Portfolio of Investments
2/28/26 (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 – 99.1%
|
||||
|
U.S. Bonds – 94.6%
|
||||
|
Asset-Backed & Securitized – 4.3%
|
||||
|
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 0.991%, 11/15/2054 (i)
|
|
$
|
1,144,914
|
$39,197
|
|
ACREC 2021-FL1 Ltd., “AS”, FLR, 5.281% ((SOFR - 1mo. + 0.11448%) + 1.5%), 10/16/2036 (n)
|
|
|
82,250
|
82,270
|
|
AREIT 2022-CRE6 Trust, “AS”, FLR, 5.31% (SOFR - 30 day + 1.65%), 1/20/2037 (n)
|
|
|
512,000
|
510,195
|
|
ARI Fleet Lease Trust, 2023-B, “A2”, 6.05%, 7/15/2032 (n)
|
|
|
24,947
|
25,109
|
|
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.191%, 7/15/2054 (i)
|
|
|
1,054,800
|
50,185
|
|
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.538%, 2/15/2054 (i)
|
|
|
935,623
|
56,319
|
|
BBCMS Mortgage Trust, 2022-C18, “XA”, 0.437%, 12/15/2055 (i)
|
|
|
1,194,466
|
39,222
|
|
BDS 2024-FL13 Ltd., “A”, FLR, 5.242% (SOFR - 1mo. + 1.5762%), 9/19/2039 (n)
|
|
|
100,000
|
100,241
|
|
Benchmark 2021-B23 Mortgage Trust, “XA”, 1.254%, 2/15/2054 (i)
|
|
|
1,943,911
|
85,975
|
|
Benchmark 2021-B24 Mortgage Trust, “XA”, 1.128%, 3/15/2054 (i)
|
|
|
1,157,655
|
45,358
|
|
Benchmark 2021-B26 Mortgage Trust, “XA”, 0.843%, 6/15/2054 (i)
|
|
|
1,545,141
|
47,768
|
|
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.232%, 7/15/2054 (i)
|
|
|
1,409,340
|
64,014
|
|
Benchmark 2021-B28 Mortgage Trust, “XA”, 1.237%, 8/15/2054 (i)
|
|
|
2,136,831
|
101,000
|
|
Benchmark 2021-B29 Mortgage Trust, “XA”, 1.01%, 9/15/2054 (i)
|
|
|
1,858,201
|
62,264
|
|
Business Jet Securities LLC, 2024-1A, “A”, 6.197%, 5/15/2039 (n)
|
|
|
56,947
|
58,921
|
|
BXMT 2021-FL4 Ltd., “AS”, FLR, 5.078% ((SOFR - 1mo. + 0.11448%) + 1.3%), 5/15/2038 (n)
|
|
|
345,000
|
342,884
|
|
Chesapeake Funding II LLC, 2023-2A, “A2”, FLR, 4.758% (SOFR - 30 day + 1.1%), 10/15/2035 (n)
|
|
|
111,113
|
111,577
|
|
Citigroup Commercial Mortgage Trust, 2019-XA, “C7”, 0.815%, 12/15/2072 (i)(n)
|
|
|
1,272,232
|
35,248
|
|
Commercial Mortgage Pass-Through Certificates, 2021-BN31, “XA”, 1.278%, 2/15/2054 (i)
|
|
|
1,464,335
|
72,287
|
|
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.757%, 4/15/2054 (i)
|
|
|
985,664
|
27,293
|
|
Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.024%, 6/15/2064 (i)
|
|
|
977,409
|
38,375
|
|
GLS Auto Select Receivables Trust, 2026-1A, “A2”, 4.04%, 11/15/2028 (n)
|
|
|
126,000
|
125,996
|
|
LoanCore 2021-CRE5 Ltd., “AS”, FLR, 5.524% ((SOFR - 1mo. + 0.11448%) + 1.75%), 7/15/2036 (n)
|
|
|
74,405
|
74,312
|
|
LoanCore 2021-CRE6 Ltd., “AS”, FLR, 5.424% ((SOFR - 1mo. + 0.11448%) + 1.65%), 11/15/2038 (n)
|
|
|
500,000
|
500,297
|
|
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 0.806%, 12/15/2051 (i)
|
|
|
1,451,482
|
27,337
|
|
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.26%, 5/15/2054 (i)
|
|
|
719,776
|
30,778
|
|
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.141%, 6/15/2054 (i)
|
|
|
1,022,987
|
37,698
|
|
Morgan Stanley Capital I Trust, 2021-L7, “XA”, 0.995%, 10/15/2054 (i)
|
|
|
3,232,258
|
119,489
|
|
Morgan Stanley Residential Mortgage Loan Trust, 2026-INV1, “A9”, FLR, 4.807% (SOFR - 1mo. + 1.15%), 2/25/2061 (n)
|
|
|
106,472
|
106,511
|
|
New Residential Mortgage Loan Trust, 2026-NQM2, “A1”, 4.743%, 12/25/2065 (n)
|
|
|
197,028
|
197,105
|
|
New Residential Mortgage Loan Trust, 2026-NQM3, “A1”, 4.833%, 2/25/2066 (n)
|
|
|
391,268
|
391,574
|
|
OBX Trust, 2024-NQM1, “A2”, 6.253%, 11/25/2063 (n)
|
|
|
56,850
