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 811-04253
MFS SERIES TRUST XV
(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
111 Huntington 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: October 31
Date of reporting period: April 30, 2021
ITEM 1. | REPORTS TO STOCKHOLDERS. |
Item 1(a):
Strategy Fund
Strategy Fund
1 | |
2 | |
5 | |
7 | |
30 | |
32 | |
33 | |
34 | |
40 | |
57 | |
58 | |
58 | |
58 | |
58 | |
58 |
back cover |
Investment Grade Corporates | 34.8% |
U.S. Treasury Securities | 18.3% |
Collateralized Debt Obligations | 5.5% |
Commercial Mortgage-Backed Securities | 4.8% |
Asset-Backed Securities | 2.7% |
Municipal Bonds | 2.3% |
Emerging Markets Bonds | 1.5% |
High Yield Corporates | 1.0% |
Mortgage-Backed Securities | 0.7% |
Residential Mortgage-Backed Securities | 0.7% |
Non-U.S. Government Bonds | 0.2% |
U.S. Government Agencies (o) | 0.0% |
AAA | 5.4% |
AA | 6.7% |
A | 13.5% |
BBB | 24.2% |
BB | 1.0% |
B (o) | 0.0% |
U.S. Government | 11.5% |
Federal Agencies | 0.7% |
Not Rated | 9.5% |
Non-Fixed Income | 100.2% |
Cash & Cash Equivalents | 26.8% |
Other | (99.5)% |
Gold | 11.3% |
WTI Crude Oil | 9.8% |
Brent Crude | 8.7% |
Corn | 7.3% |
Natural Gas | 6.9% |
Soybeans | 6.9% |
Soybean Oil | 5.6% |
Copper (COMEX) | 5.4% |
Sugar | 3.9% |
Unleaded Gasoline | 3.9% |
Silver | 3.8% |
Lean Hogs | 3.6% |
Wheat | 3.4% |
Aluminum | 3.1% |
Soybean Meal | 2.9% |
Cotton | 2.9% |
Gas Oil | 2.7% |
Zinc | 2.7% |
Live Cattle | 2.3% |
Heating Oil | 2.2% |
Coffee | 1.7% |
Nickel | 0.9% |
Kansas Wheat | 0.5% |
Feeder Cattle | (1.1)% |
Lead | (1.1)% |
(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. 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. The fund may or may not have held all of these instruments on this date. The fund is not rated by these agencies. |
(c) | MFS expects to gain exposure to the commodities markets by investing a portion of the fund’s assets in the MFS Commodity Strategy Portfolio, a wholly-owned and controlled subsidiary organized in the Cayman Islands (“Subsidiary”). The Subsidiary gains exposure to the commodities markets by investing in commodity linked derivatives (such as commodity-linked futures, options, and/or swaps). The Subsidiary’s investments in commodity-linked derivatives are leveraged (i.e. involves investment exposure greater than the amount of the investment). For more information about commodity-linked derivatives and the risks of investing in such derivatives, please see the fund’s prospectus. |
(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. |
(o) | Less than 0.1%. |
November 1, 2020 through April 30, 2021
Share Class | Annualized Expense Ratio | Beginning Account Value 11/01/20 | Ending Account Value 4/30/21 | Expenses Paid During Period (p) 11/01/20-4/30/21 | |
A | Actual | 1.13% | $1,000.00 | $1,267.25 | $6.35 |
Hypothetical (h) | 1.13% | $1,000.00 | $1,019.19 | $5.66 | |
B | Actual | 1.87% | $1,000.00 | $1,263.95 | $10.50 |
Hypothetical (h) | 1.87% | $1,000.00 | $1,015.52 | $9.35 | |
C | Actual | 1.88% | $1,000.00 | $1,264.14 | $10.55 |
Hypothetical (h) | 1.88% | $1,000.00 | $1,015.47 | $9.39 | |
I | Actual | 0.88% | $1,000.00 | $1,268.78 | $4.95 |
Hypothetical (h) | 0.88% | $1,000.00 | $1,020.43 | $4.41 | |
R1 | Actual | 1.87% | $1,000.00 | $1,264.03 | $10.50 |
Hypothetical (h) | 1.87% | $1,000.00 | $1,015.52 | $9.35 | |
R2 | Actual | 1.37% | $1,000.00 | $1,266.54 | $7.70 |
Hypothetical (h) | 1.37% | $1,000.00 | $1,018.00 | $6.85 | |
R3 | Actual | 1.12% | $1,000.00 | $1,268.91 | $6.30 |
Hypothetical (h) | 1.12% | $1,000.00 | $1,019.24 | $5.61 | |
R4 | Actual | 0.87% | $1,000.00 | $1,271.29 | $4.90 |
Hypothetical (h) | 0.87% | $1,000.00 | $1,020.48 | $4.36 | |
R6 | Actual | 0.80% | $1,000.00 | $1,269.22 | $4.50 |
Hypothetical (h) | 0.80% | $1,000.00 | $1,020.83 | $4.01 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Bonds – 65.4% | ||||
Aerospace & Defense – 1.2% | ||||
Boeing Co., 2.3%, 8/01/2021 | $ | 2,524,000 | $ 2,535,298 | |
Boeing Co., 1.167%, 2/04/2023 | 1,968,000 | 1,976,172 | ||
Boeing Co., 1.433%, 2/04/2024 | 3,936,000 | 3,948,237 | ||
Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 | 1,422,000 | 1,550,757 | ||
Raytheon Technologies Corp., 3.65%, 8/16/2023 | 95,000 | 101,280 | ||
$10,111,744 | ||||
Asset-Backed & Securitized – 13.6% | ||||
Allegro CLO Ltd., 2014-1RA, “A2”, FLR, 1.786% (LIBOR - 3mo. + 1.6%), 10/21/2028 (n) | $ | 252,269 | $ 253,144 | |
AmeriCredit Automobile Receivables Trust, 2020-1, “C”, 1.59%, 10/20/2025 | 678,000 | 690,505 | ||
Arbor Realty Trust, Inc., CLO, 2019-FL1, “A”, FLR, 1.265% (LIBOR - 1mo. + 1.15%), 5/15/2037 (n) | 2,110,500 | 2,111,158 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “C”, FLR, 2.115% (LIBOR - 1mo. + 2%), 12/15/2035 (n) | 153,500 | 153,452 | ||
Arbor Realty Trust, Inc., FLR, 1.614% (LIBOR - 1mo. + 1.5%), 12/15/2035 (n) | 375,500 | 375,265 | ||
AREIT CRE Trust, 2019-CRE3, “AS”, FLR, 1.415% (LIBOR - 1mo. + 1.3%), 9/14/2036 (n) | 613,500 | 612,737 | ||
AREIT CRE Trust, 2019-CRE3, “B”, FLR, 1.666% (LIBOR - 1mo. + 1.55%), 9/14/2036 (n) | 303,000 | 301,494 | ||
AREIT CRE Trust, 2019-CRE3, “C”, FLR, 2.015% (LIBOR - 1mo. + 1.9%), 9/14/2036 (n) | 250,500 | 248,632 | ||
Avery Point CLO Ltd., 2014-1A, “CR”, FLR, 2.525% (LIBOR - 3mo. + 2.35%), 4/25/2026 (n) | 1,150,000 | 1,152,918 | ||
Avis Budget Rental Car Funding LLC, 2019-1A, “A”, 3.45%, 3/20/2023 (n) | 2,690,000 | 2,744,629 | ||
Ballyrock Ltd., CLO, 2018-1A, “A2”, FLR, 1.788% (LIBOR - 3mo. + 1.6%), 4/20/2031 (n) | 1,368,365 | 1,361,797 | ||
Ballyrock Ltd., CLO, 2018-1A, “B”, FLR, 2.088% (LIBOR - 3mo. + 1.9%), 4/20/2031 (n) | 579,877 | 576,468 | ||
Bancorp Commercial Mortgage Trust, 2018-CRE3, “B”, FLR, 1.664% (LIBOR - 1mo. + 1.55%), 1/15/2033 (n) | 1,142,685 | 1,138,051 | ||
Bancorp Commercial Mortgage Trust, 2018-CRE4, “AS”, FLR, 1.214% (LIBOR - 1mo. + 1.1%), 9/15/2035 (n) | 636,041 | 634,651 | ||
Bancorp Commercial Mortgage Trust, 2019-CRE5, “A”, FLR, 1.115% (LIBOR - 1mo. + 1%), 3/15/2036 (n) | 657,794 | 657,793 | ||
Bancorp Commercial Mortgage Trust, 2019-CRE5, “AS”, FLR, 1.464% (LIBOR - 1mo. + 1.35%), 3/15/2036 (n) | 1,181,173 | 1,180,466 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Bancorp Commercial Mortgage Trust, 2019-CRE5, “B”, FLR, 1.615% (LIBOR - 1mo. + 1.5%), 3/15/2036 (n) | $ | 1,635,470 | $ 1,634,492 | |
Bancorp Commercial Mortgage Trust, 2019-CRE6, “AS”, FLR, 1.414% (LIBOR - 1mo. + 1.3%), 9/15/2036 (n) | 1,360,019 | 1,359,204 | ||
Bancorp Commercial Mortgage Trust, 2019-CRE6, “B”, FLR, 1.665% (LIBOR - 1mo. + 1.55%), 9/15/2036 (n) | 1,713,302 | 1,710,633 | ||
Barclays Commercial Mortgage Securities LLC, 2018-C2, “XA”, 0.933%, 12/15/2051 (i)(n) | 19,536,986 | 949,861 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.771%, 2/15/2054 (i) | 11,509,803 | 1,457,075 | ||
Benchmark Mortgage Trust, 2021-B23, “XA”, 1.387%, 2/15/2054 (i) | 12,640,768 | 1,213,209 | ||
BPCRE Holder LLC, 1.664%, 2/15/2037 (n) | 1,053,500 | 1,051,852 | ||
BPCRE Holder LLC, 2021-FL1, “C”, 2.014%, 2/15/2037 (n) | 286,000 | 285,552 | ||
BSPRT Issuer Ltd., 2021-FL6, “C”, FLR, 2.165% (LIBOR - 1mo. + 2.05%), 3/15/2036 (n) | 485,000 | 484,095 | ||
BSPRT Ltd., 2018-FL4, “A”, FLR, 2.214% (LIBOR - 1mo. + 2.1%), 9/15/2035 (n) | 1,813,000 | 1,801,687 | ||
Business Jet Securities LLC, 2020-1A, “A”, 2.981%, 11/15/2035 (n) | 473,114 | 480,553 | ||
Business Jet Securities LLC, 2021-1A, “A”, 2.162%, 4/15/2036 (n) | 483,027 | 482,347 | ||
Business Jet Securities LLC, 2021-1A, “B”, 2.918%, 4/15/2036 (n) | 98,110 | 97,892 | ||
BXMT Ltd., 2020-FL2, “B”, FLR, 1.516% (LIBOR - 1mo. + 1.4%), 2/16/2037 (n) | 1,492,000 | 1,488,267 | ||
BXMT Ltd., 2020-FL2, “A”, FLR, 1.015% (LIBOR - 1mo. + 0.9%), 2/16/2037 (n) | 2,317,500 | 2,314,598 | ||
BXMT Ltd., 2021-FL4, “AS”, FLR, 1.42% (LIBOR - 1mo. + 1.3%), 5/15/2038 (n) | 2,601,000 | 2,602,602 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 568,078 | 586,394 | ||
CD Commercial Mortgage Trust, 2017-CD4, “XA”, 1.441%, 5/10/2050 (i) | 11,793,055 | 630,665 | ||
CF Hippolyta Issuer LLC, 2020-1, “A1”, 1.69%, 7/15/2060 (n) | 380,127 | 385,393 | ||
CF Hippolyta Issuer LLC, 2020-1, “B1”, 2.28%, 7/15/2060 (n) | 120,318 | 122,692 | ||
Commercial Mortgage Pass-Through Certificates, 2019-BN24,“XA”, 0.764%, 11/15/2062 (i) | 9,116,425 | 442,434 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN31,“XA”, 1.445%, 2/15/2054 (i) | 11,160,565 | 1,159,626 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.894%, 4/15/2054 (i) | 10,587,445 | 645,777 | ||
Credit Acceptance Auto Loan Trust, 2021-2A, “A”, 0.96%, 2/15/2030 (n) | 451,000 | 451,428 | ||
Credit Acceptance Auto Loan Trust, 2021-2A, “B”, 1.26%, 4/15/2030 (n) | 250,000 | 249,414 | ||
Cutwater Ltd., 2014-1A, “A2R”, FLR, 1.884% (LIBOR - 3mo. + 1.7%), 7/15/2026 (n) | 2,250,000 | 2,251,901 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Cutwater Ltd., 2015-1A, “AR”, FLR, 1.404% (LIBOR - 3mo. + 1.22%), 1/15/2029 (n) | $ | 1,723,013 | $ 1,723,094 | |
Dell Equipment Finance Trust, 2018-2, “B”, 3.55%, 10/22/2023 (n) | 1,616,000 | 1,626,971 | ||
Dell Equipment Finance Trust, 2020-1, “A2”, 2.26%, 6/22/2022 (n) | 501,422 | 506,123 | ||
Dryden Senior Loan Fund, 2017-49A, “BR”, FLR, 1.79% (LIBOR - 3mo. + 1.6%), 7/18/2030 (n) | 1,945,990 | 1,946,200 | ||
DT Auto Owner Trust, 2017-3A, “D”, 3.58%, 5/15/2023 (n) | 70,119 | 70,213 | ||
Exantas Capital Corp. CLO Ltd., 2019-RS07, “B”, FLR, 1.816% (LIBOR - 1mo. + 1.7%), 4/15/2036 (n) | 1,222,500 | 1,219,582 | ||
Exeter Automobile Receivables Trust, 2019-3A, “C”, 2.79%, 5/15/2024 (n) | 2,205,000 | 2,241,243 | ||
Exeter Automobile Receivables Trust, 2020-1, 2.26%, 4/15/2024 (n) | 375,000 | 377,892 | ||
Exeter Automobile Receivables Trust, 2020-1A, 2.49%, 1/15/2025 (n) | 510,000 | 520,544 | ||
Flagship CLO, 2014-8A, “BRR”, FLR, 1.583% (LIBOR - 3mo. + 1.4%), 1/16/2026 (n) | 1,593,234 | 1,596,161 | ||
Fort CRE LLC, 2018-1A, “A1”, FLR, 1.46% (LIBOR - 1mo. + 1.35%), 11/16/2035 (n) | 1,820,296 | 1,820,296 | ||
General Motors, 2019-1, “B”, 2.86%, 4/15/2024 (n) | 1,172,000 | 1,200,987 | ||
General Motors, 2019-1, “C”, 3.06%, 4/15/2024 (n) | 902,000 | 922,550 | ||
GLS Auto Receivables Trust, 2020-1A, “A”, 2.17%, 2/15/2024 (n) | 386,669 | 389,316 | ||
GM Financial Automobile Leasing Trust, 2020-1, “B”, 1.84%, 12/20/2023 | 633,000 | 642,830 | ||
GM Financial Automobile Leasing Trust, 2020-1, “C”, 2.04%, 12/20/2023 | 464,000 | 472,458 | ||
Grand Avenue CRE Ltd., 2019-FL1, “A”, FLR, 1.234% (LIBOR - 1mo. + 1.12%), 6/15/2037 (n) | 640,403 | 640,403 | ||
Granite Point Mortgage Trust, Inc., 2018-FL1, “A” FLR, 1.013% (LIBOR - 1mo. + 0.9%), 11/21/2035 (n) | 353,697 | 352,876 | ||
GS Mortgage Securities Trust, 2017-GS6, “XA”, 1.031%, 5/10/2050 (i) | 10,867,535 | 595,902 | ||
GS Mortgage Securities Trust, 2017-GS7, “XA”, 1.264%, 8/10/2050 (i) | 11,308,111 | 596,659 | ||
GS Mortgage Securities Trust, 2020-GC47, “A5”, 1.246%, 5/12/2053 (i) | 8,656,326 | 754,458 | ||
Invitation Homes Trust, 2018-SFR1, “B”, FLR, 1.065% (LIBOR - 1mo. + 0.95%), 3/17/2037 (n) | 953,000 | 953,744 | ||
Invitation Homes Trust, 2018-SFR2, “A”, FLR, 0.965% (LIBOR - 1mo. + 0.85%), 12/17/2036 (n) | 1,564,026 | 1,566,222 | ||
Invitation Homes Trust, 2018-SFR2, “A”, FLR, 1.015% (LIBOR - 1mo. + 0.9%), 6/17/2037 (n) | 3,057,275 | 3,060,136 | ||
JPMorgan Chase Commercial Mortgage Securities Corp., 1.195%, 9/15/2050 (i) | 12,802,422 | 617,684 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
KKR Real Estate Financial Trust, Inc., 2018-FL1, “C”, FLR, 2.115% (LIBOR - 1mo. + 2%), 6/15/2036 (n) | $ | 1,177,500 | $ 1,177,500 | |
LoanCore Ltd., 2018-CRE1, “AS”, FLR, 1.614% (LIBOR - 1mo. + 1.5%), 5/15/2028 (n) | 1,731,000 | 1,731,000 | ||
LoanCore Ltd., 2018-CRE1, “C”, FLR, 2.665% (LIBOR - 1mo. + 2.55%), 5/15/2028 (n) | 577,000 | 573,753 | ||
LoanCore Ltd., 2019-CRE3, “A”, FLR, 1.164% (LIBOR - 1mo. + 1.05%), 4/15/2034 (n) | 1,098,979 | 1,098,636 | ||
LoanCore Ltd., 2019-CRE3, “AS”, FLR, 1.485% (LIBOR - 1mo. + 1.37%), 4/15/2034 (n) | 1,897,200 | 1,890,095 | ||
Madison Park Funding Ltd., 2014-13A, “BR2”, FLR, 1.689% (LIBOR - 3mo. + 1.5%), 4/19/2030 (n) | 2,174,539 | 2,185,360 | ||
Magnetite CLO Ltd., 2015-16A, “BR”, FLR, 1.389% (LIBOR - 3mo. + 1.2%), 1/18/2028 (n) | 2,590,000 | 2,584,486 | ||
Man GLG U.S. CLO Ltd., 2018-2A, “BR”, FLR, 2.634% (LIBOR - 3mo. + 2.45%), 10/15/2028 | 2,019,578 | 2,019,372 | ||
MF1 CLO Ltd., 2019-FL2, “A”, FLR, 1.236% (LIBOR - 1mo. + 1.13%), 12/25/2034 (n) | 887,062 | 887,062 | ||
MF1 CLO Ltd., 2019-FL2, “AS”, FLR, 1.536% (LIBOR - 1mo. + 1.43%), 12/25/2034 (n) | 1,316,000 | 1,316,000 | ||
MF1 Ltd., 2020-FL3, “B”, FLR, 3.865% (LIBOR - 1mo. + 3.75%), 7/15/2035 (z) | 205,000 | 208,585 | ||
MF1 Ltd., 2020-FL3, “C”, FLR, 4.614% (LIBOR - 1mo. + 4.5%), 7/15/2035 (z) | 293,000 | 298,490 | ||
MF1 Multi-Family Housing Mortgage Loan Trust, 2020-FL4, “B”, FLR, 2.865% (LIBOR - 1mo. + 2.75%), 11/15/2035 (n) | 2,437,000 | 2,470,503 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, 2.655%, 2/15/2046 | 1,340,428 | 1,362,118 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C33, “XA”, 1.548%, 5/15/2050 (i) | 10,060,859 | 585,176 | ||
Morgan Stanley Capital I Trust, 2017-H1, “XA”, 1.571%, 6/15/2050 (i) | 4,581,187 | 259,396 | ||
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 1.026%, 12/15/2051 (i) | 16,310,062 | 872,274 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.425%, 4/15/2031 (i)(w) | 9,524,381 | 942,006 | ||
Nationstar HECM Loan Trust, 2019-1A, “A”, 2.651%, 6/25/2029 (n) | 248,101 | 248,503 | ||
Navistar Financial Dealer Note Master Owner Trust, 2019-1, “C”, FLR, 1.056% (LIBOR - 1mo. + 0.95%), 5/25/2024 (n) | 397,000 | 397,057 | ||
Navistar Financial Dealer Note Master Owner Trust, 2020-1, “A”, FLR, 1.056% (LIBOR - 1mo. + 0.95%), 7/25/2025 (n) | 391,000 | 393,607 | ||
Navistar Financial Dealer Note Master Owner Trust, 2020-1, “B”, FLR, 1.456% (LIBOR - 1mo. + 1.35%), 7/25/2025 (n) | 359,000 | 362,249 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Navistar Financial Dealer Note Master Owner Trust, 2020-1, “C”, FLR, 2.256% (LIBOR - 1mo. + 2.15%), 7/25/2025 (n) | $ | 297,000 | $ 300,583 | |
Neuberger Berman CLO Ltd., 2015-20A, “BR”, 1.433%, 1/15/2028 (n) | 2,729,000 | 2,720,905 | ||
Neuberger Berman CLO Ltd., 2016-21A, “CR”, FLR, 1.788% (LIBOR - 3mo. + 1.6%), 4/20/2027 (n) | 1,515,565 | 1,515,565 | ||
NextGear Floorplan Master Owner Trust, 2019-2A, “A2”, 2.07%, 10/15/2024 (n) | 1,026,000 | 1,050,568 | ||
OCP CLO Ltd., 2015-10A, “A2R”, FLR, 1.475% (LIBOR - 3mo. + 1.3%), 10/26/2027 (n) | 2,211,957 | 2,211,346 | ||
OneMain Financial Issuance Trust, 2020-1A, “A”, 3.84%, 5/14/2032 (n) | 1,759,649 | 1,844,065 | ||
Oscar U.S. Funding Trust, 2018-2A, “A3”, 3.39%, 9/12/2022 (n) | 190,388 | 191,049 | ||
PFP III Ltd., 2021-7, “B”, FLR, 1.516% (LIBOR - 1mo. + 1.4%), 4/14/2038 (n) | 604,500 | 601,489 | ||
PFP III Ltd., 2021-7, “C”, FLR, 1.766% (LIBOR - 1mo. + 1.65%), 4/14/2038 (n) | 191,500 | 191,023 | ||
PFS Financing Corp., 2019-B, “A”, FLR, 0.664% (LIBOR - 1mo. + 0.55%), 9/15/2023 (n) | 1,972,000 | 1,974,600 | ||
Progress Residential Trust, 2021-SFR1, “B”, 1.303%, 4/17/2038 (n) | 248,000 | 243,375 | ||
Progress Residential Trust, 2021-SFR1, “C”, 1.555%, 4/17/2038 (n) | 186,000 | 182,224 | ||
Securitized Term Auto Receivable Trust, 2019-CRTA, “B”, 2.453%, 3/25/2026 (n) | 209,169 | 212,844 | ||
Securitized Term Auto Receivable Trust, 2019-CRTA, “C”, 2.849%, 3/25/2026 (n) | 268,527 | 274,356 | ||
Shackleton CLO Ltd., 2013-4RA, “B”, FLR, 2.087% (LIBOR - 3mo. + 1.9%), 4/13/2031 (n) | 722,762 | 704,504 | ||
Shelter Growth CRE, 2019-FL2, “A”, FLR, 1.214% (LIBOR - 1mo. + 1.1%), 5/15/2036 (n) | 1,683,628 | 1,683,628 | ||
Starwood Property Trust, Inc., REIT, 1.909%, 4/18/2038 (n) | 2,295,000 | 2,296,431 | ||
TICP CLO Ltd., 2018-3R, “B”, FLR, 1.538% (LIBOR - 3mo. + 1.35%), 4/20/2028 (n) | 681,356 | 680,935 | ||
TICP CLO Ltd., 2018-3R, “C”, FLR, 1.988% (LIBOR - 3mo. + 1.8%), 4/20/2028 (n) | 1,195,706 | 1,196,346 | ||
TPG Real Estate Finance, 2018-FL2, “AS”, FLR, 1.565% (LIBOR - 1mo. + 1.45%), 11/15/2037 (n) | 1,914,000 | 1,912,808 | ||
TPG Real Estate Finance, 2021-FL4, “AS”, FLR, 1.516% (LIBOR - 1mo. + 1.4%), 3/15/2038 (n) | 1,305,000 | 1,305,000 | ||
TPG Real Estate Finance, 2021-FL4, “B”, FLR, 1.965% (LIBOR - 1mo. + 1.85%), 3/15/2038 (n) | 1,957,500 | 1,957,498 | ||
UBS Commercial Mortgage Trust, 2017-C1, “XA”, 1.151%, 11/15/2050 (i) | 7,853,828 | 354,062 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
UBS Commercial Mortgage Trust, 2018-C14, “XA”, 1.165%, 12/15/2051 (i) | $ | 7,944,955 | $ 480,127 | |
Veros Auto Receivables Trust, 2020-1, “A”, 1.67%, 9/15/2023 (n) | 430,577 | 431,896 | ||
$ 117,327,802 | ||||
Automotive – 2.5% | ||||
Daimler Finance North America LLC, 0.75%, 3/01/2024 (n) | $ | 1,674,000 | $ 1,668,936 | |
Ford Motor Credit Co. LLC, 3.087%, 1/09/2023 | 1,222,000 | 1,244,938 | ||
General Motors Financial Co., 1.7%, 8/18/2023 | 2,471,000 | 2,522,065 | ||
Harley-Davidson Financial Services, 4.05%, 2/04/2022 (n) | 1,251,000 | 1,284,419 | ||
Hyundai Capital America, 2.85%, 11/01/2022 (n) | 1,427,000 | 1,468,920 | ||
Hyundai Capital America, 2.375%, 2/10/2023 (n) | 723,000 | 742,364 | ||
Hyundai Capital America, 5.75%, 4/06/2023 (n) | 2,315,000 | 2,530,764 | ||
Hyundai Capital America, 0.8%, 1/08/2024 (n) | 274,000 | 272,555 | ||
Hyundai Capital America, 5.875%, 4/07/2025 (n) | 2,322,000 | 2,696,685 | ||
Volkswagen Group of America Finance LLC, 4%, 11/12/2021 (n) | 977,000 | 995,719 | ||
Volkswagen Group of America Finance LLC, 2.9%, 5/13/2022 (n) | 600,000 | 615,063 | ||
Volkswagen Group of America Finance LLC, 3.125%, 5/12/2023 (n) | 251,000 | 263,463 | ||
Volkswagen Group of America Finance LLC, 2.85%, 9/26/2024 (n) | 1,078,000 | 1,145,692 | ||
Volkswagen Group of America Finance LLC, 3.35%, 5/13/2025 (n) | 2,254,000 | 2,439,726 | ||
Volkswagen Group of America Finance LLC, 1.25%, 11/24/2025 (n) | 1,559,000 | 1,555,103 | ||
$21,446,412 | ||||
Brokerage & Asset Managers – 1.6% | ||||
Charles Schwab Corp., 0.75%, 3/18/2024 | $ | 1,950,000 | $ 1,962,794 | |
E*TRADE Financial Corp., 2.95%, 8/24/2022 | 3,674,000 | 3,787,028 | ||
NASDAQ, Inc., 0.445%, 12/21/2022 | 1,200,000 | 1,200,432 | ||
National Securities Clearing Corp., 1.2%, 4/23/2023 (n) | 600,000 | 610,584 | ||
National Securities Clearing Corp., 0.4%, 12/07/2023 (n) | 1,974,000 | 1,973,385 | ||
National Securities Clearing Corp., 1.5%, 4/23/2025 (n) | 250,000 | 254,677 | ||
National Securities Clearing Corp., 0.75%, 12/07/2025 (n) | 3,942,000 | 3,866,814 | ||
$13,655,714 | ||||
Business Services – 0.7% | ||||
Equinix, Inc., 1.25%, 7/15/2025 | $ | 625,000 | $ 624,199 | |
Global Payments, Inc., 1.2%, 3/01/2026 | 2,275,000 | 2,250,464 | ||
Tencent Holdings Ltd., 1.81%, 1/26/2026 (n) | 1,551,000 | 1,574,953 | ||
Western Union Co., 1.35%, 3/15/2026 | 2,078,000 | 2,057,154 | ||
$6,506,770 | ||||
Cable TV – 0.3% | ||||
SES S.A., 3.6%, 4/04/2023 (n) | $ | 2,416,000 | $ 2,537,244 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Computer Software – 0.3% | ||||
Dell International LLC/EMC Corp., 4%, 7/15/2024 (n) | $ | 1,285,000 | $ 1,399,276 | |
Dell International LLC/EMC Corp., 5.85%, 7/15/2025 (n) | 471,000 | 552,255 | ||
Infor, Inc., 1.45%, 7/15/2023 (n) | 250,000 | 253,320 | ||
$2,204,851 | ||||
Computer Software - Systems – 0.0% | ||||
Apple, Inc., 1.7%, 9/11/2022 | $ | 441,000 | $ 449,892 | |
Conglomerates – 0.6% | ||||
Carrier Global Corp., 2.242%, 2/15/2025 | $ | 2,283,000 | $ 2,381,305 | |
Roper Technologies, Inc., 2.8%, 12/15/2021 | 640,000 | 648,412 | ||
Westinghouse Air Brake Technologies Corp., 4.4%, 3/15/2024 | 2,317,000 | 2,526,838 | ||
$5,556,555 | ||||
Consumer Products – 0.3% | ||||
Reckitt Benckiser Treasury Services PLC, 2.375%, 6/24/2022 (n) | $ | 2,213,000 | $ 2,260,425 | |
Consumer Services – 0.2% | ||||
Alibaba Group Holding Ltd., 2.8%, 6/06/2023 | $ | 1,506,000 | $ 1,572,947 | |
Containers – 0.1% | ||||
Berry Global, Inc., 0.95%, 2/15/2024 (n) | $ | 693,000 | $ 691,240 | |
Electronics – 0.3% | ||||
Broadcom, Inc., 4.7%, 4/15/2025 | $ | 690,000 | $ 778,324 | |
Broadcom, Inc., 3.15%, 11/15/2025 | 625,000 | 669,411 | ||
Microchip Technology, Inc., 3.922%, 6/01/2021 | 1,208,000 | 1,211,142 | ||
$2,658,877 | ||||
Emerging Market Quasi-Sovereign – 0.5% | ||||
Bharat Petroleum Corp. Ltd., 4.625%, 10/25/2022 | $ | 1,716,000 | $ 1,793,784 | |
Indian Oil Corp. Ltd., 5.75%, 8/01/2023 | 858,000 | 938,007 | ||
Sinopec Group Overseas Development (2018) Ltd. (People's Republic of China), 1.45%, 1/08/2026 (n) | 1,613,000 | 1,596,838 | ||
$4,328,629 | ||||
Emerging Market Sovereign – 0.2% | ||||
Emirate of Abu Dhabi, 0.75%, 9/02/2023 (n) | $ | 1,671,000 | $ 1,679,579 | |
Energy - Independent – 0.5% | ||||
Diamondback Energy, Inc., 0.9%, 3/24/2023 | $ | 1,784,000 | $ 1,784,693 | |
Pioneer Natural Resources Co., 0.75%, 1/15/2024 | 2,417,000 | 2,417,930 | ||
$4,202,623 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Energy - Integrated – 0.6% | ||||
Cenovus Energy, Inc., 5.375%, 7/15/2025 | $ | 1,206,000 | $ 1,371,217 | |
Eni S.p.A., 4%, 9/12/2023 (n) | 1,723,000 | 1,849,978 | ||
Exxon Mobil Corp., 1.571%, 4/15/2023 | 983,000 | 1,007,685 | ||
Husky Energy, Inc., 3.95%, 4/15/2022 | 782,000 | 798,918 | ||
$5,027,798 | ||||
Financial Institutions – 1.4% | ||||
AerCap Ireland Capital DAC, 4.875%, 1/16/2024 | $ | 1,964,000 | $ 2,152,477 | |
AerCap Ireland Capital DAC, 3.15%, 2/15/2024 | 1,393,000 | 1,463,749 | ||
