visa,
Inc., 2%, 6/15/2029 (w) |
|
EUR
|
120,000
|
127,559
|
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Business
Services – continued |
Visa,
Inc., 3.65%, 9/15/2047 |
|
$
|
63,000
|
$
57,759 |
|
|
|
|
$
5,124,947 |
Cable
TV – 5.1% |
CCO
Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027 (n) |
|
$
|
425,000
|
$
418,880 |
CCO
Holdings LLC/CCO Holdings Capital Corp., 4.75%, 3/01/2030 (n) |
|
|
1,960,000
|
1,808,100
|
CCO
Holdings LLC/CCO Holdings Capital Corp., 4.5%, 8/15/2030 (n) |
|
|
1,420,000
|
1,282,402
|
CCO
Holdings LLC/CCO Holdings Capital Corp., 4.25%, 2/01/2031 (n) |
|
|
1,055,000
|
930,721
|
CCO
Holdings LLC/CCO Holdings Capital Corp., 4.25%, 1/15/2034 (n) |
|
|
450,000
|
372,764
|
Charter
Communications Operating LLC/Charter Communications Operating Capital Corp., 4.8%, 3/01/2050 |
|
|
101,000
|
86,830
|
Comcast
Corp., 3.75%, 4/01/2040 |
|
|
143,000
|
130,834
|
CSC
Holdings LLC, 5.375%, 2/01/2028 (n) |
|
|
200,000
|
190,000
|
CSC
Holdings LLC, 5.75%, 1/15/2030 (n) |
|
|
1,350,000
|
1,128,276
|
CSC
Holdings LLC, 4.125%, 12/01/2030 (n) |
|
|
405,000
|
347,692
|
DISH
DBS Corp., 7.75%, 7/01/2026 |
|
|
375,000
|
320,625
|
DISH
DBS Corp., 5.25%, 12/01/2026 (n) |
|
|
535,000
|
452,637
|
DISH
DBS Corp., 5.125%, 6/01/2029 |
|
|
450,000
|
317,592
|
LCPR
Senior Secured Financing DAC, 6.75%, 10/15/2027 (n) |
|
|
693,000
|
698,197
|
LCPR
Senior Secured Financing DAC, 5.125%, 7/15/2029 (n) |
|
|
210,000
|
191,047
|
Sirius
XM Holdings, Inc., 3.875%, 9/01/2031 (n) |
|
|
835,000
|
734,149
|
Sirius
XM Radio, Inc., 4%, 7/15/2028 (n) |
|
|
542,000
|
502,624
|
Sirius
XM Radio, Inc., 5.5%, 7/01/2029 (n) |
|
|
1,345,000
|
1,335,982
|
Telenet
Finance Luxembourg S.A., 5.5%, 3/01/2028 (n) |
|
|
1,200,000
|
1,122,000
|
Videotron
Ltd., 5.125%, 4/15/2027 (n) |
|
|
375,000
|
365,156
|
Virgin
Media Finance PLC, 3.75%, 7/15/2030 |
|
EUR
|
255,000
|
223,631
|
Virgin
Media Finance PLC, 5%, 7/15/2030 (n) |
|
$
|
1,000,000
|
892,700
|
Virgin
Media Vendor Financing Notes IV DAC, 5%, 7/15/2028 (n) |
|
|
1,200,000
|
1,099,038
|
VTR
Comunicaciones S.p.A., 5.125%, 1/15/2028 |
|
|
267,000
|
217,373
|
Ziggo
Bond Finance B.V., 3.375%, 2/28/2030 |
|
EUR
|
370,000
|
320,790
|
Ziggo
Bond Finance B.V., 5.125%, 2/28/2030 (n) |
|
$
|
1,115,000
|
990,527
|
|
|
|
|
$
16,480,567 |
Chemicals
– 1.9% |
Axalta
Coating Systems Ltd., 4.75%, 6/15/2027 (n) |
|
$
|
540,000
|
$
514,350 |
Axalta
Coating Systems Ltd., 3.375%, 2/15/2029 (n) |
|
|
1,340,000
|
1,178,255
|
Consolidated
Energy Finance S.A., 5.625%, 10/15/2028 (n) |
|
|
500,000
|
457,500
|
Element
Solutions, Inc., 3.875%, 9/01/2028 (n) |
|
|
650,000
|
581,750
|
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Chemicals
– continued |
Herens
Holdco S.à r.l., 4.75%, 5/15/2028 (n) |
|
$
|
500,000
|
$
432,240 |
Ingevity
Corp., 3.875%, 11/01/2028 (n) |
|
|
763,000
|
684,793
|
LSF11
A5 HoldCo LLC, 6.625%, 10/15/2029 (n) |
|
|
425,000
|
363,375
|
LYB
International Finance III, LLC, 4.2%, 5/01/2050 |
|
|
139,000
|
122,726
|
S.P.C.M.
S.A., 3.125%, 3/15/2027 (n) |
|
|
405,000
|
352,350
|
S.P.C.M.
S.A., 3.375%, 3/15/2030 (n) |
|
|
705,000
|
578,100
|
Sasol
Financing (USA) LLC, 4.375%, 9/18/2026 |
|
|
200,000
|
183,300
|
Sasol
Financing (USA) LLC, 5.5%, 3/18/2031 |
|
|
550,000
|
479,600
|
Sherwin-Williams
Co., 3.8%, 8/15/2049 |
|
|
38,000
|
32,385
|
Synthos
S.A., 2.5%, 6/07/2028 (n) |
|
EUR
|
147,000
|
132,415
|
|
|
|
|
$
6,093,139 |
Computer
Software – 0.9% |
Camelot
Finance S.A., 4.5%, 11/01/2026 (n) |
|
$
|
410,000
|
$
388,500 |
Clarivate
Science Holdings Corp., 3.875%, 7/01/2028 (n) |
|
|
160,000
|
145,112
|
Clarivate
Science Holdings Corp., 4.875%, 7/01/2029 (n) |
|
|
770,000
|
689,535
|
Dun
& Bradstreet Corp., 5%, 12/15/2029 (n) |
|
|
590,000
|
536,528
|
Microsoft
Corp., 3.3%, 2/06/2027 |
|
|
145,000
|
146,726
|
Microsoft
Corp., 2.525%, 6/01/2050 |
|
|
214,000
|
165,436
|
PTC,
Inc., 3.625%, 2/15/2025 (n) |
|
|
385,000
|
382,401
|
PTC,
Inc., 4%, 2/15/2028 (n) |
|
|
305,000
|
290,993
|
|
|
|
|
$
2,745,231 |
Computer
Software - Systems – 1.1% |
Fair
Isaac Corp., 5.25%, 5/15/2026 (n) |
|
$
|
1,295,000
|
$
1,293,381 |
Fair
Isaac Corp., 4%, 6/15/2028 (n) |
|
|
66,000
|
62,685
|
SS&C
Technologies Holdings, Inc., 5.5%, 9/30/2027 (n) |
|
|
930,000
|
929,396
|
Viavi
Solutions, Inc., 3.75%, 10/01/2029 (n) |
|
|
830,000
|
748,096
|
Virtusa
Corp., 7.125%, 12/15/2028 (n) |
|
|
410,000
|
344,400
|
|
|
|
|
$
3,377,958 |
Conglomerates
– 1.6% |
BWX
Technologies, Inc., 4.125%, 6/30/2028 (n) |
|
$
|
210,000
|
$
190,033 |
BWX
Technologies, Inc., 4.125%, 4/15/2029 (n) |
|
|
1,130,000
|
1,011,350
|
Carrier
Global Corp., 3.577%, 4/05/2050 |
|
|
129,000
|
103,337
|
Gates
Global LLC, 6.25%, 1/15/2026 (n) |
|
|
560,000
|
546,689
|
Griffon
Corp., 5.75%, 3/01/2028 |
|
|
816,000
|
787,440
|
Madison
IAQ LLC, 5.875%, 6/30/2029 (n) |
|
|
643,000
|
503,148
|
Stevens
Holding Co., Inc., 6.125%, 10/01/2026 (n) |
|
|
460,000
|
456,550
|
TriMas
Corp., 4.125%, 4/15/2029 (n) |
|
|
1,776,000
|
1,598,400
|
Westinghouse
Air Brake Technologies Corp., 4.95%, 9/15/2028 |
|
|
87,000
|
87,557
|
|
|
|
|
$
5,284,504 |
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Construction
– 0.8% |
Empire
Communities Corp., 7%, 12/15/2025 (n) |
|
$
|
490,000
|
$
439,163 |
Mattamy
Group Corp., 5.25%, 12/15/2027 (n) |
|
|
255,000
|
235,323
|
Mattamy
Group Corp., 4.625%, 3/01/2030 (n) |
|
|
615,000
|
514,781
|
Meritage
Homes Corp., 3.875%, 4/15/2029 (n) |
|
|
320,000
|
282,723
|
Taylor
Morrison Communities, Inc., 5.75%, 1/15/2028 (n) |
|
|
585,000
|
578,309
|
Weekley
Homes LLC/Weekley Finance Corp., 4.875%, 9/15/2028 (n) |
|
|
638,000
|
565,415
|
|
|
|
|
$
2,615,714 |
Consumer
Products – 0.8% |
GSK
Consumer Healthcare Capital US LLC, 2.125%, 3/29/2034 |
|
EUR
|
100,000
|
$
99,469 |
JAB
Holdings B.V., 2.25%, 12/19/2039 |
|
|
200,000
|
159,925
|
L'Oréal
S.A., 0.875%, 6/29/2026 |
|
|
100,000
|
105,059
|
Mattel,
Inc., 3.375%, 4/01/2026 (n) |
|
$
|
572,000
|
554,726
|
Mattel,
Inc., 5.875%, 12/15/2027 (n) |
|
|
304,000
|
309,320
|
Mattel,
Inc., 5.45%, 11/01/2041 |
|
|
210,000
|
201,779
|
Prestige
Consumer Healthcare, Inc., 5.125%, 1/15/2028 (n) |
|
|
630,000
|
604,800
|
Prestige
Consumer Healthcare, Inc., 3.75%, 4/01/2031 (n) |
|
|
250,000
|
211,202
|
SWF
Escrow Issuer Corp., 6.5%, 10/01/2029 (n) |
|
|
550,000
|
418,126
|
|
|
|
|
$
2,664,406 |
Consumer
Services – 2.6% |
AA
Bond Co. Ltd., 3.25%, 7/31/2028 |
|
GBP
|
100,000
|
$
112,419 |
Allied
Universal Holdco LLC, 6.625%, 7/15/2026 (n) |
|
$
|
216,000
|
214,068
|
Allied
Universal Holdco LLC, 9.75%, 7/15/2027 (n) |
|
|
560,000
|
526,282
|
Allied
Universal Holdco LLC, 6%, 6/01/2029 (n) |
|
|
400,000
|
323,640
|
ANGI
Group LLC, 3.875%, 8/15/2028 (n) |
|
|
791,000
|
662,763
|
Arches
Buyer, Inc., 6.125%, 12/01/2028 (n) |
|
|
625,000
|
524,769
|
GoDaddy,
Inc., 3.5%, 3/01/2029 (n) |
|
|
1,228,000
|
1,133,598
|
GW
B-CR Security Corp., 9.5%, 11/01/2027 (n) |
|
|
422,000
|
396,779
|
Match
Group Holdings II LLC, 3.625%, 10/01/2031 (n) |
|
|
55,000
|
46,734
|
Match
Group, Inc., 5%, 12/15/2027 (n) |
|
|
460,000
|
447,596
|
Match
Group, Inc., 4.625%, 6/01/2028 (n) |
|
|
910,000
|
847,638
|
Match
Group, Inc., 4.125%, 8/01/2030 (n) |
|
|
225,000
|
200,198
|
Realogy
Group LLC/Realogy Co-Issuer Corp., 5.75%, 1/15/2029 (n) |
|
|
440,000
|
392,128
|
Realogy
Group LLC/Realogy Co-Issuer Corp., 5.25%, 4/15/2030 (n) |
|
|
415,000
|
360,911
|
Toll
Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2043 (n) |
|
|
1,968,329
|
524,550
|
TriNet
Group, Inc., 3.5%, 3/01/2029 (n) |
|
|
1,395,000
|
1,243,656
|
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Consumer
Services – continued |
WASH
Multifamily Acquisition, Inc., 5.75%, 4/15/2026 (n) |
|
$
|
468,000
|
$
464,191 |
|
|
|
|
$
8,421,920 |
Containers
– 2.0% |
ARD
Finance S.A., 5%, (5% cash or 5.75% PIK) 6/30/2027 (p) |
|
EUR
|
235,000
|
$
198,989 |
ARD
Finance S.A., 6.5%, (6.5% cash or 7.25% PIK) 6/30/2027 (n)(p) |
|
$
|
455,000
|
357,175
|
Ardagh
Metal Packaging Finance USA LLC, 3.25%, 9/01/2028 (n) |
|
|
565,000
|
502,737
|
Ardagh
Metal Packaging Finance USA LLC, 3%, 9/01/2029 (n) |
|
EUR
|
320,000
|
273,582
|
Ardagh
Metal Packaging Finance USA LLC, 4%, 9/01/2029 (n) |
|
$
|
646,000
|
559,762
|
Ardagh
Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 5.25%, 8/15/2027 (n) |
|
|
880,000
|
734,800
|
Ball
Corp., 3.125%, 9/15/2031 |
|
|
330,000
|
288,272
|
Can-Pack
S.A./Eastern PA Land Investment Holding LLC, 3.125%, 11/01/2025 (n) |
|
|
350,000
|
324,625
|
Can-Pack
S.A./Eastern PA Land Investment Holding LLC, 3.875%, 11/15/2029 (n) |
|
|
976,000
|
856,050
|
Crown
Americas LLC, 5.25%, 4/01/2030 (n) |
|
|
525,000
|
525,956
|
Crown
Americas LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/2026 |
|
|
920,000
|
903,656
|
Crown
Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 2/01/2026 |
|
|
440,000
|
433,400
|
Trivium
Packaging Finance B.V., 8.5%, 8/15/2027 (n) |
|
|
625,000
|
615,272
|
|
|
|
|
$
6,574,276 |
Electrical
Equipment – 0.4% |
Arrow
Electronics, Inc., 3.25%, 9/08/2024 |
|
$
|
86,000
|
$
85,154 |
Arrow
Electronics, Inc., 2.95%, 2/15/2032 |
|
|
182,000
|
156,395
|
CommScope
Technologies LLC, 5%, 3/15/2027 (n) |
|
|
875,000
|
729,531
|
Telefonaktiebolaget
LM Ericsson, 1.125%, 2/08/2027 |
|
EUR
|
140,000
|
130,292
|
Telefonaktiebolaget
LM Ericsson, 1%, 5/26/2029 |
|
|
140,000
|
117,876
|
|
|
|
|
$
1,219,248 |
Electronics
– 1.2% |
ASML
Holding N.V., 2.25%, 5/17/2032 |
|
EUR
|
100,000
|
$
106,611 |
Broadcom,
Inc., 3.419%, 4/15/2033 (n) |
|
$
|
133,000
|
114,503
|
Broadcom,
Inc., 3.137%, 11/15/2035 (n) |
|
|
168,000
|
137,175
|
Broadcom,
Inc., 3.187%, 11/15/2036 (n) |
|
|
4,000
|
3,207
|
Diebold
Nixdorf, Inc., 9.375%, 7/15/2025 (n) |
|
|
299,000
|
227,240
|
Entegris,
Inc., 4.375%, 4/15/2028 (n) |
|
|
290,000
|
270,425
|
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Electronics
– continued |
Entegris,
Inc., 3.625%, 5/01/2029 (n) |
|
$
|
380,000
|
$
335,968 |
NXP
B.V./NXP Funding LLC/NXP USA, Inc., 3.4%, 5/01/2030 |
|
|
331,000
|
306,187
|
Sensata
Technologies B.V., 5.625%, 11/01/2024 (n) |
|
|
480,000
|
488,072
|
Sensata
Technologies B.V., 5%, 10/01/2025 (n) |
|
|
1,010,000
|
1,018,585
|
Sensata
Technologies, Inc., 4.375%, 2/15/2030 (n) |
|
|
410,000
|
389,294
|
Synaptics,
Inc., 4%, 6/15/2029 (n) |
|
|
625,000
|
562,500
|
|
|
|
|
$
3,959,767 |
Emerging
Market Quasi-Sovereign – 4.3% |
Banco
de Reservas de la Republica Dominicana, 7%, 2/01/2023 |
|
$
|
1,074,000
|
$
1,079,648 |
CEZ
A.S. (Czech Republic), 2.462%, 4/06/2027 |
|
EUR
|
100,000
|
104,440
|
China
Construction Bank Corp., Hong Kong Branch, 4.25% to 2/27/2024, FLR (CMT - 5yr. + 1.88%) to 2/27/2029 |
|
$
|
960,000
|
972,099
|
Comision
Federal de Electricidad (United Mexican States), 3.348%, 2/09/2031 (n) |
|
|
202,000
|
162,006
|
DAE
Funding LLC (United Arab Emirates), 3.375%, 3/20/2028 (n) |
|
|
200,000
|
178,500
|
Emirates
NBD Bank PJSC, 6.125% to 7/09/2026, FLR (Swap Rate - 6yr. + 5.702%) to 1/09/2170 |
|
|
238,000
|
238,000
|
Empresa
Nacional del Petroleo (Republic of Chile), 3.75%, 8/05/2026 |
|
|
600,000
|
568,245
|
EQUATE
Petrochemical B.V. (State of Kuwait), 4.25%, 11/03/2026 |
|
|
1,022,000
|
1,014,971
|
Eskom
Holdings SOC Ltd. (Republic of South Africa), 6.35%, 8/10/2028 |
|
|
624,000
|
612,799
|
Export-Import
Bank of India, 2.25%, 1/13/2031 (n) |
|
|
300,000
|
244,809
|
First
Abu Dhabi Bank PJSC, 1.625%, 4/07/2027 |
|
EUR
|
180,000
|
186,333
|
Indian
Railway Finance Corp., 2.8%, 2/10/2031 (n) |
|
$
|
299,000
|
250,215
|
Indian
Railway Finance Corp., 2.8%, 2/10/2031 |
|
|
800,000
|
669,471
|
Industrial
and Commercial Bank of China, 4.875%, 9/21/2025 |
|
|
359,000
|
372,502
|
Ipoteka
Bank (Republic of Uzbekistan), 5.5%, 11/19/2025 |
|
|
700,000
|
625,625
|
MDGH
- GMTN RSC Ltd. (United Arab Emirates), 2.875%, 11/07/2029 (n) |
