N-CSR 1 f23864d1.htm MFS SERIES TRUST XV NCSR MFS SERIES TRUST XV NCSR

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-04253

MFS SERIES TRUST XV

(Exact name of registrant as specified in charter)

111 Huntington Avenue, Boston, Massachusetts 02199 (Address of principal executive offices) (Zip code)

Christopher R. Bohane

Massachusetts Financial Services Company

111 Huntington Avenue

Boston, Massachusetts 02199

(Name and address of agents for service)

Registrant's telephone number, including area code: (617) 954-5000

Date of fiscal year end: October 31

Date of reporting period: October 31, 2022

ITEM 1. REPORTS TO STOCKHOLDERS.

Item 1(a):


Annual Report
October 31, 2022
MFS®  Commodity
Strategy Fund
CMS-ANN


MFS® Commodity
Strategy Fund
CONTENTS
The report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a current prospectus.
NOT FDIC INSURED  •  MAY LOSE VALUE  •  NO BANK GUARANTEE


LETTER FROM THE CHAIR AND CEO
Dear Shareholders:
Global markets have recently been buffeted by a series of crosscurrents, including rising inflation, tighter financial conditions, and evolving geopolitical tensions. Consequently, at a time when global growth faces multiple headwinds, central banks have been presented with the challenge of reining in rising prices without tipping economies into recession. The U.S. Federal Reserve has made it clear that rates must move higher and tighter policy must be sustained to restore price stability and that this will likely bring some pain to households and businesses. Against that backdrop, richly valued, interest rate–sensitive growth equities have been hit particularly hard by rising interest rates. Volatility in fixed income and currency markets has picked up, with fiscal policy missteps in the United Kingdom leading to a crisis of market confidence that ultimately resulted in the ouster of Prime Minister Liz Truss. That episode could forewarn other governments to avoid policy overreach.
There are, however, encouraging signs for the markets. China has modestly relaxed its zero-COVID policy, and cases globally, while numerous, appear to be causing fewer serious illnesses. Meanwhile, unemployment is low and global supply chain bottlenecks are easing, though lingering coronavirus restrictions in China and disruptions stemming from Russia’s invasion of Ukraine could hamper these advances. Additionally, easier Chinese monetary and regulatory policies and the record pace of corporate stock buybacks are supportive elements, albeit in an otherwise turbulent investment environment.
It is important to have a deep understanding of company fundamentals during times of market transition, and we have built our unique global research platform to do just that.
At MFS®, we put our clients’ assets to work responsibly by carefully navigating increasingly complex global capital markets. Our investment team is guided by a commitment to long-term fundamental investing. Our global investment platform — combining collective expertise, long-term discipline, and thoughtful risk management — seeks to uncover what we believe are the best, most durable investment ideas in markets around the world, enabling us to potentially create value for investors.
Respectfully,
Michael W. Roberge
Chair and Chief Executive Officer
MFS Investment Management
December 15, 2022
The opinions expressed in this letter are subject to change and may not be relied upon for investment advice. No forecasts can be guaranteed.
1

Portfolio Composition
Portfolio structure reflecting equivalent exposure of derivative positions (i)
Fixed income sectors (i)
Investment Grade Corporates 33.8%
U.S. Treasury Securities 21.7%
Collateralized Debt Obligations 8.1%
Non-U.S. Government Bonds 7.6%
Commercial Mortgage-Backed Securities 5.1%
Asset-Backed Securities 2.2%
Emerging Markets Bonds 2.0%
Municipal Bonds 1.3%
High Yield Corporates 1.1%
Mortgage-Backed Securities 0.5%
Residential Mortgage-Backed Securities 0.2%
 
Composition including fixed income credit quality (a)(i)
AAA 6.2%
AA 8.4%
A 15.5%
BBB 22.5%
BB 1.2%
U.S. Government 21.7%
Federal Agencies 0.5%
Not Rated 7.6%
Non-Fixed Income 97.3%
Cash & Cash Equivalents 24.0%
Other (104.9)%
2

Portfolio Composition - continued
Commodity exposure (c)(i)
Natural Gas 12.9%
Gold 11.8%
WTI Crude Oil 9.0%
Brent Crude 8.6%
Corn 7.7%
Soybeans 5.7%
Soybean Oil 4.5%
Gas Oil 4.2%
Soybean Meal 3.4%
Zinc 3.4%
Silver 3.3%
Copper (COMEX) 2.9%
Wheat 2.9%
Heating Oil 2.8%
Lean Hogs 2.8%
Sugar 2.7%
Nickel 2.6%
Live Cattle 2.3%
Unleaded Gasoline 2.3%
Cotton 2.1%
Coffee 2.0%
Aluminum 1.7%
Kansas Wheat 1.6%
Cocoa (1.3)%
Lead (1.4)%
Platinum (1.5)%
Feeder Cattle (1.7)%
(a) For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Federal Agencies includes rated and unrated U.S. Agency fixed-income securities, U.S. Agency mortgage-backed securities, and collateralized mortgage obligations of U.S. Agency mortgage-backed securities.
Non-Fixed Income includes equity securities (including convertible bonds and equity
3

Portfolio Composition - continued
derivatives), ETFs, and/or commodity-linked derivatives. The fund may or may not have held all of these instruments on this date. The fund is not rated by these agencies.
(c) MFS expects to gain exposure to the commodities markets by investing a portion of the fund’s assets in the MFS Commodity Strategy Portfolio, a wholly-owned and controlled subsidiary organized in the Cayman Islands (“Subsidiary”). The Subsidiary gains exposure to the commodities markets by investing in commodity-linked derivatives (such as commodity-linked futures, options, and/or swaps). The Subsidiary’s investments in commodity-linked derivatives are leveraged (i.e. involves investment exposure greater than the amount of the investment). For more information about commodity-linked derivatives and the risks of investing in such derivatives, please see the fund’s prospectus.
(i) For purposes of this presentation, the components include the value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include any accrued interest amounts.
The fund invests a portion of its assets in the MFS Commodity Strategy Portfolio, a wholly-owned subsidiary of the fund. Percentages reflect exposure to the underlying holdings of the MFS Commodity Strategy Portfolio and not to the exposure from investing directly in the MFS Commodity Strategy Portfolio itself.
Where the fund holds convertible bonds, they are treated as part of the equity portion of the portfolio.
Cash & Cash Equivalents includes any cash, investments in money market funds, short-term securities, and other assets less liabilities. Please see the Consolidated Statement of Assets and Liabilities for additional information related to the fund’s cash position and other assets and liabilities.
Other includes equivalent exposure from currency derivatives and/or any offsets to derivative positions and may be negative.
Percentages are based on net assets as of October 31, 2022.
The portfolio is actively managed and current holdings may be different.
4

Management Review
Summary of Results
For the twelve months ended October 31, 2022, Class A shares of the MFS Commodity Strategy Fund (fund) provided a total return of 7.71%, at net asset value. This compares with a return of 11.15% for the fund’s benchmark, the Bloomberg Commodity Index.
The fund’s investment adviser expects to gain exposure to the commodities markets by investing a portion of the fund’s assets in the MFS Commodity Strategy Portfolio, a wholly-owned and controlled subsidiary organized in the Cayman Islands (Subsidiary). The Subsidiary gains exposure to the commodities markets by investing in commodity-linked derivatives (such as commodity-linked futures, options and/or swaps).
Market Environment
During the reporting period, markets continued to grapple with the strongest global inflationary pressures in decades along with signs of slowing economic growth. Intermittent coronavirus flareups, particularly in China, where home-grown vaccines have proved less effective than elsewhere, kept supply chains stretched for a considerable period. At the same time, the reopening of the economy in the parts of the world where the virus has been better contained has led to a shift in consumption patterns in favor of services, straining already tight labor markets in most developed economies, while reducing demand for manufactured goods, primarily from Asia. As a result of Russia’s invasion of Ukraine, geopolitical considerations, such as sanctions and trade bans, have resulted in additional supply chain tumult and volatile global energy prices. Taken together, these factors have contributed to market volatility.
The ripple effects from the Russian invasion further complicated the mission central banks must undertake to rein in surging inflation. Energy shocks have historically resulted in global growth slowdowns, if not pullbacks, so policymakers will find themselves in the difficult position of trying to restrain inflation without tipping economies into recession. Despite the challenging macroeconomic and geopolitical environment, policymakers remained focused on corralling inflation, although investors appeared to have expected varying degrees of action from the central banks. The Fed was expected to be the most hawkish developed market central bank and the European Central Bank less so, given the growth-depleting effects on Europe's economy stemming from the invasion, while the Bank of Japan remained on the monetary sidelines, leading to a dramatic weakening of the yen.
Against an environment of still-tight labor markets, tighter global financial conditions and volatile materials prices, investor anxiety appeared to have increased over the potential that corporate profit margins may be past peak for this cycle. That said, tentative signs that supply chain bottlenecks (particularly semiconductors) may be easing, low levels of unemployment across developed markets and somewhat easier prices for non-energy raw materials were supportive factors for the macroeconomic backdrop.
After surging more than 30% after the outbreak of the war in Ukraine, gains in commodities have moderated in recent months amid slowing global economic growth.
5

Management Review - continued
Factors Affecting Performance
Over the reporting period, the fund underperformed the Bloomberg Commodity Index, primarily led by the fund's fixed income exposure. The fund's slight overweight exposure to soft commodities, particularly within coffee, and its underweight allocation to livestock commodities, further held back relative results.
Conversely, an overweight allocation to energy commodities, and an underweight exposure to both precious metals and grain commodities, contributed to the fund’s relative results. Additionally, the fund’s out-of-benchmark exposure to the commodity swaps curve further supported relative returns..
Respectfully,
Portfolio Manager(s)
Philipp Burgener, Alexander Mackey, Benjamin Nastou, and Natalie Shapiro
The views expressed in this report are those of the portfolio manager(s) only through the end of the period of the report as stated on the cover and do not necessarily reflect the views of MFS or any other person in the MFS organization. These views are subject to change at any time based on market or other conditions, and MFS disclaims any responsibility to update such views. These views may not be relied upon as investment advice or an indication of trading intent on behalf of any MFS portfolio. References to specific securities are not recommendations of such securities, and may not be representative of any MFS portfolio’s current or future investments.
6

