UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04253
MFS SERIES TRUST XV
(Exact name of registrant as specified in charter)
111 Huntington Avenue, Boston, Massachusetts 02199
(Address of principal executive offices) (Zip code)
Christopher R. Bohane
Massachusetts Financial Services Company
111 Huntington Avenue
Boston, Massachusetts 02199
(Name and address of agents for service)
Registrant’s telephone number, including area code: (617) 954-5000
Date of fiscal year end: October 31
Date of reporting period: April 30, 2022
ITEM 1. | REPORTS TO STOCKHOLDERS. |
Item 1(a):
Strategy Fund
Strategy Fund
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back cover |
Investment Grade Corporates | 32.3% |
U.S. Treasury Securities | 12.6% |
Collateralized Loan Obligations | 6.3% |
Commercial Mortgage-Backed Securities | 4.1% |
Emerging Markets Bonds | 1.9% |
Asset-Backed Securities | 1.6% |
Municipal Bonds | 1.6% |
High Yield Corporates | 0.9% |
Mortgage-Backed Securities | 0.5% |
Residential Mortgage-Backed Securities | 0.2% |
AAA | 5.0% |
AA | 6.5% |
A | 13.4% |
BBB | 23.1% |
BB | 0.9% |
U.S. Government | 12.6% |
Federal Agencies | 0.5% |
Non-Fixed Income | 101.7% |
Cash & Cash Equivalents | 32.8% |
Other | (96.5)% |
Natural Gas | 14.1% |
Gold | 11.8% |
WTI Crude Oil | 9.5% |
Brent Crude | 8.5% |
Corn | 6.1% |
Soybeans | 5.7% |
Gas Oil | 4.2% |
Unleaded Gasoline | 3.9% |
Aluminum | 3.6% |
Silver | 3.4% |
Copper (COMEX) | 3.3% |
Heating Oil | 3.3% |
Soybean Oil | 3.3% |
Nickel | 3.1% |
Cotton | 3.0% |
Lean Hogs | 2.9% |
Wheat | 2.9% |
Zinc | 2.9% |
Sugar | 2.4% |
Coffee | 2.1% |
Live Cattle | 1.8% |
Soybean Meal | 1.7% |
Kansas Wheat | 1.6% |
Cocoa | (1.1)% |
Platinum | (1.1)% |
Feeder Cattle | (1.2)% |
(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. |
November 1, 2021 through April 30, 2022
Share Class | Annualized Expense Ratio | Beginning Account Value 11/01/21 | Ending Account Value 4/30/22 | Expenses Paid During Period (p) 11/01/21-4/30/22 | |
A | Actual | 1.13% | $1,000.00 | $1,261.13 | $6.34 |
Hypothetical (h) | 1.13% | $1,000.00 | $1,019.19 | $5.66 | |
B | Actual | 1.88% | $1,000.00 | $1,254.89 | $10.51 |
Hypothetical (h) | 1.88% | $1,000.00 | $1,015.47 | $9.39 | |
C | Actual | 1.89% | $1,000.00 | $1,257.10 | $10.58 |
Hypothetical (h) | 1.89% | $1,000.00 | $1,015.42 | $9.44 | |
I | Actual | 0.89% | $1,000.00 | $1,261.69 | $4.99 |
Hypothetical (h) | 0.89% | $1,000.00 | $1,020.38 | $4.46 | |
R1 | Actual | 1.88% | $1,000.00 | $1,254.43 | $10.51 |
Hypothetical (h) | 1.88% | $1,000.00 | $1,015.47 | $9.39 | |
R2 | Actual | 1.38% | $1,000.00 | $1,259.93 | $7.73 |
Hypothetical (h) | 1.38% | $1,000.00 | $1,017.95 | $6.90 | |
R3 | Actual | 1.13% | $1,000.00 | $1,258.90 | $6.33 |
Hypothetical (h) | 1.13% | $1,000.00 | $1,019.19 | $5.66 | |
R4 | Actual | 0.89% | $1,000.00 | $1,262.35 | $4.99 |
Hypothetical (h) | 0.89% | $1,000.00 | $1,020.38 | $4.46 | |
R6 | Actual | 0.79% | $1,000.00 | $1,261.65 | $4.43 |
Hypothetical (h) | 0.79% | $1,000.00 | $1,020.88 | $3.96 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Bonds – 61.8% | ||||
Aerospace & Defense – 0.7% | ||||
Boeing Co., 1.167%, 2/04/2023 | $ | 1,968,000 | $ 1,944,368 | |
Boeing Co., 1.433%, 2/04/2024 | 3,936,000 | 3,781,806 | ||
Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 | 1,422,000 | 1,424,122 | ||
Raytheon Technologies Corp., 3.65%, 8/16/2023 | 95,000 | 95,660 | ||
$ 7,245,956 | ||||
Asset-Backed & Securitized – 12.2% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.147%, 11/15/2054 (i) | $ | 20,011,933 | $ 1,330,093 | |
ACREC 2021-FL1 Ltd., “AS”, FLR, 2.054% (LIBOR - 1mo. + 1.5%), 10/16/2036 (n) | 1,812,000 | 1,794,223 | ||
ACREC 2021-FL1 Ltd., “B”, FLR, 2.354% (LIBOR - 1mo. + 1.8%), 10/16/2036 (n) | 1,406,000 | 1,381,190 | ||
ACREC 2021-FL1 Ltd., “C”, FLR, 2.704% (LIBOR - 1mo. + 2.15%), 10/16/2036 (n) | 1,129,000 | 1,112,979 | ||
ACRES 2021-FL2 Issuer Ltd., “B”, FLR, 2.804% (LIBOR - 1mo. + 2.25%), 1/15/2037 (z) | 1,527,500 | 1,507,166 | ||
Allegro CLO Ltd., 2014-1RA, “A2”, FLR, 2.698% (LIBOR - 3mo. + 1.6%), 10/21/2028 (n) | 252,269 | 251,361 | ||
AmeriCredit Automobile Receivables Trust, 2020-1, “C”, 1.59%, 10/20/2025 | 678,000 | 665,231 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “B”, FLR, 2.054% (LIBOR - 1mo. + 1.5%), 12/15/2035 (n) | 375,500 | 371,473 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “C”, FLR, 2.554% (LIBOR - 1mo. + 2%), 12/15/2035 (n) | 153,500 | 151,548 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “B”, FLR, 2.154% (LIBOR - 1mo. + 1.6%), 8/15/2034 (n) | 571,500 | 565,396 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “C”, FLR, 2.404% (LIBOR - 1mo. + 1.85%), 8/15/2034 (n) | 332,000 | 327,655 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL4, “AS”, FLR, 2.254% (LIBOR - 1mo. + 1.7%), 11/15/2036 (n) | 1,684,000 | 1,661,872 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL4, “B”, FLR, 2.554% (LIBOR - 1mo. + 2%), 11/15/2036 (n) | 1,684,000 | 1,660,022 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL4, “C”, FLR, 2.854% (LIBOR - 1mo. + 2.3%), 11/15/2036 (n) | 1,014,000 | 999,221 | ||
Arbor Realty Trust, Inc., CLO, 2022-FL1, “C”, FLR, 2.567% (SOFR - 30 day + 2.3%), 1/15/2037 (n) | 2,695,500 | 2,683,783 | ||
AREIT 2019-CRE3 Trust, “AS”, FLR, 1.923% (LIBOR - 1mo. + 1.3%), 9/14/2036 (n) | 613,500 | 610,948 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
AREIT 2019-CRE3 Trust, “B”, FLR, 2.173% (LIBOR - 1mo. + 1.55%), 9/14/2036 (n) | $ | 303,000 | $ 300,427 | |
AREIT 2019-CRE3 Trust, “C”, FLR, 2.523% (SOFR - 1mo. + 2.014%), 9/14/2036 (n) | 250,500 | 247,541 | ||
AREIT 2022-CRE6 Trust, “C”, FLR, 2.425% (SOFR - 30 day + 2.15%), 12/17/2024 (n) | 894,000 | 876,381 | ||
AREIT 2022-CRE6 Trust, “D”, FLR, 3.125% (SOFR - 30 day + 2.85%), 12/17/2024 (n) | 795,500 | 779,787 | ||
Avery Point CLO Ltd., 2014-1A, “CR”, FLR, 3.534% (LIBOR - 3mo. + 2.35%), 4/25/2026 (n) | 412,841 | 412,497 | ||
Balboa Bay Loan Funding Ltd., 2020-1A, “BR”, FLR, 2.713% (LIBOR - 3mo. + 1.65%), 1/20/2032 (n) | 1,606,204 | 1,583,144 | ||
Balboa Bay Loan Funding Ltd., 2020-1A, “CR”, FLR, 3.162% (LIBOR - 3mo. + 2.1%), 1/20/2032 (n) | 870,027 | 849,882 | ||
Ballyrock CLO 2018-1A Ltd., “A2”, FLR, 2.662% (LIBOR - 3mo. + 1.6%), 4/20/2031 (n) | 1,368,365 | 1,351,689 | ||
Ballyrock CLO 2018-1A Ltd., “B”, FLR, 2.962% (LIBOR - 3mo. + 1.9%), 4/20/2031 (n) | 579,877 | 571,798 | ||
BBCMS Mortgage Trust, 2018-C2, “XA”, 0.761%, 12/15/2051 (i)(n) | 19,424,395 | 789,035 | ||
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.304%, 7/15/2054 (i) | 7,392,334 | 620,528 | ||
BBCMS Mortgage Trust, 2021-C11, “XA”, 1.506%, 9/15/2054 (i) | 7,497,935 | 673,950 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.758%, 2/15/2054 (i) | 11,429,939 | 1,206,610 | ||
BDS 2021-FL10 Ltd., “B”, FLR, 2.504% (LIBOR - 1mo. + 1.95%), 12/16/2036 (n) | 793,500 | 784,031 | ||
BDS 2021-FL10 Ltd., “C”, FLR, 2.854% (LIBOR - 1mo. + 2.3%), 12/16/2036 (n) | 577,000 | 569,478 | ||
Benchmark 2021-B23 Mortgage Trust, “XA”, 1.381%, 2/15/2054 (i) | 12,594,655 | 1,006,250 | ||
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.386%, 7/15/2054 (i) | 14,565,304 | 1,207,449 | ||
Benchmark 2021-B28 Mortgage Trust, “XA”, 1.401%, 8/15/2054 (i) | 10,285,945 | 864,148 | ||
Benchmark 2021-B29 Mortgage Trust, “XA”, 1.157%, 9/15/2054 (i) | 14,909,542 | 981,938 | ||
BPCRE 2021-FL1 Ltd., “C”, FLR, 2.454% (LIBOR - 1mo. + 1.9%), 2/15/2037 (n) | 147,469 | 145,939 | ||
BSPRT 2018-FL4 Issuer Ltd., “A”, FLR, 2.654% (LIBOR - 1mo. + 2.1%), 9/15/2035 (n) | 1,813,000 | 1,809,137 | ||
BSPRT 2021-FL6 Issuer Ltd., “C”, FLR, 2.604% (LIBOR - 1mo. + 2.05%), 3/15/2036 (n) | 485,000 | 477,995 | ||
BSPRT 2021-FL7 Issuer Ltd., “B”, FLR, 2.604% (LIBOR - 1mo. + 2.05%), 12/15/2038 (n) | 339,000 | 333,219 | ||
BSPRT 2021-FL7 Issuer Ltd., “C”, FLR, 2.854% (LIBOR - 1mo. + 2.3%), 12/15/2038 (n) | 408,500 | 404,833 | ||
BSPRT 2022-FL8 Issuer Ltd., “A”, FLR, 1.767% (SOFR - 30 day + 1.5%), 2/15/2037 (n) | 3,217,000 | 3,202,965 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
BSPRT 2022-FL8 Issuer Ltd., “B”, FLR, 2.317% (SOFR - 30 day + 2.05%), 2/15/2037 (n) | $ | 445,500 | $ 443,505 | |
BSPRT 2022-FL8 Issuer Ltd., “C”, FLR, 2.567% (SOFR - 30 day + 2.3%), 2/15/2037 (n) | 719,500 | 716,288 | ||
Business Jet Securities LLC, 2020-1A, “A”, 2.981%, 11/15/2035 (n) | 327,944 | 312,869 | ||
Business Jet Securities LLC, 2021-1A, “A”, 2.162%, 4/15/2036 (n) | 384,451 | 353,583 | ||
Business Jet Securities LLC, 2021-1A, “B”, 2.918%, 4/15/2036 (n) | 80,711 | 74,393 | ||
BXMT 2020-FL2 Ltd., “B”, FLR, 1.782% (LIBOR - 1mo. + 1.4%), 2/15/2038 (n) | 1,492,000 | 1,478,397 | ||
BXMT 2020-FL2 Ltd., “A”, FLR, 1.281% (LIBOR - 1mo. + 0.9%), 2/15/2038 (n) | 2,317,500 | 2,300,499 | ||
BXMT 2021-FL4 Ltd., “AS”, FLR, 1.854% (LIBOR - 1mo. + 1.3%), 5/15/2038 (n) | 2,601,000 | 2,560,950 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 566,301 | 546,650 | ||
CD 2017-CD4 Mortgage Trust, “XA”, 1.421%, 5/10/2050 (i) | 11,360,621 | 469,396 | ||
CF Hippolyta Issuer LLC, 2020-1, “A1”, 1.69%, 7/15/2060 (n) | 366,635 | 340,081 | ||
CF Hippolyta Issuer LLC, 2020-1, “B1”, 2.28%, 7/15/2060 (n) | 116,048 | 108,051 | ||
Commercial Equipment Finance 2021-A, LLC, “A”, 2.05%, 2/16/2027 (n) | 1,059,607 | 1,029,432 | ||
Commercial Mortgage Pass-Through Certificates, 2019-BN24,“XA”, 0.644%, 11/15/2062 (i) | 9,082,422 | 375,851 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN31, “XA”, 1.437%, 2/15/2054 (i) | 11,087,482 | 964,288 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.89%, 4/15/2054 (i) | 10,567,859 | 535,875 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN34, “XA”, 1.087%, 6/15/2063 (i) | 11,402,876 | 741,141 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.156%, 6/15/2064 (i) | 6,144,451 | 426,228 | ||
Credit Acceptance Auto Loan Trust, 2021-4, “B”, 1.74%, 12/16/2030 (n) | 584,000 | 549,963 | ||
Credit Acceptance Auto Loan Trust, 2021-2A, “A”, 0.96%, 2/15/2030 (n) | 451,000 | 433,691 | ||
Credit Acceptance Auto Loan Trust, 2021-2A, “B”, 1.26%, 4/15/2030 (n) | 250,000 | 233,616 | ||
Credit Acceptance Auto Loan Trust, 2021-3A, “B”, 1.38%, 7/15/2030 (n) | 312,000 | 292,364 | ||
Credit Acceptance Auto Loan Trust, 2021-3A, “C”, 1.63%, 9/16/2030 (n) | 250,000 | 232,798 | ||
Credit Acceptance Auto Loan Trust, 2021-4, “A” , 1.26%, 10/15/2030 (n) | 318,000 | 303,059 | ||
Cutwater 2014-1A Ltd., “A2R”, FLR, 2.744% (LIBOR - 3mo. + 1.7%), 7/15/2026 (n) | 312,125 | 311,905 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Cutwater 2015-1A Ltd., “AR”, FLR, 2.264% (LIBOR - 3mo. + 1.22%), 1/15/2029 (n) | $ | 1,061,686 | $ 1,060,205 | |
Dryden Senior Loan Fund, 2017-49A, “BR”, CLO, FLR, 2.644% (LIBOR - 3mo. + 1.6%), 7/18/2030 (n) | 1,945,990 | 1,930,704 | ||
Exeter Automobile Receivables Trust, 2019-3A, “C”, 2.79%, 5/15/2024 (n) | 405,287 | 405,594 | ||
Exeter Automobile Receivables Trust, 2020-1A, 2.49%, 1/15/2025 (n) | 335,823 | 336,251 | ||
Fortress CBO Investments Ltd., 2022-FL3, “A”, FLR, 2.138% (SOFR - 30 day + 1.85%), 2/23/2039 (n) | 1,917,000 | 1,916,998 | ||
Fortress CBO Investments Ltd., 2022-FL3, “AS”, FLR, 2.539% (SOFR - 30 day + 2.25%), 2/23/2039 (n) | 1,785,500 | 1,778,372 | ||
GLS Auto Receivables Trust, 2021-3A, “B”, 0.78%, 11/17/2025 (n) | 890,384 | 859,258 | ||
GS Mortgage Securities Trust, 2017-GS6, “XA”, 1.164%, 5/10/2050 (i) | 10,721,780 | 464,555 | ||
GS Mortgage Securities Trust, 2017-GS7, “XA”, 1.253%, 8/10/2050 (i) | 11,230,717 | 467,516 | ||
GS Mortgage Securities Trust, 2020-GC47, “A5”, 1.245%, 5/12/2053 (i) | 8,650,361 | 628,375 | ||
Invitation Homes 2018-SFR1 Trust, “B”, FLR, 1.504% (LIBOR - 1mo. + 0.95%), 3/17/2037 (n) | 952,863 | 947,212 | ||
Invitation Homes 2018-SFR2 Trust, “A”, FLR, 1.454% (LIBOR - 1mo. + 0.9%), 6/17/2037 (n) | 1,124,281 | 1,121,129 | ||
Jamestown CLO Ltd., 2020-15A, “C”, FLR, 3.494% (LIBOR - 3mo. + 2.45%), 4/15/2033 (n) | 3,069,116 | 3,007,365 | ||
JPMorgan Chase Commercial Mortgage Securities Corp., 1.008%, 9/15/2050 (i) | 12,351,489 | 466,659 | ||
LoanCore 2018-CRE1 Ltd., “AS”, FLR, 2.054% (LIBOR - 1mo. + 1.5%), 5/15/2028 (n) | 1,731,000 | 1,726,472 | ||
LoanCore 2018-CRE1 Ltd., “C”, FLR, 3.104% (LIBOR - 1mo. + 2.55%), 5/15/2028 (n) | 577,000 | 576,420 | ||
LoanCore 2019-CRE3 Ltd., “A”, FLR, 1.604% (LIBOR - 1mo. + 1.05%), 4/15/2034 (n) | 253,770 | 253,140 | ||
LoanCore 2019-CRE3 Ltd., “AS”, FLR, 1.924% (LIBOR - 1mo. + 1.37%), 4/15/2034 (n) | 1,897,200 | 1,886,365 | ||
LoanCore 2021-CRE5 Ltd., “AS”, FLR, 2.304% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | 1,752,500 | 1,720,433 | ||
LoanCore 2021-CRE5 Ltd., “B”, FLR, 2.554% (LIBOR - 1mo. + 2%), 7/15/2036 (n) | 741,000 | 722,632 | ||
Madison Park Funding Ltd., 2014-13A, “BR2”, FLR, 2.544% (LIBOR - 3mo. + 1.5%), 4/19/2030 (n) | 2,174,539 | 2,159,089 | ||
Magnetite CLO Ltd., 2015-16A, “BR”, FLR, 2.244% (LIBOR - 3mo. + 1.2%), 1/18/2028 (n) | 2,590,000 | 2,579,417 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
MF1 2020-FL3 Ltd., “B”, FLR, 4.373% (LIBOR - 1mo. + 3.75%), 7/15/2035 (z) | $ | 205,000 | $ 206,092 | |
MF1 2020-FL3 Ltd., “C”, FLR, 5.123% (LIBOR - 1mo. + 4.5%), 7/15/2035 (z) | 293,000 | 297,003 | ||
MF1 2020-FL4 Ltd., “B”, FLR, 3.373% (LIBOR - 1mo. + 2.75%), 11/15/2035 (n) | 2,437,000 | 2,410,525 | ||
MF1 2021-FL6 Ltd., “B”, FLR, 2.204% (LIBOR - 1mo. + 1.65%), 7/16/2036 (n) | 3,089,144 | 3,009,616 | ||
MF1 2022-FL8 Ltd., “C”, FLR, 2.467% (SOFR - 30 day + 2.2%), 2/19/2037 (n) | 941,914 | 939,116 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, 2.655%, 2/15/2046 | 778,347 | 773,860 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C33, “XA”, 1.253%, 5/15/2050 (i) | 9,342,758 | 445,902 | ||
Morgan Stanley Capital I Trust, 2017-H1, “XA”, 1.496%, 6/15/2050 (i) | 4,220,576 | 192,441 | ||
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 0.833%, 12/15/2051 (i) | 15,943,954 | 666,389 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.422%, 5/15/2054 (i) | 9,508,026 | 776,648 | ||
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.35%, 6/15/2054 (i) | 8,804,246 | 652,859 | ||
Navistar Financial Dealer Note Master Owner Trust, 2020-1, “A”, FLR, 1.618% (LIBOR - 1mo. + 0.95%), 7/25/2025 (n) | 391,000 | 391,191 | ||
Navistar Financial Dealer Note Master Owner Trust, 2020-1, “B”, FLR, 2.017% (LIBOR - 1mo. + 1.35%), 7/25/2025 (n) | 359,000 | 359,584 | ||
Navistar Financial Dealer Note Master Owner Trust, 2020-1, “C”, FLR, 2.818% (LIBOR - 1mo. + 2.15%), 7/25/2025 (n) | 297,000 | 297,346 | ||
NextGear Floorplan Master Owner Trust, 2019-2A, “A2”, 2.07%, 10/15/2024 (n) | 1,026,000 | 1,024,539 | ||
NextGear Floorplan Master Owner Trust, 2022-1A, “A1”, FLR, 1.317% (SOFR - 30 day + 1.05%), 3/15/2027 (n) | 1,387,000 | 1,387,059 | ||
Oaktree CLO 2019-1A Ltd., “BR”, FLR, 2.886% (LIBOR - 3mo. + 1.75%), 4/22/2030 (n) | 1,427,638 | 1,405,090 | ||
Oaktree CLO 2019-1A Ltd., “CR”, FLR, 3.486% (LIBOR - 3mo. + 2.35%), 4/22/2030 (n) | 1,427,638 | 1,385,179 | ||
OCP CLO 2015-10A Ltd., “BR2”, 2.863%, 1/26/2034 (n) | 2,250,000 | 2,208,060 | ||
OneMain Financial Issuance Trust, 2020-1A, “A”, 3.84%, 5/14/2032 (n) | 1,759,649 | 1,768,140 | ||
OneMain Financial Issuance Trust, 2020-2A, “A”, 1.75%, 9/14/2035 (n) | 1,819,000 | 1,659,567 | ||
OneMain Financial Issuance Trust, 2022-S1, “A”, 4.13%, 5/14/2035 (n) | 1,170,000 | 1,175,211 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
PFP III 2021-7 Ltd., “B”, FLR, 1.954% (LIBOR - 1mo. + 1.4%), 4/14/2038 (n) | $ | 604,470 | $ 588,298 | |
PFP III 2021-7 Ltd., “C”, FLR, 2.204% (LIBOR - 1mo. + 1.65%), 4/14/2038 (n) | 191,490 | 188,020 | ||
PFP III 2021-8 Ltd., “B”, FLR, 2.054% (LIBOR - 1mo. + 1.5%), 8/09/2037 (n) | 617,500 | 605,216 | ||
Progress Residential 2021-SFR1 Trust, “B”, 1.303%, 4/17/2038 (n) | 248,000 | 222,005 | ||
Progress Residential 2021-SFR1 Trust, “C”, 1.555%, 4/17/2038 (n) | 186,000 | 165,700 | ||
Securitized Term Auto Receivable Trust, 2019-CRTA, “B”, 2.453%, 3/25/2026 (n) | 102,272 | 102,265 | ||
Securitized Term Auto Receivable Trust, 2019-CRTA, “C”, 2.849%, 3/25/2026 (n) | 131,296 | 131,454 | ||
Shackleton 2013-4RA CLO Ltd., “B”, FLR, 2.921% (LIBOR - 3mo. + 1.9%), 4/13/2031 (n) | 722,762 | 708,467 | ||
Shelter Growth CRE 2021-FL3 Ltd, “C”, FLR, 2.704% (LIBOR - 1mo. + 2.15%), 9/15/2036 (n) | 2,649,500 | 2,592,268 | ||
Southwick Park CLO, Ltd., 2019-4A, “B1R”, FLR, 2.563% (LIBOR - 3mo. + 1.5%), 7/20/2032 (n) | 645,000 | 636,488 | ||
Southwick Park CLO, Ltd., 2019-4A, “B2R”, 2.46%, 7/20/2032 (n) | 1,123,000 | 992,153 | ||
Southwick Park CLO, Ltd., 2019-4A, “CR”, FLR, 3.013% (LIBOR - 3mo. + 1.95%), 7/20/2032 (n) | 1,528,000 | 1,509,441 | ||
Starwood Commercial Mortgage, 2021-FL2, “B”, FLR, 2.354% (LIBOR - 1mo. + 1.8%), 4/18/2038 (n) | 2,295,000 | 2,265,355 | ||
TICP CLO 2018-3R Ltd., “B”, FLR, 2.412% (LIBOR - 3mo. + 1.35%), 4/20/2028 (n) | 681,356 | 681,663 | ||
TICP CLO 2018-3R Ltd., “C”, FLR, 2.863% (LIBOR - 3mo. + 1.8%), 4/20/2028 (n) | 1,195,706 | 1,197,001 | ||
TPG Real Estate Finance, 2021-FL4, “AS”, FLR, 1.954% (LIBOR - 1mo. + 1.4%), 3/15/2038 (n) | 1,305,000 | 1,293,640 | ||
TPG Real Estate Finance, 2021-FL4, “B”, FLR, 2.404% (LIBOR - 1mo. + 1.85%), 3/15/2038 (n) | 2,749,000 | 2,724,891 | ||
UBS Commercial Mortgage Trust, 2017-C1, “XA”, 0.99%, 11/15/2050 (i) | 7,697,861 | 262,362 | ||
UBS Commercial Mortgage Trust, 2018-C14, “XA”, 0.976%, 12/15/2051 (i) | 7,848,700 | 400,383 | ||
Wells Fargo Commercial Mortgage Trust, 2021-C61, “XA”, 1.505%, 11/15/2054 (i) | 6,154,190 | 536,178 | ||
World Omni Auto Receivables Trust, 3.67%, 6/15/2027 | 678,000 | 674,240 | ||
$ 124,182,751 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Automotive – 2.2% | ||||
Daimler Finance North America LLC, 0.75%, 3/01/2024 (n) | $ | 1,674,000 | $ 1,601,719 | |
Daimler Trucks Finance North America LLC, 1.625%, 12/13/2024 (n) | 2,994,000 | 2,843,138 | ||
Ford Motor Credit Co. LLC, 3.087%, 1/09/2023 | 1,222,000 | 1,223,075 | ||
General Motors Financial Co., 1.7%, 8/18/2023 | 2,471,000 | 2,421,870 | ||
Hyundai Capital America, 2.85%, 11/01/2022 (n) | 1,427,000 | 1,429,049 | ||
Hyundai Capital America, 2.375%, 2/10/2023 (n) | 723,000 | 719,224 | ||
Hyundai Capital America, 5.75%, 4/06/2023 (n) | 2,315,000 | 2,364,292 | ||
Hyundai Capital America, 0.8%, 1/08/2024 (n) | 274,000 | 261,051 | ||
Hyundai Capital America, 5.875%, 4/07/2025 (n) | 2,322,000 | 2,420,515 | ||
Stellantis Finance US, Inc., 1.711%, 1/29/2027 (n) | 1,825,000 | 1,618,795 | ||
Volkswagen Group of America Finance LLC, 2.9%, 5/13/2022 (n) | 600,000 | 600,264 | ||
Volkswagen Group of America Finance LLC, 3.125%, 5/12/2023 (n) | 251,000 | 250,930 | ||
Volkswagen Group of America Finance LLC, 2.85%, 9/26/2024 (n) | 1,078,000 | 1,058,329 | ||
Volkswagen Group of America Finance LLC, 3.35%, 5/13/2025 (n) | 2,254,000 | 2,218,600 | ||
Volkswagen Group of America Finance LLC, 1.25%, 11/24/2025 (n) | 1,559,000 | 1,420,046 | ||
$ 22,450,897 | ||||
Broadcasting – 0.6% | ||||
Magallanes, Inc., 3.788%, 3/15/2025 (n) | $ | 4,747,000 | $ 4,678,099 | |
Magallanes, Inc., 3.755%, 3/15/2027 (n) | 1,186,000 | 1,147,036 | ||
$ 5,825,135 | ||||
Brokerage & Asset Managers – 1.7% | ||||
Brookfield Finance, Inc., 3.9%, 1/25/2028 | $ | 4,544,000 | $ 4,421,654 | |
Charles Schwab Corp., 0.75%, 3/18/2024 | 1,950,000 | 1,867,178 | ||
E*TRADE Financial Corp., 2.95%, 8/24/2022 | 3,674,000 | 3,680,324 | ||
NASDAQ, Inc., 0.445%, 12/21/2022 | 1,200,000 | 1,183,207 | ||
National Securities Clearing Corp., 1.2%, 4/23/2023 (n) | 600,000 | 592,161 | ||
National Securities Clearing Corp., 0.4%, 12/07/2023 (n) | 1,974,000 | 1,893,169 | ||
National Securities Clearing Corp., 1.5%, 4/23/2025 (n) | 250,000 | 236,055 | ||
National Securities Clearing Corp., 0.75%, 12/07/2025 (n) | 3,942,000 | 3,585,374 | ||
$ 17,459,122 | ||||
Business Services – 0.8% | ||||
Equinix, Inc., 1.25%, 7/15/2025 | $ | 1,085,000 | $ 998,169 | |
Global Payments, Inc., 1.2%, 3/01/2026 | 2,556,000 | 2,295,969 | ||
Tencent Holdings Ltd., 1.81%, 1/26/2026 (n) | 1,551,000 | 1,426,945 | ||
TSMC Arizona Corp., 1.75%, 10/25/2026 | 1,173,000 | 1,075,361 | ||
Western Union Co., 1.35%, 3/15/2026 | 2,078,000 | 1,882,724 | ||
$ 7,679,168 | ||||
Cable TV – 0.2% | ||||
SES S.A., 3.6%, 4/04/2023 (n) | $ | 2,416,000 | $ 2,417,672 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Computer Software – 0.2% | ||||
Dell International LLC/EMC Corp., 4%, 7/15/2024 | $ | 1,285,000 | $ 1,291,475 | |
Dell International LLC/EMC Corp., 5.85%, 7/15/2025 | 471,000 | 494,470 | ||
Infor, Inc., 1.45%, 7/15/2023 (n) | 250,000 | 244,024 | ||
$ 2,029,969 | ||||
Computer Software - Systems – 0.3% | ||||
Apple, Inc., 1.7%, 9/11/2022 | $ | 441,000 | $ 441,530 | |
VMware, Inc., 1%, 8/15/2024 | 1,651,000 | 1,552,718 | ||
VMware, Inc., 1.4%, 8/15/2026 | 1,277,000 | 1,144,612 | ||
$ 3,138,860 | ||||
Conglomerates – 0.3% | ||||
Carrier Global Corp., 2.242%, 2/15/2025 | $ | 318,000 | $ 304,408 | |
Westinghouse Air Brake Technologies Corp., 4.4%, 3/15/2024 | 2,317,000 | 2,336,425 | ||
$ 2,640,833 | ||||
Consumer Products – 0.6% | ||||
GSK Consumer Healthcare Capital US LLC, 3.125%, 3/24/2025 (n) | $ | 2,973,000 | $ 2,914,730 | |
GSK Consumer Healthcare Capital US LLC, 3.375%, 3/24/2027 (n) | 1,404,000 | 1,358,203 | ||
Reckitt Benckiser Treasury Services PLC, 2.375%, 6/24/2022 (n) | 2,213,000 | 2,214,485 | ||
$ 6,487,418 | ||||
Containers – 0.5% | ||||
Berry Global, Inc., 1.57%, 1/15/2026 | $ | 2,644,000 | $ 2,405,425 | |
Berry Global, Inc., 1.65%, 1/15/2027 | 3,191,000 | 2,829,497 | ||
$ 5,234,922 | ||||
Electronics – 0.6% | ||||