|
|
1,086,000
|
1,007,265
|
NAK
Naftogaz Ukraine via Standard Bank London Holdings PLC, 7.625%, 11/08/2026 (n) |
|
|
1,116,000
|
374,418
|
Office
Cherifien des Phosphates S.A. (Kingdom of Morocco), 3.75%, 6/23/2031 (n) |
|
|
200,000
|
165,860
|
Office
Cherifien des Phosphates S.A. (Kingdom of Morocco), 5.125%, 6/23/2051 (n) |
|
|
650,000
|
482,950
|
Ooredoo
International Finance Ltd. (State of Qatar), 2.625%, 4/08/2031 |
|
|
200,000
|
177,475
|
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Emerging
Market Quasi-Sovereign – continued |
Oryx
Funding Ltd. (Sultanate of Oman), 5.8%, 2/03/2031 (n) |
|
$
|
200,000
|
$
193,887 |
Petroleos
Mexicanos, 6.49%, 1/23/2027 |
|
|
904,000
|
868,021
|
Petroleos
Mexicanos, 5.95%, 1/28/2031 |
|
|
200,000
|
167,380
|
Petroleos
Mexicanos, 6.75%, 9/21/2047 |
|
|
980,000
|
704,816
|
Petroleos
Mexicanos, 7.69%, 1/23/2050 |
|
|
200,000
|
155,480
|
PT
Freeport Indonesia, 5.315%, 4/14/2032 (n) |
|
|
200,000
|
194,360
|
QNB
Finance Ltd. (State of Qatar), 2.75%, 2/12/2027 |
|
|
554,000
|
527,661
|
Southern
Gas Corridor CJSC (Republic of Azerbaijan), 6.875%, 3/24/2026 |
|
|
1,065,000
|
1,102,198
|
State
Oil Company of the Azerbaijan Republic, 6.95%, 3/18/2030 |
|
|
500,000
|
517,500
|
|
|
|
|
$
13,918,934 |
Emerging
Market Sovereign – 13.8% |
Arab
Republic of Egypt, 6.375%, 4/11/2031 (n) |
|
EUR
|
539,000
|
$
439,801 |
Arab
Republic of Egypt, 7.052%, 1/15/2032 (n) |
|
$
|
320,000
|
250,773
|
Arab
Republic of Egypt, 8.5%, 1/31/2047 |
|
|
1,265,000
|
919,781
|
Arab
Republic of Egypt, 8.875%, 5/29/2050 |
|
|
200,000
|
146,908
|
Dominican
Republic, 5.5%, 2/22/2029 (n) |
|
|
761,000
|
719,101
|
Dominican
Republic, 5.3%, 1/21/2041 (n) |
|
|
181,000
|
142,436
|
Dominican
Republic, 5.875%, 1/30/2060 (n) |
|
|
2,249,000
|
1,748,770
|
Federal
Republic of Nigeria, 8.747%, 1/21/2031 (n) |
|
|
519,000
|
451,530
|
Federative
Republic of Brazil, 10%, 1/01/2023 |
|
BRL
|
2,970,000
|
613,534
|
Federative
Republic of Brazil, 10%, 1/01/2025 |
|
|
11,250,000
|
2,244,378
|
Federative
Republic of Brazil, 3.875%, 6/12/2030 |
|
$
|
500,000
|
447,939
|
Hellenic
Republic (Republic of Greece), 0%, 2/12/2026 (n) |
|
EUR
|
885,000
|
867,092
|
Hellenic
Republic (Republic of Greece), 2%, 4/22/2027 (n) |
|
|
1,470,000
|
1,551,167
|
Hellenic
Republic (Republic of Greece), 1.75%, 6/18/2032 (n) |
|
|
3,489,000
|
3,175,908
|
Hellenic
Republic (Republic of Greece), 1.875%, 1/24/2052 (n) |
|
|
245,000
|
166,775
|
Kingdom
of Morocco, 1.375%, 3/30/2026 |
|
|
428,000
|
420,699
|
Kingdom
of Morocco, 2%, 9/30/2030 |
|
|
100,000
|
86,668
|
Kingdom
of Morocco, 3%, 12/15/2032 (n) |
|
$
|
459,000
|
358,594
|
Oriental
Republic of Uruguay, 8.25%, 5/21/2031 |
|
UYU
|
42,475,000
|
931,969
|
People's
Republic of China, 3.03%, 3/11/2026 |
|
CNY
|
44,260,000
|
6,776,182
|
People's
Republic of China, 3.13%, 11/21/2029 |
|
|
11,200,000
|
1,720,258
|
Republic
of Angola, 9.375%, 5/08/2048 |
|
$
|
454,000
|
405,767
|
Republic
of Argentina, 1.125%, 7/09/2035 |
|
|
627,494
|
170,340
|
Republic
of Benin, 6.875%, 1/19/2052 (n) |
|
EUR
|
214,000
|
176,968
|
Republic
of Benin, 6.875%, 1/19/2052 |
|
|
400,000
|
330,782
|
Republic
of Cote d'Ivoire, 5.25%, 3/22/2030 |
|
|
929,000
|
873,161
|
Republic
of Cote d'Ivoire, 6.875%, 10/17/2040 |
|
|
300,000
|
264,718
|
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Emerging
Market Sovereign – continued |
Republic
of Ghana, 8.125%, 3/26/2032 (n) |
|
$
|
305,000
|
$
161,986 |
Republic
of Guatemala, 6.125%, 6/01/2050 (n) |
|
|
777,000
|
719,110
|
Republic
of Guatemala, 6.125%, 6/01/2050 |
|
|
300,000
|
277,649
|
Republic
of Hungary, 2.125%, 9/22/2031 (n) |
|
|
200,000
|
161,120
|
Republic
of Hungary, 7.625%, 3/29/2041 |
|
|
470,000
|
579,649
|
Republic
of Indonesia, 3.55%, 3/31/2032 |
|
|
200,000
|
190,828
|
Republic
of Indonesia, 4.35%, 1/11/2048 |
|
|
400,000
|
372,444
|
Republic
of Kenya, 8%, 5/22/2032 (n) |
|
|
478,000
|
412,944
|
Republic
of Korea, 1.875%, 6/10/2029 |
|
KRW
|
4,363,250,000
|
3,210,743
|
Republic
of Korea, 1.375%, 6/10/2030 |
|
|
2,561,600,000
|
1,788,032
|
Republic
of Paraguay, 4.95%, 4/28/2031 (n) |
|
$
|
280,000
|
272,495
|
Republic
of Paraguay, 5.6%, 3/13/2048 |
|
|
200,000
|
174,054
|
Republic
of Paraguay, 5.4%, 3/30/2050 (n) |
|
|
1,150,000
|
980,667
|
Republic
of Philippines, 3.556%, 9/29/2032 |
|
|
534,000
|
513,682
|
Republic
of Romania, 2%, 12/08/2026 (n) |
|
EUR
|
989,000
|
997,529
|
Republic
of Romania, 1.75%, 7/13/2030 (n) |
|
|
247,000
|
208,114
|
Republic
of Romania, 2%, 4/14/2033 |
|
|
250,000
|
194,443
|
Republic
of Senegal, 6.25%, 5/23/2033 |
|
$
|
247,000
|
216,248
|
Republic
of Serbia, 2.05%, 9/23/2036 (n) |
|
EUR
|
647,000
|
473,908
|
Republic
of South Africa, 8.25%, 3/31/2032 |
|
ZAR
|
36,545,000
|
2,045,702
|
Republic
of South Africa, 5.875%, 4/20/2032 |
|
$
|
200,000
|
189,800
|
Republic
of Sri Lanka, 7.55%, 3/28/2030 (a)(n) |
|
|
446,000
|
171,706
|
State
of Qatar, 4.817%, 3/14/2049 (n) |
|
|
683,000
|
735,017
|
Sultanate
of Oman, 7%, 1/25/2051 |
|
|
800,000
|
764,208
|
United
Mexican States, 7.5%, 6/03/2027 |
|
MXN
|
24,400,000
|
1,179,551
|
United
Mexican States, 4.75%, 4/27/2032 |
|
$
|
727,000
|
730,770
|
United
Mexican States, 3.771%, 5/24/2061 |
|
|
774,000
|
555,258
|
|
|
|
|
$
44,679,656 |
Energy
- Independent – 2.6% |
Antero
Resources Corp., 7.625%, 2/01/2029 (n) |
|
$
|
490,000
|
$
531,135 |
CNX
Resources Corp., 6%, 1/15/2029 (n) |
|
|
542,000
|
538,396
|
Comstock
Resources, Inc., 6.75%, 3/01/2029 (n) |
|
|
725,000
|
723,981
|
Diamondback
Energy, Inc., 4.4%, 3/24/2051 |
|
|
141,000
|
127,324
|
Encino
Acquisition Partners Holdings LLC, 8.5%, 5/01/2028 (n) |
|
|
410,000
|
410,000
|
Leviathan
Bond Ltd., 6.125%, 6/30/2025 (n) |
|
|
679,000
|
675,116
|
Medco
Bell Pte. Ltd., 6.375%, 1/30/2027 (n) |
|
|
492,000
|
455,346
|
Moss
Creek Resources Holdings, Inc., 7.5%, 1/15/2026 (n) |
|
|
315,000
|
284,288
|
Occidental
Petroleum Corp., 5.875%, 9/01/2025 |
|
|
570,000
|
595,570
|
Occidental
Petroleum Corp., 6.625%, 9/01/2030 |
|
|
953,000
|
1,068,318
|
Occidental
Petroleum Corp., 6.6%, 3/15/2046 |
|
|
400,000
|
452,000
|
SM
Energy Co., 5.625%, 6/01/2025 |
|
|
330,000
|
328,713
|
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Energy
- Independent – continued |
SM
Energy Co., 6.5%, 7/15/2028 |
|
$
|
365,000
|
$
362,505 |
Southwestern
Energy Co., 5.95%, 1/23/2025 |
|
|
44,200
|
45,658
|
Southwestern
Energy Co., 8.375%, 9/15/2028 |
|
|
305,000
|
334,216
|
Southwestern
Energy Co., 5.375%, 3/15/2030 |
|
|
420,000
|
425,250
|
Tengizchevroil
Finance Co. International Ltd., 4%, 8/15/2026 |
|
|
987,000
|
878,430
|
Tengizchevroil
Finance Co. International Ltd., 3.25%, 8/15/2030 (n) |
|
|
323,000
|
258,558
|
|
|
|
|
$
8,494,804 |
Energy
- Integrated – 0.3% |
BP
Capital Markets PLC, 3.625% to 6/22/2029, FLR (EUR Swap Rate - 5yr. + 4.12%) to 6/22/2034, FLR (EUR Swap Rate - 5yr. + 4.37%) to 6/22/2049, FLR (EUR Swap Rate - 5yr. + 5.12%) to 6/22/2170 |
|
EUR
|
280,000
|
$
279,552 |
Cenovus
Energy, Inc., 2.65%, 1/15/2032 |
|
$
|
91,000
|
78,325
|
Eni
S.p.A., 4.25%, 5/09/2029 (n) |
|
|
200,000
|
199,354
|
Galp
Energia SGPS S.A., 2%, 1/15/2026 |
|
EUR
|
200,000
|
210,923
|
MOL
PLC, 1.5%, 10/08/2027 |
|
|
110,000
|
100,020
|
|
|
|
|
$
868,174 |
Engineering
- Construction – 0.0% |
Bouygues
S.A., 2.25%, 6/24/2029 |
|
EUR
|
100,000
|
$
106,405 |
Entertainment
– 1.8% |
Carnival
Corp. PLC, 7.625%, 3/01/2026 (n) |
|
$
|
1,370,000
|
$
1,284,649 |
Carnival
Corp. PLC, 5.75%, 3/01/2027 (n) |
|
|
520,000
|
461,331
|
Carnival
Corp. PLC, 6%, 5/01/2029 (n) |
|
|
160,000
|
135,200
|
Life
Time, Inc., 5.75%, 1/15/2026 (n) |
|
|
550,000
|
528,858
|
Live
Nation Entertainment, Inc., 5.625%, 3/15/2026 (n) |
|
|
483,000
|
478,170
|
Motion
Bondco DAC, 6.625%, 11/15/2027 (n) |
|
|
630,000
|
567,000
|
NCL
Corp. Ltd., 3.625%, 12/15/2024 (n) |
|
|
380,000
|
340,926
|
NCL
Corp. Ltd., 5.875%, 3/15/2026 (n) |
|
|
400,000
|
360,400
|
Royal
Caribbean Cruises Ltd., 5.375%, 7/15/2027 (n) |
|
|
340,000
|
288,736
|
Royal
Caribbean Cruises Ltd., 5.5%, 4/01/2028 (n) |
|
|
800,000
|
675,128
|
SeaWorld
Parks & Entertainment, 5.25%, 8/15/2029 (n) |
|
|
670,000
|
599,650
|
|
|
|
|
$
5,720,048 |
Financial
Institutions – 2.2% |
Adler
Group S.A., 2.25%, 1/14/2029 |
|
EUR
|
300,000
|
$
162,643 |
AerCap
Ireland Capital DAC/AerCap Global Aviation Trust, 3.3%, 1/30/2032 |
|
$
|
150,000
|
126,570
|
AerCap
Ireland Capital DAC/AerCap Global Aviation Trust, 3.85%, 10/29/2041 |
|
|
150,000
|
117,155
|
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Financial
Institutions – continued |
Air
Lease Corp., 2.875%, 1/15/2032 |
|
$
|
121,000
|
$
100,256 |
Avation
Capital S.A., 8.25%, (8.25% cash or 9% PIK) 10/31/2026 (n)(p) |
|
|
355,605
|
284,599
|
Avolon
Holdings Funding Ltd., 3.95%, 7/01/2024 (n) |
|
|
77,000
|
75,271
|
Avolon
Holdings Funding Ltd., 4.375%, 5/01/2026 (n) |
|
|
134,000
|
128,971
|
Credit
Acceptance Corp., 5.125%, 12/31/2024 (n) |
|
|
610,000
|
600,850
|
Crédit
Logement S.A., 1.081%, 2/15/2034 |
|
EUR
|
100,000
|
91,554
|
CTP
N.V., 1.5%, 9/27/2031 |
|
|
100,000
|
74,049
|
EXOR
N.V., 2.25%, 4/29/2030 |
|
|
100,000
|
102,794
|
Global
Aircraft Leasing Co. Ltd., 6.5% (6.5% cash or 7.25% PIK), 9/15/2024 (n)(p) |
|
$
|
2,008,613
|
1,621,955
|
Grand
City Properties S.A., 1.5% to 6/9/2026, FLR (EUR Swap Rate - 5yr. + 2.184%) to 6/9/2031, FLR (EUR Swap Rate - 5yr. + 2.434%) to 6/9/2046, FLR (EUR Swap Rate - 5yr. + 3.184%) to 12/09/2069 |
|
EUR
|
100,000
|
87,741
|
Howard
Hughes Corp., 4.125%, 2/01/2029 (n) |
|
$
|
839,000
|
770,051
|
Logicor
Financing S.à r.l., 1.625%, 1/17/2030 |
|
EUR
|
110,000
|
98,563
|
Logicor
Financing S.à r.l., 0.875%, 1/14/2031 |
|
|
100,000
|
80,519
|
Nationstar
Mortgage Holdings, Inc., 6%, 1/15/2027 (n) |
|
$
|
705,000
|
683,779
|
OneMain
Finance Corp., 6.875%, 3/15/2025 |
|
|
480,000
|
487,834
|
OneMain
Finance Corp., 7.125%, 3/15/2026 |
|
|
215,000
|
220,160
|
P3
Group S.à r.l., 0.875%, 1/26/2026 |
|
EUR
|
130,000
|
123,368
|
Rocket
Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029 (n) |
|
$
|
720,000
|
623,259
|
SBB
Treasury Oyj, 1.125%, 11/26/2029 |
|
EUR
|
100,000
|
73,446
|
VGP
N.V., 1.5%, 4/08/2029 |
|
|
100,000
|
76,768
|
Vonovia
SE, 2.375%, 3/25/2032 |
|
|
100,000
|
98,384
|
Vonovia
SE, 1.625%, 9/01/2051 |
|
|
100,000
|
65,254
|
|
|
|
|
$
6,975,793 |
Food
& Beverages – 2.9% |
Anheuser-Busch
InBev Worldwide, Inc., 4.375%, 4/15/2038 |
|
$
|
189,000
|
$
181,193 |
Anheuser-Busch
InBev Worldwide, Inc., 5.55%, 1/23/2049 |
|
|
60,000
|
65,024
|
Aramark
Services, Inc., 6.375%, 5/01/2025 (n) |
|
|
930,000
|
953,134
|
Bacardi
Ltd., 5.15%, 5/15/2038 (n) |
|
|
153,000
|
150,581
|
BellRing
Brands, Inc., 7%, 3/15/2030 (n) |
|
|
770,000
|
767,852
|
Central
America Bottling Co., 5.25%, 4/27/2029 (n) |
|
|
755,000
|
720,804
|
Constellation
Brands, Inc., 4.75%, 12/01/2025 |
|
|
44,000
|
45,543
|
Constellation
Brands, Inc., 3.15%, 8/01/2029 |
|
|
149,000
|
136,693
|
Constellation
Brands, Inc., 2.25%, 8/01/2031 |
|
|
104,000
|
86,597
|
Diageo
Capital PLC, 1.875%, 6/08/2034 |
|
EUR
|
100,000
|
99,208
|
JBS
Finance Luxembourg S.à r.l., 3.625%, 1/15/2032 (n) |
|
$
|
781,000
|
661,577
|
JBS
USA Lux S.A./JBS USA Finance, Inc., 6.75%, 2/15/2028 (n) |
|
|
595,000
|
614,154
|
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Food
& Beverages – continued |
Kraft
Heinz Foods Co., 3.875%, 5/15/2027 |
|
$
|
137,000
|
$
135,415 |
Lamb
Weston Holdings, Inc., 4.125%, 1/31/2030 (n) |
|
|
1,170,000
|
1,083,712
|
Performance
Food Group Co., 5.5%, 10/15/2027 (n) |
|
|
820,000
|
806,503
|
Post
Holdings, Inc., 5.625%, 1/15/2028 (n) |
|
|
588,000
|
582,864
|
Post
Holdings, Inc., 4.625%, 4/15/2030 (n) |
|
|
955,000
|
856,664
|
Primo
Water Holding, Inc., 4.375%, 4/30/2029 (n) |
|
|
887,000
|
776,329
|
U.S.