Performance Summary THROUGH 10/31/22
The following chart illustrates a representative class of the fund’s historical performance in comparison to its benchmark(s). Performance results include the deduction of the maximum applicable sales charge and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. The performance of other share classes will be greater than or less than that of the class depicted below. Benchmarks are unmanaged and may not be invested in directly. Benchmark returns do not reflect sales charges, commissions or expenses. (See Notes to Performance Summary.)
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value fluctuate so your shares, when sold, may be worth more or less than the original cost; current performance may be lower or higher than quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on fund distributions or the redemption of fund shares.
Growth of a Hypothetical $10,000 Investment
7

Performance Summary  - continued
Total Returns through 10/31/22
Average annual without sales charge
Share Class Class Inception Date 1-yr 5-yr 10-yr Life (t)
A 6/02/10 7.71% 6.53% (1.60)% N/A
B 8/15/18 7.08% N/A N/A 7.51%
C 8/15/18 6.94% N/A N/A 7.46%
I 6/02/10 8.05% 6.83% (1.34)% N/A
R1 8/15/18 7.07% N/A N/A 7.51%
R2 8/15/18 7.61% N/A N/A 8.04%
R3 8/15/18 7.75% N/A N/A 8.29%
R4 8/15/18 8.07% N/A N/A 8.56%
R6 9/04/12 8.24% 6.87% (1.32)% N/A
Comparative benchmark(s)
         
Bloomberg Commodity Index (f) 11.15% 6.92% (1.56)% N/A
Average annual with sales charge
         
A
With Initial Sales Charge (5.75%)
1.52% 5.27% (2.18)% N/A
B
With CDSC (Declining over six years from 4% to 0%) (v)
4.34% N/A N/A 7.20%
C
With CDSC (1% for 12 months) (v)
6.26% N/A N/A 7.46%
CDSC – Contingent Deferred Sales Charge.
Class I, R1, R2, R3, R4, and R6 shares do not have a sales charge.
(f) Source: FactSet Research Systems Inc.
(t) For the period from the class inception date through the stated period end (for those share classes with less than 10 years of performance history). No comparative benchmark performance information is provided for “life” periods. (See Notes to Performance Summary.)
(v) Assuming redemption at the end of the applicable period.
Benchmark Definition(s)
Bloomberg Commodity Index(a) – a highly liquid and diversified benchmark for the commodity futures market. The index tracks trades on futures contracts for physical commodities, such as energy (petroleum, gas), precious metals (gold, silver), industrial metals (zinc, copper), grains (corn, wheat), livestock (pork bellies), among others, and are traded in a variety of currencies.
8

Performance Summary  - continued
It is not possible to invest directly in an index.
(a) Source: Bloomberg Index Services Limited. BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg's licensors own all proprietary rights in the Bloomberg Indices. Bloomberg neither approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.
Notes to Performance Summary
Average annual total return represents the average annual change in value for each share class for the periods presented. Life returns are presented where the share class has less than 10 years of performance history and represent the average annual total return from the class inception date to the stated period end date. As the fund's share classes may have different inception dates, the life returns may represent different time periods and may not be comparable. As a result, no comparative benchmark performance information is provided for life periods.
Performance results reflect any applicable expense subsidies and waivers in effect during the periods shown. Without such subsidies and waivers the fund's performance results would be less favorable. Please see the prospectus and financial statements for complete details.
Performance results do not include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles and may differ from amounts reported in the financial highlights.
From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower.
9

Expense Table
Fund expenses borne by the shareholders during the period,
May 1, 2022 through October 31, 2022
As a shareholder of the fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on certain purchase or redemption payments, and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period May 1, 2022 through October 31, 2022.
Actual Expenses
The first line for each share class in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line for each share class in the following table provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line for each share class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
10

Expense Table - continued
Share
Class
  Annualized
Expense
Ratio
Beginning
Account Value
5/01/22
Ending
Account Value
10/31/22
Expenses
Paid During
Period (p)
5/01/22-10/31/22
A Actual 1.16% $1,000.00 $854.09 $5.42
Hypothetical (h) 1.16% $1,000.00 $1,019.36 $5.90
B Actual 1.91% $1,000.00 $853.31 $8.92
Hypothetical (h) 1.91% $1,000.00 $1,015.58 $9.70
C Actual 1.91% $1,000.00 $850.72 $8.91
Hypothetical (h) 1.91% $1,000.00 $1,015.58 $9.70
I Actual 0.91% $1,000.00 $856.38 $4.26
Hypothetical (h) 0.91% $1,000.00 $1,020.62 $4.63
R1 Actual 1.91% $1,000.00 $853.57 $8.92
Hypothetical (h) 1.91% $1,000.00 $1,015.58 $9.70
R2 Actual 1.41% $1,000.00 $854.09 $6.59
Hypothetical (h) 1.41% $1,000.00 $1,018.10 $7.17
R3 Actual 1.15% $1,000.00 $855.87 $5.38
Hypothetical (h) 1.15% $1,000.00 $1,019.41 $5.85
R4 Actual 0.90% $1,000.00 $856.13 $4.21
Hypothetical (h) 0.90% $1,000.00 $1,020.67 $4.58
R6 Actual 0.81% $1,000.00 $857.90 $3.79
Hypothetical (h) 0.81% $1,000.00 $1,021.12 $4.13
(h) 5% class return per year before expenses.
(p) “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).  Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher.
11

Consolidated Portfolio of Investments
10/31/22
The Consolidated Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.
Issuer     Shares/Par Value ($)
Bonds – 75.6%
Aerospace & Defense – 0.8%
Boeing Co., 1.167%, 2/04/2023    $ 1,759,000 $1,741,665
Boeing Co., 1.433%, 2/04/2024      3,511,000 3,332,309
Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025      1,273,000 1,211,984
Raytheon Technologies Corp., 3.65%, 8/16/2023      90,000 89,056
        $6,375,014
Asset-Backed & Securitized – 15.5%
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.031%, 11/15/2054 (i)   $ 19,942,760 $1,189,386
ACREC 2021-FL1 Ltd., “AS”, FLR, 4.943% (LIBOR - 1mo. + 1.5%), 10/16/2036 (n)     1,812,000 1,710,651
ACREC 2021-FL1 Ltd., “B”, FLR, 5.243% (LIBOR - 1mo. + 1.8%), 10/16/2036 (n)     1,406,000 1,328,082
ACREC 2021-FL1 Ltd., “C”, FLR, 5.593% (LIBOR - 1mo. + 2.15%), 10/16/2036 (n)     1,129,000 1,056,597
ACRES 2021-FL2 Issuer Ltd., “B”, FLR, 5.662% (LIBOR - 1mo. + 2.25%), 1/15/2037 (n)     1,527,500 1,443,615
Allegro CLO Ltd., 2014-1RA, “A2”, FLR, 5.877% (LIBOR - 3mo. + 1.6%), 10/21/2028 (n)     252,269 244,238
AmeriCredit Automobile Receivables Trust, 2020-1, “C”, 1.59%, 10/20/2025      678,000 648,113
AmeriCredit Automobile Receivables Trust, 2022-2, “A2A”, 4.2%, 12/18/2025      1,905,000 1,889,445
Arbor Realty Trust, Inc., CLO, 2021-FL1, “B”, FLR, 4.912% (LIBOR - 1mo. + 1.5%), 12/15/2035 (n)     375,500 346,316
Arbor Realty Trust, Inc., CLO, 2021-FL1, “C”, FLR, 5.412% (LIBOR - 1mo. + 2%), 12/15/2035 (n)     153,500 143,916
Arbor Realty Trust, Inc., CLO, 2021-FL3, “B”, FLR, 5.012% (LIBOR - 1mo. + 1.6%), 8/15/2034 (n)     571,500 522,337
Arbor Realty Trust, Inc., CLO, 2021-FL3, “C”, FLR, 5.262% (LIBOR - 1mo. + 1.85%), 8/15/2034 (n)     332,000 307,947
Arbor Realty Trust, Inc., CLO, 2021-FL4, “AS”, FLR, 5.112% (LIBOR - 1mo. + 1.7%), 11/15/2036 (n)     1,684,000 1,589,777
Arbor Realty Trust, Inc., CLO, 2021-FL4, “B”, FLR, 5.412% (LIBOR - 1mo. + 2%), 11/15/2036 (n)     1,684,000 1,580,529
Arbor Realty Trust, Inc., CLO, 2021-FL4, “C”, FLR, 5.712% (LIBOR - 1mo. + 2.3%), 11/15/2036 (n)     1,014,000 946,990
Arbor Realty Trust, Inc., CLO, 2022-FL1, “C”, FLR, 5.091% (SOFR - 30 day + 2.3%), 1/15/2037 (n)     2,695,500 2,588,076
12

