UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04253
MFS SERIES TRUST XV
(Exact name of registrant as specified in charter)
111 Huntington Avenue, Boston, Massachusetts 02199
(Address of principal executive offices) (Zip code)
Christopher R. Bohane
Massachusetts Financial Services Company
111 Huntington Avenue
Boston, Massachusetts 02199
(Name and address of agents for service)
Registrant’s telephone number, including area code: (617) 954-5000
Date of fiscal year end: October 31
Date of reporting period: October 31, 2021
ITEM 1. | REPORTS TO STOCKHOLDERS. |
Item 1(a):
Strategy Fund
Strategy Fund
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back cover |
Investment Grade Corporates | 33.1% |
U.S. Treasury Securities | 17.4% |
Commercial Mortgage-Backed Securities | 5.0% |
Collateralized Debt Obligations | 4.8% |
Municipal Bonds | 2.1% |
Asset-Backed Securities | 2.0% |
Emerging Markets Bonds | 1.5% |
High Yield Corporates | 1.0% |
Mortgage-Backed Securities | 0.6% |
Residential Mortgage-Backed Securities | 0.5% |
AAA | 5.9% |
AA | 7.3% |
A | 12.6% |
BBB | 23.3% |
BB | 1.0% |
U.S. Government | 17.3% |
Federal Agencies | 0.6% |
Non-Fixed Income | 100.1% |
Cash & Cash Equivalents | 30.5% |
Other | (98.6)% |
Natural Gas | 13.9% |
WTI Crude Oil | 11.4% |
Brent Crude | 9.9% |
Gold | 9.2% |
Corn | 6.3% |
Copper (COMEX) | 4.9% |
Aluminum | 4.6% |
Soybeans | 4.3% |
Soybean Oil | 4.0% |
Unleaded Gasoline | 3.6% |
Gas Oil | 3.2% |
Sugar | 3.0% |
Zinc | 2.8% |
Lean Hogs | 2.7% |
Live Cattle | 2.6% |
Wheat | 2.6% |
Heating Oil | 2.5% |
Coffee | 2.3% |
Soybean Meal | 2.2% |
Silver | 2.1% |
Cotton | 1.6% |
Nickel | 0.9% |
Kansas Wheat | 0.5% |
Feeder Cattle | (1.0)% |
(a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Federal Agencies includes rated and unrated U.S. Agency fixed-income securities, U.S. Agency mortgage-backed securities, and collateralized mortgage obligations of U.S. Agency mortgage-backed securities. |
(c) | MFS expects to gain exposure to the commodities markets by investing a portion of the fund’s assets in the MFS Commodity Strategy Portfolio, a wholly-owned and controlled subsidiary organized in the Cayman Islands (“Subsidiary”). The Subsidiary gains exposure to the commodities markets by investing in commodity-linked derivatives (such as commodity-linked futures, options, and/or swaps). The Subsidiary’s investments in commodity-linked derivatives are leveraged (i.e. involves investment exposure greater than the amount of the investment). For more information about commodity-linked derivatives and the risks of investing in such derivatives, please see the fund’s prospectus. |
(i) | For purposes of this presentation, the components include the value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include any accrued interest amounts. |
Share Class | Class Inception Date | 1-yr | 5-yr | 10-yr | Life (t) |
A | 6/02/10 | 45.84% | 5.42% | (2.61)% | N/A |
B | 8/15/18 | 44.93% | N/A | N/A | 7.65% |
C | 8/15/18 | 44.77% | N/A | N/A | 7.62% |
I | 6/02/10 | 46.19% | 5.67% | (2.36)% | N/A |
R1 | 8/15/18 | 44.91% | N/A | N/A | 7.64% |
R2 | 8/15/18 | 45.58% | N/A | N/A | 8.17% |
R3 | 8/15/18 | 46.03% | N/A | N/A | 8.46% |
R4 | 8/15/18 | 46.27% | N/A | N/A | 8.71% |
R6 | 9/04/12 | 46.24% | 5.68% | N/A | (2.51)% |
Bloomberg Commodity Index (f) | 43.94% | 5.17% | (3.04)% | N/A |
A With Initial Sales Charge (5.75%) | 37.45% | 4.18% | (3.18)% | N/A |
B With CDSC (Declining over six years from 4% to 0%) (v) | 40.93% | N/A | N/A | 6.85% |
C With CDSC (1% for 12 months) (v) | 43.77% | N/A | N/A | 7.62% |
(f) | Source: FactSet Research Systems Inc. |
(t) | For the period from the class inception date through the stated period end (for those share classes with less than 10 years of performance history). No comparative benchmark performance information is provided for “life” periods. (See Notes to Performance Summary.) |
(v) | Assuming redemption at the end of the applicable period. |
(a) | Source: Bloomberg Index Services Limited. BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg's licensors own all proprietary rights in the Bloomberg Indices. Bloomberg neither approves or |
May 1, 2021 through October 31, 2021
Share Class | Annualized Expense Ratio | Beginning Account Value 5/01/21 | Ending Account Value 10/31/21 | Expenses Paid During Period (p) 5/01/21-10/31/21 | |
A | Actual | 1.14% | $1,000.00 | $1,150.82 | $6.18 |
Hypothetical (h) | 1.14% | $1,000.00 | $1,019.46 | $5.80 | |
B | Actual | 1.89% | $1,000.00 | $1,146.62 | $10.23 |
Hypothetical (h) | 1.89% | $1,000.00 | $1,015.68 | $9.60 | |
C | Actual | 1.89% | $1,000.00 | $1,145.22 | $10.22 |
Hypothetical (h) | 1.89% | $1,000.00 | $1,015.68 | $9.60 | |
I | Actual | 0.89% | $1,000.00 | $1,152.21 | $4.83 |
Hypothetical (h) | 0.89% | $1,000.00 | $1,020.72 | $4.53 | |
R1 | Actual | 1.89% | $1,000.00 | $1,146.38 | $10.23 |
Hypothetical (h) | 1.89% | $1,000.00 | $1,015.68 | $9.60 | |
R2 | Actual | 1.39% | $1,000.00 | $1,149.43 | $7.53 |
Hypothetical (h) | 1.39% | $1,000.00 | $1,018.20 | $7.07 | |
R3 | Actual | 1.14% | $1,000.00 | $1,150.82 | $6.18 |
Hypothetical (h) | 1.14% | $1,000.00 | $1,019.46 | $5.80 | |
R4 | Actual | 0.89% | $1,000.00 | $1,150.57 | $4.82 |
Hypothetical (h) | 0.89% | $1,000.00 | $1,020.72 | $4.53 | |
R6 | Actual | 0.79% | $1,000.00 | $1,152.21 | $4.29 |
Hypothetical (h) | 0.79% | $1,000.00 | $1,021.22 | $4.02 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Bonds – 67.7% | ||||
Aerospace & Defense – 0.8% | ||||
Boeing Co., 1.167%, 2/04/2023 | $ | 1,968,000 | $ 1,970,210 | |
Boeing Co., 1.433%, 2/04/2024 | 3,936,000 | 3,937,309 | ||
Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 | 1,422,000 | 1,529,117 | ||
Raytheon Technologies Corp., 3.65%, 8/16/2023 | 95,000 | 99,702 | ||
$7,536,338 | ||||
Asset-Backed & Securitized – 12.3% | ||||
ACREC 2021-FL1 Ltd., “AS”, FLR, 1.585% (LIBOR - 1mo. + 1.5%), 10/16/2036 (i)(n) | $ | 1,812,000 | $ 1,812,552 | |
ACREC 2021-FL1 Ltd., “B”, FLR, 1.885% (LIBOR - 1mo. + 1.8%), 10/16/2036 (n) | 1,406,000 | 1,405,995 | ||
ACREC 2021-FL1 Ltd., “C”, FLR, 2.235% (LIBOR - 1mo. + 2.15%), 10/16/2036 (n) | 1,129,000 | 1,130,059 | ||
Allegro CLO Ltd., 2014-1RA, “A2”, FLR, 1.73% (LIBOR - 3mo. + 1.6%), 10/21/2028 (n) | 252,269 | 253,055 | ||
AmeriCredit Automobile Receivables Trust, 2020-1, “C”, 1.59%, 10/20/2025 | 678,000 | 686,034 | ||
Arbor Realty Trust, Inc., CLO, 2019-FL1, “A”, FLR, 1.24% (LIBOR - 1mo. + 1.15%), 5/15/2037 (n) | 2,110,500 | 2,111,106 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “B”, FLR, 1.59% (LIBOR - 1mo. + 1.5%), 12/15/2035 (n) | 375,500 | 375,616 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “C”, FLR, 2.09% (LIBOR - 1mo. + 2%), 12/15/2035 (n) | 153,500 | 153,500 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “B”, FLR, 1.69% (LIBOR - 1mo. + 1.6%), 8/15/2034 (n) | 571,500 | 571,154 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “C”, FLR, 1.94% (LIBOR - 1mo. + 1.85%), 8/15/2034 (n) | 332,000 | 331,257 | ||
AREIT CRE Trust, 2019-CRE3, “AS”, FLR, 1.464% (LIBOR - 1mo. + 1.3%), 9/14/2036 (n) | 613,500 | 612,761 | ||
AREIT CRE Trust, 2019-CRE3, “B”, FLR, 1.715% (LIBOR - 1mo. + 1.55%), 9/14/2036 (n) | 303,000 | 301,903 | ||
AREIT CRE Trust, 2019-CRE3, “C”, FLR, 2.064% (LIBOR - 1mo. + 1.9%), 9/14/2036 (n) | 250,500 | 249,290 | ||
Avery Point CLO Ltd., 2014-1A, “CR”, FLR, 2.474% (LIBOR - 3mo. + 2.35%), 4/25/2026 (n) | 841,004 | 841,951 | ||
Avis Budget Rental Car Funding LLC, 2019-1A, “A”, 3.45%, 3/20/2023 (n) | 2,241,667 | 2,257,425 | ||
Ballyrock Ltd., CLO, 2018-1A, “A2”, FLR, 1.731% (LIBOR - 3mo. + 1.6%), 4/20/2031 (n) | 1,368,365 | 1,362,431 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Ballyrock Ltd., CLO, 2018-1A, “B”, FLR, 2.031% (LIBOR - 3mo. + 1.9%), 4/20/2031 (n) | $ | 579,877 | $ 576,682 | |
Bancorp Commercial Mortgage Trust, 2018-CRE3, “B”, FLR, 1.64% (LIBOR - 1mo. + 1.55%), 1/15/2033 (n) | 623,736 | 622,100 | ||
Bancorp Commercial Mortgage Trust, 2019-CRE5, “B”, FLR, 1.59% (LIBOR - 1mo. + 1.5%), 3/15/2036 (n) | 677,212 | 676,905 | ||
Bancorp Commercial Mortgage Trust, 2019-CRE6, “AS”, FLR, 1.464% (LIBOR - 1mo. + 1.3%), 9/15/2036 (n) | 1,360,019 | 1,359,238 | ||
Bancorp Commercial Mortgage Trust, 2019-CRE6, “B”, FLR, 1.714% (LIBOR - 1mo. + 1.55%), 9/15/2036 (n) | 1,713,302 | 1,711,372 | ||
Bank, 2021-BN35, “XA”, 1.054%, 6/15/2064 (i) | 6,158,443 | 492,402 | ||
Barclays Commercial Mortgage Securities LLC, 2021-C11, “XA”, 1.393%, 9/15/2054 (i) | 7,515,009 | 776,525 | ||
Barclays Commercial Mortgage Securities LLC, 2018-C2, “XA”, 0.764%, 12/15/2051 (i)(n) | 19,485,169 | 914,772 | ||
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.309%, 7/15/2054 (i) | 7,413,329 | 719,585 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.64%, 2/15/2054 (i) | 11,470,629 | 1,376,358 | ||
Benchmark Mortgage Trust, 2021-B23, “XA”, 1.277%, 2/15/2054 (i) | 12,617,973 | 1,150,897 | ||
Benchmark Mortgage Trust, 2021-B27, “XA”, 1.272%, 7/15/2054 (i) | 14,591,292 | 1,386,689 | ||
Benchmark Mortgage Trust, 2021-B28, “XA”, 1.293%, 8/15/2054 (i) | 10,312,848 | 995,719 | ||
Benchmark Mortgage Trust, 2021-B29, “XA”, 1.05%, 9/15/2054 (i)(n) | 14,935,226 | 1,130,314 | ||
BPCRE Holder LLC, 2021-FL1, “C”, FLR, 1.986% (LIBOR - 1mo. + 1.9%), 2/15/2037 (n) | 286,000 | 285,829 | ||
BPCRE Holder LLC, FLR, 1.635% (LIBOR - 1mo. + 1.55%), 2/15/2037 (n) | 1,053,500 | 1,052,863 | ||
BSPRT Issuer Ltd., 2018-FL4, “A”, FLR, 2.19% (LIBOR - 1mo. + 2.1%), 9/15/2035 (n) | 1,813,000 | 1,809,825 | ||
BSPRT Issuer Ltd., 2021-FL6, “C”, FLR, 2.14% (LIBOR - 1mo. + 2.05%), 3/15/2036 (n) | 485,000 | 485,000 | ||
Business Jet Securities LLC, 2020-1A, “A”, 2.981%, 11/15/2035 (n) | 397,383 | 399,502 | ||
Business Jet Securities LLC, 2021-1A, “A”, 2.162%, 4/15/2036 (n) | 435,592 | 437,175 | ||
Business Jet Securities LLC, 2021-1A, “B”, 2.918%, 4/15/2036 (n) | 89,506 | 89,868 | ||
BXMT Ltd., 2020-FL2, “B”, FLR, 1.564% (LIBOR - 1mo. + 1.4%), 2/15/2038 (n) | 1,492,000 | 1,486,844 | ||
BXMT Ltd., 2020-FL2, “A”, FLR, 1.064% (LIBOR - 1mo. + 0.9%), 2/15/2038 (n) | 2,317,500 | 2,313,155 | ||
BXMT Ltd., 2021-FL4, “AS”, FLR, 1.386% (LIBOR - 1mo. + 1.3%), 5/15/2038 (n) | 2,601,000 | 2,601,161 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 567,367 | 575,000 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
CD Commercial Mortgage Trust, 2017-CD4, “XA”, 1.278%, 5/10/2050 (i) | $ | 11,717,814 | $ 582,536 | |
CF Hippolyta Issuer LLC, 2020-1, “A1”, 1.69%, 7/15/2060 (n) | 371,179 | 371,169 | ||
CF Hippolyta Issuer LLC, 2020-1, “B1”, 2.28%, 7/15/2060 (n) | 117,486 | 118,160 | ||
Commercial Mortgage Pass-Through Certificates, 2019-BN24,“XA”, 0.645%, 11/15/2062 (i) | 9,099,827 | 426,636 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN31, “XA”, 1.336%, 2/15/2054 (i) | 11,124,510 | 1,106,298 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.784%, 4/15/2054 (i) | 10,577,790 | 613,577 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN34, “XA”, 0.979%, 6/15/2063 (i) | 11,409,943 | 856,573 | ||
Credit Acceptance Auto Loan Trust, 2021-4, “B”, 1.74%, 12/16/2030 (n) | 584,000 | 582,582 | ||
Credit Acceptance Auto Loan Trust, 2021-2A, “A”, 0.96%, 2/15/2030 (n) | 451,000 | 449,854 | ||
Credit Acceptance Auto Loan Trust, 2021-2A, “B”, 1.26%, 4/15/2030 (n) | 250,000 | 247,860 | ||
Credit Acceptance Auto Loan Trust, 2021-3A, “B”, 1.38%, 7/15/2030 (n) | 312,000 | 309,671 | ||
Credit Acceptance Auto Loan Trust, 2021-3A, “C”, 1.63%, 9/16/2030 (n) | 250,000 | 248,280 | ||
Credit Acceptance Auto Loan Trust, 2021-4, “A” , 1.26%, 10/15/2030 (n) | 318,000 | 317,235 | ||
Cutwater Ltd., 2014-1A, “A2R”, FLR, 1.824% (LIBOR - 3mo. + 1.7%), 7/15/2026 (n) | 1,242,930 | 1,242,946 | ||
Cutwater Ltd., 2015-1A, “AR”, FLR, 1.343% (LIBOR - 3mo. + 1.22%), 1/15/2029 (n) | 1,355,930 | 1,355,952 | ||
Dell Equipment Finance Trust, 2020-1, “A2”, 2.26%, 6/22/2022 (n) | 228,884 | 229,750 | ||
Dryden Senior Loan Fund, 2017-49A, “BR”, CLO, FLR, 1.722% (LIBOR - 3mo. + 1.6%), 7/18/2030 (n) | 1,945,990 | 1,946,422 | ||
Exeter Automobile Receivables Trust, 2019-3A, “C”, 2.79%, 5/15/2024 (n) | 1,630,314 | 1,642,455 | ||
Exeter Automobile Receivables Trust, 2020-1, 2.26%, 4/15/2024 (n) | 144,507 | 144,813 | ||
Exeter Automobile Receivables Trust, 2020-1A, 2.49%, 1/15/2025 (n) | 510,000 | 515,539 | ||
Flagship CLO, 2014-8A, “BRR”, FLR, 1.522% (LIBOR - 3mo. + 1.4%), 1/16/2026 (n) | 555,842 | 556,308 | ||
General Motors, 2019-1, “B”, 2.86%, 4/15/2024 (n) | 1,172,000 | 1,185,771 | ||
General Motors, 2019-1, “C”, 3.06%, 4/15/2024 (n) | 902,000 | 912,968 | ||
GLS Auto Receivables Trust, 2020-1A, “A”, 2.17%, 2/15/2024 (n) | 144,981 | 145,432 | ||
GLS Auto Receivables Trust, 2021-3A, “B”, 0.78%, 11/17/2025 (n) | 890,384 | 884,951 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
GM Financial Automobile Leasing Trust, 2020-1, “B”, 1.84%, 12/20/2023 | $ | 633,000 | $ 639,268 | |
GM Financial Automobile Leasing Trust, 2020-1, “C”, 2.04%, 12/20/2023 | 464,000 | 468,974 | ||
Grand Avenue CRE Ltd., 2019-FL1, “A”, FLR, 1.206% (LIBOR - 1mo. + 1.12%), 6/15/2037 (n) | 127,487 | 127,487 | ||
GS Mortgage Securities Trust, 2017-GS6, “XA”, 1.027%, 5/10/2050 (i) | 10,835,580 | 547,898 | ||
GS Mortgage Securities Trust, 2017-GS7, “XA”, 1.111%, 8/10/2050 (i) | 11,270,199 | 548,825 | ||
GS Mortgage Securities Trust, 2020-GC47, “A5”, 1.131%, 5/12/2053 (i) | 8,653,845 | 720,639 | ||
Invitation Homes Trust, 2018-SFR1, “B”, FLR, 1.036% (LIBOR - 1mo. + 0.95%), 3/17/2037 (n) | 952,863 | 952,863 | ||
Invitation Homes Trust, 2018-SFR2, “A”, FLR, 0.936% (LIBOR - 1mo. + 0.85%), 12/17/2036 (n) | 520,414 | 519,781 | ||
Invitation Homes Trust, 2018-SFR2, “A”, FLR, 0.99% (LIBOR - 1mo. + 0.9%), 6/17/2037 (n) | 3,044,931 | 3,046,359 | ||
JPMorgan Chase Commercial Mortgage Securities Corp., 1.039%, 9/15/2050 (i) | 12,731,813 | 557,403 | ||
LoanCore Ltd., 2018-CRE1, “AS”, FLR, 1.59% (LIBOR - 1mo. + 1.5%), 5/15/2028 (n) | 1,731,000 | 1,731,000 | ||
LoanCore Ltd., 2018-CRE1, “C”, FLR, 2.64% (LIBOR - 1mo. + 2.55%), 5/15/2028 (n) | 577,000 | 574,115 | ||
LoanCore Ltd., 2019-CRE3, “A”, FLR, 1.14% (LIBOR - 1mo. + 1.05%), 4/15/2034 (n) | 543,171 | 541,847 | ||
LoanCore Ltd., 2019-CRE3, “AS”, FLR, 1.46% (LIBOR - 1mo. + 1.37%), 4/15/2034 (n) | 1,897,200 | 1,896,060 | ||
LoanCore Ltd., 2021-CRE5, “AS”, FLR, 1.84% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | 1,752,500 | 1,753,039 | ||
LoanCore Ltd., 2021-CRE5, “B”, FLR, 2.09% (LIBOR - 1mo. + 2%), 7/15/2036 (n) | 741,000 | 740,999 | ||
Madison Park Funding Ltd., 2014-13A, “BR2”, FLR, 1.623% (LIBOR - 3mo. + 1.5%), 4/19/2030 (n) | 2,174,539 | 2,184,233 | ||
Magnetite CLO Ltd., 2015-16A, “BR”, FLR, 1.322% (LIBOR - 3mo. + 1.2%), 1/18/2028 (n) | 2,590,000 | 2,588,700 | ||
MF1 Ltd., 2020-FL3, “B”, FLR, 3.914% (LIBOR - 1mo. + 3.75%), 7/15/2035 (z) | 205,000 | 208,008 | ||
MF1 Ltd., 2020-FL3, “C”, FLR, 4.664% (LIBOR - 1mo. + 4.5%), 7/15/2035 (z) | 293,000 | 298,735 | ||
MF1 Multi-Family Housing Mortgage Loan Trust, 2020-FL4, “B”, FLR, 2.914% (LIBOR - 1mo. + 2.75%), 11/15/2035 (n) | 2,437,000 | 2,460,878 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Morgan Stanley Bank of America Merrill Lynch Trust, 2.655%, 2/15/2046 | $ | 890,516 | $ 897,461 | |
Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C33, “XA”, 1.266%, 5/15/2050 (i) | 9,828,528 | 526,893 | ||
Morgan Stanley Capital I Trust, 2017-H1, “XA”, 1.343%, 6/15/2050 (i) | 4,251,431 | 229,927 | ||
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 0.854%, 12/15/2051 (i) | 16,261,465 | 829,403 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.301%, 5/15/2054 (i) | 9,517,541 | 892,905 | ||
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.239%, 6/15/2054 (i) | 8,830,987 | 753,334 | ||
Multi-Family Housing Mortgage, MF1-2021, “B”, FLR, 1.735% (LIBOR - 1mo. + 1.65%), 7/16/2036 (n) | 3,089,144 | 3,088,897 | ||
Navistar Financial Dealer Note Master Owner Trust, 2020-1, “A”, FLR, 1.039% (LIBOR - 1mo. + 0.95%), 7/25/2025 (n) | 391,000 | 392,850 | ||
Navistar Financial Dealer Note Master Owner Trust, 2020-1, “B”, FLR, 1.439% (LIBOR - 1mo. + 1.35%), 7/25/2025 (n) | 359,000 | 361,154 | ||
Navistar Financial Dealer Note Master Owner Trust, 2020-1, “C”, FLR, 2.239% (LIBOR - 1mo. + 2.15%), 7/25/2025 (n) | 297,000 | 299,847 | ||
NextGear Floorplan Master Owner Trust, 2019-2A, “A2”, 2.07%, 10/15/2024 (n) | 1,026,000 | 1,041,553 | ||
Oaktree CLO Ltd., 2019-1A, “BR”, FLR, 1.878% (LIBOR - 3mo. + 1.75%), 4/22/2030 (n) | 1,427,638 | 1,427,635 | ||
Oaktree CLO Ltd., 2019-1A, “CR”, FLR, 2.478% (LIBOR - 3mo. + 2.35%), 4/22/2030 (n) | 1,427,638 | 1,427,634 | ||
OCP CLO Ltd., 2015-10A, “A2R”, FLR, 1.424% (LIBOR - 3mo. + 1.3%), 10/26/2027 (n) | 2,211,957 | 2,210,851 | ||
OCP CLO Ltd., 2015-10A, “BR2”, 0%, 1/26/2034 (n)(w) | 2,250,000 | 2,250,000 | ||
OneMain Financial Issuance Trust, 2020-1A, “A”, 3.84%, 5/14/2032 (n) | 1,759,649 | 1,811,207 | ||
PFP III Ltd., 2021-7, “B”, FLR, 1.485% (LIBOR - 1mo. + 1.4%), 4/14/2038 (n) | 604,470 | 601,868 | ||
PFP III Ltd., 2021-7, “C”, FLR, 1.736% (LIBOR - 1mo. + 1.65%), 4/14/2038 (n) | 191,491 | 190,549 | ||
PFP III Ltd., 2021-8, “B”, FLR, 1.587% (LIBOR - 1mo. + 1.5%), 8/09/2037 (n) | 617,500 | 617,124 | ||
Progress Residential Trust, 2021-SFR1, “B”, 1.303%, 4/17/2038 (n) | 248,000 | 240,972 | ||
Progress Residential Trust, 2021-SFR1, “C”, 1.555%, 4/17/2038 (n) | 186,000 | 181,910 | ||
Securitized Term Auto Receivable Trust, 2019-CRTA, “B”, 2.453%, 3/25/2026 (n) | 148,324 | 150,112 | ||
Securitized Term Auto Receivable Trust, 2019-CRTA, “C”, 2.849%, 3/25/2026 (n) | 190,415 | 193,042 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Shackleton CLO Ltd., 2013-4RA, “B”, FLR, 2.021% (LIBOR - 3mo. + 1.9%), 4/13/2031 (n) | $ | 722,762 | $ 709,822 | |
Shelter Growth CRE, 2021-FL3, “C”, FLR, 2.24% (LIBOR - 1mo. + 2.15%), 9/15/2036 (n) | 2,649,500 | 2,649,497 | ||
Starwood Commercial Mortgage, 2021-FL2, “B”, FLR, 1.886% (LIBOR - 1mo. + 1.8%), 4/18/2038 (n) | 2,295,000 | 2,295,927 | ||
TICP CLO Ltd., 2018-3R, “B”, FLR, 1.482% (LIBOR - 3mo. + 1.35%), 4/20/2028 (n) | 681,356 | 681,402 | ||
TICP CLO Ltd., 2018-3R, “C”, FLR, 1.931% (LIBOR - 3mo. + 1.8%), 4/20/2028 (n) | 1,195,706 | 1,196,555 | ||
TPG Real Estate Finance, 2018-FL2, “AS”, FLR, 1.536% (LIBOR - 1mo. + 1.45%), 11/15/2037 (n) | 1,914,000 | 1,913,455 | ||
TPG Real Estate Finance, 2021-FL4, “AS”, FLR, 1.486% (LIBOR - 1mo. + 1.4%), 3/15/2038 (n) | 1,305,000 | 1,305,000 | ||
TPG Real Estate Finance, 2021-FL4, “B”, FLR, 1.935% (LIBOR - 1mo. + 1.85%), 3/15/2038 (n) | 2,749,000 | 2,741,286 | ||
UBS Commercial Mortgage Trust, 2017-C1, “XA”, 1.001%, 11/15/2050 (i) | 7,830,128 | 322,139 | ||
UBS Commercial Mortgage Trust, 2018-C14, “XA”, 0.984%, 12/15/2051 (i) | 7,902,053 | 457,848 | ||
Veros Auto Receivables Trust, 2020-1, “A”, 1.67%, 9/15/2023 (n) | 132,433 | 132,584 | ||
$ 115,005,361 | ||||
Automotive – 2.4% | ||||
Daimler Finance North America LLC, 0.75%, 3/01/2024 (n) | $ | 1,674,000 | $ 1,666,923 | |
Ford Motor Credit Co. LLC, 3.087%, 1/09/2023 | 1,222,000 | 1,243,018 | ||
General Motors Financial Co., 1.7%, 8/18/2023 | 2,471,000 | 2,506,898 | ||
Harley-Davidson Financial Services, 4.05%, 2/04/2022 (n) | 1,251,000 | 1,262,118 | ||
Hyundai Capital America, 2.85%, 11/01/2022 (n) | 1,427,000 | 1,458,218 | ||
Hyundai Capital America, 2.375%, 2/10/2023 (n) | 723,000 | 736,818 | ||
Hyundai Capital America, 5.75%, 4/06/2023 (n) | 2,315,000 | 2,466,300 | ||
Hyundai Capital America, 0.8%, 1/08/2024 (n) | 274,000 | 271,509 | ||
Hyundai Capital America, 5.875%, 4/07/2025 (n) | 2,322,000 | 2,637,216 | ||
Stellantis Finance US, Inc., 1.711%, 1/29/2027 (n) | 1,825,000 | 1,796,269 | ||
Volkswagen Group of America Finance LLC, 4%, 11/12/2021 (n) | 977,000 | 977,991 | ||
Volkswagen Group of America Finance LLC, 2.9%, 5/13/2022 (n) | 600,000 | 607,904 | ||
Volkswagen Group of America Finance LLC, 3.125%, 5/12/2023 (n) | 251,000 | 259,606 | ||
Volkswagen Group of America Finance LLC, 2.85%, 9/26/2024 (n) | 1,078,000 | 1,128,657 | ||
Volkswagen Group of America Finance LLC, 3.35%, 5/13/2025 (n) | 2,254,000 | 2,388,515 | ||
Volkswagen Group of America Finance LLC, 1.25%, 11/24/2025 (n) | 1,559,000 | 1,534,603 | ||
$22,942,563 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Brokerage & Asset Managers – 1.4% | ||||
Charles Schwab Corp., 0.75%, 3/18/2024 | $ | 1,950,000 | $ 1,947,084 | |
E*TRADE Financial Corp., 2.95%, 8/24/2022 | 3,674,000 | 3,743,281 | ||
NASDAQ, Inc., 0.445%, 12/21/2022 | 1,200,000 | 1,198,474 | ||
National Securities Clearing Corp., 1.2%, 4/23/2023 (n) | 600,000 | 606,219 | ||
National Securities Clearing Corp., 0.4%, 12/07/2023 (n) | 1,974,000 | 1,963,525 | ||
National Securities Clearing Corp., 1.5%, 4/23/2025 (n) | 250,000 | 252,392 | ||
National Securities Clearing Corp., 0.75%, 12/07/2025 (n) | 3,942,000 | 3,849,265 | ||
$13,560,240 | ||||
Business Services – 0.7% | ||||
Equinix, Inc., 1.25%, 7/15/2025 | $ | 625,000 | $ 618,653 | |
Global Payments, Inc., 1.2%, 3/01/2026 | 2,275,000 | 2,220,985 | ||
Tencent Holdings Ltd., 1.81%, 1/26/2026 (n) | 1,551,000 | 1,549,123 | ||
Western Union Co., 1.35%, 3/15/2026 | 2,078,000 | 2,034,758 | ||
$6,423,519 | ||||
Cable TV – 0.3% | ||||
SES S.A., 3.6%, 4/04/2023 (n) | $ | 2,416,000 | $ 2,498,964 | |
Computer Software – 0.2% | ||||
Dell International LLC/EMC Corp., 4%, 7/15/2024 | $ | 1,285,000 | $ 1,376,850 | |
Dell International LLC/EMC Corp., 5.85%, 7/15/2025 | 471,000 | 541,339 | ||
Infor, Inc., 1.45%, 7/15/2023 (n) | 250,000 | 251,846 | ||
$2,170,035 | ||||
Computer Software - Systems – 0.4% | ||||
Apple, Inc., 1.7%, 9/11/2022 | $ | 441,000 | $ 446,564 | |
VMware, Inc., 1%, 8/15/2024 | 1,651,000 | 1,653,089 | ||
VMware, Inc., 1.4%, 8/15/2026 | 1,277,000 | 1,257,880 | ||
$3,357,533 | ||||
Conglomerates – 0.6% | ||||
Carrier Global Corp., 2.242%, 2/15/2025 | $ | 2,283,000 | $ 2,343,745 | |
Roper Technologies, Inc., 2.8%, 12/15/2021 | 640,000 | 640,582 | ||
Westinghouse Air Brake Technologies Corp., 4.4%, 3/15/2024 | 2,317,000 | 2,475,200 | ||
$5,459,527 | ||||
Consumer Products – 0.2% | ||||
Reckitt Benckiser Treasury Services PLC, 2.375%, 6/24/2022 (n) | $ | 2,213,000 | $ 2,236,534 | |
Containers – 0.4% | ||||
Berry Global, Inc., 0.95%, 2/15/2024 | $ | 693,000 | $ 688,336 | |
Berry Global, Inc., 1.65%, 1/15/2027 | 3,191,000 | 3,121,372 | ||
$3,809,708 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Electronics – 0.7% | ||||
Broadcom, Inc., 4.7%, 4/15/2025 | $ | 690,000 | $ 761,815 | |
Broadcom, Inc., 3.15%, 11/15/2025 | 625,000 | 659,947 | ||
Microchip Technology, Inc., 0.983%, 9/01/2024 (n) | 2,971,000 | 2,940,429 | ||
Skyworks Solutions, Inc., 0.9%, 6/01/2023 | 1,208,000 | 1,208,170 | ||
TSMC Arizona Corp., 1.75%, 10/25/2026 | 1,173,000 | 1,179,257 | ||
$6,749,618 | ||||
Emerging Market Quasi-Sovereign – 0.5% | ||||
Bharat Petroleum Corp. Ltd., 4.625%, 10/25/2022 | $ | 1,716,000 | $ 1,772,353 | |
DAE Funding LLC (United Arab Emirates), 1.55%, 8/01/2024 (n) | 796,000 | 785,254 | ||
Indian Oil Corp. Ltd., 5.75%, 8/01/2023 | 858,000 | 921,757 | ||
Sinopec Group Overseas Development (2018) Ltd. (People's Republic of China), 1.45%, 1/08/2026 (n) | 1,613,000 | 1,589,721 | ||
$5,069,085 | ||||
Emerging Market Sovereign – 0.2% | ||||
Emirate of Abu Dhabi, 0.75%, 9/02/2023 (n) | $ | 1,671,000 | $ 1,671,832 | |
Energy - Independent – 0.3% | ||||
Pioneer Natural Resources Co., 0.55%, 5/15/2023 | $ | 419,000 | $ 417,672 | |
Pioneer Natural Resources Co., 0.75%, 1/15/2024 | 2,417,000 | 2,403,101 | ||
$2,820,773 | ||||
Energy - Integrated – 0.4% | ||||
Cenovus Energy, Inc., 5.375%, 7/15/2025 | $ | 723,000 | $ 812,187 | |
Eni S.p.A., 4%, 9/12/2023 (n) | 1,723,000 | 1,819,419 | ||
Exxon Mobil Corp., 1.571%, 4/15/2023 | 983,000 | 997,634 | ||
$3,629,240 | ||||
Financial Institutions – 1.5% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.875%, 1/16/2024 | $ | 1,964,000 | $ 2,113,814 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.15%, 2/15/2024 | 1,393,000 | 1,447,197 | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.75%, 10/29/2024 | 1,758,000 | 1,759,474 | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.5%, 7/15/2025 | 1,435,000 | 1,662,797 | ||
Avolon Holdings Funding Ltd., 3.625%, 5/01/2022 (n) | 201,000 | 203,216 | ||
Avolon Holdings Funding Ltd., 3.95%, 7/01/2024 (n) | 1,131,000 | 1,192,687 | ||
Avolon Holdings Funding Ltd., 5.5%, 1/15/2026 (n) | 995,000 | 1,114,686 | ||