|
57,244
|
|
PFS Financing Corp., 2023-C, “B”, 5.91%, 10/15/2028 (n)
|
|
|
63,000
|
63,555
|
|
PMT Loan Trust, 2026-INV2, “A35”, FLR, 4.81% (SOFR - 1mo. + 1.15%), 1/25/2057 (n)
|
|
|
389,574
|
389,566
|
|
Provident Funding Mortgage Trust, 2024-1, “A3”, 5.5%, 12/25/2054 (n)
|
|
|
119,423
|
120,688
|
|
Santander Drive Auto Receivables Trust, 2026-1, “A2”, 4.04%, 3/15/2029
|
|
|
129,000
|
129,048
|
|
Verus Securitization Trust, 2024-1, “A2”, 5.915%, 1/25/2069 (n)
|
|
|
48,243
|
48,498
|
|
Verus Securitization Trust, 2024-4, “A1”, 6.218%, 6/25/2069 (n)
|
|
|
69,306
|
70,189
|
|
Wells Fargo Commercial Mortgage Trust, 2018-C48, “XA”, 0.928%, 1/15/2052 (i)(n)
|
|
|
805,880
|
16,630
|
|
|
|
|
|
$4,502,217
|
|
Broadcasting – 0.5%
|
||||
|
Walt Disney Co., 3.5%, 5/13/2040
|
|
$
|
612,000
|
$518,786
|
|
Cable TV – 0.1%
|
||||
|
Time Warner Cable, Inc., 4.5%, 9/15/2042
|
|
$
|
100,000
|
$78,861
|
|
Consumer Products – 0.2%
|
||||
|
Haleon US Capital LLC, 3.625%, 3/24/2032
|
|
$
|
250,000
|
$240,880
|
|
Consumer Services – 0.1%
|
||||
|
Conservation Fund, 3.474%, 12/15/2029
|
|
$
|
159,000
|
$153,814
|
1
Portfolio of Investments (unaudited) – continued
|
Issuer
|
|
|
Shares/Par
|
Value ($)
|
|
Bonds – continued
|
||||
|
U.S. Bonds – continued
|
||||
|
Electronics – 0.6%
|
||||
|
Broadcom, Inc., 3.187%, 11/15/2036 (n)
|
|
$
|
750,000
|
$647,006
|
|
Food & Beverages – 0.5%
|
||||
|
JBS N.V./JBS USA Foods Group Holdings, Inc./JBS USA Food Co., 3%, 2/02/2029
|
|
$
|
488,000
|
$474,041
|
|
Tyson Foods, Inc., 5.15%, 8/15/2044
|
|
|
38,000
|
36,507
|
|
|
|
|
|
$510,548
|
|
Insurance – 0.5%
|
||||
|
Corebridge Financial, Inc., 3.85%, 4/05/2029
|
|
$
|
500,000
|
$494,279
|
|
Insurance - Health – 0.2%
|
||||
|
Humana, Inc., 3.7%, 3/23/2029
|
|
$
|
167,000
|
$164,203
|
|
Insurance - Property & Casualty – 0.1%
|
||||
|
Liberty Mutual Group, Inc., 3.951%, 10/15/2050 (n)
|
|
$
|
99,000
|
$74,078
|
|
Major Banks – 2.0%
|
||||
|
Bank of America Corp., 2.687% to 4/22/2031, FLR (SOFR - 1 day + 1.32%) to 4/22/2032
|
|
$
|
750,000
|
$694,441
|
|
JPMorgan Chase & Co., 2.58% to 4/22/2031, FLR (SOFR - 1 day + 1.25%) to 4/22/2032
|
|
|
750,000
|
692,186
|
|
Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR - 1 day + 3.12%) to 4/01/2031
|
|
|
588,000
|
574,942
|
|
State Street Corp., 3.152% to 3/30/2030, FLR (SOFR + 2.65%) to 3/30/2031
|
|
|
138,000
|
133,782
|
|
|
|
|
|
$2,095,351
|
|
Medical & Health Technology & Services – 0.8%
|
||||
|
Laboratory Corp. of America Holdings, 4.7%, 2/01/2045
|
|
$
|
106,000
|
$96,546
|
|
Montefiore Obligated Group, AGM, 5.246%, 11/01/2048
|
|
|
614,000
|
571,040
|
|
ProMedica Toledo Hospital, “B”, AGM, 5.75%, 11/15/2038
|
|
|
175,000
|
177,625
|
|
|
|
|
|
$845,211
|
|
Midstream – 0.1%
|
||||
|
Targa Resources Corp., 4.95%, 4/15/2052
|
|
$
|
109,000
|
$94,463
|
|
Mortgage-Backed – 31.0%
|
||||
|
Fannie Mae, 3%, 11/01/2028 - 11/01/2046
|
|
$
|
568,858
|
$537,900
|
|
Fannie Mae, 3.5%, 1/25/2030 - 7/01/2046
|
|
|
759,484
|
736,800
|
|
Fannie Mae, 6.5%, 5/01/2031 - 5/01/2036
|
|
|
92,094
|
96,349
|
|
Fannie Mae, 2.5%, 11/01/2031 - 10/01/2046
|
|
|
149,327
|
140,758
|
|
Fannie Mae, 3.5%, 12/25/2031 - 2/25/2036 (i)
|
|
|
35,638
|
2,405
|
|
Fannie Mae, 3%, 2/25/2033 (i)
|
|
|
57,162
|
3,767
|
|
Fannie Mae, 5.5%, 10/01/2033 - 1/01/2055
|
|
|
687,111
|
708,682
|
|
Fannie Mae, 6%, 8/01/2034 - 9/01/2054
|
|
|
466,005
|
481,050
|
|
Fannie Mae, 5%, 6/01/2035 - 3/25/2042
|
|
|
212,442
|
219,096
|
|