Broadcom, Inc., 3.15%, 11/15/2025 | $ | 625,000 | $ 609,059 | |
Microchip Technology, Inc., 0.983%, 9/01/2024 (n) | 3,907,000 | 3,665,311 | ||
Qorvo, Inc., 1.75%, 12/15/2024 (n) | 1,015,000 | 957,490 | ||
Skyworks Solutions, Inc., 0.9%, 6/01/2023 | 1,208,000 | 1,177,750 | ||
$ 6,409,610 | ||||
Emerging Market Quasi-Sovereign – 0.6% | ||||
Bharat Petroleum Corp. Ltd., 4.625%, 10/25/2022 | $ | 1,716,000 | $ 1,725,919 | |
DAE Funding LLC (United Arab Emirates), 1.55%, 8/01/2024 (n) | 796,000 | 742,304 | ||
DAE Funding LLC (United Arab Emirates), 2.625%, 3/20/2025 (n) | 1,375,000 | 1,288,312 | ||
Indian Oil Corp. Ltd., 5.75%, 8/01/2023 | 858,000 | 879,604 | ||
Sinopec Group Overseas Development (2018) Ltd. (People's Republic of China), 1.45%, 1/08/2026 (n) | 1,613,000 | 1,491,529 | ||
$ 6,127,668 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – 0.2% | ||||
Emirate of Abu Dhabi, 0.75%, 9/02/2023 (n) | $ | 1,671,000 | $ 1,622,925 | |
Energy - Independent – 0.0% | ||||
Pioneer Natural Resources Co., 0.55%, 5/15/2023 | $ | 419,000 | $ 408,304 | |
Energy - Integrated – 0.4% | ||||
Cenovus Energy, Inc., 5.375%, 7/15/2025 | $ | 1,024,000 | $ 1,061,949 | |
Eni S.p.A., 4%, 9/12/2023 (n) | 1,723,000 | 1,733,941 | ||
Exxon Mobil Corp., 1.571%, 4/15/2023 | 983,000 | 974,862 | ||
$ 3,770,752 | ||||
Financial Institutions – 1.6% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.875%, 1/16/2024 | $ | 1,964,000 | $ 1,975,152 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.15%, 2/15/2024 | 1,393,000 | 1,359,378 | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.75%, 10/29/2024 | 1,758,000 | 1,635,956 | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.5%, 7/15/2025 | 1,435,000 | 1,487,407 | ||
Air Lease Corp., 2.2%, 1/15/2027 | 1,779,000 | 1,591,712 | ||
Avolon Holdings Funding Ltd., 3.95%, 7/01/2024 (n) | 1,131,000 | 1,110,992 | ||
Avolon Holdings Funding Ltd., 5.5%, 1/15/2026 (n) | 995,000 | 996,503 | ||
Avolon Holdings Funding Ltd., 2.125%, 2/21/2026 (n) | 2,801,000 | 2,508,313 | ||
Avolon Holdings Funding Ltd., 4.25%, 4/15/2026 (n) | 858,000 | 822,731 | ||
Avolon Holdings Funding Ltd., 2.528%, 11/18/2027 (n) | 1,919,000 | 1,650,250 | ||
Avolon Holdings Funding Ltd., 2.75%, 2/21/2028 (n) | 1,468,000 | 1,262,670 | ||
$ 16,401,064 | ||||
Food & Beverages – 0.6% | ||||
Constellation Brands, Inc., 4.25%, 5/01/2023 | $ | 1,510,000 | $ 1,528,323 | |
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029 (n) | 2,592,000 | 2,306,880 | ||
JDE Peet's N.V., 0.8%, 9/24/2024 (n) | 831,000 | 775,777 | ||
JDE Peet's N.V., 1.375%, 1/15/2027 (n) | 1,200,000 | 1,046,628 | ||
$ 5,657,608 | ||||
Food & Drug Stores – 0.5% | ||||
7-Eleven, Inc., 0.625%, 2/10/2023 (n) | $ | 3,173,000 | $ 3,117,038 | |
7-Eleven, Inc., 0.8%, 2/10/2024 (n) | 2,380,000 | 2,267,410 | ||
$ 5,384,448 | ||||
Forest & Paper Products – 0.1% | ||||
Fibria Overseas Finance Ltd. , 5.5%, 1/17/2027 | $ | 1,286,000 | $ 1,313,340 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Gaming & Lodging – 1.2% | ||||
GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/01/2023 | $ | 1,259,000 | $ 1,277,079 | |
GLP Capital LP/GLP Financing II, Inc., 5.25%, 6/01/2025 | 2,448,000 | 2,491,574 | ||
GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026 | 449,000 | 458,046 | ||
Hyatt Hotels Corp., 1.3%, 10/01/2023 | 2,581,000 | 2,507,799 | ||
Hyatt Hotels Corp., 1.8%, 10/01/2024 | 2,213,000 | 2,103,852 | ||
Las Vegas Sands Corp., 3.2%, 8/08/2024 | 1,420,000 | 1,363,711 | ||
Marriott International, Inc., 3.75%, 10/01/2025 | 509,000 | 505,496 | ||
Sands China Ltd., 3.8%, 1/08/2026 | 1,030,000 | 951,020 | ||
$ 11,658,577 | ||||
Industrial – 0.1% | ||||
Howard University, Washington D.C., 2.738%, 10/01/2022 | $ | 101,000 | $ 100,790 | |
Howard University, Washington D.C., 2.801%, 10/01/2023 | 111,000 | 109,393 | ||
Howard University, Washington D.C., AGM, 2.416%, 10/01/2024 | 123,000 | 119,276 | ||
Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | 152,000 | 143,468 | ||
$ 472,927 | ||||
Insurance – 0.8% | ||||
AIG Global Funding, 0.8%, 7/07/2023 (n) | $ | 1,522,000 | $ 1,484,416 | |
Corebridge Financial, Inc., 3.5%, 4/04/2025 (n) | 1,280,000 | 1,267,021 | ||
Corebridge Financial, Inc., 3.65%, 4/05/2027 (n) | 1,805,000 | 1,751,150 | ||
Equitable Financial Life Insurance Co., 1.4%, 7/07/2025 (n) | 1,662,000 | 1,548,715 | ||
Metropolitan Life Global Funding I, 0.4%, 1/07/2024 (n) | 2,404,000 | 2,294,765 | ||
$ 8,346,067 | ||||
Insurance - Property & Casualty – 0.1% | ||||
Aon PLC, 2.2%, 11/15/2022 | $ | 1,193,000 | $ 1,190,968 | |
Internet – 0.2% | ||||
Baidu, Inc., 3.875%, 9/29/2023 | $ | 2,225,000 | $ 2,244,772 | |
Machinery & Tools – 0.4% | ||||
CNH Industrial Capital LLC, 4.2%, 1/15/2024 | $ | 1,931,000 | $ 1,954,478 | |
CNH Industrial Capital LLC, 1.875%, 1/15/2026 | 497,000 | 462,031 | ||
CNH Industrial N.V., 4.5%, 8/15/2023 | 1,073,000 | 1,087,926 | ||
$ 3,504,435 | ||||
Major Banks – 8.8% | ||||
Bank of Montreal, 2.05%, 11/01/2022 | $ | 1,694,000 | $ 1,694,949 | |
Barclays PLC, 1.007% to 12/10/2023, FLR (CMT - 1yr. + 0.8%) to 12/10/2024 | 781,000 | 744,954 | ||
Barclays PLC, 2.852% to 5/07/2025, FLR (LIBOR - 3mo. + 2.452%) to 5/07/2026 | 759,000 | 728,400 | ||
Barclays PLC, 2.279% to 11/24/2026, FLR (CMT - 1yr. + 1.05%) to 11/24/2027 | 3,201,000 | 2,879,965 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
BBVA USA, 2.875%, 6/29/2022 | $ | 2,542,000 | $ 2,547,190 | |
BBVA USA Bancshares, Inc., 2.5%, 8/27/2024 | 1,122,000 | 1,099,293 | ||
BNP Paribas S.A., 2.591% to 1/20/2027, FLR (SOFR - 1 day + 1.228%) to 1/20/2028 (n) | 3,918,000 | 3,566,142 | ||
Capital One Financial Corp., 2.636% to 3/03/2025, FLR (SOFR - 1 day + 1.29%) to 3/03/2026 | 1,917,000 | 1,838,932 | ||
Credit Suisse Group AG, 4.207% to 6/12/2023, FLR (LIBOR - 3mo. + 1.24%) to 6/12/2024 (n) | 410,000 | 410,683 | ||
Deutsche Bank AG, 0.898%, 5/28/2024 | 844,000 | 796,658 | ||
Deutsche Bank AG, 1.447% to 4/1/2024, FLR (SOFR - 1 day + 1.131%) to 4/01/2025 | 3,640,000 | 3,438,683 | ||
Deutsche Bank AG, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027 | 999,000 | 883,375 | ||
Goldman Sachs Group, Inc., 1.093% to 12/09/2025, FLR (SOFR - 1 day + 0.789%) to 12/09/2026 | 1,418,000 | 1,268,217 | ||
HSBC Holdings PLC, 3.033% to 11/22/2022, FLR (LIBOR - 3mo. + 0.923%) to 11/22/2023 | 957,000 | 956,372 | ||
HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR - 1 day + 1.929%) to 6/04/2026 | 928,000 | 866,602 | ||
HSBC Holdings PLC, 1.589% to 5/24/2026, FLR (SOFR - 1 day + 1.29%) to 5/24/2027 | 1,060,000 | 942,034 | ||
HSBC Holdings PLC, 2.251% to 11/22/2026, FLR (SOFR - 1 day + 1.1%) to 11/22/2027 | 3,183,000 | 2,879,211 | ||
JPMorgan Chase & Co., 3.375%, 5/01/2023 | 1,196,000 | 1,203,009 | ||
JPMorgan Chase & Co., 3.797% to 7/23/2023, FLR (LIBOR - 3mo. + 0.89%) to 7/23/2024 | 1,506,000 | 1,512,719 | ||
JPMorgan Chase & Co., 1.04% to 2/04/2026, FLR (SOFR - 1 day + 0.695%) to 2/04/2027 | 1,903,000 | 1,694,530 | ||
Lloyds Banking Group PLC, 3.511% to 3/18/2025, FLR (CMT - 1yr. + 1.6%) to 3/18/2026 | 2,690,000 | 2,638,116 | ||
Mitsubishi UFJ Financial Group, Inc., 2.623%, 7/18/2022 | 2,006,000 | 2,010,215 | ||
Mitsubishi UFJ Financial Group, Inc., 0.848% to 9/15/2023, FLR (CMT - 1yr. + 0.68%) to 9/15/2024 | 3,125,000 | 3,012,742 | ||
Mitsubishi UFJ Financial Group, Inc., 0.953% to 7/19/2024, FLR (CMT - 1yr. + 0.55%) to 7/19/2025 | 2,237,000 | 2,100,842 | ||
Mitsubishi UFJ Financial Group, Inc., 0.962% to 10/11/2024, FLR (CMT - 1yr. + 0.45%) to 10/11/2025 | 1,464,000 | 1,364,506 | ||
Mizuho Financial Group, 0.849% to 9/08/2023, FLR (LIBOR - 3mo. + 0.61%) to 9/08/2024 | 2,700,000 | 2,600,825 | ||
Nationwide Building Society, 2.972% to 2/16/2027, FLR (SOFR - 1 day + 1.29%) to 2/16/2028 (n) | 2,739,000 | 2,544,945 | ||
NatWest Group PLC, 2.359% to 5/22/2023, FLR (CMT - 1yr. + 2.15%) to 5/22/2024 | 2,485,000 | 2,451,957 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
NatWest Group PLC, 4.269% to 3/22/2024, FLR (LIBOR - 3mo. + 1.762%) to 3/22/2025 | $ | 2,549,000 | $ 2,549,668 | |
NatWest Markets PLC, 3.479%, 3/22/2025 (n) | 2,527,000 | 2,503,550 | ||
Royal Bank of Canada, 0.5%, 10/26/2023 | 3,500,000 | 3,378,937 | ||
Standard Chartered PLC, 1.319% to 10/14/2022, FLR (CMT - 1yr. + 1.17%) to 10/14/2023 (n) | 1,375,000 | 1,361,676 | ||
Standard Chartered PLC, 0.991% to 1/12/2024, FLR (CMT - 1yr. + 0.78%) to 1/12/2025 (n) | 1,608,000 | 1,526,537 | ||
Standard Chartered PLC, 1.214% to 3/23/2024, FLR (CMT - 1yr. + 0.88%) to 3/23/2025 (n) | 812,000 | 768,583 | ||
Standard Chartered PLC, 1.822% to 11/23/2024, FLR (CMT - 1yr. + 0.95%) to 11/23/2025 (n) | 806,000 | 754,061 | ||
Standard Chartered PLC, 3.971% to 3/30/2025, FLR (CMT - 1yr. + 1.65%) to 3/30/2026 (n) | 1,277,000 | 1,250,482 | ||
Sumitomo Mitsui Financial Group, Inc., 0.508%, 1/12/2024 | 801,000 | 764,478 | ||
Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025 | 1,875,000 | 1,734,605 | ||
Sumitomo Mitsui Financial Group, Inc., 2.174%, 1/14/2027 | 2,571,000 | 2,359,494 | ||
Sumitomo Mitsui Trust Bank Ltd., 0.85%, 3/25/2024 (n) | 1,534,000 | 1,460,579 | ||
Toronto-Dominion Bank, 0.25%, 1/06/2023 | 1,603,000 | 1,583,453 | ||
UBS Group AG, 3.491%, 5/23/2023 (n) | 5,533,000 | 5,540,258 | ||
UBS Group AG, 1.008% to 7/30/2023, FLR (CMT - 1yr. + 0.83%) to 7/30/2024 (n) | 1,470,000 | 1,427,124 | ||
UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n) | 2,872,000 | 2,617,453 | ||
Wells Fargo & Co., 2.164% to 2/11/2025, FLR (LIBOR - 3mo. + 0.75%) to 2/11/2026 | 2,912,000 | 2,762,293 | ||
Wells Fargo & Co., 3.526% to 3/24/2027, FLR (SOFR - 1 day + 1.51%) to 3/24/2028 | 4,336,000 | 4,161,995 | ||
$ 89,181,292 | ||||
Medical & Health Technology & Services – 0.8% | ||||
HCA Healthcare, Inc., 3.125%, 3/15/2027 (n) | $ | 1,326,000 | $ 1,247,025 | |
HCA, Inc., 5%, 3/15/2024 | 2,522,000 | 2,580,644 | ||
Thermo Fisher Scientific, Inc., 1.215%, 10/18/2024 | 4,500,000 | 4,269,069 | ||
$ 8,096,738 | ||||
Metals & Mining – 0.8% | ||||
Anglo American Capital PLC, 4.75%, 4/10/2027 (n) | $ | 1,111,000 | $ 1,114,051 | |
Glencore Funding LLC, 3%, 10/27/2022 (n) | 610,000 | 611,269 | ||
Glencore Funding LLC, 4.125%, 3/12/2024 (n) | 1,280,000 | 1,285,493 | ||
Glencore Funding LLC, 4.625%, 4/29/2024 (n) | 791,000 | 800,388 | ||
Glencore Funding LLC, 1.625%, 9/01/2025 (n) | 3,000,000 | 2,757,770 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Metals & Mining – continued | ||||
Glencore Funding LLC, 1.625%, 4/27/2026 (n) | $ | 1,875,000 | $ 1,697,152 | |
$ 8,266,123 | ||||
Midstream – 1.1% | ||||
Enbridge, Inc., 2.5%, 2/14/2025 | $ | 1,724,000 | $ 1,670,077 | |
Energy Transfer Operating Co., 2.9%, 5/15/2025 | 944,000 | 911,176 | ||
Gray Oak Pipeline LLC, 2%, 9/15/2023 (n) | 1,624,000 | 1,589,198 | ||
MPLX LP, 3.5%, 12/01/2022 | 2,416,000 | 2,427,606 | ||
MPLX LP, 3.375%, 3/15/2023 | 471,000 | 472,702 | ||
Plains All American Pipeline LP, 3.85%, 10/15/2023 | 750,000 | 751,811 | ||
Western Midstream Operating LP, 3.6%, 2/01/2025 | 1,209,000 | 1,156,179 | ||
Western Midstream Operating LP, FLR, 2.621% (LIBOR - 3mo. + 0.85%), 1/13/2023 | 1,727,000 | 1,701,095 | ||
$ 10,679,844 | ||||
Mortgage-Backed – 0.5% | ||||
Fannie Mae, 4.5%, 4/01/2024 - 5/01/2025 | $ | 43,362 | $ 44,233 | |
Fannie Mae, 3%, 12/01/2031 | 310,436 | 308,976 | ||
Fannie Mae, 2%, 5/25/2044 | 258,350 | 254,038 | ||
Freddie Mac, 1.031%, 4/25/2024 (i) | 100,193 | 1,471 | ||
Freddie Mac, 4%, 7/01/2025 | 60,236 | 61,349 | ||
Freddie Mac, 1.697%, 4/25/2030 (i) | 6,402,999 | 642,529 | ||
Freddie Mac, 3%, 4/15/2033 - 6/15/2045 | 2,832,450 | 2,769,641 | ||
Freddie Mac, 2%, 7/15/2042 | 498,721 | 472,234 | ||
$ 4,554,471 | ||||
Municipals – 1.5% | ||||
California Earthquake Authority Rev., Taxable, “B”, 1.327%, 7/01/2022 | $ | 785,000 | $ 785,297 | |
California Earthquake Authority Rev., Taxable, “B”, 1.477%, 7/01/2023 | 555,000 | 548,402 | ||
California Municipal Finance Authority Rev., Taxable (Century Housing Corp.), 1.486%, 11/01/2022 | 255,000 | 254,786 | ||
California Municipal Finance Authority Rev., Taxable (Century Housing Corp.), 1.605%, 11/01/2023 | 305,000 | 299,321 | ||
Illinois Sales Tax Securitization Corp., Second Lien, Taxable, “B”, BAM, 2.128%, 1/01/2023 | 430,000 | 428,859 | ||
Illinois Sales Tax Securitization Corp., Second Lien, Taxable, “B”, BAM, 2.225%, 1/01/2024 | 1,030,000 | 1,010,602 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 1.904%, 7/01/2023 | 115,000 | 113,750 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.156%, 7/01/2024 | 320,000 | 310,921 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Municipals – continued | ||||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.306%, 7/01/2025 | $ | 250,000 | $ 239,166 | |
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.562%, 7/01/2026 | 315,000 | 299,549 | ||
Michigan Finance Authority Tobacco Settlement Asset-Backed Rev., Taxable (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 1,008,575 | 965,257 | ||
New Jersey Economic Development Authority Rev., School Facilities Construction, Taxable, “HHH”, 3.75%, 9/01/2022 (n) | 3,650,000 | 3,672,042 | ||
New Jersey Economic Development Authority State Pension Funding Rev., Capital Appreciation, Taxable, “B”, AGM, 0%, 2/15/2023 | 3,058,000 | 3,003,172 | ||
New Jersey Transportation Trust Fund Authority, Transportation System, Taxable, “B”, 2.384%, 6/15/2022 | 460,000 | 460,387 | ||
New Jersey Transportation Trust Fund Authority, Transportation System, Taxable, “B”, 2.551%, 6/15/2023 | 475,000 | 472,332 | ||
New Jersey Transportation Trust Fund Authority, Transportation System, Taxable, “B”, 2.631%, 6/15/2024 | 450,000 | 440,556 | ||
Port Authority of NY & NJ, Taxable, “AAA”, 1.086%, 7/01/2023 | 1,635,000 | 1,603,896 | ||
Texas Transportation Commission, Central Texas Turnpike System First Tier Refunding Rev., Taxable, “B”, 1.98%, 8/15/2042 | 695,000 | 694,181 | ||
$ 15,602,476 | ||||
Natural Gas - Distribution – 0.2% | ||||
CenterPoint Energy Resources Corp., 0.7%, 3/02/2023 | $ | 2,491,000 | $ 2,438,654 | |
Natural Gas - Pipeline – 0.4% | ||||
APT Pipelines Ltd., 4.2%, 3/23/2025 (n) | $ | 4,308,000 | $ 4,317,004 | |
Network & Telecom – 0.5% | ||||
AT&T, Inc., 0.9%, 3/25/2024 | $ | 4,742,000 | $ 4,554,547 | |
Oils – 0.1% | ||||
Valero Energy Corp., 1.2%, 3/15/2024 | $ | 1,400,000 | $ 1,335,532 | |
Other Banks & Diversified Financials – 1.5% | ||||
American Express Co., 2.25%, 3/04/2025 | $ | 959,000 | $ 924,858 | |
Banque Federative du Credit Mutuel S.A., 0.65%, 2/27/2024 (n) | 3,117,000 | 2,963,768 | ||
Groupe BPCE S.A., 4%, 9/12/2023 (n) | 1,193,000 | 1,199,681 | ||
Groupe BPCE S.A., FLR, 2.042% (LIBOR - 3mo. + 1.24%), 9/12/2023 (n) | 1,193,000 | 1,202,663 | ||
Macquarie Group Ltd., 1.201% to 10/14/2024, FLR (SOFR - 1 day + 0.694%) to 10/14/2025 (n) | 2,522,000 | 2,355,306 | ||
Macquarie Group Ltd., 1.34% to 1/12/2026, FLR (SOFR - 1 day + 1.069%) to 1/12/2027 (n) | 2,132,000 | 1,892,910 | ||
National Bank of Canada, 2.15%, 10/07/2022 (n) | 1,305,000 | 1,305,442 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Other Banks & Diversified Financials – continued | ||||
National Bank of Canada, 0.9% to 8/15/2022, FLR (CMT - 1yr. + 0.77%) to 8/15/2023 | $ | 1,723,000 | $ 1,714,626 | |
National Bank of Canada, 0.55% to 11/15/2023, FLR (CMT - 1yr. + 0.4%) to 11/15/2024 | 1,562,000 | 1,494,374 | ||
$ 15,053,628 | ||||
Pharmaceuticals – 0.4% | ||||
Royalty Pharma PLC, 0.75%, 9/02/2023 | $ | 2,468,000 | $ 2,388,541 | |
Viatris, Inc., 1.125%, 6/22/2022 | 1,763,000 | 1,760,685 | ||
$ 4,149,226 | ||||
Railroad & Shipping – 0.3% | ||||
Canadian Pacific Railway Co., 1.35%, 12/02/2024 | $ | 3,449,000 | $ 3,266,889 | |
Real Estate - Office – 0.1% | ||||
Corporate Office Property LP, REIT, 2.25%, 3/15/2026 | $ | 1,172,000 | $ 1,087,009 | |
Retailers – 0.6% | ||||
Alibaba Group Holding Ltd., 2.8%, 6/06/2023 | $ | 1,506,000 | $ 1,498,094 | |
Kohl's Corp., 9.5%, 5/15/2025 | 2,962,000 | 3,323,329 | ||
Nordstrom, Inc., 2.3%, 4/08/2024 | 928,000 | 888,560 | ||
$ 5,709,983 | ||||
Specialty Stores – 0.2% | ||||
Genuine Parts Co., 1.75%, 2/01/2025 | $ | 1,456,000 | $ 1,382,474 | |
Ross Stores, Inc., 0.875%, 4/15/2026 | 1,034,000 | 924,868 | ||
$ 2,307,342 | ||||
Telecommunications - Wireless – 0.8% | ||||
Crown Castle International Corp., 3.15%, 7/15/2023 | $ | 680,000 | $ 679,508 | |
Crown Castle International Corp., REIT, 1.35%, 7/15/2025 | 546,000 | 503,480 | ||
Crown Castle International Corp., REIT, 2.9%, 3/15/2027 | 497,000 | 465,321 | ||
Rogers Communications, Inc., 3.2%, 3/15/2027 (n) | 4,000,000 | 3,806,885 | ||
T-Mobile USA, Inc., 3.5%, 4/15/2025 | 2,831,000 | 2,790,851 | ||
$ 8,246,045 | ||||
Tobacco – 0.3% | ||||
B.A.T. Capital Corp., 3.222%, 8/15/2024 | $ | 1,631,000 | $ 1,608,331 | |
Imperial Tobacco Finance PLC, 3.75%, 7/21/2022 (n) | 755,000 | 755,242 | ||
Philip Morris International, Inc., 1.125%, 5/01/2023 | 805,000 | 792,370 | ||
$ 3,155,943 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Transportation - Services – 0.9% | ||||
Element Fleet Management Corp., 1.6%, 4/06/2024 (n) | $ | 7,078,000 | $ 6,797,198 | |
ERAC USA Finance LLC, 2.7%, 11/01/2023 (n) | 1,087,000 | 1,078,348 | ||
ERAC USA Finance LLC, 3.85%, 11/15/2024 (n) | 762,000 | 767,163 | ||
ERAC USA Finance LLC, 3.8%, 11/01/2025 (n) | 762,000 | 765,018 | ||
$ 9,407,727 | ||||
U.S. Treasury Obligations – 12.6% | ||||
U.S. Treasury Notes, 0.125%, 10/15/2023 | $ | 116,159,000 | $ 112,225,168 | |
U.S. Treasury Notes, 1.5%, 11/30/2024 | 16,202,000 | 15,657,714 | ||
$ 127,882,882 | ||||
Utilities - Electric Power – 1.7% | ||||
Emera US Finance LP, 0.833%, 6/15/2024 | $ | 1,181,000 | $ 1,106,224 | |
ENGIE Energía Chile S.A., 4.5%, 1/29/2025 (n) | 3,214,000 | 3,238,137 | ||
Exelon Corp., 2.75%, 3/15/2027 (n) | 1,525,000 | 1,440,720 | ||
FirstEnergy Corp., 2.05%, 3/01/2025 | 1,344,000 | 1,266,720 | ||
FirstEnergy Corp., 1.6%, 1/15/2026 | 818,000 | 747,284 | ||
NextEra Energy, Inc., 0.65%, 3/01/2023 | 1,950,000 | 1,918,617 | ||
Pacific Gas & Electric Co., 1.75%, 6/16/2022 | 714,000 | 713,516 | ||
Pacific Gas & Electric Co., 1.367%, 3/10/2023 | 764,000 | 752,751 | ||
Pacific Gas & Electric Co., 1.7%, 11/15/2023 | 953,000 | 925,523 | ||
Pacific Gas & Electric Co., 3.25%, 2/16/2024 | 3,919,000 | 3,865,995 | ||
WEC Energy Group, Inc., 0.8%, 3/15/2024 | 1,138,000 | 1,082,648 | ||
$ 17,058,135 | ||||
Total Bonds (Identified Cost, $649,539,202) | $ 627,657,658 | |||
Investment Companies (h) – 18.2% | ||||
Money Market Funds – 18.2% | ||||
MFS Institutional Money Market Portfolio, 0.28% (v) (Identified Cost, $185,469,838) | 185,471,401 | $ 185,471,401 | ||
Short-Term Obligations (s)(y) – 3.0% | ||||
Freddie Mac, 0%, due 5/02/2022 (Identified Cost, $30,671,872) | $ | 30,672,000 | $ 30,672,000 | |
Other Assets, Less Liabilities – 17.0% | 172,529,728 | |||
Net Assets – 100.0% | $ 1,016,330,787 |
(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 $185,471,401 and $658,329,658, 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 $256,314,069, representing 25.2% of net assets. |
(s) | All or a portion of security is held by a wholly-owned subsidiary. See Note 2 of the Notes to Consolidated Financial Statements for details of the wholly-owned subsidiary. |
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
(y) | The rate quoted is the annualized one-day yield of the fund at period end. |
(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 |
ACRES 2021-FL2 Issuer Ltd., “B”, FLR, 2.804% (LIBOR - 1mo. + 2.25%), 1/15/2037 | 12/07/21 | $1,527,500 | $1,507,166 |
MF1 2020-FL3 Ltd., “B”, FLR, 4.373% (LIBOR - 1mo. + 3.75%), 7/15/2035 | 6/12/20 | 205,000 | 206,092 |
MF1 2020-FL3 Ltd., “C”, FLR, 5.123% (LIBOR - 1mo. + 4.5%), 7/15/2035 | 6/12/20 | 293,000 | 297,003 |
Total Restricted Securities | $2,010,261 | ||
% of Net assets | 0.2% |
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. |
BCOMCOT | Bloomberg Brent Crude Subindex Total Return, this index is composed of futures contracts on brent crude. |
BCOMCTTR | Bloomberg Cotton Subindex Total Return, this index is composed of futures contracts on cotton. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
BCOMF3T | Bloomberg Commodity Index 3 Month Forward Total Return, this index is composed of longer-dated futures contracts on 19 physical commodities. |
BCOMFCT | Bloomberg Feeder Cattle Subindex Total Return, this index is comprised of futures contracts on feeder cattle. It is quoted in USD. |
BCOMGCTR | Bloomberg Gold Subindex Total Return, this index is composed of futures contracts on gold. |
BCOMGOT | Bloomberg Gas and Oil Subindex Total Return, this index is composed of futures contracts on gas and oil. |
BCOMHGTR | Bloomberg Copper Subindex Total Return, this index is composed of futures contracts on copper. |
BCOMHOTR | Bloomberg Heating Oil Subindex Total Return, this index is composed of futures contracts on heating oil. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
BCOMKWT | Bloomberg Kansas Wheat Subindex Total Return, this index is composed of futures contracts on wheat and Kansas wheat. It is quoted in USD. |
BCOMLCTR | Bloomberg Live Cattle Subindex Total Return, this index is composed of futures contracts on live cattle. |
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. |
BCOMPLTR | Bloomberg Platinum Subindex Total Return |
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. |
BCOMSMT | Bloomberg Soybean Meal Subindex Total Return, this index is composed of futures contracts on soybean meal. |
