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
111Huntington Avenue Boston, Massachusetts 02199
(Name and address of agents for service)
Registrant's telephone number, including area code: (617) 954-5000
Date of fiscal year end: October 31
Date of reporting period: October 31, 2023
ITEM 1. REPORTS TO STOCKHOLDERS.
Item 1(a):
Annual Report
October 31, 2023
MFS® Commodity
Strategy Fund
MFS® Commodity
Strategy Fund
| 1 |
| 4 |
| 6 |
| 9 |
| 11 |
| 32 |
| 34 |
| 35 |
| 36 |
| 42 |
| 60 |
| 62 |
| 66 |
| 70 |
| 70 |
| 70 |
| 70 |
| 70 |
| 71 |
The report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a current prospectus.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Portfolio structure reflecting equivalent exposure of derivative positions (i)
Fixed income sectors (i)
| U.S. Treasury Securities | 40.7% |
| Investment Grade Corporates | 33.5% |
| Collateralized Debt Obligations | 7.9% |
| Commercial Mortgage-Backed Securities | 4.5% |
| Asset-Backed Securities | 4.0% |
| Emerging Markets Bonds | 1.0% |
| High Yield Corporates | 0.8% |
| Municipal Bonds | 0.6% |
| Mortgage-Backed Securities | 0.5% |
| Non-U.S. Government Bonds | 0.3% |
| Residential Mortgage-Backed Securities (o) | 0.0% |
Composition including fixed income credit quality (a)(i)
| AAA | 7.1% |
| AA | 7.6% |
| A | 14.4% |
| BBB | 22.7% |
| BB | 0.8% |
| U.S. Government | 26.2% |
| Federal Agencies | 0.5% |
| Not Rated | 14.5% |
| Non-Fixed Income | 100.8% |
| Cash & Cash Equivalents | 20.8% |
| Other | (115.4)% |
Portfolio Composition - continued
Commodity exposure (c)(i)
| Gold | 15.5% |
| Brent Crude | 9.4% |
| WTI Crude Oil | 8.9% |
| Natural Gas | 8.4% |
| Soybeans | 5.4% |
| Coffee | 4.6% |
| Silver | 4.6% |
| Corn | 4.3% |
| Soybean Meal | 4.3% |
| Aluminum | 4.2% |
| Live Cattle | 4.1% |
| Copper (COMEX) | 3.9% |
| Sugar | 3.9% |
| Unleaded Gasoline | 3.1% |
| Gas Oil | 2.9% |
| Soybean Oil | 2.7% |
| Zinc | 2.5% |
| Cocoa | 1.7% |
| Lean Hogs | 1.6% |
| Cotton | 1.5% |
| Heating Oil | 1.3% |
| Platinum | 1.3% |
| Wheat | 1.1% |
| Lead | 0.9% |
| Nickel | 0.6% |
| Kansas Wheat | (0.3)% |
| Feeder Cattle | (1.6)% |
| (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. |
Non-Fixed Income includes equity securities (including convertible bonds and equity
Portfolio Composition - continued
derivatives), ETFs and Options on ETFs, and/or commodity-linked derivatives. The fund may or may not have held all of these instruments on this date. The fund is not rated by these agencies.
| (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. |
The fund invests a portion of its assets in the MFS Commodity Strategy Portfolio, a wholly-owned subsidiary of the fund. Percentages reflect exposure to the underlying holdings of the MFS Commodity Strategy Portfolio and not to the exposure from investing directly in the MFS Commodity Strategy Portfolio itself.
Where the fund holds convertible bonds, they are treated as part of the equity portion of the portfolio.
Cash & Cash Equivalents includes any cash, investments in money market funds, short-term securities, and other assets less liabilities. Please see the Consolidated Statement of Assets and Liabilities for additional information related to the fund’s cash position and other assets and liabilities.
Other includes equivalent exposure from currency derivatives and/or any offsets to derivative positions and may be negative.
Percentages are based on net assets as of October 31, 2023.
The portfolio is actively managed and current holdings may be different.
Management Review
Summary of Results
For the twelve months ended October 31, 2023, Class A shares of the MFS Commodity Strategy Fund (fund) provided a total return of -3.10%, at net asset value. This compares with a return of -2.97% for the fund’s benchmark, the Bloomberg Commodity Index.
The fund’s investment adviser 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).
Market Environment
During the reporting period, central banks around the world had to combat the strongest inflationary pressures in four decades, fueled by the global fiscal response to the pandemic, disrupted supply chains and the dislocations to energy markets stemming from the war in Ukraine. Interest rates rose substantially, but the effects of a tighter monetary policy may not have been fully experienced yet, given that monetary policy works with long and variable lags. Strains resulting from the abrupt tightening of monetary policy began to affect some parts of the economy, most acutely among small and regional US banks, which suffered from deposit flight as depositors sought higher yields on their savings. Additionally, activity in the US housing sector has slowed as a result of higher mortgage rates. China’s abandonment of its Zero-COVID policy ushered in a brief uptick in economic activity in the world’s second-largest economy in early 2023, although its momentum soon stalled as the focus turned to the country’s highly indebted property development sector. In developed markets, consumer demand for services remained stronger than the demand for goods.
Policymakers found themselves in the difficult position of trying to restrain inflation without tipping economies into recession. Despite the challenging macroeconomic and geopolitical environment, central banks remained focused on controlling price pressures while also confronting increasing financial stability concerns. Central banks had to juggle achieving their inflation mandates while using macroprudential tools to keep banking systems liquid, a potentially difficult balancing act, and one that suggested that we may be nearing a peak in policy rates.
Against an environment of relatively tight labor markets, tighter global financial conditions and volatile materials prices, investor anxiety appeared to have increased over the potential that corporate profit margins may be past peak for this cycle. That said, signs that supply chains have generally normalized, coupled with low levels of unemployment across developed markets and hopes that inflation levels have peaked, were supportive factors for the macroeconomic backdrop.
Commodities markets, as measured by the Bloomberg Commodity Index, declined nearly 3% during the period as global economic growth slowed and European energy markets reoriented after being disrupted early in the period by Russia’s halting of gas sales to Europe.
Management Review - continued
Factors Affecting Performance
Over the reporting period, the fund slightly lagged the Bloomberg Commodity Index, primarily due to the fixed income segment underperforming the funding cost of the commodity swaps. An underweight allocation to both livestock commodities and precious metals also detracted from relative performance.
Conversely, the fund’s out-of-benchmark exposure to the commodity swaps curve contributed to relative performance. The fund’s overweight exposure to soft commodities, particularly sugar, also supported relative results.
Respectfully,
Portfolio Manager(s)
Philipp Burgener, Alexander Mackey, Benjamin Nastou, and Natalie Shapiro
The views expressed in this report are those of the portfolio manager(s) only through the end of the period of the report as stated on the cover and do not necessarily reflect the views of MFS or any other person in the MFS organization. These views are subject to change at any time based on market or other conditions, and MFS disclaims any responsibility to update such views. These views may not be relied upon as investment advice or an indication of trading intent on behalf of any MFS portfolio. References to specific securities are not recommendations of such securities, and may not be representative of any MFS portfolio’s current or future investments.
Performance Summary THROUGH 10/31/23
The following chart illustrates a representative class of the fund’s historical performance in comparison to its benchmark(s). Performance results include the deduction of the maximum applicable sales charge and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. The performance of other share classes will be greater than or less than that of the class depicted below. Benchmarks are unmanaged and may not be invested in directly. Benchmark returns do not reflect sales charges, commissions or expenses. (See Notes to Performance Summary.)
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value fluctuate so your shares, when sold, may be worth more or less than the original cost; current performance may be lower or higher than quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on fund distributions or the redemption of fund shares.
Growth of a Hypothetical $10,000 Investment
Performance Summary - continued
Total Returns through 10/31/23
Average annual without sales charge
| Share Class | Class Inception Date | 1-yr | 5-yr | 10-yr | Life (t) |
| A | 6/02/2010 | (3.10)% | 6.50% | (0.50)% | N/A |
| B | 8/15/2018 | (4.08)% | 5.67% | N/A | 5.19% |
| C | 8/15/2018 | (3.72)% | 5.71% | N/A | 5.22% |
| I | 6/02/2010 | (2.79)% | 6.81% | (0.24)% | N/A |
| R1 | 8/15/2018 | (3.87)% | 5.72% | N/A | 5.23% |
| R2 | 8/15/2018 | (3.44)% | 6.21% | N/A | 5.74% |
| R3 | 8/15/2018 | (3.16)% | 6.48% | N/A | 6.00% |
| R4 | 8/15/2018 | (2.84)% | 6.77% | N/A | 6.27% |
| R6 | 9/04/2012 | (2.94)% | 6.83% | (0.23)% | N/A |
Comparative benchmark(s)
| | | | | |
| Bloomberg Commodity Index (f) | (2.97)% | 6.65% | (0.57)% | N/A |
Average annual with sales charge
| | | | | |
A
With Initial Sales Charge (5.75%) | (8.67)% | 5.25% | (1.09)% | N/A |
B
With CDSC (Declining over six years from 4% to 0%) (v) | (7.11)% | 5.47% | N/A | 5.09% |
C
With CDSC (1% for 12 months) (v) | (4.48)% | 5.71% | N/A | 5.22% |
CDSC – Contingent Deferred Sales Charge.
Class I, R1, R2, R3, R4, and R6 shares do not have a sales charge.
| (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. |
Benchmark Definition(s)
Bloomberg Commodity Index(a) – a highly liquid and diversified benchmark for the commodity futures market. The index tracks trades on futures contracts for physical commodities, such as energy (petroleum, gas), precious metals (gold, silver), industrial metals (zinc, copper), grains (corn, wheat), livestock (pork bellies), among others, and are traded in a variety of currencies.
Performance Summary - continued
It is not possible to invest directly in an index.
| (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. |
Notes to Performance Summary
Average annual total return represents the average annual change in value for each share class for the periods presented. Life returns are presented where the share class has less than 10 years of performance history and represent the average annual total return from the class inception date to the stated period end date. As the fund's share classes may have different inception dates, the life returns may represent different time periods and may not be comparable. As a result, no comparative benchmark performance information is provided for life periods.
Performance results reflect any applicable expense subsidies and waivers in effect during the periods shown. Without such subsidies and waivers the fund's performance results would be less favorable. Please see the prospectus and financial statements for complete details.
Performance results do not include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles and may differ from amounts reported in the financial highlights.
From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower.
Expense Table
Fund expenses borne by the shareholders during the period,
May 1, 2023 through October 31, 2023
As a shareholder of the fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on certain purchase or redemption payments, and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period May 1, 2023 through October 31, 2023.
Actual Expenses
The first line for each share class in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line for each share class in the following table provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line for each share class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Expense Table - continued
Share
Class | | Annualized
Expense
Ratio | Beginning
Account Value
5/01/23 | Ending
Account Value
10/31/23 | Expenses
Paid During
Period (p)
5/01/23-10/31/23 |
| A | Actual | 1.13% | $1,000.00 | $1,019.61 | $5.75 |
| Hypothetical (h) | 1.13% | $1,000.00 | $1,019.51 | $5.75 |
| B | Actual | 1.88% | $1,000.00 | $1,014.05 | $9.54 |
| Hypothetical (h) | 1.88% | $1,000.00 | $1,015.73 | $9.55 |
| C | Actual | 1.88% | $1,000.00 | $1,017.00 | $9.56 |
| Hypothetical (h) | 1.88% | $1,000.00 | $1,015.73 | $9.55 |
| I | Actual | 0.88% | $1,000.00 | $1,022.28 | $4.49 |
| Hypothetical (h) | 0.88% | $1,000.00 | $1,020.77 | $4.48 |
| R1 | Actual | 1.88% | $1,000.00 | $1,016.81 | $9.56 |
| Hypothetical (h) | 1.88% | $1,000.00 | $1,015.73 | $9.55 |
| R2 | Actual | 1.38% | $1,000.00 | $1,019.66 | $7.03 |
| Hypothetical (h) | 1.38% | $1,000.00 | $1,018.25 | $7.02 |
| R3 | Actual | 1.13% | $1,000.00 | $1,019.55 | $5.75 |
| Hypothetical (h) | 1.13% | $1,000.00 | $1,019.51 | $5.75 |
| R4 | Actual | 0.88% | $1,000.00 | $1,022.35 | $4.49 |
| Hypothetical (h) | 0.88% | $1,000.00 | $1,020.77 | $4.48 |
| R6 | Actual | 0.81% | $1,000.00 | $1,022.35 | $4.13 |
| Hypothetical (h) | 0.81% | $1,000.00 | $1,021.12 | $4.13 |
| (h) | 5% class return per year before expenses. |
| (p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Consolidated Portfolio of Investments
10/31/23
The Consolidated Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.
| Issuer | | | Shares/Par | Value ($) |
| Bonds – 78.7% |
| Aerospace & Defense – 0.9% |
| Boeing Co., 1.433%, 2/04/2024 | | $ | 3,511,000 | $3,466,478 |
| Boeing Co., 2.196%, 2/04/2026 | | | 2,850,000 | 2,618,669 |
| Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 | | | 1,273,000 | 1,232,050 |
| | | | | $7,317,197 |
| Asset-Backed & Securitized – 16.3% |
| 3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.02%, 11/15/2054 (i) | | $ | 19,795,166 | $968,063 |
| ACREC 2021-FL1 Ltd., “AS”, FLR, 6.949% ((SOFR - 1mo. + 0.11448%) + 1.5%), 10/16/2036 (n) | | | 1,812,000 | 1,759,563 |
| ACREC 2021-FL1 Ltd., “B”, FLR, 7.249% ((SOFR - 1mo. + 0.11448%) + 1.8%), 10/16/2036 (n) | | | 1,406,000 | 1,356,533 |
| ACREC 2021-FL1 Ltd., “C”, FLR, 7.599% ((SOFR - 1mo. + 0.11448%) + 2.15%), 10/16/2036 (n) | | | 1,129,000 | 1,079,558 |
| ACRES 2021-FL2 Issuer Ltd., “B”, FLR, 7.699% ((SOFR - 1mo. + 0.11448%) + 2.25%), 1/15/2037 (n) | | | 1,527,500 | 1,483,518 |
| Allegro CLO Ltd., 2014-1RA, “A2”, FLR, 7.273% ((SOFR - 3mo. + 0.26161%) + 1.6%), 10/21/2028 (n) | | | 252,269 | 251,134 |
| AmeriCredit Automobile Receivables Trust, 2020-1, “C”, 1.59%, 10/20/2025 | | | 369,829 | 365,674 |
| AmeriCredit Automobile Receivables Trust, 2022-2, “A2A”, 4.2%, 12/18/2025 | | | 570,382 | 567,635 |
| Arbor Realty Trust, Inc., CLO, 2021-FL1, “B”, FLR, 6.948% ((SOFR - 1mo. + 0.11448%) + 1.5%), 12/15/2035 (n) | | | 375,500 | 364,561 |
| Arbor Realty Trust, Inc., CLO, 2021-FL1, “C”, FLR, 7.449% ((SOFR - 1mo. + 0.11448%) + 2%), 12/15/2035 (n) | | | 153,500 | 148,767 |
| Arbor Realty Trust, Inc., CLO, 2021-FL3, “B”, FLR, 7.049% ((SOFR - 1mo. + 0.11448%) + 1.6%), 8/15/2034 (n) | | | 571,500 | 548,209 |
| Arbor Realty Trust, Inc., CLO, 2021-FL3, “C”, FLR, 7.299% ((SOFR - 1mo. + 0.11448%) + 1.85%), 8/15/2034 (n) | | | 332,000 | 314,820 |
| Arbor Realty Trust, Inc., CLO, 2021-FL4, “AS”, FLR, 7.149% ((SOFR - 1mo. + 0.11448%) + 1.7%), 11/15/2036 (n) | | | 1,684,000 | 1,652,300 |
| Arbor Realty Trust, Inc., CLO, 2021-FL4, “B”, FLR, 7.448% ((SOFR - 1mo. + 0.11448%) + 2%), 11/15/2036 (n) | | | 1,684,000 | 1,640,230 |
| Arbor Realty Trust, Inc., CLO, 2021-FL4, “C”, FLR, 7.749% ((SOFR - 1mo. + 0.11448%) + 2.3%), 11/15/2036 (n) | | | 1,014,000 | 973,555 |
| Arbor Realty Trust, Inc., CLO, 2022-FL1, “C”, FLR, 7.62% (SOFR - 30 day + 2.3%), 1/15/2037 (n) | | | 2,695,500 | 2,574,556 |
| AREIT 2019-CRE3 Trust, “AS”, FLR, 6.748% ((SOFR - 1mo. + 0.11448%) + 1.3%), 9/14/2036 (n) | | | 486,917 | 481,775 |
Consolidated Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Asset-Backed & Securitized – continued |
| AREIT 2019-CRE3 Trust, “B”, FLR, 6.999% ((SOFR - 1mo. + 0.11448%) + 1.55%), 9/14/2036 (n) | | $ | 303,000 | $292,017 |
| AREIT 2019-CRE3 Trust, “C”, FLR, 7.348% (SOFR - 1mo. + 2.014%), 9/14/2036 (n) | | | 250,500 | 237,604 |
| AREIT 2022-CRE6 Trust, “C”, FLR, 7.471% (SOFR - 30 day + 2.15%), 1/20/2037 (n) | | | 894,000 | 860,208 |
| AREIT 2022-CRE6 Trust, “D”, FLR, 8.171% (SOFR - 30 day + 2.85%), 1/20/2037 (n) | | | 795,500 | 747,939 |
| AREIT 2022-CRE7 LLC, “B”, FLR, 8.579% (SOFR - 1mo. + 3.244%), 6/17/2039 (n) | | | 2,563,500 | 2,539,188 |
| ARI Fleet Lease Trust, 2023-B, “A2”, 6.05%, 7/15/2032 (n) | | | 520,918 | 520,982 |
| Balboa Bay Loan Funding Ltd., 2020-1A, “BR”, FLR, 7.323% ((SOFR - 3mo. + 0.26161%) + 1.65%), 1/20/2032 (n) | | | 1,606,204 | 1,569,629 |
| Balboa Bay Loan Funding Ltd., 2020-1A, “CR”, FLR, 7.774% ((SOFR - 3mo. + 0.26161%) + 2.1%), 1/20/2032 (n) | | | 870,027 | 848,320 |
| Ballyrock CLO 2018-1A Ltd., “A2”, FLR, 7.277% ((SOFR - 3mo. + 0.26161%) + 1.6%), 4/20/2031 (n) | | | 1,368,365 | 1,344,419 |
| Ballyrock CLO 2018-1A Ltd., “B”, FLR, 7.577% ((SOFR - 3mo. + 0.26161%) + 1.9%), 4/20/2031 (n) | | | 579,877 | 565,308 |
| BBCMS Mortgage Trust, 2018-C2, “XA”, 0.753%, 12/15/2051 (i)(n) | | | 19,207,239 | 561,606 |
| BBCMS Mortgage Trust, 2021-C10, “XA”, 1.287%, 7/15/2054 (i) | | | 7,318,587 | 450,530 |
| BBCMS Mortgage Trust, 2021-C11, “XA”, 1.376%, 9/15/2054 (i) | | | 7,441,693 | 517,178 |
| BBCMS Mortgage Trust, 2021-C9, “XA”, 1.612%, 2/15/2054 (i) | | | 11,289,196 | 911,706 |
| BDS 2021-FL10 Ltd., “B”, FLR, 7.399% ((SOFR - 1mo. + 0.11448%) + 1.95%), 12/16/2036 (n) | | | 793,500 | 767,076 |
| BDS 2021-FL10 Ltd., “C”, FLR, 7.749% ((SOFR - 1mo. + 0.11448%) + 2.3%), 12/16/2036 (n) | | | 577,000 | 553,002 |
| Benchmark 2021-B23 Mortgage Trust, “XA”, 1.267%, 2/15/2054 (i) | | | 12,522,933 | 754,495 |
| Benchmark 2021-B27 Mortgage Trust, “XA”, 1.262%, 7/15/2054 (i) | | | 14,479,190 | 932,839 |
| Benchmark 2021-B28 Mortgage Trust, “XA”, 1.275%, 8/15/2054 (i) | | | 10,198,947 | 664,489 |
| Benchmark 2021-B29 Mortgage Trust, “XA”, 1.034%, 9/15/2054 (i) | | | 14,810,002 | 739,757 |
| BSPRT 2021-FL6 Issuer Ltd., “C”, FLR, 7.499% ((SOFR - 1mo. + 0.11448%) + 2.05%), 3/15/2036 (n) | | | 485,000 | 462,405 |
| BSPRT 2021-FL7 Issuer Ltd., “B”, FLR, 7.499% ((SOFR - 1mo. + 0.11448%) + 2.05%), 12/15/2038 (n) | | | 339,000 | 331,478 |
| BSPRT 2021-FL7 Issuer Ltd., “C”, FLR, 7.748% ((SOFR - 1mo. + 0.11448%) + 2.3%), 12/15/2038 (n) | | | 408,500 | 397,750 |
| BSPRT 2022-FL8 Issuer Ltd., “A”, FLR, 6.82% (SOFR - 30 day + 1.5%), 2/15/2037 (n) | | | 3,217,000 | 3,177,898 |
| BSPRT 2022-FL8 Issuer Ltd., “B”, FLR, 7.37% (SOFR - 30 day + 2.05%), 2/15/2037 (n) | | | 445,500 | 430,367 |
| BSPRT 2022-FL8 Issuer Ltd., “C”, FLR, 7.62% (SOFR - 30 day + 2.3%), 2/15/2037 (n) | | | 719,500 | 688,057 |
Consolidated Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Asset-Backed & Securitized – continued |
| Business Jet Securities LLC, 2020-1A, “A”, 2.981%, 11/15/2035 (n) | | $ | 124,046 | $116,966 |
| Business Jet Securities LLC, 2021-1A, “A”, 2.162%, 4/15/2036 (n) | | | 248,427 | 226,450 |
| Business Jet Securities LLC, 2021-1A, “B”, 2.918%, 4/15/2036 (n) | | | 57,597 | 51,320 |
| BXMT 2020-FL2 Ltd., “B”, FLR, 6.85% ((SOFR - 1mo. + 0.11448%) + 1.4%), 2/15/2038 (n) | | | 1,492,000 | 1,305,134 |
| BXMT 2020-FL2 Ltd., “A”, FLR, 6.349% ((SOFR - 1mo. + 0.11448%) + 0.9%), 2/15/2038 (n) | | | 1,579,709 | 1,514,962 |
| BXMT 2021-FL4 Ltd., “AS”, FLR, 6.749% ((SOFR - 1mo. + 0.11448%) + 1.3%), 5/15/2038 (n) | | | 2,601,000 | 2,420,108 |
| Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | | | 562,035 | 532,399 |
| CD 2017-CD4 Mortgage Trust, “XA”, 1.378%, 5/10/2050 (i) | | | 9,444,898 | 301,441 |
| CF Hippolyta Issuer LLC, 2020-1, “A1”, 1.69%, 7/15/2060 (n) | | | 358,250 | 324,921 |
| CF Hippolyta Issuer LLC, 2020-1, “B1”, 2.28%, 7/15/2060 (n) | | | 113,394 | 100,097 |
| Chesapeake Funding II LLC (CF II) 2023-2A, “A1”, 6.16%, 10/15/2035 (n) | | | 1,175,967 | 1,173,510 |
| Chesapeake Funding II LLC, 2023-1A, “A1”, 5.65%, 5/15/2035 (n) | | | 1,147,652 | 1,139,016 |
| CNH Equipment Trust 2023-A, “A2”, 5.34%, 9/15/2026 | | | 824,473 | 820,036 |
| Commercial Equipment Finance 2021-A, LLC, “A”, 2.05%, 2/16/2027 (n) | | | 349,219 | 339,832 |
| Commercial Mortgage Pass-Through Certificates, 2019-BN24, “XA”, 0.636%, 11/15/2062 (i) | | | 8,995,251 | 278,374 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN31, “XA”, 1.317%, 2/15/2054 (i) | | | 10,967,408 | 735,475 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.774%, 4/15/2054 (i) | | | 10,530,610 | 402,939 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN34, “XA”, 0.974%, 6/15/2063 (i) | | | 11,381,059 | 564,688 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.041%, 6/15/2064 (i) | | | 6,101,359 | 326,657 |
| Credit Acceptance Auto Loan Trust, 2021-2A, “A”, 0.96%, 2/15/2030 (n) | | | 121,959 | 120,726 |
| Credit Acceptance Auto Loan Trust, 2021-2A, “B”, 1.26%, 4/15/2030 (n) | | | 250,000 | 243,350 |
| Credit Acceptance Auto Loan Trust, 2021-3A, “B”, 1.38%, 7/15/2030 (n) | | | 312,000 | 297,991 |
| Credit Acceptance Auto Loan Trust, 2021-3A, “C”, 1.63%, 9/16/2030 (n) | | | 250,000 | 234,910 |
| Credit Acceptance Auto Loan Trust, 2021-4, “A”, 1.26%, 10/15/2030 (n) | | | 318,000 | 309,523 |
| Credit Acceptance Auto Loan Trust, 2021-4, “B”, 1.74%, 12/16/2030 (n) | | | 584,000 | 549,330 |
| Credit Acceptance Auto Loan Trust, 2023-3A, “B”, 7.09%, 10/17/2033 (n) | | | 1,292,000 | 1,275,408 |
Consolidated Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Asset-Backed & Securitized – continued |
| Cutwater 2015-1A Ltd., “AR”, FLR, 6.875% ((SOFR - 3mo. + 0.26161%) + 1.22%), 1/15/2029 (n) | | $ | 322,438 | $322,167 |
| Dell Equipment Finance Trust, 2023-1, “A2”, 5.65%, 9/22/2028 (n) | | | 2,617,000 | 2,607,562 |
| Dryden Senior Loan Fund, 2017-49A, “BR”, CLO, FLR, 7.256% ((SOFR - 3mo. + 0.26161%) + 1.6%), 7/18/2030 (n) | | | 1,945,990 | 1,907,549 |
| DT Auto Owner Trust, 2023-2A, “A”, 5.88%, 4/15/2027 (n) | | | 1,434,116 | 1,430,321 |
| Enterprise Fleet Financing 2023-1 LLC, “A2”, 5.51%, 1/22/2029 (n) | | | 1,340,173 | 1,327,776 |
| Enterprise Fleet Financing 2023-2 LLC, “A2”, 5.56%, 4/22/2030 (n) | | | 1,135,000 | 1,125,092 |
| Enterprise Fleet Financing 2023-2 LLC, “A3”, 5.5%, 4/22/2030 (n) | | | 689,000 | 676,050 |
| Fortress CBO Investments Ltd., 2022-FL3, “A”, FLR, 7.17% (SOFR - 30 day + 1.85%), 2/23/2039 (n) | | | 1,917,000 | 1,865,028 |
| Fortress CBO Investments Ltd., 2022-FL3, “AS”, FLR, 7.57% (SOFR - 30 day + 2.25%), 2/23/2039 (n) | | | 1,785,500 | 1,730,567 |
| GLS Auto Receivables Trust, 2021-3A, “B”, 0.78%, 11/17/2025 (n) | | | 200,177 | 199,321 |
| GreatAmerica Leasing Receivables Funding LLC, 2023-1, “A2”, 5.35%, 2/16/2026 (n) | | | 782,000 | 775,868 |
| GS Mortgage Securities Trust, 2017-GS6, “XA”, 1.156%, 5/10/2050 (i) | | | 10,481,538 | 298,761 |
| GS Mortgage Securities Trust, 2017-GS7, “XA”, 1.226%, 8/10/2050 (i) | | | 10,792,455 | 327,895 |
| GS Mortgage Securities Trust, 2020-GC47, “A5”, 1.127%, 5/12/2053 (i) | | | 8,632,804 | 475,996 |
| Jamestown CLO Ltd., 2020-15A, “C”, FLR, 8.105% ((SOFR - 3mo. + 0.26161%) + 2.45%), 4/15/2033 (n) | | | 3,069,116 | 2,977,687 |
| JPMorgan Chase Commercial Mortgage Securities Corp., 0.985%, 9/15/2050 (i) | | | 11,518,222 | 292,807 |
| LAD Auto Receivables Trust, 2022-1A, “A”, 5.21%, 6/15/2027 (n) | | | 565,588 | 559,959 |
| LoanCore 2021-CRE5 Ltd., “AS”, FLR, 7.199% ((SOFR - 1mo. + 0.11448%) + 1.75%), 7/15/2036 (n) | | | 1,752,500 | 1,718,105 |
| LoanCore 2021-CRE5 Ltd., “B”, FLR, 7.449% (LIBOR - 1mo. + 2%), 7/15/2036 (n) | | | 741,000 | 713,335 |
| Madison Park Funding Ltd., 2014-13A, “BR2”, FLR, 7.158% ((SOFR - 3mo. + 0.26161%) + 1.5%), 4/19/2030 (n) | | | 2,174,539 | 2,152,922 |
| MF1 2020-FL4 Ltd., “B”, FLR, 8.199% ((SOFR - 1mo. + 0.11448%) + 2.75%), 11/15/2035 (n) | | | 2,437,000 | 2,412,091 |
| MF1 2021-FL6 Ltd., “B”, FLR, 7.099% ((SOFR - 1mo. + 0.11448%) + 1.65%), 7/16/2036 (n) | | | 3,089,144 | 2,966,025 |
| MF1 2022-FL8 Ltd., “C”, FLR, 7.534% (SOFR - 30 day + 2.2%), 2/19/2037 (n) | | | 941,914 | 902,509 |
| MF1 2022-FL9 Ltd., “B”, FLR, 8.483% (SOFR - 1mo. + 3.15%), 6/19/2037 (n) | | | 2,988,000 | 2,954,373 |
| Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C33, “XA”, 1.248%, 5/15/2050 (i) | | | 8,988,239 | 276,760 |
Consolidated Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Asset-Backed & Securitized – continued |
| Morgan Stanley Capital I Trust, 2017-H1, “XA”, 1.321%, 6/15/2050 (i) | | $ | 4,033,562 | $117,259 |
| Morgan Stanley Capital I Trust, 2018-H4, “XA”, 0.822%, 12/15/2051 (i) | | | 14,851,046 | 487,590 |
| Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.291%, 5/15/2054 (i) | | | 9,469,688 | 576,166 |
| Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.211%, 6/15/2054 (i) | | | 8,668,818 | 478,288 |
| Navistar Financial Dealer Note Master Owner Trust, 2022-1, “A”, FLR, 6.571% (SOFR - 30 day + 1.25%), 5/25/2027 (n) | | | 2,109,000 | 2,111,398 |
| NextGear Floorplan Master Owner Trust, 2022-1A, “A1”, FLR, 6.37% (SOFR - 30 day + 1.05%), 3/15/2027 (n) | | | 1,387,000 | 1,388,471 |
| NextGear Floorplan Master Owner Trust, 2023-1A, “A1”, FLR, 6.42% (SOFR - 1mo. + 1.1%), 3/15/2028 (n) | | | 956,000 | 958,764 |
| Oaktree CLO 2019-1A Ltd., “BR”, FLR, 7.423% ((SOFR - 3mo. + 0.26161%) + 1.75%), 4/22/2030 (n) | | | 1,427,638 | 1,399,702 |
| Oaktree CLO 2019-1A Ltd., “CR”, FLR, 8.024% ((SOFR - 3mo. + 0.26161%) + 2.35%), 4/22/2030 (n) | | | 1,427,638 | 1,380,610 |
| OCP CLO 2015-10A Ltd., “BR2”, FLR, 7.291% ((SOFR - 3mo. + 0.26161%) + 1.65%), 1/26/2034 (n) | | | 2,250,000 | 2,211,010 |
| OneMain Financial Issuance Trust (OMFIT) 2023-2A, “B”, 6.17%, 9/15/2036 (n) | | | 969,000 | 944,607 |
| OneMain Financial Issuance Trust (OMFIT) 2023-2A, “C”, 6.74%, 9/15/2036 (n) | | | 2,280,000 | 2,221,505 |
| OneMain Financial Issuance Trust, 2020-1A, “A”, 3.84%, 5/14/2032 (n) | | | 49,375 | 49,321 |
| OneMain Financial Issuance Trust, 2020-2A, “A”, 1.75%, 9/14/2035 (n) | | | 1,819,000 | 1,628,387 |
| OneMain Financial Issuance Trust, 2022-S1, “A”, 4.13%, 5/14/2035 (n) | | | 1,170,000 | 1,114,326 |
| OSD CLO, 2023-27, Ltd., “B”, FLR, 7.794% (SOFR - 3mo. + 2.4%), 4/16/2035 (n) | | | 1,609,161 | 1,602,423 |
| Palmer Square Loan Funding 2023-1A Ltd., “A2”, FLR, 7.755% (SOFR - 3mo. + 2.5%), 7/20/2031 (n) | | | 2,888,785 | 2,881,205 |
| PFP III 2021-7 Ltd., “B”, FLR, 6.848% ((SOFR - 1mo. + 0.11448%) + 1.4%), 4/14/2038 (n) | | | 604,470 | 587,499 |
| PFP III 2021-7 Ltd., “C”, FLR, 7.098% ((SOFR - 1mo. + 0.11448%) + 1.65%), 4/14/2038 (n) | | | 191,490 | 185,156 |
| PFP III 2021-8 Ltd., “B”, FLR, 6.949% ((SOFR - 1mo. + 0.11448%) + 1.5%), 8/09/2037 (n) | | | 617,500 | 593,461 |
| Progress Residential 2021-SFR1 Trust, “B”, 1.303%, 4/17/2038 (n) | | | 248,000 | 218,885 |
| Progress Residential 2021-SFR1 Trust, “C”, 1.555%, 4/17/2038 (n) | | | 186,000 | 164,427 |
Consolidated Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Asset-Backed & Securitized – continued |
| Shackleton 2013-4RA CLO Ltd., “B”, FLR, 7.555% (LIBOR - 3mo. + 1.9%), 4/13/2031 (n) | | $ | 722,762 | $692,548 |
| Shelter Growth CRE 2021-FL3 Ltd., “C”, FLR, 7.598% ((SOFR - 1mo. + 0.11448%) + 2.15%), 9/15/2036 (n) | | | 2,649,500 | 2,507,882 |
| Southwick Park CLO, Ltd., 2019-4A, “B1R”, FLR, 7.177% ((SOFR - 3mo. + 0.26161%) + 1.5%), 7/20/2032 (n) | | | 645,000 | 633,231 |
| Southwick Park CLO, Ltd., 2019-4A, “B2R”, 2.46%, 7/20/2032 (n) | | | 1,123,000 | 934,765 |
| Southwick Park CLO, Ltd., 2019-4A, “CR”, FLR, 7.627% ((SOFR - 3mo. + 0.26161%) + 1.95%), 7/20/2032 (n) | | | 1,528,000 | 1,496,867 |
| Starwood Commercial Mortgage, 2021-FL2, “B”, FLR, 7.249% ((SOFR - 1mo. + 0.11448%) + 1.8%), 4/18/2038 (n) | | | 2,295,000 | 2,129,824 |
| TPG Real Estate Finance, 2021-FL4, “AS”, FLR, 6.85% ((SOFR - 1mo. + 0.11448%) + 1.4%), 3/15/2038 (n) | | | 1,305,000 | 1,268,807 |
| TPG Real Estate Finance, 2021-FL4, “B”, FLR, 7.3% ((SOFR - 1mo. + 0.11448%) + 1.85%), 3/15/2038 (n) | | | 2,749,000 | 2,653,038 |
| UBS Commercial Mortgage Trust, 2017-C1, “XA”, 1.012%, 11/15/2050 (i) | | | 6,057,088 | 178,347 |
| UBS Commercial Mortgage Trust, 2018-C14, “XA”, 0.881%, 12/15/2051 (i) | | | 6,512,600 | 223,277 |
| Wells Fargo Commercial Mortgage Trust, 2021-C61, “XA”, 1.361%, 11/15/2054 (i) | | | 6,093,341 | 405,249 |
| Westlake Automobile Receivables Trust, 2023-1A, “A2B”, FLR, 6.17% (SOFR - 1mo. + 0.85%), 6/15/2026 (n) | | | 480,374 | 480,510 |
| World Omni Auto Receivables Trust, 3.67%, 6/15/2027 | | | 678,000 | 661,964 |
| World Omni Select Auto Trust 2023-A, “A2B”, FLR, 6.17% (SOFR - 1mo. + 0.85%), 3/15/2027 | | | 1,598,530 | 1,599,010 |
| | | | | $126,264,566 |
| Automotive – 1.6% |
| Daimler Trucks Finance North America LLC, 1.625%, 12/13/2024 (n) | | $ | 2,671,000 | $2,545,964 |
| Daimler Trucks Finance North America LLC, 5.2%, 1/17/2025 (n) | | | 457,000 | 452,958 |
| Hyundai Capital America, 0.8%, 1/08/2024 (n) | | | 249,000 | 246,521 |
| Hyundai Capital America, 5.875%, 4/07/2025 (n) | | | 2,077,000 | 2,069,352 |
| LKQ Corp., 5.75%, 6/15/2028 | | | 1,711,000 | 1,658,127 |
| Stellantis Finance US, Inc., 1.711%, 1/29/2027 (n) | | | 1,276,000 | 1,108,174 |
| Volkswagen Group of America Finance LLC, 2.85%, 9/26/2024 (n) | | | 878,000 | 852,300 |
| Volkswagen Group of America Finance LLC, 3.35%, 5/13/2025 (n) | | | 2,014,000 | 1,931,020 |
| Volkswagen Group of America Finance LLC, 1.25%, 11/24/2025 (n) | | | 1,359,000 | 1,238,243 |
| | | | | $12,102,659 |
Consolidated Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Broadcasting – 0.7% |
| WarnerMedia Holdings, Inc., 3.788%, 3/15/2025 | | $ | 4,233,000 | $4,093,276 |
| WarnerMedia Holdings, Inc., 6.412%, 3/15/2026 | | | 564,000 | 562,848 |
| WarnerMedia Holdings, Inc., 3.755%, 3/15/2027 | | | 1,062,000 | 977,677 |
| | | | | $5,633,801 |
| Brokerage & Asset Managers – 1.2% |
| Brookfield Finance, Inc., 3.9%, 1/25/2028 | | $ | 4,053,000 | $3,694,535 |
| Charles Schwab Corp., 5.875%, 8/24/2026 | | | 2,177,000 | 2,161,939 |
| Charles Schwab Corp., 5.643% to 5/19/2028, FLR (SOFR - 1 day + 2.210%) to 5/19/2029 | | | 1,707,000 | 1,643,240 |
| LPL Holdings, Inc., 4.625%, 11/15/2027 (n) | | | 898,000 | 821,174 |
| LPL Holdings, Inc., 4%, 3/15/2029 (n) | | | 1,416,000 | 1,217,571 |
| | | | | $9,538,459 |
| Business Services – 0.6% |
| Equinix, Inc., 1.25%, 7/15/2025 | | $ | 972,000 | $896,589 |
| Global Payments, Inc., 1.2%, 3/01/2026 | | | 2,281,000 | 2,033,747 |
| Tencent Holdings Ltd., 1.81%, 1/26/2026 (n) | | | 1,551,000 | 1,424,033 |
| | | | | $4,354,369 |
| Chemicals – 0.1% |
| Nutrien Ltd., 4.9%, 3/27/2028 | | $ | 927,000 | $888,021 |
| Computer Software – 0.1% |
| Dell International LLC/EMC Corp., 4%, 7/15/2024 | | $ | 1,151,000 | $1,134,918 |
| Computer Software - Systems – 0.3% |
| VMware, Inc., 1%, 8/15/2024 | | $ | 1,476,000 | $1,417,614 |
| VMware, Inc., 1.4%, 8/15/2026 | | | 1,143,000 | 1,006,835 |
| | | | | $2,424,449 |
| Conglomerates – 0.7% |
| Regal Rexnord Corp., 6.05%, 2/15/2026 (n) | | $ | 2,249,000 | $2,212,127 |
| Regal Rexnord Corp., 6.05%, 4/15/2028 (n) | | | 1,366,000 | 1,306,706 |
| Westinghouse Air Brake Technologies Corp., 4.15%, 3/15/2024 | | | 2,070,000 | 2,055,703 |
| | | | | $5,574,536 |
| Consumer Products – 0.5% |
| Haleon UK Capital LLC, 3.125%, 3/24/2025 | | $ | 2,654,000 | $2,551,083 |
| Haleon US Capital LLC, 3.375%, 3/24/2027 | | | 1,154,000 | 1,064,185 |
| | | | | $3,615,268 |
Consolidated Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Containers – 0.6% |
| Berry Global, Inc., 1.57%, 1/15/2026 | | $ | 2,361,000 | $2,133,092 |
| Berry Global, Inc., 1.65%, 1/15/2027 | | | 2,847,000 | 2,453,291 |
| | | | | $4,586,383 |
| Electrical Equipment – 0.0% |
| Arrow Electronics, Inc., 6.125%, 3/01/2026 | | $ | 338,000 | $335,499 |
| Electronics – 0.9% |
| Microchip Technology, Inc., 0.983%, 9/01/2024 | | $ | 3,485,000 | $3,339,269 |
| Qorvo, Inc., 1.75%, 12/15/2024 (n) | | | 909,000 | 859,101 |
| SK Hynix, Inc., 6.25%, 1/17/2026 (n) | | | 2,977,000 | 2,966,094 |
| | | | | $7,164,464 |
| Emerging Market Quasi-Sovereign – 0.3% |
| DAE Funding LLC (United Arab Emirates), 1.55%, 8/01/2024 (n) | | $ | 796,000 | $765,453 |
| DAE Funding LLC (United Arab Emirates), 2.625%, 3/20/2025 (n) | | | 1,375,000 | 1,291,961 |
| | | | | $2,057,414 |
| Energy - Independent – 0.1% |
| EQT Corp., 5.7%, 4/01/2028 | | $ | 778,000 | $756,837 |
| Financial Institutions – 1.3% |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.15%, 2/15/2024 | | $ | 1,243,000 | $1,230,809 |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.75%, 10/29/2024 | | | 1,571,000 | 1,500,042 |
