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: October 31, 2022
ITEM 1. REPORTS TO STOCKHOLDERS.
Item 1(a):
Strategy Fund
Strategy Fund
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back cover |
Investment Grade Corporates | 33.8% |
U.S. Treasury Securities | 21.7% |
Collateralized Debt Obligations | 8.1% |
Non-U.S. Government Bonds | 7.6% |
Commercial Mortgage-Backed Securities | 5.1% |
Asset-Backed Securities | 2.2% |
Emerging Markets Bonds | 2.0% |
Municipal Bonds | 1.3% |
High Yield Corporates | 1.1% |
Mortgage-Backed Securities | 0.5% |
Residential Mortgage-Backed Securities | 0.2% |
AAA | 6.2% |
AA | 8.4% |
A | 15.5% |
BBB | 22.5% |
BB | 1.2% |
U.S. Government | 21.7% |
Federal Agencies | 0.5% |
Not Rated | 7.6% |
Non-Fixed Income | 97.3% |
Cash & Cash Equivalents | 24.0% |
Other | (104.9)% |
Natural Gas | 12.9% |
Gold | 11.8% |
WTI Crude Oil | 9.0% |
Brent Crude | 8.6% |
Corn | 7.7% |
Soybeans | 5.7% |
Soybean Oil | 4.5% |
Gas Oil | 4.2% |
Soybean Meal | 3.4% |
Zinc | 3.4% |
Silver | 3.3% |
Copper (COMEX) | 2.9% |
Wheat | 2.9% |
Heating Oil | 2.8% |
Lean Hogs | 2.8% |
Sugar | 2.7% |
Nickel | 2.6% |
Live Cattle | 2.3% |
Unleaded Gasoline | 2.3% |
Cotton | 2.1% |
Coffee | 2.0% |
Aluminum | 1.7% |
Kansas Wheat | 1.6% |
Cocoa | (1.3)% |
Lead | (1.4)% |
Platinum | (1.5)% |
Feeder Cattle | (1.7)% |
(a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Federal Agencies includes rated and unrated U.S. Agency fixed-income securities, U.S. Agency mortgage-backed securities, and collateralized mortgage obligations of U.S. Agency mortgage-backed securities. |
(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. |
Share Class | Class Inception Date | 1-yr | 5-yr | 10-yr | Life (t) |
A | 6/02/10 | 7.71% | 6.53% | (1.60)% | N/A |
B | 8/15/18 | 7.08% | N/A | N/A | 7.51% |
C | 8/15/18 | 6.94% | N/A | N/A | 7.46% |
I | 6/02/10 | 8.05% | 6.83% | (1.34)% | N/A |
R1 | 8/15/18 | 7.07% | N/A | N/A | 7.51% |
R2 | 8/15/18 | 7.61% | N/A | N/A | 8.04% |
R3 | 8/15/18 | 7.75% | N/A | N/A | 8.29% |
R4 | 8/15/18 | 8.07% | N/A | N/A | 8.56% |
R6 | 9/04/12 | 8.24% | 6.87% | (1.32)% | N/A |
Bloomberg Commodity Index (f) | 11.15% | 6.92% | (1.56)% | N/A |
A With Initial Sales Charge (5.75%) | 1.52% | 5.27% | (2.18)% | N/A |
B With CDSC (Declining over six years from 4% to 0%) (v) | 4.34% | N/A | N/A | 7.20% |
C With CDSC (1% for 12 months) (v) | 6.26% | N/A | N/A | 7.46% |
(f) | Source: FactSet Research Systems Inc. |
(t) | For the period from the class inception date through the stated period end (for those share classes with less than 10 years of performance history). No comparative benchmark performance information is provided for “life” periods. (See Notes to Performance Summary.) |
(v) | Assuming redemption at the end of the applicable period. |
(a) | Source: Bloomberg Index Services Limited. BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg's licensors own all proprietary rights in the Bloomberg Indices. Bloomberg neither approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith. |
May 1, 2022 through October 31, 2022
Share Class | Annualized Expense Ratio | Beginning Account Value 5/01/22 | Ending Account Value 10/31/22 | Expenses Paid During Period (p) 5/01/22-10/31/22 | |
A | Actual | 1.16% | $1,000.00 | $854.09 | $5.42 |
Hypothetical (h) | 1.16% | $1,000.00 | $1,019.36 | $5.90 | |
B | Actual | 1.91% | $1,000.00 | $853.31 | $8.92 |
Hypothetical (h) | 1.91% | $1,000.00 | $1,015.58 | $9.70 | |
C | Actual | 1.91% | $1,000.00 | $850.72 | $8.91 |
Hypothetical (h) | 1.91% | $1,000.00 | $1,015.58 | $9.70 | |
I | Actual | 0.91% | $1,000.00 | $856.38 | $4.26 |
Hypothetical (h) | 0.91% | $1,000.00 | $1,020.62 | $4.63 | |
R1 | Actual | 1.91% | $1,000.00 | $853.57 | $8.92 |
Hypothetical (h) | 1.91% | $1,000.00 | $1,015.58 | $9.70 | |
R2 | Actual | 1.41% | $1,000.00 | $854.09 | $6.59 |
Hypothetical (h) | 1.41% | $1,000.00 | $1,018.10 | $7.17 | |
R3 | Actual | 1.15% | $1,000.00 | $855.87 | $5.38 |
Hypothetical (h) | 1.15% | $1,000.00 | $1,019.41 | $5.85 | |
R4 | Actual | 0.90% | $1,000.00 | $856.13 | $4.21 |
Hypothetical (h) | 0.90% | $1,000.00 | $1,020.67 | $4.58 | |
R6 | Actual | 0.81% | $1,000.00 | $857.90 | $3.79 |
Hypothetical (h) | 0.81% | $1,000.00 | $1,021.12 | $4.13 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Bonds – 75.6% | ||||
Aerospace & Defense – 0.8% | ||||
Boeing Co., 1.167%, 2/04/2023 | $ | 1,759,000 | $1,741,665 | |
Boeing Co., 1.433%, 2/04/2024 | 3,511,000 | 3,332,309 | ||
Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 | 1,273,000 | 1,211,984 | ||
Raytheon Technologies Corp., 3.65%, 8/16/2023 | 90,000 | 89,056 | ||
$6,375,014 | ||||
Asset-Backed & Securitized – 15.5% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.031%, 11/15/2054 (i) | $ | 19,942,760 | $1,189,386 | |
ACREC 2021-FL1 Ltd., “AS”, FLR, 4.943% (LIBOR - 1mo. + 1.5%), 10/16/2036 (n) | 1,812,000 | 1,710,651 | ||
ACREC 2021-FL1 Ltd., “B”, FLR, 5.243% (LIBOR - 1mo. + 1.8%), 10/16/2036 (n) | 1,406,000 | 1,328,082 | ||
ACREC 2021-FL1 Ltd., “C”, FLR, 5.593% (LIBOR - 1mo. + 2.15%), 10/16/2036 (n) | 1,129,000 | 1,056,597 | ||
ACRES 2021-FL2 Issuer Ltd., “B”, FLR, 5.662% (LIBOR - 1mo. + 2.25%), 1/15/2037 (n) | 1,527,500 | 1,443,615 | ||
Allegro CLO Ltd., 2014-1RA, “A2”, FLR, 5.877% (LIBOR - 3mo. + 1.6%), 10/21/2028 (n) | 252,269 | 244,238 | ||
AmeriCredit Automobile Receivables Trust, 2020-1, “C”, 1.59%, 10/20/2025 | 678,000 | 648,113 | ||
AmeriCredit Automobile Receivables Trust, 2022-2, “A2A”, 4.2%, 12/18/2025 | 1,905,000 | 1,889,445 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “B”, FLR, 4.912% (LIBOR - 1mo. + 1.5%), 12/15/2035 (n) | 375,500 | 346,316 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “C”, FLR, 5.412% (LIBOR - 1mo. + 2%), 12/15/2035 (n) | 153,500 | 143,916 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “B”, FLR, 5.012% (LIBOR - 1mo. + 1.6%), 8/15/2034 (n) | 571,500 | 522,337 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “C”, FLR, 5.262% (LIBOR - 1mo. + 1.85%), 8/15/2034 (n) | 332,000 | 307,947 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL4, “AS”, FLR, 5.112% (LIBOR - 1mo. + 1.7%), 11/15/2036 (n) | 1,684,000 | 1,589,777 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL4, “B”, FLR, 5.412% (LIBOR - 1mo. + 2%), 11/15/2036 (n) | 1,684,000 | 1,580,529 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL4, “C”, FLR, 5.712% (LIBOR - 1mo. + 2.3%), 11/15/2036 (n) | 1,014,000 | 946,990 | ||
Arbor Realty Trust, Inc., CLO, 2022-FL1, “C”, FLR, 5.091% (SOFR - 30 day + 2.3%), 1/15/2037 (n) | 2,695,500 | 2,588,076 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
AREIT 2019-CRE3 Trust, “AS”, FLR, 4.79% (LIBOR - 1mo. + 1.3%), 9/14/2036 (n) | $ | 613,500 | $605,010 | |
AREIT 2019-CRE3 Trust, “B”, FLR, 5.04% (LIBOR - 1mo. + 1.55%), 9/14/2036 (n) | 303,000 | 296,945 | ||
AREIT 2019-CRE3 Trust, “C”, FLR, 5.39% (SOFR - 1mo. + 2.014%), 9/14/2036 (n) | 250,500 | 246,006 | ||
AREIT 2022-CRE6 Trust, “C”, FLR, 5.043% (SOFR - 30 day + 2.15%), 1/16/2037 (n) | 894,000 | 827,319 | ||
AREIT 2022-CRE6 Trust, “D”, FLR, 5.743% (SOFR - 30 day + 2.85%), 12/17/2024 (n) | 795,500 | 731,456 | ||
AREIT 2022-CRE7 LLC, “B”, FLR, 6.659% (SOFR - 1mo. + 3.244%), 6/17/2039 (n) | 2,563,500 | 2,435,686 | ||
Avery Point CLO Ltd., 2014-1A, “CR”, FLR, 6.708% (LIBOR - 3mo. + 2.35%), 4/25/2026 (n) | 5,082 | 5,057 | ||
Balboa Bay Loan Funding Ltd., 2020-1A, “BR”, FLR, 5.893% (LIBOR - 3mo. + 1.65%), 1/20/2032 (n) | 1,606,204 | 1,500,047 | ||
Balboa Bay Loan Funding Ltd., 2020-1A, “CR”, FLR, 6.342% (LIBOR - 3mo. + 2.1%), 1/20/2032 (n) | 870,027 | 783,162 | ||
Ballyrock CLO 2018-1A Ltd., “A2”, FLR, 5.843% (LIBOR - 3mo. + 1.6%), 4/20/2031 (n) | 1,368,365 | 1,301,865 | ||
Ballyrock CLO 2018-1A Ltd., “B”, FLR, 6.142% (LIBOR - 3mo. + 1.9%), 4/20/2031 (n) | 579,877 | 535,168 | ||
BBCMS Mortgage Trust, 2018-C2, “XA”, 0.759%, 12/15/2051 (i)(n) | 19,359,889 | 674,379 | ||
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.299%, 7/15/2054 (i) | 7,370,054 | 538,831 | ||
BBCMS Mortgage Trust, 2021-C11, “XA”, 1.385%, 9/15/2054 (i) | 7,480,831 | 578,255 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.628%, 2/15/2054 (i) | 11,388,577 | 1,041,040 | ||
BDS 2021-FL10 Ltd., “B”, FLR, 5.393% (LIBOR - 1mo. + 1.95%), 12/16/2036 (n) | 793,500 | 743,039 | ||
BDS 2021-FL10 Ltd., “C”, FLR, 5.743% (LIBOR - 1mo. + 2.3%), 12/16/2036 (n) | 577,000 | 535,170 | ||
Benchmark 2021-B23 Mortgage Trust, “XA”, 1.272%, 2/15/2054 (i) | 12,571,164 | 857,810 | ||
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.267%, 7/15/2054 (i) | 14,538,813 | 1,035,241 | ||
Benchmark 2021-B28 Mortgage Trust, “XA”, 1.284%, 8/15/2054 (i) | 10,258,533 | 731,609 | ||
Benchmark 2021-B29 Mortgage Trust, “XA”, 1.043%, 9/15/2054 (i) | 14,881,933 | 837,564 | ||
BSPRT 2021-FL6 Issuer Ltd., “C”, FLR, 5.462% (LIBOR - 1mo. + 2.05%), 3/15/2036 (n) | 485,000 | 446,847 | ||
BSPRT 2021-FL7 Issuer Ltd., “B”, FLR, 5.462% (LIBOR - 1mo. + 2.05%), 12/15/2038 (n) | 339,000 | 313,610 | ||
BSPRT 2021-FL7 Issuer Ltd., “C”, FLR, 5.712% (LIBOR - 1mo. + 2.3%), 12/15/2038 (n) | 408,500 | 374,533 | ||
BSPRT 2022-FL8 Issuer Ltd., “A”, FLR, 4.291% (SOFR - 30 day + 1.5%), 2/15/2037 (n) | 3,217,000 | 3,081,161 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
BSPRT 2022-FL8 Issuer Ltd., “B”, FLR, 4.841% (SOFR - 30 day + 2.05%), 2/15/2037 (n) | $ | 445,500 | $426,525 | |
BSPRT 2022-FL8 Issuer Ltd., “C”, FLR, 5.091% (SOFR - 30 day + 2.3%), 2/15/2037 (n) | 719,500 | 686,979 | ||
Business Jet Securities LLC, 2020-1A, “A”, 2.981%, 11/15/2035 (n) | 277,914 | 253,504 | ||
Business Jet Securities LLC, 2021-1A, “A”, 2.162%, 4/15/2036 (n) | 356,308 | 308,592 | ||
Business Jet Securities LLC, 2021-1A, “B”, 2.918%, 4/15/2036 (n) | 76,086 | 61,547 | ||
BXMT 2020-FL2 Ltd., “B”, FLR, 4.89% (LIBOR - 1mo. + 1.4%), 2/15/2038 (n) | 1,492,000 | 1,397,273 | ||
BXMT 2020-FL2 Ltd., “A”, FLR, 4.39% (LIBOR - 1mo. + 0.9%), 2/15/2038 (n) | 1,838,178 | 1,814,559 | ||
BXMT 2021-FL4 Ltd., “AS”, FLR, 4.712% (LIBOR - 1mo. + 1.3%), 5/15/2038 (n) | 2,601,000 | 2,473,377 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 564,879 | 524,691 | ||
CD 2017-CD4 Mortgage Trust, “XA”, 1.226%, 5/10/2050 (i) | 9,631,892 | 393,047 | ||
CF Hippolyta Issuer LLC, 2020-1, “A1”, 1.69%, 7/15/2060 (n) | 364,188 | 320,165 | ||
CF Hippolyta Issuer LLC, 2020-1, “B1”, 2.28%, 7/15/2060 (n) | 115,273 | 98,908 | ||
Commercial Equipment Finance 2021-A, LLC, “A”, 2.05%, 2/16/2027 (n) | 759,917 | 730,139 | ||
Commercial Mortgage Pass-Through Certificates, 2019-BN24, “XA”, 0.64%, 11/15/2062 (i) | 9,037,181 | 319,919 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN31, “XA”, 1.327%, 2/15/2054 (i) | 11,049,192 | 838,120 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.78%, 4/15/2054 (i) | 10,557,850 | 463,300 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN34, “XA”, 0.977%, 6/15/2063 (i) | 11,395,758 | 643,906 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.048%, 6/15/2064 (i) | 6,130,365 | 364,761 | ||
Credit Acceptance Auto Loan Trust, 2021-4, “B”, 1.74%, 12/16/2030 (n) | 584,000 | 528,007 | ||
Credit Acceptance Auto Loan Trust, 2021-2A, “A”, 0.96%, 2/15/2030 (n) | 451,000 | 428,494 | ||
Credit Acceptance Auto Loan Trust, 2021-2A, “B”, 1.26%, 4/15/2030 (n) | 250,000 | 225,481 | ||
Credit Acceptance Auto Loan Trust, 2021-3A, “B”, 1.38%, 7/15/2030 (n) | 312,000 | 280,739 | ||
Credit Acceptance Auto Loan Trust, 2021-3A, “C”, 1.63%, 9/16/2030 (n) | 250,000 | 220,675 | ||
Credit Acceptance Auto Loan Trust, 2021-4, “A”, 1.26%, 10/15/2030 (n) | 318,000 | 296,090 | ||
Cutwater 2015-1A Ltd., “AR”, FLR, 5.299% (LIBOR - 3mo. + 1.22%), 1/15/2029 (n) | 811,699 | 803,330 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Dryden Senior Loan Fund, 2017-49A, “BR”, CLO, FLR, 5.793% (LIBOR - 3mo. + 1.6%), 7/18/2030 (n) | $ | 1,945,990 | $1,846,974 | |
Exeter Automobile Receivables Trust, 2020-1A, 2.49%, 1/15/2025 (n) | 70,054 | 69,980 | ||
Fortress CBO Investments Ltd., 2022-FL3, “A”, FLR, 4.821% (SOFR - 30 day + 1.85%), 2/23/2039 (n) | 1,917,000 | 1,870,609 | ||
Fortress CBO Investments Ltd., 2022-FL3, “AS”, FLR, 5.221% (SOFR - 30 day + 2.25%), 2/23/2039 (n) | 1,785,500 | 1,701,756 | ||
GLS Auto Receivables Trust, 2021-3A, “B”, 0.78%, 11/17/2025 (n) | 890,384 | 857,922 | ||
GS Mortgage Securities Trust, 2017-GS6, “XA”, 1.163%, 5/10/2050 (i) | 10,676,222 | 392,753 | ||
GS Mortgage Securities Trust, 2017-GS7, “XA”, 1.083%, 8/10/2050 (i) | 10,876,919 | 398,829 | ||
GS Mortgage Securities Trust, 2020-GC47, “A5”, 1.13%, 5/12/2053 (i) | 8,645,988 | 545,973 | ||
Invitation Homes 2018-SFR1 Trust, “B”, FLR, 4.362% (LIBOR - 1mo. + 0.95%), 3/17/2037 (n) | 952,863 | 932,404 | ||
Jamestown CLO Ltd., 2020-15A, “C”, FLR, 6.529% (LIBOR - 3mo. + 2.45%), 4/15/2033 (n) | 3,069,116 | 2,785,689 | ||
JPMorgan Chase Commercial Mortgage Securities Corp., 0.989%, 9/15/2050 (i) | 11,704,514 | 386,900 | ||
LAD Auto Receivables Trust, 2022-1A, “A”, 5.21%, 6/15/2027 (n) | 1,012,995 | 994,397 | ||
LoanCore 2018-CRE1 Ltd., “AS”, FLR, 4.912% (LIBOR - 1mo. + 1.5%), 5/15/2028 (n) | 1,578,713 | 1,563,478 | ||
LoanCore 2018-CRE1 Ltd., “C”, FLR, 5.962% (LIBOR - 1mo. + 2.55%), 5/15/2028 (n) | 577,000 | 573,173 | ||
LoanCore 2019-CRE3 Ltd., “AS”, FLR, 4.782% (LIBOR - 1mo. + 1.37%), 4/15/2034 (n) | 1,731,657 | 1,719,294 | ||
LoanCore 2021-CRE5 Ltd., “AS”, FLR, 5.162% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | 1,752,500 | 1,622,919 | ||
LoanCore 2021-CRE5 Ltd., “B”, FLR, 5.412% (LIBOR - 1mo. + 2%), 7/15/2036 (n) | 741,000 | 683,745 | ||
Madison Park Funding Ltd., 2014-13A, “BR2”, FLR, 5.726% (LIBOR - 3mo. + 1.5%), 4/19/2030 (n) | 2,174,539 | 2,097,886 | ||
Magnetite CLO Ltd., 2015-16A, “BR”, FLR, 5.393% (LIBOR - 3mo. + 1.2%), 1/18/2028 (n) | 2,590,000 | 2,515,398 | ||
MF1 2020-FL4 Ltd., “B”, FLR, 6.24% (LIBOR - 1mo. + 2.75%), 11/15/2035 (n) | 2,437,000 | 2,337,669 | ||
MF1 2021-FL6 Ltd., “B”, FLR, 5.093% (LIBOR - 1mo. + 1.65%), 7/16/2036 (n) | 3,089,144 | 2,904,710 | ||
MF1 2022-FL8 Ltd., “C”, FLR, 5.094% (SOFR - 30 day + 2.2%), 2/19/2037 (n) | 941,914 | 884,273 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
MF1 2022-FL9 Ltd., “B”, FLR, 6.617% (SOFR - 1mo. + 3.15%), 6/19/2037 (n) | $ | 2,988,000 | $2,938,205 | |
Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C33, “XA”, 1.251%, 5/15/2050 (i) | 9,229,057 | 373,012 | ||
Morgan Stanley Capital I Trust, 2017-H1, “XA”, 1.325%, 6/15/2050 (i) | 4,108,382 | 159,524 | ||
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 0.831%, 12/15/2051 (i) | 15,870,085 | 588,607 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.296%, 5/15/2054 (i) | 9,497,111 | 673,239 | ||
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.23%, 6/15/2054 (i) | 8,776,384 | 562,847 | ||
Navistar Financial Dealer Note Master Owner Trust, 2022-1, “A”, FLR, 4.195% (SOFR - 30 day + 1.25%), 5/25/2027 (n) | 2,109,000 | 2,111,923 | ||
NextGear Floorplan Master Owner Trust, 2022-1A, “A1”, FLR, 3.841% (SOFR - 30 day + 1.05%), 3/15/2027 (n) | 1,387,000 | 1,377,636 | ||
Oaktree CLO 2019-1A Ltd., “BR”, FLR, 6.075% (LIBOR - 3mo. + 1.75%), 4/22/2030 (n) | 1,427,638 | 1,335,928 | ||
Oaktree CLO 2019-1A Ltd., “CR”, FLR, 6.675% (LIBOR - 3mo. + 2.35%), 4/22/2030 (n) | 1,427,638 | 1,297,330 | ||
OCP CLO 2015-10A Ltd., “BR2”, FLR, 5.976% (LIBOR - 3mo. + 1.65%), 1/26/2034 (n) | 2,250,000 | 2,086,200 | ||
OneMain Financial Issuance Trust, 2020-1A, “A”, 3.84%, 5/14/2032 (n) | 1,018,202 | 1,005,561 | ||
OneMain Financial Issuance Trust, 2020-2A, “A”, 1.75%, 9/14/2035 (n) | 1,819,000 | 1,572,663 | ||
OneMain Financial Issuance Trust, 2022-S1, “A”, 4.13%, 5/14/2035 (n) | 1,170,000 | 1,090,833 | ||
PFP III 2021-7 Ltd., “B”, FLR, 4.812% (LIBOR - 1mo. + 1.4%), 4/14/2038 (n) | 604,470 | 554,798 | ||
PFP III 2021-7 Ltd., “C”, FLR, 5.062% (LIBOR - 1mo. + 1.65%), 4/14/2038 (n) | 191,490 | 176,876 | ||
PFP III 2021-8 Ltd., “B”, FLR, 4.912% (LIBOR - 1mo. + 1.5%), 8/09/2037 (n) | 617,500 | 553,255 | ||
Progress Residential 2021-SFR1 Trust, “B”, 1.303%, 4/17/2038 (n) | 248,000 | 208,384 | ||
Progress Residential 2021-SFR1 Trust, “C”, 1.555%, 4/17/2038 (n) | 186,000 | 155,691 | ||
Securitized Term Auto Receivable Trust, 2019-CRTA, “B”, 2.453%, 3/25/2026 (n) | 67,523 | 66,995 | ||
Securitized Term Auto Receivable Trust, 2019-CRTA, “C”, 2.849%, 3/25/2026 (n) | 86,685 | 86,063 | ||
Shackleton 2013-4RA CLO Ltd., “B”, FLR, 5.84% (LIBOR - 3mo. + 1.9%), 4/13/2031 (n) | 722,762 | 659,460 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Shelter Growth CRE 2021-FL3 Ltd., “C”, FLR, 5.562% (LIBOR - 1mo. + 2.15%), 9/15/2036 (n) | $ | 2,649,500 | $2,481,011 | |
Southwick Park CLO, Ltd., 2019-4A, “B1R”, FLR, 5.742% (LIBOR - 3mo. + 1.5%), 7/20/2032 (n) | 645,000 | 606,971 | ||
Southwick Park CLO, Ltd., 2019-4A, “B2R”, 2.46%, 7/20/2032 (n) | 1,123,000 | 892,124 | ||
Southwick Park CLO, Ltd., 2019-4A, “CR”, FLR, 6.192% (LIBOR - 3mo. + 1.95%), 7/20/2032 (n) | 1,528,000 | 1,398,520 | ||
Starwood Commercial Mortgage, 2021-FL2, “B”, FLR, 5.243% (LIBOR - 1mo. + 1.8%), 4/18/2038 (n) | 2,295,000 | 2,192,555 | ||
TICP CLO 2018-3R Ltd., “B”, FLR, 5.592% (LIBOR - 3mo. + 1.35%), 4/20/2028 (n) | 681,356 | 665,011 | ||
TICP CLO 2018-3R Ltd., “C”, FLR, 6.042% (LIBOR - 3mo. + 1.8%), 4/20/2028 (n) | 1,195,706 | 1,151,307 | ||
TPG Real Estate Finance, 2021-FL4, “AS”, FLR, 4.812% (LIBOR - 1mo. + 1.4%), 3/15/2038 (n) | 1,305,000 | 1,238,820 | ||
TPG Real Estate Finance, 2021-FL4, “B”, FLR, 5.262% (LIBOR - 1mo. + 1.85%), 3/15/2038 (n) | 2,749,000 | 2,579,980 | ||
UBS Commercial Mortgage Trust, 2017-C1, “XA”, 1.023%, 11/15/2050 (i) | 6,115,023 | 223,212 | ||
UBS Commercial Mortgage Trust, 2018-C14, “XA”, 0.95%, 12/15/2051 (i) | 7,682,448 | 337,544 | ||
Wells Fargo Commercial Mortgage Trust, 2021-C61, “XA”, 1.37%, 11/15/2054 (i) | 6,134,757 | 464,519 | ||
World Omni Auto Receivables Trust, 3.67%, 6/15/2027 | 678,000 | 655,588 | ||
$117,703,876 | ||||
Automotive – 2.4% | ||||
Daimler Trucks Finance North America LLC, 1.625%, 12/13/2024 (n) | $ | 2,671,000 | $2,455,694 | |
General Motors Financial Co., 1.7%, 8/18/2023 | 2,207,000 | 2,136,999 | ||
Hyundai Capital America, 2.85%, 11/01/2022 (n) | 1,427,000 | 1,427,000 | ||
Hyundai Capital America, 2.375%, 2/10/2023 (n) | 649,000 | 643,397 | ||
Hyundai Capital America, 5.75%, 4/06/2023 (n) | 2,068,000 | 2,069,241 | ||
Hyundai Capital America, 0.8%, 1/08/2024 (n) | 249,000 | 235,013 | ||
Hyundai Capital America, 5.875%, 4/07/2025 (n) | 2,077,000 | 2,055,419 | ||
Mercedes-Benz Finance North America LLC, 0.75%, 3/01/2024 (n) | 1,496,000 | 1,408,993 | ||
Stellantis Finance US, Inc., 1.711%, 1/29/2027 (n) | 1,625,000 | 1,343,345 | ||
Volkswagen Group of America Finance LLC, 3.125%, 5/12/2023 (n) | 251,000 | 248,069 | ||
Volkswagen Group of America Finance LLC, 2.85%, 9/26/2024 (n) | 878,000 | 833,327 | ||
Volkswagen Group of America Finance LLC, 3.35%, 5/13/2025 (n) | 2,014,000 | 1,896,151 | ||
Volkswagen Group of America Finance LLC, 1.25%, 11/24/2025 (n) | 1,359,000 | 1,186,729 | ||
$17,939,377 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Broadcasting – 0.7% | ||||
Warnermedia Holdings, Inc., 3.788%, 3/15/2025 (n) | $ | 4,233,000 | $3,991,192 | |
Warnermedia Holdings, Inc., 3.755%, 3/15/2027 (n) | 1,062,000 | 944,736 | ||
$4,935,928 | ||||
Brokerage & Asset Managers – 1.2% | ||||
Brookfield Finance, Inc., 3.9%, 1/25/2028 | $ | 4,053,000 | $3,628,865 | |
Charles Schwab Corp., 0.75%, 3/18/2024 | 1,742,000 | 1,643,029 | ||
NASDAQ, Inc., 0.445%, 12/21/2022 | 1,200,000 | 1,193,013 | ||
National Securities Clearing Corp., 1.2%, 4/23/2023 (n) | 600,000 | 589,413 | ||
National Securities Clearing Corp., 0.4%, 12/07/2023 (n) | 1,724,000 | 1,640,957 | ||
National Securities Clearing Corp., 1.5%, 4/23/2025 (n) | 250,000 | 228,816 | ||
$8,924,093 | ||||
Business Services – 0.5% | ||||
Equinix, Inc., 1.25%, 7/15/2025 | $ | 972,000 | $865,702 | |
Global Payments, Inc., 1.2%, 3/01/2026 | 2,281,000 | 1,946,080 | ||
Tencent Holdings Ltd., 1.81%, 1/26/2026 (n) | 1,551,000 | 1,362,440 | ||
$4,174,222 | ||||
Cable TV – 0.3% | ||||
SES S.A., 3.6%, 4/04/2023 (n) | $ | 2,158,000 | $2,127,872 | |
Computer Software – 0.2% | ||||
Dell International LLC/EMC Corp., 4%, 7/15/2024 | $ | 1,151,000 | $1,123,363 | |
Dell International LLC/EMC Corp., 5.85%, 7/15/2025 | 425,000 | 425,278 | ||
Infor, Inc., 1.45%, 7/15/2023 (n) | 250,000 | 240,986 | ||
$1,789,627 | ||||
Computer Software - Systems – 0.3% | ||||
VMware, Inc., 1%, 8/15/2024 | $ | 1,476,000 | $1,360,915 | |
VMware, Inc., 1.4%, 8/15/2026 | 1,143,000 | 975,103 | ||
$2,336,018 | ||||
Conglomerates – 0.3% | ||||
Carrier Global Corp., 2.242%, 2/15/2025 | $ | 289,000 | $268,947 | |
Westinghouse Air Brake Technologies Corp., 4.4%, 3/15/2024 | 2,070,000 | 2,023,444 | ||
$2,292,391 | ||||
Consumer Products – 0.5% | ||||
GSK Consumer Healthcare Capital UK PLC, 3.125%, 3/24/2025 | $ | 2,654,000 | $2,499,445 | |
GSK Consumer Healthcare Capital UK PLC, 3.375%, 3/24/2027 | 1,154,000 | 1,043,685 | ||
$3,543,130 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Containers – 0.6% | ||||
Berry Global, Inc., 1.57%, 1/15/2026 | $ | 2,361,000 | $2,046,371 | |
Berry Global, Inc., 1.65%, 1/15/2027 | 2,847,000 | 2,346,038 | ||
$4,392,409 | ||||
Electronics – 0.7% | ||||
Microchip Technology, Inc., 0.983%, 9/01/2024 | $ | 3,485,000 | $3,198,279 | |
Qorvo, Inc., 1.75%, 12/15/2024 (n) | 909,000 | 828,917 | ||
Skyworks Solutions, Inc., 0.9%, 6/01/2023 | 1,081,000 | 1,050,040 | ||
TSMC Arizona Corp., 1.75%, 10/25/2026 | 586,000 | 505,683 | ||
$5,582,919 | ||||
Emerging Market Quasi-Sovereign – 0.4% | ||||
DAE Funding LLC (United Arab Emirates), 1.55%, 8/01/2024 (n) | $ | 796,000 | $722,064 | |
DAE Funding LLC (United Arab Emirates), 2.625%, 3/20/2025 (n) | 1,375,000 | 1,247,538 | ||
Indian Oil Corp. Ltd., 5.75%, 8/01/2023 | 858,000 | 859,458 | ||
$2,829,060 | ||||
Emerging Market Sovereign – 0.2% | ||||
Emirate of Abu Dhabi, 0.75%, 9/02/2023 (n) | $ | 1,671,000 | $1,612,943 | |
Energy - Independent – 0.2% | ||||
EQT Corp., 5.678%, 10/01/2025 | $ | 779,000 | $770,055 | |
EQT Corp., 5.7%, 4/01/2028 | 778,000 | 757,072 | ||
Pioneer Natural Resources Co., 0.55%, 5/15/2023 | 379,000 | 369,802 | ||
$1,896,929 | ||||
Energy - Integrated – 0.3% | ||||
Eni S.p.A., 4%, 9/12/2023 (n) | $ | 1,523,000 | $1,495,204 | |
Exxon Mobil Corp., 1.571%, 4/15/2023 | 882,000 | 869,705 | ||
$2,364,909 | ||||
Financial Institutions – 1.8% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.875%, 1/16/2024 | $ | 1,755,000 | $1,722,538 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.15%, 2/15/2024 | 1,243,000 | 1,189,744 | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.75%, 10/29/2024 | 1,571,000 | 1,423,661 | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.5%, 7/15/2025 | 1,285,000 | 1,264,936 | ||
Air Lease Corp., 2.2%, 1/15/2027 | 1,590,000 | 1,329,909 | ||
Avolon Holdings Funding Ltd., 3.95%, 7/01/2024 (n) | 1,013,000 | 948,387 | ||
Avolon Holdings Funding Ltd., 5.5%, 1/15/2026 (n) | 892,000 | 819,656 | ||
Avolon Holdings Funding Ltd., 2.125%, 2/21/2026 (n) | 2,500,000 | 2,049,705 | ||
Avolon Holdings Funding Ltd., 4.25%, 4/15/2026 (n) | 769,000 | 672,208 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Financial Institutions – continued | ||||
Avolon Holdings Funding Ltd., 2.528%, 11/18/2027 (n) | $ | 1,715,000 | $1,309,159 | |
Avolon Holdings Funding Ltd., 2.75%, 2/21/2028 (n) | 1,313,000 | 1,003,679 | ||
$13,733,582 | ||||
Food & Beverages – 0.4% | ||||
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029 (n) | $ | 2,313,000 | $1,873,908 | |
JDE Peet's N.V., 0.8%, 9/24/2024 (n) | 681,000 | 617,797 | ||
JDE Peet's N.V., 1.375%, 1/15/2027 (n) | 1,050,000 | 861,133 | ||