BCOMTR | Bloomberg Commodity Index Total Return |
BCOMWHTR | Bloomberg Wheat Subindex Total Return, this index is composed of futures contracts on wheat. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
LIBOR | London Interbank Offered Rate |
MLCILPRT | Merrill Lynch International Bloomberg Commodity Index Total Return |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
SPGCCCTR | S&P GSCI Cocoa Index Total Return |
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 | ||||||||||
8/31/22 | USD | 6,354,399 (Short) | Merrill Lynch International | 3 month T-Bill + 0.03% | BCOMSITR (floating rate) | $3,484 | $— | $3,484 | ||
11/30/22 | USD | 12,688,246 (Short) | Goldman Sachs International | 3 month T-Bill + 0.045% | BCOMGCTR (floating rate) | 6,547 | — | 6,547 | ||
1/13/23 | USD | 11,035,824 (Short) | Morgan Stanley | 3 month T-Bill + 0.03% | SPGCCCTR (floating rate) | 5,828 | — | 5,828 | ||
1/13/23 | USD | 10,500,814 (Short) | Citibank N.A. | 3 month T-Bill + 0.03% | BCOMLCTR (floating rate) | 5,448 | — | 5,448 | ||
2/28/23 | USD | 13,429,392 (Short) | Morgan Stanley | 3 month T-Bill + 0.01% | BCOMSMT (floating rate) | 7,154 | — | 7,154 | ||
3/15/23 | USD | 11,080,630 (Short) | Morgan Stanley | 3 month T-Bill - 0.08% | BCOMPLTR (floating rate) | 6,004 | — | 6,004 | ||
4/11/23 | USD | 12,241,441 (Short) | Morgan Stanley | 3 month T-Bill + 0.00% | BCOMFCT (floating rate) | 6,646 | — | 6,646 | ||
4/28/23 | USD | 11,472,531 (Short) | Merrill Lynch International | 3 month T-Bill - 0.08% | BCOMHGTR (floating rate) | 6,342 | — | 6,342 | ||
5/14/23 | USD | 4,380,781 (Short) | JPMorgan Chase Bank N.A. | 3 month T-Bill - 0.05% | BCOMBOTR (floating rate) | 1,209 | — | 1,209 | ||
5/15/23 | USD | 3,824,798 (Short) | JPMorgan Chase Bank N.A. | 3 month T-Bill - 0.05% | BCOMWHTR (floating rate) | 1,374 | — | 1,374 | ||
5/15/23 | USD | 3,832,173 (Short) | Goldman Sachs International | 3 month T-Bill + 0.05% | BCOMNITR (floating rate) | 1,375 | — | 1,375 | ||
5/15/23 | USD | 3,823,340 (Short) | JPMorgan Chase Bank N.A. | 3 month T-Bill - 0.05% | BCOMKWT (floating rate) | 1,375 | — | 1,375 | ||
5/26/23 | USD | 43,397,696 (Long) | Merrill Lynch International | 3 month T-Bill + 0.07% | BCOMTR (floating rate) | 389,362 | — | 389,362 | ||
$442,148 | $— | $442,148 | ||||||||
Liability Derivatives | ||||||||||
Total Return Swaps | ||||||||||
5/27/22 | USD | 10,756,994 (Long) | Merrill Lynch International | BCOMLHTR (floating rate) | 3 month T-Bill + 0.075% | $(6,779) | $— | $(6,779) | ||
5/27/22 | USD | 113,959,022 (Long) | Goldman Sachs International | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (62,812) | — | (62,812) |
Uncleared Swap Agreements - continued | ||||||||
Maturity Date | Notional Amount | Counterparty | Cash Flows to Receive (Monthly) | Cash Flows to Pay (Monthly) | Unrealized Appreciation (Depreciation) | Net Unamortized Upfront Payments (Receipts) | Value | |
Liability Derivatives - continued | ||||||||
Total Return Swaps - continued | ||||||||
6/17/22 | USD | 44,087,884 (Long) | Goldman Sachs International | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | $(24,299) | $— | $(24,299) |
6/17/22 | USD | 39,722,742 (Long) | JPMorgan Chase Bank N.A. | BCOMTR (floating rate) | 3 month T-Bill + 0.07% | (21,057) | — | (21,057) |
6/17/22 | USD | 44,087,884 (Long) | Citibank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (24,299) | — | (24,299) |
6/17/22 | USD | 44,087,884 (Long) | JPMorgan Chase Bank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (24,299) | — | (24,299) |
8/26/22 | USD | 157,783,786 (Long) | Merrill Lynch International | MLCILPRT (a) (floating rate) | 3 month T-Bill + 0.14% | (91,598) | — | (91,598) |
8/31/22 | USD | 30,648,749 (Long) | JPMorgan Chase Bank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | (16,889) | — | (16,889) |
10/21/22 | USD | 23,929,362 (Long) | JPMorgan Chase Bank N.A. | BCOMTR (floating rate) | 3 month T-Bill + 0.07% | (12,685) | — | (12,685) |
10/21/22 | USD | 153,024,206 (Long) | Merrill Lynch International | MLCILPRT (a) (floating rate) | 3 month T-Bill + 0.13% | (87,670) | — | (87,670) |
11/04/22 | USD | 13,821,305 (Long) | JPMorgan Chase Bank N.A. | BCOMRBTR (floating rate) | 3 month T-Bill + 0.08% | (7,080) | — | (7,080) |
11/30/22 | USD | 47,149,387 (Long) | Merrill Lynch International | MLCILPRT (a) (floating rate) | 3 month T-Bill + 0.13% | (27,013) | — | (27,013) |
11/30/22 | USD | 29,617,688 (Long) | Citibank N.A. | BCOMTR (floating rate) | 3 month T-Bill + 0.10% | (16,381) | — | (16,381) |
11/30/22 | USD | 61,703,518 (Long) | Goldman Sachs International | BCOMTR (floating rate) | 3 month T-Bill + 0.09% | (33,653) | — | (33,653) |
11/30/22 | USD | 123,407,035 (Long) | JPMorgan Chase Bank N.A. | BCOMTR (floating rate) | 3 month T-Bill + 0.07% | (65,418) | — | (65,418) |
2/28/23 | USD | 24,550,993 (Long) | Goldman Sachs International | BCOMTR (floating rate) | 3 month T-Bill + 0.08% | (13,202) | — | (13,202) |
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 | ||||||||||
3/15/23 | USD | 15,362,287 (Long) | JPMorgan Chase Bank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.10% | $(8,470) | $— | $(8,470) | ||
3/15/23 | USD | 14,642,790 (Long) | Morgan Stanley | BCOMCTTR (floating rate) | 3 month T-Bill + 0.15% | (8,305) | — | (8,305) | ||
4/11/23 | USD | 26,293,927 (Long) | JPMorgan Chase Bank N.A. | BCOMF3T (floating rate) | 3 month T-Bill + 0.00% | (14,365) | — | (14,365) | ||
4/11/23 | USD | 26,293,927 (Long) | Merrill Lynch International | BCOMF3T (floating rate) | 3 month T-Bill + 0.00% | (14,413) | — | (14,413) | ||
4/28/23 | USD | 10,026,022 (Long) | Merrill Lynch International | BCOMCLTR (floating rate) | 3 month T-Bill + 0.05% | (5,172) | — | (5,172) | ||
4/28/23 | USD | 12,037,012 (Long) | Merrill Lynch International | BCOMNGTR (floating rate) | 3 month T-Bill + 0.05% | (5,054) | — | (5,054) | ||
5/12/23 | USD | 8,448,617 (Long) | Merrill Lynch International | BCOMHOTR (floating rate) | 3 month T-Bill + 0.06% | (2,783) | — | (2,783) | ||
5/12/23 | USD | 8,553,065 (Long) | Merrill Lynch International | BCOMGOT (floating rate) | 3 month T-Bill + 0.06% | (2,784) | — | (2,784) | ||
5/12/23 | USD | 11,607,734 (Long) | Merrill Lynch International | BCOMCOT (floating rate) | 3 month T-Bill + 0.06% | (4,167) | — | (4,167) | ||
$(600,647) | $— | $(600,647) |
(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: $157,783,786* | Notional Amount: $153,024,206* | Notional Amount: $47,149,387* |
Long Futures Contracts | ||||
Soybean Oil - July 2022 | 3.6% | 5,680,216 | 5,508,871 | 1,697,378 |
Referenced Commodity Futures Contracts | % of Notional | Notional Amount: $157,783,786* | Notional Amount: $153,024,206* | Notional Amount: $47,149,387* |
Corn - July 2022 | 5.9% | 9,309,243 | 9,028,428 | 2,781,814 |
WTI - July 2022 | 8.3% | 13,096,054 | 12,701,009 | 3,913,399 |
Brent - July 2022 | 1.9% | 2,997,892 | 2,907,460 | 895,838 |
Brent - Sept 2022 | 5.1% | 8,046,973 | 7,804,235 | 2,404,619 |
Cotton - July 2022 | 1.5% | 2,366,757 | 2,295,363 | 707,241 |
Gold - June 2022 | 3.4% | 5,364,649 | 5,202,823 | 1,603,079 |
Gold - Aug 2022 | 9.3% | 14,673,892 | 14,231,251 | 4,384,893 |
Copper Comex - July 2022 | 4.3% | 6,784,703 | 6,580,041 | 2,027,424 |
Heating Oil - July 2022 | 2.4% | 3,786,811 | 3,672,581 | 1,131,585 |
Coffee - July 2022 | 2.1% | 3,313,460 | 3,213,508 | 990,137 |
Kansas Wheat - July 2022 | 1.9% | 2,997,892 | 2,907,460 | 895,838 |
Aluminum - July 2022 | 3.5% | 5,522,433 | 5,355,847 | 1,650,229 |
Live Cattle - June 2022 | 0.7% | 1,104,487 | 1,071,169 | 330,046 |
Live Cattle - Aug 2022 | 2.0% | 3,155,676 | 3,060,484 | 942,988 |
Lean Hogs - June 2022 | 0.5% | 788,919 | 765,121 | 235,747 |
Lean Hogs - July 2022 | 1.3% | 2,051,189 | 1,989,315 | 612,942 |
Nickel - July 2022 | 3.3% | 5,206,865 | 5,049,799 | 1,555,930 |
Zinc - July 2022 | 2.8% | 4,417,946 | 4,284,678 | 1,320,183 |
Natural Gas - July 2022 | 12.6% | 19,880,755 | 19,281,050 | 5,940,823 |
Gasoil - July 2022 | 3.3% | 5,206,865 | 5,049,799 | 1,555,930 |
Soybeans - July 2022 | 5.5% | 8,678,108 | 8,416,331 | 2,593,216 |
Sugar - July 2022 | 2.3% | 3,629,027 | 3,519,557 | 1,084,436 |
Silver - July 2022 | 3.9% | 6,153,568 | 5,967,944 | 1,838,826 |
Soybean Meal - July 2022 | 2.9% | 4,575,730 | 4,437,702 | 1,367,332 |
Wheat - July 2022 | 3.2% | 5,049,081 | 4,896,775 | 1,508,780 |
Gasoline RBOB - July 2022 | 2.5% | 3,944,595 | 3,825,605 | 1,178,734 |
100.0% | $157,783,786 | $153,024,206 | $47,149,387 | |
* 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, $680,211,074) | $658,329,658 |
Investments in affiliated issuers, at value (identified cost, $185,469,838) | 185,471,401 |
Cash | 80,229,324 |
Restricted cash for | |
Uncleared swaps | 49,553,185 |
Receivables for | |
Due from uncleared swap brokers | 54,937,673 |
Fund shares sold | 270,892 |
Interest | 2,695,305 |
Uncleared swaps, at value | 442,148 |
Other assets | 1,924 |
Total assets | $1,031,931,510 |
Liabilities | |
Payables for | |
Distributions | $306 |
Due to uncleared swap brokers | 2,206,485 |
Investments purchased | 35,564 |
Fund shares reacquired | 12,577,574 |
Uncleared swaps, at value | 600,647 |
Payable to affiliates | |
Investment adviser | 62,042 |
Administrative services fee | 1,493 |
Shareholder servicing costs | 4,022 |
Distribution and service fees | 434 |
Payable for independent Trustees' compensation | 2,133 |
Accrued expenses and other liabilities | 110,023 |
Total liabilities | $15,600,723 |
Net assets | $1,016,330,787 |
Net assets consist of | |
Paid-in capital | $1,207,609,768 |
Total distributable earnings (loss) | (191,278,981) |
Net assets | $1,016,330,787 |
Shares of beneficial interest outstanding | 180,402,561 |
Net assets | Shares outstanding | Net asset value per share (a) | |
Class A | $12,903,366 | 2,298,003 | $5.62 |
Class B | 130,317 | 23,301 | 5.59 |
Class C | 1,819,056 | 327,441 | 5.56 |
Class I | 10,829,855 | 1,920,085 | 5.64 |
Class R1 | 79,545 | 14,193 | 5.60 |
Class R2 | 89,597 | 15,954 | 5.62 |
Class R3 | 81,791 | 14,543 | 5.62 |
Class R4 | 82,545 | 14,661 | 5.63 |
Class R6 | 990,314,715 | 175,774,380 | 5.63 |
(a) | Maximum offering price per share was equal to the net asset value per share for all share classes, except for Class A, for which the maximum offering price per share was $5.96 [100 / 94.25 x $5.62]. 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 | $4,030,806 |
Dividends from affiliated issuers | 83,762 |
Other | 9,442 |
Total investment income | $4,124,010 |
Expenses | |
Management fee | $3,585,009 |
Distribution and service fees | 15,969 |
Shareholder servicing costs | 8,277 |
Administrative services fee | 71,896 |
Independent Trustees' compensation | 7,026 |
Custodian fee | 29,008 |
Shareholder communications | 4,202 |
Audit and tax fees | 45,927 |
Legal fees | 9,545 |
Miscellaneous | 110,390 |
Total expenses | $3,887,249 |
Reduction of expenses by investment adviser and distributor | (66,889) |
Net expenses | $3,820,360 |
Net investment income (loss) | $303,650 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers | $(1,768,641) |
Swap agreements | 255,300,126 |
Net realized gain (loss) | $253,531,485 |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $(24,941,775) |
Affiliated issuers | (1) |
Swap agreements | 2,653,326 |
Net unrealized gain (loss) | $(22,288,450) |
Net realized and unrealized gain (loss) | $231,243,035 |
Change in net assets from operations | $231,546,685 |
Six months ended | Year ended | |
4/30/22 (unaudited) | 10/31/21 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $303,650 | $3,819,380 |
Net realized gain (loss) | 253,531,485 | 321,283,391 |
Net unrealized gain (loss) | (22,288,450) | (8,106,592) |
Change in net assets from operations | $231,546,685 | $316,996,179 |
Total distributions to shareholders | $(323,000,068) | $(7,000,067) |
Change in net assets from fund share transactions | $170,941,910 | $(64,757,668) |
Total change in net assets | $79,488,527 | $245,238,444 |
Net assets | ||
At beginning of period | 936,842,260 | 691,603,816 |
At end of period | $1,016,330,787 | $936,842,260 |
Class A | Six months ended | Year ended | ||||
4/30/22 (unaudited) | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $7.02 | $4.85 | $5.32 | $5.65 | $6.00 | $5.89 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $(0.01) | $0.00(w) | $0.04 | $0.10 | $0.07 | $0.03(c) |
Net realized and unrealized gain (loss) | 1.00 | 2.21 | (0.42) | (0.27) | (0.25) | 0.10 |
Total from investment operations | $0.99 | $2.21 | $(0.38) | $(0.17) | $(0.18) | $0.13 |
Less distributions declared to shareholders | ||||||
From net investment income | $(2.39) | $(0.04) | $(0.09) | $(0.16) | $(0.17) | $(0.02) |
Net asset value, end of period (x) | $5.62 | $7.02 | $4.85 | $5.32 | $5.65 | $6.00 |
Total return (%) (r)(s)(t)(x) | 26.11(n) | 45.84 | (7.24) | (2.96) | (2.98) | 2.25(c) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 1.15(a) | 1.15 | 1.13 | 1.10 | 1.09 | 1.06(c) |
Expenses after expense reductions | 1.13(a) | 1.14 | 1.12 | 1.09 | 1.08 | 1.05(c) |
Net investment income (loss) | (0.31)(a) | 0.07 | 0.94 | 1.86 | 1.22 | 0.58(c) |
Portfolio turnover | 14(n) | 28 | 57 | 64 | 72 | 51 |
Net assets at end of period (000 omitted) | $12,903 | $4,921 | $1,041 | $321 | $63 | $49 |
Class B | Six months ended | Year ended | |||
4/30/22 (unaudited) | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $6.96 | $4.81 | $5.28 | $5.64 | $5.71 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $(0.03) | $(0.04) | $0.01 | $0.06 | $0.02 |
Net realized and unrealized gain (loss) | 1.00 | 2.20 | (0.43) | (0.26) | (0.09) |
Total from investment operations | $0.97 | $2.16 | $(0.42) | $(0.20) | $(0.07) |
Less distributions declared to shareholders | |||||
From net investment income | $(2.34) | $(0.01) | $(0.05) | $(0.16) | $— |
Net asset value, end of period (x) | $5.59 | $6.96 | $4.81 | $5.28 | $5.64 |
Total return (%) (r)(s)(t)(x) | 25.49(n) | 44.93 | (8.10) | (3.68) | (1.23)(n) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 1.90(a) | 1.89 | 1.87 | 1.84 | 1.94(a) |
Expenses after expense reductions | 1.88(a) | 1.88 | 1.86 | 1.83 | 1.93(a) |
Net investment income (loss) | (1.04)(a) | (0.65) | 0.23 | 1.13 | 1.34(a) |
Portfolio turnover | 14(n) | 28 | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $130 | $98 | $60 | $48 | $52 |
Class C | Six months ended | Year ended | |||
4/30/22 (unaudited) | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $6.94 | $4.80 | $5.28 | $5.64 | $5.71 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $(0.03) | $(0.04) | $0.01 | $0.06 | $0.02 |
Net realized and unrealized gain (loss) | 1.00 | 2.19 | (0.43) | (0.27) | (0.09) |
Total from investment operations | $0.97 | $2.15 | $(0.42) | $(0.21) | $(0.07) |
Less distributions declared to shareholders | |||||
From net investment income | $(2.35) | $(0.01) | $(0.06) | $(0.15) | $— |
Net asset value, end of period (x) | $5.56 | $6.94 | $4.80 | $5.28 | $5.64 |
Total return (%) (r)(s)(t)(x) | 25.71(n) | 44.77 | (8.07) | (3.69) | (1.23)(n) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 1.90(a) | 1.90 | 1.88 | 1.84 | 1.94(a) |
Expenses after expense reductions | 1.89(a) | 1.88 | 1.87 | 1.83 | 1.93(a) |
Net investment income (loss) | (1.04)(a) | (0.66) | 0.20 | 1.12 | 1.41(a) |
Portfolio turnover | 14(n) | 28 | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $1,819 | $1,095 | $435 | $93 | $49 |
Class I | Six months ended | Year ended | ||||
4/30/22 (unaudited) | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $7.04 | $4.86 | $5.32 | $5.65 | $6.00 | $5.90 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $(0.00) | $0.02 | $0.06 | $0.11 | $0.09 | $0.05(c) |
Net realized and unrealized gain (loss) | 1.00 | 2.21 | (0.42) | (0.26) | (0.25) | 0.09 |
Total from investment operations | $1.00 | $2.23 | $(0.36) | $(0.15) | $(0.16) | $0.14 |
Less distributions declared to shareholders | ||||||
From net investment income | $(2.40) | $(0.05) | $(0.10) | $(0.18) | $(0.19) | $(0.04) |
Net asset value, end of period (x) | $5.64 | $7.04 | $4.86 | $5.32 | $5.65 | $6.00 |
Total return (%) (r)(s)(t)(x) | 26.17(n) | 46.19 | (6.90) | (2.75) | (2.73) | 2.32(c) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 0.90(a) | 0.90 | 0.89 | 0.84 | 0.85 | 0.82(c) |
Expenses after expense reductions | 0.89(a) | 0.89 | 0.88 | 0.83 | 0.84 | 0.81(c) |
Net investment income (loss) | (0.05)(a) | 0.30 | 1.17 | 2.13 | 1.45 | 0.83(c) |
Portfolio turnover | 14(n) | 28 | 57 | 64 | 72 | 51 |
Net assets at end of period (000 omitted) | $10,830 | $6,029 | $500 | $135 | $48 | $49 |
Class R1 | Six months ended | Year ended | |||
4/30/22 (unaudited) | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $6.97 | $4.81 | $5.28 | $5.64 | $5.71 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $(0.03) | $(0.04) | $0.01 | $0.06 | $0.02 |
Net realized and unrealized gain (loss) | 1.00 | 2.20 | (0.43) | (0.27) | (0.09) |
Total from investment operations | $0.97 | $2.16 | $(0.42) | $(0.21) | $(0.07) |
Less distributions declared to shareholders | |||||
From net investment income | $(2.34) | $— | $(0.05) | $(0.15) | $— |
Net asset value, end of period (x) | $5.60 | $6.97 | $4.81 | $5.28 | $5.64 |
Total return (%) (r)(s)(t)(x) | 25.44(n) | 44.91 | (8.08) | (3.69) | (1.23)(n) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 1.90(a) | 1.89 | 1.87 | 1.84 | 1.94(a) |
Expenses after expense reductions | 1.88(a) | 1.88 | 1.86 | 1.83 | 1.93(a) |
Net investment income (loss) | (1.03)(a) | (0.63) | 0.26 | 1.14 | 1.35(a) |
Portfolio turnover | 14(n) | 28 | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $80 | $63 | $44 | $48 | $49 |
Class R2 | Six months ended | Year ended | |||
4/30/22 (unaudited) | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $7.00 | $4.83 | $5.30 | $5.65 | $5.71 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $(0.01) | $(0.01) | $0.04 | $0.09 | $0.02 |
Net realized and unrealized gain (loss) | 1.00 | 2.20 | (0.44) | (0.27) | (0.08) |
Total from investment operations | $0.99 | $2.19 | $(0.40) | $(0.18) | $(0.06) |
Less distributions declared to shareholders | |||||
From net investment income | $(2.37) | $(0.02) | $(0.07) | $(0.17) | $— |
Net asset value, end of period (x) | $5.62 | $7.00 | $4.83 | $5.30 | $5.65 |
Total return (%) (r)(s)(t)(x) | 25.99(n) | 45.58 | (7.59) | (3.31) | (1.05)(n) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 1.40(a) | 1.39 | 1.37 | 1.34 | 1.44(a) |
Expenses after expense reductions | 1.38(a) | 1.38 | 1.36 | 1.33 | 1.43(a) |
Net investment income (loss) | (0.53)(a) | (0.13) | 0.75 | 1.64 | 1.86(a) |
Portfolio turnover | 14(n) | 28 | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $90 | $64 | $44 | $48 | $49 |
Class R3 | Six months ended | Year ended | |||
4/30/22 (unaudited) | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $7.02 | $4.84 | $5.31 | $5.65 | $5.71 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $(0.01) | $0.01 | $0.05 | $0.10 | $0.03 |
Net realized and unrealized gain (loss) | 1.00 | 2.20 | (0.43) | (0.27) | (0.09) |
Total from investment operations | $0.99 | $2.21 | $(0.38) | $(0.17) | $(0.06) |
Less distributions declared to shareholders | |||||
From net investment income | $(2.39) | $(0.03) | $(0.09) | $(0.17) | $— |
Net asset value, end of period (x) | $5.62 | $7.02 | $4.84 | $5.31 | $5.65 |
Total return (%) (r)(s)(t)(x) | 25.89(n) | 46.03 | (7.34) | (3.03) | (1.05)(n) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 1.15(a) | 1.14 | 1.12 | 1.09 | 1.19(a) |
Expenses after expense reductions | 1.13(a) | 1.13 | 1.11 | 1.08 | 1.18(a) |
Net investment income (loss) | (0.27)(a) | 0.12 | 1.00 | 1.89 | 2.10(a) |
Portfolio turnover | 14(n) | 28 | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $82 | $65 | $44 | $48 | $49 |
Class R4 | Six months ended | Year ended | |||
4/30/22 (unaudited) | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18(i) | |
Net asset value, beginning of period | $7.03 | $4.85 | $5.32 | $5.65 | $5.71 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $(0.00) | $0.02 | $0.06 | $0.11 | $0.03 |
Net realized and unrealized gain (loss) | 1.00 | 2.21 | (0.43) | (0.26) | (0.09) |
Total from investment operations | $1.00 | $2.23 | $(0.37) | $(0.15) | $(0.06) |
Less distributions declared to shareholders | |||||
From net investment income | $(2.40) | $(0.05) | $(0.10) | $(0.18) | $— |
Net asset value, end of period (x) | $5.63 | $7.03 | $4.85 | $5.32 | $5.65 |
Total return (%) (r)(s)(t)(x) | 26.23(n) | 46.27 | (7.09) | (2.75) | (1.05)(n) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 0.90(a) | 0.89 | 0.87 | 0.84 | 0.94(a) |
Expenses after expense reductions | 0.89(a) | 0.88 | 0.86 | 0.83 | 0.93(a) |
Net investment income (loss) | (0.03)(a) | 0.37 | 1.25 | 2.14 | 2.35(a) |
Portfolio turnover | 14(n) | 28 | 57 | 64 | 72 |
Net assets at end of period (000 omitted) | $83 | $65 | $45 | $48 | $49 |
Class R6 | Six months ended | Year ended | ||||
4/30/22 (unaudited) | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $7.04 | $4.86 | $5.33 | $5.65 | $6.00 | $5.90 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.00 | $0.03 | $0.06 | $0.11 | $0.09 | $0.05(c) |
Net realized and unrealized gain (loss) | 1.00 | 2.20 | (0.43) | (0.25) | (0.25) | 0.09 |
Total from investment operations | $1.00 | $2.23 | $(0.37) | $(0.14) | $(0.16) | $0.14 |
Less distributions declared to shareholders | ||||||
From net investment income | $(2.41) | $(0.05) | $(0.10) | $(0.18) | $(0.19) | $(0.04) |
Net asset value, end of period (x) | $5.63 | $7.04 | $4.86 | $5.33 | $5.65 | $6.00 |