AerCap Ireland Capital DAC, 6.5%, 7/15/2025 | 1,435,000 | 1,688,913 | ||
Avolon Holdings Funding Ltd., 3.625%, 5/01/2022 (n) | 201,000 | 205,197 | ||
Avolon Holdings Funding Ltd., 3.95%, 7/01/2024 (n) | 1,131,000 | 1,197,570 | ||
Avolon Holdings Funding Ltd., 5.5%, 1/15/2026 (n) | 995,000 | 1,113,902 | ||
Avolon Holdings Funding Ltd., 2.125%, 2/21/2026 (n) | 2,801,000 | 2,738,452 | ||
Avolon Holdings Funding Ltd., 4.25%, 4/15/2026 (n) | 858,000 | 914,953 | ||
Century Housing Corp., 3.995%, 11/01/2021 | 691,000 | 694,252 | ||
$12,169,465 | ||||
Food & Beverages – 0.6% | ||||
Constellation Brands, Inc., 4.25%, 5/01/2023 | $ | 1,510,000 | $ 1,618,185 | |
Mondelez International, Inc., 0.625%, 7/01/2022 | 3,400,000 | 3,411,319 | ||
$5,029,504 | ||||
Food & Drug Stores – 0.6% | ||||
7-Eleven, Inc., 0.625%, 2/10/2023 (n) | $ | 3,173,000 | $ 3,176,274 | |
7-Eleven, Inc., 0.8%, 2/10/2024 (n) | 2,380,000 | 2,376,609 | ||
$5,552,883 | ||||
Gaming & Lodging – 0.8% | ||||
GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/01/2023 | $ | 1,259,000 | $ 1,383,137 | |
Las Vegas Sands Corp., 3.2%, 8/08/2024 | 1,420,000 | 1,489,331 | ||
Marriott International, Inc., 2.3%, 1/15/2022 | 2,151,000 | 2,171,654 | ||
Marriott International, Inc., 3.75%, 10/01/2025 | 509,000 | 548,348 | ||
Sands China Ltd., 3.8%, 1/08/2026 | 1,030,000 | 1,090,585 | ||
$6,683,055 | ||||
Industrial – 0.1% | ||||
Howard University, Washington D.C., 2.738%, 10/01/2022 | $ | 101,000 | $ 103,384 | |
Howard University, Washington D.C., 2.801%, 10/01/2023 | 111,000 | 114,437 | ||
Howard University, Washington D.C., AGM, 2.638%, 10/01/2021 | 96,000 | 96,463 | ||
Howard University, Washington D.C., AGM, 2.416%, 10/01/2024 | 123,000 | 126,754 | ||
Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | 152,000 | 155,965 | ||
$597,003 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Insurance – 0.6% | ||||
AIG Global Funding, 0.8%, 7/07/2023 (n) | $ | 1,522,000 | $ 1,532,994 | |
Equitable Financial Life Insurance Co., 1.4%, 7/07/2025 (n) | 1,662,000 | 1,670,615 | ||
Metropolitan Life Global Funding I, 0.4%, 1/07/2024 (n) | 2,404,000 | 2,395,481 | ||
$5,599,090 | ||||
Insurance - Property & Casualty – 0.3% | ||||
Aon PLC, 2.2%, 11/15/2022 | $ | 1,193,000 | $ 1,224,852 | |
Marsh & McLennan Cos., Inc., 2.75%, 1/30/2022 | 1,383,000 | 1,405,596 | ||
$2,630,448 | ||||
International Market Quasi-Sovereign – 0.2% | ||||
Dexia Credit Local S.A. (Kingdom of Belgium), 1.875%, 9/15/2021 (n) | $ | 2,010,000 | $ 2,022,132 | |
Internet – 0.3% | ||||
Baidu, Inc., 3.875%, 9/29/2023 | $ | 2,225,000 | $ 2,372,985 | |
Machinery & Tools – 0.4% | ||||
CNH Industrial Capital LLC, 4.2%, 1/15/2024 | $ | 1,931,000 | $ 2,101,349 | |
CNH Industrial Capital LLC, 1.875%, 1/15/2026 | 497,000 | 504,732 | ||
CNH Industrial N.V., 4.5%, 8/15/2023 | 1,073,000 | 1,162,589 | ||
$3,768,670 | ||||
Major Banks – 8.4% | ||||
Bank of Montreal, 2.05%, 11/01/2022 | $ | 1,694,000 | $ 1,738,707 | |
Barclays PLC, 4.61% to 2/15/2022, FLR (LIBOR - 3mo. + 1.4%) to 2/15/2023 | 4,665,000 | 4,810,361 | ||
Barclays PLC, 1.007%, 12/10/2024 | 781,000 | 782,266 | ||
Barclays PLC, 2.852% to 5/07/2025, FLR (LIBOR - 3mo. + 2.452%) to 5/07/2026 | 759,000 | 799,250 | ||
Credit Agricole, “A”, FLR, 1.617% (LIBOR - 3mo. + 1.43%), 1/10/2022 (n) | 750,000 | 756,334 | ||
Credit Suisse Group AG, 3.574%, 1/09/2023 (n) | 2,060,000 | 2,098,518 | ||
Credit Suisse Group AG, 4.207% to 6/12/2023, FLR (LIBOR - 3mo. + 1.24%) to 6/12/2024 (n) | 410,000 | 437,679 | ||
Deutsche Bank AG, 1.447% to 4/1/2024, FLR (SOFR + 1.131%) to 4/01/2025 | 3,640,000 | 3,653,708 | ||
Goldman Sachs Group, Inc., 1.093% to 12/09/2025, FLR (SOFR + 0.789%) to 12/09/2026 | 1,418,000 | 1,397,825 | ||
HSBC Holdings PLC, 3.262% to 3/13/2022, FLR (LIBOR - 3mo. + 1.055%) to 3/13/2023 | 2,383,000 | 2,439,794 | ||
HSBC Holdings PLC, 3.033% to 11/22/2022, FLR (LIBOR - 3mo. + 0.923%) to 11/22/2023 | 957,000 | 994,257 | ||
HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR + 1.929%) to 6/04/2026 | 928,000 | 949,330 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
HSBC Holdings PLC, 1.589% to 5/24/2026, FLR (SOFR + 1.29%) to 5/24/2027 | $ | 1,060,000 | $ 1,052,633 | |
JPMorgan Chase & Co., 3.207% to 4/01/2022, FLR (LIBOR - 3mo. + 0.695%) to 4/01/2023 | 2,839,000 | 2,913,149 | ||
JPMorgan Chase & Co., 3.375%, 5/01/2023 | 1,196,000 | 1,264,644 | ||
JPMorgan Chase & Co., 3.797% to 7/23/2023, FLR (LIBOR - 3mo. + 0.89%) to 7/23/2024 | 1,506,000 | 1,609,843 | ||
JPMorgan Chase & Co., 1.04% to 2/04/2026, FLR (SOFR + 0.695%) to 2/04/2027 | 1,903,000 | 1,867,036 | ||
KeyBank N.A., 3.3%, 2/01/2022 | 772,000 | 789,480 | ||
Mitsubishi UFJ Financial Group, Inc., 2.623%, 7/18/2022 | 2,006,000 | 2,060,494 | ||
Mitsubishi UFJ Financial Group, Inc., 0.848% to 9/15/2023, FLR (CMT - 1yr. + 0.68%) to 9/15/2024 | 3,125,000 | 3,133,490 | ||
Mizuho Financial Group, 0.849% to 9/08/2023, FLR (LIBOR - 3mo. + 0.61%) to 9/08/2024 | 2,700,000 | 2,707,458 | ||
NatWest Group PLC, 2.359% to 5/22/2023, FLR (CMT - 1yr. + 2.15%) to 5/22/2024 | 2,485,000 | 2,565,318 | ||
NatWest Group PLC, 4.269% to 3/22/2024, FLR (LIBOR - 3mo. + 1.762%) to 3/22/2025 | 2,549,000 | 2,779,553 | ||
Royal Bank of Canada, 0.5%, 10/26/2023 | 3,500,000 | 3,506,658 | ||
Standard Chartered PLC, 1.319% to 10/14/2022, FLR (CMT - 1yr. + 1.17%) to 10/14/2023 (n) | 1,375,000 | 1,384,969 | ||
Standard Chartered PLC, 0.991% to 1/12/2024, FLR (CMT - 1yr. + 0.78%) to 1/12/2025 (n) | 2,411,000 | 2,401,292 | ||
Standard Chartered PLC, 1.214% to 3/23/2024, FLR (CMT - 1yr. + 0.88%) to 3/23/2025 (n) | 812,000 | 814,682 | ||
State Street Corp., 2.825% to 3/30/2022, FLR (SOFR + 2.69%) to 3/30/2023 | 483,000 | 493,969 | ||
State Street Corp., 2.901% to 3/30/2025, FLR (SOFR + 2.6%) to 3/30/2026 | 250,000 | 267,173 | ||
Sumitomo Mitsui Financial Group, Inc., 0.508%, 1/12/2024 | 801,000 | 799,290 | ||
Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025 | 1,875,000 | 1,889,455 | ||
Sumitomo Mitsui Trust Bank Ltd., 0.85%, 3/25/2024 (n) | 1,534,000 | 1,537,940 | ||
Toronto-Dominion Bank, 0.25%, 1/06/2023 | 1,603,000 | 1,601,955 | ||
Toronto-Dominion Bank, 0.75%, 1/06/2026 | 1,122,000 | 1,103,765 | ||
UBS Group AG, 3.491%, 5/23/2023 (n) | 5,533,000 | 5,705,962 | ||
UBS Group AG, 1.008% to 7/30/2023, FLR (CMT - 1yr. + 0.83%) to 7/30/2024 (n) | 1,470,000 | 1,479,266 | ||
UniCredito Italiano S.p.A., 6.572%, 1/14/2022 (n) | 1,297,000 | 1,347,233 | ||
UniCredito Italiano S.p.A., 3.75%, 4/12/2022 (n) | 1,116,000 | 1,146,919 | ||
Wells Fargo & Co., 2.164% to 2/11/2025, FLR (LIBOR - 3mo. + 0.75%) to 2/11/2026 | 2,912,000 | 3,015,237 | ||
$72,096,892 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Medical & Health Technology & Services – 0.4% | ||||
Becton, Dickinson and Co., 2.894%, 6/06/2022 | $ | 730,000 | $ 748,682 | |
HCA, Inc., 5%, 3/15/2024 | 2,522,000 | 2,809,473 | ||
$3,558,155 | ||||
Metals & Mining – 1.4% | ||||
Anglo American Capital PLC, 3.625%, 9/11/2024 (n) | $ | 809,000 | $ 875,074 | |
Anglo American Capital PLC, 5.375%, 4/01/2025 (n) | 2,500,000 | 2,872,933 | ||
Glencore Finance (Canada) Ltd., 4.95%, 11/15/2021 (n) | 729,000 | 746,278 | ||
Glencore Funding LLC, 3%, 10/27/2022 (n) | 610,000 | 628,715 | ||
Glencore Funding LLC, 4.125%, 3/12/2024 (n) | 1,280,000 | 1,385,390 | ||
Glencore Funding LLC, 4.625%, 4/29/2024 (n) | 791,000 | 873,909 | ||
Glencore Funding LLC, 1.625%, 9/01/2025 (n) | 3,000,000 | 3,019,255 | ||
Glencore Funding LLC, 1.625%, 4/27/2026 (n) | 1,875,000 | 1,863,678 | ||
$12,265,232 | ||||
Midstream – 1.1% | ||||
Energy Transfer Operating Co., 2.9%, 5/15/2025 | $ | 788,000 | $ 827,094 | |
Gray Oak Pipeline LLC, 2%, 9/15/2023 (n) | 1,624,000 | 1,655,795 | ||
MPLX LP, 3.5%, 12/01/2022 | 2,416,000 | 2,516,586 | ||
MPLX LP, 3.375%, 3/15/2023 | 471,000 | 493,606 | ||
Plains All American Pipeline LP, 3.85%, 10/15/2023 | 750,000 | 793,746 | ||
Western Midstream Operating LP, 4.35%, 2/01/2025 | 1,209,000 | 1,278,106 | ||
Western Midstream Operating LP, FLR, 2.288% (LIBOR - 3mo. + 0.85%), 1/13/2023 | 1,727,000 | 1,709,866 | ||
$9,274,799 | ||||
Mortgage-Backed – 0.7% | ||||
Fannie Mae, 4.5%, 4/01/2024 - 5/01/2025 | $ | 103,671 | $ 109,123 | |
Fannie Mae, 3%, 12/01/2031 | 398,678 | 424,103 | ||
Fannie Mae, 2%, 5/25/2044 | 710,182 | 726,445 | ||
Freddie Mac, 1.017%, 4/25/2024 (i) | 110,044 | 2,255 | ||
Freddie Mac, 4%, 7/01/2025 | 100,507 | 107,194 | ||
Freddie Mac, 1.699%, 4/25/2030 (i) | 6,414,204 | 775,340 | ||
Freddie Mac, 3%, 4/15/2033 - 6/15/2045 | 3,349,910 | 3,591,890 | ||
Freddie Mac, 2%, 7/15/2042 | 640,645 | 662,239 | ||
$6,398,589 | ||||
Municipals – 2.3% | ||||
California Earthquake Authority Rev., “B”, 1.227%, 7/01/2021 | $ | 245,000 | $ 245,396 | |
California Earthquake Authority Rev., “B”, 1.327%, 7/01/2022 | 785,000 | 794,179 | ||
California Earthquake Authority Rev., “B”, 1.477%, 7/01/2023 | 555,000 | 567,334 | ||
California Municipal Finance Authority Rev. (Century Housing Corp.), 1.486%, 11/01/2022 | 255,000 | 257,592 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Municipals – continued | ||||
California Municipal Finance Authority Rev. (Century Housing Corp.), 1.605%, 11/01/2023 | $ | 305,000 | $ 309,633 | |
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 0.75%, 8/15/2050 (n) | 3,045,000 | 3,044,257 | ||
Illinois Sales Tax Securitization Corp., Second Lien, “B”, BAM, 2.128%, 1/01/2023 | 430,000 | 440,752 | ||
Illinois Sales Tax Securitization Corp., Second Lien, “B”, BAM, 2.225%, 1/01/2024 | 1,030,000 | 1,067,525 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., “A”, 1.904%, 7/01/2023 | 115,000 | 117,310 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., “A”, 2.156%, 7/01/2024 | 320,000 | 328,769 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., “A”, 2.306%, 7/01/2025 | 250,000 | 259,234 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., “A”, 2.562%, 7/01/2026 | 315,000 | 328,540 | ||
Michigan Finance Authority Tobacco Settlement Asset-Backed Rev. (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 1,320,000 | 1,362,432 | ||
New Jersey Economic Development Authority Rev., School Facilities Construction, “HHH”, 3.75%, 9/01/2022 (n) | 3,650,000 | 3,777,795 | ||
New Jersey Economic Development Authority State Pension Funding Rev., Capital Appreciation, “B”, AGM, 0%, 2/15/2023 | 3,058,000 | 3,020,880 | ||
New Jersey Transportation Trust Fund Authority, Transportation System, “B”, 2.384%, 6/15/2022 | 460,000 | 468,519 | ||
New Jersey Transportation Trust Fund Authority, Transportation System, “B”, 2.551%, 6/15/2023 | 475,000 | 490,623 | ||
New Jersey Transportation Trust Fund Authority, Transportation System, “B”, 2.631%, 6/15/2024 | 450,000 | 468,515 | ||
Port Authority of NY & NJ, “AAA”, 1.086%, 7/01/2023 | 1,635,000 | 1,660,453 | ||
Texas Transportation Commission, Central Texas Turnpike System First Tier Refunding Rev., Taxable, “B”, 1.98%, 8/15/2042 | 695,000 | 709,291 | ||
$19,719,029 | ||||
Natural Gas - Distribution – 0.3% | ||||
CenterPoint Energy, Inc., 0.7%, 3/02/2023 | $ | 2,491,000 | $ 2,492,512 | |
Network & Telecom – 0.7% | ||||
AT&T, Inc., 0.9%, 3/25/2024 | $ | 4,742,000 | $ 4,753,051 | |
Verizon Communications, Inc., 0.75%, 3/22/2024 | 930,000 | 933,586 | ||
$5,686,637 | ||||
Oil Services – 0.0% | ||||
Halliburton Co., 3.8%, 11/15/2025 | $ | 152,000 | $ 167,854 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Oils – 0.5% | ||||
Marathon Petroleum Corp., 4.75%, 12/15/2023 | $ | 1,684,000 | $ 1,845,658 | |
Valero Energy Corp., 1.2%, 3/15/2024 | 1,400,000 | 1,407,371 | ||
Valero Energy Corp., 2.85%, 4/15/2025 | 773,000 | 815,917 | ||
$4,068,946 | ||||
Other Banks & Diversified Financials – 2.8% | ||||
American Express Co., 3.7%, 11/05/2021 | $ | 1,307,000 | $ 1,326,412 | |
Banque Federative du Credit Mutuel, 0.65%, 2/27/2024 (n) | 3,117,000 | 3,117,930 | ||
BBVA USA, 3.5%, 6/11/2021 | 1,498,000 | 1,498,936 | ||
BBVA USA, 2.875%, 6/29/2022 | 2,542,000 | 2,609,934 | ||
BBVA USA Bancshares, Inc., 2.5%, 8/27/2024 | 1,122,000 | 1,180,811 | ||
Groupe BPCE S.A., 4%, 9/12/2023 (n) | 1,193,000 | 1,284,468 | ||
Groupe BPCE S.A., FLR, 1.424% (LIBOR - 3mo. + 1.24%), 9/12/2023 (n) | 1,193,000 | 1,216,022 | ||
Macquarie Group Ltd., 1.34% to 1/12/2026, FLR (SOFR + 1.069%) to 1/12/2027 (n) | 2,132,000 | 2,103,090 | ||
National Bank of Canada, 2.15%, 10/07/2022 (n) | 1,305,000 | 1,338,365 | ||
National Bank of Canada, 0.9% to 8/15/2022, FLR (CMT - 1yr. + 0.77%) to 8/15/2023 | 1,723,000 | 1,733,254 | ||
National Bank of Canada, 0.55%, 11/15/2024 | 1,562,000 | 1,556,769 | ||
SunTrust Banks, Inc., 2.8%, 5/17/2022 | 1,884,000 | 1,931,149 | ||
Truist Financial Corp., 1.267% to 3/02/2026, FLR (SOFR + 0.609%) to 3/02/2027 | 2,511,000 | 2,499,607 | ||
UBS AG, 1.75%, 4/21/2022 (n) | 395,000 | 400,129 | ||
$23,796,876 | ||||
Personal Computers & Peripherals – 0.0% | ||||
Equifax, Inc., 2.6%, 12/15/2025 | $ | 223,000 | $ 235,131 | |
Pharmaceuticals – 0.9% | ||||
AbbVie, Inc., 2.15%, 11/19/2021 | $ | 1,193,000 | $ 1,204,731 | |
AbbVie, Inc., 3.45%, 3/15/2022 | 2,322,000 | 2,371,666 | ||
Royalty Pharma PLC, 0.75%, 9/02/2023 (n) | 2,468,000 | 2,467,545 | ||
Viatris, Inc., 1.125%, 6/22/2022 (n) | 1,763,000 | 1,774,358 | ||
$7,818,300 | ||||
Real Estate - Office – 0.1% | ||||
Corporate Office Property LP, 2.25%, 3/15/2026 | $ | 1,172,000 | $ 1,201,973 | |
Retailers – 0.5% | ||||
Alimentation Couche-Tard, Inc., 2.7%, 7/26/2022 (n) | $ | 566,000 | $ 581,114 | |
Kohl's Corp., 9.5%, 5/15/2025 | 2,962,000 | 3,824,622 | ||
Macy's Retail Holdings, Inc., 3.875%, 1/15/2022 | 324,000 | 325,215 | ||
$4,730,951 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Specialty Stores – 0.4% | ||||
Nordstrom, Inc., 2.3%, 4/08/2024 (n) | $ | 928,000 | $ 931,332 | |
Ross Stores, Inc., 0.875%, 4/15/2026 | 1,034,000 | 1,011,238 | ||
TJX Cos., Inc., 3.5%, 4/15/2025 | 1,080,000 | 1,182,021 | ||
$3,124,591 | ||||
Telecommunications - Wireless – 0.7% | ||||
American Tower Corp., REIT, 2.25%, 1/15/2022 | $ | 1,525,000 | $ 1,545,837 | |
Crown Castle International Corp., 3.15%, 7/15/2023 | 680,000 | 717,188 | ||
Crown Castle International Corp., 1.35%, 7/15/2025 | 546,000 | 548,590 | ||
T-Mobile USA, Inc., 3.5%, 4/15/2025 (n) | 2,676,000 | 2,901,801 | ||
$5,713,416 | ||||
Tobacco – 0.4% | ||||
B.A.T. Capital Corp., 3.222%, 8/15/2024 | $ | 1,631,000 | $ 1,737,854 | |
Imperial Tobacco Finance PLC, 3.75%, 7/21/2022 (n) | 755,000 | 777,909 | ||
Philip Morris International, Inc., 1.125%, 5/01/2023 | 805,000 | 816,926 | ||
$3,332,689 | ||||
Transportation - Services – 1.0% | ||||
Element Fleet Management Corp., 1.6%, 4/06/2024 (n) | $ | 5,491,000 | $ 5,554,547 | |
ERAC USA Finance LLC, 2.7%, 11/01/2023 (n) | 1,087,000 | 1,138,782 | ||
ERAC USA Finance LLC, 3.85%, 11/15/2024 (n) | 762,000 | 835,819 | ||
ERAC USA Finance LLC, 3.8%, 11/01/2025 (n) | 762,000 | 839,609 | ||
$8,368,757 | ||||
U.S. Government Agencies and Equivalents – 0.0% | ||||
Small Business Administration, 2.25%, 7/01/2021 | $ | 19,618 | $ 19,681 | |
U.S. Treasury Obligations – 11.4% | ||||
U.S. Treasury Notes, 2.625%, 12/15/2021 (f) | $ | 27,750,000 | $ 28,193,178 | |
U.S. Treasury Notes, 1.875%, 4/30/2022 | 2,871,000 | 2,922,476 | ||
U.S. Treasury Notes, 0.125%, 6/30/2022 | 22,900,000 | 22,912,523 | ||
U.S. Treasury Notes, 0.125%, 10/15/2023 | 20,000,000 | 19,946,875 | ||
U.S. Treasury Notes, 1.5%, 11/30/2024 | 23,730,000 | 24,579,089 | ||
$98,554,141 | ||||
Utilities - Electric Power – 2.6% | ||||
Emera U.S. Finance LP, 2.7%, 6/15/2021 | $ | 468,000 | $ 468,756 | |
Enel Finance International N.V., 2.875%, 5/25/2022 (n) | 2,820,000 | 2,888,113 | ||
FirstEnergy Corp., 4.75%, 3/15/2023 | 1,635,000 | 1,733,999 | ||
FirstEnergy Corp., 2.05%, 3/01/2025 | 1,344,000 | 1,354,080 | ||
FirstEnergy Corp., 1.6%, 1/15/2026 | 818,000 | 795,505 | ||
Florida Power & Light Co., FLR, 0.564% (LIBOR - 3mo. + 0.38%), 7/28/2023 | 3,100,000 | 3,100,126 | ||
NextEra Energy Capital Holdings, Inc., 2.403%, 9/01/2021 | 2,062,000 | 2,076,538 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Utilities - Electric Power – continued | ||||
NextEra Energy Capital Holdings, Inc., 2.9%, 4/01/2022 | $ | 1,411,000 | $ 1,444,541 | |
NextEra Energy, Inc., 0.65%, 3/01/2023 | 1,950,000 | 1,956,144 | ||
Pacific Gas & Electric Co., 1.75%, 6/16/2022 | 714,000 | 714,626 | ||
Pacific Gas & Electric Co., 1.367%, 3/10/2023 | 764,000 | 764,258 | ||
Pacific Gas & Electric Co., FLR, 1.573% (LIBOR - 3mo. + 1.375%), 11/15/2021 | 3,118,000 | 3,128,288 | ||
Southern California Edison Co.'s First & Refunding Mortgage Bonds, 1.2%, 2/01/2026 | 750,000 | 743,785 | ||
WEC Energy Group, Inc., 0.8%, 3/15/2024 | 1,138,000 | 1,139,932 | ||
$22,308,691 | ||||
Total Bonds (Identified Cost, $555,619,182) | $ 563,578,179 | |||
Investment Companies (h) – 15.6% | ||||
Money Market Funds – 15.6% | ||||
MFS Institutional Money Market Portfolio, 0.04% (v) (Identified Cost, $134,291,889) | 134,293,453 | $ 134,293,453 | ||
Short-Term Obligations (s)(y) – 1.7% | ||||
Freddie Mac, 0%, due 5/03/2021 (Identified Cost, $14,798,000) | $ | 14,798,000 | $ 14,798,000 | |
Other Assets, Less Liabilities – 17.3% | 148,903,798 | |||
Net Assets – 100.0% | $ 861,573,430 |
(f) | All or a portion of the security has been segregated as collateral for cleared swap agreements and uncleared swap agreements. |
(h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $134,293,453 and $578,376,179, 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 $228,155,876, representing 26.5% of net assets. |
(s) | All or a portion of security is held by a wholly-owned subsidiary. See Note 2 of the Notes to Consolidated Financial Statements for details of the wholly-owned subsidiary. |
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
(w) | When-issued security. |
(y) | The rate shown represents an annualized yield at time of purchase. |
(z) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities: |
Restricted Securities | Acquisition Date | Cost | Value |
MF1 Ltd., 2020-FL3, “B”, FLR, 3.865% (LIBOR - 1mo. + 3.75%), 7/15/2035 | 6/12/2020 | $205,000 | $208,585 |
MF1 Ltd., 2020-FL3, “C”, FLR, 4.614% (LIBOR - 1mo. + 4.5%), 7/15/2035 | 6/12/2020 | 293,000 | 298,490 |
Total Restricted Securities | $507,075 | ||
% of Net assets | 0.1% |
The following abbreviations are used in this report and are defined: | |
AGM | Assured Guaranty Municipal |
BAM | Build America Mutual |
BCOMALTR | Bloomberg Aluminum Subindex Total Return, this index is composed of futures contracts on aluminum. |
BCOMBOTR | Bloomberg Soybean Oil Subindex Total Return, this index is composed of futures contracts on soybean oil. |
BCOMCNTR | Bloomberg Corn Subindex Total Return, this index is composed of futures contracts on corn. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
BCOMCOT | Bloomberg Brent Crude Subindex Total Return, this index is composed of futures contracts on brent crude. |
BCOMCTTR | Bloomberg Cotton Subindex Total Return, this index is composed of futures contracts on cotton. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
BCOMF3T | Bloomberg Commodity Index 3 Month Forward Total Return, this index is composed of longer-dated futures contracts on 19 physical commodities. |
BCOMFCT | Bloomberg Feeder Cattle Subindex Total Return, this index is comprised of futures contracts on feeder cattle. It is quoted in USD. |
BCOMKCTR | Bloomberg Coffee Subindex Total Return, this index is composed of futures contracts on coffee. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
BCOMKWT | Bloomberg Kansas Wheat Subindex Total Return, this index is composed of futures contracts on wheat and Kansas wheat. It is quoted in USD. |
BCOMLCTR | Bloomberg Live Cattle Subindex Total Return, this index is composed of futures contracts on live cattle. |
BCOMNGTR | Bloomberg Natural Gas Subindex Total Return, this index is composed of futures contracts on natural gas. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
BCOMPBTR | Bloomberg Lead Subindex Total Return, this index is composed of futures contracts on lead. It reflects the return of underlying commodity futures price movements only. It is quoted in USD. |
BCOMRBTR | Bloomberg Unleaded Gasoline Subindex Total Return, this index is composed of futures contracts on unleaded gasoline. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
BCOMSBTR | Bloomberg Sugar Subindex Total Return, this index is composed of futures contracts on sugar. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
BCOMSITR | Bloomberg Silver Subindex Total Return, this index is composed of futures contracts on silver. |
BCOMSYTR | Bloomberg Soybeans Subindex Total Return, this index is composed of futures contracts on soybeans. |
BCOMTR | Bloomberg Commodity Index Total Return |
BCOMWHTR | Bloomberg Wheat Subindex Total Return, this index is composed of futures contracts on wheat. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
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. |
LIBOR | London Interbank Offered Rate |
MLCILPRT | Merrill Lynch International Bloomberg Commodity Index Total Return |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
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 | ||||||||||
7/15/21 | USD | 35,500,000 | centrally cleared | 1.88%/Semi-annually | 0.24% FLR (3-Month LIBOR)/Quarterly | $319,683 | $— | $319,683 | ||
9/19/21 | USD | 22,400,000 | centrally cleared | 1.57%/Semi-annually | 0.12% FLR (1-Month LIBOR)/Monthly | 165,338 | — | 165,338 | ||