$3,352,838 | ||||
Food & Drug Stores – 0.3% | ||||
7-Eleven, Inc., 0.8%, 2/10/2024 (n) | $ | 2,125,000 | $2,003,958 | |
Forest & Paper Products – 0.2% | ||||
Fibria Overseas Finance Ltd., 5.5%, 1/17/2027 | $ | 1,286,000 | $1,237,775 | |
Gaming & Lodging – 1.3% | ||||
GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/01/2023 | $ | 1,128,000 | $1,115,299 | |
GLP Capital LP/GLP Financing II, Inc., 5.25%, 6/01/2025 | 2,186,000 | 2,108,043 | ||
GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026 | 405,000 | 386,597 | ||
Hyatt Hotels Corp., 1.3%, 10/01/2023 | 2,305,000 | 2,211,794 | ||
Hyatt Hotels Corp., 1.8%, 10/01/2024 | 1,976,000 | 1,843,064 | ||
Las Vegas Sands Corp., 3.2%, 8/08/2024 | 1,270,000 | 1,209,270 | ||
Marriott International, Inc., 3.75%, 10/01/2025 | 459,000 | 437,083 | ||
Sands China Ltd., 4.3%, 1/08/2026 | 1,030,000 | 842,560 | ||
$10,153,710 | ||||
Industrial – 0.0% | ||||
Howard University, Washington D.C., AGM, 2.416%, 10/01/2024 | $ | 123,000 | $115,610 | |
Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | 152,000 | 139,544 | ||
$255,154 | ||||
Insurance – 1.0% | ||||
AIG Global Funding, 0.8%, 7/07/2023 (n) | $ | 1,362,000 | $1,322,852 | |
Corebridge Financial, Inc., 3.5%, 4/04/2025 (n) | 1,146,000 | 1,080,021 | ||
Corebridge Financial, Inc., 3.65%, 4/05/2027 (n) | 1,613,000 | 1,460,855 | ||
Equitable Financial Life Insurance Co., 1.4%, 7/07/2025 (n) | 1,485,000 | 1,328,095 | ||
Metropolitan Life Global Funding I, 0.4%, 1/07/2024 (n) | 2,146,000 | 2,028,164 | ||
$7,219,987 | ||||
Insurance - Property & Casualty – 0.2% | ||||
Aon PLC, 2.2%, 11/15/2022 | $ | 1,193,000 | $1,191,824 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Internet – 0.3% | ||||
Baidu, Inc., 3.875%, 9/29/2023 | $ | 2,225,000 | $2,196,075 | |
Machinery & Tools – 0.4% | ||||
CNH Industrial Capital LLC, 4.2%, 1/15/2024 | $ | 1,726,000 | $1,696,447 | |
CNH Industrial Capital LLC, 1.875%, 1/15/2026 | 448,000 | 394,416 | ||
CNH Industrial N.V., 4.5%, 8/15/2023 | 962,000 | 954,176 | ||
$3,045,039 | ||||
Major Banks – 9.4% | ||||
Bank of Montreal, 2.05%, 11/01/2022 | $ | 1,694,000 | $1,694,000 | |
Barclays PLC, 1.007% to 12/10/2023, FLR (CMT - 1yr. + 0.8%) to 12/10/2024 | 781,000 | 731,203 | ||
Barclays PLC, 2.852% to 5/07/2025, FLR (LIBOR - 3mo. + 2.452%) to 5/07/2026 | 759,000 | 683,644 | ||
Barclays PLC, 2.279% to 11/24/2026, FLR (CMT - 1yr. + 1.05%) to 11/24/2027 | 2,856,000 | 2,363,033 | ||
BNP Paribas S.A., 2.591% to 1/20/2027, FLR (SOFR - 1 day + 1.228%) to 1/20/2028 (n) | 3,494,000 | 2,941,223 | ||
Capital One Financial Corp., 4.166%, 5/09/2025 | 2,319,000 | 2,228,594 | ||
Capital One Financial Corp., 2.636% to 3/03/2025, FLR (SOFR - 1 day + 1.29%) to 3/03/2026 | 1,712,000 | 1,569,494 | ||
Deutsche Bank AG, 0.898%, 5/28/2024 | 694,000 | 636,932 | ||
Deutsche Bank AG, 1.447% to 4/1/2024, FLR (SOFR - 1 day + 1.131%) to 4/01/2025 | 3,247,000 | 2,960,017 | ||
Deutsche Bank AG, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027 | 849,000 | 677,674 | ||
Goldman Sachs Group, Inc., 1.093% to 12/09/2025, FLR (SOFR - 1 day + 0.789%) to 12/09/2026 | 1,268,000 | 1,087,674 | ||
HSBC Holdings PLC, 3.033% to 11/22/2022, FLR (LIBOR - 3mo. + 0.923%) to 11/22/2023 | 757,000 | 755,484 | ||
HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR - 1 day + 1.929%) to 6/04/2026 | 728,000 | 640,324 | ||
HSBC Holdings PLC, 7.336% to 11/03/2025, FLR (SOFR - 1 day + 3.03%) to 11/03/2026 | 646,000 | 647,788 | ||
HSBC Holdings PLC, 1.589% to 5/24/2026, FLR (SOFR - 1 day + 1.29%) to 5/24/2027 | 860,000 | 706,732 | ||
HSBC Holdings PLC, 2.251% to 11/22/2026, FLR (SOFR - 1 day + 1.1%) to 11/22/2027 | 2,840,000 | 2,335,044 | ||
Huntington Bancshares, Inc., 4.008% to 5/16/2024, FLR (SOFR - 1 day + 1.205%) to 5/16/2025 | 1,196,000 | 1,165,604 | ||
JPMorgan Chase & Co., 3.375%, 5/01/2023 | 1,071,000 | 1,063,170 | ||
JPMorgan Chase & Co., 3.797% to 7/23/2023, FLR (LIBOR - 3mo. + 0.89%) to 7/23/2024 | 1,347,000 | 1,327,769 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
JPMorgan Chase & Co., 1.04% to 2/04/2026, FLR (SOFR - 1 day + 0.695%) to 2/04/2027 | $ | 1,700,000 | $1,445,663 | |
Lloyds Banking Group PLC, 3.511% to 3/18/2025, FLR (CMT - 1yr. + 1.6%) to 3/18/2026 | 2,402,000 | 2,222,716 | ||
Mitsubishi UFJ Financial Group, Inc., 0.848% to 9/15/2023, FLR (CMT - 1yr. + 0.68%) to 9/15/2024 | 2,789,000 | 2,663,009 | ||
Mitsubishi UFJ Financial Group, Inc., 0.953% to 7/19/2024, FLR (CMT - 1yr. + 0.55%) to 7/19/2025 | 1,997,000 | 1,832,901 | ||
Mitsubishi UFJ Financial Group, Inc., 0.962% to 10/11/2024, FLR (CMT - 1yr. + 0.45%) to 10/11/2025 | 1,264,000 | 1,149,078 | ||
Mizuho Financial Group, 0.849% to 9/08/2023, FLR (LIBOR - 3mo. + 0.61%) to 9/08/2024 | 2,411,000 | 2,303,272 | ||
Nationwide Building Society, 2.972% to 2/16/2027, FLR (SOFR - 1 day + 1.29%) to 2/16/2028 (n) | 2,445,000 | 2,070,510 | ||
NatWest Group PLC, 2.359% to 5/22/2023, FLR (CMT - 1yr. + 2.15%) to 5/22/2024 | 2,219,000 | 2,158,845 | ||
NatWest Group PLC, 4.269% to 3/22/2024, FLR (LIBOR - 3mo. + 1.762%) to 3/22/2025 | 2,276,000 | 2,194,495 | ||
NatWest Markets PLC, 3.479%, 3/22/2025 (n) | 2,257,000 | 2,129,935 | ||
PNC Bank N.A., 2.5%, 8/27/2024 | 1,122,000 | 1,069,473 | ||
Royal Bank of Canada, 0.5%, 10/26/2023 | 3,123,000 | 2,981,642 | ||
Standard Chartered PLC, 0.991% to 1/12/2024, FLR (CMT - 1yr. + 0.78%) to 1/12/2025 (n) | 1,408,000 | 1,308,912 | ||
Standard Chartered PLC, 1.214% to 3/23/2024, FLR (CMT - 1yr. + 0.88%) to 3/23/2025 (n) | 812,000 | 751,368 | ||
Standard Chartered PLC, 1.822% to 11/23/2024, FLR (CMT - 1yr. + 0.95%) to 11/23/2025 (n) | 806,000 | 720,560 | ||
Standard Chartered PLC, 3.971% to 3/30/2025, FLR (CMT - 1yr. + 1.65%) to 3/30/2026 (n) | 1,077,000 | 992,442 | ||
Sumitomo Mitsui Financial Group, Inc., 0.508%, 1/12/2024 | 801,000 | 754,754 | ||
Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025 | 1,675,000 | 1,495,137 | ||
Sumitomo Mitsui Financial Group, Inc., 2.174%, 1/14/2027 | 2,295,000 | 1,983,514 | ||
Sumitomo Mitsui Trust Bank Ltd., 0.85%, 3/25/2024 (n) | 1,334,000 | 1,248,696 | ||
Toronto-Dominion Bank, 0.25%, 1/06/2023 | 1,434,000 | 1,423,231 | ||
UBS Group AG, 1.008% to 7/30/2023, FLR (CMT - 1yr. + 0.83%) to 7/30/2024 (n) | 1,270,000 | 1,222,233 | ||
UBS Group AG, 4.703% to 8/05/2026, FLR (CMT - 1yr. + 2.05%) to 8/05/2027 (n) | 1,000,000 | 929,346 | ||
UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n) | 2,522,000 | 2,162,642 | ||
Wells Fargo & Co., 2.164% to 2/11/2025, FLR (LIBOR - 3mo. + 0.75%) to 2/11/2026 | 2,599,000 | 2,387,109 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
Wells Fargo & Co., 3.526% to 3/24/2027, FLR (SOFR - 1 day + 1.51%) to 3/24/2028 | $ | 3,868,000 | $3,482,957 | |
$71,299,843 | ||||
Medical & Health Technology & Services – 0.6% | ||||
HCA Healthcare, Inc., 3.125%, 3/15/2027 (n) | $ | 1,186,000 | $1,048,424 | |
Thermo Fisher Scientific, Inc., 1.215%, 10/18/2024 | 4,014,000 | 3,732,130 | ||
$4,780,554 | ||||
Metals & Mining – 0.8% | ||||
Anglo American Capital PLC, 4.75%, 4/10/2027 (n) | $ | 911,000 | $853,680 | |
Glencore Funding LLC, 4.125%, 3/12/2024 (n) | 1,146,000 | 1,122,728 | ||
Glencore Funding LLC, 1.625%, 9/01/2025 (n) | 2,677,000 | 2,381,740 | ||
Glencore Funding LLC, 1.625%, 4/27/2026 (n) | 1,675,000 | 1,438,688 | ||
$5,796,836 | ||||
Midstream – 0.9% | ||||
Enbridge, Inc., 2.5%, 2/14/2025 | $ | 1,542,000 | $1,440,825 | |
Energy Transfer LP, 2.9%, 5/15/2025 | 846,000 | 785,325 | ||
Gray Oak Pipeline LLC, 2%, 9/15/2023 (n) | 1,453,000 | 1,406,163 | ||
Plains All American Pipeline LP, 3.85%, 10/15/2023 | 673,000 | 660,975 | ||
Western Midstream Operating LP, 3.35%, 2/01/2025 | 1,082,000 | 1,028,408 | ||
Western Midstream Operating LP, FLR, 5.04% (LIBOR - 3mo. + 0.85%), 1/13/2023 | 1,544,000 | 1,536,280 | ||
$6,857,976 | ||||
Mortgage-Backed – 0.5% | ||||
Fannie Mae, 4.5%, 4/01/2024 - 5/01/2025 | $ | 26,095 | $25,875 | |
Fannie Mae, 3%, 12/01/2031 | 281,132 | 264,393 | ||
Fannie Mae, 2%, 5/25/2044 | 184,071 | 176,634 | ||
Freddie Mac, 0.901%, 4/25/2024 (i) | 84,444 | 896 | ||
Freddie Mac, 4%, 7/01/2025 | 40,748 | 39,739 | ||
Freddie Mac, 1.582%, 4/25/2030 (i) | 6,391,933 | 558,706 | ||
Freddie Mac, 3%, 4/15/2033 - 6/15/2045 | 2,754,701 | 2,529,790 | ||
Freddie Mac, 2%, 7/15/2042 | 452,334 | 406,011 | ||
$4,002,044 | ||||
Municipals – 1.3% | ||||
California Earthquake Authority Rev., Taxable, “B”, 1.477%, 7/01/2023 | $ | 555,000 | $540,685 | |
California Municipal Finance Authority Rev., Taxable (Century Housing Corp.), 1.486%, 11/01/2022 | 255,000 | 255,000 | ||
California Municipal Finance Authority Rev., Taxable (Century Housing Corp.), 1.605%, 11/01/2023 | 305,000 | 294,210 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Municipals – continued | ||||
Illinois Sales Tax Securitization Corp., Second Lien, Taxable, “B”, BAM, 2.128%, 1/01/2023 | $ | 430,000 | $428,064 | |
Illinois Sales Tax Securitization Corp., Second Lien, Taxable, “B”, BAM, 2.225%, 1/01/2024 | 1,030,000 | 990,486 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 1.904%, 7/01/2023 | 115,000 | 112,524 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.156%, 7/01/2024 | 320,000 | 302,867 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.306%, 7/01/2025 | 250,000 | 229,790 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.562%, 7/01/2026 | 315,000 | 282,962 | ||
Michigan Finance Authority Tobacco Settlement Asset-Backed Rev., Taxable (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 657,077 | 587,799 | ||
New Jersey Economic Development Authority State Pension Funding Rev., Capital Appreciation, Taxable, “B”, AGM, 0%, 2/15/2023 | 3,058,000 | 3,016,093 | ||
New Jersey Transportation Trust Fund Authority, Transportation System, Taxable, “B”, 2.551%, 6/15/2023 | 475,000 | 468,134 | ||
New Jersey Transportation Trust Fund Authority, Transportation System, Taxable, “B”, 2.631%, 6/15/2024 | 450,000 | 434,137 | ||
Port Authority of NY & NJ, Taxable, “AAA”, 1.086%, 7/01/2023 | 1,635,000 | 1,594,696 | ||
$9,537,447 | ||||
Natural Gas - Distribution – 0.6% | ||||
Atmos Energy Corp., 0.625%, 3/09/2023 | $ | 2,625,000 | $2,587,110 | |
CenterPoint Energy Resources Corp., 0.7%, 3/02/2023 | 2,225,000 | 2,194,120 | ||
$4,781,230 | ||||
Natural Gas - Pipeline – 0.5% | ||||
APA Infrastructure Ltd., 4.2%, 3/23/2025 (n) | $ | 3,842,000 | $3,663,512 | |
Network & Telecom – 0.5% | ||||
AT&T, Inc., 0.9%, 3/25/2024 | $ | 4,229,000 | $3,993,096 | |
Oils – 0.2% | ||||
Valero Energy Corp., 1.2%, 3/15/2024 | $ | 1,252,000 | $1,180,601 | |
Other Banks & Diversified Financials – 1.3% | ||||
American Express Co., 2.25%, 3/04/2025 | $ | 859,000 | $797,582 | |
Banque Federative du Credit Mutuel S.A., 0.65%, 2/27/2024 (n) | 2,782,000 | 2,608,723 | ||
Groupe BPCE S.A., 4%, 9/12/2023 (n) | 943,000 | 924,123 | ||
Groupe BPCE S.A., FLR, 4.476% (LIBOR - 3mo. + 1.24%), 9/12/2023 (n) | 943,000 | 942,691 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Other Banks & Diversified Financials – continued | ||||
Macquarie Group Ltd., 1.201% to 10/14/2024, FLR (SOFR - 1 day + 0.694%) to 10/14/2025 (n) | $ | 2,251,000 | $2,038,665 | |
Macquarie Group Ltd., 1.34% to 1/12/2026, FLR (SOFR - 1 day + 1.069%) to 1/12/2027 (n) | 1,904,000 | 1,614,955 | ||
National Bank of Canada, 0.55% to 11/15/2023, FLR (CMT - 1yr. + 0.4%) to 11/15/2024 | 1,312,000 | 1,243,452 | ||
$10,170,191 | ||||
Pharmaceuticals – 0.3% | ||||
Royalty Pharma PLC, 0.75%, 9/02/2023 | $ | 2,204,000 | $2,114,311 | |
Real Estate - Office – 0.1% | ||||
Corporate Office Property LP, REIT, 2.25%, 3/15/2026 | $ | 1,172,000 | $1,015,617 | |
Retailers – 0.7% | ||||
Alibaba Group Holding Ltd., 2.8%, 6/06/2023 | $ | 1,506,000 | $1,480,022 | |
Kohl's Corp., 9.5%, 5/15/2025 | 2,655,000 | 2,739,930 | ||
Nordstrom, Inc., 2.3%, 4/08/2024 | 832,000 | 780,820 | ||
$5,000,772 | ||||
Specialty Stores – 0.3% | ||||
Genuine Parts Co., 1.75%, 2/01/2025 | $ | 1,302,000 | $1,200,780 | |
Ross Stores, Inc., 0.875%, 4/15/2026 | 926,000 | 796,431 | ||
$1,997,211 | ||||
Telecommunications - Wireless – 0.9% | ||||
Crown Castle, Inc., REIT, 3.15%, 7/15/2023 | $ | 611,000 | $601,514 | |
Crown Castle, Inc., REIT, 1.35%, 7/15/2025 | 492,000 | 439,482 | ||
Crown Castle, Inc., REIT, 2.9%, 3/15/2027 | 448,000 | 395,047 | ||
Rogers Communications, Inc., 3.2%, 3/15/2027 (n) | 3,568,000 | 3,235,996 | ||
T-Mobile USA, Inc., 3.5%, 4/15/2025 | 2,527,000 | 2,410,788 | ||
$7,082,827 | ||||
Tobacco – 0.3% | ||||
B.A.T. Capital Corp., 3.222%, 8/15/2024 | $ | 1,459,000 | $1,394,451 | |
Philip Morris International, Inc., 1.125%, 5/01/2023 | 722,000 | 708,010 | ||
$2,102,461 | ||||
Transportation - Services – 1.1% | ||||
Element Fleet Management Corp., 1.6%, 4/06/2024 (n) | $ | 6,310,000 | $5,936,460 | |
ERAC USA Finance LLC, 2.7%, 11/01/2023 (n) | 974,000 | 945,237 | ||
ERAC USA Finance LLC, 3.85%, 11/15/2024 (n) | 684,000 | 659,388 | ||
ERAC USA Finance LLC, 3.8%, 11/01/2025 (n) | 684,000 | 643,697 | ||
$8,184,782 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Treasury Obligations – 21.6% | ||||
U.S. Treasury Notes, 0.125%, 1/31/2023 (f)(s) | $ | 25,000,000 | $24,755,377 | |
U.S. Treasury Notes, 0.125%, 5/31/2023 (f)(s) | 25,000,000 | 24,361,328 | ||
U.S. Treasury Notes, 0.125%, 8/31/2023 (f)(s) | 12,453,000 | 11,986,985 | ||
U.S. Treasury Notes, 0.125%, 10/15/2023 (f) | 40,540,000 | 38,823,999 | ||
U.S. Treasury Notes, 0.5%, 11/30/2023 (f)(s) | 12,515,000 | 11,974,802 | ||
U.S. Treasury Notes, 2.75%, 5/15/2025 | 21,100,000 | 20,234,570 | ||
U.S. Treasury Notes, 2.25%, 11/15/2025 | 33,829,000 | 31,729,223 | ||
$163,866,284 | ||||
Utilities - Electric Power – 2.7% | ||||
Edison International, 4.7%, 8/15/2025 | $ | 1,686,000 | $1,627,930 | |
Emera US Finance LP, 0.833%, 6/15/2024 | 1,057,000 | 974,390 | ||
Enel Finance International N.V., 6.8%, 10/14/2025 (n) | 889,000 | 892,697 | ||
ENGIE Energía Chile S.A., 4.5%, 1/29/2025 (n) | 3,214,000 | 3,011,518 | ||
Entergy Louisiana LLC, 0.95%, 10/01/2024 | 2,141,000 | 1,974,292 | ||
FirstEnergy Corp., 2.05%, 3/01/2025 | 1,202,000 | 1,104,940 | ||
FirstEnergy Corp., 1.6%, 1/15/2026 | 734,000 | 638,338 | ||
NextEra Energy Capital Holdings, Inc., 0.65%, 3/01/2023 | 1,743,000 | 1,718,660 | ||
Pacific Gas & Electric Co., 1.7%, 11/15/2023 | 854,000 | 818,471 | ||
Pacific Gas & Electric Co., 3.25%, 2/16/2024 | 3,496,000 | 3,378,816 | ||
Vistra Operations Co. LLC, 4.875%, 5/13/2024 (n) | 3,851,000 | 3,748,024 | ||
WEC Energy Group, Inc., 0.8%, 3/15/2024 | 1,019,000 | 957,798 | ||
$20,845,874 | ||||
Total Bonds (Identified Cost, $606,636,699) | $573,484,128 | |||
Investment Companies (h) – 14.1% | ||||
Money Market Funds – 14.1% | ||||
MFS Institutional Money Market Portfolio, 3.02% (v) (Identified Cost, $107,265,931) | 107,271,416 | $107,271,416 | ||
Short-Term Obligations (s)(y) – 2.0% | ||||
Freddie Mac, 0%, due 11/01/2022 (Identified Cost, $15,235,000) | $ | 15,235,000 | $15,235,000 | |
Other Assets, Less Liabilities – 8.3% | 62,826,362 | |||
Net Assets – 100.0% | $758,816,906 |
(f) | All or a portion of the security has been segregated as collateral for cleared 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 $107,271,416 and $588,719,128, 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 $207,380,991, representing 27.3% 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. | |||
(y) | The rate quoted is the annualized one-day yield of the fund at period end. |
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. It is quoted in USD. |
BCOMBOTR | Bloomberg Soybean Oil Subindex Total Return, this index is composed of futures contracts on soybean oil. It is quoted in USD. |
BCOMCLTR | Bloomberg WTI Crude Oil Subindex Total Return, this index is composed of composed of futures contracts on WTI crude oil. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
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. It is quoted in USD. |
BCOMCTTR | Bloomberg Cotton Subindex Total Return, this index is composed of futures contracts on cotton. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
BCOMF3T | Bloomberg Commodity Index 3 Month Forward Total Return, this index is composed of longer-dated futures contracts on 19 physical commodities. It is quoted in USD. |
BCOMFCT | Bloomberg Feeder Cattle Subindex Total Return, this index is comprised of futures contracts on feeder cattle. It is quoted in USD. |
BCOMGCTR | Bloomberg Gold Subindex Total Return, this index is composed of futures contracts on gold. It is quoted in USD. |
BCOMGOT | Bloomberg Gas and Oil Subindex Total Return, this index is composed of futures contracts on gas and oil. It is quoted in USD. |
BCOMHGTR | Bloomberg Copper Subindex Total Return, this index is composed of futures contracts on copper. It is quoted in USD. |
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. It is quoted in USD. |
BCOMLHTR | Bloomberg Lean Hogs Subindex Total Return, this index is composed of futures contracts on lean hogs. It reflects the return of underlying commodity futures price movements only. It is quoted in USD. |
BCOMNITR | Bloomberg Nickel Subindex Total Return, this index is a single commodity subindex of the Bloomberg CI composed of futures contracts on Nickel. It reflects the return of underlying commodity futures price movements only. 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. |
BCOMPLTR | Bloomberg Platinum Subindex Total Return, this index is composed of futures contracts on platinum. It is quoted in USD. |
BCOMSITR | Bloomberg Silver Subindex Total Return, this index is composed of futures contracts on silver. It is quoted in USD. |
BCOMTR | Bloomberg Commodity Index Total Return |
BCOMWHTR | Bloomberg Wheat Subindex Total Return, this index is composed of futures contracts on wheat. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
BCOMZSTR | Bloomberg Zinc Subindex Total Return, this index is composed of futures contracts on zinc. 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 |
SPGCCCTR | S&P GSCI Cocoa Index Total Return |
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 | |||
Liability Derivatives | ||||||||||
Interest Rate Swaps | ||||||||||
8/19/24 | USD | 14,000,000 | centrally cleared | 3.31%/Annually | Daily SOFR/Annually | $(297,831) | $— | $(297,831) | ||
5/13/25 | USD | 31,300,000 | centrally cleared | 2.76%/Annually | Daily SOFR/Annually | (1,118,463) | — | (1,118,463) | ||
10/17/25 | USD | 13,600,000 | centrally cleared | 4.20%/Annually | Daily SOFR/Annually | (35,846) | — | (35,846) | ||
$(1,452,140) | $— | $(1,452,140) |
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 | ||||||||
11/30/22 | USD | 10,855,130 (Short) | Goldman Sachs International | 3 month T-Bill + 0.045% | BCOMGCTR (floating rate) | $34,202 | $— | $34,202 |
1/13/23 | USD | 11,244,587 (Short) | Citibank N.A. | 3 month T-Bill + 0.03% | BCOMLCTR (floating rate) | 33,694 | — | 33,694 |
1/13/23 | USD | 9,823,083 (Short) | Morgan Stanley | 3 month T-Bill + 0.03% | SPGCCCTR (floating rate) | 30,743 | — | 30,743 |
3/15/23 | USD | 11,076,371 (Short) | Morgan Stanley | 3 month T-Bill - 0.08% | BCOMPLTR (floating rate) | 31,326 | — | 31,326 |
4/11/23 | USD | 12,681,496 (Short) | Morgan Stanley | 3 month T-Bill + 0.00% | BCOMFCT (floating rate) | 38,331 | — | 38,331 |
4/28/23 | USD | 8,833,631 (Short) | Merrill Lynch International | 3 month T-Bill - 0.08% | BCOMHGTR (floating rate) | 27,349 | — | 27,349 |
5/15/23 | USD | 3,123,254 (Short) | JPMorgan Chase Bank N.A. | 3 month T-Bill - 0.05% | BCOMWHTR (floating rate) | 10,072 | — | 10,072 |
5/15/23 | USD | 2,635,623 (Short) | Goldman Sachs International | 3 month T-Bill + 0.05% | BCOMNITR (floating rate) | 7,900 | — | 7,900 |
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 | ||||||||||
5/15/23 | USD | 3,381,898 (Short) | JPMorgan Chase Bank N.A. | 3 month T-Bill - 0.05% | BCOMKWT (floating rate) | $10,578 | $— | $10,578 | ||
9/29/23 | USD | 5,376,392 (Short) | Morgan Stanley | 3 month T-Bill - 0.03% | BCOMSITR (floating rate) | 16,620 | — | 16,620 | ||
9/29/23 | USD | 10,327,148 (Short) | Morgan Stanley | 3 month T-Bill - 0.03% | BCOMPBTR (floating rate) | 30,606 | — | 30,606 | ||
10/16/23 | USD | 10,757,681 (Short) | Morgan Stanley | 3 month T-Bill - 0.03% | BCOMALTR (floating rate) | 32,514 | — | 32,514 | ||
$303,935 | $— | $303,935 | ||||||||
Liability Derivatives | ||||||||||
Total Return Swaps | ||||||||||
11/30/22 | USD | 26,239,836 (Long) | Citibank N.A. | BCOMTR (floating rate) | 3 month T-Bill + 0.10% | $(83,065) | $— | $(83,065) | ||
11/30/22 | USD | 54,666,326 (Long) | Goldman Sachs International | BCOMTR (floating rate) | 3 month T-Bill + 0.09% | (172,381) | — | (172,381) | ||
11/30/22 | USD | 109,332,654 (Long) | JPMorgan Chase Bank N.A. | BCOMTR (floating rate) | 3 month T-Bill + 0.07% | (342,938) | — | (342,938) | ||
2/28/23 | USD | 21,750,990 (Long) | Goldman Sachs International | BCOMTR (floating rate) | 3 month T-Bill + 0.08% | (68,407) | — | (68,407) | ||
3/15/23 | USD | 8,559,387 (Long) | Morgan Stanley | BCOMCTTR (floating rate) | 3 month T-Bill + 0.15% | (33,040) | — | (33,040) | ||
4/07/23 | USD | 23,555,518 (Long) | JPMorgan Chase Bank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.00% | (74,484) | — | (74,484) | ||
4/11/23 | USD | 23,555,518 (Long) | Merrill Lynch International | BCOMF3T (floating rate) | 3 month T-Bill + 0.00% | (74,288) | — | (74,288) | ||
5/26/23 | USD | 38,451,265 (Long) | Merrill Lynch International | BCOMTR (floating rate) | 3 month T-Bill + 0.07% | (120,607) | — | (120,607) | ||
6/20/23 | USD | 94,494,653 (Long) | Merrill Lynch International | BCOMF3T (floating rate) | 3 month T-Bill + 0.09% | (298,021) | — | (298,021) |
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 | ||||||||
6/23/23 | USD | 4,311,054 (Long) | Merrill Lynch International | BCOMCLTR (floating rate) | 3 month T-Bill + 0.05% | $(12,353) | $— | $(12,353) |
7/17/23 | USD | 34,767,353 (Long) | Merrill Lynch International | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (109,942) | — | (109,942) |
7/17/23 | USD | 34,767,353 (Long) | JPMorgan Chase Bank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (109,942) | — | (109,942) |
7/17/23 | USD | 35,658,824 (Long) | Goldman Sachs International | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (112,761) | — | (112,761) |
8/07/23 | USD | 7,808,831 (Long) | Merrill Lynch International | BCOMCOT (floating rate) | 3 month T-Bill + 0.06% | (22,356) | — | (22,356) |
8/08/23 | USD | 5,264,348 (Long) | Merrill Lynch International | BCOMGOT (floating rate) | 3 month T-Bill + 0.06% | (14,752) | — | (14,752) |
9/25/23 | USD | 13,780,541 (Long) | JPMorgan Chase Bank N.A. | BCOMTR (floating rate) | 3 month T-Bill + 0.07% | (43,226) | — | (43,226) |
9/25/23 | USD | 119,059,816 (Long) | Merrill Lynch International | MLCILPRT (a) (floating rate) | 3 month T-Bill + 0.14% | (381,889) | — | (381,889) |
9/25/23 | USD | 8,502,889 (Long) | JPMorgan Chase Bank N.A. | BCOMZSTR (floating rate) | 3 month T-Bill + 0.10% | (30,018) | — | (30,018) |
9/29/23 | USD | 11,409,432 (Long) | Morgan Stanley | BCOMCNTR (floating rate) | 3 month T-Bill + 0.14% | (36,312) | — | (36,312) |
10/16/23 | USD | 6,624,669 (Long) | Merrill Lynch International | BCOMBOTR (floating rate) | 3 month T-Bill + 0.10% | (18,079) | — | (18,079) |
11/17/23 | USD | 126,913,532 (Long) | Merrill Lynch International | MLCILPRT (a) (floating rate) | 3 month T-Bill + 0.13% | (183,600) | — | (183,600) |
11/20/23 | USD | 21,321,039 (Long) | JPMorgan Chase Bank N.A. | BCOMTR (floating rate) | 3 month T-Bill + 0.07% | (30,396) | — | (30,396) |
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 | ||||||||||