Total return (%) (r)(s)(t)(x) | 26.17(n) | 46.24 | (7.06) | (2.57) | (2.74) | 2.32(c) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 0.81(a) | 0.81 | 0.83 | 0.83 | 0.84 | 0.81(c) |
Expenses after expense reductions | 0.79(a) | 0.80 | 0.82 | 0.82 | 0.83 | 0.80(c) |
Net investment income (loss) | 0.07(a) | 0.46 | 1.28 | 2.15 | 1.46 | 0.83(c) |
Portfolio turnover | 14(n) | 28 | 57 | 64 | 72 | 51 |
Net assets at end of period (000 omitted) | $990,315 | $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. |
(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 | $— | $127,882,882 | $— | $127,882,882 |
Non - U.S. Sovereign Debt | — | 7,750,593 | — | 7,750,593 |
Municipal Bonds | — | 15,602,476 | — | 15,602,476 |
U.S. Corporate Bonds | — | 179,558,549 | — | 179,558,549 |
Residential Mortgage-Backed Securities | — | 7,010,517 | — | 7,010,517 |
Commercial Mortgage-Backed Securities | — | 41,575,635 | — | 41,575,635 |
Asset-Backed Securities (including CDOs) | — | 80,151,070 | — | 80,151,070 |
Foreign Bonds | — | 168,125,936 | — | 168,125,936 |
Short-Term Securities | — | 30,672,000 | — | 30,672,000 |
Mutual Funds | 185,471,401 | — | — | 185,471,401 |
Total | $185,471,401 | $658,329,658 | $— | $843,801,059 |
Other Financial Instruments | ||||
Swap Agreements – Assets | $— | $442,148 | $— | $442,148 |
Swap Agreements – Liabilities | — | (600,647) | — | (600,647) |
Fair Value | |||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
Commodity | Total Return Swaps | $442,148 | $(600,647) |
Risk | Swap Agreements |
Commodity | $255,300,126 |
Risk | Swap Agreements |
Commodity | $2,653,326 |
Gross Amounts of: | Derivative Assets | Derivative Liabilities |
Uncleared Swaps, at value | $442,148 | $(600,647) |
Total Gross Amount of Derivative Assets and Liabilities Presented in the Consolidated Statement of Assets & Liabilities | $442,148 | $(600,647) |
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 | $442,148 | $(600,647) |
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. | $5,448 | $(5,448) | $— | $— | $— |
Goldman Sachs International | 7,922 | (7,922) | — | — | — |
JPMorgan Chase Bank N.A. | 3,958 | (3,958) | — | — | — |
Merrill Lynch International | 399,188 | (247,433) | — | — | 151,755 |
Morgan Stanley | 25,632 | (8,305) | — | — | 17,327 |
Total | $442,148 | $(273,066) | $— | $— | $169,082 |
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. | $(40,680) | $5,448 | $— | $— | $(35,232) |
Goldman Sachs International | (133,966) | 7,922 | — | 126,044 | — |
JPMorgan Chase Bank N.A. | (170,263) | 3,958 | — | 166,305 | — |
Merrill Lynch International | (247,433) | 247,433 | — | — | — |
Morgan Stanley | (8,305) | 8,305 | — | — | — |
Total | $(600,647) | $273,066 | $— | $292,349 | $(35,232) |
(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 | |
Ordinary income (including any short-term capital gains) | $7,000,067 |
As of 4/30/22 | |
Cost of investments | $ 888,140,941 |
Gross appreciation | 8,054,493 |
Gross depreciation | (52,394,375) |
Net unrealized appreciation (depreciation) | $ (44,339,882) |
As of 10/31/21 | |
Undistributed ordinary income | 320,604,833 |
Capital loss carryforwards | (95,100,554) |
Other temporary differences | 88,999,506 |
Net unrealized appreciation (depreciation) | (414,329,383) |
Short-Term | $(74,894,518) |
Long-Term | (20,206,036) |
Total | $(95,100,554) |
Six months ended 4/30/22 | Year ended 10/31/21 | |
Class A | $1,794,716 | $9,339 |
Class B | 32,591 | 98 |
Class C | 375,292 | 570 |
Class I | 1,842,874 | 4,956 |
Class R1 | 21,275 | — |
Class R2 | 23,360 | 208 |
Class R3 | 22,077 | 315 |
Class R4 | 22,351 | 424 |
Class R6 | 318,865,532 | 6,984,157 |
Total | $323,000,068 | $7,000,067 |
Up to $1 billion | 0.75% |
In excess of $1 billion | 0.70% |
Distribution Fee Rate (d) | Service Fee Rate (d) | Total Distribution Plan (d) | Annual Effective Rate (e) | Distribution and Service Fee | |
Class A | — | 0.25% | 0.25% | 0.25% | $ 8,445 |
Class B | 0.75% | 0.25% | 1.00% | 1.00% | 536 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 6,384 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 337 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 181 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 86 |
Total Distribution and Service Fees | $15,969 |
(d) | In accordance with the distribution plan for certain classes, the fund pays distribution and/or service fees equal to these annual percentage rates of each class’s average daily net assets. The distribution and service fee rates disclosed by class represent the current rates in effect at the end of the reporting period. Any rate changes, if applicable, are detailed below. |
(e) | The annual effective rates represent actual fees incurred under the distribution plan for the six months ended April 30, 2022 based on each class's average daily net assets. MFD has voluntarily agreed to rebate a portion of each class's 0.25% service fee attributable to accounts for which there is no financial intermediary specified on the account except for accounts attributable to MFS or its affiliates' seed money. For the six months ended April 30, 2022, this rebate amounted to $84 for Class A and is included in the reduction of total expenses in the Consolidated Statement of Operations. |
Amount | |
Class A | $— |
Class B | — |
Class C | 4 |
Purchases | Sales | |
U.S. Government securities | $— | $29,503,092 |
Non-U.S. Government securities | 140,374,791 | 87,237,504 |
Six months ended 4/30/22 | Year ended 10/31/21 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 1,344,639 | $7,139,443 | 512,320 | $3,128,889 | |
Class B | 3,234 | 15,660 | 8,896 | 53,738 | |
Class C | 98,244 | 508,977 | 77,335 | 460,283 | |
Class I | 1,096,854 | 5,883,227 | 890,561 | 5,176,652 | |
Class R1 | 2 | 5 | — | — | |
Class R2 | 1,159 | 7,124 | — | — | |
Class R3 | 1 | 5 | — | — | |
Class R6 | 3,075,047 | 17,181,330 | 7,523,833 | 41,419,211 | |
5,619,180 | $30,735,771 | 9,012,945 | $50,238,773 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Class A | 423,412 | $1,761,393 | 1,886 | $9,339 | |
Class B | 7,834 | 32,591 | 20 | 98 | |
Class C | 90,870 | 375,292 | 115 | 570 | |
Class I | 440,879 | 1,842,874 | 983 | 4,956 | |
Class R1 | 5,102 | 21,275 | — | — | |
Class R2 | 5,602 | 23,360 | 42 | 208 | |
Class R3 | 5,294 | 22,077 | 63 | 315 | |
Class R4 | 5,359 | 22,351 | 84 | 424 | |
Class R6 | 76,466,554 | 318,865,532 | 1,385,745 | 6,984,157 | |
77,450,906 | $322,966,745 | 1,388,938 | $7,000,067 | ||
Shares reacquired | |||||
Class A | (170,993) | $(758,941) | (28,196) | $(174,521) | |
Class B | (1,891) | (9,782) | (7,245) | (42,300) | |
Class C | (19,403) | (94,121) | (10,357) | (64,225) | |
Class I | (473,926) | (2,620,296) | (138,131) | (892,634) | |
Class R2 | (1) | (4) | — | — | |
Class R6 | (35,024,736) | (179,277,462) | (19,620,559) | (120,822,828) | |
(35,690,950) | $(182,760,606) | (19,804,488) | $(121,996,508) |
Six months ended 4/30/22 | Year ended 10/31/21 | ||||
Shares | Amount | Shares | Amount | ||
Net change | |||||
Class A | 1,597,058 | $8,141,895 | 486,010 | $2,963,707 | |
Class B | 9,177 | 38,469 | 1,671 | 11,536 | |
Class C | 169,711 | 790,148 | 67,093 | 396,628 | |
Class I | 1,063,807 | 5,105,805 | 753,413 | 4,288,974 | |
Class R1 | 5,104 | 21,280 | — | — | |
Class R2 | 6,760 | 30,480 | 42 | 208 | |
Class R3 | 5,295 | 22,082 | 63 | 315 | |
Class R4 | 5,359 | 22,351 | 84 | 424 | |
Class R6 | 44,516,865 | 156,769,400 | (10,710,981) | (72,419,460) | |
47,379,136 | $170,941,910 | (9,402,605) | $(64,757,668) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $133,814,176 | $445,392,325 | $393,735,099 | $— | $(1) | $185,471,401 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $83,762 | $— |
Strategy Fund
Strategy Fund
1 | |
2 | |
4 | |
6 | |
41 | |
43 | |
45 | |
46 | |
55 | |
74 | |
75 | |
75 | |
75 | |
75 | |
75 |
back cover |
Derivative Overlay Positions (b) | |||||
Active Security Selection (a) | Long | Short | Net Market Exposure (c) | ||
Fixed Income | U.S. | 13.9% | 33.7% | (14.9)% | 32.7% |
Asia/Pacific ex-Japan | 0.6% | 8.9% | 0.0% | 9.5% | |
Europe ex-U.K. | 1.9% | 2.9% | 0.0% | 4.8% | |
Emerging Markets | 1.0% | 0.0% | 0.0% | 1.0% | |
Japan | 0.3% | 0.7% | 0.0% | 1.0% | |
North America ex-U.S. | 1.2% | 0.0% | (6.6)% | (5.4)% | |
United Kingdom | 1.0% | 0.0% | (8.9)% | (7.9)% | |
Equity | Europe ex-U.K. | 10.7% | 7.3% | (5.6)% | 12.4% |
U.S. Large Cap | 30.6% | 0.0% | (23.9)% | 6.7% | |
Japan | 3.1% | 0.8% | 0.0% | 3.9% | |
United Kingdom | 3.3% | 0.4% | 0.0% | 3.7% | |
Emerging Markets | 2.4% | 7.8% | (6.8)% | 3.4% | |
North America ex-U.S. | 2.0% | 0.0% | (1.9)% | 0.1% | |
Developed - Middle East/Africa | 0.1% | 0.0% | 0.0% | 0.1% | |
U.S Small/Mid Cap | 17.7% | 0.0% | (17.7)% | 0.0% | |
Asia/Pacific ex-Japan | 1.6% | 1.9% | (5.0)% | (1.5)% | |
Cash | Cash & Cash Equivalents (d) | 9.2% | |||
Other (e) | 26.3% | ||||
USD Interest Rate Swap, Receive 2.57% - JUN 2024 | 20.8% |
USD Interest Rate Swap, Receive 2.54% - JUN 2027 | 12.9% |
Australian Bond 10 yr Future - JUN 2022 | 8.9% |
AEX 25 Index Future - MAY 2022 | (4.7)% |
Canadian Treasury Bond 10yr Future - JUN 2022 | (6.6)% |
U.S. Treasury Note 10 yr Future - JUN 2022 | (7.4)% |
S&P MidCap 400 Index Future - JUN 2022 | (7.9)% |
Long Gilt 10 yr Future - JUN 2022 | (8.9)% |
Russell 2000 Index Future - JUN 2022 | (9.8)% |
S&P 500 E-Mini Index Future - JUN 2022 | (23.9)% |
(a) | Represents the actively managed portion of the portfolio and for purposes of this presentation, components include the value of securities, less any securities sold short. The bond component will include any accrued interest amounts. This also reflects the equivalent exposure of certain derivative positions. These amounts may be negative from time to time. |
(b) | Represents the tactical overlay portion of the portfolio which is how the fund manages its exposure to markets and currencies through the use of derivative positions. Percentages reflect the equivalent exposure of those derivative positions. |
(c) | For purposes of this presentation, the components include the value of securities, less any securities sold short, and reflect the impact of the equivalent exposure of all derivative positions. These amounts may be negative from time to time. The bond component will include any accrued interest amounts. |
(d) | Cash & Cash Equivalents includes any cash, investments in money market funds, short-term securities, and other assets less liabilities. Please see the Statement of Assets and Liabilities for additional information related to the fund’s cash position and other assets and liabilities. |
(e) | Other includes currency derivatives and/or the offsetting of the leverage produced by the fund’s derivative positions, including payables and/or receivables of the finance leg of interest rate swaps and the unrealized gain or loss in connection with forward currency exchange contracts. |
November 1, 2021 through April 30, 2022
Share Class | Annualized Expense Ratio | Beginning Account Value 11/01/21 | Ending Account Value 4/30/22 | Expenses Paid During Period (p) 11/01/21-4/30/22 | |
A | Actual | 1.30% | $1,000.00 | $944.16 | $6.27 |
Hypothetical (h) | 1.30% | $1,000.00 | $1,018.35 | $6.51 | |
B | Actual | 2.05% | $1,000.00 | $941.69 | $9.87 |
Hypothetical (h) | 2.05% | $1,000.00 | $1,014.63 | $10.24 | |
C | Actual | 2.05% | $1,000.00 | $941.89 | $9.87 |
Hypothetical (h) | 2.05% | $1,000.00 | $1,014.63 | $10.24 | |
I | Actual | 1.05% | $1,000.00 | $946.06 | $5.07 |
Hypothetical (h) | 1.05% | $1,000.00 | $1,019.59 | $5.26 | |
R1 | Actual | 2.05% | $1,000.00 | $941.90 | $9.87 |
Hypothetical (h) | 2.05% | $1,000.00 | $1,014.63 | $10.24 | |
R2 | Actual | 1.55% | $1,000.00 | $942.97 | $7.47 |
Hypothetical (h) | 1.55% | $1,000.00 | $1,017.11 | $7.75 | |
R3 | Actual | 1.30% | $1,000.00 | $944.92 | $6.27 |
Hypothetical (h) | 1.30% | $1,000.00 | $1,018.35 | $6.51 | |
R4 | Actual | 1.05% | $1,000.00 | $946.17 | $5.07 |
Hypothetical (h) | 1.05% | $1,000.00 | $1,019.59 | $5.26 | |
R6 | Actual | 0.95% | $1,000.00 | $946.39 | $4.58 |
Hypothetical (h) | 0.95% | $1,000.00 | $1,020.08 | $4.76 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – 71.3% | ||||
Aerospace & Defense – 1.2% | ||||
CACI International, Inc., “A” (a) | 539 | $ 142,997 | ||
General Dynamics Corp. | 622 | 147,122 | ||
Honeywell International, Inc. | 2,061 | 398,824 | ||
Howmet Aerospace, Inc. | 2,295 | 78,305 | ||
KBR, Inc. | 2,752 | 135,481 | ||
L3Harris Technologies, Inc. | 379 | 88,027 | ||
Leidos Holdings, Inc. | 468 | 48,443 | ||
MTU Aero Engines Holding AG | 671 | 135,701 | ||
Northrop Grumman Corp. | 1,183 | 519,810 | ||
Raytheon Technologies Corp. | 518 | 49,163 | ||
Rolls-Royce Holdings PLC (a) | 145,216 | 148,288 | ||
Singapore Technologies Engineering Ltd. | 42,500 | 125,183 | ||
Textron, Inc. | 1,751 | 121,257 | ||
$ 2,138,601 | ||||
Airlines – 0.1% | ||||
Alaska Air Group, Inc. (a) | 539 | $ 29,316 | ||
Delta Air Lines, Inc. (a) | 916 | 39,416 | ||
JetBlue Airways Corp. (a) | 4,114 | 45,295 | ||
Ryanair Holdings PLC, ADR (a) | 425 | 37,111 | ||
$ 151,138 | ||||
Alcoholic Beverages – 0.9% | ||||
China Resources Beer Holdings Co. Ltd. | 14,000 | $ 81,714 | ||
Constellation Brands, Inc., “A” | 135 | 33,222 | ||
Diageo PLC | 9,436 | 467,602 | ||
Kirin Holdings Co. Ltd. | 3,100 | 45,525 | ||
Pernod Ricard S.A. | 4,738 | 976,193 | ||
$ 1,604,256 | ||||
Apparel Manufacturers – 0.9% | ||||
Adidas AG | 437 | $ 89,007 | ||
Burberry Group PLC | 1,137 | 22,359 | ||
Compagnie Financiere Richemont S.A. | 2,377 | 276,309 | ||
LVMH Moet Hennessy Louis Vuitton SE | 1,238 | 792,191 | ||
NIKE, Inc., “B” | 949 | 118,340 | ||
On Holding AG (a)(l) | 1,133 | 28,291 | ||
PVH Corp. | 820 | 59,680 | ||
Skechers USA, Inc., “A” (a) | 5,602 | 214,557 | ||
$ 1,600,734 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Automotive – 0.9% | ||||
Aptiv PLC (a) | 494 | $ 52,562 | ||
Bridgestone Corp. | 1,100 | 40,261 | ||
Continental AG | 483 | 33,640 | ||
Copart, Inc. (a) | 1,124 | 127,743 | ||
Ford Motor Co. | 24,026 | 340,208 | ||
Koito Manufacturing Co. Ltd. | 1,600 | 58,754 | ||
Lear Corp. | 266 | 34,032 | ||
LKQ Corp. | 2,838 | 140,850 | ||
Methode Electronics, Inc. | 2,581 | 115,138 | ||
NGK Spark Plug Co. Ltd | 4,100 | 62,926 | ||
Stanley Electric Co. Ltd. | 3,100 | 53,369 | ||
Stoneridge, Inc. (a) | 791 | 15,591 | ||
Tesla, Inc. (a) | 431 | 375,297 | ||
Toyota Industries Corp. | 1,000 | 59,765 | ||
Visteon Corp. (a) | 998 | 104,501 | ||
$ 1,614,637 | ||||
Biotechnology – 0.4% | ||||
Abcam PLC (a) | 2,882 | $ 44,978 | ||
Adaptive Biotechnologies Corp. (a) | 1,152 | 9,504 | ||
AlloVir, Inc. (a) | 1,174 | 5,342 | ||
BioAtla, Inc. (a) | 746 | 2,596 | ||
Biogen, Inc. (a) | 1,116 | 231,503 | ||
BioXcel Therapeutics, Inc. (a)(l) | 641 | 8,403 | ||
Gilead Sciences, Inc. | 3,018 | 179,088 | ||
Illumina, Inc. (a) | 61 | 18,096 | ||
Immunocore Holdings PLC, ADR (a) | 515 | 16,794 | ||
Lyell Immunopharma, Inc. (a)(l) | 1,482 | 7,603 | ||
MaxCyte, Inc. (a) | 3,346 | 18,537 | ||
Moderna, Inc. (a) | 566 | 76,076 | ||
Neurocrine Biosciences, Inc. (a) | 319 | 28,720 | ||
Olink Holding AB (a)(l) | 747 | 10,816 | ||
Oxford Nanopore Technologies PLC (a) | 2,202 | 8,286 | ||
Prelude Therapeutics, Inc. (a)(l) | 721 | 3,309 | ||
Recursion Pharmaceuticals, Inc. (a)(l) | 1,980 | 12,276 | ||
Sana Biotechnology, Inc. (a) | 1,149 | 8,675 | ||
Twist Bioscience Corp. (a) | 402 | 11,594 | ||
$ 702,196 | ||||
Broadcasting – 0.0% | ||||
Warner Bros. Discovery, Inc. (a) | 1,719 | $ 31,200 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Brokerage & Asset Managers – 1.9% | ||||
Apollo Global Management, Inc. | 1,185 | $ 58,966 | ||
ASX Ltd. | 1,985 | 119,306 | ||
BlackRock, Inc. | 577 | 360,440 | ||
Cboe Global Markets, Inc. | 340 | 38,413 | ||
Charles Schwab Corp. | 2,965 | 196,668 | ||
CME Group, Inc. | 1,100 | 241,274 | ||
Computershare Ltd. | 9,697 | 169,976 | ||
Daiwa Securities Group, Inc. | 27,300 | 133,569 | ||
Euronext N.V. | 1,255 | 100,757 | ||
Focus Financial Partners, “A” (a) | 1,967 | 77,598 | ||
GCM Grosvenor, Inc., “A” | 5,011 | 41,341 | ||
Hamilton Lane, Inc., “A” | 1,252 | 85,862 | ||
Hong Kong Exchanges & Clearing Ltd. | 2,100 | 89,061 | ||
Invesco Ltd. | 1,405 | 25,824 | ||
London Stock Exchange Group PLC | 1,292 | 128,201 | ||
Morningstar, Inc. | 249 | 63,054 | ||
NASDAQ, Inc. (f) | 3,537 | 556,618 | ||
Omni Bridgeway Ltd. (a) | 30,961 | 72,558 | ||
Raymond James Financial, Inc. | 4,460 | 434,672 | ||
Schroders PLC | 2,788 | 98,375 | ||
TMX Group Ltd. | 955 | 97,228 | ||
TPG, Inc. (a) | 899 | 22,835 | ||
WisdomTree Investments, Inc. | 12,474 | 72,723 | ||
$ 3,285,319 | ||||
Business Services – 3.0% | ||||
Accenture PLC, “A” | 5,228 | $ 1,570,282 | ||
Amdocs Ltd. | 742 | 59,130 | ||
Clarivate PLC (a) | 10,719 | 168,074 | ||
Cognizant Technology Solutions Corp., “A” | 423 | 34,221 | ||
CoStar Group, Inc. (a) | 3,592 | 228,523 | ||
Dropbox, Inc. (a) | 9,735 | 211,736 | ||
Endava PLC, ADR (a) | 293 | 29,476 | ||
Equifax, Inc. (f) | 2,414 | 491,297 | ||
EVO Payments, Inc., “A” (a) | 3,390 | 76,377 | ||
ExlService Holdings, Inc. (a) | 839 | 114,230 | ||
Experian PLC | 4,280 | 148,351 | ||
Fidelity National Information Services, Inc. | 397 | 39,363 | ||
Fiserv, Inc. (a) | 447 | 43,770 | ||
Global Payments, Inc. | 608 | 83,284 | ||
HireRight Holdings Corp. (a)(l) | 2,521 | 43,588 | ||
Intertek Group PLC | 2,332 | 145,333 | ||
Keywords Studios PLC | 2,492 | 74,066 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Business Services – continued | ||||
LegalZoom.com, Inc. (a)(l) | 1,750 | $ 25,112 | ||
MSCI, Inc. | 1,131 | 476,434 | ||
Nomura Research Institute Ltd. | 6,000 | 170,016 | ||
Paya, Inc. (a) | 7,742 | 39,407 | ||
Payoneer Global, Inc. (a) | 8,501 | 35,534 | ||
Remitly Global, Inc. (a) | 5,434 | 60,317 | ||
Secom Co. Ltd. | 400 | 28,218 | ||
SGS S.A. | 76 | 195,169 | ||
TaskUs, Inc., “A” (a) | 2,401 | 69,365 | ||
Thoughtworks Holding, Inc. (a) | 3,957 | 73,244 | ||
Verisk Analytics, Inc., “A” | 1,855 | 378,513 | ||
WNS (Holdings) Ltd., ADR (a) | 1,496 | 117,241 | ||
$ 5,229,671 | ||||
Cable TV – 0.6% | ||||
Cable One, Inc. | 18 | $ 20,992 | ||
Charter Communications, Inc., “A” (a) | 1,281 | 548,896 | ||
Comcast Corp., “A” | 10,223 | 406,466 | ||
$ 976,354 | ||||
Chemicals – 0.9% | ||||
Celanese Corp. | 335 | $ 49,225 | ||
Eastman Chemical Co. | 1,698 | 174,334 | ||
Element Solutions, Inc. | 7,466 | 153,949 | ||
FMC Corp. | 322 | 42,678 | ||
Givaudan S.A. | 143 | 568,256 | ||
IMCD Group N.V. | 557 | 88,487 | ||
Ingevity Corp. (a) | 1,164 | 69,724 | ||
Novozymes A/S | 4,946 | 343,645 | ||
$ 1,490,298 | ||||
Computer Software – 6.5% | ||||
ACI Worldwide, Inc. (a) | 1,188 | $ 32,813 | ||
Adobe Systems, Inc. (a)(f) | 1,482 | 586,798 | ||
Alkami Technology, Inc. (a) | 3,504 | 45,902 | ||
ANSYS, Inc. (a) | 1,494 | 411,881 | ||
Atlassian Corp. PLC, “A” (a) | 104 | 23,382 | ||
Autodesk, Inc. (a) | 1,245 | 235,654 | ||
Avalara, Inc. (a) | 447 | 34,003 | ||
Black Knight, Inc. (a) | 2,609 | 171,646 | ||
Cadence Design Systems, Inc. (a)(f)(s) | 9,084 | 1,370,321 | ||
Computer Modelling Group Ltd. | 30,287 | 112,458 | ||
CrowdStrike Holdings, Inc. (a) | 856 | 170,139 | ||
Dassault Systemes SE | 16,638 | 740,138 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Computer Software – continued | ||||
Definitive Healthcare Corp. (a) | 1,364 | $ 32,259 | ||
DoubleVerify Holdings, Inc. (a) | 2,065 | 44,914 | ||
Dun & Bradstreet Holdings, Inc. (a) | 1,386 | 21,885 | ||
Everbridge, Inc. (a) | 1,345 | 57,970 | ||
Expensify, Inc., “A” (a) | 1,551 | 23,312 | ||
Intuit, Inc. | 622 | 260,462 | ||
Microsoft Corp. (f)(s) | 14,685 | 4,075,381 | ||
Naver Corp. | 1,481 | 335,006 | ||
nCino, Inc. (a) | 675 | 25,306 | ||
NetEase.com, Inc., ADR | 1,151 | 109,725 | ||
NICE Systems Ltd., ADR (a) | 630 | 130,038 | ||
OBIC Co. Ltd. | 1,300 | 192,368 | ||
Okta, Inc. (a) | 427 | 50,945 | ||
Open Lending Corp., “A” (a) | 3,927 | 53,564 | ||
Oracle Corp. (f) | 10,745 | 788,683 | ||
Paycor HCM, Inc. (a) | 3,163 | 77,905 | ||
Paylocity Holding Corp. (a) | 119 | 22,566 | ||
Procore Technologies, Inc. (a) | 718 | 39,827 | ||
Sabre Corp. (a) | 7,511 | 78,640 | ||
Salesforce, Inc. (a) | 337 | 59,292 | ||
SAP SE | 4,774 | 492,405 | ||
Synopsys, Inc. (a) | 1,408 | 403,800 | ||
$ 11,311,388 | ||||
Computer Software - Systems – 3.2% | ||||
Alten S.A. | 723 | $ 96,834 | ||
Amadeus IT Group S.A. (a) | 7,555 | 471,078 | ||
Apple, Inc. (f) | 16,777 | 2,644,894 | ||
Cancom SE | 1,235 | 60,062 | ||
Constellation Software, Inc. | 83 | 130,631 | ||
EMIS Group PLC | 8,537 | 142,714 | ||
Five9, Inc. (a) | 448 | 49,325 | ||
Fujitsu Ltd. | 700 | 98,964 | ||
Hitachi Ltd. | 16,600 | 773,002 | ||
HP, Inc. | 3,678 | 134,725 | ||
Kinaxis, Inc. (a) | 1,332 | 147,400 | ||
NCR Corp. (a) | 549 | 19,231 | ||
Nuvei Corp. (a) | 626 | 35,000 | ||
Q2 Holdings, Inc. (a) | 1,626 | 84,113 | ||
Rapid7, Inc. (a) | 883 | 84,344 | ||
Samsung Electronics Co. Ltd. | 1,448 | 76,938 | ||
Softchoice Corp. (l) | 2,589 | 45,688 | ||
Temenos AG | 516 | 51,970 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Computer Software - Systems – continued | ||||
TransUnion | 2,602 | $ 227,727 | ||
Venture Corp. Ltd. | 7,500 | 92,328 | ||
Verint Systems, Inc. (a) | 1,403 | 76,548 | ||
Zebra Technologies Corp., “A” (a) | 141 | 52,122 | ||
$ 5,595,638 | ||||
Conglomerates – 0.1% | ||||
Ansell Ltd. | 5,632 | $ 107,861 | ||
DCC PLC | 1,995 | 150,737 | ||
$ 258,598 | ||||
Construction – 1.2% | ||||