Avolon Holdings Funding Ltd., 2.125%, 2/21/2026 (n) | 2,801,000 | 2,769,935 | ||
Avolon Holdings Funding Ltd., 4.25%, 4/15/2026 (n) | 858,000 | 922,043 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Financial Institutions – continued | ||||
Century Housing Corp., 3.995%, 11/01/2021 | $ | 691,000 | $ 691,000 | |
$13,876,849 | ||||
Food & Beverages – 0.7% | ||||
Constellation Brands, Inc., 4.25%, 5/01/2023 | $ | 1,510,000 | $ 1,587,731 | |
JDE Peet's N.V., 0.8%, 9/24/2024 (n) | 831,000 | 821,618 | ||
JDE Peet's N.V., 1.375%, 1/15/2027 (n) | 1,050,000 | 1,025,247 | ||
Mondelez International, Inc., 0.625%, 7/01/2022 | 3,400,000 | 3,405,515 | ||
$6,840,111 | ||||
Food & Drug Stores – 0.6% | ||||
7-Eleven, Inc., 0.625%, 2/10/2023 (n) | $ | 3,173,000 | $ 3,167,663 | |
7-Eleven, Inc., 0.8%, 2/10/2024 (n) | 2,380,000 | 2,363,633 | ||
$5,531,296 | ||||
Gaming & Lodging – 1.2% | ||||
GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/01/2023 | $ | 1,259,000 | $ 1,350,769 | |
Hyatt Hotels Corp., 1.3%, 10/01/2023 | 2,581,000 | 2,582,972 | ||
Hyatt Hotels Corp., 1.8%, 10/01/2024 | 2,213,000 | 2,221,188 | ||
Las Vegas Sands Corp., 3.2%, 8/08/2024 | 1,420,000 | 1,451,904 | ||
Marriott International, Inc., 2.3%, 1/15/2022 | 2,151,000 | 2,155,444 | ||
Marriott International, Inc., 3.75%, 10/01/2025 | 509,000 | 546,187 | ||
Sands China Ltd., 3.8%, 1/08/2026 | 1,030,000 | 1,035,593 | ||
$11,344,057 | ||||
Industrial – 0.1% | ||||
Howard University, Washington D.C., 2.738%, 10/01/2022 | $ | 101,000 | $ 101,998 | |
Howard University, Washington D.C., 2.801%, 10/01/2023 | 111,000 | 113,910 | ||
Howard University, Washington D.C., AGM, 2.416%, 10/01/2024 | 123,000 | 124,942 | ||
Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | 152,000 | 153,189 | ||
$494,039 | ||||
Insurance – 0.6% | ||||
AIG Global Funding, 0.8%, 7/07/2023 (n) | $ | 1,522,000 | $ 1,525,077 | |
Equitable Financial Life Insurance Co., 1.4%, 7/07/2025 (n) | 1,662,000 | 1,655,034 | ||
Metropolitan Life Global Funding I, 0.4%, 1/07/2024 (n) | 2,404,000 | 2,382,997 | ||
$5,563,108 | ||||
Insurance - Property & Casualty – 0.3% | ||||
Aon PLC, 2.2%, 11/15/2022 | $ | 1,193,000 | $ 1,212,999 | |
Marsh & McLennan Cos., Inc., 2.75%, 1/30/2022 | 1,383,000 | 1,388,245 | ||
$2,601,244 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Internet – 0.3% | ||||
Baidu, Inc., 3.875%, 9/29/2023 | $ | 2,225,000 | $ 2,335,004 | |
Machinery & Tools – 0.4% | ||||
CNH Industrial Capital LLC, 4.2%, 1/15/2024 | $ | 1,931,000 | $ 2,059,949 | |
CNH Industrial Capital LLC, 1.875%, 1/15/2026 | 497,000 | 501,201 | ||
CNH Industrial N.V., 4.5%, 8/15/2023 | 1,073,000 | 1,139,869 | ||
$3,701,019 | ||||
Major Banks – 8.1% | ||||
Bank of Montreal, 2.05%, 11/01/2022 | $ | 1,694,000 | $ 1,722,245 | |
Barclays PLC, 4.61% to 2/15/2022, FLR (LIBOR - 3mo. + 1.4%) to 2/15/2023 | 4,665,000 | 4,718,590 | ||
Barclays PLC, 1.007%, 12/10/2024 | 781,000 | 780,981 | ||
Barclays PLC, 2.852% to 5/07/2025, FLR (LIBOR - 3mo. + 2.452%) to 5/07/2026 | 759,000 | 789,731 | ||
Credit Agricole, “A”, FLR, 1.551% (LIBOR - 3mo. + 1.43%), 1/10/2022 (n) | 750,000 | 752,030 | ||
Credit Suisse Group AG, 3.574%, 1/09/2023 (n) | 2,060,000 | 2,071,293 | ||
Credit Suisse Group AG, 4.207% to 6/12/2023, FLR (LIBOR - 3mo. + 1.24%) to 6/12/2024 (n) | 410,000 | 430,495 | ||
Deutsche Bank AG, 0.898%, 5/28/2024 | 844,000 | 838,273 | ||
Deutsche Bank AG, 1.447% to 4/1/2024, FLR (SOFR + 1.131%) to 4/01/2025 | 3,640,000 | 3,640,604 | ||
Goldman Sachs Group, Inc., 1.093% to 12/09/2025, FLR (SOFR + 0.789%) to 12/09/2026 | 1,418,000 | 1,382,963 | ||
HSBC Holdings PLC, 3.262% to 3/13/2022, FLR (LIBOR - 3mo. + 1.055%) to 3/13/2023 | 2,383,000 | 2,406,495 | ||
HSBC Holdings PLC, 3.033% to 11/22/2022, FLR (LIBOR - 3mo. + 0.923%) to 11/22/2023 | 957,000 | 980,127 | ||
HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR + 1.929%) to 6/04/2026 | 928,000 | 939,525 | ||
HSBC Holdings PLC, 1.589% to 5/24/2026, FLR (SOFR + 1.29%) to 5/24/2027 | 1,060,000 | 1,041,713 | ||
JPMorgan Chase & Co., 3.207% to 4/01/2022, FLR (LIBOR - 3mo. + 0.695%) to 4/01/2023 | 2,839,000 | 2,870,284 | ||
JPMorgan Chase & Co., 3.375%, 5/01/2023 | 1,196,000 | 1,243,788 | ||
JPMorgan Chase & Co., 3.797% to 7/23/2023, FLR (LIBOR - 3mo. + 0.89%) to 7/23/2024 | 1,506,000 | 1,582,535 | ||
JPMorgan Chase & Co., 1.04% to 2/04/2026, FLR (SOFR + 0.695%) to 2/04/2027 | 1,903,000 | 1,848,566 | ||
KeyBank N.A., 3.3%, 2/01/2022 | 772,000 | 777,933 | ||
Mitsubishi UFJ Financial Group, Inc., 2.623%, 7/18/2022 | 2,006,000 | 2,037,152 | ||
Mitsubishi UFJ Financial Group, Inc., 0.848% to 9/15/2023, FLR (CMT - 1yr. + 0.68%) to 9/15/2024 | 3,125,000 | 3,125,463 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
Mitsubishi UFJ Financial Group, Inc., 0.953%, 7/19/2025 | $ | 2,237,000 | $ 2,223,579 | |
Mitsubishi UFJ Financial Group, Inc., 0.962% to 10/11/2024, FLR (CMT - 1yr. + 0.45%) to 10/11/2025 | 1,464,000 | 1,453,216 | ||
Mizuho Financial Group, 0.849% to 9/08/2023, FLR (LIBOR - 3mo. + 0.61%) to 9/08/2024 | 2,700,000 | 2,698,742 | ||
NatWest Group PLC, 2.359% to 5/22/2023, FLR (CMT - 1yr. + 2.15%) to 5/22/2024 | 2,485,000 | 2,541,570 | ||
NatWest Group PLC, 4.269% to 3/22/2024, FLR (LIBOR - 3mo. + 1.762%) to 3/22/2025 | 2,549,000 | 2,729,701 | ||
Royal Bank of Canada, 0.5%, 10/26/2023 | 3,500,000 | 3,485,439 | ||
Standard Chartered PLC, 1.319% to 10/14/2022, FLR (CMT - 1yr. + 1.17%) to 10/14/2023 (n) | 1,375,000 | 1,380,910 | ||
Standard Chartered PLC, 0.991% to 1/12/2024, FLR (CMT - 1yr. + 0.78%) to 1/12/2025 (n) | 2,411,000 | 2,390,300 | ||
Standard Chartered PLC, 1.214% to 3/23/2024, FLR (CMT - 1yr. + 0.88%) to 3/23/2025 (n) | 812,000 | 807,853 | ||
State Street Corp., 2.825% to 3/30/2022, FLR (SOFR + 2.69%) to 3/30/2023 | 483,000 | 487,690 | ||
State Street Corp., 2.901% to 3/30/2025, FLR (SOFR + 2.6%) to 3/30/2026 | 250,000 | 263,710 | ||
Sumitomo Mitsui Financial Group, Inc., 0.508%, 1/12/2024 | 801,000 | 794,321 | ||
Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025 | 1,875,000 | 1,875,433 | ||
Sumitomo Mitsui Trust Bank Ltd., 0.85%, 3/25/2024 (n) | 1,534,000 | 1,527,842 | ||
Toronto-Dominion Bank, 0.25%, 1/06/2023 | 1,603,000 | 1,599,335 | ||
Toronto-Dominion Bank, 0.75%, 1/06/2026 | 1,122,000 | 1,093,872 | ||
UBS Group AG, 3.491%, 5/23/2023 (n) | 5,533,000 | 5,620,242 | ||
UBS Group AG, 1.008% to 7/30/2023, FLR (CMT - 1yr. + 0.83%) to 7/30/2024 (n) | 1,470,000 | 1,471,629 | ||
UniCredito Italiano S.p.A., 6.572%, 1/14/2022 (n) | 1,297,000 | 1,311,572 | ||
UniCredito Italiano S.p.A., 3.75%, 4/12/2022 (n) | 1,116,000 | 1,131,283 | ||
Wells Fargo & Co., 2.164% to 2/11/2025, FLR (LIBOR - 3mo. + 0.75%) to 2/11/2026 | 2,912,000 | 2,979,777 | ||
$75,848,802 | ||||
Medical & Health Technology & Services – 0.8% | ||||
HCA, Inc., 5%, 3/15/2024 | $ | 2,522,000 | $ 2,744,856 | |
Thermo Fisher Scientific, Inc., 1.215%, 10/18/2024 | 4,500,000 | 4,504,861 | ||
$7,249,717 | ||||
Metals & Mining – 1.0% | ||||
Anglo American Capital PLC, 4.75%, 4/10/2027 (n) | $ | 801,000 | $ 899,370 | |
Glencore Finance (Canada) Ltd., 4.95%, 11/15/2021 (n) | 729,000 | 729,999 | ||
Glencore Funding LLC, 3%, 10/27/2022 (n) | 610,000 | 621,925 | ||
Glencore Funding LLC, 4.125%, 3/12/2024 (n) | 1,280,000 | 1,359,830 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Metals & Mining – continued | ||||
Glencore Funding LLC, 4.625%, 4/29/2024 (n) | $ | 791,000 | $ 853,715 | |
Glencore Funding LLC, 1.625%, 9/01/2025 (n) | 3,000,000 | 2,981,155 | ||
Glencore Funding LLC, 1.625%, 4/27/2026 (n) | 1,875,000 | 1,854,246 | ||
$9,300,240 | ||||
Midstream – 1.0% | ||||
Energy Transfer Operating Co., 2.9%, 5/15/2025 | $ | 788,000 | $ 822,430 | |
Gray Oak Pipeline LLC, 2%, 9/15/2023 (n) | 1,624,000 | 1,649,641 | ||
MPLX LP, 3.5%, 12/01/2022 | 2,416,000 | 2,484,027 | ||
MPLX LP, 3.375%, 3/15/2023 | 471,000 | 486,946 | ||
Plains All American Pipeline LP, 3.85%, 10/15/2023 | 750,000 | 785,177 | ||
Western Midstream Operating LP, 4.35%, 2/01/2025 | 1,209,000 | 1,266,428 | ||
Western Midstream Operating LP, FLR, 2.221% (LIBOR - 3mo. + 0.85%), 1/13/2023 | 1,727,000 | 1,714,048 | ||
$9,208,697 | ||||
Mortgage-Backed – 0.6% | ||||
Fannie Mae, 4.5%, 4/01/2024 - 5/01/2025 | $ | 71,690 | $ 74,900 | |
Fannie Mae, 3%, 12/01/2031 | 347,110 | 368,662 | ||
Fannie Mae, 2%, 5/25/2044 | 446,385 | 449,630 | ||
Freddie Mac, 0.882%, 4/25/2024 | 100,930 | 1,872 | ||
Freddie Mac, 4%, 7/01/2025 | 75,392 | 79,725 | ||
Freddie Mac, 1.582%, 4/25/2030 | 6,408,703 | 733,984 | ||
Freddie Mac, 3%, 4/15/2033 - 6/15/2045 | 3,096,816 | 3,271,984 | ||
Freddie Mac, 2%, 7/15/2042 | 565,783 | 577,340 | ||
$5,558,097 | ||||
Municipals – 2.0% | ||||
California Earthquake Authority Rev., “B”, 1.327%, 7/01/2022 | $ | 785,000 | $ 790,138 | |
California Earthquake Authority Rev., “B”, 1.477%, 7/01/2023 | 555,000 | 562,317 | ||
California Municipal Finance Authority Rev. (Century Housing Corp.), 1.486%, 11/01/2022 | 255,000 | 257,437 | ||
California Municipal Finance Authority Rev. (Century Housing Corp.), 1.605%, 11/01/2023 | 305,000 | 308,825 | ||
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 0.75%, 8/15/2050 (n) | 3,045,000 | 3,048,921 | ||
Illinois Sales Tax Securitization Corp., Second Lien, “B”, BAM, 2.128%, 1/01/2023 | 430,000 | 438,254 | ||
Illinois Sales Tax Securitization Corp., Second Lien, “B”, BAM, 2.225%, 1/01/2024 | 1,030,000 | 1,058,207 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., “A”, 1.904%, 7/01/2023 | 115,000 | 116,962 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., “A”, 2.156%, 7/01/2024 | 320,000 | 327,711 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Municipals – continued | ||||
Massachusetts Educational Financing Authority, Education Loan Rev., “A”, 2.306%, 7/01/2025 | $ | 250,000 | $ 256,940 | |
Massachusetts Educational Financing Authority, Education Loan Rev., “A”, 2.562%, 7/01/2026 | 315,000 | 326,482 | ||
Michigan Finance Authority Tobacco Settlement Asset-Backed Rev. (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 1,008,574 | 1,037,119 | ||
New Jersey Economic Development Authority Rev., School Facilities Construction, “HHH”, 3.75%, 9/01/2022 (n) | 3,650,000 | 3,742,131 | ||
New Jersey Economic Development Authority State Pension Funding Rev., Capital Appreciation, “B”, AGM, 0%, 2/15/2023 | 3,058,000 | 3,031,274 | ||
New Jersey Transportation Trust Fund Authority, Transportation System, “B”, 2.384%, 6/15/2022 | 460,000 | 465,282 | ||
New Jersey Transportation Trust Fund Authority, Transportation System, “B”, 2.551%, 6/15/2023 | 475,000 | 487,940 | ||
New Jersey Transportation Trust Fund Authority, Transportation System, “B”, 2.631%, 6/15/2024 | 450,000 | 466,167 | ||
Port Authority of NY & NJ, “AAA”, 1.086%, 7/01/2023 | 1,635,000 | 1,650,075 | ||
Texas Transportation Commission, Central Texas Turnpike System First Tier Refunding Rev., Taxable, “B”, 1.98%, 8/15/2042 | 695,000 | 702,655 | ||
$19,074,837 | ||||
Natural Gas - Distribution – 0.3% | ||||
CenterPoint Energy Resources Corp., 0.7%, 3/02/2023 | $ | 2,491,000 | $ 2,484,047 | |
Natural Gas - Pipeline – 0.5% | ||||
APT Pipelines Ltd., 4.2%, 3/23/2025 (n) | $ | 4,308,000 | $ 4,645,704 | |
Network & Telecom – 0.6% | ||||
AT&T, Inc., 0.9%, 3/25/2024 | $ | 4,742,000 | $ 4,742,437 | |
Verizon Communications, Inc., 0.75%, 3/22/2024 | 930,000 | 927,447 | ||
$5,669,884 | ||||
Oil Services – 0.0% | ||||
Halliburton Co., 3.8%, 11/15/2025 | $ | 152,000 | $ 165,597 | |
Oils – 0.4% | ||||
Marathon Petroleum Corp., 4.75%, 12/15/2023 | $ | 1,684,000 | $ 1,807,901 | |
Valero Energy Corp., 1.2%, 3/15/2024 | 1,400,000 | 1,400,389 | ||
Valero Energy Corp., 3.4%, 9/15/2026 | 748,000 | 799,670 | ||
$4,007,960 | ||||
Other Banks & Diversified Financials – 2.2% | ||||
Banque Federative du Credit Mutuel, 0.65%, 2/27/2024 (n) | $ | 3,117,000 | $ 3,092,335 | |
BBVA USA, 2.875%, 6/29/2022 | 2,542,000 | 2,579,608 | ||
BBVA USA Bancshares, Inc., 2.5%, 8/27/2024 | 1,122,000 | 1,167,421 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Other Banks & Diversified Financials – continued | ||||
Groupe BPCE S.A., 4%, 9/12/2023 (n) | $ | 1,193,000 | $ 1,259,146 | |
Groupe BPCE S.A., FLR, 1.354% (LIBOR - 3mo. + 1.24%), 9/12/2023 (n) | 1,193,000 | 1,214,028 | ||
Macquarie Group Ltd., 1.201% to 10/14/2024, FLR (SOFR + 0.694%) to 10/14/2025 (n) | 2,522,000 | 2,507,044 | ||
Macquarie Group Ltd., 1.34% to 1/12/2026, FLR (SOFR + 1.069%) to 1/12/2027 (n) | 2,132,000 | 2,093,391 | ||
National Bank of Canada, 2.15%, 10/07/2022 (n) | 1,305,000 | 1,325,810 | ||
National Bank of Canada, 0.9% to 8/15/2022, FLR (CMT - 1yr. + 0.77%) to 8/15/2023 | 1,723,000 | 1,726,883 | ||
National Bank of Canada, 0.55%, 11/15/2024 | 1,562,000 | 1,551,192 | ||
SunTrust Banks, Inc., 2.8%, 5/17/2022 | 1,884,000 | 1,905,076 | ||
UBS AG, 1.75%, 4/21/2022 (n) | 395,000 | 397,020 | ||
$20,818,954 | ||||
Personal Computers & Peripherals – 0.0% | ||||
Equifax, Inc., 2.6%, 12/15/2025 | $ | 223,000 | $ 232,445 | |
Pharmaceuticals – 0.8% | ||||
AbbVie, Inc., 2.15%, 11/19/2021 | $ | 1,193,000 | $ 1,194,022 | |
AbbVie, Inc., 3.45%, 3/15/2022 | 2,322,000 | 2,336,293 | ||
Royalty Pharma PLC, 0.75%, 9/02/2023 | 2,468,000 | 2,462,808 | ||
Viatris, Inc., 1.125%, 6/22/2022 | 1,763,000 | 1,769,095 | ||
$7,762,218 | ||||
Real Estate - Office – 0.1% | ||||
Corporate Office Property LP, REIT, 2.25%, 3/15/2026 | $ | 1,172,000 | $ 1,191,737 | |
Retailers – 0.6% | ||||
Alibaba Group Holding Ltd., 2.8%, 6/06/2023 | $ | 1,506,000 | $ 1,551,938 | |
Kohl's Corp., 9.5%, 5/15/2025 | 2,962,000 | 3,707,018 | ||
$5,258,956 | ||||
Specialty Stores – 0.2% | ||||
Nordstrom, Inc., 2.3%, 4/08/2024 | $ | 928,000 | $ 932,547 | |
Ross Stores, Inc., 0.875%, 4/15/2026 | 1,034,000 | 1,007,069 | ||
$1,939,616 | ||||
Telecommunications - Wireless – 0.6% | ||||
American Tower Corp., REIT, 2.25%, 1/15/2022 | $ | 1,525,000 | $ 1,530,549 | |
Crown Castle International Corp., 3.15%, 7/15/2023 | 680,000 | 706,431 | ||
Crown Castle International Corp., 1.35%, 7/15/2025 | 546,000 | 543,735 | ||
T-Mobile USA, Inc., 3.5%, 4/15/2025 | 2,676,000 | 2,854,064 | ||
$5,634,779 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Tobacco – 0.4% | ||||
B.A.T. Capital Corp., 3.222%, 8/15/2024 | $ | 1,631,000 | $ 1,715,125 | |
Imperial Tobacco Finance PLC, 3.75%, 7/21/2022 (n) | 755,000 | 767,391 | ||
Philip Morris International, Inc., 1.125%, 5/01/2023 | 805,000 | 812,256 | ||
$3,294,772 | ||||
Transportation - Services – 0.9% | ||||
Element Fleet Management Corp., 1.6%, 4/06/2024 (n) | $ | 5,491,000 | $ 5,528,320 | |
ERAC USA Finance LLC, 2.7%, 11/01/2023 (n) | 1,087,000 | 1,123,424 | ||
ERAC USA Finance LLC, 3.85%, 11/15/2024 (n) | 762,000 | 815,954 | ||
ERAC USA Finance LLC, 3.8%, 11/01/2025 (n) | 762,000 | 824,584 | ||
$8,292,282 | ||||
U.S. Treasury Obligations – 17.3% | ||||
U.S. Treasury Notes, 0.125%, 10/15/2023 | $ | 116,159,000 | $ 115,338,008 | |
U.S. Treasury Notes, 1.5%, 11/30/2024 | 45,905,000 | 46,889,447 | ||
$ 162,227,455 | ||||
Utilities - Electric Power – 1.8% | ||||
CenterPoint Energy, Inc., 1.45%, 6/01/2026 | $ | 1,715,000 | $ 1,696,068 | |
Emera U.S. Finance LP, 0.833%, 6/15/2024 (n) | 1,181,000 | 1,166,730 | ||
FirstEnergy Corp., 4.75%, 3/15/2023 | 1,635,000 | 1,694,203 | ||
FirstEnergy Corp., 2.05%, 3/01/2025 | 1,344,000 | 1,348,032 | ||
FirstEnergy Corp., 1.6%, 1/15/2026 | 818,000 | 805,796 | ||
NextEra Energy Capital Holdings, Inc., 2.9%, 4/01/2022 | 1,411,000 | 1,425,558 | ||
NextEra Energy, Inc., 0.65%, 3/01/2023 | 1,950,000 | 1,952,193 | ||
Pacific Gas & Electric Co., 1.75%, 6/16/2022 | 714,000 | 712,288 | ||
Pacific Gas & Electric Co., 1.367%, 3/10/2023 | 764,000 | 761,406 | ||
Pacific Gas & Electric Co., 3%, 6/15/2028 | 592,000 | 596,567 | ||
Pacific Gas & Electric Co., FLR, 1.5% (LIBOR - 3mo. + 1.375%), 11/15/2021 | 3,118,000 | 3,118,289 | ||
Southern California Edison Co., 1.2%, 2/01/2026 | 750,000 | 739,816 | ||
WEC Energy Group, Inc., 0.8%, 3/15/2024 | 1,138,000 | 1,134,009 | ||
$17,150,955 | ||||
Total Bonds (Identified Cost, $631,184,989) | $ 634,245,348 | |||
Investment Companies (h) – 14.3% | ||||
Money Market Funds – 14.3% | ||||
MFS Institutional Money Market Portfolio, 0.04% (v) (Identified Cost, $133,812,612) | 133,814,176 | $ 133,814,176 |
Issuer | Shares/Par | Value ($) | ||
Short-Term Obligations (s)(y) – 2.6% | ||||
Fannie Mae, 0%, due 11/01/2021 | $ | 6,121,000 | $ 6,121,000 | |
Freddie Mac, 0%, due 11/01/2021 | 18,521,000 | 18,521,000 | ||
Total Short-Term Obligations (Identified Cost, $24,642,000) | $ 24,642,000 | |||
Other Assets, Less Liabilities – 15.4% | 144,140,736 | |||
Net Assets – 100.0% | $ 936,842,260 |
(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 $133,814,176 and $658,887,348, 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 $218,684,141, representing 23.3% of net assets. |
(s) | All or a portion of security is held by a wholly-owned subsidiary. See Note 2 of the Notes to Consolidated Financial Statements for details of the wholly-owned subsidiary. |
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
(w) | When-issued security. |
(y) | The rate quoted is the annualized one-day yield of the fund at period end. |
(z) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities: |
Restricted Securities | Acquisition Date | Cost | Value |
MF1 Ltd., 2020-FL3, “B”, FLR, 3.914% (LIBOR - 1mo. + 3.75%), 7/15/2035 | 6/12/2020 | $205,000 | $208,008 |
MF1 Ltd., 2020-FL3, “C”, FLR, 4.664% (LIBOR - 1mo. + 4.5%), 7/15/2035 | 6/12/2020 | 293,000 | 298,735 |
Total Restricted Securities | $506,743 | ||
% of Net assets | 0.1% |
The following abbreviations are used in this report and are defined: | |
AGM | Assured Guaranty Municipal |
BAM | Build America Mutual |
BCOMBOTR | Bloomberg Soybean Oil Subindex Total Return, this index is composed of futures contracts on soybean oil. |
BCOMCLTR | Bloomberg WTI Crude Oil Subindex Total Return, this index is composed of composed of futures contracts on WTI crude oil. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
BCOMCNTR | Bloomberg Corn Subindex Total Return, this index is composed of futures contracts on corn. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
BCOMCOT | Bloomberg Brent Crude Subindex Total Return, this index is composed of futures contracts on brent crude. |
BCOMF3T | Bloomberg Commodity Index 3 Month Forward Total Return, this index is composed of longer-dated futures contracts on 19 physical commodities. |
BCOMFCT | Bloomberg Feeder Cattle Subindex Total Return, this index is comprised of futures contracts on feeder cattle. It is quoted in USD. |
BCOMGCTR | Bloomberg Gold Subindex Total Return, this index is composed of futures contracts on gold. |
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. |
BCOMLHTR | Bloomberg Lean Hogs Subindex Total Return, this index is composed of futures contracts on lean hogs. It reflects the return of underlying commodity futures price movements only. It is quoted in USD. |
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. |
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. |
BCOMSITR | Bloomberg Silver Subindex Total Return, this index is composed of futures contracts on silver. |
BCOMTR | Bloomberg Commodity Index Total Return |
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 |
Uncleared Swap Agreements | ||||||||||
Maturity Date | Notional Amount | Counterparty | Cash Flows to Receive (Monthly) | Cash Flows to Pay (Monthly) | Unrealized Appreciation (Depreciation) | Net Unamortized Upfront Payments (Receipts) | Value | |||
Asset Derivatives | ||||||||||
Total Return Swaps | ||||||||||
12/09/21 | USD | 7,946,363 (Short) | Citibank N.A. | 3 month T-Bill + 0.04% | BCOMCLTR (floating rate) | $461 | $— | $461 | ||
2/11/22 | USD | 11,090,843 (Short) | Merrill Lynch International | 3 month T-Bill + 0.05% | BCOMKCTR (floating rate) | 712 | — | 712 | ||
3/11/22 | USD | 9,587,247 (Short) | Morgan Stanley | 3 month T-Bill + 0.05% | BCOMFCT (floating rate) | 639 | — | 639 | ||
4/20/22 | USD | 9,912,187 (Short) | Merrill Lynch International | 3 month T-Bill + 0.05% | BCOMKWT (floating rate) | 623 | — | 623 | ||
5/27/22 | USD | 12,096,465 (Short) | Morgan Stanley | 3 month T-Bill + 0.02% | BCOMNITR (floating rate) | 489 | — | 489 | ||
8/31/22 | USD | 6,630,285 (Short) | Merrill Lynch International | 3 month T-Bill + 0.03% | BCOMSITR (floating rate) | 316 | — | 316 | ||
11/30/22 | USD | 12,000,000 (Short) | Goldman Sachs International | 3 month T-Bill + 0.045% | BCOMGCTR (floating rate) | 124,502 | — | 124,502 | ||
$127,742 | $— | $127,742 | ||||||||
Liability Derivatives | ||||||||||
Total Return Swaps | ||||||||||
12/09/21 | USD | 7,787,224 (Long) | Morgan Stanley | BCOMCNTR (floating rate) | 3 month T-Bill + 0.08% | $(672) | $— | $(672) | ||
1/28/22 | USD | 20,149,496 (Long) | Goldman Sachs International | BCOMTR (floating rate) | 3 month T-Bill + 0.09% | (1,952) | — | (1,952) | ||
2/18/22 | USD | 23,466,844 (Long) | JPMorgan Chase Bank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (2,454) | — | (2,454) | ||
2/18/22 | USD | 7,748,611 (Long) | JPMorgan Chase Bank N.A. | BCOMTR (floating rate) | 3 month T-Bill + 0.09% | (751) | — | (751) | ||
3/11/22 | USD | 25,666,729 (Long) | JPMorgan Chase Bank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (2,688) | — | (2,688) |
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 | ||||||||
3/11/22 | USD | 26,950,066 (Long) | Goldman Sachs International | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | $(2,821) | $— | $(2,821) |
4/20/22 | USD | 19,605,109 (Long) | JPMorgan Chase Bank N.A. | BCOMCOT (floating rate) | 3 month T-Bill + 0.08% | (502) | — | (502) |
4/28/22 | USD | 6,343,272 (Long) | JPMorgan Chase Bank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (661) | — | (661) |
4/28/22 | USD | 36,162,815 (Long) | Goldman Sachs International | BCOMTR (floating rate) | 3 month T-Bill + 0.09% | (3,503) | — | (3,503) |
4/28/22 | USD | 11,396,012 (Long) | Merrill Lynch International | MLCILPRT (a) (floating rate) | 3 month T-Bill + 0.14% | (1,547) | — | (1,547) |
5/27/22 | USD | 88,504,504 (Long) | Goldman Sachs International | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (9,267) | — | (9,267) |
5/27/22 | USD | 9,844,904 (Long) | Merrill Lynch International | BCOMLHTR (floating rate) | 3 month T-Bill + 0.075% | (966) | — | (966) |
5/27/22 | USD | 15,998,334 (Long) | Merrill Lynch International | BCOMCLTR (floating rate) | 3 month T-Bill + 0.06% | (1,092) | — | (1,092) |
6/17/22 | USD | 34,240,172 (Long) | Citibank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (3,583) | — | (3,583) |
6/17/22 | USD | 34,240,172 (Long) | Goldman Sachs International | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (3,583) | — | (3,583) |
6/17/22 | USD | 31,659,126 (Long) | JPMorgan Chase Bank N.A. | BCOMTR (floating rate) | 3 month T-Bill + 0.07% | (2,575) | — | (2,575) |
6/17/22 | USD | 34,240,172 (Long) | JPMorgan Chase Bank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (3,583) | — | (3,583) |
8/26/22 | USD | 123,435,456 (Long) | Merrill Lynch International | MLCILPRT (a) (floating rate) | 3 month T-Bill + 0.14% | (16,743) | — | (16,743) |
8/26/22 | USD | 5,827,967 (Long) | Merrill Lynch International | BCOMBOTR (floating rate) | 3 month T-Bill + 0.12% | (690) | — | (690) |
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 | ||||||||||
8/31/22 | USD | 20,566,878 (Long) | Merrill Lynch International | MLCILPRT (a) (floating rate) | 3 month T-Bill + 0.13% | $(2,630) | $— | $(2,630) | ||
8/31/22 | USD | 23,802,877 (Long) | JPMorgan Chase Bank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (2,489) | — | (2,489) | ||
8/31/22 | USD | 16,202,848 (Long) | Merrill Lynch International | BCOMTR (floating rate) | 3 month T-Bill + 0.08% | (1,443) | — | (1,443) | ||
9/30/22 | USD | 5,234,637 (Long) | Goldman Sachs International | BCOMCNTR (floating rate) | 3 month T-Bill + 0.13% | (648) | — | (648) | ||
10/21/22 | USD | 119,712,929 (Long) | Merrill Lynch International | MLCILPRT (a) (floating rate) | 3 month T-Bill + 0.13% | (15,309) | — | (15,309) | ||
10/21/22 | USD | 19,071,762 (Long) | JPMorgan Chase Bank N.A. | BCOMTR (floating rate) | 3 month T-Bill + 0.07% | (1,552) | — | (1,552) | ||
11/04/22 | USD | 8,475,177 (Long) | Merrill Lynch International | BCOMNGTR (floating rate) | 3 month T-Bill + 0.06% | (651) | — | (651) | ||