| Air Lease Corp., 2.2%, 1/15/2027 | | | 1,590,000 | 1,393,698 |
| Avolon Holdings Funding Ltd., 5.5%, 1/15/2026 (n) | | | 892,000 | 858,862 |
| Avolon Holdings Funding Ltd., 2.125%, 2/21/2026 (n) | | | 2,500,000 | 2,229,747 |
| Avolon Holdings Funding Ltd., 4.25%, 4/15/2026 (n) | | | 769,000 | 717,768 |
| Avolon Holdings Funding Ltd., 2.528%, 11/18/2027 (n) | | | 1,715,000 | 1,432,338 |
| Avolon Holdings Funding Ltd., 2.75%, 2/21/2028 (n) | | | 1,313,000 | 1,098,726 |
| | | | | $10,461,990 |
| Food & Beverages – 1.3% |
| Bacardi-Martini B.V., 5.25%, 1/15/2029 (n) | | $ | 2,239,000 | $2,132,551 |
| General Mills, Inc., 5.241%, 11/18/2025 | | | 1,962,000 | 1,941,151 |
| JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029 | | | 2,313,000 | 1,904,328 |
| JDE Peet's N.V., 0.8%, 9/24/2024 (n) | | | 2,980,000 | 2,839,943 |
| JDE Peet's N.V., 1.375%, 1/15/2027 (n) | | | 1,050,000 | 901,805 |
| | | | | $9,719,778 |
| Food & Drug Stores – 0.3% |
| 7-Eleven, Inc., 0.8%, 2/10/2024 (n) | | $ | 2,125,000 | $2,093,421 |
Consolidated Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Gaming & Lodging – 1.2% |
| GLP Capital LP/GLP Financing II, Inc., 5.25%, 6/01/2025 | | $ | 2,186,000 | $2,132,212 |
| GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026 | | | 405,000 | 388,153 |
| Hyatt Hotels Corp., 1.8%, 10/01/2024 | | | 1,976,000 | 1,900,893 |
| Hyatt Hotels Corp., 5.75%, 1/30/2027 | | | 1,067,000 | 1,054,505 |
| Las Vegas Sands Corp., 3.2%, 8/08/2024 | | | 1,270,000 | 1,235,777 |
| Marriott International, Inc., 3.75%, 10/01/2025 | | | 459,000 | 440,508 |
| Marriott International, Inc., 4.9%, 4/15/2029 | | | 1,307,000 | 1,225,856 |
| Sands China Ltd., 4.3%, 1/08/2026 | | | 1,030,000 | 955,438 |
| | | | | $9,333,342 |
| Industrial – 0.0% |
| Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | | $ | 152,000 | $142,127 |
| Insurance – 1.0% |
| Corebridge Financial, Inc., 3.5%, 4/04/2025 | | $ | 1,146,000 | $1,101,827 |
| Corebridge Financial, Inc., 3.65%, 4/05/2027 | | | 1,613,000 | 1,477,206 |
| Equitable Financial Life Insurance Co., 1.4%, 7/07/2025 (n) | | | 1,485,000 | 1,368,865 |
| Equitable Financial Life Insurance Co., 5.5%, 12/02/2025 (n) | | | 1,377,000 | 1,355,494 |
| Metropolitan Life Global Funding I, 0.4%, 1/07/2024 (n) | | | 2,146,000 | 2,124,362 |
| | | | | $7,427,754 |
| International Market Quasi-Sovereign – 0.3% |
| NBN Co. Ltd. (Commonwealth of Australia), 5.75%, 10/06/2028 (n) | | $ | 2,064,000 | $2,064,949 |
| Machinery & Tools – 0.3% |
| CNH Industrial Capital LLC, 4.2%, 1/15/2024 | | $ | 1,726,000 | $1,718,533 |
| CNH Industrial Capital LLC, 1.875%, 1/15/2026 | | | 448,000 | 411,140 |
| | | | | $2,129,673 |
| Major Banks – 8.9% |
| Barclays PLC, 1.007% to 12/10/2023, FLR (CMT - 1yr. + 0.8%) to 12/10/2024 | | $ | 781,000 | $775,977 |
| Barclays PLC, 2.852% to 5/07/2025, FLR (SOFR - 3mo. + 2.71361%) to 5/07/2026 | | | 759,000 | 715,980 |
| Barclays PLC, 2.279% to 11/24/2026, FLR (CMT - 1yr. + 1.05%) to 11/24/2027 | | | 2,856,000 | 2,500,018 |
| BNP Paribas S.A., 2.591% to 1/20/2027, FLR (SOFR - 1 day + 1.228%) to 1/20/2028 (n) | | | 3,494,000 | 3,091,986 |
| Capital One Financial Corp., 4.166% to 5/09/2024, FLR (SOFR - 1 day + 1.37%) to 5/09/2025 | | | 2,319,000 | 2,272,049 |
| Capital One Financial Corp., 2.636% to 3/03/2025, FLR (SOFR - 1 day + 1.29%) to 3/03/2026 | | | 1,712,000 | 1,605,666 |
| Capital One Financial Corp., 7.149% to 10/29/2026, FLR (SOFR - 1 day + 2.44%) to 10/29/2027 (w) | | | 1,305,000 | 1,305,194 |
| Deutsche Bank AG, 0.898%, 5/28/2024 | | | 694,000 | 674,217 |
Consolidated Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Major Banks – continued |
| Deutsche Bank AG, 1.447% to 4/01/2024, FLR (SOFR - 1 day + 1.131%) to 4/01/2025 | | $ | 3,247,000 | $3,169,130 |
| Deutsche Bank AG, 7.146% to 7/13/2026, FLR (SOFR - 1 day + 2.52%) to 7/13/2027 | | | 958,000 | 957,339 |
| Deutsche Bank AG, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027 | | | 849,000 | 734,325 |
| Deutsche Bank AG, 6.72% to 1/18/2028, FLR (SOFR - 1 day + 3.18%) to 1/18/2029 | | | 169,000 | 165,881 |
| Goldman Sachs Group, Inc., 1.093% to 12/09/2025, FLR (SOFR - 1 day + 0.789%) to 12/09/2026 | | | 1,268,000 | 1,132,016 |
| HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR - 1 day + 1.929%) to 6/04/2026 | | | 728,000 | 678,358 |
| HSBC Holdings PLC, 7.336% to 11/03/2025, FLR (SOFR - 1 day + 3.03%) to 11/03/2026 | | | 646,000 | 657,149 |
| HSBC Holdings PLC, 1.589% to 5/24/2026, FLR (SOFR - 1 day + 1.29%) to 5/24/2027 | | | 860,000 | 757,501 |
| HSBC Holdings PLC, 2.251% to 11/22/2026, FLR (SOFR - 1 day + 1.1%) to 11/22/2027 | | | 2,840,000 | 2,489,995 |
| Huntington Bancshares, Inc., 4.008% to 5/16/2024, FLR (SOFR - 1 day + 1.205%) to 5/16/2025 | | | 2,090,000 | 2,029,823 |
| Huntington Bancshares, Inc., 5.699% to 11/18/2024, FLR (SOFR - 1 day + 1.215%) to 11/18/2025 | | | 1,500,000 | 1,456,375 |
| Huntington Bancshares, Inc., 4.443% to 8/04/2027, FLR (SOFR - 1 day + 1.970%) to 8/04/2028 | | | 254,000 | 231,994 |
| Huntington Bancshares, Inc., 6.208% to 8/21/2028, FLR (SOFR - 1 day + 2.02%) to 8/21/2029 | | | 449,000 | 431,620 |
| JPMorgan Chase & Co., 1.04% to 2/04/2026, FLR (SOFR - 1 day + 0.695%) to 2/04/2027 | | | 1,700,000 | 1,511,681 |
| Lloyds Banking Group PLC, 3.511% to 3/18/2025, FLR (CMT - 1yr. + 1.6%) to 3/18/2026 | | | 2,402,000 | 2,302,674 |
| Mitsubishi UFJ Financial Group, Inc., 0.953% to 7/19/2024, FLR (CMT - 1yr. + 0.55%) to 7/19/2025 | | | 1,997,000 | 1,920,787 |
| Mitsubishi UFJ Financial Group, Inc., 0.962% to 10/11/2024, FLR (CMT - 1yr. + 0.45%) to 10/11/2025 | | | 1,264,000 | 1,200,048 |
| Nationwide Building Society, 2.972% to 2/16/2027, FLR (SOFR - 1 day + 1.29%) to 2/16/2028 (n) | | | 2,445,000 | 2,172,519 |
| NatWest Group PLC, 4.269% to 3/22/2024, FLR (LIBOR - 3mo. + 1.762%) to 3/22/2025 | | | 2,276,000 | 2,253,103 |
| NatWest Markets PLC, 3.479%, 3/22/2025 (n) | | | 2,257,000 | 2,177,838 |
| PNC Bank N.A., 2.5%, 8/27/2024 | | | 1,122,000 | 1,089,543 |
| PNC Financial Services Group, Inc., 5.354% to 12/02/2027, FLR (SOFR - 1 day + 1.62%) to 12/02/2028 | | | 3,959,000 | 3,782,378 |
Consolidated Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Major Banks – continued |
| Standard Chartered PLC, 1.214% to 3/23/2024, FLR (CMT - 1yr. + 0.88%) to 3/23/2025 (n) | | $ | 812,000 | $793,116 |
| Standard Chartered PLC, 1.822% to 11/23/2024, FLR (CMT - 1yr. + 0.95%) to 11/23/2025 (n) | | | 806,000 | 764,071 |
| Standard Chartered PLC, 3.971% to 3/30/2025, FLR (CMT - 1yr. + 1.65%) to 3/30/2026 (n) | | | 1,077,000 | 1,035,224 |
| Sumitomo Mitsui Financial Group, Inc., 0.508%, 1/12/2024 | | | 801,000 | 792,431 |
| Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025 | | | 1,675,000 | 1,551,450 |
| Sumitomo Mitsui Financial Group, Inc., 2.174%, 1/14/2027 | | | 2,295,000 | 2,031,483 |
| Sumitomo Mitsui Trust Bank Ltd., 0.85%, 3/25/2024 (n) | | | 1,334,000 | 1,307,084 |
| Toronto-Dominion Bank, 5.532%, 7/17/2026 | | | 3,664,000 | 3,626,082 |
| UBS Group AG, 5.711%, 1/12/2027 (n) | | | 1,513,000 | 1,488,366 |
| UBS Group AG, 4.703% to 8/05/2026, FLR (CMT - 1yr. + 2.05%) to 8/05/2027 (n) | | | 1,000,000 | 952,669 |
| UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n) | | | 2,522,000 | 2,311,490 |
| Wells Fargo & Co., 2.164% to 2/11/2025, FLR ((SOFR - 3mo. + 0.26161%) + 0.75%) to 2/11/2026 | | | 2,599,000 | 2,458,395 |
| Wells Fargo & Co., 3.526% to 3/24/2027, FLR (SOFR - 1 day + 1.51%) to 3/24/2028 | | | 3,868,000 | 3,526,745 |
| | | | | $68,881,770 |
| Medical & Health Technology & Services – 0.6% |
| IQVIA, Inc., 5.7%, 5/15/2028 (n) | | $ | 788,000 | $756,480 |
| Thermo Fisher Scientific, Inc., 1.215%, 10/18/2024 | | | 4,014,000 | 3,836,771 |
| | | | | $4,593,251 |
| Metals & Mining – 0.9% |
| Anglo American Capital PLC, 4.75%, 4/10/2027 (n) | | $ | 2,009,000 | $1,921,374 |
| Glencore Funding LLC, 4.125%, 3/12/2024 (n) | | | 1,146,000 | 1,137,494 |
| Glencore Funding LLC, 1.625%, 9/01/2025 (n) | | | 2,677,000 | 2,472,233 |
| Glencore Funding LLC, 1.625%, 4/27/2026 (n) | | | 1,675,000 | 1,508,710 |
| | | | | $7,039,811 |
| Midstream – 1.1% |
| DCP Midstream Operating, LP, 5.625%, 7/15/2027 | | $ | 2,537,000 | $2,490,568 |
| Enbridge, Inc., 2.5%, 2/14/2025 | | | 1,542,000 | 1,474,791 |
| Enbridge, Inc., 5.969%, 3/08/2026 | | | 737,000 | 731,865 |
| Energy Transfer LP, 2.9%, 5/15/2025 | | | 846,000 | 805,897 |
| Energy Transfer LP, 5.55%, 2/15/2028 | | | 755,000 | 732,953 |
| TC Energy Corp., 6.203%, 3/09/2026 | | | 1,410,000 | 1,409,128 |
| Western Midstream Operating LP, 3.1%, 2/01/2025 | | | 1,082,000 | 1,039,529 |
| | | | | $8,684,731 |
Consolidated Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Mortgage-Backed – 0.5% | |
| Fannie Mae, 4.5%, 4/01/2024 - 5/01/2025 | | $ | 7,705 | $7,682 |
| Fannie Mae, 3%, 12/01/2031 | | | 228,302 | 212,986 |
| Fannie Mae, 2%, 5/25/2044 | | | 93,532 | 90,137 |
| Freddie Mac, 0.906%, 4/25/2024 (i) | | | 81,317 | 168 |
| Freddie Mac, 4%, 7/01/2025 | | | 19,528 | 19,097 |
| Freddie Mac, 1.579%, 4/25/2030 (i) | | | 6,362,155 | 491,675 |
| Freddie Mac, 3%, 4/15/2033 - 6/15/2045 | | | 2,684,344 | 2,420,625 |
| Freddie Mac, 2%, 7/15/2042 | | | 381,177 | 337,596 |
| | | | | $3,579,966 |
| Municipals – 0.6% |
| California Municipal Finance Authority Rev., Taxable (Century Housing Corp.), 1.605%, 11/01/2023 | | $ | 305,000 | $305,000 |
| Illinois Sales Tax Securitization Corp., Second Lien, Taxable, “B”, BAM, 2.225%, 1/01/2024 | | | 1,030,000 | 1,023,917 |
| Kentucky Higher Education Student Loan Corp. Rev., Taxable, “A-2”, 5.949%, 6/01/2037 | | | 2,265,000 | 2,040,287 |
| Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.156%, 7/01/2024 | | | 320,000 | 312,663 |
| Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.306%, 7/01/2025 | | | 250,000 | 236,678 |
| Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.562%, 7/01/2026 | | | 315,000 | 290,658 |
| Michigan Finance Authority Tobacco Settlement Asset-Backed Rev., Taxable (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | | | 331,603 | 309,027 |
| New Jersey Transportation Trust Fund Authority, Transportation System, Taxable, “B”, 2.631%, 6/15/2024 | | | 450,000 | 441,576 |
| | | | | $4,959,806 |
| Natural Gas - Pipeline – 0.5% |
| APA Infrastructure Ltd., 4.2%, 3/23/2025 (n) | | $ | 3,842,000 | $3,739,976 |
| Other Banks & Diversified Financials – 2.1% |
| AIB Group PLC, 7.583% to 10/14/2025, FLR (SOFR - 1 day + 3.456%) to 10/14/2026 (n) | | $ | 2,182,000 | $2,208,812 |
| AIB Group PLC, 6.608% to 9/13/2028, FLR (SOFR - 1 day + 2.33%) to 9/13/2029 (n) | | | 409,000 | 400,021 |
| American Express Co., 2.25%, 3/04/2025 | | | 859,000 | 816,970 |
| Banque Federative du Credit Mutuel S.A., 0.65%, 2/27/2024 (n) | | | 2,782,000 | 2,734,883 |
| Banque Federative du Credit Mutuel S.A., 5.896%, 7/13/2026 (n) | | | 1,573,000 | 1,557,349 |
| Macquarie Group Ltd., 1.201% to 10/14/2024, FLR (SOFR - 1 day + 0.694%) to 10/14/2025 (n) | | | 2,251,000 | 2,141,354 |
| Macquarie Group Ltd., 1.34% to 1/12/2026, FLR (SOFR - 1 day + 1.069%) to 1/12/2027 (n) | | | 1,904,000 | 1,699,844 |
Consolidated Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Other Banks & Diversified Financials – continued |
| National Bank of Canada, 0.55% to 11/15/2023, FLR (CMT - 1yr. + 0.4%) to 11/15/2024 | | $ | 1,312,000 | $1,308,990 |
| U.S. Bancorp, 6.787% to 10/26/2026, FLR (SOFR - 1 day + 1.88%) to 10/26/2027 | | | 2,991,000 | 3,013,373 |
| | | | | $15,881,596 |
| Pharmaceuticals – 0.2% |
| Amgen, Inc., 5.507%, 3/02/2026 | | $ | 1,758,000 | $1,748,734 |
| Real Estate - Office – 0.3% |
| Corporate Office Property LP, REIT, 2.25%, 3/15/2026 | | $ | 2,617,000 | $2,366,491 |
| Retailers – 0.1% |
| Nordstrom, Inc., 2.3%, 4/08/2024 | | $ | 832,000 | $812,240 |
| Specialty Stores – 0.3% |
| Genuine Parts Co., 1.75%, 2/01/2025 | | $ | 1,302,000 | $1,230,693 |
| Ross Stores, Inc., 0.875%, 4/15/2026 | | | 926,000 | 819,865 |
| | | | | $2,050,558 |
| Telecommunications - Wireless – 0.8% |
| Crown Castle, Inc., REIT, 1.35%, 7/15/2025 | | $ | 492,000 | $453,930 |
| Crown Castle, Inc., REIT, 2.9%, 3/15/2027 | | | 448,000 | 402,089 |
| Rogers Communications, Inc., 3.2%, 3/15/2027 | | | 3,568,000 | 3,243,545 |
| T-Mobile USA, Inc., 3.5%, 4/15/2025 | | | 2,527,000 | 2,441,392 |
| | | | | $6,540,956 |
| Tobacco – 0.6% |
| B.A.T. International Finance PLC, 5.931%, 2/02/2029 | | $ | 880,000 | $855,720 |
| Philip Morris International, Inc., 5.125%, 11/15/2024 | | | 1,300,000 | 1,291,102 |
| Philip Morris International, Inc., 5%, 11/17/2025 | | | 591,000 | 583,609 |
| Philip Morris International, Inc., 5.125%, 11/17/2027 | | | 526,000 | 512,725 |
| Philip Morris International, Inc., 4.875%, 2/15/2028 | | | 1,262,000 | 1,212,747 |
| | | | | $4,455,903 |
| Transportation - Services – 1.5% |
| Element Fleet Management Corp., 1.6%, 4/06/2024 (n) | | $ | 6,310,000 | $6,174,311 |
| Element Fleet Management Corp., 6.271%, 6/26/2026 (n) | | | 2,816,000 | 2,800,335 |
| ERAC USA Finance LLC, 2.7%, 11/01/2023 (n) | | | 974,000 | 974,000 |
| ERAC USA Finance LLC, 3.85%, 11/15/2024 (n) | | | 684,000 | 669,152 |
| ERAC USA Finance LLC, 3.8%, 11/01/2025 (n) | | | 684,000 | 656,740 |
| | | | | $11,274,538 |
Consolidated Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| U.S. Treasury Obligations – 26.0% |
| U.S. Treasury Notes, 0.5%, 11/30/2023 (f)(s) | | $ | 12,515,000 | $12,466,126 |
| U.S. Treasury Notes, 0.875%, 1/31/2024 (f)(s) | | | 25,867,000 | 25,578,017 |
| U.S. Treasury Notes, 2.5%, 4/30/2024 (f)(s) | | | 25,217,000 | 24,845,640 |
| U.S. Treasury Notes, 1.875%, 8/31/2024 (f)(s) | | | 17,444,000 | 16,932,945 |
| U.S. Treasury Notes, 2.75%, 5/15/2025 (f) | | | 21,100,000 | 20,333,477 |
| U.S. Treasury Notes, 5%, 9/30/2025 | �� | | 33,859,000 | 33,796,837 |
| U.S. Treasury Notes, 3.75%, 4/15/2026 (f) | | | 16,708,000 | 16,239,393 |
| U.S. Treasury Notes, 4.125%, 6/15/2026 | | | 40,206,000 | 39,405,021 |
| U.S. Treasury Notes, 4.5%, 7/15/2026 | | | 11,726,000 | 11,597,747 |
| | | | | $201,195,203 |
| Utilities - Electric Power – 3.1% |
| American Electric Power Co., Inc., 5.699%, 8/15/2025 | | $ | 1,067,000 | $1,058,234 |
| Edison International, 4.7%, 8/15/2025 | | | 1,686,000 | 1,638,099 |
| Emera US Finance LP, 0.833%, 6/15/2024 | | | 1,057,000 | 1,017,840 |
| Enel Finance International N.V., 6.8%, 10/14/2025 (n) | | | 889,000 | 899,038 |
| Entergy Louisiana LLC, 0.95%, 10/01/2024 | | | 5,399,000 | 5,159,849 |
| FirstEnergy Corp., 2.05%, 3/01/2025 | | | 1,202,000 | 1,128,475 |
| FirstEnergy Corp., 1.6%, 1/15/2026 | | | 734,000 | 660,657 |
| NextEra Energy Capital Holdings, Inc., 6.051%, 3/01/2025 | | | 1,486,000 | 1,485,149 |
| NextEra Energy Capital Holdings, Inc., 5.749%, 9/01/2025 | | | 1,681,000 | 1,673,098 |
| Pacific Gas & Electric Co., 1.7%, 11/15/2023 | | | 854,000 | 852,635 |
| Pacific Gas & Electric Co., 3.25%, 2/16/2024 | | | 1,838,000 | 1,821,919 |
| Pacific Gas & Electric Co., 6.1%, 1/15/2029 | | | 1,552,000 | 1,493,243 |
| Vistra Operations Co. LLC, 4.875%, 5/13/2024 (n) | | | 3,851,000 | 3,807,434 |
| WEC Energy Group, Inc., 0.8%, 3/15/2024 | | | 1,019,000 | 1,000,192 |
| | | | | $23,695,862 |
| Total Bonds (Identified Cost, $627,671,391) | | $608,623,266 |
| Investment Companies (h) – 10.8% |
| Money Market Funds – 10.8% | |
| MFS Institutional Money Market Portfolio, 5.43% (v) (Identified Cost, $83,580,062) | | | 83,585,647 | $83,594,006 |
| Short-Term Obligations (s)(y) – 6.4% | | | | |
| Federal Home Loan Bank, 0%, due 11/01/2023 (Identified Cost, $49,875,000) | | $ | 49,875,000 | $49,875,000 |
|
|
| Other Assets, Less Liabilities – 4.1% | | 31,479,893 |
| Net Assets – 100.0% | $773,572,165 |
| (f) | All or a portion of the security has been segregated as collateral for open futures contracts, cleared swap agreements, and uncleared swap agreements. | | | |
Consolidated Portfolio of Investments – continued
| (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 $83,594,006 and $658,498,266, 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 $208,444,707, representing 26.9% of net assets. | | | |
| (s) | All or a portion of security is held by a wholly-owned subsidiary. See Note 2 of the Notes to Consolidated Financial Statements for details of the wholly-owned subsidiary. | | | |
| (v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. | | | |
| (w) | When-issued security. | | | |
| (y) | The rate shown represents an annualized yield at time of purchase. | | | |
| The following abbreviations are used in this report and are defined: |
| AGM | Assured Guaranty Municipal |
| BAM | Build America Mutual |
| BCOMCOT | Bloomberg Brent Crude Subindex Total Return, this index is composed of futures contracts on brent crude. 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. |
| BCOMHGTR | Bloomberg Copper Subindex Total Return, this index is composed of futures contracts on copper. It is quoted in USD. |
| BCOMHOTR | Bloomberg Heating Oil Subindex Total Return, this index is composed of futures contracts on heating oil. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
| BCOMKCTR | Bloomberg Coffee Subindex Total Return, this index is composed of futures contracts on coffee. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
| BCOMKWT | Bloomberg Kansas Wheat Subindex Total Return, this index is composed of futures contracts on wheat and Kansas wheat. It is quoted in USD. |
| BCOMNGTR | Bloomberg Natural Gas Subindex Total Return, this index is composed of futures contracts on natural gas. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
| 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. |
| BCOMPLTR | Bloomberg Platinum Subindex Total Return, this index is composed of futures contracts on platinum. It is quoted in USD. |
| BCOMRBTR | Bloomberg Unleaded Gasoline Subindex Total Return, this index is composed of futures contracts on unleaded gasoline. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
Consolidated Portfolio of Investments – continued
| BCOMSMT | Bloomberg Soybean Meal Subindex Total Return, this index is composed of futures contracts on soybean meal. 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. |
| 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 |
Derivative Contracts at 10/31/23
| Futures Contracts |
| Description | Long/
Short | Currency | Contracts | Notional
Amount | Expiration
Date | Value/Unrealized
Appreciation
(Depreciation) |
| Liability Derivatives |
| Interest Rate Futures | | |
| U.S. Treasury Note 2 yr | Long | USD | 266 | $53,844,219 | December – 2023 | $(214,998) |
Consolidated Portfolio of Investments – continued
| Cleared Swap Agreements |
Maturity
Date | Notional
Amount | Counterparty | Cash Flows
to Receive/
Frequency | Cash Flows
to Pay/
Frequency | Unrealized
Appreciation
(Depreciation) | | Net Unamortized
Upfront Payments
(Receipts) | | Value |
| Asset Derivatives | | | | | |
| Interest Rate Swaps | | | | | |
| 10/02/25 | USD | 13,800,000 | centrally cleared | 5.014%/Annually | SOFR - 1 day/Annually | $3,270 | | $(1,293) | | $1,977 |
| Liability Derivatives | | | | | |
| Interest Rate Swaps | | | | | |
| 10/02/26 | USD | 44,600,000 | centrally cleared | 4.697%/Annually | SOFR - 1 day/Annually | $(13,906) | | $(4,024) | | $(17,930) |
| Uncleared Swap Agreements |
Maturity
Date | Notional
Amount | Counterparty | Cash Flows
to Receive
(Monthly) | Cash Flows
to Pay
(Monthly) | Unrealized
Appreciation
(Depreciation) | Net Unamortized
Upfront Payments
(Receipts) | Value |
| Asset Derivatives | | | |
| Total Return Swaps | | | |
| 12/29/23 | USD | 9,061,891 (Short) | Morgan Stanley | 3 month T-Bill - 0.02% | BCOMGCTR (floating rate) | $39,863 | $— | $39,863 |
| 2/26/24 | USD | 3,751,367 (Short) | Morgan Stanley | 3 month T-Bill - 0.02% | BCOMNGTR (floating rate) | 15,610 | — | 15,610 |
| 5/06/24 | USD | 12,029,110 (Short) | Merrill Lynch International | 3 month T-Bill - 0.05% | BCOMFCT (floating rate) | 61,174 | — | 61,174 |
| 5/07/24 | USD | 3,247,764 (Short) | Goldman Sachs International | 3 month T-Bill - 0.04% | BCOMNGTR (floating rate) | 13,464 | — | 13,464 |
| 5/28/24 | USD | 9,605,902 (Short) | Morgan Stanley | 3 month T-Bill - 0.03% | BCOMHGTR (floating rate) | 46,168 | — | 46,168 |
| 6/14/24 | USD | 9,799,702 (Short) | Morgan Stanley | 3 month T-Bill - 0.02% | BCOMNITR (floating rate) | 47,773 | — | 47,773 |
| 9/06/24 | USD | 8,644,412 (Short) | Merrill Lynch International | 3 month T-Bill - 0.02% | BCOMWHTR (floating rate) | 39,561 | — | 39,561 |
| 9/30/24 | USD | 6,990,590 (Short) | Merrill Lynch International | 3 month T-Bill - 0.05% | BCOMHOTR (floating rate) | 35,898 | — | 35,898 |
Consolidated Portfolio of Investments – continued
| 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 |
| 10/18/24 | USD | 12,993,332 (Short) | Goldman Sachs International | 3 month T-Bill - 0.05% | BCOMKWT (floating rate) | $64,069 | | $— | | $64,069 |
| | | | | | | $363,580 | | $— | | $363,580 |
| Liability Derivatives | | | | | |
| Total Return Swaps | | | | | |
| 11/17/23 | USD | 123,336,298 (Long) | Merrill Lynch International | MLCILPRT (a) (floating rate) | 3 month T-Bill + 0.13% | $(597,268) | | $— | | $(597,268) |
| 12/29/23 | USD | 103,885,049 (Long) | JPMorgan Chase Bank N.A. | BCOMTR (floating rate) | 3 month T-Bill + 0.07% | (497,450) | | — | | (497,450) |
| 12/29/23 | USD | 50,053,705 (Long) | Goldman Sachs International | BCOMTR (floating rate) | 3 month T-Bill + 0.09% | (240,568) | | — | | (240,568) |
| 2/26/24 | USD | 8,261,743 (Long) | Morgan Stanley | BCOMSMT (floating rate) | 3 month T-Bill + 0.09% | (35,978) | | — | | (35,978) |
| 3/15/24 | USD | 30,323,844 (Long) | Goldman Sachs International | BCOMTR (floating rate) | 3 month T-Bill + 0.065% | (145,071) | | — | | (145,071) |
| 5/06/24 | USD | 29,892,234 (Long) | JPMorgan Chase Bank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (143,552) | | — | | (143,552) |
| 5/07/24 | USD | 29,892,234 (Long) | Goldman Sachs International | BCOMF3T (floating rate) | 3 month T-Bill + 0.09% | (143,288) | | — | | (143,288) |
| 5/28/24 | USD | 13,139,591 (Long) | Goldman Sachs International | SPGCCCTR (floating rate) | 3 month T-Bill + 0.10% | (56,564) | | — | | (56,564) |
| 6/25/24 | USD | 37,752,020 (Long) | Goldman Sachs International | BCOMTR (floating rate) | 3 month T-Bill + 0.065% | (180,606) | | — | | (180,606) |
| 7/15/24 | USD | 91,974,700 (Long) | Merrill Lynch International | BCOMF3T (floating rate) | 3 month T-Bill + 0.09% | (440,890) | | — | | (440,890) |
| 8/16/24 | USD | 35,316,178 (Long) | JPMorgan Chase Bank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.09% | (169,291) | | — | | (169,291) |
Consolidated Portfolio of Investments – continued
| 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 |
| 8/16/24 | USD | 35,316,178 (Long) | Merrill Lynch International | BCOMF3T (floating rate) | 3 month T-Bill + 0.09% | $(169,291) | | $— | | $(169,291) |
| 8/16/24 | USD | 9,690,078 (Long) | Merrill Lynch International | BCOMPLTR (floating rate) | 3 month T-Bill + 0.10% | (45,154) | | — | | (45,154) |
| 8/16/24 | USD | 30,951,436 (Long) | Goldman Sachs International | BCOMTR (floating rate) | 3 month T-Bill + 0.065% | (148,072) | | — | | (148,072) |
| 8/16/24 | USD | 15,356,707 (Long) | Goldman Sachs International | BCOMF3T (floating rate) | 3 month T-Bill + 0.09% | (73,615) | | — | | (73,615) |
| 8/16/24 | USD | 36,325,211 (Long) | Goldman Sachs International | BCOMF3T (floating rate) | 3 month T-Bill + 0.09% | (174,126) | | — | | (174,126) |
| 9/06/24 | USD | 6,579,485 (Long) | Merrill Lynch International | BCOMRBTR (floating rate) | 3 month T-Bill + 0.075% | (33,646) | | — | | (33,646) |
| 9/06/24 | USD | 9,304,545 (Long) | Merrill Lynch International | BCOMCOT (floating rate) | 3 month T-Bill + 0.07% | (47,274) | | — | | (47,274) |
| 9/30/24 | USD | 12,019,823 (Long) | JPMorgan Chase Bank N.A. | BCOMKCTR (floating rate) | 3 month T-Bill + 0.12% | (50,665) | | — | | (50,665) |
| 10/18/24 | USD | 146,761,555 (Long) | Merrill Lynch International | MLCILPRT (a) (floating rate) | 3 month T-Bill + 0.14% | (712,009) | | — | | (712,009) |
| | | | | | | $(4,104,378) | | $— | | $(4,104,378) |
At October 31, 2023, the fund had cash collateral of $2,191,838 and other liquid securities with an aggregate value of $81,279,179 to cover any collateral or margin obligations for certain derivative contracts. Restricted cash and/or deposits with brokers in the Consolidated Statement of Assets and Liabilities are comprised of cash collateral.
Consolidated Portfolio of Investments – continued
| (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:
$146,761,555* | Notional
Amount:
$123,336,299* | |
| Long Futures Contracts | | | | |
| Corn - December 2023 | 1.1% | 1,603,871 | 1,347,870 | |
| Cotton - December 2023 | 0.4% | 587,260 | 493,525 | |
| Gold - December 2023 | 4.3% | 6,296,020 | 5,291,085 | |
| Copper Comex - December 2023 | 1.3% | 1,938,760 | 1,629,306 | |
| Coffee - December 2023 | 0.8% | 1,200,310 | 1,008,724 | |
| Kansas Wheat - December 2023 | 0.4% | 527,270 | 443,110 | |
| Live Cattle - December 2023 | 1.0% | 1,544,090 | 1,297,631 | |
| Lean Hogs - December 2023 | 0.4% | 618,969 | 520,173 | |
| Silver - December 2023 | 1.2% | 1,745,795 | 1,467,141 | |
| Wheat - December 2023 | 0.6% | 830,667 | 698,080 | |
| Soybean Oil - January 2024 | 2.7% | 3,914,947 | 3,290,064 | |
| WTI - January 2024 | 8.6% | 12,592,187 | 10,582,293 | |
| Brent - January 2024 | 2.1% | 3,108,352 | 2,612,215 | |
| Heating Oil - January 2024 | 2.1% | 3,057,610 | 2,569,571 | |
| Aluminum - January 2024 | 4.1% | 5,989,895 | 5,033,821 | |
| Lead - January 2024 | 0.9% | 1,318,703 | 1,108,219 | |
| Nickel - January 2024 | 1.8% | 2,673,580 | 2,246,838 | |
| Zinc - January 2024 | 2.4% | 3,469,897 | 2,916,052 | |
| Natural Gas - January 2024 | 9.1% | 13,299,286 | 11,176,529 | |
| Gasoil - January 2024 | 2.8% | 4,048,842 | 3,402,588 | |
| Soybeans - January 2024 | 5.2% | 7,568,463 | 6,360,428 | |
| Soybean Meal - January 2024 | 3.1% | 4,602,126 | 3,867,560 | |
| Gasoline RBOB - January 2024 | 2.2% | 3,215,021 | 2,701,857 | |
| Gold - February 2024 | 11.9% | 17,490,295 | 14,698,592 | |
| Live Cattle - February 2024 | 2.9% | 4,271,117 | 3,589,385 | |
| Lean Hogs - February 2024 | 1.2% | 1,776,920 | 1,493,298 | |
Consolidated Portfolio of Investments – continued
| Referenced Commodity Futures Contracts | % of Notional | Notional
Amount:
$146,761,555* | Notional
Amount:
$123,336,299* | |
| Corn - March 2024 | 3.1% | 4,541,927 | 3,816,970 | |
| Brent - March 2024 | 5.7% | 8,434,358 | 7,088,113 | |
| Cotton - March 2024 | 1.1% | 1,660,498 | 1,395,459 | |
| Copper Comex - March 2024 | 3.7% | 5,385,650 | 4,526,023 | |
| Coffee - March 2024 | 2.2% | 3,253,501 | 2,734,196 | |
| Kansas Wheat - March 2024 | 1.0% | 1,477,645 | 1,241,791 | |
| Sugar - March 2024 | 3.7% | 5,442,240 | 4,573,580 | |
| Silver - March 2024 | 3.3% | 4,872,056 | 4,094,406 | |
| Wheat - March 2024 | 1.6% | 2,403,427 | 2,019,806 | |
| | 100.0% | 146,761,555 | 123,336,299 | |
| * The notional amount is indicative of the quantity and proportionate value of each commodity futures contract. |
See Notes to Consolidated Financial Statements
Consolidated Financial Statements
Consolidated Statement of Assets and Liabilities
At 10/31/23
This statement represents your fund’s balance sheet, which details the assets and liabilities comprising the total value of the fund.
| Assets | |
| Investments in unaffiliated issuers, at value (identified cost, $677,546,391) | $658,498,266 |
| Investments in affiliated issuers, at value (identified cost, $83,580,062) | 83,594,006 |
| Cash | 7,474,867 |
| Restricted cash for | |
| Uncleared swaps | 2,191,838 |
| Receivables for | |
| Due from uncleared swap brokers | 10,109,682 |
| Investments sold | 18,913,696 |
| Fund shares sold | 67,237 |
| Interest | 4,621,405 |
| Uncleared swaps, at value | 363,580 |
| Total assets | $785,834,577 |
| Liabilities | |
| Payables for | |
| Distributions | $1,080 |
| Due to uncleared swap brokers | 2,679,529 |
| Net daily variation margin on open cleared swap agreements | 16,074 |
| Net daily variation margin on open futures contracts | 35,337 |
| Investments purchased | 3,121,535 |
| When-issued investments purchased | 1,305,000 |
| Fund shares reacquired | 812,458 |
| Uncleared swaps, at value | 4,104,378 |
| Payable to affiliates | |
| Investment adviser | 31,370 |
| Administrative services fee | 666 |
| Shareholder servicing costs | 11,929 |
| Distribution and service fees | 186 |
| Payable for independent Trustees' compensation | 10 |
| Accrued expenses and other liabilities | 142,860 |
| Total liabilities | $12,262,412 |
| Net assets | $773,572,165 |
Consolidated Statement of Assets and Liabilities – continued
| Net assets consist of | |
| Paid-in capital | $1,375,455,171 |
| Total distributable earnings (loss) | (601,883,006) |
| Net assets | $773,572,165 |
| Shares of beneficial interest outstanding | 211,314,918 |
| | Net assets | Shares
outstanding | Net asset value
per share (a) |
| Class A | $10,165,745 | 2,793,226 | $3.64 |
| Class B | 91,652 | 25,357 | 3.61 |
| Class C | 514,040 | 143,317 | 3.59 |
| Class I | 12,576,067 | 3,430,586 | 3.67 |
| Class R1 | 65,136 | 17,964 | 3.63 |
| Class R2 | 310,787 | 85,618 | 3.63 |
| Class R3 | 67,734 | 18,557 | 3.65 |
| Class R4 | 68,622 | 18,760 | 3.66 |
| Class R6 | 749,712,382 | 204,781,533 | 3.66 |
| (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 $3.86 [100 / 94.25 x $3.64]. Redemption price per share was equal to the net asset value per share for Classes I, R1, R2, R3, R4, and R6. |
See Notes to Consolidated Financial Statements
Consolidated Financial Statements
Consolidated Statement of Operations
Year ended 10/31/23
This statement describes how much your fund earned in investment income and accrued in expenses. It also describes any gains and/or losses generated by fund operations.
| Net investment income (loss) | |
| Income | |
| Interest | $26,658,781 |
| Dividends from affiliated issuers | 4,549,673 |
| Other | 118,014 |
| Total investment income | $31,326,468 |
| Expenses | |
| Management fee | $5,846,136 |
| Distribution and service fees | 44,713 |
| Shareholder servicing costs | 36,798 |
| Administrative services fee | 123,447 |
| Independent Trustees' compensation | 14,763 |
| Custodian fee | 50,345 |
| Shareholder communications | 15,271 |
| Audit and tax fees | 96,788 |
| Legal fees | 29,251 |
| Miscellaneous | 243,854 |
| Total expenses | $6,501,366 |
| Reduction of expenses by investment adviser | (99,976) |
| Net expenses | $6,401,390 |
| Net investment income (loss) | $24,925,078 |
| Realized and unrealized gain (loss) |
| Realized gain (loss) (identified cost basis) | |
| Unaffiliated issuers | $(5,291,102) |
| Affiliated issuers | 7,433 |
| Futures contracts | (1,191,933) |
| Swap agreements | (50,904,057) |
| Net realized gain (loss) | $(57,379,659) |
| Change in unrealized appreciation or depreciation | |
| Unaffiliated issuers | $14,104,446 |
| Affiliated issuers | 8,459 |
| Futures contracts | (214,998) |
| Swap agreements | (219,452) |
| Net unrealized gain (loss) | $13,678,455 |
| Net realized and unrealized gain (loss) | $(43,701,204) |
| Change in net assets from operations | $(18,776,126) |
See Notes to Consolidated Financial Statements
Financial Statements
Consolidated Statements of Changes in Net Assets
These statements describe the increases and/or decreases in net assets resulting from operations, any distributions, and any shareholder transactions.
| | Year ended |
| | 10/31/23 | 10/31/22 |
| Change in net assets | | |
| From operations | | |
| Net investment income (loss) | $24,925,078 | $4,729,976 |
| Net realized gain (loss) | (57,379,659) | 145,731,104 |
| Net unrealized gain (loss) | 13,678,455 | (36,929,166) |
| Change in net assets from operations | $(18,776,126) | $113,531,914 |
| Total distributions to shareholders | $(165,000,992) | $(322,999,695) |
| Change in net assets from fund share transactions | $198,532,377 | $31,442,427 |
| Total change in net assets | $14,755,259 | $(178,025,354) |
| Net assets | | |
| At beginning of period | 758,816,906 | 936,842,260 |
| At end of period | $773,572,165 | $758,816,906 |
See Notes to Consolidated Financial Statements
Consolidated Financial Statements
Consolidated Financial Highlights
The financial highlights table is intended to help you understand the fund's financial performance for the past 5 years. Certain information reflects financial results for a single fund share. The total returns in the table represent the rate that an investor would have earned (or lost) on an investment in the fund share class (assuming reinvestment of all distributions) held for the entire period.