$485,021 | $— | $485,021 |
Uncleared Swap Agreements | ||||||||
Maturity Date | Notional Amount | Counterparty | Cash Flows to Receive (Monthly) | Cash Flows to Pay (Monthly) | Unrealized Appreciation (Depreciation) | Net Unamortized Upfront Payments (Receipts) | Value | |
Asset Derivatives | ||||||||
Total Return Swaps | ||||||||
12/09/21 | USD | 8,041,883 (Short) | Citibank N.A. | 3 month T-Bill + 0.04% | BCOMLCTR (floating rate) | $418 | $— | $418 |
2/11/22 | USD | 5,187,614 (Short) | Goldman Sachs International | 3 month T-Bill + 0.05% | BCOMNGTR (floating rate) | 273 | — | 273 |
2/11/22 | USD | 7,925,799 (Short) | Merrill Lynch International | 3 month T-Bill + 0.05% | BCOMKCTR (floating rate) | 404 | — | 404 |
2/11/22 | USD | 9,613,867 (Short) | Morgan Stanley | 3 month T-Bill + 0.03% | BCOMPBTR (floating rate) | 365 | — | 365 |
3/11/22 | USD | 9,393,725 (Short) | Morgan Stanley | 3 month T-Bill + 0.05% | BCOMFCT (floating rate) | 589 | — | 589 |
4/20/22 | USD | 9,132,286 (Short) | Merrill Lynch International | 3 month T-Bill + 0.05% | BCOMKWT (floating rate) | 441 | — | 441 |
Uncleared Swap Agreements - continued | ||||||||||
Maturity Date | Notional Amount | Counterparty | Cash Flows to Receive (Monthly) | Cash Flows to Pay (Monthly) | Unrealized Appreciation (Depreciation) | Net Unamortized Upfront Payments (Receipts) | Value | |||
Asset Derivatives - continued | ||||||||||
Total Return Swaps - continued | ||||||||||
4/20/22 | USD | 8,670,766 (Short) | Merrill Lynch International | 3 month T-Bill + 0.05% | BCOMALTR (floating rate) | $461 | $— | $461 | ||
$2,951 | $— | $2,951 | ||||||||
Liability Derivatives | ||||||||||
Total Return Swaps | ||||||||||
5/14/21 | USD | 12,932,973 (Long) | JPMorgan Chase Bank N.A. | BCOMTR (floating rate) | 3 month T-Bill + 0.09% | $(22,958) | $— | $(22,958) | ||
5/21/21 | USD | 14,930,424 (Long) | JPMorgan Chase Bank N.A. | BCOMTR (floating rate) | 3 month T-Bill + 0.09% | (26,504) | — | (26,504) | ||
5/21/21 | USD | 26,672,167 (Long) | Goldman Sachs International | BCOMF3T (floating rate) | 3 month T-Bill + 0.13% | (3,054) | — | (3,054) | ||
5/21/21 | USD | 29,635,741 (Long) | Citibank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.13% | (3,390) | — | (3,390) | ||
5/21/21 | USD | 29,635,741 (Long) | JPMorgan Chase Bank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (2,715) | — | (2,715) | ||
7/14/21 | USD | 108,425,293 (Long) | Merrill Lynch International | MLCILPRT (a) (floating rate) | 3 month T-Bill + 0.14% | (195,013) | — | (195,013) | ||
7/16/21 | USD | 12,668,412 (Long) | JPMorgan Chase Bank N.A. | BCOMCTTR (floating rate) | 3 month T-Bill + 0.20% | (2,138) | — | (2,138) | ||
7/30/21 | USD | 9,826,181 (Long) | Merrill Lynch International | MLCILPRT (a) (floating rate) | 3 month T-Bill + 0.14% | (17,674) | — | (17,674) | ||
7/30/21 | USD | 19,564,003 (Long) | JPMorgan Chase Bank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (1,789) | — | (1,789) | ||
7/30/21 | USD | 9,768,021 (Long) | Goldman Sachs International | BCOMSBTR (floating rate) | 3 month T-Bill + 0.12% | (978) | — | (978) | ||
7/30/21 | USD | 9,943,330 (Long) | JPMorgan Chase Bank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (908) | — | (908) |
Uncleared Swap Agreements - continued | ||||||||
Maturity Date | Notional Amount | Counterparty | Cash Flows to Receive (Monthly) | Cash Flows to Pay (Monthly) | Unrealized Appreciation (Depreciation) | Net Unamortized Upfront Payments (Receipts) | Value | |
Liability Derivatives - continued | ||||||||
Total Return Swaps - continued | ||||||||
7/30/21 | USD | 11,468,317 (Long) | Merrill Lynch International | MLCILPRT (a) (floating rate) | 3 month T-Bill + 0.14% | $(20,627) | $— | $(20,627) |
8/31/21 | USD | 11,942,750 (Long) | Goldman Sachs International | BCOMSYTR (floating rate) | 3 month T-Bill + 0.14% | (1,432) | — | (1,432) |
9/17/21 | USD | 105,282,108 (Long) | Merrill Lynch International | MLCILPRT (a) (floating rate) | 3 month T-Bill + 0.13% | (188,566) | — | (188,566) |
9/28/21 | USD | 13,832,220 (Long) | JPMorgan Chase Bank N.A. | BCOMTR (floating rate) | 3 month T-Bill + 0.09% | (24,554) | — | (24,554) |
10/29/21 | USD | 22,965,344 (Long) | Citibank N.A. | BCOMTR (floating rate) | 3 month T-Bill + 0.11% | (2,266) | — | (2,266) |
10/29/21 | USD | 21,599,759 (Long) | JPMorgan Chase Bank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (1,975) | — | (1,975) |
10/29/21 | USD | 63,900,743 (Long) | JPMorgan Chase Bank N.A. | BCOMTR (floating rate) | 3 month T-Bill + 0.09% | (113,432) | — | (113,432) |
10/29/21 | USD | 63,900,743 (Long) | Goldman Sachs International | BCOMTR (floating rate) | 3 month T-Bill + 0.09% | (113,432) | — | (113,432) |
10/29/21 | USD | 39,661,515 (Long) | Merrill Lynch International | MLCILPRT (a) (floating rate) | 3 month T-Bill + 0.13% | (71,036) | — | (71,036) |
11/19/21 | USD | 3,190,770 (Long) | Merrill Lynch International | BCOMSITR (floating rate) | 3 month T-Bill + 0.085% | (264) | — | (264) |
12/09/21 | USD | 8,516,272 (Long) | Morgan Stanley | BCOMCNTR (floating rate) | 3 month T-Bill + 0.08% | (572) | — | (572) |
1/28/22 | USD | 17,643,794 (Long) | Goldman Sachs International | BCOMTR (floating rate) | 3 month T-Bill + 0.09% | (31,320) | — | (31,320) |
1/28/22 | USD | 11,311,438 (Long) | JPMorgan Chase Bank N.A. | BCOMRBTR (floating rate) | 3 month T-Bill + 0.08% | (877) | — | (877) |
2/18/22 | USD | 20,151,290 (Long) | JPMorgan Chase Bank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (1,843) | — | (1,843) |
Uncleared Swap Agreements - continued | ||||||||||
Maturity Date | Notional Amount | Counterparty | Cash Flows to Receive (Monthly) | Cash Flows to Pay (Monthly) | Unrealized Appreciation (Depreciation) | Net Unamortized Upfront Payments (Receipts) | Value | |||
Liability Derivatives - continued | ||||||||||
Total Return Swaps - continued | ||||||||||
2/18/22 | USD | 6,785,028 (Long) | JPMorgan Chase Bank N.A. | BCOMTR (floating rate) | 3 month T-Bill + 0.09% | $(12,045) | $— | $(12,045) | ||
2/18/22 | USD | 15,932,706 (Long) | Merrill Lynch International | BCOMBOTR (floating rate) | 3 month T-Bill + 0.13% | (170,864) | — | (170,864) | ||
3/11/22 | USD | 22,040,364 (Long) | JPMorgan Chase Bank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (2,019) | — | (2,019) | ||
3/11/22 | USD | 23,142,382 (Long) | Goldman Sachs International | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (2,119) | — | (2,119) | ||
3/28/22 | USD | 5,542,146 (Long) | Morgan Stanley | BCOMWHTR (floating rate) | 3 month T-Bill + 0.13% | (577) | — | (577) | ||
4/20/22 | USD | 14,906,621 (Long) | JPMorgan Chase Bank N.A. | BCOMCOT (floating rate) | 3 month T-Bill + 0.08% | (227) | — | (227) | ||
4/28/22 | USD | 9,865,147 (Long) | Merrill Lynch International | MLCILPRT (a) (floating rate) | 3 month T-Bill + 0.14% | (17,776) | — | (17,776) | ||
4/28/22 | USD | 31,665,767 (Long) | Goldman Sachs International | BCOMTR (floating rate) | 3 month T-Bill + 0.09% | (56,219) | — | (56,219) | ||
4/28/22 | USD | 5,447,050 (Long) | JPMorgan Chase Bank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (507) | — | (507) | ||
$(1,111,670) | $— | $(1,111,670) |
(a) | The Merrill Lynch MLCILPRT Commodity Index, the components of which are not publicly available, seeks to provide exposure to a diversified group of commodities. Through its investment in the swap, the fund has indirect exposure to the following positions that compose the MLCILPRT: |
Referenced Commodity Futures Contracts | % of Notional | Notional Amount: $108,425,293* | Notional Amount: $9,826,181* | Notional Amount: $11,468,317* | Notional Amount: $105,282,108* | Notional Amount: $39,661,515* | Notional Amount: $9,865,147* |
Long Futures Contracts | |||||||
Soybean Oil- Jul 2021 | 4.0% | $4,337,012 | $393,047 | $458,733 | $4,211,284 | $1,586,461 | $394,606 |
Corn- Jul 2021 | 6.7% | 7,264,495 | 658,354 | 768,377 | 7,053,901 | 2,657,322 | 660,965 |
WTI- Jul 2021 | 8.9% | 9,649,851 | 874,530 | 1,020,680 | 9,370,108 | 3,529,875 | 877,998 |
Brent- Jul 2021 | 2.0% | 2,168,506 | 196,524 | 229,366 | 2,105,642 | 793,230 | 197,303 |
Brent- Sep 2021 | 5.4% | 5,854,966 | 530,614 | 619,289 | 5,685,234 | 2,141,722 | 532,718 |
Cotton- Jul 2021 | 1.5% | 1,626,379 | 147,393 | 172,025 | 1,579,232 | 594,923 | 147,977 |
Gold- Jun 2021 | 3.2% | 3,469,609 | 314,438 | 366,986 | 3,369,027 | 1,269,168 | 315,685 |
Gold- Aug 2021 | 8.7% | 9,433,000 | 854,878 | 997,744 | 9,159,543 | 3,450,552 | 858,268 |
Copper Comex- Jul 2021 | 5.7% | 6,180,242 | 560,092 | 653,694 | 6,001,080 | 2,260,706 | 562,313 |
Heating Oil- Jul 2021 | 2.3% | 2,493,782 | 226,002 | 263,771 | 2,421,488 | 912,215 | 226,898 |
Coffee- Jul 2021 | 2.8% | 3,035,908 | 275,133 | 321,113 | 2,947,899 | 1,110,522 | 276,224 |
Kansas Wheat- Jul 2021 | 1.6% | 1,734,805 | 157,219 | 183,493 | 1,684,514 | 634,584 | 157,842 |
Aluminum- Jul 2021 | 4.4% | 4,770,713 | 432,352 | 504,606 | 4,632,413 | 1,745,107 | 434,066 |
Live Cattle- Jun 2021 | 0.9% | 975,828 | 88,436 | 103,215 | 947,539 | 356,954 | 88,786 |
Live Cattle- Aug 2021 | 2.6% | 2,819,058 | 255,481 | 298,176 | 2,737,335 | 1,031,199 | 256,494 |
Lean Hogs- Jun 2021 | 0.8% | 867,402 | 78,609 | 91,747 | 842,257 | 317,292 | 78,921 |
Lean Hogs- Jul 2021 | 1.6% | 1,734,805 | 157,219 | 183,493 | 1,684,514 | 634,584 | 157,842 |
Nickel- Jul 2021 | 2.3% | 2,493,782 | 226,002 | 263,771 | 2,421,488 | 912,215 | 226,898 |
Zinc- Jul 2021 | 2.9% | 3,144,333 | 284,959 | 332,581 | 3,053,181 | 1,150,184 | 286,089 |
Natural Gas- Jul 2021 | 7.9% | 8,565,598 | 776,268 | 905,997 | 8,317,287 | 3,133,260 | 779,347 |
Gasoil- Jul 2021 | 2.8% | 3,035,908 | 275,133 | 321,113 | 2,947,899 | 1,110,522 | 276,224 |
Soybeans- Jul 2021 | 5.8% | 6,288,667 | 569,918 | 665,162 | 6,106,362 | 2,300,368 | 572,179 |
Sugar- Jul 2021 | 2.9% | 3,144,333 | 284,959 | 332,581 | 3,053,181 | 1,150,184 | 286,089 |
Silver- Jul 2021 | 3.6% | 3,903,311 | 353,743 | 412,859 | 3,790,156 | 1,427,815 | 355,147 |
Soybean Meal- Jul 2021 | 3.1% | 3,361,184 | 304,612 | 355,518 | 3,263,745 | 1,229,507 | 305,820 |
Wheat- Jul 2021 | 2.9% | 3,144,333 | 284,959 | 332,581 | 3,053,181 | 1,150,183 | 286,089 |
Referenced Commodity Futures Contracts | % of Notional | Notional Amount: $108,425,293* | Notional Amount: $9,826,181* | Notional Amount: $11,468,317* | Notional Amount: $105,282,108* | Notional Amount: $39,661,515* | Notional Amount: $9,865,147* |
Gasoline RBOB- Jul 2021 | 2.7% | 2,927,483 | 265,307 | 309,646 | 2,842,618 | 1,070,861 | 266,359 |
100.0% | $108,425,293 | $9,826,181 | $11,468,317 | $105,282,108 | $39,661,515 | $9,865,147 | |
* The notional amount is indicative of the quantity and proportionate value of each commodity futures contract. |
Assets | |
Investments in unaffiliated issuers, at value (identified cost, $570,417,182) | $578,376,179 |
Investments in affiliated issuers, at value (identified cost, $134,291,889) | 134,293,453 |
Cash | 69,500,583 |
Restricted cash for | |
Uncleared swaps | 13,197,421 |
Receivables for | |
Due from uncleared swap brokers | 75,919,819 |
Net daily variation margin on open cleared swap agreements | 4,334 |
Fund shares sold | 36,418 |
Interest | 2,722,550 |
Uncleared swaps, at value | 2,951 |
Other assets | 1,814 |
Total assets | $874,055,522 |
Liabilities | |
Payables for | |
Distributions | $155 |
Due to uncleared swap brokers | 4,260,557 |
Investments purchased | 5,245,866 |
Fund shares reacquired | 772,319 |
When-issued investments purchased | 945,777 |
Uncleared swaps, at value | 1,111,670 |
Payable to affiliates | |
Investment adviser | 34,736 |
Administrative services fee | 673 |
Shareholder servicing costs | 1,573 |
Distribution and service fees | 84 |
Payable for independent Trustees' compensation | 1,040 |
Accrued expenses and other liabilities | 107,642 |
Total liabilities | $12,482,092 |
Net assets | $861,573,430 |
Net assets consist of | |
Paid-in capital | $771,841,999 |
Total distributable earnings (loss) | 89,731,431 |
Net assets | $861,573,430 |
Shares of beneficial interest outstanding | 141,024,391 |
Net assets | Shares outstanding | Net asset value per share (a) | |
Class A | $2,397,416 | 393,074 | $6.10 |
Class B | 73,952 | 12,178 | 6.07 |
Class C | 769,241 | 127,013 | 6.06 |
Class I | 4,086,086 | 668,673 | 6.11 |
Class R1 | 55,270 | 9,089 | 6.08 |
Class R2 | 56,023 | 9,194 | 6.09 |
Class R3 | 56,406 | 9,248 | 6.10 |
Class R4 | 56,789 | 9,301 | 6.11 |
Class R6 | 854,022,247 | 139,786,621 | 6.11 |
(a) | Maximum offering price per share was equal to the net asset value per share for all share classes, except for Class A, for which the maximum offering price per share was $6.47 [100 / 94.25 x $6.10]. Redemption price per share was equal to the net asset value per share for Classes I, R1, R2, R3, R4, and R6. |
Net investment income (loss) | |
Income | |
Interest | $5,306,255 |
Dividends from affiliated issuers | 35,709 |
Total investment income | $5,341,964 |
Expenses | |
Management fee | $2,902,879 |
Distribution and service fees | 5,611 |
Shareholder servicing costs | 2,320 |
Administrative services fee | 53,977 |
Independent Trustees' compensation | 6,848 |
Custodian fee | 26,448 |
Shareholder communications | 5,514 |
Audit and tax fees | 42,379 |
Legal fees | 12,331 |
Miscellaneous | 108,166 |
Total expenses | $3,166,473 |
Reduction of expenses by investment adviser | (43,923) |
Net expenses | $3,122,550 |
Net investment income (loss) | $2,219,414 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers | $594,368 |
Swap agreements | 185,766,179 |
Net realized gain (loss) | $186,360,547 |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $387,271 |
Swap agreements | (1,407,098) |
Net unrealized gain (loss) | $(1,019,827) |
Net realized and unrealized gain (loss) | $185,340,720 |
Change in net assets from operations | $187,560,134 |
Six months ended | Year ended | |
4/30/21 (unaudited) | 10/31/20 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $2,219,414 | $8,114,426 |
Net realized gain (loss) | 186,360,547 | (47,431,141) |
Net unrealized gain (loss) | (1,019,827) | 4,401,947 |
Change in net assets from operations | $187,560,134 | $(34,914,768) |
Total distributions to shareholders | $(7,000,221) | $(12,000,292) |
Change in net assets from fund share transactions | $(10,590,299) | $112,287,878 |
Total change in net assets | $169,969,614 | $65,372,818 |
Net assets | ||
At beginning of period | 691,603,816 | 626,230,998 |
At end of period | $861,573,430 | $691,603,816 |
Class A | Six months ended | Year ended | ||||
4/30/21 (unaudited) | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | |
Net asset value, beginning of period | $4.85 | $5.32 | $5.65 | $6.00 | $5.89 | $5.93 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.01 | $0.04 | $0.10 | $0.07 | $0.03(c) | $0.01 |
Net realized and unrealized gain (loss) | 1.28 | (0.42) | (0.27) | (0.25) | 0.10 | (0.05)(g) |
Total from investment operations | $1.29 | $(0.38) | $(0.17) | $(0.18) | $0.13 | $(0.04) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.04) | $(0.09) | $(0.16) | $(0.17) | $(0.02) | $(0.00)(w) |
Net asset value, end of period (x) | $6.10 | $4.85 | $5.32 | $5.65 | $6.00 | $5.89 |
Total return (%) (r)(s)(t)(x) | 26.73(n) | (7.24) | (2.96) | (2.98) | 2.25(c) | (0.61) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.14(a) | 1.13 | 1.10 | 1.09 | 1.06(c) | 1.07 |
Expenses after expense reductions (f) | 1.13(a) | 1.12 | 1.09 | 1.08 | 1.05(c) | 1.06 |
Net investment income (loss) | 0.26(a)(l) | 0.94 | 1.86 | 1.22 | 0.58(c) | 0.21 |
Portfolio turnover | 13(n) | 57 | 64 | 72 | 51 | 32 |
Net assets at end of period (000 omitted) | $2,397 | $1,041 | $321 | $63 | $49 | $48 |
Class B | Six months ended | Year ended | ||
4/30/21 (unaudited) | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $4.81 | $5.28 | $5.64 | $5.71 |
Income (loss) from investment operations | ||||
Net investment income (loss) (d) | $(0.01) | $0.01 | $0.06 | $0.02 |
Net realized and unrealized gain (loss) | 1.28 | (0.43) | (0.26) | (0.09) |
Total from investment operations | $1.27 | $(0.42) | $(0.20) | $(0.07) |
Less distributions declared to shareholders | ||||
From net investment income | $(0.01) | $(0.05) | $(0.16) | $— |
Net asset value, end of period (x) | $6.07 | $4.81 | $5.28 | $5.64 |
Total return (%) (r)(s)(t)(x) | 26.39(n) | (8.10) | (3.68) | (1.23)(n) |
Ratios (%) (to average net assets) and Supplemental data: | ||||
Expenses before expense reductions (f) | 1.88(a) | 1.87 | 1.84 | 1.94(a) |
Expenses after expense reductions (f) | 1.87(a) | 1.86 | 1.83 | 1.93(a) |
Net investment income (loss) | (0.51)(a)(l) | 0.23 | 1.13 | 1.34(a) |
Portfolio turnover | 13(n) | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $74 | $60 | $48 | $52 |
Class C | Six months ended | Year ended | ||
4/30/21 (unaudited) | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $4.80 | $5.28 | $5.64 | $5.71 |
Income (loss) from investment operations | ||||
Net investment income (loss) (d) | $(0.01) | $0.01 | $0.06 | $0.02 |
Net realized and unrealized gain (loss) | 1.28 | (0.43) | (0.27) | (0.09) |
Total from investment operations | $1.27 | $(0.42) | $(0.21) | $(0.07) |
Less distributions declared to shareholders | ||||
From net investment income | $(0.01) | $(0.06) | $(0.15) | $— |
Net asset value, end of period (x) | $6.06 | $4.80 | $5.28 | $5.64 |
Total return (%) (r)(s)(t)(x) | 26.41(n) | (8.07) | (3.69) | (1.23)(n) |
Ratios (%) (to average net assets) and Supplemental data: | ||||
Expenses before expense reductions (f) | 1.89(a) | 1.88 | 1.84 | 1.94(a) |
Expenses after expense reductions (f) | 1.88(a) | 1.87 | 1.83 | 1.93(a) |
Net investment income (loss) | (0.50)(a)(l) | 0.20 | 1.12 | 1.41(a) |
Portfolio turnover | 13(n) | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $769 | $435 | $93 | $49 |
Class I | Six months ended | Year ended | ||||
4/30/21 (unaudited) | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | |
Net asset value, beginning of period | $4.86 | $5.32 | $5.65 | $6.00 | $5.90 | $5.94 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.01 | $0.06 | $0.11 | $0.09 | $0.05(c) | $0.03 |
Net realized and unrealized gain (loss) | 1.29 | (0.42) | (0.26) | (0.25) | 0.09 | (0.04)(g) |
Total from investment operations | $1.30 | $(0.36) | $(0.15) | $(0.16) | $0.14 | $(0.01) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.05) | $(0.10) | $(0.18) | $(0.19) | $(0.04) | $(0.03) |
Net asset value, end of period (x) | $6.11 | $4.86 | $5.32 | $5.65 | $6.00 | $5.90 |
Total return (%) (r)(s)(t)(x) | 26.88(n) | (6.90) | (2.75) | (2.73) | 2.32(c) | (0.20) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.89(a) | 0.89 | 0.84 | 0.85 | 0.82(c) | 0.83 |
Expenses after expense reductions (f) | 0.88(a) | 0.88 | 0.83 | 0.84 | 0.81(c) | 0.82 |
Net investment income (loss) | 0.46(a)(l) | 1.17 | 2.13 | 1.45 | 0.83(c) | 0.45 |
Portfolio turnover | 13(n) | 57 | 64 | 72 | 51 | 32 |
Net assets at end of period (000 omitted) | $4,086 | $500 | $135 | $48 | $49 | $48 |
Class R1 | Six months ended | Year ended | ||
4/30/21 (unaudited) | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $4.81 | $5.28 | $5.64 | $5.71 |
Income (loss) from investment operations | ||||
Net investment income (loss) (d) | $(0.01) | $0.01 | $0.06 | $0.02 |
Net realized and unrealized gain (loss) | 1.28 | (0.43) | (0.27) | (0.09) |
Total from investment operations | $1.27 | $(0.42) | $(0.21) | $(0.07) |
Less distributions declared to shareholders | ||||
From net investment income | $— | $(0.05) | $(0.15) | $— |
Net asset value, end of period (x) | $6.08 | $4.81 | $5.28 | $5.64 |
Total return (%) (r)(s)(t)(x) | 26.40(n) | (8.08) | (3.69) | (1.23)(n) |
Ratios (%) (to average net assets) and Supplemental data: | ||||
Expenses before expense reductions (f) | 1.88(a) | 1.87 | 1.84 | 1.94(a) |
Expenses after expense reductions (f) | 1.87(a) | 1.86 | 1.83 | 1.93(a) |
Net investment income (loss) | (0.48)(a)(l) | 0.26 | 1.14 | 1.35(a) |
Portfolio turnover | 13(n) | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $55 | $44 | $48 | $49 |
Class R2 | Six months ended | Year ended | ||
4/30/21 (unaudited) | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $4.83 | $5.30 | $5.65 | $5.71 |
Income (loss) from investment operations | ||||
Net investment income (loss) (d) | $0.00(w) | $0.04 | $0.09 | $0.02 |
Net realized and unrealized gain (loss) | 1.28 | (0.44) | (0.27) | (0.08) |
Total from investment operations | $1.28 | $(0.40) | $(0.18) | $(0.06) |
Less distributions declared to shareholders | ||||
From net investment income | $(0.02) | $(0.07) | $(0.17) | $— |
Net asset value, end of period (x) | $6.09 | $4.83 | $5.30 | $5.65 |
Total return (%) (r)(s)(t)(x) | 26.65(n) | (7.59) | (3.31) | (1.05)(n) |
Ratios (%) (to average net assets) and Supplemental data: | ||||
Expenses before expense reductions (f) | 1.38(a) | 1.37 | 1.34 | 1.44(a) |
Expenses after expense reductions (f) | 1.37(a) | 1.36 | 1.33 | 1.43(a) |
Net investment income (loss) | 0.00(a)(l)(w) | 0.75 | 1.64 | 1.86(a) |
Portfolio turnover | 13(n) | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $56 | $44 | $48 | $49 |
Class R3 | Six months ended | Year ended | ||
4/30/21 (unaudited) | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $4.84 | $5.31 | $5.65 | $5.71 |
Income (loss) from investment operations | ||||
Net investment income (loss) (d) | $0.01 | $0.05 | $0.10 | $0.03 |
Net realized and unrealized gain (loss) | 1.28 | (0.43) | (0.27) | (0.09) |