11/04/22 | USD | 9,581,133 (Long) | JPMorgan Chase Bank N.A. | BCOMRBTR (floating rate) | 3 month T-Bill + 0.08% | (791) | — | (791) | ||
11/30/22 | USD | 12,916,800 (Long) | JPMorgan Chase Bank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (1,366) | — | (1,366) | ||
11/30/22 | USD | 36,888,264 (Long) | Merrill Lynch International | MLCILPRT (a) (floating rate) | 3 month T-Bill + 0.13% | (4,640) | — | (4,640) | ||
11/30/22 | USD | 49,181,462 (Long) | Goldman Sachs International | BCOMTR (floating rate) | 3 month T-Bill + 0.09% | (818,538) | — | (818,538) | ||
11/30/22 | USD | 98,363,035 (Long) | JPMorgan Chase Bank N.A. | BCOMTR (floating rate) | 3 month T-Bill + 0.07% | (1,636,965) | — | (1,636,965) | ||
11/30/22 | USD | 23,607,088 (Long) | Citibank N.A. | BCOMTR (floating rate) | 3 month T-Bill + 0.10% | (392,912) | — | (392,912) | ||
$(2,939,567) | $— | $(2,939,567) |
(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: $11,396,012* | Notional Amount: $123,435,456* | Notional Amount: $20,566,878* | Notional Amount: $119,712,929* | Notional Amount: $36,888,264* | |
Long Futures Contracts | |||||||
Aluminum- Jan 2022 | 4.4% | 501,425 | 5,431,160 | 904,943 | 5,267,369 | 1,623,084 | |
Brent- Jan 2022 | 2.2% | 250,712 | 2,715,580 | 452,471 | 2,633,684 | 811,542 | |
Brent- Mar 2022 | 5.9% | 672,365 | 7,282,692 | 1,213,446 | 7,063,063 | 2,176,408 | |
Coffee- Mar 2022 | 2.7% | 307,692 | 3,332,757 | 555,306 | 3,232,249 | 995,983 | |
Coffee- Dec 2021 | 1.0% | 113,960 | 1,234,355 | 205,669 | 1,197,129 | 368,883 | |
Copper Comex- Mar 2022 | 3.6% | 410,256 | 4,443,676 | 740,408 | 4,309,665 | 1,327,978 | |
Copper Comex- Dec 2021 | 1.3% | 148,148 | 1,604,661 | 267,369 | 1,556,268 | 479,547 | |
Corn- Mar 2022 | 3.7% | 421,652 | 4,567,112 | 760,974 | 4,429,378 | 1,364,866 | |
Corn- Dec 2021 | 1.3% | 148,148 | 1,604,661 | 267,369 | 1,556,268 | 479,547 | |
Cotton- Mar 2022 | 1.2% | 136,752 | 1,481,225 | 246,803 | 1,436,555 | 442,659 | |
Cotton- Dec 2021 | 0.5% | 56,980 | 617,177 | 102,834 | 598,565 | 184,441 | |
Gasoil- Jan 2022 | 3.3% | 376,068 | 4,073,370 | 678,707 | 3,950,527 | 1,217,313 | |
Gasoline RBOB- Jan 2022 | 2.6% | 296,296 | 3,209,322 | 534,739 | 3,112,536 | 959,095 | |
Gold- Feb 2022 | 7.8% | 888,889 | 9,627,966 | 1,604,216 | 9,337,608 | 2,877,285 | |
Gold- Dec 2021 | 2.8% | 319,088 | 3,456,193 | 575,873 | 3,351,962 | 1,032,871 | |
Heating Oil- Jan 2022 | 2.6% | 296,296 | 3,209,322 | 534,739 | 3,112,536 | 959,095 | |
Kansas Wheat- Mar 2022 | 1.2% | 136,752 | 1,481,225 | 246,803 | 1,436,555 | 442,659 | |
Kansas Wheat- Dec 2021 | 0.4% | 45,584 | 493,742 | 82,268 | 478,852 | 147,553 | |
Lean Hogs- Feb 2022 | 1.1% | 125,356 | 1,357,790 | 226,236 | 1,316,842 | 405,771 | |
Lean Hogs- Dec 2021 | 0.4% | 45,584 | 493,742 | 82,268 | 478,852 | 147,553 | |
Live Cattle- Feb 2022 | 2.6% | 296,296 | 3,209,322 | 534,739 | 3,112,536 | 959,095 | |
Live Cattle- Dec 2021 | 0.9% | 102,564 | 1,110,919 | 185,102 | 1,077,416 | 331,994 | |
Natural Gas- Jan 2022 | 12.7% | 1,447,297 | 15,676,303 | 2,611,993 | 15,203,543 | 4,684,809 |
Referenced Commodity Futures Contracts | % of Notional | Notional Amount: $11,396,012* | Notional Amount: $123,435,456* | Notional Amount: $20,566,878* | Notional Amount: $119,712,929* | Notional Amount: $36,888,264* | |
Nickel- Jan 2022 | 2.3% | 262,108 | 2,839,015 | 473,038 | 2,753,397 | 848,430 | |
Silver- Mar 2022 | 2.2% | 250,712 | 2,715,580 | 452,471 | 2,633,684 | 811,542 | |
Silver- Dec 2021 | 0.8% | 91,168 | 987,484 | 164,535 | 957,703 | 295,106 | |
Soybean Meal- Jan 2022 | 2.1% | 239,316 | 2,592,145 | 431,904 | 2,513,972 | 774,654 | |
Soybean Oil- Jan 2022 | 3.5% | 398,860 | 4,320,241 | 719,841 | 4,189,953 | 1,291,089 | |
Soybeans- Jan 2022 | 4.2% | 478,633 | 5,184,289 | 863,809 | 5,027,943 | 1,549,307 | |
Sugar- Mar 2022 | 2.9% | 330,484 | 3,579,628 | 596,439 | 3,471,675 | 1,069,760 | |
Wheat- Mar 2022 | 2.0% | 227,920 | 2,468,709 | 411,338 | 2,394,259 | 737,765 | |
Wheat- Dec 2021 | 0.7% | 79,772 | 864,048 | 143,968 | 837,991 | 258,218 | |
WTI- Jan 2022 | 10.1% | 1,150,999 | 12,466,981 | 2,077,254 | 12,091,006 | 3,725,714 | |
Zinc- Jan 2022 | 3.0% | 341,880 | 3,703,064 | 617,006 | 3,591,388 | 1,106,648 | |
100.0% | 11,396,012 | 123,435,456 | 20,566,878 | 119,712,929 | 36,888,264 | ||
* The notional amount is indicative of the quantity and proportionate value of each commodity futures contract. |
Assets | |
Investments in unaffiliated issuers, at value (identified cost, $655,826,989) | $658,887,348 |
Investments in affiliated issuers, at value (identified cost, $133,812,612) | 133,814,176 |
Cash | 76,756,531 |
Restricted cash for | |
Uncleared swaps | 53,099,421 |
Receivables for | |
Due from uncleared swap brokers | 21,945,007 |
Investments sold | 1,785,650 |
Fund shares sold | 91,554 |
Interest | 2,565,140 |
Uncleared swaps, at value | 127,742 |
Total assets | $949,072,569 |
Liabilities | |
Payables for | |
Due to uncleared swap brokers | $6,583,721 |
Fund shares reacquired | 221,462 |
When-issued investments purchased | 2,250,000 |
Uncleared swaps, at value | 2,939,567 |
Payable to affiliates | |
Investment adviser | 76,403 |
Administrative services fee | 1,470 |
Shareholder servicing costs | 3,755 |
Distribution and service fees | 280 |
Payable for independent Trustees' compensation | 13 |
Accrued expenses and other liabilities | 153,638 |
Total liabilities | $12,230,309 |
Net assets | $936,842,260 |
Net assets consist of | |
Paid-in capital | $1,036,667,858 |
Total distributable earnings (loss) | (99,825,598) |
Net assets | $936,842,260 |
Shares of beneficial interest outstanding | 133,023,425 |
Net assets | Shares outstanding | Net asset value per share (a) | |
Class A | $4,920,537 | 700,945 | $7.02 |
Class B | 98,324 | 14,124 | 6.96 |
Class C | 1,095,195 | 157,730 | 6.94 |
Class I | 6,029,169 | 856,278 | 7.04 |
Class R1 | 63,363 | 9,089 | 6.97 |
Class R2 | 64,389 | 9,194 | 7.00 |
Class R3 | 64,909 | 9,248 | 7.02 |
Class R4 | 65,433 | 9,302 | 7.03 |
Class R6 | 924,440,941 | 131,257,515 | 7.04 |
(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 $7.45 [100 / 94.25 x $7.02]. Redemption price per share was equal to the net asset value per share for Classes I, R1, R2, R3, R4, and R6. |
Net investment income (loss) | |
Income | |
Interest | $10,494,474 |
Dividends from affiliated issuers | 63,015 |
Other | 98 |
Total investment income | $10,557,587 |
Expenses | |
Management fee | $6,308,534 |
Distribution and service fees | 16,143 |
Shareholder servicing costs | 8,693 |
Administrative services fee | 118,576 |
Independent Trustees' compensation | 14,060 |
Custodian fee | 55,397 |
Shareholder communications | 10,722 |
Audit and tax fees | 85,925 |
Legal fees | 13,051 |
Miscellaneous | 210,210 |
Total expenses | $6,841,311 |
Reduction of expenses by investment adviser | (103,104) |
Net expenses | $6,738,207 |
Net investment income (loss) | $3,819,380 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers | $1,394,710 |
Swap agreements | 319,888,673 |
Foreign currency | 8 |
Net realized gain (loss) | $321,283,391 |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $(4,511,367) |
Swap agreements | (3,595,225) |
Net unrealized gain (loss) | $(8,106,592) |
Net realized and unrealized gain (loss) | $313,176,799 |
Change in net assets from operations | $316,996,179 |
Year ended | ||
10/31/21 | 10/31/20 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $3,819,380 | $8,114,426 |
Net realized gain (loss) | 321,283,391 | (47,431,141) |
Net unrealized gain (loss) | (8,106,592) | 4,401,947 |
Change in net assets from operations | $316,996,179 | $(34,914,768) |
Total distributions to shareholders | $(7,000,067) | $(12,000,292) |
Change in net assets from fund share transactions | $(64,757,668) | $112,287,878 |
Total change in net assets | $245,238,444 | $65,372,818 |
Net assets | ||
At beginning of period | 691,603,816 | 626,230,998 |
At end of period | $936,842,260 | $691,603,816 |
Class A | Year ended | ||||
10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $4.85 | $5.32 | $5.65 | $6.00 | $5.89 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.00(w) | $0.04 | $0.10 | $0.07 | $0.03(c) |
Net realized and unrealized gain (loss) | 2.21 | (0.42) | (0.27) | (0.25) | 0.10 |
Total from investment operations | $2.21 | $(0.38) | $(0.17) | $(0.18) | $0.13 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.04) | $(0.09) | $(0.16) | $(0.17) | $(0.02) |
Net asset value, end of period (x) | $7.02 | $4.85 | $5.32 | $5.65 | $6.00 |
Total return (%) (r)(s)(t)(x) | 45.84 | (7.24) | (2.96) | (2.98) | 2.25(c) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.15 | 1.13 | 1.10 | 1.09 | 1.06(c) |
Expenses after expense reductions (f) | 1.14 | 1.12 | 1.09 | 1.08 | 1.05(c) |
Net investment income (loss) | 0.07 | 0.94 | 1.86 | 1.22 | 0.58(c) |
Portfolio turnover | 28 | 57 | 64 | 72 | 51 |
Net assets at end of period (000 omitted) | $4,921 | $1,041 | $321 | $63 | $49 |
Class B | Year ended | |||
10/31/21 | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $4.81 | $5.28 | $5.64 | $5.71 |
Income (loss) from investment operations | ||||
Net investment income (loss) (d) | $(0.04) | $0.01 | $0.06 | $0.02 |
Net realized and unrealized gain (loss) | 2.20 | (0.43) | (0.26) | (0.09) |
Total from investment operations | $2.16 | $(0.42) | $(0.20) | $(0.07) |
Less distributions declared to shareholders | ||||
From net investment income | $(0.01) | $(0.05) | $(0.16) | $— |
Net asset value, end of period (x) | $6.96 | $4.81 | $5.28 | $5.64 |
Total return (%) (r)(s)(t)(x) | 44.93 | (8.10) | (3.68) | (1.23)(n) |
Ratios (%) (to average net assets) and Supplemental data: | ||||
Expenses before expense reductions (f) | 1.89 | 1.87 | 1.84 | 1.94(a) |
Expenses after expense reductions (f) | 1.88 | 1.86 | 1.83 | 1.93(a) |
Net investment income (loss) | (0.65) | 0.23 | 1.13 | 1.34(a) |
Portfolio turnover | 28 | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $98 | $60 | $48 | $52 |
Class C | Year ended | |||
10/31/21 | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $4.80 | $5.28 | $5.64 | $5.71 |
Income (loss) from investment operations | ||||
Net investment income (loss) (d) | $(0.04) | $0.01 | $0.06 | $0.02 |
Net realized and unrealized gain (loss) | 2.19 | (0.43) | (0.27) | (0.09) |
Total from investment operations | $2.15 | $(0.42) | $(0.21) | $(0.07) |
Less distributions declared to shareholders | ||||
From net investment income | $(0.01) | $(0.06) | $(0.15) | $— |
Net asset value, end of period (x) | $6.94 | $4.80 | $5.28 | $5.64 |
Total return (%) (r)(s)(t)(x) | 44.77 | (8.07) | (3.69) | (1.23)(n) |
Ratios (%) (to average net assets) and Supplemental data: | ||||
Expenses before expense reductions (f) | 1.90 | 1.88 | 1.84 | 1.94(a) |
Expenses after expense reductions (f) | 1.88 | 1.87 | 1.83 | 1.93(a) |
Net investment income (loss) | (0.66) | 0.20 | 1.12 | 1.41(a) |
Portfolio turnover | 28 | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $1,095 | $435 | $93 | $49 |
Class I | Year ended | ||||
10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $4.86 | $5.32 | $5.65 | $6.00 | $5.90 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.02 | $0.06 | $0.11 | $0.09 | $0.05(c) |
Net realized and unrealized gain (loss) | 2.21 | (0.42) | (0.26) | (0.25) | 0.09 |
Total from investment operations | $2.23 | $(0.36) | $(0.15) | $(0.16) | $0.14 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.05) | $(0.10) | $(0.18) | $(0.19) | $(0.04) |
Net asset value, end of period (x) | $7.04 | $4.86 | $5.32 | $5.65 | $6.00 |
Total return (%) (r)(s)(t)(x) | 46.19 | (6.90) | (2.75) | (2.73) | 2.32(c) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 0.90 | 0.89 | 0.84 | 0.85 | 0.82(c) |
Expenses after expense reductions (f) | 0.89 | 0.88 | 0.83 | 0.84 | 0.81(c) |
Net investment income (loss) | 0.30 | 1.17 | 2.13 | 1.45 | 0.83(c) |
Portfolio turnover | 28 | 57 | 64 | 72 | 51 |
Net assets at end of period (000 omitted) | $6,029 | $500 | $135 | $48 | $49 |
Class R1 | Year ended | |||
10/31/21 | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $4.81 | $5.28 | $5.64 | $5.71 |
Income (loss) from investment operations | ||||
Net investment income (loss) (d) | $(0.04) | $0.01 | $0.06 | $0.02 |
Net realized and unrealized gain (loss) | 2.20 | (0.43) | (0.27) | (0.09) |
Total from investment operations | $2.16 | $(0.42) | $(0.21) | $(0.07) |
Less distributions declared to shareholders | ||||
From net investment income | $— | $(0.05) | $(0.15) | $— |
Net asset value, end of period (x) | $6.97 | $4.81 | $5.28 | $5.64 |
Total return (%) (r)(s)(t)(x) | 44.91 | (8.08) | (3.69) | (1.23)(n) |
Ratios (%) (to average net assets) and Supplemental data: | ||||
Expenses before expense reductions (f) | 1.89 | 1.87 | 1.84 | 1.94(a) |
Expenses after expense reductions (f) | 1.88 | 1.86 | 1.83 | 1.93(a) |
Net investment income (loss) | (0.63) | 0.26 | 1.14 | 1.35(a) |
Portfolio turnover | 28 | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $63 | $44 | $48 | $49 |
Class R2 | Year ended | |||
10/31/21 | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $4.83 | $5.30 | $5.65 | $5.71 |
Income (loss) from investment operations | ||||
Net investment income (loss) (d) | $(0.01) | $0.04 | $0.09 | $0.02 |
Net realized and unrealized gain (loss) | 2.20 | (0.44) | (0.27) | (0.08) |
Total from investment operations | $2.19 | $(0.40) | $(0.18) | $(0.06) |
Less distributions declared to shareholders | ||||
From net investment income | $(0.02) | $(0.07) | $(0.17) | $— |
Net asset value, end of period (x) | $7.00 | $4.83 | $5.30 | $5.65 |
Total return (%) (r)(s)(t)(x) | 45.58 | (7.59) | (3.31) | (1.05)(n) |
Ratios (%) (to average net assets) and Supplemental data: | ||||
Expenses before expense reductions (f) | 1.39 | 1.37 | 1.34 | 1.44(a) |
Expenses after expense reductions (f) | 1.38 | 1.36 | 1.33 | 1.43(a) |
Net investment income (loss) | (0.13) | 0.75 | 1.64 | 1.86(a) |
Portfolio turnover | 28 | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $64 | $44 | $48 | $49 |
Class R3 | Year ended | |||
10/31/21 | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $4.84 | $5.31 | $5.65 | $5.71 |
Income (loss) from investment operations | ||||
Net investment income (loss) (d) | $0.01 | $0.05 | $0.10 | $0.03 |
Net realized and unrealized gain (loss) | 2.20 | (0.43) | (0.27) | (0.09) |
Total from investment operations | $2.21 | $(0.38) | $(0.17) | $(0.06) |
Less distributions declared to shareholders | ||||
From net investment income | $(0.03) | $(0.09) | $(0.17) | $— |
Net asset value, end of period (x) | $7.02 | $4.84 | $5.31 | $5.65 |
Total return (%) (r)(s)(t)(x) | 46.03 | (7.34) | (3.03) | (1.05)(n) |
Ratios (%) (to average net assets) and Supplemental data: | ||||
Expenses before expense reductions (f) | 1.14 | 1.12 | 1.09 | 1.19(a) |
Expenses after expense reductions (f) | 1.13 | 1.11 | 1.08 | 1.18(a) |
Net investment income (loss) | 0.12 | 1.00 | 1.89 | 2.10(a) |
Portfolio turnover | 28 | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $65 | $44 | $48 | $49 |
Class R4 | Year ended | |||
10/31/21 | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $4.85 | $5.32 | $5.65 | $5.71 |
Income (loss) from investment operations | ||||
Net investment income (loss) (d) | $0.02 | $0.06 | $0.11 | $0.03 |
Net realized and unrealized gain (loss) | 2.21 | (0.43) | (0.26) | (0.09) |
Total from investment operations | $2.23 | $(0.37) | $(0.15) | $(0.06) |
Less distributions declared to shareholders | ||||
From net investment income | $(0.05) | $(0.10) | $(0.18) | $— |
Net asset value, end of period (x) | $7.03 | $4.85 | $5.32 | $5.65 |
Total return (%) (r)(s)(t)(x) | 46.27 | (7.09) | (2.75) | (1.05)(n) |
Ratios (%) (to average net assets) and Supplemental data: | ||||
Expenses before expense reductions (f) | 0.89 | 0.87 | 0.84 | 0.94(a) |
Expenses after expense reductions (f) | 0.88 | 0.86 | 0.83 | 0.93(a) |
Net investment income (loss) | 0.37 | 1.25 | 2.14 | 2.35(a) |
Portfolio turnover | 28 | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $65 | $45 | $48 | $49 |
Class R6 | Year ended | ||||
10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $4.86 | $5.33 | $5.65 | $6.00 | $5.90 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.03 | $0.06 | $0.11 | $0.09 | $0.05(c) |
Net realized and unrealized gain (loss) | 2.20 | (0.43) | (0.25) | (0.25) | 0.09 |
Total from investment operations | $2.23 | $(0.37) | $(0.14) | $(0.16) | $0.14 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.05) | $(0.10) | $(0.18) | $(0.19) | $(0.04) |
Net asset value, end of period (x) | $7.04 | $4.86 | $5.33 | $5.65 | $6.00 |
Total return (%) (r)(s)(t)(x) | 46.24 | (7.06) | (2.57) | (2.74) | 2.32(c) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 0.81 | 0.83 | 0.83 | 0.84 | 0.81(c) |
Expenses after expense reductions (f) | 0.80 | 0.82 | 0.82 | 0.83 | 0.80(c) |
Net investment income (loss) | 0.46 | 1.28 | 2.15 | 1.46 | 0.83(c) |
Portfolio turnover | 28 | 57 | 64 | 72 | 51 |
Net assets at end of period (000 omitted) | $924,441 | $689,390 | $625,443 | $587,864 | $591,976 |
(a) | Annualized. |
(c) | Amount reflects a one-time reimbursement of expenses by the custodian (or former custodian) without which net investment income and performance would be lower and expenses would be higher. |
(d) | Per share data is based on average shares outstanding. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. |
(i) | For Class B, Class C, Class R1, Class R2, Class R3, and Class R4, the period is from the class inception, August 15, 2018, through the stated period end. |
(n) | Not annualized. |
(r) | Certain expenses have been reduced without which performance would have been lower. |
(s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
(t) | Total returns do not include any applicable sales charges. |
(w) | Per share amount was less than $0.01 and total return or ratio was less than 0.01%, as applicable. |
(x) | The net asset values and total returns have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | $— | $162,227,455 | $— | $162,227,455 |
Non - U.S. Sovereign Debt | — | 6,740,917 | — | 6,740,917 |
Municipal Bonds | — | 19,074,837 | — | 19,074,837 |
U.S. Corporate Bonds | — | 185,181,965 | — | 185,181,965 |
Residential Mortgage-Backed Securities | — | 10,499,982 | — | 10,499,982 |
Commercial Mortgage-Backed Securities | — | 46,933,309 | — | 46,933,309 |
Asset-Backed Securities (including CDOs) | — | 63,130,167 | — | 63,130,167 |
Foreign Bonds | — | 140,456,716 | — | 140,456,716 |
Short-Term Securities | — | 24,642,000 | — | 24,642,000 |
Mutual Funds | 133,814,176 | — | — | 133,814,176 |
Total | $133,814,176 | $658,887,348 | $— | $792,701,524 |
Other Financial Instruments | ||||
Swap Agreements – Assets | $— | $127,742 | $— | $127,742 |
Swap Agreements – Liabilities | — | (2,939,567) | — | (2,939,567) |
Fair Value | |||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
Commodity | Total Return Swaps | $127,742 | $(2,939,567) |
Risk | Swap Agreements | Unaffiliated Issuers (Purchased Options) |
Interest Rate | $ 703,105 | $ — |
Commodity | 319,185,568 | — |
Credit | — | (151,597) |
Total | $319,888,673 | $(151,597) |
Risk | Swap Agreements | Unaffiliated Issuers (Purchased Options) |
Interest Rate | $ (930,038) | $ — |
Commodity | (2,665,187) | — |
Credit | — | (369,962) |
Total | $(3,595,225) | $(369,962) |
Gross Amounts of: | Derivative Assets | Derivative Liabilities |
Swaps, at value | $127,742 | $(2,939,567) |
Total Gross Amount of Derivative Assets and Liabilities Presented in the Consolidated Statement of Assets & Liabilities | $127,742 | $(2,939,567) |
Less: Derivatives Assets and Liabilities Not Subject to a Master Netting Agreement or Similar Arrangement | — | — |
Total Gross Amount of Derivative Assets and Liabilities Subject to a Master Netting Agreement or Similar Arrangement | $127,742 | $(2,939,567) |
Amounts Not Offset in the Consolidated Statement of Assets & Liabilities | |||||
Gross Amount of Derivative Assets Subject to a Master Netting Agreement (or Similar Arrangement) by Counterparty | Financial Instruments Available for Offset | Financial Instruments Collateral Received (b) | Cash Collateral Received (b) | Net Amount of Derivative Assets by Counterparty | |
Citibank N.A. | $461 | $(461) | $— | $— | $— |
Goldman Sachs International | 124,502 | (124,502) | — | — | — |
Merrill Lynch International | 1,651 | (1,651) | — | — | — |
Morgan Stanley | 1,128 | (672) | — | — | 456 |
Total | $127,742 | $(127,286) | $— | $— | $456 |
Amounts Not Offset in the Consolidated Statement of Assets & Liabilities | |||||
Gross Amount of Derivative Liabilities Subject to a Master Netting Agreement (or Similar Arrangement) by Counterparty | Financial Instruments Available for Offset | Financial Instruments Collateral Pledged (b) | Cash Collateral Pledged (b) | Net Amount of Derivative Liabilities by Counterparty | |
Citibank N.A. | $(396,495) | $461 | $— | $396,034 | $— |
Goldman Sachs International | (840,312) | 124,502 | — | 715,810 | — |
JPMorgan Chase Bank N.A. | (1,656,378) | — | — | 1,656,378 | — |
Merrill Lynch International | (45,710) | 1,651 | — | 44,059 | — |
Morgan Stanley | (672) | 672 | — | — | — |
Total | $(2,939,567) | $127,286 | $— | $2,812,281 | $— |
(b) | The amount presented here may be less than the total amount of collateral (received)/pledged as the excess collateral (received)/pledged is not shown for purposes of this presentation. |
Year ended 10/31/21 | Year ended 10/31/20 | |
Ordinary income (including any short-term capital gains) | $7,000,067 | $12,000,292 |
As of 10/31/21 | |
Cost of investments | $1,204,219,082 |
Gross appreciation | 2,902,080 |
Gross depreciation | (417,231,463) |
Net unrealized appreciation (depreciation) | $ (414,329,383) |
Undistributed ordinary income | 320,604,833 |
Capital loss carryforwards | (95,100,554) |
Other temporary differences | 88,999,506 |
Total distributable earnings (loss) | $ (99,825,598) |
Short-Term | $(74,894,518) |
Long-Term | (20,206,036) |
Total | $(95,100,554) |
Year ended 10/31/21 | Year ended 10/31/20 | |
Class A | $9,339 | $5,752 |
Class B | 98 | 415 |
Class C | 570 | 1,006 |
Class I | 4,956 | 2,528 |
Class R1 | — | 421 |
Class R2 | 208 | 659 |
Class R3 | 315 | 779 |
Class R4 | 424 | 899 |
Class R6 | 6,984,157 | 11,987,833 |
Total | $7,000,067 | $12,000,292 |
Up to $1 billion | 0.75% |
In excess of $1 billion | 0.70% |
Distribution Fee Rate (d) | Service Fee Rate (d) | Total Distribution Plan (d) | Annual Effective Rate (e) | Distribution and Service Fee | |
Class A | — | 0.25% | 0.25% | 0.25% | $ 6,864 |
Class B | 0.75% | 0.25% | 1.00% | 1.00% | 828 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 7,498 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 541 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 274 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 138 |
Total Distribution and Service Fees | $16,143 |
(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, 2021 based on each class's average daily net assets. MFD has voluntarily agreed to rebate a portion of each class's 0.25% service fee attributable to accounts for which there is no financial intermediary specified on the account except for accounts attributable to MFS or its affiliates' seed money. There were no service fee rebates for the year ended October 31, 2021. |
Amount | |
Class A | $284 |
Class B | — |
Class C | 1 |
Purchases | Sales | |
U.S. Government securities | $118,451,982 | $70,092,218 |
Non-U.S. Government securities | 212,702,932 | 131,956,087 |
Year ended 10/31/21 | Year ended 10/31/20 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 512,320 | $3,128,889 | 170,072 | $802,998 | |
Class B | 8,896 | 53,738 | 3,402 | 16,500 | |
Class C | 77,335 | 460,283 | 94,716 | 387,178 | |
Class I | 890,561 | 5,176,652 | 147,869 | 714,793 | |
Class R6 | 7,523,833 | 41,419,211 | 35,775,424 | 162,183,709 | |
9,012,945 | $50,238,773 | 36,191,483 | $164,105,178 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Class A | 1,886 | $9,339 | 1,116 | $5,752 | |
Class B | 20 | 98 | 80 | 415 | |
Class C | 115 | 570 | 198 | 1,006 | |
Class I | 983 | 4,956 | 486 | 2,528 | |
Class R1 | — | — | 80 | 421 | |
Class R2 | 42 | 208 | 126 | 659 | |
Class R3 | 63 | 315 | 150 | 779 | |
Class R4 | 84 | 424 | 174 | 899 | |
Class R6 | 1,385,745 | 6,984,157 | 2,305,353 | 11,987,833 | |