| Class A | Year ended |
| | 10/31/23 | 10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 |
| Net asset value, beginning of period | $4.80 | $7.02 | $4.85 | $5.32 | $5.65 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.11 | $0.02 | $0.00(w) | $0.04 | $0.10 |
| Net realized and unrealized gain (loss) | (0.24) | 0.15 | 2.21 | (0.42) | (0.27) |
| Total from investment operations | $(0.13) | $0.17 | $2.21 | $(0.38) | $(0.17) |
| Less distributions declared to shareholders |
| From net investment income | $(1.03) | $(2.39) | $(0.04) | $(0.09) | $(0.16) |
| Net asset value, end of period (x) | $3.64 | $4.80 | $7.02 | $4.85 | $5.32 |
| Total return (%) (r)(s)(t)(x) | (3.10) | 7.71 | 45.84 | (7.24) | (2.96) |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions | 1.15 | 1.17 | 1.15 | 1.13 | 1.10 |
| Expenses after expense reductions | 1.14 | 1.15 | 1.14 | 1.12 | 1.09 |
| Net investment income (loss) | 2.86 | 0.37 | 0.07 | 0.94 | 1.86 |
| Portfolio turnover | 66 | 37 | 28 | 57 | 64 |
| Net assets at end of period (000 omitted) | $10,166 | $15,080 | $4,921 | $1,041 | $321 |
See Notes to Consolidated Financial Statements
Consolidated Financial Highlights – continued
| Class B | Year ended |
| | 10/31/23 | 10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 |
| Net asset value, beginning of period | $4.77 | $6.96 | $4.81 | $5.28 | $5.64 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.08 | $(0.03) | $(0.04) | $0.01 | $0.06 |
| Net realized and unrealized gain (loss) | (0.25) | 0.18 | 2.20 | (0.43) | (0.26) |
| Total from investment operations | $(0.17) | $0.15 | $2.16 | $(0.42) | $(0.20) |
| Less distributions declared to shareholders |
| From net investment income | $(0.99) | $(2.34) | $(0.01) | $(0.05) | $(0.16) |
| Net asset value, end of period (x) | $3.61 | $4.77 | $6.96 | $4.81 | $5.28 |
| Total return (%) (r)(s)(t)(x) | (4.08) | 7.08 | 44.93 | (8.10) | (3.68) |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions | 1.90 | 1.91 | 1.89 | 1.87 | 1.84 |
| Expenses after expense reductions | 1.88 | 1.90 | 1.88 | 1.86 | 1.83 |
| Net investment income (loss) | 2.12 | (0.50) | (0.65) | 0.23 | 1.13 |
| Portfolio turnover | 66 | 37 | 28 | 57 | 64 |
| Net assets at end of period (000 omitted) | $92 | $112 | $98 | $60 | $48 |
| Class C | Year ended |
| | 10/31/23 | 10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 |
| Net asset value, beginning of period | $4.73 | $6.94 | $4.80 | $5.28 | $5.64 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.08 | $(0.03) | $(0.04) | $0.01 | $0.06 |
| Net realized and unrealized gain (loss) | (0.23) | 0.17 | 2.19 | (0.43) | (0.27) |
| Total from investment operations | $(0.15) | $0.14 | $2.15 | $(0.42) | $(0.21) |
| Less distributions declared to shareholders |
| From net investment income | $(0.99) | $(2.35) | $(0.01) | $(0.06) | $(0.15) |
| Net asset value, end of period (x) | $3.59 | $4.73 | $6.94 | $4.80 | $5.28 |
| Total return (%) (r)(s)(t)(x) | (3.72) | 6.94 | 44.77 | (8.07) | (3.69) |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions | 1.90 | 1.91 | 1.90 | 1.88 | 1.84 |
| Expenses after expense reductions | 1.89 | 1.90 | 1.88 | 1.87 | 1.83 |
| Net investment income (loss) | 2.09 | (0.49) | (0.66) | 0.20 | 1.12 |
| Portfolio turnover | 66 | 37 | 28 | 57 | 64 |
| Net assets at end of period (000 omitted) | $514 | $1,444 | $1,095 | $435 | $93 |
See Notes to Consolidated Financial Statements
Consolidated Financial Highlights – continued
| Class I | Year ended |
| | 10/31/23 | 10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 |
| Net asset value, beginning of period | $4.83 | $7.04 | $4.86 | $5.32 | $5.65 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.12 | $0.03 | $0.02 | $0.06 | $0.11 |
| Net realized and unrealized gain (loss) | (0.24) | 0.16 | 2.21 | (0.42) | (0.26) |
| Total from investment operations | $(0.12) | $0.19 | $2.23 | $(0.36) | $(0.15) |
| Less distributions declared to shareholders |
| From net investment income | $(1.04) | $(2.40) | $(0.05) | $(0.10) | $(0.18) |
| Net asset value, end of period (x) | $3.67 | $4.83 | $7.04 | $4.86 | $5.32 |
| Total return (%) (r)(s)(t)(x) | (2.79) | 8.05 | 46.19 | (6.90) | (2.75) |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions | 0.90 | 0.92 | 0.90 | 0.89 | 0.84 |
| Expenses after expense reductions | 0.89 | 0.90 | 0.89 | 0.88 | 0.83 |
| Net investment income (loss) | 3.11 | 0.57 | 0.30 | 1.17 | 2.13 |
| Portfolio turnover | 66 | 37 | 28 | 57 | 64 |
| Net assets at end of period (000 omitted) | $12,576 | $18,905 | $6,029 | $500 | $135 |
| Class R1 | Year ended |
| | 10/31/23 | 10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 |
| Net asset value, beginning of period | $4.78 | $6.97 | $4.81 | $5.28 | $5.64 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.08 | $(0.03) | $(0.04) | $0.01 | $0.06 |
| Net realized and unrealized gain (loss) | (0.24) | 0.18 | 2.20 | (0.43) | (0.27) |
| Total from investment operations | $(0.16) | $0.15 | $2.16 | $(0.42) | $(0.21) |
| Less distributions declared to shareholders |
| From net investment income | $(0.99) | $(2.34) | $— | $(0.05) | $(0.15) |
| Net asset value, end of period (x) | $3.63 | $4.78 | $6.97 | $4.81 | $5.28 |
| Total return (%) (r)(s)(t)(x) | (3.87) | 7.07 | 44.91 | (8.08) | (3.69) |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions | 1.89 | 1.91 | 1.89 | 1.87 | 1.84 |
| Expenses after expense reductions | 1.88 | 1.90 | 1.88 | 1.86 | 1.83 |
| Net investment income (loss) | 2.13 | (0.50) | (0.63) | 0.26 | 1.14 |
| Portfolio turnover | 66 | 37 | 28 | 57 | 64 |
| Net assets at end of period (000 omitted) | $65 | $68 | $63 | $44 | $48 |
See Notes to Consolidated Financial Statements
Consolidated Financial Highlights – continued
| Class R2 | Year ended |
| | 10/31/23 | 10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 |
| Net asset value, beginning of period | $4.80 | $7.00 | $4.83 | $5.30 | $5.65 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.10 | $0.00(w) | $(0.01) | $0.04 | $0.09 |
| Net realized and unrealized gain (loss) | (0.24) | 0.17 | 2.20 | (0.44) | (0.27) |
| Total from investment operations | $(0.14) | $0.17 | $2.19 | $(0.40) | $(0.18) |
| Less distributions declared to shareholders |
| From net investment income | $(1.03) | $(2.37) | $(0.02) | $(0.07) | $(0.17) |
| Net asset value, end of period (x) | $3.63 | $4.80 | $7.00 | $4.83 | $5.30 |
| Total return (%) (r)(s)(t)(x) | (3.44) | 7.61 | 45.58 | (7.59) | (3.31) |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions | 1.40 | 1.41 | 1.39 | 1.37 | 1.34 |
| Expenses after expense reductions | 1.39 | 1.40 | 1.38 | 1.36 | 1.33 |
| Net investment income (loss) | 2.66 | 0.06 | (0.13) | 0.75 | 1.64 |
| Portfolio turnover | 66 | 37 | 28 | 57 | 64 |
| Net assets at end of period (000 omitted) | $311 | $134 | $64 | $44 | $48 |
| Class R3 | Year ended |
| | 10/31/23 | 10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 |
| Net asset value, beginning of period | $4.81 | $7.02 | $4.84 | $5.31 | $5.65 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.11 | $0.01 | $0.01 | $0.05 | $0.10 |
| Net realized and unrealized gain (loss) | (0.24) | 0.17 | 2.20 | (0.43) | (0.27) |
| Total from investment operations | $(0.13) | $0.18 | $2.21 | $(0.38) | $(0.17) |
| Less distributions declared to shareholders |
| From net investment income | $(1.03) | $(2.39) | $(0.03) | $(0.09) | $(0.17) |
| Net asset value, end of period (x) | $3.65 | $4.81 | $7.02 | $4.84 | $5.31 |
| Total return (%) (r)(s)(t)(x) | (3.16) | 7.75 | 46.03 | (7.34) | (3.03) |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions | 1.14 | 1.16 | 1.14 | 1.12 | 1.09 |
| Expenses after expense reductions | 1.13 | 1.15 | 1.13 | 1.11 | 1.08 |
| Net investment income (loss) | 2.88 | 0.25 | 0.12 | 1.00 | 1.89 |
| Portfolio turnover | 66 | 37 | 28 | 57 | 64 |
| Net assets at end of period (000 omitted) | $68 | $70 | $65 | $44 | $48 |
See Notes to Consolidated Financial Statements
Consolidated Financial Highlights – continued
| Class R4 | Year ended |
| | 10/31/23 | 10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 |
| Net asset value, beginning of period | $4.82 | $7.03 | $4.85 | $5.32 | $5.65 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.12 | $0.03 | $0.02 | $0.06 | $0.11 |
| Net realized and unrealized gain (loss) | (0.24) | 0.16 | 2.21 | (0.43) | (0.26) |
| Total from investment operations | $(0.12) | $0.19 | $2.23 | $(0.37) | $(0.15) |
| Less distributions declared to shareholders |
| From net investment income | $(1.04) | $(2.40) | $(0.05) | $(0.10) | $(0.18) |
| Net asset value, end of period (x) | $3.66 | $4.82 | $7.03 | $4.85 | $5.32 |
| Total return (%) (r)(s)(t)(x) | (2.84) | 8.07 | 46.27 | (7.09) | (2.75) |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions | 0.89 | 0.91 | 0.89 | 0.87 | 0.84 |
| Expenses after expense reductions | 0.88 | 0.90 | 0.88 | 0.86 | 0.83 |
| Net investment income (loss) | 3.12 | 0.50 | 0.37 | 1.25 | 2.14 |
| Portfolio turnover | 66 | 37 | 28 | 57 | 64 |
| Net assets at end of period (000 omitted) | $69 | $71 | $65 | $45 | $48 |
| Class R6 | Year ended |
| | 10/31/23 | 10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 |
| Net asset value, beginning of period | $4.83 | $7.04 | $4.86 | $5.33 | $5.65 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.12 | $0.03 | $0.03 | $0.06 | $0.11 |
| Net realized and unrealized gain (loss) | (0.25) | 0.17 | 2.20 | (0.43) | (0.25) |
| Total from investment operations | $(0.13) | $0.20 | $2.23 | $(0.37) | $(0.14) |
| Less distributions declared to shareholders |
| From net investment income | $(1.04) | $(2.41) | $(0.05) | $(0.10) | $(0.18) |
| Net asset value, end of period (x) | $3.66 | $4.83 | $7.04 | $4.86 | $5.33 |
| Total return (%) (r)(s)(t)(x) | (2.94) | 8.24 | 46.24 | (7.06) | (2.57) |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions | 0.82 | 0.82 | 0.81 | 0.83 | 0.83 |
| Expenses after expense reductions | 0.81 | 0.80 | 0.80 | 0.82 | 0.82 |
| Net investment income (loss) | 3.20 | 0.54 | 0.46 | 1.28 | 2.15 |
| Portfolio turnover | 66 | 37 | 28 | 57 | 64 |
| Net assets at end of period (000 omitted) | $749,712 | $722,934 | $924,441 | $689,390 | $625,443 |
See Notes to Consolidated Financial Statements
Consolidated Financial Highlights – continued
| (d) | Per share data is based on average shares outstanding. |
| (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. |
See Notes to Consolidated Financial Statements
Notes to Consolidated Financial Statements
(1) Business and Organization
MFS Commodity Strategy Fund (the fund) is a diversified series of MFS Series Trust XV (the trust). The trust is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.
The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies.
(2) Significant Accounting Policies
Principles of Consolidation — The fund gains 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 fund will not invest directly in commodities. The fund may invest up to 25% of its assets (at the time of purchase) in the Subsidiary. The Subsidiary has the same objective, strategies, and restrictions as the fund, except that the Subsidiary gains exposure to the commodities market by investing directly in commodity-linked futures, options, and swaps. The fund also invests directly in debt securities, and the Subsidiary may also invest in debt securities. As of October 31, 2023, the Subsidiary’s net assets were $143,482,487, which represented 18.5% of the fund’s net assets. The fund’s financial statements have been consolidated and include the accounts of the fund and the Subsidiary. All inter-fund balances and transactions have been eliminated in consolidation.
General — The preparation of Consolidated Financial Statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the Consolidated Financial Statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. In the preparation of these Consolidated Financial Statements, management has evaluated subsequent events occurring after the date of the fund’s Consolidated Statement of Assets and Liabilities through the date that the Consolidated Financial Statements were issued. The fund invests in foreign securities. Investments in foreign securities are vulnerable to the effects of changes in the relative values of the local currency and the U.S. dollar and to the effects of changes in each country’s market, economic, industrial, political, regulatory, geopolitical, environmental, public health, and other conditions.
Balance Sheet Offsetting — The fund's accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the International Swaps and Derivatives Association (ISDA) Master Agreement, or similar agreement, does not result in an offset of reported amounts of financial assets and financial liabilities in the Consolidated Statement of Assets and Liabilities across transactions between the fund and the applicable counterparty. The fund's right to setoff may be restricted or prohibited by the bankruptcy or insolvency laws of the particular jurisdiction to which a specific master netting agreement
Notes to Consolidated Financial Statements - continued
counterparty is subject. Balance sheet offsetting disclosures, to the extent applicable to the fund, have been included in the fund’s Significant Accounting Policies note under the captions for each of the fund’s in-scope financial instruments and transactions.
Investment Valuations — Subject to its oversight, the fund's Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments to MFS as the fund's adviser, pursuant to the fund’s valuation policy and procedures which have been adopted by the adviser and approved by the Board. In accordance with Rule 2a-5 under the Investment Company Act of 1940, the Board of Trustees designated the adviser as the “valuation designee” of the fund. If the adviser, as valuation designee, determines that reliable market quotations are not readily available for an investment, the investment is valued at fair value as determined in good faith by the adviser in accordance with the adviser’s fair valuation policy and procedures.
Under the fund's valuation policy and procedures, debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party pricing service. Swap agreements are generally valued using valuations provided by a third-party pricing service, which for cleared swaps includes an evaluation of any trading activity at the clearinghouses. Open-end investment companies are generally valued at net asset value per share. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.
Under the fund’s valuation policy and procedures, market quotations are not considered to be readily available for debt instruments, floating rate loans, and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services or otherwise determined by the adviser in accordance with the adviser’s fair valuation policy and procedures. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. In determining values, third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, spreads and other market data. An investment may also be valued at fair value if the adviser determines that the investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund’s net asset value, or after the halt of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the
Notes to Consolidated Financial Statements - continued
value of an investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.
Various inputs are used in determining the value of the fund's assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund's assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes significant unobservable inputs, which may include the adviser's own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts and swap agreements. The following is a summary of the levels used as of October 31, 2023 in valuing the fund's assets and liabilities:
| Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
| U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | $— | $201,195,203 | $— | $201,195,203 |
| Non - U.S. Sovereign Debt | — | 4,122,363 | — | 4,122,363 |
| Municipal Bonds | — | 4,959,806 | — | 4,959,806 |
| U.S. Corporate Bonds | — | 149,124,261 | — | 149,124,261 |
| Residential Mortgage-Backed Securities | — | 3,963,278 | — | 3,963,278 |
| Commercial Mortgage-Backed Securities | — | 34,148,659 | — | 34,148,659 |
| Asset-Backed Securities (including CDOs) | — | 91,732,595 | — | 91,732,595 |
| Foreign Bonds | — | 119,377,101 | — | 119,377,101 |
| Short-Term Securities | — | 49,875,000 | — | 49,875,000 |
| Mutual Funds | 83,594,006 | — | — | 83,594,006 |
| Total | $83,594,006 | $658,498,266 | $— | $742,092,272 |
| Other Financial Instruments | | | | |
| Futures Contracts – Liabilities | $(214,998) | $— | $— | $(214,998) |
| Swap Agreements – Assets | — | 365,557 | — | 365,557 |
| Swap Agreements – Liabilities | — | (4,122,308) | — | (4,122,308) |
For further information regarding security characteristics, see the Consolidated Portfolio of Investments.
Derivatives — The fund uses derivatives primarily to increase or decrease exposure to a particular market or segment of the market, or security, to increase or decrease interest rate or currency exposure, or as alternatives to direct investments. Derivatives are used for hedging or non-hedging purposes. While hedging can reduce or eliminate
Notes to Consolidated Financial Statements - continued
losses, it can also reduce or eliminate gains. When the fund uses derivatives as an investment to increase market exposure, or for hedging purposes, gains and losses from derivative instruments may be substantially greater than the derivative’s original cost.
The derivative instruments used by the fund during the period were futures contracts and swap agreements. Depending on the type of derivative, a fund may exit a derivative position by entering into an offsetting transaction with a counterparty or exchange, negotiating an agreement with the derivative counterparty, or novating the position to a third party. The fund may be unable to promptly close out a futures position in instances where the daily fluctuation in the price for that type of future exceeds the daily limit set by the exchange. The fund's period end derivatives, as presented in the Consolidated Portfolio of Investments and the associated Derivative Contract tables, generally are indicative of the volume of its derivative activity during the period.
The following table presents, by major type of derivative contract, the fair value, on a gross basis, of the asset and liability components of derivatives held by the fund at October 31, 2023 as reported in the Consolidated Statement of Assets and Liabilities:
| | | Fair Value (a) |
| Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
| Interest Rate | Futures Contracts | $— | $(214,998) |
| Interest Rate | Cleared Swap Agreements | 1,977 | (17,930) |
| Commodity | Uncleared Swap Agreements | 363,580 | (4,104,378) |
| Total | | $365,557 | $(4,337,306) |
| (a) | Values presented in this table for futures contracts and cleared swap agreements correspond to the values reported in the Consolidated Portfolio of Investments. Only the current day net variation margin for futures contracts and cleared swap agreements is reported separately within the Consolidated Statement of Assets and Liabilities. |
The following table presents, by major type of derivative contract, the realized gain (loss) on derivatives held by the fund for the year ended October 31, 2023 as reported in the Consolidated Statement of Operations:
| Risk | Futures
Contracts | Swap
Agreements |
| Interest Rate | $(1,191,933) | $(2,568,888) |
| Credit | — | (249,058) |
| Commodity | — | (48,086,111) |
| Total | $(1,191,933) | $(50,904,057) |
Notes to Consolidated Financial Statements - continued
The following table presents, by major type of derivative contract, the change in unrealized appreciation or depreciation on derivatives held by the fund for the year ended October 31, 2023 as reported in the Consolidated Statement of Operations:
| Risk | Futures
Contracts | Swap
Agreements |
| Interest Rate | $(214,998) | $1,441,504 |
| Commodity | — | (1,660,956) |
| Total | $(214,998) | $(219,452) |
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain, but not all, uncleared derivatives, the fund attempts to reduce its exposure to counterparty credit risk whenever possible by entering into an ISDA Master Agreement on a bilateral basis. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a specified deterioration in the credit quality of the other party. Upon an event of default or a termination of the ISDA Master Agreement, the non-defaulting party has the right to close out all transactions traded under such agreement and to net amounts owed under each agreement to one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the fund's credit risk to such counterparty equal to any amounts payable by the fund under the applicable transactions, if any.
Collateral and margin requirements differ by type of derivative. For cleared derivatives (e.g., futures contracts, cleared swaps, and exchange-traded options), margin requirements are set by the clearing broker and the clearing house and collateral, in the form of cash or securities, is posted by the fund directly with the clearing broker. Collateral terms are counterparty agreement specific for uncleared derivatives (e.g., forward foreign currency exchange contracts, uncleared swap agreements, and uncleared options) and collateral, in the form of cash and securities, is held in segregated accounts with the fund's custodian in connection with these agreements. For derivatives traded under an ISDA Master Agreement, which contains a credit support annex, the collateral requirements are netted across all transactions traded under such counterparty-specific agreement and an amount is posted from one party to the other to collateralize such obligations. Cash that has been segregated or delivered to cover the fund's collateral or margin obligations under derivative contracts, if any, will be reported separately in the Consolidated Statement of Assets and Liabilities as restricted cash for uncleared derivatives and/or deposits with brokers for cleared derivatives. Securities pledged as collateral or margin for the same purpose, if any, are noted in the Consolidated Portfolio of Investments. The fund may be required to make payments of interest on uncovered collateral or margin obligations with the broker. Any such payments are included in “Miscellaneous” expense in the Consolidated Statement of Operations.
Notes to Consolidated Financial Statements - continued
The following table presents the fund's derivative assets and liabilities (by type) on a gross basis as of October 31, 2023:
| Gross Amounts of: | Derivative Assets | Derivative Liabilities |
| Futures Contracts (a) | $— | $(35,337) |
| Uncleared Swaps, at value | 363,580 | (4,104,378) |
| Cleared Swap Agreements (a) | — | (16,074) |
Total Gross Amount of Derivative Assets
and Liabilities Presented in the Consolidated
Statement of Assets & Liabilities | $363,580 | $(4,155,789) |
Less: Derivative Assets and Liabilities Not Subject
to a Master Netting Agreement or
Similar Arrangement | — | (51,411) |
Total Gross Amount of Derivative Assets and
Liabilities Subject to a Master Netting Agreement or
Similar Arrangement | $363,580 | $(4,104,378) |
| (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 fund's Consolidated Statement of Assets and Liabilities, differs from the fair value of the futures contracts and cleared swap agreements which is presented in the tables that follow the fund's Consolidated Portfolio of Investments. |
The following table presents (by counterparty) the fund's derivative assets net of amounts available for offset under Master Netting Agreements (or similar arrangements) and net of the related collateral held by the fund at October 31, 2023:
| | | 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 |
| Goldman Sachs International | $77,533 | $(77,533) | $— | $— | $— |
| Merrill Lynch International | 136,633 | (136,633) | — | — | — |
| Morgan Stanley | 149,414 | (35,978) | — | — | 113,436 |
| Total | $363,580 | $(250,144) | $— | $— | $113,436 |
Notes to Consolidated Financial Statements - continued
The following table presents (by counterparty) the fund's derivative liabilities net of amounts available for offset under Master Netting Agreements (or similar arrangements) and net of the related collateral pledged by the fund at October 31, 2023:
| | | 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 |
| Goldman Sachs International | $(1,161,910) | $77,533 | $1,042,807 | $41,570 | $— |
| JPMorgan Chase Bank N.A. | (860,958) | — | 816,673 | 44,285 | — |
| Merrill Lynch International | (2,045,532) | 136,633 | 30,529 | 1,878,370 | — |
| Morgan Stanley | (35,978) | 35,978 | — | — | — |
| Total | $(4,104,378) | $250,144 | $1,890,009 | $1,964,225 | $— |
| (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. |
Futures Contracts — The fund entered into futures contracts which may be used to hedge against or obtain broad market exposure, interest rate exposure, currency exposure, or to manage duration. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a futures contract, the fund is required to deposit with the broker, either in cash or securities, an initial margin in an amount equal to a specified percentage of the notional amount of the contract. Subsequent payments (variation margin) are made or received by the fund each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gain or loss by the fund until the contract is closed or expires at which point the gain or loss on futures contracts is realized.
The fund bears the risk of interest rates, exchange rates or securities prices moving unexpectedly, in which case, the fund may not achieve the anticipated benefits of the futures contracts and may realize a loss. While futures contracts may present less counterparty risk to the fund since the contracts are exchange traded and the exchange’s clearinghouse guarantees payments to the broker, there is still counterparty credit risk due to the insolvency of the broker. The fund’s maximum risk of loss due to counterparty credit risk is equal to the margin posted by the fund to the broker plus any gains or minus any losses on the outstanding futures contracts.
Notes to Consolidated Financial Statements - continued
Swap Agreements — The fund entered into swap agreements which generally involve a periodic exchange of cash payments on a net basis, at specified intervals or upon the occurrence of specified events, between the fund and a counterparty. Certain swap agreements may be entered into as a bilateral contract (“uncleared swaps”) while others are required to be centrally cleared (“cleared swaps”).
Both cleared and uncleared swap agreements are marked to market daily. The value of uncleared swap agreements is reported in the Consolidated Statement of Assets and Liabilities as “Uncleared swaps, at value” which includes any related interest accruals to be paid or received by the fund. For cleared swaps, payments (variation margin) are made or received by the fund each day, depending on the daily fluctuations in the value of the cleared swap, such that only the current day net receivable or payable for variation margin is reported in the Consolidated Statement of Assets and Liabilities.
For both cleared and uncleared swaps, premiums paid or received at the inception of the agreements are amortized over the term of the agreement as realized gain or loss on swap agreements in the Consolidated Statement of Operations. The periodic exchange of net cash payments, as well as any liquidation payment received or made upon early termination, are recorded as a realized gain or loss on swap agreements in the Consolidated Statement of Operations. The change in unrealized appreciation or depreciation on swap agreements in the Consolidated Statement of Operations reflects the aggregate change over the reporting period in the value of swaps net of any unamortized premiums paid or received.
Risks related to swap agreements include the possible lack of a liquid market, unfavorable market and interest rate movements of the underlying instrument and the failure of the counterparty to perform under the terms of the agreements. The fund's maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the contract's remaining life, to the extent that the amount is positive. To address counterparty risk, uncleared swap agreements are limited to only highly-rated counterparties. Risk is further reduced by having an ISDA Master Agreement (“ISDA”) between the fund and the counterparty and, where applicable, by the posting of collateral by the counterparty to the fund to cover the fund’s exposure to the counterparty under such ISDA. The fund's counterparty risk due to cleared swaps is mitigated by the fact that the clearinghouse is the true counterparty to the transaction and the regulatory requirement safeguards in the event of a clearing broker bankruptcy.
The fund entered into interest rate swap agreements in order to manage its exposure to interest rate fluctuations. Interest rate swap agreements involve the periodic exchange of cash flows, between the fund and a counterparty, based on the difference between two interest rates applied to a notional principal amount. The two interest rates exchanged may either be a fixed rate and a floating rate or two floating rates based on different indices.
The fund entered into total return swaps on various commodity indexes in order to gain exposure without having to own the underlying commodities. Under a total return swap the fund pays the counterparty interest (based on a fixed or floating rate) and in return receives a payment equal to the increase in the total return of the reference index. To the extent there is a decline in the total return of the index, the fund pays the counterparty for that decline in addition to making the fixed or floating rate interest payment. On a monthly basis, the change in the total return of the index is measured to determine the monthly payment due to or from the counterparty. These payments
Notes to Consolidated Financial Statements - continued
are included in “Due from uncleared swap brokers” or “Due to uncleared swap brokers” in the Consolidated Statement of Assets and Liabilities. The total return of the reference index includes changes in the market value of the index and any interest or dividend payments attributable to the index.
The fund entered into credit default swap agreements in order to manage its exposure to the market or certain sectors of the market, to reduce its credit risk exposure to defaults of corporate and sovereign issuers or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. A credit default swap’s reference obligation may be either a single security or a basket of securities issued by corporate or sovereign issuers. At the inception of the agreement, the protection buyer may make an upfront payment to or receive an upfront payment from the protection seller. Over the term of the agreement, the protection buyer will make a series of periodic payments to the protection seller based on a fixed percentage applied to the agreement’s notional amount in exchange for a promise from the protection seller to make a specific payment should a defined credit event occur with respect to the reference obligation. Although agreement-specific, credit events generally consist of a combination of the following: bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. If a defined credit event occurs, the protection buyer will either (i) receive from the protection seller an amount equal to the agreement’s notional amount and deliver the reference obligation (i.e., physical settlement) or (ii) receive from the protection seller a net settlement of cash equal to the agreement’s notional amount less the recovery value of the reference obligation. Upon determination of the final price for the reference obligation (or upon delivery of the reference obligation in the case of physical settlement), the difference between the recovery value of the reference obligation and the agreement’s notional amount is recorded as realized gain or loss on swap agreements in the Statement of Operations.
Mortgage-Backed/Asset-Backed Securities — The fund invests a significant portion of its assets in asset-backed and/or mortgage-backed securities. For these securities, the value of the debt instrument also depends on the credit quality and adequacy of the underlying assets or collateral as well as whether there is a security interest in the underlying assets or collateral. Enforcing rights, if any, against the underlying assets or collateral may be difficult. U.S. Government securities not supported as to the payment of principal or interest by the U.S. Treasury, such as those issued by Fannie Mae, Freddie Mac, and the Federal Home Loan Banks, are subject to greater credit risk than are U.S. Government securities supported by the U.S. Treasury, such as those issued by Ginnie Mae.
Indemnifications — Under the fund's organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the fund. Additionally, in the normal course of business, the fund enters into agreements with service providers that may contain indemnification clauses. The fund's maximum exposure under these agreements is unknown as this would involve future claims that may be made against the fund that have not yet occurred.
Notes to Consolidated Financial Statements - continued
Investment Transactions and Income — Interest income is recorded on the accrual basis. All premium and discount is amortized or accreted for financial statement purposes in accordance with U.S. generally accepted accounting principles. Interest payments received in additional securities are recorded on the ex-interest date in an amount equal to the value of the security on such date.
The fund may receive proceeds from litigation settlements. Any proceeds received from litigation involving portfolio holdings are reflected in the Consolidated Statement of Operations in realized gain/loss if the security has been disposed of by the fund or in unrealized gain/loss if the security is still held by the fund. Any other proceeds from litigation not related to portfolio holdings are reflected as other income in the Consolidated Statement of Operations.
Investment transactions are recorded on the trade date. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
To mitigate the counterparty credit risk on TBA transactions, mortgage dollar rolls, and other types of forward settling mortgage-backed and asset-backed security transactions, the fund whenever possible enters into a Master Securities Forward Transaction Agreement (“MSFTA”) on a bilateral basis with each of the counterparties with whom it undertakes a significant volume of transactions. The MSFTA gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a specified deterioration in the credit quality of the other party. Upon an event of default or a termination of the MSFTA, the non-defaulting party has the right to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the MSFTA could result in a reduction of the fund's credit risk to such counterparty equal to any amounts payable by the fund under the applicable transactions, if any.
For mortgage-backed and asset-backed securities traded under a MSFTA, the collateral and margining requirements are contract specific. Collateral amounts across all transactions traded under such agreement are netted and an amount is posted from one party to the other to collateralize such obligations. Cash that has been pledged to cover the fund's collateral or margin obligations under a MSFTA, if any, will be reported separately on the Consolidated Statement of Assets and Liabilities as restricted cash. Securities pledged as collateral or margin for the same purpose, if any, are noted in the Consolidated Portfolio of Investments.
Tax Matters and Distributions — The fund intends to qualify as a regulated investment company, as defined under Subchapter M of the Internal Revenue Code, and to distribute all of its taxable income, including realized capital gains. As a result, no provision for federal income tax is required. The fund’s federal tax returns, when filed, will remain subject to examination by the Internal Revenue Service for a three year period. Management has analyzed the fund’s tax positions taken on federal and state tax returns for all open tax years and does not believe that there are any uncertain tax positions that require recognition of a tax liability. Foreign taxes, if any, have been accrued by the fund in the accompanying financial statements in accordance with the applicable foreign tax law. Foreign income taxes may be withheld by certain countries in which the fund invests. Additionally, capital gains realized by the fund on securities issued in or by certain foreign countries may be subject to capital gains tax imposed by those countries.
Notes to Consolidated Financial Statements - continued
Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences which arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future.
Book/tax differences primarily relate to treating the Subsidiary as a separate holding for tax purposes instead of a consolidated entity and derivative transactions.
The tax character of distributions declared to shareholders for the last two fiscal years is as follows:
| | Year ended
10/31/23 | Year ended
10/31/22 |
| Ordinary income (including any short-term capital gains) | $165,000,992 | $322,999,695 |
The federal tax cost and the tax basis components of distributable earnings were as follows:
| As of 10/31/23 | |
| Cost of investments | $1,089,285,453 |
| Gross appreciation | 121,470 |
| Gross depreciation | (347,545,602) |
| Net unrealized appreciation (depreciation) | $(347,424,132) |
| Undistributed ordinary income | 13,239,798 |
| Capital loss carryforwards | (115,537,090) |
| Other temporary differences | (152,161,582) |
| Total distributable earnings (loss) | $(601,883,006) |
As of October 31, 2023, the fund had capital loss carryforwards available to offset future realized gains. These net capital losses may be carried forward indefinitely and their character is retained as short-term and/or long-term losses. Such losses are characterized as follows:
| Short-Term | $(84,898,325) |
| Long-Term | (30,638,765) |
| Total | $(115,537,090) |
Multiple Classes of Shares of Beneficial Interest — The fund offers multiple classes of shares, which differ in their respective distribution and service fees. The fund's income, realized and unrealized gain (loss), and common expenses are allocated to shareholders based on the daily net assets of each class. Dividends are declared separately for each class. Differences in per share dividend rates are generally due to differences in separate class expenses. Class B and Class C shares will convert to
Notes to Consolidated Financial Statements - continued
Class A shares approximately eight years after purchase. The fund’s distributions declared to shareholders as reported in the Consolidated Statements of Changes in Net Assets are presented by class as follows:
| | Year ended
10/31/23 | Year ended
10/31/22 |
| Class A | $3,159,611 | $1,794,373 |
| Class B | 24,490 | 32,578 |
| Class C | 293,180 | 375,281 |
| Class I | 3,742,535 | 1,842,869 |
| Class R1 | 14,035 | 21,275 |
| Class R2 | 34,196 | 23,360 |
| Class R3 | 14,937 | 22,077 |
| Class R4 | 15,247 | 22,350 |
| Class R6 | 157,702,761 | 318,865,532 |
| Total | $165,000,992 | $322,999,695 |
(3) Transactions with Affiliates
Investment Adviser — The fund and the Subsidiary have investment advisory agreements with MFS to provide overall investment management and related administrative services and facilities to the fund. The management fee is computed daily and paid monthly at the following annual rates based on the fund's average daily net assets:
| Up to $1 billion | 0.75% |
| In excess of $1 billion | 0.70% |
The Subsidiary does not pay a management fee to MFS.
MFS has agreed in writing to reduce its management fee by a specified amount if certain MFS mutual fund assets exceed thresholds agreed to by MFS and the fund's Board of Trustees. MFS has also agreed in writing to waive at least 0.01% of its management fee as part of this agreement. The agreement to waive at least 0.01% of the management fee will continue until modified by the fund's Board of Trustees, but such agreement will continue at least until February 28, 2025. For the year ended October 31, 2023, this management fee reduction amounted to $99,976, which is included in the reduction of total expenses in the Consolidated Statement of Operations. The management fee incurred for the year ended October 31, 2023 was equivalent to an annual effective rate of 0.74% of the fund's average daily net assets.
Distributor — MFS Fund Distributors, Inc. (MFD), a wholly-owned subsidiary of MFS, as distributor, received $10,960 for the year ended October 31, 2023, as its portion of the initial sales charge on sales of Class A shares of the fund.
The Board of Trustees has adopted a distribution plan for certain share classes pursuant to Rule 12b-1 of the Investment Company Act of 1940.
The fund's distribution plan provides that the fund will pay MFD for services provided by MFD and financial intermediaries in connection with the distribution and servicing of certain share classes. One component of the plan is a distribution fee paid to MFD and another component of the plan is a service fee paid to MFD. MFD may subsequently pay all, or a portion, of the distribution and/or service fees to financial intermediaries. The distribution and service fees are computed daily and paid monthly.
Notes to Consolidated Financial Statements - continued
Distribution Plan Fee Table:
| | 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% | $ 32,605 |
| Class B | 0.75% | 0.25% | 1.00% | 1.00% | 1,084 |
| Class C | 0.75% | 0.25% | 1.00% | 1.00% | 8,999 |
| Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 652 |
| Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 1,204 |
| Class R3 | — | 0.25% | 0.25% | 0.25% | 169 |
| Total Distribution and Service Fees | | | | | $44,713 |
| (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, 2023 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. There were no service fee rebates for the year ended October 31, 2023. |
Certain Class A shares are subject to a contingent deferred sales charge (CDSC) in the event of a shareholder redemption within 18 months of purchase. Class B shares are subject to a CDSC in the event of a shareholder redemption within six years of purchase. Class C shares are subject to a CDSC in the event of a shareholder redemption within 12 months of purchase. All contingent deferred sales charges are paid to MFD and during the year ended October 31, 2023, were as follows:
| | Amount |
| Class A | $1,658 |
| Class B | — |
| Class C | 212 |
Shareholder Servicing Agent — MFS Service Center, Inc. (MFSC), a wholly-owned subsidiary of MFS, receives a fee from the fund for its services as shareholder servicing agent calculated as a percentage of the average daily net assets of the fund as determined periodically under the supervision of the fund's Board of Trustees. For the year ended October 31, 2023, the fee was $7,779, which equated to 0.0010% annually of the fund's average daily net assets. MFSC also receives reimbursement from the fund for out-of-pocket expenses, sub-accounting and other shareholder servicing costs which may be paid to affiliated and unaffiliated service providers. Class R6 shares do not incur sub-accounting fees. For the year ended October 31, 2023, these out-of-pocket expenses, sub-accounting and other shareholder servicing costs amounted to $29,019.
Administrator — MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to the fund. Under an administrative services agreement, the fund reimburses MFS the costs incurred to provide these services. The fund is charged an annual fixed amount of $17,500 plus a fee based on
Notes to Consolidated Financial Statements - continued
average daily net assets. The administrative services fee is computed daily and paid monthly. The administrative services fee incurred for the year ended October 31, 2023 was equivalent to an annual effective rate of 0.0158% of the fund's average daily net assets.
Trustees’ and Officers’ Compensation — The fund pays compensation to independent Trustees in the form of a retainer, attendance fees, and additional compensation to Board and Committee chairpersons. Independent Trustees’ compensation is accrued daily and paid subsequent to each Trustee Board meeting. The fund does not pay compensation directly to Trustees or officers of the fund who are also officers of the investment adviser, all of whom receive remuneration from MFS for their services to the fund. Certain officers and Trustees of the fund are officers or directors of MFS, MFD, and MFSC.
Other — The fund invests in the MFS Institutional Money Market Portfolio which is managed by MFS and seeks current income consistent with preservation of capital and liquidity. This money market fund does not pay a management fee to MFS but does incur investment and operating costs.
On August 3, 2022, MFS redeemed 14,310 shares of Class C and 14,247 shares of Class I for an aggregate amount of $72,266 and $73,372, respectively.
At October 31, 2023, MFS held approximately 71% of the outstanding shares of Class B, and 100% of the outstanding shares of Class R1, Class R3, and Class R4.
(4) Portfolio Securities
For the year ended October 31, 2023, purchases and sales of investments, other than short-term obligations, were as follows:
| | Purchases | Sales |
| U.S. Government securities | $341,964,023 | $269,633,042 |
| Non-U.S. Government securities | 117,464,707 | 124,095,930 |
Notes to Consolidated Financial Statements - continued
(5) Shares of Beneficial Interest
The fund's Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest. Transactions in fund shares were as follows:
| | Year ended
10/31/23 | | Year ended
10/31/22 |
| | Shares | Amount | | Shares | Amount |
| Shares sold | | | | | |
| Class A | 1,203,685 | $4,624,048 | | 3,103,863 | $16,573,444 |
| Class B | 4,689 | 19,025 | | 6,135 | 30,392 |
| Class C | 30,222 | 112,335 | | 171,395 | 908,942 |
| Class I | 1,941,886 | 7,321,849 | | 5,010,784 | 25,979,067 |
| Class R1 | — | — | | 1 | 5 |
| Class R2 | 57,069 | 212,343 | | 13,047 | 66,081 |
| Class R3 | — | — | | 1 | 5 |
| Class R6 | 39,844,638 | 144,923,413 | | 15,380,862 | 79,675,363 |
| | 43,082,189 | $157,213,013 | | 23,686,088 | $123,233,299 |
Shares issued to shareholders
in reinvestment of distributions | | | | | |
| Class A | 851,614 | $3,159,487 | | 423,412 | $1,761,393 |
| Class B | 6,601 | 24,490 | | 7,834 | 32,578 |
| Class C | 79,418 | 292,259 | | 90,870 | 375,281 |
| Class I | 1,003,361 | 3,742,535 | | 440,879 | 1,842,869 |
| Class R1 | 3,773 | 14,035 | | 5,102 | 21,275 |
| Class R2 | 9,217 | 34,196 | | 5,602 | 23,360 |
| Class R3 | 4,015 | 14,937 | | 5,294 | 22,077 |
| Class R4 | 4,099 | 15,247 | | 5,359 | 22,350 |
| Class R6 | 42,393,215 | 157,702,761 | | 76,466,554 | 318,865,532 |
| | 44,355,313 | $164,999,947 | | 77,450,906 | $322,966,715 |
| Shares reacquired | | | | | |
| Class A | (2,401,508) | $(8,934,408) | | (1,088,785) | $(5,473,361) |
| Class B | (9,335) | (34,355) | | (4,691) | (24,091) |
| Class C | (271,413) | (988,691) | | (114,905) | (579,642) |
| Class I | (3,427,526) | (13,194,326) | | (2,395,076) | (12,770,972) |
| Class R1 | — | — | | (1) | (5) |
| Class R2 | (8,508) | (30,343) | | (3) | (15) |
| Class R3 | — | — | | (1) | (5) |
| Class R6 | (27,182,800) | (100,498,460) | | (73,378,451) | (395,909,496) |
| | (33,301,090) | $(123,680,583) | | (76,981,913) | $(414,757,587) |
Notes to Consolidated Financial Statements - continued
| | Year ended
10/31/23 | | Year ended
10/31/22 |
| | Shares | Amount | | Shares | Amount |
| Net change | | | | | |
| Class A | (346,209) | $(1,150,873) | | 2,438,490 | $12,861,476 |
| Class B | 1,955 | 9,160 | | 9,278 | 38,879 |
| Class C | (161,773) | (584,097) | | 147,360 | 704,581 |
| Class I | (482,279) | (2,129,942) | | 3,056,587 | 15,050,964 |
| Class R1 | 3,773 | 14,035 | | 5,102 | 21,275 |
| Class R2 | 57,778 | 216,196 | | 18,646 | 89,426 |
| Class R3 | 4,015 | 14,937 | | 5,294 | 22,077 |
| Class R4 | 4,099 | 15,247 | | 5,359 | 22,350 |
| Class R6 | 55,055,053 | 202,127,714 | | 18,468,965 | 2,631,399 |
| | 54,136,412 | $198,532,377 | | 24,155,081 | $31,442,427 |
The fund is one of several mutual funds in which certain MFS funds may invest. The MFS funds do not invest in the underlying funds for the purpose of exercising management or control. At the end of the period, the MFS Growth Allocation Fund, the MFS Moderate Allocation Fund, the MFS Aggressive Growth Allocation Fund, the MFS Conservative Allocation Fund, the MFS Lifetime 2040 Fund, the MFS Lifetime 2050 Fund, the MFS Lifetime Income Fund, the MFS Lifetime 2030 Fund, the MFS Lifetime 2035 Fund, the MFS Lifetime 2045 Fund, and the MFS Lifetime 2055 Fund were the owners of record of approximately 30%, 23%, 15%, 9%, 3%, 3%, 2%, 2%, 2%, 2%, and 2% of the value of outstanding voting shares of the fund. In addition, the MFS Lifetime 2025 fund, the MFS Lifetime 2060 fund, and the MFS Lifetime 2065 Fund were the owner of record of less than 1% of the value of outstanding voting shares of the fund.
Effective June 1, 2019, purchases of the fund’s Class B shares were closed to new and existing investors subject to certain exceptions. Effective September 29, 2023, purchases of Class R1 and Class R2 shares were closed to new eligible investors.
(6) Line of Credit
The fund and certain other funds managed by MFS participate in a $1.45 billion unsecured committed line of credit of which $1.2 billion is reserved for use by the fund and certain other MFS U.S. funds. The line of credit is provided by a syndicate of banks under a credit agreement. Borrowings may be made for temporary financing needs. Interest is charged to each fund, based on its borrowings, generally at a rate equal to the highest of 1) Daily Simple SOFR (Secured Overnight Financing Rate) plus 0.10%, 2) the Federal Funds Effective Rate, or 3) the Overnight Bank Funding Rate, each plus an agreed upon spread. A commitment fee, based on the average daily unused portion of the committed line of credit, is allocated among the participating funds. The line of credit expires on March 14, 2024 unless extended or renewed. In addition, the fund and other funds managed by MFS have established unsecured uncommitted borrowing arrangements with certain banks for temporary financing needs. Interest is charged to each fund, based on its borrowings, at rates equal to customary reference rates plus an
Notes to Consolidated Financial Statements - continued
agreed upon spread. For the year ended October 31, 2023, the fund’s commitment fee and interest expense were $3,796 and $0, respectively, and are included in “Miscellaneous” expense in the Consolidated Statement of Operations.