Foods Holding Corp., 4.75%, 2/15/2029 (n) |
|
|
800,000
|
750,940
|
|
|
|
|
$
9,474,787 |
Gaming
& Lodging – 3.9% |
Boyd
Gaming Corp., 4.75%, 12/01/2027 |
|
$
|
375,000
|
$
364,688 |
Boyd
Gaming Corp., 4.75%, 6/15/2031 (n) |
|
|
270,000
|
247,050
|
Caesars
Entertainment, Inc., 4.625%, 10/15/2029 (n) |
|
|
435,000
|
371,142
|
Caesars
Resort Collection LLC/CRC Finco, Inc., 5.75%, 7/01/2025 (n) |
|
|
434,000
|
435,693
|
Caesars
Resort Collection LLC/CRC Finco, Inc., 8.125%, 7/01/2027 (n) |
|
|
574,000
|
583,873
|
CCM
Merger, Inc., 6.375%, 5/01/2026 (n) |
|
|
406,000
|
391,766
|
Hilton
Domestic Operating Co., Inc., 3.75%, 5/01/2029 (n) |
|
|
974,000
|
891,940
|
Hilton
Domestic Operating Co., Inc., 3.625%, 2/15/2032 (n) |
|
|
761,000
|
660,168
|
InterContinental
Hotels Group PLC, 3.375%, 10/08/2028 |
|
GBP
|
100,000
|
121,214
|
International
Game Technology PLC, 4.125%, 4/15/2026 (n) |
|
$
|
1,000,000
|
963,250
|
International
Game Technology PLC, 6.25%, 1/15/2027 (n) |
|
|
225,000
|
231,829
|
Las
Vegas Sands Corp., 3.9%, 8/08/2029 |
|
|
119,000
|
103,691
|
Marriott
International, Inc., 2.85%, 4/15/2031 |
|
|
90,000
|
77,968
|
Marriott
Ownership Resorts, Inc., 4.5%, 6/15/2029 (n) |
|
|
665,000
|
590,819
|
MGM
China Holdings Ltd., 5.375%, 5/15/2024 (n) |
|
|
220,000
|
204,600
|
MGM
China Holdings Ltd., 5.875%, 5/15/2026 (n) |
|
|
345,000
|
300,795
|
MGM
China Holdings Ltd., 4.75%, 2/01/2027 (n) |
|
|
234,000
|
188,046
|
Scientific
Games Holdings LP/Scientific Games US Finco, Inc., 6.625%, 3/01/2030 (n) |
|
|
376,000
|
348,793
|
VICI
Properties LP / VICI Note Co., Inc., 4.625%, 6/15/2025 (n) |
|
|
645,000
|
629,655
|
VICI
Properties LP / VICI Note Co., Inc., 4.25%, 12/01/2026 (n) |
|
|
855,000
|
811,925
|
VICI
Properties LP / VICI Note Co., Inc., 5.75%, 2/01/2027 (n) |
|
|
285,000
|
284,077
|
VICI
Properties LP / VICI Note Co., Inc., 3.875%, 2/15/2029 (n) |
|
|
359,000
|
322,265
|
VICI
Properties LP / VICI Note Co., Inc., 4.125%, 8/15/2030 (n) |
|
|
155,000
|
142,171
|
VICI
Properties LP, REIT, 3.75%, 2/15/2027 (n) |
|
|
515,000
|
478,631
|
VICI
Properties LP, REIT, 4.95%, 2/15/2030 |
|
|
192,000
|
188,728
|
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Gaming
& Lodging – continued |
Wyndham
Hotels & Resorts, Inc., 4.375%, 8/15/2028 (n) |
|
$
|
778,000
|
$
734,136 |
Wynn
Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 5/15/2027 (n) |
|
|
320,000
|
294,426
|
Wynn
Macau Ltd., 4.875%, 10/01/2024 (n) |
|
|
200,000
|
170,578
|
Wynn
Macau Ltd., 5.5%, 1/15/2026 (n) |
|
|
375,000
|
307,886
|
Wynn
Macau Ltd., 5.625%, 8/26/2028 (n) |
|
|
1,083,000
|
808,724
|
Wynn
Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029 (n) |
|
|
365,000
|
323,755
|
|
|
|
|
$
12,574,282 |
Industrial
– 1.2% |
Albion
Financing 1 S.à r.l., 5.25%, 10/15/2026 |
|
EUR
|
250,000
|
$
251,619 |
Albion
Financing 2 S.à r.l., 8.75%, 4/15/2027 (n) |
|
$
|
435,000
|
403,462
|
APi
Escrow Corp., 4.75%, 10/15/2029 (n) |
|
|
855,000
|
752,400
|
Dar
Al-Arkan Sukuk Co. Ltd., 6.875%, 2/26/2027 |
|
|
850,000
|
835,354
|
Dycom
Industries, Inc., 4.5%, 4/15/2029 (n) |
|
|
445,000
|
408,425
|
Peach
Property Finance GmbH, 4.375%, 11/15/2025 |
|
EUR
|
100,000
|
100,941
|
Peach
Property Group, 4.375%, 11/15/2025 (n) |
|
|
225,000
|
227,117
|
Trustees
of the University of Pennsylvania, 2.396%, 10/01/2050 |
|
$
|
35,000
|
26,012
|
Williams
Scotsman International, Inc., 4.625%, 8/15/2028 (n) |
|
|
833,000
|
787,577
|
|
|
|
|
$
3,792,907 |
Insurance
– 0.3% |
AIA
Group Ltd., 0.88% to 9/09/2028, FLR (EUR Swap Rate - 5yr. + 1.1%) to 9/09/2033 |
|
EUR
|
100,000
|
$
91,012 |
Argentum
Netherlands B.V., 5.125%, 6/01/2048 |
|
$
|
200,000
|
198,766
|
Aviva
PLC, 3.875% to 7/03/2024, FLR (EUR Swap Rate - 5yr. + 3.48%) to 7/03/2044 |
|
EUR
|
150,000
|
164,656
|
Aviva
PLC, 4% to 6/03/2035, FLR (GBP Government Yield - 5yr. + 4.7%) to 6/03/2055 |
|
GBP
|
175,000
|
197,521
|
Corebridge
Financial, Inc., 4.35%, 4/05/2042 (n) |
|
$
|
30,000
|
27,238
|
Credit
Agricole Assurances S.A., 2%, 7/17/2030 |
|
EUR
|
100,000
|
92,570
|
La
Mondiale, 4.375% to 10/24/2029, FLR (EUR Swap Rate - 5yr. + 4.411%) to 4/24/2069 |
|
|
100,000
|
100,934
|
|
|
|
|
$
872,697 |
Insurance
- Health – 0.2% |
Centene
Corp., 3%, 10/15/2030 |
|
$
|
695,000
|
$
618,230 |
UnitedHealth
Group, Inc., 3.5%, 8/15/2039 |
|
|
38,000
|
34,394
|
UnitedHealth
Group, Inc., 3.25%, 5/15/2051 |
|
|
108,000
|
90,077
|
|
|
|
|
$
742,701 |
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Insurance
- Property & Casualty – 0.9% |
Alliant
Holdings Intermediate LLC, 6.75%, 10/15/2027 (n) |
|
$
|
1,015,000
|
$
979,678 |
Aon
Corp./Aon Global Holdings PLC, 2.6%, 12/02/2031 |
|
|
25,000
|
21,570
|
AssuredPartners,
Inc., 5.625%, 1/15/2029 (n) |
|
|
500,000
|
435,270
|
Berkshire
Hathaway, Inc., 0.5%, 1/15/2041 |
|
EUR
|
100,000
|
68,325
|
GTCR
(AP) Finance, Inc., 8%, 5/15/2027 (n) |
|
$
|
220,000
|
219,646
|
Hub
International Ltd., 5.625%, 12/01/2029 (n) |
|
|
566,000
|
527,795
|
QBE
Insurance Group Ltd., 2.5% to 9/13/2028, FLR (GBP Government Yield - 5yr. + 2.061%) to 9/13/2038 |
|
GBP
|
100,000
|
109,261
|
Ryan
Specialty Group, 4.375%, 2/01/2030 (n) |
|
$
|
531,000
|
477,945
|
|
|
|
|
$
2,839,490 |
International
Market Quasi-Sovereign – 0.4% |
Deutsche
Bahn Finance GmbH (Federal Republic of Germany), 0.625%, 12/08/2050 |
|
EUR
|
75,000
|
$
47,997 |
Electricite
de France S.A., 2.875% to 3/15/2027, FLR (EUR Swap Rate - 5yr. + 3.373%) to 3/15/2031, FLR (EUR Swap Rate - 5yr. + 3.623%) to 3/15/2047, FLR (EUR Swap Rate - 5yr. + 4.373%) to 3/15/2070 |
|
|
200,000
|
185,993
|
Electricite
de France S.A., 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 12/31/2165 |
|
GBP
|
100,000
|
116,002
|
ESB
Finance DAC, 1%, 7/19/2034 |
|
EUR
|
100,000
|
90,845
|
Islandsbanki,
0.75%, 3/25/2025 |
|
|
100,000
|
102,126
|
KFW
German Government Development Bank, 1.125%, 3/31/2037 |
|
|
580,000
|
558,449
|
Landsbankinn
Bank (Republic of Iceland), 0.375%, 5/23/2025 |
|
|
100,000
|
100,731
|
RTE
Reseau de Transport d'Electricite, 0.75%, 1/12/2034 |
|
|
100,000
|
89,236
|
|
|
|
|
$
1,291,379 |
International
Market Sovereign – 10.9% |
Commonwealth
of Australia, 3.25%, 6/21/2039 |
|
AUD
|
9,822,000
|
$
6,707,045 |
Commonwealth
of Australia, 1.75%, 6/21/2051 |
|
|
1,416,000
|
666,979
|
Government
of Bermuda, 2.375%, 8/20/2030 (n) |
|
$
|
200,000
|
175,287
|
Government
of Canada, 4%, 6/01/2041 |
|
CAD
|
647,000
|
587,111
|
Government
of Japan, 1.7%, 6/20/2032 |
|
JPY
|
191,950,000
|
1,702,970
|
Government
of Japan, 0.4%, 3/20/2036 |
|
|
218,100,000
|
1,678,236
|
Government
of Japan, 2.3%, 3/20/2040 |
|
|
230,700,000
|
2,277,843
|
Government
of New Zealand, 1.5%, 5/15/2031 |
|
NZD
|
14,059,000
|
7,715,812
|
Government
of New Zealand , 0.25%, 5/15/2028 |
|
|
6,661,000
|
3,587,872
|
Kingdom
of Belgium, 0%, 10/22/2031 (n) |
|
EUR
|
1,375,000
|
1,268,859
|
Republic
of Cyprus, 0%, 2/09/2026 |
|
|
384,000
|
385,942
|
Republic
of Cyprus, 0.625%, 1/21/2030 |
|
|
541,000
|
502,956
|
Republic
of Cyprus, 0.95%, 1/20/2032 |
|
|
653,000
|
594,191
|
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
International
Market Sovereign – continued |
Republic
of Iceland, 5%, 11/15/2028 |
|
ISK
|
119,300,000
|
$
914,400 |
Republic
of Iceland, 6.5%, 1/24/2031 |
|
|
54,000,000
|
456,872
|
Republic
of Italy, 1.65%, 3/01/2032 |
|
EUR
|
3,597,000
|
3,412,622
|
United
Kingdom Treasury, 1.25%, 7/22/2027 |
|
GBP
|
1,232,000
|
1,518,910
|
United
Kingdom Treasury, 1.75%, 9/07/2037 |
|
|
925,000
|
1,069,513
|
United
Kingdom Treasury, 1.75%, 1/22/2049 |
|
|
89,000
|
97,549
|
|
|
|
|
$
35,320,969 |
Local
Authorities – 0.2% |
Oslo
kommune, 2.17%, 5/18/2029 |
|
NOK
|
3,000,000
|
$
296,631 |
Province
of Alberta, 4.5%, 12/01/2040 |
|
CAD
|
125,000
|
106,902
|
Province
of British Columbia, 2.95%, 6/18/2050 |
|
|
115,000
|
77,568
|
Province
of Ontario, 1.9%, 12/02/2051 |
|
|
537,000
|
280,704
|
|
|
|
|
$
761,805 |
Machinery
& Tools – 0.3% |
Sarens
Finance Co. N.V., 5.75%, 2/21/2027 |
|
EUR
|
210,000
|
$
179,191 |
Terex
Corp., 5%, 5/15/2029 (n) |
|
$
|
855,000
|
795,834
|
|
|
|
|
$
975,025 |
Major
Banks – 1.3% |
Australia
and New Zealand Banking Group Ltd., 2.57% to 11/25/2030, FLR (CMT - 5yr. + 1.7%) to 11/25/2035 (n) |
|
$
|
152,000
|
$
124,637 |
Bank
of America Corp., 3.5%, 4/19/2026 |
|
|
301,000
|
298,743
|
Bank
of America Corp., 0.694% to 3/22/2030, FLR (EURIBOR - 3mo. + 0.79%) to 3/22/2031 |
|
EUR
|
110,000
|
101,340
|
Bank
of America Corp., 2.687% to 4/22/2031, FLR (SOFR - 1 day + 1.32%) to 4/22/2032 |
|
$
|
259,000
|
225,719
|
BNP
Paribas S.A., 2.1%, 4/07/2032 |
|
EUR
|
100,000
|
98,692
|
Commonwealth
Bank of Australia, 2.688%, 3/11/2031 (n) |
|
$
|
221,000
|
185,155
|
Goldman
Sachs Group, Inc., 2.383% to 7/21/2031, FLR (SOFR - 1 day + 1.248%) to 7/21/2032 |
|
|
80,000
|
67,208
|
Goldman
Sachs Group, Inc., 3.436% to 2/24/2042, FLR (SOFR - 1 day + 1.632%) to 2/24/2043 |
|
|
111,000
|
93,518
|
HSBC
Holdings PLC, 4.375%, 11/23/2026 |
|
|
269,000
|
269,534
|
JPMorgan
Chase & Co., 0.563%, 2/16/2025 |
|
|
56,000
|
53,361
|
JPMorgan
Chase & Co., 1.47%, 9/22/2027 |
|
|
455,000
|
409,814
|
JPMorgan
Chase & Co., 1.963% to 3/23/2029, FLR (EURIBOR - 3mo. + 1.13%) to 3/23/2030 |
|
EUR
|
100,000
|
103,067
|
JPMorgan
Chase & Co., 1.953% to 2/04/2031, FLR (SOFR - 1 day + 1.065%) to 2/04/2032 |
|
$
|
94,000
|
77,968
|
Mitsubishi
UFJ Financial Group, Inc., 2.494% to 10/13/2031, FLR (CMT - 1yr. + 0.97%) to 10/13/2032 |
|
|
200,000
|
169,071
|
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Major
Banks – continued |
Morgan
Stanley, 1.593% to 5/04/2026, FLR (SOFR - 1 day + 0.879%) to 5/04/2027 |
|
$
|
183,000
|
$
166,541 |
Morgan
Stanley, 3.622% to 4/01/2030, FLR (SOFR - 1 day + 3.12%) to 4/01/2031 |
|
|
214,000
|
203,837
|
Morgan
Stanley, 2.943% to 1/21/2032, FLR (SOFR - 1 day + 1.29%) to 1/21/2033 |
|
|
200,000
|
178,084
|
NatWest
Group PLC, 3.619% to 3/29/2028, FLR (GBP Swap Rate - 5yr. + 2.1%) to 3/29/2029 |
|
GBP
|
100,000
|
123,607
|
Standard
Chartered PLC, 0.8% to 11/17/2028, FLR (EUR Swap Rate - 1yr. + 0.85%) to 11/17/2029 |
|
EUR
|
100,000
|
92,793
|
Toronto
Dominion Bank, 1.952%, 4/08/2030 |
|
|
100,000
|
102,041
|
UBS
Group AG, 2.746% to 2/11/2032, FLR (CMT - 1yr. + 1.1%) to 2/11/2033 (n) |
|
$
|
218,000
|
185,503
|
Unicaja
Banco S.A., 1% to 12/01/2025, FLR (EUR ICE Swap Rate - 1yr. + 1.15%) to 12/01/2026 |
|
EUR
|
100,000
|
99,023
|
UniCredit
S.p.A., 0.925% to 1/28/2027, FLR (EURIBOR - 3mo. + 0.85%) to 1/18/2028 |
|
|
180,000
|
174,995
|
Wells
Fargo & Co., 3.526% to 3/24/2027, FLR (SOFR - 1 day + 1.51%) to 3/24/2028 |
|
$
|
293,000
|
284,853
|
Wells
Fargo & Co., 2.572% to 2/11/2030, FLR (LIBOR - 3mo. +1%) to 2/11/2031 |
|
|
219,000
|
194,582
|
Wells
Fargo & Co., 2.125%, 9/24/2031 |
|
GBP
|
120,000
|
130,422
|
Wells
Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033 |
|
$
|
139,000
|
128,229
|
|
|
|
|
$
4,342,337 |
Medical
& Health Technology & Services – 4.1% |
180
Medical, Inc., 3.875%, 10/15/2029 (n) |
|
$
|
765,000
|
$
696,107 |
Alcon
Finance B.V., 2.375%, 5/31/2028 |
|
EUR
|
100,000
|
106,793
|
Avantor
Funding, Inc., 4.625%, 7/15/2028 (n) |
|
$
|
886,000
|
862,548
|
Becton
Dickinson Euro Finance S.à r.l., 1.336%, 8/13/2041 |
|
EUR
|
100,000
|
74,228
|
Catalent,
Inc., 3.125%, 2/15/2029 (n) |
|
$
|
1,297,000
|
1,163,675
|
Charles
River Laboratories International, Inc., 3.75%, 3/15/2029 (n) |
|
|
1,984,000
|
1,838,326
|
CHS/Community
Health Systems, Inc., 8%, 12/15/2027 (n) |
|
|
380,000
|
379,955
|
CHS/Community
Health Systems, Inc., 6.125%, 4/01/2030 (n) |
|
|
945,000
|
688,244
|
CHS/Community
Health Systems, Inc., 5.25%, 5/15/2030 (n) |
|
|
255,000
|
219,662
|
DaVita,
Inc., 4.625%, 6/01/2030 (n) |
|
|
435,000
|
377,906
|
Encompass
Health Corp., 5.75%, 9/15/2025 |
|
|
410,000
|
414,146
|
Encompass
Health Corp., 4.75%, 2/01/2030 |
|
|
540,000
|
494,100
|
HCA,
Inc., 5.125%, 6/15/2039 |
|
|
103,000
|
100,057
|
IQVIA
Holdings, Inc., 5%, 10/15/2026 (n) |
|
|
710,000
|
707,950
|
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Medical
& Health Technology & Services – continued |
IQVIA
Holdings, Inc., 5%, 5/15/2027 (n) |
|
$
|
1,010,000
|
$
1,010,707 |
Legacy
LifePoint Health LLC, 4.375%, 2/15/2027 (n) |
|
|
210,000
|
195,686
|
New
York Society for the Relief of the Ruptured & Crippled, 2.667%, 10/01/2050 |
|
|
179,000
|
124,241
|
ProMedica
Toledo Hospital, “B”, AGM, 6.015%, 11/15/2048 |
|
|
142,000
|
165,183
|
Regional
Care/LifePoint Health, Inc., 9.75%, 12/01/2026 (n) |
|
|
455,000
|
462,394
|
Syneos
Health, Inc., 3.625%, 1/15/2029 (n) |
|
|
881,000
|
775,104
|
Tenet
Healthcare Corp., 4.875%, 1/01/2026 (n) |
|
|
270,000
|
269,395
|
Tenet
Healthcare Corp., 6.125%, 10/01/2028 (n) |
|
|
983,000
|
959,600
|
Thermo
Fisher Scientific (Finance I) Co., 1.125%, 10/18/2033 |
|
EUR
|
100,000
|
91,095
|
Thermo
Fisher Scientific (Finance I) Co., 2%, 10/18/2051 |
|
|
100,000
|
81,800
|
Thermo
Fisher Scientific, Inc., 1.75%, 10/15/2028 |
|
$
|
137,000
|
121,459
|
U.S.
Acute Care Solutions LLC, 6.375%, 3/01/2026 (n) |
|
|
505,000
|
479,149
|
U.S.