11/30/23 | USD | 7,785,977 (Long) | Morgan Stanley | BCOMLHTR (floating rate) | 3 month T-Bill + 0.15% | $(10,920) | $— | $(10,920) | ||
$(2,383,777) | $— | $(2,383,777) |
(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: $119,059,816* | Notional Amount: $126,913,532* | |
Long Futures Contracts | ||||
Soybean Oil | 3.5% | 4,167,094 | 4,441,974 | |
Corn | 4.4% | 5,238,632 | 5,584,195 | |
Corn | 1.6% | 1,904,957 | 2,030,617 | |
WTI | 8.1% | 9,643,845 | 10,279,996 | |
Brent | 2.0% | 2,381,196 | 2,538,271 | |
Brent | 5.2% | 6,191,110 | 6,599,504 | |
Cotton | 0.6% | 714,359 | 761,481 | |
Cotton | 0.2% | 238,119 | 253,827 | |
Gold | 9.6% | 11,429,742 | 12,183,699 | |
Gold | 3.4% | 4,048,034 | 4,315,060 |
Referenced Commodity Futures Contracts | % of Notional | Notional Amount: $119,059,816* | Notional Amount: $126,913,532* | |
Copper Comex | 2.8% | 3,333,675 | 3,553,579 | |
Copper Comex | 1.0% | 1,190,598 | 1,269,135 | |
Heating Oil | 2.7% | 3,214,615 | 3,426,665 | |
Coffee | 1.4% | 1,666,837 | 1,776,789 | |
Coffee | 0.5% | 595,299 | 634,568 | |
Kansas Wheat | 1.4% | 1,666,837 | 1,776,789 | |
Kansas Wheat | 0.5% | 595,299 | 634,568 | |
Aluminum | 3.0% | 3,571,794 | 3,807,406 | |
Live Cattle | 2.8% | 3,333,675 | 3,553,579 | |
Live Cattle | 1.0% | 1,190,598 | 1,269,135 | |
Lean Hogs | 1.3% | 1,547,778 | 1,649,876 | |
Lean Hogs | 0.4% | 476,239 | 507,654 | |
Nickel | 2.7% | 3,214,615 | 3,426,665 | |
Zinc | 2.2% | 2,619,316 | 2,792,098 | |
Natural Gas | 13.7% | 16,311,197 | 17,387,154 | |
Gasoil | 3.5% | 4,167,094 | 4,441,974 | |
Soybeans | 5.5% | 6,548,289 | 6,980,244 | |
Sugar | 2.6% | 3,095,555 | 3,299,752 | |
Silver | 2.8% | 3,333,675 | 3,553,579 | |
Silver | 1.0% | 1,190,598 | 1,269,135 | |
Soybean Meal | 3.3% | 3,928,974 | 4,188,147 | |
Wheat | 2.3% | 2,738,376 | 2,919,011 | |
Wheat | 0.8% | 952,479 | 1,015,308 | |
Gasoline RBOB | 2.2% | 2,619,316 | 2,792,098 | |
100% | $119,059,816 | $126,913,532 | ||
* 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, $621,871,699) | $588,719,128 |
Investments in affiliated issuers, at value (identified cost, $107,265,931) | 107,271,416 |
Cash | 23,870,135 |
Restricted cash for | |
Uncleared swaps | 12,660,350 |
Receivables for | |
Due from uncleared swap brokers | 17,647,818 |
Fund shares sold | 13,909,304 |
Interest | 2,943,110 |
Uncleared swaps, at value | 303,935 |
Other assets | 253 |
Total assets | $767,325,449 |
Liabilities | |
Payables for | |
Due to uncleared swap brokers | $5,131,344 |
Net daily variation margin on open cleared swap agreements | 99,714 |
Investments purchased | 646,001 |
Fund shares reacquired | 16,065 |
Uncleared swaps, at value | 2,383,777 |
Payable to affiliates | |
Investment adviser | 60,205 |
Administrative services fee | 1,320 |
Shareholder servicing costs | 10,154 |
Distribution and service fees | 600 |
Payable for independent Trustees' compensation | 10 |
Accrued expenses and other liabilities | 159,353 |
Total liabilities | $8,508,543 |
Net assets | $758,816,906 |
Net assets consist of | |
Paid-in capital | $1,221,068,162 |
Total distributable earnings (loss) | (462,251,256) |
Net assets | $758,816,906 |
Shares of beneficial interest outstanding | 157,178,506 |
Net assets | Shares outstanding | Net asset value per share (a) | |
Class A | $15,080,426 | 3,139,435 | $4.80 |
Class B | 111,558 | 23,402 | 4.77 |
Class C | 1,444,491 | 305,090 | 4.73 |
Class I | 18,904,529 | 3,912,865 | 4.83 |
Class R1 | 67,789 | 14,191 | 4.78 |
Class R2 | 133,605 | 27,840 | 4.80 |
Class R3 | 69,966 | 14,542 | 4.81 |
Class R4 | 70,707 | 14,661 | 4.82 |
Class R6 | 722,933,835 | 149,726,480 | 4.83 |
(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 $5.09 [100 / 94.25 x $4.80]. 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 | $10,812,871 |
Dividends from affiliated issuers | 1,004,681 |
Other | 119,880 |
Total investment income | $11,937,432 |
Expenses | |
Management fee | $6,670,914 |
Distribution and service fees | 44,680 |
Shareholder servicing costs | 28,883 |
Administrative services fee | 144,469 |
Independent Trustees' compensation | 14,964 |
Custodian fee | 67,138 |
Shareholder communications | 12,280 |
Audit and tax fees | 91,560 |
Legal fees | 24,992 |
Miscellaneous | 232,640 |
Total expenses | $7,332,520 |
Reduction of expenses by investment adviser and distributor | (125,064) |
Net expenses | $7,207,456 |
Net investment income (loss) | $4,729,976 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers | $(8,256,628) |
Affiliated issuers | (16,417) |
Futures contracts | (430) |
Swap agreements | 154,004,579 |
Net realized gain (loss) | $145,731,104 |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $(36,212,930) |
Affiliated issuers | 3,921 |
Swap agreements | (720,157) |
Net unrealized gain (loss) | $(36,929,166) |
Net realized and unrealized gain (loss) | $108,801,938 |
Change in net assets from operations | $113,531,914 |
Year ended | ||
10/31/22 | 10/31/21 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $4,729,976 | $3,819,380 |
Net realized gain (loss) | 145,731,104 | 321,283,391 |
Net unrealized gain (loss) | (36,929,166) | (8,106,592) |
Change in net assets from operations | $113,531,914 | $316,996,179 |
Total distributions to shareholders | $(322,999,695) | $(7,000,067) |
Change in net assets from fund share transactions | $31,442,427 | $(64,757,668) |
Total change in net assets | $(178,025,354) | $245,238,444 |
Net assets | ||
At beginning of period | 936,842,260 | 691,603,816 |
At end of period | $758,816,906 | $936,842,260 |
Class A | Year ended | ||||
10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | |
Net asset value, beginning of period | $7.02 | $4.85 | $5.32 | $5.65 | $6.00 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.02 | $0.00(w) | $0.04 | $0.10 | $0.07 |
Net realized and unrealized gain (loss) | 0.15 | 2.21 | (0.42) | (0.27) | (0.25) |
Total from investment operations | $0.17 | $2.21 | $(0.38) | $(0.17) | $(0.18) |
Less distributions declared to shareholders | |||||
From net investment income | $(2.39) | $(0.04) | $(0.09) | $(0.16) | $(0.17) |
Net asset value, end of period (x) | $4.80 | $7.02 | $4.85 | $5.32 | $5.65 |
Total return (%) (r)(s)(t)(x) | 7.71 | 45.84 | (7.24) | (2.96) | (2.98) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 1.17 | 1.15 | 1.13 | 1.10 | 1.09 |
Expenses after expense reductions | 1.15 | 1.14 | 1.12 | 1.09 | 1.08 |
Net investment income (loss) | 0.37 | 0.07 | 0.94 | 1.86 | 1.22 |
Portfolio turnover | 37 | 28 | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $15,080 | $4,921 | $1,041 | $321 | $63 |
Class B | Year ended | ||||
10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $6.96 | $4.81 | $5.28 | $5.64 | $5.71 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $(0.03) | $(0.04) | $0.01 | $0.06 | $0.02 |
Net realized and unrealized gain (loss) | 0.18 | 2.20 | (0.43) | (0.26) | (0.09) |
Total from investment operations | $0.15 | $2.16 | $(0.42) | $(0.20) | $(0.07) |
Less distributions declared to shareholders | |||||
From net investment income | $(2.34) | $(0.01) | $(0.05) | $(0.16) | $— |
Net asset value, end of period (x) | $4.77 | $6.96 | $4.81 | $5.28 | $5.64 |
Total return (%) (r)(s)(t)(x) | 7.08 | 44.93 | (8.10) | (3.68) | (1.23)(n) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 1.91 | 1.89 | 1.87 | 1.84 | 1.94(a) |
Expenses after expense reductions | 1.90 | 1.88 | 1.86 | 1.83 | 1.93(a) |
Net investment income (loss) | (0.50) | (0.65) | 0.23 | 1.13 | 1.34(a) |
Portfolio turnover | 37 | 28 | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $112 | $98 | $60 | $48 | $52 |
Class C | Year ended | ||||
10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $6.94 | $4.80 | $5.28 | $5.64 | $5.71 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $(0.03) | $(0.04) | $0.01 | $0.06 | $0.02 |
Net realized and unrealized gain (loss) | 0.17 | 2.19 | (0.43) | (0.27) | (0.09) |
Total from investment operations | $0.14 | $2.15 | $(0.42) | $(0.21) | $(0.07) |
Less distributions declared to shareholders | |||||
From net investment income | $(2.35) | $(0.01) | $(0.06) | $(0.15) | $— |
Net asset value, end of period (x) | $4.73 | $6.94 | $4.80 | $5.28 | $5.64 |
Total return (%) (r)(s)(t)(x) | 6.94 | 44.77 | (8.07) | (3.69) | (1.23)(n) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 1.91 | 1.90 | 1.88 | 1.84 | 1.94(a) |
Expenses after expense reductions | 1.90 | 1.88 | 1.87 | 1.83 | 1.93(a) |
Net investment income (loss) | (0.49) | (0.66) | 0.20 | 1.12 | 1.41(a) |
Portfolio turnover | 37 | 28 | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $1,444 | $1,095 | $435 | $93 | $49 |
Class I | Year ended | ||||
10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | |
Net asset value, beginning of period | $7.04 | $4.86 | $5.32 | $5.65 | $6.00 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.03 | $0.02 | $0.06 | $0.11 | $0.09 |
Net realized and unrealized gain (loss) | 0.16 | 2.21 | (0.42) | (0.26) | (0.25) |
Total from investment operations | $0.19 | $2.23 | $(0.36) | $(0.15) | $(0.16) |
Less distributions declared to shareholders | |||||
From net investment income | $(2.40) | $(0.05) | $(0.10) | $(0.18) | $(0.19) |
Net asset value, end of period (x) | $4.83 | $7.04 | $4.86 | $5.32 | $5.65 |
Total return (%) (r)(s)(t)(x) | 8.05 | 46.19 | (6.90) | (2.75) | (2.73) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 0.92 | 0.90 | 0.89 | 0.84 | 0.85 |
Expenses after expense reductions | 0.90 | 0.89 | 0.88 | 0.83 | 0.84 |
Net investment income (loss) | 0.57 | 0.30 | 1.17 | 2.13 | 1.45 |
Portfolio turnover | 37 | 28 | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $18,905 | $6,029 | $500 | $135 | $48 |
Class R1 | Year ended | ||||
10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $6.97 | $4.81 | $5.28 | $5.64 | $5.71 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $(0.03) | $(0.04) | $0.01 | $0.06 | $0.02 |
Net realized and unrealized gain (loss) | 0.18 | 2.20 | (0.43) | (0.27) | (0.09) |
Total from investment operations | $0.15 | $2.16 | $(0.42) | $(0.21) | $(0.07) |
Less distributions declared to shareholders | |||||
From net investment income | $(2.34) | $— | $(0.05) | $(0.15) | $— |
Net asset value, end of period (x) | $4.78 | $6.97 | $4.81 | $5.28 | $5.64 |
Total return (%) (r)(s)(t)(x) | 7.07 | 44.91 | (8.08) | (3.69) | (1.23)(n) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 1.91 | 1.89 | 1.87 | 1.84 | 1.94(a) |
Expenses after expense reductions | 1.90 | 1.88 | 1.86 | 1.83 | 1.93(a) |
Net investment income (loss) | (0.50) | (0.63) | 0.26 | 1.14 | 1.35(a) |
Portfolio turnover | 37 | 28 | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $68 | $63 | $44 | $48 | $49 |
Class R2 | Year ended | ||||
10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $7.00 | $4.83 | $5.30 | $5.65 | $5.71 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.00(w) | $(0.01) | $0.04 | $0.09 | $0.02 |
Net realized and unrealized gain (loss) | 0.17 | 2.20 | (0.44) | (0.27) | (0.08) |
Total from investment operations | $0.17 | $2.19 | $(0.40) | $(0.18) | $(0.06) |
Less distributions declared to shareholders | |||||
From net investment income | $(2.37) | $(0.02) | $(0.07) | $(0.17) | $— |
Net asset value, end of period (x) | $4.80 | $7.00 | $4.83 | $5.30 | $5.65 |
Total return (%) (r)(s)(t)(x) | 7.61 | 45.58 | (7.59) | (3.31) | (1.05)(n) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 1.41 | 1.39 | 1.37 | 1.34 | 1.44(a) |
Expenses after expense reductions | 1.40 | 1.38 | 1.36 | 1.33 | 1.43(a) |
Net investment income (loss) | 0.06 | (0.13) | 0.75 | 1.64 | 1.86(a) |
Portfolio turnover | 37 | 28 | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $134 | $64 | $44 | $48 | $49 |
Class R3 | Year ended | ||||
10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $7.02 | $4.84 | $5.31 | $5.65 | $5.71 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.01 | $0.01 | $0.05 | $0.10 | $0.03 |
Net realized and unrealized gain (loss) | 0.17 | 2.20 | (0.43) | (0.27) | (0.09) |
Total from investment operations | $0.18 | $2.21 | $(0.38) | $(0.17) | $(0.06) |
Less distributions declared to shareholders | |||||
From net investment income | $(2.39) | $(0.03) | $(0.09) | $(0.17) | $— |
Net asset value, end of period (x) | $4.81 | $7.02 | $4.84 | $5.31 | $5.65 |
Total return (%) (r)(s)(t)(x) | 7.75 | 46.03 | (7.34) | (3.03) | (1.05)(n) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 1.16 | 1.14 | 1.12 | 1.09 | 1.19(a) |
Expenses after expense reductions | 1.15 | 1.13 | 1.11 | 1.08 | 1.18(a) |
Net investment income (loss) | 0.25 | 0.12 | 1.00 | 1.89 | 2.10(a) |
Portfolio turnover | 37 | 28 | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $70 | $65 | $44 | $48 | $49 |
Class R4 | Year ended | ||||
10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $7.03 | $4.85 | $5.32 | $5.65 | $5.71 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.03 | $0.02 | $0.06 | $0.11 | $0.03 |
Net realized and unrealized gain (loss) | 0.16 | 2.21 | (0.43) | (0.26) | (0.09) |
Total from investment operations | $0.19 | $2.23 | $(0.37) | $(0.15) | $(0.06) |
Less distributions declared to shareholders | |||||
From net investment income | $(2.40) | $(0.05) | $(0.10) | $(0.18) | $— |
Net asset value, end of period (x) | $4.82 | $7.03 | $4.85 | $5.32 | $5.65 |
Total return (%) (r)(s)(t)(x) | 8.07 | 46.27 | (7.09) | (2.75) | (1.05)(n) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 0.91 | 0.89 | 0.87 | 0.84 | 0.94(a) |
Expenses after expense reductions | 0.90 | 0.88 | 0.86 | 0.83 | 0.93(a) |
Net investment income (loss) | 0.50 | 0.37 | 1.25 | 2.14 | 2.35(a) |
Portfolio turnover | 37 | 28 | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $71 | $65 | $45 | $48 | $49 |
Class R6 | Year ended | ||||
10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | |
Net asset value, beginning of period | $7.04 | $4.86 | $5.33 | $5.65 | $6.00 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.03 | $0.03 | $0.06 | $0.11 | $0.09 |
Net realized and unrealized gain (loss) | 0.17 | 2.20 | (0.43) | (0.25) | (0.25) |
Total from investment operations | $0.20 | $2.23 | $(0.37) | $(0.14) | $(0.16) |
Less distributions declared to shareholders | |||||
From net investment income | $(2.41) | $(0.05) | $(0.10) | $(0.18) | $(0.19) |
Net asset value, end of period (x) | $4.83 | $7.04 | $4.86 | $5.33 | $5.65 |
Total return (%) (r)(s)(t)(x) | 8.24 | 46.24 | (7.06) | (2.57) | (2.74) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 0.82 | 0.81 | 0.83 | 0.83 | 0.84 |
Expenses after expense reductions | 0.80 | 0.80 | 0.82 | 0.82 | 0.83 |
Net investment income (loss) | 0.54 | 0.46 | 1.28 | 2.15 | 1.46 |
Portfolio turnover | 37 | 28 | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $722,934 | $924,441 | $689,390 | $625,443 | $587,864 |
(a) | Annualized. |
(d) | Per share data is based on average shares outstanding. |
(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. |
(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. |
(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 | $— | $163,866,284 | $— | $163,866,284 |
Non - U.S. Sovereign Debt | — | 4,442,003 | — | 4,442,003 |
Municipal Bonds | — | 9,537,447 | — | 9,537,447 |
U.S. Corporate Bonds | — | 145,998,606 | — | 145,998,606 |
Residential Mortgage-Backed Securities | — | 5,298,523 | — | 5,298,523 |
Commercial Mortgage-Backed Securities | — | 38,328,986 | — | 38,328,986 |
Asset-Backed Securities (including CDOs) | — | 78,078,411 | — | 78,078,411 |
Foreign Bonds | — | 127,933,868 | — | 127,933,868 |
Short-Term Securities | — | 15,235,000 | — | 15,235,000 |
Mutual Funds | 107,271,416 | — | — | 107,271,416 |
Total | $107,271,416 | $588,719,128 | $— | $695,990,544 |
Other Financial Instruments | ||||
Swap Agreements – Assets | $— | $303,935 | $— | $303,935 |
Swap Agreements – Liabilities | — | (3,835,917) | — | (3,835,917) |
Fair Value (a) | |||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
Interest Rate | Cleared Swap Agreements | $— | $(1,452,140) |
Commodity | Uncleared Swap Agreements | 303,935 | (2,383,777) |
Total | $303,935 | $(3,835,917) |
(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 reported separately within the Consolidated Statement of Assets and Liabilities. |
Risk | Futures Contracts | Swap Agreements |
Commodity | $— | $154,004,579 |
Equity | (430) | — |
Total | $(430) | $154,004,579 |
Risk | Swap Agreements | |||
Interest Rate | $(1,452,140) | |||
Commodity | 731,983 | |||
Total | $(720,157) |
Gross Amounts of: | Derivative Assets | Derivative Liabilities |
Uncleared Swaps, at value | $303,935 | $(2,383,777) |
Cleared Swap Agreements (a) | — | (99,714) |
Total Gross Amount of Derivative Assets and Liabilities Presented in the Consolidated Statement of Assets & Liabilities | $303,935 | $(2,483,491) |
Less: Derivatives Assets and Liabilities Not Subject to a Master Netting Agreement or Similar Arrangement | — | (99,714) |
Total Gross Amount of Derivative Assets and Liabilities Subject to a Master Netting Agreement or Similar Arrangement | $303,935 | $(2,383,777) |
(a) | The amount presented here represents the fund's current day net variation margin for cleared swap 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. | $33,694 | $(33,694) | $— | $— | $— |
Goldman Sachs International | 42,102 | (42,102) | — | — | — |
JPMorgan Chase Bank N.A. | 20,650 | (20,650) | — | — | — |
Merrill Lynch International | 27,349 | (27,349) | — | — | — |
Morgan Stanley | 180,140 | (80,272) | — | — | 99,868 |
Total | $303,935 | $(204,067) | $— | $— | $99,868 |
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. | $(83,065) | $33,694 | $— | $49,371 | $— |
Goldman Sachs International | (353,549) | 42,102 | 311,447 | — | — |
JPMorgan Chase Bank N.A. | (631,004) | 20,650 | — | 610,354 | — |
Merrill Lynch International | (1,235,887) | 27,349 | 1,208,538 | — | — |
Morgan Stanley | (80,272) | 80,272 | — | — | — |
Total | $(2,383,777) | $204,067 | $1,519,985 | $659,725 | $— |
(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 10/31/22 | Year ended 10/31/21 | |
Ordinary income (including any short-term capital gains) | $322,999,695 | $7,000,067 |
As of 10/31/22 | |
Cost of investments | $1,055,605,016 |
Gross appreciation | 8,035,680 |
Gross depreciation | (367,650,152) |
Net unrealized appreciation (depreciation) | $(359,614,472) |
Undistributed ordinary income | 160,981,684 |
Capital loss carryforwards | (104,752,636) |
Other temporary differences | (158,865,832) |
Total distributable earnings (loss) | $(462,251,256) |
Short-Term | $(79,196,570) |
Long-Term | (25,556,066) |
Total | $(104,752,636) |
Year ended 10/31/22 | Year ended 10/31/21 | |
Class A | $1,794,373 | $9,339 |
Class B | 32,578 | 98 |
Class C | 375,281 | 570 |
Class I | 1,842,869 | 4,956 |
Class R1 | 21,275 | — |
Class R2 | 23,360 | 208 |
Class R3 | 22,077 | 315 |
Class R4 | 22,350 | 424 |
Class R6 | 318,865,532 | 6,984,157 |
Total | $322,999,695 | $7,000,067 |
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% | $ 27,520 |
Class B | 0.75% | 0.25% | 1.00% | 1.00% | 1,148 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 14,694 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 712 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 424 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 182 |
Total Distribution and Service Fees | $44,680 |
(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 year ended October 31, 2022 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 year ended October 31, 2022, this rebate amounted to $351 and $17 for Class A and Class C shares, respectively, and is included in the reduction of total expenses in the Consolidated Statement of Operations. |
Amount | |
Class A | $2,172 |
Class B | — |
Class C | 93 |
Purchases | Sales | |
U.S. Government securities | $54,002,431 | $118,668,128 |
Non-U.S. Government securities | 167,206,177 | 188,447,988 |
Year ended 10/31/22 | Year ended 10/31/21 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 3,103,863 | $16,573,444 | 512,320 | $3,128,889 | |
Class B | 6,135 | 30,392 | 8,896 | 53,738 | |
Class C | 171,395 | 908,942 | 77,335 | 460,283 | |
Class I | 5,010,784 | 25,979,067 | 890,561 | 5,176,652 | |
Class R1 | 1 | 5 | — | — | |
Class R2 | 13,047 | 66,081 | — | — | |
Class R3 | 1 | 5 | — | — | |
Class R6 | 15,380,862 | 79,675,363 | 7,523,833 | 41,419,211 | |
23,686,088 | $123,233,299 | 9,012,945 | $50,238,773 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Class A | 423,412 | $1,761,393 | 1,886 | $9,339 | |
Class B | 7,834 | 32,578 | 20 | 98 | |
Class C | 90,870 | 375,281 | 115 | 570 | |
Class I | 440,879 | 1,842,869 | 983 | 4,956 | |
Class R1 | 5,102 | 21,275 | — | — | |
Class R2 | 5,602 | 23,360 | 42 | 208 | |
Class R3 | 5,294 | 22,077 | 63 | 315 | |
Class R4 | 5,359 | 22,350 | 84 | 424 | |
Class R6 | 76,466,554 | 318,865,532 | 1,385,745 | 6,984,157 | |
77,450,906 | $322,966,715 | 1,388,938 | $7,000,067 | ||
Shares reacquired | |||||
Class A | (1,088,785) | $(5,473,361) | (28,196) | $(174,521) | |
Class B | (4,691) | (24,091) | (7,245) | (42,300) | |
Class C | (114,905) | (579,642) | (10,357) | (64,225) | |
Class I | (2,395,076) | (12,770,972) | (138,131) | (892,634) | |
Class R1 | (1) | (5) | — | — | |
Class R2 | (3) | (15) | — | — | |
Class R3 | (1) | (5) | — | — | |
Class R6 | (73,378,451) | (395,909,496) | (19,620,559) | (120,822,828) | |
(76,981,913) | $(414,757,587) | (19,804,488) | $(121,996,508) |
Year ended 10/31/22 | Year ended 10/31/21 | ||||
Shares | Amount | Shares | Amount | ||
Net change | |||||
Class A | 2,438,490 | $12,861,476 | 486,010 | $2,963,707 | |
Class B | 9,278 | 38,879 | 1,671 | 11,536 | |
Class C | 147,360 | 704,581 | 67,093 | 396,628 | |
Class I | 3,056,587 | 15,050,964 | 753,413 | 4,288,974 | |
Class R1 | 5,102 | 21,275 | — | — | |
Class R2 | 18,646 | 89,426 | 42 | 208 | |
Class R3 | 5,294 | 22,077 | 63 | 315 | |
Class R4 | 5,359 | 22,350 | 84 | 424 | |
Class R6 | 18,468,965 | 2,631,399 | (10,710,981) | (72,419,460) | |
24,155,081 | $31,442,427 | (9,402,605) | $(64,757,668) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $133,814,176 | $873,202,758 | $899,733,022 | $(16,417) | $3,921 | $107,271,416 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $1,004,681 | $— |
December 15, 2022
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds overseen by the Trustee | Principal Occupations During the Past Five Years | Other Directorships During the Past Five Years (j) | |||||
INTERESTED TRUSTEES | ||||||||||
Michael W. Roberge (k) (age 56) | Trustee | January 2021 | 136 | Massachusetts Financial Services Company, Chairman (since January 2021); Chief Executive Officer (since January 2017); Director; Chairman of the Board (since January 2022); President (until December 2018); Chief Investment Officer (until December 2018) | N/A | |||||
INDEPENDENT TRUSTEES | ||||||||||
John P. Kavanaugh (age 68) | Trustee and Chair of Trustees | January 2009 | 136 | Private investor | N/A | |||||
Steven E. Buller (age 71) | Trustee | February 2014 | 136 | Private investor | N/A | |||||
John A. Caroselli (age 68) | Trustee | March 2017 | 136 | Private investor; JC Global Advisors, LLC (management consulting), President (since 2015) | N/A | |||||
Maureen R. Goldfarb (age 67) | Trustee | January 2009 | 136 | Private investor | N/A | |||||
Peter D. Jones (age 67) | Trustee | January 2019 | 136 | Private investor | N/A | |||||
James W. Kilman, Jr. (age 61) | Trustee | January 2019 | 136 | Burford Capital Limited (finance and investment management), Senior Advisor (since May 3, 2021), Chief Financial Officer (2019 - May 2, 2021); KielStrand Capital LLC (family office), Chief Executive Officer (since 2016) | Alpha-En Corporation, Director (2016-2019) |