Armstrong World Industries, Inc. | 273 | $ 23,112 | ||
AZEK Co., Inc. (a) | 4,832 | 102,632 | ||
Builders FirstSource, Inc. (a) | 1,911 | 117,660 | ||
Fortune Brands Home & Security, Inc. | 469 | 33,416 | ||
GMS, Inc. (a) | 479 | 22,968 | ||
Masco Corp. | 1,358 | 71,553 | ||
Mid-America Apartment Communities, Inc., REIT | 363 | 71,395 | ||
Otis Worldwide Corp. | 242 | 17,627 | ||
Pool Corp. | 206 | 83,475 | ||
Sherwin-Williams Co. (f) | 2,218 | 609,861 | ||
Stanley Black & Decker, Inc. | 426 | 51,184 | ||
Techtronic Industries Co. Ltd. | 7,000 | 93,455 | ||
Toll Brothers, Inc. | 6,181 | 286,613 | ||
Trex Co., Inc. (a) | 432 | 25,138 | ||
Vulcan Materials Co. | 2,358 | 406,260 | ||
$ 2,016,349 | ||||
Consumer Products – 1.9% | ||||
Church & Dwight Co., Inc. | 1,492 | $ 145,560 | ||
Colgate-Palmolive Co. (f) | 7,378 | 568,475 | ||
Energizer Holdings, Inc. | 1,519 | 46,010 | ||
Estee Lauder Cos., Inc., “A” | 697 | 184,050 | ||
International Flavors & Fragrances, Inc. | 199 | 24,139 | ||
Kao Corp. | 5,100 | 205,096 | ||
Kimberly-Clark Corp. | 214 | 29,710 | ||
Kobayashi Pharmaceutical Co. Ltd. | 8,200 | 560,221 | ||
L’Oréal S.A. | 672 | 244,474 | ||
Newell Brands, Inc. | 4,143 | 95,910 | ||
Prestige Consumer Healthcare, Inc. (a) | 1,190 | 65,045 | ||
Reckitt Benckiser Group PLC | 13,025 | 1,016,102 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Consumer Products – continued | ||||
Takasago International Corp. | 2,300 | $ 46,291 | ||
$ 3,231,083 | ||||
Consumer Services – 0.5% | ||||
Asante, Inc. | 6,800 | $ 76,701 | ||
Booking Holdings, Inc. (a) | 68 | 150,301 | ||
Boyd Group Services, Inc. | 358 | 44,309 | ||
Bright Horizons Family Solutions, Inc. (a) | 1,651 | 188,610 | ||
Carsales.com Ltd. | 1,573 | 23,032 | ||
European Wax Center, Inc., “A” | 886 | 24,321 | ||
F45 Training Holdings, Inc. (a)(l) | 2,749 | 24,164 | ||
Grand Canyon Education, Inc. (a) | 821 | 78,791 | ||
MakeMyTrip Ltd. (a) | 1,374 | 34,996 | ||
Meitec Corp. | 2,400 | 127,665 | ||
Persol Holdings Co. Ltd. | 1,500 | 29,835 | ||
Seek Ltd. | 1,394 | 27,142 | ||
Uber Technologies, Inc. (a) | 1,869 | 58,836 | ||
$ 888,703 | ||||
Containers – 0.6% | ||||
Ardagh Metal Packaging S.A. | 5,819 | $ 41,489 | ||
Ball Corp. | 1,618 | 131,317 | ||
Berry Global, Inc. (a) | 1,953 | 110,051 | ||
Crown Holdings, Inc. | 441 | 48,528 | ||
Graphic Packaging Holding Co. | 16,560 | 361,008 | ||
Pactiv Evergreen, Inc. | 2,936 | 28,949 | ||
SIG Combibloc Group AG | 8,245 | 172,774 | ||
Silgan Holdings, Inc. | 1,299 | 57,637 | ||
WestRock Co. | 959 | 47,499 | ||
$ 999,252 | ||||
Electrical Equipment – 1.7% | ||||
Advanced Drainage Systems, Inc. | 568 | $ 58,197 | ||
AMETEK, Inc. | 1,284 | 162,118 | ||
Halma PLC | 24,830 | 764,580 | ||
Johnson Controls International PLC | 1,854 | 110,999 | ||
Legrand S.A. | 1,120 | 98,865 | ||
Littlefuse, Inc. | 233 | 53,415 | ||
nVent Electric PLC | 1,556 | 52,562 | ||
Rockwell Automation, Inc. | 1,194 | 301,688 | ||
Schneider Electric SE | 7,567 | 1,077,723 | ||
Sensata Technologies Holding PLC | 2,936 | 133,324 | ||
TE Connectivity Ltd. | 574 | 71,624 | ||
TriMas Corp. | 1,715 | 50,661 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Electrical Equipment – continued | ||||
Vertiv Holdings Co. | 2,420 | $ 30,322 | ||
$ 2,966,078 | ||||
Electronics – 3.2% | ||||
Advanced Energy Industries, Inc. | 1,152 | $ 88,151 | ||
Advanced Micro Devices (a) | 3,130 | 267,678 | ||
Analog Devices, Inc. | 2,986 | 460,979 | ||
Applied Materials, Inc. | 1,303 | 143,786 | ||
ASM International N.V. | 562 | 167,823 | ||
ASM Pacific Technology Ltd. | 6,000 | 60,628 | ||
ASML Holding N.V. | 65 | 36,775 | ||
Cohu, Inc. (a) | 1,711 | 45,444 | ||
Corning, Inc. | 1,282 | 45,114 | ||
Entegris, Inc. | 1,612 | 179,561 | ||
Intel Corp. | 10,033 | 437,338 | ||
Kyocera Corp. | 800 | 42,307 | ||
Lam Research Corp. | 66 | 30,740 | ||
Micron Technology, Inc. | 4,615 | 314,697 | ||
Monolithic Power Systems, Inc. | 726 | 284,766 | ||
NVIDIA Corp. (f) | 4,873 | 903,795 | ||
NXP Semiconductors N.V. | 996 | 170,216 | ||
ON Semiconductor Corp. (a) | 999 | 52,058 | ||
Plexus Corp. (a) | 855 | 69,375 | ||
Silicon Motion Technology Corp., ADR | 1,621 | 123,083 | ||
Taiwan Semiconductor Manufacturing Co. Ltd. | 4,654 | 84,947 | ||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 11,726 | 1,089,697 | ||
Texas Instruments, Inc. (f) | 3,006 | 511,771 | ||
$ 5,610,729 | ||||
Energy - Independent – 1.1% | ||||
CNX Resources Corp. (a) | 2,968 | $ 60,992 | ||
ConocoPhillips | 709 | 67,724 | ||
Coterra Energy, Inc. | 1,433 | 41,256 | ||
Devon Energy Corp. | 1,945 | 113,141 | ||
Diamondback Energy, Inc. | 634 | 80,030 | ||
Hess Corp. | 840 | 86,579 | ||
Magnolia Oil & Gas Corp., “A” | 4,461 | 103,674 | ||
Phillips 66 | 1,652 | 143,327 | ||
Pioneer Natural Resources Co. | 451 | 104,844 | ||
Reliance Industries Ltd. | 16,234 | 587,009 | ||
Valero Energy Corp. | 3,684 | 410,692 | ||
Viper Energy Partners LP | 2,442 | 70,159 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Energy - Independent – continued | ||||
Woodside Petroleum Ltd. | 2,494 | $ 54,206 | ||
$ 1,923,633 | ||||
Energy - Integrated – 0.3% | ||||
Capricorn Energy PLC (a) | 3,473 | $ 8,937 | ||
Eni S.p.A. | 6,397 | 89,763 | ||
Exxon Mobil Corp. | 2,575 | 219,519 | ||
Galp Energia SGPS S.A. | 6,913 | 84,351 | ||
Idemitsu Kosan Co. Ltd. | 2,200 | 57,723 | ||
$ 460,293 | ||||
Energy - Renewables – 0.1% | ||||
AES Corp. | 2,507 | $ 51,193 | ||
Generac Holdings, Inc. (a) | 32 | 7,020 | ||
Orsted A/S | 319 | 35,871 | ||
Shoals Technologies Group, Inc. (a) | 2,756 | 27,505 | ||
$ 121,589 | ||||
Engineering - Construction – 0.0% | ||||
APi Group, Inc. (a) | 1,238 | $ 22,977 | ||
Quanta Services, Inc. | 278 | 32,243 | ||
$ 55,220 | ||||
Entertainment – 0.1% | ||||
Live Nation Entertainment, Inc. (a) | 551 | $ 57,789 | ||
Manchester United PLC, “A” | 5,086 | 68,864 | ||
SeaWorld Entertainment, Inc. (a) | 897 | 60,494 | ||
Vivid Seats, Inc., “A” (l) | 5,106 | 50,396 | ||
$ 237,543 | ||||
Food & Beverages – 2.7% | ||||
Archer Daniels Midland Co. | 3,866 | $ 346,239 | ||
Britvic PLC | 8,272 | 88,356 | ||
Chocoladefabriken Lindt & Sprungli AG | 40 | 447,540 | ||
Coca-Cola Europacific Partners PLC | 739 | 36,913 | ||
Danone S.A. | 979 | 58,855 | ||
Duckhorn Portfolio, Inc. (a) | 2,539 | 49,307 | ||
Hostess Brands, Inc. (a) | 2,890 | 65,574 | ||
Ingredion, Inc. | 509 | 43,321 | ||
J.M. Smucker Co. | 302 | 41,353 | ||
Kellogg Co. | 701 | 48,019 | ||
Mondelez International, Inc. | 655 | 42,234 | ||
Morinaga & Co. Ltd. | 4,200 | 130,253 | ||
Nestle S.A. | 14,492 | 1,870,997 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Food & Beverages – continued | ||||
Nestle S.A., ADR | 3,285 | $ 422,582 | ||
Nomad Foods Ltd. (a) | 3,061 | 56,506 | ||
Oatly Group AB, ADR (a)(l) | 6,154 | 21,908 | ||
PepsiCo, Inc. | 365 | 62,674 | ||
S Foods, Inc. | 4,100 | 95,569 | ||
Toyo Suisan Kaisha Ltd. | 7,300 | 225,286 | ||
Tyson Foods, Inc., “A” | 6,627 | 617,371 | ||
$ 4,770,857 | ||||
Food & Drug Stores – 0.3% | ||||
Albertsons Cos., Inc., “A” | 1,628 | $ 50,924 | ||
JM Holdings Co. Ltd. | 4,300 | 53,635 | ||
Kroger Co. | 2,697 | 145,530 | ||
Patlac Corp. | 2,400 | 87,497 | ||
Sugi Holdings Co. Ltd. | 400 | 17,199 | ||
Sundrug Co. Ltd. | 4,100 | 95,411 | ||
Wal-Mart Stores, Inc. | 1,099 | 168,136 | ||
$ 618,332 | ||||
Forest & Paper Products – 0.2% | ||||
Weyerhaeuser Co., REIT | 9,471 | $ 390,395 | ||
Furniture & Appliances – 0.1% | ||||
Howden Joinery Group PLC | 8,374 | $ 79,149 | ||
IMAX Corp. (a) | 2,029 | 32,099 | ||
$ 111,248 | ||||
Gaming & Lodging – 0.6% | ||||
Flutter Entertainment PLC (a) | 3,476 | $ 349,224 | ||
Genius Sports Ltd. (a) | 5,391 | 20,594 | ||
Hyatt Hotels Corp. (a) | 1,194 | 113,382 | ||
International Game Technology PLC | 4,379 | 95,593 | ||
Marriott International, Inc., “A” | 1,688 | 299,654 | ||
Penn National Gaming, Inc. (a) | 1,477 | 54,014 | ||
Tabcorp Holdings Ltd. | 30,342 | 115,378 | ||
Whitbread PLC (a) | 938 | 32,517 | ||
$ 1,080,356 | ||||
General Merchandise – 0.4% | ||||
Costco Wholesale Corp. | 722 | $ 383,902 | ||
Dollar General Corp. | 139 | 33,016 | ||
Dollar Tree, Inc. (a) | 695 | 112,903 | ||
Dollarama, Inc. | 3,589 | 199,530 | ||
$ 729,351 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Health Maintenance Organizations – 0.6% | ||||
Cigna Corp. (f) | 3,576 | $ 882,485 | ||
Humana, Inc. | 67 | 29,786 | ||
Molina Healthcare, Inc. (a) | 524 | 164,248 | ||
$ 1,076,519 | ||||
Insurance – 3.0% | ||||
AIA Group Ltd. | 74,200 | $ 724,928 | ||
American International Group, Inc. | 666 | 38,968 | ||
Ameriprise Financial, Inc. | 797 | 211,596 | ||
Aon PLC | 2,624 | 755,686 | ||
Arthur J. Gallagher & Co. | 1,775 | 299,070 | ||
Assurant, Inc. | 368 | 66,932 | ||
Beazley PLC | 38,360 | 204,853 | ||
Chubb Ltd. | 201 | 41,496 | ||
Cincinnati Financial Corp. | 220 | 26,985 | ||
CNO Financial Group, Inc. | 2,259 | 54,532 | ||
Equitable Holdings, Inc. | 14,553 | 419,563 | ||
Everest Re Group Ltd. | 1,511 | 415,087 | ||
Hanover Insurance Group, Inc. | 602 | 88,386 | ||
Hartford Financial Services Group, Inc. | 1,237 | 86,503 | ||
Hiscox Ltd. | 2,999 | 35,509 | ||
Marsh & McLennan Cos., Inc. | 2,445 | 395,356 | ||
MetLife, Inc. (f) | 6,972 | 457,921 | ||
Progressive Corp. | 4,319 | 463,688 | ||
Reinsurance Group of America, Inc. | 555 | 59,563 | ||
Selective Insurance Group, Inc. | 586 | 48,263 | ||
Voya Financial, Inc. | 481 | 30,370 | ||
Willis Towers Watson PLC | 599 | 128,701 | ||
Zurich Insurance Group AG | 218 | 99,154 | ||
$ 5,153,110 | ||||
Internet – 3.0% | ||||
Alphabet, Inc., “A” (a)(s) | 821 | $ 1,873,678 | ||
Alphabet, Inc., “C” (a) | 663 | 1,524,456 | ||
Gartner, Inc. (a) | 1,847 | 536,646 | ||
Match Group, Inc. (a) | 2,081 | 164,711 | ||
Meta Platforms, Inc., “A” (a) | 2,781 | 557,507 | ||
Tencent Holdings Ltd. | 10,500 | 492,506 | ||
$ 5,149,504 | ||||
Leisure & Toys – 0.7% | ||||
Brunswick Corp. | 5,895 | $ 445,721 | ||
Corsair Gaming, Inc. (a)(l) | 2,293 | 34,693 | ||
Electronic Arts, Inc. | 1,611 | 190,178 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Leisure & Toys – continued | ||||
Funko, Inc., “A” (a) | 1,411 | $ 22,985 | ||
Malibu Boats, Inc., “A” (a) | 147 | 7,393 | ||
Mattel, Inc. (a) | 1,648 | 40,063 | ||
Polaris, Inc. | 3,344 | 317,479 | ||
Prosus N.V. | 510 | 24,593 | ||
Take-Two Interactive Software, Inc. (a) | 849 | 101,464 | ||
Yamaha Corp. | 700 | 26,869 | ||
$ 1,211,438 | ||||
Machinery & Tools – 3.0% | ||||
AGCO Corp. (f) | 5,109 | $ 650,887 | ||
Allison Transmission Holdings, Inc. | 3,101 | 116,101 | ||
Azbil Corp. | 2,600 | 79,367 | ||
BELIMO Holding AG | 392 | 193,637 | ||
Cummins, Inc. | 680 | 128,649 | ||
Daikin Industries Ltd. | 700 | 107,632 | ||
Eaton Corp. PLC | 494 | 71,640 | ||
Enerpac Tool Group Corp. | 772 | 15,502 | ||
ESAB Corp. (a) | 479 | 22,513 | ||
Flowserve Corp. | 1,697 | 55,509 | ||
GEA Group AG | 12,088 | 474,881 | ||
Hydrofarm Holdings Group, Inc. (a) | 2,216 | 21,163 | ||
IDEX Corp. | 674 | 127,939 | ||
Illinois Tool Works, Inc. | 2,031 | 400,330 | ||
Ingersoll Rand, Inc. | 1,834 | 80,623 | ||
ITT, Inc. | 423 | 29,703 | ||
Kubota Corp. | 5,000 | 85,160 | ||
Nordson Corp. | 815 | 175,787 | ||
Oshkosh Corp. | 1,691 | 156,316 | ||
PACCAR, Inc. | 989 | 82,136 | ||
Regal Rexnord Corp. | 2,572 | 327,261 | ||
Ritchie Bros. Auctioneers, Inc. | 1,433 | 78,944 | ||
Ritchie Bros. Auctioneers, Inc. | 8,139 | 448,306 | ||
Roper Technologies, Inc. | 421 | 197,836 | ||
Schindler Holding AG | 898 | 172,975 | ||
SMC Corp. | 200 | 96,669 | ||
Spirax-Sarco Engineering PLC | 4,191 | 633,862 | ||
Timken Co. | 656 | 37,812 | ||
Wabtec Corp. | 534 | 48,012 | ||
Weir Group PLC | 2,205 | 42,313 | ||
$ 5,159,465 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Major Banks – 1.7% | ||||
Bank of America Corp. | 6,454 | $ 230,279 | ||
Barclays PLC | 36,667 | 66,999 | ||
BNP Paribas | 2,232 | 114,471 | ||
Capital One Financial Corp. | 1,131 | 140,945 | ||
Comerica, Inc. | 541 | 44,308 | ||
DBS Group Holdings Ltd. | 10,400 | 251,900 | ||
Goldman Sachs Group, Inc. | 429 | 131,055 | ||
JPMorgan Chase & Co. | 8,806 | 1,051,084 | ||
KeyCorp | 2,426 | 46,846 | ||
Mitsubishi UFJ Financial Group, Inc. | 7,200 | 41,849 | ||
Morgan Stanley | 5,792 | 466,777 | ||
NatWest Group PLC | 40,773 | 109,620 | ||
PNC Financial Services Group, Inc. | 277 | 46,010 | ||
State Street Corp. | 458 | 30,672 | ||
UBS AG | 7,030 | 118,937 | ||
$ 2,891,752 | ||||
Medical & Health Technology & Services – 1.7% | ||||
AmerisourceBergen Corp. | 411 | $ 62,180 | ||
Certara, Inc. (a) | 3,887 | 71,326 | ||
Charles River Laboratories International, Inc. (a) | 809 | 195,382 | ||
CVS Health Corp. | 3,095 | 297,522 | ||
Guardant Health, Inc. (a) | 290 | 17,893 | ||
HealthEquity, Inc. (a) | 888 | 55,340 | ||
Hogy Medical Co. Ltd. | 4,300 | 107,364 | ||
ICON PLC (a) | 2,442 | 552,405 | ||
IDEXX Laboratories, Inc. (a) | 226 | 97,289 | ||
Laboratory Corp. of America Holdings | 202 | 48,537 | ||
McKesson Corp. | 3,756 | 1,162,895 | ||
Premier, Inc., “A” | 1,511 | 54,713 | ||
Quest Diagnostics, Inc. | 326 | 43,632 | ||
Syneos Health, Inc. (a) | 2,421 | 176,951 | ||
Universal Health Services, Inc. | 377 | 46,194 | ||
$ 2,989,623 | ||||
Medical Equipment – 2.5% | ||||
Agilent Technologies, Inc. | 1,088 | $ 129,766 | ||
Agiliti Health, Inc. (a) | 1,822 | 35,966 | ||
Becton, Dickinson and Co. | 158 | 39,056 | ||
Boston Scientific Corp. (a) | 7,711 | 324,710 | ||
Bruker BioSciences Corp. | 875 | 50,304 | ||
ConvaTec Group PLC | 17,266 | 45,611 | ||
Danaher Corp. (f) | 1,526 | 383,224 | ||
Dentsply Sirona, Inc. | 1,078 | 43,109 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Medical Equipment – continued | ||||
Envista Holdings Corp. (a) | 4,523 | $ 179,201 | ||
EssilorLuxottica | 3,221 | 546,432 | ||
Gerresheimer AG | 2,257 | 158,338 | ||
Hologic, Inc. (a) | 424 | 30,524 | ||
Koninklijke Philips N.V. | 2,578 | 67,631 | ||
Maravai Lifesciences Holdings, Inc., “A” (a) | 2,246 | 69,020 | ||
Medtronic PLC | 468 | 48,840 | ||
Nihon Kohden Corp. | 2,800 | 67,502 | ||
OptiNose, Inc. (a) | 2,838 | 6,868 | ||
Outset Medical, Inc. (a) | 708 | 24,695 | ||
PerkinElmer, Inc. | 1,793 | 262,872 | ||
PROCEPT BioRobotics Corp. (a) | 818 | 29,088 | ||
QIAGEN N.V. (a) | 8,764 | 405,159 | ||
Shimadzu Corp. | 3,900 | 128,217 | ||
Silk Road Medical, Inc. (a) | 550 | 19,277 | ||
Smith & Nephew PLC | 6,383 | 103,268 | ||
STERIS PLC | 1,130 | 253,176 | ||
Terumo Corp. | 1,600 | 47,828 | ||
Thermo Fisher Scientific, Inc. | 1,326 | 733,172 | ||
West Pharmaceutical Services, Inc. | 348 | 109,641 | ||
Zimmer Biomet Holdings, Inc. | 404 | 48,783 | ||
$ 4,391,278 | ||||
Metals & Mining – 0.1% | ||||
Arconic Corp. (a) | 1,575 | $ 39,627 | ||
Glencore PLC | 18,476 | 113,889 | ||
Kaiser Aluminum Corp. | 248 | 23,932 | ||
$ 177,448 | ||||
Natural Gas - Distribution – 0.3% | ||||
Atmos Energy Corp. | 230 | $ 26,082 | ||
China Resources Gas Group Ltd. | 8,000 | 30,156 | ||
Italgas S.p.A. | 21,845 | 141,028 | ||
New Jersey Resources Corp. | 1,480 | 63,876 | ||
ONE Gas, Inc. | 632 | 53,322 | ||
UGI Corp. | 4,613 | 158,226 | ||
$ 472,690 | ||||
Natural Gas - Pipeline – 0.8% | ||||
APA Group | 4,487 | $ 36,005 | ||
Cheniere Energy, Inc. | 4,875 | 662,074 | ||
Enterprise Products Partners LP | 455 | 11,789 | ||
Plains GP Holdings LP | 7,094 | 79,240 | ||
Targa Resources Corp. | 7,586 | 556,888 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Natural Gas - Pipeline – continued | ||||
TC Energy Corp. | 1,095 | $ 57,919 | ||
$ 1,403,915 | ||||
Network & Telecom – 0.6% | ||||
Equinix, Inc., REIT | 38 | $ 27,325 | ||
Fortinet, Inc. (a) | 1,649 | 476,577 | ||
Motorola Solutions, Inc. | 266 | 56,842 | ||
Palo Alto Networks, Inc. (a) | 228 | 127,972 | ||
Qualcomm, Inc. | 997 | 139,271 | ||
VTech Holdings Ltd. | 20,300 | 143,304 | ||
$ 971,291 | ||||
Oil Services – 0.1% | ||||
ChampionX Corp. | 3,128 | $ 66,001 | ||
Expro Group Holdings N.V. (a) | 2,656 | 40,584 | ||
Halliburton Co. | 1,049 | 37,365 | ||
Helmerich & Payne | 753 | 34,660 | ||
$ 178,610 | ||||
Other Banks & Diversified Financials – 2.8% | ||||
Air Lease Corp. | 1,297 | $ 52,243 | ||
American Express Co. | 2,298 | 401,484 | ||
Bank of Hawaii Corp. | 773 | 57,465 | ||
Brookline Bancorp, Inc. | 3,499 | 50,595 | ||
Cathay General Bancorp, Inc. | 1,712 | 68,634 | ||
Chiba Bank Ltd. | 19,200 | 110,368 | ||
Citigroup, Inc. | 9,256 | 446,232 | ||
Credicorp Ltd. | 1,539 | 213,752 | ||
Discover Financial Services | 474 | 53,306 | ||
East West Bancorp, Inc. | 1,130 | 80,569 | ||
Element Fleet Management Corp. | 7,983 | 71,276 | ||
Encore Capital Group, Inc. (a) | 626 | 36,189 | ||
First Hawaiian, Inc. | 2,154 | 50,856 | ||
First Interstate BancSystem, Inc. | 3,448 | 112,129 | ||
Hanmi Financial Corp. | 1,656 | 38,336 | ||
HDFC Bank Ltd. | 3,675 | 65,988 | ||
HDFC Bank Ltd., ADR | 6,613 | 365,104 | ||
Julius Baer Group Ltd. | 1,233 | 58,958 | ||
Macquarie Group Ltd. | 642 | 92,000 | ||
Metropolitan Bank & Trust Co. | 100,817 | 98,472 | ||
Moody's Corp. | 67 | 21,204 | ||
Northern Trust Corp. | 750 | 77,287 | ||
Prosperity Bancshares, Inc. | 2,595 | 169,661 | ||
Sandy Spring Bancorp, Inc. | 802 | 31,495 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Other Banks & Diversified Financials – continued | ||||
Signature Bank | 165 | $ 39,971 | ||
SLM Corp. | 24,732 | 413,766 | ||
SVB Financial Group (a) | 76 | 37,061 | ||
Synchrony Financial | 3,060 | 112,639 | ||
Texas Capital Bancshares, Inc. (a) | 589 | 30,251 | ||
Textainer Group Holdings Ltd. | 740 | 24,820 | ||
Triton International Ltd. of Bermuda | 531 | 32,439 | ||
Truist Financial Corp. | 1,086 | 52,508 | ||
UMB Financial Corp. | 652 | 58,797 | ||
Umpqua Holdings Corp. | 6,650 | 109,991 | ||
United Community Bank, Inc. | 1,407 | 42,407 | ||
Visa, Inc., “A” (f) | 4,127 | 879,587 | ||
Wintrust Financial Corp. | 749 | 65,403 | ||
Zions Bancorp NA | 1,824 | 103,074 | ||
$ 4,826,317 | ||||
Pharmaceuticals – 3.8% | ||||
Annexon, Inc. (a) | 1,113 | $ 2,838 | ||
Bayer AG | 5,492 | 361,993 | ||
Bristol-Myers Squibb Co. | 4,072 | 306,500 | ||
Collegium Pharmaceutical, Inc. (a) | 1,169 | 18,821 | ||
Eli Lilly & Co. | 219 | 63,977 | ||
Harmony Biosciences Holdings (a) | 548 | 24,682 | ||
Incyte Corp. (a) | 3,002 | 225,030 | ||
Johnson & Johnson (f)(s) | 8,266 | 1,491,682 | ||
Kyowa Kirin Co. Ltd. | 4,000 | 83,998 | ||
Merck & Co., Inc. (f) | 11,377 | 1,009,026 | ||
Merck KGaA | 135 | 25,035 | ||
Novartis AG | 2,508 | 221,876 | ||
Novo Nordisk A.S., “B” | 2,497 | 285,587 | ||
Organon & Co. | 1,900 | 61,427 | ||
Pfizer, Inc. | 2,534 | 124,343 | ||
Roche Holding AG | 3,057 | 1,132,211 | ||
Santen Pharmaceutical Co. Ltd. | 14,200 | 116,013 | ||
SpringWorks Therapeutics, Inc. (a) | 607 | 26,046 | ||
Turning Point Therapeutics, Inc. (a) | 539 | 15,868 | ||
Vertex Pharmaceuticals, Inc. (a) | 2,660 | 726,765 | ||
Zoetis, Inc. | 1,400 | 248,150 | ||
$ 6,571,868 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Pollution Control – 0.1% | ||||
GFL Environmental, Inc. | 3,255 | $ 98,073 | ||
Republic Services, Inc. | 411 | 55,185 | ||
$ 153,258 | ||||
Precious Metals & Minerals – 0.6% | ||||
Agnico Eagle Mines Ltd. | 8,348 | $ 485,941 | ||
Agnico-Eagle Mines Ltd. | 1,646 | 95,847 | ||
Franco-Nevada Corp. | 2,503 | 378,533 | ||
Wheaton Precious Metals Corp. | 3,814 | 170,949 | ||
$ 1,131,270 | ||||
Printing & Publishing – 0.1% | ||||
Wolters Kluwer N.V. | 2,146 | $ 217,068 | ||
Railroad & Shipping – 0.8% | ||||
Canadian National Railway Co. | 4,840 | $ 569,281 | ||
Canadian Pacific Railway Ltd. | 2,589 | 189,566 | ||
CSX Corp. | 7,445 | 255,661 | ||
Sankyu, Inc. | 2,100 | 63,880 | ||
Union Pacific Corp. | 1,047 | 245,302 | ||
$ 1,323,690 | ||||
Real Estate – 1.8% | ||||
Ascendas Real Estate Investment Trust, REIT | 42,202 | $ 86,893 | ||
Big Yellow Group PLC, REIT | 2,253 | 40,254 | ||
Boston Properties, Inc., REIT | 193 | 22,697 | ||
Brixmor Property Group, Inc., REIT | 3,097 | 78,602 | ||
Broadstone Net Lease, Inc., REIT | 2,741 | 56,711 | ||
Douglas Emmett, Inc., REIT | 686 | 20,209 | ||
Empire State Realty Trust, REIT, “A” | 4,573 | 39,511 | ||
ESR Cayman Ltd. (a) | 52,200 | 158,329 | ||
Extra Space Storage, Inc., REIT | 2,219 | 421,610 | ||
Grand City Properties S.A. | 2,960 | 52,460 | ||
Hibernia PLC, REIT | 52,532 | 90,139 | ||
Host Hotels & Resorts, Inc., REIT | 2,199 | 44,750 | ||
Industrial Logistics Properties Trust, REIT | 2,331 | 37,669 | ||
Innovative Industrial Properties, Inc., REIT | 233 | 33,689 | ||
LEG Immobilien AG | 935 | 96,270 | ||
Life Storage, Inc., REIT | 855 | 113,279 | ||
LXP Industrial Trust, REIT | 1,732 | 21,737 | ||
Mapletree Commercial Trust, REIT | 44,800 | 60,348 | ||
National Storage Affiliates Trust, REIT | 698 | 39,507 | ||
Phillips Edison & Co., REIT | 1,803 | 61,049 | ||
Public Storage, Inc., REIT | 584 | 216,956 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Real Estate – continued | ||||
Simon Property Group, Inc., REIT | 4,829 | $ 569,822 | ||
Spirit Realty Capital, Inc., REIT | 557 | 24,202 | ||
STAG Industrial, Inc., REIT | 2,802 | 104,571 | ||
STORE Capital Corp., REIT | 878 | 24,961 | ||
Sun Communities, Inc., REIT | 331 | 58,114 | ||
TAG Immobilien AG | 20,874 | 419,721 | ||
Two Harbors Investment Corp., REIT | 10,421 | 50,125 | ||
VICI Properties, Inc., REIT | 2,127 | 63,406 | ||
W.P. Carey, Inc., REIT | 562 | 45,393 | ||
$ 3,152,984 | ||||
Restaurants – 0.4% | ||||
Aramark | 1,287 | $ 46,654 | ||
Chipotle Mexican Grill, Inc., “A” (a) | 50 | 72,781 | ||
Domino's Pizza, Inc. | 517 | 174,746 | ||
Jack in the Box, Inc. | 594 | 49,159 | ||