Renal Care, Inc., 10.625%, 7/15/2027 (n) |
|
|
480,000
|
350,938
|
|
|
|
|
$
13,210,448 |
Medical
Equipment – 0.3% |
American
Medical Systems Europe B.V., 1.875%, 3/08/2034 |
|
EUR
|
100,000
|
$
95,175 |
Teleflex,
Inc., 4.625%, 11/15/2027 |
|
$
|
905,000
|
894,501
|
|
|
|
|
$
989,676 |
Metals
& Mining – 2.8% |
Anglo
American Capital PLC, 5.625%, 4/01/2030 (n) |
|
$
|
209,000
|
$
218,493 |
Baffinland
Iron Mines Corp./Baffinland Iron Mines LP, 8.75%, 7/15/2026 (n) |
|
|
760,000
|
683,035
|
Coeur
Mining, Inc., 5.125%, 2/15/2029 (n) |
|
|
1,015,000
|
822,150
|
Compass
Minerals International, Inc., 6.75%, 12/01/2027 (n) |
|
|
645,000
|
609,557
|
Eldorado
Gold Corp., 6.25%, 9/01/2029 (n) |
|
|
445,000
|
398,540
|
Ero
Copper Corp., 6.5%, 2/15/2030 (n) |
|
|
293,000
|
253,591
|
First
Quantum Minerals Ltd., 6.875%, 10/15/2027 (n) |
|
|
759,000
|
757,410
|
First
Quantum Minerals Ltd., 6.875%, 10/15/2027 |
|
|
350,000
|
349,267
|
FMG
Resources Ltd., 4.375%, 4/01/2031 (n) |
|
|
945,000
|
842,231
|
Glencore
Funding LLC, 2.85%, 4/27/2031 (n) |
|
|
144,000
|
123,703
|
GrafTech
Finance, Inc., 4.625%, 12/15/2028 (n) |
|
|
578,000
|
529,026
|
Kaiser
Aluminum Corp., 4.625%, 3/01/2028 (n) |
|
|
1,608,000
|
1,478,440
|
Kaiser
Aluminum Corp., 4.5%, 6/01/2031 (n) |
|
|
415,000
|
362,374
|
Novelis
Corp., 3.25%, 11/15/2026 (n) |
|
|
375,000
|
343,999
|
Novelis
Corp., 4.75%, 1/30/2030 (n) |
|
|
735,000
|
697,331
|
Novelis
Corp., 3.875%, 8/15/2031 (n) |
|
|
330,000
|
287,925
|
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Metals
& Mining – continued |
Petra
Diamonds US$ Treasury PLC, 10.5% PIK to 12/31/2022, 10.5% PIK/9.75% Cash to 6/30/2023, 9.75% Cash to 3/08/2026 (n) |
|
$
|
297,721
|
$
308,142 |
|
|
|
|
$
9,065,214 |
Midstream
– 3.3% |
AI
Candelaria Spain SLU, 7.5%, 12/15/2028 (n) |
|
$
|
360,000
|
$
350,100 |
Cheniere
Energy Partners LP, 4.5%, 10/01/2029 |
|
|
445,000
|
434,124
|
Cheniere
Energy Partners LP, 4%, 3/01/2031 |
|
|
930,000
|
859,087
|
DT
Midstream, Inc., 4.125%, 6/15/2029 (n) |
|
|
869,000
|
813,710
|
DT
Midstream, Inc., 4.375%, 6/15/2031 (n) |
|
|
899,000
|
836,070
|
EQM
Midstream Partners LP, 6%, 7/01/2025 (n) |
|
|
167,000
|
168,670
|
EQM
Midstream Partners LP, 6.5%, 7/01/2027 (n) |
|
|
111,000
|
111,000
|
EQM
Midstream Partners LP, 5.5%, 7/15/2028 |
|
|
1,405,000
|
1,334,792
|
EQM
Midstream Partners LP, 4.5%, 1/15/2029 (n) |
|
|
510,000
|
452,263
|
Genesis
Energy LP/Genesis Energy Finance Corp., 6.25%, 5/15/2026 |
|
|
171,700
|
159,252
|
Peru
LNG, 5.375%, 3/22/2030 |
|
|
518,000
|
454,545
|
Plains
All American Pipeline LP/PAA Finance Corp., 3.55%, 12/15/2029 |
|
|
227,000
|
209,987
|
Sabine
Pass Liquefaction LLC, 4.5%, 5/15/2030 |
|
|
193,000
|
192,343
|
Tallgrass
Energy Partners LP, 5.5%, 1/15/2028 (n) |
|
|
960,000
|
890,822
|
Targa
Resources Corp., 4.2%, 2/01/2033 |
|
|
13,000
|
12,310
|
Targa
Resources Corp., 4.95%, 4/15/2052 |
|
|
79,000
|
72,335
|
Targa
Resources Partners LP/Targa Resources Finance Corp., 6.875%, 1/15/2029 |
|
|
880,000
|
925,179
|
Targa
Resources Partners LP/Targa Resources Finance Corp., 4.875%, 2/01/2031 |
|
|
721,000
|
691,209
|
Venture
Global Calcasieu Pass LLC, 3.875%, 8/15/2029 (n) |
|
|
830,000
|
785,246
|
Venture
Global Calcasieu Pass LLC, 4.125%, 8/15/2031 (n) |
|
|
555,000
|
520,313
|
Western
Midstream Operating LP, 4.55%, 2/01/2030 |
|
|
287,000
|
274,335
|
Western
Midstream Operation LP, 4.65%, 7/01/2026 |
|
|
215,000
|
214,463
|
|
|
|
|
$
10,762,155 |
Mortgage-Backed
– 2.1% |
|
Fannie
Mae, 6.5%, 4/01/2032 - 1/01/2033 |
|
$
|
16,258
|
$
17,587 |
Fannie
Mae, 5.5%, 7/01/2033 - 7/01/2035 |
|
|
65,335
|
69,733
|
Fannie
Mae, 6%, 8/01/2034 - 2/01/2037 |
|
|
38,763
|
42,476
|
Fannie
Mae, 3.5%, 12/01/2047 |
|
|
45,528
|
45,665
|
Fannie
Mae, UMBS, 2%, 4/01/2042 - 12/01/2051 |
|
|
271,989
|
245,447
|
Fannie
Mae, UMBS, 3.5%, 5/01/2049 |
|
|
55,644
|
55,503
|
Fannie
Mae, UMBS, 2.5%, 7/01/2050 - 4/01/2052 |
|
|
173,456
|
160,452
|
Fannie
Mae, UMBS, 3%, 12/01/2051 |
|
|
24,062
|
23,034
|
Freddie
Mac, 0.139%, 2/25/2025 (i) |
|
|
38,000,000
|
169,978
|
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Mortgage-Backed
– continued |
|
Freddie
Mac, 1.367%, 3/25/2027 (i) |
|
$
|
448,000
|
$
26,053 |
Freddie
Mac, 0.126%, 2/25/2028 (i) |
|
|
36,576,000
|
314,784
|
Freddie
Mac, 0.291%, 2/25/2028 (i) |
|
|
15,572,000
|
266,395
|
Freddie
Mac, 0.106%, 4/25/2028 (i) |
|
|
15,983,000
|
129,544
|
Freddie
Mac, 1.09%, 7/25/2029 (i) |
|
|
1,886,607
|
122,784
|
Freddie
Mac, 1.798%, 4/25/2030 (i) |
|
|
845,640
|
100,962
|
Freddie
Mac, 1.868%, 4/25/2030 (i) |
|
|
731,897
|
89,917
|
Freddie
Mac, 1.663%, 5/25/2030 (i) |
|
|
896,340
|
100,277
|
Freddie
Mac, 1.797%, 5/25/2030 (i) |
|
|
2,034,877
|
245,221
|
Freddie
Mac, 1.342%, 6/25/2030 (i) |
|
|
821,458
|
74,321
|
Freddie
Mac, 1.6%, 8/25/2030 (i) |
|
|
719,995
|
79,200
|
Freddie
Mac, 1.17%, 9/25/2030 (i) |
|
|
455,646
|
37,352
|
Freddie
Mac, 1.081%, 11/25/2030 (i) |
|
|
901,677
|
69,493
|
Freddie
Mac, 0.33%, 1/25/2031 (i) |
|
|
3,188,385
|
72,300
|
Freddie
Mac, 0.517%, 3/25/2031 (i) |
|
|
3,741,865
|
135,787
|
Freddie
Mac, 0.938%, 7/25/2031 (i) |
|
|
670,491
|
47,828
|
Freddie
Mac, 0.536%, 9/25/2031 (i) |
|
|
2,699,427
|
108,547
|
Freddie
Mac, 0.567%, 12/25/2031 (i) |
|
|
659,754
|
29,300
|
Freddie
Mac, 3%, 8/25/2032 (i) |
|
|
197,632
|
188,656
|
Freddie
Mac, 6%, 8/01/2034 |
|
|
24,861
|
26,835
|
Freddie
Mac, UMBS, 2%, 3/01/2052 |
|
|
49,792
|
44,224
|
Ginnie
Mae, 2.5%, 8/20/2051 |
|
|
139,470
|
131,078
|
Ginnie
Mae, TBA, 3%, 6/15/2052 |
|
|
300,000
|
289,383
|
Ginnie
Mae, TBA, 3.5%, 6/15/2052 |
|
|
300,000
|
297,187
|
Ginnie
Mae, TBA, 4%, 6/15/2052 - 8/15/2052 |
|
|
125,000
|
125,654
|
UMBS,
TBA, 2%, 6/16/2037 - 6/13/2052 |
|
|
400,000
|
376,490
|
UMBS,
TBA, 2.5%, 6/16/2037 - 7/14/2052 |
|
|
775,000
|
724,706
|
UMBS,
TBA, 3%, 6/13/2052 |
|
|
900,000
|
857,004
|
UMBS,
TBA, 3.5%, 6/13/2052 |
|
|
700,000
|
685,781
|
UMBS,
TBA, 4%, 6/13/2052 |
|
|
200,000
|
199,875
|
|
|
|
|
$
6,826,813 |
Municipals
– 0.5% |
Massachusetts
Educational Financing Authority, Education Loan Subordinate Rev., Taxable, “A”, 2.641%, 7/01/2037 |
|
$
|
150,000
|
$
130,895 |
Michigan
Finance Authority Hospital Rev., Taxable (Trinity Health Credit Group), 3.384%, 12/01/2040 |
|
|
215,000
|
185,109
|
New
Jersey Economic Development Authority State Pension Funding Rev., Taxable, “A”, NPFG, 7.425%, 2/15/2029 |
|
|
499,000
|
566,348
|
Oklahoma
Development Finance Authority, Health System Rev., Taxable (OU Medicine Project), “C”, 5.45%, 8/15/2028 |
|
|
346,000
|
351,891
|
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Municipals
– continued |
Oklahoma
Development Finance Authority, Health System Rev., Taxable (OU Medicine Project), “C”, AGM, 4.65%, 8/15/2030 |
|
$
|
221,000
|
$
224,347 |
Puerto
Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority Rev., Taxable (Cogeneration Facilities - AES Puerto Rico Project), 9.12%, 6/01/2022 |
|
|
85,000
|
85,000
|
|
|
|
|
$
1,543,590 |
Natural
Gas - Distribution – 0.1% |
Boston
Gas Co., 3.15%, 8/01/2027 (n) |
|
$
|
198,000
|
$
187,446 |
National
Grid PLC, 1.125%, 1/14/2033 |
|
GBP
|
100,000
|
94,330
|
NiSource,
Inc., 3.6%, 5/01/2030 |
|
$
|
92,000
|
86,183
|
|
|
|
|
$
367,959 |
Natural
Gas - Pipeline – 0.1% |
APT
Pipelines Ltd., 0.75%, 3/15/2029 |
|
EUR
|
110,000
|
$
100,245 |
APT
Pipelines Ltd., 2.5%, 3/15/2036 |
|
GBP
|
100,000
|
99,373
|
|
|
|
|
$
199,618 |
Network
& Telecom – 0.4% |
AT&T,
Inc., 3.5%, 9/15/2053 |
|
$
|
184,000
|
$
148,344 |
Iliad
Holding S.A.S., 7%, 10/15/2028 (n) |
|
|
812,000
|
782,630
|
Orange
S.A., 2.375%, 5/18/2032 |
|
EUR
|
100,000
|
106,473
|
Verizon
Communications, Inc., 2.1%, 3/22/2028 |
|
$
|
86,000
|
78,222
|
Verizon
Communications, Inc., 2.355%, 3/15/2032 |
|
|
135,000
|
116,270
|
Verizon
Communications, Inc., 3.875%, 3/01/2052 |
|
|
149,000
|
133,519
|
|
|
|
|
$
1,365,458 |
Oil
Services – 0.3% |
Guara
Norte S.à r.l., 5.198%, 6/15/2034 (n) |
|
$
|
191,908
|
$
163,506 |
MV24
Capital B.V., 6.748%, 6/01/2034 |
|
|
510,235
|
466,808
|
Solaris
Midstream Holding LLC, 7.625%, 4/01/2026 (n) |
|
|
355,000
|
355,000
|
|
|
|
|
$
985,314 |
Oils
– 0.8% |
Neste
Oyj, 0.75%, 3/25/2028 |
|
EUR
|
200,000
|
$
193,877 |
Parkland
Corp., 4.625%, 5/01/2030 (n) |
|
$
|
1,350,000
|
1,217,444
|
PBF
Holding Co. LLC/PBF Finance Corp., 7.25%, 6/15/2025 |
|
|
415,000
|
402,550
|
PBF
Holding Co. LLC/PBF Finance Corp., 6%, 2/15/2028 |
|
|
335,000
|
297,004
|
Thaioil
Treasury Center Co. Ltd., 5.375%, 11/20/2048 (n) |
|
|
355,000
|
315,055
|
|
|
|
|
$
2,425,930 |
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Other
Banks & Diversified Financials – 1.1% |
AIB
Group PLC, 2.25%, 4/04/2028 |
|
EUR
|
100,000
|
$
103,470 |
Bangkok
Bank Public Co. Ltd., 3.733% to 9/25/2029, FLR (CMT - 5yr. + 1.9%) to 9/25/2034 |
|
$
|
750,000
|
672,802
|
Bank
Hapoalim B.M., 3.255% to 1/21/2027, FLR (CMT - 5yr. + 2.155%) to 1/21/2032 (n) |
|
|
200,000
|
175,750
|
Banque
Federative du Credit Mutuel S.A., 1.125%, 11/19/2031 |
|
EUR
|
100,000
|
85,158
|
Belfius
Bank S.A., 1.25% to 4/06/2029, FLR (EUR Swap Rate - 5yr. + 1.3%) to 4/06/2034 |
|
|
100,000
|
89,836
|
BPCE
S.A., 0.75%, 3/03/2031 |
|
|
100,000
|
89,414
|
Commercial
Bank P.S.Q.C., 4.5% to 9/03/2026, FLR (CMT - 5yr. + 3.874%) to 9/03/2169 |
|
$
|
272,000
|
253,640
|
Deutsche
Bank AG, 1.875% to 2/23/2027, FLR (EURIBOR - 3mo. + 1.38%) to 2/23/2028 |
|
EUR
|
100,000
|
100,851
|
Deutsche
Bank AG, 3.25% to 5/24/2027, FLR (EURIBOR - 3mo. + 1.93%) to 5/24/2028 |
|
|
100,000
|
106,878
|
Deutsche
Bank AG, 1.375% to 2/17/2031, FLR (EURIBOR - 3mo. + 1.5%) to 2/17/2032 |
|
|
100,000
|
88,030
|
Groupe
BPCE S.A., 4.5%, 3/15/2025 (n) |
|
$
|
250,000
|
250,134
|
Groupe
des Assurances du Credit Mutuel, 1.85% to 4/21/2032, FLR (EURIBOR - 3mo. + 2.65%) to 4/21/2042 |
|
EUR
|
100,000
|
87,390
|
Intesa
Sanpaolo S.p.A., 2.625%, 3/11/2036 |
|
GBP
|
150,000
|
143,680
|
Macquarie
Group Ltd., 4.08%, 5/31/2029 |
|
|
130,000
|
163,572
|
Shinhan
Bank Co., Ltd., 4.375%, 4/13/2032 (n) |
|
$
|
227,000
|
221,670
|
UBS
AG, 5.125%, 5/15/2024 |
|
|
447,000
|
453,616
|
Uzbek
Industrial and Construction Bank, 5.75%, 12/02/2024 |
|
|
269,000
|
245,463
|
Virgin
Money UK PLC, 5.125% to 12/11/2025, FLR (GBP Government Yield - 5yr. + 5.25%) to 12/11/2030 |
|
GBP
|
100,000
|
126,415
|
|
|
|
|
$
3,457,769 |
Personal
Computers & Peripherals – 0.3% |
NCR
Corp., 5%, 10/01/2028 (n) |
|
$
|
775,000
|
$
730,507 |
NCR
Corp., 5.125%, 4/15/2029 (n) |
|
|
390,000
|
371,937
|
|
|
|
|
$
1,102,444 |
Pharmaceuticals
– 1.1% |
Bausch
Health Companies, Inc., 5%, 1/30/2028 (n) |
|
$
|
1,095,000
|
$
698,823 |
Bausch
Health Companies, Inc., 5%, 2/15/2029 (n) |
|
|
335,000
|
200,188
|
Jazz
Securities DAC, 4.375%, 1/15/2029 (n) |
|
|
1,160,000
|
1,119,400
|
Organon
Finance 1 LLC, 4.125%, 4/30/2028 (n) |
|
|
755,000
|
723,879
|
Organon
Finance 1 LLC, 5.125%, 4/30/2031 (n) |
|
|
675,000
|
648,928
|
|
|
|
|
$
3,391,218 |
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Pollution
Control – 0.6% |
GFL
Environmental, Inc., 4.25%, 6/01/2025 (n) |
|
$
|
215,000
|
$
210,700 |
GFL
Environmental, Inc., 4%, 8/01/2028 (n) |
|
|
945,000
|
850,075
|
GFL
Environmental, Inc., 4.75%, 6/15/2029 (n) |
|
|
215,000
|
195,860
|
GFL
Environmental, Inc., 4.375%, 8/15/2029 (n) |
|
|
280,000
|
249,900
|
Stericycle,
Inc., 3.875%, 1/15/2029 (n) |
|
|
627,000
|
569,253
|
|
|
|
|
$
2,075,788 |
Precious
Metals & Minerals – 0.2% |
IAMGOLD
Corp., 5.75%, 10/15/2028 (n) |
|
$
|
515,000
|
$
361,782 |
Taseko
Mines Ltd., 7%, 2/15/2026 (n) |
|
|
420,000
|
403,385
|
|
|
|
|
$
765,167 |
Printing
& Publishing – 0.2% |
Cimpress
N.V., 7%, 6/15/2026 (n) |
|
$
|
740,000
|
$
629,000 |
Informa
PLC, 3.125%, 7/05/2026 |
|
GBP
|
110,000
|
136,208
|
|
|
|
|
$
765,208 |
Railroad
& Shipping – 0.1% |
Canadian
Pacific Railway Co., 2.45%, 12/02/2031 |
|
$
|
111,000
|
$
97,791 |
Wabtec
Transportation Netherlands B.V., 1.25%, 12/03/2027 |
|
EUR
|
200,000
|
192,599
|
|
|
|
|
$
290,390 |
Real
Estate - Office – 0.1% |
Corporate
Office Property LP, REIT, 2.25%, 3/15/2026 |
|
$
|
149,000
|
$
137,363 |
Corporate
Office Property LP, REIT, 2%, 1/15/2029 |
|
|
52,000
|
43,477
|
Corporate
Office Property LP, REIT, 2.75%, 4/15/2031 |
|
|
109,000
|
91,625
|
|
|
|
|
$
272,465 |
Real
Estate - Other – 0.6% |
EPR
Properties, REIT, 3.6%, 11/15/2031 |
|
$
|
89,000
|
$
74,850 |
Lexington
Realty Trust Co., 2.7%, 9/15/2030 |
|
|
195,000
|
164,943
|
Park
Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, REIT, 5.875%, 10/01/2028 (n) |
|
|
930,000
|
918,096
|
W.P.
Carey, Inc., REIT, 2.4%, 2/01/2031 |
|
|
282,000
|
236,880
|
XHR
LP, REIT, 4.875%, 6/01/2029 (n) |
|
|
640,000
|
600,000
|
|
|
|
|
$
1,994,769 |
Real
Estate - Retail – 0.1% |
Brixmor
Operating Partnership LP, REIT, 4.05%, 7/01/2030 |
|
$
|
3,000
|
$
2,819 |
Hammerson
Ireland Finance DAC, 1.75%, 6/03/2027 |
|
EUR
|
100,000
|
92,969
|
Regency
Centers Corp., 3.7%, 6/15/2030 |
|
$
|
71,000
|
66,644
|
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Real
Estate - Retail – continued |
STORE
Capital Corp., REIT, 2.75%, 11/18/2030 |
|
$
|
313,000
|
$
266,158 |
|
|
|
|
$
428,590 |
Restaurants
– 0.2% |
Fertitta
Entertainment LLC, 6.75%, 1/15/2030 (n) |
|
$
|
490,000
|
$
424,634 |
McDonald's
Corp., 2.375%, 5/31/2029 |
|
EUR
|
100,000
|
106,440
|
|
|
|
|
$
531,074 |
Retailers
– 0.8% |
Asbury
Automotive Group, Inc., 4.625%, 11/15/2029 (n) |
|
$
|
469,000
|
$
432,364 |
Bath
& Body Works, Inc., 5.25%, 2/01/2028 |
|
|
1,525,000
|
1,456,375
|
Nordstrom,
Inc., 4.25%, 8/01/2031 |
|
|
106,000
|
89,359
|
Victoria's
Secret & Co., 4.625%, 7/15/2029 (n) |
|
|
650,000
|
534,625
|
|
|
|
|
$
2,512,723 |
Specialty
Chemicals – 0.3% |
Akzo
Nobel N.V., 2%, 3/28/2032 |
|
EUR
|
100,000
|
$
99,033 |
Ctec
II GmbH, 5.25%, 2/15/2030 (n) |
|
|
200,000
|
177,887
|
Univar
Solutions USA, Inc., 5.125%, 12/01/2027 (n) |
|
$
|
637,000
|
623,362
|
|
|
|
|
$
900,282 |
Specialty
Stores – 0.7% |
DICK'S
Sporting Goods, 3.15%, 1/15/2032 |
|
$
|
124,000
|
$
103,388 |
Group
1 Automotive, Inc., 4%, 8/15/2028 (n) |
|
|
604,000
|
550,093
|
Michael
Cos., Inc., 5.25%, 5/01/2028 (n) |
|
|
370,000
|
304,325
|
Michael
Cos., Inc., 7.875%, 5/01/2029 (n) |
|
|
745,000
|
533,859
|
Penske
Automotive Group Co., 3.75%, 6/15/2029 |
|
|
886,000
|
794,512
|
|
|
|
|
$
2,286,177 |
Supermarkets
– 0.5% |
Albertsons
Cos. LLC/Safeway, Inc., 4.625%, 1/15/2027 (n) |
|
$
|
930,000
|
$
903,435 |
Albertsons
Cos. LLC/Safeway, Inc., 3.5%, 3/15/2029 (n) |
|
|
540,000
|
469,967
|
Auchan
Holding S.A., 3.25%, 7/23/2027 |
|
EUR
|
100,000
|
99,737
|
Iceland
Bondco PLC, 4.625%, 3/15/2025 |
|
GBP
|
190,000
|
200,486
|
|
|
|
|
$
1,673,625 |
Supranational
– 0.4% |
International
Bank for Reconstruction and Development, 4.25%, 6/24/2025 |
|
AUD
|
210,000
|
$
154,640 |
West
African Development Bank, 4.7%, 10/22/2031 (n) |
|
$
|
1,055,000
|
968,828
|
|
|
|
|
$
1,123,468 |
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Telecommunications
- Wireless – 2.4% |
Altice
France S.A., 6%, 2/15/2028 (n) |
|
$
|
955,000
|
$
797,902 |
American
Tower Corp., REIT, 2.75%, 1/15/2027 |
|
|
81,000
|
75,598
|
Cellnex
Finance Co. S.A., 2%, 2/15/2033 |
|
EUR
|
400,000
|
319,188
|
Crown
Castle International Corp., REIT, 3.7%, 6/15/2026 |
|
$
|
220,000
|
217,323
|
Millicom
International Cellular S.A., 5.125%, 1/15/2028 |
|
|
635,400
|
601,406
|
Rogers
Communications, Inc., 3.8%, 3/15/2032 (n) |
|
|
92,000
|
87,261
|
Rogers
Communications, Inc., 3.7%, 11/15/2049 |
|
|
106,000
|
85,348
|
SBA
Communications Corp., 3.875%, 2/15/2027 |
|
|
643,000
|
628,613
|
SBA
Communications Corp., 3.125%, 2/01/2029 |
|
|
1,060,000
|
942,764
|
Sprint
Capital Corp., 6.875%, 11/15/2028 |
|
|
1,250,000
|
1,414,100
|
Sprint
Corp., 7.125%, 6/15/2024 |
|
|
240,000
|
254,998
|
Sprint
Corp., 7.625%, 3/01/2026 |
|
|
1,435,000
|
1,588,201
|
T-Mobile
USA, Inc., 2.625%, 4/15/2026 |
|
|
535,000
|
504,965
|
T-Mobile
USA, Inc., 3.875%, 4/15/2030 |
|
|
181,000
|
174,059
|
|
|
|
|
$
7,691,726 |
Telephone
Services – 0.1% |
TELUS
Corp., 2.85%, 11/13/2031 |
|
CAD
|
225,000
|
$
150,588 |
Tobacco
– 0.2% |
Vector
Group Ltd., 10.5%, 11/01/2026 (n) |
|
$
|
235,000
|
$
234,060 |
Vector
Group Ltd., 5.75%, 2/01/2029 (n) |
|
|
355,000
|
319,500
|
|
|
|
|
$
553,560 |
Transportation
- Services – 0.2% |
ERAC
USA Finance LLC, 7%, 10/15/2037 (n) |
|
$
|
120,000
|
$
145,111 |
Holding
d'Infrastructures de Transport, 1.475%, 1/18/2031 |
|
EUR
|
100,000
|
90,332
|
Q-Park
Holding I B.V., 2%, 3/01/2027 |
|
|
380,000
|
347,208
|
|
|
|
|
$
582,651 |
U.S.
Treasury Obligations – 16.8% |
U.S.
Treasury Bonds, 1.125%, 8/15/2040 (f) |
|
$
|
36,620,000
|
$
25,804,226 |
U.S.
Treasury Bonds, 2.25%, 8/15/2049 |
|
|
115,500
|
96,257
|
U.S.
Treasury Bonds, 2.375%, 11/15/2049 |
|
|
15,487,000
|
13,268,608
|
U.S.