(7) Investments in Affiliated Issuers
An affiliated issuer may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the following were affiliated issuers:
| Affiliated Issuers | Beginning
Value | Purchases | Sales
Proceeds | Realized
Gain
(Loss) | Change in
Unrealized
Appreciation or
Depreciation | Ending
Value |
| MFS Institutional Money Market Portfolio | $107,271,416 | $428,081,929 | $451,775,231 | $7,433 | $8,459 | $83,594,006 |
| Affiliated Issuers | Dividend
Income | Capital Gain
Distributions |
| MFS Institutional Money Market Portfolio | $4,549,673 | $— |
(8) LIBOR Transition
The London Interbank Offered Rate (LIBOR) was intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. Certain of the fund's investments, payment obligations, and financing terms were historically based on LIBOR. In 2017, the United Kingdom Financial Conduct Authority (FCA) announced plans to transition away from LIBOR by the end of 2021. LIBOR's administrator, ICE Benchmark Administration (IBA), ceased publication (on a representative basis) of many of its LIBOR settings as of December 31, 2021 and ceased publication (on a representative basis) of the remaining U.S. dollar LIBOR settings as of June 30, 2023. In addition, global regulators announced that, with limited exceptions, no new LIBOR-based contracts should be entered into after 2021. Although the FCA has announced that it will require the IBA to continue to publish certain select LIBOR rates on a synthetic basis after the relevant cessation dates, such synthetic rates are not considered to be representative of the underlying market and economic reality they are intended to measure, are expected to be published for a limited time period, and are intended solely for use on a limited basis for legacy transactions.
Regulators and industry groups have implemented measures to facilitate the transition away from LIBOR and other interbank offered rates to alternative reference rates, such as the Secured Overnight Financing Rate (SOFR). SOFR is a broad measure of the cost of borrowing cash overnight collateralized by U.S. Treasury securities in the repurchase agreement (repo) market. SOFR is published in various forms including as a daily, compounded, and forward-looking term rate. The transition to alternative reference rates may affect the liquidity and valuation of investments that were tied to LIBOR or other interbank offered rates and may lead to other consequences affecting securities and credit markets more broadly. For example, while some investments that were tied to LIBOR provided for an alternative or “fallback” rate-setting methodology in the event LIBOR is not available, there is uncertainty regarding the effectiveness of any such alternative methodologies to replace LIBOR and certain investments tied to LIBOR may
Notes to Consolidated Financial Statements - continued
not have fallback provisions. While legislation passed in the United States facilitates by operation of law the replacement of U.S. dollar LIBOR settings in certain legacy instruments with a specified replacement rate, such as SOFR, there is uncertainty regarding the effectiveness of such legislation. There also remains uncertainty regarding the willingness and ability of parties to add or amend fallback provisions in certain other legacy instruments maturing after the cessation of the applicable LIBOR rates, which could create market and litigation risk.
It is difficult to quantify or predict the impact on the fund resulting from the transition from LIBOR to alternative reference rates and the potential effects of the transition from LIBOR on the fund, or on certain instruments in which the fund invests, are not known. The transition process may involve, among other things, increased volatility or illiquidity in markets for instruments that relied on LIBOR to determine interest rates. The transition may also result in a reduction in value of certain LIBOR-related investments held by the fund or reduce the effectiveness of related transactions such as hedges. Any such effects of the transition away from LIBOR and the adoption of alternative reference rates, as well as other unforeseen effects, could have an adverse impact on the fund's performance.
With respect to the fund’s accounting for investments, including investments in certain debt instruments and derivatives, as well as borrowings by the fund and any other contractual arrangements of the fund that undergo reference rate-related modifications as a result of the transition, management has and will continue to rely upon the relief provided by FASB Codification Topic 848 – Reference Rate Reform (Topic 848). The guidance in Topic 848 permits the fund to account for such contract modifications made on or before December 31, 2024 as a continuation of the existing contracts. The situation remains fluid, and management believes, based on best available information, that the impact of the transition will not be material to the fund.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of MFS Series Trust XV and the Shareholders of MFS Commodity Strategy Fund:
Opinion on the Consolidated Financial Statements and Financial Highlights
We have audited the accompanying consolidated statement of assets and liabilities of MFS Commodity Strategy Fund and subsidiary (the “Fund”), including the consolidated portfolio of investments, as of October 31, 2023, the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, the consolidated financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the consolidated financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund and subsidiary as of October 31, 2023, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These consolidated financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's consolidated financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements and financial highlights. Our procedures included confirmation of securities owned as of
Report of Independent Registered Public Accounting Firm – continued
October 31, 2023, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
December 14, 2023
We have served as the auditor of one or more of the MFS investment companies since 1924.
Trustees and Officers — Identification and Background
The Trustees and Officers of the Trust, as of December 1, 2023, are listed below, together with their principal occupations during the past five years. (Their titles may have varied during that period.) The address of each Trustee and Officer is 111 Huntington Avenue, Boston, Massachusetts 02199-7618.
| 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 TRUSTEE | | | | | | | | | | |
Michael W. Roberge (k)
(age 57) | | 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 69) | | Trustee and Chair of Trustees | | January 2009 | | 136 | | Private investor | | N/A |
Steven E. Buller
(age 72) | | Trustee | | February 2014 | | 136 | | Private investor | | N/A |
John A. Caroselli
(age 69) | | Trustee | | March 2017 | | 136 | | Private investor; JC Global Advisors, LLC (management consulting), President (since 2015) | | N/A |
Maureen R. Goldfarb
(age 68) | | Trustee | | January 2009 | | 136 | | Private investor | | N/A |
Peter D. Jones
(age 68) | | Trustee | | January 2019 | | 136 | | Private investor | | N/A |
James W. Kilman, Jr.
(age 62) | | 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) |
Trustees and Officers - continued
| 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 67) | | Trustee | | March 2017 | | 136 | | Private investor | | VF Corporation, Director; Verizon Communications, Inc., Director; The Travelers Companies, Director |
Maryanne L. Roepke
(age 67) | | Trustee | | May 2014 | | 136 | | Private investor | | N/A |
Laurie J. Thomsen
(age 66) | | 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 49) | | Assistant Secretary and Assistant Clerk | | July 2005 | | 136 | | Massachusetts Financial Services Company, Senior Vice President and Senior Managing Counsel |
Kino Clark (k)
(age 55) | | Assistant Treasurer | | January 2012 | | 136 | | Massachusetts Financial Services Company, Vice President |
John W. Clark, Jr. (k)
(age 56) | | Assistant Treasurer | | April 2017 | | 136 | | Massachusetts Financial Services Company, Vice President |
David L. DiLorenzo (k)
(age 55) | | President | | July 2005 | | 136 | | Massachusetts Financial Services Company, Senior Vice President |
Heidi W. Hardin (k)
(age 56) | | Secretary and Clerk | | April 2017 | | 136 | | Massachusetts Financial Services Company, Executive Vice President and General Counsel |
Brian E. Langenfeld (k)
(age 50) | | Assistant Secretary and Assistant Clerk | | June 2006 | | 136 | | Massachusetts Financial Services Company, Vice President and Managing Counsel |
Trustees and Officers - continued
| 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 47) | | 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 44) | | Assistant Secretary and Assistant Clerk | | September 2018 | | 136 | | Massachusetts Financial Services Company, Assistant Vice President and Senior Counsel |
Susan A. Pereira (k)
(age 53) | | Assistant Secretary and Assistant Clerk | | July 2005 | | 136 | | Massachusetts Financial Services Company, Vice President and Managing Counsel |
Kasey L. Phillips (k)
(age 52) | | Assistant Treasurer | | September 2012 | | 136 | | Massachusetts Financial Services Company, Vice President |
Matthew A. Stowe (k)
(age 49) | | Assistant Secretary and Assistant Clerk | | October 2014 | | 136 | | Massachusetts Financial Services Company, Vice President and Senior Managing Counsel |
William B. Wilson (k)
(age 41) | | Assistant Secretary and Assistant Clerk | | October 2022 | | 136 | | Massachusetts Financial Services Company, Assistant Vice President and Senior Counsel |
James O. Yost (k)
(age 63) | | 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. |
Trustees and Officers - continued
Each Trustee (other than Messrs. Jones, Kilman and Roberge) has been elected by shareholders and each Trustee and Officer holds office until his or her successor is chosen and qualified or until his or her earlier death, resignation, retirement or removal. Mr. Roberge became a Trustee of the Funds on January 1, 2021 and Messrs. Jones and Kilman became Trustees of the Funds on January 1, 2019. The Trust does not hold annual meetings for the purpose of electing Trustees, and Trustees are not elected for fixed terms. Under the terms of the Board's retirement policy, an Independent Trustee shall retire at the end of the calendar year in which he or she reaches the earlier of 75 years of age or 15 years of service on the Board (or, in the case of any Independent Trustee who joined the Board prior to 2015, 20 years of service on the Board).
Messrs. Buller, Kilman and Otis and Ms. Roepke are members of the Trust’s Audit Committee.
Each of the Interested Trustees and certain Officers hold comparable officer positions with certain affiliates of MFS.
The Statement of Additional Information for a Fund includes further information about the Trustees and is available without charge upon request by calling 1-800-225-2606.
| Investment Adviser | Custodian |
Massachusetts Financial Services Company
111 Huntington Avenue
Boston, MA 02199-7618 | State Street Bank and Trust Company
1 Congress Street, Suite 1
Boston, MA 02114-2016 |
| 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 | |
Board Review of Investment Advisory Agreement
MFS Commodity Strategy Fund
The Investment Company Act of 1940 requires that both the full Board of Trustees and a majority of the non-interested (“independent”) Trustees, voting separately, annually approve the continuation of the Fund’s investment advisory agreement with MFS. The Trustees consider matters bearing on the Fund and its advisory arrangements at their meetings throughout the year, including a review of performance data at each regular meeting. In addition, the independent Trustees met several times over the course of three months beginning in May and ending in July, 2023 (“contract review meetings”) for the specific purpose of considering whether to approve the continuation of the investment advisory agreement for the Fund and the other investment companies that the Board oversees (the “MFS Funds”). The independent Trustees were assisted in their evaluation of the Fund’s investment advisory agreement by independent legal counsel, from whom they received separate legal advice and with whom they met separately from MFS during various contract review meetings. The independent Trustees were also assisted in this process by an independent consultant who was retained by and reported to the independent Trustees.
In connection with their deliberations regarding the continuation of the investment advisory agreement, the Trustees, including the independent Trustees, considered such information and factors as they believed, in light of the legal advice furnished to them and their own business judgment, to be relevant. The investment advisory agreement for the Fund was considered separately, although the Trustees also took into account the common interests of all MFS Funds in their review. As described below, the Trustees considered the nature, quality, and extent of the various investment advisory, administrative, and shareholder services performed by MFS under the existing investment advisory agreement and other arrangements with the Fund.
In connection with their contract review meetings, the Trustees received and relied upon materials that included, among other items: (i) information provided by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent third party, on the investment performance of the Fund for various time periods ended December 31, 2022 and the investment performance of a group of funds with substantially similar investment classifications/objectives (the “Broadridge performance universe”), (ii) information provided by Broadridge on the Fund’s advisory fees and other expenses and the advisory fees and other expenses of comparable funds identified by Broadridge as well as all other funds in the same investment classification/category (the “Broadridge expense group and universe”), (iii) information provided by MFS on the advisory fees of portfolios of other clients of MFS, including institutional separate accounts and other clients, (iv) information as to whether and to what extent applicable expense waivers, reimbursements or fee “breakpoints” are observed for the Fund, (v) information regarding MFS’ financial results and financial condition, including MFS’ and certain of its affiliates’ estimated profitability from services performed for the Fund and the MFS Funds as a whole, and compared to MFS’ institutional business, (vi) MFS’ views regarding the outlook for the mutual fund industry and the strategic business plans of MFS, (vii) descriptions of various functions performed by MFS for the Funds, such as compliance monitoring and portfolio trading practices, and (viii) information regarding the overall organization of MFS, including information about
Board Review of Investment Advisory Agreement - continued
MFS’ senior management and other personnel providing investment advisory, administrative and other services to the Fund and the other MFS Funds. The comparative performance, fee and expense information prepared and provided by Broadridge was not independently verified and the independent Trustees did not independently verify any information provided to them by MFS.
The Trustees’ conclusion as to the continuation of the investment advisory agreement was based on a comprehensive consideration of all information provided to the Trustees and not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations are described below, although individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. It is also important to recognize that the fee arrangements for the Fund and other MFS Funds are the result of years of review and discussion between the independent Trustees and MFS, that certain aspects of such arrangements may receive greater scrutiny in some years than in others, and that the Trustees’ conclusions may be based, in part, on their consideration of these same arrangements during the course of the year and in prior years.
Based on information provided by Broadridge and MFS, the Trustees reviewed the Fund’s total return investment performance as well as the Broadridge performance universe over various time periods. The Trustees placed particular emphasis on the total return performance of the Fund’s Class I shares in comparison to the performance of funds in its Broadridge performance universe over the five-year period ended December 31, 2022, which the Trustees believed was a long enough period to reflect differing market conditions. The total return performance of the Fund’s Class I shares was in the 3rd quintile relative to the other funds in the universe for this five-year period (the 1st quintile being the best performers and the 5th quintile being the worst performers). The total return performance of the Fund’s Class I shares was in the 3rd quintile for each of the one- and three-year periods ended December 31, 2022 relative to the Broadridge performance universe. Because of the passage of time, these performance results may differ from the performance results for more recent periods, including those shown elsewhere in this report.
In the course of their deliberations, the Trustees took into account information provided by MFS in connection with the contract review meetings, as well as during investment review meetings conducted with portfolio management personnel during the course of the year regarding the Fund’s performance. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the investment advisory agreement, that they were satisfied with MFS’ responses and efforts relating to investment performance.
In assessing the reasonableness of the Fund’s advisory fee, the Trustees considered, among other information, the Fund’s advisory fee and the total expense ratio of the Fund’s Class I shares as a percentage of average daily net assets and the advisory fee and total expense ratios of the Broadridge expense group based on information provided by Broadridge. The Trustees considered that, according to the data provided by Broadridge (which takes into account any fee reductions or expense limitations that were in effect during the Fund’s last fiscal year), the Fund’s effective advisory fee rate was higher than the Broadridge expense group median and the Fund’s total expense ratio was approximately at the Broadridge expense group median.
Board Review of Investment Advisory Agreement - continued
The Trustees also considered the advisory fees charged by MFS to any institutional separate accounts advised by MFS (“separate accounts”) and unaffiliated investment companies for which MFS serves as subadviser (“subadvised funds”) that have comparable investment strategies to the Fund, if any. In comparing these fees, the Trustees considered information provided by MFS as to the generally broader scope of services provided by MFS to the Fund, as well as the more extensive regulatory burdens imposed on MFS in managing the Fund, in comparison to separate accounts and subadvised funds. The Trustees also considered the higher demands placed on MFS’ investment personnel and trading infrastructure as a result of the daily cash in-flows and out-flows of the Fund in comparison to separate accounts.
The Trustees also considered whether the Fund may benefit from any economies of scale in the management of the Fund in the event of growth in assets of the Fund and/or growth in assets of the MFS Funds as a whole. They noted that the Fund’s advisory fee rate schedule is subject to a contractual breakpoint that reduces the Fund’s advisory fee rate on average daily net assets over $1 billion. The Trustees also noted that MFS has agreed in writing to waive a portion of the management fees of certain MFS Funds, including the Fund, if the total combined assets of certain funds within the MFS Funds’ complex increase above agreed upon thresholds (the “group fee waiver”), enabling the Fund’s shareholders to share in the benefits from any economies of scale at the complex level. The group fee waiver is reviewed and renewed annually between the Board and MFS. The Trustees concluded that the breakpoint and the group fee waiver were sufficient to allow the Fund to benefit from economies of scale as its assets and overall complex assets grow.
The Trustees also considered information prepared by MFS relating to MFS’ costs and profits with respect to the Fund, the MFS Funds considered as a group, and other investment companies and accounts advised by MFS, as well as MFS’ methodologies used to determine and allocate its costs to the MFS Funds, the Fund and other accounts and products for purposes of estimating profitability.
After reviewing these and other factors described herein, the Trustees concluded, within the context of their overall conclusions regarding the investment advisory agreement, that the advisory fees charged to the Fund represent reasonable compensation in light of the services being provided by MFS to the Fund.
In addition, the Trustees considered MFS’ resources and related efforts to continue to retain, attract and motivate capable personnel to serve the Fund. The Trustees also considered current and developing conditions in the financial services industry, including the presence of large and well-capitalized companies which are spending, and appear to be prepared to continue to spend, substantial sums to engage personnel and to provide services to competing investment companies. In this regard, the Trustees also considered the financial resources of MFS and its ultimate parent, Sun Life Financial Inc. The Trustees also considered the advantages and possible disadvantages to the Fund of having an adviser that also serves other investment companies as well as other accounts.
The Trustees also considered the nature, quality, cost, and extent of administrative, transfer agency, and distribution services provided to the Fund by MFS and its affiliates under agreements and plans other than the investment advisory agreement, including any 12b-1 fees the Fund pays to MFS Fund Distributors, Inc., an affiliate of MFS. The Trustees also considered the nature, extent and quality of certain other services
Board Review of Investment Advisory Agreement - continued
MFS performs or arranges for on the Fund’s behalf, which may include securities lending programs, directed expense payment programs, class action recovery programs, and MFS’ interaction with third-party service providers, principally custodians and sub-custodians. The Trustees concluded that the various non-advisory services provided by MFS and its affiliates on behalf of the Fund were satisfactory.
The Trustees considered so-called “fall-out benefits” to MFS such as reputational value derived from serving as investment manager to the MFS Funds. The Trustees also considered that MFS discontinued its historic practice of obtaining investment research from portfolio brokerage commissions paid by certain MFS Funds effective January 2018, and directly pays or voluntarily reimburses a Fund, if applicable, for the costs of external research acquired through the use of the Fund’s portfolio brokerage commissions.
Based on their evaluation of factors that they deemed to be material, including those factors described above, the Board of Trustees, including the independent Trustees, concluded that the Fund’s investment advisory agreement with MFS should be continued for an additional one-year period, commencing August 1, 2023.
Proxy Voting Policies and Information
MFS votes proxies on behalf of the fund pursuant to proxy voting policies and procedures that are available without charge, upon request, by calling 1-800-225-2606, by visiting mfs.com/proxyvoting, or by visiting the SEC’s Web site at http://www.sec.gov.
Information regarding how the fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available by August 31 of each year without charge by visiting mfs.com/proxyvoting, or by visiting the SEC’s Web site at http://www.sec.gov.
Quarterly Portfolio Disclosure
The fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund's Form N-PORT reports are available on the SEC's Web site at http://www.sec.gov. A shareholder can obtain the portfolio holdings report for the first and third quarters of the fund's fiscal year at mfs.com/openendfunds by choosing the fund's name and then scrolling to the “Resources” section and clicking on the “Prospectus and Reports” tab.
Further Information
From time to time, MFS may post important information about the fund or the MFS Funds on the MFS Web site (mfs.com). This information is available at https://www.mfs.com/announcements or at mfs.com/openendfunds by choosing the fund’s name and then scrolling to the “Resources” section and clicking on the “Announcements” tab, if any.
Information About Fund Contracts and Legal Claims
The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent, and custodian who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
Under the Trust’s By-Laws and Declaration of Trust, any claims asserted against or on behalf of the MFS Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.
Federal Tax Information (unaudited)
The fund will notify shareholders of amounts for use in preparing 2023 income tax forms in January 2024. The following information is provided pursuant to provisions of the Internal Revenue Code.
The fund intends to pass through the maximum amount allowable as Section 163(j) Interest Dividends as defined in Treasury Regulation §1.163(j)-1(b).
| 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. |
Save paper with eDelivery.
MFS® will send you prospectuses, reports, and proxies directly via e-mail so you will get information faster with less mailbox clutter.
To sign up:
1. Go to mfs.com.
2. Log in via MFS® Access.
3. Select eDelivery.
If you own your MFS fund shares through a financial institution or a retirement plan, MFS® TALK, MFS® Access, or eDelivery may not be available to you.
CONTACT
WEB SITE
mfs.com
MFS TALK
1-800-637-8255
24 hours a day
ACCOUNT SERVICE AND LITERATURE
Shareholders
1-800-225-2606
Financial advisors
1-800-343-2829
Retirement plan services
1-800-637-1255
MAILING ADDRESS
MFS Service Center, Inc.
P.O. Box 219341
Kansas City, MO 64121-9341
OVERNIGHT MAIL
MFS Service Center, Inc.
Suite 219341
430 W 7th Street
Kansas City, MO 64105-1407
Annual Report
October 31, 2023
MFS® Global Alternative
Strategy Fund
MFS® Global Alternative
Strategy Fund
| 1 |
| 3 |
| 5 |
| 8 |
| 10 |
| 47 |
| 49 |
| 51 |
| 52 |
| 61 |
| 82 |
| 84 |
| 88 |
| 92 |
| 92 |
| 92 |
| 92 |
| 92 |
| 94 |
The report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a current prospectus.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Portfolio structure
| | | | Derivative Overlay
Positions (b) | |
| | | Active Security
Selection (a) | Long | Short | Net Market
Exposure (c) |
| Fixed Income | U.S. | 14.4% | 55.1% | (11.2)% | 58.3% |
| | Asia/Pacific ex-Japan | 0.5% | 8.0% | 0.0% | 8.5% |
| | United Kingdom | 1.3% | 0.0% | (0.3)% | 1.0% |
| | Emerging Markets | 0.2% | 0.0% | 0.0% | 0.2% |
| | Japan | 0.5% | 0.0% | (1.4)% | (0.9)% |
| | North America ex-U.S. | 1.2% | 0.0% | (7.8)% | (6.6)% |
| | Europe ex-U.K. | 1.8% | 0.0% | (9.2)% | (7.4)% |
| Equity | Europe ex-U.K. | 10.8% | 7.1% | (0.3)% | 17.6% |
| | U.S. Large Cap | 31.6% | 0.0% | (24.1)% | 7.5% |
| | Emerging Markets | 2.2% | 7.2% | (4.1)% | 5.3% |
| | Japan | 3.9% | 0.4% | 0.0% | 4.3% |
| | North America ex-U.S. | 2.0% | 0.6% | 0.0% | 2.6% |
| | U.S Small/Mid Cap | 17.4% | 0.0% | (16.8)% | 0.6% |
| | Developed - Middle East/Africa | 0.1% | 0.0% | 0.0% | 0.1% |
| | United Kingdom | 2.7% | 0.0% | (3.3)% | (0.6)% |
| | Asia/Pacific ex-Japan | 1.6% | 0.0% | (6.4)% | (4.8)% |
| Cash | Cash & Cash Equivalents (d) | | | | 7.7% |
| | Other (e) | | | | 6.6% |
Top ten holdings (c)
| USD Interest Rate Swap, Receive 4.756% - DEC 2025 | 34.2% |
| USD Interest Rate Swap, Receive 4.148% - DEC 2028 | 14.3% |
| Australian Bond 10 yr Future - DEC 2023 | 8.0% |
| U.S. Treasury Note 10 yr Future - DEC 2023 | 6.6% |
| S&P MidCap 400 Index Future - DEC 2023 | (7.6)% |
| USD Interest Rate Swap, Payer 3.987% - DEC 2033 | (7.7)% |
| Canadian Treasury Bond 10 yr Future - DEC 2023 | (7.8)% |
| Euro-Bund 10 yr Future - DEC 2023 | (9.2)% |
| Russell 2000 Index Future - DEC 2023 | (9.3)% |
| S&P 500 E-Mini Index Future - DEC 2023 | (23.6)% |
Portfolio Composition - continued
| (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. |
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 value of derivatives may be different.
Where the fund holds convertible bonds, they are treated as part of the equity portion of the portfolio.
Percentages are based on net assets as of October 31, 2023.
The portfolio is actively managed and current holdings may be different.
Management Review
Summary of Results
MFS seeks to achieve a total rate of return for the MFS Global Alternative Strategy Fund (fund) that meets or exceeds the ICE BofA 0-3 Month U.S. Treasury Bill Index plus 2% to 4%, net of fund expenses, over a full market cycle. There is no assurance that the fund will meet this target over the long term or for any year or period of years.
MFS seeks to achieve the fund’s objective by generating returns from a combination of (1) individual security selection of US and foreign equity securities and debt instruments and (2) a tactical asset allocation overlay to manage the fund’s exposure to asset classes, markets, and currencies, primarily using derivatives.
For the twelve months ended October 31, 2023, Class A shares of the fund provided a total return of 6.99%, at net asset value. This compares with a return of 2.89% for the fund’s benchmark, the Bloomberg 1-3 Year U.S. Treasury Bond Index.
Market Environment
During the reporting period, central banks around the world had to combat the strongest inflationary pressures in four decades, fueled by the global fiscal response to the pandemic, disrupted supply chains and the dislocations to energy markets stemming from the war in Ukraine. Interest rates rose substantially, but the effects of a tighter monetary policy may not have been fully experienced yet, given that monetary policy works with long and variable lags. Strains resulting from the abrupt tightening of monetary policy began to affect some parts of the economy, most acutely among small and regional US banks, which suffered from deposit flight as depositors sought higher yields on their savings. Additionally, activity in the US housing sector has slowed as a result of higher mortgage rates. China’s abandonment of its Zero-COVID policy ushered in a brief uptick in economic activity in the world’s second-largest economy in early 2023, although its momentum soon stalled as the focus turned to the country’s highly indebted property development sector. In developed markets, consumer demand for services remained stronger than the demand for goods.
Policymakers found themselves in the difficult position of trying to restrain inflation without tipping economies into recession. Despite the challenging macroeconomic and geopolitical environment, central banks remained focused on controlling price pressures while also confronting increasing financial stability concerns. Central banks had to juggle achieving their inflation mandates while using macroprudential tools to keep banking systems liquid, a potentially difficult balancing act, and one that suggested that we may be nearing a peak in policy rates.
Against an environment of relatively tight labor markets, tighter global financial conditions and volatile materials prices, investor anxiety appeared to have increased over the potential that corporate profit margins may be past peak for this cycle. That said, signs that supply chains have generally normalized, coupled with low levels of unemployment across developed markets and hopes that inflation levels have peaked, were supportive factors for the macroeconomic backdrop.
Management Review - continued
Factors Affecting Performance
During the reporting period, the fund’s allocation to equity securities contributed to absolute performance. Country selection within equities further boosted performance, in particular a long exposure to Turkey and a short exposure to US Small Cap, via holdings of equity index futures within the fund's tactical overlay.
The fund’s allocation to fixed income securities also contributed to absolute performance, although this was marginally offset by negative impacts from the fund's country selection.
Currency positions, used to tactically manage the currency allocation of the fund and express views, detracted from the fund’s absolute performance, with short exposure in Euro and the Swiss Franc overwhelming the positive impact from the fund’s short exposure to the Japanese Yen.
Respectfully,
Portfolio Manager(s)
Benjamin Nastou, Natalie Shapiro, and Erich Shigley
The views expressed in this report are those of the portfolio manager(s) only through the end of the period of the report as stated on the cover and do not necessarily reflect the views of MFS or any other person in the MFS organization. These views are subject to change at any time based on market or other conditions, and MFS disclaims any responsibility to update such views. These views may not be relied upon as investment advice or an indication of trading intent on behalf of any MFS portfolio. References to specific securities are not recommendations of such securities, and may not be representative of any MFS portfolio’s current or future investments.
Performance Summary THROUGH 10/31/23
The following chart illustrates a representative class of the fund’s historical performance in comparison to its benchmark(s). Performance results include the deduction of the maximum applicable sales charge and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. The performance of other share classes will be greater than or less than that of the class depicted below. Benchmarks are unmanaged and may not be invested in directly. Benchmark returns do not reflect sales charges, commissions or expenses. (See Notes to Performance Summary.)
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value fluctuate so your shares, when sold, may be worth more or less than the original cost; current performance may be lower or higher than quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on fund distributions or the redemption of fund shares.
Growth of a Hypothetical $10,000 Investment
Performance Summary - continued
Total Returns through 10/31/23
Average annual without sales charge
| Share Class | Class Inception Date | 1-yr | 5-yr | 10-yr |
| A | 12/20/2007 | 6.99% | 3.41% | 2.23% |
| B | 12/20/2007 | 6.08% | 2.63% | 1.46% |
| C | 12/20/2007 | 6.16% | 2.62% | 1.46% |
| I | 12/20/2007 | 7.21% | 3.67% | 2.49% |
| R1 | 12/20/2007 | 6.15% | 2.65% | 1.47% |
| R2 | 12/20/2007 | 6.69% | 3.13% | 1.97% |
| R3 | 12/20/2007 | 6.88% | 3.39% | 2.21% |
| R4 | 12/20/2007 | 7.16% | 3.66% | 2.43% |
| R6 | 12/20/2007 | 7.28% | 3.76% | 2.57% |
Comparative benchmark(s)
| Bloomberg 1-3 Year U.S. Treasury Bond Index (f) | 2.89% | 1.07% | 0.82% |
| ICE BofA 0-3 Month U.S. Treasury Bill Index (f) | 4.86% | 1.76% | 1.14% |
Average annual with sales charge
| | | | |
A
With Initial Sales Charge (5.75%) | 0.84% | 2.19% | 1.63% |
B
With CDSC (Declining over six years from 4% to 0%) (v) | 2.08% | 2.27% | 1.46% |
C
With CDSC (1% for 12 months) (v) | 5.16% | 2.62% | 1.46% |
CDSC – Contingent Deferred Sales Charge.
Class I, R1, R2, R3, R4, and R6 shares do not have a sales charge.
| (f) | Source: FactSet Research Systems Inc. |
| (v) | Assuming redemption at the end of the applicable period. |
Benchmark Definition(s)
Bloomberg 1-3 Year U.S. Treasury Bond Index(a) – measures the performance of public obligations of the U.S. Treasury with a remaining maturity from 1 up to (but not including) 3 years.
ICE BofA 0-3 Month U.S. Treasury Bill Index(d) – tracks the performance of U.S. dollar denominated U.S. Treasury Bills publicly issued in the U.S. domestic market with a remaining term to final maturity of less than 3 months.
Performance Summary - continued
It is not possible to invest directly in an index.
| (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. |
| (d) | Source ICE Data Indices, LLC (“ICE Data”), is used with permission. ICE Data, its affiliates and their respective third party suppliers disclaim any and all warranties and representations, express and/or implied, including any warranties of merchantability or fitness for a particular purpose or use, including the indices, index data and any data included in, related to, or derived therefrom. Neither ICE Data, its affiliates nor their respective third party suppliers shall be subject to any damages or liability with respect the adequacy, accuracy, timeliness or completeness of the indices or the index data or any component thereof, and the indices and the index data and all components thereof are provided on an “as is” basis and your use is at your own risk. ICE Data, its affiliates and their respective third party suppliers do not sponsor, endorse or recommend MFS, or any of its products or services. |
Notes to Performance Summary
Average annual total return represents the average annual change in value for each share class for the periods presented.
Performance results reflect any applicable expense subsidies and waivers in effect during the periods shown. Without such subsidies and waivers the fund's performance results would be less favorable. Please see the prospectus and financial statements for complete details.
Performance information for periods prior to July 13, 2018 reflects periods when a subadvisor was responsible for managing the fund’s tactical asset allocation overlay under a different investment process.
Performance results do not include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles and may differ from amounts reported in the financial highlights.
From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower.
Expense Table
Fund expenses borne by the shareholders during the period,
May 1, 2023 through October 31, 2023
As a shareholder of the fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on certain purchase or redemption payments, and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period May 1, 2023 through October 31, 2023.
Actual Expenses
The first line for each share class in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line for each share class in the following table provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line for each share class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Expense Table - continued
Share
Class | | Annualized
Expense
Ratio | Beginning
Account Value
5/01/23 | Ending
Account Value
10/31/23 | Expenses
Paid During
Period (p)
5/01/23-10/31/23 |
| A | Actual | 1.38% | $1,000.00 | $1,000.86 | $6.96 |
| Hypothetical (h) | 1.38% | $1,000.00 | $1,018.25 | $7.02 |
| B | Actual | 2.13% | $1,000.00 | $996.43 | $10.72 |
| Hypothetical (h) | 2.13% | $1,000.00 | $1,014.47 | $10.82 |
| C | Actual | 2.13% | $1,000.00 | $997.33 | $10.72 |
| Hypothetical (h) | 2.13% | $1,000.00 | $1,014.47 | $10.82 |
| I | Actual | 1.13% | $1,000.00 | $1,001.72 | $5.70 |
| Hypothetical (h) | 1.13% | $1,000.00 | $1,019.51 | $5.75 |
| R1 | Actual | 2.13% | $1,000.00 | $997.29 | $10.72 |
| Hypothetical (h) | 2.13% | $1,000.00 | $1,014.47 | $10.82 |
| R2 | Actual | 1.63% | $1,000.00 | $999.13 | $8.21 |
| Hypothetical (h) | 1.63% | $1,000.00 | $1,016.99 | $8.29 |
| R3 | Actual | 1.38% | $1,000.00 | $1,000.00 | $6.96 |
| Hypothetical (h) | 1.38% | $1,000.00 | $1,018.25 | $7.02 |
| R4 | Actual | 1.13% | $1,000.00 | $1,001.71 | $5.70 |
| Hypothetical (h) | 1.13% | $1,000.00 | $1,019.51 | $5.75 |
| R6 | Actual | 1.03% | $1,000.00 | $1,002.56 | $5.20 |
| Hypothetical (h) | 1.03% | $1,000.00 | $1,020.01 | $5.24 |
| (h) | 5% class return per year before expenses. |
| (p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Notes to Expense Table
Expense ratios include 0.08% of interest expense on uncovered collateral or margin obligations with the broker (See Note 2 of the Notes to Financial Statements) that are outside of the expense limitation arrangement (See Note 3 of the Notes to Financial Statements).
Portfolio of Investments
10/31/23
The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.