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds overseen by the Trustee | Principal Occupations During the Past Five Years | Other Directorships During the Past Five Years (j) | |||||
Clarence Otis, Jr. (age 66) | Trustee | March 2017 | 136 | Private investor | VF Corporation, Director; Verizon Communications, Inc., Director; The Travelers Companies, Director | |||||
Maryanne L. Roepke (age 66) | Trustee | May 2014 | 136 | Private investor | N/A | |||||
Laurie J. Thomsen (age 65) | Trustee | March 2005 | 136 | Private investor | The Travelers Companies, Director; Dycom Industries, Inc., Director |
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds for which the Person is an Officer | Principal Occupations During the Past Five Years | ||||
OFFICERS | ||||||||
Christopher R. Bohane (k) (age 48) | Assistant Secretary and Assistant Clerk | July 2005 | 136 | Massachusetts Financial Services Company, Senior Vice President and Senior Managing Counsel | ||||
Kino Clark (k) (age 54) | Assistant Treasurer | January 2012 | 136 | Massachusetts Financial Services Company, Vice President | ||||
John W. Clark, Jr. (k) (age 55) | Assistant Treasurer | April 2017 | 136 | Massachusetts Financial Services Company, Vice President | ||||
David L. DiLorenzo (k) (age 54) | President | July 2005 | 136 | Massachusetts Financial Services Company, Senior Vice President | ||||
Heidi W. Hardin (k) (age 55) | Secretary and Clerk | April 2017 | 136 | Massachusetts Financial Services Company, Executive Vice President and General Counsel | ||||
Brian E. Langenfeld (k) (age 49) | Assistant Secretary and Assistant Clerk | June 2006 | 136 | Massachusetts Financial Services Company, Vice President and Managing Counsel |
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds for which the Person is an Officer | Principal Occupations During the Past Five Years | ||||
Rosa E. Licea-Mailloux (k) (age 46) | Chief Compliance Officer | March 2022 | 136 | Massachusetts Financial Services Company, Vice President (since 2018); Director of Corporate Compliance (2018-2021), Senior Director Compliance (2021-2022), Senior Managing Director of North American Compliance & Chief Compliance Officer (since March 2022); Natixis Investment Managers (investment management), Funds Chief Compliance Officer, Deputy General Counsel & Senior Vice President (until 2018) | ||||
Amanda S. Mooradian (k) (age 43) | Assistant Secretary and Assistant Clerk | September 2018 | 136 | Massachusetts Financial Services Company, Assistant Vice President and Senior Counsel | ||||
Susan A. Pereira (k) (age 52) | Assistant Secretary and Assistant Clerk | July 2005 | 136 | Massachusetts Financial Services Company, Vice President and Managing Counsel | ||||
Kasey L. Phillips (k) (age 51) | Assistant Treasurer | September 2012 | 136 | Massachusetts Financial Services Company, Vice President | ||||
Matthew A. Stowe (k) (age 48) | Assistant Secretary and Assistant Clerk | October 2014 | 136 | Massachusetts Financial Services Company, Vice President and Senior Managing Counsel | ||||
William B. Wilson (k) (age 40) | Assistant Secretary and Assistant Clerk | October 2022 | 136 | Massachusetts Financial Services Company, Assistant Vice President and Counsel | ||||
James O. Yost (k) (age 62) | Treasurer | September 1990 | 136 | Massachusetts Financial Services Company, Senior Vice President |
(h) | Date first appointed to serve as Trustee/Officer of an MFS Fund. Each Trustee has served continuously since appointment unless indicated otherwise. From January 2012 through December 2016, Messrs. DiLorenzo and Yost served as Treasurer and Deputy Treasurer of the Funds, respectively. |
(j) | Directorships or trusteeships of companies required to report to the Securities and Exchange Commission (i.e., “public companies”). |
(k) | “Interested person” of the Trust within the meaning of the Investment Company Act of 1940 (referred to as the 1940 Act), which is the principal federal law governing investment companies like the fund, as a result of a position with MFS. The address of MFS is 111 Huntington Avenue, Boston, Massachusetts 02199-7618. |
Investment Adviser | Custodian |
Massachusetts Financial Services Company 111 Huntington Avenue Boston, MA 02199-7618 | State Street Bank and Trust Company 1 Lincoln Street Boston, MA 02111-2900 |
Distributor | Independent Registered Public Accounting Firm |
MFS Fund Distributors, Inc. 111 Huntington Avenue Boston, MA 02199-7618 | Deloitte & Touche LLP 200 Berkeley Street Boston, MA 02116 |
Portfolio Manager(s) | |
Philipp Burgener Alexander Mackey Benjamin Nastou Natalie Shapiro |
FACTS | WHAT DOES MFS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include: |
• Social Security number and account balances | |
• Account transactions and transaction history | |
• Checking account information and wire transfer instructions | |
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers' personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers' personal information; the reasons MFS chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does MFS share? | Can you limit this sharing? |
For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes – to offer our products and services to you | No | We don't share |
For joint marketing with other financial companies | No | We don't share |
For our affiliates' everyday business purposes – information about your transactions and experiences | No | We don't share |
For our affiliates' everyday business purposes – information about your creditworthiness | No | We don't share |
For nonaffiliates to market to you | No | We don't share |
Questions? | Call 800-225-2606 or go to mfs.com. |
Who we are | |
Who is providing this notice? | MFS Funds, MFS Investment Management, MFS Institutional Advisors, Inc., and MFS Heritage Trust Company. |
What we do | |
How does MFS protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include procedural, electronic, and physical safeguards for the protection of the personal information we collect about you. |
How does MFS collect my personal information? | We collect your personal information, for example, when you |
• open an account or provide account information | |
• direct us to buy securities or direct us to sell your securities | |
• make a wire transfer | |
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. | |
Why can't I limit all sharing? | Federal law gives you the right to limit only |
• sharing for affiliates' everyday business purposes – information about your creditworthiness | |
• affiliates from using your information to market to you | |
• sharing for nonaffiliates to market to you | |
State laws and individual companies may give you additional rights to limit sharing. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. |
• MFS does not share personal information with affiliates, except for everyday business purposes as described on page one of this notice. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. |
• MFS does not share with nonaffiliates so they can market to you. | |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. |
• MFS doesn't jointly market. |
Other important information |
If you own an MFS product or receive an MFS service in the name of a third party such as a bank or broker-dealer, their privacy policy may apply to you instead of ours. |
Strategy Fund
Strategy Fund
1 | |
2 | |
4 | |
6 | |
9 | |
11 | |
46 | |
48 | |
50 | |
51 | |
60 | |
79 | |
81 | |
85 | |
89 | |
89 | |
89 | |
89 | |
89 | |
91 |
back cover |
Derivative Overlay Positions (b) | |||||
Active Security Selection (a) | Long | Short | Net Market Exposure (c) | ||
Fixed Income | U.S. | 13.6% | 36.9% | (19.9)% | 30.6% |
United Kingdom | 1.0% | 5.7% | 0.0% | 6.7% | |
Asia/Pacific ex-Japan | 0.8% | 5.1% | 0.0% | 5.9% | |
Europe ex-U.K. | 1.5% | 4.1% | 0.0% | 5.6% | |
Japan | 0.4% | 3.2% | 0.0% | 3.6% | |
Emerging Markets | 0.6% | 0.0% | 0.0% | 0.6% | |
North America ex-U.S. | 1.3% | 0.0% | (10.6)% | (9.3)% | |
Equity | U.S. Large Cap | 34.6% | 0.0% | (26.8)% | 7.8% |
Europe ex-U.K. | 11.0% | 9.1% | (12.9)% | 7.2% | |
Asia/Pacific ex-Japan | 1.6% | 3.9% | 0.0% | 5.5% | |
Emerging Markets | 1.9% | 5.6% | (2.9)% | 4.6% | |
Japan | 3.8% | 0.1% | 0.0% | 3.9% | |
United Kingdom | 3.2% | 0.3% | 0.0% | 3.5% | |
North America ex-U.S. | 2.4% | 0.0% | (0.6)% | 1.8% | |
Developed - Middle East/Africa | 0.1% | 0.0% | 0.0% | 0.1% | |
U.S. Small/Mid Cap | 18.8% | 0.0% | (20.6)% | (1.8)% | |
Cash | Cash & Cash Equivalents (d) | 2.1% | |||
Other (e) | 21.6% |
USD Interest Rate Swap, Receive 2.57% - JUN 2024 | 23.0% |
USD Interest Rate Swap, Receive 2.54% - JUN 2027 | 13.9% |
Long Gilt 10 yr Future - DEC 2022 | 5.7% |
AEX 25 Index Future - NOV 2022 | (5.1)% |
USD Interest Rate Swap, Payer 2.53% - JUN 2032 | (5.2)% |
S&P MidCap 400 Index Future - DEC 2022 | (8.5)% |
Canadian Treasury Bond 10 yr Future - DEC 2022 | (10.7)% |
U.S. Treasury Note 10 yr Future - DEC 2022 | (11.4)% |
Russell 2000 Index Future - DEC 2022 | (12.1)% |
S&P 500 E-Mini Index Future - DEC 2022 | (26.8)% |
(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. |
Share Class | Class Inception Date | 1-yr | 5-yr | 10-yr |
A | 12/20/07 | (7.79)% | 2.01% | 2.29% |
B | 12/20/07 | (8.36)% | 1.26% | 1.53% |
C | 12/20/07 | (8.41)% | 1.26% | 1.52% |
I | 12/20/07 | (7.51)% | 2.28% | 2.55% |
R1 | 12/20/07 | (8.36)% | 1.26% | 1.53% |
R2 | 12/20/07 | (8.02)% | 1.76% | 2.02% |
R3 | 12/20/07 | (7.71)% | 2.03% | 2.28% |
R4 | 12/20/07 | (7.49)% | 2.29% | 2.50% |
R6 | 12/20/07 | (7.38)% | 2.36% | 2.63% |
Bloomberg 1-3 Year U.S. Treasury Bond Index (f) | (4.85)% | 0.53% | 0.58% |
FTSE 1-Month U.S. Treasury Bill Index (f) | 0.84% | 1.10% | 0.64% |
A With Initial Sales Charge (5.75%) | (13.09)% | 0.81% | 1.68% |
B With CDSC (Declining over six years from 4% to 0%) (v) | (12.02)% | 0.88% | 1.53% |
C With CDSC (1% for 12 months) (v) | (9.33)% | 1.26% | 1.52% |
(f) | Source: FactSet Research Systems Inc. |
(v) | Assuming redemption at the end of the applicable period. |
(a) | Source: Bloomberg Index Services Limited. BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg's licensors own all proprietary rights in the Bloomberg Indices. Bloomberg neither approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith. |
(b) | ©2018 FTSE Fixed Income LLC. All rights reserved. |
May 1, 2022 through October 31, 2022
Share Class | Annualized Expense Ratio | Beginning Account Value 5/01/22 | Ending Account Value 10/31/22 | Expenses Paid During Period (p) 5/01/22-10/31/22 | |
A | Actual | 1.30% | $1,000.00 | $976.62 | $6.48 |
Hypothetical (h) | 1.30% | $1,000.00 | $1,018.65 | $6.61 | |
B | Actual | 2.05% | $1,000.00 | $973.20 | $10.20 |
Hypothetical (h) | 2.05% | $1,000.00 | $1,014.87 | $10.41 | |
C | Actual | 2.05% | $1,000.00 | $972.38 | $10.19 |
Hypothetical (h) | 2.05% | $1,000.00 | $1,014.87 | $10.41 | |
I | Actual | 1.05% | $1,000.00 | $977.68 | $5.23 |
Hypothetical (h) | 1.05% | $1,000.00 | $1,019.91 | $5.35 | |
R1 | Actual | 2.05% | $1,000.00 | $972.90 | $10.19 |
Hypothetical (h) | 2.05% | $1,000.00 | $1,014.87 | $10.41 | |
R2 | Actual | 1.55% | $1,000.00 | $975.46 | $7.72 |
Hypothetical (h) | 1.55% | $1,000.00 | $1,017.39 | $7.88 | |
R3 | Actual | 1.30% | $1,000.00 | $976.66 | $6.48 |
Hypothetical (h) | 1.30% | $1,000.00 | $1,018.65 | $6.61 | |
R4 | Actual | 1.05% | $1,000.00 | $977.74 | $5.23 |
Hypothetical (h) | 1.05% | $1,000.00 | $1,019.91 | $5.35 | |
R6 | Actual | 0.95% | $1,000.00 | $978.67 | $4.74 |
Hypothetical (h) | 0.95% | $1,000.00 | $1,020.42 | $4.84 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – 77.4% | ||||
Aerospace & Defense – 2.0% | ||||
AeroVironment, Inc. (a) | 299 | $27,358 | ||
CACI International, Inc., “A” (a) | 366 | 111,275 | ||
General Dynamics Corp. | 3,020 | 754,396 | ||
Honeywell International, Inc. (f) | 1,853 | 378,049 | ||
Howmet Aerospace, Inc. | 4,335 | 154,109 | ||
KBR, Inc. | 2,862 | 142,442 | ||
Kratos Defense & Security Solutions, Inc. (a) | 1,440 | 15,955 | ||
L3Harris Technologies, Inc. | 381 | 93,905 | ||
Leidos Holdings, Inc. | 616 | 62,579 | ||
MTU Aero Engines Holding AG | 719 | 128,788 | ||
Northrop Grumman Corp. | 954 | 523,756 | ||
Raytheon Technologies Corp. | 518 | 49,117 | ||
Rolls-Royce Holdings PLC (a) | 154,108 | 138,115 | ||
Singapore Technologies Engineering Ltd. | 45,500 | 106,068 | ||
Textron, Inc. | 4,806 | 328,923 | ||
Thales S.A. | 212 | 26,953 | ||
$3,041,788 | ||||
Airlines – 0.1% | ||||
Alaska Air Group, Inc. (a) | 544 | $24,186 | ||
Delta Air Lines, Inc. (a) | 924 | 31,351 | ||
JetBlue Airways Corp. (a) | 4,674 | 37,579 | ||
Ryanair Holdings PLC, ADR (a) | 506 | 34,859 | ||
$127,975 | ||||
Alcoholic Beverages – 1.0% | ||||
Carlsberg Group | 290 | $34,180 | ||
China Resources Beer Holdings Co. Ltd. | 16,000 | 75,417 | ||
Constellation Brands, Inc., “A” | 127 | 31,379 | ||
Diageo PLC | 10,156 | 419,056 | ||
Kirin Holdings Co. Ltd. | 3,400 | 50,001 | ||
Pernod Ricard S.A. | 5,062 | 888,948 | ||
$1,498,981 | ||||
Apparel Manufacturers – 1.0% | ||||
Burberry Group PLC | 1,217 | $25,331 | ||
Canada Goose Holdings, Inc. (a) | 955 | 15,624 | ||
Compagnie Financiere Richemont S.A. | 2,641 | 258,311 | ||
LVMH Moet Hennessy Louis Vuitton SE | 1,401 | 884,720 | ||
NIKE, Inc., “B” | 1,475 | 136,703 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Apparel Manufacturers – continued | ||||
On Holding AG (a) | 1,719 | $30,237 | ||
PVH Corp. | 1,069 | 54,861 | ||
Skechers USA, Inc., “A” (a) | 5,378 | 185,165 | ||
$1,590,952 | ||||
Automotive – 1.3% | ||||
Allison Transmission Holdings, Inc. | 3,516 | $148,551 | ||
Aptiv PLC (a) | 499 | 45,444 | ||
Bridgestone Corp. | 1,400 | 50,484 | ||
Copart, Inc. (a) | 1,228 | 141,244 | ||
Ford Motor Co. | 24,959 | 333,702 | ||
General Motors Co. | 5,360 | 210,380 | ||
Koito Manufacturing Co. Ltd. | 3,600 | 51,181 | ||
Lear Corp. | 269 | 37,313 | ||
LKQ Corp. | 2,757 | 153,399 | ||
Methode Electronics, Inc. | 2,859 | 117,877 | ||
Michelin (CGDE) | 1,833 | 46,754 | ||
NGK Spark Plug Co. Ltd | 4,600 | 83,836 | ||
Oshkosh Corp. | 1,771 | 155,848 | ||
Stanley Electric Co. Ltd. | 3,300 | 56,104 | ||
Stoneridge, Inc. (a) | 856 | 17,865 | ||
Tesla, Inc. (a) | 1,492 | 339,490 | ||
Visteon Corp. (a) | 702 | 91,590 | ||
$2,081,062 | ||||
Biotechnology – 0.6% | ||||
Abcam PLC (a) | 3,274 | $50,462 | ||
Adaptive Biotechnologies Corp. (a) | 1,308 | 10,176 | ||
AlloVir, Inc. (a)(l) | 1,333 | 9,238 | ||
BioAtla, Inc. (a) | 847 | 5,836 | ||
Biogen, Inc. (a) | 1,225 | 347,214 | ||
BioXcel Therapeutics, Inc. (a) | 727 | 9,153 | ||
Gilead Sciences, Inc. | 2,997 | 235,145 | ||
Illumina, Inc. (a) | 61 | 13,958 | ||
Immunocore Holdings PLC, ADR (a) | 584 | 33,370 | ||
Lyell Immunopharma, Inc. (a)(l) | 1,683 | 9,896 | ||
MaxCyte, Inc. (a)(l) | 2,778 | 19,224 | ||
Moderna, Inc. (a) | 592 | 88,995 | ||
Oxford Nanopore Technologies PLC (a) | 4,764 | 14,341 | ||
Prelude Therapeutics, Inc. (a)(l) | 820 | 5,486 | ||
Recursion Pharmaceuticals, Inc. (a) | 1,085 | 11,447 | ||
Sana Biotechnology, Inc. (a)(l) | 1,306 | 7,575 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Biotechnology – continued | ||||
Twist Bioscience Corp. (a) | 497 | $16,316 | ||
$887,832 | ||||
Broadcasting – 0.0% | ||||
Nippon Television Holdings, Inc. | 4,000 | $29,860 | ||
Warner Bros. Discovery, Inc. (a) | 2,334 | 30,342 | ||
$60,202 | ||||
Brokerage & Asset Managers – 2.6% | ||||
ASX Ltd. | 1,749 | $75,580 | ||
Barclays PLC | 39,251 | 66,511 | ||
BlackRock, Inc. | 657 | 424,363 | ||
Cboe Global Markets, Inc. | 344 | 42,828 | ||
Charles Schwab Corp. | 3,145 | 250,562 | ||
Citigroup, Inc. | 12,414 | 569,306 | ||
CME Group, Inc. | 1,191 | 206,400 | ||
Computershare Ltd. | 10,460 | 169,075 | ||
Deutsche Boerse AG | 1,328 | 216,086 | ||
Euronext N.V. | 1,344 | 85,404 | ||
Evercore Partners, Inc. | 299 | 31,425 | ||
Focus Financial Partners, “A” (a) | 2,653 | 92,298 | ||
GCM Grosvenor, Inc., “A” | 5,692 | 47,073 | ||
Hamilton Lane, Inc., “A” | 1,293 | 77,347 | ||
Hong Kong Exchanges & Clearing Ltd. | 2,300 | 61,064 | ||
Invesco Ltd. | 1,417 | 21,708 | ||
London Stock Exchange Group PLC | 1,383 | 119,999 | ||
NASDAQ, Inc. | 9,339 | 581,259 | ||
Omni Bridgeway Ltd. (a) | 28,188 | 81,176 | ||
Raymond James Financial, Inc. | 5,014 | 592,354 | ||
Schroders PLC | 12,946 | 58,154 | ||
TMX Group Ltd. | 1,022 | 98,258 | ||
TPG, Inc. | 906 | 27,860 | ||
WisdomTree Investments, Inc. | 14,171 | 76,949 | ||
$4,073,039 | ||||
Business Services – 3.7% | ||||
Accenture PLC, “A” | 4,436 | $1,259,380 | ||
Amdocs Ltd. | 750 | 64,733 | ||
Bunzl PLC | 1,188 | 38,706 | ||
Cognizant Technology Solutions Corp., “A” | 424 | 26,394 | ||
CoStar Group, Inc. (a) | 6,145 | 508,314 | ||
Dropbox, Inc. (a) | 10,194 | 221,719 | ||
Equifax, Inc. (f) | 2,600 | 440,804 | ||
ExlService Holdings, Inc. (a) | 611 | 111,110 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Business Services – continued | ||||
Experian PLC | 4,618 | $146,909 | ||
Fidelity National Information Services, Inc. | 577 | 47,885 | ||
Fiserv, Inc. (a) | 232 | 23,836 | ||
Global Payments, Inc. | 393 | 44,904 | ||
GoDaddy, Inc. (a) | 7,205 | 579,282 | ||
HireRight Holdings Corp. (a) | 2,198 | 29,585 | ||
Intertek Group PLC | 2,494 | 104,509 | ||
Keywords Studios PLC | 2,260 | 62,462 | ||
Morningstar, Inc. | 416 | 96,587 | ||
MSCI, Inc. | 1,232 | 577,636 | ||
Nomura Research Institute Ltd. | 5,000 | 110,787 | ||
Paya, Inc. (a) | 7,766 | 62,439 | ||
Payoneer Global, Inc. (a) | 5,984 | 46,376 | ||
Remitly Global, Inc. (a) | 4,856 | 56,427 | ||
Secom Co. Ltd. | 400 | 22,790 | ||
SGS S.A. | 84 | 185,306 | ||
TaskUs, Inc., “A” (a) | 3,863 | 77,994 | ||
Thoughtworks Holding, Inc. (a) | 6,799 | 65,338 | ||
Verisk Analytics, Inc., “A” | 2,209 | 403,871 | ||
WEX, Inc. (a) | 1,433 | 235,213 | ||
WNS (Holdings) Ltd., ADR (a) | 1,530 | 131,702 | ||
$5,782,998 | ||||
Cable TV – 0.5% | ||||
Cable One, Inc. | 21 | $18,048 | ||
Charter Communications, Inc., “A” (a) | 1,046 | 384,531 | ||
Comcast Corp., “A” | 10,360 | 328,826 | ||
$731,405 | ||||
Chemicals – 0.4% | ||||
Avient Corp. | 1,382 | $47,665 | ||
Eastman Chemical Co. | 645 | 49,543 | ||
Element Solutions, Inc. | 8,237 | 141,676 | ||
Givaudan S.A. | 94 | 280,681 | ||
IMCD Group N.V. | 597 | 77,465 | ||
Ingevity Corp. (a) | 1,243 | 83,617 | ||
$680,647 | ||||
Computer Software – 5.8% | ||||
ACI Worldwide, Inc. (a) | 1,634 | $39,755 | ||
Adobe Systems, Inc. (a)(f) | 1,071 | 341,114 | ||
Alkami Technology, Inc. (a) | 3,980 | 63,083 | ||
ANSYS, Inc. (a) | 949 | 209,881 | ||
Atlassian Corp. (a) | 946 | 191,783 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Computer Software – continued | ||||
Autodesk, Inc. (a) | 364 | $78,005 | ||
Black Knight, Inc. (a) | 2,610 | 157,827 | ||
Cadence Design Systems, Inc. (a)(f)(s) | 5,881 | 890,325 | ||
Check Point Software Technologies Ltd. (a) | 196 | 25,329 | ||
Computer Modelling Group Ltd. | 32,672 | 129,503 | ||
CrowdStrike Holdings, Inc. (a) | 897 | 144,596 | ||
Dassault Systemes SE | 12,261 | 411,370 | ||
Definitive Healthcare Corp. (a) | 1,698 | 26,794 | ||
DoubleVerify Holdings, Inc. (a) | 1,556 | 45,482 | ||
Dun & Bradstreet Holdings, Inc. | 1,724 | 22,153 | ||
Elastic N.V. (a) | 191 | 12,215 | ||
EMIS Group PLC | 7,735 | 164,814 | ||
Everbridge, Inc. (a) | 1,226 | 38,411 | ||
Expensify, Inc., “A” (a) | 1,762 | 23,065 | ||
Intuit, Inc. | 678 | 289,845 | ||
Kinaxis, Inc. (a) | 1,437 | 153,378 | ||
Microsoft Corp. (f)(s) | 15,287 | 3,548,571 | ||
Naver Corp. | 1,690 | 200,344 | ||
nCino, Inc. (a) | 767 | 24,145 | ||
NetEase.com, Inc., ADR | 828 | 46,053 | ||
NICE Systems Ltd., ADR (a) | 692 | 131,404 | ||
OBIC Co. Ltd. | 1,500 | 224,984 | ||
Open Lending Corp., “A” (a) | 2,283 | 16,369 | ||
Palo Alto Networks, Inc. (a) | 1,014 | 173,992 | ||
Paycor HCM, Inc. (a) | 1,520 | 46,314 | ||
Paylocity Holding Corp. (a) | 135 | 31,292 | ||
Procore Technologies, Inc. (a) | 959 | 52,419 | ||
Sabre Corp. (a) | 9,951 | 57,815 | ||
Salesforce, Inc. (a) | 397 | 64,548 | ||
SAP SE | 5,922 | 571,606 | ||
Synopsys, Inc. (a) | 1,064 | 311,273 | ||
$8,959,857 | ||||
Computer Software - Systems – 3.3% | ||||
Alten S.A. | 774 | $90,488 | ||
Amadeus IT Group S.A. (a) | 8,139 | 424,207 | ||
Apple, Inc. (f) | 18,723 | 2,870,985 | ||
Cancom SE | 1,672 | 41,375 | ||
Constellation Software, Inc. | 87 | 125,798 | ||
Five9, Inc. (a) | 737 | 44,412 | ||
Fujitsu Ltd. | 600 | 69,101 | ||
Hitachi Ltd. | 14,600 | 661,342 | ||
Nuvei Corp. (a)(l) | 1,343 | 40,384 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Computer Software - Systems – continued | ||||
Q2 Holdings, Inc. (a) | 1,866 | $57,921 | ||
Rapid7, Inc. (a) | 1,302 | 58,942 | ||
Samsung Electronics Co. Ltd. | 1,472 | 61,211 | ||
Seagate Technology Holdings PLC | 428 | 21,254 | ||
ServiceNow, Inc. (a) | 508 | 213,736 | ||
Softchoice Corp. (l) | 2,803 | 35,944 | ||
Temenos AG | 711 | 42,389 | ||
Venture Corp. Ltd. | 8,000 | 90,174 | ||
Verint Systems, Inc. (a) | 1,344 | 47,618 | ||
Zebra Technologies Corp., “A” (a) | 164 | 46,448 | ||
$5,043,729 | ||||
Conglomerates – 0.1% | ||||
Ansell Ltd. | 6,024 | $108,594 | ||
Construction – 1.1% | ||||
AZEK Co., Inc. (a) | 5,776 | $101,138 | ||
Essex Property Trust, Inc., REIT | 139 | 30,891 | ||
Fortune Brands Home & Security, Inc. | 475 | 28,652 | ||
Masco Corp. | 1,418 | 65,611 | ||
Mid-America Apartment Communities, Inc., REIT | 166 | 26,137 | ||
Pool Corp. | 225 | 68,452 | ||
Sherwin-Williams Co. (f) | 2,324 | 522,970 | ||
Stanley Black & Decker, Inc. | 428 | 33,594 | ||
Techtronic Industries Co. Ltd. | 8,000 | 75,464 | ||
Toll Brothers, Inc. (f) | 6,631 | 285,663 | ||
Trex Co., Inc. (a) | 606 | 29,142 | ||
Vulcan Materials Co. | 2,587 | 423,492 | ||
$1,691,206 | ||||
Consumer Products – 1.9% | ||||
Church & Dwight Co., Inc. | 1,629 | $120,758 | ||
Colgate-Palmolive Co. (f) | 7,937 | 586,068 | ||
Estee Lauder Cos., Inc., “A” | 759 | 152,172 | ||
International Flavors & Fragrances, Inc. | 492 | 48,024 | ||
Kao Corp. | 5,600 | 210,153 | ||
Kimberly-Clark Corp. | 216 | 26,883 | ||
Kobayashi Pharmaceutical Co. Ltd. | 8,800 | 467,534 | ||
L’Oréal S.A. | 723 | 227,284 | ||
Newell Brands, Inc. | 4,584 | 63,305 | ||
Prestige Consumer Healthcare, Inc. (a) | 1,145 | 62,380 | ||
Reckitt Benckiser Group PLC | 13,803 | 914,932 | ||
$2,879,493 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Consumer Services – 0.9% | ||||
Airbnb, Inc., “A” (a) | 964 | $103,061 | ||
Asante, Inc. | 8,200 | 88,253 | ||
Booking Holdings, Inc. (a) | 377 | 704,794 | ||
Boyd Group Services, Inc. | 398 | 56,635 | ||
Bright Horizons Family Solutions, Inc. (a) | 2,989 | 195,241 | ||
Carsales.com Ltd. | 2,070 | 26,794 | ||
European Wax Center, Inc., “A” | 2,710 | 38,970 | ||
Grand Canyon Education, Inc. (a) | 351 | 35,321 | ||
Meitec Corp. | 7,600 | 128,238 | ||
Persol Holdings Co. Ltd. | 1,700 | 33,975 | ||
Seek Ltd. | 1,492 | 20,508 | ||
$1,431,790 | ||||
Containers – 0.3% | ||||
Ardagh Metal Packaging S.A. (l) | 6,300 | $27,972 | ||
Avery Dennison Corp. | 203 | 34,419 | ||
Crown Holdings, Inc. | 444 | 30,454 | ||
Graphic Packaging Holding Co. | 5,114 | 117,417 | ||
Pactiv Evergreen, Inc. | 2,153 | 23,489 | ||
Silgan Holdings, Inc. | 1,407 | 66,636 | ||
Verallia | 1,210 | 34,295 | ||
WestRock Co. | 1,498 | 51,022 | ||
$385,704 | ||||
Electrical Equipment – 1.7% | ||||
AMETEK, Inc. | 1,402 | $181,783 | ||
Berry Global, Inc. (a) | 2,054 | 97,195 | ||
Johnson Controls International PLC | 2,094 | 121,117 | ||
Legrand S.A. | 4,027 | 306,993 | ||
Littlefuse, Inc. | 171 | 37,663 | ||
nVent Electric PLC | 1,241 | 45,296 | ||
Rockwell Automation, Inc. | 863 | 220,324 | ||
Schneider Electric SE | 10,055 | 1,274,501 | ||
Sensata Technologies Holding PLC | 3,217 | 129,355 | ||
TE Connectivity Ltd. | 581 | 71,016 | ||
TriMas Corp. | 1,856 | 42,410 | ||