Treasury Notes, 2.375%, 5/15/2029 |
|
|
15,590,000
|
15,096,723
|
|
|
|
|
$
54,265,814 |
Utilities
- Electric Power – 3.5% |
Adani
Green Energy (UP) Ltd./Prayatna Developers Private Ltd., 6.25%, 12/10/2024 (n) |
|
$
|
1,081,000
|
$
1,075,595 |
American
Transmission Systems, Inc., 2.65%, 1/15/2032 (n) |
|
|
146,000
|
127,102
|
Bruce
Power LP, 2.68%, 12/21/2028 |
|
CAD
|
200,000
|
142,445
|
Calpine
Corp., 4.5%, 2/15/2028 (n) |
|
$
|
902,000
|
862,267
|
Calpine
Corp., 5.125%, 3/15/2028 (n) |
|
|
755,000
|
704,604
|
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Bonds
– continued |
Utilities
- Electric Power – continued |
Clearway
Energy Operating LLC, 4.75%, 3/15/2028 (n) |
|
$
|
320,000
|
$
305,600 |
Clearway
Energy Operating LLC, 3.75%, 2/15/2031 (n) |
|
|
1,775,000
|
1,566,437
|
ContourGlobal
Power Holdings S.A., 2.75%, 1/01/2026 (n) |
|
EUR
|
280,000
|
268,551
|
Duke
Energy Corp., 2.55%, 6/15/2031 |
|
$
|
204,000
|
174,663
|
E.CL
S.A., 4.5%, 1/29/2025 |
|
|
300,000
|
299,850
|
Enel
Finance International N.V., 3.5%, 4/06/2028 (n) |
|
|
200,000
|
192,529
|
Enel
Finance International N.V., 2.875%, 4/11/2029 |
|
GBP
|
100,000
|
119,639
|
Enel
S.p.A., 2.25% to 3/10/2027, FLR (EUR Swap Rate - 5yr. + 2.679%) to 3/10/2032, FLR (EUR Swap Rate - 5yr. + 2.929%) to 3/10/2047, FLR (EUR Swap Rate - 5yr. + 3.679%) to 3/10/2070 |
|
EUR
|
200,000
|
196,782
|
Enel
S.p.A., 1.875% to 9/08/2030, FLR (EUR Swap Rate - 5yr. + 2.011%) to 9/08/2035, FLR (EUR Swap Rate - 5yr. + 2.261%) to 9/08/2050, FLR (EUR Swap Rate - 5yr. + 3.011%) to 3/08/2170 |
|
|
150,000
|
125,762
|
Jersey
Central Power & Light Co., 2.75%, 3/01/2032 (n) |
|
$
|
98,000
|
85,477
|
Mong
Duong Finance Holdings B.V., 5.125%, 5/07/2029 (n) |
|
|
280,000
|
243,600
|
Mong
Duong Finance Holdings B.V., 5.125%, 5/07/2029 |
|
|
592,000
|
515,040
|
NextEra
Energy, Inc., 4.25%, 7/15/2024 (n) |
|
|
503,000
|
503,272
|
NextEra
Energy, Inc., 4.25%, 9/15/2024 (n) |
|
|
102,000
|
100,470
|
NextEra
Energy, Inc., 4.5%, 9/15/2027 (n) |
|
|
490,000
|
475,413
|
Southern
California Edison Co., 3.65%, 2/01/2050 |
|
|
104,000
|
83,108
|
Star
Energy Geothermal (Wayang Windu) Ltd., 6.75%, 4/24/2033 (n) |
|
|
743,721
|
736,655
|
TerraForm
Global Operating LLC, 6.125%, 3/01/2026 (n) |
|
|
545,000
|
534,100
|
TerraForm
Power Operating LLC, 5%, 1/31/2028 (n) |
|
|
1,060,000
|
1,016,148
|
TerraForm
Power Operating LLC, 4.75%, 1/15/2030 (n) |
|
|
295,000
|
279,513
|
Virginia
Electric & Power Co., 3.5%, 3/15/2027 |
|
|
375,000
|
372,092
|
WEC
Energy Group, Inc., 1.8%, 10/15/2030 |
|
|
37,000
|
30,302
|
Xcel
Energy, Inc., 4.6%, 6/01/2032 |
|
|
46,000
|
47,194
|
|
|
|
|
$
11,184,210 |
Total
Bonds (Identified Cost, $452,857,649) |
|
$
408,898,874 |
Common
Stocks – 0.7% |
Cable
TV – 0.1% |
|
Intelsat
Emergence S.A. (a) |
|
7,057
|
$
201,124 |
Construction
– 0.0% |
|
ICA
Tenedora, S.A. de C.V. (u) |
|
110,829
|
$
95,734 |
Energy
- Independent – 0.1% |
|
Frontera
Energy Corp. (a) |
|
16,354
|
$
178,913 |
Portfolio of
Investments (unaudited) – continued
Issuer
|
|
|
Shares/Par
|
Value
($) |
Common
Stocks – continued |
Oil
Services – 0.0% |
|
LTRI
Holdings LP (a)(u) |
|
615
|
$
176,868 |
Special
Products & Services – 0.5% |
|
iShares
iBoxx $ High Yield Corporate Bond ETF |
|
20,600
|
$
1,637,700 |
Total
Common Stocks (Identified Cost, $3,829,241) |
|
$
2,290,339 |
Contingent
Value Rights – 0.0% |
Cable
TV – 0.0% |
Intelsat
Jackson Holdings S.A. - Series A, 12/05/2025 (a) |
|
|
738
|
$
3,321 |
Intelsat
Jackson Holdings S.A. - Series B, 12/05/2025 (a) |
|
|
738
|
3,137
|
Total
Contingent Value Rights (Identified Cost, $0) |
|
$
6,458 |
|
Strike
Price |
First
Exercise |
|
|
Warrants
– 0.0% |
|
|
|
|
Other
Banks & Diversified Financials – 0.0% |
Avation
Capital S.A. (1 share for 1 warrant, Expiration 10/31/26) (a)(u) (Identified Cost, $0) |
GBP
1.14 |
3/16/21
|
6,125
|
$
668 |
|
|
|
|
|
Investment
Companies (h) – 2.4% |
Money
Market Funds – 2.4% |
|
MFS
Institutional Money Market Portfolio, 0.64% (v) (Identified Cost, $7,555,332) |
|
|
7,555,332
|
$
7,555,332 |
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
CDX North America High Yield Series 38 Index Credit Default Swap - Fund receives 5%, Fund pays notional amount upon a defined credit event of an Index constituent – September 2022 @ $103 (Premiums Paid, $79,337) |
Call
|
BNP
Paribas S.A. |
$ 12,367,022
|
$ 12,050,000
|
$84,111
|
Portfolio of
Investments (unaudited) – continued
|
|
|
|
Value
($) |
Written
Options (see table below) – (0.0)% |
|
(Premiums
Received, $60,449) |
$
(31,419) |
|
|
Other
Assets, Less Liabilities – (29.7)% |
|
(95,818,098)
|
Net
Assets – 100.0% |
$
322,986,265 |
(a)
|
Non-income
producing security. |
(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 $7,555,332 and $411,280,450, 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 $205,225,624, representing 63.5% of net assets. |
(p)
|
Payment-in-kind
(PIK) security for which interest income may be received in additional securities and/or cash. |
(u)
|
The
security was valued using significant unobservable inputs and is considered level 3 under the fair value hierarchy. For further information about the fund’s level 3 holdings, please see Note 2 in the Notes to Financial Statements. |
(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. |
(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
|
MF1
2020-FL3 Ltd., “AS”, FLR, 3.746% (LIBOR - 1mo. + 2.85%), 7/15/2035 |
6/12/20
|
$428,000
|
$422,866
|
%
of Net assets |
|
|
0.1%
|
The
following abbreviations are used in this report and are defined: |
AGM
|
Assured
Guaranty Municipal |
BBSW
|
Bank Bill
Swap Reference Rate |
CDO
|
Collateralized
Debt Obligation |
CLO
|
Collateralized
Loan Obligation |
CMT
|
Constant
Maturity Treasury |
ETF
|
Exchange-Traded
Fund |
EURIBOR
|
Euro
Interbank Offered Rate |
Portfolio of
Investments (unaudited) – continued
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 |
NPFG
|
National
Public Finance Guarantee Corp. |
REIT
|
Real
Estate Investment Trust |
SOFR
|
Secured
Overnight Financing Rate |
SONIA
|
Sterling
Overnight Index Average |
TBA
|
To Be
Announced |
UMBS
|
Uniform
Mortgage-Backed Security |
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) |
CNY
|
China Yuan
Renminbi |
CZK
|
Czech
Koruna |
EUR
|
Euro
|
GBP
|
British
Pound |
ISK
|
Iceland
Krona |
JPY
|
Japanese
Yen |
KRW
|
South
Korean Won |
MXN
|
Mexican
Peso |
NOK
|
Norwegian
Krone |
NZD
|
New
Zealand Dollar |
SEK
|
Swedish
Krona |
SGD
|
Singapore
Dollar |
TRY
|
Turkish
Lira |
TWD
|
Taiwan
Dollar |
UYU
|
Uruguayan
Peso |
ZAR
|
South
African Rand |
Portfolio of
Investments (unaudited) – continued
Derivative Contracts at 5/31/22
Written
Options |
Underlying
|
Put/
Call |
Counterparty
|
Par
Amount/ Number of Contracts |
Notional
Amount |
Exercise
Price |
Expiration
Date |
Value
|
Liability
Derivatives |
Market
Index Securities |
|
|
|
Markit
CDX North America High Yield Series 38 Index Credit Default Swap - Fund pays 5%, Fund receives notional amount upon a defined credit event of an Index constituent |
Put
|
BNP
Paribas S.A. |
$(3,990,000)
|
$4,094,972
|
$92.00
|
September
– 2022 |
$(31,419)
|
Forward
Foreign Currency Exchange Contracts |
Currency
Purchased |
Currency
Sold |
Counterparty
|
Settlement
Date |
Unrealized
Appreciation (Depreciation) |
Asset
Derivatives |
AUD
|
132,942
|
USD
|
95,215
|
Brown
Brothers Harriman |
7/15/2022
|
$251
|
CAD
|
775,000
|
USD
|
595,798
|
Deutsche
Bank AG |
7/15/2022
|
16,785
|
CAD
|
3,145,000
|
USD
|
2,420,331
|
HSBC
Bank |
7/15/2022
|
65,570
|
CLP
|
602,285,000
|
USD
|
727,573
|
Barclays
Bank PLC |
6/29/2022
|
191
|
CNH
|
1,618,000
|
USD
|
239,241
|
UBS
AG |
7/15/2022
|
2,817
|
CZK
|
8,750,000
|
USD
|
372,325
|
UBS
AG |
7/15/2022
|
5,663
|
EUR
|
765,068
|
USD
|
819,524
|
Brown
Brothers Harriman |
7/15/2022
|
3,652
|
EUR
|
1,319,372
|
USD
|
1,395,632
|
Deutsche
Bank AG |
7/15/2022
|
23,947
|
EUR
|
3,195,403
|
USD
|
3,340,213
|
HSBC
Bank |
7/15/2022
|
97,881
|
EUR
|
1,200,000
|
USD
|
1,273,430
|
JPMorgan
Chase Bank N.A. |
7/15/2022
|
17,711
|
EUR
|
291,000
|
USD
|
307,468
|
Merrill
Lynch International |
7/15/2022
|
5,634
|
EUR
|
77,381
|
USD
|
81,767
|
NatWest
Markets PLC |
7/15/2022
|
1,491
|
EUR
|
1,278,525
|
USD
|
1,372,953
|
State
Street Bank Corp. |
7/15/2022
|
2,676
|
EUR
|
1,379,063
|
USD
|
1,460,963
|
UBS
AG |
7/15/2022
|
22,840
|
GBP
|
188,581
|
USD
|
236,522
|
Barclays
Bank PLC |
7/15/2022
|
1,164
|
GBP
|
37,342
|
USD
|
47,009
|
Brown
Brothers Harriman |
7/15/2022
|
56
|
GBP
|
26,660
|
USD
|
33,368
|
Deutsche
Bank AG |
7/15/2022
|
234
|
GBP
|
341,585
|
USD
|
425,947
|
HSBC
Bank |
7/15/2022
|
4,586
|
GBP
|
28,410
|
USD
|
35,615
|
State
Street Bank Corp. |
6/15/2022
|
185
|
JPY
|
14,832,954
|
USD
|
114,171
|
Merrill
Lynch International |
7/15/2022
|
1,252
|
KRW
|
522,189,048
|
USD
|
416,009
|
JPMorgan
Chase Bank N.A. |
7/08/2022
|
6,015
|
MXN
|
11,032,000
|
USD
|
540,093
|
Deutsche
Bank AG |
7/15/2022
|
15,809
|
NOK
|
18,949,555
|
USD
|
1,984,011
|
JPMorgan
Chase Bank N.A. |
6/15/2022
|
37,947
|
NOK
|
11,582,253
|
USD
|
1,207,390
|
JPMorgan
Chase Bank N.A. |
7/15/2022
|
28,846
|
NZD
|
909,993
|
USD
|
585,921
|
Deutsche
Bank AG |
7/15/2022
|
6,655
|
Portfolio of
Investments (unaudited) – continued
Forward
Foreign Currency Exchange Contracts - continued |
Currency
Purchased |
Currency
Sold |
Counterparty
|
Settlement
Date |
Unrealized
Appreciation (Depreciation) |
Asset
Derivatives - continued |
NZD
|
1,477,046
|
USD
|
955,224
|
HSBC
Bank |
7/15/2022
|
$6,610
|
NZD
|
616,000
|
USD
|
395,799
|
State
Street Bank Corp. |
7/15/2022
|
5,332
|
SEK
|
1,699,000
|
USD
|
171,884
|
Brown
Brothers Harriman |
7/15/2022
|
2,325
|
ZAR
|
1,147,118
|
USD
|
70,807
|
UBS
AG |
7/15/2022
|
2,139
|
USD
|
4,015,050
|
AUD
|
5,374,499
|
JPMorgan
Chase Bank N.A. |
6/15/2022
|
157,318
|
USD
|
671,270
|
AUD
|
904,000
|
State
Street Bank Corp. |
7/15/2022
|
22,099
|
USD
|
125,301
|
CNH
|
804,000
|
HSBC
Bank |
7/15/2022
|
5,020
|
USD
|
9,407,486
|
CNH
|
60,165,000
|
JPMorgan
Chase Bank N.A. |
6/15/2022
|
398,394
|
USD
|
207,211
|
EUR
|
189,287
|
HSBC
Bank |
7/15/2022
|
3,547
|
USD
|
55,016,644
|
EUR
|
49,690,898
|
JPMorgan
Chase Bank N.A. |
6/15/2022
|
1,638,785
|
USD
|
106,665
|
EUR
|
96,683
|
JPMorgan
Chase Bank N.A. |
7/15/2022
|
2,639
|
USD
|
75,768
|
EUR
|
70,000
|
UBS
AG |
7/15/2022
|
451
|
USD
|
398,090
|
GBP
|
310,000
|
Deutsche
Bank AG |
7/15/2022
|
7,367
|
USD
|
131,033
|
GBP
|
99,947
|
HSBC
Bank |
7/15/2022
|
5,060
|
USD
|
9,526,380
|
GBP
|
7,278,324
|
JPMorgan
Chase Bank N.A. |
6/15/2022
|
354,954
|
USD
|
176,358
|
JPY
|
21,759,896
|
Deutsche
Bank AG |
7/15/2022
|
7,032
|
USD
|
7,377,137
|
JPY
|
903,151,216
|
JPMorgan
Chase Bank N.A. |
6/15/2022
|
358,405
|
USD
|
38,633
|
JPY
|
4,963,510
|
UBS
AG |
6/15/2022
|
59
|
USD
|
1,633,039
|
KRW
|
2,002,513,800
|
Goldman
Sachs International |
6/30/2022
|
14,624
|
USD
|
861,721
|
KRW
|
1,056,487,280
|
JPMorgan
Chase Bank N.A. |
6/30/2022
|
7,877
|
USD
|
4,697,284
|
KRW
|
5,720,587,250
|
Merrill
Lynch International |
7/08/2022
|
74,007
|
USD
|
9,425,930
|
NZD
|
13,676,289
|
Goldman
Sachs International |
6/15/2022
|
516,504
|
USD
|
353,100
|
TWD
|
10,188,000
|
Barclays
Bank PLC |
7/18/2022
|
1,822
|
USD
|
1,091,795
|
TWD
|
31,578,000
|
Merrill
Lynch International |
7/18/2022
|
2,998
|
USD
|
2,750,125
|
ZAR
|
40,711,101
|
JPMorgan
Chase Bank N.A. |
7/15/2022
|
161,261
|
|
|
|
|
|
|
$4,126,487
|
Liability
Derivatives |
AUD
|
2,893,226
|
USD
|
2,177,753
|
State
Street Bank Corp. |
7/15/2022
|
$(100,101)
|
CAD
|
4,266,283
|
USD
|
3,418,688
|
Goldman
Sachs International |
6/15/2022
|
(46,083)
|
CAD
|
2,509,733
|
USD
|
2,009,934
|
Merrill
Lynch International |
7/15/2022
|
(26,167)
|
CAD
|
238,000
|
USD
|
188,645
|
State
Street Bank Corp. |
7/15/2022
|
(522)
|
CNH
|
128,000
|
USD
|
19,974
|
BNP
Paribas S.A. |
7/15/2022
|
(825)
|
CZK
|
2,766,000
|
USD
|
123,491
|
BNP
Paribas S.A. |
7/15/2022
|
(4,004)
|
CZK
|
26,361,000
|
USD
|
1,193,205
|
JPMorgan
Chase Bank N.A. |
6/15/2022
|
(50,089)
|
EUR
|
225,000
|
USD
|
246,582
|
Deutsche
Bank AG |
7/15/2022
|
(4,494)
|
EUR
|
191,484
|
USD
|
205,745
|
HSBC
Bank |
6/15/2022
|
(53)
|
EUR
|
1,602,559
|
USD
|
1,733,565
|
HSBC
Bank |
7/15/2022
|
(9,291)
|
EUR
|
2,463,364
|
USD
|
2,725,715
|
JPMorgan
Chase Bank N.A. |
6/15/2022
|
(79,574)
|
GBP
|
8,863
|
USD
|
11,645
|
Brown
Brothers Harriman |
7/15/2022
|
(475)
|
GBP
|
146,921
|
USD
|
192,561
|
HSBC
Bank |
7/15/2022
|
(7,382)
|
GBP
|
18,428
|
USD
|
24,194
|
JPMorgan
Chase Bank N.A. |
7/15/2022
|
(967)
|
GBP
|
4,749
|
USD
|
6,222
|
State
Street Bank Corp. |
7/15/2022
|
(237)
|
JPY
|
5,170,954
|
USD
|
40,417
|
Deutsche
Bank AG |
7/15/2022
|
(179)
|
JPY
|
74,831,457
|
USD
|
589,269
|
HSBC
Bank |
7/15/2022
|
(6,963)
|
JPY
|
94,845,324
|
USD
|
738,621
|
JPMorgan
Chase Bank N.A. |
6/15/2022
|
(1,542)
|
Portfolio of
Investments (unaudited) – continued
Forward
Foreign Currency Exchange Contracts - continued |
Currency
Purchased |
Currency
Sold |
Counterparty
|
Settlement
Date |
Unrealized
Appreciation (Depreciation) |
Liability
Derivatives - continued |
JPY
|
56,254,746
|
USD
|
459,671
|
JPMorgan
Chase Bank N.A. |
7/15/2022
|
$(21,921)
|
MXN
|
7,644,550
|
USD
|
386,528
|
Brown
Brothers Harriman |
7/15/2022
|
(1,319)
|
NOK
|
59,696,234
|
USD
|
6,883,539
|
JPMorgan
Chase Bank N.A. |
6/15/2022
|
(513,823)
|
NZD
|
5,910,000
|
USD
|
3,939,507
|
Goldman
Sachs International |
6/15/2022
|
(89,435)
|
NZD
|
6,852,146
|
USD
|
4,481,981
|
JPMorgan
Chase Bank N.A. |
7/15/2022
|
(19,949)
|
NZD
|
128,690
|
USD
|
89,256
|
State
Street Bank Corp. |
7/15/2022
|
(5,455)
|
SEK
|
448,000
|
USD
|
47,648
|
Deutsche
Bank AG |
7/15/2022
|
(1,712)
|
SEK
|
5,934,000
|
USD
|
622,920
|
Goldman
Sachs International |
7/15/2022
|
(14,471)
|
SGD
|
2,581,000
|
USD
|
1,891,191
|
JPMorgan
Chase Bank N.A. |
7/15/2022
|
(7,457)
|
TRY
|
219,000
|
USD
|
13,746
|
Merrill
Lynch International |
7/18/2022
|
(1,156)
|
TWD
|
8,500,000
|
USD
|
293,884
|
Merrill
Lynch International |
7/18/2022
|
(807)
|
ZAR
|
8,022,207
|
USD
|
541,918
|
JPMorgan
Chase Bank N.A. |
7/15/2022
|
(31,777)
|
USD
|
2,038,480
|
AUD
|
2,850,000
|
JPMorgan
Chase Bank N.A. |
6/15/2022
|
(7,207)
|
USD
|
460,495
|
AUD
|
648,000
|
JPMorgan
Chase Bank N.A. |
7/15/2022
|
(4,840)
|
USD
|
29,084
|
AUD
|
41,163
|
NatWest
Markets PLC |
6/15/2022
|
(462)
|
USD
|
191,423
|
AUD
|
270,009
|
State
Street Bank Corp. |
6/15/2022
|
(2,385)
|
USD
|
2,483,341
|
AUD
|
3,576,408
|
State
Street Bank Corp. |
7/15/2022
|
(84,909)
|
USD
|
929,909
|
BRL
|
4,789,219
|
JPMorgan
Chase Bank N.A. |
8/02/2022
|
(60,694)
|
USD
|
959,619
|
CAD
|
1,226,558
|
Goldman
Sachs International |
6/15/2022
|
(10,006)
|
USD
|
110,060
|
CAD
|
140,000
|
Goldman
Sachs International |
7/15/2022
|
(600)
|
USD
|
679,279
|
CAD
|
873,970
|
JPMorgan
Chase Bank N.A. |
7/15/2022
|
(11,533)
|
USD
|
726,226
|
CLP
|
601,605,276
|
Goldman
Sachs International |
6/29/2022
|
(717)
|
USD
|
315,915
|
CNH
|
2,140,680
|
Brown
Brothers Harriman |
7/15/2022
|
(4,338)
|
USD
|
383,185
|
CZK
|
8,849,633
|
Brown
Brothers Harriman |
6/15/2022
|
(569)
|
USD
|
1,217,641
|
CZK
|
29,127,000
|
Goldman
Sachs International |
7/15/2022
|
(40,602)
|
USD
|
106,574
|
EUR
|
99,491
|
Brown
Brothers Harriman |
6/15/2022
|
(299)
|
USD
|
3,453,837
|
EUR
|
3,267,875
|
HSBC
Bank |
7/15/2022
|
(62,235)
|
USD
|
128,009
|
EUR
|
119,610
|
State
Street Bank Corp. |
7/15/2022
|
(686)
|
USD
|
422,026
|
EUR
|
398,030
|
UBS
AG |
7/15/2022
|
(6,235)
|
USD
|
1,501,140
|
GBP
|
1,230,443
|
Deutsche
Bank AG |
7/15/2022
|
(49,706)
|
USD
|
1,156,727
|
GBP
|
937,000
|
HSBC
Bank |
7/15/2022
|
(24,265)
|
USD
|
162,579
|
GBP
|
130,000
|
State
Street Bank Corp. |
7/15/2022
|
(1,272)
|
USD
|
1,437,878
|
GBP
|
1,141,343
|
UBS
AG |
7/15/2022
|
(666)
|
USD
|
363,624
|
JPY
|
47,309,000
|
HSBC
Bank |
7/15/2022
|
(4,514)
|
USD
|
539,414
|
MXN
|
11,123,641
|
Merrill
Lynch International |
7/15/2022
|
(21,106)
|
USD
|
6,625,144
|
NOK
|
62,487,000
|
JPMorgan
Chase Bank N.A. |
7/15/2022
|
(44,429)
|
USD
|
1,627,713
|
NZD
|
2,548,128
|
Brown
Brothers Harriman |
6/15/2022
|
(32,266)
|
USD
|
2,579,371
|
NZD
|
4,091,000
|
Brown
Brothers Harriman |
7/15/2022
|
(84,637)
|
USD
|
4,431,694
|
NZD
|
7,055,047
|
Deutsche
Bank AG |
7/15/2022
|
(162,465)
|
USD
|
592,410
|
NZD
|
937,000
|
Goldman
Sachs International |
7/15/2022
|
(17,753)
|
USD
|
371,970
|
NZD
|
577,717
|
NatWest
Markets PLC |
7/15/2022
|
(4,232)
|
USD
|
496,088
|
TWD
|
14,584,000
|
Citibank
N.A. |
9/12/2022
|
(7,727)
|
USD
|
1,378,428
|
TWD
|
40,512,000
|
JPMorgan
Chase Bank N.A. |
9/12/2022
|
(21,088)
|
|
|
|
|
|
|
$(1,822,673)
|
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 |
|
|
Canadian
Treasury Bond 10 yr |
Short
|
CAD
|
24
|
$2,409,962
|
September
– 2022 |
$23,262
|
Canadian
Treasury Bond 5 yr |
Short
|
CAD
|
239
|
21,650,488
|
September
– 2022 |
82,381
|
Euro-Bobl
5 yr |
Short
|
EUR
|
156
|
21,183,761
|
June
– 2022 |
204,989
|
Euro-Bund
10 yr |
Short
|
EUR
|
80
|
13,017,438
|
June
– 2022 |
311,363
|
Japan
Government Bond 10 yr |
Short
|
JPY
|
6
|
6,974,793
|
June
– 2022 |
29,759
|
Long
Gilt 10 yr |
Short
|
GBP
|
22
|
3,214,944
|
September
– 2022 |
46,780
|
U.S.