| Issuer | | | Shares/Par | Value ($) |
| Common Stocks – 72.3% |
| Aerospace & Defense – 1.5% | |
| AeroVironment, Inc. (a) | | 258 | $29,582 |
| Boeing Co. (a) | | 152 | 28,397 |
| CACI International, Inc., “A” (a) | | 360 | 116,914 |
| General Dynamics Corp. | | 981 | 236,725 |
| Honeywell International, Inc. (f) | | 1,194 | 218,812 |
| Howmet Aerospace, Inc. | | 4,774 | 210,533 |
| KBR, Inc. | | 3,393 | 197,303 |
| L3Harris Technologies, Inc. | | 190 | 34,088 |
| Leidos Holdings, Inc. | | 847 | 83,955 |
| MTU Aero Engines Holding AG | | 584 | 109,374 |
| Northrop Grumman Corp. | | 782 | 368,658 |
| RTX Corp. | | 101 | 8,220 |
| Singapore Technologies Engineering Ltd. | | 36,200 | 99,414 |
| Textron, Inc. | | 2,021 | 153,596 |
| Thales S.A. | | 304 | 44,801 |
| TransDigm Group, Inc. (a) | | 76 | 62,935 |
| | | | | $2,003,307 |
| Airlines – 0.1% | |
| Alaska Air Group, Inc. (a) | | 472 | $14,929 |
| Delta Air Lines, Inc. | | 801 | 25,031 |
| Ryanair Holdings PLC, ADR (a) | | 342 | 29,994 |
| | | | | $69,954 |
| Alcoholic Beverages – 0.9% | |
| Carlsberg Group | | 230 | $27,444 |
| China Resources Beer Holdings Co. Ltd. | | 14,000 | 74,068 |
| Constellation Brands, Inc., “A” | | 100 | 23,415 |
| Diageo PLC | | 8,084 | 306,345 |
| Heineken N.V. | | 529 | 47,531 |
| Kirin Holdings Co. Ltd. | | 2,900 | 40,674 |
| Pernod Ricard S.A. | | 3,774 | 671,014 |
| | | | | $1,190,491 |
| Apparel Manufacturers – 1.0% | |
| Burberry Group PLC | | 918 | $18,914 |
| Canada Goose Holdings, Inc. (a) | | 2,938 | 32,612 |
| Compagnie Financiere Richemont S.A. | | 1,728 | 204,029 |
| Deckers Outdoor Corp. (a) | | 73 | 43,586 |
| LVMH Moet Hennessy Louis Vuitton SE | | 1,071 | 766,480 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Common Stocks – continued |
| Apparel Manufacturers – continued | |
| NIKE, Inc., “B” | | 582 | $59,812 |
| On Holding AG (a) | | 790 | 20,279 |
| PVH Corp. | | 1,758 | 130,707 |
| Skechers USA, Inc., “A” (a) | | 2,526 | 121,804 |
| Under Amour, Inc., “C” (a) | | 4,361 | 28,041 |
| Vestis Corp. (a) | | 564 | 8,624 |
| VF Corp. | | 914 | 13,463 |
| | | | | $1,448,351 |
| Automotive – 0.6% | |
| Aptiv PLC (a) | | 418 | $36,450 |
| Bridgestone Corp. | | 1,200 | 45,278 |
| Compagnie Generale des Etablissements Michelin | | 1,499 | 44,500 |
| Copart, Inc. (a) | | 3,909 | 170,120 |
| DENSO Corp. | | 3,700 | 54,844 |
| Koito Manufacturing Co. Ltd. | | 2,600 | 38,863 |
| Lear Corp. | | 859 | 111,464 |
| LKQ Corp. | | 2,645 | 116,168 |
| Methode Electronics, Inc. | | 867 | 19,828 |
| Niterra Co. Ltd. | | 3,800 | 83,479 |
| Stanley Electric Co. Ltd. | | 2,600 | 41,461 |
| Visteon Corp. (a) | | 630 | 72,532 |
| | | | | $834,987 |
| Biotechnology – 0.5% | |
| Abcam PLC, ADR (a) | | 1,894 | $43,410 |
| Adaptive Biotechnologies Corp. (a) | | 2,181 | 9,684 |
| AlloVir, Inc. (a)(l) | | 1,168 | 1,752 |
| BioAtla, Inc. (a) | | 744 | 1,094 |
| Biogen, Inc. (a) | | 1,077 | 255,830 |
| CSL Ltd. | | 378 | 55,965 |
| Exact Sciences Corp. (a) | | 239 | 14,720 |
| Gilead Sciences, Inc. | | 3,404 | 267,350 |
| Immunocore Holdings PLC, ADR (a) | | 404 | 17,938 |
| Lyell Immunopharma, Inc. (a)(l) | | 1,481 | 2,451 |
| MaxCyte, Inc. (a) | | 2,783 | 8,238 |
| Oxford Nanopore Technologies PLC (a) | | 4,889 | 12,099 |
| Prelude Therapeutics, Inc. (a) | | 717 | 1,212 |
| Sana Biotechnology, Inc. (a)(l) | | 1,143 | 3,383 |
| | | | | $695,126 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Common Stocks – continued |
| Broadcasting – 0.3% | |
| Netflix, Inc. (a) | | 626 | $257,718 |
| Nippon Television Holdings, Inc. | | 4,800 | 46,661 |
| Omnicom Group, Inc. | | 1,575 | 117,984 |
| Walt Disney Co. (a) | | 546 | 44,548 |
| | | | | $466,911 |
| Brokerage & Asset Managers – 1.9% | |
| Apollo Global Management, Inc. | | 3,137 | $242,929 |
| Bank of New York Mellon Corp. | | 5,737 | 243,823 |
| Bolsa Mexicana de Valores S.A. de C.V. | | 30,900 | 48,178 |
| Cboe Global Markets, Inc. | | 172 | 28,189 |
| Charles Schwab Corp. | | 711 | 37,000 |
| Citigroup, Inc. | | 19,343 | 763,855 |
| CME Group, Inc. | | 592 | 126,368 |
| Computershare Ltd. | | 7,857 | 123,989 |
| Deutsche Boerse AG | | 998 | 163,889 |
| Euronext N.V. | | 1,358 | 94,548 |
| Evercore Partners, Inc. | | 310 | 40,356 |
| GCM Grosvenor, Inc., “A” | | 4,634 | 37,304 |
| Hamilton Lane, Inc., “A” | | 451 | 37,938 |
| Hong Kong Exchanges & Clearing Ltd. | | 1,900 | 66,067 |
| Invesco Ltd. | | 1,231 | 15,966 |
| London Stock Exchange Group PLC | | 1,043 | 104,967 |
| NASDAQ, Inc. (f) | | 4,453 | 220,869 |
| Raymond James Financial, Inc. | | 585 | 55,832 |
| Schroders PLC | | 13,601 | 61,158 |
| TMX Group Ltd. | | 4,044 | 84,219 |
| TPG, Inc. | | 741 | 20,481 |
| WisdomTree Investments, Inc. | | 6,621 | 41,050 |
| | | | | $2,658,975 |
| Business Services – 2.2% | |
| Accenture PLC, “A” | | 2,128 | $632,208 |
| Amdocs Ltd. | | 318 | 25,491 |
| Bunzl PLC | | 942 | 33,656 |
| CoStar Group, Inc. (a) | | 4,508 | 330,932 |
| Endava PLC, ADR (a) | | 514 | 25,782 |
| Equifax, Inc. (f) | | 440 | 74,611 |
| ExlService Holdings, Inc. (a) | | 2,522 | 65,849 |
| Experian PLC | | 3,469 | 105,526 |
| Global Payments, Inc. | | 268 | 28,467 |
| HireRight Holdings Corp. (a) | | 2,374 | 21,865 |
| Intertek Group PLC | | 1,979 | 92,372 |
| Keywords Studios PLC | | 2,046 | 32,453 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Common Stocks – continued |
| Business Services – continued | |
| Morningstar, Inc. | | 320 | $81,037 |
| MSCI, Inc. | | 799 | 376,768 |
| Nomura Research Institute Ltd. | | 2,497 | 65,935 |
| NS Solutions Corp. | | 2,700 | 78,068 |
| Remitly Global, Inc. (a) | | 1,288 | 34,686 |
| Secom Co. Ltd. | | 300 | 20,863 |
| SGS S.A. | | 1,563 | 127,520 |
| Thoughtworks Holding, Inc. (a) | | 11,815 | 40,053 |
| TriNet Group, Inc. (a) | | 499 | 51,272 |
| Tyler Technologies, Inc. (a) | | 302 | 112,616 |
| Verisk Analytics, Inc., “A” | | 1,978 | 449,718 |
| WNS (Holdings) Ltd., ADR (a) | | 1,438 | 78,112 |
| | | | | $2,985,860 |
| Cable TV – 0.3% | |
| Cable One, Inc. | | 43 | $23,644 |
| Comcast Corp., “A” (f) | | 8,127 | 335,564 |
| | | | | $359,208 |
| Chemicals – 0.3% | |
| Avient Corp. | | 1,228 | $38,829 |
| Eastman Chemical Co. | | 668 | 49,920 |
| Element Solutions, Inc. | | 4,232 | 77,149 |
| Givaudan S.A. | | 47 | 156,038 |
| IMCD Group N.V. | | 191 | 23,033 |
| | | | | $344,969 |
| Computer Software – 6.3% | |
| ACI Worldwide, Inc. (a) | | 2,061 | $41,983 |
| Adobe Systems, Inc. (a) | | 1,009 | 536,849 |
| Alkami Technology, Inc. (a) | | 2,662 | 47,783 |
| ANSYS, Inc. (a) | | 776 | 215,930 |
| Atlassian Corp. (a) | | 501 | 90,501 |
| Autodesk, Inc. (a) | | 978 | 193,282 |
| AvidXchange Holdings, Inc. (a) | | 2,306 | 19,924 |
| Cadence Design Systems, Inc. (a)(f) | | 4,034 | 967,555 |
| Check Point Software Technologies Ltd. (a) | | 170 | 22,822 |
| Computer Modelling Group Ltd. | | 24,541 | 162,102 |
| Dassault Systemes SE | | 5,586 | 230,404 |
| Definitive Healthcare Corp. (a) | | 2,808 | 16,174 |
| DoubleVerify Holdings, Inc. (a) | | 2,383 | 66,319 |
| Dun & Bradstreet Holdings, Inc. | | 6,415 | 56,195 |
| Intuit, Inc. (f) | | 218 | 107,899 |
| Kinaxis, Inc. (a) | | 1,473 | 143,843 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Common Stocks – continued |
| Computer Software – continued | |
| Microsoft Corp. (f) | | 10,249 | $3,465,289 |
| NICE Systems Ltd., ADR (a) | | 108 | 16,670 |
| Nutanix, Inc. (a) | | 9,050 | 327,519 |
| OBIC Co. Ltd. | | 1,000 | 148,323 |
| Pagerduty, Inc. (a) | | 2,476 | 49,941 |
| Palo Alto Networks, Inc. (a) | | 1,830 | 444,727 |
| Paycor HCM, Inc. (a) | | 1,771 | 38,218 |
| Paylocity Holding Corp. (a) | | 183 | 32,830 |
| Procore Technologies, Inc. (a) | | 841 | 51,377 |
| Sabre Corp. (a) | | 6,823 | 23,880 |
| Salesforce, Inc. (a) | | 324 | 65,069 |
| SAP SE | | 5,296 | 709,663 |
| Synopsys, Inc. (a) | | 839 | 393,860 |
| Wisetech Global Ltd. | | 1,458 | 54,486 |
| | | | | $8,741,417 |
| Computer Software - Systems – 3.6% | |
| Alten S.A. | | 615 | $72,781 |
| Amadeus IT Group S.A. | | 10,203 | 582,918 |
| Apple, Inc. (f) | | 13,966 | 2,384,974 |
| Arista Networks, Inc. (a) | | 323 | 64,719 |
| Cancom SE | | 1,329 | 33,074 |
| Constellation Software, Inc. | | 141 | 282,662 |
| Five9, Inc. (a) | | 1,031 | 59,664 |
| Fujitsu Ltd. | | 700 | 90,623 |
| Hitachi Ltd. | | 11,200 | 711,718 |
| Q2 Holdings, Inc. (a) | | 1,492 | 44,805 |
| Rapid7, Inc. (a) | | 852 | 39,609 |
| Samsung Electronics Co. Ltd. | | 5,480 | 273,264 |
| Seagate Technology Holdings PLC | | 372 | 25,389 |
| ServiceNow, Inc. (a) | | 326 | 189,683 |
| Softchoice Corp. | | 3,024 | 36,177 |
| Venture Corp. Ltd. | | 6,400 | 54,743 |
| Verint Systems, Inc. (a) | | 1,090 | 20,503 |
| Zebra Technologies Corp., “A” (a) | | 142 | 29,739 |
| | | | | $4,997,045 |
| Conglomerates – 0.0% | |
| Ansell Ltd. | | 4,778 | $64,316 |
| Construction – 1.1% | |
| Apartment Income Corp., REIT | | 876 | $25,588 |
| AZEK Co., Inc. (a) | | 1,739 | 45,562 |
| Beacon Roofing Supply, Inc. (a) | | 2,028 | 144,333 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Common Stocks – continued |
| Construction – continued | |
| CRH PLC | | 3,871 | $207,369 |
| Essex Property Trust, Inc., REIT | | 176 | 37,650 |
| Fortune Brands Innovations, Inc. | | 412 | 22,990 |
| Masco Corp. | | 1,228 | 63,966 |
| Mid-America Apartment Communities, Inc., REIT | | 143 | 16,895 |
| Sherwin-Williams Co. | | 108 | 25,727 |
| Stanley Black & Decker, Inc. | | 372 | 31,639 |
| Summit Materials, Inc., “A” (a) | | 3,183 | 104,721 |
| Techtronic Industries Co. Ltd. | | 6,500 | 58,950 |
| Toll Brothers, Inc. (f) | | 4,577 | 323,640 |
| Vulcan Materials Co. | | 2,309 | 453,695 |
| | | | | $1,562,725 |
| Consumer Products – 1.7% | |
| Church & Dwight Co., Inc. | | 1,388 | $126,225 |
| Colgate-Palmolive Co. (f) | | 4,863 | 365,309 |
| e.l.f. Beauty, Inc. (a) | | 220 | 20,379 |
| Estee Lauder Cos., Inc., “A” | | 539 | 69,461 |
| Helen of Troy Ltd. (a) | | 355 | 34,904 |
| International Flavors & Fragrances, Inc. | | 644 | 44,017 |
| Kao Corp. | | 1,700 | 61,821 |
| Kenvue, Inc. | | 10,008 | 186,149 |
| Kimberly-Clark Corp. | | 2,718 | 325,182 |
| Kobayashi Pharmaceutical Co. Ltd. | | 3,000 | 123,695 |
| L’Oréal S.A. | | 544 | 228,026 |
| Newell Brands, Inc. | | 6,720 | 45,158 |
| ODDITY Tech Ltd. (a) | | 386 | 9,862 |
| Prestige Consumer Healthcare, Inc. (a) | | 1,092 | 64,821 |
| Reckitt Benckiser Group PLC | | 9,624 | 645,189 |
| | | | | $2,350,198 |
| Consumer Services – 0.8% | |
| Airbnb, Inc., “A” (a)(f) | | 899 | $106,343 |
| Asante, Inc. (l) | | 6,500 | 69,160 |
| Avis Budget Group, Inc. (a) | | 99 | 16,117 |
| Booking Holdings, Inc. (a) | | 190 | 530,016 |
| Boyd Group Services, Inc. | | 260 | 44,328 |
| Bright Horizons Family Solutions, Inc. (a) | | 1,284 | 95,093 |
| Carsales.com Ltd. | | 1,701 | 30,046 |
| European Wax Center, Inc., “A” (a) | | 2,851 | 42,109 |
| Grand Canyon Education, Inc. (a) | | 339 | 40,114 |
| Meitec Group Holdings, Inc. | | 6,200 | 109,253 |
| Persol Holdings Co. Ltd. | | 14,500 | 21,739 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Common Stocks – continued |
| Consumer Services – continued | |
| Seek Ltd. | | 1,124 | $14,846 |
| | | | | $1,119,164 |
| Containers – 0.2% | |
| Ardagh Metal Packaging S.A. (l) | | 6,796 | $22,902 |
| Avery Dennison Corp. | | 210 | 36,555 |
| Crown Holdings, Inc. | | 386 | 31,112 |
| Graphic Packaging Holding Co. | | 3,162 | 68,015 |
| Silgan Holdings, Inc. | | 853 | 34,171 |
| Verallia | | 1,171 | 38,327 |
| WestRock Co. | | 1,225 | 44,014 |
| | | | | $275,096 |
| Electrical Equipment – 2.0% | |
| AMETEK, Inc. | | 2,572 | $362,061 |
| Berry Global, Inc. | | 1,334 | 73,370 |
| Johnson Controls International PLC | | 1,619 | 79,363 |
| Legrand S.A. | | 3,028 | 261,548 |
| Littlefuse, Inc. | | 180 | 39,001 |
| Mitsubishi Electric Corp. | | 26,400 | 307,560 |
| nVent Electric PLC | | 2,149 | 103,431 |
| Rockwell Automation, Inc. | | 440 | 115,636 |
| Schneider Electric SE | | 7,734 | 1,189,294 |
| Sensata Technologies Holding PLC | | 3,253 | 103,706 |
| TE Connectivity Ltd. | | 474 | 55,861 |
| TriMas Corp. | | 2,005 | 48,541 |
| | | | | $2,739,372 |
| Electronics – 3.6% | |
| Advanced Energy Industries, Inc. | | 623 | $54,363 |
| Allegro MicroSystems, Inc. (a) | | 1,369 | 35,539 |
| Analog Devices, Inc. | | 3,039 | 478,126 |
| Applied Materials, Inc. | | 5,255 | 695,499 |
| ASM International N.V. | | 630 | 260,556 |
| ASM Pacific Technology Ltd. | | 5,000 | 42,419 |
| ASML Holding N.V. | | 64 | 38,500 |
| ASML Holding N.V., ADR | | 296 | 177,248 |
| Cohu, Inc. (a) | | 1,020 | 30,743 |
| Corning, Inc. | | 1,125 | 30,105 |
| Flex Ltd. (a) | | 2,137 | 54,964 |
| Formfactor, Inc. (a) | | 1,232 | 41,740 |
| Intel Corp. | | 4,108 | 149,942 |
| KLA Corp. | | 110 | 51,667 |
| Kyocera Corp. | | 1,000 | 49,388 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Common Stocks – continued |
| Electronics – continued | |
| Lam Research Corp. | | 465 | $273,522 |
| Marvell Technology, Inc. | | 1,224 | 57,797 |
| Melexis N.V. | | 319 | 23,507 |
| Monolithic Power Systems, Inc. | | 447 | 197,458 |
| Nova Ltd. (a) | | 214 | 20,324 |
| NVIDIA Corp. (f) | | 3,018 | 1,230,740 |
| NXP Semiconductors N.V. | | 715 | 123,287 |
| ON Semiconductor Corp. (a) | | 537 | 33,638 |
| Onto Innovation, Inc. (a) | | 403 | 45,285 |
| Plexus Corp. (a) | | 408 | 40,115 |
| ROHM Co. Ltd. | | 1,700 | 27,108 |
| Taiwan Semiconductor Manufacturing Co. Ltd. | | 3,654 | 60,202 |
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR | | 7,048 | 608,313 |
| | | | | $4,932,095 |
| Energy - Independent – 2.2% | |
| Chesapeake Energy Corp. (l) | | 485 | $41,749 |
| CNX Resources Corp. (a) | | 2,569 | 55,799 |
| ConocoPhillips (s) | | 2,735 | 324,918 |
| Diamondback Energy, Inc. | | 1,415 | 226,853 |
| Hess Corp. (f) | | 775 | 111,910 |
| Marathon Petroleum Corp. | | 1,776 | 268,620 |
| Matador Resources Co. | | 1,477 | 91,116 |
| Permian Resources Corp. | | 7,488 | 109,100 |
| Phillips 66 | | 1,674 | 190,953 |
| Pioneer Natural Resources Co. | | 1,773 | 423,747 |
| Reliance Industries Ltd. | | 13,095 | 361,178 |
| Valero Energy Corp. | | 2,968 | 376,936 |
| Viper Energy Partners LP | | 1,880 | 53,542 |
| Woodside Energy Group Ltd. | | 16,747 | 363,960 |
| | | | | $3,000,381 |
| Energy - Integrated – 0.9% | |
| Eni S.p.A. | | 4,809 | $78,504 |
| Exxon Mobil Corp. (f) | | 2,188 | 231,600 |
| Galp Energia SGPS S.A., “B” | | 5,471 | 82,363 |
| Shell PLC | | 6,929 | 222,686 |
| TotalEnergies SE | | 9,610 | 643,615 |
| | | | | $1,258,768 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Common Stocks – continued |
| Energy - Renewables – 0.0% | |
| AES Corp. | | 2,196 | $32,720 |
| Nextracker, Inc. “A” (a) | | 384 | 13,348 |
| | | | | $46,068 |
| Engineering - Construction – 0.4% | |
| Comfort Systems USA, Inc. | | 411 | $74,740 |
| Corporacion Inmobiliaria Vesta S.A.B. de C.V., ADR | | 863 | 27,133 |
| EMCOR Group, Inc. | | 1,128 | 233,101 |
| Jacobs Solutions, Inc. | | 651 | 86,778 |
| Prologis Property Mexico S.A. de C.V., REIT | | 17,645 | 63,234 |
| Quanta Services, Inc. | | 202 | 33,758 |
| TopBuild Corp. (a) | | 286 | 65,426 |
| | | | | $584,170 |
| Entertainment – 0.2% | |
| CTS Eventim AG | | 1,090 | $65,798 |
| Spotify Technology S.A. (a) | | 779 | 128,348 |
| Vivid Seats, Inc., “A” (a) | | 4,390 | 25,813 |
| | | | | $219,959 |
| Food & Beverages – 2.3% | |
| Archer Daniels Midland Co. | | 5,383 | $385,261 |
| Britvic PLC | | 7,014 | 71,441 |
| Chocoladefabriken Lindt & Sprungli AG | | 31 | 343,660 |
| Coca-Cola Co. | | 3,754 | 212,063 |
| Coca-Cola Europacific Partners PLC | | 649 | 37,973 |
| Danone S.A. | | 789 | 46,998 |
| Duckhorn Portfolio, Inc. (a) | | 4,356 | 45,433 |
| General Mills, Inc. | | 423 | 27,597 |
| Hostess Brands, Inc. (a) | | 334 | 11,156 |
| Ingredion, Inc. | | 544 | 50,907 |
| Mondelez International, Inc. | | 503 | 33,304 |
| Morinaga & Co. Ltd. | | 3,100 | 112,012 |
| Nestle S.A. | | 9,042 | 975,486 |
| Nestle S.A., ADR | | 2,902 | 312,719 |
| Nomad Foods Ltd. (a) | | 4,100 | 56,662 |
| Oatly Group AB, ADR (a)(l) | | 9,375 | 4,551 |
| PepsiCo, Inc. | | 264 | 43,106 |
| S Foods, Inc. | | 3,800 | 80,104 |
| Toyo Suisan Kaisha Ltd. | | 5,800 | 267,026 |
| WK Kellogg Co. (a) | | 1,448 | 14,509 |
| | | | | $3,131,968 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Common Stocks – continued |
| Food & Drug Stores – 0.4% | |
| Albertsons Cos., Inc., “A” | | 1,633 | $35,436 |
| JM Holdings Co. Ltd. | | 5,500 | 75,194 |
| Kroger Co. (f) | | 5,750 | 260,878 |
| Patlac Corp. | | 2,300 | 74,413 |
| Seven & I Holdings Co. Ltd. | | 300 | 10,920 |
| Sundrug Co. Ltd. | | 3,800 | 102,987 |
| | | | | $559,828 |
| Forest & Paper Products – 0.3% | |
| Suzano Papel e Celulose S.A., ADR | | 5,646 | $57,702 |
| Weyerhaeuser Co., REIT | | 12,988 | 372,626 |
| | | | | $430,328 |
| Furniture & Appliances – 0.0% | |
| Howden Joinery Group PLC | | 7,102 | $55,038 |
| Gaming & Lodging – 0.7% | |
| Aristocrat Leisure Ltd. | | 1,689 | $41,904 |
| DraftKings, Inc. (a) | | 2,558 | 70,652 |
| Flutter Entertainment PLC (a) | | 1,401 | 220,435 |
| Genius Sports Ltd. (a) | | 6,177 | 30,144 |
| Hyatt Hotels Corp. | | 1,112 | 113,913 |
| International Game Technology PLC | | 3,067 | 77,963 |
| Marriott International, Inc., “A” | | 1,343 | 253,236 |
| MGM Resorts International | | 1,847 | 64,497 |
| Penn Entertainment, Inc. (a) | | 2,258 | 44,551 |
| Sands China Ltd. (a) | | 9,200 | 24,689 |
| Whitbread PLC | | 759 | 30,772 |
| | | | | $972,756 |
| General Merchandise – 0.2% | |
| Dollar General Corp. | | 389 | $46,307 |
| Dollarama, Inc. | | 2,305 | 157,407 |
| Five Below, Inc. (a) | | 379 | 65,938 |
| Ollie's Bargain Outlet Holdings, Inc. (a) | | 639 | 49,356 |
| | | | | $319,008 |
| Health Maintenance Organizations – 0.8% | |
| Cigna Group (f) | | 3,090 | $955,428 |
| Humana, Inc. | | 201 | 105,262 |
| | | | | $1,060,690 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Common Stocks – continued |
| Insurance – 4.3% | |
| AIA Group Ltd. | | 61,400 | $534,744 |
| American International Group, Inc. | | 7,787 | 477,421 |
| Ameriprise Financial, Inc. | | 2,413 | 759,057 |
| Aon PLC | | 1,559 | 482,355 |
| Arthur J. Gallagher & Co. | | 2,146 | 505,362 |
| Assurant, Inc. | | 731 | 108,846 |
| Beazley PLC | | 33,375 | 209,608 |
| Chubb Ltd. | | 252 | 54,084 |
| Cincinnati Financial Corp. | | 163 | 16,246 |
| CNO Financial Group, Inc. | | 1,881 | 43,602 |
| Corebridge Financial, Inc. | | 18,630 | 372,600 |
| Equitable Holdings, Inc. | | 23,122 | 614,352 |
| Everest Group Ltd. | | 116 | 45,892 |
| Hanover Insurance Group, Inc. | | 589 | 69,037 |
| Hartford Financial Services Group, Inc. | | 1,084 | 79,620 |
| Hiscox Ltd. | | 2,462 | 28,167 |
| Marsh & McLennan Cos., Inc. | | 1,790 | 339,473 |
| MetLife, Inc. (f) | | 4,864 | 291,889 |
| Progressive Corp. | | 3,227 | 510,156 |
| Selective Insurance Group, Inc. | | 365 | 38,000 |
| Steadfast Group Ltd. | | 15,651 | 54,147 |
| Voya Financial, Inc. | | 686 | 45,804 |
| Willis Towers Watson PLC | | 471 | 111,104 |
| Zurich Insurance Group AG | | 177 | 83,864 |
| | | | | $5,875,430 |
| Internet – 3.0% | |
| Alphabet, Inc., “A” (a)(s) | | 10,312 | $1,279,513 |
| Alphabet, Inc., “C” (a) | | 6,863 | 859,934 |
| Gartner, Inc. (a) | | 516 | 171,333 |
| MakeMyTrip Ltd. (a) | | 903 | 34,973 |
| Meta Platforms, Inc., “A” (a)(f) | | 4,623 | 1,392,771 |
| NAVER Corp. | | 1,182 | 165,723 |
| Tencent Holdings Ltd. | | 7,500 | 277,836 |
| | | | | $4,182,083 |
| Leisure & Toys – 0.4% | |
| Brunswick Corp. | | 1,596 | $110,874 |
| Corsair Gaming, Inc. (a) | | 1,279 | 16,358 |
| Electronic Arts, Inc. | | 462 | 57,191 |
| Funko, Inc., “A” (a) | | 3,259 | 25,127 |
| Hasbro, Inc. | | 685 | 30,928 |
| Hayward Holdings, Inc. (a) | | 3,167 | 33,254 |
| Mattel, Inc. (a) | | 1,913 | 36,500 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Common Stocks – continued |
| Leisure & Toys – continued | |
| Take-Two Interactive Software, Inc. (a) | | 875 | $117,031 |
| VTech Holdings Ltd. | | 17,200 | 100,221 |
| Yamaha Corp. | | 700 | 18,660 |
| | | | | $546,144 |
| Machinery & Tools – 2.8% | |
| AGCO Corp. (f) | | 4,927 | $564,930 |
| Assa Abloy AB | | 14,042 | 299,249 |
| Azbil Corp. | | 2,300 | 67,985 |
| Crane Co. | | 793 | 77,183 |
| Daikin Industries Ltd. | | 600 | 86,407 |
| Eaton Corp. PLC | | 1,530 | 318,102 |
| ESAB Corp. | | 583 | 36,904 |
| Flowserve Corp. | | 915 | 33,599 |
| GEA Group AG | | 11,780 | 401,728 |
| Illinois Tool Works, Inc. | | 988 | 221,431 |
| Ingersoll Rand, Inc. | | 976 | 59,224 |
| ITT, Inc. | | 738 | 68,892 |
| PACCAR, Inc. | | 705 | 58,184 |
| RB Global, Inc. | | 1,209 | 79,069 |
| RB Global, Inc. | | 6,242 | 408,481 |
| Regal Rexnord Corp. | | 712 | 84,308 |
| SIG Combibloc Group AG | | 4,711 | 104,014 |
| SMC Corp. | | 200 | 92,175 |
| Spirax-Sarco Engineering PLC | | 1,883 | 187,859 |
| Timken Co. | | 3,288 | 227,266 |
| Toyota Industries Corp. | | 900 | 66,884 |
| Wabtec Corp. | | 2,121 | 224,868 |
| Weir Group PLC | | 1,778 | 37,032 |
| | | | | $3,805,774 |
| Major Banks – 1.8% | |
| Bank of America Corp. | | 6,558 | $172,738 |
| Bank of Ireland Group PLC | | 31,446 | 281,157 |
| BNP Paribas | | 1,800 | 103,400 |
| DBS Group Holdings Ltd. | | 10,800 | 259,675 |
| JPMorgan Chase & Co. | | 4,717 | 655,946 |
| Mitsubishi UFJ Financial Group, Inc. | | 8,600 | 72,260 |
| Morgan Stanley | | 4,026 | 285,121 |
| NatWest Group PLC | | 106,942 | 232,541 |
| PNC Financial Services Group, Inc. | | 245 | 28,045 |
| Regions Financial Corp. | | 2,370 | 34,436 |
| Resona Holdings, Inc. | | 56,800 | 304,107 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Common Stocks – continued |
| Major Banks – continued | |
| UBS AG | | 3,096 | $72,223 |
| | | | | $2,501,649 |
| Medical & Health Technology & Services – 1.8% | |
| Cardinal Health, Inc. | | 3,772 | $343,252 |
| Cencora, Inc. | | 361 | 66,839 |
| Certara, Inc. (a) | | 3,050 | 37,180 |
| Fortrea Holdings, Inc. (a) | | 608 | 17,267 |
| HealthEquity, Inc. (a) | | 843 | 60,426 |
| ICON PLC (a) | | 1,089 | 265,672 |
| IDEXX Laboratories, Inc. (a) | | 212 | 84,688 |
| IQVIA Holdings, Inc. (a) | | 1,129 | 204,157 |
| Laboratory Corp. of America Holdings | | 153 | 30,559 |
| McKesson Corp. | | 2,705 | 1,231,749 |
| Universal Health Services, Inc. | | 374 | 47,083 |
| Veeva Systems, Inc. (a) | | 602 | 116,011 |
| | | | | $2,504,883 |
| Medical Equipment – 2.2% | |
| Agilent Technologies, Inc. | | 1,585 | $163,841 |
| Agiliti Health, Inc. (a) | | 1,579 | 8,890 |
| Align Technology, Inc. (a) | | 427 | 78,820 |
| Becton, Dickinson and Co. | | 131 | 33,114 |
| Boston Scientific Corp. (a) | | 5,892 | 301,611 |
| Bruker BioSciences Corp. | | 645 | 36,765 |
| ConvaTec Group PLC | | 16,460 | 40,959 |
| CryoPort, Inc. (a)(l) | | 1,998 | 19,381 |
| Eiken Chemical Co. Ltd. | | 7,500 | 73,846 |
| Envista Holdings Corp. (a) | | 3,333 | 77,559 |
| EssilorLuxottica | | 2,370 | 428,622 |
| Gerresheimer AG | | 1,628 | 151,415 |
| Hogy Medical Co. Ltd. | | 2,600 | 56,323 |
| Inari Medical, Inc. (a) | | 388 | 23,555 |
| JEOL Ltd. | | 2,900 | 81,845 |
| Maravai Lifesciences Holdings, Inc., “A” (a) | | 3,710 | 25,451 |
| Masimo Corp. (a) | | 778 | 63,119 |
| Medtronic PLC | | 548 | 38,667 |
| Nihon Kohden Corp. | | 2,400 | 56,638 |
| Olympus Corp. | | 900 | 12,063 |
| OptiNose, Inc. (a) | | 3,975 | 4,492 |
| Outset Medical, Inc. (a) | | 910 | 3,221 |
| PROCEPT BioRobotics Corp. (a)(l) | | 921 | 24,674 |
| QIAGEN N.V. (a) | | 6,606 | 244,820 |
| QuidelOrtho Corp. (a) | | 476 | 29,074 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Common Stocks – continued |
| Medical Equipment – continued | |
| Revvity, Inc. | | 221 | $18,310 |
| Shimadzu Corp. | | 7,400 | 174,793 |
| Shockwave Medical, Inc. (a) | | 252 | 51,977 |
| Smith & Nephew PLC | | 5,416 | 60,449 |
| Sotera Health Co. (a) | | 882 | 11,166 |
| STERIS PLC | | 1,137 | 238,747 |
| Teleflex, Inc. | | 115 | 21,246 |
| Terumo Corp. | | 1,600 | 43,618 |
| Thermo Fisher Scientific, Inc. (s) | | 314 | 139,658 |
| Waters Corp. (a) | | 259 | 61,779 |
| West Pharmaceutical Services, Inc. | | 202 | 64,295 |
| Zimmer Biomet Holdings, Inc. | | 355 | 37,066 |
| | | | | $3,001,869 |
| Metals & Mining – 0.4% | |
| Commercial Metals Co. | | 991 | $41,909 |
| Glencore PLC | | 52,007 | 275,067 |
| Kaiser Aluminum Corp. | | 259 | 14,711 |
| United States Steel Corp. | | 6,700 | 227,063 |
| | | | | $558,750 |
| Natural Gas - Distribution – 0.2% | |
| Atmos Energy Corp. | | 280 | $30,145 |
| China Resources Gas Group Ltd. | | 6,600 | 19,525 |
| DCC PLC | | 1,693 | 93,936 |
| Italgas S.p.A. | | 18,527 | 94,300 |
| New Jersey Resources Corp. | | 870 | 35,305 |
| ONE Gas, Inc. | | 707 | 42,703 |
| | | | | $315,914 |
| Natural Gas - Pipeline – 0.1% | |
| APA Group | | 3,887 | $20,417 |
| Plains GP Holdings LP | | 5,579 | 87,479 |
| Targa Resources Corp. | | 588 | 49,163 |
| | | | | $157,059 |
| Network & Telecom – 0.6% | |
| Equinix, Inc., REIT | | 333 | $242,970 |
| Fortinet, Inc. (a) | | 6,099 | 348,680 |
| Motorola Solutions, Inc. | | 173 | 48,174 |
| Qualcomm, Inc. | | 1,285 | 140,052 |
| | | | | $779,876 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Common Stocks – continued |
| Oil Services – 0.3% | |
| Cactus, Inc., “A” | | 897 | $42,105 |
| ChampionX Corp. | | 3,113 | 95,880 |
| Expro Group Holdings N.V. (a) | | 1,844 | 29,043 |
| Halliburton Co. | | 920 | 36,193 |
| Helmerich & Payne | | 1,208 | 47,800 |
| Schlumberger Ltd. | | 427 | 23,767 |
| TechnipFMC PLC (a) | | 5,882 | 126,581 |
| Tenaris S.A., ADR | | 2,378 | 74,479 |
| | | | | $475,848 |
| Other Banks & Diversified Financials – 2.7% | |
| AIB Group PLC | | 64,972 | $281,450 |
| Air Lease Corp. | | 1,533 | 53,088 |
| American Express Co. (f) | | 2,038 | 297,609 |
| Banc of California, Inc. | | 2,106 | 23,608 |
| Bank of Hawaii Corp. | | 520 | 25,683 |
| Brookline Bancorp, Inc. | | 3,559 | 28,970 |
| CaixaBank S.A. | | 40,276 | 163,432 |
| Cathay General Bancorp, Inc. | | 1,526 | 51,747 |
| Chiba Bank Ltd. | | 48,200 | 359,037 |
| Columbia Banking System, Inc. | | 3,723 | 73,231 |
| Credicorp Ltd. | | 1,517 | 189,564 |
| East West Bancorp, Inc. | | 1,567 | 84,022 |
| Element Fleet Management Corp. | | 2,572 | 34,794 |
| First Hawaiian, Inc. | | 1,784 | 31,987 |
| First Interstate BancSystem, Inc. | | 1,663 | 38,365 |
| Glacier Bancorp, Inc. | | 1,056 | 31,881 |
| HDFC Bank Ltd. | | 2,964 | 52,620 |
| HDFC Bank Ltd., ADR | | 5,512 | 311,704 |
| Herc Holdings, Inc. | | 295 | 31,503 |
| Julius Baer Group Ltd. | | 1,375 | 81,433 |
| M&T Bank Corp. | | 405 | 45,664 |
| Macquarie Group Ltd. | | 517 | 53,317 |
| Metropolitan Bank & Trust Co. | | 99,617 | 91,822 |
| Moody's Corp. | | 66 | 20,328 |
| Northern Trust Corp. | | 979 | 64,526 |
| Pacific Premier Bancorp, Inc. | | 2,255 | 42,845 |
| Prosperity Bancshares, Inc. | | 1,290 | 70,357 |
| Sandy Spring Bancorp, Inc. | | 855 | 17,485 |
| SLM Corp. | | 13,198 | 171,574 |
| Texas Capital Bancshares, Inc. (a) | | 590 | 32,485 |
| UMB Financial Corp. | | 322 | 20,196 |
| United Community Bank, Inc. | | 1,558 | 34,416 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Common Stocks – continued |
| Other Banks & Diversified Financials – continued | |
| Visa, Inc., “A” (s) | | 3,267 | $768,072 |
| Wintrust Financial Corp. | | 304 | 22,706 |
| Zions Bancorporation NA | | 668 | 20,608 |
| | | | | $3,722,129 |
| Pharmaceuticals – 3.3% | |
| AbbVie, Inc. | | 244 | $34,448 |
| ACELYRIN, Inc. (a) | | 858 | 8,739 |
| Amicus Therapeutics, Inc. (a) | | 2,200 | 24,134 |
| Annexon, Inc. (a) | | 1,085 | 2,463 |
| Argenx SE, ADR (a) | | 113 | 53,061 |
| Ascendis Pharma, ADR (a) | | 134 | 11,968 |
| Bayer AG | | 4,693 | 201,680 |
| Bristol-Myers Squibb Co. | | 3,424 | 176,439 |
| Collegium Pharmaceutical, Inc. (a) | | 946 | 20,585 |
| Eli Lilly & Co. (f) | | 681 | 377,226 |
| Harmony Biosciences Holdings (a) | | 697 | 16,407 |
| Incyte Corp. (a) | | 936 | 50,479 |
| Jazz Pharmaceuticals PLC (a) | | 413 | 52,459 |
| Johnson & Johnson | | 3,352 | 497,236 |
| Kymera Therapeutics, Inc. (a) | | 551 | 6,430 |
| Kyowa Kirin Co. Ltd. | | 2,900 | 45,735 |
| Legend Biotech Corp., ADR (a) | | 1,713 | 113,178 |
| Merck & Co., Inc. (f) | | 2,463 | 252,950 |
| Merck KGaA | | 455 | 68,532 |
| Neurocrine Biosciences, Inc. (a) | | 239 | 26,515 |
| Novartis AG | | 2,091 | 195,213 |
| Novo Nordisk A.S., “B” | | 2,133 | 205,697 |
| Organon & Co. | | 14,268 | 211,024 |
| Pfizer, Inc. (s) | | 10,445 | 319,199 |
| Roche Holding AG | | 2,937 | 758,766 |
| Sanofi | | 538 | 49,101 |
| Santen Pharmaceutical Co. Ltd. | | 3,400 | 29,453 |
| SpringWorks Therapeutics, Inc. (a) | | 526 | 12,045 |
| Suzuken Co. Ltd./Aichi Japan | | 3,200 | 97,860 |
| Vertex Pharmaceuticals, Inc. (a) | | 1,450 | 525,060 |
| Zoetis, Inc. | | 718 | 112,726 |
| | | | | $4,556,808 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Common Stocks – continued |
| Pollution Control – 0.2% | |
| GFL Environmental, Inc. | | 4,180 | $120,468 |
| Republic Services, Inc. | | 237 | 35,192 |
| Waste Connections, Inc. | | 657 | 85,081 |
| | | | | $240,741 |
| Precious Metals & Minerals – 0.8% | |
| Agnico Eagle Mines Ltd. | | 1,783 | $83,625 |
| Agnico Eagle Mines Ltd. | | 1,398 | 65,580 |
| Franco-Nevada Corp. | | 6,272 | 762,997 |
| Wheaton Precious Metals Corp. | | 4,567 | 192,889 |
| | | | | $1,105,091 |
| Printing & Publishing – 0.1% | |
| Wolters Kluwer N.V. | | 1,229 | $158,035 |
| Railroad & Shipping – 0.3% | |
| Canadian Pacific Kansas City Ltd. | | 455 | $32,291 |
| CSX Corp. | | 5,391 | 160,921 |
| Norfolk Southern Corp. | | 155 | 29,573 |
| Sankyu, Inc. | | 2,100 | 63,073 |
| Union Pacific Corp. | | 781 | 162,143 |
| | | | | $448,001 |
| Real Estate – 1.1% | |
| Brixmor Property Group, Inc., REIT | | 3,630 | $75,468 |
| Broadstone Net Lease, Inc., REIT | | 3,525 | 49,879 |
| Capland Ascendas, REIT | | 35,902 | 68,177 |
| Cushman & Wakefield PLC (a) | | 2,851 | 21,012 |
| Douglas Emmett, Inc., REIT | | 801 | 8,979 |
| Empire State Realty Trust, REIT, “A” | | 5,344 | 43,233 |
| Extra Space Storage, Inc., REIT | | 587 | 60,807 |
| Host Hotels & Resorts, Inc., REIT | | 1,928 | 29,845 |
| Jones Lang LaSalle, Inc. (a) | | 256 | 32,748 |
| LEG Immobilien SE (a) | | 1,076 | 66,990 |
| LXP Industrial Trust, REIT | | 4,244 | 33,570 |
| National Storage Affiliates Trust, REIT | | 1,298 | 37,019 |
| Phillips Edison & Co., REIT | | 2,105 | 74,328 |
| Prologis, Inc., REIT | | 2,613 | 263,260 |
| Simon Property Group, Inc., REIT | | 2,017 | 221,648 |
| Spirit Realty Capital, Inc., REIT | | 633 | 22,782 |
| STAG Industrial, Inc., REIT | | 2,469 | 82,020 |
| Sun Communities, Inc., REIT | | 334 | 37,154 |
| TAG Immobilien AG (a) | | 16,914 | 184,068 |
| Two Harbors Investment Corp., REIT | | 2,300 | 26,703 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Common Stocks – continued |
| Real Estate – continued | |
| VICI Properties, Inc., REIT | | 1,866 | $52,061 |
| W.P. Carey, Inc., REIT | | 706 | 37,877 |
| | | | | $1,529,628 |
| Restaurants – 0.4% | |
| Aramark | | 1,129 | $30,404 |
| Chipotle Mexican Grill, Inc., “A” (a) | | 54 | 104,879 |
| Greggs PLC | | 3,576 | 103,011 |
| Jack in the Box, Inc. | | 367 | 23,187 |
| Sodexo | | 995 | 105,330 |
| Starbucks Corp. | | 342 | 31,546 |
| U.S. Foods Holding Corp. (a) | | 2,345 | 91,314 |
| Wendy's Co. | | 2,853 | 54,264 |
| Yum China Holdings, Inc. | | 641 | 33,691 |
| | | | | $577,626 |
| Specialty Chemicals – 2.1% | |
| Air Products & Chemicals, Inc. | | 487 | $137,548 |
| Akzo Nobel N.V. | | 423 | 28,409 |
| Ashland, Inc. | | 1,491 | 114,255 |
| Axalta Coating Systems Ltd. (a) | | 3,907 | 102,481 |
| Chemours Co. | | 10,629 | 256,265 |
| Corteva, Inc. | | 1,189 | 57,238 |
| Croda International PLC | | 2,034 | 108,234 |
| Dow, Inc. | | 555 | 26,829 |
| DuPont de Nemours, Inc. | | 1,236 | 90,080 |
| Kansai Paint Co. Ltd. | | 5,600 | 82,136 |
| Linde PLC | | 3,329 | 1,272,211 |
| Nitto Denko Corp. | | 1,000 | 64,838 |
| Novozymes A/S | | 2,060 | 92,461 |
| Quaker Chemical Corp. | | 187 | 26,876 |
| Sika AG | | 1,461 | 348,366 |
| Symrise AG | | 606 | 61,684 |
| | | | | $2,869,911 |
| Specialty Stores – 2.7% | |
| ACV Auctions, Inc. (a) | | 2,229 | $29,713 |
| Amazon.com, Inc. (a)(f) | | 10,348 | 1,377,215 |
| AutoZone, Inc. (a) | | 176 | 435,975 |
| Builders FirstSource, Inc. (a) | | 3,174 | 344,443 |
| Chewy, Inc., “A” (a) | | 1,801 | 34,813 |
| Costco Wholesale Corp. (f) | | 214 | 118,222 |
| Home Depot, Inc. (f) | | 176 | 50,106 |
| Lowe's Cos., Inc. | | 1,567 | 298,623 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Common Stocks – continued |
| Specialty Stores – continued | |
| Lululemon Athletica, Inc. (a) | | 433 | $170,377 |
| Monro Muffler Brake, Inc. | | 745 | 18,491 |
| O'Reilly Automotive, Inc. (a) | | 619 | 575,942 |
| Ross Stores, Inc. | | 561 | 65,059 |
| Ryohin Keikaku Co. Ltd. | | 3,800 | 53,186 |
| Target Corp. | | 182 | 20,164 |
| Ulta Beauty, Inc. (a) | | 180 | 68,636 |
| ZOZO, Inc. | | 3,300 | 62,652 |
| Zumiez, Inc. (a) | | 1,605 | 26,370 |
| | | | | $3,749,987 |
| Telecommunications - Wireless – 0.3% | |
| Advanced Info Service Public Co. Ltd. | | 6,500 | $39,786 |
| Cellnex Telecom S.A. | | 3,406 | 100,393 |
| Etihad Etisalat Co. | | 6,199 | 76,174 |
| Infrastrutture Wireless Italiane S.p.A. | | 8,471 | 92,747 |
| KDDI Corp. | | 1,600 | 47,730 |
| Liberty Broadband Corp. (a) | | 367 | 30,575 |
| SBA Communications Corp., REIT | | 257 | 53,618 |
| SoftBank Group Corp. | | 500 | 20,512 |
| T-Mobile USA, Inc. | | 70 | 10,070 |
| | | | | $471,605 |
| Telephone Services – 0.2% | |
| AT&T, Inc. (f) | | 15,720 | $242,088 |
| Hellenic Telecommunications Organization S.A. | | 1,736 | 24,302 |
| | | | | $266,390 |
| Tobacco – 0.5% | |
| Altria Group, Inc. | | 13,484 | $541,652 |
| British American Tobacco PLC | | 2,929 | 87,364 |
| Philip Morris International, Inc. (f) | | 284 | 25,321 |
| | | | | $654,337 |
| Trucking – 0.4% | |
| Knight-Swift Transportation Holdings, Inc. | | 1,550 | $75,780 |
| RXO, Inc. (a) | | 2,193 | 38,399 |
| Schneider National, Inc. | | 1,665 | 42,175 |
| Seino Holdings Co. Ltd. | | 9,200 | 133,628 |
| SG Holdings Co. Ltd. | | 3,800 | 53,807 |
| XPO Logistics, Inc. (a) | | 1,688 | 127,967 |
| Yamato Holdings Co. Ltd. | | 2,800 | 46,706 |
| | | | | $518,462 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Common Stocks – continued |
| Utilities - Electric Power – 2.0% | |
| Alliant Energy Corp. | | 480 | $23,419 |
| Black Hills Corp. | | 928 | 44,869 |
| CenterPoint Energy, Inc. | | 1,494 | 40,159 |
| CLP Holdings Ltd. | | 3,500 | 25,688 |
| CMS Energy Corp. | | 1,111 | 60,372 |
| Dominion Energy, Inc. (f) | | 6,317 | 254,701 |
| Duke Energy Corp. (f) | | 3,660 | 325,337 |
| E.ON SE | | 3,358 | 39,866 |
| Edison International | | 3,416 | 215,413 |
| Eversource Energy | | 488 | 26,249 |
| Iberdrola S.A. | | 6,708 | 74,755 |
| NorthWestern Corp. | | 1,008 | 48,394 |
| NRG Energy, Inc. | | 2,412 | 102,221 |
| PG&E Corp. (a) | | 23,222 | 378,519 |
| Pinnacle West Capital Corp. | | 572 | 42,431 |
| Portland General Electric Co. | | 1,448 | 57,949 |
| PPL Corp. | | 779 | 19,140 |
| Public Service Enterprise Group, Inc. | | 852 | 52,526 |
| Sempra Energy | | 601 | 42,088 |
| Southern Co. | | 4,485 | 301,840 |
| Vistra Corp. | | 19,630 | 642,294 |
| | | | | $2,818,230 |
