UNITED STATES
SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-05822
MFS CHARTER INCOME TRUST
(Exact name of registrant as specified in charter)
111 Huntington Avenue, Boston, Massachusetts 02199 (Address of principal executive offices) (Zip code)
Christopher R. Bohane
Massachusetts Financial Services Company
111Huntington Avenue Boston, Massachusetts 02199
(Name and address of agents for service)
Registrant’s telephone number, including area code: (617) 954-5000
Date of fiscal year end: November 30
Date of reporting period: May 31, 2024
ITEM 1. REPORTS TO STOCKHOLDERS.
Item 1(a):
Semiannual Report
May 31, 2024
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
| 1
|
| 4
|
| 4
|
| 6
|
| 42
|
| 44
|
| 46
|
| 47
|
| 48
|
| 50
|
| 66
|
| 67
|
| 67
|
| 67
|
| 67
|
NOT FDIC INSURED
• MAY LOSE VALUE • NO BANK GUARANTEE
Portfolio structure at value (v)
Portfolio structure reflecting equivalent exposure of
derivative positions (i)
Fixed income sectors (i)
High Yield Corporates
| 62.0%
|
Emerging Markets Bonds
| 20.1%
|
Investment Grade Corporates
| 7.5%
|
Non-U.S. Government Bonds
| 4.8%
|
U.S. Treasury Securities
| 4.8%
|
Mortgage-Backed Securities
| 3.0%
|
Commercial Mortgage-Backed Securities
| 1.9%
|
Collateralized Debt Obligations
| 1.2%
|
Asset-Backed Securities
| 0.7%
|
Municipal Bonds
| 0.4%
|
Residential Mortgage-Backed Securities
| 0.3%
|
Portfolio facts
Average Duration (d)
| 5.8
|
Average Effective Maturity (m)
| 7.8 yrs.
|
Portfolio Composition - continued
Composition including fixed income
credit quality (a)(i)
AAA
| 6.8%
|
AA
| 3.0%
|
A
| 7.4%
|
BBB
| 12.3%
|
BB
| 35.4%
|
B
| 29.7%
|
CCC
| 9.4%
|
CC
| 0.2%
|
C
| 0.1%
|
D
| 0.1%
|
U.S. Government
| 21.4%
|
Federal Agencies
| 3.0%
|
Not Rated
| (22.1)%
|
Non-Fixed Income
| 1.2%
|
Cash & Cash Equivalents (Less Liabilities) (b)
| (31.9)%
|
Other (q)
| 24.0%
|
(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), ETFs and Options on ETFs, 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.
|
Portfolio Composition - continued
(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. The Average Duration calculation reflects the impact of the equivalent exposure of derivative positions, if any.
|
(f)
| The fund invests a portion of its assets in Exchange-Traded Funds (ETFs) or Options on ETFs to gain fixed income exposure. Percentages include the direct exposure from investing in
ETFs or Options on ETFs and not the indirect exposure to the underlying holdings.
|
(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 feature (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.
|
(p)
| For purposes of the presentation of Portfolio structure at value, Other includes market value from currency derivatives and may be negative.
|
(q)
| For purposes of this presentation, Other includes equivalent exposure from currency derivatives and/or any offsets to derivative positions and may be negative.
|
(v)
| For purposes of this presentation, market value of fixed income and/or equity derivatives, if any, is included in Cash & Cash Equivalents (Less Liabilities).
|
Where the fund holds convertible
bonds, they are treated as part of the equity portion of the portfolio.
Percentages are based on net assets
as of May 31, 2024.
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.
|
Neeraj Arora
| Emerging Markets Debt Instruments Portfolio Manager
| 2023
| 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
| Co-Chief Investment Officer-Global Fixed Income 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.
|
John Mitchell
| Investment Grade Debt Instruments Portfolio Manager
| 2023
| Investment Officer of MFS; employed in the investment management area of MFS since 2003.
|
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.
|
Effective April 30, 2024, Matt Ryan
is no longer a Portfolio Manager of the fund.
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 of the 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
5/31/24 (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 – 129.2%
|
Aerospace & Defense – 3.1%
|
Boeing Co., 6.298%, 5/01/2029 (n)
|
| $
| 613,000
| $617,968
|
Boeing Co., 6.388%, 5/01/2031 (n)
|
|
| 29,000
| 29,335
|
Boeing Co., 5.805%, 5/01/2050
|
|
| 138,000
| 123,569
|
Bombardier, Inc., 7.5%, 2/01/2029 (n)
|
|
| 481,000
| 497,575
|
Bombardier, Inc., 8.75%, 11/15/2030 (n)
|
|
| 202,000
| 216,744
|
Bombardier, Inc., 7.25%, 7/01/2031 (n)
|
|
| 278,000
| 283,799
|
Bombardier, Inc., 7%, 6/01/2032 (n)
|
|
| 406,000
| 407,480
|
F-Brasile S.p.A./F-Brasile U.S. LLC, 7.375%, 8/15/2026 (n)
|
|
| 525,000
| 525,063
|
Moog, Inc., 4.25%, 12/15/2027 (n)
|
|
| 848,000
| 793,994
|
Spirit AeroSystems, Inc., 9.75%, 11/15/2030 (n)
|
|
| 1,015,000
| 1,108,916
|
TransDigm, Inc., 5.5%, 11/15/2027
|
|
| 1,235,000
| 1,205,693
|
TransDigm, Inc., 6.75%, 8/15/2028 (n)
|
|
| 498,000
| 503,648
|
TransDigm, Inc., 4.625%, 1/15/2029
|
|
| 566,000
| 521,210
|
TransDigm, Inc., 6.375%, 3/01/2029 (n)
|
|
| 459,000
| 458,004
|
TransDigm, Inc., 6.875%, 12/15/2030 (n)
|
|
| 1,129,000
| 1,143,209
|
Triumph Group, Inc., 9%, 3/15/2028 (n)
|
|
| 289,000
| 298,336
|
|
|
|
| $8,734,543
|
Airlines – 0.7%
|
Air Canada, 3.875%, 8/15/2026 (n)
|
| $
| 941,000
| $893,294
|
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 4/20/2029 (n)
|
|
| 759,080
| 734,080
|
easyJet PLC, 3.75%, 3/20/2031
|
| EUR
| 100,000
| 105,871
|
Hawaiian Brand Intellectual Property Ltd., 5.75%, 1/20/2026 (n)
|
| $
| 289,000
| 266,488
|
|
|
|
| $1,999,733
|
Apparel Manufacturers – 0.2%
|
Tapestry, Inc., 3.05%, 3/15/2032
|
| $
| 57,000
| $45,830
|
Wolverine World Wide, Inc., 4%, 8/15/2029 (n)
|
|
| 460,000
| 383,097
|
|
|
|
| $428,927
|
Asset-Backed & Securitized – 4.1%
|
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.013%, 11/15/2054 (i)
|
| $
| 3,745,206
| $170,800
|
ACREC 2021-FL1 Ltd., “C”, FLR, 7.585% ((SOFR - 1mo. + 0.11448%) + 2.15%), 10/16/2036 (n)
|
|
| 229,500
| 222,335
|
AmeriCredit Automobile Receivables Trust, 2024-1, “A”, 5.61%, 1/12/2027 (n)
|
|
| 114,751
| 114,577
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Asset-Backed & Securitized – continued
|
Arbor Realty Trust, Inc., CLO, 2021-FL1, “C”, FLR, 7.431% ((SOFR - 1mo. + 0.11448%) + 2%), 12/15/2035 (n)
|
| $
| 200,000
| $195,172
|
Arbor Realty Trust, Inc., CLO, 2021-FL2, “B”, FLR, 7.031% ((SOFR - 1mo. + 0.11448%) + 1.6%), 5/15/2036 (n)
|
|
| 100,000
| 98,770
|
Arbor Realty Trust, Inc., CLO, 2021-FL2, “C”, FLR, 7.381% ((SOFR - 1mo. + 0.11448%) + 1.95%), 5/15/2036 (n)
|
|
| 275,500
| 270,986
|
Arbor Realty Trust, Inc., CLO, 2022-FL1, “C”, FLR, 7.623% (SOFR - 30 day + 2.3%), 1/15/2037 (n)
|
|
| 327,000
| 321,517
|
Arbor Realty Trust, Inc., CLO, 2022-FL1, “D”, FLR, 8.324% (SOFR - 30 day + 3%), 1/15/2037 (n)
|
|
| 208,000
| 196,332
|
AREIT 2022-CRE6 Trust, “C”, FLR, 7.473% (SOFR - 30 day + 2.15%), 1/20/2037 (n)
|
|
| 100,000
| 95,922
|
AREIT 2022-CRE6 Trust, “D”, FLR, 8.173% (SOFR - 30 day + 2.85%), 1/20/2037 (n)
|
|
| 100,000
| 94,849
|
ARI Fleet Lease Trust, 2023-B, “A2”, 6.05%, 7/15/2032 (n)
|
|
| 100,000
| 100,329
|
Bayview Financial Revolving Mortgage Loan Trust, FLR, 7.039% ((SOFR - 1mo. + 0.11448%) + 1.6%), 12/28/2040 (n)
|
|
| 85,181
| 131,655
|
BBCMS Mortgage Trust, 2020-C7, “XA”, 1.611%, 4/15/2053 (i)
|
|
| 1,959,688
| 112,811
|
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.402%, 7/15/2054 (i)
|
|
| 981,168
| 61,163
|
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.601%, 2/15/2054 (i)
|
|
| 2,248,065
| 175,100
|
Benchmark 2020-B18 Mortgage Trust, “XA”, 1.783%, 7/15/2053 (i)
|
|
| 3,264,418
| 194,695
|
Benchmark 2021-B23 Mortgage Trust, “XA”, 1.264%, 2/15/2054 (i)
|
|
| 3,597,195
| 204,605
|
Benchmark 2021-B24 Mortgage Trust, “XA”, 1.144%, 3/15/2054 (i)
|
|
| 1,988,710
| 100,072
|
Benchmark 2021-B26 Mortgage Trust, “XA”, 0.996%, 6/15/2054 (i)
|
|
| 5,519,876
| 228,251
|
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.257%, 7/15/2054 (i)
|
|
| 6,911,144
| 395,756
|
Benchmark 2021-B28 Mortgage Trust, “XA”, 1.268%, 8/15/2054 (i)
|
|
| 2,319,144
| 143,773
|
Benchmark 2022-B36 Mortgage Trust, “XA”, 0.809%, 7/15/2055 (i)
|
|
| 8,926,377
| 396,921
|
BMP Commercial Mortgage Trust, 2024-MF23, “C”, 7.161% (SOFR - 1mo. + 1.8413%), 6/15/2041 (n)(w)
|
|
| 100,000
| 99,781
|
BMP Commercial Mortgage Trust, 2024-MF23, “D”, 7.71% (SOFR - 1mo. + 2.3905%), 6/15/2041 (n)(w)
|
|
| 100,000
| 99,781
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Asset-Backed & Securitized – continued
|
BSPRT 2021-FL7 Issuer Ltd., “B”, FLR, 7.481% ((SOFR - 1mo. + 0.11448%) + 2.05%), 12/15/2038 (n)
|
| $
| 100,000
| $98,235
|
BSPRT 2021-FL7 Issuer Ltd., “C”, FLR, 7.731% ((SOFR - 1mo. + 0.11448%) + 2.3%), 12/15/2038 (n)
|
|
| 100,000
| 97,938
|
Business Jet Securities LLC, 2024-1A, “A”, 6.197%, 5/15/2039 (n)
|
|
| 97,917
| 98,327
|
Business Jet Securities LLC, 2024-1A, “B”, 6.924%, 5/15/2039 (n)
|
|
| 97,917
| 98,673
|
BXMT 2021-FL4 Ltd., “B”, FLR, 6.985% ((SOFR - 1mo. + 0.11448%) + 1.55%), 5/15/2038 (n)
|
|
| 549,000
| 484,063
|
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n)
|
|
| 143,298
| 139,474
|
Capital Automotive, 2020-1A, “B1”, REIT, 4.17%, 2/15/2050 (n)
|
|
| 437,500
| 426,092
|
CF Hippolyta Issuer LLC, 2020-1, “A1”, 1.69%, 7/15/2060 (n)
|
|
| 89,945
| 84,851
|
CF Hippolyta Issuer LLC, 2020-1, “B1”, 2.28%, 7/15/2060 (n)
|
|
| 89,945
| 83,439
|
Chesapeake Funding II LLC, 2023-1A, “A1”, 5.65%, 5/15/2035 (n)
|
|
| 99,444
| 99,395
|
CNH Equipment Trust 2023-A, “A2”, 5.34%, 9/15/2026
|
|
| 36,553
| 36,487
|
Colt Funding LLC, 2024-1, “A1”, 5.835%, 2/25/2069 (n)
|
|
| 147,955
| 147,002
|
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.771%, 4/15/2054 (i)
|
|
| 1,570,723
| 57,103
|
Commercial Mortgage Pass-Through Certificates, 2021-BN34, “XA”, 1.082%, 6/15/2063 (i)
|
|
| 996,295
| 47,448
|
Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.143%, 6/15/2064 (i)
|
|
| 1,293,896
| 66,132
|
Commercial Mortgage Pass-Through Certificates, 2022-BNK41, “AS”, 3.79%, 4/15/2065
|
|
| 257,000
| 223,189
|
Crest Ltd., CDO, 7% (0.001% Cash or 7% PIK), 1/28/2040 (a)(p)
|
|
| 4,586,320
| 46
|
DT Auto Owner Trust, 2023-1A, “A”, 5.48%, 4/15/2027 (n)
|
|
| 37,407
| 37,373
|
ELM Trust, 2024-ELM, “B10”, 5.995%, 6/10/2027 (n)(w)
|
|
| 100,000
| 100,000
|
ELM Trust, 2024-ELM, “C10”, 1%, 6/10/2027 (n)(w)
|
|
| 100,000
| 100,000
|
ELM Trust, 2024-ELM, “D10”, 6.626%, 6/10/2027 (n)(w)
|
|
| 100,000
| 100,000
|
Empire District Bondco LLC, 4.943%, 1/01/2033
|
|
| 165,000
| 162,384
|
Fortress CBO Investments Ltd., 2022-FL3, “AS”, FLR, 7.574% (SOFR - 30 day + 2.25%), 2/23/2039 (n)
|
|
| 114,000
| 110,968
|
FS Rialto 2021-FL2 Issuer Ltd., “AS”, FLR, 6.984% ((SOFR - 1mo. + 0.11448%) + 1.55%), 5/16/2038 (n)
|
|
| 297,500
| 288,830
|
GreatAmerica Leasing Receivables Funding LLC, 2023-1, “A2”, 5.35%, 2/16/2026 (n)
|
|
| 52,593
| 52,583
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Asset-Backed & Securitized – continued
|
LoanCore 2021-CRE5 Ltd., “B”, FLR, 7.431% ((SOFR - 1mo. + 0.11448%) + 2.0%), 7/15/2036 (n)
|
| $
| 100,000
| $97,750
|
MF1 2021-FL5 Ltd., “C”, FLR, 7.134% ((SOFR - 1mo. + 0.11448%) + 1.7%), 7/15/2036 (n)
|
|
| 213,000
| 209,626
|
MF1 2021-FL5 Ltd., “D”, FLR, 7.934% ((SOFR - 1mo. + 0.11448%) + 2.5%), 7/15/2036 (n)
|
|
| 755,000
| 730,409
|
MF1 2022-FL8 Ltd., “C”, FLR, 7.519% (SOFR - 30 day + 2.2%), 2/19/2037 (n)
|
|
| 110,841
| 106,948
|
MF1 2024-FL14 LLC, “A”, FLR, 7.057% (SOFR - 1mo. + 1.737%), 3/19/2039 (n)
|
|
| 229,000
| 228,921
|
MF1 2024-FL14 LLC, “AS”, FLR, 7.56% (SOFR - 1mo. + 2.24%), 3/19/2039 (n)
|
|
| 100,000
| 99,806
|
MF1 2024-FL14 LLC, “B”, FLR, 8.009% (SOFR - 1mo. + 2.689%), 3/19/2039 (n)
|
|
| 349,917
| 349,789
|
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.287%, 5/15/2054 (i)
|
|
| 1,027,288
| 59,520
|
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.317%, 6/15/2054 (i)
|
|
| 3,063,796
| 159,871
|
Navistar Financial Dealer Note Master Owner Trust, 2023-1, “A”, 6.18%, 8/25/2028 (n)
|
|
| 244,000
| 245,416
|
Navistar Financial Dealer Note Master Owner Trust, 2023-1, “B”, 6.48%, 8/25/2028 (n)
|
|
| 57,000
| 56,988
|
OBX Trust, 2024-NQM1, “A1”, 5.928%, 11/25/2063 (n)
|
|
| 120,567
| 119,875
|
OBX Trust, 2024-NQM1, “A2”, 6.253%, 11/25/2063 (n)
|
|
| 95,288
| 94,701
|
OBX Trust, 2024-NQM2, “A1”, 5.878%, 12/25/2063 (n)
|
|
| 283,174
| 281,644
|
RAC Bond Co. PLC, 4.87%, 5/06/2026
|
| GBP
| 100,000
| 124,646
|
Shelter Growth CRE 2021-FL3 Ltd., “C”, FLR, 7.581% ((SOFR - 1mo. + 0.11448%) + 2.15%), 9/15/2036 (n)
|
| $
| 157,500
| 151,627
|
Starwood Commercial Mortgage, 2021-FL2, “B”, FLR, 7.235% ((SOFR - 1mo. + 0.11448%) + 1.8%), 4/18/2038 (n)
|
|
| 190,000
| 179,890
|
Starwood Commercial Mortgage, 2021-FL2, “C”, FLR, 7.535% ((SOFR - 1mo. + 0.11448)% + 2.1%), 4/18/2038 (n)
|
|
| 100,000
| 91,220
|
TPG Real Estate Finance, 2021-FL4, “AS”, FLR, 6.835% ((SOFR - 1mo. + 0.11448%) + 1.4%), 3/15/2038 (n)
|
|
| 150,000
| 146,602
|
TPG Real Estate Finance, 2021-FL4, “B”, FLR, 7.285% ((SOFR - 1mo. + 0.11448%) + 1.85%), 3/15/2038 (n)
|
|
| 310,000
| 295,546
|
Verus Securitization Trust, 2014-1, “A1”, 5.712%, 1/25/2069 (n)
|
|
| 161,164
| 159,790
|
Wells Fargo Commercial Mortgage Trust, 2021-C60, “XA”, 1.52%, 8/15/2054 (i)
|
|
| 1,951,958
| 141,455
|
Westlake Automobile Receivables Trust, 2023-1A, “A2B”, FLR, 6.173% (SOFR - 30 day + 0.85%), 6/15/2026 (n)
|
|
| 18,622
| 18,637
|
|
|
|
| $11,616,662
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Automotive – 0.9%
|
Clarios Global LP/Clarios U.S. Finance Co., 8.5%, 5/15/2027 (n)
|
| $
| 621,000
| $624,979
|
Clarios Global LP/Clarios U.S. Finance Co., 6.75%, 5/15/2028 (n)
|
|
| 290,000
| 293,049
|
Dornoch Debt Merger Sub, Inc., 6.625%, 10/15/2029 (n)
|
|
| 631,000
| 545,069
|
Ferrari N.V., 3.625%, 5/21/2030
|
| EUR
| 130,000
| 140,273
|
Garrett Motion Holdings, Inc./Garrett LX I S.à r.l., 7.75%, 5/31/2032 (n)
|
| $
| 406,000
| 408,664
|
Hyundai Capital America, 6.375%, 4/08/2030 (n)
|
|
| 72,000
| 74,748
|
LKQ Corp., 6.25%, 6/15/2033
|
|
| 34,000
| 34,938
|
Real Hero Merger Sub 2, Inc., 6.25%, 2/01/2029 (n)
|
|
| 480,000
| 413,500
|
Volkswagen Leasing GmbH, 4%, 4/11/2031
|
| EUR
| 70,000
| 75,665
|
|
|
|
| $2,610,885
|
Broadcasting – 0.7%
|
AMC Networks, Inc., 10.25%, 1/15/2029 (n)
|
| $
| 232,000
| $231,478
|
Banijay Group S.A.S., 8.125%, 5/01/2029 (n)
|
|
| 600,000
| 613,373
|
Discovery Communications LLC, 4.125%, 5/15/2029
|
|
| 32,000
| 29,502
|
Midas OpCo Holdings LLC, 5.625%, 8/15/2029 (n)
|
|
| 584,000
| 534,563
|
Prosus N.V., 3.061%, 7/13/2031 (n)
|
|
| 329,000
| 266,623
|
Ubisoft Entertainment S.A., 0.878%, 11/24/2027
|
| EUR
| 200,000
| 184,932
|
WarnerMedia Holdings, Inc., 4.279%, 3/15/2032
|
| $
| 34,000
| 29,757
|
|
|
|
| $1,890,228
|
Brokerage & Asset Managers – 1.0%
|
AG TTMT Escrow Issuer LLC, 8.625%, 9/30/2027 (n)
|
| $
| 704,000
| $731,661
|
Aretec Escrow Issuer 2, Inc., 10%, 8/15/2030 (n)
|
|
| 585,000
| 639,869
|
Aretec Escrow Issuer, Inc., 7.5%, 4/01/2029 (n)
|
|
| 274,000
| 264,708
|
Charles Schwab Corp., 5.643% to 5/19/2028, FLR (SOFR - 1 day + 2.210%) to 5/19/2029
|
|
| 43,000
| 43,407
|
Charles Schwab Corp., 6.136% to 8/24/2033, FLR (SOFR - 1 day + 2.01%) to 8/24/2034
|
|
| 42,000
| 43,438
|
Hightower Holding LLC, 6.75%, 4/15/2029 (n)
|
|
| 343,000
| 321,558
|
LPL Holdings, Inc., 4%, 3/15/2029 (n)
|
|
| 375,000
| 347,637
|
LPL Holdings, Inc., 4.375%, 5/15/2031 (n)
|
|
| 388,000
| 353,482
|
LSEG Netherlands B.V., 4.231%, 9/29/2030
|
| EUR
| 100,000
| 111,409
|
|
|
|
| $2,857,169
|
Building – 2.9%
|
ABC Supply Co., Inc., 3.875%, 11/15/2029 (n)
|
| $
| 572,000
| $505,186
|
Cornerstone Building Brands, Inc., 6.125%, 1/15/2029 (n)
|
|
| 405,000
| 329,408
|
CRH SMW Finance DAC, 4%, 7/11/2031
|
| EUR
| 110,000
| 120,543
|
Foundation Building Materials LLC, 6%, 3/01/2029 (n)
|
| $
| 812,000
| 719,720
|
GYP Holding III Corp., 4.625%, 5/01/2029 (n)
|
|
| 871,000
| 804,724
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Building – continued
|
Holcim Sterling Finance (Netherlands) B.V., 2.25%, 4/04/2034
|
| GBP
| 100,000
| $96,071
|
LBM Acquisition LLC, 6.25%, 1/15/2029 (n)
|
| $
| 289,000
| 260,962
|
Miter Brands Acquisition Holdco, Inc., 6.75%, 4/01/2032 (n)
|
|
| 171,000
| 169,865
|
MIWD Holdco II LLC/MIWD Finance Co., 5.5%, 2/01/2030 (n)
|
|
| 716,000
| 652,601
|
New Enterprise Stone & Lime Co., Inc., 5.25%, 7/15/2028 (n)