Consolidated Portfolio of Investments – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Asset-Backed & Securitized – continued
AREIT 2019-CRE3 Trust, “AS”, FLR, 4.79% (LIBOR - 1mo. + 1.3%), 9/14/2036 (n)   $ 613,500 $605,010
AREIT 2019-CRE3 Trust, “B”, FLR, 5.04% (LIBOR - 1mo. + 1.55%), 9/14/2036 (n)     303,000 296,945
AREIT 2019-CRE3 Trust, “C”, FLR, 5.39% (SOFR - 1mo. + 2.014%), 9/14/2036 (n)     250,500 246,006
AREIT 2022-CRE6 Trust, “C”, FLR, 5.043% (SOFR - 30 day + 2.15%), 1/16/2037 (n)     894,000 827,319
AREIT 2022-CRE6 Trust, “D”, FLR, 5.743% (SOFR - 30 day + 2.85%), 12/17/2024 (n)     795,500 731,456
AREIT 2022-CRE7 LLC, “B”, FLR, 6.659% (SOFR - 1mo. + 3.244%), 6/17/2039 (n)     2,563,500 2,435,686
Avery Point CLO Ltd., 2014-1A, “CR”, FLR, 6.708% (LIBOR - 3mo. + 2.35%), 4/25/2026 (n)     5,082 5,057
Balboa Bay Loan Funding Ltd., 2020-1A, “BR”, FLR, 5.893% (LIBOR - 3mo. + 1.65%), 1/20/2032 (n)     1,606,204 1,500,047
Balboa Bay Loan Funding Ltd., 2020-1A, “CR”, FLR, 6.342% (LIBOR - 3mo. + 2.1%), 1/20/2032 (n)     870,027 783,162
Ballyrock CLO 2018-1A Ltd., “A2”, FLR, 5.843% (LIBOR - 3mo. + 1.6%), 4/20/2031 (n)     1,368,365 1,301,865
Ballyrock CLO 2018-1A Ltd., “B”, FLR, 6.142% (LIBOR - 3mo. + 1.9%), 4/20/2031 (n)     579,877 535,168
BBCMS Mortgage Trust, 2018-C2, “XA”, 0.759%, 12/15/2051 (i)(n)     19,359,889 674,379
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.299%, 7/15/2054 (i)     7,370,054 538,831
BBCMS Mortgage Trust, 2021-C11, “XA”, 1.385%, 9/15/2054 (i)     7,480,831 578,255
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.628%, 2/15/2054 (i)     11,388,577 1,041,040
BDS 2021-FL10 Ltd., “B”, FLR, 5.393% (LIBOR - 1mo. + 1.95%), 12/16/2036 (n)     793,500 743,039
BDS 2021-FL10 Ltd., “C”, FLR, 5.743% (LIBOR - 1mo. + 2.3%), 12/16/2036 (n)     577,000 535,170
Benchmark 2021-B23 Mortgage Trust, “XA”, 1.272%, 2/15/2054 (i)     12,571,164 857,810
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.267%, 7/15/2054 (i)     14,538,813 1,035,241
Benchmark 2021-B28 Mortgage Trust, “XA”, 1.284%, 8/15/2054 (i)     10,258,533 731,609
Benchmark 2021-B29 Mortgage Trust, “XA”, 1.043%, 9/15/2054 (i)     14,881,933 837,564
BSPRT 2021-FL6 Issuer Ltd., “C”, FLR, 5.462% (LIBOR - 1mo. + 2.05%), 3/15/2036 (n)     485,000 446,847
BSPRT 2021-FL7 Issuer Ltd., “B”, FLR, 5.462% (LIBOR - 1mo. + 2.05%), 12/15/2038 (n)     339,000 313,610
BSPRT 2021-FL7 Issuer Ltd., “C”, FLR, 5.712% (LIBOR - 1mo. + 2.3%), 12/15/2038 (n)     408,500 374,533
BSPRT 2022-FL8 Issuer Ltd., “A”, FLR, 4.291% (SOFR - 30 day + 1.5%), 2/15/2037 (n)     3,217,000 3,081,161
13

Consolidated Portfolio of Investments – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Asset-Backed & Securitized – continued
BSPRT 2022-FL8 Issuer Ltd., “B”, FLR, 4.841% (SOFR - 30 day + 2.05%), 2/15/2037 (n)   $ 445,500 $426,525
BSPRT 2022-FL8 Issuer Ltd., “C”, FLR, 5.091% (SOFR - 30 day + 2.3%), 2/15/2037 (n)     719,500 686,979
Business Jet Securities LLC, 2020-1A, “A”, 2.981%, 11/15/2035 (n)     277,914 253,504
Business Jet Securities LLC, 2021-1A, “A”, 2.162%, 4/15/2036 (n)     356,308 308,592
Business Jet Securities LLC, 2021-1A, “B”, 2.918%, 4/15/2036 (n)     76,086 61,547
BXMT 2020-FL2 Ltd., “B”, FLR, 4.89% (LIBOR - 1mo. + 1.4%), 2/15/2038 (n)     1,492,000 1,397,273
BXMT 2020-FL2 Ltd., “A”, FLR, 4.39% (LIBOR - 1mo. + 0.9%), 2/15/2038 (n)     1,838,178 1,814,559
BXMT 2021-FL4 Ltd., “AS”, FLR, 4.712% (LIBOR - 1mo. + 1.3%), 5/15/2038 (n)     2,601,000 2,473,377
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n)     564,879 524,691
CD 2017-CD4 Mortgage Trust, “XA”, 1.226%, 5/10/2050 (i)     9,631,892 393,047
CF Hippolyta Issuer LLC, 2020-1, “A1”, 1.69%, 7/15/2060 (n)     364,188 320,165
CF Hippolyta Issuer LLC, 2020-1, “B1”, 2.28%, 7/15/2060 (n)     115,273 98,908
Commercial Equipment Finance 2021-A, LLC, “A”, 2.05%, 2/16/2027 (n)     759,917 730,139
Commercial Mortgage Pass-Through Certificates, 2019-BN24, “XA”, 0.64%, 11/15/2062 (i)     9,037,181 319,919
Commercial Mortgage Pass-Through Certificates, 2021-BN31, “XA”, 1.327%, 2/15/2054 (i)     11,049,192 838,120
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.78%, 4/15/2054 (i)     10,557,850 463,300
Commercial Mortgage Pass-Through Certificates, 2021-BN34, “XA”, 0.977%, 6/15/2063 (i)     11,395,758 643,906
Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.048%, 6/15/2064 (i)     6,130,365 364,761
Credit Acceptance Auto Loan Trust, 2021-4, “B”, 1.74%, 12/16/2030 (n)     584,000 528,007
Credit Acceptance Auto Loan Trust, 2021-2A, “A”, 0.96%, 2/15/2030 (n)     451,000 428,494
Credit Acceptance Auto Loan Trust, 2021-2A, “B”, 1.26%, 4/15/2030 (n)     250,000 225,481
Credit Acceptance Auto Loan Trust, 2021-3A, “B”, 1.38%, 7/15/2030 (n)     312,000 280,739
Credit Acceptance Auto Loan Trust, 2021-3A, “C”, 1.63%, 9/16/2030 (n)     250,000 220,675
Credit Acceptance Auto Loan Trust, 2021-4, “A”, 1.26%, 10/15/2030 (n)     318,000 296,090
Cutwater 2015-1A Ltd., “AR”, FLR, 5.299% (LIBOR - 3mo. + 1.22%), 1/15/2029 (n)     811,699 803,330
14

Consolidated Portfolio of Investments – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Asset-Backed & Securitized – continued
Dryden Senior Loan Fund, 2017-49A, “BR”, CLO, FLR, 5.793% (LIBOR - 3mo. + 1.6%), 7/18/2030 (n)   $ 1,945,990 $1,846,974
Exeter Automobile Receivables Trust, 2020-1A, 2.49%, 1/15/2025 (n)     70,054 69,980
Fortress CBO Investments Ltd., 2022-FL3, “A”, FLR, 4.821% (SOFR - 30 day + 1.85%), 2/23/2039 (n)     1,917,000 1,870,609
Fortress CBO Investments Ltd., 2022-FL3, “AS”, FLR, 5.221% (SOFR - 30 day + 2.25%), 2/23/2039 (n)     1,785,500 1,701,756
GLS Auto Receivables Trust, 2021-3A, “B”, 0.78%, 11/17/2025 (n)     890,384 857,922
GS Mortgage Securities Trust, 2017-GS6, “XA”, 1.163%, 5/10/2050 (i)     10,676,222 392,753
GS Mortgage Securities Trust, 2017-GS7, “XA”, 1.083%, 8/10/2050 (i)     10,876,919 398,829
GS Mortgage Securities Trust, 2020-GC47, “A5”, 1.13%, 5/12/2053 (i)     8,645,988 545,973
Invitation Homes 2018-SFR1 Trust, “B”, FLR, 4.362% (LIBOR - 1mo. + 0.95%), 3/17/2037 (n)     952,863 932,404
Jamestown CLO Ltd., 2020-15A, “C”, FLR, 6.529% (LIBOR - 3mo. + 2.45%), 4/15/2033 (n)     3,069,116 2,785,689
JPMorgan Chase Commercial Mortgage Securities Corp., 0.989%, 9/15/2050 (i)     11,704,514 386,900
LAD Auto Receivables Trust, 2022-1A, “A”, 5.21%, 6/15/2027 (n)     1,012,995 994,397
LoanCore 2018-CRE1 Ltd., “AS”, FLR, 4.912% (LIBOR - 1mo. + 1.5%), 5/15/2028 (n)     1,578,713 1,563,478
LoanCore 2018-CRE1 Ltd., “C”, FLR, 5.962% (LIBOR - 1mo. + 2.55%), 5/15/2028 (n)     577,000 573,173
LoanCore 2019-CRE3 Ltd., “AS”, FLR, 4.782% (LIBOR - 1mo. + 1.37%), 4/15/2034 (n)     1,731,657 1,719,294
LoanCore 2021-CRE5 Ltd., “AS”, FLR, 5.162% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n)     1,752,500 1,622,919
LoanCore 2021-CRE5 Ltd., “B”, FLR, 5.412% (LIBOR - 1mo. + 2%), 7/15/2036 (n)     741,000 683,745
Madison Park Funding Ltd., 2014-13A, “BR2”, FLR, 5.726% (LIBOR - 3mo. + 1.5%), 4/19/2030 (n)     2,174,539 2,097,886
Magnetite CLO Ltd., 2015-16A, “BR”, FLR, 5.393% (LIBOR - 3mo. + 1.2%), 1/18/2028 (n)     2,590,000 2,515,398
MF1 2020-FL4 Ltd., “B”, FLR, 6.24% (LIBOR - 1mo. + 2.75%), 11/15/2035 (n)     2,437,000 2,337,669
MF1 2021-FL6 Ltd., “B”, FLR, 5.093% (LIBOR - 1mo. + 1.65%), 7/16/2036 (n)     3,089,144 2,904,710
MF1 2022-FL8 Ltd., “C”, FLR, 5.094% (SOFR - 30 day + 2.2%), 2/19/2037 (n)     941,914 884,273
15