| Total Common Stocks (Identified Cost, $76,173,868) | | $99,870,789 |
| Bonds – 18.9% |
| Aerospace & Defense – 0.4% |
| Boeing Co., 2.196%, 2/04/2026 | | $ | 65,000 | $59,724 |
| Boeing Co., 5.15%, 5/01/2030 | | | 42,000 | 39,352 |
| Boeing Co., 5.805%, 5/01/2050 | | | 186,000 | 160,128 |
| General Dynamics Corp., 3.625%, 4/01/2030 | | | 96,000 | 85,375 |
| L3 Harris Technologies, Inc., 5.4%, 1/15/2027 | | | 142,000 | 139,456 |
| L3 Harris Technologies, Inc., 5.4%, 7/31/2033 | | | 62,000 | 57,934 |
| | | | | $541,969 |
| Apparel Manufacturers – 0.0% |
| Tapestry, Inc., 4.125%, 7/15/2027 | | $ | 52,000 | $47,099 |
| Tapestry, Inc., 3.05%, 3/15/2032 | | | 37,000 | 26,547 |
| | | | | $73,646 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Asset-Backed & Securitized – 0.7% |
| 3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.02%, 11/15/2054 (i) | | $ | 986,481 | $48,243 |
| ACREC 2021-FL1 Ltd., “A”, FLR, 6.599% ((SOFR - 1mo. + 0.11448%) + 1.15%), 10/16/2036 (n) | | | 108,179 | 106,270 |
| ARI Fleet Lease Trust, 2023-A, “A2”, 5.41%, 2/17/2032 (n) | | | 100,000 | 99,063 |
| BDS 2021-FL7 Ltd., “B”, FLR, 6.949% ((SOFR - 1mo. + 0.11448%) + 1.5%), 6/16/2036 (n) | | | 100,000 | 97,762 |
| Benchmark 2021-B27 Mortgage Trust, “XA”, 1.262%, 7/15/2054 (i) | | | 1,214,337 | 78,235 |
| KREF 2018-FT1 Ltd., “A”, FLR, 6.52% ((SOFR - 1mo. + 0.11448%) + 1.07%), 2/15/2039 (n) | | | 100,000 | 97,404 |
| KREF 2018-FT1 Ltd., “AS”, FLR, 6.75% ((SOFR - 1mo. + 0.11448%) + 1.3%), 2/15/2039 (n) | | | 100,000 | 93,570 |
| LAD Auto Receivables Trust, 2023-2A, “A2”, 5.93%, 6/15/2027 (n) | | | 84,601 | 84,280 |
| PFP III 2021-8 Ltd., “A”, FLR, 6.449% ((SOFR - 1mo. + 0.11448%) + 1%), 8/09/2037 (n) | | | 39,403 | 38,747 |
| PFP III 2021-8 Ltd., “AS”, FLR, 6.699% ((SOFR - 1mo. + 0.11448%) + 1.25%), 8/09/2037 (n) | | | 104,000 | 100,243 |
| SBNA Auto Lease Trust, 2023-A, “A2”, 6.27%, 4/19/2026 (n) | | | 59,000 | 59,021 |
| Toyota Lease Owner Trust, 2023-A, “A2”, 5.3%, 8/20/2025 (n) | | | 25,109 | 24,964 |
| | | | | $927,802 |
| Automotive – 0.0% |
| Hyundai Capital America, 6.375%, 4/08/2030 (n) | | $ | 60,000 | $59,064 |
| Broadcasting – 0.4% |
| Activision Blizzard, Inc., 2.5%, 9/15/2050 | | $ | 113,000 | $63,169 |
| Discovery Communications LLC, 4%, 9/15/2055 | | | 65,000 | 37,335 |
| Walt Disney Co., 3.35%, 3/24/2025 | | | 80,000 | 77,494 |
| Walt Disney Co., 3.5%, 5/13/2040 | | | 141,000 | 101,357 |
| Walt Disney Co., 3.8%, 5/13/2060 | | | 150,000 | 97,813 |
| WarnerMedia Holdings, Inc., 4.279%, 3/15/2032 | | | 94,000 | 77,937 |
| WarnerMedia Holdings, Inc., 5.391%, 3/15/2062 | | | 60,000 | 42,022 |
| | | | | $497,127 |
| Brokerage & Asset Managers – 0.3% |
| Brookfield Finance, Inc., 2.34%, 1/30/2032 | | $ | 106,000 | $77,172 |
| Charles Schwab Corp., 5.643% to 5/19/2028, FLR (SOFR - 1 day + 2.210%) to 5/19/2029 | | | 53,000 | 51,020 |
| Charles Schwab Corp., 1.95%, 12/01/2031 | | | 53,000 | 37,719 |
| Charles Schwab Corp., 6.136% to 8/24/2033, FLR (SOFR - 1 day+ 2.01%) to 8/24/2034 | | | 62,000 | 58,069 |
| LPL Holdings, Inc., 4.625%, 11/15/2027 (n) | | | 120,000 | 109,734 |
| LPL Holdings, Inc., 4.375%, 5/15/2031 (n) | | | 84,000 | 70,353 |
| | | | | $404,067 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Building – 0.1% |
| Vulcan Materials Co., 3.5%, 6/01/2030 | | $ | 153,000 | $130,554 |
| Vulcan Materials Co., 4.5%, 6/15/2047 | | | 34,000 | 25,944 |
| | | | | $156,498 |
| Business Services – 0.4% |
| Equifax, Inc., 3.1%, 5/15/2030 | | $ | 100,000 | $82,094 |
| Equifax, Inc., 2.35%, 9/15/2031 | | | 66,000 | 49,092 |
| Fiserv, Inc., 4.4%, 7/01/2049 | | | 134,000 | 97,221 |
| Mastercard, Inc., 3.85%, 3/26/2050 | | | 143,000 | 104,485 |
| Visa, Inc., 2.05%, 4/15/2030 | | | 131,000 | 105,974 |
| Visa, Inc., 2.7%, 4/15/2040 | | | 88,000 | 58,869 |
| Visa, Inc., 2%, 8/15/2050 | | | 107,000 | 54,640 |
| | | | | $552,375 |
| Cable TV – 0.3% |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | | $ | 93,000 | $84,054 |
| Comcast Corp., 4.8%, 5/15/2033 | | | 98,000 | 89,383 |
| Comcast Corp., 3.75%, 4/01/2040 | | | 65,000 | 47,768 |
| Comcast Corp., 5.35%, 5/15/2053 | | | 98,000 | 84,313 |
| Cox Communications, Inc., 5.7%, 6/15/2033 (n) | | | 112,000 | 105,318 |
| | | | | $410,836 |
| Chemicals – 0.1% |
| RPM International, Inc., 4.55%, 3/01/2029 | | $ | 105,000 | $96,653 |
| Computer Software – 0.2% |
| Cisco Systems, Inc., 5.5%, 1/15/2040 | | $ | 53,000 | $50,296 |
| Microsoft Corp., 2.525%, 6/01/2050 | | | 206,000 | 117,919 |
| Oracle Corp., 5.55%, 2/06/2053 | | | 76,000 | 63,140 |
| | | | | $231,355 |
| Computer Software - Systems – 0.2% |
| Apple, Inc., 1.7%, 8/05/2031 | | $ | 288,000 | $221,656 |
| Apple, Inc., 2.65%, 5/11/2050 | | | 196,000 | 113,455 |
| | | | | $335,111 |
| Conglomerates – 0.2% |
| nVent Finance S.à r.l., 5.65%, 5/15/2033 | | $ | 87,000 | $78,982 |
| Regal Rexnord Corp., 6.05%, 4/15/2028 (n) | | | 79,000 | 75,571 |
| Regal Rexnord Corp., 6.3%, 2/15/2030 (n) | | | 68,000 | 63,987 |
| Westinghouse Air Brake Technologies Corp., 4.7%, 9/15/2028 | | | 141,000 | 131,468 |
| | | | | $350,008 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Consumer Products – 0.3% |
| Kenvue, Inc., 5%, 3/22/2030 | | $ | 112,000 | $107,776 |
| Kenvue, Inc., 5.1%, 3/22/2043 | | | 71,000 | 62,812 |
| Kenvue, Inc., 5.05%, 3/22/2053 | | | 75,000 | 64,439 |
| Mattel, Inc., 3.75%, 4/01/2029 (n) | | | 157,000 | 134,304 |
| | | | | $369,331 |
| Consumer Services – 0.2% |
| Booking Holdings, Inc., 3.55%, 3/15/2028 | | $ | 84,000 | $77,677 |
| Booking Holdings, Inc., 4.625%, 4/13/2030 | | | 56,000 | 52,174 |
| CBRE Group, Inc., 5.95%, 8/15/2034 | | | 177,000 | 160,926 |
| | | | | $290,777 |
| Containers – 0.0% |
| Berry Global, Inc., 5.5%, 4/15/2028 (n) | | $ | 63,000 | $60,289 |
| Electronics – 0.2% |
| Intel Corp., 5.2%, 2/10/2033 | | $ | 98,000 | $92,519 |
| Intel Corp., 5.7%, 2/10/2053 | | | 114,000 | 102,022 |
| Lam Research Corp., 1.9%, 6/15/2030 | | | 32,000 | 25,180 |
| Lam Research Corp., 4.875%, 3/15/2049 | | | 122,000 | 100,631 |
| | | | | $320,352 |
| Emerging Market Sovereign – 0.1% |
| United Mexican States, 6.338%, 5/04/2053 | | $ | 200,000 | $174,844 |
| Energy - Independent – 0.2% |
| EQT Corp., 3.625%, 5/15/2031 (n) | | $ | 65,000 | $53,521 |
| Occidental Petroleum Corp., 6.125%, 1/01/2031 | | | 53,000 | 51,832 |
| Occidental Petroleum Corp., 4.4%, 4/15/2046 | | | 51,000 | 36,382 |
| Pioneer Natural Resources Co., 1.9%, 8/15/2030 | | | 102,000 | 79,695 |
| | | | | $221,430 |
| Energy - Integrated – 0.3% |
| BP Capital Markets America, Inc., 1.749%, 8/10/2030 | | $ | 84,000 | $65,066 |
| BP Capital Markets America, Inc., 4.812%, 2/13/2033 | | | 78,000 | 71,268 |
| BP Capital Markets America, Inc., 3.001%, 3/17/2052 | | | 91,000 | 52,860 |
| Eni S.p.A., 4.75%, 9/12/2028 (n) | | | 200,000 | 188,872 |
| | | | | $378,066 |
| Financial Institutions – 0.2% |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.65%, 7/21/2027 | | $ | 150,000 | $134,655 |
| Avolon Holdings Funding Ltd., 4.25%, 4/15/2026 (n) | | | 43,000 | 40,136 |
| Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | | | 94,000 | 87,619 |
| | | | | $262,410 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Food & Beverages – 1.1% |
| Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | | $ | 185,000 | $167,835 |
| Bacardi Ltd., 5.15%, 5/15/2038 (n) | | | 214,000 | 179,558 |
| Constellation Brands, Inc., 2.25%, 8/01/2031 | | | 51,000 | 38,755 |
| Constellation Brands, Inc., 4.1%, 2/15/2048 | | | 172,000 | 121,623 |
| Diageo Capital PLC, 5.625%, 10/05/2033 | | | 205,000 | 201,239 |
| JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029 | | | 69,000 | 56,809 |
| JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.75%, 12/01/2031 | | | 47,000 | 36,522 |
| JM Smucker Co., 6.5%, 11/15/2053 | | | 104,000 | 98,059 |
| Kraft Heinz Foods Co., 4.875%, 10/01/2049 | | | 90,000 | 70,461 |
| Kraft Heinz Foods Co., 5.5%, 6/01/2050 | | | 98,000 | 84,110 |
| Mars, Inc., 4.55%, 4/20/2028 (n) | | | 150,000 | 144,142 |
| Mars, Inc., 4.75%, 4/20/2033 (n) | | | 130,000 | 119,344 |
| SYSCO Corp., 2.45%, 12/14/2031 | | | 226,000 | 172,428 |
| SYSCO Corp., 4.45%, 3/15/2048 | | | 52,000 | 38,500 |
| | | | | $1,529,385 |
| Gaming & Lodging – 0.2% |
| Marriott International, Inc., 2.85%, 4/15/2031 | | $ | 157,000 | $123,377 |
| Marriott International, Inc., 3.5%, 10/15/2032 | | | 128,000 | 101,619 |
| VICI Properties LP/VICI Note Co., Inc., 4.25%, 12/01/2026 (n) | | | 47,000 | 43,377 |
| | | | | $268,373 |
| Industrial – 0.1% |
| Trustees of the University of Pennsylvania, 2.396%, 10/01/2050 | | $ | 234,000 | $125,143 |
| Insurance – 0.2% |
| Corebridge Financial, Inc., 3.9%, 4/05/2032 | | $ | 115,000 | $94,072 |
| Corebridge Financial, Inc., 4.35%, 4/05/2042 | | | 119,000 | 86,282 |
| Equitable Holdings, Inc., 5.594%, 1/11/2033 | | | 112,000 | 103,128 |
| | | | | $283,482 |
| Insurance - Health – 0.4% |
| Centene Corp., 2.625%, 8/01/2031 | | $ | 109,000 | $81,859 |
| Humana, Inc., 4.95%, 10/01/2044 | | | 100,000 | 79,948 |
| Humana, Inc., 5.5%, 3/15/2053 | | | 17,000 | 14,643 |
| UnitedHealth Group, Inc., 5.3%, 2/15/2030 | | | 90,000 | 88,347 |
| UnitedHealth Group, Inc., 2.3%, 5/15/2031 | | | 144,000 | 113,307 |
| UnitedHealth Group, Inc., 4.625%, 7/15/2035 | | | 64,000 | 56,897 |
| UnitedHealth Group, Inc., 5.875%, 2/15/2053 | | | 65,000 | 61,470 |
| | | | | $496,471 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Insurance - Property & Casualty – 0.4% |
| American International Group, Inc., 5.125%, 3/27/2033 | | $ | 87,000 | $79,114 |
| Aon Corp./Aon Global Holdings PLC, 2.05%, 8/23/2031 | | | 75,000 | 55,521 |
| Arthur J. Gallagher & Co., 6.5%, 2/15/2034 (w) | | | 83,000 | 82,379 |
| Arthur J. Gallagher & Co., 6.75%, 2/15/2054 (w) | | | 63,000 | 61,904 |
| Fairfax Financial Holdings Ltd., 3.375%, 3/03/2031 | | | 76,000 | 61,192 |
| Fairfax Financial Holdings Ltd., 5.625%, 8/16/2032 | | | 53,000 | 48,968 |
| RenaissanceRe Holdings Ltd., 5.75%, 6/05/2033 | | | 115,000 | 105,796 |
| | | | | $494,874 |
| International Market Quasi-Sovereign – 0.2% |
| NBN Co. Ltd. (Commonwealth of Australia), 5.75%, 10/06/2028 (n) | | $ | 200,000 | $200,092 |
| Ontario Teachers' Cadillac Fairview Properties, 2.5%, 10/15/2031 (n) | | | 200,000 | 147,744 |
| | | | | $347,836 |
| International Market Sovereign – 0.1% |
| Government of Bermuda, 5%, 7/15/2032 (n) | | $ | 200,000 | $182,014 |
| Machinery & Tools – 0.3% |
| Ashtead Capital, Inc., 5.55%, 5/30/2033 (n) | | $ | 200,000 | $179,226 |
| CNH Industrial Capital LLC, 5.5%, 1/12/2029 | | | 101,000 | 97,898 |
| CNH Industrial N.V., 3.85%, 11/15/2027 | | | 147,000 | 135,471 |
| | | | | $412,595 |
| Major Banks – 3.6% |
| Bank of America Corp., 4.376% to 4/27/2027, FLR (SOFR - 1 day + 1.58%) to 4/27/2028 | | $ | 86,000 | $80,280 |
| Bank of America Corp., 3.419% to 12/20/2027, FLR ((SOFR - 3mo. + 0.26161%) + 1.04%) to 12/20/2028 | | | 168,000 | 149,542 |
| Bank of America Corp., 5.819% to 9/15/2028, FLR (SOFR - 1 day + 1.57%) to 9/15/2029 | | | 106,000 | 103,215 |
| Bank of America Corp., 2.687% to 4/22/2031, FLR (SOFR - 1 day + 1.32%) to 4/22/2032 | | | 204,000 | 156,417 |
| Bank of America Corp., 5.872% to 9/15/2033, FLR (SOFR - 1 day + 1.84%) to 9/15/2034 | | | 104,000 | 97,934 |
| Bank of New York Mellon Corp., 5.802% to 10/25/2027, FLR (SOFR - 1 day + 1.802%) to 10/25/2028 | | | 41,000 | 40,471 |
| Bank of New York Mellon Corp., 5.834% to 10/25/2032, FLR (SOFR - 1 day + 2.074%) to 10/25/2033 | | | 40,000 | 38,313 |
| Barclays PLC, 2.894% to 11/24/2031, FLR (CMT - 1yr. + 1.3%) to 11/24/2032 | | | 200,000 | 146,034 |
| Capital One Financial Corp., 6.312% to 6/08/2028, FLR (SOFR - 1 day + 2.640%) to 6/08/2029 | | | 54,000 | 51,704 |
| Capital One Financial Corp., 6.377% to 6/08/2033, FLR (SOFR - 1 day + 2.860%) to 6/08/2034 | | | 24,000 | 21,886 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Major Banks – continued |
| Commonwealth Bank of Australia, 3.305%, 3/11/2041 (n) | | $ | 200,000 | $122,014 |
| Credit Agricole S.A., 1.247% to 1/26/2026, FLR (SOFR - 1 day + 0.89162%) to 1/26/2027 (n) | | | 250,000 | 222,928 |
| Goldman Sachs Group, Inc., 2.64% to 2/24/2027, FLR (SOFR - 1 day + 1.114%) to 2/24/2028 | | | 92,000 | 81,498 |
| HSBC Holdings PLC, 2.357% to 8/18/2030, FLR (SOFR - 1 day + 1.947%) to 8/18/2031 | | | 200,000 | 150,743 |
| Huntington Bancshares, Inc., 6.208% to 8/21/2028, FLR (SOFR - 1 day + 2.02%) to 8/21/2029 | | | 83,000 | 79,787 |
| JPMorgan Chase & Co., 6.07% to 10/22/2026, FLR (SOFR - 1 day + 1.33%) to 10/21/2027 | | | 132,000 | 131,721 |
| JPMorgan Chase & Co., 3.782% to 2/01/2027, FLR ((SOFR - 3mo. + 0.26161%) + 1.337%) to 2/01/2028 | | | 165,000 | 153,087 |
| JPMorgan Chase & Co., 2.545% to 11/08/2031, FLR (SOFR - 1 day + 1.18%) to 11/08/2032 | | | 295,000 | 223,509 |
| Mitsubishi UFJ Financial Group, Inc., 1.64% to 10/13/2026, FLR (CMT - 1yr. + 0.67%) to 10/13/2027 | | | 200,000 | 175,443 |
| Mitsubishi UFJ Financial Group, Inc., 2.494% to 10/13/2031, FLR (CMT - 1yr. + 0.97%) to 10/13/2032 | | | 200,000 | 150,446 |
| Morgan Stanley, 3.125%, 7/27/2026 | | | 82,000 | 75,862 |
| Morgan Stanley, 5.449% to 7/20/2028, FLR (SOFR - 1 day + 1.63%) to 7/20/2029 | | | 48,000 | 46,164 |
| Morgan Stanley, 2.699% to 1/22/2030, FLR (SOFR - 1 day + 1.143%) to 1/22/2031 | | | 100,000 | 80,348 |
| Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR - 1 day + 3.12%) to 4/01/2031 | | | 155,000 | 131,235 |
| Morgan Stanley, 5.424% to 7/21/2033, FLR (SOFR - 1 day + 1.88%) to 7/21/2034 | | | 55,000 | 50,197 |
| NatWest Group PLC, 5.847% to 3/02/2026, FLR (CMT - 1yr. + 1.35%) to 3/02/2027 | | | 200,000 | 196,652 |
| Nordea Bank Abp, 1.5%, 9/30/2026 (n) | | | 263,000 | 230,648 |
| Royal Bank of Canada, 2.3%, 11/03/2031 | | | 138,000 | 103,905 |
| Royal Bank of Canada, 5%, 2/01/2033 | | | 70,000 | 63,288 |
| Standard Chartered PLC, 6.187%, 7/06/2027 (n) | | | 200,000 | 198,209 |
| Sumitomo Mitsui Financial Group, Inc., 1.71%, 1/12/2031 | | | 200,000 | 145,279 |
| Sumitomo Mitsui Trust Bank Ltd., 5.65%, 3/09/2026 (n) | | | 200,000 | 198,454 |
| Toronto-Dominion Bank, 4.108%, 6/08/2027 | | | 57,000 | 53,439 |
| Toronto-Dominion Bank, 4.693%, 9/15/2027 | | | 117,000 | 111,425 |
| Toronto-Dominion Bank, 2%, 9/10/2031 | | | 106,000 | 78,297 |
| UBS Group AG, 3.126% to 8/13/2029, FLR (LIBOR - 3mo. + 1.468%) to 8/13/2030 (n) | | | 200,000 | 165,343 |
| UBS Group AG, 3.179% to 2/11/2042, FLR (CMT - 1yr. + 1.1%) to 2/11/2043 (n) | | | 200,000 | 123,849 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Major Banks – continued |
| UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n) | | $ | 350,000 | $320,786 |
| Wells Fargo & Co., 3.908% to 4/25/2025, FLR (SOFR - 1 day + 1.32%) to 4/25/2026 | | | 35,000 | 33,747 |
| Wells Fargo & Co., 4.54% to 8/15/2025, FLR (SOFR - 1 day + 1.56%) to 8/15/2026 | | | 50,000 | 48,455 |
| Wells Fargo & Co., 5.574% to 7/25/2028, FLR (SOFR - 1 day + 1.74%) to 7/25/2029 | | | 99,000 | 95,464 |
| Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033 | | | 82,000 | 64,564 |
| | | | | $4,992,582 |
| Medical & Health Technology & Services – 0.7% |
| Alcon, Inc., 2.75%, 9/23/2026 (n) | | $ | 200,000 | $183,024 |
| Becton, Dickinson and Co., 2.823%, 5/20/2030 | | | 48,000 | 39,535 |
| Becton, Dickinson and Co., 4.298%, 8/22/2032 | | | 60,000 | 52,700 |
| CVS Health Corp., 5%, 2/20/2026 | | | 83,000 | 81,425 |
| CVS Health Corp., 5.625%, 2/21/2053 | | | 104,000 | 88,132 |
| HCA, Inc., 5.2%, 6/01/2028 | | | 69,000 | 65,696 |
| HCA, Inc., 5.875%, 2/01/2029 | | | 27,000 | 26,158 |
| Marin General Hospital, 7.242%, 8/01/2045 | | | 59,000 | 51,513 |
| Quest Diagnostics, Inc., 6.4%, 11/30/2033 | | | 117,000 | 116,648 |
| Thermo Fisher Scientific, Inc., 4.977%, 8/10/2030 | | | 167,000 | 159,299 |
| Thermo Fisher Scientific, Inc., 2%, 10/15/2031 | | | 34,000 | 25,655 |
| Thermo Fisher Scientific, Inc., 2.8%, 10/15/2041 | | | 57,000 | 36,317 |
| | | | | $926,102 |
| Medical Equipment – 0.0% |
| Danaher Corp., 2.6%, 10/01/2050 | | $ | 107,000 | $58,884 |
| Metals & Mining – 0.2% |
| Anglo American Capital PLC, 4.5%, 3/15/2028 (n) | | $ | 200,000 | $186,465 |
| Glencore Funding LLC, 2.85%, 4/27/2031 (n) | | | 124,000 | 96,259 |
| | | | | $282,724 |
| Midstream – 0.6% |
| Columbia Pipelines Holdings Co. LLC, 6.055%, 8/15/2026 (n) | | $ | 22,000 | $21,968 |
| Columbia Pipelines Operating Co. LLC, 6.544%, 11/15/2053 (n) | | | 125,000 | 114,816 |
| Enbridge, Inc., 5.969%, 3/08/2026 | | | 59,000 | 58,589 |
| Enbridge, Inc., 5.7%, 3/08/2033 | | | 54,000 | 50,492 |
| Energy Transfer LP, 4%, 10/01/2027 | | | 52,000 | 47,877 |
| Energy Transfer LP, 3.75%, 5/15/2030 | | | 52,000 | 44,443 |
| Galaxy Pipeline Assets Bidco Ltd., 1.75%, 9/30/2027 (n) | | | 142,252 | 130,465 |
| Plains All American Pipeline LP, 4.65%, 10/15/2025 | | | 39,000 | 37,776 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Midstream – continued |
| Plains All American Pipeline LP, 3.55%, 12/15/2029 | | $ | 126,000 | $107,086 |
| Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 | | | 86,000 | 79,130 |
| Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | | | 58,000 | 52,025 |
| Targa Resources Corp., 4.95%, 4/15/2052 | | | 100,000 | 72,967 |
| | | | | $817,634 |
| Municipals – 0.2% |
| Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B”, 2.746%, 6/01/2034 | | $ | 60,000 | $45,738 |
| Michigan Finance Authority Hospital Rev., Taxable (Trinity Health Credit Group), 3.384%, 12/01/2040 | | | 160,000 | 116,287 |
| State of Florida, Taxable, “A”, 2.154%, 7/01/2030 | | | 96,000 | 76,304 |
| | | | | $238,329 |
| Natural Gas - Pipeline – 0.1% |
| APA Infrastructure Ltd., 5%, 3/23/2035 (n) | | $ | 102,000 | $87,790 |
| Other Banks & Diversified Financials – 0.3% |
| AIB Group PLC, 6.608% to 9/13/2028, FLR (SOFR - 1 day + 2.33%) to 9/13/2029 (n) | | $ | 200,000 | $195,609 |
| M&T Bank Corp., 4.553% to 8/16/2027, FLR (SOFR - 1 day + 1.78%) to 8/16/2028 | | | 103,000 | 93,805 |
| Macquarie Group Ltd., 5.887%, 6/15/2034 (n) | | | 107,000 | 98,104 |
| Truist Financial Corp., 7.161% to 10/30/2028, FLR (SOFR - 1 day + 2.446%) to 10/29/2029 | | | 43,000 | 43,254 |
| | | | | $430,772 |
| Pharmaceuticals – 0.2% |
| Merck & Co., Inc., 2.75%, 12/10/2051 | | $ | 58,000 | $32,752 |
| Pfizer Investment Enterprises Pte. Ltd., 4.75%, 5/19/2033 | | | 192,000 | 176,449 |
| Pfizer Investment Enterprises Pte. Ltd., 5.3%, 5/19/2053 | | | 30,000 | 26,245 |
| Pfizer, Inc., 2.55%, 5/28/2040 | | | 58,000 | 36,819 |
| | | | | $272,265 |
| Pollution Control – 0.1% |
| Waste Management, Inc., 4.625%, 2/15/2033 | | $ | 198,000 | $179,571 |
| Precious Metals & Minerals – 0.1% |
| Northern Star Resources Ltd. Co., 6.125%, 4/11/2033 (n) | | $ | 114,000 | $104,202 |
| Railroad & Shipping – 0.1% |
| Burlington Northern Santa Fe, LLC, 5.2%, 4/15/2054 | | $ | 100,000 | $86,348 |
| Canadian Pacific Railway Co., 3.1%, 12/02/2051 | | | 80,000 | 46,961 |
| | | | | $133,309 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Real Estate - Office – 0.1% |
| Corporate Office Property LP, REIT, 2%, 1/15/2029 | | $ | 109,000 | $82,817 |
| Corporate Office Property LP, REIT, 2.75%, 4/15/2031 | | | 76,000 | 55,703 |
| | | | | $138,520 |
| Real Estate - Other – 0.3% |
| EPR Properties, REIT, 3.6%, 11/15/2031 | | $ | 79,000 | $56,865 |
| Extra Space Storage LP, 5.5%, 7/01/2030 | | | 114,000 | 107,830 |
| Lexington Realty Trust Co., 2.7%, 9/15/2030 | | | 119,000 | 90,363 |
| Prologis LP, REIT, 5.125%, 1/15/2034 | | | 137,000 | 125,457 |
| W.P. Carey, Inc., REIT, 2.45%, 2/01/2032 | | | 45,000 | 33,093 |
| | | | | $413,608 |
| Real Estate - Retail – 0.1% |
| NNN REIT, Inc., 5.6%, 10/15/2033 | | $ | 85,000 | $78,347 |
| STORE Capital Corp., REIT, 2.75%, 11/18/2030 | | | 133,000 | 93,364 |
| | | | | $171,711 |
| Retailers – 0.2% |
| Alimentation Couche-Tard, Inc., 3.439%, 5/13/2041 (n) | | $ | 23,000 | $14,694 |
| Alimentation Couche-Tard, Inc., 3.8%, 1/25/2050 (n) | | | 66,000 | 40,948 |
| Amazon.com, Inc., 3.6%, 4/13/2032 | | | 102,000 | 88,564 |
| AutoZone, Inc., 4.75%, 8/01/2032 | | | 76,000 | 67,485 |
| Home Depot, Inc., 3.9%, 6/15/2047 | | | 94,000 | 67,259 |
| | | | | $278,950 |
| Specialty Chemicals – 0.1% |
| International Flavors & Fragrances, Inc., 1.23%, 10/01/2025 (n) | | $ | 56,000 | $50,486 |
| International Flavors & Fragrances, Inc., 1.832%, 10/15/2027 (n) | | | 30,000 | 24,874 |
| International Flavors & Fragrances, Inc., 2.3%, 11/01/2030 (n) | | | 35,000 | 25,993 |
| | | | | $101,353 |
| Specialty Stores – 0.1% |
| DICK'S Sporting Goods, 3.15%, 1/15/2032 | | $ | 62,000 | $46,788 |
| DICK'S Sporting Goods, 4.1%, 1/15/2052 | | | 81,000 | 47,386 |
| | | | | $94,174 |
| Telecommunications - Wireless – 0.7% |
| Crown Castle, Inc., REIT, 4.45%, 2/15/2026 | | $ | 79,000 | $76,105 |
| Crown Castle, Inc., REIT, 3.7%, 6/15/2026 | | | 251,000 | 235,926 |
| Rogers Communications, Inc., 3.8%, 3/15/2032 | | | 120,000 | 97,314 |
| Rogers Communications, Inc., 4.5%, 3/15/2042 | | | 149,000 | 110,231 |
| T-Mobile USA, Inc., 3.5%, 4/15/2025 | | | 240,000 | 231,870 |
| T-Mobile USA, Inc., 5.05%, 7/15/2033 | | | 104,000 | 93,983 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Telecommunications - Wireless – continued |
| Vodafone Group PLC, 5.625%, 2/10/2053 | | $ | 197,000 | $165,692 |
| | | | | $1,011,121 |
| Tobacco – 0.2% |
| B.A.T. Capital Corp., 6.343%, 8/02/2030 | | $ | 96,000 | $93,169 |
| Philip Morris International, Inc., 5.625%, 11/17/2029 | | | 43,000 | 42,080 |
| Philip Morris International, Inc., 5.125%, 2/15/2030 | | | 100,000 | 94,206 |
| | | | | $229,455 |
| U.S. Treasury Obligations – 1.5% |
| U.S. Treasury Bonds, 2.375%, 2/15/2042 (f) | | $ | 566,000 | $373,737 |
| U.S. Treasury Bonds, 3.875%, 5/15/2043 (f) | | | 849,000 | 705,068 |
| U.S. Treasury Bonds, 2.875%, 5/15/2052 | | | 195,000 | 130,124 |
| U.S. Treasury Bonds, 4.125%, 8/15/2053 | | | 75,000 | 64,160 |
| U.S. Treasury Notes, 2.625%, 4/15/2025 (f) | | | 484,000 | 466,361 |
| U.S. Treasury Notes, 5%, 8/31/2025 | | | 275,000 | 274,420 |
| | | | | $2,013,870 |
| Utilities - Electric Power – 1.6% |
| AEP Transmission Co. LLC, 5.4%, 3/15/2053 | | $ | 67,000 | $58,523 |
| Alabama Power Co., 3.45%, 10/01/2049 | | | 177,000 | 111,329 |
| American Electric Power Co., Inc., 5.699%, 8/15/2025 | | | 41,000 | 40,663 |
| American Electric Power Co., Inc., 5.625%, 3/01/2033 | | | 69,000 | 64,765 |
| American Transmission Systems, Inc., 2.65%, 1/15/2032 (n) | | | 95,000 | 73,121 |
| Berkshire Hathaway Energy Co., 5.15%, 11/15/2043 | | | 25,000 | 21,052 |
| Berkshire Hathaway Energy Co., 4.6%, 5/01/2053 | | | 21,000 | 15,559 |
| CenterPoint Energy, Inc., 2.65%, 6/01/2031 | | | 66,000 | 51,463 |
| Duke Energy Carolinas LLC, 2.85%, 3/15/2032 | | | 231,000 | 183,479 |
| Enel Finance International N.V., 4.625%, 6/15/2027 (n) | | | 200,000 | 188,968 |
| Enel Finance International N.V., 2.25%, 7/12/2031 (n) | | | 200,000 | 146,526 |
| FirstEnergy Corp., 2.65%, 3/01/2030 | | | 134,000 | 108,082 |
| Florida Power & Light Co., 2.85%, 4/01/2025 | | | 50,000 | 48,091 |
| Florida Power & Light Co., 4.45%, 5/15/2026 | | | 48,000 | 46,955 |
| Florida Power & Light Co., 3.95%, 3/01/2048 | | | 50,000 | 35,683 |
| Georgia Power Co., 4.7%, 5/15/2032 | | | 162,000 | 146,666 |
| Georgia Power Co., 5.125%, 5/15/2052 | | | 76,000 | 62,944 |
| Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | | | 67,000 | 51,381 |
| MidAmerican Energy Co., 5.85%, 9/15/2054 | | | 102,000 | 95,513 |
| NextEra Energy Capital Holdings, Inc., 6.051%, 3/01/2025 | | | 59,000 | 58,966 |
| NextEra Energy Capital Holdings, Inc., 5.749%, 9/01/2025 | | | 54,000 | 53,746 |
| NextEra Energy Capital Holdings, Inc., 2.44%, 1/15/2032 | | | 52,000 | 38,985 |
| Pacific Gas & Electric Co., 6.1%, 1/15/2029 | | | 51,000 | 49,069 |
| Pacific Gas & Electric Co., 2.5%, 2/01/2031 | | | 105,000 | 77,838 |
| Southern California Edison Co., 4.5%, 9/01/2040 | | | 50,000 | 38,813 |
Portfolio of Investments – continued
| Issuer | | | Shares/Par | Value ($) |
| Bonds – continued |
| Utilities - Electric Power – continued |
| Southern California Edison Co., 3.65%, 2/01/2050 | | $ | 33,000 | $20,963 |
| Virginia Electric & Power Co., 2.875%, 7/15/2029 | | | 85,000 | 73,036 |
| WEC Energy Group, Inc., 4.75%, 1/09/2026 | | | 163,000 | 159,030 |
| Xcel Energy, Inc., 4.6%, 6/01/2032 | | | 138,000 | 121,993 |
| | | | | $2,243,202 |
| Total Bonds (Identified Cost, $29,737,952) | | $26,074,311 |
| Preferred Stocks – 0.0% |
| Consumer Products – 0.0% | | | | |
| Henkel AG & Co. KGaA (Identified Cost, $21,939) | | 340 | $24,492 |
| | 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) | CHF 67 | 11/20/23 | 1,448 | $952 |
| Computer Software - Systems – 0.0% |
| Constellation Software, Inc. (CAD 100 principal amount of Series 2 Debentures for 1 warrant, Expiration 3/31/40) (a) | CAD 11.5 | N/A | 149 | $0 |
| Medical Equipment – 0.0% |
| OptiNose, Inc. (1 share for 1 warrant, Expiration 11/23/27) (a) | $ 2.57 | 11/23/27 | 1,246 | $0 |
| Total Warrants (Identified Cost, $13) | | $952 |
| | | | | |
| Investment Companies (h) – 7.1% |
| Money Market Funds – 7.1% | |
| MFS Institutional Money Market Portfolio, 5.43% (v) (Identified Cost, $9,852,981) | | | 9,852,516 | $9,853,501 |
Portfolio of Investments – continued
| Underlying/Expiration Date/Exercise Price | Put/Call | Counterparty | Notional
Amount | Par Amount/
Number of
Contracts | Value ($) |
| Purchased Options – 0.1% | |
| Market Index Securities – 0.1% | |
| Standard & Poor's 500 Index – December 2024 @ $3,600 | Put | Merrill Lynch International | $ 1,258,140 | 3 | $32,340 |
| Standard & Poor's 500 Index – June 2025 @ $3,500 | Put | Merrill Lynch International | 1,258,140 | 3 | 38,220 |
| Standard & Poor's 500 Index – December 2025 @ $3,400 | Put | Merrill Lynch International | 1,258,140 | 3 | 40,200 |
Total Purchased Options
(Premiums Paid, $118,168) | | $110,760 |
| Issuer | | | Shares/Par | |
| Collateral for Securities Loaned – 0.0% |
| JPMorgan U.S. Government Money Market Fund - Class IM Shares, 5.28% (j) (Identified Cost, $62,650) | | | 62,650 | $62,650 |
| Securities Sold Short – (0.0)% |
| Telecommunications - Wireless – (0.0)% |
| Crown Castle, Inc., REIT (Proceeds Received, $21,464) | | | (164) | $(15,249) |
|
|
| Other Assets, Less Liabilities – 1.6% | | 2,150,383 |
| Net Assets – 100.0% | $138,132,589 |
| (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 $9,853,501 and $126,143,954, 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 $6,463,513, representing 4.7% of net assets. | | | |
| (s) | Security or a portion of the security was pledged to cover collateral requirements for securities sold short and/or certain derivative transactions. | | | |
| (v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. | | | |
Portfolio of Investments – continued
| 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 |
Derivative Contracts at 10/31/23
| Forward Foreign Currency Exchange Contracts |
Currency
Purchased | Currency
Sold | Counterparty | Settlement
Date | Unrealized
Appreciation
(Depreciation) |
| Asset Derivatives |
| AUD | 2,450,000 | USD | 1,554,976 | Morgan Stanley Capital Services, Inc. | 2/22/2024 | $4,803 |
| GBP | 110,000 | USD | 133,789 | JPMorgan Chase Bank N.A. | 2/22/2024 | 32 |
| USD | 6,313,698 | AUD | 9,778,423 | HSBC Bank | 2/22/2024 | 88,319 |
| USD | 178,858 | BRL | 909,113 | Citibank N.A. | 2/22/2024 | 919 |
| USD | 591,595 | CAD | 798,000 | HSBC Bank | 2/22/2024 | 15,013 |
| USD | 8,908,489 | CHF | 7,703,619 | State Street Bank Corp. | 2/22/2024 | 329,679 |
Portfolio of Investments – continued
| Forward Foreign Currency Exchange Contracts - continued |
Currency
Purchased | Currency
Sold | Counterparty | Settlement
Date | Unrealized
Appreciation
(Depreciation) |
| Asset Derivatives - continued |
| USD | 72,966 | DKK | 502,000 | Morgan Stanley Capital Services, Inc. | 2/22/2024 | $1,332 |
| USD | 858,326 | DKK | 5,813,287 | State Street Bank Corp. | 2/22/2024 | 28,783 |
| USD | 10,094,944 | EUR | 9,214,334 | HSBC Bank | 2/22/2024 | 292,400 |
| USD | 1,275,933 | GBP | 1,021,000 | Morgan Stanley Capital Services, Inc. | 2/22/2024 | 33,833 |
| USD | 1,410,397 | HKD | 10,997,902 | HSBC Bank | 2/22/2024 | 2,264 |
| USD | 78,821 | IDR | 1,212,682,000 | Citibank N.A. | 2/22/2024 | 2,545 |
| USD | 116,830 | ILS | 439,381 | State Street Bank Corp. | 2/22/2024 | 7,304 |
| USD | 82,901 | INR | 6,929,000 | Goldman Sachs International | 2/22/2024 | 12 |
| USD | 11,397,646 | JPY | 1,603,838,584 | HSBC Bank | 2/22/2024 | 614,916 |
| USD | 518,657 | JPY | 74,512,000 | JPMorgan Chase Bank N.A. | 2/22/2024 | 17,707 |
| USD | 368,470 | KRW | 489,025,800 | Citibank N.A. | 2/22/2024 | 3,918 |
| USD | 127,354 | MXN | 2,241,897 | State Street Bank Corp. | 2/22/2024 | 5,411 |
| USD | 1,338,823 | NOK | 14,728,000 | Deutsche Bank AG | 2/22/2024 | 16,228 |
| USD | 92,231 | NZD | 158,000 | Morgan Stanley Capital Services, Inc. | 2/22/2024 | 148 |
| USD | 3,302,137 | NZD | 5,556,841 | State Street Bank Corp. | 2/22/2024 | 63,580 |
| USD | 401,357 | SEK | 4,426,000 | Morgan Stanley Capital Services, Inc. | 2/22/2024 | 2,772 |
| USD | 401,737 | SGD | 539,841 | JPMorgan Chase Bank N.A. | 2/22/2024 | 5,359 |
| USD | 91,868 | THB | 3,204,240 | Barclays Bank PLC | 2/22/2024 | 2,284 |
| USD | 481,566 | TWD | 15,091,323 | Barclays Bank PLC | 2/22/2024 | 9,619 |
| | | | | | | $1,549,180 |
| Liability Derivatives |
| CAD | 426,569 | USD | 312,388 | HSBC Bank | 2/22/2024 | $(4,178) |
| CHF | 264,000 | USD | 298,534 | Morgan Stanley Capital Services, Inc. | 2/22/2024 | (4,542) |
| GBP | 285,205 | USD | 363,551 | State Street Bank Corp. | 2/22/2024 | (16,585) |
| JPY | 215,327,000 | USD | 1,466,314 | JPMorgan Chase Bank N.A. | 2/22/2024 | (18,654) |
| NOK | 1,402,000 | USD | 131,696 | Deutsche Bank AG | 2/22/2024 | (5,794) |
| NOK | 51,116,893 | USD | 4,835,074 | State Street Bank Corp. | 2/22/2024 | (244,705) |
| NZD | 1,120,000 | USD | 662,960 | HSBC Bank | 2/22/2024 | (10,218) |
| SEK | 32,219,068 | USD | 2,969,222 | Barclays Bank PLC | 2/22/2024 | (67,721) |
| SEK | 8,879,000 | USD | 813,039 | JPMorgan Chase Bank N.A. | 2/22/2024 | (13,437) |
| USD | 2,689,835 | EUR | 2,530,000 | JPMorgan Chase Bank N.A. | 2/22/2024 | (1,672) |
| USD | 408,442 | INR | 34,219,252 | Barclays Bank PLC | 2/22/2024 | (907) |
| USD | 107,777 | ZAR | 2,078,796 | State Street Bank Corp. | 2/22/2024 | (2,660) |
| | | | | | | $(391,073) |
Portfolio of Investments – continued
| Futures Contracts |
| Description | Long/
Short | Currency | Contracts | Notional
Amount | Expiration
Date | Value/Unrealized
Appreciation
(Depreciation) |
| Asset Derivatives |
| Equity Futures | | |
| CAC 40 Index | Long | EUR | 3 | $219,887 | November – 2023 | $1,826 |
| DAX Index | Short | EUR | 1 | 394,782 | December – 2023 | 23,397 |
| FTSE 100 Index | Short | GBP | 52 | 4,652,938 | December – 2023 | 123,825 |
| FTSE Taiwan Index | Short | USD | 2 | 110,100 | November – 2023 | 2,014 |
| FTSE/JSE Top 40 Index | Short | ZAR | 14 | 483,153 | December – 2023 | 9,298 |
| KOSPI 200 Index | Short | KRW | 47 | 2,673,638 | December – 2023 | 100,936 |
| Mexbol Index | Long | MXN | 98 | 2,676,532 | December – 2023 | 11,319 |
| MSCI Singapore Index | Short | SGD | 206 | 4,093,584 | November – 2023 | 51,153 |
| NSE IFSC NIFTY 50 Index | Short | USD | 62 | 2,376,212 | November – 2023 | 16,195 |
| Russell 2000 Index | Short | USD | 154 | 12,846,680 | December – 2023 | 1,597,971 |
| S&P 500 E-Mini Index | Short | USD | 155 | 32,644,938 | December – 2023 | 2,082,520 |
| S&P MidCap 400 Index | Short | USD | 44 | 10,450,440 | December – 2023 | 1,012,740 |
| S&P/ASX 200 Index | Short | AUD | 42 | 4,529,732 | December – 2023 | 212,793 |
| | | | | | | $5,245,987 |
| Interest Rate Futures | | |
| Euro-Bund 10 yr | Short | EUR | 93 | $12,693,042 | December – 2023 | $224,537 |
| Japan Government Bond 10 yr | Short | JPY | 2 | 1,896,751 | December – 2023 | 9,885 |
| Long Gilt 10 yr | Short | GBP | 3 | 339,694 | December – 2023 | 8,158 |
| U.S. Treasury Note 10 yr | Long | USD | 86 | 9,130,781 | December – 2023 | 37,897 |
| U.S. Treasury Ultra Note 10 yr | Short | USD | 12 | 1,305,937 | December – 2023 | 54,980 |
| | | | | | | $335,457 |
| | | | | | | $5,581,444 |
| Liability Derivatives |
| Equity Futures | | |
| BIST 30 Index | Long | TRY | 1,031 | $3,036,448 | December – 2023 | $(39,597) |
| FTSE MIB Index | Long | EUR | 18 | 2,644,830 | December – 2023 | (70,377) |
| Hang Seng Index | Short | HKD | 2 | 218,989 | November – 2023 | (1,527) |
| IBEX 35 Index | Long | EUR | 41 | 3,933,018 | November – 2023 | (60,766) |
| Mini Ibovespa | Long | BRL | 924 | 4,200,505 | December – 2023 | (80,980) |
| OMX 30 Index | Long | SEK | 165 | 3,084,805 | November – 2023 | (104,088) |
| S&P/TSX 60 Index | Long | CAD | 5 | 818,461 | December – 2023 | (18,188) |
| Topix Index | Long | JPY | 4 | 598,935 | December – 2023 | (30,947) |
| | | | | | | $(406,470) |
| Interest Rate Futures | | |
| Australian Bond 10 yr | Long | AUD | 161 | $11,055,068 | December – 2023 | $(606,781) |
| Canadian Treasury Bond 10 yr | Short | CAD | 130 | 10,774,040 | December – 2023 | (97,754) |
| U.S. Treasury Bond 30 yr | Long | USD | 2 | 218,875 | December – 2023 | (9,914) |
| U.S. Treasury Note 2 yr | Long | USD | 8 | 1,619,375 | December – 2023 | (6,466) |
| U.S. Treasury Note 5 yr | Long | USD | 3 | 313,430 | December – 2023 | (1,088) |
Portfolio of Investments – continued
| Futures Contracts - continued |
| Description | Long/
Short | Currency | Contracts | Notional
Amount | Expiration
Date | Value/Unrealized
Appreciation
(Depreciation) |
| Liability Derivatives - continued |
| Interest Rate Futures - continued |
| U.S. Treasury Ultra Bond 30 yr | Long | USD | 1 | $112,562 | December – 2023 | $(14,981) |
| | | | | | | $(736,984) |
| | | | | | | $(1,143,454) |
Portfolio of Investments – continued
| Cleared Swap Agreements |
Maturity
Date | Notional
Amount | Counterparty | Cash Flows
to Receive/
Frequency | Cash Flows
to Pay/
Frequency | Unrealized
Appreciation
(Depreciation) | | Net Unamortized
Upfront Payments
(Receipts) | | Value |
| Asset Derivatives | | | | | |
| Interest Rate Swaps | | | | | |
| 12/20/33 | USD | 10,700,000 | centrally cleared | SOFR - 1 day/Annually | 3.987%/Annually | $460,156 | | $(8,080) | | $452,076 |
| 12/20/53 | USD | 4,700,000 | centrally cleared | SOFR - 1 day/Annually | 3.716%/Annually | 489,892 | | (16,234) | | 473,658 |
| | | | | | | $950,048 | | $(24,314) | | $925,734 |
| Liability Derivatives | | | | | |
| Interest Rate Swaps | | | | | |
| 12/20/25 | USD | 47,300,000 | centrally cleared | 4.756%/Annually | SOFR - 1 day/Annually | $(84,615) | | $(2,644) | | $(87,259) |
| 12/20/28 | USD | 20,000,000 | centrally cleared | 4.148%/Annually | SOFR - 1 day/Annually | (316,199) | | 4,139 | | (312,060) |
| | | | | | | $(400,814) | | $1,495 | | $(399,319) |
At October 31, 2023, the fund had cash collateral of $1,844,454 and other liquid securities with an aggregate value of $14,354,826 to cover any collateral or margin obligations for securities sold short and certain derivative contracts. Restricted cash and/or deposits with brokers in the Statement of Assets and Liabilities are comprised of cash collateral.