Fannie Mae, 4%, 9/01/2040 - 7/01/2047
|
|
|
1,453,737
|
1,445,756
|
|
Fannie Mae, 4.5%, 2/01/2041 - 11/01/2042
|
|
|
253,127
|
256,451
|
|
Fannie Mae, 2.25%, 4/25/2041
|
|
|
41,282
|
40,065
|
|
Fannie Mae, 1.75%, 9/25/2041
|
|
|
59,323
|
57,443
|
|
Fannie Mae, 2.75%, 9/25/2042
|
|
|
46,523
|
45,453
|
|
Fannie Mae, 4.031%, 2/25/2043
|
|
|
13,788
|
13,741
|
|
Fannie Mae, 4.082%, 12/25/2045
|
|
|
22,056
|
21,843
|
|
Fannie Mae, 2%, 4/25/2046
|
|
|
46,736
|
44,102
|
|
Fannie Mae, 2.218%, 9/25/2046 (i)
|
|
|
71,308
|
8,633
|
|
Fannie Mae, 4%, 9/25/2050 (i)
|
|
|
106,596
|
20,390
|
|
Fannie Mae, 2.5%, 2/25/2051 (i)
|
|
|
70,512
|
10,072
|
|
Fannie Mae, 6.667%, 7/25/2054
|
|
|
115,729
|
119,852
|
|
Fannie Mae, 6.107%, 3/25/2055
|
|
|
163,080
|
165,343
|
|
Fannie Mae, TBA, 4.5%, 3/12/2056
|
|
|
75,000
|
74,164
|
|
Fannie Mae, UMBS, 2%, 2/01/2042 - 3/01/2052
|
|
|
1,145,428
|
972,410
|
2
Portfolio of Investments (unaudited) – continued
|
Issuer
|
|
|
Shares/Par
|
Value ($)
|
|
Bonds – continued
|
||||
|
U.S. Bonds – continued
|
||||
|
Mortgage-Backed – continued
|
||||
|
Fannie Mae, UMBS, 2.5%, 3/01/2042 - 5/01/2052
|
|
$
|
2,874,315
|
$2,533,102
|
|
Fannie Mae, UMBS, 1.5%, 3/01/2051
|
|
|
106,102
|
84,451
|
|
Fannie Mae, UMBS, 3%, 5/01/2051 - 6/01/2052
|
|
|
1,087,358
|
989,878
|
|
Fannie Mae, UMBS, 4%, 8/01/2051
|
|
|
81,305
|
80,160
|
|
Fannie Mae, UMBS, 4.5%, 9/01/2052
|
|
|
67,093
|
66,849
|
|
Fannie Mae, UMBS, 5.5%, 11/01/2052
|
|
|
236,402
|
241,233
|
|
Fannie Mae, UMBS, 6%, 12/01/2052 - 11/01/2054
|
|
|
519,228
|
534,900
|
|
Fannie Mae, UMBS, 5%, 5/01/2053
|
|
|
261,007
|
263,831
|
|
Freddie Mac, 2.57%, 7/25/2026
|
|
|
608,761
|
605,222
|
|
Freddie Mac, 3.12%, 9/25/2026
|
|
|
188,603
|
187,589
|
|
Freddie Mac, 2.525%, 10/25/2026
|
|
|
97,187
|
96,396
|
|
Freddie Mac, 2.797%, 12/25/2026
|
|
|
21,362
|
21,305
|
|
Freddie Mac, 3.413%, 12/25/2026
|
|
|
297,200
|
295,870
|
|
Freddie Mac, 1.373%, 3/25/2027 (i)
|
|
|
391,000
|
4,893
|
|
Freddie Mac, 3.243%, 4/25/2027
|
|
|
390,961
|
388,525
|
|
Freddie Mac, 0.561%, 7/25/2027 (i)
|
|
|
7,943,324
|
48,839
|
|
Freddie Mac, 0.403%, 8/25/2027 (i)
|
|
|
6,081,769
|
33,279
|
|
Freddie Mac, 0.294%, 1/25/2028 (i)
|
|
|
10,923,544
|
56,641
|
|
Freddie Mac, 0.3%, 1/25/2028 (i)
|
|
|
4,577,384
|
23,907
|
|
Freddie Mac, 0.128%, 2/25/2028 (i)
|
|
|
13,147,824
|
35,936
|
|
Freddie Mac, 0.107%, 4/25/2028 (i)
|
|
|
8,504,985
|
23,722
|
|
Freddie Mac, 4.86%, 10/25/2028
|
|
|
52,609
|
54,056
|
|
Freddie Mac, 0.415%, 5/25/2029 (i)
|
|
|
2,157,981
|
28,035
|
|
Freddie Mac, 1.005%, 7/25/2029 (i)
|
|
|
1,648,656
|
43,223
|
|
Freddie Mac, 1.081%, 7/25/2029 (i)
|
|
|
1,214,328
|
39,297
|
|
Freddie Mac, 1.135%, 8/25/2029 (i)
|
|
|
2,477,527
|
86,541
|
|
Freddie Mac, 0.558%, 1/25/2030 (i)
|
|
|
759,439
|
15,747
|
|
Freddie Mac, 1.583%, 1/25/2030 (i)
|
|
|
249,914
|
13,228
|
|
Freddie Mac, 1.796%, 4/25/2030 (i)
|
|
|
600,527
|
39,599
|
|
Freddie Mac, 1.839%, 4/25/2030 (i)
|
|
|
1,277,474
|
87,690
|
|
Freddie Mac, 1.666%, 5/25/2030 (i)
|
|
|
612,877
|
38,971
|
|
Freddie Mac, 1.798%, 5/25/2030 (i)
|
|
|
1,389,954
|
96,021
|
|
Freddie Mac, 1.109%, 6/25/2030 (i)
|
|
|
877,014
|
35,712
|
|
Freddie Mac, 1.34%, 6/25/2030 (i)
|
|
|
559,633
|
28,992
|
|
Freddie Mac, 1.597%, 8/25/2030 (i)
|
|
|
633,757
|
40,130
|
|
Freddie Mac, 1.168%, 9/25/2030 (i)
|
|
|
314,905
|
15,062
|
|
Freddie Mac, 1.079%, 11/25/2030 (i)
|
|
|
789,331
|
36,205
|
|
Freddie Mac, 0.319%, 1/25/2031 (i)
|
|
|
2,830,161
|
34,435
|
|