Consolidated Portfolio of Investments – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Asset-Backed & Securitized – continued
MF1 2022-FL9 Ltd., “B”, FLR, 6.617% (SOFR - 1mo. + 3.15%), 6/19/2037 (n)   $ 2,988,000 $2,938,205
Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C33, “XA”, 1.251%, 5/15/2050 (i)     9,229,057 373,012
Morgan Stanley Capital I Trust, 2017-H1, “XA”, 1.325%, 6/15/2050 (i)     4,108,382 159,524
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 0.831%, 12/15/2051 (i)     15,870,085 588,607
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.296%, 5/15/2054 (i)     9,497,111 673,239
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.23%, 6/15/2054 (i)     8,776,384 562,847
Navistar Financial Dealer Note Master Owner Trust, 2022-1, “A”, FLR, 4.195% (SOFR - 30 day + 1.25%), 5/25/2027 (n)     2,109,000 2,111,923
NextGear Floorplan Master Owner Trust, 2022-1A, “A1”, FLR, 3.841% (SOFR - 30 day + 1.05%), 3/15/2027 (n)     1,387,000 1,377,636
Oaktree CLO 2019-1A Ltd., “BR”, FLR, 6.075% (LIBOR - 3mo. + 1.75%), 4/22/2030 (n)     1,427,638 1,335,928
Oaktree CLO 2019-1A Ltd., “CR”, FLR, 6.675% (LIBOR - 3mo. + 2.35%), 4/22/2030 (n)     1,427,638 1,297,330
OCP CLO 2015-10A Ltd., “BR2”, FLR, 5.976% (LIBOR - 3mo. + 1.65%), 1/26/2034 (n)     2,250,000 2,086,200
OneMain Financial Issuance Trust, 2020-1A, “A”, 3.84%, 5/14/2032 (n)     1,018,202 1,005,561
OneMain Financial Issuance Trust, 2020-2A, “A”, 1.75%, 9/14/2035 (n)     1,819,000 1,572,663
OneMain Financial Issuance Trust, 2022-S1, “A”, 4.13%, 5/14/2035 (n)     1,170,000 1,090,833
PFP III 2021-7 Ltd., “B”, FLR, 4.812% (LIBOR - 1mo. + 1.4%), 4/14/2038 (n)     604,470 554,798
PFP III 2021-7 Ltd., “C”, FLR, 5.062% (LIBOR - 1mo. + 1.65%), 4/14/2038 (n)     191,490 176,876
PFP III 2021-8 Ltd., “B”, FLR, 4.912% (LIBOR - 1mo. + 1.5%), 8/09/2037 (n)     617,500 553,255
Progress Residential 2021-SFR1 Trust, “B”, 1.303%, 4/17/2038 (n)     248,000 208,384
Progress Residential 2021-SFR1 Trust, “C”, 1.555%, 4/17/2038 (n)     186,000 155,691
Securitized Term Auto Receivable Trust, 2019-CRTA, “B”, 2.453%, 3/25/2026 (n)     67,523 66,995
Securitized Term Auto Receivable Trust, 2019-CRTA, “C”, 2.849%, 3/25/2026 (n)     86,685 86,063
Shackleton 2013-4RA CLO Ltd., “B”, FLR, 5.84% (LIBOR - 3mo. + 1.9%), 4/13/2031 (n)     722,762 659,460
16

Consolidated Portfolio of Investments – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Asset-Backed & Securitized – continued
Shelter Growth CRE 2021-FL3 Ltd., “C”, FLR, 5.562% (LIBOR - 1mo. + 2.15%), 9/15/2036 (n)   $ 2,649,500 $2,481,011
Southwick Park CLO, Ltd., 2019-4A, “B1R”, FLR, 5.742% (LIBOR - 3mo. + 1.5%), 7/20/2032 (n)     645,000 606,971
Southwick Park CLO, Ltd., 2019-4A, “B2R”, 2.46%, 7/20/2032 (n)     1,123,000 892,124
Southwick Park CLO, Ltd., 2019-4A, “CR”, FLR, 6.192% (LIBOR - 3mo. + 1.95%), 7/20/2032 (n)     1,528,000 1,398,520
Starwood Commercial Mortgage, 2021-FL2, “B”, FLR, 5.243% (LIBOR - 1mo. + 1.8%), 4/18/2038 (n)     2,295,000 2,192,555
TICP CLO 2018-3R Ltd., “B”, FLR, 5.592% (LIBOR - 3mo. + 1.35%), 4/20/2028 (n)     681,356 665,011
TICP CLO 2018-3R Ltd., “C”, FLR, 6.042% (LIBOR - 3mo. + 1.8%), 4/20/2028 (n)     1,195,706 1,151,307
TPG Real Estate Finance, 2021-FL4, “AS”, FLR, 4.812% (LIBOR - 1mo. + 1.4%), 3/15/2038 (n)     1,305,000 1,238,820
TPG Real Estate Finance, 2021-FL4, “B”, FLR, 5.262% (LIBOR - 1mo. + 1.85%), 3/15/2038 (n)     2,749,000 2,579,980
UBS Commercial Mortgage Trust, 2017-C1, “XA”, 1.023%, 11/15/2050 (i)     6,115,023 223,212
UBS Commercial Mortgage Trust, 2018-C14, “XA”, 0.95%, 12/15/2051 (i)     7,682,448 337,544
Wells Fargo Commercial Mortgage Trust, 2021-C61, “XA”, 1.37%, 11/15/2054 (i)     6,134,757 464,519
World Omni Auto Receivables Trust, 3.67%, 6/15/2027      678,000 655,588
        $117,703,876
Automotive – 2.4%
Daimler Trucks Finance North America LLC, 1.625%, 12/13/2024 (n)   $ 2,671,000 $2,455,694
General Motors Financial Co., 1.7%, 8/18/2023      2,207,000 2,136,999
Hyundai Capital America, 2.85%, 11/01/2022 (n)     1,427,000 1,427,000
Hyundai Capital America, 2.375%, 2/10/2023 (n)     649,000 643,397
Hyundai Capital America, 5.75%, 4/06/2023 (n)     2,068,000 2,069,241
Hyundai Capital America, 0.8%, 1/08/2024 (n)     249,000 235,013
Hyundai Capital America, 5.875%, 4/07/2025 (n)     2,077,000 2,055,419
Mercedes-Benz Finance North America LLC, 0.75%, 3/01/2024 (n)     1,496,000 1,408,993
Stellantis Finance US, Inc., 1.711%, 1/29/2027 (n)     1,625,000 1,343,345
Volkswagen Group of America Finance LLC, 3.125%, 5/12/2023 (n)     251,000 248,069
Volkswagen Group of America Finance LLC, 2.85%, 9/26/2024 (n)     878,000 833,327
Volkswagen Group of America Finance LLC, 3.35%, 5/13/2025 (n)     2,014,000 1,896,151
Volkswagen Group of America Finance LLC, 1.25%, 11/24/2025 (n)     1,359,000 1,186,729
        $17,939,377
17

Consolidated Portfolio of Investments – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Broadcasting – 0.7%
Warnermedia Holdings, Inc., 3.788%, 3/15/2025 (n)   $ 4,233,000 $3,991,192
Warnermedia Holdings, Inc., 3.755%, 3/15/2027 (n)     1,062,000 944,736
        $4,935,928
Brokerage & Asset Managers – 1.2%
Brookfield Finance, Inc., 3.9%, 1/25/2028    $ 4,053,000 $3,628,865
Charles Schwab Corp., 0.75%, 3/18/2024      1,742,000 1,643,029
NASDAQ, Inc., 0.445%, 12/21/2022      1,200,000 1,193,013
National Securities Clearing Corp., 1.2%, 4/23/2023 (n)     600,000 589,413
National Securities Clearing Corp., 0.4%, 12/07/2023 (n)     1,724,000 1,640,957
National Securities Clearing Corp., 1.5%, 4/23/2025 (n)     250,000 228,816
        $8,924,093
Business Services – 0.5%
Equinix, Inc., 1.25%, 7/15/2025    $ 972,000 $865,702
Global Payments, Inc., 1.2%, 3/01/2026      2,281,000 1,946,080
Tencent Holdings Ltd., 1.81%, 1/26/2026 (n)     1,551,000 1,362,440
        $4,174,222
Cable TV – 0.3%
SES S.A., 3.6%, 4/04/2023 (n)   $ 2,158,000 $2,127,872
Computer Software – 0.2%
Dell International LLC/EMC Corp., 4%, 7/15/2024    $ 1,151,000 $1,123,363
Dell International LLC/EMC Corp., 5.85%, 7/15/2025      425,000 425,278
Infor, Inc., 1.45%, 7/15/2023 (n)     250,000 240,986
        $1,789,627
Computer Software - Systems – 0.3%
VMware, Inc., 1%, 8/15/2024    $ 1,476,000 $1,360,915
VMware, Inc., 1.4%, 8/15/2026      1,143,000 975,103
        $2,336,018
Conglomerates – 0.3%
Carrier Global Corp., 2.242%, 2/15/2025    $ 289,000 $268,947
Westinghouse Air Brake Technologies Corp., 4.4%, 3/15/2024      2,070,000 2,023,444
        $2,292,391
Consumer Products – 0.5%
GSK Consumer Healthcare Capital UK PLC, 3.125%, 3/24/2025    $ 2,654,000 $2,499,445
GSK Consumer Healthcare Capital UK PLC, 3.375%, 3/24/2027      1,154,000 1,043,685
        $3,543,130
18