Treasury Note 10 yr |
Short
|
USD
|
172
|
20,545,937
|
September
– 2022 |
142,487
|
U.S.
Treasury Note 2 yr |
Short
|
USD
|
55
|
11,610,586
|
September
– 2022 |
13,855
|
U.S.
Treasury Note 5 yr |
Short
|
USD
|
365
|
41,227,891
|
September
– 2022 |
146,993
|
U.S.
Treasury Ultra Bond |
Short
|
USD
|
83
|
12,927,250
|
September
– 2022 |
272,090
|
U.S.
Treasury Ultra Note 10 yr |
Short
|
USD
|
108
|
13,876,312
|
September
– 2022 |
96,408
|
|
|
|
|
|
|
$1,370,367
|
Liability
Derivatives |
Interest
Rate Futures |
|
|
Australian
Bond 10 yr |
Short
|
AUD
|
158
|
$13,858,132
|
June
– 2022 |
$(5,201)
|
Euro-Buxl
30 yr |
Long
|
EUR
|
34
|
5,920,414
|
June
– 2022 |
(506,867)
|
U.S.
Treasury Bond |
Long
|
USD
|
30
|
4,183,125
|
September
– 2022 |
(39,939)
|
|
|
|
|
|
|
$(552,007)
|
Portfolio of
Investments (unaudited) – continued
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 |
|
|
|
|
|
6/15/24
|
AUD
|
1,800,000
|
centrally
cleared |
FLR
(3-Month BBSW)/Quarterly |
3.05%/Quarterly
|
$921
|
|
$53
|
|
$974
|
6/15/24
|
AUD
|
5,498,000
|
centrally
cleared |
FLR
(3-Month BBSW)/Quarterly |
3.05%/Quarterly
|
(9,016)
|
|
11,992
|
|
2,976
|
6/15/24
|
AUD
|
2,199,000
|
centrally
cleared |
FLR
(3-Month BBSW)/Quarterly |
3.05%/Quarterly
|
(1,239)
|
|
2,429
|
|
1,190
|
6/15/24
|
AUD
|
3,774,000
|
centrally
cleared |
FLR
(3-Month BBSW)/Quarterly |
3.05%/Quarterly
|
4,300
|
|
(2,257)
|
|
2,043
|
6/15/24
|
AUD
|
2,911,000
|
centrally
cleared |
FLR
(3-Month BBSW)/Quarterly |
3.05%/Quarterly
|
5,165
|
|
(3,590)
|
|
1,575
|
|
|
|
|
|
|
$131
|
|
$8,627
|
|
$8,758
|
Liability
Derivatives |
|
|
|
|
|
Interest
Rate Swaps |
|
|
|
|
|
6/15/27
|
AUD
|
800,000
|
centrally
cleared |
3.45%/Semi-annually
|
FLR
(6-Month BBSW)/Semi-annually |
$(1,519)
|
|
$25
|
|
$(1,494)
|
6/15/27
|
AUD
|
2,338,000
|
centrally
cleared |
3.45%/Semi-annually
|
FLR
(6-Month BBSW)/Semi-annually |
6,542
|
|
(10,909)
|
|
(4,367)
|
6/15/27
|
AUD
|
935,000
|
centrally
cleared |
3.45%/Semi-annually
|
FLR
(6-Month BBSW)/Semi-annually |
42
|
|
(1,788)
|
|
(1,746)
|
6/15/27
|
AUD
|
1,242,000
|
centrally
cleared |
3.45%/Semi-annually
|
FLR
(6-Month BBSW)/Semi-annually |
(6,162)
|
|
3,842
|
|
(2,320)
|
6/15/27
|
GBP
|
4,200,000
|
centrally
cleared |
1.75%/Annually
|
FLR
(SONIA)/Annually |
(46,751)
|
|
(85,809)
|
|
(132,560)
|
6/15/27
|
AUD
|
1,598,000
|
centrally
cleared |
3.45%/Semi-annually
|
FLR
(6-Month BBSW)/Semi-annually |
(5,951)
|
|
2,966
|
|
(2,985)
|
|
|
|
|
|
|
$(53,799)
|
|
$(91,673)
|
|
$(145,472)
|
Portfolio of
Investments (unaudited) – continued
Uncleared
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 |
|
|
|
|
|
12/20/26
|
EUR
|
124,000
|
Goldman
Sachs International |
5.00%/Quarterly
|
1
|
$(3,924)
|
|
$24,812
|
|
$20,888
|
Liability
Derivatives |
|
|
|
|
|
Credit
Default Swaps |
|
|
|
|
|
12/20/31
|
EUR
|
150,000
|
Barclays
Bank PLC |
1.00%/Quarterly
|
2
|
$(5,729)
|
|
$1,571
|
|
$(4,158)
|
(1)
|
Fund,
as protection seller, to pay notional amount upon a defined credit event by Glencore International AG, 1.875%, 9/13/23, a BBB+ rated bond. The fund entered into the contract to gain issuer exposure. |
(2)
|
Fund,
as protection seller, to pay notional amount upon a defined credit event by Daimler AG, 1.4%, 1/12/24, a A- rated bond. The fund entered into the contract to gain issuer exposure. |
The credit ratings presented here are an indicator of the
current payment/performance risk of the related swap agreement, the reference obligation for which may be either a single security or, in the case of a credit default swap index, a basket of securities issued by corporate or sovereign issuers.
Ratings are assigned to each reference security, including each individual security within a reference basket of securities, utilizing ratings from Moody's, Fitch, and Standard & Poor's rating agencies and applying the following hierarchy: If
all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a
rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA
rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). The ratings for a credit default swap index are calculated by MFS as a weighted average of the external credit ratings of the individual securities that compose the
index's reference basket of securities.
At May 31, 2022,
the fund had liquid securities with an aggregate value of $3,125,434 to cover any collateral or margin obligations for certain derivative contracts.
See Notes to Financial Statements
Financial Statements
Statement of Assets and Liabilities
At 5/31/22 (unaudited)
This statement represents your fund’s balance sheet,
which details the assets and liabilities comprising the total value of the fund.
Assets
|
|
Investments
in unaffiliated issuers, at value (identified cost, $456,766,227) |
$411,280,450
|
Investments
in affiliated issuers, at value (identified cost, $7,555,332) |
7,555,332
|
Cash
|
251,882
|
Foreign
currency, at value (identified cost, $75) |
82
|
Receivables
for |
|
Forward
foreign currency exchange contracts |
4,126,487
|
Net
daily variation margin on open futures contracts |
838,971
|
Investments
sold |
1,088,139
|
TBA
sale commitments |
599,581
|
Interest
|
4,751,671
|
Uncleared
swaps, at value (net of unamortized premiums paid, $24,812) |
20,888
|
Other
assets |
26,191
|
Total
assets |
$430,539,674
|
Liabilities
|
|
Notes
payable |
$100,000,000
|
Payables
for |
|
Distributions
|
178,151
|
Net
daily variation margin on open cleared swap agreements |
29,450
|
Forward
foreign currency exchange contracts |
1,822,673
|
Investments
purchased |
523,168
|
TBA
purchase commitments |
4,127,482
|
Capital
shares reacquired |
294,419
|
When-issued
investments purchased |
128,407
|
Written
options (premiums received, $60,449) |
31,419
|
Uncleared
swaps, at value (net of unamortized premiums paid, $1,571) |
4,158
|
Payable
to affiliates |
|
Investment
adviser |
25,514
|
Administrative
services fee |
866
|
Transfer
agent and dividend disbursing costs |
3,814
|
Payable
for independent Trustees' compensation |
156
|
Accrued
interest expense |
119,194
|
Deferred
country tax expense payable |
93,377
|
Accrued
expenses and other liabilities |
171,161
|
Total
liabilities |
$107,553,409
|
Net
assets |
$322,986,265
|
Statement of Assets and
Liabilities (unaudited) – continued
Net
assets consist of |
|
Paid-in
capital |
$380,614,195
|
Total
distributable earnings (loss) |
(57,627,930)
|
Net
assets |
$322,986,265
|
Shares
of beneficial interest outstanding (44,429,652 shares authorized less 124,481 capital shares to be retired) |
44,305,171
|
Net
asset value per share (net assets of $322,986,265 / 44,305,171 shares of beneficial interest outstanding) |
$7.29
|
See Notes to Financial
Statements
Financial Statements
Statement of Operations
Six months ended 5/31/22 (unaudited)
This statement describes how much your fund earned in
investment income and accrued in expenses. It also describes any gains and/or losses generated by fund operations.
Net
investment income (loss) |
|
Income
|
|
Interest
|
$8,697,717
|
Dividends
|
21,833
|
Dividends
from affiliated issuers |
14,258
|
Other
|
7,826
|
Foreign
taxes withheld |
(6,364)
|
Total
investment income |
$8,735,270
|
Expenses
|
|
Management
fee |
$962,193
|
Transfer
agent and dividend disbursing costs |
26,958
|
Administrative
services fee |
30,187
|
Independent
Trustees' compensation |
4,149
|
Stock
exchange fee |
21,542
|
Custodian
fee |
31,132
|
Shareholder
communications |
70,241
|
Audit
and tax fees |
45,939
|
Legal
fees |
5,628
|
Interest
expense and fees |
449,397
|
Miscellaneous
|
32,735
|
Total
expenses |
$1,680,101
|
Net
investment income (loss) |
$7,055,169
|
Statement of
Operations (unaudited) – continued
Realized
and unrealized gain (loss) |
Realized
gain (loss) (identified cost basis) |
|
Unaffiliated
issuers (net of $75 country tax) |
$(11,102,243)
|
Written
options |
8,277
|
Futures
contracts |
8,701,138
|
Swap
agreements |
6,466
|
Forward
foreign currency exchange contracts |
2,435,188
|
Foreign
currency |
14,534
|
Net
realized gain (loss) |
$63,360
|
Change
in unrealized appreciation or depreciation |
|
Unaffiliated
issuers (net of $1,309 increase in deferred country tax) |
$(41,018,374)
|
Written
options |
29,030
|
Futures
contracts |
2,226,092
|
Swap
agreements |
(62,139)
|
Forward
foreign currency exchange contracts |
1,141,614
|
Translation
of assets and liabilities in foreign currencies |
25,923
|
Net
unrealized gain (loss) |
$(37,657,854)
|
Net
realized and unrealized gain (loss) |
$(37,594,494)
|
Change
in net assets from operations |
$(30,539,325)
|
See Notes to Financial
Statements
Financial Statements
Statements of Changes in Net Assets
These statements describe the increases and/or decreases in
net assets resulting from operations, any distributions, and any shareholder transactions.
|
Six
months ended |
Year
ended |
|
5/31/22
(unaudited) |
11/30/21
|
Change
in net assets |
|
|
From
operations |
|
|
Net
investment income (loss) |
$7,055,169
|
$15,604,143
|
Net
realized gain (loss) |
63,360
|
12,111,890
|
Net
unrealized gain (loss) |
(37,657,854)
|
(23,871,339)
|
Change
in net assets from operations |
$(30,539,325)
|
$3,844,694
|
Distributions
to shareholders |
$(10,254,160)
|
$(18,569,733)
|
Tax
return of capital distributions to shareholders |
$—
|
$(12,344,248)
|
Distributions
from other sources |
$(4,031,682)
|
$—
|
Change
in net assets from fund share transactions |
$(1,155,570)
|
$1,498,406
|
Total
change in net assets |
$(45,980,737)
|
$(25,570,881)
|
Net
assets |
|
|
At
beginning of period |
368,967,002
|
394,537,883
|
At
end of period |
$322,986,265
|
$368,967,002
|
See Notes to Financial
Statements
Financial Statements
Statement of Cash Flows
Six months ended 5/31/22 (unaudited)
This statement provides a summary of cash flows from
investment activity for the fund.
Cash
flows from operating activities: |
|
Change
in net assets from operations |
$(30,539,325)
|
Adjustments
to reconcile change in net assets from operations to net cash provided by operating activities: |
|
Purchase
of investment securities |
(170,435,763)
|
Proceeds
from disposition of investment securities |
166,502,881
|
Purchase
of short-term investments, net |
(683,982)
|
Realized
gain/loss on investments |
11,102,168
|
Unrealized
appreciation/depreciation on investments |
41,017,065
|
Unrealized
appreciation/depreciation on foreign currency contracts |
(1,141,614)
|
Unrealized
appreciation/depreciation on swaps |
62,139
|
Net
amortization/accretion of income |
227,149
|
Decrease
in interest receivable |
385,540
|
Increase
in accrued expenses and other liabilities |
12,821
|
Increase
in receivable for net daily variation margin on open futures contracts |
(838,971)
|
Decrease
in payable for net daily variation margin on open futures contracts |
(532,265)
|
Increase
in other assets |
(22,531)
|
Increase
in interest payable |
61,032
|
Net
cash provided by operating activities |
$15,176,344
|
Cash
flows from financing activities: |
|
Distributions
paid in cash |
$(13,747,252)
|
Repurchase
of shares of beneficial interest |
(1,221,590)
|
Net
cash used by financing activities |
$(14,968,842)
|
Net
increase in cash and restricted cash |
$207,502
|
Cash
and restricted cash: |
|
Beginning
of period (including foreign currency of $40,055) |
$44,462
|
End
of period (including foreign currency of $82) |
$251,964
|
Supplemental disclosure of cash flow
information:
Non-cash financing activities not included
herein consist of reinvestment of dividends and distributions of $360,439.
Cash paid during the six months ended May 31, 2022 for interest
was $388,365.
See Notes to Financial Statements
Financial
Statements
Financial Highlights
The financial highlights table is intended to help you
understand the fund's financial performance for the semiannual period and the past 5 fiscal years. Certain information reflects financial results for a single fund share. The total returns in the table represent the rate that an investor would have
earned (or lost) on an investment in the fund share class (assuming reinvestment of all distributions) held for the entire period.
|
Six months ended |
Year
ended |
|
5/31/22
(unaudited) |
11/30/21
|
11/30/20
|
11/30/19
|
11/30/18
|
11/30/17
|
Net
asset value, beginning of period |
$8.29
|
$8.90
|
$8.94
|
$8.44
|
$9.26
|
$9.26
|
Income
(loss) from investment operations |
Net
investment income (loss) (d) |
$0.16
|
$0.35
|
$0.37
|
$0.36
|
$0.35
|
$0.39
|
Net
realized and unrealized gain (loss) |
(0.84)
|
(0.26)
|
0.27
|
0.80
|
(0.50)
|
0.33
|
Total
from investment operations |
$(0.68)
|
$0.09
|
$0.64
|
$1.16
|
$(0.15)
|
$0.72
|
Less
distributions declared to shareholders |
From
net investment income |
$(0.23)
|
$(0.42)
|
$(0.40)
|
$(0.44)
|
$(0.43)
|
$(0.32)
|
From
tax return of capital |
—
|
(0.28)
|
(0.30)
|
(0.26)
|
(0.28)
|
(0.43)
|
From
other sources |
(0.09)
|
—
|
—
|
—
|
—
|
—
|
Total
distributions declared to shareholders |
$(0.32)
|
$(0.70)
|
$(0.70)
|
$(0.70)
|
$(0.71)
|
$(0.75)
|
Net
increase from repurchase of capital shares |
$0.00(w)
|
$—
|
$0.02
|
$0.04
|
$0.04
|
$0.03
|
Net
asset value, end of period (x) |
$7.29
|
$8.29
|
$8.90
|
$8.94
|
$8.44
|
$9.26
|
Market
value, end of period |
$6.65
|
$8.44
|
$8.53
|
$8.32
|
$7.41
|
$8.40
|
Total
return at market value (%) |
(17.75)(n)
|
7.27
|
11.58
|
22.47
|
(3.56)
|
9.67
|
Total
return at net asset value (%) (j)(r)(s)(x) |
(8.20)(n)
|
0.99
|
8.35
|
15.54
|
(0.36)
|
9.02
|
Ratios
(%) (to average net assets) and Supplemental data: |
Expenses
|
0.97(a)
|
0.91
|
1.02
|
1.40
|
1.26
|
1.05
|
Net
investment income (loss) |
4.06(a)
|
4.06
|
4.20
|
4.11
|
4.00
|
4.16
|
Portfolio
turnover |
42(n)
|
112
|
129
|
94
|
96
|
52
|
Net
assets at end of period (000 omitted) |
$322,986
|
$368,967
|
$394,538
|
$403,245
|
$396,451
|
$456,591
|
Supplemental
Ratios (%): |
Ratios
of expenses to average net assets excluding interest expense and fees |
0.71(a)
|
0.71
|
0.72
|
0.70
|
0.70
|
0.71
|
Senior
Securities: |
Total
notes payable outstanding (000 omitted) |
$100,000
|
$100,000
|
$100,000
|
$100,000
|
$100,000
|
$100,000
|
Asset
coverage per $1,000 of indebtedness (k) |
$4,230
|
$4,690
|
$4,945
|
$5,032
|
$4,965
|
$5,566
|
See Notes to Financial Statements
Financial
Highlights – continued
(a)
|
Annualized.
|
(d)
|
Per share
data is based on average shares outstanding. |
(j)
|
Total return
at net asset value is calculated using the net asset value of the fund, not the publicly traded price and therefore may be different than the total return at market value. |
(k)
|
Calculated
by subtracting the fund's total liabilities (not including notes payable) from the fund's total assets and dividing this number by the notes payable outstanding and then multiplying by 1,000. |
(n)
|
Not
annualized. |
(r)
|
Certain
expenses have been reduced without which performance would have been lower. |
(s)
|
From time to
time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
(w)
|
Per share
amount was less than $0.01. |
(x)
|
The
net asset values and total returns at net asset value have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes.
|
See Notes to Financial Statements
Notes to Financial
Statements
(unaudited)
(1) Business and Organization
MFS Charter Income Trust (the fund) is organized as a
Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as a diversified closed-end management investment company.