1,388,938 | $7,000,067 | 2,307,763 | $12,000,292 | ||
Shares reacquired | |||||
Class A | (28,196) | $(174,521) | (16,587) | $(78,603) | |
Class B | (7,245) | (42,300) | (38) | (188) | |
Class C | (10,357) | (64,225) | (21,829) | (103,890) | |
Class I | (138,131) | (892,634) | (70,889) | (343,471) | |
Class R6 | (19,620,559) | (120,822,828) | (13,539,794) | (63,291,440) | |
(19,804,488) | $(121,996,508) | (13,649,137) | $(63,817,592) |
Year ended 10/31/21 | Year ended 10/31/20 | ||||
Shares | Amount | Shares | Amount | ||
Net change | |||||
Class A | 486,010 | $2,963,707 | 154,601 | $730,147 | |
Class B | 1,671 | 11,536 | 3,444 | 16,727 | |
Class C | 67,093 | 396,628 | 73,085 | 284,294 | |
Class I | 753,413 | 4,288,974 | 77,466 | 373,850 | |
Class R1 | — | — | 80 | 421 | |
Class R2 | 42 | 208 | 126 | 659 | |
Class R3 | 63 | 315 | 150 | 779 | |
Class R4 | 84 | 424 | 174 | 899 | |
Class R6 | (10,710,981) | (72,419,460) | 24,540,983 | 110,880,102 | |
(9,402,605) | $(64,757,668) | 24,850,109 | $112,287,878 |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $60,805,580 | $639,034,510 | $566,025,914 | $— | $— | $133,814,176 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $63,015 | $— |
December 15, 2021
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds overseen by the Trustee | Principal Occupations During the Past Five Years | Other Directorships During the Past Five Years (j) | |||||
INTERESTED TRUSTEES | ||||||||||
Robert J. Manning (k) (age 58) | Trustee | February 2004 | 135 | Massachusetts Financial Services Company, Non-Executive Chairman (since January 2021); Director; Chairman of the Board; Executive Chairman (January 2017-2020); Co-Chief Executive Officer (2015-2016) | N/A | |||||
Michael W. Roberge (k) (age 55) | Trustee | January 2021 | 135 | Massachusetts Financial Services Company, Chairman (since January 2021); Chief Executive Officer (since January 2017); Director; President (until December 2018); Chief Investment Officer (until December 2018); Co-Chief Executive Officer (until December 2016) | N/A | |||||
INDEPENDENT TRUSTEES | ||||||||||
John P. Kavanaugh (age 67) | Trustee and Chair of Trustees | January 2009 | 135 | Private investor | N/A | |||||
Steven E. Buller (age 70) | Trustee | February 2014 | 135 | Private investor | N/A | |||||
John A. Caroselli (age 67) | Trustee | March 2017 | 135 | Private investor; JC Global Advisors, LLC (management consulting), President (since 2015) | N/A | |||||
Maureen R. Goldfarb (age 66) | Trustee | January 2009 | 135 | Private investor | N/A | |||||
Peter D. Jones (age 66) | Trustee | January 2019 | 135 | Private investor | N/A |
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) | |||||
James W. Kilman, Jr. (age 60) | Trustee | January 2019 | 135 | 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); Morgan Stanley & Co. (financial services), Vice Chairman of Investment Banking, Co-Head of Diversified Financials Coverage – Financial Institutions Investment Banking Group (until 2016) | Alpha-En Corporation, Director (2016-2019) | |||||
Clarence Otis, Jr. (age 65) | Trustee | March 2017 | 135 | Private investor | VF Corporation, Director; Verizon Communications, Inc., Director; The Travelers Companies, Director | |||||
Maryanne L. Roepke (age 65) | Trustee | May 2014 | 135 | Private investor | N/A | |||||
Laurie J. Thomsen (age 64) | Trustee | March 2005 | 135 | 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 47) | Assistant Secretary and Assistant Clerk | July 2005 | 135 | Massachusetts Financial Services Company, Senior Vice President and Associate General Counsel | ||||
Kino Clark (k) (age 53) | Assistant Treasurer | January 2012 | 135 | Massachusetts Financial Services Company, Vice President |
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 | ||||
John W. Clark, Jr. (k) (age 54) | Assistant Treasurer | April 2017 | 135 | Massachusetts Financial Services Company, Vice President (since March 2017); Deutsche Bank (financial services), Department Head - Treasurer's Office (until February 2017) | ||||
Thomas H. Connors (k) (age 62) | Assistant Secretary and Assistant Clerk | September 2012 | 135 | Massachusetts Financial Services Company, Vice President and Senior Counsel | ||||
David L. DiLorenzo (k) (age 53) | President | July 2005 | 135 | Massachusetts Financial Services Company, Senior Vice President | ||||
Heidi W. Hardin (k) (age 54) | Secretary and Clerk | April 2017 | 135 | Massachusetts Financial Services Company, Executive Vice President and General Counsel (since March 2017); Harris Associates (investment management), General Counsel (until January 2017) | ||||
Brian E. Langenfeld (k) (age 48) | Assistant Secretary and Assistant Clerk | June 2006 | 135 | Massachusetts Financial Services Company, Vice President and Senior Counsel | ||||
Amanda S. Mooradian (k) (age 42) | Assistant Secretary and Assistant Clerk | September 2018 | 135 | Massachusetts Financial Services Company, Assistant Vice President and Senior Counsel | ||||
Susan A. Pereira (k) (age 51) | Assistant Secretary and Assistant Clerk | July 2005 | 135 | Massachusetts Financial Services Company, Vice President and Assistant General Counsel | ||||
Kasey L. Phillips (k) (age 50) | Assistant Treasurer | September 2012 | 135 | Massachusetts Financial Services Company, Vice President | ||||
Matthew A. Stowe (k) (age 47) | Assistant Secretary and Assistant Clerk | October 2014 | 135 | Massachusetts Financial Services Company, Vice President and Assistant General Counsel | ||||
Martin J. Wolin (k) (age 54) | Chief Compliance Officer | July 2015 | 135 | Massachusetts Financial Services Company, Senior Vice President and Chief Compliance Officer |
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 | ||||
James O. Yost (k) (age 61) | Treasurer | September 1990 | 135 | 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. For the period from December 15, 2004 until February 22, 2005, Mr. Manning served as Advisory Trustee. From January 2012 through December 2016, Messrs. DiLorenzo and Yost served as Treasurer and Deputy Treasurer of the Funds, respectively. |
(j) | Directorships or trusteeships of companies required to report to the Securities and Exchange Commission (i.e., “public companies”). |
(k) | “Interested person” of the Trust within the meaning of the Investment Company Act of 1940 (referred to as the 1940 Act), which is the principal federal law governing investment companies like the fund, as a result of a position with MFS. The address of MFS is 111 Huntington Avenue, Boston, Massachusetts 02199-7618. |
Investment Adviser | Custodian |
Massachusetts Financial Services Company 111 Huntington Avenue Boston, MA 02199-7618 | State Street Bank and Trust Company 1 Lincoln Street Boston, MA 02111-2900 |
Distributor | Independent Registered Public Accounting Firm |
MFS Fund Distributors, Inc. 111 Huntington Avenue Boston, MA 02199-7618 | Deloitte & Touche LLP 200 Berkeley Street Boston, MA 02116 |
Portfolio Manager(s) | |
Philipp Burgener Alexander Mackey Benjamin Nastou Natalie Shapiro |
FACTS | WHAT DOES MFS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include: |
• Social Security number and account balances | |
• Account transactions and transaction history | |
• Checking account information and wire transfer instructions | |
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers' personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers' personal information; the reasons MFS chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does MFS share? | Can you limit this sharing? |
For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes – to offer our products and services to you | No | We don't share |
For joint marketing with other financial companies | No | We don't share |
For our affiliates' everyday business purposes – information about your transactions and experiences | No | We don't share |
For our affiliates' everyday business purposes – information about your creditworthiness | No | We don't share |
For nonaffiliates to market to you | No | We don't share |
Questions? | Call 800-225-2606 or go to mfs.com. |
Who we are | |
Who is providing this notice? | MFS Funds, MFS Investment Management, MFS Institutional Advisors, Inc., and MFS Heritage Trust Company. |
What we do | |
How does MFS protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include procedural, electronic, and physical safeguards for the protection of the personal information we collect about you. |
How does MFS collect my personal information? | We collect your personal information, for example, when you |
• open an account or provide account information | |
• direct us to buy securities or direct us to sell your securities | |
• make a wire transfer | |
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. | |
Why can't I limit all sharing? | Federal law gives you the right to limit only |
• sharing for affiliates' everyday business purposes – information about your creditworthiness | |
• affiliates from using your information to market to you | |
• sharing for nonaffiliates to market to you | |
State laws and individual companies may give you additional rights to limit sharing. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. |
• MFS does not share personal information with affiliates, except for everyday business purposes as described on page one of this notice. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. |
• MFS does not share with nonaffiliates so they can market to you. | |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. |
• MFS doesn't jointly market. |
Other important information |
If you own an MFS product or receive an MFS service in the name of a third party such as a bank or broker-dealer, their privacy policy may apply to you instead of ours. |
Strategy Fund
Strategy Fund
1 | |
2 | |
4 | |
6 | |
9 | |
11 | |
45 | |
47 | |
49 | |
50 | |
59 | |
79 | |
81 | |
86 | |
90 | |
90 | |
90 | |
90 | |
90 | |
92 |
back cover |
Derivative Overlay Positions (b) | |||||
Active Security Selection (a) | Long | Short | Net Market Exposure (c) | ||
Fixed Income | U.S. | 12.7% | 22.4% | (10.5)% | 24.6% |
United Kingdom | 1.0% | 5.5% | 0.0% | 6.5% | |
Asia/Pacific ex-Japan | 0.6% | 2.7% | 0.0% | 3.3% | |
Emerging Markets | 1.2% | 0.0% | 0.0% | 1.2% | |
North America ex-U.S. | 1.0% | 0.0% | (0.4)% | 0.6% | |
Japan | 0.3% | 0.0% | (3.5)% | (3.2)% | |
Europe ex-U.K. | 1.9% | 0.0% | (6.4)% | (4.5)% | |
Equity | Europe ex-U.K. | 11.1% | 7.0% | (3.3)% | 14.8% |
U.S. Large Cap | 34.2% | 0.0% | (25.8)% | 8.4% | |
Japan | 3.3% | 0.0% | (0.8)% | 2.5% | |
United Kingdom | 3.5% | 0.0% | (1.5)% | 2.0% | |
U.S. Small/Mid Cap | 17.9% | 0.0% | (16.5)% | 1.4% | |
Emerging Markets | 2.6% | 4.2% | (5.9)% | 0.9% | |
North America ex-U.S. | 1.9% | 0.0% | (1.5)% | 0.4% | |
Developed - Middle East/Africa | 0.1% | 0.0% | 0.0% | 0.1% | |
Asia/Pacific ex-Japan | 1.5% | 0.1% | (6.8)% | (5.2)% | |
Cash | Cash & Cash Equivalent (d) | 4.7% | |||
Other (e) | 41.5% |
USD Interest Rate Swap, Receive 0.29% - SEP 2023 | 12.9% |
USD Interest Rate Swap, Receive 0.79% - SEP 2026 | 9.5% |
Long Gilt 10 yr Future - DEC 2021 | 5.5% |
FTSE MIB Index Future - DEC 2021 | 3.8% |
S&P/ASX 200 Index Future - DEC 2021 | (5.1)% |
U.S. Treasury Note 10 yr Future - DEC 2021 | (5.6)% |
Euro-Bund 10 yr Future - DEC 2021 | (6.4)% |
S&P MidCap 400 Index Future - DEC 2021 | (8.2)% |
Russell 2000 Index Future - DEC 2021 | (8.3)% |
S&P 500 E-Mini Index Future - DEC 2021 | (25.8)% |
(a) | Represents the actively managed portion of the portfolio and for purposes of this presentation, components include the value of securities, less any securities sold short. The bond component will include any accrued interest amounts. This also reflects the equivalent exposure of certain derivative positions. These amounts may be negative from time to time. |
(b) | Represents the tactical overlay portion of the portfolio which is how the fund manages its exposure to markets and currencies through the use of derivative positions. Percentages reflect the equivalent exposure of those derivative positions. |
(c) | For purposes of this presentation, the components include the value of securities, less any securities sold short, and reflect the impact of the equivalent exposure of all derivative positions. These amounts may be negative from time to time. The bond component will include any accrued interest amounts. |
(d) | Cash & Cash Equivalents includes any cash, investments in money market funds, short-term securities, and other assets less liabilities. Please see the Statement of Assets and Liabilities for additional information related to the fund’s cash position and other assets and liabilities. |
(e) | Other includes currency derivatives and/or the offsetting of the leverage produced by the fund’s derivative positions, including payables and/or receivables of the finance leg of interest rate swaps and the unrealized gain or loss in connection with forward currency exchange contracts. |
(y) | A yield curve graphically depicts the yields of different maturity bonds of the same credit quality and type; a normal yield curve is upward sloping, with short-term rates lower than long-term rates. |
Share Class | Class Inception Date | 1-yr | 5-yr | 10-yr |
A | 12/20/07 | 7.98% | 4.73% | 4.04% |
B | 12/20/07 | 7.08% | 3.93% | 3.26% |
C | 12/20/07 | 7.06% | 3.93% | 3.26% |
I | 12/20/07 | 8.19% | 4.99% | 4.30% |
R1 | 12/20/07 | 7.07% | 3.93% | 3.26% |
R2 | 12/20/07 | 7.64% | 4.45% | 3.77% |
R3 | 12/20/07 | 7.92% | 4.73% | 4.04% |
R4 | 12/20/07 | 8.20% | 4.99% | 4.26% |
R6 | 12/20/07 | 8.35% | 5.08% | 4.37% |
Bloomberg 1-3 Year U.S. Treasury Bond Index (f) | (0.26)% | 1.59% | 1.13% |
FTSE 1-Month U.S. Treasury Bill Index (f) | 0.04% | 1.07% | 0.56% |
A With Initial Sales Charge (5.75%) | 1.77% | 3.50% | 3.43% |
B With CDSC (Declining over six years from 4% to 0%) (v) | 3.08% | 3.58% | 3.26% |
C With CDSC (1% for 12 months) (v) | 6.06% | 3.93% | 3.26% |
(f) | Source: FactSet Research Systems Inc. |
(v) | Assuming redemption at the end of the applicable period. |
(a) | Source: Bloomberg Index Services Limited. BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg's licensors own all proprietary rights in the Bloomberg Indices. Bloomberg neither approves or |
(b) | ©2018 FTSE Fixed Income LLC. All rights reserved. |
May 1, 2021 through October 31, 2021
Share Class | Annualized Expense Ratio | Beginning Account Value 5/01/21 | Ending Account Value 10/31/21 | Expenses Paid During Period (p) 5/01/21-10/31/21 | |
A | Actual | 1.30% | $1,000.00 | $1,026.04 | $6.64 |
Hypothetical (h) | 1.30% | $1,000.00 | $1,018.65 | $6.61 | |
B | Actual | 2.05% | $1,000.00 | $1,022.24 | $10.45 |
Hypothetical (h) | 2.05% | $1,000.00 | $1,014.87 | $10.41 | |
C | Actual | 2.05% | $1,000.00 | $1,022.16 | $10.45 |
Hypothetical (h) | 2.05% | $1,000.00 | $1,014.87 | $10.41 | |
I | Actual | 1.05% | $1,000.00 | $1,027.61 | $5.37 |
Hypothetical (h) | 1.05% | $1,000.00 | $1,019.91 | $5.35 | |
R1 | Actual | 2.05% | $1,000.00 | $1,021.58 | $10.45 |
Hypothetical (h) | 2.05% | $1,000.00 | $1,014.87 | $10.41 | |
R2 | Actual | 1.55% | $1,000.00 | $1,025.44 | $7.91 |
Hypothetical (h) | 1.55% | $1,000.00 | $1,017.39 | $7.88 | |
R3 | Actual | 1.30% | $1,000.00 | $1,026.02 | $6.64 |
Hypothetical (h) | 1.30% | $1,000.00 | $1,018.65 | $6.61 | |
R4 | Actual | 1.05% | $1,000.00 | $1,027.54 | $5.37 |
Hypothetical (h) | 1.05% | $1,000.00 | $1,019.91 | $5.35 | |
R6 | Actual | 0.95% | $1,000.00 | $1,028.35 | $4.86 |
Hypothetical (h) | 0.95% | $1,000.00 | $1,020.42 | $4.84 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – 76.1% | ||||
Aerospace & Defense – 1.1% | ||||
CACI International, Inc., “A” (a) | 648 | $ 186,391 | ||
Honeywell International, Inc. | 2,197 | 480,308 | ||
Howmet Aerospace, Inc. | 1,693 | 50,265 | ||
KBR, Inc. | 3,855 | 163,606 | ||
L3Harris Technologies, Inc. | 516 | 118,959 | ||
Leidos Holdings, Inc. | 516 | 51,590 | ||
MTU Aero Engines Holding AG | 535 | 118,961 | ||
Northrop Grumman Corp. | 1,221 | 436,165 | ||
Raytheon Technologies Corp. | 558 | 49,584 | ||
Rolls-Royce Holdings PLC (a) | 139,759 | 252,167 | ||
Singapore Technologies Engineering Ltd. | 39,000 | 111,057 | ||
$2,019,053 | ||||
Airlines – 0.1% | ||||
Alaska Air Group, Inc. (a) | 593 | $ 31,310 | ||
Delta Air Lines, Inc. (a) | 516 | 20,191 | ||
JetBlue Airways Corp. (a) | 4,619 | 64,805 | ||
Ryanair Holdings PLC, ADR (a) | 408 | 46,312 | ||
$162,618 | ||||
Alcoholic Beverages – 1.0% | ||||
China Resources Beer Holdings Co. Ltd. | 14,000 | $ 116,290 | ||
Constellation Brands, Inc., “A” | 142 | 30,787 | ||
Diageo PLC | 9,380 | 466,240 | ||
Heineken N.V. | 1,373 | 152,084 | ||
Kirin Holdings Co. Ltd. | 3,000 | 52,223 | ||
Pernod Ricard S.A. | 4,541 | 1,043,055 | ||
$1,860,679 | ||||
Apparel Manufacturers – 1.2% | ||||
Adidas AG | 370 | $ 121,173 | ||
Burberry Group PLC | 1,092 | 28,828 | ||
Compagnie Financiere Richemont S.A. | 2,269 | 280,280 | ||
LVMH Moet Hennessy Louis Vuitton SE | 1,191 | 932,366 | ||
NIKE, Inc., “B” | 3,550 | 593,880 | ||
On Holding AG (a)(l) | 580 | 19,813 | ||
PVH Corp. (a) | 853 | 93,258 | ||
Skechers USA, Inc., “A” (a) | 4,509 | 208,361 | ||
$2,277,959 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Automotive – 0.5% | ||||
Bridgestone Corp. | 1,100 | $ 48,541 | ||
Continental AG (a) | 464 | 54,454 | ||
Copart, Inc. (a) | 1,377 | 213,834 | ||
Ford Motor Co. | 2,784 | 47,551 | ||
Koito Manufacturing Co. Ltd. | 1,200 | 68,023 | ||
Lear Corp. | 409 | 70,287 | ||
LKQ Corp. | 3,322 | 182,976 | ||
Methode Electronics, Inc. | 1,337 | 56,247 | ||
NGK Spark Plug Co. Ltd | 3,600 | 57,390 | ||
Stanley Electric Co. Ltd. | 2,800 | 70,614 | ||
Stoneridge, Inc. (a) | 793 | 15,051 | ||
Toyota Industries Corp. | 700 | 59,505 | ||
Visteon Corp. (a) | 861 | 97,448 | ||
$1,041,921 | ||||
Biotechnology – 0.9% | ||||
Abcam PLC (a) | 2,201 | $ 49,821 | ||
Adaptive Biotechnologies Corp. (a) | 1,703 | 56,897 | ||
AlloVir, Inc. (a) | 913 | 21,921 | ||
Amicus Therapeutics, Inc. (a) | 1,042 | 10,941 | ||
BioAtla, Inc. (a) | 581 | 16,983 | ||
Biogen, Inc. (a) | 1,238 | 330,150 | ||
BioXcel Therapeutics, Inc. (a) | 498 | 14,512 | ||
BridgeBio Pharma, Inc. (a) | 421 | 20,789 | ||
Illumina, Inc. (a) | 63 | 26,149 | ||
Immunocore Holdings PLC, ADR (a) | 400 | 15,408 | ||
Incyte Corp. (a) | 3,190 | 213,666 | ||
Lyell Immunopharma, Inc. (a)(l) | 1,153 | 16,073 | ||
MaxCyte, Inc. (a) | 1,886 | 21,199 | ||
Neurocrine Biosciences, Inc. (a) | 214 | 22,558 | ||
Novozymes A/S | 4,711 | 346,425 | ||
Olink Holding AB (a)(l) | 582 | 18,717 | ||
Oxford Nanopore Technologies PLC (a) | 2,264 | 17,304 | ||
Prelude Therapeutics, Inc. (a) | 560 | 9,845 | ||
Recursion Pharmaceuticals, Inc. (a)(l) | 1,540 | 29,491 | ||
Sana Biotechnology, Inc. (a) | 893 | 18,521 | ||
Twist Bioscience Corp. (a) | 242 | 28,750 | ||
Vertex Pharmaceuticals, Inc. (a) | 2,621 | 484,701 | ||
$1,790,821 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Broadcasting – 0.2% | ||||
Discovery Communications, Inc., “C” (a) | 1,912 | $ 43,135 | ||
Netflix, Inc. (a) | 566 | 390,715 | ||
$433,850 | ||||
Brokerage & Asset Managers – 1.5% | ||||
Apollo Global Management, Inc. | 702 | $ 54,019 | ||
ASX Ltd. | 1,591 | 99,761 | ||
BlackRock, Inc. | 490 | 462,295 | ||
Cboe Global Markets, Inc. | 603 | 79,560 | ||
Charles Schwab Corp. | 1,040 | 85,311 | ||
Computershare Ltd. | 9,237 | 130,891 | ||
Daiwa Securities Group, Inc. | 25,100 | 141,027 | ||
Euronext N.V. | 985 | 110,905 | ||
Focus Financial Partners, “A” (a) | 1,319 | 82,912 | ||
GCM Grosvenor, Inc. (l) | 1,399 | 16,019 | ||
GCM Grosvenor, Inc. (PIPE) (a) | 2,498 | 28,602 | ||
Hamilton Lane, Inc., “A” | 853 | 89,147 | ||
Hong Kong Exchanges & Clearing Ltd. | 1,100 | 66,758 | ||
Invesco Ltd. | 1,209 | 30,721 | ||
NASDAQ, Inc. (f) | 3,645 | 764,976 | ||
Omni Bridgeway Ltd. (a) | 28,395 | 66,216 | ||
Raymond James Financial, Inc. | 2,898 | 285,714 | ||
Schroders PLC | 2,557 | 126,678 | ||
TMX Group Ltd. | 875 | 94,733 | ||
WisdomTree Investments, Inc. | 9,430 | 60,258 | ||
$2,876,503 | ||||
Business Services – 3.5% | ||||
Accenture PLC, “A” | 5,650 | $ 2,027,163 | ||
Amdocs Ltd. | 816 | 63,517 | ||
Clarivate PLC (a) | 10,055 | 235,790 | ||
Cognizant Technology Solutions Corp., “A” | 1,744 | 136,189 | ||
CoStar Group, Inc. (a) | 3,369 | 289,902 | ||
Endava PLC, ADR (a) | 380 | 60,215 | ||
Equifax, Inc. | 2,104 | 583,713 | ||
EVO Payments, Inc., “A” (a) | 4,324 | 93,744 | ||
ExlService Holdings, Inc. (a) | 660 | 80,936 | ||
Experian PLC | 4,078 | 186,794 | ||
Fidelity National Information Services, Inc. | 416 | 46,068 | ||
Fiserv, Inc. (a) | 469 | 46,192 | ||
Global Payments, Inc. | 539 | 77,072 | ||
HireRight Holdings Corp. (a) | 1,448 | 24,978 | ||
Intertek Group PLC | 2,139 | 143,293 | ||
Keywords Studios PLC | 1,938 | 75,218 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Business Services – continued | ||||
LegalZoom.com, Inc. (a) | 1,982 | $ 55,575 | ||
MSCI, Inc. | 1,064 | 707,432 | ||
Nomura Research Institute Ltd. | 5,100 | 204,871 | ||
Paya, Inc. (a) | 4,090 | 37,260 | ||
Payoneer Global, Inc. (a) | 5,564 | 42,008 | ||
PayPal Holdings, Inc. (a) | 2,585 | 601,245 | ||
Remitly Global, Inc. (a)(l) | 1,563 | 47,859 | ||
SGS S.A. | 74 | 218,864 | ||
TaskUs, Inc., “A” (a) | 553 | 32,019 | ||
Thoughtworks Holding, Inc. (a) | 2,655 | 76,703 | ||
TriNet Group, Inc. (a) | 491 | 49,714 | ||
Verisk Analytics, Inc., “A” | 1,740 | 365,870 | ||
WNS (Holdings) Ltd., ADR (a) | 1,159 | 102,931 | ||
$6,713,135 | ||||
Cable TV – 0.8% | ||||
Altice USA, Inc., “A” (a) | 1,158 | $ 18,875 | ||
Cable One, Inc. | 18 | 30,802 | ||
Charter Communications, Inc., “A” (a) | 1,394 | 940,797 | ||
Comcast Corp., “A” | 9,775 | 502,728 | ||
$1,493,202 | ||||
Chemicals – 0.6% | ||||
Celanese Corp. | 370 | $ 59,759 | ||
Eastman Chemical Co. | 1,969 | 204,835 | ||
Element Solutions, Inc. | 3,716 | 84,390 | ||
FMC Corp. | 667 | 60,704 | ||
Givaudan S.A. | 136 | 640,044 | ||
IMCD Group N.V. | 221 | 49,064 | ||
Ingevity Corp. (a) | 789 | 61,471 | ||
$1,160,267 | ||||
Computer Software – 7.9% | ||||
8x8, Inc. (a) | 2,905 | $ 65,827 | ||
ACI Worldwide, Inc. (a) | 952 | 29,207 | ||
Adobe Systems, Inc. (a) | 1,872 | 1,217,474 | ||
Alkami Technology, Inc. (a) | 2,495 | 74,850 | ||
ANSYS, Inc. (a) | 1,424 | 540,522 | ||
Atlassian Corp. PLC, “A” (a) | 110 | 50,394 | ||
Autodesk, Inc. (a) | 1,172 | 372,239 | ||
Avalara, Inc. (a) | 154 | 27,665 | ||
Black Knight, Inc. (a) | 1,391 | 97,523 | ||
Cadence Design Systems, Inc. (a)(f) | 8,563 | 1,482,341 | ||
Computer Modelling Group Ltd. | 28,849 | 126,343 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Computer Software – continued | ||||
Coupa Software, Inc. (a) | 325 | $ 74,002 | ||
CrowdStrike Holdings, Inc. (a) | 1,795 | 505,831 | ||
Dassault Systemes SE | 15,906 | 926,354 | ||
Definitive Healthcare Corp. (a) | 293 | 11,761 | ||
DocuSign, Inc. (a) | 454 | 126,344 | ||
DoubleVerify Holdings, Inc. (a) | 1,351 | 53,405 | ||
Dun & Bradstreet Holdings, Inc. (a) | 1,281 | 24,134 | ||
Eventbrite, Inc. (a) | 4,385 | 88,752 | ||
Everbridge, Inc. (a) | 506 | 80,611 | ||
Intuit, Inc. | 324 | 202,821 | ||
McAfee Corp. | 1,076 | 22,994 | ||
Microsoft Corp. (f) | 15,056 | 4,992,871 | ||
Naver Corp. | 1,158 | 405,329 | ||
nCino, Inc. (a) | 578 | 41,997 | ||
NetEase.com, Inc., ADR | 1,534 | 149,703 | ||
OBIC Co. Ltd. | 1,300 | 239,833 | ||
Okta, Inc. (a) | 394 | 97,389 | ||
Open Lending Corp., “A” (a) | 2,001 | 63,072 | ||
Oracle Corp. (f) | 11,786 | 1,130,749 | ||
Pagerduty, Inc. (a) | 1,194 | 49,849 | ||
Paycor HCM, Inc. (a) | 1,958 | 63,518 | ||
Paylocity Holding Corp. (a) | 168 | 51,264 | ||
Ping Identity Holding Corp. (a) | 1,032 | 29,237 | ||
Procore Technologies, Inc. (a)(l) | 459 | 41,976 | ||
RingCentral, Inc. (a) | 285 | 69,477 | ||
salesforce.com, inc. (a) | 353 | 105,791 | ||
SAP SE | 4,594 | 665,532 | ||
Synopsys, Inc. (a) | 1,329 | 442,796 | ||
Zendesk, Inc. (a) | 190 | 19,342 | ||
Zoom Video Communications, Inc. (a) | 339 | 93,106 | ||
$14,954,225 | ||||
Computer Software - Systems – 3.7% | ||||
Alten S.A. | 578 | $ 93,009 | ||
Amadeus IT Group S.A. (a) | 7,015 | 469,044 | ||
Apple, Inc. (f) | 18,487 | 2,769,353 | ||
Cancom SE | 1,132 | 78,201 | ||
Constellation Software, Inc. | 81 | 142,352 | ||
EMIS Group PLC | 7,829 | 144,430 | ||
EPAM Systems, Inc. (a) | 616 | ��� 414,716 | ||