Vertiv Holdings Co. | 4,473 | 64,009 | ||
$2,591,662 | ||||
Electronics – 2.4% | ||||
Advanced Energy Industries, Inc. | 772 | $60,718 | ||
Analog Devices, Inc. | 3,220 | 459,236 | ||
Applied Materials, Inc. | 4,651 | 410,637 | ||
ASM International N.V. | 601 | 133,517 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Electronics – continued | ||||
ASM Pacific Technology Ltd. | 6,300 | $34,551 | ||
ASML Holding N.V. | 71 | 33,539 | ||
Cohu, Inc. (a) | 1,853 | 61,001 | ||
Corning, Inc. | 1,294 | 41,628 | ||
Flex Ltd. (a) | 2,135 | 41,803 | ||
Intel Corp. | 5,976 | 169,898 | ||
Kyocera Corp. | 1,300 | 61,479 | ||
Lam Research Corp. | 67 | 27,120 | ||
Marvell Technology, Inc. | 1,366 | 54,203 | ||
Melexis N.V. | 400 | 27,592 | ||
Micron Technology, Inc. | 4,994 | 270,175 | ||
Monolithic Power Systems, Inc. | 556 | 188,734 | ||
NVIDIA Corp. (f) | 2,447 | 330,272 | ||
NXP Semiconductors N.V. | 986 | 144,035 | ||
ON Semiconductor Corp. (a) | 771 | 47,362 | ||
Plexus Corp. (a) | 496 | 48,806 | ||
Taiwan Semiconductor Manufacturing Co. Ltd. | 3,654 | 43,973 | ||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 9,143 | 562,752 | ||
Texas Instruments, Inc. (f) | 3,047 | 489,440 | ||
$3,742,471 | ||||
Energy - Independent – 1.6% | ||||
CNX Resources Corp. (a) | 3,212 | $53,994 | ||
ConocoPhillips | 790 | 99,611 | ||
Coterra Energy, Inc. | 1,445 | 44,983 | ||
Devon Energy Corp. | 1,047 | 80,985 | ||
Diamondback Energy, Inc. | 1,442 | 226,553 | ||
Hess Corp. | 1,761 | 248,442 | ||
Magnolia Oil & Gas Corp., “A” | 5,125 | 131,610 | ||
Matador Resources Co. | 466 | 30,966 | ||
Phillips 66 | 1,641 | 171,140 | ||
Pioneer Natural Resources Co. | 1,742 | 446,666 | ||
Reliance Industries Ltd. | 11,846 | 364,864 | ||
Valero Energy Corp. | 3,498 | 439,174 | ||
Viper Energy Partners LP | 1,741 | 58,062 | ||
Woodside Energy Group Ltd. | 3,345 | 77,493 | ||
$2,474,543 | ||||
Energy - Integrated – 0.9% | ||||
Eni S.p.A. | 6,384 | $83,619 | ||
Exxon Mobil Corp. (f) | 2,445 | 270,930 | ||
Galp Energia SGPS S.A., “B” | 8,670 | 88,038 | ||
Idemitsu Kosan Co. Ltd. | 2,500 | 54,642 | ||
Shell PLC | 9,225 | 254,325 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Energy - Integrated – continued | ||||
TotalEnergies SE | 12,472 | $679,133 | ||
$1,430,687 | ||||
Energy - Renewables – 0.2% | ||||
AES Corp. | 2,530 | $66,185 | ||
Enphase Energy, Inc. (a) | 460 | 141,220 | ||
Generac Holdings, Inc. (a) | 32 | 3,709 | ||
Orsted A/S | 341 | 28,124 | ||
$239,238 | ||||
Engineering - Construction – 0.0% | ||||
Quanta Services, Inc. | 280 | $39,771 | ||
Entertainment – 0.1% | ||||
Live Nation Entertainment, Inc. (a) | 577 | $45,935 | ||
Manchester United PLC, “A” | 6,020 | 78,621 | ||
SeaWorld Entertainment, Inc. (a) | 938 | 54,554 | ||
Vivid Seats, Inc., “A” (a)(l) | 5,566 | 45,641 | ||
$224,751 | ||||
Food & Beverages – 2.6% | ||||
Archer Daniels Midland Co. | 3,888 | $377,058 | ||
Britvic PLC | 8,847 | 73,810 | ||
Chocoladefabriken Lindt & Sprungli AG | 42 | 402,656 | ||
Coca-Cola Europacific Partners PLC | 747 | 35,146 | ||
Danone S.A. | 1,048 | 52,137 | ||
Duckhorn Portfolio, Inc. (a) | 3,413 | 49,898 | ||
Hostess Brands, Inc. (a) | 2,072 | 54,867 | ||
Ingredion, Inc. | 513 | 45,719 | ||
J.M. Smucker Co. | 306 | 46,102 | ||
Kellogg Co. | 570 | 43,787 | ||
Kerry Group PLC | 370 | 32,177 | ||
Mondelez International, Inc. | 570 | 35,044 | ||
Morinaga & Co. Ltd. | 4,600 | 115,081 | ||
Nestle S.A. | 14,179 | 1,543,994 | ||
Nestle S.A., ADR | 1,658 | 180,241 | ||
Nomad Foods Ltd. (a) | 3,584 | 55,194 | ||
Oatly Group AB, ADR (a) | 6,760 | 14,872 | ||
PepsiCo, Inc. | 340 | 61,737 | ||
S Foods, Inc. | 4,600 | 84,300 | ||
Toyo Suisan Kaisha Ltd. | 7,900 | 296,459 | ||
Tyson Foods, Inc., “A” | 6,871 | 469,633 | ||
$4,069,912 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Food & Drug Stores – 0.3% | ||||
Albertsons Cos., Inc., “A” | 1,879 | $38,538 | ||
JM Holdings Co. Ltd. | 8,900 | 101,357 | ||
Kroger Co. | 3,184 | 150,571 | ||
Ocado Group PLC (a) | 1,522 | 8,245 | ||
Patlac Corp. | 2,600 | 73,790 | ||
Sugi Holdings Co. Ltd. | 400 | 16,060 | ||
Sundrug Co. Ltd. | 4,600 | 107,038 | ||
$495,599 | ||||
Forest & Paper Products – 0.1% | ||||
Suzano Papel e Celulose S.A., ADR | 10,393 | $106,944 | ||
Furniture & Appliances – 0.0% | ||||
Howden Joinery Group PLC | 8,956 | $52,791 | ||
IMAX Corp. (a) | 686 | 8,733 | ||
$61,524 | ||||
Gaming & Lodging – 0.8% | ||||
Aristocrat Leisure Ltd. | 2,241 | $52,883 | ||
Flutter Entertainment PLC (a) | 3,903 | 518,316 | ||
Genius Sports Ltd. (a) | 6,125 | 31,483 | ||
Hyatt Hotels Corp. (a) | 1,276 | 120,212 | ||
International Game Technology PLC | 5,980 | 119,899 | ||
Marriott International, Inc., “A” | 2,020 | 323,422 | ||
Penn Entertainment, Inc. (a) | 2,274 | 75,269 | ||
Whitbread PLC | 1,142 | 33,684 | ||
$1,275,168 | ||||
General Merchandise – 0.3% | ||||
Dollar General Corp. | 118 | $30,096 | ||
Dollar Tree, Inc. (a) | 550 | 87,175 | ||
Dollarama, Inc. | 3,199 | 190,083 | ||
Five Below, Inc. (a) | 798 | 116,787 | ||
Ollie's Bargain Outlet Holdings, Inc. (a) | 1,301 | 72,856 | ||
$496,997 | ||||
Health Maintenance Organizations – 0.8% | ||||
Cigna Corp. | 2,604 | $841,248 | ||
Elevance Health, Inc. | 59 | 32,260 | ||
Humana, Inc. | 55 | 30,694 | ||
Molina Healthcare, Inc. (a) | 245 | 87,921 | ||
UnitedHealth Group, Inc. | 535 | 297,005 | ||
$1,289,128 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Insurance – 4.0% | ||||
AIA Group Ltd. | 78,800 | $595,074 | ||
American International Group, Inc. | 10,249 | 584,193 | ||
Ameriprise Financial, Inc. | 853 | 263,679 | ||
Aon PLC | 2,905 | 817,728 | ||
Arthur J. Gallagher & Co. | 1,903 | 356,013 | ||
Assurant, Inc. | 372 | 50,540 | ||
Beazley PLC | 41,329 | 295,989 | ||
Chubb Ltd. | 201 | 43,193 | ||
Cincinnati Financial Corp. | 290 | 29,963 | ||
CNO Financial Group, Inc. | 2,164 | 47,738 | ||
Equitable Holdings, Inc. | 16,973 | 519,713 | ||
Everest Re Group Ltd. | 1,334 | 430,428 | ||
Hanover Insurance Group, Inc. | 492 | 72,073 | ||
Hartford Financial Services Group, Inc. | 1,249 | 90,440 | ||
Hiscox Ltd. | 3,210 | 33,102 | ||
Marsh & McLennan Cos., Inc. | 2,477 | 400,011 | ||
MetLife, Inc. (f) | 7,333 | 536,849 | ||
Progressive Corp. | 3,951 | 507,308 | ||
Reinsurance Group of America, Inc. | 471 | 69,317 | ||
Selective Insurance Group, Inc. | 635 | 62,281 | ||
Steadfast Group Ltd. | 19,738 | 63,721 | ||
Voya Financial, Inc. | 627 | 42,862 | ||
Willis Towers Watson PLC | 616 | 134,417 | ||
Zurich Insurance Group AG | 234 | 99,853 | ||
$6,146,485 | ||||
Internet – 2.7% | ||||
Alphabet, Inc., “A” (a)(s) | 16,763 | $1,584,271 | ||
Alphabet, Inc., “C” (a) | 13,939 | 1,319,466 | ||
Gartner, Inc. (a) | 2,183 | 659,091 | ||
MakeMyTrip Ltd. (a) | 1,141 | 31,754 | ||
Match Group, Inc. (a) | 2,272 | 98,150 | ||
Meta Platforms, Inc., “A” (a)(f) | 2,641 | 246,036 | ||
Tencent Holdings Ltd. | 10,600 | 277,638 | ||
$4,216,406 | ||||
Leisure & Toys – 0.8% | ||||
Brunswick Corp. | 3,625 | $256,179 | ||
Corsair Gaming, Inc. (a)(l) | 1,471 | 20,300 | ||
Electronic Arts, Inc. | 1,530 | 192,719 | ||
Funko, Inc., “A” (a) | 1,559 | 32,193 | ||
Mattel, Inc. (a) | 6,729 | 127,582 | ||
Polaris, Inc. | 2,706 | 274,929 | ||
Take-Two Interactive Software, Inc. (a) | 1,033 | 122,390 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Leisure & Toys – continued | ||||
VTech Holdings Ltd. | 21,700 | $115,416 | ||
Yamaha Corp. | 800 | 30,236 | ||
$1,171,944 | ||||
Machinery & Tools – 2.9% | ||||
AGCO Corp. (f) | 4,846 | $601,728 | ||
Azbil Corp. | 2,800 | 76,169 | ||
BELIMO Holding AG | 423 | 172,351 | ||
Cummins, Inc. | 706 | 172,624 | ||
Daikin Industries Ltd. | 700 | 105,380 | ||
Eaton Corp. PLC | 498 | 74,735 | ||
ESAB Corp. | 884 | 32,973 | ||
Flowserve Corp. | 2,037 | 58,421 | ||
GEA Group AG | 14,179 | 496,039 | ||
Hydrofarm Holdings Group, Inc. (a) | 2,518 | 6,497 | ||
IDEX Corp. | 736 | 163,620 | ||
Illinois Tool Works, Inc. | 1,558 | 332,680 | ||
Ingersoll Rand, Inc. | 1,156 | 58,378 | ||
ITT, Inc. | 776 | 59,279 | ||
Kubota Corp. | 5,400 | 75,410 | ||
Nordson Corp. | 881 | 198,225 | ||
PACCAR, Inc. | 807 | 78,142 | ||
Regal Rexnord Corp. | 915 | 115,784 | ||
Ritchie Bros. Auctioneers, Inc. | 1,032 | 67,421 | ||
Ritchie Bros. Auctioneers, Inc. | 6,890 | 450,112 | ||
Roper Technologies, Inc. | 19 | 7,876 | ||
Schindler Holding AG | 966 | 157,487 | ||
SIG Combibloc Group AG | 7,753 | 148,967 | ||
SMC Corp. | 200 | 80,508 | ||
Spirax-Sarco Engineering PLC | 4,140 | 510,383 | ||
Timken Co. | 829 | 59,099 | ||
Toyota Industries Corp. | 1,200 | 61,818 | ||
Wabtec Corp. | 1,012 | 94,399 | ||
Weir Group PLC | 2,361 | 41,223 | ||
$4,557,728 | ||||
Major Banks – 1.9% | ||||
Bank of America Corp. | 6,406 | $230,872 | ||
BNP Paribas | 2,389 | 112,132 | ||
Capital One Financial Corp. | 1,173 | 124,361 | ||
Comerica, Inc. | 2,555 | 180,128 | ||
DBS Group Holdings Ltd. | 11,000 | 265,753 | ||
JPMorgan Chase & Co. | 6,651 | 837,228 | ||
KeyCorp | 2,452 | 43,817 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Major Banks – continued | ||||
Mitsubishi UFJ Financial Group, Inc. | 7,800 | $36,977 | ||
Morgan Stanley | 5,801 | 476,668 | ||
NatWest Group PLC | 40,529 | 109,132 | ||
PNC Financial Services Group, Inc. | 232 | 37,545 | ||
Resona Holdings, Inc. | 74,900 | 281,930 | ||
State Street Corp. | 463 | 34,262 | ||
UBS AG | 7,525 | 119,411 | ||
$2,890,216 | ||||
Medical & Health Technology & Services – 1.7% | ||||
AmerisourceBergen Corp. | 415 | $65,246 | ||
Certara, Inc. (a) | 4,134 | 50,559 | ||
CVS Health Corp. (f) | 4,598 | 435,431 | ||
Guardant Health, Inc. (a) | 330 | 16,335 | ||
HealthEquity, Inc. (a) | 617 | 48,071 | ||
Henry Schein, Inc. (a) | 1,189 | 81,399 | ||
ICON PLC (a) | 2,556 | 505,679 | ||
Laboratory Corp. of America Holdings | 204 | 45,259 | ||
McKesson Corp. | 2,860 | 1,113,598 | ||
Premier, Inc., “A” | 1,388 | 48,413 | ||
Syneos Health, Inc. (a) | 2,912 | 146,707 | ||
Universal Health Services, Inc. | 381 | 44,146 | ||
$2,600,843 | ||||
Medical Equipment – 3.1% | ||||
Agilent Technologies, Inc. | 1,461 | $202,129 | ||
Agiliti Health, Inc. (a) | 1,625 | 28,389 | ||
Becton, Dickinson and Co. | 145 | 34,216 | ||
Boston Scientific Corp. (a)(f) | 8,401 | 362,167 | ||
Bruker BioSciences Corp. | 1,028 | 63,572 | ||
ConvaTec Group PLC | 18,483 | 46,208 | ||
Danaher Corp. (f) | 1,620 | 407,705 | ||
Dentsply Sirona, Inc. | 1,090 | 33,594 | ||
Envista Holdings Corp. (a) | 6,995 | 230,905 | ||
EssilorLuxottica | 3,421 | 542,112 | ||
Gerresheimer AG | 2,324 | 133,208 | ||
Hogy Medical Co. Ltd. | 4,600 | 101,666 | ||
Hologic, Inc. (a) | 426 | 28,883 | ||
Maravai Lifesciences Holdings, Inc., “A” (a) | 4,710 | 78,186 | ||
Medtronic PLC | 554 | 48,386 | ||
Mettler-Toledo International, Inc. (a) | 67 | 84,750 | ||
Nihon Kohden Corp. | 3,000 | 67,285 | ||
OptiNose, Inc. (a) | 3,225 | 11,255 | ||
Outset Medical, Inc. (a) | 1,025 | 15,929 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Medical Equipment – continued | ||||
PerkinElmer, Inc. | 1,714 | $228,956 | ||
PROCEPT BioRobotics Corp. (a) | 480 | 21,806 | ||
QIAGEN N.V. (a) | 9,322 | 402,585 | ||
Quidel Corp. (a) | 441 | 39,611 | ||
Shimadzu Corp. | 9,700 | 254,618 | ||
Silk Road Medical, Inc. (a) | 562 | 24,773 | ||
Smith & Nephew PLC | 6,828 | 80,653 | ||
STERIS PLC | 1,222 | 210,893 | ||
Terumo Corp. | 1,800 | 54,764 | ||
Thermo Fisher Scientific, Inc. | 1,396 | 717,502 | ||
Waters Corp. (a) | 468 | 140,012 | ||
Zimmer Biomet Holdings, Inc. | 409 | 46,360 | ||
$4,743,078 | ||||
Metals & Mining – 0.3% | ||||
Arconic Corp. (a) | 1,705 | $35,396 | ||
Glencore PLC | 67,392 | 386,039 | ||
Kaiser Aluminum Corp. | 267 | 21,571 | ||
$443,006 | ||||
Natural Gas - Distribution – 0.3% | ||||
Atmos Energy Corp. | 231 | $24,613 | ||
China Resources Gas Group Ltd. | 8,600 | 22,021 | ||
DCC PLC | 2,134 | 118,448 | ||
Italgas S.p.A. | 23,365 | 120,417 | ||
New Jersey Resources Corp. | 1,055 | 47,095 | ||
ONE Gas, Inc. | 655 | 50,750 | ||
$383,344 | ||||
Natural Gas - Pipeline – 0.9% | ||||
APA Group | 4,803 | $32,206 | ||
Cheniere Energy, Inc. | 4,715 | 831,773 | ||
Enterprise Products Partners LP | 455 | 11,489 | ||
Plains GP Holdings LP | 7,144 | 89,586 | ||
Targa Resources Corp. | 7,241 | 495,067 | ||
$1,460,121 | ||||
Network & Telecom – 0.5% | ||||
Equinix, Inc., REIT | 49 | $27,756 | ||
Fortinet, Inc. (a) | 8,614 | 492,376 | ||
Motorola Solutions, Inc. | 199 | 49,692 | ||
Qualcomm, Inc. | 1,797 | 211,435 | ||
$781,259 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Oil Services – 0.3% | ||||
Cactus, Inc., “A” | 1,394 | $72,098 | ||
ChampionX Corp. | 6,793 | 194,416 | ||
Expro Group Holdings N.V. (a) | 2,876 | 54,443 | ||
Halliburton Co. | 1,058 | 38,532 | ||
Helmerich & Payne | 816 | 40,400 | ||
$399,889 | ||||
Other Banks & Diversified Financials – 3.1% | ||||
Air Lease Corp. | 1,531 | $54,029 | ||
American Express Co. (f) | 2,329 | 345,740 | ||
Bank of Hawaii Corp. | 732 | 55,595 | ||
Brookline Bancorp, Inc. | 3,788 | 52,085 | ||
Cathay General Bancorp, Inc. | 1,700 | 77,520 | ||
Chiba Bank Ltd. | 66,100 | 361,406 | ||
Credicorp Ltd. | 1,639 | 239,884 | ||
Discover Financial Services | 289 | 30,189 | ||
East West Bancorp, Inc. | 1,309 | 93,685 | ||
Element Fleet Management Corp. | 4,747 | 63,242 | ||
First Hawaiian, Inc. | 1,887 | 48,269 | ||
First Interstate BancSystem, Inc. | 2,770 | 126,340 | ||
Hanmi Financial Corp. | 1,795 | 48,070 | ||
HDFC Bank Ltd. | 3,935 | 71,149 | ||
HDFC Bank Ltd., ADR | 7,017 | 437,229 | ||
Julius Baer Group Ltd. | 1,320 | 63,235 | ||
Macquarie Group Ltd. | 687 | 74,061 | ||
Metropolitan Bank & Trust Co. | 107,817 | 96,189 | ||
Moody's Corp. | 84 | 22,249 | ||
Northern Trust Corp. | 709 | 59,804 | ||
Pacific Premier Bancorp, Inc. | 2,239 | 81,522 | ||
Prosperity Bancshares, Inc. | 2,251 | 161,104 | ||
Sandy Spring Bancorp, Inc. | 867 | 30,726 | ||
Signature Bank | 220 | 34,877 | ||
SLM Corp. | 24,769 | 410,918 | ||
SVB Financial Group (a) | 175 | 40,418 | ||
Texas Capital Bancshares, Inc. (a) | 638 | 38,280 | ||
Textainer Group Holdings Ltd. | 1,093 | 32,703 | ||
Truist Financial Corp. | 1,037 | 46,447 | ||
UMB Financial Corp. | 708 | 58,920 | ||
Umpqua Holdings Corp. | 9,250 | 183,890 | ||
United Community Bank, Inc. | 1,035 | 39,848 | ||
Visa, Inc., “A” (f) | 4,469 | 925,798 | ||
Wintrust Financial Corp. | 343 | 32,112 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Other Banks & Diversified Financials – continued | ||||
Zions Bancorp NA | 5,642 | $293,046 | ||
$4,830,579 | ||||
Pharmaceuticals – 4.2% | ||||
Annexon, Inc. (a) | 1,264 | $6,042 | ||
Ascendis Pharma, ADR (a) | 569 | 65,435 | ||
Bayer AG | 5,839 | 307,100 | ||
Bristol-Myers Squibb Co. (f) | 4,222 | 327,078 | ||
Collegium Pharmaceutical, Inc. (a) | 1,328 | 23,824 | ||
Eli Lilly & Co. | 185 | 66,987 | ||
Harmony Biosciences Holdings (a) | 623 | 32,396 | ||
Incyte Corp. (a) | 2,582 | 191,946 | ||
Johnson & Johnson (f)(s) | 5,577 | 970,231 | ||
Kyowa Kirin Co. Ltd. | 4,200 | 99,001 | ||
Merck & Co., Inc. (f) | 10,734 | 1,086,281 | ||
Merck KGaA | 494 | 80,552 | ||
Neurocrine Biosciences, Inc. (a) | 261 | 30,046 | ||
Novartis AG | 2,661 | 214,985 | ||
Novo Nordisk A.S., “B” | 2,084 | 226,564 | ||
Organon & Co. | 1,982 | 51,889 | ||
Pfizer, Inc. | 3,196 | 148,774 | ||
Regeneron Pharmaceuticals, Inc. (a) | 189 | 141,514 | ||
Roche Holding AG | 3,279 | 1,088,961 | ||
Sanofi | 716 | 61,794 | ||
Santen Pharmaceutical Co. Ltd. | 15,500 | 106,117 | ||
SpringWorks Therapeutics, Inc. (a) | 689 | 16,543 | ||
Suzuken Co. Ltd./Aichi Japan | 4,000 | 89,041 | ||
Vertex Pharmaceuticals, Inc. (a) | 2,737 | 853,944 | ||
Zoetis, Inc. | 1,540 | 232,201 | ||
$6,519,246 | ||||
Pollution Control – 0.2% | ||||
GFL Environmental, Inc. | 4,332 | $116,921 | ||
Republic Services, Inc. | 322 | 42,703 | ||
Waste Connections, Inc. | 822 | 108,430 | ||
$268,054 | ||||
Precious Metals & Minerals – 0.8% | ||||
Agnico Eagle Mines Ltd. | 8,959 | $394,108 | ||
Agnico Eagle Mines Ltd. | 1,761 | 77,414 | ||
Franco-Nevada Corp. | 4,731 | 584,555 | ||
Wheaton Precious Metals Corp. | 6,081 | 198,943 | ||
$1,255,020 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Printing & Publishing – 0.1% | ||||
Wolters Kluwer N.V. | 2,067 | $219,694 | ||
Railroad & Shipping – 0.8% | ||||
Canadian National Railway Co. | 4,525 | $535,941 | ||
Canadian Pacific Railway Ltd. | 3,278 | 244,178 | ||
CSX Corp. | 7,775 | 225,942 | ||
Sankyu, Inc. | 2,400 | 71,744 | ||
Union Pacific Corp. | 1,038 | 204,631 | ||
$1,282,436 | ||||
Real Estate – 1.5% | ||||
Boston Properties, Inc., REIT | 195 | $14,177 | ||
Brixmor Property Group, Inc., REIT | 3,494 | 74,457 | ||
Broadstone Net Lease, Inc., REIT | 3,120 | 53,477 | ||
Capland Ascendas, REIT | 45,102 | 83,475 | ||
Cushman & Wakefield PLC (a) | 1,738 | 20,074 | ||
Douglas Emmett, Inc., REIT | 743 | 13,069 | ||
Empire State Realty Trust, REIT, “A” | 4,951 | 36,489 | ||
ESR Group Ltd. | 56,200 | 95,938 | ||
Extra Space Storage, Inc., REIT | 2,295 | 407,225 | ||
Grand City Properties S.A. | 3,169 | 30,848 | ||
Host Hotels & Resorts, Inc., REIT | 28,296 | 534,228 | ||
Jones Lang LaSalle, Inc. (a) | 262 | 41,682 | ||
LEG Immobilien SE | 1,001 | 65,408 | ||
Life Storage, Inc., REIT | 674 | 74,551 | ||
LXP Industrial Trust, REIT | 3,931 | 38,052 | ||
Mapletree Commercial Trust, REIT | 48,000 | 53,914 | ||
National Storage Affiliates Trust, REIT | 957 | 40,826 | ||
Phillips Edison & Co., REIT | 1,952 | 58,833 | ||
Public Storage, Inc., REIT | 426 | 131,953 | ||
Spirit Realty Capital, Inc., REIT | 729 | 28,307 | ||
STAG Industrial, Inc., REIT | 2,801 | 88,484 | ||
STORE Capital Corp., REIT | 575 | 18,285 | ||
Sun Communities, Inc., REIT | 333 | 44,905 | ||
TAG Immobilien AG | 22,518 | 141,198 | ||
Two Harbors Investment Corp., REIT | 8,529 | 30,363 | ||
VICI Properties, Inc., REIT | 2,147 | 68,747 | ||
W.P. Carey, Inc., REIT | 568 | 43,338 | ||
$2,332,303 | ||||
Restaurants – 0.3% | ||||
Aramark | 1,299 | $47,413 | ||
Chipotle Mexican Grill, Inc., “A” (a) | 54 | 80,910 | ||
Jack in the Box, Inc. | 540 | 47,644 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Restaurants – continued | ||||
Performance Food Group Co. (a) | 590 | $30,704 | ||
Sodexo (a) | 1,255 | 111,300 | ||
Starbucks Corp. | 429 | 37,147 | ||
Wendy's Co. | 3,497 | 72,668 | ||
Yum China Holdings, Inc. | 1,366 | 56,484 | ||
$484,270 | ||||
Specialty Chemicals – 2.1% | ||||
Air Products & Chemicals, Inc. | 101 | $25,290 | ||
Akzo Nobel N.V. | 619 | 38,196 | ||
Ashland, Inc. | 506 | 53,090 | ||
Axalta Coating Systems Ltd. (a) | 7,451 | 173,757 | ||
Celanese Corp. | 339 | 32,585 | ||
Chemours Co. | 11,664 | 333,940 | ||
Corteva, Inc. | 2,408 | 157,339 | ||
Croda International PLC | 2,473 | 191,716 | ||
Diversey Holdings Ltd. (a) | 8,706 | 47,012 | ||
DuPont de Nemours, Inc. | 1,509 | 86,315 | ||
Kansai Paint Co. Ltd. | 6,700 | 87,414 | ||
Linde PLC | 3,409 | 1,019,611 | ||
Nitto Denko Corp. | 1,200 | 63,190 | ||
Novozymes A/S | 5,338 | 280,351 | ||
Quaker Chemical Corp. | 170 | 27,649 | ||
Sika AG | 2,141 | 482,786 | ||
Symrise AG | 803 | 82,015 | ||
Univar Solutions, Inc. (a) | 3,746 | 95,448 | ||
$3,277,704 | ||||
Specialty Stores – 2.8% | ||||
ACV Auctions, Inc. (a) | 6,362 | $58,021 | ||
Amazon.com, Inc. (a)(f)(s) | 14,874 | 1,523,693 | ||
AutoZone, Inc. (a) | 233 | 590,161 | ||
Builders FirstSource, Inc. (a) | 342 | 21,088 | ||
Costco Wholesale Corp. (f) | 960 | 481,440 | ||
Home Depot, Inc. | 224 | 66,333 | ||
Leslie's, Inc. (a)(l) | 4,121 | 57,859 | ||
Lowe's Cos., Inc. | 1,553 | 302,757 | ||
Lululemon Athletica, Inc. (a) | 743 | 244,477 | ||
Monro Muffler Brake, Inc. | 689 | 32,900 | ||
O'Reilly Automotive, Inc. (a) | 446 | 373,378 | ||
Petco Health & Wellness Co., Inc. (a) | 4,297 | 45,247 | ||
Ross Stores, Inc. | 733 | 70,141 | ||
Ryohin Keikaku Co. Ltd. | 4,600 | 43,341 | ||
Target Corp. | 309 | 50,753 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Specialty Stores – continued | ||||
Ulta Beauty, Inc. (a) | 364 | $152,651 | ||
Urban Outfitters, Inc. (a) | 3,799 | 90,644 | ||
ZOZO, Inc. | 4,100 | 86,970 | ||
Zumiez, Inc. (a) | 1,487 | 33,353 | ||
$4,325,207 | ||||
Telecommunications - Wireless – 0.5% | ||||
Advanced Info Service Public Co. Ltd. | 8,400 | $42,154 | ||
American Tower Corp., REIT | 606 | 125,557 | ||
Cellnex Telecom S.A. | 4,239 | 138,662 | ||
KDDI Corp. | 2,600 | 76,849 | ||
Liberty Broadband Corp. (a) | 423 | 35,714 | ||
SBA Communications Corp., REIT | 853 | 230,225 | ||
SoftBank Group Corp. | 900 | 38,737 | ||
T-Mobile US, Inc. (a) | 154 | 23,340 | ||
$711,238 | ||||
Telephone Services – 0.4% | ||||
AT&T, Inc. | 13,480 | $245,740 | ||
Hellenic Telecommunications Organization S.A. | 2,303 | 36,187 | ||
Infrastrutture Wireless Italiane S.p.A. | 13,456 | 118,777 | ||
Lumen Technologies, Inc. | 20,725 | 152,536 | ||
NOS, SGPS S.A. | 7,752 | 30,368 | ||
$583,608 | ||||
Tobacco – 0.7% | ||||
Altria Group, Inc. | 3,923 | $181,517 | ||
British American Tobacco PLC | 3,456 | 136,081 | ||
Philip Morris International, Inc. (f) | 5,348 | 491,214 | ||
Swedish Match AB | 27,730 | 285,307 | ||
$1,094,119 | ||||
Trucking – 0.3% | ||||
CryoPort, Inc. (a) | 1,469 | $40,779 | ||
Knight-Swift Transportation Holdings, Inc. | 1,959 | 94,091 | ||
Saia, Inc. (a) | 154 | 30,624 | ||
Schneider National, Inc. | 1,545 | 34,361 | ||
Seino Holdings Co. Ltd. | 11,700 | 89,788 | ||
SG Holdings Co. Ltd. | 5,000 | 66,172 | ||
XPO Logistics, Inc. (a) | 1,493 | 77,248 | ||
Yamato Holdings Co. Ltd. | 3,500 | 51,795 | ||
$484,858 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Utilities - Electric Power – 1.8% | ||||
American Electric Power Co., Inc. | 232 | $20,398 | ||
Black Hills Corp. | 939 | 61,383 | ||
CenterPoint Energy, Inc. | 1,720 | 49,209 | ||
CLP Holdings Ltd. | 4,000 | 26,855 | ||
CMS Energy Corp. | 857 | 48,892 | ||
Dominion Energy, Inc. (f) | 5,601 | 391,902 | ||
Duke Energy Corp. (f) | 4,210 | 392,288 | ||
E.ON SE | 4,458 | 37,342 | ||
Edison International | 554 | 33,262 | ||
Eversource Energy | 562 | 42,869 | ||
Exelon Corp. | 7,564 | 291,895 | ||
Iberdrola S.A. | 8,909 | 90,464 | ||
NextEra Energy, Inc. | 482 | 37,355 | ||
PG&E Corp. (a) | 7,600 | 113,468 | ||
Pinnacle West Capital Corp. | 657 | 44,157 | ||
Portland General Electric Co. | 1,245 | 55,950 | ||
Public Service Enterprise Group, Inc. | 979 | 54,893 | ||
Sempra Energy | 345 | 52,074 | ||
Southern Co. | 5,638 | 369,176 | ||
Vistra Corp. | 26,288 | 603,835 | ||
$2,817,667 | ||||
Total Common Stocks (Identified Cost, $97,162,243) | $119,875,971 | |||
Bonds – 19.2% | ||||
Aerospace & Defense – 0.3% | ||||
Boeing Co., 5.15%, 5/01/2030 | $ | 194,000 | $179,253 | |
Boeing Co., 5.805%, 5/01/2050 | 88,000 | 75,685 | ||
General Dynamics Corp., 3.625%, 4/01/2030 | 96,000 | 87,248 | ||
Raytheon Technologies Corp., 1.9%, 9/01/2031 | 50,000 | 37,897 | ||
Raytheon Technologies Corp., 2.375%, 3/15/2032 | 78,000 | 60,853 | ||
Raytheon Technologies Corp., 3.03%, 3/15/2052 | 134,000 | 85,421 | ||
$526,357 | ||||
Apparel Manufacturers – 0.1% | ||||
Tapestry, Inc., 4.125%, 7/15/2027 | $ | 52,000 | $47,041 | |
Tapestry, Inc., 3.05%, 3/15/2032 | 168,000 | 123,604 | ||
$170,645 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – 0.5% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.031%, 11/15/2054 (i) | $ | 993,836 | $59,272 | |
ACREC 2021-FL1 Ltd., “A”, FLR, 4.593% (LIBOR - 1mo. + 1.15%), 10/16/2036 (n) | 114,000 | 108,480 | ||
BDS 2021-FL7 Ltd., “B”, FLR, 4.943% (LIBOR - 1mo. + 1.5%), 6/16/2036 (n) | 100,000 | 93,143 | ||
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.267%, 7/15/2054 (i) | 1,219,337 | 86,823 | ||
KREF 2018-FT1 Ltd., “A”, FLR, 4.482% (LIBOR - 1mo. + 1.1%), 2/15/2039 (n) | 100,000 | 96,630 | ||