|
|
| 726,000
| 682,427
|
New Enterprise Stone & Lime Co., Inc., 9.75%, 7/15/2028 (n)
|
|
| 240,000
| 245,705
|
Patrick Industries, Inc., 7.5%, 10/15/2027 (n)
|
|
| 767,000
| 778,085
|
SRM Concrete, 8.875%, 11/15/2031 (n)
|
|
| 853,000
| 898,144
|
Standard Industries, Inc., 4.75%, 1/15/2028 (n)
|
|
| 522,000
| 497,281
|
Standard Industries, Inc., 4.375%, 7/15/2030 (n)
|
|
| 871,000
| 777,264
|
Vulcan Materials Co., 3.5%, 6/01/2030
|
|
| 75,000
| 68,044
|
White Cap Buyer LLC, 6.875%, 10/15/2028 (n)
|
|
| 779,000
| 743,171
|
|
|
|
| $8,349,201
|
Business Services – 0.7%
|
Euronet Worldwide, Inc., 1.375%, 5/22/2026
|
| EUR
| 100,000
| $102,658
|
Fiserv, Inc., 4.4%, 7/01/2049
|
| $
| 84,000
| 68,398
|
Iron Mountain, Inc., 4.875%, 9/15/2027 (n)
|
|
| 454,000
| 437,911
|
Iron Mountain, Inc., 5.25%, 3/15/2028 (n)
|
|
| 530,000
| 510,226
|
Mastercard, Inc., 3.3%, 3/26/2027
|
|
| 45,000
| 43,095
|
Mastercard, Inc., 3.85%, 3/26/2050
|
|
| 77,000
| 60,861
|
Tencent Holdings Ltd., 3.8%, 2/11/2025
|
|
| 700,000
| 691,177
|
Visa, Inc., 3.65%, 9/15/2047
|
|
| 118,000
| 91,514
|
Wolters Kluwer N.V., 3.25%, 3/18/2029
|
| EUR
| 100,000
| 106,882
|
|
|
|
| $2,112,722
|
Cable TV – 4.6%
|
Cable One, Inc., 4%, 11/15/2030 (n)
|
| $
| 1,184,000
| $883,440
|
CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027 (n)
|
|
| 570,000
| 544,777
|
CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, 3/01/2030 (n)
|
|
| 1,852,000
| 1,577,634
|
CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, 8/15/2030 (n)
|
|
| 1,143,000
| 949,725
|
CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, 1/15/2034 (n)
|
|
| 535,000
| 398,623
|
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.1%, 6/01/2029
|
|
| 110,000
| 110,120
|
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.8%, 3/01/2050
|
|
| 27,000
| 19,910
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Cable TV – continued
|
CSC Holdings LLC, 5.375%, 2/01/2028 (n)
|
| $
| 800,000
| $561,838
|
CSC Holdings LLC, 7.5%, 4/01/2028 (n)
|
|
| 250,000
| 139,565
|
CSC Holdings LLC, 11.75%, 1/31/2029 (n)
|
|
| 417,000
| 331,393
|
CSC Holdings LLC, 5.75%, 1/15/2030 (n)
|
|
| 825,000
| 356,488
|
CSC Holdings LLC, 4.125%, 12/01/2030 (n)
|
|
| 250,000
| 154,165
|
DIRECTV Financing LLC, 8.875%, 2/01/2030 (n)
|
|
| 253,000
| 243,756
|
DISH DBS Corp., 7.75%, 7/01/2026
|
|
| 392,000
| 249,279
|
DISH DBS Corp., 5.25%, 12/01/2026 (n)
|
|
| 488,000
| 388,608
|
DISH DBS Corp., 5.125%, 6/01/2029
|
|
| 370,000
| 147,338
|
DISH Network Corp., 11.75%, 11/15/2027 (n)
|
|
| 255,000
| 255,845
|
LCPR Senior Secured Financing DAC, 6.75%, 10/15/2027 (n)
|
|
| 893,000
| 845,854
|
SES S.A., 3.5%, 1/14/2029
|
| EUR
| 100,000
| 104,056
|
Sirius XM Radio, Inc., 4%, 7/15/2028 (n)
|
| $
| 571,000
| 511,138
|
Sirius XM Radio, Inc., 5.5%, 7/01/2029 (n)
|
|
| 738,000
| 685,429
|
Summer BidCo B.V., 10% (10% Cash or 10.75% PIK), 2/15/2029 (p)
|
| EUR
| 123,584
| 135,599
|
Videotron Ltd., 5.125%, 4/15/2027 (n)
|
| $
| 406,000
| 396,939
|
Virgin Media Finance PLC, 5%, 7/15/2030 (n)
|
|
| 600,000
| 498,509
|
Virgin Media Vendor Financing Notes IV DAC, 5%, 7/15/2028 (n)
|
|
| 891,000
| 803,518
|
Ziggo Bond Finance B.V., 3.375%, 2/28/2030
|
| EUR
| 170,000
| 153,792
|
Ziggo Bond Finance B.V., 5.125%, 2/28/2030 (n)
|
| $
| 1,715,000
| 1,464,777
|
|
|
|
| $12,912,115
|
Chemicals – 1.8%
|
Chemours Co., 4.625%, 11/15/2029 (n)
|
| $
| 722,000
| $615,723
|
Consolidated Energy Finance S.A., 5.625%, 10/15/2028 (n)
|
|
| 447,000
| 384,693
|
Element Solutions, Inc., 3.875%, 9/01/2028 (n)
|
|
| 900,000
| 818,967
|
LSF11 A5 HoldCo LLC, 6.625%, 10/15/2029 (n)
|
|
| 691,000
| 651,498
|
Sasol Financing (USA) LLC, 5.5%, 3/18/2031
|
|
| 550,000
| 453,848
|
SCIH Salt Holdings, Inc., 6.625%, 5/01/2029 (n)
|
|
| 766,000
| 721,453
|
SNF Group SACA, 3.375%, 3/15/2030 (n)
|
|
| 1,105,000
| 950,438
|
Windsor Holdings III, LLC, 8.5%, 6/15/2030 (n)
|
|
| 502,000
| 524,493
|
|
|
|
| $5,121,113
|
Computer Software – 0.6%
|
Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc., 8%, 6/15/2029 (n)
|
| $
| 568,000
| $583,136
|
Dun & Bradstreet Corp., 5%, 12/15/2029 (n)
|
|
| 606,000
| 563,559
|
Microsoft Corp., 2.525%, 6/01/2050
|
|
| 101,000
| 63,417
|
Neptune Bidco U.S., Inc., 9.29%, 4/15/2029 (n)
|
|
| 407,000
| 388,743
|
Oracle Corp., 4%, 7/15/2046
|
|
| 62,000
| 47,433
|
|
|
|
| $1,646,288
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Computer Software - Systems – 0.7%
|
Sabre GLBL, Inc., 8.625%, 6/01/2027 (n)
|
| $
| 337,000
| $310,253
|
Sabre GLBL, Inc., 11.25%, 12/15/2027 (n)
|
|
| 180,000
| 174,967
|
SS&C Technologies Holdings, Inc., 5.5%, 9/30/2027 (n)
|
|
| 1,213,000
| 1,187,962
|
Virtusa Corp., 7.125%, 12/15/2028 (n)
|
|
| 361,000
| 328,319
|
|
|
|
| $2,001,501
|
Conglomerates – 2.2%
|
BWX Technologies, Inc., 4.125%, 6/30/2028 (n)
|
| $
| 500,000
| $460,740
|
BWX Technologies, Inc., 4.125%, 4/15/2029 (n)
|
|
| 1,098,000
| 1,004,831
|
Chart Industries, Inc., 9.5%, 1/01/2031 (n)
|
|
| 549,000
| 592,817
|
Emerald Debt Merger, 6.625%, 12/15/2030 (n)
|
|
| 1,046,000
| 1,047,822
|
Gates Corp., 6.875%, 7/01/2029 (n)
|
|
| 230,000
| 232,209
|
Gates Global LLC, 6.25%, 1/15/2026 (n)
|
|
| 484,000
| 483,722
|
Illinois Tool Works, Inc., 3.375%, 5/17/2032
|
| EUR
| 100,000
| 106,847
|
Madison IAQ LLC, 5.875%, 6/30/2029 (n)
|
| $
| 657,000
| 608,959
|
nVent Finance S.à r.l., 5.65%, 5/15/2033
|
|
| 69,000
| 68,776
|
Regal Rexnord Corp., 6.05%, 4/15/2028
|
|
| 138,000
| 140,091
|
TriMas Corp., 4.125%, 4/15/2029 (n)
|
|
| 1,442,000
| 1,305,145
|
Veralto Corp., 4.15%, 9/19/2031
|
| EUR
| 100,000
| 108,733
|
Westinghouse Air Brake Technologies Corp., 4.7%, 9/15/2028
|
| $
| 75,000
| 73,352
|
Westinghouse Air Brake Technologies Corp., 5.611%, 3/11/2034
|
|
| 39,000
| 39,119
|
|
|
|
| $6,273,163
|
Construction – 0.9%
|
Beazer Homes USA, Inc., 7.5%, 3/15/2031 (n)
|
| $
| 693,000
| $691,773
|
Empire Communities Corp., 9.75%, 5/01/2029 (n)
|
|
| 464,000
| 473,340
|
Mattamy Group Corp., 5.25%, 12/15/2027 (n)
|
|
| 249,000
| 240,863
|
Mattamy Group Corp., 4.625%, 3/01/2030 (n)
|
|
| 516,000
| 471,519
|
Weekley Homes LLC/Weekley Finance Corp., 4.875%, 9/15/2028 (n)
|
|
| 684,000
| 626,443
|
|
|
|
| $2,503,938
|
Consumer Products – 1.2%
|
Amer Sports Co., 6.75%, 2/16/2031 (n)
|
| $
| 803,000
| $800,017
|
Energizer Holdings, Inc., 4.375%, 3/31/2029 (n)
|
|
| 382,000
| 339,577
|
HFC Prestige Products, Inc./HFC Prestige International US LLC, 6.625%, 7/15/2030 (n)
|
|
| 974,000
| 980,919
|
Kenvue, Inc., 5.05%, 3/22/2053
|
|
| 100,000
| 93,999
|
Prestige Consumer Healthcare, Inc., 5.125%, 1/15/2028 (n)
|
|
| 857,000
| 825,699
|
Prestige Consumer Healthcare, Inc., 3.75%, 4/01/2031 (n)
|
|
| 415,000
| 355,842
|
|
|
|
| $3,396,053
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Consumer Services – 2.9%
|
Allied Universal Holdco LLC, 9.75%, 7/15/2027 (n)
|
| $
| 1,062,000
| $1,052,991
|
Allied Universal Holdco LLC, 6%, 6/01/2029 (n)
|
|
| 400,000
| 341,413
|
Arches Buyer, Inc., 6.125%, 12/01/2028 (n)
|
|
| 659,000
| 530,862
|
Compass Group PLC, 3.25%, 2/06/2031
|
| EUR
| 100,000
| 106,087
|
Cushman & Wakefield PLC, 6.75%, 5/15/2028 (n)
|
| $
| 350,000
| 348,034
|
GoDaddy, Inc., 3.5%, 3/01/2029 (n)
|
|
| 1,013,000
| 905,031
|
GW B-CR Security Corp., 9.5%, 11/01/2027 (n)
|
|
| 804,000
| 804,680
|
Match Group Holdings II LLC, 5%, 12/15/2027 (n)
|
|
| 584,000
| 553,026
|
Match Group Holdings II LLC, 4.625%, 6/01/2028 (n)
|
|
| 704,000
| 654,748
|
Pachelbel Bidco Spa, 7.125%, 5/17/2031 (n)
|
| EUR
| 100,000
| 111,218
|
Pluxee N.V., 3.75%, 9/04/2032
|
|
| 100,000
| 106,154
|
Realogy Group LLC/Realogy Co-Issuer Corp., 5.75%, 1/15/2029 (n)
|
| $
| 665,000
| 456,308
|
Realogy Group LLC/Realogy Co-Issuer Corp., 5.25%, 4/15/2030 (n)
|
|
| 436,000
| 284,538
|
TriNet Group, Inc., 3.5%, 3/01/2029 (n)
|
|
| 1,125,000
| 993,026
|
Velocity Vehicle Group LLC, 8%, 6/01/2029 (n)(w)
|
|
| 174,000
| 176,828
|
Verisure Midholding AB, 5.25%, 2/15/2029
|
| EUR
| 100,000
| 105,358
|
WASH Multi-Family Acquisition, Inc., 5.75%, 4/15/2026 (n)
|
| $
| 595,000
| 578,398
|
|
|
|
| $8,108,700
|
Containers – 1.5%
|
ARD Finance S.A., 6.5% (6.5% Cash or 7.25% PIK), 6/30/2027 (n)(p)
|
| $
| 238,000
| $55,330
|
Ardagh Metal Packaging Finance USA LLC, 3.25%, 9/01/2028 (n)
|
|
| 765,000
| 670,832
|
Can-Pack S.A./Eastern PA Land Investment Holding LLC, 3.875%, 11/15/2029 (n)
|
|
| 1,069,000
| 938,734
|
Crown Americas LLC, 5.25%, 4/01/2030
|
|
| 342,000
| 328,722
|
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/2026
|
|
| 604,000
| 580,480
|
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 2/01/2026
|
|
| 490,000
| 480,983
|
Titan Holdings II B.V., 5.125%, 7/15/2029
|
| EUR
| 531,000
| 521,048
|
Trivium Packaging Finance B.V., 8.5%, 8/15/2027 (n)
|
| $
| 601,000
| 599,659
|
|
|
|
| $4,175,788
|
Electrical Equipment – 0.0%
|
Arrow Electronics, Inc., 2.95%, 2/15/2032
|
| $
| 48,000
| $40,110
|
Arrow Electronics, Inc., 5.875%, 4/10/2034
|
|
| 88,000
| 86,374
|
|
|
|
| $126,484
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Electronics – 1.0%
|
Entegris Escrow Corp., 5.95%, 6/15/2030 (n)
|
| $
| 418,000
| $411,455
|
Entegris, Inc., 4.375%, 4/15/2028 (n)
|
|
| 430,000
| 402,231
|
Entegris, Inc., 3.625%, 5/01/2029 (n)
|
|
| 499,000
| 443,367
|
Intel Corp., 5.7%, 2/10/2053
|
|
| 70,000
| 68,482
|
NXP B.V./NXP Funding LLC/NXP USA, Inc., 3.4%, 5/01/2030
|
|
| 36,000
| 32,467
|
NXP B.V./NXP Funding LLC/NXP USA, Inc., 5%, 1/15/2033
|
|
| 17,000
| 16,502
|
Sensata Technologies B.V., 5%, 10/01/2025 (n)
|
|
| 847,000
| 853,164
|
Sensata Technologies B.V., 5.875%, 9/01/2030 (n)
|
|
| 385,000
| 374,221
|
Sensata Technologies, Inc., 4.375%, 2/15/2030 (n)
|
|
| 209,000
| 190,646
|
|
|
|
| $2,792,535
|
Emerging Market Quasi-Sovereign – 4.0%
|
Abu Dhabi Development Holding Co. PJSC, 5.5%, 5/08/2034 (n)
|
| $
| 855,000
| $866,773
|
Dua Capital Ltd. (Federation of Malaysia), 2.78%, 5/11/2031
|
|
| 404,000
| 342,590
|
Empresa Nacional del Petroleo (Republic of Chile), 3.75%, 8/05/2026
|
|
| 600,000
| 574,511
|
Empresa Nacional del Petroleo (Republic of Chile), 5.25%, 11/06/2029
|
|
| 400,000
| 390,304
|
EQUATE Petrochemical B.V. (State of Kuwait), 4.25%, 11/03/2026
|
|
| 522,000
| 500,484
|
Eskom Holdings SOC Ltd. (Republic of South Africa), 6.35%, 8/10/2028
|
|
| 624,000
| 596,100
|
Eustream A.S. (Slovak Republic), 1.625%, 6/25/2027
|
| EUR
| 146,000
| 138,429
|
Indian Railway Finance Corp., 2.8%, 2/10/2031 (n)
|
| $
| 299,000
| 252,685
|
Indian Railway Finance Corp., 2.8%, 2/10/2031
|
|
| 800,000
| 676,080
|
Ipoteka Bank (Republic of Uzbekistan), 5.5%, 11/19/2025
|
|
| 700,000
| 672,000
|
Korea Development Bank, 4.25%, 9/08/2032
|
|
| 531,000
| 501,130
|
Magyar Export-Import Bank PLC (Republic of Hungary), 6.125%, 12/04/2027 (n)
|
|
| 200,000
| 200,542
|
NBK SPC Ltd. (State of Kuwait), 5.5% to 6/06/2029, FLR (SOFR - 1 day + 1.16%) to 6/06/2030 (n)(w)
|
|
| 642,000
| 642,565
|
Office Cherifien des Phosphates S.A. (Kingdom of Morocco), 6.75%, 5/02/2034 (n)
|
|
| 493,000
| 496,867
|
Office Cherifien des Phosphates S.A. (Kingdom of Morocco), 5.125%, 6/23/2051 (n)
|
|
| 650,000
| 479,960
|
Oryx Funding Ltd. (Sultanate of Oman), 5.8%, 2/03/2031 (n)
|
|
| 200,000
| 196,610
|
Petroleos Mexicanos, 6.49%, 1/23/2027
|
|
| 904,000
| 859,373
|
Petroleos Mexicanos, 5.95%, 1/28/2031
|
|
| 100,000
| 81,155
|
Petroleos Mexicanos, 10%, 2/07/2033
|
|
| 60,000
| 60,556
|
Petroleos Mexicanos, 6.75%, 9/21/2047
|
|
| 866,000
| 581,664
|
QNB Finance Ltd. (State of Qatar), 2.75%, 2/12/2027
|
|
| 352,000
| 327,888
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Emerging Market Quasi-Sovereign – continued
|
Southern Gas Corridor CJSC (Republic of Azerbaijan), 6.875%, 3/24/2026
|
| $
| 1,065,000
| $1,069,154
|
SPP-Distribucia A.S. (Republic of Slovakia), 1%, 6/09/2031
|
| EUR
| 180,000
| 149,167
|
State Oil Company of the Azerbaijan Republic, 6.95%, 3/18/2030
|
| $
| 500,000
| 509,930
|
Turkiye Ihracat Kredi Bankasi A.S., 7.5%, 2/06/2028 (n)
|
|
| 200,000
| 200,500
|
|
|
|
| $11,367,017
|
Emerging Market Sovereign – 9.6%
|
Republic of India, 7.18%, 8/14/2033
|
| INR
| 51,100,000
| $616,633
|
Arab Republic of Egypt, 8.5%, 1/31/2047
|
| $
| 965,000
| 752,023
|
Dominican Republic, 5.5%, 2/22/2029 (n)
|
|
| 761,000
| 732,001
|
Dominican Republic, 7.05%, 2/03/2031 (n)
|
|
| 150,000
| 154,121
|
Dominican Republic, 5.3%, 1/21/2041 (n)
|
|
| 181,000
| 153,029
|
Dominican Republic, 5.875%, 1/30/2060 (n)
|
|
| 1,360,000
| 1,149,968
|
Federal Republic of Nigeria, 8.747%, 1/21/2031 (n)
|
|
| 519,000
| 488,057
|
Federative Republic of Brazil, 10%, 1/01/2027
|
| BRL
| 1,375,000
| 255,723
|
Federative Republic of Brazil, 10%, 1/01/2029
|
|
| 16,500,000
| 2,981,176
|
Hellenic Republic (Republic of Greece), 3.375%, 6/15/2034
|
| EUR
| 385,000
| 407,727
|
Kingdom of Morocco, 1.375%, 3/30/2026
|
|
| 428,000
| 438,593
|
Kingdom of Morocco, 3%, 12/15/2032 (n)
|
| $
| 459,000
| 365,594
|
Kingdom of Saudi Arabia, 5%, 1/18/2053
|
|
| 200,000
| 174,580
|
Oriental Republic of Uruguay, 8.25%, 5/21/2031
|
| UYU
| 23,377,000
| 570,383
|
Oriental Republic of Uruguay, 9.75%, 7/20/2033
|
|
| 8,914,000
| 237,197
|
People's Republic of China, 3.13%, 11/21/2029
|
| CNY
| 3,100,000
| 451,214
|
People's Republic of China, 2.88%, 2/25/2033
|
|
| 8,520,000
| 1,228,279
|
Republic of Albania, 5.9%, 6/09/2028
|
| EUR
| 682,000
| 765,048
|
Republic of Angola, 9.375%, 5/08/2048
|
| $
| 870,000
| 741,943
|
Republic of Angola, 9.125%, 11/26/2049
|
|
| 200,000
| 166,500
|
Republic of Argentina, 3.625%, 7/09/2035
|
|
| 768,494
| 337,265
|
Republic of Benin, 6.875%, 1/19/2052 (n)
|
| EUR
| 114,000
| 99,437
|
Republic of Benin, 6.875%, 1/19/2052
|
|
| 400,000
| 348,902
|
Republic of Costa Rica, 7.3%, 11/13/2054
|
| $
| 600,000
| 621,356
|
Republic of Cote d'Ivoire, 5.25%, 3/22/2030
|
| EUR
| 929,000
| 921,312
|
Republic of Cote d'Ivoire, 6.875%, 10/17/2040
|
|
| 200,000
| 183,786
|
Republic of Guatemala, 6.125%, 6/01/2050 (n)
|
| $
| 382,000
| 343,322
|
Republic of Hungary, 5.5%, 6/16/2034 (n)
|
|
| 650,000
| 625,764
|
Republic of Korea, 2.375%, 12/10/2027
|
| KRW
| 325,000,000
| 226,312
|
Republic of Korea, 1.875%, 6/10/2029
|
|
| 3,174,250,000
| 2,122,088
|
Republic of Korea, 1.375%, 6/10/2030
|
|
| 2,721,670,000
| 1,738,833
|
Republic of Paraguay, 6%, 2/09/2036 (n)
|
| $
| 200,000
| 198,260
|
Republic of Paraguay, 5.4%, 3/30/2050 (n)
|
|
| 1,150,000
| 985,256
|
Republic of Philippines, 3.556%, 9/29/2032
|
|
| 334,000
| 293,748
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Emerging Market Sovereign – continued
|
Republic of Poland, 5.125%, 9/18/2034
|
| $
| 379,000
| $368,577
|
Republic of Romania, 1.75%, 7/13/2030 (n)
|
| EUR
| 247,000
| 219,268
|
Republic of Romania, 2%, 1/28/2032
|
|
| 350,000
| 299,067
|
Republic of Romania, 2%, 4/14/2033
|
|
| 250,000
| 205,904
|
Republic of Serbia, 1.65%, 3/03/2033
|
|
| 428,000
| 347,948
|
Republic of Serbia, 2.05%, 9/23/2036 (n)
|
|
| 452,000
| 348,091
|
Republic of Sri Lanka, 7.55%, 3/28/2030 (a)(d)(n)
|
| $
| 446,000
| 257,569
|
Republic of Turkey, 7.625%, 5/15/2034
|
|
| 566,000
| 567,551
|
Sultanate of Oman, 7%, 1/25/2051
|
|
| 800,000
| 830,200
|
United Mexican States, 7.75%, 5/29/2031
|
| MXN
| 5,900,000
| 310,828
|
United Mexican States, 4.75%, 4/27/2032
|
| $
| 727,000
| 674,292
|
United Mexican States, 4.875%, 5/19/2033
|
|
| 441,000
| 408,623
|
United Mexican States, 3.771%, 5/24/2061
|
|
| 774,000
| 479,932
|
|
|
|
| $27,193,280
|
Energy - Independent – 3.3%
|
Civitas Resources, Inc., 8.375%, 7/01/2028 (n)
|
| $
| 526,000
| $552,030
|
Civitas Resources, Inc., 8.625%, 11/01/2030 (n)
|
|
| 173,000
| 185,055
|
Civitas Resources, Inc., 8.75%, 7/01/2031 (n)
|
|
| 349,000
| 372,597
|
Comstock Resources, Inc., 6.75%, 3/01/2029 (n)
|
|
| 1,167,000
| 1,128,822
|
CrownRock LP/CrownRock Finance, Inc., “F”, 5%, 5/01/2029 (n)
|
|
| 651,000
| 642,049
|
Diamondback Energy, Inc., 5.75%, 4/18/2054
|
|
| 77,000
| 74,231
|
Encino Acquisition partners Holdings LLC, 8.75%, 5/01/2031 (n)
|
|
| 464,000
| 479,840
|
Matador Resources Co., 6.875%, 4/15/2028 (n)
|
|
| 635,000
| 640,789
|
Matador Resources Co., 6.5%, 4/15/2032 (n)
|
|
| 228,000
| 227,556
|
Medco Bell Pte. Ltd., 6.375%, 1/30/2027 (n)
|
|
| 492,000
| 481,211
|
Occidental Petroleum Corp., 6.45%, 9/15/2036
|
|