Fujitsu Ltd. | 700 | 120,811 | ||
Hitachi Ltd. | 16,300 | 939,960 | ||
HP, Inc. | 4,166 | 126,355 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Computer Software - Systems – continued | ||||
Kinaxis, Inc. (a) | 1,269 | $ 196,953 | ||
NICE Systems Ltd., ADR (a) | 595 | 168,397 | ||
Nuvei Corp. (a) | 526 | 63,341 | ||
Q2 Holdings, Inc. (a) | 1,163 | 91,249 | ||
Rapid7, Inc. (a) | 1,066 | 137,248 | ||
Samsung Electronics Co. Ltd. | 964 | 57,755 | ||
ServiceNow, Inc. (a) | 321 | 223,981 | ||
Softchoice Corp. | 2,594 | 60,490 | ||
Temenos AG | 472 | 72,094 | ||
TransUnion | 2,745 | 316,471 | ||
Venture Corp. Ltd. | 10,500 | 146,837 | ||
Verint Systems, Inc. (a) | 1,637 | 76,284 | ||
Zebra Technologies Corp., “A” (a) | 173 | 92,373 | ||
$7,001,704 | ||||
Conglomerates – 0.1% | ||||
Ansell Ltd. | 5,166 | $ 123,181 | ||
DCC PLC | 1,829 | 152,838 | ||
$276,019 | ||||
Construction – 1.5% | ||||
Armstrong World Industries, Inc. | 544 | $ 57,474 | ||
AvalonBay Communities, Inc., REIT | 68 | 16,094 | ||
AZEK Co., Inc. (a) | 2,913 | 106,878 | ||
Builders FirstSource, Inc. (a) | 1,456 | 84,841 | ||
Fortune Brands Home & Security, Inc. | 517 | 52,424 | ||
GMS, Inc. (a) | 479 | 23,725 | ||
Latch, Inc. (a)(l) | 4,390 | 39,027 | ||
Lennar Corp. | 1,336 | 133,506 | ||
Masco Corp. | 1,472 | 96,490 | ||
Mid-America Apartment Communities, Inc., REIT | 400 | 81,684 | ||
Otis Worldwide Corp. | 392 | 31,481 | ||
Pool Corp. | 262 | 134,972 | ||
Pulte Homes, Inc. | 3,210 | 154,337 | ||
Sherwin-Williams Co. (f) | 2,453 | 776,644 | ||
Stanley Black & Decker, Inc. | 425 | 76,385 | ||
Techtronic Industries Co. Ltd. | 5,500 | 113,174 | ||
Toll Brothers, Inc. | 5,612 | 337,674 | ||
Trex Co., Inc. (a) | 324 | 34,474 | ||
Vulcan Materials Co. | 2,267 | 431,002 | ||
$2,782,286 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Consumer Products – 1.8% | ||||
Colgate-Palmolive Co. | 7,033 | $ 535,844 | ||
Energizer Holdings, Inc. | 1,593 | 58,097 | ||
Estee Lauder Cos., Inc., “A” | 663 | 215,031 | ||
Kao Corp. | 4,900 | 276,894 | ||
Kimberly-Clark Corp. | 224 | 29,006 | ||
Kobayashi Pharmaceutical Co. Ltd. | 7,900 | 632,467 | ||
L’Oréal S.A. | 641 | 292,656 | ||
Newell Brands, Inc. | 3,196 | 73,157 | ||
Prestige Consumer Healthcare, Inc. (a) | 1,298 | 77,867 | ||
Procter & Gamble Co. | 791 | 113,105 | ||
Reckitt Benckiser Group PLC | 12,542 | 1,016,988 | ||
Reynolds Consumer Products, Inc. | 939 | 25,334 | ||
Scotts Miracle-Gro Co. | 583 | 86,552 | ||
$3,432,998 | ||||
Consumer Services – 0.5% | ||||
Asante, Inc. (l) | 6,100 | $ 94,102 | ||
Boyd Group Services, Inc. | 191 | 37,070 | ||
Bright Horizons Family Solutions, Inc. (a) | 1,302 | 216,132 | ||
BrightView Holdings, Inc. (a) | 1,540 | 24,424 | ||
Carsales.com Ltd. | 1,492 | 27,823 | ||
European Wax Center, Inc., “A” (a) | 1,027 | 32,741 | ||
F45 Training Holdings, Inc. (a)(l) | 3,249 | 44,609 | ||
Grand Canyon Education, Inc. (a) | 1,047 | 83,446 | ||
MakeMyTrip Ltd. (a) | 3,056 | 96,784 | ||
Meitec Corp. | 2,000 | ��� 119,028 | ||
Persol Holdings Co. Ltd. | 1,300 | 34,915 | ||
Regis Corp. (a) | 2,779 | 7,503 | ||
Seek Ltd. | 1,338 | 33,067 | ||
Uber Technologies, Inc. (a) | 1,781 | 78,043 | ||
$929,687 | ||||
Containers – 0.6% | ||||
Ardagh Metal Packaging S.A. (a) | 3,082 | $ 30,358 | ||
Berry Global, Inc. (a) | 2,340 | 153,363 | ||
Brambles Ltd. | 7,158 | 54,200 | ||
Crown Holdings, Inc. | 415 | 43,156 | ||
Graphic Packaging Holding Co. | 24,111 | 480,532 | ||
Owens Corning | 865 | 80,800 | ||
Pactiv Evergreen, Inc. | 3,346 | 46,543 | ||
SIG Combibloc Group AG | 7,562 | 197,557 | ||
Silgan Holdings, Inc. | 1,047 | 42,089 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Containers – continued | ||||
WestRock Co. | 1,058 | $ 50,890 | ||
$1,179,488 | ||||
Electrical Equipment – 2.0% | ||||
Advanced Drainage Systems, Inc. | 395 | $ 44,556 | ||
AMETEK, Inc. | 1,187 | 157,159 | ||
Halma PLC | 23,653 | 958,809 | ||
Johnson Controls International PLC | 2,114 | 155,104 | ||
Legrand S.A. | 1,028 | 111,992 | ||
Littlefuse, Inc. | 121 | 35,640 | ||
nVent Electric PLC | 1,740 | 61,683 | ||
Rockwell Automation, Inc. | 1,138 | 363,477 | ||
Schneider Electric SE | 7,259 | 1,249,480 | ||
Sensata Technologies Holding PLC (a) | 2,270 | 125,077 | ||
Spectris PLC | 5,138 | 264,670 | ||
TE Connectivity Ltd. | 511 | 74,606 | ||
TriMas Corp. | 1,719 | 57,329 | ||
Vertiv Holdings Co. | 737 | 18,926 | ||
WESCO International, Inc. (a) | 363 | 47,030 | ||
$3,725,538 | ||||
Electronics – 3.6% | ||||
Advanced Energy Industries, Inc. | 896 | $ 82,271 | ||
Analog Devices, Inc. | 2,843 | 493,232 | ||
Applied Materials, Inc. | 1,361 | 185,981 | ||
ASM International N.V. | 575 | 260,163 | ||
ASM Pacific Technology Ltd. | 5,600 | 60,786 | ||
CMC Materials, Inc. | 299 | 38,382 | ||
Cohu, Inc. (a) | 1,045 | 33,482 | ||
Corning, Inc. | 1,413 | 50,260 | ||
Entegris, Inc. | 1,492 | 210,044 | ||
Intel Corp. | 17,002 | 833,098 | ||
Kyocera Corp. | 800 | 46,843 | ||
Lam Research Corp. | 70 | 39,450 | ||
Marvell Technology, Inc. | 1,122 | 76,857 | ||
Monolithic Power Systems, Inc. | 671 | 352,584 | ||
nLIGHT, Inc. (a) | 623 | 17,519 | ||
NVIDIA Corp. | 5,417 | 1,384,964 | ||
NXP Semiconductors N.V. | 1,103 | 221,548 | ||
ON Semiconductor Corp. (a) | 1,099 | 52,829 | ||
Plexus Corp. (a) | 799 | 69,769 | ||
Silicon Motion Technology Corp., ADR | 1,487 | 106,187 | ||
Taiwan Semiconductor Manufacturing Co. Ltd. | 4,654 | 98,491 | ||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 13,862 | 1,576,109 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Electronics – continued | ||||
Texas Instruments, Inc. | 2,852 | $ 534,693 | ||
$6,825,542 | ||||
Energy - Independent – 0.8% | ||||
Cabot Oil & Gas Corp. | 1,579 | $ 33,664 | ||
CNX Resources Corp. (a) | 2,105 | 30,754 | ||
ConocoPhillips | 745 | 55,495 | ||
Devon Energy Corp. | 2,846 | 114,068 | ||
Diamondback Energy, Inc. | 691 | 74,068 | ||
Hess Corp. | 614 | 50,698 | ||
Magnolia Oil & Gas Corp., “A” | 2,851 | 59,529 | ||
Marathon Petroleum Corp. | 1,769 | 116,630 | ||
Oil Search Ltd. | 13,059 | 41,879 | ||
Pioneer Natural Resources Co. | 536 | 100,221 | ||
Reliance Industries Ltd. | 15,625 | 527,100 | ||
Valero Energy Corp. | 3,488 | 269,727 | ||
Viper Energy Partners LP | 2,549 | 56,206 | ||
$1,530,039 | ||||
Energy - Integrated – 0.2% | ||||
Cairn Energy PLC | 12,754 | $ 31,924 | ||
Eni S.p.A. | 6,144 | 88,099 | ||
Exxon Mobil Corp. | 2,915 | 187,930 | ||
Galp Energia SGPS S.A. | 6,641 | 69,032 | ||
Idemitsu Kosan Co. Ltd. | 1,900 | 51,426 | ||
$428,411 | ||||
Engineering - Construction – 0.0% | ||||
APi Group, Inc. (a) | 2,185 | $ 47,590 | ||
Quanta Services, Inc. | 376 | 45,601 | ||
$93,191 | ||||
Entertainment – 0.1% | ||||
Manchester United PLC, “A” | 3,426 | $ 55,810 | ||
Vivid Seats, Inc., “A” (l) | 3,372 | 45,522 | ||
$101,332 | ||||
Food & Beverages – 2.5% | ||||
Archer Daniels Midland Co. | 703 | $ 45,161 | ||
Britvic PLC | 7,587 | 92,203 | ||
Chocoladefabriken Lindt & Sprungli AG | 38 | 447,816 | ||
Coca-Cola European Partners PLC | 814 | 42,857 | ||
Danone S.A. | 1,012 | 65,922 | ||
Duckhorn Portfolio, Inc. (a) | 1,593 | 30,809 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Food & Beverages – continued | ||||
Dutch Bros, Inc., “A” (a)(l) | 516 | $ 39,340 | ||
Hostess Brands, Inc. (a) | 4,073 | 77,020 | ||
Ingredion, Inc. | 379 | 36,092 | ||
J.M. Smucker Co. | 334 | 41,035 | ||
Kellogg Co. | 772 | 47,324 | ||
Laird Superfood, Inc. (a) | 305 | 5,325 | ||
Mondelez International, Inc. | 3,003 | 182,402 | ||
Morinaga & Co. Ltd. | 3,900 | 137,784 | ||
Nestle S.A. | 13,939 | 1,839,351 | ||
Nestle S.A., ADR | 3,510 | 462,688 | ||
Nomad Foods Ltd. (a) | 2,250 | 61,268 | ||
Oatly Group AB, ADR (a) | 3,836 | 49,446 | ||
PepsiCo, Inc. | 383 | 61,893 | ||
S Foods, Inc. | 3,700 | 106,992 | ||
Toyo Suisan Kaisha Ltd. | 7,000 | 301,557 | ||
Tyson Foods, Inc., “A” | 6,950 | 555,792 | ||
$4,730,077 | ||||
Food & Drug Stores – 0.3% | ||||
Albertsons Cos., Inc., “A” (l) | 1,702 | $ 52,677 | ||
JM Holdings Co. Ltd. | 4,000 | 65,647 | ||
Kroger Co. | 3,055 | 122,261 | ||
Patlac Corp. | 2,000 | 88,440 | ||
Sugi Holdings Co. Ltd. | 400 | 28,638 | ||
Sundrug Co. Ltd. | 3,600 | 105,550 | ||
Wal-Mart Stores, Inc. | 1,374 | 205,303 | ||
$668,516 | ||||
Furniture & Appliances – 0.1% | ||||
Howden Joinery Group PLC | 7,681 | $ 96,688 | ||
IMAX Corp. (a) | 2,034 | 38,341 | ||
$135,029 | ||||
Gaming & Lodging – 0.7% | ||||
Flutter Entertainment PLC (a) | 3,439 | $ 649,254 | ||
Genius Sports Ltd. (a) | 2,936 | 54,433 | ||
International Game Technology PLC (a) | 3,137 | 92,510 | ||
Marriott International, Inc., “A” (a) | 2,195 | 351,244 | ||
Penn National Gaming, Inc. (a) | 676 | 48,401 | ||
Tabcorp Holdings Ltd. | 27,827 | 104,168 | ||
Wyndham Hotels & Resorts, Inc. | 1,208 | 102,040 | ||
$1,402,050 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
General Merchandise – 0.4% | ||||
B&M European Value Retail S.A. | 14,387 | $ 124,673 | ||
Costco Wholesale Corp. | 773 | 379,960 | ||
Dollar General Corp. | 226 | 50,063 | ||
Dollar Tree, Inc. (a) | 500 | 53,880 | ||
Dollarama, Inc. | 4,000 | 180,802 | ||
$789,378 | ||||
Health Maintenance Organizations – 0.5% | ||||
Cigna Corp. (f) | 3,944 | $ 842,478 | ||
Humana, Inc. | 71 | 32,884 | ||
$875,362 | ||||
Insurance – 2.9% | ||||
AIA Group Ltd. | 71,800 | $ 810,697 | ||
Allstate Corp. | 2,242 | 277,268 | ||
American International Group, Inc. | 864 | 51,054 | ||
Aon PLC | 2,522 | 806,838 | ||
Arthur J. Gallagher & Co. | 1,673 | 280,512 | ||
Assurant, Inc. | 405 | 65,330 | ||
Athene Holding Ltd. (a) | 879 | 76,482 | ||
Beazley PLC (a) | 34,089 | 181,945 | ||
Chubb Ltd. | 2,458 | 480,244 | ||
Cincinnati Financial Corp. | 362 | 43,961 | ||
CNO Financial Group, Inc. | 2,568 | 61,991 | ||
Equitable Holdings, Inc. | 8,154 | 273,159 | ||
Everest Re Group Ltd. | 1,682 | 439,843 | ||
Hanover Insurance Group, Inc. | 623 | 78,498 | ||
Hartford Financial Services Group, Inc. | 1,363 | 99,404 | ||
Hiscox Ltd. | 2,768 | 31,555 | ||
Marsh & McLennan Cos., Inc. | 2,422 | 403,990 | ||
MetLife, Inc. | 7,710 | 484,188 | ||
Progressive Corp. | 3,656 | 346,881 | ||
Reinsurance Group of America, Inc. | 600 | 70,848 | ||
Selective Insurance Group, Inc. | 587 | 46,003 | ||
Willis Towers Watson PLC | 252 | 61,055 | ||
Zurich Insurance Group AG | 208 | 92,210 | ||
$5,563,956 | ||||
Internet – 3.8% | ||||
Alphabet, Inc., “A” (a) | 813 | $ 2,407,228 | ||
Alphabet, Inc., “C” (a) | 710 | 2,105,441 | ||
Facebook, Inc., “A” (a)(f) | 4,302 | 1,391,998 | ||
Gartner, Inc. (a) | 546 | 181,223 | ||
IAC/InterActiveCorp (a) | 649 | 98,888 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Internet – continued | ||||
Match Group, Inc. (a) | 1,950 | $ 294,021 | ||
Scout24 AG | 649 | 45,165 | ||
Tencent Holdings Ltd. | 10,100 | 627,071 | ||
Vimeo, Inc. (a) | 1,052 | 35,484 | ||
$7,186,519 | ||||
Leisure & Toys – 0.8% | ||||
Brunswick Corp. | 3,932 | $ 366,030 | ||
Electronic Arts, Inc. | 1,786 | 250,487 | ||
Funko, Inc., “A” (a) | 1,247 | 20,438 | ||
Malibu Boats, Inc., “A” (a) | 1,061 | 74,917 | ||
Mattel, Inc. (a) | 1,814 | 39,563 | ||
Polaris, Inc. | 3,559 | 409,107 | ||
Prosus N.V. | 605 | 53,300 | ||
Take-Two Interactive Software, Inc. (a) | 786 | 142,266 | ||
Yamaha Corp. | 700 | 44,240 | ||
YETI Holdings, Inc. (a) | 1,198 | 117,799 | ||
$1,518,147 | ||||
Machinery & Tools – 3.9% | ||||
AGCO Corp. | 6,451 | $ 788,377 | ||
Azbil Corp. | 2,200 | 93,889 | ||
BELIMO Holding AG | 374 | 217,309 | ||
Caterpillar, Inc. | 604 | 123,222 | ||
Cummins, Inc. | 734 | 176,043 | ||
Daikin Industries Ltd. | 700 | 153,414 | ||
Eaton Corp. PLC | 3,685 | 607,141 | ||
Enerpac Tool Group Corp. | 772 | 16,127 | ||
GEA Group AG | 11,876 | 584,703 | ||
Hydrofarm Holdings Group, Inc. (a) | 1,426 | 47,015 | ||
IDEX Corp. | 622 | 138,438 | ||
Illinois Tool Works, Inc. | 2,171 | 494,706 | ||
Ingersoll Rand, Inc. | 1,975 | 106,176 | ||
ITT, Inc. | 466 | 43,837 | ||
Kubota Corp. | 5,300 | 112,994 | ||
Nordson Corp. | 775 | 197,013 | ||
Oshkosh Corp. | 2,910 | 311,370 | ||
PACCAR, Inc. | 1,012 | 90,695 | ||
Regal Beloit Corp. | 5,251 | 799,885 | ||
Ritchie Bros. Auctioneers, Inc. | 1,477 | 100,953 | ||
Ritchie Bros. Auctioneers, Inc. | 10,822 | 739,684 | ||
Roper Technologies, Inc. | 516 | 251,741 | ||
Schindler Holding AG | 838 | 218,012 | ||
SMC Corp. | 200 | 119,616 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Machinery & Tools – continued | ||||
Spirax-Sarco Engineering PLC | 4,100 | $ 875,605 | ||
Wabtec Corp. | 588 | 53,349 | ||
$7,461,314 | ||||
Major Banks – 1.6% | ||||
Bank of America Corp. | 8,190 | $ 391,318 | ||
BNP Paribas | 2,344 | 156,890 | ||
Capital One Financial Corp. | 940 | 141,968 | ||
Comerica, Inc. | 595 | 50,629 | ||
Credit Suisse Group AG | 6,674 | 69,481 | ||
DBS Group Holdings Ltd. | 10,100 | 235,355 | ||
Goldman Sachs Group, Inc. | 827 | 341,840 | ||
ING Groep N.V. | 6,155 | 93,351 | ||
JPMorgan Chase & Co. (f) | 6,036 | 1,025,456 | ||
KeyCorp | 2,672 | 62,177 | ||
Mitsubishi UFJ Financial Group, Inc. | 14,600 | 79,913 | ||
Morgan Stanley | 775 | 79,654 | ||
NatWest Group PLC | 30,701 | 92,897 | ||
PNC Financial Services Group, Inc. | 290 | 61,199 | ||
State Street Corp. | 504 | 49,669 | ||
UBS AG | 6,433 | 116,948 | ||
$3,048,745 | ||||
Medical & Health Technology & Services – 1.8% | ||||
AmerisourceBergen Corp. | 390 | $ 47,588 | ||
Burning Rock Biotech Ltd., ADR (a) | 3,534 | 49,794 | ||
Certara, Inc. (a) | 1,909 | 78,861 | ||
Charles River Laboratories International, Inc. (a) | 858 | 384,967 | ||
CVS Health Corp. | 3,208 | 286,410 | ||
Guardant Health, Inc. (a) | 175 | 20,438 | ||
HealthEquity, Inc. (a) | 758 | 50,164 | ||
Hogy Medical Co. Ltd. | 4,000 | 109,490 | ||
ICON PLC (a) | 2,554 | 732,411 | ||
IDEXX Laboratories, Inc. (a) | 556 | 370,374 | ||
Laboratory Corp. of America Holdings (a) | 333 | 95,578 | ||
LifeStance Health Group, Inc. (a)(l) | 3,156 | 37,809 | ||
McKesson Corp. | 3,495 | 726,541 | ||
Premier, Inc., “A” | 2,334 | 90,909 | ||
Quest Diagnostics, Inc. | 358 | 52,547 | ||
Syneos Health, Inc. (a) | 3,075 | 287,020 | ||
Talkspace, Inc. (a)(l) | 8,052 | 27,699 | ||
Universal Health Services, Inc. | 355 | 44,056 | ||
$3,492,656 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Medical Equipment – 3.2% | ||||
Acutus Medical, Inc. (a) | 1,509 | $ 11,831 | ||
Agilent Technologies, Inc. | 937 | 147,568 | ||
Agiliti Health, Inc. (a) | 2,243 | 50,580 | ||
Avantor, Inc. (a) | 5,620 | 226,936 | ||
Becton, Dickinson and Co. | 168 | 40,251 | ||
Bio-Techne Corp. | 465 | 243,497 | ||
Boston Scientific Corp. (a) | 4,601 | 198,441 | ||
Danaher Corp. | 1,481 | 461,731 | ||
Dentsply Sirona, Inc. | 813 | 46,512 | ||
Envista Holdings Corp. (a) | 3,015 | 117,887 | ||
EssilorLuxottica | 3,321 | 686,811 | ||
Gerresheimer AG | 1,703 | 156,115 | ||
Hologic, Inc. (a) | 467 | 34,236 | ||
Koninklijke Philips N.V. | 2,476 | 116,565 | ||
Maravai Lifesciences Holdings, Inc., “A” (a) | 4,401 | 186,118 | ||
Masimo Corp. (a) | 447 | 126,742 | ||
Medtronic PLC | 4,518 | 541,527 | ||
Nevro Corp. (a) | 330 | 37,534 | ||
Nihon Kohden Corp. | 2,400 | 76,490 | ||
OptiNose, Inc. (a)(l) | 2,207 | 5,849 | ||
Outset Medical, Inc. (a) | 552 | 29,405 | ||
PerkinElmer, Inc. | 1,719 | 304,074 | ||
PROCEPT BioRobotics Corp. (a)(l) | 631 | 26,963 | ||
QIAGEN N.V. (a) | 8,346 | 459,147 | ||
Shimadzu Corp. | 3,700 | 150,238 | ||
Silk Road Medical, Inc. (a) | 339 | 19,903 | ||
Smith & Nephew PLC | 5,855 | 100,561 | ||
STERIS PLC | 1,063 | 248,466 | ||
Terumo Corp. | 1,500 | 66,164 | ||
Thermo Fisher Scientific, Inc. | 1,522 | 963,533 | ||
West Pharmaceutical Services, Inc. | 323 | 138,851 | ||
Zimmer Biomet Holdings, Inc. | 443 | 63,402 | ||
$6,083,928 | ||||
Metals & Mining – 0.1% | ||||
Arconic Corp. (a) | 1,459 | $ 42,924 | ||
Glencore PLC | 15,999 | 79,973 | ||
Kaiser Aluminum Corp. | 248 | 24,091 | ||
$146,988 | ||||
Natural Gas - Distribution – 0.4% | ||||
Atmos Energy Corp. | 255 | $ 23,491 | ||
China Resources Gas Group Ltd. | 8,000 | 43,068 | ||
Italgas S.p.A. | 17,283 | 109,685 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Natural Gas - Distribution – continued | ||||
New Jersey Resources Corp. | 1,484 | $ 56,110 | ||
ONE Gas, Inc. | 507 | 34,121 | ||
South Jersey Industries, Inc. | 2,229 | 50,732 | ||
UGI Corp. | 11,312 | 491,054 | ||
$808,261 | ||||
Natural Gas - Pipeline – 0.6% | ||||
APA Group | 4,310 | $ 26,654 | ||
Cheniere Energy, Inc. | 1,955 | 202,147 | ||
Enterprise Products Partners LP | 476 | 10,796 | ||
Equitrans Midstream Corp. | 1,013 | 10,444 | ||
ONEOK, Inc. | 4,020 | 255,752 | ||
Plains GP Holdings LP | 9,084 | 99,016 | ||
Targa Resources Corp. | 7,819 | 427,465 | ||
TC Energy Corp. | 1,015 | 54,908 | ||
Williams Cos., Inc. | 5,460 | 153,371 | ||
$1,240,553 | ||||
Network & Telecom – 0.4% | ||||
CoreSite Realty Corp., REIT | 1,367 | $ 194,743 | ||
Equinix, Inc., REIT | 40 | 33,483 | ||
Fortinet, Inc. (a) | 268 | 90,139 | ||
Motorola Solutions, Inc. | 292 | 72,588 | ||
Palo Alto Networks, Inc. (a) | 237 | 120,654 | ||
Qualcomm, Inc. | 1,039 | 138,229 | ||
VTech Holdings Ltd. | 15,000 | 115,074 | ||
$764,910 | ||||
Oil Services – 0.1% | ||||
ChampionX Corp. (a) | 2,898 | $ 76,015 | ||
Expro Group Holdings N.V. (a) | 1,341 | 22,998 | ||
Halliburton Co. | 1,155 | 28,863 | ||
$127,876 | ||||
Other Banks & Diversified Financials – 3.2% | ||||
AIB Group PLC (a) | 13,663 | $ 37,022 | ||
Air Lease Corp. | 907 | 36,325 | ||
American Express Co. | 2,455 | 426,630 | ||
Bank of Hawaii Corp. | 673 | 56,869 | ||
Brookline Bancorp, Inc. | 3,505 | 56,255 | ||
Cathay General Bancorp, Inc. | 2,122 | 89,527 | ||
Chiba Bank Ltd. | 17,500 | 107,390 | ||
Citigroup, Inc. (f) | 18,352 | 1,269,224 | ||
Credicorp Ltd. | 420 | 54,457 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Other Banks & Diversified Financials – continued | ||||
Discover Financial Services | 522 | $ 59,153 | ||
East West Bancorp, Inc. | 1,224 | 97,284 | ||
Element Fleet Management Corp. | 8,272 | 89,899 | ||
Encore Capital Group, Inc. (a) | 1,648 | 89,025 | ||
First Hawaiian, Inc. | 2,305 | 63,595 | ||
First Interstate BancSystem, Inc. | 2,456 | 102,096 | ||
Grupo Financiero Banorte S.A. de C.V. | 18,894 | 119,625 | ||
Hanmi Financial Corp. | 2,088 | 46,333 | ||
HDFC Bank Ltd. | 5,891 | 124,985 | ||
HDFC Bank Ltd., ADR | 6,364 | 457,635 | ||
Julius Baer Group Ltd. | 1,185 | 85,652 | ||
Lakeland Financial Corp. | 535 | 38,450 | ||
Macquarie Group Ltd. | 575 | 86,057 | ||
Metropolitan Bank & Trust Co. | 92,517 | 87,543 | ||
Northern Trust Corp. | 835 | 102,738 | ||
Prosperity Bancshares, Inc. | 2,293 | 172,686 | ||
Sandy Spring Bancorp, Inc. | 805 | 38,205 | ||
Signature Bank | 180 | 53,608 | ||
SLM Corp. | 20,077 | 368,413 | ||
SVB Financial Group (a) | 83 | 59,544 | ||
Synchrony Financial | 3,301 | 153,332 | ||
Texas Capital Bancshares, Inc. (a) | 543 | 32,906 | ||
Textainer Group Holdings Ltd. (a) | 1,356 | 53,277 | ||
Triton International Ltd. of Bermuda | 631 | 39,242 | ||
Truist Financial Corp. | 1,140 | 72,356 | ||
UMB Financial Corp. | 763 | 75,400 | ||
Umpqua Holdings Corp. | 6,878 | 140,655 | ||
Visa, Inc., “A” (f) | 3,921 | 830,350 | ||
Wintrust Financial Corp. | 1,039 | 91,952 | ||
Zions Bancorp NA | 2,071 | 130,452 | ||
$6,096,147 | ||||
Pharmaceuticals – 3.0% | ||||
Annexon, Inc. (a) | 867 | $ 14,141 | ||
Bayer AG | 5,165 | 290,596 | ||
Bristol-Myers Squibb Co. | 7,729 | 451,373 | ||
Collegium Pharmaceutical, Inc. (a) | 909 | 17,844 | ||
Eli Lilly & Co. (f) | 2,555 | 650,912 | ||
Harmony Biosciences Holdings (a) | 663 | 27,495 | ||
Johnson & Johnson (f) | 9,461 | 1,541,008 | ||
Kyowa Kirin Co. Ltd. | 3,100 | 101,724 | ||
Merck & Co., Inc. | 3,130 | 275,596 | ||
Novartis AG | 2,413 | 199,344 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Pharmaceuticals – continued | ||||
Novo Nordisk A.S., “B” | 2,833 | $ 310,067 | ||
Organon & Co. | 1,881 | 69,123 | ||
Roche Holding AG | 2,939 | 1,136,471 | ||
Santen Pharmaceutical Co. Ltd. | 13,600 | 191,371 | ||
SpringWorks Therapeutics, Inc. (a) | 473 | 31,719 | ||
Turning Point Therapeutics, Inc. (a) | 420 | 17,464 | ||
Viatris, Inc. | 1,728 | 23,069 | ||
Zoetis, Inc. | 1,351 | 292,086 | ||
$5,641,403 | ||||
Pollution Control – 0.1% | ||||
GFL Environmental, Inc. | 1,476 | $ 60,738 | ||
Republic Services, Inc. | 510 | 68,646 | ||
U.S. Ecology, Inc. (a) | 775 | 24,947 | ||
$154,331 | ||||
Precious Metals & Minerals – 0.5% | ||||
Agnico-Eagle Mines Ltd. | 7,927 | $ 420,753 | ||
Agnico-Eagle Mines Ltd. | 1,221 | 64,774 | ||
Franco-Nevada Corp. | 2,385 | 340,310 | ||
Wheaton Precious Metals Corp. | 3,633 | 146,659 | ||
$972,496 | ||||
Printing & Publishing – 0.1% | ||||
China Literature Ltd. (a) | 5,000 | $ 34,799 | ||
Wolters Kluwer N.V. | 2,237 | 234,392 | ||
$269,191 | ||||
Railroad & Shipping – 0.7% | ||||
Canadian National Railway Co. | 4,657 | $ 618,962 | ||
Canadian Pacific Railway Ltd. | 595 | 46,053 | ||
CSX Corp. | 6,572 | 237,709 | ||
Kansas City Southern Co. | 93 | 28,853 | ||
Sankyu, Inc. | 1,400 | 63,171 | ||
Union Pacific Corp. | 1,185 | 286,059 | ||
$1,280,807 | ||||
Real Estate – 2.1% | ||||
Annaly Mortgage Management, Inc., REIT | 1,838 | $ 15,549 | ||
Ascendas Real Estate Investment Trust, REIT | 38,602 | 88,582 | ||
Big Yellow Group PLC, REIT | 2,430 | 49,185 | ||
Boston Properties, Inc., REIT | 212 | 24,092 | ||
Brixmor Property Group, Inc., REIT | 3,137 | 73,531 | ||
Broadstone Net Lease, Inc. | 2,122 | 56,424 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Real Estate – continued | ||||
Douglas Emmett, Inc., REIT | 687 | $ 22,451 | ||
Empire State Realty Trust, REIT, “A” | 4,585 | 44,383 | ||
EPR Properties, REIT | 1,940 | 97,407 | ||
ESR Cayman Ltd. (a) | 48,400 | 157,575 | ||
Extra Space Storage, Inc., REIT | 1,483 | 292,700 | ||
Grand City Properties S.A. | 3,502 | 89,711 | ||
Hibernia PLC, REIT | 48,180 | 70,177 | ||
Host Hotels & Resorts, Inc., REIT (a) | 2,421 | 40,745 | ||
Industrial Logistics Properties Trust, REIT | 3,559 | 99,972 | ||
Innovative Industrial Properties, Inc., REIT | 226 | 59,458 | ||
LEG Immobilien AG | 744 | 110,647 | ||
Lexington Realty Trust, REIT | 3,960 | 57,697 | ||
Life Storage, Inc., REIT | 1,251 | 167,396 | ||
Mapletree Commercial Trust, REIT | 41,200 | 66,731 | ||
National Storage Affiliates Trust, REIT | 738 | 46,096 | ||
Phillips Edison & Co., REIT | 1,498 | 45,150 | ||
Public Storage, Inc., REIT | 1,010 | 335,502 | ||
Simon Property Group, Inc., REIT | 5,208 | 763,389 | ||
Spirit Realty Capital, Inc., REIT | 614 | 30,043 | ||
STAG Industrial, Inc., REIT | 3,765 | 163,890 | ||
STORE Capital Corp., REIT | 4,442 | 152,494 | ||
Sun Communities, Inc., REIT | 364 | 71,337 | ||
TAG Immobilien AG | 19,884 | 604,070 | ||
Two Harbors Investment Corp., REIT | 10,444 | 67,051 | ||
VICI Properties, Inc., REIT | 2,063 | 60,549 | ||
W.P. Carey, Inc., REIT | 620 | 47,808 | ||
$4,071,792 | ||||
Restaurants – 0.4% | ||||
Aramark | 1,087 | $ 39,654 | ||
Chipotle Mexican Grill, Inc., “A” (a) | 47 | 83,614 | ||
Domino's Pizza, Inc. | 235 | 114,908 | ||
Jack in the Box, Inc. | 359 | 35,523 | ||
Performance Food Group Co. (a) | 377 | 17,052 | ||
Starbucks Corp. | 2,988 | 316,937 | ||
Wendy's Co. | 3,893 | 86,814 | ||
Yum China Holdings, Inc. | 1,187 | 67,754 | ||
$762,256 | ||||
Specialty Chemicals – 1.7% | ||||
Air Products & Chemicals, Inc. | 106 | $ 31,780 | ||
Akzo Nobel N.V. | 798 | 91,714 | ||
Ashland Global Holdings, Inc. | 553 | 53,094 | ||
Avient Corp. | 1,431 | 77,102 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Specialty Chemicals – continued | ||||
Axalta Coating Systems Ltd. (a) | 6,614 | $ 206,291 | ||
Corteva, Inc. | 1,323 | 57,088 | ||
Croda International PLC | 2,055 | 265,994 | ||
Diversey Holdings Ltd. (a) | 2,775 | 48,285 | ||
Dow, Inc. | 1,239 | 69,347 | ||
DuPont de Nemours, Inc. | 1,268 | 88,253 | ||
Kansai Paint Co. Ltd. | 5,400 | 125,009 | ||
Linde PLC | 3,418 | 1,100,411 | ||
Nitto Denko Corp. | 1,000 | 78,114 | ||
Rogers Corp. (a) | 253 | 50,883 | ||
Sika AG | 1,956 | 662,254 | ||
Symrise AG | 721 | 99,642 | ||
Univar Solutions, Inc. (a) | 3,255 | 83,263 | ||
$3,188,524 | ||||
Specialty Stores – 2.9% | ||||
ACV Auctions, Inc. (a) | 4,155 | $ 80,898 | ||
Amazon.com, Inc. (a)(f)(s) | 840 | 2,832,841 | ||
AutoZone, Inc. (a) | 123 | 219,535 | ||
Burlington Stores, Inc. (a) | 522 | 144,224 | ||
Farfetch Ltd., “A” (a) | 306 | 11,998 | ||
Home Depot, Inc. | 241 | 89,589 | ||