KREF 2018-FT1 Ltd., “AS”, FLR, 4.712% (LIBOR - 1mo. + 1.3%), 2/15/2039 (n) | 100,000 | 92,594 | ||
PFP III 2021-8 Ltd., “A”, FLR, 4.412% (LIBOR - 1mo. + 1%), 8/09/2037 (n) | 86,169 | 82,558 | ||
PFP III 2021-8 Ltd., “AS”, FLR, 4.662% (LIBOR - 1mo. + 1.25%), 8/09/2037 (n) | 104,000 | 97,430 | ||
$716,930 | ||||
Automotive – 0.2% | ||||
Hyundai Capital America, 6.375%, 4/08/2030 (n) | $ | 255,000 | $248,491 | |
Broadcasting – 0.5% | ||||
Discovery Communications LLC, 3.625%, 5/15/2030 | $ | 150,000 | $121,091 | |
Discovery Communications LLC, 4%, 9/15/2055 | 119,000 | 67,899 | ||
Magallanes, Inc., 4.279%, 3/15/2032 (n) | 185,000 | 149,433 | ||
Magallanes, Inc., 5.391%, 3/15/2062 (n) | 97,000 | 67,662 | ||
Walt Disney Co., 3.35%, 3/24/2025 | 80,000 | 76,944 | ||
Walt Disney Co., 3.5%, 5/13/2040 | 237,000 | 180,991 | ||
Walt Disney Co., 3.8%, 5/13/2060 | 150,000 | 106,917 | ||
$770,937 | ||||
Brokerage & Asset Managers – 0.3% | ||||
Brookfield Finance, Inc., 2.34%, 1/30/2032 | $ | 192,000 | $140,080 | |
Charles Schwab Corp., 1.95%, 12/01/2031 | 117,000 | 87,464 | ||
Intercontinental Exchange, Inc., 1.85%, 9/15/2032 | 105,000 | 76,013 | ||
Intercontinental Exchange, Inc., 3%, 9/15/2060 | 231,000 | 133,525 | ||
$437,082 | ||||
Building – 0.2% | ||||
Fortune Brands Home & Security, Inc., 4%, 3/25/2032 | $ | 232,000 | $189,963 | |
Vulcan Materials Co., 3.5%, 6/01/2030 | 44,000 | 37,397 | ||
Vulcan Materials Co., 4.5%, 6/15/2047 | 50,000 | 38,838 | ||
$266,198 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Business Services – 0.5% | ||||
Equifax, Inc., 2.35%, 9/15/2031 | $ | 66,000 | $48,816 | |
Equinix, Inc., 2.5%, 5/15/2031 | 308,000 | 234,537 | ||
Fiserv, Inc., 4.4%, 7/01/2049 | 75,000 | 56,390 | ||
Mastercard, Inc., 3.85%, 3/26/2050 | 143,000 | 112,187 | ||
Visa, Inc., 2.05%, 4/15/2030 | 277,000 | 228,232 | ||
Visa, Inc., 2.7%, 4/15/2040 | 88,000 | 62,452 | ||
Visa, Inc., 2%, 8/15/2050 | 107,000 | 59,392 | ||
$802,006 | ||||
Cable TV – 0.2% | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | $ | 78,000 | $71,242 | |
Comcast Corp., 1.5%, 2/15/2031 | 164,000 | 122,589 | ||
Comcast Corp., 3.75%, 4/01/2040 | 123,000 | 94,728 | ||
$288,559 | ||||
Chemicals – 0.0% | ||||
RPM International, Inc., 4.55%, 3/01/2029 | $ | 65,000 | $58,802 | |
RPM International, Inc., 4.25%, 1/15/2048 | 12,000 | 8,532 | ||
$67,334 | ||||
Computer Software – 0.2% | ||||
Cisco Systems, Inc., 5.5%, 1/15/2040 | $ | 53,000 | $51,802 | |
Microsoft Corp., 3.45%, 8/08/2036 | 86,000 | 73,691 | ||
Microsoft Corp., 2.525%, 6/01/2050 | 313,000 | 196,353 | ||
$321,846 | ||||
Computer Software - Systems – 0.4% | ||||
Apple, Inc., 2.05%, 9/11/2026 | $ | 356,000 | $321,870 | |
Apple, Inc., 1.7%, 8/05/2031 | 288,000 | 223,351 | ||
Apple, Inc., 2.65%, 5/11/2050 | 196,000 | 122,653 | ||
$667,874 | ||||
Conglomerates – 0.2% | ||||
Otis Worldwide Corp., 2.565%, 2/15/2030 | $ | 143,000 | $116,562 | |
Westinghouse Air Brake Technologies Corp., 4.95%, 9/15/2028 | 212,000 | 197,199 | ||
$313,761 | ||||
Consumer Products – 0.1% | ||||
Hasbro, Inc., 3.9%, 11/19/2029 | $ | 143,000 | $123,358 | |
Mattel, Inc., 3.75%, 4/01/2029 (n) | 96,000 | 82,843 | ||
$206,201 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Consumer Services – 0.1% | ||||
Booking Holdings, Inc., 3.55%, 3/15/2028 | $ | 84,000 | $76,172 | |
Booking Holdings, Inc., 4.625%, 4/13/2030 | 97,000 | 91,274 | ||
$167,446 | ||||
Electrical Equipment – 0.1% | ||||
Arrow Electronics, Inc., 3.875%, 1/12/2028 | $ | 104,000 | $92,518 | |
Electronics – 0.3% | ||||
Broadcom, Inc., 3.187%, 11/15/2036 (n) | $ | 114,000 | $77,755 | |
Lam Research Corp., 1.9%, 6/15/2030 | 32,000 | 25,109 | ||
Lam Research Corp., 4.875%, 3/15/2049 | 59,000 | 52,016 | ||
NXP B.V./NXP Funding LLC/NXP USA, Inc., 3.4%, 5/01/2030 | 81,000 | 67,231 | ||
NXP B.V./NXP Funding LLC/NXP USA, Inc., 3.125%, 2/15/2042 | 97,000 | 60,891 | ||
Qualcomm, Inc., 3.25%, 5/20/2027 | 63,000 | 58,531 | ||
TSMC Arizona Corp., 3.125%, 10/25/2041 | 200,000 | 138,052 | ||
$479,585 | ||||
Emerging Market Quasi-Sovereign – 0.2% | ||||
Korea Hydro & Nuclear Power Co. Ltd., 4.25%, 7/27/2027 (n) | $ | 200,000 | $187,748 | |
Qatar Petroleum, 3.125%, 7/12/2041 (n) | 200,000 | 141,760 | ||
$329,508 | ||||
Emerging Market Sovereign – 0.1% | ||||
United Mexican States, 4.28%, 8/14/2041 | $ | 200,000 | $144,718 | |
Energy - Independent – 0.2% | ||||
EQT Corp., 3.625%, 5/15/2031 (n) | $ | 61,000 | $50,745 | |
Hess Corp., 5.8%, 4/01/2047 | 150,000 | 136,010 | ||
Pioneer Natural Resources Co., 1.9%, 8/15/2030 | 102,000 | 78,374 | ||
$265,129 | ||||
Energy - Integrated – 0.3% | ||||
BP Capital Markets America, Inc., 1.749%, 8/10/2030 | $ | 84,000 | $65,051 | |
BP Capital Markets America, Inc., 3.001%, 3/17/2052 | 39,000 | 24,155 | ||
Cenovus Energy, Inc., 2.65%, 1/15/2032 | 198,000 | 152,718 | ||
Cenovus Energy, Inc., 6.75%, 11/15/2039 | 11,000 | 10,821 | ||
Cenovus Energy, Inc., 3.75%, 2/15/2052 | 25,000 | 16,657 | ||
Eni S.p.A., 4.75%, 9/12/2028 (n) | 200,000 | 185,927 | ||
$455,329 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Financial Institutions – 0.5% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.65%, 7/21/2027 | $ | 150,000 | $130,437 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.3%, 1/30/2032 | 150,000 | 112,583 | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.85%, 10/29/2041 | 150,000 | 99,699 | ||
Air Lease Corp., 2.875%, 1/15/2032 | 258,000 | 192,704 | ||
Avolon Holdings Funding Ltd., 4.25%, 4/15/2026 (n) | 100,000 | 87,413 | ||
Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 94,000 | 82,634 | ||
Avolon Holdings Funding Ltd., 2.75%, 2/21/2028 (n) | 180,000 | 137,595 | ||
$843,065 | ||||
Food & Beverages – 0.5% | ||||
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | $ | 150,000 | $141,266 | |
Bacardi Ltd., 5.15%, 5/15/2038 (n) | 114,000 | 95,547 | ||
Constellation Brands, Inc., 2.25%, 8/01/2031 | 99,000 | 75,808 | ||
Constellation Brands, Inc., 4.1%, 2/15/2048 | 269,000 | 198,456 | ||
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029 (n) | 119,000 | 96,409 | ||
Kraft Heinz Foods Co., 4.875%, 10/01/2049 | 90,000 | 74,981 | ||
Kraft Heinz Foods Co., 5.5%, 6/01/2050 | 86,000 | 78,766 | ||
SYSCO Corp., 2.45%, 12/14/2031 | 52,000 | 40,571 | ||
SYSCO Corp., 4.45%, 3/15/2048 | 52,000 | 40,433 | ||
$842,237 | ||||
Gaming & Lodging – 0.3% | ||||
Marriott International, Inc., 2.85%, 4/15/2031 | $ | 157,000 | $122,156 | |
Marriott International, Inc., 3.5%, 10/15/2032 | 128,000 | 102,232 | ||
VICI Properties LP / VICI Note Co., Inc., 4.25%, 12/01/2026 (n) | 29,000 | 26,415 | ||
VICI Properties LP / VICI Note Co., Inc., 4.125%, 8/15/2030 (n) | 59,000 | 48,737 | ||
VICI Properties LP, REIT, 4.75%, 2/15/2028 | 145,000 | 132,136 | ||
$431,676 | ||||
Industrial – 0.1% | ||||
Trustees of the University of Pennsylvania, 2.396%, 10/01/2050 | $ | 234,000 | $135,578 | |
Insurance – 0.1% | ||||
Corebridge Financial, Inc., 3.9%, 4/05/2032 (n) | $ | 115,000 | $96,117 | |
Corebridge Financial, Inc., 4.35%, 4/05/2042 (n) | 39,000 | 29,235 | ||
$125,352 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Insurance - Health – 0.4% | ||||
Humana, Inc., 2.15%, 2/03/2032 | $ | 205,000 | $154,210 | |
Humana, Inc., 4.95%, 10/01/2044 | 100,000 | 85,463 | ||
UnitedHealth Group, Inc., 5.3%, 2/15/2030 | 90,000 | 89,985 | ||
UnitedHealth Group, Inc., 2.3%, 5/15/2031 | 57,000 | 45,682 | ||
UnitedHealth Group, Inc., 4.625%, 7/15/2035 | 129,000 | 118,461 | ||
UnitedHealth Group, Inc., 3.25%, 5/15/2051 | 103,000 | 69,908 | ||
UnitedHealth Group, Inc., 5.875%, 2/15/2053 | 95,000 | 96,957 | ||
$660,666 | ||||
Insurance - Property & Casualty – 0.3% | ||||
Aon Corp./Aon Global Holdings PLC, 2.05%, 8/23/2031 | $ | 255,000 | $190,160 | |
Fairfax Financial Holdings Ltd., 5.625%, 8/16/2032 (n) | 226,000 | 204,650 | ||
$394,810 | ||||
International Market Quasi-Sovereign – 0.1% | ||||
Ontario Teachers' Cadillac Fairview Properties, 2.5%, 10/15/2031 (n) | $ | 200,000 | $151,112 | |
International Market Sovereign – 0.1% | ||||
Government of Bermuda, 5%, 7/15/2032 (n) | $ | 200,000 | $185,307 | |
Machinery & Tools – 0.2% | ||||
CNH Industrial Capital LLC, 3.85%, 11/15/2027 | $ | 332,000 | $300,558 | |
Major Banks – 4.4% | ||||
Australia and New Zealand Banking Group Ltd., 2.57% to 11/25/2030, FLR (CMT - 5yr. + 1.7%) to 11/25/2035 (n) | $ | 108,000 | $75,216 | |
Bank of America Corp., 3.419% to 12/20/2027, FLR (LIBOR - 3mo. + 1.04%) to 12/20/2028 | 258,000 | 227,752 | ||
Bank of America Corp., 2.496% to 2/13/2030, FLR (LIBOR - 3mo. + 0.99%) to 2/13/2031 | 102,000 | 80,138 | ||
Bank of America Corp., 2.687% to 4/22/2031, FLR (SOFR - 1 day + 1.32%) to 4/22/2032 | 274,000 | 211,762 | ||
Bank of America Corp., 3.311% to 4/22/2041, FLR (SOFR - 1 day + 1.58%) to 4/22/2042 | 198,000 | 137,011 | ||
Bank of New York Mellon Corp., 5.802% to 10/25/2027, FLR (SOFR - 1 day + 1.802%) to 10/25/2028 | 121,000 | 121,788 | ||
Bank of New York Mellon Corp., 5.834% to 10/25/2032, FLR (SOFR - 1 day + 2.074%) to 10/25/2033 | 156,000 | 156,224 | ||
Barclays PLC, 2.894% to 11/24/2031, FLR (CMT - 1yr. + 1.3%) to 11/24/2032 | 200,000 | 141,611 | ||
Commonwealth Bank of Australia, 3.61% to 9/12/2029, FLR (CMT - 1yr. + 2.05%) to 9/12/2034 (n) | 200,000 | 160,705 | ||
Commonwealth Bank of Australia, 3.305%, 3/11/2041 (n) | 200,000 | 125,629 | ||
Credit Agricole S.A., 1.247% to 1/26/2026, FLR (SOFR - 1 day + 0.89162%) to 1/26/2027 (n) | 250,000 | 210,573 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
Goldman Sachs Group, Inc., 2.64% to 2/24/2027, FLR (SOFR - 1 day + 1.114%) to 2/24/2028 | $ | 286,000 | $247,196 | |
Goldman Sachs Group, Inc., 2.65% to 10/21/2031, FLR (SOFR - 1 day + 1.264%) to 10/21/2032 | 302,000 | 228,637 | ||
Goldman Sachs Group, Inc., 3.102% to 2/24/2032, FLR (SOFR - 1 day + 1.41%) to 2/24/2033 | 82,000 | 64,222 | ||
HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR - 1 day + 1.929%) to 6/04/2026 | 400,000 | 351,827 | ||
HSBC Holdings PLC, 2.357% to 8/18/2030, FLR (SOFR - 1 day + 1.947%) to 8/18/2031 | 450,000 | 320,507 | ||
JPMorgan Chase & Co., 3.782% to 2/01/2027, FLR (LIBOR - 3mo. + 1.337%) to 2/01/2028 | 165,000 | 150,735 | ||
JPMorgan Chase & Co., 2.545% to 11/08/2031, FLR (SOFR - 1 day + 1.18%) to 11/08/2032 | 423,000 | 319,219 | ||
JPMorgan Chase & Co., 3.109% to 4/22/2040, FLR (SOFR - 1 day + 2.46%) to 4/22/2041 | 173,000 | 118,403 | ||
Mitsubishi UFJ Financial Group, Inc., 1.64% to 10/13/2026, FLR (CMT - 1yr. + 0.67%) to 10/13/2027 | 200,000 | 168,364 | ||
Mitsubishi UFJ Financial Group, Inc., 2.494% to 10/13/2031, FLR (CMT - 1yr. + 0.97%) to 10/13/2032 | 400,000 | 294,530 | ||
Morgan Stanley, 3.125%, 7/27/2026 | 82,000 | 74,832 | ||
Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR - 1 day + 3.12%) to 4/01/2031 | 306,000 | 260,183 | ||
Morgan Stanley, 3.217% to 4/22/2041, FLR (SOFR - 1 day + 1.485%) to 4/22/2042 | 217,000 | 147,508 | ||
National Australia Bank Ltd., 3.347% to 1/12/2032, FLR (CMT - 5yr. + 1.7%) to 1/12/2037 (n) | 500,000 | 370,475 | ||
Nordea Bank Abp, 1.5%, 9/30/2026 (n) | 263,000 | 221,548 | ||
Royal Bank of Canada, 2.3%, 11/03/2031 | 296,000 | 225,250 | ||
Sumitomo Mitsui Financial Group, Inc., 1.71%, 1/12/2031 | 200,000 | 142,433 | ||
Toronto Dominion Bank, 4.108%, 6/08/2027 | 103,000 | 96,475 | ||
Toronto Dominion Bank, 2%, 9/10/2031 | 275,000 | 203,895 | ||
Toronto Dominion Bank, 4.456%, 6/08/2032 | 42,000 | 37,745 | ||
Toronto-Dominion Bank, 4.693%, 9/15/2027 | 117,000 | 112,067 | ||
UBS Group AG, 3.179% to 2/11/2042, FLR (CMT - 1yr. + 1.1%) to 2/11/2043 (n) | 200,000 | 122,567 | ||
UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n) | 350,000 | 300,129 | ||
Wells Fargo & Co., 3.908% to 4/25/2025, FLR (SOFR - 1 day + 1.32%) to 4/25/2026 | 161,000 | 153,397 | ||
Wells Fargo & Co., 4.54% to 8/15/2025, FLR (SOFR - 1 day + 1.56%) to 8/15/2026 | 50,000 | 48,099 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033 | $ | 498,000 | $401,461 | |
Wells Fargo & Co., 3.9%, 5/01/2045 | 67,000 | 48,476 | ||
$6,878,589 | ||||
Medical & Health Technology & Services – 0.5% | ||||
Alcon, Inc., 2.75%, 9/23/2026 (n) | $ | 200,000 | $177,859 | |
Alcon, Inc., 2.6%, 5/27/2030 (n) | 200,000 | 160,853 | ||
Becton, Dickinson and Co., 2.823%, 5/20/2030 | 206,000 | 171,775 | ||
Becton, Dickinson and Co., 4.298%, 8/22/2032 | 132,000 | 119,421 | ||
Thermo Fisher Scientific, Inc., 2%, 10/15/2031 | 56,000 | 43,933 | ||
Thermo Fisher Scientific, Inc., 2.8%, 10/15/2041 | 135,000 | 93,243 | ||
$767,084 | ||||
Medical Equipment – 0.0% | ||||
Danaher Corp., 2.6%, 10/01/2050 | $ | 118,000 | $70,815 | |
Metals & Mining – 0.4% | ||||
Anglo American Capital PLC, 4.5%, 3/15/2028 (n) | $ | 200,000 | $181,677 | |
Anglo American Capital PLC, 2.875%, 3/17/2031 (n) | 200,000 | 153,727 | ||
Glencore Funding LLC, 2.5%, 9/01/2030 (n) | 100,000 | 76,936 | ||
Glencore Funding LLC, 2.85%, 4/27/2031 (n) | 228,000 | 176,496 | ||
$588,836 | ||||
Midstream – 0.8% | ||||
Cheniere Corpus Christi Holdings LLC, 3.7%, 11/15/2029 | $ | 34,000 | $29,612 | |
Energy Transfer LP, 4%, 10/01/2027 | 52,000 | 47,038 | ||
Energy Transfer LP, 3.75%, 5/15/2030 | 93,000 | 79,049 | ||
Energy Transfer Partners LP, 5.15%, 3/15/2045 | 150,000 | 116,962 | ||
Galaxy Pipeline Assets Bidco Ltd., 1.75%, 9/30/2027 (n) | 178,638 | 161,935 | ||
Plains All American Pipeline LP/PAA Finance Corp., 3.55%, 12/15/2029 | 201,000 | 167,490 | ||
Plains All American Pipeline LP/PAA Finance Corp., 4.3%, 1/31/2043 | 126,000 | 84,670 | ||
Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 | 336,000 | 306,377 | ||
Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | 102,000 | 93,033 | ||
Targa Resources Corp., 4.2%, 2/01/2033 | 37,000 | 30,888 | ||
Targa Resources Corp., 4.95%, 4/15/2052 | 151,000 | 113,301 | ||
$1,230,355 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Municipals – 0.2% | ||||
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B”, 2.746%, 6/01/2034 | $ | 60,000 | $46,023 | |
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B”, 3%, 6/01/2046 | 55,000 | 49,811 | ||
Michigan Finance Authority Hospital Rev., Taxable (Trinity Health Credit Group), 3.384%, 12/01/2040 | 160,000 | 118,460 | ||
State of Florida, Taxable, “A”, 2.154%, 7/01/2030 | 132,000 | 103,308 | ||
$317,602 | ||||
Natural Gas - Distribution – 0.0% | ||||
NiSource, Inc., 5.65%, 2/01/2045 | $ | 38,000 | $34,413 | |
Natural Gas - Pipeline – 0.2% | ||||
APT Pipelines Ltd., 5%, 3/23/2035 (n) | $ | 287,000 | $248,297 | |
Network & Telecom – 0.1% | ||||
AT&T, Inc., 2.75%, 6/01/2031 | $ | 108,000 | $86,405 | |
AT&T, Inc., 3.55%, 9/15/2055 | 37,000 | 23,545 | ||
Verizon Communications, Inc., 2.1%, 3/22/2028 | 36,000 | 30,254 | ||
$140,204 | ||||
Other Banks & Diversified Financials – 0.2% | ||||
American Express Co., 4.989% to 5/26/2032, FLR (SOFR - 1 day + 2.255%) to 5/26/2033 | $ | 178,000 | $161,494 | |
Mizrahi Tefahot Bank Ltd., 3.077% to 4/07/2026, FLR (CMT - 5yr. + 2.25%) to 4/07/2031 (n) | 200,000 | 168,000 | ||
$329,494 | ||||
Pharmaceuticals – 0.1% | ||||
AstraZeneca PLC, 1.375%, 8/06/2030 | $ | 64,000 | $48,937 | |
Merck & Co., Inc., 2.75%, 12/10/2051 | 58,000 | 36,847 | ||
Pfizer, Inc., 2.55%, 5/28/2040 | 58,000 | 40,135 | ||
$125,919 | ||||
Pollution Control – 0.1% | ||||
Waste Connections, Inc., 4.2%, 1/15/2033 | $ | 101,000 | $91,337 | |
Railroad & Shipping – 0.1% | ||||
Canadian Pacific Railway Co., 3%, 12/02/2041 | $ | 35,000 | $24,256 | |
Canadian Pacific Railway Co., 3.1%, 12/02/2051 | 52,000 | 33,078 | ||
Wabtec Transportation Netherlands B.V., 1.25%, 12/03/2027 | EUR | 100,000 | 80,819 | |
$138,153 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Real Estate - Apartment – 0.1% | ||||
American Homes 4 Rent LP, REIT, 2.375%, 7/15/2031 | $ | 103,000 | $75,936 | |
American Homes 4 Rent LP, REIT, 3.375%, 7/15/2051 | 59,000 | 34,607 | ||
$110,543 | ||||
Real Estate - Office – 0.1% | ||||
Corporate Office Property LP, REIT, 2%, 1/15/2029 | $ | 109,000 | $81,302 | |
Corporate Office Property LP, REIT, 2.75%, 4/15/2031 | 176,000 | 127,171 | ||
$208,473 | ||||
Real Estate - Other – 0.1% | ||||
EPR Properties, REIT, 3.6%, 11/15/2031 | $ | 79,000 | $53,333 | |
Lexington Realty Trust Co., 2.7%, 9/15/2030 | 119,000 | 91,069 | ||
W.P. Carey, Inc., REIT, 2.45%, 2/01/2032 | 59,000 | 43,302 | ||
$187,704 | ||||
Real Estate - Retail – 0.1% | ||||
Brixmor Operating Partnership LP, REIT, 2.5%, 8/16/2031 | $ | 65,000 | $46,574 | |
STORE Capital Corp., REIT, 2.75%, 11/18/2030 | 210,000 | 163,936 | ||
$210,510 | ||||
Restaurants – 0.1% | ||||
Starbucks Corp., 3%, 2/14/2032 | $ | 140,000 | $115,863 | |
Retailers – 0.4% | ||||
Alimentation Couche-Tard, Inc., 3.8%, 1/25/2050 (n) | $ | 111,000 | $72,284 | |
Amazon.com, Inc., 3.6%, 4/13/2032 | 273,000 | 244,430 | ||
AutoZone, Inc., 4.75%, 8/01/2032 | 76,000 | 70,640 | ||
Home Depot, Inc., 4.875%, 2/15/2044 | 82,000 | 73,049 | ||
Home Depot, Inc., 3.9%, 6/15/2047 | 195,000 | 149,483 | ||
$609,886 | ||||
Specialty Chemicals – 0.1% | ||||
International Flavors & Fragrances, Inc., 2.3%, 11/01/2030 (n) | $ | 86,000 | $64,632 | |
International Flavors & Fragrances, Inc., 3.268%, 11/15/2040 (n) | 86,000 | 57,320 | ||
$121,952 | ||||
Specialty Stores – 0.1% | ||||
DICK'S Sporting Goods, 3.15%, 1/15/2032 | $ | 102,000 | $77,422 | |
DICK'S Sporting Goods, 4.1%, 1/15/2052 | 115,000 | 70,119 | ||
$147,541 | ||||
Telecommunications - Wireless – 0.6% | ||||
Crown Castle, Inc., REIT, 4.45%, 2/15/2026 | $ | 165,000 | $157,953 | |
Crown Castle, Inc., REIT, 3.7%, 6/15/2026 | 251,000 | 232,997 | ||
Rogers Communications, Inc., 3.8%, 3/15/2032 (n) | 85,000 | 72,368 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Telecommunications - Wireless – continued | ||||
Rogers Communications, Inc., 4.5%, 3/15/2042 (n) | $ | 149,000 | $118,093 | |
Rogers Communications, Inc., 3.7%, 11/15/2049 | 86,000 | 56,186 | ||
T-Mobile USA, Inc., 3.5%, 4/15/2025 | 240,000 | 228,963 | ||
$866,560 | ||||
U.S. Treasury Obligations – 1.2% | ||||
U.S. Treasury Bonds, 1.375%, 11/15/2040 (f) | $ | 563,000 | $347,807 | |
U.S. Treasury Bonds, 2.375%, 2/15/2042 | 198,000 | 144,571 | ||
U.S. Treasury Bonds, 2.875%, 5/15/2052 (f) | 178,400 | 138,455 | ||
U.S. Treasury Notes, 0.875%, 1/31/2024 (f) | 250,000 | 238,525 | ||
U.S. Treasury Notes, 2.625%, 4/15/2025 (f) | 511,000 | 489,303 | ||
U.S. Treasury Notes, 4.125%, 9/30/2027 | 77,000 | 76,579 | ||
U.S. Treasury Notes, 3.875%, 9/30/2029 | 423,000 | 415,465 | ||
$1,850,705 | ||||
Utilities - Electric Power – 1.6% | ||||
Alabama Power Co., 3.45%, 10/01/2049 | $ | 177,000 | $119,676 | |
American Electric Power Co., Inc., 2.3%, 3/01/2030 | 55,000 | 43,331 | ||
American Transmission Systems, Inc., 2.65%, 1/15/2032 (n) | 158,000 | 122,672 | ||
CenterPoint Energy, Inc., 2.65%, 6/01/2031 | 103,000 | 81,585 | ||
Duke Energy Carolinas LLC, 2.85%, 3/15/2032 | 213,000 | 174,061 | ||
Duke Energy Corp., 3.3%, 6/15/2041 | 198,000 | 134,054 | ||
Duke Energy Indiana LLC, 2.75%, 4/01/2050 | 76,000 | 44,729 | ||
Enel Finance International N.V., 4.625%, 6/15/2027 (n) | 200,000 | 181,189 | ||
Evergy, Inc., 2.9%, 9/15/2029 | 71,000 | 58,635 | ||
FirstEnergy Corp., 2.65%, 3/01/2030 | 134,000 | 108,328 | ||
Florida Power & Light Co., 2.85%, 4/01/2025 | 50,000 | 47,464 | ||
Florida Power & Light Co., 2.45%, 2/03/2032 | 246,000 | 198,009 | ||
Florida Power & Light Co., 3.95%, 3/01/2048 | 50,000 | 38,692 | ||
Georgia Power Co., 4.7%, 5/15/2032 | 251,000 | 235,710 | ||
Jersey Central Power & Light Co., 4.3%, 1/15/2026 (n) | 182,000 | 173,627 | ||
Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | 150,000 | 116,718 | ||
NextEra Energy Capital Holdings, Inc., 2.44%, 1/15/2032 | 52,000 | 40,121 | ||
NextEra Energy Capital Holdings, Inc., 3.8% to 3/15/2027, FLR (CMT - 5yr. + 2.547%) to 3/15/2082 | 101,000 | 76,953 | ||
Pacific Gas & Electric Co., 2.5%, 2/01/2031 | 167,000 | 124,784 | ||
Southern California Edison Co., 4.5%, 9/01/2040 | 50,000 | 39,737 | ||
Southern California Edison Co., 3.65%, 2/01/2050 | 202,000 | 135,044 | ||
Virginia Electric & Power Co., 2.875%, 7/15/2029 | 85,000 | 72,994 | ||
Xcel Energy, Inc., 4.6%, 6/01/2032 | 138,000 | 127,101 | ||
$2,495,214 | ||||
Total Bonds (Identified Cost, $35,993,039) | $29,694,864 |
Issuer | Shares/Par | Value ($) | ||
Preferred Stocks – 0.0% | ||||
Consumer Products – 0.0% | ||||
Henkel AG & Co. KGaA (Identified Cost, $24,803) | 391 | $24,645 |
Strike Price | First Exercise | |||
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 | $709 |
Investment Companies (h) – 0.9% | ||||
Money Market Funds – 0.9% | ||||
MFS Institutional Money Market Portfolio, 3.02% (v) (Identified Cost, $1,390,855) | 1,390,993 | $1,390,993 | ||
Collateral for Securities Loaned – 0.0% | ||||
JPMorgan U.S. Government Money Market Fund - Class IM Shares, 2.84% (j) (Identified Cost, $41,566) | 41,566 | $41,566 | ||
Securities Sold Short – (0.0)% | ||||
Telecommunications - Wireless – (0.0)% | ||||
Crown Castle, Inc., REIT (Proceeds Received, $21,464) | (164) | $(21,855) | ||
Other Assets, Less Liabilities – 2.5% | 3,875,087 | |||
Net Assets – 100.0% | $154,881,980 |
(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 $1,390,993 and $149,637,755, 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. | |||
(j) | The rate quoted is the annualized seven-day yield of the fund at period end. | |||
(l) | A portion of this security is on loan. See Note 2 for additional information. | |||
(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 $7,075,895, representing 4.6% 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. |
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 |
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 |
IDR | Indonesian Rupiah |
ILS | Israeli Shekel |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
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 | ||||||
EUR | 2,750,000 | USD | 2,714,511 | HSBC Bank | 12/02/2022 | $8,962 |
GBP | 694,000 | USD | 786,465 | HSBC Bank | 12/02/2022 | 10,067 |
JPY | 716,535,000 | USD | 4,810,535 | HSBC Bank | 12/02/2022 | 24,403 |
SEK | 6,959,000 | USD | 624,695 | HSBC Bank | 12/02/2022 | 6,806 |
USD | 4,518,421 | AUD | 6,566,422 | JPMorgan Chase Bank N.A. | 12/02/2022 | 314,617 |
USD | 9,300,510 | CHF | 8,886,619 | JPMorgan Chase Bank N.A. | 12/02/2022 | 397,100 |
Forward Foreign Currency Exchange Contracts - continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives - continued | ||||||
USD | 473,510 | CHF | 452,000 | Morgan Stanley Capital Services, Inc. | 12/02/2022 | $20,656 |
USD | 889,369 | DKK | 6,583,287 | JPMorgan Chase Bank N.A. | 12/02/2022 | 13,580 |
USD | 4,596,385 | EUR | 4,598,909 | Goldman Sachs International | 12/02/2022 | 41,836 |
USD | 12,348,936 | EUR | 12,293,425 | JPMorgan Chase Bank N.A. | 12/02/2022 | 174,094 |
USD | 6,830,859 | GBP | 5,798,795 | Goldman Sachs International | 12/02/2022 | 175,350 |
USD | 3,880,274 | GBP | 3,348,000 | Morgan Stanley Capital Services, Inc. | 12/02/2022 | 37,640 |
USD | 1,918,528 | HKD | 15,030,902 | Goldman Sachs International | 12/02/2022 | 2,531 |
USD | 77,916 | IDR | 1,212,682,000 | Barclays Bank PLC | 12/02/2022 | 211 |
USD | 135,269 | ILS | 439,381 | JPMorgan Chase Bank N.A. | 12/05/2022 | 10,645 |
USD | 536,537 | INR | 43,206,252 | JPMorgan Chase Bank N.A. | 12/02/2022 | 15,948 |
USD | 11,933,733 | JPY | 1,613,452,584 | JPMorgan Chase Bank N.A. | 12/02/2022 | 1,046,694 |
USD | 1,276,898 | JPY | 181,008,000 | Morgan Stanley Capital Services, Inc. | 12/02/2022 | 55,517 |
USD | 477,748 | KRW | 637,588,800 | JPMorgan Chase Bank N.A. | 12/02/2022 | 30,082 |
USD | 841,625 | NZD | 1,356,079 | Goldman Sachs International | 12/02/2022 | 52,810 |