Freddie Mac, 0.779%, 1/25/2031 (i)
|
|
|
873,865
|
31,255
|
|
Freddie Mac, 0.935%, 1/25/2031 (i)
|
|
|
663,744
|
26,998
|
|
Freddie Mac, 0.355%, 2/25/2031 (i)
|
|
|
734,976
|
14,607
|
|
Freddie Mac, 0.509%, 3/25/2031 (i)
|
|
|
2,250,508
|
47,465
|
|
Freddie Mac, 0.731%, 3/25/2031 (i)
|
|
|
973,113
|
32,868
|
|
Freddie Mac, 1.213%, 5/25/2031 (i)
|
|
|
399,402
|
22,129
|
|
Freddie Mac, 0.937%, 7/25/2031 (i)
|
|
|
489,989
|
22,541
|
|
Freddie Mac, 1.214%, 7/25/2031 (i)
|
|
|
984,709
|
57,929
|
|
Freddie Mac, 0.535%, 9/25/2031 (i)
|
|
|
2,619,786
|
70,035
|
|
Freddie Mac, 0.854%, 9/25/2031 (i)
|
|
|
2,591,485
|
106,710
|
|
Freddie Mac, 0.348%, 11/25/2031 (i)
|
|
|
3,899,181
|
70,794
|
|
Freddie Mac, 0.495%, 12/25/2031 (i)
|
|
|
3,898,081
|
97,196
|
|
Freddie Mac, 0.567%, 12/25/2031 (i)
|
|
|
644,718
|
17,930
|
|
Freddie Mac, 0.321%, 6/25/2032 (i)
|
|
|
4,502,658
|
86,490
|
|
Freddie Mac, 0.154%, 11/25/2032 (i)
|
|
|
3,670,222
|
45,267
|
|
Freddie Mac, 0.265%, 5/25/2033 (i)
|
|
|
700,000
|
14,276
|
|
Freddie Mac, 3.5%, 8/15/2033 - 10/25/2058
|
|
|
1,599,755
|
1,554,151
|
3
Portfolio of Investments (unaudited) – continued
|
Issuer
|
|
|
Shares/Par
|
Value ($)
|
|
Bonds – continued
|
||||
|
U.S. Bonds – continued
|
||||
|
Mortgage-Backed – continued
|
||||
|
Freddie Mac, 0.129%, 8/25/2033 (i)
|
|
$
|
2,899,969
|
$34,827
|
|
Freddie Mac, 0.176%, 10/25/2033 (i)
|
|
|
2,363,261
|
37,910
|
|
Freddie Mac, 0.905%, 9/25/2034 (i)
|
|
|
516,084
|
35,078
|
|
Freddie Mac, 0.055%, 1/25/2035 (i)
|
|
|
4,660,229
|
42,247
|
|
Freddie Mac, 0.246%, 1/25/2035 (i)
|
|
|
1,866,669
|
42,302
|
|
Freddie Mac, 3.972%, 4/15/2035
|
|
|
3,560
|
3,543
|
|
Freddie Mac, 6%, 5/01/2035 - 4/01/2055
|
|
|
560,164
|
579,277
|
|
Freddie Mac, 5.5%, 8/01/2035 - 6/01/2036
|
|
|
109,462
|
114,443
|
|
Freddie Mac, 5%, 2/15/2036 - 12/01/2044
|
|
|
485,065
|
499,747
|
|
Freddie Mac, 5.5%, 2/15/2036 (i)
|
|
|
16,850
|
2,532
|
|
Freddie Mac, 6.5%, 5/01/2037
|
|
|
18,127
|
18,976
|
|
Freddie Mac, 4%, 8/01/2037 - 4/01/2044
|
|
|
120,705
|
120,123
|
|
Freddie Mac, 3%, 1/01/2038 - 2/25/2059
|
|
|
962,885
|
904,405
|
|
Freddie Mac, 4.5%, 7/01/2039 - 7/01/2055
|
|
|
273,777
|
275,279
|
|
Freddie Mac, 4.5%, 12/15/2040 (i)
|
|
|
2,023
|
188
|
|
Freddie Mac, 2.5%, 3/25/2051 (i)
|
|
|
107,873
|
17,322
|
|
Freddie Mac, 5.117%, 10/25/2053
|
|
|
30,521
|
31,039
|
|
Freddie Mac, 5.897%, 12/25/2053
|
|
|
139,507
|
140,129
|
|
Freddie Mac, 5.167%, 12/25/2054
|
|
|
510,932
|
517,906
|
|
Freddie Mac, 3.25%, 11/25/2061
|
|
|
161,964
|
153,225
|
|
Freddie Mac, UMBS, 2%, 2/01/2042 - 3/01/2052
|
|
|
1,006,601
|
848,156
|
|
Freddie Mac, UMBS, 2.5%, 7/01/2051 - 9/01/2052
|
|
|
935,975
|
817,082
|
|
Freddie Mac, UMBS, 3.5%, 8/01/2051 - 5/01/2052
|
|
|
100,192
|
95,162
|
|
Freddie Mac, UMBS, 3%, 4/01/2052 - 6/01/2052
|
|
|
522,895
|
474,909
|
|
Freddie Mac, UMBS, 4%, 5/01/2052
|
|
|
147,959
|
144,841
|
|
Freddie Mac, UMBS, 5%, 7/01/2052
|
|
|
301,374
|
304,709
|
|
Freddie Mac, UMBS, 5.5%, 4/01/2053
|
|
|
56,405
|
58,321
|
|
Ginnie Mae, 3.5%, 8/20/2029 - 1/20/2043 (i)
|
|
|
196,157
|
22,581
|
|
Ginnie Mae, 5.5%, 7/15/2033 - 10/20/2053
|
|
|
600,129
|
616,741
|
|
Ginnie Mae, 5.649%, 8/20/2034
|
|
|
35,688
|
36,594
|
|
Ginnie Mae, 4%, 5/16/2039 - 7/20/2055
|
|
|
299,039
|
291,754
|
|
Ginnie Mae, 4%, 12/20/2039 - 8/16/2042 (i)
|
|
|
47,019
|
6,520
|
|
Ginnie Mae, 1.618%, 5/20/2041 (i)
|
|
|
99,530
|
9,989
|
|
Ginnie Mae, 4.5%, 9/20/2041 - 9/20/2052
|
|
|
737,096
|
735,627
|
|