| 103,000
| 107,289
|
Permian Resources Operating LLC, 7.75%, 2/15/2026 (n)
|
|
| 110,000
| 110,954
|
Permian Resources Operating LLC, 5.875%, 7/01/2029 (n)
|
|
| 886,000
| 868,261
|
Permian Resources Operating LLC, 7%, 1/15/2032 (n)
|
|
| 463,000
| 473,005
|
Pioneer Natural Resources Co., 2.15%, 1/15/2031
|
|
| 95,000
| 79,743
|
Santos Finance Ltd., 6.875%, 9/19/2033 (n)
|
|
| 82,000
| 85,846
|
Sitio Royalties Operating Partnership, LP, 7.875%, 11/01/2028 (n)
|
|
| 841,000
| 872,558
|
SM Energy Co., 6.5%, 7/15/2028
|
|
| 664,000
| 661,795
|
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026
|
|
| 987,000
| 940,019
|
Vital Energy, Inc., 7.875%, 4/15/2032 (n)
|
|
| 457,000
| 464,018
|
|
|
|
| $9,447,668
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Energy - Integrated – 0.3%
|
BP Capital Markets America, Inc., 4.812%, 2/13/2033
|
| $
| 54,000
| $52,228
|
BP Capital Markets B.V., 4.323%, 5/12/2035
|
| EUR
| 100,000
| 111,549
|
Citgo Petroleum Corp., 8.375%, 1/15/2029 (n)
|
| $
| 585,000
| 605,568
|
Eni S.p.A., 3.875%, 1/15/2034
|
| EUR
| 100,000
| 107,052
|
Exxon Mobil Corp., 1.408%, 6/26/2039
|
|
| 100,000
| 76,479
|
|
|
|
| $952,876
|
Entertainment – 2.4%
|
Carnival Corp. PLC, 7.625%, 3/01/2026 (n)
|
| $
| 642,000
| $645,481
|
Carnival Corp. PLC, 5.75%, 3/01/2027 (n)
|
|
| 989,000
| 970,785
|
Carnival Corp. PLC, 4%, 8/01/2028 (n)
|
|
| 366,000
| 337,823
|
Carnival Corp. PLC, 6%, 5/01/2029 (n)
|
|
| 367,000
| 358,688
|
Carnival Corp. PLC, 5.75%, 1/15/2030 (n)
|
| EUR
| 260,000
| 286,683
|
Merlin Entertainments, 7.375%, 2/15/2031 (n)
|
| $
| 734,000
| 743,924
|
NCL Corp. Ltd., 5.875%, 3/15/2026 (n)
|
|
| 659,000
| 647,950
|
Royal Caribbean Cruises Ltd., 5.375%, 7/15/2027 (n)
|
|
| 566,000
| 554,557
|
Royal Caribbean Cruises Ltd., 5.5%, 4/01/2028 (n)
|
|
| 360,000
| 351,689
|
SeaWorld Parks & Entertainment, 5.25%, 8/15/2029 (n)
|
|
| 403,000
| 376,847
|
Six Flags Entertainment Corp., 6.625%, 5/01/2032 (n)
|
|
| 747,000
| 747,544
|
Viking Cruises Ltd. Co., 5.875%, 9/15/2027 (n)
|
|
| 228,000
| 222,617
|
Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/2029 (n)
|
|
| 625,000
| 599,388
|
|
|
|
| $6,843,976
|
Financial Institutions – 3.7%
|
Avation Capital S.A., 8.25% (8.25% Cash or 9% PIK), 10/31/2026 (n)(p)
|
| $
| 574,138
| $506,625
|
Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n)
|
|
| 69,000
| 67,014
|
Citycon Treasury B.V., 6.5%, 3/08/2029
|
| EUR
| 100,000
| 108,184
|
Credit Acceptance Corp., 9.25%, 12/15/2028 (n)
|
| $
| 690,000
| 728,452
|
Encore Capital Group, Inc., 9.25%, 4/01/2029 (n)
|
|
| 558,000
| 580,707
|
Freedom Mortgage Corp., 7.625%, 5/01/2026 (n)
|
|
| 570,000
| 566,351
|
Freedom Mortgage Holdings LLC, 9.25%, 2/01/2029 (n)
|
|
| 143,000
| 144,442
|
FTAI Aviation Ltd., 5.5%, 5/01/2028 (n)
|
|
| 657,000
| 634,993
|
FTAI Aviation Ltd., 7.875%, 12/01/2030 (n)
|
|
| 407,000
| 425,296
|
Global Aircraft Leasing Co. Ltd., 6.5% (6.5% Cash or 7.25% PIK), 9/15/2024 (n)(p)
|
|
| 1,590,325
| 1,512,827
|
Heimstaden Bostad Treasury B.V., 1%, 4/13/2028
|
| EUR
| 100,000
| 87,581
|
Jefferson Capital Holdings LLC, 9.5%, 2/15/2029 (n)
|
| $
| 509,000
| 523,488
|
Macquarie AirFinance Holdings Ltd., 8.375%, 5/01/2028 (n)
|
|
| 762,000
| 801,282
|
Macquarie AirFinance Holdings Ltd., 6.4%, 3/26/2029 (n)
|
|
| 107,000
| 108,125
|
Macquarie AirFinance Holdings Ltd., 8.125%, 3/30/2029 (n)
|
|
| 126,000
| 132,674
|
Muthoot Finance Ltd., 7.125%, 2/14/2028 (n)
|
|
| 231,000
| 232,000
|
Nationstar Mortgage Holdings, Inc., 6%, 1/15/2027 (n)
|
|
| 991,000
| 977,444
|
OneMain Finance Corp., 6.875%, 3/15/2025
|
|
| 566,000
| 570,037
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Financial Institutions – continued
|
OneMain Finance Corp., 7.125%, 3/15/2026
|
| $
| 763,000
| $774,200
|
OneMain Finance Corp., 5.375%, 11/15/2029
|
|
| 403,000
| 374,796
|
OneMain Finance Corp., 7.5%, 5/15/2031
|
|
| 416,000
| 416,135
|
Samhallsbyggnadsbolaget i Norden AB, 3%, 1/14/2025
|
| EUR
| 100,000
| 100,402
|
Samhallsbyggnadsbolaget i Norden AB, 2.375%, 9/04/2026
|
|
| 100,000
| 83,549
|
Samhallsbyggnadsbolaget i Norden AB, 2.875% to 1/30/2027, FLR (EUR Swap Rate - 5yr. + 3.223%) to 1/30/2032, FLR (EUR Swap Rate - 5yr. +
3.473%) to 1/30/2047, FLR (EUR Swap Rate - 5yr. + 4.473%) to 1/30/2171
|
|
| 280,000
| 96,230
|
|
|
|
| $10,552,834
|
Food & Beverages – 2.8%
|
Anheuser-Busch InBev S.A/N.V., 3.95%, 3/22/2044
|
| EUR
| 100,000
| $105,936
|
Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038
|
| $
| 144,000
| 130,066
|
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049
|
|
| 42,000
| 42,067
|
B&G Foods, Inc., 5.25%, 9/15/2027
|
|
| 406,000
| 372,607
|
B&G Foods, Inc., 8%, 9/15/2028 (n)
|
|
| 216,000
| 219,222
|
Bacardi-Martini B.V., 5.4%, 6/15/2033 (n)
|
|
| 129,000
| 125,296
|
Central American Bottling Corp., 5.25%, 4/27/2029 (n)
|
|
| 755,000
| 710,062
|
Chobani LLC/Chobani Finance Corp., 7.625%, 7/01/2029 (n)
|
|
| 285,000
| 290,333
|
Coca-Cola Co., 3.125%, 5/14/2032
|
| EUR
| 100,000
| 105,922
|
Constellation Brands, Inc., 3.15%, 8/01/2029
|
| $
| 32,000
| 28,905
|
Constellation Brands, Inc., 2.25%, 8/01/2031
|
|
| 53,000
| 43,262
|
Fiesta Purchaser, Inc., 7.875%, 3/01/2031 (n)
|
|
| 460,000
| 472,641
|
JBS USA Food Co., 6.5%, 12/01/2052
|
|
| 43,000
| 43,138
|
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.625%, 1/15/2032
|
|
| 781,000
| 669,657
|
Kraft Heinz Foods Co., 4.375%, 6/01/2046
|
|
| 94,000
| 77,053
|
Performance Food Group Co., 5.5%, 10/15/2027 (n)
|
|
| 781,000
| 761,198
|
Pernod Ricard S.A., 3.375%, 11/07/2030
|
| EUR
| 100,000
| 106,346
|
Post Holdings, Inc., 5.625%, 1/15/2028 (n)
|
| $
| 555,000
| 542,268
|
Post Holdings, Inc., 4.625%, 4/15/2030 (n)
|
|
| 935,000
| 849,038
|
Primo Water Holding, Inc., 4.375%, 4/30/2029 (n)
|
|
| 1,014,000
| 929,777
|
TreeHouse Foods, Inc., 4%, 9/01/2028
|
|
| 461,000
| 410,521
|
U.S. Foods Holding Corp., 4.75%, 2/15/2029 (n)
|
|
| 783,000
| 734,956
|
United Natural Foods, Inc., 6.75%, 10/15/2028 (n)
|
|
| 267,000
| 220,359
|
|
|
|
| $7,990,630
|
Gaming & Lodging – 3.2%
|
Caesars Entertainment, Inc., 4.625%, 10/15/2029 (n)
|
| $
| 310,000
| $280,059
|
Caesars Entertainment, Inc., 7%, 2/15/2030 (n)
|
|
| 643,000
| 649,945
|
Caesars Resort Collection LLC/CRC Finco, Inc., 8.125%, 7/01/2027 (n)
|
|
| 497,000
| 506,687
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Gaming & Lodging – continued
|
CCM Merger, Inc., 6.375%, 5/01/2026 (n)
|
| $
| 591,000
| $586,640
|
CDI Escrow Issuer, Inc., 5.75%, 4/01/2030 (n)
|
|
| 991,000
| 950,540
|
Flutter Treasury DAC, 5%, 4/29/2029 (n)
|
| EUR
| 203,000
| 223,079
|
Flutter Treasury DAC, 6.375%, 4/29/2029 (n)
|
| $
| 200,000
| 201,022
|
Hilton Domestic Operating Co., Inc., 4.875%, 1/15/2030
|
|
| 1,038,000
| 981,397
|
Las Vegas Sands Corp., 3.9%, 8/08/2029
|
|
| 89,000
| 80,850
|
Las Vegas Sands Corp., 6.2%, 8/15/2034
|
|
| 298,000
| 300,292
|
Marriott International, Inc., 2.85%, 4/15/2031
|
|
| 90,000
| 76,473
|
Penn National Gaming, Inc., 4.125%, 7/01/2029 (n)
|
|
| 509,000
| 424,786
|
Studio City Finance Ltd., 5%, 1/15/2029 (n)
|
|
| 342,000
| 297,882
|
VICI Properties LP, REIT, 4.95%, 2/15/2030
|
|
| 47,000
| 45,025
|
Wyndham Hotels & Resorts, Inc., 4.375%, 8/15/2028 (n)
|
|
| 1,040,000
| 964,771
|
Wynn Macau Ltd., 5.5%, 10/01/2027 (n)
|
|
| 705,000
| 670,143
|
Wynn Macau Ltd., 5.625%, 8/26/2028 (n)
|
|
| 883,000
| 825,161
|
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029 (n)
|
|
| 727,000
| 683,702
|
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 7.125%, 2/15/2031 (n)
|
|
| 286,000
| 293,661
|
|
|
|
| $9,042,115
|
Industrial – 1.1%
|
Albion Financing 1 S.à r.l., 6.125%, 10/15/2026 (n)
|
| $
| 200,000
| $196,793
|
Albion Financing 2 S.à r.l., 8.75%, 4/15/2027 (n)
|
|
| 635,000
| 640,590
|
APi Escrow Corp., 4.75%, 10/15/2029 (n)
|
|
| 1,016,000
| 931,807
|
Arcadis N.V., 4.875%, 2/28/2028
|
| EUR
| 100,000
| 111,166
|
Artera Services LLC, 8.5%, 2/15/2031 (n)
|
| $
| 459,000
| 468,997
|
Trustees of the University of Pennsylvania, 2.396%, 10/01/2050
|
|
| 35,000
| 20,860
|
Williams Scotsman International, Inc., 4.625%, 8/15/2028 (n)
|
|
| 887,000
| 828,210
|
|
|
|
| $3,198,423
|
Insurance – 0.1%
|
Corebridge Financial, Inc., 4.35%, 4/05/2042
|
| $
| 101,000
| $83,265
|
Lincoln National Corp., 5.852%, 3/15/2034
|
|
| 109,000
| 108,424
|
Sammons Financial Group, Inc., 6.875%, 4/15/2034 (n)
|
|
| 62,000
| 63,026
|
|
|
|
| $254,715
|
Insurance - Health – 0.1%
|
Elevance Health, Inc., 5.375%, 6/15/2034
|
| $
| 80,000
| $79,766
|
UnitedHealth Group, Inc., 3.25%, 5/15/2051
|
|
| 74,000
| 50,694
|
|
|
|
| $130,460
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Insurance - Property & Casualty – 2.7%
|
Acrisure LLC/Acrisure Finance, Inc., 8.25%, 2/01/2029 (n)
|
| $
| 344,000
| $345,661
|
Acrisure LLC/Acrisure Finance, Inc., 6%, 8/01/2029 (n)
|
|
| 116,000
| 105,735
|
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/2027 (n)
|
|
| 470,000
| 460,671
|
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 5.875%, 11/01/2029 (n)
|
|
| 692,000
| 643,704
|
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 7%, 1/15/2031 (n)
|
|
| 450,000
| 451,176
|
American International Group, Inc., 5.125%, 3/27/2033
|
|
| 87,000
| 85,383
|
AmWINS Group Benefits, Inc., 4.875%, 6/30/2029 (n)
|
|
| 576,000
| 529,455
|
Ardonagh Finco Ltd., 7.75%, 2/15/2031 (n)
|
|
| 701,000
| 696,124
|
Arthur J. Gallagher & Co., 6.5%, 2/15/2034
|
|
| 45,000
| 47,574
|
Arthur J. Gallagher & Co., 6.75%, 2/15/2054
|
|
| 60,000
| 66,021
|
AssuredPartners, Inc., 5.625%, 1/15/2029 (n)
|
|
| 459,000
| 427,138
|
Baldwin Insurance Group Holdings LLC, 7.125%, 5/15/2031 (n)
|
|
| 637,000
| 643,254
|
Fairfax Financial Holdings Ltd., 4.25%, 12/06/2027
|
| CAD
| 175,000
| 125,307
|
Fairfax Financial Holdings Ltd., 6.35%, 3/22/2054 (n)
|
| $
| 71,000
| 71,378
|
GTCR (AP) Finance, Inc., 8%, 5/15/2027 (n)
|
|
| 484,000
| 484,527
|
Hub International Ltd., 5.625%, 12/01/2029 (n)
|
|
| 287,000
| 266,277
|
Hub International Ltd., 7.25%, 6/15/2030 (n)
|
|
| 866,000
| 879,881
|
Hub International Ltd., 7.375%, 1/31/2032 (n)
|
|
| 390,000
| 391,384
|
Panther Escrow Issuer, 7.125%, 6/01/2031 (n)
|
|
| 836,000
| 842,957
|
QBE Insurance Group Ltd., 2.5% to 9/13/2028, FLR (GBP Government Yield - 5yr. + 2.061%) to 9/13/2038
|
| GBP
| 100,000
| 108,868
|
|
|
|
| $7,672,475
|
International Market Quasi-Sovereign – 0.3%
|
Deutsche Bahn Finance GmbH (Federal Republic of Germany), 3.375%, 1/29/2038
|
| EUR
| 20,000
| $21,026
|
EnBW International Finance B.V. (Federal Republic of Germany), 3.5%, 7/24/2028
|
|
| 90,000
| 97,283
|
La Banque Postale (Republic of France), 3.5%, 6/13/2030
|
|
| 100,000
| 106,975
|
Landsbankinn hf. (Republic of Iceland), 5%, 5/13/2028
|
|
| 100,000
| 109,809
|
Logicor Financing S.à r.l. (Grand Duchy of Luxembourg), 1.625%, 1/17/2030
|
|
| 110,000
| 101,225
|
NBN Co. Ltd. (Commonwealth of Australia), 5.75%, 10/06/2028 (n)
|
| $
| 200,000
| 204,800
|
NBN Co. Ltd. (Commonwealth of Australia), 3.75%, 3/22/2034
|
| EUR
| 100,000
| 107,311
|
P3 Group S.à r.l. (Grand Duchy of Luxembourg), 1.625%, 1/26/2029
|
|
| 100,000
| 95,258
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
International Market Quasi-Sovereign – continued
|
Swisscom Finance, 3.5%, 11/29/2031
|
| EUR
| 100,000
| $107,711
|
|
|
|
| $951,398
|
International Market Sovereign – 10.6%
|
Commonwealth of Australia, 3.25%, 6/21/2039
|
| AUD
| 14,422,000
| $8,185,910
|
Commonwealth of Australia, 2.75%, 5/21/2041
|
|
| 960,000
| 494,882
|
Government of Bermuda, 2.375%, 8/20/2030 (n)
|
| $
| 200,000
| 166,400
|
Government of Bermuda, 5%, 7/15/2032 (n)
|
|
| 560,000
| 535,528
|
Government of Canada, 1.25%, 6/01/2030
|
| CAD
| 882,000
| 565,141
|
Government of Canada, 1.5%, 6/01/2031
|
|
| 2,484,000
| 1,583,968
|
Government of Canada, 2%, 6/01/2032
|
|
| 1,037,000
| 674,691
|
Government of Japan, 2.4%, 12/20/2034
|
| JPY
| 407,000,000
| 2,911,021
|
Government of Japan, 0.3%, 12/20/2039
|
|
| 196,350,000
| 1,027,640
|
Government of Japan, 0.4%, 3/20/2050
|
|
| 159,900,000
| 679,355
|
Government of Japan, 0.7%, 12/20/2051
|
|
| 308,500,000
| 1,387,205
|
Government of New Zealand, 3.5%, 4/14/2033
|
| NZD
| 372,000
| 207,654
|
Kingdom of Belgium, 2.85%, 10/22/2034 (n)
|
| EUR
| 375,000
| 394,807
|
Kingdom of Belgium, 0.4%, 6/22/2040
|
|
| 347,000
| 237,127
|
Kingdom of Spain, 3.25%, 4/30/2034
|
|
| 1,075,000
| 1,153,521
|
Kingdom of Spain, 3.45%, 10/31/2034 (n)(w)
|
|
| 477,000
| 518,771
|
Kingdom of Spain, 3.9%, 7/30/2039 (n)
|
|
| 1,075,000
| 1,192,680
|
Kingdom of Spain, 1%, 10/31/2050
|
|
| 650,000
| 375,676
|
Kingdom of Spain, 4%, 10/31/2054
|
|
| 462,000
| 501,854
|
Republic of Italy, 4.1%, 2/01/2029
|
|
| 2,571,000
| 2,864,704
|
Republic of Italy, 1.45%, 3/01/2036
|
|
| 1,295,000
| 1,070,626
|
Republic of Italy, 4.15%, 10/01/2039 (n)
|
|
| 1,736,000
| 1,865,676
|
United Kingdom Treasury, 0.375%, 10/22/2030
|
| GBP
| 398,000
| 401,027
|
United Kingdom Treasury, 1.25%, 10/22/2041
|
|
| 506,000
| 386,927
|
United Kingdom Treasury, 1.5%, 7/22/2047
|
|
| 130,000
| 90,993
|
United Kingdom Treasury, 3.75%, 7/22/2052
|
|
| 515,000
| 556,491
|
|
|
|
| $30,030,275
|
Local Authorities – 0.0%
|
Province of Alberta, 1.65%, 6/01/2031
|
| CAD
| 95,000
| $59,346
|
Province of British Columbia, 2.95%, 6/18/2050
|
|
| 115,000
| 64,473
|
|
|
|
| $123,819
|
Machinery & Tools – 0.8%
|
AGCO Corp., 5.8%, 3/21/2034
|
| $
| 102,000
| $101,821
|
CNH Industrial Capital LLC, 5.5%, 1/12/2029
|
|
| 71,000
| 71,519
|
Ritchie Bros Holdings, Inc., 7.75%, 3/15/2031 (n)
|
|
| 1,288,000
| 1,344,412
|
Sarens Finance Co. N.V., 5.75%, 2/21/2027
|
| EUR
| 110,000
| 116,169
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Machinery & Tools – continued
|
Terex Corp., 5%, 5/15/2029 (n)
|
| $
| 682,000
| $641,422
|
|
|
|
| $2,275,343
|
Major Banks – 1.3%
|
Banca Popolare Sondrio, 4.125%, 6/04/2030 (w)
|
| EUR
| 100,000
| $107,711
|
Bank of America Corp., 5.202% to 4/25/2028, FLR (SOFR - 1 day + 1.63%) to 4/25/2029
|
| $
| 100,000
| 99,460
|
Bank of America Corp., 2.687% to 4/22/2031, FLR (SOFR - 1 day + 1.32%) to 4/22/2032
|
|
| 92,000
| 77,320
|
BPER Banca S.p.A., 4%, 5/22/2031
|
| EUR
| 100,000
| 107,247
|
Commonwealth Bank of Australia, 2.688%, 3/11/2031 (n)
|
| $
| 221,000
| 182,317
|
ING Groep N.V., 4.375%, 8/15/2034
|
| EUR
| 100,000
| 107,515
|
JPMorgan Chase & Co., 1.47% to 9/22/2026, FLR (SOFR - 1 day + 0.765%) to 9/22/2027
|
| $
| 44,000
| 40,265
|
JPMorgan Chase & Co., 5.04% to 1/23/2027, FLR (SOFR - 1 day + 1.19%) to 1/23/2028
|
|
| 66,000
| 65,439
|
JPMorgan Chase & Co., 5.581% to 4/22/2029, FLR (SOFR - 1 day + 1.16%) to 4/22/2030
|
|
| 59,000
| 59,642
|
JPMorgan Chase & Co., 1.953% to 2/04/2031, FLR (SOFR - 1 day + 1.065%) to 2/04/2032
|
|
| 108,000
| 87,423
|
JPMorgan Chase & Co., 3.761% to 3/21/2033, FLR (EURIBOR - 3mo. + 0.98%) to 3/21/2034
|
| EUR
| 100,000
| 107,309
|
JPMorgan Chase & Co., 3.328% to 4/22/2051, FLR (SOFR - 1 day + 1.58%) to 4/22/2052
|
| $
| 28,000
| 19,782
|
Lloyds Banking Group PLC, 4.75% to 9/21/2030, FLR (EUR Swap Rate - 1yr. + 1.6%) to 9/21/2031
|
| EUR
| 100,000
| 112,818
|
Lloyds Banking Group PLC, 3.875%, 5/14/2032
|
|
| 100,000
| 107,418
|
Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR - 1 day + 3.12%) to 4/01/2031
|
| $
| 154,000
| 140,570
|
Morgan Stanley, 5.424% to 7/21/2033, FLR (SOFR - 1 day + 1.88%) to 7/21/2034
|
|
| 43,000
| 42,555
|
Morgan Stanley, 3.955% to 3/21/2034, FLR (EURIBOR - 3mo. + 1.242%) to 3/21/2035
|
| EUR
| 100,000
| 107,629
|
Nationwide Building Soceity, 4.015%, 5/02/2027
|
|
| 100,000
| 108,559
|
NatWest Group PLC, 8.125% to 5/10/2034, FLR (CMT - 5yr. + 3.752%) to 6/30/2172
|
| $
| 200,000
| 202,806
|
NatWest Markets PLC, 3.625%, 1/09/2029
|
| EUR
| 100,000
| 107,820
|
PNC Financial Services Group, Inc., 5.3% to 1/21/2027, FLR (SOFR - 1 day + 1.342%) to 1/21/2028
|
| $
| 46,000
| 45,868
|
PNC Financial Services Group, Inc., 5.676% to 1/22/2034, FLR (SOFR - 1 day + 1.902%) to 1/22/2035
|
|
| 55,000
| 55,002
|
Toronto-Dominion Bank, 3.563%, 4/16/2031
|
| EUR
| 100,000
| 106,622
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Major Banks – continued
|
Toronto-Dominion Bank, 8.125% to 10/31/2027, FLR (CMT - 5yr. + 4.075%) to 10/31/2082
|
| $
| 985,000
| $1,020,891
|