Performance Food Group Co. (a) | 584 | 28,762 | ||
Starbucks Corp. | 1,540 | 114,946 | ||
Texas Roadhouse, Inc. | 1,237 | 101,842 | ||
Wendy's Co. | 3,472 | 68,607 | ||
Yum China Holdings, Inc. | 1,448 | 60,526 | ||
$ 718,023 | ||||
Specialty Chemicals – 1.7% | ||||
Air Products & Chemicals, Inc. | 100 | $ 23,407 | ||
Akzo Nobel N.V. | 698 | 60,223 | ||
Ashland Global Holdings, Inc. | 501 | 52,590 | ||
Avient Corp. | 1,341 | 66,031 | ||
Axalta Coating Systems Ltd. (a) | 8,030 | 203,721 | ||
Corteva, Inc. | 1,202 | 69,343 | ||
Croda International PLC | 2,191 | 212,289 | ||
Diversey Holdings Ltd. (a) | 7,504 | 58,081 | ||
Dow, Inc. | 1,148 | 76,342 | ||
DuPont de Nemours, Inc. | 1,455 | 95,928 | ||
Kansai Paint Co. Ltd. | 6,000 | 82,959 | ||
Linde PLC | 3,554 | 1,134,954 | ||
Nitto Denko Corp. | 1,000 | 67,146 | ||
Sika AG | 1,994 | 606,333 | ||
Symrise AG | 750 | 89,763 | ||
Univar Solutions, Inc. (a) | 1,967 | 57,279 | ||
$ 2,956,389 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Specialty Stores – 2.0% | ||||
ACV Auctions, Inc. (a) | 5,601 | $ 74,773 | ||
Amazon.com, Inc. (a)(f)(s) | 723 | 1,797,111 | ||
AutoZone, Inc. (a) | 150 | 293,321 | ||
Home Depot, Inc. | 206 | 61,882 | ||
JD.com, Inc., “A” (a) | 476 | 14,837 | ||
Just Eat Takeaway.com (a) | 1,052 | 28,560 | ||
Leslie's, Inc. (a) | 4,383 | 85,907 | ||
Lululemon Athletica, Inc. (a) | 678 | 240,439 | ||
Monro Muffler Brake, Inc. | 389 | 17,789 | ||
Ocado Group PLC (a) | 1,017 | 11,595 | ||
O'Reilly Automotive, Inc. (a) | 417 | 252,931 | ||
Petco Health & Wellness Co., Inc. (a) | 3,030 | 58,358 | ||
Ross Stores, Inc. | 359 | 35,817 | ||
Ryohin Keikaku Co. Ltd. | 4,100 | 36,815 | ||
Target Corp. | 1,097 | 250,829 | ||
Ulta Beauty, Inc. (a) | 333 | 132,134 | ||
Urban Outfitters, Inc. (a) | 3,302 | 78,588 | ||
ZOZO, Inc. | 2,800 | 57,154 | ||
Zumiez, Inc. (a) | 1,310 | 47,985 | ||
$ 3,576,825 | ||||
Telecommunications - Wireless – 0.4% | ||||
Advanced Info Service Public Co. Ltd. | 5,600 | $ 35,153 | ||
Cellnex Telecom S.A. | 3,825 | 178,790 | ||
KDDI Corp. | 2,700 | 89,520 | ||
Liberty Broadband Corp. (a) | 355 | 39,696 | ||
SBA Communications Corp., REIT | 653 | 226,663 | ||
SoftBank Group Corp. | 900 | 36,334 | ||
T-Mobile US, Inc. (a) | 240 | 29,554 | ||
$ 635,710 | ||||
Telephone Services – 0.2% | ||||
Altice USA, Inc., “A” (a) | 1,052 | $ 9,762 | ||
Hellenic Telecommunications Organization S.A. | 2,152 | 41,773 | ||
Infrastrutture Wireless Italiane S.p.A. | 12,582 | 134,052 | ||
Lumen Technologies, Inc. | 8,847 | 89,001 | ||
$ 274,588 | ||||
Tobacco – 0.7% | ||||
Altria Group, Inc. | 3,745 | $ 208,110 | ||
British American Tobacco PLC | 3,428 | 144,489 | ||
Philip Morris International, Inc. (f) | 5,631 | 563,100 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Tobacco – continued | ||||
Swedish Match AB (l) | 45,071 | $ 359,158 | ||
$ 1,274,857 | ||||
Trucking – 0.4% | ||||
CryoPort, Inc. (a) | 1,433 | $ 32,328 | ||
Knight-Swift Transportation Holdings, Inc. | 1,949 | 93,338 | ||
Schneider National, Inc. | 2,746 | 64,888 | ||
Seino Holdings Co. Ltd. | 10,900 | 88,951 | ||
SG Holdings Co. Ltd. | 4,800 | 84,578 | ||
United Parcel Service, Inc., “B” | 724 | 130,306 | ||
XPO Logistics, Inc. (a) | 1,161 | 62,450 | ||
Yamato Holdings Co. Ltd. | 3,300 | 61,895 | ||
$ 618,734 | ||||
Utilities - Electric Power – 1.8% | ||||
Ameren Corp. | 499 | $ 46,357 | ||
American Electric Power Co., Inc. | 232 | 22,994 | ||
Black Hills Corp. | 1,134 | 83,054 | ||
CenterPoint Energy, Inc. | 1,919 | 58,741 | ||
CLP Holdings Ltd. | 4,000 | 38,938 | ||
CMS Energy Corp. | 849 | 58,318 | ||
Dominion Energy, Inc. | 5,527 | 451,224 | ||
Duke Energy Corp. (f) | 4,696 | 517,311 | ||
E.ON SE | 4,165 | 43,631 | ||
Edison International | 549 | 37,766 | ||
Eversource Energy | 556 | 48,594 | ||
Exelon Corp. | 6,231 | 291,486 | ||
Iberdrola S.A. | 8,306 | 94,902 | ||
NextEra Energy, Inc. | 481 | 34,161 | ||
PG&E Corp. (a) | 7,538 | 95,356 | ||
Pinnacle West Capital Corp. | 650 | 46,280 | ||
Portland General Electric Co. | 1,350 | 63,895 | ||
Public Service Enterprise Group, Inc. | 969 | 67,501 | ||
Sempra Energy | 341 | 55,024 | ||
Southern Co. | 7,303 | 535,967 | ||
Vistra Corp. | 19,820 | 495,896 | ||
$ 3,187,396 | ||||
Total Common Stocks (Identified Cost, $93,423,574) | $ 124,046,659 |
Issuer | Shares/Par | Value ($) | ||
Bonds – 18.6% | ||||
Aerospace & Defense – 0.3% | ||||
Boeing Co., 5.15%, 5/01/2030 | $ | 194,000 | $ 192,465 | |
Boeing Co., 3.75%, 2/01/2050 | 57,000 | 43,626 | ||
Boeing Co., 5.805%, 5/01/2050 | 88,000 | 88,005 | ||
Raytheon Technologies Corp., 1.9%, 9/01/2031 | 50,000 | 41,103 | ||
Raytheon Technologies Corp., 2.375%, 3/15/2032 | 78,000 | 67,042 | ||
Raytheon Technologies Corp., 3.03%, 3/15/2052 | 78,000 | 60,168 | ||
$ 492,409 | ||||
Apparel Manufacturers – 0.1% | ||||
Tapestry, Inc., 4.125%, 7/15/2027 | $ | 17,000 | $ 16,642 | |
Tapestry, Inc., 3.05%, 3/15/2032 | 168,000 | 142,910 | ||
$ 159,552 | ||||
Asset-Backed & Securitized – 0.4% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.147%, 11/15/2054 (i) | $ | 997,816 | $ 66,320 | |
ACREC 2021-FL1 Ltd., “A”, FLR, 1.704% (LIBOR - 1mo. + 1.15%), 10/16/2036 (n) | 114,000 | 112,227 | ||
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.386%, 7/15/2054 (i) | 1,221,912 | 101,295 | ||
KREF 2018-FT1 Ltd., “A”, FLR, 1.624% (LIBOR - 1mo. + 1.1%), 2/15/2039 (n) | 100,000 | 98,252 | ||
KREF 2018-FT1 Ltd., “AS”, FLR, 1.854% (LIBOR - 1mo. + 1.3%), 2/15/2039 (n) | 100,000 | 97,726 | ||
PFP III 2021-8 Ltd., “A”, FLR, 1.554% (LIBOR - 1mo. + 1%), 8/09/2037 (n) | 100,000 | 97,252 | ||
PFP III 2021-8 Ltd., “AS”, FLR, 1.804% (LIBOR - 1mo. + 1.25%), 8/09/2037 (n) | 104,000 | 102,190 | ||
$ 675,262 | ||||
Automotive – 0.3% | ||||
Daimler Trucks Finance North America LLC, 2.5%, 12/14/2031 (n) | $ | 150,000 | $ 125,193 | |
Hyundai Capital America, 6.375%, 4/08/2030 (n) | 301,000 | 329,823 | ||
$ 455,016 | ||||
Broadcasting – 0.6% | ||||
Discovery Communications LLC, 3.625%, 5/15/2030 | $ | 150,000 | $ 137,512 | |
Discovery Communications LLC, 4%, 9/15/2055 | 119,000 | 89,241 | ||
Magallanes, Inc., 4.279%, 3/15/2032 (n) | 87,000 | 80,814 | ||
Magallanes, Inc., 5.391%, 3/15/2062 (n) | 97,000 | 86,105 | ||
Prosus N.V., 3.832%, 2/08/2051 (n) | 200,000 | 132,315 | ||
Walt Disney Co., 3.35%, 3/24/2025 | 160,000 | 159,553 | ||
Walt Disney Co., 3.5%, 5/13/2040 | 237,000 | 208,723 | ||
Walt Disney Co., 3.8%, 5/13/2060 | 150,000 | 130,579 | ||
$ 1,024,842 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Brokerage & Asset Managers – 0.2% | ||||
Brookfield Finance, Inc., 2.34%, 1/30/2032 | $ | 206,000 | $ 171,278 | |
Charles Schwab Corp., 1.95%, 12/01/2031 | 108,000 | 88,796 | ||
Intercontinental Exchange, Inc., 1.85%, 9/15/2032 | 105,000 | 84,462 | ||
Intercontinental Exchange, Inc., 3%, 9/15/2060 | 65,000 | 46,820 | ||
$ 391,356 | ||||
Building – 0.1% | ||||
Vulcan Materials Co., 3.5%, 6/01/2030 | $ | 137,000 | $ 129,980 | |
Vulcan Materials Co., 4.5%, 6/15/2047 | 78,000 | 74,375 | ||
$ 204,355 | ||||
Business Services – 0.6% | ||||
Equifax, Inc., 3.1%, 5/15/2030 | $ | 246,000 | $ 223,506 | |
Equifax, Inc., 2.35%, 9/15/2031 | 263,000 | 220,767 | ||
Equinix, Inc., 2.5%, 5/15/2031 | 155,000 | 130,210 | ||
Fiserv, Inc., 4.4%, 7/01/2049 | 75,000 | 67,579 | ||
S&P Global, Inc., 3.7%, 3/01/2052 (n) | 81,000 | 70,631 | ||
Visa, Inc., 2.05%, 4/15/2030 | 277,000 | 245,615 | ||
Visa, Inc., 2.7%, 4/15/2040 | 88,000 | 71,812 | ||
Visa, Inc., 2%, 8/15/2050 | 107,000 | 72,219 | ||
$ 1,102,339 | ||||
Cable TV – 0.2% | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | $ | 78,000 | $ 82,175 | |
Comcast Corp., 1.5%, 2/15/2031 | 198,000 | 160,724 | ||
Comcast Corp., 3.75%, 4/01/2040 | 100,000 | 89,836 | ||
$ 332,735 | ||||
Chemicals – 0.0% | ||||
RPM International, Inc., 4.55%, 3/01/2029 | $ | 24,000 | $ 23,992 | |
RPM International, Inc., 4.25%, 1/15/2048 | 12,000 | 10,996 | ||
$ 34,988 | ||||
Computer Software – 0.1% | ||||
Microsoft Corp., 2.525%, 6/01/2050 | $ | 350,000 | $ 262,426 | |
Computer Software - Systems – 0.3% | ||||
Apple, Inc., 2.05%, 9/11/2026 | $ | 282,000 | $ 267,191 | |
Apple, Inc., 1.7%, 8/05/2031 | 93,000 | 78,431 | ||
Apple, Inc., 2.65%, 5/11/2050 | 196,000 | 149,419 | ||
$ 495,041 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Conglomerates – 0.4% | ||||
Carrier Global Corp., 2.722%, 2/15/2030 | $ | 155,000 | $ 136,388 | |
Carrier Global Corp., 3.377%, 4/05/2040 | 141,000 | 115,778 | ||
Otis Worldwide Corp., 2.565%, 2/15/2030 | 233,000 | 204,336 | ||
Westinghouse Air Brake Technologies Corp., 4.95%, 9/15/2028 | 212,000 | 212,680 | ||
$ 669,182 | ||||
Consumer Products – 0.1% | ||||
Hasbro, Inc., 3.9%, 11/19/2029 | $ | 143,000 | $ 135,841 | |
Mattel, Inc., 3.75%, 4/01/2029 (n) | 96,000 | 91,440 | ||
$ 227,281 | ||||
Consumer Services – 0.0% | ||||
Booking Holdings, Inc., 3.55%, 3/15/2028 | $ | 84,000 | $ 81,942 | |
Electrical Equipment – 0.0% | ||||
Arrow Electronics, Inc., 3.875%, 1/12/2028 | $ | 29,000 | $ 28,326 | |
Electronics – 0.3% | ||||
Broadcom, Inc., 3.469%, 4/15/2034 (n) | $ | 91,000 | $ 77,240 | |
Broadcom, Inc., 3.187%, 11/15/2036 (n) | 268,000 | 211,594 | ||
NXP B.V./NXP Funding LLC/NXP USA, Inc., 3.4%, 5/01/2030 (n) | 224,000 | 204,081 | ||
NXP B.V./NXP Funding LLC/NXP USA, Inc., 3.125%, 2/15/2042 (n) | 132,000 | 102,106 | ||
$ 595,021 | ||||
Emerging Market Quasi-Sovereign – 0.3% | ||||
Ecopetrol S.A. (Republic of Colombia), 5.375%, 6/26/2026 | $ | 237,000 | $ 233,232 | |
Ecopetrol S.A. (Republic of Colombia), 6.875%, 4/29/2030 | 140,000 | 138,251 | ||
Qatar Petroleum, 3.125%, 7/12/2041 (n) | 200,000 | 167,048 | ||
$ 538,531 | ||||
Emerging Market Sovereign – 0.3% | ||||
State of Qatar, 3.75%, 4/16/2030 (n) | $ | 200,000 | $ 202,114 | |
United Mexican States, 2.659%, 5/24/2031 | 200,000 | 167,584 | ||
United Mexican States, 4.28%, 8/14/2041 | 200,000 | 166,086 | ||
$ 535,784 | ||||
Energy - Independent – 0.2% | ||||
Diamondback Energy, Inc., 3.125%, 3/24/2031 | $ | 103,000 | $ 91,915 | |
Hess Corp., 5.8%, 4/01/2047 | 150,000 | 158,315 | ||
Pioneer Natural Resources Co., 1.9%, 8/15/2030 | 20,000 | 16,607 | ||
$ 266,837 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Energy - Integrated – 0.3% | ||||
BP Capital Markets America, Inc., 1.749%, 8/10/2030 | $ | 99,000 | $ 82,328 | |
BP Capital Markets America, Inc., 3.001%, 3/17/2052 | 39,000 | 29,203 | ||
Cenovus Energy, Inc., 5.375%, 7/15/2025 | 88,000 | 91,261 | ||
Cenovus Energy, Inc., 4.4%, 4/15/2029 | 39,000 | 38,639 | ||
Cenovus Energy, Inc., 2.65%, 1/15/2032 | 47,000 | 40,009 | ||
Cenovus Energy, Inc., 6.75%, 11/15/2039 | 24,000 | 27,233 | ||
Cenovus Energy, Inc., 3.75%, 2/15/2052 | 25,000 | 19,936 | ||
Eni S.p.A., 4.75%, 9/12/2028 (n) | 200,000 | 203,223 | ||
$ 531,832 | ||||
Financial Institutions – 0.5% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.65%, 7/21/2027 | $ | 150,000 | $ 140,574 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.3%, 1/30/2032 | 150,000 | 124,805 | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.85%, 10/29/2041 | 150,000 | 115,927 | ||
Air Lease Corp., 2.875%, 1/15/2032 | 258,000 | 212,734 | ||
Avolon Holdings Funding Ltd., 4.25%, 4/15/2026 (n) | 100,000 | 95,890 | ||
Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 94,000 | 90,520 | ||
Avolon Holdings Funding Ltd., 2.75%, 2/21/2028 (n) | 180,000 | 154,823 | ||
$ 935,273 | ||||
Food & Beverages – 0.7% | ||||
Anheuser-Busch InBev Worldwide, Inc., 3.5%, 6/01/2030 | $ | 182,000 | $ 172,605 | |
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | 150,000 | 160,066 | ||
Bacardi Ltd., 5.15%, 5/15/2038 (n) | 114,000 | 113,860 | ||
Constellation Brands, Inc., 2.25%, 8/01/2031 | 99,000 | 82,085 | ||
Constellation Brands, Inc., 4.1%, 2/15/2048 | 269,000 | 235,969 | ||
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029 (n) | 119,000 | 105,910 | ||
Kraft Heinz Foods Co., 4.875%, 10/01/2049 | 90,000 | 83,793 | ||
Kraft Heinz Foods Co., 5.5%, 6/01/2050 | 86,000 | 86,599 | ||
SYSCO Corp., 2.4%, 2/15/2030 | 24,000 | 21,042 | ||
SYSCO Corp., 2.45%, 12/14/2031 | 52,000 | 44,693 | ||
SYSCO Corp., 4.45%, 3/15/2048 | 52,000 | 48,117 | ||
$ 1,154,739 | ||||
Gaming & Lodging – 0.4% | ||||
GLP Capital LP/GLP Financing II, Inc., 3.25%, 1/15/2032 | $ | 71,000 | $ 59,734 | |
Marriott International, Inc., 4.625%, 6/15/2030 | 50,000 | 49,302 | ||
Marriott International, Inc., 2.85%, 4/15/2031 | 211,000 | 181,466 | ||
Marriott International, Inc., 3.5%, 10/15/2032 | 128,000 | 114,314 | ||
VICI Properties LP / VICI Note Co., Inc., 4.25%, 12/01/2026 (n) | 29,000 | 27,481 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Gaming & Lodging – continued | ||||
VICI Properties LP / VICI Note Co., Inc., 4.125%, 8/15/2030 (n) | $ | 59,000 | $ 53,004 | |
VICI Properties LP, REIT, 4.75%, 2/15/2028 | 145,000 | 144,408 | ||
VICI Properties LP, REIT, 5.625%, 5/15/2052 | 56,000 | 55,780 | ||
$ 685,489 | ||||
Industrial – 0.1% | ||||
Trustees of the University of Pennsylvania, 2.396%, 10/01/2050 | $ | 234,000 | $ 173,305 | |
Insurance – 0.1% | ||||
Corebridge Financial, Inc., 3.9%, 4/05/2032 (n) | $ | 115,000 | $ 107,932 | |
Corebridge Financial, Inc., 4.35%, 4/05/2042 (n) | 19,000 | 17,182 | ||
$ 125,114 | ||||
Insurance - Health – 0.2% | ||||
UnitedHealth Group, Inc., 2.3%, 5/15/2031 | $ | 57,000 | $ 49,811 | |
UnitedHealth Group, Inc., 4.625%, 7/15/2035 | 306,000 | 313,406 | ||
$ 363,217 | ||||
Insurance - Property & Casualty – 0.1% | ||||
Aon Corp./Aon Global Holdings PLC, 2.05%, 8/23/2031 | $ | 239,000 | $ 197,738 | |
Aon Corp./Aon Global Holdings PLC, 2.6%, 12/02/2031 | 20,000 | 17,298 | ||
$ 215,036 | ||||
International Market Quasi-Sovereign – 0.1% | ||||
Ontario Teachers' Cadillac Fairview Properties, 2.5%, 10/15/2031 (n) | $ | 200,000 | $ 173,397 | |
International Market Sovereign – 0.1% | ||||
Government of Bermuda, 2.375%, 8/20/2030 (n) | $ | 200,000 | $ 177,500 | |
Machinery & Tools – 0.2% | ||||
CNH Industrial Capital LLC, 3.85%, 11/15/2027 | $ | 332,000 | $ 322,727 | |
Major Banks – 4.5% | ||||
Australia and New Zealand Banking Group Ltd., 2.57% to 11/25/2030, FLR (CMT - 5yr. + 1.7%) to 11/25/2035 (n) | $ | 108,000 | $ 88,897 | |
Bank of America Corp., 3.366% to 1/23/2025, FLR (LIBOR - 3mo. + 0.81%) to 1/23/2026 | 356,000 | 348,202 | ||
Bank of America Corp., 3.419% to 12/20/2027, FLR (LIBOR - 3mo. + 1.04%) to 12/20/2028 | 355,000 | 335,897 | ||
Bank of America Corp., 2.496% to 2/13/2030, FLR (LIBOR - 3mo. + 0.99%) to 2/13/2031 | 102,000 | 87,478 | ||
Bank of America Corp., 3.311% to 4/22/2041, FLR (SOFR - 1 day + 1.58%) to 4/22/2042 | 248,000 | 202,670 | ||
Barclays PLC, 2.894% to 11/24/2031, FLR (CMT - 1yr. + 1.3%) to 11/24/2032 | 200,000 | 167,062 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
Commonwealth Bank of Australia, 3.61% to 9/12/2029, FLR (CMT - 1yr. + 2.05%) to 9/12/2034 (n) | $ | 200,000 | $ 180,996 | |
Commonwealth Bank of Australia, 3.305%, 3/11/2041 (n) | 200,000 | 158,968 | ||
Credit Agricole S.A., 1.247% to 1/26/2026, FLR (SOFR - 1 day + 0.89162%) to 1/26/2027 (n) | 250,000 | 221,706 | ||
Credit Suisse Group AG, 3.091% to 5/14/2031, FLR (SOFR - 1 day + 1.73%) to 5/14/2032 (n) | 250,000 | 209,077 | ||
Goldman Sachs Group, Inc., 2.64% to 2/24/2027, FLR (SOFR - 1 day + 1.114%) to 2/24/2028 | 286,000 | 262,811 | ||
Goldman Sachs Group, Inc., 2.65% to 10/21/2031, FLR (SOFR - 1 day + 1.264%) to 10/21/2032 | 302,000 | 254,747 | ||
Goldman Sachs Group, Inc., 3.102% to 2/24/2032, FLR (SOFR - 1 day + 1.41%) to 2/24/2033 | 82,000 | 71,661 | ||
Goldman Sachs Group, Inc., 2.908% to 7/21/2041, FLR (SOFR - 1 day + 1.472%) to 7/21/2042 | 202,000 | 154,066 | ||
Goldman Sachs Group, Inc., 3.436% to 2/24/2042, FLR (SOFR - 1 day + 1.632%) to 2/24/2043 | 78,000 | 64,639 | ||
HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR - 1 day + 1.929%) to 6/04/2026 | 400,000 | 373,536 | ||
HSBC Holdings PLC, 2.357% to 8/18/2030, FLR (SOFR - 1 day + 1.947%) to 8/18/2031 | 450,000 | 373,564 | ||
HSBC Holdings PLC, 5.25%, 3/14/2044 | 200,000 | 193,858 | ||
JPMorgan Chase & Co., 3.782% to 2/01/2027, FLR (LIBOR - 3mo. + 1.337%) to 2/01/2028 | 264,000 | 256,163 | ||
JPMorgan Chase & Co., 2.545% to 11/08/2031, FLR (SOFR - 1 day + 1.18%) to 11/08/2032 | 160,000 | 135,461 | ||
JPMorgan Chase & Co., 3.109% to 4/22/2040, FLR (SOFR - 1 day + 2.46%) to 4/22/2041 | 100,000 | 80,151 | ||
Mitsubishi UFJ Financial Group, Inc., 1.64% to 10/13/2026, FLR (CMT - 1yr. + 0.67%) to 10/13/2027 | 200,000 | 178,223 | ||
Mitsubishi UFJ Financial Group, Inc., 2.494% to 10/13/2031, FLR (CMT - 1yr. + 0.97%) to 10/13/2032 | 200,000 | 168,096 | ||
Morgan Stanley, 3.125%, 7/27/2026 | 364,000 | 348,737 | ||
Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR - 1 day + 3.12%) to 4/01/2031 | 306,000 | 286,326 | ||
Morgan Stanley, 3.217% to 4/22/2041, FLR (SOFR - 1 day + 1.485%) to 4/22/2042 | 144,000 | 118,309 | ||
National Australia Bank Ltd., 3.347% to 1/12/2032, FLR (CMT - 5yr. + 1.7%) to 1/12/2037 (n) | 250,000 | 216,849 | ||
Nordea Bank Abp, 1.5%, 9/30/2026 (n) | 263,000 | 236,072 | ||
Royal Bank of Canada, 2.55%, 7/16/2024 | 285,000 | 280,185 | ||
Royal Bank of Canada, 2.3%, 11/03/2031 | 274,000 | 233,305 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
Société Générale S.A., 2.797% to 1/19/2027, FLR (CMT - 1yr. + 1.3%) to 1/19/2028 (n) | $ | 200,000 | $ 180,195 | |
Sumitomo Mitsui Financial Group, Inc., 1.71%, 1/12/2031 | 200,000 | 159,800 | ||
Toronto Dominion Bank, 1.25%, 9/10/2026 | 197,000 | 176,751 | ||
Toronto Dominion Bank, 2%, 9/10/2031 | 247,000 | 205,345 | ||
UBS Group AG, 3.179% to 2/11/2042, FLR (CMT - 1yr. + 1.1%) to 2/11/2043 (n) | 200,000 | 157,152 | ||
UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n) | 350,000 | 318,979 | ||
Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033 | 306,000 | 278,032 | ||
$ 7,763,966 | ||||
Medical & Health Technology & Services – 0.5% | ||||
Alcon Finance Corp., 2.75%, 9/23/2026 (n) | $ | 200,000 | $ 190,374 | |
Alcon, Inc., 2.6%, 5/27/2030 (n) | 200,000 | 172,075 | ||
Becton, Dickinson and Co., 2.823%, 5/20/2030 | 206,000 | 184,304 | ||
HCA, Inc., 5.125%, 6/15/2039 | 176,000 | 169,473 | ||
Thermo Fisher Scientific, Inc., 2.8%, 10/15/2041 | 105,000 | 83,985 | ||
$ 800,211 | ||||
Medical Equipment – 0.0% | ||||
Danaher Corp., 2.6%, 10/01/2050 | $ | 118,000 | $ 84,009 | |
Metals & Mining – 0.3% | ||||
Anglo American Capital PLC, 4.5%, 3/15/2028 (n) | $ | 200,000 | $ 200,182 | |
ArcelorMittal S.A., 4.25%, 7/16/2029 | 76,000 | 73,651 | ||
Glencore Funding LLC, 2.5%, 9/01/2030 (n) | 100,000 | 83,973 | ||
Glencore Funding LLC, 2.85%, 4/27/2031 (n) | 101,000 | 86,280 | ||
$ 444,086 | ||||
Midstream – 0.8% | ||||
Cheniere Corpus Christi Holdings LLC, 3.7%, 11/15/2029 | $ | 34,000 | $ 31,862 | |
Energy Transfer LP, 4%, 10/01/2027 | 52,000 | 50,307 | ||
Energy Transfer LP, 3.75%, 5/15/2030 | 52,000 | 47,908 | ||
Energy Transfer Partners LP, 5.15%, 3/15/2045 | 150,000 | 135,210 | ||
Galaxy Pipeline Assets Bidco Ltd., 1.75%, 9/30/2027 (n) | 196,244 | 184,444 | ||
Plains All American Pipeline LP/PAA Finance Corp., 3.55%, 12/15/2029 | 201,000 | 183,101 | ||
Plains All American Pipeline LP/PAA Finance Corp., 4.3%, 1/31/2043 | 150,000 | 120,450 | ||
Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 | 336,000 | 329,508 | ||
Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | 102,000 | 101,208 | ||
Targa Resources Corp., 4.2%, 2/01/2033 | 24,000 | 22,746 | ||
Targa Resources Corp., 4.95%, 4/15/2052 | 151,000 | 137,912 | ||
$ 1,344,656 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Municipals – 0.3% | ||||
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B”, 2.746%, 6/01/2034 | $ | 60,000 | $ 51,991 | |
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B”, 3%, 6/01/2046 | 60,000 | 53,234 | ||
Michigan Finance Authority Hospital Rev. (Trinity Health Credit Group), Taxable, 3.384%, 12/01/2040 | 160,000 | 141,220 | ||
New Jersey Transportation Trust Fund Authority, Transportation System, Taxable, “B”, 4.081%, 6/15/2039 | 180,000 | 162,592 | ||
State of Florida, Taxable, “A”, 2.154%, 7/01/2030 | 132,000 | 115,570 | ||
$ 524,607 | ||||
Natural Gas - Distribution – 0.0% | ||||
NiSource, Inc., 5.65%, 2/01/2045 | $ | 50,000 | $ 51,109 | |
Natural Gas - Pipeline – 0.2% | ||||
APT Pipelines Ltd., 5%, 3/23/2035 (n) | $ | 287,000 | $ 289,726 | |
Network & Telecom – 0.4% | ||||
AT&T, Inc., 2.75%, 6/01/2031 | $ | 193,000 | $ 170,195 | |
AT&T, Inc., 3.3%, 2/01/2052 | 102,000 | 77,265 | ||
AT&T, Inc., 3.55%, 9/15/2055 | 37,000 | 28,630 | ||
Verizon Communications, Inc., 2.55%, 3/21/2031 | 460,000 | 400,436 | ||
Verizon Communications, Inc., 3.4%, 3/22/2041 | 95,000 | 79,863 | ||
$ 756,389 | ||||
Oils – 0.1% | ||||
Valero Energy Corp., 2.8%, 12/01/2031 | $ | 104,000 | $ 89,904 | |
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 | $ 180,900 | |
Railroad & Shipping – 0.0% | ||||
Canadian Pacific Railway Co., 3%, 12/02/2041 | $ | 35,000 | $ 28,462 | |
Canadian Pacific Railway Co., 3.1%, 12/02/2051 | 52,000 | 40,259 | ||
$ 68,721 | ||||
Real Estate - Apartment – 0.1% | ||||
American Homes 4 Rent L.P., REIT, 2.375%, 7/15/2031 | $ | 117,000 | $ 96,709 | |
American Homes 4 Rent L.P., REIT, 3.375%, 7/15/2051 | 119,000 | 89,017 | ||
$ 185,726 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Real Estate - Office – 0.1% | ||||
Corporate Office Property LP, REIT, 2%, 1/15/2029 | $ | 109,000 | $ 90,881 | |
Corporate Office Property LP, REIT, 2.75%, 4/15/2031 | 176,000 | 149,324 | ||
$ 240,205 | ||||
Real Estate - Other – 0.2% | ||||