Ginnie Mae, 3.5%, 4/15/2042 - 7/20/2043
|
|
|
496,960
|
481,565
|
|
Ginnie Mae, 2.5%, 6/20/2042 - 8/20/2052
|
|
|
1,552,908
|
1,373,662
|
|
Ginnie Mae, 3%, 4/20/2045 - 6/20/2052
|
|
|
1,165,994
|
1,075,194
|
|
Ginnie Mae, 2.5%, 2/20/2051 (i)
|
|
|
83,746
|
11,582
|
|
Ginnie Mae, 2%, 1/20/2052 - 4/20/2052
|
|
|
1,131,514
|
958,752
|
|
Ginnie Mae, 5%, 1/20/2053 - 3/20/2053
|
|
|
184,545
|
186,352
|
|
Ginnie Mae, 5.062%, 9/20/2053
|
|
|
355,759
|
362,950
|
|
Ginnie Mae, 4.961%, 10/20/2053
|
|
|
354,526
|
358,671
|
|
Ginnie Mae, 5.012%, 10/20/2053
|
|
|
374,598
|
379,426
|
|
Ginnie Mae, 4.711%, 2/20/2054
|
|
|
411,004
|
413,915
|
|
Ginnie Mae, 6.083%, 6/20/2055
|
|
|
167,161
|
171,590
|
|
Ginnie Mae, 6.157%, 6/20/2055
|
|
|
103,667
|
104,096
|
|
Ginnie Mae, 1.688%, 7/20/2055 (i)
|
|
|
142,634
|
7,249
|
|
Ginnie Mae, 6%, 11/20/2055
|
|
|
136,473
|
141,131
|
|
Ginnie Mae, 4.811%, 3/20/2064
|
|
|
51,480
|
51,836
|
|
Ginnie Mae, 4.476%, 7/20/2064
|
|
|
18,521
|
18,558
|
|
Ginnie Mae, 4.391%, 2/20/2067
|
|
|
53,914
|
54,346
|
|
Ginnie Mae, 5.173%, 3/20/2067
|
|
|
120,896
|
121,950
|
|
Ginnie Mae, 5.281%, 7/20/2067
|
|
|
151,933
|
153,781
|
|
Ginnie Mae, TBA, 5%, 3/15/2056
|
|
|
125,000
|
125,424
|
|
UMBS, TBA, 2%, 3/12/2056 - 4/25/2056
|
|
|
1,975,000
|
1,635,965
|
4
Portfolio of Investments (unaudited) – continued
|
Issuer
|
|
|
Shares/Par
|
Value ($)
|
|
Bonds – continued
|
||||
|
U.S. Bonds – continued
|
||||
|
Mortgage-Backed – continued
|
||||
|
UMBS, TBA, 5.5%, 3/12/2056
|
|
$
|
50,000
|
$50,802
|
|
|
|
|
|
$32,162,919
|
|
Municipals – 1.8%
|
||||
|
Chicago, IL, General Obligation, Taxable, “C”, AGM, 6.207%, 1/01/2036
|
|
$
|
615,000
|
$665,014
|
|
Illinois Sales Tax Securitization Corp., Second Lien, Taxable, “B”, BAM, 3.411%, 1/01/2043
|
|
|
240,000
|
195,869
|
|
New Jersey Turnpike Authority Rev., Taxable (Build America Bonds), “F”, 7.414%, 1/01/2040
|
|
|
32,000
|
39,189
|
|
Syracuse, NY, Industrial Development Agency PILOT Rev., Taxable (Carousel Center Project),
“B”, 5%, 1/01/2036 (z)
|
|
|
1,215,000
|
924,491
|
|
|
|
|
|
$1,824,563
|
|
Telecommunications - Wireless – 0.6%
|
||||
|
T-Mobile USA, Inc., 4.375%, 4/15/2040
|
|
$
|
650,000
|
$593,574
|
|
U.S. Government Agencies and Equivalents – 0.2%
|
||||
|
Small Business Administration, 2.21%, 2/01/2033
|
|
$
|
35,860
|
$33,990
|
|
Small Business Administration, 2.22%, 3/01/2033
|
|
|
61,857
|
58,793
|
|
Small Business Administration, 3.15%, 7/01/2033
|
|
|
49,366
|
47,996
|
|
Small Business Administration, 3.62%, 9/01/2033
|
|
|
43,115
|
42,755
|
|
|
|
|
|
$183,534
|
|
U.S. Treasury Obligations – 50.0%
|
||||
|
U.S. Treasury Bonds, 2.25%, 2/15/2027
|
|
$
|
1,921,000
|
$1,897,783
|
|
U.S. Treasury Bonds, 5.25%, 2/15/2029
|
|
|
572,000
|
603,036
|
|
U.S. Treasury Bonds, 0.625%, 5/15/2030
|
|
|
800,000
|
711,438
|
|
U.S. Treasury Bonds, 4.75%, 2/15/2037
|
|
|
336,000
|
358,851
|
|
U.S. Treasury Bonds, 4.375%, 2/15/2038
|
|
|
1,109,000
|
1,143,093
|
|
U.S. Treasury Bonds, 4.5%, 8/15/2039 (f)
|
|
|
4,503,100
|
4,621,131
|
|
U.S. Treasury Bonds, 3.25%, 5/15/2042
|
|
|
165,000
|
141,848
|
|
U.S. Treasury Bonds, 3.125%, 2/15/2043
|
|
|
453,700
|
378,946
|
|
U.S. Treasury Bonds, 2.875%, 5/15/2043
|
|
|
1,697,100
|
1,360,928
|
|
U.S. Treasury Bonds, 2.5%, 2/15/2045
|
|
|
4,017,000
|
2,948,415
|
|
U.S. Treasury Bonds, 5%, 5/15/2045
|
|
|
906,000
|
957,741
|
|
U.S. Treasury Bonds, 2.875%, 11/15/2046
|
|
|
3,470,000
|
2,659,023
|
|
U.S. Treasury Bonds, 4.25%, 8/15/2054
|
|
|
217,000