Consolidated Portfolio of Investments – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Containers – 0.6%
Berry Global, Inc., 1.57%, 1/15/2026    $ 2,361,000 $2,046,371
Berry Global, Inc., 1.65%, 1/15/2027      2,847,000 2,346,038
        $4,392,409
Electronics – 0.7%
Microchip Technology, Inc., 0.983%, 9/01/2024    $ 3,485,000 $3,198,279
Qorvo, Inc., 1.75%, 12/15/2024 (n)     909,000 828,917
Skyworks Solutions, Inc., 0.9%, 6/01/2023      1,081,000 1,050,040
TSMC Arizona Corp., 1.75%, 10/25/2026      586,000 505,683
        $5,582,919
Emerging Market Quasi-Sovereign – 0.4%
DAE Funding LLC (United Arab Emirates), 1.55%, 8/01/2024 (n)   $ 796,000 $722,064
DAE Funding LLC (United Arab Emirates), 2.625%, 3/20/2025 (n)     1,375,000 1,247,538
Indian Oil Corp. Ltd., 5.75%, 8/01/2023      858,000 859,458
        $2,829,060
Emerging Market Sovereign – 0.2%
Emirate of Abu Dhabi, 0.75%, 9/02/2023 (n)   $ 1,671,000 $1,612,943
Energy - Independent – 0.2%
EQT Corp., 5.678%, 10/01/2025    $ 779,000 $770,055
EQT Corp., 5.7%, 4/01/2028      778,000 757,072
Pioneer Natural Resources Co., 0.55%, 5/15/2023      379,000 369,802
        $1,896,929
Energy - Integrated – 0.3%
Eni S.p.A., 4%, 9/12/2023 (n)   $ 1,523,000 $1,495,204
Exxon Mobil Corp., 1.571%, 4/15/2023      882,000 869,705
        $2,364,909
Financial Institutions – 1.8%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.875%, 1/16/2024    $ 1,755,000 $1,722,538
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.15%, 2/15/2024      1,243,000 1,189,744
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.75%, 10/29/2024      1,571,000 1,423,661
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.5%, 7/15/2025      1,285,000 1,264,936
Air Lease Corp., 2.2%, 1/15/2027      1,590,000 1,329,909
Avolon Holdings Funding Ltd., 3.95%, 7/01/2024 (n)     1,013,000 948,387
Avolon Holdings Funding Ltd., 5.5%, 1/15/2026 (n)     892,000 819,656
Avolon Holdings Funding Ltd., 2.125%, 2/21/2026 (n)     2,500,000 2,049,705
Avolon Holdings Funding Ltd., 4.25%, 4/15/2026 (n)     769,000 672,208
19

Consolidated Portfolio of Investments – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Financial Institutions – continued
Avolon Holdings Funding Ltd., 2.528%, 11/18/2027 (n)   $ 1,715,000 $1,309,159
Avolon Holdings Funding Ltd., 2.75%, 2/21/2028 (n)     1,313,000 1,003,679
        $13,733,582
Food & Beverages – 0.4%
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029 (n)   $ 2,313,000 $1,873,908
JDE Peet's N.V., 0.8%, 9/24/2024 (n)     681,000 617,797
JDE Peet's N.V., 1.375%, 1/15/2027 (n)     1,050,000 861,133
        $3,352,838
Food & Drug Stores – 0.3%
7-Eleven, Inc., 0.8%, 2/10/2024 (n)   $ 2,125,000 $2,003,958
Forest & Paper Products – 0.2%
Fibria Overseas Finance Ltd., 5.5%, 1/17/2027    $ 1,286,000 $1,237,775
Gaming & Lodging – 1.3%
GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/01/2023    $ 1,128,000 $1,115,299
GLP Capital LP/GLP Financing II, Inc., 5.25%, 6/01/2025      2,186,000 2,108,043
GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026      405,000 386,597
Hyatt Hotels Corp., 1.3%, 10/01/2023      2,305,000 2,211,794
Hyatt Hotels Corp., 1.8%, 10/01/2024      1,976,000 1,843,064
Las Vegas Sands Corp., 3.2%, 8/08/2024      1,270,000 1,209,270
Marriott International, Inc., 3.75%, 10/01/2025      459,000 437,083
Sands China Ltd., 4.3%, 1/08/2026      1,030,000 842,560
        $10,153,710
Industrial – 0.0%
Howard University, Washington D.C., AGM, 2.416%, 10/01/2024    $ 123,000 $115,610
Howard University, Washington D.C., AGM, 2.516%, 10/01/2025      152,000 139,544
        $255,154
Insurance – 1.0%
AIG Global Funding, 0.8%, 7/07/2023 (n)   $ 1,362,000 $1,322,852
Corebridge Financial, Inc., 3.5%, 4/04/2025 (n)     1,146,000 1,080,021
Corebridge Financial, Inc., 3.65%, 4/05/2027 (n)     1,613,000 1,460,855
Equitable Financial Life Insurance Co., 1.4%, 7/07/2025 (n)     1,485,000 1,328,095
Metropolitan Life Global Funding I, 0.4%, 1/07/2024 (n)     2,146,000 2,028,164
        $7,219,987
Insurance - Property & Casualty – 0.2%
Aon PLC, 2.2%, 11/15/2022    $ 1,193,000 $1,191,824
20

Consolidated Portfolio of Investments – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Internet – 0.3%
Baidu, Inc., 3.875%, 9/29/2023    $ 2,225,000 $2,196,075
Machinery & Tools – 0.4%
CNH Industrial Capital LLC, 4.2%, 1/15/2024    $ 1,726,000 $1,696,447
CNH Industrial Capital LLC, 1.875%, 1/15/2026      448,000 394,416
CNH Industrial N.V., 4.5%, 8/15/2023      962,000 954,176
        $3,045,039
Major Banks – 9.4%
Bank of Montreal, 2.05%, 11/01/2022    $ 1,694,000 $1,694,000
Barclays PLC, 1.007% to 12/10/2023, FLR (CMT - 1yr. + 0.8%) to 12/10/2024      781,000 731,203
Barclays PLC, 2.852% to 5/07/2025, FLR (LIBOR - 3mo. + 2.452%) to 5/07/2026      759,000 683,644
Barclays PLC, 2.279% to 11/24/2026, FLR (CMT - 1yr. + 1.05%) to 11/24/2027      2,856,000 2,363,033
BNP Paribas S.A., 2.591% to 1/20/2027, FLR (SOFR - 1 day + 1.228%) to 1/20/2028 (n)     3,494,000 2,941,223
Capital One Financial Corp., 4.166%, 5/09/2025      2,319,000 2,228,594
Capital One Financial Corp., 2.636% to 3/03/2025, FLR (SOFR - 1 day + 1.29%) to 3/03/2026      1,712,000 1,569,494
Deutsche Bank AG, 0.898%, 5/28/2024      694,000 636,932
Deutsche Bank AG, 1.447% to 4/1/2024, FLR (SOFR - 1 day + 1.131%) to 4/01/2025      3,247,000 2,960,017
Deutsche Bank AG, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027      849,000 677,674
Goldman Sachs Group, Inc., 1.093% to 12/09/2025, FLR (SOFR - 1 day + 0.789%) to 12/09/2026      1,268,000 1,087,674
HSBC Holdings PLC, 3.033% to 11/22/2022, FLR (LIBOR - 3mo. + 0.923%) to 11/22/2023      757,000 755,484
HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR - 1 day + 1.929%) to 6/04/2026      728,000 640,324
HSBC Holdings PLC, 7.336% to 11/03/2025, FLR (SOFR - 1 day + 3.03%) to 11/03/2026      646,000 647,788
HSBC Holdings PLC, 1.589% to 5/24/2026, FLR (SOFR - 1 day + 1.29%) to 5/24/2027      860,000 706,732
HSBC Holdings PLC, 2.251% to 11/22/2026, FLR (SOFR - 1 day + 1.1%) to 11/22/2027      2,840,000 2,335,044
Huntington Bancshares, Inc., 4.008% to 5/16/2024, FLR (SOFR - 1 day + 1.205%) to 5/16/2025      1,196,000 1,165,604
JPMorgan Chase & Co., 3.375%, 5/01/2023      1,071,000 1,063,170
JPMorgan Chase & Co., 3.797% to 7/23/2023, FLR (LIBOR - 3mo. + 0.89%) to 7/23/2024      1,347,000 1,327,769
21

Consolidated Portfolio of Investments – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Major Banks – continued
JPMorgan Chase & Co., 1.04% to 2/04/2026, FLR (SOFR - 1 day + 0.695%) to 2/04/2027    $ 1,700,000 $1,445,663
Lloyds Banking Group PLC, 3.511% to 3/18/2025, FLR (CMT - 1yr. + 1.6%) to 3/18/2026      2,402,000 2,222,716
Mitsubishi UFJ Financial Group, Inc., 0.848% to 9/15/2023, FLR (CMT - 1yr. + 0.68%) to 9/15/2024      2,789,000 2,663,009
Mitsubishi UFJ Financial Group, Inc., 0.953% to 7/19/2024, FLR (CMT - 1yr. + 0.55%) to 7/19/2025      1,997,000 1,832,901
Mitsubishi UFJ Financial Group, Inc., 0.962% to 10/11/2024, FLR (CMT - 1yr. + 0.45%) to 10/11/2025      1,264,000 1,149,078
Mizuho Financial Group, 0.849% to 9/08/2023, FLR (LIBOR - 3mo. + 0.61%) to  9/08/2024      2,411,000 2,303,272
Nationwide Building Society, 2.972% to 2/16/2027, FLR (SOFR - 1 day + 1.29%) to 2/16/2028 (n)     2,445,000 2,070,510
NatWest Group PLC, 2.359% to 5/22/2023, FLR (CMT - 1yr. + 2.15%) to 5/22/2024      2,219,000 2,158,845
NatWest Group PLC, 4.269% to 3/22/2024, FLR (LIBOR - 3mo. + 1.762%) to 3/22/2025      2,276,000 2,194,495
NatWest Markets PLC, 3.479%, 3/22/2025 (n)     2,257,000 2,129,935
PNC Bank N.A., 2.5%, 8/27/2024      1,122,000 1,069,473
Royal Bank of Canada, 0.5%, 10/26/2023      3,123,000 2,981,642
Standard Chartered PLC, 0.991% to 1/12/2024, FLR (CMT - 1yr. + 0.78%) to 1/12/2025 (n)     1,408,000 1,308,912
Standard Chartered PLC, 1.214% to 3/23/2024, FLR (CMT - 1yr. + 0.88%) to 3/23/2025 (n)     812,000 751,368
Standard Chartered PLC, 1.822% to 11/23/2024, FLR (CMT - 1yr. + 0.95%) to 11/23/2025 (n)     806,000 720,560
Standard Chartered PLC, 3.971% to 3/30/2025, FLR (CMT - 1yr. + 1.65%) to 3/30/2026 (n)     1,077,000 992,442
Sumitomo Mitsui Financial Group, Inc., 0.508%, 1/12/2024      801,000 754,754
Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025      1,675,000 1,495,137
Sumitomo Mitsui Financial Group, Inc., 2.174%, 1/14/2027      2,295,000 1,983,514
Sumitomo Mitsui Trust Bank Ltd., 0.85%, 3/25/2024 (n)     1,334,000 1,248,696
Toronto-Dominion Bank, 0.25%, 1/06/2023      1,434,000 1,423,231
UBS Group AG, 1.008% to 7/30/2023, FLR (CMT - 1yr. + 0.83%) to 7/30/2024 (n)     1,270,000 1,222,233
UBS Group AG, 4.703% to 8/05/2026, FLR (CMT - 1yr. + 2.05%) to 8/05/2027 (n)     1,000,000 929,346
UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n)     2,522,000 2,162,642
Wells Fargo & Co., 2.164% to 2/11/2025, FLR (LIBOR - 3mo. + 0.75%) to 2/11/2026      2,599,000 2,387,109
22