Just Eat Takeaway.com (a) | 1,422 | 101,975 | ||
Leslie's, Inc. (a) | 4,695 | 97,093 | ||
Lowe's Cos., Inc. | 621 | 145,202 | ||
Lululemon Athletica, Inc. (a) | 637 | 296,848 | ||
Ocado Group PLC (a) | 978 | 24,132 | ||
O'Reilly Automotive, Inc. (a) | 209 | 130,065 | ||
Petco Health & Wellness Co., Inc. (a) | 1,706 | 42,189 | ||
Ross Stores, Inc. | 286 | 32,375 | ||
Ryohin Keikaku Co. Ltd. | 3,600 | 70,882 | ||
Target Corp. (f) | 2,878 | 747,186 | ||
ThredUp, Inc. (a)(l) | 2,155 | 46,634 | ||
Ulta Beauty, Inc. (a) | 215 | 78,983 | ||
Urban Outfitters, Inc. (a) | 2,958 | 94,449 | ||
Vroom, Inc. (a) | 1,969 | 37,667 | ||
ZOZO, Inc. | 2,600 | 83,331 | ||
Zumiez, Inc. (a) | 1,640 | 66,748 | ||
$5,474,844 | ||||
Telecommunications - Wireless – 0.4% | ||||
Advanced Info Service Public Co. Ltd. | 6,600 | $ 37,592 | ||
Cellnex Telecom S.A. | 3,315 | 203,793 | ||
KDDI Corp. | 2,600 | 80,599 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Telecommunications - Wireless – continued | ||||
Liberty Broadband Corp. (a) | 341 | $ 55,396 | ||
SBA Communications Corp., REIT | 627 | 216,522 | ||
SoftBank Group Corp. | 1,000 | 54,270 | ||
T-Mobile USA, Inc. (a) | 301 | 34,624 | ||
$682,796 | ||||
Telephone Services – 0.1% | ||||
Hellenic Telecommunications Organization S.A. | 2,242 | $ 39,654 | ||
Infrastrutture Wireless Italiane S.p.A. | 10,173 | 112,378 | ||
Tele2 AB, “B” | 530 | 7,477 | ||
$159,509 | ||||
Tobacco – 0.6% | ||||
Altria Group, Inc. | 3,903 | $ 172,161 | ||
British American Tobacco PLC | 3,507 | 122,220 | ||
Philip Morris International, Inc. (f) | 6,231 | 589,079 | ||
Swedish Match AB | 38,154 | 335,780 | ||
$1,219,240 | ||||
Trucking – 0.3% | ||||
CryoPort, Inc. (a) | 506 | $ 41,259 | ||
Knight-Swift Transportation Holdings, Inc. | 2,061 | 116,838 | ||
Schneider National, Inc. | 3,217 | 80,232 | ||
Seino Holdings Co. Ltd. | 9,000 | 108,933 | ||
SG Holdings Co. Ltd. | 2,200 | 55,138 | ||
United Parcel Service, Inc., “B” | 641 | 136,834 | ||
Yamato Holdings Co. Ltd. | 3,000 | 73,830 | ||
$613,064 | ||||
Utilities - Electric Power – 1.7% | ||||
AES Corp. | 2,762 | $ 69,409 | ||
Ameren Corp. | 550 | 46,359 | ||
American Electric Power Co., Inc. | 244 | 20,669 | ||
Black Hills Corp. | 1,137 | 75,474 | ||
CenterPoint Energy, Inc. | 2,115 | 55,075 | ||
CLP Holdings Ltd. | 4,000 | 39,149 | ||
CMS Energy Corp. | 936 | 56,488 | ||
Dominion Energy, Inc. | 4,649 | 352,998 | ||
Duke Energy Corp. | 5,011 | 511,172 | ||
E.ON SE | 4,000 | 50,707 | ||
Edison International | 604 | 38,010 | ||
Eversource Energy | 613 | 52,044 | ||
Exelon Corp. | 7,059 | 375,468 | ||
Generac Holdings, Inc. (a) | 35 | 17,450 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Utilities - Electric Power – continued | ||||
Iberdrola S.A. | 7,849 | $ 92,685 | ||
NextEra Energy, Inc. | 506 | 43,177 | ||
NRG Energy, Inc. | 8,239 | 328,654 | ||
Orsted A.S. | 307 | 43,319 | ||
PG&E Corp. (a) | 7,899 | 91,628 | ||
Pinnacle West Capital Corp. | 717 | 46,239 | ||
Portland General Electric Co. | 1,462 | 72,091 | ||
Public Service Enterprise Group, Inc. | 1,067 | 68,075 | ||
Sempra Energy | 376 | 47,989 | ||
Shoals Technologies Group, Inc. (a) | 2,297 | 71,184 | ||
Southern Co. | 7,798 | 485,971 | ||
$3,151,484 | ||||
Total Common Stocks (Identified Cost, $90,956,955) | $ 144,872,617 | |||
Bonds – 18.7% | ||||
Aerospace & Defense – 0.3% | ||||
BAE Systems PLC, 3.4%, 4/15/2030 (n) | $ | 200,000 | $ 213,858 | |
Boeing Co., 5.15%, 5/01/2030 | 194,000 | 226,311 | ||
Boeing Co., 3.75%, 2/01/2050 | 57,000 | 59,974 | ||
Raytheon Technologies Corp., 1.9%, 9/01/2031 | 50,000 | 48,292 | ||
$548,435 | ||||
Apparel Manufacturers – 0.0% | ||||
Tapestry, Inc., 4.125%, 7/15/2027 | $ | 70,000 | $ 75,992 | |
Asset-Backed & Securitized – 0.3% | ||||
ACREC Ltd., 2021-FL1, “A”, FLR, 1.235% (LIBOR - 1mo. + 1.15%), 10/16/2036 (n) | $ | 114,000 | $ 114,000 | |
Benchmark Mortgage Trust, 2021-B27, “XA”, 1.272%, 7/15/2054 (i) | 1,224,105 | 116,333 | ||
KREF Ltd., 2018-FT1, “A”, FLR, 1.156% (LIBOR - 1mo. + 1.1%), 2/15/2039 (n) | 100,000 | 99,938 | ||
KREF Ltd., 2018-FT1, “AS”, FLR, 1.386% (LIBOR - 1mo. + 1.3%), 2/15/2039 (n) | 100,000 | 100,061 | ||
PFP III, 2021-8, “A”, FLR, 1.088% (LIBOR - 1mo. + 1%), 8/09/2037 (n) | 100,000 | 99,475 | ||
PFP III, 2021-8, “AS”, FLR, 1.337% (LIBOR - 1mo. + 1.25%), 8/09/2037 (n) | 104,000 | 103,736 | ||
$633,543 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Automotive – 0.5% | ||||
Aptiv PLC, 5.4%, 3/15/2049 | $ | 150,000 | $ 210,106 | |
Hyundai Capital America, 6.375%, 4/08/2030 (n) | 371,000 | 470,545 | ||
Lear Corp., 3.8%, 9/15/2027 | 29,000 | 31,674 | ||
Volkswagen Group of America Finance LLC, 3.35%, 5/13/2025 (n) | 200,000 | 211,935 | ||
$924,260 | ||||
Broadcasting – 0.6% | ||||
Discovery Communications LLC, 3.625%, 5/15/2030 | $ | 150,000 | $ 161,378 | |
Discovery Communications LLC, 4%, 9/15/2055 | 119,000 | 126,353 | ||
Prosus N.V., 3.832%, 2/08/2051 (n) | 200,000 | 181,454 | ||
Walt Disney Co., 3.35%, 3/24/2025 | 160,000 | 171,265 | ||
Walt Disney Co., 3.5%, 5/13/2040 | 237,000 | 261,806 | ||
Walt Disney Co., 3.8%, 5/13/2060 | 150,000 | 177,613 | ||
$1,079,869 | ||||
Brokerage & Asset Managers – 0.5% | ||||
Brookfield Finance, Inc., 2.34%, 1/30/2032 | $ | 206,000 | $ 200,769 | |
Charles Schwab Corp., 1.95%, 12/01/2031 | 296,000 | 290,634 | ||
E*TRADE Financial Corp., 3.8%, 8/24/2027 | 131,000 | 144,253 | ||
Intercontinental Exchange, Inc., 1.85%, 9/15/2032 | 300,000 | 281,008 | ||
Intercontinental Exchange, Inc., 3%, 9/15/2060 | 65,000 | 63,150 | ||
$979,814 | ||||
Building – 0.1% | ||||
Vulcan Materials Co., 3.5%, 6/01/2030 | $ | 137,000 | $ 149,450 | |
Vulcan Materials Co., 4.5%, 6/15/2047 | 78,000 | 96,721 | ||
$246,171 | ||||
Business Services – 0.7% | ||||
Equinix, Inc., 2.5%, 5/15/2031 | $ | 155,000 | $ 155,014 | |
Equinix, Inc., 3%, 7/15/2050 | 98,000 | 95,699 | ||
Fiserv, Inc., 4.4%, 7/01/2049 | 75,000 | 90,566 | ||
Mastercard, Inc., 3.85%, 3/26/2050 | 170,000 | 206,675 | ||
NXP Semiconductors N.V., 3.4%, 5/01/2030 (n) | 224,000 | 240,730 | ||
Visa, Inc., 2.05%, 4/15/2030 | 277,000 | 280,982 | ||
Visa, Inc., 2.7%, 4/15/2040 | 88,000 | 90,214 | ||
Visa, Inc., 2%, 8/15/2050 | 107,000 | 95,673 | ||
$1,255,553 | ||||
Cable TV – 0.3% | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | $ | 335,000 | $ 435,098 | |
Comcast Corp., 3.75%, 4/01/2040 | 100,000 | 112,037 | ||
$547,135 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Chemicals – 0.1% | ||||
RPM International, Inc., 4.55%, 3/01/2029 | $ | 24,000 | $ 27,267 | |
RPM International, Inc., 4.25%, 1/15/2048 | 12,000 | 13,699 | ||
Sherwin-Williams Co., 4.5%, 6/01/2047 | 72,000 | 90,109 | ||
$131,075 | ||||
Computer Software – 0.2% | ||||
Microsoft Corp., 2.525%, 6/01/2050 | $ | 350,000 | $ 344,253 | |
Computer Software - Systems – 0.2% | ||||
Apple, Inc., 2.05%, 9/11/2026 | $ | 172,000 | $ 177,025 | |
Apple, Inc., 1.7%, 8/05/2031 | 93,000 | 90,212 | ||
Apple, Inc., 2.65%, 5/11/2050 | 196,000 | 193,590 | ||
$460,827 | ||||
Conglomerates – 0.4% | ||||
Carrier Global Corp., 2.722%, 2/15/2030 | $ | 155,000 | $ 159,075 | |
Carrier Global Corp., 3.377%, 4/05/2040 | 141,000 | 147,534 | ||
Otis Worldwide Corp., 2.565%, 2/15/2030 | 233,000 | 237,633 | ||
Westinghouse Air Brake Technologies Corp., 4.95%, 9/15/2028 | 212,000 | 243,864 | ||
$788,106 | ||||
Consumer Products – 0.1% | ||||
Mattel, Inc., 3.75%, 4/01/2029 (n) | $ | 96,000 | $ 99,725 | |
Consumer Services – 0.1% | ||||
Booking Holdings, Inc., 3.55%, 3/15/2028 | $ | 132,000 | $ 146,292 | |
Electrical Equipment – 0.0% | ||||
Arrow Electronics, Inc., 3.875%, 1/12/2028 | $ | 29,000 | $ 31,333 | |
Electronics – 0.4% | ||||
Broadcom, Inc., 3.469%, 4/15/2034 (n) | $ | 91,000 | $ 93,883 | |
Broadcom, Inc., 3.187%, 11/15/2036 (n) | 481,000 | 472,844 | ||
NXP B.V./NXP Funding LLC, 4.625%, 6/01/2023 (n) | 200,000 | 211,640 | ||
$778,367 | ||||
Emerging Market Quasi-Sovereign – 0.3% | ||||
Ecopetrol S.A., 5.375%, 6/26/2026 | $ | 237,000 | $ 256,261 | |
Ecopetrol S.A., 6.875%, 4/29/2030 | 140,000 | 161,700 | ||
Qatar Petroleum, 3.125%, 7/12/2041 (n) | 200,000 | 201,838 | ||
$619,799 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – 0.3% | ||||
Republic of Panama, 2.252%, 9/29/2032 | $ | 241,000 | $ 226,993 | |
State of Qatar, 3.75%, 4/16/2030 (n) | 200,000 | 223,000 | ||
United Mexican States, 2.659%, 5/24/2031 | 200,000 | 193,020 | ||
$643,013 | ||||
Energy - Independent – 0.2% | ||||
Diamondback Energy, Inc., 3.125%, 3/24/2031 | $ | 103,000 | $ 106,362 | |
Hess Corp., 5.8%, 4/01/2047 | 150,000 | 200,309 | ||
$306,671 | ||||
Energy - Integrated – 0.3% | ||||
Cenovus Energy, Inc., 5.375%, 7/15/2025 | $ | 88,000 | $ 98,855 | |
Cenovus Energy, Inc., 2.65%, 1/15/2032 | 105,000 | 102,403 | ||
Cenovus Energy, Inc., 6.75%, 11/15/2039 | 24,000 | 32,897 | ||
Cenovus Energy, Inc., 3.75%, 2/15/2052 | 25,000 | 25,298 | ||
Eni S.p.A., 4.75%, 9/12/2028 (n) | 200,000 | 232,711 | ||
$492,164 | ||||
Financial Institutions – 0.4% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.65%, 7/21/2027 | $ | 150,000 | $ 158,990 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.3%, 1/30/2032 | 150,000 | 152,664 | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.85%, 10/29/2041 | 150,000 | 155,294 | ||
Avolon Holdings Funding Ltd., 4.25%, 4/15/2026 (n) | 100,000 | 107,464 | ||
Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 94,000 | 101,434 | ||
Avolon Holdings Funding Ltd., 2.75%, 2/21/2028 (n) | 180,000 | 178,225 | ||
$854,071 | ||||
Food & Beverages – 0.5% | ||||
Anheuser-Busch InBev Worldwide, Inc., 3.5%, 6/01/2030 | $ | 254,000 | $ 278,486 | |
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | 150,000 | 210,401 | ||
Bacardi Ltd., 5.15%, 5/15/2038 (n) | 114,000 | 140,922 | ||
Constellation Brands, Inc., 4.1%, 2/15/2048 | 269,000 | 309,719 | ||
SYSCO Corp., 2.4%, 2/15/2030 | 24,000 | 24,300 | ||
SYSCO Corp., 4.45%, 3/15/2048 | 43,000 | 52,058 | ||
$1,015,886 | ||||
Forest & Paper Products – 0.1% | ||||
Celulosa Arauco y Constitucion, 4.2%, 1/29/2030 (n) | $ | 200,000 | $ 211,690 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Gaming & Lodging – 0.2% | ||||
Las Vegas Sands Corp., 3.9%, 8/08/2029 | $ | 149,000 | $ 151,616 | |
Marriott International, Inc., 4.625%, 6/15/2030 | 50,000 | 56,938 | ||
Marriott International, Inc., 2.85%, 4/15/2031 | 53,000 | 53,376 | ||
Marriott International, Inc., 3.5%, 10/15/2032 | 128,000 | 135,377 | ||
$397,307 | ||||
Industrial – 0.1% | ||||
Trustees of the University of Pennsylvania, 2.396%, 10/01/2050 | $ | 234,000 | $ 229,541 | |
Insurance - Health – 0.2% | ||||
UnitedHealth Group, Inc., 2.3%, 5/15/2031 | $ | 16,000 | $ 16,173 | |
UnitedHealth Group, Inc., 4.625%, 7/15/2035 | 306,000 | 378,387 | ||
UnitedHealth Group, Inc., 3.25%, 5/15/2051 | 52,000 | 56,508 | ||
$451,068 | ||||
Insurance - Property & Casualty – 0.4% | ||||
Aon Corp./Aon Global Holdings PLC, 2.05%, 8/23/2031 | $ | 164,000 | $ 158,952 | |
Fairfax Financial Holdings Ltd., 3.375%, 3/03/2031 | 59,000 | 60,894 | ||
Hartford Financial Services Group, Inc., 3.6%, 8/19/2049 | 145,000 | 161,030 | ||
Progressive Corp., 4.125%, 4/15/2047 | 77,000 | 94,609 | ||
Willis North America, Inc., 3.875%, 9/15/2049 | 200,000 | 222,008 | ||
$697,493 | ||||
International Market Quasi-Sovereign – 0.1% | ||||
Ontario Teachers' Cadillac Fairview Properties, 2.5%, 10/15/2031 (n) | $ | 200,000 | $ 200,418 | |
International Market Sovereign – 0.1% | ||||
Government of Bermuda, 2.375%, 8/20/2030 (n) | $ | 200,000 | $ 198,000 | |
Machinery & Tools – 0.2% | ||||
CNH Industrial Capital LLC, 3.85%, 11/15/2027 | $ | 332,000 | $ 365,007 | |
Major Banks – 3.8% | ||||
Australia and New Zealand Banking Group Ltd., 2.57%, 11/25/2035 (n) | $ | 108,000 | $ 104,094 | |
Bank of America Corp., 3.366% to 1/23/2025, FLR (LIBOR - 3mo. + 0.81%) to 1/23/2026 | 700,000 | 742,706 | ||
Bank of America Corp., 3.419% to 12/20/2027, FLR (LIBOR - 3mo. + 1.04%) to 12/20/2028 | 355,000 | 379,580 | ||
Bank of America Corp., 2.496% to 2/13/2030, FLR (LIBOR - 3mo. + 0.99%) to 2/13/2031 | 159,000 | 159,662 | ||
Bank of America Corp., 3.311% to 4/22/2041, FLR (SOFR + 1.58%) to 4/22/2042 | 248,000 | 262,590 | ||
Commonwealth Bank of Australia, 3.61% to 9/12/2029, FLR (CMT - 1yr. + 2.05%) to 9/12/2034 (n) | 200,000 | 210,432 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
Commonwealth Bank of Australia, 3.305%, 3/11/2041 (n) | $ | 200,000 | $ 206,370 | |
Credit Agricole S.A., 1.247% to 1/26/2026, FLR (SOFR + 0.89162%) to 1/26/2027 (n) | 250,000 | 244,051 | ||
Credit Suisse Group AG, 3.091% to 5/14/2031, FLR (SOFR + 1.73%) to 5/14/2032 (n) | 250,000 | 254,540 | ||
Goldman Sachs Group, Inc., 2.908%, 7/21/2042 | 202,000 | 201,531 | ||
HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR + 1.929%) to 6/04/2026 | 400,000 | 404,968 | ||
HSBC Holdings PLC, 2.357% to 8/18/2030, FLR (SOFR + 1.947%) to 8/18/2031 | 450,000 | 441,209 | ||
HSBC Holdings PLC, 5.25%, 3/14/2044 | 200,000 | 258,704 | ||
JPMorgan Chase & Co., 3.782% to 2/01/2027, FLR (LIBOR - 3mo. + 1.337%) to 2/01/2028 | 550,000 | 599,470 | ||
JPMorgan Chase & Co., 3.109% to 4/22/2040, FLR (SOFR + 2.46%) to 4/22/2041 | 100,000 | 103,573 | ||
Mitsubishi UFJ Financial Group, Inc., 1.64% to 10/13/2026, FLR (CMT - 1yr. + 0.67%) to 10/13/2027 | 200,000 | 197,956 | ||
Mitsubishi UFJ Financial Group, Inc., 2.494% to 10/13/2031, FLR (CMT - 1yr. + 0.97%) to 10/13/2032 | 200,000 | 199,347 | ||
Morgan Stanley, 3.125%, 7/27/2026 | 364,000 | 386,702 | ||
Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR + 3.12%) to 4/01/2031 | 306,000 | 334,257 | ||
Morgan Stanley, 3.217% to 4/22/2041, FLR (SOFR + 1.485%) to 4/22/2042 | 144,000 | 151,261 | ||
Nordea Bank Abp, 1.5%, 9/30/2026 (n) | 263,000 | 258,995 | ||
Royal Bank of Canada, 2.3%, 11/03/2031 | 274,000 | 273,331 | ||
Sumitomo Mitsui Financial Group, Inc., 1.71%, 1/12/2031 | 200,000 | 189,295 | ||
Toronto Dominion Bank, 1.25%, 9/10/2026 | 123,000 | 120,722 | ||
Toronto Dominion Bank, 2%, 9/10/2031 | 247,000 | 243,240 | ||
UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n) | 350,000 | 351,964 | ||
$7,280,550 | ||||
Medical & Health Technology & Services – 0.6% | ||||
Alcon Finance Corp., 2.75%, 9/23/2026 (n) | $ | 200,000 | $ 208,275 | |
Alcon, Inc., 2.6%, 5/27/2030 (n) | 200,000 | 203,871 | ||
Becton, Dickinson and Co., 2.823%, 5/20/2030 | 350,000 | 364,065 | ||
HCA, Inc., 5.125%, 6/15/2039 | 176,000 | 218,037 | ||
Thermo Fisher Scientific, Inc., 2.8%, 10/15/2041 | 153,000 | 153,627 | ||
$1,147,875 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Medical Equipment – 0.2% | ||||
Boston Scientific Corp., 3.75%, 3/01/2026 | $ | 84,000 | $ 91,311 | |
Danaher Corp., 2.6%, 10/01/2050 | 223,000 | 217,330 | ||
$308,641 | ||||
Metals & Mining – 0.2% | ||||
Anglo American Capital PLC, 4.5%, 3/15/2028 (n) | $ | 200,000 | $ 224,089 | |
ArcelorMittal S.A., 4.25%, 7/16/2029 | 27,000 | 29,650 | ||
Glencore Funding LLC, 2.5%, 9/01/2030 (n) | 100,000 | 97,815 | ||
Glencore Funding LLC, 2.85%, 4/27/2031 (n) | 101,000 | 101,131 | ||
$452,685 | ||||
Midstream – 0.7% | ||||
Cheniere Corpus Christi Holdings LLC, 3.7%, 11/15/2029 | $ | 34,000 | $ 36,480 | |
Energy Transfer LP, 3.75%, 5/15/2030 | 52,000 | 55,423 | ||
Energy Transfer Partners LP, 5.15%, 3/15/2045 | 150,000 | 174,808 | ||
Galaxy Pipeline Assets Bidco Ltd., 1.75%, 9/30/2027 (n) | 215,303 | 216,403 | ||
Plains All American Pipeline LP/PAA Finance Corp., 3.55%, 12/15/2029 | 201,000 | 209,720 | ||
Plains All American Pipeline LP/PAA Finance Corp., 4.3%, 1/31/2043 | 150,000 | 154,669 | ||
Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 | 336,000 | 372,558 | ||
Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | 102,000 | 116,226 | ||
$1,336,287 | ||||
Municipals – 0.3% | ||||
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., “B”, 2.746%, 6/01/2034 | $ | 60,000 | $ 60,471 | |
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., “B”, 3%, 6/01/2046 | 60,000 | 61,537 | ||
Michigan Finance Authority Hospital Rev. (Trinity Health Credit Group), 3.384%, 12/01/2040 | 160,000 | 174,639 | ||
New Jersey Transportation Trust Fund Authority, Transportation System, “B”, 4.081%, 6/15/2039 | 180,000 | 204,394 | ||
State of Florida, “A”, 2.154%, 7/01/2030 | 132,000 | 131,760 | ||
$632,801 | ||||
Natural Gas - Distribution – 0.1% | ||||
NiSource, Inc., 5.65%, 2/01/2045 | $ | 85,000 | $ 118,663 | |
Natural Gas - Pipeline – 0.2% | ||||
APT Pipelines Ltd., 5%, 3/23/2035 (n) | $ | 287,000 | $ 345,870 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Network & Telecom – 0.4% | ||||
AT&T, Inc., 2.75%, 6/01/2031 | $ | 364,000 | $ 370,272 | |
AT&T, Inc., 3.3%, 2/01/2052 | 185,000 | 181,554 | ||
AT&T, Inc., 3.55%, 9/15/2055 | 37,000 | 37,462 | ||
Verizon Communications, Inc., 3.4%, 3/22/2041 | 95,000 | 99,655 | ||
$688,943 | ||||
Oil Services – 0.1% | ||||
Halliburton Co., 5%, 11/15/2045 | $ | 100,000 | $ 123,888 | |
Other Banks & Diversified Financials – 0.1% | ||||
Mizrahi Tefahot Bank Ltd., 3.077% to 4/07/2026, FLR (CMT - 5yr. + 2.25%) to 4/07/2031 (n) | $ | 200,000 | $ 199,600 | |
Personal Computers & Peripherals – 0.3% | ||||
Equifax, Inc., 3.1%, 5/15/2030 | $ | 246,000 | $ 258,823 | |
Equifax, Inc., 2.35%, 9/15/2031 | 263,000 | 257,970 | ||
$516,793 | ||||
Real Estate - Apartment – 0.2% | ||||
American Homes 4 Rent, L.P., 2.375%, 7/15/2031 | $ | 117,000 | $ 115,201 | |
American Homes 4 Rent, L.P., 3.375%, 7/15/2051 | 119,000 | 122,427 | ||
Mid-America Apartment Communities, REIT, 1.7%, 2/15/2031 | 141,000 | 133,614 | ||
$371,242 | ||||
Real Estate - Office – 0.2% | ||||
Corporate Office Property LP, REIT, 2%, 1/15/2029 | $ | 143,000 | $ 138,704 | |
Corporate Office Property LP, REIT, 2.75%, 4/15/2031 | 176,000 | 176,678 | ||
$315,382 | ||||
Real Estate - Other – 0.3% | ||||
EPR Properties, REIT, 3.6%, 11/15/2031 | $ | 79,000 | $ 79,193 | |
Lexington Realty Trust Co., 2.7%, 9/15/2030 | 119,000 | 119,474 | ||
Lexington Realty Trust Co., 2.375%, 10/01/2031 | 46,000 | 44,263 | ||
Sun Communities, Inc., 2.7%, 7/15/2031 | 83,000 | 83,270 | ||
W.P. Carey, Inc., 2.45%, 2/01/2032 | 59,000 | 58,312 | ||
W.P. Carey, Inc., REIT, 2.4%, 2/01/2031 | 181,000 | 178,582 | ||
$563,094 | ||||
Real Estate - Retail – 0.2% | ||||
Brixmor Operating Partnership LP, REIT, 4.05%, 7/01/2030 | $ | 173,000 | $ 191,214 | |
Brixmor Operating Partnership LP, REIT, 2.5%, 8/16/2031 | 65,000 | 63,621 | ||
STORE Capital Corp., REIT, 2.75%, 11/18/2030 | 210,000 | 210,080 | ||
$464,915 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Retailers – 0.3% | ||||
Alimentation Couche-Tard, Inc., 3.8%, 1/25/2050 (n) | $ | 151,000 | $ 163,879 | |
Home Depot, Inc., 3.9%, 6/15/2047 | 195,000 | 234,354 | ||
Kohl's Corp., 3.375%, 5/01/2031 | 186,000 | 188,832 | ||
$587,065 | ||||
Specialty Stores – 0.1% | ||||
Home Depot, Inc., 1.875%, 9/15/2031 | $ | 95,000 | $ 92,778 | |
Nordstrom, Inc., 4.25%, 8/01/2031 | 97,000 | 96,966 | ||
Nordstrom, Inc., 5%, 1/15/2044 | 54,000 | 53,460 | ||
$243,204 | ||||
Telecommunications - Wireless – 0.7% | ||||
American Tower Corp., 2.3%, 9/15/2031 | $ | 229,000 | $ 223,802 | |
American Tower Corp., REIT, 2.95%, 1/15/2051 | 98,000 | 94,889 | ||
Cellnex Finance Co. S.A., 3.875%, 7/07/2041 (n) | 200,000 | 195,522 | ||
Crown Castle International Corp., 4.45%, 2/15/2026 | 165,000 | 182,350 | ||
Crown Castle International Corp., 3.7%, 6/15/2026 | 251,000 | 271,077 | ||
Rogers Communications, Inc., 3.7%, 11/15/2049 | 86,000 | 89,265 | ||
T-Mobile USA, Inc., 3.5%, 4/15/2025 | 240,000 | 255,970 | ||
$1,312,875 | ||||
U.S. Treasury Obligations – 0.2% | ||||
U.S. Treasury Bonds, 1.375%, 11/15/2040 (f) | $ | 450,000 | $ 406,090 | |
Utilities - Electric Power – 1.3% | ||||
Alabama Power Co., 3.45%, 10/01/2049 | $ | 177,000 | $ 196,260 | |
American Electric Power Co., Inc., 2.3%, 3/01/2030 | 105,000 | 103,814 | ||
CenterPoint Energy, Inc., 2.65%, 6/01/2031 | 103,000 | 104,690 | ||
Dominion Energy, Inc., 2.25%, 8/15/2031 | 182,000 | 179,437 | ||
Duke Energy Corp., 3.3%, 6/15/2041 | 213,000 | 217,886 | ||
Duke Energy Indiana LLC, 2.75%, 4/01/2050 | 76,000 | 73,950 | ||
Evergy, Inc., 2.9%, 9/15/2029 | 85,000 | 88,594 | ||
FirstEnergy Corp., 2.65%, 3/01/2030 | 220,000 | 216,473 | ||
Florida Power & Light Co., 2.85%, 4/01/2025 | 35,000 | 36,832 | ||
Florida Power & Light Co., 3.95%, 3/01/2048 | 50,000 | 61,336 | ||
Jersey Central Power & Light Co., 4.3%, 1/15/2026 (n) | 182,000 | 198,688 | ||
Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | 106,000 | 108,345 | ||
MidAmerican Energy Co., 3.95%, 8/01/2047 | 200,000 | 239,836 | ||
Pacific Gas & Electric Co., 2.5%, 2/01/2031 | 181,000 | 172,888 | ||
Pacific Gas & Electric Co., 4.95%, 7/01/2050 | 53,000 | 58,662 | ||
Southern California Edison Co., 4.5%, 9/01/2040 | 50,000 | 57,634 | ||
Southern California Edison Co., 3.65%, 2/01/2050 | 202,000 | 217,824 | ||
Southern California Edison Co., 2.95%, 2/01/2051 | 54,000 | 51,451 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Utilities - Electric Power – continued | ||||
Virginia Electric & Power Co., 2.875%, 7/15/2029 | $ | 85,000 | $ 89,436 | |
$2,474,036 | ||||
Total Bonds (Identified Cost, $34,499,212) | $ 35,643,377 | |||
Preferred Stocks – 0.1% | ||||
Consumer Products – 0.1% | ||||
Henkel AG & Co. KGaA (Identified Cost, $127,683) | 1,257 | $ 112,440 |
Strike Price | First Exercise | |||
Warrants – 0.0% | ||||
Apparel Manufacturers – 0.0% | ||||
Compagnie Financiere Richemont S.A. (1 share for 2 warrants, Expiration 12/04/23) (a) (Identified Cost, $0) | CHF 67.00 | 11/20/23 | 1,448 | $ 1,044 |
Investment Companies (h) – 3.9% | ||||
Money Market Funds – 3.9% | ||||
MFS Institutional Money Market Portfolio, 0.04% (v) (Identified Cost, $7,489,894) | 7,489,894 | $ 7,489,894 | ||
Collateral for Securities Loaned – 0.1% | ||||
JPMorgan U.S. Government Money Market Fund, 0.03% (j) (Identified Cost, $191,548) | 191,548 | $ 191,548 | ||
Securities Sold Short – (0.0)% | ||||
Telecommunications - Wireless – (0.0)% | ||||
Crown Castle International Corp., REIT (Proceeds Received, $5,996) | (73) | $ (13,162) | ||
Other Assets, Less Liabilities – 1.1% | 2,096,040 | |||
Net Assets – 100.0% | $190,393,798 |
(a) | Non-income producing security. | |||
(f) | All or a portion of the security has been segregated as collateral for open futures contracts and cleared swap agreements. | |||
(h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $7,489,894 and $180,821,026, 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 $8,403,460, representing 4.4% of net assets. | |||
(s) | Security or a portion of the security was pledged to cover collateral requirements for securities sold short and/or certain derivative transactions. | |||
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
The following abbreviations are used in this report and are defined: | |
ADR | American Depositary Receipt |
CMT | Constant Maturity Treasury |
FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
LIBOR | London Interbank Offered Rate |
PIPE | Private Investment in Public Equity |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below: | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CHF | Swiss Franc |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
ILS | Israeli Shekel |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
RUB | Russian Ruble |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thai Baht |
TRY | Turkish Lira |
TWD | Taiwan Dollar |
ZAR | South African Rand |
Forward Foreign Currency Exchange Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives | ||||||
AUD | 2,849,900 | USD | 2,063,000 | JPMorgan Chase Bank N.A. | 12/10/2021 | $81,160 |
CAD | 1,175,284 | USD | 917,172 | JPMorgan Chase Bank N.A. | 12/10/2021 | 32,511 |
NOK | 63,075,361 | USD | 7,242,566 | Goldman Sachs International | 12/10/2021 | 221,744 |
NZD | 3,776,455 | USD | 2,624,100 | Goldman Sachs International | 12/10/2021 | 80,564 |
NZD | 5,880,118 | USD | 4,085,900 | JPMorgan Chase Bank N.A. | 12/10/2021 | 125,388 |
SEK | 45,022,930 | USD | 5,182,436 | Goldman Sachs International | 12/10/2021 | 62,558 |
USD | 167,424 | BRL | 909,113 | Goldman Sachs International | 12/10/2021 | 7,608 |
USD | 124,152 | DKK | 785,682 | Goldman Sachs International | 12/10/2021 | 1,944 |
USD | 791,880 | DKK | 5,012,630 | JPMorgan Chase Bank N.A. | 12/10/2021 | 12,194 |
USD | 4,603,527 | EUR | 3,917,445 | Goldman Sachs International | 12/10/2021 | 70,971 |