See Notes to Financial Statements
Financial Statements
Statement of Assets and Liabilities
At 10/31/23
This statement represents your fund’s balance sheet, which details the assets and liabilities comprising the total value of the fund.
| Assets | |
| Investments in unaffiliated issuers, at value, including $100,888 of securities on loan (identified cost, $106,114,590) | $126,143,954 |
| Investments in affiliated issuers, at value (identified cost, $9,852,981) | 9,853,501 |
| Cash | 2,407 |
| Deposits with brokers for | |
| Futures contracts | 1,817,276 |
| Securities sold short | 27,178 |
| Receivables for | |
| Net daily variation margin on open cleared swap agreements | 551 |
| Forward foreign currency exchange contracts | 1,549,180 |
| Investments sold | 754,926 |
| Fund shares sold | 239,631 |
| Interest and dividends | 485,771 |
| Receivable from investment adviser | 30,938 |
| Other assets | 16 |
| Total assets | $140,905,329 |
| Liabilities | |
| Payable to custodian | $85 |
| Payables for | |
| Securities sold short, at value (proceeds received, $21,464) | 15,249 |
| Forward foreign currency exchange contracts | 391,073 |
| Net daily variation margin on open futures contracts | 360,126 |
| Investments purchased | 1,516,704 |
| When-issued investments purchased | 145,032 |
| Fund shares reacquired | 27,420 |
| Collateral for securities loaned, at value (c) | 62,650 |
| Payable to affiliates | |
| Administrative services fee | 164 |
| Shareholder servicing costs | 39,065 |
| Distribution and service fees | 523 |
| Payable for independent Trustees' compensation | 6 |
| Deferred foreign capital gains tax expense payable | 566 |
| Accrued expenses and other liabilities | 214,077 |
| Total liabilities | $2,772,740 |
| Net assets | $138,132,589 |
Statement of Assets and Liabilities – continued
| Net assets consist of | |
| Paid-in capital | $151,519,518 |
| Total distributable earnings (loss) | (13,386,929) |
| Net assets | $138,132,589 |
| Shares of beneficial interest outstanding | 11,854,423 |
| (c) | Non-cash collateral is not included. |
| | Net assets | Shares
outstanding | Net asset value
per share (a) |
| Class A | $25,608,437 | 2,211,935 | $11.58 |
| Class B | 892,595 | 79,896 | 11.17 |
| Class C | 1,761,218 | 157,117 | 11.21 |
| Class I | 80,226,266 | 6,875,389 | 11.67 |
| Class R1 | 125,377 | 11,350 | 11.05 |
| Class R2 | 406,440 | 35,521 | 11.44 |
| Class R3 | 930,988 | 80,152 | 11.62 |
| Class R4 | 145,197 | 12,419 | 11.69 |
| Class R6 | 28,036,071 | 2,390,644 | 11.73 |
| (a) | Maximum offering price per share was equal to the net asset value per share for all share classes, except for Class A, for which the maximum offering price per share was $12.29 [100 / 94.25 x $11.58]. 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. |
See Notes to Financial Statements
Financial Statements
Statement of Operations
Year ended 10/31/23
This statement describes how much your fund earned in investment income and accrued in expenses. It also describes any gains and/or losses generated by fund operations.
| Net investment income (loss) | |
| Income | |
| Dividends | $1,988,166 |
| Interest | 1,141,045 |
| Dividends from affiliated issuers | 337,941 |
| Other | 104,209 |
| Income on securities loaned | 1,775 |
| Foreign taxes withheld | (85,036) |
| Total investment income | $3,488,100 |
| Expenses | |
| Management fee | $1,167,009 |
| Distribution and service fees | 109,874 |
| Shareholder servicing costs | 132,945 |
| Administrative services fee | 31,437 |
| Independent Trustees' compensation | 4,570 |
| Custodian fee | 112,251 |
| Shareholder communications | 19,743 |
| Audit and tax fees | 107,034 |
| Legal fees | 770 |
| Dividend and interest expense on securities sold short | 1,478 |
| Interest expense and fees | 100,314 |
| Registration fees | 130,865 |
| Miscellaneous | 88,748 |
| Total expenses | $2,007,038 |
| Fees paid indirectly | (7,035) |
| Reduction of expenses by investment adviser and distributor | (289,558) |
| Net expenses | $1,710,445 |
| Net investment income (loss) | $1,777,655 |
Statement of Operations – continued
| Realized and unrealized gain (loss) |
| Realized gain (loss) (identified cost basis) | |
| Unaffiliated issuers (net of $5,439 foreign capital gains tax) | $5,853,461 |
| Affiliated issuers | (1,061) |
| Written options | 6,800 |
| Futures contracts | (589,196) |
| Swap agreements | (1,715,171) |
| Forward foreign currency exchange contracts | (1,787,964) |
| Foreign currency | (242,751) |
| Net realized gain (loss) | $1,524,118 |
| Change in unrealized appreciation or depreciation | |
| Unaffiliated issuers (net of $5,823 decrease in deferred foreign capital gains tax) | $3,619,083 |
| Affiliated issuers | 382 |
| Futures contracts | 2,710,566 |
| Swap agreements | 1,384,257 |
| Securities sold short | 6,606 |
| Forward foreign currency exchange contracts | (435,665) |
| Translation of assets and liabilities in foreign currencies | (61,668) |
| Net unrealized gain (loss) | $7,223,561 |
| Net realized and unrealized gain (loss) | $8,747,679 |
| Change in net assets from operations | $10,525,334 |
See Notes to Financial Statements
Financial Statements
Statements of Changes in Net Assets
These statements describe the increases and/or decreases in net assets resulting from operations, any distributions, and any shareholder transactions.
| | Year ended |
| | 10/31/23 | 10/31/22 |
| Change in net assets | | |
| From operations | | |
| Net investment income (loss) | $1,777,655 | $1,260,576 |
| Net realized gain (loss) | 1,524,118 | 18,183,265 |
| Net unrealized gain (loss) | 7,223,561 | (33,598,831) |
| Change in net assets from operations | $10,525,334 | $(14,154,990) |
| Total distributions to shareholders | $(860,466) | $(1,041,120) |
| Change in net assets from fund share transactions | $(26,414,259) | $(20,315,708) |
| Total change in net assets | $(16,749,391) | $(35,511,818) |
| Net assets | | |
| At beginning of period | 154,881,980 | 190,393,798 |
| At end of period | $138,132,589 | $154,881,980 |
See Notes to Financial Statements
Financial Statements
Financial Highlights
The financial highlights table is intended to help you understand the fund's financial performance for the past 5 years. Certain information reflects financial results for a single fund share. The total returns in the table represent the rate that an investor would have earned (or lost) on an investment in the fund share class (assuming reinvestment of all distributions) held for the entire period.
| Class A | Year ended |
| | 10/31/23 | 10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 |
| Net asset value, beginning of period | $10.86 | $11.82 | $10.99 | $10.80 | $10.07 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.12 | $0.06 | $0.05 | $0.07 | $0.10 |
| Net realized and unrealized gain (loss) | 0.64 | (0.98) | 0.83 | 0.22 | 0.71 |
| Total from investment operations | $0.76 | $(0.92) | $0.88 | $0.29 | $0.81 |
| Less distributions declared to shareholders |
| From net investment income | $(0.04) | $(0.04) | $(0.05) | $(0.10) | $(0.08) |
| Net asset value, end of period (x) | $11.58 | $10.86 | $11.82 | $10.99 | $10.80 |
| Total return (%) (r)(s)(t)(x) | 6.99 | (7.79) | 7.98 | 2.68 | 8.11 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f) | 1.57 | 1.46 | 1.43 | 1.47 | 1.46 |
| Expenses after expense reductions (f) | 1.37 | 1.30 | 1.30 | 1.32 | 1.33 |
| Net investment income (loss) | 1.03 | 0.53 | 0.40 | 0.65 | 1.01 |
| Portfolio turnover | 44 | 58 | 44 | 57 | 58 |
| Net assets at end of period (000 omitted) | $25,608 | $25,783 | $31,120 | $29,453 | $33,287 |
| 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 | 1.30 | 1.29 |
See Notes to Financial Statements
Financial Highlights – continued
| Class B | Year ended |
| | 10/31/23 | 10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 |
| Net asset value, beginning of period | $10.53 | $11.49 | $10.73 | $10.54 | $9.82 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.03 | $(0.03) | $(0.04) | $(0.01) | $0.03 |
| Net realized and unrealized gain (loss) | 0.61 | (0.93) | 0.80 | 0.21 | 0.69 |
| Total from investment operations | $0.64 | $(0.96) | $0.76 | $0.20 | $0.72 |
| Less distributions declared to shareholders |
| From net investment income | $— | $— | $— | $(0.01) | $(0.00)(w) |
| Net asset value, end of period (x) | $11.17 | $10.53 | $11.49 | $10.73 | $10.54 |
| Total return (%) (r)(s)(t)(x) | 6.08 | (8.36) | 7.08 | 1.92 | 7.33 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f) | 2.31 | 2.21 | 2.18 | 2.22 | 2.21 |
| Expenses after expense reductions (f) | 2.12 | 2.05 | 2.05 | 2.08 | 2.08 |
| Net investment income (loss) | 0.28 | (0.24) | (0.36) | (0.09) | 0.26 |
| Portfolio turnover | 44 | 58 | 44 | 57 | 58 |
| Net assets at end of period (000 omitted) | $893 | $1,693 | $3,129 | $4,035 | $4,542 |
| 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 | 2.05 | 2.04 |
See Notes to Financial Statements
Financial Highlights – continued
| Class C | Year ended |
| | 10/31/23 | 10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 |
| Net asset value, beginning of period | $10.56 | $11.53 | $10.77 | $10.57 | $9.85 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.03 | $(0.03) | $(0.04) | $(0.01) | $0.03 |
| Net realized and unrealized gain (loss) | 0.62 | (0.94) | 0.80 | 0.21 | 0.69 |
| Total from investment operations | $0.65 | $(0.97) | $0.76 | $0.20 | $0.72 |
| Less distributions declared to shareholders |
| From net investment income | $— | $— | $— | $(0.00)(w) | $— |
| Net asset value, end of period (x) | $11.21 | $10.56 | $11.53 | $10.77 | $10.57 |
| Total return (%) (r)(s)(t)(x) | 6.16 | (8.41) | 7.06 | 1.91 | 7.31 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f) | 2.31 | 2.21 | 2.18 | 2.22 | 2.22 |
| Expenses after expense reductions (f) | 2.12 | 2.05 | 2.05 | 2.08 | 2.08 |
| Net investment income (loss) | 0.27 | (0.24) | (0.36) | (0.08) | 0.26 |
| Portfolio turnover | 44 | 58 | 44 | 57 | 58 |
| Net assets at end of period (000 omitted) | $1,761 | $3,725 | $5,966 | $8,396 | $10,083 |
| 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 | 2.05 | 2.04 |
See Notes to Financial Statements
Financial Highlights – continued
| Class I | Year ended |
| | 10/31/23 | 10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 |
| Net asset value, beginning of period | $10.95 | $11.91 | $11.08 | $10.89 | $10.15 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.15 | $0.09 | $0.08 | $0.10 | $0.13 |
| Net realized and unrealized gain (loss) | 0.64 | (0.98) | 0.82 | 0.22 | 0.72 |
| Total from investment operations | $0.79 | $(0.89) | $0.90 | $0.32 | $0.85 |
| Less distributions declared to shareholders |
| From net investment income | $(0.07) | $(0.07) | $(0.07) | $(0.13) | $(0.11) |
| Net asset value, end of period (x) | $11.67 | $10.95 | $11.91 | $11.08 | $10.89 |
| Total return (%) (r)(s)(t)(x) | 7.21 | (7.51) | 8.19 | 2.91 | 8.49 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f) | 1.32 | 1.21 | 1.18 | 1.22 | 1.21 |
| Expenses after expense reductions (f) | 1.12 | 1.05 | 1.05 | 1.07 | 1.08 |
| Net investment income (loss) | 1.27 | 0.79 | 0.66 | 0.90 | 1.25 |
| Portfolio turnover | 44 | 58 | 44 | 57 | 58 |
| Net assets at end of period (000 omitted) | $80,226 | $94,555 | $112,743 | $108,871 | $127,572 |
| 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 | 1.05 | 1.04 |
See Notes to Financial Statements
Financial Highlights – continued
| Class R1 | Year ended |
| | 10/31/23 | 10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 |
| Net asset value, beginning of period | $10.41 | $11.36 | $10.61 | $10.43 | $9.72 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.03 | $(0.02) | $(0.04) | $(0.01) | $0.03 |
| Net realized and unrealized gain (loss) | 0.61 | (0.93) | 0.79 | 0.22 | 0.68 |
| Total from investment operations | $0.64 | $(0.95) | $0.75 | $0.21 | $0.71 |
| Less distributions declared to shareholders |
| From net investment income | $— | $— | $— | $(0.03) | $— |
| Net asset value, end of period (x) | $11.05 | $10.41 | $11.36 | $10.61 | $10.43 |
| Total return (%) (r)(s)(t)(x) | 6.15 | (8.36) | 7.07 | 1.97 | 7.30 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f) | 2.32 | 2.21 | 2.18 | 2.22 | 2.21 |
| Expenses after expense reductions (f) | 2.12 | 2.05 | 2.05 | 2.07 | 2.08 |
| Net investment income (loss) | 0.29 | (0.21) | (0.35) | (0.09) | 0.26 |
| Portfolio turnover | 44 | 58 | 44 | 57 | 58 |
| Net assets at end of period (000 omitted) | $125 | $111 | $122 | $113 | $210 |
| 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 | 2.05 | 2.04 |
See Notes to Financial Statements
Financial Highlights – continued
| Class R2 | Year ended |
| | 10/31/23 | 10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 |
| Net asset value, beginning of period | $10.73 | $11.69 | $10.86 | $10.67 | $9.91 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.09 | $0.03 | $0.02 | $0.04 | $0.08 |
| Net realized and unrealized gain (loss) | 0.63 | (0.97) | 0.81 | 0.22 | 0.69 |
| Total from investment operations | $0.72 | $(0.94) | $0.83 | $0.26 | $0.77 |
| Less distributions declared to shareholders |
| From net investment income | $(0.01) | $(0.02) | $— | $(0.07) | $(0.01) |
| Net asset value, end of period (x) | $11.44 | $10.73 | $11.69 | $10.86 | $10.67 |
| Total return (%) (r)(s)(t)(x) | 6.69 | (8.02) | 7.64 | 2.43 | 7.82 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f) | 1.82 | 1.71 | 1.68 | 1.72 | 1.71 |
| Expenses after expense reductions (f) | 1.62 | 1.55 | 1.55 | 1.58 | 1.58 |
| Net investment income (loss) | 0.79 | 0.28 | 0.13 | 0.41 | 0.75 |
| Portfolio turnover | 44 | 58 | 44 | 57 | 58 |
| Net assets at end of period (000 omitted) | $406 | $499 | $611 | $498 | $791 |
| 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 | 1.55 | 1.54 |
See Notes to Financial Statements
Financial Highlights – continued
| Class R3 | Year ended |
| | 10/31/23 | 10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 |
| Net asset value, beginning of period | $10.88 | $11.83 | $11.00 | $10.81 | $10.09 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.12 | $0.06 | $0.05 | $0.07 | $0.10 |
| Net realized and unrealized gain (loss) | 0.64 | (0.97) | 0.82 | 0.22 | 0.71 |
| Total from investment operations | $0.76 | $(0.91) | $0.87 | $0.29 | $0.81 |
| Less distributions declared to shareholders |
| From net investment income | $(0.02) | $(0.04) | $(0.04) | $(0.10) | $(0.09) |
| Net asset value, end of period (x) | $11.62 | $10.88 | $11.83 | $11.00 | $10.81 |
| Total return (%) (r)(s)(t)(x) | 6.98 | (7.71) | 7.92 | 2.70 | 8.09 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f) | 1.57 | 1.46 | 1.43 | 1.47 | 1.46 |
| Expenses after expense reductions (f) | 1.37 | 1.30 | 1.30 | 1.32 | 1.33 |
| Net investment income (loss) | 1.03 | 0.54 | 0.40 | 0.69 | 1.00 |
| Portfolio turnover | 44 | 58 | 44 | 57 | 58 |
| Net assets at end of period (000 omitted) | $931 | $854 | $1,593 | $1,432 | $1,101 |
| 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 | 1.30 | 1.29 |
See Notes to Financial Statements
Financial Highlights – continued
| Class R4 | Year ended |
| | 10/31/23 | 10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 |
| Net asset value, beginning of period | $10.98 | $11.94 | $11.11 | $10.91 | $10.18 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.13 | $0.11 | $0.07 | $0.09 | $0.13 |
| Net realized and unrealized gain (loss) | 0.65 | (1.00) | 0.84 | 0.23 | 0.71 |
| Total from investment operations | $0.78 | $(0.89) | $0.91 | $0.32 | $0.84 |
| Less distributions declared to shareholders |
| From net investment income | $(0.07) | $(0.07) | $(0.08) | $(0.12) | $(0.11) |
| Net asset value, end of period (x) | $11.69 | $10.98 | $11.94 | $11.11 | $10.91 |
| Total return (%) (r)(s)(t)(x) | 7.16 | (7.49) | 8.20 | 2.98 | 8.36 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f) | 1.31 | 1.24 | 1.18 | 1.23 | 1.22 |
| Expenses after expense reductions (f) | 1.12 | 1.05 | 1.05 | 1.08 | 1.08 |
| Net investment income (loss) | 1.17 | 0.94 | 0.64 | 0.81 | 1.27 |
| Portfolio turnover | 44 | 58 | 44 | 57 | 58 |
| Net assets at end of period (000 omitted) | $145 | $554 | $57 | $58 | $51 |
| 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 | 1.05 | 1.04 |
See Notes to Financial Statements
Financial Highlights – continued
| Class R6 | Year ended |
| | 10/31/23 | 10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 |
| Net asset value, beginning of period | $11.01 | $11.97 | $11.13 | $10.94 | $10.20 |
| Income (loss) from investment operations |
| Net investment income (loss) (d) | $0.16 | $0.10 | $0.08 | $0.11 | $0.14 |
| Net realized and unrealized gain (loss) | 0.64 | (0.98) | 0.84 | 0.21 | 0.72 |
| Total from investment operations | $0.80 | $(0.88) | $0.92 | $0.32 | $0.86 |
| Less distributions declared to shareholders |
| From net investment income | $(0.08) | $(0.08) | $(0.08) | $(0.13) | $(0.12) |
| Net asset value, end of period (x) | $11.73 | $11.01 | $11.97 | $11.13 | $10.94 |
| Total return (%) (r)(s)(t)(x) | 7.28 | (7.38) | 8.35 | 2.97 | 8.51 |
Ratios (%) (to average net assets)
and Supplemental data: |
| Expenses before expense reductions (f) | 1.23 | 1.11 | 1.08 | 1.13 | 1.14 |
| Expenses after expense reductions (f) | 1.03 | 0.95 | 0.95 | 0.99 | 1.01 |
| Net investment income (loss) | 1.38 | 0.87 | 0.71 | 1.04 | 1.32 |
| Portfolio turnover | 44 | 58 | 44 | 57 | 58 |
| Net assets at end of period (000 omitted) | $28,036 | $27,108 | $35,052 | $20,383 | $5,410 |
| Supplemental Ratios (%): |
| Ratios of expenses to average net assets after expense reductions excluding short sale expenses and interest expense and fees (f) | 0.96 | 0.95 | 0.95 | 0.96 | 0.97 |
| (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. |
| (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. |
See Notes to Financial Statements
Notes to Financial Statements
(1) Business and Organization
MFS Global Alternative Strategy Fund (the fund) is a diversified series of MFS Series Trust XV (the trust). The trust is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.
The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies.
(2) Significant Accounting Policies
General — The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. In the preparation of these financial statements, management has evaluated subsequent events occurring after the date of the fund’s Statement of Assets and Liabilities through the date that the financial statements were issued. The fund invests in derivatives as part of its principal investment strategy. Derivatives can be highly volatile and involve risks in addition to the risks of the underlying indicators on which the derivative is based. Derivatives can involve leverage. The fund invests in foreign securities. Investments in foreign securities are vulnerable to the effects of changes in the relative values of the local currency and the U.S. dollar and to the effects of changes in each country’s market, economic, industrial, political, regulatory, geopolitical, environmental, public health, and other conditions.
Balance Sheet Offsetting — The fund's accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the International Swaps and Derivatives Association (ISDA) Master Agreement, or similar agreement, does not result in an offset of reported amounts of financial assets and financial liabilities in the Statement of Assets and Liabilities across transactions between the fund and the applicable counterparty. The fund's right to setoff may be restricted or prohibited by the bankruptcy or insolvency laws of the particular jurisdiction to which a specific master netting agreement counterparty is subject. Balance sheet offsetting disclosures, to the extent applicable to the fund, have been included in the fund’s Significant Accounting Policies note under the captions for each of the fund’s in-scope financial instruments and transactions.
Investment Valuations — Subject to its oversight, the fund's Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments to MFS as the fund's adviser, pursuant to the fund’s valuation policy and procedures which have been adopted by the adviser and approved by the Board. In accordance with Rule 2a-5 under the Investment Company Act of 1940, the Board of Trustees designated the adviser as the “valuation designee” of the fund. If the adviser, as valuation designee, determines that reliable market quotations are not readily available for an investment, the investment is valued at fair value as determined in good faith by the adviser in accordance with the adviser’s fair valuation policy and procedures.
Notes to Financial Statements - continued
Under the fund's valuation policy and procedures, equity securities, including restricted equity securities and equity securities sold short, are generally valued at the last sale or official closing price on their primary market or exchange as provided by a third-party pricing service. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation on their primary market or exchange as provided by a third-party pricing service. Equity securities sold short, for which there were no sales reported that day, are generally valued at the last quoted daily ask quotation on their primary market or exchange as provided by a third-party pricing service. Debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value.
Exchange-traded options are generally valued at the last sale or official closing price on their primary exchange as provided by a third-party pricing service. Exchange-traded options for which there were no sales reported that day are generally valued at the last daily bid quotation on their primary exchange as provided by a third-party pricing service. For put options, the position may be valued at the last daily ask quotation if there are no trades reported during the day. Options not traded on an exchange are generally valued at a broker/dealer bid quotation. Foreign currency options are generally valued at valuations provided by a third-party pricing service. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party pricing service.
Forward foreign currency exchange contracts are generally valued at the mean of bid and asked prices for the time period interpolated from rates provided by a third-party pricing service for proximate time periods. Swap agreements are generally valued using valuations provided by a third-party pricing service, which for cleared swaps includes an evaluation of any trading activity at the clearinghouses. Open-end investment companies are generally valued at net asset value per share. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.
Under the fund’s valuation policy and procedures, market quotations are not considered to be readily available for debt instruments, floating rate loans, and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services or otherwise determined by the adviser in accordance with the adviser’s fair valuation policy and procedures. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. In determining values, third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, spreads and other market data. An investment may also be valued at fair value if the adviser determines that the investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund’s net asset value, or after the halt of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. Events that occur after foreign markets close (such as developments in foreign markets
Notes to Financial Statements - continued
and significant movements in the U.S. markets) and prior to the determination of the fund’s net asset value may be deemed to have a material effect on the value of securities traded in foreign markets. Accordingly, the fund’s foreign equity securities may often be valued at fair value. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.
Various inputs are used in determining the value of the fund's assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund's assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes significant unobservable inputs, which may include the adviser's own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts, forward foreign currency exchange contracts, and swap agreements. The following is a summary of the levels used as of October 31, 2023 in valuing the fund's assets and liabilities:
Notes to Financial Statements - continued
| Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
| Equity Securities: | | | | |
| United States | $67,858,710 | $38,220 | $— | $67,896,930 |
| Japan | 53,186 | 5,273,941 | — | 5,327,127 |
| France | 425,974 | 4,592,815 | — | 5,018,789 |
| Switzerland | 910,577 | 2,873,985 | — | 3,784,562 |
| United Kingdom | 1,362,888 | 2,313,233 | — | 3,676,121 |
| Canada | 2,808,625 | — | — | 2,808,625 |
| Germany | 1,370,910 | 1,156,163 | — | 2,527,073 |
| Spain | 163,432 | 758,066 | — | 921,498 |
| Australia | 428,276 | 449,117 | — | 877,393 |
| Other Countries | 3,193,953 | 3,974,922 | — | 7,168,875 |
| U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 2,013,870 | — | 2,013,870 |
| Non - U.S. Sovereign Debt | — | 704,694 | — | 704,694 |
| Municipal Bonds | — | 238,329 | — | 238,329 |
| U.S. Corporate Bonds | — | 15,450,211 | — | 15,450,211 |
| Commercial Mortgage-Backed Securities | — | 371,738 | — | 371,738 |
| Asset-Backed Securities (including CDOs) | — | 556,064 | — | 556,064 |
| Foreign Bonds | — | 6,739,405 | — | 6,739,405 |
| Mutual Funds | 9,916,151 | — | — | 9,916,151 |
| Total | $88,492,682 | $47,504,773 | $— | $135,997,455 |
| Securities Sold Short | $(15,249) | $— | $— | $(15,249) |
| Other Financial Instruments | | | | |
| Futures Contracts – Assets | $5,058,216 | $523,228 | $— | $5,581,444 |
| Futures Contracts – Liabilities | (836,152) | (307,302) | — | (1,143,454) |
| Forward Foreign Currency Exchange Contracts – Assets | — | 1,549,180 | — | 1,549,180 |
| Forward Foreign Currency Exchange Contracts – Liabilities | — | (391,073) | — | (391,073) |
| Swap Agreements – Assets | — | 925,734 | — | 925,734 |
| Swap Agreements – Liabilities | — | (399,319) | — | (399,319) |
For further information regarding security characteristics, see the Portfolio of Investments.
Foreign Currency Translation — Purchases and sales of foreign investments, income, and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions or on the reporting date for foreign denominated receivables and payables. Gains and losses attributable to foreign currency exchange rates on sales of securities are recorded for financial statement purposes as net realized gains and losses on investments. Gains and losses attributable to foreign exchange rate movements on receivables, payables, income and expenses
Notes to Financial Statements - continued
are recorded for financial statement purposes as foreign currency transaction gains and losses. That portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
Derivatives — The fund uses derivatives in an attempt to reduce volatility compared to the overall equity markets and to generate positive returns by adjusting the fund’s exposure to markets, asset classes, and currencies resulting from the fund’s individual security selections. Derivatives are used to increase the fund’s exposure to markets, asset classes, or currencies to which the fund’s individual security selections have resulted in no or little exposure. Alternatively, the fund uses derivatives to decrease its exposure to markets or currencies to which the fund’s individual security selections have resulted in exposure. Derivatives are used for hedging or non-hedging purposes. While hedging can reduce or eliminate losses, it can also reduce or eliminate gains. When the fund uses derivatives as an investment to increase or decrease market exposure, or for hedging purposes, gains and losses from derivative instruments may be substantially greater than the derivative’s original cost.
The derivative instruments used by the fund during the period were written options, purchased options, futures contracts, forward foreign currency exchange contracts, and swap agreements. Depending on the type of derivative, a fund may exit a derivative position by entering into an offsetting transaction with a counterparty or exchange, negotiating an agreement with the derivative counterparty, or novating the position to a third party. The fund may be unable to promptly close out a futures position in instances where the daily fluctuation in the price for that type of future exceeds the daily limit set by the exchange. The fund's period end derivatives, as presented in the Portfolio of Investments and the associated Derivative Contract tables, generally are indicative of the volume of its derivative activity during the period.
The following table presents, by major type of derivative contract, the fair value, on a gross basis, of the asset and liability components of derivatives held by the fund at October 31, 2023 as reported in the Statement of Assets and Liabilities:
| | | Fair Value (a) |
| Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
| Equity | Purchased Option Contracts | $110,760 | $— |
| Equity | Futures Contracts | 5,245,987 | (406,470) |
| Interest Rate | Futures Contracts | 335,457 | (736,984) |
| Foreign Exchange | Forward Foreign Currency Exchange Contracts | 1,549,180 | (391,073) |
| Interest Rate | Cleared Swap Agreements | 925,734 | (399,319) |
| Total | | $8,167,118 | $(1,933,846) |
| (a) | The value of purchased options outstanding is included in investments in unaffiliated issuers, at value, within the Statement of Assets and Liabilities. Values presented in this table for futures contracts and cleared swap agreements correspond to the values reported in the Portfolio of Investments. Only the current day net variation margin for futures contracts and cleared swap agreements is reported separately within the Statement of Assets and Liabilities. |
Notes to Financial Statements - continued
The following table presents, by major type of derivative contract, the realized gain (loss) on derivatives held by the fund for the year ended October 31, 2023 as reported in the Statement of Operations:
| Risk | Futures
Contracts | Swap
Agreements | Forward Foreign
Currency
Exchange
Contracts | Unaffiliated Issuers
(Purchased
Options) | Written
Options |
| Interest Rate | $1,881,131 | $(1,715,171) | $— | $— | $— |
| Foreign Exchange | — | — | (1,787,964) | — | — |
| Equity | (2,470,327) | — | — | (29,633) | — |
| Credit | — | — | — | (16,592) | 6,800 |
| Total | $(589,196) | $(1,715,171) | $(1,787,964) | $(46,225) | $6,800 |
The following table presents, by major type of derivative contract, the change in unrealized appreciation or depreciation on derivatives held by the fund for the year ended October 31, 2023 as reported in the Statement of Operations:
| Risk | Futures
Contracts | Swap
Agreements | Forward Foreign
Currency
Exchange
Contracts | Unaffiliated Issuers
(Purchased
Options) |
| Interest Rate | $(1,174,408) | $1,384,257 | $— | $— |
| Foreign Exchange | — | — | (435,665) | — |
| Equity | 3,884,974 | — | — | (7,408) |
| Total | $2,710,566 | $1,384,257 | $(435,665) | $(7,408) |
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain, but not all, uncleared derivatives, the fund attempts to reduce its exposure to counterparty credit risk whenever possible by entering into an ISDA Master Agreement on a bilateral basis. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a specified deterioration in the credit quality of the other party. Upon an event of default or a termination of the ISDA Master Agreement, the non-defaulting party has the right to close out all transactions traded under such agreement and to net amounts owed under each agreement to one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the fund's credit risk to such counterparty equal to any amounts payable by the fund under the applicable transactions, if any.
Collateral and margin requirements differ by type of derivative. For cleared derivatives (e.g., futures contracts, cleared swaps, and exchange-traded options), margin requirements are set by the clearing broker and the clearing house and collateral, in the form of cash or securities, is posted by the fund directly with the clearing broker. Collateral terms are counterparty agreement specific for uncleared derivatives (e.g., forward foreign currency exchange contracts, uncleared swap agreements, and uncleared options) and collateral, in the form of cash and securities, is held in segregated accounts with the fund's custodian in connection with these agreements. For derivatives traded under an ISDA Master Agreement, which contains a credit support annex, the collateral requirements are netted across all transactions traded under such counterparty-specific agreement and an amount is posted from one party
Notes to Financial Statements - continued
to the other to collateralize such obligations. Cash that has been segregated or delivered to cover the fund's collateral or margin obligations under derivative contracts, if any, will be reported separately in the Statement of Assets and Liabilities as restricted cash for uncleared derivatives and/or deposits with brokers for cleared derivatives. Securities pledged as collateral or margin for the same purpose, if any, are noted in the Portfolio of Investments. The fund may be required to make payments of interest on uncovered collateral or margin obligations with the broker. Any such payments are included in “Interest expense and fees” in the Statement of Operations.
The following table presents the fund's derivative assets and liabilities (by type) on a gross basis as of October 31, 2023:
| Gross Amounts of: | Derivative Assets | Derivative Liabilities |
| Futures Contracts (a) | $— | $(360,126) |
| Cleared Swap Agreements (a) | 551 | — |
| Forward Foreign Currency Exchange Contracts | 1,549,180 | (391,073) |
| Purchased Options (a) | 110,760 | — |
Total Gross Amount of Derivative Assets
and Liabilities Presented in the
Statement of Assets & Liabilities | $1,660,491 | $(751,199) |
Less: Derivative Assets and Liabilities Not Subject
to a Master Netting Agreement or
Similar Arrangement | 1,558,980 | (638,472) |
Total Gross Amount of Derivative Assets and
Liabilities Subject to a Master Netting Agreement or
Similar Arrangement | $101,511 | $(112,727) |
| (a) | The value of purchased options outstanding is included in investments in unaffiliated issuers, at value, within the Statement of Assets and Liabilities.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. |
Notes to Financial Statements - continued
The following table presents (by counterparty) the fund's derivative assets net of amounts available for offset under Master Netting Agreements (or similar arrangements) and net of the related collateral held by the fund at October 31, 2023:
| | | 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 | $11,903 | $(11,903) | $— | $— | $— |
| Citibank N.A. | 7,382 | — | — | — | 7,382 |
| Deutsche Bank AG | 16,228 | (5,794) | — | — | 10,434 |
| Goldman Sachs International | 12 | — | — | — | 12 |
| JPMorgan Chase Bank N.A. | 23,098 | (23,098) | — | — | — |
| Morgan Stanley Capital Services, Inc. | 42,888 | (4,542) | — | — | 38,346 |
| Total | $101,511 | $(45,337) | $— | $— | $56,174 |
The following table presents (by counterparty) the fund's derivative liabilities net of amounts available for offset under Master Netting Agreements (or similar arrangements) and net of the related collateral pledged by the fund at October 31, 2023:
| | | 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 | $(68,628) | $11,903 | $— | $— | $(56,725) |
| Deutsche Bank AG | (5,794) | 5,794 | — | — | — |
| JPMorgan Chase Bank N.A. | (33,763) | 23,098 | — | — | (10,665) |
| Morgan Stanley Capital Services, Inc. | (4,542) | 4,542 | — | — | — |
| Total | $(112,727) | $45,337 | $— | $— | $(67,390) |
| (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. |
Notes to Financial Statements - continued
Written Options — In exchange for a premium, the fund wrote put options on securities for which it anticipated the price would increase. At the time the option was written, the fund believed the premium received exceeded the potential loss that could result from adverse price changes in the options’ underlying securities. In a written option, the fund as the option writer grants the buyer the right to purchase from, or sell to, the fund a specified number of shares or units of a particular security, currency or index at a specified price within a specified period of time.
The premium received is initially recorded as a liability in the Statement of Assets and Liabilities. The option is subsequently marked-to-market daily with the difference between the premium received and the market value of the written option being recorded as unrealized appreciation or depreciation. When a written option expires, the fund realizes a gain equal to the amount of the premium received. The difference between the premium received and the amount paid on effecting a closing transaction is considered a realized gain or loss. When a written put option is exercised, the premium reduces the cost basis of the security purchased by the fund.
At the initiation of the written option contract, for exchange traded options, the fund is required to deposit securities or cash as collateral with the custodian for the benefit of the broker or directly with the clearing broker, based on the type of option. For uncleared options, the fund may post collateral subject to the terms of an ISDA Master Agreement as generally described above if the market value of the options contract moves against it. The fund, as writer of an option, may have no control over whether the underlying securities may be sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the securities underlying the written option. Losses from writing options can exceed the premium received and can exceed the potential loss from an ordinary buy and sell transaction. Although the fund’s market risk may be significant, the maximum counterparty credit risk to the fund is equal to the market value of any collateral posted to the broker. For uncleared options, this risk is mitigated in cases where there is an ISDA Master Agreement between the fund and the counterparty providing for netting as described above.
Purchased Options — The fund purchased put options for a premium. Purchased put options entitle the holder to sell a specified number of shares or units of a particular security, currency or index at a specified price at a specified date or within a specified period of time. Purchasing put options may hedge against an anticipated decline in the value of portfolio securities or currency or decrease the fund's exposure to an underlying instrument.
The premium paid is initially recorded as an investment in the Statement of Assets and Liabilities. That investment is subsequently marked-to-market daily with the difference between the premium paid and the market value of the purchased option being recorded as unrealized appreciation or depreciation. Premiums paid for purchased put options which have expired are treated as realized losses on investments in the Statement of Operations. Upon the exercise or closing of a purchased put option, the premium paid is offset against the proceeds on the sale of the underlying security or financial instrument in order to determine the realized gain or loss on investments.
Whether or not the option is exercised, the fund's maximum risk of loss from purchasing an option is the amount of premium paid. All option contracts involve credit risk if the counterparty to the option contract fails to perform. For uncleared options, this risk is mitigated in cases where there is an ISDA Master Agreement
Notes to Financial Statements - continued
between the fund and the counterparty providing for netting as described above and, where applicable, by the posting of collateral by the counterparty to the fund to cover the fund’s exposure to the counterparty under such ISDA Master Agreement.
Futures Contracts — The fund entered into futures contracts which may be used to hedge against or obtain broad market exposure, interest rate exposure, currency exposure, or to manage duration. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a futures contract, the fund is required to deposit with the broker, either in cash or securities, an initial margin in an amount equal to a specified percentage of the notional amount of the contract. Subsequent payments (variation margin) are made or received by the fund each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gain or loss by the fund until the contract is closed or expires at which point the gain or loss on futures contracts is realized.
The fund bears the risk of interest rates, exchange rates or securities prices moving unexpectedly, in which case, the fund may not achieve the anticipated benefits of the futures contracts and may realize a loss. While futures contracts may present less counterparty risk to the fund since the contracts are exchange traded and the exchange’s clearinghouse guarantees payments to the broker, there is still counterparty credit risk due to the insolvency of the broker. The fund’s maximum risk of loss due to counterparty credit risk is equal to the margin posted by the fund to the broker plus any gains or minus any losses on the outstanding futures contracts.
Forward Foreign Currency Exchange Contracts — The fund entered into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. These contracts may be used to hedge the fund’s currency risk or for non-hedging purposes. For hedging purposes, the fund may enter into contracts to deliver or receive foreign currency that the fund will receive from or use in its normal investment activities. The fund may also use contracts to hedge against declines in the value of foreign currency denominated securities due to unfavorable exchange rate movements. For non-hedging purposes, the fund may enter into contracts with the intent of changing the relative exposure of the fund’s portfolio of securities to different currencies to take advantage of anticipated exchange rate changes.
Forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any unrealized gains or losses are recorded as a receivable or payable for forward foreign currency exchange contracts until the contract settlement date. On contract settlement date, any gain or loss on the contract is recorded as realized gains or losses on forward foreign currency exchange contracts.
Risks may arise upon entering into these contracts from unanticipated movements in the value of the contract and from the potential inability of counterparties to meet the terms of their contracts. Generally, the fund’s maximum risk due to counterparty credit risk is the unrealized gain on the contract due to the use of Continuous Linked Settlement, a multicurrency cash settlement system for the centralized settlement of foreign transactions. This risk is mitigated in cases where there is an ISDA Master
Notes to Financial Statements - continued
Agreement between the fund and the counterparty providing for netting as described above and, where applicable, by the posting of collateral by the counterparty to the fund to cover the fund’s exposure to the counterparty under such ISDA Master Agreement.
Swap Agreements — The fund entered into swap agreements which generally involve a periodic exchange of cash payments on a net basis, at specified intervals or upon the occurrence of specified events, between the fund and a counterparty. Certain swap agreements may be entered into as a bilateral contract (“uncleared swaps”) while others are required to be centrally cleared (“cleared swaps”).