UBS Group AG, 2.746% to 2/11/2032, FLR (CMT - 1yr. + 1.1%) to 2/11/2033 (n)
|
|
| 200,000
| 163,457
|
UniCredit S.p.A., 4.3%, 1/23/2031
|
| EUR
| 150,000
| 163,415
|
Wells Fargo & Co., 3.526% to 3/24/2027, FLR (SOFR - 1 day + 1.51%) to 3/24/2028
|
| $
| 45,000
| 42,786
|
Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033
|
|
| 69,000
| 59,501
|
|
|
|
| $3,649,147
|
Medical & Health Technology & Services – 4.2%
|
180 Medical, Inc., 3.875%, 10/15/2029 (n)
|
| $
| 965,000
| $867,945
|
Avantor Funding, Inc., 4.625%, 7/15/2028 (n)
|
|
| 1,108,000
| 1,042,645
|
Bausch & Lomb Escrow Corp., 8.375%, 10/01/2028 (n)
|
|
| 486,000
| 494,505
|
CAB SELAS, 3.375%, 2/01/2028
|
| EUR
| 100,000
| 97,540
|
Charles River Laboratories International, Inc., 3.75%, 3/15/2029 (n)
|
| $
| 1,070,000
| 967,870
|
CHS/Community Health Systems, Inc., 8%, 12/15/2027 (n)
|
|
| 426,000
| 426,162
|
CHS/Community Health Systems, Inc., 6.125%, 4/01/2030 (n)
|
|
| 454,000
| 323,738
|
CHS/Community Health Systems, Inc., 5.25%, 5/15/2030 (n)
|
|
| 1,146,000
| 951,297
|
CVS Health Corp., 5.625%, 2/21/2053
|
|
| 16,000
| 14,838
|
Encompass Health Corp., 5.75%, 9/15/2025
|
|
| 244,000
| 243,013
|
Encompass Health Corp., 4.75%, 2/01/2030
|
|
| 680,000
| 629,371
|
Encompass Health Corp., 4.625%, 4/01/2031
|
|
| 120,000
| 108,463
|
HCA, Inc., 5.125%, 6/15/2039
|
|
| 54,000
| 50,132
|
ICON Investments Six DAC, 5.809%, 5/08/2027
|
|
| 200,000
| 201,535
|
IQVIA, Inc., 5%, 5/15/2027 (n)
|
|
| 1,010,000
| 981,120
|
IQVIA, Inc., 6.5%, 5/15/2030 (n)
|
|
| 600,000
| 605,942
|
Lifepoint Health, Inc., 9.875%, 8/15/2030 (n)
|
|
| 286,000
| 306,016
|
Lifepoint Health, Inc., 11%, 10/15/2030 (n)
|
|
| 341,000
| 375,661
|
Lifepoint Health, Inc., 10%, 6/01/2032 (n)
|
|
| 464,000
| 465,684
|
New York Society for the Relief of the Ruptured & Crippled, 2.667%, 10/01/2050
|
|
| 179,000
| 111,194
|
ProMedica Toledo Hospital, “B”, AGM, 6.015%, 11/15/2048
|
|
| 142,000
| 141,020
|
Surgery Center Holdings, Inc., 7.25%, 4/15/2032 (n)
|
|
| 512,000
| 515,842
|
Tenet Healthcare Corp., 6.125%, 10/01/2028
|
|
| 484,000
| 479,450
|
Tenet Healthcare Corp., 4.375%, 1/15/2030
|
|
| 416,000
| 382,553
|
Tenet Healthcare Corp., 6.125%, 6/15/2030
|
|
| 726,000
| 719,583
|
U.S. Acute Care Solutions LLC, 9.75%, 5/15/2029 (n)
|
|
| 465,000
| 448,306
|
|
|
|
| $11,951,425
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Medical Equipment – 0.7%
|
American Medical Systems Europe B.V., 3.5%, 3/08/2032
|
| EUR
| 100,000
| $106,353
|
Garden SpinCo Corp., 8.625%, 7/20/2030 (n)
|
| $
| 620,000
| 662,415
|
Medline Borrower LP, 3.875%, 4/01/2029 (n)
|
|
| 290,000
| 263,951
|
Medline Borrower LP, 5.25%, 10/01/2029 (n)
|
|
| 848,000
| 799,390
|
|
|
|
| $1,832,109
|
Metals & Mining – 2.0%
|
Anglo American Capital PLC, 4.125%, 3/15/2032
|
| EUR
| 100,000
| $107,420
|
Baffinland Iron Mines Corp./Baffinland Iron Mines LP, 8.75%, 7/15/2026 (n)
|
| $
| 742,000
| 674,686
|
FMG Resources Ltd., 5.875%, 4/15/2030 (n)
|
|
| 130,000
| 126,097
|
FMG Resources Ltd., 4.375%, 4/01/2031 (n)
|
|
| 1,766,000
| 1,567,838
|
Glencore Capital Finance DAC, 4.154%, 4/29/2031
|
| EUR
| 110,000
| 118,183
|
GrafTech Finance, Inc., 4.625%, 12/15/2028 (n)
|
| $
| 797,000
| 516,116
|
Kaiser Aluminum Corp., 4.625%, 3/01/2028 (n)
|
|
| 514,000
| 478,175
|
Novelis Corp., 3.25%, 11/15/2026 (n)
|
|
| 486,000
| 453,757
|
Novelis Corp., 4.75%, 1/30/2030 (n)
|
|
| 784,000
| 724,350
|
Novelis Corp., 3.875%, 8/15/2031 (n)
|
|
| 248,000
| 212,330
|
Petra Diamonds US$ Treasury PLC, 9.75%, 3/08/2026 (n)
|
|
| 373,170
| 271,339
|
Taseko Mines Ltd., 8.25%, 5/01/2030 (n)
|
|
| 457,000
| 468,466
|
|
|
|
| $5,718,757
|
Midstream – 4.0%
|
Columbia Pipelines Operating Co. LLC, 6.036%, 11/15/2033 (n)
|
| $
| 45,000
| $45,868
|
Columbia Pipelines Operating Co. LLC, 6.544%, 11/15/2053 (n)
|
|
| 72,000
| 76,288
|
DT Midstream, Inc., 4.125%, 6/15/2029 (n)
|
|
| 863,000
| 789,172
|
DT Midstream, Inc., 4.375%, 6/15/2031 (n)
|
|
| 862,000
| 774,281
|
Enbridge, Inc., 5.7%, 3/08/2033
|
|
| 42,000
| 42,146
|
Enbridge, Inc., 8.5% to 1/15/2034, FLR (CMT - 5yr. + 4.431%) to 1/15/2054, FLR (CMT - 5yr. + 5.181%) to 1/15/2084
|
|
| 74,000
| 79,528
|
Energy Transfer LP, 5.95%, 5/15/2054
|
|
| 60,000
| 57,726
|
EQM Midstream Partners LP, 5.5%, 7/15/2028
|
|
| 961,000
| 942,317
|
EQM Midstream Partners LP, 6.375%, 4/01/2029 (n)
|
|
| 229,000
| 228,578
|
Kinetik Holdings, Inc., 5.875%, 6/15/2030 (n)
|
|
| 793,000
| 772,769
|
NuStar Logistics, LP, 6.375%, 10/01/2030
|
|
| 683,000
| 680,929
|
Peru LNG, 5.375%, 3/22/2030
|
|
| 518,000
| 438,415
|
Prairie Acquiror LP, 9%, 8/01/2029 (n)
|
|
| 290,000
| 298,025
|
Sunoco LP, 7.25%, 5/01/2032 (n)
|
|
| 580,000
| 593,795
|
Tallgrass Energy Partners LP, 5.5%, 1/15/2028 (n)
|
|
| 953,000
| 908,986
|
Tallgrass Energy Partners LP, 7.375%, 2/15/2029 (n)
|
|
| 444,000
| 445,179
|
Targa Resources Corp., 4.2%, 2/01/2033
|
|
| 11,000
| 9,871
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Midstream – continued
|
Targa Resources Corp., 4.95%, 4/15/2052
|
| $
| 79,000
| $67,191
|
Venture Global Calcasieu Pass LLC, 3.875%, 8/15/2029 (n)
|
|
| 632,000
| 569,183
|
Venture Global Calcasieu Pass LLC, 6.25%, 1/15/2030 (n)
|
|
| 410,000
| 410,986
|
Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031 (n)
|
|
| 627,000
| 553,747
|
Venture Global LNG, Inc., 8.125%, 6/01/2028 (n)
|
|
| 833,000
| 851,321
|
Venture Global LNG, Inc., 9.5%, 2/01/2029 (n)
|
|
| 706,000
| 765,672
|
Venture Global LNG, Inc., 8.375%, 6/01/2031 (n)
|
|
| 886,000
| 913,643
|
|
|
|
| $11,315,616
|
Mortgage-Backed – 3.0%
|
|
Fannie Mae, 6.5%, 4/01/2032 - 1/01/2033
|
| $
| 11,891
| $12,122
|
Fannie Mae, 5.5%, 7/01/2033 - 7/01/2035
|
|
| 47,642
| 47,854
|
Fannie Mae, 6%, 8/01/2034 - 2/01/2037
|
|
| 23,252
| 23,716
|
Fannie Mae, 3.5%, 12/01/2047
|
|
| 36,727
| 33,172
|
Fannie Mae, UMBS, 2%, 4/01/2042 - 5/01/2052
|
|
| 531,340
| 419,506
|
Fannie Mae, UMBS, 6.5%, 2/01/2043
|
|
| 38,486
| 39,119
|
Fannie Mae, UMBS, 3.5%, 5/01/2049 - 7/01/2050
|
|
| 116,489
| 104,200
|
Fannie Mae, UMBS, 2.5%, 1/01/2050 - 4/01/2052
|
|
| 797,161
| 646,362
|
Fannie Mae, UMBS, 3%, 12/01/2051
|
|
| 19,560
| 16,660
|
Fannie Mae, UMBS, 5%, 8/01/2052
|
|
| 167,968
| 161,908
|
Fannie Mae, UMBS, 4%, 10/01/2052
|
|
| 470,443
| 427,493
|
Fannie Mae, UMBS, 5.5%, 11/01/2052
|
|
| 111,920
| 110,434
|
Fannie Mae, UMBS, 6%, 11/01/2053
|
|
| 95,462
| 95,608
|
Freddie Mac, 0.181%, 2/25/2025 (i)
|
|
| 38,000,000
| 46,793
|
Freddie Mac, 1.366%, 3/25/2027 (i)
|
|
| 448,000
| 15,127
|
Freddie Mac, 0.124%, 2/25/2028 (i)
|
|
| 36,576,000
| 194,742
|
Freddie Mac, 0.293%, 2/25/2028 (i)
|
|
| 15,572,000
| 170,521
|
Freddie Mac, 0.107%, 4/25/2028 (i)
|
|
| 15,983,000
| 86,065
|
Freddie Mac, 5.972%, 3/25/2029
|
|
| 175,747
| 176,501
|
Freddie Mac, 1.09%, 7/25/2029 (i)
|
|
| 1,875,185
| 85,401
|
Freddie Mac, 5.961%, 7/25/2029 - 9/25/2029
|
|
| 321,010
| 321,858
|
Freddie Mac, 5.962%, 8/25/2029
|
|
| 159,221
| 159,577
|
Freddie Mac, 1.798%, 4/25/2030 (i)
|
|
| 845,640
| 75,034
|
Freddie Mac, 1.868%, 4/25/2030 (i)
|
|
| 731,897
| 67,058
|
Freddie Mac, 1.666%, 5/25/2030 (i)
|
|
| 896,340
| 75,761
|
Freddie Mac, 1.797%, 5/25/2030 (i)
|
|
| 2,034,877
| 182,732
|
Freddie Mac, 1.341%, 6/25/2030 (i)
|
|
| 821,458
| 55,841
|
Freddie Mac, 1.599%, 8/25/2030 (i)
|
|
| 719,995
| 59,305
|
Freddie Mac, 1.169%, 9/25/2030 (i)
|
|
| 455,646
| 27,846
|
Freddie Mac, 1.081%, 11/25/2030 (i)
|
|
| 901,677
| 52,187
|
Freddie Mac, 4.94%, 11/25/2030
|
|
| 227,690
| 227,582
|
Freddie Mac, 0.326%, 1/25/2031 (i)
|
|
| 3,177,178
| 52,343
|
Freddie Mac, 0.514%, 3/25/2031 (i)
|
|
| 3,727,599
| 100,848
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Mortgage-Backed – continued
|
|
Freddie Mac, 0.938%, 7/25/2031 (i)
|
| $
| 670,491
| $37,558
|
Freddie Mac, 0.536%, 9/25/2031 (i)
|
|
| 2,699,427
| 85,845
|
Freddie Mac, 0.568%, 12/25/2031 (i)
|
|
| 659,754
| 22,651
|
Freddie Mac, 6%, 8/01/2034
|
|
| 18,559
| 18,937
|
Freddie Mac, UMBS, 4.5%, 7/01/2038 - 11/01/2053
|
|
| 207,272
| 197,412
|
Freddie Mac, UMBS, 2.5%, 4/01/2051 - 7/01/2051
|
|
| 542,017
| 438,863
|
Freddie Mac, UMBS, 2%, 8/01/2051 - 9/01/2051
|
|
| 68,500
| 53,258
|
Freddie Mac, UMBS, 3%, 4/01/2052
|
|
| 22,273
| 18,793
|
Freddie Mac, UMBS, 5%, 11/01/2052
|
|
| 211,881
| 204,163
|
Freddie Mac, UMBS, 6%, 8/01/2053
|
|
| 68,505
| 68,990
|
Freddie Mac, UMBS, 5.5%, 11/01/2053
|
|
| 96,619
| 95,106
|
Ginnie Mae, 2.5%, 8/20/2051 - 10/20/2052
|
|
| 424,058
| 353,624
|
Ginnie Mae, 2%, 3/20/2052
|
|
| 29,968
| 24,044
|
Ginnie Mae, 3%, 6/20/2052 - 11/20/2052
|
|
| 66,823
| 57,760
|
Ginnie Mae, 3.5%, 7/20/2052
|
|
| 76,625
| 68,385
|
Ginnie Mae, 4%, 7/20/2052 - 11/20/2052
|
|
| 102,652
| 94,367
|
Ginnie Mae, 5.5%, 2/20/2053
|
|
| 68,252
| 67,758
|
Ginnie Mae, 5%, 3/20/2053 - 4/20/2053
|
|
| 189,276
| 183,780
|
Ginnie Mae, 6.473%, 3/20/2064
|
|
| 149,298
| 149,743
|
Ginnie Mae, TBA, 2%, 6/15/2054 - 7/15/2054
|
|
| 75,000
| 60,132
|
Ginnie Mae, TBA, 3%, 6/15/2054
|
|
| 50,000
| 43,187
|
Ginnie Mae, TBA, 5.5%, 6/15/2054
|
|
| 25,000
| 24,798
|
Ginnie Mae, TBA, 6%, 6/15/2054
|
|
| 50,000
| 50,306
|
Ginnie Mae, TBA, 6.5%, 6/15/2054
|
|
| 75,000
| 76,129
|
UMBS, TBA, 4.5%, 6/15/2039
|
|
| 75,000
| 73,151
|
UMBS, TBA, 3%, 6/25/2054 - 7/25/2054
|
|
| 775,000
| 651,833
|
UMBS, TBA, 2%, 7/25/2054
|
|
| 1,275,000
| 984,472
|
|
|
|
| $8,576,321
|
Municipals – 0.4%
|
Iowa Student Loan Liquidity Corp. Rev., Taxable, “A”, 5.08%, 12/01/2039
|
| $
| 100,000
| $96,228
|
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, Issue M, “A”, 2.641%, 7/01/2037
|
|
| 145,000
| 129,419
|
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, Issue M, “A”, 4.949%, 7/01/2038
|
|
| 185,000
| 176,055
|
Massachusetts Housing Finance Agency, Single Family Housing Rev., Taxable, “226”, 5.562%, 12/01/2052
|
|
| 150,000
| 148,568
|
Michigan Finance Authority Hospital Rev., Taxable (Trinity Health Credit Group), 3.384%, 12/01/2040
|
|
| 70,000
| 56,468
|
Minnesota Housing Finance Agency, Residential Housing, Taxable, “G”, 4.337%, 1/01/2047
|
|
| 190,000
| 181,142
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Municipals – continued
|
Oklahoma Development Finance Authority, Health System Rev., Taxable (OU Medicine Project), “C”, 5.45%, 8/15/2028
|
| $
| 246,000
| $231,309
|
Oklahoma Development Finance Authority, Health System Rev., Taxable (OU Medicine Project), “C”, AGM,
4.65%, 8/15/2030
|
|
| 221,000
| 206,578
|
|
|
|
| $1,225,767
|
Natural Gas - Distribution – 0.1%
|
ENGIE S.A., 3.875%, 3/06/2036
|
| EUR
| 100,000
| $107,577
|
ENGIE S.A., 4.25%, 1/11/2043
|
|
| 100,000
| 107,436
|
|
|
|
| $215,013
|
Natural Gas - Pipeline – 0.1%
|
APA Infrastructure Ltd., 3.125%, 7/18/2031
|
| GBP
| 100,000
| $107,727
|
APA Infrastructure Ltd., 2.5%, 3/15/2036
|
|
| 100,000
| 89,471
|
|
|
|
| $197,198
|
Network & Telecom – 0.5%
|
Iliad Holding S.A.S., 7%, 10/15/2028 (n)
|
| $
| 1,012,000
| $1,002,163
|
Iliad Holding S.A.S., 6.875%, 4/15/2031 (n)
|
| EUR
| 366,000
| 403,701
|
TDC Net A/S, 5.186%, 8/02/2029
|
|
| 100,000
| 108,728
|
|
|
|
| $1,514,592
|
Oil Services – 0.5%
|
Nabors Industries Ltd., 7.25%, 1/15/2026 (n)
|
| $
| 346,000
| $346,849
|
Nabors Industries Ltd., 7.5%, 1/15/2028 (n)
|
|
| 172,000
| 163,666
|
Nabors Industries Ltd., 9.125%, 1/31/2030 (n)
|
|
| 275,000
| 283,963
|
U.S.A. Compression Partners LP/Finance Co., 7.125%, 3/15/2029 (n)
|
|
| 557,000
| 557,630
|
|
|
|
| $1,352,108
|
Oils – 0.5%
|
FS Luxembourg S.à r.l., 8.875%, 2/12/2031 (n)
|
| $
| 200,000
| $195,448
|
PBF Holding Co. LLC/PBF Finance Corp., 6%, 2/15/2028
|
|
| 766,000
| 748,493
|
Thaioil Treasury Center Co. Ltd., 5.375%, 11/20/2048 (n)
|
|
| 355,000
| 323,372
|
|
|
|
| $1,267,313
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Other Banks & Diversified Financials – 0.7%
|
AIB Group PLC, 6.608% to 9/13/2028, FLR (SOFR - 1 day + 2.33%) to 9/13/2029 (n)
|
| $
| 200,000
| $205,633
|
Banque Federative du Credit Mutuel S.A., 4.375%, 1/11/2034
|
| EUR
| 100,000
| 107,126
|
Banque Federative du Credit Mutuel S.A., 3.75%, 2/03/2034
|
|
| 100,000
| 108,221
|
BBVA Bancomer S.A. (Texas), 8.125%, 1/08/2039 (n)
|
| $
| 200,000
| 205,107
|
BPCE S.A., 4.5%, 3/15/2025 (n)
|
|
| 250,000
| 246,769
|
BPCE S.A., 4.125%, 3/08/2033
|
| EUR
| 100,000
| 108,762
|
Credit Mutuel Arkea S.A., 3.625%, 10/03/2033
|
|
| 100,000
| 106,971
|
Deutsche Bank AG, 3.75% to 1/15/2029, FLR (EURIBOR - 3mo. + 1.25%) to 1/15/2030
|
|
| 100,000
| 107,991
|
Deutsche Bank AG, 4% to 6/24/2027, FLR (EUR ICE Swap Rate - 5yr. + 3.3%) to 6/24/2032
|
|
| 100,000
| 105,450
|
Intesa Sanpaolo S.p.A., 7.2%, 11/28/2033 (n)
|
| $
| 200,000
| 215,062
|
KBC Group N.V., 3.75%, 3/27/2032
|
| EUR
| 100,000
| 107,980
|
KBC Group N.V., 6.151% to 3/19/2029, FLR (GBP Government Yield - 5yr. + 2.25%) to 3/19/2034
|
| GBP
| 100,000
| 127,279
|
M&T Bank Corp., 4.553% to 8/16/2027, FLR (SOFR - 1 day + 1.78%) to 8/16/2028
|
| $
| 88,000
| 84,104
|
M&T Bank Corp., 6.082% to 3/13/2031, FLR (SOFR - 1 day + 2.26%) to 3/13/2032
|
|
| 30,000
| 29,755
|
Macquarie Group Ltd., 6.255% to 12/07/2033, FLR (SOFR - 1 day + 2.303%) to 12/07/2034 (n)
|
|
| 47,000
| 48,566
|
Truist Financial Corp., 5.435% to 1/24/2029, FLR (SOFR - 1 day + 1.62%) to 1/24/2030
|
|
| 41,000
| 40,768
|
Truist Financial Corp., 5.711% to 1/24/2034, FLR (SOFR - 1 day + 1.922%) to 1/24/2035
|
|
| 49,000
| 48,688
|
|
|
|
| $2,004,232
|
Pharmaceuticals – 0.8%
|
1375209 B.C. Ltd., 9%, 1/30/2028 (n)
|
| $
| 456,000
| $440,572
|
AbbVie, Inc., 5.35%, 3/15/2044
|
|
| 41,000
| 40,365
|
AbbVie, Inc., 5.4%, 3/15/2054
|
|
| 51,000
| 50,275
|
Bausch Health Co., Inc., 11%, 9/30/2028 (n)
|
|
| 462,000
| 403,095
|
Bausch Health Co., Inc., 14%, 10/15/2030 (n)
|
|
| 90,000
| 68,400
|
Bristol-Myers Squibb Co., 5.5%, 2/22/2044
|
|
| 34,000
| 33,649
|
Bristol-Myers Squibb Co., 5.55%, 2/22/2054
|
|
| 29,000
| 28,552
|
Johnson & Johnson, 3.55%, 6/01/2044
|
| EUR
| 100,000
| 106,649
|
Organon Finance 1 LLC, 4.125%, 4/30/2028 (n)
|
| $
| 454,000
| 419,352
|
Organon Finance 1 LLC, 5.125%, 4/30/2031 (n)
|
|
| 625,000
| 552,317
|
Roche Finance Europe B.V., 3.564%, 5/03/2044
|
| EUR
| 100,000
| 105,320
|
|
|
|
| $2,248,546
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Pollution Control – 0.8%
|
GFL Environmental, Inc., 4.25%, 6/01/2025 (n)
|
| $
| 54,000
| $53,382
|
GFL Environmental, Inc., 4%, 8/01/2028 (n)
|
|
| 758,000
| 693,115
|
GFL Environmental, Inc., 4.75%, 6/15/2029 (n)
|
|
| 200,000
| 186,157
|
GFL Environmental, Inc., 4.375%, 8/15/2029 (n)
|
|
| 345,000
| 314,838
|
GFL Environmental, Inc., 6.75%, 1/15/2031 (n)
|
|
| 127,000
| 129,542
|
Stericycle, Inc., 3.875%, 1/15/2029 (n)
|
|
| 888,000
| 806,272
|
Waste Management, Inc., 4.625%, 2/15/2033
|
|
| 72,000
| 69,227
|
|
|
|
| $2,252,533
|
Precious Metals & Minerals – 0.6%
|
Eldorado Gold Corp., 6.25%, 9/01/2029 (n)
|
| $
| 707,000
| $673,421
|
IAMGOLD Corp., 5.75%, 10/15/2028 (n)
|
|
| 923,000
| 866,214
|
Northern Star Resources Ltd. Co., 6.125%, 4/11/2033 (n)
|
|
| 78,000
| 78,365
|
|
|
|
| $1,618,000
|
Printing & Publishing – 0.2%
|
Cimpress PLC, 7%, 6/15/2026
|
| $
| 468,000
| $466,966
|
Real Estate - Office – 0.1%
|
Boston Properties LP, REIT, 3.65%, 2/01/2026
|
| $
| 71,000
| $68,361
|
Corporate Office Property LP, REIT, 2.25%, 3/15/2026
|
|
| 149,000
| 140,245
|
Corporate Office Property LP, REIT, 2%, 1/15/2029
|
|
| 52,000
| 43,985
|
Corporate Office Property LP, REIT, 2.75%, 4/15/2031
|
|
| 39,000
| 32,091
|
|
|
|
| $284,682
|
Real Estate - Other – 0.6%
|
EPR Properties, REIT, 3.6%, 11/15/2031
|
| $
| 104,000
| $86,357
|
Lexington Realty Trust Co., 2.7%, 9/15/2030
|
|
| 47,000
| 39,119
|
RHP Hotel Properties, LP/RHP Finance Corp., 7.25%, 7/15/2028 (n)
|
|
| 1,099,000
| 1,122,744
|
XHR LP, REIT, 4.875%, 6/01/2029 (n)
|
|
| 597,000
| 550,018
|
|
|
|
| $1,798,238
|
Real Estate - Retail – 0.1%
|
STORE Capital Corp., REIT, 2.75%, 11/18/2030
|
| $
| 113,000
| $92,250
|
STORE Capital Corp., REIT, 2.7%, 12/01/2031
|
|
| 18,000
| 14,374
|
WEA Finance LLC, 2.875%, 1/15/2027 (n)
|
|
| 100,000
| 92,434
|
|
|
|
| $199,058
|
Restaurants – 0.3%
|
1011778 B.C. ULC / New Red Finance, Inc., 4%, 10/15/2030 (n)
|
| $
| 406,000
| $353,278
|
Fertitta Entertainment LLC, 6.75%, 1/15/2030 (n)
|
|
| 692,000
| 611,653
|
|
|
|
| $964,931
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Retailers – 1.5%
|