EPR Properties, REIT, 3.6%, 11/15/2031 | $ | 79,000 | $ 66,920 | |
Lexington Realty Trust Co., 2.7%, 9/15/2030 | 119,000 | 102,303 | ||
Lexington Realty Trust Co., 2.375%, 10/01/2031 | 66,000 | 53,560 | ||
W.P. Carey, Inc., REIT, 2.45%, 2/01/2032 | 59,000 | 49,369 | ||
$ 272,152 | ||||
Real Estate - Retail – 0.3% | ||||
Brixmor Operating Partnership LP, REIT, 4.05%, 7/01/2030 | $ | 173,000 | $ 163,396 | |
Brixmor Operating Partnership LP, REIT, 2.5%, 8/16/2031 | 65,000 | 53,805 | ||
STORE Capital Corp., REIT, 2.75%, 11/18/2030 | 210,000 | 178,992 | ||
STORE Capital Corp., REIT, 2.7%, 12/01/2031 | 129,000 | 107,408 | ||
$ 503,601 | ||||
Restaurants – 0.1% | ||||
Starbucks Corp., 3%, 2/14/2032 | $ | 230,000 | $ 203,306 | |
Retailers – 0.3% | ||||
Alimentation Couche-Tard, Inc., 3.8%, 1/25/2050 (n) | $ | 125,000 | $ 101,795 | |
Amazon.com, Inc., 3.6%, 4/13/2032 | 146,000 | 143,147 | ||
Home Depot, Inc., 3.9%, 6/15/2047 | 195,000 | 179,962 | ||
Nordstrom, Inc., 4.25%, 8/01/2031 | 97,000 | 82,216 | ||
Nordstrom, Inc., 5%, 1/15/2044 | 54,000 | 44,760 | ||
$ 551,880 | ||||
Specialty Stores – 0.1% | ||||
DICK'S Sporting Goods, 3.15%, 1/15/2032 | $ | 72,000 | $ 60,121 | |
DICK'S Sporting Goods, 4.1%, 1/15/2052 | 133,000 | 97,257 | ||
$ 157,378 | ||||
Telecommunications - Wireless – 0.6% | ||||
American Tower Corp., REIT, 2.95%, 1/15/2051 | $ | 79,000 | $ 54,067 | |
Cellnex Finance Co. S.A., 3.875%, 7/07/2041 (n) | 200,000 | 149,702 | ||
Crown Castle International Corp., REIT, 4.45%, 2/15/2026 | 165,000 | 166,519 | ||
Crown Castle International Corp., REIT, 3.7%, 6/15/2026 | 251,000 | 246,798 | ||
Rogers Communications, Inc., 4.5%, 3/15/2042 (n) | 82,000 | 74,652 | ||
Rogers Communications, Inc., 3.7%, 11/15/2049 | 86,000 | 68,127 | ||
T-Mobile USA, Inc., 3.5%, 4/15/2025 | 240,000 | 236,596 | ||
$ 996,461 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Treasury Obligations – 0.7% | ||||
U.S. Treasury Bonds, 1.125%, 8/15/2040 | $ | 443,000 | $ 317,645 | |
U.S. Treasury Bonds, 1.375%, 11/15/2040 (f) | 450,000 | 336,762 | ||
U.S. Treasury Note, 0.875%, 1/31/2024 (f) | 586,000 | 568,237 | ||
$ 1,222,644 | ||||
Utilities - Electric Power – 1.3% | ||||
Alabama Power Co., 3.45%, 10/01/2049 | $ | 177,000 | $ 145,227 | |
American Electric Power Co., Inc., 2.3%, 3/01/2030 | 105,000 | 90,168 | ||
American Transmission Systems, Inc., 2.65%, 1/15/2032 (n) | 33,000 | 28,702 | ||
CenterPoint Energy, Inc., 2.65%, 6/01/2031 | 103,000 | 90,245 | ||
Dominion Energy, Inc., 2.25%, 8/15/2031 | 69,000 | 58,037 | ||
Duke Energy Corp., 3.3%, 6/15/2041 | 213,000 | 172,336 | ||
Duke Energy Indiana LLC, 2.75%, 4/01/2050 | 76,000 | 56,019 | ||
Evergy, Inc., 2.9%, 9/15/2029 | 85,000 | 77,924 | ||
FirstEnergy Corp., 2.65%, 3/01/2030 | 220,000 | 186,567 | ||
Florida Power & Light Co., 2.85%, 4/01/2025 | 50,000 | 49,201 | ||
Florida Power & Light Co., 2.45%, 2/03/2032 | 82,000 | 72,340 | ||
Florida Power & Light Co., 3.95%, 3/01/2048 | 50,000 | 47,251 | ||
Jersey Central Power & Light Co., 4.3%, 1/15/2026 (n) | 182,000 | 182,633 | ||
Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | �� | 150,000 | 131,733 | |
MidAmerican Energy Co., 3.95%, 8/01/2047 | 200,000 | 185,037 | ||
NextEra Energy Capital Holdings, Inc., 2.44%, 1/15/2032 | 96,000 | 81,490 | ||
NextEra Energy Capital Holdings, Inc., 3.8% to 3/15/2027, FLR (CMT - 5yr. + 2.547%) to 3/15/2082 | 101,000 | 87,882 | ||
Pacific Gas & Electric Co., 2.5%, 2/01/2031 | 167,000 | 132,177 | ||
Pacific Gas & Electric Co., 4.95%, 7/01/2050 | 53,000 | 44,193 | ||
Southern California Edison Co., 4.5%, 9/01/2040 | 50,000 | 46,124 | ||
Southern California Edison Co., 3.65%, 2/01/2050 | 202,000 | 162,002 | ||
Virginia Electric & Power Co., 2.875%, 7/15/2029 | 85,000 | 78,744 | ||
$ 2,206,032 | ||||
Total Bonds (Identified Cost, $36,950,794) | $ 32,368,523 | |||
Preferred Stocks – 0.0% | ||||
Consumer Products – 0.0% | ||||
Henkel AG & Co. KGaA (Identified Cost, $158,845) | 1,706 | $ 110,432 |
Issuer | Strike Price | First Exercise | Shares/Par | Value ($) |
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 | $ 1,027 |
Investment Companies (h) – 6.8% | ||||
Money Market Funds – 6.8% | ||||
MFS Institutional Money Market Portfolio, 0.28% (v) (Identified Cost, $11,794,195) | 11,794,195 | $ 11,794,195 | ||
Collateral for Securities Loaned – 0.1% | ||||
JPMorgan U.S. Government Money Market Fund, 0.36% (j) (Identified Cost, $169,340) | 169,340 | $ 169,340 | ||
Securities Sold Short – (0.0)% | ||||
Telecommunications - Wireless – (0.0)% | ||||
Crown Castle International Corp., REIT (Proceeds Received, $21,464) | (164) | $ (30,374) | ||
Other Assets, Less Liabilities – 3.2% | 5,558,616 | |||
Net Assets – 100.0% | $174,018,418 |
(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 $11,794,195 and $156,695,981, respectively. | |||
(i) | Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security. | |||
(j) | The rate quoted is the annualized seven-day yield of the fund at period end. | |||
(l) | A portion of this security is on loan. See Note 2 for additional information. | |||
(n) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $7,734,935, 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 |
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 |
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 | ||||||
SEK | 4,597,469 | USD | 463,193 | Goldman Sachs International | 6/10/2022 | $5,500 |
USD | 4,967,932 | AUD | 6,831,404 | JPMorgan Chase Bank N.A. | 6/10/2022 | 137,778 |
USD | 11,667,798 | CHF | 10,819,995 | JPMorgan Chase Bank N.A. | 6/10/2022 | 522,911 |
USD | 115,486 | DKK | 785,682 | Goldman Sachs International | 6/10/2022 | 3,866 |
USD | 852,761 | DKK | 5,797,605 | JPMorgan Chase Bank N.A. | 6/10/2022 | 29,106 |
USD | 4,808,723 | EUR | 4,402,181 | Goldman Sachs International | 6/10/2022 | 156,387 |
USD | 14,867,337 | EUR | 13,611,886 | JPMorgan Chase Bank N.A. | 6/10/2022 | 481,954 |
USD | 10,517,000 | GBP | 8,067,215 | Goldman Sachs International | 6/10/2022 | 372,610 |
USD | 2,118,760 | HKD | 16,559,596 | Goldman Sachs International | 6/10/2022 | 6,610 |
USD | 134,651 | ILS | 439,381 | JPMorgan Chase Bank N.A. | 6/10/2022 | 2,780 |
Forward Foreign Currency Exchange Contracts - continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives - continued | ||||||
USD | 136,000 | INR | 10,408,896 | JPMorgan Chase Bank N.A. | 6/10/2022 | $400 |
USD | 14,257,038 | JPY | 1,727,985,702 | JPMorgan Chase Bank N.A. | 6/10/2022 | 923,797 |
USD | 521,993 | KRW | 637,588,800 | Goldman Sachs International | 6/10/2022 | 14,336 |
USD | 3,152,000 | NOK | 28,437,344 | Goldman Sachs International | 6/10/2022 | 119,810 |
USD | 3,934,128 | NZD | 5,809,206 | JPMorgan Chase Bank N.A. | 6/10/2022 | 183,882 |
USD | 169,000 | SEK | 1,627,555 | Goldman Sachs International | 6/10/2022 | 3,078 |
USD | 486,832 | SGD | 662,840 | JPMorgan Chase Bank N.A. | 6/10/2022 | 7,568 |
USD | 96,542 | THB | 3,204,240 | JPMorgan Chase Bank N.A. | 6/10/2022 | 3,178 |
USD | 762,518 | TWD | 21,476,323 | JPMorgan Chase Bank N.A. | 6/10/2022 | 33,635 |
USD | 134,256 | ZAR | 2,078,796 | Goldman Sachs International | 6/10/2022 | 3,203 |
$3,012,389 | ||||||
Liability Derivatives | ||||||
AUD | 4,839,270 | USD | 3,625,000 | JPMorgan Chase Bank N.A. | 6/10/2022 | $(203,387) |
CAD | 8,536,285 | USD | 6,714,000 | JPMorgan Chase Bank N.A. | 6/10/2022 | (69,675) |
CHF | 1,149,046 | USD | 1,239,000 | JPMorgan Chase Bank N.A. | 6/10/2022 | (55,451) |
EUR | 756,461 | USD | 829,000 | JPMorgan Chase Bank N.A. | 6/10/2022 | (29,553) |
GBP | 1,487,016 | USD | 1,947,740 | Goldman Sachs International | 6/10/2022 | (77,842) |
HKD | 1,278,694 | USD | 163,544 | JPMorgan Chase Bank N.A. | 6/10/2022 | (449) |
JPY | 253,239,159 | USD | 2,146,000 | JPMorgan Chase Bank N.A. | 6/10/2022 | (191,991) |
NOK | 82,069,934 | USD | 9,184,900 | Goldman Sachs International | 6/10/2022 | (434,027) |
NZD | 11,476,960 | USD | 7,888,000 | JPMorgan Chase Bank N.A. | 6/10/2022 | (478,825) |
SEK | 19,473,714 | USD | 2,060,000 | Goldman Sachs International | 6/10/2022 | (74,737) |
USD | 173,996 | BRL | 909,113 | Goldman Sachs International | 6/10/2022 | (7,614) |
USD | 2,448,468 | CAD | 3,156,738 | JPMorgan Chase Bank N.A. | 6/10/2022 | (8,620) |
USD | 420,938 | INR | 32,797,356 | JPMorgan Chase Bank N.A. | 6/10/2022 | (6,324) |
USD | 104,429 | MXN | 2,241,897 | Goldman Sachs International | 6/10/2022 | (4,604) |
$(1,643,099) |
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Equity Futures | ||||||
AEX 25 Index | Short | EUR | 56 | $8,245,685 | May – 2022 | $127,898 |
DAX Index | Short | EUR | 4 | 1,466,682 | June – 2022 | 32,275 |
FTSE 100 Index | Long | GBP | 8 | 746,321 | June – 2022 | 24,944 |
FTSE MIB Index | Long | EUR | 52 | 6,450,045 | June – 2022 | 137,419 |
Hang Seng Index | Long | HKD | 25 | 3,308,886 | May – 2022 | 140,460 |
Mexbol Index | Short | MXN | 195 | 4,902,497 | June – 2022 | 269,545 |
Russell 2000 Index | Short | USD | 183 | 17,030,895 | June – 2022 | 1,365,217 |
S&P 500 E-Mini Index | Short | USD | 202 | 41,687,750 | June – 2022 | 1,404,774 |
S&P MidCap 400 Index | Short | USD | 55 | 13,723,050 | June – 2022 | 496,897 |
S&P/TSX 60 Index | Short | CAD | 17 | 3,313,587 | June – 2022 | 80,415 |
Futures Contracts - continued | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives - continued | ||||||
Equity Futures - continued | ||||||
Topix Index | Long | JPY | 10 | $1,459,122 | June – 2022 | $41,430 |
$4,121,274 | ||||||
Interest Rate Futures | ||||||
Canadian Treasury Bond 10yr | Short | CAD | 116 | $11,409,925 | June – 2022 | $725,028 |
Long Gilt 10 yr | Short | GBP | 104 | 15,488,967 | June – 2022 | 389,164 |
U.S. Treasury Note 10 yr | Short | USD | 108 | 12,868,875 | June – 2022 | 387,488 |
U.S. Treasury Ultra Bond | Short | USD | 2 | 320,875 | June – 2022 | 45,815 |
U.S. Treasury Ultra Note 10 yr | Short | USD | 41 | 5,289,000 | June – 2022 | 437,105 |
$1,984,600 | ||||||
$6,105,874 | ||||||
Liability Derivatives | ||||||
Equity Futures | ||||||
BIST 30 Index | Long | TRY | 3,508 | $6,647,842 | June – 2022 | $(163,099) |
CAC 40 Index | Long | EUR | 66 | 4,438,513 | May – 2022 | (20,885) |
FTSE Taiwan Index | Short | USD | 89 | 5,187,810 | May – 2022 | (44,033) |
FTSE/JSE Top 40 Index | Long | ZAR | 99 | 4,076,416 | June – 2022 | (86,027) |
IBEX 35 Index | Long | EUR | 17 | 1,511,141 | May – 2022 | (17,962) |
IBOV Index | Long | BRL | 58 | 1,276,635 | June – 2022 | (122,137) |
KOSPI 200 Index | Long | KRW | 23 | 1,617,923 | June – 2022 | (3,176) |
MSCI Singapore Index | Short | SGD | 63 | 1,420,927 | May – 2022 | (19,219) |
NIFTY Index | Short | USD | 51 | 1,746,903 | May – 2022 | (13,921) |
OMX 30 Index | Long | SEK | 15 | 309,914 | May – 2022 | (12,748) |
S&P/ASX 200 Index | Short | AUD | 57 | 7,355,085 | June – 2022 | (227,222) |
$(730,429) | ||||||
Interest Rate Futures | ||||||
Australian Bond 10 yr | Long | AUD | 176 | $15,437,128 | June – 2022 | $(878,677) |
Euro-Bund 10 yr | Long | EUR | 31 | 5,022,923 | June – 2022 | (266,273) |
Japan Government Bond 10 yr | Long | JPY | 1 | 1,152,919 | June – 2022 | (5,174) |
U.S. Treasury Note 2 yr | Long | USD | 22 | 4,637,875 | June – 2022 | (81,547) |
U.S. Treasury Note 5 yr | Long | USD | 28 | 3,154,812 | June – 2022 | (133,344) |
$(1,365,015) | ||||||
$(2,095,444) |
Cleared Swap Agreements | ||||||||||
Maturity Date | Notional Amount | Counterparty | Cash Flows to Receive/ Frequency | Cash Flows to Pay/ Frequency | Unrealized Appreciation (Depreciation) | Net Unamortized Upfront Payments (Receipts) | Value | |||
Asset Derivatives | ||||||||||
Interest Rate Swaps | ||||||||||
6/16/32 | USD | 8,000,000 | centrally cleared | FLR (SOFR - 1 day)/Annually | 2.530%/Semi-annually | $141,915 | $(3,392) | $138,523 | ||
6/19/52 | USD | 5,000,000 | centrally cleared | FLR (SOFR - 1 day)/Annually | 2.340%/Semi-annually | 108,674 | 34,568 | 143,242 | ||
$250,589 | $31,176 | $281,765 | ||||||||
Liability Derivatives | ||||||||||
Interest Rate Swaps | ||||||||||
6/19/24 | USD | 36,400,000 | centrally cleared | 2.570%/Semi-annually | FLR (SOFR - 1 day)/Annually | $(239,014) | $24,369 | $(214,645) | ||
6/16/27 | USD | 22,800,000 | centrally cleared | 2.540%/Semi-annually | FLR (SOFR - 1 day)/Annually | (304,613) | 30,347 | (274,266) | ||
$(543,627) | $54,716 | $(488,911) |
Assets | |
Investments in unaffiliated issuers, at value, including $172,841 of securities on loan (identified cost, $130,702,553) | $156,695,981 |
Investments in affiliated issuers, at value (identified cost, $11,794,195) | 11,794,195 |
Cash | 40,036 |
Deposits with brokers for | |
Futures contracts | 1,060,749 |
Securities sold short | 26,935 |
Receivables for | |
Forward foreign currency exchange contracts | 3,012,389 |
Net daily variation margin on open futures contracts | 2,693,460 |
Investments sold | 81,289 |
Fund shares sold | 102,898 |
Interest and dividends | 885,945 |
Receivable from investment adviser | 10,446 |
Other assets | 566 |
Total assets | $176,404,889 |
Liabilities | |
Payable to custodian | $2,759 |
Payables for | |
Net daily variation margin on open cleared swap agreements | 57,031 |
Securities sold short, at value (proceeds received, $21,464) | 30,374 |
Forward foreign currency exchange contracts | 1,643,099 |
Investments purchased | 39,875 |
Fund shares reacquired | 271,549 |
Collateral for securities loaned, at value (c) | 169,340 |
Payable to affiliates | |
Administrative services fee | 316 |
Shareholder servicing costs | 47,862 |
Distribution and service fees | 1,197 |
Payable for independent Trustees' compensation | 945 |
Deferred country tax expense payable | 20,465 |
Accrued expenses and other liabilities | 101,659 |
Total liabilities | $2,386,471 |
Net assets | $174,018,418 |
Net assets consist of | |
Paid-in capital | $193,411,826 |
Total distributable earnings (loss) | (19,393,408) |
Net assets | $174,018,418 |
Shares of beneficial interest outstanding | 15,567,927 |
(c) | Non-cash collateral is not included. |
Net assets | Shares outstanding | Net asset value per share (a) | |
Class A | $26,896,242 | 2,418,214 | $11.12 |
Class B | 2,367,523 | 218,864 | 10.82 |
Class C | 4,644,891 | 427,863 | 10.86 |
Class I | 107,773,001 | 9,625,287 | 11.20 |
Class R1 | 115,226 | 10,773 | 10.70 |
Class R2 | 556,514 | 50,576 | 11.00 |
Class R3 | 1,488,378 | 133,629 | 11.14 |
Class R4 | 389,752 | 34,711 | 11.23 |
Class R6 | 29,786,891 | 2,648,010 | 11.25 |
(a) | Maximum offering price per share was equal to the net asset value per share for all share classes, except for Class A, for which the maximum offering price per share was $11.80 [100 / 94.25 x $11.12]. On sales of $50,000 or more, the maximum offering price of Class A shares is reduced. A contingent deferred sales charge may be imposed on redemptions of Class A, Class B, and Class C shares. Redemption price per share was equal to the net asset value per share for Classes I, R1, R2, R3, R4, and R6. |
Net investment income (loss) | |
Income | |
Dividends | $1,047,944 |
Interest | 537,339 |
Other | 10,906 |
Dividends from affiliated issuers | 5,340 |
Income on securities loaned | 2,102 |
Foreign taxes withheld | (41,492) |
Total investment income | $1,562,139 |
Expenses | |
Management fee | $743,695 |
Distribution and service fees | 80,791 |
Shareholder servicing costs | 86,645 |
Administrative services fee | 18,129 |
Independent Trustees' compensation | 2,436 |
Custodian fee | 54,955 |
Shareholder communications | 9,363 |
Audit and tax fees | 47,986 |
Legal fees | 461 |
Dividend and interest expense on securities sold short | 387 |
Interest expense and fees | 354 |
Registration fees | 64,394 |
Miscellaneous | 40,843 |
Total expenses | $1,150,439 |
Fees paid indirectly | (123) |
Reduction of expenses by investment adviser and distributor | (109,211) |
Net expenses | $1,041,105 |
Net investment income (loss) | $521,034 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers (net of $3,452 country tax) | $4,143,256 |
Futures contracts | 6,031,211 |
Swap agreements | (961,125) |
Forward foreign currency exchange contracts | 1,397,831 |
Foreign currency | (187,991) |
Net realized gain (loss) | $10,423,182 |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers (net of $4,646 decrease in deferred country tax) | $(29,047,554) |
Futures contracts | 6,576,920 |
Swap agreements | 238,916 |
Securities sold short | (1,744) |
Forward foreign currency exchange contracts | 775,868 |
Translation of assets and liabilities in foreign currencies | 16,776 |
Net unrealized gain (loss) | $(21,440,818) |
Net realized and unrealized gain (loss) | $(11,017,636) |
Change in net assets from operations | $(10,496,602) |
Six months ended | Year ended | |
4/30/22 (unaudited) | 10/31/21 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $521,034 | $1,024,242 |
Net realized gain (loss) | 10,423,182 | (12,359,451) |
Net unrealized gain (loss) | (21,440,818) | 25,503,990 |
Change in net assets from operations | $(10,496,602) | $14,168,781 |
Total distributions to shareholders | $(1,041,120) | $(985,057) |
Change in net assets from fund share transactions | $(4,837,658) | $3,969,800 |
Total change in net assets | $(16,375,380) | $17,153,524 |
Net assets | ||
At beginning of period | 190,393,798 | 173,240,274 |
At end of period | $174,018,418 | $190,393,798 |
Class A | Six months ended | Year ended | ||||
4/30/22 (unaudited) | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $11.82 | $10.99 | $10.80 | $10.07 | $10.26 | $10.00 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.02 | $0.05 | $0.07 | $0.10 | $0.06 | $0.04 |
Net realized and unrealized gain (loss) | (0.68) | 0.83 | 0.22 | 0.71 | (0.07) | 0.46 |
Total from investment operations | $(0.66) | $0.88 | $0.29 | $0.81 | $(0.01) | $0.50 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.04) | $(0.05) | $(0.10) | $(0.08) | $(0.18) | $(0.24) |
Net asset value, end of period (x) | $11.12 | $11.82 | $10.99 | $10.80 | $10.07 | $10.26 |
Total return (%) (r)(s)(t)(x) | (5.58)(n) | 7.98 | 2.68 | 8.11 | (0.06) | 5.18 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.42(a) | 1.43 | 1.47 | 1.46 | 1.46 | 1.63 |
Expenses after expense reductions (f) | 1.30(a) | 1.30 | 1.32 | 1.33 | 1.37 | 1.51 |
Net investment income (loss) | 0.37(a) | 0.40 | 0.65 | 1.01 | 0.64 | 0.39 |
Portfolio turnover | 27(n) | 44 | 57 | 58 | 37 | 37 |
Net assets at end of period (000 omitted) | $26,896 | $31,120 | $29,453 | $33,287 | $35,972 | $50,452 |
Supplemental Ratios (%): | ||||||
Ratios of expenses to average net assets after expense reductions and excluding interest expense and fees (f) | 1.30(a) | 1.30 | 1.30 | 1.29 | 1.34 | 1.40 |
Class B | Six months ended | Year ended | ||||
4/30/22 (unaudited) | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $11.49 | $10.73 | $10.54 | $9.82 | $10.01 | $9.76 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $(0.02) | $(0.04) | $(0.01) | $0.03 | $(0.01) | $(0.03) |
Net realized and unrealized gain (loss) | (0.65) | 0.80 | 0.21 | 0.69 | (0.07) | 0.44 |
Total from investment operations | $(0.67) | $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) | $10.82 | $11.49 | $10.73 | $10.54 | $9.82 | $10.01 |
Total return (%) (r)(s)(t)(x) | (5.83)(n) | 7.08 | 1.92 | 7.33 | (0.81) | 4.35 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 2.17(a) | 2.18 | 2.22 | 2.21 | 2.21 | 2.37 |
Expenses after expense reductions (f) | 2.05(a) | 2.05 | 2.08 | 2.08 | 2.12 | 2.25 |
Net investment income (loss) | (0.39)(a) | (0.36) | (0.09) | 0.26 | (0.09) | (0.29) |
Portfolio turnover | 27(n) | 44 | 57 | 58 | 37 | 37 |
Net assets at end of period (000 omitted) | $2,368 | $3,129 | $4,035 | $4,542 | $5,061 | $6,354 |
Supplemental Ratios (%): | ||||||
Ratios of expenses to average net assets after expense reductions and excluding interest expense and fees (f) | 2.05(a) | 2.05 | 2.05 | 2.04 | 2.09 | 2.15 |
Class C | Six months ended | Year ended | ||||
4/30/22 (unaudited) | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $11.53 | $10.77 | $10.57 | $9.85 | $10.00 | $9.74 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $(0.02) | $(0.04) | $(0.01) | $0.03 | $(0.01) | $(0.03) |
Net realized and unrealized gain (loss) | (0.65) | 0.80 | 0.21 | 0.69 | (0.06) | 0.44 |
Total from investment operations | $(0.67) | $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) | $10.86 | $11.53 | $10.77 | $10.57 | $9.85 | $10.00 |
Total return (%) (r)(s)(t)(x) | (5.81)(n) | 7.06 | 1.91 | 7.31 | (0.72) | 4.35 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 2.17(a) | 2.18 | 2.22 | 2.22 | 2.22 | 2.38 |
Expenses after expense reductions (f) | 2.05(a) | 2.05 | 2.08 | 2.08 | 2.13 | 2.26 |
Net investment income (loss) | (0.39)(a) | (0.36) | (0.08) | 0.26 | (0.10) | (0.30) |
Portfolio turnover | 27(n) | 44 | 57 | 58 | 37 | 37 |
Net assets at end of period (000 omitted) | $4,645 | $5,966 | $8,396 | $10,083 | $13,845 | $24,540 |
Supplemental Ratios (%): | ||||||
Ratios of expenses to average net assets after expense reductions and excluding interest expense and fees (f) | 2.05(a) | 2.05 | 2.05 | 2.04 | 2.10 | 2.15 |
Class I | Six months ended | Year ended | ||||
4/30/22 (unaudited) | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $11.91 | $11.08 | $10.89 | $10.15 | $10.35 | $10.10 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.04 | $0.08 | $0.10 | $0.13 | $0.09 | $0.07 |
Net realized and unrealized gain (loss) | (0.68) | 0.82 | 0.22 | 0.72 | (0.07) | 0.46 |