USD | 139,104 | NZD | 231,000 | Morgan Stanley Capital Services, Inc. | 12/02/2022 | 4,734 |
USD | 71,945 | SEK | 759,000 | Goldman Sachs International | 12/02/2022 | 3,069 |
USD | 476,504 | SGD | 662,841 | JPMorgan Chase Bank N.A. | 12/02/2022 | 8,178 |
USD | 89,428 | THB | 3,204,240 | JPMorgan Chase Bank N.A. | 12/02/2022 | 5,026 |
USD | 621,350 | TWD | 18,647,323 | JPMorgan Chase Bank N.A. | 12/02/2022 | 41,403 |
USD | 121,190 | ZAR | 2,078,796 | Goldman Sachs International | 12/02/2022 | 8,287 |
$2,510,246 | ||||||
Liability Derivatives | ||||||
AUD | 1,768,000 | USD | 1,196,402 | Goldman Sachs International | 12/02/2022 | $(64,534) |
CAD | 353,000 | USD | 268,504 | Citibank N.A. | 12/02/2022 | (9,351) |
CAD | 4,953,569 | USD | 3,822,493 | JPMorgan Chase Bank N.A. | 12/02/2022 | (185,851) |
CHF | 299,000 | USD | 300,002 | HSBC Bank | 12/02/2022 | (437) |
HKD | 906,000 | USD | 115,499 | HSBC Bank | 12/02/2022 | (10) |
NOK | 42,685,893 | USD | 4,386,318 | Goldman Sachs International | 12/02/2022 | (276,472) |
NOK | 18,455,000 | USD | 1,835,541 | JPMorgan Chase Bank N.A. | 12/02/2022 | (58,672) |
NZD | 2,075,238 | USD | 1,291,302 | JPMorgan Chase Bank N.A. | 12/02/2022 | (84,161) |
SEK | 13,700,000 | USD | 1,288,617 | Deutsche Bank AG | 12/02/2022 | (45,398) |
SEK | 24,692,068 | USD | 2,336,383 | JPMorgan Chase Bank N.A. | 12/02/2022 | (95,680) |
USD | 2,626,643 | AUD | 4,130,000 | HSBC Bank | 12/02/2022 | (17,371) |
USD | 174,549 | BRL | 909,113 | Goldman Sachs International | 12/02/2022 | (254) |
USD | 1,608,941 | CAD | 2,200,000 | HSBC Bank | 12/02/2022 | (6,180) |
USD | 81,208 | EUR | 82,420 | Barclays Bank PLC | 1/20/2023 | (799) |
USD | 110,051 | MXN | 2,241,897 | Goldman Sachs International | 12/02/2022 | (2,450) |
USD | 2,022,704 | NOK | 21,321,000 | HSBC Bank | 12/02/2022 | (30,106) |
USD | 2,826,647 | NZD | 4,926,000 | HSBC Bank | 12/02/2022 | (38,748) |
$(916,474) |
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Equity Futures | ||||||
CAC 40 Index | Long | EUR | 64 | $3,964,701 | November – 2022 | $177,269 |
FTSE MIB Index | Long | EUR | 39 | 4,344,233 | December – 2022 | 169,313 |
IBEX 35 Index | Long | EUR | 73 | 5,735,309 | November – 2022 | 328,918 |
MSCI Singapore Index | Long | SGD | 104 | 2,047,715 | November – 2022 | 92,521 |
S&P 500 E-Mini Index | Short | USD | 214 | 41,548,100 | December – 2022 | 1,322,263 |
S&P MidCap 400 Index | Short | USD | 54 | 13,173,840 | December – 2022 | 79,991 |
Topix Index | Long | JPY | 1 | 129,614 | December – 2022 | 3,056 |
$2,173,331 | ||||||
Interest Rate Futures | ||||||
Canadian Treasury Bond 10 yr | Short | CAD | 183 | $16,526,216 | December – 2022 | $177,574 |
Japan Government Bond 10 yr | Long | JPY | 5 | 5,002,522 | December – 2022 | 11,495 |
U.S. Treasury Note 10 yr | Short | USD | 160 | 17,695,000 | December – 2022 | 827,184 |
U.S. Treasury Ultra Note 10 yr | Short | USD | 36 | 4,175,437 | December – 2022 | 338,931 |
$1,355,184 | ||||||
$3,528,515 | ||||||
Liability Derivatives | ||||||
Equity Futures | ||||||
AEX 25 Index | Short | EUR | 60 | $7,932,366 | November – 2022 | $(387,469) |
BIST 30 Index | Long | TRY | 1,927 | 4,760,509 | December – 2022 | (2,490) |
DAX Index | Short | EUR | 18 | 5,909,784 | December – 2022 | (46,618) |
FTSE 100 Index | Long | GBP | 5 | 407,544 | December – 2022 | (11,141) |
FTSE Taiwan Index | Short | USD | 36 | 1,647,720 | November – 2022 | (31,625) |
FTSE/JSE Top 40 Index | Short | ZAR | 60 | 1,975,039 | December – 2022 | (55,196) |
Hang Seng Index | Long | HKD | 43 | 4,015,309 | November – 2022 | (122,955) |
IBOV Index | Long | BRL | 97 | 2,209,902 | December – 2022 | (26,346) |
KOSPI 200 Index | Long | KRW | 31 | 1,640,800 | December – 2022 | (2,936) |
Mexbol Index | Short | MXN | 32 | 808,552 | December – 2022 | (29,650) |
OMX 30 Index | Short | SEK | 349 | 6,204,824 | November – 2022 | (241,934) |
Russell 2000 Index | Short | USD | 202 | 18,715,300 | December – 2022 | (256,486) |
S&P/TSX 60 Index | Short | CAD | 5 | 864,389 | December – 2022 | (3,942) |
$(1,218,788) | ||||||
Interest Rate Futures | ||||||
Australian Bond 10 yr | Long | AUD | 104 | $7,881,825 | December – 2022 | $(74,854) |
Euro-Bund 10 yr | Long | EUR | 46 | 6,293,413 | December – 2022 | (308,521) |
Long Gilt 10 yr | Long | GBP | 75 | 8,784,201 | December – 2022 | (25,998) |
U.S. Treasury Note 2 yr | Long | USD | 17 | 3,474,508 | December – 2022 | (72,250) |
U.S. Treasury Ultra Bond | Long | USD | 5 | 638,281 | December – 2022 | (100,680) |
$(582,303) | ||||||
$(1,801,091) |
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 | ||||||||||
6/16/32 | USD | 8,000,000 | centrally cleared | SOFR - 1 day/Annually | 2.530%/Annually | $826,051 | $(3,223) | $822,828 | ||
6/19/52 | USD | 5,000,000 | centrally cleared | SOFR - 1 day/Annually | 2.340%/Annually | 959,164 | 33,988 | 993,152 | ||
$1,785,215 | $30,765 | $1,815,980 | ||||||||
Liability Derivatives | ||||||||||
Interest Rate Swaps | ||||||||||
6/19/24 | USD | 36,400,000 | centrally cleared | 2.570%/Annually | SOFR - 1 day/Annually | $(1,168,847) | $18,741 | $(1,150,106) | ||
6/16/27 | USD | 22,800,000 | centrally cleared | 2.540%/Annually | SOFR - 1 day/Annually | (1,451,391) | 27,547 | (1,423,844) | ||
$(2,620,238) | $46,288 | $(2,573,950) |
Assets | |
Investments in unaffiliated issuers, at value, including $89,608 of securities on loan (identified cost, $133,221,651) | $149,637,755 |
Investments in affiliated issuers, at value (identified cost, $1,390,855) | 1,390,993 |
Foreign currency, at value (identified cost, $22,550) | 22,546 |
Deposits with brokers for | |
Futures contracts | 1,606,420 |
Securities sold short | 26,653 |
Receivables for | |
Forward foreign currency exchange contracts | 2,510,246 |
Net daily variation margin on open futures contracts | 506,781 |
Investments sold | 77,494 |
Fund shares sold | 108,437 |
Interest and dividends | 506,653 |
Receivable from investment adviser | 12,774 |
Total assets | $156,406,752 |
Liabilities | |
Payable to custodian | $4,028 |
Payables for | |
Net daily variation margin on open cleared swap agreements | 7,311 |
Securities sold short, at value (proceeds received, $21,464) | 21,855 |
Forward foreign currency exchange contracts | 916,474 |
Net daily variation margin on open futures contracts | 14,656 |
Investments purchased | 25,855 |
Fund shares reacquired | 285,955 |
Collateral for securities loaned, at value (c) | 41,566 |
Payable to affiliates | |
Administrative services fee | 364 |
Shareholder servicing costs | 43,265 |
Distribution and service fees | 1,368 |
Payable for independent Trustees' compensation | 1 |
Deferred country tax expense payable | 6,389 |
Accrued expenses and other liabilities | 155,685 |
Total liabilities | $1,524,772 |
Net assets | $154,881,980 |
Net assets consist of | |
Paid-in capital | $177,933,777 |
Total distributable earnings (loss) | (23,051,797) |
Net assets | $154,881,980 |
Shares of beneficial interest outstanding | 14,171,857 |
(c) | Non-cash collateral is not included. |
Net assets | Shares outstanding | Net asset value per share (a) | |
Class A | $25,782,520 | 2,373,442 | $10.86 |
Class B | 1,692,936 | 160,839 | 10.53 |
Class C | 3,725,010 | 352,677 | 10.56 |
Class I | 94,554,708 | 8,635,571 | 10.95 |
Class R1 | 111,483 | 10,712 | 10.41 |
Class R2 | 499,238 | 46,514 | 10.73 |
Class R3 | 853,801 | 78,474 | 10.88 |
Class R4 | 554,426 | 50,493 | 10.98 |
Class R6 | 27,107,858 | 2,463,135 | 11.01 |
(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 $11.52 [100 / 94.25 x $10.86]. 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 | $2,033,171 |
Interest | 1,120,129 |
Dividends from affiliated issuers | 86,682 |
Other | 57,384 |
Income on securities loaned | 3,742 |
Foreign taxes withheld | (80,475) |
Total investment income | $3,220,633 |
Expenses | |
Management fee | $1,405,436 |
Distribution and service fees | 148,975 |
Shareholder servicing costs | 166,944 |
Administrative services fee | 36,447 |
Independent Trustees' compensation | 4,673 |
Custodian fee | 141,831 |
Shareholder communications | 27,727 |
Audit and tax fees | 99,570 |
Legal fees | 792 |
Dividend and interest expense on securities sold short | 961 |
Interest expense and fees | 828 |
Registration fees | 128,872 |
Miscellaneous | 84,617 |
Total expenses | $2,247,673 |
Fees paid indirectly | (4,700) |
Reduction of expenses by investment adviser and distributor | (282,916) |
Net expenses | $1,960,057 |
Net investment income (loss) | $1,260,576 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers (net of $8,007 country tax) | $2,473,536 |
Futures contracts | 12,674,703 |
Swap agreements | (961,125) |
Forward foreign currency exchange contracts | 4,519,095 |
Foreign currency | (522,944) |
Net realized gain (loss) | $18,183,265 |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers (net of $18,721 decrease in deferred country tax) | $(38,610,803) |
Affiliated issuers | 138 |
Futures contracts | 4,293,914 |
Swap agreements | (303,069) |
Securities sold short | 6,775 |
Forward foreign currency exchange contracts | 1,000,350 |
Translation of assets and liabilities in foreign currencies | 13,864 |
Net unrealized gain (loss) | $(33,598,831) |
Net realized and unrealized gain (loss) | $(15,415,566) |
Change in net assets from operations | $(14,154,990) |
Year ended | ||
10/31/22 | 10/31/21 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $1,260,576 | $1,024,242 |
Net realized gain (loss) | 18,183,265 | (12,359,451) |
Net unrealized gain (loss) | (33,598,831) | 25,503,990 |
Change in net assets from operations | $(14,154,990) | $14,168,781 |
Total distributions to shareholders | $(1,041,120) | $(985,057) |
Change in net assets from fund share transactions | $(20,315,708) | $3,969,800 |
Total change in net assets | $(35,511,818) | $17,153,524 |
Net assets | ||
At beginning of period | 190,393,798 | 173,240,274 |
At end of period | $154,881,980 | $190,393,798 |
Class A | Year ended | ||||
10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | |
Net asset value, beginning of period | $11.82 | $10.99 | $10.80 | $10.07 | $10.26 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.06 | $0.05 | $0.07 | $0.10 | $0.06 |
Net realized and unrealized gain (loss) | (0.98) | 0.83 | 0.22 | 0.71 | (0.07) |
Total from investment operations | $(0.92) | $0.88 | $0.29 | $0.81 | $(0.01) |
Less distributions declared to shareholders | |||||
From net investment income | $(0.04) | $(0.05) | $(0.10) | $(0.08) | $(0.18) |
Net asset value, end of period (x) | $10.86 | $11.82 | $10.99 | $10.80 | $10.07 |
Total return (%) (r)(s)(t)(x) | (7.79) | 7.98 | 2.68 | 8.11 | (0.06) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.46 | 1.43 | 1.47 | 1.46 | 1.46 |
Expenses after expense reductions (f) | 1.30 | 1.30 | 1.32 | 1.33 | 1.37 |
Net investment income (loss) | 0.53 | 0.40 | 0.65 | 1.01 | 0.64 |
Portfolio turnover | 58 | 44 | 57 | 58 | 37 |
Net assets at end of period (000 omitted) | $25,783 | $31,120 | $29,453 | $33,287 | $35,972 |
Supplemental Ratios (%): | |||||
Ratios of expenses to average net assets after expense reductions excluding short sale expenses and interest expense and fees (f) | 1.30 | 1.30 | 1.30 | 1.29 | 1.34 |
Class B | Year ended | ||||
10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | |
Net asset value, beginning of period | $11.49 | $10.73 | $10.54 | $9.82 | $10.01 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $(0.03) | $(0.04) | $(0.01) | $0.03 | $(0.01) |
Net realized and unrealized gain (loss) | (0.93) | 0.80 | 0.21 | 0.69 | (0.07) |
Total from investment operations | $(0.96) | $0.76 | $0.20 | $0.72 | $(0.08) |
Less distributions declared to shareholders | |||||
From net investment income | $— | $— | $(0.01) | $(0.00)(w) | $(0.11) |
Net asset value, end of period (x) | $10.53 | $11.49 | $10.73 | $10.54 | $9.82 |
Total return (%) (r)(s)(t)(x) | (8.36) | 7.08 | 1.92 | 7.33 | (0.81) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 2.21 | 2.18 | 2.22 | 2.21 | 2.21 |
Expenses after expense reductions (f) | 2.05 | 2.05 | 2.08 | 2.08 | 2.12 |
Net investment income (loss) | (0.24) | (0.36) | (0.09) | 0.26 | (0.09) |
Portfolio turnover | 58 | 44 | 57 | 58 | 37 |
Net assets at end of period (000 omitted) | $1,693 | $3,129 | $4,035 | $4,542 | $5,061 |
Supplemental Ratios (%): | |||||
Ratios of expenses to average net assets after expense reductions excluding short sale expenses and interest expense and fees (f) | 2.05 | 2.05 | 2.05 | 2.04 | 2.09 |
Class C | Year ended | ||||
10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | |
Net asset value, beginning of period | $11.53 | $10.77 | $10.57 | $9.85 | $10.00 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $(0.03) | $(0.04) | $(0.01) | $0.03 | $(0.01) |
Net realized and unrealized gain (loss) | (0.94) | 0.80 | 0.21 | 0.69 | (0.06) |
Total from investment operations | $(0.97) | $0.76 | $0.20 | $0.72 | $(0.07) |
Less distributions declared to shareholders | |||||
From net investment income | $— | $— | $(0.00)(w) | $— | $(0.08) |
Net asset value, end of period (x) | $10.56 | $11.53 | $10.77 | $10.57 | $9.85 |
Total return (%) (r)(s)(t)(x) | (8.41) | 7.06 | 1.91 | 7.31 | (0.72) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 2.21 | 2.18 | 2.22 | 2.22 | 2.22 |
Expenses after expense reductions (f) | 2.05 | 2.05 | 2.08 | 2.08 | 2.13 |
Net investment income (loss) | (0.24) | (0.36) | (0.08) | 0.26 | (0.10) |
Portfolio turnover | 58 | 44 | 57 | 58 | 37 |
Net assets at end of period (000 omitted) | $3,725 | $5,966 | $8,396 | $10,083 | $13,845 |
Supplemental Ratios (%): | |||||
Ratios of expenses to average net assets after expense reductions excluding short sale expenses and interest expense and fees (f) | 2.05 | 2.05 | 2.05 | 2.04 | 2.10 |
Class I | Year ended | ||||
10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | |
Net asset value, beginning of period | $11.91 | $11.08 | $10.89 | $10.15 | $10.35 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.09 | $0.08 | $0.10 | $0.13 | $0.09 |
Net realized and unrealized gain (loss) | (0.98) | 0.82 | 0.22 | 0.72 | (0.07) |
Total from investment operations | $(0.89) | $0.90 | $0.32 | $0.85 | $0.02 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.07) | $(0.07) | $(0.13) | $(0.11) | $(0.22) |
Net asset value, end of period (x) | $10.95 | $11.91 | $11.08 | $10.89 | $10.15 |
Total return (%) (r)(s)(t)(x) | (7.51) | 8.19 | 2.91 | 8.49 | 0.19 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.21 | 1.18 | 1.22 | 1.21 | 1.21 |
Expenses after expense reductions (f) | 1.05 | 1.05 | 1.07 | 1.08 | 1.12 |
Net investment income (loss) | 0.79 | 0.66 | 0.90 | 1.25 | 0.90 |
Portfolio turnover | 58 | 44 | 57 | 58 | 37 |
Net assets at end of period (000 omitted) | $94,555 | $112,743 | $108,871 | $127,572 | $137,065 |
Supplemental Ratios (%): | |||||
Ratios of expenses to average net assets after expense reductions excluding short sale expenses and interest expense and fees (f) | 1.05 | 1.05 | 1.05 | 1.04 | 1.10 |
Class R1 | Year ended | ||||
10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | |
Net asset value, beginning of period | $11.36 | $10.61 | $10.43 | $9.72 | $9.93 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $(0.02) | $(0.04) | $(0.01) | $0.03 | $(0.01) |
Net realized and unrealized gain (loss) | (0.93) | 0.79 | 0.22 | 0.68 | (0.07) |
Total from investment operations | $(0.95) | $0.75 | $0.21 | $0.71 | $(0.08) |
Less distributions declared to shareholders | |||||
From net investment income | $— | $— | $(0.03) | $— | $(0.13) |
Net asset value, end of period (x) | $10.41 | $11.36 | $10.61 | $10.43 | $9.72 |
Total return (%) (r)(s)(t)(x) | (8.36) | 7.07 | 1.97 | 7.30 | (0.83) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 2.21 | 2.18 | 2.22 | 2.21 | 2.22 |
Expenses after expense reductions (f) | 2.05 | 2.05 | 2.07 | 2.08 | 2.13 |
Net investment income (loss) | (0.21) | (0.35) | (0.09) | 0.26 | (0.08) |
Portfolio turnover | 58 | 44 | 57 | 58 | 37 |
Net assets at end of period (000 omitted) | $111 | $122 | $113 | $210 | $195 |
Supplemental Ratios (%): | |||||
Ratios of expenses to average net assets after expense reductions excluding short sale expenses and interest expense and fees (f) | 2.05 | 2.05 | 2.05 | 2.04 | 2.10 |
Class R2 | Year ended | ||||
10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | |
Net asset value, beginning of period | $11.69 | $10.86 | $10.67 | $9.91 | $10.11 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.03 | $0.02 | $0.04 | $0.08 | $0.04 |
Net realized and unrealized gain (loss) | (0.97) | 0.81 | 0.22 | 0.69 | (0.06) |
Total from investment operations | $(0.94) | $0.83 | $0.26 | $0.77 | $(0.02) |
Less distributions declared to shareholders | |||||
From net investment income | $(0.02) | $— | $(0.07) | $(0.01) | $(0.18) |
Net asset value, end of period (x) | $10.73 | $11.69 | $10.86 | $10.67 | $9.91 |
Total return (%) (r)(s)(t)(x) | (8.02) | 7.64 | 2.43 | 7.82 | (0.22) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.71 | 1.68 | 1.72 | 1.71 | 1.71 |
Expenses after expense reductions (f) | 1.55 | 1.55 | 1.58 | 1.58 | 1.61 |
Net investment income (loss) | 0.28 | 0.13 | 0.41 | 0.75 | 0.42 |
Portfolio turnover | 58 | 44 | 57 | 58 | 37 |
Net assets at end of period (000 omitted) | $499 | $611 | $498 | $791 | $1,434 |
Supplemental Ratios (%): | |||||
Ratios of expenses to average net assets after expense reductions excluding short sale expenses and interest expense and fees (f) | 1.55 | 1.55 | 1.55 | 1.54 | 1.59 |
Class R3 | Year ended | ||||
10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | |
Net asset value, beginning of period | $11.83 | $11.00 | $10.81 | $10.09 | $10.29 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.06 | $0.05 | $0.07 | $0.10 | $0.07 |
Net realized and unrealized gain (loss) | (0.97) | 0.82 | 0.22 | 0.71 | (0.07) |
Total from investment operations | $(0.91) | $0.87 | $0.29 | $0.81 | $0.00(w) |
Less distributions declared to shareholders | |||||
From net investment income | $(0.04) | $(0.04) | $(0.10) | $(0.09) | $(0.20) |
Net asset value, end of period (x) | $10.88 | $11.83 | $11.00 | $10.81 | $10.09 |
Total return (%) (r)(s)(t)(x) | (7.71) | 7.92 | 2.70 | 8.09 | 0.00(w) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.46 | 1.43 | 1.47 | 1.46 | 1.46 |
Expenses after expense reductions (f) | 1.30 | 1.30 | 1.32 | 1.33 | 1.37 |
Net investment income (loss) | 0.54 | 0.40 | 0.69 | 1.00 | 0.65 |
Portfolio turnover | 58 | 44 | 57 | 58 | 37 |
Net assets at end of period (000 omitted) | $854 | $1,593 | $1,432 | $1,101 | $997 |
Supplemental Ratios (%): | |||||
Ratios of expenses to average net assets after expense reductions excluding short sale expenses and interest expense and fees (f) | 1.30 | 1.30 | 1.30 | 1.29 | 1.34 |
Class R4 | Year ended | ||||
10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | |
Net asset value, beginning of period | $11.94 | $11.11 | $10.91 | $10.18 | $10.37 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.11 | $0.07 | $0.09 | $0.13 | $0.09 |
Net realized and unrealized gain (loss) | (1.00) | 0.84 | 0.23 | 0.71 | (0.07) |
Total from investment operations | $(0.89) | $0.91 | $0.32 | $0.84 | $0.02 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.07) | $(0.08) | $(0.12) | $(0.11) | $(0.21) |
Net asset value, end of period (x) | $10.98 | $11.94 | $11.11 | $10.91 | $10.18 |
Total return (%) (r)(s)(t)(x) | (7.49) | 8.20 | 2.98 | 8.36 | 0.24 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.24 | 1.18 | 1.23 | 1.22 | 1.22 |
Expenses after expense reductions (f) | 1.05 | 1.05 | 1.08 | 1.08 | 1.13 |
Net investment income (loss) | 0.94 | 0.64 | 0.81 | 1.27 | 0.91 |
Portfolio turnover | 58 | 44 | 57 | 58 | 37 |
Net assets at end of period (000 omitted) | $554 | $57 | $58 | $51 | $90 |
Supplemental Ratios (%): | |||||
Ratios of expenses to average net assets after expense reductions excluding short sale expenses and interest expense and fees (f) | 1.05 | 1.05 | 1.05 | 1.04 | 1.10 |
Class R6 | Year ended | ||||
10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | |
Net asset value, beginning of period | $11.97 | $11.13 | $10.94 | $10.20 | $10.41 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.10 | $0.08 | $0.11 | $0.14 | $0.10 |
Net realized and unrealized gain (loss) | (0.98) | 0.84 | 0.21 | 0.72 | (0.08) |
Total from investment operations | $(0.88) | $0.92 | $0.32 | $0.86 | $0.02 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.08) | $(0.08) | $(0.13) | $(0.12) | $(0.23) |
Net asset value, end of period (x) | $11.01 | $11.97 | $11.13 | $10.94 | $10.20 |
Total return (%) (r)(s)(t)(x) | (7.38) | 8.35 | 2.97 | 8.51 | 0.24 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.11 | 1.08 | 1.13 | 1.14 | 1.16 |
Expenses after expense reductions (f) | 0.95 | 0.95 | 0.99 | 1.01 | 1.07 |
Net investment income (loss) | 0.87 | 0.71 | 1.04 | 1.32 | 0.97 |
Portfolio turnover | 58 | 44 | 57 | 58 | 37 |
Net assets at end of period (000 omitted) | $27,108 | $35,052 | $20,383 | $5,410 | $5,337 |
Supplemental Ratios (%): | |||||
Ratios of expenses to average net assets after expense reductions excluding short sale expenses and interest expense and fees (f) | 0.95 | 0.95 | 0.96 | 0.97 | 1.04 |
(d) | Per share data is based on average shares outstanding. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. See Note 2 in the Notes to Financial Statements for additional information. |
(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 | $82,800,591 | $— | $— | $82,800,591 |
France | 5,836,318 | — | — | 5,836,318 |
Japan | 3,399,750 | 2,407,405 | — | 5,807,155 |
Switzerland | 5,472,560 | — | — | 5,472,560 |
United Kingdom | 4,929,944 | — | — | 4,929,944 |
Canada | 3,686,872 | — | — | 3,686,872 |
Germany | 2,758,795 | — | — | 2,758,795 |
India | 1,036,698 | — | — | 1,036,698 |
Hong Kong | 238,209 | 766,153 | — | 1,004,362 |
Other Countries | 5,517,158 | 1,050,872 | — | 6,568,030 |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 1,850,705 | — | 1,850,705 |
Non - U.S. Sovereign Debt | — | 810,645 | — | 810,645 |
Municipal Bonds | — | 317,602 | — | 317,602 |
U.S. Corporate Bonds | — | 18,040,506 | — | 18,040,506 |
Commercial Mortgage-Backed Securities | — | 434,563 | — | 434,563 |
Asset-Backed Securities (including CDOs) | — | 282,367 | — | 282,367 |
Foreign Bonds | — | 7,958,476 | — | 7,958,476 |
Mutual Funds | 1,432,559 | — | — | 1,432,559 |
Total | $117,109,454 | $33,919,294 | $— | $151,028,748 |
Securities Sold Short | $(21,855) | $— | $— | $(21,855) |
Other Financial Instruments | ||||
Futures Contracts – Assets | $3,432,938 | $95,577 | $— | $3,528,515 |
Futures Contracts – Liabilities | (1,672,710) | (128,381) | — | (1,801,091) |
Forward Foreign Currency Exchange Contracts – Assets | — | 2,510,246 | — | 2,510,246 |
Forward Foreign Currency Exchange Contracts – Liabilities | — | (916,474) | — | (916,474) |
Swap Agreements – Assets | — | 1,815,980 | — | 1,815,980 |
Swap Agreements – Liabilities | — | (2,573,950) | — | (2,573,950) |
Fair Value (a) | |||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
Interest Rate | Futures Contracts | $1,355,184 | $(582,303) |
Interest Rate | Cleared Swap Agreements | 1,815,980 | (2,573,950) |
Foreign Exchange | Forward Foreign Currency Exchange Contracts | 2,510,246 | (916,474) |
Equity | Futures Contracts | 2,173,331 | (1,218,788) |
Total | $7,854,741 | $(5,291,515) |
(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 reported separately within the Statement of Assets and Liabilities. |
Risk | Futures Contracts | Swap Agreements | Forward Foreign Currency Exchange Contracts |
Interest Rate | $925,678 | $(961,125) | $— |
Foreign Exchange | — | — | 4,519,095 |
Equity | 11,749,025 | — | — |
Total | $12,674,703 | $(961,125) | $4,519,095 |