Asbury Automotive Group, Inc., 4.625%, 11/15/2029 (n)
|
| $
| 531,000
| $488,529
|
Home Depot, Inc., 3.625%, 4/15/2052
|
|
| 122,000
| 89,528
|
Lithia Motors, Inc., 3.875%, 6/01/2029 (n)
|
|
| 626,000
| 557,558
|
Macy's Retail Holdings LLC, 5.875%, 4/01/2029 (n)
|
|
| 503,000
| 484,341
|
Maxeda DIY Holding B.V., 5.875%, 10/01/2026
|
| EUR
| 345,000
| 301,196
|
NMG Holding Co. Inc./Neiman Marcus Group LLC, 7.125%, 4/01/2026 (n)
|
| $
| 487,000
| 484,250
|
Parkland Corp., 4.625%, 5/01/2030 (n)
|
|
| 935,000
| 849,836
|
Penske Automotive Group Co., 3.75%, 6/15/2029
|
|
| 809,000
| 719,444
|
Victoria's Secret & Co., 4.625%, 7/15/2029 (n)
|
|
| 419,000
| 341,691
|
|
|
|
| $4,316,373
|
Specialty Chemicals – 0.1%
|
Covestro AG, 1.375%, 6/12/2030
|
| EUR
| 80,000
| $76,177
|
CTEC II GmbH, 5.25%, 2/15/2030 (n)
|
|
| 100,000
| 100,361
|
International Flavors & Fragrances, Inc., 1.832%, 10/15/2027 (n)
|
| $
| 53,000
| 46,990
|
International Flavors & Fragrances, Inc., 4.375%, 6/01/2047
|
|
| 62,000
| 47,626
|
International Flavors & Fragrances, Inc., 5%, 9/26/2048
|
|
| 35,000
| 29,725
|
|
|
|
| $300,879
|
Specialty Stores – 0.6%
|
DICK'S Sporting Goods, 4.1%, 1/15/2052
|
| $
| 111,000
| $78,749
|
Michael Cos., Inc., 5.25%, 5/01/2028 (n)
|
|
| 383,000
| 310,659
|
Michael Cos., Inc., 7.875%, 5/01/2029 (n)
|
|
| 543,000
| 369,292
|
PetSmart, Inc./PetSmart Finance Corp., 7.75%, 2/15/2029 (n)
|
|
| 870,000
| 832,911
|
Richemont International S.A., 1.5%, 3/26/2030
|
| EUR
| 100,000
| 97,574
|
|
|
|
| $1,689,185
|
Supermarkets – 0.7%
|
ELO SACA, 4.875%, 12/08/2028
|
| EUR
| 100,000
| $103,631
|
KeHE Distributors LLC/KeHE Finance Corp., 9%, 2/15/2029 (n)
|
| $
| 771,000
| 780,966
|
Ocado Group PLC, 3.875%, 10/08/2026
|
| GBP
| 500,000
| 550,317
|
Picard Bondco S.A., 5.375%, 7/01/2027
|
| EUR
| 416,000
| 438,403
|
Tesco Corporate Treasury Services PLC, 5.125%, 5/22/2034
|
| GBP
| 100,000
| 122,392
|
|
|
|
| $1,995,709
|
Supranational – 0.9%
|
European Union, 3.25%, 7/04/2034
|
| EUR
| 675,000
| $741,659
|
European Union, 3.375%, 11/04/2042
|
|
| 350,000
| 377,941
|
European Union, 2.625%, 2/04/2048
|
|
| 475,000
| 451,663
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Supranational – continued
|
European Union, 3%, 3/04/2053
|
| EUR
| 834,000
| $829,749
|
European Union, 3.375%, 10/05/2054
|
|
| 56,811
| 60,367
|
|
|
|
| $2,461,379
|
Telecommunications - Wireless – 1.0%
|
Altice France S.A., 5.5%, 1/15/2028 (n)
|
| $
| 534,000
| $373,896
|
Altice France S.A., 5.125%, 7/15/2029 (n)
|
|
| 200,000
| 134,131
|
American Tower Corp., 3.9%, 5/16/2030
|
| EUR
| 100,000
| 107,695
|
American Tower Corp., 5.45%, 2/15/2034
|
| $
| 82,000
| 80,979
|
Millicom International Cellular S.A., 5.125%, 1/15/2028
|
|
| 635,400
| 601,686
|
SBA Communications Corp., 3.875%, 2/15/2027
|
|
| 618,000
| 584,945
|
SBA Communications Corp., 3.125%, 2/01/2029
|
|
| 1,094,000
| 962,517
|
T-Mobile USA, Inc., 3.875%, 4/15/2030
|
|
| 54,000
| 50,191
|
T-Mobile USA, Inc., 5.75%, 1/15/2034
|
|
| 26,000
| 26,617
|
Vodafone Group PLC, 5.625%, 2/10/2053
|
|
| 47,000
| 45,340
|
|
|
|
| $2,967,997
|
Telephone Services – 0.0%
|
TELUS Corp., 2.85%, 11/13/2031
|
| CAD
| 151,000
| $95,778
|
Tobacco – 0.0%
|
B.A.T. International Finance PLC, 4.125%, 4/12/2032
|
| EUR
| 100,000
| $105,801
|
Transportation - Services – 0.6%
|
Autostrade per l’Italia S.p.A., 5.125%, 6/14/2033
|
| EUR
| 100,000
| $112,880
|
Avis Budget Finance PLC, 7.25%, 7/31/2030 (n)
|
|
| 697,000
| 749,620
|
Element Fleet Management Corp., 6.271%, 6/26/2026 (n)
|
| $
| 60,000
| 60,539
|
Element Fleet Management Corp., 6.319%, 12/04/2028 (n)
|
|
| 72,000
| 74,198
|
GXO Logistics, Inc., 6.25%, 5/06/2029
|
|
| 57,000
| 57,793
|
Heathrow Funding Ltd., 6%, 3/05/2032
|
| GBP
| 100,000
| 126,168
|
Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2043 (n)
|
| $
| 818,284
| 240,575
|
Transurban Finance Co Pty Ltd., 3.974%, 3/12/2036
|
| EUR
| 100,000
| 106,592
|
Triton International Ltd., 3.15%, 6/15/2031 (n)
|
| $
| 104,000
| 85,981
|
United Parcel Service, 5.05%, 3/03/2053
|
|
| 52,000
| 48,527
|
|
|
|
| $1,662,873
|
U.S. Treasury Obligations – 21.3%
|
U.S. Treasury Bonds, 1.125%, 8/15/2040 (f)
|
| $
| 17,919,000
| $10,747,200
|
U.S. Treasury Bonds, 3.875%, 5/15/2043
|
|
| 4,998,000
| 4,460,715
|
U.S. Treasury Bonds, 2.375%, 11/15/2049
|
|
| 19,586,000
| 12,815,059
|
U.S. Treasury Bonds, 4.75%, 11/15/2053
|
|
| 767,000
| 781,381
|
U.S. Treasury Bonds, TIPS, 2.375%, 1/15/2025
|
|
| 618,206
| 614,278
|
U.S. Treasury Notes, 4%, 6/30/2028
|
|
| 3,400,000
| 3,329,078
|
U.S. Treasury Notes, 4.125%, 8/31/2030
|
|
| 7,000,000
| 6,851,797
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
U.S. Treasury Obligations – continued
|
U.S. Treasury Notes, 4.875%, 10/31/2030
|
| $
| 4,700,000
| $4,793,266
|
U.S. Treasury Notes, 2.75%, 8/15/2032 (f)
|
|
| 16,124,000
| 14,202,286
|
U.S. Treasury Notes, 4%, 2/15/2034
|
|
| 2,000,000
| 1,922,812
|
|
|
|
| $60,517,872
|
Utilities - Electric Power – 4.0%
|
Adani Electricity Mumbai Ltd., 3.867%, 7/22/2031
|
| $
| 1,440,000
| $1,154,163
|
Algonquin Power & Utilities Corp., 5.365%, 6/15/2026
|
|
| 28,000
| 27,808
|
American Transmission Systems, Inc., 2.65%, 1/15/2032 (n)
|
|
| 86,000
| 70,994
|
Berkshire Hathaway Energy Co., 5.15%, 11/15/2043
|
|
| 20,000
| 18,794
|
Berkshire Hathaway Energy Co., 4.6%, 5/01/2053
|
|
| 17,000
| 14,091
|
Bruce Power LP, 2.68%, 12/21/2028
|
| CAD
| 200,000
| 134,680
|
Calpine Corp., 4.5%, 2/15/2028 (n)
|
| $
| 918,000
| 863,241
|
Calpine Corp., 5.125%, 3/15/2028 (n)
|
|
| 546,000
| 520,314
|
Clearway Energy Operating LLC, 4.75%, 3/15/2028 (n)
|
|
| 504,000
| 479,146
|
Clearway Energy Operating LLC, 3.75%, 2/15/2031 (n)
|
|
| 1,590,000
| 1,387,464
|
Clearway Energy Operating LLC, 3.75%, 1/15/2032 (n)
|
|
| 142,000
| 120,849
|
Duke Energy Corp., 3.75%, 4/01/2031
|
| EUR
| 100,000
| 106,073
|
Duke Energy Florida LLC, 6.2%, 11/15/2053
|
| $
| 63,000
| 67,102
|
E.ON International Finance B.V., 5.875%, 10/30/2037
|
| GBP
| 50,000
| 64,738
|
Enel Finance International N.V., 2.25%, 7/12/2031 (n)
|
| $
| 200,000
| 162,949
|
Enel Finance International N.V., 3.875%, 1/23/2035
|
| EUR
| 100,000
| 105,818
|
ENGIE Energia Chile S.A., 6.375%, 4/17/2034 (n)
|
| $
| 400,000
| 404,942
|
EPH Fin International A.S., 5.875%, 11/30/2029
|
| EUR
| 100,000
| 109,130
|
EPH Financing International A.S., 6.651%, 11/13/2028
|
|
| 107,000
| 119,737
|
Eversource Energy, 5.5%, 1/01/2034
|
| $
| 55,000
| 53,837
|
Florida Power & Light Co., 2.875%, 12/04/2051
|
|
| 75,000
| 47,724
|
Georgia Power Co., 4.95%, 5/17/2033
|
|
| 103,000
| 100,210
|
Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n)
|
|
| 28,000
| 23,041
|
Mercury Chile Holdco LLC, 6.5%, 1/24/2027
|
|
| 200,000
| 195,634
|
NextEra Energy Capital Holdings, Inc., 6.051%, 3/01/2025
|
|
| 31,000
| 31,064
|
NextEra Energy, Inc., 4.25%, 7/15/2024 (n)
|
|
| 161,000
| 160,431
|
NextEra Energy, Inc., 4.25%, 9/15/2024 (n)
|
|
| 102,000
| 100,334
|
NextEra Energy, Inc., 4.5%, 9/15/2027 (n)
|
|
| 702,000
| 660,562
|
NextEra Energy, Inc., 7.25%, 1/15/2029 (n)
|
|
| 698,000
| 714,540
|
Oncor Electric Delivery, 3.5%, 5/15/2031
|
| EUR
| 100,000
| 107,181
|
Pacific Gas & Electric Co., 6.1%, 1/15/2029
|
| $
| 58,000
| 59,196
|
Pacific Gas & Electric Co., 6.4%, 6/15/2033
|
|
| 28,000
| 29,065
|
PG&E Corp., 5.25%, 7/01/2030
|
|
| 464,000
| 441,991
|
PPL Electric Utilities Corp, 1st Mortgage, 5.25%, 5/15/2053
|
|
| 97,000
| 92,502
|
Star Energy Geothermal (Wayang Windu) Ltd., 6.75%, 4/24/2033 (n)
|
|
| 707,832
| 703,586
|
TerraForm Global Operating LLC, 6.125%, 3/01/2026 (n)
|
|
| 577,000
| 568,740
|
Portfolio of Investments (unaudited)
– continued
Issuer
|
|
| Shares/Par
| Value ($)
|
Bonds – continued
|
Utilities - Electric Power – continued
|
TerraForm Power Operating LLC, 5%, 1/31/2028 (n)
|
| $
| 913,000
| $871,389
|
TerraForm Power Operating LLC, 4.75%, 1/15/2030 (n)
|
|
| 438,000
| 397,897
|
WEC Energy Group, Inc., 1.8%, 10/15/2030
|
|
| 67,000
| 54,356
|
Xcel Energy, Inc., 4.6%, 6/01/2032
|
|
| 43,000
| 40,010
|
Xcel Energy, Inc., 5.5%, 3/15/2034
|
|
| 70,000
| 68,870
|
|
|
|
| $11,454,193
|
Utilities - Gas – 0.3%
|
EP Infrastructure A.S., 2.045%, 10/09/2028
|
| EUR
| 862,000
| $810,449
|
EP Infrastructure A.S., 1.816%, 3/02/2031
|
|
| 187,000
| 161,187
|
|
|
|
| $971,636
|
Utilities - Other – 0.0%
|
United Utilities Water Finance PLC, 3.75%, 5/23/2034
|
| EUR
| 100,000
| $104,522
|
Total Bonds (Identified Cost, $384,847,368)
|
| $366,981,801
|
Exchange-Traded Funds – 1.0%
|
Special Products & Services – 1.0%
|
|
Invesco Senior Loan Fund ETF (Identified Cost, $2,845,553)
|
| 134,484
| $2,840,302
|
Common Stocks – 0.2%
|
Cable TV – 0.1%
|
|
Intelsat Emergence S.A. (a)
|
| 6,129
| $214,515
|
Oil Services – 0.1%
|
|
LTRI Holdings LP (a)(u)
|
| 615
| $222,353
|
Total Common Stocks (Identified Cost, $730,966)
|
| $436,868
|
| 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) (Identified Cost, $0)
| GBP 1.14
| N/A
| 6,125
| $1,561
|
|
|
|
|
|
Investment Companies (h) – 3.1%
|
Money Market Funds – 3.1%
|
|
MFS Institutional Money Market Portfolio, 5.38% (v) (Identified Cost, $8,820,337)
|
|
| 8,820,332
| $8,821,214
|
Portfolio of Investments (unaudited)
– continued
Underlying/Expiration Date/Exercise Price
| Put/Call
| Counterparty
| Notional
Amount
| Par Amount/
Number of
Contracts
| Value ($)
|
Purchased Options – 0.0%
|
|
Market Index Securities – 0.0%
|
|
iTraxx Europe Crossover Series 41 Index Credit Default Swap – Fund pays 5%, Fund receives notional amount upon a defined credit event of
an index constituent – September 2024 @ 3.75%
| Put
| BNP Paribas S.A.
| $ 4,506,850
| EUR 3,790,000
| $21,166
|
iTraxx Europe Crossover Series 41 Index Credit Default Swap – Fund pays 5%, Fund receives notional
amount upon a defined credit event of an index constituent – September 2024 @ 3.75%
| Put
| Goldman Sachs International
| 4,506,850
| 3,790,000
| 21,166
|
Total Purchased Options
(Premiums Paid, $100,769)
|
| $42,332
|
|
|
Other Assets, Less Liabilities – (33.5)%
|
| (95,105,421)
|
Net Assets – 100.0%
| $284,018,657
|
(a)
| Non-income producing security.
|
|
|
|
(d)
| In default.
|
|
|
|
(f)
| All or a portion of the security has been segregated as collateral for open futures contracts and cleared swap agreements.
|
|
|
|
(h)
| An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common
control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $8,821,214 and $370,302,864, 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 $194,265,621, representing 68.4% 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.
|
|
|
|
Portfolio of Investments (unaudited)
– continued
(w)
| When-issued security.
|
|
|
|
The following abbreviations are used in this report and are defined:
|
AGM
| Assured Guaranty Municipal
|
BZDIOVRA
| Brazil Interbank Deposit Rate
|
CDI
| Interbank Deposit Certificates
|
CDO
| Collateralized Debt Obligation
|
CLO
| Collateralized Loan Obligation
|
CMT
| Constant Maturity Treasury
|
ETF
| Exchange-Traded Fund
|
EURIBOR
| Euro Interbank Offered Rate
|
FLR
| Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference
rates are USD unless otherwise noted.
|
ICE
| Intercontinental Exchange
|
NPFG
| National Public Finance Guarantee Corp.
|
REIT
| Real Estate Investment Trust
|
SOFR
| Secured Overnight Financing Rate
|
TBA
| To Be Announced
|
TIPS
| Treasury Inflation Protected Security
|
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
|
CHF
| Swiss Franc
|
CNH
| Chinese Yuan Renminbi (Offshore)
|
CNY
| China Yuan Renminbi
|
CZK
| Czech Koruna
|
EUR
| Euro
|
GBP
| British Pound
|
IDR
| Indonesian Rupiah
|
INR
| Indian Rupee
|
JPY
| Japanese Yen
|
KRW
| South Korean Won
|
MXN
| Mexican Peso
|
NOK
| Norwegian Krone
|
NZD
| New Zealand Dollar
|
SEK
| Swedish Krona
|
THB
| Thai Baht
|
UYU
| Uruguayan Peso
|
Derivative Contracts at 5/31/24
Forward Foreign Currency Exchange Contracts
|
Currency
Purchased
| Currency
Sold
| Counterparty
| Settlement
Date
| Unrealized
Appreciation
(Depreciation)
|
Asset Derivatives
|
AUD
| 3,492,918
| USD
| 2,314,980
| HSBC Bank
| 7/19/2024
| $12,046
|
Portfolio of Investments (unaudited)
– continued
Forward Foreign Currency Exchange Contracts - continued
|
Currency
Purchased
| Currency
Sold
| Counterparty
| Settlement
Date
| Unrealized
Appreciation
(Depreciation)
|
Asset Derivatives - continued
|
AUD
| 1,061,538
| USD
| 694,926
| Merrill Lynch International
| 7/19/2024
| $12,284
|
CAD
| 1,377,575
| USD
| 1,008,631
| Goldman Sachs International
| 7/19/2024
| 3,035
|
CAD
| 899,813
| USD
| 653,910
| State Street Bank Corp.
| 7/19/2024
| 6,896
|
CZK
| 14,077,642
| USD
| 591,635
| Deutsche Bank AG
| 7/19/2024
| 27,325
|
CZK
| 10,484,555
| USD
| 450,727
| Goldman Sachs International
| 7/19/2024
| 10,254
|
CZK
| 956,715
| USD
| 40,870
| HSBC Bank
| 7/19/2024
| 1,194
|
CZK
| 24,730,348
| USD
| 1,048,938
| State Street Bank Corp.
| 7/19/2024
| 38,397
|
EUR
| 701,902
| USD
| 759,406
| Barclays Bank PLC
| 7/19/2024
| 3,728
|
EUR
| 656,676
| USD
| 710,208
| Citibank N.A.
| 7/19/2024
| 3,754
|
EUR
| 691,791
| USD
| 741,345
| Deutsche Bank AG
| 7/19/2024
| 10,797
|
EUR
| 4,910,500
| USD
| 5,246,699
| HSBC Bank
| 7/19/2024
| 92,178
|
EUR
| 1,031,013
| USD
| 1,115,532
| JPMorgan Chase Bank N.A.
| 7/19/2024
| 5,424
|
EUR
| 21,600
| USD
| 23,066
| Merrill Lynch International
| 7/19/2024
| 418
|
EUR
| 375,268
| USD
| 400,682
| NatWest Markets PLC
| 7/19/2024
| 7,323
|
EUR
| 833,293
| USD
| 894,454
| State Street Bank Corp.
| 7/19/2024
| 11,532
|
EUR
| 308,564
| USD
| 332,871
| UBS AG
| 7/19/2024
| 2,612
|
GBP
| 1,178,468
| USD
| 1,472,038
| Barclays Bank PLC
| 7/19/2024
| 29,960
|
GBP
| 890,906
| USD
| 1,107,690
| Brown Brothers Harriman
| 7/19/2024
| 27,801
|
GBP
| 76,048
| USD
| 96,912
| Merrill Lynch International
| 7/19/2024
| 14
|
GBP
| 132,247
| USD
| 165,391
| State Street Bank Corp.
| 7/19/2024
| 3,163
|
MXN
| 35,257,079
| USD
| 2,038,100
| Barclays Bank PLC
| 7/19/2024
| 25,289
|
MXN
| 118,156,830
| USD
| 6,840,920
| UBS AG
| 7/19/2024
| 74,097
|
NOK
| 8,706,664
| USD
| 806,083
| Brown Brothers Harriman
| 7/19/2024
| 24,339
|
NOK
| 16,818,231
| USD
| 1,547,659
| HSBC Bank
| 7/19/2024
| 56,426
|
NOK
| 4,053,561
| USD
| 377,282
| State Street Bank Corp.
| 7/19/2024
| 9,337
|
NOK
| 13,331,321
| USD
| 1,226,990
| UBS AG
| 7/19/2024
| 44,521
|
NZD
| 8,231,428
| USD
| 5,036,819
| Brown Brothers Harriman
| 7/19/2024
| 23,026
|
NZD
| 3,559,940
| USD
| 2,135,483
| Deutsche Bank AG
| 7/19/2024
| 52,806
|
NZD
| 1,411,209
| USD
| 846,697
| JPMorgan Chase Bank N.A.
| 7/19/2024
| 20,771
|
NZD
| 1,005,357
| USD
| 612,924
| State Street Bank Corp.
| 7/19/2024
| 5,067
|
SEK
| 4,594,101
| USD
| 430,159
| Brown Brothers Harriman
| 7/19/2024
| 7,355
|
SEK
| 448,000
| USD
| 41,706
| State Street Bank Corp.
| 7/19/2024
| 959
|
USD
| 861,813
| AUD
| 1,286,120
| Merrill Lynch International
| 7/19/2024
| 4,984
|
USD
| 280,503
| BRL
| 1,473,560
| Barclays Bank PLC
| 7/02/2024
| 703
|
USD
| 1,309,001
| BRL
| 6,837,671
| Citibank N.A.
| 7/02/2024
| 10,662
|
USD
| 1,425,259
| BRL
| 7,397,891
| Goldman Sachs International
| 7/02/2024
| 20,545
|
USD
| 1,024,135
| BRL
| 5,370,000
| JPMorgan Chase Bank N.A.
| 7/02/2024
| 4,477
|
USD
| 182,508
| CAD
| 247,610
| State Street Bank Corp.
| 7/19/2024
| 668
|
USD
| 1,443,860
| CNH
| 10,428,970
| BNP Paribas S.A.
| 7/19/2024
| 3,317
|
USD
| 408,402
| CNH
| 2,924,846
| State Street Bank Corp.
| 7/19/2024
| 4,396
|
USD
| 109,018
| EUR
| 100,000
| Brown Brothers Harriman
| 7/19/2024
| 294
|
USD
| 217,408
| EUR
| 199,393
| JPMorgan Chase Bank N.A.
| 7/19/2024
| 621
|
USD
| 108,862
| EUR
| 99,859
| NatWest Markets PLC
| 7/19/2024
| 292
|
USD
| 888,510
| EUR
| 814,141
| State Street Bank Corp.
| 7/19/2024
| 3,345
|
USD
| 4,010,788
| JPY
| 606,000,566
| JPMorgan Chase Bank N.A.
| 7/19/2024
| 131,066
|
Portfolio of Investments (unaudited)
– continued
Forward Foreign Currency Exchange Contracts - continued
|
Currency
Purchased
| Currency
Sold
| Counterparty
| Settlement
Date
| Unrealized
Appreciation
(Depreciation)
|
Asset Derivatives - continued
|
USD
| 510,663
| JPY
| 79,578,625
| Merrill Lynch International
| 7/19/2024
| $1,186
|
USD
| 708,460
| JPY
| 110,212,934
| NatWest Markets PLC
| 7/19/2024
| 2,858
|
USD
| 1,346,271
| JPY
| 207,201,441
| State Street Bank Corp.