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.
(2) Significant Accounting Policies
General — The preparation
of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. In the preparation of these
financial statements, management has evaluated subsequent events occurring after the date of the fund’s Statement of Assets and Liabilities through the date that the financial statements were issued.
The fund invests in high-yield securities rated below investment grade. Investments in below investment grade quality securities can involve a substantially greater risk of default or can already be in default, and their values can decline
significantly. Below investment grade quality securities tend to be more sensitive to adverse news about the issuer, or the market or economy in general, than higher quality debt instruments. The fund invests
in foreign securities, including securities of emerging market issuers. Investments in foreign securities are vulnerable to the effects of changes in the relative values of the local currency and the U.S. dollar and to the effects of changes in each
country’s market, economic, industrial, political, regulatory, geopolitical, environmental, public health, and other conditions. Investments in emerging markets can involve additional and greater risks than the risks associated with
investments in developed foreign markets. Emerging markets can have less developed markets, greater custody and operational risk, less developed legal, regulatory, accounting, and auditing systems, greater government involvement in the economy,
greater risk of new or inconsistent government treatment of or restrictions on issuers and instruments, and greater political, social, and economic instability than developed markets.
Balance Sheet Offsetting
— The fund's accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the International Swaps and Derivatives Association (ISDA) Master Agreement, or
similar agreement, does not result in an offset of reported amounts of financial assets and financial liabilities in the Statement of Assets and Liabilities across transactions between the fund and the applicable counterparty. The fund's right to
setoff may be restricted or prohibited by the bankruptcy or insolvency laws of the particular jurisdiction to which a specific master netting agreement counterparty is subject. Balance sheet offsetting disclosures, to the extent applicable to the
fund, have been included in the fund’s Significant Accounting Policies note under the captions for each of the fund’s in-scope financial instruments and transactions.
Notes to Financial
Statements (unaudited) - continued
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
Notes to Financial
Statements (unaudited) - continued
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). 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, swap agreements, and written options. The following is a summary of the levels used as of May 31, 2022 in valuing the fund's assets and liabilities:
Notes to Financial
Statements (unaudited) - continued
Financial
Instruments |
Level
1 |
Level
2 |
Level
3 |
Total
|
Equity
Securities: |
|
|
|
|
United
States |
$1,637,700
|
$—
|
$176,868
|
$1,814,568
|
Luxembourg
|
—
|
201,124
|
—
|
201,124
|
Canada
|
178,913
|
—
|
—
|
178,913
|
Mexico
|
—
|
—
|
95,734
|
95,734
|
United
Kingdom |
—
|
—
|
668
|
668
|
U.S.
Treasury Bonds & U.S. Government Agencies & Equivalents |
—
|
54,265,814
|
—
|
54,265,814
|
Non
- U.S. Sovereign Debt |
—
|
96,334,406
|
—
|
96,334,406
|
Municipal
Bonds |
—
|
1,543,590
|
—
|
1,543,590
|
U.S.
Corporate Bonds |
—
|
178,033,291
|
—
|
178,033,291
|
Residential
Mortgage-Backed Securities |
—
|
6,826,813
|
—
|
6,826,813
|
Commercial
Mortgage-Backed Securities |
—
|
6,827,448
|
—
|
6,827,448
|
Asset-Backed
Securities (including CDOs) |
—
|
7,863,521
|
—
|
7,863,521
|
Foreign
Bonds |
—
|
57,294,560
|
—
|
57,294,560
|
Mutual
Funds |
7,555,332
|
—
|
—
|
7,555,332
|
Total
|
$9,371,945
|
$409,190,567
|
$273,270
|
$418,835,782
|
Other
Financial Instruments |
|
|
|
|
Futures
Contracts – Assets |
$1,370,367
|
$—
|
$—
|
$1,370,367
|
Futures
Contracts – Liabilities |
(552,007)
|
—
|
—
|
(552,007)
|
Forward
Foreign Currency Exchange Contracts – Assets |
—
|
4,126,487
|
—
|
4,126,487
|
Forward
Foreign Currency Exchange Contracts – Liabilities |
—
|
(1,822,673)
|
—
|
(1,822,673)
|
Swap
Agreements – Assets |
—
|
29,646
|
—
|
29,646
|
Swap
Agreements – Liabilities |
—
|
(149,630)
|
—
|
(149,630)
|
Written
Options - Liabilities |
—
|
(31,419)
|
—
|
(31,419)
|
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 11/30/21 |
$265,542
|
Change
in unrealized appreciation or depreciation |
7,728
|
Balance
as of 5/31/22 |
$273,270
|
The net change in unrealized
appreciation or depreciation from investments held as level 3 at May 31, 2022 is $7,728. At May 31, 2022, the fund held three level 3 securities.
Notes to Financial
Statements (unaudited) - continued
Inflation-Adjusted Debt Securities — The fund invests in inflation-adjusted debt securities issued by the U.S. Treasury. The fund also invests in inflation-adjusted debt securities issued by U.S. Government agencies and instrumentalities other than
the U.S. Treasury and by other entities such as U.S. and foreign corporations and foreign governments. The principal value of these debt securities is adjusted through income according to changes in the Consumer Price Index or another general price
or wage index. These debt securities typically pay a fixed rate of interest, but this fixed rate is applied to the inflation-adjusted principal amount. The principal paid at maturity of the debt security is typically equal to the inflation-adjusted
principal amount, or the security’s original par value, whichever is greater. Other types of inflation-adjusted securities may use other methods to adjust for other measures of inflation.
Foreign Currency Translation
— Purchases and sales of foreign investments, income, and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions or on the reporting date for foreign denominated
receivables and payables. Gains and losses attributable to foreign currency exchange rates on sales of securities are recorded for financial statement purposes as net realized gains and losses on investments. Gains and losses attributable to foreign
exchange rate movements on receivables, payables, income and expenses are recorded for financial statement purposes as foreign currency transaction gains and losses. That portion of both realized and unrealized gains and losses on investments that
results from fluctuations in foreign currency exchange rates is not separately disclosed.
Derivatives — The fund
uses derivatives primarily to increase or decrease exposure to a particular market or segment of the market, or security, to increase or decrease interest rate or currency exposure, or as alternatives to direct investments. Derivatives are used for
hedging or non-hedging purposes. While hedging can reduce or eliminate losses, it can also reduce or eliminate gains. When the fund uses derivatives as an investment to increase market exposure, or for hedging purposes, gains and losses from
derivative instruments may be substantially greater than the derivative’s original cost.
The derivative instruments used by the fund during the period
were written options, purchased options, futures contracts, forward foreign currency exchange contracts, and swap agreements. Depending on the type of derivative, a fund may exit a derivative position by entering into an offsetting transaction with
a counterparty or exchange, negotiating an agreement with the derivative counterparty, or novating the position to a third party. The fund may be unable to promptly close out a futures position in instances where the daily fluctuation in the price
for that type of future exceeds the daily limit set by the exchange. The fund's period end derivatives, as presented in the Portfolio of Investments and the associated Derivative Contract tables, generally are indicative of the volume of its
derivative activity during the period.
Notes to Financial
Statements (unaudited) - continued
The following table presents, by major type of derivative
contract, the fair value, on a gross basis, of the asset and liability components of derivatives held by the fund at May 31, 2022 as reported in the Statement of Assets and Liabilities:
|
|
Fair
Value (a) |
Risk
|
Derivative
Contracts |
Asset
Derivatives |
Liability
Derivatives |
Interest
Rate |
Futures
Contracts |
$1,370,367
|
$(552,007)
|
Interest
Rate |
Cleared
Swap Agreements |
8,758
|
(145,472)
|
Foreign
Exchange |
Forward
Foreign Currency Exchange Contracts |
4,126,487
|
(1,822,673)
|
Credit
|
Purchased
Option Contracts |
84,111
|
—
|
Credit
|
Written
Option Contracts |
—
|
(31,419)
|
Credit
|
Uncleared
Swap Agreements |
20,888
|
(4,158)
|
Total
|
|
$5,610,611
|
$(2,555,729)
|
(a)
|
The
value of purchased options outstanding is included in investments in unaffiliated issuers, at value, within the Statement of Assets and Liabilities. Values presented in this table for futures contracts and cleared swap agreements correspond to the
values reported in the Portfolio of Investments. Only the current day net variation margin for futures contracts and cleared swap agreements is separately reported within the Statement of Assets and Liabilities. |
The following table presents, by major type of derivative
contract, the realized gain (loss) on derivatives held by the fund for the six months ended May 31, 2022 as reported in the Statement of Operations:
Risk
|
Futures
Contracts |
Swap
Agreements |
Forward
Foreign Currency Exchange Contracts |
Unaffiliated
Issuers (Purchased Options) |
Written
Options |
Interest
Rate |
$8,701,138
|
$741
|
$—
|
$—
|
$—
|
Foreign
Exchange |
—
|
—
|
2,435,188
|
—
|
—
|
Credit
|
—
|
5,725
|
—
|
419,661
|
8,277
|
Total
|
$8,701,138
|
$6,466
|
$2,435,188
|
$419,661
|
$8,277
|
The following table presents, by
major type of derivative contract, the change in unrealized appreciation or depreciation on derivatives held by the fund for the six months ended May 31, 2022 as reported in the Statement of Operations:
Risk
|
Futures
Contracts |
Swap
Agreements |
Forward
Foreign Currency Exchange Contracts |
Unaffiliated
Issuers (Purchased Options) |
Written
Options |
Interest
Rate |
$2,226,092
|
$(53,668)
|
$—
|
$—
|
$—
|
Foreign
Exchange |
—
|
—
|
1,141,614
|
—
|
—
|
Equity
|
—
|
—
|
—
|
—
|
—
|
Credit
|
—
|
(8,471)
|
—
|
(290,301)
|
29,030
|
Total
|
$2,226,092
|
$(62,139)
|
$1,141,614
|
$(290,301)
|
$29,030
|
Notes to Financial
Statements (unaudited) - continued
Derivative counterparty credit risk is managed through formal
evaluation of the creditworthiness of all potential counterparties. On certain, but not all, uncleared derivatives, the fund attempts to reduce its exposure to counterparty credit risk whenever possible by entering into an ISDA Master Agreement on a
bilateral basis. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a specified deterioration in the credit quality of the other party. Upon an event of default
or a termination of the ISDA Master Agreement, the non-defaulting party has the right to close out all transactions traded under such agreement and to net amounts owed under each agreement to one net amount payable by one party to the other. This
right to close out and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the fund's credit risk to such counterparty equal to any amounts payable by the fund under the applicable transactions,
if any.
Collateral and margin requirements differ by type
of derivative. For cleared derivatives (e.g., futures contracts, cleared swaps, and exchange-traded options), margin requirements are set by the clearing broker and the clearing house and collateral, in the form of cash or securities, is posted by
the fund directly with the clearing broker. Collateral terms are counterparty agreement specific for uncleared derivatives (e.g., forward foreign currency exchange contracts, uncleared swap agreements, and uncleared options) and collateral, in the
form of cash and securities, is held in segregated accounts with the fund's custodian in connection with these agreements. For derivatives traded under an ISDA Master Agreement, which contains a collateral support annex, the collateral requirements
are netted across all transactions traded under such counterparty-specific agreement and an amount is posted from one party to the other to collateralize such obligations. Cash that has been segregated or delivered to cover the fund's collateral or
margin obligations under derivative contracts, if any, will be reported separately in the Statement of Assets and Liabilities as restricted cash for uncleared derivatives and/or deposits with brokers for cleared derivatives. Securities pledged as
collateral or margin for the same purpose, if any, are noted in the Portfolio of Investments. The fund may be required to make payments of interest on uncovered collateral or margin obligations with the broker. Any such payments are included in
“Interest expense and fees” in the Statement of Operations.
Written Options — In
exchange for a premium, the fund wrote put options on securities for which it anticipated the price would increase. At the time the option was written, the fund believed the premium received exceeded the potential loss that could result from adverse
price changes in the options’ underlying securities. In a written option, the fund as the option writer grants the buyer the right to purchase from, or sell to, the fund a specified number of shares or units of a particular security, currency
or index at a specified price within a specified period of time.
The premium received is initially recorded as a liability in
the Statement of Assets and Liabilities. The option is subsequently marked-to-market daily with the difference between the premium received and the market value of the written option being recorded as unrealized appreciation or depreciation. When a
written option expires, the fund realizes a gain equal to the amount of the premium received. The difference between the premium received and the amount paid on effecting a closing transaction is considered a realized gain or loss. When a written
put option is exercised, the premium reduces the cost basis of the security purchased by the fund.
Notes to Financial
Statements (unaudited) - continued
At the initiation of the written option contract, for exchange
traded options, the fund is required to deposit securities or cash as collateral with the custodian for the benefit of the broker or directly with the clearing broker, based on the type of option. For uncleared options, the fund may post collateral
subject to the terms of an ISDA Master Agreement as generally described above if the market value of the options contract moves against it. The fund, as writer of an option, may have no control over whether the underlying securities may be sold
(call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the securities underlying the written option. Losses from writing options can exceed the premium received and can exceed the potential loss
from an ordinary buy and sell transaction. Although the fund’s market risk may be significant, the maximum counterparty credit risk to the fund is equal to the market value of any collateral posted to the broker. For uncleared options, this
risk is mitigated in cases where there is an ISDA Master Agreement between the fund and the counterparty providing for netting as described above.
Purchased Options — The
fund purchased call and put options for a premium. Purchased call and put options entitle the holder to buy and sell a specified number of shares or units of a particular security, currency or index at a specified price at a specified date or within
a specified period of time. Purchasing call options may hedge against an anticipated increase in the dollar cost of securities or currency to be acquired or increase the fund’s exposure to an underlying instrument. Purchasing put options may
hedge against an anticipated decline in the value of portfolio securities or currency or decrease the fund's exposure to an underlying instrument.
The premium paid is initially recorded as an investment in the
Statement of Assets and Liabilities. That investment is subsequently marked-to-market daily with the difference between the premium paid and the market value of the purchased option being recorded as unrealized appreciation or depreciation. Premiums
paid for purchased call and put options which have expired are treated as realized losses on investments in the Statement of Operations. Upon the exercise or closing of a purchased call option, the premium paid is added to the cost of the security
or financial instrument purchased. Upon the exercise or closing of a purchased put option, the premium paid is offset against the proceeds on the sale of the underlying security or financial instrument in order to determine the realized gain or loss
on investments.
Whether or not the option is exercised,
the fund's maximum risk of loss from purchasing an option is the amount of premium paid. All option contracts involve credit risk if the counterparty to the option contract fails to perform. For uncleared options, this risk is mitigated in cases
where there is an ISDA Master Agreement between the fund and the counterparty providing for netting as described above and, where applicable, by the posting of collateral by the counterparty to the fund to cover the fund’s exposure to the
counterparty under such ISDA Master Agreement.
Futures
Contracts — The fund entered into futures contracts which may be used to hedge against or obtain broad market exposure, interest rate exposure, currency exposure, or to manage duration. A futures contract
represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a futures contract, the fund is required to
deposit with the broker, either in cash or securities, an initial margin in an amount equal to a specified percentage of the notional amount of the contract. Subsequent payments (variation margin) are made or received by the fund each day, depending
on the daily fluctuations
Notes to Financial
Statements (unaudited) - continued
in the value of the contract, and are recorded for financial statement
purposes as unrealized gain or loss by the fund until the contract is closed or expires at which point the gain or loss on futures contracts is realized.
The fund bears the risk of interest rates, exchange rates or
securities prices moving unexpectedly, in which case, the fund may not achieve the anticipated benefits of the futures contracts and may realize a loss. While futures contracts may present less counterparty risk to the fund since the contracts are
exchange traded and the exchange’s clearinghouse guarantees payments to the broker, there is still counterparty credit risk due to the insolvency of the broker. The fund’s maximum risk of loss due to counterparty credit risk is equal to
the margin posted by the fund to the broker plus any gains or minus any losses on the outstanding futures contracts.
Forward Foreign Currency Exchange Contracts — The fund entered into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. These contracts may be used to hedge the fund’s
currency risk or for non-hedging purposes. For hedging purposes, the fund may enter into contracts to deliver or receive foreign currency that the fund will receive from or use in its normal investment activities. The fund may also use contracts to
hedge against declines in the value of foreign currency denominated securities due to unfavorable exchange rate movements. For non-hedging purposes, the fund may enter into contracts with the intent of changing the relative exposure of the
fund’s portfolio of securities to different currencies to take advantage of anticipated exchange rate changes.
Forward foreign currency exchange contracts are adjusted by the
daily exchange rate of the underlying currency and any unrealized gains or losses are recorded as a receivable or payable for forward foreign currency exchange contracts until the contract settlement date. On contract settlement date, any gain or
loss on the contract is recorded as realized gains or losses on forward foreign currency exchange contracts.
Risks may arise upon entering into these contracts from
unanticipated movements in the value of the contract and from the potential inability of counterparties to meet the terms of their contracts. Generally, the fund’s maximum risk due to counterparty credit risk is the unrealized gain on the
contract due to the use of Continuous Linked Settlement, a multicurrency cash settlement system for the centralized settlement of foreign transactions. This risk is mitigated in cases where there is an ISDA Master Agreement between the fund and the
counterparty providing for netting as described above and, where applicable, by the posting of collateral by the counterparty to the fund to cover the fund’s exposure to the counterparty under such ISDA Master Agreement.
Swap Agreements — During
the period the fund entered into swap agreements. Swap agreements generally involve a periodic exchange of cash payments on a net basis, at specified intervals or upon the occurrence of specified events, between the fund and a counterparty. Certain
swap agreements may be entered into as a bilateral contract (“uncleared swaps”) while others are required to be centrally cleared (“cleared swaps”). In a cleared swap transaction, the ultimate counterparty to the transaction
is a clearinghouse (the “clearinghouse”). The contract is transferred and accepted by the clearinghouse immediately following execution of the swap contract with an executing broker. Thereafter, throughout the term of the cleared swap,
the fund interfaces indirectly with the clearinghouse through a clearing broker and has counterparty risk to the clearing broker as well.
Notes to Financial
Statements (unaudited) - continued
Both cleared and uncleared swap agreements are marked to market
daily. The value of uncleared swap agreements is reported in the Statement of Assets and Liabilities as “Uncleared swaps, at value” which includes any related interest accruals to be paid or received by the fund. For cleared swaps,
payments (variation margin) are made or received by the fund each day, depending on the daily fluctuations in the value of the cleared swap, such that only the current day net receivable or payable for variation margin is reported in the Statement
of Assets and Liabilities.
For both cleared and uncleared
swaps, the periodic exchange of net cash payments, at specified intervals or upon the occurrence of specified events as stipulated by the agreement, is recorded as realized gain or loss on swap agreements in the Statement of Operations. Premiums
paid or received at the inception of the agreements are amortized using the effective interest method over the term of the agreement as realized gain or loss on swap agreements in the Statement of Operations. A liquidation payment received or made
upon early termination is recorded as a realized gain or loss on swap agreements in the Statement of Operations. The change in unrealized appreciation or depreciation on swap agreements in the Statement of Operations reflects the aggregate change
over the reporting period in the value of swaps net of any unamortized premiums paid or received.
Risks related to swap agreements include the possible lack of a
liquid market, unfavorable market and interest rate movements of the underlying instrument and the failure of the counterparty to perform under the terms of the agreements. The fund's maximum risk of loss from counterparty credit risk is the
discounted net value of the cash flows to be received from/paid to the counterparty over the contract's remaining life, to the extent that the amount is positive. To address counterparty risk, uncleared swap agreements are limited to only
highly-rated counterparties. Risk is further reduced by having an ISDA Master Agreement between the fund and the counterparty providing for netting as described above and, where applicable, by the posting of collateral by the counterparty to the
fund to cover the fund’s exposure to the counterparty under such ISDA Master Agreement. The fund's counterparty risk due to cleared swaps is mitigated by the fact that the clearinghouse is the true counterparty to the transaction and the
regulatory requirement safeguards in the event of a clearing broker bankruptcy.