|
203,319
|
|
U.S. Treasury Bonds, 4.625%, 2/15/2055
|
|
|
899,000
|
896,577
|
|
U.S. Treasury Bonds, 4.75%, 8/15/2055
|
|
|
972,000
|
989,769
|
|
U.S. Treasury Notes, 0.75%, 5/31/2026
|
|
|
567,700
|
563,566
|
|
U.S. Treasury Notes, 0.875%, 6/30/2026
|
|
|
678,600
|
672,335
|
|
U.S. Treasury Notes, 2%, 11/15/2026 (f)
|
|
|
7,277,000
|
7,195,384
|
|
U.S. Treasury Notes, 3.875%, 3/31/2027
|
|
|
1,464,000
|
1,469,604
|
|
U.S. Treasury Notes, 3.875%, 5/31/2027
|
|
|
2,743,000
|
2,756,072
|
|
U.S. Treasury Notes, 3.875%, 7/31/2027
|
|
|
4,028,000
|
4,051,130
|
|
U.S. Treasury Notes, 3.75%, 8/15/2027
|
|
|
1,592,000
|
1,598,841
|
|
U.S. Treasury Notes, 3.625%, 8/31/2027
|
|
|
2,295,000
|
2,301,007
|
|
U.S. Treasury Notes, 3.375%, 12/31/2027
|
|
|
2,360,000
|
2,358,709
|
|
U.S. Treasury Notes, 4%, 2/29/2028
|
|
|
3,068,000
|
3,103,354
|
|
U.S. Treasury Notes, 3.625%, 9/30/2030
|
|
|
2,800,000
|
2,814,328
|
|
U.S. Treasury Notes, 4.625%, 4/30/2031
|
|
|
534,000
|
560,929
|
|
U.S. Treasury Notes, 4%, 4/30/2032
|
|
|
1,032,000
|
1,051,793
|
|
U.S. Treasury Notes, 4.25%, 5/15/2035
|
|
|
1,395,000
|
1,430,801
|
|
|
|
|
|
$51,799,751
|
5
Portfolio of Investments (unaudited) – continued
|
Issuer
|
|
|
Shares/Par
|
Value ($)
|
|
Bonds – continued
|
||||
|
U.S. Bonds – continued
|
||||
|
Utilities - Electric Power – 1.0%
|
||||
|
FirstEnergy Corp., 3.9%, 7/15/2027
|
|
$
|
694,000
|
$696,865
|
|
Pacific Gas & Electric Co., 5.45%, 6/15/2027
|
|
|
357,000
|
362,837
|
|
|
|
|
|
$1,059,702
|
|
Total U.S. Bonds
|
|
|
|
$98,043,740
|
|
Foreign Bonds – 4.5%
|
||||
|
Bermuda – 0.4%
|
||||
|
Government of Bermuda, 5%, 7/15/2032 (n)
|
|
$
|
400,000
|
$407,400
|
|
Chile – 0.7%
|
||||
|
Chile Electricity Lux MPC II S.à r.l., 6.01%, 1/20/2033 (n)
|
|
$
|
172,000
|
$180,799
|
|
Chile Electricity Lux MPC II S.à r.l., 5.58%, 10/20/2035 (n)
|
|
|
195,501
|
201,931
|
|
ENGIE Energia Chile S.A., 6.375%, 4/17/2034 (n)
|
|
|
200,000
|
214,628
|
|
Republic of Chile, 2.55%, 1/27/2032
|
|
|
200,000
|
180,670
|
|
|
|
|
|
$778,028
|
|
China – 0.5%
|
||||
|
Tencent Holdings Ltd., 2.88%, 4/22/2031 (n)
|
|
$
|
501,000
|
$478,629
|
|
India – 0.6%
|
||||
|
Export-Import Bank of India, 2.25%, 1/13/2031 (n)
|
|
$
|
317,000
|
$288,965
|
|
Indian Railway Finance Corp., 2.8%, 2/10/2031 (n)
|
|
|
376,000
|
350,509
|
|
|
|
|
|
$639,474
|
|
Indonesia – 0.3%
|
||||
|
PT Indofood Sukses Makmur Tbk, 4.805%, 4/27/2052
|
|
$
|
416,000
|
$352,530
|
|
Ireland – 0.3%
|
||||
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.3%, 1/30/2032
|
|
$
|
355,000
|
$331,748
|
|
Malaysia – 0.4%
|
||||
|
Dua Capital Ltd. (Federation of Malaysia), 2.78%, 5/11/2031
|
|
$
|
400,000
|
$373,758
|
|
Poland – 0.5%
|
||||
|
Bank Gospodarstwa Krajowego (Republic of Poland), 6.25%, 10/31/2028 (n)
|
|
$
|
264,000
|
$280,802
|
|
Republic of Poland, 5.5%, 3/18/2054
|
|
|
212,000
|
207,769
|
|
|
|
|
|
$488,571
|
|
United Kingdom – 0.7%
|
||||
|
B.A.T. Capital Corp., 5.35%, 8/15/2032
|
|
$
|
500,000
|
$524,993
|
|
Imperial Brands Finance PLC, 6.125%, 7/27/2027 (n)
|
|
|
200,000
|
205,474
|
|
|
|
|
|
$730,467
|
|
Uruguay – 0.1%
|
||||
|
Oriental Republic of Uruguay, 5.75%, 10/28/2034
|
|
$
|
96,000
|
$103,147
|
|
Total Foreign Bonds
|
|
|
$4,683,752
|
|
|
Total Bonds
|
|
$102,727,492
|
||
6
Portfolio of Investments (unaudited) – continued
|
Underlying/Expiration Date/Exercise Price (Rate)
|
Put/Call
|
Counterparty
|
Notional
Amount
|
Value ($)
|
|
Purchased Options – 0.0%
|
||||
|