| 7/19/2024
| 19,730
|
USD
| 205,609
| JPY
| 31,025,712
| UBS AG
| 7/19/2024
| 6,977
|
USD
| 1,208,282
| KRW
| 1,624,632,119
| Barclays Bank PLC
| 6/28/2024
| 33,345
|
USD
| 4,445,980
| KRW
| 6,091,348,792
| Citibank N.A.
| 7/26/2024
| 34,120
|
USD
| 8,350,520
| MXN
| 141,142,688
| State Street Bank Corp.
| 7/19/2024
| 90,278
|
USD
| 852,866
| THB
| 30,898,482
| Barclays Bank PLC
| 6/28/2024
| 13,423
|
USD
| 1,899,627
| THB
| 68,943,037
| JPMorgan Chase Bank N.A.
| 6/28/2024
| 26,600
|
|
|
|
|
|
| $1,068,015
|
Liability Derivatives
|
BRL
| 1,457,577
| USD
| 282,670
| Citibank N.A.
| 7/02/2024
| $(5,905)
|
BRL
| 2,076,209
| USD
| 407,260
| JPMorgan Chase Bank N.A.
| 7/02/2024
| (13,028)
|
CNH
| 293,117
| USD
| 40,768
| HSBC Bank
| 7/19/2024
| (280)
|
CNH
| 2,891,675
| USD
| 401,686
| State Street Bank Corp.
| 7/19/2024
| (2,262)
|
CZK
| 6,513,801
| USD
| 286,955
| State Street Bank Corp.
| 7/19/2024
| (559)
|
EUR
| 394,733
| USD
| 430,116
| Brown Brothers Harriman
| 7/19/2024
| (948)
|
EUR
| 1,305,345
| USD
| 1,423,710
| HSBC Bank
| 7/19/2024
| (4,491)
|
EUR
| 1,856,413
| USD
| 2,024,948
| JPMorgan Chase Bank N.A.
| 7/19/2024
| (6,586)
|
EUR
| 382,766
| USD
| 417,297
| State Street Bank Corp.
| 7/19/2024
| (1,139)
|
EUR
| 31,315
| USD
| 34,112
| UBS AG
| 7/19/2024
| (64)
|
IDR
| 16,982,355,385
| USD
| 1,065,080
| Citibank N.A.
| 8/06/2024
| (21,124)
|
IDR
| 6,572,801,661
| USD
| 410,723
| JPMorgan Chase Bank N.A.
| 8/06/2024
| (6,673)
|
JPY
| 25,385,406
| USD
| 163,119
| Citibank N.A.
| 7/19/2024
| (597)
|
JPY
| 62,589,344
| USD
| 413,560
| JPMorgan Chase Bank N.A.
| 7/19/2024
| (12,852)
|
KRW
| 1,614,162,341
| USD
| 1,176,323
| Barclays Bank PLC
| 6/28/2024
| (8,958)
|
KRW
| 405,839,315
| USD
| 301,793
| Citibank N.A.
| 6/28/2024
| (8,289)
|
THB
| 83,328,813
| USD
| 2,301,074
| Barclays Bank PLC
| 6/28/2024
| (37,217)
|
THB
| 16,018,062
| USD
| 442,499
| JPMorgan Chase Bank N.A.
| 6/28/2024
| (7,325)
|
USD
| 2,168,283
| AUD
| 3,306,828
| Barclays Bank PLC
| 7/19/2024
| (34,768)
|
USD
| 832,583
| AUD
| 1,269,571
| Goldman Sachs International
| 7/19/2024
| (13,221)
|
USD
| 11,982,445
| AUD
| 18,337,484
| HSBC Bank
| 7/19/2024
| (234,218)
|
USD
| 1,409,034
| CAD
| 1,935,867
| Brown Brothers Harriman
| 7/19/2024
| (12,632)
|
USD
| 60,009
| CAD
| 81,829
| JPMorgan Chase Bank N.A.
| 7/19/2024
| (84)
|
USD
| 6,349,868
| CAD
| 8,714,955
| State Street Bank Corp.
| 7/19/2024
| (50,237)
|
USD
| 582,557
| CHF
| 524,478
| Citibank N.A.
| 7/19/2024
| (1,661)
|
USD
| 828,774
| CHF
| 749,676
| HSBC Bank
| 7/19/2024
| (6,293)
|
USD
| 3,133,526
| CNH
| 22,688,294
| State Street Bank Corp.
| 7/19/2024
| (385)
|
USD
| 3,796,459
| CZK
| 89,715,267
| Barclays Bank PLC
| 7/19/2024
| (148,105)
|
USD
| 107,476
| EUR
| 99,997
| BNP Paribas S.A.
| 7/19/2024
| (1,244)
|
USD
| 208,952
| EUR
| 194,181
| Brown Brothers Harriman
| 7/19/2024
| (2,170)
|
USD
| 61,523
| EUR
| 56,712
| Citibank N.A.
| 7/19/2024
| (136)
|
USD
| 1,146,280
| EUR
| 1,064,784
| HSBC Bank
| 7/19/2024
| (11,393)
|
USD
| 38,730,638
| EUR
| 36,249,618
| JPMorgan Chase Bank N.A.
| 7/19/2024
| (681,301)
|
USD
| 277,899
| EUR
| 260,000
| NatWest Markets PLC
| 7/19/2024
| (4,783)
|
Portfolio of Investments (unaudited)
– continued
Forward Foreign Currency Exchange Contracts - continued
|
Currency
Purchased
| Currency
Sold
| Counterparty
| Settlement
Date
| Unrealized
Appreciation
(Depreciation)
|
Liability Derivatives - continued
|
USD
| 1,282,750
| EUR
| 1,193,604
| State Street Bank Corp.
| 7/19/2024
| $(14,982)
|
USD
| 489,182
| EUR
| 454,571
| UBS AG
| 7/19/2024
| (5,045)
|
USD
| 5,008,159
| GBP
| 4,020,359
| Barclays Bank PLC
| 7/19/2024
| (115,929)
|
USD
| 602,232
| GBP
| 474,004
| Brown Brothers Harriman
| 7/19/2024
| (1,902)
|
USD
| 1,628,119
| GBP
| 1,301,899
| HSBC Bank
| 7/19/2024
| (31,197)
|
USD
| 491,164
| GBP
| 389,339
| JPMorgan Chase Bank N.A.
| 7/19/2024
| (5,062)
|
USD
| 91,973
| GBP
| 73,371
| State Street Bank Corp.
| 7/19/2024
| (1,542)
|
USD
| 375,587
| MXN
| 6,460,276
| Deutsche Bank AG
| 7/19/2024
| (2,494)
|
USD
| 556,691
| MXN
| 9,644,271
| State Street Bank Corp.
| 7/19/2024
| (7,731)
|
USD
| 1,808,433
| NZD
| 2,961,623
| State Street Bank Corp.
| 7/19/2024
| (12,071)
|
USD
| 409,109
| SEK
| 4,448,502
| JPMorgan Chase Bank N.A.
| 7/19/2024
| (14,540)
|
USD
| 706,074
| SEK
| 7,741,876
| Merrill Lynch International
| 7/19/2024
| (31,216)
|
USD
| 40,108
| SEK
| 430,832
| State Street Bank Corp.
| 7/19/2024
| (922)
|
|
|
|
|
|
| $(1,585,561)
|
Futures Contracts
|
Description
| Long/
Short
| Currency
| Contracts
| Notional
Amount
| Expiration
Date
| Value/Unrealized
Appreciation
(Depreciation)
|
Asset Derivatives
|
Interest Rate Futures
|
|
|
Australian Bond 10 yr
| Short
| AUD
| 70
| $5,247,067
| June – 2024
| $169,253
|
Euro-Bund 10 yr
| Short
| EUR
| 17
| 2,385,785
| June – 2024
| 25,554
|
U.S. Treasury Note 10 yr
| Short
| USD
| 109
| 11,858,859
| September – 2024
| 28,552
|
U.S. Treasury Note 5 yr
| Short
| USD
| 353
| 37,346,297
| September – 2024
| 18,522
|
U.S. Treasury Ultra Bond
30 yr
| Short
| USD
| 89
| 10,896,938
| September – 2024
| 151,933
|
U.S. Treasury Ultra Note
10 yr
| Short
| USD
| 33
| 3,697,031
| September – 2024
| 443
|
|
|
|
|
|
| $394,257
|
Liability Derivatives
|
Interest Rate Futures
|
|
|
Canadian Treasury Bond 5 yr
| Long
| CAD
| 8
| $646,715
| September – 2024
| $(83)
|
Euro-Bobl 5 yr
| Long
| EUR
| 63
| 7,925,440
| June – 2024
| (120,346)
|
Euro-Buxl 30 yr
| Long
| EUR
| 4
| 548,688
| June – 2024
| (33,316)
|
Euro-Schatz
| Short
| EUR
| 196
| 22,381,370
| September – 2024
| (17,450)
|
Long Gilt 10 yr
| Long
| GBP
| 5
| 613,679
| September – 2024
| (2,625)
|
U.S. Treasury Bond 30 yr
| Long
| USD
| 7
| 812,437
| September – 2024
| (6,534)
|
U.S. Treasury Note 2 yr
| Long
| USD
| 5
| 1,018,516
| September – 2024
| (174)
|
|
|
|
|
|
| $(180,528)
|
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
|
|
|
|
|
|
6/18/55
| USD
| 1,800,000
| centrally cleared
| Daily SOFR / Annually
| 3.458% / Annually
| $97,764
|
| $—
|
| $97,764
|
Liability Derivatives
|
|
|
|
|
|
Interest Rate Swaps
|
|
|
|
|
|
1/04/27
| BRL
| 3,000,000
| centrally cleared
| 10.3625% / At Maturity
| Average Daily BZDIOVRA / At Maturity
| $(13,626)
|
| $—
|
| $(13,626)
|
6/18/27
| USD
| 16,600,000
| centrally cleared
| 3.412% / Annually
| Daily SOFR / Annually
| (218,966)
|
| —
|
| (218,966)
|
1/03/28
| BRL
| 5,800,000
| centrally cleared
| 10.63% / Annually
| Average Daily BZDIOVRA / Annually
| (20,354)
|
| 3,121
|
| (17,233)
|
|
|
|
|
|
| $(252,946)
|
| $3,121
|
| $(249,825)
|
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
|
|
|
|
|
|
6/20/28
| EUR
| 130,000
| Barclays Bank PLC
| 5.00% / Quarterly
| (1)
| $8,412
|
| $15,511
|
| $23,923
|
(1)
| Fund, as protection seller, to pay notional amount upon a defined credit event by Glencore PLC, 1.75%, 3/17/25, a BBB+ rated bond. The fund entered into the contract to gain issuer
exposure.
|
Portfolio of Investments (unaudited)
– continued
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, 2024, the fund had cash
collateral of $480,000 and other liquid securities with an aggregate value of $2,071,260 to cover any collateral or margin obligations for certain derivative contracts. Restricted cash and/or deposits with
brokers in the Statement of Assets and Liabilities are comprised of cash collateral.
See Notes to Financial Statements
Financial Statements
Statement of Assets and
Liabilities
At 5/31/24 (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, $388,524,656)
| $370,302,864
|
Investments in affiliated issuers, at value (identified cost, $8,820,337)
| 8,821,214
|
Cash
| 5,197
|
Foreign currency, at value (identified cost, $6,702)
| 6,697
|
Restricted cash for
|
|
Forward foreign currency exchange contracts
| 480,000
|
Receivables for
|
|
Net daily variation margin on open cleared swap agreements
| 13,047
|
Forward foreign currency exchange contracts
| 1,068,015
|
Investments sold
| 361,429
|
TBA sale commitments
| 1,309,576
|
Interest
| 4,963,678
|
Uncleared swaps, at value (net of unamortized premiums paid, $15,511)
| 23,923
|
Other assets
| 36,819
|
Total assets
| $387,392,459
|
Liabilities
|
|
Notes payable
| $95,000,000
|
Payables for
|
|
Distributions
| 218,224
|
Forward foreign currency exchange contracts
| 1,585,561
|
Net daily variation margin on open futures contracts
| 159,846
|
Investments purchased
| 979,525
|
When-issued investments purchased
| 1,737,803
|
TBA purchase commitments
| 3,266,588
|
Payable to affiliates
|
|
Investment adviser
| 9,254
|
Administrative services fee
| 277
|
Transfer agent and dividend disbursing costs
| 1,345
|
Accrued interest expense
| 166,793
|
Deferred foreign capital gains tax expense payable
| 123,595
|
Accrued expenses and other liabilities
| 124,991
|
Total liabilities
| $103,373,802
|
Net assets
| $284,018,657
|
Statement of Assets and Liabilities (unaudited) – continued
Net assets consist of
|
|
Paid-in capital
| $347,403,215
|
Total distributable earnings (loss)
| (63,384,558)
|
Net assets
| $284,018,657
|
Shares of beneficial interest outstanding (42,041,330 shares issued less 26,450 capital shares to be
retired) (unlimited number of shares authorized)
| 42,014,880
|
Net asset value per share (net assets of $284,018,657 / 42,014,880 shares of beneficial interest
outstanding)
| $6.76
|
See Notes to Financial Statements
Financial Statements
Statement of Operations
Six months ended 5/31/24
(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
| $11,022,212
|
Dividends from affiliated issuers
| 242,630
|
Dividends
| 61,048
|
Other
| 167
|
Total investment income
| $11,326,057
|
Expenses
|
|
Management fee
| $848,897
|
Transfer agent and dividend disbursing costs
| 22,372
|
Administrative services fee
| 25,664
|
Independent Trustees' compensation
| 5,088
|
Stock exchange fee
| 21,044
|
Custodian fee
| 29,293
|
Shareholder communications
| 64,006
|
Audit and tax fees
| 52,307
|
Legal fees
| 5,538
|
Interest expense and fees
| 3,108,732
|
Miscellaneous
| 29,439
|
Total expenses
| $4,212,380
|
Net investment income (loss)
| $7,113,677
|
Statement of Operations (unaudited)
– continued
Realized and unrealized gain (loss)
|
Realized gain (loss) (identified cost basis)
|
|
Unaffiliated issuers
| $(2,171,501)
|
Affiliated issuers
| (944)
|
Futures contracts
| 1,246,195
|
Swap agreements
| 71,554
|
Forward foreign currency exchange contracts
| (1,443,579)
|
Foreign currency
| 23,456
|
Net realized gain (loss)
| $(2,274,819)
|
Change in unrealized appreciation or depreciation
|
|
Unaffiliated issuers
| $7,276,125
|
Affiliated issuers
| 425
|
Futures contracts
| 242,504
|
Swap agreements
| (157,289)
|
Forward foreign currency exchange contracts
| 1,956,713
|
Translation of assets and liabilities in foreign currencies
| (7,340)
|
Net unrealized gain (loss)
| $9,311,138
|
Net realized and unrealized gain (loss)
| $7,036,319
|
Change in net assets from operations
| $14,149,996
|
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
|
| 5/31/24
(unaudited)
| 11/30/23
|
Change in net assets
|
|
|
From operations
|
|
|
Net investment income (loss)
| $7,113,677
| $14,126,213
|
Net realized gain (loss)
| (2,274,819)
| (24,958,151)
|
Net unrealized gain (loss)
| 9,311,138
| 27,303,201
|
Change in net assets from operations
| $14,149,996
| $16,471,263
|
Distributions to shareholders
| $(8,813,879)
| $(12,005,785)
|
Tax return of capital distributions to shareholders
| $—
| $(11,490,267)
|
Distributions from other sources
| $(2,685,068)(a)
| $—
|
Change in net assets from fund share transactions
| $(2,107,136)
| $(10,078,362)
|
Total change in net assets
| $543,913
| $(17,103,151)
|
Net assets
|
|
|
At beginning of period
| 283,474,744
| 300,577,895
|
At end of period
| $284,018,657
| $283,474,744
|
(a)
| Estimated tax return of capital. All or a portion of this amount may be redesignated as ordinary income and/or capital gains at fiscal year end when the tax character of distributions
is determined. Please refer to “Tax Matters and Distributions” under Note 2 of the Notes to Financial Statements for additional information regarding the tax character of the fund’s distributions.
|
See Notes to Financial Statements
Financial Statements
Statement of Cash Flows
Six months ended 5/31/24
(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
| $14,149,996
|
Adjustments to reconcile change in net assets from operations to net cash provided by operating activities:
|
|
Purchase of investment securities
| (124,689,175)
|
Proceeds from disposition of investment securities
| 135,600,520
|
Purchase of short-term investments, net
| (4,297,031)
|
Realized gain/loss on investments
| 2,171,501
|
Unrealized appreciation/depreciation on investments
| (7,276,550)
|
Unrealized appreciation/depreciation on foreign currency contracts
| (1,956,713)
|
Unrealized appreciation/depreciation on swaps
| 157,289
|
Net amortization/accretion of income
| (1,191,390)
|
Amortization of debt issuance costs
| 34,811
|
Decrease in interest receivable
| 300,393
|
Decrease in accrued expenses and other liabilities
| (56,095)
|
Decrease in receivable for net daily variation margin on open futures contracts
| 207,654
|
Increase in payable for net daily variation margin on open futures contracts
| 159,846
|
Increase in other assets
| (20,892)
|
Decrease in interest payable
| (16,984)
|
Net cash provided by operating activities
| $13,277,180
|
Cash flows from financing activities:
|
|
Adjustment for debt issuance costs
| $10,396
|
Distributions paid in cash
| (11,440,918)
|
Repurchase of shares of beneficial interest
| (2,359,927)
|
Net cash used by financing activities
| $(13,790,449)
|
Net decrease in cash and restricted cash
| $(513,269)
|
Cash and restricted cash:
|
|
Beginning of period (including foreign currency of $6,784)
| $1,005,163
|
End of period (including foreign currency of $6,697)
| $491,894
|
Supplemental disclosure of cash flow
information:
Cash paid during the six months
ended May 31, 2024 for interest was $3,090,905.
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
|
| 5/31/24
(unaudited)
| 11/30/23
| 11/30/22
| 11/30/21
| 11/30/20
| 11/30/19
|
Net asset value, beginning of period
| $6.69
| $6.83
| $8.29
| $8.90
| $8.94
| $8.44
|
Income (loss) from investment operations
|
Net investment income (loss) (d)
| $0.17
| $0.33
| $0.33
| $0.35
| $0.37
| $0.36
|
Net realized and unrealized gain (loss)
| 0.17
| 0.05
| (1.20)
| (0.26)
| 0.27
| 0.80
|
Total from investment operations
| $0.34
| $0.38
| $(0.87)
| $0.09
| $0.64
| $1.16
|
Less distributions declared to shareholders
|
From net investment income
| $(0.21)
| $(0.27)
| $(0.42)
| $(0.42)
| $(0.40)
| $(0.44)
|
From tax return of capital
| —
| (0.27)
| (0.18)
| (0.28)
| (0.30)
| (0.26)
|
From other sources
| (0.06)(b)
| —
| —
| —
| —
| —
|
Total distributions declared to shareholders
| $(0.27)
| $(0.54)
| $(0.60)
| $(0.70)
| $(0.70)
| $(0.70)
|
Net increase from repurchase of capital shares
| $0.00(w)
| $0.02
| $0.01
| $—
| $0.02
| $0.04
|
Net asset value, end of period (x)
| $6.76
| $6.69
| $6.83
| $8.29
| $8.90
| $8.94
|
Market value, end of period
| $6.23
| $6.09
| $6.87
| $8.44
| $8.53
| $8.32
|
Total return at market value (%)
| 6.76(n)
| (3.34)
| (11.33)
| 7.27
| 11.58
| 22.47
|
Total return at net asset value (%) (j)(r)(s)(x)
| 5.45(n)
| 6.80
| (10.26)
| 0.99
| 8.35
| 15.54
|
Ratios (%) (to average net assets)
and Supplemental data:
|
Expenses
| 2.92(a)
| 2.70
| 1.37
| 0.91
| 1.02
| 1.40
|
Net investment income (loss)
| 4.93(a)
| 4.82
| 4.56
| 4.06
| 4.20
| 4.11
|
Portfolio turnover
| 38(n)
| 73
| 81
| 112
| 129
| 94
|
Net assets at end of period (000 omitted)
| $284,019
| $283,475
| $300,578
| $368,967
| $394,538
| $403,245
|
Supplemental Ratios (%):
|
Ratios of expenses to average net assets excluding interest expense and fees
| 0.76(a)
| 0.76
| 0.74
| 0.71
| 0.72
| 0.70
|
Senior Securities:
|
Total notes payable outstanding (000 omitted)
| $95,000
| $95,000
| $100,000
| $100,000
| $100,000
| $100,000
|
Asset coverage per $1,000 of indebtedness (k)
| $3,990
| $3,984
| $4,006
| $4,690
| $4,945
| $5,032
|
See Notes to Financial Statements
Financial Highlights – continued
(a)
| Annualized.
|
(b)
| Estimated tax return of capital. All or a portion of this amount may be redesignated as ordinary income and/or capital gains at fiscal year end when the tax character of distributions is determined.
Please refer to “Tax Matters and Distributions” under Note 2 of the Notes to Financial Statements for additional information regarding the tax character of the fund’s distributions.
|
(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 — 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, 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. 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
Notes to Financial
Statements (unaudited) - continued
market data. 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. Events that occur after foreign markets close (such as developments in foreign markets and significant movements in the U.S. markets) and prior to the determination
of the fund’s net asset value may be deemed to have a material effect on the value of securities traded in foreign markets. Accordingly, the fund’s foreign equity securities may often be valued at fair
value. 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 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, forward foreign
currency exchange contracts, and swap agreements. The following is a summary of the levels used as of May 31, 2024 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
| $2,840,302
| $—
| $222,353
| $3,062,655
|
Luxembourg
| —
| 214,515
| —
| 214,515
|
United Kingdom
| —
| 1,561
| —
| 1,561
|
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents
| —
| 60,517,872
| —
| 60,517,872
|
Non - U.S. Sovereign Debt
| —
| 72,003,349
| —
| 72,003,349
|
Municipal Bonds
| —
| 1,225,767
| —
| 1,225,767
|
U.S. Corporate Bonds
| —
| 158,864,721
| —
| 158,864,721
|
Residential Mortgage-Backed Securities
| —
| 9,379,333
| —
| 9,379,333
|
Commercial Mortgage-Backed Securities
| —
| 5,204,769
| —
| 5,204,769
|
Asset-Backed Securities (including CDOs)
| —
| 5,608,881
| —
| 5,608,881
|
Foreign Bonds
| —
| 54,219,441
| —
| 54,219,441
|
Mutual Funds
| 8,821,214
| —
| —
| 8,821,214
|
Total
| $11,661,516
| $367,240,209
| $222,353
| $379,124,078
|
Other Financial Instruments
|
|
|
|
|
Futures Contracts – Assets
| $394,257
| $—
| $—
| $394,257
|
Futures Contracts – Liabilities
| (180,528)
| —
| —
| (180,528)
|
Forward Foreign Currency Exchange Contracts – Assets
| —
| 1,068,015
| —
| 1,068,015
|
Forward Foreign Currency Exchange Contracts – Liabilities
| —
| (1,585,561)
| —
| (1,585,561)
|
Swap Agreements – Assets
| —
| 121,687
| —
| 121,687
|
Swap Agreements – Liabilities
| —
| (249,825)
| —
| (249,825)
|
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 11/30/23
| $219,045
|
Change in unrealized appreciation or depreciation
| 3,308
|
Balance as of 5/31/24
| $222,353
|
At May 31, 2024, the fund held
one level 3 security.
Inflation-Adjusted Debt
Securities — The fund invests in inflation-adjusted debt securities issued by the U.S. Treasury. The principal value of these debt securities is adjusted through income according to
changes in the Consumer Price 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
Notes to Financial
Statements (unaudited) - continued
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 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, 2024 as reported in the Statement of Assets and Liabilities:
|
| Fair Value (a)
|
Risk
| Derivative Contracts
| Asset Derivatives
| Liability Derivatives
|
Credit
| Purchased Option Contracts
| $42,332
| $—
|
Interest Rate
| Futures Contracts
| 394,257
| (180,528)
|
Foreign Exchange
| Forward Foreign Currency Exchange Contracts
| 1,068,015
| (1,585,561)
|
Interest Rate
| Cleared Swap Agreements
| 97,764
| (249,825)
|
Credit
| Uncleared Swap Agreements
| 23,923
| —
|
Total
|
| $1,626,291
| $(2,015,914)
|
(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
reported separately 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, 2024 as reported in the Statement of Operations:
Risk
| Futures
Contracts
| Swap
Agreements
| Forward Foreign
Currency
Exchange
Contracts
| Unaffiliated Issuers
(Purchased
Options)
|
Interest Rate
| $1,246,195
| $31,861
| $—
| $—
|
Foreign Exchange
| —
| —
| (1,443,579)
| —
|
Credit
| —
| 39,693
| —
| 77,770
|
Total
| $1,246,195
| $71,554
| $(1,443,579)
| $77,770
|
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, 2024 as reported in the Statement of Operations:
Risk
| Futures
Contracts
| Swap
Agreements
| Forward Foreign
Currency
Exchange
Contracts
| Unaffiliated Issuers
(Purchased
Options)
|
Interest Rate
| $242,504
| $(160,471)
| $—
| $—
|
Foreign Exchange
| —
| —
| 1,956,713
| —
|
Credit
| —
| 3,182
| —
| (31,637)
|
Total
| $242,504
| $(157,289)
| $1,956,713
| $(31,637)
|
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
Notes to Financial
Statements (unaudited) - continued
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). 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 credit 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.