Risk | Futures Contracts | Swap Agreements | Forward Foreign Currency Exchange Contracts |
Interest Rate | $862,485 | $(303,069) | $— |
Foreign Exchange | — | — | 1,000,350 |
Equity | 3,431,429 | — | — |
Total | $4,293,914 | $(303,069) | $1,000,350 |
Gross Amounts of: | Derivative Assets | Derivative Liabilities |
Futures Contracts (a) | $506,781 | $(14,656) |
Cleared Swap Agreements (a) | — | (7,311) |
Forward Foreign Currency Exchange Contracts | 2,510,246 | (916,474) |
Total Gross Amount of Derivative Assets and Liabilities Presented in the Statement of Assets & Liabilities | $3,017,027 | $(938,441) |
Less: Derivatives Assets and Liabilities Not Subject to a Master Netting Agreement or Similar Arrangement | 557,019 | (114,819) |
Total Gross Amount of Derivative Assets and Liabilities Subject to a Master Netting Agreement or Similar Arrangement | $2,460,008 | $(823,622) |
(a) | The amount presented here represents the fund's current day net variation margin for futures contracts and for cleared swap agreements. This amount, which is recognized within the 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 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 | |
Barclays Bank PLC | $211 | $(211) | $— | $— | $— |
Goldman Sachs International | 283,883 | (283,883) | — | — | — |
JPMorgan Chase Bank N.A. | 2,057,367 | (424,364) | (1,365,505) | — | 267,498 |
Morgan Stanley Capital Services, Inc. | 118,547 | — | — | — | 118,547 |
Total | $2,460,008 | $(708,458) | $(1,365,505) | $— | $386,045 |
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 | |
Barclays Bank PLC | $(799) | $211 | $— | $— | $(588) |
Deutsche Bank AG | (45,398) | — | — | — | (45,398) |
Citibank N.A. | (9,351) | — | — | — | (9,351) |
Goldman Sachs International | (343,710) | 283,883 | — | — | (59,827) |
JPMorgan Chase Bank N.A. | (424,364) | 424,364 | — | — | — |
Total | $(823,622) | $708,458 | $— | $— | $(115,164) |
(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 10/31/22 | Year ended 10/31/21 | |
Ordinary income (including any short-term capital gains) | $1,041,120 | $985,057 |
As of 10/31/22 | |
Cost of investments | $142,071,559 |
Gross appreciation | 28,476,098 |
Gross depreciation | (16,977,538) |
Net unrealized appreciation (depreciation) | $11,498,560 |
Undistributed ordinary income | 853,186 |
Capital loss carryforwards | (35,496,498) |
Other temporary differences | 92,955 |
Total distributable earnings (loss) | $(23,051,797) |
Short-Term | $(35,496,498) |
Year ended 10/31/22 | Year ended 10/31/21 | |
Class A | $111,071 | $124,519 |
Class I | 680,285 | 699,213 |
Class R2 | 1,289 | — |
Class R3 | 5,416 | 5,098 |
Class R4 | 335 | 402 |
Class R6 | 242,724 | 155,825 |
Total | $1,041,120 | $985,057 |
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% | $ 70,239 |
Class B | 0.75% | 0.25% | 1.00% | 1.00% | 23,656 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 47,897 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 1,162 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 2,786 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 3,235 |
Total Distribution and Service Fees | $148,975 |
(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 year ended October 31, 2022 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 year ended October 31, 2022, this rebate amounted to $49 for Class A shares and is included in the reduction of total expenses in the Statement of Operations. |
Amount | |
Class A | $1,097 |
Class B | 1,136 |
Class C | 224 |
Purchases | Sales | |
U.S. Government securities | $2,491,758 | $804,376 |
Non-U.S. Government securities | 97,154,066 | 93,608,721 |
Year ended 10/31/22 | Year ended 10/31/21 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 487,164 | $5,469,700 | 806,398 | $9,279,252 | |
Class B | 4,910 | 52,271 | 2,697 | 29,872 | |
Class C | 82,132 | 893,191 | 65,487 | 745,204 | |
Class I | 3,229,994 | 36,790,220 | 3,852,642 | 44,743,981 | |
Class R1 | 74 | 799 | 73 | 819 | |
Class R2 | 2,175 | 24,473 | 13,743 | 158,828 | |
Class R3 | 10,878 | 123,059 | 35,437 | 405,547 | |
Class R4 | 45,731 | 513,847 | — | — | |
Class R6 | 322,341 | 3,658,267 | 2,447,318 | 28,796,377 | |
4,185,399 | $47,525,827 | 7,223,795 | $84,159,880 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Class A | 8,813 | $103,460 | 10,073 | $113,217 | |
Class I | 54,315 | 640,921 | 47,512 | 536,886 | |
Class R2 | 111 | 1,289 | — | — | |
Class R3 | 461 | 5,416 | 453 | 5,098 | |
Class R4 | 28 | 335 | 36 | 402 | |
Class R6 | 6,838 | 81,098 | 12,367 | 140,361 | |
70,566 | $832,519 | 70,441 | $795,964 | ||
Shares reacquired | |||||
Class A | (756,255) | $(8,520,202) | (861,995) | $(9,925,360) | |
Class B | (116,274) | (1,270,721) | (106,535) | (1,199,549) | |
Class C | (246,717) | (2,698,221) | (327,906) | (3,692,400) | |
Class I | (4,115,685) | (46,348,001) | (4,260,461) | (49,555,579) | |
Class R1 | (102) | (1,067) | (11) | (126) | |
Class R2 | (8,052) | (88,706) | (7,348) | (83,037) | |
Class R3 | (67,539) | (751,038) | (31,370) | (364,075) | |
Class R4 | — | — | (495) | (5,631) | |
Class R6 | (794,374) | (8,996,098) | (1,362,036) | (16,160,287) | |
(6,104,998) | $(68,674,054) | (6,958,157) | $(80,986,044) |
Year ended 10/31/22 | Year ended 10/31/21 | ||||
Shares | Amount | Shares | Amount | ||
Net change | |||||
Class A | (260,278) | $(2,947,042) | (45,524) | $(532,891) | |
Class B | (111,364) | (1,218,450) | (103,838) | (1,169,677) | |
Class C | (164,585) | (1,805,030) | (262,419) | (2,947,196) | |
Class I | (831,376) | (8,916,860) | (360,307) | (4,274,712) | |
Class R1 | (28) | (268) | 62 | 693 | |
Class R2 | (5,766) | (62,944) | 6,395 | 75,791 | |
Class R3 | (56,200) | (622,563) | 4,520 | 46,570 | |
Class R4 | 45,759 | 514,182 | (459) | (5,229) | |
Class R6 | (465,195) | (5,256,733) | 1,097,649 | 12,776,451 | |
(1,849,033) | $(20,315,708) | 336,079 | $3,969,800 |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $7,489,894 | $251,432,460 | $257,531,499 | $— | $138 | $1,390,993 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $86,682 | $— |
December 15, 2022
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds overseen by the Trustee | Principal Occupations During the Past Five Years | Other Directorships During the Past Five Years (j) | |||||
INTERESTED TRUSTEES | ||||||||||
Michael W. Roberge (k) (age 56) | Trustee | January 2021 | 136 | Massachusetts Financial Services Company, Chairman (since January 2021); Chief Executive Officer (since January 2017); Director; Chairman of the Board (since January 2022); President (until December 2018); Chief Investment Officer (until December 2018) | N/A | |||||
INDEPENDENT TRUSTEES | ||||||||||
John P. Kavanaugh (age 68) | Trustee and Chair of Trustees | January 2009 | 136 | Private investor | N/A | |||||
Steven E. Buller (age 71) | Trustee | February 2014 | 136 | Private investor | N/A | |||||
John A. Caroselli (age 68) | Trustee | March 2017 | 136 | Private investor; JC Global Advisors, LLC (management consulting), President (since 2015) | N/A | |||||
Maureen R. Goldfarb (age 67) | Trustee | January 2009 | 136 | Private investor | N/A | |||||
Peter D. Jones (age 67) | Trustee | January 2019 | 136 | Private investor | N/A | |||||
James W. Kilman, Jr. (age 61) | Trustee | January 2019 | 136 | Burford Capital Limited (finance and investment management), Senior Advisor (since May 3, 2021), Chief Financial Officer (2019 - May 2, 2021); KielStrand Capital LLC (family office), Chief Executive Officer (since 2016) | Alpha-En Corporation, Director (2016-2019) |
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds overseen by the Trustee | Principal Occupations During the Past Five Years | Other Directorships During the Past Five Years (j) | |||||
Clarence Otis, Jr. (age 66) | Trustee | March 2017 | 136 | Private investor | VF Corporation, Director; Verizon Communications, Inc., Director; The Travelers Companies, Director | |||||
Maryanne L. Roepke (age 66) | Trustee | May 2014 | 136 | Private investor | N/A | |||||
Laurie J. Thomsen (age 65) | Trustee | March 2005 | 136 | Private investor | The Travelers Companies, Director; Dycom Industries, Inc., Director |
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds for which the Person is an Officer | Principal Occupations During the Past Five Years | ||||
OFFICERS | ||||||||
Christopher R. Bohane (k) (age 48) | Assistant Secretary and Assistant Clerk | July 2005 | 136 | Massachusetts Financial Services Company, Senior Vice President and Senior Managing Counsel | ||||
Kino Clark (k) (age 54) | Assistant Treasurer | January 2012 | 136 | Massachusetts Financial Services Company, Vice President | ||||
John W. Clark, Jr. (k) (age 55) | Assistant Treasurer | April 2017 | 136 | Massachusetts Financial Services Company, Vice President | ||||
David L. DiLorenzo (k) (age 54) | President | July 2005 | 136 | Massachusetts Financial Services Company, Senior Vice President | ||||
Heidi W. Hardin (k) (age 55) | Secretary and Clerk | April 2017 | 136 | Massachusetts Financial Services Company, Executive Vice President and General Counsel | ||||
Brian E. Langenfeld (k) (age 49) | Assistant Secretary and Assistant Clerk | June 2006 | 136 | Massachusetts Financial Services Company, Vice President and Managing Counsel |
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds for which the Person is an Officer | Principal Occupations During the Past Five Years | ||||
Rosa E. Licea-Mailloux (k) (age 46) | Chief Compliance Officer | March 2022 | 136 | Massachusetts Financial Services Company, Vice President (since 2018); Director of Corporate Compliance (2018-2021), Senior Director Compliance (2021-2022), Senior Managing Director of North American Compliance & Chief Compliance Officer (since March 2022); Natixis Investment Managers (investment management), Funds Chief Compliance Officer, Deputy General Counsel & Senior Vice President (until 2018) | ||||
Amanda S. Mooradian (k) (age 43) | Assistant Secretary and Assistant Clerk | September 2018 | 136 | Massachusetts Financial Services Company, Assistant Vice President and Senior Counsel | ||||
Susan A. Pereira (k) (age 52) | Assistant Secretary and Assistant Clerk | July 2005 | 136 | Massachusetts Financial Services Company, Vice President and Managing Counsel | ||||
Kasey L. Phillips (k) (age 51) | Assistant Treasurer | September 2012 | 136 | Massachusetts Financial Services Company, Vice President | ||||
Matthew A. Stowe (k) (age 48) | Assistant Secretary and Assistant Clerk | October 2014 | 136 | Massachusetts Financial Services Company, Vice President and Senior Managing Counsel | ||||
William B. Wilson (k) (age 40) | Assistant Secretary and Assistant Clerk | October 2022 | 136 | Massachusetts Financial Services Company, Assistant Vice President and Counsel | ||||
James O. Yost (k) (age 62) | Treasurer | September 1990 | 136 | Massachusetts Financial Services Company, Senior Vice President |
(h) | Date first appointed to serve as Trustee/Officer of an MFS Fund. Each Trustee has served continuously since appointment unless indicated otherwise. From January 2012 through December 2016, Messrs. DiLorenzo and Yost served as Treasurer and Deputy Treasurer of the Funds, respectively. |
(j) | Directorships or trusteeships of companies required to report to the Securities and Exchange Commission (i.e., “public companies”). |
(k) | “Interested person” of the Trust within the meaning of the Investment Company Act of 1940 (referred to as the 1940 Act), which is the principal federal law governing investment companies like the fund, as a result of a position with MFS. The address of MFS is 111 Huntington Avenue, Boston, Massachusetts 02199-7618. |
Investment Adviser | Custodian |
Massachusetts Financial Services Company 111 Huntington Avenue Boston, MA 02199-7618 | JPMorgan Chase Bank, NA 4 Metrotech Center New York, NY 11245 |
Distributor | Independent Registered Public Accounting Firm |
MFS Fund Distributors, Inc. 111 Huntington Avenue Boston, MA 02199-7618 | Deloitte & Touche LLP 200 Berkeley Street Boston, MA 02116 |
Portfolio Manager(s) | |
Benjamin Nastou Natalie Shapiro Erich Shigley |
FACTS | WHAT DOES MFS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include: |
• Social Security number and account balances | |
• Account transactions and transaction history | |
• Checking account information and wire transfer instructions | |
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers' personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers' personal information; the reasons MFS chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does MFS share? | Can you limit this sharing? |
For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes – to offer our products and services to you | No | We don't share |
For joint marketing with other financial companies | No | We don't share |
For our affiliates' everyday business purposes – information about your transactions and experiences | No | We don't share |
For our affiliates' everyday business purposes – information about your creditworthiness | No | We don't share |
For nonaffiliates to market to you | No | We don't share |
Questions? | Call 800-225-2606 or go to mfs.com. |
Who we are | |
Who is providing this notice? | MFS Funds, MFS Investment Management, MFS Institutional Advisors, Inc., and MFS Heritage Trust Company. |
What we do | |
How does MFS protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include procedural, electronic, and physical safeguards for the protection of the personal information we collect about you. |
How does MFS collect my personal information? | We collect your personal information, for example, when you |
• open an account or provide account information | |
• direct us to buy securities or direct us to sell your securities | |
• make a wire transfer | |
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. | |
Why can't I limit all sharing? | Federal law gives you the right to limit only |
• sharing for affiliates' everyday business purposes – information about your creditworthiness | |
• affiliates from using your information to market to you | |
• sharing for nonaffiliates to market to you | |
State laws and individual companies may give you additional rights to limit sharing. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. |
• MFS does not share personal information with affiliates, except for everyday business purposes as described on page one of this notice. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. |
• MFS does not share with nonaffiliates so they can market to you. | |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. |
• MFS doesn't jointly market. |
Other important information |
If you own an MFS product or receive an MFS service in the name of a third party such as a bank or broker-dealer, their privacy policy may apply to you instead of ours. |
Item 1(b):
Not applicable
ITEM 2. CODE OF ETHICS.
The Registrant has adopted a Code of Ethics (the "Code") pursuant to Section 406 of the Sarbanes-Oxley Act and as defined in Form N-CSR that applies to the Registrant's principal executive officer and principal financial and accounting officer. During the period covered by this report, the Registrant has not amended any provision in the Code that relates to an element of the Code's definition enumerated in paragraph (b) of Item 2 of this Form N-CSR. During the period covered by this report, the Registrant did not grant a waiver, including an implicit waiver, from any provision of the Code.
A copy of the Code is attached hereto as EX-99.COE.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Messrs. Steven E. Buller, James Kilman, and Clarence Otis, Jr. and Ms. Maryanne L. Roepke, members of the Audit Committee, have been determined by the Board of Trustees in their reasonable business judgment to meet the definition of "audit committee financial expert" as such term is defined in Form N-CSR. In addition, Messrs. Buller, Kilman, and Otis and Ms. Roepke are "independent" members of the Audit Committee (as such term has been defined by the Securities and Exchange Commission in regulations implementing Section 407 of the Sarbanes-Oxley Act of 2002). The Securities and Exchange Commission has stated that the designation of a person as an audit committee financial expert pursuant to this Item 3 on the Form N-CSR does not impose on such a person any duties, obligations or liability that are greater than the duties, obligations or liability imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Items 4(a) through 4(d) and 4(g):
The Board of Trustees has appointed Deloitte & Touche LLP ("Deloitte") to serve as independent accountants to each series of the Registrant (each a "Fund" and collectively the "Funds"). The tables below set forth the audit fees billed to each Fund as well as fees for non-audit services provided to each Fund and/or to the Fund's investment adviser, Massachusetts Financial Services Company ("MFS"), and to various entities either controlling, controlled by, or under common control with MFS that provide ongoing services to the Fund ("MFS Related Entities").
For the fiscal years ended October 31, 2022 and 2021, audit fees billed to MFS Global Alternative Strategy Fund by Deloitte were as follows:
Fees billed by Deloitte: |
| Audit Fees |
| 2022 | 2021 |
MFS Commodity Strategy Fund | 73,302 | 69,588 |
MFS Global Alternative Strategy Fund | 74,168 | 70,409 |
Total | 147,470 | 139,997 |
For the fiscal years ended October 31, 2022 and 2021, fees billed by Deloitte for audit-related, tax and other services provided to MFS Global Alternative Strategy Fund and for audit-related, tax and other services provided to MFS and MFS Related Entities were as follows:
Fees billed by Deloitte: |
| Audit-Related Fees1 |
| Tax Fees2 | All Other Fees3 | ||
| 2022 |
| 2021 | 2022 | 2021 | 2022 | 2021 |
To MFS Commodity Strategy Fund | 0 |
| 0 | 400 | 14,115 | 0 | 0 |
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To MFS Global Alternative Strategy Fund | 0 |
| 0 | 400 | 13,160 | 0 | 0 |
Total fees billed by Deloitte | 0 |
| 0 | 800 | 27,275 | 0 | 0 |
To above Funds |
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Fees billed by Deloitte: |
| Audit-Related Fees1 |
| Tax Fees2 | All Other Fees3 | ||
| 2022 |
| 2021 | 2022 | 2021 | 2022 | 2021 |
To MFS and MFS Related Entities of |
|
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MFS Commodity Strategy Fund* | 0 |
| 0 | 0 | 0 | 3,790 | 5,390 |
To MFS and MFS Related Entities of MFS |
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Global Alternative Strategy Fund* | 0 |
| 0 | 0 | 0 | 3,790 | 5,390 |
Fees Billed by Deloitte: | Aggregate Fees for Non-audit Services | |
| 2022 | 2021 |
To MFS Commodity Strategy Fund, MFS and |
|
|
MFS Related Entities # | 4,190 | 19,505 |
To MFS Global Alternative Strategy Fund, |
|
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MFS and MFS Related Entities # | 4,190 | 18,550 |
*This amount reflects the fees billed to MFS and MFS Related Entities for non-audit services relating directly to the operations and financial reporting of the Fund (portions of which services also related to the operations and financial reporting of other funds within the MFS Funds complex).
#This amount reflects the aggregate fees billed by Deloitte for non-audit services rendered to the Fund and for non-audit services rendered to MFS and the MFS Related Entities. `
1 The fees included under "Audit-Related Fees" are fees related to assurance and related services that are reasonably related to the performance of the audit or review of financial statements, but not reported under ''Audit Fees,'' including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters and internal control reviews.
2 The fees included under "Tax Fees" are fees associated with tax compliance, tax advice and tax planning, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews and tax distribution and analysis.
3 The fees included under "All Other Fees" are fees for products and services provided by Deloitte other than those reported under "Audit Fees," "Audit-Related Fees" and "Tax Fees".
Item 4(e)(1):
Set forth below are the policies and procedures established by the Audit Committee of the Board of Trustees relating to the pre- approval of audit and non-audit related services:
To the extent required by applicable law, pre-approval by the Audit Committee of the Board is needed for all audit and permissible non-audit services rendered to the Funds and all permissible non-audit services rendered to MFS or MFS Related Entities if the services relate directly to the operations and financial reporting of the Registrant. Pre-approval is currently on an engagement-by- engagement basis. In the event pre-approval of such services is necessary between regular meetings of the Audit Committee and it is not practical to wait to seek pre-approval at the next regular meeting of the Audit Committee, pre-approval of such services may be referred to the Chair of the Audit Committee for approval; provided that the Chair may not pre-approve any individual engagement for such services exceeding $50,000 or multiple engagements for such services in the aggregate exceeding $100,000 in each period between regular meetings of the Audit Committee. Any engagement pre-approved by the Chair between regular meetings of the Audit Committee shall be presented for ratification by the entire Audit Committee at its next regularly scheduled meeting.
Item 4(e)(2):
None, or 0%, of the services relating to the Audit-Related Fees, Tax Fees and All Other Fees paid by the Fund and MFS and MFS Related Entities relating directly to the operations and financial reporting of the Registrant disclosed above were approved by the audit committee pursuant to paragraphs (c)(7)(i)(C) of Rule 2-01 of Regulation S-X (which permits audit committee approval after the start of the engagement with respect to services other than audit, review or attest services, if certain conditions are satisfied).
Item 4(f):
Not applicable.
Item 4(h):
The Registrant's Audit Committee has considered whether the provision by a Registrant's independent registered public accounting firm of non-audit services to MFS and MFS Related Entities that were not pre-approved by the Committee (because such services did not relate directly to the operations and financial reporting of the Registrant) was compatible with maintaining the independence of the independent registered public accounting firm as the Registrant's principal auditors.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to the Registrant.
ITEM 6. INVESTMENTS
A schedule of investments for each series covered by this Form N-CSR 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)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Attached hereto as EX-99.COE.
(2)A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto as EX-99.302CERT.
(3)Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable.
(4)Change in the registrant's independent public accountant. Not applicable.
(b)If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or
240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed "filed" for the purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Attached hereto as EX-99.906CERT.
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: December 15, 2022
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: December 15, 2022
By (Signature and Title)*
/S/ JAMES O. YOST
James O. Yost, Treasurer (Principal Financial Officer and Accounting Officer)
Date: December 15, 2022
* Print name and title of each signing officer under his or her signature.