Consolidated Portfolio of Investments – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Major Banks – continued
Wells Fargo & Co., 3.526% to 3/24/2027, FLR (SOFR - 1 day + 1.51%) to 3/24/2028    $ 3,868,000 $3,482,957
        $71,299,843
Medical & Health Technology & Services – 0.6%
HCA Healthcare, Inc., 3.125%, 3/15/2027 (n)   $ 1,186,000 $1,048,424
Thermo Fisher Scientific, Inc., 1.215%, 10/18/2024      4,014,000 3,732,130
        $4,780,554
Metals & Mining – 0.8%
Anglo American Capital PLC, 4.75%, 4/10/2027 (n)   $ 911,000 $853,680
Glencore Funding LLC, 4.125%, 3/12/2024 (n)     1,146,000 1,122,728
Glencore Funding LLC, 1.625%, 9/01/2025 (n)     2,677,000 2,381,740
Glencore Funding LLC, 1.625%, 4/27/2026 (n)     1,675,000 1,438,688
        $5,796,836
Midstream – 0.9%
Enbridge, Inc., 2.5%, 2/14/2025    $ 1,542,000 $1,440,825
Energy Transfer LP, 2.9%, 5/15/2025      846,000 785,325
Gray Oak Pipeline LLC, 2%, 9/15/2023 (n)     1,453,000 1,406,163
Plains All American Pipeline LP, 3.85%, 10/15/2023      673,000 660,975
Western Midstream Operating LP, 3.35%, 2/01/2025      1,082,000 1,028,408
Western Midstream Operating LP, FLR, 5.04% (LIBOR - 3mo. + 0.85%), 1/13/2023      1,544,000 1,536,280
        $6,857,976
Mortgage-Backed – 0.5%  
Fannie Mae, 4.5%, 4/01/2024 - 5/01/2025    $ 26,095 $25,875
Fannie Mae, 3%, 12/01/2031      281,132 264,393
Fannie Mae, 2%, 5/25/2044      184,071 176,634
Freddie Mac, 0.901%, 4/25/2024 (i)     84,444 896
Freddie Mac, 4%, 7/01/2025      40,748 39,739
Freddie Mac, 1.582%, 4/25/2030 (i)     6,391,933 558,706
Freddie Mac, 3%, 4/15/2033 - 6/15/2045      2,754,701 2,529,790
Freddie Mac, 2%, 7/15/2042      452,334 406,011
        $4,002,044
Municipals – 1.3%
California Earthquake Authority Rev., Taxable, “B”, 1.477%, 7/01/2023    $ 555,000 $540,685
California Municipal Finance Authority Rev., Taxable (Century Housing Corp.), 1.486%, 11/01/2022      255,000 255,000
California Municipal Finance Authority Rev., Taxable (Century Housing Corp.), 1.605%, 11/01/2023      305,000 294,210
23

Consolidated Portfolio of Investments – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Municipals – continued
Illinois Sales Tax Securitization Corp., Second Lien, Taxable, “B”, BAM, 2.128%, 1/01/2023    $ 430,000 $428,064
Illinois Sales Tax Securitization Corp., Second Lien, Taxable, “B”, BAM, 2.225%, 1/01/2024      1,030,000 990,486
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 1.904%, 7/01/2023      115,000 112,524
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.156%, 7/01/2024      320,000 302,867
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.306%, 7/01/2025      250,000 229,790
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.562%, 7/01/2026      315,000 282,962
Michigan Finance Authority Tobacco Settlement Asset-Backed Rev., Taxable (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030      657,077 587,799
New Jersey Economic Development Authority State Pension Funding Rev., Capital Appreciation, Taxable, “B”, AGM, 0%, 2/15/2023      3,058,000 3,016,093
New Jersey Transportation Trust Fund Authority, Transportation System, Taxable, “B”, 2.551%, 6/15/2023      475,000 468,134
New Jersey Transportation Trust Fund Authority, Transportation System, Taxable, “B”, 2.631%, 6/15/2024      450,000 434,137
Port Authority of NY & NJ, Taxable, “AAA”, 1.086%, 7/01/2023      1,635,000 1,594,696
        $9,537,447
Natural Gas - Distribution – 0.6%
Atmos Energy Corp., 0.625%, 3/09/2023    $ 2,625,000 $2,587,110
CenterPoint Energy Resources Corp., 0.7%, 3/02/2023      2,225,000 2,194,120
        $4,781,230
Natural Gas - Pipeline – 0.5%
APA Infrastructure Ltd., 4.2%, 3/23/2025 (n)   $ 3,842,000 $3,663,512
Network & Telecom – 0.5%
AT&T, Inc., 0.9%, 3/25/2024    $ 4,229,000 $3,993,096
Oils – 0.2%
Valero Energy Corp., 1.2%, 3/15/2024    $ 1,252,000 $1,180,601
Other Banks & Diversified Financials – 1.3%
American Express Co., 2.25%, 3/04/2025    $ 859,000 $797,582
Banque Federative du Credit Mutuel S.A., 0.65%, 2/27/2024 (n)     2,782,000 2,608,723
Groupe BPCE S.A., 4%, 9/12/2023 (n)     943,000 924,123
Groupe BPCE S.A., FLR, 4.476% (LIBOR - 3mo. + 1.24%), 9/12/2023 (n)     943,000 942,691
24

Consolidated Portfolio of Investments – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Other Banks & Diversified Financials – continued
Macquarie Group Ltd., 1.201% to 10/14/2024, FLR (SOFR - 1 day + 0.694%) to 10/14/2025 (n)   $ 2,251,000 $2,038,665
Macquarie Group Ltd., 1.34% to 1/12/2026, FLR (SOFR - 1 day + 1.069%) to 1/12/2027 (n)     1,904,000 1,614,955
National Bank of Canada, 0.55% to 11/15/2023, FLR (CMT - 1yr. + 0.4%) to 11/15/2024      1,312,000 1,243,452
        $10,170,191
Pharmaceuticals – 0.3%
Royalty Pharma PLC, 0.75%, 9/02/2023    $ 2,204,000 $2,114,311
Real Estate - Office – 0.1%
Corporate Office Property LP, REIT, 2.25%, 3/15/2026    $ 1,172,000 $1,015,617
Retailers – 0.7%
Alibaba Group Holding Ltd., 2.8%, 6/06/2023    $ 1,506,000 $1,480,022
Kohl's Corp., 9.5%, 5/15/2025      2,655,000 2,739,930
Nordstrom, Inc., 2.3%, 4/08/2024      832,000 780,820
        $5,000,772
Specialty Stores – 0.3%
Genuine Parts Co., 1.75%, 2/01/2025    $ 1,302,000 $1,200,780
Ross Stores, Inc., 0.875%, 4/15/2026      926,000 796,431
        $1,997,211
Telecommunications - Wireless – 0.9%
Crown Castle, Inc., REIT, 3.15%, 7/15/2023    $ 611,000 $601,514
Crown Castle, Inc., REIT, 1.35%, 7/15/2025      492,000 439,482
Crown Castle, Inc., REIT, 2.9%, 3/15/2027      448,000 395,047
Rogers Communications, Inc., 3.2%, 3/15/2027 (n)     3,568,000 3,235,996
T-Mobile USA, Inc., 3.5%, 4/15/2025      2,527,000 2,410,788
        $7,082,827
Tobacco – 0.3%
B.A.T. Capital Corp., 3.222%, 8/15/2024    $ 1,459,000 $1,394,451
Philip Morris International, Inc., 1.125%, 5/01/2023      722,000 708,010
        $2,102,461
Transportation - Services – 1.1%
Element Fleet Management Corp., 1.6%, 4/06/2024 (n)   $ 6,310,000 $5,936,460
ERAC USA Finance LLC, 2.7%, 11/01/2023 (n)     974,000 945,237
ERAC USA Finance LLC, 3.85%, 11/15/2024 (n)     684,000 659,388
ERAC USA Finance LLC, 3.8%, 11/01/2025 (n)     684,000 643,697
        $8,184,782
25