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,
Notes to Financial
Statements (unaudited) - continued
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 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
Notes to Financial
Statements (unaudited) - continued
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 — The fund entered into swap agreements which 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”).
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, premiums paid or received at the inception of the agreements are amortized over the term of the agreement as realized gain or loss on swap agreements in the Statement of Operations. The periodic exchange
of net cash payments, as well as any liquidation payment received or made upon early termination, are 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 (“ISDA”) between the fund
and the counterparty 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. 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 interest rate
swap agreements in order to manage its exposure to interest rate fluctuations. Interest rate swap agreements involve the periodic exchange of cash flows, between the fund and a counterparty, based on the
difference between two interest rates applied to a notional principal amount. The two interest rates exchanged may either be a fixed rate and a floating rate or two floating rates based on different indices.
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
Notes to Financial
Statements (unaudited) - continued
sovereign issuers to which it is not otherwise
exposed. A credit default swap’s reference obligation may be either a single security or a basket of securities issued by corporate or sovereign issuers. At the inception of the agreement, the protection buyer
may make an upfront payment to or receive an upfront payment from the protection seller. Over the term of the agreement, the protection buyer will make a series of periodic payments to the protection seller based on a
fixed percentage applied to the agreement’s notional amount in exchange for a promise from the protection seller to make a specific payment should a defined credit event occur with respect to the reference
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. If a defined credit event occurs, the protection buyer will either (i) receive from the protection seller an amount equal to the agreement’s notional amount and deliver the reference
obligation (i.e., physical settlement) or (ii) receive from the protection seller a net settlement of cash equal to the agreement’s notional amount less the recovery value of the reference obligation. Upon
determination of the final price for the reference obligation (or upon delivery of the reference obligation in the case of physical settlement), the difference between the recovery value of the reference obligation
and the 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 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. At May 31, 2024, the fund did not hold any credit default swap agreements at an unrealized loss where it is the protection seller. 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.
Mortgage-Backed/Asset-Backed
Securities — 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.
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.
Notes to Financial
Statements (unaudited) - continued
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:
| 5/31/24
|
Cash
| $11,894
|
Restricted cash
| 480,000
|
Restricted cash included in deposits with brokers
| —
|
Total cash and restricted cash in the Statement of Cash Flows
| $491,894
|
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.
Investment Transactions and
Income — 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. 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 amount, 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.
Investment transactions are recorded
on the trade date. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
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, as applicable. 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.
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 customary 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 and When-issued investments sold in the Statement of Assets and Liabilities, as applicable. 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.
To mitigate the counterparty credit
risk on TBA transactions, mortgage dollar rolls, and other types of forward settling mortgage-backed and asset-backed security transactions, the fund whenever possible enters into a Master Securities Forward
Transaction Agreement (“MSFTA”) on a bilateral basis with each of the counterparties with whom it undertakes a significant volume of transactions. The MSFTA 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 MSFTA, the non-defaulting party
has the right to close out all transactions traded under such agreement and to net amounts owed under each transaction 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 MSFTA 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.
For mortgage-backed and asset-backed
securities traded under a MSFTA, the collateral and margining requirements are contract specific. Collateral amounts across all transactions traded under such agreement are netted and an amount is posted from one
party to the other to collateralize such obligations. Cash that has been pledged to cover the fund's collateral or margin obligations under a MSFTA, if any, will be reported separately on the Statement of Assets and
Liabilities as restricted cash. Securities pledged as collateral or margin for the same purpose, if any, are noted in the Portfolio of Investments.
Notes to Financial
Statements (unaudited) - continued
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 employs a managed distribution policy whereby 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. Distributions in any year may include a substantial return of capital component. For the six months ended May
31, 2024, the amount of distributions estimated to be a tax return of capital was approximately $2,685,068 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 ordinary income and/or capital gains at fiscal year end. Please refer to the Financial Highlights for distributions of tax returns of capital made during the prior five
years. 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 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 of premium and accretion of discount of debt securities, wash sale loss deferrals, and derivative transactions.
The tax character of distributions
made during the current period will be determined at fiscal year end. The tax character of distributions declared to shareholders for the last fiscal year is as follows:
| Year ended
11/30/23
|
Ordinary income (including any short-term capital gains)
| $12,005,785
|
Tax return of capital (b)
| 11,490,267
|
Total distributions
| $23,496,052
|
(b)
| Distributions in excess of tax basis earnings and profits are reported in the financial statements as a tax return of capital.
|
Notes to Financial
Statements (unaudited) - continued
The federal tax cost and the tax
basis components of distributable earnings were as follows:
As of 5/31/24
|
|
Cost of investments
| $405,907,236
|
Gross appreciation
| 3,432,727
|
Gross depreciation
| (30,215,885)
|
Net unrealized appreciation (depreciation)
| $(26,783,158)
|
As of 11/30/23
|
|
Capital loss carryforwards
| (32,376,206)
|
Other temporary differences
| (281,336)
|
Net unrealized appreciation (depreciation)
| (33,378,065)
|
The aggregate cost above includes
prior fiscal year end tax adjustments, if applicable.
As of November 30, 2023, 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:
Short-Term
| $(8,501,321)
|
Long-Term
| (23,874,885)
|
Total
| $(32,376,206)
|
(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 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, 2024 was equivalent to an annual effective rate of 0.59% 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, 2024, fees paid to MFSC amounted to $7,390.
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 is
computed daily and paid monthly. The administrative services fee incurred for the six months ended May 31, 2024 was equivalent to an annual effective rate of 0.0178% of the fund's average daily net
assets.
Notes to Financial
Statements (unaudited) - continued
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. Independent Trustees’ compensation is accrued daily and paid subsequent to each Trustee Board meeting. 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.
(4) Portfolio Securities
For the six months ended May 31,
2024, purchases and sales of investments, other than purchased options with an expiration date of less than one year from the time of purchase, and short-term obligations, were as follows:
| Purchases
| Sales
|
U.S. Government securities
| $29,243,573
| $28,987,424
|
Non-U.S. Government securities
| 112,292,337
| 122,163,170
|
(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 337,541 shares of beneficial
interest during the six months ended May 31, 2024 at an average price per share of $6.24 and a weighted average discount of 8.12% per share. The fund repurchased 1,655,959 shares of beneficial interest during the year
ended November 30, 2023 at an average price per share of $6.09 and a weighted average discount of 8.72% per share. Transactions in fund shares were as follows:
| Six months ended
5/31/24
|
| Year ended
11/30/23
|
| Shares
| Amount
|
| Shares
| Amount
|
Capital shares repurchased
| (337,541)
| $(2,107,136)
|
| (1,655,959)
| $(10,078,362)
|
(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, 2024, the fund had outstanding borrowings under this agreement in the amount of $95,000,000, which are secured by a
lien on the fund’s assets. Costs directly related to the closing of the credit agreement are considered debt issuance costs, which are being amortized into interest expense over twelve months from the closing
date. 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 has no explicit maturity date but may be terminated with appropriate notice by either party. Borrowings under the agreement can be made for liquidity or leverage purposes. Interest is charged at a
rate per annum equal to the one-month term SOFR (Secured
Notes to Financial
Statements (unaudited) - continued
Overnight Financing Rate) plus 0.10% plus an agreed
upon spread, or at the option of the borrower, an alternate base rate plus an agreed upon spread. The fund incurred interest expense of $3,057,651 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 line of credit. The fund paid a commitment fee of $3,110 during the period,
which is included in “Interest expense and fees” in the Statement of Operations. For the six months ended May 31, 2024, the average loan balance was $95,000,000 at a weighted average annual interest rate
of 6.44%. The fund is subject to certain covenants including, but not limited to, requirements with respect to asset coverage, portfolio diversification and liquidity.
(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
| $4,523,758
| $75,413,144
| $71,115,169
| $(944)
| $425
| $8,821,214
|
Affiliated Issuers
| Dividend
Income
| Capital Gain
Distributions
|
MFS Institutional Money Market Portfolio
| $242,630
| $—
|
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, 2024, 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, 2023 and the financial
highlights for each of the five years in the period then ended; and in our report dated January 16, 2024, 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.
/s/ Ernst & Young LLP
Boston, Massachusetts
July 16, 2024
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 “Reports and Other Documents” 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
COMPUTERSHARE TRUST COMPANY,
N.A.
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 43078
Providence, RI 02940-3078
New York Stock Exchange Symbol:
MCR
Item 1(b):
A copy of the notice transmitted to the Registrant’s 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.
ITEM 2. CODE OF ETHICS.
The Registrant has adopted a Code of Ethics (the “Code”) pursuant to Section 406 of the Sarbanes-Oxley Act and as defined in Form N-CSR that applies to the Registrant’s principal executive officer and principal financial and accounting officer. During the period covered by this report, the Registrant has not amended any provision in the Code that relates to an element of the Code’s definition enumerated in paragraph
(b)of Item 2 of this Form N-CSR. During the period covered by this report, the Registrant did not grant a waiver, including an implicit
waiver, from any provision of the Code. David L. DiLorenzo (Principal Executive Officer) and James O. Yost (Principal Financial Officer) were the two persons covered by the Code prior to April 1, 2024. Beginning April 1, 2024, David L. DiLorenzo (Principal Executive Officer) and Kasey L. Phillips (Principal Financial Officer) are the two persons covered by the Code.
A copy of the Code is attached hereto as EX-99.COE.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual reports.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable for semi-annual reports.
ITEM 6. INVESTMENTS
A schedule of investments of the Registrant is included as part of the report to shareholders of the Registrant under Item 1(a) of this Form N-CSR.
ITEM 7. FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 8. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 9. PROXY DISCLOSURES FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 10. RENUMERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF OPEN-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 11. STATEMENT REGARDING BASES FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT.
Not applicable.
ITEM 12. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable for semi-annual reports.
ITEM 13. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Portfolio Manager(s)
Information regarding the portfolio manager(s) of the MFS Charter Income Trust (the "Fund"), is set forth below. Each portfolio manager is primarily responsible for the day-to-day management of the Fund.
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 area
|
|
|
|
of MFS since 2011
|
Neeraj Arora
|
Emerging Markets Debt Instruments Portfolio
|
2023
|
Investment Officer of MFS; employed in the investment area
|
|
Manager
|
|
of MFS since 2011
|
|
|
|
|
Ward Brown
|
Emerging Markets Debt Instruments Portfolio
|
2012
|
Investment Officer of MFS; employed in the investment area
|
|
Manager
|
|
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
|
2006
|
Investment Officer of MFS; employed in the investment area
|
|
Manager
|
|
of MFS since 2004
|
Pilar Gomez-Bravo
|
Debt Instruments Portfolio Manager
|
2013
|
Co-Chief Investment Officer-Global Fixed Income of MFS;
|
|
|
|
employed in the investment area of MFS since 2013
|
Andy Li
|
Investment Grade Debt Instruments Portfolio
|
2019
|
Investment Officer of MFS; employed in the investment area
|
|
Manager
|
|
of MFS since 2018
|
John Mitchell
|
Investment Grade Debt Instruments Portfolio
|
2023
|
Investment Officer of MFS; employed in the investment area
|
|
Manager
|
|
of MFS since 2003
|
|
|
|
|
Michael Skatrud
|
Below Investment Grade Debt Instruments Portfolio
|
2018
|
Investment Officer of MFS; employed in the investment area
|
|
Manager
|
|
of MFS since 2013
|
Erik Weisman
|
Sovereign Debt Instruments Portfolio Manager
|
2012
|
Investment Officer of MFS; Employed in the investment area
|
|
|
|
of MFS since 2002
|
Compensation
MFS’ philosophy is to align portfolio manager compensation with the goal to provide shareholders with long-term value through a collaborative investment process. Therefore, MFS uses long-term investment performance as well as contribution to the overall investment process and collaborative culture as key factors in determining portfolio manager compensation. In addition, MFS seeks to maintain total compensation programs that are competitive in the asset management industry in each geographic market where it has employees. MFS uses competitive compensation data to ensure that compensation practices are aligned with its goals of attracting, retaining, and motivating the highest-quality professionals.
MFS reviews portfolio manager compensation annually. In determining portfolio manager compensation, MFS uses quantitative means and qualitative means to help ensure a durable investment process. As of December 31, 2023, portfolio manager total cash compensation is a combination of base salary and performance bonus:
Base Salary – Base salary generally represents a smaller percentage of portfolio manager total cash compensation than performance bonus. Performance Bonus – Generally, the performance bonus represents more than a majority of portfolio manager total cash compensation.
The performance bonus is based on a combination of quantitative and qualitative factors, generally with more weight given to the former and less weight given to the latter. The quantitative portion is primarily based on the pre-tax performance of accounts managed by the portfolio manager over a range of fixed-length time periods, intended to provide the ability to assess performance over time periods consistent with a full market cycle and a strategy's investment horizon. The fixed-length time periods include the portfolio manager's full tenure on each Fund/strategy and, when available, 10-, 5-, and 3-year periods. For portfolio managers who have served for less than three years, shorter- term periods, including the one-year period, will also be considered, as will performance in previous roles, if any, held at the firm. Emphasis is generally placed on longer performance periods when multiple performance periods are available. Performance is evaluated across the full set of strategies and portfolios managed by a given portfolio manager, relative to appropriate peer group universes and/or representative indices (“benchmarks”). As of December 31, 2023, the following benchmarks were used to measure the following portfolio manager's performance for the Fund, unless otherwise indicated:
Fund
|
Portfolio Manager
|
Benchmark(s)
|
MFS Charter Income Trust
|
Robert Spector
|
FTSE World Government Bond Non-Dollar Hedged Index
|
|
|
JPMorgan Emerging Markets Bond Index Global
|
|
|
Bloomberg U.S. Corporate High-Yield 2% Issuer Capped Index
|
|
|
Bloomberg U.S. Credit Index
|
|
|
Bloomberg U.S. Government/Mortgage Bond Index
|
|
Neeraj Arora
|
JPMorgan Emerging Markets Bond Index Global
|
|
Ward Brown
|
JPMorgan Emerging Markets Bond Index Global
|
|
Philipp Burgener
|
Bloomberg U.S. Government/Mortgage Index
|
|
David Cole
|
Bloomberg U.S. Corporate High-Yield 2% Issuer Capped Index
|
|
Andy Li
|
Bloomberg Global Aggregate Credit Index
|
|
John Mitchell
|
Bloomberg Global Aggregate Credit Index
|
|
Michael Skatrud
|
Bloomberg U.S. Corporate High-Yield 2% Issuer Capped Index
|
|
Erik Weisman
|
FTSE World Government Bond Non-Dollar Hedged Index
|
Benchmarks may include versions and components of indices, custom indices, and linked indices that combine performance of different indices for different portions of the time period, where appropriate.
The qualitative portion is based on the results of an annual internal peer review process (where portfolio managers are evaluated by other portfolio managers, analysts, and traders) and management’s assessment of overall portfolio manager contributions to the MFS investment process and the client experience (distinct from fund and other account performance).
The performance bonus may be in the form of cash and/or a deferred cash award, at the discretion of management. A deferred cash award is issued for a cash value and becomes payable over a three-year vesting period if the portfolio manager remains in the continuous employ of MFS or its affiliates. During the vesting period, the value of the unfunded deferred cash award will fluctuate as though the portfolio manager had invested the cash value of the award in an MFS fund(s) selected by the portfolio manager. A selected fund may, but is not required to, be a fund that is managed by the portfolio manager.
With respect to Ms. Pilar Gomez-Bravo, her compensation reflects her broader role within MFS as Co-Chief Investment Officer-Global Fixed Income in addition to being a portfolio manager. Her performance bonus is based on a combination of quantitative and qualitative factors, generally with more weight given to the former and less weight given to the latter. The quantitative portion is based on overall group investment performance and business performance metrics. The qualitative portion is based on the results of an annual internal review process conducted by the Chief Investment Officer which takes into account her broad leadership responsibilities. This performance bonus may be in the form of cash and/or a deferred cash award, at the discretion of management. A deferred cash award is issued for a cash value and becomes payable over a three-year vesting period if the portfolio manager remains in the continuous employ of MFS or its affiliates. During the vesting period, the value of the unfunded deferred cash award will fluctuate as though the portfolio manager had invested the cash value of the award in an MFS fund(s) selected by the portfolio manager. A selected fund may, but is not required to, be a fund that is managed by the portfolio manager.
MFS Equity Plan – Portfolio managers also typically benefit from the opportunity to participate in the MFS Equity Plan. Equity interests are awarded by management, on a discretionary basis, taking into account tenure at MFS, contribution to the investment process, and other factors.
Finally, portfolio managers also participate in benefit plans (including a defined contribution plan and health and other insurance plans) and programs available generally to other employees of MFS. The percentage such benefits represent of any portfolio manager’s compensation depends upon the length of the individual’s tenure at MFS and salary level, as well as other factors.
Ownership of Fund Shares
The following table shows the dollar range of equity securities of the Fund beneficially owned by the Fund’s portfolio manager(s) as of the Fund's fiscal year ended November 30, 2023. The following dollar ranges apply:
N. None
A. $1 – $10,000
B. $10,001 – $50,000
C. $50,001 – $100,000
D. $100,001 – $500,000
E. $500,001 – $1,000,000
F. Over $1,000,000
Name of Portfolio Manager
|
Dollar Range of Equity Securities in Fund
|
Robert Spector
|
N
|
Neeraj Arora
|
N
|
Ward Brown
|
N
|
Philipp Burgener
|
N
|
David Cole
|
N
|
Pilar Gomez-Bravo
|
N
|
Andy Li
|
N
|
John Mitchell
|
N
|
Michael Skatrud
|
N
|
Erik Weisman
|
N
|
Other Accounts
In addition to the Fund, each portfolio manager of the Fund is named as a portfolio manager of certain other accounts managed or sub- advised by MFS or an affiliate. The number and assets of these accounts were as follows as of the Fund's fiscal year ended November 30, 2023:
|
Registered Investment Companies*
|
Other Pooled Investment Vehicles
|
Other Accounts
|
|
|
Total
|
|
|
Number of
|
|
Name
|
Number of Accounts
|
Assets
|
Number of Accounts
|
Total Assets
|
Accounts
|
Total Assets
|
Robert Spector
|
7
|
$3.4 billion
|
12
|
$4.6 billion
|
39
|
$2.1 billion
|
|
|
|
|
|
|
|
Neeraj Arora
|
9
|
$13.9 billion
|
9
|
$3.0 billion
|
7
|
$2.2 billion
|
|
|
|
|
|
|
|
Ward Brown
|
6
|
$8.5 billion
|
8
|
$3.0 billion
|
6
|
$2.1 billion
|
|
|
|
|
|
|
|
Philipp Burgener
|
7
|
$8.2 billion
|
5
|
$1.7 billion
|
1
|
$57.1 million
|
|
|
|
|
|
|
|
David Cole
|
14
|
$9.8 billion
|
10
|
$7.3 billion
|
7
|
$704.0 million
|
|
|
|
|
|
|
|
Pilar Bravo-Gomez
|
5
|
$3.2 billion
|
8
|
$2.5 billion
|
5
|
$996.4 million
|
|
|
|
|
|
|
|
Andy Li
|
5
|
$3.2 billion
|
8
|
$2.5 billion
|
4
|
$970.6 million
|
|
|
|
|
|
|
|
John Mitchell
|
8
|
$9.8 billion
|
9
|
$3.0 billion
|
7
|
$1.2 billion
|
|
|
|
|
|
|
|
Michael Skatrud
|
12
|
$9.7 billion
|
6
|
$932.7 million
|
4
|
$396.6 million
|
|
|
|
|
|
|
|
Erik Weisman
|
7
|
$4.6 billion
|
7
|
$2.4 billion
|
3
|
$826.0 million
|
|
|
|
|
|
|
|
* Includes the Fund.
|
|
|
|
|
|
|
Advisory fees are not based upon performance of any of the accounts identified in the table above.
Potential Conflicts of Interest
MFS seeks to identify potential conflicts of interest resulting from a portfolio manager’s management of both the Fund and other accounts, and has adopted policies and procedures designed to address such potential conflicts. There is no guarantee that MFS will be successful in identifying or mitigating conflicts of interest.
The management of multiple funds and accounts (including accounts in which MFS or an affiliate has an interest) gives rise to conflicts of interest if the funds and accounts have different objectives and strategies, benchmarks, time horizons, and fees, as a portfolio manager must allocate his or her time and investment ideas across multiple funds and accounts. In certain instances, there are securities which are suitable for the Fund’s portfolio as well as for one or more other accounts advised by MFS or its subsidiaries (including accounts in which MFS or an affiliate has an interest) with similar investment objectives. MFS' trade allocation policies could have a detrimental effect on the Fund if the Fund’s orders do not get fully executed or are delayed in getting executed due to being aggregated with those of other accounts advised by MFS or its subsidiaries. A portfolio manager may execute transactions for another fund or account that may adversely affect the value of the Fund’s investments. Investments selected for funds or accounts other than the Fund may outperform investments selected for the Fund.
When two or more accounts are simultaneously engaged in the purchase or sale of the same security, the securities are allocated among clients in a manner believed by MFS to be fair and equitable to each over time. Allocations may be based on many factors and may not always be pro rata based on assets managed. The allocation methodology could have a detrimental effect on the price or availability of a security with respect to the Fund.
MFS and/or a portfolio manager may have a financial incentive to allocate favorable or limited opportunity investments or structure the timing of investments to favor accounts other than the Fund; for instance, those that pay a higher advisory fee and/or have a performance adjustment, those that include an investment by the portfolio manager, and/or those in which MFS, its officers and/or employees, and/or its affiliates own or have an interest.
To the extent permitted by applicable law, certain accounts may invest their assets in other accounts advised by MFS or its affiliates, including accounts that are advised by one or more of the same portfolio manager(s), which could result in conflicts of interest relating to asset allocation, timing of purchases and redemptions, and increased profitability for MFS, its affiliates, and/or its personnel, including portfolio managers.
ITEM 14. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
MFS Charter Income Trust
|
|
|
|
(c) Total Number of
|
(d) Maximum Number
|
|
|
|
|
Shares Purchased as
|
(or Approximate
|
|
|
(a) Total number of
|
(b) Average
|
Part of Publicly
|
Dollar Value) of
|
|
Period
|
Shares Purchased
|
Price Paid
|
Announced Plans or
|
Shares that May Yet
|
|
|
|
per Share
|
Programs
|
Be Purchased under
|
|
|
|
|
|
the Plans or Programs
|
|
|
|
|
|
|
|
12/01/23-12/31/23
|
25,781
|
6.24
|
25,781
|
3,830,107
|
|
01/01/24-01/31/24
|
0
|
N/A
|
0
|
3,830,107
|
|
02/01/24-02/28/24
|
43,908
|
6.30
|
43,908
|
3,786,199
|
|
03/01/24-03/31/24
|
117,103
|
6.30
|
117,103
|
3,669,096
|
|
04/01/24-04/30/24
|
124,299
|
6.17
|
124,299
|
3,544,797
|
|
05/01/24-05/31/24
|
26,450
|
6.24
|
26,450
|
3,518,347
|
|
Total
|
337,541
|
6.24
|
337,541
|
|
|
|
|
|
|
|
Note: The Board approved procedures to repurchase shares and reviews the results periodically. The notification to shareholders of the program is part of the semi-annual and annual reports sent to shareholders. These annual programs begin on October 1st of each year. The programs conform to the conditions of Rule 10b-18 of the Securities Exchange Act of 1934 and limit the aggregate number of shares that may be purchased in each annual period (October 1 through the following September 30) to 10% of the Registrant’s outstanding shares as of the first day of the plan year (October 1). The aggregate number of shares available for purchase for the October 1, 2023 plan year is 4,277,392.