Total from investment operations | $1.29 | $(0.38) | $(0.17) | $(0.06) |
Less distributions declared to shareholders | ||||
From net investment income | $(0.03) | $(0.09) | $(0.17) | $— |
Net asset value, end of period (x) | $6.10 | $4.84 | $5.31 | $5.65 |
Total return (%) (r)(s)(t)(x) | 26.89(n) | (7.34) | (3.03) | (1.05)(n) |
Ratios (%) (to average net assets) and Supplemental data: | ||||
Expenses before expense reductions (f) | 1.13(a) | 1.12 | 1.09 | 1.19(a) |
Expenses after expense reductions (f) | 1.12(a) | 1.11 | 1.08 | 1.18(a) |
Net investment income (loss) | 0.26(a)(l) | 1.00 | 1.89 | 2.10(a) |
Portfolio turnover | 13(n) | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $56 | $44 | $48 | $49 |
Class R4 | Six months ended | Year ended | ||
4/30/21 (unaudited) | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $4.85 | $5.32 | $5.65 | $5.71 |
Income (loss) from investment operations | ||||
Net investment income (loss) (d) | $0.01 | $0.06 | $0.11 | $0.03 |
Net realized and unrealized gain (loss) | 1.30 | (0.43) | (0.26) | (0.09) |
Total from investment operations | $1.31 | $(0.37) | $(0.15) | $(0.06) |
Less distributions declared to shareholders | ||||
From net investment income | $(0.05) | $(0.10) | $(0.18) | $— |
Net asset value, end of period (x) | $6.11 | $4.85 | $5.32 | $5.65 |
Total return (%) (r)(s)(t)(x) | 27.13(n) | (7.09) | (2.75) | (1.05)(n) |
Ratios (%) (to average net assets) and Supplemental data: | ||||
Expenses before expense reductions (f) | 0.88(a) | 0.87 | 0.84 | 0.94(a) |
Expenses after expense reductions (f) | 0.87(a) | 0.86 | 0.83 | 0.93(a) |
Net investment income (loss) | 0.50(a)(l) | 1.25 | 2.14 | 2.35(a) |
Portfolio turnover | 13(n) | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $57 | $45 | $48 | $49 |
Class R6 | Six months ended | Year ended | ||||
4/30/21 (unaudited) | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | |
Net asset value, beginning of period | $4.86 | $5.33 | $5.65 | $6.00 | $5.90 | $5.94 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.02 | $0.06 | $0.11 | $0.09 | $0.05(c) | $0.03 |
Net realized and unrealized gain (loss) | 1.28 | (0.43) | (0.25) | (0.25) | 0.09 | (0.04)(g) |
Total from investment operations | $1.30 | $(0.37) | $(0.14) | $(0.16) | $0.14 | $(0.01) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.05) | $(0.10) | $(0.18) | $(0.19) | $(0.04) | $(0.03) |
Net asset value, end of period (x) | $6.11 | $4.86 | $5.33 | $5.65 | $6.00 | $5.90 |
Total return (%) (r)(s)(t)(x) | 26.92(n) | (7.06) | (2.57) | (2.74) | 2.32(c) | (0.20) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.82(a) | 0.83 | 0.83 | 0.84 | 0.81(c) | 0.82 |
Expenses after expense reductions (f) | 0.80(a) | 0.82 | 0.82 | 0.83 | 0.80(c) | 0.82 |
Net investment income (loss) | 0.58(a)(l) | 1.28 | 2.15 | 1.46 | 0.83(c) | 0.45 |
Portfolio turnover | 13(n) | 57 | 64 | 72 | 51 | 32 |
Net assets at end of period (000 omitted) | $854,022 | $689,390 | $625,443 | $587,864 | $591,976 | $563,314 |
(a) | Annualized. |
(c) | Amount reflects a one-time reimbursement of expenses by the custodian (or former custodian) without which net investment income and performance would be lower and expenses would be higher. |
(d) | Per share data is based on average shares outstanding. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. |
(g) | The per share amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of fund shares and the per share amount of realized and unrealized gains and losses at such time. |
(i) | For Class B, Class C, Class R1, Class R2, Class R3, and Class R4, the period is from the class inception, August 15, 2018, through the stated period end. |
(l) | Recognition of net investment income by the fund may be affected by the timing of the declaration of dividends by companies in which the fund invests and the actual annual net investment income ratio may differ. |
(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. |
(t) | Total returns do not include any applicable sales charges. |
(w) | Per share amount was less than $0.01 and total return or ratio was less than 0.01%, as applicable. |
(x) | The net asset values and total returns 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. |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | $— | $98,573,822 | $— | $98,573,822 |
Non - U.S. Sovereign Debt | — | 8,030,340 | — | 8,030,340 |
Municipal Bonds | — | 19,719,029 | — | 19,719,029 |
U.S. Corporate Bonds | — | 181,275,753 | — | 181,275,753 |
Residential Mortgage-Backed Securities | — | 12,404,290 | — | 12,404,290 |
Commercial Mortgage-Backed Securities | — | 40,886,999 | — | 40,886,999 |
Asset-Backed Securities (including CDOs) | — | 70,435,102 | — | 70,435,102 |
Foreign Bonds | — | 132,252,844 | — | 132,252,844 |
Short-Term Securities | — | 14,798,000 | — | 14,798,000 |
Mutual Funds | 134,293,453 | — | — | 134,293,453 |
Total | $134,293,453 | $578,376,179 | $— | $712,669,632 |
Other Financial Instruments | ||||
Swap Agreements – Assets | $— | $487,972 | $— | $487,972 |
Swap Agreements – Liabilities | — | (1,111,670) | — | (1,111,670) |
Fair Value (a) | |||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
Interest Rate | Interest Rate Swaps | $485,021 | $— |
Commodity | Total Return Swaps | 2,951 | (1,111,670) |
Total | $487,972 | $(1,111,670) |
(a) | Values presented in this table for cleared swap agreements correspond to the values reported in the Consolidated Portfolio of Investments. Only the current day net variation margin for cleared swap agreements is separately reported within the Consolidated Statement of Assets and Liabilities. |
Risk | Swap Agreements | Unaffiliated Issuers (Purchased Options) |
Interest Rate | $ 2,141 | $ — |
Commodity | 185,764,038 | — |
Credit | — | (151,597) |
Total | $185,766,179 | $(151,597) |
Risk | Swap Agreements |
Interest Rate | $ (445,017) |
Commodity | (962,081) |
Total | $(1,407,098) |
Gross Amounts of: | Derivative Assets | Derivative Liabilities |
Swaps, at value | $2,951 | $(1,111,670) |
Cleared Swap Agreements (a) | 4,334 | — |
Total Gross Amount of Derivative Assets and Liabilities Presented in the Consolidated Statement of Assets & Liabilities | $7,285 | $(1,111,670) |
Less: Derivatives Assets and Liabilities Not Subject to a Master Netting Agreement or Similar Arrangement | 4,334 | — |
Total Gross Amount of Derivative Assets and Liabilities Subject to a Master Netting Agreement or Similar Arrangement | $2,951 | $(1,111,670) |
(a) | The amount presented here represents the fund's current day net variation margin for cleared swaps agreements. This amount, which is recognized within the fund's Consolidated Statement of Assets and Liabilities, differs from the fair value of the cleared swap agreements which is presented in the tables that follow the fund's Consolidated Portfolio of Investments. |
Amounts Not Offset in the Consolidated Statement of Assets & Liabilities | |||||
Gross Amount of Derivative Assets Subject to a Master Netting Agreement (or Similar Arrangement) by Counterparty | Financial Instruments Available for Offset | Financial Instruments Collateral Received (b) | Cash Collateral Received (b) | Net Amount of Derivative Assets by Counterparty | |
Citibank N.A. | $418 | $(418) | $— | $— | $— |
Goldman Sachs International | 273 | (273) | — | — | — |
Merrill Lynch International | 1,306 | (1,306) | — | — | — |
Morgan Stanley | 954 | (954) | — | — | — |
Total | $2,951 | $(2,951) | $— | $— | $— |
Amounts Not Offset in the Consolidated Statement of Assets & Liabilities | |||||
Gross Amount of Derivative Liabilities Subject to a Master Netting Agreement (or Similar Arrangement) by Counterparty | Financial Instruments Available for Offset | Financial Instruments Collateral Pledged (b) | Cash Collateral Pledged (b) | Net Amount of Derivative Liabilities by Counterparty | |
Citibank N.A. | $(5,656) | $418 | $— | $5,238 | $— |
Goldman Sachs International | (208,554) | 273 | — | 208,281 | — |
JPMorgan Chase Bank N.A. | (214,491) | — | — | 214,491 | — |
Merrill Lynch International | (681,820) | 1,306 | — | 680,514 | — |
Morgan Stanley | (1,149) | 954 | — | 195 | — |
Total | $(1,111,670) | $2,951 | $— | $1,108,719 | $— |
(b) | The amount presented here may be less than the total amount of collateral (received)/pledged as the excess collateral (received)/pledged is not shown for purposes of this presentation. |
Year ended 10/31/20 | |
Ordinary income (including any short-term capital gains) | $12,000,292 |
As of 4/30/21 | |
Cost of investments | $ 706,095,176 |
Gross appreciation | 7,636,610 |
Gross depreciation | (1,062,154) |
Net unrealized appreciation (depreciation) | $ 6,574,456 |
As of 10/31/20 | |
Undistributed ordinary income | 5,154,093 |
Capital loss carryforwards | (95,564,031) |
Other temporary differences | 329,696,333 |
Net unrealized appreciation (depreciation) | (330,114,877) |
Short-Term | $(74,964,623) |
Long-Term | (20,599,408) |
Total | $(95,564,031) |
Six months ended 4/30/21 | Year ended 10/31/20 | |
Class A | $9,485 | $5,752 |
Class B | 98 | 415 |
Class C | 578 | 1,006 |
Class I | 4,956 | 2,528 |
Class R1 | — | 421 |
Class R2 | 208 | 659 |
Class R3 | 315 | 779 |
Class R4 | 424 | 899 |
Class R6 | 6,984,157 | 11,987,833 |
Total | $7,000,221 | $12,000,292 |
Up to $1 billion | 0.75% |
In excess of $1 billion | 0.70% |
Distribution Fee Rate (d) | Service Fee Rate (d) | Total Distribution Plan (d) | Annual Effective Rate (e) | Distribution and Service Fee | |
Class A | — | 0.25% | 0.25% | 0.25% | $ 1,992 |
Class B | 0.75% | 0.25% | 1.00% | 1.00% | 353 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 2,836 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 244 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 124 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 62 |
Total Distribution and Service Fees | $5,611 |
(d) | In accordance with the distribution plan for certain classes, the fund pays distribution and/or service fees equal to these annual percentage rates of each class’s average daily net assets. The distribution and service fee rates disclosed by class represent the current rates in effect at the end of the reporting period. |
(e) | The annual effective rates represent actual fees incurred under the distribution plan for the six months ended April 30, 2021 based on each class’s average daily net assets. MFD has |
Amount | |
Class A | $284 |
Class B | — |
Class C | — |
Purchases | Sales | |
U.S. Government securities | $— | $15,682,243 |
Non-U.S. Government securities | 138,511,088 | 70,491,601 |
Six months ended 4/30/21 | Year ended 10/31/20 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 184,117 | $1,012,568 | 170,072 | $802,998 | |
Class B | 5,290 | 31,055 | 3,402 | 16,500 | |
Class C | 40,235 | 233,081 | 94,716 | 387,178 | |
Class I | 574,053 | 3,158,352 | 147,869 | 714,793 | |
Class R2 | — | (1) | — | — | |
Class R6 | 5,658,618 | 29,496,159 | 35,775,424 | 162,183,709 | |
6,462,313 | $33,931,214 | 36,191,483 | $164,105,178 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Class A | 1,886 | $9,485 | 1,116 | $5,752 | |
Class B | 20 | 98 | 80 | 415 | |
Class C | 115 | 578 | 198 | 1,006 | |
Class I | 983 | 4,956 | 486 | 2,528 | |
Class R1 | — | — | 80 | 421 | |
Class R2 | 42 | 208 | 126 | 659 | |
Class R3 | 63 | 315 | 150 | 779 | |
Class R4 | 83 | 424 | 174 | 899 | |
Class R6 | 1,385,745 | 6,984,157 | 2,305,353 | 11,987,833 | |
1,388,937 | $7,000,221 | 2,307,763 | $12,000,292 |
Six months ended 4/30/21 | Year ended 10/31/20 | ||||
Shares | Amount | Shares | Amount | ||
Shares reacquired | |||||
Class A | (7,864) | $(44,343) | (16,587) | $(78,603) | |
Class B | (5,585) | (31,561) | (38) | (188) | |
Class C | (3,974) | (31,561) | (21,829) | (103,890) | |
Class I | (9,228) | (51,546) | (70,889) | (343,471) | |
Class R6 | (9,226,238) | (51,362,723) | (13,539,794) | (63,291,440) | |
(9,252,889) | $(51,521,734) | (13,649,137) | $(63,817,592) | ||
Net change | |||||
Class A | 178,139 | $977,710 | 154,601 | $730,147 | |
Class B | (275) | (408) | 3,444 | 16,727 | |
Class C | 36,376 | 202,098 | 73,085 | 284,294 | |
Class I | 565,808 | 3,111,762 | 77,466 | 373,850 | |
Class R1 | — | — | 80 | 421 | |
Class R2 | 42 | 207 | 126 | 659 | |
Class R3 | 63 | 315 | 150 | 779 | |
Class R4 | 83 | 424 | 174 | 899 | |
Class R6 | (2,181,875) | (14,882,407) | 24,540,983 | 110,880,102 | |
(1,401,639) | $(10,590,299) | 24,850,109 | $112,287,878 |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $60,805,580 | $290,227,508 | $216,739,635 | $— | $— | $134,293,453 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $35,709 | $— |
Strategy Fund
Strategy Fund
1 | |
2 | |
4 | |
6 | |
39 | |
41 | |
43 | |
44 | |
53 | |
72 | |
73 | |
73 | |
73 | |
73 | |
73 |
back cover |
Derivative Overlay Positions (b) | |||||
Active Security Selection (a) | Long | Short | Net Market Exposure (c) | ||
Fixed Income | U.S. | 11.8% | 43.5% | (8.0)% | 47.3% |
Asia/Pacific ex-Japan | 0.7% | 4.9% | 0.0% | 5.6% | |
North America ex-U.S. | 0.6% | 4.1% | 0.0% | 4.7% | |
Emerging Markets | 1.0% | 0.0% | 0.0% | 1.0% | |
Developed - Middle East/Africa | 0.1% | 0.0% | 0.0% | 0.1% | |
United Kingdom | 1.2% | 0.0% | (2.1)% | (0.9)% | |
Japan | 0.1% | 0.0% | (7.7)% | (7.6)% | |
Europe ex-U.K. | 1.9% | 0.0% | (11.0)% | (9.1)% | |
Equity | Europe ex-U.K. | 11.1% | 7.2% | (3.1)% | 15.2% |
U.S. Large Cap | 33.0% | 0.0% | (25.6)% | 7.4% | |
Emerging Markets | 3.1% | 6.0% | (5.1)% | 4.0% | |
U.S. Small/Mid Cap | 18.0% | 0.0% | (15.8)% | 2.2% | |
Japan | 3.3% | 0.0% | (1.4)% | 1.9% | |
United Kingdom | 2.9% | 0.0% | (2.7)% | 0.2% | |
Developed - Middle East/Africa | 0.1% | 0.0% | 0.0% | 0.1% | |
North America ex-U.S. | 1.8% | 0.0% | (2.6)% | (0.8)% | |
Asia/Pacific ex-Japan | 1.5% | 2.4% | (4.7)% | (0.8)% | |
Cash | Cash & Cash Equivalents (d) | 5.9% | |||
Other (e) | 23.6% |
USD Interest Rate Swap, Receive 0.247% - JUN 2022 | 28.2% |
USD Interest Rate Swap, Receive 1.582% - NOV 2024 | 11.6% |
Australian Note 10 yr Future - JUN 2021 | 4.9% |
S&P/ASX 200 Index Future - JUN 2021 | (4.7)% |
USD Interest Rate Swap, Pay 1.7% - NOV 2029 | (5.7)% |
Japan Government Bond 10 yr Future - JUN 2021 | (7.6)% |
Russell 2000 Index Future - JUN 2021 | (7.7)% |
S&P MidCap 400 Index Future - JUN 2021 | (8.1)% |
Euro-Bund 10 yr Future - JUN 2021 | (10.9)% |
S&P 500 E-Mini Index - JUN 2021 | (25.6)% |
(a) | Represents the actively managed portion of the portfolio and for purposes of this presentation, components include the value of securities, less any securities sold short. The bond component will include any accrued interest amounts. This also reflects the equivalent exposure of certain derivative positions. These amounts may be negative from time to time. |
(b) | Represents the tactical overlay portion of the portfolio which is how the fund manages its exposure to markets and currencies through the use of derivative positions. Percentages reflect the equivalent exposure of those derivative positions. |
(c) | For purposes of this presentation, the components include the value of securities, less any securities sold short, and reflect the impact of the equivalent exposure of all derivative positions. These amounts may be negative from time to time. The bond component will include any accrued interest amounts. |
(d) | Cash & Cash Equivalents includes any cash, investments in money market funds, short-term securities, and other assets less liabilities. Please see the Statement of Assets and Liabilities for additional information related to the fund’s cash position and other assets and liabilities. |
(e) | Other includes currency derivatives and/or the offsetting of the leverage produced by the fund’s derivative positions, including payables and/or receivables of the finance leg of interest rate swaps and the unrealized gain or loss in connection with forward currency exchange contracts. |
November 1, 2020 through April 30, 2021
Share Class | Annualized Expense Ratio | Beginning Account Value 11/01/20 | Ending Account Value 4/30/21 | Expenses Paid During Period (p) 11/01/20-4/30/21 | |
A | Actual | 1.30% | $1,000.00 | $1,052.42 | $6.62 |
Hypothetical (h) | 1.30% | $1,000.00 | $1,018.35 | $6.51 | |
B | Actual | 2.05% | $1,000.00 | $1,047.53 | $10.41 |
Hypothetical (h) | 2.05% | $1,000.00 | $1,014.63 | $10.24 | |
C | Actual | 2.05% | $1,000.00 | $1,047.35 | $10.41 |
Hypothetical (h) | 2.05% | $1,000.00 | $1,014.63 | $10.24 | |
I | Actual | 1.05% | $1,000.00 | $1,052.84 | $5.34 |
Hypothetical (h) | 1.05% | $1,000.00 | $1,019.59 | $5.26 | |
R1 | Actual | 2.05% | $1,000.00 | $1,048.07 | $10.41 |
Hypothetical (h) | 2.05% | $1,000.00 | $1,014.63 | $10.24 | |
R2 | Actual | 1.55% | $1,000.00 | $1,049.72 | $7.88 |
Hypothetical (h) | 1.55% | $1,000.00 | $1,017.11 | $7.75 | |
R3 | Actual | 1.30% | $1,000.00 | $1,051.79 | $6.61 |
Hypothetical (h) | 1.30% | $1,000.00 | $1,018.35 | $6.51 | |
R4 | Actual | 1.05% | $1,000.00 | $1,053.05 | $5.34 |
Hypothetical (h) | 1.05% | $1,000.00 | $1,019.59 | $5.26 | |
R6 | Actual | 0.96% | $1,000.00 | $1,053.58 | $4.89 |
Hypothetical (h) | 0.96% | $1,000.00 | $1,020.03 | $4.81 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – 74.7% | ||||
Aerospace & Defense – 1.1% | ||||
CACI International, Inc., “A” (a) | 687 | $ 175,089 | ||
Honeywell International, Inc. | 2,241 | 499,832 | ||
KBR, Inc. | 4,369 | 172,838 | ||
Kratos Defense & Security Solutions, Inc. (a) | 945 | 25,269 | ||
L3Harris Technologies, Inc. | 524 | 109,636 | ||
Leidos Holdings, Inc. | 1,381 | 139,868 | ||
MTU Aero Engines Holding AG | 179 | 45,171 | ||
Northrop Grumman Corp. | 1,243 | 440,569 | ||
PAE, Inc. (a) | 6,240 | 55,973 | ||
Raytheon Technologies Corp. | 576 | 47,946 | ||
Rolls-Royce Holdings PLC (a) | 134,594 | 194,469 | ||
Singapore Technologies Engineering Ltd. | 26,900 | 78,027 | ||
$1,984,687 | ||||
Airlines – 0.1% | ||||
Alaska Air Group, Inc. (a) | 595 | $ 41,138 | ||
Delta Air Lines, Inc. (a) | 518 | 24,305 | ||
JetBlue Airways Corp. (a) | 3,359 | 68,389 | ||
Ryanair Holdings PLC, ADR (a) | 273 | 31,900 | ||
$165,732 | ||||
Alcoholic Beverages – 1.0% | ||||
China Resources Beer Holdings Co. Ltd. | 28,000 | $ 226,192 | ||
Compania Cervecerias Unidas S.A., ADR | 3,089 | 56,621 | ||
Constellation Brands, Inc., “A” | 134 | 32,203 | ||
Diageo PLC | 9,718 | 436,318 | ||
Heineken N.V. | 1,346 | 156,062 | ||
Pernod Ricard S.A. | 4,406 | 904,217 | ||
$1,811,613 | ||||
Apparel Manufacturers – 1.1% | ||||
Adidas AG | 312 | $ 96,345 | ||
Burberry Group PLC (a) | 1,084 | 30,854 | ||
Compagnie Financiere Richemont S.A. | 2,192 | 224,757 | ||
LVMH Moet Hennessy Louis Vuitton SE | 1,434 | 1,079,585 | ||
NIKE, Inc., “B” | 1,751 | 232,218 | ||
PVH Corp. (a) | 868 | 98,240 | ||
Skechers USA, Inc., “A” (a) | 4,276 | 207,343 | ||
$1,969,342 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Automotive – 0.6% | ||||
Bridgestone Corp. | 600 | $ 24,030 | ||
Continental AG | 419 | 56,742 | ||
Copart, Inc. (a) | 1,449 | 180,415 | ||
Ford Motor Co. (a) | 12,044 | 138,988 | ||
Koito Manufacturing Co. Ltd. | 1,100 | 68,542 | ||
Lear Corp. | 361 | 66,366 | ||
LKQ Corp. (a) | 3,212 | 150,033 | ||
Methode Electronics, Inc. | 1,243 | 55,848 | ||
NGK Spark Plug Co. Ltd | 3,100 | 51,738 | ||
Stanley Electric Co. Ltd. | 2,600 | 74,462 | ||
Stoneridge, Inc. (a) | 738 | 24,538 | ||
Tesla, Inc. (a) | 168 | 119,186 | ||
Toyota Industries Corp. | 800 | 64,050 | ||
USS Co. Ltd. | 1,200 | 21,751 | ||
Visteon Corp. (a) | 471 | 57,372 | ||
$1,154,061 | ||||
Biotechnology – 0.9% | ||||
Abcam PLC (a) | 2,255 | $ 47,586 | ||
Adaptive Biotechnologies Corp. (a) | 1,457 | 60,611 | ||
AlloVir, Inc. (a) | 773 | 18,266 | ||
Amicus Therapeutics, Inc. (a) | 1,577 | 15,518 | ||
Berkeley Lights, Inc. (a) | 371 | 18,220 | ||
BioAtla, Inc. (a) | 522 | 25,886 | ||
Biogen, Inc. (a) | 802 | 214,399 | ||
BioXcel Therapeutics, Inc. (a) | 371 | 12,603 | ||
BridgeBio Pharma, Inc. (a) | 549 | 30,700 | ||
Illumina, Inc. (a) | 65 | 25,534 | ||
Immunocore Holdings PLC, ADR (a) | 121 | 4,883 | ||
Incyte Corp. (a) | 2,868 | 244,870 | ||
Morphosys AG, ADR (a) | 827 | 19,807 | ||
Neurocrine Biosciences, Inc. (a) | 180 | 17,008 | ||
Novozymes A/S | 4,624 | 329,154 | ||
Olink Holding AB (a) | 499 | 17,565 | ||
Prelude Therapeutics, Inc. (a) | 470 | 19,477 | ||
Recursion Pharmaceuticals, Inc. (a) | 1,087 | 36,306 | ||
Regeneron Pharmaceuticals, Inc. (a) | 192 | 92,409 | ||
Sana Biotechnology, Inc. (a) | 607 | 13,050 | ||
Vertex Pharmaceuticals, Inc. (a) | 1,854 | 404,543 | ||
$1,668,395 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Broadcasting – 0.3% | ||||
Discovery Communications, Inc., “C” (a) | 1,814 | $ 58,610 | ||
Netflix, Inc. (a)(f) | 889 | 456,475 | ||
$515,085 | ||||
Brokerage & Asset Managers – 1.4% | ||||
Apollo Global Management, Inc. | 1,050 | $ 58,139 | ||
ASX Ltd. | 1,461 | 82,138 | ||
BlackRock, Inc. (f) | 500 | 409,650 | ||
Cboe Global Markets, Inc. | 611 | 63,770 | ||
Charles Schwab Corp. | 1,183 | 83,283 | ||
Computershare Ltd. | 9,068 | 98,636 | ||
Daiwa Securities Group, Inc. | 18,700 | 99,600 | ||
Euronext N.V. | 763 | 76,779 | ||
Focus Financial Partners, “A” (a) | 1,808 | 85,084 | ||
GCM Grosvenor, Inc. | 1,511 | 19,930 | ||
GCM Grosvenor, Inc. (PIPE) (a)(zz) | 2,498 | 32,949 | ||
Hamilton Lane, Inc., “A” | 427 | 38,622 | ||
Hong Kong Exchanges & Clearing Ltd. | 1,300 | 78,659 | ||
NASDAQ, Inc. (f) | 4,345 | 701,891 | ||
Omni Bridgeway Ltd. | 26,082 | 75,346 | ||
Raymond James Financial, Inc. | 1,937 | 253,321 | ||