Consolidated Portfolio of Investments – continued
Issuer     Shares/Par Value ($)
Bonds – continued
U.S. Treasury Obligations – 21.6%
U.S. Treasury Notes, 0.125%, 1/31/2023 (f)(s)   $ 25,000,000 $24,755,377
U.S. Treasury Notes, 0.125%, 5/31/2023 (f)(s)     25,000,000 24,361,328
U.S. Treasury Notes, 0.125%, 8/31/2023 (f)(s)     12,453,000 11,986,985
U.S. Treasury Notes, 0.125%, 10/15/2023 (f)     40,540,000 38,823,999
U.S. Treasury Notes, 0.5%, 11/30/2023 (f)(s)     12,515,000 11,974,802
U.S. Treasury Notes, 2.75%, 5/15/2025      21,100,000 20,234,570
U.S. Treasury Notes, 2.25%, 11/15/2025      33,829,000 31,729,223
        $163,866,284
Utilities - Electric Power – 2.7%
Edison International, 4.7%, 8/15/2025    $ 1,686,000 $1,627,930
Emera US Finance LP, 0.833%, 6/15/2024      1,057,000 974,390
Enel Finance International N.V., 6.8%, 10/14/2025 (n)     889,000 892,697
ENGIE Energía Chile S.A., 4.5%, 1/29/2025 (n)     3,214,000 3,011,518
Entergy Louisiana LLC, 0.95%, 10/01/2024      2,141,000 1,974,292
FirstEnergy Corp., 2.05%, 3/01/2025      1,202,000 1,104,940
FirstEnergy Corp., 1.6%, 1/15/2026      734,000 638,338
NextEra Energy Capital Holdings, Inc., 0.65%, 3/01/2023      1,743,000 1,718,660
Pacific Gas & Electric Co., 1.7%, 11/15/2023      854,000 818,471
Pacific Gas & Electric Co., 3.25%, 2/16/2024      3,496,000 3,378,816
Vistra Operations Co. LLC, 4.875%, 5/13/2024 (n)     3,851,000 3,748,024
WEC Energy Group, Inc., 0.8%, 3/15/2024      1,019,000 957,798
        $20,845,874
Total Bonds (Identified Cost, $606,636,699)   $573,484,128
Investment Companies (h) – 14.1%
Money Market Funds – 14.1%  
MFS Institutional Money Market Portfolio, 3.02% (v) (Identified Cost, $107,265,931)     107,271,416 $107,271,416
Short-Term Obligations (s)(y) – 2.0%        
Freddie Mac, 0%, due 11/01/2022 (Identified Cost, $15,235,000)   $ 15,235,000 $15,235,000
Other Assets, Less Liabilities – 8.3%   62,826,362
Net Assets – 100.0% $758,816,906
    
(f) All or a portion of the security has been segregated as collateral for cleared and uncleared swap agreements.      
(h) An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $107,271,416 and $588,719,128, respectively.      
(i) Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security.      
26

Consolidated Portfolio of Investments – continued
(n) Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $207,380,991, representing 27.3% of net assets.      
(s) All or a portion of security is held by a wholly-owned subsidiary. See Note 2 of the Notes to Consolidated Financial Statements for details of the wholly-owned subsidiary.      
(v) Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end.      
(y) The rate quoted is the annualized one-day yield of the fund at period end.      
    
The following abbreviations are used in this report and are defined:
AGM Assured Guaranty Municipal
BAM Build America Mutual
BCOMALTR Bloomberg Aluminum Subindex Total Return, this index is composed of futures contracts on aluminum. It is quoted in USD.
BCOMBOTR Bloomberg Soybean Oil Subindex Total Return, this index is composed of futures contracts on soybean oil. It is quoted in USD.
BCOMCLTR Bloomberg WTI Crude Oil Subindex Total Return, this index is composed of composed of futures contracts on WTI crude oil. It reflects the return on fully collateralized futures positions. It is quoted in USD.
BCOMCNTR Bloomberg Corn Subindex Total Return, this index is composed of futures contracts on corn. It reflects the return on fully collateralized futures positions. It is quoted in USD.
BCOMCOT Bloomberg Brent Crude Subindex Total Return, this index is composed of futures contracts on brent crude. It is quoted in USD.
BCOMCTTR Bloomberg Cotton Subindex Total Return, this index is composed of futures contracts on cotton. It reflects the return on fully collateralized futures positions. It is quoted in USD.
BCOMF3T Bloomberg Commodity Index 3 Month Forward Total Return, this index is composed of longer-dated futures contracts on 19 physical commodities. It is quoted in USD.
BCOMFCT Bloomberg Feeder Cattle Subindex Total Return, this index is comprised of futures contracts on feeder cattle. It is quoted in USD.
BCOMGCTR Bloomberg Gold Subindex Total Return, this index is composed of futures contracts on gold. It is quoted in USD.
BCOMGOT Bloomberg Gas and Oil Subindex Total Return, this index is composed of futures contracts on gas and oil. It is quoted in USD.
BCOMHGTR Bloomberg Copper Subindex Total Return, this index is composed of futures contracts on copper. It is quoted in USD.
BCOMKWT Bloomberg Kansas Wheat Subindex Total Return, this index is composed of futures contracts on wheat and Kansas wheat. It is quoted in USD.
BCOMLCTR Bloomberg Live Cattle Subindex Total Return, this index is composed of futures contracts on live cattle. It is quoted in USD.
BCOMLHTR Bloomberg Lean Hogs Subindex Total Return, this index is composed of futures contracts on lean hogs. It reflects the return of underlying commodity futures price movements only. It is quoted in USD.
BCOMNITR Bloomberg Nickel Subindex Total Return, this index is a single commodity subindex of the Bloomberg CI composed of futures contracts on Nickel. It reflects the return of underlying commodity futures price movements only. It is quoted in USD.
BCOMPBTR Bloomberg Lead Subindex Total Return, this index is composed of futures contracts on lead. It reflects the return of underlying commodity futures price movements only. It is quoted in USD.
27

Consolidated Portfolio of Investments – continued
BCOMPLTR Bloomberg Platinum Subindex Total Return, this index is composed of futures contracts on platinum. It is quoted in USD.
BCOMSITR Bloomberg Silver Subindex Total Return, this index is composed of futures contracts on silver. It is quoted in USD.
BCOMTR Bloomberg Commodity Index Total Return
BCOMWHTR Bloomberg Wheat Subindex Total Return, this index is composed of futures contracts on wheat. It reflects the return on fully collateralized futures positions. It is quoted in USD.
BCOMZSTR Bloomberg Zinc Subindex Total Return, this index is composed of futures contracts on zinc. It is quoted in USD.
CLO Collateralized Loan Obligation
CMT Constant Maturity Treasury
FLR Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted.
LIBOR London Interbank Offered Rate
MLCILPRT Merrill Lynch International Bloomberg Commodity Index Total Return
REIT Real Estate Investment Trust
SOFR Secured Overnight Financing Rate
SPGCCCTR S&P GSCI Cocoa Index Total Return
28

Consolidated Portfolio of Investments – continued
Derivative Contracts at 10/31/22
Cleared Swap Agreements
Maturity
Date
Notional
Amount
Counterparty Cash Flows
to Receive/
Frequency
Cash Flows
to Pay/
Frequency
Unrealized
Appreciation
(Depreciation)
  Net Unamortized
Upfront Payments
(Receipts)
  Value
Liability Derivatives          
Interest Rate Swaps          
8/19/24 USD 14,000,000 centrally cleared 3.31%/Annually Daily SOFR/Annually $(297,831)   $—   $(297,831)
5/13/25 USD 31,300,000 centrally cleared 2.76%/Annually Daily SOFR/Annually (1,118,463)     (1,118,463)
10/17/25 USD 13,600,000 centrally cleared 4.20%/Annually Daily SOFR/Annually (35,846)     (35,846)
            $(1,452,140)   $—   $(1,452,140)
    
Uncleared Swap Agreements
Maturity
Date
Notional
Amount
Counterparty Cash Flows
to Receive
(Monthly)
Cash Flows
to Pay
(Monthly)
Unrealized
Appreciation
(Depreciation)
Net Unamortized
Upfront Payments
(Receipts)
Value
Asset Derivatives      
Total Return Swaps      
11/30/22 USD 10,855,130 (Short)  Goldman Sachs International 3 month T-Bill + 0.045% BCOMGCTR (floating rate) $34,202 $— $34,202
1/13/23 USD 11,244,587 (Short)  Citibank N.A. 3 month T-Bill + 0.03% BCOMLCTR (floating rate) 33,694 33,694
1/13/23 USD 9,823,083 (Short)  Morgan Stanley 3 month T-Bill + 0.03% SPGCCCTR (floating rate) 30,743 30,743
3/15/23 USD 11,076,371 (Short)  Morgan Stanley 3 month T-Bill - 0.08% BCOMPLTR (floating rate) 31,326 31,326
4/11/23 USD 12,681,496 (Short)  Morgan Stanley 3 month T-Bill + 0.00% BCOMFCT (floating rate) 38,331 38,331
4/28/23 USD 8,833,631 (Short)  Merrill Lynch International 3 month T-Bill - 0.08% BCOMHGTR (floating rate) 27,349 27,349
5/15/23 USD 3,123,254 (Short)  JPMorgan Chase Bank N.A. 3 month T-Bill - 0.05% BCOMWHTR (floating rate) 10,072 10,072
5/15/23 USD 2,635,623 (Short)  Goldman Sachs International 3 month T-Bill + 0.05% BCOMNITR (floating rate) 7,900 7,900
29