The fund entered into credit default swap agreements in order
to manage its exposure to the market or certain sectors of the market, to reduce its credit risk exposure to defaults of corporate and sovereign issuers or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. In
a credit default swap agreement, the protection buyer can make an upfront payment and will make a stream of payments to the protection seller based on a fixed percentage applied to the agreement notional amount in exchange for the right to receive a
specified return upon the occurrence of a defined credit event on the reference obligation (which may be either a single security or a basket of securities issued by corporate or sovereign issuers) and, with respect to the cases where physical
settlement applies, the delivery by the buyer to the seller of a defined deliverable obligation. Although agreement-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 ISDA Credit Derivatives Definitions as amended by the relevant agreement. 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
Notes to Financial
Statements (unaudited) - continued
only applicable when the reference obligation is issued by a sovereign entity
or an entity in an emerging country. Upon determination of the final price for the deliverable obligation (or upon delivery of the deliverable obligation in the case of physical settlement), the difference between the value of the deliverable
obligation and the swap agreement’s notional amount is recorded as realized gain or loss on swap agreements in the Statement of Operations.
Credit default swap agreements are considered to have
credit-risk-related contingent features since they trigger payment by the protection seller to the protection buyer upon the occurrence of a defined credit event. The aggregate fair value of credit default swap agreements in a net liability position
as of May 31, 2022 is disclosed in the footnotes to the Portfolio of Investments. 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. The protection seller’s payment obligation would be offset to the extent of the value of the agreement’s deliverable obligation. If a defined credit event had occurred as of May 31, 2022, the swap agreement's credit-risk-related
contingent features would have been triggered and, for those swap agreements in a net liability position for which the fund is the protection seller, the fund in order to settle these swap agreements would have been required to either (1) pay the
swap agreement’s notional value of EUR 274,000 less the value of the agreements’ related deliverable obligations as decided through an ISDA auction or (2) pay the notional value of the swap agreements in return for physical receipt of
the deliverable obligations. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the agreement.
Statement of Cash Flows —
Information on financial transactions which have been settled through the receipt or disbursement of cash or restricted cash is presented in the Statement of Cash Flows. Cash as presented in the fund's Statement of Assets and Liabilities includes
cash on hand at the fund's custodian bank and does not include any short-term investments. Restricted cash is presented in the fund's Statement of Assets and Liabilities as restricted cash for uncleared derivatives and/or deposits with brokers for
cleared derivatives and represents cash that has been segregated or delivered to cover the fund's collateral or margin obligations under derivative contracts.
The following table provides a reconciliation of cash and
restricted cash reported within the Statement of Assets and Liabilities with that shown in the Statement of Cash Flows:
|
5/31/22
|
Cash
|
$251,964
|
Restricted
cash |
—
|
Restricted
cash included in deposits with brokers |
—
|
Total
cash and restricted cash in the Statement of Cash Flows |
$251,964
|
Indemnifications — Under the fund's organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the fund. Additionally, in the
normal course of business, the fund enters into agreements with service providers that may contain indemnification clauses. The fund's maximum exposure under these agreements is unknown as this would involve future claims that may be made against
the fund that have not yet occurred.
Notes to Financial
Statements (unaudited) - continued
Investment Transactions and Income — Investment transactions are recorded on the trade date. Some securities may be purchased or sold on an extended settlement basis, which means that the receipt or delivery
of the securities by the fund and related payments occur at a future date, usually beyond the customary settlement period.
Interest income is recorded on the accrual basis. All premium and discount is
amortized or accreted for financial statement purposes in accordance with U.S. generally accepted accounting principles. Dividends received in cash are recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded when
the fund is informed of the dividend if such information is obtained subsequent to the ex-dividend date. Dividend and interest payments received in additional securities are recorded on the ex-dividend or ex-interest date in an amount equal to the
value of the security on such date. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis. Inflation-indexed bonds are fixed-income securities whose principal value is periodically
adjusted upward or downward based on the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond is generally recorded as an
increase or decrease in interest income, respectively, even though the adjusted principal is not received until maturity.
The fund may receive proceeds from litigation settlements. Any
proceeds received from litigation involving portfolio holdings are reflected in the Statement of Operations in realized gain/loss if the security has been disposed of by the fund or in unrealized gain/loss if the security is still held by the fund.
Any other proceeds from litigation not related to portfolio holdings are reflected as other income in the Statement of Operations.
The fund invests a significant portion of its assets in
asset-backed and/or mortgage-backed securities. For these securities, the value of the debt instrument also depends on the credit quality and adequacy of the underlying assets or collateral as well as whether there is a security interest in the
underlying assets or collateral. Enforcing rights, if any, against the underlying assets or collateral may be difficult. U.S. Government securities not supported as to the payment of principal or interest by the U.S. Treasury, such as those issued
by Fannie Mae, Freddie Mac, and the Federal Home Loan Banks, are subject to greater credit risk than are U.S. Government securities supported by the U.S. Treasury, such as those issued by Ginnie Mae.
The fund may purchase or sell mortgage-backed securities on a
“To Be Announced” (TBA) basis. A TBA transaction is subject to extended settlement and typically does not designate the actual security to be delivered, but instead includes an approximate principal amount. The price of the TBA security
and the date that it will be settled are fixed at the time the transaction is negotiated. The value of the security varies with market fluctuations and no interest accrues to the fund until settlement takes place. TBA purchase and sale commitments
are held at carrying amount, which approximates fair value and are categorized as level 2 within the fair value hierarchy and included in TBA purchase and TBA sale commitments in the Statement of Assets and Liabilities. Losses may arise as a result
of changes in the value of the TBA investment prior to settlement date or due to counterparty non-performance. At the time that it enters into a TBA transaction, the fund is required to have sufficient cash and/or liquid securities to cover its
commitments.
Notes to Financial
Statements (unaudited) - continued
The fund may also enter into mortgage dollar rolls, typically
TBA dollar rolls, in which the fund sells TBA mortgage-backed securities to financial institutions and simultaneously agrees to repurchase similar (same issuer, type and coupon) securities at a later date at an agreed-upon price. During the period
between the sale and repurchase, the fund will not be entitled to receive interest and principal payments on the securities sold. The fund accounts for dollar roll transactions as purchases and sales and realizes gains and losses on these
transactions. Dollar roll transactions involve the risk that the market value of the securities that the fund is required to purchase may decline below the agreed upon repurchase price of those securities.
The fund may purchase or sell securities on a when-issued or
delayed delivery basis. In these extended settlement transactions, the receipt or delivery of the securities by the fund and related payments occur at a future date, usually beyond the normal settlement period. The price of such security and the
date that the security will be settled are generally fixed at the time the transaction is negotiated. The value of the security varies with market fluctuations and for debt securities no interest accrues to the fund until settlement takes place.
When the fund sells securities on a when-issued or delayed delivery basis, the fund typically owns or has the right to acquire securities equivalent in kind and amount to the securities sold. Purchase and sale commitments for when-issued or delayed
delivery securities are held at carrying amount, which approximates fair value and are categorized as level 2 within the fair value hierarchy, and included in When-issued investments purchased in the Statement of Assets and Liabilities. Losses may
arise due to changes in the value of the underlying securities prior to settlement date or if the counterparty does not perform under the contract’s terms, or if the issuer does not issue the securities due to political, economic or other
factors. At the time that it enters into a when-issued or delayed delivery transaction, the fund is required to have sufficient cash and/or liquid securities to cover its commitments.
Tax Matters and Distributions
— The fund intends to qualify as a regulated investment company, as defined under Subchapter M of the Internal Revenue Code, and to distribute all of its taxable income, including realized capital gains. As a result, no provision for federal
income tax is required. The fund’s federal tax returns, when filed, will remain subject to examination by the Internal Revenue Service for a three year period. Management has analyzed the fund’s tax positions taken on federal and state
tax returns for all open tax years and does not believe that there are any uncertain tax positions that require recognition of a tax liability. Foreign taxes, if any, have been accrued by the fund in the accompanying financial statements in
accordance with the applicable foreign tax law. Foreign income taxes may be withheld by certain countries in which the fund invests. Additionally, capital gains realized by the fund on securities issued in or by certain foreign countries may be
subject to capital gains tax imposed by those countries.
Distributions to shareholders are recorded on the ex-dividend
date. The fund seeks to pay monthly distributions based on an annual rate of 8.00% of the fund’s average monthly net asset value. As a result, distributions may exceed actual earnings which may result in a tax return of capital. Income and
capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles. Certain capital accounts in the financial statements are periodically adjusted for permanent
differences in order to reflect their
Notes to Financial
Statements (unaudited) - continued
tax character. These adjustments have no impact on net assets or net asset
value per share. Temporary differences which arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future.
Book/tax differences primarily relate to defaulted bonds,
amortization and accretion of debt securities, wash sale loss deferrals, and straddle loss deferrals.
For the six months ended May 31, 2022, the amount of
distributions estimated to be a tax return of capital was approximately $4,031,682 which is reported as distributions from other sources in the Statements of Changes in Net Assets. All or a portion of this amount may be redesignated as capital gains
at fiscal year end.
The tax character of distributions
declared to shareholders for the last fiscal year is as follows:
|
Year
ended 11/30/21 |
Ordinary
income (including any short-term capital gains) |
$18,569,733
|
Tax
return of capital (b) |
12,344,248
|
Total
distributions |
$30,913,981
|
(b)
|
Distributions
in excess of tax basis earnings and profits are reported in the financial statements as a tax return of capital. |
The federal tax cost and the tax basis components of
distributable earnings were as follows:
As
of 5/31/22 |
|
Cost
of investments |
$469,615,245
|
Gross
appreciation |
1,356,275
|
Gross
depreciation |
(52,135,738)
|
Net
unrealized appreciation (depreciation) |
$
(50,779,463) |
As
of 11/30/21 |
|
Capital
loss carryforwards |
(2,612,162)
|
Other
temporary differences |
(115,778)
|
Net
unrealized appreciation (depreciation) |
(10,074,823)
|
The aggregate cost above includes
prior fiscal year end tax adjustments, if applicable.
As
of November 30, 2021, the fund had capital loss carryforwards available to offset future realized gains. These net capital losses may be carried forward indefinitely and their character is retained as short-term and/or long-term losses. Such losses
are characterized as follows:
(3) Transactions with
Affiliates
Investment Adviser — The fund has an investment advisory agreement with MFS to provide overall investment management and related administrative services and facilities to the fund. The
management fee is computed daily and paid monthly at an annual rate of 0.32% of the fund’s average daily net assets and 4.57% of gross income less interest expense from leveraging. Gross income is calculated based on tax elections
Notes to Financial
Statements (unaudited) - continued
that generally include the accretion of discount and exclude the amortization
of premium, which may differ from investment income reported in the Statement of Operations. The management fee, from net assets and gross income, incurred for the six months ended May 31, 2022 was equivalent to an annual effective rate of 0.55% of
the fund’s average daily net assets.
Transfer Agent — The fund engages Computershare Trust Company, N.A. (“Computershare”) as the sole transfer agent for the fund. MFS Service Center, Inc. (MFSC) monitors and supervises the activities of Computershare
for an agreed upon fee approved by the Board of Trustees. For the six months ended May 31, 2022, these fees paid to MFSC amounted to $7,625.
Administrator — MFS
provides certain financial, legal, shareholder communications, compliance, and other administrative services to the fund. Under an administrative services agreement, the fund reimburses MFS the costs incurred to provide these services. The fund is
charged an annual fixed amount of $17,500 plus a fee based on average daily net assets. The administrative services fee incurred for the six months ended May 31, 2022 was equivalent to an annual effective rate of 0.0174% of the fund's average daily
net assets.
Trustees’ and Officers’
Compensation — The fund pays compensation to independent Trustees in the form of a retainer, attendance fees, and additional compensation to Board and Committee chairpersons. The fund does not pay compensation
directly to Trustees or officers of the fund who are also officers of the investment adviser, all of whom receive remuneration from MFS for their services to the fund. Certain officers and Trustees of the fund are officers or directors of MFS and
MFSC.
Other
— The fund invests in the MFS Institutional Money Market Portfolio which is managed by MFS and seeks current income consistent with preservation of capital and liquidity. This money market fund does not pay a
management fee to MFS but does incur investment and operating costs.
The fund is permitted to engage in purchase and sale
transactions with funds and accounts for which MFS serves as investment adviser or sub-adviser (“cross-trades”) pursuant to a policy adopted by the Board of Trustees. This policy has been designed to ensure that cross-trades conducted by
the fund comply with Rule 17a-7 under the Investment Company Act of 1940. During the six months ended May 31, 2022, the fund engaged in purchase and sale transactions pursuant to this policy, which amounted to $138,535 and $261,514, respectively.
The sales transactions resulted in net realized gains (losses) of $(834).
(4) Portfolio Securities
For the six months ended May 31, 2022, purchases and sales of
investments, other than purchased option transactions and short-term obligations, were as follows:
|
Purchases
|
Sales
|
U.S.
Government securities |
$52,531,006
|
$29,595,305
|
Non-U.S.
Government securities |
134,845,336
|
152,536,029
|
Notes to Financial
Statements (unaudited) - continued
(5) Shares of Beneficial Interest
The fund's Declaration of Trust permits the Trustees to issue
an unlimited number of full and fractional shares of beneficial interest. The Trustees have authorized the repurchase by the fund of up to 10% annually of its own shares of beneficial interest.
The fund repurchased 228,537 shares of beneficial interest during the six
months ended May 31, 2022 at an average price per share of $6.63 and a weighted average discount of 8.29% per share. During the year ended November 30, 2021, the fund did not repurchase any shares. Transactions in fund shares were as follows:
|
Six
months ended 5/31/22 |
|
Year
ended 11/30/21 |
|
Shares
|
Amount
|
|
Shares
|
Amount
|
Shares
issued to shareholders in reinvestment of distributions |
43,796
|
$360,439
|
|
174,940
|
$1,498,406
|
Capital
shares repurchased |
(228,537)
|
(1,516,009)
|
|
—
|
—
|
Net
change |
(184,741)
|
$(1,155,570)
|
|
174,940
|
$1,498,406
|
(6) Loan Agreement
The fund has a credit agreement with a bank for a revolving
secured line of credit that can be drawn upon up to $100,000,000. At May 31, 2022, the fund had outstanding borrowings under this agreement in the amount of $100,000,000, which are secured by a lien on the fund’s assets. The loan’s
carrying value in the fund’s Statement of Assets and Liabilities approximates its fair value. The loan value as of the reporting date is considered level 2 under the fair value hierarchy. The credit agreement matures on August 19, 2022. The
Trustees approved the renewal of the revolving secured line of credit up to the amount of $100,000,000 on substantially similar terms for a 365 day period which matures on August 19, 2023. Borrowings under the agreement can be made for liquidity or
leverage purposes. Interest is charged at a rate per annum equal to LIBOR plus an agreed upon spread with the option to choose LIBOR periods of overnight, 1, 3, or 6 months, or at the option of the borrower an alternate base rate plus an agreed upon
spread. The fund incurred interest expense of $444,402 during the period, which is included in “Interest expense and fees” in the Statement of Operations. The fund may also be charged a commitment fee based on the average daily unused
portion of the revolving secured line of credit. The fund did not incur a commitment fee during the period. For the six months ended May 31, 2022, the average loan balance was $100,000,000 at a weighted average annual interest rate of 0.89%. The
fund is subject to certain covenants including, but not limited to, requirements with respect to asset coverage, portfolio diversification and liquidity.
Notes to Financial
Statements (unaudited) - continued
(7) 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 |
$6,871,350
|
$135,857,573
|
$135,173,591
|
$—
|
$—
|
$7,555,332
|
Affiliated
Issuers |
Dividend
Income |
Capital
Gain Distributions |
MFS
Institutional Money Market Portfolio |
$14,258
|
$—
|
(8) LIBOR Transition
Certain of the fund's investments, including investments in
certain debt instruments and derivatives (if any), as well as borrowings by the fund and certain other contractual arrangements of the fund, may be based on the London Interbank Offered Rate (“LIBOR”). In 2017, the regulatory authority
that oversees financial services firms in the United Kingdom announced plans to transition away from LIBOR by the end of 2021. In March 2021, the administrator of LIBOR announced the extension of the publication of the more commonly used U.S. dollar
LIBOR settings to the end of June 2023. Although the full impacts of the transition away from LIBOR are not fully known, the transition may result in, among other things, an increase in volatility or illiquidity of the markets for instruments that
currently rely on LIBOR to determine interest rates and this could have an adverse impact on the fund's performance. With respect to the fund's accounting for investments, including investments in certain debt instruments and derivatives, as well as
borrowings by the fund and any other contractual arrangements of the fund that undergo reference rate-related modifications as a result of the transition, management will rely upon the relief provided by FASB Codification Topic 848 – Reference
Rate Reform (Topic 848). The guidance in Topic 848 permits the fund to account for those modified contracts as a continuation of the existing contracts. Management is still evaluating the impact to the fund of the June 30, 2023 planned
discontinuation of the more commonly used U.S. dollar LIBOR settings.
(9) Russia and Ukraine Conflict
The fund invests in securities and/or derivative instruments
that are economically tied to Russia and/or Ukraine. Escalation of the conflict between Russia and Ukraine in late February 2022 caused market volatility and disruption in the tradability of Russian securities, including closure of the local
securities market, temporary restriction on securities sales by non-residents, and disruptions to clearance and payment systems. To the extent that the fund is unable to sell securities, whether due to market constraints or to the sanctions imposed
on Russia by the United States and other countries, those securities are considered illiquid and the value of those securities reflects their illiquid classification. Management continues to monitor these events and to evaluate the related impacts
on fund performance.
Report of Independent
Registered Public Accounting Firm
To the Shareholders
and the Board of Trustees of MFS Charter Income Trust
Results of Review of Interim Financial Statements
We have reviewed the accompanying statement of assets and
liabilities of MFS Charter Income Trust (the “Fund”), including the portfolio of investments, as of May 31, 2022, and the related statements of operations, changes in net assets, cash flows and financial highlights for the six-month
period then ended and the related notes (collectively referred to as the “interim financial statements”). Based on our review, we are not aware of any material modifications that should be made to the interim financial statements for
them to be in conformity with U.S. generally accepted accounting principles.
We have previously audited, in accordance with the standards of
the Public Company Accounting Oversight Board (United States) (“PCAOB”), the statement of changes in net assets for the year ended November 30, 2021 and the financial highlights for each of the five years in the period then ended; and in
our report dated January 14, 2022, we expressed an unqualified opinion on those financial statements.
Basis for Review Results
These financial statements are the responsibility of the Fund's
management. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the SEC and the PCAOB.
We conducted our review in accordance with the standards of the PCAOB. A review of interim financial statements consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters.
It is substantially less in scope than an audit conducted in accordance with the standards of the PCAOB, the objective of which is the expression of an opinion regarding the financial statements taken as a whole. Accordingly, we do not express such
an opinion.
Boston,
Massachusetts
July 15, 2022
Proxy
Voting Policies and Information
MFS votes proxies on
behalf of the fund pursuant to proxy voting policies and procedures that are available without charge, upon request, by calling 1-800-225-2606, by visiting mfs.com/proxyvoting, or by visiting the SEC’s
Web site at http://www.sec.gov.
Information regarding how the fund voted proxies relating to
portfolio securities during the most recent twelve-month period ended June 30 is available by August 31 of each year without charge by visiting mfs.com/proxyvoting, or by visiting the SEC’s Web site at http://www.sec.gov.
Quarterly Portfolio Disclosure
The fund files a complete schedule of portfolio holdings with
the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s Web site at
http://www.sec.gov. A shareholder can obtain the portfolio holdings report for the first and third quarters of the fund's fiscal year at
mfs.com/closedendfunds by choosing the fund's name and then scrolling to the “Resources” section and clicking on the “Prospectus and Reports” tab.
Further Information
From time to time, MFS may post important information about the
fund or the MFS Funds on the MFS Web site (mfs.com). This information is available at https://www.mfs.com/announcements or at
mfs.com/closedendfunds by choosing the fund's name and then scrolling to the “Resources” section and clicking on the “Announcements” tab, if any.
Additional information about the fund (e.g., performance,
dividends and the fund’s price history) is also available at mfs.com/closedendfunds by choosing the fund's name, if any.
INFORMATION ABOUT FUND CONTRACTS AND LEGAL CLAIMS
The fund has entered into contractual arrangements with an
investment adviser, administrator, transfer agent, and custodian who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these
contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
Under the Trust’s By-Laws and Declaration of Trust, any
claims asserted against or on behalf of the MFS Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.
CONTACT US
TRANSFER AGENT, REGISTRAR, AND
DIVIDEND DISBURSING
AGENT
CALL
1-800-637-2304
9 a.m. to 5 p.m. Eastern time
WRITE
Computershare Trust Company, N.A.
P.O. Box 505005
Louisville, KY 40233-5005
New York Stock Exchange Symbol: MCR
Item 1(b):
A copy of the notice transmitted to the Registrants shareholders in reliance on Rule 30e-3 of the Investment
Company Act of 1940, as amended that contains disclosure specified by paragraph (c)(3) of Rule 30e-3 is attached hereto as
EX-99.30e-3Notice.