Schroders PLC | 2,315 | 115,353 | ||
TMX Group Ltd. | 279 | 30,745 | ||
WisdomTree Investments, Inc. | 9,747 | 66,133 | ||
$2,470,028 | ||||
Business Services – 3.8% | ||||
Accenture PLC, “A” | 2,773 | $ 804,087 | ||
Amdocs Ltd. | 818 | 62,773 | ||
Cancom SE | 1,024 | 63,230 | ||
Clarivate PLC (a) | 10,669 | 297,985 | ||
Cognizant Technology Solutions Corp., “A” | 1,767 | 142,067 | ||
CoStar Group, Inc. (a) | 358 | 305,886 | ||
Doshisha Co. Ltd. | 4,100 | 69,027 | ||
Endava PLC, ADR (a) | 756 | 68,448 | ||
Equifax, Inc. | 2,382 | 546,026 | ||
EVO Payments, Inc., “A” (a) | 1,981 | 56,478 | ||
ExlService Holdings, Inc. (a) | 771 | 71,225 | ||
Experian PLC | 4,003 | 154,351 | ||
Fidelity National Information Services, Inc. | 429 | 65,594 | ||
Fiserv, Inc. (a)(f) | 4,117 | 494,534 | ||
Global Payments, Inc. | 1,826 | 391,914 | ||
Intertek Group PLC | 1,938 | 164,282 | ||
Keywords Studios PLC (a) | 1,854 | 69,286 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Business Services – continued | ||||
MSCI, Inc. | 1,130 | $ 548,920 | ||
Nomura Research Institute Ltd. | 5,600 | 172,422 | ||
Nuvei Corp. (a) | 1,640 | 114,439 | ||
Paya, Inc. (a) | 2,524 | 28,168 | ||
PayPal Holdings, Inc. (a)(f) | 4,530 | 1,188,174 | ||
Proofpoint, Inc. (a) | 277 | 47,675 | ||
SGS S.A. | 73 | 215,823 | ||
Stamps.com, Inc. (a) | 543 | 111,516 | ||
Syneos Health, Inc. (a) | 1,127 | 95,626 | ||
TriNet Group, Inc. (a) | 646 | 50,847 | ||
Verisk Analytics, Inc., “A” | 1,845 | 347,229 | ||
WNS (Holdings) Ltd., ADR (a) | 1,301 | 94,231 | ||
$6,842,263 | ||||
Cable TV – 0.9% | ||||
Cable One, Inc. | 11 | $ 19,690 | ||
Charter Communications, Inc., “A” (a) | 1,575 | 1,060,684 | ||
Comcast Corp., “A” (f) | 9,950 | 558,693 | ||
Liberty Broadband Corp. (a) | 342 | 55,650 | ||
$1,694,717 | ||||
Chemicals – 0.6% | ||||
Celanese Corp. | 371 | $ 58,117 | ||
Eastman Chemical Co. | 1,973 | 227,664 | ||
Element Solutions, Inc. | 3,696 | 80,869 | ||
FMC Corp. | 522 | 61,721 | ||
Givaudan S.A. | 135 | 565,278 | ||
Ingevity Corp. (a) | 865 | 67,539 | ||
$1,061,188 | ||||
Computer Software – 6.7% | ||||
8x8, Inc. (a) | 2,224 | $ 73,147 | ||
ACI Worldwide, Inc. (a) | 597 | 22,555 | ||
Adobe Systems, Inc. (a) | 2,020 | 1,026,847 | ||
Alkami Technology, Inc. (a) | 213 | 10,158 | ||
ANSYS, Inc. (a) | 1,398 | 511,193 | ||
Asana, Inc. (a) | 929 | 30,954 | ||
Atlassian Corp. PLC, “A” (a) | 113 | 26,844 | ||
Autodesk, Inc. (a) | 1,016 | 296,581 | ||
Avalara, Inc. (a) | 159 | 22,532 | ||
Black Knight, Inc. (a) | 1,463 | 105,950 | ||
Cadence Design Systems, Inc. (a)(f) | 8,599 | 1,133,090 | ||
Citrix Systems, Inc. | 865 | 107,130 | ||
Cognyte Software, Ltd. (a) | 189 | 4,939 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Computer Software – continued | ||||
Computer Modelling Group Ltd. | 28,319 | $ 126,256 | ||
Coupa Software, Inc. (a) | 341 | 91,743 | ||
CrowdStrike Holdings, Inc. (a) | 1,956 | 407,846 | ||
Dassault Systemes S.A. | 3,101 | 719,352 | ||
DocuSign, Inc. (a) | 534 | 119,050 | ||
DoubleVerify Holdings, Inc. (a) | 902 | 31,759 | ||
Eventbrite, Inc. (a) | 4,612 | 108,705 | ||
Everbridge, Inc. (a) | 526 | 69,805 | ||
McAfee Corp. | 1,079 | 26,198 | ||
Microsoft Corp. (f)(s) | 15,237 | 3,842,467 | ||
nCino, Inc. (a) | 364 | 23,802 | ||
OBIC Co. Ltd. | 1,300 | 251,340 | ||
Okta, Inc. (a) | 415 | 111,926 | ||
Open Lending Corp., “A” (a) | 1,373 | 53,616 | ||
Oracle Corp. (f) | 13,833 | 1,048,403 | ||
Pagerduty, Inc. (a) | 1,126 | 47,810 | ||
Paylocity Holding Corp. (a) | 208 | 40,194 | ||
Ping Identity Holding Corp. (a) | 2,022 | 49,094 | ||
RingCentral, Inc. (a) | 300 | 95,685 | ||
salesforce.com, inc. (a) | 392 | 90,285 | ||
SAP SE | 4,425 | 621,158 | ||
Synopsys, Inc. (a) | 1,415 | 349,590 | ||
VeriSign, Inc. (a)(f) | 718 | 157,077 | ||
VERTEX, Inc. (a) | 2,465 | 50,360 | ||
Zendesk, Inc. (a) | 198 | 28,938 | ||
Zoom Video Communications, Inc. (a) | 533 | 170,331 | ||
Zscaler, Inc. (a) | 346 | 64,923 | ||
$12,169,633 | ||||
Computer Software - Systems – 3.2% | ||||
Alten S.A. | 749 | $ 93,741 | ||
Amadeus IT Group S.A. (a) | 6,876 | 468,720 | ||
Apple, Inc. (f) | 17,162 | 2,256,117 | ||
Constellation Software, Inc. | 66 | 96,863 | ||
EMIS Group PLC | 4,960 | 83,981 | ||
EPAM Systems, Inc. (a) | 765 | 350,179 | ||
Fujitsu Ltd. | 600 | 95,553 | ||
Hitachi Ltd. | 15,700 | 773,005 | ||
HP, Inc. | 4,173 | 142,341 | ||
Kinaxis, Inc. (a) | 1,245 | 160,584 | ||
NICE Systems Ltd., ADR (a) | 517 | 124,716 | ||
Q2 Holdings, Inc. (a) | 923 | 96,010 | ||
Rapid7, Inc. (a) | 1,182 | 96,037 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Computer Software - Systems – continued | ||||
Samsung Electronics Co. Ltd. | 930 | $ 68,140 | ||
ServiceNow, Inc. (a) | 614 | 310,911 | ||
Temenos AG | 428 | 62,847 | ||
TransUnion | 2,902 | 303,520 | ||
Venture Corp. Ltd. | 9,700 | 146,876 | ||
Verint Systems, Inc. (a) | 1,643 | 79,801 | ||
Zebra Technologies Corp., “A” (a) | 173 | 84,379 | ||
$5,894,321 | ||||
Conglomerates – 0.1% | ||||
Ansell Ltd. | 4,744 | $ 154,441 | ||
DCC PLC | 1,245 | 108,047 | ||
$262,488 | ||||
Construction – 1.5% | ||||
Armstrong World Industries, Inc. | 564 | $ 58,459 | ||
AvalonBay Communities, Inc., REIT | 70 | 13,440 | ||
AZEK Co. LLC (a) | 1,895 | 91,491 | ||
Builders FirstSource, Inc. (a) | 1,531 | 74,514 | ||
Fortune Brands Home & Security, Inc. | 519 | 54,485 | ||
GMS, Inc. (a) | 952 | 41,612 | ||
Lennar Corp. | 1,517 | 157,161 | ||
Masco Corp. | 1,493 | 95,373 | ||
Mid-America Apartment Communities, Inc., REIT | 401 | 63,089 | ||
Otis Worldwide Corp. | 404 | 31,459 | ||
Pool Corp. | 275 | 116,193 | ||
Pulte Homes, Inc. | 3,216 | 190,130 | ||
Sherwin-Williams Co. (f) | 2,538 | 695,082 | ||
Stanley Black & Decker, Inc. | 426 | 88,084 | ||
Techtronic Industries Co. Ltd. | 6,500 | 118,490 | ||
Toll Brothers, Inc. (f) | 5,732 | 359,396 | ||
Trex Co., Inc. (a) | 397 | 42,872 | ||
TS Innovation Acquisitions Corp. (SPAC) (a) | �� | 3,461 | 35,406 | |
Vulcan Materials Co. | 2,387 | 425,459 | ||
$2,752,195 | ||||
Consumer Products – 2.2% | ||||
Colgate-Palmolive Co. (f) | 7,049 | $ 568,854 | ||
Energizer Holdings, Inc. | 1,857 | 91,550 | ||
Estee Lauder Cos., Inc., “A” | 709 | 222,484 | ||
Kao Corp. | 4,900 | 314,158 | ||
Kimberly-Clark Corp. | 231 | 30,797 | ||
Kobayashi Pharmaceutical Co. Ltd. | 7,500 | 669,091 | ||
L’Oréal S.A. | 2,014 | 827,248 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Consumer Products – continued | ||||
Newell Brands, Inc. | 3,106 | $ 83,738 | ||
Prestige Brands Holdings, Inc. (a) | 1,332 | 58,022 | ||
Procter & Gamble Co. | 823 | 109,805 | ||
Reckitt Benckiser Group PLC | 9,120 | 812,515 | ||
Reynolds Consumer Products, Inc. | 941 | 27,590 | ||
Scotts Miracle-Gro Co. | 614 | 141,932 | ||
$3,957,784 | ||||
Consumer Services – 0.5% | ||||
51job, Inc., ADR (a) | 400 | $ 24,620 | ||
Asante, Inc. | 4,400 | 72,830 | ||
Boyd Group Services, Inc. | 199 | 36,960 | ||
Bright Horizons Family Solutions, Inc. (a) | 1,275 | 184,658 | ||
BrightView Holdings, Inc. (a) | 1,433 | 25,694 | ||
Carsales.com Ltd. | 1,316 | 20,164 | ||
Grand Canyon Education, Inc. (a) | 1,047 | 113,380 | ||
MakeMyTrip Ltd. (a) | 3,443 | 94,407 | ||
Meitec Corp. | 1,800 | 99,973 | ||
Naspers Ltd. | 213 | 48,620 | ||
Persol Holdings Co. Ltd. | 1,100 | 20,221 | ||
Regis Corp. (a) | 2,528 | 32,712 | ||
Seek Ltd. | 906 | 21,615 | ||
Uber Technologies, Inc. (a) | 1,908 | 104,501 | ||
$900,355 | ||||
Containers – 0.7% | ||||
Berry Global, Inc. (a) | 2,120 | $ 134,874 | ||
Brambles Ltd. | 7,993 | 64,037 | ||
Gerresheimer AG | 1,581 | 170,023 | ||
Graphic Packaging Holding Co. | 24,011 | 445,404 | ||
Owens Corning | 1,088 | 105,329 | ||
Pactiv Evergreen, Inc. | 3,509 | 51,652 | ||
SIG Combibloc Group AG | 5,025 | 123,032 | ||
Silgan Holdings, Inc. | 976 | 41,158 | ||
WestRock Co. | 1,062 | 59,207 | ||
$1,194,716 | ||||
Electrical Equipment – 1.9% | ||||
Advanced Drainage Systems, Inc. | 266 | $ 29,702 | ||
AMETEK, Inc. | 1,247 | 168,258 | ||
Generac Holdings, Inc. (a) | 204 | 66,086 | ||
Halma PLC | 23,217 | 829,812 | ||
Johnson Controls International PLC | 2,057 | 128,233 | ||
Legrand S.A. | 1,064 | 103,615 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Electrical Equipment – continued | ||||
Littlefuse, Inc. | 101 | $ 26,789 | ||
nVent Electric PLC | 1,456 | 44,335 | ||
Rockwell Automation, Inc. | 1,116 | 294,914 | ||
Schneider Electric SE | 7,152 | 1,143,772 | ||
Sensata Technologies Holding PLC (a) | 2,512 | 145,043 | ||
Spectris PLC | 5,045 | 226,719 | ||
TE Connectivity Ltd. | 505 | 67,907 | ||
TriMas Corp. (a) | 1,598 | 50,880 | ||
WESCO International, Inc. (a) | 604 | 55,399 | ||
$3,381,464 | ||||
Electronics – 3.5% | ||||
Advanced Energy Industries, Inc. | 630 | $ 69,495 | ||
Analog Devices, Inc. | 2,979 | 456,264 | ||
Applied Materials, Inc. | 550 | 72,991 | ||
ASM International N.V. | 722 | 219,523 | ||
ASM Pacific Technology Ltd. | 5,100 | 77,343 | ||
Broadcom, Inc. | 286 | 130,473 | ||
Corning, Inc. | 1,005 | 44,431 | ||
Entegris, Inc. | 1,570 | 176,751 | ||
Intel Corp. (f) | 17,555 | 1,009,939 | ||
Kyocera Corp. | 900 | 54,656 | ||
Lam Research Corp. | 82 | 50,877 | ||
Marvell Technology, Inc. | 1,237 | 55,925 | ||
Monolithic Power Systems, Inc. | 706 | 255,134 | ||
nLIGHT, Inc. (a) | 577 | 16,929 | ||
NVIDIA Corp. | 1,582 | 949,801 | ||
NXP Semiconductors N.V. | 1,046 | 201,365 | ||
ON Semiconductor Corp. (a) | 577 | 22,503 | ||
Plexus Corp. (a) | 744 | 68,775 | ||
Silicon Laboratories, Inc. (a) | 295 | 41,580 | ||
Silicon Motion Technology Corp., ADR | 1,877 | 134,806 | ||
Taiwan Semiconductor Manufacturing Co. Ltd. | 3,654 | 79,182 | ||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 13,472 | 1,572,721 | ||
Texas Instruments, Inc. (f) | 2,903 | 524,021 | ||
$6,285,485 | ||||
Energy - Independent – 0.6% | ||||
Cabot Oil & Gas Corp. | 1,583 | $ 26,389 | ||
ConocoPhillips | 769 | 39,327 | ||
Devon Energy Corp. | 2,763 | 64,599 | ||
Diamondback Energy, Inc. | 696 | 56,884 | ||
Hess Corp. | 616 | 45,898 | ||
Magnolia Oil & Gas Corp., “A” (a) | 4,666 | 52,539 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Energy - Independent – continued | ||||
Oil Search Ltd. | 12,765 | $ 37,367 | ||
Pioneer Natural Resources Co. | 540 | 83,068 | ||
Reliance Industries Ltd. | 15,048 | 405,187 | ||
Valero Energy Corp. | 4,262 | 315,218 | ||
Viper Energy Partners LP | 2,154 | 38,794 | ||
$1,165,270 | ||||
Energy - Integrated – 0.2% | ||||
Cairn Energy PLC | 12,711 | $ 29,808 | ||
Eni S.p.A. | 3,742 | 44,673 | ||
Exxon Mobil Corp. | 2,920 | 167,141 | ||
Galp Energia SGPS S.A. | 5,521 | 63,787 | ||
Idemitsu Kosan Co. Ltd. | 2,000 | 47,891 | ||
$353,300 | ||||
Engineering - Construction – 0.2% | ||||
APi Group, Inc. (a) | 2,664 | $ 56,636 | ||
Quanta Services, Inc. | 3,573 | 345,295 | ||
$401,931 | ||||
Entertainment – 0.0% | ||||
IMAX Corp. (a) | 1,309 | $ 26,991 | ||
Manchester United PLC, “A” | 3,353 | 59,449 | ||
$86,440 | ||||
Food & Beverages – 2.3% | ||||
Archer Daniels Midland Co. | 705 | $ 44,507 | ||
Britvic PLC | 6,866 | 83,681 | ||
Chocoladefabriken Lindt & Sprungli AG | 39 | 361,708 | ||
Coca-Cola European Partners PLC | 816 | 46,365 | ||
Danone S.A. | 1,228 | 86,559 | ||
Duckhorn Portfolio, Inc. (a) | 2,708 | 50,667 | ||
Hostess Brands, Inc. (a) | 4,045 | 61,848 | ||
Ingredion, Inc. | 380 | 35,496 | ||
J.M. Smucker Co. | 335 | 43,882 | ||
Kellogg Co. | 774 | 48,313 | ||
Laird Superfood, Inc. (a) | 316 | 11,537 | ||
Mondelez International, Inc. | 3,028 | 184,133 | ||
Morinaga & Co. Ltd. | 2,600 | 86,595 | ||
Nestle S.A. | 13,566 | 1,617,373 | ||
Nestle S.A., ADR | 3,571 | 426,842 | ||
Nomad Foods Ltd. (a) | 1,495 | 43,594 | ||
PepsiCo, Inc. | 359 | 51,753 | ||
S Foods, Inc. | 3,300 | 98,133 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Food & Beverages – continued | ||||
Sanderson Farms, Inc. | 198 | $ 32,577 | ||
Toyo Suisan Kaisha Ltd. | 6,900 | 281,266 | ||
Tyson Foods, Inc., “A” | 6,642 | 514,423 | ||
$4,211,252 | ||||
Food & Drug Stores – 0.4% | ||||
Albertsons Cos., Inc., “A” | 1,892 | $ 35,134 | ||
JM Holdings Co. Ltd. | 3,600 | 67,955 | ||
Kroger Co. | 3,866 | 141,264 | ||
Patlac Corp. | 1,800 | 93,714 | ||
Sugi Holdings Co. Ltd. | 500 | 38,430 | ||
Sundrug Co. Ltd. | 3,100 | 105,659 | ||
Wal-Mart Stores, Inc. | 1,469 | 205,528 | ||
$687,684 | ||||
Forest & Paper Products – 0.0% | ||||
Suzano Papel e Celulose S.A., ADR (a) | 4,346 | $ 55,107 | ||
Gaming & Lodging – 0.5% | ||||
Flutter Entertainment PLC (a) | 3,150 | $ 645,585 | ||
International Game Technology PLC (a) | 2,562 | 44,118 | ||
Penn National Gaming, Inc. (a) | 364 | 32,440 | ||
Tabcorp Holdings Ltd. | 25,560 | 97,860 | ||
Wyndham Hotels & Resorts, Inc. | 1,275 | 93,215 | ||
$913,218 | ||||
General Merchandise – 0.2% | ||||
B&M European Value Retail S.A. | 13,023 | $ 101,761 | ||
Dollar General Corp. | 233 | 50,037 | ||
Dollar Tree, Inc. (a) | 275 | 31,598 | ||
Dollarama, Inc. | 3,774 | 175,873 | ||
Ollie's Bargain Outlet Holdings, Inc. (a) | 226 | 20,853 | ||
$380,122 | ||||
Health Maintenance Organizations – 0.4% | ||||
Cigna Corp. (f) | 2,542 | $ 632,983 | ||
Humana, Inc. | 291 | 129,565 | ||
$762,548 | ||||
Insurance – 2.8% | ||||
AIA Group Ltd. | 70,600 | $ 898,888 | ||
Allstate Corp. | 2,332 | 295,698 | ||
American International Group, Inc. | 715 | 34,642 | ||
Aon PLC | 2,465 | 619,800 | ||
Arthur J. Gallagher & Co. | 1,676 | 242,936 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Insurance – continued | ||||
Assurant, Inc. | 407 | $ 63,329 | ||
Athene Holding Ltd. (a) | 881 | 52,569 | ||
Beazley PLC (a) | 37,820 | 176,960 | ||
Chubb Ltd. | 2,505 | 429,833 | ||
Cincinnati Financial Corp. | 426 | 48,002 | ||
CNO Financial Group, Inc. | 2,388 | 60,966 | ||
Equitable Holdings, Inc. | 9,668 | 330,936 | ||
Everest Re Group Ltd. | 1,117 | 309,353 | ||
Hanover Insurance Group, Inc. | 595 | 82,295 | ||
Hartford Financial Services Group, Inc. | 1,367 | 90,167 | ||
Hiscox Ltd. (a) | 2,477 | 27,777 | ||
Marsh & McLennan Cos., Inc. | 2,466 | 334,636 | ||
MetLife, Inc. (f) | 9,321 | 593,095 | ||
Metromile, Inc. (a) | 4,519 | 42,072 | ||
Reinsurance Group of America, Inc. | 608 | 79,362 | ||
Selective Insurance Group, Inc. | 546 | 41,572 | ||
SiriusPoint Ltd. (a) | 2,480 | 26,238 | ||
Willis Towers Watson PLC | 252 | 65,233 | ||
Zurich Insurance Group AG | 212 | 86,982 | ||
$5,033,341 | ||||
Internet – 3.8% | ||||
Alphabet, Inc., “A” (a) | 738 | $ 1,736,883 | ||
Alphabet, Inc., “C” (a) | 755 | 1,819,640 | ||
Facebook, Inc., “A” (a)(f) | 4,314 | 1,402,395 | ||
IAC/InterActiveCorp (a) | 683 | 173,120 | ||
Match Group, Inc. (a) | 2,065 | 321,376 | ||
Naver Corp. | 1,598 | 516,457 | ||
NetEase.com, Inc., ADR | 1,130 | 126,628 | ||
Scout24 AG | 661 | 54,945 | ||
Tencent Holdings Ltd. | 9,300 | 745,892 | ||
$6,897,336 | ||||
Leisure & Toys – 0.8% | ||||
Activision Blizzard, Inc. | 3,470 | $ 316,429 | ||
Brunswick Corp. | 851 | 91,168 | ||
Electronic Arts, Inc. | 1,749 | 248,498 | ||
Funko, Inc., “A” (a) | 1,437 | 30,953 | ||
Malibu Boats, Inc., “A” (a) | 671 | 55,935 | ||
Mattel, Inc. (a) | 1,820 | 39,057 | ||
Polaris, Inc. | 1,878 | 262,976 | ||
Take-Two Interactive Software, Inc. (a) | 2,377 | 416,878 | ||
Thule Group AB | 557 | 25,292 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Leisure & Toys – continued | ||||
Yamaha Corp. | 600 | $ 32,666 | ||
$1,519,852 | ||||
Machinery & Tools – 3.5% | ||||
AGCO Corp. (f) | 6,652 | $ 970,659 | ||
Azbil Corp. | 2,000 | 80,886 | ||
BELIMO Holding AG | 368 | 146,676 | ||
Cummins, Inc. | 763 | 192,306 | ||
Daikin Industries Ltd. | 800 | 160,527 | ||
Eaton Corp. PLC | 3,692 | 527,698 | ||
Enerpac Tool Group Corp. | 719 | 19,125 | ||
GEA Group AG | 8,169 | 358,571 | ||
IDEX Corp. | 654 | 146,627 | ||
Illinois Tool Works, Inc. | 2,210 | 509,317 | ||
Ingersoll Rand, Inc. (a) | 1,747 | 86,319 | ||
ITT, Inc. | 721 | 67,997 | ||
Kubota Corp. | 5,200 | 122,280 | ||
Nordson Corp. | 760 | 160,672 | ||
Regal Beloit Corp. | 5,089 | 735,004 | ||
Ritchie Bros. Auctioneers, Inc. | 1,291 | 82,108 | ||
Ritchie Bros. Auctioneers, Inc. | 10,428 | 663,357 | ||
Roper Technologies, Inc. | 549 | 245,096 | ||
Schindler Holding AG | 840 | 238,962 | ||
SMC Corp. | 200 | 116,113 | ||
Spirax-Sarco Engineering PLC | 3,935 | 642,078 | ||
Trane Technologies PLC | 130 | 22,598 | ||
Wabtec Corp. | 491 | 40,296 | ||
$6,335,272 | ||||
Major Banks – 1.6% | ||||
Bank of America Corp. (f) | 16,871 | $ 683,782 | ||
Bank of Ireland Group PLC (a) | 13,993 | 82,130 | ||
Bank of New York Mellon Corp. | 5,511 | 274,889 | ||
BNP Paribas | 2,570 | 164,963 | ||
Capital One Financial Corp. | 837 | 124,780 | ||
Comerica, Inc. | 597 | 44,871 | ||
Credit Suisse Group AG | 4,703 | 49,159 | ||
DBS Group Holdings Ltd. | 4,800 | 107,885 | ||
Goldman Sachs Group, Inc. | 227 | 79,098 | ||
JPMorgan Chase & Co. (f) | 5,442 | 837,034 | ||
KeyCorp | 2,679 | 58,295 | ||
Mitsubishi UFJ Financial Group, Inc. | 15,700 | 83,032 | ||
NatWest Group PLC | 23,309 | 63,287 | ||
PNC Financial Services Group, Inc. | 327 | 61,133 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Major Banks – continued | ||||
State Street Corp. | 505 | $ 42,395 | ||
TCF Financial Corp. | 1,034 | 47,068 | ||
UBS Group AG | 4,760 | 72,579 | ||
$2,876,380 | ||||
Medical & Health Technology & Services – 2.0% | ||||
AmerisourceBergen Corp. | 327 | $ 39,502 | ||
Burning Rock Biotech Ltd. (a) | 3,247 | 99,034 | ||
Certara, Inc. (a) | 2,322 | 73,863 | ||
Charles River Laboratories International, Inc. (a) | 1,000 | 332,450 | ||
CVS Health Corp. (f) | 3,336 | 254,870 | ||
Guardant Health, Inc. (a) | 141 | 22,416 | ||
HCA Healthcare, Inc. | 2,329 | 468,269 | ||
Health Catalyst, Inc. (a) | 431 | 24,955 | ||
HealthEquity, Inc. (a) | 662 | 50,292 | ||
Hogy Medical Co. Ltd. | 3,600 | 108,702 | ||
ICON PLC (a) | 2,440 | 529,358 | ||
IDEXX Laboratories, Inc. (a) | 586 | 321,708 | ||
Laboratory Corp. of America Holdings (a) | 389 | 103,423 | ||
McKesson Corp. | 3,528 | 661,712 | ||
PRA Health Sciences, Inc. (a) | 1,390 | 231,977 | ||
Premier, Inc., “A” | 2,566 | 90,708 | ||
Quest Diagnostics, Inc. | 358 | 47,213 | ||
Universal Health Services, Inc. | 1,323 | 196,346 | ||
$3,656,798 | ||||
Medical Equipment – 2.8% | ||||
Acutus Medical, Inc. (a) | 1,378 | $ 18,810 | ||
Agilent Technologies, Inc. | 986 | 131,769 | ||
Avantor, Inc. (a) | 5,394 | 172,824 | ||
Becton, Dickinson and Co. | 174 | 43,293 | ||
Bio-Techne Corp. | 489 | 209,043 | ||
Boston Scientific Corp. (a) | 5,875 | 256,150 | ||
Danaher Corp. | 1,584 | 402,241 | ||
Dentsply Sirona, Inc. | 728 | 49,147 | ||
EssilorLuxottica | 3,197 | 531,953 | ||
Hologic, Inc. (a) | 204 | 13,372 | ||
Koninklijke Philips N.V. | 2,456 | 138,424 | ||
Maravai Lifesciences Holdings, Inc., “A” (a) | 1,651 | 64,240 | ||
Masimo Corp. (a) | 469 | 109,122 | ||
Medtronic PLC | 5,117 | 669,918 | ||
Merit Medical Systems, Inc. (a) | 345 | 21,942 | ||
Nevro Corp. (a) | 203 | 35,080 | ||
Nihon Kohden Corp. | 2,200 | 66,529 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Medical Equipment – continued | ||||
OptiNose, Inc. (a) | 2,280 | $ 8,140 | ||
Outset Medical, Inc. (a) | 506 | 30,320 | ||
PerkinElmer, Inc. | 1,974 | 255,890 | ||
QIAGEN N.V. (a) | 7,771 | 378,659 | ||
Quidel Corp. (a) | 205 | 21,482 | ||
Shimadzu Corp. | 3,600 | 125,995 | ||
Silk Road Medical, Inc. (a) | 349 | 21,338 | ||
Smith & Nephew PLC | 3,254 | 70,577 | ||
STERIS PLC | 1,088 | 229,590 | ||
Terumo Corp. | 1,500 | 56,711 | ||
Thermo Fisher Scientific, Inc. (f) | 1,792 | 842,652 | ||
West Pharmaceutical Services, Inc. | 339 | 111,368 | ||
Zimmer Biomet Holdings, Inc. | 444 | 78,659 | ||
$5,165,238 | ||||
Metals & Mining – 0.1% | ||||
Arconic Corp. (a) | 1,359 | $ 38,867 | ||
Howmet Aerospace, Inc. (a) | 972 | 31,065 | ||
Kaiser Aluminum Corp. | 172 | 20,721 | ||
$90,653 | ||||
Natural Gas - Distribution – 0.3% | ||||
Atmos Energy Corp. | 256 | $ 26,519 | ||
China Resources Gas Group Ltd. | 10,000 | 54,263 | ||
Italgas S.p.A. | 15,645 | 101,984 | ||
New Jersey Resources Corp. | 1,535 | 64,393 | ||
Sempra Energy | 1,760 | 242,123 | ||
South Jersey Industries, Inc. | 2,597 | 64,276 | ||
$553,558 | ||||
Natural Gas - Pipeline – 0.5% | ||||
APA Group | 4,155 | $ 32,104 | ||
Cheniere Energy, Inc. (a) | 1,292 | 100,156 | ||
Enterprise Products Partners LP | 1,114 | 25,633 | ||
Equitrans Midstream Corp. | 1,016 | 8,291 | ||
ONEOK, Inc. | 4,027 | 210,773 | ||
Plains GP Holdings LP | 8,942 | 83,876 | ||
Targa Resources Corp. | 6,974 | 241,928 | ||
TC Energy Corp. | 981 | 48,533 | ||
Williams Cos., Inc. | 6,021 | 146,672 | ||
$897,966 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Network & Telecom – 0.4% | ||||
CoreSite Realty Corp., REIT | 1,350 | $ 164,011 | ||
Equinix, Inc., REIT | 42 | 30,272 | ||
Motorola Solutions, Inc. | 293 | 55,172 | ||
Palo Alto Networks, Inc. (a) | 255 | 90,114 | ||
QTS Realty Trust, Inc., REIT, “A” | 1,536 | 102,129 | ||
Qualcomm, Inc. | 937 | 130,056 | ||
VTech Holdings Ltd. | 13,600 | 124,747 | ||
$696,501 | ||||
Oil Services – 0.2% | ||||
Baker Hughes Co. | 5,861 | $ 117,689 | ||
ChampionX Corp. (a) | 2,697 | 56,664 | ||
Frank's International N.V. (a) | 7,486 | 24,330 | ||
Halliburton Co. | 1,158 | 22,650 | ||
Schlumberger Ltd. | 4,290 | 116,044 | ||
$337,377 | ||||
Other Banks & Diversified Financials – 3.4% | ||||
Agiliti Health, Inc. (a) | 2,086 | $ 32,104 | ||
AIB Group PLC (a) | 25,587 | 74,875 | ||
Air Lease Corp. | 695 | 32,463 | ||
American Express Co. | 2,176 | 333,690 | ||
Bank of Hawaii Corp. | 627 | 56,988 | ||
Bank OZK | 636 | 26,070 | ||