OTC Swaptions – 0.0%
|
||||
|
1 Year Interest Rate Swap with Fund to pay 3.085% annually and receive 1-day SOFR annually –
8/30/2027 @ 3.085%
|
Put
|
Merrill Lynch International
|
$1,000,000
|
$3,570
|
|
1 Year Interest Rate Swap with Fund to receive 3.085% annually and pay 1-day SOFR annually –
8/30/2027 @ 3.085%
|
Call
|
Merrill Lynch International
|
1,000,000
|
4,214
|
|
Total Purchased Options
|
|
$7,784
|
||
|
Issuer
|
|
|
Shares/Par
|
|
|
Mutual Funds (h) – 1.9%
|
||||
|
Money Market Funds – 1.9%
|
|
|||
|
MFS Institutional Money Market Portfolio, 3.7% (v)
|
|
|
1,935,024
|
$1,935,218
|
|
|
||||
|
Other Assets, Less Liabilities – (1.0)%
|
|
(1,078,469
)
|
||
|
Net Assets – 100.0%
|
|
$103,592,025
|
||
|
(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 $1,935,218 and
$102,735,276, 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 $6,758,831,
representing 6.5% of net assets.
|
|
(v)
|
Affiliated issuer that is available only to investment companies managed by MFS. The
rate quoted for the MFS Institutional Money Market Portfolio is the
annualized seven-day yield of the fund at period end.
|
|
(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
|
|
Syracuse, NY, Industrial Development Agency PILOT Rev., Taxable (Carousel Center Project),
“B”, 5%, 1/01/2036
|
4/23/2019
|
$1,179,678
|
$924,491
|
|
% of Net assets
|
|
|
0.9%
|
|
The following abbreviations are used in this report and are defined:
|
|
|
AGM
|
Assured Guaranty Municipal
|
|
BAM
|
Build America Mutual
|
|
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.
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
TBA
|
To Be Announced
|
|
UMBS
|
Uniform Mortgage-Backed Security
|
|
Derivative Contracts at 2/28/26
|
||||||
|
Futures Contracts
|
||||||
|
Description
|
Long/
Short
|
Currency
|
Contracts
|
Notional
Amount
|
Expiration
Date
|
Value/Unrealized
Appreciation
(Depreciation)
|
|
Asset Derivatives
|
||||||
|
Interest Rate Futures
|
||||||
|
U.S. Treasury Note 10 yr
|
Long
|
USD
|
56
|
$6,373,500
|
June - 2026
|
$56,296
|
|
U.S. Treasury Note 2 yr
|
Long
|
USD
|
99
|
20,718,070
|
June - 2026
|
24,397
|
|
U.S. Treasury Note 5 yr
|
Long
|
USD
|
147
|
16,190,672
|
June - 2026
|
91,356
|
|
|
|
|
|
|
|
$172,049
|
7
Portfolio of Investments (unaudited) – continued
|
|
||||||
|
Futures Contracts − continued
|
||||||
|
Description
|
Long/
Short
|
Currency
|
Contracts
|
Notional
Amount
|
Expiration
Date
|
Value/Unrealized
Appreciation
(Depreciation)
|
|
Liability Derivatives
|
||||||
|
Interest Rate Futures
|
||||||
|
U.S. Treasury Ultra Bond 30 yr
|
Short
|
USD
|
5
|
$607,969
|
June - 2026
|
$(8,691
)
|
|
U.S. Treasury Ultra Note 10 yr
|
Short
|
USD
|
35
|
4,085,703
|
June - 2026
|
(43,062
)
|
|
|
|
|
|
|
|
$(51,753
)
|
|
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
|
|
|
|
|||||
|
11/26/27
|
USD
|
3,982,000
|
centrally cleared
|
1-day SOFR / Annually
|
3.2845% / Annually
|
$3,012
|
$—
|
$3,012
|
|
Liability Derivatives
|
|
|
|
|||||
|
Interest Rate Swaps
|
|
|
|
|||||
|
11/03/27
|
USD
|
4,001,000
|
centrally cleared
|
1-day SOFR / Annually
|
3.389% / Annually
|
$(2,586
)
|
$—
|
$(2,586
)
|
|
11/05/27
|
USD
|
3,967,000
|
centrally cleared
|
1-day SOFR / Annually
|
3.387% / Annually
|
(2,683
)
|
—
|
(2,683
)
|
|
|
|
|
|
|
|
$(5,269
)
|
$—
|
$(5,269
)
|
At February 28, 2026, the fund had liquid securities collateral with an aggregate
value of $556,464 to cover any collateral or margin obligations for certain derivative contracts.