Both cleared and uncleared swap agreements are marked to market daily. The value of uncleared swap agreements is reported in the Statement of Assets and Liabilities as “Uncleared swaps, at value” which includes any related interest accruals to be paid or received by the fund. For cleared swaps, payments (variation margin) are made or received by the fund each day, depending on the daily fluctuations in the value of the cleared swap, such that only the current day net receivable or payable for variation margin is reported in the Statement of Assets and Liabilities.
For both cleared and uncleared swaps, premiums paid or received at the inception of the agreements are amortized over the term of the agreement as realized gain or loss on swap agreements in the Statement of Operations. The periodic exchange of net cash payments, as well as any liquidation payment received or made upon early termination, are recorded as a realized gain or loss on swap agreements in the Statement of Operations. The change in unrealized appreciation or depreciation on swap agreements in the Statement of Operations reflects the aggregate change over the reporting period in the value of swaps net of any unamortized premiums paid or received.
Risks related to swap agreements include the possible lack of a liquid market, unfavorable market and interest rate movements of the underlying instrument and the failure of the counterparty to perform under the terms of the agreements. The fund's maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the contract's remaining life, to the extent that the amount is positive. To address counterparty risk, uncleared swap agreements are limited to only highly-rated counterparties. Risk is further reduced by having an ISDA Master Agreement (“ISDA”) between the fund and the counterparty and, where applicable, by the posting of collateral by the counterparty to the fund to cover the fund’s exposure to the counterparty under such ISDA. The fund's counterparty risk due to cleared swaps is mitigated by the fact that the clearinghouse is the true counterparty to the transaction and the regulatory requirement safeguards in the event of a clearing broker bankruptcy.
The fund entered into interest rate swap agreements in order to manage its exposure to interest or foreign exchange rate fluctuations. Interest rate swap agreements involve the periodic exchange of cash flows, between the fund and a counterparty, based on the difference between two interest rates applied to a notional principal amount. The two interest rates exchanged may either be a fixed rate and a floating rate or two floating rates based on different indices.
Short Sales — The fund entered into short sales whereby it sells a security it does not own in anticipation of a decline in the value of that security. The fund will realize a gain if the security price decreases and a loss if the security price increases between the date
Notes to Financial Statements - continued
of the short sale and the date on which the fund replaces the borrowed security. Losses from short sales can exceed the proceeds of the security sold; and they can also exceed the potential loss from an ordinary buy and sell transaction. The amount of any premium, dividends, or interest the fund may be required to pay in connection with a short sale will be recognized as a fund expense. During the year ended October 31, 2023, this expense amounted to $1,478.
Security Loans — Under its Securities Lending Agency Agreement with the fund, JPMorgan Chase and Co., as lending agent, loans the securities of the fund to certain qualified institutions (the “Borrowers”) approved by the fund. Security loans can be terminated at the discretion of either the lending agent or the fund and the related securities must be returned within the earlier of the standard trade settlement period for such securities or within three business days. The loans are collateralized by cash and/or U.S. Treasury and federal agency obligations in an amount typically at least equal to the market value of the securities loaned. On loans collateralized by cash, the cash collateral is invested in a money market fund. The market value of the loaned securities is determined at the close of business of the fund and any additional required collateral is delivered to the fund on the next business day. The lending agent provides the fund with indemnification against Borrower default. In the event of Borrower default, the lending agent will, for the benefit of the fund, either purchase securities identical to those loaned or, when such purchase is commercially impracticable, pay the fund the market value of the loaned securities. In return, the lending agent assumes the fund's rights to the related collateral. If the collateral value is less than the cost to purchase identical securities, the lending agent is responsible for the shortfall, but only to the extent that such shortfall is not due to a decline in collateral value resulting from collateral reinvestment for which the fund bears the risk of loss. At period end, the fund had investment securities on loan, all of which were classified as equity securities in the fund's Portfolio of Investments, with a fair value of $100,888. The fair value of the fund's investment securities on loan and a related liability of $62,650 for cash collateral received on securities loaned are both presented gross in the Statement of Assets and Liabilities. Additionally, these loans were collateralized by U.S. Treasury Obligations of $47,319 held by the lending agent. The collateral on securities loaned exceeded the value of securities on loan at period end. The liability for cash collateral for securities loaned is carried at fair value, which is categorized as level 2 within the fair value hierarchy. A portion of the income generated upon investment of the collateral is remitted to the Borrowers, and the remainder is allocated between the fund and the lending agent. On loans collateralized by U.S. Treasury and/or federal agency obligations, a fee is received from the Borrower, and is allocated between the fund and the lending agent. Income from securities lending is separately reported in the Statement of Operations. The dividend and interest income earned on the securities loaned is accounted for in the same manner as other dividend and interest income.
Indemnifications — Under the fund's organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the fund. Additionally, in the normal course of business, the fund enters into agreements with service providers that may contain indemnification clauses. The fund's maximum exposure under these agreements is unknown as this would involve future claims that may be made against the fund that have not yet occurred.
Notes to Financial Statements - continued
Investment Transactions and Income — Interest income is recorded on the accrual basis. All premium and discount is amortized or accreted for financial statement purposes in accordance with U.S. generally accepted accounting principles. Dividends received in cash are recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded when the fund is informed of the dividend if such information is obtained subsequent to the ex-dividend date. Dividend and interest payments received in additional securities are recorded on the ex-dividend or ex-interest date in an amount equal to the value of the security on such date.
The fund may receive proceeds from litigation settlements. Any proceeds received from litigation involving portfolio holdings are reflected in the Statement of Operations in realized gain/loss if the security has been disposed of by the fund or in unrealized gain/loss if the security is still held by the fund. Any other proceeds from litigation not related to portfolio holdings are reflected as other income in the Statement of Operations.
Investment transactions are recorded on the trade date. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
The fund may purchase or sell securities on a when-issued or delayed delivery basis. In these extended settlement transactions, the receipt or delivery of the securities by the fund and related payments occur at a future date, usually beyond the customary settlement period. The price of such security and the date that the security will be settled are generally fixed at the time the transaction is negotiated. The value of the security varies with market fluctuations and for debt securities no interest accrues to the fund until settlement takes place. When the fund sells securities on a when-issued or delayed delivery basis, the fund typically owns or has the right to acquire securities equivalent in kind and amount to the securities sold. Purchase and sale commitments for when-issued or delayed delivery securities are held at carrying amount, which approximates fair value and are categorized as level 2 within the fair value hierarchy, and included in When-issued investments purchased and When-issued investments sold in the Statement of Assets and Liabilities, as applicable. Losses may arise due to changes in the value of the underlying securities prior to settlement date or if the counterparty does not perform under the contract’s terms, or if the issuer does not issue the securities due to political, economic or other factors.
Fees Paid Indirectly — The fund's custody fee may be reduced by a credit earned under an arrangement that measures the value of U.S. dollars deposited with the custodian by the fund. The amount of the credit, for the year ended October 31, 2023, is shown as a reduction of total expenses in the Statement of Operations.
Tax Matters and Distributions — The fund intends to qualify as a regulated investment company, as defined under Subchapter M of the Internal Revenue Code, and to distribute all of its taxable income, including realized capital gains. As a result, no provision for federal income tax is required. The fund’s federal tax returns, when filed, will remain subject to examination by the Internal Revenue Service for a three year period. Management has analyzed the fund’s tax positions taken on federal and state tax returns for all open tax years and does not believe that there are any uncertain tax positions that require recognition of a tax liability. Foreign taxes, if any, have been accrued by the fund in the accompanying financial statements in accordance with the
Notes to Financial Statements - continued
applicable foreign tax law. Foreign income taxes may be withheld by certain countries in which the fund invests. Additionally, capital gains realized by the fund on securities issued in or by certain foreign countries may be subject to capital gains tax imposed by those countries.
Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences which arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future.
Book/tax differences primarily relate to wash sale loss deferrals, straddle loss deferrals, and derivative transactions.
The tax character of distributions declared to shareholders for the last two fiscal years is as follows:
| | Year ended
10/31/23 | Year ended
10/31/22 |
| Ordinary income (including any short-term capital gains) | $860,466 | $1,041,120 |
The federal tax cost and the tax basis components of distributable earnings were as follows:
| As of 10/31/23 | |
| Cost of investments | $125,226,546 |
| Gross appreciation | 26,211,188 |
| Gross depreciation | (9,333,016) |
| Net unrealized appreciation (depreciation) | $16,878,172 |
| Undistributed ordinary income | 1,594,174 |
| Capital loss carryforwards | (31,818,744) |
| Other temporary differences | (40,531) |
| Total distributable earnings (loss) | $(13,386,929) |
As of October 31, 2023, the fund had capital loss carryforwards available to offset future realized gains. These net capital losses may be carried forward indefinitely and their character is retained as short-term and/or long-term losses. Such losses are characterized as follows:
Multiple Classes of Shares of Beneficial Interest — The fund offers multiple classes of shares, which differ in their respective distribution and service fees. The fund's income, realized and unrealized gain (loss), and common expenses are allocated to shareholders based on the daily net assets of each class. Dividends are declared separately for each class. Differences in per share dividend rates are generally due to differences in separate class expenses. Class B and Class C shares will convert to
Notes to Financial Statements - continued
Class A shares approximately eight years after purchase. The fund’s distributions declared to shareholders as reported in the Statements of Changes in Net Assets are presented by class as follows:
| | Year ended
10/31/23 | Year ended
10/31/22 |
| Class A | $88,454 | $111,071 |
| Class I | 574,115 | 680,285 |
| Class R2 | 353 | 1,289 |
| Class R3 | 1,371 | 5,416 |
| Class R4 | 3,708 | 335 |
| Class R6 | 192,465 | 242,724 |
| Total | $860,466 | $1,041,120 |
(3) Transactions with Affiliates
Investment Adviser — The fund has an investment advisory agreement with MFS to provide overall investment management and related administrative services and facilities to the fund. The management fee is computed daily and paid monthly at the following annual rates based on the fund's average daily net assets:
| 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% |
MFS has agreed in writing to reduce its management fee by a specified amount if certain MFS mutual fund assets exceed thresholds agreed to by MFS and the fund's Board of Trustees. MFS has also agreed in writing to waive at least 0.01% of its management fee as part of this agreement. The agreement to waive at least 0.01% of the management fee will continue until modified by the fund's Board of Trustees, but such agreement will continue at least until February 28, 2025. For the year ended October 31, 2023, this management fee reduction amounted to $18,723, which is included in the reduction of total expenses in the Statement of Operations. The management fee incurred for the year ended October 31, 2023 was equivalent to an annual effective rate of 0.79% of the fund's average daily net assets.
The investment adviser has agreed in writing to pay a portion of the fund’s total annual operating expenses, excluding interest, taxes, extraordinary expenses, brokerage and transaction costs, certain tax reclaim recovery expenses (including contingency fees and closing agreement expenses), and investment-related expenses (such as short sale dividend and interest expenses incurred in connection with the fund’s investment activity), such that total fund operating expenses do not exceed the following rates annually of each class’s average daily net assets:
| | | | | 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% |
This written agreement will continue until modified by the fund’s Board of Trustees, but such agreement will continue at least until February 28, 2025. For the year ended October 31, 2023, this reduction amounted to $270,834, which is included in the reduction of total expenses in the Statement of Operations.
Notes to Financial Statements - continued
Distributor — MFS Fund Distributors, Inc. (MFD), a wholly-owned subsidiary of MFS, as distributor, received $3,368 for the year ended October 31, 2023, as its portion of the initial sales charge on sales of Class A shares of the fund.
The Board of Trustees has adopted a distribution plan for certain share classes pursuant to Rule 12b-1 of the Investment Company Act of 1940.
The fund's distribution plan provides that the fund will pay MFD for services provided by MFD and financial intermediaries in connection with the distribution and servicing of certain share classes. One component of the plan is a distribution fee paid to MFD and another component of the plan is a service fee paid to MFD. MFD may subsequently pay all, or a portion, of the distribution and/or service fees to financial intermediaries. The distribution and service fees are computed daily and paid monthly.
Distribution Plan Fee Table:
| | 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% | $ 63,689 |
| Class B | 0.75% | 0.25% | 1.00% | 1.00% | 14,028 |
| Class C | 0.75% | 0.25% | 1.00% | 1.00% | 26,298 |
| Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 1,153 |
| Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 2,507 |
| Class R3 | — | 0.25% | 0.25% | 0.25% | 2,199 |
| Total Distribution and Service Fees | | | | | $109,874 |
| (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, 2023 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, 2023, this rebate amounted to $1 for Class A shares and is included in the reduction of total expenses in the Statement of Operations. |
Certain Class A shares are subject to a contingent deferred sales charge (CDSC) in the event of a shareholder redemption within 18 months of purchase. Class B shares are subject to a CDSC in the event of a shareholder redemption within six years of purchase. Class C shares are subject to a CDSC in the event of a shareholder redemption within 12 months of purchase. All contingent deferred sales charges are paid to MFD and during the year ended October 31, 2023, were as follows:
| | Amount |
| Class A | $200 |
| Class B | 62 |
| Class C | 2,155 |
Notes to Financial Statements - continued
Shareholder Servicing Agent — MFS Service Center, Inc. (MFSC), a wholly-owned subsidiary of MFS, receives a fee from the fund for its services as shareholder servicing agent calculated as a percentage of the average daily net assets of the fund as determined periodically under the supervision of the fund's Board of Trustees. For the year ended October 31, 2023, the fee was $10,795, which equated to 0.0074% annually of the fund's average daily net assets. MFSC also receives reimbursement from the fund for out-of-pocket expenses, sub-accounting and other shareholder servicing costs which may be paid to affiliated and unaffiliated service providers. Class R6 shares do not incur sub-accounting fees. For the year ended October 31, 2023, these out-of-pocket expenses, sub-accounting and other shareholder servicing costs amounted to $122,150.
Administrator — MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to the fund. Under an administrative services agreement, the fund reimburses MFS the costs incurred to provide these services. The fund is charged an annual fixed amount of $17,500 plus a fee based on average daily net assets. The administrative services fee is computed daily and paid monthly. The administrative services fee incurred for the year ended October 31, 2023 was equivalent to an annual effective rate of 0.0215% of the fund's average daily net assets.
Trustees’ and Officers’ Compensation — The fund pays compensation to independent Trustees in the form of a retainer, attendance fees, and additional compensation to Board and Committee chairpersons. Independent Trustees’ compensation is accrued daily and paid subsequent to each Trustee Board meeting. The fund does not pay compensation directly to Trustees or officers of the fund who are also officers of the investment adviser, all of whom receive remuneration from MFS for their services to the fund. Certain officers and Trustees of the fund are officers or directors of MFS, MFD, and MFSC.
Other — The fund invests in the MFS Institutional Money Market Portfolio which is managed by MFS and seeks current income consistent with preservation of capital and liquidity. This money market fund does not pay a management fee to MFS but does incur investment and operating costs.
During the year ended October 31, 2023, pursuant to a policy adopted by the Board of Trustees and designed to comply with Rule 17a-7 under the Investment Company Act of 1940 (the “Act”) and relevant guidance, the fund engaged in purchase and sale transactions with funds and accounts for which MFS serves as investment adviser or sub-adviser (“cross-trades”) which amounted to $12,899 and $32,815, respectively. The sales transactions resulted in net realized gains (losses) of $(3,817).
(4) Portfolio Securities
For the year ended October 31, 2023, purchases and sales of investments, other than purchased options with an expiration date of less than one year from the time of purchase, short sales, and short-term obligations, were as follows:
| | Purchases | Sales |
| U.S. Government securities | $3,181,432 | $2,697,823 |
| Non-U.S. Government securities | 57,558,038 | 90,758,420 |
Notes to Financial Statements - continued
(5) Shares of Beneficial Interest
The fund's Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest. Transactions in fund shares were as follows:
| | Year ended
10/31/23 | | Year ended
10/31/22 |
| | Shares | Amount | | Shares | Amount |
| Shares sold | | | | | |
| Class A | 361,017 | $4,149,666 | | 487,164 | $5,469,700 |
| Class B | 4,765 | 53,046 | | 4,910 | 52,271 |
| Class C | 8,467 | 94,091 | | 82,132 | 893,191 |
| Class I | 1,603,020 | 18,417,631 | | 3,229,994 | 36,790,220 |
| Class R1 | 874 | 9,652 | | 74 | 799 |
| Class R2 | 1,062 | 11,986 | | 2,175 | 24,473 |
| Class R3 | 14,584 | 167,842 | | 10,878 | 123,059 |
| Class R4 | — | — | | 45,731 | 513,847 |
| Class R6 | 250,792 | 2,881,122 | | 322,341 | 3,658,267 |
| | 2,244,581 | $25,785,036 | | 4,185,399 | $47,525,827 |
Shares issued to shareholders
in reinvestment of distributions | | | | | |
| Class A | 7,202 | $80,587 | | 8,813 | $103,460 |
| Class I | 50,120 | 563,855 | | 54,315 | 640,921 |
| Class R2 | 32 | 353 | | 111 | 1,289 |
| Class R3 | 122 | 1,371 | | 461 | 5,416 |
| Class R4 | 329 | 3,708 | | 28 | 335 |
| Class R6 | 4,492 | 50,765 | | 6,838 | 81,098 |
| | 62,297 | $700,639 | | 70,566 | $832,519 |
| Shares reacquired | | | | | |
| Class A | (529,726) | $(6,048,932) | | (756,255) | $(8,520,202) |
| Class B | (85,708) | (952,503) | | (116,274) | (1,270,721) |
| Class C | (204,027) | (2,256,028) | | (246,717) | (2,698,221) |
| Class I | (3,413,322) | (39,145,372) | | (4,115,685) | (46,348,001) |
| Class R1 | (236) | (2,520) | | (102) | (1,067) |
| Class R2 | (12,087) | (137,597) | | (8,052) | (88,706) |
| Class R3 | (13,028) | (147,299) | | (67,539) | (751,038) |
| Class R4 | (38,403) | (436,805) | | — | — |
| Class R6 | (327,775) | (3,772,878) | | (794,374) | (8,996,098) |
| | (4,624,312) | $(52,899,934) | | (6,104,998) | $(68,674,054) |
Notes to Financial Statements - continued
| | Year ended
10/31/23 | | Year ended
10/31/22 |
| | Shares | Amount | | Shares | Amount |
| Net change | | | | | |
| Class A | (161,507) | $(1,818,679) | | (260,278) | $(2,947,042) |
| Class B | (80,943) | (899,457) | | (111,364) | (1,218,450) |
| Class C | (195,560) | (2,161,937) | | (164,585) | (1,805,030) |
| Class I | (1,760,182) | (20,163,886) | | (831,376) | (8,916,860) |
| Class R1 | 638 | 7,132 | | (28) | (268) |
| Class R2 | (10,993) | (125,258) | | (5,766) | (62,944) |
| Class R3 | 1,678 | 21,914 | | (56,200) | (622,563) |
| Class R4 | (38,074) | (433,097) | | 45,759 | 514,182 |
| Class R6 | (72,491) | (840,991) | | (465,195) | (5,256,733) |
| | (2,317,434) | $(26,414,259) | | (1,849,033) | $(20,315,708) |
Effective June 1, 2019, purchases of the fund’s Class B shares were closed to new and existing investors subject to certain exceptions. Effective September 29, 2023, purchases of Class R1 and Class R2 shares were closed to new eligible investors.
(6) Line of Credit
The fund and certain other funds managed by MFS participate in a $1.45 billion unsecured committed line of credit of which $1.2 billion is reserved for use by the fund and certain other MFS U.S. funds. The line of credit is provided by a syndicate of banks under a credit agreement. Borrowings may be made for temporary financing needs. Interest is charged to each fund, based on its borrowings, generally at a rate equal to the highest of 1) Daily Simple SOFR (Secured Overnight Financing Rate) plus 0.10%, 2) the Federal Funds Effective Rate, or 3) the Overnight Bank Funding Rate, each plus an agreed upon spread. A commitment fee, based on the average daily unused portion of the committed line of credit, is allocated among the participating funds. The line of credit expires on March 14, 2024 unless extended or renewed. In addition, the fund and other funds managed by MFS have established unsecured uncommitted borrowing arrangements with certain banks for temporary financing needs. Interest is charged to each fund, based on its borrowings, at rates equal to customary reference rates plus an agreed upon spread. For the year ended October 31, 2023, the fund’s commitment fee and interest expense were $777 and $0, respectively, and are included in “Interest expense and fees” in the Statement of Operations.
Notes to Financial Statements - continued
(7) Investments in Affiliated Issuers
An affiliated issuer may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the following were affiliated issuers:
| Affiliated Issuers | Beginning
Value | Purchases | Sales
Proceeds | Realized
Gain
(Loss) | Change in
Unrealized
Appreciation or
Depreciation | Ending
Value |
| MFS Institutional Money Market Portfolio | $1,390,993 | $129,909,954 | $121,446,767 | $(1,061) | $382 | $9,853,501 |
| Affiliated Issuers | Dividend
Income | Capital Gain
Distributions |
| MFS Institutional Money Market Portfolio | $337,941 | $— |
(8) LIBOR Transition
The London Interbank Offered Rate (LIBOR) was intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. Certain of the fund's investments, payment obligations, and financing terms were historically based on LIBOR. In 2017, the United Kingdom Financial Conduct Authority (FCA) announced plans to transition away from LIBOR by the end of 2021. LIBOR's administrator, ICE Benchmark Administration (IBA), ceased publication (on a representative basis) of many of its LIBOR settings as of December 31, 2021 and ceased publication (on a representative basis) of the remaining U.S. dollar LIBOR settings as of June 30, 2023. In addition, global regulators announced that, with limited exceptions, no new LIBOR-based contracts should be entered into after 2021. Although the FCA has announced that it will require the IBA to continue to publish certain select LIBOR rates on a synthetic basis after the relevant cessation dates, such synthetic rates are not considered to be representative of the underlying market and economic reality they are intended to measure, are expected to be published for a limited time period, and are intended solely for use on a limited basis for legacy transactions.
Regulators and industry groups have implemented measures to facilitate the transition away from LIBOR and other interbank offered rates to alternative reference rates, such as the Secured Overnight Financing Rate (SOFR). SOFR is a broad measure of the cost of borrowing cash overnight collateralized by U.S. Treasury securities in the repurchase agreement (repo) market. SOFR is published in various forms including as a daily, compounded, and forward-looking term rate. The transition to alternative reference rates may affect the liquidity and valuation of investments that were tied to LIBOR or other interbank offered rates and may lead to other consequences affecting securities and credit markets more broadly. For example, while some investments that were tied to LIBOR provided for an alternative or “fallback” rate-setting methodology in the event LIBOR is not available, there is uncertainty regarding the effectiveness of any such alternative methodologies to replace LIBOR and certain investments tied to LIBOR may not have fallback provisions. While legislation passed in the United States facilitates by operation of law the replacement of U.S. dollar LIBOR settings in certain legacy instruments with a specified replacement rate, such as SOFR, there is uncertainty
Notes to Financial Statements - continued
regarding the effectiveness of such legislation. There also remains uncertainty regarding the willingness and ability of parties to add or amend fallback provisions in certain other legacy instruments maturing after the cessation of the applicable LIBOR rates, which could create market and litigation risk.
It is difficult to quantify or predict the impact on the fund resulting from the transition from LIBOR to alternative reference rates and the potential effects of the transition from LIBOR on the fund, or on certain instruments in which the fund invests, are not known. The transition process may involve, among other things, increased volatility or illiquidity in markets for instruments that relied on LIBOR to determine interest rates. The transition may also result in a reduction in value of certain LIBOR-related investments held by the fund or reduce the effectiveness of related transactions such as hedges. Any such effects of the transition away from LIBOR and the adoption of alternative reference rates, as well as other unforeseen effects, could have an adverse impact on the fund's performance.
With respect to the fund’s accounting for investments, including investments in certain debt instruments and derivatives, as well as borrowings by the fund and any other contractual arrangements of the fund that undergo reference rate-related modifications as a result of the transition, management has and will continue to rely upon the relief provided by FASB Codification Topic 848 – Reference Rate Reform (Topic 848). The guidance in Topic 848 permits the fund to account for such contract modifications made on or before December 31, 2024 as a continuation of the existing contracts. The situation remains fluid, and management believes, based on best available information, that the impact of the transition will not be material to the fund.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of MFS Series Trust XV and the Shareholders of MFS Global Alternative Strategy Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of MFS Global Alternative Strategy Fund (the “Fund”), including the portfolio of investments, as of October 31, 2023, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of October 31, 2023, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights.
Report of Independent Registered Public Accounting Firm – continued
Our procedures included confirmation of securities owned as of October 31, 2023, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
December 14, 2023
We have served as the auditor of one or more of the MFS investment companies since 1924.
Trustees and Officers — Identification and Background
The Trustees and Officers of the Trust, as of December 1, 2023, are listed below, together with their principal occupations during the past five years. (Their titles may have varied during that period.) The address of each Trustee and Officer is 111 Huntington Avenue, Boston, Massachusetts 02199-7618.
| 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 TRUSTEE | | | | | | | | | | |
Michael W. Roberge (k)
(age 57) | | 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 69) | | Trustee and Chair of Trustees | | January 2009 | | 136 | | Private investor | | N/A |
Steven E. Buller
(age 72) | | Trustee | | February 2014 | | 136 | | Private investor | | N/A |
John A. Caroselli
(age 69) | | Trustee | | March 2017 | | 136 | | Private investor; JC Global Advisors, LLC (management consulting), President (since 2015) | | N/A |
Maureen R. Goldfarb
(age 68) | | Trustee | | January 2009 | | 136 | | Private investor | | N/A |
Peter D. Jones
(age 68) | | Trustee | | January 2019 | | 136 | | Private investor | | N/A |
James W. Kilman, Jr.
(age 62) | | 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) |
Trustees and Officers - continued
| 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 67) | | Trustee | | March 2017 | | 136 | | Private investor | | VF Corporation, Director; Verizon Communications, Inc., Director; The Travelers Companies, Director |
Maryanne L. Roepke
(age 67) | | Trustee | | May 2014 | | 136 | | Private investor | | N/A |
Laurie J. Thomsen
(age 66) | | 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 49) | | Assistant Secretary and Assistant Clerk | | July 2005 | | 136 | | Massachusetts Financial Services Company, Senior Vice President and Senior Managing Counsel |
Kino Clark (k)
(age 55) | | Assistant Treasurer | | January 2012 | | 136 | | Massachusetts Financial Services Company, Vice President |
John W. Clark, Jr. (k)
(age 56) | | Assistant Treasurer | | April 2017 | | 136 | | Massachusetts Financial Services Company, Vice President |
David L. DiLorenzo (k)
(age 55) | | President | | July 2005 | | 136 | | Massachusetts Financial Services Company, Senior Vice President |
Heidi W. Hardin (k)
(age 56) | | Secretary and Clerk | | April 2017 | | 136 | | Massachusetts Financial Services Company, Executive Vice President and General Counsel |
Brian E. Langenfeld (k)
(age 50) | | Assistant Secretary and Assistant Clerk | | June 2006 | | 136 | | Massachusetts Financial Services Company, Vice President and Managing Counsel |
Trustees and Officers - continued
| 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 47) | | 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 44) | | Assistant Secretary and Assistant Clerk | | September 2018 | | 136 | | Massachusetts Financial Services Company, Assistant Vice President and Senior Counsel |
Susan A. Pereira (k)
(age 53) | | Assistant Secretary and Assistant Clerk | | July 2005 | | 136 | | Massachusetts Financial Services Company, Vice President and Managing Counsel |
Kasey L. Phillips (k)
(age 52) | | Assistant Treasurer | | September 2012 | | 136 | | Massachusetts Financial Services Company, Vice President |
Matthew A. Stowe (k)
(age 49) | | Assistant Secretary and Assistant Clerk | | October 2014 | | 136 | | Massachusetts Financial Services Company, Vice President and Senior Managing Counsel |
William B. Wilson (k)
(age 41) | | Assistant Secretary and Assistant Clerk | | October 2022 | | 136 | | Massachusetts Financial Services Company, Assistant Vice President and Senior Counsel |
James O. Yost (k)
(age 63) | | 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. |
Trustees and Officers - continued
Each Trustee (other than Messrs. Jones, Kilman and Roberge) has been elected by shareholders and each Trustee and Officer holds office until his or her successor is chosen and qualified or until his or her earlier death, resignation, retirement or removal. Mr. Roberge became a Trustee of the Funds on January 1, 2021 and Messrs. Jones and Kilman became Trustees of the Funds on January 1, 2019. The Trust does not hold annual meetings for the purpose of electing Trustees, and Trustees are not elected for fixed terms. Under the terms of the Board's retirement policy, an Independent Trustee shall retire at the end of the calendar year in which he or she reaches the earlier of 75 years of age or 15 years of service on the Board (or, in the case of any Independent Trustee who joined the Board prior to 2015, 20 years of service on the Board).
Messrs. Buller, Kilman and Otis and Ms. Roepke are members of the Trust’s Audit Committee.
Each of the Interested Trustees and certain Officers hold comparable officer positions with certain affiliates of MFS.
The Statement of Additional Information for a Fund includes further information about the Trustees and is available without charge upon request by calling 1-800-225-2606.
| 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 | |
Board Review of Investment Advisory Agreement
MFS Global Alternative Strategy Fund
The Investment Company Act of 1940 requires that both the full Board of Trustees and a majority of the non-interested (“independent”) Trustees, voting separately, annually approve the continuation of the Fund’s investment advisory agreement with MFS. The Trustees consider matters bearing on the Fund and its advisory arrangements at their meetings throughout the year, including a review of performance data at each regular meeting. In addition, the independent Trustees met several times over the course of three months beginning in May and ending in July, 2023 (“contract review meetings”) for the specific purpose of considering whether to approve the continuation of the investment advisory agreement for the Fund and the other investment companies that the Board oversees (the “MFS Funds”). The independent Trustees were assisted in their evaluation of the Fund’s investment advisory agreement by independent legal counsel, from whom they received separate legal advice and with whom they met separately from MFS during various contract review meetings. The independent Trustees were also assisted in this process by an independent consultant who was retained by and reported to the independent Trustees.
In connection with their deliberations regarding the continuation of the investment advisory agreement, the Trustees, including the independent Trustees, considered such information and factors as they believed, in light of the legal advice furnished to them and their own business judgment, to be relevant. The investment advisory agreement for the Fund was considered separately, although the Trustees also took into account the common interests of all MFS Funds in their review. As described below, the Trustees considered the nature, quality, and extent of the various investment advisory, administrative, and shareholder services performed by MFS under the existing investment advisory agreement and other arrangements with the Fund.
In connection with their contract review meetings, the Trustees received and relied upon materials that included, among other items: (i) information provided by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent third party, on the investment performance of the Fund for various time periods ended December 31, 2022 and the investment performance of a group of funds with substantially similar investment classifications/objectives (the “Broadridge performance universe”), (ii) information provided by Broadridge on the Fund’s advisory fees and other expenses and the advisory fees and other expenses of comparable funds identified by Broadridge as well as all other funds in the same investment classification/category (the “Broadridge expense group and universe”), (iii) information provided by MFS on the advisory fees of portfolios of other clients of MFS, including institutional separate accounts and other clients, (iv) information as to whether and to what extent applicable expense waivers, reimbursements or fee “breakpoints” are observed for the Fund, (v) information regarding MFS’ financial results and financial condition, including MFS’ and certain of its affiliates’ estimated profitability from services performed for the Fund and the MFS Funds as a whole, and compared to MFS’ institutional business, (vi) MFS’ views regarding the outlook for the mutual fund industry and the strategic business plans of MFS, (vii) descriptions of various functions performed by MFS for the Funds, such as compliance monitoring and portfolio trading practices, and (viii) information regarding the overall organization of MFS, including information about
Board Review of Investment Advisory Agreement - continued
MFS’ senior management and other personnel providing investment advisory, administrative and other services to the Fund and the other MFS Funds. The comparative performance, fee and expense information prepared and provided by Broadridge was not independently verified and the independent Trustees did not independently verify any information provided to them by MFS.
The Trustees’ conclusion as to the continuation of the investment advisory agreement was based on a comprehensive consideration of all information provided to the Trustees and not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations are described below, although individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. It is also important to recognize that the fee arrangements for the Fund and other MFS Funds are the result of years of review and discussion between the independent Trustees and MFS, that certain aspects of such arrangements may receive greater scrutiny in some years than in others, and that the Trustees’ conclusions may be based, in part, on their consideration of these same arrangements during the course of the year and in prior years.
Based on information provided by Broadridge and MFS, the Trustees reviewed the Fund’s total return investment performance as well as the Broadridge performance universe over various time periods. The Trustees placed particular emphasis on the total return performance of the Fund’s Class I shares in comparison to the performance of funds in its Broadridge performance universe over the five-year period ended December 31, 2022, which the Trustees believed was a long enough period to reflect differing market conditions. The total return performance of the Fund’s Class I shares was in the 2nd quintile relative to the other funds in the universe for this five-year period (the 1st quintile being the best performers and the 5th quintile being the worst performers). The total return performance of the Fund’s Class I shares was in the 3rd quintile for each of the one- and three-year periods ended December 31, 2022 relative to the Broadridge performance universe. Because of the passage of time, these performance results may differ from the performance results for more recent periods, including those shown elsewhere in this report.
In the course of their deliberations, the Trustees took into account information provided by MFS in connection with the contract review meetings, as well as during investment review meetings conducted with portfolio management personnel during the course of the year regarding the Fund’s performance. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the investment advisory agreement, that they were satisfied with MFS’ responses and efforts relating to investment performance.
In assessing the reasonableness of the Fund’s advisory fee, the Trustees considered, among other information, the Fund’s advisory fee and the total expense ratio of the Fund’s Class I shares as a percentage of average daily net assets and the advisory fee and total expense ratios of the Broadridge expense group based on information provided by Broadridge. The Trustees considered that MFS currently observes an expense limitation for the Fund, which may not be changed without the Trustees’ approval. The Trustees also considered that, according to the data provided by Broadridge (which takes into account any fee reductions or expense limitations that were in effect during the Fund’s last fiscal year), the Fund’s effective advisory fee rate and total expense ratio were each lower than the Broadridge expense group median.
Board Review of Investment Advisory Agreement - continued
The Trustees also considered the advisory fees charged by MFS to any institutional separate accounts advised by MFS (“separate accounts”) and unaffiliated investment companies for which MFS serves as subadviser (“subadvised funds”) that have comparable investment strategies to the Fund, if any. In comparing these fees, the Trustees considered information provided by MFS as to the generally broader scope of services provided by MFS to the Fund, as well as the more extensive regulatory burdens imposed on MFS in managing the Fund, in comparison to separate accounts and subadvised funds. The Trustees also considered the higher demands placed on MFS’ investment personnel and trading infrastructure as a result of the daily cash in-flows and out-flows of the Fund in comparison to separate accounts.
The Trustees also considered whether the Fund may benefit from any economies of scale in the management of the Fund in the event of growth in assets of the Fund and/or growth in assets of the MFS Funds as a whole. They noted that the Fund’s advisory fee rate schedule is subject to contractual breakpoints that reduce the Fund’s advisory fee rate on average daily net assets over $1 billion and $2.5 billion. The Trustees also noted that MFS has agreed in writing to waive a portion of the management fees of certain MFS Funds, including the Fund, if the total combined assets of certain funds within the MFS Funds’ complex increase above agreed upon thresholds (the “group fee waiver”), enabling the Fund’s shareholders to share in the benefits from any economies of scale at the complex level. The group fee waiver is reviewed and renewed annually between the Board and MFS. The Trustees concluded that the breakpoints and the group fee waiver were sufficient to allow the Fund to benefit from economies of scale as its assets and overall complex assets grow.
The Trustees also considered information prepared by MFS relating to MFS’ costs and profits with respect to the Fund, the MFS Funds considered as a group, and other investment companies and accounts advised by MFS, as well as MFS’ methodologies used to determine and allocate its costs to the MFS Funds, the Fund and other accounts and products for purposes of estimating profitability.
After reviewing these and other factors described herein, the Trustees concluded, within the context of their overall conclusions regarding the investment advisory agreement, that the advisory fees charged to the Fund represent reasonable compensation in light of the services being provided by MFS to the Fund.
In addition, the Trustees considered MFS’ resources and related efforts to continue to retain, attract and motivate capable personnel to serve the Fund. The Trustees also considered current and developing conditions in the financial services industry, including the presence of large and well-capitalized companies which are spending, and appear to be prepared to continue to spend, substantial sums to engage personnel and to provide services to competing investment companies. In this regard, the Trustees also considered the financial resources of MFS and its ultimate parent, Sun Life Financial Inc. The Trustees also considered the advantages and possible disadvantages to the Fund of having an adviser that also serves other investment companies as well as other accounts.
The Trustees also considered the nature, quality, cost, and extent of administrative, transfer agency, and distribution services provided to the Fund by MFS and its affiliates under agreements and plans other than the investment advisory agreement, including any 12b-1 fees the Fund pays to MFS Fund Distributors, Inc., an affiliate of MFS. The Trustees also considered the nature, extent and quality of certain other services MFS performs or arranges for on the Fund’s behalf, which may include securities
Board Review of Investment Advisory Agreement - continued
lending programs, directed expense payment programs, class action recovery programs, and MFS’ interaction with third-party service providers, principally custodians and sub-custodians. The Trustees concluded that the various non-advisory services provided by MFS and its affiliates on behalf of the Fund were satisfactory.
The Trustees considered so-called “fall-out benefits” to MFS such as reputational value derived from serving as investment manager to the MFS Funds. The Trustees also considered that MFS discontinued its historic practice of obtaining investment research from portfolio brokerage commissions paid by certain MFS Funds effective January 2018, and directly pays or voluntarily reimburses a Fund, if applicable, for the costs of external research acquired through the use of the Fund’s portfolio brokerage commissions.
Based on their evaluation of factors that they deemed to be material, including those factors described above, the Board of Trustees, including the independent Trustees, concluded that the Fund’s investment advisory agreement with MFS should be continued for an additional one-year period, commencing August 1, 2023.
Proxy Voting Policies and Information
MFS votes proxies on behalf of the fund pursuant to proxy voting policies and procedures that are available without charge, upon request, by calling 1-800-225-2606, by visiting mfs.com/proxyvoting, or by visiting the SEC’s Web site at http://www.sec.gov.
Information regarding how the fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available by August 31 of each year without charge by visiting mfs.com/proxyvoting, or by visiting the SEC’s Web site at http://www.sec.gov.
Quarterly Portfolio Disclosure
The fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund's Form N-PORT reports are available on the SEC's Web site at http://www.sec.gov. A shareholder can obtain the portfolio holdings report for the first and third quarters of the fund's fiscal year at mfs.com/openendfunds by choosing the fund's name and then scrolling to the “Resources” section and clicking on the “Prospectus and Reports” tab.
Further Information
From time to time, MFS may post important information about the fund or the MFS Funds on the MFS Web site (mfs.com). This information is available at https://www.mfs.com/announcements or at mfs.com/openendfunds by choosing the fund’s name and then scrolling to the “Resources” section and clicking on the “Announcements” tab, if any.
Information About Fund Contracts and Legal Claims
The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent, and custodian who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
Under the Trust’s By-Laws and Declaration of Trust, any claims asserted against or on behalf of the MFS Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.
Federal Tax Information (unaudited)
The fund will notify shareholders of amounts for use in preparing 2023 income tax forms in January 2024. The following information is provided pursuant to provisions of the Internal Revenue Code.
The fund designates the maximum amount allowable as qualified dividend income eligible to be taxed at the same rate as long-term capital gain.
For corporate shareholders, 100.00% of the ordinary income dividends paid during the prior calendar year qualify for the corporate dividends received deduction.
The fund designates the maximum amount allowable as Section 199A dividends as defined in Proposed Treasury Regulation §1.199A-3(d).
Federal Tax Information (unaudited) - continued
The fund intends to pass through the maximum amount allowable as Section 163(j) Interest Dividends as defined in Treasury Regulation §1.163(j)-1(b).
| 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. |
Save paper with eDelivery.
MFS® will send you prospectuses, reports, and proxies directly via e-mail so you will get information faster with less mailbox clutter.
To sign up:
1. Go to mfs.com.
2. Log in via MFS® Access.
3. Select eDelivery.
If you own your MFS fund shares through a financial institution or a retirement plan, MFS® TALK, MFS® Access, or eDelivery may not be available to you.
CONTACT
WEB SITE
mfs.com
MFS TALK
1-800-637-8255
24 hours a day
ACCOUNT SERVICE AND LITERATURE
Shareholders
1-800-225-2606
Financial advisors
1-800-343-2829
Retirement plan services
1-800-637-1255
MAILING ADDRESS
MFS Service Center, Inc.
P.O. Box 219341
Kansas City, MO 64121-9341
OVERNIGHT MAIL
MFS Service Center, Inc.
Suite 219341
430 W 7th Street
Kansas City, MO 64105-1407
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, 2023 and 2022, audit fees billed to MFS Global Alternative Strategy Fund by Deloitte were as follows:
Fees billed by Deloitte: | | Audit Fees |
| 2023 | | 2022 |
MFS Commodity Strategy Fund | 79,247 | | 73,302 |
MFS Global Alternative Strategy Fund | 80,184 | | 74,168 |
Total | 159,431 | | 147,470 |
For the fiscal years ended October 31, 2023 and 2022, 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 |
| 2023 | | 2022 | | 2023 | 2022 | 2023 | 2022 |
To MFS Commodity Strategy Fund | 0 | | 0 | | 0 | 400 | 0 | 0 |
| | | | | | | | | |
To MFS Global Alternative | 0 | | 0 | | 0 | 400 | 0 | 0 |
Strategy Fund | | | | | | | | | |
Total fees billed by Deloitte | 0 | | 0 | | 0 | 800 | 0 | 0 |
To above Funds | | | | | | | | | |
| | | | | | | | | |
Fees billed by Deloitte: | Audit-Related Fees1 | | Tax Fees2 | All Other Fees3 |
| 2023 | | 2022 | | 2023 | 2022 | 2023 | 2022 |
To MFS and MFS Related Entities of | | | | | | | | | |
MFS Commodity Strategy Fund* | 0 | | 0 | | 0 | 0 | 0 | 3,790 |
To MFS and MFS Related Entities | | | | | | | | | |
of MFS Global Alternative | 0 | | 0 | | 0 | 0 | 0 | 3,790 |
Strategy Fund* | | | | | | | | | |
| | | | | |
Fees Billed by Deloitte: | | | Aggregate Fees for Non-audit Services | |
| | | | 2023 | | | 2022 | |
To MFS Commodity Strategy Fund, MFS and | | | | | | | | |
MFS Related Entities # | | | | 0 | | | 4,190 | |
To MFS Global Alternative Strategy Fund, | | | | | | | | |
MFS and MFS Related Entities # | | | | 0 | | | 4,190 | |
*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 4(i):
Not applicable.
Item 4(j):
Not applicable.
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. RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION.
Not Applicable.
ITEM 14. 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 14, 2023
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 14, 2023
By (Signature and Title)*
/S/ JAMES O. YOST
James O. Yost, Treasurer (Principal Financial Officer and Accounting Officer) Date: December 14, 2023
* Print name and title of each signing officer under his or her signature.