Brookline Bancorp, Inc. | 3,262 | 52,518 | ||
Cathay General Bancorp, Inc. | 1,975 | 79,948 | ||
Chiba Bank Ltd. | 16,000 | 99,844 | ||
Citigroup, Inc. (f) | 18,666 | 1,329,766 | ||
Credicorp Ltd. (a) | 386 | 46,088 | ||
Discover Financial Services | 578 | 65,892 | ||
East West Bancorp, Inc. | 1,164 | 88,639 | ||
Element Fleet Management Corp. | 7,913 | 96,889 | ||
Encore Capital Group, Inc. (a) | 1,533 | 60,308 | ||
First Hawaiian, Inc. | 2,430 | 66,728 | ||
FTAC Olympus Acquisition Corp. (SPAC) (a) | 4,701 | 47,292 | ||
Genius Sports Ltd. (SPAC) (a) | 3,132 | 66,085 | ||
Grupo Financiero Banorte S.A. de C.V. | 35,129 | 199,863 | ||
Hanmi Financial Corp. | 1,942 | 39,423 | ||
HDFC Bank Ltd. (a) | 4,789 | 91,309 | ||
HDFC Bank Ltd., ADR (a) | 6,129 | 430,746 | ||
Hudson Executive Investment Corp., “A” (SPAC) (a) | 4,531 | 44,947 | ||
ING Groep N.V. | 6,403 | 81,830 | ||
Julius Baer Group Ltd. | 1,157 | 72,872 | ||
KBC Group N.V. | 1,033 | 80,253 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Other Banks & Diversified Financials – continued | ||||
Lakeland Financial Corp. | 764 | $ 49,836 | ||
Macquarie Group Ltd. | 571 | 70,595 | ||
Metropolitan Bank & Trust Co. | 85,017 | 77,689 | ||
Northern Trust Corp. | 847 | 96,389 | ||
Prosperity Bancshares, Inc. | 1,883 | 138,137 | ||
Sandy Spring Bancorp, Inc. | 629 | 28,531 | ||
Signature Bank | 443 | 111,419 | ||
SLM Corp. | 8,087 | 158,990 | ||
SVB Financial Group (a) | 94 | 53,752 | ||
Synchrony Financial | 4,650 | 203,391 | ||
Textainer Group Holdings Ltd. (a) | 2,730 | 69,943 | ||
TPG Pace Tech Opportunities Corp. (SPAC) (a) | 3,802 | 39,313 | ||
Truist Financial Corp. | 2,239 | 132,795 | ||
UMB Financial Corp. | 851 | 82,572 | ||
Umpqua Holdings Corp. | 6,253 | 116,556 | ||
Visa, Inc., “A” (f) | 3,780 | 882,857 | ||
Wintrust Financial Corp. | 1,225 | 94,447 | ||
Zions Bancorp NA | 1,890 | 105,462 | ||
$6,210,104 | ||||
Pharmaceuticals – 2.9% | ||||
Annexon, Inc. (a) | 896 | $ 17,857 | ||
Bayer AG | 4,965 | 321,261 | ||
Bristol-Myers Squibb Co. | 4,155 | 259,355 | ||
Collegium Pharmaceutical, Inc. (a) | 939 | 20,940 | ||
Elanco Animal Health, Inc. (a) | 741 | 23,497 | ||
Eli Lilly & Co. (f) | 3,265 | 596,744 | ||
Harmony Biosciences Holdings (a) | 848 | 24,846 | ||
Johnson & Johnson (f) | 10,698 | 1,740,886 | ||
Kyowa Kirin Co. Ltd. | 3,500 | 106,323 | ||
Merck & Co., Inc. (f) | 4,142 | 308,579 | ||
Novartis AG | 2,324 | 198,389 | ||
Novo Nordisk A.S., “B” | 2,816 | 206,258 | ||
Orchard RX Ltd., ADR (a) | 644 | 3,838 | ||
Roche Holding AG | 2,829 | 921,884 | ||
Santen Pharmaceutical Co. Ltd. | 13,400 | 171,654 | ||
SpringWorks Therapeutics, Inc. (a) | 488 | 35,068 | ||
Turning Point Therapeutics, Inc. (a) | 288 | 21,954 | ||
Viatris, Inc. (a) | 1,733 | 23,049 | ||
Zoetis, Inc. | 1,440 | 249,163 | ||
$5,251,545 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Pollution Control – 0.1% | ||||
GFL Environmental, Inc. | 1,526 | $ 50,251 | ||
Republic Services, Inc. | 511 | 54,319 | ||
U.S. Ecology, Inc. (a) | 886 | 37,620 | ||
$142,190 | ||||
Precious Metals & Minerals – 0.6% | ||||
Agnico-Eagle Mines Ltd. | 7,628 | $ 476,738 | ||
Agnico-Eagle Mines Ltd. | 1,122 | 70,058 | ||
Franco-Nevada Corp. | 2,340 | 325,980 | ||
Wheaton Precious Metals Corp. | 3,566 | 147,932 | ||
$1,020,708 | ||||
Printing & Publishing – 0.2% | ||||
China Literature Ltd. (a) | 12,000 | $ 125,133 | ||
Wolters Kluwer N.V. | 2,777 | 251,266 | ||
$376,399 | ||||
Railroad & Shipping – 0.6% | ||||
Canadian National Railway Co. | 4,485 | $ 482,810 | ||
Canadian Pacific Railway Ltd. | 123 | 45,895 | ||
CSX Corp. | 2,278 | 229,509 | ||
Kansas City Southern Co. | 114 | 33,312 | ||
Sankyu, Inc. | 1,400 | 59,694 | ||
StealthGas, Inc. (a) | 2,275 | 6,370 | ||
Union Pacific Corp. | 1,118 | 248,297 | ||
$1,105,887 | ||||
Real Estate – 2.3% | ||||
Annaly Mortgage Management, Inc., REIT | 1,842 | $ 16,725 | ||
Ascendas Real Estate Investment Trust, REIT | 35,502 | 82,969 | ||
Big Yellow Group PLC, REIT | 2,512 | 41,492 | ||
Boston Properties, Inc., REIT | 213 | 23,292 | ||
Brixmor Property Group, Inc., REIT | 3,866 | 86,366 | ||
Broadstone Net Lease, Inc. | 2,100 | 42,378 | ||
Concentradora Fibra Danhos S.A. de C.V., REIT | 45,350 | 53,550 | ||
Deutsche Wohnen SE | 5,159 | 279,108 | ||
Douglas Emmett, Inc. | 638 | 21,399 | ||
Empire State Realty Trust, REIT, “A” | 3,790 | 43,168 | ||
ESR Cayman Ltd. (a) | 43,400 | 148,340 | ||
Extra Space Storage, Inc., REIT | 1,835 | 272,846 | ||
Grand City Properties S.A. | 4,165 | 111,965 | ||
Hibernia PLC, REIT | 43,610 | 59,666 | ||
Host Hotels & Resorts, Inc., REIT (a) | 2,427 | 44,074 | ||
Industrial Logistics Properties Trust, REIT | 4,314 | 106,987 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Real Estate – continued | ||||
LEG Immobilien AG | 763 | $ 106,134 | ||
Lexington Realty Trust, REIT | 4,123 | 50,466 | ||
Life Storage, Inc., REIT | 1,302 | 125,070 | ||
Mapletree Commercial Trust, REIT | 37,900 | 62,372 | ||
Medical Properties Trust, Inc., REIT | 2,101 | 46,327 | ||
National Storage Affiliates Trust, REIT | 689 | 31,308 | ||
Office Properties Income Trust, REIT | 1,356 | 37,629 | ||
Omega Healthcare Investors, Inc., REIT | 13,195 | 501,410 | ||
Public Storage, Inc., REIT | 1,352 | 380,128 | ||
Spirit Realty Capital, Inc., REIT | 616 | 29,285 | ||
STAG Industrial, Inc., REIT | 6,228 | 227,384 | ||
STORE Capital Corp., REIT | 9,149 | 327,443 | ||
Sun Communities, Inc., REIT | 364 | 60,726 | ||
TAG Immobilien AG | 19,518 | 603,298 | ||
Two Harbors Investment Corp., REIT | 9,717 | 75,793 | ||
VICI Properties, Inc., REIT | 2,070 | 65,619 | ||
W.P. Carey, Inc., REIT | 622 | 46,582 | ||
$4,211,299 | ||||
Restaurants – 0.2% | ||||
Aramark | 1,091 | $ 42,407 | ||
Chipotle Mexican Grill, Inc., “A” (a) | 51 | 76,093 | ||
Domino's Pizza, Inc. | 249 | 105,163 | ||
Performance Food Group Co. (a) | 378 | 22,189 | ||
Starbucks Corp. | 642 | 73,502 | ||
Texas Roadhouse, Inc. | 132 | 14,127 | ||
Wendy's Co. | 1,747 | 39,430 | ||
Yum China Holdings, Inc. | 904 | 56,880 | ||
$429,791 | ||||
Specialty Chemicals – 1.8% | ||||
Air Products & Chemicals, Inc. | 109 | $ 31,444 | ||
Akzo Nobel N.V. | 880 | 105,713 | ||
Ashland Global Holdings, Inc. | 553 | 47,674 | ||
Atotech, Ltd. (a) | 1,874 | 40,422 | ||
Avient Corp. | 1,405 | 71,332 | ||
Axalta Coating Systems Ltd. (a) | 5,434 | 173,290 | ||
Compass Minerals International, Inc. | 681 | 46,254 | ||
Corteva, Inc. | 1,326 | 64,656 | ||
Croda International PLC | 2,036 | 190,191 | ||
Diversey Holdings Ltd. (a) | 2,263 | 40,734 | ||
Dow, Inc. | 1,289 | 80,563 | ||
DuPont de Nemours, Inc. | 1,246 | 96,079 | ||
Ferro Corp. (a) | 7,393 | 123,167 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Specialty Chemicals – continued | ||||
Kansai Paint Co. Ltd. | 5,000 | $ 125,949 | ||
Linde PLC | 3,375 | 964,490 | ||
Nitto Denko Corp. | 900 | 74,609 | ||
Sika AG | 2,014 | 600,727 | ||
Symrise AG | 754 | 97,358 | ||
Tikkurila Oyj | 4,810 | 194,014 | ||
Univar Solutions, Inc. (a) | 3,596 | 83,967 | ||
$3,252,633 | ||||
Specialty Stores – 3.4% | ||||
ACV Auctions, Inc. (a) | 1,490 | $ 50,646 | ||
Amazon.com, Inc. (a)(f)(s) | 899 | 3,117,211 | ||
AutoZone, Inc. (a) | 132 | 193,264 | ||
Best Buy Co., Inc. | 984 | 114,410 | ||
Burlington Stores, Inc. (a) | 548 | 178,829 | ||
Costco Wholesale Corp. | 902 | 335,625 | ||
Home Depot, Inc. | 1,057 | 342,119 | ||
Just Eat Takeaway.com (a) | 925 | 95,746 | ||
Leslie's, Inc. (a) | 3,555 | 101,033 | ||
Lowe's Cos., Inc. | 1,067 | 209,399 | ||
Lululemon Athletica, Inc. (a) | 676 | 226,643 | ||
Ocado Group PLC (a) | 620 | 17,956 | ||
O'Reilly Automotive, Inc. (a) | 221 | 122,187 | ||
Petco Health & Wellness Co., Inc. (a) | 1,682 | 39,729 | ||
Ross Stores, Inc. | 343 | 44,912 | ||
Ryohin Keikaku Co. Ltd. | 3,100 | 65,239 | ||
Target Corp. (f) | 3,277 | 679,191 | ||
ThredUp, Inc. (a) | 1,783 | 30,614 | ||
Ulta Beauty, Inc. (a) | 227 | 74,762 | ||
Urban Outfitters, Inc. (a) | 2,867 | 102,925 | ||
Vroom, Inc. (a) | 933 | 43,170 | ||
Zozo, Inc. | 300 | 10,129 | ||
Zumiez, Inc. (a) | 1,332 | 57,236 | ||
$6,252,975 | ||||
Telecommunications - Wireless – 0.4% | ||||
Advanced Info Service Public Co. Ltd. | 6,300 | $ 34,598 | ||
Cellnex Telecom S.A. | 3,083 | 174,356 | ||
KDDI Corp. | 2,600 | 78,649 | ||
SBA Communications Corp., REIT | 680 | 203,810 | ||
SoftBank Group Corp. | 1,100 | 99,492 | ||
T-Mobile USA, Inc. (a) | 331 | 43,735 | ||
$634,640 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Telephone Services – 0.2% | ||||
Hellenic Telecommunications Organization S.A. | 2,425 | $ 41,137 | ||
Infrastrutture Wireless Italiane S.p.A. | 9,207 | 107,371 | ||
Tele2 AB, “B” | 951 | 12,284 | ||
Verizon Communications, Inc. | 2,751 | 158,980 | ||
$319,772 | ||||
Tobacco – 0.7% | ||||
Altria Group, Inc. | 5,934 | $ 283,348 | ||
British American Tobacco PLC | 2,762 | 102,304 | ||
Japan Tobacco, Inc. | 2,700 | 50,497 | ||
Philip Morris International, Inc. (f) | 6,761 | 642,295 | ||
Swedish Match AB | 1,266 | 103,846 | ||
$1,182,290 | ||||
Trucking – 0.4% | ||||
CryoPort, Inc. (a) | 1,379 | $ 78,010 | ||
Hamakyorex Co. Ltd. | 1,800 | 50,645 | ||
Knight-Swift Transportation Holdings, Inc. | 1,845 | 86,936 | ||
Schneider National, Inc. | 3,170 | 76,809 | ||
Seino Holdings Co. Ltd. | 8,400 | 115,443 | ||
SG Holdings Co. Ltd. | 5,700 | 129,553 | ||
United Parcel Service, Inc., “B” | 687 | 140,052 | ||
$677,448 | ||||
Utilities - Electric Power – 1.8% | ||||
AES Corp. | 8,827 | $ 245,567 | ||
Ameren Corp. | 551 | 46,747 | ||
American Electric Power Co., Inc. | 250 | 22,177 | ||
Array Technologies, Inc. (a) | 2,427 | 68,344 | ||
Black Hills Corp. | 1,058 | 72,981 | ||
CenterPoint Energy, Inc. | 896 | 21,943 | ||
CenterPoint Energy, Inc. (PIPE) (a)(z) | 1,215 | 29,755 | ||
CLP Holdings Ltd. | 4,500 | 44,405 | ||
CMS Energy Corp. | 938 | 60,398 | ||
Dominion Energy, Inc. | 3,300 | 263,670 | ||
Duke Energy Corp. (f) | 5,107 | 514,224 | ||
E.ON SE | 3,956 | 47,685 | ||
Edison International | 607 | 36,086 | ||
Eversource Energy | 703 | 60,613 | ||
Exelon Corp. (f) | 7,072 | 317,816 | ||
Iberdrola S.A. | 7,239 | 97,779 | ||
NextEra Energy, Inc. | 523 | 40,538 | ||
NRG Energy, Inc. | 10,385 | 371,991 | ||
Orsted A.S. | 294 | 42,883 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Utilities - Electric Power – continued | ||||
PG&E Corp. (a) | 7,969 | $ 90,209 | ||
Pinnacle West Capital Corp. | 720 | 60,948 | ||
Portland General Electric Co. | 1,361 | 69,220 | ||
Public Service Enterprise Group, Inc. | 1,069 | 67,518 | ||
Shoals Technologies Group, Inc. (a) | 1,706 | 54,711 | ||
Southern Co. | 7,944 | 525,654 | ||
$3,273,862 | ||||
Total Common Stocks (Identified Cost, $86,838,870) | $ 135,554,239 | |||
Bonds – 18.9% | ||||
Aerospace & Defense – 0.4% | ||||
BAE Systems PLC, 3.4%, 4/15/2030 (n) | $ | 200,000 | $ 213,626 | |
Boeing Co., 5.15%, 5/01/2030 | 55,000 | 63,968 | ||
Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 | 83,000 | 90,515 | ||
Huntington Ingalls Industries, Inc., 3.483%, 12/01/2027 | 160,000 | 174,057 | ||
L3Harris Technologies, Inc., 3.85%, 6/15/2023 | 181,000 | 192,810 | ||
$734,976 | ||||
Apparel Manufacturers – 0.0% | ||||
Tapestry, Inc., 4.125%, 7/15/2027 | $ | 35,000 | $ 38,341 | |
Automotive – 0.7% | ||||
Aptiv PLC, 5.4%, 3/15/2049 | $ | 150,000 | $ 190,797 | |
Daimler Finance North America LLC, 1.45%, 3/02/2026 (n) | 150,000 | 150,456 | ||
Hyundai Capital America, 6.375%, 4/08/2030 (n) | 371,000 | 472,323 | ||
Lear Corp., 3.8%, 9/15/2027 | 221,000 | 243,001 | ||
Volkswagen Group of America Finance LLC, 3.35%, 5/13/2025 (n) | 200,000 | 216,480 | ||
$1,273,057 | ||||
Broadcasting – 0.6% | ||||
Discovery Communications LLC, 3.625%, 5/15/2030 | $ | 150,000 | $ 160,525 | |
Discovery Communications LLC, 4%, 9/15/2055 (n) | 119,000 | 116,367 | ||
Prosus N.V., 3.68%, 1/21/2030 (n) | 200,000 | 209,075 | ||
RELX Capital, Inc., 3%, 5/22/2030 | 80,000 | 83,664 | ||
Walt Disney Co., 3.35%, 3/24/2025 | 160,000 | 174,202 | ||
Walt Disney Co., 3.5%, 5/13/2040 | 160,000 | 170,982 | ||
Walt Disney Co., 3.8%, 5/13/2060 | 150,000 | 164,961 | ||
$1,079,776 | ||||
Brokerage & Asset Managers – 0.2% | ||||
Charles Schwab Corp., 3.2%, 1/25/2028 | $ | 156,000 | $ 170,304 | |
E*TRADE Financial Corp., 3.8%, 8/24/2027 | 131,000 | 145,148 | ||
Intercontinental Exchange, Inc., 1.85%, 9/15/2032 | 66,000 | 60,966 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Brokerage & Asset Managers – continued | ||||
Intercontinental Exchange, Inc., 3%, 9/15/2060 | $ | 65,000 | $ 58,292 | |
$434,710 | ||||
Building – 0.1% | ||||
Masco Corp., 4.5%, 5/15/2047 | $ | 75,000 | $ 87,562 | |
Vulcan Materials Co., 3.5%, 6/01/2030 | 137,000 | 149,101 | ||
$236,663 | ||||
Business Services – 0.7% | ||||
Equinix, Inc., 3%, 7/15/2050 | $ | 98,000 | $ 89,809 | |
Fiserv, Inc., 4.4%, 7/01/2049 | 75,000 | 87,463 | ||
Mastercard, Inc., 3.85%, 3/26/2050 | 182,000 | 208,271 | ||
NXP Semiconductors N.V., 3.4%, 5/01/2030 (n) | 224,000 | 239,541 | ||
Verisk Analytics, Inc., 4.125%, 3/15/2029 | 323,000 | 363,028 | ||
Visa, Inc., 2.05%, 4/15/2030 | 100,000 | 101,169 | ||
Visa, Inc., 2.7%, 4/15/2040 | 200,000 | 198,547 | ||
$1,287,828 | ||||
Cable TV – 0.5% | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | $ | 335,000 | $ 436,811 | |
Comcast Corp., 3.75%, 4/01/2040 | 100,000 | 110,324 | ||
Cox Communications, Inc., 4.6%, 8/15/2047 (n) | 250,000 | 293,982 | ||
$841,117 | ||||
Chemicals – 0.2% | ||||
LYB International Finance III, LLC, 3.625%, 4/01/2051 | $ | 71,000 | $ 70,988 | |
Sherwin-Williams Co., 3.45%, 6/01/2027 | 155,000 | 170,482 | ||
Sherwin-Williams Co., 4.5%, 6/01/2047 | 119,000 | 141,796 | ||
$383,266 | ||||
Computer Software – 0.4% | ||||
Dell International LLC/EMC Corp., 4.9%, 10/01/2026 (n) | $ | 413,000 | $ 474,438 | |
Microsoft Corp., 2.525%, 6/01/2050 | 350,000 | 325,941 | ||
$800,379 | ||||
Computer Software - Systems – 0.1% | ||||
Apple, Inc., 2.05%, 9/11/2026 | $ | 172,000 | $ 179,690 | |
Apple, Inc., 2.65%, 5/11/2050 | 87,000 | 80,773 | ||
$260,463 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Conglomerates – 0.2% | ||||
Carrier Global Corp., 3.377%, 4/05/2040 | $ | 89,000 | $ 89,801 | |
Roper Technologies, Inc., 2%, 6/30/2030 | 159,000 | 153,159 | ||
Westinghouse Air Brake Technologies Corp., 4.95%, 9/15/2028 | 156,000 | 179,420 | ||
$422,380 | ||||
Consumer Products – 0.4% | ||||
Mattel, Inc., 3.75%, 4/01/2029 (n) | $ | 96,000 | $ 98,383 | |
Reckitt Benckiser Treasury Services PLC, 3.625%, 9/21/2023 (n) | 300,000 | 319,423 | ||
Whirlpool Corp., 4.75%, 2/26/2029 | 228,000 | 267,595 | ||
$685,401 | ||||
Consumer Services – 0.1% | ||||
Booking Holdings, Inc., 3.55%, 3/15/2028 | $ | 132,000 | $ 144,273 | |
Electrical Equipment – 0.2% | ||||
Arrow Electronics, Inc., 3.875%, 1/12/2028 | $ | 260,000 | $ 287,027 | |
Electronics – 0.4% | ||||
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.5%, 1/15/2028 | $ | 306,000 | $ 327,753 | |
Broadcom, Inc., 5%, 4/15/2030 | 175,000 | 201,276 | ||
NXP B.V./NXP Funding LLC, 4.625%, 6/01/2023 (n) | 200,000 | 215,914 | ||
$744,943 | ||||
Emerging Market Quasi-Sovereign – 0.2% | ||||
Ecopetrol S.A., 5.375%, 6/26/2026 | $ | 237,000 | $ 265,961 | |
Ecopetrol S.A., 6.875%, 4/29/2030 | 140,000 | 169,750 | ||
$435,711 | ||||
Emerging Market Sovereign – 0.4% | ||||
Republic of Panama, 2.252%, 9/29/2032 | $ | 241,000 | $ 230,097 | |
State of Qatar, 3.75%, 4/16/2030 (n) | 200,000 | 223,940 | ||
United Mexican States, 2.659%, 5/24/2031 | 200,000 | 192,338 | ||
$646,375 | ||||
Energy - Independent – 0.1% | ||||
Hess Corp., 5.8%, 4/01/2047 | $ | 150,000 | $ 182,919 | |
Energy - Integrated – 0.2% | ||||
Cenovus Energy, Inc., 5.375%, 7/15/2025 | $ | 121,000 | $ 137,576 | |
Eni S.p.A., 4.75%, 9/12/2028 (n) | 200,000 | 231,271 | ||
$368,847 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Financial Institutions – 0.2% | ||||
Avolon Holdings Funding Ltd., 4.25%, 4/15/2026 (n) | $ | 100,000 | $ 106,638 | |
Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 94,000 | 100,554 | ||
Avolon Holdings Funding Ltd., 2.75%, 2/21/2028 (n) | 180,000 | 175,102 | ||
$382,294 | ||||
Food & Beverages – 0.9% | ||||
Anheuser-Busch InBev Worldwide, Inc., 3.5%, 6/01/2030 | $ | 307,000 | $ 335,174 | |
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | 150,000 | 193,938 | ||
Bacardi Ltd., 5.15%, 5/15/2038 (n) | 114,000 | 136,878 | ||
Constellation Brands, Inc., 3.5%, 5/09/2027 | 300,000 | 328,725 | ||
Constellation Brands, Inc., 3.15%, 8/01/2029 | 168,000 | 177,181 | ||
Constellation Brands, Inc., 4.1%, 2/15/2048 | 269,000 | 297,829 | ||
SYSCO Corp., 2.4%, 2/15/2030 | 24,000 | 23,974 | ||
SYSCO Corp., 4.45%, 3/15/2048 | 43,000 | 49,347 | ||
$1,543,046 | ||||
Forest & Paper Products – 0.1% | ||||
Celulosa Arauco y Constitucion, 4.2%, 1/29/2030 (n) | $ | 200,000 | $ 216,000 | |
Gaming & Lodging – 0.1% | ||||
Marriott International, Inc., 4.625%, 6/15/2030 | $ | 50,000 | $ 56,138 | |
Marriott International, Inc., 2.85%, 4/15/2031 | 53,000 | 52,685 | ||
Marriott International, Inc., 3.5%, 10/15/2032 | 128,000 | 133,615 | ||
$242,438 | ||||
Industrial – 0.1% | ||||
Trustees of the University of Pennsylvania, 2.396%, 10/01/2050 | $ | 234,000 | $ 215,531 | |
Insurance - Health – 0.2% | ||||
UnitedHealth Group, Inc., 4.625%, 7/15/2035 | $ | 306,000 | $ 373,500 | |
Insurance - Property & Casualty – 0.5% | ||||
Fairfax Financial Holdings Ltd., 4.85%, 4/17/2028 | $ | 157,000 | $ 176,777 | |
Fairfax Financial Holdings Ltd., 4.625%, 4/29/2030 | 121,000 | 134,006 | ||
Hartford Financial Services Group, Inc., 3.6%, 8/19/2049 | 145,000 | 152,880 | ||
Progressive Corp., 4.125%, 4/15/2047 | 157,000 | 186,066 | ||
Willis North America, Inc., 3.875%, 9/15/2049 | 200,000 | 215,532 | ||
$865,261 | ||||
International Market Sovereign – 0.1% | ||||
Government of Bermuda, 2.375%, 8/20/2030 (n) | $ | 200,000 | $ 197,500 | |
Machinery & Tools – 0.2% | ||||
CNH Industrial Capital LLC, 3.85%, 11/15/2027 | $ | 332,000 | $ 368,059 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – 2.9% | ||||
Australia and New Zealand Banking Group Ltd., 2.57%, 11/25/2035 (n) | $ | 108,000 | $ 102,699 | |
Bank of America Corp., 3.366% to 1/23/2025, FLR (LIBOR - 3mo. + 0.81%) to 1/23/2026 | 700,000 | 756,092 | ||
Bank of America Corp., 3.419% to 12/20/2027, FLR (LIBOR - 3mo. + 1.04%) to 12/20/2028 | 355,000 | 384,490 | ||
Bank of America Corp., 2.496% to 2/13/2030, FLR (LIBOR - 3mo. + 0.99%) to 2/13/2031 | 159,000 | 159,460 | ||
Bank of America Corp., 3.311% to 4/22/2041, FLR (SOFR + 1.58%) to 4/22/2042 | 248,000 | 253,032 | ||
Commonwealth Bank of Australia, 3.61% to 9/12/2029, FLR (CMT - 1yr. + 2.05%) to 9/12/2034 (n) | 200,000 | 208,225 | ||
Commonwealth Bank of Australia, 3.305%, 3/11/2041 (n) | 200,000 | 196,718 | ||
Credit Agricole S.A., 1.247% to 1/26/2026, FLR (SOFR + 0.89162%) to 1/26/2027 (n) | 250,000 | 245,510 | ||
HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR + 1.929%) to 6/04/2026 | 400,000 | 409,194 | ||
HSBC Holdings PLC, 2.357% to 8/18/2030, FLR (SOFR + 1.947%) to 8/18/2031 | 450,000 | 438,535 | ||
JPMorgan Chase & Co., 3.782% to 2/01/2027, FLR (LIBOR - 3mo. + 1.337%) to 2/01/2028 | 550,000 | 610,606 | ||
JPMorgan Chase & Co., 3.109% to 4/22/2040, FLR (SOFR + 2.46%) to 4/22/2041 | 100,000 | 99,754 | ||
Morgan Stanley, 3.125%, 7/27/2026 | 364,000 | 394,457 | ||
Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR + 3.12%) to 4/01/2031 | 306,000 | 335,095 | ||
Morgan Stanley, 3.217% to 4/22/2041, FLR (SOFR + 1.485%) to 4/22/2042 | 76,000 | 77,010 | ||
Sumitomo Mitsui Financial Group, Inc., 1.71%, 1/12/2031 | 200,000 | 189,404 | ||
UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n) | 350,000 | 352,897 | ||
$5,213,178 | ||||
Medical & Health Technology & Services – 0.5% | ||||
Alcon Finance Corp., 2.75%, 9/23/2026 (n) | $ | 200,000 | $ 212,389 | |
Becton, Dickinson and Co., 2.823%, 5/20/2030 | 350,000 | 361,868 | ||
HCA, Inc., 5.125%, 6/15/2039 | 176,000 | 213,459 | ||
Memorial Sloan-Kettering Cancer Center, 2.955%, 1/01/2050 | 99,000 | 97,381 | ||
$885,097 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Medical Equipment – 0.1% | ||||
Boston Scientific Corp., 3.75%, 3/01/2026 | $ | 84,000 | $ 93,390 | |
Danaher Corp., 2.6%, 10/01/2050 | 135,000 | 120,547 | ||
$213,937 | ||||
Metals & Mining – 0.2% | ||||
Anglo American Capital PLC, 4.5%, 3/15/2028 (n) | $ | 200,000 | $ 227,090 | |
Glencore Funding LLC, 2.5%, 9/01/2030 (n) | 100,000 | 96,863 | ||
Glencore Funding LLC, 2.85%, 4/27/2031 (n) | 101,000 | 99,580 | ||
$423,533 | ||||
Midstream – 0.8% | ||||
Energy Transfer Partners LP, 5.15%, 3/15/2045 | $ | 150,000 | $ 158,803 | |
Galaxy Pipeline Assets Bidco Ltd., 1.75%, 9/30/2027 (n) | 220,000 | 221,032 | ||
MPLX LP, 4.5%, 4/15/2038 | 182,000 | 199,887 | ||
Plains All American Pipeline LP/PAA Finance Corp., 3.55%, 12/15/2029 | 175,000 | 177,401 | ||
Plains All American Pipeline LP/PAA Finance Corp., 4.3%, 1/31/2043 | 150,000 | 139,267 | ||
Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 | 336,000 | 372,144 | ||
Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | 102,000 | 114,879 | ||
$1,383,413 | ||||
Municipals – 0.3% | ||||
Michigan Finance Authority Hospital Rev. (Trinity Health Credit Group), 3.384%, 12/01/2040 | $ | 160,000 | $ 171,156 | |
New Jersey Transportation Trust Fund Authority, Transportation System, “B”, 4.081%, 6/15/2039 | 180,000 | 192,631 | ||
State of Florida, “A”, 2.154%, 7/01/2030 | 132,000 | 131,993 | ||
$495,780 | ||||