Consolidated Portfolio of Investments – continued
Uncleared Swap Agreements - continued
Maturity
Date
Notional
Amount
Counterparty Cash Flows
to Receive
(Monthly)
Cash Flows
to Pay
(Monthly)
Unrealized
Appreciation
(Depreciation)
  Net Unamortized
Upfront Payments
(Receipts)
  Value
Asset Derivatives - continued
Total Return Swaps - continued
5/15/23 USD 3,381,898 (Short)  JPMorgan Chase Bank N.A. 3 month T-Bill - 0.05% BCOMKWT (floating rate) $10,578   $—   $10,578
9/29/23 USD 5,376,392 (Short)  Morgan Stanley 3 month T-Bill - 0.03% BCOMSITR (floating rate) 16,620     16,620
9/29/23 USD 10,327,148 (Short)  Morgan Stanley 3 month T-Bill - 0.03% BCOMPBTR (floating rate) 30,606     30,606
10/16/23 USD 10,757,681 (Short)  Morgan Stanley 3 month T-Bill - 0.03% BCOMALTR (floating rate) 32,514     32,514
            $303,935   $—   $303,935
Liability Derivatives          
Total Return Swaps          
11/30/22 USD 26,239,836 (Long)  Citibank N.A. BCOMTR (floating rate) 3 month T-Bill + 0.10% $(83,065)   $—   $(83,065)
11/30/22 USD 54,666,326 (Long)  Goldman Sachs International BCOMTR (floating rate) 3 month T-Bill + 0.09% (172,381)     (172,381)
11/30/22 USD 109,332,654 (Long)  JPMorgan Chase Bank N.A. BCOMTR (floating rate) 3 month T-Bill + 0.07% (342,938)     (342,938)
2/28/23 USD 21,750,990 (Long)  Goldman Sachs International BCOMTR (floating rate) 3 month T-Bill + 0.08% (68,407)     (68,407)
3/15/23 USD 8,559,387 (Long)  Morgan Stanley BCOMCTTR (floating rate) 3 month T-Bill + 0.15% (33,040)     (33,040)
4/07/23 USD 23,555,518 (Long)  JPMorgan Chase Bank N.A. BCOMF3T (floating rate) 3 month T-Bill + 0.00% (74,484)     (74,484)
4/11/23 USD 23,555,518 (Long)  Merrill Lynch International BCOMF3T (floating rate) 3 month T-Bill + 0.00% (74,288)     (74,288)
5/26/23 USD 38,451,265 (Long)  Merrill Lynch International BCOMTR (floating rate) 3 month T-Bill + 0.07% (120,607)     (120,607)
6/20/23 USD 94,494,653 (Long)  Merrill Lynch International BCOMF3T (floating rate) 3 month T-Bill + 0.09% (298,021)     (298,021)
30

Consolidated Portfolio of Investments – continued
Uncleared Swap Agreements - continued
Maturity
Date
Notional
Amount
Counterparty Cash Flows
to Receive
(Monthly)
Cash Flows
to Pay
(Monthly)
Unrealized
Appreciation
(Depreciation)
Net Unamortized
Upfront Payments
(Receipts)
Value
Liability Derivatives - continued
Total Return Swaps - continued
6/23/23 USD 4,311,054 (Long)  Merrill Lynch International BCOMCLTR (floating rate) 3 month T-Bill + 0.05% $(12,353) $— $(12,353)
7/17/23 USD 34,767,353 (Long)  Merrill Lynch International BCOMF3T (floating rate) 3 month T-Bill + 0.10% (109,942) (109,942)
7/17/23 USD 34,767,353 (Long)  JPMorgan Chase Bank N.A. BCOMF3T (floating rate) 3 month T-Bill + 0.10% (109,942) (109,942)
7/17/23 USD 35,658,824 (Long)  Goldman Sachs International BCOMF3T (floating rate) 3 month T-Bill + 0.10% (112,761) (112,761)
8/07/23 USD 7,808,831 (Long)  Merrill Lynch International BCOMCOT (floating rate) 3 month T-Bill + 0.06% (22,356) (22,356)
8/08/23 USD 5,264,348 (Long)  Merrill Lynch International BCOMGOT (floating rate) 3 month T-Bill + 0.06% (14,752) (14,752)
9/25/23 USD 13,780,541 (Long)  JPMorgan Chase Bank N.A. BCOMTR (floating rate) 3 month T-Bill + 0.07% (43,226) (43,226)
9/25/23 USD 119,059,816 (Long)  Merrill Lynch International MLCILPRT (a) (floating rate) 3 month T-Bill + 0.14% (381,889) (381,889)
9/25/23 USD 8,502,889 (Long)  JPMorgan Chase Bank N.A. BCOMZSTR (floating rate) 3 month T-Bill + 0.10% (30,018) (30,018)
9/29/23 USD 11,409,432 (Long)  Morgan Stanley BCOMCNTR (floating rate) 3 month T-Bill + 0.14% (36,312) (36,312)
10/16/23 USD 6,624,669 (Long)  Merrill Lynch International BCOMBOTR (floating rate) 3 month T-Bill + 0.10% (18,079) (18,079)
11/17/23 USD 126,913,532 (Long)  Merrill Lynch International MLCILPRT (a) (floating rate) 3 month T-Bill + 0.13% (183,600) (183,600)
11/20/23 USD 21,321,039 (Long)  JPMorgan Chase Bank N.A. BCOMTR (floating rate) 3 month T-Bill + 0.07% (30,396) (30,396)
31

Consolidated Portfolio of Investments – continued
Uncleared Swap Agreements - continued
Maturity
Date
Notional
Amount
Counterparty Cash Flows
to Receive
(Monthly)
Cash Flows
to Pay
(Monthly)
Unrealized
Appreciation
(Depreciation)
  Net Unamortized
Upfront Payments
(Receipts)
  Value
Liability Derivatives - continued
Total Return Swaps - continued
11/30/23 USD 7,785,977 (Long)  Morgan Stanley BCOMLHTR (floating rate) 3 month T-Bill + 0.15% $(10,920)   $—   $(10,920)
            $(2,383,777)   $—   $(2,383,777)
At October 31, 2022, the fund had cash collateral of $12,660,350 and other liquid securities with an aggregate value of $66,490,744 to cover any collateral or margin obligations for certain derivative contracts.  Restricted cash and/or deposits with brokers in the Consolidated Statement of Assets and Liabilities are comprised of cash collateral.
(a) The Merrill Lynch MLCILPRT Commodity Index, the components of which are not publicly available, seeks to provide exposure to a diversified group of commodities. Through its investment in the swap, the fund has indirect exposure to the following positions that compose the MLCILPRT:
    
Referenced Commodity Futures Contracts % of Notional Notional
Amount:
$119,059,816*
Notional
Amount:
$126,913,532*
 
Long Futures Contracts        
Soybean Oil 3.5% 4,167,094 4,441,974  
Corn 4.4% 5,238,632 5,584,195  
Corn 1.6% 1,904,957 2,030,617  
WTI 8.1% 9,643,845 10,279,996  
Brent 2.0% 2,381,196 2,538,271  
Brent 5.2% 6,191,110 6,599,504  
Cotton 0.6% 714,359 761,481  
Cotton 0.2% 238,119 253,827  
Gold 9.6% 11,429,742 12,183,699  
Gold 3.4% 4,048,034 4,315,060  
32

Consolidated Portfolio of Investments – continued
Referenced Commodity Futures Contracts % of Notional Notional
Amount:
$119,059,816*
Notional
Amount:
$126,913,532*
 
Copper Comex 2.8% 3,333,675 3,553,579  
Copper Comex 1.0% 1,190,598 1,269,135  
Heating Oil 2.7% 3,214,615 3,426,665  
Coffee 1.4% 1,666,837 1,776,789  
Coffee 0.5% 595,299 634,568  
Kansas Wheat 1.4% 1,666,837 1,776,789  
Kansas Wheat 0.5% 595,299 634,568  
Aluminum 3.0% 3,571,794 3,807,406  
Live Cattle 2.8% 3,333,675 3,553,579  
Live Cattle 1.0% 1,190,598 1,269,135  
Lean Hogs 1.3% 1,547,778 1,649,876  
Lean Hogs 0.4% 476,239 507,654  
Nickel 2.7% 3,214,615 3,426,665  
Zinc 2.2% 2,619,316 2,792,098  
Natural Gas 13.7% 16,311,197 17,387,154  
Gasoil 3.5% 4,167,094 4,441,974  
Soybeans 5.5% 6,548,289 6,980,244  
Sugar 2.6% 3,095,555 3,299,752  
Silver 2.8% 3,333,675 3,553,579  
Silver 1.0% 1,190,598 1,269,135  
Soybean Meal 3.3% 3,928,974 4,188,147  
Wheat 2.3% 2,738,376 2,919,011  
Wheat 0.8% 952,479 1,015,308  
Gasoline RBOB 2.2% 2,619,316 2,792,098  
  100% $119,059,816 $126,913,532  
* The notional amount is indicative of the quantity and proportionate value of each commodity futures contract.
See Notes to Consolidated Financial Statements
33

Consolidated Financial Statements
Consolidated Statement of Assets and Liabilities
At 10/31/22
This statement represents your fund’s balance sheet, which details the assets and liabilities comprising the total value of the fund.
Assets  
Investments in unaffiliated issuers, at value (identified cost, $621,871,699) $588,719,128
Investments in affiliated issuers, at value (identified cost, $107,265,931) 107,271,416
Cash 23,870,135
Restricted cash for  
Uncleared swaps 12,660,350
Receivables for  
Due from uncleared swap brokers 17,647,818
Fund shares sold 13,909,304
Interest 2,943,110
Uncleared swaps, at value 303,935
Other assets 253
Total assets $767,325,449
Liabilities  
Payables for  
Due to uncleared swap brokers $5,131,344
Net daily variation margin on open cleared swap agreements 99,714
Investments purchased 646,001
Fund shares reacquired 16,065
Uncleared swaps, at value 2,383,777
Payable to affiliates  
Investment adviser 60,205
Administrative services fee 1,320
Shareholder servicing costs 10,154
Distribution and service fees 600
Payable for independent Trustees' compensation 10
Accrued expenses and other liabilities 159,353
Total liabilities $8,508,543
Net assets $758,816,906
Net assets consist of  
Paid-in capital $1,221,068,162
Total distributable earnings (loss) (462,251,256)
Net assets $758,816,906
Shares of beneficial interest outstanding 157,178,506
34

Consolidated Statement of Assets and Liabilities – continued
  Net assets Shares
outstanding
Net asset value
per share (a)
Class A $15,080,426 3,139,435 $4.80
Class B 111,558 23,402 4.77
Class C 1,444,491 305,090 4.73