USD | 15,775,646 | EUR | 13,445,815 | JPMorgan Chase Bank N.A. | 12/10/2021 | 218,593 |
USD | 440,576 | INR | 32,797,356 | JPMorgan Chase Bank N.A. | 12/10/2021 | 4,509 |
USD | 5,410,894 | JPY | 594,711,374 | JPMorgan Chase Bank N.A. | 12/10/2021 | 190,990 |
USD | 110,298 | MXN | 2,241,897 | Goldman Sachs International | 12/10/2021 | 2,052 |
USD | 632,696 | TWD | 17,557,933 | JPMorgan Chase Bank N.A. | 12/10/2021 | 1,266 |
USD | 139,278 | ZAR | 2,078,796 | Goldman Sachs International | 12/10/2021 | 3,833 |
$1,117,885 | ||||||
Liability Derivatives | ||||||
JPY | 152,587,312 | USD | 1,370,000 | JPMorgan Chase Bank N.A. | 12/10/2021 | $(30,710) |
USD | 5,158,698 | AUD | 7,109,885 | JPMorgan Chase Bank N.A. | 12/10/2021 | (190,519) |
USD | 2,376,000 | CAD | 3,018,233 | JPMorgan Chase Bank N.A. | 12/10/2021 | (62,869) |
USD | 11,391,190 | CHF | 10,552,389 | JPMorgan Chase Bank N.A. | 12/10/2021 | (146,638) |
USD | 5,154,606 | GBP | 3,772,398 | Goldman Sachs International | 12/10/2021 | (8,661) |
USD | 1,975,966 | HKD | 15,385,071 | Goldman Sachs International | 12/10/2021 | (1,631) |
USD | 37,398 | HKD | 291,195 | JPMorgan Chase Bank N.A. | 12/10/2021 | (33) |
USD | 137,156 | ILS | 439,381 | JPMorgan Chase Bank N.A. | 12/10/2021 | (1,730) |
USD | 542,283 | KRW | 637,588,800 | Goldman Sachs International | 1/24/2022 | (2,415) |
USD | 2,652,131 | NZD | 3,775,221 | Goldman Sachs International | 12/10/2021 | (51,649) |
USD | 1,125,797 | NZD | 1,602,699 | JPMorgan Chase Bank N.A. | 12/10/2021 | (22,042) |
USD | 100,500 | RUB | 7,501,212 | JPMorgan Chase Bank N.A. | 12/10/2021 | (4,460) |
USD | 369,371 | SGD | 499,371 | JPMorgan Chase Bank N.A. | 12/10/2021 | (882) |
USD | 95,782 | THB | 3,204,240 | JPMorgan Chase Bank N.A. | 12/09/2021 | (224) |
$(524,463) |
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Equity Futures | ||||||
BIST 30 Index | Long | TRY | 750 | $1,287,742 | December – 2021 | $27,972 |
CAC 40 Index | Long | EUR | 25 | 1,972,858 | November – 2021 | 84,902 |
DAX Index | Short | EUR | 2 | 905,379 | December – 2021 | 1,748 |
Futures Contracts - continued | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives - continued | ||||||
Equity Futures - continued | ||||||
FTSE MIB Index | Long | EUR | 47 | $7,266,090 | December – 2021 | $317,708 |
FTSE Taiwan Index | Short | USD | 8 | 472,320 | November – 2021 | 510 |
IBEX 35 Index | Long | EUR | 36 | 3,764,417 | November – 2021 | 69,814 |
KOSPI 200 Index | Short | KRW | 48 | 3,996,337 | December – 2021 | 305,716 |
NIFTY Index | Short | USD | 123 | 4,366,500 | November – 2021 | 117,456 |
OMX 30 Index | Long | SEK | 14 | 372,904 | November – 2021 | 12,177 |
S&P/ASX 200 Index | Short | AUD | 70 | 9,625,421 | December – 2021 | 78,205 |
Topix Index | Short | JPY | 9 | 1,579,317 | December – 2021 | 15,920 |
$1,032,128 | ||||||
Interest Rate Futures | ||||||
Canadian Treasury Bond 10 yr | Short | CAD | 8 | $911,118 | December – 2021 | $37,724 |
Euro-Bund 10 yr | Short | EUR | 63 | 12,243,844 | December – 2021 | 303,544 |
Japan Government Bond 10 yr | Short | JPY | 5 | 6,638,298 | December – 2021 | 5,462 |
U.S. Treasury Note 10 yr | Short | USD | 82 | 10,717,656 | December – 2021 | 216,162 |
U.S. Treasury Ultra Note 10 yr | Short | USD | 37 | 5,366,156 | December – 2021 | 96,479 |
$659,371 | ||||||
$1,691,499 | ||||||
Liability Derivatives | ||||||
Equity Futures | ||||||
AEX 25 Index | Short | EUR | 29 | $5,422,306 | November – 2021 | $(269,513) |
FTSE 100 Index | Short | GBP | 29 | 2,867,057 | December – 2021 | (68,918) |
FTSE/JSE Top 40 Index | Short | ZAR | 61 | 2,440,679 | December – 2021 | (117,054) |
Hang Seng Index | Long | HKD | 1 | 162,325 | November – 2021 | (5,705) |
IBOV Index | Long | BRL | 114 | 2,107,923 | December – 2021 | (193,710) |
Mexbol Index | Long | MXN | 190 | 4,723,975 | December – 2021 | (22,418) |
MSCI Singapore Index | Short | SGD | 117 | 3,197,284 | November – 2021 | (10,995) |
Russell 2000 Index | Short | USD | 138 | 15,837,570 | December – 2021 | (501,605) |
S&P 500 E-Mini Index | Short | USD | 214 | 49,187,900 | December – 2021 | (1,586,592) |
S&P MidCap 400 Index | Short | USD | 56 | 15,620,640 | December – 2021 | (618,694) |
S&P/TSX 60 Index | Short | CAD | 14 | 2,851,810 | December – 2021 | (113,810) |
$(3,509,014) | ||||||
Interest Rate Futures | ||||||
Australian Note 10 yr | Long | AUD | 50 | $5,072,098 | December – 2021 | $(347,833) |
Long Gilt 10 yr | Long | GBP | 61 | 10,428,515 | December – 2021 | (335,481) |
U.S. Treasury Note 2 yr | Long | USD | 10 | 2,192,500 | December – 2021 | (10,895) |
U.S. Treasury Note 5 yr | Long | USD | 30 | 3,652,500 | December – 2021 | (53,544) |
U.S. Treasury Ultra Bond | Short | USD | 3 | 589,219 | December – 2021 | (1,222) |
$(748,975) | ||||||
$(4,257,989) |
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 | ||||||||||
9/17/31 | USD | 5,200,000 | centrally cleared | 0.120% FLR (3-Month LIBOR)/Quarterly | 1.210%/Semi-annually | $160,020 | $4,671 | $164,691 | ||
Liability Derivatives | ||||||||||
Interest Rate Swaps | ||||||||||
9/20/23 | USD | 24,800,000 | centrally cleared | 0.290%/Semi-annually | 0.122% FLR (3-Month LIBOR)/Quarterly | $(154,818) | $(3,656) | $(158,474) | ||
9/16/26 | USD | 18,400,000 | centrally cleared | 0.790%/Semi-annually | 0.118% FLR (3-Month LIBOR)/Quarterly | (354,821) | (8,041) | (362,862) | ||
11/06/49 | USD | 3,997,917 | centrally cleared | 0.122% FLR (3-Month LIBOR)/Quarterly | 1.893%/Semi-annually | (182,335) | — | (182,335) | ||
$(691,974) | $(11,697) | $(703,671) |
Assets | |
Investments in unaffiliated issuers, at value, including $251,697 of securities on loan (identified cost, $125,775,398) | $180,821,026 |
Investments in affiliated issuers, at value (identified cost, $7,489,894) | 7,489,894 |
Cash | 8,027 |
Foreign currency, at value (identified cost, $1,669) | 1,684 |
Deposits with brokers for | |
Futures contracts | 948,989 |
Securities sold short | 11,845 |
Receivables for | |
Forward foreign currency exchange contracts | 1,117,885 |
Net daily variation margin on open futures contracts | 132,543 |
Investments sold | 98,497 |
Fund shares sold | 315,122 |
Interest and dividends | 1,018,205 |
Total assets | $191,963,717 |
Liabilities | |
Payables for | |
Net daily variation margin on open cleared swap agreements | $35,347 |
Securities sold short, at value (proceeds received, $5,996) | 13,162 |
Forward foreign currency exchange contracts | 524,463 |
Net daily variation margin on open futures contracts | 77,604 |
Investments purchased | 266,973 |
Fund shares reacquired | 242,589 |
Collateral for securities loaned, at value (c) | 191,548 |
Payable to affiliates | |
Investment adviser | 1,175 |
Administrative services fee | 392 |
Shareholder servicing costs | 46,458 |
Distribution and service fees | 1,942 |
Payable for independent Trustees' compensation | 18 |
Deferred country tax expense payable | 25,110 |
Accrued expenses and other liabilities | 143,138 |
Total liabilities | $1,569,919 |
Net assets | $190,393,798 |
Net assets consist of | |
Paid-in capital | $198,249,484 |
Total distributable earnings (loss) | (7,855,686) |
Net assets | $190,393,798 |
Shares of beneficial interest outstanding | 16,020,890 |
(c) | Non-cash collateral is not included. |
Net assets | Shares outstanding | Net asset value per share (a) | |
Class A | $31,120,434 | 2,633,720 | $11.82 |
Class B | 3,128,604 | 272,203 | 11.49 |
Class C | 5,966,448 | 517,262 | 11.53 |
Class I | 112,743,147 | 9,466,947 | 11.91 |
Class R1 | 122,057 | 10,740 | 11.36 |
Class R2 | 610,997 | 52,280 | 11.69 |
Class R3 | 1,593,372 | 134,674 | 11.83 |
Class R4 | 56,519 | 4,734 | 11.94 |
Class R6 | 35,052,220 | 2,928,330 | 11.97 |
(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 $12.54 [100 / 94.25 x $11.82]. On sales of $50,000 or more, the maximum offering price of Class A shares is reduced. A contingent deferred sales charge may be imposed on redemptions of Class A, Class B, and Class C shares. Redemption price per share was equal to the net asset value per share for Classes I, R1, R2, R3, R4, and R6. |
Net investment income (loss) | |
Income | |
Dividends | $2,043,940 |
Interest | 1,041,019 |
Other | 20,152 |
Dividends from affiliated issuers | 4,705 |
Income on securities loaned | 2,417 |
Total investment income | $3,112,233 |
Expenses | |
Management fee | $1,465,692 |
Distribution and service fees | 190,284 |
Shareholder servicing costs | 177,554 |
Administrative services fee | 34,515 |
Independent Trustees' compensation | 4,725 |
Custodian fee | 125,356 |
Shareholder communications | 19,356 |
Audit and tax fees | 103,487 |
Legal fees | 1,529 |
Dividend and interest expense on securities sold short | 606 |
Interest expense and fees | 735 |
Miscellaneous | 195,920 |
Total expenses | $2,319,759 |
Fees paid indirectly | (285) |
Reduction of expenses by investment adviser and distributor | (231,483) |
Net expenses | $2,087,991 |
Net investment income (loss) | $1,024,242 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers (net of $1,038 country tax) | $15,774,998 |
Written options | 192,277 |
Futures contracts | (29,803,607) |
Swap agreements | 738,668 |
Securities sold short | (504) |
Forward foreign currency exchange contracts | 1,018,793 |
Foreign currency | (280,076) |
Net realized gain (loss) | $(12,359,451) |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers (net of $23,692 increase in deferred country tax) | $27,654,628 |
Futures contracts | (3,015,559) |
Swap agreements | (177,362) |
Securities sold short | (4,153) |
Forward foreign currency exchange contracts | 1,022,979 |
Translation of assets and liabilities in foreign currencies | 23,457 |
Net unrealized gain (loss) | $25,503,990 |
Net realized and unrealized gain (loss) | $13,144,539 |
Change in net assets from operations | $14,168,781 |
Year ended | ||
10/31/21 | 10/31/20 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $1,024,242 | $1,409,627 |
Net realized gain (loss) | (12,359,451) | (6,968,804) |
Net unrealized gain (loss) | 25,503,990 | 9,687,222 |
Change in net assets from operations | $14,168,781 | $4,128,045 |
Total distributions to shareholders | $(985,057) | $(1,880,261) |
Change in net assets from fund share transactions | $3,969,800 | $(12,054,276) |
Total change in net assets | $17,153,524 | $(9,806,492) |
Net assets | ||
At beginning of period | 173,240,274 | 183,046,766 |
At end of period | $190,393,798 | $173,240,274 |
Class A | Year ended | ||||
10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $10.99 | $10.80 | $10.07 | $10.26 | $10.00 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.05 | $0.07 | $0.10 | $0.06 | $0.04 |
Net realized and unrealized gain (loss) | 0.83 | 0.22 | 0.71 | (0.07) | 0.46 |
Total from investment operations | $0.88 | $0.29 | $0.81 | $(0.01) | $0.50 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.05) | $(0.10) | $(0.08) | $(0.18) | $(0.24) |
Net asset value, end of period (x) | $11.82 | $10.99 | $10.80 | $10.07 | $10.26 |
Total return (%) (r)(s)(t)(x) | 7.98 | 2.68 | 8.11 | (0.06) | 5.18 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.43 | 1.47 | 1.46 | 1.46 | 1.63 |
Expenses after expense reductions (f) | 1.30 | 1.32 | 1.33 | 1.37 | 1.51 |
Net investment income (loss) | 0.40 | 0.65 | 1.01 | 0.64 | 0.39 |
Portfolio turnover | 44 | 57 | 58 | 37 | 37 |
Net assets at end of period (000 omitted) | $31,120 | $29,453 | $33,287 | $35,972 | $50,452 |
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 | 1.29 | 1.34 | 1.40 |
Class B | Year ended | ||||
10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $10.73 | $10.54 | $9.82 | $10.01 | $9.76 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $(0.04) | $(0.01) | $0.03 | $(0.01) | $(0.03) |
Net realized and unrealized gain (loss) | 0.80 | 0.21 | 0.69 | (0.07) | 0.44 |
Total from investment operations | $0.76 | $0.20 | $0.72 | $(0.08) | $0.41 |
Less distributions declared to shareholders | |||||
From net investment income | $— | $(0.01) | $(0.00)(w) | $(0.11) | $(0.16) |
Net asset value, end of period (x) | $11.49 | $10.73 | $10.54 | $9.82 | $10.01 |
Total return (%) (r)(s)(t)(x) | 7.08 | 1.92 | 7.33 | (0.81) | 4.35 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 2.18 | 2.22 | 2.21 | 2.21 | 2.37 |
Expenses after expense reductions (f) | 2.05 | 2.08 | 2.08 | 2.12 | 2.25 |
Net investment income (loss) | (0.36) | (0.09) | 0.26 | (0.09) | (0.29) |
Portfolio turnover | 44 | 57 | 58 | 37 | 37 |
Net assets at end of period (000 omitted) | $3,129 | $4,035 | $4,542 | $5,061 | $6,354 |
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 | 2.04 | 2.09 | 2.15 |
Class C | Year ended | ||||
10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $10.77 | $10.57 | $9.85 | $10.00 | $9.74 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $(0.04) | $(0.01) | $0.03 | $(0.01) | $(0.03) |
Net realized and unrealized gain (loss) | 0.80 | 0.21 | 0.69 | (0.06) | 0.44 |
Total from investment operations | $0.76 | $0.20 | $0.72 | $(0.07) | $0.41 |
Less distributions declared to shareholders | |||||
From net investment income | $— | $(0.00)(w) | $— | $(0.08) | $(0.15) |
Net asset value, end of period (x) | $11.53 | $10.77 | $10.57 | $9.85 | $10.00 |
Total return (%) (r)(s)(t)(x) | 7.06 | 1.91 | 7.31 | (0.72) | 4.35 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 2.18 | 2.22 | 2.22 | 2.22 | 2.38 |
Expenses after expense reductions (f) | 2.05 | 2.08 | 2.08 | 2.13 | 2.26 |
Net investment income (loss) | (0.36) | (0.08) | 0.26 | (0.10) | (0.30) |
Portfolio turnover | 44 | 57 | 58 | 37 | 37 |
Net assets at end of period (000 omitted) | $5,966 | $8,396 | $10,083 | $13,845 | $24,540 |
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 | 2.04 | 2.10 | 2.15 |
Class I | Year ended | ||||
10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $11.08 | $10.89 | $10.15 | $10.35 | $10.10 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.08 | $0.10 | $0.13 | $0.09 | $0.07 |
Net realized and unrealized gain (loss) | 0.82 | 0.22 | 0.72 | (0.07) | 0.46 |
Total from investment operations | $0.90 | $0.32 | $0.85 | $0.02 | $0.53 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.07) | $(0.13) | $(0.11) | $(0.22) | $(0.28) |
Net asset value, end of period (x) | $11.91 | $11.08 | $10.89 | $10.15 | $10.35 |
Total return (%) (r)(s)(t)(x) | 8.19 | 2.91 | 8.49 | 0.19 | 5.42 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.18 | 1.22 | 1.21 | 1.21 | 1.38 |
Expenses after expense reductions (f) | 1.05 | 1.07 | 1.08 | 1.12 | 1.26 |
Net investment income (loss) | 0.66 | 0.90 | 1.25 | 0.90 | 0.71 |
Portfolio turnover | 44 | 57 | 58 | 37 | 37 |
Net assets at end of period (000 omitted) | $112,743 | $108,871 | $127,572 | $137,065 | $211,360 |
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 | 1.04 | 1.10 | 1.15 |
Class R1 | Year ended | ||||
10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $10.61 | $10.43 | $9.72 | $9.93 | $9.72 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $(0.04) | $(0.01) | $0.03 | $(0.01) | $(0.03) |
Net realized and unrealized gain (loss) | 0.79 | 0.22 | 0.68 | (0.07) | 0.44 |
Total from investment operations | $0.75 | $0.21 | $0.71 | $(0.08) | $0.41 |
Less distributions declared to shareholders | |||||
From net investment income | $— | $(0.03) | $— | $(0.13) | $(0.20) |
Net asset value, end of period (x) | $11.36 | $10.61 | $10.43 | $9.72 | $9.93 |
Total return (%) (r)(s)(t)(x) | 7.07 | 1.97 | 7.30 | (0.83) | 4.38 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 2.18 | 2.22 | 2.21 | 2.22 | 2.37 |
Expenses after expense reductions (f) | 2.05 | 2.07 | 2.08 | 2.13 | 2.24 |
Net investment income (loss) | (0.35) | (0.09) | 0.26 | (0.08) | (0.26) |
Portfolio turnover | 44 | 57 | 58 | 37 | 37 |
Net assets at end of period (000 omitted) | $122 | $113 | $210 | $195 | $363 |
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 | 2.04 | 2.10 | 2.15 |
Class R2 | Year ended | ||||
10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $10.86 | $10.67 | $9.91 | $10.11 | $9.89 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.02 | $0.04 | $0.08 | $0.04 | $0.02 |
Net realized and unrealized gain (loss) | 0.81 | 0.22 | 0.69 | (0.06) | 0.44 |
Total from investment operations | $0.83 | $0.26 | $0.77 | $(0.02) | $0.46 |
Less distributions declared to shareholders | |||||
From net investment income | $— | $(0.07) | $(0.01) | $(0.18) | $(0.24) |
Net asset value, end of period (x) | $11.69 | $10.86 | $10.67 | $9.91 | $10.11 |
Total return (%) (r)(s)(t)(x) | 7.64 | 2.43 | 7.82 | (0.22) | 4.81 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.68 | 1.72 | 1.71 | 1.71 | 1.86 |
Expenses after expense reductions (f) | 1.55 | 1.58 | 1.58 | 1.61 | 1.74 |
Net investment income (loss) | 0.13 | 0.41 | 0.75 | 0.42 | 0.23 |
Portfolio turnover | 44 | 57 | 58 | 37 | 37 |
Net assets at end of period (000 omitted) | $611 | $498 | $791 | $1,434 | $1,560 |
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 | 1.54 | 1.59 | 1.65 |
Class R3 | Year ended | ||||
10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $11.00 | $10.81 | $10.09 | $10.29 | $10.06 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.05 | $0.07 | $0.10 | $0.07 | $0.05 |
Net realized and unrealized gain (loss) | 0.82 | 0.22 | 0.71 | (0.07) | 0.45 |
Total from investment operations | $0.87 | $0.29 | $0.81 | $0.00(w) | $0.50 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.04) | $(0.10) | $(0.09) | $(0.20) | $(0.27) |
Net asset value, end of period (x) | $11.83 | $11.00 | $10.81 | $10.09 | $10.29 |
Total return (%) (r)(s)(t)(x) | 7.92 | 2.70 | 8.09 | 0.00(w) | 5.17 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.43 | 1.47 | 1.46 | 1.46 | 1.61 |
Expenses after expense reductions (f) | 1.30 | 1.32 | 1.33 | 1.37 | 1.49 |
Net investment income (loss) | 0.40 | 0.69 | 1.00 | 0.65 | 0.49 |
Portfolio turnover | 44 | 57 | 58 | 37 | 37 |
Net assets at end of period (000 omitted) | $1,593 | $1,432 | $1,101 | $997 | $1,009 |
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 | 1.29 | 1.34 | 1.40 |
Class R4 | Year ended | ||||
10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $11.11 | $10.91 | $10.18 | $10.37 | $10.13 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.07 | $0.09 | $0.13 | $0.09 | $0.07 |
Net realized and unrealized gain (loss) | 0.84 | 0.23 | 0.71 | (0.07) | 0.46 |
Total from investment operations | $0.91 | $0.32 | $0.84 | $0.02 | $0.53 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.08) | $(0.12) | $(0.11) | $(0.21) | $(0.29) |
Net asset value, end of period (x) | $11.94 | $11.11 | $10.91 | $10.18 | $10.37 |
Total return (%) (r)(s)(t)(x) | 8.20 | 2.98 | 8.36 | 0.24 | 5.40 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.18 | 1.23 | 1.22 | 1.22 | 1.39 |
Expenses after expense reductions (f) | 1.05 | 1.08 | 1.08 | 1.13 | 1.26 |
Net investment income (loss) | 0.64 | 0.81 | 1.27 | 0.91 | 0.71 |
Portfolio turnover | 44 | 57 | 58 | 37 | 37 |
Net assets at end of period (000 omitted) | $57 | $58 | $51 | $90 | $128 |
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 | 1.04 | 1.10 | 1.15 |
Class R6 | Year ended | ||||
10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $11.13 | $10.94 | $10.20 | $10.41 | $10.16 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.08 | $0.11 | $0.14 | $0.10 | $0.09 |
Net realized and unrealized gain (loss) | 0.84 | 0.21 | 0.72 | (0.08) | 0.45 |
Total from investment operations | $0.92 | $0.32 | $0.86 | $0.02 | $0.54 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.08) | $(0.13) | $(0.12) | $(0.23) | $(0.29) |
Net asset value, end of period (x) | $11.97 | $11.13 | $10.94 | $10.20 | $10.41 |
Total return (%) (r)(s)(t)(x) | 8.35 | 2.97 | 8.51 | 0.24 | 5.57 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.08 | 1.13 | 1.14 | 1.16 | 1.24 |
Expenses after expense reductions (f) | 0.95 | 0.99 | 1.01 | 1.07 | 1.12 |
Net investment income (loss) | 0.71 | 1.04 | 1.32 | 0.97 | 0.84 |
Portfolio turnover | 44 | 57 | 58 | 37 | 37 |
Net assets at end of period (000 omitted) | $35,052 | $20,383 | $5,410 | $5,337 | $6,533 |
Supplemental Ratios (%): | |||||
Ratios of expenses to average net assets after expense reductions excluding short sale expenses and interest expense and fees (f) | 0.95 | 0.96 | 0.97 | 1.04 | 1.03 |
(d) | Per share data is based on average shares outstanding. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. |
(r) | Certain expenses have been reduced without which performance would have been lower. |
(s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
(t) | Total returns do not include any applicable sales charges. |
(w) | Per share amount was less than $0.01 and total return or ratio was less than 0.01%, as applicable. |
(x) | The net asset values and total returns have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Equity Securities: | ||||
United States | $99,264,777 | $28,602 | $— | $99,293,379 |
Switzerland | 6,977,232 | — | — | 6,977,232 |
United Kingdom | 6,591,412 | — | — | 6,591,412 |
Japan | 520,359 | 5,772,932 | — | 6,293,291 |
France | 5,669,440 | — | — | 5,669,440 |
Germany | 3,641,264 | — | — | 3,641,264 |
Canada | 3,585,777 | — | — | 3,585,777 |
Taiwan | 1,682,296 | 98,491 | — | 1,780,787 |
Ireland | 1,535,176 | — | — | 1,535,176 |
Other Countries | 5,902,717 | 3,715,626 | — | 9,618,343 |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 406,090 | — | 406,090 |
Non - U.S. Sovereign Debt | — | 1,661,230 | — | 1,661,230 |
Municipal Bonds | — | 632,801 | — | 632,801 |
U.S. Corporate Bonds | — | 22,401,104 | — | 22,401,104 |
Commercial Mortgage-Backed Securities | — | 433,544 | — | 433,544 |
Asset-Backed Securities (including CDOs) | — | 199,999 | — | 199,999 |
Foreign Bonds | — | 9,908,609 | — | 9,908,609 |
Mutual Funds | 7,681,442 | — | — | 7,681,442 |
Total | $143,051,892 | $45,259,028 | $— | $188,310,920 |
Securities Sold Short | $(13,162) | $— | $— | $(13,162) |
Other Financial Instruments | ||||
Futures Contracts – Assets | $1,263,686 | $427,813 | $— | $1,691,499 |
Futures Contracts – Liabilities | (4,241,289) | (16,700) | — | (4,257,989) |
Forward Foreign Currency Exchange Contracts – Assets | — | 1,117,885 | — | 1,117,885 |
Forward Foreign Currency Exchange Contracts – Liabilities | — | (524,463) | — | (524,463) |
Swap Agreements – Assets | — | 164,691 | — | 164,691 |
Swap Agreements – Liabilities | — | (703,671) | — | (703,671) |
Equity Securities | |
Balance as of 10/31/20 | $35,365 |
Change in unrealized appreciation or depreciation | (6,763) |
Transfers out of level 3 | (28,602) |
Balance as of 10/31/21 | $— |
Fair Value (a) | |||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
Interest Rate | Futures Contracts | $659,371 | $(748,975) |
Interest Rate | Cleared Swap Agreements | 164,691 | (703,671) |
Foreign Exchange | Forward Foreign Currency Exchange Contracts | 1,117,885 | (524,463) |
Equity | Futures Contracts | 1,032,128 | (3,509,014) |
Total | $2,974,075 | $(5,486,123) |
(a) | Values presented in this table for futures contracts and cleared swap agreements correspond to the values reported in the Portfolio of Investments. Only the current day net variation margin for futures contracts and cleared swap agreements is separately reported within the Statement of Assets and Liabilities. |
Risk | Futures Contracts | Swap Agreements | Forward Foreign Currency Exchange Contracts | Unaffiliated Issuers (Purchased Options) | Written Options |
Interest Rate | $ 139,903 | $404,712 | $ — | $ — | $ — |
Foreign Exchange | — | — | 1,018,793 | — | — |
Credit | — | 333,956 | — | — | — |
Equity | (29,943,510) | — | — | (301,515) | 192,277 |
Total | $(29,803,607) | $738,668 | $1,018,793 | $(301,515) | $192,277 |
Risk | Futures Contracts | Swap Agreements | Forward Foreign Currency Exchange Contracts |
Interest Rate | $ 35,063 | $(180,744) | $ — |
Foreign Exchange | — | — | 1,022,979 |
Equity | (3,050,622) | — | — |
Credit | — | 3,382 | — |
Total | $(3,015,559) | $(177,362) | $1,022,979 |
Gross Amounts of: | Derivative Assets | Derivative Liabilities |
Futures Contracts (a) | $132,543 | $(77,604) |
Cleared Swap Agreements (a) | — | (35,347) |
Forward Foreign Currency Exchange Contracts | 1,117,885 | (524,463) |
Total Gross Amount of Derivative Assets and Liabilities Presented in the Statement of Assets & Liabilities | $1,250,428 | $(637,414) |