Natural Gas - Distribution – 0.1% | ||||
NiSource, Inc., 5.65%, 2/01/2045 | $ | 85,000 | $ 112,419 | |
Natural Gas - Pipeline – 0.3% | ||||
APT Pipelines Ltd., 5%, 3/23/2035 (n) | $ | 472,000 | $ 558,452 | |
Network & Telecom – 0.4% | ||||
AT&T, Inc., 2.75%, 6/01/2031 | $ | 364,000 | $ 363,473 | |
AT&T, Inc., 3.3%, 2/01/2052 | 185,000 | 168,373 | ||
Verizon Communications, Inc., 2.1%, 3/22/2028 | 26,000 | 26,236 | ||
Verizon Communications, Inc., 3.15%, 3/22/2030 | 47,000 | 49,706 | ||
Verizon Communications, Inc., 3.4%, 3/22/2041 | 95,000 | 97,320 | ||
$705,108 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Oil Services – 0.1% | ||||
Halliburton Co., 5%, 11/15/2045 | $ | 100,000 | $ 113,225 | |
Other Banks & Diversified Financials – 0.2% | ||||
Groupe BPCE S.A., 4.5%, 3/15/2025 (n) | $ | 200,000 | $ 221,192 | |
Mizrahi Tefahot Bank Ltd., 3.077% to 4/07/2026, FLR (CMT - 5yr. + 2.25%) to 4/07/2031 (n) | 200,000 | 203,000 | ||
$424,192 | ||||
Personal Computers & Peripherals – 0.1% | ||||
Equifax, Inc., 3.1%, 5/15/2030 | $ | 246,000 | $ 258,417 | |
Pollution Control – 0.1% | ||||
Republic Services, Inc., 1.45%, 2/15/2031 | $ | 175,000 | $ 160,523 | |
Real Estate - Apartment – 0.1% | ||||
Mid-America Apartment Communities, REIT, 1.7%, 2/15/2031 | $ | 141,000 | $ 131,195 | |
Real Estate - Office – 0.1% | ||||
Boston Properties, Inc., REIT, 2.55%, 4/01/2032 | $ | 171,000 | $ 165,370 | |
Corporate Office Property LP, 2.75%, 4/15/2031 | 71,000 | 70,078 | ||
$235,448 | ||||
Real Estate - Other – 0.2% | ||||
Lexington Realty Trust Co., 2.7%, 9/15/2030 | $ | 119,000 | $ 118,416 | |
W.P. Carey, Inc., REIT, 2.4%, 2/01/2031 | 181,000 | 175,528 | ||
$293,944 | ||||
Real Estate - Retail – 0.5% | ||||
Brixmor Operating Partnership LP, REIT, 4.05%, 7/01/2030 | $ | 173,000 | $ 189,934 | |
National Retail Properties, Inc., REIT, 3.5%, 4/15/2051 | 46,000 | 45,929 | ||
Regency Centers Corp., 3.7%, 6/15/2030 | 225,000 | 245,286 | ||
STORE Capital Corp., 2.75%, 11/18/2030 | 210,000 | 209,031 | ||
VEREIT Operating Partnership LP, REIT, 3.4%, 1/15/2028 | 54,000 | 58,412 | ||
VEREIT Operating Partnership LP, REIT, 3.1%, 12/15/2029 | 169,000 | 177,866 | ||
$926,458 | ||||
Retailers – 0.2% | ||||
Alimentation Couche-Tard, Inc., 3.8%, 1/25/2050 (n) | $ | 151,000 | $ 156,418 | |
Home Depot, Inc., 3.9%, 6/15/2047 | 195,000 | 221,552 | ||
Kohl's Corp., 3.375%, 5/01/2031 | 58,000 | 59,215 | ||
$437,185 | ||||
Telecommunications - Wireless – 1.0% | ||||
American Tower Corp., REIT, 5%, 2/15/2024 | $ | 200,000 | $ 222,433 | |
American Tower Corp., REIT, 4%, 6/01/2025 | 264,000 | 291,770 | ||
Crown Castle International Corp., 4.45%, 2/15/2026 | 304,000 | 343,775 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Telecommunications - Wireless – continued | ||||
Crown Castle International Corp., 3.7%, 6/15/2026 | $ | 369,000 | $ 405,597 | |
Rogers Communications, Inc., 3.7%, 11/15/2049 | 188,000 | 190,894 | ||
T-Mobile USA, Inc., 3.5%, 4/15/2025 (n) | 240,000 | 260,251 | ||
$1,714,720 | ||||
Transportation - Services – 0.1% | ||||
ERAC USA Finance LLC, 3.8%, 11/01/2025 (n) | $ | �� 197,000 | $ 217,064 | |
U.S. Treasury Obligations – 0.8% | ||||
U.S. Treasury Bonds, 3.5%, 2/15/2039 | $ | 338,000 | $ 411,528 | |
U.S. Treasury Bonds, 1.375%, 11/15/2040 | 570,000 | 496,613 | ||
U.S. Treasury Bonds, 3%, 2/15/2048 (f) | 186,000 | 213,021 | ||
U.S. Treasury Notes, 1.125%, 8/15/2040 | 309,000 | 257,532 | ||
$1,378,694 | ||||
Utilities - Electric Power – 1.3% | ||||
Alabama Power Co., 3.45%, 10/01/2049 | $ | 177,000 | $ 186,958 | |
American Electric Power Co., Inc., 2.3%, 3/01/2030 | 105,000 | 103,517 | ||
Duke Energy Indiana LLC, 2.75%, 4/01/2050 | 76,000 | 69,462 | ||
Enel Finance International N.V., 4.875%, 6/14/2029 (n) | 250,000 | 293,352 | ||
FirstEnergy Corp., 2.65%, 3/01/2030 | 220,000 | 215,050 | ||
Georgia Power Co., 3.7%, 1/30/2050 | 121,000 | 127,593 | ||
Jersey Central Power & Light Co., 4.3%, 1/15/2026 (n) | 182,000 | 201,205 | ||
MidAmerican Energy Co., 3.95%, 8/01/2047 | 200,000 | 229,464 | ||
PPL Capital Funding, Inc., 5%, 3/15/2044 | 135,000 | 166,768 | ||
Southern California Edison Co.'s First & Refunding Mortgage Bonds, 3.65%, 2/01/2050 | 68,000 | 68,149 | ||
Virginia Electric & Power Co., 2.875%, 7/15/2029 | 444,000 | 467,927 | ||
WEC Energy Group, Inc., 1.8%, 10/15/2030 | 292,000 | 274,868 | ||
$2,404,313 | ||||
Total Bonds (Identified Cost, $33,088,898) | $ 34,378,376 | |||
Preferred Stocks – 0.1% | ||||
Consumer Products – 0.1% | ||||
Henkel AG & Co. KGaA (Identified Cost, $128,142) | 1,235 | $ 141,885 |
Issuer | Strike Price | First Exercise | Shares/ Par | Value ($) |
Rights – 0.0% | ||||
Brokerage & Asset Managers – 0.0% | ||||
Euronext N.V. (1 share for 1 share, Expiration 5/24/21) (a) | EUR 59.65 | 4/30/21 | 763 | $ 8,944 |
Major Banks – 0.0% | ||||
Credit Suisse Group AG (1 share for 1 share, Expiration 5/20/21) (a) | CHF 1,000.00 | 4/28/21 | 4,703 | $ 196 |
Total Rights (Identified Cost, $0) | $ 9,140 |
Shares/Par | ||||
Warrants – 0.0% | ||||
Apparel Manufacturers – 0.0% | ||||
Compagnie Financiere Richemont S.A. (1 share for 2 warrants, Expiration 12/04/23) (a) (Identified Cost, $0) | CHF 67.00 | 11/20/23 | 1,448 | $ 618 |
Investment Companies (h) – 4.4% | ||||
Money Market Funds – 4.4% | ||||
MFS Institutional Money Market Portfolio, 0.04% (v) (Identified Cost, $7,939,583) | 7,939,583 | $ 7,939,583 | ||
Securities Sold Short – (0.0)% | ||||
Telecommunications - Wireless – (0.0)% | ||||
Crown Castle International Corp., REIT (Proceeds Received, $5,996) | (73) | $ (13,801) | ||
Other Assets, Less Liabilities – 1.9% | 3,459,207 | |||
Net Assets – 100.0% | $181,469,247 |
(a) | Non-income producing security. |
(f) | All or a portion of the security has been segregated as collateral for open futures contracts and cleared swap agreements. |
(h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $7,939,583 and $170,084,258, respectively. |
(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 $8,481,828, representing 4.7% of net assets. |
(s) | Security or a portion of the security was pledged to cover collateral requirements for securities sold short and/or certain derivative transactions. |
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
(z) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities: |
Restricted Securities | Acquisition Date | Cost | Value |
CenterPoint Energy, Inc. (PIPE) | 12/07/20-4/29/21 | $19,537 | $29,755 |
% of Net assets | 0.0% |
(zz) | Securities subject to a restriction on resale. |
The following abbreviations are used in this report and are defined: | |
ADR | American Depositary Receipt |
CMT | Constant Maturity Treasury |
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. |
LIBOR | London Interbank Offered Rate |
PIPE | Private Investment in Public Equity |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
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 |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
ILS | Israeli Shekel |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
RUB | Russian Ruble |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thai Baht |
TRY | Turkish Lira |
TWD | Taiwan Dollar |
ZAR | South African Rand |
Forward Foreign Currency Exchange Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives | ||||||
CAD | 453,814 | USD | 363,003 | JPMorgan Chase Bank N.A. | 6/24/2021 | $6,251 |
NOK | 58,719,011 | USD | 7,030,314 | Goldman Sachs International | 6/24/2021 | 24,385 |
USD | 9,327,606 | AUD | 12,092,228 | JPMorgan Chase Bank N.A. | 6/24/2021 | 10,097 |
USD | 1,306,923 | GBP | 944,768 | Goldman Sachs International | 6/24/2021 | 1,960 |
USD | 1,722,675 | HKD | 13,368,010 | Goldman Sachs International | 6/24/2021 | 1,462 |
USD | 192,862 | HKD | 1,496,573 | JPMorgan Chase Bank N.A. | 6/24/2021 | 170 |
USD | 9,904,193 | JPY | 1,070,445,177 | JPMorgan Chase Bank N.A. | 6/24/2021 | 105,390 |
USD | 111,693 | MXN | 2,241,897 | Goldman Sachs International | 6/24/2021 | 1,672 |
USD | 4,292,080 | NZD | 5,986,657 | Goldman Sachs International | 6/24/2021 | 8,884 |
USD | 375,622 | SGD | 499,371 | JPMorgan Chase Bank N.A. | 6/24/2021 | 436 |
USD | 629,114 | TWD | 17,557,933 | JPMorgan Chase Bank N.A. | 6/24/2021 | 482 |
USD | 144,198 | ZAR | 2,078,796 | Goldman Sachs International | 6/24/2021 | 1,906 |
$163,095 | ||||||
Liability Derivatives | ||||||
GBP | 2,050,095 | USD | 2,835,952 | Goldman Sachs International | 6/24/2021 | $(4,254) |
SEK | 36,289,544 | USD | 4,306,260 | Goldman Sachs International | 6/24/2021 | (17,377) |
USD | 165,640 | BRL | 909,113 | Goldman Sachs International | 6/24/2021 | (940) |
USD | 10,965,989 | CHF | 10,056,667 | JPMorgan Chase Bank N.A. | 6/24/2021 | (61,544) |
USD | 694,616 | DKK | 4,297,065 | JPMorgan Chase Bank N.A. | 6/24/2021 | (731) |
USD | 4,712,036 | EUR | 3,917,445 | Goldman Sachs International | 6/24/2021 | (2,848) |
USD | 10,743,038 | EUR | 8,935,502 | JPMorgan Chase Bank N.A. | 6/24/2021 | (11,384) |
USD | 134,895 | ILS | 439,381 | JPMorgan Chase Bank N.A. | 6/24/2021 | (449) |
USD | 321,926 | INR | 24,419,084 | JPMorgan Chase Bank N.A. | 6/24/2021 | (5,065) |
USD | 465,605 | KRW | 521,496,480 | JPMorgan Chase Bank N.A. | 6/24/2021 | (3,234) |
USD | 98,490 | RUB | 7,501,212 | JPMorgan Chase Bank N.A. | 6/24/2021 | (543) |
USD | 101,632 | THB | 3,204,240 | JPMorgan Chase Bank N.A. | 6/24/2021 | (983) |
$(109,352) |
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Equity Futures | ||||||
DAX Index | Long | EUR | 4 | $1,823,573 | June – 2021 | $37,991 |
FTSE Taiwan Index | Long | USD | 28 | 1,732,920 | May – 2021 | 20,930 |
FTSE/JSE Top 40 Index | Short | ZAR | 47 | 1,989,572 | June – 2021 | 30,931 |
IBEX 35 Index | Long | EUR | 19 | 2,011,875 | May – 2021 | 77,176 |
IBOV Index | Long | BRL | 81 | 1,779,195 | June – 2021 | 13,182 |
Mexbol Index | Long | MXN | 117 | 2,782,887 | June – 2021 | 8,100 |
MSCI Singapore Index | Long | SGD | 55 | 1,495,116 | May – 2021 | 5,693 |
Russell 2000 Index | Short | USD | 123 | 13,908,225 | June – 2021 | 124,776 |
Futures Contracts - continued | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives - continued | ||||||
Equity Futures - continued | ||||||
Topix Index | Short | JPY | 15 | $2,609,800 | June – 2021 | $19,287 |
$338,066 | ||||||
Interest Rate Futures | ||||||
Australian Note 10 yr | Long | AUD | 82 | $8,805,100 | June – 2021 | $1,860 |
Euro-Bund 10 yr | Short | EUR | 97 | 19,825,103 | June – 2021 | 179,102 |
Long Gilt 10 yr | Short | GBP | 22 | 3,879,010 | June – 2021 | 47,624 |
U.S. Treasury Note 10 yr | Long | USD | 50 | 6,601,562 | June – 2021 | 21,692 |
U.S. Treasury Ultra Note 10 yr | Short | USD | 23 | 3,347,578 | June – 2021 | 69,143 |
$319,421 | ||||||
$657,487 | ||||||
Liability Derivatives | ||||||
Equity Futures | ||||||
AEX 25 Index | Short | EUR | 29 | $4,909,794 | May – 2021 | $(7,849) |
BIST 30 Index | Long | TRY | 2,543 | 4,543,074 | June – 2021 | (2,817) |
CAC 40 Index | Short | EUR | 9 | 672,587 | May – 2021 | (10,952) |
FTSE 100 Index | Short | GBP | 51 | 4,886,328 | June – 2021 | (168,319) |
FTSE MIB Index | Long | EUR | 46 | 6,611,810 | June – 2021 | (30,404) |
Hang Seng Index | Long | HKD | 15 | 2,754,659 | May – 2021 | (37,641) |
KOSPI 200 Index | Short | KRW | 34 | 3,225,469 | June – 2021 | (142,138) |
NIFTY Index | Short | USD | 138 | 4,041,054 | May – 2021 | (27,469) |
OMX 30 Index | Long | SEK | 96 | 2,516,363 | May – 2021 | (9,765) |
S&P 500 E-Mini Index | Short | USD | 222 | 46,335,840 | June – 2021 | (3,190,994) |
S&P MidCap 400 Index | Short | USD | 54 | 14,689,620 | June – 2021 | (776,880) |
S&P/ASX 200 Index | Short | AUD | 63 | 8,495,535 | June – 2021 | (283,613) |
S&P/TSX 60 Index | Short | CAD | 25 | 4,618,639 | June – 2021 | (7,350) |
$(4,696,191) | ||||||
Interest Rate Futures | ||||||
Canadian Treasury Bond 10 yr | Long | CAD | 66 | $7,483,025 | June – 2021 | $(106,387) |
Japan Government Bond 10 yr | Short | JPY | 10 | 13,847,561 | June – 2021 | (29,875) |
$(136,262) | ||||||
$(4,832,453) |
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 | ||||||||||
6/03/22 | USD | 51,000,000 | centrally cleared | 0.247%/Semi-annually | 0.184% FLR (3-Month LIBOR)/Quarterly | $55,416 | $— | $55,416 | ||
11/06/24 | USD | 20,200,000 | centrally cleared | 1.582%/Semi-annually | 0.193% FLR (3-Month LIBOR)/Quarterly | 842,087 | — | 842,087 | ||
11/06/49 | USD | 3,997,917 | centrally cleared | 0.193% FLR (3-Month LIBOR)/Quarterly | 1.893%/Semi-annually | 105,454 | — | 105,454 | ||
$1,002,957 | $— | $1,002,957 | ||||||||
Liability Derivatives | ||||||||||
Interest Rate Swaps | ||||||||||
11/06/29 | USD | 10,300,000 | centrally cleared | 0.193% FLR (3-Month LIBOR)/Quarterly | 1.702%/Semi-annually | $(258,513) | $— | $(258,513) |
Assets | |
Investments in unaffiliated issuers, at value (identified cost, $120,055,910) | $170,084,258 |
Investments in affiliated issuers, at value (identified cost, $7,939,583) | 7,939,583 |
Cash | 14,825 |
Foreign currency, at value (identified cost, $84) | 98 |
Restricted cash for | |
Forward foreign currency exchange contracts | 280,000 |
Deposits with brokers for | |
Futures contracts | 1,139,247 |
Securities sold short | 11,304 |
Receivables for | |
Forward foreign currency exchange contracts | 163,095 |
Net daily variation margin on open futures contracts | 763,305 |
Investments sold | 65,811 |
Fund shares sold | 538,307 |
Interest and dividends | 963,453 |
Receivable from investment adviser | 15,867 |
Other assets | 633 |
Total assets | $181,979,786 |
Liabilities | |
Payables for | |
Net daily variation margin on open cleared swap agreements | $12,123 |
Securities sold short, at value (proceeds received, $5,996) | 13,801 |
Forward foreign currency exchange contracts | 109,352 |
Net daily variation margin on open futures contracts | 34,424 |
Investments purchased | 107,989 |
Fund shares reacquired | 49,889 |
Payable to affiliates | |
Administrative services fee | 189 |
Shareholder servicing costs | 47,158 |
Distribution and service fees | 1,029 |
Payable for independent Trustees' compensation | 196 |
Deferred country tax expense payable | 3,648 |
Accrued expenses and other liabilities | 130,741 |
Total liabilities | $510,539 |
Net assets | $181,469,247 |
Net assets consist of | |
Paid-in capital | $194,416,055 |
Total distributable earnings (loss) | (12,946,808) |
Net assets | $181,469,247 |
Shares of beneficial interest outstanding | 15,692,756 |
Net assets | Shares outstanding | Net asset value per share (a) | |
Class A | $30,406,868 | 2,640,553 | $11.52 |
Class B | 3,611,771 | 321,231 | 11.24 |
Class C | 6,775,567 | 600,477 | 11.28 |
Class I | 117,074,270 | 10,100,808 | 11.59 |
Class R1 | 119,045 | 10,708 | 11.12 |
Class R2 | 459,135 | 40,261 | 11.40 |
Class R3 | 1,651,420 | 143,222 | 11.53 |
Class R4 | 55,011 | 4,734 | 11.62 |
Class R6 | 21,316,160 | 1,830,762 | 11.64 |
(a) | Maximum offering price per share was equal to the net asset value per share for all share classes, except for Class A, for which the maximum offering price per share was $12.22 [100 / 94.25 x $11.52]. On sales of $50,000 or more, the maximum offering price of Class A shares is reduced. A contingent deferred sales charge may be imposed on redemptions of Class A, Class B, and Class C shares. Redemption price per share was equal to the net asset value per share for Classes I, R1, R2, R3, R4, and R6. |
Net investment income (loss) | |
Income | |
Dividends | $1,011,271 |
Interest | 505,352 |
Dividends from affiliated issuers | 2,905 |
Income on securities loaned | 885 |
Foreign taxes withheld | (47,006) |
Total investment income | $1,473,407 |
Expenses | |
Management fee | $703,549 |
Distribution and service fees | 98,535 |
Shareholder servicing costs | 83,640 |
Administrative services fee | 16,581 |
Independent Trustees' compensation | 2,141 |
Custodian fee | 62,296 |
Shareholder communications | 11,257 |
Audit and tax fees | 50,218 |
Legal fees | 816 |
Dividend and interest expense on securities sold short | 369 |
Interest expense and fees | 401 |
Registration fees | 64,328 |
Miscellaneous | 39,251 |
Total expenses | $1,133,382 |
Fees paid indirectly | (254) |
Reduction of expenses by investment adviser and distributor | (119,658) |
Net expenses | $1,013,470 |
Net investment income (loss) | $459,937 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers (net of $600 country tax) | $8,755,772 |
Futures contracts | (20,362,385) |
Swap agreements | 362,059 |
Securities sold short | (504) |
Forward foreign currency exchange contracts | 359,345 |
Foreign currency | (133,077) |
Net realized gain (loss) | $(11,018,790) |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers (net of $2,018 increase in deferred country tax) | $22,659,022 |
Futures contracts | (4,624,035) |
Swap agreements | 1,099,036 |
Securities sold short | (4,792) |
Forward foreign currency exchange contracts | 483,300 |
Translation of assets and liabilities in foreign currencies | 23,982 |
Net unrealized gain (loss) | $19,636,513 |
Net realized and unrealized gain (loss) | $8,617,723 |
Change in net assets from operations | $9,077,660 |
Six months ended | Year ended | |
4/30/21 (unaudited) | 10/31/20 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $459,937 | $1,409,627 |
Net realized gain (loss) | (11,018,790) | (6,968,804) |
Net unrealized gain (loss) | 19,636,513 | 9,687,222 |
Change in net assets from operations | $9,077,660 | $4,128,045 |
Total distributions to shareholders | $(985,057) | $(1,880,261) |
Change in net assets from fund share transactions | $136,370 | $(12,054,276) |
Total change in net assets | $8,228,973 | $(9,806,492) |
Net assets | ||
At beginning of period | 173,240,274 | 183,046,766 |
At end of period | $181,469,247 | $173,240,274 |
Class A | Six months ended | Year ended | ||||
4/30/21 (unaudited) | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | |
Net asset value, beginning of period | $10.99 | $10.80 | $10.07 | $10.26 | $10.00 | $10.38 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.02 | $0.07 | $0.10 | $0.06 | $0.04 | $0.06 |
Net realized and unrealized gain (loss) | 0.56 | 0.22 | 0.71 | (0.07) | 0.46 | (0.35) |
Total from investment operations | $0.58 | $0.29 | $0.81 | $(0.01) | $0.50 | $(0.29) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.05) | $(0.10) | $(0.08) | $(0.18) | $(0.24) | $(0.09) |
Net asset value, end of period (x) | $11.52 | $10.99 | $10.80 | $10.07 | $10.26 | $10.00 |
Total return (%) (r)(s)(t)(x) | 5.24(n) | 2.68 | 8.11 | (0.06) | 5.18 | (2.77) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.44(a) | 1.47 | 1.46 | 1.46 | 1.63 | 1.47 |
Expenses after expense reductions (f) | 1.30(a) | 1.32 | 1.33 | 1.37 | 1.51 | 1.46 |
Net investment income (loss) | 0.37(a) | 0.65 | 1.01 | 0.64 | 0.39 | 0.57 |
Portfolio turnover | 20(n) | 57 | 58 | 37 | 37 | 51 |
Net assets at end of period (000 omitted) | $30,407 | $29,453 | $33,287 | $35,972 | $50,452 | $125,642 |
Supplemental Ratios (%): | ||||||
Ratios of expenses to average net assets after expense reductions excluding short sale expenses and interest expense and fees (f) | 1.30(a) | 1.30 | 1.29 | 1.34 | 1.40 | 1.39 |
Class B | Six months ended | Year ended | ||||
4/30/21 (unaudited) | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | |
Net asset value, beginning of period | $10.73 | $10.54 | $9.82 | $10.01 | $9.76 | $10.14 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $(0.02) | $(0.01) | $0.03 | $(0.01) | $(0.03) | $(0.02) |
Net realized and unrealized gain (loss) | 0.53 | 0.21 | 0.69 | (0.07) | 0.44 | (0.33) |
Total from investment operations | $0.51 | $0.20 | $0.72 | $(0.08) | $0.41 | $(0.35) |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.01) | $(0.00)(w) | $(0.11) | $(0.16) | $(0.03) |
Net asset value, end of period (x) | $11.24 | $10.73 | $10.54 | $9.82 | $10.01 | $9.76 |
Total return (%) (r)(s)(t)(x) | 4.75(n) | 1.92 | 7.33 | (0.81) | 4.35 | (3.50) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 2.19(a) | 2.22 | 2.21 | 2.21 | 2.37 | 2.22 |
Expenses after expense reductions (f) | 2.05(a) | 2.08 | 2.08 | 2.12 | 2.25 | 2.21 |
Net investment income (loss) | (0.38)(a) | (0.09) | 0.26 | (0.09) | (0.29) | (0.18) |
Portfolio turnover | 20(n) | 57 | 58 | 37 | 37 | 51 |
Net assets at end of period (000 omitted) | $3,612 | $4,035 | $4,542 | $5,061 | $6,354 | $8,714 |
Supplemental Ratios (%): | ||||||
Ratios of expenses to average net assets after expense reductions excluding short sale expenses and interest expense and fees (f) | 2.05(a) | 2.05 | 2.04 | 2.09 | 2.15 | 2.14 |
Class C | Six months ended | Year ended | ||||
4/30/21 (unaudited) | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | |
Net asset value, beginning of period | $10.77 | $10.57 | $9.85 | $10.00 | $9.74 | $10.13 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $(0.02) | $(0.01) | $0.03 | $(0.01) | $(0.03) | $(0.02) |
Net realized and unrealized gain (loss) | 0.53 | 0.21 | 0.69 | (0.06) | 0.44 | (0.34) |
Total from investment operations | $0.51 | $0.20 | $0.72 | $(0.07) | $0.41 | $(0.36) |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.00)(w) | $— | $(0.08) | $(0.15) | $(0.03) |
Net asset value, end of period (x) | $11.28 | $10.77 | $10.57 | $9.85 | $10.00 | $9.74 |
Total return (%) (r)(s)(t)(x) | 4.74(n) | 1.91 | 7.31 | (0.72) | 4.35 | (3.53) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 2.18(a) | 2.22 | 2.22 | 2.22 | 2.38 | 2.22 |
Expenses after expense reductions (f) | 2.05(a) | 2.08 | 2.08 | 2.13 | 2.26 | 2.21 |