See attached supplemental information. For more information see notes to financial
statements as disclosed in the most recent semiannual or annual report.
8
Supplemental Information
2/28/26 (unaudited)
The fund is an investment company and accordingly follows the investment company accounting
and reporting guidance of the Financial
Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial
Services - Investment Companies.
(1) Investment Valuations
Subject to its oversight, the fund's Board of Trustees has delegated primary responsibility
for determining or causing to be determined the value of the fund’s investments to MFS as the fund's adviser, pursuant to the fund’s valuation policy and procedures which have been adopted by the adviser and approved by the Board. In accordance with Rule 2a-5 under
the Investment Company Act of 1940, the Board of Trustees designated the adviser as the “valuation designee” of the fund. If the adviser, as valuation designee, determines that reliable market quotations are not readily available for an investment, the investment is valued at
fair value as determined in good faith by the adviser in accordance with the adviser’s fair valuation policy and procedures.
Under the fund's valuation policy and procedures, 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. 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. 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.
Under the fund’s valuation policy and procedures, market quotations are not considered to be readily available for debt instruments, floating rate loans, and many types of derivatives. These investments are generally valued
at fair value based on information from third-party pricing services or otherwise determined by the adviser in accordance with the adviser’s fair valuation policy and procedures. 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, spreads and other market data. Pricing
services generally value debt instruments assuming orderly transactions of institutional round lot sizes, but a fund may hold or transact
in such securities in smaller, odd lot sizes. In instances where a fund holds an odd lot size position in a debt instrument, such position will typically be valued using the pricing agent’s institutional round lot price for the debt instrument. Odd lots may trade at lower prices than institutional
round lots, and the fund may receive different prices when it sells odd lot positions than it would receive for sales of institutional
round lot positions. An investment may also be valued at fair value if the adviser determines that the investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign
exchange or market) and prior to the determination of the fund’s net asset value, or after the halt of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. The adviser generally relies on
third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets;
the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other
market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is
used, the value of an investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment
at the same time at which the fund determines its net
asset value per share.
Various inputs are used in determining the value of the fund's assets or liabilities.
These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels
of the fair value hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is
significant to the fair value measurement. The fund's assessment of the significance of a particular input to the fair value measurement
in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets
for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities,
interest rates, prepayment speed, and credit risk).
9
Supplemental Information (unaudited) – continued
Level 3 includes significant 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 and swap agreements. The following is a summary of the levels used as of February 28, 2026 in valuing the fund's assets and
liabilities:
|
Financial Instruments
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents
|
$—
|
$51,983,285
|
$—
|
$51,983,285
|
|
Non - U.S. Sovereign Debt
|
—
|
2,575,750
|
—
|
2,575,750
|
|
Municipal Bonds
|
—
|
1,824,563
|
—
|
1,824,563
|
|
U.S. Corporate Bonds
|
—
|
7,570,757
|
—
|
7,570,757
|
|
Residential Mortgage-Backed Securities
|
—
|
33,544,294
|
—
|
33,544,294
|
|
Commercial Mortgage-Backed Securities
|
—
|
1,949,757
|
—
|
1,949,757
|
|
Asset-Backed Securities (including CDOs)
|
—
|
1,171,085
|
—
|
1,171,085
|
|
Foreign Bonds
|
—
|
2,108,001
|
—
|
2,108,001
|
|
Purchased Options
|
—
|
7,784
|
—
|
7,784
|
|
Investment Companies
|
1,935,218
|
—
|
—
|
1,935,218
|
|
Total
|
$1,935,218
|
$102,735,276
|
$—
|
$104,670,494
|
|
Other Financial Instruments
|
|
|
|
|
|
Futures Contracts – Assets
|
$172,049
|
$—
|
$—
|
$172,049
|
|
Futures Contracts – Liabilities
|
(51,753
)
|
—
|
—
|
(51,753
)
|
|
Swap Agreements – Assets
|
—
|
3,012
|
—
|
3,012
|
|
Swap Agreements – Liabilities
|
—
|
(5,269
)
|
—
|
(5,269
)
|
For further information regarding security characteristics, see the Portfolio of Investments.
(2) Investments in Affiliated Issuers
An affiliated issuer may be considered one in which the fund owns 5% or more of the
outstanding voting securities, or a company which is under common control. The following were affiliated issuers for the period ended February
28, 2026:
|
Affiliated Issuers
|
Beginning
Value
|
Purchases
|
Sales
Proceeds
|
Realized
Gain
(Loss)
|
Change in
Unrealized
Appreciation or
Depreciation
|
Ending
Value
|
|
MFS Institutional Money Market Portfolio
|
$6,094,216
|
$4,068,456
|
$8,227,090
|
$499
|
$(863
)
|
$1,935,218
|
|
Affiliated Issuers
|
Dividend
Income
|
Capital Gain
Distributions
|
|
MFS Institutional Money Market Portfolio
|
$43,156
|
$—
|
10