ITEM 15. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There were no material changes to the procedures by which shareholders may send recommendations to the Board for nominees to the Registrant’s Board since the Registrant last provided disclosure as to such procedures in response to the requirements of Item 407 (c)(2)(iv) of Regulation S-K or this Item.
ITEM 16. CONTROLS AND PROCEDURES.
(a)Based upon their evaluation of the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as conducted within 90 days of the filing date of this report on Form N-CSR, the Registrant’s principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.
(b)There were no changes in the Registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by the report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
ITEM 17. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable for semi-annual reports.
ITEM 18. RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION.
Not applicable.
ITEM 19. EXHIBITS.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Attached hereto as EX-99.COE.
(2)A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto as EX-99.302CERT.
(3)Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable.
(4)Change in the registrant’s independent public accountant. Not applicable.
(b)If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for the purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Attached hereto as EX-99.906CERT.
(c)Registrant’s Rule 30e-3 Notice pursuant to Item 1(b) of Form N-CSR. Attached hereto as EX-99.30e-3Notice.
(d)Notices to Trust’s common shareholders in accordance with Investment Company Act Section 19(a) and Rule 19a-1. Attached hereto as Ex-99.19a-1.
Notice
A copy of the Amended and Restated Declaration of Trust, as amended, of the Registrant is on file with the Secretary of State of The Commonwealth of Massachusetts and notice is hereby given that this instrument is executed on behalf of the Registrant by an officer of the Registrant as an officer and not individually and the obligations of or arising out of this instrument are not binding upon any of the Trustees or shareholders individually, but are binding only upon the assets and property of the respective constituent series of the Registrant.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) MFS CHARTER INCOME TRUST
By (Signature and Title)*
/S/ DAVID L. DILORENZO
David L. DiLorenzo, President
Date: July 16, 2024
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)*
/S/ DAVID L. DILORENZO
David L. DiLorenzo, President (Principal Executive Officer)
Date: July 16, 2024
By (Signature and Title)*
/S/ KASEY L. PHILLIPS
Kasey L. Phillips, Treasurer (Principal Financial Officer and Accounting Officer) Date: July 16, 2024
* Print name and title of each signing officer under his or her signature.
EX-99.COE
Code of Ethics for Principal Executive and Principal Financial Officers
Effective April 1, 2024
Policy Purpose and Summary
Section 406 of the Sarbanes-Oxley Act requires that each MFS Fund registered under the Investment Company Act of 1940 disclose whether or not it has adopted a code of ethics for senior financial officers, applicable to its principal financial officer and principal accounting officer.
I.Overview
A. Covered Officers/Purpose of the Code
This code of ethics (this “Code”) has been adopted by the funds (collectively, “Funds” and each, “Fund”) under supervision of the MFS Funds Board (the “Board”) and applies to the Funds’ Principal Executive Officer and Principal Financial Officer (the “Covered Officers” each of whom is set forth in Exhibit A) for the purpose of promoting:
•honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;
•full, fair, accurate, timely and understandable disclosure in reports and documents that the Funds file with, or submit to, the Securities and Exchange Commission (“SEC”) and in other public communications made by the Funds;
•compliance by the Funds with applicable laws and governmental rules and regulations;
•the prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and
•accountability for adherence to the Code.
B. Conduct Guidelines
Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest. In addition, each Covered Officer should not place his or her personal interests ahead of the Funds’ interests and should endeavor to act honestly and ethically. In furtherance of the foregoing, each Covered Officer must:
•not use his or her personal influence or personal relationships improperly to influence investment decisions or financial reporting for any Fund whereby the Covered Officer would benefit personally to the detriment of the Fund; and
•not cause a Fund to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Fund.
The following activities, which could create the appearance of a conflict of interest, are permitted only with the approval of the Funds’ Chief Legal Officer (“CLO”):
•service as a director on the board of any “for profit” company other than the board of the Funds' investment adviser or its subsidiaries or board of a pooled investment vehicle sponsored by the Funds' investment adviser or its subsidiaries;
•running for political office;
•the receipt of any Fund business-related gift or any entertainment from any company with which a Fund has current or prospective business dealings unless such gift or entertainment is permitted by the gifts and entertainment policy of the Funds' investment adviser;
•any material ownership interest in, or any consulting or employment relationship with, any Fund service providers (e.g., custodian banks, audit firms), other than the Funds’ investment adviser, principal underwriter, administrator or any affiliated person thereof;
•a direct or indirect financial interest in commissions, transaction charges or spreads paid by a Fund for effecting portfolio transactions or for selling or redeeming shares, other than an interest arising from the Covered Officer’s employment or securities ownership.
C.Disclosure and Compliance
•Each Covered Officer should familiarize himself or herself with the disclosure requirements generally applicable to the Funds;
•each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about a Fund to others, whether within or outside the Fund, including to the Fund’s trustees and auditors, and to governmental regulators and self-regulatory organizations;
•each Covered Officer should, to the extent appropriate within his or her area of Fund responsibility, consult with other officers and employees of the Funds and the adviser with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Funds file with, or submit to, the SEC and in other public communications made by the Funds; and
•it is the responsibility of each Covered Officer to promote compliance within his or her area of Fund responsibility with the standards and restrictions imposed by applicable laws, rules and regulations.
D.Reporting and Accountability
Each Covered Officer must:
•upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing to the Board that he or she has received, read, and understands the Code;
•annually thereafter affirm to the Board that he or she has complied with the requirements of the Code;
•annually report to the CLO affiliations and relationships which are or may raise the appearance of a conflict of interest with the Covered Officer’s duties to the Funds, as identified in the annual Trustee and Officer Questionnaire;
•not retaliate against any other Covered Officer or any officer or employee of the Funds or their affiliated persons for reports of potential violations that are made in good faith; and
•notify the CLO promptly if he or she knows of any violation of this Code. Failure to do so is itself a violation of this Code.
The CLO is responsible for applying this Code to specific situations in which questions are presented under it, granting waivers upon consultation with the Board or its designee, investigating violations, and has the authority to interpret this Code in any particular situation. The CLO will report requests for waivers to the Board (or a designee thereof) promptly upon receipt of a waiver request and will periodically report to the Board any approvals granted since the last report.
The CLO will take all appropriate action to investigate any potential violations reported to him or her and to report any violations to the Board. If the Board concurs that a violation has occurred, it will consider appropriate action, which may include review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of the investment adviser or its board; or a recommendation to dismiss the Covered Officer.
Any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules.
E. Confidentiality
All reports and records prepared or maintained pursuant to this Code and under the direction of the CLO will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Funds’ Board, its counsel, counsel to the Board’s independent trustees and senior management and the board of directors of the Fund’s investment adviser and its counsel.
F. Internal Use
The Code is intended solely for the internal use by the Funds and does not constitute an admission, by or on behalf of any Fund, as to any fact, circumstance, or legal conclusion.
II.Supervision
The Board of Trustees of the Funds, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of the Funds, shall review no less frequently than annually, a report from the CLO regarding the affirmations of the principal executive officer and the principal financial officer as to compliance with this Code.
III.Interpretation and Escalation
Breaches of the Code are reviewed by the CLO and communicated to the Board of Trustees of the affected Fund(s). Interpretations of this Policy shall be made from time to time by the CLO, as needed, and questions regarding the application of this Policy to a specific set of facts are escalated to the CLO.
IV. Authority
Section 406 of the Sarbanes-Oxley Act.
V.Monitoring
Adherence to this policy is monitored by the CLO.
VI. |
Related Policies |
|
This Code shall be the sole code of ethics adopted by the Funds for purposes of |
|
Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to |
|
registered investment companies thereunder. Insofar as other policies or procedures |
|
of the Funds, the Funds’ adviser, principal underwriter, or other service providers |
|
govern or purport to govern the behavior or activities of the Covered Officers who |
|
are subject to this Code, they are superseded by this Code to the extent that they |
|
overlap or conflict with the provisions of this Code. The Funds’ and their investment |
|
adviser’s codes of ethics under Rule 17j-1 under the Investment Company Act and |
|
any other codes or policies or procedures adopted by the Funds or their investment |
|
adviser or other service providers are separate requirements and are not part of this |
|
Code. |
VII. |
Amendment |
|
Any amendments to this Code, other than amendments to Exhibit A, must be |
|
approved or ratified by a majority vote of the Board, including a majority of |
|
independent trustees. |
VIII. |
Recordkeeping |
|
All required books, records and other documentation shall be retained in accordance |
|
with MFS’ related record retention policy. |
Additional procedures may need to be implemented by departments to properly comply with this policy.
Exhibit A
As of April 1, 2024
Persons Covered by this Code of Ethics
Funds’ Principal Executive Officer: David L. DiLorenzo
Funds’ Principal Financial Officer: Kasey L. Phillips
EX-99.302CERT
MFS CHARTER INCOME TRUST
Certification Pursuant to Section 302 of the Sarbanes-Oxley Act
I, Kasey L. Phillips, certify that:
1.I have reviewed this report on Form N-CSR of MFS Charter Income Trust;
2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4.The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
a.Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b.Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c.Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures as of a date within 90 days prior to the filing date of this report based on such evaluation; and
d.Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by the report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5.The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
a.All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
b.Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: July 16, 2024
/S/ KASEY L. PHILLIPS
Kasey L. Phillips
Treasurer (Principal Financial Officer and Accounting Officer)
EX-99.302CERT
MFS CHARTER INCOME TRUST
Certification Pursuant to Section 302 of the Sarbanes-Oxley Act
I, David L. DiLorenzo, certify that:
1.I have reviewed this report on Form N-CSR of MFS Charter Income Trust;
2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4.The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
a.Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b.Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c.Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures as of a date within 90 days prior to the filing date of this report based on such evaluation; and
d.Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by the report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5.The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
a.All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
b.Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: July 16, 2024
/S/ DAVID L. DILORENZO
David L. DiLorenzo
President (Principal Executive Officer)
EX-99.906CERT
MFS CHARTER INCOME TRUST
Certification Pursuant to Section 906 of the Sarbanes-Oxley Act
I, Kasey L. Phillips, certify that, to my knowledge:
1.The Form N-CSR (the “Report”) of MFS Charter Income Trust (the “Registrant”) fully complies for the period covered by the Report with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
2.The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.
Date: July 16, 2024
/S/ KASEY L. PHILLIPS
Kasey L. Phillips
Treasurer (Principal Financial Officer and Accounting Officer)
A signed original of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission or its staff upon request.
EX-99.906CERT
MFS CHARTER INCOME TRUST
Certification Pursuant to Section 906 of the Sarbanes-Oxley Act
I, David L. DiLorenzo, certify that, to my knowledge:
1.The Form N-CSR (the “Report”) of MFS Charter Income Trust (the “Registrant”) fully complies for the period covered by the Report with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
2.The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.
Date: July 16, 2024
/S/ DAVID L. DILORENZO
David L. DiLorenzo
President (Principal Executive Officer)
A signed original of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission or its staff upon request.
MFS Charter Income Trust
Thank you for being a shareholder. You are encouraged to access and review this important report containing information about the fund, including portfolio holdings and financial statements.
The report is available at:
closedendfunds.mfs.com
This report is available by mail or email upon request free of charge. Reports for the prior reporting period and the fund’s portfolio holdings for its most recent fi rst and third fiscal quarters are also available online and in print by request.
Current and future report delivery requests can be submitted at any time using the options in the right panel.
Why am I receiving this Notice?
The Securities and Exchange Commission adopted new rule 30e-3, which, among other things, allows mutual fund companies to deliver shareholder reports by making such reports accessible at a website address. You still may elect to receive a paper copy of the current report and/or any future reports by following the instructions on the panel on the right-hand side.
001CD80003 : CCS-Letter-75GSM-Plain-white-20/50#
An Important Report to Shareholders is Now Available Online and In Print by Request
Scan this code with your
smartphone to access your report:
Or download your report
using the link in the left panel.
Prefer a copy by mail or email?
Within USA, US Territories & Canada
800-637-2304
Outside USA, US Territories & Canada
(781) 575-2879
Sign up to get future
Fund Reports by email
Sign in to computershare.com/investor
Select My Profile >
Communications Preferences
and choose your preferred method
Please contact us with any questions:
Website
www.computershare.com/mfs
Phone
Within USA, US Territories & Canada
800-637-2304
Outside USA, US Territories & Canada
(781) 575-2879
Regular Mail
Computershare Trust Company, N.A.
P.O. Box 505005
Louisville, KY 40233-5005
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.
MFS® Charter Income Trust
P.O. Box 43078
Providence, RI 02940-3078
Notice to shareholders — Source of distribution
Distribution period |
May-2024 |
Distribution amount per share |
$0.04509 |
The following table sets forth the estimated amounts of the current distribution and the cumulative distributions paid this fiscal year to date from the following sources: net investment income, net realized short-term capital gains, net realized long-term capital gains and return of capital or other capital source. The fund’s fiscal year begins each December 1st. All amounts are expressed per common share.
|
Current |
% Breakdown of |
Total cumulative |
% Breakdown of the total |
|
distributions for the |
cumulative distributions |
|
distribution |
current distribution |
fiscal year to date |
for the fiscal year to date |
Net Investment Income |
0.04509 |
100% |
0.23684 |
87% |
Net Realized ST Cap Gains |
0.00000 |
0% |
0.00000 |
0% |
Net Realized LT Cap Gains |
0.00000 |
0% |
0.00000 |
0% |
Return of Capital or |
0.00000 |
0% |
0.03539 |
13% |
Other Capital Source |
Total (per common share) |
0.04509 |
100% |
0.27223 |
100% |
Average annual total return (in relation to NAV) for the five years ended 4-30-2024 |
3.10% |
Annualized current distribution rate expressed as a percentage of month end NAV as of 4-30-2024 |
8.05% |
Cumulative total return (in relation to NAV) for the fiscal year through 4-30-2024 |
3.92% |
Cumulative fiscal year distributions as a percentage of NAV as of 4-30-2024 |
4.05% |
You should not draw any conclusions about the fund's investment performance from the amount of this distribution or from the terms of the fund's managed distribution plan.
The fund estimates that it has distributed more than its income and capital gains; therefore, a portion of your distribution may be 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. A return of capital distribution does not necessarily reflect the fund's investment performance and should not be confused with "yield" or "income."
The amounts and sources of distributions reported in this notice 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.
If you have any questions regarding this information, please call our fund service department at 1-800-637-2304 any business day from 9 a.m. to 5 p.m. Eastern time.
MCRSN-0524
MFS® Charter Income Trust
P.O. Box 43078
Providence, RI 02940-3078
Notice to shareholders — Source of distribution
Distribution period |
April-2024 |
Distribution amount per share |
$0.04579 |
The following table sets forth the estimated amounts of the current distribution and the cumulative distributions paid this fiscal year to date from the following sources: net investment income, net realized short-term capital gains, net realized long-term capital gains and return of capital or other capital source. The fund’s fiscal year begins each December 1st. All amounts are expressed per common share.
|
Current |
% Breakdown of |
Total cumulative |
% Breakdown of the total |
|
distributions for the |
cumulative distributions |
|
distribution |
current distribution |
fiscal year to date |
for the fiscal year to date |
Net Investment Income |
0.03022 |
66% |
0.16581 |
73% |
Net Realized ST Cap Gains |
0.00000 |
0% |
0.00000 |
0% |
Net Realized LT Cap Gains |
0.00000 |
0% |
0.00000 |
0% |
Return of Capital or |
0.01557 |
34% |
0.06133 |
27% |
Other Capital Source |
Total (per common share) |
0.04579 |
100% |
0.22714 |
100% |
Average annual total return (in relation to NAV) for the five years ended 3-31-2024 |
3.71% |
Annualized current distribution rate expressed as a percentage of month end NAV as of 3-31-2024 |
7.89% |
Cumulative total return (in relation to NAV) for the fiscal year through 3-31-2024 |
5.77% |
Cumulative fiscal year distributions as a percentage of NAV as of 3-31-2024 |
3.30% |
You should not draw any conclusions about the fund's investment performance from the amount of this distribution or from the terms of the fund's managed distribution plan.
The fund estimates that it has distributed more than its income and capital gains; therefore, a portion of your distribution may be 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. A return of capital distribution does not necessarily reflect the fund's investment performance and should not be confused with "yield" or "income."
The amounts and sources of distributions reported in this notice 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.
If you have any questions regarding this information, please call our fund service department at 1-800-637-2304 any business day from 9 a.m. to 5 p.m. Eastern time.
MCRSN-0424
MFS® Charter Income Trust
P.O. Box 43078
Providence, RI 02940-3078
Notice to shareholders — Source of distribution
Distribution period |
March-2024 |
Distribution amount per share |
$0.04567 |
The following table sets forth the estimated amounts of the current distribution and the cumulative distributions paid this fiscal year to date from the following sources: net investment income, net realized short-term capital gains, net realized long-term capital gains and return of capital or other capital source. The fund’s fiscal year begins each December 1st. All amounts are expressed per common share.
|
Current |
% Breakdown of |
Total cumulative |
% Breakdown of the total |
|
distributions for the |
cumulative distributions |
|
distribution |
current distribution |
fiscal year to date |
for the fiscal year to date |
Net Investment Income |
0.03151 |
69% |
0.13601 |
75% |
Net Realized ST Cap Gains |
0.00000 |
0% |
0.00000 |
0% |
Net Realized LT Cap Gains |
0.00000 |
0% |
0.00000 |
0% |
Return of Capital or |
0.01416 |
31% |
0.04534 |
25% |
Other Capital Source |
Total (per common share) |
0.04567 |
100% |
0.18135 |
100% |
Average annual total return (in relation to NAV) for the five years ended 2-29-2024 |
3.75% |
Annualized current distribution rate expressed as a percentage of month end NAV as of 2-29-2024 |
8.00% |
Cumulative total return (in relation to NAV) for the fiscal year through 2-29-2024 |
4.41% |
Cumulative fiscal year distributions as a percentage of NAV as of 2-29-2024 |
2.65% |
You should not draw any conclusions about the fund's investment performance from the amount of this distribution or from the terms of the fund's managed distribution plan.
The fund estimates that it has distributed more than its income and capital gains; therefore, a portion of your distribution may be 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. A return of capital distribution does not necessarily reflect the fund's investment performance and should not be confused with "yield" or "income."
The amounts and sources of distributions reported in this notice 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.
If you have any questions regarding this information, please call our fund service department at 1-800-637-2304 any business day from 9 a.m. to 5 p.m. Eastern time.
MCRSN-0324
MFS® Charter Income Trust
P.O. Box 43078
Providence, RI 02940-3078
Notice to shareholders — Source of distribution
Distribution period |
February-2024 |
Distribution amount per share |
$0.04588 |
The following table sets forth the estimated amounts of the current distribution and the cumulative distributions paid this fiscal year to date from the following sources: net investment income, net realized short-term capital gains, net realized long-term capital gains and return of capital or other capital source. The fund’s fiscal year begins each December 1st. All amounts are expressed per common share.
|
Current |
% Breakdown of |
Total cumulative |
% Breakdown of the total |
|
distributions for the |
cumulative distributions |
|
distribution |
current distribution |
fiscal year to date |
for the fiscal year to date |
Net Investment Income |
0.04588 |
100% |
0.10583 |
78% |
Net Realized ST Cap Gains |
0.00000 |
0% |
0.00000 |
0% |
Net Realized LT Cap Gains |
0.00000 |
0% |
0.00000 |
0% |
Return of Capital or |
0.00000 |
0% |
0.02985 |
22% |
Other Capital Source |
Total (per common share) |
0.04588 |
100% |
0.13568 |
100% |
Average annual total return (in relation to NAV) for the five years ended 1-31-2024 |
4.03% |
Annualized current distribution rate expressed as a percentage of month end NAV as of 1-31-2024 |
7.98% |
Cumulative total return (in relation to NAV) for the fiscal year through 1-31-2024 |
4.67% |
Cumulative fiscal year distributions as a percentage of NAV as of 1-31-2024 |
1.97% |
You should not draw any conclusions about the fund's investment performance from the amount of this distribution or from the terms of the fund's managed distribution plan.
The fund estimates that it has distributed more than its income and capital gains; therefore, a portion of your distribution may be 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. A return of capital distribution does not necessarily reflect the fund's investment performance and should not be confused with "yield" or "income."
The amounts and sources of distributions reported in this notice 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.
If you have any questions regarding this information, please call our fund service department at 1-800-637-2304 any business day from 9 a.m. to 5 p.m. Eastern time.
MCRSN-0224
MFS® Charter Income Trust
P.O. Box 43078
Providence, RI 02940-3078
Notice to shareholders — Source of distribution
Distribution period |
January-2024 |
Distribution amount per share |
$0.04585 |
The following table sets forth the estimated amounts of the current distribution and the cumulative distributions paid this fiscal year to date from the following sources: net investment income, net realized short-term capital gains, net realized long-term capital gains and return of capital or other capital source. The fund’s fiscal year begins each December 1st. All amounts are expressed per common share.
|
Current |
% Breakdown of |
Total cumulative |
% Breakdown of the total |
|
distributions for the |
cumulative distributions |
|
distribution |
current distribution |
fiscal year to date |
for the fiscal year to date |
Net Investment Income |
0.00183 |
4% |
0.00359 |
4% |
Net Realized ST Cap Gains |
0.00000 |
0% |
0.00000 |
0% |
Net Realized LT Cap Gains |
0.00000 |
0% |
0.00000 |
0% |
Return of Capital or |
0.04402 |
96% |
0.08621 |
96% |
Other Capital Source |
Total (per common share) |
0.04585 |
100% |
0.08980 |
100% |
Average annual total return (in relation to NAV) for the five years ended 12-31-2023 |
4.90% |
Annualized current distribution rate expressed as a percentage of month end NAV as of 12-31-2023 |
7.89% |
Cumulative total return (in relation to NAV) for the fiscal year through 12-31-2023 |
4.77% |
Cumulative fiscal year distributions as a percentage of NAV as of 12-31-2023 |
1.29% |
You should not draw any conclusions about the fund's investment performance from the amount of this distribution or from the terms of the fund's managed distribution plan.
The fund estimates that it has distributed more than its income and capital gains; therefore, a portion of your distribution may be 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. A return of capital distribution does not necessarily reflect the fund's investment performance and should not be confused with "yield" or "income."
The amounts and sources of distributions reported in this notice 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.
If you have any questions regarding this information, please call our fund service department at 1-800-637-2304 any business day from 9 a.m. to 5 p.m. Eastern time.
MCRSN-0124
MFS® Charter Income Trust
P.O. Box 43078
Providence, RI 02940-3078
Notice to shareholders — Source of distribution
Distribution period |
December-2023 |
Distribution amount per share |
$0.04395 |
The following table sets forth the estimated amounts of the current distribution and the cumulative distributions paid this fiscal year to date from the following sources: net investment income, net realized short-term capital gains, net realized long-term capital gains and return of capital or other capital source. The fund’s fiscal year begins each December 1st. All amounts are expressed per common share.
|
Current |
% Breakdown of |
Total cumulative |
% Breakdown of the total |
|
distributions for the |
cumulative distributions |
|
distribution |
current distribution |
fiscal year to date |
for the fiscal year to date |
Net Investment Income |
0.04395 |
100% |
0.04395 |
100% |
Net Realized ST Cap Gains |
0.00000 |
0% |
0.00000 |
0% |
Net Realized LT Cap Gains |
0.00000 |
0% |
0.00000 |
0% |
Return of Capital or |
0.00000 |
0% |
0.00000 |
0% |
Other Capital Source |
Total (per common share) |
0.04395 |
100% |
0.04395 |
100% |
Average annual total return (in relation to NAV) for the five years ended 11-30-2023 |
3.95% |
Annualized current distribution rate expressed as a percentage of month end NAV as of 11-30-2023 |
7.87% |
Cumulative total return (in relation to NAV) for the fiscal year through 11-30-2023 |
6.96% |
Cumulative fiscal year distributions as a percentage of NAV as of 11-30-2023 |
0.66% |
You should not draw any conclusions about the fund's investment performance from the amount of this distribution or from the terms of the fund's managed distribution plan.
The fund estimates that it has distributed more than its income and capital gains; therefore, a portion of your distribution may be 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. A return of capital distribution does not necessarily reflect the fund's investment performance and should not be confused with "yield" or "income."
The amounts and sources of distributions reported in this notice 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.
If you have any questions regarding this information, please call our fund service department at 1-800-637-2304 any business day from 9 a.m. to 5 p.m. Eastern time.
MCRSN-1223
MFS Charter Income (NYSE:MCR)
Historical Stock Chart
From Dec 2024 to Jan 2025
MFS Charter Income (NYSE:MCR)
Historical Stock Chart
From Jan 2024 to Jan 2025