Net investment income (loss) | (0.39)(a) | (0.08) | 0.26 | (0.10) | (0.30) | (0.18) |
Portfolio turnover | 20(n) | 57 | 58 | 37 | 37 | 51 |
Net assets at end of period (000 omitted) | $6,776 | $8,396 | $10,083 | $13,845 | $24,540 | $43,754 |
Supplemental Ratios (%): | ||||||
Ratios of expenses to average net assets after expense reductions excluding short sale expenses and interest expense and fees (f) | 2.05(a) | 2.05 | 2.04 | 2.10 | 2.15 | 2.14 |
Class I | Six months ended | Year ended | ||||
4/30/21 (unaudited) | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | |
Net asset value, beginning of period | $11.08 | $10.89 | $10.15 | $10.35 | $10.10 | $10.48 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.04 | $0.10 | $0.13 | $0.09 | $0.07 | $0.08 |
Net realized and unrealized gain (loss) | 0.54 | 0.22 | 0.72 | (0.07) | 0.46 | (0.34) |
Total from investment operations | $0.58 | $0.32 | $0.85 | $0.02 | $0.53 | $(0.26) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.07) | $(0.13) | $(0.11) | $(0.22) | $(0.28) | $(0.12) |
Net asset value, end of period (x) | $11.59 | $11.08 | $10.89 | $10.15 | $10.35 | $10.10 |
Total return (%) (r)(s)(t)(x) | 5.28(n) | 2.91 | 8.49 | 0.19 | 5.42 | (2.52) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.19(a) | 1.22 | 1.21 | 1.21 | 1.38 | 1.22 |
Expenses after expense reductions (f) | 1.05(a) | 1.07 | 1.08 | 1.12 | 1.26 | 1.21 |
Net investment income (loss) | 0.63(a) | 0.90 | 1.25 | 0.90 | 0.71 | 0.82 |
Portfolio turnover | 20(n) | 57 | 58 | 37 | 37 | 51 |
Net assets at end of period (000 omitted) | $117,074 | $108,871 | $127,572 | $137,065 | $211,360 | $371,340 |
Supplemental Ratios (%): | ||||||
Ratios of expenses to average net assets after expense reductions excluding short sale expenses and interest expense and fees (f) | 1.05(a) | 1.05 | 1.04 | 1.10 | 1.15 | 1.14 |
Class R1 | Six months ended | Year ended | ||||
4/30/21 (unaudited) | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | |
Net asset value, beginning of period | $10.61 | $10.43 | $9.72 | $9.93 | $9.72 | $10.10 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $(0.02) | $(0.01) | $0.03 | $(0.01) | $(0.03) | $(0.02) |
Net realized and unrealized gain (loss) | 0.53 | 0.22 | 0.68 | (0.07) | 0.44 | (0.33) |
Total from investment operations | $0.51 | $0.21 | $0.71 | $(0.08) | $0.41 | $(0.35) |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.03) | $— | $(0.13) | $(0.20) | $(0.03) |
Net asset value, end of period (x) | $11.12 | $10.61 | $10.43 | $9.72 | $9.93 | $9.72 |
Total return (%) (r)(s)(t)(x) | 4.81(n) | 1.97 | 7.30 | (0.83) | 4.38 | (3.52) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 2.19(a) | 2.22 | 2.21 | 2.22 | 2.37 | 2.23 |
Expenses after expense reductions (f) | 2.05(a) | 2.07 | 2.08 | 2.13 | 2.24 | 2.22 |
Net investment income (loss) | (0.38)(a) | (0.09) | 0.26 | (0.08) | (0.26) | (0.21) |
Portfolio turnover | 20(n) | 57 | 58 | 37 | 37 | 51 |
Net assets at end of period (000 omitted) | $119 | $113 | $210 | $195 | $363 | $328 |
Supplemental Ratios (%): | ||||||
Ratios of expenses to average net assets after expense reductions excluding short sale expenses and interest expense and fees (f) | 2.05(a) | 2.05 | 2.04 | 2.10 | 2.15 | 2.15 |
Class R2 | Six months ended | Year ended | ||||
4/30/21 (unaudited) | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | |
Net asset value, beginning of period | $10.86 | $10.67 | $9.91 | $10.11 | $9.89 | $10.26 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.01 | $0.04 | $0.08 | $0.04 | $0.02 | $0.03 |
Net realized and unrealized gain (loss) | 0.53 | 0.22 | 0.69 | (0.06) | 0.44 | (0.34) |
Total from investment operations | $0.54 | $0.26 | $0.77 | $(0.02) | $0.46 | $(0.31) |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.07) | $(0.01) | $(0.18) | $(0.24) | $(0.06) |
Net asset value, end of period (x) | $11.40 | $10.86 | $10.67 | $9.91 | $10.11 | $9.89 |
Total return (%) (r)(s)(t)(x) | 4.97(n) | 2.43 | 7.82 | (0.22) | 4.81 | (2.99) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.69(a) | 1.72 | 1.71 | 1.71 | 1.86 | 1.72 |
Expenses after expense reductions (f) | 1.55(a) | 1.58 | 1.58 | 1.61 | 1.74 | 1.72 |
Net investment income (loss) | 0.11(a) | 0.41 | 0.75 | 0.42 | 0.23 | 0.31 |
Portfolio turnover | 20(n) | 57 | 58 | 37 | 37 | 51 |
Net assets at end of period (000 omitted) | $459 | $498 | $791 | $1,434 | $1,560 | $1,300 |
Supplemental Ratios (%): | ||||||
Ratios of expenses to average net assets after expense reductions excluding short sale expenses and interest expense and fees (f) | 1.55(a) | 1.55 | 1.54 | 1.59 | 1.65 | 1.65 |
Class R3 | Six months ended | Year ended | ||||
4/30/21 (unaudited) | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | |
Net asset value, beginning of period | $11.00 | $10.81 | $10.09 | $10.29 | $10.06 | $10.39 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.02 | $0.07 | $0.10 | $0.07 | $0.05 | $0.05 |
Net realized and unrealized gain (loss) | 0.55 | 0.22 | 0.71 | (0.07) | 0.45 | (0.34) |
Total from investment operations | $0.57 | $0.29 | $0.81 | $0.00(w) | $0.50 | $(0.29) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.04) | $(0.10) | $(0.09) | $(0.20) | $(0.27) | $(0.04) |
Net asset value, end of period (x) | $11.53 | $11.00 | $10.81 | $10.09 | $10.29 | $10.06 |
Total return (%) (r)(s)(t)(x) | 5.18(n) | 2.70 | 8.09 | 0.00(w) | 5.17 | (2.83) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.44(a) | 1.47 | 1.46 | 1.46 | 1.61 | 1.49 |
Expenses after expense reductions (f) | 1.30(a) | 1.32 | 1.33 | 1.37 | 1.49 | 1.47 |
Net investment income (loss) | 0.37(a) | 0.69 | 1.00 | 0.65 | 0.49 | 0.47 |
Portfolio turnover | 20(n) | 57 | 58 | 37 | 37 | 51 |
Net assets at end of period (000 omitted) | $1,651 | $1,432 | $1,101 | $997 | $1,009 | $932 |
Supplemental Ratios (%): | ||||||
Ratios of expenses to average net assets after expense reductions excluding short sale expenses and interest expense and fees (f) | 1.30(a) | 1.30 | 1.29 | 1.34 | 1.40 | 1.40 |
Class R4 | Six months ended | Year ended | ||||
4/30/21 (unaudited) | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | |
Net asset value, beginning of period | $11.11 | $10.91 | $10.18 | $10.37 | $10.13 | $10.44 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.03 | $0.09 | $0.13 | $0.09 | $0.07 | $0.09 |
Net realized and unrealized gain (loss) | 0.56 | 0.23 | 0.71 | (0.07) | 0.46 | (0.35) |
Total from investment operations | $0.59 | $0.32 | $0.84 | $0.02 | $0.53 | $(0.26) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.08) | $(0.12) | $(0.11) | $(0.21) | $(0.29) | $(0.05) |
Net asset value, end of period (x) | $11.62 | $11.11 | $10.91 | $10.18 | $10.37 | $10.13 |
Total return (%) (r)(s)(t)(x) | 5.30(n) | 2.98 | 8.36 | 0.24 | 5.40 | (2.50) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.19(a) | 1.23 | 1.22 | 1.22 | 1.39 | 1.22 |
Expenses after expense reductions (f) | 1.05(a) | 1.08 | 1.08 | 1.13 | 1.26 | 1.21 |
Net investment income (loss) | 0.61(a) | 0.81 | 1.27 | 0.91 | 0.71 | 0.85 |
Portfolio turnover | 20(n) | 57 | 58 | 37 | 37 | 51 |
Net assets at end of period (000 omitted) | $55 | $58 | $51 | $90 | $128 | $192 |
Supplemental Ratios (%): | ||||||
Ratios of expenses to average net assets after expense reductions excluding short sale expenses and interest expense and fees (f) | 1.05(a) | 1.05 | 1.04 | 1.10 | 1.15 | 1.14 |
Class R6 | Six months ended | Year ended | ||||
4/30/21 (unaudited) | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | |
Net asset value, beginning of period | $11.13 | $10.94 | $10.20 | $10.41 | $10.16 | $10.54 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.04 | $0.11 | $0.14 | $0.10 | $0.09 | $0.09 |
Net realized and unrealized gain (loss) | 0.55 | 0.21 | 0.72 | (0.08) | 0.45 | (0.35) |
Total from investment operations | $0.59 | $0.32 | $0.86 | $0.02 | $0.54 | $(0.26) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.08) | $(0.13) | $(0.12) | $(0.23) | $(0.29) | $(0.12) |
Net asset value, end of period (x) | $11.64 | $11.13 | $10.94 | $10.20 | $10.41 | $10.16 |
Total return (%) (r)(s)(t)(x) | 5.36(n) | 2.97 | 8.51 | 0.24 | 5.57 | (2.45) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.10(a) | 1.13 | 1.14 | 1.16 | 1.24 | 1.12 |
Expenses after expense reductions (f) | 0.96(a) | 0.99 | 1.01 | 1.07 | 1.12 | 1.11 |
Net investment income (loss) | 0.71(a) | 1.04 | 1.32 | 0.97 | 0.84 | 0.92 |
Portfolio turnover | 20(n) | 57 | 58 | 37 | 37 | 51 |
Net assets at end of period (000 omitted) | $21,316 | $20,383 | $5,410 | $5,337 | $6,533 | $5,743 |
Supplemental Ratios (%): | ||||||
Ratios of expenses to average net assets after expense reductions excluding short sale expenses and interest expense and fees (f) | 0.96(a) | 0.96 | 0.97 | 1.04 | 1.03 | 1.04 |
(a) | Annualized. |
(d) | Per share data is based on average shares outstanding. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. |
(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. |
(t) | Total returns do not include any applicable sales charges. |
(w) | Per share amount was less than $0.01 and total return or ratio was less than 0.01%, as applicable. |
(x) | The net asset values and total returns 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. |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Equity Securities: | ||||
United States | $92,619,693 | $62,704 | $— | $92,682,397 |
Japan | 6,007,253 | — | — | 6,007,253 |
Switzerland | 5,986,508 | 196 | — | 5,986,704 |
France | 5,740,728 | — | — | 5,740,728 |
United Kingdom | 5,412,092 | — | — | 5,412,092 |
Germany | 3,573,345 | — | — | 3,573,345 |
Canada | 3,232,271 | — | — | 3,232,271 |
Taiwan | 1,707,527 | 79,182 | — | 1,786,709 |
China | 1,569,007 | — | — | 1,569,007 |
Other Countries | 9,680,778 | 34,598 | — | 9,715,376 |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 1,378,694 | — | 1,378,694 |
Non - U.S. Sovereign Debt | — | 1,279,586 | — | 1,279,586 |
Municipal Bonds | — | 495,780 | — | 495,780 |
U.S. Corporate Bonds | — | 22,640,720 | — | 22,640,720 |
Foreign Bonds | — | 8,583,596 | — | 8,583,596 |
Mutual Funds | 7,939,583 | — | — | 7,939,583 |
Total | $143,468,785 | $34,555,056 | $— | $178,023,841 |
Securities Sold Short | $(13,801) | $— | $— | $(13,801) |
Other Financial Instruments | ||||
Futures Contracts – Assets | $657,487 | $— | $— | $657,487 |
Futures Contracts – Liabilities | (4,832,453) | — | — | (4,832,453) |
Forward Foreign Currency Exchange Contracts – Assets | — | 163,095 | — | 163,095 |
Forward Foreign Currency Exchange Contracts – Liabilities | — | (109,352) | — | (109,352) |
Swap Agreements – Assets | — | 1,002,957 | — | 1,002,957 |
Swap Agreements – Liabilities | — | (258,513) | — | (258,513) |
Equity Securities | |
Balance as of 10/31/20 | $35,365 |
Change in unrealized appreciation or depreciation | (2,416) |
Transfers out of level 3 | (32,949) |
Balance as of 4/30/21 | $— |
Fair Value (a) | |||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
Interest Rate | Interest Rate Futures | $319,421 | $(136,262) |
Interest Rate | Interest Rate Swaps | 1,002,957 | (258,513) |
Foreign Exchange | Forward Foreign Currency Exchange Contracts | 163,095 | (109,352) |
Equity | Equity Futures | 338,066 | (4,696,191) |
Total | $1,823,539 | $(5,200,318) |
(a) | Values presented in this table for futures contracts and cleared swap agreements correspond to the values reported in the Portfolio of Investments. Only the current day net variation margin for futures contracts and cleared swap agreements is separately reported within the Statement of Assets and Liabilities. |
Risk | Futures Contracts | Swap Agreements | Forward Foreign Currency Exchange Contracts |
Interest Rate | $ (261,582) | $ 28,104 | $ — |
Foreign Exchange | — | — | 359,345 |
Credit | — | 333,955 | — |
Equity | (20,100,803) | — | — |
Total | $(20,362,385) | $362,059 | $359,345 |
Risk | Futures Contracts | Swap Agreements | Forward Foreign Currency Exchange Contracts |
Interest Rate | $ 307,826 | $1,095,654 | $ — |
Foreign Exchange | — | — | 483,300 |
Equity | (4,931,861) | — | — |
Credit | — | 3,382 | — |
Total | $(4,624,035) | $1,099,036 | $483,300 |
Gross Amounts of: | Derivative Assets | Derivative Liabilities |
Futures Contracts (a) | $763,305 | $(34,424) |
Cleared Swap Agreements (a) | — | (12,123) |
Forward Foreign Currency Exchange Contracts | 163,095 | (109,352) |
Total Gross Amount of Derivative Assets and Liabilities Presented in the Statement of Assets & Liabilities | $926,400 | $(155,899) |
Less: Derivatives Assets and Liabilities Not Subject to a Master Netting Agreement or Similar Arrangement | 763,305 | (46,457) |
Total Gross Amount of Derivative Assets and Liabilities Subject to a Master Netting Agreement or Similar Arrangement | $163,095 | $(109,352) |
(a) | The amount presented here represents the fund's current day net variation margin for futures contracts and for cleared swaps agreements. This amount, which is recognized within the fund's Statement of Assets and Liabilities, differs from the fair value of the futures contracts and cleared swap agreements which is presented in the tables that follow the fund's Portfolio of Investments. |
Amounts Not Offset in the Statement of Assets & Liabilities | |||||
Gross Amount of Derivative Assets Subject to a Master Netting Agreement (or Similar Arrangement) by Counterparty | Financial Instruments Available for Offset | Financial Instruments Collateral Received (b) | Cash Collateral Received (b) | Net Amount of Derivative Assets by Counterparty | |
Goldman Sachs International | $40,269 | $(25,420) | $(14,849) | $— | $— |
JPMorgan Chase Bank N.A. | 122,826 | (83,932) | — | — | 38,894 |
Total | $163,095 | $(109,352) | $(14,849) | $— | $38,894 |
Amounts Not Offset in the Statement of Assets & Liabilities | |||||
Gross Amount of Derivative Liabilities Subject to a Master Netting Agreement (or Similar Arrangement) by Counterparty | Financial Instruments Available for Offset | Financial Instruments Collateral Pledged (b) | Cash Collateral Pledged (b) | Net Amount of Derivative Liabilities by Counterparty | |
Goldman Sachs International | $(25,420) | $25,420 | $— | $— | $— |
JPMorgan Chase Bank N.A. | (83,932) | 83,932 | — | — | — |
Total | $(109,352) | $109,352 | $— | $— | $— |
(b) | The amount presented here may be less than the total amount of collateral (received)/pledged as the excess collateral (received)/pledged is not shown for purposes of this presentation. |
Year ended 10/31/20 | |
Ordinary income (including any short-term capital gains) | $1,880,261 |
As of 4/30/21 | |
Cost of investments | $130,497,472 |
Gross appreciation | 49,075,171 |
Gross depreciation | (1,548,802) |
Net unrealized appreciation (depreciation) | $ 47,526,369 |
As of 10/31/20 | |
Undistributed ordinary income | 982,773 |
Capital loss carryforwards | (47,230,145) |
Other temporary differences | 51,395 |
Net unrealized appreciation (depreciation) | 25,156,566 |
Short-Term | $(45,343,346) |
Long-Term | (1,886,799) |
Total | $(47,230,145) |
Six months ended 4/30/21 | Year ended 10/31/20 | |
Class A | $124,519 | $299,314 |
Class B | — | 5,194 |
Class C | — | 1,807 |
Class I | 699,213 | 1,482,420 |
Class R1 | — | 517 |
Class R2 | — | 5,116 |
Class R3 | 5,098 | 10,258 |
Class R4 | 402 | 600 |
Class R6 | 155,825 | 75,035 |
Total | $985,057 | $1,880,261 |
Up to $1 billion | 0.80% |
In excess of $1 billion and up to $2.5 billion | 0.70% |
In excess of $2.5 billion | 0.65% |
Classes | ||||||||
A | B | C | I | R1 | R2 | R3 | R4 | R6 |
1.30% | 2.05% | 2.05% | 1.05% | 2.05% | 1.55% | 1.30% | 1.05% | 0.97% |
Distribution Fee Rate (d) | Service Fee Rate (d) | Total Distribution Plan (d) | Annual Effective Rate (e) | Distribution and Service Fee | |
Class A | — | 0.25% | 0.25% | 0.25% | $ 37,638 |
Class B | 0.75% | 0.25% | 1.00% | 1.00% | 19,178 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 37,953 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 581 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 1,215 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 1,970 |
Total Distribution and Service Fees | $98,535 |
(d) | In accordance with the distribution plan for certain classes, the fund pays distribution and/or service fees equal to these annual percentage rates of each class’s average daily net assets. The distribution and service fee rates disclosed by class represent the current rates in effect at the end of the reporting period. Any rate changes, if applicable, are detailed below. |
(e) | The annual effective rates represent actual fees incurred under the distribution plan for the six months ended April 30, 2021 based on each class's average daily net assets. MFD has voluntarily agreed to rebate a portion of each class's 0.25% service fee attributable to accounts for which there is no financial intermediary specified on the account except for accounts attributable to MFS or its affiliates' seed money. For the six months ended April 30, 2021, this rebate amounted to $41 for Class A and is included in the reduction of total expenses in the Statement of Operations. |
Amount | |
Class A | $750 |
Class B | 666 |
Class C | 48 |
Purchases | Sales | |
U.S. Government securities | $1,231,925 | $1,185,376 |
Non-U.S. Government securities | 31,967,221 | 52,688,199 |
Six months ended 4/30/21 | Year ended 10/31/20 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 427,996 | $4,844,528 | 480,649 | $5,241,025 | |
Class B | 2,697 | 29,867 | 39,632 | 388,822 | |
Class C | 22,965 | 256,195 | 194,075 | 1,995,206 | |
Class I | 1,773,007 | 20,257,995 | 3,719,821 | 40,828,052 | |
Class R1 | 36 | 391 | 71 | 750 | |
Class R2 | 535 | 6,006 | 8,010 | 85,330 | |
Class R3 | 27,695 | 315,065 | 163,944 | 1,804,167 | |
Class R4 | — | — | 5,348 | 56,729 | |
Class R6 | 262,955 | 3,017,890 | 2,180,806 | 24,343,215 | |
2,517,886 | $28,727,937 | 6,792,356 | $74,743,296 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Class A | 10,073 | $113,217 | 23,804 | $260,420 | |
Class B | — | — | 395 | 4,247 | |
Class C | — | — | 158 | 1,702 | |
Class I | 47,512 | 536,886 | 112,270 | 1,234,975 | |
Class R1 | — | — | 49 | 517 | |
Class R2 | — | — | 472 | 5,116 | |
Class R3 | 453 | 5,098 | 938 | 10,258 | |
Class R4 | 36 | 402 | 54 | 600 | |
Class R6 | 12,367 | 140,361 | 5,024 | 55,511 | |
70,441 | $795,964 | 143,164 | $1,573,346 | ||
Shares reacquired | |||||
Class A | (476,760) | $(5,424,946) | (906,557) | $(9,903,425) | |
Class B | (57,507) | (638,603) | (94,852) | (1,014,804) | |
Class C | (202,169) | (2,253,422) | (368,605) | (3,930,078) | |
Class I | (1,546,965) | (17,665,813) | (5,724,197) | (62,393,489) | |
Class R1 | (6) | (61) | (9,550) | (103,267) | |
Class R2 | (6,159) | (69,305) | (36,797) | (398,813) | |
Class R3 | (15,080) | (172,574) | (136,572) | (1,446,045) | |
Class R4 | (495) | (5,631) | (4,876) | (53,637) | |
Class R6 | (275,241) | (3,157,176) | (849,873) | (9,127,360) | |
(2,580,382) | $(29,387,531) | (8,131,879) | $(88,370,918) |
Six months ended 4/30/21 | Year ended 10/31/20 | ||||
Shares | Amount | Shares | Amount | ||
Net change | |||||
Class A | (38,691) | $(467,201) | (402,104) | $(4,401,980) | |
Class B | (54,810) | (608,736) | (54,825) | (621,735) | |
Class C | (179,204) | (1,997,227) | (174,372) | (1,933,170) | |
Class I | 273,554 | 3,129,068 | (1,892,106) | (20,330,462) | |
Class R1 | 30 | 330 | (9,430) | (102,000) | |
Class R2 | (5,624) | (63,299) | (28,315) | (308,367) | |
Class R3 | 13,068 | 147,589 | 28,310 | 368,380 | |
Class R4 | (459) | (5,229) | 526 | 3,692 | |
Class R6 | 81 | 1,075 | 1,335,957 | 15,271,366 | |
7,945 | $136,370 | (1,196,359) | $(12,054,276) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $11,067,592 | $77,036,321 | $80,164,330 | $— | $— | $7,939,583 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $2,905 | $— |
Item 1(b):
Not applicable
ITEM 2. | CODE OF ETHICS. |
During the period covered by this report, the Registrant has not amended any provision in its Code of Ethics (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.
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 to the Registrant.
ITEM 6. | INVESTMENTS |
A schedule of investments for each series of the Registrant is included as part of the report to shareholders of such series under Item 1(a) of this Form N-CSR.
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the Registrant.
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the Registrant.
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable to the Registrant.
ITEM 10. | 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 11. | 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 12. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the Registrant.
ITEM 13. | EXHIBITS. |
(a) | File the exhibits listed below as part of this form. Letter or number the exhibits in the sequence indicated. |
(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. Not applicable. |
(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. |
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 SERIES TRUST XV
By (Signature and Title)* | /S/ DAVID L. DILORENZO | |
David L. DiLorenzo, President |
Date: June 15, 2021
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: June 15, 2021
By (Signature and Title)* | /S/ JAMES O. YOST | |
James O. Yost, Treasurer | ||
(Principal Financial Officer | ||
and Accounting Officer) |
Date: June 15, 2021
* | Print name and title of each signing officer under his or her signature. |