Total from investment operations | $(0.64) | $0.90 | $0.32 | $0.85 | $0.02 | $0.53 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.07) | $(0.07) | $(0.13) | $(0.11) | $(0.22) | $(0.28) |
Net asset value, end of period (x) | $11.20 | $11.91 | $11.08 | $10.89 | $10.15 | $10.35 |
Total return (%) (r)(s)(t)(x) | (5.39)(n) | 8.19 | 2.91 | 8.49 | 0.19 | 5.42 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.17(a) | 1.18 | 1.22 | 1.21 | 1.21 | 1.38 |
Expenses after expense reductions (f) | 1.05(a) | 1.05 | 1.07 | 1.08 | 1.12 | 1.26 |
Net investment income (loss) | 0.64(a) | 0.66 | 0.90 | 1.25 | 0.90 | 0.71 |
Portfolio turnover | 27(n) | 44 | 57 | 58 | 37 | 37 |
Net assets at end of period (000 omitted) | $107,773 | $112,743 | $108,871 | $127,572 | $137,065 | $211,360 |
Supplemental Ratios (%): | ||||||
Ratios of expenses to average net assets after expense reductions and excluding interest expense and fees (f) | 1.05(a) | 1.05 | 1.05 | 1.04 | 1.10 | 1.15 |
Class R1 | Six months ended | Year ended | ||||
4/30/22 (unaudited) | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $11.36 | $10.61 | $10.43 | $9.72 | $9.93 | $9.72 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $(0.02) | $(0.04) | $(0.01) | $0.03 | $(0.01) | $(0.03) |
Net realized and unrealized gain (loss) | (0.64) | 0.79 | 0.22 | 0.68 | (0.07) | 0.44 |
Total from investment operations | $(0.66) | $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) | $10.70 | $11.36 | $10.61 | $10.43 | $9.72 | $9.93 |
Total return (%) (r)(s)(t)(x) | (5.81)(n) | 7.07 | 1.97 | 7.30 | (0.83) | 4.38 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 2.17(a) | 2.18 | 2.22 | 2.21 | 2.22 | 2.37 |
Expenses after expense reductions (f) | 2.05(a) | 2.05 | 2.07 | 2.08 | 2.13 | 2.24 |
Net investment income (loss) | (0.37)(a) | (0.35) | (0.09) | 0.26 | (0.08) | (0.26) |
Portfolio turnover | 27(n) | 44 | 57 | 58 | 37 | 37 |
Net assets at end of period (000 omitted) | $115 | $122 | $113 | $210 | $195 | $363 |
Supplemental Ratios (%): | ||||||
Ratios of expenses to average net assets after expense reductions and excluding interest expense and fees (f) | 2.05(a) | 2.05 | 2.05 | 2.04 | 2.10 | 2.15 |
Class R2 | Six months ended | Year ended | ||||
4/30/22 (unaudited) | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $11.69 | $10.86 | $10.67 | $9.91 | $10.11 | $9.89 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.01 | $0.02 | $0.04 | $0.08 | $0.04 | $0.02 |
Net realized and unrealized gain (loss) | (0.68) | 0.81 | 0.22 | 0.69 | (0.06) | 0.44 |
Total from investment operations | $(0.67) | $0.83 | $0.26 | $0.77 | $(0.02) | $0.46 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.02) | $— | $(0.07) | $(0.01) | $(0.18) | $(0.24) |
Net asset value, end of period (x) | $11.00 | $11.69 | $10.86 | $10.67 | $9.91 | $10.11 |
Total return (%) (r)(s)(t)(x) | (5.70)(n) | 7.64 | 2.43 | 7.82 | (0.22) | 4.81 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.67(a) | 1.68 | 1.72 | 1.71 | 1.71 | 1.86 |
Expenses after expense reductions (f) | 1.55(a) | 1.55 | 1.58 | 1.58 | 1.61 | 1.74 |
Net investment income (loss) | 0.13(a) | 0.13 | 0.41 | 0.75 | 0.42 | 0.23 |
Portfolio turnover | 27(n) | 44 | 57 | 58 | 37 | 37 |
Net assets at end of period (000 omitted) | $557 | $611 | $498 | $791 | $1,434 | $1,560 |
Supplemental Ratios (%): | ||||||
Ratios of expenses to average net assets after expense reductions and excluding interest expense and fees (f) | 1.55(a) | 1.55 | 1.55 | 1.54 | 1.59 | 1.65 |
Class R3 | Six months ended | Year ended | ||||
4/30/22 (unaudited) | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $11.83 | $11.00 | $10.81 | $10.09 | $10.29 | $10.06 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.02 | $0.05 | $0.07 | $0.10 | $0.07 | $0.05 |
Net realized and unrealized gain (loss) | (0.67) | 0.82 | 0.22 | 0.71 | (0.07) | 0.45 |
Total from investment operations | $(0.65) | $0.87 | $0.29 | $0.81 | $0.00(w) | $0.50 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.04) | $(0.04) | $(0.10) | $(0.09) | $(0.20) | $(0.27) |
Net asset value, end of period (x) | $11.14 | $11.83 | $11.00 | $10.81 | $10.09 | $10.29 |
Total return (%) (r)(s)(t)(x) | (5.51)(n) | 7.92 | 2.70 | 8.09 | 0.00(w) | 5.17 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.42(a) | 1.43 | 1.47 | 1.46 | 1.46 | 1.61 |
Expenses after expense reductions (f) | 1.30(a) | 1.30 | 1.32 | 1.33 | 1.37 | 1.49 |
Net investment income (loss) | 0.38(a) | 0.40 | 0.69 | 1.00 | 0.65 | 0.49 |
Portfolio turnover | 27(n) | 44 | 57 | 58 | 37 | 37 |
Net assets at end of period (000 omitted) | $1,488 | $1,593 | $1,432 | $1,101 | $997 | $1,009 |
Supplemental Ratios (%): | ||||||
Ratios of expenses to average net assets after expense reductions and excluding interest expense and fees (f) | 1.30(a) | 1.30 | 1.30 | 1.29 | 1.34 | 1.40 |
Class R4 | Six months ended | Year ended | ||||
4/30/22 (unaudited) | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $11.94 | $11.11 | $10.91 | $10.18 | $10.37 | $10.13 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.05 | $0.07 | $0.09 | $0.13 | $0.09 | $0.07 |
Net realized and unrealized gain (loss) | (0.69) | 0.84 | 0.23 | 0.71 | (0.07) | 0.46 |
Total from investment operations | $(0.64) | $0.91 | $0.32 | $0.84 | $0.02 | $0.53 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.07) | $(0.08) | $(0.12) | $(0.11) | $(0.21) | $(0.29) |
Net asset value, end of period (x) | $11.23 | $11.94 | $11.11 | $10.91 | $10.18 | $10.37 |
Total return (%) (r)(s)(t)(x) | (5.38)(n) | 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(a) | 1.18 | 1.23 | 1.22 | 1.22 | 1.39 |
Expenses after expense reductions (f) | 1.05(a) | 1.05 | 1.08 | 1.08 | 1.13 | 1.26 |
Net investment income (loss) | 0.87(a) | 0.64 | 0.81 | 1.27 | 0.91 | 0.71 |
Portfolio turnover | 27(n) | 44 | 57 | 58 | 37 | 37 |
Net assets at end of period (000 omitted) | $390 | $57 | $58 | $51 | $90 | $128 |
Supplemental Ratios (%): | ||||||
Ratios of expenses to average net assets after expense reductions and excluding interest expense and fees (f) | 1.05(a) | 1.05 | 1.05 | 1.04 | 1.10 | 1.15 |
Class R6 | Six months ended | Year ended | ||||
4/30/22 (unaudited) | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |
Net asset value, beginning of period | $11.97 | $11.13 | $10.94 | $10.20 | $10.41 | $10.16 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.04 | $0.08 | $0.11 | $0.14 | $0.10 | $0.09 |
Net realized and unrealized gain (loss) | (0.68) | 0.84 | 0.21 | 0.72 | (0.08) | 0.45 |
Total from investment operations | $(0.64) | $0.92 | $0.32 | $0.86 | $0.02 | $0.54 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.08) | $(0.08) | $(0.13) | $(0.12) | $(0.23) | $(0.29) |
Net asset value, end of period (x) | $11.25 | $11.97 | $11.13 | $10.94 | $10.20 | $10.41 |
Total return (%) (r)(s)(t)(x) | (5.36)(n) | 8.35 | 2.97 | 8.51 | 0.24 | 5.57 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.07(a) | 1.08 | 1.13 | 1.14 | 1.16 | 1.24 |
Expenses after expense reductions (f) | 0.95(a) | 0.95 | 0.99 | 1.01 | 1.07 | 1.12 |
Net investment income (loss) | 0.72(a) | 0.71 | 1.04 | 1.32 | 0.97 | 0.84 |
Portfolio turnover | 27(n) | 44 | 57 | 58 | 37 | 37 |
Net assets at end of period (000 omitted) | $29,787 | $35,052 | $20,383 | $5,410 | $5,337 | $6,533 |
Supplemental Ratios (%): | ||||||
Ratios of expenses to average net assets after expense reductions and excluding interest expense and fees (f) | 0.95(a) | 0.95 | 0.96 | 0.97 | 1.04 | 1.03 |
(a) | Annualized. |
(d) | Per share data is based on average shares outstanding. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. See Note 2 in the Notes to Financial Statements for additional information. |
(n) | Not annualized. |
(r) | Certain expenses have been reduced without which performance would have been lower. |
(s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
(t) | Total returns do not include any applicable sales charges. |
(w) | Per share amount was less than $0.01 and total return or ratio was less than 0.01%, as applicable. |
(x) | The net asset values and total returns have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Equity Securities: | ||||
United States | $83,228,415 | $1,134,954 | $— | $84,363,369 |
Switzerland | 451,900 | 6,187,096 | — | 6,638,996 |
United Kingdom | 373,636 | 5,188,993 | — | 5,562,629 |
Japan | 575,344 | 4,760,150 | — | 5,335,494 |
France | — | 4,846,933 | — | 4,846,933 |
Canada | 3,456,879 | — | — | 3,456,879 |
Germany | 1,064,317 | 1,984,181 | — | 3,048,498 |
Hong Kong | — | 1,308,643 | — | 1,308,643 |
Taiwan | 1,297,727 | — | — | 1,297,727 |
Other Countries | 1,734,178 | 6,564,772 | — | 8,298,950 |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 1,222,644 | — | 1,222,644 |
Non - U.S. Sovereign Debt | — | 1,425,212 | — | 1,425,212 |
Municipal Bonds | — | 524,607 | — | 524,607 |
U.S. Corporate Bonds | — | 19,470,509 | — | 19,470,509 |
Commercial Mortgage-Backed Securities | — | 479,284 | — | 479,284 |
Asset-Backed Securities (including CDOs) | — | 195,978 | — | 195,978 |
Foreign Bonds | — | 9,050,289 | — | 9,050,289 |
Mutual Funds | 11,963,535 | — | — | 11,963,535 |
Total | $104,145,931 | $64,344,245 | $— | $168,490,176 |
Securities Sold Short | $(30,374) | $— | $— | $(30,374) |
Other Financial Instruments | ||||
Futures Contracts – Assets | $5,601,448 | $504,426 | $— | $6,105,874 |
Futures Contracts – Liabilities | (1,545,106) | (550,338) | — | (2,095,444) |
Forward Foreign Currency Exchange Contracts – Assets | — | 3,012,389 | — | 3,012,389 |
Forward Foreign Currency Exchange Contracts – Liabilities | — | (1,643,099) | — | (1,643,099) |
Swap Agreements – Assets | — | 281,765 | — | 281,765 |
Swap Agreements – Liabilities | — | (488,911) | — | (488,911) |
Fair Value (a) | |||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
Interest Rate | Futures Contracts | $1,984,600 | $(1,365,015) |
Interest Rate | Cleared Swap Agreements | 281,765 | (488,911) |
Foreign Exchange | Forward Foreign Currency Exchange Contracts | 3,012,389 | (1,643,099) |
Equity | Futures Contracts | 4,121,274 | (730,429) |
Total | $9,400,028 | $4,227,454 |
(a) | Values presented in this table for futures contracts and cleared swap agreements correspond to the values reported in the Portfolio of Investments. Only the current day net variation margin for futures contracts and cleared swap agreements is separately reported within the Statement of Assets and Liabilities. |
Risk | Futures Contracts | Swap Agreements | Forward Foreign Currency Exchange Contracts |
Interest Rate | $ 79,208 | $(961,125) | $ — |
Foreign Exchange | — | — | 1,397,831 |
Equity | 5,952,003 | — | — |
Total | $6,031,211 | $(961,125) | $1,397,831 |
Risk | Futures Contracts | Swap Agreements | Forward Foreign Currency Exchange Contracts |
Interest Rate | $ 709,189 | $238,916 | $ — |
Foreign Exchange | — | — | 775,868 |
Equity | 5,867,731 | — | — |
Total | $6,576,920 | $238,916 | $775,868 |
Gross Amounts of: | Derivative Assets | Derivative Liabilities |
Futures Contracts (a) | $2,693,460 | $— |
Cleared Swap Agreements (a) | — | (57,031) |
Forward Foreign Currency Exchange Contracts | 3,012,389 | (1,643,099) |
Total Gross Amount of Derivative Assets and Liabilities Presented in the Statement of Assets & Liabilities | $5,705,849 | $(1,700,130) |
Less: Derivatives Assets and Liabilities Not Subject to a Master Netting Agreement or Similar Arrangement | 2,693,460 | (57,031) |
Total Gross Amount of Derivative Assets and Liabilities Subject to a Master Netting Agreement or Similar Arrangement | $3,012,389 | $(1,643,099) |
(a) | The amount presented here represents the fund's current day net variation margin for futures contracts and for cleared swap agreements. This amount, which is recognized within the Statement of Assets and Liabilities, differs from the fair value of the futures contracts and cleared swap agreements which is presented in the tables that follow the Portfolio of Investments. |
Amounts Not Offset in the Statement of Assets & Liabilities | |||||
Gross Amount of Derivative Assets Subject to a Master Netting Agreement (or Similar Arrangement) by Counterparty | Financial Instruments Available for Offset | Financial Instruments Collateral Received (b) | Cash Collateral Received (b) | Net Amount of Derivative Assets by Counterparty | |
Goldman Sachs International | $685,400 | $(598,824) | $— | $— | $86,576 |
JPMorgan Chase Bank N.A. | 2,326,989 | (1,044,275) | — | (1,282,714) | — |
Total | $3,012,389 | $(1,643,099) | $— | $(1,282,714) | $86,576 |
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 | $(598,824) | $598,824 | $— | $— | $— |
JPMorgan Chase Bank N.A. | (1,044,275) | 1,044,275 | — | — | — |
Total | $(1,643,099) | $1,643,099 | $— | $— | $— |
(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 | |
Ordinary income (including any short-term capital gains) | $985,057 |
As of 4/30/22 | |
Cost of investments | $144,909,386 |
Gross appreciation | 33,013,045 |
Gross depreciation | (9,432,255) |
Net unrealized appreciation (depreciation) | $ 23,580,790 |
As of 10/31/21 | |
Undistributed ordinary income | 1,040,068 |
Capital loss carryforwards | (61,208,633) |
Other temporary differences | 77,968 |
Net unrealized appreciation (depreciation) | 52,234,911 |
Short-Term | $(56,748,868) |
Long-Term | (4,459,765) |
Total | $(61,208,633) |
Six months ended 4/30/22 | Year ended 10/31/21 | |
Class A | $111,071 | $124,519 |
Class I | 680,285 | 699,213 |
Class R2 | 1,289 | — |
Class R3 | 5,416 | 5,098 |
Class R4 | 335 | 402 |
Class R6 | 242,724 | 155,825 |
Total | $1,041,120 | $985,057 |
Up to $1 billion | 0.80% |
In excess of $1 billion and up to $2.5 billion | 0.70% |
In excess of $2.5 billion | 0.65% |
Classes | ||||||||
A | B | C | I | R1 | R2 | R3 | R4 | R6 |
1.30% | 2.05% | 2.05% | 1.05% | 2.05% | 1.55% | 1.30% | 1.05% | 0.97% |
Distribution Fee Rate (d) | Service Fee Rate (d) | Total Distribution Plan (d) | Annual Effective Rate (e) | Distribution and Service Fee | |
Class A | — | 0.25% | 0.25% | 0.25% | $ 36,538 |
Class B | 0.75% | 0.25% | 1.00% | 1.00% | 13,563 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 26,706 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 592 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 1,474 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 1,918 |
Total Distribution and Service Fees | $80,791 |
(d) | In accordance with the distribution plan for certain classes, the fund pays distribution and/or service fees equal to these annual percentage rates of each class’s average daily net assets. The distribution and service fee rates disclosed by class represent the current rates in effect at the end of the reporting period. Any rate changes, if applicable, are detailed below. |
(e) | The annual effective rates represent actual fees incurred under the distribution plan for the six months ended April 30, 2022 based on each class's average daily net assets. MFD has voluntarily agreed to rebate a portion of each class's 0.25% service fee attributable to accounts for which there is no financial intermediary specified on the account except for accounts attributable to MFS or its affiliates' seed money. For the six months ended April 30, 2022, this rebate amounted to $35 for Class A and is included in the reduction of total expenses in the Statement of Operations. |
Amount | |
Class A | $1,050 |
Class B | 758 |
Class C | 224 |
Purchases | Sales | |
U.S. Government securities | $906,994 | $— |
Non-U.S. Government securities | 46,065,164 | 46,129,062 |
Six months ended 4/30/22 | Year ended 10/31/21 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 257,937 | $2,957,451 | 806,398 | $9,279,252 | |
Class B | — | — | 2,697 | 29,872 | |
Class C | 20,411 | 231,832 | 65,487 | 745,204 | |
Class I | 2,034,016 | 23,612,722 | 3,852,642 | 44,743,981 | |
Class R1 | 39 | 429 | 73 | 819 | |
Class R2 | 1,632 | 18,585 | 13,743 | 158,828 | |
Class R3 | 6,517 | 75,122 | 35,437 | 405,547 | |
Class R4 | 29,949 | 339,923 | — | — | |
Class R6 | 174,708 | 2,024,731 | 2,447,318 | 28,796,377 | |
2,525,209 | $29,260,795 | 7,223,795 | $84,159,880 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Class A | 8,813 | $103,460 | 10,073 | $113,217 | |
Class I | 54,315 | 640,921 | 47,512 | 536,886 | |
Class R2 | 111 | 1,289 | — | — | |
Class R3 | 461 | 5,416 | 453 | 5,098 | |
Class R4 | 28 | 335 | 36 | 402 | |
Class R6 | 6,838 | 81,098 | 12,367 | 140,361 | |
70,566 | $832,519 | 70,441 | $795,964 | ||
Shares reacquired | |||||
Class A | (482,256) | $(5,512,240) | (861,995) | $(9,925,360) | |
Class B | (53,339) | (600,770) | (106,535) | (1,199,549) | |
Class C | (109,810) | (1,233,038) | (327,906) | (3,692,400) | |
Class I | (1,929,991) | (22,145,776) | (4,260,461) | (49,555,579) | |
Class R1 | (6) | (66) | (11) | (126) | |
Class R2 | (3,447) | (38,477) | (7,348) | (83,037) | |
Class R3 | (8,023) | (92,474) | (31,370) | (364,075) | |
Class R4 | — | — | (495) | (5,631) | |
Class R6 | (461,866) | (5,308,131) | (1,362,036) | (16,160,287) | |
(3,048,738) | $(34,930,972) | (6,958,157) | $(80,986,044) |
Six months ended 4/30/22 | Year ended 10/31/21 | ||||
Shares | Amount | Shares | Amount | ||
Net change | |||||
Class A | (215,506) | $(2,451,329) | (45,524) | $(532,891) | |
Class B | (53,339) | (600,770) | (103,838) | (1,169,677) | |
Class C | (89,399) | (1,001,206) | (262,419) | (2,947,196) | |
Class I | 158,340 | 2,107,867 | (360,307) | (4,274,712) | |
Class R1 | 33 | 363 | 62 | 693 | |
Class R2 | (1,704) | (18,603) | 6,395 | 75,791 | |
Class R3 | (1,045) | (11,936) | 4,520 | 46,570 | |
Class R4 | 29,977 | 340,258 | (459) | (5,229) | |
Class R6 | (280,320) | (3,202,302) | 1,097,649 | 12,776,451 | |
(452,963) | $(4,837,658) | 336,079 | $3,969,800 |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $7,489,894 | $122,302,105 | $117,997,804 | $— | $— | $11,794,195 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $5,340 | $— |
Item 1(b):
Not applicable
ITEM 2. | CODE OF ETHICS. |
During the period covered by this report, the Registrant has not amended any provision in its Code of Ethics (the “Code”) that relates to an element of the Code’s definition enumerated in paragraph (b) of Item 2 of this Form N-CSR. During the period covered by this report, the Registrant did not grant a waiver, including an implicit waiver, from any provision of the Code.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
Not applicable for semi-annual reports.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Not applicable for semi-annual reports.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable to the Registrant.
ITEM 6. | INVESTMENTS |
A schedule of investments for each series of the Registrant is included as part of the report to shareholders of such series under Item 1(a) of this Form N-CSR.
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the Registrant.
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the Registrant.
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable to the Registrant.
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
There were no material changes to the procedures by which shareholders may send recommendations to the Board for nominees to the Registrant’s Board since the Registrant last provided disclosure as to such procedures in response to the requirements of Item 407 (c)(2)(iv) of Regulation S-K or this Item.
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | Based upon their evaluation of the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as conducted within 90 days of the filing date of this report on Form N-CSR, the registrant’s principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
(b) | There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by the report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
ITEM 12. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the Registrant.
ITEM 13. | EXHIBITS. |
(a) | File the exhibits listed below as part of this form. Letter or number the exhibits in the sequence indicated. |
(1) | Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. Not applicable. |
(2) | A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto as EX-99.302CERT. |
(3) | Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable. |
(4) | Change in the registrant’s independent public accountant. Not applicable. |
(b) | If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for the purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference: Attached hereto as EX-99.906CERT. |
Notice
A copy of the Amended and Restated Declaration of Trust, as amended, of the Registrant is on file with the Secretary of State of The Commonwealth of Massachusetts and notice is hereby given that this instrument is executed on behalf of the Registrant by an officer of the Registrant as an officer and not individually and the obligations of or arising out of this instrument are not binding upon any of the Trustees or shareholders individually, but are binding only upon the assets and property of the respective constituent series of the Registrant.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) MFS SERIES TRUST XV
By (Signature and Title)* | /S/ DAVID L. DILORENZO | |
David L. DiLorenzo, President |
Date: June 15, 2022
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /S/ DAVID L. DILORENZO | |
David L. DiLorenzo, President | ||
(Principal Executive Officer) |
Date: June 15, 2022
By (Signature and Title)* | /S/ JAMES O. YOST | |
James O. Yost, Treasurer | ||
(Principal Financial Officer | ||
and Accounting Officer) |
Date: June 15, 2022
* | Print name and title of each signing officer under his or her signature. |