Less: Derivatives Assets and Liabilities Not Subject to a Master Netting Agreement or Similar Arrangement | 132,543 | (112,951) |
Total Gross Amount of Derivative Assets and Liabilities Subject to a Master Netting Agreement or Similar Arrangement | $1,117,885 | $(524,463) |
(a) | The amount presented here represents the fund's current day net variation margin for futures contracts and for cleared swaps agreements. This amount, which is recognized within the Statement of Assets and Liabilities, differs from the fair value of the futures contracts and cleared swap agreements which is presented in the tables that follow the Portfolio of Investments. |
Amounts Not Offset in the Statement of Assets & Liabilities | |||||
Gross Amount of Derivative Assets Subject to a Master Netting Agreement (or Similar Arrangement) by Counterparty | Financial Instruments Available for Offset | Financial Instruments Collateral Received (b) | Cash Collateral Received (b) | Net Amount of Derivative Assets by Counterparty | |
Goldman Sachs International | $451,274 | $(64,356) | $— | $(270,000) | $116,918 |
JPMorgan Chase Bank N.A. | 666,611 | (460,107) | — | — | 206,504 |
Total | $1,117,885 | $(524,463) | $— | $(270,000) | $323,422 |
Amounts Not Offset in the Statement of Assets & Liabilities | |||||
Gross Amount of Derivative Liabilities Subject to a Master Netting Agreement (or Similar Arrangement) by Counterparty | Financial Instruments Available for Offset | Financial Instruments Collateral Pledged (b) | Cash Collateral Pledged (b) | Net Amount of Derivative Liabilities by Counterparty | |
Goldman Sachs International | $(64,356) | $64,356 | $— | $— | $— |
JPMorgan Chase Bank N.A. | (460,107) | 460,107 | — | — | — |
Total | $(524,463) | $524,463 | $— | $— | $— |
(b) | The amount presented here may be less than the total amount of collateral (received)/pledged as the excess collateral (received)/pledged is not shown for purposes of this presentation. |
Year ended 10/31/21 | Year ended 10/31/20 | |
Ordinary income (including any short-term capital gains) | $985,057 | $1,880,261 |
As of 10/31/21 | |
Cost of investments | $133,550,799 |
Gross appreciation | 54,834,178 |
Gross depreciation | (2,599,267) |
Net unrealized appreciation (depreciation) | $ 52,234,911 |
Undistributed ordinary income | 1,040,068 |
Capital loss carryforwards | (61,208,633) |
Other temporary differences | 77,968 |
Total distributable earnings (loss) | $ (7,855,686) |
Short-Term | $(56,748,868) |
Long-Term | (4,459,765) |
Total | $(61,208,633) |
Year ended 10/31/21 | Year ended 10/31/20 | |
Class A | $124,519 | $299,314 |
Class B | — | 5,194 |
Class C | — | 1,807 |
Class I | 699,213 | 1,482,420 |
Class R1 | — | 517 |
Class R2 | — | 5,116 |
Class R3 | 5,098 | 10,258 |
Class R4 | 402 | 600 |
Class R6 | 155,825 | 75,035 |
Total | $985,057 | $1,880,261 |
Up to $1 billion | 0.80% |
In excess of $1 billion and up to $2.5 billion | 0.70% |
In excess of $2.5 billion | 0.65% |
Classes | ||||||||
A | B | C | I | R1 | R2 | R3 | R4 | R6 |
1.30% | 2.05% | 2.05% | 1.05% | 2.05% | 1.55% | 1.30% | 1.05% | 0.97% |
Distribution Fee Rate (d) | Service Fee Rate (d) | Total Distribution Plan (d) | Annual Effective Rate (e) | Distribution and Service Fee | |
Class A | — | 0.25% | 0.25% | 0.25% | $ 76,378 |
Class B | 0.75% | 0.25% | 1.00% | 1.00% | 36,258 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 69,885 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 1,191 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 2,539 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 4,033 |
Total Distribution and Service Fees | $190,284 |
(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, 2021 based on each class's average daily net assets. MFD has voluntarily agreed to rebate a portion of each class's 0.25% service fee attributable to accounts for which there is no financial intermediary specified on the account except for accounts attributable to MFS or its affiliates' seed money. For the year ended October 31, 2021, this rebate amounted to $57 for Class A and is included in the reduction of total expenses in the Statement of Operations. |
Amount | |
Class A | $750 |
Class B | 2,927 |
Class C | 355 |
Purchases | Sales | |
U.S. Government securities | $3,163,233 | $3,493,612 |
Non-U.S. Government securities | 71,525,024 | 93,387,010 |
Year ended 10/31/21 | Year ended 10/31/20 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 806,398 | $9,279,252 | 480,649 | $5,241,025 | |
Class B | 2,697 | 29,872 | 39,632 | 388,822 | |
Class C | 65,487 | 745,204 | 194,075 | 1,995,206 | |
Class I | 3,852,642 | 44,743,981 | 3,719,821 | 40,828,052 | |
Class R1 | 73 | 819 | 71 | 750 | |
Class R2 | 13,743 | 158,828 | 8,010 | 85,330 | |
Class R3 | 35,437 | 405,547 | 163,944 | 1,804,167 | |
Class R4 | — | — | 5,348 | 56,729 | |
Class R6 | 2,447,318 | 28,796,377 | 2,180,806 | 24,343,215 | |
7,223,795 | $84,159,880 | 6,792,356 | $74,743,296 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Class A | 10,073 | $113,217 | 23,804 | $260,420 | |
Class B | — | — | 395 | 4,247 | |
Class C | — | — | 158 | 1,702 | |
Class I | 47,512 | 536,886 | 112,270 | 1,234,975 | |
Class R1 | — | — | 49 | 517 | |
Class R2 | — | — | 472 | 5,116 | |
Class R3 | 453 | 5,098 | 938 | 10,258 | |
Class R4 | 36 | 402 | 54 | 600 | |
Class R6 | 12,367 | 140,361 | 5,024 | 55,511 | |
70,441 | $795,964 | 143,164 | $1,573,346 | ||
Shares reacquired | |||||
Class A | (861,995) | $(9,925,360) | (906,557) | $(9,903,425) | |
Class B | (106,535) | (1,199,549) | (94,852) | (1,014,804) | |
Class C | (327,906) | (3,692,400) | (368,605) | (3,930,078) | |
Class I | (4,260,461) | (49,555,579) | (5,724,197) | (62,393,489) | |
Class R1 | (11) | (126) | (9,550) | (103,267) | |
Class R2 | (7,348) | (83,037) | (36,797) | (398,813) | |
Class R3 | (31,370) | (364,075) | (136,572) | (1,446,045) | |
Class R4 | (495) | (5,631) | (4,876) | (53,637) | |
Class R6 | (1,362,036) | (16,160,287) | (849,873) | (9,127,360) | |
(6,958,157) | $(80,986,044) | (8,131,879) | $(88,370,918) |
Year ended 10/31/21 | Year ended 10/31/20 | ||||
Shares | Amount | Shares | Amount | ||
Net change | |||||
Class A | (45,524) | $(532,891) | (402,104) | $(4,401,980) | |
Class B | (103,838) | (1,169,677) | (54,825) | (621,735) | |
Class C | (262,419) | (2,947,196) | (174,372) | (1,933,170) | |
Class I | (360,307) | (4,274,712) | (1,892,106) | (20,330,462) | |
Class R1 | 62 | 693 | (9,430) | (102,000) | |
Class R2 | 6,395 | 75,791 | (28,315) | (308,367) | |
Class R3 | 4,520 | 46,570 | 28,310 | 368,380 | |
Class R4 | (459) | (5,229) | 526 | 3,692 | |
Class R6 | 1,097,649 | 12,776,451 | 1,335,957 | 15,271,366 | |
336,079 | $3,969,800 | (1,196,359) | $(12,054,276) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $11,067,592 | $145,621,928 | $149,199,626 | $— | $— | $7,489,894 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $4,705 | $— |
December 15, 2021
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds overseen by the Trustee | Principal Occupations During the Past Five Years | Other Directorships During the Past Five Years (j) | |||||
INTERESTED TRUSTEES | ||||||||||
Robert J. Manning (k) (age 58) | Trustee | February 2004 | 135 | Massachusetts Financial Services Company, Non-Executive Chairman (since January 2021); Director; Chairman of the Board; Executive Chairman (January 2017-2020); Co-Chief Executive Officer (2015-2016) | N/A | |||||
Michael W. Roberge (k) (age 55) | Trustee | January 2021 | 135 | Massachusetts Financial Services Company, Chairman (since January 2021); Chief Executive Officer (since January 2017); Director; President (until December 2018); Chief Investment Officer (until December 2018); Co-Chief Executive Officer (until December 2016) | N/A | |||||
INDEPENDENT TRUSTEES | ||||||||||
John P. Kavanaugh (age 67) | Trustee and Chair of Trustees | January 2009 | 135 | Private investor | N/A | |||||
Steven E. Buller (age 70) | Trustee | February 2014 | 135 | Private investor | N/A | |||||
John A. Caroselli (age 67) | Trustee | March 2017 | 135 | Private investor; JC Global Advisors, LLC (management consulting), President (since 2015) | N/A | |||||
Maureen R. Goldfarb (age 66) | Trustee | January 2009 | 135 | Private investor | N/A | |||||
Peter D. Jones (age 66) | Trustee | January 2019 | 135 | Private investor | N/A |
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) | |||||
James W. Kilman, Jr. (age 60) | Trustee | January 2019 | 135 | 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); Morgan Stanley & Co. (financial services), Vice Chairman of Investment Banking, Co-Head of Diversified Financials Coverage – Financial Institutions Investment Banking Group (until 2016) | Alpha-En Corporation, Director (2016-2019) | |||||
Clarence Otis, Jr. (age 65) | Trustee | March 2017 | 135 | Private investor | VF Corporation, Director; Verizon Communications, Inc., Director; The Travelers Companies, Director | |||||
Maryanne L. Roepke (age 65) | Trustee | May 2014 | 135 | Private investor | N/A | |||||
Laurie J. Thomsen (age 64) | Trustee | March 2005 | 135 | 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 47) | Assistant Secretary and Assistant Clerk | July 2005 | 135 | Massachusetts Financial Services Company, Senior Vice President and Associate General Counsel | ||||
Kino Clark (k) (age 53) | Assistant Treasurer | January 2012 | 135 | Massachusetts Financial Services Company, Vice President |
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 | ||||
John W. Clark, Jr. (k) (age 54) | Assistant Treasurer | April 2017 | 135 | Massachusetts Financial Services Company, Vice President (since March 2017); Deutsche Bank (financial services), Department Head - Treasurer's Office (until February 2017) | ||||
Thomas H. Connors (k) (age 62) | Assistant Secretary and Assistant Clerk | September 2012 | 135 | Massachusetts Financial Services Company, Vice President and Senior Counsel | ||||
David L. DiLorenzo (k) (age 53) | President | July 2005 | 135 | Massachusetts Financial Services Company, Senior Vice President | ||||
Heidi W. Hardin (k) (age 54) | Secretary and Clerk | April 2017 | 135 | Massachusetts Financial Services Company, Executive Vice President and General Counsel (since March 2017); Harris Associates (investment management), General Counsel (until January 2017) | ||||
Brian E. Langenfeld (k) (age 48) | Assistant Secretary and Assistant Clerk | June 2006 | 135 | Massachusetts Financial Services Company, Vice President and Senior Counsel | ||||
Amanda S. Mooradian (k) (age 42) | Assistant Secretary and Assistant Clerk | September 2018 | 135 | Massachusetts Financial Services Company, Assistant Vice President and Senior Counsel | ||||
Susan A. Pereira (k) (age 51) | Assistant Secretary and Assistant Clerk | July 2005 | 135 | Massachusetts Financial Services Company, Vice President and Assistant General Counsel | ||||
Kasey L. Phillips (k) (age 50) | Assistant Treasurer | September 2012 | 135 | Massachusetts Financial Services Company, Vice President | ||||
Matthew A. Stowe (k) (age 47) | Assistant Secretary and Assistant Clerk | October 2014 | 135 | Massachusetts Financial Services Company, Vice President and Assistant General Counsel | ||||
Martin J. Wolin (k) (age 54) | Chief Compliance Officer | July 2015 | 135 | Massachusetts Financial Services Company, Senior Vice President and Chief Compliance Officer |
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 | ||||
James O. Yost (k) (age 61) | Treasurer | September 1990 | 135 | 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. For the period from December 15, 2004 until February 22, 2005, Mr. Manning served as Advisory Trustee. From January 2012 through December 2016, Messrs. DiLorenzo and Yost served as Treasurer and Deputy Treasurer of the Funds, respectively. |
(j) | Directorships or trusteeships of companies required to report to the Securities and Exchange Commission (i.e., “public companies”). |
(k) | “Interested person” of the Trust within the meaning of the Investment Company Act of 1940 (referred to as the 1940 Act), which is the principal federal law governing investment companies like the fund, as a result of a position with MFS. The address of MFS is 111 Huntington Avenue, Boston, Massachusetts 02199-7618. |
Investment Adviser | Custodian |
Massachusetts Financial Services Company 111 Huntington Avenue Boston, MA 02199-7618 | JPMorgan Chase Bank, NA 4 Metrotech Center New York, NY 11245 |
Distributor | Independent Registered Public Accounting Firm |
MFS Fund Distributors, Inc. 111 Huntington Avenue Boston, MA 02199-7618 | Deloitte & Touche LLP 200 Berkeley Street Boston, MA 02116 |
Portfolio Manager(s) | |
Benjamin Nastou Natalie Shapiro |
FACTS | WHAT DOES MFS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include: |
• Social Security number and account balances | |
• Account transactions and transaction history | |
• Checking account information and wire transfer instructions | |
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers' personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers' personal information; the reasons MFS chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does MFS share? | Can you limit this sharing? |
For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes – to offer our products and services to you | No | We don't share |
For joint marketing with other financial companies | No | We don't share |
For our affiliates' everyday business purposes – information about your transactions and experiences | No | We don't share |
For our affiliates' everyday business purposes – information about your creditworthiness | No | We don't share |
For nonaffiliates to market to you | No | We don't share |
Questions? | Call 800-225-2606 or go to mfs.com. |
Who we are | |
Who is providing this notice? | MFS Funds, MFS Investment Management, MFS Institutional Advisors, Inc., and MFS Heritage Trust Company. |
What we do | |
How does MFS protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include procedural, electronic, and physical safeguards for the protection of the personal information we collect about you. |
How does MFS collect my personal information? | We collect your personal information, for example, when you |
• open an account or provide account information | |
• direct us to buy securities or direct us to sell your securities | |
• make a wire transfer | |
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. | |
Why can't I limit all sharing? | Federal law gives you the right to limit only |
• sharing for affiliates' everyday business purposes – information about your creditworthiness | |
• affiliates from using your information to market to you | |
• sharing for nonaffiliates to market to you | |
State laws and individual companies may give you additional rights to limit sharing. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. |
• MFS does not share personal information with affiliates, except for everyday business purposes as described on page one of this notice. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. |
• MFS does not share with nonaffiliates so they can market to you. | |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. |
• MFS doesn't jointly market. |
Other important information |
If you own an MFS product or receive an MFS service in the name of a third party such as a bank or broker-dealer, their privacy policy may apply to you instead of ours. |
Item 1(b):
Not applicable
ITEM 2. | CODE OF ETHICS. |
The Registrant has adopted a Code of Ethics (the “Code”) pursuant to Section 406 of the Sarbanes-Oxley Act and as defined in Form N-CSR that applies to the Registrant’s principal executive officer and principal financial and accounting officer. During the period covered by this report, the Registrant has not amended any provision in the Code that relates to an element of the Code’s definition enumerated in paragraph (b) of Item 2 of this Form N-CSR. During the period covered by this report, the Registrant did not grant a waiver, including an implicit waiver, from any provision of the Code.
A copy of the Code is filed as an exhibit to this Form N-CSR.
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, 2021 and 2020, audit fees billed to MFS Global Alternative Strategy Fund by Deloitte were as follows:
Audit Fees | ||||||||
2021 | 2020 | |||||||
Fees billed by Deloitte: | ||||||||
MFS Commodity Strategy Fund | 69,588 | 68,639 | ||||||
MFS Global Alternative Strategy Fund | 70,409 | 69,448 | ||||||
|
|
|
| |||||
Total | 139,997 | 138,087 |
For the fiscal years ended October 31, 2021 and 2020, 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:
Audit-Related Fees1 | Tax Fees2 | All Other Fees3 | ||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2021 | 2020 | |||||||||||||||||||
Fees billed by Deloitte: | ||||||||||||||||||||||||
To MFS Commodity Strategy Fund | 0 | 0 | 14,115 | 12,789 | 0 | 0 | ||||||||||||||||||
To MFS Global Alternative Strategy Fund | 0 | 0 | 13,160 | 12,587 | 0 | 0 | ||||||||||||||||||
Total fees billed by Deloitte To above Funds | 0 | 0 | 27,275 | 25,376 | 0 | 0 |
Audit-Related Fees1 | Tax Fees2 | All Other Fees3 | ||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2021 | 2020 | |||||||||||||||||||
Fees billed by Deloitte: | ||||||||||||||||||||||||
To MFS and MFS Related Entities of MFS Commodity Strategy Fund* | 0 | 0 | 0 | 0 | 5,390 | 3,790 | ||||||||||||||||||
To MFS and MFS Related Entities of MFS Global Alternative Strategy Fund* | 0 | 0 | 0 | 0 | 5,390 | 3,790 |
Aggregate Fees for Non-audit Services | ||||||||
2021 | 2020 | |||||||
Fees Billed by Deloitte: | ||||||||
To MFS Commodity Strategy Fund, MFS and MFS Related Entities # | 19,505 | 911,929 | ||||||
To MFS Global Alternative Strategy Fund, MFS and MFS Related Entities # | 18,550 | 911,727 |
* | This amount reflects the fees billed to MFS and MFS Related Entities for non-audit services relating directly to the operations and financial reporting of the Fund (portions of which services also related to the operations and financial reporting of other funds within the MFS Funds complex). |
# | This amount reflects the aggregate fees billed by Deloitte for non-audit services rendered to the Fund and for non-audit services rendered to MFS and the MFS Related Entities. |
1 | The fees included under “Audit-Related Fees” are fees related to assurance and related services that are reasonably related to the performance of the audit or review of financial statements, but not reported under ‘‘Audit Fees,’’ including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters and internal control reviews. |
2 | The fees included under “Tax Fees” are fees associated with tax compliance, tax advice and tax planning, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews and tax distribution and analysis. |
3 | The fees included under “All Other Fees” are fees for products and services provided by Deloitte other than those reported under “Audit Fees,” “Audit-Related Fees” and “Tax Fees”. |
Item 4(e)(1):
Set forth below are the policies and procedures established by the Audit Committee of the Board of Trustees relating to the pre-approval of audit and non-audit related services:
To the extent required by applicable law, pre-approval by the Audit Committee of the Board is needed for all audit and permissible non-audit services rendered to the Funds and all permissible non-audit services rendered to MFS or MFS Related Entities if the services relate directly to the operations and financial reporting of the Registrant. Pre-approval is currently on an engagement-by-engagement basis. In the event pre-approval of such services is necessary between regular meetings of the Audit Committee and it is not practical to wait to seek pre-approval at the next regular meeting of the Audit Committee, pre-approval of such services may be referred to the Chair of the Audit Committee for approval; provided that the Chair may not pre-approve any individual engagement for such services exceeding $50,000 or multiple engagements for such services in the aggregate exceeding $100,000 in each period between regular meetings of the Audit Committee. Any engagement pre-approved by the Chair between regular meetings of the Audit Committee shall be presented for ratification by the entire Audit Committee at its next regularly scheduled meeting.
Item 4(e)(2):
None, or 0%, of the services relating to the Audit-Related Fees, Tax Fees and All Other Fees paid by the Fund and MFS and MFS Related Entities relating directly to the operations and financial reporting of the Registrant disclosed above were approved by the audit committee pursuant to paragraphs (c)(7)(i)(C) of Rule 2-01 of Regulation S-X (which permits audit committee approval after the start of the engagement with respect to services other than audit, review or attest services, if certain conditions are satisfied).
Item 4(f):
Not applicable.
Item 4(h):
The Registrant’s Audit Committee has considered whether the provision by a Registrant’s independent registered public accounting firm of non-audit services to MFS and MFS Related Entities that were not pre-approved by the Committee (because such services did not relate directly to the operations and financial reporting of the Registrant) was compatible with maintaining the independence of the independent registered public accounting firm as the Registrant’s principal auditors.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable to the Registrant.
ITEM 6. | INVESTMENTS |
A schedule of investments of each series of the Registrant is included as part of the report to shareholders of such series under Item 1(a) of this Form N-CSR.
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the Registrant.
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the Registrant.
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable to the Registrant.
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
There were no material changes to the procedures by which shareholders may send recommendations to the Board for nominees to the Registrant’s Board since the Registrant last provided disclosure as to such procedures in response to the requirements of Item 407 (c)(2)(iv) of Regulation S-K or this Item.
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | Based upon their evaluation of the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as conducted within 90 days of the filing date of this report on Form N-CSR, the registrant’s principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
(b) | There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by the report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
ITEM 12. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the Registrant.
ITEM 13. | EXHIBITS. |
(a) (1) | Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Attached hereto as EX-99.COE. |
(2) | A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto as EX-99.302CERT. |
(3) | Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable. |
(4) | Change in the registrant’s independent public accountant. Not applicable. |
(b) | If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for the purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Attached hereto as EX-99.906CERT. |
Notice
A copy of the Amended and Restated Declaration of Trust, as amended, of the Registrant is on file with the Secretary of State of The Commonwealth of Massachusetts and notice is hereby given that this instrument is executed on behalf of the Registrant by an officer of the Registrant as an officer and not individually and the obligations of or arising out of this instrument are not binding upon any of the Trustees or shareholders individually, but are binding only upon the assets and property of the respective constituent series of the Registrant.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): MFS SERIES TRUST XV
By (Signature and Title)* | /S/ DAVID L. DILORENZO | |
David L. DiLorenzo, President |
Date: December 15, 2021
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /S/ DAVID L. DILORENZO | |
David L. DiLorenzo, President (Principal Executive Officer) |
Date: December 15, 2021
By (Signature and Title)* | /S/ JAMES O. YOST | |
James O. Yost, Treasurer (Principal Financial Officer and Accounting Officer) |
Date: December 15, 2021
* | Print name and title of each signing officer under his or her signature. |